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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26 views

A counterpart of Karhunen theorem

According to the Karhunen theorem, if the correlation function of a process $X(t)$ can be represented as $$ R(t,s)= \int_{\Lambda} f(t, \lambda) \overline{f(s, \lambda)}d\nu(\lambda) $$ then the ...
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1answer
160 views

What is “tilting” in the context of large deviations?

I have seen references to the "tilting method" in the theory of large deviations. Is there a simple explanation of what this is, exactly?
2
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2answers
67 views

Bounds for the fat tail after trimming the mean?

I am interested in the quantity $$f(X,t) = \int_t^\infty\negthinspace x\ p(x)\ dx,$$ where $p$ is a probability distribution for a positive variable $X$. 1) Does this quantity $f(X,t)$ have a name? ...
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2answers
77 views

Invariant measure of Euler-Maruyama Discretisation of an Ito diffusion

Let $(X_t)_{t \geq 0}$ be a diffusion process with dynamics governed by the stochastic differential equation \begin{equation} dX_t = b(X_t)dt + \sigma(X_t)dW_t, ~~ X_0 = x_0, \end{equation} where ...
2
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1answer
79 views

M/M/1 Queue with probability of new customer leaving

I'm looking at a M/M/1 queue system and trying to show that $\{M_t\}_{t\geq}0$, the number of clients in the system, is a birth-death process. In the simplest of cases this is true if $\lambda_i = ...
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52 views

Finite Volume 1D Anderson Tight Binding Model

My question is about bounds on the number of eigenvalues in a microscopic interval for the random Schrodinger operator on $\mathbb{Z}_n$ for $n \in \mathbb{N}$. For my question, these are the ...
6
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1answer
137 views

Limit of distance between two random points in a unit-radius $n$-sphere

This is a companion contrast to the earlier analogous question for unit $n$-cubes, where the answer (provided by several respondents) is $\infty$ . What is the limit, as $n \to \infty$, of the ...
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117 views

Probability generating function zero implies random variable is infinite

Let $V$ be a random variable supported on the nonnegative integers (including $\infty$) and $f(x) = \mathbf E x^V$ be the probability generating function. In our model $V$ is the number of visits to ...
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1answer
200 views

How to minimize $-\sum p_b \ln{p_b}$?

Consider multisets of the form $A = \{a_1,\dots,a_n\}$ of integers. Let $q = P(a_i = a_j)$ when $i$ and $j$ are chosen independently and uniformly from $\{1,\dots, n\}$. Let $B$ be the set of ...
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58 views

On Flajolet's analytic urn model: a unified approach or just an interesting trick?

Recently I'm reading Flajolet's work on analytic urn models. In around 2006 He introduced a new analytical method that can give exact solutions to many classical urn models in a unified way. For a ...
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99 views

Heat kernel and Wiener measure

A theorem by Barry Simon says that for arbitrary open sets $\Omega\subset \mathbb{R}^n$, we have $$[\exp(t\Delta_{\Omega}^D)](x,y) = \mu_{x,y,t}\lbrace \omega \text{ } \vert \text{ } \omega(s) \in ...
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1answer
71 views

Singular distributions: Applications and Instances

Singular distributions are special mathematical objects. They have an interesting property of not having a density function, defined on a set with Lebesgue measure zero. Cantor distribution is the ...
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43 views

vector-matrix notation and expectation of matrix and Hermitian product [on hold]

Let $\textbf{h} \in \mathbb{C}^{N\times 1}$, $\textbf{a} \in \mathbb{C}^{N\times 1}$, $\textbf{b} \in \mathbb{C}^{N\times 1}$ and $\textbf{c} \in \mathbb{C}^{N\times 1}$. The variable $h_i$ is defined ...
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70 views

number of times Brownian motion hits boundaries

Any experts here please direct me to some appropriate keywords that I can search for. Consider a Brownian motion constrained to an upper and lower boundaries. Let's say I want to know that how many ...
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2answers
182 views

Limit of distance between two random points in a unit $n$-cube

What is the limit, as $n \to \infty$, of the expected distance between two points chosen uniformly at random within a unit edge-length hypercube in $\mathbb{R}^n$? For $n=1$, the average ...
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0answers
30 views

Bounding Rayleigh quotioent for stochastic matrix

Suppose you have an irreducible, stochastic matrix $A$ with left Perron-Frobenius eigenvector $v$ (corresponding to the eigenvalue $1$), and suppose the next largest eigenvalue for $A$ is $\lambda$. ...
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60 views

Books and papers on differential equation method [on hold]

I wanted to understand the differential equations method for analyzing stochastic sequences. Is there a good book/ papers that provide a gentle survey this topic with a good number of examples? A good ...
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75 views

