**1**

vote

**0**answers

14 views

### $\lim_{t\rightarrow 0}P\left(X_t >0\right)=\frac 1 2$ for continuous semimartingales?

I am trying to prove the following Lemma, which seems intuitive, but I still have doubts:
Lemma
Given a Brownian motion $\{W_t,\mathcal F_t:0\le t \le1\}$, two progressivley measurable processes, ...

**1**

vote

**0**answers

24 views

### Diffusion in a bounded domain

Let us consider an $\mathbb{R}^d$ diffusion
$$dX_t = dW_t +\mu(X_t)dt.$$
Let further $D\subset \mathbb{R}^d$ be a bounded connected open domain. By $Y^D$ we denote the diffusion $X$ restricted to ...

**-2**

votes

**0**answers

36 views

### Algebra II Probability [on hold]

I can't figure out multiple selection probability for pickles.
Three cards are selected from a standard 52 deck. What is the probability of selecting a king, queen, or red card?

**0**

votes

**0**answers

19 views

### Upper bound for chi-square divergence in terms of KL divergence

In my research I need an upper bound for chi-square divergence in terms KL divergence which works for general alphabets. To make this precise, note that for two probability measures $P$ and $Q$ ...

**3**

votes

**1**answer

49 views

### Lower bound on the tail of the hypergeometric distribution

Suppose there is a bag with $M$ white marbles and $N - M$ black marbles. Let $H(n, N, M)$ be a random variable which is number of white marbles in a draw, without replacement, of $n$ marbles from a ...

**1**

vote

**0**answers

37 views

### How to fit a stochastic matrix to given data.?

Given a data sequence of noisy observations of a 3-state Markov chain $X$ -- $y_1$,$y_2$,...$y_n$, with two transition matrices $A_1$ and $A_2$ corresponding to different regions (**) in the (unit) ...

**4**

votes

**0**answers

55 views

### Support of a Measure with Characteristic Functional Continuous in $L_p$, $1\leq p <2$?

Let $\mathcal{S}(\mathbb{R})$ be the space of smooth and rapidly decaying functions and $\mathcal{S}'(\mathbb{R})$ its dual, the space of tempered distributions. Let $\mu$ be a probability measure ...

**0**

votes

**1**answer

110 views

### Volume of randomly changing sphere follows beta distribution

We are given $X,X_1,\ldots,X_N$ independent and identically distributed $k$-dimensional vectors. For a given query point $X_q\in\mathbb{R}^k$ assume without loss of generality that $X_1,\ldots,X_m$ ...

**3**

votes

**3**answers

87 views

### Central limit theorem with degenerate covariance matrix

Are there known generalisations of the central limit theorem for several random variables when the covariance matrix is degenerate?
The usual proof of CLT based on characteristic functions (see e.g. ...

**2**

votes

**0**answers

101 views

### Fixed area, largest mass — is there a name?

Let $x\in \mathbb{R}^n$ and let $s_k(x)$ denote the sum of the $k$ largest entries of $x$. The function $s_k(x)$ is well-known to be convex and is often used in optimization, such as
...

**-4**

votes

**0**answers

71 views

### Advanced, pure and applied [on hold]

A clown is riding a single wheel cycle along a highwire from point A to point B. These two points are the same height, however as the clown cycles the highwire decreases in height to a minimum point ...

**0**

votes

**0**answers

31 views

### How to put together a set of modified conditional distributions to a joint distribution? [on hold]

I am abstracting my original problem to a simple scenario.Consider a bi-variate multi-modal mixture of gaussian distribution, P(x,y). When we slice through x or y we get a univariate multi-modal ...

**0**

votes

**0**answers

18 views

### Finding the bound of a mixture model percentile [on hold]

I could do with some help on the following issue. I'm trying to obtain $\alpha$ from:
$\beta = \int_{\alpha}^{\infty} \sum_{i=1}^{n} p_i f_i(x) dx$
I have that:
$0 \leq p_i \leq 1$, $\sum_{i=1}^{n} ...

