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Results tagged with stochastic-processes
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user 32372
A stochastic process is a collection of random variables usually indexed by a totally ordered set.
2
votes
Is this probabilistic principle for stochastic processes known?
I don't think this is true.
Consider one dimensional Brownian motion with $X_0 = 1$ and let $B_i$ be the indicator of the event that the $k$th decimal place is a $0$ (so all of our $B_i$'s are the s …
- 241
7
votes
0
answers
635
views
When is an ODE a good approximation to an SDE?
Suppose $X_t$ is a weak solution to a stochastic differential equation in the form
$$d X_t = \sigma(X_t) d W_t + \lambda(X_t) dt$$
for smooth functions $\sigma: \mathbb R^d \to L(\mathbb R^d,\mathbb R …
- 241
4
votes
0
answers
152
views
A simplified MCMC / MH algorithm. Are there known convergence results?
Hi, I hope this isn't too basic. We were working on a simulation using a Monte Carlo Within Metropolis algorithm and noticed that the whole thing could be expressed in the form below and simplified dr …
- 241