# Tagged Questions

**2**

votes

**1**answer

73 views

### Regularity of finite variation kernels in the (intersection) of the semimartingale spaces $H^p$

Suppose you have a continuous semimartingale $S_t=M_t + A_t$ where $A_t$ is the continuous finite variation part which has the form $A_t = \int_0^t b_s \, \mathrm{d} s$, where $\int_0^{\infty} |b_s| ...

**2**

votes

**1**answer

86 views

### Fractional Brownian motion via Hilbert space

The Brownian motion has the following (Levy-Ciesielski?) construction via Hilbert space isomorphisms:
Let $\{ Z_i \}_{i \in \mathbb{Z}}$ be i.i.d. $N(0,1)$ random variables defined on $(\Omega, ...

**2**

votes

**1**answer

131 views

### Can't figure out “standard application” of the Garsia-Rodemich-Rumsey Lemma

I'm currently reading the paper http://arxiv.org/abs/0908.2473 and can't figure out what they call a "standard application" of the Garsia-Rodemich-Rumsey lemma (see p.8). Summed up, they have a ...

**2**

votes

**1**answer

155 views

### Equicontinuity and $L^2$ convergence imply uniform convergence

I'm currently working through an old Paper of Garsia, Rodemich and Rumsey (A Real Variable Lemma) and theres one thing i don't get. Suppose $(f_n)_{n\in\mathbb{N}}$ is a sequence of continuous real ...

**7**

votes

**1**answer

319 views

### About the convergence rate for an approximation to the heat kernel

Let $G(t,x)$ be the heat kernel
$$
G(t,x)=\frac{1}{\sqrt{2\pi t}}e^{-\frac{x^2}{2t}}, \quad t>0, \:x\in\mathbb{R}.
$$
Here is one approximation to $G(t,x)$:
$$
G_\epsilon(t,x)=e^{-t/\epsilon} ...

**0**

votes

**0**answers

59 views

### Fredholm Integral Involving Stochastic Process

I wish to solve an integral equation of the form $$g(X) = c\int_0^1 K(X,t)f(t) \ dt $$ where $f\in L^1([0,1])$ and $g$ is some function on finite sequences of random variables. So, $X$ is a stochastic ...

**5**

votes

**1**answer

105 views

### A question about extensions of Markov semigroups

I'm cross-posting this question from MSE. It's the first time I do this so I'm unsure of etiquette regarding how to cross-post, if this irritates anyone please vote this down and I'll delete the post. ...

**2**

votes

**0**answers

141 views

### Markov operators and existence of ergodic measures

My question refers to the yesterday's question (see here)
of John Learner and goes as follows:
Can we deduce the existence of an ergodic measure if we know that an invariant measure exists, but the ...

**4**

votes

**0**answers

87 views

### How fast is discrete-time diffusion on a continuous set?

This question is inspired by Joseph O'Rourke's beautiful answer to my previous question.
Let $\mathbb{S}^{d\times n}$ denote the set of real $d\times n$ matrices whose columns have unit norm and sum ...

**1**

vote

**0**answers

263 views

### How is Kolmogorov forward equation derived from the theory of semigroup of operators?

In Lamperti's Stochastic Processes, given
a time-homogeneous Markov process $X(t), t\geq 0$ with Markov transition kernel $p_t(x,E)$ and state space being a measurable space $(S, \mathcal{F})$,
a ...

**5**

votes

**1**answer

132 views

### Do there exist (almost surely) $C^{\infty}$-smooth Gaussian random fields?

Let $d \ge 1$. Do there exist Gaussian random fields on $\mathbb R^d$ which are (almost surely) $C^{\infty}$-smooth, but which are not analytic?
If so, what are necessary and sufficient conditions ...

**6**

votes

**2**answers

431 views

### Does infinite-dimensional Brownian motion live in hyperplanes?

I'll begin this question with the finite-dimensional case, as a
warmup.
Let me say a continuous path $\omega : [0,1] \to \mathbb{R}^d$ is
hyperplanar if there exists a nonzero $x \in \mathbb{R}^d$ ...

**8**

votes

**3**answers

712 views

### Compactness of the set of densities of equivalent martingale measures

Consider an incomplete market $(\Omega,\mathcal F,\mathbb P)$ driven by a semimartingale $S=(S_t)_{t\in[0,T]}$. Under the no free lunch under vanishing risk (NFLVR) assumption, the set $\mathcal ...

**18**

votes

**1**answer

868 views

### Existance of certain almost invariant functions related to amenability and piece-wise transformations

We would like very much to know the answer to the following question:
Let $\|\cdot\|$ be any norm on $\mathbb{Z}^d$ and let $W(\mathbb{Z}^d)$ be the group of all bijections of $\mathbb{Z}^d$ such ...

**4**

votes

**0**answers

364 views

### The spectrum of a Markov Operator and Invariant Measures

Suppose I have a discrete-time Markov Chain (in an infinite dimensional state space $\Omega$) with Markov operator $P$, a linear operator on the space of bounded measurable functions on $\Omega$. (Or ...

**5**

votes

**2**answers

223 views

### L^\infty properties of an infinite-dimensional Gaussian semigroup

Let $W$ be a separable Banach space and $\mu$ a Gaussian Borel measure on $W$ which is centered and non-degenerate. For $F : W \to \mathbb{R}$ bounded Borel and $t \ge 0$, let
$$P_t F(x) = \int_W ...

**3**

votes

**2**answers

276 views

### Choice of predictable (or jointly measurable) eigenvalues and eigenvectors of nuclear-operator-valued stochastic process

Let $q^{ij}$, $i,j\in\mathbb{N}$, be predictable real-valued stochastic processes. Let $(e^i)$, $i\in\mathbb{N}$ be an ONB of a separable Hilbert space $H$. Assume that $Q=\sum_{i,j=1}^\infty ...

**5**

votes

**2**answers

465 views

### Symmetric Feller processes and Dirichlet Forms

Let $(G, \mathcal D)$ be a densely defined operator on $C_0$ (continuous functions vanishing at infinity on some nice topological space) whose closure $\bar G$ generates a Feller semigroup and let $X$ ...

**5**

votes

**1**answer

342 views

### Is there a regular Dirichlet form with no associated Feller process?

I'm reading Dirichlet Forms and Symmetric Markov Processes by M. Fukushima, Y. Oshima, and M. Takeda (hereafter, [FOT]). In Chapter 7, where they discuss the construction of a Markov process ...

**11**

votes

**1**answer

448 views

### Random walk origin return monotinicity

Consider a Markov chain on $\mathbb{Z}^d$ with transition kernel $P$ for adjacent vertices (non-diagonal). Essentially this is a $d$ dimensional random walk with the probability of a transition ...

**10**

votes

**3**answers

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 ...

**7**

votes

**2**answers

808 views

### weighted Poincare inequality

Consider a probability distribution $\pi$ with density $e^{-H(x)}$ on $\mathbb{R}$. Let us say that there is a Poincare inequality with weight $w$ if for any smooth function $\phi$ satisfying $\int ...

**5**

votes

**1**answer

418 views

### Does generator of continuous time random walk map heat kernel from L^2 to L^2?

Let $\Gamma = (G,E)$ be an undirected, infinite, connected graph with no multiple edges or loops. We equip $\Gamma$ with a set of edge weights $\pi_{xy}$, where, given $e=\{x,y\}\in E$, we write ...