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Questions tagged [stochastic-differential-equations]

Stochastic ordinary and partial differential equations generalize the concepts of ordinary and partial differential equations to the setting where the unknown is a stochastic process.

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2D Stochastic Navier Stokes equations with Navier boundary condition

For the 2D Stochastic Navier Stokes equations with Navier boundary condition $$du = (\Delta u - u\cdot \nabla u - \nabla p)dt + \Phi dW$$ where we consider additive white noise here. I want to use the ...
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21 views

Show that the transition semigroup of the strong solution to a Langevin-type SDE is immediately differentiable

Let $\varrho\in C^1(\mathbb R)$ with $\varrho>0$ $\lambda$ denote the Lebesgue measure on $\mathcal B(\mathbb R)$ $\mu$ denote the measure with density $\varrho$ with respect to $\lambda$ $b:=2^{-...
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27 views

Stability of the Langevin semigroup under $C_c^\infty(\mathbb R)$

Let $h\in C^2(\mathbb R)$ $(X^x_t)_{(t,\:x)\in[0,\:\infty)\times\mathbb R}$ be a continuous process on a probability space $(\Omega,\mathcal A,\operatorname P)$ with $$X^x_t=x-\frac12\int_0^th'(X^x_s)...
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52 views

Gradient bound for the Markov semigroup generated by the solution to an Langevin SDE

Let $h\in C^2(\mathbb R)$ with $$h''\ge\rho\tag1$$ for some $\rho>0$ and $$\int\underbrace{e^{-h}}_{=:\:\varrho}\:{\rm d}\lambda=1$$ $\mu$ be the measure with density $\varrho$ with respect to the ...
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31 views

How is the dominated convergence theorem applied in the proof of Lyapunov’s criterion?

Let $$\Gamma(f,g):=\frac12f'g'\;\;\;\text{for }f,g\in C^1(\mathbb R),$$ $\mu$ be a probability measure on $(\mathbb R,\mathcal B(\mathbb R))$ with a continuously differentiable and positive density $\...
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1answer
51 views

How is the Cauchy-Schwarz inequality used in the proof of Lyapunov's criterion in the book “Analysis and Geometry of Markov Diffusion Operators”

Let $(E,\mu,\Gamma)$ be a full Markov triple (see definition below), $J\in\mathcal A$ with $J\ge1$ and $g\in\mathcal A_0$. In the proof of Theorem 4.6.2 of the book "Analysis and Geometry of Markov ...
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182 views

Existence of a Lyapunov function for a log-concave measure

Let $d\in\mathbb N$, $f:\mathbb R^d\to\mathbb R$ be convex with $$\int e^{-f(x)}\:{\rm d}x<\infty\tag1$$ and $\mu$ denote the measure with density $e^{-f}$ with respect to the Lebesgue measure on $\...
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1answer
78 views

Existence of a Lyapunov function for $-h'\varphi'+\varphi''$ where $h\in C^1(\mathbb R)$ such that $h'$ is Lipschitz

Let $h\in C^1(\mathbb R)$ such that $h'$ is Lipschitz continuous and $$L\varphi:=-h'\varphi'+\varphi''\;\;\;\text{for }\varphi\in C^2(\mathbb R).$$ The formal adjoint of $L$ is $$L^\ast\psi:=\psi''+(h'...
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Bayesian parameter estimation

I am generally not that knowledgeable for math, so if my question is too broad or inaccurate, please let me know. I am currently reading a paragraph of one paper (https://www.fil.ion.ucl.ac.uk/spm/...
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57 views

How to calculate the probability of 2 events happening in time series under only cdf information?

In time domain $0\rightarrow T$, there are two independent events $A$ and $B$. $B$ follows Poisson Process with density $\lambda$. It's easy to get $P_B(t)$ which denotes $P_B(N(\tau+t)-N(\tau)\geq 1)...
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24 views

Application of Gram-Charlier expansion for Swaption pricing with drift extension

I am doing a project for university and I'm stuck at some point. The aim is to implement the Gram-Charlier expansion into the 2-factor Hull-White model with Drift extension. I already found out how ...
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63 views

Is there solution to a backward stochastic differential equation with $yz$ in the generator?

