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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Scale invariance of uniform distribution over $\mathbb R^2$?

If we make a uniform distribution of points over $\mathbb R^2$ with 1 point on average per unit square. And we zoom far out and make a density plot (give a color to each cell according to how many ...
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1answer
34 views

A proof by René Schilling that a continuous Lévy process is integrable

In his treatise "An Introduction to Lévy and Feller Processes" (arXiv link), Prof. Dr. René Schilling gives a short and seemingly straightforward proof for the claim that a continuous Lévy process is ...
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4answers
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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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1answer
21 views

Understanding the Skorohod-space

I am having a lack of understanding the Skorhodspace considering cadlag processes. A random variable $X$ is measurable mapping between two measure spaces say $(\Omega,\mathcal{F})\mapsto (\tilde{\...
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s.d.e and a bound of $\mathbb E (\lvert X\rvert^2)$ which is not $t$-dependent

Let $X_t=X^x_t$ solution of the s.d.e : $$dX_t=b(X_t)dt+\sigma(X_t)dB_t,\ X_0=x$$ Where $b$ and $\sigma$ are 1-lipschitzian. I have proved that : for all $t\geq 0$ it exists $L_t=L_t(x)>0$ s.t. $\...
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0answers
13 views

Finding g$^∗$, τ$^∗$ in 1-dimensional Brownian motion

How do I find g$^∗$, τ$^∗$ such that g$^∗$(s, x) = sup$_τ$E$^{(s,x)}$[e$^{−ρ(s+τ)}$B$_τ$$^2$] = E$^{(s,x)}$[e$^{−ρ(s+τ^{*})}$B$_{τ^*}^2$ ] , where B$_t$ is 1-dimensional Brownian motion, ρ > 0 is ...
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Monotone class theorem

I have some question about the Monotone Class Theorem and its application. First I state the Theorem: Let $\mathcal{M}:=\{f_\alpha; \alpha \in J\}$ be a set of bounded functions, such that $f_\...
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32 views

random walk on rotation matrix

I have a $3\times3$ matrix and I have to create a random process that rotates this matrix and such that there is a typical time of decorrelation of the matrix: the mean time needed to reorient the ...
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0answers
19 views

Supremum of expected value over equivalent measures

I'm not sure how one can proof the following statement: We have a probability space $(\Omega, \mathbb{F}, \mathbb{P})$ and a $\mathbb{F}$-measurable random variable $X$. Furthermore we have a set of ...
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28 views

Show that the only nonnegative superharmonic functions in R are the constants

I am having trouble finding g$^∗$(x) when $$g(x) = \begin{cases} xe^{-x} & \text{for x > 0} \\[2ex] 0 & \text{for x $\leq$ 0}. \end{cases}$$ I would like to use the fact that the only ...
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20 views

Proving that only nonnegative superharmonic functions in R$^2$ are constants

How can I prove that the only nonnegative (B$_t$-) superharmonic functions in R$^2$ are the constants? So far, I know that u is a nonnegative superharmonic function and that there exist x, y ∈ R$^2$ ...
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Brownian Motion in Confined space, any results?

I am searching for work regarding Brownian motion in a confined space, like a sphere or a cylinder, where the wall will serve as reflection boundary. I am wondering if it is possible to derive results ...
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21 views

Predict the daily usage of Bandwidth of a Network

Context: I want to predict the daily usage of bandwidth of a network (consists a number of users) based on previous use . For example, I want to predict the amount of bandwidth during 8 pm to 9pm ...
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1answer
27 views

Two notions of square-integrability

It seems to me there are two notions for random variables / processes which get labeled square-integrable: $EX^2_t<\infty \; \forall t$ $E \int^t_0 X_s^2 \; ds < \infty \; \forall t$ I ...
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0answers
73 views

Close-form solution for distribution of the stopping time for a path-dependent random process?

A time series $\{x_s\}_{s=1}^{\infty}$ is generated from $N(\bar{x},1/b)\ i.i.d.$. Parameter $\bar{x}$ is drawn from prior distribution $N(\phi_0,1/a)$. Define conditional expectation of $\bar{x}$ as ...
4
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53 views

conditional probability on zero probability events and conditional Radon-Nikodym derivatives

Consider a stochastic process $\{x_t\}_{t\in T}$ adapted to some filtered probability space $(\Omega,\mathcal{F},\{\mathcal{F}\}_{t\in T},\mathbb{P})$ taking values in the state space $(\mathbb{R},\...
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1answer
21 views

Expected value of geometric Brownian motion

So everyone knows that the expected value of GBM is given by: $X_0 \exp(\mu t)$ My question is that what does this say about such stochastic processes? Since $X_0$ and $\mu$ are within "my control" ...
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1answer
88 views

Probability that a Lévy-process is unbounded, zero-one law?.

