# Tagged Questions

**7**

votes

**1**answer

485 views

### Has anyone seen this series?

I come across the following infinite series.
$$
\sum_{n=1}^{\infty} \frac{t^n}{n!\: n^{a}}, \quad\text{for $t>0$ and $a>0$}.
$$
In particular, I am interested in the case where $a=1/4$.
...

**0**

votes

**1**answer

250 views

### Pros and cons of probability model for permutations

I am studying probability model of random permetuation
Let $b(n; k)$ denote the number of permutations of {1,...,n} with precisely k
inversions ($inv(\pi)$). The analytic approach was considered by ...

**1**

vote

**1**answer

127 views

### Characterization of a particular integrable function

Let $f$ be a strictly positive function such that $\int_{0}^{\infty}f(x)dx=\int_{0}^{\infty}xf(x)=1$ (i.e., a probability density function with expectation one). Let also $g$ be a nonnegative ...

**1**

vote

**0**answers

139 views

### matrix Khintchine inequality

The usual Khintchine inequality says that if $\{\epsilon_n\}_{n = 1}^N$ are i.i.d. random variables with $\mathbb{P}(\epsilon_n = \pm 1) = \frac{1}{2}$ for each $n$ then
\begin{equation*}
\left( ...

**1**

vote

**0**answers

239 views

### fourier decomposition of white noise

I found in some lecture notes that Brownian motion is defined by its Fourier series:
$$ B(t) = \sum_{m \in \mathbb{Z},\; m \neq 0} \frac{a_m}{m} e^{2\pi i \,mt} $$
Then I would get that its ...

**0**

votes

**0**answers

117 views

### multivariate integral calculation in closed form

I am looking for a closed form for the below integral but since I don't have the necessary backgrounds I am not able to solve it: i know the final solution is in the form of modified Bessel functions ...

**4**

votes

**0**answers

123 views

### semiclassical proof of Wigner semicircle

In Terence Tao's discussion of the Gaussian Unitary Ensemble, he derives the Dyson and Airy kernels. The GUE is the probability distribution of the eigenvalues of a random Hermitian matrix.
\[ \int ...

**1**

vote

**0**answers

81 views

### Conditions on a measure to satisfy certain relation on moments.

Suppose we have a measure $\mu$ on $\mathbb R_+$ such that $\forall s>-1$ $t^s\in L^1(\mathrm d\mu(t))$.
I'd like to impose some conditions on $\mu$ so the function
$$f:p\to \frac{\int_0^\infty ...

**3**

votes

**2**answers

179 views

### Elliptic Harnack inequality for 1D Schrodinger operator?

For a nonnegative polynomial $V: \mathbb{R} \to \mathbb{R}$, write $H = -\Delta + V$. I am wondering if there is an elliptic Harnack inequality for H. That is:
There exist $C_{H} > 0$ and ...

**1**

vote

**1**answer

89 views

### Estimate the scale of the power series with Poisson pdf/pmf-like terms

I would like to have an estimate for the series
$$P(t) = \sum\limits_{k = 0}^\infty (e^{-t}\frac{t^k}{k!})^m,$$
where $e$ is the base of natural logarithm, $k!$ is the factorial of the integer $k$, ...

**7**

votes

**1**answer

235 views

### Continuous dependence of the expectation of a r.v. on the probability measure

$\newcommand{\bsV}{\boldsymbol{V}}$ $\newcommand{\bsE}{\boldsymbol{E}}$ $\newcommand{\bR}{\mathbb{R}}$ Suppose that $\bsV$ is an $N$-dimensional real Euclidean space. Denote by ...

**2**

votes

**2**answers

255 views

### A sufficient condition for a probability measure to have compact support

Consider a probability measure $\mu$ on, let's say, $\mathbb R$.
Is there a necessary and sufficient condition so that $\mu$ has compact support $Supp(\mu)$ ?
I agree this question is too vague, ...

