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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Mappings of random processes $\varphi(X(t))$

I am interested in problems of the following type. Let $X(t)$ be a planar random process and $\varphi:\mathbb R^2\to\mathbb R^2$ be a mapping. Then what can we say about the image $Y(t) = \...
-1
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0answers
33 views

Deriving global probabilities from local dynamics

I am interested in growth dynamics and, in particular, how to derive difference/differential/stochastic equations from local behavior of a system. I tried posting first on math.stackexchange (https://...
2
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0answers
44 views

Uniform mean-square-error estimates

Consider a standard statistical estimation problem with iid real observations $\{X_i\}_{i=1}^N$. For a collection of real functions $\mathcal{F}$, I want to get an estimate of the uniform rate of ...
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0answers
40 views

Proving that a complex expression of integrals is increasing in a given parameter

Let $f$ and $F$ denote the respective pdf and cdf of a probability distribution on $\mathbb{R}$. Consider any natural $n\geq3$ and any real $c$ such that $c\geq0$, and $\rho\geq0$. We want to prove ...
2
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1answer
79 views

Intuitional feeling of harmonic measure on one-third Cantor set

It is known that the harmonic measure on classical one-third Cantor set has Hausdorff dimension strictly less than $\frac{\log 2}{\log 3}$. Even harmonic measure has a close relation with brownian ...
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1answer
74 views

Unique Stationary Distribution of A Markov Chain

I have a Markov Chain like $Y_i=\sum_n\pi_{n,i}(Y)Y_n$, i=1,2,3...N. So the Markov chain has N states and the transition matrix depends on the vector $\textbf{Y}$. Moreover, $Y_i$ is continuous and ...
3
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1answer
108 views

Randomly put $k$ balls in $2n$ circular boxes, pick $n$ consecutive boxes such that the number of balls is minimum!

You are given $2n$ boxes that are arranged circular (you can imagine all boxes are on the edge of a circular table). Then randomly, you put $k$ balls in the boxes such that each box is containing ...
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1answer
42 views

Limit of stochastic subsequence of stationary ergodic sequence

Let $\{X_k\}_{k\in\mathbb{N}}$ be a stationary ergodic sequence on a probability space $(\Omega,\mathcal{F},P)$ with shift $T$. Also, let $\{v_k\}_{k\in\mathbb{N}}$ be a sequence of random variables ...
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63 views

Advice on Family Index theorem [on hold]

I am reading Bismut's paper Family Index and Heat equation, but I have knowledge on the probability or stochastic. Could anyone give some advice or introduce some ref. on probability to understand ...
5
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1answer
76 views

Positive semidefinite ordering for covariance matrices

Suppose that X and Z are matrices with the same number of rows. Let $$ D = \left[\begin{array}{cc} X' X & X'Z \\ Z'X & Z'Z \end{array} \right]^{-1} - \left[\begin{array}{cc} (X' X)^{-1} & ...
2
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2answers
99 views

Asymptotic Growth of Markov Chain

I asked the following question one week ago at math.stackexchange but didn't receive a response, so I want to give it here another try: I'm interested in the following problem: We have got a time-...
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0answers
33 views

Probability - transformation [on hold]

I've just come across this derivation (it's only a fragment I'm interested in): $$ \int p(x | \theta) \frac{\nabla_\theta p(x | \theta)}{p(x | \theta)} f(x) dx = \int p(x | \theta) \nabla_\theta \log ...
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0answers
47 views

Closure property of completely monotone functions [on hold]

A $C^{\infty}$ function $f(x_1, \dots, x_n)$ defined on $(0,\infty)^n$ is said to be completely monotone if $$ (-1)^{k}\frac{\partial^k f}{\partial x_{i_1} \cdots \partial x_{i_k}} \geq 0 $$ ...
5
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1answer
161 views

A two-point inequality

Let $M(p,q) = (2p-\sqrt{p^{2}+q^{2}})\sqrt{p+\sqrt{p^{2}+q^{2}}}$ and set $B(t) = M(x+t, \sqrt{t^{2}+(y+bt)^{2}})$. Given any real $x,y,b$ is it true that $\varphi(t) = B(t)+B(-t)$ is decreasing in $...
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2answers
193 views

Minimum separation among $m$ random points on an $n$-dimensional unit sphere

Consider $m$ points $v_1, \ldots, v_m \in R^{n}$, which are uniformly distributed on the $n$-dimensional unit sphere $S^{n-1} = \{v:\|v\|_2 = 1\}$. Let the minimum separation be $$ \rho = \min_{i,j\in{...
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1answer
84 views

Proving that an integral related to order statistics is increasing in a certain parameter

Let $f$ and $F$ denote, respectively, the pdf and cdf of a probability distribution on $\mathbb R$. Take any natural $n\ge3$ and any real $a$ and $c$ such that $a\le c$. Does it always follow that $$...
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6
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1answer
241 views

