All Questions
250 questions
3
votes
1
answer
174
views
Stochastic representation of Laplace equation with Neumann boundary condition
Consider nice domain $D\subset \mathbb R^d$ and $\Delta u =0$ with $u\big|_{\partial D}=g$. It is well known that $u(x)=E^x[g(B(\tau))]$ where $\tau$ is exit time of $B$ from the domain $D$.
What if ...
- 1,904
3
votes
1
answer
546
views
Each diffusion SDE is associated to a *unique* family of transition kernels
I consider an SDE of the form $dX_t=b(X_t) \, dt + \sigma(X_t) \, dW_t$, with $b$ and $\sigma$ globally Lipschitz on $\mathbb{R}^n$.
How can I prove that there exists a unique family of transition ...
- 1,149
3
votes
2
answers
554
views
Blow up limits for SDE
Let $W$ be a one dimensional standard Brownian motion, and let $X$ be the solution to the SDE
$$dX_t = \sigma(X_t) \, dW_t \, , \, X_0 = 0$$
with $\sigma: \mathbb R \to \mathbb R$ Lipschitz continuous....
- 6,223
3
votes
1
answer
277
views
Question on the martingale representation theorem
Let $(X_t)_{0\le t\le 1}$ be a continuous Markov martingale (with respect to its natural filtration) s.t. $X_0=0$ and $X_1\in\{-1,1\}$. Can we prove the existence of some measurable function $\sigma: [...
- 1,334
3
votes
1
answer
315
views
Strong blow up limits for SDE
Note: This is a strengthening of the following result, motivated by the need for strong convergence in applications.
Let $W$ be a one dimensional standard Brownian motion, and let $X$ be the solution ...
- 6,223
3
votes
1
answer
528
views
Why would one work with Kushner-FKK equation over Zakai equation?
In stochastic filtering you are interested in a process called the optimal filter $\pi_t$ which is a probability measure(d stochastic process). You can consider the unnormalized version $V_t$.
The ...
user69208
3
votes
1
answer
83
views
Filtering Mixed Discrete and Continous
Suppose I have signal process $\lambda_t$ following the dynamics
\begin{equation}
\begin{aligned}
\zeta_t&=\mu^{\zeta}(t,{\zeta}_t)dt+\sigma^{\zeta}(t,{\zeta}_t)dW^{\zeta}_t\\
\xi_t&=\mu^{\xi}(...
- 5,405
3
votes
1
answer
209
views
Pathwise Hölder continuity of Ito diffusions - is this result written anywhere?
Let $X$ be the solution to the multidimensional SDE
$$dX_t = \mu(X_t) \, dt + \sigma(X_t) \, dW_t,$$
with $W$ a Brownian motion, and $\mu, \sigma$ Lipschitz continuous with $\sigma$ nowhere zero. I'm ...
- 6,223
3
votes
1
answer
390
views
Reference request for a Riemannian Fokker-Planck equation
The original post is in StackExchange but no one has answered it yet. I personally think it is more related to the research area so I put it in MathOverflow. Below is the question in the original post:...
- 187
3
votes
1
answer
952
views
How to get speed measure $m(dx)$, scale function $s$, and killing measure $k(dx)$ of a diffusion from the infinitesimal generator? [closed]
This question comes from P13 and P17 of the book Andrei N.Borodin and Paavo Salminen.
Page P13 defines the speed measure $m(dx)$, the scale function $s$, and the killing measure $k(dx)$.
Case 9 on P17:...
3
votes
1
answer
1k
views
Strong solution for geometric brownian motion with varying drift and volatility
I have an equation of the form:
$$dX_{t}=\mu(X_{t})X_{t}dt+\sigma(X_{t})X_tdZ_{t}$$
I know that if I wrote it as $dX_{t}=\mu(X_{t})dt+\sigma(X_{t})dZ_{t}$, I would need strong assumptions on the ...
- 315
3
votes
1
answer
159
views
Differentiability of a simple value function driven by a diffusion
Consider a diffusion given by,
$d X_t = \mu(X_t) dt + \sigma(X_t) dB_t$
$X_0 = x$.
Suppose the functions $\mu$ and $\sigma$ are as follows -
$f(x) = \mu(x) = \sigma(x) = \begin{cases} 2 & \...
