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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53 views

The (infinite) invariant measure of an SPDE

Consider a 1-dimensional stochastic heat equation on $[0, 1]$, with boundary conditions of Neumann's type: \begin{equation}\left\{ \begin{aligned} &\partial_t u(t, x) = \frac{1}{2}\partial_x^2 u(...
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0answers
19 views

Let X be a Geometric (1/4) and Y be a Geometric (1/2) be two independent random variables [on hold]

Let X be a Geometric (1/4) and Y be a Geometric (1/2) be two independent random variables. Obtain the conditional distribution of Y , given that X - Y = 1. The Answer I got was one. However, I just ...
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0answers
29 views

Sufficient condition for the unique solvability of Dirichlet problem of Hamilton-Jacobi equation

It shall be an old story in PDE. I am looking for a sufficient condition of Dirichlet problem for the existence of the unique viscosity solution of the equation in the form of $$\inf_{a \in [-1,1]} \{...
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0answers
41 views

Order statistics of iid uniform RV and Pólya's urn model. Question about a.s. convergence

Let $U_1,U_2,U_3,\dots$ be IID uniform on $[0,1]$. For each $n\geq 1$ let $$U_{1:n}<U_{2:n}<\dots<U_{n:n}$$ be the order statistic of $(U_1,\dots,U_n)$. Independent of the $U$ process there ...
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0answers
27 views

Power spectrum of the difference of two Poisson processes with equal rates

I am studying the asymptotic properties of a dynamic a model involving the difference of two balanced Poisson processes (i.e., $\lambda_1 = \lambda_2$). I recently discovered the Skellam Distribution ...
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2answers
107 views

Concentration of matrix norms under random projection.

Let X be a given matrix of dimension $p \times q$. Let $G$ be a $s \times p$ dimensional matrix of standard normal/Gaussian random variables. Are there cases where one can been able to quantify $...
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614 views

Probabilistic Modeling Parameters Request

Before posing the question itself, it is indispensable to give the definition from which it arises. First of all, let us restrict our attention to the vectors $\overrightarrow{x} = (x_{1},x_{2},\ldots,...
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2answers
115 views

Variation of Radon transform for probability measures on $\mathbb C$

Let $\mu$ be a probability measure on $\mathbb C$. For $z \in \mathbb C$, let $$f^z \colon \mathbb C \to \mathbb R_{\geq 0}$$ be the function $f^z(\lambda) = |\lambda - z|$. Consider now the family $(\...
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1answer
552 views

Calculate channel capacity of general channel under constraint

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 corresponds ...
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1answer
79 views

Exact formula for computing n-step transition probability of random walks with self-transitions

Consider a semi-infinite random walks $X_n$, $n=0,1,2,\ldots$, whose state space is a set of consecutive integers and whose one-step transition probabilities are $P_{ij}=\mathrm{Pr}\{X_{n+1}=j|X_n=i\}$...
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4answers
462 views

Speed of convergence in Lebesgue's density theorem

Let $\lambda=\text{unif}([0,1])$ be uniform distribution on $[0,1]$ and $B$ be any Borel set. Lebesgue's density theorem states that for $\lambda$-almost all $x\in[0,1]$ the limit $$\lim_{\epsilon\...
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1answer
105 views

Convexity of truncated expectation

Let $k, n$ be two positive integers with $k \leq n$, and let $P = \{ (x_1, \dots, x_n) \in [0, 1]^n : \sum_i x_i = k \}$. Given $x = (x_1, x_2, \dots, x_n) \in P$, let $X_i$ be the random variable ...
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1answer
422 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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13 views

Markov Chain: Number of communicating classes of a power of the irreducible transition matrix [on hold]

Suppose $P$ is an irreducible transition matrix, with period $d$. Consider the transition matrix $P_k$. In terms of $d$ and $k$, how many communicating classes does $P_k$ have, and what is the period ...
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77 views

relative chernoff bound

Is the following true? Is there a contradicting example? Let $x_1,\ldots,x_n$ be independent random "bits", with $\forall u:\Pr[x_i=u]\in\{0,\frac{1}{2}\}$. