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

**4**

votes

**2**answers

198 views

### Prediction with positive weights?

Consider a covariance function (positive definite function) on $\mathbb{Z}$:
$$
\gamma(k)=(1+|k|)^{-\alpha},\quad \alpha>0.
$$
It is guaranteed to be positive definite by Polya's criterion ...

**1**

vote

**2**answers

91 views

### Understanding the limits of the Ito Process Defintion

I would like to understand what kind of stochastic process are Ito Processes. According to Kuo[p. 102] an Ito Process is a stochastic process of the form
$$dX_t=g(t)dt+f(t)dW(t),$$
where $W(t)$ is a ...

**5**

votes

**1**answer

228 views

### Does every smooth manifold carry a gaussian random field?

Let $M$ be an arbitrary finite-dimensional smooth manifold. For simplicity, let's assume that $M$ has no boundary. Does there always exist a gaussian random field with constant variance on $M$? If ...

**5**

votes

**2**answers

175 views

### Recurrence of Poisson binomial distributed random walk

Let $X_n$ be the outcome of a Bernoulli trial where the probability of getting 1 is $p_n$ and the probability of getting 0 is $1-p_n$, and let $S_n = \sum_{i=1}^n \left(X_i - \textrm{E} X_i \right)$. ...

**4**

votes

**0**answers

104 views

### regularity of zero point

We consider 1-d process $X$
$$ X(t) = b t + J_{t} + M_{t}$$
where $b$ is constant, $M$ is a continuous martingale process with
$M(0) = 0$, and
$J$ is a symmestric $\alpha$-stable process with its ...

**3**

votes

**1**answer

103 views

### Markov-semigroup sobolev inequality

I have a question about the following definition:
A probability measure $\mu$, such that the Markov semi-group $e^{Lt} \in L(L^2)$ exists and is symmetric, satisfies the Sobolev inequality iff for ...

**4**

votes

**1**answer

103 views

### Exponential of approximate quadratic variation of Brownian motion

Let $X_t$ be a Brownian motion or a Brownian Bridge on a (\edit: compact) Riemannian manifold. Let $T>0$ be given.
The question is: Does there exists a constant $C>0$ such that for all ...

**2**

votes

**0**answers

123 views

### Stopping time sigma-fields

Let $(F_n)$ be a discrete Filtration and $S_n,S$ (not necessarily finite) stopping times with $S_n\uparrow S$ (increasing convergence).
Is it true that the associated sigma-fields satisfy ...

**4**

votes

**1**answer

139 views

### Large deviation for Brownian path on $[0,\infty)$

It seems strange to me that all we can find about Schilder's theorem in the literature is on a finite interval of Brownian path.
If we equip the space of continuous function starting from $0$, ...

**4**

votes

**1**answer

54 views

### Reference request: Urbanik's work on random integrals and Orlicz spaces

Several important papers on Lévy processes are referring to the following paper:
K. Urbanik and WA Woyczynski, A random integral and Orlicz spaces,
Bulletin de l'Académie Polonaise des Sciences, ...

**5**

votes

**1**answer

250 views

### Nearest neighbor for planar Poisson is normally distributed

This was previously asked on MathSE, but was not answered.
Answering a question, I realized that the nearest point for a planar Poisson point process (with constant intensity $\lambda>0$) is ...

**3**

votes

**0**answers

47 views

### $X_t = B_t^q$, $X_t = (\sin B_t)^q$, $X_t = B_t^q (\sin B_t)^r$, $dM_t = R_t\,M_t\,dB_t$ [closed]

What are the SDE's satisfied by the following processes?
$X_t = B_t^q$
$X_t = (\sin B_t)^q$
$X_t = B_t^q (\sin B_t)^r$
Assume $B_t$ is a standard Brownian motion with $B_0 > 0$ and the ...

**5**

votes

**0**answers

49 views

### Full distribution of FPTs in random walks on graphs

There is a lot of published research on the mean passage passage time (FPT) for random walks on various types of graphs. How about the variance of the FPT and higher momenta? In fact, I would be ...