- 553
3
votes
1
answer
211
views
Statistically stationary properties of expectations conditioned on the value of an Ornstein–Uhlenbeck process
Consider the modified Ornstein–Uhlenbeck process
$$\mathop{dx_t}=\theta(y_t-x_t)\, dt+{}\sigma\,dW_t$$
for a standard Brownian motion $W_t$ and $\theta,\sigma\in\mathbb{R}_{>0}$. Let's define the ...
- 41
3
votes
1
answer
202
views
Onsager--Machlup functional as the density across a mesh of discrete points
It is known that the ratio of the probability of infinitesimal tubes around paths of Itō diffusion processes converges to the Onsager--Machlup (OM) functional. I wonder whether the ratio of the joint ...
3
votes
1
answer
345
views
Why control a continuous approximation of stochastic gradient descent instead of just the SGD?
In "Stochastic modified equations and adaptive stochastic gradient algorithms" (Li et. al 2015) the authors approximate stochastic gradient descent, as in
$$x_{k+1} = x_k - \eta u_k \nabla f_{\...
- 677
3
votes
1
answer
751
views
Equivalence of Itō and Stratonovich equations and how we ensure that the latter are well-defined
Remark: I've asked this question on MSE as well.
Let
$T>0$
$I:=[0,T]$
$(\Omega,\mathcal A,\operatorname P)$ be a probability space
$(\mathcal F_t)_{t\in I}$ be a complete and right-continuous ...
- 167
3
votes
1
answer
110
views
Sequence of diffusions
Can every càdlàg semi-martingale be written as a sequence of diffusions? That is, is the set of continuous semi-martingales dense in some Skorohod space?
- 5,405
3
votes
1
answer
1k
views
Calculate Moments of SDE
I have posted a similar question on math.stackexchange (https://math.stackexchange.com/questions/1848492/calculate-mean-of-sde), but didn't find anyone who could help.
I'm interested in the one-...
- 375
3
votes
1
answer
525
views
Malliavin differentiability of solutions to SDEs
In Bass's book on Diffusions and Elliptic Operators, the author gives a brief introduction into Malliavin Calculus. He calls a functional $F:C([0,1],\mathbb{R})\rightarrow \mathbb{R}$ $L^p-$smooth if ...
- 213
3
votes
0
answers
54
views
Unique weak solution of an SDE for a general initial distribution
$
\newcommand{\bR}{\mathbb{R}}
\newcommand{\bT}{\mathbb{T}}
\newcommand{\bP}{\mathbb{P}}
\newcommand{\bF}{\mathbb{F}}
\newcommand{\cF}{\mathcal{F}}
\newcommand{\eps}{\varepsilon}
\newcommand{\diff}{\...
- 825
3
votes
0
answers
80
views
Norm estimate for parabolic SPDE solution
When $X$ satisfies $${\rm d}X_t=\varphi_t{\rm d}t+\Phi_t{\rm d}W_t$$ on a Hilbert space $H$, where $W$ is a $Q$-Wiener process on a Hilbert space $U$, we know by the Ito formula that $$\|X_t\|_H^2-\|...
- 167
3
votes
0
answers
122
views
Dealing with noise that is white in time, colored in space numerically
I am broadly working on a dynamic process where we want to see how a field $\rho(r)$ changes in space in time with thermal noise. The system is biased around a thermodynamic saddle point dictated by $...
- 31
3
votes
0
answers
202
views
Elworthy’s 1982 “Stochastic Differential Equations on Manifolds” - relevant?
In 1982, D. Elworthy published “Stochastic Differential Equations on Manifolds”. Apparently, this was quite a seminal book in the field of stochastic DE’s/processes on manifolds. Is this reference ...
- 177
3
votes
0
answers
235
views
Probability of a particle surviving forever
Consider a particle whose position is driven by the following equation:
$$Y_t = y + t + W_t + C\min\big(1,(Y_t+1)^+\big)\Lambda_t,\quad \mbox{for all } 0\le t<\tau_*,$$
where $y>0$, $0<C<1$...
user128095
3
votes
0
answers
570
views
Domain of the Generator of a Bessel process
Consider the Bessel Process of index $\nu\in (-1,0)$, or dimension $\delta=2\nu-1$
\begin{align}
\rho_{t}=x+\frac{\delta-1}{2}\int_{0}^{t}\frac{1}{\rho_{s}}\,ds+W_{t}
\end{align}
where $(W_{t})_{t\geq ...
