New posts in stochastic-processes

Prove $A_t := W_t^3-3t W_t$ a martingale

stochastic-processes brownian-motion martingales

How do I use expected value in this question?

probability statistics stochastic-processes expected-value

Is continuous L2 bounded local martingale a true martingale?

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

The jumping times of a càdlàg process are stopping times.

probability-theory stochastic-processes stopping-times

How to compute $\mathbb{E}(\exp(\int_0^t W_s ds)|W_t)$?

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

Stochastic kernel as linear operator

probability-theory stochastic-processes operator-theory markov-chains

Find SDE satisfied by transformation of solution to a different SDE

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

Motivation of Feynman-Kac formula and its relation to Kolmogorov backward/forward equations?

functional-analysis partial-differential-equations stochastic-processes stochastic-calculus markov-process

Kolmogorov Extension Theorem vs. Caratheodory Extension Theorem

measure-theory probability-theory stochastic-processes

Proof of a maximal inequality

probability-theory stochastic-processes martingales

Intuition for Brownian motion time-inversion formula

stochastic-processes brownian-motion intuition

Independent stochastic processes and independent random vectors

probability-theory stochastic-processes

Is there a discrete-time analogue of Doléans-Dade exponential?

probability-theory inequality stochastic-processes martingales

Concept of Random Walk

stochastic-processes

If we can't Stieltjes integrate Brownian motion pathwise, then what do the values of the Ito integral represent?

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

Detailed balance for the Fokker-Planck equation

stochastic-processes stochastic-calculus stochastic-differential-equations

What is Nassim Taleb's criticism of 538's election model?

probability stochastic-processes mathematical-modeling

Variance of Brownian Bridge

stochastic-processes brownian-motion stochastic-analysis

Is it true $P(\sup_{k \in \mathbb{N}}X_k \geq \epsilon +x)=\dfrac{x}{\epsilon+x}$?

probability-theory stochastic-processes martingales stopping-times

Why do people write stochastic differential equations in differential form?

soft-question stochastic-processes stochastic-calculus stochastic-integrals stochastic-differential-equations