Please consider the following backward stochastic differential equation: $$ Y(s)=\xi+\int_{s}^{T}a(u)Y(u)+b(u)Y(u)Z(u)du-\int_{s}^{T}Z(u)dW(u)$$ Here $a(s)$, $b(s)$ are square-integrable stochastic ...
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35 views

Reference: Stochastic Optimal Control with cost functional

There are a variety of control problems for controlled diffusions $X_t^u$, with the terminal cost given by $$ J(u)\triangleq \mathbb{E}\left[g(X_T,u)+\int_0^t h(X_t,u_t)ds\right], $$ function $g$ and ...
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42 views

Diffusion generators with gradient vector fields

Let $\mathcal{A}$ be a second order operator on an $n$-dimensional smooth manifold $M$, expressed in Hörmander form as $$\mathcal{A}=X_0+\frac{1}{2}\sum_i^kX_i^2,$$ where $X_0,X_1,...,X_k$ are ...
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40 views

Approximation of deterministic problem with stochastic problem

A lot of problems in PDE theory are solved in the following way: The original problem is quite hard and we can't solve it, so we make the approximation problem that we can solve. Than we go back and ...
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1answer
86 views

Reference from the article “Random Ordinary Differential Equations”, by J.L. Strand

In the article Random Ordinary Differential Equations, Journal of differential equations 7, 538-553 (1970), by J.L. Strand, reference number 6 refers to his PhD thesis: Stochastic Ordinary ...
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38 views

Existence and uniqueness of the asymptotic distribution of $x(k+1) = Ax(k) + v(k)$

Consider the linear discrete-time stochastic systems: \begin{equation} x_{k+1} = Ax_k + v_k, \end{equation} with time-instants $k \in \mathbb{N}$, state $x_k \in \mathbb{R}^n$, stochastic process $v_k ...
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151 views

Is an SDE really equal to an integral equation, or is it rather “its integral” that is?

I posted this question on mathstack a couple of weeks ago and even with 100 bounty on it Ive not been able to get any feedback. Hence I tought Id try posting it here. https://math.stackexchange.com/...
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54 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 ...
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39 views

Floquet stochastic process

Let $X_t$ be defined by the SDE $$ dX_t = A(t, X_t)dt + dW_t $$ where $A(t, X_t)$ is linear in $X_t$ and periodic in $t$. Assume also that the process is stable. If $A(\cdot)$ didn't have $t$ ...
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20 views

Singular direction of a particle system

Consider a system of n-sdes in $\mathbb{R}$ ( the formula is not important). The corresponding particle system $X(t)=(X_{1}(t),X_{2}(t),...,X_{n}(t))$ lives in $\mathbb{R}^{n}$ and assume that ...
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395 views

English translation of “Les aspects probabilistes du contrôle stochastique”

I am looking for an English translation of "Les aspects probabilistes du contrôle stochastique" written by Nicole El Karoui, or knowledge whether it exists. Other references with similar content on ...
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27 views

Stationary distribution of gradient dynamics

We consider the gradient dynamics $ d X_{t} = d B_{t} - \nabla(U(X_{t}))dt $ in $\mathbb{R}^{d}$. G.Royer in the book "An initiation to logarithmic sobolev inequalities" (p29,30) says that if (1) U ...
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86 views

Additive stochastic heat equation and Markov property

For the distribution-valued field called the GFF (Gaussian free field) over a domain $\Omega\subset \mathbb{R}^{2}$: $$ h_{\Omega}=\sum a_{k}f_{k,\Omega}(z),$$ where $a_{k}\sim N(0,1)$ and $f_{k},\...
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63 views

Convergence of SDEs

Suppose that $\{a_n(x)\}_{n \in \mathbb{N}}$ is a sequence of real-valued Lipschitz functions with domain $\mathbb{R}^d$, which converges $m$-a.e. to a Lipschitz function $a$. Suppose that $b$ is a ...
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49 views

Why does the correct scaled dimension for SPDEs count time as two dimensions?

In this video, Felix Otto says that the correct way to count dimensions for parabolic equations is $2+\text{number of space dimensions}$. He said nothing about this. In the accompanying notes it is ...
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Is there a distinct Ito-Sasaki version of Riemannian stochastic development?

Given a smooth manifold $M$ with a linear torsion-free connection on its tangent bundle, the Eells-Elworthy-Malliavin stochastic development provides a way of transforming a semimartingale $X$ defined ...
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Reference request on theory about Stochastic Riemann problem

I am trying to find references in the literature that deal with the Stochastic Riemann problem. Let me explain it a bit. On one hand, in the literature it is not hard to find books or papers that deal ...
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120 views

Locally Lipschitz sufficiently implies a Gronwall inequality?

In the paper [1], it seems to me the authors implicitly use a local Lipschitz property to deduce a Gronwall's inequality. I am not able to justify/show that this is indeed the case and perhaps someone ...
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2answers
335 views

Good papers on stochastic differential equations with applications in finance

I recently completed reading the book "Stochastic Differential Equations" by Bernt Oksendal which is the first time ever I was exposed to the topic. Now I am interested in pursuing research ( Ph.D.) ...
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28 views

Generators and Covariance Operators of Diffusions

For a constant coefficient Ornstein-Uhlenbeck process, how should I think about the relationship between the infinitesimal generator of the process and the covariance operator of the process (or, ...
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92 views

What are morphisms between regularity structures?

