**0**

votes

**1**answer

246 views

### Probability generating function zero implies random variable is infinite

Let $V$ be a random variable supported on the nonnegative integers (including $\infty$) and $f(x) = \mathbf E x^V$ be the probability generating function. In our model $V$ is the number of visits to ...

**2**

votes

**1**answer

235 views

### Does the set of automorphisms of a cyclic group exhibit some sense of randomness?

I prefer to proceed with a concrete example if I may. I appreciate that the answer might well be better explained with group theory, geometry and/or notions from probability theory, which I welcome.
...

**1**

vote

**0**answers

46 views

### “Direct” proof (without hypercontractivity) of equivalence of moments?

Let $(x_i)_{i \in \mathbb{N}}$ be a family of independent $\pm 1$ centered Bernoulli random variables, and let $p, q > 1$. There exists a constant C such that for every (finite) linear combination ...

**4**

votes

**0**answers

103 views

### Operator connected with Hermite polynomials

For $n \geq 1$, define the following operator $M_n$ on the ring of all polynomials with real coefficients.
$$M_n P(x) = nP(x)^2 - x \int_0^x (P'(t))^2 \, \mathrm{d}t$$
Monomials $x^k$ are mapped to $n ...

**1**

vote

**1**answer

83 views

### Estimating the volume of a union of balls

Let $\{ B_i \}_{i=1}^n$ be a set of $n$ ball in the unit cube $C$ of dimension $d$.
If I want to estimate
$$
\frac{ \lambda \left( \cup B_i \right) }{\lambda\left( C \right) }, \tag{1}
$$
where ...

**1**

vote

**2**answers

175 views

### Gaussian expectation of an exponentiated outer product

Given a normal random column vector $\mathbf{x} \sim N(\mu, \Sigma)$, I need the expectation,
$$ E\left[ \exp(\mathbf{xx}^\top)\right]$$
where $\exp(\cdot)$ is element-wise exponential function (not ...

**3**

votes

**0**answers

56 views

### Probability of matching under cyclic permutations

In A conjecture about the entropy of matrix vector products I asked a conjecture relating to the entropy of a matrix-vector product. This conjecture is as yet unproven. domotorp then made another ...

**3**

votes

**1**answer

224 views

### Law of Iterated Logarithm for autoregressive process

Suppose that $\{X_i\}$ is an $\mathrm{AR}(r)$, defined by:
$X_{i}= h(i) + \varepsilon_i $,
$h(i)=\alpha_1 X_{i-1} + \dots + \alpha_{r} X_{i-r}$
where $\{\varepsilon_i\}$ are i.i.d. ${\cal ...

**0**

votes

**0**answers

48 views

### Maximizing the “uniformity” of a probability measure, with constraints, via path length minimization

Background
I want to find a probability measure for a continuous random variable, subject to moment constraints, that is maximally "uniform", as defined below:
Definition: Maximally Uniform ...

**2**

votes

**1**answer

139 views

### Derive concentration bound for the derivative

It that true to conclude that if a random $f(z)$ is a sub-Gaussian random variable for a constant value of z, its derivative $f'(z)|_{z=k}$ with respect to variable $z$ is also sub-Gaussian?
In ...

**0**

votes

**0**answers

54 views

### An inequality for moments of a random variable

I'm interested in a class C of $R^1$-valued random variables $\xi$ which satisfy
an inequality of the type
$$
(1) \qquad E|\xi|^p \leq F(E|\xi|^2),
$$
where $p>2$, $F$ is a certain ...

**0**

votes

**1**answer

75 views

### A special class of random variables

I'm interested in classes C of $R^1$-valued random variables which possess the following properties:
1) the sum of two independent random variables from class C belongs to class C;
2) for any ...

**1**

vote

**1**answer

132 views

### Quasi-stationary distribution for a death process

In the paper, Survival in a quasi-death process by van Doorn and Pollett, the quasi-stationary distribution of a transient CTMC is discussed and QSD for a simple death process is derived.
Consider a ...

