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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-3
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23 views

Number of trials until completion? [on hold]

You've got a discrete uniform distribution - what is the expected number of trials until each point is hit at least once? I started my thinking with maybe a Geometric distribution representing each ...
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58 views

Question about continuity in the “complete Skorohod Topology”?

I am reading the book in progress of Timo Seppäläinen about the "Translation Invariant Exclusion Process" https://www.math.wisc.edu/~seppalai/excl-book/ajo.pdf In one of the exercises, exercise 8.9 ...
0
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0answers
33 views

how to measure a bidrectional relationship effect on third variable [on hold]

Sorry that my question was unclear: I decide to determine if there is a relationship between two variables (gross national income, X and enrollment, Y) in Country A, between 2000-2007 My results ...
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1answer
70 views

Reference for a local density theorem for binary vectors

I have the following theorem written on my whiteboard, but have misplaced the reference. I believe the probabilistic method may be involved in the proof. Any pointers appreciated. Theorem Let ...
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1answer
59 views

Predictable quadratic Variation <.> has same intervals of constancy as the process

From Revuz and Yor - Continuous Martingales and Brownian Motion 1999 Chapter IV Proposition 1.13 it is proven, that for a continuous local martingale $M_t$ the intervals of ...
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65 views

Construction of a random variable

I'm reading Dirichlet Forms and Symmetric Markov Processes by M. Fukushima, Y. Oshima, and M. Takeda. In Appendix A.2, where they discuss the construction of a random variable, there is the ...
2
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1answer
62 views

Median of a uniform multinomial variable

Let $k\in\mathbb N^+$ be a positive integer. Consider a set of i.i.d. random variables $X_1,X_2,\ldots, X_n$, each of which is distributed uniformly over $\{1,2,\ldots,2k+1\}$. For $i\in ...
3
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47 views

“Local” functional central limit theorem for the empirical distribution function

This question is a repost from Mathematics Stack Exchange, where it did not receive any answer. Assume $(X_i)_{i=1}^{\infty}$ is a sequence of i.i.d. real-valued random variables such that $\mathbb ...
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69 views

Convergence of an rcll process along a random subsequence

I have a process $X_s$, for $s \ge 0$, taking values in a Polish space $T$ with an rcll version where I have shown, for every nonrandom increasing sequence $s_n$, that $X_{s_n} \to c$ in probability, ...
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5answers
233 views

Probability theory without deductive closure

Human knowledge is not deductively closed. Uncertainty can arise from that just as much as from lack of brute facts. (When a Harvard graduate was reported to have thought that the earth is farther ...
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0answers
29 views

solving for cdf of uniform distribution [closed]

Let X be a continuous random variable with uniform distribution on [0,1]. Let Y be a continuous random variable with uniform distribution on [0,2]. Suppose X and Y are independent and consider the new ...
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0answers
33 views

Majorizing inequality on spectral norm of product of a random and a deterministic low-rank projection

Let $P$ be a rank $k$ uniformly randomly oriented projection matrix in ${\mathbb R}^d$ -- this is constructed as $R^T(RR^T)^{-1}R$ where $R$ is a $k\times d, k<d$ random matrix with i.i.d. 0-mean ...
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1answer
223 views

Law of Large Numbers for Martingales

I apologize in advance if this question is too basic, but I've received no response on Math Stack Exchange, so perhaps it is more appropriate here: Let $X_n$ be a square integrable martingale with ...
2
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0answers
124 views

Infinitesimal generator and stationarity

The following question is bothering me. I think it is probably known but I cannot find any reference... Let $(X_t)$, $(Y_t)$, $(Z_t)$ denote 3 Feller processes with respective infinitesimal ...
3
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1answer
44 views

Measurable $\epsilon$-optimal selection with an analytically measurable stochastic kernel

Let $(X, \mathcal{X})$ and $(A, \mathcal{A})$ be standard Borel spaces, $D \subseteq X \times A$ be an analytic set, and $D_x := \{a \in A : (x, a) \in D\}$ denote the $x$-section of $D$ at $x \in X$. ...
2
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1answer
67 views

What is the order of the constant $K$ in the multidimensional Dvoretzky-Kiefer-Wolfowitz inequality($Ke^{-c z}$)?

Let $F_n$ be the empirical distribution obtained from an i.i.d. sample of the distribution $F:R ^d \to [0, 1]$. Kiefer (1961) shows that the convergence of the empirical distribution is like $$ ...
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1answer
192 views

Have some works by Émile Borel ever been translated from French to English or another foreign language?