**0**

votes

**0**answers

222 views

### Whether does the following equation have only one finite zero?

Dear MOs,
Here is a calculus problem which bored me for sometime. Let $a>0$ and $b<0$ be fixed.Define the following function (EDIT: Following the comment by Barry Cipra, you may only consider ...

**17**

votes

**0**answers

361 views

### What is the best probabilistic estimate from below for a random polynomial on an arc?

I'm currently involved in a small (but quite time consuming) project where we are trying to get some decent bound for the number $N(P)$ of real zeroes of a random polynomial $P(x)=\sum_{k=0}^n\xi_k ...

**4**

votes

**2**answers

342 views

### Proving that a complicated function is eventually concave

I have a function $f:\mathbb{R}^+ \to \mathbb{R}^+$ that I want to prove is eventually concave - i.e. that there exists $\gamma _0 > 0$ such that for every $\gamma>\gamma_0$, $f(\gamma)$ is ...

**6**

votes

**0**answers

235 views

### Birth-Death Process associated with Orthogonal Polynomials

I have read in various places the following objects are related:
orthogonal polynomials
birth-death processes
Lattice paths
continued fractions
After a lot of searching online, I found sketches ...

**0**

votes

**1**answer

133 views

### How to Rigorize an inequalities argument

Context
I'm working on a problem involving Lovasz Local Lemma, for proving that there exists a graph with a certain property.
What I need to prove:
There exists some constant $c$, and functions ...

**4**

votes

**0**answers

210 views

### Hessians of Fourier transforms of positive radial functions

$\newcommand{\bR}{\mathbb{R}}$ $\newcommand{\ii}{\boldsymbol{i}}$ $\newcommand{\eW}{\mathscr{W}}$
While investigating the distribution of critical points of random funtions on tori I was lead to ...

**16**

votes

**3**answers

991 views

### The Bruss-Yor conjecture about an iterated integral

Is the sequence $$w_n=n! \int_0^{1/2} \int_{x_1}^{2/3} \cdots\int_{x_{n-2}}^{\frac{n-1}{n}} \int_{\frac{n}{n+1}}^1 dx_n dx_{n-1} \cdots dx_1$$ increasing for $n\ge 3$?
This is a conjecture of F. ...

**3**

votes

**2**answers

273 views

### Itô's Formula on a bounded Domain

Let $U$ be a connected and bounded Domain, w.l.o.g. we choose $[0,1]^2$ and let $f \in \mathcal{C}^2((0,1)^2)$ with $\Delta f(x)=0$ for $x \in (0,1)^2$ and having normal derivative of $0$ almost ...

**3**

votes

**2**answers

489 views

### Inequalities involving moments

$\newcommand{\bR}{\mathbb{R}}$ Suppose that $w:\bR\to \bR$ is a nonnegative, even smooth function decaying fast at $\infty$, $w\in\mathscr{S}(\bR)$.
Define
$$s_m(w)= \int_{\bR^m} w(|x|) dx,\;\; ...

**6**

votes

**4**answers

409 views

### Laplace transform on the cone of positive-definite matrices

The title says most. Let $P_p$ be the cone of positive-definite $p \times p$ matrices.
One can define the Laplace transform of (the distribution of) a random matrix with values in $P_p$ by (for ...

**2**

votes

**1**answer

667 views

### Bochner's Theorem and Total Positivity

Bochner's Theorem for LCA groups applied to the case of $G = U(1)$ and $G^{\vee} = \mathbb{Z}$ tells us that through the Fourier transform, probability measures on the circle are in bijection with ...

**1**

vote

**2**answers

1k views

### Inversion of Moment-generating functions (aka Laplace transform of prob dist)

I want to embark on a project about inverting a Moment-generating function of a probabilitiy distribution. That is given by
\begin{equation}
M_X(t) = \text{E} \exp(tX)
\end{equation}
Since I have ...

