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.
604 questions
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Textbook definition for "path measure" or "probability measure over paths"
I need a formal definition for the path measure for stochastic differential equations.
Which textbook or paper should I consult?
3
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0
answers
201
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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 ...
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1
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1
answer
246
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How to rigorously prove that this sequence of stochastic processes converges to a deterministic process?
Assume that for each $n\in\mathbb{N}$, there's a stochastic function $f_n$ of type $\mathbb{R}^{m}\to\Delta\mathbb{R}^{m}$, and for each $x\in\mathbb{R}^{m}$, the distributions $\frac{f_n(x)-x}{\frac{...
- 353
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1
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Riemannian metric induced by a stochastic differential equation
Following this paper, a diffusion process in $\mathcal{R}^d$
$$dX_t = f(X_t) \, dt + \sigma(X_t) \, dW_t ,$$
with $\sigma(x) \in \mathbb{R}^{d \times m}$ and $m$ dimensional Brownian motion can be ...
1
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1
answer
603
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Is there an inverse Lamperti transformation for diffusions?
The Lamperti transformation is commonly used to transform SDEs with state dependent coefficients into SDEs with constant diffusion.
For multidimensional processes there are some conditions on the ...
2
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1
answer
204
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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 ...
1
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0
answers
121
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Stratonovich version of Girsanov
One version of Girsanov says that, that if $\mu_0$ is the law of a Brownian motion as a Borel measure on the space of continuous functions and we define the density
$$\frac{d\mu}{d\mu_0}:=\exp\left(\...
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1
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163
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Does the time of maximum of a diffusion process admit a continuous density?
Let $W$ be a standard one dimensional Brownian motion, and consider the solution $X$ to the SDE
$$dX_t = \mu(X_t) \, dt + \sigma(X_t) \, dW_t$$
with $X_0 = 0$ a.s., and where $\mu, \sigma: \mathbb R \...
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0
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0
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75
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Regularity of solutions to forward-backward stochastic differential equations
Suppose $X_t$, $P_t$ and $Z_t$ are one dimension random processes and satisfy
$$
\left\{
\begin{aligned}
d X_t
&= aP_t dt +bdB_t;\\
X_0
&= x_0;\\
d P_t
&=cP_t dt + c^*Z_t dB_t;
\\
P_T
&...
- 54
4
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1
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343
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Convergence of a continuous time stochastic gradient descent algorithm
Let $f: \mathbb R \to \mathbb R$ be a $C^1$ convex function, satisfying the growth conditions
$$\lim_{x \to -\infty} \nabla f(x) = -\infty, \lim_{x \to \infty} \nabla f(x) = \infty.$$
and let $\...
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1
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509
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What work has been done on SDE with diffusion coefficients of bounded variation in $\mathbb R^d$?
Consider the $d$-dimensional SDE, $d > 1$,
$$dX_t = b(X_t) \, dt + \sigma(X_t) \, dW_t$$
where $W$ is a standard $d$-dimensional Brownian motion.
I am interested in the case where $\sigma: \mathbb ...
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3
votes
0
answers
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Asymptotic behaviors of equilibrium points of a switching SDE with Levy jumps?
Consider the following paper titled: Stochastic regime switching SIR model driven by Lévy noise, authored by Yingjia Guo.
Link: https://www.sciencedirect.com/science/article/pii/S0378437117302145
The ...
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1
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272
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Change of measure formula for the Föllmer process
While reading a preprint Eldan, Lehec, and Shenfeld - Stability of the logarithmic Sobolev inequality via the Föllmer Process I came across the following SDE in Section 3:
$$d X_t=d B_t+\nabla \log P_{...
- 537
7
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1
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249
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Onsager-Machlup functional when drift is time-dependent
Let $X(t)$ be a diffusion process on $\mathbb{R}^d$ generated by
\begin{align}
\mathcal{D} = \nabla^2 + \sum_{i=1}^d b_i(x) \frac{\partial}{\partial x_i},
\end{align}
where $b_i(x) \in \mathcal{C}_b^2(...
