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

**4**

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55 views

### Sufficient condition in terms of stopping times for a stochastic process to be a local supermartingale

Let $(X_t)_{t\geq 0}$ be a continuous (or càdlàg), real-valued process, and define stopping times $\tau_{s,a,b}=\inf~ [s,\infty)\cap\{t:X_t\notin (a,b)\}$. We can interpret $\tau_{s,a,b}$ as the first ...

**2**

votes

**1**answer

413 views

### Parameter estimation for stochastic differential equation from discrete observations

Suppose we have a time-series $x(t_i)$ at discrete times $t_i$ and we want to estimate the parameters of an underlying SDE corresponding to this time-series:
$$dx_t = f(x_t,\theta)dt + ...

**0**

votes

**0**answers

104 views

### Inequality relating stationary probabilities and transition probabilities

Let $P$ be the transition probability matrix of a aperiodic irreducible DTMC and let $\pi$ be its stationary distribution. I would like to know if there is any literature on types of Markov chains ...

**3**

votes

**0**answers

113 views

### On understanding Discrete-Valued Stochastic Processes( time series, panel data )

It seems to me that a significant proportion of work in probability theory, statistics and machine learning are on understanding continuous-valued, relatively weakly dependent, or linear dependent ...

**8**

votes

**1**answer

294 views

### Can one use Brownian motion to prove that two manifolds are not conformally equivalent?

Let me start by a very simple example; consider the following question:
"Let D1 be a square and D2 a rectangle (boundary included). View them
as subsets of the complex plane. Does there exist a ...

**2**

votes

**0**answers

80 views

### How can we describe explicitly the “infinitely complex differentiable” complex-valued local martingales?

Let $\mathcal{F}_t$ be a continuous filtration on a probability space, and let $B$ be a standard $\mathbb{C}$-valued $\mathcal{F}_t$-Brownian motion. Let's call a complex-valued process $X$, possibly ...

**0**

votes

**1**answer

248 views

### Anyone has Kushner's book “Introduction to stochastic control” 1971? I need a theorem from it

In a paper I'm reading, it refers to Theorem 8, Page 217 of the book
"Introduction to Stochastic Control" H. J. Kushner, New York: Holt, Reinhart, and Winston 1971. Unfortunately I don't have it and ...

**10**

votes

**2**answers

664 views

### Why do we want maps to be measurable (in countably-additive setting)

When I have to explain things that I am doing to people who did not do (or even did not learn) measure-theoretical probability, I think of getting a question in the title, and I am not sure I have ...

**5**

votes

**0**answers

128 views

### Local structure in the stochastic sandpile model

Here's a question that came up at the recent AIM conference on chip-firing and generalizations.
The stochastic sandpile model, I think originally due to Manna, is a stochastic process that (in one ...

**3**

votes

**2**answers

306 views

### Solving a SDE with quadratic drift

I am wondering whether the following SDE can be solved explicitly?
$$
d X_t = X_t^2 d t + X_t d B_t
$$
where $B_t$ is a standard Brownian motion. If not, can we say some thing about the moments of ...

**4**

votes

**0**answers

271 views

### Inverse Fourier Transform involving a Bessel Function, Exponential, and Power

I'm interested in this integral as a function of $r$ for various spectral densities $S(s)$:
$\frac{2 \pi}{r^{p/2}-1} \int_{0}^{\infty} S(s) J_{p/2-1}(2 \pi r s) s^{p/2} ds $, where $J_{p/2-1}$ is a ...

**3**

votes

**2**answers

216 views

### Ito Diffusions with low regularity?

I would like to have an Itô Diffusion
$$ X_t = \int_0^t b(s) \mathrm{d}s + \int_0^t \sigma(s) \mathrm{d}B_s.$$
where the (vector- and matrix-valued, respectively) functions $b$ and $\sigma$ have lower ...

