Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory.

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35 views

Markov Chains and Simple Machine Learning [on hold]

Suppose I have a large training set consisting of many strings of symbols. $TS = \{Str_0, Str_1, ..., Str_n\}$ $Str_i = \{Sym_0 ... Sym_{len}\}$ These strings of symbols are each generated by the ...
-1
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0answers
28 views

Correlation between probability of an event in the domains A and B and the event in an event AUB [on hold]

Given the event $E$ and finite sets $A$ and $B$ such that $P(E)=p_1$ in the domain $A$ and $P(E)=p_2$ in the domain $B$, then what can we say about $P(E)$ in the domain $A\cup B$?
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41 views

CLT for sums of an infinite sequence of rv with an asymptotic distribution

Excuse me if the question is ill-posed. I'll do my best to explain the problem.I have a vector $(x^{(n)}_1, x^{(n)}_2, \ldots x^{(n)}_n),$ whose individual components can be shown to be asymptotically ...
1
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2answers
105 views

Probability of at most $K$ consecutive zeroes in a sequence of 0s and 1s [on hold]

I want to prove that in a sequence W of length n, consisting of 1s and 0s, $P$( in $W$ there is at most $\frac{\log_2n}2$ consecutive zeroes ) $\leq \frac{K}{n} $ for some constant K. Can anyone ...
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1answer
51 views

Converging to moments obeying Carleman's condition

I believe that the following is true, and I'd like to make sure that it is and to have a reference. Suppose that $\mu_N$ are a sequence of measures on $\mathbb{R}$. Let $m_{N,k}$ be the $k$-th ...
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0answers
22 views

Probability of an event based on percentage in fixed lapse of time [on hold]

I am a software engineer. I am also a former triathlete that rides with a large group of friends every time we have a chance. i am trying to come up with a little software to distribute among us ...
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1answer
79 views

If the sample space is an Euclidean Space, we can use a different type of PDF

Reading this post, I realize that is possible to have another type of PDF (probability density function) in the special case when the sample space is an Euclidean space. Usually, we have a ...
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19 views

Properties of a map regarding the space of invariant probability measures for controlled Markov process

Let us consider a controlled Markov process with the transition kernel $p(dy|x,\theta)$ ($\theta$ being the control parameter. Now, consider the map $\theta \to I(\theta)$ where $I(\theta)$ is the ...
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42 views

How to solve the following bivariate recurrence?

$$F(n,r) = (1-w(r))F(n-1, r) + w(r-1)F(n-1, r-1)$$ where $w(r)$ is monotonically non-increasing in $r$ and $0 \leq w(r) \leq 1$ with $0 \leq r$ Initial condition: \begin{eqnarray} F(0, r) & = ...
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2answers
138 views

Does the truncated Hausdorff moment problem admit absolutely continuous solutions?

Let $\mu$ be a (Borel) probability measure on $[0,1]$ and define $m_j(\mu) = \int x^j\,\mu(dx)$. Let $k$ be a positive integer and consider the set $\mathcal C_{\mu,k}$ of probability measures $\nu$ ...
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0answers
54 views

Weighted global Holder property for Brownian motion paths

It is well-known that the Brownian motion (Wiener process) is almost sure locally $\alpha$-Holder for any $\alpha<1/2$. That is, with probability 1 $$ ...
2
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1answer
100 views

Brownian motion - probability of striking a sphere in $\mathbb{R}^n$ (a clarification)

This is primarily in reference to this question on MO. Serguei Popov's answer gives an explicit formula for the probability of a Brownian particle starting at the origin in $\mathbb{R}^n$ hitting the ...
-4
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0answers
46 views

Probability Inequality when X > Y > 0 [on hold]

I want to know whether the following statement is true or not, and the proof. Let X, Y be random variable, satisfying X > Y > 0, and have finite variance, $Var(X) < \infty$ and $Var(Y) < ...
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0answers
53 views

Sampling efficiently conditioned on linear constraints modulo both $\mathbb{F}_p$ and $\mathbb{F}_2$

Given a prime $p$ and positive integer $t \ll \log p$ (say $t = \sqrt{\log p}$), is there an algorithm that is polynomial time in $\log p$ to sample uniform $X, Y \in \mathbb{F}_p$ conditioned on the ...
7
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1answer
318 views

Does $|A+A|$ concentrate near its mean?

Fix $N$ to be a large prime. Let $A \subset \mathbb{Z}/N\mathbb{Z}$ be a random subset defined by $\mathbb{P}(a \in A) = p$, where $p = N^{-2/3 + \epsilon}$ for some fixed $\epsilon > 0$. My ...
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0answers
25 views

Trouble with an assignment [closed]

Can anyone please be kind enough to help me with this. On one shelf there are 5 hardcover books and 6 paperbacks and on the other shelf there are 7 hardcover and 4 paperback. From the first shelf ...
3
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1answer
67 views

Stochastic Covering Number of a Convex Set

Consider a convex set, say $S = [0,1]^d$. Let $X_1, X_2,\ldots,X_n, \ldots$ be i.i.d. random variables that are uniformly distributed on $S$. Denote the Euclidean ball centered at $x \in \mathbb{R}^2$ ...
2
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1answer
139 views

How many times does a simple symmetric random walk of length n return to the origin?

