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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1answer
102 views

probability in galton watson processes [closed]

I am trying to study the Elementary new proofs of classical limit theorems for Galton Watson processes written by Jochen Geiger. I don't understand what Z_(n,i) stand for. And in the proof of Theorem ...
-1
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1answer
105 views

Continuity of function mapping $\mathcal{P}(\mathcal{P}(X))$ to $\mathcal{P}(X)$ [closed]

Given a topological space $Y$, let $\mathcal{P}(Y)$ be the set of all probability measures on $Y$, endowed with the weak* topology. Let $X$ be a topological space (for convenience, it might be Polish ...
7
votes
1answer
211 views

Central limit theorem for biased random walk

Define random variables $X_n$ by $X_0 = 0$ and \begin{equation*}X_n - X_{n-1} = \begin{cases} 1 & \text{with probability } g(X_{n-1}) \\ 0 & \text{with probability } 1-g(X_{n-1}) \end{cases} ...
1
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0answers
117 views

Joint law of a standard Brownian motion and its local time at a nonzero level

Let $B_t$ be the standard Brownian motion and $L_t^a$ be the local time at level $a$. It is known that the joint-density of $(L_t^0,B_t)$ is $$ P\left(B_t\in d y, L_t^0\in d v\right) = ...
3
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1answer
543 views

Is the integral always nonzero?

Let $$I_{n,p,a}:=\int_0^{\infty-} \frac{g_{n,a}(t)}{t^{p+1}} \, dt,$$ where $$(*)\qquad\qquad\qquad n\in\mathbb N,\quad -\infty<a<\infty,\quad p_{n,a} < p < ...
0
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0answers
39 views

Recursive parameter estimation for partially observed Ito SDEs

I'm trying to get my head around online (recursive) maximum-likelihood parameter estimation in the language of stochastic processes and in the context of stochastic filtering, i.e. where we have a ...
2
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0answers
64 views

Poincare inequality for the measure of Brownian path

I am wondering if the Poincare inequality holds for the Brownian path space. As the simplest example, let $\{w_t, t \in [0, 1]\}$ be a 1-d standard BM: has independent increments and continuous ...
1
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0answers
93 views

Horizontal vs Vertical sides Exit from a Rectangle for simple symmetric Random Walk on $\textbf{Z}^{2}$

Consider simple symmetric random walk, $X_{n} = (X_{n}^{(1)}, X_{n}^{(2)})$ with $X_0= (0,0)$, on the 2 dimensional integer lattice, $\textbf{Z}^{2}$. Let $T_{M}, T_{N}$ be the smallest $n$ such ...
2
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0answers
39 views

Functions whose Laplace transforms have prescribed behavior at minus infinity

Let $f:\mathbb{R}\rightarrow\mathbb{R}$ be a non-negative function with entire Laplace transform $\hat{f}$ (in particular $\lim_{t\to \infty}e^{st}f(t)=0$ for all $s$), and $p_0$ a positive integer. ...
4
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1answer
136 views

convergence of integral for each bounded function in probability

Let $\mu, \mu_1, \mu_2, \dots$ be random measures on a Polish space (separable completely metrizable topological space) $(S, {\mathcal S})$. Suppose I know that $$\int f d \mu_n \to \int f d\mu$$ ...
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0answers
90 views

Are such averages known with representations of $S_n$?

Like is there a sense in which one can quantify that for two group elements (in different conjugacy classes) their characters are "close" for some fixed irreducible representation? (feel free to ...
1
vote
1answer
126 views

Interchanging limits for doubly indexed random sequences

I've encountered the following problem which seems to be quite standard but for which I can't find any proper references (asking on mathematics SE didn't bring up any answers so I'm reposting my ...
8
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7answers
562 views

Finite-space dynamical systems

This question is quite open-ended, but I will formulate several sub-questions that I'll try to make precise. It is about finite-state dynamical system: start with a finite set $X$, with say $n$ ...
3
votes
1answer
75 views

random odes adapted solution

Let $\{\omega_t\}$ be a Levy process (like Brownian Motion, stable process). Consider the following random ode $$x_t=x_0+\int_0^tb(x_s+\omega_s)ds$$ Where $b$ is a bounded continuous function (not ...
13
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4answers
762 views

Random Diophantine polynomials: Percent solvable?

