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Expectation of a stopping time

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#probability #random-variables #expectation #stopping-times
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Reversal of Brownian motion from first hitting time

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#probability-theory #stochastic-processes #brownian-motion #stopping-times
233
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Supermartingale and stopping time

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#stochastic-processes #martingales #stopping-times
128
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What is $\mathbb{E}[W(\tau)^4]$ for a Wiener process $W$ and a stopping time $\tau$?

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#stochastic-processes #stochastic-calculus #brownian-motion #stopping-times
211
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Number of returns of simple random walk until a stopping time

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#probability #stochastic-processes #markov-chains #random-walk #stopping-times
142
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Approximating stopping times from the right (related to Bass exercise 3.5)

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#real-analysis #measure-theory #stochastic-processes #stochastic-analysis #stopping-times
72
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Probability of exiting on the boundary for a monotone Lévy-type process

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#stochastic-processes #stopping-times #levy-processes
197
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What is the largest optimal stopping time, and what are the "in-between" times?

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#stopping-times
65
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Predictable graph of a random set

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#stochastic-calculus #stopping-times #filtrations
75
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How to understand a probability space in dicrete time

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#probability #stochastic-processes #definition #stopping-times #filtrations
86
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Distribution of Stopped Wiener Process with Stochastic Volatility

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#stochastic-processes #stochastic-calculus #stopping-times #characteristic-functions
183
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Expected Absorption Time in a Particular Markov Chain

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#probability #random-variables #markov-chains #stopping-times
42
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Clarification regarding stopping time

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#markov-chains #markov-process #conditional-probability #stopping-times
149
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Justify the usage of stopping theorem by estimating $E[\tau]$ (How to find the stopping time of meeting a pattern in a sequence)

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#stochastic-processes #martingales #stopping-times
401
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Optimal stopping time for coin toss with unkown bias

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#probability #stopping-times #optimal-control

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