Questions tagged [stochastic-processes]
A stochastic process is a collection of random variables usually indexed by a totally ordered set.
200 questions from the last 365 days
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What do we know about Poisson boundaries of arbitrary Riemannian manifolds?
For closed manifolds, we know that the Poisson boundary is trivial due to compactness and for radially symmetric manifolds for which diffusion is one dimensional, there are A Brief Introduction to ...
- 168
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What (continuous) stochastic processes have path measures that are absolutely continuous w.r.t. Wiener measure?
Suppose I have a stochastic process $\{Z_t\}_{t \in T}$ for which I know the sample paths to be a.s. continuous (we can also assume some usual stuff, such as $T$ a compact metric space, $Z$ having ...
- 73
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80
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Asymptotics of number of running maxima of iid random variables
Let $\{X_i\}_{i \geq 1}$ be a sequence of iid non atomic random variables, that is, their CDF has no jump discontinuities.
Given a realisation $\omega$ of the random variables, we say that $X_i (\...
- 6,155
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1
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375
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Convergence of random functions
Suppose I have a sequence of random continuous functions, $f^{n} : [0, t] \to \mathbb{R}$. Suppose there also exists a random continuous function, $f: [0, t] \to \mathbb{R}$, defined on the same ...
- 85
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Looking for a citation for this simple generalization of the Markov bound to non-negative super-martingales
Does anybody know a reference for the following theorem?
Theorem 1. Let $(X_t)_{t=0}^\infty$ be a non-negative supermartingale.
Then, for any constant $c > 0$, the event $(\exists
> t)\, X_t \...
- 183
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116
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Convergence in probability results with still open point-wise versions
In ergodic theory and more generally in stochastic processes, often convergence in probability results precede convergence almost-surely results in quite a few years. Classical examples include the ...
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1
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On the stationarity of Gaussian processes
I am trying to understand and prove the statement:
The normal (or Gaussian) process is stationary in the wide sense if and only if it is strictly stationary.
I know the following:
A strictly ...
2
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1
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236
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Self-adjointness of generator and semigroup of an SDE
$
\newcommand{\bR}{\mathbb{R}}
\newcommand{\bE}{\mathbb{E}}
\newcommand{\bT}{\mathbb{T}}
\newcommand{\bP}{\mathbb{P}}
\newcommand{\bF}{\mathbb{F}}
\newcommand{\cF}{\mathcal{F}}
\newcommand{\eps}{\...
- 835
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31
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$\alpha$ stable processes without jumps
Levy processes with jumps can be formulated following the Levy-kinchkine representation, which provide a decomposition of the characteristic function into three factors corresponding to the diffusion (...
- 305
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Relationship between transition density function and local time
Assume the local time is $L(t,y)$ and we know $P_x(L(t,y) \in d\tau)$ where $P_x$ denotes the probability measure for a stochastic process starts at $x$. Can we then derive the transition density ...
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58
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Drift of reverse SDE with Lévy processes ($\alpha$ stable distributions)
Given an SDE with a Lévy process with a drift $b(x,t)$ the reverse SDE will have a drift, $\tilde{b}(x,t)$, given by the relation:
$$\tilde{b}(x,t) = - b(x,t) + \int_{\mathbb{R}} y \left( 1 + \frac{...
- 305
3
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1
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103
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Designing an SDE satisfied by $\frac{B(t)}{1+t}$
Let $B$ be the Brownian motion. I want to find a stochastic differential equation satisfied by the process $$X(t) = \frac{B(t)}{1+t}.$$ I am trying to use Itô's lemma for $f(x,t) = \frac{x}{1+t}$ but ...
- 63
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The Ornstein-Uhlenbeck process from modified integrand
Suppose that $\alpha > 0$ and $\sigma \in \mathbb{R}$ are fixed. Define $Y(t), t \geq 0$ to be an adapted modification of the Itô integral
$$
Y(t) = \sigma e^{-\alpha t} \int_0^t e^{\alpha s} dB(s)
...
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1
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Reconstruction of law of diffusion process from call option values
Let $X_{\cdot}$ be a $1$-dimensional diffusion process. If I know the value of the
$$\big\{\mathbb{E}[\max\{X_t,c\}\big| X_0 =x\big]:\, c\in \mathbb{R} \text{ and } \,\, t\in (0,1] \big\}.$$
Then, ...
- 5,405
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Why optional stopping theorems require continuity conditions of martingales?
If we want to prove some form of optional stopping theorem (with a stopping time $T$) for continuous time martingales $M_t$, a typical strategy is to assume that $\mathbb E[M_{T\wedge n}] = \mathbb E[...
- 1,755
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42
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Bound on the radon-nikodym derivative between two stochastic processes at a time point
I have two stochastic differential equations on $\mathbb{R}^d$ adapted to the same filtration evolving for finite time $t\in [0, T]$ at the same start distribution:
\begin{align*}
dX_t &= b(t, X_t)...
