All Questions
12 questions
1
vote
0
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122
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Derivative with respect to initial condition for the solution of an SDE
Suppose we have an SDE (assuming the Lipschitz continuous conditions required for the existence of the solution):
\begin{align}
dX_t = \mu(X_t,t)dt + \sigma(X_t,t)dW_t
\end{align}
and define its ...
- 111
2
votes
0
answers
191
views
Multiple Wiener integral as Witt polynomial of Brownian motion
I know that if i have a Brownian motion $W_t$ the multiple Wiener integral
$\int_0^t \int_0^{\xi_1}...\int_0^{\xi_n} dW_{\xi_1}...dW_{\xi_n}$
can be expressed as $H_n(\int_0^t dW_s)$ where $H_n$ is ...
- 293
0
votes
0
answers
255
views
Distribution of "occupation times" of Brownian Motion
Let $B_t(\omega)$ be a standard Brownian motion and let $A\in\mathcal{B}(\mathbb R)$ be a Borel set.
I would like to find the distribution of $$Y_A(\omega):=\lambda(\{t\in[0,1]:B_t(\omega)\in A\})=\...
- 245
0
votes
1
answer
55
views
Looking for a family of random variables such that only the second clause is fulfilled [closed]
Working with the epsilon-delta-criterium, a family $(X_i)_{i \in I}$ on $(\Omega,A,P)$ is uniformly integrable if
i) $sup_{i \in I} E(X_i) <\infty$
ii) $\forall \epsilon>0$ ex. $\delta>0$ s.t....
- 11
6
votes
1
answer
684
views
Differentiable dependence on the initial condition of the solution of a SDE
Let
$b,\sigma:\mathbb R\to\mathbb R$ be differentiable and Lipschitz continuous
$(\Omega,\mathcal A,\operatorname P)$ be a probability space
$(\mathcal F_t)_{t\ge0}$ be a complete and right-...
- 167
6
votes
1
answer
433
views
Triangle inequality for Ito integral?
For Lebesgue integrals one has the triangle inequality saying that for continuous functions let's say
$$\left\vert\int_0^t f(s) \ ds\right\vert \le \Vert f \Vert_{\infty} \int_0^t \ ds$$
Now if ...
- 536
2
votes
1
answer
803
views
On Riemann integration of stochastic processes of order $p$
Let $x:[a,b]\times\Omega\rightarrow\mathbb{R}$ be a stochastic process, where $\Omega$ is the sample space from an underlying probability space. Let $L^p$ be the Lebesgue space of random variables on $...
user85801
2
votes
1
answer
545
views
Multiple Wiener-Ito integral distribution
Distribution of standard Ito integral is well known: $$I_1(f) = \int_0^T f(t)dB(t) \sim \mathcal{N}\bigg(0, \int_0^T f^2(t)dt\bigg).$$
Is it possible to find the distribution of multiple Wiener-Ito ...
14
votes
1
answer
2k
views
Why do we mainly integrate with respect to martingales?
Although my resarch focuses on PDEs (optimal transport, these days), I am currently trying to learn stochastic calculus and integration. I am just beginning in this topics, but I was wondering: why do ...
- 5,380
2
votes
1
answer
438
views
A dilemma about the definition of the stochastic integral $\int_a^b\Phi\:{\rm d}W$
Let
$(\Omega,\mathcal A,\operatorname P)$ be a probability space
$T>0$
$(\mathcal F_t)_{t\in[0,\:T]}$ be a filtration of $\mathcal A$
$W$ be an $\mathcal F$-Brownian motion on $(\Omega,\mathcal A,\...
- 167
2
votes
1
answer
3k
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 http://www.springer.com/gb/book/...
- 21
1
vote
0
answers
251
views
Inflated independent samples for Monte Carlo estimation
In my particular problem, running an MCMC is too expensive, so I'm looking for a simple MC estimator, which would partially inherit the correlated samples of MCMC, yet would not require computing ...
- 101