**6**

votes

**1**answer

115 views

### Average minimum number of random k-sparse vectors in GF(2) to span the whole space?

What is the average minimum required number of independent $k$-sparse (having at most $k$ non-zero elements) random vectors belonging to $\mathbb{F}_2^n$ to span the whole space of $\mathbb{F}_2^n$? ...

**2**

votes

**0**answers

169 views

### Expected value and variance of a stochastic process

I would like to ask if there is a way to find the expected value and the variance of the following process
$$
dv_t=(a-be^{\alpha v_t})dt+\sigma dW_t, \quad v_t=v_0
$$
where $a\in (-\infty,+\infty), b&...

**0**

votes

**0**answers

37 views

### Quadratic characteristic and constancy

Consider a change of measure on $\mathcal{F}_{t}$ defined by the restriction of two probability measures of the form
\begin{align}
\frac{dQ_{t}(\theta)}{dP_{t}}=\exp^{ \theta A_{t}-\kappa(\theta) S_{t}...

**5**

votes

**1**answer

136 views

### Upper Bound for the Difference of Even Probability and Odd Probability in Hypergeometric Distribution

Let $X$ be a random variable following the hypergeometric distribution with parameters $N,K,n$, where
\begin{equation}
Pr(X=k) = \frac{\binom{K}{k}\binom{N-K}{n-k}}{\binom{N}{n}}.
\end{equation}
To ...

**2**

votes

**0**answers

105 views

### Question about continuity in the “complete Skorohod Topology”?

I am reading the book in progress of Timo Seppäläinen about the "Translation Invariant Exclusion Process"
https://www.math.wisc.edu/~seppalai/excl-book/ajo.pdf
In one of the exercises, exercise 8.9 ...

**1**

vote

**1**answer

73 views

### Reference for a local density theorem for binary vectors

I have the following theorem written on my whiteboard, but have misplaced the reference. I believe the probabilistic method may be involved in the proof. Any pointers appreciated.
Theorem Let $v\in\{...

**0**

votes

**1**answer

99 views

### Predictable quadratic Variation <.> has same intervals of constancy as the process

From
Revuz and Yor - Continuous Martingales and Brownian Motion 1999
Chapter IV Proposition 1.13
it is proven, that for a continuous local martingale $M_t$ the intervals of ...

**1**

vote

**0**answers

78 views

### Construction of a random variable

I'm reading Dirichlet Forms and Symmetric Markov Processes by M. Fukushima, Y. Oshima, and M. Takeda. In Appendix A.2, where they discuss the construction of a random variable, there is the statement:...

**2**

votes

**1**answer

66 views

### Median of a uniform multinomial variable

Let $k\in\mathbb N^+$ be a positive integer.
Consider a set of i.i.d. random variables $X_1,X_2,\ldots, X_n$, each of which is distributed uniformly over $\{1,2,\ldots,2k+1\}$.
For $i\in \{1,2,\...

**3**

votes

**0**answers

59 views

### “Local” functional central limit theorem for the empirical distribution function

This question is a repost from Mathematics Stack Exchange, where it did not receive any answer.
Assume $(X_i)_{i=1}^{\infty}$ is a sequence of i.i.d. real-valued random variables such that $\mathbb E[...

**1**

vote

**0**answers

74 views

### Convergence of an rcll process along a random subsequence

I have a process $X_s$, for $s \ge 0$, taking values in a Polish space $T$ with an rcll version where I have shown, for every nonrandom increasing sequence $s_n$, that $X_{s_n} \to c$ in probability, ...

**9**

votes

**5**answers

312 views

### Probability theory without deductive closure

Human knowledge is not deductively closed. Uncertainty can arise from that just as much as from lack of brute facts. (When a Harvard graduate was reported to have thought that the earth is farther ...

**1**

vote

**0**answers

42 views

### Majorizing inequality on spectral norm of product of a random and a deterministic low-rank projection

Let $P$ be a rank $k$ uniformly randomly oriented projection matrix in ${\mathbb R}^d$ -- this is constructed as $R^T(RR^T)^{-1}R$ where $R$ is a $k\times d, k<d$ random matrix with i.i.d. 0-mean ...

