All Questions

Let $X_t$ be a Markovian Itô diffusion process, defined by an SDE \begin{equation} dX_t = \mu(X_t)\,dt + \sigma(X_t)\,dW_t\,. \end{equation} Let $f(x,t|x_0,0)$ denote its transition density function. ...

Please, help me find connections between two types of convergence: Let $\{X_n\}_{n\ge1}: (\Omega,F,P) \rightarrow (\mathbb{R},Bor)$ be a sequence of r.v., there are two convergences: 1) $X_n \...

Let us denote with $F(x;j,\mu)$ the cdf of a Binomial distributed random variable with $j$ trial with success probability $\mu$ considered in $x$, and let $f(x;j,\mu)$ be the pmf. Defining $0\leq \...

Let $N$ and $N'$ be regular/non-explosive point processes on $[0,\infty)$. I will take the view that these are collections of random arrival times: $N=(t_n)_{n\in\mathbb N}$ and $N'=(t_n')_{n\in\...