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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31 views

Find the joint density function?

Assume that $X_t$ is the OU process , i.e, $dX_t=\kappa(\theta-X_t)dt +\sigma dW_t$ where $0\leq t\leq T$ and $X_0=x_0>0$. Let $q(x)=\frac{\kappa}{\sigma}(\theta-x)x +\frac{\sigma}{2}$. I want ...
-1
votes
0answers
15 views

Branching process and process stochastic

Consider a discrete time branching process $X_{n}$ with $X_{0}=1.$ Establish the simple inequality $$P\{X_{n}>L\ \textrm{for some}\ 0\leq n\leq m\ |\ X_{m}=0 \}\leq [P\{X_{m}=0\}]^L$$ Note: This ...
0
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0answers
18 views

Spectral densities of stationary Feller processes with no diffusion, constant positive drift and negative jumps

For a (real valued, finite variance, centered) stationary process $X_t$ on $\mathbb R$, the auto-correlation function $k(\tau) = \mathbb E(X_{t+\tau}-X_t)^2$ and its inverse Fourier transform $\rho$, ...
10
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0answers
208 views

Probability that random nonnegative integer matrix is singular

Q. What is the probability that an $n \times n$ matrix, whose elements are independent uniformly random integers in $\{0,1,\ldots,k\}$, is singular? For example, for $n=3$ and $k=2$, the first ...
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0answers
34 views

Probability/Bayes theorem/Bernoulli's experiments question [on hold]

John has rolled the dice 10 times and he said that every number form 1 to 6 has appeared at least once. Given this information find the probability of the event "number 6 has appeared at least 2 ...
3
votes
1answer
116 views

Discretizing probability measures

Consider a probability distribution on $\mathbb{R}^k$, say $\mu$. Then there is a sequence of probability measures $\mu_n$ that converge weakly to $\mu$ so that each of them is discrete (takes ...
-6
votes
0answers
68 views

A Paradox by a Variant of Von Neumann's coin toss [on hold]

All biased coins are fair. If I have a biased coin whose probability of heads is $p$, and keeps tossing it, and only stops when the number of heads equals tails, then each sequence I get has a ...
0
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0answers
51 views

Random Cluster Model only for bond percolation?

Can someone please tell me which of the following statements I make are true of the current state of the art: The Random Cluster Model is a generalization of bond percolation (with possibly ...
4
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0answers
112 views

inequality in a shape of inclusion exclusion formula

I have two inequalities to show, both of which describe some probabilities. First I know how to handle, and it follows from applying arithmetic-harmonic mean inequality: consider 9 numbers ...
4
votes
1answer
166 views

continuity of the Boltzmann entropy in the Wasserstein metric

For Lebesgue-absolutely continuous probability measures $\rho\ll \mathcal{L}^d$ in the whole space $\mathbb{R}^d$ with finite second moments (i-e $\rho\in \mathcal{P}^2_{ac}(\mathbb{R}^d)$), let $$ ...
0
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0answers
14 views

Bayes' Rule where the probabilities are taken as conditional [migrated]

I'm encountering some difficulty beginning statistics work with a basic Bayes' Rule problem. You can see the problem and answer on page 16 here, but I've explained it below. ...
3
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1answer
91 views

Stationary distribution of last passage percolation

Consider last passage percolation model on $\mathbb{Z}^2$. I am interested to know if there is any known result for the stationary distribution of passage times, given some distribution for the ...
6
votes
1answer
157 views

Length of nearest neighbor path in travel salesman problem

Given $n$ nodes uniformly distributed in $[0,1]^2$, consider the nearest neighbor algorithm to solve traveling salesman problem, i.e., each time I select the nearest neighbor not visited so far as the ...
13
votes
2answers
330 views

A probability distribution in n dimensional space which its projection on any line is a uniform distribution?

Does there exist, for any natural $n$, a probability distribution in $\mathbb{R}^n$ whose projection on any line is a uniform distribution?
0
votes
1answer
66 views

Approximation of general measurable maps by simple functions [closed]

Let $f : (\Omega, \mathcal F) \to (\mathbb R, \mathcal B(\mathbb R)$ be a measurable map, then it is well-known that $f$ could be approximated by a sequence $(f_n)$ of simple measurable functions, ...
2
votes
1answer
56 views

Sub-$\sigma$-algebras and conditional expectation

Is it true that any sub-$\sigma$-algebra of a Rokhlin-Lebesgue space is induced (up to completion) by a measurable map into another Rokhlin-Lebesgue space? In other words, is it true that conditional ...
1
vote
0answers
19 views

Lower bound on the probability of guessing the mode in a small multinomial sample

Let $X=\left(X_{1},...,X_{k}\right)$ be a random variable that follows a multinomial distribution with $n$ trials and $k$ categories, with probabilities $p_{1},...,p_{k}$ such that $p_{1}-\delta\geq ...
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0answers
17 views

