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

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**1**answer

130 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 circular region X, at the other end a region Y of given area A.
Does the shape of region ...

**0**

votes

**0**answers

26 views

### A doubt on balaji meyn's ergodic theorem paper

I have a question regarding the classic paper by Balaji and Meyn: "Multiplicative ergodicity and Large Deviations for an Irreducible Markov Chain".
Consider a recurrent apeiodic irreducible Markov ...

**3**

votes

**2**answers

175 views

### Convergence of iterated stochastic matrices

It is well-known that for a stochastic aperiodic matrix $M$,
the sequence $(M^n)_n$ converges.
Here I would like to a have a more precise analysis. Consider now a sequence of stochastic matrices ...

**-2**

votes

**0**answers

69 views

### Is there an example of an SDE that has no weak solution? [on hold]

So far I couldn't find an example for an SDE for which there exists no weak solution. Do you know one?

**0**

votes

**0**answers

42 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 ...

**3**

votes

**1**answer

226 views

### Law of Iterated Logarithm for autoregressive process

Suppose that $\{X_i\}$ is an $\mathrm{AR}(r)$, defined by:
$X_{i}= h(i) + \varepsilon_i $,
$h(i)=\alpha_1 X_{i-1} + \dots + \alpha_{r} X_{i-r}$
where $\{\varepsilon_i\}$ are i.i.d. ${\cal ...

**1**

vote

**1**answer

65 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 ...

**1**

vote

**1**answer

132 views

### Quasi-stationary distribution for a death process

In the paper, Survival in a quasi-death process by van Doorn and Pollett, the quasi-stationary distribution of a transient CTMC is discussed and QSD for a simple death process is derived.
Consider a ...

**3**

votes

**1**answer

108 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 ...

**0**

votes

**1**answer

148 views

### On the superior of generalized Ornstein-Uhlenbeck process

Let us consider a generalized O-U process $X_t \in L^2[0, 1]$ defined by the following spde:
$dX_t = \frac{1}{2}\partial_x^2X_t + dW_t, $
$\partial_x X_t(0) = \partial_x X_t(1) = 0, $
$X_0 = 0, $
...

**2**

votes

**1**answer

73 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| ...

**1**

vote

**1**answer

86 views

### Branching Brownian Motion and the KPP equation

I have troubles understanding the proof of the connection between BBM and KPP equation. I mean the proof of the next lemma from the lecture notes of Anton Bovier about BBM, link. This is almost whole ...

**2**

votes

**1**answer

104 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 $\sum_ic_i^2<\infty$.
$$\partial_t u(t,x)=\Delta u(t,x)+u(t,x)\dot{W}(t,x)$$
...

**1**

vote

**1**answer

261 views

### Comparing the expected stopping times of two stochastically ordered random processes (Added:(14.05.2014))

Information:
a-) $X$ and $Y$ are two continuous random variables on $\mathbb{R}$ having continuous distribution functions $F$ and $G$ with $G(y)\geq F(y)$ for all $y$.
b-) $S^X_n=\sum_{i=1}^n X_i$, ...

**0**

votes

**0**answers

16 views

### 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 ...

**3**

votes

**1**answer

150 views

### Quantiles moments and Convergence

QUESTION:
Let $F$ be an absolutely continuous distribution function with density $f$, and $F_{n}$ be its nth empirical distribution. Suppose that $t\in (0,1)$ is constant. Is true the convergence
...

**1**

vote

**1**answer

116 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 \, ...

**2**

votes

**1**answer

86 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, ...

**3**

votes

**0**answers

97 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 ...

**2**

votes

**1**answer

131 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 ...

**5**

votes

**1**answer

290 views

### How does the distribution of Erdős number evolve over time ? How to build a model to fit the real data ?

Let $E(n,t)$ be the number of mathematicians with finite positive Erdős number $n$ at time $t$. As old mathematicians leave, and new mathematicians come, how does $E(n,t)$ change over time ?
We can ...

**1**

vote

**2**answers

308 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

**0**answers

46 views

### Approximating the probability of an event by finite-dimensional distributions [migrated]

Let $(X(t))_{t\ge 0}$ be a stochastic process on $\mathbb{R}^d$, say an Ito diffusion (with continuous sample paths). Let $A\subset \mathbb{R}^d$ be a measurable set and $t>0$. Does the following ...

**2**

votes

**0**answers

49 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 ...

**41**

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 ...

**2**

votes

**0**answers

63 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 ...

**2**

votes

**1**answer

128 views

### A calculation involving a uniform random variable quantile

THE PROBLEM:
Let $U$ be a uniform distribution and $U_{n}$ be its nth empirical distribution. Suppose $t\in (0,1)$ and $n\in \mathbb{N}$ are constants. What's the explicit expression to
...

