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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5
votes
3answers
169 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 $n$ ...
2
votes
1answer
36 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 ...
3
votes
0answers
140 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 ...
-2
votes
0answers
25 views

Determining odds of a slot machine given a payout value of the icon [on hold]

So most slot machines base the payout on the probability of the combination coming up. What I would like to do is flip that and set a payout and then have the probability based off of that if ...
5
votes
1answer
304 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 ...
0
votes
0answers
55 views

How to use Integrals to calculate the expected value of two-dimensional Gaussian distribution [on hold]

Given that I have the following joint density function (two-dimensional Gaussian): $f(u,v)= \frac{1}{1\pi\sigma_1\sigma_2\sqrt{1-\rho^2}}e^{-\frac{1}{2}Q(u,v)}$ where ...
1
vote
1answer
46 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
50 views

Probabilistic proof for expander existence [on hold]

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
64 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
89 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
108 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 ...
1
vote
1answer
74 views

Balls from bin with replacement, distinct elements, concentration inequality

Draw $n$ numbers, denoted by $a_1, a_2, \ldots, a_n$, from set $[n]$, that is, for each $i$, $a_i$ is a uniformly random number from $[n]$. Let $A = \{a_1, a_2, \ldots, a_n\}$. Then $$ ...
-3
votes
0answers
30 views

Conditional probabilities [closed]

Does it make sense to say : $$\mathbb{P}\left(A|C\cap B|C\right)=\mathbb{P}\left(\left(A\cap B\right)|C\right)$$ And have we an associativity : ...
3
votes
1answer
87 views

Create matrix containing values in [0,1] where sum of all diagonals and anti-diagonals is fixed

The problem I am facing sounds at first glance pretty simple. However, as very often, it seems more complicated than I first assumed: I want to calculate a matrix $P = (p_{j,k}) \in \mathbb{R}^{n ...
0
votes
0answers
45 views

An inequality regarding expectation of random variables [closed]

Let $X,Y$ be positive-valued, well-behaved random variables. Further, let $g(\cdot) \ge 0$ and $f(\cdot)\ge 0$ be two functions and $E(\cdot)$ denotes expectation operator. I am trying to prove the ...
0
votes
1answer
72 views

Is the following “section-wise” defined function measurable in the product space?

I asked this question in mathstackexchange a couple of days ago. Almost right after posing it a partial (affirmative) answer came to my mind in the following form Proposition: Assume that ...
4
votes
2answers
172 views

First collision time of $n$ random walkers on a cycle

My question is somehow related to the one here First Collision Time for k Random Walkers on a Torus but, unfortunately, the answer does not cover my concern. My problem is: consider $n$ walkers on ...
11
votes
2answers
246 views

A measure on the space of probability measures

This question was originaly posted in the stackexchange https://math.stackexchange.com/questions/1226701/a-measure-on-the-space-of-probability-measures but since it only got a comment I decided to ...
-1
votes
0answers
148 views

Disprove this Piece of Jensen's Inquality “Black Magic”

Jensen's inequality states that if a real valued function $f(x)$ is concave, like $f(x)=\ln |x|,$ then $E(f(X))\le f(E(X)).$ A classic application of this is $E(X) \le \ln |E(e^{X})|.$ Now consider ...
1
vote
0answers
28 views

Equivalence of Graphical model selection algorithms

Suppose, a jointly Gaussian random vector is denoted by $X \in \mathbb{R}^{p}$ and $X$ has a distribution given by $\mathcal{N}(\mu,\Sigma)$. It is known that estimating the graphical model that ...
0
votes
0answers
13 views

The mutual information rate spectrum [migrated]

Definition: $\mathbf{X}$ denotes the random vector $({X_1},{X_2},...,{X_n})$. The mutual information between $X$ and $Y$, $I(X;Y)$, is determined by the joint law of $p(X,Y)$, Given two random ...
3
votes
1answer
87 views

General ballot theorem

I am looking for a version of the Ballot Theorem for general step distributions. Specifically, let $X_1,X_2,\ldots$ be i.i.d. real random variables with some distribution. Let $S_n = S_1 + \cdots + ...
0
votes
0answers
20 views

product of two multivariate normal densities for the same vector, if one is only specified for a subset [migrated]

