# Tagged Questions

**3**

votes

**0**answers

68 views

+50

### 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 ...

**0**

votes

**0**answers

33 views

### Where can I find this article of Doléans-Dade?

I need to find the article "Intégrales stochastiques dépendant d’un paramètre" by Doléans-Dade.
I could not find a pdf version online, and my university library does not have a printed version.
Thank ...

**0**

votes

**0**answers

24 views

### Smoothness of Value function for SDE with discontinuous coefficients

Let $\mu: \mathbb{R}\to \mathbb{R}$, $f: \mathbb{R}\to \mathbb{R}$, and $r: \mathbb{R}\to [1, \infty)$ be bounded measurable functions (which may be discontinuous).
I'm interested in the function ...

**2**

votes

**0**answers

160 views

### Expected value and variance of a stochastic process

I would like to ask if there is a way to find the expected value and the variance of the following process
$$
dv_t=(a-be^{\alpha v_t})dt+\sigma dW_t, \quad v_t=v_0
$$
where $a\in (-\infty,+\infty), ...

**1**

vote

**0**answers

75 views

### Construction of a random variable

I'm reading Dirichlet Forms and Symmetric Markov Processes by M. Fukushima, Y. Oshima, and M. Takeda. In Appendix A.2, where they discuss the construction of a random variable, there is the ...

**1**

vote

**0**answers

52 views

### 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 ...

**3**

votes

**1**answer

128 views

### How to calculate the PSD of a stochastic process

This question was asked on math.stackexchange about 2 months ago, but it hasn't been very successful in attracting answers yet, so I'm posting it here.
Say we have a stochastic process described by a ...

**0**

votes

**0**answers

60 views

### Basic Monte Carlo Integral Approximation

On the very first page of a well-known book on Monte Carlo techniques, there is the following statement. Let
\begin{equation}
I = \int_D g(\textbf{x})d\textbf{x},
\end{equation}
where $D \subset ...

**0**

votes

**0**answers

27 views

### Fubini's Theorem for Lévy bases

Let $M$ be an infinitely divisible independently scattered and homogeneous random measure on $\mathbb R^d$ (ie a homogeneous Lévy basis). Let $\nu$ be a sigma finite measure on $\mathbb R^k$. Let ...

**2**

votes

**1**answer

134 views

### Question on Wiener processes not hitting 0

Let $W_t$ be a standard Wiener process, and $0\leq a < b$. Let $\hat{W}_t:=W_{a+t}-W_a$. Then $\hat{W}_t$ is also a standard Wiener process. I think that the following should be true:
$$\mathbb ...

**1**

vote

**1**answer

96 views

### Limit (Convergence) of stopping times

Let $B=(B_t)_{0\le t\le T}$ be a continuous semi-martingale and $\mathbb F=(\mathcal F_t)_{0\le t\le T}$ be its natural filtration. Denote by $\mathcal C_b(\Omega\times \mathbb R_+)$ the space of ...

**2**

votes

**0**answers

81 views

### Hypergeometric function

Suppose that $V$ follows the mean reverting process $$dV=η( ̅V-V)Vdt+σVdz$$
I want to find the optimal investment rule, and using Itos's lemma I get that the differential equation that $F(V)$ must ...

**0**

votes

**0**answers

38 views

### regularity of the conditional expectation: from Markov to Non-Markov

Let $B=(B_t)_{0\le t\le T}$ be a standard Brownian motion and $\mathbb F=(\mathcal F_t)_{0\le t\le T}$ be its natural filtration. Let $\xi=\xi(B)$ be a bounded measurable functional. Now let's ...

**0**

votes

**0**answers

31 views

### Distribution of stopped Brownian motion in $\mathbb R^2$

Let $B=(B^1_t,B^2_t)_{t\ge 0}$ be a standard Brownian motion in $\mathbb R^2$. Let $U=(U^1,U^2)$ be an independent random variable taking values in a circle $C_1\subset\mathbb R^2$ with uniform ...

**0**

votes

**0**answers

53 views

### limit multiple integral

I want to know if $\lim_{T-> \infty}$ of this integral
$$ \frac{\sigma^{4}C_{H,K}^{2}}{4 T^{4HK}e^{2\theta T }}\\
\times ...

**1**

vote

**0**answers

35 views

### Are the elementary predictable processes dense in $L^2([M])$ for $M$ a local martingale?

The question is the one from the title. I know this is true when $M$ is an $L^2$ bounded martingale (which is often used in the classical approach to the construction of the stochastic integral) but ...

**3**

votes

**0**answers

125 views

### Proof of Feynman Kac formula

I am trying to write a complete proof of the Feynman Kac formula in the multi-dimensional case. My starting point was the proof of the univariate form on wikipedia, at ...

