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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A generalization of Jensen's Inequality

Jensen's inequality is well known as $$E\big[f(X)\big]\le f\big(E[X]\big)$$ where $X$ is a integrable random variable and $f: R\to R$ is a bounded concave function, see also ...
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272 views

Does Brownian motion immediately visit both sides of a Jordan curve?

Let $C$ be a Jordan curve in $\mathbb{R}^2$. By the Jordan curve theorem, $\mathbb{R}^2 \smallsetminus C$ is uniquely partitioned into two connected regions $A$ and $B$ (the interior and exterior). ...
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86 views

Probability and Markov processes

Suppose I have a Markov chain (satisfying all conditions of ergodicity) that has a stationary distribution that is easy to sample from. ( Assume that we know the stationary distribution upto a ...
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65 views

Reasoning about dependent and independent quantities by “degrees of freedom”

In his classic textbook Foundations of the Theory of Probability Kolmogorov defines Independence a little bit differenent then it is usually done today. He denotes a probability space by $(E, \mathcal ...
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52 views

A series with long-tailed terms

Let's consider the following series: $$ \zeta = \sum_{k=1}^{\infty} a_k \xi_k, $$ where the sum is understood as the limit in $L_2(\Omega)$, $a_k \in \mathbb{R}$, $\sum_{k=1}^{\infty} a_k^2< ...
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124 views

Geometric interpretation of the average of two independent Cauchy distributions

Let me state two facts: (1) It is well known that if one takes a point uniformly distributed on the unit circle, and then takes it stereographic projection, the corresponding measure induced on the ...
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26 views

Coordinates Poisson Cluster parent point

Is there any method to know the position of parent point in 'Poisson Cluster Process'? For information I use data with poisson distribution. data consist of (longitude, latitude, date). I want ...
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1answer
109 views

Quaternion Wishart matrices of half-integer dimension?

For a physics application (quantum delay times of a chaotic scatterer) I need to generate $m$ positive random variables $\lambda_1,\lambda_2,\ldots\lambda_m$ with probability distribution ...
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71 views

Extend product sigma-algebra to cross-constant sets

We have two probability spaces $(\Omega_1,\mathcal{F_1},P_1)$ and $(\Omega_2,\mathcal{F_2},P_2)$. Is it possible to construct probability space $(\Omega=\Omega_1\times\Omega_2,\mathcal{F},P)$ such ...
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111 views

Probability question involving simulations of picking balls from a bag

I’m working on a chemistry problem, which essentially translates to finding the answer to a related probability problem. However, my knowledge in probability is very limited and I'd be grateful if ...
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81 views

What is the sigma field of the derivative of a process?

When $t\to X_t$ is an absolutely continuous process ($X_t= X_0+ \int_0^t Y_s dt$ for some measurable process $Y_t$) we have for all $t$ $$\sigma(Y_t) \subset \cap_{\epsilon >0}\sigma(X_{s}, s\in ...
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616 views

Teaching stochastic calculus to students who know no measure theory (or PDE, or…)

I've got quite a challenge as my teaching assignment for the next Fall (not that I want to get rid of it, quite the contrary, but I still feel like asking for advice won't hurt :-)). I'm to teach the ...
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53 views

Central limit theorems for unequal probability sampling (weak but ill-defined dependence)

Suppose we are choosing samples of size $s$ from a finite population $\{a_1, a_2, \dots , a_n\}$ where our sampling is with unequal probabilities. Construct $$ S_n = \sum_{k=1}^{n} a_k $$ Under what ...
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92 views

Defining density of a random function using Radon-Nikodym Theorem

Let $(\Omega,\mathbb{F},P)$ be a probability space and $E$ be an infinite dimensional Banach space and $\mathbb{B}$ be the $\sigma$-algebra of Borel subset of $E$. Let $X$ be random function defined ...
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54 views

When the completed filtration of a process increases slowly

If $\mathcal{F}_t$ is the filtration of the evaluation process on $C_T$ (continuous function on $[0,T]$). Can we find some law of continuous process $\mathbb{P}$ so that for $t\leq T$ ...
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65 views

Estimating mean and variance of a distribution based on error-prone estimates of its cdf

Suppose I have some random variable $X$ taking values in $[a, b]$ with unknown distribution (I am happy to assume the distribution is smooth, though it would be nice to not have to). I have a ...
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108 views

Worst-Case Solution to (Stochastic) Matrix Inequality

EDIT: Some specific conjectures added. This problem comes with an associated stochastic process, but I phrase everything as linear algebra in case somebody from a non-probability community has seen ...
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56 views

