**6**

votes

**2**answers

911 views

### Brownian Motion Winding Number

Take a simple random walk $\gamma$ in the complex plane conditioned to start at point $a$ and end at point $b$. For this random walk, we can define the winding number $W_\gamma(a,b)$ around $b$ in the ...

**1**

vote

**1**answer

691 views

### Need help understanding Mandelbrot and Van Ness Fractional Brownian Motion

I need help understanding the Mandelbot and Van Ness' definition of Fractional Brownian motion
$
B_H( t , \omega ) - B_H( 0 , \omega ) = \frac{1}{\Gamma(H + \frac{1}{2})} \left\( \int_{-\infty}^0 ...

**5**

votes

**1**answer

325 views

### Stieltjes integrals of predictable processes

I am looking for a direct proof of the fact that, roughly speaking, if $S=S_0+A+M$ is an $L^2$ semimartingale, and $M$ (the martingale part) has the martingale representation property, then for any ...

**13**

votes

**4**answers

1k views

### Wiener process related counterexample

The Wiener process is defined by the three properties:
1. $W(0) = 0$,
2. $W(t)$ is almost surely continuous, and
3. $W(t)$ has independent increments with $W(t) - W(s) \sim N(0, t-s)$ (for $0 ≤ s ...

**3**

votes

**0**answers

145 views

### Characterizing polyhedron from Brownian particle collisions with a boundary

Please imagine that we have an ordinary 2-sphere, of radius $r_{sphere}$, and some three-dimensional polygon that has all of its points fixed at positions strictly internal to the sphere's surface. ...

**4**

votes

**2**answers

244 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 ...

**2**

votes

**1**answer

618 views

### Taylor expansion to show that for Stratonovich stochastic calculus the chain rule takes the form of the classical one

As nobody seems to be able to give any kind of answer to that problem over there at math.stackexchange I post this question here:
How can I show with a heuristic argument based on a Taylor expansion ...

**1**

vote

**0**answers

294 views

### Change of Time in Stochastic Integral

Hi everyone,
Let's be given $I(0,t)$ a Stochastic Integral with respect to a local martingale $ M_t$ of the form :
$I(0,t)=\int_0^t h(s_-)dM_s$ with $h\in L(M)$ (for example $h$ is an adapted ...

**1**

vote

**0**answers

229 views

### Density of Dolean exponentials in L2 and Wiener Measure

Assume that W is the classical Wiener space C([0,1],R) note $\mu$ the Wiener measure, and denote by $\mu_s$ the image of $\mu$ under the maping $T: W ->W$ such that$ T(w)= \sqrt(s) w$ . Denote by ...

**4**

votes

**3**answers

404 views

### Continuity in intial state of Brownian Motion

$ B = (B_t, \mathcal{F}_t; t\ge 0 ) $ is a 1-d Brownian family on a
measurable space $(\Omega, \mathcal{F})$ with a family of probability
measures $\{\mathbb{P}^x\}$, i.e. $\mathbb{P}^x(B_0
= x) = 1$, ...

**4**

votes

**1**answer

803 views

### Distribution of running maximum of a local martingale

Let $(\Omega, \mathcal{F}, \mathbb{P}, \mathcal{F}_t)$ be a given
probability space with usual conditions, on which $W$ is a standard
Brownian motion. For $x \ge 0$, consider
$$X(t) = x + \int_0^t ...

**3**

votes

**1**answer

378 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 ...

**15**

votes

**4**answers

4k views

### Intuition and/or visualisation of Ito integral/Ito's lemma

Riemann-sums can e.g. be very intuitively visualized by rectangles that approximate the area under the curve.
See e.g. Wikipedia:Riemann sum
The Ito integral has due to the unbounded total variation ...

**3**

votes

**2**answers

776 views

### Is the truncated Brownian motion of the class DL?

Let $W$ be a standard Brownian motion under given probability space.
For a given constant $a$, $W^a$ is a truncated Brownian motion by stopping time
$T^a = \inf(t>0:W(t) = a)$. That is, $W^a(t) = ...

**2**

votes

**0**answers

291 views

### Finding jump probabilities from mean-occupancy values for positions on a one-dimensional random walk

Please imagine a discrete random walk on a one-dimensional lattice. The lattice consists of a set of $L$ positions, $(x_0, x_1, ..., x_L) \in L$, where $x_0$ is the initial position of the walk (as ...

**2**

votes

**2**answers

906 views

### Examples of deterministic processes of quadratic variation which are of unbounded variation

In [Föllmer 81] (English translation to be found here) writes: "The class of processes of quadratic variation is clearly larger than the class of semimartingales: Just consider a deterministic process ...

**1**

vote

**3**answers

904 views

### Föllmer: “Calcul d'Ito sans probabilités” in English or German?

Does anybody know a translation of Föllmer: Calcul d'Ito sans probabilités in English or German?
It seems to be a very interesting text - Abstract: "It is shown that if a deterministic continuous ...

