Questions tagged [stochastic-calculus]
Stochastic calculus provides a consistent theory of integration for stochastic processes and is used to model random systems. Its applications range from statistical physics to quantitative finance.
97 questions from the last 365 days
2
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1
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236
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Self-adjointness of generator and semigroup of an SDE
$
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- 835
1
vote
0
answers
31
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$\alpha$ stable processes without jumps
Levy processes with jumps can be formulated following the Levy-kinchkine representation, which provide a decomposition of the characteristic function into three factors corresponding to the diffusion (...
- 305
1
vote
0
answers
58
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Drift of reverse SDE with Lévy processes ($\alpha$ stable distributions)
Given an SDE with a Lévy process with a drift $b(x,t)$ the reverse SDE will have a drift, $\tilde{b}(x,t)$, given by the relation:
$$\tilde{b}(x,t) = - b(x,t) + \int_{\mathbb{R}} y \left( 1 + \frac{...
- 305
0
votes
1
answer
51
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Reconstruction of law of diffusion process from call option values
Let $X_{\cdot}$ be a $1$-dimensional diffusion process. If I know the value of the
$$\big\{\mathbb{E}[\max\{X_t,c\}\big| X_0 =x\big]:\, c\in \mathbb{R} \text{ and } \,\, t\in (0,1] \big\}.$$
Then, ...
- 5,405
1
vote
0
answers
28
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Existence and moment estimation for a linear stochastic differential equation (SDE) with random coefficients
Let $W$ be one-demensional Brownian motion, and suppose $X$ satisfies the following SDE
$$
\mathrm{d}X_s=(A_sX_s+B_s)\mathrm{d}s+(C_sX_s+D_s)\mathrm{d}W_s, \quad X_0=x_0\in\mathbb{R}^n,
$$
where $A, C\...
- 125
2
votes
0
answers
85
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Can an SDE be made to follow the flow lines of a vector field?
Let $V: \mathbb R^n \to \mathbb R^n$ be a Lipschitz vector field. Consider a one dimensional Brownian motion $W$ and the SDE
$$dX_t = V(X_t) \, dW_t,$$
where we identify $V(X_t) \in \mathbb R^n$ with ...
- 6,155
2
votes
0
answers
228
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Any rigorous construction of $\phi^4$ theories without the mass term in the Lagrangian? (revised)
There are various papers on rigorous construction of massive $\phi^4$ theories in $2$ or $3$ Euclidean dimensions.
In 2D, there are in fact more general results such as this one by Glimm, Jaffe and ...
- 3,477
0
votes
0
answers
42
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Bound on the radon-nikodym derivative between two stochastic processes at a time point
I have two stochastic differential equations on $\mathbb{R}^d$ adapted to the same filtration evolving for finite time $t\in [0, T]$ at the same start distribution:
\begin{align*}
dX_t &= b(t, X_t)...
2
votes
0
answers
41
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Approximate the adjoint generator of the discretization of an SDE
Let
$d\in\mathbb N$;
$\sigma\in\mathbb R^{d\times d}$;
$p\in C^1(\mathbb R^d)$ be positive with $$c:=\int p(x)\;{\rm d}x<\infty\tag1$$ and $$b:=\frac12\Sigma\nabla\ln p;$$
$(X_t)_{t\ge0}$ denote ...
- 167
4
votes
1
answer
66
views
Expectation bounds on supremum of family of martingales
Suppose I fix a filtered probability space $(\Omega, \mathcal{F}, \mathbb{F}, P)$ and on it a Brownian motion $B$. Let $\tau_\alpha$ denote a set of stopping times which satisfies $\sup_\alpha \tau_\...
- 143
1
vote
0
answers
52
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An application to product formula of multiple integral
It is well-known that from Nualart's book, two multiple integrals can be expanded into a sum of multiple integrals, i.e.,
$$I_n(f)I_m(g)=\sum_{i=0}^{m\wedge n}i!C_m^iC_n^iI_{m+n-2i}(f\otimes_ig),$$
...
