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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The (infinite) invariant measure of an SPDE

Consider a 1-dimensional stochastic heat equation on $[0, 1]$, with boundary conditions of Neumann's type: \begin{equation}\left\{ \begin{aligned} &\partial_t u(t, x) = \frac{1}{2}\partial_x^2 u(...
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77 views

Distribution of Random Knots from Braids

Let $R_{2n,l}$ be a random braid word of length $l$, where each letter is chosen uniformly from the braid generators of $B_{2n}$, $\{\sigma_1,\ldots,\sigma_{2n-1},\sigma_1^{-1},\ldots,\sigma_{2n-1}^{-...
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1answer
84 views

Probability Brownian motion lies between $2$ functions

Suppose $a_j \in \mathbb{R}$, $b_j \ge 0$, and $0 = t_0 < t_1 < \ldots < t_J$ are time points. Let $W_t$ be a standard Brownian motion. Is it possible to further simplify the expression \...
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127 views

concentration of functions of Gaussian processes

Let $\mathcal{C}\in\mathbb{R}^n$ be a subset of the unit ball. Also let $\mathbf{a}_1,\mathbf{a}_2,\ldots,\mathbf{a}_m\in\mathbb{R}^n$ be i.i.d. random Gaussian vectors $\mathcal{N}(\mathbf{0},\mathbf{...
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121 views

What is the stationary distribution for the contact process on the half line?

The contact process is a well-studied Markov process. I'm just concerned with the one-dimensional nearest-neighbor version here. The state space is $\eta\in\{0,1\}^\mathbb Z$, and for state $\eta$ at ...
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72 views

Computing transition operators for Markov processes

Is there a way to compute transition operators for Markov processes? To ask something much more tractable, suppose I have an Ito diffusion $$dX_t \ = \ \sigma(X_t) dB_t \ + \ b(X_t) dt$$ (or given by ...
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45 views

Karhunen-Loeve expansion convergence rate for Gaussian Proccess

Consider A Gaussian Procces $X(t):\mathbb{R}\times \Omega \to \mathbb{R}$ with $\Omega$ a probability space and $\mathbb{E} \left[ X_t \right] = 0$ for all $t\in \mathbb{R}$. Consider also its KL ...
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48 views

Posterior consistency of non linear model

This is possibly a reference request. Let $G$ : $\mathbb{R}^p \to \mathbb{R}^q$ be a continuous injective/bijective function. Let $\mu$(we may also assume this to be a non degenerate Gaussian) be ...
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245 views

Number of subsets that sum to $0$

Suppose you choose $n$ distinct random numbers from a contiguous subset of cardinality $f({\beta, n})$ with at least $f({\alpha_+, n})$ positive and at least $f({\alpha_-, n})$ negative values from a ...
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307 views

Inequalities for marginals of distribution on hyperplane

Let $H = \{ (a,b,c) \in \mathbb{Z}_{\geq 0}^3 : a+b+c=n \}$. If we have a probability distribution on $H$, we can take its marginals onto the $a$, $b$ and $c$ variables and obtain three probability ...
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150 views

Roughly equal number of swimmers in teams

$b^2$ swimmers are to be put into one of the teams $1,2,\dots,b$. A team $i$ has a value function $f_i$, so that if they get swimmer $k$, they get value $f_i(k)$. The value $f_i(k)$ is randomized ...
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59 views

Capacity of two disks

Is there an explicit formula for the (logarithmic) capacity of a union of two disjoint disks? As far as I understand, one can assume without loss of generality that the disks have the same radii (...
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127 views

Gaussian Integrals and Pseudo-Anosov Maps

The hep-th section of arXiv if often filled with beautiful semi-rigorous computations on Mathematics. However sometimes it is very difficult to understand what is being stated. Here I take from: ...
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3answers
185 views

A question about intuition of fluid limit in queuing system

This is a question about intuition in understanding the fluid limit queuing system. Assume we have a sequence of queuing systems $\{S^N\}_{N=1}^{\infty}$ with N servers and each server has unit ...
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76 views

Derandomizing AP existence in $A\subseteq \{1,\ldots,N\}$ for $\delta(A) \geq 1/k$

In the answer to the mathoverflow question here, it was established that if we let $p$ be the probability of including point $v$ in $A\subseteq \{1,\ldots,N\}$ and this is done independently for all ...
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199 views

Show that $SL_2(\mathbb{F}_p)$ is quasi-random

Terry Tao gives this oblique definition of quasirandom group in his notes 3 $G$ is quasi-random (of order $D$) if all non-trivial unitary representations $\rho: G \to U(H)$ have dimension at ...
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94 views

Finding the right σ-algebra. Question on uncertainty related to the secretary problem

Assume a number of iid. items is presented and the task was to stop under the objective of picking the best item. In this setting it is relevant what is the distribution of the values of the ...
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48 views

