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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68 views

Gaussian Integrals and Pseudo-Anosov Maps

The hep-th section of arXiv if often filled with beautiful semi-rigorous computations on Mathematics. However sometimes it is very difficult to understand what is being stated. Here I take from: ...
3
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3answers
145 views

A question about intuition of fluid limit in queuing system

This is a question about intuition in understanding the fluid limit queuing system. Assume we have a sequence of queuing systems $\{S^N\}_{N=1}^{\infty}$ with N servers and each server has unit ...
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45 views

Find function $h$ so that $h(U,V)$ equals density of $f(a)da$ for $f(a)=\frac{1}{2}e^{-\small|a|} ,a \in \mathbb R$ [on hold]

Let $f(a)=\frac{1}{2}e^{-\small|a|}$, $a \in \mathbb R$ and let $U,V$ be two independently uniformly distributed random variables on $[0,1]$. Now I want to find a function $h$ so that $h(U,V)$ is ...
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0answers
60 views

Derandomizing AP existence in $A\subseteq \{1,\ldots,N\}$ for $\delta(A) \geq 1/k$

In the answer to the mathoverflow question here, it was established that if we let $p$ be the probability of including point $v$ in $A\subseteq \{1,\ldots,N\}$ and this is done independently for all ...
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23 views

Cumulative distribution function and sum of random variables [on hold]

For two continuous (iid) random variables $X$ and $Y$, we have (ref): $$ \mathbb{P}(X+Y \le a) =\int_{-\infty}^\infty \int_{-\infty}^{c-x} \big ( f(x,y) dy \big ) dx$$ with $f$ being the joint density ...
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0answers
59 views

Probability problem - no idea where to start [closed]

I have been working on this question for a few days and I am completely lost on how to solve it. Any suggestions, comments, hints are greatly appreciated. Participants are competing in a ...
2
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0answers
180 views

Show that $SL_2(\mathbb{F}_p)$ is quasi-random

Terry Tao gives this oblique definition of quasirandom group in his notes 3 $G$ is quasi-random (of order $D$) if all non-trivial unitary representations $\rho: G \to U(H)$ have dimension at ...
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1answer
80 views

Finding the right σ-algebra. Question on uncertainty related to the secretary problem

Assume a number of iid. items is presented and the task was to stop under the objective of picking the best item. In this setting it is relevant what is the distribution of the values of the ...
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1answer
46 views

A generalization of negative binomial distribution

Assume we have a set of n balls. For each step, we uniformly pick one ball and label it if it is not labeled. Or otherwise move on to next step. I am wondering what is the distribution of number of ...
2
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1answer
129 views

Ask for a special function related to the error function

I am wondering whether anyone knows the following integration has a named special function or a reference $$ F_{a,b}(z) :=\frac{2}{\sqrt{\pi}} \int_0^z \text{erf}(a+b y)\: e^{-y^2} \text{d}y $$ for ...
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1answer
42 views

Conditioned sum of n Poissons versus unconditioned Poissons

Let $\theta >1$ and take independent random variables $Z_k \sim \text{Poisson}(\theta/k)$ for $1 \leq k \leq n$ and let $Z_k^*$ have marginals like the $Z_k$ conditioned on $\sum_1^n k Z_k = n$: ...
3
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80 views
+50

Transition semigroup of Ito diffusion on $L^2(\mathbb{R})$

I am considering the transition semigroup $P_t$ associated with the Ito diffusion process $$dX_t=b(X_t)dt+\sigma(X_t)dB_t,$$ where the coefficients are assumed to be Lipschitz continuous. I hope to ...
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0answers
64 views

Zero-one law in binomial random graph model $G(n,p)$

Consider the binomial random graph model $G(n,p)$ with $0<p<1$. We say that $G(n,p)$ satisfies the Zero-One law if for every first order property $Q$ one has $\lim\limits_{n \rightarrow \infty} ...
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0answers
59 views

How to calculate gambling odds with house edge? [closed]

Here is the outcome of gambling odds I am trying to find a formula to: gambling outcome So my question is: how do we get the Roll High Profits(40.01818), and Roll Low Profits(0.62727) from BET SIZE ...
6
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1answer
277 views

Distributional equation X+Y=2X

Let $X$ be a positive real-valued random variable. Let $Y$ be an independent copy of $X$ and assume that the equality $X+Y=2X$ holds in distribution. Does this imply that $X$ is constant?
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0answers
102 views

A probability question related to combinatoric problem

I am trying to solve a combinatoric problem. The problem is the following: There are A,B,C three types of people. There are totally N people arriving sequentially and make a choice between two boxes X ...
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0answers
36 views

Where can I find this article of Doléans-Dade?

