Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory.

learn more… | top users | synonyms (1)

2
votes
0answers
151 views

Must rows of a transition matrix be distinct?

Is it true that for all continuous time Markov processes on a countable state space $S$, we have all rows of the transition matrix $\mathbf{P}_t$ are distinct for all time $t\in[0,\infty)$ ? This ...
0
votes
0answers
5 views

Probability of disjoint cycles

Let $c_1,c_2\in S_n$ be two disjoint cycles of length $|c_1|$ and $|c_2|$ respectively. Let $I(c_i)$ be the coordinates on which permutation $c_i$ acts at $i\in\{1,2\}$. Note by choice we have ...
3
votes
0answers
58 views

Most visited vertex in a random walk with place dependent drift

Consider the following Markov chain on $\mathbb{Z}$: $$ P(x,x+1)=1-P(x,x-1)=\frac{1}{2}+e^{-|x|}\cdot \mathbf{1}_{\{x\neq 0\}} $$ Do there exist constants $c,C>0$ such that $$ c\cdot P^t(z,z) ...
1
vote
0answers
34 views

Are the elementary predictable processes dense in $L^2([M])$ for $M$ a local martingale?

The question is the one from the title. I know this is true when $M$ is an $L^2$ bounded martingale (which is often used in the classical approach to the construction of the stochastic integral) but ...
2
votes
0answers
110 views

Eigenvalue perturbation of a symmetric matrix by a random orthogonal projection

Given fixed real symmetric $D\in\mathbb{R}^{n\times n}$ with $n$ distinct eigenvalues, let $U$ be a random orthogonal matrix selected uniformly from the space of $n\times n$ orthogonal matrices, and ...
0
votes
3answers
73 views

Lower bounding the probability that a zero-mean sequence of random variables stays positive

Assume that $X_n$ is a sequence of a zero-mean and unit variance random variables (and maybe having density w.r.t. to Lebesgue). Can we conclude that $ P(X_n \in [0,R_n]) $ is bounded away from zero ...
-1
votes
2answers
173 views

Are the coefficients of a linear combination of random vectors as random?

Given are $2n$ random vectors $x_i,y_i\in\mathbb{C}^n$ for $i=1,\ldots,n$ which entries are drawn iid from some absolutely continuous distribution. Every set of $n$ different of those vectors is ...
2
votes
1answer
122 views

Functional limit theorem under random change of time

Given a Levy-Process $U_t$ (cadlag-paths) with $E(|U_t|)<\infty$ and finite variance and $Var(X_1)=\sigma^{2}$ for which the limit theorem holds: \begin{align} ...
3
votes
0answers
72 views

An inequality involving conditional variance and its connection to information theory

Given absolutely continuous random variables $(X, Y)$ with joint distribution $P_{XY}$, we construct $Z:=\sqrt{\gamma} Y+N_\mathsf{G}$ where $N_\mathsf{G}\sim N(0, 1)$ and is independent of $(X,Y)$ ...
1
vote
1answer
102 views

Dependent Bernoulli sequence for which the strong law fails to hold

Background: The strong law of large numbers (SLLN) is a powerful result in probability, and there has been extensive literature on when the SLLN holds. However, constructing nontrivial examples for ...
1
vote
1answer
67 views

Upper tail concentration of sample covariance matrices

I'm interested in concentration of the following random matrix sum in spectral norm $\frac{1}{m}\sum_{k=1}^m b_k^2\mathbf{a}_k\mathbf{a}_k^*$ Here $\mathbf{a}_k\in\mathbb{R}^n$ are i.i.d. standard ...
3
votes
1answer
166 views

Expected visits to the origin by a symmetric random walk on the integers

Consider the first $2n$ steps of a simple random walk on the integers, starting at the origin. A simple binomial argument shows that regardless of $n$, the origin gets visited the most (in ...
3
votes
2answers
116 views

Extreme couplings

Let $X,Y$ be Polish spaces, and $\mu$ and $\nu$ are probability measures on $X$ and $Y$ respectively. We say that $M$ is a coupling of $\mu$ and $\nu$ if it is a probability measure on $X\times Y$, ...
1
vote
0answers
62 views

Concentration of the quotient of random variables

Let $X_1, X_2, \cdots, X_n$ be n i.i.d. standard Gaussian random variables. It is clear that we can describe the concentration of $\sum_{i=1}^n \alpha_i X_i$, and $\sum_{i=1}^n \alpha_i X_i^2$ ...
0
votes
0answers
29 views

Sufficient moment conditions to make $E[\sup_n |X_n|]< \infty$ for Markov process $X_n$

Is there any Markov process $X_n$ for which we can impose sufficient moment condition which will imply $E[\sup_n |X_n|]< \infty$
3
votes
1answer
167 views

Solving recursion / finding generating function of a probability mass function

I am assessing the probability distribution on a running time of some algorithm that we've developed. I am looking for a family of probability mass functions $f_n$ with the following recurrence: $$ ...
2
votes
2answers
121 views

