Questions tagged [stochastic-calculus]
Stochastic calculus provides a consistent theory of integration for stochastic processes and is used to model random systems. Its applications range from statistical physics to quantitative finance.
353
questions with no upvoted or accepted answers
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Stochastic analysis on nuclear Fréchet spaces
This is a reference request question, so to make it clear what I am after, I will give a quick outline of the area I am thinking in and some questions that arise.
A lot of the time in infinite-...
7
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178
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Why do people who work in stochastic analysis and geometry tend to work in sub Riemannian geometry?
There is a rich theory of diffusions on manifolds. Every time I see someone who studies diffusions on manifolds, it seems like they study the sub Riemannian setting. I get that this is more general ...
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Squaring random Schwartz distributions
Let $\mu$ denote the centered Gaussian measure on $S'(\mathbb{R}^d)$ with covariance
$$
\mathbb{E}
[\phi(f)\phi(g)]=\int_{\mathbb{R}^d} \frac{\overline{\widehat{f}(\xi)}
\widehat{g}(\xi)}{|\xi|^{d-2[\...
7
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621
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When is an ODE a good approximation to an SDE?
Suppose $X_t$ is a weak solution to a stochastic differential equation in the form
$$d X_t = \sigma(X_t) d W_t + \lambda(X_t) dt$$
for smooth functions $\sigma: \mathbb R^d \to L(\mathbb R^d,\mathbb R^...
7
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437
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Stochastic Integration via Skorohod Representation
I am interested to know if Ito integrals against Brownian motion can also be constructed via Skorohod representation. By this I mean the following: let $S_n$ be a simple random walk started at zero; ...
6
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69
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Error estimates for projection onto the Wiener chaos expansion for stochastic Sobolev spaces (stochastic Rellich–Kondrachov theorem)
Let $n$ be a positive integer, $s\in \mathbb{R}$, $(\Omega,\mathcal{F},(\mathcal{F}_t)_{t\ge 0},\mathbb{P})$ be a filtered probability space whose filtration supports and is generated by an $n$-...
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Global well posedness of $\phi^4_1$
We consider the $\phi^4_1$ model: $\partial_t\phi=\Delta\phi-\phi^3+\xi$ on $[0,T] \times \mathbb{R},$ where $\xi$ is a space time white noise.
I know how to solve this equation locally on the torus, ...
6
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726
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Relationship between the Itō formula for a Q-Wiener process and the Itō formula for a cylindrical Wiener process. A question on the trace term
Remark: Even when this question is about stochastic PDEs, it can be answered by someone who has no knowledge about probability theory or PDEs.
I'm reading Stochastic Differential Equations in ...
6
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Numerical Methods for stochastic PDE, from rough paths to backward equations
this question is about some literary references regarding the state of the art in terms of numerical methods for SPDE's. In particular,
Have the numerical implications, if any, of the results in ...
6
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219
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Reference request: Stochastic integration and martingale theory on the whole real line
I'm looking for a thorough treatment of stochastic integration and/or martingale theory on the whole real line, i.e. a way to construct a Brownian motion $(B_s)_{s \in \mathbb{R}}$ (if a two-sided BM ...
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General questions on stochastic calc on manifolds
I've done coursework in differential geometry and stochastic calculus, but I haven't formally seen any connections between the two. I have read that both information geometry and stochastic ...
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Uniform bound for the occupation time of a diffusion
Note: We denote by $\mathcal L(U)$ the Lebesgue measure of a set $U$.
Let $\mu: \mathbb R^d \to \mathbb R^d$ and $\sigma: \mathbb R^{d} \to \mathbb R^{d \times d}$ be Borel functions.
Suppose the ...
5
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615
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Cadlag and adapted (usual conditions assumed) imply progressively measurable (related to Protter's Stochastic Calculus theorem 6)
Hi maybe someone on here can help me. I have been stuck on showing this fact for several months. I asked this question in the stack exchange and it has floated around for a while but to no avail.
