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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question about Doob-Meyer decomposition

Given a filtered probability space and let $X$ be a cadlag local martingale defined on this space. Let $V$ be a cadlag supermartingale and assume we know the following decomposition: ...
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2answers
87 views

Smoothness of $g(t,x)=\mathbb{E}[f(X_T)|\mathcal{F}_t]$

Assume a process with Itô dynamics of the generic form $$dX_t=\mu(t,X_t)dt+\sigma(t,X_t)dW_t$$ and let $f:\mathbb{R}\to\mathbb{R}$ be borel-measurable. Is the following function smooth ? ...
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1answer
95 views

Convergence of a sequence of dependent binomial trials

Consider a sequence of the the following stochastic process. Let $b_0=1$, and let $n >1$. At each step $t$, let $b_t \sim Bin(n,\frac{b_{t-1}}{n})$. The process stops when either $b_t=0$ $b_t=n$. ...
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44 views

forward algorithm Hidden Markov Model

I am studying the the forward-backward algorithm used in Hidden Markov Models. I understand that that you are trying to propagate through a sequence (and the available states) to find the most ...
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0answers
84 views

Arctic Circle Theorems and the Wave Equation

I've seen the following remark in a number of papers but don't know what to make of it. In this paper by Cohn, Elkies and Propp, it is mentioned that the normalized average Height function ...
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2answers
152 views

Joint probability distribution as functions

Suppose $X$ and $Y$ are correlated random variables in a finite set ${\mathcal A}$, and let $f, g$ be functions that map elements from ${\mathcal A}$ to ${\mathcal B}$ for some finite set ${\mathcal ...
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0answers
14 views

How can I identify correlation between event types over time [migrated]

I have many thousands of event types. Some very frequent, but most fairly infrequent. I want to identify events types that could be related by virtue of the fact that they occur relatively closely ...
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1answer
94 views

Strong solutions on SDE (stochastic differential equations) with discontinuous drift and diffusion coefficients

I want to get some advice from you about the existence (and the uniqueness if possible) of a strong solution on my SDE. In fact, due to the structure of the problem that I consider, both the drift ...
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1answer
121 views

conditional expectation under convex combinaison of probability measures

Let $(\Omega,\mathcal{F})$ denote some measurable space. Let $P_1$ and $P_2$ denote respectively two probability measures. Now let $\mathcal{G}$ be some sub sigma-algebra of $\mathcal{F}$. Given a ...
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1answer
55 views

Estimating the variance of error in empirical approximation to a distribution

Let $X_1,X_2,\ldots,X_n$ be i.i.d. random variables in $\mathbb{R}$ with common cumulative distribution function (CDF) $F(x)$. The empirical approximation to $F(x)$ is defined as follows: ...
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1answer
63 views

What is known about the distribution of the errors in empirical approximation of a CDF?

Let $X_1,X_2,\ldots,X_n$ be i.i.d. random variables in $\mathbb{R}$ with common cumulative distribution function (CDF) $F(x)$. The empirical approximation to $F(x)$ is defined as follows: ...
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105 views

Sampling from a Convex Body with Many Extremal Points

Let $p_{1}, \ldots, p_{N}$ be a collection of points in $\mathbb{R}^{n}$. I would like to sample uniformly from the convex hull of these $N$ points in an `efficienct' way. In my setting, I have $n$ ...
6
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1answer
198 views

An inequality for positive definite matrices

Let $K$ and $K^\prime$ positive definite $n \times n$ matrices, such that for all vectors $f \ge 0$ with nonnegative coordinates we have $$\sum_{i,j} K_{ij} f_i f_j \le \sum_{ij} K^\prime_{ij} f_i ...
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1answer
77 views

A strange definition about reproducing kernel Hilbert spaces for symmetric Gaussian measures on a separable Banach space

In stochastic equations in infinite dimensions written by Da Prato reproducing kernel Hilbert space is defined Let $\mu$ be a symmetric Gaussian measures on a separable Banach space $E$. A linear ...
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1answer
89 views

Positive correlation of conditional expectations

Suppose I have a random variable $Z$ defined on a probability space built on a $\sigma$-algebra $\mathcal{F}$ (with $\mathbb{E}[Z^2] < \infty$). Moreover, suppose that I have two filtrations ...
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1answer
485 views

Has anyone seen this series?