**5**

votes

**2**answers

251 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 ...

**2**

votes

**1**answer

923 views

### Stationary Solutions of stochastic differential equations

When does the stationary density of an homogeneous Markov process exist?

**3**

votes

**1**answer

313 views

### initial condition of a diffusion approximation

I am trying to prove that a certain sequence of Markov chains $x^N_k$ converges towards a diffusion process. The invariant measure of $x^N$ is $\pi^N$ and the Markov chain $x^N$ is started in ...

**6**

votes

**1**answer

2k views

### Big picture concerning Ito integral, Stratonovich integral and standard results in probability theory

I am confused and don't get the big picture concerning the connection between
Ito integral
Stratonovich integral
Standard results in probability theory concerning skewed distributions.
Example: ...

**4**

votes

**0**answers

472 views

### Dynamic programming principle (DPP)

In stochastic control problem, one shall use the measurable selection theorem to prove DPP. It was discussed in discrete time case in [Bertsekas and Shreve 1978]. Is there unified framework in ...

**0**

votes

**1**answer

432 views

### Looking for a version of Itô's Lemma

Hi Everyone
I have some difficulties deriving the Stochastic Differential Equation for the following problem, any help or reference would be appreciated.
We are given a Brownian Motion $B_t$ and ...

**1**

vote

**2**answers

253 views

### Problem with a Long Range Correlated Time Series

Consider a stochastic process $X_t$ , $t \in 1,2,3,..,N $.
$X_t$ is a Bernoulli variable and $\Pr(X_t=1) = p$ for all $t$.
The Autocovariance function $\gamma(|s-t|)= E[(X_t - p)(X_s -p)]$ is given
...

**3**

votes

**2**answers

365 views

### Systematization of deterministic and stochastic integrals

With this question I try to build up a systematization of different kinds of integrals. The following table differentiates between deterministic and stochastic integrals, the summation processes ...

**16**

votes

**5**answers

2k views

### Brownian motion and spheres

Consider a Brownian motion on $[0;1]$. A (finite) discrete approximation of this Brownian motion consists of $N$ iid Gaussian random variables $\Delta W_i$ of variance $\frac{1}{N}$:
$$ ...

**9**

votes

**2**answers

2k views

### Convergence and non-convergence of left-point and mid-point Riemann sums

In standard calculus it is a well known fact that left-point and mid-point Riemann sums do become equal in the limit. When it comes to stochastic integration this is no longer the case. Taking the ...

**13**

votes

**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 ...

**6**

votes

**5**answers

2k views

### Discrete version of Ito's lemma

Could anyone give me some references where I could find
(a) discrete version(s) of Ito's lemma
(b) a proof how it converges to the continuous form in the limit
(c) its usage within stochastic ...

**2**

votes

**1**answer

333 views

### Moment Generating Function: Pulling a term out of k-times differentiation

In Wiersema: Brownian Motion Calculus on p. 205 (in an Annex on Moment Generating Functions (mgf)) the following equation is being presented $${d^k \over d\theta^k} \left ({1\over ...

**1**

vote

**2**answers

495 views

### Exploding Levy processes

Hi,
probably this is a fairly newbie question, but is it possible that the a generic Levy process explodes (i.e. tends to infinity for finite time t with positive probability)? If yes, could you ...

**1**

vote

**1**answer

256 views

### Extension of some feature of SDE Ornstein-Uhlenbeck type

Hi everyone,
I am looking for some ideas (or references) in order to get an explicit SDE (if it exists) which would have a stylised property extending in some sense the mean-reversion property of SDE ...

**0**

votes

**2**answers

302 views

### Units in Ornstein-Uhlenbeck(OU) process

Take an OU process characterized by
X(0) = x
dX(t) = - a X(t) dt + b dW(t)
where a,b >0. The parameter a is usually interpreted a dissipative term, and b is a ...

**10**

votes

**2**answers

532 views

### Inequality in Gaussian space — possibly provable by rearrangement?

The following problem arose for my collaborators and me when studying the computational complexity of the Maximum-Cut problem.
Let $f : \mathbb{R} \to \mathbb{R}$ be an odd function. Let $\rho \in ...

**1**

vote

**4**answers

378 views

### CAS for finding closed form solutions to PDEs and SDEs?

Are there any specialized Computer Algebra Systems (or packages for these) for finding closed form solutions to
a) partial differential equations,
b) stochastic differential equations?
If yes, what ...

**3**

votes

**2**answers

474 views

### maximizing function (stochastic calculus)

S is a price process which follows Geometric Brownian motion with no drift:
dS=S*vol*dW, vol=const., W is a Wiener process.
Define the following ratio: R=E[Max(f(S)-S(T),0)]/E[f(S)], where S(T) is ...