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

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39 views

### Progressive measurability and functional composition

Suppose we have a progressively measurable process $X$ taking values in $\mathbb{R}^d$. What are sufficient conditions on a function $f( x, t, \omega ) \colon \mathbb{R}^d \times [0,\infty) \times ...

**2**

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**0**answers

80 views

### Convergence in distribution of stochastic equation solutions

I post this post en MSE (link) but I think that is more suitable for this site.
I'm studying from Kurtz's book "Markov Processes Characterization and convergence" and I have a question about the ...

**4**

votes

**1**answer

100 views

### On Minkowski sum of two independent Poisson point processes

Suppose that $\Phi_1$ and $\Phi_2$ represents two independent Poisson point processes respectively with intensity $\lambda_1$ and $\lambda_2$ (therefore). We know very well different operations on ...

**3**

votes

**0**answers

81 views

### Stationarity of Brownian motion with drift

Suppose the following SDE for $X_t$ is well-posed:
$$dX_t = \sqrt{2}\, dB_t - \nabla\Phi(X_t)\,dt.$$
For what $\Phi\in C^1(R^d)$ will $X$ have stationary distribution $u_{\infty}$? For what $\Phi$ ...

**0**

votes

**0**answers

40 views

### Definition of mth order stationarity

in the definition of the weak GARCH processes they use the terminology of the 4th-order stationarity of the process $(X_t)$. I know the definition of 2n-order stationarity, but I'm not exactly sure, ...

**0**

votes

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42 views

### Integral over a point process. Asymptotic of the dispersion

I consider an integral (or a sum with random index)
$$
M(t) =\int\limits_0^t f(t-u)dX(u),
$$
where
$$
X(u) = \sum\limits_{i=1}^{N(u)} \xi_i,\qquad N(u)=\max\{k: \tau_1+\,\dots,\,\tau_k\, <\, u\},
...

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votes

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27 views

### Moments in the Quantile Process

Let $q_{n}(t)$ be the $nth$ quantile processes ($t\in (0,1)$) based on the distribution F:
$$q_{n}(t) = \{\sqrt{n}[F^{-1}_{n}(t)-F^{-1}(t)]\}.$$
In this case, $F^{-1}$ is the (generalized) inverse of ...

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**0**answers

34 views

### Bahadur-Kiefer representation and KMT embedding

I am interested in the connection between the so called Bahadur-Kiefer process and the KMT/Hungarian embedding. At first sight there seems to be a relationship between the topics, but oddly enough ...

**3**

votes

**1**answer

220 views

### Analytic Solution to SDEs

Are there any example of SDEs with constant diffusion terms, other than the Ornstein Uhlenbeck process, which have exact solutions? I'm thinking of something of the form:
\begin{equation}
dX_t = ...

**2**

votes

**1**answer

121 views

### Ergodicity for the mean of a linear process without finite second moment

Suppose that $\{X_k:k\in\mathbb Z\}$ is a linear process, i.e. a sequence of random variables such that
$$
X_k=\sum_{j=0}^\infty\psi_j\varepsilon_{k-j}
$$
for each $k\in\mathbb Z$, where ...

**0**

votes

**0**answers

77 views

### Uniqueness of a Integro-parabolic differential equation?

Let $r, q,\lambda,\sigma,\kappa,\mu$ are positive real numbers and let $c(t)$ is a differential function of $t$. $\Gamma(\eta)$ is a probability density function.
When I consider price of American ...

**2**

votes

**2**answers

202 views

### Uniqueness in martingale representation theorem

Dudley's martingale representation theorem states that if $W=\{W_t,\mathcal{F}_t;0\le t<+\infty\}$ is a standard one-dimensional Brownian motion, $0<T<+\infty$ and $\xi$ is ...

**1**

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61 views

### Stochastic Resonance in Infinite Dimensions

I'll ask this from the point of view of physics more than of theoretical mathematics. I'm searching for a mathematical discussion of stochastic resonance interpreted in a PDE sense. This is a good ...

