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Tsirelson's Stochastic Differential Equation
Tsirelson's stochastic differential equation (also Tsirelson's drift or Tsirelson's equation) is a stochastic differential equation which has a weak solution but no strong solution. It is therefore a counter-example and named after its discoverer Boris Tsirelson. Tsirelson's equation is of the form :dX_t = a ,(X_s, s\leq t)t + dW_t, \quad X_0=0, where W_t is the one-dimensional Brownian motion. Tsirelson chose the drift a to be a bounded measurable function that depends on the past times of X but is independent of the natural filtration In the theory of stochastic processes in mathematics and statistics, the generated filtration or natural filtration associated to a stochastic process is a filtration associated to the process which records its "past behaviour" at each time. It ... \mathcal^W of the Brownian motion. This gives a weak solution, but since the process X is not \mathcal_^W-measurable, not a strong solution. Tsirelson's Drift Let *\mathcal_t^=\sigma(W_s : 0 \leq s ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Stochastic Differential Equation
A stochastic differential equation (SDE) is a differential equation in which one or more of the terms is a stochastic process, resulting in a solution which is also a stochastic process. SDEs are used to model various phenomena such as stock prices or physical systems subject to thermal fluctuations. Typically, SDEs contain a variable which represents random white noise calculated as the derivative of Brownian motion or the Wiener process. However, other types of random behaviour are possible, such as jump processes. Random differential equations are conjugate to stochastic differential equations. Background Stochastic differential equations originated in the theory of Brownian motion, in the work of Albert Einstein and Smoluchowski. These early examples were linear stochastic differential equations, also called 'Langevin' equations after French physicist Langevin, describing the motion of a harmonic oscillator subject to a random force. The mathematical theory of stoc ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Weak Solution
In mathematics, a weak solution (also called a generalized solution) to an ordinary or partial differential equation is a function for which the derivatives may not all exist but which is nonetheless deemed to satisfy the equation in some precisely defined sense. There are many different definitions of weak solution, appropriate for different classes of equations. One of the most important is based on the notion of distributions. Avoiding the language of distributions, one starts with a differential equation and rewrites it in such a way that no derivatives of the solution of the equation show up (the new form is called the weak formulation, and the solutions to it are called weak solutions). Somewhat surprisingly, a differential equation may have solutions which are not differentiable; and the weak formulation allows one to find such solutions. Weak solutions are important because many differential equations encountered in modelling real-world phenomena do not admit of suffi ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Strong Solution
Strong may refer to: Education * The Strong, an educational institution in Rochester, New York, United States * Strong Hall (Lawrence, Kansas), an administrative hall of the University of Kansas * Strong School, New Haven, Connecticut, United States, an overflow school for district kindergartners and first graders Music Albums * ''Strong'' (Anette Olzon album), 2021 * ''Strong'' (Arrested Development album), 2010 * ''Strong'' (Michelle Wright album), 2013 * ''Strong'' (Thomas Anders album), 2010 * ''Strong'' (Tracy Lawrence album), 2004 * ''Strong'', a 2000 album by Clare Quilty Songs * "Strong" (London Grammar song), 2013 * "Strong" (One Direction song), 2013 * "Strong" (Robbie Williams song), 1998 * "Strong", a song by After Forever from ''Remagine'' * "Strong", a song by Audio Adrenaline from ''Worldwide'' * "Strong", a song by LeAnn Rimes from ''Whatever We Wanna'' * "Strong", a song by London Grammar from ''If You Wait'' * "Strong", a song by Will Hoge from ''Never ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Boris Tsirelson
Boris Semyonovich Tsirelson (May 4, 1950 – January 21, 2020) ( he, בוריס סמיונוביץ' צירלסון, russian: Борис Семёнович Цирельсон) was a Russian–Israeli mathematician and Professor of Mathematics at Tel Aviv University in Israel, as well as a Wikipedia editor. Biography Tsirelson was born in Leningrad to a Russian Jewish family. From his father Simeon's side, he was the great-nephew of rabbi Yehuda Leib Tsirelson, chief rabbi of Bessarabia from 1918 to 1941, and a prominent posek and Jewish leader. He obtained his Master of Science from the University of Leningrad and remained there to pursue graduate studies. He obtained his Ph.D. in 1975, with thesis "General properties of bounded Gaussian processes and related questions" written under the direction of Ildar Abdulovich Ibragimov. Later, he participated in the refusenik movement, but only received permission to emigrate to Israel in 1991. From then until 2017, he was a professo ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Brownian Motion
Brownian motion, or pedesis (from grc, πήδησις "leaping"), is the random motion of particles suspended in a medium (a liquid or a gas). This pattern of motion typically consists of random fluctuations in a particle's position inside a fluid sub-domain, followed by a relocation to another sub-domain. Each relocation is followed by more fluctuations within the new closed volume. This pattern describes a fluid at thermal equilibrium, defined by a given temperature. Within such a fluid, there exists no preferential direction of flow (as in transport phenomena). More specifically, the fluid's overall linear and angular momenta remain null over time. The kinetic energies of the molecular Brownian motions, together with those of molecular rotations and vibrations, sum up to the caloric component of a fluid's internal energy (the equipartition theorem). This motion is named after the botanist Robert Brown, who first described the phenomenon in 1827, while looking th ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Measurable Function
