# Tagged Questions

**0**

votes

**1**answer

236 views

### Expected value with a kronecker product and Gaussian distributional assumption

What is the expected value, $ \mathbb{E}\left[ I \otimes \left( \operatorname{diag}(ZZ^T\mathbf{1}) - ZZ^T\right)\right]$ where $Z \sim N(0, \sigma^2I) $? The kronecker product is where the confusion ...

**0**

votes

**0**answers

216 views

### probability distribution for several variables

The Fokker-Planck equation for several variables is :
$\frac{\partial W}{\partial t} = L_{FP}W$
where
$L_{FP} = -\frac{\partial}{\partial x_i}D_i(\{x\})+\frac{\partial^2}{\partial x_i \partial ...

**4**

votes

**2**answers

241 views

### Relation between regularities of the trajectory of a mean zero gaussian process and its covariance operator

Let $\xi_t$ be a zero-mean gaussian process on $[0,1]$ with covariance operator $C$.
I would like to better understand the relation between the covariance operator and the regularity of the ...

**3**

votes

**1**answer

365 views

### Approximation of the law of a stochastic process

Hello Dear fellows,
I thank you in advance for your help and ideas.
I have just read an article and want you to help me understand the rational behind a part of it.
We have two processes $v_t$ and ...

**5**

votes

**2**answers

232 views

### how to sample a conditioned diffusion

there are several reasons why we could be interested in sampling conditioned diffusions:
if we observed a diffusion at discrete time and want to do some kind of inference on the parameters of the ...