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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84 views

Hoeffding's inequality for vector valued random variables

Is there a version of Hoeffding's inequality for vector valued random variables? This seems to be hard to find and I wonder why. I suppose it is difficult to show Hoeffding's lemma, since the proof ...
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1answer
75 views

Mixing time of a continuous time Markov chain with arbitrary rate matrix

I would like to calculate the mixing time of a continuous time starting from the rate matrix and not necessarily assuming that the time in between jumps have rate 1 - all I have is the (finite ...
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1answer
136 views

Probability of each edge in K-clique [closed]

For $c \in R$ and $k \in N$, $k \geq 3$ let $p_{k,c} := n^{\frac{−2}{k+1}}log^c(n)$. I would like to prove that exists $c\in R$ such that every edge in the random graph $G(n,p_{k,c})$ lies in a copy ...
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2answers
219 views

Regularity of random Fourier series

The following two statements appear to be true (but do correct me if I am wrong): The coefficients of a $C^k$ function on the torus $T^n$ decay at least as fast as $x^{-k}$ (where $x$ is some norm ...
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0answers
57 views

Probability that a random projection doesn't reduce the distance of a point from a subspace too much

Consider the natural uniform measure (is it called the Haar measure?) on the set of $(n-k)$-dimensional subspaces of $R^n$. We are given a $d$-dimensional affine subspace $U$ (think of $d, k \ll n$; ...
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5answers
441 views

Bound on sum of complex summands involving binomial coefficients

I am trying to find the asymptotic behavior of the sum: $$ \sum^n_{i=0} \begin{pmatrix} 2n \\ i \end{pmatrix} x^i y^{2n-i}$$ as $n\rightarrow\infty$. Here $x$, $y$ are complex numbers and I have ...
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1answer
204 views

Probability of connected graph on torus

Let $G = (V, E)$ be a graph on n vertices constructed in the following way: Each vertex $v \in V$ is positioned uniform randomly in $[0, 1] × [0, 1]$. Connect two vertices $u, v \in V$ if $d(v,u) ≤ ...
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103 views

Estimate for Levy metric

In the Encyclopedia of Mathematics there is an inequality for Levy metric ($d_L$): $$d_L(E,F) \leq \{\beta_r(F)\}^{r/(r+1)},$$ where $E$ is a a distribution that is degenerate at zero, $\beta_r(F)$, ...
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0answers
51 views

Fixing (non)-independency of a the subfamilies of finitely many events.

I'm would be interesting in any construction of a probability space with n events (n is given), where for every subset of these events, it is also given whether or not, the family is mutually ...
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128 views

Cramer's theorem in Hilbert spaces

I am interested under what conditions Cramer's theorem applies in random variables taking values in Hilbert spaces. Following these lecture notes, but using a Hilbert space: Let $X_1,X_2,\cdots$, be ...
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0answers
85 views

Large Deviations: Exponential decay in normed spaces

Let $(X_1,X_2,\cdots)$ be a sequence of independent and identically distributed random variables taking values in some general normed space $(V,||\cdot||)$. Denote $\mu=E[X_1]$ and ...
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31 views

Does a singularly perturbed cadlag process has sample paths in a Polish space?

In the theory of stochastic processes it is often said in the broader literature that Polish state spaces are the only important ones appearing in practice. Are there also examples of stochastic ...
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1answer
101 views

On the inverse problem of Dobrushin

Dobrushin, in this paper, looked into the following problem. Suppose We are given a Markov kernel (conditional distribution) $P_{Y|X}$. Information theorist usually call $W$ a channel. It is known ...
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2answers
257 views

Graph game minimum vertex degree

Consider the following graph game, given a graph $G=(V,E)$ on $n$ vertices with minimum degree $ >> log(n)$. Players are BR and MA (BR moves first): BR claims an unclaimed edge from $E$, adds ...
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17 views

Probability of rolling the same number n or more times in m rolls of a k-sided dice [migrated]

So the only approach I can find to solve this problem is making computer simulations, anyone can explain a mathematical way to solve it? or recommend a book that can explain this topic. thanks.
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45 views

Independent Quasi Monte Carlo Sequences

I am generating some copulas with MonteCarlo and QuasiMonteCarlo sequences. In particular, I would like to generate a Student's t copula with QMC numbers. Here is my problem: for Student's t copula I ...
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0answers
59 views

Measurability for disintegration of a kernel

Let $(x, A) \mapsto P(x, A)$ be a probability kernel whose "target" (wikipedia terminology) is a product space $Y \times Z$, and say both $Y$ and $Z$ are compact metric spaces. For every $x$ there is ...
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175 views

Navigation in a graph

The problem Let $G=(V,E)$ be a graph. $k = O\left(\log(|V|)\right)$ distinct vertices are picked randomly from $V$. We call the set of chosen $k$ vertices $T$. Assumptions about the graph: You may ...
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0answers
105 views

Better Sobolev inequality holds in this case when assuming doubling and Poincare inequality?

