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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33 views

Conditional probabilities in epidemic model

I was contemplating an epidemic model where infection and recovery rates are determined by links. Here node $i$ is infected first and recovers at a rate $\mu_i$. For all other nodes, the recovery is ...
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0answers
57 views

“Direct” proof (without hypercontractivity) of equivalence of moments?

Let $(x_i)_{i \in \mathbb{N}}$ be a family of independent $\pm 1$ centered Bernoulli random variables, and let $p, q > 1$. There exists a constant C such that for every (finite) linear combination ...
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1answer
90 views

Estimating the volume of a union of balls

Let $\{ B_i \}_{i=1}^n$ be a set of $n$ ball in the unit cube $C$ of dimension $d$. If I want to estimate $$ \frac{ \lambda \left( \cup B_i \right) }{\lambda\left( C \right) }, \tag{1} $$ where ...
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109 views
+50

Probability of matching under cyclic permutations

In A conjecture about the entropy of matrix vector products I asked a conjecture relating to the entropy of a matrix-vector product. This conjecture is as yet unproven. domotorp then made another ...
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0answers
58 views

An inequality for moments of a random variable

I'm interested in a class C of $R^1$-valued random variables $\xi$ which satisfy an inequality of the type $$ (1) \qquad E|\xi|^p \leq F(E|\xi|^2), $$ where $p>2$, $F$ is a certain ...
4
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0answers
108 views

Operator connected with Hermite polynomials

For $n \geq 1$, define the following operator $M_n$ on the ring of all polynomials with real coefficients. $$M_n P(x) = nP(x)^2 - x \int_0^x (P'(t))^2 \, \mathrm{d}t$$ Monomials $x^k$ are mapped to $n ...
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1answer
76 views

A special class of random variables

I'm interested in classes C of $R^1$-valued random variables which possess the following properties: 1) the sum of two independent random variables from class C belongs to class C; 2) for any ...
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23 views

Is it possible to use multiple time scale algorithm here?

Suppose a random sequence is being generated (the next term generated depends on the previous term, but we don't know any distribution) until we hit some specific number. We want to calculate the ...
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48 views

Maximizing the “uniformity” of a probability measure, with constraints, via path length minimization

Background I want to find a probability measure for a continuous random variable, subject to moment constraints, that is maximally "uniform", as defined below: Definition: Maximally Uniform ...
3
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1answer
116 views

How to check if a symmetric random variables is the difference of two iid symmetric random variables

I have the continuous symmetric random variable $X$ in $\mathbb{R}$. If I know its distribution function $F(x)$ what are the conditions on $F(x)$ so that $X=Y_1 - Y_2$ where $Y_i$ are also iid ...
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2answers
179 views

Gaussian expectation of an exponentiated outer product

Given a normal random column vector $\mathbf{x} \sim N(\mu, \Sigma)$, I need the expectation, $$ E\left[ \exp(\mathbf{xx}^\top)\right]$$ where $\exp(\cdot)$ is element-wise exponential function (not ...
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41 views

On a sum statistically independent of its term [closed]

Suppose $U$ and $V$ are two non-degenerate random variables, say real-valued for simplicity. Suppose further that their sum, $U+V$, and one term, $U$, are statistically independent. This happens when ...
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3answers
131 views

Estimating the Variance of a Discrete Normal Distribution

Let $f(x; \sigma) = \frac{1}{\sigma\sqrt{2\pi}}\cdot e^{-\frac{x^2}{2\sigma^2}}$ be the probability density function of a normal distribution $\mathcal{N}(0, \sigma^2)$. We consider a discrete normal ...
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1answer
67 views

Minimum of Random Energy Model (REM) with logarithmically correlated potential

In the paper [FB] (ArXiv, J. Phys. A), the authors analyse a particular Random Energy Model (REM) with logarithmically correlated potential and conjecture in Eq. (2) that the distribution function of ...
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1answer
73 views

Regularity of finite variation kernels in the (intersection) of the semimartingale spaces $H^p$

Suppose you have a continuous semimartingale $S_t=M_t + A_t$ where $A_t$ is the continuous finite variation part which has the form $A_t = \int_0^t b_s \, \mathrm{d} s$, where $\int_0^{\infty} |b_s| ...
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0answers
50 views

Expected value when rolling multiple k-sided dice and keeping the highest score and 1s cancelling higest remaining values [closed]

sorry for the long title. I think the question is explained there, but I will go a bit further. I know how to calculate the expected value of n k-sided dice and keeping the highest score. If I am not ...
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1answer
106 views

Stochastic integration by parts to obtain Kailath Segall identity for iterated stochastic integrals?

