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

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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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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 = ...
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83 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 ...
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109 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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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 ...
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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 $t\leq T$ ...
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70 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 ...
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141 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 ...
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98 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 / ...
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97 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, ...
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167 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 ...
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1answer
94 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 ...
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17 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 ...
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26 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 ...
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2answers
309 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 ...
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39 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 ...
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1answer
94 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 ...
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1answer
121 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 ...
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129 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 ...
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1answer
212 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 ...
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54 views

Question about Skorokhod embedding problem

Let $B=(B_t)_{t\ge 0}$ be a standard Brownian motion on some probability space. Now for every centered probability distribution $\mu$ on $R$, i.e. $\int_{R}|x|d\mu(x)<+\infty$ and ...
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53 views

Steady state of a dynamical equation

Suppose we have the following dynamical equation: $P(k+1)=A\bigg(P(k) - P(k)H^T(k)\big(H(k)P(k)H^T(k)+Z\big)^{-1}H(k)P(k)\bigg)A^T+W$ with $P(0)=0$, where $P$, $A$, $H$, $Z$, $W$ are all $N\times N$ ...
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120 views

Numerical Methods for stochastic PDE, from rough paths to backward equations

this question is about some literary references regarding the state of the art in terms of numerical methods for SPDE's. In particular, Have the numerical implications, if any, of the results in ...
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61 views

Numerical solution of SDEs with colored noise

I am trying to numerically solve an SDE with both white and colored noise that models a non-linear circuit: $$ dX_t = f(X_t) dt + \sigma_w dW + \sigma_c dC $$ where $W$ is a standard Brownian motion ...
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1answer
184 views

Diffusion processes with different diffusion coefficients and absolute continuity

I would first of all like to say that I am an analyst, and so I am familiar with probabilistic methods only on a basic level. My initial situation is the following. Consider two stochastic ...
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45 views

Karhunen Loeve expansion of $cos(\theta)$ where $\theta$ is a Gaussian random process or Uniform distribution in $[0,\pi/2]$]

I want to expand the random process $\theta$ using KL expansion for uncertainty quantification using stochastic FEM. But my random variable is function of cosine. i.e. $cos(\theta)$. My pde has ...
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1answer
95 views

Could somebody recomends a good book or article about numerical methods for Stochastic Partial Differential Equations

Could somebody recomend a good book or article about numerical methods for Stochastic Partial Differential Equations. I'm looking for a good introductory material thanks.
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1answer
122 views

Proof for power-law tail of Poisson-Dirichlet distribution (Pitman-Yor process & Zipf's law)

I'm trying to understand the motivation of using Pitman-Yor (PY) processes in language modeling, in particular Teh's hierarchical LM based on PY processes. A motivation frequently stated in research ...
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351 views

A learning roadmap to the Schramm-Loewner evolution (SLE) for the complex analyst

I would like some good references to learn about the Schramm-Loewner evolution (SLE), for a complex analyst with no background in probability. A quick google search gave a lot of references on SLE ...
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74 views

Random matrices whose limit gives exact Wigner surmise

Let $M$ come from an ensemble of $N\times N$ matrices. The Wigner surmise is density function $p^W_0(s)=\frac{\pi}{2}se^{-\pi s^2/4}$. From a random matrix point of view, we can write ...
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50 views

Models for events where position and time are correlated

Apologies in advance if this question is not sufficiently research-level: What are the standard models that are used to describe phenomena in which events that occur at the same time are likely to be ...
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133 views

Ising model on lattices with (vertical side length) $\neq$ (horizontal side length)

Consider the Ising model with nearest neighbours interactions on a rectangular lattice $L\times M$. If $L=M$ ($2$-dimensional square lattice), it is known (e.g., by Peierls' argument or Onsager's ...
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50 views

“Bad” lower functions for a Bessel process?