1
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0
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41
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Asymptotic mixing time and Euclidean probability distance for path graphs
We are given a simple path graph $P(V,E)$ with vertex set $V$ and edge set $E$, having $n=|V|$ nodes. Given an initial distribution $\mathbf{\mu}$ over $V$, let $d_t(\mathbf{\mu},\pi)$ be defined as $\...
- 1,677
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The unique weak solution to some SDE yields the unique strong solution?
For some filtered probability space $\big(\Omega,\mathcal F, (\mathcal F_t),\mathbb P\big)$, consider a stochastic differential equation (driven by a real-valued Brownian motion $W$) for $X=(X_t)$, ...
- 1,389
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Approximate the adjoint generator of the discretization of an SDE
Let
$d\in\mathbb N$;
$\sigma\in\mathbb R^{d\times d}$;
$p\in C^1(\mathbb R^d)$ be positive with $$c:=\int p(x)\;{\rm d}x<\infty\tag1$$ and $$b:=\frac12\Sigma\nabla\ln p;$$
$(X_t)_{t\ge0}$ denote ...
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Reference for PDEs from system of SDEs
I'm working with a system of SDEs
\begin{align*}
dX_t &= b(X_t, t) + \sigma dB_t\\
dY_t &= c(X_t, Y_t, t) + \sigma dB_t.
\end{align*}
Here, the Brownian motion is the same.
I know that ...
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154
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Quasi-invariance of $\Phi_3^4$ under translation by nonsmooth shifts
In https://hairer.org/Phi4.pdf Hairer shows that the $\Phi_3^4$ measure is mutually singular with respect to any nonzero smooth shift. Is it also mutually singular with respect to any nonzero ...
- 1,904
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111
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What happens to an SDE conditional on the underlying Brownian motion being close to $f \in C[0, T]$?
The so called forgery theorem for Brownian motion says that for any continuous $f: [0, T] \to \mathbb R^d$, with $f(0) = 0$, the $d$ dimensional Brownian motion $W$ has a nonzero chance of staying $\...
- 6,155
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1
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91
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Conditional Expectation in Diffusion Process
Consider a $d$-dimensional diffusion process $\mathbf{X}=(\mathbf{X}_t)_{t\in [0,T]}=([X^1_t,...,X^d_t])_{t\in [0,T]}$ that is the unique strong solution of the following SDE:
$$\left\{\begin{matrix}
...
- 143
5
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1
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202
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Independent stationary increment process but with finite propagation speed
Intuitively, standard Brownian motion has infinite propagation speed, as it has a non-zero probability of reaching any point in any arbitrarily short time. This is due to the fact that the probability ...
- 807
8
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One flip coin game
Nate has $n \geq 2$ coins $\{C_i\}_{0 \leq i \leq n-1}$ that each turn up heads with probability $\frac{i}{n-1}$ each, but he is not sure which ones are which.
He has \$1 with which to bet with. On ...
- 6,155
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57
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Lower bounding an alternating series with signs from a martingale difference sequence
Let $\epsilon_n \in \{-1, 1\}$ be a martingale difference sequence, in the sense that
$$M_n := \sum_{i = 0}^n \epsilon_i$$
is a martingale.
We assume $\epsilon_0 = \pm 1$ with probability $\frac{1}{2}$...
- 6,155
4
votes
2
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376
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Gibbs measure as stationary distribution of SDEs
I have been trying to understand how one can mathematically explain some of the results from statistical mechanics, especially regarding certain distributions like the Gibbs distribution. It would be ...
- 807
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2
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841
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Why is $\mathbb R^{\mathbb N}$ not high-dimensional enough?
In this paper [1], the authors consider the limiting distribution of $$S_{n,p}:=\frac{1}{\sqrt n}\sum_{k=1}^nX_k$$ for $p\rightarrow\infty$ as $n\rightarrow\infty$, where $X_1, X_2,\dots, X_n$ are ...
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Absolute Continuity of the Karhunen-Loeve expansion coefficients
The Karhunen-Loeve theorem (see these notes or the wikipedia page, for example) states the following:
Theorem: For a continuous, square-integrable, centered stochastic process $(X_t)_{t \in T}$ (with ...
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144
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Distribution of Brownian motion conditional on linear growth
Let $W$ be a standard $d$-dimensional Brownian motion with $W_0 = 0$ almost surely.
Fix a constant $\lambda > 0$ and timeframe $T > 0$, and consider the event
$$ E_T := \{|B_s| \geq \lambda s\ \...
- 6,155
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Higher or lower? (#2)
$N \geq 2$ players play a game - at the start of the game, they are each given independently and uniformly a number from $[0, 1]$. On each round, they are to guess whether their number is higher or ...
- 6,155
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2
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88
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Can the solution to a controlled SDE with additive noise have non full support?
Let $W$ be a standard $d$-dimensional Brownian motion. Consider the following SDE
$$dX_t = b(X_t, u_t) \, dt + dW_t$$
with initial condition $X_0 = 0$ a.s., $b: \mathbb R^d \times \mathbb R^n \to \...
- 6,155
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1
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659
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On the martingale betting scheme
For a fixed probability $0 < p < 1$, let $X^p$ be the martingale that goes up by $1$ with probability $p$, and goes down by $\frac{p}{q}$ with probability $q := 1-p$.
