**3**

votes

**0**answers

73 views

### Lower semi-continuity of the Hellinger-Fisher-Rao distance

I am currently working on unbalanced optimal transport, where the Hellinger (or sometimes Fisher-Rao) distance
$$
...

**1**

vote

**0**answers

158 views

### A path optimisation problem

Consider a graph of $n$ nodes randomly located in $[0,1]^2$. Each node moves following a path randomly chosen from the set of all possible paths. Regard nodes as attackers. A policeman seeks an ...

**1**

vote

**0**answers

95 views

### Chain Rule for Maximal Correlation

Let a pair of random variables $(X,Y)$ be defined over finite alphabet $\mathcal{X}\times \mathcal{Y}$ with joint distribution $P_{XY}$. The maximal correlation $\rho(X;Y)$ between $X$ and $Y$ is ...

**1**

vote

**1**answer

73 views

### An inequality for Maximal Correlation over a Markov Chain

Let a pair of random variables $(X,Y)$ be defined over finite alphabet $\mathcal{X}\times \mathcal{Y}$ with joint distribution $P_{XY}$. The maximal correlation $\rho(X;Y)$ between $X$ and $Y$ is ...

**0**

votes

**0**answers

69 views

### Example that a finite collection of contractions can't approach the set of all contractions well enough

I'm looking for an example of a seperable and complete metric space $(S,d)$ such that there exist some $\varepsilon > 0$ and $P$ a probability measure on the Borel open sets $\mathcal{B}_S$ for ...

**0**

votes

**0**answers

35 views

### positive Harris recurrent, aperiodic, stationary Markov chain

How to proof that every positive Harris recurrent, aperiodic, stationary Markov chain is alpha-mixing (strong-mixing)?

**2**

votes

**1**answer

134 views

### Classification of Lebesgue-Rokhlin spaces

I am currently trying to grasp some ideas on Lebesgue-Rokhlin spaces from Bogachev, "Measure Theory", vol. 2.
Such spaces are also known as standard probability spaces but the definitions are not ...

**2**

votes

**1**answer

45 views

### Edge-perspective degree distribution

I was reading this paper when I came across something called the edge-perspective degree distribution in a network. Consider a graph $G$, the degree distribution of whose nodes is $f(d)$. They say the ...

**3**

votes

**0**answers

119 views

### Is there any probabilistic characterization for generalized solvable groups?

References: This question is inspired by a conjecture of Alon Amit that is solved by Miklós Abért, Nikolay Nikolov and Dan Segal in the following papers:
(1) On the probability of satisfying a ...

**1**

vote

**1**answer

91 views

### Differentiability of stochastic process

Is it possible to construct a stochastic process $X_t$ where the limit
$\lim_{\Delta \rightarrow 0} \rm{Var}\left(\frac{X_{t_0+\Delta}-X_{t_0}}{\Delta}\right)$
does not exist but the sample paths ...

**4**

votes

**0**answers

122 views

### The distribution of the elements of an eigenvector of random matrices

Suppose a random matrix $A$ with its elements following Gaussian distribution with non-zero mean. We know that the eigenvalues of $A$ have two patches: one is at the real axis that is far away from ...

**0**

votes

**0**answers

63 views

### Why is $\mathcal{E}(X)=\mathcal{E}(X,X^*)$?

According to a course about $\sigma$-agebras in infinite dimensional space they said that it is easy to see that :
$$\mathcal{E}(X)=\mathcal{E}(X,X^*)$$
where:
$X$ is separable real Banach space.
...

**8**

votes

**1**answer

243 views

### Base schemes and Bayesian priors

One of Grothendieck's dicta about algebraic geometry is to consider "the relative situation", where one doesn't consider the category of schemes but of schemes over a fixed base scheme.
In Bayesian ...

**1**

vote

**1**answer

109 views

### Independence of two random variable

Let $W$ and $S$ are two positive valued continuous random variable. Suppose
$g: [0,\infty)\rightarrow [0,\infty)$ is a convex function with a constraint that $g$ can't be of the form $g(x)=cx$, $c$ ...