I need to find the article "Intégrales stochastiques dépendant d’un paramètre" by Doléans-Dade. I could not find a pdf version online, and my university library does not have a printed version. Thank ...
3
votes
1answer
135 views

Range of random walk

I have a random walk on $\mathbb{Z}$ with starting point $0$ and with length $n$ and possible steps to right, left or stay where you are, all with the same probabilities. I am interested in exact ...
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0answers
16 views

is any closed form relation that can state the error probability of code versus its variable and check node degree distributions?

In Low Density parity check code design, when bit (or frame) error probability of code is the objective of the design, we need a closed form relation between error probably (or even an approximate or ...
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1answer
83 views

Convexity of truncated expectation

Let $k, n$ be two positive integers with $k \leq n$, and let $P = \{ (x_1, \dots, x_n) \in [0, 1]^n : \sum_i x_i = k \}$. Given $x = (x_1, x_2, \dots, x_n) \in P$, let $X_i$ be the random variable ...
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0answers
48 views

Matrix concentration inequality

Let $X \in \mathbb{R}^{n \times d}$ be a fixed matrix and $W \in \mathbb{R}^{n \times d}$ be a random matrix with elements $w_{ij} = x_{ij} + \epsilon_{ij}$, where $\epsilon_{ij}$ are iid subgaussian ...
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0answers
20 views

Explicit u-excessive function

Let $E$ be $\mathbb{R}^d$ for $d\geq 1$. Let $A \subset E$. Let $X$ be a Feller process en $E$, and let $L$ be its infinitesimal generator. I want to prove that $A$ is absorbing. I know that it is ...
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0answers
129 views

Hadamard product (Schur product) in $L^2[0,1]$

Let's consider the separable Hilbert space $\mathcal{H} = L^2[0,1]$ of square-integrable functions on the interval $[0,1]$ with orthonormal basis $(e_j)$. For $x,y \in \mathcal{H}$, the Hadamard ...
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2answers
154 views

Is there a rate of convergence for Donsker's theorem?

For the standard CLT, one can easily estimate a rate of convergence if you assume that the random variables have a little more than two moments. Let $S_n$ be the centered-scaled sum of $n$ iid ...
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0answers
26 views

Feller property for Ito diffusion with Lipschitz coefficients

Consider the following Ito diffusion $X_t$ satisfying $$dX_t=b(X_t)dt+\sigma(X_t)dB_t,\quad X_0=x\in \mathbb{R}^n,$$ with Lipschitz coefficients $b,\sigma$. It can be shown that if $g$ is bounded ...
4
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3answers
355 views

Why does the overhand shuffle converge to the uniform distribution on $S_n$?

Pemantle 1989 proves, among other things, that the Markov chain on $S_n$ induced by repeatedly and independently performing an overhand shuffle on a deck of $n$ cards is ergodic and has limiting ...
2
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0answers
104 views

markov processes and ergodic theory

For an ergodic Markov Chain $$ \frac{1}{N}\sum_{i=1}^n f(X_i) \rightarrow E_\pi[f] $$ where $\pi$ is the invariant distribution. I am also dealing with a Markovian process (a state space model to ...
2
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2answers
115 views

Probability of no $k$ 1's in arithmetic progression in binary sequence of length $n$

It is well known [it's on Wolfram Mathworld, for example] that the probability of no runs of $k$ consecutive $1$'s will occur in a $\{0,1\}$-valued sequence of length $n$ is exactly equal to ...
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1answer
116 views

What is the relationship between $E(X\mid\mathcal{A})$ and $E(X\mid A)$?

This question seems obvious, but not sure how to prove it. Let $\mathcal{A}$ be a $\sigma$-algebra, and $X$ be a random variable. Suppose $E(X\mid A)\le1$ for any $A\in\mathcal{A}$, can we conclude ...
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1answer
135 views

Difficulty with a formula for a probability related to card shuffling

I've been reading this article on the overhand shuffle. In it the author uses a simplied mathematical model of the shuffle: Pemantle’s model for the overhand shuffle is parameterized by a ...
7
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1answer
197 views

Is this simple-looking moment inequality true?

Let $p \ge 1$ be an integer. Does there exist a constant $C_p$ such that for every random variable $X \ge 0$, $$ \mathbb{E} \left[ \left(X - \mathbb{E} \left[ X \right] \right)^{2p} \right] \le C_p ...
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65 views

formula for density of maximal Poisson disk sampling of radius 1?

