Topic: Stochastic Processes

Solving Finite Stationary Systems with Gaussian Elimination

Solving Finite-Interval Hitting Problems

Solving Extinction Probabilities for Quadratic Generating Functions

Smoothing Hidden States with Forward-Backward Messages

Small-Time Transition Probabilities and Jump Rates

Sizing Erlang Loss Systems for Blocking Targets

Singular Gaussian Distributions and Their Support

Simulating Markov Chain Occupation Times and Rewards

Simulating Poisson Counts on a Fixed Time Grid

Simulating Brownian Maxima Beyond the Time Grid