All Questions
Tagged with stochastic-processes fa.functional-analysis
157 questions
2
votes
0
answers
173
views
Weak convergence of $\mathcal{L}^2$ valued random variables
Consider two continuous functions $f,g: \mathbb{R}^{2} \rightarrow \mathbb{R}$ with $f(x,\cdot), g(x,\cdot) \in \mathcal{L}^2(\mathbb{R},\mathcal{B},\lambda)$ for all $x \in \mathbb{R}$ and a sequence ...
- 83
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
169
views
How can we show that a $Q$-Wiener process on a Hilbert space $U$ takes values in $Q^{1/2}U$?
Let
$(\Omega,\mathcal A,\operatorname P)$ be a complete probability space
$(\mathcal F_t)_{t\ge0}$ be a complete and right-continuous filtration on $(\Omega,\mathcal A)$
$U$ be an infinite-...
- 167
2
votes
0
answers
86
views
I have an embedding $\iota$ between two Hilbert spaces and want to know if $\iota\iota^\ast$ is something simple like an orthogonal projection
I'm reading A Concise Course on Stochastic Partial Differential Equations. In Proposition 2.5.2 the authors define the notion of a cylindrical $Q$-Wiener process $W$. It turns out that $W$ is just a $...
user74319
2
votes
0
answers
149
views
Question about continuity in the "complete Skorohod Topology"?
I am reading the book in progress of Timo Seppäläinen about the "Translation Invariant Exclusion Process"
https://www.math.wisc.edu/~seppalai/excl-book/ajo.pdf
In one of the exercises, exercise 8.9 ...
2
votes
0
answers
166
views
Must rows of a transition matrix be distinct?
Is it true that for all continuous time Markov processes on a countable state space $S$, we have
all rows of the transition matrix $\mathbf{P}_t$ are distinct for all time $t\in[0,\infty)$ ?
This ...
- 165
2
votes
0
answers
619
views
Laplace transform of a integral function of CIR/CEV process
The Cox–Ingersoll–Ross model (or CIR model) describes the evolution of interest rates. Constant elasticity of variance model (CEV) is a stochastic volatility model, which attempts to capture ...
- 323
2
votes
0
answers
116
views
Factorization of the Fokker-Planck semigroup
I have posted this question on stackexchange over four month ago, but didn't get an answer: "In the classical theory of Markov processes, the Fokker-Planck semigroup $\{T_t:t\ge 0\}$ can be factored ...
2
votes
0
answers
188
views
Equivalence of two non-degenerate Gaussian measures on Banach space
The motivation of this question is to show that two probabilities on
$C_{0}^{n}(0,1)$ (the space of continuous $\mathbb R^{n}$ valued process
on $[0,1]$ starting from zero) induced by two non-...
- 1,399
2
votes
0
answers
187
views
Speed of Approach to Invariant Measure
Let $X_t$ represent a continuous-time Markov process on $\mathbb{R}^d$, say a diffusion with locally Lipschitz coefficients. Suppose that there exists a unique invariant measure $\mu$ on the space, ...
- 153
1
vote
1
answer
342
views
Concentration inequality for the supremum of $L_2$ norm of a vector-valued Gaussian process with iid components
Let $\Omega$ be a compact subset of $\mathbb R^p$ and let $f_1,\ldots,f_k$ be zero mean identically distrubuted Gaussian processes on $\Omega$ such that $f_1(x),\ldots,f_k(x)$ are independent $x \in \...
- 6,853
1
vote
2
answers
228
views
Is a linear combination of Markov generator a Markov generator?
Let $X$ be a compact metric set and $\mathcal{C}(X)$ be the set on continuous real functions over $X$ endowed with the supremum norm $\|\cdot\|_{\infty}$. Let $\Omega_1$ and $\Omega_2$ be two Markov ...
- 449
1
vote
1
answer
223
views
Stochastic integral is a continous or closed operator?
The Setup
Let $\xi_t$ be a process adapted to the filtration $\mathfrak{F_t}$ of the semi-martinagale $X_t$, such that both are square integrable. Then is the map
\begin{align}
F_T: L^2(\mathfrak{...
- 5,405
1
vote
1
answer
178
views
Tail bound on the RKHS norm of a zero-mean Gaussian process
Let $f \sim \mathcal{GP}(0, K)$ be a zero-mean Gaussian process defined on a compact set $\mathcal{D} \subset \mathbb{R}^d$, where $K \colon \mathcal{D} \times \mathcal{D} \rightarrow \mathbb{R} $ is ...
