# Tagged Questions

**7**

votes

**1**answer

168 views

### A random variation on Polya's orchard problem

Polya's orchard problem is as follows:
"How thick must the
trunks of the trees in a regularly spaced circular orchard grow if they are
to block completely the view from the center?"
See, ...

**7**

votes

**0**answers

84 views

### First passage percolation on a random geometric graph in the large connectivity limit

Let $V_\rho\subset\mathbb{R}^2$ be a point set in the plane obtained from a Poisson process of density $\rho$. The random geometric graph $G_\rho$ is obtained from $V_\rho$ by connecting points that ...

**0**

votes

**0**answers

62 views

### Girsanov theorem with Geometric Brownian Motion

I am not a student in mathematics, but I am trying to use the following Theorem 8.6.6 (Girsanov theorem II) of Oksendal's SDE with geometric Brownian motion $S_{t}$ instead of the standard Brownian ...

**0**

votes

**1**answer

74 views

### Behavior of the integral of products of probability densities

Assume $z \in \mathbb{R}^m$ and $x \in \mathbb{R}^n$. Assume we have proper density function $P(z)$ and proper conditional density function $P(x|z)$. We give the definition
$$
T(x_1,\ldots,x_n) := ...

**-1**

votes

**0**answers

28 views

### impossibility and mode of convergence [on hold]

I have $\mathrm{Pr}(a>b)=0$ with $b\in[0,\infty]$, then can i have $a<0$? If this is true, which type of convergence is this?

**0**

votes

**0**answers

45 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 ...

**1**

vote

**0**answers

71 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 ...

**1**

vote

**1**answer

107 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 ...

**7**

votes

**0**answers

212 views

+50

### When does $Pr[vr_i=ur_i\mid \forall j\ne i: vr_j=ur_j] =O( 1/\sqrt n)$?

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 ...

**0**

votes

**0**answers

68 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 ...

**5**

votes

**0**answers

120 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 ...

**0**

votes

**1**answer

78 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 ...

**0**

votes

**0**answers

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 ...

**0**

votes

**0**answers

49 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 ...

**4**

votes

**1**answer

119 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 ...

**1**

vote

**2**answers

185 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 ...

**2**

votes

**3**answers

135 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 ...

**1**

vote

**1**answer

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 ...

**2**

votes

**1**answer

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| ...

**3**

votes

**1**answer

108 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 ...

**-2**

votes

**0**answers

66 views

### Convergence of empirical random variable [on hold]

Let $X$ be a RV on the real line, of probability measure $P_X$, and let $\{X_n; n=1,...,N\}$ be an iid sample from $P_X$. Let $\hat X_N$ be the RV that samples from $\{X_n; n=1,...,N\}$. I.e. its ...

**3**

votes

**0**answers

99 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 ...

**7**

votes

**1**answer

127 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 ...

**1**

vote

**0**answers

52 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 ...

**1**

vote

**1**answer

117 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**

votes

**1**answer

133 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 ...

**4**

votes

**0**answers

118 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*}
...

**2**

votes

**1**answer

177 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 ...

**0**

votes

**1**answer

75 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**

votes

**3**answers

110 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**

votes

**0**answers

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 ...

**0**

votes

**1**answer

85 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] = ...

**0**

votes

**0**answers

79 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 ...

**4**

votes

**0**answers

101 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 ...

**0**

votes

**0**answers

60 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**

votes

**3**answers

198 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 ...

**0**

votes

**0**answers

39 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 $F$ ...

**2**

votes

**0**answers

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 ...

**1**

vote

**1**answer

98 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) := ...

**0**

votes

**0**answers

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 ...

**7**

votes

**1**answer

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 ...

**0**

votes

**1**answer

77 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 ...

**6**

votes

**1**answer

646 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 ...

**1**

vote

**1**answer

81 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. ...

**8**

votes

**1**answer

178 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 ...

**3**

votes

**1**answer

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 ...

**0**

votes

**0**answers

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, ...

**0**

votes

**1**answer

288 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 ...

**1**

vote

**1**answer

179 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**

votes

**0**answers

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 ...