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

**13**

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313 views

### Why, and how badly, does the proof of “no percolation at the critical point in half-spaces” fail for full spaces?

The proof by Barsky et. al. that there is no percolation in half-spaces proceeds by a dynamic renormalization argument. The proof couples critical percolation in the half-space $\mathbb{H}^d$ with a ...

**12**

votes

**0**answers

525 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, ...

**11**

votes

**0**answers

668 views

### surprisingly difficult filtration problem

I am interested in a proof of the following statement which seems intuitive, but is somehow really tricky:
Let $X$ be a stochastic process and let $(\mathcal{F}(t) : t \geq 0)$ be the filtration ...

**7**

votes

**0**answers

581 views

### Hardy spaces: analysis <---> martingales

Let $H^p$ be the Hardy space of analytic functions on the open unit disk $D$: $f \in H^p$ if $f$ is analytic on $D$ and $\sup_{r < 1} \int_0^{2\pi} |f(re^{i\theta})|^p d\theta < \infty$.
...

**6**

votes

**0**answers

271 views

### Do isonormal Gaussian processes have measurable sample paths?

Let $H$ be a real separable Hilbert space. Let $W=\{W(h):h\in H\}$ be a real-valued stochastic process defined on a complete probability space $(\Omega,\mathcal{F},P)$. Assume that $W$ is a centered ...

**6**

votes

**0**answers

196 views

### Doob's inequality for martingale “convolution”

Let $(X_t, t \in \mathbb{N})$ be a martingale, and let $a \leq b \leq T \in \mathbb{N}$ be constants. Is there something like Doob's inequality for $\mathbb{E} \sup_{a \leq t \leq b} X_t(X_T-X_t)$, ...

**6**

votes

**0**answers

184 views

### Exponential tails for a functional of a subcritical branching process.

Let $(m_i, i \in \mathbb{N})$ be positive weights with $\sum_{i \in \mathbb{N}} m_i^2 < 0.1$.
Consider a subcritical branching process in discrete time and continuous space,
started from some ...

**5**

votes

**0**answers

153 views

### A generalization of Jensen's Inequality

Jensen's inequality is well known as
$$E\big[f(X)\big]\le f\big(E[X]\big)$$
where $X$ is a integrable random variable and $f: R\to R$ is a bounded concave function, see also ...

**5**

votes

**0**answers

154 views

### A note on Doob's theorem

I have faced the following problem, regarding to the Martingale Theory. Because this area far from my area I don't know whether this problem is in literature or this can be simple question for ...

**5**

votes

**0**answers

281 views

### Feynman-Kac theorem: probabilistic proof of existence of solution to parabolic PDE

Friedman (in his book: PDEs of Parabolic Type) shows how to construct a solution to the Cauchy problem
$$
\partial_t u(t,x) = b(x) \partial_x u(t,x) + \frac{1}{2} \sigma(x)^2 \partial_{x,x} u(t,x)
$$
...

**5**

votes

**0**answers

294 views

### Skorohod theorem (weak convergence) on a discrete setting

I have a question about the application of Skorohod representation theorem. The questions arises in this paper about robust hedging in mathematical finance. It is about the very last equation on page ...

**5**

votes

**0**answers

133 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 ...

**5**

votes

**0**answers

376 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 ...

**5**

votes

**0**answers

147 views

### Constructing black noise with non-standard analysis

With noise in the sense of i.i.d. random sequence,
a noise is black if it is not isomorphic to standard Gaussian white noise.
Tsirelson showed the existence of black noise through the scaling limit ...

**5**

votes

**0**answers

192 views

### Does the law of a Feller Process on a non-locally-compact Polish space depend continuously on the initial condition (in Skorohod path-space)?

I am sure this is written down somewhere but cannot find it.
Consider a Polish space $E$ and a strong Markov process $(X_t)_{t\ge 0}$ with values in $E$ and cadlag paths. More precisely, we have a ...