Radial distribution and asset distribution [closed]

What are the classes of radial distribution that can describe asset value/returns distribution?
2
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1answer
84 views

Bounds on the probability of k-of-n events in terms of bounds on single and pairwise probabilities

Let $A_1,\dotsc,A_n$ be events in a probability space, and let $N = \sum_{i=1}^n \mathbf{1}_{A_i}$ be the random number of events that occur. For a fixed value $k \in \{1,\dotsc,n\}$, what can be ...
0
votes
1answer
57 views

Ergodic and mixing processes [closed]

I am working with an article, where it says: "that the discrete time stationary sequence $\{Y_j\}_{j\in Z}$ is mixing and hence ergodic." where $Y_t$ is defined as $Y_t = \int_{-\infty}^{t} ...
0
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0answers
70 views

Why is this distribution exponential?

Take the interval $[0, 1]$. Now sample 10000 points in this interval randomly according to the uniform distribution. The fact is that the distribution of the distances between adjacent points on ...
2
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0answers
50 views

Stationary distribution for time-inhomogeneous Markov process

I have a two state, discrete time, time-inhomogeneous Markov process with transition matrix defined by $$T_i=\begin{pmatrix} 1-p_i\alpha & p_i\alpha \\ p_i\beta& 1-p_i\beta \end{pmatrix}$$ ...
0
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0answers
47 views

Facebook Question (Data Science) [migrated]

Out of curiosity, here's a question from Glassdoor (Facebook Data Science Interview) You're about to get on a plane to Seattle. You want to know if you should bring an umbrella. You call 3 ...
2
votes
1answer
123 views

Expected value (probability) maximization with binomial distribution

I need to solve an optimization problem that involves an expected value like $$F(n,x) = \sum_{k=0}^n \binom{n}{k} p^k(1 - p)^{n - k} f(k,x).$$ Here $f(k,x)$ is actually a probability coming from a ...
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1answer
40 views

Common density of a random Vector with dependent entries ($Z=(aX,bX)$) [on hold]

Given a real random variable $X$ with density $g:R \to R$ and two real constants $a,b$. Let $Z:=(aX, bX)$, the random vector with entries as written (same random variable $X$ with different factors). ...
2
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0answers
78 views

Tail bounds for suprema of random processes

Classical results concerning concentration of Gaussian random variables due to Cirelson, Ibragimov and Sudakov say that if $V_1,\cdots,V_n$ are jointly Gaussian with variance bounded by $1$, then ...
10
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0answers
230 views

Reference request: a combinatoric result [closed]

When I tried to construct a counterexample in my research, I encountered the following result, which should be true. Let $m=m(n)$ be a function that grows faster than $\sqrt n$, so $m(n) = ...
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0answers
31 views

How to Randomly Generate SAT Scores in R with max and min? [closed]

I'm trying to figure out how to randomly generate SAT scores in R by subsection. It follows the general form rnorm(n,mean,SD), but I also need to take into account that the minimum value has to be 200 ...
1
vote
1answer
124 views

Proof of no bound for stochastic integral

I have Ito integral $X=\int_0^T f(t) dW(t)$ and I would like to proof that $P(X>K)>0$ for all $K$ provided $f(t) > \epsilon > 0$. My idea was $\int_0^T f(t) dW(t) \sim \int_0^T \epsilon ...
2
votes
1answer
88 views

Probability of Hamming weight

Given $s,t\in(0,1)$, $c>1$, $n\in\Bbb N$, pick ${n^t}$ random vectors $\{v_i\}_{i=1}^{{n^t}}$ such that each $v_i\in\{x\in\{0,1\}^{2^n}:|x|_{hamming}={2^{n-n^s}}\}$. Denote $v_j\cap v_j$ to be ...
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7answers
514 views
+50

Semicircle law universality elsewhere

Wigner's semicircle distribution is: $$f(x)=\frac{1}{2 \pi}\sqrt{4-x^2}, \ \ -2\leq x\leq 2.$$ Under reasonable conditions, the rescaled eigenvalue density of random symmetric matrices $M_n$ follows ...
5
votes
1answer
245 views

Sums of random variables mod p

Let $\varepsilon_1, \ldots, \varepsilon_n$ be independent random variables taking values $0,1$ each with probability $1/2$. It is well known that $R_n=\varepsilon_1+ \cdots+ \varepsilon_n$ modulo a ...
0
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0answers
88 views

Central Limit theorem: Taylor series diverges for harmonics with higher number and those harmonics can't be neglected [migrated]

Edit: I'm currently revising the question, due to suggestions in comments. There's a mistake in my discussion of Parseval's identity. I've read several proofs of Central Limit Theorem and they all ...
0
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1answer
65 views

Asymptotically full stationary process

Let $(X_n)_{n \in \mathbb{Z}}$ be a stationary process on a finite set $A$. Say that it is asymptotically full if for every increasing sequence of subsets $B_n \subset A^n$ such that ...
2
votes
2answers
127 views

Are all mixtures of these unimodal functions unimodal?

