Tagged Questions

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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1
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0answers
66 views

First passage time of a pure drift process

I am facing the following unusual problem: $Z_t$ is a pure drift process of the form $$ dZ_t = \kappa(X_t - Z_t) dt $$ where $X_t$ is another bounded process. I am interested in computing / ...
0
votes
0answers
35 views

What is the Vapnik-Chervonenkis dimension of sigmoidal functions? [migrated]

Consider the following class of functions: $F=\{f_w:R^d \rightarrow [a,b], f_w(x)=\sigma(w^Tx), \forall x\in R^d\}$, where $\sigma(\cdot)$ is a sigmoidal function (e.g. tanh, or sigmoid so it has ...
5
votes
1answer
241 views

Table with the most seated customers in Chinese restaurant process

Suppose we have some initial configuration of people seated at some tables. We start taking new customers and seat them following Chinese restaurant process. Is there some known work on finding the ...
0
votes
1answer
232 views

About an integral equation

I would like to obtain $g$ by solving the following integral equation $$ \int_s^T R(u) dg(u) + f(s,T)\int_s^T g(u)du =0$$ where $f,R:\mathbb R _+ ^*\rightarrow \mathbb R _+ $and $g: \mathbb R _+ ...
4
votes
1answer
157 views

Isomorphisms between spaces of test functions and sequence spaces

I am in the process of writing some self-contained notes on probability theory in spaces of distributions, for the purposes of statistical mechanics and quantum field theory. Perhaps the simplest ...
5
votes
2answers
270 views

Does this equation has a closed-form solution for $t$? ($(1-p)\sum_{i=0}^{n}t^i = p\sum_{i=0}^{n}(1-t)^i)$)

We are given $n\in \mathbb N^+$ and $p\in[\frac{1}{2},\frac{n+1}{n+2}]$. Our goal is to find $t\in[0,1]$ such that $$(1-p)\sum_{i=0}^{n}t^i = p\sum_{i=0}^{n}(1-t)^i$$ Is there a closed-form ...
0
votes
1answer
51 views

Probability spaces involved in using Bayesian Inference

I am currently reading "Statistical and Inductive Inference by Minimum Message Length" by C.S. Wallace. In this, Wallace gives a fairly informal account of Bayesian Inference which, in the case ...
3
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0answers
71 views

Ask for reference of a stochastic process

I would like to know whether the following stochastic process is well studied. Let $\{U_k: k \ge 1\}$ be a sequence of i.i.d random variable. $U_1$ is uniformly distributed on the unit interval $[0, ...
-1
votes
0answers
49 views

Probability: short circuiting amongst recycled batteries [closed]

I am a student at University of Illinois with some batteries to recycle. The student union collects batteries, but requires the terminals to be taped. I think this makes a lot of sense for 9 volt ...
-3
votes
3answers
257 views

Determinant of matrix from set {-1, 1}

Let $A \in \mathbb{R}^{11 \times 11}$ and it's elements are form set $\{ -1,1 \}$. $\mathbb{P}(-1) = \mathbb{P}(1) = 0.5$. What is a probability to get such a matrix, that $\det A > 4000$? I have ...
6
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0answers
131 views

Is an infinite-dimensional “Lebesgue measure” uniquely determined by a set of positive finite measure?

Let $\mu$ be a probability measure on a subset $C \subset \mathbb{R}^\infty$ of the space of sequences, and assume, for simplicity, that $C$ is closed and convex. We say that $\mu$ admits shifts if ...
1
vote
1answer
121 views

How does Azuma's Inequality result from Pinelis Inequality?

According to [1] Let $(\mathcal{X},||\cdot||)$ be a separable Banach space and let $S(\mathcal{X})$ denote the class of all sequences $f=(f_j)=(f_0,f_1,...)$ of Bochner-integrable random ...
1
vote
0answers
38 views

Finding a general form of the density function when we have a four dimensional random variable

Consider a subject having time of the specific event $T_i$, which is a single sample from a distribution $F_i$ with density $f_i$ and support $[t_{\min},t_{\max}]$, for $i= 1,\ldots,n$. Let these ...
1
vote
2answers
123 views

Speed and absence of non-constant bounded harmonic functions

For a (symmetric) random walks on countable groups generated by $\mu$, there is a "brute-force computation" argument of Avez (1974) that shows that if the entropy $h_\mu$ is trivial then there are no ...
0
votes
0answers
81 views

Best possible concentration inequality in high dimensions

Let $X_1,\ldots,X_n$ be independent random variables in $\mathbb{R}^d$ with $EX_i=0$ and $||X_i||_{2}\leq 1$. What is the best known exponential upper bound for $$P(||X_1+\cdots+X_n||_{2}>x)?$$ In ...
2
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0answers
68 views

McDiarmid's inequality on normed spaces

McDiarmid's inequality says if a function $f: \mathcal{X}^n\to\mathbb{R}$ has the property that $$ \sup_{x_1,\dotsc,x_n,x'_i\in\mathcal{X}} ...
3
votes
1answer
109 views

