# Tagged Questions

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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### 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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### 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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### 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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### Proving that 1- and 2-d simple symmetric random walks return to the origin with probability 1

How does one prove that a simple (steps of length $1$ in directions parallel to the axes) symmetric (each possible direction is equally likely) random walk in $1$ or $2$ dimensions returns to the ...
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### Zombie outbreak on a $k$-regular graph

Suppose we have a zombie outbreak on a connected $k$-regular graph of order $n$. There are $n_0$ initially infected zombie nodes, and each turn, each zombie infects its neighbors with probability $p$....
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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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### Drunkard's walk on the $n^{th}$ roots of unity.

Fix an integer $n\geq 2$. Suppose we start at the origin in the complex plane, and on each step we choose an $n^{th}$ root of unity at random, and go $1$ unit distance in that direction. Let $X_N$ ...
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### What is a Markov Chain?

What is a intuitive explanation of a Markov Chain, and how they work? Please provide at least one practical example.
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### Going to the Movies!

I was looking at movie times today and was struck by the oddly-spaced showing times. For example, at the local Loew's Theater "Tron: Legacy 3D" (127 min.) is playing on two screens at the following ...
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### Slowest frog on a ladder amongst many, how fast does it climb and how much is it lagging below the others?

In English: Frogs are climbing up a ladder. Each frog jumps to the next level of the ladder at unit rate and independently of the other frogs and of the level it is at. All the frogs start at level 0 ...
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### Stochastic interpretation of Einstein equations

Einstein's theory of gravitation, general relativity, is a purely geometric theory. In a recent question I wanted to know what the relation of Brownian motion to the Helmholtz equation is and got a ...
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I'm trying to learn about the Kushner-Stratonovich-Pardoux equations in filtering theory. I'm familiar with Itô calculus at the level of Øksendal's book (but struggle with much of Karatzas and Shreve,...
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### Random walk on $n$-cycle

For a graph $G$, let $W$ be the (random) vertex occupied at the ﬁrst time the random walk has visited every vertex. That is, $W$ is the last new vertex to be visited by the random walk. Prove the ...
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### Ant in a circle

An ant is sitting in the middle of a circle of radius 3 meters. Every minute, the ant picks a random direction and moves straight 1 meter. On average, how long does it take the ant to leave the ...
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### Markov process vs. markov chain vs. random process vs. stochastic process vs. collection of random variables

I'm trying to understand each of the above terms, and I'm having a lot of trouble deciphering the difference between them (note, my mathematics training isn't very strong - so please go easy on the ...
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### 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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### Considering Brownian bridge as conditioned Brownian motion

Let $B$ be a standard Brownian motion. Define a Brownian bridge $b$ by $b_t=B_t-tB_1$. Let $\mathbb{W'}$ be the law of this process. According to Wikipedia, A Brownian bridge is a ...
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### Does this modified random walk (2D) return with probability 1?

Pólya showed that a random walk (with the directions at each step uniformly distributed) on the integer lattice returns with probability 1. What if instead we consider the random walk where we are ...
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### Motivation of Feynman-Kac formula and its relation to Kolmogorov backward/forward equations?

Kolmogorov backward/forward equations are pdes, derived for the semigroups constructed from the Markov transition kernels. Feynman-Kac formula is also a pde corresponding to a stochastic process ...
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### A sequence of order statistics from an iid sequence

Given a sequence of iid random variables $X_i$ (without loss of generality from $U(0,1)$), an integer $k \ge 1$ and some $p \in (0,1)$, construct the sequence of random vectors $Z^{(j)}$, $j=0,1,...$ ...
Let $X:=(X_t)_{0 \le t \le T}$ be a solution of the SDE $$X_t = X_0 + \int_0^t \sigma(s,X_s) dW_s + \sum_{i=1}^n f_i(X_{t_i^-}) 1_{\{t > t_i\}}$$ where $t_1,\cdots,t_n \in [0,T]$ and $(f_i)_{1 \le ... 6answers 7k views ### Example of a stochastic process which does not have the Markov property According to this definition, A stochastic process has the Markov property if the conditional probability distribution of future states of the process depends only upon the present state. [...] ... 3answers 2k views ### Criteria for being a true martingale Could you kindly list here all the criteria you know which guarantee that a continuous local martingale is in fact a true martingale? Which of these are valid for a general local martingale (non ... 2answers 917 views ### Could someone explain rough path theory? More specifically, what is the higher ordered “area process” and what information is it giving us? http://www.hairer.org/notes/RoughPaths.pdf here is a textbook, but I am completely lost at the definition. It is defined on page 13, chapter 2. A rough path is defined as an ordered pair,$(X,\mathbb{...
Consider $\mathbb{Z}^2$ as a graph, where each node has four neighbours. 4 signals are emitted from $(0,0)$ in each of four directions (1 per direction) . A node that receives one signal (or more) at ...