All Questions
141 questions
3
votes
1
answer
604
views
Weighted sum of standard Brownian bridges
Let $\{B_j\}_{j=1}^k$ be a sequence of Brownian bridges.
Let us consider $$X(t)=\sum_{j=1}^m w_j(t)B_j(t),$$ where $w_j$ are positive weight functions.
Then what can we say about (distribution or may ...
CommunityBot
- 1
6
votes
1
answer
133
views
Coupling/Ordering of Brownian bridges
Suppose I have two 1D Brownian bridges $(B^{(1)}_t,t\in [0,1]),(B^{(2)}_t,t\in [0,1])$, one from $0$ to $0$ and one from $x$ to $y$ where $x,y \geq 0$. Is there a neat way to show that there exists a ...
3
votes
1
answer
289
views
Smoothness of expectation
Suppose that $X_t$ is a strong solution to the SDE,
$$dX_t = C_t \,dB_t$$ where $B_t$ is a standard Brownian motion and $C_t \ge 0$ is measurable with respect to the natural filtration generated by ...
CommunityBot
- 1
2
votes
0
answers
158
views
Conformally mapping between the upper half complex plane, and the plane with a tree on spatial points removed
A stochastic process such as SLE$_{\kappa}$ can be defined by taking the scaling limit of a curve in the upper half complex plane: put simply, one removes a line segment, then another, $n$ times, each ...
- 640
2
votes
0
answers
61
views
Characterisation of Bessel process
Let $\delta \in (0, 2)$; $(X_t)_{t \ge 0}$ a nonnegative continuous Markov process. Suppose that
For each $T \ge 0$, if we write $\tau \overset{\mathrm{def}}= \inf\{t \ge T : X_t = 0\}$, then $(X_{T +...
- 177
4
votes
0
answers
127
views
A "resampling identity" for the Bessel(3) process
I've come across the following resampling identity and was wondering if this is known since it seems rather natural. Take $X$ a two-sided Brownian motion conditioned to always stay below $1$. (So if ...
- 10.3k
7
votes
2
answers
307
views
PDE for the probability of Brownian motion staying in an area (reference request)
I am looking for a (preferably some monograph) reference on the following fact:
$$
u ( t, x ) = \mathbb{P} \{ x + B_s \in A \ \text{for all} \ s \leq t \}
$$
satisfies the heat equation
$$
\frac{\...
CommunityBot
- 1
1
vote
0
answers
133
views
A question about one Malliavin derivative calculation
Recently, I've asked here a question. While trying to find an answer on my own, I found an idea which I now will briefly describe below. I am not familiar enough with the Malliavin calculus, so my ...
- 620
1
vote
0
answers
99
views
Expectation of $B_u \operatorname{argmax}_t B_t$
This question is a repost from math.stackexchange. The question turned out to be harder than I initially thought, so I decided to try my luck here.
Yesterday I asked a question about the joint law of ...
- 620
3
votes
1
answer
314
views
Laplace transform of Brownian motion functional
Let $(B_r,r\geq 0)$ be a standard Brownian motion on $\mathbb{R}$ started at $0$. I am interested in the quantity
$$g(s,t) = \mathbb{E}_0\left[ \exp \left(- \beta \int_s^t \left\vert \frac{B_r}{r}\...
- 228
3
votes
1
answer
180
views
Are the paths of the Brownian motion contained in a suitable RKHS?
Let $H_B$ be the reproducing kernel Hilbert space (RKHS) of the Brownian Motion $(B_t)$ on $[0,1]$. It is well known that with probability 1 the paths of $(B_t)$ are not contained in $H_B$.
But is ...
- 8,992
2
votes
1
answer
291
views
Joint distribution for sticky Brownian motion
$\newcommand{\R}{\mathbb R}$The one-dimensional Sticky Brownian Motion (SBM in short) is an $\R$-valued Markov process given by
\begin{gather*}
dX_t=1_{[X_t\neq 0]}dB_t\\
L_t(X)=\int_0^t 1_{[X_s=0]}ds,...
CommunityBot
- 1
3
votes
2
answers
490
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 ...
- 10.3k
3
votes
0
answers
143
views
Stochastic braids
I am definitely not a probability guy, but I'd like to have a heuristic answer to the following question: do $n$ independently moving points in an open, connected, bounded region $R$ tend to "...
