**12**

votes

**0**answers

746 views

### surprisingly difficult filtration problem

I am interested in a proof of the following statement which seems intuitive, but is somehow really tricky:
Let $X$ be a stochastic process and let $(\mathcal{F}(t) : t \geq 0)$ be the filtration ...

**6**

votes

**0**answers

298 views

### 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; ...

**5**

votes

**0**answers

205 views

### Quadratic variation and predictable quadratic variation for martingales

Let $(M_{t})_{0\le t\le 1}$ be a continuous martingale with respect to the filtration $(\mathcal{F}_{t})_{0\le t\le 1}$. Assume that $E M_1^2<\infty$.
Fix $N$ and consider now a discrete version ...

**5**

votes

**0**answers

248 views

### 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)}
...

**5**

votes

**0**answers

377 views

### Feynman-Kac theorem: probabilistic proof of existence of solution to parabolic PDE

Friedman (in his book: PDEs of Parabolic Type) shows how to construct a solution to the Cauchy problem
$$
\partial_t u(t,x) = b(x) \partial_x u(t,x) + \frac{1}{2} \sigma(x)^2 \partial_{x,x} u(t,x)
$$
...

**5**

votes

**0**answers

81 views

### 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**

votes

**0**answers

402 views

### 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 ...

**5**

votes

**0**answers

1k views

### 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**

votes

**0**answers

103 views

### 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 ...

**4**

votes

**0**answers

201 views

### 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 ...

**4**

votes

**0**answers

230 views

### 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. ...

**4**

votes

**0**answers

501 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 ...

**3**

votes

**0**answers

38 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 ...

**3**

votes

**0**answers

58 views

### What is the probability of B.M. hitting two disjoint spheres $(d\geq 3)$?

The hitting probability for spheres centered at origin is $P_{x}(T_{B_{r}(0)}<\infty)=\frac{r^{d-2}}{|x|^{d-2}}>0$, where $|x|>r$.
1)So I was wondering how can one compute ...

**3**

votes

**0**answers

141 views

### 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 ...

**3**

votes

**0**answers

176 views

### Generalization of Ito's formula

If $f:R\to R$ is a convex function then we have Ito-Tanaka formula. Now my question is that if we are given a function $u: R\times R_+\to R$ such that $u(s,\cdot)$ is smooth for every $s\in R$ and ...

**3**

votes

**0**answers

71 views

### How can one do change of variables for solutions to a staochastic partial differential equation?

isHow can one do change of variables for solutions to a staochastic partial differential equation? For example, let us consider the following stochastic transport equation:
$$
dy(t,x) + y_x(t,x) + ...

**3**

votes

**0**answers

151 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 ...

**3**

votes

**0**answers

111 views

### The distribution of Jump gaps of Levy process

Assume $X_{t}$ is a Levy process with triplet $(\sigma^{2}, \lambda, \nu)$, here $\nu$ is the Levy measure of $X_{t}$. Define $\tau_{1},\tau_{2},\dots$ be the time gap between the successive jumps ...

**3**

votes

**0**answers

142 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 ...

**3**

votes

**0**answers

190 views

### Time reversibility of Stratonovich Diffusion: Reference Request

Please consider the Stratonovich stochastic differential equation (SDE)
$$
dX = b(X)\circ dB
$$
where $B$ is standard Brownian motion and $X(0)=X_0$. This corresponds to the Ito (SDE)
$$
dX = ...

**3**

votes

**0**answers

185 views

### Joint distribution of Ito integral and its quadratic varation

Any idea on solving the joint distribution of
$X_T=\int_0^T \alpha_t dZ_t$ and $Y_T=\int_0^T \alpha_t^2 dt$ ? Here $X_T$ is an Ito integral and $Z_t$ is a standard Brownian process. When $\alpha_t$ ...

**3**

votes

**0**answers

157 views

### 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 ...

**3**

votes

**0**answers

233 views

### Observing drift of a Levy process

It is a well known fact, that it is very difficult to estimate the drift of a Brownian motion with drift from looking at a single path over a finite interval $[0, T]$. Is it the case with Levy ...

**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. ...

**2**

votes

**0**answers

42 views

### integrability of Brownian motion stopped at some stopping time

Let $B=(B_t)_{t\ge 0}$ be a standard Brownian motion starting at zero and denote by $S=(S_t)_{t\ge 0}$ its running maximum, i.e. $S_t=\sup_{0\le s\le t}B_s$. Given a fixed number $p>1$, define the ...

**2**

votes

**0**answers

82 views

### The existence of stationary measures for certain Markov process

My question is that:For a discrete-time random process $\{x_{t}\}_{t=1}^{\infty}$ and $x_{t} \in \Omega$ where $\Omega$ is a general state space(If $\Omega$ is a discrete space, it is a discrete-time ...

**2**

votes

**0**answers

41 views

### Deriving HJB equation (why $\frac{dZ_t}{dt}=0$?)

I am trying to derive the HJB equation in a stochastic setting. Let
me exemplify my problem with the simplest case where there is no control,
just one state variable. Assume the payoff is given by
$$
...

**2**

votes

**0**answers

74 views

### Sobolev Bundle on Wiener Space

Right now I am learning about analysis of stochastic processes and the Malliavin calculus. It seems though, that most of the theory works for Brownian motion in $\mathbb{R}^n$, and it seems ...

