**0**

votes

**0**answers

45 views

### Independent Quasi Monte Carlo Sequences

I am generating some copulas with MonteCarlo and QuasiMonteCarlo sequences. In particular, I would like to generate a Student's t copula with QMC numbers.
Here is my problem: for Student's t copula I ...

**3**

votes

**0**answers

64 views

### Measurability for disintegration of a kernel

Let $(x, A) \mapsto P(x, A)$ be a probability kernel whose "target" (wikipedia terminology) is a product space $Y \times Z$, and say both $Y$ and $Z$ are compact metric spaces. For every $x$ there is ...

**4**

votes

**0**answers

177 views

### Navigation in a graph

The problem
Let $G=(V,E)$ be a graph. $k = O\left(\log(|V|)\right)$ distinct vertices are picked randomly from $V$. We call the set of chosen $k$ vertices $T$.
Assumptions about the graph: You may ...

**2**

votes

**0**answers

112 views

### Better Sobolev inequality holds in this case when assuming doubling and Poincare inequality?

Let $X$ be a Polish space and let $m$ be a locally finite Borel measure on $X$.
Let $\epsilon$ be a strongly local, regular Dirichlet form on $L^2(X,m)$ with Domain $V :=\{f\in ...

**2**

votes

**3**answers

324 views

### Probability that a sum of intependent random variables hits a point

Let $X_1,\ldots,X_n$ be independent random elements of a normed space $X$. Suppose that $\sup_{x\in X}\mathbb{P}(X_i=x)=p_i$. What is the best known upper bound for
$$\sup_{x\in X} ...

**0**

votes

**1**answer

65 views

### Nagakami behavoir

Is the sum of square Nagakami random variables Erlang distributed?
What is the distribution of euclidean norm of complex Nagakami?
Cheers!

**1**

vote

**0**answers

44 views

### Rate of convergence in narrow convergence

Does anyone help me in the following question?
I have a sequence of probability measures $\mu_n$ and know that $\mu_n$ converges narrowly to a probability measure $\mu$. Is there any way to estimate ...

**13**

votes

**4**answers

795 views

### Painting $n$ balls from $2n$ balls red, and guessing which ball is red, game

The game
Lucy has $2n$ distinct white colored balls numbered $1$ through $2n$. Lucy picks $n$ different balls in any way Lucy likes, and paint them red. Lucy then giftwrap all the balls so that it is ...

**3**

votes

**1**answer

109 views

### Ising model: probability of a long path of minus under plus boundary conditions

Consider for example the Ising model on a square lattice. Fix zero magnetic field and plus boundary conditions.
Low temperature, one minus spin. With a Peierls argument one can prove that, given a ...

**4**

votes

**1**answer

214 views

### Green's function of the Ornstein-Uhlenbeck operator

The Ornstein-Uhlenbeck operator $L$ is given by
$$
Lu = \Delta u- \frac{1}{2}x\cdot \nabla u.
$$
Is there a known closed form expression of the Green's function of $L$ on $\mathbb R^d$ (for $d\geq 2$ ...

**2**

votes

**0**answers

95 views

### Hitting time of two dimensional continuous martingale

Let $(\Omega, \mathcal{F}, P)$ be a probability space, on which $\mathcal{F}_t$ is filtration satisfying general conditions. $W_{t}=\left(W_{t}^{1},W_{t}^{2}\right)^{T}$ is a two dimensional Brownian ...

**3**

votes

**1**answer

129 views

### Real points of zero-dimensional real algebraic varieties

There have been a number of discussions of zeros of random polynomials here (the most recent being: Why do roots of polynomials tend to have absolute value close to 1?).
Here is a closely related ...

**3**

votes

**1**answer

177 views

### Chances for a cosine polynomial to be positive at a point

Let $k_1,\ldots,k_n$ be distinct integers. Let $s_n(t)=\cos (k_1t)+\cdots+\cos (k_nt)$ be a trigonometric sum. Consider any interval $I\subset [-\pi,\pi)$ of length $\delta=\delta(n)$. Let $\,U$ be a ...