**11**

votes

**2**answers

408 views

### How many random sieve operations to decimate the set {2,…,n}?

Let $S$ be the set of integers $\{2,3,4,\ldots,n\}$.
Consider the following process:
Select a random element $k \in S$.
Remove from $S$ every number divisible by $k$.
Repeat with this reduced $S$.
...

**2**

votes

**1**answer

39 views

### Conditioned binomial dominates unconditioned with different parameter

Let $X \sim \text{Bin}(n,p)$ and $Y \sim \text{Bin}(n-1,p)$ with $n >1, p \geq 1/2$ and $X,Y$ are independent. I'd like to show
$$(X\mid X \geq 1) \succeq_{sd} 1 + Y.$$
Here $(X \mid \cdot)$ is the ...

**0**

votes

**1**answer

110 views

### Is it safe to work on a Cadlag modification of a Feller process?

Let $f$ be a continuous bounded function.
$X$ is a Feller process, and $\hat X$ is its Cadlag modification. By the definition of the modification, one can write
$$\mathbb E[f(X_t)] = \mathbb E[f(\hat ...

**16**

votes

**2**answers

810 views

### Probability of two vectors lying in the same orthant

Let $S^{d-1} = \{x \in \mathbb R^d: \|x\| = 1\}$ denote the unit sphere in $\mathbb R^d$. Let $v$, $w$ be drawn uniformly at random from $S^{d-1}$, conditioned on their inner product being equal to ...

**0**

votes

**0**answers

67 views

### Large deviations type results for sum of i.i.d. random functions

Assume that $f_1, f_2, f_3,\ldots$ are i.i.d. random functions $[0,1]\mapsto \mathbb{R}$ such that
(1) random variables $M_k=\sup_{x\in[0,1]}f_k(x)$ have exponential tails,
(2) $f$'s are a.s. ...

**0**

votes

**1**answer

91 views

### Proving an inequation based on binomial distributions

Problem statement
Let $c \in \mathbb{N}$, $n_1 \in \mathbb{N}_0$, and $n_2 \in \mathbb{N}_0$ be integers and $p$ a probability. Furthermore, let $b(m,j,p) = \binom{m}{j}p^j(1-p)^{m-j}$ denote the ...

**10**

votes

**1**answer

152 views

### Probability distribution derived from gamma function - does it have a name?

Consider the complex gamma function, denoted by $\Gamma(\sigma+it)$.
Now, let's fix $\sigma$ and let t vary. Then consider the following expression:
$$|\Gamma(\sigma+it)|^2$$
For any choice of ...

**1**

vote

**1**answer

64 views

### Hitting time of a stochastically continuous process [closed]

Suppose $X$ is 1-d stochastically continuous process with $X(0) = 0$, i.e.
$X_s \to X_t$ in probability as $s\to t$ for all $t\ge 0$. Let $\tau = \inf\{t>0: |X_t|>1\}$.
[Q.] Is $\tau>0$ ...

**11**

votes

**2**answers

349 views

### Pursuit-Evasion type game on graph (“Flyswatter game”)

An instance of the "flyswatter game" is defined by a graph $G$ and positive integer $k$. There are two players, A (the 'fly') and B (the 'swatter'). Essentially, the fly moves around $G$ and the ...

**2**

votes

**2**answers

91 views

### A question about Skorokhod embedding problem

The Skorokhod Embedding Problem is well known and has many solutions. Now let $B=(B_t)_{t\ge 0}$ be a standard Brownian motion and $\tau$ be an embedding to the centered distribution $\mu$, i.e. the ...

**4**

votes

**1**answer

220 views

### Blumenthal and Kolmogorov 0-1 law

Blumenthal's 0-1 law see theorem 5.8/5.9 tells us that an event in the germ $\sigma-$ algebra has either probability zero or one with respect to a measure induced by a Brownian motion starting in some ...