- 63.9k
4
votes
1
answer
143
views
Reflecting Brownian motion in disk
What is the transition density function of a reflecting Brownian motion in $\mathbb D \overset{\mathrm{def}}= \{z \in \mathbb C : \lvert z\rvert < 1\}$ and how to compute it?
The transition density ...
- 5,474
1
vote
0
answers
134
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 ...
0
votes
0
answers
95
views
Prove that $\forall x,y \in \mathbb{R}^d , P_x\{y\in B\mathopen]0,1]\}=0$
I'm folowing the proof of corollary 1.8 page 5 of Mörters - Sample path properties of Brownian motion.
I want to show that $$\forall x,y \in \mathbb{R}^d , P_x\{y\in B\mathopen]0,1]\}=0$$ where $B$ is ...
- 11
2
votes
0
answers
66
views
Joint tail for Brownian motion $P[B_{t_1}>g_1,...,B_{t_n}>g_n]$
Maybe not surprisingly there seems to be a lack of in-depth study of sharp estimates for the joint tail of Brownian motion over different times
$$P[B_{t_1}>g_1,...,B_{t_n}>g_n]$$
for strictly ...
- 63.9k
2
votes
1
answer
273
views
If $u$ is harmonic, $\exists \alpha,\beta \in \mathbb{R},\forall x\in \mathbb{R}^d,u(x) \leq \alpha |x|+\beta,$ then $u$ is affine
We consider a harmonic function $u:\mathbb{R}^d \to \mathbb{R}$ $(\Delta u=0).$ Suppose that $$\exists \alpha,\beta \in \mathbb{R},\forall x\in \mathbb{R}^d,u(x)\leq \alpha |x|+\beta.$$
Therefore $u-u(...
- 5,474
1
vote
1
answer
100
views
Characteristic exponent after Girsanov transformation
Let $B$ be a standard Brownian motion. Its characteristic exponent (or Fourier transform) is easily calculated to be
$$ \mathbb E [e^{ixB_t}] = e^{-\frac 12 x^2 t}. $$
Now I want to apply a Girsanov ...
- 1,904
1
vote
1
answer
2k
views
First hitting time for a drifted Brownian motion
While the solution for a first hitting time for a drifted Brownian Motion is well known, I want to post a different question.
Take a continuous-time stochastic process $X_t$ and define the the ...
7
votes
2
answers
613
views
Fractional Brownian motion of Riemann-Liouville type is not a semimartingale
Given a filtered probability space $(\Omega,\mathcal{F},\mathbb{F},\mathbb{P})$ satisfying the usual conditions, $B$ a standard one-dimensional Brownian motion and $H\in(0,1/2)$. Consider the process $...
- 128k
2
votes
0
answers
282
views
Identify two continuous martingales in law as time-changed Brownian motions
Let $W$ be a Brownian motion and $\alpha$ be a progressively measurable process taking values in $\mathbb R_+$. Set $\beta_t:=\max(\alpha_t, 1)$ for all $t\ge 0$. Define respectively $X$, $Y$ by
$$X_t:...
- 5,474
5
votes
3
answers
1k
views
"Practical" use of time-continuous stochastic processes like Wiener process or Poisson (point) process?
If one uses the Wiener process as an ingredient to model something, then for practical purposes one could just as well take a simple discrete random walk (with sufficiently fine scale).
If one uses a ...
- 128k
1
vote
1
answer
103
views
Brownian motion hitting open set starting from its boundary
Let $\{W(t),\,t \in [0,1]\}$ be a standard Brownian motion in $\mathbb{R}^d$, starting from $0$. Let $U$ be a non-empty open set such that $0 \in \partial U$.
Which conditions on $U$ are necessary and ...
- 5,474
8
votes
2
answers
422
views
Regularity of translations for Brownian motion
Let $B_t$ be the classic Brownian motion. I understand that, if $s>1/2$, almost surely $B_t$ is nowhere $s$-Hölder continuous i.e. almost surely for no point $x$ it happens that $B_t\in C^s(x)$.
...
- 5,474
0
votes
1
answer
163
views
Stability of SDE fBM
Consider an n-dimensional Ito process
$$
X_t^x = x + \int_0^t\, \alpha(s)ds + \int_0^t\,\beta(s)\,dB^H(s),
$$
where $1/3<H<1$ is the Hurst parameter for an $n$-dimensional fractional Brownian ...
