5
votes
1answer
90 views

Properties of the time integral of Wiener process

Let $W_t$ be a Wiener process and consider the time integral $$ X_T:= \int_0^T W_t dt $$ It is often mentionend in literature that $X_T$ is a Gaussian with mean 0 and variance $T^3/6$. I am ...
1
vote
0answers
36 views

A counterpart of Karhunen theorem

According to the Karhunen theorem, if the correlation function of a process $X(t)$ can be represented as $$ R(t,s)= \int_{\Lambda} f(t, \lambda) \overline{f(s, \lambda)}d\nu(\lambda) $$ then the ...
1
vote
2answers
81 views

Invariant measure of Euler-Maruyama Discretisation of an Ito diffusion

Let $(X_t)_{t \geq 0}$ be a diffusion process with dynamics governed by the stochastic differential equation \begin{equation} dX_t = b(X_t)dt + \sigma(X_t)dW_t, ~~ X_0 = x_0, \end{equation} where ...
2
votes
1answer
82 views

M/M/1 Queue with probability of new customer leaving

I'm looking at a M/M/1 queue system and trying to show that $\{M_t\}_{t\geq}0$, the number of clients in the system, is a birth-death process. In the simplest of cases this is true if $\lambda_i = ...
2
votes
0answers
109 views

Heat kernel and Wiener measure

A theorem by Barry Simon says that for arbitrary open sets $\Omega\subset \mathbb{R}^n$, we have $$[\exp(t\Delta_{\Omega}^D)](x,y) = \mu_{x,y,t}\lbrace \omega \text{ } \vert \text{ } \omega(s) \in ...
1
vote
0answers
73 views

number of times Brownian motion hits boundaries

Any experts here please direct me to some appropriate keywords that I can search for. Consider a Brownian motion constrained to an upper and lower boundaries. Let's say I want to know that how many ...
0
votes
0answers
42 views

Quantiles moments and Convergence

QUESTION: Let $F$ be an absolutely continuous distribution function with density $f$, and $F_{n}$ be its nth empirical distribution. Suppose that $t\in (0,1)$ is constant. Is true the convergence ...
1
vote
1answer
55 views

A calculation involving a uniform random variable quantile

THE PROBLEM: Let $U$ be a uniform distribution and $U_{n}$ be its nth empirical distribution. Suppose $t\in (0,1)$ and $n\in \mathbb{N}$ are constants. What's the explicit expression to ...
1
vote
1answer
65 views

question about uniform continuity under Skorokhod Metric

Let $D=D([0,1], \mathbb{R})$ be the space of cadlag functions $x$ with $x(0)=0$ and $x$ is continuous on $1$. If we endow $D$ with Skorokhod Metric, see: http://en.wikipedia.org/wiki/C%C3%A0dl%C3%A0g ...
0
votes
1answer
53 views

Running supremmum of a Levy process

Let X be a cadlag Lévy process with $X_0=0$ and let $p$ be a real number in $[1,\infty)$. Then, the following are equivalent. 1): $X$ is $L^p$-integrable. 2): $X^*_t= \mathop{\sup}_{0\leq s\leq t} ...
2
votes
0answers
118 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 $$ \partial_t u(t,x) = b(x) \partial_x u(t,x) + \frac{1}{2} \sigma(x)^2 \partial_{x,x} u(t,x) $$ ...
1
vote
0answers
61 views

question about Doob-Meyer decomposition

Given a filtered probability space and let $X$ be a cadlag local martingale defined on this space. Let $V$ be a cadlag supermartingale and assume we know the following decomposition: ...
4
votes
2answers
88 views

Smoothness of $g(t,x)=\mathbb{E}[f(X_T)|\mathcal{F}_t]$

Assume a process with Itô dynamics of the generic form $$dX_t=\mu(t,X_t)dt+\sigma(t,X_t)dW_t$$ and let $f:\mathbb{R}\to\mathbb{R}$ be borel-measurable. Is the following function smooth ? ...
1
vote
0answers
84 views

Arctic Circle Theorems and the Wave Equation

I've seen the following remark in a number of papers but don't know what to make of it. In this paper by Cohn, Elkies and Propp, it is mentioned that the normalized average Height function ...
1
vote
1answer
94 views

Strong solutions on SDE (stochastic differential equations) with discontinuous drift and diffusion coefficients

I want to get some advice from you about the existence (and the uniqueness if possible) of a strong solution on my SDE. In fact, due to the structure of the problem that I consider, both the drift ...
7
votes
3answers
233 views

Maximum of the expectation of maximum of Gaussian variables

Suppose $X=(X_1,\ldots,X_n)$ is a Gaussian vector with each entry $X_i$ marginally distributed as $\mathcal{N}(0,1)$. Want to find out the possible maximum of $$\mathbb{E}\max_{1\le i\le n}|X_i|$$ and ...
2
votes
0answers
66 views

