A stochastic, or random, process describes the correlation or evolution of random events. It is used to model stock market fluctuations and electronic/audio-visual/biological signals. Among the most well-known stochastic processes are random walks and Brownian motion.

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Sum of 2 Brownian motions

Let's say, that $B_t$, $t\geq0$ is standard Brownian motion (Wiener process). Let's define process $$X_t=B_t+B_{t^2}\text{, }t\geq0$$ I need to find its variance, covariance, find out if it's ...
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454 views

Scalar product of Gaussian process

Assume that $n(t)$ is a White Gaussian Noise (WGN) process with $E[n(t)]=0$, $E[n(t)^2]=\sigma^2$ and $x(t)$ a deterministic function defined in $[0,T]$. How can I compute from first principles the ...
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119 views

Determining computational complexity of stochastic processes

I have an program which implements a Markov chain Monte Carlo process on a system of N bits, stopping when the process converges. Let's use T to denote the average number of steps made by the Markov ...
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3k views

Why did my friend lose all his money?

Not sure if this is a question for math.se or stats.se, but here we go: Our MUD (Multi-User-Dungeon, a sort of textbased world of warcraft) has a casino where players can play a simple roulette. My ...
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5answers
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Convergence of $np(n)$ where $p(n)=\sum_{j=\lceil n/2\rceil}^{n-1} {p(j)\over j}$

Some years ago I was interested in the following Markov chain whose state space is the positive integers. The chain begins at state "1", and from state "n" the chain next jumps to a state uniformly ...
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What is the Kolmogorov Extension Theorem good for?

The Kolmogorov Extension Theorem says, essentially, that one can get a process on $\mathbb{R}^T$ for $T$ being an arbitrary, non-empty index set, by specifying all finite dimensional distributions in ...
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2k views

Good introductory book for Markov processes

Which is a good introductory book for Markov chains and Markov processes? Thank you.
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439 views

Is $(B_{t}+t)^{2}$ a Markov process?

Let $B_{t}$ be a Brownian motion relative to a filtration $F_{t}$, is $(B_{t}+t)^{2}$ a Markov process? Thanks!
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696 views

What are some open research problems in Stochastic Processes?

I was wondering, what are some of the open problems in the domain of Stochastic Processes. By Stochastic Processes. Any examples or recent papers or similar would be appreciated. The motivation for ...
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760 views

Criteria for being a true martingale

Could you kindly list here all the criteria you know which guarantee that a continuous local martingale is in fact a true martingale? Which of these are valid for a general local martingale (non ...
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547 views

Relation of Brownian Motion to Helmholtz Equation

one can obtain solutions to the Laplace equation $$\Delta\psi(x) = 0$$ or even for the Poisson equation $\Delta\psi(x)=\varphi(x)$ in a Dirichlet boundary value problem using a random-walk approach, ...
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270 views

Definition of the Brownian motion

The way I understood the definition of a Brownian motion $B_t$ in $\mathbb R$ is that it consists of two parts: We first define the finite-dimensional distributions $$ ...
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The Laplace transform of the first hitting time of Brownian motion

Let $B_t$ be the standard Brownian motion process, $a > 0$, and let $H_a = \inf \{ t : B_t > a \}$ be a stopping time. I want to show that the Laplace transform of $H_a$ is ...
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Limit of a Wiener integral

How to show that $$ \lim _{\alpha \rightarrow \infty } \sup_{t \in \left [0,T \right]} \left | e^{-\alpha t} \int _ 0 ^t e^{\alpha s} ~ dB_s \right | =0, \ \ \text{a.e.} $$ where $\left (B_s ...
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1answer
1k views

Concept of Random Walk

Reading the Wikipedia page for Random Walk, I was wondering what is the definition for a general random walk as a random process, so that all the concepts such as random walk on $\mathbb{Z}^d$, ...
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What is more elementary than: Introduction to Stochastic Processes by Lawler

I have trouble to reading this book! What book is more elementary/preliminary than this book: Introduction to Stochastic Processes by Lawler
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812 views

Quadratic variation of Brownian motion and almost-sure convergence

Say that $W(t)$ is a Brownian motion. The quadratic variation $[W,W](t)$ is defined in terms of a partition $\Pi = \{0 = t_0 < t_1 < \cdots < t_n = t\}$ by $$ \begin{split} [W,W](t) &= ...
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781 views

Recommendation on stochastic process books

I was wondering if someone could recommend good books on stochastic processes with measure theory treatment with not much or no measure theory treatment for each, it would be nice to have some ...
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200 views

$\int_0^tB_s^2\ dB_s$ - Gaussian Process and independent increments?

