Questions tagged [pr.probability]
Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory.
879
questions
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Twisted random walks
Suppose the points of two random walks in $\mathbb{R}^2$ are given the
step number (or time) as a third coordinate, so that they become paths in $\mathbb{R}^3$.
Here are several pairs of walks of $n=...
9
votes
2
answers
711
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Return probabilities for random walks on infinite Schreier graphs
Question: Is there a sequence $(\delta_n)_n$ of real numbers with $\delta_n \to 0$ as $n \to \infty$, such that the following holds:
Let $F$ be a free group on two generators, let $F \curvearrowright ...
8
votes
2
answers
739
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The Odds 3 (or More) Group Elements Commute
Some time ago I asked about the odds 2 group elements commute. I wonder about the odds that 3 group elements commute. Is there a "closed" formula for the sum
$$ \frac{1}{|G|^3} \sum_{g,h,k} \delta([...
8
votes
1
answer
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What is the order of the lower tail of a Chi-Squared distribution?
Let X be a random variable with having a chi-squared distribution with n degrees of freedom and let y be some real number at most n. Is it known how P (X < y) behaves at least in some reasonable ...
7
votes
2
answers
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Conditional Expectation for $\sigma$-finite measures
Someone knows of some definition or reference of how to define conditional expectation for a measure space with $\sigma$-finite measure.
I think it should be as follows:
Let $(X,\mathcal{B},\nu)$ ...
7
votes
1
answer
1k
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Properties of convolutions
Consider the function
$$f_{n}(x)=e^{-x^2}x^n.$$
and the function
$$h_p(x):=e^{-\vert x \vert^p}.$$
My goal is to analyze
$$ F_p(y):=\frac{(f_2*h_p)(y)}{(f_0*h_p)(y)}- \left(\frac{(f_1*h_p)(y) }{(f_0*...
7
votes
3
answers
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Convex hulls of families of probability measures
Let $X$ be a standard Borel space, so that the space of Borel probability measures on $X$ is also a standard Borel space. We denote it by $\mathcal P(X)$.
In this paper for any family of probability ...
7
votes
1
answer
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Can one divide algebraic manifolds ? Make sense: $Gr(2,n)/ Gr(2,n+m) = P^{n-1}/P^{n+m-1} P^{n-2}/P^{n+m-2}$
Let's start from a little bit far.
Basic probability theory - chain rule reads:
$$ P(AB) = P(A)P(B|A)$$
Example: consider n+m balls, where n - white balls, m - black balls,
consider A - first ...
7
votes
3
answers
861
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A non-degenerate martingale
Let $(\Omega, \mathcal{F}, P)$ be a probability space, on which
$\mathcal{F}_t$ is filtration satisfying general conditions.
$W_t$ is
a standard Brownian motion.
Let $Y_t$ be a martingale given by
$$...
6
votes
2
answers
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How to understand the combinatorial Laplacian $\Delta$ which is defined on the graph?
I have a question about the combinatorial Laplacian $\Delta$ which is defined by
$$\Delta(u,v)=c(u)1_{u=v}-c(u,v)$$
where $u, v$ are some vertices in the graph $G=(V, E)$, and $c(u,v)$ is a ...
6
votes
1
answer
587
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Reformulation - Construction of thermodynamic limit for GFF
I've posted a question about the thermodynamic limit for Gaussian Free Fields (GFF) a couple days ago and I haven't got any answers yet but I kept thinking about it and I thought it would be better to ...
5
votes
1
answer
775
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A set of questions on continuous Gaussian Free Fields (GFF)
As I said in my previous posts, I'm trying to teach myself some rigorous statistical mechanics/statistical field theory and I'm primarily interested in $\varphi^{4}$, but I know that the absense of ...
5
votes
1
answer
338
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Universal decay rate of the Fisher information along the heat flow
I'm looking for a reference for the following fact: In the torus $\mathbb T^d$ let me denote by $u_t=u(t,x)$ the (unique, distributional) solution of the heat equation
$$
\partial_t u=\Delta u
$$
...
5
votes
2
answers
363
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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 $P(T_{A}<\...
4
votes
1
answer
611
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How to get the lower bound of the following $\tau$?
Let $A=\{a_{ij}\}_{1\le i,j\le n}$ be an $n$ by $n$ normalized Gaussian random matrix with $E[a_{ij}]=0$ and $E[a_{ij}^2]=1/n$. Ordering its eigenvalues by $\lambda_1\le \lambda_2\le \cdots \lambda_n$ ...
3
votes
2
answers
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Recursive random number generator based on irrational numbers
Here $\{\cdot\}$ and $\lfloor \cdot\rfloor$ denote the fractional part and floor functions respectively. For a negative, non-integer number $x$, we use the following definition: $\{x\}=1-\{-x\}$. If $...
2
votes
2
answers
306
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Weak convergence for discrete-time processes using characteristic functions
I am looking for a good reference about the analogues of the Bochner Theorem and the Lévy Continuity Theorem
for probability measures on $\mathbb{R}^{\mathbb{N}}$ with the product topology.