**7**

votes

**1**answer

246 views

### Law of Large Numbers for Martingales

I apologize in advance if this question is too basic, but I've received no response on Math Stack Exchange, so perhaps it is more appropriate here:
Let $X_n$ be a square integrable martingale with $\...

**2**

votes

**0**answers

136 views

### Infinitesimal generator and stationarity

The following question is bothering me. I think it is probably known but I cannot find any reference...
Let $(X_t)$, $(Y_t)$, $(Z_t)$ denote 3 Feller processes with respective infinitesimal ...

**4**

votes

**1**answer

79 views

### Measurable $\epsilon$-optimal selection with an analytically measurable stochastic kernel

Let $(X, \mathcal{X})$ and $(A, \mathcal{A})$ be standard Borel spaces, $D \subseteq X \times A$ be an analytic set, and $D_x := \{a \in A : (x, a) \in D\}$ denote the $x$-section of $D$ at $x \in X$.
...

**2**

votes

**1**answer

78 views

### What is the order of the constant $K$ in the multidimensional Dvoretzky-Kiefer-Wolfowitz inequality($Ke^{-c z}$)?

Let $F_n$ be the empirical distribution obtained from an i.i.d. sample
of the distribution $F:R ^d \to [0, 1]$.
Kiefer (1961) shows that the convergence of the empirical distribution is like
$$
P\left(...

**1**

vote

**1**answer

214 views

### Have some works by Émile Borel ever been translated from French to English or another foreign language?

I plan to submit a couple of questions around Émile Borel's works in probability theory to MO.
In this scope, I'd like to know if the following works have ever been translated from French to English ...

**0**

votes

**1**answer

124 views

### Weighted sum of i.i.d. random variables

Suppose you have a positive sequence $X_1,X_2,\dots$ of i.i.d. random variables with the property that
$$
\mathbb{E}[\log(X_1)]<\infty.
$$
Is it true that
$$
\limsup_{n\to\infty} e^{-n}\sum_{k=1}^...

**4**

votes

**1**answer

73 views

### Conditions for existence of dominating $\sigma$-finite measure for all conditional distributions

Suppose $X$ and $Y$ are two real-valued random variables with a specified joint probability distribution $P_{X,Y}.$ I wish to determine if there is a $\sigma$-finite measure $\mu$ on the real line ...

**2**

votes

**1**answer

86 views

### Measurability of integrals with respect to different measures

Let $Y$ be a locally compact Hausdorff topological space (further assumptions like metrizability, separability, etc., may be added if necessary) and let $\mathscr Y$ denote the Borel $\sigma$-algebra ...

**2**

votes

**1**answer

85 views

### Fell topology versus vague topology for representing random sets

I'm trying to better understand the consequences of representing a random set as a
Random element in the space of locally finite closed sets under the Borel sigma algebra generated by the Fell ...

**0**

votes

**0**answers

60 views

### Total variation, Wasserstein, and Prokhorov metrics on countably infinite discrete spaces

Total variation, Wasserstein, and Prokhorov generate the same topology on the space of probability measures on a finite and discrete space.
I'm curious about a countably infinite space. When do ...

**0**

votes

**0**answers

34 views

### Relative compactness and convergence in probability

Convergence in probability of a sequence of random variables $X_1,X_2,\dotsc$ implies that every subsequence has a further subsequence that converges almost surely.
Superficially, it seems that this ...

**1**

vote

**0**answers

44 views

### Influence of independent variables on boolean functions?

Suppose a simple connected graph $G$ where its vertices are assumed to be independent. An event with uncertainty corresponds to each vertex. My instructor guides me that even though the vertices (...

**2**

votes

**0**answers

238 views

### Is there a Bayesian theory of deterministic signal? Prequel and motivation for my previous question

This is a prequel to my question:
What's the probability distribution of a deterministic signal? (functional integrals in probability theory)
Clearly my question looks at the same time fairly ...

