Modern theory of probability is formulated on the footing of measure theory. Use this tag if your question is about this theoretical footing (for example probability spaces, random variables, law of large numbers, central limit theorems, and the like). Use (probability) for explicit computation of ...

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Condition for a process to be a supermartingale

I am struggling in this question: Let $W$ denote a Brownian motion. Given that $ X_t = e^{- \lambda t} X_0 + \int_0^t \sigma e^{- \lambda (t-s)} \,dW_s$ solves the SDE \begin{equation} dX_t = - ...
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If a joint cdf is increasing in each argument, then the pdf is strictly positive a.s.?

Let $F:\mathbb{R}^d \to [0,1]$ be an absolutely continuous joint cdf and let it be strictly increasing in each argument. Does it imply that its pdf $f$ is strictly positive a.s. (with respect to the ...