New posts in Stochastic Processes

Why does a collection of radioactive atoms show predictable behaviour while a single one is highly random?

What is the proper way to model diffusion in inhomogeneous media (Fokker-Planck or Fick's law) and why?

Itô or Stratonovich calculus: which one is more relevant from the point of view of physics?

Diffusion coefficient for asymmetric (biased) random walk

A question about SDE and geometric Brownian motion.

Intuition for Brownian motion time-inversion formula

Show that $E[ E[Z\lvert \mathcal{F}_{T}\lvert \mathcal{F}_{S}]=E[Z\lvert \mathcal{F}_{T\land S}]$

2 dimensional symmetric random walk

Prove that $x \mapsto \boldsymbol{\mathrm P} \left[ \mathrm{B}(\boldsymbol\cdot + x ) \in A \right]$ is measurable for a Brownian motion $\mathrm B$

Can a martingale converge in $L^1$ but not almost surely?