**3**

votes

**1**answer

219 views

### Analytic Solution to SDEs

Are there any example of SDEs with constant diffusion terms, other than the Ornstein Uhlenbeck process, which have exact solutions? I'm thinking of something of the form:
\begin{equation}
dX_t = ...

**3**

votes

**1**answer

121 views

### Does bounding moments make distributions close in total variation distance?

Let $W\sim\mathcal{N}(0,\sigma^2)$ be a "reference" Gaussian random variable.
Suppose I have a set of distributions, $\mathcal{W}$, where $W_a\in\mathcal{W}$ if it satisfies the following criteria:
...

**1**

vote

**0**answers

60 views

### Lower bound on difference between polynomials at moderate distance

Fix $r > 0$ and $k, n \in \mathbb{N}$. Also consider a function $f: \mathbb{R}^{d} \rightarrow \mathbb{R}$. Let $x_{1},\ldots, x_{n+1}$ be points chosen uniformly from $[-r,r]^{d}$. For $1 \leq i ...

**2**

votes

**1**answer

121 views

### Ergodicity for the mean of a linear process without finite second moment

Suppose that $\{X_k:k\in\mathbb Z\}$ is a linear process, i.e. a sequence of random variables such that
$$
X_k=\sum_{j=0}^\infty\psi_j\varepsilon_{k-j}
$$
for each $k\in\mathbb Z$, where ...

**5**

votes

**1**answer

243 views

### Location of maximum of Brownian motion with rough drift

I am interested in the distribution of the $\text{argmax}_{t \in [0,1]} \{B(t) + f(t)\}$, where $B$ is a Brownian motion (or Brownian bridge) and $f:[0,1] \to \mathbb{R}$ is a continuous function. ...

**1**

vote

**2**answers

229 views

### Expected matching in a bipartite graph

Consider a random bipartite graph constructed on vertex classes of size $n$ with each edge present independently with probability $p$. How could I go about calculating the size of the expected ...

**1**

vote

**0**answers

57 views

### Probability that top k elements will be got?

Suppose $n$ vaiables $a_1$ ~ $a_n$ distributed over $[1,n]$. Without loss of generity, let $a_i =n- i+1$.
Suppose that each variable has a probability $p_e$ to be wrong, and the wrong value uniformly ...

**0**

votes

**0**answers

37 views

### Restricted singular values of Wishart matrices

This is an extended question of
Restricted singular values of random matrix.
It is well-known that the smallest singular value of a $p \times \frac{p}{2}$ matrix consisting of i.i.d. ...

**2**

votes

**2**answers

202 views

### Uniqueness in martingale representation theorem

Dudley's martingale representation theorem states that if $W=\{W_t,\mathcal{F}_t;0\le t<+\infty\}$ is a standard one-dimensional Brownian motion, $0<T<+\infty$ and $\xi$ is ...

**5**

votes

**0**answers

66 views

### Eigenvalues of Random Regular Bipartite Graphs

I am looking for a way of getting a good estimate of the eigenvalues of random bipartite d-regular graphs. The literature has very precise values the proofs of which are very involved and since I am ...

**13**

votes

**1**answer

314 views

### How to roll a $p$

Let $p$ be a positive integer (which is not a power of $2$), and suppose we want to generate a number uniformly randomly in the set $\{ 0, 1, \dots , p-1 \}$ (to emulate a dice roll). We are given ...

**1**

vote

**1**answer

78 views

### Concentration bound for a martingale-like setting (the expected difference decreases as the sequence increases)

I went through several martingales concentration bounds, but none of them fit the settings I am interested in, which is the following. Suppose I have a sequence of nonnegative random variables ...

**1**

vote

**0**answers

102 views

### Is the stationary distribution of this Markov chain uniform?

First, a little bit of background: Since 2012, Canada has decided to phase out the penny for its coinage system. Product prices may still use arbitrary cents, especially since prices do not typically ...