- 203
1
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0
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58
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Elliptic principal eigenfunction analysis for Langevin dynamics with a varying source term
Consider the Kolmogorov forward equation for a Langevin dynamic:
$$\DeclareMathOperator{\Div}{div}
\begin{cases}
\dfrac{\partial}{\partial t} f = \Delta f + \Div(f\nabla V)\\
\\
\displaystyle\int_{\...
- 11
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0
answers
64
views
Question about (stochastic parallel-gradient descent) SPGD and (simultaneous perturbation stochastic approximation) SPSA [closed]
I wonder if someone could shed some light on this. I'm curious if stochastic parallel-gradient descent and simultaneous perturbation stochastic approximation refer to the same optimization techniques.
- 21
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0
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Uniqueness of global solution
I am reading Section 3.3 of this paper, and trying to understand the proof of uniqueness of a global solution to the following equation defined on the Torus $\mathbb{T}^3$
\begin{align*}
\mathrm{d} \...
- 101
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1
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Correlated Brownian motions across different times and representation with independent processes
This is a more wide-net question of Two increasingly correlated Brownian motions and Williams decomposition.
In our problem we have two correlated Brownian motions $B^1,B^2$ (starting at time $t=0$ ...
- 5,474
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1
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468
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Finding an existence and uniqueness result of a strong solution of Lipschitz SDEs
I try to understand the Proof of Theorem 4.21 in Carmona Delarue (2018). In the following, what I don't understand:
Processes are assumed to be defined on a complete filtered probability space $(\...
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0
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235
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Two increasingly correlated Brownian motions and Williams decomposition
The Williams decomposition is
Let $(B_t-\nu t)_{t\geq 0}$ be a Brownian motion with negative drift $\nu>0$ and let $M_\infty^{-\nu}:=\sup_{t\in [0,\infty]}(B_t-\nu t)$. Then conditionally on $M_\...
- 5,474
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0
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156
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Fokker-Planck equation for a 3D Bessel bridge
Consider a 3D Bessel bridge $\rho_t$ connecting $(x,t)=(0,0)$ and $(x,t)=(0,T)$, whose SDE is given by
$$d\rho_t = \left(\frac{1}{\rho_t} - \frac{\rho_t}{T-t}\right)dt + dB_t,$$
where $B_t$ is a ...
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2
votes
1
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549
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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
$$dZ_t = \mu(t, Z_t) \, ...
- 6,155
1
vote
0
answers
89
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Comparison of the numbers of particles surviving forever
Consider two $N\text{-}$particle systems as follows : for $1\le i\le N$,
$$X^i_t=1+\int_0^t(b+\phi^i_s) \, ds+W^i_t \quad\mbox{and} \quad Y^i_t=1+ct+W^i_t,\quad \forall t\ge 0,$$
where $c>b>0$ ...
- 1,334
5
votes
0
answers
137
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Functional inverse problem based on a variational principle
I am trying to solve an inverse problem based on variational principle.
I will first present a forward problem that is already solved, and then present the inverse problem that I am trying currently ...
2
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2
answers
416
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Short time limits for SDE
Let $W$ be a standard one dimensional Brownian motion, and let $X$ be the solution to the SDE
$$dX_t = \sigma(X_t) \, dW_t \;, \quad X_0 = x_0\;.$$
where $\sigma:\mathbb R \to \mathbb R$ is a ...
- 6,155
2
votes
1
answer
296
views
Large noise limit for SDE with general volatility coefficients
Let $W$ be a standard one dimensional Brownian motion, and let $X$ be the solution to the SDE
$$dX_t = \sigma(X_t) \, dW_t \;, \quad X_0 = 1 \;.$$
where $\sigma:\mathbb R \to \mathbb R$ is a ...
- 6,155
2
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1
answer
492
views
Is the solution to this SDE always positive?
Let $W$ be a standard one dimensional Brownian motion, and consider the SDE
$$dX_t = \sigma(X_t) \, dW_t, \, \, \, X_0 = 1 \, \text {a.s.}$$
Assume $\sigma$ is regular enough that the above SDE admits ...
