Questions tagged [stochastic-processes]
A stochastic process is a collection of random variables usually indexed by a totally ordered set.
2,460 questions
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Ask assistance for finding K. Sato - Lévy Processes on the Euclidean Spaces
The paper me and my professor want is called K. Sato (1995) Lévy Processes on the Euclidean Spaces, Lecture Notes, Institute of Mathematics, University of Zurich.
I tried to find the paper on the ...
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Time reversal of infinite-dimensional SDE
Consider the SDE $${\rm d}X_t=b(t,X_t) \, {\rm d}t+\sigma(t,X_t) \, {\rm d}W_t,\tag1$$ where $b:[0,T]\times V\to H$, $\sigma:[0,T]\times V\to\operatorname{HS}(U_0,H)$, $$V\subseteq H\subseteq V^\ast\...
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Construction of random tempered distributions
Let $(\xi_\phi)_{\phi \in L^2(\mathbb{R}_+ \times \mathbb{R}^d,\lambda_d)}$ be a collection of centered Gaussian processes on a probability space $(\Omega,\mathcal{F},P)$ such that $$\forall \phi \in ...
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Asymptotic stochastic ordering for weighted sum of i.i.d. random variables
Are you aware of any literature focusing on the conditions such that for two i.i.d. sequences of discrete r.v.'s $\{X_n\}$ and $\{Y_n\}$,
\begin{equation}
a_1X_1+a_2X_2+\ldots+a_nX_n\geq_1 a_1Y_1+...
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Error estimates for projection onto the Wiener chaos expansion for stochastic Sobolev spaces (stochastic Rellich–Kondrachov theorem)
Let $n$ be a positive integer, $s\in \mathbb{R}$, $(\Omega,\mathcal{F},(\mathcal{F}_t)_{t\ge 0},\mathbb{P})$ be a filtered probability space whose filtration supports and is generated by an $n$-...
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Norm estimate for parabolic SPDE solution
When $X$ satisfies $${\rm d}X_t=\varphi_t{\rm d}t+\Phi_t{\rm d}W_t$$ on a Hilbert space $H$, where $W$ is a $Q$-Wiener process on a Hilbert space $U$, we know by the Ito formula that $$\|X_t\|_H^2-\|...
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Decay estimate of moment of an SDE
We consider an SDE
$$
d X_t = b(t, X_t) \, dt + \sigma(t, X_t) \, d B_t,
$$
where $(B_t)$ is a $d$-dimensional Brownian motion on $\mathbb R^d$. We fix $p \in [1, \infty)$. Here $b, \sigma$ are ...
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If Kolmogorov continuity criterion gives the optimal Hölder regularity then does the process have all moments?
Although very useful in the Gaussian (or other infinite moment) setting, Kolmogorov continuity criterion is non optimal in the finite moment setting. For example, let $X(t)=Zt$ where $Z$ is a random ...
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Statistically stationary properties of expectations conditioned on the value of an Ornstein–Uhlenbeck process
Consider the modified Ornstein–Uhlenbeck process
$$\mathop{dx_t}=\theta(y_t-x_t)\, dt+{}\sigma\,dW_t$$
for a standard Brownian motion $W_t$ and $\theta,\sigma\in\mathbb{R}_{>0}$. Let's define the ...
CommunityBot
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A stochastic matrix $B = \lambda(\lambda I - A)^{-1}$ such that $B-B^2$ has a non-negative diagonal
I apologize if this is too elementary a question, but I have not been able to make much progress.
Consider a real matrix $A$ with $A_{ij} >0$ for $i \ne j$ and $\sum_{j} A_{ij} = 0$ for each $j$. ...
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Finite dimensional distribution of a stochastic process Lipschitz on every relatively compact set
Let $X_t$ be a Markovian Itô diffusion process, defined by an SDE
\begin{equation}
dX_t = \mu(X_t)\,dt + \sigma(X_t)\,dW_t\,.
\end{equation}
Let $f(x,t|x_0,0)$ denote its transition density function. ...
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Brownian motion reflected at a trailing barrier
Let $X_t$ be a Brownian motion with positive drift starting at 0. The process with reflection at fixed barrier $b<0$ (sometimes called a "regulated Brownian motion") is:
\begin{equation}
\...
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Random walks on groups
I recently started reading Wolfgang Woess' book titled "Random Walks on Infinite Groups". In the section where he introduces Markov chains and random walks on a set $X$, he has defined a ...
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How to optimally bet on a biased coin?
A number $p$ is drawn uniformly at random from $[0, 1]$. You are then given a biased coin that turns up heads with probability $p$, but the number $p$ is not known to you.
You start with a total ...
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Asymptotic Independence of random walks from increments?
