Stochastic Processes Questions for Prop Trading Interviews
A prop trading round does not test stochastic processes the way a textbook does. This set is the overlap - the stochastic processes questions that actually turn up in this format.
14 questions, 2 of them free to practise right now. The split is 12 medium, 2 hard.
- Dice game, up to three rollsMediumExpected ValueStochastic ProcessesView →
- Gambler's ruinMediumProbabilityStochastic ProcessesView →
- A stationary probabilityMediumStochastic Processes Premium
- Absorption probability on a lineMediumProbabilityStochastic Processes Premium
- Arrivals before the rival streamMediumProbabilityStochastic Processes Premium
- Buyer count in a thinned arrival streamMediumProbabilityStochastic Processes Premium
- Expected exponential of Brownian motionMediumStochastic Processes Premium
- Periodicity and limiting distributionMediumStochastic Processes Premium
- Reaching the target before ruinMediumStochastic Processes Premium
- Renewal-reward fraction of time runningMediumExpected ValueStochastic Processes Premium
- Return time from a three-state chainMediumStochastic Processes Premium
- The Markov propertyMediumStochastic Processes Premium
- Expected duration of a fair walkHardExpected ValueStochastic Processes Premium
- Reflecting wall first-passage timeHardExpected ValueStochastic Processes Premium
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