**5**

votes

**3**answers

227 views

### A balls and urns model for a hashing problem

Fix $N \in \mathbb{N}$. Suppose we throw $N$ numbered balls into $N$ numbered urns, so that for each $b \in \{1,\ldots,N\}$, ball $b$ lands in urn $j$ with equal probability $1/N$. Choose a number $c ...

**2**

votes

**1**answer

107 views

### Coupon Collector Problem for Non-Uniform Coupons: Bound on the number of missed Coupons

Suppose $\mathcal B=\{1,2,..,b\}$ is the set of all possible coupons, with $\mathbf p = ( p_1,p_2,...,p_b)$ assigning the probability of occurrence for all coupons in $\mathcal B$.
The "traditional ...

**4**

votes

**0**answers

52 views

### Can the GUE be thought of as a uniform point in a high-dimensional polytope

I have thought about this question for a long time and could only find partial answers.
The Gaussian Unitary Ensemble (or GUE) is the eigenvalues of a random Hermitian matrix with complex Gaussian ...

**0**

votes

**0**answers

78 views

### When an integral with respect to a Poisson point process is finite?

Let $N(ds,dv)$ be a Poisson measure on $\mathbb{R} _+ \times \mathbb{R} _+$ with intensity $dsdv$. Let $N = \sum\limits \delta_{(s_i,v_i)}$. Assume that $N$ is compatible with a filtration $\{ ...

**-1**

votes

**1**answer

93 views

### When does a d.r.v. take a value very close to the mean? [closed]

Suppose that $X$ is a discrete random variable with values $x_{1},x_{2},\ldots,x_{n}$ (not known precisely, but there is some information available about the mean and variance). Is there a result ...

**6**

votes

**4**answers

342 views

### Expected value of a function over random sets

I am doing an analysis on the complexity of some set-related algorithm where the input is a random set. One of my setbacks can be formulated as follows:
Pick $k$ distinct numbers out of numbers ...

**3**

votes

**0**answers

84 views

### Bound on the sum of arguments

Problem: Show that for all real $s,t,u$ and all complex $z$ with $|z|<1$ one has
$$(*)\qquad \arg\frac{1-zf(s-u)}{1-zf(s+u)}
+\arg\frac{1-zf(t+u)}{1-zf(t-u)}<\pi,
$$
where $f$ is the ...

**2**

votes

**0**answers

49 views

### Nonlinear things that one can do to a probability density function [migrated]

Say $f(x)$ is a smooth probability density function on $\mathbb{R}^n$ with compact support region. This wikipedia page
http://en.wikipedia.org/wiki/Maximum_entropy_probability_distribution
explains ...

**2**

votes

**0**answers

65 views

### Concentration bound in high min entropy distribution

Let $(X_{1},\dots,X_{m})$ be joint distribution on $\{0,1\}^{m}$ with that $H_{\infty}(X_{1},\cdots,X_{m})\geq m-r$, where $H_{\infty}$ means min-entropy.
Let $P_{1},...,P_{n}\subseteq [m]$ be sets ...

**-1**

votes

**0**answers

28 views

### How to prove an inequality $\left| {g(j + 1)} \right| \le 5/4$ in Stein's method for Poisson approximation [migrated]

The following is a lemma in
Barbour, A. D., Holst, L., & Janson, S. (1992). Poisson approximation. Oxford: Clarendon Press,p7.
For $j=1,2,...$ and $\lambda > 0$, we have
$\left| {g(j + ...

**5**

votes

**2**answers

166 views

### Rademacher average based Hoeffding Inequality

I am following these lecture notes:
Given the i.i.d. $\mathcal{Z}$-valued random variables $Z_1,\dotsc,Z_m$ and $\mathcal{G}$ is a set of bounded functions $g\colon \mathcal{Z}\to[a,b]$.
Corollary ...

**1**

vote

**0**answers

40 views

### Shift invariance for the distribution of quadratic polynomials

For a probability distribution $X$, supported on integers, define the shift-invariance of $X$, denoted by $shift(X)$ = total variation distance between the random variable $X$ and $X+1$.
Let ...