A generalization of negative binomial distribution

Assume we have a set of n balls. For each step, we uniformly pick one ball and label it if it is not labeled. Or otherwise move on to next step. I am wondering what is the distribution of number of ...
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1answer
150 views

Ask for a special function related to the error function

I am wondering whether anyone knows the following integration has a named special function or a reference $$ F_{a,b}(z) :=\frac{2}{\sqrt{\pi}} \int_0^z \text{erf}(a+b y)\: e^{-y^2} \text{d}y $$ for ...
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1answer
49 views

Conditioned sum of n Poissons versus unconditioned Poissons

Let $\theta >1$ and take independent random variables $Z_k \sim \text{Poisson}(\theta/k)$ for $1 \leq k \leq n$ and let $Z_k^*$ have marginals like the $Z_k$ conditioned on $\sum_1^n k Z_k = n$: $$\...
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165 views

Transition semigroup of Ito diffusion on $L^2(\mathbb{R})$

I am considering the transition semigroup $P_t$ associated with the Ito diffusion process $$dX_t=b(X_t)dt+\sigma(X_t)dB_t,$$ where the coefficients are assumed to be Lipschitz continuous. I hope to ...
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106 views

Zero-one law in binomial random graph model $G(n,p)$

Consider the binomial random graph model $G(n,p)$ with $0<p<1$. We say that $G(n,p)$ satisfies the Zero-One law if for every first order property $Q$ one has $\lim\limits_{n \rightarrow \infty} ...
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301 views

Distributional equation X+Y=2X

Let $X$ be a positive real-valued random variable. Let $Y$ be an independent copy of $X$ and assume that the equality $X+Y=2X$ holds in distribution. Does this imply that $X$ is constant?
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A probability question related to combinatoric problem

I am trying to solve a combinatoric problem. The problem is the following: There are A,B,C three types of people. There are totally N people arriving sequentially and make a choice between two boxes X ...
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40 views

Where can I find this article of Doléans-Dade?

I need to find the article "Intégrales stochastiques dépendant d’un paramètre" by Doléans-Dade. I could not find a pdf version online, and my university library does not have a printed version. Thank ...
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1answer
158 views

Range of random walk

I have a random walk on $\mathbb{Z}$ with starting point $0$ and with length $n$ and possible steps to right, left or stay where you are, all with the same probabilities. I am interested in exact ...
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24 views

is any closed form relation that can state the error probability of code versus its variable and check node degree distributions?

In Low Density parity check code design, when bit (or frame) error probability of code is the objective of the design, we need a closed form relation between error probably (or even an approximate or ...
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1answer
120 views

Convexity of truncated expectation

Let $k, n$ be two positive integers with $k \leq n$, and let $P = \{ (x_1, \dots, x_n) \in [0, 1]^n : \sum_i x_i = k \}$. Given $x = (x_1, x_2, \dots, x_n) \in P$, let $X_i$ be the random variable ...
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50 views

Matrix concentration inequality

Let $X \in \mathbb{R}^{n \times d}$ be a fixed matrix and $W \in \mathbb{R}^{n \times d}$ be a random matrix with elements $w_{ij} = x_{ij} + \epsilon_{ij}$, where $\epsilon_{ij}$ are iid subgaussian ...
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20 views

Explicit u-excessive function

Let $E$ be $\mathbb{R}^d$ for $d\geq 1$. Let $A \subset E$. Let $X$ be a Feller process en $E$, and let $L$ be its infinitesimal generator. I want to prove that $A$ is absorbing. I know that it is ...
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145 views

Hadamard product (Schur product) in $L^2[0,1]$

Let's consider the separable Hilbert space $\mathcal{H} = L^2[0,1]$ of square-integrable functions on the interval $[0,1]$ with orthonormal basis $(e_j)$. For $x,y \in \mathcal{H}$, the Hadamard ...
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174 views

Is there a rate of convergence for Donsker's theorem?

For the standard CLT, one can easily estimate a rate of convergence if you assume that the random variables have a little more than two moments. Let $S_n$ be the centered-scaled sum of $n$ iid ...
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27 views

Feller property for Ito diffusion with Lipschitz coefficients

Consider the following Ito diffusion $X_t$ satisfying $$dX_t=b(X_t)dt+\sigma(X_t)dB_t,\quad X_0=x\in \mathbb{R}^n,$$ with Lipschitz coefficients $b,\sigma$. It can be shown that if $g$ is bounded ...
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374 views

Why does the overhand shuffle converge to the uniform distribution on $S_n$?

