Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory.

learn more… | top users | synonyms (1)

-3
votes
0answers
145 views

Could RH be a consequence of some kind of central limit theorem? [on hold]

In the last issue of "Pour la Science" (French edition of Scientific American), there is an article about random geometry on the sphere where the authors invoke the central limit theorem to explain ...
0
votes
0answers
19 views

Truncated Robbins-Monro

I'm reading Han-Fu Chen's book "Stochastic Approximation and Its Applications", and in Chapter 1, he's got a statement of a theorem and proof on a truncated Robbins-Monro algorithm. In this version, ...
-5
votes
0answers
48 views

I cannot solve this question! HELP [on hold]

Imagine a 100 storey building. You want to find the highest floor from which an iphone, when dropped, will not break. If an iphone is dropped and does not break, it can be used again with no adverse ...
4
votes
1answer
58 views

Weakly correlated Bernoulli field

Let $\Lambda\subset\mathbb{Z}^{d}$ ($\Lambda$ is finite). Let $\left\{ \eta_{x}\right\} _{x\in\Lambda}$ be a field of dependent Bernoulli random variables. I assume that their correlation decays ...
-3
votes
0answers
43 views

try to calculate the probability [on hold]

Prove that if you choose two points uniformly and independently on a line of length 1, then the expected distance between the points is 1/3. My answer is 1/6, not match the question
2
votes
0answers
48 views

Second eigenvalue of biased reflected random walk

Let $Z_n$ be a reflected random walk on the non-negative integers with negative drift. That is, $Z_n$ is non-negative and moves one to the right w.p. $p<1/2$. It moves one to the left w.p. $1-p$, ...
-1
votes
0answers
30 views

Probability of co-occurence [on hold]

Of total N people, m people are good at mathematics and c people are good at computer science. What is the expected number of people good at both mathematics and computer science? Or what is the ...
1
vote
0answers
34 views

Scaling of First-passage times for Random Walk on integer lattices

Consider simple symmetric random walk $S_{n} = (S_{n}^{(1)},\dots, S_{n}^{(d)})$ on the d-dimensional integer lattice with starting point the origin. Let $\tau_{N}$ be the first time $S_{n}$ exits ...
0
votes
0answers
27 views

Bounds on the moments of truncated sub-gaussian random variables

If $X$ is a centered sub-gaussian random variable, then there exists a constant $c$ such that $$ \mathbb{P}[|X|>t] \leq \exp(1-ct^2) $$ for all $t\geq 0$. Moreover, we know that the normalized ...
10
votes
0answers
158 views

Two conjectures about zero inner products and dissociated sets

The following problems come from something I worked on (with my coauthors) related to proving a new time lower bound for streaming problems. Having worked on these problems for some time with little ...
0
votes
1answer
43 views

How can two random variables are continuous infers that their jointly random variable is continuous [closed]

We assume that $\forall a,b$ suchthat $a^2+b^2>0$, $aX+bY$ is continuous random variable. But we don't assume that $X$ and $Y$ are independent. My question is the following: Is it true that the ...
1
vote
0answers
47 views

Cramer-Rao type bound for absolute estimation error

Let $\{X_1, X_2, \ldots, X_n\}$ be independent and identically distributed (i.i.d.) random variables sampled from a common distribution with density $f_{\theta}(x)$, where $\theta$ is an unknown ...
2
votes
1answer
130 views

Random walk on a sphere along latitude-longitude grid

Suppose a sphere is partitioned by a latitude-longitude grid, with grid quadrilaterals $\Delta \times \Delta$. All grid nodes have degree $4$, while the North & South poles have degree $2 \pi / ...
10
votes
0answers
132 views

No limit shape for random Young diagrams under z-measure?

In their paper Random partitions and the Gamma kernel (Advances in Mathematics 194 (2005) 141–202), Borodin and Olshanski state that: An important difference between the Plancherel measures and ...
4
votes
1answer
136 views

Upper bound of the waiting time of a sum process

Let $n \in \mathbb{N}$, $x_1, \ldots, x_n \in (0,1)$ fix but arbitrary, s.t. $\sum_{i=1}^n x_i = 1$. Let $X_i \sim \operatorname{Unif}(\{x_1, \ldots, x_n\})$ i.i.d., and $T_n = \min\{t \in \mathbb{N} ...
4
votes
1answer
102 views

variance of compound binomial distributions

The below is motivated by a problem I'm observing in my experimental data I have m boxes, where each box is supposed to contain k molecules of mRNA. The measurement process includes labeling all the ...
4
votes
1answer
219 views

Strings with no long runs from proper subalphabets

Let $R_{n,k,b}$ be the number of $b$-ary strings of length $n$ that contain some run of length at least $k$ from some $(b-1)$-ary subalphabet. Let $N_{n,k,b}=b^n-R_{n,k,b}$ be the size of the ...
3
votes
0answers
70 views

Explicit formula for the moment problem with Carleman's conditions

Suppose that $\mu_j$ are real numbers obeying the Carleman condition: $\sum_{j=0}^\infty 1/\mu_{2j}^{2j}<\infty$. Then it is well-known that in case the $\mu_j$ are positive definite, there is a ...
0
votes
0answers
45 views

What is the concentration of measure for Gaussian random variables which are independent, but are transformed?

