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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Average minimum number of random k-sparse vectors in GF(2) to span the whole space?

What is the average minimum required number of independent $k$-sparse (having at most $k$ non-zero elements) random vectors belonging to $\mathbb{F}_2^n$ to span the whole space of $\mathbb{F}_2^n$? ...
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21 views

Minimal permuted inner products

Fix $n\in\Bbb N$. Denote $P$ to be $2n+c$ smallest consecutive primes all bigger than $n^{\alpha\log^{\beta}(n)}$ for some constant $c>0$ and $\alpha,\beta\geq0$. Pick $2n$ random (might not be ...
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10 views

Sequences of random variables converging in probability to the same limit a.s [migrated]

Let $(X_n)_{n \geq 1}$ and $(Y_n)_{n \geq 1}$ be two sequences of random variables s.t. $X_n$ converges to X and $Y_n$ to $Y$ both in probability. Furthemore, $X$ = $Y$ a.s. How can I prove that, for ...
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41 views

Expected value and variance of a stochastic process

I would like to ask if there is a way to find the expected value and the variance of the following process $$ dv_t=(a-be^{\alpha v_t})dt+\sigma dW_t, \quad v_t=v_0 $$ where $a\in (-\infty,+\infty), ...
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1answer
125 views

Question on Wiener processes not hitting 0

Let $W_t$ be a standard Wiener process, and $0\leq a < b$. Let $\hat{W}_t:=W_{a+t}-W_a$. Then $\hat{W}_t$ is also a standard Wiener process. I think that the following should be true: $$\mathbb ...
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26 views

Quadratic characteristic and constancy

Consider a change of measure on $\mathcal{F}_{t}$ defined by the restriction of two probability measures of the form \begin{align} \frac{dQ_{t}(\theta)}{dP_{t}}=\exp^{ \theta A_{t}-\kappa(\theta) ...
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1answer
109 views

Upper Bound for the Difference of Even Probability and Odd Probability in Hypergeometric Distribution

Let $X$ be a random variable following the hypergeometric distribution with parameters $N,K,n$, where \begin{equation} Pr(X=k) = \frac{\binom{K}{k}\binom{N-K}{n-k}}{\binom{N}{n}}. \end{equation} To ...
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1answer
72 views

Predictable quadratic Variation <.> has same intervals of constancy as the process

From Revuz and Yor - Continuous Martingales and Brownian Motion 1999 Chapter IV Proposition 1.13 it is proven, that for a continuous local martingale $M_t$ the intervals of ...
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1answer
203 views

Supremum of a martingale

Let $(X_n)$ be a martingale. What can be said about the distribution of its maximum over a window of fixed length: $$M_n = \max_{n-10 \leq k \leq n} X_k$$ or about the "range" over a window: $$R_n = ...
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32 views

Number of trials until completion? [on hold]

You've got a discrete uniform distribution - what is the expected number of trials until each point is hit at least once? I started my thinking with maybe a Geometric distribution representing each ...
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5answers
247 views

Probability theory without deductive closure

Human knowledge is not deductively closed. Uncertainty can arise from that just as much as from lack of brute facts. (When a Harvard graduate was reported to have thought that the earth is farther ...
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844 views

Moments of function of Poisson process

(I'm new to Poisson processes, so please edit if my terminology is incorrect.) Edit: per comments, here is a (more) general version of the originally posted problem (which is now at the bottom, below ...
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35 views

how to measure a bidrectional relationship effect on third variable [on hold]

Sorry that my question was unclear: I decide to determine if there is a relationship between two variables (gross national income, X and enrollment, Y) in Country A, between 2000-2007 My results ...
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81 views

Question about continuity in the “complete Skorohod Topology”?

I am reading the book in progress of Timo Seppäläinen about the "Translation Invariant Exclusion Process" https://www.math.wisc.edu/~seppalai/excl-book/ajo.pdf In one of the exercises, exercise 8.9 ...
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0answers
592 views

What's the probability distribution of a deterministic signal or how to marginalize dynamical systems? (functional integrals in probability theory)

In many signal processing calculations, the (prior) probability distribution of the theoretical signal (not the signal + noise) is required. In random signal theory, this distribution is typically a ...
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1answer
414 views

Convergence of random variables with hypergeometric distribution

This is a very interesting conjecture of large scale property of hypergeometric distribution. Let $a>1$ be a integer constant, $N\in\mathbb{N_+}$, for any $x<N-1$, consider $N+(a-1)x$ balls in ...
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1answer
159 views

Information theoretic privacy and distance of probability measures!

