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Questions tagged [stochastic-processes]

A stochastic process is a collection of random variables usually indexed by a totally ordered set.

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Are Stochastic Process Characterized by Their conditional Moments

Suppose that $X_t$ is a real-valued stochastic process. Then is $X_t$ characterized by it's conditional moments? In the sence that, if $Y_t$ is another process, such that $$ \mathbb{E}\left[\int_s^T\...
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Are there any continuous-time stochastic processes in which transition probabilities are discontinuous functions over time?

In stochastic processes, like homogeneous Markov processes, Poisson processes, Queueing systems etc., the functions that represent (transition) probabilities are continuous over time. This is also ...
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Counterexample in Kolmogorov theorem about existence of almost surely continuous modification

I want to understand this Kolmogorov theorem about existence of almost surely continuous modification: A process $\{\xi_t, \in[0,T]\}$ admits an almost surely continuous modification if there exist ...
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1answer
76 views

Expectation of the exitpoint distance for the symmetric random walk

Let $\nu(x)$ be a symmetric probability measure with respect to the origin on $x\in[-1,1]$ such that $\nu(\{0\})\neq 1$. Consider a random walk started at $S_0=0$, denoted $S_n=X_1+\dotsb+X_n$, ...
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112 views

Large deviation of random walk

1) Let $\{X_i\}_{i=1}^n$ be i.i.d. such that $\Pr(X_i=1 )=1-\Pr(X_i=-1)=p$. Define the random walk $$ S_i = \sum_{j=1}^iX_j $$ for $i=1,2,\ldots,n$. I am looking for "good" exponential upper bounds ...
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77 views

Is there Brownian motion on Alexandrov spaces?

It is well known that there is a notion of Brownian motion on smooth Riemannian manifolds. I am wondering if there is a more general notion of Brownian motion on finite dimensional Alexandrov ...
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1answer
67 views

Martingale representation theorem for symmetric random walk

Let $X(t)$ be a martingale w.r.t. filtration generated by Brownian motion $B(t)$. There is a well-known theorem that states that there is a unique adapted process $H(t)$ such that $$ X(t) = \int_0^t ...
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An example of a measurable random process with non-measurable integral

Let $ \xi _t(\omega), t\in[0,\infty)$, be a random process and let $ \xi _t(\omega)\in \{\mathfrak F_t\}$ be some filtration. Even if $ \xi _t(\omega) $ is $ \mathfrak F_t $ measurable then $\int_0^...
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Reference request in optimal stopping [closed]

I am given the following task. Distributed over a trading day, I am supposed to buy a certain quantity of a good. The price of this good changes during the day. The goal is to buy the required ...
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1answer
96 views

When do supremum and expectation commute?

This is an alternative form of the question in When do maximum and expectation commute? When we looking for conditions on $G(t,x(t))$ such that $$ \sup\limits_{t\in [0,N]}E[G(t,X(t))]=E[\sup\limits_{...
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Can we extract information from signature (rough path theory) to construct part of signal?

This question is related to rough path theory. Consider we have obtained signature obtained from a set discrete data points postulating linear from one data point to another. Such signature are used ...
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Long Range Dependence, Order Statistics

I have a long range dependence process which is defined in such a way: $$σ^2_{μ,X}=∫_T∫_{R^2}Cov_X(t,u,v) μ(du) μ(dv) dt. $$ We can use derived formula for covariation using distribution functions ...
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How can we treat the generator of a discrete-time Markov chain as the generator of a Markov-jump process?

In the popular paper Weak Convergence and Optimal Scaling of Random Walk Metropolis Algorithms by Roberts, Gelman and Gilks, the authors state (see below) that "in the Skorokhod topology, it does not ...
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58 views

Calculate a realization of two stochastic variables as a function of the same realization of a stochastic process?

I have the following parametric stochastic integral: $$ I(\lambda) = \int_{t_i}^{t_{i+1}} \exp(\lambda (t_{i+1} - s)) dW_s, $$ where $W_t$ is a zero-average totally uncorrelated stationary white-noise ...
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Universality for scale-dependent systems?