**7**

votes

**1**answer

275 views

### How to calculate expected value of matrix norms of $A^TA$?

Let $A$ be a random $m$ by $n$ rectangular sign matrix, chosen uniformly at random, with $m < n$. Let $B = A^T A$. We know, for example, that $B$ is a square and symmetric $n$ by $n$ matrix with ...

**3**

votes

**1**answer

158 views

### Smallest eigenvalue gap of a non-symmetric random matrix

The question: Let $A$ be the matrix whose each element is an independently generated random variable which is uniform on $[0,1]$. One can see that the eigenvalues of $A$ will be distinct almost ...

**1**

vote

**1**answer

113 views

### moment sequence which does not define a random variable vs convergence in distribution

I am encountering the following problem concerning existence of a limiting random variable (in distribution): assume a sequence of positive random variables $\{X_n\}_{n\geq 0}$ from which we know ...

**2**

votes

**0**answers

56 views

### What is the gap between the two defined distances from node to node in a random graph?

Give a sparse random graph $G=(V,E)$, every edge $(u,v)\in E$ is associated with a weight $w(u,v)$. We assume each $w(u,v)$ is geometrically distributed with parameter $p_{u,v}$. The weight of a path ...

**0**

votes

**0**answers

27 views

### Is it possible to estimate the Interaction information of three variables without knowing their joint distributions?

I want to have a measure of the "synergy" between two players in a game. Each player has its own win ratio (won/played), which I'm modeling as two binomial distributed random variables X and Y. A ...

**1**

vote

**1**answer

76 views

### Exponentially Bounded Sequence of Moments defining Distribution?

I have an exponentially bounded sequence $m_n = \lambda^n + c_n$ (i.e. the $c_n$ are quadratic in $n$) and would like to know if this sequence of moments defines a distribution. I considered applying ...

**1**

vote

**1**answer

119 views

### Two types of random walkers on square lattice

Consider a two dimensional square lattice ($n$ by $n$), which is our space $S$ (each point labelled by an index $1\to n^2$), containing two types of particles, distinguished here by either an index ...

**1**

vote

**0**answers

54 views

### Modify exponential family representation to a semimartingale

Given a filtered space $(\Omega, F,\mathcal{F}_{t})$ with rightcontinous filtration. We have a class of probability measures $P=\{P_{\theta}:\theta \in \Theta\}$ definied on the filtered space.
We ...

**5**

votes

**2**answers

201 views

### Brownian motion in $n$ dimensions

Consider a particle starting at the origin in $\mathbb{R}^n$ and undergoing Brownian motion. Is there an expression known for the probability of the particle hitting the sphere $S^{n - 1}_r = \{x \in ...

**3**

votes

**3**answers

257 views

### Arcsine law for Brownian motion with drift

Let
$$X_t = m \cdot t + W_t$$
where $W_t$ is a Brownian motion. Let
$$Z = \sup \{ t\in [0,1] : X_t = 0\}.$$
It is known that if $m = 0$ then the distribution of $z$ is given by
$$\mathbb{P}[Z \leq y ...

**2**

votes

**2**answers

113 views

### Convergence in distribution to a Poisson

We have encountered the following problem that we think that should be true. Let $\{X_n\}_{n\geq 0}$ a sequence of random variables which we know that $\mathbb{E}[X_n]$ tends to infinity.
The ...

**5**

votes

**1**answer

269 views

### An Inequality of KL Divergence

Given two probability distributions $P$ and $Q$ defined over a finite set $\mathcal{X}$, one can define the KL divergence between $P$ and $Q$ as
$$D(P||Q):=\sum_{x\in ...

**0**

votes

**1**answer

107 views

### An asymptotic intersection problem

Given a set of $n\in\Bbb N$ integers $\mathcal S$ and $\mathsf s,\mathsf t\in\big(0,1\big)$, suppose we choose two sets:
$$\mathcal S_{\mathsf{1}}\subseteq\mathcal S$$
$$\mathcal ...

**10**

votes

**2**answers

215 views

### Slight variation on law of the iterated logarithm

Let$$M_t = \max\{B_s : 0 \le s \le t\},\text{ }m_t = \min\{B_s : 0 \le s \le t\},$$where $B_t$ is a standard Brownian motion. My question is, does there exist $r$ such that with probability ...

