2
votes
0answers
95 views

Stationary Distribution for Markov-like system?

Let \begin{equation} A= \begin{pmatrix} 0 & a_{1,2} & a_{1,3} \\ a_{2,1} & 0 & a_{2,3} \\ a_{3,1} & a_{3,2} & 0 \end{pmatrix}, \end{equation} \begin{equation} B= ...
3
votes
2answers
278 views

Itô's Formula on a bounded Domain

Let $U$ be a connected and bounded Domain, w.l.o.g. we choose $[0,1]^2$ and let $f \in \mathcal{C}^2((0,1)^2)$ with $\Delta f(x)=0$ for $x \in (0,1)^2$ and having normal derivative of $0$ almost ...
5
votes
1answer
142 views

Reference for difference equations converging to ODE

I am looking for a reference for a result of the following form: I have a sequence of discrete probability distributions, $p_N$, where the $N$th distribution has associated state space {$k/N, 1 \leq ...
10
votes
3answers
1k views

Infinitesimal generators of stochastic processes

What's the $L^1$ analogue of Stone's theorem saying that any strongly continuous 1-parameter unitary groups has a unique self-adjoint generator? More precisely: let $X$ be a measure space ...
0
votes
1answer
779 views

Generalizations of a product formula for the gamma function

Hello and Happy holidays. I am interested in generalizations of the following product formula for the gamma function $\Gamma(z)= \int_{0}^{\infty} t^{z-1}e^{-t}dt$ when $n \geq 2$: \begin{align} ...