3
votes
0
answers
90
views
Mutual dependencies of BSDE solutions with markovian drivers with different starting points
Let $(\Omega,\mathcal F, P)$ be a complete probability space with a Brownian motion $(W_t)_{0\le t\le T}$ and the Brownian standard filtration $(\mathcal F_t)_t$ with $\mathcal F_T = \mathcal F$.
Let ...
- 335
3
votes
0
answers
89
views
Why is the Jain Monrad condition the right condition on general Gaussian processes?
Consider a covariance function $\sigma^2(s,t)=E((X_t-X_s)^2)$, where $X\colon I\to \Bbb R^d$ is a Gaussian process.
Given a $\rho\ge 1$ and a superadditive function $\omega(s,t)$ we say that Jain ...
user69208
3
votes
0
answers
231
views
I've found a representation of the Itō-Stratonovich correction term and don't understand the used notion of a "trace"
Consider a Stratonovich SPDE $$X_t=X_0+\int_0^tb(s,X_s)\:{\rm d}s+\int_0^t\sigma(s,X_s)\circ{\rm d}W_s\tag 1$$ in a separable $\mathbb R$-Hilbert space $H$ with $W$ being a $Q$-Wiener process on a ...
- 167
3
votes
0
answers
78
views
Perscribed/Inverting Conditional Expectation
I'm having difficulty finding papers which deal with the following inversion problem.
Suppose I have a stochastic process $Y_t$ (which is described by a certain Hilbert-Space-valued SDE). I want to ...
- 5,405
3
votes
0
answers
186
views
When we integrate with respect to a $Q$-Wiener process on $U$, why do we restrict integrands to be operators on $Q^{1/2}U$ (instead of $U$)?
When we integrate with respect to a $Q$-Wiener process $(W_t)_{t\ge 0}$ ($Q$ being a bounded, linear, nonnegative and self-adjoint operator on a separable $\mathbb R$-Hilbert space $U$ with finite ...
- 167
3
votes
0
answers
276
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 ...
- 131
2
votes
1
answer
280
views
Walker whose Velocity is a Brownian Bridge
Consider a continuous random walk $x (t) $, in which the velocity $v (t) = \mathrm dx/\mathrm dt $ rather than the position is described by Brownian motion, so that $v (t) = B_t $ where $B_{t+\epsilon}...
- 1,444
2
votes
2
answers
557
views
Is the stochastic integral invariant under equivalent change of probability?
Let $(\Omega,\mathcal F, \mathbb F,\mathbb P)$ be a filtered probability space under the usual conditions and suppose $\mathbb Q\sim\mathbb P$ is an equivalent probability measure. Let $X$ be a $\...
- 85
2
votes
1
answer
296
views
Large noise limit for SDE with general volatility coefficients
Let $W$ be a standard one dimensional Brownian motion, and let $X$ be the solution to the SDE
$$dX_t = \sigma(X_t) \, dW_t \;, \quad X_0 = 1 \;.$$
where $\sigma:\mathbb R \to \mathbb R$ is a ...
- 6,223
2
votes
2
answers
733
views
Existence of strong solution to SDEs with non-Lipschitzian drift
Consider the SDE:
$$dX_t=b(X_t)dt+dW_t\quad X_0=x$$
If $b$ is bounded Borel function, using Zvonkin's Transform, one can prove there exists a unique strong solution.
I want to know if we assume $b$ ...
- 515
2
votes
1
answer
216
views
Decay estimate of moment of an SDE
We consider an SDE
$$
d X_t = b(t, X_t) \, dt + \sigma(t, X_t) \, d B_t,
$$
where $(B_t)$ is a $d$-dimensional Brownian motion on $\mathbb R^d$. We fix $p \in [1, \infty)$. Here $b, \sigma$ are ...
- 825
2
votes
1
answer
493
views
Is the solution to this SDE always positive?
Let $W$ be a standard one dimensional Brownian motion, and consider the SDE
$$dX_t = \sigma(X_t) \, dW_t, \, \, \, X_0 = 1 \, \text {a.s.}$$
Assume $\sigma$ is regular enough that the above SDE admits ...
- 6,223
2
votes
1
answer
179
views
Solution of SDE with time power law singular diffusion
I was wondering if anything could be said at all about the well-psedness of the following time-inhomogeneous singular diffusion SDE:
\begin{align}d X_t&=\sigma(X_t,t ) d W_t , \qquad t\geq 0, ...