...
1
vote
1
answer
377
views
Curious inversion formula in additive combinatorics
Let $S$ be an infinite set of positive integers, and $T=S+S=\{x+y, \mbox{ with } x,y\in S\}$.We definte the following functions:
$N_S(z)$ is asymptotic continuous version of the function counting the ...
1
vote
0
answers
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Classical and free cumulants, symmetric functions, and inverses (references), related to associahedra, parking functions, noncrossing partitions
Looking for references for one or more of the following four sets of partition polynomials 1a) through 4a), particularly those which present geometric / topological combinatorial interpretations.
...
113
votes
13
answers
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What are the big problems in probability theory?
Most branches of mathematics have big, sexy famous open problems. Number theory has the Riemann hypothesis and the Langlands program, among many others. Geometry had the Poincaré conjecture for a long ...
96
votes
28
answers
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Probabilistic proofs of analytic facts
What are some interesting examples of probabilistic reasoning to establish results that would traditionally be considered analysis? What I mean by "probabilistic reasoning" is that the approach should ...
78
votes
11
answers
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How is it that you can guess if one of a pair of random numbers is larger with probability > 1/2?
My apologies if this is too elementary, but it's been years since I heard of this paradox and I've never heard a satisfactory explanation. I've already tried it on my fair share of math Ph.D.'s, and ...
69
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6
answers
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What is a cumulant really?
A cumulant is defined via the cumulant generating function
$$ g(t)\stackrel{\tiny def}{=} \sum_{n=1}^\infty \kappa_n \frac{t^n}{n!},$$
where
$$
g(t)\stackrel{\tiny def}{=} \log E(e^{tX}).
$$
Cumulants ...
66
votes
1
answer
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Why can't a nonabelian group be 75% abelian?
This question asks for intuition, not a proof.
An earlier question,
Measures of non-abelian-ness
was thoroughly answered by Arturo Magidin.
A paper by Gustafson1
proves that, for a nonabelian group,
...
56
votes
4
answers
14k
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Connectivity of the Erdős–Rényi random graph
It is well-known that if $\omega=\omega(n)$ is any function such that $\omega \to \infty$ as $n \to \infty$, and if $p \ge (\log{n}+\omega) / n$ then the Erdős–Rényi random graph $G(n,p)$ is ...
47
votes
7
answers
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Intuitive proof that the first $(n-2)$ coordinates on a sphere are uniform in a ball
It is a classical fact that if $(x_1,\ldots,x_n)$ is a random vector uniformly distributed on the sphere $S^{n-1} \subseteq \mathbb{R}^n$, then the random vector $(x_1,\ldots,x_{n-2})$ is uniformly ...
45
votes
1
answer
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Anti-concentration bound for permanents of Gaussian matrices?
In a recent paper with Alex Arkhipov on "The Computational Complexity of Linear Optics," we needed to assume a reasonable-sounding probabilistic conjecture: namely, that the permanent of a matrix of i....
41
votes
5
answers
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"Entropy" proof of Brunn-Minkowski Inequality?
I read in an information theory textbook the Brunn-Minkowski inequality follows from the Entropy Power inequality.
The first one says that if $A,B$ are convex polygons in $\mathbb{R}^d$, then
$$ m(...
39
votes
1
answer
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When should we expect Tracy-Widom?
The Tracy-Widom law describes, among other things, the fluctuations of maximal eigenvalues of many random large matrix models. Because of its universal character, it obtained his position on the ...
30
votes
4
answers
3k
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Distribution of roots of complex polynomials
I generated random quadratic and cubic polynomials with coefficients in $\mathbb{C}$
uniformly distributed in the unit disk $|z| \le 1$. The distribution of the roots of 10000
of these polynomials are ...
30
votes
2
answers
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Shortest path through $\sqrt{n}$ points out of $n$
Say I sample $n$ points uniformly at random in the unit square, and then I look for the shortest path through $\sqrt{n}$ of those points (rounding up, say). What happens to the length of this path as ...
26
votes
1
answer
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1-Wasserstein distance between two multivariate normal
The $p$-Wasserstein between two measures $\nu_1$ and $\nu_2$ on $X$ is given by
$$d_p(\nu_{1},\nu_{2})=\left(\underset{\pi\in\Gamma(\nu_{1},\nu_{2})}{\inf}\int_{\mathbf{\mathcal{X}}^{2}}d(x,y)^p\pi(dx,...
24
votes
1
answer
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Expected halting time for "The 2^n Game" (aka 2048) -- with random moves
Recently I encountered an online flash game that features an m-by-m grid and input from the directional pad (up, down, left, right). At any point in the game, the grid contains numbers ('blocks') from ...
22
votes
3
answers
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On the sum of uniform independent random variables
Let $X_1,...,X_n$ be independent uniform random variables in [0,1] and assume $c>1/2$. Is it true that $$\mathbb{P}\left[\sum_{i=1}^n X_i \leq n \cdot c\right]$$ is increasing with respect to $n$?