- 1,127
1
vote
1
answer
82
views
Local inverse bound of Cameron Martin and Banach norms
Let $X$ be a Banach space with a centered Gaussian measure $\mu_0$. Let $E$ be the Cameron-Martin space of $X$. Let the respective norms be $\|\cdot \|_X$ and $\|\cdot \|_E$. It is well known (see ...
- 133
1
vote
1
answer
175
views
Stochastic operator on $\ell^1$ has dense range
Let $P:\ell^1(\mathbb{Z}^d) \rightarrow \ell^1(\mathbb{Z}^d)$
be given by
$$(Pz)(x)=\sum_{y \tilde \ x} \frac{1}{2d} z(y)$$
where the tilde indicates that $y$ is a neighboured vertex of $x.$
I ...
- 329
1
vote
1
answer
191
views
concentration of random field to its expectation function
Question
Given a random field $X(t)$ where the parameter space $T\subset\mathbb{R}_N$. Is there result regarding the concentration of the random field? For example
$\mathbb{P}\{\|X(t)-\mathbb{E}\{X(t)\...
- 405
1
vote
1
answer
113
views
Distinction between $\mathcal{C}\left([0,T],\mathcal{P}(\mathcal{X})\right)$ and $\mathcal{P}\left(\mathcal{C}\left([0,T],\mathcal{X}\right)\right)$
Suppose that $\{X^i_t\}_{1\leq i\leq n;\,t\in [0,T]}$ is an interacting particle system prescribed by certain SDEs, with each $X^i \in \mathcal{X}$ (the state space). Define the associated empirical ...
- 730
1
vote
1
answer
107
views
Convergence of discretized process when its predictable part converges to infinite variation process
This question seems to be related to Theorem IX.7.28 in J. Jacod and A. Shiryaev's Limit theorems for stochastic processes (2013), and it is very important to prove asymptotic properties of my ...
- 284
1
vote
1
answer
164
views
Hilbert-Space Values SDE in terms of Basis
Suppose:
$$
dX_t = a(t,X_t)dt + b(t,X_t)dW^H_t
$$
is an SDE with values in a separable Hilbert Space $H$, and $W^H_t$ is an $H$-valued cylindrical Wiener process. Then can we write the dynamics for $...
- 5,405
1
vote
1
answer
75
views
A diagonalisation argument applied to density functions
There is a claim from a paper which I do not understand:
Let $D$ be a domain in $\mathbb{R}^d$. Let $(p^{\eta})_{\eta >0}$ be a family of densities for random variables on $(C[0,T], \mathbb{R}^d)...
- 357
1
vote
1
answer
294
views
A problem about the quotient space of an extended Dirichlet space
Let $(\mathscr{E},\mathscr{F})$ be a recurrent Dirichlet form on $L^2(X;m)$ and $\mathscr{F}_e$ the corresponding extended Dirichlet space, then $1\in\mathscr{F}_e$ and $\mathscr{E}(1,1)=0$. Let ${\...
- 369
1
vote
1
answer
720
views
Question about uniform continuity under Skorokhod Metric
Let $D=D([0,1], \mathbb{R})$ be the space of cadlag functions $x$ with $x(0)=0$ and $x$ is continuous on $1$. If we endow $D$ with Skorokhod Metric, see:
http://en.wikipedia.org/wiki/C%C3%A0dl%C3%A0g ...
- 1,835
1
vote
0
answers
70
views
On calculating the second quantization operator $\Gamma(A)$ of the Ornstein-Uhlenbeck operator $A$
Let $A$ be a self-adjoint operator on a Hilbert space , and let $d\Gamma(A)$ be the generator of the second quantization of $A$. Consider the following theorem from Segal's "Non-Linear Quantum ...
- 90
1
vote
0
answers
177
views
A question on Gaussian small ball probability
Consider the random variable $$ G = \sum_{j=1}^{\infty} \lambda_j Z_j^2 $$
where $Z_j \sim_{\substack{i.i.d}} N(0,1)$ and $\lambda_j$ some non increasing sequence of positive numbers with $\sum_{j=1}^{...
