**15**

votes

**3**answers

380 views

### An inequality for two independent identically distributed random vectors in a normed space

Suppose that $X$ and $Y$ are independent identically distributed random vectors in a separable Banach space $B$. Does it always follow that $E\|X-Y\|\le E\|X+Y\|$?
Some background information on ...

**1**

vote

**1**answer

170 views

### Is regularity closed under products?

Let $G \colon [0,1] \to [0,1]$ be a differentiable cumulative distribution function (monotonically non-decreasing function with $G(0) = 0$ and $G(1) = 1$). We say that $G$ is regular if $$ x - ...

**11**

votes

**0**answers

284 views

### Probability of many overlapping zero inner products on a circle

[Question edited and changed a little on June 14 2015]
Consider an $n$-dimensional vector $v$ with $v_i \in \{-1,1\}$. Now consider an $n$-dimensional vector $w$ with $w_i \in \{-1,0,1\}$. The ...

**3**

votes

**1**answer

87 views

### Concentration and Correlation for Magnitudes of Gaussian Vectors

Suppose we have a large collection of standard normal random variables $a_i\in\mathbb{R}^n$. We know by standard concentration results that if we take $m \geq C\left(t/\epsilon\right)^2n$ samples, ...

**2**

votes

**2**answers

276 views

### Suggestions for dealing with the “timed” balls-into-bins model

Definitions: Let $T$ (for "time") be a random variable $T \sim \text{Exp}(\lambda)$ and $\Delta t$ is a realization (or called an observed value) of $T$. Let $D$ (for "delay") be a random variable $D ...

**1**

vote

**0**answers

42 views

### Bounds on the spherical measure of sub-level sets of quadratic forms

I'm wondering if there are any bounds on the spherical measure of sets of the form
$$
\mu_n\left(\{y\in S^{n-1} : \frac{y_1^2}{y_2^2} < \alpha\}\right) \leq f(\alpha)
$$
where $\alpha$ is some ...

**4**

votes

**1**answer

153 views

### Why the term “geometric” rough path?

A "geometric" rough path is a rough path such that $Sym(\mathbb{X}_{s,t})=\frac{1}{2}X_{s,t}\otimes X_{s,t}$. For example the Ito rough path is not geometric because ...

**1**

vote

**1**answer

145 views

### Arc Sine law for Random Walk conditioned to non-absorption or not?

Let $S_n$ be simple symmetric Random walk on the integers in $[-N,N]$ with states $N$ and $-N$ absorbing. Let $\tau$ be the time to absorption when $S_0 = 0$.
Is the $E(S^{2}_{n}| \tau \geq n)$ ...

**7**

votes

**1**answer

180 views

### Decompose dependent random variables into function of dependent and independent parts

Let $X$ and $Z$ be two (possibly dependent) random variables. Is it necessarily the case that there exists a Borel function f and a random variable $Y$ that is independent of $X$ such that $Z = f(X, ...

**4**

votes

**0**answers

177 views

### What is the probability that a Gaussian random variable is the largest of three Gaussian random variables?

Consider three independent, normally distributed RVs: $YA \sim N(a,\sigma ^{2}),$ $%
YB\sim N(b,\sigma ^{2})$ and $YC\sim N(c,\sigma ^{2})$.
What is the probability that $YA$ is the maximum?: $$\Pr ...

**4**

votes

**2**answers

634 views

### Polish by compact is Polish?

Let $X,Y$ be separable and metrizable, with $Y$ Polish, and suppose there is a topological quotient map $f:X\to Y$ with compact fibers. Is $X$ Polish?
I have a specific space in mind, so if the ...

**7**

votes

**1**answer

262 views

### understanding of rough path

A rough path is defined as an ordered pair
$ (X, \mathbb X)$, where $X$ is a path mapping from $[0,T]$ to some Banach space $V$
and $\mathbb X:[0,T]^2 \mapsto V^2$ is another mapping for additional ...