If $(M_t)_{t \geq 0}$ is a continuous local martingale, one can define the iterated integrals $I_0=1$, $I_1(t)=M_t$ and for $n \geq 2$ $$I_{n}(t) = \int_0^t I_{n-1} (s) \mathrm{d} M_s.$$ By noting ...
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0answers
54 views

Convergence of empirical random variable [on hold]

Let $X$ be a RV on the real line, of probability measure $P_X$, and let $X_n$ for $n=1,...,N$ be an iid sample from $P_X$. The Glivenko-Cantelli theorem says that the empirical measure, $P_N$, ...
3
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0answers
94 views

Birkhoff Ergodic Theorem and Ergodic Decomposition Theorem for Continuous-Time Markov Processes

I have a couple of questions regarding ergodicity for Markov processes in continuous time. (In particular, the first question seems like it should be particularly basic, and yet I haven't managed to ...
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1answer
124 views

Steady state expectation of dynamic system of urns & balls

We have a large number of urns $N+1$. (Large means that the relative difference between $N$ and $N+1$ is well within the error bounds that I care about. The reason for the $+1$ will be apparent ...
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0answers
50 views

Quadrilaterals from a Unit Stick

This question could be seen as a coordinate-free variant of Sylvester's Four Point Problem (cf e.g. http://mathworld.wolfram.com/SylvestersFour-PointProblem.html): Suppose one are given an ...
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1answer
115 views

Stability of convergence in distribution under randomization

Suppose you have a sequence of non-negative stochastic processes $(X^n)_{t \in \mathbb{R}}$, $n \geq 1$, with continuous paths and continuous in $t$ such that $$\int_{-\infty}^{\infty} X^n_t \, ...
2
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1answer
131 views

Can't figure out “standard application” of the Garsia-Rodemich-Rumsey Lemma

I'm currently reading the paper http://arxiv.org/abs/0908.2473 and can't figure out what they call a "standard application" of the Garsia-Rodemich-Rumsey lemma (see p.8). Summed up, they have a ...
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116 views

Sum of a random number of identically distributed but dependent random variables?

Background Let $X_t$ be the continuous time Markov process on the state space {Working, Broken} with failure rate $\alpha$ and repair rate $\beta$. By elementary calculations [1] $$ \begin{align*} ...
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143 views

Measure concentration for law of large numbers

The classical law of large numbers states that $$\frac1k\sum_{i=1}^k X_i \rightarrow \mathbb{E} X_1$$ for i.i.d. $X_1, X_2, \ldots$ with finite $L^1$ norm. I was wondering whether is it possible to ...
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1answer
73 views

Probability of k overlapping subsets in N trials

Ok, here is what I am attempting to find an answer to: I draw M uniformly random subsets of size K from the set of numbers $\Omega=\{1, \dots, N\}$ (where uniformly random means that each unique ...
2
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3answers
106 views

Conformal invariance of Brownian motion in higher dimensions

We know for planar Brownian motion, that conformal maps composed with Brownian motion are also Brownian motion (preserve distribution). Does it follow for higher dimensions? I think it follows for ...
2
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0answers
49 views

Almost sure transversality of smooth random maps

I still am novice as far as probability is concerned and after fruitlessly Googling for an answer for a few days I thought I might have a better chance with MO. Let me first formulate the ...
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1answer
82 views

Residual lifetime of heavy-tailed random variable

The residual life time distribution of a random variable $X$ with distribution function $F$ is given by the formula \begin{equation}R(t)=P[X_\text{res}\leq t] = ...
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77 views

Reference request: density of $C_c^{\infty}(\mathbb R^d)$ in $L^2(\mathbb R^d,d\rho)$

My question is motivated by an optimal transportation approach to PDE's and gradient flows in metric spaces (see e.g Otto's geometry of dissipative evolution equations: the porous media equation and ...
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0answers
100 views

Nontransitive dice

In the wikipedia article https://en.wikipedia.org/wiki/Nontransitive_dice it is claimed that " The set of nontransitive dice were investigated by the Latvian computer scientist and mathematician ...
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0answers
59 views

Dominating Poisson with parameter depending on a Bernoulli

Fix $\mu >0$ and take $\lambda \geq 0$. Let $B_p \sim \text{Ber}(p)$ with $p = \exp(-\mu - \frac{\lambda}2) $. Define the random variable $Y$ which is Poisson with parameter depending on the value ...
3
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3answers
195 views

Do regular conditional distributions almost surely assign trivial measure to all members of the conditioning $\sigma$-algebra?

