A stochastic process is a collection of random variables usually indexed by a totally ordered set.

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On the induced norms of stochastic operator and its adjoint operator

The background: when studying the paper published in Automatica named '$H_{\infty}$ control and filtering of discrete-time stochastic systems with multiplicative noise' (volume 37, pp. 409-417), I ...
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18 views

Truncated Robbins-Monro

I'm reading Han-Fu Chen's book "Stochastic Approximation and Its Applications", and in Chapter 1, he's got a statement of a theorem and proof on a truncated Robbins-Monro algorithm. In this version, ...
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34 views

Scaling of First-passage times for Random Walk on integer lattices

Consider simple symmetric random walk $S_{n} = (S_{n}^{(1)},\dots, S_{n}^{(d)})$ on the d-dimensional integer lattice with starting point the origin. Let $\tau_{N}$ be the first time $S_{n}$ exits ...
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1answer
43 views

How can two random variables are continuous infers that their jointly random variable is continuous [closed]

We assume that $\forall a,b$ suchthat $a^2+b^2>0$, $aX+bY$ is continuous random variable. But we don't assume that $X$ and $Y$ are independent. My question is the following: Is it true that the ...
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47 views

Cramer-Rao type bound for absolute estimation error

Let $\{X_1, X_2, \ldots, X_n\}$ be independent and identically distributed (i.i.d.) random variables sampled from a common distribution with density $f_{\theta}(x)$, where $\theta$ is an unknown ...
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1answer
135 views

Upper bound of the waiting time of a sum process

Let $n \in \mathbb{N}$, $x_1, \ldots, x_n \in (0,1)$ fix but arbitrary, s.t. $\sum_{i=1}^n x_i = 1$. Let $X_i \sim \operatorname{Unif}(\{x_1, \ldots, x_n\})$ i.i.d., and $T_n = \min\{t \in \mathbb{N} ...
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Long time statistics of random functions

I'd like to understand if an average over random functions can be factorized in the long-time limit. Let $$ X_t = \sum_{k=1}^M a_k \cos(\omega_k t + \phi_k) $$ a random function, where ...
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202 views

Is $B(t-1)$ an Ito process?

Let $I(\cdot)$ be an indicator, and $B_{t}$ be an 1-dim standard Brownian motion in a nice filtered probability space $(\Omega, \mathcal{F}, P, \mathcal{F}_{t})$. We consider a random process $$Y_{t} ...
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1answer
96 views

probability in galton watson processes [closed]

I am trying to study the Elementary new proofs of classical limit theorems for Galton Watson processes written by Jochen Geiger. I don't understand what Z_(n,i) stand for. And in the proof of Theorem ...
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2answers
117 views

Principal bundles and Subriemannian Geometry

In sub-Riemannian geometry, one considers manifolds $P$ equipped with a subbundle $\mathcal{H}$ of $TP$, the horizontal distribution. One then has a Riemannian metric only on this distribution ...
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34 views

Strong Markov Property of the joint process $(B_t,L_t)_{t\ge 0}$

Let $B=(B_t)_{t\ge 0}$ be a Brownian motion and $L=(L_t)_{t\ge 0}$ be its local time in zero. Given two strictly increasing functions $\phi_1$, $\phi_2: \mathbb R_+\to\mathbb R$ such that ...
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192 views

Central limit theorem for biased random walk

Define random variables $X_n$ by $X_0 = 0$ and \begin{equation*}X_n - X_{n-1} = \begin{cases} 1 & \text{with probability } g(X_{n-1}) \\ 0 & \text{with probability } 1-g(X_{n-1}) \end{cases} ...
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1answer
108 views

Stochastic interpretation of heat kernel on fiber bundle

I'm looking for a stochastic interpretation of the heat equation for vector valued function. The classical set up is the following : If $(M,g)$ is a riemannian manifold then we could consider the ...
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99 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) = ...
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37 views

Recursive parameter estimation for partially observed Ito SDEs

I'm trying to get my head around online (recursive) maximum-likelihood parameter estimation in the language of stochastic processes and in the context of stochastic filtering, i.e. where we have a ...
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87 views

Horizontal vs Vertical sides Exit from a Rectangle for simple symmetric Random Walk on $\textbf{Z}^{2}$

Consider simple symmetric random walk, $X_{n} = (X_{n}^{(1)}, X_{n}^{(2)})$ with $X_0= (0,0)$, on the 2 dimensional integer lattice, $\textbf{Z}^{2}$. Let $T_{M}, T_{N}$ be the smallest $n$ such ...
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101 views

