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.
560
questions
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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:
$$dX_t^\varepsilon = b(X_t) dt + \varepsilon^t dW_t,\...
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1
vote
0
answers
42
views
The limit ratio of two Markov Chain Probability
Suppose there are two given SDE in $\mathbb{R}^d$:
$$
\begin{align}
\left\{
\begin{aligned}
dX_t&=\begin{bmatrix}-\nabla V(X_t)+2\beta^{-1}v_F^\theta(X_t)\end{bmatrix}dt+\sqrt{2\beta^{-1}}dW_t,&...
- 193
1
vote
0
answers
35
views
Wellposedness of SDE with switching diffusion
Let $b:\mathbb R\to [-1,1]$ and $a_1, a_2:\mathbb R\to [1,2]$ be Lipschitz functions. Consider the stochastic differential equation (SDE) as follows :
$$dX_t = b(X_t)dt + a(X_t)dW_t,$$
where $(W_t)_t$ ...
- 1,230
1
vote
0
answers
50
views
Derivative with respect to initial condition for the solution of an SDE
Suppose we have an SDE (assuming the Lipschitz continuous conditions required for the existence of the solution):
\begin{align}
dX_t = \mu(X_t,t)dt + \sigma(X_t,t)dW_t
\end{align}
and define its ...
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1
vote
0
answers
101
views
Solutions to ODE/SDE with singular coefficients $dX_t = -X_t/t \, dt + g\,dW_t$
I encountered a question regarding the solutions to SDEs with singular drifts. I searched the literature but had a hard time figuring out the intuition behind these analytic results assuming different ...
- 73
1
vote
0
answers
58
views
Carnot–Carathéodory norm and the inner product norm
It is well-known that given the extended tensor algebra $T((\mathbb{R}^d))$ one may extract a separable Hilbert space by considering the subset
$$T^1((\mathbb{R}^d)) := \left\{h \in T((\mathbb{R}^d)) :...
- 81
2
votes
1
answer
192
views
Decay estimate of moment of an SDE
We consider an SDE
$$
d X_t = b(t, X_t) \, dt + \sigma(t, X_t) \, d B_t,
$$
where $(B_t)$ is a $d$-dimensional Brownian motion on $\mathbb R^d$. We fix $p \in [1, \infty)$. Here $b, \sigma$ are ...
- 851
6
votes
0
answers
73
views
Error estimates for projection onto the Wiener chaos expansion for stochastic Sobolev spaces (stochastic Rellich–Kondrachov theorem)
Let $n$ be a positive integer, $s\in \mathbb{R}$, $(\Omega,\mathcal{F},(\mathcal{F}_t)_{t\ge 0},\mathbb{P})$ be a filtered probability space whose filtration supports and is generated by an $n$-...
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3
votes
0
answers
69
views
Norm estimate for parabolic SPDE solution
When $X$ satisfies $${\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
4
votes
1
answer
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views
Solution of SDE at finite time, continuity of pdf
I'm looking at the Langevin dynamics described by the following SDE
$$d X_t = - \nabla U(X_t) \, d t + \sqrt {2 \Sigma} \, d B_t,$$
where $X_t \in \mathbb R^d$, $\nabla U(\cdot)$ has some regularity ...
- 41
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. ...
2
votes
0
answers
57
views
SDE driven by Lévy processes
Consider a stochastic differential equation (SDE) on some filtered probability space $(\Omega, \mathcal F, \mathbb F, \mathbb P)$ : for all $t>0$
$$dX_t = u_tf(X_{t-})dt+ u_t g(X_{t-})dW_t + u_t\...
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7
votes
1
answer
372
views
What happens when the diffusion term in an SDE becomes zero?
Consider this time-homogeneous SDE, in the Ito sense:
$$dX_t= -(X_t-a)\,dt+\sigma(X_t)\,dW_t,$$
where $W_t$ is standard Brownian motion, $a<b\in\mathbb{R}$, $X_0\leq b$ a.s., and $\sigma(b)=0$. ...
