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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3
votes
1answer
104 views

Expected number of leaf nodes in some theoretical graph models

If a leaf node of a graph refers to a node having the degree of 1, how can one compute the expected number of leaf nodes of: (A) a random graph (e.g., Erdos-Renyi graph), (B) a small-world graph ...
1
vote
0answers
70 views

Probabilistic proof for expander existence [closed]

I am new to probabilistic proofs and trying to understand them better. Apparently, a common probabilistic proof focuses on the existence of expanders (eg. vertex expanders). I've been using the search ...
0
votes
0answers
103 views

Alternate proof for Caratheodory extension theorem

This question is on the intuition behind the Caratheodory definition of measurable sets as given in Billingsley. He motivates by saying that we "should" call a set $A$ measurable if $$P^*(A) + ...
6
votes
1answer
117 views

Does a Gaussian process shrink under a contraction map

Let $T \subset \mathbb R^n$, and assume it's a finite set if that helps. Consider the symmetric Gaussian process $(X_t)_{t\in T}$ defined by $X_t = \langle G, t\rangle$, where $G$ is a standard ...
3
votes
1answer
128 views

Regarding left-to-right minima

Let $\rho$ be a permutation on $[1,n]$ and $l_i$ be the number of left-to-right minima in $\rho_{i\ldots n}$, I know that for a random permutation $E[l_1] = H_n$ (the $n$-th Harmonic number) but is ...
1
vote
1answer
83 views

Balls from bin with replacement, distinct elements, concentration inequality

Draw $n$ numbers, denoted by $a_1, a_2, \ldots, a_n$, from set $[n]$, that is, for each $i$, $a_i$ is a uniformly random number from $[n]$. Let $A = \{a_1, a_2, \ldots, a_n\}$. Then $$ ...
3
votes
1answer
99 views

Create matrix containing values in [0,1] where sum of all diagonals and anti-diagonals is fixed

The problem I am facing sounds at first glance pretty simple. However, as very often, it seems more complicated than I first assumed: I want to calculate a matrix $P = (p_{j,k}) \in \mathbb{R}^{n ...
0
votes
1answer
130 views

Is the following “section-wise” defined function measurable in the product space?

I asked this question in mathstackexchange a couple of days ago. Almost right after posing it a partial (affirmative) answer came to my mind in the following form Proposition: Assume that ...
4
votes
2answers
217 views

First collision time of $n$ random walkers on a cycle

My question is somehow related to the one here First Collision Time for k Random Walkers on a Torus but, unfortunately, the answer does not cover my concern. My problem is: consider $n$ walkers on ...
11
votes
2answers
293 views

A measure on the space of probability measures

This question was originaly posted in the stackexchange https://math.stackexchange.com/questions/1226701/a-measure-on-the-space-of-probability-measures but since it only got a comment I decided to ...
1
vote
0answers
33 views

Equivalence of Graphical model selection algorithms

Suppose, a jointly Gaussian random vector is denoted by $X \in \mathbb{R}^{p}$ and $X$ has a distribution given by $\mathcal{N}(\mu,\Sigma)$. It is known that estimating the graphical model that ...
3
votes
1answer
112 views

General ballot theorem

I am looking for a version of the Ballot Theorem for general step distributions. Specifically, let $X_1,X_2,\ldots$ be i.i.d. real random variables with some distribution. Let $S_n = S_1 + \cdots + ...
4
votes
2answers
290 views

Expectation of Mahalanobis norm

Let $(g_i)_{i=1,...,d}$ sampled i.i.d. from a standard Gaussian, and $(\lambda_i)_{i=1,...,d}$ non-random s.t. $\max_i(\lambda_i)=1$ and $\lambda_i>0, \forall i$. I am looking for the expectation ...
7
votes
2answers
224 views

A moment problem

Suppose $X, Y$ are two positive random variables such that $\mathbb{E}[X^\alpha] = \mathbb{E}[Y^\alpha]$ for all $\alpha \in (0, 1/2)$. It is also known that the first moment exists for each of them, ...
6
votes
2answers
213 views

A variant of random walk

Standard random walk assumes a sequence of iid RVs $\{X_i\}_{i\geq 0}$ and studied the distribution of $S_n=\sum_{i=0}^n X_i$. Here, I am wondering whether there is some work on $T_n=\sum_{i=0}^n ...
10
votes
0answers
154 views

Self-avoiding random walks that always turn

I am wondering if the statistics of self-avoiding random lattice-walks on $\mathbb{Z}^2$ that turn left or right at each step (i.e., they cannot continue the direction of the preceding step) have been ...
1
vote
0answers
68 views

Bounding correlation between blocks of Gaussian stationary process

Let $X_n$ be a stationary Gaussian process with covariance function $\gamma(n)=\mathrm{Cov}[X(n),X(0)]$. Let $\mathbf{X}_p^q=(X_p,\ldots,X_q)$, $s_n^2=\mathrm{Var}(X_1+\ldots+X_n)$, and ...
2
votes
2answers
348 views