Does a Gaussian process shrink under a contraction map

Let $T \subset \mathbb R^n$, and assume it's a finite set if that helps. Consider the symmetric Gaussian process $(X_t)_{t\in T}$ defined by $X_t = \langle G, t\rangle$, where $G$ is a standard ...
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1answer
117 views

Stochastic differential equation associated with an optimal control problem

We know how to find the stochastic differential equation (Hamilton-Jacobi-Bellman equation, HJB) of the control problem where a process $X_t$ is controlled up until it is stopped at a stopping time ...
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32 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 ...
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55 views

Bounding correlation between blocks of Gaussian stationary process

Let $X_n$ be a stationary Gaussian process with covariance function $\gamma(n)=\mathrm{Cov}[X(n),X(0)]$. Let $\mathbf{X}_p^q=(X_p,\ldots,X_q)$, $s_n^2=\mathrm{Var}(X_1+\ldots+X_n)$, and ...
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158 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 ...
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129 views

Area enclosed by Brownian motion (without winding number)

The question Average Value of Area Closed by Brownian Motion turned out to be about the Lévy area process, which measures "signed area with multiplicity" enclosed by Brownian motion (e.g. each ...
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56 views

SDEs: Bounding the variance of a solution

I've been thinking about something that would seem intuitive, but I haven't really been able to dig a direct answer to. This is a rough draft of it. Let $$X_t = \mu_{X,t} \mathrm{d}t + \sigma_{X,t} ...
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1answer
97 views

Criterion for weak convergence of probability measures on S' or D'

Let $X_n$ in $S'$ and $\mu_n$, $\mu$ in $M(S')$. $S'$ is the space of tempered distributions. I'm looking for a reference that says if $< f, X_n >$ converges in distribution to $< f,X>$ ...
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Deep Learning / Deep neural nets for mathematician

I am interested in finding out the math ideas behind the technologies that are under the umbrella of "Deep Learning" or "Deep neural nets". Most of the papers/books that are often quoted in ...
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225 views

a question on 0-1 valued stochastic process

Here's a question on probability theory from a layman (I'm a game theorist). It is very likely that the question will be a straightforward matter for someone who is a probability theorist. I guess I'm ...
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22 views

a judicious choice of a parametrix expansion for a Kolmogorov equation?

Consider two SDEs: Let $b, \sigma$ be two smooth lipshitz functions on $\mathbb{R}$ and consider $\left \{ X(s), s\geq t \right \}$ the solution of the following SDE $d X(s) = b(X(s)) d s + ...
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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)} ...
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Does the expected spreading of sample paths imply increase in variance?

Consider a sample-continuous stochastic process $\left\{ X_t \right\}_{t \in T}$ s.t. each $X_t$ is real-valued and $$\int_\Omega | X_t(\omega) | ^p \, \mathrm{d} P(\omega)< \infty$$ for all $1 ...
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Invariant Girsanov Theorem on a Riemannian manifold

This is somewhat a follow-up on this post. Let $X_t$ be the stochastic process on a compact Riemannian manifold generated by the (possible time-dependent) second-order elliptic operator $L_t$. Let ...
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59 views

Matroid rank decay

Consider a uniform vector matroid $M(0)=U_{m,n}$ of rank $m$ with $n$ points, $n>m>2$ (you can think of it as a set of $n$ points in general position in vector space $F^m$ for some large field ...
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Defining a brownian bridge indexed by angle

I have a random closed curve of the form $(\theta,r_\theta)$, where $\theta\in [0,2\pi]$, is the counter clockwise angle from the x-axis and $r_\theta$ is the radial distance from the origin ...
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183 views

Average probability that a random cosine polynomial with bernoulli coefficients is small

Let $P_{n}(t)=\sum_{k=0}^{n}\varepsilon_{k}\cos(kt)$ where $\varepsilon_{i}$ are independent random variables taking values in $\left\{-1,1\right\}$ with equal probability. Is is true that for any ...
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1answer
47 views

Can real-valued Markov processes with continuous surjective sample paths admit a non-trivial “forward-invariant” set?

I have both a more general question (concerning stopping times), and then a more specific application (as described in the title). Let $(\Omega,\mathcal{F},(\mathcal{F}_t)_{t \geq 0},\mathbb{P})$ be ...
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Is there a generalization of Polya urns to continuous outcome event?

Take for example the simplest model where there are n blue balls and m white balls in an urn. Then, in a first step realization, a white one has been drawn and then c + 1 of this colour had been put ...
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54 views

Subclass of semimartingales for which all characteristics can be estimated?

