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.
376 questions with no upvoted or accepted answers
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Conditions for existence of a semi-martingale representing a system of probability measures
Let $(\nu_t)_{t \in [0,1]}$ be Borel probability measures on a stochastic basis $(\Omega,\mathcal{F},(\mathcal{F}_{t \in [0,1]})_t,\mathbb{P})$.
Does there exist a semi-martingale $(X_t)_{t\in[0,1]}$ ...
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Independent increments for the Brownian motion on a Riemannian manifold
In am not a probabilist, but I must do some stochastic-flavoured work on a connected Riemannian manifold $M$. A nice thing about the Brownian motion on $\mathbb R^n$ is that we may talk about its ...
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Why are financial markets modeled by càdlàg processes?
When opening a book or reading an article on mathematical finance, financial markets (e.g. stock prices) are always modeled by càdlàg semimartingales. I was wondering why it is that these processes ...
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Question regarding Ito representation theorem
Let $H$ be a Gaussian Hilbert space and $H^{:n:}$ be the homogeneous chaos of order $n$.
and let $D_n:=\{(t_1,\cdots,t_n):t_1<t_2<\cdots <t_n\}$.
For each $n\geq 0$ there exists an isometry
\...
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Can one change the dimension of a Bessel process by a Girsanov change of measure?
Recall that a (squared) Bessel process $X_t$ with the dimension $\delta_0>0$ is the solution of the SDE
$$d X_t = 2\,\sqrt{X_t}\,d W_t+\delta_0\,d t.$$
A naive application of the Girsanov Theorem ...
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Reference request: Ito formula for function $G(t, x)$ when $G$ depend on $\omega$
There is proved Lemma in book : Let the function $G(t,x)$ is defined when $t\in [0,T], x\in(-\infty,\infty)$, $G$ has continuous derivative with respect to $t$ and twice continuously diferentiable ...
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293
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Malliavin derivative of Ito process
Let $X_t= X_0 + \int_0^t \mu(s,X_s)ds + \int_0^t \sigma(s,X_s)dW_s$ where $\mu$ and $\sigma$ are $C^1$ functions satisfying the usual growth restriction and $W_t$ is a $d$-dimensional Brownian motion. ...
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About martingales induced by iterative processes
Suppose I have a discrete stochastic process $\{ X_i \}_{i=1,\ldots..}$ defined as, $X_{i+1} = X_i - \eta \nabla f(X_i) + \sqrt{\eta} \xi_i$ where $f : \mathbb{R}^d \rightarrow \mathbb{R}$ and $\xi_i \...
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383
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Role of Brownian Filtration
I'm trying to understand papers around Novikov, Kazamaki, Kramkov, Shiryaev...
and there is something I can't figure out. I will try to describe it shortly and can give more information, if needed.
...
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Girsanov Theorem - Dependence of the probability space
I'm trying to understand the proof Novikov Condition and other works in this field (Kazamaki etc) and for this, i have to understand the Girsanov Theorem, which is also a part of the proof. In ...
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Predictability of countably valued accessible stopping times on complete and cadlag filtrations
The following question is motivated by this part of the proof of Lemma 2 on page 107 of the book Stochastic integration and differential equations of Philip Protter.
Lemma 2. Let $T$ be a totally ...
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220
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Question about Protter's proof of the Ito's formula
The following is a question about a notation that Protter uses in the proof of the Ito's formula for cadlag processes of finite variation (FV) that appears on Stochastic Integration and Differential ...
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Ornstein-Uhlenbeck type process with thresholding
(Edited) I met a univariate Ornstein-Uhlenbeck type process but with self soft-thresholding:
$$
dX(t) = - c\ \mbox{sgn}(X(t))\big[|X(t)|-c_1 t^{\mu}\big]_+ dt + \sigma dB(t), \quad X(0)=0,
$$
where $...
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Using the optional stopping theorem on a stochastic process
(I'm much more used to number theory than to stochastic processes, so there are probably a lot of errors in the following:)
Consider a stochastic differential equation $dx = F(t,x) dt + \sigma dW$, ...
