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Results tagged with pr.probability
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user 21816
Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory.
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Is there a general process for conditioning a stochastic process above a boundary?
$(X_t, Y_t)$ is a two-dimensional Markov stochastic process that runs on time interval $[0, t_f]$. Given its transition function $a(x, y | x', y')$, I would like to condition the process on $\inf_{s …
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Computing a density function for the integral of a stochastic process, given its transition ...
$P$ is a one-dimensional Markov stochastic process that runs on time interval $[0, t_f]$. I know its transition function: $P(0) = x_0$ and for any $0 \le t_a < t_b \le t_f$, the function $f(x_b | x_a …
- 693