Let $X$ be a Polish space and let $m$ be a locally finite Borel measure on $X$. Let $\epsilon$ be a strongly local, regular Dirichlet form on $L^2(X,m)$ with Domain $V :=\{f\in ...
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3answers
319 views

Probability that a sum of intependent random variables hits a point

Let $X_1,\ldots,X_n$ be independent random elements of a normed space $X$. Suppose that $\sup_{x\in X}\mathbb{P}(X_i=x)=p_i$. What is the best known upper bound for $$\sup_{x\in X} ...
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1answer
65 views

Nagakami behavoir

Is the sum of square Nagakami random variables Erlang distributed? What is the distribution of euclidean norm of complex Nagakami? Cheers!
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90 views

Help in finding distribution of the following function of random variable [on hold]

Let $X_1$ and $X_2$ be independent complex Gaussian random variables, $$X_1 \sim \mathcal{CN}(0,\sigma)$$ $$X_2 \sim \mathcal{CN}(0,\sigma)$$ If $X= aX_1 + bX_2$ where $a,b$ are constants then the ...
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43 views

Rate of convergence in narrow convergence

Does anyone help me in the following question? I have a sequence of probability measures $\mu_n$ and know that $\mu_n$ converges narrowly to a probability measure $\mu$. Is there any way to estimate ...
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4answers
776 views

Painting $n$ balls from $2n$ balls red, and guessing which ball is red, game

The game Lucy has $2n$ distinct white colored balls numbered $1$ through $2n$. Lucy picks $n$ different balls in any way Lucy likes, and paint them red. Lucy then giftwrap all the balls so that it is ...
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106 views

Ising model: probability of a long path of minus under plus boundary conditions

Consider for example the Ising model on a square lattice. Fix zero magnetic field and plus boundary conditions. Low temperature, one minus spin. With a Peierls argument one can prove that, given a ...
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1answer
174 views

Green's function of the Ornstein-Uhlenbeck operator

The Ornstein-Uhlenbeck operator $L$ is given by $$ Lu = \Delta u- \frac{1}{2}x\cdot \nabla u. $$ Is there a known closed form expression of the Green's function of $L$ on $\mathbb R^d$ (for $d\geq 2$ ...
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0answers
88 views

Hitting time of two dimensional continuous martingale

Let $(\Omega, \mathcal{F}, P)$ be a probability space, on which $\mathcal{F}_t$ is filtration satisfying general conditions. $W_{t}=\left(W_{t}^{1},W_{t}^{2}\right)^{T}$ is a two dimensional Brownian ...
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1answer
125 views

Real points of zero-dimensional real algebraic varieties

There have been a number of discussions of zeros of random polynomials here (the most recent being: Why do roots of polynomials tend to have absolute value close to 1?). Here is a closely related ...
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1answer
176 views

Chances for a cosine polynomial to be positive at a point

Let $k_1,\ldots,k_n$ be distinct integers. Let $s_n(t)=\cos (k_1t)+\cdots+\cos (k_nt)$ be a trigonometric sum. Consider any interval $I\subset [-\pi,\pi)$ of length $\delta=\delta(n)$. Let $\,U$ be a ...
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0answers
63 views

How to define Product of Conditional Measures?

I have been wondering how to define the product of conditional measures as defined by Renyi-Popper. I spell the details below. If $(X,\Sigma)$ is a measurable space, then the function $\mu : ...
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28 views

Isotropic correlation function for a vector valued random field

I'm having trouble with some of the implications of the following theorem. Let $\mathbf{T} (\mathbf{x})$ be a mean-square continuous vector valued random field on $\mathbb{R}^3$ satisfying conditions ...
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115 views

A probability application question

Suppose there are two possible states $H$ and $L$, with prior probability $p$ and $1-p$ respectively. There are infinite rounds with a discount factor $ d$. In round 1, you could choose a value ...
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1answer
176 views

Probability of the maximum of a throw of an infinite number of $n$-sided dice being $k$ [closed]

Let $X$ be the random variable obtained as the maximum of a throw of $m$ dice (each of which is $n$-sided). In other words, $X = \max\{l_1,\cdots, l_m\}$ where $l_i$ can take any value between $1$ and ...
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0answers
65 views

A 1-D random variable from a random distribution

I have a random variable $X$ that is drawn from the pdf $$ f(x; \mu, \sigma, \sigma_{\mu}, \sigma_{\sigma}) = \int_{-\infty}^{\infty} \int_{-\infty}^{\infty} \frac{1}{|\hat{\sigma}|\sqrt{2\pi }} ...
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2answers
681 views

