New posts in Stochastic Processes

Numerical phenomenon. Who can explain?

Limiting distribution of $\frac1n \sum_{k=1}^{n}|S_{k-1}|(X_k^2 - 1)$ where $X_k$ are i.i.d standard normal

Given a knight on an infinite chess board that moves randomly, what's the expected number of distinct squares it reaches in 50 moves?

Gambler's Ruin Problem with Simple Solution - Different Approach

Probability of $B_t < 0$ if $B$ is Brownian Motion

Averaging i.i.d. variables: Equal chance to be right and left of the mean?

Understand better stochastic integral through a.s. convergence

Fair gambler's ruin problem intuition

When does the game end?

A strange inconsistency between a calculation and a simulation of a TASEP