I came across the notion of information theoretic privacy in the paper of Yamamoto ("A source coding problem for sources with additional outputs to keep secret from the receiver or wiretappers "). The ...
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1answer
71 views

Reference for a local density theorem for binary vectors

I have the following theorem written on my whiteboard, but have misplaced the reference. I believe the probabilistic method may be involved in the proof. Any pointers appreciated. Theorem Let ...
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0answers
70 views

Convergence of an rcll process along a random subsequence

I have a process $X_s$, for $s \ge 0$, taking values in a Polish space $T$ with an rcll version where I have shown, for every nonrandom increasing sequence $s_n$, that $X_{s_n} \to c$ in probability, ...
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1answer
524 views

Calculate channel capacity of general channel under constraint

Hi! Given a conditional distribution $P_{Y|X}$ I'd like to find the prior distribution $P_X$ that maximizes the mutual information $I(X;Y)$ with $P_Y(y)=\int P_{Y|X}(y|x)P_X(x)\text{dx}$ (this ...
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2answers
115 views

Extreme couplings

Let $X,Y$ be Polish spaces, and $\mu$ and $\nu$ are probability measures on $X$ and $Y$ respectively. We say that $M$ is a coupling of $\mu$ and $\nu$ if it is a probability measure on $X\times Y$, ...
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1answer
64 views

Median of a uniform multinomial variable

Let $k\in\mathbb N^+$ be a positive integer. Consider a set of i.i.d. random variables $X_1,X_2,\ldots, X_n$, each of which is distributed uniformly over $\{1,2,\ldots,2k+1\}$. For $i\in ...
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65 views

Construction of a random variable

I'm reading Dirichlet Forms and Symmetric Markov Processes by M. Fukushima, Y. Oshima, and M. Takeda. In Appendix A.2, where they discuss the construction of a random variable, there is the ...
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1answer
399 views

Supremum in a Markov chain model

A Markov chain $X$ with finite state space $\{1,2,\cdots,N\}$ is defined on a probability space $(\Omega, P, \mathcal{F})$ equiped with filtration $\{\mathcal{F}_t\}$. And we assume that we can reach ...
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1answer
434 views

Size of KL-divergence neighbourhoods

I am new here. I was reading another post here and this got me wondering what can be said about the size of the following kl divergence neighborhoods. Consider these two kl-divergence neighbourhood ...
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2answers
901 views

Wasserstein distance in R^d from one dimensional marginals

This question occurred to me while I was reading Klartag's papers on central limit theorems for convex bodies. Given probability measures $\mu$, $\nu$ on (the Borel $\sigma$-field of) $R^d$ with ...
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50 views

“Local” functional central limit theorem for the empirical distribution function

This question is a repost from Mathematics Stack Exchange, where it did not receive any answer. Assume $(X_i)_{i=1}^{\infty}$ is a sequence of i.i.d. real-valued random variables such that $\mathbb ...
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1answer
227 views

Law of Large Numbers for Martingales

I apologize in advance if this question is too basic, but I've received no response on Math Stack Exchange, so perhaps it is more appropriate here: Let $X_n$ be a square integrable martingale with ...
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0answers
35 views

Majorizing inequality on spectral norm of product of a random and a deterministic low-rank projection

Let $P$ be a rank $k$ uniformly randomly oriented projection matrix in ${\mathbb R}^d$ -- this is constructed as $R^T(RR^T)^{-1}R$ where $R$ is a $k\times d, k<d$ random matrix with i.i.d. 0-mean ...
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1answer
170 views

Local Markov implies global Markov

Let $G=(V,E)$ be a finite simple graph, and let $\{X_i\}_{i \in V}$ be a collection of random variables associated with the vertices of $G$. The joint distributions of these r.v.s is a Markov Random ...
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1answer
195 views

Have some works by Émile Borel ever been translated from French to English or another foreign language?

I plan to submit a couple of questions around Émile Borel's works in probability theory to MO. In this scope, I'd like to know if the following works have ever been translated from French to English ...
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1answer
1k views

surprisingly difficult filtration problem

I am interested in a proof of the following statement which seems intuitive, but is somehow really tricky: Let $X$ be a stochastic process and let $(\mathcal{F}(t) : t \geq 0)$ be the filtration ...
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124 views

Infinitesimal generator and stationarity

The following question is bothering me. I think it is probably known but I cannot find any reference... Let $(X_t)$, $(Y_t)$, $(Z_t)$ denote 3 Feller processes with respective infinitesimal ...
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1answer
78 views

Fell topology versus vague topology for representing random sets

I'm trying to better understand the consequences of representing a random set as a Random element in the space of locally finite closed sets under the Borel sigma algebra generated by the Fell ...
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1answer
37 views

Is there an easy way to convert a non-deterministic optimal policy to a deterministic optimal policy for a given MDP?