...
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Skorokhod' representation theorem: What is (are) possible filtration(s) on the common probability space?
I asked this question on math.stackexchange at
https://math.stackexchange.com/questions/1941142/skorokhods-representation-theorem-what-is-the-filtration-on-the-common-probabi
and haven't received ...
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Second order calculus and rough paths
In Emery's book "Stochastic calculus in manifolds", he shows how to make sense of integrals of the form
$$ \int \langle\Theta_t, \mathbf{d} X_t\rangle,$$
where $X$ is a semimartingale on a manifold $M$...
5
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104
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Stochastic calculus for several inputs
In "On the Gap Between Deterministic and Stochastic Ordinary Differential Equations," The Annals of Probability, Vol. 6, No. 1 (Feb., 1978), pp. 19-41, Hector J. Sussmann showed that a stochastic ...
5
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Malliavin calculus w.r.t $G$-Brownian motion
I wonder if it is possible to define a Malliavin calculus w.r.t $G$-Brownian motion defined on a Sublinear Expectation Space available on this link.
G–Brownian motion has a very rich and interesting ...
5
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632
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Integrating a Bessel Bridge
Preliminaries
An order-3 Bessel Process is the one-dimensional stochastic process $X$ described by $X(t) = \sqrt{W_1(t)^2 + W_2(t)^2 + W_3(t)^2}$, where each $W_k$ is an independent Brownian Motion. ...
5
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1
answer
981
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Is this process strictly positive?
Let $W_t$ is standard Brownian motion under probability measure $P$.
Consider 1-D stochastic differential equation
$$ dY_t = dt + \sigma(Y_t) dW_t, \ Y_0 = y\ge 0.$$
We assume $\sigma(0) = 0$, and $\...
5
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stochastic control / geometric mean
Consider the following problem:
Given $\Omega$ and $U$ two symmetric definite positive matrices, choose a matrix $K$ to minimize the expectation $x' \Omega x + x'K'UKx$ when $x$ follows the invariant ...
5
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Levy jump measure vs. Levy measure vs. sum of jumps
This question might be a bit basic, but I am struggling to understand the connection between various versions of the Ito's lemma for Levy processes (and semimartingales in general). Could someone ...
4
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A notion of SDE via the martingale representation theorem
$\newcommand{\d}{\mathrm{d}}$It is well-known that differentiating stochastic processes with respect to time is usually impossible in the usual sense. For instance, a Brownian motion $W$ on a ...
4
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251
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Malliavin calculus and geometric interpretation of $\nabla \cdot ({\nabla F(x)}{\|\nabla F(x)\|^{-2}})$, with regards to the surface $S = \{F = 0\}$
Let $F:\mathbb R^n \to \mathbb R$ be a "sufficiently regular" function. For any $k \ge 1$ and $x \in \mathbb R^n$, define
$$
\alpha_k(x) := \nabla \cdot \left(\dfrac{\nabla F(x)}{\|\nabla F(...
4
votes
1
answer
552
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Random time change from Oksendal's SDE textbook
I have two questions related to the random time change introduced in Oksendal's textbook on SDEs (page 155-156). Specifically, for Lemma 8.5.6., I have no clue as to why we should define $t_j$ in ...
4
votes
0
answers
93
views
Log Sobolev inequality for Wiener space
I am reading https://arxiv.org/pdf/1003.1649.pdf and saw equation 10.2.3 that said that on Wiener space
$$E\left[f^2\log\left[\frac{f^2}{E[f^2]}\right]\right]\leq 2 E[|\nabla f|_H^2],$$
where $\nabla$ ...
4
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0
answers
155
views
Occupation time of SDE
Let $b:\mathbb{R}^d\to\mathbb{R}^d$ be locally Lipschitz and assume that, for any $x\in\mathbb{R}^d$ and any $f\in C^{\infty}([0,1],\mathbb{R}^d)$, the equation
$$
X_t^{x,f}=x+\int_0^t b(X_s^{x,f})\,...
