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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2
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52 views

$L^p$ estimates for Ornstein-Uhlenbeck: what is known beyond hypercontractivity?

Consider an infinite-dimensional Gaussian random vector $X$, and a positive random variable $f(X) \in L^p, p > 1$. Let $f(X) \sim \sum_n f_n(X)$ be its (formal) chaos expansion. Let $(U_\rho, \rho ...
-1
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0answers
18 views

average dirichlet distribution

say that A and B are 2 Dirichlet distributions. Is there a way to know if the average of the values is still a Dirichlet distribution? If not, how to merge 2 Dirichlet "similar" distributions?
-2
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0answers
40 views

Studying Signal Processing [on hold]

I'd Like to ask two questions : What is the difference between studying Signal processing (both Deterministic and statistical) in Department of Electrical Engineering versus Department of Mathematics ...
2
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1answer
63 views

Ito diffusion with highly oscillatory diffusion coefficient

Consider the stochastic differential equation on $\mathbb R$ $$ dx_t = f(x_t) dt + g(\omega t)\, dW_t $$ with $W_t$ a standard Brownian motion, $f:\mathbb R \to \mathbb R$ a smooth function, and ...
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0answers
33 views

Probability question (win three games in a row = win or 4 wins total = win) [on hold]

Two teams play each other repeatedly until either one of them wins three games in a row or one of them wins a total of four games. What are all the ways in which the tournament can be played? What is ...
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0answers
37 views

Bounding expected value of maximum of dot product with random chirp

Let $\mathbf{x}\in\mathbb{C}^n$ with $\|\mathbf{x}\|=1$ with $n<\frac{N}{2}$. I am interested in a bound of the form \begin{equation*} ...
0
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1answer
86 views

Existence of bounded $n-$th derivative of the solution of differential equation

This question is the copy from mat.stackexchange.com here. I requestioned here due to the very limited responses there. Let $\phi:\mathbb{R}\mapsto\mathbb{R}$ be the standard normal density, ...
9
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1answer
190 views

What is known about the distribution of eigenvectors of random matrices?

Let $A$ be a real asymmetric $n \times n$ matrix with i.i.d. random, zero-mean elements. What results, if any, are there for the eigenvectors of $A$? In particular: How are individual eigenvectors ...
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0answers
24 views

Generate Gamma random number using scale or rate parameters [on hold]

I am wondering if I can generate Random number from gamma distribution using the shape and the rate parameters and then take the reciprocal of this number to be like it was generated from the shape ...
1
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1answer
41 views

How to extend Dirichlet distribution to Dirichlet process

For a Dirichlet process, there are two parameter $\alpha$ and $H$, and the Dirichlet process $X$ is defined as $$(X(B_1),\cdots,X(B_n))\sim Dir(\alpha H(B_1),\cdots,\alpha H(B_n))$$ ...
0
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1answer
38 views

Does a irreducible set of states necessarily need to be closed in a Markov chain?

I have come across two different definitions for a 'irreducible set of states' of a Markov chain. Definition 1: A subset of states $A$ of a Markov chain is irreducible if it is possible to access ...
0
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26 views

Distribution of Wishart Sample Eigenvalues for Multiple Roots

I am interested in finding an asymptotic approximation to the latent roots $l_1>\dots>l_p$ of a white noise Wishart matrix $nS\sim W_p(n,I)$ as $n\rightarrow\infty$ (where $p$ is fixed). In ...
0
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0answers
66 views

Ask for a good reference for the calculus involving singular continuous measure [migrated]

I am not an expert on measure theory. I am sorry if this question is too simple for some experts here. Suppose the measure $\mu$ is singular continuous on $\mathbb{R}$, such as the cantor measure. ...
0
votes
1answer
289 views

For what nonnegative measures $\mu$ does $\mu*e^{-|\cdot|}\in L^{\infty}$?

I am trying to characterize all measures on $\mathbb{R}$ such that $$ \sup_{x\in\mathbb{R}} \: (\mu*f)(x)<+\infty, $$ where $f(x)$ is some specific integrable functions, such as $f(x)=e^{-|x|}$, ...
3
votes
1answer
111 views

Strictly positive solutions of a random linear system

Suppose $B\in\mathbb{R}^{m\times n}$ is a random binary matrix with i.i.d entries and $c\in \mathbb{R}^m$ is a strictly positive vector, that is $c_i>0$ for $i=1,2,\cdots m$. Also assume $m<n$, ...
2
votes
1answer
49 views

Unbiased sample from a product

Let $X = (x_1,\ldots,x_n)$ be an i.i.d sample from distribution $F%$ and let $y = \prod_{i=1}^n x_i$ Can we derive a randomized, unbiased. estimator $\hat{y}$ of $y$ that on average considers only a ...
0
votes
1answer
51 views