**4**

votes

**2**answers

61 views

### Distribution of the RKHS norm of the posterior of a Gaussian process

In a classical noisy regression setting, let $\big(f(x)\big)_{x\in\cal X}$ be a centered Gaussian process of covariance $k$ on a compact $\cal X$, and $\mathcal{F}_n$ be the filtration generated by ...

**0**

votes

**0**answers

156 views

### Example of an adapted measurable process which is not Progressively Measurable

In this question
Progressively measurable vs adapted, one finds a discussion on the subject of adapted processes versus progressively measurable processes.
Counter-examples can be readily given. We ...

**6**

votes

**1**answer

188 views

### Bound on expectation, not a really simple process, circumvent using Itō's lemma?

Assume that $H_t$ is a progressively measurable process such that with probability one $|H_t| \le k$ for all $t$. Let$$Z_t = \int_0^t H_s\,dB_s.$$How do I see that for all $s < t$, $\lambda \in ...

**0**

votes

**0**answers

69 views

### What is the success probability of this stochastic process?

Suppose you have $k$ black balls and $X\cdot k$ white balls.
The procedure start with you having a bag containing $y\le k$ white balls (e.g. $k+1,\ldots k+y$).
In every iteration:
A single white ...

**0**

votes

**0**answers

63 views

### Law of motion when initial condition is perturbed

We know how to find the law of motion (Ito process) of the value function:
$$V_t(x)=E\Big{[}\int^{T}_te^{-r (s-t)}f(s,X_s)ds+e^{-r (T-t)}g(T, X_{T})|\mathcal{F}_t\Big{]}$$
such that
...

**3**

votes

**0**answers

102 views

### Solve SDE $dX_t=(c+\sigma_\zeta W'_tX_t)dt + \sigma_\epsilon dW_t$

I am trying to solve the following SDE
$$dX_t=(c+\sigma_\zeta W'_tX_t)dt + \sigma_\epsilon dW_t$$
$c\in \mathbb{R}$ is a constant, $X_t$ is a stochastic process, $\sigma_\zeta,\sigma_\epsilon \in ...

**1**

vote

**1**answer

83 views

### Continuity of expected payoff from a diffusion

Fix a discount rate $r>0$, and let $m,v,f:\mathbb{R} \rightarrow \mathbb{R}$ be bounded measurable functions of locally bounded variation, with $v$ globally bounded below by some strictly positive ...

**0**

votes

**0**answers

38 views

### How to implement conjugate gradient method to minimize this nonlinear action?

Given a 2D stochastic differential equation:
\begin{align}
\dot{x}_{i}=f_{i}(\textbf{x})+g_{ij}\xi_{j}(t),
\end{align}
where $i=2$, $g_{ij}g_{jk}=2\epsilon\delta_{ik}$ and ...

**0**

votes

**1**answer

372 views

### Time Change of a Brownian motion

We know that for if $X$ is a stochastic integral of the form below -
$X_t = \int_0^t v(s,\omega) db(s,\omega)$.
then we can use time change formula to claim that
$X_t = W_{\alpha(t)}$ where $W$ is ...

**1**

vote

**2**answers

248 views

### The Levy measure of the compound Poisson distribution

The compound Poisson distribution is defined as(see Levy processes and infinitely divisible distributions page: 18):
Let $c>0$ and $\sigma$ be a measure on $\mathbb{R}$ with $\sigma(\{0\})=0$, a ...

**0**

votes

**0**answers

85 views

### strong law of large number for semimartingale

I just want to know if for semimartingale X we have $\lim_{t \rightarrow \infty} \frac{X_{t}}{<X>_{t}}=0$ or when it is possible. i know it is true for brownian motion.
Thanks

**3**

votes

**1**answer

154 views

### Brownian bridge on a Lie group as a stochastic differential equation

Brownian motion $g_t$ on a compact Lie group satisfies the stochastic differential equation
$$dg_t = dB_t \circ g_t$$
where $B_t$ is Brownian motion on the Lie algebra and $\circ$ denotes ...

