All Questions
Tagged with pr.probability stochastic-differential-equations
27 questions
5
votes
1
answer
392
views
Uniqueness of the solution to some SDE
Consider the stochastic differential equation as follows:
$$X_t=X_0+t+\int_0^t\frac{dW_s}{1+m(s)},\quad \forall t\ge 0,~~~~~~~~~~~~~~~(\ast)$$
where $X_0>0$ is square integrable and $m(t)=\mathbb P[...
- 1,334
8
votes
2
answers
3k
views
Intuition/elegant reason for why Langevin diffusion converges to $\exp(-U)$?
Given a potential function $U: \mathbb{R}^n \to \mathbb{R}$, Langevin diffusion is gradient descent plus a Brownian motion term: $X' = -\nabla U(X) + \sqrt{2} \text{ }dW$.
It happens that the ...
- 1,927
6
votes
1
answer
684
views
Differentiable dependence on the initial condition of the solution of a SDE
Let
$b,\sigma:\mathbb R\to\mathbb R$ be differentiable and Lipschitz continuous
$(\Omega,\mathcal A,\operatorname P)$ be a probability space
$(\mathcal F_t)_{t\ge0}$ be a complete and right-...
- 167
4
votes
1
answer
262
views
Bounded density for diffusions with diffusion coefficients bounded away from $0$
Consider a diffusion given by
$$X_t=\int_0^t a(s,X_s)\,dW_s$$
for $t\ge 0$, where $W_\cdot$ is a standard Wiener process/Brownian motion and $a$ is a smooth enough positive function bounded away from $...
- 128k
2
votes
1
answer
361
views
Is $g(t)=\mathbb P[\inf_{0\le s\le t}X_s>0]$ differentiable with respect to $t$?
Consider the SDE
$$dX_t =b(t)dt + a(t)dW_t,\quad \forall t>0,$$
with $X_0>0$ has a density function $\rho:\mathbb R_+\to\mathbb R_+$. Consider the probability $g(t):=\mathbb P[\inf_{0\le s\le t}...
user478492
2
votes
0
answers
104
views
Stochastic stability of "open" continuous-time stochastic systems: reference request
I'm looking for results on the stability of stochastic systems, e.g. SDEs, whose coefficients depend on a different process that is not necessarily stable. I'm calling those systems "open" here, but ...
- 1,675
23
votes
1
answer
1k
views
Does a theory of stochastic differential algebras exist?
My question is motivated primarily by finance, where a non-technical student will learn how to approach SDEs using the symbolic manipulation of Itô calculus and the few basic rules of Brownian motion, ...
- 231
7
votes
2
answers
613
views
Fractional Brownian motion of Riemann-Liouville type is not a semimartingale
Given a filtered probability space $(\Omega,\mathcal{F},\mathbb{F},\mathbb{P})$ satisfying the usual conditions, $B$ a standard one-dimensional Brownian motion and $H\in(0,1/2)$. Consider the process $...
- 199
6
votes
1
answer
392
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 ...
- 237
5
votes
2
answers
697
views
Intuition behind Gubinelli derivative
I apologise for the confusion of the following sentences. I'm lazy to give more information about Rough path theory as Is a fairly broad subject.
On page 14 of "A Course on Rough Paths
With an ...
- 232
5
votes
1
answer
828
views
Transition semigroup of Ito diffusion on $L^2(\mathbb{R})$
I am considering the transition semigroup $P_t$ associated with the Ito diffusion process
$$dX_t=b(X_t)dt+\sigma(X_t)dB_t,$$
where the coefficients are assumed to be Lipschitz continuous.
I hope to ...
- 503
4
votes
1
answer
190
views
Probability that a drifted Gaussian process does not hit zero
Let $m: \mathbb R_+\to [0,1]$ be continuous and decreasing. Consider
$$X_t=1+bt+\int_0^t\frac{\sigma}{1+m(s)}dW_s,\quad \forall t\ge 0,$$
where $b, \sigma>0$ are given and $(W_t)_{t\ge 0}$ is a ...
user128095
4
votes
1
answer
351
views
Gaussian free field limiting distribution of additive Stochastic heat eqn bounded domain
Hairer in his spdes notes on pg.6, says that GFF is the stationary solution of $u_{t}(z)=\Delta u(z)+\xi(z,t)$, where
$\xi$ is the space-time white noise
$$\xi(x,t)=\sum \sqrt{\lambda_{k}} B_{k}(t)e_{...
- 5,474
4
votes
0
answers
414
views
Definition of the Stratonovich integral in Hilbert spaces
Let
$T>0$
$(\Omega,\mathcal A,\operatorname P)$ be a probability space
$\mathcal F=(\mathcal F_t)_{t\in[0,\:T]}$ be a filtration on $(\Omega,\mathcal A,\operatorname P)$
$B$ be a (standard, real-...