I'm going to ask the question for Ito semimartingales rather than semimartingales in general, but more general answers would be great. An Ito semimartingale is a martingale for which the ...
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67 views

Da Prato's notion of Symmetric Operator

For anyone who's familiar with G. Da Prato's books on infinite dimensional analysis, I was wondering if someone could clarify something. In, for instance, "An Introduction to Infinite Dimensional ...
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2answers
213 views

Existence of strong solution to SDEs with non-Lipschitzian drift

Consider the SDE: $$dX_t=b(X_t)dt+dW_t\quad X_0=x$$ If $b$ is bounded Borel function, using Zvonkin's Transform, one can prove there exists a unique strong solution. I want to know if we assume $b$ ...
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Bounds on moving average process

Let $X_1,X_2,\dotsc$ be a sequence of i.i.d. random variables and define the average process $\{Y_t\}$ as $$ Y_t = \sum_{i=1}^p a_k X_{t-i} $$ with some constants $a_1,\cdots,a_p \in \mathbb{R}$. This ...
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293 views

Minimal expected absolute value of linear combinations of Gaussian random variables

I am interested in the following question. Consider $n$ independent standard normal random variables $g_i$. Cosider a linear combination $w_1g_1+\cdots+w_ng_n$. Can one give a "decent" upper bound for ...
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1answer
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Does $E^{x,t}(f(X_T))$ solve a PDE if $f$ is not continuous?

Many books [see below for references] explore the connections between partial differential equations and expectation values. Assume $X$ is a diffusion with generator $A$, then they conclude, that ...
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Existence of an invariant measure on an infinite dimensional space via Lyapunov functional

Set-up. Assume that we have a complete separable metric space $\mathcal{X}$ that is not locally compact. Let $V: \mathcal{x} \to [0; +\infty]$ be a functional such that $K_r :=\{x \in \mathcal {X} : V ...
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Lyapunov exponents of dual / adjoint / transpose random dynamical system (RDS)

Consider the the state of a system at time $n$, $X_n$, as the action of a product of i.i.d. $d\times d$ random matrices acting on a $d$ dimensional vector $X_0$, so we have $$X_n = A_n \cdots ...
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99 views

How to decide a value of learning rate for Stochastic Gradient Descent?

I'd like to know how to decide a value of learning rate for Stochastic Gradient Descent (SGD), such as $\eta$ on the following parameter update iteration equation, $w_{i+1} = w_i + -\eta \nabla ...
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Do the Birkhoff averages of a measurable stationary homogeneous Markov process in continuous time “converge to the right limit”?

Let $\,(P_x^t)_{x \in \mathbb{R} , t \geq 0}\,$ be a measurable Markovian family of transition probabilities - that is, a family of Borel probability measures $P_x^t$ on $\mathbb{R}$ such that for ...
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207 views

$\lim_{t\rightarrow 0}P\left(X_t >0\right)=\frac 1 2$ for continuous semimartingales?

I am trying to prove the following Lemma, which seems intuitive, but I still have doubts: Lemma Given a Brownian motion $\{W_t,\mathcal F_t:0\le t \le1\}$, two bounded processes, $\mu$ and $\sigma$, ...
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How to fit a stochastic matrix to given data.?

Given a data sequence of noisy observations of a 3-state Markov chain $X$ -- $y_1$,$y_2$,...$y_n$, with two transition matrices $A_1$ and $A_2$ corresponding to different regions (**) in the (unit) ...
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Support of a Measure with Characteristic Functional Continuous in $L_p$, $1\leq p <2$?

Let $\mathcal{S}(\mathbb{R})$ be the space of smooth and rapidly decaying functions and $\mathcal{S}'(\mathbb{R})$ its dual, the space of tempered distributions. Let $\mu$ be a probability measure ...
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75 views

Rolling map as a diffeomorphism?

Let $M$ be a (compact) Riemannian manifold and $x \in M$. For a piecewise smooth path $\gamma: [0, T] \longrightarrow M$, we can define Cartan's development map (or rolling map) $$(\Phi\gamma)(t) = ...
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98 views

When an integral with respect to a Poisson point process is finite?

Let $N(ds,dv)$ be a Poisson measure on $\mathbb{R} _+ \times \mathbb{R} _+$ with intensity $dsdv$. Let $N = \sum\limits \delta_{(s_i,v_i)}$. Assume that $N$ is compatible with a filtration $\{ ...