# Tagged Questions

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**1**answer

74 views

### Diffusion processes with different diffusion coefficients and absolute continuity

I would first of all like to say that I am an analyst, and so I am familiar with probabilistic methods only on a basic level.
My initial situation is the following. Consider two SDEs:
\begin{align}
...

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**1**answer

139 views

### Existence of bounded $n-$th derivative of the solution of differential equation

This question is the copy from mat.stackexchange.com here. I requestioned here due to the very limited responses there.
Let $\phi:\mathbb{R}\mapsto\mathbb{R}$ be the standard normal density, ...

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**1**answer

101 views

### Branching Brownian Motion and the KPP equation

I have troubles understanding the proof of the connection between BBM and KPP equation. I mean the proof of the next lemma from the lecture notes of Anton Bovier about BBM, link. This is almost whole ...

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**1**answer

121 views

### What transformations preserve the von Mises distribution?

The von Mises distribution is entirely defined on the circle with a density given by
$$f(x) = (2\,\pi\, I_0(\kappa))^{-1} \exp(\kappa \cos(x-\mu))\ ,$$
where $x$ is in an arbitrary real interval of ...

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**0**answers

82 views

### Diffusion equation on mixing of diffusing particles

I am trying to study mixing of diffusing particles like it was done by E. Ben-Naim On the Mixing of Diļ¬using Particles.
The picture below shows the idea how permutations and inversion numbers reflect ...

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**0**answers

193 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 ...

**3**

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**1**answer

325 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 ...

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**1**answer

161 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 ...

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**0**answers

227 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 ...

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**2**answers

502 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 ...

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**1**answer

418 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 ...

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**1**answer

343 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

**1**answer

687 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 ...

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**0**answers

337 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 ...

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**1**answer

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)= ...

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**2**answers

1k 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**

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**1**answer

174 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 ...

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**4**answers

698 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 ...