New posts in stochastic-processes

Martingale constructed with Bernoulli random variables

probability probability-theory probability-distributions stochastic-processes martingales

Is a Markov process a random dynamic system?

stochastic-processes dynamical-systems

Given particle undergoing Geometric Brownian Motion, want to find formula for probability that max-min > z after n days

probability stochastic-processes

Let $N$~Pois$(\lambda)$, $X|(N=n)$~Bin$(N,p)$, $Y=N-X$. Show $X$, $Y$ are independent and Poisson with parameters $\lambda p$ and $\lambda (1-p)$.

probability stochastic-processes

Integral representation $B_T^3$

stochastic-processes brownian-motion stochastic-integrals stochastic-analysis

Markov processes driven by the noise

probability-theory stochastic-processes

Hitting time of Brownian Motion with a drift

probability-theory stochastic-processes brownian-motion

Covariance of Gaussian stochastic process

probability-theory stochastic-processes stochastic-calculus stochastic-analysis

Brownian Motion and stochastic integration on the complete real line

probability stochastic-processes stochastic-calculus brownian-motion stochastic-integrals

Is an SDE really equal to an integral equation, or is it rather "its integral" that is?

probability-theory stochastic-processes soft-question stochastic-calculus stochastic-differential-equations

Extinction probability in a population with competition

probability limits stochastic-processes asymptotics

Joint Distribution of Brownian Motion and its Time Integral

reference-request stochastic-processes stochastic-calculus brownian-motion

Derivation of tau time-stepping in Gillespie algorithm?

reference-request stochastic-processes mathematical-modeling monte-carlo simulation

Initial Distribution of Stochastic Differential Equations

probability-theory stochastic-processes brownian-motion stochastic-analysis stochastic-differential-equations

Definition of predictable process

measure-theory stochastic-processes stochastic-calculus

Does this modified random walk (2D) return with probability 1?

probability stochastic-processes random-walk

Evaluating $\mathbb E [\lvert \frac{1}{B_{t}}\int\limits_{0}^{t} K_{s}dB_{s}\rvert ^{1/4}]$ as $t \to 0$

probability-theory stochastic-processes stochastic-calculus brownian-motion stochastic-integrals

What is the expected number of infected people?

probability probability-distributions stochastic-processes reliability

What is the difference between a random vector and a stochastic process?

probability statistics probability-theory stochastic-processes random-variables

Uniform integrability of a backward submartingale

stochastic-processes stochastic-calculus stochastic-analysis uniform-integrability