Stopping times for Brownian motion

Let $B_t, t\geq 0$ be standard Brownian motion. Let $\big(\mathcal{G}_t, t\geq 0\big)$ be the natural filtration, defined by $\mathcal{G}_t=\sigma(B_s, 0\leq s\leq t)$. Define also a filtration $\...
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0answers
39 views

Concentration of functional of Gaussian random variable

Suppose I have two Gaussian distributions $p(x) = \frac{1}{(2\pi)^{d/2}|\Sigma_p|^{1/2}}\exp(-\frac{1}{2}x^\top \Sigma_p^{-1} x)$ and $q(x) = \frac{1}{(2\pi)^{d/2}|\Sigma_q|^{1/2}}\exp(-\frac{1}{2}x^\...
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0answers
63 views

Random walk on d-dimensional torus

I am reading the following paper: http://arxiv.org/pdf/1602.03849v2.pdf I will explain the general setup below. Let $x\in X=\mathbb{T}^d$, where $\mathbb{T}^d$ is the d dimensional torus. Let $\rho$ ...
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210 views
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Hierarchical (Recursive) Random Walk (also known as Hierarchical Hidden Markov Model)

Let us consider the following hierarchical (recursive) random walk model, which is also known as the hierarchical hidden Markov model in computer science (https://en.wikipedia.org/wiki/...
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1answer
149 views

Random Cantor sets on the unit interval

Denote $A=\{0\}, B=\{0,1\}$. Then any subset of $\Omega:=\{A,B\}^{\mathbb N}$ is a continuum provided the number of $B$'s is infinite. We treat these as binary expansions of numbers in $[0,1]$. For ...
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1answer
108 views

Necessary and sufficient conditions for Kolmogorov's Extension Theorem

Let $(X_n,\mathcal{X}_n)$, $n=1,2,\ldots$ be measurable spaces. Define $Y_n = \prod_{k=1}^n X_k$ and let $\mathcal{Y}_n$ be the corresponding product $\sigma$-algebra. Similarly let $Y=\prod_{k=1}^\...
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86 views

Threshold for prophet inequality

The prophet inequality is related to the following scenario: Suppose there are $n$ independent positive random variables $X_1,\dots,X_n$. They might not be identically distributed. We reveal them ...
2
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1answer
55 views

How to compute bounding coefficients for McDiarmid's inequality?

I am trying to understand the proof in Sec. A2 of Gretton et al.. To make the question self-contained, I summarize below the key ingredients. At the end of the post, I state my question. Given a ...
2
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1answer
133 views

Size of automorphism group of random regular graph

If I pick a random regular graph on $n$-vertices and degree $d$ from uniform distribution what is the probability that its automorphism group is of size at least $m$? -- I want to know what is the ...
4
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0answers
76 views

Random polyominoes containing $2\times2$ squares

The construction quoted in the question "How to sample a uniform random polyomino?" claims to produce a "uniform random polyomino". But apart from the mentioned possibility of getting stuck, it also ...
2
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1answer
65 views

Version of Donsker-Invariance-Principle

Assume we have a Levy process $(X_t)_{t\geq 0}$ with a finite second moment for all $t>0$. For simplicity, say $\operatorname{Var}\left[X_1\right]=1$. Let $\tilde{X}_t:=X_t-t\cdot E\left[X_1\right]$...
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2answers
98 views

Uniform Concentration Bounds on Weighted Sum of i.i.d. Bernoulli Random Variables

Let $\delta_1,...,\delta_n$ be $n$ independent identically distributed Bernoulli random variables with $\mathbb{P}(\delta_1=1)=p$. We consider a set $\Omega = \{\mathbf{a}:=(a_1,...,a_n)~|~a_i\in [0,c/...
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3answers
293 views

How to sample a uniform random polyomino?

A polyomino is formed by joining finitely many unit squares edge to edge. It may be regarded as a finite subset of the regular square tiling with a connected interior. In particular, for us, ...
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1answer
81 views

Reference on Probability theory on functional spaces (in special Hilbert spaces)

Currently, I am working on some sort of stochastic optimization problems defined over function spaces. I am familiar with standard probability theory (R. Durrett, ''Probability: Theory and Examples")...
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71 views

Variation on stones in buckets

This is a spinoff, see Collecting stones in n buckets. Frankly speaking my only motivation is that I became curious: what happens if one redistributes the stones into the same buckets? More ...
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1answer
48 views

Conditions for supremum and conditional Expectation to commute

I am working with a continuous process $Y_t$ generating the filtration $(F_t)$ and have (for simplicity) two stopping times $\tau_1$ and $\tau_2$ such that $\tau_2 \leq \tau_1$ and $U:\Bbb R\...
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0answers
25 views

Application of Lemma in Iterated Expectation [closed]

I was reading the following paper: InfoGAN. I cannot figure out, how on page 4, Lemma 5.1 was applied in the following lines: $$\mathbb{E}_{c \sim P(c), x \sim G(z,c)}[\log Q(c|x)] = \mathbb{E}_{x \...
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0answers
33 views