- 57
2
votes
1
answer
111
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What happens to an SDE conditional on the underlying Brownian motion being close to $f \in C[0, T]$?
The so called forgery theorem for Brownian motion says that for any continuous $f: [0, T] \to \mathbb R^d$, with $f(0) = 0$, the $d$ dimensional Brownian motion $W$ has a nonzero chance of staying $\...
- 6,155
2
votes
2
answers
88
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Can the solution to a controlled SDE with additive noise have non full support?
Let $W$ be a standard $d$-dimensional Brownian motion. Consider the following SDE
$$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 \...
- 6,155
5
votes
1
answer
188
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Girsanov's theorem for Gaussian measures as the Cameron-martin theorem with a random shift
Let $H \subset E$ be the Cameron-Martin space of a Gaussian measure $\mu$ on a separable Banach space $E$. The Cameron-Martin theorem states that for all $h \in E$ we have $h \in H$ if and only if $\...
- 203
6
votes
1
answer
133
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Coupling/Ordering of Brownian bridges
Suppose I have two 1D Brownian bridges $(B^{(1)}_t,t\in [0,1]),(B^{(2)}_t,t\in [0,1])$, one from $0$ to $0$ and one from $x$ to $y$ where $x,y \geq 0$. Is there a neat way to show that there exists a ...
- 228
0
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0
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76
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When we should integrate on both side over a SDE?
Maybe I am quite stupid, I am quite confused about, when we should use ito formula to solve SDE and when it is appropriate to integrate directly to get the solution?
Specifically, let us consider the ...
- 9
4
votes
0
answers
122
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Finiteness of the moments of the Malliavin derivative of the stochastic heat equation
I am studying section 2.4.2 from Nualart's book "The Malliavin calculus and related topics" on the stochastic heat equation. I have some questions on the validity of some estimates for the ...
- 61
5
votes
0
answers
411
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Is it really interesting to prove well-posedness of unsolved SPDE?
Lots of nonlinear SPDE remained open for decades (especially the non-deterministic ones in higher dimensions because of the regularity of the noise) until Hairer's breakthrough (regularity structures),...
- 573
3
votes
1
answer
218
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Pathwise linearization of diffusion processes
Let $W$ be a standard $n$-dimensional Brownian motion, and $X$ the diffusion process given by the solution to the SDE
$$dX_t = \mu(X_t) \, dt + \sigma(X_t) \, dW_t,$$
with $\mu: \mathbb R^n \to \...
- 6,155
2
votes
0
answers
93
views
$\Phi_d^3$ SPDE
One of the first prototypes of a singular stochastic PDE is the $\Phi_d^4$ SPDE
$$\partial_t u=\Delta u-u^3+\xi,$$
where $\xi$ is space-time white noise. It is difficult to study because $u$ is ...
- 1,904
4
votes
1
answer
110
views
Scaling of stopped Hölder norm of Brownian motion
I'm interested in the behaviour of the stopped $\alpha$-Hölder norm of a one-dimensional real-valued Brownian motion $(B_t)_{t \geq 0}$ for $\alpha < 1/2$.
For fixed $T>0$, self similarity ...
- 153
2
votes
0
answers
82
views
Existence of SDE solution under integrability of Lipschitz coefficients
I am reading the paper Lan and Wu, Stoch. Process. Appl., 2014, on sufficient conditions weaker than Lipschitzianity for the existence of strong solutions of time-inhomoegneous $d$-dimensional SDEs. ...
- 135
4
votes
1
answer
143
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When does an Itô diffusion give a semigroup on $L^2$
I would like a reference for when an Itô diffusion generates a strongly continuous semigroup on $L^2(\mathbb{R}^n)$.
I have a time-homogeneous Itô diffusion of the form
$$dX_t=b(X_t)dt+\sigma(X_t)dB_t$...