Pemantle 1989 proves, among other things, that the Markov chain on $S_n$ induced by repeatedly and independently performing an overhand shuffle on a deck of $n$ cards is ergodic and has limiting ...
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132 views

markov processes and ergodic theory

For an ergodic Markov Chain $$ \frac{1}{N}\sum_{i=1}^n f(X_i) \rightarrow E_\pi[f] $$ where $\pi$ is the invariant distribution. I am also dealing with a Markovian process (a state space model to ...
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2answers
124 views

Probability of no $k$ 1's in arithmetic progression in binary sequence of length $n$

It is well known [it's on Wolfram Mathworld, for example] that the probability of no runs of $k$ consecutive $1$'s will occur in a $\{0,1\}$-valued sequence of length $n$ is exactly equal to $$\frac{F^...
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1answer
127 views

What is the relationship between $E(X\mid\mathcal{A})$ and $E(X\mid A)$?

This question seems obvious, but not sure how to prove it. Let $\mathcal{A}$ be a $\sigma$-algebra, and $X$ be a random variable. Suppose $E(X\mid A)\le1$ for any $A\in\mathcal{A}$, can we conclude ...
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137 views

Difficulty with a formula for a probability related to card shuffling

I've been reading this article on the overhand shuffle. In it the author uses a simplied mathematical model of the shuffle: Pemantle’s model for the overhand shuffle is parameterized by a ...
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205 views

Is this simple-looking moment inequality true?

Let $p \ge 1$ be an integer. Does there exist a constant $C_p$ such that for every random variable $X \ge 0$, $$ \mathbb{E} \left[ \left(X - \mathbb{E} \left[ X \right] \right)^{2p} \right] \le C_p \...
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72 views

formula for density of maximal Poisson disk sampling of radius 1?

Maximal Poisson disk sampling of radius r, applied to a finite planar region, is defined by successively choosing sample points uniformly randomly from the part of the region that is not within ...
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97 views

Probability of existence of a base in the span of sparse vectors in GF(2)

For $i=1,2,\dots,l$, let $\mathbf{v}_i =(v_{i1},v_{i2},\dots,v_{in}) \in \mathbb{F}_2^n$ be a sparse vector in GF(2) such that all $v_{ij}$'s are independent for all $1 \le i \le l, 1 \le j \le n$ and ...
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Existence of probability distribution satisfying upper/lower bounds on events

Suppose we have a finite sample space $S$ and some events $A_1, \dots, A_k \subseteq S$. We would like to put a probability distribution on $S$ so that no element has probability greater than a ...
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40 views

Prokhorov convergence of Gaussian measures

Consider a Hilbert space $\mathcal{H}$ and a sequence of centered Gaussian measures $\mu_n$ on it. The covariance operators of $\mu_n$ are defined via their eigenpair(eigenbasis and eigenvalue)) as ...
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183 views

Convergence of an implicitly defined sequence of random variables

Let $\{X_n\}_{n\ge 1}$ be a sequence of independent identically distributed Poisson random variables with mean $\lambda^*$. Consider a sequence of random variables $\{\hat{\lambda}_{n}\}_{n\ge 1}$ ...
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450 views

What is the expected value of an N-dim vector of uniform randoms that sum to 1 which have been sorted into descending order?

What is the expected value of an N-dimensional vector of uniformly distributed random numbers which sum to 1 and have been sorted in descending order? Here is the algorithm for drawing a sample from ...
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123 views

Can samples be compressed?

The Fisher information of a random variable $Y$ about a parameter $\theta$ upon which the probability of $Y$ depends is: $\mathcal{I}_Y(\theta)= -E\left[\left.\strut \frac{\partial^2}{\partial \theta^...
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56 views

Concentration of U-statistics for exchangable distributions (and the unbounded case)

Consider the following so-called $U$-statistic of order 2: $$U = \frac1{\binom{m}{2}} \sum_{i < j} h(w_i,w_j)$$ where $w_1,\dots,w_m$ are IID from some distribution and $h$ is symmetric. If $|h(w_1,...
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The role of absolute continuity in stochastic ordering defined over sets of probability distributions

This question is about a claim given in this paper (page 261, the remark), but without any proof. It simply says that if two sets of probability distributions, $\mathscr{P}_0$ and $\mathscr{P}_1$ (...
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223 views

What is an upper bound for $|E(X|\mathcal{A})-E(X)|$?

Let $X$ be a random variable with $|X|\le1$, and $\mathcal{A}$ be a $\sigma$-algebra. What is an upper bound for $|E(X|\mathcal{A})-E(X)|$? Existing results: It has been known that $E|E(X|\mathcal{A}...
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1answer
124 views

Solving algebraic recurrence relations on a cyclic graph

I have a set of $n$ variables $p_1, \ldots p_n$ with $0 \leq p_i \leq 1$ and a defining equation for each of one of the forms: $p_i = 0$. $p_i = 1$ $p_i = p_j p_k$ for some $j, k$ with $i, j, k$ all ...