Questions tagged [random-process]
The random-process tag has no usage guidance.
0
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1answer
97 views
Adding white noise to a signal of two variables
When a signal depends on two variables, e.g.,
f[k1_, k2_] :=
Exp[I 0.75 (k1 + 0.3 k2)] + 1.5 Exp[I (0.2 k1 + 0.3 k2)] + Exp[I (0.2 k1 + 0.4 k2)];
where ...
7
votes
5answers
1k views
Survival Probability for Random Walks
The Survival Probability for a walker starting at the origin is defined as the probability that the walker stays positive through n steps. Thanks to the Sparre-Andersen Theorem I know this PDF is ...
9
votes
1answer
239 views
Modelling snowfall as a random walk with a drift
I am trying to simulate a (very) simple model of snow fall/accumulation using random walks in the following way:
...
2
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1answer
117 views
Generate Gaussian process with squared exponential covariance function
In a (stationary) Gaussian Process, values which are closeby are more similar than values far away from each other. The correlation function tends to zero as distance increases. Often, one models the ...
5
votes
2answers
249 views
Record Statistics for Discrete Random Walks
I code a random walk of length 100 drawn from a LaplaceDistribution:
Accumulate[RandomVariate[LaplaceDistribution[0, 1], 10000]]
I am having trouble counting the ...
5
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1answer
132 views
Driving a system of differential equations with an AR1-Process
I have the following system of differential equations:
...
0
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0answers
42 views
Non-Gaussian random field generation
I would like to generate a height field that has a user specified distribution
of slopes. Generating a random field with Gaussian slope distribution
is easy.
Is there a relatively simple way to ...
6
votes
2answers
148 views
How to simulate a random walk to randomly generated particle to another particle fixed at the center of a grid?
I am new in Mathematica, it is my first program. Many codes of diffusion-limited aggregation are available but, they are too difficult to understand.
I basically want to create a simulation of the ...
4
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3answers
395 views
How do I create a random point on the surface of a cube? [duplicate]
How do I create a random point on the surface of a cube? I mean on one of its six faces at random.
2
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1answer
118 views
Simulation of the stochastic system
I have the stochastic system which consists of 4 nonlinear equations. White Gaussian noise is used in the third equation only. Nevertheless, the whole system is stochastic.
Some problems arise when ...
3
votes
1answer
53 views
How to plot more paths to this SDE simulation? [duplicate]
I have the following code that simulates an Ito process in Mathematica,
...
2
votes
1answer
70 views
Generating the cumulative distribution function (CDF) of a tuple made by RandomFunction
I use the RandomFunction to generate a continuous random function (trying to model a rough surface):
...
5
votes
1answer
382 views
How to use some other driving process than the WienerProcess?
According to the following reference page
http://reference.wolfram.com/language/ref/ItoProcess.html
The driving process dproc can be any process that can be converted to
a standard Ito process
...
6
votes
1answer
1k views
ItoProcess function
While looking in the help manual of Mathematica concerning the ItoProcess function I found the following:
ItoProcess[{a,b,c},x,t]: represents an Ito Process y(t)=c(t,x(t)), where dx(t)=a(t,x(t))dt+b(...
