Questions tagged [stochastic-processes]
A stochastic process is a collection of random variables usually indexed by a totally ordered set.
201 questions
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Uniqueness of the solution to some SDE
Consider the stochastic differential equation as follows:
$$X_t=X_0+t+\int_0^t\frac{dW_s}{1+m(s)},\quad \forall t\ge 0,~~~~~~~~~~~~~~~(\ast)$$
where $X_0>0$ is square integrable and $m(t)=\mathbb P[...
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Intuition/elegant reason for why Langevin diffusion converges to $\exp(-U)$?
Given a potential function $U: \mathbb{R}^n \to \mathbb{R}$, Langevin diffusion is gradient descent plus a Brownian motion term: $X' = -\nabla U(X) + \sqrt{2} \text{ }dW$.
It happens that the ...
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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-...
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Escape the zombie apocalypse
Consider zombies placed uniformly at random over $\mathbb{R}^2$ with asymptotic density $\mu$ zombies/area. You are placed at a random point and can move with speed $1$. Zombies move with speed $v\leq ...
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Tetris-like falling sticky disks
Suppose unit-radius disks fall vertically from $y=+\infty$,
one by one, and create a random jumble of disks above the $x$-axis.
When a falling disk hits another, it stops and sticks there.
Otherwise, ...
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3
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A non-degenerate martingale
Let $(\Omega, \mathcal{F}, P)$ be a probability space, on which
$\mathcal{F}_t$ is filtration satisfying general conditions.
$W_t$ is
a standard Brownian motion.
Let $Y_t$ be a martingale given by
$$...
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What work has been done on SDE with diffusion coefficients of bounded variation in $\mathbb R^d$?
Consider the $d$-dimensional SDE, $d > 1$,
$$dX_t = b(X_t) \, dt + \sigma(X_t) \, dW_t$$
where $W$ is a standard $d$-dimensional Brownian motion.
I am interested in the case where $\sigma: \mathbb ...
- 6,155
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Recursive random number generator based on irrational numbers
Here $\{\cdot\}$ and $\lfloor \cdot\rfloor$ denote the fractional part and floor functions respectively. For a negative, non-integer number $x$, we use the following definition: $\{x\}=1-\{-x\}$. If $...
- 3,098
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Weak convergence for discrete-time processes using characteristic functions
I am looking for a good reference about the analogues of the Bochner Theorem and the Lévy Continuity Theorem
for probability measures on $\mathbb{R}^{\mathbb{N}}$ with the product topology.
...
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1
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Characterization of martingale diffusions ending in $\{-1,1\}$
Let $\mathcal M$ be the collection of martingle diffusions starting at zero and ending in $\{-1,1\}$. Equivalently, $X\in \mathcal M$ iff there exists a measurable function $a$ s.t. it holds almost ...
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Maximum of Gaussian Random Variables
Let $x_1,x_2,…,x_n$ be zero mean Gaussian random variables with covariance matrix $\Sigma=(\sigma_{ij})_{1\leq i,j\leq n}$.
Let $m$ be the maximum of the random variables $x_{i}$
$$
m=\max\{x_i:i=...
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Positivity of certain Fourier transform
Is the Fourier transform of the function
$$ f(\xi) = e^{-t|\xi|^{2m}}$$
positive for $t>0$ and $m \in \mathbb{N}_0$?
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Error term for renewal function
Consider a sequence of independent uniform $[0,1]$ random variables, and for nonnegative real $t$, let $m(t)$ be the expected number of terms in the first partial sum that exceeds $t$. For instance it'...
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Can every discrete martingale be embedded in a continuous martingale?
Let $(X_k)_{k=0,1,..., n}$ be a discrete martingale defined on some probability space $(\Omega,\mathcal{F},\mathbb{P})$. I would like to know whether there exists a (continuous) martingale $(\tilde{X}...
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Birkhoff Ergodic Theorem and Ergodic Decomposition Theorem for Continuous-Time Markov Processes
I have a couple of questions regarding ergodicity for Markov processes in continuous time. (In particular, the first question seems like it should be particularly basic, and yet I haven't managed to ...
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Finite time hitting probabilities for Brownian motion in the plane
Consider a Brownian particle in the plane with a circular trap at the origin. If we give the particle enough time it falls into the trap (since Brownian motion is space filling in 2D). However, ...
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The Wiener measure of an open set
There is so much written about the Brownian motion and I suspect the answers to the questions below are hidden in somewhere in the literature but I cannot find them
Denote by $E$ the Banach space ...