For a MDP (Markov Decision Process) is there an easy way to convert a non-deterministic optimal policy into a deterministic optimal policy? The trivial way will take ...
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1answer
68 views

Conditions for existence of dominating $\sigma$-finite measure for all conditional distributions

Suppose $X$ and $Y$ are two real-valued random variables with a specified joint probability distribution $P_{X,Y}.$ I wish to determine if there is a $\sigma$-finite measure $\mu$ on the real line ...
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1answer
421 views

inequality with exponents

We are given a graph $G$, each vertex $v$ has an assigned value $\gamma_v\in [0,1]$, and it happens that for every $v$ we have $\gamma_v+\sum_{u\in \delta(v)} \gamma_u = 1$. Assume that $\sum_v ...
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1answer
44 views

Measurable $\epsilon$-optimal selection with an analytically measurable stochastic kernel

Let $(X, \mathcal{X})$ and $(A, \mathcal{A})$ be standard Borel spaces, $D \subseteq X \times A$ be an analytic set, and $D_x := \{a \in A : (x, a) \in D\}$ denote the $x$-section of $D$ at $x \in X$. ...
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0answers
200 views

Is there a Bayesian theory of deterministic signal? Prequel and motivation for my previous question

This is a prequel to my question: What's the probability distribution of a deterministic signal? (functional integrals in probability theory) Clearly my question looks at the same time fairly ...
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1answer
200 views

Do binary symmetric channels maximize mutual information?

Consider the following setup: $(X, Y)$ is a doubly symmetric binary source with parameter $0 < p < 1/2$, i.e., $X \sim \text{Bernoulli}(1/2)$, $Z \sim \text{Bernoulli}(p)$ and $Y = X \oplus Z$. ...
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1answer
68 views

What is the order of the constant $K$ in the multidimensional Dvoretzky-Kiefer-Wolfowitz inequality($Ke^{-c z}$)?

Let $F_n$ be the empirical distribution obtained from an i.i.d. sample of the distribution $F:R ^d \to [0, 1]$. Kiefer (1961) shows that the convergence of the empirical distribution is like $$ ...
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1answer
431 views

resampling over Bowen balls

Hello MO World I'm working on a paper involving embedding your favourite measure-preserving transformation into a topological model (think Krieger generator theorem: embedding in a full shift) and ...
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1answer
114 views

Weighted sum of i.i.d. random variables

Suppose you have a positive sequence $X_1,X_2,\dots$ of i.i.d. random variables with the property that $$ \mathbb{E}[\log(X_1)]<\infty. $$ Is it true that $$ \limsup_{n\to\infty} ...
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3answers
843 views

A conjecture about the entropy of matrix vector products

Consider a random $m$ by $n$ partial circulant matrix $M$ whose entries are chosen independently and uniformly from $\{0,1\}$ and let $m < n$. Now consider a random $n$ dimensional vector $v$ ...
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43 views

Modify Process to a Semimartingale

The original post is from mathstackexchange According to some difficulties, i decided to ask here again. Given a filtered space $(\Omega, F,\mathcal{F}_{t})$ with rightcontinous filtration. We have a ...
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1answer
82 views

Measurability of integrals with respect to different measures

Let $Y$ be a locally compact Hausdorff topological space (further assumptions like metrizability, separability, etc., may be added if necessary) and let $\mathscr Y$ denote the Borel $\sigma$-algebra ...
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53 views

Total variation, Wasserstein, and Prokhorov metrics on countably infinite discrete spaces

Total variation, Wasserstein, and Prokhorov generate the same topology on the space of probability measures on a finite and discrete space. I'm curious about a countably infinite space. When do ...
2
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2answers
192 views

How to generalize normal number theorem

The Borel number theorem states that with respect to Lebesgue measure, almost all real numbers are normal numbers. It is sometimes stated in the context of the compact interval $[0,1]$, where one ...
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30 views

Relative compactness and convergence in probability

Convergence in probability of a sequence of random variables $X_1,X_2,\dotsc$ implies that every subsequence has a further subsequence that converges almost surely. Superficially, it seems that this ...
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39 views

Influence of independent variables on boolean functions?

Suppose a simple connected graph $G$ where its vertices are assumed to be independent. An event with uncertainty corresponds to each vertex. My instructor guides me that even though the vertices ...