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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2answers
169 views

How to calculate $P(\sum_{i=1}^{m}(A_i+S_i)\le L)$ with $A_i,L\sim\text{exp}(\lambda),S_i\sim\text{exp}(\mu)$ and positive integers $\lambda\neq\mu$?

Recently I was stumped by the calculation of the probability $$\mathbb{P} \big(\sum_{i=1}^{m} (A_i + S_i) \le L < \sum_{i=1}^{m+1} (A_i + S_i) \big)$$ where $A_i \sim \text{exp}(\lambda), S_i \sim ...
14
votes
3answers
588 views

“Entropy” proof of Brunn-Minkowski Inequality?

I read in an information theory textbook the Brunn-Minkowski inequality follows from the Entropy Power inequality. The first one says that if $A,B$ are convex polygons in $\mathbb{R}^d$, then $$ ...
0
votes
1answer
153 views

maximum of certain Gaussian processes

Let $\mathbf{a}_k\in\mathbb{C}^n$ for $k=1,2,\ldots,m$ be i.i.d. standard complex normal random vectors with distribution $c\mathcal{N}(0,\mathbf{I})$. I am interested in a tight upper bound on the ...
4
votes
2answers
257 views

The borel $\sigma-$algebra of the set of probability measures

Let $X$ be a compact metric space and $M(X)$ the set of all Borel probability measures on $X$. It is know that $M(X)$ is a convex compact metric space endowed with the weak-* topology i.e. $(\mu_n)_n ...
1
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0answers
61 views

Analogue of a path-connected subspace in the context of point processes

Given a set of points $S$ in some metric space, a pair of points $x, x'$ will be termed $\epsilon$-connected if they are connected by a series of points $x_1, \ldots, x_m \in S$ such that $d(x, x_1)$, ...
4
votes
3answers
575 views

Analogy between Integers and Permutations

I am reading Andrew Granville's Anatomy of Integers and Permutations where it is argued the factorization of a permutation into disjoint cycles is analogous to the factorization of a number into prime ...
5
votes
3answers
170 views

Constructing a Bernoulli random variable for ratio of Bernoulli weights

$X$ and $Y$ are Bernoulli random variables with weights $0 < \alpha < 1$ and $0 < \beta < 1$. Is it possible to construct a sampler for the Bernoulli random variable with weight ...
4
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4answers
222 views

Derivative of the Median

I asked this at Math.StackExchange without any success (link): What's the best way (or does it even make sense) to measure the instantaneous rate of change in the median of a collection of functions ...
5
votes
2answers
265 views

Properties of the algebraic self-difference set of Brownian motion zeros

As I was trying to exhibit new interesting(?) path transformations of Brownian motion, I became interested in the (random) set of times $t$ such that $B(t)=B(t+1)=0$, where $B(t)$ denotes a standard ...
7
votes
2answers
264 views

Wait time to grid network disconnection with failing edges

Let $G_n$ be an $n \times n$ planar toroidal grid graph, with each node connected to its four neighbors, with the top row connected to the bottom, and the right column connected to the left. Suppose ...
2
votes
2answers
88 views

Sampling from maximally skewed stable distribution

I am reading a paper which refers to a maximally skewed stable distribution $F(x;1,-1,\pi/2,0)$ . Is there an efficient way to sample from this distribution? If $X$ has distribution ...
1
vote
0answers
24 views

How to rewrite this logarithmic update rule [closed]

I tried to rewrite the equation given below. I get stuck getting rid of the $ P(n|z_{1:t})$ on the left side. How can this be done? $$ P(n|z_{1:t}) = \left[1+ \frac{1-P(n|z_{t})}{P(n|z_t)} ...
3
votes
1answer
170 views

PDE-Based Triangle Inequality for Optimal Transportation

Suppose $\Omega$ is a suitably regular domain in $\mathbb{R}^n$ and $\rho_0,\rho_1\in\textrm{Prob}(\Omega)$. Benamou and Brenier showed that the $L_2$ transportation distance between $\rho_0$ and ...
3
votes
0answers
45 views

Covariance matrix for number of powers in a word

A word over the alphabet $\{0,1\}$ of length $n$ may contain squares, cubes, and generally $k$th powers, where $2\le k\le n$. Let $O_k(w)$ denote the number of $k$th power occurrences in the word $w$. ...
2
votes
0answers
139 views

Probability of 4 Points being in Convex Configuration

Background of my question is, that I would like to implement a parallel preprocessing for a constructing the convex hull of very huge number of points in the euclidean plane; the idea is to process ...
2
votes
2answers
113 views

Volume of specials sets on sphere $S^N$

Suppose I'm given $m$ points $\{q_i\}$ on the sphere $S^N$. I want to get a lower/upper bound for the volume of the following sets with respect to uniform probability measure $\mathbb{P}$ on the ...
5
votes
1answer
188 views

Is there a good notion of “random bounded linear map” on a separable Hilbert space?