**2**

votes

**0**answers

55 views

### Using compactness method to prove the existence of a pathwise solution to an SPDE

For given initial data $u_0\in H^k$ for some $k$, I want to prove the existence of solution to some PDE with multiplicative white noise. I modify the SPDE by regularizing it and then use the ...

**2**

votes

**0**answers

64 views

### Strong solution to an SDE with a discontinuous diffusion term

I am having an SDE for which I would be in trouble if there were no strong solution.
The SDE is -
$ dX = \mu(x) dt + \sigma_1 (x) db_{1t} + \sigma_2(x) db_{2t}$
where $b_1$ and $b_2$ are two ...

**5**

votes

**1**answer

184 views

### Optimisation of betting strategy

Consider integers $r \geq 1$ and $k \geq 1$ and consider the following game:
We start with $r$ tokens and at each round we choose $i \in \{1,...,r\}$ tokens to bet (if we have $N<r$ tokens we ...

**4**

votes

**1**answer

119 views

### Time for brownian motion to cross a coordinate plane

Can I get a reference or some insight into the following? Suppose a particle moves by Brownian motion, starting from a point $P$ in $\mathbf{R}^{n}$. What can we say about the distribution of the ...

**0**

votes

**1**answer

124 views

### Tail bound for a martingale

The setup is as follows.
We are given a martingale $X_0,X_1,...,X_k$. The difference $X_i-X_{i-1}$ is always between $[-1,1]$. Variance $D^2(X_i-X_{i-1}| X_{i-1})$ is something, but we can show that ...

**0**

votes

**0**answers

59 views

### Convergence of approximate quadratic variation in $L^p$

For a diffusion $X_t$, I can set
$$[X]^N_t = \sum_{j=1}^N \bigl(X_{t\frac{j}{N}}-X_{t\frac{j-1}{N}}\bigr)^2$$
Then it is well-known that the process $[X]^N_t$ tends to the quadratic variation $[X]_t$ ...

**0**

votes

**0**answers

58 views

### Compute the Gibbs energy

I have a question about Gibbs distribution in Stochastic theory. In which, it defined a clique as a a subset $C$ in the whole image $\Omega$ if two different element of $C$ are neighbors. Figure 2 ...

**1**

vote

**0**answers

172 views

### Density of subspace with nonlocal/Wentzell boundary condition

Given the space $F$ defined by:
$$F=\left\{f\in C^2(\mathbb{R}_+^2;\mathbb{R}):f(x,0)=\int_\mathbb{R} f(z,x)g(z)dz, x>0\right\},$$
I want to prove that the subspace $E$ of $F$ defined by ...

**2**

votes

**1**answer

109 views

### Is there any parameter space of Cramér–Rao_bound

It is known that Cramér–Rao_bound is the lower bound of variance of a parameter. A useful link is https://en.wikipedia.org/wiki/Cram%C3%A9r%E2%80%93Rao_bound There is also a term called ...

**3**

votes

**0**answers

36 views

### Continuity of expected hitting value of diffusion

Let $W$ be a $d$-dimensional Brownian motion and $X$ the strong solution to
$$\mathrm{d} X = \mu(X)\mathrm{d} t + \sigma(X)\mathrm{d} W,$$
starting from some $x$, where $\mu$ and $\sigma$ are ...

**0**

votes

**0**answers

37 views

### Validating a probability density distribution forecast model for a Markov process

Let's say we have a Markov process $X_t$, and we come up with a forecast model that takes some information from outside world and says: "value $X_{t+1}$ has probability density distribution $P_t(x)$". ...

**1**

vote

**2**answers

96 views

### Is zero a regular point for a drifted $\alpha$-stable process?

We consider 1-d process of the form $Y_{t} = bt + M_{t}^{\alpha}$,
where $M_{t}^{\alpha}$ is $\alpha$-stable process for some $\alpha
\in (0,2)$ with its levy symbol $\eta(u) = - |u|^{\alpha}.$,
and ...

**5**

votes

**2**answers

240 views

### Infimum of Gaussian process

Consider a Gaussian Process $g\sim GP(\mu,k)$ with mean zero $\mu\equiv0$ and continues covariance $k(t_1,t_2)=k(|t_1-t_2|)$ defined on the interval $A=[0,T]$. I'd like to make no assumptions about ...

