All Questions
11 questions
6
votes
2
answers
912
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. ...
- 161
4
votes
1
answer
782
views
A simple problem in markov chains
I'm trying to understand a 1954 paper of Kubo intitled "Note on the stochastic theory of resonance absorption". The specific problem can be stated mathematically as follows: let $X(t)$ be a random ...
4
votes
1
answer
645
views
Path integrals for stochastic equations
Does there exist a rigorous mathematical proof for path integral representations given in the physics literature? See for example
http://arxiv.org/abs/hep-ph/9912209v1
For imaginary time rigorous ...
- 31
3
votes
2
answers
941
views
Probability distribution for two-state system that depends on residence time
I am a statistical physicist, and I've come across a problem that I don't know how to solve. I believe my issue lies with how to formulate it mathematically. I'd be very grateful for any assistance, ...
- 33
2
votes
1
answer
228
views
When is a stationary measure of a Markov chain "exponentially localized"?
Here exponentially localized can be thought in a non-rigorous manner as a measure that is mostly supported on a sparse number of nodes.
Some intuition can gained by thinking about a diffusion process, ...
- 2,281
2
votes
1
answer
194
views
Kramers' escape problem: statistical physics vs. Large deviations
I'm almost not at all knowledgable in either Freidlin-Wentzel theory or Kramers' escape problem as it is known in the physics community, so please excuse some of my naivety.
One can use Freidlin-...
- 677
2
votes
1
answer
109
views
Interacting particle systems with spatially inhomogeneous hydrodynamic equations
Are there known examples of spatially inhimogeneous PDE appearing as hydrodynamic equations of interacting particle systems? In particular, I wonder whether a spatially inhomogeneous reaction ...
- 131
1
vote
0
answers
91
views
A random process with conserved momentum: 'particle decay'?
Consider a particle $p_1$ moving at unit speed along a straight line in $\mathbf{R}^2$, directed by some vector $v_1 \in \mathbf{S}^1$. Equid this particle with a Poisson clock $\tau_1$, with ...
- 5,048
1
vote
0
answers
1k
views
What is the characteristic functional for Brownian motion on a sphere?
I'm a physicist, somewhat familiar with stochastic processes, but I'm a little unsure of what follows. What I basically have is a complicated quantity involving a vector that is equivalent to ...
- 111
0
votes
1
answer
301
views
Is there a Gaussian process for the solutions of the wave equation?
Call a Gaussian process $g$ a prior for a topological space $X$ if the realizations of $g$ are (a.s.) contained in $X$ and dense.
Consider the 1D wave equation
$\frac{\partial^2}{\partial t^2}u(t,x)=...
0
votes
0
answers
208
views
Brownian particles in a box: the probability that a sphere (of some radius) centered on a particle only contains one particle for a duration of time
Imagine I have a set of $(s_1,...,s_N) \in S$ Brownian particles in a box of sidelength $L$, each with the same coefficient of diffusion $D$. We fix one particle at the center of the box, and draw a ...