Suppose one generates a random polynomial of degree $d$ with integer coefficients uniformly distributed within $[-c_\max,c_\max]$. For example, for $d=8$, $|c_\max|=100$, here is one random ...
3
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0answers
218 views

Unusual generalization of the law of large numbers

I have seen in physical literature an example of application of a very unusual form of the law of large numbers. I would like to understand how legitimate is the use of it, whether there are ...
8
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2answers
583 views

random category theory

This question is in some sense dual to the one asked in Is there an introduction to probability theory from a structuralist/categorical perspective? since contrary to the OP who asks for references ...
3
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1answer
103 views

Expected number of leaf nodes in some theoretical graph models

If a leaf node of a graph refers to a node having the degree of 1, how can one compute the expected number of leaf nodes of: (A) a random graph (e.g., Erdos-Renyi graph), (B) a small-world graph ...
1
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0answers
66 views

Probabilistic proof for expander existence [closed]

I am new to probabilistic proofs and trying to understand them better. Apparently, a common probabilistic proof focuses on the existence of expanders (eg. vertex expanders). I've been using the search ...
0
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0answers
92 views

Alternate proof for Caratheodory extension theorem

This question is on the intuition behind the Caratheodory definition of measurable sets as given in Billingsley. He motivates by saying that we "should" call a set $A$ measurable if $$P^*(A) + ...
6
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1answer
115 views

Does a Gaussian process shrink under a contraction map

Let $T \subset \mathbb R^n$, and assume it's a finite set if that helps. Consider the symmetric Gaussian process $(X_t)_{t\in T}$ defined by $X_t = \langle G, t\rangle$, where $G$ is a standard ...
3
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1answer
128 views

Regarding left-to-right minima

Let $\rho$ be a permutation on $[1,n]$ and $l_i$ be the number of left-to-right minima in $\rho_{i\ldots n}$, I know that for a random permutation $E[l_1] = H_n$ (the $n$-th Harmonic number) but is ...
1
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1answer
83 views

Balls from bin with replacement, distinct elements, concentration inequality

Draw $n$ numbers, denoted by $a_1, a_2, \ldots, a_n$, from set $[n]$, that is, for each $i$, $a_i$ is a uniformly random number from $[n]$. Let $A = \{a_1, a_2, \ldots, a_n\}$. Then $$ ...
3
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1answer
97 views

Create matrix containing values in [0,1] where sum of all diagonals and anti-diagonals is fixed

The problem I am facing sounds at first glance pretty simple. However, as very often, it seems more complicated than I first assumed: I want to calculate a matrix $P = (p_{j,k}) \in \mathbb{R}^{n ...
0
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1answer
121 views

Is the following “section-wise” defined function measurable in the product space?

I asked this question in mathstackexchange a couple of days ago. Almost right after posing it a partial (affirmative) answer came to my mind in the following form Proposition: Assume that ...
4
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2answers
215 views

First collision time of $n$ random walkers on a cycle

My question is somehow related to the one here First Collision Time for k Random Walkers on a Torus but, unfortunately, the answer does not cover my concern. My problem is: consider $n$ walkers on ...
11
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2answers
285 views

A measure on the space of probability measures

This question was originaly posted in the stackexchange https://math.stackexchange.com/questions/1226701/a-measure-on-the-space-of-probability-measures but since it only got a comment I decided to ...
1
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0answers
33 views

Equivalence of Graphical model selection algorithms

Suppose, a jointly Gaussian random vector is denoted by $X \in \mathbb{R}^{p}$ and $X$ has a distribution given by $\mathcal{N}(\mu,\Sigma)$. It is known that estimating the graphical model that ...
3
votes
1answer
110 views

General ballot theorem

I am looking for a version of the Ballot Theorem for general step distributions. Specifically, let $X_1,X_2,\ldots$ be i.i.d. real random variables with some distribution. Let $S_n = S_1 + \cdots + ...
4
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2answers
287 views

Expectation of Mahalanobis norm

Let $(g_i)_{i=1,...,d}$ sampled i.i.d. from a standard Gaussian, and $(\lambda_i)_{i=1,...,d}$ non-random s.t. $\max_i(\lambda_i)=1$ and $\lambda_i>0, \forall i$. I am looking for the expectation ...
7
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2answers
223 views

A moment problem

Suppose $X, Y$ are two positive random variables such that $\mathbb{E}[X^\alpha] = \mathbb{E}[Y^\alpha]$ for all $\alpha \in (0, 1/2)$. It is also known that the first moment exists for each of them, ...
6
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2answers
213 views

A variant of random walk

Standard random walk assumes a sequence of iid RVs $\{X_i\}_{i\geq 0}$ and studied the distribution of $S_n=\sum_{i=0}^n X_i$. Here, I am wondering whether there is some work on $T_n=\sum_{i=0}^n ...
10
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0answers
150 views

Self-avoiding random walks that always turn

I am wondering if the statistics of self-avoiding random lattice-walks on $\mathbb{Z}^2$ that turn left or right at each step (i.e., they cannot continue the direction of the preceding step) have been ...
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0answers
61 views