I come across the following infinite series. $$ \sum_{n=1}^{\infty} \frac{t^n}{n!\: n^{a}}, \quad\text{for $t>0$ and $a>0$}. $$ In particular, I am interested in the case where $a=1/4$. ...
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3answers
229 views

Maximum of the expectation of maximum of Gaussian variables

Suppose $X=(X_1,\ldots,X_n)$ is a Gaussian vector with each entry $X_i$ marginally distributed as $\mathcal{N}(0,1)$. Want to find out the possible maximum of $$\mathbb{E}\max_{1\le i\le n}|X_i|$$ and ...
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38 views

Closed for the motion of an interacting particle system

I am dealing with interacting particle systems approximately in the sense of http://www.math.vu.nl/~rmeester/onderwijs/Interacting_Particle_Systems/liggett.pdf p. 5 except I am reading a book by the ...
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0answers
66 views

Learning resources for Probability Distributions/Models [closed]

I've a good background in basic probability. I need to learn and get a good grip on the probability distributions and stochastic processes, counting processes, and other related topics. I am already ...
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1answer
96 views

Proof for the emergence of a ranking with paired comparisons [closed]

Take a set {A, B, C, D, E}, and assume each of the set elements has a random real value attached to it between 0 and 1. For example, this gives us: {A, B, C, D, E} = {0.1, 0.9, 0.4, 0.6, 0.5}. Assume ...
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1answer
59 views

Measures of disjoint unions and complements of a collection of sets

Let $\mu$ be a probability measure. Let $\mathcal A$ be a collection of measurable sets and $D(\mathcal A)$ be the minimal $\lambda$-system (Dynkin system) containing $\mathcal A$. Is $\mu(D)$ for ...
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0answers
66 views

conditional expectation of discrete random variable given sum constraint [migrated]

Given $k$ discrete iid random variables $X_1,\ldots,X_k$, the conditional expectation $E[X_1\,|\,X_1+\cdots+X_k=n]$ is intuitively given by $\frac{n}{k}$ since the variables are iid and, thus, ...
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1answer
155 views

Characterization of a set in $\mathbb{R}^d$

Let $X= (X_1,\dots, X_d)$ be a fixed vector of random variables on the space $(\Omega, \mathcal{F}, \mathbb{P})$. Consider the following set. \begin{equation}\label{main12} C= \{x\in \mathbb{R}^d ~|~ ...
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78 views

Longest induced cycles in random geometric graphs near criticality

We make a random geometric graph $X(n;r)$ as follows. Choose $n$ points uniformly, independently, in the unit square $[0,1]^2$, for vertices, and then connect a pair of vertices $\{ p,q \}$ by an edge ...
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1answer
46 views

Random weighted selection without replacement

I am using the following procedure to select $m$ different numbers $\{i_1,\ldots,i_m\}$ from the set $\Omega = \{1,\ldots,N\}$, with $m,N\in\mathbb{N}$ such that $m< N$. Selection procedure ...
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0answers
58 views

asymptotic estimate of random walk involved hitting time and return time

Consider a reversible random walk on (say) $\mathbb{Z}$, are there any estimate for the following probability $\mathbb{P}(\tau_n=m<\tau_0^+)$ where $\tau_n$ is the first hitting time at site n and ...
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1answer
989 views

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 ...
4
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0answers
132 views

# roots of polynomials over GF(2)

Consider a polynomial $p(x)$ with of degree $d$ with coefficients in $GF(2)$. How many roots can it have in $GF(2^m)$? The intent here is that $d \ll 2^m$. The trivial bound is of course $\leq d$. ...
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34 views

Finding the number of leaf nodes at specific level of a random tree

Given a uniform recursive tree (URT) of size $N$ rooted at one node whereby the tree is generated as follows: Starting with a root node, at each iteration, a new node is connected to one of the ...
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0answers
63 views

Existence of a conditional distribution

Let $X$ and $Y$ be standard Borel spaces and let $J$ be an analytic subset of $X\times \mathcal P(Y)$ where $\mathcal P(\Omega)$ is a set of probability measures on a Borel space $\Omega$ endowed ...
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74 views

Nonlinear Markov process

Consider the following nonlinear $\mathbb{R}$-valued stochastic recursive sequence: $ X_{n+1} = F(X_n) + W_{n+1}, \quad (W_n)_{n\ge1} \stackrel{ \scriptsize \mathrm{i.i.d.} }{ \sim } \phi. $ How can ...
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2answers
395 views

Sum of two independent random variables

Let $\xi, \eta, \eta'$ be non-negative random variables such that: $\eta \stackrel{\mathcal{L}}{=} \eta'$, $\xi + \eta \stackrel{\mathcal{L}}{=} \xi + \eta'$, $\xi$ and $\eta'$ are independent. ...
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1answer
492 views

Absolute convergence of logarithm of polynomial with positive coefficient ($\ln G(z) = \sum\limits_{i = 0}^\infty {{q_i}{z^i}} $)

Special problem: Let $G(z)$ be a probability generating function(pgf, the $z$ can be seen as real number or complex number), that is $$G(z) = \sum\limits_{i = 0}^\infty {{p_i}{z^i}} ,(\left| z ...
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1answer
313 views