**10**

votes

**3**answers

456 views

### On the number of consecutive divisors of an integer

Define for $n \in \mathbb{N}$ the function $$\tau_1(n):=\sum_{\substack{d|n, \\ d+1|n}}1,$$ i.e. the number of consecutive divisors of an integer. The average of $\tau_1(n)$ is $1$ since $$\sum_{n\leq ...

**0**

votes

**0**answers

26 views

### Truncated Robbins-Monro

I'm reading Han-Fu Chen's book "Stochastic Approximation and Its Applications", and in Chapter 1, he's got a statement of a theorem and proof on a truncated Robbins-Monro algorithm. In this version, ...

**4**

votes

**1**answer

91 views

### Weakly correlated Bernoulli field

Let $\Lambda\subset\mathbb{Z}^{d}$ ($\Lambda$
is finite). Let $\left\{ \eta_{x}\right\} _{x\in\Lambda}$
be a field of dependent Bernoulli random variables. I assume that their correlation decays ...

**1**

vote

**0**answers

79 views

### Scaling of First-passage times for Random Walk on integer lattices

Consider simple symmetric random walk $S_{n} = (S_{n}^{(1)},\dots,
S_{n}^{(d)})$ on the d-dimensional integer lattice with starting point the origin.
Let $\tau_{N}$ be the first time $S_{n}$ exits ...

**18**

votes

**0**answers

396 views

### Two conjectures about zero inner products and dissociated sets

The following problems come from something I worked on (with my coauthors) related to proving a new time lower bound for streaming problems. Having worked on these problems for some time with little ...

**0**

votes

**1**answer

52 views

### How can two random variables are continuous infers that their jointly random variable is continuous [closed]

We assume that $\forall a,b$ suchthat $a^2+b^2>0$, $aX+bY$ is continuous random variable.
But we don't assume that $X$ and $Y$ are independent.
My question is the following:
Is it true that the ...

**2**

votes

**0**answers

64 views

### Cramer-Rao type bound for absolute estimation error

Let $\{X_1, X_2, \ldots, X_n\}$ be independent and identically distributed (i.i.d.) random variables sampled from a common distribution with density $f_{\theta}(x)$, where $\theta$ is an unknown ...

**2**

votes

**1**answer

152 views

### Random walk on a sphere along latitude-longitude grid

Suppose a sphere is partitioned by a latitude-longitude grid, with
grid quadrilaterals $\Delta \times \Delta$.
All grid nodes have degree $4$, while the North & South poles have
degree $2 \pi / ...

**11**

votes

**1**answer

229 views

### No limit shape for random Young diagrams under z-measure?

In their paper Random partitions and the Gamma kernel (Advances in Mathematics 194 (2005) 141–202), Borodin and Olshanski state that:
An important difference between the Plancherel measures and ...

**4**

votes

**1**answer

160 views

### Upper bound of the waiting time of a sum process

Let $n \in \mathbb{N}$, $x_1, \ldots, x_n \in (0,1)$ fix but arbitrary, s.t. $\sum_{i=1}^n x_i = 1$. Let $X_i \sim \operatorname{Unif}(\{x_1, \ldots, x_n\})$ i.i.d., and $T_n = \min\{t \in \mathbb{N} ...

**4**

votes

**1**answer

131 views

### variance of compound binomial distributions

The below is motivated by a problem I'm observing in my experimental data
I have m boxes, where each box is supposed to contain k molecules of mRNA. The measurement process includes labeling all the ...

**4**

votes

**1**answer

247 views

### Strings with no long runs from proper subalphabets

Let $R_{n,k,b}$ be the number of $b$-ary strings of length $n$ that contain some run of length at least $k$ from some $(b-1)$-ary subalphabet. Let $N_{n,k,b}=b^n-R_{n,k,b}$ be the size of the ...

**3**

votes

**0**answers

73 views

### Explicit formula for the moment problem with Carleman's conditions

Suppose that $\mu_j$ are real numbers obeying the Carleman condition: $\sum_{j=0}^\infty 1/\mu_{2j}^{2j}<\infty$. Then it is well-known that in case the $\mu_j$ are positive definite, there is a ...