Let $(X_t, t \ge 0)$ be a Bessel($\delta$) process, for some dimension $\delta > 2$, starting, say, from $1$. Let $f: \mathbb{R}_+ \to \mathbb{R}_+$ be an upper semicontinuous function; assume ...
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1answer
111 views

The uniform integrability of exponential of Poisson process

Let $\left\{N_t,\mathcal{F}_t\right\}_{t\ge0}$ be a Poisson process with intensity $\lambda>0$. Define $$X_t=\exp{\left[N_t-\lambda t(e-1)\right]}$$ I can show that $\{X_t,\mathcal{F}_t\}_{t\ge0}$ ...
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99 views

RKHS norm and posterior of Gaussian process

In Srinivas et al (2010) [appendix B], the authors claim the following "easy to see" property relating the norm of a function in a RKHS induced by a kernel $k(\cdot,\cdot)$, and its norm in the RKHS ...
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126 views

Conditional Form of Rosenthal's Inequality

Rosenthal's Inequality as stated in the book "Martingale Limit Theory and Its Application" by Hall and Heyde states the following: If $\{S_i, \mathcal{F}_i, 1\leq i \leq n\}$ is a martingale and ...
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1answer
86 views

Is it true that all stationary measurable stochastic processes are “measurably stationary”?

(Philosophically, the following question is of a similar flavour to A stochastic process that is 1st and 2nd order (strictly) stationary, but not 3rd order stationary, but more "advanced".) Let ...
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2answers
258 views

Ito diffusion with highly oscillatory diffusion coefficient

Consider the stochastic differential equation on $\mathbb R$ $$ dx_t = f(x_t) dt + g(\omega t)\, dW_t $$ with $W_t$ a standard Brownian motion, $f:\mathbb R \to \mathbb R$ a smooth function, and ...
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149 views

Generalization of Ito's formula

If $f:R\to R$ is a convex function then we have Ito-Tanaka formula. Now my question is that if we are given a function $u: R\times R_+\to R$ such that $u(s,\cdot)$ is smooth for every $s\in R$ and ...
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54 views

The distribution of maximum of fraction Brownian motion over finite time interval

Suppose that $\{B_t^H,\ t\geq 0\}$ is a fractional Brownian motion with Hurst exponent $H$, I wonder if there are explicit expressions for the joint distribution of $(\sup_{0\leq t\leq ...
3
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1answer
205 views

Unusual augmentation of a filtration

consider a probablity space $(\Omega,\mathcal{F}, \mathcal{P})$ and a filtration $(\mathcal{F}^0_t)$. In general $(\mathcal{F}^0_t)$ doesn't satisfy the usual conditions (it is not both complete at ...
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76 views

Reference request: seminal paper on the Blumenthal-Getoor index

Numerous papers are referring to the following one R. M. Blumenthal and R. K. Getoor, Sample functions of stochastic processes with stationary independent increments, J. Math. Mech. 10 (1961), ...
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157 views

Repeatedly changing queue behavior

I'm not sure if this question is suited to MO. I will happily delete if not. Situation Consider a general queueing system $\mathscr{S}$, whose customer arrival times are independent, and whose ...
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286 views

Trapping a particle

A particle starts a brownian walk in the middle of a long tunnel in the plane, at one end of the tunnel is a region Y of given area A. Does the shape of region Y affect average time for the particle ...
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Conditional probabilities in epidemic model

I was contemplating an epidemic model where infection and recovery rates are determined by links. Here node $i$ is infected first and recovers at a rate $\mu_i$. For all other nodes, the recovery is ...
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1answer
164 views

Markov chain Monte Carlo: why is non-reversible MC MC not as popular?

I am new to methods for simulating Markov chains in order to sample from the target, unknown distribution. After a couple days of reading, I found out that even though people have realized that ...
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Zeros of non-lipschitz functions (when noisy estimates are available only)

Given noisy (martingale difference) of a Lipschitz continuous function $f$ it is known how to compute zeros of it. It is the stochastic approximation approach (by Borkar, Kushner and Yin etc.). Is ...
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1answer
90 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| ...
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179 views

Stochastic integration by parts to obtain Kailath Segall identity for iterated stochastic integrals?

If $(M_t)_{t \geq 0}$ is a continuous local martingale, one can define the iterated integrals $I_0=1$, $I_1(t)=M_t$ and for $n \geq 2$ $$I_{n}(t) = \int_0^t I_{n-1} (s) \mathrm{d} M_s.$$ By noting ...
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1answer
118 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, ...