**1**

vote

**1**answer

102 views

### A problem about the quotient space of an extended Dirichlet space

Let $(\mathscr{E},\mathscr{F})$ be a recurrent Dirichlet form on $L^2(X;m)$ and $\mathscr{F}_e$ the corresponding extended Dirichlet space, then $1\in\mathscr{F}_e$ and $\mathscr{E}(1,1)=0$. Let ...

**2**

votes

**1**answer

55 views

### Decouple system of SDEs / handle scaling problem

Consider
$\begin{split} \newcommand{\d}{\mathrm d}
\d x &= -yx \d t + x^2 \d B\\
\d y &= -2 y^2 \d t + 2xy \d B.
\end{split}$
This is a system of two SDEs driven by the same standard ...

**0**

votes

**0**answers

32 views

### Strong Markov vector-valued process from component strong Markov process and independence

I want to prove that if $X$ and $Y$ are (continuous time) independent strong markov $\mathbb{R}$-valued processes w.r.t. their natural filtrations $\mathcal{F}^X_t$ and $\mathcal{F}^Y_t$, that the ...

**0**

votes

**1**answer

63 views

### Brownian motion increments

We know that if $W_t$ is a Brownian motion, $W_{t+t_0}-W_{t_0}$ is one too.
Does the "converse" holds : Let $t_0$ be a positive number. I have a Brownian motion $W_t$
and I seek another Brownian ...

**1**

vote

**0**answers

106 views

### Does the martingale property holds after changing filtration?

Let $\Omega$ be the space of continuous real-valued functions $\omega=(\omega_t)_{t\ge 0}$ starting at zero, i.e. $\omega_0=0$. Let $\Lambda=\Omega\times \mathbb R_+$ and denote by ...

**1**

vote

**0**answers

63 views

### Stochastic calculus in $L^1$

Does there exist a more general (than Malliavin or Itô) "Stochastic calculus" defined on $L^1$ space, or some Orlicz space between $L^2$ and $L^1$?
For examples: are there:
Ito ...

**2**

votes

**1**answer

134 views

### Brownian motion - probability of striking a sphere in $\mathbb{R}^n$ (a clarification)

This is primarily in reference to this question on MO. Serguei Popov's answer gives an explicit formula for the probability of a Brownian particle starting at the origin in $\mathbb{R}^n$ hitting the ...

**0**

votes

**0**answers

66 views

### Special random variables and monotone class theorem

I am currently reading a proof where the $\pi-\lambda$ Lemma and the monotone class theorem are applied to show a certain property for bounded random variables. The author of the book always shows the ...

**0**

votes

**0**answers

34 views

### Processes with the same finite dimensional distributions as the solutions to SDEs

Consider a sequence of stochastic processes $\{\tilde{x}^n\}$, $\tilde{x}^n = \tilde{x}^n_t(\omega)$, and Brownian motions $\{\tilde{w}^n\}$. Suppose that for each $\tilde{x}^n$ solves the stochastic ...

**0**

votes

**0**answers

74 views

### Brownian motion - probability of hitting an open subset of the sphere

Consider a Brownian particle in $\mathbb{R}^n$, starting at the origin. Let $\mathbb{P}_t(A)$ be the probability of the particle striking $A \subset S^{n - 1}$ within time $t$, where $A = \{ (x_1, ...

**0**

votes

**1**answer

124 views

### Transition probabilities for the symmetric random walk on the integers

I found that most references for the symmetric random walk on the integers are for the discrete time case, i.e. the ones that gives us explicit transition probabilities. Now, I am looking at a random ...

**13**

votes

**0**answers

106 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, ...

**0**

votes

**0**answers

56 views

### Circular process ergodic?

Let us define a continuous-time Markov process on a circle consisting of $m-$ equally spaced points, i.e. every point has two neighbours.
Now, we define a space of functions $S:= ...

**0**

votes

**1**answer

85 views

### Weak convergence of process

Background:
I am trying to compute the weak limit of the following model from mathematical biology that is supposed to exist:
Let $$L(f)(\eta)= \sum_{x \in \mathbb{Z}}\frac{1}{2}\left(1_{\eta(x+1) ...

**1**

vote

**0**answers

83 views

### Malliavin differentiability of solutions to SDEs

In Bass's book on Diffusions and Elliptic Operators, the author gives a brief introduction into Malliavin Calculus. He calls a functional $F:C([0,1],\mathbb{R})\rightarrow \mathbb{R}$ $L^p-$smooth if ...

**-2**

votes

**1**answer

63 views

### Definition: Grigelionis Process?ch [closed]

Background
I've been reading this article and it keeps referring to "Grigelionis processes", which apparently generalize Levy processes. However the paper does not define these object clearly and ...

**1**

vote

**1**answer

109 views

### Malliavin derivative under change of measure

Let $\widetilde{B}$ be a Brownian Motion under the measure $\mathbb{P}$.
Let $\theta$ be a stochastic process fulfilling the Novikov's condition and $Z_\theta$ the relative Radon–Nikodym derivative ...