Upper bound for $r_{0}(n)$ through probabilities

Assume Goldbach's conjecture. Then for every integer $n>1$ there exists a non negative integer $r$ such that both $n-r$ and $n+r$ are primes. For a given $N$, let's denote by $r_{0}(N)$ the ...
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0answers
39 views

Quantiles moments and Convergence

QUESTION: Let $F$ be an absolutely continuous distribution function with density $f$, and $F_{n}$ be its nth empirical distribution. Suppose that $t\in (0,1)$ is constant. Is true the convergence ...
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44 views

Whether r.v. with p.g.f. $\exp [\sum\limits_{i = 1}^\infty {{q_i}({z^i}} - 1)]$ is overdispersion?

When discrete r.v. $X$ is not Poisson distributed and ${\rm{Var}}X,EX < \infty $, I want to know whether r.v. $X$ with p.g.f. $\exp [\sum\limits_{i = 1}^\infty {{q_i}({z^i}} - 1)],({q_i} \in ...
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35 views

Derive concentration bound for the derivative

It that true to conclude that if a random $f(z)$ is a sub-Gaussian random variable for a constant value of z, its derivative $f'(z)|_{z=k}$ with respect to variable $z$ is also sub-Gaussian? In ...
2
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1answer
74 views

convergence rate of occupation measure of ergodic Markov Chain

Given an ergodic Markov chain $(X_n)_{n\geq 1}$ in $R^d$with $\pi$ as the invariant distribution of the transition kernel, under good conditions we have that the empirical occupation measure converges ...
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1answer
134 views

Question about the log-det function

Suppose I have a diagonal $n \times n$ matrix $\Gamma$ with positive entries, and a fixed $n \times k$ matrix $P$ with $P^\intercal P = I$ (here, $k \leq n$). I'm interested in knowing whether the ...
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1answer
73 views

Convergence of random variables in LP preserved under conditioning on sub sigma field

Is anyone aware of a result which states that convergence of random variables in $\mathbb L^p$ are preserved under conditioning on sub-sigma fields? I'm new to probability/measure theory, and trying ...
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1answer
55 views

A calculation involving a uniform random variable quantile

THE PROBLEM: Let $U$ be a uniform distribution and $U_{n}$ be its nth empirical distribution. Suppose $t\in (0,1)$ and $n\in \mathbb{N}$ are constants. What's the explicit expression to ...
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1answer
65 views

question about uniform continuity under Skorokhod Metric

Let $D=D([0,1], \mathbb{R})$ be the space of cadlag functions $x$ with $x(0)=0$ and $x$ is continuous on $1$. If we endow $D$ with Skorokhod Metric, see: http://en.wikipedia.org/wiki/C%C3%A0dl%C3%A0g ...
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103 views

Equivalence of Gaussian measures on Hilbert space

Suppose we have 2 nondegenerate Gaussian measures given by N(0,T) and N(0,S) supported on a separable Hilbert space H. T and S are such that eigenbasis of S lies in the cameron martin space of ...
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1answer
53 views

Running supremmum of a Levy process

Let X be a cadlag Lévy process with $X_0=0$ and let $p$ be a real number in $[1,\infty)$. Then, the following are equivalent. 1): $X$ is $L^p$-integrable. 2): $X^*_t= \mathop{\sup}_{0\leq s\leq t} ...
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109 views

Optimization problem involving Multivariate Normal

I use $\phi(t)$ to describe the standard normal distribution density and $\Phi(t)$ as the normal distribution CDF and would like to prove that for all $n\geq3$, the function: ...
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1answer
108 views

Calculating the probability that all possible length $r$ subwords exists in a string, with or without overlaps allowed

Let $S$ be a length $L$ string, where each character in the string is chosen with uniform random probability over an alphabet with $q$ characters. For example, a binary string would imply $q = 2$, a ...
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0answers
42 views

Feature relationship based class separability [closed]

I am a computer science guy, not a mathematician so kindly excuse me if there is any ridiculous error in my problem description. I have two clusters $C_1$ and $C_2$ in a feature space spanned by $k$ ...
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12 views

Probability of ongoing experiment [migrated]

Suppose, I do a experiment where I have an event 'a' true 1000 times in 1000 trials. So, the probability becomes 1000/1000 = 1. If I am going to do another trial, my prediction about event 'a's ...
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26 views

Expectation of O_p(1) process [migrated]

Suppose $\{X_n \}$ is bounded in probability, i.e. $Prob(|X_n| > M_\epsilon) = \epsilon$ for all $n > N_\epsilon$, $M_\epsilon < \infty$. Is there any condition(s) to guarantee that ...
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0answers
77 views