**5**

votes

**1**answer

134 views

### Reference for difference equations converging to ODE

I am looking for a reference for a result of the following form:
I have a sequence of discrete probability distributions, $p_N$, where the $N$th distribution has associated state space {$k/N, 1 \leq ...

**3**

votes

**0**answers

150 views

### Does the existence of an asymtpotic density imply the existence of a measure on infinite dimensional (path) space?

This question is related to the following question
Question about a Limit of Gaussian Integrals and how it relates to Path Integration (if at all)?
A couple of authors have observed that composing a ...

**0**

votes

**1**answer

121 views

### How are epidemic models simulated in case of mobility?

I am not a mathematician but out of curiosity I am trying to implement the SIS epidemic model when the nodes have mobility to understand how it will change the results. I understand how to perform ...

**5**

votes

**1**answer

266 views

### Analogue of Wick formula for orthogonal polynomials

n-point correlations of Gaussian random variables can be simplified with Wick expansion.
$$ \langle x_{i_1} x_{i_2} \dots x_{i_{2n-1}} x_{i_{2n}} \rangle = \int_{\mathbb{R}^n} x_{i_1} \dots ...

**10**

votes

**3**answers

1k views

### Number of lattice points in a random disk of radius r

Consider a disk of radius $r$ centered at $(x,y)$, where $(x,y)$ is chosen from the uniform distribution on $[0,1) \times [0,1)$, and let the random variable $N$ be the number of lattice points in the ...

**12**

votes

**2**answers

997 views

### What do we actually know about logarithmic energy ?

In potential theory, the $\textit{logarithmic energy}$ of a Radon measure $\mu$ acting on $\mathbb{C}$ is defined by
$$I(\mu)=\iint\log\frac{1}{|x-y|}\mu(dx)\mu(dy).$$ Of course it is not well ...

**2**

votes

**1**answer

459 views

### Compact sets of the complex plane having the K-property ?

I would like to have a better understanding of a notion I've met in the beautiful book of Nikishin and Sorokin "Rational approximation and Orthogonality", since they do not provide examples.
As it is ...

**9**

votes

**2**answers

630 views

### Product rules are local and covariance identities are global

Start with the simple identity:
$$(f(x) - a)(g(x) - b) + a(g(x) - b) + b(f(x) - a) = f(x)g(x) - ab.$$
If $a$ and $b$ are the respective values of $f$ and $g$ at some point, then, after dividing both ...

**3**

votes

**0**answers

466 views

### Borel Cantelli lemma for general measure spaces (those with infinte measure)

Borel Cantelli lemma is often stated for probability space or spaces with finite measure.
But it seems to me that it still holds if the space X is of infinite measure. I seem to be able to prove ...

**1**

vote

**1**answer

448 views

### Solution to difference differential equation with constant coefficients

This problem arose when solving a continuous Markov chain exercise from a book I'm studying. Given a set of positive $q_i$, with $i \in \mathbb{Z} $, and non-negative $\lambda$ and $\mu$ that add to 1 ...

**2**

votes

**1**answer

430 views

### Limit of an integral involving the normal CDF

Let $\Phi $ denote the standard normal CDF, and $\phi$ the standard normal PDF. Fix $\alpha > 0$.
Let
$$ Z\left( r\right) =r\int_{0}^{\infty } e^{-(r+\alpha )t} \mathbb{E} \left[ \Phi
\left( ...

**0**

votes

**1**answer

260 views

### Analytical expression for variance of nested binomials?

Hi all,
I want to compute the variance of a variable that is defined at each step as a recursion of binomials in the following way:
A=1
B=Bin(1,A)*Bin(1,p)
C=Bin(1,B)*Bin(1,p)
...

**7**

votes

**2**answers

2k views

### Positive-Definite Functions and Fourier Transforms

Bochner's theorem states that a positive definite function is the Fourier transform of a finite Borel measure. As well, an easy converse of this is that a Fourier transform must be positive definite.
...