- 6,155
1
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1
answer
196
views
Construction of SDEs that admit more than one solution
I look for examples of SDEs (stochastic differential equations) s.t. the uniqueness of the solution fails, i.e.
$$dX_t = B(t,X_t)dt + \Sigma(t,X_t)dW_t,\quad \forall t\ge 0.$$
More precisely, the ...
- 1,334
1
vote
1
answer
200
views
A comparison principle for SDE
Let $W$ be a standard one dimensional Brownian motion, and $\mathcal F_t$ its natural filtration. Consider the SDE
$$dX_t = \mu_X (t, \omega) \, dt + \sigma_X (t, \omega) \, dW_t$$
$$dY_t = \mu_Y (t, \...
- 6,155
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1
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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
0
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0
answers
466
views
The relationship between measurability and weak measurability
For a Banach-valued random mapping $f:\Omega\rightarrow X$, there are three kind of measurability: strong measurability (can be approximated by sequence of simple
functions, measurability (the ...
- 113
1
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2
answers
240
views
Solution to SDE conditional on high maxima of driving Brownian motion
Let $W$ be a standard one dimensional Brownian motion, and let $X$ be the solution to the SDE
$$dX_t = X_t \, dW_t \;, \quad X_0 = 1 \;.$$
For every $\varepsilon > 0$, let $A_\varepsilon$ denote ...
- 6,155
1
vote
0
answers
157
views
The stochastic parallel transport as a limit of piecewise geodesic parallel transports
Let $(M,g)$ be a Riemannian manifold, and $E \to M$ be a vector bundle endowed with a connection $\nabla$. If $c:[0,1] \to M$ is a continuous curve, and if $\Delta = \{t_1, \dots, t_m\} \subset [0,1]$,...
- 5,407
4
votes
1
answer
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views
Schauder basis of the Hardy space of semi-martingales
Fix $p\in [1,2]$, a filtered probability space $(\Omega,\mathcal{F},(\mathcal{F}_t)_t,\mathbb{P})$, and let $\mathcal{H}_{\mathscr{S}}^p$ denote the space of semimartingales $X$ such that the norm
$$
\...
- 195
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2
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Distribution of local martingale is absolutly continuous to that of the Brownian motion?
Let $B(t, \omega)$ be a Brownian motion defined on a probability space $(\Omega, \mathcal{F}, \mathbb{P})$, adapted to a filtration $\{\mathcal{F}_t\}$. Let $\phi(t, \omega)$ be a $\{\mathcal{F}_t\}$-...
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1
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Does Hörmander's condition imply smooth density of transition probabilities conditioned on non-blow-up?
Motivation. I’m not an expert on stochastic calculus and stochastic differential equations; I often see the Fokker-Planck equations and Hörmander's theorem formulated as addressing “transition ...
- 698
2
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1
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361
views
Is $g(t)=\mathbb P[\inf_{0\le s\le t}X_s>0]$ differentiable with respect to $t$?
Consider the SDE
$$dX_t =b(t)dt + a(t)dW_t,\quad \forall t>0,$$
with $X_0>0$ has a density function $\rho:\mathbb R_+\to\mathbb R_+$. Consider the probability $g(t):=\mathbb P[\inf_{0\le s\le t}...
user478492
4
votes
1
answer
492
views
Sufficient conditions for a SDE to have a stationary probability measure
Apologies if this question is too basic for MathOverflow.
For a smooth Wiener-driven SDE on a non-compact manifold $M$ taking the form
$$ dX_t = b(X_t) dt + \sum_{i=1}^k \sigma_i(X_t) \ast dW_t^i $$
...
- 698
1
vote
0
answers
34
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Regime switching stochastic systems references
I'm looking for some good references discussing regime switching stochastic systems (Stochastic systems with markovian jump process) and their solutions.
Given a Continuous-time Markov Chain $\xi$ ...
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2
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For a SDE with smooth transition densities, if every point is "path-accessible", is every positive-measure set probabilistically accessible?
