All Questions
Tagged with stochastic-processes fa.functional-analysis
73 questions with no upvoted or accepted answers
7
votes
0
answers
151
views
Stochastic analysis on nuclear Fréchet spaces
This is a reference request question, so to make it clear what I am after, I will give a quick outline of the area I am thinking in and some questions that arise.
A lot of the time in infinite-...
- 439
7
votes
0
answers
304
views
Derivation of a stochastic Navier-Stokes equation under the assumption of perturbed particle trajectories
Let
$d\in\left\{2,3\right\}$
$\mathcal V_t\subseteq\mathbb R^d$ be the bounded domain occupied by an incompressible Newtonian fluid at time $t\ge 0$
$\Phi_t:\mathcal V_0\to\mathcal V_t$ such that $\...
- 167
6
votes
0
answers
774
views
Relationship between the Itō formula for a Q-Wiener process and the Itō formula for a cylindrical Wiener process. A question on the trace term
Remark: Even when this question is about stochastic PDEs, it can be answered by someone who has no knowledge about probability theory or PDEs.
I'm reading Stochastic Differential Equations in ...
- 167
5
votes
1
answer
774
views
Question/References on the Skorokhod M1 topology
Let $D(0,T)$ be the space of right continuous functions with left limits defined on $[0,T]$. Consider the Skorokhod M1 topology on $D(0,T)$, see e.g. S. Ledger, Skorokhod’s M1 topology for ...
user128095
5
votes
0
answers
242
views
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 $L=\Delta +X$. ...
- 3,669
5
votes
0
answers
216
views
Existence or construction of a sequence of orthogonal matrices with three properties
This is a problem that I encountered during my research, and I have spent a good amount of time on it without success. So I am reaching out for help ....
Any pointers or suggestions are appreicated!
...
- 984
5
votes
0
answers
178
views
Support of a Measure with Characteristic Functional Continuous in $L_p$, $1\leq p <2$?
Let $\mathcal{S}(\mathbb{R})$ be the space of smooth and rapidly decaying functions and $\mathcal{S}'(\mathbb{R})$ its dual, the space of tempered distributions. Let $\mathscr{P}$ be a probability ...
- 2,306
4
votes
0
answers
330
views
Book recommendation in functional analysis and probability
I am interested by functional analysis and probability. I would like to know if you have any books that deal with these two subjects (at a graduate level) to recommend?
I'm looking for a book that has ...
4
votes
0
answers
146
views
Poisson summation formula for infinite dimensional spaces
Let $M$ be an orientable, compact smooth manifold with a metric $g$ and $H^{-1}(M)$ be the dual space of $$H^{1}(M)=\{f:\int |f|^2+(\nabla f)^2 d\mu<\infty\}$$
I know it is well known that (see ...
- 6,249
4
votes
0
answers
322
views
Compactness of semigroups of one-dimensional diffusions
I have a question about semigroups of one-dimensional diffusions.
Let $X$ be the Ornstein-Uhlenbeck process on $\mathbb{R}$. The generator is expresses as
$$\frac{d^2}{dx^2}-x\frac{d}{dx}.$$
It is ...
- 721
4
votes
0
answers
414
views
Definition of the Stratonovich integral in Hilbert spaces
Let
$T>0$
$(\Omega,\mathcal A,\operatorname P)$ be a probability space
$\mathcal F=(\mathcal F_t)_{t\in[0,\:T]}$ be a filtration on $(\Omega,\mathcal A,\operatorname P)$
$B$ be a (standard, real-...
- 167
4
votes
0
answers
464
views
Convergence in distribution of random measures
Let $M$ denote the space of real Radon measures on $\mathbb{R}$ as the topological dual of $C_c(\mathbb{R})$ equipped with the inductive limit topology (for possibly unbounded Radon measures) or ...
- 1,773
4
votes
0
answers
282
views
Markov operators and existence of ergodic measures
My question refers to the yesterday's question (see here)
of John Learner and goes as follows:
Can we deduce the existence of an ergodic measure if we know that an invariant measure exists, but the ...
- 141
4
votes
0
answers
109
views
How fast is discrete-time diffusion on a continuous set?
This question is inspired by Joseph O'Rourke's beautiful answer to my previous question.
Let $\mathbb{S}^{d\times n}$ denote the set of real $d\times n$ matrices whose columns have unit norm and sum ...
- 7,633
4
votes
0
answers
1k
views
The spectrum of a Markov Operator and Invariant Measures
Suppose I have a discrete-time Markov Chain (in an infinite dimensional state space $\Omega$) with Markov operator $P$, a linear operator on the space of bounded measurable functions on $\Omega$. (Or ...
- 509
3
votes
0
answers
98
views
Algebra core for generator of Dirichlet form
This is a question about the existence of a core $C$ for the generator $A$ of a regular Dirichlet form $\mathcal{E}$ having a carré du champ $\Gamma$, so that $C$ is an algebra with respect to ...
- 143
3
votes
0
answers
90
views
How does one define the gradient of a Markov semigroup?
In the context of functional inequalities for Markov semigroups $(\mathcal P_t)_{t\ge0}$, what is one denoting by $\nabla\mathcal P_tf$? For example, I've found the following assumption in this paper:
...
- 167
3
votes
0
answers
148
views
Markov semigroups and resolvents, difference of continuity
Let $(E,d)$ be a locally compact separable metric space. We have a Markov process $X=(\{X_t\}_{t \ge 0},\{P_x\}_{x \in E})$ on $E$. For bounded measurable function $f$ on $E$, we define
\begin{align*}
...
