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Results tagged with pr.probability
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user 13486
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
Accepted
Correlated Brownian motion and Poisson process
You can not construct a Poisson process $N$, and a Brownian motion $W$ on the same filtration such that they are dependent. They are always independent on the given filtration.
Let $(W_t)_{t\geq 0}$ …
- 5,721
4
votes
1
answer
495
views
Correlation structure among the maximums of a Brownian motion
Is there a known correlation structure among the maximums of a Brownian motion on disjoint intervals ?
Let $(W_t)_{t\geq 0}$ be a one-dimensional standard Brownian motion,
and take the partition $0 …
- 5,721