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Results tagged with pr.probability
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user 154186
Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory.
5
votes
1
answer
134
views
Girsanov's theorem for Gaussian measures as the Cameron-martin theorem with a random shift
Let $H \subset E$ be the Cameron-Martin space of a Gaussian measure $\mu$ on a separable Banach space $E$. The Cameron-Martin theorem states that for all $h \in E$ we have $h \in H$ if and only if $\m …
- 243
4
votes
1
answer
34
views
Stability of stochastic differential equations
Consider an SDE of the form
$$dX^\mu_t = a(t, X^\mu_t) dt + \sigma(t, X^\mu_t) dB_t$$
with initial condition $X^\mu_0 \sim \mu$, where $\mu$ is some measure on $\mathbb{R}^d$.
I am searching for stabi …
- 243