I plan to submit a couple of questions around Émile Borel's works in probability theory to MO. In this scope, I'd like to know if the following works have ever been translated from French to English ...
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1answer
112 views

Weighted sum of i.i.d. random variables

Suppose you have a positive sequence $X_1,X_2,\dots$ of i.i.d. random variables with the property that $$ \mathbb{E}[\log(X_1)]<\infty. $$ Is it true that $$ \limsup_{n\to\infty} ...
4
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1answer
68 views

Conditions for existence of dominating $\sigma$-finite measure for all conditional distributions

Suppose $X$ and $Y$ are two real-valued random variables with a specified joint probability distribution $P_{X,Y}.$ I wish to determine if there is a $\sigma$-finite measure $\mu$ on the real line ...
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0answers
197 views

Existence of probability distributions/measures/spaces and mathematical expectations in some functional spaces [closed]

Please see my questions: What's the probability distribution of a deterministic signal? (functional integrals in probability theory) Is there a Bayesian theory of deterministic signal? Prequel ...
2
votes
1answer
81 views

Measurability of integrals with respect to different measures

Let $Y$ be a locally compact Hausdorff topological space (further assumptions like metrizability, separability, etc., may be added if necessary) and let $\mathscr Y$ denote the Borel $\sigma$-algebra ...
2
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1answer
77 views

Fell topology versus vague topology for representing random sets

I'm trying to better understand the consequences of representing a random set as a Random element in the space of locally finite closed sets under the Borel sigma algebra generated by the Fell ...
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0answers
52 views

Total variation, Wasserstein, and Prokhorov metrics on countably infinite discrete spaces

Total variation, Wasserstein, and Prokhorov generate the same topology on the space of probability measures on a finite and discrete space. I'm curious about a countably infinite space. When do ...
0
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0answers
30 views

Relative compactness and convergence in probability

Convergence in probability of a sequence of random variables $X_1,X_2,\dotsc$ implies that every subsequence has a further subsequence that converges almost surely. Superficially, it seems that this ...
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0answers
38 views

Influence of independent variables on boolean functions?

Suppose a simple connected graph $G$ where its vertices are assumed to be independent. An event with uncertainty corresponds to each vertex. My instructor guides me that even though the vertices ...
2
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191 views

Is there a Bayesian theory of deterministic signal? Prequel and motivation for my previous question

This is a prequel to my question: What's the probability distribution of a deterministic signal? (functional integrals in probability theory) Clearly my question looks at the same time fairly ...
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0answers
43 views

Modify Process to a Semimartingale

The original post is from mathstackexchange According to some difficulties, i decided to ask here again. Given a filtered space $(\Omega, F,\mathcal{F}_{t})$ with rightcontinous filtration. We have a ...
2
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2answers
191 views

How to generalize normal number theorem

The Borel number theorem states that with respect to Lebesgue measure, almost all real numbers are normal numbers. It is sometimes stated in the context of the compact interval $[0,1]$, where one ...
3
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0answers
126 views

Self-adjusting random walk

Let $X_t$ be a random process such that \begin{eqnarray} X_1 &=& 0\\ X_t &=& X_{t-1} + \left\{\begin{array}{ll} A_t, & X_{t-1} \geq 0\\ B_t, & X_{t-1} < 0 ...
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0answers
92 views

Limit theorem : reproduce a proof with an adaption from discrete to continuous time

Im considering Theorem 5.2.2 in M. Sørensen "Exponential Families of stochastic processes". The setup is as follows: We have a Levy-Process $X_t$ fullfilling the CLT \begin{align} ...
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0answers
19 views

Check uniformly distributed continuous random process [migrated]

I have a random process which I know is uniformly distributed, and I expect it to be distributed between the range $[0,1]$. Then, I generate 100 realizations of the process. The question: Which is ...
2
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0answers
66 views

Generalizing the law of large numbers to multiple sets of samples

The law of large numbers says that if I sample $n$ points independently from a probability density function $f$, then the number of points lying in a neighborhood of a point $x$ with area $\epsilon$ ...
5
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2answers
134 views

Expected number of changes in the sign of a rolling sum of independent normal variables

Imagine we define $Y(t+n)= X(t+1)+.....+X(t+n)$ where $X(i)$ is an independent normal (i.e. everyday we remove the starting observation and we add a new one). We have $n$ consecutive observations of ...
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1answer
47 views

Restricted Isometry Property for Discrete Fourier Transform Matrix

I was wondering if the Restricted Isometry Property holds for Discrete Fourier Transform. In particular, I am interested in whether a subsampled DFT matrix has such property. Let$W \in ...
2
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0answers
42 views

Literature on transformed Gaussian matrices

I am considering real $n$-by-$m$ matrices of the following type: $$ M=SM^\prime,\\ M^\prime_{ij}\sim^{iid}N(0,1). $$ Here, $S$ is a fixed $n$-by-$n$ matrix and the entries of $M^\prime$ (same size ...
8
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1answer
252 views

