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# Questions tagged [random-process]

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### 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: ...
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 ...
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(...
281 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 ...
240 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 ...
138 views

### Driving a system of differential equations with an AR1-Process

I have the following system of differential equations: ...
397 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 ...
444 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.
88 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 ...
66 views

### How to plot more paths to this SDE simulation? [duplicate]

I have the following code that simulates an Ito process in Mathematica, ...
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 ...
82 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): ...
140 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 ...
170 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 ...
130 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 ...
64 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 ...
53 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 ...
20 views

### RandomFunction of the InhomogeneousPoissonProcess: unexpected behavior

For a $100 000$ realization of the inhomogenous Poisson random process ...
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: ...
31 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 ...