**5**

votes

**0**answers

104 views

### Implications of Half-Space Percolation

Let $\mathbb{Z}^d$ be the usual $d$-dimensional lattice and let $\mathbb{H}:=\mathbb{Z}^{d-1}\times Z_+$, where $Z_+:=[0,1,2,\ldots]$. If we now consider bond percolation on $\mathbb{H}$, it is a ...

**5**

votes

**0**answers

987 views

### Levy jump measure vs. Levy measure vs. sum of jumps

This question might be a bit basic, but I am struggling to understand the connection between various versions of the Ito's lemma for Levy processes (and semimartingales in general). Could someone ...

**5**

votes

**0**answers

383 views

### Is there a continuous-time version of Kingman's subadditive decomposition theorem?

Kingman's subadditive ergodic theorem (see this article) states that if $x_{m,n}$ is a real valued process indexed on the set of pairs of non-negative integers $m < n$ satisfying:
$x_{l,n} \le ...

**4**

votes

**0**answers

78 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 ...

**4**

votes

**0**answers

292 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 ...

**4**

votes

**0**answers

55 views

### Cycle removal process

Consider the following stochastic process for generating a forest: start from a complete graph on $n$ vertices and proceed to repeatedly remove the edges of uniformly chosen cycles. Formally, let ...

**4**

votes

**0**answers

118 views

### compactness of a probability set

I have a question about the compactness of a set of martingale measures. Let $\Omega=\mathcal{C}[0,1]$ be the space of continuous functions on $[0,1]$ and $\mathcal{M}_{\Omega}$ be the family of ...

**4**

votes

**0**answers

185 views

### Generalized Markov Processes on CW complexes of dimension > 1

Markov processes have a large variety of applications to physics and chemistry (as well as many other fields). Such processes are formulated on graphs, i.e., CW complexes of dimension one. It is ...

**4**

votes

**0**answers

57 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 ...

**4**

votes

**0**answers

329 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 ...

**4**

votes

**0**answers

65 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 $g:\Bbb R\to \Bbb R$ ...

**4**

votes

**0**answers

88 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 ...

**4**

votes

**0**answers

196 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 ...

**4**

votes

**0**answers

71 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 ...

**4**

votes

**0**answers

171 views

### Integrating a Bessel Bridge

Preliminaries
An order-3 Bessel Process is the one-dimensional stochastic process $X$ described by $X(t) = \sqrt{W_1(t)^2 + W_2(t)^2 + W_3(t)^2}$, where each $W_k$ is an independent Brownian Motion. ...

**4**

votes

**0**answers

195 views

### Some constants in Martingale Stein inequality

Dear all,
the following is a special case of Stein inequalities for martingales.
$\textbf{Theorem}$ Let $(\Omega, \mathbb{P})$ be a (standard) probability space equipped with a filtration of ...

**4**

votes

**0**answers

399 views

### The spectrum of a Markov Operator and Invariant Measures

Suppose I have a discrete-time Markov Chain (in an infinite dimensional state space $\Omega$) with Markov operator $P$, a linear operator on the space of bounded measurable functions on $\Omega$. (Or ...

**4**

votes

**0**answers

320 views

### Do there exist generalized conformal maps that preserve elliptic measure?

Let $D_1$ and $D_2$ be two bounded simply connected Jordan domains in $\mathbb{R}^2$. By Carathéodory's Theorem there exists a homeomorphism $f:\bar{D}_1 \to \bar{D}_2$ such that the restriction ...

**3**

votes

**0**answers

56 views

### Lorenz attractor power spectrum

If considered Lorenz attractor (with classical parameters $\sigma = 10, b = \frac{8}{3},r>25$), it is often noted, that while the spectral density (Fourier transformation of corresponding ...

**3**

votes

**0**answers

127 views

### Donsker's Theorem for triangular arrays

I should mention that I already posed this question on Math Stack Exchange, but didn't receive much feedback.
Assume we have a sequence of smooth i.i.d. random variables $(X_i)_{i=1}^{\infty}$. Given ...