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2
votes
0
answers
70
views
Assumptions for uniform measure of SDE on manifolds
Suppose we're working on a compact, Riemannian manifold $M$. Suppose $dX_t = -b(X_t, t)\,dt + \sigma^2 \,dB_t$ is started at the uniform measure on $M$. What kind of assumptions on $b$ make it so that ...
3
votes
1
answer
184
views
Statistically stationary properties of expectations conditioned on the value of an Ornstein–Uhlenbeck process
Consider the modified Ornstein–Uhlenbeck process
$$\mathop{dx_t}=\theta(y_t-x_t)\, dt+{}\sigma\,dW_t$$
for a standard Brownian motion $W_t$ and $\theta,\sigma\in\mathbb{R}_{>0}$. Let's define the ...
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votes
1
answer
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views
Elliptic PDEs in Finance
In mathematical finance, one often encounters parabolic PDEs typically through the Feynman-Kac representation theorem/formula. However, I'm curious are there interesting examples of Elliptic boundary ...
- 4,969
1
vote
0
answers
62
views
Estimation of past knowing present
Let $X$ be the solution to some stochastic differential equation (unidimensional or multidimensional) :
$$dX_t = b(t,X_t)\,dt + a(t,X_t)\,dW_t\quad \forall t\ge 0,$$
where $b, a$ are both Lipschitz. ...
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votes
0
answers
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views
How to estimate the difference between two Ito diffusions?
Suppose $𝑏:\mathbb R^d \to \mathbb R^d, \sigma:\mathbb R^d \to \mathbb R^{d\times d}$ are measurable functions and satisfy
\begin{equation*} 2\langle 𝑥−𝑦,𝑏(𝑥)−𝑏(𝑦)\rangle +\|\sigma(𝑥)−\sigma(�...
- 622
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votes
0
answers
56
views
Autocovariance of harmonic oscillator in fluid (Langevin Equation)
I am looking to work out an analytical solution (if it is known) for the autocovariance $Cov[X_s,X_t]$ of a particle which behaves according to the Langevin equation for a Harmonic Oscillator in a ...
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3
votes
0
answers
175
views
Flow property for semimartingale driven SDE at a stopping time
Let $S$ be an $n$-dimensional semimartingale such that the SDE
$$dX_t = \sigma(X_t, t) \, dS_t$$
with $\sigma$ Lipschitz continuous admits a globally defined unique strong solution on $[0, T]$.
For $t ...
- 4,832
3
votes
0
answers
74
views
Cylindrical Wiener processes or SPDE that can make use of Banach valued rough paths?
Rough paths theory has an often advertised perk that it mostly works for general Banach spaces. I am trying to think of some nice examples that actually use this feature, and am coming up stuck.
The ...
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votes
1
answer
188
views
Weak uniqueness of an SDE with locally Lipschitz drift and additive noise?
Consider the $d$-dimensional SDE, $d > 1$,
$$dX_t = b(X_t) \, dt + \sqrt 2 \, dW_t$$
where
$b$ is locally Lipschitz such that $|b(x)| \le C |x|^2$ for $x \in \mathbb R^d$.
$W$ is a standard $d$-...
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votes
2
answers
479
views
Interpretation of second order term in Fokker-Planck equation
Let $G:\mathbb{R}^d\to\mathbb{R}^{d\times d}$ be a matrix-valued smooth function. Let us define a quantity by
$$
\begin{align*}
\nabla^2\cdot G(x)
&=\sum\limits_{i=1}^{d}\sum\limits_{j=1}^{d}\...
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3
votes
1
answer
203
views
Weighted Lebesgue space with exponential weights: smoothing effect and properties
I am researching whether there are weighted Lebesgue spaces of the type
$$ \left\{ f\omega(x)\in L^p(\mathbb{R}^n):\|f\|_{L^p_\omega}=\int_{\mathbb{R}^n}|f|^p\omega^p(x)\,dx< \infty,\right\} $$
...
- 585
23
votes
5
answers
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views
What phenomena are better modelled by SDE instead of ODE?
Both stochastic differential equations (SDE) and ordinary differential equations (ODE) can be used to model a variety of different phenomena, whether physical or otherwise. Most deterministic ODE ...
