Newbetuts

How well can the maximum of a Gaussian process be approximated by a finite-dimensional Gaussian variable?

Problem 3.24 of "Brownian Motion & Stochastic Processes" by Karatzas and Shreve - Submartingales and stopping times

Independence Lemma, is it non-trivial?

$\tau=s \mathbf{1}_{A^c}+t\mathbf{1}_A$, $A \in \mathcal F_s$ is a stopping time

Exit time of a stochastic process defined by a SDE

Characterization of sets in $\mathcal F^X_t =\sigma(\{X_s: s\leq t\})$ where $(X_t)_t$ is a stochastic process

Kind of converse of Kolmogorov maximal inequality

Modified Doob's $L^1$ inequality

Example of an adapted but not progressively measurable process

Is there a name for the stochastic integral using the right end of each interval?

Solving SDEs in a pathwise manner?

"Difficult to please" rabbits and Fibonacci Numbers - A probabilistic variation

Intuitive reason why a simple symmetric random walk is recurrent on $\Bbb Z^2$ and transient on $\Bbb Z^3$.

Integral of Brownian motion in a 2-d box

Finding $\mathbb{P}(\max_{t\leq 1} (W_t+t)\geq 1)$

The only strictly stationary random walk in $\mathbb{R}$ is degenerate

Continuous local martingale of finite variation is constant

New posts in stochastic-processes

Integration of progressively measurable process

Which positive continuous functions satisfy $F(x) = F(e^x)-F(e^{-x})$ for $x\geq 0$?

Area enclosed by 2-dimensional random curve

How well can the maximum of a Gaussian process be approximated by a finite-dimensional Gaussian variable?

Problem 3.24 of "Brownian Motion & Stochastic Processes" by Karatzas and Shreve - Submartingales and stopping times

Independence Lemma, is it non-trivial?

$\tau=s \mathbf{1}_{A^c}+t\mathbf{1}_A$, $A \in \mathcal F_s$ is a stopping time

Exit time of a stochastic process defined by a SDE

Characterization of sets in $\mathcal F^X_t =\sigma(\{X_s: s\leq t\})$ where $(X_t)_t$ is a stochastic process

Kind of converse of Kolmogorov maximal inequality

Modified Doob's $L^1$ inequality

Example of an adapted but not progressively measurable process

Is there a name for the stochastic integral using the right end of each interval?

Solving SDEs in a pathwise manner?

"Difficult to please" rabbits and Fibonacci Numbers - A probabilistic variation

Intuitive reason why a simple symmetric random walk is recurrent on $\Bbb Z^2$ and transient on $\Bbb Z^3$.

Integral of Brownian motion in a 2-d box

Finding $\mathbb{P}(\max_{t\leq 1} (W_t+t)\geq 1)$

The only strictly stationary random walk in $\mathbb{R}$ is degenerate

Continuous local martingale of finite variation is constant