Let $H$ be a separable Hilbert space and let $\{e_i\}$ be an orthonormal basis. My first question is: Is there a probability measure on $B(H)$ such that for $T$ chosen uniformly randomly the ...
4
votes
1answer
263 views

Probability a polynomial $v(t)$ is divisible either by $1-t$ or by $1+t^{2^{j-1}}$, for some $j$

For large and even $n$ consider a random degree $n$ polynomial $v(t)$ with coefficients from $\{-1,0,1\}$. The coefficients are chosen uniformly and independently. Is it possible to get an ...
5
votes
0answers
167 views

Finitely additive measures on $\mathbb Z_2^\omega$ with invariance and independence constraints

Let $G = \mathbb Z_2^\omega$, with pointwise addition. Assume the Axiom of Choice. I am interested in finitely additive probability measures $\mu$ defined on all of $\mathcal PG$ that can be ...
4
votes
0answers
276 views

Stopping time of two dimensional random walk

Let $U_n=\sum_{i=1}^n X_i,V_n=\sum_{i=1}^n Y_i$, $n\geq 1$, be a two-dimensional random walk with i.i.d. increments $(X_n, Y_n)$, where $X_n, Y_n$ are discrete random variables with joint pmf ...
0
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0answers
49 views

ref request characteristic functions and asymptotic independence s

Can anyone give a reference of the following statement: (which i am not even 100% sure it is true) Let $Y_0,Y_1,\cdots,Y_n,\cdots$ be stationary random variables, such that $\lim_{n\rightarrow ...
1
vote
0answers
125 views

Doubts about Bayes' Theorem [closed]

I meet one problem on the probability and statistic theory. "Assume given a measure space $(X,S)$ with three probability measure $\mu_1,\mu_2,\lambda$ on the space. And there exsit functions ...
9
votes
5answers
1k views

Probability of a pair of memory cards ending up as neighbors

I am trying to compute the probability that after a perfect shuffling of a deck of memory cards (n pairs) none of the pairs end up with the two members next to each other. I get into a messy ...
2
votes
1answer
200 views

Prime Divisors of the $x \mapsto 2x+1$ Recursion

The Cohen-Lenstra statistics describe how often a prime divides the class number of quadratic number field $\mathbb{Q}[\sqrt{d}]$ $$ \mathbb{P}\big[h(d) \not\equiv 0\; (\mod p) \big] = \prod_{k \geq ...
1
vote
1answer
261 views

Comparing the expected stopping times of two stochastically ordered random processes (Added:(14.05.2014))

Information: a-) $X$ and $Y$ are two continuous random variables on $\mathbb{R}$ having continuous distribution functions $F$ and $G$ with $G(y)\geq F(y)$ for all $y$. b-) $S^X_n=\sum_{i=1}^n X_i$, ...
0
votes
0answers
51 views

Is Feller process time-homogeneous?

The first question is just the title. The second question is that can a Feller process which is not a Levy process has the same infinitesimal generators as Levy process? I am confused in the ...
5
votes
0answers
128 views

Inverse moment of the number of inversions of a permutation

Let $\pi$ be a permutation of $\{1,2,...,n\}$. A pair of elements ($\pi_i$,$\pi_j$) is called an inversion if $i$ $>$ $j$ and $\pi_i$ $<$ $\pi_j$. The total number of inversions in $\pi$ is ...
3
votes
1answer
105 views

Estimating total variation distance from a given distribution

Given a known distribution supported on a finite set of $n$ elements with probabilities $p_1, \dots, p_n$ and an access to an unknown distribution $q$ is it known what is the number of samples from ...
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0answers
69 views

Hazard rate of a normal distribution

Is the hazard rate of a normal distribution a convex function? It appears to be the case numerically. Does anyone have a formal proof? Thanks a lot,
1
vote
1answer
119 views

Push-forward density as surface integral [closed]

Let $X$ be a random variable taking values in $\mathbb R^n$ with a probability distribution $\mathbb P$ that has a density $p$. Consider further a linear mapping $\pi: \mathbb R^n \to \mathbb R^m$, ...
3
votes
0answers
105 views

Expectation of running maximum of diffusion processes

Let $X$ be a one-dimensional Ito diffusion $$X_t=x+ \int_0^t b(X_s)ds + \int_0^t \sigma(X_s)dW_s,$$ where $b,\sigma$ satisfy the usual Lipschitz continuity and linear growth conditions. Define the ...
0
votes
0answers
49 views

Linear Bounds on estimation error

Consider a markov chain on discrete state space $\mathbb{S} = \left\{1,2,..,S \right\}$, with transition probability matrix defined as $A = [a_{ij}]_{S \times S}$ where $a_{ij} = ...
8
votes
0answers
195 views

Hasse-Weil Bound and Chebyshev Inequality

I was reading about the Hasse-Weil bound for the number of points in on a curve over the finite field $\mathbb{F}_q$. $$ \big| |C(\mathbb{F}_q)| - (q+1) \big| \leq 2g \sqrt{q} $$ However, this ...
1
vote
1answer
168 views

A square-squareroot integer race sequence involving primes

I wonder what is the expected behavior of this process? Let $f^2_{\mathrm{next}}(n) =$ the next prime after $n^2$. $g_{\mathrm{sqrt}}(n) = \lfloor \sqrt{n} \rfloor$. Now iterate as ...
7
votes
1answer
137 views

Distribution of entries of a doubly-sorted random matrix

Take an $n \times n$ random matrix whose entries are i.i.d. with uniform distribution in $[0,1]$. Look at the sums of the elements of each row and then permute the rows so that these sums form an ...
6
votes
3answers
422 views

How many proofs of the Polya's recurrent theorem are there?

