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

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Matroid rank decay

Consider a uniform vector matroid $M(0)=U_{m,n}$ of rank $m$ with $n$ points, $n>m>2$ (you can think of it as a set of $n$ points in general position in vector space $F^m$ for some large field ...
4
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0answers
45 views

Is there a generalization of Polya urns to continuous outcome event?

Take for example the simplest model where there are n blue balls and m white balls in an urn. Then, in a first step realization, a white one has been drawn and then c + 1 of this colour had been put ...
4
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1answer
169 views

Average probability that a random cosine polynomial with bernoulli coefficients is small

Let $P_{n}(t)=\sum_{k=0}^{n}\varepsilon_{k}\cos(kt)$ where $\varepsilon_{i}$ are independent random variables taking values in $\left\{-1,1\right\}$ with equal probability. Is is true that for any ...
0
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1answer
35 views

Defining a brownian bridge indexed by angle

I have a random closed curve of the form $(\theta,r_\theta)$, where $\theta\in [0,2\pi]$, is the counter clockwise angle from the x-axis and $r_\theta$ is the radial distance from the origin ...
2
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1answer
156 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 ...
10
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2answers
269 views

Minimal expected absolute value of linear combinations of Gaussian random variables

I am interested in the following question. Consider $n$ independent standard normal random variables $g_i$. Cosider a linear combination $w_1g_1+\cdots+w_ng_n$. Can one give a "decent" upper bound for ...
1
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1answer
36 views

Can real-valued Markov processes with continuous surjective sample paths admit a non-trivial “forward-invariant” set?

I have both a more general question (concerning stopping times), and then a more specific application (as described in the title). Let $(\Omega,\mathcal{F},(\mathcal{F}_t)_{t \geq 0},\mathbb{P})$ be ...
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24 views

Variance under time-scaling of sample measurements [on hold]

I am struggling with explain something I read in a Whitepaper. The essence is as follows. Let's begin with a random variable $X$ defined as number of events in an hours. Further, we assume that $X ...
1
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0answers
47 views

Subclass of semimartingales for which all characteristics can be estimated?

I'm going to ask the question for Ito semimartingales rather than semimartingales in general, but more general answers would be great. An Ito semimartingale is a martingale for which the ...
4
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1answer
327 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 ...
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2answers
176 views

Existence of strong solution to SDEs with non-Lipschitzian drift

Consider the SDE: $$dX_t=b(X_t)dt+dW_t\quad X_0=x$$ If $b$ is bounded Borel function, using Zvonkin's Transform, one can prove there exists a unique strong solution. I want to know if we assume $b$ ...
4
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1answer
101 views

Relative vulnerabilities in SIS epidemic model

Consider the SIS model of epidemic spreading. There is a finite graph $G(V,E)$, link infection rates $\lambda_{ij}$ and node recovery rates $\mu_i$. There are a few initial nodes which are infected at ...
2
votes
1answer
151 views

Is there a theory of SDEs whose coefficients are themselves adapted processes (i.e. “may depend on the past”)?

Is there an existence and uniqueness theorem for SDEs of the following type: $dW_{t}=d\tilde{W}_{t}+\mu\left(\left(W_{s}\right)_{0\le s\le t},t\right)dt$, where $\tilde{W}_{t}$ is say ...
2
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1answer
214 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 ...
0
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1answer
189 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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0answers
61 views

Da Prato's notion of Symmetric Operator

For anyone who's familiar with G. Da Prato's books on infinite dimensional analysis, I was wondering if someone could clarify something. In, for instance, "An Introduction to Infinite Dimensional ...
2
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33 views

Bounds on moving average process

Let $X_1,X_2,\dotsc$ be a sequence of i.i.d. random variables and define the average process $\{Y_t\}$ as $$ Y_t = \sum_{i=1}^p a_k X_{t-i} $$ with some constants $a_1,\cdots,a_p \in \mathbb{R}$. This ...
2
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1answer
241 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 $\sum_ic_i^2<\infty$. $$\partial_t u(t,x)=\Delta u(t,x)+u(t,x)\dot{W}(t,x)$$ ...
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0answers
29 views

Skorohod topology, cadlag function

Reproduced from this Please to meet you. I have a question about a càdlàg function and its space. Ma & Röckner's book (page 93) contains the following metric space $(\mathcal{D},d)$. Let $E$ ...
2
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0answers
57 views

Do the Birkhoff averages of a measurable stationary homogeneous Markov process in continuous time “converge to the right limit”?

