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.
247
questions with no upvoted or accepted answers
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American put option pricing by "binomial trees"
I'm teaching a financial mathematics course and have found a fascinating (to me) numerical phenomenon and wonder if anyone has studied it, or knows anything similar.
I'll try and give a description ...
- 22.5k
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votes
0
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313
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 ...
user69208
7
votes
0
answers
299
views
Derivation of a stochastic Navier-Stokes equation under the assumption of perturbed particle trajectories
Let
$d\in\left\{2,3\right\}$
$\mathcal V_t\subseteq\mathbb R^d$ be the bounded domain occupied by an incompressible Newtonian fluid at time $t\ge 0$
$\Phi_t:\mathcal V_0\to\mathcal V_t$ such that $\...
- 161
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votes
0
answers
73
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Error estimates for projection onto the Wiener chaos expansion for stochastic Sobolev spaces (stochastic Rellich–Kondrachov theorem)
Let $n$ be a positive integer, $s\in \mathbb{R}$, $(\Omega,\mathcal{F},(\mathcal{F}_t)_{t\ge 0},\mathbb{P})$ be a filtered probability space whose filtration supports and is generated by an $n$-...
- 4,969
6
votes
0
answers
164
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Fokker-Planck equation for SDEs on manifold
Let $M_d$ be the set of $d\times d$ complex matrices and $S_d\subset M_d$ be its subset of density matrices, i.e. $A\in S_d$ iff $A\ge 0$, $A^*=A$ and $tr(A)=1$, where $A^*$ denotes the conjugate ...
- 975
6
votes
0
answers
727
views
Relationship between the Itō formula for a Q-Wiener process and the Itō formula for a cylindrical Wiener process. A question on the trace term
Remark: Even when this question is about stochastic PDEs, it can be answered by someone who has no knowledge about probability theory or PDEs.
I'm reading Stochastic Differential Equations in ...
- 161
5
votes
0
answers
160
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Regularity of convergent flow of parabolic PDE (Fokker-Planck equation)
Consider the divergence-type 2nd order linear PDE on $\mathbb{R}^d$
$$\partial_t u_t = Lu_t := \nabla\cdot(u_t\,\nabla V)+\Delta u_t,$$
representing the Fokker-Planck evolution equation for the ...
- 91
5
votes
0
answers
68
views
Feynman-Kac statement with no boundedness condition
Theorem 5.3 of Friedman (1975, Volume I) and its version in Theorem 7.6 of Karatzas & Shreve (1991) both establish conditions under which the Feynman-Kac formula holds, namely there is a ...
- 171
5
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0
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131
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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 ...
5
votes
0
answers
382
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Uniform bound for the occupation time of a diffusion
Note: We denote by $\mathcal L(U)$ the Lebesgue measure of a set $U$.
Let $\mu: \mathbb R^d \to \mathbb R^d$ and $\sigma: \mathbb R^{d} \to \mathbb R^{d \times d}$ be Borel functions.
Suppose the ...
- 4,852
5
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0
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288
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Uniqueness of a SDE with non-negativity constraint
I am working on the following SDE (but we will dealing only with deterministic object: $\omega\in\Omega$ is fixed):
\begin{equation}\label{sde}%sde
x_t=\underbrace{\xi_0+\int_0^tb(s,x_s)\,ds+\int_0^t\...
- 759
5
votes
0
answers
226
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Second order calculus and rough paths
In Emery's book "Stochastic calculus in manifolds", he shows how to make sense of integrals of the form
$$ \int \langle\Theta_t, \mathbf{d} X_t\rangle,$$
where $X$ is a semimartingale on a manifold $M$...
- 9,591
4
votes
0
answers
135
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Estimating $p$th moment bound of error between small noise SDE and ODE
For a $d$-dimensional standard Brownian motion $W$, and a locally Lipschitz function $b: \mathbb{R}^d \rightarrow \mathbb{R}^d$, consider an SDE:
$$dX_t^\varepsilon = b(X_t) dt + \varepsilon^t dW_t,\...
