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Results tagged with pr.probability
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user 12383
Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory.
17
votes
4
answers
6k
views
Correlated Brownian motion and Poisson process
Is there an (easy) way to construct, on the same filtered probability space,a Brownian motion $W$ and a Poisson process $N$, such that $W$ and $N$ are not independent ?
I first asked this question a …
- 368
1
vote
Getting $B_t$ from its local times $L^x_t$
This paper seems to answer (something very close to) your question :
Warren, J. and Yor, M. (1998), The Brownian burglar: conditioning Brownian motion by its local time process. Seminaire de Probabil …
- 368
1
vote
infimum of a set of stopping times
This is not true. Fix some $t>0$, and define $t^n_k = \frac{k}{n}.t$ for $0 \leq k \leq n$. Define $\Lambda$ as the set of deterministic, $\{-1,1\}$-valued processes and $\Lambda_n$ as the subset of $ …