Let $\,(P_x^t)_{x \in \mathbb{R} , t \geq 0}\,$ be a measurable Markovian family of transition probabilities - that is, a family of Borel probability measures $P_x^t$ on $\mathbb{R}$ such that for ...
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1answer
107 views

Does $E^{x,t}(f(X_T))$ solve a PDE if $f$ is not continuous?

Many books [see below for references] explore the connections between partial differential equations and expectation values. Assume $X$ is a diffusion with generator $A$, then they conclude, that ...
2
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1answer
204 views

Analytic Solution to SDEs

Are there any example of SDEs with constant diffusion terms, other than the Ornstein Uhlenbeck process, which have exact solutions? I'm thinking of something of the form: \begin{equation} dX_t = ...
3
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1answer
147 views

Generalization of Lévy's continuity theorem for nuclear spaces

I am interested in a generalization of the following finite-dimensional results in infinite dimensional vector-space with nuclear structure, especially for the cases of the spaces of distributions ...
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2answers
76 views

Lyapunov exponents of dual / adjoint / transpose random dynamical system (RDS)

Consider the the state of a system at time $n$, $X_n$, as the action of a product of i.i.d. $d\times d$ random matrices acting on a $d$ dimensional vector $X_0$, so we have $$X_n = A_n \cdots ...
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1answer
124 views

Change of time variable in Wiener process

I'm following a solution of an SDE from here http://www.math.ethz.ch/~delbaen/ftp/preprints/CEV.pdf Start with the SDE $$ dX_t = \delta dt + 2\sqrt{X_t} dW_t $$ consider a deterministic time change ...
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26 views

How do I compute the variance of expected number of fair coin flips for HTH sequence using linear system of equations? [migrated]

Assuming fair coin flips, I know how to compute the expected number of coin flips to see HTH sequence by writing out the linear system of equations from the state transition diagram below. ...
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0answers
37 views

Existence of an invariant measure on an infinite dimensional space via Lyapunov functional

Set-up. Assume that we have a complete separable metric space $\mathcal{X}$ that is not locally compact. Let $V: \mathcal{x} \to [0; +\infty]$ be a functional such that $K_r :=\{x \in \mathcal {X} : V ...
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0answers
83 views

How to decide a value of learning rate for Stochastic Gradient Descent?

I'd like to know how to decide a value of learning rate for Stochastic Gradient Descent (SGD), such as $\eta$ on the following parameter update iteration equation, $w_{i+1} = w_i + -\eta \nabla ...
6
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2answers
385 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 ...
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1answer
162 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 ...
4
votes
3answers
258 views

Invariant measure of Euler-Maruyama Discretisation of an Ito diffusion

Let $(X_t)_{t \geq 0}$ be a diffusion process with dynamics governed by the stochastic differential equation \begin{equation} dX_t = b(X_t)dt + \sigma(X_t)dW_t, ~~ X_0 = x_0, \end{equation} where ...
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2answers
188 views

$\lim_{t\rightarrow 0}P\left(X_t >0\right)=\frac 1 2$ for continuous semimartingales?