In Hairer's notes A Theory of Regularity Structures he defines automorphisms of a regularity structure on page 28. I will recall the definition here: Is there any way of extending this to morphisms ...
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39 views

Reflected SDE with vanishing diffusion term at the boundary

I have a reflected SDE of the form $dX_{t} = a(X_{t})dt + b(X_{t})dW_{t}+dL_{t}, \quad X_{0}=x_{0}\in (0,\infty) $ where $L$ keeps the process from going below zero. The coefficients $a$ and $b$ ...
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62 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 ...
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1answer
83 views

Behaviour of solutions to $(A-r)f=0$ in the limit $r \to \infty$

Define the second order linear differential operator associated with $X$ (Here $X$ is the unique strong solution to appropriate Ito SDE) by $$A = \frac{1}{2} \sigma^2(x) \frac{d^2}{dx^2} + \mu(x) \...
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1answer
143 views

Are Holder Condition and signal to noise ratio (SNR) related?

This question was posted in https://math.stackexchange.com but I got hardly any view. If posting here is an objection please let me know I would delete it immediately. This question has evolved from ...
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53 views

invariant measure theory for spdes with distributional solutions (Hilbert versus Polish)

SPDEs such as the stochastic heat equation for $d\geq 2$ with space-time white noise and the stochastic quantization equation have distributional solutions and we still try to make sense of their ...
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91 views

Regularity of martingales with respect to spatial parameters

In Stochastic Flows and Stochastic Differential Equations, Kunita is proving in Theorem 3.1.2 that a family $M(t,x)$ of continous local martingales depending on a spatial parameter $x$ takes values in ...
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80 views

“Expanding” around the invariant measure

In the spde literature we have results of the form $$|P_{t}F(x)-\mu(F)|\leq O(g(t)),\text{for all } x\in H, F\in S$$ where $P_t$ is a semigroup, $H$ some Hilbert space, $F\in S$ some function space, $...
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1answer
104 views

Under what condition we get back path from signatures in rough path theory?

A link to wikipedia for rough pat theory is: https://en.wikipedia.org/wiki/Rough_path It appears path and signatures has one to one mapping in many cases. I understand that the signature is not ...
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99 views

Gaussian free field limiting distribution of additive Stochastic heat eqn bounded domain

Hairer in his spdes notes on pg.6, says that GFF is the stationary solution of $u_{t}(z)=\Delta u(z)+\xi(z,t)$, where $\xi$ is the space-time white noise $$\xi(x,t)=\sum \sqrt{\lambda_{k}} B_{k}(t)e_{...
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48 views

Has this type of pathwise (S)DE been studied before?

I thought of a possible type of pathwise-defined nonautonomous/stochastic differential equation, and I was wondering if it has been studied before. Let $(G,\ast)$ be an abelian $C^1$ Lie group....
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87 views

Exit time of a stochastic process defined by a SDE

Let $\mathcal{P}$ be a "small particle" trapped in a $n$-dimensional potential. We will assume the dynamics of $\mathcal{P}$ are well described by the stochastic differential equation \begin{align*} \...
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125 views

An SDE version of a Fokker Planck Equation

Assume $\rho$ is probability density defined on $\mathbb{R}^d\times\mathbb{R}^d$. I am interested in the Wasserstein gradient flow of a functional: \begin{equation*} \mathcal{E}(\rho)=\iint_{\mathbb{...
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70 views

Vanishing viscosity method and random forcing

The vanishing viscosity method consists in viewing problem: $$(A) \hspace{1cm} u_t+g(u)_x = 0,\\[2ex] $$ as the limit of the problem: $$(B) \hspace{1cm} u_t+g(u)_x+\nu \varDelta u = 0,\\[2ex]...
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2answers
125 views

Is it possible to compare Rough path theory and White noise Theory?

Please accept apology if this question is vague. (Would you please comment rather then downvote, I may be stopped to ask more questions. I will delete my question if required.) It is related to the ...
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59 views

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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20 views

Pathwise closeness of solutions of SDE's

Given two SDE's, if the diffusion coefficients are pathwise uniformly close, can we say the same about the solutions to corresponding SDE's? More precisely, consider $$ dX^1_t = b(X^1_t) dt + \sigma^...
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3answers
305 views

Perturbation of a stochastic differential equation

Suppose we have the following two stochastic differential equations for $x_0$ and $x$ respectively \begin{align} dx_0 &= -k_0(t)(x_0-1)dt+\eta_0(t) x_0\,dB \tag1\\ dx &= -(k_0(t)+\epsilon ...
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1answer
149 views

Is there an Itō formula for random functions in infinite-dimensions?

Let $(\Omega,\mathcal A,\operatorname P)$ be a complete probability space $T>0$ $I:=(0,T]$ $(\mathcal F_t)_{t\in\overline I}$ be a complete and right-continuous filtration on $(\Omega,\mathcal A,\...