A random vector x with n elements has a multivariate-normal density f(x). Another distribution is known for m linear combinations of elements of x. The linear combinations are given in the form ...
4
votes
2answers
244 views

Expectation of Mahalanobis norm

Let $(g_i)_{i=1,...,d}$ sampled i.i.d. from a standard Gaussian, and $(\lambda_i)_{i=1,...,d}$ non-random s.t. $\max_i(\lambda_i)=1$ and $\lambda_i>0, \forall i$. I am looking for the expectation ...
7
votes
2answers
210 views

A moment problem

Suppose $X, Y$ are two positive random variables such that $\mathbb{E}[X^\alpha] = \mathbb{E}[Y^\alpha]$ for all $\alpha \in (0, 1/2)$. It is also known that the first moment exists for each of them, ...
6
votes
2answers
191 views

A variant of random walk

Standard random walk assumes a sequence of iid RVs $\{X_i\}_{i\geq 0}$ and studied the distribution of $S_n=\sum_{i=0}^n X_i$. Here, I am wondering whether there is some work on $T_n=\sum_{i=0}^n ...
10
votes
0answers
130 views

Self-avoiding random walks that always turn

I am wondering if the statistics of self-avoiding random lattice-walks on $\mathbb{Z}^2$ that turn left or right at each step (i.e., they cannot continue the direction of the preceding step) have been ...
1
vote
0answers
46 views

Bounding correlation between blocks of Gaussian stationary process

Let $X_n$ be a stationary Gaussian process with covariance function $\gamma(n)=\mathrm{Cov}[X(n),X(0)]$. Let $\mathbf{X}_p^q=(X_p,\ldots,X_q)$, $s_n^2=\mathrm{Var}(X_1+\ldots+X_n)$, and ...
2
votes
2answers
331 views

Primes as uncorrelated random variables [closed]

The heuristic justification section of the Wikipedia article about Goldbach's conjecture says that the argument that suggests that the number of twin primes below $x$ should be roughly ...
5
votes
0answers
126 views

Quadratic variation and predictable quadratic variation for martingales

Let $(M_{t})_{0\le t\le 1}$ be a continuous martingale with respect to the filtration $(\mathcal{F}_{t})_{0\le t\le 1}$. Fix $N$ and consider now a discrete version of this martingale, i.e., the ...
10
votes
4answers
460 views

Rate of convergence in the Law of Large Numbers

I'm working on a problem where I need information on the size of $E_n=|S_n-n\mu|$, where $S_n=X_1+\ldots+X_n$ is a sum of i.i.d. random variables and $\mu=\mathbb EX_1$. For this to make sense, the ...
47
votes
4answers
2k views

When has the Borel-Cantelli heuristic been wrong?

The Borel-Cantelli lemma is very frequently used to give a heuristic for whether or not certain statements in number theory are true. For example, it gives some evidence that there are finitely many ...
1
vote
1answer
90 views

Push-forward of sum of two maps

Let $X=R^n$ and $Y=R^m$ are two Euclidean spaces with $m<n$. Let $\varphi$ and $\phi$ are two (smooth) maps from $X$ to $Y$ and $\mu$ is a probability measure on $X$. Is there any relationship ...
4
votes
1answer
119 views

Area enclosed by Brownian motion (without winding number)

The question Average Value of Area Closed by Brownian Motion turned out to be about the Lévy area process, which measures "signed area with multiplicity" enclosed by Brownian motion (e.g. each ...
7
votes
1answer
112 views

Is there a Degenerate Dependency Local Lemma?

