**1**

vote

**0**answers

18 views

### Meaningful formalization of a continuum of Bernoulli random variables

I was wondering if there is a meaningful formalization for a continuum of Bernoulli random variables. Informally speaking, consider the interval $[0,1]$, and let's say that for every $x \in [0,1]$, ...

**0**

votes

**0**answers

27 views

### Modified gambler's ruin problem: quit when going bankruptcy or losing $k$ dollars in all [on hold]

In each round, the gambler either wins and earns one dollar, or loses one dollar. The winning probability in each round is $p<1/2$. The gambler initially has $a$ dollars. He quits the game when he ...

**3**

votes

**1**answer

54 views

### Tail bound for product of normal distribution

Let $U, V$ be two standard normal random variables with covariance $cov(U,V) = \beta \in [0,1)$. Let $W = UV$ be the product of two RV's, and $W_1, W_2, \ldots, W_n$ be n i.i.d copies of $W$, what's ...

**1**

vote

**1**answer

37 views

### Symmetry of concentration bounds on mean

Question summary:
If I have a two-sided bound, can I immediately get a one-sided bound with tighter constants?
Question details:
Let $\mathbf X = X_1,...,X_n$ be $n$ i.i.d. real-valued random ...

**-2**

votes

**0**answers

26 views

### Let X be a Geometric (1/4) and Y be a Geometric (1/2) be two independent random variables [on hold]

Let X be a Geometric (1/4) and Y be a Geometric (1/2) be two independent random variables.
Obtain the conditional distribution of Y , given that X - Y = 1. The Answer I got was one. However, I just ...

**1**

vote

**0**answers

42 views

### Sufficient condition for the unique solvability of Dirichlet problem of Hamilton-Jacobi equation

It shall be an old story in PDE.
I am looking for a sufficient condition of Dirichlet problem for the existence of the unique viscosity solution of the equation in the form of
$$\inf_{a \in [-1,1]} \{...

**1**

vote

**0**answers

58 views

### Order statistics of iid uniform RV and Pólya's urn model. Question about a.s. convergence

Let $U_1,U_2,U_3,\dots$ be IID uniform on $[0,1]$. For each $n\geq 1$ let
$$U_{1:n}<U_{2:n}<\dots<U_{n:n}$$
be the order statistic of $(U_1,\dots,U_n)$. Independent of the $U$ process there ...

**1**

vote

**0**answers

35 views

### Power spectrum of the difference of two Poisson processes with equal rates

I am studying the asymptotic properties of a dynamic a model involving the difference of two balanced Poisson processes (i.e., $\lambda_1 = \lambda_2$). I recently discovered the Skellam Distribution ...

**1**

vote

**2**answers

108 views

### Concentration of matrix norms under random projection.

Let X be a given matrix of dimension $p \times q$. Let $G$ be a $s \times p$ dimensional matrix of standard normal/Gaussian random variables.
Are there cases where one can been able to quantify $...

**2**

votes

**0**answers

38 views

### Basic Definition and Notations in RWRE [on hold]

From the definition of Zeitouni's lecture notes on RWRE: $(V, E)$ is a special graph, and $N_v:= \{k \in V: (v,k) \in E\}$ is the neighborhood of $v \in V$. $\Omega = \prod_{v \in V} M_1(N_v)$ ...

**0**

votes

**1**answer

81 views

### Exact formula for computing n-step transition probability of random walks with self-transitions

Consider a semi-infinite random walks $X_n$, $n=0,1,2,\ldots$, whose state space is a set of consecutive integers and whose one-step transition probabilities are $P_{ij}=\mathrm{Pr}\{X_{n+1}=j|X_n=i\}$...

**4**

votes

**2**answers

172 views

### Variation of Radon transform for probability measures on $\mathbb C$

Let $\mu$ be a probability measure on $\mathbb C$. For $z \in \mathbb C$, let $$f^z \colon \mathbb C \to \mathbb R_{\geq 0}$$ be the function $f^z(\lambda) = |\lambda - z|$. Consider now the family $(\...

**-1**

votes

**0**answers

13 views

### Markov Chain: Number of communicating classes of a power of the irreducible transition matrix [closed]

Suppose $P$ is an irreducible transition matrix, with period $d$. Consider the transition matrix $P_k$. In terms of $d$ and $k$, how many communicating classes does $P_k$ have, and what is the period ...

**1**

vote

**0**answers

85 views

### relative chernoff bound

Is the following true? Is there a contradicting example?
Let $x_1,\ldots,x_n$ be independent random "bits", with $\forall u:\Pr[x_i=u]\in\{0,\frac{1}{2}\}$. Denote $x=\sum_i x_i$, and assume $\mathrm{...

**-1**

votes

**0**answers

83 views

### Are the theorems of Ergodic Theory valid for non-probability spaces?

The theorems in Ergodic Theory have assumed a probability measure, always. I am interested to know if they hold even when the space is not equipped with a probability measure. In other words, if my ...