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A stochastic process that is 1st and 2nd order (strictly) stationary, but not 3rd order stationary
I asked this question on stats.stackexchange.com a little while back but didn't get an answer. It was suggested that I post it here at the time. There appears to be some migratory problems going on ...
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A curious martingale
Does there exist an almost surely continuous martingale $X$ with $X_t \to +\infty$ almost surely?
Remark: Note that such a martingale exists in discrete time, or equivalently in continuous time if the ...
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2
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Endpoint of Brownian motion conditional on high maxima
Note: This question is closely related to an earlier question: A large noise limit.
Let $W$ be a standard one dimensional Brownian motion.
For every $\varepsilon > 0$, let $A_\varepsilon$ denote ...
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Probability of general Brownian (or non) bridge to be higher than given parameter?
Consider general Brownian bridge W(0)=0; W(T) = a. (Here "general" means: $W(T)\ne 0$).
What is the probability W(t) >= b, for all $ t \in [0, T] $ ?
Is there close simple formula in terms of a,...
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Bounded density for diffusions with diffusion coefficients bounded away from $0$
Consider a diffusion given by
$$X_t=\int_0^t a(s,X_s)\,dW_s$$
for $t\ge 0$, where $W_\cdot$ is a standard Wiener process/Brownian motion and $a$ is a smooth enough positive function bounded away from $...
- 128k
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A Stochastic Dynamical Billiard
Consider the following stochastic dynamical system.
Fix $a > 0$, $b > 0$ and $v > 0$, and let $\mathbf{r}(t)=(x(t),y(t))$ be the position at time $t$ of a point which moves in the rectangle ...
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Change of time or change of measure
Consider simple diffusion $dX_t = \sigma dw_t$ and a parameter $a>0$ and $X_0=x$. Let us denote $Y_t = X_{at}$ - thus we made a change of time. Let us denote an original measure as $P$. How to find ...
- 1,655
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Paper request : “A random integral and Orlicz spaces” from K. Urbanick
I tried all my methods to find the paper :
“K. Urbanik and WA Woyczynski, A random integral and Orlicz spaces, Bulletin de l'Académie Polonaise des Sciences, Série des sciences mathématiques, ...
4
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1
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Small noise limits with irregular drift
Let $W$ be a standard $d$-dimensional Brownian motion.
Suppose $b: \mathbb R^d \to \mathbb R^d$ is measurable and bounded. Consider, for every $\varepsilon > 0$, the solution $X^\varepsilon$ on $[0,...
- 6,155
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When is $\prod_{i=0}^\infty (I-x_i x_i^T)=0$ for isotropic Gaussian $x_i$?
Suppose $x_i$ is sampled IID from isotropic zero-centered Gaussian random variable in $d$ dimensions with covariance $\Sigma=c*I$. When is the following true with probability 1?
$$\prod_{i=0}^\infty (...
- 2,442
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Kolmogorov continuity theorem and Holder norm
The Kolmogorov Continuity theorem (see for example the Wikipedia page) lets us prove that a stochastic process $X_t$ (on some complete metric space $(S,d)$) is Holder continuous almost surely provided ...
- 175
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Forgery theorem: the Brownian motion stays close to any curve with positive probability
In a paper I am reading the authors claim that, if $B$ is a standard BM in $\mathbb{R}$ and $f\in C([0,1],\mathbb{R})$, then for any $\epsilon>0$
$$
\mathbb{P}(\sup_{t\in [0,1]}|B_t-f(t)|<\...
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Do the Birkhoff averages of a measurable stationary homogeneous Markov process in continuous time "converge to the right limit"?
[I've decided to rewrite the question, to make the essential point clearer.]
Let $\,\mathbb{R}^{[0,\infty)}:=\{(x_t)_{t \geq 0} : x_t \in \mathbb{R} \ \, \forall t\}$. We say that a set $Y \subset \...
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$f: [0,1]\rightarrow L^1(\Omega)$ as a (measurable?) function from $[0,1]\times \Omega\rightarrow \mathbb{R}$
Given a map from $\big([0,1], \mathcal{B}[0,1], m\big)$ to a Banach space $(X, \|\cdot \|)$. There are strong measurable functions (they are the point wise a.e. limit of simple functions) and weak ...
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0
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Stochastic stability of "open" continuous-time stochastic systems: reference request
I'm looking for results on the stability of stochastic systems, e.g. SDEs, whose coefficients depend on a different process that is not necessarily stable. I'm calling those systems "open" here, but ...
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votes
1
answer
305
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A large noise limit
Let $f: [0, 1] \to \mathbb R$ be a bounded, continuous function, and $W$ a standard Brownian motion.
Denote $Y := \int_0^1 f(t) \, dW_t$.
