**1**

vote

**0**answers

42 views

### When the completed filtration of a process increases slowly

If $\mathcal{F}_t$ is the filtration of the evaluation process on $C_T$ (continuous function on $[0,T]$). Can we find some law of continuous process $\mathbb{P}$ so that for $t\leq T$
...

**-1**

votes

**0**answers

63 views

### Estimating the moments of a random variable

Suppose i wanted to estimate the expectation and variance of a random variable $X$. More over suppose i could write a variable $X$ as a sum of indicator random variables $X=\sum_{i=1}^{k} X_{i}$. Are ...

**2**

votes

**1**answer

47 views

### Estimating mean and variance of a distribution based on error-prone estimates of its cdf

Suppose I have some random variable $X$ taking values in $[a, b]$ with unknown distribution (I am happy to assume the distribution is smooth, though it would be nice to not have to).
I have a ...

**-2**

votes

**0**answers

26 views

### Mean time for the renewal process [on hold]

The system is as below.
Energy keeps coming at a node with a constant rate $\rho$.
Node has files of size exponential($\lambda$) to be transmitted. At time zero, say the energy at the node be zero. ...

**2**

votes

**0**answers

54 views

### Worst-Case Solution to (Stochastic) Matrix Inequality

EDIT: Some specific conjectures added.
This problem comes with an associated stochastic process, but I phrase everything as linear algebra in case somebody from a non-probability community has seen ...

**1**

vote

**0**answers

28 views

### Reference for a special case of the Hanson-Wright inequality

I would like find tail bounds for the expression
$$
\begin{align*}
\left|\left\langle a,\phi\right\rangle \left\langle \phi,b\right\rangle -\left\langle a,b\right\rangle\right|,
\end{align*}
$$
where ...

**-2**

votes

**0**answers

38 views

### Expected value of minimum of an exponential function [on hold]

Find expected value of minimum of n random variables:
x = (x1,x2,x3,..,xn)
The distribution is an exponential function:
...

**8**

votes

**3**answers

265 views

### Reference for a strong intermediate value theorem for measures

Let $\mu$ be a finite nonatomic measure on a measurable space $(X,\Sigma)$, and for simplicity assume that $\mu(X) = 1$. There is a well-known "intermediate value theorem" of Sierpiński that states ...

**0**

votes

**0**answers

55 views

### Number of graphs with M edges that does not contain K-clique [on hold]

If we consider the space of graphs $G(n,M)$ where $M$ denotes the number of edges. Is there any known way of calculating the number of graphs within this space that does not contain any k-cliques? Can ...

**5**

votes

**1**answer

242 views

### lower-bound for $Pr[X\geq EX]$

Given n random variables, $X_1, ..., X_n$, each takes value 0 or $a_i \in[0, 1]$. $X = \sum_{i=1}^n X_i$ and $EX \geq 1$ is the expected value of $X$. Can we get a lower-bound for $Pr[X \geq EX]$? It ...

**3**

votes

**1**answer

46 views

### Density for Translated Process

Let $M$ be a (compact) Riemannian manifold. Let $v$ be a smooth vector field on $M$ with flow $\Theta_t$. Let $L$ be an elliptic second order differential operator on $M$ that generates the Ito ...

**0**

votes

**0**answers

58 views

### Approximation of quadratic variation

Here $M$ and $N$ are two bounded continuous martingales with respect to some filtration $(\mathcal F_t)_t$. I found this claim in a paper I was reading: $t$ being fixed, then a.s.
$$\lim_{h\rightarrow ...

**-3**

votes

**0**answers

61 views

### What's the probability that at least one of k top data still in top k positions of a data set with error? [on hold]

Let {${d_1,d_2,d_3,..., d_k,...d_n}$} is a descendingly sorted data set.
Now we suppose that each data in the set has a probability $p_e$ to go wrong.
The problem is what's the probability that at ...

**0**

votes

**0**answers

27 views

### Probability of close approach for multivariate normal variables

The following problem comes from a physical model of two groups of particles in three dimensions. I need to know the probability that the two groups of particles approach each other within some ...

**-8**

votes

**0**answers

66 views

### A true-false exam has five questions. Andy is completely ignorant and so he tosses a fair coin to answer each question [on hold]

A true-false exam has five questions.
Andy is completely ignorant and so he tosses a fair coin to decide his answer to each question.
What is the probability that he scores at least four correct?

**1**

vote

**0**answers

49 views

### Asymptotic variance for partial sum of a stationary process

Let $X = (X_1, \dots, X_n, \dots)$ be a sequence of random variables. We assume that the process X is stationary i.e. for any integer $k$, any set of indices $i_1 < \dots < i_k$ and any integer ...

**1**

vote

**0**answers

54 views

### Measurability of solution of diffusion equation in sub sigma algebra

I want to solve the following problem:
Get $\omega \in \Omega \subset \mathbb{R}$, $x \in D \subset \mathbb{R}^2$ and $0<a_i\leq a(.,.)\leq a_x<\infty$.
Let $a( x;. )$ and $f(x;.)$ be ...

**3**

votes

**0**answers

117 views

### Donsker's Theorem for triangular arrays

I should mention that I already posed this question on Math Stack Exchange, but didn't receive much feedback.
Assume we have a sequence of smooth i.i.d. random variables $(X_i)_{i=1}^{\infty}$. Given ...

**2**

votes

**0**answers

64 views

### Restricted singular values of random matrix

Let $X \in \mathbb{R}^{p\times p}$ be a large square matrix, consisting of i.i.d. Gaussian entries. Then it is known that the singular values of $X$ follow the Marchenko-Pastur law.
Now let's ...

**1**

vote

**0**answers

84 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

**0**answers

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

**1**answer

252 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

**1**answer

248 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

**1**answer

173 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

**2**answers

287 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

**1**answer

55 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**

votes

**0**answers

78 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, ...

**-3**

votes

**3**answers

278 views

### Determinant of matrix from set {-1, 1} [on hold]

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**

votes

**0**answers

136 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

**1**answer

128 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

**0**answers

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

**2**answers

128 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

**0**answers

85 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**

votes

**0**answers

72 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

**1**answer

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

**0**answers

148 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

**1**answer

356 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

**1**answer

59 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**

vote

**1**answer

68 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

**1**answer

215 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

**0**answers

117 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

**1**answer

160 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

**0**answers

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

**1**answer

221 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**

vote

**0**answers

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

**1**answer

90 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

**2**answers

153 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

**0**answers

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

**1**answer

49 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**

votes

**0**answers

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 ...