New posts in stochastic-processes

Ornstein-Uhlenbeck process: increments

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

Mean value theorem inside the Expectation

probability-theory stochastic-processes stochastic-calculus stochastic-integrals

Expected Reward from Poisson Dependent on time

stochastic-processes expected-value poisson-distribution poisson-process

Dominated convergence problems with Wald's identity for the Brownian Motion

stochastic-processes brownian-motion

Are nonnegative Lévy processes almost always nondecreasing?

stochastic-processes levy-processes

Markov chains: is "aperiodic + irreducible" equivalent to "regular"?

probability stochastic-processes markov-chains markov-process

Limiting distribution of $\frac1n \sum_{k=1}^{n}|S_{k-1}|(X_k^2 - 1)$ where $X_k$ are i.i.d standard normal

probability-theory stochastic-processes normal-distribution central-limit-theorem probability-limit-theorems

$E[e_te_s\Delta B_t\Delta B_s]$ for $\Delta B_t$ Brownian motion increments and $e_t(\omega)$ a measurable function.

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

Understanding the Metropolis-Hastings Algorithm

probability probability-distributions stochastic-processes monte-carlo

How to characterize recurrent and transient states of Markov chain

stochastic-processes

Interpretation for the determinant of a stochastic matrix?

probability matrices stochastic-processes markov-chains markov-process

Paths of Brownian motion

probability-theory stochastic-processes brownian-motion

Proof for convergence in distribution implying convergence in probability for constants

probability stochastic-processes

Product Rule for Ito Processes

stochastic-processes stochastic-calculus stochastic-integrals

Is the definite time integral of a Brownian Motion a Markov process and a martingale?

stochastic-processes brownian-motion

Sobolev meets Wiener

stochastic-processes brownian-motion sobolev-spaces derivatives

A question about the proof that right-continuous modifications are indistinguishable.

probability-theory stochastic-processes

Maybe a Monty Hall kind of problem?

probability-theory stochastic-processes martingales

Equilibrium distributions of Markov Chains

probability stochastic-processes markov-chains

Analytical solutions to $E[f(X_\tau) e^{-\alpha\tau}]$

stochastic-processes expected-value stochastic-calculus brownian-motion stopping-times