**0**

votes

**0**answers

27 views

### Density of $\int_{B}\frac{|1-|B_{T}|^{2}|}{|y-B_{T}|^{3}}dS(y)$

For $B\subset \partial B(0,1)))$ and random variable $B_{T}\in Int(B(0,1))$ with density $p_{T}$, is there a density for
$\int_{B}\frac{|1-|B_{T}|^{2}|}{|y-B_{T}|^{3}}dS(y)$?
Context
The original ...

**3**

votes

**1**answer

80 views

### Could quadratic variation determine distribution?

Let $M=\{M_t,\mathcal{F}_t;0\le t<+\infty\}$, $N=\{N_t,\mathcal{F}_t;0\le t<+\infty\}$ be two continuous local martingales with $M_0=N_0=0\text{ a.s.}$. If $\langle M\rangle=\langle N\rangle$, ...

**0**

votes

**0**answers

43 views

### Finding a stochastic differential equation as limit of a discrete stochastic equation

I'm dealing with the following problem:
Choose $Z_0 \in [0,1]$ and define a process governed by the following discrete stochastic equation:
$Z_{k+1}-Z_k=P_k(1-2Z_k)$
where $P_k=0$ with probability ...

**6**

votes

**2**answers

265 views

### A version of Wald identity

Let $W$ be a standard one-dimensional Brownian motion. Let $T$ be a stopping time with $\mathbb{E}\sqrt{T}<+\infty$. Then
$$\mathbb{E}W_T=0\quad \mathbb{E}W^2_T=\mathbb{E}T$$
I can prove these ...

**2**

votes

**0**answers

61 views

### Existence of 1-1 mapping/homeomorphism

Let $B$ be a standard 2-D Brownian motion, and $\sigma: \Omega\times \mathbb R^{+} \mapsto \mathbb R^{2 \times 2}$ is an $\mathcal F_{t}$ adapted process satisfying, for some constants ...

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votes

**0**answers

49 views

### What is the probability of B.M. hitting two disjoint spheres $(d\geq 3)$?

The hitting probability for spheres centered at origin is $P_{x}(T_{B_{r}(0)}<\infty)=\frac{r^{d-2}}{|x|^{d-2}}>0$, where $|x|>r$.
1)So I was wondering how can one compute ...

**3**

votes

**1**answer

147 views

### Do we need Feller condition if the process jumps?

Consider the SDE:
\begin{equation}
dv_t = k(\theta - v_t) dt + \xi \sqrt{v_t} dW^{v}_{t}
\end{equation}
It describes a process $v_t$ which is a strictly positive if the drift is stronger enough, i.e. ...

**1**

vote

**0**answers

124 views

### How to show that two linear combinations of Bernoulli random variables have jointly Gaussian distribution (and more)

Let $X_1,\ldots,X_n$ be independent Bernoulli random variables such that $\mathbb{P}(X_i=\pm 1)=1/2$ and consider two collections of real numbers $a_1,\ldots,a_n, b_1,\ldots, b_n$. For the moment let ...

**2**

votes

**0**answers

105 views

### Speed of Approach to Invariant Measure

Let $X_t$ represent a continuous-time Markov process on $\mathbb{R}^d$, say a diffusion with locally Lipschitz coefficients. Suppose that there exists a unique invariant measure $\mu$ on the space, ...

**2**

votes

**1**answer

142 views

### Onsager-Machlup function and most probable path of a diffusion process

Let $X_{t}$ be a real, one-dimensional diffusion process satisfying the stochastic differential equation
\begin{equation}
dX_{t} = f(X_{t})dt + dW_{t},
\end{equation}
where $f \in C_{b}^{2}(R)$ is a ...

**1**

vote

**1**answer

131 views

### Does very fast convergence in probability imply almost sur convergence for a continuous stochastic process?

I was wondering if someone knows how to prove the following fact (which might not be a fact ;) ):
let X being a stochastic process with almost surely continuous sample path, and such that, there ...

