**3**

votes

**2**answers

149 views

### Multivariate CLT with varying dimension size

If $X_i$ is a sequence of $d$ dimensional i.i.d. integer valued random vectors with covariance matrix $\Sigma$ and $\mathbb{E}(X_i) = \mu$. Let each element of $X_i$ be chosen i.u.d. from $\{-1,1\}$. ...

**4**

votes

**1**answer

81 views

### Question about the weak convergence of probability

Let $\mu$ be a probability measure on $\mathbb R$ and set
$$c(K):=\int_{\mathbb R}(x-K)^+d\mu(x).$$
Assume that one has a sequence of probability measures $(\mu_n)_{n\ge 1}$ s.t.
$$\int_{\mathbb ...

**0**

votes

**0**answers

54 views

### Definiteness and infinite divisibility of kernels including heat semigroup

Let $P_{t}$ be the usual heat semigroup. Can one show (preferably) or disprove that for arbitrary $k \in \mathbb{R}_{>0}$ and $n \in \mathbb{N}$
we have
\begin{equation}
...

**1**

vote

**1**answer

115 views

### Question abouth Skorokhod representation of random variables (II)

This is a continuation of
Question abouth Skorokhod representation of random variables
Let $\mu$ and $\nu$ be two probability measures on $\mathbb R$ such that
$$\int_{\mathbb R}|x|^pd\mu(x),~ ...

**4**

votes

**1**answer

108 views

### Hellinger integral for the Student/Cauchy family

Let $p$ and $q$ be probability densities on $\mathbb R$, with respect to the Lebesgue measure $dx$. The corresponding Hellinger integral is
$H(p,q):=\int_{\mathbb R}\sqrt{pq}\,dx$.
Let now $p$ be ...

**5**

votes

**1**answer

109 views

### Question abouth Prokhorov metric

Let $X$ and $Y$ be two random variables with first order moments, i.e. $E[|X|]$, $E[|Y|]<+\infty$. Assume further that
$$E\left[|X-Y|\right]<\varepsilon.$$
Set $Law(X)=\mu$ and $Law(Y)=\nu$, ...

**6**

votes

**0**answers

103 views

### Maximal Correlation versus Correlation Coefficient When one RV is Gaussian

Let a pair of random variables $(X,Y)$ be continuous random variables (i.e., they both have density with respect to Lebesgue measure) with joint distribution $P_{XY}$. The maximal correlation ...

**2**

votes

**0**answers

67 views

### Conditions which might imply a function is independent over its arguments

Suppose $f: [0,1]^{k+1} \to [0,1]$ and let $(a_0, \dots, a_k, b)$ be a tuple of $[0,1]$-valued random variables. Suppose for each $0 \leq i \leq k$ there is a collection of tuples
$$
A_i = ...

**2**

votes

**0**answers

144 views

### Groups with probability measures

Are there algebraic structures that integrate groups with probability measures? For instance, can the closure operation on a group be assigned a probability that says "how much" a member belongs to ...

**4**

votes

**1**answer

87 views

### Negative population variable importance

I asked this question on stats.stackexchange and even elsewhere, but it never received an answer.
I just state the probabilistic problem here. It is about the optimality of the conditional ...

**0**

votes

**2**answers

121 views

### divisibility of uniform distribution [closed]

Let $X$ and $Y$ be independent and identically distributed random variables.
Can $X+Y$ be a uniform distribution?
(Please prove.)
In other words, is a uniform distribution divisible?
The meaning of ...

**0**

votes

**0**answers

69 views

### Conditional version of martingale difference concentration inequality

Let $M_n$ be a $\mathscr{F}_n=\sigma(\eta_m,\theta_m, m\leq n)$ measurable martingale difference sequence. Then is it possible to find a exponential tail bound for the following
$$P(|M_{n+1}| > ...