- 5,474
2
votes
1
answer
294
views
What is the quadratic variation of $W(B(t))$?
Let $W$ be a two sided real valued Brownian motion. Let $B$ be a one sided Brownian motion independent of $W$. Consider the process $X(t)=W(B(t))$. Is the quadratic variation finite and if it is, what ...
- 63.9k
2
votes
2
answers
131
views
Density of $W_t$ assuming it stayed above a line $L$
Let $W_t$ be a Wiener process with $W_0=0$, and let $L=\{at+by=c\}$ be a line with $c/b<0$ (i.e. the line crosses the $Y$-axis below $0$).
Assume that $W_t$ stayed above $L$ up to time $T$. What is ...
- 128k
3
votes
1
answer
655
views
Forgery theorem: the Brownian motion stays close to any curve with positive probability
In a paper I am reading the authors claim that, if $B$ is a standard BM in $\mathbb{R}$ and $f\in C([0,1],\mathbb{R})$, then for any $\epsilon>0$
$$
\mathbb{P}(\sup_{t\in [0,1]}|B_t-f(t)|<\...
- 14.2k
2
votes
1
answer
2k
views
Alternate proof of Levy’s characterisation of Brownian motion
Levy’s characterisation theorem for Brownian motion states that for a local martingale $X$ with $X_0 = 0$, $X$ is a Brownian motion if and only if it has quadratic variation $\langle X, X \rangle_t = ...
- 8,992
1
vote
1
answer
739
views
Joint law of a standard Brownian motion and its local time at a nonzero level
Let $B_t$ be the standard Brownian motion and $L_t^a$ be the local time at level $a$. It is known that the joint-density of $(L_t^0,B_t)$ is
$$
P\left(B_t\in d y, L_t^0\in d v\right) = \frac{|y|+v}{\...
CommunityBot
- 1
4
votes
2
answers
456
views
Converse of Itô's formula
Let $f,h,g$ be continuous functions and $B$ a real Brownian motion. We suppose that a.s. $$\forall u \in \mathbb{R}_+,f(B_u)=f(B_0)+\int_0^ug(B_r)dB_r+\frac{1}{2}\int_0^uh(B_r)dr.$$
Prove that $f$ is ...
- 6,215
1
vote
1
answer
215
views
Bernoulli trials with small dependencies: asymptotics (central limit theorem, law of the iterated logarithm)
Let $\{X_k\}$ be a sequence of random variables, with $X_k\in\{+1, -1\}$ for $k>0$, generated as follows.
First, define $S_n=X_1+\dots +X_n$, with $X_0=S_0=0$, and let $0<\beta<\frac{1}{2}$.
...
- 3,098
0
votes
1
answer
211
views
Step in proof of Itô formula
I am reading a book on stochastic processes. The author proved Itô formula for $f(t,w(t))$ where $w(t)$ is brownian motion with filtration $F_t$. Then he wants to prove Itô formula for $x(t)=a(t)+b(t)...
- 63.9k
2
votes
1
answer
182
views
Mean of log-normal variable when exponent is replaced by runnung maximum of Ito-integral
Let $W=\{W_t\}_{t\in[0;1]}$ be a real-valued Brownian motion, $\{F_t\}_{t\in [0;1]}$ the filtration generated by $W$, augmented with the nullsets. Let $\{\sigma_t\}_{t\in[0;1]}$ be a continuous and ...
- 7,514
1
vote
1
answer
139
views
Characterization of Brownian motion: processes with right-continuous paths
I am looking for a reference with a proof for the following fact:
If a right-continuous martingale $(X_r)_{ r \geq 0}$ is such that $X_0=0,(X^2_r-r)_r,(X_r^3-3rX_r)_r,(X_r^4-6rX_r^2+3r^2)_r$ are ...
- 573
5
votes
2
answers
688
views
Endpoint of Brownian motion conditional on high maxima
Note: This question is closely related to an earlier question: A large noise limit.
Let $W$ be a standard one dimensional Brownian motion.
For every $\varepsilon > 0$, let $A_\varepsilon$ denote ...
- 6,215
2
votes
1
answer
264
views
Chung's law of the iterated logarithm for Brownian motion
I am looking for a reference that gives a detailed proof of Chung's law of the iterated logarithm for Brownian motion: $$\liminf_{u\to +\infty}\sqrt{\frac{\ln(\ln(u))}{u}}\sup_{r \in [0,u]}|X_r|=\frac{...