- 119
1
vote
0
answers
82
views
On a core for Neumann Laplacians
Let $D \subset \mathbb{R}^d$ be a bounded smooth domain. We consider the Neumann semigroup $\{T_t\}_{t>0}$ on $C(\overline{D})$. In other words, $\{T_t\}_{t>0}$ is the semigroup of the normally ...
- 721
1
vote
0
answers
306
views
Gaussian measures on infinite dimensional spaces
On Zabczyk & Da Prato book about infinite dimensional SDEs they introduce the idea of Gaussian measures in infinite dimensional Banach spaces. They do so by means of Fernique theorem.
In the ...
- 515
1
vote
0
answers
169
views
A question about Stroock's notes on the Weyl lemma
On p.4 of these notes, D. Stroock gives a quick and efficient construction of the Markov transition functions of a certain diffusion. The idea of his construction (on page 4) is to 'freeze' the ...
- 1,461
1
vote
0
answers
67
views
Angle between Fleming-Viot type 3-particle system
Consider $(X^1,X^2,X^3)\in (0,\infty)^3$ with each particle starting at $1$ and moving independently according to Brownian motion until random time $\tau_1:=\min \lbrace t>0: X_{t-}^1\wedge X_{t-}^...
- 284
1
vote
0
answers
127
views
Gradient bound for the Markov semigroup generated by the solution to an Langevin SDE
Let
$h\in C^2(\mathbb R)$ with $$h''\ge\rho\tag1$$ for some $\rho>0$ and $$\int\underbrace{e^{-h}}_{=:\:\varrho}\:{\rm d}\lambda=1$$
$\mu$ be the measure with density $\varrho$ with respect to the ...
- 167
1
vote
0
answers
134
views
Operator-valued stochastic integral and quadratic variation for operator-valued processes
Let $U$ be a separable $\mathbb R$-Hilbert space and $W$ be a $Q$-Wiener process on a complete and right-continuous filtered probability space. Let $H$ be a separable $\mathbb R$-Hilbert space and $X$ ...
- 167
1
vote
0
answers
235
views
Associative law of the stochastic integral in Hilbert spaces
Let
$(\Omega,\mathcal A,\operatorname P)$ be a complete probability space
$T>0$
$I:=(0,T]$
$(\mathcal F_t)_{t\in\overline I}$ be a complete and right-continuous filtration on $(\Omega,\mathcal A)$
...
- 167
1
vote
0
answers
100
views
Convergence and boundedness in $L^\infty([0,T]\times \Omega)$ of Karhunen-Loeve expansion
Let $X:[0,T]\times\Omega\rightarrow\mathbb{R}$ be a stochastic process in $L^2([0,T]\times\Omega)$. Consider the Karhunen-Loeve expansion of $X$:
$$ X(t,\omega)=\mu_X(t)+\sum_{n=1}^\infty \sqrt{\nu_n}\...
- 141
1
vote
0
answers
159
views
Construction of the quadratic variation process in infinite dimensions
Let
$H$ be a separable $\mathbb R$-Hilbert space
$(e_n)_{n\in\mathbb N}$ be an orthonormal basis of $H$
$(\Omega,\mathcal A,\operatorname P)$ be a probability space
$(\mathcal F_t)_{t\ge0}$ be a ...
- 167
1
vote
0
answers
114
views
Outer product $\sum_i |k_{x_{i}}(\cdot)\rangle\langle k_{x_{i}}(\cdot)|$ of reproducing kernel functions as identity operator in RKHS?
In a separable Hilbert space $\mathcal{H}$, given a complete orthonormal basis $\{|e_i\rangle\}$, the identity operator can be written as $\mathbb{1} = \sum_i |e_i\rangle\langle e_i|$. Now if this ...
- 11
1
vote
0
answers
87
views
Linear evolution equation $u'(t)=A(t,\omega)u(t)$ with time-dependent random operator
I have had some previous knowledge on evolution equations in a Banach space of the form $$u'(t)=Au(t),$$ where $A$ generates some strongly continuous operator semigroup. Now I am looking at a problem ...
- 151
1
vote
0
answers
135
views
infinite dimensional funtional ito calculus
I've been reading into functional Ito calculus and everything I've come across deals with processes generated by finite dimensional semimartingales. In Dupire's 2009 landmark paper he speaks about ...