For a Lévy-process, I need to prove that the probability that the trajectories are bounded on $[0,\infty)$ is either 0 or 1. Can you please help me? (The author says that this is a consequence of ...
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97 views
+100

How can we prove that $\langle\int_0^t\Phi_s{\rm d}W_s,x\rangle_H=\sum_{n\in\mathbb N}\int_0^t\langle\sqrt{λ_n}\Phi_se_n,x\rangle_H{\rm d}B_s^{(n)}$?

Let$^1$ $U$ and $H$ be separable $\mathbb R$-Hilbert spaces $Q\in\mathfrak L(U,H)$ be nonnegative and symmetric operator on $U$ with finite trace $(e_n)_{n\in\mathbb N}$ be an orthonormal basis of $...
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45 views

Expectation of the first passage time of $T_{a,b}$ [duplicate]

Let $(\Omega, \mathcal{F},\mathbb{P})$ be a probability space and let $W_t$ be standard Wiener process and $$T_{a,b}=\inf\{t:W_t=a+bt\}$$ where $a$ and $b$ are costant.I want to get expectation of $...
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1answer
34 views

proof of Markov chain Monte Carlo

This is the first step of proof of MCMC in my notes I have a question, how come $\pi(x)\pi(x_p\mid x)=\pi(x_p)\pi(x\mid x_p)$? Is it true for any markov chains which are ergodic and aperiodic? The ...
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59 views

Correlated brownian motions and Lévy's theorem

$W^{(1)}_t$ and $W^{(2)}_t$ are two independent Brownian motions. How can I use Lévy's Theorem to show that $$W_t:=\rho W^{(1)}_t+\sqrt{(1-\rho^2)} W^{(2)}_t,$$ is also a Brownian motion for a given ...
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10answers
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What's the difference between stochastic and random?

What's the difference between stochastic and random? I've read in the Portuguese Wikipedia that there's a difference, but I still didn't see this point on English Wikipedia.
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12 views

CGF determines the distribution

It is well known, that if the domain of the mgf of a random variable $X$ contains an interval around zero, then the distribution is completely determined by its moments. However consider a Levy-...
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14 views

convergence in p-th moment of Euler-Maruyama scheme

I have an SDE with global Lipschitz coefficients on $[0,T]$, i.e. $$ dv = \mu(v)dt + \sigma(v)dW $$ with $|\mu(u)-\mu(v)| \vee |\sigma(u)-\sigma(v)| \leq L |u-v|$ and $W$ being standard 1-d Brownian ...
0
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1answer
25 views

Ornstein-Ulhenbeck and convergence almost surely

Let this O-U equation : $$ dX_t = \alpha X_t dt + \sigma dB_t,\ \ \ X_0=x $$ where $x,\alpha<0,\sigma$ are constants. I proved that $X_t\xrightarrow{d} X\overset{d}{=}\mathcal N (0, \frac{\sigma^2}...
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19 views

estimation for analytic stochastic processes

this is for experts in probability and stats. There is a theorem, I have seen once: Given a stationary analytic random process, one can show that from the values of a sample path in a finite interval ...
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1answer
26 views

Probability density function of Poisson Process trajectory

Given a Poisson Process with rate $\lambda$, by a fixed time $t$ we have observed $n$ arrivals at times $t_1 < \cdots < t_n$, with $t_0 = 0 < t_1$ and $t_n < t$ I'm trying to find a ...
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1answer
47 views

What Stochastic Calculi Other Than Ito And Stratonovich Exist?

When learning about stochastic calculus, you typically encounter Ito and Stratonovich calculi, usually in that order. There are many differences between the two (Ito processes have better martingale ...
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23 views

Stochastic Differential Equation Time-Independent

I know that a generic 1-D SDE can be written in Ito form as: $dX_{t} = \mu(X_t,t)dt + \sigma(X_t,t)dW_t$. I was curious as to how such an SDE is written when modelling time-independent processes. I ...
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Is the integral of an Ito process still an Ito process?

Assume $r(t)$ is an Ito diffusion: $$dr_t = \mu_tdt + \sigma_tdW_t$$ Then, define the following process: $$X_t = \int_0^tr(s)ds$$ Is $X_t$ still an Ito diffusion?
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1answer
41 views

Expected hitting time of Ornstein-Uhlenbeck process

If I recall correctly, it is known that for a standard brownian motion starting at $0$, that the expected time to hit some level $a>0$ is infinite. I'm curious if there's a proof of what the ...
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1answer
22 views

$\pi$-system generating cylindrical $\sigma$-algebra

I have stumbled while solving the following problem. It seems simple, therefore your hints would be much valuable. Let $C$ denote the set of all continuos functions $x.$ from $t\in[0,\infty)$ to $\...
3
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1answer
88 views

Etemadi's inequality

In another post an inequality referred to as "Etemadi's Inequality" is mentioned twice - in the original post as well as in the answer. However, the contexts of usage are such as to raise the question ...
45
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12answers
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If a coin toss is observed to come up as heads many times, does that affect the probability of the next toss?