Maximal Poisson disk sampling of radius r, applied to a finite planar region, is defined by successively choosing sample points uniformly randomly from the part of the region that is not within ...
4
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1answer
91 views

Probability of existence of a base in the span of sparse vectors in GF(2)

For $i=1,2,\dots,l$, let $\mathbf{v}_i =(v_{i1},v_{i2},\dots,v_{in}) \in \mathbb{F}_2^n$ be a sparse vector in GF(2) such that all $v_{ij}$'s are independent for all $1 \le i \le l, 1 \le j \le n$ and ...
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0answers
35 views

Existence of probability distribution satisfying upper/lower bounds on events

Suppose we have a finite sample space $S$ and some events $A_1, \dots, A_k \subseteq S$. We would like to put a probability distribution on $S$ so that no element has probability greater than a ...
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35 views

Prokhorov convergence of Gaussian measures

Consider a Hilbert space $\mathcal{H}$ and a sequence of centered Gaussian measures $\mu_n$ on it. The covariance operators of $\mu_n$ are defined via their eigenpair(eigenbasis and eigenvalue)) as ...
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2answers
428 views

What is the expected value of an N-dim vector of uniform randoms that sum to 1 which have been sorted into descending order?

What is the expected value of an N-dimensional vector of uniformly distributed random numbers which sum to 1 and have been sorted in descending order? Here is the algorithm for drawing a sample from ...
5
votes
1answer
119 views

Can samples be compressed?

The Fisher information of a random variable $Y$ about a parameter $\theta$ upon which the probability of $Y$ depends is: $\mathcal{I}_Y(\theta)= -E\left[\left.\strut \frac{\partial^2}{\partial ...
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1answer
53 views

Concentration of U-statistics for exchangable distributions (and the unbounded case)

Consider the following so-called $U$-statistic of order 2: $$U = \frac1{\binom{m}{2}} \sum_{i < j} h(w_i,w_j)$$ where $w_1,\dots,w_m$ are IID from some distribution and $h$ is symmetric. If ...
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0answers
60 views

The role of absolute continuity in stochastic ordering defined over sets of probability distributions

This question is about a claim given in this paper (page 261, the remark), but without any proof. It simply says that if two sets of probability distributions, $\mathscr{P}_0$ and $\mathscr{P}_1$ ...
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1answer
159 views

What is an upper bound for $|E(X|\mathcal{A})-E(X)|$?

Let $X$ be a random variable with $|X|\le1$, and $\mathcal{A}$ be a $\sigma$-algebra. What is an upper bound for $|E(X|\mathcal{A})-E(X)|$? Existing results: It has been known that ...
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1answer
119 views

Solving algebraic recurrence relations on a cyclic graph

I have a set of $n$ variables $p_1, \ldots p_n$ with $0 \leq p_i \leq 1$ and a defining equation for each of one of the forms: $p_i = 0$. $p_i = 1$ $p_i = p_j p_k$ for some $j, k$ with $i, j, k$ all ...
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2answers
129 views

Moving a result from the unconditional to the conditional

I'm generally wary when lifting a result stated unconditionally to a situation where I'm conditioning on a random variable. Consider the following classical result in weak convergence: Theorem. Let ...
5
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1answer
106 views

Average minimum number of random k-sparse vectors in GF(2) to span the whole space?

What is the average minimum required number of independent $k$-sparse (having at most $k$ non-zero elements) random vectors belonging to $\mathbb{F}_2^n$ to span the whole space of $\mathbb{F}_2^n$? ...
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0answers
161 views

Expected value and variance of a stochastic process

I would like to ask if there is a way to find the expected value and the variance of the following process $$ dv_t=(a-be^{\alpha v_t})dt+\sigma dW_t, \quad v_t=v_0 $$ where $a\in (-\infty,+\infty), ...
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0answers
37 views

Quadratic characteristic and constancy

Consider a change of measure on $\mathcal{F}_{t}$ defined by the restriction of two probability measures of the form \begin{align} \frac{dQ_{t}(\theta)}{dP_{t}}=\exp^{ \theta A_{t}-\kappa(\theta) ...
5
votes
1answer
134 views

Upper Bound for the Difference of Even Probability and Odd Probability in Hypergeometric Distribution

Let $X$ be a random variable following the hypergeometric distribution with parameters $N,K,n$, where \begin{equation} Pr(X=k) = \frac{\binom{K}{k}\binom{N-K}{n-k}}{\binom{N}{n}}. \end{equation} To ...
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0answers
101 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 ...
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1answer
71 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
90 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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75 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 ...