**2**

votes

**0**answers

71 views

### Property of relative entropy [closed]

For $X$ a measurable space and $P,Q$ two probability measure on $X$ s.t. $Q$ is absolutely continuous with respect to $P$, the relative entropy is defined as
$$D(Q\|P)=\int_X ...

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votes

**1**answer

120 views

### Property of relative entropy [closed]

For $X$ a measurable space and $P,Q$ two probability measures on $X$ s.t. $Q$ is absolutely continuous with respect to $P$, the relative entropy is defined as
$$D(Q\|P)=\int_X \log(\frac{dQ}{dP})dQ,$$
...

**2**

votes

**0**answers

44 views

### Local time for drifted Brownian motion and comparison results for reflected diffusion

Suppose $X(t) = x+ \mu t + \sigma W(t)$ where $x\ge 0$, $\mu, \sigma>0$ are real constants, and $W$ is a standard Brownian motion. The Skorohod decomposition of $X(t)$ can be written as $Z(t) = ...

**5**

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**0**answers

194 views

### A generalization of Jensen's Inequality

Jensen's inequality is well known as
$$E\big[f(X)\big]\le f\big(E[X]\big)$$
where $X$ is a integrable random variable and $f: R\to R$ is a bounded concave function, see also ...

**3**

votes

**0**answers

64 views

### Lorenz attractor power spectrum

If considered Lorenz attractor (with classical parameters $\sigma = 10, b = \frac{8}{3},r>25$), it is often noted, that while the spectral density (Fourier transformation of corresponding ...

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**1**answer

274 views

### Does Brownian motion immediately visit both sides of a Jordan curve?

Let $C$ be a Jordan curve in $\mathbb{R}^2$. By the Jordan curve theorem, $\mathbb{R}^2 \smallsetminus C$ is uniquely partitioned into two connected regions $A$ and $B$ (the interior and exterior).
...

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votes

**0**answers

30 views

### sign and absolute value at fixed time of a diffusion process

I have a diffusion in the plane $(X,Y)$ with Feller semigroup such that each coordinate is a standard Brownian motion, $|X|=|Y|$ and $(X,Y), (Y,X)$ have the same law. I want to prove that for a ...

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**0**answers

81 views

### Sum of the entries of the inverse covariance matrix

Let $T \in\left(0,1\right)$, $n\in\mathbb{N}$ and $e_n = [1,\ldots,1]\in\mathbb{R}^n$. Consider the covariance matrix $\mathfrak{A}_n = ...

**0**

votes

**0**answers

81 views

### What is the sigma field of the derivative of a process?

When $t\to X_t$ is an absolutely continuous process ($X_t= X_0+ \int_0^t Y_s dt$ for some measurable process $Y_t$) we have for all $t$ $$\sigma(Y_t) \subset \cap_{\epsilon >0}\sigma(X_{s}, s\in ...

**0**

votes

**0**answers

102 views

### Defining density of a random function using Radon-Nikodym Theorem

Let $(\Omega,\mathbb{F},P)$ be a probability space and $E$ be an infinite dimensional Banach space and $\mathbb{B}$ be the $\sigma$-algebra of Borel subset of $E$.
Let $X$ be random function defined ...

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vote

**1**answer

45 views

### Does $L^2$ progressive measurable processes form a Hilbert space?

Let $(\Omega, \mathcal F_1, {\mathbb P}, \mathbb F = \{\mathcal F_t\}_{0\le t \le 1})$ is a
filtered probability space. Let $L^2_{\mathbb F}$ be a collection of all $\mathbb F$ progressive measurable
...

**1**

vote

**0**answers

56 views

### When the completed filtration of a process increases slowly

If $\mathcal{F}_t$ is the filtration of the evaluation process on $C_T$ (continuous function on $[0,T]$). Can we find some law of continuous process $\mathbb{P}$ so that for $t\leq T$
...

**3**

votes

**1**answer

69 views

### Density for Translated Process

Let $M$ be a (compact) Riemannian manifold. Let $v$ be a smooth vector field on $M$ with flow $\Theta_t$. Let $L$ be an elliptic second order differential operator on $M$ that generates the Ito ...