- 721
3
votes
0
answers
569
views
Domain of the Generator of a Bessel process
Consider the Bessel Process of index $\nu\in (-1,0)$, or dimension $\delta=2\nu-1$
\begin{align}
\rho_{t}=x+\frac{\delta-1}{2}\int_{0}^{t}\frac{1}{\rho_{s}}\,ds+W_{t}
\end{align}
where $(W_{t})_{t\geq ...
3
votes
0
answers
231
views
I've found a representation of the Itō-Stratonovich correction term and don't understand the used notion of a "trace"
Consider a Stratonovich SPDE $$X_t=X_0+\int_0^tb(s,X_s)\:{\rm d}s+\int_0^t\sigma(s,X_s)\circ{\rm d}W_s\tag 1$$ in a separable $\mathbb R$-Hilbert space $H$ with $W$ being a $Q$-Wiener process on a ...
- 167
3
votes
0
answers
78
views
Perscribed/Inverting Conditional Expectation
I'm having difficulty finding papers which deal with the following inversion problem.
Suppose I have a stochastic process $Y_t$ (which is described by a certain Hilbert-Space-valued SDE). I want to ...
- 5,405
3
votes
0
answers
113
views
Stationarity of Brownian motion with drift
Suppose the following SDE for $X_t$ is well-posed:
$$dX_t = \sqrt{2}\, dB_t - \nabla\Phi(X_t)\,dt.$$
For what $\Phi\in C^1(R^d)$ will $X$ have stationary distribution $u_{\infty}$? For what $\Phi$ ...
- 165
3
votes
0
answers
134
views
The distribution of maximum of fraction Brownian motion over finite time interval
Suppose that $\{B_t^H,\ t\geq 0\}$ is a fractional Brownian motion with Hurst exponent $H$, I wonder if there are explicit expressions for the joint distribution of
$(\sup_{0\leq t\leq T}B_t^H,B_T^H)$...
- 71
2
votes
0
answers
60
views
Semigroup property in SPDEs
In fact, we know that a bounded linear operators on a Banach space $X$ satisfies the semigroup property, i.e. $$S(t+s)=S(t)S(s), \text{for every}\ t,s\geq 0.$$
However, in various literatures, I ...
- 57
2
votes
0
answers
137
views
Holder-Besov space and time continuity
Let $\mathbb{T}^d$ be the $d$-dimensional torus, $\mathscr{S}:=C^\infty(\mathbb{T}^d)$ the Schwartz space, $\mathscr{S}'$ the space of tempered distributions.
We consider a dyadic partition of unity $(...
- 573
2
votes
0
answers
74
views
References for a class of Banach space-valued Gaussian processes
Let $E$ be a separable Banach space, consider a centered $E$-valued Gaussian process $\{x_t,t\ge 0\}$ that satisfies
\begin{equation}
\mathbb{E}\phi(x_s)\psi(x_t)=R(s,t)K(\phi,\psi),\quad \phi,\psi\in ...
- 121
2
votes
0
answers
193
views
If the operators $B_i'$ satisfy an inequality, prove that $B_1'+\dotsb+ B_n'$ also satisfies the same inequality
Related: On a deceptively tricky calculus problem.
The way that Leonard Gross proves the log Sobolev inequality is in the following stages:
He proves that for any operator $B$ that satisfies the log ...
- 90
2
votes
0
answers
103
views
Find a function $f\geq 0$ such that $e^{-t[(x-\partial_x)\partial_x]^2} f$ is not non-negative for some $t\geq 0$
Consider the square of the Ornstein-Uhlenbeck operator $$A=[(x-\partial_x)\partial_x]^2=(x-\partial_x)\partial_x (x-\partial_x)\partial_x.$$ We know that $[(x-\partial_x)\partial_x]^2$ cannot be a ...
- 90
2
votes
0
answers
62
views
Continuous-time Wold decomposition
I'm looking for a reference for the Wold–Zasukhin decomposition in continuous time for stationary random processes on the real line.
I am aware of the classic result in the book from Rozanov, which ...
- 21
2
votes
0
answers
112
views
Is there a way to detect instantaneous states of a Feller Process from its infinitesimal generator?
I’m working with generators of Feller processes. If $C(E)$ is the space of continuous functions over $E$; with $E$ a compact metric space, I proved that an operator $G$ over $C(E)$ is the ...
2
votes
0
answers
176
views
Uniqueness for measure valued ode
Morning! Basically I'm working on a mean field scaling for some measure valued process (valued on $M_F(\mathbb{N})$). The limit turns up as a (deterministic) solution to a measure valued ODE. Let's ...
2
votes
0
answers
172
views
Non-integer conditional moment of exponential functional of Brownian motion
Let $B_t$ be a standard Brownian motion.
I want to solve the following:
$$
\mathbb{E}\left[\left(\int_0^1 e^{\sigma B_t}dt \right)^{1/(1-\beta) }\mid e^{\sigma B_1}=z \right],
$$
for some fixed $0<\...
- 284
2
votes
0
answers
109
views
Tightness of Hilbert-space-valued arrays
Let $\mathcal{H}$ be a separable Hilbert space. Assume we have some triangular array $W_{n,j}, j=1, \ldots ,n $ of $\mathcal{H}$-valued random elements with $\mathbb{E} \Vert W_{n,j} \Vert_{\mathcal{H}...
- 83
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
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
305
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