This might be a too easy question for Mathoverflow, but Googling led to similar questions and answers here (though not the one I was looking for). The question is split into two: I have a matrix $X ...
4
votes
2answers
236 views

“Typical” convergence rate for the von Neumann mean ergodic theorem

The von-Neumann theorem states that for a unitary operator $U: {\cal H} \mapsto {\cal H}$, where ${\cal H}$ is a Hilbert space, the following holds: $$ \lim_{N\to \infty} \frac{1}{N} \sum_{n=1}^N U^n ...
0
votes
0answers
94 views

A hypothesis test question [migrated]

Let $X_i$ (for all integer $i$)be Bernoulli random variables (which takes either value -1 or 1, with equal probability). Define a random variable $Y$ to be $Y=\sum_{i=1}^d{X_i}$, where $d$ is a hidden ...
4
votes
0answers
98 views

Young Tableau Box Correlations

Let $T$ be a uniformly random Standard Young Tableau (SYT) of shape $\lambda=(\lambda_1,\cdots,\lambda_k)$ with $|\lambda|=n$. Let $T_{ij}$ denote the value in box $(i,j)$. I'm interested in what can ...
2
votes
1answer
95 views

What is the distribution of the maximum nearest-neighbor distance of a point cloud sampled from a solid body like?

Let $\mathcal{B} \subseteq \mathbb{R}^n$ be an $n$-dimensional solid body. Assume that we sample $N$ points, say $S = \{ x_1, ..., x_N \}$, from $\mathcal{B}$ uniformly at random. Consider the ...
5
votes
1answer
318 views

How many random matrices does it take to generate a matrix algebra?

Let $\mathbb{F}$ be a finite field. Let $A\le \mbox{Mat}_n(\mathbb{F})$ be a matrix algebra. Is there a good bound on the number $k$ of random elements $a_1,\dots,a_k\in A$ that one needs to take ...
18
votes
0answers
390 views

Human Knot game

In the popular game "Human Knot", a group of people stands in a circle and each person grabs another person's hands at random (one with the left hand and one with the right hand). The goal is to ...
31
votes
2answers
868 views

Random sequence of integers in $\{1, 2, \dots, n \}$ which is “everywhere probably increasing” - how long can it be?

Let $D=(d_1,d_2,\dots,d_k)$ be a sequence of correlated random variables. $D$ is "everywhere $r$-probably increasing" if the event $d_j > d_i$ has probability $\geq r$ for all $j > i$. Fix $r ...
4
votes
2answers
202 views

Is $B(t-1)$ an Ito process?

Let $I(\cdot)$ be an indicator, and $B_{t}$ be an 1-dim standard Brownian motion in a nice filtered probability space $(\Omega, \mathcal{F}, P, \mathcal{F}_{t})$. We consider a random process $$Y_{t} ...
1
vote
1answer
84 views

Probability of sub-sequence of exact length to occur

Let's suppose that I have a sequence of length $L$ of uniformly distributed random numbers on interval $(a,b)$. How can I calculate probability that increasing sub-sequence of length $M,M <L, $ ...
0
votes
1answer
97 views

probability in galton watson processes [closed]

I am trying to study the Elementary new proofs of classical limit theorems for Galton Watson processes written by Jochen Geiger. I don't understand what Z_(n,i) stand for. And in the proof of Theorem ...
-1
votes
1answer
96 views

Continuity of function mapping $\mathcal{P}(\mathcal{P}(X))$ to $\mathcal{P}(X)$ [closed]

Given a topological space $Y$, let $\mathcal{P}(Y)$ be the set of all probability measures on $Y$, endowed with the weak* topology. Let $X$ be a topological space (for convenience, it might be Polish ...
7
votes
1answer
192 views

Central limit theorem for biased random walk

Define random variables $X_n$ by $X_0 = 0$ and \begin{equation*}X_n - X_{n-1} = \begin{cases} 1 & \text{with probability } g(X_{n-1}) \\ 0 & \text{with probability } 1-g(X_{n-1}) \end{cases} ...
1
vote
0answers
99 views

Joint law of a standard Brownian motion and its local time at a nonzero level

Let $B_t$ be the standard Brownian motion and $L_t^a$ be the local time at level $a$. It is known that the joint-density of $(L_t^0,B_t)$ is $$ P\left(B_t\in d y, L_t^0\in d v\right) = ...
3
votes
1answer
459 views

Is the integral always nonzero?

