Stochastic Definition and 143 Threads

  1. A

    'Mean Aversion' in Stochastic Differential Equations

    I had a brief question regarding SDEs. Typically, I've seen models like the Ornstein-Uhlenbeck process that generally revert back to the mean over time. However, I've been trying to find a stochastic differential equation/process that avoids the mean, such as a sharp increase followed by a sharp...
  2. C

    MHB Stochastic Differential Equation using Ito's Lemma

    I am new to SDE, and especially Ito's Lemma. I have a question that I simply cannot answer. It attached. Can someone please help?
  3. Ravi Mohan

    Probability distribution of a stochastic variable

    I am studying an article which involves stochastic variables http://www.rmki.kfki.hu/~diosi/prints/1985pla112p288.pdf. The author defines a probability distribution of a stochastic potential V by a generator functional G[h] = \left<exp\left(i\int...
  4. R

    Stochastic differential equations question. An over view

    I've been reading Oksendal, and it's quite tedious. It want to see if my understanding of the motivation and process is correct. 1) Differential equations that have random variables need special techniques to be solved 2) Ito and Stratonovich extended calculus to apply to random...
  5. B

    Stationary Increments & Markov Property - True or False?

    Hello Is it true that if a counting process has stationary increments, then it is time homogeneous? stationary increments → time homogeneous? And is it also true that independent increments gives Markovian property? that is : independent increments → markovian property ? The...
  6. Z

    Optimizing Plane Fitting Using Stochastic Gradient Descent

    Homework Statement Suppose I wish to fit a plane z = w_1 + w_2x +w_3y to a data set (x_1,y_1,z_1), ... ,(x_n,y_n,z_n) Using gradient descent Homework Equations http://en.wikipedia.org/wiki/Stochastic_gradient_descent The Attempt at a Solution I'm basically trying to figure out the...
  7. G

    Looking for text on stochastic processes

    An introductory text is preferable. Topics relevant (not a deal-breaker if not covered): Poisson process, Markov chains, renewal theory, models for queuing, and reliability. Also, in the future I'd like to dabble in stochastic calculus, but my background in measure theory is non-existent. I've...
  8. G

    MHB Stochastic Taylor's Expansion (Ito Rule)

    Good day. For $k\geq0$ a continuous function on $\mathbb{R}_+$ and $\{W_t\}$ a standard Brownian motion, could you help me find the Taylor's expansion of the following exponential: $e^{-\int_0^t k(s) dW_s}.$ For the case where $e^{-k W_t}$ where $k>0$ is a constant, I was able to recompute...
  9. C

    Stochastic processes with memory

    Can anyone provide references for stochastic processes where future steps do depend on the past state of the system? Most of the material I'm finding deals purely with memoryless processes. Thanks!
  10. W

    What is the Role of Epsilon in Stochastic Continuity?

  11. R

    MHB Applied Stochastic processes: difference of uniform distributions

    Two independent random variables X and Y has the same uniform distributions in the range [-1..1]. Find the distribution function of Z=X-Y, its mean and variance. =Using change of variables technique seems to be easiest. fX(x) = 1/2 fY(y) =1/2 f = 1/4 ( -1<X<1 , -1<Y<1) Using u =x -y...
  12. R

    Applied Stochastic Processes - 2?

    Two independent random variables X and Y has the same uniform distributions in the range [-1..1]. Find the distribution function of Z=X-Y, its mean and variance. =Using change of variables technique seems to be easiest. fX(x) = 1/2 fY(y) =1/2 f = 1/4 ( -1<X<1 , -1<Y<1) Using u...
  13. R

    Applied Stochastic Processess?