Three-dimensional Apollonian spirals

Given mutually (externally) tangent spheres $S_1$, $S_2$, $S_3$, $S_4$, let $S_n$ be the unique sphere externally tangent to $S_{n-1}$, $S_{n-2}$, $S_{n-3}$, and $S_{n-4}$ for $n \geq 5$. Let ...
5
votes
0answers
141 views

A note on Doob's theorem

I have faced the following problem, regarding to the Martingale Theory. Because this area far from my area I don't know whether this problem is in literature or this can be simple question for ...
5
votes
1answer
348 views

Harmonic Crystal using Random Walk

Me and my advisor were looking for a specific proof of the disorder in $2d$ harmonic crystals. We could not find a paper or a textbook with it, so I thought trying my luck here. Basically, it is a ...
0
votes
1answer
56 views

Rademacher complexity of a Lipschitz class: Are the boundedness constraints necessary?

Consider the following function class: $F={f:R^d\rightarrow [a,b], f(x)=\sigma(w^Tx)}$ where $\sigma(.)$ is Lipschitz, and $w\in R^d$ is a parameter vector. The problem I'm working on is a machine ...
1
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0answers
51 views

Perturbation of a Bessel process of dimension 2

Bessel process of dimension 2 is defined to be solution of $$ dX_t=dB_t+\frac{1}{2X_t}dt,\quad X_0=x_0>0 $$ where $B$ is a standard 1-dimensional Brownian motion. $X$ can be viewed as the norm of a ...
8
votes
1answer
211 views

Algorithm to produce random number with a gamma distribution

I'd like to produce pseudo-random numbers with different distributions for a Monte Carlo simulation. I've got the poisson distribution working nicely with an algorithm from Knuth. I'm having trouble ...
8
votes
0answers
112 views

Randomly placing nonoverlapping unit cuboids

Suppose one places unit cuboids of dimension $d$ with min-corners uniformly distributed to lie in $[0,n]^d$, but with cuboid (strict) overlap forbidden. At some point, the region is "saturated," ...
2
votes
1answer
158 views

Random walks with exponential decreasing steps

Let $g$ be the golden number (or another algebraic integer in $(0,1)$ that fullfills an equation with coefficients $\pm 1$). Consider the random walk on $\mathbb{R}$ starting with $0$ and walking ...
0
votes
0answers
48 views

Expected number of distinct nodes visited in a directed bipartite graph [migrated]

Let $G = (V,E)$ be a directed bipartite graph with $V = \{I \cup O\}$ where $\left\vert{I}\right\vert = n$ and $\left\vert{O}\right\vert = m$. All the edges start from a vertex in $I$ and end on a ...
4
votes
1answer
214 views

A central limit theorem for a trigonometric series involving primes

In some recent work I found I needed to prove a central limit theorem for the interesting series: $\sum_{n=1}^\infty \cos (u \log p_n) $ where u is a random variable uniform on the interval ...
1
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0answers
39 views

Is there a unique tilted measure with specified marginals?

Suppose $\mathcal{A},\mathcal{B}$ are finite sets and $\mu_{A,B}(a,b)$ is a probability measure on the product set $\mathcal{A}\times \mathcal{B}$ so that $\mu_{A,B}(a,b)>0$ for each $a\in ...
4
votes
1answer
88 views

Earth mover/Wasserstein distance between a pdf and an empirical distribution

This question is inspired by this much older question: Convergence of an empirical distribution w.r.t. the Hellinger distance Let $P$ be a continuous probability distribution on a compact subset of ...
0
votes
2answers
151 views

“Convolution” for Multiplying Random Variables

The following situation arises frequently in probability. Suppose we have two independent continuous random variables $X$ and $Y$ and we consider their sum, $Z=X+Y$. Then the pdf of $Z$ is the ...
2
votes
0answers
54 views

Controlling fluctuations in a Markov chain

For $N>0$, consider the Markov chain $x_n$ on $\{0,1/N,...,1\}$ that moves up by $1/N$ at rate $(c-x_n/2)N$ and down by $1/N$ at rate $(c+x_n/2)N$. As $N\rightarrow\infty$ sample paths approach ...
0
votes
1answer
47 views

Rank of a sequence of covariance matrices

Let $X_i$ ($i=1, \dots$) be an orthonormal basis for $L^2(\Omega, \mathbb P)$. In particular, it holds that $$\mathbb E[X_iX_j] = \delta_{ij}.$$ Now take $Z\in L^2(\Omega, \mathbb P)$ and define ...
0
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0answers
18 views

Literature on the notion of combining two discrete stationary processes with the latter process slowed down

Is there any literature about the following way of combining two stationary processes? Let $X_1, X_2, \dots$ be a discrete-time stationary process. Let $A$ be a subset in its sample space. Let ...
1
vote
1answer
82 views