Primes as uncorrelated random variables [closed]

The heuristic justification section of the Wikipedia article about Goldbach's conjecture says that the argument that suggests that the number of twin primes below $x$ should be roughly ...
5
votes
0answers
181 views

Quadratic variation and predictable quadratic variation for martingales

Let $(M_{t})_{0\le t\le 1}$ be a continuous martingale with respect to the filtration $(\mathcal{F}_{t})_{0\le t\le 1}$. Assume that $E M_1^2<\infty$. Fix $N$ and consider now a discrete version ...
10
votes
4answers
655 views

Rate of convergence in the Law of Large Numbers

I'm working on a problem where I need information on the size of $E_n=|S_n-n\mu|$, where $S_n=X_1+\ldots+X_n$ is a sum of i.i.d. random variables and $\mu=\mathbb EX_1$. For this to make sense, the ...
48
votes
4answers
2k views

When has the Borel-Cantelli heuristic been wrong?

The Borel-Cantelli lemma is very frequently used to give a heuristic for whether or not certain statements in number theory are true. For example, it gives some evidence that there are finitely many ...
2
votes
1answer
168 views

Push-forward of sum of two maps

Let $X=R^n$ and $Y=R^m$ are two Euclidean spaces with $m<n$. Let $\varphi$ and $\phi$ are two (smooth) maps from $X$ to $Y$ and $\mu$ is a probability measure on $X$. Is there any relationship ...
4
votes
1answer
141 views

Area enclosed by Brownian motion (without winding number)

The question Average Value of Area Closed by Brownian Motion turned out to be about the Lévy area process, which measures "signed area with multiplicity" enclosed by Brownian motion (e.g. each ...
7
votes
1answer
124 views

Is there a Degenerate Dependency Local Lemma?

The Lovasz Local Lemma has several generalizations, with names usually starting with L, such as Lopsided or Lefthanded. Here I ask whether another possible generalization (for which I could not yet ...
3
votes
1answer
149 views

A Generalized Version of Maximal Correlation and Hypercontractivity of Conditional Expectation Operator

Given a pair of random variables $(X,Y)$ over a product space $\mathcal{X}\times \mathcal{Y}$, the maximal correlation coefficient is defined as ...
8
votes
1answer
295 views

Samuel Karlin's problem: Probability of positive solution to system of random linear equations

I came to know this problem from Dr. W. Bryc's slides (at University of Cincinnati), and I have been continually working on this problem for almost 5 days using different techniques. But I am only ...
2
votes
0answers
51 views

Bounds on number of distinct substrings

I have a table with $r$ rows of length $\ell$, with each cell containing a letter from an alphabet $A$ of length $a$. I'm trying to determine the expected number of distinct strings of length $k$ ...
1
vote
1answer
286 views

Is there an analytic solution for this partial differential equation?

The Fokker-Planck equation for a probability distribution $P(\theta,t)$: \begin{align} \frac{\partial P(\theta,t)}{\partial ...
2
votes
4answers
324 views

Higher Moments, what are they good for? [closed]

Absolutely nothing? And now seriously - When I studied the basics of probability theory, and even in more advanced topics (random walks, stochastic processes, etc.), I always felt that the mean and ...
2
votes
1answer
163 views

Hitting probabilities for conditioned oriented random walk monotonic?

Consider an oriented random walk on $\mathbb Z^2$ (i.e. only steps $\rightarrow$ and $\uparrow$ with equal probability.) Say we let the walk go $2m$ steps then start guessing sites at distance $2m$ ...
2
votes
1answer
122 views

Criterion for weak convergence of probability measures on S' or D'

Let $X_n$ in $S'$ and $\mu_n$, $\mu$ in $M(S')$. $S'$ is the space of tempered distributions. I'm looking for a reference that says if $< f, X_n >$ converges in distribution to $< f,X>$ ...
2
votes
0answers
80 views

Implication of MGF inequality

Let X and Y be two random variables. Denote by $F_X(x)$ and $F_Y(y)$ their CDFs and by $M_X(t)$ and $M_Y(t)$ their MGFs. It is known that X and Y have the same CDF iff they have the same MGF. My ...
2
votes
2answers
107 views

Do all positive distributions on $N$ variables factor pairwise?