Learning resources for Probability Distributions/Models [closed]

I've a good background in basic probability. I need to learn and get a good grip on the probability distributions and stochastic processes, counting processes, and other related topics. I am already ...
1
vote
0answers
58 views

asymptotic estimate of random walk involved hitting time and return time

Consider a reversible random walk on (say) $\mathbb{Z}$, are there any estimate for the following probability $\mathbb{P}(\tau_n=m<\tau_0^+)$ where $\tau_n$ is the first hitting time at site n and ...
2
votes
0answers
63 views

Existence of a conditional distribution

Let $X$ and $Y$ be standard Borel spaces and let $J$ be an analytic subset of $X\times \mathcal P(Y)$ where $\mathcal P(\Omega)$ is a set of probability measures on a Borel space $\Omega$ endowed ...
3
votes
0answers
74 views

Nonlinear Markov process

Consider the following nonlinear $\mathbb{R}$-valued stochastic recursive sequence: $ X_{n+1} = F(X_n) + W_{n+1}, \quad (W_n)_{n\ge1} \stackrel{ \scriptsize \mathrm{i.i.d.} }{ \sim } \phi. $ How can ...
9
votes
1answer
314 views

Fictitious density of paths of diffusion processes outside the Cameron--Martin space

Let $X_t$ be an $n$-dimensional diffusion process satisfying the following Itō SDE over $[0,1]$: $$dX_t = f(X_t)\,dt + dW_t,$$ where $W_t$ is an $n$-dimensional Wiener process and $f$ is of class ...
1
vote
0answers
67 views

On the solution of a stochastic partial differential equation

Consider a simple SPDE as follows: $\partial_t u(t,x)=\partial_x^2 u(t,x)+V(u(t,x))+\dot{W}(t,x)$, $t>0$, $x\in(0,1)$, $u(t,0)=u(t,1)=0$, $u(0,x)=v(x)$, where $V$ is a bounded, smooth ...
5
votes
1answer
104 views

Escape Time of Fractional Brownian Motion

Let $B(t)$ be Brownian motion with $B(0)=x>0$ and let $A>x$. It is well known that the expected time for $B(t)$ to escape the interval $[0,A]$ is equal to $x(A-x)$. Is the expected time known ...
6
votes
2answers
393 views

Probability of Brownian motion to have a zero in an interval

I have what should be a very simple questions for Brownian motion experts... Let $[a,b]$ be a given time interval. Let $f(x)$ be the probability that a linear Brownian motion with initial value $x$ at ...
2
votes
1answer
123 views

Characterizations of the GOE/GUE family of distributions

This question is somewhat related to this one. Loosely speaking, when should I expect a GOE/GUE distribution? The angle of my approach to this is not through statements such as "there is a natural ...
5
votes
1answer
95 views

What are all the stationary and pointwise independent random processes?

In the 60's, I. Gel'fand introduced the concept of generalized stochastic processes (Ch. III, Vol. 4 of his work on Generalized functions). For a generalized stochastic process $\Phi$, he defines the ...
7
votes
2answers
258 views

Can every discrete martingale be embedded in a continuous martingale?

Let $(X_k)_{k=0,1,..., n}$ be a discrete martingale defined on some probability space $(\Omega,\mathcal{F},\mathbb{P})$. I would like to know whether there exists a (continuous) martingale ...
2
votes
1answer
85 views

right-continuity of filtration

For a natural filtration of a stochastic process (possibaly multi-dimensional) to be right-continuous, what conditions should the process satisfy? Any references?
1
vote
0answers
72 views

asymptotic variance of sample autocorrelation of two iid random variables

I am trying to prove that the variance of the sample lag-1 autocorrelation $$\hat{\rho}=\frac{\sum_{t=1}^n(x_t-\bar{x})(x_{t-1}-\bar{x})}{\sum_{t=1}^n(x_{t-1}-\bar{x})^2}$$ for an i.i.d. R.V is ...
1
vote
1answer
62 views

The jump and the left martingale of semimartingale

Let $X_{t}$ be a semimartingale. Define $\Delta X_{t} = X_{t}- X_{t-}$. For fixed $s> 0$, $\Delta X_{s}$ and $X_{s-}$ are two random variable. Are they independent to each other? I think the ...
3
votes
1answer
93 views

The regularity of Levy process

There is a property for continuous Markov process that each point $y$ in its state space is hit with positive probability one starting from any interior point $x$. This property is called the ...
3
votes
0answers
120 views

Tight lower bound for expected maximum of K sums of T Rademacher random variables

For each $j \in \{1, \ldots, K\}$, let $(\varepsilon_{j,t})_{t=1}^T$ be an independent sequence of iid Rademacher random variables (i.e. taking values $\pm 1$ with equal probability). What is the best ...
3
votes
0answers
59 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
1answer
102 views

Can this two-dimensional process self intersect?

