Properties of bounded stochastic processes employed in biophysics

Abstract

Realistic stochastic modeling is increasingly requiring the use of bounded noises. In this work, properties and relationships of commonly employed bounded stochastic processes are investigated within a solid mathematical ground. Four families are object of investigation: the Sine-Wiener (SW), the Doering–Cai–Lin (DCL), the Tsallis–Stariolo–Borland (TSB), and the Kessler–Sørensen (KS) families. We address mathematical questions on existence and uniqueness of the processes defined through Stochastic Differential Equations, which often conceal non-obvious behavior, and we explore the behavior of the solutions near the boundaries of the state space. The expression of the time-dependent probability density of the Sine-Wiener noise is provided in closed form, and a close connection with the Doering–Cai–Lin noise is shown. Further relationships among the different families are explored, pathwise and in distribution. Finally, we illustrate an analogy between the Kessler–Sørensen family and Bessel processes, which allows to relate the respective local times at the boundaries.

Keywords:

• Bounded noises
• stochastic differential equations
• strong uniqueness
• local times
• transformations

Acknowledgments

The authors would like to thank Alessia Andò for proofreading the revised manuscript and providing valuable suggestions on the English language. The authors also thank the anonymous referee for their valuable comments.

Disclosure statement

The authors have no conflict of interest to disclose.