In mathematics and in particular measure theory, a measurable function is a function between the underlying sets of two measurable spaces that preserves the structure of the spaces: the preimage of any measurable set is measurable. This is in direct analogy to the definition that a continuous function between topological spaces preserves the topological structure: the preimage of any open set is open. In real analysis, measurable functions are used in the definition of the Lebesgue integral. In probability theory, a measurable function on a probability space is known as a random variable. Formal definition Let (X,\Sigma) and (Y,\Tau) be measurable spaces, meaning that X and Y are sets equipped with respective \sigma-algebras \Sigma and \Tau. A function f:X\to Y is said to be measurable if for every E\in \Tau the pre-image of E under f is in \Sigma; that is, for all E \in \Tau f^(E) := \ \in \Sigma. That is, \sigma (f)\subseteq\Sigma, where \sigma (f) is the σ-a ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Natural Filtration
In the theory of stochastic processes in mathematics and statistics, the generated filtration or natural filtration associated to a stochastic process is a filtration associated to the process which records its "past behaviour" at each time. It is in a sense the simplest filtration available for studying the given process: all information concerning the process, and only that information, is available in the natural filtration. More formally, let (Ω, ''F'', P) be a probability space; let (''I'', ≤) be a totally ordered index set; let (''S'', Σ) be a measurable space; let ''X'' : ''I'' × Ω → ''S'' be a stochastic process. Then the natural filtration of ''F'' with respect to ''X'' is defined to be the filtration ''F''•''X'' = (''F''''i''''X'')''i''∈''I'' given by :F_^ = \sigma \left\, i.e., the smallest ''σ''-algebra on Ω that contains all pre-images of Σ-measurable subsets of ''S'' for "times" ''j'' up to ''i''. In many examples, the index set ''I'' ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Decimal Place
Significant figures (also known as the significant digits, ''precision'' or ''resolution'') of a number in positional notation are digits in the number that are reliable and necessary to indicate the quantity of something. If a number expressing the result of a measurement (e.g., length, pressure, volume, or mass) has more digits than the number of digits allowed by the measurement resolution, then only as many digits as allowed by the measurement resolution are reliable, and so only these can be significant figures. For example, if a length measurement gives 114.8 mm while the smallest interval between marks on the ruler used in the measurement is 1 mm, then the first three digits (1, 1, and 4, showing 114 mm) are certain and so they are significant figures. Digits which are uncertain but ''reliable'' are also considered significant figures. In this example, the last digit (8, which adds 0.8 mm) is also considered a significant figure even though the ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Marc Yor
Marc Yor (24 July 1949 – 9 January 2014) was a French mathematician well known for his work on stochastic processes, especially properties of semimartingales, Brownian motion and other Lévy processes, the Bessel processes, and their applications to mathematical finance. Background Yor was a professor at the Paris VI University in Paris, France, from 1981 until his death in 2014. He was a recipient of several awards, including the Humboldt Prize The Humboldt Prize, the Humboldt-Forschungspreis in German, also known as the Humboldt Research Award, is an award given by the Alexander von Humboldt Foundation of Germany to internationally renowned scientists and scholars who work outside of G ..., the Montyon Prize,Official biography at the French Academy website and was awarded th ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Continuous Uniform Distribution
In probability theory and statistics, the continuous uniform distribution or rectangular distribution is a family of symmetric probability distributions. The distribution describes an experiment where there is an arbitrary outcome that lies between certain bounds. The bounds are defined by the parameters, ''a'' and ''b'', which are the minimum and maximum values. The interval can either be closed (e.g. , b or open (e.g. (a, b)). Therefore, the distribution is often abbreviated ''U'' (''a'', ''b''), where U stands for uniform distribution. The difference between the bounds defines the interval length; all intervals of the same length on the distribution's support are equally probable. It is the maximum entropy probability distribution for a random variable ''X'' under no constraint other than that it is contained in the distribution's support. Definitions Probability density function The probability density function of the continuous uniform distribution is: : f(x)=\begin ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Trivial σ-algebra
Trivia is information and data that are considered to be of little value. It can be contrasted with general knowledge and common sense. Latin Etymology The ancient Romans used the word ''triviae'' to describe where one road split or forked into two roads. Triviae was formed from ''tri'' (three) and ''viae'' (roads) – literally meaning "three roads", and in transferred use "a public place" and hence the meaning "commonplace." The Latin adjective ''triviālis'' in Classical Latin besides its literal meaning could have the meaning "appropriate to the street corner, commonplace, vulgar." In late Latin, it could also simply mean "triple." The pertaining adjective ''trivial'' was adopted in Early Modern English, while the noun ''trivium'' only appears in learned usage from the 19th century, in reference to the ''Artes Liberales'' and the plural ''trivia'' in the sense of "trivialities, trifles" only in the 20th century. Meaning In medieval Latin, the ''trivia'' (singular ''triv ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Stochastic Differential Equations
A stochastic differential equation (SDE) is a differential equation in which one or more of the terms is a stochastic process, resulting in a solution which is also a stochastic process. SDEs are used to model various phenomena such as stock prices or physical systems subject to thermal fluctuations. Typically, SDEs contain a variable which represents random white noise calculated as the derivative of Brownian motion or the Wiener process. However, other types of random behaviour are possible, such as jump processes. Random differential equations are conjugate to stochastic differential equations. Background Stochastic differential equations originated in the theory of Brownian motion, in the work of Albert Einstein and Smoluchowski. These early examples were linear stochastic differential equations, also called 'Langevin' equations after French physicist Langevin, describing the motion of a harmonic oscillator subject to a random force. The mathematical theory of stocha ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
