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

**3**

votes

**0**answers

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

**0**answers

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 ...

**0**

votes

**0**answers

82 views

### Sufficient condition for local martingale property of stochastic integral

Is the following correct and/or a (simple) known result?
Let $X$ be a local martingale and $H$ an integrand for $X$, such that the stochastic integral $\int H\cdot dX\ge x$ for some random variable. ...

**3**

votes

**1**answer

104 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

**0**answers

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

**0**answers

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

**1**answer

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

**0**answers

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 ...

**0**

votes

**0**answers

39 views

### Ito formula for max(X,0) where X is a semimartingale

Has anyone ever applied the Ito formula on $|X^+|^2$ for $X^+ = \max(X,0)$ with
$X(t) = X(0) + M(t) + V(t)$, where $M(t)$ is a local martingale and $V(t)$ is bounded variation process. I found it in ...

**0**

votes

**0**answers

67 views

### Different definitions of ergodicity for stationary processes

From page 3 of a note:
A stationary process is ergodic if any two variables positioned far
apart in the sequence are almost independently distributed.
A formal definition is the following: ...

**3**

votes

**0**answers

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

**0**answers

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

**1**answer

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

**1**answer

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 ...

**0**

votes

**0**answers

56 views

### Can $<.>$ of a martingale determine it only?

Let $\Omega$ be the space of continuous functions defined on $[0,1]$. Define the canonical process $B$ by
$$B_t(\omega)=\omega_t,~ \forall\omega\in\Omega$$
Let us equip $\Omega$ with the usual ...

**1**

vote

**1**answer

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

**1**answer

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

**2**answers

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

**2**answers

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 ...

**2**

votes

**1**answer

116 views

### Transition probabilities in coupled Markov chains

I know that for a continuous-time Markov chain, 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 continuous-time Markov chains ...

**1**

vote

**0**answers

189 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 ...

**2**

votes

**2**answers

149 views

### Any suggestions on a rigorous stochastic differential equations book?

I have been looking through some books and they are not very rigorous. Any suggestions would be great.

**3**

votes

**0**answers

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

**1**answer

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 ...

**0**

votes

**0**answers

76 views

### An extension of first order stochastical dominance property

A random variable $X$ (distributed as $F$) is said to be stochastically larger than $Y$ (distributed as $G$), ($X>_{FSD}Y$) if their distribution functions satisfy $G(y)>F(y)$ for all $y$.
It ...

**5**

votes

**1**answer

95 views

### Deviation bound for the maximum of the norm of Wiener process

Let $W(t)$ be an $n$-dimensional Wiener process. Denote by $\chi_n^2$ a chi-squared random variable with $n$ degrees of freedom. I have recently found the following inequality given without proof:
$$
...

**5**

votes

**1**answer

97 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. ...

**3**

votes

**1**answer

98 views

### Generalization of Lévy's continuity theorem for nuclear spaces

I am interested in a generalization of the following finite-dimensional results in infinite dimensional vector-space with nuclear structure, especially for the cases of the spaces of distributions ...

**2**

votes

**0**answers

80 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, ...

**4**

votes

**1**answer

148 views

### A queuing process where customers must be detected

Imagine a scenario where customers arrive in some queue according to a Poisson process with rate parameter $\lambda_{arr}$, and where the process of responding to the customers has a kind of ...

**1**

vote

**0**answers

58 views

### Discreet customers at more or less discrete counters

A bank has $N$ counters in a row, and customers arrive irregularly at an average of 1 per minute (say, according to a normal distribution with variance $\sigma^2$ – but I don't think that is ...

**0**

votes

**1**answer

105 views

### On the expected value of a random integral:

Is it possible to find the expected value of $u(t)$ in terms of the following information:
$$u(t)=\int_{0}^{t}(t-s)(f(s)+(T-s)Y)X_sds$$
where:
$X_s$ is a wide sense stationary process with known ...

**0**

votes

**1**answer

154 views

### Bounds on the eigenvalues of a random binary matrix

Consider $A$, a random binary matrix of zeros and ones in $\mathbb{R}^{{M\times N}}$, and $M>N$. We assume that $P(a_{i,j}=0)=P(a_{i,j}=1)=0.5$ (although I appreciate any advice on the case of ...

**0**

votes

**0**answers

60 views

### Modification of a state in a random walk to be partially absorbing after a walker's position is well-approximated by a stationary distribution

Consider a random walk $(X_0, X_1, X_2, ...)$ on the interval $[0, N]$ starting from some position $k$, where $0$ and $N$ are reflecting barriers. The forward $+1$ transition probability is $p$, the ...

**0**

votes

**0**answers

62 views

### Eigen value distribution of autocorrelated Wishart matrix

Suppose the matrix W is constructed as $W=XX^T$ where $X_i(t) = \phi_i X_i(t-1) + a_i(t)$, and $a_i(t)$ ~ $N(0,1)$. I am interested in knowing the eigen value distribution of W. My google search on ...