- 5,405
1
vote
0
answers
334
views
A problem on Markov chains and Dirichlet forms
Let $X$ be a countable set. Let $c:X\times X\to[0,+\infty)$ satisfy
$$c(x,y)=c(y,x)\text{ for all }x,y\in X,$$
$$m(x)=\sum_{y\in X}c(x,y)\in (0,+\infty)\text{ for all }x\in X,$$
$$c(x,x)=0\text{ for ...
- 369
1
vote
0
answers
178
views
Density of subspace with nonlocal/Wentzell boundary condition
Given the space $F$ defined by:
$$F=\left\{f\in C^2(\mathbb{R}_+^2;\mathbb{R}):f(x,0)=\int_\mathbb{R} f(z,x)g(z)dz, x>0\right\},$$
I want to prove that the subspace $E$ of $F$ defined by $E=\...
- 111
1
vote
0
answers
90
views
Da Prato's notion of Symmetric Operator
For anyone who's familiar with G. Da Prato's books on infinite dimensional analysis, I was wondering if someone could clarify something. In, for instance, "An Introduction to Infinite Dimensional ...
- 379
1
vote
0
answers
417
views
Defining density of a random function using Radon-Nikodym Theorem
Let $(\Omega,\mathbb{F},P)$ be a probability space and $E$ be an infinite dimensional Banach space and $\mathbb{B}$ be the $\sigma$-algebra of Borel subset of $E$.
Let $X$ be random function defined ...
- 213
1
vote
1
answer
173
views
Spectral gap of a Markov chain on the nonnegative integers
Let $\lambda_k,\mu_k\in\mathbb R_{\ge0}$ $(k\ge1)$ be nonnegative real numbers such that $\sum_{k=1}^\infty k\lambda_k<\infty,$ let $S=\mathbb Z_{\ge0}$ be the nonnegative integers, let $T=\mathbb ...
- 276
0
votes
1
answer
461
views
Infinite-dimensional Gaussian measure vs finite-dimensional Wiener measure
I'm trying to figure out the connections between two contructions of Gaussian measure.
Let $(U, \langle\cdot,\cdot\rangle_U)$ be a seprable Hilbert space, and $\mathcal{B}(U)$ be the Borel sigma-...
- 227
0
votes
1
answer
123
views
"Geometric" Decomposition of Wiener Space
Let $C_0([0,1];\mathbb{R}^d)$ be the classical Wiener space (of continuous paths with initial value $0$) and let $\nu$ be the Wiener measure on this space. Does there exist a countable family $\left\{...
- 5,405
0
votes
0
answers
81
views
Measurable Extension
Let $(\Omega, \mathcal{F})$ be a measurable space and $X$ some metric space (probably Polish) with the Borel $\sigma$-algebra and a function $f: \Omega \times X \to \mathbb{R}$. Usually, functions ...
- 136
0
votes
0
answers
78
views
Different measurability of Hilbert-space valued random variable
My question is motivated by this link.
Let $(\Omega,\mathcal{F})$ and $(Y,\mathcal{B})$ be measurable spaces, a measurable map $T:\Omega\to Y$ is called a $Y$-valued random variable.
Now let $H$ be a ...
- 503
0
votes
0
answers
176
views
A convergence question in $L^2$ construction of Brownian motion
I feel confused with a particular step in the $L^2$ consturction of Brownian motion.
Let $\{\xi_n \sim N(0,1)\}_{n\geq 1}$ be a sequence of i.i.d Gaussian random variables on some probability space $(\...
- 227
0
votes
0
answers
46
views
Independence of variables predicted by the generator
Let $X$ be en compact metric set, and denote by $\mathcal{C}(X)$ the set of real continuous functions defined on $X$, endowed with the supremum norm $\|\cdot\|_{\infty}$. Let $\Omega$ be the generator ...
- 449
0
votes
0
answers
107
views
Norm equivalences for Gaussian random functions (Cameron-Martin space)
Preliminaries
Consider the Hilbert space $H :={L^2_{\text{per}}(\mathbb{R})}$ of Gaussian random functions, $2\pi$-periodic in $\mathbb{R}$.
These random functions are drawn from a Gaussian measure $\...
- 101
0
votes
0
answers
145
views
“Chapman-Kolmogorov”-convolution vs. smoothness
Let $K:\mathbb{R}^n \times \mathbb{R}^n \to \mathbb{R}$ be a so-called "integral-kernel": we certainly require $K(x,.)$ and $K(.,y)$ to be Lebesgue measurable for almost all $x,y \in \mathbb{R}^n$. An ...
- 1,461