For $(B_t)_{t\ge0}$ a standard Brownian motion (Wiener process) define the stochastic process $X_t:=\int_0^tB_s^2\ dB_s$. I am currently trying to assess if $(X_t)_{t\ge0}$ is a Gaussian process and ...
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254 views

Solution to the stochastic differential equation

Let $X_o=x$, $dX_t=\frac{1}{X_t}dt+X_tdW_t$, $W_t$ is a brownian motion i am thinking of trying $Y_t=\frac{X_t^2}{2}$ and apply ito's lemma on $Y_t$
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169 views

A planar Brownian motion has area zero

I'm looking for proofs of Paul Lévy's theorem that a planar Brownian motion has Lebesgue measure $0$. I know of only two proofs: one is in Lévy's original paper (Théorème 12, p. 532) and the other is ...
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356 views

Bounds for submartingale

Let $x$ be a positive number and $X_n$ be real-valued submartingale such that $X_0 = x$. I am interested in upper bounds on probability $$ \psi(x) = \mathsf{P}_x\left\{\inf\limits_{n\geq 0}X_n \leq ...
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227 views

Can we compute the probability that a Brownian motion hits a quadratic?

Let $A$ be the event that there is some $t$ such that $B_t=1+t^2$, where $B$ is a Brownian mation. Is there any way to compute the probability of $A$, or to approximate it well? I ask, because we can ...
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113 views

Proving that $T_t := S_t -\left| x \right| -\frac {n-1}{2} \int _0 ^t \frac {1}{S_u}~du$ is a brownian motion

Consider $B=(B_t)_{t\geq 0}$ $\mathcal F_t$ - brownian motion in $\mathbb R ^n, \ (n\geq 2)$ starting at zero, in a probability space $(\Omega, \mathcal F, (\mathcal F_t)_{t\geq 0}, \mathbb P)$. ...
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714 views

Distribution of Brownian motion

How would I go about finding the distribution of $B(u) + B(u+v)$ where $u+v > u$? I know that both $B(u)$ and $B(u+v)$ are normal random variables. The sum of two normal random variables is also ...
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1answer
416 views

Ruin-time in Gambler's Ruins

Could someone give me some tips? Let $e_1,e_2,\dots$ be iid normal mean 0 variance 1. Let $X_t := e_1+\cdots+e_t$, for $t=1,2,\dots$ and $X_0 := 0$. (So we have a discrete-time random walk whose ...
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208 views

If $P$ is a regular transition probability matrix then $P^{n^2}$ has no zero element

A transition probability matrix $P\in M_{n\times n}$ is regular if for some $k$ the matrix $P^k$ has all of its elements strictly positive. I read that this can be tested by using the following ...
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2k views

First exit time for Brownian motion without drift

I am dealing with the simulation of particles exhibiting Brownian motion without drift, currently by updating the position in given time steps $\Delta t$ by random displacement in each direction drawn ...
8
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1answer
356 views

Throwing balls into $b$ buckets: when does some bucket overflow size $s$?

Suppose you throw balls one-by-one into $b$ buckets, uniformly at random. At what time does the size of some (any) bucket exceed size $s$? That is, consider the following random process. At each of ...
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480 views

Sobolev meets Wiener

Even though the Wiener process (Brownian motion) is continuous, it has no derivative at any point. Does it at least have weak derivatives?
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708 views

Maximum Likelihood Estimation of an Ornstein-Uhlenbeck process

I am wondering whether an analytical expression of the maximum likelihood estimates of an Ornstein-Uhlenbeck process is available. The setup is the following: Consider a one-dimensional ...
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310 views

Does Itō isometry have different versions?

Itō isometry from Wikipedia: Let $W : [0, T] \times \Omega \to \mathbb{R}$ denote the canonical real-valued Wiener process defined up to time $T > 0$, and let $X : [0, T] \times \Omega \to ...
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1answer
333 views

Doob-like inequality

I am not sure that this is a proper question. I am looking for the verification of the proof rather than for an answer. There is one inequality I use pretty often and I would like to be sure that it ...
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Distribution of compound Poisson process

Suppose a compound Poisson process is defined as $X_{t} = \sum_{n=1}^{N_t} Y_n$, where $\{Y_n\}$ are i.i.d. with some distribution $F_Y$, and $(N_t)$ is a Poisson process with parameter $\alpha$ and ...
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278 views

Random walk as a martingale?