**3**

votes

**1**answer

102 views

### Stochastic integration by parts to obtain Kailath Segall identity for iterated stochastic integrals?

If $(M_t)_{t \geq 0}$ is a continuous local martingale, one can define the iterated integrals $I_0=1$, $I_1(t)=M_t$ and for $n \geq 2$ $$I_{n}(t) = \int_0^t I_{n-1} (s) \mathrm{d} M_s.$$ By noting ...

**0**

votes

**1**answer

148 views

### On the superior of generalized Ornstein-Uhlenbeck process

Let us consider a generalized O-U process $X_t \in L^2[0, 1]$ defined by the following spde:
$dX_t = \frac{1}{2}\partial_x^2X_t + dW_t, $
$\partial_x X_t(0) = \partial_x X_t(1) = 0, $
$X_0 = 0, $
...

**2**

votes

**1**answer

72 views

### Regularity of finite variation kernels in the (intersection) of the semimartingale spaces $H^p$

Suppose you have a continuous semimartingale $S_t=M_t + A_t$ where $A_t$ is the continuous finite variation part which has the form $A_t = \int_0^t b_s \, \mathrm{d} s$, where $\int_0^{\infty} |b_s| ...

**0**

votes

**0**answers

23 views

### Is it possible to use multiple time scale algorithm here?

Suppose a random sequence is being generated (the next term generated depends on the previous term, but we don't know any distribution) until we hit some specific number. We want to calculate the ...

**1**

vote

**1**answer

85 views

### Branching Brownian Motion and the KPP equation

I have troubles understanding the proof of the connection between BBM and KPP equation. I mean the proof of the next lemma from the lecture notes of Anton Bovier about BBM, link. This is almost whole ...

**7**

votes

**11**answers

8k views

### book for probability

Hi guys, I am looking for a good book to study probability. My advisor suggested the "Probability" by Leo Breiman. I am reading it now, it seems rather a dense book, so I would like to ask you guys ...

**2**

votes

**1**answer

103 views

### weak convergence of the solutions to stochastic heat equation

$W(t,x)=\sum_ic_ie_i(x)B^i_t$ is a Brownian motion in $L^2(R^d)$, where $\{e_i\}$ is the standard orthogonal basis and $\sum_ic_i^2<\infty$.
$$\partial_t u(t,x)=\Delta u(t,x)+u(t,x)\dot{W}(t,x)$$
...

**1**

vote

**1**answer

260 views

### Comparing the expected stopping times of two stochastically ordered random processes (Added:(14.05.2014))

Information:
a-) $X$ and $Y$ are two continuous random variables on $\mathbb{R}$ having continuous distribution functions $F$ and $G$ with $G(y)\geq F(y)$ for all $y$.
b-) $S^X_n=\sum_{i=1}^n X_i$, ...

**3**

votes

**1**answer

115 views

### How to check if a symmetric random variables is the difference of two iid symmetric random variables

I have the continuous symmetric random variable $X$ in $\mathbb{R}$. If I know its distribution function $F(x)$ what are the conditions on $F(x)$ so that $X=Y_1 - Y_2$ where $Y_i$ are also iid ...

**3**

votes

**1**answer

150 views

### Quantiles moments and Convergence

QUESTION:
Let $F$ be an absolutely continuous distribution function with density $f$, and $F_{n}$ be its nth empirical distribution. Suppose that $t\in (0,1)$ is constant. Is true the convergence
...

**2**

votes

**3**answers

127 views

### Estimating the Variance of a Discrete Normal Distribution

Let $f(x; \sigma) = \frac{1}{\sigma\sqrt{2\pi}}\cdot e^{-\frac{x^2}{2\sigma^2}}$ be the probability density function of a normal distribution $\mathcal{N}(0, \sigma^2)$. We consider a discrete normal ...

**-1**

votes

**0**answers

40 views

### On a sum statistically independent of its term [closed]

Suppose $U$ and $V$ are two non-degenerate random variables, say real-valued for simplicity. Suppose further that their sum, $U+V$, and one term, $U$, are statistically independent. This happens when ...

