# Tagged Questions

**10**

votes

**2**answers

546 views

### Teaching stochastic calculus to students who know no measure theory (or PDE, or…)

I've got quite a challenge as my teaching assignment for the next Fall (not that I want to get rid of it, quite the contrary, but I still feel like asking for advice won't hurt :-)).
I'm to teach the ...

**0**

votes

**0**answers

49 views

### Central limit theorems for unequal probability sampling (weak but ill-defined dependence)

Suppose we are choosing samples of size $s$ from a finite population
$\{a_1, a_2, \dots , a_n\}$
where our sampling is with unequal probabilities. Construct
$$
S_n = \sum_{k=1}^{n} a_k
$$
Under what ...

**0**

votes

**0**answers

82 views

### Defining density of a random function using Radon-Nikodym Theorem

Let $(\Omega,\mathbb{F},P)$ be a probability space and $E$ be an infinite dimensional Banach space and $\mathbb{B}$ be the $\sigma$-algebra of Borel subset of $E$.
Let $X$ be random function defined ...

**1**

vote

**0**answers

52 views

### When the completed filtration of a process increases slowly

If $\mathcal{F}_t$ is the filtration of the evaluation process on $C_T$ (continuous function on $[0,T]$). Can we find some law of continuous process $\mathbb{P}$ so that for $t\leq T$
...

**2**

votes

**1**answer

62 views

### Estimating mean and variance of a distribution based on error-prone estimates of its cdf

Suppose I have some random variable $X$ taking values in $[a, b]$ with unknown distribution (I am happy to assume the distribution is smooth, though it would be nice to not have to).
I have a ...

**3**

votes

**0**answers

98 views

### Worst-Case Solution to (Stochastic) Matrix Inequality

EDIT: Some specific conjectures added.
This problem comes with an associated stochastic process, but I phrase everything as linear algebra in case somebody from a non-probability community has seen ...

**1**

vote

**0**answers

46 views

### Reference for a special case of the Hanson-Wright inequality

I would like find tail bounds for the expression
$$
\begin{align*}
\left|\left\langle a,\phi\right\rangle \left\langle \phi,b\right\rangle -\left\langle a,b\right\rangle\right|,
\end{align*}
$$
where ...

**9**

votes

**3**answers

307 views

### Reference for a strong intermediate value theorem for measures

Let $\mu$ be a finite nonatomic measure on a measurable space $(X,\Sigma)$, and for simplicity assume that $\mu(X) = 1$. There is a well-known "intermediate value theorem" of Sierpiński that states ...

**5**

votes

**1**answer

344 views

### lower-bound for $Pr[X\geq EX]$

Given n random variables, $X_1, ..., X_n$, each takes value 0 or $a_i \in[0, 1]$. $X = \sum_{i=1}^n X_i$ and $EX \geq 1$ is the expected value of $X$. Can we get a lower-bound for $Pr[X \geq EX]$? It ...

**3**

votes

**1**answer

58 views

### Density for Translated Process

Let $M$ be a (compact) Riemannian manifold. Let $v$ be a smooth vector field on $M$ with flow $\Theta_t$. Let $L$ be an elliptic second order differential operator on $M$ that generates the Ito ...

**0**

votes

**0**answers

67 views

### Approximation of quadratic variation

Here $M$ and $N$ are two bounded continuous martingales with respect to some filtration $(\mathcal F_t)_t$. I found this claim in a paper I was reading: $t$ being fixed, then a.s.
$$\lim_{h\rightarrow ...

**0**

votes

**0**answers

32 views

### Probability of close approach for multivariate normal variables

The following problem comes from a physical model of two groups of particles in three dimensions. I need to know the probability that the two groups of particles approach each other within some ...

**1**

vote

**0**answers

61 views

### Asymptotic variance for partial sum of a stationary process

Let $X = (X_1, \dots, X_n, \dots)$ be a sequence of random variables. We assume that the process X is stationary i.e. for any integer $k$, any set of indices $i_1 < \dots < i_k$ and any integer ...

