Questions about random number generation and the properties of numbers so generated.

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2
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1answer
229 views

Boundary condition for stochastic differential equation

I have a simple stochastic differential equation (SDE) with white noise: ...
4
votes
0answers
80 views

Converting problem into form involving Probability

I want to solve the following problem symbolically, using Probability: What is the probability of the first random variate of a set to be present more than ...
2
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0answers
538 views

Calculate variance of random walk?

How can I symbolically calculate the variance of the following random walk in Mathematica? Given several discrete random variables such that $p(Z_i=1-2k)=p$, where $k$ is a small real number, and ...
1
vote
0answers
76 views

How do I keep a random value associated with a locator point as points are added?

I have a Manipulate to which I am adding and removing Locator points (one of which is different from the others, though that is ...
1
vote
0answers
129 views

Monte Carlo integration with random numbers generated from a Gaussian distribution

I want to do numerical integration of some functions using the Monte Carlo method. The default setting for the Monte Carlo method is to use a uniform distribution as far as I know. How can I change ...
1
vote
0answers
83 views

What is the fastest way to obtain the eigenvalues of a Wishart matrix?

I would like a fast method of creating a sample of random numbers which corresponds to the eigenvalues of a Wishart matrix: For M>N the eigenvalues \lambda_i are given by the jpd Where $K_N$ is ...
0
votes
0answers
49 views

How to deal with matrices involved in system of SDEs?

This question is in continuation of the the previous posts Solving Stochastic differential equation and Fast Simulations with Compile. What I want to do is numerically solving the epidemic model which ...
-1
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0answers
27 views

Can FindProcessParameter be used on a matrix of values rather than a sequence

I am trying to use FindProcessParameter to find the Hurst exponent of an image represented by a matrix of values: ...