**3**

votes

**2**answers

152 views

### Expectation of a generalization of Dirichlet distribution

For the standard Dirichlet, the expectation of $X_i$ is $\alpha_i/\alpha_0$, where $\alpha_0 = \sum_i \alpha_i$ [http://en.wikipedia.org/wiki/Dirichlet_distribution].
I am considering the following ...

**0**

votes

**1**answer

81 views

### Residual lifetime of heavy-tailed random variable

The residual life time distribution of a random variable $X$ with distribution function $F$ is given by the formula
\begin{equation}R(t)=P[X_\text{res}\leq t] = ...

**1**

vote

**0**answers

142 views

### Measure concentration for law of large numbers

The classical law of large numbers states that
$$\frac1k\sum_{i=1}^k X_i \rightarrow \mathbb{E} X_1$$
for i.i.d. $X_1, X_2, \ldots$ with finite $L^1$ norm.
I was wondering whether is it possible to ...

**1**

vote

**1**answer

65 views

### Minimum of Random Energy Model (REM) with logarithmically correlated potential

In the paper [FB] (ArXiv, J. Phys. A), the authors analyse a particular Random Energy Model (REM) with logarithmically correlated potential and conjecture in Eq. (2) that the distribution function of ...

**1**

vote

**1**answer

115 views

### Stability of convergence in distribution under randomization

Suppose you have a sequence of non-negative stochastic processes $(X^n)_{t \in \mathbb{R}}$, $n \geq 1$, with continuous paths and continuous in $t$ such that
$$\int_{-\infty}^{\infty} X^n_t \, ...

**-2**

votes

**0**answers

49 views

### Expected value when rolling multiple k-sided dice and keeping the highest score and 1s cancelling higest remaining values [closed]

sorry for the long title. I think the question is explained there, but I will go a bit further. I know how to calculate the expected value of n k-sided dice and keeping the highest score. If I am not ...

**78**

votes

**25**answers

21k views

### What is convolution intuitively?

If random variable $X$ has a probability distribution of $f(x)$ and random variable $Y$ has a probability distribution $g(x)$ then $(f*g)(x)$, the convolution of $f$ and $g$, is the probability ...

**1**

vote

**1**answer

169 views

### Is there any result for upper bounding the tail of a sum of r.v.s by another tail (with a different threshold)?

Suppose $X_i$s are independent random variables.
We can make assumptions about $X_i$, e.g., $X_i\in [0,1]$.
Let $X=\sum_i X_i$ and $u=E[X]$.
Is there any result of the following type
(relating one ...

**-2**

votes

**0**answers

53 views

### Convergence of empirical random variable [on hold]

Let $X$ be a RV on the real line, of probability measure $P_X$, and let $X_n$ for $n=1,...,N$ be an iid sample from $P_X$.
The Glivenko-Cantelli theorem says that the empirical measure, $P_N$, ...

**4**

votes

**0**answers

115 views

### Sum of a random number of identically distributed but dependent random variables?

Background
Let $X_t$ be the continuous time Markov process on the state space {Working, Broken} with failure rate $\alpha$ and repair rate $\beta$. By elementary calculations [1]
$$
\begin{align*}
...

**3**

votes

**0**answers

93 views

### Birkhoff Ergodic Theorem and Ergodic Decomposition Theorem for Continuous-Time Markov Processes

I have a couple of questions regarding ergodicity for Markov processes in continuous time. (In particular, the first question seems like it should be particularly basic, and yet I haven't managed to ...

**7**

votes

**1**answer

123 views

### Steady state expectation of dynamic system of urns & balls

We have a large number of urns $N+1$. (Large means that the relative difference between $N$ and $N+1$ is well within the error bounds that I care about. The reason for the $+1$ will be apparent ...