Difference between maxima of random variables

Given four independent, identically distributed Gaussian random variables with zero mean and unit variance $x_1$, $x_2$, $y_1$, $y_2$, consider \begin{equation} u \equiv \max(x_1+C\, y_1, x_2+C \, ...
0
votes
0answers
32 views

Strong Markov vector-valued process from component strong Markov process and independence

I want to prove that if $X$ and $Y$ are (continuous time) independent strong markov $\mathbb{R}$-valued processes w.r.t. their natural filtrations $\mathcal{F}^X_t$ and $\mathcal{F}^Y_t$, that the ...
3
votes
1answer
128 views

Moment matching on the standard simplex

Let $\vec{\mu}_1, \vec{\mu}_2,\ldots, \vec{\mu}_k \in \Delta^{d-1}$ be $k\ (k\geq 2)$ distinct vectors on the standard simplex, where $$\Delta^{d-1} = \{\vec{\mu}\in R^{d}:\| \vec{\mu}\|_1 = 1,\mu_j ...
1
vote
0answers
46 views

Expected number of forward jumps to reach a given quantile of a rv [closed]

I'm a noob in randomized algorithm and ran into a problem(definitely not home work. I'm doing a self study out of my interest with help of my friends. I'm pursuing research career in a machine ...
3
votes
1answer
102 views

Learn a distribution from distributions on samples

There's many good ways to learn a distribution $p_X$ of an r.v. $X$ over $k$ symbols given many i.i.d. samples $X_1,\ldots, X_n$. The simplest is to use the sample relative frequencies $\hat{f}_X$ as ...
1
vote
0answers
45 views

Stochastic Ordering of Negative Binomial-like Distributions

Please forgive me if this is not precise enough to post here. Simply ask me to remove it if it is not suitable. I am new here. I am bounding the running time of an algorithm as a random variable $X$ ...
0
votes
0answers
85 views

Bounds on Wasserstein (Kantorovich) distance

Let $X$ be a Polish space endowed with a bounded metric $\rho_X$. Let $\mu, \mu'$ be two probability measures, and $\kappa, \kappa'$ be two stochastic kernels on $X$. Assume that $\kappa, \kappa'$ are ...
2
votes
0answers
608 views

What's the probability distribution of a deterministic signal or how to marginalize dynamical systems? (functional integrals in probability theory)

In many signal processing calculations, the (prior) probability distribution of the theoretical signal (not the signal + noise) is required. In random signal theory, this distribution is typically a ...
3
votes
0answers
71 views

How does Jensen Shannon divergence and KL divergence correlate?

I am wondering if there is way to derive the correlation between Jensen Shannon divergence and KL divergence for two distributions: P and Q, in order to show that if JSD(P,Q) decreases, KLD(P,Q) ...
0
votes
0answers
67 views

Refined versions of Azuma's inequality

Is there any version of Azuma's inequality where the bound $c_k$ as mentioned in https://en.wikipedia.org/wiki/Azuma's_inequality comes in the numerator of the fraction in the negative expoential.
2
votes
1answer
95 views

An Inequality Regarding the Squared Conditional Variance

Given absolutely continuous random variables $(X, Y)$ with joint distribution $P_{XY}$, we construct $Z:=\sqrt{\gamma} Y+N_\mathsf{G}$ where $N_\mathsf{G}\sim N(0, 1)$ and is independent of $(X,Y)$. ...
6
votes
0answers
95 views

Extreme unitary minimal models of conformal field theory

Some of the best understood conformal field theories are the 2D unitary minimal models $\mathcal{M}(m+1,m)$ indexed by the integer $m\ge 2$ and with central charge $$ c=1-\frac{6}{m(m+1)}\ . $$ I ...
2
votes
0answers
68 views

Factors between IID on trees: what about the useless information?

Let $p \in (0,1)$. Take $E$ to be the edge set of the trivalent tree $T$, and $G$ to be the automorphism group of $T$. Let $f$ be any $G$-equivariant map from the measure space $([0,1]^E, ...
8
votes
1answer
275 views

Berry-Esseen bound for martingale sequence with varying and dependent variances

Let $(X_{1},\ldots,X_{k},\ldots)$ be a martingale difference sequence, i.e. $$ E[X_{k}|\mathcal{F}_{k-1}] = 0 $$ where $\mathcal{F}_{k-1}$ is the $\sigma$-algebra filtration at $k-1$. Let ...
2
votes
1answer
98 views

Random Walk 2D with dependent weights [closed]

I have spent a lot of time trying to solve this problem but have had no luck so far! Any help would be highly appreciated! Suppose I have a 3x3 grid as shown below. (3,1) (3,2) (3,3) (2,1) (2,2) ...
1
vote
0answers
73 views

Increase mutual information for binary symmetric channel

I have a question about increasing mutual information for the binary channel. Assuming there is an independently $K$ dimensional binary source signal denoted by $X=[X_1, X_2, \cdots, X_K]$, a parallel ...
0
votes
2answers
109 views

