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Results tagged with stochastic-calculus
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user 38208
Stochastic calculus provides a consistent theory of integration for stochastic processes and is used to model random systems. Its applications range from statistical physics to quantitative finance.
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Supermartingale inequality on a particular event
Say, I have a supermartingale $Y_t$ with respect to the filtration $F_t$. Let $T$ and $S$ two stopping times greater than $t>0$ such that on the event $A$, $T>S$, then since $Y_t$ is a supermartingale …
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Markov Chain: state reduction
Hi I am trying to understand a proof in a paper (written by Isaac Sonin), I don't know if anyone could give me a clarification on the following:
Firstly we have a Markov chain $\{Y_k\}$ with finite st …
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