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Questions tagged [random-process]

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1answer
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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
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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
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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
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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
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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
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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
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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
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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
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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(...