I am trying to prove the following Lemma, which seems intuitive, but I still have doubts: Lemma Given a Brownian motion $\{W_t,\mathcal F_t:0\le t \le1\}$, two bounded processes, $\mu$ and $\sigma$, ...
5
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2answers
261 views

$L^\infty$ properties of an infinite-dimensional Gaussian semigroup

Let $W$ be a separable Banach space and $\mu$ a Gaussian Borel measure on $W$ which is centered and non-degenerate. For $F : W \to \mathbb{R}$ bounded Borel and $t \ge 0$, let $$P_t F(x) = \int_W ...
1
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1answer
131 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} ...
3
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1answer
229 views

Convergence of random variables with hypergeometric distribution

This is a very interesting conjecture of large scale property of hypergeometric distribution. Let $a>1$ be a integer constant, $N\in\mathbb{N_+}$, for any $x<N-1$, consider $N+(a-1)x$ balls in ...
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1answer
325 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 ...
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75 views

Support of a Measure with Characteristic Functional Continuous in $L_p$, $1\leq p <2$?

Let $\mathcal{S}(\mathbb{R})$ be the space of smooth and rapidly decaying functions and $\mathcal{S}'(\mathbb{R})$ its dual, the space of tempered distributions. Let $\mu$ be a probability measure ...
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58 views

How to fit a stochastic matrix to given data.?

Given a data sequence of noisy observations of a 3-state Markov chain $X$ -- $y_1$,$y_2$,...$y_n$, with two transition matrices $A_1$ and $A_2$ corresponding to different regions (**) in the (unit) ...
0
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1answer
98 views

Question about the stochastic integral of martingales

Let $M=(M_t)_{t\ge 0}$ be a continuous martingale defined on some filtered probability space taking values in $R$. Let $H=(H_t)_{t\ge 0}$ be some bounded progressively measurable process, i.e. ...
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1answer
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 ...
7
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1answer
396 views

Strong Markov property for Poisson point process

The question is thoroughly contained in the title. I just say that I would only like to find a reference for this question. I have searched in some books, to no avail. Here is what I mean exactly. ...
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1answer
214 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 ...
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87 views

When an integral with respect to a Poisson point process is finite?

Let $N(ds,dv)$ be a Poisson measure on $\mathbb{R} _+ \times \mathbb{R} _+$ with intensity $dsdv$. Let $N = \sum\limits \delta_{(s_i,v_i)}$. Assume that $N$ is compatible with a filtration $\{ ...
2
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51 views

probabilistic interpretation of elliptic equation with mixed boundary condition

I would like to understand the probabilistic interpretation of the following elliptic problem with mixed Dirichlet-Neumann boundary conditions: Let $B := \{ x \in \mathbb{R}^n, \quad \| x \|_2 \leq 1 ...
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71 views

Rolling map as a diffeomorphism?

Let $M$ be a (compact) Riemannian manifold and $x \in M$. For a piecewise smooth path $\gamma: [0, T] \longrightarrow M$, we can define Cartan's development map (or rolling map) $$(\Phi\gamma)(t) = ...
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1answer
217 views

Integration of independent Brownian motions

I am wondering if the following integral of stochastic Brownian motions has an analytical solution? $$ \int_{0}^{t}e^{\nu \tilde{V}_{\tau} - \frac{1}{2}\nu^{2}\tau}d\tilde{W}_{\tau} $$ where ...
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59 views

Consistency Conditions of the Kolmogorov Extension Theorem

Kolmogorov's extension theorem allows for the construction of a variety of measures on infinite-dimensional spaces, and its conditions are supposedly "trivially satisfied by any stochastic process". ...
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29 views

References for symmetric α-stable process (SSP) for $a>2$

Many properties of Brownian motion have been extended to SSP's for $0\leq \alpha\leq 2$ and so it is quite easy to find literature on them. However, I am currently studying the SSP for $\alpha>2$ ...
2
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89 views

Equivalence of two non-degenerate Gaussian measures on Banach space

The motivation of this question is to show that two probabilities on $C_{0}^{n}(0,1)$ (the space of continuous $\mathbb R^{n}$ valued process on $[0,1]$ starting from zero) induced by two ...
2
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1answer
121 views

What are the generalized Gaussian probability laws that are infinitely divisible?

We consider the probability density, often called a generalized Gaussian density, $$p_{\alpha}(t) \propto \exp (- |t|^\alpha),$$ with parameter $0<\alpha<\infty$. For $p = 2$, we recognize a ...