**1**

vote

**0**answers

83 views

### A two variable recurrence relation with conditionals

I have arrived at the combinatorial problem of enumerating certain types of ballot paths. This has led to analyzing the sequence defined by the following recurrence
$$
f(n,m) = \begin{cases} f(n, \...

**6**

votes

**4**answers

469 views

### Speed of convergence in Lebesgue's density theorem

Let $\lambda=\text{unif}([0,1])$ be uniform distribution on $[0,1]$ and $B$ be any Borel set. Lebesgue's density theorem states that for $\lambda$-almost all $x\in[0,1]$ the limit
$$\lim_{\epsilon\...

**7**

votes

**0**answers

123 views

### Winding number of a random walk on the square lattice before hitting the origin

Let us consider a simple random walk on $\mathbb{Z}^2$ started at $(x,0)$ and killed upon hitting the origin. Define the total winding number $w_x$ around the origin to be the (signed) number of ...

**1**

vote

**0**answers

65 views

### Law of large numbers for random functions?

Is there a version of the law of large numbers for random functions of the type: $h(X_j,\hat{\theta}_n)$, where $X_1,\dots,X_n$ are i.i.d. random variables, with distribution $F$, and $\hat{\theta}_n =...

**1**

vote

**0**answers

22 views

### Reference Request: $M_t/M_t/1/K$ queue length distributions

I am investigating functionals defined over sequences of discrete probability distributions related to dynamical/stochastic system performance. As an initial step, I am searching for references that ...

**3**

votes

**1**answer

307 views

### What is the mathematics behind the random experiment which produces the data with this strange property?

I have a following scenario. there is a huge collection of data resulting from a random experiment $E$ (I do not say random variable yet, for reasons that you will need to explain in your answer). Let ...

**0**

votes

**0**answers

72 views

### Looking for an exposition of a certain theorem of Talagrand

The following is a theorem by Talagrand (as stated here, http://arxiv.org/pdf/1511.08609v1.pdf),
Let $(X, \mu)$ be a probability space. Let $F : X \rightarrow \{0,1\}$
be a family of functions ...

**2**

votes

**1**answer

86 views

### Representation of support of Gaussian measure by kernels of no-variance functionals

Let $\mu$ be a Gaussian measure on a separable Banach space $X$ and $q$ is the covariance operator of $\mu$. I am reading a proof for
$$\operatorname {supp} \mu = \bigcap_{q(f, f) = 0} \ker f =: E$$
...

**1**

vote

**0**answers

45 views

### How much can the integrability at zero tell about the decay rate around zero? [migrated]

Suppose that $g$ is a continuous, nonincreasing and nonnegative function on $(0,1)$. The question is whether one can characterize the integrability of such functions at zero by their decay rates at ...

**0**

votes

**0**answers

70 views

### Laplace transform (or characteristic functional) of atomic random measure

A random (nonnegative Radon) measure $M$ (on $\mathbb R^n$, say) has its law characterized by the Laplace transform $\mathbb E\exp(-\int \varphi(x)\ M(dx))$, $\varphi\in C_c^+(\mathbb R^n)$ (...

**5**

votes

**0**answers

86 views

### Short time asymptotics for Brownian motion on a compact manifold

Consider a compact Riemannian manifold $(M, g)$. Choose a ball $B(p, r)$ inside $M$, and a quasi-isometric ball $B(q, s)$ in $\mathbb{R}^n$, in the image of a coordinate chart containing $B(p, r)$ (in ...

**21**

votes

**2**answers

606 views

### On the sum of uniform independent random variables

Let $X_1,...,X_n$ be independent uniform random variables in [0,1] and assume $c>1/2$. Is it true that $$\mathbb{P}\left[\sum_{i=1}^n X_i \leq n \cdot c\right]$$ is increasing with respect to $n$?
...

**2**

votes

**0**answers

42 views

### Two dimensional Brownian motion moving from one point to other

Suppose $W_t= (X_t,Y_t)$ is a $2$d standard Brownian motion starting at $(-1,0)$. How do I show that there is a positive probability that $W_t$ moves from $(-1,0)$, to a neighborhood of $(1,0)$, say ...

**1**

vote

**0**answers

74 views

### Brownian hitting probability of a small body

Consider a Brownian motion $B(t)$ starting from the origin $0$ in $\mathbb{R}^n$. Consider the ball $B(0, r)$ and an open set $V \subset B(0, r)$. If it is known that the probability of the Brownian ...

**2**

votes

**0**answers

66 views

### Brownian motion in perturbed (asymptotically flat) metric

Let $g_{\mathbb{R}^n}$ denote the usual Euclidean metric on $\mathbb{R}^n$ and let $B_g(t)$ denote the Brownian motion associated to a complete metric $g$ on $\mathbb{R}^n$. Consider a Brownian motion ...

**2**

votes

**0**answers

48 views

### Criterion for weak compactness (from Revuz and Yor)

I'm trying to read a proof in the book or Revuz and Yor (prop 1.5 Chapt 13, p.516-517, "continuous martingales and Brownian Motion" 3rd edition), but I'm struggling with a detail. I think it lies ...