- 41
4
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0
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A notion of SDE via the martingale representation theorem
$\newcommand{\d}{\mathrm{d}}$It is well-known that differentiating stochastic processes with respect to time is usually impossible in the usual sense. For instance, a Brownian motion $W$ on a ...
- 10.7k
4
votes
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252
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Malliavin calculus and geometric interpretation of $\nabla \cdot ({\nabla F(x)}{\|\nabla F(x)\|^{-2}})$, with regards to the surface $S = \{F = 0\}$
Let $F:\mathbb R^n \to \mathbb R$ be a "sufficiently regular" function. For any $k \ge 1$ and $x \in \mathbb R^n$, define
$$
\alpha_k(x) := \nabla \cdot \left(\dfrac{\nabla F(x)}{\|\nabla F(...
- 6,726
4
votes
1
answer
452
views
A variant to the Fokker–Planck equation
Consider the PDE of $p(t,x)\ge 0$ given as
$$\partial_t p = \frac{\partial^2_{xx}p}{(1+m(t))^2} - \partial_x p,\quad \forall t,~x \in (0,\infty)$$
with initial and boundary conditions $p(0,\cdot)=\rho$...
- 1,230
4
votes
1
answer
558
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Random time change from Oksendal's SDE textbook
I have two questions related to the random time change introduced in Oksendal's textbook on SDEs (page 155-156). Specifically, for Lemma 8.5.6., I have no clue as to why we should define $t_j$ in ...
- 700
4
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0
answers
156
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Occupation time of SDE
Let $b:\mathbb{R}^d\to\mathbb{R}^d$ be locally Lipschitz and assume that, for any $x\in\mathbb{R}^d$ and any $f\in C^{\infty}([0,1],\mathbb{R}^d)$, the equation
$$
X_t^{x,f}=x+\int_0^t b(X_s^{x,f})\,...
- 93
4
votes
0
answers
442
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Numerical evaluation of KL divergence for SDE
Consider the SDE
$$
dX_t = v(X_t)dt + dW_t
$$
where $W_t$ is a standard Brownian motion. Girsanov's theorem tells us that the Radon-Nikodym derivative of the measure $\mathbb{P}_v$ of $X_t$ with ...
- 1,038
4
votes
0
answers
93
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Reference request on theory about Stochastic Riemann problem
I am trying to find references in the literature that deal with the Stochastic Riemann problem. Let me explain it a bit.
On one hand, in the literature it is not hard to find books or papers that deal ...
- 647
4
votes
0
answers
248
views
Exit time of a stochastic process defined by a SDE
Let $\mathcal{P}$ be a "small particle" trapped in a $n$-dimensional potential. We will assume the dynamics of $\mathcal{P}$ are well described by the stochastic differential equation
\begin{align*}
\...
- 205
4
votes
0
answers
216
views
Optimal control of SDEs
I've set up a system of stochastic differential equations that I'd like to control. I'm new to optimal control theory and SDEs (and, admittedly, weak on PDEs), so I'm not certain if I've set this up ...
- 41
4
votes
0
answers
405
views
Definition of the Stratonovich integral in Hilbert spaces
Let
$T>0$
$(\Omega,\mathcal A,\operatorname P)$ be a probability space
$\mathcal F=(\mathcal F_t)_{t\in[0,\:T]}$ be a filtration on $(\Omega,\mathcal A,\operatorname P)$
$B$ be a (standard, real-...
- 161
4
votes
0
answers
107
views
Feynman-Kac formula and time-ordering for vector bundles
Let $M$ be a compact Riemannian manifold and let $\mathrm{d}\mathbb{W}^{yx;T}(\gamma)$ denote the Brownian Bridge measure, i.e. the Wiener measure on the paths that travel from $x$ to $y$ in time $T$ (...
- 9,591
3
votes
0
answers
69
views
Norm estimate for parabolic SPDE solution
When $X$ satisfies $${\rm d}X_t=\varphi_t{\rm d}t+\Phi_t{\rm d}W_t$$ on a Hilbert space $H$, where $W$ is a $Q$-Wiener process on a Hilbert space $U$, we know by the Ito formula that $$\|X_t\|_H^2-\|...