**1**

vote

**0**answers

61 views

### Measurability of solution of diffusion equation in sub sigma algebra

I want to solve the following problem:
Get $\omega \in \Omega \subset \mathbb{R}$, $x \in D \subset \mathbb{R}^2$ and $0<a_i\leq a(.,.)\leq a_x<\infty$.
Let $a( x;. )$ and $f(x;.)$ be ...

**3**

votes

**0**answers

133 views

### Donsker's Theorem for triangular arrays

I should mention that I already posed this question on Math Stack Exchange, but didn't receive much feedback.
Assume we have a sequence of smooth i.i.d. random variables $(X_i)_{i=1}^{\infty}$. Given ...

**2**

votes

**1**answer

112 views

### Restricted singular values of random matrix

Let $X \in \mathbb{R}^{p\times p}$ be a large square matrix, consisting of i.i.d. Gaussian entries. Then it is known that the singular values of $X$ follow the Marchenko-Pastur law.
Now let's ...

**1**

vote

**0**answers

90 views

### First passage time of a pure drift process

I am facing the following unusual problem: $Z_t$ is a pure drift process of the form
$$ dZ_t = \kappa(X_t - Z_t) dt $$
where $X_t$ is another bounded process.
I am interested in computing / ...

**5**

votes

**1**answer

338 views

### Table with the most seated customers in Chinese restaurant process

Suppose we have some initial configuration of people seated at some tables. We start taking new customers and seat them following Chinese restaurant process. Is there some known work on finding the ...

**0**

votes

**1**answer

254 views

### About an integral equation

I would like to obtain $g$ by solving the following integral equation
$$ \int_s^T R(u) dg(u) + f(s,T)\int_s^T g(u)du =0$$
where $f,R:\mathbb R _+ ^*\rightarrow \mathbb R _+ $and $g: \mathbb R _+
...

**4**

votes

**1**answer

217 views

### Isomorphisms between spaces of test functions and sequence spaces

I am in the process of writing some self-contained notes on probability theory in spaces of distributions, for the purposes of statistical mechanics and quantum field theory. Perhaps the simplest ...

**5**

votes

**2**answers

309 views

### Does this equation has a closed-form solution for $t$? ($(1-p)\sum_{i=0}^{n}t^i = p\sum_{i=0}^{n}(1-t)^i)$)

We are given $n\in \mathbb N^+$ and $p\in[\frac{1}{2},\frac{n+1}{n+2}]$.
Our goal is to find $t\in[0,1]$ such that
$$(1-p)\sum_{i=0}^{n}t^i = p\sum_{i=0}^{n}(1-t)^i$$
Is there a closed-form ...

**0**

votes

**2**answers

134 views

### Probability spaces involved in using Bayesian Inference

I am currently reading "Statistical and Inductive Inference by Minimum Message Length" by C.S. Wallace. In this, Wallace gives a fairly informal account of Bayesian Inference which, in the case ...

**3**

votes

**0**answers

91 views

### Ask for reference of a stochastic process

I would like to know whether the following stochastic process is well studied.
Let $\{U_k: k \ge 1\}$ be a sequence of i.i.d random variable. $U_1$ is uniformly distributed on the unit interval $[0, ...

**-3**

votes

**3**answers

299 views

### Determinant of matrix from set {-1, 1} [closed]

Let $A \in \mathbb{R}^{11 \times 11}$ and it's elements are form set $\{ -1,1 \}$. $\mathbb{P}(-1) = \mathbb{P}(1) = 0.5$. What is a probability to get such a matrix, that $\det A > 4000$?
I have ...

**6**

votes

**1**answer

232 views

### Is an infinite-dimensional “Lebesgue measure” uniquely determined by a set of positive finite measure?

Let $\mu$ be a probability measure on a subset $C \subset \mathbb{R}^\infty$ of the space of sequences, and assume, for simplicity, that $C$ is closed and convex.
We say that $\mu$ admits shifts if ...

