New posts in stochastic-processes

Definition of the Brownian motion

probability-theory stochastic-processes brownian-motion

Application of the Burkholder Davis Gundy inequality

stochastic-processes stochastic-calculus stochastic-integrals stochastic-analysis

What is the intuition behind the Borel Cantelli Lemma? [duplicate]

probability-theory measure-theory stochastic-processes borel-cantelli-lemmas

Poisson process and uniform random variable

probability stochastic-processes

What is $\mathbb{E}[W(s)\mathrm{e}^{W(S)}]$ where W(S) is a standard Brownian Motion?

stochastic-processes brownian-motion

Filtration of stopping time equal to the natural filtration of the stopped process

probability-theory stochastic-processes stopping-times

If $X$ is a Lévy process, why is $t\mapsto\sum_{\substack{s\in[0,\:t]\\\Delta X_s(\omega)}}1_B(\Delta X_s(\omega))$ càdlàg?

probability-theory measure-theory stochastic-processes levy-processes

Some version of Itô isometry with conditional expectations

stochastic-processes martingales conditional-expectation stochastic-integrals isometry

Generating the Borel $\sigma$-algebra on $C([0,1])$

measure-theory probability-theory stochastic-processes

Does finite variance imply on a finite mean?

probability probability-theory probability-distributions stochastic-processes stochastic-calculus

Compute the probability that the first $k$ draws are red and the next $n-k$ are green

probability statistics stochastic-processes martingales

Two Gaussian processes with same variances and means but different covariances.

probability probability-theory stochastic-processes covariance gaussian

Random walk as a martingale?

stochastic-processes martingales random-walk

Proving that the natural filtration of Brownian motion (not augmented) is not right-continuous

probability-theory stochastic-processes stochastic-calculus

Relation between independent increments and Markov property

stochastic-processes

PDE - Feynman-Kac vs. finite difference methods

reference-request stochastic-processes numerical-methods partial-differential-equations

The continuity of the expectation of a continuous stochastic procees

probability stochastic-processes continuity expectation

When is a Markov process independent-increment?

stochastic-processes

Laplace transform of integrated geometric Brownian motion

probability stochastic-processes laplace-transform brownian-motion

When does the game end?

probability combinatorics stochastic-processes dice