**2**

votes

**1**answer

63 views

### Quadratic variation and the variance of a semimartingales

I will describe an example that seemingly contradicts the following
Theorem
For a local martingale $M$, let $[M,M]_t$ be its quadratic variation at $t$. For any $t$, if $E[[M,M]_t]<\infty$, then ...

**2**

votes

**0**answers

53 views

### Holomorphic solution to SDE

Consider the SDE $dZ_t = \mu(t,x) d_t + \sigma(t,x) dW_t$.
Are there any known (necessary and) sufficient conditions on $\sigma(t,x)$ and on $\mu(t,x)$ guaranteeing that $f(T):=\mathbb{E}[\int_0^T Z_t ...

**3**

votes

**2**answers

171 views

### Brownian motion in $\mathbb{R}^n$, probability of hitting a set

Consider a particle undergoing Brownian motion in $\mathbb{R}^n$, starting at the origin, and let $B(t)$ denote its position at time $t$. Let $X$ be an arbitrary subset of $\mathbb{R}^n$. I am trying ...

**1**

vote

**0**answers

83 views

### Example of progressively measurable process that is not predictable

Is there an example of progressively measurable process that is not predictable?
This question is motivated by Revuz-Yor, Continuous Martingales and Brownian Motion ...

**3**

votes

**1**answer

115 views

### Malliavin Calculus: directional derivatives of cylinder functions exist in what sense?

Denote by $P_0(\mathbb{R}^d)$ the sets of continuous paths over $[0,1]$ started at $x=0$ with values in $\mathbb{R}^d$, we equip this space with the sup-norm and make it into a probability space by ...

**4**

votes

**0**answers

110 views

### Geometric Characterization of Martingales

Recently I've read a paraphrasing from Ito saying that he sometimes thinks of martingales as Geodesics in a very large dimensional manifold.
My question is, is there any research studying this idea?
...

**1**

vote

**0**answers

99 views

### Full version of Soucaliuc's research announcement “Réflexion entre deux diffusions conjuguées”

Florin Soucaliuc published the following research announcement in 2002 containing some results from his thesis on reflected diffusion processes:
[1] F. Soucaliuc, Réflexion entre deux diffusions ...

**0**

votes

**1**answer

83 views

### Weak existence for modified Tanaka SDE

Tanaka's theorem (wikipedia) implies that $X_t = |B_t|$ is a weak solution to the SDE
$dX_t = dW_t + dL_t^0(X_t)$,
where $W_t$ is a Brownian motion and $L_t^0(X_t)$ is the local time of $X_t$ at ...

**0**

votes

**0**answers

102 views

### Expected value of product of Ito integrals

Assume that we have a process $F(t,T)$ that fulfills the following SDE.
$$
dF(t,T) = \sigma(t,T)F(t,T)dW(t)
$$
where $t$ is the running time and $T>t$ is called the delivery-time. $\sigma(t,T)$ is ...

**2**

votes

**1**answer

156 views

### using Feynman-Kac formula

I've been learning about Feynman-Kac recently and I understand the underlying ideas. I am stuck however in actually computing explicit solutions for specific problems. For example, suppose I have the ...

**2**

votes

**1**answer

81 views

### Differentiability of value function

Suppose $X$ is a process given by -
$dX_t = db_t$
where $b_t$ is a standard Brownian motion with its filtration $(\mathcal{F}_t)$.
Suppose an agent earns a payoff given by
$V(x) = \mathbb{E} ...

**0**

votes

**0**answers

112 views

### Onsager-Machlup function for special matrix-valued diffusion process

Potentially useful background info
For standard vector-valued diffusion processes the following result is well-known:
Suppose we have a diffusion $X_{t}$ on $\mathbb{R}^{m}$ given by
\begin{align*}
...

**1**

vote

**1**answer

175 views

### Intuition about Skorohod integral

I'm teaching myself Malliavin calculus and Skorohod integrals and with this kind of math I find myself following the logic through but lacking solid intuition about what is going on.
In particular ...

**0**

votes

**1**answer

331 views

### What is the derivative of this integral?

I have asked this question here
http://math.stackexchange.com/questions/1536018/how-to-find-derivative-of-this-intergral
but still has no response.
Might I ask it here ?
Let $\alpha(t)\in\{0,1\}: ...

**0**

votes

**1**answer

133 views

### Change of variable for integration with respect to Haar measure

I know how to estimate the integral* (see the update)
\begin{gather}
\int f(Ub)d\mu(U), \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ [2]
\end{gather}
where ...

**3**

votes

**0**answers

90 views

### European call option pricing under mean reverting stock return

Consider the stock price process satisfies the following SDE:
$dS_t=\mu_t S_tdt + \sigma S_t dW_t , S_0=s $
and the mean return $\mu_t$ satisfies the following SDE:
$d\mu_t=(a-\mu_t)dt +dB_t, ...