4
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Pedestrian proof of Gaussian chaos for order-two polynomial?
Let $\ell \geqslant 1$. Let us consider $(g_n)_{n \in \mathbb{N}}$ identically distributed independent real gaussian variables and real number $(a_{n_1,\dots n_{\ell}})_{(n_1, \dots, n_{\ell}s)\in\...
4
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325
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Martingale polynomial functions
If $B_t$ is a Brownian motion then using Hermite polynomials one can find that
$$1, B_t, B_t^2-t, B_t^3 - 3tB_t,...$$
are martingales.
If $X_t$ is a diffusion
$dX_t = \mu(X_t,t)dt + \sigma(X_t,t)...
4
votes
0
answers
240
views
Exit time of a stochastic process defined by a SDE
Let $\mathcal{P}$ be a "small particle" trapped in a $n$-dimensional potential. We will assume the dynamics of $\mathcal{P}$ are well described by the stochastic differential equation
\begin{align*}
\...
4
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316
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Compactness of semigroups of one-dimensional diffusions
I have a question about semigroups of one-dimensional diffusions.
Let $X$ be the Ornstein-Uhlenbeck process on $\mathbb{R}$. The generator is expresses as
$$\frac{d^2}{dx^2}-x\frac{d}{dx}.$$
It is ...
4
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0
answers
405
views
Definition of the Stratonovich integral in Hilbert spaces
Let
$T>0$
$(\Omega,\mathcal A,\operatorname P)$ be a probability space
$\mathcal F=(\mathcal F_t)_{t\in[0,\:T]}$ be a filtration on $(\Omega,\mathcal A,\operatorname P)$
$B$ be a (standard, real-...
4
votes
0
answers
120
views
Short time asymptotics for Brownian motion on a compact manifold
Consider a compact Riemannian manifold $(M, g)$. Choose a ball $B(p, r)$ inside $M$, and a quasi-isometric ball $B(q, s)$ in $\mathbb{R}^n$, in the image of a coordinate chart containing $B(p, r)$ (in ...
4
votes
0
answers
73
views
Existence of martingales given some constraint on laws
Let $X=(X)_{0\le t\le 1}$ be a continuous martingale starting at $0$, then denote by $\mu$ and $\nu$ the probability laws of $\int_0^1X_t \mathrm{d}t$ and $X_1$. Then it is easy to see that the couple ...
4
votes
0
answers
483
views
Expectation of running maximum of diffusion processes
Let $X$ be a one-dimensional Ito diffusion $$X_t=x+ \int_0^t b(X_s)ds + \int_0^t \sigma(X_s)dW_s,$$ where $b,\sigma$ satisfy the usual Lipschitz continuity and linear growth conditions. Define the ...
4
votes
0
answers
321
views
Lyapunov function of exponential growth for existence of a solution of an SDE
Let
$$dX_t = a(X_t) dt + b(X_t) dW_t$$
be a one-dimensional stochastic differential equation, where the coefficients $a,b: \mathbb{R} \rightarrow \mathbb{R}$ satisfy for every ball $B_R$ the following ...
4
votes
0
answers
474
views
Existence of predictable quadratic covariation for a special pair of local martingales
In Limit theorems for stochastic processes, by Jacod and Shiryaev we have the existence of a predictable quadratic covariation process stated as the following theorem
$\mathbf{Theorem}$ To each ...
4
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0
answers
129
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Tail for the integral of a diffusion process
I would like to compute the following tail,
$$
\mathbb{P}\left(\int_{0}^{T} f(X_t)\mathrm{dt}>x\right),
$$
assuming
$$
\mathbb{P}[f(X_t)>x] = x^{-\alpha} \log(x),
$$
and $X$ is a diffusion ...
4
votes
0
answers
689
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Dynamic programming principle (DPP)
In stochastic control problem, one shall use the measurable selection theorem to prove DPP. It was discussed in discrete time case in [Bertsekas and Shreve 1978]. Is there unified framework in ...