Consider the simple symmetric random walk on the integers starting from the origin of length $n$. More precisely, I will denote an $n$ step random walk $w$ as $$ w:= \omega_0 \omega_1 \ldots ...
2
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0answers
61 views

Inverses of probability generating functions: positivity of derivatives

Let $\mathcal{G}$ be the set of probability generating functions of random variables taking positive integer values, considered as functions on $[0,1]$. So $G\in\mathcal{G}$ can be written ...
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0answers
55 views

Special random variables and monotone class theorem

I am currently reading a proof where the $\pi-\lambda$ Lemma and the monotone class theorem are applied to show a certain property for bounded random variables. The author of the book always shows the ...
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1answer
52 views

Win/Lose ratios and selection [closed]

Imagine a following scenario: You're on a TCG tournament which allowed you to bring N decks with you. After each game, you might select another deck for your next game. You are allowed to keep ...
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0answers
26 views

Statistics, probability [closed]

Eight of the 40 newly built cars are selected at random to be checked for steering defects. Suppose 10 0f the cars have such defects. What is the probability that all 8 of the selected cars have ...
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0answers
48 views

continuous vs discrete random walk [closed]

For 1D random walk in discrete case the probability $P_N(X)$ of finding walker at position $X$ after $N$ steps has a binomial distribution, moreover when $N+X$ is odd then probability is 0. Let's ...
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3answers
176 views

Measure of intersections in probability spaces

Let $(X,\mu)$ be a probability space, and $0<\epsilon<1/2$. Let $\{A_i:i\in \mathbb{N}\}$ be a collection of measurable subsets of $X$ such that $\mu(A_i)\geq \epsilon$ for all $i\in\mathbb{N}$. ...
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0answers
39 views

Maximal Correlation with Weak Gaussian Perturbation

Let a pair of random variables $(X,Y)$ be continuous random variables (i.e., they both have density with respect to Lebesgue measure) with joint distribution $P_{XY}$. The maximal correlation ...
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3answers
166 views

Divergence of general random series and a special case

Is there any sufficient condition in terms of moments under which $$ \sum_{n=1}^{\infty} X_n$$ diverges a.s.?Here $X_n$ are not independent I am given that $\sum_n E[X_n]$ diverges. Actually, I am ...
2
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1answer
46 views

Eigenvectors of a perturbed reducible stochastic matrix

Let $Q$ be a $n\times n$ reducible stochastic matrix. Let $J$ be such that $[J]_{ij}={1 \over n}$. Now for a small positive constant $\alpha\in [0,1]$, consider the matrix ...
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0answers
24 views

Processes with the same finite dimensional distributions as the solutions to SDEs

Consider a sequence of stochastic processes $\{\tilde{x}^n\}$, $\tilde{x}^n = \tilde{x}^n_t(\omega)$, and Brownian motions $\{\tilde{w}^n\}$. Suppose that for each $\tilde{x}^n$ solves the stochastic ...
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44 views

How to check numerically iterated logarithm law ? (How to choose cutOff lim_n sup_{m: n<= m<= CutOff} ) ?

The law of iterated logarithm asserts that if $x_1,x_2,\dots$ are i.i.d $\cal N(0,1)$ random variables and $S_n=x_1+x_2+\cdots+x_n$, then $$\limsup_{n \to \infty} S_n/\sqrt {n \log \log n} = \sqrt 2, ...
2
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1answer
66 views

Covariance matrix as optimization problem solution?

I have seen the expectation of a random vector expressed as the solution to the optimization problem: \begin{equation} \mathbb{E}[X]=argmin_{v \in \mathbb{R}^n}\mathbb{E}[\|X-v\|_{l^2}^2](:= ...
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0answers
61 views

Brownian motion - probability of hitting an open subset of the sphere

Consider a Brownian particle in $\mathbb{R}^n$, starting at the origin. Let $\mathbb{P}_t(A)$ be the probability of the particle striking $A \subset S^{n - 1}$ within time $t$, where $A = \{ (x_1, ...
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0answers
8 views

Hypothesis testing for independent and non-identical distribution [migrated]

I want to apply the hypothesis for my problem. According to A. Wald regarding sequential hypothesis, he used independent and identically distributed (iid) observations or samples but in my case my ...
0
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1answer
108 views

Transition probabilities for the symmetric random walk on the integers

I found that most references for the symmetric random walk on the integers are for the discrete time case, i.e. the ones that gives us explicit transition probabilities. Now, I am looking at a random ...
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1answer
83 views

Supremum of a martingale

Let $(X_n)$ be a martingale. What can be said about the distribution of its maximum over a window of fixed length: $$M_n = \max_{n-10 \leq k \leq n} X_k$$ or about the "range" over a window: $$R_n = ...
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107 views

Linking Wasserstein and total variation distances

I seek to bound the total-variation distance between two probability measures $p_1$ and $p_2$. It is extremely easy to build a parameter space where $p_1$ and $p_2$ are the marginals of some joint ...
2
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1answer
168 views

What is the formal name of this set-related concept?

