1
vote
0answers
191 views

Question on measure zero set of initial conditions in dynamical systems

[Update] Let $S \subseteq \mathbb{R}^n$ be a closed, bounded, convex set with measure $m(S)>0$ and let an autonomous dynamical system (system of ODEs) be given by $$\frac{dx}{dt} = f(x),$$ where ...
4
votes
1answer
304 views

Path integrals for stochastic equations

Does there exist a rigorous mathematical proof for path integral representations given in the physics literature? See for example http://arxiv.org/abs/hep-ph/9912209v1 For imaginary time rigorous ...
3
votes
1answer
133 views

Total variation distance between diffusion processes with different volatility coefficient

Preamble: This question is similar to the one in total variation distance between two solutions of SDE . The difference is that in my case the drift is the same but there are different diffusion ...
0
votes
0answers
222 views

Whether does the following equation have only one finite zero?

Dear MOs, Here is a calculus problem which bored me for sometime. Let $a>0$ and $b<0$ be fixed.Define the following function (EDIT: Following the comment by Barry Cipra, you may only consider ...
0
votes
2answers
476 views

Solution to the fractional differential equation

What is the solution of the fractional differential equation $$ f^{(\alpha-1)}(t) = tf(t) $$ where $(\alpha)$ denotes the fractional derivative of order $\alpha$ EDIT: Background behind this ...
1
vote
1answer
345 views

Good books on stochastic partial differential equations?

I have a system of 2 PDEs, one with a probabilistic right side, and kind of stuck on what to read about those things.. Any good books around? Both analytical (if any) and numerical methods are ...
5
votes
1answer
312 views

total variation distance between two solutions of SDE

Suppose we have two stochastic differential equations with the same initial conditions: $$d X_t^1= b_1(t,X_t^1)dt + dW_t$$ $$d X_t^2= b_2(t,X_t^2)dt + dW_t,$$ $X_0^1=X_0^2=x_0$; $W_\cdot$ is a ...
6
votes
1answer
683 views

Random, Linear, Homogeneous Difference Equations and Time Integration Methods for ODEs

Most methods (that I know of) of numerically approximating the solution of ODEs are "general linear methods". For this type of method, the so-called 'linear stability' is examined by applying the ...
3
votes
0answers
331 views

Infinite System of Stochastic Ordinary Differential Equations Coupled by Infinite Graphs

$\ \ \ $ In Time Evolution of Infinite Anharmonic Systems, Lanford,Lebowitz and Lieb, roughly speaking, proved that for some families of functions $F_v$ $(v\in\mathbb Z^d)$ and a large set of initial ...
4
votes
1answer
2k views

Skellam distribution: Deep connection between Poisson distributions and Bessel function?

The probability mass function for the Skellam distribution for a count difference $k=n_1-n_2$ from two Poisson-distributed variables with means $\mu_1$ and $\mu_2$ is given by: $$ f(k;\mu_1,\mu_2)= ...
11
votes
1answer
864 views

Big Picture: What is the connection of Malliavin calculus with differential geometry?

I know that Paul Malliavin was heavily influenced by ideas from differential geometry while developing his calculus on Wiener space. But what are the concrete analogies between both areas of ...
0
votes
1answer
170 views

Difference Equations & Possible Limits

The answer to this may well be in some elementary textbook - a reference might be more useful than a short answer here. If we look at the behaviour of a point in R n under matrix multiplication, we ...
8
votes
4answers
683 views

easy(?) probability/diff eq. question

I've been wondering about this ever since I was a little kid and I used to ride in the back of the car and my mom would speed like hell towards a green light, only to slam on the brakes when she ...