- 167
3
votes
1
answer
2k
views
On a reflecting Brownian motion and its boundary local time
I have a question about a reflecting Brownian motion and its boundary local time.
Bass and Hsu studied the existence of Reflecting Brownian motion and boundary local time on a bounded Lipschitz ...
- 721
3
votes
2
answers
271
views
For a SDE with smooth transition densities, if every point is "path-accessible", is every positive-measure set probabilistically accessible?
Suppose we have a $C^\infty$ manifold $M$ and $C^\infty$ vector fields $b,\sigma_1,\ldots,\sigma_k$ on $M$, and for convenience define the set of vector fields
$$ \mathcal{S} = \{b,\sigma_1,-\sigma_1,\...
- 708
2
votes
1
answer
534
views
Time interval of existence of an SDE solution with locally Lipschitz drift
Consider the stochastic ODE $$
dX = F(X) \, dt + dB
$$
where $B$ is Brownian motion. If the drift $F$ is locally Lipschitz, then the solution exists and is unique over $[0,T]$ where $T$ is an "...
- 51
2
votes
1
answer
773
views
On the continuity of map $\Gamma$
Let $M$ be the space of right continuous functions $\ell: \mathbb R_+\to [0,1]$ that are non increasing s.t. $\ell(0)=0$. Define the map $\Gamma : M\to M$ by $\Gamma[\ell](t):=\mathbb P[\tau^{\ell}>...
- 1,334
1
vote
1
answer
512
views
Conditions for Gaussianity of SDE
Fix $T>0$, $x \in \mathbb{R}^n$, and let $\mu$ and $\sigma_1,\dots,\sigma_m$ be (globally) Lipschitz-continuous functions from $[0,T]\times \mathbb{R}^n$ to $\mathbb{R}^n$. Thus, for every $0\leq ...
- 5,405
1
vote
1
answer
209
views
What is the drift for a convex combination of Girsanov measures?
Consider two Girsanov measures $\mu_1$ and $\mu_2$ corresponding to drifts $F_1(t)$ and $F_2(t)$ respectively. By this, I mean that we have that $B(t)\sim F_1(t)+\tilde B(t)$ where $\tilde B(t)$ is a ...
- 93
1
vote
0
answers
80
views
Large deviations estimate for arbitrary continuous function
Fix $\epsilon>0$ and let $(\Omega,\mathcal{F},\mathcal{F}_t,\mathbb{P})$ be a stochastic base, and let $f:\mathbb{R}^n\to \mathbb{R}^n$ be a continous function with $f(0)=0$. Is there a family of ...
- 5,405
1
vote
0
answers
235
views
Two increasingly correlated Brownian motions and Williams decomposition
The Williams decomposition is
Let $(B_t-\nu t)_{t\geq 0}$ be a Brownian motion with negative drift $\nu>0$ and let $M_\infty^{-\nu}:=\sup_{t\in [0,\infty]}(B_t-\nu t)$. Then conditionally on $M_\...
- 5,474
0
votes
1
answer
82
views
In smooth stochastic dynamics, if a Lebesgue-like measure is both forward-time and reverse-time stationary, is the measure necessarily incompressible?
Let $(\Omega,\mathcal{F},\mathbb{P})$ be a probability space and let $X$ be a compact connected $C^\infty$-smooth manifold. Let $F \colon \Omega \times X \to X$ and $\bar{F} \colon \Omega \times X \to ...
- 708
0
votes
1
answer
95
views
If a probability measure is stationary in both forward time and reverse time, does this imply that the measure is incompressible?
Let $(\Omega,\mathcal{F},\mathbb{P})$ be a probability space and let $X$ be a compact metric space. Let $F \colon \Omega \times X \to X$ and $\bar{F} \colon \Omega \times X \to X$ be measurable ...
- 708
0
votes
1
answer
244
views
Weak solutions of linear parabolic PDEs and corresponding SDEs
It is well known that for an Stochastic differential equation (on the real line) of the form:
$dX_t = \mu(X_t)dt + \sigma(X_t)dW$
where $W$ is the standard Wiener process, the transition probability ...
- 3
0
votes
0
answers
97
views
Uniqueness of the solution to some SDE of state-dependent coefficient
This is a continuation of my question posted in Uniqueness of the solution to some SDE
Consider
$$X_t=X_0 + t + \int_0^t \frac{\sigma(s,X_s)}{1+m(s)}dW_s,\quad \forall t\ge 0,\quad\quad\quad (\ast)$$
...
- 1,334
0
votes
1
answer
341
views
Hitting probability for mean-reverting stochastic process
I quote Delbaen and Shirakawa (2002).
Starting from a stochastic differential equation of the form:
$$dr_t=\alpha\left(r_{\mu}-r_t\right)dt+\beta\sqrt{\left(r_t-r_m\right)\left(r_M-r_t\right)}dW_t\...