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If $(Φ^x)_{x∈ℝ}$ is a family of real-valued stochastic processes and $B$ is a Brownian motion, then $\int_0^tΦ^x_s\:dB_s=(\int_0^t\Phi_s\:dB_s)(x)$
Let
$T>0$
$(\Omega,\mathcal A,\operatorname P)$ be a probability space
$(\mathcal F_t)_{t\in[0,\:T]}$ be a complete filtration on $(\Omega,\mathcal A)$
$B$ be a (standard, real-valued) $\mathcal F$...
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153
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Embedding a martingale by SDE
Let me reformulate my question. Let $(X_0,X_T)$ be a martingale on $\mathbb R$, then it is known that one has a SDE:
$$Z_t=Z_0+\int_0^t\sigma(s,Z_s)dB_s, \mbox{ for all } t\in [0,T]~~~~~~~~~~~~~~(\...
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Where can I find this article of Doléans-Dade?
I need to find the article "Intégrales stochastiques dépendant d’un paramètre" by Doléans-Dade.
I could not find a pdf version online, and my university library does not have a printed version.
Thank ...
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Law of motion when initial condition is perturbed
We know how to find the law of motion (Ito process) of the value function:
$$V_t(x)=E\Big{[}\int^{T}_te^{-r (s-t)}f(s,X_s)ds+e^{-r (T-t)}g(T, X_{T})|\mathcal{F}_t\Big{]}$$
such that
$$dX_t=\mu(t,X_t)...
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Strong Markov Property of the joint process $(B_t,L_t)_{t\ge 0}$
Let $B=(B_t)_{t\ge 0}$ be a Brownian motion and $L=(L_t)_{t\ge 0}$ be its local time in zero. Given two strictly increasing functions $\phi_1$, $\phi_2: \mathbb R_+\to\mathbb R$ such that $\phi_1(0)=\...
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582
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When an integral with respect to a Poisson point process is finite?
Let $N(ds,dv)$ be a Poisson measure on $\mathbb{R} _+ \times \mathbb{R} _+$ with intensity $dsdv$. Let $N = \sum\limits \delta_{(s_i,v_i)}$. Assume that $N$ is compatible with a filtration $\{ \...
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What is the sigma field of the derivative of a process?
When $t\to X_t$ is an absolutely continuous process ($X_t= X_0+ \int_0^t Y_s dt$ for some measurable process $Y_t$) we have for all $t$ $$\sigma(Y_t) \subset \cap_{\epsilon >0}\sigma(X_{s}, s\in [t,...
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233
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Probability that d-Brownian Motion ,$d\geq 3$, avoids a fixed set A
In other words, the probability that Brownian motion stays within $A^{c}$.
What about for connected and fixed compact sets ? Would that involve solving a heat equation? How can I condition it, so ...
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142
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Asymptotic behavior of solutions of stochastic differential equations
I am studying a risk model whose dynamic is specified by a first order differential equation with a compound Poisson process on the right hand side. I would like to know whether there are some papers ...
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321
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Expected value of a logarithm of a Levy process
I have a strictly positive Levy process $(L_t)$ with no Brownian part, drift $\gamma$ and jump measure $\nu$. Is it possible to calculate the expected value of the logarithm of this process, so $\...
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Problem arising from martingale solutions to SPDE: $Law(u)=Law(v)$ on $C([0,T]; X)$, can $Law(u)=Law(v)$ on $C([0,t]; X)$ for $t<T$?
I ask this question because I found in some papers of martingale solutions to SPDE, to prove the approximate solutions $u_n$ is a convergent sequence, one can use "stochastic compact" method to find ...
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1
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141
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Approximate martingales by truncation
Let $(X,Y)$ be a $\mathbb R-$valued martingale. For any $\varepsilon>0$, is it possible to find another martingale $(X',Y')$ s.t. $X'$ and $Y'$ are supported on a compact set, and
$$
\mathbb E\big[\...
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