The Hammersley-Clifford theorem says that any positive probability distribution satisfies one of the Markov properties with respect to an undirected graph G if and only if its density can be ...
9
votes
1answer
238 views

a question on 0-1 valued stochastic process

Here's a question on probability theory from a layman (I'm a game theorist). It is very likely that the question will be a straightforward matter for someone who is a probability theorist. I guess I'm ...
5
votes
0answers
122 views

Elementary function relative to erf

The modified Bessel function of the 1st kind $I_0$ is defined by $$ I_0(z)=\frac1\pi\int_0^{2\pi}e^{z\cos\theta}\,d\theta $$ and arises, among other places, in the probability density function of a ...
11
votes
0answers
383 views

Transitivity of balanced mass transport in Z

Given two atomic measures $\mu$ and $\nu$ on $\mathbb{Z}$, write $\mu \sim \nu$ iff there exist countable decompositions $\mu = \mu_1 + \mu_2 + \cdots$ and $\nu = \nu_1 + \nu_2 + \cdots$ along with ...
2
votes
1answer
101 views

Variant of Skorokhod's theorem

Consider the following situation: $S, T$ are standard Borel spaces (say $S = [0,1]^k$, $T = [0,1]$ if it is helpful). There is a a random variable $\zeta: \Omega \to S$. $f_n(\zeta) \to^d \eta$, ...
2
votes
0answers
55 views

Smallest Singular Value of a Random Matrix with Dependent Entries

Overview I am trying to bound from below the smallest singular value $\sigma_{n}$ of a sequence of symmetric $n$ by $n$ random matrices $M_{n}$ with dependant entries. In particular, I would like to ...
2
votes
1answer
147 views

Weak convergence of probability measures on weak versus strong dual

The space of temperate distributions $S'(\mathbb{R}^d)$ is often equipped with the weak-$\ast$ or with the strong topology. When defining the notion of a probability measure on $S'(\mathbb{R}^d)$, ...
5
votes
0answers
237 views

Squaring random Schwartz distributions

Let $\mu$ denote the centered Gaussian measure on $S'(\mathbb{R}^d)$ with covariance $$ \mathbb{E} [\phi(f)\phi(g)]=\int_{\mathbb{R}^d} \frac{\overline{\widehat{f}(\xi)} ...
6
votes
2answers
152 views

Tail sigma-algebra of a branching random walk

I am looking for any known results about the tail sigma-algebra of a branching random walk. To be specific, let $T$ be the nodes of an infinite binary tree rooted at $r \in T$. Let $\{X_t\})_{t \in ...
4
votes
1answer
119 views

Estimating the distribution of minimal hamming distances within a set of strings?

Is their an efficient mathematical way to estimate the distribution of minimal hamming distances for a set of random strings of length 8 over a 4-letter alphabet? E.g. given a set of 100-10,000 ...
13
votes
2answers
424 views

The power of two random choices with pairwise independence

Throw $n$ balls into $n$ bins, and let $X_n$ be the max load. That is the number of balls in the fullest bin. It is known that if the balls are thrown uniformly and independently at random then ...
0
votes
1answer
114 views

Probability Content of a random ball in R^n

As a follow up to this question, concerning this paper: Given random variables $X_1,\ldots,X_N,X_q:\Omega\rightarrow\mathbb{R}^d$, where $X_1,\ldots,X_N$ are independent and identical distributed. ...
8
votes
1answer
308 views

Transitive closure of balanced mass transport in Z (move to close)

Given two atomic measures $\mu$ and $\nu$ on $\mathbb{Z}$, write $\mu \sim \nu$ iff there exist countable decompositions $\mu = \mu_1 + \mu_2 + \cdots$ and $\nu = \nu_1 + \nu_2 + \cdots$ along with ...
12
votes
1answer
402 views

Natural probability on integers

This is a follow-up to this classical question asked recently here: we know (e.g. using the second Borel-Cantelli Lemma) that no probability measure on $\mathbb{Z}$ has the property that $n\mathbb{Z}$ ...
2
votes
2answers
93 views

Moment problem for discrete distributions

Let $x_1, \dots, x_N \in \mathbb R$ and consider the discrete distribution $\mu := \frac{1}{N} \sum_{i=1}^N \delta_{x_i}$, where $\delta_x$ denotes the Dirac measure, i.e. for any measurable set $B ...
16
votes
3answers
663 views

Existence of a “quasi-uniform” probablility distribution on $\mathbb{Z}$

Does there exist a probability distribution on $\mathbb{Z}$ such that for every integer $n\geq 1$, the probability that a random integer $x$ is divisible by $n$ equals $1/n$? Henry Cohn has an ...
-2
votes
1answer
117 views

If $(X_n+Y_n)$ has bounded variance, is the same true for $(X_n)$ and $(Y_n)$? [closed]

let $(X_n)$ and $(Y_n)$ be two sequences of random variables defined on the same probability space such that the variance of all components $X_n$, $Y_n$ is finite and the sequence of variances of ...
1
vote
0answers
67 views

Does the expected spreading of sample paths imply increase in variance?

Consider a sample-continuous stochastic process $\left\{ X_t \right\}_{t \in T}$ s.t. each $X_t$ is real-valued and $$\int_\Omega | X_t(\omega) | ^p \, \mathrm{d} P(\omega)< \infty$$ for all $1 ...