Fictitious density of paths of diffusion processes outside the Cameron--Martin space

Let $X_t$ be an $n$-dimensional diffusion process satisfying the following Itō SDE over $[0,1]$: $$dX_t = f(X_t)\,dt + dW_t,$$ where $W_t$ is an $n$-dimensional Wiener process and $f$ is of class ...
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0answers
25 views

Searching for the maximum of a (strictly convex) two-dimensional distribution via maximization over a series of arbitrarily specified 1D intervals

Let $f$ be a strictly convex two-dimensional distribution with a maximum $M$ at some unknown position $(x_m,y_m)$. Starting from the origin, $(x_0,y_0) = (0,0)$, we need to find $(x_m,y_m)$, however ...
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2answers
447 views

Spearing rolling hula hoops

Or: Stabbing rolling disks. Imagine there are $n$ unit-diameter disks rolling between $x=0$ and $x=d$, reflecting off either end. The disk centers start at a random location within $[\frac{1}{2}, ...
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4answers
451 views

Are gaussians with different moments far in total variation distance?

If two Gaussians disagree on one moment, it seems like this should imply that they have a large variation distance--equivalently, if two Gaussians are close in variation distance it's hard for their ...
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1answer
65 views

Karhunen-Loeve expansion for discrete-time process

Is there a Karhunen-Loeve theorem for discrete-time process? For example, let $\left\{X_i\right\}$ be a sequence of independent random variable which are uniformly distributed on the set $\{-1,1\}$. ...
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45 views

Bounds or approximations for the conditional probability of an event involving correlated random variables

Let $\tilde{\gamma_1}, \tilde{\gamma_2}, \ldots, \tilde{\gamma_N}$ be exponential random variables (RVs) that are correlated with each other. Let $\gamma_n$ be another exponential RV that is ...
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5answers
216 views

Nice examples/arguments that illustrating the coupling method in probability theory

I want some examples that can best illustrate the idea/power/funny of the coupling argument in probability. I think arguments with coupling makes one think in a more probabulistic way. I have a short ...
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0answers
129 views

Conditional expectation with respect to random closed sets

Short question If $X$ is a random closed set, and $Y$ is an integrable random variable, I would like a definition of the "conditional expectation" $$\mathbf{E}[Y \mid X\ni x].$$ Has this been worked ...
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Link between presence of attracting random fixed points and synchronisation - is this an open question?

This is a question in the theory of random dynamical systems. Let $(X,d)$ be a compact metric space, let $(I,\mathcal{I},\nu)$ be a probability space, and let $(f_\alpha)_{\alpha \in I}$ be an ...
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65 views

On the solution of a stochastic partial differential equation

Consider a simple SPDE as follows: $\partial_t u(t,x)=\partial_x^2 u(t,x)+V(u(t,x))+\dot{W}(t,x)$, $t>0$, $x\in(0,1)$, $u(t,0)=u(t,1)=0$, $u(0,x)=v(x)$, where $V$ is a bounded, smooth ...
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1answer
80 views

General version of Skorokhod representation of random variables

Let $F: \mathbb{R} \to [0,1]$ be cumulative distribution function (cdf). The standard way to build a random variable $\tau$ on $([0,1],\mathcal{B},\text{Leb})$ with $F$ as its cdf is using the ...
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1answer
103 views

Escape Time of Fractional Brownian Motion

Let $B(t)$ be Brownian motion with $B(0)=x>0$ and let $A>x$. It is well known that the expected time for $B(t)$ to escape the interval $[0,A]$ is equal to $x(A-x)$. Is the expected time known ...
4
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1answer
131 views

Reducing search space by probability

First question on this Stack, so I hope this is appropriate. This is not for homework, but a personal question related to a machine learning problem I am working on. However, I don't have enough ...
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3answers
193 views

Lipschitz continuous maps from $\mathbb R^n$ to $\mathbb R^n$ that preserve Gaussian measure?

The only ones I can think of are linear maps like rotations and permutations. Is there a more general characterization?
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2answers
393 views

Probability of Brownian motion to have a zero in an interval

I have what should be a very simple questions for Brownian motion experts... Let $[a,b]$ be a given time interval. Let $f(x)$ be the probability that a linear Brownian motion with initial value $x$ at ...
2
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1answer
123 views

Characterizations of the GOE/GUE family of distributions

This question is somewhat related to this one. Loosely speaking, when should I expect a GOE/GUE distribution? The angle of my approach to this is not through statements such as "there is a natural ...
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0answers
150 views

An extrasensory perception strategy :-)

I asked this question at MSE some months ago but I received only partial answers, so I put it here. The following sounds nice for me and I spent a good time during the investigation. But I am a ...