Different inner products for vector spaces of random variables

The inner product that appears in most books on probability is the covariance $\langle X,Y \rangle = E[XY]$ (considering that $X$ and $Y$ are zero mean real random variables). Are there other inner ...
1
vote
0answers
113 views

Interchanging integrals and continuous linear forms in RKHS

I am reading Reproducing kernel Hilbert spaces in probability and statistics by A Berlinet, C Thomas-Agnan. In Chapter 5 INTEGRATION OF $\mathcal{H}$-VALUED RANDOM VARIABLES they write One of the ...
0
votes
0answers
64 views

Proof of variance in wishart distribution

I wanna to prove the variance of wishart distribution, first a brief description of wishart distribution, how can i proof it? I wrote a solution but the result is not correct, please help me to fix ...
1
vote
0answers
130 views

A weighted ergodic average

According to my simulations, it looks like the number of times that the $N$ first iterates $u_0$, $\ldots$, $u_{N-1}$ of the sequence $(u_n)$ defined here meets an interval $I$ is close to $N|I|$ ...
3
votes
1answer
93 views

expected value of multiplication of matrices

I start with background and then ask my question, background is a brief description of wishart distribution. Background The Wishart distribution with $\nu$ degrees of freedom and positive definite ...
0
votes
0answers
51 views

Maximal inequality for Markov process

For a Markov process $\{X_n\}$ is there any inequality available for $$ E[\sup_{0 \leq n \leq k} X_{n}]$$ in terms of moments of $E[X_n], 0 \leq n \leq k$
1
vote
1answer
95 views

Do there exist random variables that force transitivity of dependence? [closed]

In general, statistical dependence is not transitive. If $Y$ and $X_{1}$ are dependent, and $Y$ and $X_{2}$ are dependent, then $X_{1}$ and $X_{2}$ are NOT necessarily dependent. However, in some ...
3
votes
1answer
86 views

How to show monotonocity and the limit? [closed]

Let me reformulate my recent question. Let $n, N$ denote density and cdf of Gaussian distribution. Let us consider its modification, given by density: $$\phi(x) = C\left\{ \begin{array}{lcc} ...
1
vote
1answer
137 views

Probability of covering a set

Suppose we have a set of $N$ numbers. At any given trial we can randomly choose $N^{1-a}$ of the numbers where $a\in(0,1)$. We replace the numbers back. How many trials does it take in average case ...
3
votes
1answer
162 views

What's the best betting strategy to double money if we have $\delta$ advantage?

Suppose that I am very skilled in a gambling game, and any day that I bet $x$, I get back $2x$ with probability $\frac 12+\delta$ (and nothing with probability $\frac 12-\delta$). My goal is to double ...
0
votes
0answers
22 views

Characterisation of non-Gaussian stationary stochastic processes via auto-correlation functions

It is well-known that a centred stationary Gaussian stochastic process is characterised up to equivalence by its autocorrelation function. Wiener, in his Time Series, makes the off-hand remark that ...
0
votes
0answers
25 views

Unidirectional continuous path discrete time random walk

Is there any material available to study on unidirectional continuous path discrete time random walk on a line interval. To say "unidirectional continuous path discrete time random walk on a line ...
2
votes
0answers
99 views

Infinite total variation of complex measure in Feynman path integral [closed]

I am trying to understand this: If one tries to define a Feynman path integral as a Wiener integral, then the complex measure could be of infinite total variation. What exactly does this mean? How ...
9
votes
11answers
1k views

What are fun elementary subjects in probability?

I have to read several lectures on probability or applications of probability for high school students (of high level). There is no necessary part I must lecture, that is, my aim is just ...
1
vote
0answers
56 views

Markov Chains and Simple Machine Learning [closed]

Suppose I have a large training set consisting of many strings of symbols. $TS = \{Str_0, Str_1, ..., Str_n\}$ $Str_i = \{Sym_0 ... Sym_{len}\}$ These strings of symbols are each generated by the ...
0
votes
0answers
57 views

CLT for sums of an infinite sequence of rv with an asymptotic distribution

Excuse me if the question is ill-posed. I'll do my best to explain the problem.I have a vector $(x^{(n)}_1, x^{(n)}_2, \ldots x^{(n)}_n),$ whose individual components can be shown to be asymptotically ...
1
vote
2answers
121 views

Probability of at most $K$ consecutive zeroes in a sequence of 0s and 1s [closed]

I want to prove that in a sequence W of length n, consisting of 1s and 0s, $P$( in $W$ there is at most $\frac{\log_2n}2$ consecutive zeroes ) $\leq \frac{K}{n} $ for some constant K. Can anyone ...
3
votes
1answer
67 views

Converging to moments obeying Carleman's condition

I believe that the following is true, and I'd like to make sure that it is and to have a reference. Suppose that $\mu_N$ are a sequence of measures on $\mathbb{R}$. Let $m_{N,k}$ be the $k$-th ...