Newbetuts
.
New posts in stopping-times
$\tau=s \mathbf{1}_{A^c}+t\mathbf{1}_A$, $A \in \mathcal F_s$ is a stopping time
stochastic-processes
random-variables
stopping-times
Filtration of stopping time equal to the natural filtration of the stopped process
probability-theory
stochastic-processes
stopping-times
Why is this process bounded?
probability-theory
martingales
stopping-times
"Converse" of optional stopping theorem
probability
probability-theory
stochastic-processes
martingales
stopping-times
Prove a thm on stopped processes given fundamental principle 'you can't beat the system'?
probability-theory
martingales
stopping-times
gambling
How to get closed form solutions to stopped martingale problems?
probability-theory
stochastic-processes
martingales
stopping-times
Optimal stopping of a Poisson Process with a risky reward
recreational-mathematics
stopping-times
poisson-process
optimal-control
dynamic-programming
Analytical solutions to $E[f(X_\tau) e^{-\alpha\tau}]$
stochastic-processes
expected-value
stochastic-calculus
brownian-motion
stopping-times
The jumping times of a càdlàg process are stopping times.
probability-theory
stochastic-processes
stopping-times
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
How to prove that for Brownian motion in $(a, b)$ $\mathbb{E}^x[\min(H_a, H_b)] = (x-a)(b-x)$?
stochastic-processes
brownian-motion
stopping-times
Verifying the interpretation of stopping times and stopping time $\sigma$-algebras
probability-theory
stochastic-processes
stochastic-calculus
stopping-times
Expected hitting time of given level by Brownian motion
probability-theory
stochastic-processes
brownian-motion
stopping-times
Possible example of stopped martingale not being in $L^1$
probability-theory
stochastic-processes
martingales
stopping-times
Why is stopping time defined as a random variable?
probability
stochastic-processes
martingales
stopping-times
'Intuitive' difference between Markov Property and Strong Markov Property
stochastic-processes
stopping-times
Does $\sigma(\cup_{n=0}^\infty \mathcal{F}_{S \wedge n}) = \mathcal{F}_S$ hold for every stopping time $S$?
probability-theory
measure-theory
stopping-times
Martingale and finite stopping time [closed]
martingales
stopping-times
Expectation stopped Brownian motion with drift
brownian-motion
martingales
stopping-times
What is meant by a stopping time?
probability
probability-theory
definition
stopping-times
Prev
Next