**1**

vote

**0**answers

50 views

### Quadrilaterals from a Unit Stick

This question could be seen as a coordinate-free variant of Sylvester's Four Point Problem (cf e.g. http://mathworld.wolfram.com/SylvestersFour-PointProblem.html):
Suppose one are given an ...

**3**

votes

**1**answer

155 views

### Non-asymptotic large deviations for a convex set

Let $X_1,\dots,X_n$ be $n$ i.i.d random variables taking values in a Polish vector space $\mathcal{X}$ and with (Borel) probability distribution $\mu$.
For any convex, compact $\Gamma \subset ...

**2**

votes

**1**answer

131 views

### Can't figure out “standard application” of the Garsia-Rodemich-Rumsey Lemma

I'm currently reading the paper http://arxiv.org/abs/0908.2473 and can't figure out what they call a "standard application" of the Garsia-Rodemich-Rumsey lemma (see p.8). Summed up, they have a ...

**6**

votes

**0**answers

259 views

### Wasserstein distance between two diffusion processes.

I would like to know if there exists a formula to compute the $L^2$-Wasserstein distance between the laws $P_1$ and $P_2$ in path space of two diffusion processes:
$$dx_t=f_1(x_t)dt + ...

**0**

votes

**1**answer

119 views

### Question about characteristic function with independence assumption

Let $X$ be a random vector taking values in $\mathbb R^2$ with probability density $p(x) = p_1(x_1)p_2(x_2)$, i.e. the components of $X$ are independent.
Let $V$ be an open set in $\mathbb S^1$, the ...

**3**

votes

**3**answers

194 views

### Do regular conditional distributions almost surely assign trivial measure to all members of the conditioning $\sigma$-algebra?

Let $(X,\Sigma)$ be a standard measurable space, let $\rho$ be a probability measure on $(X,\Sigma)$, and let $\mathcal{E}$ be a sub-$\sigma$-algebra of $\Sigma$. We will say that a stochastic kernel ...

**0**

votes

**1**answer

317 views

### Expected value with a kronecker product and Gaussian distributional assumption

What is the expected value, $ \mathbb{E}\left[ I \otimes \left( \operatorname{diag}(ZZ^T\mathbf{1}) - ZZ^T\right)\right]$ where $Z \sim N(0, \sigma^2I) $? The kronecker product is where the confusion ...

**1**

vote

**1**answer

367 views

### A generalized urn-ball matching problem; Complicated combinatoric/probabilistic limit

I'm looking for a generalization to the urn-ball matching problem. As a reminder of what I've got in mind, here's the simple version:
Randomly assign (with replacement) $N$ balls to $M$ urns. ...

**0**

votes

**1**answer

73 views

### Probability of k overlapping subsets in N trials

Ok, here is what I am attempting to find an answer to:
I draw M uniformly random subsets of size K from the set of numbers $\Omega=\{1, \dots, N\}$ (where uniformly random means that each unique ...

**2**

votes

**3**answers

106 views

### Conformal invariance of Brownian motion in higher dimensions

We know for planar Brownian motion, that conformal maps composed with Brownian motion are also Brownian motion (preserve distribution).
Does it follow for higher dimensions?
I think it follows for ...

**2**

votes

**2**answers

293 views

### Infima of conditional densities after disintegration

Consider the measurable partition of the open unit square $(0,1)\times(0,1)$ into horizontal intervals $L_y=(0,1)\times\{y\}$. Let $\mu$ be a Borel probability measure with the disintegration
$$
...

**7**

votes

**2**answers

376 views

### Free Boson Correlator $ \langle X(z)X(w) \rangle =- \ln |z - w| $

In physics papers, the massless free boson has a definition involving an action:
$$ S(X) = \frac{1}{8\pi} \int d\sigma^2\, \partial X \overline{\partial X}$$
The random functions $X(z)$ are ...

**2**

votes

**0**answers

48 views

### Almost sure transversality of smooth random maps

I still am novice as far as probability is concerned and after fruitlessly Googling for an answer for a few days I thought I might have a better chance with MO.
Let me first formulate the ...