I "invented" a concept and it feels like it has already been invented before. I would like to know whether such a concept exists and if so, what is its name? Let $S$ be a family of finite sets. ...
6
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2answers
151 views

Gaussian and the convex hull of moment curves

Let $c_1,\dots, c_d$ be the first $d$ moments of the standard normal distribution. Does the point $(c_1,\dots, c_d)$ lie in the convex hull of the set $\{(t,t^2,\dots,t^d)\colon t\in[-b,b]\}$, for a ...
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0answers
73 views

weak-* versus entropy growth

General question. Let $\eta_{n}$ be a sequence of invariant measures on $\{0,1,2,...,p-1\}^{\mathbb{N}}$ and $B$ the Bernoulli uniform measure. Knowing that $\eta_{n} \rightarrow B$ in the weak-* ...
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2answers
104 views

Moment matching: construction of a mixture of Gaussian distribution with lower moments identical to Gaussian

This is a question related to the statistical model behind independent component analysis (ICA). We assume that $Z \sim N(0,1)$. Our goal is to construct a random variable $X$ that follows a ...
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0answers
51 views

Circular process ergodic?

Let us define a continuous-time Markov process on a circle consisting of $m-$ equally spaced points, i.e. every point has two neighbours. Now, we define a space of functions $S:= ...
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1answer
83 views

Weak convergence of process

Background: I am trying to compute the weak limit of the following model from mathematical biology that is supposed to exist: Let $$L(f)(\eta)= \sum_{x \in \mathbb{Z}}\frac{1}{2}\left(1_{\eta(x+1) ...
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48 views

The closed support of νν is a set of infinite 1-dimensional Hausdorff measure

if $\nu$ is non-zero measure,and $\sum\limits_{|n|\neq 0}\frac{|\hat{\nu(n)}|^2}{|n|}<\infty$,$\hat\nu(n)$ is the Fourier transform of the measure $\nu$. why the closed support of $\nu$ is a set ...
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46 views

Simulate a graph from a certain distribution

I am wondering if anyone can indicate whether the following is a solved problem. I don't care about time of the algorithm currently. Consider a general probability distribution F on simple graphs ...
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66 views

Which functional can preserve the martingale property?

Let $M^n=(M^n_t)_{t\in [0,T]}$ be a sequence of continuous (or cadlag) martingales. Let $F : \mathcal D([0,T],\mathbb R)\to \mathbb R$ be some measurable function, where $\mathcal D([0,T],\mathbb R)$ ...
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0answers
71 views

Malliavin differentiability of solutions to SDEs

In Bass's book on Diffusions and Elliptic Operators, the author gives a brief introduction into Malliavin Calculus. He calls a functional $F:C([0,1],\mathbb{R})\rightarrow \mathbb{R}$ $L^p-$smooth if ...
2
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0answers
88 views

Almost independent Bernoulli variables

There is some global parameter $n\to\infty$. And a function $N=N(n)\to\infty$. Let $X^n_1,X^n_2,\ldots,X^n_N$ be independent Bernoulli random variables, where $\delta\le P(X^n_i=1)=1-P(X^n_i=0)\le ...
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1answer
233 views

Is this a log-concave function?

Let $(a_k)$ be a log-concave positive decreasing sequence. Is $\sum\limits_{k=1}^n a_k(1-e^x)^{k-1}$ log-concave in $x<0$, for each natural $n$?
3
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1answer
113 views

Weak convergence in random measures

I don't understand the following as I read along a proof in a paper (Page 66, "Asymptotic Behaviour of some interacting systems", by Sylvie Meleard): We denote by $\mathcal{P}({M})$ the space of ...
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0answers
105 views

Conjecture about tail events

Let $(\Omega, \mathscr F, \mathbb P)$ be a probability space. Conjecture: Suppose we have events $A_1, A_2, ...$ s.t. $\forall \ A \in \tau_{A} := \bigcap_n \sigma(A_n, A_{n+1}, ...)$, $P(A) = 0$ ...
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1answer
73 views

Do we have independence if we let the indices of the events increase?

Let $(\Omega, \mathscr F, \mathbb P)$ be a probability space. Consider events indexed by $m, n \in \mathbb N$: $ \ \ \ \ \ \ \ \ \ \ \ A_{1,n}, A_{2,n}, A_{3,n} ...$ are n-wise independent. ...