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Results tagged with stochastic-processes
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user 204121
A stochastic process is a random process evolving with time , i.e., a time sequence representing the evolution of some system represented by a variable whose change is subject to a random variation.
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Probability of branching times under a Ornstein–Uhlenbeck-Yule process
According to Edwards, 1970 the probability density of the branching times in a Brownian-Yule branching process can be expressed as:
\begin{equation}
P(\mathbf{u'},n|\lambda,n_0,T)=\lambda^{n-n_0}\frac …
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Changing sign at a Ornstein-Uhlenbeck process: mean, variance and likelihood
I am working with a multivariate Ornstein-Uhlenbeck process and its statistical properties (likelihood, expected values and variance).
The Ornstein-Uhlenbeck process can be described as a random walk …
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Properties of random-walk in infinite and finite two-dimensional space: probability of two p...
I have been told that one of the property of the continuous-time random walk in two dimensions is that:
$$\int_{Z} \, G(z, t | p_1) \, G(z, t | p_2) \,dz = \,G(p_1,p_2,2t)$$
where Z defines the coordi …
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Random walk in finite VERSUS infinite space: Probability density functions and their interpr...
I am studying the probability density function of a random walk in a confined geometry (2D-BOX). I am also comparing this probability density function to its equivalent in infinite two-dimensional pla …
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Geometric Brownian Motion versus Ornstein-Uhlenbeck process
The Geometric Brownian Motion model is a continuous-time stochastic process in which a particle move according to a random fluctuations (Wiener process) and a drift term.
The corresponding stochastic …
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