All Questions
Tagged with sp.spectral-theory stochastic-processes
8 questions
6
votes
1
answer
256
views
Perron-Frobenius and Markov chains on countable state space
The following question naturally arises in the theory of Markov chains with countable state space to which I would be curious to know the answer:
Let $A:\ell^1 \rightarrow \ell^1$ be a contraction, i....
- 173
5
votes
1
answer
1k
views
Eigenvalue and eigenvector of ergodic Markov operator for continuous space Markov chain
As we know that the transition matrix $P$ of a Markov chain with finite space is a stochastic matrix, and from Perron-Frobenius Theorem, we know that the spectral radius of the matrix $P$ is $1$, and ...
- 53
5
votes
0
answers
242
views
Spectral gap for the Brownian motion with drift on a compact manifold
Let $M$ be a compact Riemannian manifold without boundary, $X$ a smooth vector field on $M$. Consider the Brownian motion $t\mapsto B_t$ on $M$ with drift $X$, so that its generator is $L=\Delta +X$. ...
- 3,669
3
votes
2
answers
307
views
Random matrix is positive
This is a follow up question on my previous question here that was on solved in the deterministic setting by Denis Serre, when the perturbation can be separated. Therefore, I decided to split the ...
- 536
3
votes
1
answer
251
views
Feynman–Kac formula for other operators
I recently came across the Feynman-Kac formula which states that given an open domain $\Omega\in\mathbb{R}^n$ and $f \in L^2(\Omega)$
where $x \in \Omega$ and $t > 0$, then
$e^{t\Delta_D}f(x) = ...
- 41
2
votes
0
answers
127
views
Error in an argument using spectral theory
Let $Z=\sqrt{2}\mathbb Z$, and consider the sequence on $\mathbb{Z}$ $$\xi(k)= 1_{Z\cap [k,k+1]\neq\emptyset}.$$(remark that the intersection is either empty or with one point.)
Thanks to the comments,...
- 1,352
1
vote
0
answers
59
views
Sturm-Liouville-like Eigenproblem
Consider the piecewise-deterministic Markov process on $\mathbf{R}$ which
moves according to the vector field $\phi (x) = 1$,
experiences events at rate $\lambda(x) = 1$, and
at events, jumps ...
- 801
1
vote
1
answer
173
views
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