**3**

votes

**0**answers

67 views

### How to define Product of Conditional Measures?

I have been wondering how to define the product of conditional measures as defined by Renyi-Popper. I spell the details below.
If $(X,\Sigma)$ is a measurable space, then the function $\mu : ...

**0**

votes

**0**answers

30 views

### Isotropic correlation function for a vector valued random field

I'm having trouble with some of the implications of the following theorem.
Let $\mathbf{T} (\mathbf{x})$ be a mean-square continuous vector valued random field on $\mathbb{R}^3$ satisfying conditions ...

**0**

votes

**0**answers

118 views

### A probability application question

Suppose there are two possible states $H$ and $L$, with prior probability $p$ and
$1-p$ respectively. There are infinite rounds with a discount factor $ d$. In
round 1, you could choose a value ...

**0**

votes

**1**answer

181 views

### Probability of the maximum of a throw of an infinite number of $n$-sided dice being $k$ [closed]

Let $X$ be the random variable obtained as the maximum of a throw of $m$ dice (each of which is $n$-sided). In other words, $X = \max\{l_1,\cdots, l_m\}$ where $l_i$ can take any value between $1$ and ...

**2**

votes

**0**answers

65 views

### A 1-D random variable from a random distribution

I have a random variable $X$ that is drawn from the pdf
$$
f(x; \mu, \sigma, \sigma_{\mu}, \sigma_{\sigma}) = \int_{-\infty}^{\infty} \int_{-\infty}^{\infty} \frac{1}{|\hat{\sigma}|\sqrt{2\pi }} ...

**14**

votes

**2**answers

709 views

### Parity of $\lfloor 1/(x y) \rfloor$ not equally distributed

A curious puzzle for which I would appreciate an explanation.
For $x$ and $y$ both uniformly and independently distributed in $[0,1]$,
the value of $\lfloor 1/(x y) \rfloor$ has a bias toward odd ...

**9**

votes

**1**answer

278 views

### Guessing the larger integer: A game-theoretic twist

The starting point for this question is the old chestnut, already discussed on MO, about a game show on which the host has chosen two distinct integers and the contestant gets to reveal one of them at ...

**0**

votes

**2**answers

95 views

### Asymptotics for Hitting the sphere from the Outside

The problem is: consider A a solid ball centered at 0 and the exterior starting point $x\in A^{c}$, what is the behavior of $P_{x}(T_{B_{r}(0)}>t)$ for $d\geq 3$ as $t\to \infty$,where ...

**4**

votes

**1**answer

295 views

### Strong Law of Large Numbers for arrays of partly dependent random variables

Suppose $X_1$, $X_2$ are two independent real-valued random variables. Let $F$ be a continuous (unbounded) function from $\mathbb{R^2}$ to $\mathbb{R}$. Assume that the necessary measurability and ...

**2**

votes

**0**answers

77 views

### (Reference) Asymptotics of hitting probability by Brownian motion

The problem is: Given compact set A with positive finite volume (eg. ball,cube), what happens to $P_{x}(T_{A}>t)$ as $t\to \infty$, where $T_{A}=inf_{t>0}(B_{t}\in A)$ and x is in the "exterior" ...

**1**

vote

**0**answers

21 views

### Perturbing moments of multivariable distributions

Let $P$ be a multivariate probability distribution on $\mathbb R^n$ which is moment-determinate and let $\{m_k : k \in \mathbb N_0^n\}$ be the sequence of moments $P$. Fix an order $p$ and consider ...

**0**

votes

**1**answer

126 views

### Poisson approximation of random sub-graphs

I add the edges of $G(n)$ the complete graph on $n$ vertices one by one, at random and without replacement, and denote by $G(n,m)$ the resulting Erdos Renyi random graph process. At step $m$ in the ...