- 263
4
votes
0
answers
113
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SPDE Renormalization
some SPDE (in higher dimensions) can only be interpreted in a "renormalised" sense. For example considering $\Phi_2^4$ on $\mathbb{R}_+\times \mathbb{T}^d$ the solution is defined as the ...
- 573
14
votes
1
answer
572
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Different proof techniques of the Atiyah-Singer index theorem
I am aware of the usual K-theoretical (cobordism, operator algebras) and heat kernel proofs of the index theorem, as answered in other questions in this site, e.g. here.
However, I recently read this ...
1
vote
0
answers
45
views
Adding a data-dependent term to the porous medium equation while retaining an explicit solution
I am working with the porous medium equation, which I am treating it as a type of Fokker-Planck equation given by:
$
\frac{\partial u}{\partial t} = \Delta(u^m), \quad m > 1
$
For this equation, ...
- 11
2
votes
0
answers
42
views
Diffusions vs elliptic operators with dkp coefficients
I am wondering if there is any literature on the relationship between diffusions and elliptic equations. In particular I am interested in literature concerning operators with Dahlberg–Kenig–Pipher ...
- 121
4
votes
0
answers
198
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Pricing zero coupon bonds through PDE
I'm currently studying Paul Wilmott on quantitative finance and saw an interesting idea for an interest rate model that went unexplored in the book.
The idea is to model the market price of risk as a ...
- 51
2
votes
1
answer
144
views
Concentration inequality for double sum
I am looking for a concentration inequality of a double sum….
Let $X_1,\dots, X_n$ be iid r.v. and also let $Y_1,\dots ,Y_n$ be iid such that even $X_i$ and $Y_j$ are independent.
I am looking for a ...
- 51
2
votes
0
answers
89
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Malliavin calculus for the regularity of the density of the supremum of a process
I am reading Chapter 2 from Nualart's book 'The Malliavin calculus and related topics'.
Proposition 2.1.10 gives the conditions for the law of the supremum of a process to have a density. Condition (...
- 61
4
votes
1
answer
315
views
Impulse signal detection
Notation: Here $\mathcal Y_t$ denotes the natural filtration of the process $Y_t$, and $\{\cdot\}$ denotes the fractional part of a real number.
This question concerns detecting the presence (or ...
- 6,155
4
votes
1
answer
107
views
Identify an SDE on the sphere from its generator
I have a diffusion on the 2-sphere with expression:
$$
(L\phi)(u):=\frac{1}{2{N(u)}}\Big(f(u)\Delta_{\mathbb S^2}\phi+
2g\left( \nabla_{\mathbb S^2}\phi, \nabla_{\mathbb S^2}f\right)\Big)
$$
...
- 73
3
votes
0
answers
50
views
Does double stochastic integral have exponential moments?
Consider $W=(W_1,W_2):[0,1]\to \mathbb{R}^2$ a planar Brownian motion, and $W'$ a second one, independent from the first.
Let
$I=\int_0^1\int_0^1\log (|W-W'|^{-1}) \, \mathrm{d} W_1 \, \mathrm{d} {W_1}...
- 131
2
votes
0
answers
61
views
Characterisation of Bessel process
Let $\delta \in (0, 2)$; $(X_t)_{t \ge 0}$ a nonnegative continuous Markov process. Suppose that
For each $T \ge 0$, if we write $\tau \overset{\mathrm{def}}= \inf\{t \ge T : X_t = 0\}$, then $(X_{T +...
- 177
4
votes
0
answers
328
views
Convergence to unique stationary distribution for SDEs and Markov processes
I am interested in understanding the behavior of solutions to stochastic differential equations (SDEs) and continuous-time Markov processes with constant coefficients. Specifically, I would like to ...