For each $\varepsilon > 0$, consider the conditioned random ...
- 6,155
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votes
1
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Solution of SDE with time power law singular diffusion
I was wondering if anything could be said at all about the well-psedness of the following time-inhomogeneous singular diffusion SDE:
\begin{align}d X_t&=\sigma(X_t,t ) d W_t , \qquad t\geq 0, ...
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Is $g(t)=\mathbb P[\inf_{0\le s\le t}X_s>0]$ differentiable with respect to $t$?
Consider the SDE
$$dX_t =b(t)dt + a(t)dW_t,\quad \forall t>0,$$
with $X_0>0$ has a density function $\rho:\mathbb R_+\to\mathbb R_+$. Consider the probability $g(t):=\mathbb P[\inf_{0\le s\le t}...
user478492
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Does $X_t$ with $t>0$ admit a density?
$
\newcommand{\RR}{\mathbb{R}}
\newcommand{\TT}{\mathbb{T}}
\newcommand{\NN}{\mathbb{N}}
\newcommand{\PP}{\mathbb{P}}
\newcommand{\EE}{\mathbb{E}}
\newcommand{\FF}{\mathbb{F}}
\newcommand{\PPP}{\...
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Comparison of hitting probability of two Markov chains both with only one absorbing state version 2 under stronger condition
Let $N_n:=\{1,2,\cdots,n\}$. Given two finite states Markov chains $\big(X^{(j)}_i\in N_n\}\big)_{i=0}^\infty$ for $j\in\{1,2\}$, both of which have two absorbing states at $1$ and $n$.
$\text{Pr}\...
- 2,239
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1
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On the marginal distributions of an absorbed diffusion
This question can be seen as a variant of the post Bounded density for diffusions with diffusion coefficients bounded away from $0$ by Iosif Pinelis. Namely, consider the diffusion
$$X_t=\int_0^t a(s,...
- 1,334
1
vote
2
answers
194
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Continuity of the densities of a stochastic process
Let $X=(X_t)_{t\in I}$ ($I\subset\mathbb{R}$ an interval) be a stochastic process with continuous sample paths and such that $X_t$ admits a continuous Lebesgue density $\chi_t\in C(\mathbb{R}^d)$ for ...
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1
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Question on the limit of martingales
I am looking for the condition/criterion that yields the convergence of right-continuous martingales, motivated by the following question.
For $M,N\ge 1$, set $I_M:=\{t_m\equiv m/M: 0\le m\le M\}$ ...
user128095
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4
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Polynomials on the Unit Circle
I asked this question in math.stackexchange but I didn't have much luck. It might be more appropiate for this forum. Let $z_1,z_2,…,z_n$ be i.i.d random points on the unit circle ($|z_i|=1$) with ...
- 3,626
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A Markov process which is not a strong markov process?
Can anyone give an example of a Markov process which is not a strong Markov process? The Markov property and strong Markov property are typically introduced as distinct concepts (for example in ...
- 1,666
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votes
2
answers
1k
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Drawing natural numbers without replacement.
Suppose we start with an initial probability distribution on $\mathbb{N}$ that gives positive probability to each $n$. Let's call this random variable $X_1$ so we have $P(X_1=n)=p_{1,n}>0$ for all $...
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Does a theory of stochastic differential algebras exist?
My question is motivated primarily by finance, where a non-technical student will learn how to approach SDEs using the symbolic manipulation of Itô calculus and the few basic rules of Brownian motion, ...
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3
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5k
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James-Stein phenomenon: What does it mean that a James-Stein estimator beats least squares estimator?
Background James-Stein estimator and Stein's phenomenon, as described in Wikipedia are rather counterintuitive and amazing.
It is claimed that if one wants to estimate the mean $\Theta$ of
Gaussian ...
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2
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3k
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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 ...
- 6,155
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votes
6
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2k
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Optimal pebble-packing shape
Suppose you throw many ($n$) congruent convex bodies (in $\mathbb{R}^3$) of unit volume (or of unit area in $\mathbb{R}^2$) into a large container, and shake it until little else changes.
Q. ...
- 151k
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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, ...
- 6,155
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votes
4
answers
5k
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Gaussian processes, sample paths and associated Hilbert space.
Given a Gaussian process on some topological space $T$, with a continuous covariance kernel
$C(\cdot,\cdot)\colon T\times T\to R$, we can associate a Hilbert space, which is the reproducing kernel ...
- 2,600
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1
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Mathematical construction of $\phi^4$ Euclidean field theory
One possible approach to constructive field theory is to define it on a lattice and take the scaling limit, and there are famous results stating that in $d\geq4$ this cannot lead to a non-trivial ...
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