**5**

votes

**1**answer

168 views

### Does independence of the sequence $f(A_i, B)$ imply the sequence is independent of $B$?

Suppose $B, \{A_i: i \in \omega\}$ are i.i.d. random variables with uniform distributions on $[0,1]$. If $f$ is a map such that $\{f(A_i, B): i \in \omega\}$ are independent, must $\{f(A_i, B): i \in ...

**1**

vote

**0**answers

39 views

### Conditions on probability measure that generates non-void random polytope

Let $C$ be a non-void compact convex set in $\mathbb{R}^d$, and $\nu$ a probability measure on $C$. Then under what conditions on $C$ and $\nu$, the following statement is true: If ...

**2**

votes

**0**answers

120 views

### Ticket lottery — distributing $n$ tickets among $N$ people fairly

Suppose that I have $n$ tickets for an event that I want to distribute fairly among $N > n$ people. In this simple case, a lottery suffices. But suppose certain groups of people want to attend ...

**-2**

votes

**0**answers

22 views

### Expected values of non-negative random variables [migrated]

I met a problem during my research in computer science. I just want to know wether there is a relationship between E[X] and Pr{X>x}? E[x] = integral of pr{X>x} from 0 to infinite?
But how to prove ...

**0**

votes

**0**answers

53 views

### Expected value of a stochastic integral expression

I am wondering if the following expression can be processed a bit analytically,
$$
E \left[ e^{aX} \int_0^X e^{bu}dW(u)\right],
$$
where $W_u$ is the normal Brownian motion (1D Wiener process), and ...

**0**

votes

**0**answers

41 views

### Taking power of the integrand in a Riemann-Stieltjie Integral

This is a problem I am trying to solve as part of a calculation for Value-at-Risk.
Given that
$P(X<x)=F(x)=\int_{\theta}F(x|\theta)dG(\theta)=1-\alpha$,
where $F$ and $G$ are CDF's, is there a ...

**0**

votes

**0**answers

52 views

### Consistency Conditions of the Kolmogorov Extension Theorem

Kolmogorov's extension theorem allows for the construction of a variety of measures on infinite-dimensional spaces, and its conditions are supposedly "trivially satisfied by any stochastic process". ...

**5**

votes

**1**answer

126 views

### Asymptotic behavior of $X_n$ in a Dirichlet vector $(X_1, …, X_n)$

Let $(\alpha_k)$ be a sequence of positive numbers and let $(Y_k)$ be a sequence of independent random variables $Y_k \sim \text{Gamma}(\alpha_k,1)$. Set $X_n=\dfrac{Y_n}{\sum_{i=1}^nY_i}$.
(edit) ...

**3**

votes

**2**answers

191 views

### Picking codewords that are close

I posted this question in http://math.stackexchange.com/questions/1142698/picking-codewords-that-are-close a week back.
Let $[n,k,d]$ be a linear code over $\Bbb F_q$ with minimum distance $d$ and ...

**2**

votes

**0**answers

117 views

### Inequality with CDF of order statistics

here is a problem I have been struggling with for a while now. This is for a paper I am working on. Any help would be appreciated! Here we go:
Each bidder's valuation $\theta _{i},$ $i=1,...,N$, is ...

**2**

votes

**1**answer

111 views

### Does $\int \Phi \left( \frac{u}{\xi} \right) f_t(\xi) \mathrm{d} \xi \to \Phi(u)$ imply that $f_t \to \delta_1$?

I'm looking at a family $(f_t)$ of densities of some continuous random variables and know that
$$\int_{-\infty}^{\infty} \Phi \left( \frac{u}{\xi} \right) f_t(\xi) \mathrm{d} \xi \xrightarrow{t \to ...

**0**

votes

**1**answer

49 views

### Stationary distribution of random walk alias solving uncountably many linear equations [closed]

Let us have interval $I = (i_1,i_2)$, function $f_1 : I \mapsto I$, function $f_2 : I \mapsto I$.
Let $x_0$, $x_1$, $x_2$, ... be series of random variables from interval $I$ denoting random walk. ...

