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

**2**

votes

**0**answers

135 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

216 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 ...

**0**

votes

**0**answers

55 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 ...

**2**

votes

**0**answers

54 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 $N\times N$ ...

**3**

votes

**0**answers

132 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 ...

**0**

votes

**1**answer

76 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 ...

**2**

votes

**1**answer

210 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 ...

**0**

votes

**0**answers

50 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 ...

**0**

votes

**1**answer

99 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.

**2**

votes

**1**answer

151 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 ...

**7**

votes

**3**answers

374 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 ...

**2**

votes

**0**answers

86 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 ...

**0**

votes

**0**answers

52 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 ...

**7**

votes

**2**answers

139 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 ...

**1**

vote

**0**answers

53 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 ...

**2**

votes

**1**answer

114 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 $\{X_t,\mathcal{F}_t\}_{t\ge0}$ ...

**1**

vote

**0**answers

114 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 ...

**3**

votes

**1**answer

132 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 ...

**1**

vote

**1**answer

89 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 ...

**3**

votes

**2**answers

267 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 ...

**2**

votes

**0**answers

162 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 ...

**2**

votes

**0**answers

55 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**

votes

**1**answer

207 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 ...

**1**

vote

**1**answer

83 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), ...

**0**

votes

**0**answers

161 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 ...

**10**

votes

**1**answer

287 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 ...

**1**

vote

**0**answers

86 views

### 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 ...

**1**

vote

**1**answer

190 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 ...

**3**

votes

**1**answer

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| ...

**3**

votes

**1**answer

186 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 ...

**2**

votes

**1**answer

123 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, ...

**6**

votes

**2**answers

434 views

### Birkhoff Ergodic Theorem and Ergodic Decomposition Theorem for Continuous-Time Markov Processes

I have a couple of questions regarding ergodicity for Markov processes in continuous time. (In particular, the first question seems like it should be particularly basic, and yet I haven't managed to ...

**4**

votes

**1**answer

190 views

### Stability of convergence in distribution under randomization

Suppose you have a sequence of non-negative stochastic processes $(X^n)_{t \in \mathbb{R}}$, $n \geq 1$, with continuous paths and continuous in $t$ such that
$$\int_{-\infty}^{\infty} X^n_t \, ...

**4**

votes

**1**answer

203 views

### Can't figure out “standard application” of the Garsia-Rodemich-Rumsey Lemma

I'm currently reading the paper http://arxiv.org/abs/0908.2473 and can't figure out what they call a "standard application" of the Garsia-Rodemich-Rumsey lemma (see p.8). Summed up, they have a ...

**2**

votes

**0**answers

56 views

### Almost sure transversality of smooth random maps

I still am novice as far as probability is concerned and after fruitlessly Googling for an answer for a few days I thought I might have a better chance with MO.
Let me first formulate the ...

**4**

votes

**0**answers

99 views

### Reference request: Stochastic integration and martingale theory on the whole real line

I'm looking for a thorough treatment of stochastic integration and/or martingale theory on the whole real line, i.e. a way to construct a Brownian motion $(B_s)_{s \in \mathbb{R}}$ (if a two-sided BM ...

**0**

votes

**1**answer

109 views

### Measurable functions lifted onto a space of point measures are measurable

I've been reading [1] and attempting to prove statements given without proof. In the paper the authors construct a measurable space of measures over a base space, and as an aside show an elegant way ...

**1**

vote

**2**answers

343 views

### Brownian motion of every point in the plane

Suppose every point in the plane undergoes brownian motion for a time t. What is the probability n particles ended up at 0? For n finite, countable or uncountable?
What proportion of the plane does ...

**0**

votes

**2**answers

130 views

### When does a stochastic process have its sample paths a.s. in the reproducing kernel hilbert space (RKHS) induced by its covariance function?

Let $T$ be a compact metrizable space. Consider a centered second order measurable process $(X_t\colon t\in T)$ with continuous covariance function $c(t,s):= \mathbb{E}X_t X_s$.
Are there any known ...

**44**

votes

**5**answers

3k views

### Escape the zombie apocalypse

Consider zombies placed uniformly at random over $\mathbb{R}^2$ with asymptotic density $\mu$ zombies/area. You are placed at a random point and can move with speed $1$. Zombies move with speed $v\leq ...

**0**

votes

**0**answers

103 views

### Probability that d-Brownian Motion ,$d\geq 3$, avoids a fixed set A

In other words, the probability that Brownian motion stays within $A^{c}$.
What about for connected and fixed compact sets ? Would that involve solving a heat equation? How can I condition it, so ...

**2**

votes

**1**answer

116 views

### Mutual information staying constant under composition of channels

Consider the following scenario: one has 2 communication channels $C_1$ and $C_2$. Denote by $p(x)$ the input probability distribution.
The mutual information between the input and the output of ...

**3**

votes

**2**answers

94 views

### Is this generating family of a measurable space of point measures a pi-system?

I'm learning some probability and measure theory and working my way through the first few paragraphs of [1]. My question is perhaps too basic for Math Overflow, but I hope it is welcome here.
Point ...

**4**

votes

**0**answers

808 views

### Progressively measurable vs adapted

I often see in stochastic calculus books the terms 'adapted process' and 'progressively measurable process'. I know there is a small difference between them (every progressively measurable process is ...

**1**

vote

**0**answers

56 views

### Jumps of jump diffusions

Let $W$ be a Brownian motion and $N$ a Poisson random measure defined on $\mathbb R_+ \times \mathbb R_0^n$ ($\mathbb R_0^n:=\mathbb R^n-\{0\}$) with compensator $\tilde N(dt,dz):= N(dt,dz) - dt ...

**3**

votes

**1**answer

130 views

### Wiener measure of hitting sets A,B but not C (or easier hitting A but not C)

I am trying to formulate the measure of event
$E=\{B[0\infty)\cap A,B \neq \varnothing$ and $B[0\infty)\cap C= \varnothing\}$,
where $B[0\infty)$ is a Brownian path and $A,B,C$ are pairwise ...

**3**

votes

**1**answer

174 views

### An efficient method to find the MLE of the combination of two point processes

I have a point process defined in two parts as follows. Consider first the main process which we call $A$ which is homogeneous Poisson process with conditional intensity
$$\lambda(t) = \mu$$
For ...

**3**

votes

**1**answer

322 views

### weak convergence of the solutions to stochastic heat equation

$W(t,x)=\sum_ic_ie_i(x)B^i_t$ is a Brownian motion in $L^2(R^d)$, where $\{e_i\}$ is the standard orthogonal basis and $\sum_ic_i^2<\infty$.
$$\partial_t u(t,x)=\Delta u(t,x)+u(t,x)\dot{W}(t,x)$$
...

**0**

votes

**1**answer

47 views

### DTMC random walk model [closed]

For a discrete Markov chain random walk with p < 0.5 with state space S= {0,1,2..}
What is the stationary distribution?
I could use any help.
Thank you

**1**

vote

**1**answer

118 views

### Intuition for the definition of a probability generator of a Feller process

I am working with the definition of a probability generator of a Feller process as stated in Liggett's book, "Continuous time Markov processes":
Let $S$ be a compact state space and denote by $C(S)$ ...