User Paul - Mathematics Stack Exchange

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	330 reputation	bio	website		visits	member for	11 months
110 badges		location	Paris, France		seen	1 hour ago

4

11

votes

3

answers

283

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Limit of a Wiener integral

jan 19 at 8:02 Did 102k

3

10

votes

3

answers

163

views

How to find $E(f(f(f(\ldots f(x)))$

probability

mar 5 at 0:49 Ju'x 2,934

1

7

votes

1

answer

163

views

Integral of the positive part of a Brownian motion

probability-theory stochastic-processes brownian-motion

jan 3 at 22:26 Ben Derrett 1,583

1

6

votes

3

answers

104

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Proof that $E(X)<\infty$ entails $\lim_{n\to\infty}n\Pr(X\ge n) = 0$?

probability-theory convergence distribution-tails

apr 8 at 22:13 Alex 4,489

1

4

votes

1

answer

65

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Upper bound concerning Snell envelope

probability-theory stochastic-processes stochastic-calculus control-theory

feb 14 at 16:47 Ilya 14.2k

1

4

votes

1

answer

109

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Brownian motion: changing the order of expectation and integration in $E \left( \int_s^t B_x dx \mid F_s \right)$

probability-theory brownian-motion

oct 20 at 15:54 Davide Giraudo 56.2k

1

4

votes

2

answers

98

views

Conditions under which the Limit for “Measure $\to 0$” is $0$

measure-theory probability-theory

mar 9 '12 at 23:11 Nate Eldredge 22.4k

2

4

votes

1

answer

202

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Conditions under which the Limit for “Measure $\to 0$” is $0$ [more difficult]

measure-theory probability-theory

mar 17 '12 at 13:24 Dejan Govc 5,549

1

3

votes

1

answer

57

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minimization problem on differential equations - optimal control

differential-equations optimization convex-optimization control-theory

may 16 at 17:03 Lion 68

1

3

votes

1

answer

66

views

Find the transition function of this stochastic process

probability-distributions stochastic-processes stochastic-calculus

jan 6 at 11:24 Did 102k

1

3

votes

1

answer

118

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About stopping times and progressively measurable process

probability-theory stochastic-processes stochastic-calculus

jan 16 at 12:20 Paul 330

1

3

votes

1

answer

34

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two r.v sharing the same law

homework probability-theory stochastic-calculus brownian-motion

jan 30 at 12:20 Did 102k

2

3

votes

0

answers

350

views

Infinitesimal generator of time-dependent Markov diffusion

stochastic-processes

jul 15 '11 at 9:26 Ilya 14.2k

1

2

votes

1

answer

375

views

Absolute value of Brownian motion

probability brownian-motion

jan 17 '12 at 9:46 Did 102k

1

2

votes

1

answer

51

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Levy process : $E\left[\exp\left(\theta^X_\tau -\Psi(\theta^)\tau\right)1_{\{\tau < \infty\}}\right] = e^{\theta^*x}P\left( \tau < \infty \right)$

probability-theory stochastic-processes

jan 18 at 21:14 Did 102k

1

vote

1

answer

103

views

Show that $Z_t = Z_0 \exp\left( \mu t + X_t \right)$ is well defined where $X_t$ is a Jump process (Lévy process)

probability-theory stochastic-processes stochastic-calculus random-walk

feb 1 at 7:59 Did 102k

1

vote

1

answer

132

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The law of absolute value of a standard Brownian motion

probability probability-theory stochastic-processes

dec 29 at 4:32 adam W 3,180

1

vote

1

answer

88

views

Itô's lemma to solve the SDE

stochastic-processes

dec 31 at 13:57 TheBridge 1,506

1

vote

1

answer

83

views

Upper bound for the $\sup$ of a martingale defined as a stochastic integral of a general continuous martingale

probability stochastic-processes stochastic-calculus stochastic-integrals

jan 1 at 15:04 Paul 330

1

vote

0

answers

24

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Stochastic Exponential: $dZ=-\lambda Z dM + dL$ to $dZ=-\lambda Z dM + Zd\tilde{L}$ while $\tilde{L}$ is still orthogonal to $M$

stochastic-processes stochastic-calculus stochastic-integrals stochastic-analysis

feb 12 at 22:49 user13655 123

1

vote

2

answers

85

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Conditional expectation of a functional of an Itô's semimartingale under its equivalent martingale measure

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

apr 18 at 17:51 Paul 330

1

vote

1

answer

64

views

Approximation of stochastic integral

stochastic-processes stochastic-calculus brownian-motion stochastic-integrals

apr 27 at 6:27 saz 5,422

1

vote

0

answers

57

views

$dX_t=1_{X_t\not=0} dW_t$

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

may 7 at 20:49 Educ 10

Paul

23 Favorites