A multifractal model of asset returns - Mandelbrot, scaling result

I am looking at the paper in the title and I am trying to derive their result in equation $2$. Here is what I obtain. Start with: $$X(ct) \stackrel{d}{=} M(c)X(t)$$ where $M(.)$ and $X(.)$ are ...
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41 views

Last Inference in proof of conditional limit theorem

I read about the Conditional Limit Theorem from the book "Elements of Information Theory" by Thomas M. Cover and Joy A. Thomas, second edition, page 371. I can't understand the last inference in the ...
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23 views

Article Using Kullback Leibler Divergence to Measure Divergence of Observation from Distribution

I am currently attempting to compare an observed distribution to a theoretical distribution, and my current approach is to normalize the two and find the Kullback Leibler Divergence. I am beginning to ...
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2answers
120 views

Coding SLEs (Schramm–Loewner Evolution) eg. SLE(6)

Any references/links on codes for SLEs written in C++ or Matlab that I can run in Windows (visual studio)? The only code I found was:http://math.arizona.edu/~tgk/research.html but the link was empty. ...
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1answer
91 views

Given $\mathbb Q$ and $X_t$ is $\mathbb Q$-Brownian, find $\frac{d\mathbb Q}{d\mathbb P}$ / Uniqueness of Brownian or Radon-Nikodym derivative

The problem: Let $T >0$, and let $(\Omega, \mathscr F, \{ \mathscr F_t \}_{t \in [0,T]}, \mathbb P)$ be a filtered probability space where $\mathscr F_t = \mathscr F_t^W$ where $W = \{W_t\}_{t \...
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0answers
37 views

Fisher metric for shift-invariant probabilities

I'm just discovering what seems to be the tremendous heuristic value of the (century-old, more or less) canonical Riemannian metric (Fisher metric) on the $n$-dimensional simplex $\Sigma_n:=\{(p_i)_{i=...
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0answers
109 views

Probability that two integers selected from a fixed interval are relatively prime [closed]

I found the answer to a very similar question already asked here on mathoverflow: what is the probability that two natural numbers are relatively prime? The answer given in the link below was $\frac{6}...
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Probability for a SRW to be at some place in an even number of steps

I am looking for some references for the following problem. Consider a graph $G$ and a simple continuous time random walk $(X_t)_{t\geqslant 0}$ on this graph. Consider the family of events $(e_t)...
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66 views

Differentiability of a simple value function driven by a diffusion

Consider a diffusion given by, $d X_t = \mu(X_t) dt + \sigma(X_t) dB_t$ $X_0 = x$. Suppose the functions $\mu$ and $\sigma$ are as follows - $f(x) = \mu(x) = \sigma(x) = \begin{cases} 2 & \...
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0answers
46 views

Expected amount of linearly dependent random vectors? [closed]

Given a random Matrix $A\in \mathbb{F}_2^{n\times n}$ what is the expectation value of the amount of linearly dependent row-vectors of $A$? EDIT: As said in the comments, I'm looking for the ...
2
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1answer
260 views

Does random walk have more concentration surrounding the origin?

Consider a simple random walk $S_n$ on one dimension, starting at $0$. In this case, $S_n$ fluctuates between $-\infty$ and $\infty$, but intuition says that it might stay more often in an interval ...
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0answers
192 views

Average minimum number of random k-sparse vectors in $\mathbb{F}_2^n$ to span a specific base vector?

A while back I posted a question in MO about the average minimum number of independent random k-sparse (having at most $k$ non-zero elements) vectors belonging to $\mathbb{F}_2^n$ to span the whole ...
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227 views

Prove this function is increasing

I'm stuck in showing that the following function is increasing over the domain $\left[0,\hat{b}\right]$: \begin{eqnarray} \Pi\left(z\right) & = & \int_{0}^{\phi\left(z\right)}\int_{x}^{\bar{x}...
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1answer
134 views

Uniform sampling from general simplex with a twist

This is part of a question I had asked elsewhere, and then some of the links redirected me to CS stack exchange. Given $0\leq a_1\leq\dots\leq a_D\leq1$ (all strictly positive), I want to draw points ...
3
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1answer
83 views

Probability of collision of some family of hash functions

Given $x$ and $y$ in $\mathbb{R}$, and let $\mathcal{H} = \{ h \mid \mathbb{R} \to \mathbb{N} \}$ be a family of hash functions where $ h(x) = \left\lfloor x + \sum^C_{i=1} U_i \right\rfloor$ for some ...
5
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2answers
171 views

Frequency of visiting states in Markov chains

Given a finite, ergodic Markov $\{X_i\}$, and two natural numbers $a>b$. Let $$p=P\left[\forall n, \sum_{k=n}^{n+a-1} \mathbf{1}_m(X_k)\leq b\right]$$ where $\mathbf{1}_m(X_k) =1$ if $X_k=m$ and 0 ...