Polya's famous theorem states that a simple random walk on $\mathbb{Z}^d$ is transient if $d>2$ and recurrent if $d=1,2$. This theorem is included in almost every textbook on probability theory. ...
1
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0answers
41 views

Looking for CDFs that I can integrate a particular transformation of

I need two CDFs $G$ and $\lambda$ with unbounded support such that I can integrate $$ \int_{-\infty}^t \lambda(a(x+b))dG(x), $$$a>0,b\in\Re$. As far as I can tell, there exist no functions that ...
3
votes
0answers
69 views

Local Markov implies global Markov

Let $G=(V,E)$ be a finite simple graph, and let $\{X_i\}_{i \in V}$ be a collection of random variables associated with the vertices of $G$. The joint distributions of these r.v.s is a Markov Random ...
10
votes
0answers
239 views

Generating random finite groups

I would like a method to efficiently generate a random finite group of a given order $n$. If there are $g(n)$ non-isomorphic groups of order $n$, ideally each group would occur with probability ...
15
votes
3answers
517 views

Which distributions can you sample if you can sample a Gaussian?

Explicitly: You have a computer that is able to pick a real number at random according to the normal distribution: $\mathcal{N}(0,1) = \frac{1}{\sqrt{2\pi}}e^{-x^2/2}$. Which distributions can this ...
2
votes
0answers
80 views

Diffusion equation on mixing of diffusing particles

I am trying to study mixing of diffusing particles like it was done by E. Ben-Naim On the Mixing of Diffusing Particles. The picture below shows the idea how permutations and inversion numbers reflect ...
1
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2answers
364 views

$\{\phi:\int \phi d\mu=0\}$ for a fixed shift invariant $\mu$

Given a shift invariant probability measure $\mu$ on a mixing subshift of finite type. What are the Lipschitz functions with zero integral with respect to the measure $\mu?$ Clearly any ...
15
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1answer
312 views

partition of infinite word onto permitted words

Consider words over binary alphabet $\{0,1\}$. Let $M$ be a set of finite words such that $M$ contains at least $c\cdot 2^n$ words of length $n$ for all large enough $n$ (for a constant $c$, ...
4
votes
1answer
138 views

what characterizes a characteristic function of a probability measure in separable Hilbert spaces?

As we all know on real line $\mathbb{R}$, the following is valid A $\mathbb{C}$-valued function $\varphi$ is a characteristic function of a probability measure on $\mathbb{R}$ if and only if ...
8
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3answers
465 views

A question on Cramer's theorem

Almost everybody is familiar with Cramer's theorem: a sum $X+Y$ of of independent random variables is normal if and only if both $X$ and $Y$ are normal. Are there any other classes of distributions ...
3
votes
0answers
48 views

Are conditioning and marginalizing adjoint?

I have been curious about this for a long time. Is there a sensible notion of a conditional random variable? I have been told "no" before, but I don't feel that I ever got a clear answer. And, in ...
4
votes
1answer
118 views

What is the continuous limit of characteristic functions of probability measures in infinite dimensional spaces?

As we all know that If $\{\varphi_n\}$ is a sequence of characteristic functions of probability measures $\{ \mu_n \}$ on $\mathbb{R}$. And $\lim\varphi_n(t)$ exists for each $t\in \mathbb{R}$. ...
4
votes
1answer
131 views

Probability all Bernoulli random variables take value $1$ with limited independence

Let $S_1,\dots, S_n$ be Bernoulli random variables which are $4$-wise independent. We have that for each $i$, $P(S_i = 1) = p$ for some fixed probability $0 < p < 1$. What can we say about ...
2
votes
1answer
104 views

Linear or quadratic combinations of i.i.d. random variables [closed]

I already posted this question here http://math.stackexchange.com/questions/769920/law-of-large-numbers-for-linear-quadratic-combinations-of-i-i-d-random-variab but I received no answers. Let ...
2
votes
2answers
125 views

Ornstein-Uhlembeck coditioned to be positive

Let us consider $X$ to be an Ornstein–Uhlenbeck process, i.e. the solution of $\text{d}X_t = \text{d}W_t - X_t \text{d}t$. We define $Y$ by $$\mathbb{P}(Y\in \cdot):= ...