The Lovasz Local Lemma has several generalizations, with names usually starting with L, such as Lopsided or Lefthanded. Here I ask whether another possible generalization (for which I could not yet ...
3
votes
0answers
65 views

A Generalized Version of Maximal Correlation and Hypercontractivity of Conditional Expectation Operator

Given a pair of random variables $(X,Y)$ over a product space $\mathcal{X}\times \mathcal{Y}$, the maximal correlation coefficient is defined as ...
7
votes
0answers
185 views

Samuel Karlin's problem: Probability of positive solution to system of random linear equations

I came to know this problem from Dr. W. Bryc's slides (at University of Cincinnati), and I have been continually working on this problem for almost 5 days using different techniques. But I am only ...
2
votes
0answers
48 views

Bounds on number of distinct substrings

I have a table with $r$ rows of length $\ell$, with each cell containing a letter from an alphabet $A$ of length $a$. I'm trying to determine the expected number of distinct strings of length $k$ ...
1
vote
0answers
57 views

Mixture with varying concentrations

Let $(\Omega ,\mathcal F, \mathbb P)$ be a probability space and suppose $$\mathbb P(X \in A) = H(A) = \prod _{i=1}^m H_i(A),\quad \forall A\in \mathcal F$$ be a distribution of a random vector $X = ...
0
votes
0answers
11 views

A mix between the Horvitz-Thompson and ordinary estimator

I have two samples: unbiased $X$ with $N_1$ elements and biased $Y$ with $N_2$ elements from some distribution (let it be F = ChiDistribution(1) if needed, $N_1=N_2=50$). Elements of $Y$ are picked ...
1
vote
1answer
160 views

Is there an analytic solution for this partial differential equation?

The Fokker-Planck equation for a probability distribution $P(\theta,t)$: \begin{align} \frac{\partial P(\theta,t)}{\partial ...
2
votes
4answers
278 views

Higher Moments, what are they good for? [closed]

Absolutely nothing? And now seriously - When I studied the basics of probability theory, and even in more advanced topics (random walks, stochastic processes, etc.), I always felt that the mean and ...
2
votes
1answer
120 views

Hitting probabilities for conditioned oriented random walk monotonic?

Consider an oriented random walk on $\mathbb Z^2$ (i.e. only steps $\rightarrow$ and $\uparrow$ with equal probability.) Say we let the walk go $2m$ steps then start guessing sites at distance $2m$ ...
2
votes
1answer
81 views

Criterion for weak convergence of probability measures on S' or D'

Let $X_n$ in $S'$ and $\mu_n$, $\mu$ in $M(S')$. $S'$ is the space of tempered distributions. I'm looking for a reference that says if $< f, X_n >$ converges in distribution to $< f,X>$ ...
2
votes
0answers
68 views

Implication of MGF inequality

Let X and Y be two random variables. Denote by $F_X(x)$ and $F_Y(y)$ their CDFs and by $M_X(t)$ and $M_Y(t)$ their MGFs. It is known that X and Y have the same CDF iff they have the same MGF. My ...
2
votes
2answers
103 views

Do all positive distributions on $N$ variables factor pairwise?

The Hammersley-Clifford theorem says that any positive probability distribution satisfies one of the Markov properties with respect to an undirected graph G if and only if its density can be ...
9
votes
1answer
213 views

a question on 0-1 valued stochastic process

Here's a question on probability theory from a layman (I'm a game theorist). It is very likely that the question will be a straightforward matter for someone who is a probability theorist. I guess I'm ...
5
votes
0answers
112 views

Elementary function relative to erf

The modified Bessel function of the 1st kind $I_0$ is defined by $$ I_0(z)=\frac1\pi\int_0^{2\pi}e^{z\cos\theta}\,d\theta $$ and arises, among other places, in the probability density function of a ...
11
votes
0answers
318 views

Transitivity of balanced mass transport in Z

Given two atomic measures $\mu$ and $\nu$ on $\mathbb{Z}$, write $\mu \sim \nu$ iff there exist countable decompositions $\mu = \mu_1 + \mu_2 + \cdots$ and $\nu = \nu_1 + \nu_2 + \cdots$ along with ...
2
votes
1answer
97 views

Variant of Skorokhod's theorem

Consider the following situation: $S, T$ are standard Borel spaces (say $S = [0,1]^k$, $T = [0,1]$ if it is helpful). There is a a random variable $\zeta: \Omega \to S$. $f_n(\zeta) \to^d \eta$, ...