What are some open research problems in Stochastic Processes?

Question

I was wondering, what are some of the open problems in the domain of Stochastic Processes. By Stochastic Processes.

Any examples or recent papers or similar would be appreciated.

The motivation for this question is that I was studying stochastics from a higher level (i mean, brownian motion and martingales and stuff; beyond the undergrad markov chains and memoryless properties) and was wondering what are the questions that still lie unanswered in this field?

Answer 1

Various academics have lists on their website

• Richard Weber, University of Cambridge (operations research)
• David Aldous, University of California, Berkeley with updates from Thomas M. Liggett
• Krzysztof Burdzy, University of Washington
• Hermann Thorisson, University of Iceland

Other resources that might be of interest

• The journal Queueing Systems published a Special Issue on Open Problems in 2011. James Cruise maintains an ungated copy of the papers along with research progress on the highlighted problems.
• John Kingman published a 2009 paper titled The first Erlang century—and the next where open problems and future reserch were discussed
• Jewgeni H. Dshalalow edited a book in 1985 titled Advances in queueing: theory, methods, and open problems
• Lyons, Russell, Robin Pemantle, and Yuval Peres. Unsolved problems concerning random walks on trees Classical and modern branching processes. Springer New York, 1997. 223-237.
• Questions tagged open problem and probability on mathoverflow
• Chapter 23 Open Problems from Levin, Peres, and Wilmer's book Markov Chains and Mixing Times