**3**

votes

**0**answers

87 views

### Ask for reference of a stochastic process

I would like to know whether the following stochastic process is well studied.
Let $\{U_k: k \ge 1\}$ be a sequence of i.i.d random variable. $U_1$ is uniformly distributed on the unit interval $[0, ...

**3**

votes

**0**answers

90 views

### Nonlinear Markov process

Consider the following nonlinear $\mathbb{R}$-valued stochastic recursive sequence:
$ X_{n+1} = F(X_n) + W_{n+1}, \quad (W_n)_{n\ge1} \stackrel{ \scriptsize \mathrm{i.i.d.} }{ \sim } \phi. $
How can ...

**3**

votes

**0**answers

208 views

### Tight lower bound for expected maximum of K sums of T Rademacher random variables

For each $j \in \{1, \ldots, K\}$, let $(\varepsilon_{j,t})_{t=1}^T$ be an independent sequence of iid Rademacher random variables (i.e. taking values $\pm 1$ with equal probability). What is the best ...

**3**

votes

**0**answers

81 views

### The distribution of Jump gaps of Levy process

Assume $X_{t}$ is a Levy process with triplet $(\sigma^{2}, \lambda, \nu)$, here $\nu$ is the Levy measure of $X_{t}$. Define $\tau_{1},\tau_{2},\dots$ be the time gap between the successive jumps ...

**3**

votes

**0**answers

42 views

### Number of not self-intersecting closed paths spanning $n$ iid uniform points

Let $X_1,X_2,\dots,X_n$ be independent uniform variables in the square. What is the number of piece-wise linear paths which vertices are all the $X_i$ and that do not self-intersect? In other words, ...

**3**

votes

**0**answers

53 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 ...

**3**

votes

**0**answers

167 views

### Modification of stochastic processes vs. generalized stochastic processes

Let $(\Omega, \mathcal{F}, \mathbb{P})$ be a probability space and $X = (X_t)_{t \in \mathbb{R}^d}$ a classical stochastic process defined on $\Omega$. One says that a process $Y$ defined on $\Omega$ ...

**3**

votes

**0**answers

55 views

### Using Crump-Mode-Jagers processes to get logarithmic bound on a random tree height

I am currently pursuing my PhD degree and in my research I came across a family of random trees. I need to prove a logarithmic asymptotic bound for the heights of such trees as their size grows. I ...

**3**

votes

**0**answers

45 views

### Correspondence between viscosity supersolution and supermartingale

Suppose $b : \mathbb{R} \to \mathbb{R}$ and $\sigma: \mathbb{R}\to \mathbb{R}$ are Lipschitz and that $(X_t)_{t\ge0}$ is a diffusion with $X_0 = x_0$ and $dX_t = b(X_t)dt + \sigma(X_t)dW_t$ .
...

**3**

votes

**0**answers

147 views

### Markov operators and existence of ergodic measures

My question refers to the yesterday's question (see here)
of John Learner and goes as follows:
Can we deduce the existence of an ergodic measure if we know that an invariant measure exists, but the ...

**3**

votes

**0**answers

122 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 ...

**3**

votes

**0**answers

97 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 ...

**3**

votes

**0**answers

148 views

### stochastic control / geometric mean

Consider the following problem:
Given $\Omega$ and $U$ two symmetric definite positive matrices, choose a matrix $K$ to minimize the expectation $x' \Omega x + x'K'UKx$ when $x$ follows the invariant ...

**3**

votes

**0**answers

377 views

### Green's formula for a Markov process

For a Markov process $X$ on the Polish space $\mathscr X$ its transition probability is given by
$$
P(x,A) :=\mathsf P_x (X_1\in A)
$$
and $X$ is time-reversible if there is a probability measure ...

**3**

votes

**0**answers

220 views

### Observing drift of a Levy process

It is a well known fact, that it is very difficult to estimate the drift of a Brownian motion with drift from looking at a single path over a finite interval $[0, T]$. Is it the case with Levy ...