An inequality on the simplex involving $x^x$

Is anything known about the behavior of the function $$f(x)=\prod_{i=1}^n x_i^{x_i}$$ on the standard simplex, i.e. the set $\{x\in\mathbb{R}^n:\sum_{i=1}^n x_i=1, x_i\geq0\}$? I ask because I have ...
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0answers
24 views

Fubini's Theorem for Lévy bases

Let $M$ be an infinitely divisible independently scattered and homogeneous random measure on $\mathbb R^d$ (ie a homogeneous Lévy basis). Let $\nu$ be a sigma finite measure on $\mathbb R^k$. Let ...
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44 views

BM hitting times with exponential killing process

Assume a BM in 3d domain (infinite) with a small absorbing subdomain (cube, sphere, ect), centered at point $p_s=(x_s,y_s,z_s)$ . BM starts at point $p_0=(x_0,y_0,z_0)$ and when it riches the ...
2
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1answer
75 views

Bounds for the sum of some random variables, in terms of their cdfs

I have three independent non-negative random variables $X_1$, $X_2$, and $X_3$, and I do not have their density functions, but I do have a decent upper bound for their cdfs. In other words, I have ...
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0answers
77 views

Random pro-p groups via iterated uniformly random central extensions

Inspired by this question on math.se, I want to understand the following construction of a random pro-$p$ group: We want to construct an inverse system $$\cdots \xrightarrow{\alpha_i} G_i ...
7
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1answer
92 views

Choosing a sample based on where the density function is highest

Is there a name for the following process? Say I have an absolutely continuous probability density function $f$ with compact support, and I take $k$ independent samples $x_1,\dots,x_k$ from $f$. ...
2
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0answers
38 views

A question about probabilistic graphical models

Say one is given a probabilistic graphical model and a cut of the underlying graph. Do we know any statements about when and how can one or many of the marginals (of the sources) or the conditionals ...
3
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1answer
106 views

Is there a closed form expression for $E(X e^{-\mu \sqrt{X}})$, where $X\sim Poisson(\lambda)$ and $\mu >0$?

Is there any closed form expression for $E(X e^{- \mu \sqrt{X}})$, where $X\sim Poisson(\lambda)$ and $\mu >0$? If not, is there any tight upper bound for this quantity? Any idea how to proceed?
2
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0answers
86 views

Growth of inner products between two random vectors on the sparse hypercube

We define the $s$-sparse hypercube in $\mathbb{R}^d$ as \begin{align} \mathbb{H}_s = \bigl \{ {\bf{v}} \in \{ -1, 0 , 1\}^d \colon \| {\bf{v}} \|_0 = s \bigr\}, \end{align} where $ \| {\bf v} \|_0 $ ...
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63 views

Batched coupon collector with quota

Assume that you draw coupons uniformly at random from a collection of $n$ coupons and you want to collect $m_i$ coupons of type $i$. This is referred to as the coupon collector with quota ...
2
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2answers
120 views

The necessary sufficient condition for recurrence of a Markovian random walk

Suppose $\sigma_{1},\sigma_{2},...$are i.i.d random variables.$S_{0}=0$. Define $S_{n}=S_{0}+\sum_{i=1}^{n}\sigma_{i}$, then ${S_{n}}$ is a Markovian random walk. I want to figure out the necessary ...
7
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2answers
371 views

Famous results about the value of a given limit assuming it exists

Chebyshev got famous showing that if the limit $l:=\lim_{x\to\infty}\frac{\pi(x)}{x/\log x}$ exists, then necessarily $l=1$, constituting a major breakthrough towards a proof of the famous prime ...
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1answer
83 views

Proving maximal entropy [closed]

It is quite easy to prove that $$H(S) \leq \log_2(|A|),$$ where $A$ is the number of events, using the Jensen inequality $$H(S) = E_S[\log_2(\frac{1}{P_S(s)})]\leq \log_2(E_S[(\frac{1}{P_S(s)})]) ...
3
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2answers
107 views

Expected value of Bernoulli quadratic forms

Let $\mathbf{Y}\in\mathbb{R}^{n\times n}$ be a symmetric matrix. Let $\mathbf{x}\in\mathbb{R}^n$ be random vectors with entries i.i.d. $\pm 1$ with equal probability. I'm interested in a lower bound ...
3
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1answer
106 views

Sharpened Pinsker inequality for special case

Let $B(p)$ denote the Bernoulli distribution over $\{0,1\}$ and $B(p)^n$ the corresponding product distribution over $\{0,1\}^n$. For $n>1$ and $0<x<1$, define $$P_n(x):=B(\frac12+\frac ...