**3**

votes

**0**answers

108 views

### Interplay between CLT and convergence in Total Variation

Given a random variable $X$ with bounded moments such that $E[X] = 0, E[X^2] = 1$, let $F_n$ denote the distribution $\sum\limits_{i=1}^d\frac{X_i}{\sqrt{n}}$ where each $X_i$ is an independent copy ...

**1**

vote

**0**answers

31 views

### Comparison between the entrance measure and the harmonic measure

Consider the standard two-dimensional Brownian motion, and define $\tau(A)$ to be the hitting time of $A\subset \mathbb{R}^2$. Let $hm_A$ be the harmonic measure (from infinity) on $A$. Let $B(r)$ be ...

**3**

votes

**1**answer

112 views

### Malliavin Calculus: directional derivatives of cylinder functions exist in what sense?

Denote by $P_0(\mathbb{R}^d)$ the sets of continuous paths over $[0,1]$ started at $x=0$ with values in $\mathbb{R}^d$, we equip this space with the sup-norm and make it into a probability space by ...

**3**

votes

**1**answer

155 views

### Question abouth Skorokhod representation of random variables

It is known that for any two probability measures $\mu$ and $\nu$ on $\mathbb R$ that are close in the Prokhorov metric $\rho$, i.e.
$$\rho(\mu,\nu)<\varepsilon,$$
then there exist two random ...

**4**

votes

**1**answer

176 views

### Short papers in applied probability

Which journals publish short papers/technical note in applied probability, for example stochastic approximation ?

**4**

votes

**1**answer

115 views

### standard auction model

I'm not familiar enough with the auction theory to know where to look, but this seems close to what seems to be known as the "standard auction model".
Say an asset is up for auction.The true value of ...

**6**

votes

**1**answer

231 views

### Finding discrete entropy via differential entropy

In a recent math.se question the following was asked which I have slightly edited.
"
Consider a fixed and given $n$ by $n$ matrix $M$ whose elements are chosen from $\{-1,1\}$. Consider also a random ...

**1**

vote

**0**answers

97 views

### Monotonicity of the Hellinger integral/distance

Let $p$ and $q$ be probability densities on $\mathbb R$, with respect to the Lebesgue measure $dx$. The corresponding Hellinger integral and distance are
$H(p,q):=\int_{\mathbb R}\sqrt{pq}\,dx$ and ...

**0**

votes

**0**answers

67 views

### $\sum_{n\in\mathbb{Z}^2}d\mu(x-2\pi n)=0\Rightarrow$ the summands are pairwise mutually singular

Let $\mu$ a finite measure supported by $\Gamma$ (smooth curve in $\mathbb{R}^2$) and absolutely continuos with respect to the arc length measure on $\Gamma$.
Please why if ...

**11**

votes

**4**answers

864 views

### Probability two products are equal

I am interested in the following simple looking problem on which I am stuck. Let $M$ be a fixed $m$ by $n$ matrix with $\pm1$ elements. Let $x$ and $y$ be two independently sampled random ...

**1**

vote

**1**answer

58 views

### “Convergence speed” results for the Langevin process

The Langevin process is defined by the following stochastic differential equation:
$$ \dot X = - \nabla \phi + \sqrt 2 dW_t $$
Its equilibrium distribution is the following:
$$ p_\infty (x) \propto ...

**13**

votes

**0**answers

494 views

### Arguments against Freiling's argument against Continuum Hypothesis

Freiling's axiom of symmetry ($\sf AS$) is known as a justification for falsity of Continuum Hypothesis. Freiling in his 1986 paper, Axioms of symmetry: throwing darts at the real number line, ...

**9**

votes

**2**answers

338 views

### Adaptive version of the Azuma–Hoeffding inequality

The Azuma inequality states that if we have a martingale $X_1,\ldots,X_N$ that satisfies a bounded difference condition:
$$|X_k - X_{k-1}| \leq c_k$$
Then:
$$\Pr\left[X_N - X_0 \geq \sqrt{2\sum_kc_k^2 ...