Reference for a special case of the Hanson-Wright inequality

I would like find tail bounds for the expression $$ \begin{align*} \left|\left\langle a,\phi\right\rangle \left\langle \phi,b\right\rangle -\left\langle a,b\right\rangle\right|, \end{align*} $$ where ...
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331 views

Reference for a strong intermediate value theorem for measures

Let $\mu$ be a finite nonatomic measure on a measurable space $(X,\Sigma)$, and for simplicity assume that $\mu(X) = 1$. There is a well-known "intermediate value theorem" of Sierpiński that states ...
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365 views

lower-bound for $Pr[X\geq EX]$

Given n random variables, $X_1, ..., X_n$, each takes value 0 or $a_i \in[0, 1]$. $X = \sum_{i=1}^n X_i$ and $EX \geq 1$ is the expected value of $X$. Can we get a lower-bound for $Pr[X \geq EX]$? It ...
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61 views

Density for Translated Process

Let $M$ be a (compact) Riemannian manifold. Let $v$ be a smooth vector field on $M$ with flow $\Theta_t$. Let $L$ be an elliptic second order differential operator on $M$ that generates the Ito ...
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33 views

Probability of close approach for multivariate normal variables

The following problem comes from a physical model of two groups of particles in three dimensions. I need to know the probability that the two groups of particles approach each other within some ...
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66 views

Asymptotic variance for partial sum of a stationary process

Let $X = (X_1, \dots, X_n, \dots)$ be a sequence of random variables. We assume that the process X is stationary i.e. for any integer $k$, any set of indices $i_1 < \dots < i_k$ and any integer ...
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67 views

Measurability of solution of diffusion equation in sub sigma algebra

I want to solve the following problem: Get $\omega \in \Omega \subset \mathbb{R}$, $x \in D \subset \mathbb{R}^2$ and $0<a_i\leq a(.,.)\leq a_x<\infty$. Let $a( x;. )$ and $f(x;.)$ be ...
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136 views

Donsker's Theorem for triangular arrays

I should mention that I already posed this question on Math Stack Exchange, but didn't receive much feedback. Assume we have a sequence of smooth i.i.d. random variables $(X_i)_{i=1}^{\infty}$. Given ...
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1answer
118 views

Restricted singular values of random matrix

Let $X \in \mathbb{R}^{p\times p}$ be a large square matrix, consisting of i.i.d. Gaussian entries. Then it is known that the singular values of $X$ follow the Marchenko-Pastur law. Now let's ...
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96 views

First passage time of a pure drift process

I am facing the following unusual problem: $Z_t$ is a pure drift process of the form $$ dZ_t = \kappa(X_t - Z_t) dt $$ where $X_t$ is another bounded process. I am interested in computing / ...
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439 views

Table with the most seated customers in Chinese restaurant process

Suppose we have some initial configuration of people seated at some tables. We start taking new customers and seat them following Chinese restaurant process. Is there some known work on finding the ...
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1answer
258 views

About an integral equation

I would like to obtain $g$ by solving the following integral equation $$ \int_s^T R(u) dg(u) + f(s,T)\int_s^T g(u)du =0$$ where $f,R:\mathbb R _+ ^*\rightarrow \mathbb R _+ $and $g: \mathbb R _+ ...
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232 views

Isomorphisms between spaces of test functions and sequence spaces

I am in the process of writing some self-contained notes on probability theory in spaces of distributions, for the purposes of statistical mechanics and quantum field theory. Perhaps the simplest ...
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313 views

Does this equation has a closed-form solution for $t$? ($(1-p)\sum_{i=0}^{n}t^i = p\sum_{i=0}^{n}(1-t)^i)$)

We are given $n\in \mathbb N^+$ and $p\in[\frac{1}{2},\frac{n+1}{n+2}]$. Our goal is to find $t\in[0,1]$ such that $$(1-p)\sum_{i=0}^{n}t^i = p\sum_{i=0}^{n}(1-t)^i$$ Is there a closed-form ...
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203 views

Probability spaces involved in using Bayesian Inference

I am currently reading "Statistical and Inductive Inference by Minimum Message Length" by C.S. Wallace. In this, Wallace gives a fairly informal account of Bayesian Inference which, in the case ...
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95 views

Ask for reference of a stochastic process

I would like to know whether the following stochastic process is well studied. Let $\{U_k: k \ge 1\}$ be a sequence of i.i.d random variable. $U_1$ is uniformly distributed on the unit interval $[0, ...
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Determinant of matrix from set {-1, 1} [closed]

Let $A \in \mathbb{R}^{11 \times 11}$ and it's elements are form set $\{ -1,1 \}$. $\mathbb{P}(-1) = \mathbb{P}(1) = 0.5$. What is a probability to get such a matrix, that $\det A > 4000$? I have ...
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1answer
240 views

Is an infinite-dimensional “Lebesgue measure” uniquely determined by a set of positive finite measure?