**0**

votes

**0**answers

59 views

### What is the concentration of measure for Gaussian random variables which are independent, but are transformed?

This might be a too easy question for Mathoverflow, but Googling led to similar questions and answers here (though not the one I was looking for).
The question is split into two:
I have a matrix $X ...

**4**

votes

**2**answers

289 views

### “Typical” convergence rate for the von Neumann mean ergodic theorem

The von-Neumann theorem states that for a unitary operator $U: {\cal H} \mapsto {\cal H}$,
where ${\cal H}$ is a Hilbert space, the following holds:
$$
\lim_{N\to \infty} \frac{1}{N} \sum_{n=1}^N U^n ...

**4**

votes

**0**answers

112 views

### Young Tableau Box Correlations

Let $T$ be a uniformly random Standard Young Tableau (SYT) of shape $\lambda=(\lambda_1,\cdots,\lambda_k)$ with $|\lambda|=n$. Let $T_{ij}$ denote the value in box $(i,j)$. I'm interested in what can ...

**2**

votes

**1**answer

123 views

### What is the distribution of the maximum nearest-neighbor distance of a point cloud sampled from a solid body like?

Let $\mathcal{B} \subseteq \mathbb{R}^n$ be an $n$-dimensional solid body. Assume that we sample $N$ points, say $S = \{ x_1, ..., x_N \}$, from $\mathcal{B}$ uniformly at random. Consider the ...

**5**

votes

**1**answer

340 views

### How many random matrices does it take to generate a matrix algebra?

Let $\mathbb{F}$ be a finite field.
Let $A\le \mbox{Mat}_n(\mathbb{F})$ be a matrix algebra.
Is there a good bound on the number $k$ of random elements $a_1,\dots,a_k\in A$
that one needs to take ...

**18**

votes

**0**answers

447 views

### Human Knot game

In the popular game "Human Knot", a group of people stands in a circle and each person grabs another person's hands at random (one with the left hand and one with the right hand). The goal is to ...

**31**

votes

**2**answers

931 views

### Random sequence of integers in $\{1, 2, \dots, n \}$ which is “everywhere probably increasing” - how long can it be?

Let $D=(d_1,d_2,\dots,d_k)$ be a sequence of correlated random variables. $D$ is "everywhere $r$-probably increasing" if the event $d_j > d_i$ has probability $\geq r$ for all $j > i$.
Fix $r ...

**4**

votes

**2**answers

233 views

### Is $B(t-1)$ an Ito process?

Let $I(\cdot)$ be an indicator, and $B_{t}$ be an 1-dim standard Brownian motion in a nice filtered probability space
$(\Omega, \mathcal{F}, P, \mathcal{F}_{t})$. We consider a random process
$$Y_{t} ...

**1**

vote

**1**answer

98 views

### Probability of sub-sequence of exact length to occur

Let's suppose that I have a sequence of length $L$ of uniformly distributed random numbers on interval $(a,b)$. How can I calculate probability that increasing sub-sequence of length $M,M <L, $ ...

**0**

votes

**1**answer

103 views

### probability in galton watson processes [closed]

I am trying to study the Elementary new proofs of classical limit theorems for Galton Watson processes written by Jochen Geiger.
I don't understand what Z_(n,i) stand for.
And in the proof of Theorem ...

**-1**

votes

**1**answer

109 views

### Continuity of function mapping $\mathcal{P}(\mathcal{P}(X))$ to $\mathcal{P}(X)$ [closed]

Given a topological space $Y$, let $\mathcal{P}(Y)$ be the set of all probability measures on $Y$, endowed with the weak* topology.
Let $X$ be a topological space (for convenience, it might be Polish ...

**7**

votes

**1**answer

216 views

### Central limit theorem for biased random walk

Define random variables $X_n$ by $X_0 = 0$ and
\begin{equation*}X_n - X_{n-1} = \begin{cases}
1 & \text{with probability } g(X_{n-1}) \\
0 & \text{with probability } 1-g(X_{n-1})
\end{cases}
...

