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Results tagged with pr.probability
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user 60556
Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory.
4
votes
1
answer
380
views
Hitting time of an Ornstein-Ulhenbeck process
If we consider a nice Ornstein-Uhlenbeck process
$d x (t) = - \gamma x(t) \,dt + \sigma \,d w (t)$
with $x(0) = x_0 \in (-L,L)$.
Here $\gamma, \sigma$ are positive constants and $w(t)$ is a Wiener pro …
- 365
3
votes
0
answers
178
views
Most probable path for stochastic Hamiltonian systems
It is known that for a real valued stochastic process $X_t$ satisfying
$$
d X_t = b(X_t) d t + \sigma d W_t
$$
where $W$ is real valued Wiener process, the equation for the most probable path from …
- 365