Newbetuts

If $\tau$ is a stopping time with $\text P[\tau>s+t]=\text P[\tau>s]\text P[\tau>t]$, how do we determine the rate of the exponential distribution?

Exercise regarding Poisson processes and the uniform distribution

Exponential Distribution & Poisson: Example 5.10 Suppose that customers are in line to receive service

A question about SDE and geometric Brownian motion.

"Converse" of optional stopping theorem

A uniformly bounded local martingale is a martingale

What exactly is a 'predictable process'?

Right continuous version of a martingale

Canonical processes of a stochastic process

A Brownian motion $B$ that is discontinuous at an independent, uniformly distributed random variable $U(0,1)$

stopped filtration = filtration generated by stopped process?

Show that $X_0=Y_0$ and that $X_n$ is a martingale.

The law of absolute value of a standard Brownian motion

What does it mean to integrate a Brownian motion with respect to time?

First exit time for Brownian motion without drift

Conditional probability on zero probability events (Definition)

Calculation with Ito processes, what is $ds \, dt$, $dW_t \, ds$ and $dW_s \, dW_t$?

New posts in stochastic-processes

An explanation for drift in diffusion processes in terms of probability distributions?

Stochastic Differential Equation solution for Geometric Brownian Motion

Constructing Martingales from Markov Processes

If $\tau$ is a stopping time with $\text P[\tau>s+t]=\text P[\tau>s]\text P[\tau>t]$, how do we determine the rate of the exponential distribution?

Exercise regarding Poisson processes and the uniform distribution

Exponential Distribution & Poisson: Example 5.10 Suppose that customers are in line to receive service

A question about SDE and geometric Brownian motion.

"Converse" of optional stopping theorem

A uniformly bounded local martingale is a martingale

What exactly is a 'predictable process'?

Right continuous version of a martingale

Canonical processes of a stochastic process

A Brownian motion $B$ that is discontinuous at an independent, uniformly distributed random variable $U(0,1)$

stopped filtration = filtration generated by stopped process?

Show that $X_0=Y_0$ and that $X_n$ is a martingale.

The law of absolute value of a standard Brownian motion

What does it mean to integrate a Brownian motion with respect to time?

First exit time for Brownian motion without drift

Conditional probability on zero probability events (Definition)

Calculation with Ito processes, what is $ds \, dt$, $dW_t \, ds$ and $dW_s \, dW_t$?