**1**

vote

**1**answer

134 views

### How does Azuma's Inequality result from Pinelis Inequality?

According to [1]
Let $(\mathcal{X},||\cdot||)$ be a separable Banach space and let
$S(\mathcal{X})$ denote the class of all sequences
$f=(f_j)=(f_0,f_1,...)$ of Bochner-integrable random ...

**1**

vote

**0**answers

44 views

### Finding a general form of the density function when we have a four dimensional random variable

Consider a subject having time of the specific event $T_i$, which is a single sample from a
distribution $F_i$ with density $f_i$ and support
$[t_{\min},t_{\max}]$, for $i= 1,\ldots,n$. Let these ...

**1**

vote

**2**answers

138 views

### Speed and absence of non-constant bounded harmonic functions

For a (symmetric) random walks on countable groups generated by $\mu$, there is a "brute-force computation" argument of Avez (1974) that shows that if the entropy $h_\mu$ is trivial then there are no ...

**0**

votes

**0**answers

96 views

### Best possible concentration inequality in high dimensions

Let $X_1,\ldots,X_n$ be independent random variables in $\mathbb{R}^d$ with $EX_i=0$ and $||X_i||_{2}\leq 1$. What is the best known exponential upper bound for
$$P(||X_1+\cdots+X_n||_{2}>x)?$$
In ...

**2**

votes

**0**answers

74 views

### McDiarmid's inequality on normed spaces

McDiarmid's inequality says if a function $f: \mathcal{X}^n\to\mathbb{R}$ has the property that
$$
\sup_{x_1,\dotsc,x_n,x'_i\in\mathcal{X}} ...

**3**

votes

**1**answer

121 views

### Three-dimensional Apollonian spirals

Given mutually (externally) tangent spheres $S_1$, $S_2$, $S_3$, $S_4$, let $S_n$ be the unique sphere externally tangent to $S_{n-1}$, $S_{n-2}$, $S_{n-3}$, and $S_{n-4}$ for $n \geq 5$.
Let ...

**5**

votes

**0**answers

157 views

### A note on Doob's theorem

I have faced the following problem, regarding to the Martingale Theory. Because this area far from my area I don't know whether this problem is in literature or this can be simple question for ...

**5**

votes

**1**answer

386 views

### Harmonic Crystal using Random Walk

Me and my advisor were looking for a specific proof of the disorder in $2d$ harmonic crystals. We could not find a paper or a textbook with it, so I thought trying my luck here.
Basically, it is a ...

**0**

votes

**1**answer

69 views

### Rademacher complexity of a Lipschitz class: Are the boundedness constraints necessary?

Consider the following function class: $F={f:R^d\rightarrow [a,b], f(x)=\sigma(w^Tx)}$ where $\sigma(.)$ is Lipschitz, and $w\in R^d$ is a parameter vector. The problem I'm working on is a machine ...

**1**

vote

**1**answer

82 views

### Perturbation of a Bessel process of dimension 2

Bessel process of dimension 2 is defined to be solution of
$$
dX_t=dB_t+\frac{1}{2X_t}dt,\quad X_0=x_0>0
$$
where $B$ is a standard 1-dimensional Brownian motion.
$X$ can be viewed as the norm of a ...

**8**

votes

**1**answer

265 views

### Algorithm to produce random number with a gamma distribution

I'd like to produce pseudo-random numbers with different distributions for a Monte Carlo simulation.
I've got the poisson distribution working nicely with an algorithm from Knuth. I'm having trouble ...

**8**

votes

**0**answers

126 views

### Randomly placing nonoverlapping unit cuboids

Suppose one places unit cuboids of dimension $d$ with min-corners
uniformly distributed to lie in $[0,n]^d$, but with cuboid (strict) overlap forbidden.
At some point, the region is "saturated," ...

