Skip to main content
Search type Search syntax
Tags [tag]
Exact "words here"
Author user:1234
user:me (yours)
Score score:3 (3+)
score:0 (none)
Answers answers:3 (3+)
answers:0 (none)
isaccepted:yes
hasaccepted:no
inquestion:1234
Views views:250
Code code:"if (foo != bar)"
Sections title:apples
body:"apples oranges"
URL url:"*.example.com"
Saves in:saves
Status closed:yes
duplicate:no
migrated:no
wiki:no
Types is:question
is:answer
Exclude -[tag]
-apples
For more details on advanced search visit our help page
Results tagged with
Search options not deleted user 24403

Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory.

6 votes

Are Gaussian Processes more important than other stochastic processes?

A well-known probabilist once told me that the 3 main classes of stochastic processes are Gaussian, Markov, and martingales. Martingales are definitely useful in finance and also with respect to ot …
Paul Jung's user avatar
  • 101
2 votes

Path properties of Levy Processes

Phil Protter also has a book (I don't recall if it discusses path properties). If you just want more information on the Skorokhod space (cadlag functions), P. Billingsley's convergence of probability …
Paul Jung's user avatar
  • 101
1 vote

White Noise Space and Local Time

I'm not sure what a pre-Brownian motion is-- my guess is that it is another name for white noise. If you want a notion of local time of white noise, my guess is that you would take some sort of forma …
Paul Jung's user avatar
  • 101
1 vote

A simple decomposition for fractional Brownian motion with parameter $H<1/2$

Interesting, I don't think I've seen that before. But there is a similar sort of decomposition in W. Li and W. Linde 1998, however I don't think it's quite the same. Cheridito 2003 (Mixed-FBM) tackles …
Paul Jung's user avatar
  • 101
0 votes

A simple decomposition for fractional Brownian motion with parameter $H<1/2$

It looks like this idea isn't new. There is something very similar in an article by Alos, Mazet, and Nualart (SPA 2000).
Paul Jung's user avatar
  • 101