**1**

vote

**1**answer

159 views

### question about uniform continuity under Skorokhod Metric

Let $D=D([0,1], \mathbb{R})$ be the space of cadlag functions $x$ with $x(0)=0$ and $x$ is continuous on $1$. If we endow $D$ with Skorokhod Metric, see:
http://en.wikipedia.org/wiki/C%C3%A0dl%C3%A0g
...

**6**

votes

**1**answer

1k views

### Gluing Markov processes

I am looking for a reference on the gluing together of strong Markov processes to get a new one.
Here is an example of what I have in mind. Let $B^1, B^2, \ldots $ be independent one-dimensional ...

**5**

votes

**1**answer

419 views

### On the pathwise uniqueness of solutions of SDEs(Stochastic Differential Equations)

Suppose that $(\Omega,\mathscr{F},P)$ is a complete probability space equipped a filtration $\{\mathscr{F}_t\}$ satisfying the usual conditions. $B_t$ is a 1-dimentional Brownian motion with respect ...

**0**

votes

**1**answer

124 views

### Supremum in a Markov chain model

A Markov chain $X$ with finite state space $\{1,2,\cdots,N\}$ is defined on a probability space $(\Omega, P, \mathcal{F})$ equiped with filtration $\{\mathcal{F}_t\}$. And we assume that we can reach ...

**0**

votes

**2**answers

75 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 ...

**5**

votes

**1**answer

397 views

### References for a physicist migrating to stochastic processes

I've studied "Markov Chains" - Norris and "Measure, Integral and Probability" - Capinski, Kopp. Now, I'm looking for a couple of books (or other references) that help me bridging these two topics. ...

**0**

votes

**1**answer

77 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 ...

**4**

votes

**0**answers

68 views

### Sufficiency of stationary policy for negative stochastic dynamic programming

Consider a Markov Decision Process with Borel state space $X$ and Borel action space $U$, like the one defined in the book "Stochastic Optimal Control: Discrete-time case" by Bertsekas and Shreve. All ...

**1**

vote

**1**answer

79 views

### explicit characterization of the stochastic integrand

Let $V$ be a cadlag positive supermartingale with the following decomposition:
$$V_t=V_0+\int_0^tH_sdX_s-K_t$$
where $X$ is a cadlag local martingale and $K$ is an adapted increasing process with ...

**0**

votes

**0**answers

72 views

### Probability that d-Brownian Motion ,d>3, avoids a set A

In other words, the probability that Brownian motion stays within $A^{c}$. So far I found that it is 1, for random cylinders and thorns (http://www.math.upenn.edu/~pemantle/papers/burdzy.pdf).
What ...

**0**

votes

**0**answers

40 views

### Reference for “Newtonian capacity estimates probability that A is hit by a Brownian motion”

I am looking for the following statement
"In fact, the Newtonian (logarithmic) capacity gives an estimate, up to a constant factor, the probability that A is hit by a Brownian motion started, say, ...

**2**

votes

**1**answer

71 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 ...

**5**

votes

**2**answers

265 views

### Properties of the algebraic self-difference set of Brownian motion zeros

As I was trying to exhibit new interesting(?) path transformations of Brownian motion, I became interested in
the (random) set of times $t$ such that $B(t)=B(t+1)=0$, where $B(t)$ denotes a standard ...

**3**

votes

**1**answer

159 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 ...

**0**

votes

**1**answer

153 views

### maximum of certain Gaussian processes

Let $\mathbf{a}_k\in\mathbb{C}^n$ for $k=1,2,\ldots,m$ be i.i.d. standard complex normal random vectors with distribution $c\mathcal{N}(0,\mathbf{I})$. I am interested in a tight upper bound on the ...

**3**

votes

**2**answers

84 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 ...

**2**

votes

**0**answers

62 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 ...

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votes

**0**answers

80 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 ...

**0**

votes

**0**answers

24 views

### Explicit construction of transition semigroup from generator for completely independent spin system (Feller process)

As an example of how to obtain the transition semigroup from the probability generator for a Feller process, I am looking at the easiest spin system, namely with all sites independent.
Notationwise, I ...

**1**

vote

**0**answers

43 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 ...

**0**

votes

**0**answers

23 views

### Variance Gamma Distribution and Process

I have read that a variance gamma process $X_t=\theta G_t+\sigma W_{G_t}$ is such that $X_1\sim Variance Gamma(\theta,\sigma,\nu)$ but the variance gamma distribution has 4 parameters: $\mu$, ...

**0**

votes

**1**answer

37 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

82 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 $C(S)$ ...