**5**

votes

**2**answers

312 views

### Applications of cohomology to probability and statistics

Are there interesting/useful applications of cohomology (and homological algebra in general) to probability and statistics, or information theory?
By "interesting/useful", I mean "not merely ...

**3**

votes

**0**answers

47 views

### Sample based inversion of the Radon transform

I have a classic tomography problem in which I would like to infer the internal density $p_0: \mathbb R^2 \to \mathbb R$ from external Radon projections. The internal density however is viewed as a ...

**4**

votes

**0**answers

61 views

### “One sided” fast times of Brownian motion

Let $B_t$, $t \in [0,1]$ be a standard Brownian motion. We call a time $t$ fast up if
$$
\limsup_{h \searrow 0} \frac{B(t+h) - B(t)}{\sqrt{2 h \ln(1/h)}} =1.
$$
(Note the absence of absolute value ...

**1**

vote

**0**answers

30 views

### Implementing the Bivariate survival function (Dabrowska estimator etc) [migrated]

I am trying to implement the Dabrowska estimator to apply to some data that has been collected and I am wondering if anyone can help. The original paper is Kaplan-Meier Estimate on the Plane by Dorota ...

**0**

votes

**0**answers

35 views

### minimal entropy approximation of a truncated discrete measure

Consider a measure $\mu$ on $\mathbb{N}$ given by the sequence $(\mu(n))_{n \geq 0}$ with $\mu(0)>0$. For example $\mu(n)=n^2+1$ on the figure below.
For each $n$, let $X_n \sim \mu(\cdot \mid ...

**3**

votes

**2**answers

236 views

### Weak convergence of random measures

Let $\mu_n,n\in \mathbb N$ be a random probability measures and let $\mu$ be a deterministic probability measure on $\mathbb R$. That is to say, that the $\mu_n$ are measurable maps from a probability ...

**2**

votes

**0**answers

81 views

### Equivalence of two non-degenerate Gaussian measures on Banach space

The motivation of this question is to show that two probabilities on
$C_{0}^{n}(0,1)$ (the space of continuous $\mathbb R^{n}$ valued process
on $[0,1]$ starting from zero) induced by two ...

**5**

votes

**0**answers

60 views

### Rate of Convergence of Compound Poisson Laws to Infinitely Divisible Laws

It is known that every infinitely divisible random variable is the limit in law of a sequence of compound Poisson random variables (see for instance Theorem 1.2.18 of Lévy Processes and Stochastic ...

**4**

votes

**1**answer

118 views

### Orlicz Norm and A result on expectation

I am reading paper which is mainly about Dobrushin's contraction coefficient and its generalization. In page 27, the following is defined:
Consider arbitrary, non-negative, convex function ...

**4**

votes

**1**answer

173 views

### Is the space of Radon measures a Prohorov space?

Consider the spaces $C_c(\mathbb{R})$ of compactly supported continuous functions equipped with the inductive limit topology and the Banach space $C_0(\mathbb{R}) = \overline{C_c(\mathbb{R})}^{\, ...

**1**

vote

**0**answers

80 views

### Occupancy problem with limited capacity and two types of balls [closed]

I am considering the following problem that I suspect to be standard.
One has a set of $N$ balls composed of a fraction $\alpha$ of red balls and $(1-\alpha)$ of black balls (we assume $\alpha N$ is ...

**7**

votes

**1**answer

155 views

### Defining functions pointwise vs. almost everywhere (w.r.t. uncountably many mutually singular measures)

My question is motivated by a general measure-theoretic problem that one frequently encounters in probability: the need to work with uncountably many mutually singular measures at once, and with ...

**2**

votes

**0**answers

351 views

### Homemorphism between $X$ and $\mathcal{P}(\mathcal{P}(X))$

Let $X$ be a topological space, $\mathcal{P}(X)$ be the set of all Borel probability measures on $X$. Endow the latter with the weak* topology. I was wondering whether there exists a (nontrivial) ...