**6**

votes

**1**answer

273 views

### Law of unconsious statistician: application in characteristic function

Let $g(x)=(x-a)\mathbf 1_{x\ge a}$ for some $a>0$ and let $X$ be a non-negative random variable with cdf $F$ and $E[X]<+\infty$. I want to calculate $$\frac{d}{da}E[g(X)]$$ To do that I thought ...

**1**

vote

**0**answers

97 views

### Full version of Soucaliuc's research announcement “Réflexion entre deux diffusions conjuguées”

Florin Soucaliuc published the following research announcement in 2002 containing some results from his thesis on reflected diffusion processes:
[1] F. Soucaliuc, Réflexion entre deux diffusions ...

**8**

votes

**2**answers

194 views

### Constructing an independent uniform random variable from two independent ones

Does there exist a continuous (differentiable) function $h:[0,1]\times [0,1] \to [0,1]$ such that if $\alpha,\beta\in [0,1]$ are independent and uniformly distributed on $[0,1]$, the random variable ...

**0**

votes

**1**answer

69 views

### Alternative formula of a Green's function for average density of eigenvalues of random matrix

A Green's function is defined as follows:
$$G(\omega) = \frac{1}{N}\mathrm{E}\big[ \mathrm{Tr}\frac{1}{I\omega - J} \big]$$, where $I$ is the $N$-dimensional identity and $E$ means expectation value ...

**8**

votes

**2**answers

266 views

### Proofs of main probability results from other fields

Making connections between different areas is very exciting and probability has already made connections with other fields (BM used in proving complex analysis and PDE results).
To keep it short, I ...

**0**

votes

**1**answer

187 views

### Is the limsup or liminf of n-wise independent events independent?

Let $(\Omega, \mathscr F, \mathbb P)$ be a probability space.
Consider events indexed by $m, n \in \mathbb N$:
$ \ \ \ \ \ \ \ \ \ \ \ A_{1,n}, A_{2,n}, A_{3,n} ...$ are n-wise independent.
...

**2**

votes

**0**answers

86 views

### Laplace transform of a integral function of CIR/CEV process

The Cox–Ingersoll–Ross model (or CIR model) describes the evolution of interest rates. Constant elasticity of variance model (CEV) is a stochastic volatility model, which attempts to capture ...

**1**

vote

**1**answer

84 views

### Calculate correlation values of an ensemble of $N\times N$ real asymmetric random matrix from Gaussian measure

I am now reading a paper by Sommers, H. J., et al. "Spectrum of large random asymmetric matrices." Physical Review Letters 60.19 (1988): 1895-1898., it claims a mathematical statement (equation (2) in ...

**8**

votes

**1**answer

570 views

### Sort-of Converse of Kolmogorov Zero-One Theorem

Let $(\Omega, \mathscr F, \mathbb P)$ be a probability space. The Kolmogorov Zero-One Theorem states that
Suppose we have independent random variables $X_1, X_2, ...$. Then $\forall \ A \in ...

**2**

votes

**0**answers

169 views

### Derandomization barriers in complexity theory applicable as barriers to constructive arguments replacing probabilistic method

The probabilistic method as first pioneered by Erdős (although others used this before) shows existence of a certain object while finding that object may take exponential time.
(1) Is there any ...

**26**

votes

**7**answers

1k views

### List of proofs where existence through probabilistic method has not been constructivised

Probabilistic method as first pioneered by Erdős (although others used this before) shows existence of a certain object. What are some of the most important objects for which we can show existence but ...

**-1**

votes

**1**answer

128 views

### For i.i.d X and Y , if X + Y and X - Y are independent, show X is normally distributed [closed]

The question goes as follows:
If $X$ and $Y$ are independent and identically distributed, their density function $f(x)$ is strictly positive and second-order continuously differentiable. If $X+Y$ and ...

**2**

votes

**1**answer

151 views

### Proofs of inequalities used by Erdos-Renyi in their Random Graphs Paper 1

Please refer to this, it is Erdos-Renyi 1959 paper 1 on Random Graphs. I am currently working on this, but I am stuck on the fifth page, where they use two estimates. More specifically, here's the ...