- 161
3
votes
0
answers
78
views
Finite dimensional distribution of a stochastic process Lipschitz on every relatively compact set
Let $X_t$ be a Markovian Itô diffusion process, defined by an SDE
\begin{equation}
dX_t = \mu(X_t)\,dt + \sigma(X_t)\,dW_t\,.
\end{equation}
Let $f(x,t|x_0,0)$ denote its transition density function. ...
3
votes
0
answers
175
views
Flow property for semimartingale driven SDE at a stopping time
Let $S$ be an $n$-dimensional semimartingale such that the SDE
$$dX_t = \sigma(X_t, t) \, dS_t$$
with $\sigma$ Lipschitz continuous admits a globally defined unique strong solution on $[0, T]$.
For $t ...
- 4,852
3
votes
0
answers
74
views
Cylindrical Wiener processes or SPDE that can make use of Banach valued rough paths?
Rough paths theory has an often advertised perk that it mostly works for general Banach spaces. I am trying to think of some nice examples that actually use this feature, and am coming up stuck.
The ...
- 193
3
votes
0
answers
77
views
Strong uniqueness implies weak uniqueness for mean field FBSDE
Assume the standard probability setting and $B_t \in \mathbb{R}^d$ be the Brownian motion. Let $\xi$ be some random variable and $(X_{\xi}(t),Y_{\xi}(t),Z_{\xi}(t))$ be the solution to the following ...
- 44
3
votes
0
answers
65
views
Inverse comparison principle for stochastic differential equations
Consider two SDEs (stochastic differential equations) as follows:
$$dX_t=b^-(t,X_t) \, dt+a(t,X_t) \, dW_t;\quad dY_t = b^+(t,Y_t)\,dt+a(t,Y_t)\,dW_t,$$
where $b^-,b^+,a$ are Lipschitz such that $b^-&...
- 975
3
votes
0
answers
95
views
Dealing with noise that is white in time, colored in space numerically
I am broadly working on a dynamic process where we want to see how a field $\rho(r)$ changes in space in time with thermal noise. The system is biased around a thermodynamic saddle point dictated by $...
- 31
3
votes
0
answers
172
views
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 ...
- 177
3
votes
0
answers
92
views
Martingale problem for regime switching SDE
Let $\mu$ be a continuous time Markov process switching between two possible values $a, b \in \mathbb R$ with time homogeneous transition rates. Consider the one dimensional SDE
$$dX_t = \mu \, dt + ...
- 4,852
3
votes
0
answers
131
views
Asymptotic behaviors of equilibrium points of a switching SDE with Levy jumps?
Consider the following paper titled: Stochastic regime switching SIR model driven by Lévy noise, authored by Yingjia Guo.
Link: https://www.sciencedirect.com/science/article/pii/S0378437117302145
The ...
- 185
3
votes
0
answers
124
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Density of invariant measure of stochastic differential equation
I have a question: is it possible that an SDE has a "nice" density, but its invariant measure does not have a "nice" density? I asked this question at math.stackexchange but ...
- 921
3
votes
0
answers
232
views
Probability of a particle surviving forever
Consider a particle whose position is driven by the following equation:
$$Y_t = y + t + W_t + C\min\big(1,(Y_t+1)^+\big)\Lambda_t,\quad \mbox{for all } 0\le t<\tau_*,$$
where $y>0$, $0<C<1$...
user128095
3
votes
0
answers
488
views
Domain of the Generator of a Bessel process
Consider the Bessel Process of index $\nu\in (-1,0)$, or dimension $\delta=2\nu-1$
\begin{align}
\rho_{t}=x+\frac{\delta-1}{2}\int_{0}^{t}\frac{1}{\rho_{s}}\,ds+W_{t}
\end{align}
where $(W_{t})_{t\geq ...
3
votes
0
answers
67
views
Diffusion generators with gradient vector fields
Let $\mathcal{A}$ be a second order operator on an $n$-dimensional smooth manifold $M$, expressed in Hörmander form as
$$\mathcal{A}=X_0+\frac{1}{2}\sum_i^kX_i^2,$$
where $X_0,X_1,...,X_k$ are ...