Suppose we have a $C^\infty$ manifold $M$ and $C^\infty$ vector fields $b,\sigma_1,\ldots,\sigma_k$ on $M$, and for convenience define the set of vector fields
$$ \mathcal{S} = \{b,\sigma_1,-\sigma_1,\...
- 698
0
votes
1
answer
493
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Fokker-Planck: uniqueness and convergence to stationary distribution
Consider the Langevin equation ($N$-dimensional) with nonlinear drift term but expressible as a gradient of a function $U(\vec{x})$. Namely, consider the stochastic process described by the set of ...
- 305
1
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0
answers
87
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Reference request : upper bound of marginal densities of a SDE with discontinuous coefficient
Consider the one-dimensional SDE
$$X_t = x+ \int_0^t\frac{\sigma(s,X_s)}{1+{\bf 1}_{\{b(s,X_s)>0\}}}dW_s,\quad \forall t\ge 0,$$
where $W_t$ is a standard BM and $b,\sigma$ are sufficiently regular ...
user478492
2
votes
0
answers
104
views
Relations between different "propagation of chaos" type results?
My questions come from the paper Logarithmic Sobolev inequalities for some
nonlinear PDE’s written by F. Malrieu (May 2001). The basic set-up is that we have a $N$-particle system $(X^{i,N}_t)_{1\leq ...
- 730
2
votes
1
answer
240
views
Uniqueness of the solution to some degenerate SDE
Consider the one-dimensional stochastic differential equation:
$$dX_t = {\bf 1}_{\{X_t>0\}}\big(b(t,X_t)dt + a(t,X_t)dW_t\big),\quad \forall t>0,$$
or equivalently
$$dX_t = b(t,X_t)dt + a(t,X_t)...
user478492
2
votes
0
answers
186
views
Time derivative of relative entropy in this setting
I was reading the following article : https://arxiv.org/pdf/2005.13097.pdf and a question came up.
In page 30 in the proof of Lemma 16, when taking the time derivative of the KL divergence, there is ...
- 41
1
vote
0
answers
96
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References: properties of $L_p$ spaces involving time and probability space
Questions are from the theory of PDEs\SPDEs
Question 1. Suppose $(V, H, V^\star)$ is a Gelfand triple (embeddings are continuous and dense, so $\|\|_H \le C \|\|_V$ for some $C>0$ etc) of ...
2
votes
0
answers
106
views
Stochastic dynamics: how do the random matrix $J_{ij}$ and coupling strengh $g$ affect the variance of the local field $h_i$?
Context: Q3 in How to understand the largest Lyapunov exponent?
We know $g$ is proportional to (square root of) the variance of $J$'s every entry ($J_{ij}\sim \mathcal{N}(0,g^2/N)$).
Why is it also ...
- 139
2
votes
0
answers
50
views
Continuation : Uniqueness of the solution to some SDE with discontinuous coefficient
Consider the SDE below
$$X_t=X_0+\int_0^t b(s)ds+\int_0^t\frac{dW_s}{1+m(s){\bf 1}_{\{b(s)>0\}}},\quad \forall t\ge 0,~~~~~~~~~~~~~~~(\ast)$$
where $X_0>0$ is square integrable, $b:\mathbb R_+\...
- 1,334
0
votes
1
answer
347
views
Probability that a geometric Brownian motion with additional determinstic drift ever hits zero
Let $W$ be a standard Brownian motion, and let $X_t$ be the solution to the following SDE
$$dX_t = (\mu X_t - Cke^{-kt}) \, dt + \sigma X_t \, dW_t$$
where $\mu, \sigma, C, k > 0$ are constants, ...
- 6,155
2
votes
0
answers
116
views
Is a Riccati BSDE explicitly solvable?
Let $W=\{W_t\}_{t\in[0;T]}$ be a real-valued Brownian motion, $\{F_t\}_{t\in [0;T]}$ the filtration generated by $W$, augmented with the nullsets, let $C\in (0;\infty)$ and $\{a_t\}_{t\in[0;T]}$ be a ...
- 335