    Random variable X is distributed according to Gaussian distribution P(x)= (1/sqrt(2πσ^2) * exp(- (x-μ)^2 / (2σ^2) ) 1. Calculate its first three moments 2. What are the distributions of Y= X+b; Z=σX; W=X^2 P(x)= (1/sqrt(2πσ^2) * exp(- (x-μ)^2 / (2σ^2) ) so 1.1. the moment of first...
  14. R

    MHB Applied Stochastic Processes: characteristic functions

    [FONT=arial]Find characteristic functions of [FONT=arial]1. The random variable X uniformly distributed on[-1..1] [FONT=arial]2. The random variable Y distributed exponentially (with exponent λ) [FONT=arial]3. The random variable Z=X+Y
  15. X

    Measure Theory Q's wrt Stochastic Processes

    Hello there. The stochastic calc book I'm going through ( and others I've seen ) uses the phrase "\mathscr{F}-measurable" random variable Y in the section on measure theory. What does this mean? I'm aware that \mathscr{F} is a \sigma-field over all possible values for the possible values of...
  16. mnb96

    Question on notation of stochastic processes

    Hello, when we have a deterministic signal f:ℝ→ℝ that is square integrable we can typically write f \in L^2(\mathbb{R}). However, what if \{ f(t): \; t\in \mathbb{R} \} are random variables, i.e. f is a continuous-time stochastic process? What is the notation to denote the space of "square...
  17. M

    What is Stochastic Overflow? | Carl Sagan

    In his book "The Demon-Haunted World" Carl Sagan talks about this, I wonder what kind of physics phenom is that. t.i.a.
  18. D

    Stochastic Process prerequsites and difficulty?

    My university is offering a course called "Stochastic Process". The only prerequisites to this course according to my university is a course in Probability which uses the book by Rosen. I've read elsewhere that the course actually requires more of analysis (functional analysis and measure...
  19. S

    Basic Stochastic Calculus Question, why does dB^2 = dt?

    As the title says, while using Stochastic Calculus, can someone explain some of the properties of differentials? Why does dB_t dB_t=dt Also, why does dt dt=0 and dB_t dt=0 I don't really get why these work?
  20. B

    Uniform pdf from difference of two stochastic variables?

    Hi, I'm trying to find a probability distribution (D) with the following property: Given two independent stochastic variables X1 and X2 from the distribution D, I want the difference Y=X1-X2 to have a uniform distribution (one the interval [0,1], say). I don't seem to be able to solve it...
  21. A

    Does anyone have some expertise in stochastic processes?

    Would anyone be able to help me with a problem involving martingales and another problem dealing with Poisson processes perhaps? I'm completely stuck on my last homework assignment in the class this term. Thanks for anyone who can help.
  22. O

    Expected Value and First Order Stochastic Dominance

    Dear All: Given two random variables X and Y, if I have established the relationship E[X]>=E[Y], does this necessarily imply that X must have a first-order-stochastic dominance over Y? I know that first order stochastic dominance implies that the mean value of the dominating random...
  23. H

    Text book suggestion for stochastic process

    Hello. I plan on doing independent study on the Stochastic Process and time series models. I have already learned two semesters worth of statistics (Mathematical Statistics and Applications by Wackerly, Mendenhall and Scheaffer). And I have taken a semester of multiple regression models. I...
  24. R

    Infinitesimal generators of bridged stochastic process

    I hope someone can put me on the right track here. I need to derive the infinitesimal generator for a bridged gamma process and have come a bit stuck (its for a curve following stochastic control problem - don't ask). Any tips, papers, books that could guide me out of my hole would be greatly...
  25. J

    Example of a non-Gaussian stochastic process?

    Consider stochastic process ##X(t)## with properties $$ \langle X(t) \rangle = 0, $$ $$ \langle X(t) X(t-\tau) \rangle = C_0e^{-|\tau|/\tau_c}. $$ For example, the position of a Brownian particle in harmonic potential can be described by ##X##. In that case, the probability...
  26. Mandelbroth

    Regarding continuous stochastic variables and probability

    One of my math teachers discussed stochastic ("random") variables today. In an example, he discussed the probability of picking a random number n, such that n\inℝ, in the interval [0,10]. He proceeded to say that the probability of picking the integer 4 (n = 4) is 0, supporting his claim with...
  27. O

    Stochastic Process Intg: Why & How?

