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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2
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1answer
125 views

Inequality for the tail of normal distribution function

Let $ Ф(x) = \frac{1}{\sqrt{2\pi}} \int_{-\infty}^{x} e^{-t^2/2} \, dt $ be the cumulative distribution function of the standard normal distribution. Numerical calculations suggest the following ...
3
votes
0answers
79 views

Concentration of weighted random chirp

I'm interested in seeing whether the following is true. Assume $u$ is uniform on $[0,1]$. For a fixed $x\in\mathbb{C}^n$ with $\|x\|_{2}=1$ we have \begin{align*} ...
4
votes
2answers
181 views

Brownian motion and hitting a Quadrilateral

I want to compute the hitting probability of a bounded plane by a Brownian motion starting at the origin. In other words, given the coordinates of a quadrilateral A , can we compute ...
1
vote
1answer
159 views

Finding loops and double edges ASAP in configuration model random graph

A common approach (at least in theory) to generating a random $n$ vertex graph uniformly subject to having a given (feasible) degree sequence $(d_i)_{i = 1}^n$ is to use the configuration model, i.e. ...
0
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0answers
215 views

Morphisms associated to measured spaces [duplicate]

In a previous discussion (von neumann algebras and measurable spaces), the connexion between von Neumann algebras and localized measured spaces was clarified. I would like to have a category theory ...
1
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1answer
140 views

Reference question: Brownian motion and surface area

I am doing research on the hitting probability of various sets (eg. 3D convex) and specifically how changes in perimeter/surface area change the hitting probability. By hitting probability I mean ...
1
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0answers
88 views

$\epsilon$-covering number of a set of rank-2 matrices

Suppose that two unit-norm vectors $\boldsymbol{a}\in \mathbb{R}^m$ and $\boldsymbol{b}\in\mathbb{R}^n$ are given with $m\leq n$. Furthermore, let $\boldsymbol{F}_{m,n}$ denote the first $m$ rows of ...
1
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0answers
55 views

An upper bound for the growth of a Galton-Watson tree with binomial offspring distribution

Consider a Galton-Watson tree with offspring distribution $\text{B}(n,p)$, for some constant $n$ and $p$. Let $a_i$ denote the number of vertices on the $i$'th level of the tree. It then holds that: ...
5
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0answers
87 views

Stationary point processes with arbitrarily slow decorrelation

A point process $P$ (a probability measure on simple, locally finite point configurations $\mathcal{C}$ on $\mathbb{R}$ - I'm restricting to the one-dimensional setting) is stationary when ...
3
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1answer
112 views

Two matrix Fisher distributions on SO(3)?

After the uniform distribution (normalized Haar measure), the matrix Fisher distribution seems to be the most popular probability distribution on the Lie group SO(3). The density is proportional to ...
3
votes
1answer
113 views

Uniformly permutation and the length of a size biased cycle

The cycle containing $1$ of a uniform permutation has length which is uniformly distributed. I was wondering if the converse is true: Suppose $\sigma$ is a permutation on $\{1,\dots,n\}$ and let ...
9
votes
1answer
221 views

A random variation on Polya's orchard problem

Polya's orchard problem is as follows: "How thick must the trunks of the trees in a regularly spaced circular orchard grow if they are to block completely the view from the center?" See, ...
9
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207 views

First passage percolation on a random geometric graph in the large connectivity limit

Let $V_\rho\subset\mathbb{R}^2$ be a point set in the plane obtained from a Poisson process of density $\rho$. The random geometric graph $G_\rho$ is obtained from $V_\rho$ by connecting points that ...
1
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0answers
136 views

Girsanov theorem with Geometric Brownian Motion

I am not a student in mathematics, but I am trying to use the following Theorem 8.6.6 (Girsanov theorem II) of Oksendal's SDE with geometric Brownian motion $S_{t}$ instead of the standard Brownian ...
0
votes
1answer
93 views

Behavior of the integral of products of probability densities

Assume $z \in \mathbb{R}^m$ and $x \in \mathbb{R}^n$. Assume we have proper density function $P(z)$ and proper conditional density function $P(x|z)$. We give the definition $$ T(x_1,\ldots,x_n) := ...
1
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0answers
68 views

Conditional probabilities in epidemic model

I was contemplating an epidemic model where infection and recovery rates are determined by links. Here node $i$ is infected first and recovers at a rate $\mu_i$. For all other nodes, the recovery is ...
2
votes
0answers
86 views

“Direct” proof (without hypercontractivity) of equivalence of moments?

Let $(x_i)_{i \in \mathbb{N}}$ be a family of independent $\pm 1$ centered Bernoulli random variables, and let $p, q > 1$. There exists a constant C such that for every (finite) linear combination ...
1
vote
1answer
123 views

Estimating the volume of a union of balls

Let $\{ B_i \}_{i=1}^n$ be a set of $n$ ball in the unit cube $C$ of dimension $d$. If I want to estimate $$ \frac{ \lambda \left( \cup B_i \right) }{\lambda\left( C \right) }, \tag{1} $$ where ...
12
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0answers
485 views

When does $Pr[vr_i=ur_i\mid \forall j < i: vr_j=ur_j] =O( 1/\sqrt n)$?

