Questions tagged [random-process]

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0answers
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RandomFunction of the InhomogeneousPoissonProcess: unexpected behavior

For a $ 100 000 $ realization of the inhomogenous Poisson random process ...
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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 ...
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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: ...
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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 ...
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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
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1answer
50 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 ...
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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 ...
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1answer
132 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 ...
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1answer
164 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 ...
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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
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
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1answer
159 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
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2answers
278 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 ...
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1answer
137 views

Driving a system of differential equations with an AR1-Process

I have the following system of differential equations: ...
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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
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2answers
216 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 ...
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3answers
438 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.
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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 ...
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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, ...
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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
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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
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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(...