**1**

vote

**2**answers

142 views

### A Claim on Typical Voronoi Cells

I am trying to prove the following claim (may be it has been proven).
Claim: Consider a set of points $\phi=\{x_1,x_2,...,x_i,...\}$ generated by a homogeneous PPP with rate $\lambda$ in the 2-D ...

**-1**

votes

**1**answer

71 views

### Multiplicative version of Novikov inequality for Ito integral

It is clear that Ito isometry
$E(∫^t_0fdW)^2=E(∫^t_0f^2dt)$
can be written in the multiplicative form as
$E(∫^t_0fdW\cdot∫^t_0gdW)=E(∫^t_0f⋅gdt).$
Is it possible to obtain the multiplicative version ...

**2**

votes

**0**answers

82 views

### Modification of stochastic processes vs. generalized stochastic processes

Let $(\Omega, \mathcal{F}, \mathbb{P})$ be a probability space and $X = (X_t)_{t \in \mathbb{R}^d}$ a classical stochastic process defined on $\Omega$. One says that a process $Y$ defined on $\Omega$ ...

**1**

vote

**0**answers

50 views

### Stochastic process inference from partial observations

Consider a set $U$. My signal is a piece-wise constant "function"
$Sig: t \mapsto s$, i.e. the signal at time $t$ equals to some subset
$s \subset U$. One can see $Sig(t)$ as a stochastic process.
...

**1**

vote

**0**answers

70 views

### New conditions to ensure martingality of stochastic exponential?

I am currently doing a project with focus on the Girsanov theorem, and I want to include some of the conditions which would ensure that the stochastic exponential $\mathcal{E}(L)=\exp(L-\langle ...

**4**

votes

**2**answers

200 views

### When is a continuous path stochastic process be representable as diffusion or Ito process?

When can a continuous path (Markovian) stochastic process in one dimension be represented as an Ito or a diffusion process? What are the examples when it can not be?

**2**

votes

**1**answer

292 views

### Dynamics of Master Equation

I'm going to do research on dynamics of master equation of $n$ states
$$\dot p_i=A_{ij}p_j\qquad i=1\ldots n$$
where $p_i$ is the $i$-th component of probability vector and $A_{ij}$ is transition rate ...

**6**

votes

**1**answer

178 views

### Markov processes lacking the Feller property

Let $E$ be a LCH second countable topological space and let $\mathcal{E}$ be its Borel $\sigma$-algebra.
Let $(P_t)_{t \geq 0}$ be a conservative transition function on $(E, \mathcal{E})$.
This ...

**0**

votes

**0**answers

72 views

### Supremum in a Markov chain model

A Markov chain $X$ with finite state space $\{1,2,\cdots,N\}$ is defined on a probability space $(\Omega, P, \mathcal{F})$ equiped with filtration $\{\mathcal{F}_t\}$. And we assume that we can reach ...

**3**

votes

**4**answers

290 views

### Does the variance of a continuous time, time homogeneous, Markov process starting from one point necessarily not decrease?

Let $x_t$ be a zero mean, time homogeneous Markovian process (chiefly look at the case where the value is in $1$ dimension) over time $t$ starting from $x_0=0$. Is it necessary that, in continuous ...

**0**

votes

**0**answers

77 views

### Master Equation to Fokker-Planck for a Jump-Diffusion

Does anyone know if there is a derivation of the Master Equation approximation by a Kolmogorov backward equation (Fokker-Planck) to a jump-diffusion with a compensated Poissonian integral? If not, can ...

**3**

votes

**0**answers

42 views

### Using Crump-Mode-Jagers processes to get logarithmic bound on a random tree height

I am currently pursuing my PhD degree and in my research I came across a family of random trees. I need to prove a logarithmic asymptotic bound for the heights of such trees as their size grows. I ...

**1**

vote

**0**answers

69 views

### On numerical approximation to stationary distribution of diffusion process

Suppose a vector-valued diffusion process X satisfies the stochastic differential equation
$$dX_t = b(X_t)dt + \sigma(X_t) dW_t,$$
in which $W$ is a Brownian motion and $b,\sigma$ are such that strong ...

**1**

vote

**1**answer

153 views

### dual space of the subspace of the space of probability measures [closed]

I have a question which maybe so naive but I want to know the result about it.
Let $\mathcal{M}=\mathcal{M}(\mathbb{R})$ be the space of bounded measures. Then by some materiau such as ...

**1**

vote

**0**answers

54 views

### Time change for non-homogeneous Markov processes

Background: Let $C$ be the space of continuous function on $[0,T]$, $f, \sigma \in C$ bounded with $\sigma^2 \geq \varepsilon > 0$ and let $X=(X_t)_{t\in [0,T]}$ be a diffusion process of ...