**13**

votes

**0**answers

236 views

### A functional inequality about log-concave functions

Let $f,g$ be smooth even log-concave functions on $\mathbb{R}^{n}$, i.e.,$f=e^{-F(x)}, g=e^{-G(x)}$ for some even convex functions $F(x),G(x)$. Is it true that:
$$
\int_{\mathbb{R}^{n}} \langle ...

**3**

votes

**1**answer

76 views

### Uniform convergence of 2-norm of a multinomial vector

Let $(X_1,X_2,\ldots,X_k)$ be distributed according to a multinomial distribution with parameters $(n;p_1,p_2,\ldots, p_k),$ i.e.
$$P(X_1=n_1,\ldots,X_k=n_k) = {n\choose n_1,n_2,\ldots,n_k} ...

**0**

votes

**0**answers

45 views

### methods to analyze martingale conditioned on return in the future

Consider a martingale $S_t$ on $\mathbb{Z}$ starting from 0. Assume that for any $t$, $Var[s_t\, | \, \mathcal{F}_{t-1}] < V$, where $V$ is some positive constant. Fix an $n$ and for $t \leq n$, ...

**8**

votes

**1**answer

267 views

### Extension of Dynkin's formula, conclude that process is a martingale

This question was asked here, but it did not get enough attention, so I'm crossposting it to MO.
Let $u: \mathbb{R}_+ \times \mathbb{R}^d$ be a bounded $C^2$ function whose first and second partial ...

**4**

votes

**0**answers

72 views

### Concluding that the Poisson kernel is indeed the Cauchy distribution?

See here.
Let $d = 2$, and consider the domain $D = \mathbb{H}$, the upper half-plane. Let $W_t = (X_t, Y_t)$. We see that for any $\theta \in \mathbb{R}$ and any $t \ge 0$, we have$$E^{(x, ...

**4**

votes

**1**answer

149 views

### Between arithmetic and geometric Brownian motions: when are negative values possible?

Please note edits after original post changing the specific form of the setup
Let's say we have a stochastic differential equation:
$$
\mathrm{d}S_t = |S^\beta| {(\mu \mathrm{d}t + ...

**2**

votes

**0**answers

72 views

### Poisson kernel, follow-up question, follows that process $\left\{e^{i\theta X_t - \theta Y_t}\right\}$ is a martingale? [closed]

See here.
Let $d = 2$, and consider the domain $D = \mathbb{H}$, the upper half-plane. Let $W_t = (X_t, Y_t)$. For any $\theta \in \mathbb{R}$ and any $t \ge 0$, we have$$E^{(x, ...

**2**

votes

**1**answer

89 views

### Convergence of a test statistic

I'm reading a paper of Shao and Zhang:
Testing for Change Points in Time series.
In this paper they claim the following:
The are testing whether there is a change in the mean of a time series. So
...

**2**

votes

**1**answer

77 views

### Better alternative to solve quadratic programming for large matrices

I have the following problem. Let's say we have $x_{jk}$ it is an expression value of gene $j$ in a sample $k$. It is the average of expression levels across the cell types $s_{ij}$, weighted by ...

**3**

votes

**1**answer

129 views

### Poisson kernel, expectation, an absolute value comes in

See here.
Let $d = 2$, and consider the domain $D = \mathbb{H}$, the upper half-plane. Let $W_t = (X_t, Y_t)$. We see that for any $\theta \in \mathbb{R}$ and any $t \ge 0$, we have$$E^{(x, ...

**2**

votes

**1**answer

115 views

### Poisson kernel, $E^{(x, y)}\text{exp}\{i\theta X_t - \theta Y_t\} = e^{i\theta x - \theta y}$

Let $d = 2$, and consider the domain $D = \mathbb{H}$, the upper half-plane. Let $W_t = (X_t, Y_t)$. How do I see that for any $\theta \in \mathbb{R}$ and any $t \ge 0$, we have$$E^{(x, ...