Accelerating EM Algorithm [closed]

I'm trying to use the EM to estimate some parameters. I've programmed and it delivers. The problem however is that for each run of my programme, it can take either 5 seconds, 1min, 3min or more to ...
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2answers
159 views

Intuition on Lindeberg condition

I want to know how Lindeberg came up with the condition which is sufficient for CLT to hold ? What is the intuition behind such an expression ?
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82 views

mabinogion sheep problem: optimal policy [closed]

This problem occurred in Williams's book : probability with martingales, it states as follows:( from wiki ) At time t = 0 there is a herd of sheep each of which is black or white. At each time t = 1, ...
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2answers
111 views

Intrinsic significance of differential entropy

Many commentators (e.g. Jaynes, Rota) argue that the notion of "differential entropy" is problematic (as commonly defined by $ h(X) = \int ( \log\frac{1}{p(x)} ) p(x) \, dx $, where $X$ is a random ...
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1answer
44 views

Finiteness of “novel variance” from a kernel on a compact space

Let $c(i,i')$ be a kernel function on a reasonable index space $I$. Choose a dense sequence of points $\{i_1, i_2, \cdots \} \subseteq I$, and define the one-point kernel functions $k_n := c(\cdot, ...
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0answers
151 views

A question on limit of weak-* convergence of probability measures [migrated]

Let $(X,\mu)$ be a measure space. Assume $X$ is compact. It is well-known that the space $\mathcal{P}(X)$ of probability measures on $X$ is compact in weak-* topology. Let's consider a sequence of ...
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1answer
643 views

Probability all inner products are zero

For an even (and large) positive integer $n$, consider a random $(2n-1)$-dimensional vector $v$ where each $v_i$ is $-1$ with probability $1/2$ and $1$ with probability $1/2$ and are i.i.d. Now ...
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2answers
98 views

conditional expectation under convex combinaison of probability measures(II)

Let $(\Omega,\mathcal{F})$ denote some measurable space. Let $P_1$ and $P_2$ denote respectively two probability measures. Now let $\mathcal{G}$ be some sub sigma-algebra of $\mathcal{F}$. Given a ...
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3answers
104 views

Empirical estimator for total variation distance between two product distributions

Let $X = (X_1, X_2, \ldots , X_n)$ be an $n$-dimensional random variable, where each $X_i$ is a random variable on finite discrete set $S$. In addition, $X_i$ are independent of each other (but not ...
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1answer
161 views

Measures which exhibit the “uncorrelated implies independent” property

Let $X$ be a topological linear space, and let $X^*$ be its dual space. Suppose that $X$ is complete and Hausdorff, and $X^*$ separates points. Let $Y$ be another such space, and let $f : X \to Y$ be ...
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68 views

Blackwell-MacQueen Urn Scheme

I'm having some difficulty understanding the steps in the proof in the bottom half of the second page of this paper: ...
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3answers
419 views

Does $Mv$ converge to i.i.d in some sense?

I am not a professional mathematician so please excuse me if my question is not phrased correctly. I am interested in the following simple sounding problem. Consider a random $n$ by $n$ $0$-$1$ ...
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0answers
45 views

Hermite coefficients of a positive density

It is well known that a necessary condition for a function in $L_2$ to be a.e. positive is that its fourier transform is positive-definite (in fact, due to Bochner's theorem, this is also a sufficient ...
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1answer
57 views

Cramér-Wold device with limited angle and independence assumption

Let $X$ be a random vector taking values in $\mathbb R^2$ with probability density $p(x) = p_1(x_1)p_2(x_2)$, i.e. the components of $X$ are independent. Let $V$ be an open set in $\mathbb S^1$, the ...
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0answers
114 views

Feynman-Kac theorem: probabilistic proof of existence of solution to parabolic PDE

Friedman (in his book: PDEs of Parabolic Type) shows how to construct a solution to the Cauchy problem $$ \partial_t u(t,x) = b(x) \partial_x u(t,x) + \frac{1}{2} \sigma(x)^2 \partial_{x,x} u(t,x) $$ ...
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61 views

question about Doob-Meyer decomposition

Given a filtered probability space and let $X$ be a cadlag local martingale defined on this space. Let $V$ be a cadlag supermartingale and assume we know the following decomposition: ...
4
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2answers
87 views

Smoothness of $g(t,x)=\mathbb{E}[f(X_T)|\mathcal{F}_t]$

Assume a process with Itô dynamics of the generic form $$dX_t=\mu(t,X_t)dt+\sigma(t,X_t)dW_t$$ and let $f:\mathbb{R}\to\mathbb{R}$ be borel-measurable. Is the following function smooth ? ...