Write $X$ for the ...
- 6,155
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0
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Renewal Process with inter-arrival times having quadratic tails
Consider a sequence $(X_n)_{n \ge 1}$ of i.i.d. Pareto($2$) random variables, which means
$$
\mathbb{P}( X_1 > x) =
\begin{cases}
1/x \qquad &\text{for } x \ge 1
\\
1 \qquad & \text{else}....
- 116
6
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1
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133
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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 ...
- 228
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Reverse Doob’s maximal inequality for bounded martingales
Consider the set of discrete or continuous time $L^\infty$-bounded martingales $X$ with $X_0 = 0$ almost surely. Here $L^\infty$-bounded means $\|X\|_{\infty} := \sup_t \mathbb \|X_t\|_{L^\infty(\...
- 6,155
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181
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A nice terminal inequality for martingales
Let $X_t$ be a continuous time martingale taking with $\sup_t \mathbb E[X_t^-] < \infty$, and $X_0 = 0$ almost surely. Assume further that $X_1$ admits a probability density function.
Is it true ...
- 6,155
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2
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557
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A race to the bottom
Nate has a biased coin that comes up heads $\frac{1}{2} + \delta$ proportion of the time, where $0 < \delta \leq \frac{1}{2}$. He is competing against a large number $N$ people who each have fair ...
- 6,155
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76
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When we should integrate on both side over a SDE?
Maybe I am quite stupid, I am quite confused about, when we should use ito formula to solve SDE and when it is appropriate to integrate directly to get the solution?
Specifically, let us consider the ...
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Sharpening Doob’s upcrossing inequality for Brownian motion
Note: This question is heavily related to a series of posts ([1], [2]) by user GJC20.
Provided a martingale $X$ in continuous-time, Doob's upcrosssing inequality states:
If $U(a,b)$ denotes the number ...
- 6,155
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Do continuous martingales satisfy this nice terminal inequality?
Let $X$ be a continuous, non negative martingale on $[0, 1]$ with $X_0 = x_0$ a.s. for some $x_0 \in \mathbb R$. Assume further that $X_1$ admits a probability density function. Is it true that the ...
- 6,155
4
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1
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150
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Convex order between Gamma distributions and Exponential distributions
Let $ (b_1, \dots, b_n) $ be a tuple of positive integers. Define independent random variables $ Y_i \sim \text{Gamma}(b_i, b_i) $ (shape and rate parameter both equal to $ b_i $) for $( i = 1, \dots, ...
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71
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Assumptions Wald's second equation?
Let $(X_n)_{n\in \mathbb{N}}$ be an i.i.d. sequence of random variables and $N$ an $\mathbb{N}_0$ valued random variable. Let $X_1 \in \mathcal{L}^2$ and $N \in \mathcal{L}^1$. Let $S_n := \sum_{i=1}^...
- 261
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122
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Finiteness of the moments of the Malliavin derivative of the stochastic heat equation
I am studying section 2.4.2 from Nualart's book "The Malliavin calculus and related topics" on the stochastic heat equation. I have some questions on the validity of some estimates for the ...
- 61
5
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0
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348
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Sharpness of Doob's upcrossing inequality
Provided a martingale $X$, discrete-time $X=(X_n, n\in\mathbb N)$ or continuous-time $X=(X_t, t\ge 0)$, Doob's upcrosssing inequality states that :
If $U_N(a,b)$ denotes the number of up-crossings of $...
- 1,389
3
votes
1
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218
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Pathwise linearization of diffusion processes
Let $W$ be a standard $n$-dimensional Brownian motion, and $X$ the diffusion process given by the solution to the SDE
$$dX_t = \mu(X_t) \, dt + \sigma(X_t) \, dW_t,$$
with $\mu: \mathbb R^n \to \...
- 6,155
5
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0
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112
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Discrete random walk in an expanding cage (i.e. in a growing domain)
In the book "A guide to First-Passage Processes" by Sidney Redner, a section is dedicated to the survival probability of a random walker in a growing domain.
For a fixed-length interval $[0,...
- 274
4
votes
1
answer
110
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Scaling of stopped Hölder norm of Brownian motion
I'm interested in the behaviour of the stopped $\alpha$-Hölder norm of a one-dimensional real-valued Brownian motion $(B_t)_{t \geq 0}$ for $\alpha < 1/2$.
For fixed $T>0$, self similarity ...
- 153
2
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0
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82
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Existence of SDE solution under integrability of Lipschitz coefficients
I am reading the paper Lan and Wu, Stoch. Process. Appl., 2014, on sufficient conditions weaker than Lipschitzianity for the existence of strong solutions of time-inhomoegneous $d$-dimensional SDEs. ...
- 135
3
votes
0
answers
145
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What is an example of a non-tight probability measure?
Billingsley (Convergence of Probability Measures, 1968) and van der Vaart and Wellner (Weak Convergence and Empirical Processes, 2023) discuss the concept of tight probability measures and use the ...
- 277