Suppose we have two random walks $(S_n:n\geq 1)$ and $(T_n:n\geq 1)$ building from independent identically distributed increment vectors $\{(X_k,Y_k):k\geq 1\}$, i.e. $S_n=\sum_{k=1}^n X_k, T_n=\sum_{...
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Gluing theorem for martingales
Let $M=(M_t)_{1\le t\le 2}$ be a continuous (resp. right-continuous) martingale. Denote $x:=\mathbb E[M_1]\in\mathbb R$. Can we construct on some probability space a continuous (resp. right-continuous)...
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Why shocks are independent with weighted sum of normal process
I am doing a problem and got stuck by the definition of "normal process". The problem is stated as follows:
Suppose $e_t = \sum_{j}^{\infty}\theta^j Y_{t - j} $ and assume that $Y_t$ is a ...
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SDE driven by Lévy processes
Consider a stochastic differential equation (SDE) on some filtered probability space $(\Omega, \mathcal F, \mathbb F, \mathbb P)$ : for all $t>0$
$$dX_t = u_tf(X_{t-})dt+ u_t g(X_{t-})dW_t + u_t\...
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Slow points of diffusion processes
Let $W$ be a standard $d$-dimensional Brownian motion, and $X$ the solution to the SDE
$$dX_t = \mu(X_t) dt + \sigma(X_t) \, dW_t,$$
with $\mu$ and $\sigma$ Lipschitz continuous.
Given a (...
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Simple linear asymptotics for leaving time of particle in open-boundary TASEP
EDIT: It appears the hypothesis may not be true - I am not sure. I therefore changed my question.
ORIGINAL QUESTION:
Consider a system $n$ linked discrete cells numbered $1 \ldots n$. Particles are ...
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How many Uniform(L, H) RVs can be added up until their sum reaches a certain value?
I want to know how many consecutive i.i.d. RVs with:
$$X_{i} \sim\text{Uniform}(L, H)$$
can be added until the sum of them is greater than or equal to a certain value ($r$).
I'm calculating this for a ...
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A random variable in a game of knights and queens
Suppose that a game is played on an $n \times n$ board as follows. There are two players, Player 1 has (only) $Q$ queens and Player 2 has only $K$ knights. Suppose that $Q, K \leq n/3$. The game is ...
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Interchange the deterministic and stochastic integrals
We fix $T >0$ and let $\mathbb T$ be the interval $[0, T]$. Let $(X_t, t \in \mathbb T)$ be a continuous adapted process on some filtered probability space $(\Omega, \mathcal A, (\mathcal F_t)_{t \...
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Embedding a Markov chain in a Markov process
Let $X_{t\ge 0}$ be a Markov process with values in a metric space $(\mathcal{X},d)$ defined on a probabiltiy space $(\Omega,\mathcal{F},\mathbb{P})$ and let $(\tau_n)_{n=1}^{\infty}$ be a sequence of ...
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Assumptions for uniform measure of SDE on manifolds
Suppose we're working on a compact, Riemannian manifold $M$. Suppose $dX_t = -b(X_t, t)\,dt + \sigma^2 \,dB_t$ is started at the uniform measure on $M$. What kind of assumptions on $b$ make it so that ...
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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
$$g(s,t) = \mathbb{E}_0\left[ \exp \left(- \beta \int_s^t \left\vert \frac{B_r}{r}\...
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Stability results for general linear stochastic ODE
I am interested in the following time-invariant multivariate SDE:
\begin{equation}
dx_i = \sum_{j} a_{ij} x_j\,dt + \sum_{j,k} b_{ijk} x_k \, dW_j
\end{equation}
Despite its simplicity the general ...
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Is there a natural random process that is rigorously known to produce Zipf's law?
Zipf's law is the empirical observation that in many real-life populations of $n$ objects, the $k^\text{th}$ largest object has size proportional to $1/k$, at least for $k$ significantly smaller than $...
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Regularity of Feynman-Kac formula for a simple diffusion
Let consider the diffusion process given by:
$$dX_t = \alpha(X_t) dW_t$$
where $\alpha(x) = \alpha_1\mathbf{1}_{x\geq 0} + \alpha_2\mathbf{1}_{x< 0}$ ($\alpha_1,\alpha_2>0$) and $W$ a Wiener ...
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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 ...
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Autocovariance of time integrated Ornstein–Uhlenbeck process
$\newcommand{\Cov}{\operatorname{Cov}}\newcommand{\Var}{\operatorname{Var}}$if $X(t)$ is the Ornstein–Uhlenbeck process and $Y(t)$ the time integrated OU process I am trying to calculate the ...
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How to play golf in one dimension?
One-dimensional golf is a function $g$ on $\mathbb R$ such that
$g(x)= 1+\min_\mu E[g(x+N(\mu,c\mu^2))]$ if $|x|>1$ and 0 if $|x|\le 1.$
Here $N$ is the normal distribution, whose mean $\mu$ you ...
