New posts in stochastic-processes

Implementing Ornstein–Uhlenbeck in Matlab

stochastic-processes matlab stochastic-calculus brownian-motion simulation

Going to the Movies!

probability stochastic-processes recreational-mathematics

Difference between weak ( or martingale ) and strong solutions to SDEs

stochastic-processes stochastic-calculus brownian-motion stochastic-differential-equations

Continuity of a stochastic process

probability-theory stochastic-processes

Drunkard's walk on the $n^{th}$ roots of unity.

probability stochastic-processes markov-chains roots-of-unity

Joint density of order statistics

probability statistics stochastic-processes

Proving Galmarino's Test

probability-theory stochastic-processes martingales stopping-times

Prokhorov metric vs. total variation norm

measure-theory probability-theory stochastic-processes metric-spaces

Random process Mean function and Correlation function

probability-distributions stochastic-processes correlation means random-functions

Markov process vs. markov chain vs. random process vs. stochastic process vs. collection of random variables

stochastic-processes random markov-chains markov-process

What is meant by a filtration "contains the information" until time $t$?

probability-theory measure-theory stochastic-processes filtrations

Show that $X_{t} = \sqrt{c}e^{-\lambda t}\beta_{e^{2\lambda t}}$ solves $dX_{t}=\sqrt{2c\lambda}dB_{t}-\lambda X_{t}dt$

probability-theory stochastic-processes stochastic-calculus stochastic-integrals stochastic-differential-equations

How to generate points uniformly distributed on the surface of an ellipsoid?

probability stochastic-processes random-variables analytic-geometry ellipsoids

What is a Markov Chain?

terminology probability-theory intuition stochastic-processes

Does $Y$ $\mathcal{F_t}$-adapted and $X$ adapted to $Y$ imply that $X$ is $\mathcal{F_t}$-adapted?

probability-theory stochastic-processes measurable-functions filtrations

What is "white noise" and how is it related to the Brownian motion?

functional-analysis probability-theory stochastic-processes brownian-motion stochastic-analysis

Nice references on Markov chains/processes?

reference-request stochastic-processes markov-chains

When Superposition of Two Renewal Processes is another Renewal Process?

probability probability-theory stochastic-processes renewal-processes

Can a stochastic process have stationary increments which are not independent increments?

stochastic-processes levy-processes

Using Recursion to Solve Coupon Collector

probability probability-theory stochastic-processes