Questions tagged [random-process]
The random-process tag has no usage guidance.
22
questions
1
vote
0answers
20 views
RandomFunction of the InhomogeneousPoissonProcess: unexpected behavior
For a $ 100 000 $ realization of the inhomogenous Poisson random process
...
3
votes
0answers
17 views
Fix parameter in EstimateProcess
Can I fix some parameter in EstimateProcess?
I want to estimate the transition matrix of a hidden markov process without optimization/change of the distribution ...
1
vote
2answers
37 views
Generating random variates inside summation
I'd like to generate a table of sums which each a non-correlated, normally distributed random variate inside. Here is the sample code:
...
3
votes
1answer
87 views
Reverse graph generation
The more usual way of generating graphs and random graphs, is to start from a mechanism of adding nodes (e.g. randomly embedding or connecting, or randomly rewiring edges, etc), and for which we know ...
1
vote
0answers
30 views
Simulating Stochastic Matrix Differential Equation with Arbitrary Autocorrelation Function
I want to numerically simulate a matrix differential equation that includes a stochastic (vector) Gaussian noise $\mathbf{n}$, where the different vector components are independent, and each component ...
1
vote
1answer
51 views
Combine WienerProcess and WhiteNoiseProcess
I'm trying to simulate an IMU (inertial measurement unit) using a simple model:
$$
\tilde a(t) = a(t) + b(t) + c(t)
$$
where $\tilde a$ is the measured value, $a$ is the true value, $b$ is the ...
1
vote
1answer
63 views
How to generate Markov chains with given length and end state?
Suppose I have a discrete Markov process with states called 'Alice', 'Bob', 'Charlie', 'Daryl', 'Edith', and 'Fiona' and a given transition matrix. How can I get Mathematica to generate a finite ...
2
votes
1answer
134 views
Monte Carlo Simulation of a Double Well Potential (Edited)
I am looking for a possible way to simulate the temperature effect on a collection of atoms sitting within a double well potential, say something like
...
0
votes
1answer
169 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
253 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
votes
1answer
161 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 ...
6
votes
2answers
280 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
votes
1answer
137 views
Driving a system of differential equations with an AR1-Process
I have the following system of differential equations:
...
0
votes
0answers
65 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
221 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
votes
3answers
442 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
votes
1answer
128 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
63 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
81 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
395 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(...
