User saz

109 votes

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What is the importance of the infinitesimal generator of Brownian motion?

answered Mar 3, 2014 at 8:42

62 votes

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Angle bracket and sharp bracket for discontinuous processes

answered Aug 20, 2014 at 6:09

59 votes

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The $ l^{\infty} $-norm is equal to the limit of the $ l^{p} $-norms.

answered Mar 10, 2013 at 8:43

46 votes

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Difference between weak ( or martingale ) and strong solutions to SDEs

answered Nov 8, 2018 at 19:04

43 votes

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Convergence in measure implies convergence almost everywhere of a subsequence

answered Nov 4, 2014 at 17:10

43 votes

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Density of first hitting time of Brownian motion with drift

answered Dec 7, 2014 at 14:27

40 votes

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Integral of Brownian motion is Gaussian?

answered Nov 24, 2012 at 22:29

38 votes

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How to calculate the Fourier transform of a Gaussian function?

answered Jan 4, 2013 at 22:13

38 votes

Convergence types in probability theory : Counterexamples

answered Mar 1, 2015 at 18:21

37 votes

Proofs of AM-GM inequality

answered Feb 27, 2014 at 8:07

36 votes

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Moment generating functions/ Characteristic functions of $X,Y$ factor implies $X,Y$ independent.

answered Jan 26, 2013 at 14:24

31 votes

Collection: Results on stopping times for Brownian motion (with drift)

answered Jan 19, 2019 at 11:09

30 votes

Martingale theory: Collection of examples and counterexamples

answered Oct 28, 2018 at 8:20

26 votes

uniform convergence of characteristic functions

answered Oct 25, 2014 at 13:04

25 votes

Wiener Process $dB^2=dt$

answered Sep 27, 2013 at 7:05

25 votes

Prove that the graph of a measurable function is measurable.

answered Aug 16, 2017 at 17:30

24 votes

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Norm is weakly lower semicontinuous

answered Aug 18, 2013 at 6:01

24 votes

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Relationship to weak toplogy (Lévy metric)

answered May 8, 2016 at 14:50

23 votes

A criterion for independence based on Characteristic function

answered May 1, 2013 at 5:49

22 votes

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Proof of the tower property for conditional expectations

answered Mar 1, 2015 at 14:36

22 votes

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Fubini's theorem for conditional expectations

answered Feb 25, 2015 at 16:35

21 votes

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Pushforward measure integral property

answered Mar 16, 2013 at 13:24

21 votes

Why do we unavoidably (or not) use Riemann integral to define Itô integral?

answered Dec 12, 2016 at 15:11

20 votes

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Weak convergence in probability implies uniform convergence in distribution functions

answered May 17, 2015 at 9:26

20 votes

$f$ measurable with $f=g$ a.e. then $g$ measurable

answered Jan 30, 2015 at 15:58

20 votes

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Hilbert cube is compact

answered Nov 4, 2014 at 16:33

20 votes

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Concentration of measure vs large deviation

answered Mar 1, 2014 at 21:16

19 votes

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Integral of a Gaussian process

answered Oct 9, 2015 at 9:01

19 votes

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Stochastic Integrals are confusing me; Please explain how to compute $\int W_sdW_s$ for example

answered Dec 1, 2015 at 16:54

18 votes

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arithmetic mean of a sequence converges

answered Nov 30, 2012 at 17:15

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2,575 Answers

What is the importance of the infinitesimal generator of Brownian motion?

Angle bracket and sharp bracket for discontinuous processes

The $ l^{\infty} $-norm is equal to the limit of the $ l^{p} $-norms.

Difference between weak ( or martingale ) and strong solutions to SDEs

Convergence in measure implies convergence almost everywhere of a subsequence

Density of first hitting time of Brownian motion with drift

Integral of Brownian motion is Gaussian?

How to calculate the Fourier transform of a Gaussian function?

Convergence types in probability theory : Counterexamples

Proofs of AM-GM inequality

Moment generating functions/ Characteristic functions of $X,Y$ factor implies $X,Y$ independent.

Collection: Results on stopping times for Brownian motion (with drift)

Martingale theory: Collection of examples and counterexamples

uniform convergence of characteristic functions

Wiener Process $dB^2=dt$

Prove that the graph of a measurable function is measurable.

Norm is weakly lower semicontinuous

Relationship to weak toplogy (Lévy metric)

A criterion for independence based on Characteristic function

Proof of the tower property for conditional expectations

Fubini's theorem for conditional expectations

Pushforward measure integral property

Why do we unavoidably (or not) use Riemann integral to define Itô integral?

Weak convergence in probability implies uniform convergence in distribution functions

$f$ measurable with $f=g$ a.e. then $g$ measurable

Hilbert cube is compact

Concentration of measure vs large deviation

Integral of a Gaussian process

Stochastic Integrals are confusing me; Please explain how to compute $\int W_sdW_s$ for example

arithmetic mean of a sequence converges