...
21
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2
answers
1k
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Probability that a convex shape contains the unit ball
This probability problem seems interesting and I don't know if it has been solved before.
If you pick $n$ points uniformly at random from the surface of a $d$ dimensional sphere of radius $r>1$ ...
21
votes
4
answers
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Maximum of Gaussian Random Variables
Let $x_1,x_2,…,x_n$ be zero mean Gaussian random variables with covariance matrix $\Sigma=(\sigma_{ij})_{1\leq i,j\leq n}$.
Let $m$ be the maximum of the random variables $x_{i}$
$$
m=\max\{x_i:i=...
20
votes
1
answer
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Fourier transform of $f_a(x)= a^{-2}\exp(-|x|^a)$, $a \in (0,2)$, is decreasing in $a$
Can one show that Fourier transform of
$$ f_a(x) = a^{-2} \exp(-|x|^a), \qquad a \in (0,2)$$
is decreasing in $a$?
I have a solution for $a \in (0,1]$ which cannot be used for $a\in (1,2)$.
19
votes
1
answer
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Does every compact metric space have a canonical probability measure?
Edit: Shortly after this post it was rightly pointed out by @AntonPetrunin that the measure $\mu$ may not be unique. @R W then showed how one can construct a metric space where the limiting measure is ...
18
votes
4
answers
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Concentration inequalities for the maximum of the rescaled/normalized sum of iid random variables
I am interested in concentration inequalities for the maximum of the rescaled/normalized sum of iid random variables.
Let $X_1,..., X_n$ be i.i.d random variables, $S_n$ their centered sum and $M_n$ ...
17
votes
2
answers
391
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Random rings linked into one component?
Let $S$ be a sphere of unit radius.
Let $C_n$ be a collection of unit-radius circles/rings whose centers
are (uniformly distributed)
random points in $S$, and which are oriented (tilted) randomly (...
17
votes
5
answers
3k
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Conditional probabilities are measurable functions - when are they continuous?
Let $\Omega$ be a Banach space; for the sake of this post, we will take $\Omega = {\mathbb R}^2$, but I am more interested in the infinite dimensional setting. Take $\mathcal F$ to be the Borel $\...
17
votes
2
answers
1k
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The Bruss-Yor conjecture about an iterated integral
Is the sequence $$w_n=n! \int_0^{1/2} \int_{x_1}^{2/3} \cdots\int_{x_{n-2}}^{\frac{n-1}{n}} \int_{\frac{n}{n+1}}^1 dx_n dx_{n-1} \cdots dx_1$$ increasing for $n\ge 3$?
This is a conjecture of F. ...
17
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1
answer
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Uniformly integrable sequence such that a.s. limit and conditional expectation do not commute
Hi,
Could anyone give an example such that:
$$Y_i \rightarrow Y_{\infty}, \text{a.s.},$$
and $Y_i$'s are uniformly integrable.
But $\mathbb{E}(Y_i|\mathcal{G})$ does not converge a.s. to $\mathbb{E}(...
16
votes
5
answers
2k
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Expected value of determinant of simple infinite random matrix
Suppose we have a matrix $A \in \mathbb{R}^{n\times n}$ where
$$A_{ij} = \begin{cases} 1 & \text{with probability} \quad p\\ 0 &\text{with probability} \quad1-p\end{cases}$$
I would like to ...
16
votes
1
answer
8k
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Intuitive understanding of the Stieltjes transform
I have been using random matrix theory in signal processing and have some trouble understanding what the Stieltjes transform does.
The gist of my work is that I have an $N\times N$ true covariance ...
16
votes
1
answer
1k
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Random polycube shapes
I am wondering if it is hopeless to obtain any firm results
on the following model of a "random polycube shape."
First, a polycube in $\mathbb{R}^3$
is a connected face-to-face gluing of unit cubes.
(...
16
votes
1
answer
2k
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Normal approximation of tail probability in binomial distribution
My problem: From the Berry--Esseen theorem I know, that $$\sup_{x\in\mathbb R}|P(B_n \le x)-\Phi(x)|=O\left(\frac 1{\sqrt n}\right),$$ where $B_n$ has the standardized binomial distribution and $\Phi$ ...
16
votes
4
answers
3k
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"Uniform probability" on a set of naturals
It's an obvious and well-known fact that there is no uniform probability measure on a set of natural numbers (i.e. the one that gives the same probability to each singleton).
On a recent probability ...
15
votes
4
answers
2k
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Positivity of certain Fourier transform
Is the Fourier transform of the function
$$ f(\xi) = e^{-t|\xi|^{2m}}$$
positive for $t>0$ and $m \in \mathbb{N}_0$?
15
votes
2
answers
9k
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Convergence of moments implies convergence to normal distribution
I have a sequence $\{X_n\}$ of random variables supported on the real line, as well as a normally distributed random variable $X$ (whose mean and variance are known but irrelevant). I know that the ...