In A conjecture about the entropy of matrix vector products I asked a conjecture relating to the entropy of a matrix-vector product. This conjecture is as yet unproven. domotorp then made another ...
0
votes
0answers
85 views

An inequality for moments of a random variable

I'm interested in a class C of $R^1$-valued random variables $\xi$ which satisfy an inequality of the type $$ (1) \qquad E|\xi|^p \leq F(E|\xi|^2), $$ where $p>2$, $F$ is a certain ...
5
votes
0answers
129 views

Operator connected with Hermite polynomials

For $n \geq 1$, define the following operator $M_n$ on the ring of all polynomials with real coefficients. $$M_n P(x) = nP(x)^2 - x \int_0^x (P'(t))^2 \, \mathrm{d}t$$ Monomials $x^k$ are mapped to $n ...
1
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2answers
141 views

A special class of random variables

I'm interested in classes C of $R^1$-valued random variables which possess the following properties: 1) the sum of two independent random variables from class C belongs to class C; 2) for any ...
0
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0answers
59 views

Maximizing the “uniformity” of a probability measure, with constraints, via path length minimization

Background I want to find a probability measure for a continuous random variable, subject to moment constraints, that is maximally "uniform", as defined below: Definition: Maximally Uniform ...
5
votes
1answer
201 views

How to check if a symmetric random variables is the difference of two iid symmetric random variables

I have the continuous symmetric random variable $X$ in $\mathbb{R}$. If I know its distribution function $F(x)$ what are the conditions on $F(x)$ so that $X=Y_1 - Y_2$ where $Y_i$ are also iid ...
2
votes
2answers
220 views

Gaussian expectation of an exponentiated outer product

Given a normal random column vector $\mathbf{x} \sim N(\mu, \Sigma)$, I need the expectation, $$ E\left[ \exp(\mathbf{xx}^\top)\right]$$ where $\exp(\cdot)$ is element-wise exponential function (not ...
5
votes
3answers
214 views

Estimating the Variance of a Discrete Normal Distribution

Let $f(x; \sigma) = \frac{1}{\sigma\sqrt{2\pi}}\cdot e^{-\frac{x^2}{2\sigma^2}}$ be the probability density function of a normal distribution $\mathcal{N}(0, \sigma^2)$. We consider a discrete normal ...
1
vote
1answer
78 views

Minimum of Random Energy Model (REM) with logarithmically correlated potential

In the paper [FB] (ArXiv, J. Phys. A), the authors analyse a particular Random Energy Model (REM) with logarithmically correlated potential and conjecture in Eq. (2) that the distribution function of ...
3
votes
1answer
88 views

Regularity of finite variation kernels in the (intersection) of the semimartingale spaces $H^p$

Suppose you have a continuous semimartingale $S_t=M_t + A_t$ where $A_t$ is the continuous finite variation part which has the form $A_t = \int_0^t b_s \, \mathrm{d} s$, where $\int_0^{\infty} |b_s| ...
3
votes
1answer
120 views

Stochastic integration by parts to obtain Kailath Segall identity for iterated stochastic integrals?

If $(M_t)_{t \geq 0}$ is a continuous local martingale, one can define the iterated integrals $I_0=1$, $I_1(t)=M_t$ and for $n \geq 2$ $$I_{n}(t) = \int_0^t I_{n-1} (s) \mathrm{d} M_s.$$ By noting ...
4
votes
1answer
217 views

Birkhoff Ergodic Theorem and Ergodic Decomposition Theorem for Continuous-Time Markov Processes

I have a couple of questions regarding ergodicity for Markov processes in continuous time. (In particular, the first question seems like it should be particularly basic, and yet I haven't managed to ...
10
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0answers
256 views

Steady state expectation of dynamic system of urns & balls

We have a large number of urns $N+1$. (Large means that the relative difference between $N$ and $N+1$ is well within the error bounds that I care about. The reason for the $+1$ will be apparent ...
1
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0answers
65 views

Quadrilaterals from a Unit Stick

This question could be seen as a coordinate-free variant of Sylvester's Four Point Problem (cf e.g. http://mathworld.wolfram.com/SylvestersFour-PointProblem.html): Suppose one are given an ...
3
votes
1answer
146 views

Stability of convergence in distribution under randomization

Suppose you have a sequence of non-negative stochastic processes $(X^n)_{t \in \mathbb{R}}$, $n \geq 1$, with continuous paths and continuous in $t$ such that $$\int_{-\infty}^{\infty} X^n_t \, ...
3
votes
1answer
145 views

Can't figure out “standard application” of the Garsia-Rodemich-Rumsey Lemma

I'm currently reading the paper http://arxiv.org/abs/0908.2473 and can't figure out what they call a "standard application" of the Garsia-Rodemich-Rumsey lemma (see p.8). Summed up, they have a ...
4
votes
0answers
148 views

Sum of a random number of identically distributed but dependent random variables?