Let us say that a function $F\colon(0,\infty)\to\mathbb{R}$ is increasing-decreasing if, for some $c\in[0,\infty]$, $F$ is non-decreasing on $(0,c]$ and non-increasing on $[c,\infty)$. Is it true that ...
2
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0answers
21 views

MLE and CRLB with mismatched likelihoods

Suppose that I can do a Karhunen-Loeve expansion of a log-likelihood function $p(\bf{x};\theta)$ into N terms and that these accounts for a fraction $1-\delta$ of the total energy. Now consider ...
0
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0answers
16 views

A simple question on conditional expectation [migrated]

Let $x$ and $y$ two i.i.d having an uniform distribution over $[0,1]$. Then what is the conditional expectation, $\mathbb{E}[x / y\ |\ x < y]$. It seems to me, this should be: $\int_{\{x < ...
5
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1answer
87 views

Is it possible to prove concentration bounds from optional stopping theorem?

It is known that the optional stopping theorem from martingale theory is a very powerful theorem in probability theory in statistics. I have heard of a probability course at Stanford where ...
3
votes
0answers
48 views

Dilation of positive operators into martingales

In Rota's paper (An Alternierende Verfahren for General Positive Operators), Theorem 2 says that: Let $P$ be a doubly stochastic operator which is selfadjoint in $L^2 (S, \Sigma, \mu)$. Then there is ...
0
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0answers
58 views

How often does a one-dimensional lazy random walk end at the origin? [migrated]

This seems like it's probably a solved problem, but I don't seem to be googling the right keywords. I want to know the probability that a lazy random walk on $\mathbb{Z}$ ends where it started. To be ...
3
votes
1answer
101 views

Do random triangulation edge-flips maintain randomness?

Let $S$ be a fixed set of $n$ points in the plane in general position. Let $T$ be a triangulation of $S$, (somehow) selected uniformly at random from all triangulations of $S$. (There are an ...
0
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0answers
70 views

A question concerning distribution of $\mathbf{Y}/\|\mathbf{Y}\|_2$ where $\mathbf{Y}\sim \mathcal{N}(\boldsymbol{\mu},\mathbf{I})$

I know that when $\mathbf{Y}\sim\mathcal{N}(\mathbf{0},\mathbf{I})$, $\mathbf{Y}/\|\mathbf{Y}\|_2$ is distributed uniformly on the unit sphere. But to my surprise, I failed to find a simple closed ...
0
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0answers
37 views

Fourier transform of the realization of a stationary process in the space of tempered distributions?

A path of a stationary sequence of random variables $y_t$ does not have a discrete-time Fourier transform in the classical sense because it is not summable. This leads to considering the spectral ...
0
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0answers
42 views

Expected length of minimum spanning trees

For a simple, finite, connected and complete graph $K_n = (V(K_n), E(K_n))$ with vertex set $V(K_n)$ and edge set $E(K_n)$, we assign a non-negative independent and identical distributed random weight ...
0
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0answers
63 views

Probabilities in a directed graph

Given a directed graph of "n" vertices, having on average "m" out-edges each, what is the probability that an arbitrarily chosen vertex will belong to a unique circuit? Also, how does that ...
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0answers
29 views

Stochastically coloring a graph in a local way

Suppose you are assigning values in $S$ (assume $|S|<\infty$) to nodes of a (directed) graph in a stochastic way. At the beginning, none of the node is assigned values. At the $i^{th}$ step, you ...
2
votes
1answer
140 views

Minimal distance between random points on the unit circle

Fix $n$. Take the integers from $0$ to $n-1$ and define the distance between $x, y \in [0, n-1] \cap \mathbb{Z}$ as $d(x,y)=\min(|x-y|, n- |x-y|)$. Now take $2k$ distinct points $x_1, \dots, x_{2k}$ ...
1
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1answer
109 views

Growth speed of Brownian motion

Given a standard Brownian motion B, we have known that almost surely, $$\limsup_{n\to\infty}\frac{B(n)}{\sqrt{n}}=+\infty.$$ For any positive real number a and integer n, let ...
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70 views

Orthogonal decomposition of conditional expectations

Suppose I have a random variable $x$ and a set of conditional distributions on $x$. Here is an example where the conditionals are nested: $$q_1 := E(x|y_1), \quad q_2 := E(x|y_1,y_2),\quad q_3 := ...
0
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0answers
48 views

conditionning by a Gaussian field

I know that if $(X,Y)$ is a Gaussian vector, then $(X|Y=y)$ is a Gaussian vector which covariance matrix is explicit in function of the covariance matrix of $(X,Y)$, and does not depend on $y$. What ...