**2**

votes

**1**answer

149 views

### Problem on convergence in space of probability measures

Let $\mu_n, \mu$ be a sequence of probability measures on a Polish space $S$ and $\mu_n', \mu'$ be some kind of extension of $\mu_n, \mu$ on $\bar{S}$ such that all the boundary points of $S$ gets a ...

**4**

votes

**1**answer

219 views

### Can the method of small moments prove a bound on the norms of random trilinear forms?

If $F(v_1,\dots,v_k)$ is a $k$-linear form on $\mathbb R^n$, the norm I want to consider is
$$ ||F|| = \sup \frac{ F(v_1,\dots, v_k)}{\prod_{i=1}^k \left|\left|v_i\right|\right|} $$
where the vector ...

**1**

vote

**2**answers

149 views

### spaces of probability measures on a Polish space and the convergence

I want to read the topic "spaces of probability measures on a Polish space and the convergence". What is the best reference for that ?

**1**

vote

**0**answers

112 views

### Is it possible to improve the order of convergence of averages of random variables if they are not identically distributed?

Let $X_n$ be a sequence of independent random variables (but not necessarily identically distributed)
taking values in $[-1,1]$ that have the following property:
1) The average $A_n := \frac{(X_1+ ...

**0**

votes

**1**answer

82 views

### reverse FKG type inequality for slightly correlated Gaussian vectors

Let $X$ be a $m$-dimensional Gaussian vector, and $Y$ a $q$-dimensional Gaussian vector, for some $m,q\geq 1$. Assume that the $X_i$ and $Y_j$ are centred and have unit variance. Assume that $E X_i ...

**1**

vote

**0**answers

72 views

### Distribution of a signal covariance matrix

A common estimation problem in signal processing assumes the following signal model
\begin{equation}
\mathbf{r} = \sum_{i=1}^{Q}\alpha_i\mathbf{s}\left(w_i\right)+\mathbf{n}
\end{equation}
where ...

**10**

votes

**1**answer

443 views

### Metric $d(A,B) = \mathbb P(\overline A\cup\overline B\mid A\cup B)$

I'm wondering where the relative probabilistic distance was first studied:
$$d(A,B) =\mathbb P(\overline A\cup\overline B\mid A\cup B)$$
where $\overline A$ is the complement of $A$.
A web search ...

**1**

vote

**0**answers

164 views

### Threshold for perfect Matchings in Bipartite graph

Consider the random bipartite graph with vertex classes of size $n$ and each edge being present independently with probability $p(n)$.
I know one way to prove the threshold of a perfect matching is ...

**3**

votes

**2**answers

186 views

### PDF of the product of normal and Cauchy distributions

I am having trouble in finding out the resulting PDF of the product of normal and Cauchy distributions. It turns out that we have a general formula for calculating the PDF of product of two random ...

**1**

vote

**0**answers

81 views

### Cesaro mean of products of converging matrices

Let $S$ be a finite set of states. Let $(M_n)$ be a sequence of transitions on $S$; that is, for every natural number $n$, $M_n$ is a non-negative $|S| \times |S|$ matrix whose rows sum up to 1. ...

**3**

votes

**1**answer

138 views

### distribution discretization

Let $\mu$ be a distribution on $\mathbb{R}^n$. We partition $\mathbb{R}^n$ into small cubes congruent with $[0,\delta)^n$, parallel to the axes. In each cube, pick a point $x$ (for instance, the ...

**2**

votes

**1**answer

191 views

### Almost sure convergence and weak star convergence

Let $(f_n)_{n\in \mathbb{N}}$ be a sequence of nonnegative measurable functions in $L_1[0,1]$. Assume that $$f_n \to f, a.e.$$ and $$\int f_n h \to \int g h, \forall h \in C[0,1].$$
Question: Do we ...