Parity of $\lfloor 1/(x y) \rfloor$ not equally distributed

A curious puzzle for which I would appreciate an explanation. For $x$ and $y$ both uniformly and independently distributed in $[0,1]$, the value of $\lfloor 1/(x y) \rfloor$ has a bias toward odd ...
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1answer
273 views

Guessing the larger integer: A game-theoretic twist

The starting point for this question is the old chestnut, already discussed on MO, about a game show on which the host has chosen two distinct integers and the contestant gets to reveal one of them at ...
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2answers
93 views

Asymptotics for Hitting the sphere from the Outside

The problem is: consider A a solid ball centered at 0 and the exterior starting point $x\in A^{c}$, what is the behavior of $P_{x}(T_{B_{r}(0)}>t)$ for $d\geq 3$ as $t\to \infty$,where ...
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1answer
281 views

Strong Law of Large Numbers for arrays of partly dependent random variables

Suppose $X_1$, $X_2$ are two independent real-valued random variables. Let $F$ be a continuous (unbounded) function from $\mathbb{R^2}$ to $\mathbb{R}$. Assume that the necessary measurability and ...
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0answers
75 views

(Reference) Asymptotics of hitting probability by Brownian motion

The problem is: Given compact set A with positive finite volume (eg. ball,cube), what happens to $P_{x}(T_{A}>t)$ as $t\to \infty$, where $T_{A}=inf_{t>0}(B_{t}\in A)$ and x is in the "exterior" ...
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21 views

Perturbing moments of multivariable distributions

Let $P$ be a multivariate probability distribution on $\mathbb R^n$ which is moment-determinate and let $\{m_k : k \in \mathbb N_0^n\}$ be the sequence of moments $P$. Fix an order $p$ and consider ...
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1answer
111 views

Poisson approximation of random sub-graphs

I add the edges of $G(n)$ the complete graph on $n$ vertices one by one, at random and without replacement, and denote by $G(n,m)$ the resulting Erdos Renyi random graph process. At step $m$ in the ...
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0answers
153 views

Total variation and Hellinger distance inequality between truncated Gaussians

We know that the total variation distance, $d_{TV}(P,Q) = \frac{1}{2}\left|\left|P-Q\right|\right|_1$, between any two distributions $P$ and $Q$ is lower bounded by their squared Hellinger distance, ...
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78 views

hitting time of the first quadrant for a 2-d random walk

Suppose $(S_n)_{n=1}^{\infty}$ is a simple random walk in $\mathbb{R}^2$. Let $\tau_{(a,b)}$ be the hitting of the first quadrant when $S_0 = (a,b)$. Is there a way to compute or estimate the ...
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1answer
103 views

Sum of n independent F distribution random variables [closed]

I need a help: What will be the distribution of sum of $n$ independent F distributed random variables with parameters 1 and 1 (i.e., $F(x;1,1)$? Formally, say $x_1,\ldots,x_n$ are i.i.d. as F(1,1), ...
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34 views

Stability of simple conditions on functions under convolution and/or mixture

We consider families of smooth probability densities defined on $\mathbb{R}^+$, $p=(x\in \mathbb{R}^+ \mapsto p_n(x))_{n\in\mathbb{N}}=(p_n)_{n\in\mathbb{N}}$ satisfying (i) $\int_{\mathbb{R}^+} ...
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2answers
367 views

What is the minimal $C_k$, such that every $f\colon \{-1,1\}^n\to \mathbb{R}$ of degree at most $k$ satisfies $\|f\|_2\le C_k\|f\|_1$

Every $f\colon\{-1,1\}^n\to \mathbb{R}$ can be repsenented as a multilinean polynomial of the form $$f(x_1,x_2,\ldots ,x_n)=\sum _{S\subseteq [n]} \hat{f}(S)\prod_{i\in S} x_i $$ The degree of the ...
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1answer
518 views

Publishing an elementary proof of a less-general and less-useful version of a classic result?

Background Let $X_t$ be a stochastic process on the state space {Working, Broken}. Let $U$ be the cumulative sojourn Working during an interval $[0,\tau]$ (the process's uptime). It is well-known ...
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55 views

Numerical Methods for stochastic PDE, from rough paths to backward equations

this question is about some literary references regarding the state of the art in terms of numerical methods for SPDE's. In particular, Have the numerical implications, if any, of the results in ...
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39 views

Numerical solution of SDEs with colored noise

I am trying to numerically solve an SDE with both white and colored noise that models a non-linear circuit: $$ dX_t = f(X_t) dt + \sigma_w dW + \sigma_c dC $$ where $W$ is a standard Brownian motion ...
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1answer
91 views

Diffusion processes with different diffusion coefficients and absolute continuity

I would first of all like to say that I am an analyst, and so I am familiar with probabilistic methods only on a basic level. My initial situation is the following. Consider two stochastic ...