**3**

votes

**1**answer

269 views

### Probability that no three events happen in a pre-defined window

Consider a Poisson process with arrival rate $\lambda$ arrivals per unit time. Given a window of time $W$ and a total of $k$ events, what is the upper bound of the probability that no three events ...

**2**

votes

**0**answers

108 views

### Existence of predictable quadratic covariation for a special pair of local martingales

In Limit theorems for stochastic processes, by Jacod and Shiryaev we have the existence of a predictable quadratic covariation process stated as the following theorem
$\mathbf{Theorem}$ To each ...

**12**

votes

**0**answers

505 views

### Random Walk on $\mathbb{R}$ with Uniformly Distributed Steps and “Reflective” Boundary at Origin

A particle lies on the real number line at the origin. For each step taken, the particle moves from its current position a distance (and direction) chosen equi-probably from range $[-1,r]$. However, ...

**5**

votes

**2**answers

288 views

### Keeping time by randomly drifting a $q$-ary string

Imagine I have a string $s$ of length $L$ encoded over an alphabet of size $q$, e.g. $s = 000101$, where $L = 6$ & $q = 2$. For each of $T$ time intervals, $(t_1, ..., t_N) \in T$, I select a bit ...

**3**

votes

**1**answer

261 views

### Casino does not win, while clients do lose ? Prob_loss(T) = 1 - .8/sqrt(T)?

Setup. Let casisno generate a color: black or red with equal probability.
Let client try to guess the color. If guess is correct - he earns 1 coin from casino, if not - he gives one to casino. If he ...

**0**

votes

**1**answer

151 views

### Colored noise in SDE

I want to numerically study the behavior of a system described by a set of differential equations in the presence of colored noise. It seems that the standard procedure is to use the Langevin ...

**5**

votes

**3**answers

670 views

### One can earn nothing on the Brownian motion, true ?

Consider any discrete time stochastic process $p(n)$ (price) with independent increments $\xi_k$ and $E(\xi_k)=0$. E.g. Brownian motion (i.e. $\xi_k = N(0,1)$).
Consider some "trading strategy" ...

**2**

votes

**1**answer

81 views

### How to simulate random paths of a non-homogeneous continuous-time Markov process with discrete state space for a given infinitesimal generator matrix?

Let $X=(X_{t},t \in T)$ be a non-homogeneous, continuous time Markov process with a finite state space S={1,...,K}.
Let $\alpha_{i,j}(t)$ be the hazard rates of some $\varGamma$-distributed random ...

**4**

votes

**0**answers

63 views

### Importance sampling of finite path of stochastic difference equation

Before passing to question, let me briefly recap what's importance sampling of random variables is about. Suppose $\xi$ is a real-valued random variable with density $f$, and let $g:\Bbb R\to \Bbb R$ ...

**2**

votes

**1**answer

193 views

### Conditional law of an Ito's stochastic integral

Consider $B=(B_t)_{t\geq 0}$ real $\mathcal F_t$ - brownian motion starting at zero, in a probability space $(\Omega, \mathcal F, (\mathcal F_t)_{t\geq 0}, \mathbb P)$. Then, consider a new real ...

**12**

votes

**3**answers

431 views

### An “inchworm-like” random walk on an integer interval

Imagine I place $k$ stones on an infinite one-dimensional integer interval $Z$ s.t. no stone is more than some distance $d$ from any other stone. For example, if $d=1$ and $k = 5$, we might place the ...

**4**

votes

**0**answers

87 views

### How fast is discrete-time diffusion on a continuous set?

This question is inspired by Joseph O'Rourke's beautiful answer to my previous question.
Let $\mathbb{S}^{d\times n}$ denote the set of real $d\times n$ matrices whose columns have unit norm and sum ...

**7**

votes

**3**answers

777 views

### Blue and red balls puzzle

I was sent this puzzle and wondered if it is known or if its origin is known? (I see colored ball puzzles are also in vogue.)
Consider a bag with $n$ red balls and $n$ blue balls. At each turn you ...