**2**

votes

**0**answers

65 views

### Existence of 1-1 mapping/homeomorphism

Let $B$ be a standard 2-D Brownian motion, and $\sigma: \Omega\times \mathbb R^{+} \mapsto \mathbb R^{2 \times 2}$ is an $\mathcal F_{t}$ adapted process satisfying, for some constants ...

**2**

votes

**0**answers

142 views

### Hitting time of two dimensional continuous martingale

Let $(\Omega, \mathcal{F}, P)$ be a probability space, on which $\mathcal{F}_t$ is filtration satisfying general conditions. $W_{t}=\left(W_{t}^{1},W_{t}^{2}\right)^{T}$ is a two dimensional Brownian ...

**2**

votes

**0**answers

56 views

### The distribution of maximum of fraction Brownian motion over finite time interval

Suppose that $\{B_t^H,\ t\geq 0\}$ is a fractional Brownian motion with Hurst exponent $H$, I wonder if there are explicit expressions for the joint distribution of
$(\sup_{0\leq t\leq ...

**2**

votes

**0**answers

134 views

### On the infinitesimal generator of a 1-dimensional stochastic heat equation: core and explicit form

Denote $E = C([0, 1])$. I am consider a 1-dimentional stochastic heat equation on $h$:
$\partial_tu(t, x) = \partial_x^2u(t, x) - V'(u(t, x)) + \dot{W}(t, x)$, for all $(t, x) \in (0, ...

**2**

votes

**0**answers

93 views

### a generalization of Monge-Kantorovich Problem

I am thinking about the martingale version of Monge-Kantorovich Problem.
Let $\mu(x)$ and $\nu(y)$ denote two density laws on $\mathbb{R}$, and define $M(\mu,\nu)$ the set of densities $f(x,y)$ on ...

**2**

votes

**0**answers

329 views

### distribution of integral of exponential of wiener process

I am absolute newbie to stochastic calculus and have to solve a weighted hazard rates integral, where the hazard rates are stochastic, their logarithm governed by arithmetic Ornstein-Uhlenbeck (OU) ...

**2**

votes

**0**answers

137 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 ...

**2**

votes

**0**answers

75 views

### 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 ...

**2**

votes

**0**answers

150 views

### Cameron-Martin like RKHS

Hello,
I know that $k(x,y)=min(x,y)$ is the reproducing kernel of the Cameron Martin space of all i.i.d. RVs of Brownian motion at different times, with the $cov$ inner product.
What is the RKHS ...

**2**

votes

**0**answers

193 views

### Computing a density function for the integral of a stochastic process, given its transition function

$P$ is a one-dimensional Markov stochastic process that runs on time interval $[0, t_f]$. I know its transition function: $P(0) = x_0$ and for any $0 \le t_a < t_b \le t_f$, the function $f(x_b | ...

**2**

votes

**0**answers

241 views

### 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 ...

**2**

votes

**0**answers

100 views

### Does this series stopping times marching forward?

Let $W_t$ is standard Brownian motion under probability measure $P$.
Consider stochastic differential equation
$$ dY_t = dt + Y_t dW_t, \ Y_0 = 0.$$
Note that, the above SDE has a strong non-negative ...

**2**

votes

**0**answers

311 views

### How to deal with the vector norm item as a denominator in this expectation?

Hello, everyone.
I want to calculate the expectation shown in the following formula, where $X$ follows a standard $d$-dimensional multi-variable normal distribution as ...

**2**

votes

**0**answers

294 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 ...

**1**

vote

**0**answers

21 views

### 'nonclassical' abstract Wiener space

Is it possible to construct an abstract Wiener space $(W,H,\mu)$ such that $C^{0,\frac{1}{2}}(\Omega)\subset H$ and W is a normed function space such that the convergence in norm implies convergence ...

**1**

vote

**0**answers

60 views

### Definition of Ito Integral

In Karatzas and Shreve, the integral for Bounded Progressively measurable processes is defined first. Then, for Bounded measurable and adapted processes ($f(t,\omega)$), the authors say that there ...

**1**

vote

**0**answers

51 views

### Asymptotics of Variable Drift Ornstein–Uhlenbeck Process

The Ornstein–Uhlenbeck process is defined as the stochastic process that solves the following SDE:
$dx_t = \theta (\mu-x_t)\,dt + \sigma\, dW_t$
where $\theta>0$, $\mu$ and $\sigma>0$ are ...

**1**

vote

**0**answers

136 views

### Joint law of a standard Brownian motion and its local time at a nonzero level

Let $B_t$ be the standard Brownian motion and $L_t^a$ be the local time at level $a$. It is known that the joint-density of $(L_t^0,B_t)$ is
$$
P\left(B_t\in d y, L_t^0\in d v\right) = ...

**1**

vote

**0**answers

41 views

### Question about the characteristics of semimartingales

Let $D=D([0,1,R)$ be the space of cadlag (right-continuous with left limits) functions defined on [0,1] and $X:=(X_t)_{t\in [0,1]}$ be the canonical process on $D$, i.e. $X_t(x)=x(t)$ for all $x\in ...

**1**

vote

**0**answers

256 views

### Girsanov theorem with Geometric Brownian Motion

I am not a student in mathematics, but I am trying to use the following Theorem 8.6.6 (Girsanov theorem II) of Oksendal's SDE with geometric Brownian motion $S_{t}$ instead of the standard Brownian ...

**1**

vote

**0**answers

237 views

### Inflated independent samples for Monte Carlo estimation

In my particular problem, running an MCMC is too expensive, so I'm looking for a simple MC estimator, which would partially inherit the correlated samples of MCMC, yet would not require computing ...