# Tagged Questions

Questions about stochastic calculus in Mathematica, for example how to use ItoProcess and RandomFunction.

136 views

### Ito Process paths over a Plot3D

I was wondering if its possible to draw the simulated paths of an Ito diffusion over the probability density function. Ito Process: ...
73 views

### ITO Process with random initial position

I am trying to define an ITO process with random initial state but its only drawing once an uses it for all paths. Here is the code: ...
31 views

### Why G/G/1 Queue properties Mathematica command not working?

Dear in this command I try to compute the M/M/1 properties with different arrival and service rate along with G/G/1 with arrival and service distributions are the Pareto distributions. ...
57 views

### Ito process for 2D system

I have the following 2D dynamical system that I solve with NDSolve: ...
308 views

### How to implement Markov Chain Monte Carlo with built-in functions?

These days I'm trying to conduct a model sensitivity test which is heavily based on the Markov Chain Monte Carlo simulation approach. And I find this 'MCMC' package that can perform Markov Chain ...
79 views

### How to define a stochastic electromagnetic field? [closed]

I would like to show the effect of a stochastic electromagnetic field on a relativistic charged particle, using a manipulate box. The field should be randomly varying in time and in space, and be ...
69 views

### Simulation of two Ito processes

I would like to simulate two processes, Ito Process "A" and Ito Process "B". What I need is to have only one path of process "B" but many paths of process "A" - however, I need all these paths of ...
42 views

### Stochastic proccess in mathematica using itofunction and different processes(Bernoulli and weiner)

$ds(t)=K B (t) s( t)+\alpha (\mu -s (t))+\sigma dw(t)$ Where $(\alpha ,\mu ,K,B t,\sigma ,w)$ are in order(reversion factor, mean,Random N~(0,1),BernoulliProcess(0.008), Volatility,Weiner process) ...
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### Is it possible to use random initial data in StratonovichProcess or ItoProcess?

I tried the following but it doesn't seem to be working ...
120 views

### How to make a parameter stochastic in a differential equation system with NDSolve?

I constructed the differential equation system below, which I solved using NDSolve. Now I need one parameter ($mu$) to be stochastic, e.g. Poisson distributed around a mean and changing slightly at ...
86 views

### Random Variable in Recurrence Function

Following the previously published question, I'm looking for the solution of RecurrenceTable with explicit random variable. For example, something like ...
110 views

### Defining stochastic differential equation & simulating a system of three SDEs

I am no expert on SDE but I've been messing around with MMA's built in functions and it makes it quite easy to do some simple simulations. I bumped into this system of equations (below) in a paper and ...
87 views

### Stochastic process, Corelation function, Numerical solution, real data

I am new in Mathematica and stochastic process too. I would like to compute (auto)correlation function from real data. So I decide try/test Mathematica script on ...
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### How to use Tandem Queueing Network Process?

Mathematica provides QueueingNetworkProcess and QueueingProcess. However, I can't seem to figure out how to create a tandem ...
90 views

### Why does RandomFunction return variable number of data points?

I am using the following code snippet to generate Compound Poisson process random numbers: ...
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### Differential equation with random variable

How can I derive analytically or compute numerically the solution to following differential equation $$dy/dt = y\cdot X\cdot (y\cdot X - g(y,X))\cdot X$$ where X is a random variable (e.g. from a ...
233 views

### Time series (stochastic process) estimating parameters using characteristic function

I have a time series of assets ${A_1, A_2, ..., A_n}$, which is described by a sophisticated distribution having the following characteristic function: $\phi(u; t;\theta)$, where $\theta$ is a vector ...
104 views

### Evaluating an ItoProcesss function

The following is my Stochastic D.E.: ...
2k views

### Solving a stochastic differential equation

How do I solve the following simple stochastic differential equation: $$m x''[t] + \Gamma x'[t] + k x[t] = \sqrt[]{2 k_{b} T/\Gamma)} \eta[t]$$ here $\eta[t]$ is Brownian motion, i.e. Wiener ...
275 views

### Finding the time at which an Ito process satisfies a constraint

I want to run an Ito stochastic process. I have the following parameters ...
310 views

### Problem in simulating discrete time stochastic

I have been playing with some stochastic questions and specially the problem here.It seems no matter for the first time in bet, gambler is going to lose the first bet.Am I right?How can we correct the ...
525 views

### Boundary condition for stochastic differential equation

I have a simple stochastic differential equation (SDE) with white noise: ...
250 views