**1**

vote

**0**answers

47 views

### Integration involving modified bessel function, exponential and power

I need to find the following integration.
$$
\int_0^a e^{-(N-1)x}(\sqrt{4x}K_{1}(\sqrt{4x}))^N
$$
where
$$
a>0, \quad N \geq 1
$$
Any help will be much appreciated.
BR
Frank

**0**

votes

**0**answers

75 views

### Integral involving modified bessel function of second kind, exponential and power

I need to compute the following integral.
$$
\int_0^a e^{-bx}\sqrt{4(a-x)}K_1(\sqrt{4(a-x))}dx\,.
$$
where $$ a>0$$
and $b$ can be greater than zero or less than zero but it is not a complex ...

**6**

votes

**2**answers

344 views

### A measure of how “spread out” a probability measure is

Consider a random variable $X$ whose variance is large. As a contrast to Markov's or Chebyshev's inequality, both of which measure the concentration of a probability distribution, is there a measure ...

**2**

votes

**0**answers

43 views

### Do product distributions (or graph products) eventually cluster as more products are taken?

Say we have a joint distribution on a finite alphabet $\mathcal{X}\times \mathcal{Y}$. It could be a communication link where we want to send a random message $X$ over a channel, but it gets garbled ...

**2**

votes

**1**answer

57 views

### Bounding exceedance probabilities for correlated normal variables

Suppose $y\sim N(0,\Sigma)$ is an $n-$dimensional vector. I'm interested in an upper bound for $\Pr(\max_{1\leq i\leq n} y_i > k)$ for $k$ large. I know a little about $\Sigma$: ...

**1**

vote

**1**answer

101 views

### Feller processes / probability generators

I am looking for a example of a function in $C_0(\mathbb{R})$ such that $f',f'' \,\text{and}\, f''' \in C_0(\mathbb{R})$ with
$$ \inf f < \inf (f-a*f''')$$ for some $a>0$, but I couldn't find ...

**2**

votes

**1**answer

211 views

### Proof that it's possible to colour all elements in set, that all subsets will be bicolored

(For my easy understanding, let me rewrite the question. The author should feel free to remove my edit or... accept it; I am leaving the original formulation at the end intact).
=================
...

**1**

vote

**1**answer

84 views

### Minimum and maximum bound on mean of product of three pairwise uncorrelated random variables

There are three pairwise uncorrelated random variables $X, Y, Z$
$$E(X) = E(Y) = E(Z) = 0$$
$$E(X^2) = E(Y^2) = E(Z^2) = \sigma^2$$
How we could find minimum and maximum bound on $E(XYZ)$?

**0**

votes

**0**answers

105 views

### Comparison of Parameter estimation using maximum likelihood and Maximum entropy

I am not sure if the question is appropriate but I want to try my luck. One can estimate a parameter using maximum likelihood and we know it is optimal. On the other hand there are methods which uses ...

**1**

vote

**2**answers

244 views

### Bayes statistics precisely formulated

I am trying to learn something about Bayesian statistics, however, I am struggling already with the simplest equations and, moreover, with the very basic questions: What are we given? What is our ...

**4**

votes

**4**answers

415 views

### Order of magnitude of the hitting time of a random walk

Consider the random walk on $\mathbb R$ with $X_0 = a >0$ and
$$X_{n+1} = X_n + U_n,$$
where $U_0, U_1, U_2,\ldots $ is an i.i.d. sequence of uniform random numbers in $[-1,1]$.
How does the ...

**4**

votes

**1**answer

165 views

### Random walk with continuously distributed steps on [-1,1]

A simple random walk $S_n = X_1 +\cdots +X_n$, where $P(X_i = 1) = p \not = 0.5$ and $P(X_i=-1)= q \triangleq 1-p$, admits the following probability
$$P(S_n \textrm{ reaches } a \textrm{ before} -b) ...