**4**

votes

**0**answers

187 views

### Inadmissibility of Simpson's rule

(An earlier version of this at stackexchange got no answers.)
Bayesianism says that all uncertainties, or at least all uncertainties about the truth or falsity of propositions, can be expressed by ...

**3**

votes

**2**answers

286 views

### Probability distribution for two-state system that depends on residence time

I am a statistical physicist, and I've come across a problem that I don't know how to solve. I believe my issue lies with how to formulate it mathematically. I'd be very grateful for any assistance, ...

**2**

votes

**0**answers

59 views

### Tail for the integral of a diffusion process

I would like to compute the following tail,
$$
\mathbb{P}\left(\int_{0}^{T} f(X_t)\mathrm{dt}>x\right),
$$
assuming
$$
\mathbb{P}[f(X_t)>x] = x^{-\alpha} \log(x),
$$
and $X$ is a diffusion ...

**3**

votes

**1**answer

145 views

### Optimizing a stochastic “flip and prune” procedure for selecting a subset of coins

I place some number of coins, $(c_1, ..., c_N) \in C$ on a table, where each coin is originally tails up. Let's call the "tails" state $0$ and the "heads" state $1$. I then perform the following ...

**0**

votes

**1**answer

330 views

### Mathematical properties of financial prices

Prices of financial assets (stock-market prices or currency exchange rates) obviously resemble trajectories of stochastic processes.
What is known about their mathematical properties ?
I know ...

**1**

vote

**0**answers

105 views

### Langevin equation with position-dependant damping: existence of an invariant measure?

The usual Langevin equation for a particle in a 1D harmonic potential
$dq(t) = p(t)~dt$
$dp(t) = -q(t)~dt + a ~dW(t) - b~p(t)~dt$
admits as an invariant measure the Gibbs measure ${1\over ...

**5**

votes

**0**answers

370 views

### When is an ODE a good approximation to an SDE?

Suppose $X_t$ is a weak solution to a stochastic differential equation in the form
$$d X_t = \sigma(X_t) d W_t + \lambda(X_t) dt$$
for smooth functions $\sigma: \mathbb R^d \to L(\mathbb R^d,\mathbb ...

**3**

votes

**1**answer

130 views

### “Trapping” of discs after random sequential adsorption

Imagine I perform Random Sequential Adsorption (RSA) of discs of some radius $r$ on $[0, 1]^2$, eventually covering the surface to some density $Q \leq 0.543$ with $N$ total discs (where $\approx ...

**4**

votes

**2**answers

98 views

### Simulating random sequential adsorption in reverse

Please consider two processes:
Process 1 - I simulate random sequential adsorption of discs on the unit square in the continuum limit, randomly selecting real number coordinates and rejecting the ...

**16**

votes

**2**answers

709 views

### Age of Stochasticity?

One user on MSE made an interesting question, which was unanswered so I suggested him to post it here but he refused for personal reasons and said I could ask it here.
The question is this:
Today ...

**3**

votes

**0**answers

93 views

### A simplified MCMC / MH algorithm. Are there known convergence results?

Hi, I hope this isn't too basic. We were working on a simulation using a Monte Carlo Within Metropolis algorithm and noticed that the whole thing could be expressed in the form below and simplified ...

**1**

vote

**2**answers

163 views

### Strictly positive definite autocovariance function of fGn

Hi,
let $\gamma(k) = 1/2 (|k+1|^{2H} + |k-1|^{2H}-2|k|^{2H}),k\in\mathbb{Z},$ be autocovariance function of fractional Gaussian noise where $H\in(0,1)$ is parameter.
I want to show that $\gamma$ is ...

**1**

vote

**1**answer

87 views

### Empirical distribution of a collection of iid Markov chains

Suppose we have $N$ independent 2-point Markov chains each having a rate matrix $Q = [-1,1;1,-1]$ and stationary distribution $\pi = [0.5,0.5]$. At time $t=0$, we initiate the chains so that the ...

