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Taylor expansion and Ito when the value function has a non differentiable point

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#ordinary-differential-equations #derivatives #continuity #taylor-expansion #stopping-times
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Stopping time on an asymmetric random walk

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#probability #stochastic-processes #martingales #random-walk #stopping-times
420
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If a stopping time, $T$, satisfies $P(T>k\alpha)\leq (1-\epsilon)^k$ then $E(T)<\infty$

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#probability #probability-theory #expectation #stopping-times
111
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Stopping time and random variable measurability

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#measure-theory #stochastic-calculus #stopping-times
376
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Stopping time $\sigma$-algebras

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#probability-theory #stochastic-processes #stopping-times
248
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Gambling system theorem given by Doob

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#probability-theory #stochastic-processes #random-variables #stopping-times #gambling
401
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Measurability of the zero-crossing time of Brownian motion

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#measure-theory #brownian-motion #stopping-times
266
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Conditional Expectation.

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#probability-theory #conditional-expectation #stopping-times
4.1k
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Showing that the first hitting time of a closed set is a stopping time.

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#probability-theory #stochastic-processes #stopping-times
711
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Martingales with bounded increments

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#probability-theory #martingales #stopping-times
437
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Hitting times for Brownian motions

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#probability-theory #stochastic-calculus #brownian-motion #stopping-times
956
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Hitting times for Brownian Motion (2)

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#probability-theory #brownian-motion #stochastic-analysis #stopping-times
4.3k
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defining the stopping time sigma algebra

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#measure-theory #stopping-times
184
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Finiteness of the hitting time of random walk

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#probability-theory #markov-chains #stopping-times
461
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Application of CLT to random walks

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#probability-theory #markov-chains #random-walk #stopping-times

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