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A simple stochastic game
An individual, henceforth called the runner starts at the center of an open two dimensional square $\Omega$ of side length $r \geq 2$.
At each turn, a vector $x \in S^1$ is chosen uniformly at random, ...
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Can any right-continuous martingale be approximated by continuous ones?
It is known that any function that is right-continuous with left limits (càdlàg as a French abbreviation) can be approximated by continuous ones (under e.g. Skorokhod topology). Let $M=(M_t:0\le t\le ...
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One challenge encountered when dealing with the convergence of the AdaGrad-norm algorithm
Given $\{X_{n},\mathcal{F}_{n}\}$ is an adapted process satisfying the following conditions:
$X_{n}>0,\ \forall\ n>0.$
There exists $ \epsilon>0,\ \sigma>0,$ such that $\mathbb{E}(X_{n}^...
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Quadratic variation and predictable quadratic variation for martingales
Let $(M_{t})_{0\le t\le 1}$ be a continuous martingale with respect to the filtration $(\mathcal{F}_{t})_{0\le t\le 1}$. Assume that $E M_1^2<\infty$.
Fix $N$ and consider now a discrete version ...
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How to estimate the difference between two Ito diffusions?
Suppose $𝑏:\mathbb R^d \to \mathbb R^d, \sigma:\mathbb R^d \to \mathbb R^{d\times d}$ are measurable functions and satisfy
\begin{equation*} 2\langle 𝑥−𝑦,𝑏(𝑥)−𝑏(𝑦)\rangle +\|\sigma(𝑥)−\sigma(�...
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Trajectory regularity of conditional expectation with additional randomness
Consider a probability space that support a standard Brownian motion $W=(W_t)$ and a random variable $Z$ that is independent of $W$. Denote by $\mathbb F^W=(\mathcal F^W_t)_t$ the natural filtration ...
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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 ...
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Epidemic modelling: expectation of time of infection given the distribution of transmission and recovery
Can I express the expected value of
\begin{equation}
\langle \tau\rangle_\text{total}=\int_0^\infty \tau \psi_\text{inf}(\tau)\Psi_\text{rec}(\tau)\mathrm{d}\tau
\end{equation}
in terms of the moment(...
CommunityBot
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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
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Probabilistic problem on random spanning trees
Let $G(V,E)$ be a connected simple graph, where $V$ and $E$ denote respectively its vertex and the edge set respectively. Let $f: V\to \{-1,1\}$ a function mapping each vertex to a value in $\{-1,1\}$....
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Autocovariance of harmonic oscillator in fluid (Langevin Equation)
I am looking to work out an analytical solution (if it is known) for the autocovariance $Cov[X_s,X_t]$ of a particle which behaves according to the Langevin equation for a Harmonic Oscillator in a ...
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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 ...
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Piecewise Ornstein-Uhlenbeck process time integral
Let $X_t$ be a piecewise Ornstein-Uhlenbeck process with infinitesimal variance $\sigma^2$ and (piecewise) infinitesimal mean $\theta_1$ for $x<c$ where $c$ is a constant and $\theta_2$ for $x\geq ...
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Can we construct close discrete martingales if their terminal marginal laws are close?
As no answer or comment to Can we construct close martingales if their terminal marginal laws are close? we consider a simplified version (discrete-time) as below:
Let $M=(M_k)_{0\le k\le n}$ be a ...
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Is there MDPs (Markov Decision Process) which have a non deterministic optimal policy?
I'm working on Markov Decision Process and I have not found yet an example of MDP that has a stochastic (non deterministic) optimal policy. Is there MDPs that have a stochastic optimal policy or is it ...
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Time interval of existence of an SDE solution with locally Lipschitz drift
Consider the stochastic ODE $$
dX = F(X) \, dt + dB
$$
where $B$ is Brownian motion. If the drift $F$ is locally Lipschitz, then the solution exists and is unique over $[0,T]$ where $T$ is an "...
- 63.9k
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Differentiable dependence on the initial condition of the solution of a SDE
Let
$b,\sigma:\mathbb R\to\mathbb R$ be differentiable and Lipschitz continuous
$(\Omega,\mathcal A,\operatorname P)$ be a probability space
$(\mathcal F_t)_{t\ge0}$ be a complete and right-...
CommunityBot
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Weak uniqueness of an SDE with locally Lipschitz drift and additive noise?
Consider the $d$-dimensional SDE, $d > 1$,
$$dX_t = b(X_t) \, dt + \sqrt 2 \, dW_t$$
where
$b$ is locally Lipschitz such that $|b(x)| \le C |x|^2$ for $x \in \mathbb R^d$.
$W$ is a standard $d$-...
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