Let $(X,\Sigma)$ be a standard measurable space, let $\rho$ be a probability measure on $(X,\Sigma)$, and let $\mathcal{E}$ be a sub-$\sigma$-algebra of $\Sigma$. We will say that a stochastic kernel ...
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38 views

Sets Closed under Stochastic Dominance Ordering

I'm working on a problem involving stochastic dominance and ``minimums'' of sets of random variables. For concreteness, consider two distributions with cdfs $F(x)$ and $G(x)$. We say that $F$ ...
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63 views

Reference request: Stochastic integration and martingale theory on the whole real line

I'm looking for a thorough treatment of stochastic integration and/or martingale theory on the whole real line, i.e. a way to construct a Brownian motion $(B_s)_{s \in \mathbb{R}}$ (if a two-sided BM ...
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1answer
97 views

Invertibility of random Vandermonde matrix

Let $\kappa, d \in\mathbb{N}$ and $f$ is a uniform probability measure on $\mathcal{D} = \left[-1,1\right]^{\kappa}$. In addition, let \begin{equation*} p = p\left(\kappa,d\right) := ...
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33 views

Tail Bounds for the minimum value of a function

Consider y to be the minimum value of an objective function over some subspace. More specifically $y= \min_x \|e+Bx\|_\infty \quad s.t. \quad x\in \mathcal{S}$ where $e$ is a known vector, $B$ is a ...
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1answer
132 views

Bounds on the moments of the binomial distribution

I'm looking for simple and reasonably tight bounds on the k-th moment of the Binomial distribution $B(n,p)$, namely, $E[B(n,p)^k]$. I'm interested in the case when k is large (say on the order of ...
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1answer
76 views

Measurable functions lifted onto a space of point measures are measurable

I've been reading [1] and attempting to prove statements given without proof. In the paper the authors construct a measurable space of measures over a base space, and as an aside show an elegant way ...
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1answer
644 views

Probability that a positive integer is the euler phi function of another positive integer

Define $f(n) = |\{m : m\le n, \exists k \text{ s.t. }\phi(k) = m\}|$. Clearly, $f(n)\le \left\lfloor \frac{n}{2}\right\rfloor + 1$ since $\phi(n)$ is even for all $n > 2$. Is ...
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1answer
62 views

softening probability distribution function

I am working on ECG signals and I want to fit it's probability distribution function with gaussian mixture model (sum of 2 or 3 gaussians) to extract features but it has a very sharp pdf around zero. ...
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1answer
176 views

Geometry description of the GSR riffle shuffle model

In 1992 Diaconis and Bayer announced their famous result which is now a well-known folklore: Seven shuffles is enough to randomize a deck of cards. One of the key ingredients in their proof is that ...
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1answer
99 views

What is the probability of a given induced ordering of a random permutation?

I ran into the following problem in a calculation involving permutations. Let $[n] = \{1,...,n\}$, and assume that $[n]$ is partitioned into equivalency classes. That is, $[n]$ is the disjoint union ...
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40 views

Reference for “Newtonian capacity estimates probability that A is hit by a Brownian motion”

I am looking for the following statement "In fact, the Newtonian (logarithmic) capacity gives an estimate, up to a constant factor, the probability that A is hit by a Brownian motion started, say, ...
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1answer
287 views

Basketball shots and stopping rule

Moved over from StackExchange. You are taken to play a basketball game where you can shoot basketballs at n slots using a machine that is equally likely to shoot the balls into those n slots. You can ...
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1answer
178 views

Double Markovity

Suppose we have a double Markov relation for three random variables $X$, $Y$ and $W$ as follows $$X\to W\to Y,$$ and $$X\to Y\to W.$$ How to prove that there exist functions $f$ and $g$ such that ...
4
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0answers
91 views

First return time in an interval for N particles rotating on the circle at constant random speeds

Here is my problem: draw N velocities $v_1,v_2,\dots,v_n$ in $[-\pi,\pi]^N$ from some measure (Haar measure of uniform independent for simplicity) and make $N$ particles rotate around the circle with ...
3
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1answer
183 views

An inequality concerning convexity and expectation

Assume $f$ and $g$ are nonnegative with $$\int_0^\infty f(x)dx=1=\int_0^\infty g(x)dx $$ and $$\int_0^\infty xf(x)dx<\infty > \int_0^\infty xg(x)dx $$ Is it true for nonnegative numbers $p$, $q$ ...
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2answers
146 views

Pairwise dependent random walk recurrent

Let $\{D_i\}_{i=0,1,2,\dots }$ be independent $\exp(1)$ random variables. We use the collection $\{D_i\}$ to define a random walk on $\mathbb Z$ by $S_0 = 0$ and $S_n = \sum_1^n X_i$ with $X_i \in ...
2
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1answer
71 views

Mutual information staying constant under composition of channels

Consider the following scenario: one has 2 communication channels $C_1$ and $C_2$. Denote by $p(x)$ the input probability distribution. The mutual information between the input and the output of ...