# Questions tagged [random-process]

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### Defining function through a formula

I would like to define a cocycle on a group that maps into the unit circle. That is, I want to be able to define a function $f:G\times G\to\mathbb{T}$ such that $f(e_G,a)=f(a,e_G)=1$ for all $a\in G$ ...
104 views

### Optimization of a Markov сhain with symbolic transition rate

I am trying to work on 1D random walk that can move to left, right or stay with probabilities $p_i$,$q_i$,$r_i$ that changes with the site $i$. I am trying to simulate this by using a recurrence ...
1 vote
169 views

### How to use first time generated randomly matrix? [closed]

I'm trying to solve one (very little) problem. :) I've generated 3x3 randomly matrix with V[i_, j_] := Table[RandomInteger[{-10i, 10j}], {3}, {3}]; Now I want to ...
157 views

### Approximate a Wiener Process by a Karhunen-Loève expansion

I'm trying to approximate a Wiener Process by a Karhunen-Loeve expansion (see slide 20) with the following code: ...
185 views

116 views

### ItoProcess with WhiteNoiseProcess

Is there a way to use ItoProcess with a white noise process, instead of the usual WienerProcess? If I just naively use ...
194 views

### Why is ItoProcess failing here? (Stochastic Differential Equation) [closed]

Why is this code returning errors and failing to run? If I replace Abs[x[t]]^2 with just x[t] it works perfectly. ...
100 views

### RandomFunction with a QueueingProcess for more than one service handler hangs, why?

In Mathematica, I want to, say, investigate a M/M/4 queue, that is a single queue with 4 services each handling jobs from that same queue. The arrival rate is 4 and the service rate is 2. I've ...
1 vote
48 views

### Generalize WienerProcess

Together the WhiteNoiseProcess, which includes the option of specifying a specific distribution for the noise, and the TransformProcess, which allows functions of processes, provide a great deal of ...
1 vote
84 views

### Mean of ItoProcess

I've defined the following ItoProcess ...
130 views

### Correlated random variables

Assume we have a random variable $X(t)$ that changes as a function of time satisfying a correlation $\left\langle X(0) X(\tau) \right\rangle=e^{-\tau/\tau_c}$. Is Mathematica able to generate random ...
319 views

### RandomPoint inside mesh for walk-on-spheres Monte Carlo PDE solver

I'm trying to understand a Monte-Carlo Laplace/Poisson PDE solver: http://www.cs.cmu.edu/~kmcrane/Projects/MonteCarloGeometryProcessing/paper.pdf This method inspired by random-walks and ray-tracing ...
44 views

### How can i calculate the dynamical evolution of states and a probability plot of them?

Using 4 correlation matrices i define as my market states i have to follow the evolution of the market as dynamical transitions between these states. In other words, i have to show the evolution ...
323 views

### Ito Process sourced by Gaussian Process?

Question Is it possible to extend the function ItoProcess so that it takes correlated noise? I.e would like to be able to write ...
53 views

### How is a Lévy stabile process pdf normalized?

I'm interested in how to deal with α-stabile probability density functions, for example one with the Laplace image like: $\phi(s) = s^{(\alpha-1)}*e^{-\nu s^{\alpha}}$ I can work with this ...
278 views

### Fast way of re-ordering list

I have a list which at each iteration of my algorithm is being modified. What I want to do is to find the elements that satisfy certain criterion (below it's simply being above the neighborhood ...
311 views

### Connecting 2 graphs according to NearestNeighbor and degree distribution

Context and example: Suppose we have 2 graphs $g_1,g_2$ that we connect together by introducing edges between each node of $g_1$ and its corresponding nearest neighbors within the second graph $g_2.$ ... 173 views

### Need to calculate total distance traveled in a 2D random walk

Part1 s = {0., 0.}; path = Table[s += RandomReal[{-0.5, 0.5}, 2], {100}]; ListLinePlot[path, ImageSize -> Small] path This part of the code generates 100 xy ...
837 views

### How can I generate monotonic random real numbers

My question is simple, and therefore I made a search of an answer to it using the Repository of this forum. There are relevant questions, however, none of them answers to the following question. My ...
1 vote
40 views

### RandomFunction of the InhomogeneousPoissonProcess: unexpected behavior

For a $100 000$ realization of the inhomogenous Poisson random process ...