**7**

votes

**4**answers

1k views

### Estimating the probability that one Poisson RV is larger than another

Let $X$ and $Y$ be Poisson random variables with means $\lambda$ and $1$, respectively. The difference of $X$ and $Y$ is a Skellam random variable, with probability density function
$$\mathbb P(X - Y ...

**6**

votes

**2**answers

712 views

### Missing mass conjecture

Let $n,t$ be positive integers and $p_1,p_2,\ldots,p_n$ positive numbers summing to 1. Conjecture:
$$
\sum_{i=1}^n p_i (1-p_i)^t \le \frac{n(1-1/n)^n}{t}
$$
always holds.
The motivation comes from my ...

**10**

votes

**1**answer

955 views

### Question about a Limit of Gaussian Integrals and how it relates to Path Integration (if at all)?

I have come across a limit of Gaussian integrals in the literature and am wondering if this is a well known result.
The background for this problem comes from the composition of Brownian motion and ...

**0**

votes

**2**answers

171 views

### Good probability measues on $S^1$ reprented by a kernel

I was looking for some good references for properties/theorems/characterizations of 'good/important' probability measures on the unit circle $S^1$ ( and/or on spheres $S^n$ ).In particular, I want ...

**2**

votes

**0**answers

167 views

### Radon transform and Log-concavity

This question is related to (but different from) that of Darsh Ranjan.
Is there a characterization of the functions $f:\mathbb R^n\rightarrow\mathbb R_{\ge0}$ whose Radon transform $\hat ...

**0**

votes

**1**answer

745 views

### Generalizations of a product formula for the gamma function

Hello and Happy holidays.
I am interested in generalizations of the following product formula for the gamma function
$\Gamma(z)= \int_{0}^{\infty} t^{z-1}e^{-t}dt$ when $n \geq 2$:
\begin{align}
...

**7**

votes

**1**answer

240 views

### maximal coordinate on a sphere

What is the easiest (preferably without calculations) way to see that the mean value of $\max(x_1,x_2,\dots,x_n)$ on the sphere $\mathbb{S}^{d-1}= \{ (x_1,\dots,x_n):\ x_1^2+\dots+x_n^2=1 \}$ behaves ...

**1**

vote

**1**answer

319 views

### Statistical inequality

Let $X$ be a finite discrete variable and $X\ge0$. Is it true that
$$16\operatorname{Var}(X) \le \left[8{\mathbb E}(X) + \operatorname{Range}(X)\right]\operatorname{Range}(X)$$
where ...

**2**

votes

**0**answers

446 views

### Generalization of repeated error function integral

Is there a name for the following integral?
$f(x, y, n) = \int_y^\infty (t - x)^n \exp(-t^2) dt$
The parameter $n$ is positive. The first priority is integer $n$, but more generally the case of ...

**16**

votes

**1**answer

997 views

### Intuitive Proof of Cramer's Decomposition Theorem

Cramer's decomposition theorem states that if $X$ and $Y$ are independent real random variables and $X+Y$ has normal distribution, then both $X$ and $Y$ are normally distributed. I've seen a few ...

**12**

votes

**1**answer

610 views

### Is it a coincidence that the universal parabolic constant shows up in the solution to square point picking?

The expected distance $d$ of randomly selected points within a unit square to the square's center is
$d = \frac{1}{6} P$
where P is the universal parabolic constant
$P = \sqrt{2} + ...

**5**

votes

**1**answer

612 views

### Wasserstein distance in R^d from one dimensional marginals

This question occurred to me while I was reading Klartag's papers on central limit theorems for convex bodies.
Given probability measures $\mu$, $\nu$ on (the Borel $\sigma$-field of) $R^d$ with ...

**3**

votes

**2**answers

303 views

### Convergence of a series of orthonormal gaussian variables

Does anyone have an idea how to prove the following? It is a step in the proof of some theorem in a book about gaussian processes.
Let $f_n$ be an orthonormal sequence of gaussian variables. Consider ...