Hoeffding's inequality for vector valued random variables

Is there a version of Hoeffding's inequality for vector valued random variables? This seems to be hard to find and I wonder why. I suppose it is difficult to show Hoeffding's lemma, since the proof ...
1
vote
1answer
73 views

Mixing time of a continuous time Markov chain with arbitrary rate matrix

I would like to calculate the mixing time of a continuous time starting from the rate matrix and not necessarily assuming that the time in between jumps have rate 1 - all I have is the (finite ...
1
vote
1answer
133 views

Probability of each edge in K-clique [closed]

For $c \in R$ and $k \in N$, $k \geq 3$ let $p_{k,c} := n^{\frac{−2}{k+1}}log^c(n)$. I would like to prove that exists $c\in R$ such that every edge in the random graph $G(n,p_{k,c})$ lies in a copy ...
5
votes
2answers
208 views

Regularity of random Fourier series

The following two statements appear to be true (but do correct me if I am wrong): The coefficients of a $C^k$ function on the torus $T^n$ decay at least as fast as $x^{-k}$ (where $x$ is some norm ...
3
votes
0answers
56 views

Probability that a random projection doesn't reduce the distance of a point from a subspace too much

Consider the natural uniform measure (is it called the Haar measure?) on the set of $(n-k)$-dimensional subspaces of $R^n$. We are given a $d$-dimensional affine subspace $U$ (think of $d, k \ll n$; ...
7
votes
5answers
432 views

Bound on sum of complex summands involving binomial coefficients

I am trying to find the asymptotic behavior of the sum: $$ \sum^n_{i=0} \begin{pmatrix} 2n \\ i \end{pmatrix} x^i y^{2n-i}$$ as $n\rightarrow\infty$. Here $x$, $y$ are complex numbers and I have ...
1
vote
1answer
202 views

Probability of connected graph on torus

Let $G = (V, E)$ be a graph on n vertices constructed in the following way: Each vertex $v \in V$ is positioned uniform randomly in $[0, 1] × [0, 1]$. Connect two vertices $u, v \in V$ if $d(v,u) ≤ ...
3
votes
1answer
103 views

Estimate for Levy metric

In the Encyclopedia of Mathematics there is an inequality for Levy metric ($d_L$): $$d_L(E,F) \leq \{\beta_r(F)\}^{r/(r+1)},$$ where $E$ is a a distribution that is degenerate at zero, $\beta_r(F)$, ...
2
votes
0answers
51 views

Fixing (non)-independency of a the subfamilies of finitely many events.

I'm would be interesting in any construction of a probability space with n events (n is given), where for every subset of these events, it is also given whether or not, the family is mutually ...
6
votes
0answers
126 views

Cramer's theorem in Hilbert spaces

I am interested under what conditions Cramer's theorem applies in random variables taking values in Hilbert spaces. Following these lecture notes, but using a Hilbert space: Let $X_1,X_2,\cdots$, be ...
4
votes
0answers
83 views

Large Deviations: Exponential decay in normed spaces

Let $(X_1,X_2,\cdots)$ be a sequence of independent and identically distributed random variables taking values in some general normed space $(V,||\cdot||)$. Denote $\mu=E[X_1]$ and ...
0
votes
0answers
29 views

Does a singularly perturbed cadlag process has sample paths in a Polish space?

In the theory of stochastic processes it is often said in the broader literature that Polish state spaces are the only important ones appearing in practice. Are there also examples of stochastic ...
0
votes
1answer
100 views

On the inverse problem of Dobrushin

Dobrushin, in this paper, looked into the following problem. Suppose We are given a Markov kernel (conditional distribution) $P_{Y|X}$. Information theorist usually call $W$ a channel. It is known ...
3
votes
2answers
253 views

Graph game minimum vertex degree

Consider the following graph game, given a graph $G=(V,E)$ on $n$ vertices with minimum degree $ >> log(n)$. Players are BR and MA (BR moves first): BR claims an unclaimed edge from $E$, adds ...
-1
votes
0answers
17 views

Probability of rolling the same number n or more times in m rolls of a k-sided dice [migrated]

So the only approach I can find to solve this problem is making computer simulations, anyone can explain a mathematical way to solve it? or recommend a book that can explain this topic. thanks.
0
votes
0answers
45 views

Independent Quasi Monte Carlo Sequences

I am generating some copulas with MonteCarlo and QuasiMonteCarlo sequences. In particular, I would like to generate a Student's t copula with QMC numbers. Here is my problem: for Student's t copula I ...
2
votes
0answers
58 views

Measurability for disintegration of a kernel

Let $(x, A) \mapsto P(x, A)$ be a probability kernel whose "target" (wikipedia terminology) is a product space $Y \times Z$, and say both $Y$ and $Z$ are compact metric spaces. For every $x$ there is ...
4
votes
0answers
174 views

Navigation in a graph

The problem Let $G=(V,E)$ be a graph. $k = O\left(\log(|V|)\right)$ distinct vertices are picked randomly from $V$. We call the set of chosen $k$ vertices $T$. Assumptions about the graph: You may ...