Researchers looking at critical points of dynamic systems often think of these systems as belonging to universality classes, so that the behaviour of the system at its critical point only depends on ...
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2answers
143 views

Probability of one species reaching zero before the other in a Markov process on a 2d lattice

$\textbf{Background}$: Say we've got a two-variable system of stochastic chemical reactions, with quantities $\vec{x}(t) = (x_1(t),x_2(t)) \in \mathbb{N}^2$ evolving according to the following system, ...
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Hitting times of Markov chains

I'm looking for references on the above topic. My particular interest is in discrete time, countable state space Markov processes. References can take any form (papers, books, notes etc.) and can ...
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79 views

Can we have Levy area for N dimensional process?

Consider a two dimension Brownian motion $(X_t,Y_t)$ and we can consider Levy's area as $\int_0^t X_sdY_s-\int_0^t Y_sdX_s$. Is there a equivalent area for N dimensional Brownian motion, if so what ...
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If $(Y_n)_{n\in\mathbb N_0}$ and $(N_t)_{t\ge0}$ are stochastic processes, what is the filtration generated by $\left(Y_{N_t}\right)_{t\ge0}$?

Let $(\Omega,\mathcal A)$ and $(E,\mathcal E)$ be measurable spaces $(Y_n)_{n\in\mathbb N_0}$ be a $(E,\mathcal E)$-valued stochastic process on $(\Omega,\mathcal A)$ $(N_t)_{t\ge0}$ be a $\mathbb ...
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Predictable Process Question (Da Prato & Zabcyzk 2014)

I've been looking at the 2014 edition of Da Prato & Zabcyzk and the sections on predictable processes. In particular, in their Proposition 3.7 (ii), they assert that if $\Phi$ is adapted and ...
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Construction of Feller's pseudo-poisson process

Let $(\Omega,\mathcal A,\operatorname P)$ be a probability space $(E,\mathcal E)$ be a measurable space $(Y_n)_{n\in\mathbb N_0}$ be a $(E,\mathcal E)$-valued time-homogeneous Markov chain on $(\...
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Progressive measurability implies adaptedness [migrated]

I've read that every progressively measurable process is also adapted, but I can't prove it using the definition of measurability. Can anyone give me a proof of this result ?
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Supremum of a general Gaussian Process

I have a stochastic integral of the form \begin{align*} X(t) = \int_0^t h(v) W(v) dv \end{align*} where $W(v)$ is the standard Brownian motion and $h(v)$ is a positive, integrable function. While $X(t)...
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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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1answer
42 views

Translation of Fakeev's Optimal Stopping Rules for Stochastic Processes with Continuous Parameter

I am looking for a translation of Fakeev's "Optimal Stopping Rules for Stochastic Processes with Continuous Parameter" from 1970. I can only find it in Russian. Does anyone know where to find this?
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English reference text on Snell envelopes of càdlàg processes w.o negative jumps

I am looking for an English reference on the theory of Snell envelopes of càdlàg processes with and without negative jumps. In particular which contain results on existence of Snell envelope and ...
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1answer
119 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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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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1answer
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conditional expectation brownian motion

$B=(B_t,t\in[0,1])$ a standard brownian motion on $[0,1]$. For $t\in[0,1]$, we define $$\mathcal{F}_t=\sigma(B_s,s\in[0,t]),$$ $$\mathcal{G}_t=\mathcal{F}_t\,\vee\,\sigma(B_1).$$ How can we show $$\...
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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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Expression for the Markov Chain CLT variance for an arbitrary initial distribution

Let $(\Omega,\mathcal A,\operatorname P)$ and $(E,\mathcal E,\pi)$ be probability spaces $(X_n)_{n\in\mathbb N}$ be a $(E,\mathcal E)$-valued stochastic process on $(\Omega,\mathcal A,\operatorname P)...
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1answer
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Lyapunov-type function in a non locally-compact space and boundedness of the average

Set-up and question. Let $\mathcal{X}$ be a complete separable metric space which is not locally-compact. Let $V: \mathcal{X} \to [0; +\infty]$ be a function and $(X_t)_{t\geq 0}$ a Markov process in $...
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quadratic variation on n-sphere

