0
votes
1answer
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
0answers
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
2answers
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
1answer
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
2answers
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 ...