Bounding correlation between blocks of Gaussian stationary process

Let $X_n$ be a stationary Gaussian process with covariance function $\gamma(n)=\mathrm{Cov}[X(n),X(0)]$. Let $\mathbf{X}_p^q=(X_p,\ldots,X_q)$, $s_n^2=\mathrm{Var}(X_1+\ldots+X_n)$, and ...
2
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2answers
346 views

Primes as uncorrelated random variables [closed]

The heuristic justification section of the Wikipedia article about Goldbach's conjecture says that the argument that suggests that the number of twin primes below $x$ should be roughly ...
5
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0answers
175 views

Quadratic variation and predictable quadratic variation for martingales

Let $(M_{t})_{0\le t\le 1}$ be a continuous martingale with respect to the filtration $(\mathcal{F}_{t})_{0\le t\le 1}$. Assume that $E M_1^2<\infty$. Fix $N$ and consider now a discrete version ...
10
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4answers
620 views

Rate of convergence in the Law of Large Numbers

I'm working on a problem where I need information on the size of $E_n=|S_n-n\mu|$, where $S_n=X_1+\ldots+X_n$ is a sum of i.i.d. random variables and $\mu=\mathbb EX_1$. For this to make sense, the ...
48
votes
4answers
2k views

When has the Borel-Cantelli heuristic been wrong?

The Borel-Cantelli lemma is very frequently used to give a heuristic for whether or not certain statements in number theory are true. For example, it gives some evidence that there are finitely many ...
2
votes
1answer
144 views

Push-forward of sum of two maps

Let $X=R^n$ and $Y=R^m$ are two Euclidean spaces with $m<n$. Let $\varphi$ and $\phi$ are two (smooth) maps from $X$ to $Y$ and $\mu$ is a probability measure on $X$. Is there any relationship ...
4
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1answer
137 views

Area enclosed by Brownian motion (without winding number)

The question Average Value of Area Closed by Brownian Motion turned out to be about the Lévy area process, which measures "signed area with multiplicity" enclosed by Brownian motion (e.g. each ...
7
votes
1answer
122 views

Is there a Degenerate Dependency Local Lemma?

The Lovasz Local Lemma has several generalizations, with names usually starting with L, such as Lopsided or Lefthanded. Here I ask whether another possible generalization (for which I could not yet ...
3
votes
1answer
137 views

A Generalized Version of Maximal Correlation and Hypercontractivity of Conditional Expectation Operator

Given a pair of random variables $(X,Y)$ over a product space $\mathcal{X}\times \mathcal{Y}$, the maximal correlation coefficient is defined as ...
8
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1answer
289 views

Samuel Karlin's problem: Probability of positive solution to system of random linear equations

I came to know this problem from Dr. W. Bryc's slides (at University of Cincinnati), and I have been continually working on this problem for almost 5 days using different techniques. But I am only ...
2
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0answers
51 views

Bounds on number of distinct substrings

I have a table with $r$ rows of length $\ell$, with each cell containing a letter from an alphabet $A$ of length $a$. I'm trying to determine the expected number of distinct strings of length $k$ ...
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0answers
59 views

Mixture with varying concentrations

Let $(\Omega ,\mathcal F, \mathbb P)$ be a probability space and suppose $$\mathbb P(X \in A) = H(A) = \prod _{i=1}^m H_i(A),\quad \forall A\in \mathcal F$$ be a distribution of a random vector $X = ...
1
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1answer
246 views

Is there an analytic solution for this partial differential equation?

The Fokker-Planck equation for a probability distribution $P(\theta,t)$: \begin{align} \frac{\partial P(\theta,t)}{\partial ...
2
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4answers
317 views

Higher Moments, what are they good for? [closed]

Absolutely nothing? And now seriously - When I studied the basics of probability theory, and even in more advanced topics (random walks, stochastic processes, etc.), I always felt that the mean and ...
2
votes
1answer
151 views

Hitting probabilities for conditioned oriented random walk monotonic?

Consider an oriented random walk on $\mathbb Z^2$ (i.e. only steps $\rightarrow$ and $\uparrow$ with equal probability.) Say we let the walk go $2m$ steps then start guessing sites at distance $2m$ ...
2
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1answer
121 views

Criterion for weak convergence of probability measures on S' or D'

Let $X_n$ in $S'$ and $\mu_n$, $\mu$ in $M(S')$. $S'$ is the space of tempered distributions. I'm looking for a reference that says if $< f, X_n >$ converges in distribution to $< f,X>$ ...
2
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0answers
78 views

Implication of MGF inequality

Let X and Y be two random variables. Denote by $F_X(x)$ and $F_Y(y)$ their CDFs and by $M_X(t)$ and $M_Y(t)$ their MGFs. It is known that X and Y have the same CDF iff they have the same MGF. My ...