Is it true, and if so, is there an easy way to see that the quadratic variation of standard Brownian motion on n-sphere is $\leq$ t? Note: I am a novice in stochastic analysis.
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Asymptotic behavior of row sums in 2-d array of random variables

Set-up. Let $f : \mathbb{N} \to \mathbb{N}$ be increasing. For each $m \in [0,1]$, consider an infinite two-dimensional array of random variables, where row $n$ has $f(n)$ variables: $B^m_{1,1}$ $B^...
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Compactness if Emery (semi-martingale) topology

The set $\mathscr{S}$, of semi-martingales is a topological vector space under the Emery topology on the space of semi-martingales. There has been some recent research on closures in this topology (...
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261 views

Random walk on $\mathbb{R}$ with “sticky” origin

Let $P_i$, $N_i$, and $Z_i$, $i\in\mathbb{N}$ be r.v.'s with the $P_i$, $N_i$, and $Z_i$ being identically distributed with known pdf's $f_P$, $f_N$, and $f_Z$, respectively; and with no dependence ...
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product of right continuous filtrations is right-continuous?

Let $\mathcal{G} = \sigma \lbrace G_{1},..., G_{n} \rbrace$ where $G_{1},..., G_{n}$ are subsets of $\Omega_{1}$ and $(\mathcal{F}_{t})$ is a right-continuous filtration on $\Omega_{2}$. Is $(\mathcal{...
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1answer
52 views

n-factor martingale representation theorem

Baxter & Rennie at pag. 162 state the following theorem. Let $W$ be an $n$-dimensional $\mathbb Q$-Brownian motion and let $M_t=(M_1(t),...,M_n(t))$ be an $n$-dimensional $\mathbb Q$-martingale ...
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Galton Watson tree with various kinds of offspring

As far as I understood, for the Galton-Watson tree process, the offspring are of one type. I am thinking of the case where we have offspring of different types. I have illustrated this in the example ...
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1answer
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Convergence of a stochastic sequence?

I am reading this paper related to an algorithm for nonsmooth optimization problems. After many simplifications, I was able to formalize the method as follows: let $\Bbb B $ denote the unit ball in $\...
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Finding a queuing model for waste accumulation

I've been tasked with modeling the accumulation of solid waste in an urban setting. In particular, the objective is to find the steady state distribution describing the amount of waste in a given ...
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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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1answer
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Bivariate Poisson-Binomial distribution

Suppose you have $100$ coins whose probabilities of obtaining the outcome "head" are $p_1,\ldots,\,p_{100}$. These probabilities are not necessarily equal each other. Consider the following random ...
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Spectral gap for the Brownian motion with drift on a compact manifold

Let $M$ be a compact Riemannian manifold without boundary, $X$ a smooth vector field on $M$. Consider the Brownian motion $t\mapsto B_t$ on $M$ with drift $X$, so that its generator is $L=\Delta +X$. ...
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On the Cauchy-Schwarz Inequality for trace function of random matrices

In the deterministic case, for two matrices $A$ and $B$ with appropriate matrices, we know that $$tr((A^{T}B)^{2})\leq tr(A^{T}A)tr(B^{T}B)$$ which is the trace form of Cauchy-Schwarz-Inequality (CSI)....
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Compare KS test and Wasserstein distance or Earth mover's distance

I have tried the following question in couple of exchange sites but I did not get any views or reply. I am asking here as I am kind of desperate for the answer, please be considerate. Any suggestion ...
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Irreducibility of Markov processes

I have a question about irreducibility of Markov processes. Let $(E,\mu)$ be a metric measure space. Let $X=(X_t,P_x)$ be a $\mu$-symmetric Markov process on $E$. We denote $\{p_t\}$ by the semigroup ...
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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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1answer
103 views

Properties of Cameron Martin Space

In the case that I'm working with a separable Hilbert space, $H$, on which I have a trace class operator, $K$, that's coming from a Gaussian (i.e., $K$ is self-adjoint, and for simplicity, has trivial ...