All Questions
Tagged with fa.functional-analysis stochastic-processes
73 questions with no upvoted or accepted answers
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Operator-valued stochastic integral and quadratic variation for operator-valued processes
Let $U$ be a separable $\mathbb R$-Hilbert space and $W$ be a $Q$-Wiener process on a complete and right-continuous filtered probability space. Let $H$ be a separable $\mathbb R$-Hilbert space and $X$ ...
- 167
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235
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Associative law of the stochastic integral in Hilbert spaces
Let
$(\Omega,\mathcal A,\operatorname P)$ be a complete probability space
$T>0$
$I:=(0,T]$
$(\mathcal F_t)_{t\in\overline I}$ be a complete and right-continuous filtration on $(\Omega,\mathcal A)$
...
- 167
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100
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Convergence and boundedness in $L^\infty([0,T]\times \Omega)$ of Karhunen-Loeve expansion
Let $X:[0,T]\times\Omega\rightarrow\mathbb{R}$ be a stochastic process in $L^2([0,T]\times\Omega)$. Consider the Karhunen-Loeve expansion of $X$:
$$ X(t,\omega)=\mu_X(t)+\sum_{n=1}^\infty \sqrt{\nu_n}\...
- 141
1
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159
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Construction of the quadratic variation process in infinite dimensions
Let
$H$ be a separable $\mathbb R$-Hilbert space
$(e_n)_{n\in\mathbb N}$ be an orthonormal basis of $H$
$(\Omega,\mathcal A,\operatorname P)$ be a probability space
$(\mathcal F_t)_{t\ge0}$ be a ...
- 167
1
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113
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Outer product $\sum_i |k_{x_{i}}(\cdot)\rangle\langle k_{x_{i}}(\cdot)|$ of reproducing kernel functions as identity operator in RKHS?
In a separable Hilbert space $\mathcal{H}$, given a complete orthonormal basis $\{|e_i\rangle\}$, the identity operator can be written as $\mathbb{1} = \sum_i |e_i\rangle\langle e_i|$. Now if this ...
- 11
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87
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Linear evolution equation $u'(t)=A(t,\omega)u(t)$ with time-dependent random operator
I have had some previous knowledge on evolution equations in a Banach space of the form $$u'(t)=Au(t),$$ where $A$ generates some strongly continuous operator semigroup. Now I am looking at a problem ...
- 151
1
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135
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infinite dimensional funtional ito calculus
I've been reading into functional Ito calculus and everything I've come across deals with processes generated by finite dimensional semimartingales. In Dupire's 2009 landmark paper he speaks about ...
- 5,405
1
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334
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A problem on Markov chains and Dirichlet forms
Let $X$ be a countable set. Let $c:X\times X\to[0,+\infty)$ satisfy
$$c(x,y)=c(y,x)\text{ for all }x,y\in X,$$
$$m(x)=\sum_{y\in X}c(x,y)\in (0,+\infty)\text{ for all }x\in X,$$
$$c(x,x)=0\text{ for ...
- 369
1
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178
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Density of subspace with nonlocal/Wentzell boundary condition
Given the space $F$ defined by:
$$F=\left\{f\in C^2(\mathbb{R}_+^2;\mathbb{R}):f(x,0)=\int_\mathbb{R} f(z,x)g(z)dz, x>0\right\},$$
I want to prove that the subspace $E$ of $F$ defined by $E=\...
- 111
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90
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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 ...
- 379
1
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417
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Defining density of a random function using Radon-Nikodym Theorem
Let $(\Omega,\mathbb{F},P)$ be a probability space and $E$ be an infinite dimensional Banach space and $\mathbb{B}$ be the $\sigma$-algebra of Borel subset of $E$.
Let $X$ be random function defined ...
- 213
1
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1
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173
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Spectral gap of a Markov chain on the nonnegative integers
Let $\lambda_k,\mu_k\in\mathbb R_{\ge0}$ $(k\ge1)$ be nonnegative real numbers such that $\sum_{k=1}^\infty k\lambda_k<\infty,$ let $S=\mathbb Z_{\ge0}$ be the nonnegative integers, let $T=\mathbb ...
- 276
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80
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Measurable Extension
Let $(\Omega, \mathcal{F})$ be a measurable space and $X$ some metric space (probably Polish) with the Borel $\sigma$-algebra and a function $f: \Omega \times X \to \mathbb{R}$. Usually, functions ...
- 136
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78
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Different measurability of Hilbert-space valued random variable
My question is motivated by this link.
Let $(\Omega,\mathcal{F})$ and $(Y,\mathcal{B})$ be measurable spaces, a measurable map $T:\Omega\to Y$ is called a $Y$-valued random variable.
Now let $H$ be a ...
- 503
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176
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A convergence question in $L^2$ construction of Brownian motion
I feel confused with a particular step in the $L^2$ consturction of Brownian motion.
Let $\{\xi_n \sim N(0,1)\}_{n\geq 1}$ be a sequence of i.i.d Gaussian random variables on some probability space $(\...
- 227
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46
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Independence of variables predicted by the generator
Let $X$ be en compact metric set, and denote by $\mathcal{C}(X)$ the set of real continuous functions defined on $X$, endowed with the supremum norm $\|\cdot\|_{\infty}$. Let $\Omega$ be the generator ...
- 449
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107
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Norm equivalences for Gaussian random functions (Cameron-Martin space)
Preliminaries
Consider the Hilbert space $H :={L^2_{\text{per}}(\mathbb{R})}$ of Gaussian random functions, $2\pi$-periodic in $\mathbb{R}$.
These random functions are drawn from a Gaussian measure $\...
- 101
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145
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“Chapman-Kolmogorov”-convolution vs. smoothness
Let $K:\mathbb{R}^n \times \mathbb{R}^n \to \mathbb{R}$ be a so-called "integral-kernel": we certainly require $K(x,.)$ and $K(.,y)$ to be Lebesgue measurable for almost all $x,y \in \mathbb{R}^n$. An ...
- 1,461
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153
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Equivalent Definitions of Gaussian Process?
The Gaussian process $\{X_t\}_{t \in T}$ ($T=[0,1]$ for example) is usually defined using its finite-dimensional distribution. I came across this statement many times: linear operator (not necessarily ...
- 103
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90
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criterions for polar set of Feller processes
Suppose $X_t$ is the solution to
$$
d X_t=b(X_t)dt+dL_t,\quad X_0=x.
$$
where $L$ is a rotational symmetric $\alpha-$stable process with $\alpha\in (0,1]$, $b$ is Lipchitz.
Assume $\Gamma\subseteq ...
- 515
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0
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252
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Hadamard product (Schur product) in $L^2[0,1]$
Let's consider the separable Hilbert space $\mathcal{H} = L^2[0,1]$ of square-integrable functions on the interval $[0,1]$ with orthonormal basis $(e_j)$. For $x,y \in \mathcal{H}$, the Hadamard ...
- 195
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85
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Some problems about symmetric convolution semigroup on the unit circle
These are problems from Example 1.4.2 of Fukushima's book "Dirichlet forms and symmetric Markov processes".
Let $\Lambda$ be the set of all real sequences $\left\{\lambda_n\right\}_{n\in\mathbf{Z}}$ ...
- 369
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322
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Comparison of Parameter estimation using maximum likelihood and Maximum entropy
I am not sure if the question is appropriate but I want to try my luck. One can estimate a parameter using maximum likelihood and we know it is optimal. On the other hand there are methods which uses ...
- 495