Let $S_0$, $Z_1$, $Z_2$, $\ldots$ be independent random variables. $S_n=S_0+Z_1+\cdots+Z_n$, $n=0,1,2,\ldots$ $S_n$ is a random walk starting in a random point, $S_0$ I need to find out, when it is a ...
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94 views

recurrence criterion for random-walk like Markov chain

Suppose we have a random-walk like Markov chain, i.e. state space is the set of all integers from $-\infty$ to $\infty$, the transition probability $P_{ij}$ is nonzero only when $j=i+1$ or $j=i-1$. ...
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525 views

Decomposition of semimartingales

From Kal97, pg. 446: Theorem 23.14 Any semimartingale $X$ has an a.s. unique decomposition $X=X_0 + X^c + X^d$ where $X^c$ is a continuous local martingale with $X_0^c=0$ and $X^d$ is a purely ...
4
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1answer
195 views

Does every continuous time minimal Markov chain have the Feller property?

Consider a Q-matrix on a countable state space. (A Q-matrix is a matrix whose rows sum up to $0$, with nonpositive finite diagonal entries and nonnegative offdiagonal entries). As explained for ...
4
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1answer
507 views

Brownian hitting time of a _very_ simple linear boundary

I realize that general results on the hitting times of a curve are practically nonexistant, but I am hoping that someone can string together a sequence of tricks to tell me what $$ \Pr\left( ...
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220 views

Diverging random walk

I have a process $X_{n+1} = X_n\xi_n$ where $\xi_n\sim\mathcal N(1,1)$ and $\xi_n$ is independent of $X_n$. I need to prove that if $X_0\neq0$ then $$ \mathsf P\{|X_n|>1\text{ for some }n\geq0\} = ...
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693 views

Questions about geometric distribution

I have some trouble understanding the record value for a sequence of i.i.d. random variables of geometric distribution. Following quotation is from Univariate discrete distributions By Norman Lloyd ...
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363 views

Is a square-integrable continuous local martingale a true martingale? [duplicate]

I am wondering, if the following is true without any other assumptions and if so, how to prove it: Let $(M_t)_{t \geq 0}$ be a continuous local martingale on a filtered probability space $(\Omega, ...
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0answers
105 views

Failure criteria for a collection of independent evolving discrete random variables

I have built a computer model that contains a collection of independent discrete random variables. They each have values of between $0$ and $k$ where $k$ is between $4$ and $15$ and is constant for ...
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736 views

How to prove this property in a Poisson process?

For a Poisson process show, for $s < t$, that $P(N(s)=k|N(t)=n) = \binom{n}{k} (\frac{s}{t})^k (1-\frac{s}{t})^{n-k}$
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Uniqueness of a local martingale problem

First, some notation: let $X = (X_{t})_{t\geq 0}$ be some strong Markov process in $E = \mathbb R^n$ with cadlag paths. Let us denote by $P_t$ the transition semigroup of $X$ and by $\mathbb B$ the ...
3
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215 views

probability of dying of a bacteria

Suppose that there are some bacterias. In any minute, each living dies with probability 1/4, stands still with probability 1/4, splits into 2 with probability 1/4, and splits into 3 with probability ...
3
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3answers
457 views

Wiener Process $dB^2=dt$

Why is $dB^2=dt$? Every online source I've come across lists this as an exercise or just states it, but why isn't this ever explicitly proved? I know that $dB=\sqrt{dt}Z$, but I don't know what ...
3
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1answer
306 views

what's the difference between RDE and SDE?

what's the difference between random differential equation and stochastic differential equation? does stochastic differential equations include random differential equation?
3
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225 views

What is the average rotation angle needed to change the color of a sphere?

A sphere is painted in black and white. We are looking in the direction of the center of the sphere and see, in the direction of our vision, a point with a given color. When the sphere is rotated, at ...
3
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199 views

Poisson arrivals followed by locking

following is my problem: Pulses arrive at a processor according to a Poisson process of rate λ. Suppose each arriving pulse that is processed by the processor locks the processor for a fixed time T, ...