All Questions
Tagged with stochastic-processes differential-equations
7 questions with no upvoted or accepted answers
4
votes
0
answers
466
views
Lorenz attractor power spectrum
If considered Lorenz attractor (with classical parameters $\sigma = 10, b = \frac{8}{3},r>25$), it is often noted, that while the spectral density (Fourier transformation of corresponding ...
- 41
2
votes
0
answers
74
views
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 $t$ ...
- 205
2
votes
0
answers
169
views
Stochastic Approximation in Reproducing Kernel Hilbert Space
Consider an iterative algorithm with incremental updates
\begin{align}
x_{t+1} = x_t + \alpha_t \cdot [ h(x_t) + M_{t+1}],
\end{align}
where $\{x_t \}_{t \geq 0}$ is in a reproducing kernel Hilbert ...
- 1,127
2
votes
0
answers
82
views
Stochastic Approximation Algorithms Converging to Local Equilibriums
Consider the stochastic iterative updates
\begin{align}
\theta_{t+1} \leftarrow \theta_t + \alpha_t \cdot \left [ h(\theta_t) + M_t \right ],
\end{align}
where $\theta_t \in \mathrm{R}^d$, $h \colon ...
- 1,127
2
votes
0
answers
260
views
Adiabatic elimination of a variable in a system of nonlinear stochastic ODEs?
If this is too basic for MathOverflow... say the word and I shall move it to Math.SE
First consider this system of ODEs. Say I have two variables $u$ and $a$, following
$$
\dot u = -u + f(a)
$$
$$
\...
- 155
1
vote
0
answers
159
views
Solutions to ODE/SDE with singular coefficients $dX_t = -X_t/t \, dt + g\,dW_t$
I encountered a question regarding the solutions to SDEs with singular drifts. I searched the literature but had a hard time figuring out the intuition behind these analytic results assuming different ...
- 73
1
vote
0
answers
75
views
Existence of solutions to $\alpha(s)=\mathbb P[Y_s>0] + \int_0^s \dot{\alpha}(t)\mathbb P[Y^{t,0}_s>0] dt$
Let $\alpha:\mathbb R_+\to\mathbb R_+$ be a "nice" function with $\alpha(0)=1$. Define the process
$$Y_t=Y_0+t+\int_0^t\frac{dW_u}{1+\alpha(u)},\quad \forall t\ge 0,$$
where $Y_0>0$ has a ...
- 1,334