A two-sided coin has just been minted with two different sides (heads and tails). It has never been flipped before. Basic understanding of probability suggests that the probability of flipping heads ...
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23 views

Integrated Brownian Bridge is a Gaussian Process

Let $W(t),t \in [0,1]$ be a (Standard) Wiener Process. The Brownian Bridge $B(t), t \in [0,1]$ can be constructed via $B(t):=W(t) - t \cdot W(1)$ and is a Gaussian process with zero mean and ...
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18 views

Feller boundary conditions

The classification of boundary behavior for a time-homogeneous diffusion satisfying an Ito stochastic differential equation (SDE) is well known. According to the Feller classification, there are four ...
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1answer
48 views

System of Stochastic Differential Equations (SDEs) from Diffusion on Manifold

I am looking at a system of SDEs due to Brownian motion on a 3d Riemannian manifold (see e.g. Ito, 1962, The Brownian Motion and Tensor Fields on Riemannian manifolds). I have reduced the associated ...
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16 views

Asymptotic Growth of Markov Chain

I'm interested in the following problem: We have got a time-discrete Markov chain $(X_n)$ with state space $S=\mathbb{R}_+^d$. The transition kernel is discrete in the sense, that for each $s \in S$ ...
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0answers
25 views

limit of the absolute value of brownian motion

i'm trying to figure out if the limit of the absolute value of a brownian motion goes to $\infty$ as t goes to $\infty$. from the law of iterated logarithm i know that $\limsup_{t\to\infty} \frac{B(...
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Square Integrable Martingales and the Unit Process

Let $X_t$ be a continuous square-integrable martingale. Then it is true (I think, please correct me if I am wrong) that: $$\forall t \in [0,\infty), \quad \int_0^t 1_{[0,t]}(s) dX_s = X_t - X_0$$ So ...
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36 views

Conditional Expectation

If we have $Z_{t-1} = (X_1, \ldots,X_{t-1})$ and we know $(S_{t-1} \mid Z_{t-1}) \backsim N (\hat{S}_{t-1}, P_{t-1})$, where $S_t = G_{t}S_{t-1} + w_{t}$ and $X_{t} = F_tS_t +v_t$, so I know that $(...
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0answers
25 views

Distribution of marginal Wiener process.

Let $(W^1,W^2)$ be a two-dimensional Wiener process with correlation $\rho$. Let $\mathcal{F}^1_t$ be the filtration generated by $W^1$ up to $t$. I would intuitively think that for $h$ measurable ...
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0answers
18 views

Are there symbolic methods/computing for stochastic processes and stochastic differential equations?

Are there symbolic methods/computing for stochastic processes and stochastic differential equations? Are there some research trends along these lines? Can this be perspective and fruitful endeavour ...
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3answers
433 views

Stochastic geometry, point processes online lecture

Does any of you know where to find online lecture/podcast introducing stochastic geometry and/or point processes? Thank you! Riccardo
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1answer
58 views

Expectation of Product of Ito Integrals wrt Independent Brownian Motions

Let $W_1(t)$, $W_2(t)$, $W_3(t)$ be independent Brownian motions and $f$, $g$ smooth functions. I want to know if the following is true: $$ \mathbb{E}\left[ \left( \int\limits_0^t f(...
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1answer
37 views

Question on Brownian motion on unit circle.

I have been trying to investigate some stochastic processes that I find interesting. I came across the Brownian motion on the unit circle. For some reason I would have expected that it keeps "going ...
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1answer
17 views

what's the equilibrium for this special birth-death process?

This is an example from notes I have worked out questions from i to iii, no problems with that. But I don't know how to answer question iv, the note says that "The system reaches an equilibrium for ...
2
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0answers
19 views

How to compute integral of exponential martingale with respect to Poisson process?

Let $N=\{N_t:t\in\mathbb R_+\}$ be a homogeneous Poisson process with intensity $\alpha$ and $M_t=N_t-\alpha t$ the compensated process. I'd like to show that $N$ is not a natural process, i.e. that ...
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24 views

When is a stochastic integral a martingale?

In what follows, let the probability space $(\Omega, \mathcal{F}, \mathbb{P})$ as well as the chosen filtration $(\mathcal{F}_t)_{t \ge 0}$ be known, and let $f$ denote an arbitrary locally bounded ...