**4**

votes

**1**answer

233 views

### A variant of bin-and-ball problem

We have $n$ balls, each belonging to a group (e.g, color). There are $g$ groups ($g$ may be large but $g=o(n)$). We sequentially put the balls into $m$ bins in the following way: for each ball, we ...

**3**

votes

**1**answer

98 views

### On the spectrum of stationary Gaussian process

What is the condition for ergodicity, weakly mixing, and strongly mixing properties of Gaussian process in terms of its spectrum?
In a similar way let us consider a stationary vector valued Gaussian ...

**2**

votes

**1**answer

59 views

### Expectation of a function of sorted uniform random variables

Let $a,b,c>0$ with $a>b$ and let $X_1,\dots,X_n$ be a collection of independent uniform samples from the unit interval. Assume that we re-order the samples so that $X_1\leq X_2 \leq \cdots \leq ...

**1**

vote

**1**answer

58 views

### Uniqueness of invariant measure for equivalent transition probabilities

Suppose $P(x,dy)$ and $Q(x,dy)$ are two Markov transition kernels on a topological space $E$ equipped with Borel $\sigma$-algebra $\mathcal B(E)$. Suppose for every $x \in E$, $P(x,\cdot)$ and $Q(x, \...

**3**

votes

**1**answer

148 views

### Collecting stones in n buckets

There are $n$ stones distributed in $n$ buckets (initially one stone in each bucket). At each step the content of each bucket is put in a random bucket, chosen independently out of a set of $n$ new ...

**6**

votes

**1**answer

219 views

### Density of convolution

Let $\{X_i\}$ be i.i.d random variables uniform on a measurable, symmetric set $A$ contained in $[-1,1]$. Let $g_{n}$ be density of $X_1+\ldots + X_n$.
Question (general): Is there any non-trivial ...

**0**

votes

**1**answer

129 views

### Reproducing Kernel Hilbert Spaces with positive kernels

In my research I'm dealing with the following question.
Let $E$ set, $K:E \times E \to \mathbb R$ a positive type function, and $\mathcal H := \mathcal H(1+K)$ (in the sense of the Moore theorem). ...

**9**

votes

**0**answers

109 views

### Asymptotics of subgraph densities in graphons

In Pittel (1989)'s solution to a problem of Knuth (1976) on the expected number of stable matchings between $n$ men and $n$ women under uniform random preferences, it was shown that, as $n \to \infty$,...

**1**

vote

**0**answers

55 views

### Bounding a distribution using moments

Suppose $X$ is a non-negative random variable with bounded image. I was wondering if anybody knew of any results that could answer a question of the following type: Suppose the $n$-th moment satisfies ...

**0**

votes

**0**answers

30 views

### information about composite random process

I have a following composite random process
$$X_j = v_0 + 1/j^2 + Y_j + Z_j$$
where $v_0$ is a constant, $Y_j \rightarrow 0$ almost surely as $j\rightarrow \infty$ and $Z_j \sim N\big(0, \frac{a^{2j}...

**1**

vote

**0**answers

56 views

### Why is the classical secretary problem about ranks?

This relates here: http://math.stackexchange.com/questions/1820997/why-is-the-classical-secretary-problem-about-ranks
You want to stop optimal in a sequence of items presented sequentially, that is ...

**1**

vote

**0**answers

31 views

### Compute Mixed Volume with Respect to Some Regular Sets

Let $( \mathbb{R}^n, \mathcal{B}, \gamma)$ be a measure space where $\mathcal{B}$ is the Borel sigma algebra and $\gamma$ is a continuous measure. For $A, B\in \mathcal{B}$ that are convex, the mixed ...

**1**

vote

**0**answers

56 views

### Reason of the scaling factor $n^{2}$ in Hydrodynamic limits

In some books about hydrodynamic limits, example De Masi and Pressuti, when taking about the transition from micro to macro to get the hydrodynamic limit of some process it is mentioned that in order ...

**0**

votes

**0**answers

26 views

### When does a stationary point process on group $G$ have $0$ or $\infty$ many points a.s.?

For $G=\mathbb{R}^d$ I know that a stationary point process $X$ either has 0 or infinitely many points, a.s. Daley and Vere-Jones refer to this as the 0-Infinity dichotomy. They hint that this fact is ...

**3**

votes

**2**answers

171 views

### Lévy measure and Lévy process

A Lévy measure $\nu$ on $\mathbb R^{d}$ is a measure satisfying
$$\nu\{0\} = 0, \ \int_{\mathbb R^{d}} (|y|^{2}\wedge 1) \nu(dy) <\infty.$$
A Lévy process can be characterized by triples $(b, A, \...

**0**

votes

**0**answers

95 views

### Radon-Nikodym for continuous time processes

Likelihood theory for statistical inference concerning stochastic processes in continuous time are well used. How ever i've found no real literature concerning the fundamentals.
What is know from ...