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Property of expected hitting time in Markov chains

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#probability #markov-chains #conditional-expectation #stopping-times
122
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Right-continous martingale, p-integrable martingale

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#martingales #stochastic-analysis #stopping-times #filtrations
227
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Stochastic calculus - Stopping times, martingales

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#stochastic-calculus #martingales #stopping-times
930
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Probability of first-passage, and conditional distribution of first-passage-time of a diffusion process with negative drift

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#measure-theory #stochastic-processes #expectation #stopping-times
868
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Stochastic Calculus - Application of Ito Formula

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#stochastic-calculus #stopping-times
89
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Sufficient condition for the integrability of a stopping time $\tau$

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#probability-theory #lp-spaces #stopping-times
211
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Strict local Martingale arising from Brownian Motion

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#stochastic-calculus #brownian-motion #martingales #stopping-times #local-martingales
1.8k
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Simple Random Walk, proving variance of the walk at a stopping time

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#probability #expectation #random-walk #stopping-times #variance
534
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Determining the expected stopping time for certain values?

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#probability-theory #expectation #random-walk #stopping-times
265
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Markov Process: bounds on the exponential moment of a stopping time

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#probability-theory #expectation #markov-process #supremum-and-infimum #stopping-times
113
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Stochastic Ito Formula

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#stochastic-calculus #martingales #stopping-times
429
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Infimum of predictable stopping times

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#measure-theory #stochastic-processes #stopping-times
567
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Understanding of stopping times

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#probability-theory #stochastic-processes #martingales #stopping-times
680
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Finding the Variance of Stopping Time for Simple Random Walk

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#stochastic-processes #stopping-times
196
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$\tau$ is an $\mathcal{F}_n$ stopping time if and only if $\{\tau=n\}\in\mathcal{F}_n$ for all $n\in\mathbb{N}$

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#stochastic-processes #stopping-times

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