- 1,675
3
votes
0
answers
87
views
Mutual dependencies of BSDE solutions with markovian drivers with different starting points
Let $(\Omega,\mathcal F, P)$ be a complete probability space with a Brownian motion $(W_t)_{0\le t\le T}$ and the Brownian standard filtration $(\mathcal F_t)_t$ with $\mathcal F_T = \mathcal F$.
Let ...
- 335
3
votes
0
answers
78
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Generators and Covariance Operators of Diffusions
For a constant coefficient Ornstein-Uhlenbeck process, how should I think about the relationship between the infinitesimal generator of the process and the covariance operator of the process (or, ...
- 379
3
votes
0
answers
85
views
Why is the Jain Monrad condition the right condition on general Gaussian processes?
Consider a covariance function $\sigma^2(s,t)=E((X_t-X_s)^2)$, where $X\colon I\to \Bbb R^d$ is a Gaussian process.
Given a $\rho\ge 1$ and a superadditive function $\omega(s,t)$ we say that Jain ...
user69208
3
votes
0
answers
132
views
Regularity of martingales with respect to spatial parameters
In Stochastic Flows and Stochastic Differential Equations, Kunita is proving in Theorem 3.1.2 that a family $M(t,x)$ of continous local martingales depending on a spatial parameter $x$ takes values in ...
- 161
3
votes
0
answers
95
views
"Expanding" around the invariant measure
In the spde literature we have results of the form
$$|P_{t}F(x)-\mu(F)|\leq O(g(t)),\text{for all } x\in H, F\in S$$
where $P_t$ is a semigroup, $H$ some Hilbert space, $F\in S$ some function space, $...
- 4,449
3
votes
0
answers
315
views
An SDE version of a Fokker Planck Equation
Assume $\rho$ is probability density defined on $\mathbb{R}^d\times\mathbb{R}^d$. I am interested in the Wasserstein gradient flow of a functional:
\begin{equation*}
\mathcal{E}(\rho)=\iint_{\mathbb{...
- 31
3
votes
0
answers
79
views
Generalisation of Lyapunov time to stochastic dynamical systems
Might there be useful generalisations of the Lyapunov time to stochastic dynamical systems? In particular, I'm interested in methods for calculating confidence intervals around stochastic analogues of ...
- 3,827
3
votes
0
answers
197
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Reference request on connection between PDE problems
I am trying to find references in the literature that connect solutions of any two of the problems given bellow. I study deterministic and stochastic conservation laws. Problems that I am interested ...
- 647
3
votes
0
answers
72
views
Uniqueness of a stationary measure for a simple ODE
How to prove uniqueness of the stationary measure using coupling approach to the following process: $u_{n+1}=S(1)u_n+\eta_{n+1}(\omega)$, where
a) $S(1)y_0:=y(1)$, $y(t)$ solves the following Cauchy ...
- 383
3
votes
1
answer
667
views
Equivalence of Itō and Stratonovich equations and how we ensure that the latter are well-defined
Remark: I've asked this question on MSE as well.
Let
$T>0$
$I:=[0,T]$
$(\Omega,\mathcal A,\operatorname P)$ be a probability space
$(\mathcal F_t)_{t\in I}$ be a complete and right-continuous ...
- 161
3
votes
0
answers
122
views
Monte-carlo estimation on the drift of SDE
On any probability space $(\Omega, \mathcal{F} , \mathbb{P})$ with a Brownian motion $W$, we consider the following one-dimensional SDE:
$$dX_t = F(t, X_t) \, dt + dW_t,$$
where $F(t,x) = \mathbb{...
- 357
3
votes
0
answers
166
views
Feynman-Kac formula for *general* Sturm-Liouville operator
One way to state (omitting technical requirements) the Feynman-Kac formula that I am familiar with is as follows.
Let $u$ be a solution to the pde
$$u_t(x,t)=-\frac{\sigma^2(x,t)}2u_{xx}(x,t)-V(x,t)u(...
- 891