Monotonicity of the gap of permutated sequence

Let $a$ be an arbitrary sequence and denote by $\mbox{gap}_k(a) = a_{(k)} - a_{(k+1)}$, where $a_{(k)}$ is the $k$th largest component of $a$. Of course, $k+1$ should be no larger than the length of ...
3
votes
1answer
163 views

Unusual augmentation of a filtration

consider a probablity space $(\Omega,\mathcal{F}, \mathcal{P})$ and a filtration $(\mathcal{F}^0_t)$. In general $(\mathcal{F}^0_t)$ doesn't satisfy the usual conditions (it is not both complete at ...
-2
votes
0answers
56 views

Expected probability [closed]

Suppose, given an integer N, N divides by its divisors(1, to N) and gain new number, repeats the procedure until it becomes 1. what is the expected number of divisions need number N become 1? Can ...
1
vote
1answer
84 views

GOE convergence

As is well-known (at least in some circles), eigenvalue spacing distribution for large symmetric matrices converges as size goes to infinity (see this question for more background). The question is: ...
3
votes
1answer
127 views

Is it possible to construct any random variable on the Euclidean Probability space?

Let $(\Omega,\mathscr A,P)$ be an arbitrary probability space, and let $X:\Omega\to\mathbb R$ be a random variable. Then, one can generate a random variable $Y$ from the probability space ...
5
votes
2answers
268 views

Random Vornoi Diagrams (particular measures)

This is my second question about Random Voronoi diagrams, in my first question was given some excellent advice but i was not clear in explaining what i was looking for. I'm interested to know ...
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0answers
5 views

hi, I have a question about probability density function [migrated]

I've just read about probability density function from wiki( http://en.wikipedia.org/wiki/Probability_density_function ). In that article, there is some wired concept that I can't understand, please ...
8
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2answers
595 views

Random Voronoi Diagrams

I'm interested in what research has already been done with regards to the statistics of random voronoi diagrams. I have had a look on google scholar and results are a little inconclusive. I'm ...
4
votes
1answer
79 views

Continuity of the stationary distribution of $M/G/1$ queue w.r.t. the input rate

Let $(\lambda_n)_{n\geq0}$ be a sequence of positive numbers such that $\lambda_n\rightarrow \lambda$ as $n\rightarrow +\infty$. These $\lambda_n$ are the parameters of a sequence of Poisson Processes ...
1
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1answer
134 views

Can we give any upper bound on $E[\max_{n \leq N} X_n]$ in terms of $\max_{n \leq N} E[X_n]$

Consider a sequence $\{X_n\}$ of $N$ random variables. Can we give any upper bound on $E[\max_{n \leq N} X_n]$ in terms of $\max_{n \leq N} E[X_n]$. I think in general it is not possible. If ...
2
votes
1answer
57 views

Distance between two distribution of image

I am looking for a common distance method to compare two distribution (ex: histogram of image). Please suggest to me some common method to do it. I found some method ex: Bhattacharyya distance , K-L ...
1
vote
1answer
69 views

Entropy on a draw from a random distribution.

Suppose I am attempting to calculate the entropy of a continuous, normally distributed random variable $X$, from the distribution $\mathcal{N}(\mu, \sigma)$. This is easy to to do - I just calculate ...
1
vote
1answer
71 views

An identity for the exponential of a martingale

I am trying to understand a Lemma in Olav Kallenberg's book "Foundations of Modern Probability" (Lemma 26.19 in the second edition or 23.19 in the first edition). The part of the lemma that I do not ...
0
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0answers
28 views

Beta distribution - changes in multiple time points

Let's say I have a set of daily data (assume iid) that I know is beta distributed (between 0 and 1). I can estimate the parameters of the distribution and calculate the tails etc. This would tell me ...
2
votes
2answers
228 views

Distribution of a random walk on a directed line

Is there a closed formula for the distribution of $x_t$ in the following random process, describing a random walk on a directed line? $x_0 = n$ $x_t$ is a uniformly random integer between 1 and ...
2
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0answers
78 views

A result on absolute mean of a stopped supermartingale

The reason of posting the following problem here is that I heard that it is a result from some paper. Let $(X_n, \mathscr{F_n}), n \geq 0$ be a super martingale and $T$ an $\{F_n\}$-stopping time ...
2
votes
1answer
119 views

Inequality for the tail of normal distribution function

Let $ Ф(x) = \frac{1}{\sqrt{2\pi}} \int_{-\infty}^{x} e^{-t^2/2} \, dt $ be the cumulative distribution function of the standard normal distribution. Numerical calculations suggest the following ...
3
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0answers
76 views