Let $$I_{n,p,a}:=\int_0^{\infty-} \frac{g_{n,a}(t)}{t^{p+1}} \, dt,$$ where $$(*)\qquad\qquad\qquad n\in\mathbb N,\quad -\infty<a<\infty,\quad p_{n,a} < p < ...
0
votes
0answers
37 views

Recursive parameter estimation for partially observed Ito SDEs

I'm trying to get my head around online (recursive) maximum-likelihood parameter estimation in the language of stochastic processes and in the context of stochastic filtering, i.e. where we have a ...
2
votes
0answers
59 views

Poincare inequality for the measure of Brownian path

I am wondering if the Poincare inequality holds for the Brownian path space. As the simplest example, let $\{w_t, t \in [0, 1]\}$ be a 1-d standard BM: has independent increments and continuous ...
1
vote
0answers
87 views

Horizontal vs Vertical sides Exit from a Rectangle for simple symmetric Random Walk on $\textbf{Z}^{2}$

Consider simple symmetric random walk, $X_{n} = (X_{n}^{(1)}, X_{n}^{(2)})$ with $X_0= (0,0)$, on the 2 dimensional integer lattice, $\textbf{Z}^{2}$. Let $T_{M}, T_{N}$ be the smallest $n$ such ...
2
votes
0answers
35 views

Functions whose Laplace transforms have prescribed behavior at minus infinity

Let $f:\mathbb{R}\rightarrow\mathbb{R}$ be a non-negative function with entire Laplace transform $\hat{f}$ (in particular $\lim_{t\to \infty}e^{st}f(t)=0$ for all $s$), and $p_0$ a positive integer. ...
2
votes
0answers
70 views

convergence of integral for each bounded function in probability

Let $\mu, \mu_1, \mu_2, \dots$ be random measures on a Polish space (separable completely metrizable topological space) $(S, {\mathcal S})$. Suppose I know that $$\int f d \mu_n \to \int f d\mu$$ ...
0
votes
0answers
89 views

Are such averages known with representations of $S_n$?

Like is there a sense in which one can quantify that for two group elements (in different conjugacy classes) their characters are "close" for some fixed irreducible representation? (feel free to ...
1
vote
1answer
116 views

Interchanging limits for doubly indexed random sequences

I've encountered the following problem which seems to be quite standard but for which I can't find any proper references (asking on mathematics SE didn't bring up any answers so I'm reposting my ...
6
votes
6answers
472 views

Finite-space dynamical systems

This question is quite open-ended, but I will formulate several sub-questions that I'll try to make precise. It is about finite-state dynamical system: start with a finite set $X$, with say $n$ ...
3
votes
1answer
70 views

random odes adapted solution

Let $\{\omega_t\}$ be a Levy process (like Brownian Motion, stable process). Consider the following random ode $$x_t=x_0+\int_0^tb(x_s+\omega_s)ds$$ Where $b$ is a bounded continuous function (not ...
13
votes
4answers
734 views

Random Diophantine polynomials: Percent solvable?

Suppose one generates a random polynomial of degree $d$ with integer coefficients uniformly distributed within $[-c_\max,c_\max]$. For example, for $d=8$, $|c_\max|=100$, here is one random ...
3
votes
0answers
190 views

Unusual generalization of the law of large numbers

I have seen in physical literature an example of application of a very unusual form of the law of large numbers. I would like to understand how legitimate is the use of it, whether there are ...
8
votes
2answers
549 views

random category theory

This question is in some sense dual to the one asked in Is there an introduction to probability theory from a structuralist/categorical perspective? since contrary to the OP who asks for references ...
1
vote
1answer
55 views

Expected number of leaf nodes in some theoretical graph models

If a leaf node of a graph refers to a node having the degree of 1, how can one compute the expected number of leaf nodes of: (A) a random graph (e.g., Erdos-Renyi graph), (B) a small-world graph ...
1
vote
0answers
59 views

Probabilistic proof for expander existence [closed]

I am new to probabilistic proofs and trying to understand them better. Apparently, a common probabilistic proof focuses on the existence of expanders (eg. vertex expanders). I've been using the search ...
0
votes
0answers
78 views

Alternate proof for Caratheodory extension theorem

This question is on the intuition behind the Caratheodory definition of measurable sets as given in Billingsley. He motivates by saying that we "should" call a set $A$ measurable if $$P^*(A) + ...
6
votes
1answer
101 views

Does a Gaussian process shrink under a contraction map

Let $T \subset \mathbb R^n$, and assume it's a finite set if that helps. Consider the symmetric Gaussian process $(X_t)_{t\in T}$ defined by $X_t = \langle G, t\rangle$, where $G$ is a standard ...
3
votes
1answer
123 views

Regarding left-to-right minima

Let $\rho$ be a permutation on $[1,n]$ and $l_i$ be the number of left-to-right minima in $\rho_{i\ldots n}$, I know that for a random permutation $E[l_1] = H_n$ (the $n$-th Harmonic number) but is ...