Background Let $X_t$ be the continuous time Markov process on the state space {Working, Broken} with failure rate $\alpha$ and repair rate $\beta$. By elementary calculations [1] $$ \begin{align*} ...
2
votes
1answer
254 views

Measure concentration for law of large numbers

The classical law of large numbers states that $$\frac1k\sum_{i=1}^k X_i \rightarrow \mathbb{E} X_1$$ for i.i.d. $X_1, X_2, \ldots$ with finite $L^1$ norm. I was wondering whether is it possible to ...
0
votes
1answer
83 views

Probability of k overlapping subsets in N trials

Ok, here is what I am attempting to find an answer to: I draw M uniformly random subsets of size K from the set of numbers $\Omega=\{1, \dots, N\}$ (where uniformly random means that each unique ...
2
votes
3answers
124 views

Conformal invariance of Brownian motion in higher dimensions

We know for planar Brownian motion, that conformal maps composed with Brownian motion are also Brownian motion (preserve distribution). Does it follow for higher dimensions? I think it follows for ...
2
votes
0answers
51 views

Almost sure transversality of smooth random maps

I still am novice as far as probability is concerned and after fruitlessly Googling for an answer for a few days I thought I might have a better chance with MO. Let me first formulate the ...
0
votes
1answer
105 views

Residual lifetime of heavy-tailed random variable

The residual life time distribution of a random variable $X$ with distribution function $F$ is given by the formula \begin{equation}R(t)=P[X_\text{res}\leq t] = ...
0
votes
0answers
89 views

Reference request: density of $C_c^{\infty}(\mathbb R^d)$ in $L^2(\mathbb R^d,d\rho)$

My question is motivated by an optimal transportation approach to PDE's and gradient flows in metric spaces (see e.g Otto's geometry of dissipative evolution equations: the porous media equation and ...
4
votes
0answers
104 views

Nontransitive dice

In the wikipedia article https://en.wikipedia.org/wiki/Nontransitive_dice it is claimed that " The set of nontransitive dice were investigated by the Latvian computer scientist and mathematician ...
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0answers
63 views

Dominating Poisson with parameter depending on a Bernoulli

Fix $\mu >0$ and take $\lambda \geq 0$. Let $B_p \sim \text{Ber}(p)$ with $p = \exp(-\mu - \frac{\lambda}2) $. Define the random variable $Y$ which is Poisson with parameter depending on the value ...
3
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3answers
208 views

Do regular conditional distributions almost surely assign trivial measure to all members of the conditioning $\sigma$-algebra?

Let $(X,\Sigma)$ be a standard measurable space, let $\rho$ be a probability measure on $(X,\Sigma)$, and let $\mathcal{E}$ be a sub-$\sigma$-algebra of $\Sigma$. We will say that a stochastic kernel ...
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0answers
41 views

Sets Closed under Stochastic Dominance Ordering

I'm working on a problem involving stochastic dominance and ``minimums'' of sets of random variables. For concreteness, consider two distributions with cdfs $F(x)$ and $G(x)$. We say that $F$ ...
4
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0answers
70 views

Reference request: Stochastic integration and martingale theory on the whole real line

I'm looking for a thorough treatment of stochastic integration and/or martingale theory on the whole real line, i.e. a way to construct a Brownian motion $(B_s)_{s \in \mathbb{R}}$ (if a two-sided BM ...
1
vote
1answer
102 views

Invertibility of random Vandermonde matrix

Let $\kappa, d \in\mathbb{N}$ and $f$ is a uniform probability measure on $\mathcal{D} = \left[-1,1\right]^{\kappa}$. In addition, let \begin{equation*} p = p\left(\kappa,d\right) := ...
0
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0answers
41 views

Tail Bounds for the minimum value of a function

Consider y to be the minimum value of an objective function over some subspace. More specifically $y= \min_x \|e+Bx\|_\infty \quad s.t. \quad x\in \mathcal{S}$ where $e$ is a known vector, $B$ is a ...
7
votes
1answer
139 views

Bounds on the moments of the binomial distribution

I'm looking for simple and reasonably tight bounds on the k-th moment of the Binomial distribution $B(n,p)$, namely, $E[B(n,p)^k]$. I'm interested in the case when k is large (say on the order of ...
0
votes
1answer
85 views

Measurable functions lifted onto a space of point measures are measurable

I've been reading [1] and attempting to prove statements given without proof. In the paper the authors construct a measurable space of measures over a base space, and as an aside show an elegant way ...