**4**

votes

**0**answers

160 views

### Total variation and Hellinger distance inequality between truncated Gaussians

We know that the total variation distance, $d_{TV}(P,Q) = \frac{1}{2}\left|\left|P-Q\right|\right|_1$, between any two distributions $P$ and $Q$ is lower bounded by their squared Hellinger distance, ...

**3**

votes

**0**answers

83 views

### hitting time of the first quadrant for a 2-d random walk

Suppose $(S_n)_{n=1}^{\infty}$ is a simple random walk in $\mathbb{R}^2$. Let $\tau_{(a,b)}$ be the hitting of the first quadrant when $S_0 = (a,b)$. Is there a way to compute or estimate the ...

**0**

votes

**1**answer

115 views

### Sum of n independent F distribution random variables [closed]

I need a help:
What will be the distribution of sum of $n$ independent F distributed random variables with parameters 1 and 1 (i.e., $F(x;1,1)$?
Formally, say $x_1,\ldots,x_n$ are i.i.d. as F(1,1), ...

**0**

votes

**0**answers

34 views

### Stability of simple conditions on functions under convolution and/or mixture

We consider families of smooth probability densities defined on $\mathbb{R}^+$, $p=(x\in \mathbb{R}^+ \mapsto p_n(x))_{n\in\mathbb{N}}=(p_n)_{n\in\mathbb{N}}$ satisfying
(i) $\int_{\mathbb{R}^+} ...

**13**

votes

**2**answers

374 views

### What is the minimal $C_k$, such that every $f\colon \{-1,1\}^n\to \mathbb{R}$ of degree at most $k$ satisfies $\|f\|_2\le C_k\|f\|_1$

Every $f\colon\{-1,1\}^n\to \mathbb{R}$ can be repsenented as a multilinean polynomial of the form $$f(x_1,x_2,\ldots ,x_n)=\sum _{S\subseteq [n]} \hat{f}(S)\prod_{i\in S} x_i $$ The degree of the ...

**5**

votes

**1**answer

529 views

### Publishing an elementary proof of a less-general and less-useful version of a classic result?

Background
Let $X_t$ be a stochastic process on the state space {Working, Broken}. Let $U$ be the cumulative sojourn Working during an interval $[0,\tau]$ (the process's uptime). It is well-known ...

**2**

votes

**0**answers

60 views

### Numerical Methods for stochastic PDE, from rough paths to backward equations

this question is about some literary references regarding the state of the art in terms of numerical methods for SPDE's. In particular,
Have the numerical implications, if any, of the results in ...

**0**

votes

**0**answers

40 views

### Numerical solution of SDEs with colored noise

I am trying to numerically solve an SDE with both white and colored noise that models a non-linear circuit:
$$
dX_t = f(X_t) dt + \sigma_w dW + \sigma_c dC
$$
where $W$ is a standard Brownian motion ...

**1**

vote

**1**answer

109 views

### Diffusion processes with different diffusion coefficients and absolute continuity

I would first of all like to say that I am an analyst, and so I am familiar with probabilistic methods only on a basic level.
My initial situation is the following. Consider two stochastic ...

**0**

votes

**1**answer

60 views

### Lower bound for median of independent outcomes

Consider a stochastic variable $X$ taking positive real values and the events $P(X\geq a)\leq\frac{1}{3}$ and $P(X \leq b) \leq \frac{1}{2.9}$. We define $X_m$ as the median of $k$ independent ...

**3**

votes

**1**answer

142 views

### Random non-intersecting circles in the plane

If I give a finite region of $\mathbb{R}^{2}$ and place $k$ circles of radius $r(k)$ uniformly at random inside, are there any known results for the probability that the circles do not overlap? ...

**4**

votes

**1**answer

357 views

### Why are the angular differences of these random complex polynomial coefficients almost constant?

This is based on მამუკა ჯიბლაძე's (not-)answer here. I guess it is better to make up a new thread for it.
Let me repeat the setup here: We consider polynomials whose complex roots are randomly ...