**2**

votes

**1**answer

116 views

### Maximizer of random walk with very small drift

This is an extended question based on
Large deviations for maximizer of random walk with drift.
Let $$S_k = X_1 + \ldots + X_k,$$ where $X_i$ are i.i.d. with mean $-\mu < 0$ and unit variance. ...

**1**

vote

**0**answers

70 views

### A sequence of Dirac Measure converging to stationary distribution of a Markov Chain

I have seen in a paper(http://www.sciencedirect.com/science/article/pii/S0167691105001040) Page 143 lemma 3.1, the following :
Let $X_n$ be an ergodic markov chain taking values in a complete ...

**2**

votes

**0**answers

45 views

### Non-autonomous O.D.E with discontinuous and not integrable R.H.S

Consider the non-autonomous O.D.E
$\dot{x}(t) = \int h(x(t),y)\mu(t,dy)=F(x(t),t)$
where $\mu(t,dy) = \delta_{y_n}(dy)$ when $t \in [t_n,t_{n+1})$
and $h:\Bbb R^d \times S \to \Bbb R^d$
where ...

**7**

votes

**4**answers

304 views

### Gaussian distributions as fixed points in Some distribution space

I'm taking a course on topology and probabily. Today, the professor remarked something along the lines of:
If you look at the space of probability distributions with $0$ mean and variance $1$, ...

**0**

votes

**2**answers

112 views

### What are some examples of isotrophic sets?

What are some examples of isotrophic sets? and is there a "good" way to describe them?
Isotrophic meaning that a random vector X uniformly distributed in the set has the isotrophic property for all ...

**3**

votes

**1**answer

80 views

### Could quadratic variation determine distribution?

Let $M=\{M_t,\mathcal{F}_t;0\le t<+\infty\}$, $N=\{N_t,\mathcal{F}_t;0\le t<+\infty\}$ be two continuous local martingales with $M_0=N_0=0\text{ a.s.}$. If $\langle M\rangle=\langle N\rangle$, ...

**0**

votes

**0**answers

96 views

### Probability, Topology, functional analysis problem

Consider the coarsest topology on the space of functions, whose value at a point is a probability measure on a polish space $S$, s.t. the follwoing function is continuous :
$$\nu(.) \to \int_{0}^{T} ...

**6**

votes

**2**answers

265 views

### A version of Wald identity

Let $W$ be a standard one-dimensional Brownian motion. Let $T$ be a stopping time with $\mathbb{E}\sqrt{T}<+\infty$. Then
$$\mathbb{E}W_T=0\quad \mathbb{E}W^2_T=\mathbb{E}T$$
I can prove these ...

**0**

votes

**1**answer

327 views

### A question on Ito integral

Let $W$ be a standard one-dimensional Brownian motion and $0<T<+\infty$. Then
$$\lim_{\beta\to+\infty}\sup_{0\le t\le T}|e^{-\beta t}\int_0^te^{\beta s}\mathrm{d}W_s|=0\quad \text{a.s.}$$
Could ...

**2**

votes

**0**answers

61 views

### Existence of 1-1 mapping/homeomorphism

Let $B$ be a standard 2-D Brownian motion, and $\sigma: \Omega\times \mathbb R^{+} \mapsto \mathbb R^{2 \times 2}$ is an $\mathcal F_{t}$ adapted process satisfying, for some constants ...

**8**

votes

**2**answers

207 views

### limiting distribution of the random walk from irrational rotation

Motivation:
If I recall correctly, the simple symmetric random walk from i.i.d binary steps converges in distribution to the Wiener measure (if scaled with $a_n = \sqrt{n}$). What I am wondering is ...

**3**

votes

**0**answers

104 views

### Properties of a finite random walk

Consider the simplest random walk - $X_0 = 0$ and from there on (i.i.d), $X_i=X_{i-1}+1$ with probability $p$ or $X_{i-1}-1$ otherwise.
Let $Y_N$ be the highest point $X$ have reached on the first ...