3
votes
0
answers
66
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Norm estimate for parabolic SPDE solution
When $X$ satisfies $${\rm d}X_t=\varphi_t{\rm d}t+\Phi_t{\rm d}W_t$$ on a Hilbert space $H$, where $W$ is a $Q$-Wiener process on a Hilbert space $U$, we know by the Ito formula that $$\|X_t\|_H^2-\|...
3
votes
0
answers
88
views
Explicit example of drift $F$ so that the law of $F+B$ is not absolutely continuous with respect to $B$
Let $\mu_0$ be the law of Brownian motion on the space of continuous functions. If $\mu\sim\mu_0$ agrees on null sets then there is some progressively measurable $F\in W_0^{1,2}$ a.s. so that $\mu$ is ...
3
votes
0
answers
170
views
Flow property for semimartingale driven SDE at a stopping time
Let $S$ be an $n$-dimensional semimartingale such that the SDE
$$dX_t = \sigma(X_t, t) \, dS_t$$
with $\sigma$ Lipschitz continuous admits a globally defined unique strong solution on $[0, T]$.
For $t ...
3
votes
0
answers
70
views
Monotone Characteristic Function
Let $X$ be a continuous, symmetric random variable such that its characteristic function $\phi_X$ is real, symmetric and with $\lim_{t\to\infty}\phi_X(t)=0$.
What other properties must $X$ have in ...
3
votes
0
answers
92
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Dealing with noise that is white in time, colored in space numerically
I am broadly working on a dynamic process where we want to see how a field $\rho(r)$ changes in space in time with thermal noise. The system is biased around a thermodynamic saddle point dictated by $...
3
votes
0
answers
168
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Elworthy’s 1982 “Stochastic Differential Equations on Manifolds” - relevant?
In 1982, D. Elworthy published “Stochastic Differential Equations on Manifolds”. Apparently, this was quite a seminal book in the field of stochastic DE’s/processes on manifolds. Is this reference ...
3
votes
0
answers
90
views
Martingale problem for regime switching SDE
Let $\mu$ be a continuous time Markov process switching between two possible values $a, b \in \mathbb R$ with time homogeneous transition rates. Consider the one dimensional SDE
$$dX_t = \mu \, dt + ...
3
votes
0
answers
122
views
A path with zero increments and positive area
I am studying rough paths from the 2007 St Flour lecture notes and I came across the example at the end of chapter one of the sequence of paths $X(n):[0,2\pi]\to \mathbb R^2$ given by $X_t(n) = \frac{...
3
votes
0
answers
119
views
Joint law of two stochastic integrals with respect to the same Brownian motion
Let $a:\mathbb R_+\to [1,2]$ be "smooth". Given a standard Brownian motion $W$, define for $t\ge 0$
$$X_t:=\int_0^t\frac{1}{a(s)}dW_s \quad \mbox{and}\quad Y_t:=\sup_{0\le u\le t} \int_0^u a(...
3
votes
0
answers
122
views
Density of invariant measure of stochastic differential equation
I have a question: is it possible that an SDE has a "nice" density, but its invariant measure does not have a "nice" density? I asked this question at math.stackexchange but ...
3
votes
1
answer
167
views
Constants in Meyer inequalities
Let us first recall Meyer inequality in the Malliavin calculus framework
$$\|\delta(u)\|_{L^p}\leq C_p\|u\|_{\mathbb{D}^{1,p}},\qquad \forall u\in \mathbb{D}^{1,p},$$
where $\delta$ is the skorohod ...
3
votes
0
answers
232
views
Probability of a particle surviving forever
Consider a particle whose position is driven by the following equation:
$$Y_t = y + t + W_t + C\min\big(1,(Y_t+1)^+\big)\Lambda_t,\quad \mbox{for all } 0\le t<\tau_*,$$
where $y>0$, $0<C<1$...