**2**

votes

**1**answer

169 views

### Random walks with exponential decreasing steps

Let $g$ be the golden number (or another algebraic integer in $(0,1)$ that fullfills an equation with coefficients $\pm 1$). Consider the random walk on $\mathbb{R}$ starting with $0$ and walking ...

**5**

votes

**2**answers

305 views

### A central limit theorem for a trigonometric series involving primes

In some recent work I found I needed to prove a central limit theorem for
the interesting series:
$\sum_{n=1}^\infty \cos (u \log p_n) $
where u is a random variable uniform on the interval ...

**1**

vote

**0**answers

44 views

### Is there a unique tilted measure with specified marginals?

Suppose $\mathcal{A},\mathcal{B}$ are finite sets and $\mu_{A,B}(a,b)$ is a probability measure on the product set $\mathcal{A}\times \mathcal{B}$ so that $\mu_{A,B}(a,b)>0$ for each $a\in ...

**4**

votes

**1**answer

101 views

### Earth mover/Wasserstein distance between a pdf and an empirical distribution

This question is inspired by this much older question:
Convergence of an empirical distribution w.r.t. the Hellinger distance
Let $P$ be a continuous probability distribution on a compact subset of ...

**0**

votes

**2**answers

167 views

### “Convolution” for Multiplying Random Variables

The following situation arises frequently in probability.
Suppose we have two independent continuous random variables $X$ and $Y$ and we consider their sum, $Z=X+Y$. Then the pdf of $Z$ is the ...

**2**

votes

**0**answers

57 views

### Controlling fluctuations in a Markov chain

For $N>0$, consider the Markov chain $x_n$ on $\{0,1/N,...,1\}$ that moves up by $1/N$ at rate $(c-x_n/2)N$ and down by $1/N$ at rate $(c+x_n/2)N$. As $N\rightarrow\infty$ sample paths approach ...

**0**

votes

**1**answer

74 views

### Rank of a sequence of covariance matrices

Let $X_i$ ($i=1, \dots$) be an orthonormal basis for $L^2(\Omega, \mathbb P)$. In particular, it holds that
$$\mathbb E[X_iX_j] = \delta_{ij}.$$
Now take $Z\in L^2(\Omega, \mathbb P)$ and define ...

**0**

votes

**0**answers

22 views

### Literature on the notion of combining two discrete stationary processes with the latter process slowed down

Is there any literature about the following way of combining two stationary processes?
Let $X_1, X_2, \dots$ be a discrete-time stationary process. Let $A$ be a subset in its sample space. Let ...

**1**

vote

**1**answer

137 views

### Hoeffding's inequality for vector valued random variables

Is there a version of Hoeffding's inequality for vector valued random variables?
This seems to be hard to find and I wonder why. I suppose it is difficult to show Hoeffding's lemma, since the proof ...

**1**

vote

**1**answer

89 views

### Mixing time of a continuous time Markov chain with arbitrary rate matrix

I would like to calculate the mixing time of a continuous time starting from the rate matrix and not necessarily assuming that the time in between jumps have rate 1 - all I have is the (finite ...

**1**

vote

**1**answer

139 views

### Probability of each edge in K-clique [closed]

For $c \in R$ and $k \in N$, $k \geq 3$ let
$p_{k,c} := n^{\frac{−2}{k+1}}log^c(n)$.
I would like to prove that exists $c\in R$ such that every edge in the random graph $G(n,p_{k,c})$ lies in a copy ...

**5**

votes

**2**answers

248 views

### Regularity of random Fourier series

The following two statements appear to be true (but do correct me if I am wrong):
The coefficients of a $C^k$ function on the torus $T^n$ decay at least as fast as $x^{-k}$ (where $x$ is some norm ...

**3**

votes

**0**answers

61 views

### Probability that a random projection doesn't reduce the distance of a point from a subspace too much

Consider the natural uniform measure (is it called the Haar measure?) on the set of $(n-k)$-dimensional subspaces of $R^n$. We are given a $d$-dimensional affine subspace $U$ (think of $d, k \ll n$; ...