- 807
3
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0
answers
54
views
Unique weak solution of an SDE for a general initial distribution
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- 835
3
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0
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196
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Towards Schauder estimates: smoothing effect of the semi-group generated by $\Delta+(-\Delta)^{1/2}$
Consider the semi-group $(P_r)_r$ generated by $\Delta+(-\Delta)^{1/2}:$ for a distribution $f$ let $P_rf:=p(r,\cdot)*f$ where $p(r,x):=\sum_{q \in \mathbb{Z}^d}e^{2\pi\mathrm{i}\langle q,x\rangle}e^{-...
- 573
3
votes
0
answers
77
views
Is the norm of first or second level of of signature a convex function?
I understand this is not a research level question but I really want to know, would anyone please help.
This question is related to the signatures that arises in rough path theory. https://en....
- 495
2
votes
1
answer
281
views
Hermite polynomial and Gaussian random variable
The following formula is well known: $E[H_k(X,E[X])H_q(Y,E[Y])]=\delta_{kq}E[XY]^k$ for a joint Gaussian r.v. $(X, Y),$ $H_k$ are Hermite polynomiale.
Is there a generalization for this to a joint ...
- 573
2
votes
0
answers
136
views
Towards the KPZ: Wiener-Ito integral, Kolmogorov type criterion
Consider a space-time white noise $\xi$ and the heat semi-group $(P_r).$
The following Kolmogorov type criterion allows to construct modifications in Besov Space (Here we have a partition of unity $(\...
- 573
0
votes
0
answers
36
views
Interpretation of Lévy process with signed Lévy measures
Suppose that I have a non-decreasing, pure jump Lévy process of finite variation $X$ with Lévy measure $\pi$. The Lévy measure is then supported on $(0,+\infty)$. Suppose that the Lévy measure is a ...
- 393
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 ...
- 6,155
5
votes
1
answer
205
views
Continuity dependence and convergence of the renormalized $\Phi^4_2$ model
This question is continuous for the one asked here: Local solutions of renormalized stochastic PDE but it was better to ask it separetely.
Again, we are interested in the local behavior of the $\Phi_2^...
- 573
1
vote
1
answer
67
views
Combination of the Dirichlet and Cauchy problems, find the PDE by which $\mathbb{E}_x M(X_{\tau_D \wedge t})$ is met
$X_t$ is an Itô diffusion process with continuous version, $\mathbb{L}_X$ is its generator. $D$ is a closed set in $\mathbb{R}$. The stopping time $\tau_D$ is the first entry time of $D$, that is $\...
- 11
0
votes
0
answers
101
views
Simulation of Markov processes with exponential timestepping
Let $(Y_t)_{t\ge0}$ be a time-homogeneous Markov process with transition semigroup $(\kappa_t)_{t\ge0}$. Numerical simulation of $(Y_t)_{t\ge0}$ can be done in the following way:
Choose an initial ...
- 167
4
votes
1
answer
210
views
Local solutions of renormalized stochastic PDE
To illustrate the problem consider the mild formulation of the $\Phi^4_2$ model on $[0,T]\times \mathbb{T}^d$: $$\phi=P_r\phi_0+\int_0^rP_{r-q}(-\phi^3(q))dq+Y_r \ \ \ \ \ \ (1)$$ where $(P_r)_{r \...
- 573
2
votes
0
answers
80
views
Stability of Hölder constants of frozen Itô stochastic integrals
$
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- 835
5
votes
2
answers
369
views
Markov process on a torus with prescribed invariant distribution
In Euclidean space, $\mathbb R^d$, the Langevin diffusion $${\rm d}X_t=b(X_t){\rm d}t+\sigma(X_t){\rm d}W_t\tag1,$$ where $\sigma:\mathbb R^d\to\mathbb R^{d\times k}$, $$b:=\frac{\Sigma+U}2\nabla\ln p+...
- 167
1
vote
0
answers
58
views
Gaussian Hypercontractivity of Chaos based on Gaussian with value in Hilbert spaces?
The classical Gaussian hypercontractivity is stated as following: Suppose $\xi$ is a Gaussian variable and $H_n(\xi)$ is the space of n-th homogeneous Wiener chaos constructed from $\xi$, then for any ...
- 253
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