- 4,832
3
votes
1
answer
203
views
Do regularity structures involve infinite "Taylor" series?
I have been learning about the theory of regularity structures, for which the common motivation is Taylor series. However, I keep seeing direct sums in the definition of a regularity structure, which ...
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3
votes
1
answer
147
views
Stochastic representation of Laplace equation with Neumann boundary condition
Consider nice domain $D\subset \mathbb R^d$ and $\Delta u =0$ with $u\big|_{\partial D}=g$. It is well known that $u(x)=E^x[g(B(\tau))]$ where $\tau$ is exit time of $B$ from the domain $D$.
What if ...
- 1,302
1
vote
0
answers
140
views
Marcus-SDE to Itô-SDE
In the field of stochastic calculus, everyone knows the Itô and Stratonovich integrals, as well as the conversion from Stratonovich to Itô SDEs.
The Stratonovich integration has the particularity of ...
- 11
1
vote
0
answers
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views
Estimating the entropy of the solution to an SDE
Forgive me for the poorly researched question. I'm currently working on a computer science project involving training a neural stochastic differential equation, and I've run into a problem while ...
- 441
2
votes
0
answers
145
views
Time reversal of infinite-dimensional SDE
Consider the SDE $${\rm d}X_t=b(t,X_t) \, {\rm d}t+\sigma(t,X_t) \, {\rm d}W_t,\tag1$$ where $b:[0,T]\times V\to H$, $\sigma:[0,T]\times V\to\operatorname{HS}(U_0,H)$, $$V\subseteq H\subseteq V^\ast\...
- 161
2
votes
2
answers
341
views
SDE driven by fractional Brownian motion
Let $B^H$ be a fraction Brownian motion of Hurst parameter $H$. Consider the SDE driven by $B^H$ as below:
$$dX_t = b(t,X_t)dt + a(t,X_t)dB^H_t,\quad \forall t\ge 0.$$
I am looking for references that ...
- 1,230
0
votes
1
answer
126
views
Non-negativity of stochastic integral with indicator, Meyer-Tanaka Local Time
Consider the following stochastic integral:
$$
X_t := \int_0^t \mathbb{I}_{ \{ W_s \geq 0 \}}\, dW_s.
$$
Is $X_t$ almost-surely non-negative?
Using this answer, it seems that
$$
X_t = \max( W_t, 0) - \...
- 109
2
votes
1
answer
144
views
Estimates on perturbation of drift of SDEs
Let $\mu_1,\mu_2:\mathbb{R}^n\rightarrow \mathbb{R}^n$ and $\sigma:\mathbb{R}^n\rightarrow \mathbb{R}^{n\times n}$ be Lipschitz functions, of at-most linear growth; i.e. $\|\sigma(x)\|\lesssim \|x\|,\|...
- 310
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votes
1
answer
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Giving meaning to and solving a second-order stochastic differential equation with white noise
I have encountered a second-order stochastic differential equation (SDE) of the form:
$$
\frac{d^2 T}{dr^2} = (1 + W(r)) (r - A)(r - B)$$
where $r \in (A, B)$ and $W(r)$ is, for example, white noise. ...
- 31
3
votes
0
answers
76
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 ...
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1
vote
0
answers
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views
Help understanding this proof of asymptotic bounds on solutions
In Boukanjime et al. " https://www.sciencedirect.com/science/article/pii/S0005109821004039 " I'm having difficulties understanding the proof of Theorem 5.1 after equation (13). It's a ...
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vote
0
answers
73
views
Help with understanding a proof of existence of solutions
In El Fatini and Boukanjime "Stochastic analysis of a two delayed epidemic model incorporating Lévy processes with a general non-linear transmission" paper, can someone give a detailed ...
- 121
2
votes
1
answer
220
views
Explicit solution to linear SDE with correlated Brownian motions
Let $W$ and $B$ be correlated one dimensional Brownian motions with constant correlation coefficient $r \in (-1, 1)$, that is, we have $d\langle W, B \rangle_t = r \, dt.$ We assume we have $B_0 = v$ ...