**2**

votes

**0**answers

48 views

### Modify Process to a Semimartingale

The original post is from mathstackexchange
According to some difficulties, i decided to ask here again.
Given a filtered space $(\Omega, F,\mathcal{F}_{t})$ with rightcontinous filtration. We have a ...

**2**

votes

**2**answers

196 views

### How to generalize normal number theorem

The Borel number theorem states that with respect to Lebesgue measure, almost all real numbers are normal numbers. It is sometimes stated in the context of the compact interval $[0,1]$, where one ...

**4**

votes

**0**answers

193 views

### Self-adjusting random walk

Let $X_t$ be a random process such that
\begin{eqnarray}
X_1 &=& 0\\
X_t &=& X_{t-1} + \left\{\begin{array}{ll}
A_t, & X_{t-1} \geq 0\\
B_t, & X_{t-1} < 0
\end{array}\...

**1**

vote

**0**answers

103 views

### Limit theorem : reproduce a proof with an adaption from discrete to continuous time

Im considering Theorem 5.2.2 in M. Sørensen "Exponential Families of stochastic processes".
The setup is as follows:
We have a Levy-Process $X_t$ fullfilling the CLT
\begin{align}
\sqrt{t}(X_t/t-E(...

**2**

votes

**0**answers

70 views

### Generalizing the law of large numbers to multiple sets of samples

The law of large numbers says that if I sample $n$ points independently from a probability density function $f$, then the number of points lying in a neighborhood of a point $x$ with area $\epsilon$ ...

**5**

votes

**2**answers

147 views

### Expected number of changes in the sign of a rolling sum of independent normal variables

Imagine we define $Y(t+n)=
X(t+1)+.....+X(t+n)$ where $X(i)$ is an independent normal (i.e. everyday we remove the starting observation and we add a new one). We have $n$ consecutive observations of $...

**0**

votes

**1**answer

62 views

### Restricted Isometry Property for Discrete Fourier Transform Matrix

I was wondering if the Restricted Isometry Property holds for Discrete Fourier Transform. In particular, I am interested in whether a subsampled DFT matrix has such property. Let$W \in \mathbb{C}^{d\...

**2**

votes

**0**answers

47 views

### Literature on transformed Gaussian matrices

I am considering real $n$-by-$m$ matrices of the following type:
$$
M=SM^\prime,\\
M^\prime_{ij}\sim^{iid}N(0,1).
$$
Here, $S$ is a fixed $n$-by-$n$ matrix and the entries of $M^\prime$ (same size ...

**8**

votes

**1**answer

268 views

### An inequality on the simplex involving $x^x$

Is anything known about the behavior of the function $$f(x)=\prod_{i=1}^n x_i^{x_i}$$ on the standard simplex, i.e. the set $\{x\in\mathbb{R}^n:\sum_{i=1}^n x_i=1, x_i\geq0\}$? I ask because I have ...

**0**

votes

**0**answers

27 views

### Fubini's Theorem for Lévy bases

Let $M$ be an infinitely divisible independently scattered and homogeneous random measure on $\mathbb R^d$ (ie a homogeneous Lévy basis). Let $\nu$ be a sigma finite measure on $\mathbb R^k$. Let $f:\...

**1**

vote

**0**answers

51 views

### BM hitting times with exponential killing process

Assume a BM in 3d domain (infinite) with a small absorbing subdomain (cube, sphere, ect), centered at point $p_s=(x_s,y_s,z_s)$ . BM starts at point $p_0=(x_0,y_0,z_0)$ and when it riches the ...

**2**

votes

**1**answer

78 views

### Bounds for the sum of some random variables, in terms of their cdfs

I have three independent non-negative random variables $X_1$, $X_2$, and $X_3$, and I do not have their density functions, but I do have a decent upper bound for their cdfs. In other words, I have ...

