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Stochastic-processes
New post in Stochastic-processes
Proof that difference of Martingale Sequence is a Martingale
August 1st, 2022
martingales
stochastic-processes
probability-theory
Stopping time in Gambler's ruin problem
November 14th, 2020
recursion
stochastic-processes
probability-theory
probability
Doob's decomposition of a submartingale
May 20th, 2020
martingales
conditional-expectation
stochastic-processes
probability-theory
why do we say Vasicek interest rate model has a closed form solution
March 11th, 2020
stochastic-processes
stochastic-calculus
stochastic-differential-equations
closed-form
stochastic-integrals
Why is random walk on $n$-cycle irreducible?
January 21st, 2020
probability
stochastic-processes
Finding combined time to repair two machines where time is exponentially distributed
August 1st, 2022
stochastic-processes
probability
Markov property with respect to a filtration
August 4th, 2022
stochastic-processes
probability-theory
Time to absorption and fraction of time spent in a state in a CTMC
August 1st, 2022
probability
stochastic-processes
markov-chains
why is the expected value of a Wiener Process = 0?
June 10th, 2020
probability-distributions
stochastic-processes
brownian-motion
Scaling and time inversion for Brownian motion basically the same?
April 16th, 2020
brownian-motion
stochastic-processes
Proving a process is Markov chain
August 1st, 2022
stochastic-processes
markov-chains
A few questions about Markov chains
April 29th, 2020
markov-chains
stochastic-processes
Demonstrate that every martingale is a local martingale.
November 9th, 2020
stochastic-analysis
stochastic-processes
Why are persistent states of a Markov chain on a finite state space non-null?
August 1st, 2022
probability
markov-chains
stochastic-processes
Galton Watson Branching process
August 1st, 2022
stochastic-processes
Sum of Gaussian processes
August 1st, 2022
stochastic-processes
Time Until Extinction for a Pure Death Process Where the Time is Exponentially Distributed
August 6th, 2022
stochastic-processes
statistics
Law of large numbers for Brownian Motion
August 1st, 2022
analysis
probability-theory
brownian-motion
stochastic-processes
A way to check the accuracy of a Markov chain?
August 1st, 2022
stochastic-processes
mathematical-modeling
probability
markov-chains
Poisson Process and Conditional Probability
November 27th, 2020
probability
stochastic-processes
Proving continuity of Brownian paths
August 1st, 2022
brownian-motion
stochastic-processes
How to check if integral wrt Brownian motion is a martingale
June 3rd, 2020
stochastic-processes
stochastic-integrals
stochastic-calculus
brownian-motion
Martingale and independent increment
July 29th, 2020
stochastic-processes
martingales
Are irreducible, positiv-definite Markov chains aperiodic?
March 28th, 2020
monte-carlo
markov-chains
matrices
stochastic-processes
What is the distribution of the subtract of two random variables?
August 1st, 2022
stochastic-processes
random-variables
brownian-motion
Expectation of a function of Brownian motions
December 16th, 2020
martingales
brownian-motion
stochastic-processes
Number of passengers on a bus/Departuring busses in Poisson process problem
August 1st, 2022
poisson-distribution
poisson-process
probability
stochastic-processes
random-variables
What probability distribution does the Running maximum of brownian motion belong to
August 1st, 2022
stochastic-processes
probability
probability-distributions
Expected value of Wiener process
August 1st, 2022
probability
expectation
stochastic-processes
Showing Brownian motion is a martingale
August 1st, 2022
independence
stochastic-processes
probability-theory
brownian-motion
martingales
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