- 188k
5
votes
1
answer
284
views
Malliavin derivative of stopped Brownian motion
Cross-posted from: "https://math.stackexchange.com/questions/3917971/malliavin-derivative-of-stopped-brownian-motion"
I have a small question concerning the Malliavin derivatives. It could ...
- 5,474
1
vote
1
answer
118
views
For some $\alpha>0$, $ e^L=P\left(\exp(\alpha\sup_{|s-t|\le\delta}\frac{|B_s-B_t|^2}{|s-t|})<\infty\right) $?
I am reading one lecture note Dynamics for Spherical Models of Spin-Glass and Aging by Alice Guionnet. On page 124, it says that
for some $\alpha>0$,
$$
e^L=P\left(\exp(\alpha\sup_{|s-t|\le\delta}\...
- 7,514
6
votes
0
answers
292
views
Running maximum/supremum of Brownian motion: add information to make it a Markov process?
Let $B_t$ be standard Brownian motion, and let $M_t = \sup_{0 \leq s \leq t} B_s$ be its running maximum. $M_t$ is not a Markov process, but we can augment it with additional information to make it ...
- 398
1
vote
0
answers
100
views
Ito formula for fractional BM + drift and supremum bound
Let $W^H$ be a fBm with Hurst parameter $H$ and let $\mathcal{H}$ be its Cameron-Martin space. Then by Girsanov theorem we know that if $\mathbb{P}$ is an fBm measure, it holds that there exists a ...
CommunityBot
- 1
8
votes
2
answers
1k
views
The Wiener measure of an open set
There is so much written about the Brownian motion and I suspect the answers to the questions below are hidden in somewhere in the literature but I cannot find them
Denote by $E$ the Banach space ...
- 14.2k
6
votes
1
answer
579
views
Is this a Brownian motion?
I am building a 2D stochastic process as follows. I start with a point $P_0=(0,0)$. Then $P_k=(X_k,Y_k)$ is defined as follows, for $k>0$:
\begin{align}
X_k & =X_{k-1}+R_k \cos(2\pi\theta_k) \\
...
- 52.3k
1
vote
1
answer
1k
views
The joint distribution of the min and max of a Brownian [closed]
The joint distributions of the brownian and both the minimum and the maximum respectively are known. What could be said about the joint distribution of the maximum and the minimum of a Brownian ...
- 63.9k
2
votes
1
answer
150
views
Existence of a process on $\mathbb{R}^2$ that looks like two 'independent' brownian bridges $B_1(x)$ and $B_2(x)$ conditioned on $B_1(x)+B_2(x) > 0$
Consider any probability density function $f(x)$ that has mean zero variance one and say all finite moments. You may assume standard normal density if you like.
Given $a_1,a_2>0$, I consider two ...
- 471
0
votes
1
answer
74
views
$\lim_{r \to +\infty}\frac{1}{\sqrt{2r \ln(\ln(r))}}(B_r-B_{\left \lfloor{\sqrt{2r \ln(\ln(r))}}\right \rfloor})= 0$ a.s.?
Consider a Brownian motion $B$ and let $f(r)=\sqrt{2r \ln(\ln(r))}.$
Is it true that $\lim_{r \to +\infty}\frac{1}{f(r)}(B_r-B_{\left \lfloor{f(r)}\right \rfloor})= 0$ a.s. ?
If so, how to prove it? ...
- 1,172
1
vote
2
answers
88
views
Lower-bound on zero-crossing probability of the nonstationary gaussian process $X(t) = tU+(1-t^2)^{1/2}V$, with $(U,V) \sim N(0,I_2)$
Let $(X(t))_{t \in [-1,1]}$ be a centered non-stationary smooth gaussian process with covariation function $\rho(t,s) = \mathbb E[X(t)X(s)]$. For $t_0 \in (-1,1)$ and $\epsilon \in (-1-t_0,1-t_0)$, ...
- 6,853
0
votes
1
answer
279
views
Expected properties for a PDE whose solution is supposed to be something that doesn't exist
My understanding of Lecture #33, 34: The Characteristic Function for a Diffusion:
As an alternative to directly computing the characteristic function of a random variable $X_t$ in a stochastic ...
- 247