I would like to know more about the two-dimensional processes derived from Brownian motion by the following stochastic differential equation (in the Ito sense) $$dX_t = f(X_t) dt + ...
5
votes
0answers
241 views

Skorohod theorem (weak convergence) on a discrete setting

I have a question about the application of Skorohod representation theorem. The questions arises in this paper about robust hedging in mathematical finance. It is about the very last equation on page ...
6
votes
0answers
165 views

Doob's inequality for martingale “convolution”

Let $(X_t, t \in \mathbb{N})$ be a martingale, and let $a \leq b \leq T \in \mathbb{N}$ be constants. Is there something like Doob's inequality for $\mathbb{E} \sup_{a \leq t \leq b} X_t(X_T-X_t)$, ...
-1
votes
1answer
183 views

Generating independent random variable from two correlated random variables

Suppose two random variables $X$ and $V$ are given. I am wondering what kind of condition we need to impose on joint distribution of $V$ and $X$ to make sure that there exists a random variable $Z$ ...
1
vote
0answers
113 views

Stochastically flipping coins until we see a certain number of heads in two possible durations of time

Imagine that I'm flipping a biased coin (at a rate given by a Poisson process with rate $\lambda$), where the probability the coin lands heads-up is $p$ (tails $q$). I keep flipping the coin until I ...
3
votes
0answers
35 views

Number of not self-intersecting closed paths spanning $n$ iid uniform points

Let $X_1,X_2,\dots,X_n$ be independent uniform variables in the square. What is the number of piece-wise linear paths which vertices are all the $X_i$ and that do not self-intersect? In other words, ...
1
vote
0answers
58 views

CLT for a Markov Renewal Process

Suppose $(X,T)=\{(X_n,T_n)\}_{n\geq0}$ is a Markov renewal process, where $X$ is a finite-state, discrete-time Markov chain with state space $\{1,2,...,R\}$. $T$ is the additive component, more ...
0
votes
1answer
117 views

a dominated convergence theorem for martingale (II)

The question is presented in a dominated convergence theorem for martingale Let $\{(X_1^n, X_2^n)\}_n$ be a sequence of martingales defined some probability space. (which means ...
3
votes
1answer
106 views

Domino Shuffling and Warren's process

In this paper by Nordenstam, it is shown that a certain interlacing particle process that arises from uniformly random Aztec diamond tilings is amazingly similar to Warren's process. One of the ...
1
vote
1answer
38 views

Quasi-stationary distribution for a death process

In the paper, Survival in a quasi-death process by van Doorn and Pollett, the quasi-stationary distribution of a transient CTMC is discussed and QSD for a simple death process is derived. Consider a ...
3
votes
1answer
106 views

a $L^1$ convergence for backward martingale

I have a question which may be naive, but I can not find the related result in the classical reference such as "Foundations of Modern Probability" and "Probability"(Billingsley). So if someone knows ...
4
votes
2answers
269 views

Comparing the stopping times of two stochastic processes

Let $f_0$, $g_1$, $g_0$ be $3$ distinct density functions on the real numbers $\mathbb{R}$ with the corresponding distribution functions $F_0$, $G_1$, and $G_0$, respectively. The following relation ...
1
vote
2answers
121 views

On the existence and uniqueness of solution to SPDE with nonlinear growth coefficients

Consider the SPDE $$\frac{\partial}{\partial t}u_t(x) = \frac{\kappa}{2}\frac{\partial^2}{\partial x^2}u_t(x) + u_t(x)(K-u_t(x)) + \sigma u_t(x) \xi(t,x),$$ where $(t,x)\in {\mathbb R}_+\times ...
1
vote
1answer
74 views

Transition probabilities in coupled CTMCs

I know that for a CTMC, the probability of transition from time $0$ to $t$ is given by $P(t)=e^{Q(t)t}$. I have a system of $N$ interdependent CTMCs evolving simultaneously. Each of the $N$ CTMCs can ...
1
vote
0answers
187 views

What is the characteristic functional for Brownian motion on a sphere?

I'm a physicist, somewhat familiar with stochastic processes, but I'm a little unsure of what follows. What I basically have is a complicated quantity involving a vector that is equivalent to ...
3
votes
0answers
40 views

Relative vulnerabilities in SIS epidemic model

Consider the SIS model of epidemic spreading. There is a finite graph $G(V,E)$, link infection rates $\lambda_{ij}$ and node recovery rates $\mu_i$. There are a few initial nodes which are infected at ...
2
votes
1answer
133 views

A question about stochastic kernels and invariant measures

Suppose that $E$ is a metric space, let $\mathcal{B}_E$ denote the set of its Borel subsets and suppose that $\mu$ is a probability measure on $(E,\mathcal{B}_E)$. In addition, suppose that $p:E\times ...