**0**

votes

**1**answer

72 views

### Random Sequential Adsorption of Discs on a Plane - What is the best known lowerbound for the number of circles (of some radius $r$) guaranteed to fit on $[0, 1]^2$?

Imagine I perform a random sequential adsorption (RSA) simulation for circles or discs of some radius $r \leq 1$ in $[0, 1]^2$ (I am open to changing this geometry to the unit circle). As a function ...

**1**

vote

**0**answers

263 views

### How is Kolmogorov forward equation derived from the theory of semigroup of operators?

In Lamperti's Stochastic Processes, given
a time-homogeneous Markov process $X(t), t\geq 0$ with Markov transition kernel $p_t(x,E)$ and state space being a measurable space $(S, \mathcal{F})$,
a ...

**5**

votes

**1**answer

201 views

### Memory of Uniformly Random Dyck Paths

Let $D$ be the set of all Dyck paths on square grid of size $n\times n$. For any particular Dyck path, let $S(t)=X_1+X_2+\ldots +X_t$ store the path, where $X_i=\pm 1$. Being a Dyck path, we have ...

**1**

vote

**1**answer

310 views

### Iterated Ito Integral, Gaussian Volterra Process

Let me define
$$
J^f_{n}(t) = \, \int_0^t \int_0^{t_1} \ldots \int_0^{t_{n-1}} f(t, t_1, \ldots, t_n) \; dB_{t_n} ...dB_{t_1}
$$
where $f:[0,1]^{n+1} \to \mathbb{R}$ is a nice deterministic ...

**1**

vote

**0**answers

98 views

### Time integral of a diffusion

Define $\bar\sigma^2_t=\frac{1}{t}\int_0^t\sigma^2(X_s)ds$ where $\sigma(x)\geq0$ is a measurable function and $X_t$ a diffusion process defined by
\begin{equation}
...

**1**

vote

**0**answers

84 views

### Attractors and solutions to these generalized Ornstein–Uhlenbeck processes?

This is a question about generalized Ornstein–Uhlenbeck processes I asked on MSE, but I haven't received replies about their attractors and solutions yet. So I would appreciate if someone could give ...

**1**

vote

**0**answers

111 views

### Adding a damping term to a dynamical system or Markov process: what happens to invariant measures?

Consider the continuous-time Markov process on ${\mathbb R}^n$ described by the SDE
$\dot{x}(t) = F(x(t)) + \xi(t)$
where $F:{\mathbb R}^n \to {\mathbb R}^n$ is a smooth mapping, and $\xi(t)$ is a ...

**1**

vote

**1**answer

491 views

### Hitting time probability in a Random Walk with possibility to die.

A Random Walker can move of one unit to the right with probability $p$, to the left with probability $q$ and it can jump again to the starting point with probability $r$ and die. Naturally $p+q+r=1$. ...

**2**

votes

**0**answers

152 views

### Have you seen this one parameter family of distributions before?

This is a one parameter family of distributions. Choose some parameter $\lambda > 0$ and define the measure $\nu_\lambda$ which is absolutly continuous with respect to the Lebsegue measure with the ...

**1**

vote

**0**answers

163 views

### What conditions on a filtration guarantee that a (sub)martingale has a continuous modification?

There is a theorem as follows:
Theorem. Let $\mathcal{F}_t$ be a filtration which is right-continuous and complete. Assume $M_t$ is a submartingale adapted to $\mathcal{F}_t$ such that $t \mapsto ...

**0**

votes

**1**answer

260 views

### Is this probabilistic principle for stochastic processes known?

In the course of a proof, I used the following principle, which seems so intuitive that it should have a name:
Suppose one has a stochastic process $X_t$, for $t \in \omega$, on a (possibly infinite) ...

**3**

votes

**2**answers

812 views

### stopping time expectation for gambler's ruin

2 players A and B start with x & y dollars respectively, and they bet against each other 1 dollar each time by tossing a fair coin.
I let $X_n = x + \sum_{i=1}^{n}\xi_i$ where $\xi_i$ are i.i.d. ...