Concentration of weighted random chirp

I'm interested in seeing whether the following is true. Assume $u$ is uniform on $[0,1]$. For a fixed $x\in\mathbb{C}^n$ with $\|x\|_{2}=1$ we have \begin{align*} ...
4
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2answers
170 views

Brownian motion and hitting a Quadrilateral

I want to compute the hitting probability of a bounded plane by a Brownian motion starting at the origin. In other words, given the coordinates of a quadrilateral A , can we compute ...
1
vote
1answer
127 views

Finding loops and double edges ASAP in configuration model random graph

A common approach (at least in theory) to generating a random $n$ vertex graph uniformly subject to having a given (feasible) degree sequence $(d_i)_{i = 1}^n$ is to use the configuration model, i.e. ...
0
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0answers
215 views

Morphisms associated to measured spaces [duplicate]

In a previous discussion (von neumann algebras and measurable spaces), the connexion between von Neumann algebras and localized measured spaces was clarified. I would like to have a category theory ...
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1answer
138 views

Reference question: Brownian motion and surface area

I am doing research on the hitting probability of various sets (eg. 3D convex) and specifically how changes in perimeter/surface area change the hitting probability. By hitting probability I mean ...
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0answers
68 views

$\epsilon$-covering number of a set of rank-2 matrices

Suppose that two unit-norm vectors $\boldsymbol{a}\in \mathbb{R}^m$ and $\boldsymbol{b}\in\mathbb{R}^n$ are given with $m\leq n$. Furthermore, let $\boldsymbol{F}_{m,n}$ denote the first $m$ rows of ...
1
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0answers
55 views

An upper bound for the growth of a Galton-Watson tree with binomial offspring distribution

Consider a Galton-Watson tree with offspring distribution $\text{B}(n,p)$, for some constant $n$ and $p$. Let $a_i$ denote the number of vertices on the $i$'th level of the tree. It then holds that: ...
5
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0answers
82 views

Stationary point processes with arbitrarily slow decorrelation

A point process $P$ (a probability measure on simple, locally finite point configurations $\mathcal{C}$ on $\mathbb{R}$ - I'm restricting to the one-dimensional setting) is stationary when ...
3
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1answer
109 views

Two matrix Fisher distributions on SO(3)?

After the uniform distribution (normalized Haar measure), the matrix Fisher distribution seems to be the most popular probability distribution on the Lie group SO(3). The density is proportional to ...
3
votes
1answer
105 views

Uniformly permutation and the length of a size biased cycle

The cycle containing $1$ of a uniform permutation has length which is uniformly distributed. I was wondering if the converse is true: Suppose $\sigma$ is a permutation on $\{1,\dots,n\}$ and let ...
9
votes
1answer
211 views

A random variation on Polya's orchard problem

Polya's orchard problem is as follows: "How thick must the trunks of the trees in a regularly spaced circular orchard grow if they are to block completely the view from the center?" See, ...
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156 views

First passage percolation on a random geometric graph in the large connectivity limit

Let $V_\rho\subset\mathbb{R}^2$ be a point set in the plane obtained from a Poisson process of density $\rho$. The random geometric graph $G_\rho$ is obtained from $V_\rho$ by connecting points that ...
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0answers
123 views

Girsanov theorem with Geometric Brownian Motion

I am not a student in mathematics, but I am trying to use the following Theorem 8.6.6 (Girsanov theorem II) of Oksendal's SDE with geometric Brownian motion $S_{t}$ instead of the standard Brownian ...
0
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1answer
90 views

Behavior of the integral of products of probability densities

Assume $z \in \mathbb{R}^m$ and $x \in \mathbb{R}^n$. Assume we have proper density function $P(z)$ and proper conditional density function $P(x|z)$. We give the definition $$ T(x_1,\ldots,x_n) := ...
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0answers
64 views

Conditional probabilities in epidemic model

I was contemplating an epidemic model where infection and recovery rates are determined by links. Here node $i$ is infected first and recovers at a rate $\mu_i$. For all other nodes, the recovery is ...
2
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0answers
83 views

“Direct” proof (without hypercontractivity) of equivalence of moments?

Let $(x_i)_{i \in \mathbb{N}}$ be a family of independent $\pm 1$ centered Bernoulli random variables, and let $p, q > 1$. There exists a constant C such that for every (finite) linear combination ...
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1answer
117 views

Estimating the volume of a union of balls

Let $\{ B_i \}_{i=1}^n$ be a set of $n$ ball in the unit cube $C$ of dimension $d$. If I want to estimate $$ \frac{ \lambda \left( \cup B_i \right) }{\lambda\left( C \right) }, \tag{1} $$ where ...