**3**

votes

**0**answers

139 views

### Donsker's Theorem for triangular arrays

I should mention that I already posed this question on Math Stack Exchange, but didn't receive much feedback.
Assume we have a sequence of smooth i.i.d. random variables $(X_i)_{i=1}^{\infty}$. Given ...

**1**

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**0**answers

96 views

### First passage time of a pure drift process

I am facing the following unusual problem: $Z_t$ is a pure drift process of the form
$$ dZ_t = \kappa(X_t - Z_t) dt $$
where $X_t$ is another bounded process.
I am interested in computing / ...

**3**

votes

**0**answers

96 views

### Ask for reference of a stochastic process

I would like to know whether the following stochastic process is well studied.
Let $\{U_k: k \ge 1\}$ be a sequence of i.i.d random variable. $U_1$ is uniformly distributed on the unit interval $[0, ...

**5**

votes

**0**answers

166 views

### A note on Doob's theorem

I have faced the following problem, regarding to the Martingale Theory. Because this area far from my area I don't know whether this problem is in literature or this can be simple question for ...

**1**

vote

**1**answer

90 views

### Perturbation of a Bessel process of dimension 2

Bessel process of dimension 2 is defined to be solution of
$$
dX_t=dB_t+\frac{1}{2X_t}dt,\quad X_0=x_0>0
$$
where $B$ is a standard 1-dimensional Brownian motion.
$X$ can be viewed as the norm of a ...

**0**

votes

**0**answers

16 views

### Is it posible to differentiate the mean function of Gaussian process regression with respect to its h

The mean function $\hat{\mu}(x_*)$ of Gaussian process regression is given by
$k(x_*, X)(k(X, X) + \sigma^2_w I)^{-1}Y$
where $k(\cdot, \cdot)$ is a kernel matrix or vector of appropriate size and is ...

**0**

votes

**0**answers

23 views

### Literature on the notion of combining two discrete stationary processes with the latter process slowed down

Is there any literature about the following way of combining two stationary processes?
Let $X_1, X_2, \dots$ be a discrete-time stationary process. Let $A$ be a subset in its sample space. Let ...

**5**

votes

**2**answers

288 views

### Regularity of random Fourier series

The following two statements appear to be true (but do correct me if I am wrong):
The coefficients of a $C^k$ function on the torus $T^n$ decay at least as fast as $x^{-k}$ (where $x$ is some norm ...

**0**

votes

**0**answers

38 views

### Does a singularly perturbed cadlag process has sample paths in a Polish space?

In the theory of stochastic processes it is often said in the broader literature that Polish state spaces are the only important ones appearing in practice. Are there also examples of stochastic ...

**0**

votes

**1**answer

91 views

### Functional representation of adapted jointly measurable stochastic processes

It seems like the question stated here in MSE has no answer yet and seems therefore for me to be not of a basic question type. For this reason I move it to MO.
Let $X_t : \Omega \to E, \ t \geq 0$ be ...

**3**

votes

**1**answer

117 views

### Ising model: probability of a long path of minus under plus boundary conditions

Consider for example the Ising model on a square lattice. Fix zero magnetic field and plus boundary conditions.
Low temperature, one minus spin. With a Peierls argument one can prove that, given a ...

**2**

votes

**0**answers

120 views

### Hitting time of two dimensional continuous martingale

Let $(\Omega, \mathcal{F}, P)$ be a probability space, on which $\mathcal{F}_t$ is filtration satisfying general conditions. $W_{t}=\left(W_{t}^{1},W_{t}^{2}\right)^{T}$ is a two dimensional Brownian ...

**0**

votes

**1**answer

207 views

### Poisson approximation of random sub-graphs

I add the edges of $G(n)$ the complete graph on $n$ vertices one by one, at random and without replacement, and denote by $G(n,m)$ the resulting Erdos Renyi random graph process. At step $m$ in the ...