- 135
2
votes
2
answers
88
views
Can the solution to a controlled SDE with additive noise have non full support?
Let $W$ be a standard $d$-dimensional Brownian motion. Consider the following SDE
$$dX_t = b(X_t, u_t) \, dt + dW_t$$
with initial condition $X_0 = 0$ a.s., $b: \mathbb R^d \times \mathbb R^n \to \...
- 6,223
2
votes
1
answer
173
views
Estimates on perturbation of drift of SDEs
Let $\mu_1,\mu_2:\mathbb{R}^n\rightarrow \mathbb{R}^n$ and $\sigma:\mathbb{R}^n\rightarrow \mathbb{R}^{n\times n}$ be Lipschitz functions, of at-most linear growth; i.e. $\|\sigma(x)\|\lesssim \|x\|,\|...
- 364
2
votes
1
answer
549
views
A question related to Girsanov’s theorem
I’ve recently realised there is a subtlety in Girsanov’s theorem that I don’t really understand.
Consider a standard one dimensional Brownian motion $W$, and consider the SDE
$$dZ_t = \mu(t, Z_t) \, ...
- 6,223
2
votes
1
answer
309
views
A bound for the occupation time of a diffusion
Let $\sigma: \mathbb R \times \mathbb R \to \mathbb R$ be a Lipschitz continuous function bounded below by some $M > 0$.
Let $W$ be a standard Brownian motion, and let $X$ be the solution to the ...
- 6,223
2
votes
1
answer
597
views
Question about the exit time of a time-homogeneous Itô diffusion
Consider a one-dimensional Itô diffusion:
$$\mathrm{d} X_{t}=b\left(X_{t}\right) \mathrm{d} t+\sigma\left(X_{t}\right) \mathrm{d} B_{t}$$
where $X_0 = 0$ and $B_t$ is the standard Brownian Motion. ...
- 331
2
votes
1
answer
503
views
Generalisation of Strassen's (Kellerer's) Theorem
Let $\mu$ and $\nu$ be two probability measures on $\mathbb R^d$ with finite first movements, i.e.
$$\int_{\mathbb R^d}|x|~\mu(dx),\quad \int_{\mathbb R^d}|x|~\nu(dx) \quad <\quad +\infty.$$
$\mu$...
- 345
2
votes
1
answer
238
views
Self-adjointness of generator and semigroup of an SDE
$
\newcommand{\bR}{\mathbb{R}}
\newcommand{\bE}{\mathbb{E}}
\newcommand{\bT}{\mathbb{T}}
\newcommand{\bP}{\mathbb{P}}
\newcommand{\bF}{\mathbb{F}}
\newcommand{\cF}{\mathcal{F}}
\newcommand{\eps}{\...
- 825
2
votes
1
answer
86
views
Smoothness of resolvent of the infinitesimal generator of an Ito diffusion acting on bounded continuous function
Let $dX_t=\sigma(X_t)\,dW_t+\mu(X_t)\,dt$ be an Ito diffusion with Lipschitz coefficients and $\sigma(x)>0$. Let $f(x)$ be a continuous and bounded and non decreasing function. Can we prove that ...
- 41
2
votes
1
answer
258
views
Explicit solution to linear SDE with correlated Brownian motions
Let $W$ and $B$ be correlated one dimensional Brownian motions with constant correlation coefficient $r \in (-1, 1)$, that is, we have $d\langle W, B \rangle_t = r \, dt.$ We assume we have $B_0 = v$ ...
- 6,223
2
votes
1
answer
417
views
Convergence of the quadratic variation process
Suppose we are given a sequence of stochastic processes $X^n, n\in\mathbb{N},$ with finite quadratic variations and a stochastic process $X$ such that for every $t\geq0$
$$
\lim_{n\to\infty}\mathbb{E}(...
- 199
2
votes
1
answer
204
views
Comparing diffusion processes in different metrics
I would like to know if it is possible to compare two diffusion processes defined on the same manifold $\mathcal{M}$ but with respect to different metrics say $g_1$ and $g_2$.
Is there a way to apply ...
2
votes
2
answers
416
views
Short time limits for SDE
Let $W$ be a standard one dimensional Brownian motion, and let $X$ be the solution to the SDE
$$dX_t = \sigma(X_t) \, dW_t \;, \quad X_0 = x_0\;.$$
where $\sigma:\mathbb R \to \mathbb R$ is a ...
- 6,223