    Why does: \int_0^t d(e^{-us} X(s)) = \sigma \int_0^t e^{-us} dB(s) for stochastic process X(t) and Wiener process B(t)? Also, why is the following true: \int_0^t d(e^{-us} X(s)) = e^{-ut}X(t) - X(0)
  28. O

    Strange right-arrow symbol ([itex]\mapsto[/itex]) in stochastic calculus.

    What does the right arrow mean in this context: " ...Then the process t \mapsto \int_{0}^t \phi_s dM_s are well-defined continuous local martingales, whose quadratic variations are given by ... " Is this supposed to mean "the process X that is the mapping X: t \mapsto \int_{0}^t \phi_s dM_s"
  29. D

    Know of a field that combines EM, fluid mech and stochastic processes?

    Touch of background, about half way through a mechatronics engineering degree, I found that I love fluid mechanics and from previous studies I know I enjoy EM. To throw a curve ball in I also am fascinated by the concept of randomness and the associated mathematics. Now for the question, could...
  30. N

    Understanding the Factor 2 in the Langevin Stochastic Differential Equation

    Hi I am reading about the Langevin stochastic differential equation \frac{d}{dt}p = -\alpha p + f(t) where p is the momentum and f(t) the Langevin force. By definition <F(t)>=0 and <f(t)f(t')> = 2Dg(t-t'), where g is the second order correlation function. My question is, why is...
  31. J

    Solving stochastic differentials for time series forecasting

    I am trying to reproduce results of a paper. The model is: dS = (v-y-\lambda_1)Sdt + \sigma_1Sdz_1 \\ dy = (-\kappa y - \lambda_2)dt + \sigma_2 dz_2 \\ dv = a((\bar{v}-v)-\lambda_3)dt + \sigma_3 dz_3 \\ dz_1dz_2 = \rho_{12}dt \\ dz_1dz_3 = \rho_{13}dt \\ dz_2dz_3 = \rho_{23}dt \\...
  32. S

    Applying Ito's Lemma: Solving a Stochastic Differential Equation

    Homework Statement I'm trying to figure out how to use Ito's Lemma, but all I have are notes and proofs. It would help if someone could go through one actual example with me: Use Ito's Lemma to solve the stochastic differential equation: X_t=2+\int_{0}^{t}(15-9X_s)ds+7\int_{0}^{t}dB_s and...
  33. P

    Issue in understanding stochastic ordering

    This is not actually a problem but I need clarification for stochastic ordering From Wikipedia, there is stated: (http://en.wikipedia.org/wiki/Stochastic_ordering) Usual stochastic order: a real random variable A is less than a random variable B in the "usual stochastic order" if Pr(A>x)...
  34. sunrah

    Stochastic Processes: Maximising profits $$

    Homework Statement A company incurs manufacturing costs of $q per item. The product is sold at a retail price of $p per item with p > q. The customer demand K (e.g. number of items that will be sold when the number of items offered is large enough) is a discrete random variable in N. The...
  35. S

    Stochastic modelling, poisson process

    Homework Statement Suppose a book of 600 pages contains a total of 240 typographical errors. Develop a poisson approximation for the probability that three partiular successive pages are error-free. The Attempt at a Solution I say that the number of errors is poissondistributed...
  36. J

    MHB Stationary distribution for a doubly stochastic matrix.

    I can find the stationary distribution vector $\boldsymbol\pi$ for a stochastic matrix $P$ using: $\boldsymbol\pi P=\boldsymbol\pi$, where $\pi_1+\pi_2+\ldots+\pi_k=1$ However, I can't find a textbook that explains how to do this for a doubly stochastic (bistochastic) matrix. Could somebody...
  37. S

    Stationary distribution for a doubly stochastic matrix.