**5**

votes

**0**answers

79 views

### Random pro-p groups via iterated uniformly random central extensions

Inspired by this question on math.se, I want to understand the following construction of a random pro-$p$ group:
We want to construct an inverse system
$$\cdots \xrightarrow{\alpha_i} G_i \...

**7**

votes

**1**answer

107 views

### Choosing a sample based on where the density function is highest

Is there a name for the following process?
Say I have an absolutely continuous probability density function $f$ with compact support, and I take $k$ independent samples $x_1,\dots,x_k$ from $f$. ...

**2**

votes

**0**answers

43 views

### A question about probabilistic graphical models

Say one is given a probabilistic graphical model and a cut of the underlying graph. Do we know any statements about when and how can one or many of the marginals (of the sources) or the conditionals (...

**3**

votes

**1**answer

110 views

### Is there a closed form expression for $E(X e^{-\mu \sqrt{X}})$, where $X\sim Poisson(\lambda)$ and $\mu >0$?

Is there any closed form expression for $E(X e^{- \mu \sqrt{X}})$, where $X\sim Poisson(\lambda)$ and $\mu >0$? If not, is there any tight upper bound for this quantity? Any idea how to proceed?

**2**

votes

**0**answers

89 views

### Growth of inner products between two random vectors on the sparse hypercube

We define the $s$-sparse hypercube in $\mathbb{R}^d$ as
\begin{align}
\mathbb{H}_s = \bigl \{ {\bf{v}} \in \{ -1, 0 , 1\}^d \colon \| {\bf{v}} \|_0 = s \bigr\},
\end{align}
where $ \| {\bf v} \|_0 $ ...

**2**

votes

**0**answers

66 views

### Batched coupon collector with quota

Assume that you draw coupons uniformly at random from a collection of $n$ coupons and you want to collect $m_i$ coupons of type $i$. This is referred to as the coupon collector with quota (http://www....

**3**

votes

**2**answers

163 views

### The necessary sufficient condition for recurrence of a Markovian random walk

Suppose $\sigma_{1},\sigma_{2},...$are i.i.d random variables.$S_{0}=0$. Define $S_{n}=S_{0}+\sum_{i=1}^{n}\sigma_{i}$, then ${S_{n}}$ is a Markovian random walk.
I want to figure out the necessary ...

**7**

votes

**2**answers

386 views

### Famous results about the value of a given limit assuming it exists

Chebyshev got famous showing that if the limit $l:=\lim_{x\to\infty}\frac{\pi(x)}{x/\log x}$ exists, then necessarily $l=1$, constituting a major breakthrough towards a proof of the famous prime ...

**-1**

votes

**1**answer

85 views

### Proving maximal entropy [closed]

It is quite easy to prove that
$$H(S) \leq \log_2(|A|),$$
where $A$ is the number of events, using the Jensen inequality
$$H(S) = E_S[\log_2(\frac{1}{P_S(s)})]\leq \log_2(E_S[(\frac{1}{P_S(s)})]) =...

**4**

votes

**2**answers

155 views

### Expected value of Bernoulli quadratic forms

Let $\mathbf{Y}\in\mathbb{R}^{n\times n}$ be a symmetric matrix. Let $\mathbf{x}\in\mathbb{R}^n$ be random vectors with entries i.i.d. $\pm 1$ with equal probability. I'm interested in a lower bound ...

**3**

votes

**1**answer

111 views

### Sharpened Pinsker inequality for special case

Let $B(p)$ denote the Bernoulli distribution over $\{0,1\}$ and $B(p)^n$ the corresponding product distribution over $\{0,1\}^n$. For $n>1$ and $0<x<1$, define
$$P_n(x):=B(\frac12+\frac x2)^n$...

**0**

votes

**1**answer

128 views

### Counterexample: weak convergence doesn't imply $L^1-$convergence [closed]

I'm not sure my question is of research level, but I cannot find the answer in the existing reference. Let $\mu_n$ be a sequence of probability measures on $\mathbb R$ satisfying
$$\int_{\mathbb R}xd\...