Let $\mu$ be a probability measure on a subset $C \subset \mathbb{R}^\infty$ of the space of sequences, and assume, for simplicity, that $C$ is closed and convex. We say that $\mu$ admits shifts if ...
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153 views

How does Azuma's Inequality result from Pinelis Inequality?

According to [1] Let $(\mathcal{X},||\cdot||)$ be a separable Banach space and let $S(\mathcal{X})$ denote the class of all sequences $f=(f_j)=(f_0,f_1,...)$ of Bochner-integrable random ...
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47 views

Finding a general form of the density function when we have a four dimensional random variable

Consider a subject having time of the specific event $T_i$, which is a single sample from a distribution $F_i$ with density $f_i$ and support $[t_{\min},t_{\max}]$, for $i= 1,\ldots,n$. Let these ...
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143 views

Speed and absence of non-constant bounded harmonic functions

For a (symmetric) random walks on countable groups generated by $\mu$, there is a "brute-force computation" argument of Avez (1974) that shows that if the entropy $h_\mu$ is trivial then there are no ...
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98 views

Best possible concentration inequality in high dimensions

Let $X_1,\ldots,X_n$ be independent random variables in $\mathbb{R}^d$ with $EX_i=0$ and $||X_i||_{2}\leq 1$. What is the best known exponential upper bound for $$P(||X_1+\cdots+X_n||_{2}>x)?$$ In ...
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77 views

McDiarmid's inequality on normed spaces

McDiarmid's inequality says if a function $f: \mathcal{X}^n\to\mathbb{R}$ has the property that $$ \sup_{x_1,\dotsc,x_n,x'_i\in\mathcal{X}} ...
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1answer
127 views

Three-dimensional Apollonian spirals

Given mutually (externally) tangent spheres $S_1$, $S_2$, $S_3$, $S_4$, let $S_n$ be the unique sphere externally tangent to $S_{n-1}$, $S_{n-2}$, $S_{n-3}$, and $S_{n-4}$ for $n \geq 5$. Let ...
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160 views

A note on Doob's theorem

I have faced the following problem, regarding to the Martingale Theory. Because this area far from my area I don't know whether this problem is in literature or this can be simple question for ...
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404 views

Harmonic Crystal using Random Walk

Me and my advisor were looking for a specific proof of the disorder in $2d$ harmonic crystals. We could not find a paper or a textbook with it, so I thought trying my luck here. Basically, it is a ...
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79 views

Rademacher complexity of a Lipschitz class: Are the boundedness constraints necessary?

Consider the following function class: $F={f:R^d\rightarrow [a,b], f(x)=\sigma(w^Tx)}$ where $\sigma(.)$ is Lipschitz, and $w\in R^d$ is a parameter vector. The problem I'm working on is a machine ...
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88 views

Perturbation of a Bessel process of dimension 2

Bessel process of dimension 2 is defined to be solution of $$ dX_t=dB_t+\frac{1}{2X_t}dt,\quad X_0=x_0>0 $$ where $B$ is a standard 1-dimensional Brownian motion. $X$ can be viewed as the norm of a ...
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295 views

Algorithm to produce random number with a gamma distribution

I'd like to produce pseudo-random numbers with different distributions for a Monte Carlo simulation. I've got the poisson distribution working nicely with an algorithm from Knuth. I'm having trouble ...
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131 views

Randomly placing nonoverlapping unit cuboids

Suppose one places unit cuboids of dimension $d$ with min-corners uniformly distributed to lie in $[0,n]^d$, but with cuboid (strict) overlap forbidden. At some point, the region is "saturated," ...
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182 views

Random walks with exponential decreasing steps

Let $g$ be the golden number (or another algebraic integer in $(0,1)$ that fullfills an equation with coefficients $\pm 1$). Consider the random walk on $\mathbb{R}$ starting with $0$ and walking ...
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324 views

A central limit theorem for a trigonometric series involving primes

In some recent work I found I needed to prove a central limit theorem for the interesting series: $\sum_{n=1}^\infty \cos (u \log p_n) $ where u is a random variable uniform on the interval ...
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45 views

Is there a unique tilted measure with specified marginals?

Suppose $\mathcal{A},\mathcal{B}$ are finite sets and $\mu_{A,B}(a,b)$ is a probability measure on the product set $\mathcal{A}\times \mathcal{B}$ so that $\mu_{A,B}(a,b)>0$ for each $a\in ...