**0**

votes

**0**answers

37 views

### Uniform convergence problem of the iterative function series

A process $\{\theta_{t}\}_{t=1}^{\infty}$ with finitely continuous state space $\mathcal{S}=[\underline{\theta},\bar{\theta}]$.The transition density is $\phi(\theta_{t},\theta_{t+1})$.I have known ...

**1**

vote

**0**answers

40 views

### Basic results for chi square processes

I could not find any introductory material with basic results regarding chi-square processes. Their definition from The Supremum of Chi-Square Processes
is as a sum of $d$ squares of independent ...

**3**

votes

**1**answer

60 views

### Number of samples needed as input to Bernoulli factory

Let $\{X_i\}$ denote an i.i.d. sequence of Bernoulli variables with parameter $p$. A Bernoulli factory is a procedure that generates events with probability $f(p)$ using the observations $\{X_i\}$, ...

**0**

votes

**0**answers

64 views

### Markov chain matching local time

Let $\left(X_{t}\right)_{t\geq0}$ be a Markov process taking values in
a finite state space $E$. Its local time at $y\in E$ started at
$x\in E$ is defined as
$$
...

**1**

vote

**0**answers

59 views

### Stationary distribution of two-dimensional Markov Process?

A two-dimensinal Markov process $\{\theta_{t},S_{t}\}_{t=1}^{\infty}$ where $\theta_{t} \in \Theta$ and $S_{t} \in S$.$\Theta$ is a continuous state space and $S$ is a discrete state space. Suppose I ...

**2**

votes

**0**answers

65 views

### integrability of Brownian motion stopped at some stopping time

Let $B=(B_t)_{t\ge 0}$ be a standard Brownian motion starting at zero and denote by $S=(S_t)_{t\ge 0}$ its running maximum, i.e. $S_t=\sup_{0\le s\le t}B_s$. Given a fixed number $p>1$, define the ...

**0**

votes

**0**answers

38 views

### Systems of stochastic differential equations with non-Lipschitz coefficients

I am looking for references to any literature which might consider the existence / behavior / regularity of solutions to systems of stochastic differential equations with non-Lipschitz coefficients.
...

**-2**

votes

**1**answer

128 views

### expected value of cosine wirh Gaussian phase

Is there a solution to the expected value/variance for a Gaussian with random phase:
$$\cos(\omega_0 t + \phi), \qquad \phi \sim \cal{N}(0,\sigma^2) $$
?
For $t=0$, the solution is for example ...

**4**

votes

**0**answers

50 views

### Existence of martingales given some constraint on laws

Let $X=(X)_{0\le t\le 1}$ be a continuous martingale starting at $0$, then denote by $\mu$ and $\nu$ the probability laws of $\int_0^1X_t \mathrm{d}t$ and $X_1$. Then it is easy to see that the couple ...

**2**

votes

**2**answers

292 views

### Can I use Birkhoff's Ergodic Theorem for Vector Valued Process?

I have a stationary process $\{u_n\}$ and I have a function $f:\mathbb{R}^L\to \mathbb{R}^+$. I want to evaluate the following limit $$\lim_{n\to \infty}\frac{1}{n}\sum_{k=1}^n g(f(\mathbf{u}_{k}))$$ ...

**0**

votes

**0**answers

38 views

### Proof of Linear Stochastic Sate-Space Model is Gaussian Process

I would like to prove that the vector-linear stochastic state space model
$$
\dot{x}(t)=A(t)x(t)+B(t)u(t)+G(t)q(t) \\ y(t)=C(t)x(t)+D(t)u(t)+F(t)r(t)
$$
corresponds to a particular multi-output ...

**2**

votes

**0**answers

128 views

### The existence of stationary measures for certain Markov process

My question is that:For a discrete-time random process $\{x_{t}\}_{t=1}^{\infty}$ and $x_{t} \in \Omega$ where $\Omega$ is a general state space(If $\Omega$ is a discrete space, it is a discrete-time ...