**8**

votes

**4**answers

719 views

### What does it mean when we say we have computed a number to a certain accuracy using a probabilistic algorithm?

My intention is to ask a general question about probabilistic (Monte Carlo) algorithms. But to keep things simple, I will focus on a few specific examples.
Let me start the discussion with ...

**2**

votes

**1**answer

114 views

### Algorithm interpolating between alternation and randomness

Is there an algorithm, not necessarily in the TCS sense, that is a canonical interpolation between alternation and randomness in sequences of binary digits?
This hopefully illustrates my question:
A ...

**2**

votes

**2**answers

201 views

### Removing subtrees

Let $T$ be a complete infinite rooted binary tree. Is it possible to remove (infinitely many) subtrees of $T$ and get a subgraph $G$ such that:
$G$ has no complete subtrees (the graph below any ...

**5**

votes

**1**answer

315 views

### Can ergodic theory help to prove ergodicity of general Markov chain?

I am a beginner in ergodic theory. I have read some lecture notes(such as this and this) about it in hope that I could find something which helps to prove the ergodicity of some Markov chain taking ...

**8**

votes

**1**answer

375 views

### Local time of Brownian motion + Lipschitz continuous function

Let $\mathrm{ Lip} (M)$ denote the space of all functions on $[0,T]$ with Lipschitz constant and $L^\infty$ norm bounded by $M$. Let $(B_t)_t$ be a Brownian motion defined on the probability space ...

**1**

vote

**0**answers

124 views

### How to show that two linear combinations of Bernoulli random variables have jointly Gaussian distribution (and more)

Let $X_1,\ldots,X_n$ be independent Bernoulli random variables such that $\mathbb{P}(X_i=\pm 1)=1/2$ and consider two collections of real numbers $a_1,\ldots,a_n, b_1,\ldots, b_n$. For the moment let ...

**1**

vote

**0**answers

66 views

### limit distribution of multinomial distribution with increasing categories

If $\bf{X} \sim \text{multi}(n,p)$ with $k$ categories, we know
$$ \sqrt{n}\left( \frac{\bf{X}}{n} - \bf{p} \right) \rightarrow^D N(0,\Sigma),$$
where $\bf{X}=(X_1,\ldots,X_k)^T$ and ...

**3**

votes

**1**answer

134 views

### Moments of random special unitary matrices

This should be both well-known and probably easy, but I was wondering if the following is known (and, if so, how to easily calculate the thing or where to read about how to calculate it):
what is ...

**0**

votes

**0**answers

65 views

### Local limit theorem for an infinite dimensional integer lattice

Can someone refer me to a local limit theorem for the sum ${\bf S} = \sum_{i=1}^n{\bf X}_i$ of a sequence of independent and identically distributed $d$-dimensional random variables $\{{\bf ...

**2**

votes

**0**answers

66 views

### Long paths in the supercritical percolation.

I have a question on the length of the longest path, denoted by $\ell_n$, in the supercritical percolation on $[0,n]^d$, denoted by $C_n$.
We know that $C_n$ has a giant component whose size is of ...

**-2**

votes

**1**answer

176 views

### using jensen's inequality

Suppose we have an expression
f(x, h(x,y)), for some function f and h, and x, y are random variables,
now we know that the function f(a, b) is concave w.r.t. a for given b. Can we use Jensen's ...

**2**

votes

**1**answer

140 views

### Onsager-Machlup function and most probable path of a diffusion process

Let $X_{t}$ be a real, one-dimensional diffusion process satisfying the stochastic differential equation
\begin{equation}
dX_{t} = f(X_{t})dt + dW_{t},
\end{equation}
where $f \in C_{b}^{2}(R)$ is a ...

**0**

votes

**0**answers

58 views

### Question about the representation of Skorokhod

I have a question about Skorokhod's representation theroem. Let $\Omega=R^m$ and define the canonical process $X=(X_1, ..., X_m)$, i.e. $X(\omega):=\omega$ for any $\omega=(\omega_1,..., \omega_m)\in ...