- 4,832
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vote
0
answers
117
views
Generating realizations from $n$-dimensional geometric Brownian motion where the variables are constrained to sum to 1
Is there a way to simulate an $N$-dimensional geometric Brownian motion i.e. variable $$x_i, i \in [1, N] $$ is diffusing in log-space such that $$\log (x_i)$$ follows a Brownian motion with a given ...
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4
votes
1
answer
355
views
When are the transition densities of an SDE symmetric?
We fix $T>0$. Let $b:[0, T] \times \mathbb{R}^d \rightarrow \mathbb{R}^d$ and $\sigma:[0, T] \times \mathbb{R}^d \rightarrow \mathcal{M}^\text{sym}_{d \times d}(\mathbb{R})$ be measurable and ...
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1
vote
0
answers
189
views
Stochastic volatility model question
Let suppose that $S_t$ is a process defined as:
$$ \begin{cases}dS_t = \mu S_t\,dt+m(v_t)\,dW^1_t\\ dv_t = \mu_v(v_t)\,dt + \sigma_v(v_t)\,dW^2_t\end{cases}$$
where the two Brownian motions have ...
- 175
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votes
0
answers
48
views
Is there a Fokker-Plancker analogue for the joint distribution of $(X_t, X_{t+\Delta t})$?
Let $X$ be the solution to (real-valued) stochastic differential equation :
$$dX_t = b(t,X_t)dt + a(t,X_t)dW_t, \quad \forall t\ge 0.$$
Let $\Delta t>0$ be given. Under suitable conditions (on $b,a,...
- 975
5
votes
0
answers
159
views
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
4
votes
1
answer
246
views
Reference request: showing that solution of an Ito SDE stays bounded with positive probability
Assume that we have a (well-posed) Ito SDE of the form $$\mathrm{d} X_t = b(X_t)\,\mathrm{d} t + \sigma(X_t)\,\mathrm{d}W_t \label{1}\tag{1},$$ where $b \colon \mathbb{R}^d \to \mathbb{R}^d$, $\sigma \...
- 700
1
vote
0
answers
95
views
Freidlin Wentzell for stochastic differential inclusions
Consider the SDI
$$dX^\varepsilon(t)\in b(X^\varepsilon(t))\,dt + \varepsilon \sigma(X^\varepsilon(t)) \, dB(t).$$
Is there any Freidlin-Wentzell large deviations principle for $X^\varepsilon$?
- 1,302
2
votes
0
answers
108
views
Controlling the adjoint variables in a stochastically perturbed control problem
Suppose we have a deterministic control problem
$$dX_t = b(X_t, u_t) \, dt$$
on a finite timeframe with no terminal cost; i.e. the objective functional to be maximised is
$$\mathbb E \left [\int_{0}^T ...
- 4,832
1
vote
1
answer
74
views
Stochastic Stokes flow: where to start from?
I would need to get acquainted to the subject of stochastic Stokes flows, so studying Stokes equations under some noise of some kind, let's say an additive white noise to begin with.
The problem is ...
- 631
0
votes
0
answers
104
views
Laplace transform of a stochastic process
Let $R := (R_1, R_2)$ be a two-dimensional diffusion process defined by the following SDE:
$$\mathrm{d}R_{1,t} = -\lambda_1 R_{1,t} \, \mathrm{d}t + \lambda_1 \sigma(R_{1,t}, R_{2,t}) \, \mathrm{d}W_t$...
- 63
3
votes
2
answers
227
views
Stability results for general linear stochastic ODE
I am interested in the following time-invariant multivariate SDE:
\begin{equation}
dx_i = \sum_{j} a_{ij} x_j\,dt + \sum_{j,k} b_{ijk} x_k \, dW_j
\end{equation}
Despite its simplicity the general ...
- 194
3
votes
1
answer
305
views
Each diffusion SDE is associated to a *unique* family of transition kernels
I consider an SDE of the form $dX_t=b(X_t) \, dt + \sigma(X_t) \, dW_t$, with $b$ and $\sigma$ globally Lipschitz on $\mathbb{R}^n$.
How can I prove that there exists a unique family of transition ...
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