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Hitting times in two-dimensional case: expectation of Brownian motion at a hitting time

score 387 · Answer 1 · 2016-06-29 21:29:05

387

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Hitting times in two-dimensional case: expectation of Brownian motion at a hitting time

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score 589 · Answer 2 · 2016-06-30 15:28:11

589

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A problem about the supremum of countable stopping times

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482

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score 250 · Answer 4 · 2016-07-03 05:06:52

250

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score 427 · Answer 5 · 2016-07-05 08:38:10

427

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score 794 · Answer 6 · 2013-04-02 14:37:51

794

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Stopping time for sum of iid random variables.

Published on 02 Apr 2013 - 14:37

score 2.5k · Answer 7 · 2013-04-05 09:36:00

2.5k

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score 95 · Answer 8 · 2013-04-05 22:54:27

95

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score 194 · Answer 9 · 2013-04-09 14:07:41

194

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845

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Published on 01 May 2013 - 17:48

score 1.4k · Answer 12 · 2013-05-31 16:14:00

1.4k

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Stopping time $\tau_k$ measurable w.r.t. $\mathcal{F}_k$

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score 119 · Answer 13 · 2013-06-01 08:39:04

119

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Implications between $\mathbb P [\tau < \infty] =1 $ and $\tau \in L_1 (\mathbb P)$

Published on 01 Jun 2013 - 8:39

score 212 · Answer 14 · 2013-06-08 11:37:07

212

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$P(\tau_k<\infty)=q^k$ for hitting time $\tau_k =\inf\{t; X_t=k\}$ of asymmetric random walk

Published on 08 Jun 2013 - 11:37

score 141 · Answer 15 · 2013-06-08 20:43:51

141

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Racing Time Difference Formula

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List Question

Hitting times in two-dimensional case: expectation of Brownian motion at a hitting time

A problem about the supremum of countable stopping times

Stopping-time sigma-algebra and the case at infinity, definition question.

What is the "time change" of an adapted finite-variation stochastic process?

Continuity of the probability that a Brownian motion with drift hits an upper barrier before the lower barrier in the drift

Stopping time for sum of iid random variables.

Show that $\alpha = \inf\{t\,;\,|X_t|>1\}$ is a stopping time

What is the optimal stopping point for an experiment when expecting unknown event

Finite stopping times

Martingale Stopping Time

$(S_n^2-n)_{n\ge 0}$ martingale and bounded stopping times

Stopping time $\tau_k$ measurable w.r.t. $\mathcal{F}_k$

Implications between $\mathbb P [\tau < \infty] =1 $ and $\tau \in L_1 (\mathbb P)$

$P(\tau_k<\infty)=q^k$ for hitting time $\tau_k =\inf\{t; X_t=k\}$ of asymmetric random walk

Racing Time Difference Formula

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