    Homework Statement I can find the stationary distribution vector \boldsymbol\pi for a stochastic matrix P using: \boldsymbol\pi P=\boldsymbol\pi, where \pi_1+\pi_2+\ldots+\pi_k=1 However, I can't find a textbook that explains how to do this for a doubly stochastic (bistochastic) matrix...
  38. L

    Idea of adapted stochastic process doesn't make sense to me

    The technical definition of an adapted stochastic process can be found here https://en.wikipedia.org/wiki/Adapted_process. I understand the following chain of consequences from this definition: {X_i} is adapted \Rightarrow Each random variable X_i is measurable with respect to the...
  39. C

    Good books on stochastic processes?

    Hey! Just as the title suggests I am looking for a good book on stochastic processes which isn't just praised because it is used everywhere, but because the students actually find it thorough, crystal-clear and attentive to detail. Hopefully with solved exercises and problems too! Anyone...
  40. K

    Proving Covariance for Stationary Stochastic Processes

    If a stoch. process Xt has independent and weak stationary increments. var(Xt) = σ^2 for all t, prove that Cov(xt,xs) = min(t,s)σ^2 I'm not sure how to do this. I tried using the definition of covariance but that doesn't really lead me anywhere. If it's stationary that means the distribution...
  41. J

    How can Fubini's Theorem be applied to solve more complex integrals?

    I am really stuck on this and can't find any information or examples on it. My textbook has one example in it and it isn't explained at all. It is the following? ∫B{s}ds integrated From 0 to t.It is then changed to a double integral and fubinis theorm is applied to arrive at the solution...
  42. S

    Solving Stochastic Processes Homework for PP (9/hora)

    Homework Statement If people entering the engineering building following a PP (9/hora) and you know that between 10:00 am and 11:00 am came exactly 100 persons, what is the probability that between 10:00 am and 10:20 am entered less than 20 people If people entering the engineering...
  43. D

    Stochastic Calculus - Limit Law

    [PLAIN]http://img17.imageshack.us/img17/1061/stochcalcq4.png I am currently taking a class in quantitative finance, part of which includes an introduction to stochastic calculus. This is the first time i have encountered stochastic differential equations, so it is all quite new to me. I am...
  44. J

    Stochastic differential equation problem

    Sorry if this is in the wrong section but i have a problem, I have no experience with stochastic equations well analytically anyway. The equation i have is the following; \frac{dv}{dt} = - \alpha v+ \lambda F+\eta Where alpha lambda and F are constants, v is a variable (speed in this...
  45. C

    Complex Variables or Stochastic Processes?

    Hi, I am a math and physics major planning on going into biophysics for grad school, and i want to do computational/mathematical modelling/theoretical work in the field. I have one more math course to take and I am not sure which would be more useful. Here are their very brief course...
  46. P

    Help for the stochastic differential equations

    Hi, Could some one help me to solve the equations ? dX =sqrt(X) dB where X is a process; B is a Brownian motion with B(0,w) =0;sqrt(X) is squart root of X.
  47. S

    Stochastic differential of a particular martingale

    Hello everyone, I'm studying from Oksendal's book, and I'm stuck at an excercise which asks you to find the differential form of: X(t) = (W(t)^{2}-t)^{2} - 4\int (W(s))^{2}ds where W(t) is a Brownian Motion. I tried several possible functions g(t,W(t)) which could have led to a potential...
  48. S

    Understanding classical stochastic systems

    This is an extract from my lecture notes: "For classical stochastic systems, w(p,x,t)dpdx = prob. particle is in dpdx. w\geq0 \int dp \int dx w(p,x) = 1." 1. Can anyone please explain what a classical stochastic system is? 2. Why is there a question of probability in analysing such a...
  49. H

    Example of stochastic differential equations

    hello to everyone, I have a problem solving a stochastic differential equation of the form: dX/dt=aX²+bX+c+sXn(t), where n(t) is white noise with a mean value equal to 0 and variance equal to one. Does anyone know the solution of this stochastic differential equation or how to solve...
  50. V

    Stochastic calculus in mathematician's vs physicist's view

    Hello, I've studied physics at a university previously and actually earned a degree in theoretical physics, but then switched over to mathematics, where I focused on stochastic analysis/calculus/processes (I'll just call it stochastics). Now, I remember taking a course on stochastics while...
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