New posts in Stochastic Processes

$(f(X_n))_{n \in \mathbb{N}_0}$ martingale implies $f'' = 0$?

Infection in a village

Positive continuous supermartingale is a proper martingale

Prove that $f_n(B_{\tau_1 } , \dots, B_{\tau_{n-1 }}, -1) < B_{\tau_{n-1 }} < f_n(B_{\tau_1 } , \dots, B_{\tau_{n-1 }}, 1)$

Waiting time for a pattern in coin tossing

Is Ito's lemma also valid with stopped integrals?

Is $W^2-t$ martingale?

Asymptotic behavior of piecewise recursive random variable.

Deriving the Pollaczek - Khintchine formula

Singular covariance matrix identity