**1**

vote

**0**answers

120 views

### Joint law of a standard Brownian motion and its local time at a nonzero level

Let $B_t$ be the standard Brownian motion and $L_t^a$ be the local time at level $a$. It is known that the joint-density of $(L_t^0,B_t)$ is
$$
P\left(B_t\in d y, L_t^0\in d v\right) = ...

**3**

votes

**1**answer

594 views

### Is the integral always nonzero?

Let
$$I_{n,p,a}:=\int_0^{\infty-} \frac{g_{n,a}(t)}{t^{p+1}} \, dt,$$
where
$$(*)\qquad\qquad\qquad n\in\mathbb N,\quad -\infty<a<\infty,\quad p_{n,a} < p < ...

**0**

votes

**0**answers

41 views

### Recursive parameter estimation for partially observed Ito SDEs

I'm trying to get my head around online (recursive) maximum-likelihood parameter estimation in the language of stochastic processes and in the context of stochastic filtering, i.e. where we have a ...

**2**

votes

**0**answers

64 views

### Poincare inequality for the measure of Brownian path

I am wondering if the Poincare inequality holds for the Brownian path space.
As the simplest example, let $\{w_t, t \in [0, 1]\}$ be a 1-d standard BM: has independent increments and continuous ...

**1**

vote

**0**answers

96 views

### Horizontal vs Vertical sides Exit from a Rectangle for simple symmetric Random Walk on $\textbf{Z}^{2}$

Consider simple symmetric random walk, $X_{n} = (X_{n}^{(1)}, X_{n}^{(2)})$ with $X_0= (0,0)$, on the 2 dimensional integer lattice, $\textbf{Z}^{2}$.
Let $T_{M}, T_{N}$ be the smallest $n$ such ...

**2**

votes

**0**answers

41 views

### Functions whose Laplace transforms have prescribed behavior at minus infinity

Let $f:\mathbb{R}\rightarrow\mathbb{R}$ be a non-negative function with entire Laplace transform $\hat{f}$ (in particular $\lim_{t\to \infty}e^{st}f(t)=0$ for all $s$), and $p_0$ a positive integer. ...

**4**

votes

**1**answer

143 views

### convergence of integral for each bounded function in probability

Let $\mu, \mu_1, \mu_2, \dots$ be random measures on
a Polish space (separable completely metrizable topological space) $(S, {\mathcal S})$.
Suppose I know that
$$\int f d \mu_n \to \int f d\mu$$
...

**0**

votes

**1**answer

207 views

### Are such averages known with representations of $S_n$?

Like is there a sense in which one can quantify that for two group elements (in different conjugacy classes) their characters are "close" for some fixed irreducible representation? (feel free to ...

**1**

vote

**1**answer

141 views

### Interchanging limits for doubly indexed random sequences

I've encountered the following problem which seems to be quite standard but for which I can't find any proper references (asking on mathematics SE didn't bring up any answers so I'm reposting my ...

**8**

votes

**7**answers

571 views

### Finite-space dynamical systems

This question is quite open-ended, but I will formulate several sub-questions that I'll try to make precise. It is about finite-state dynamical system: start with a finite set $X$, with say $n$ ...

**3**

votes

**1**answer

75 views

### random odes adapted solution

Let $\{\omega_t\}$ be a Levy process (like Brownian Motion, stable process). Consider the following random ode
$$x_t=x_0+\int_0^tb(x_s+\omega_s)ds$$
Where $b$ is a bounded continuous function (not ...

**13**

votes

**4**answers

773 views

### Random Diophantine polynomials: Percent solvable?

Suppose one generates a random polynomial
of degree $d$ with integer coefficients
uniformly distributed within $[-c_\max,c_\max]$.
For example, for
$d=8$, $|c_\max|=100$, here is one random ...

**3**

votes

**0**answers

223 views

### Unusual generalization of the law of large numbers

I have seen in physical literature
an example of application of a very unusual form of the law of large numbers. I would like to understand how legitimate is the use of it, whether there are ...