**2**

votes

**2**answers

89 views

### Probability of a contiguous sub-sequence with different elements

Let $a$ and $b$ be two positive integers, and say $b\gg a$. Let $S$ be a random sequence with $ab$ elements, whose entries are all integers from $1$ to $a$, such that each number from $1$ to $a$ ...

**0**

votes

**0**answers

80 views

### Reference: Bochner Integral`

What would be an easily accessible book dealing with Bochner integration as applied to probability theory (I'm looking to understand random elements and their basic related concepts in a formal yet ...

**7**

votes

**3**answers

355 views

### Learning roadmap: 'combinatorial' probability

I am about to finish working through Williams's Probability With Martingales. I have studied analysis up to the first five chapters of Folland's text but have not studied any combinatorics yet.
It ...

**0**

votes

**1**answer

61 views

### Could somebody recomends a good book or article about numerical methods for Stochastic Partial Differential Equations

Could somebody recomend a good book or article about numerical methods for Stochastic Partial Differential Equations. I'm looking for a good introductory material thanks.

**2**

votes

**1**answer

87 views

### Interpretation of riemannian geodesics in probability

Good morning everybody. My question is, as maybe already hinted in the title, rather philosopic.
We know that geometric properties of a riemannian manifold can be interpreted in terms of certain ...

**1**

vote

**0**answers

45 views

### Is there an efficient algorithm for sampling from the negative hypergeometric distribution? [closed]

I'm writing a small statistics library currently. One of the algorithms I'm implementing has two variants: one that samples the hypergeometric distribution and one that samples the negative ...

**0**

votes

**0**answers

35 views

### Numerical method for self-consistency of one-dimensional probability density function

I have an integral equation for self-consistency of one-dimensional probability density function, like this
$$\rho_x(x) = \frac{1}{|a|}\int \int \rho_x\left(\frac{s-b}{a}\right) \rho_P(p) ...

**9**

votes

**3**answers

264 views

### Central limit theorem via maximal entropy

Let $\rho(x)$ be a probability density function on $\mathbb{R}$ with prescribed variance $\sigma^2$, so that:
$$\int_\mathbb{R} \rho(x)\, dx = 1$$
and
$$\int_\mathbb{R} x^2 \rho(x), dx = \sigma^2$$
...

**7**

votes

**3**answers

328 views

### The distribution of the shortest path through $n$ points

In the big picture, I'd like to know: if I sample $n$ points uniformly at random in the unit square, what is the probability that the shortest path that visits each one of them is very small?
More ...

**5**

votes

**0**answers

171 views

### Is there a connection between |roots| $\rightarrow$ 1 and Gromov's waist theorem?

Recent questions showed that roots of a random polynomial tend to lie on the
unit circle ("Why do roots of polynomials tend to have absolute value close to 1?"; "Distribution of roots of complex ...

**2**

votes

**1**answer

66 views

### Proof for power-law tail of Poisson-Dirichlet distribution (Pitman-Yor process & Zipf's law)

I'm trying to understand the motivation of using Pitman-Yor (PY) processes in language modeling, in particular Teh's hierarchical LM based on PY processes. A motivation frequently stated in research ...

**0**

votes

**0**answers

174 views

### Heuristic probabilistic argument for the Navier-Stokes existence and smoothness conjecture

The Collatz Conjecture is a famous conjecture that has never been proven; nevertheless, there exists a simple heuristic probabilistic argument which supports its truth - in Wikipedia's words, "If one ...

**0**

votes

**0**answers

54 views

### Eigenvalue bounds for covariance matrix

If if have a random vector $\mathbf{a}\in \mathbb{R}^n$, and I form the covariance matrix of its elements $C=\mathbb{E}[\mathbf{a}\mathbf{a}^T ]-\mathbb{E}[\mathbf{a}]\mathbb{E}[\mathbf{a}]^T$, can I ...