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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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
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1answer
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
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0answers
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
1answer
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
1answer
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
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1answer
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
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0answers
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
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0answers
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
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0answers
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
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1answer
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
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2answers
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 ...
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0answers
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
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0answers
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
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0answers
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
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1answer
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
1answer
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
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1answer
176 views

Short papers in applied probability

Which journals publish short papers/technical note in applied probability, for example stochastic approximation ?
4
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1answer
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
1answer
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 ...
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0answers
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
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0answers
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
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4answers
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
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1answer
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 ...
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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, ...
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2answers
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
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1answer
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 ...
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0answers
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 ...
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2answers
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
1answer
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
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2answers
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
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1answer
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
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0answers
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
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1answer
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
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1answer
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 ...
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0answers
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
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7answers
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
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1answer
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
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1answer
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 ...
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0answers
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
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0answers
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
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2answers
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 ...
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0answers
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
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1answer
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 $\Sigma$: ...
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1answer
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
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1answer
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). ================= ...
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1answer
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 $E(XYZ)$?
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0answers
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 ...
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2answers
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 ...
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4answers
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
1answer
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) ...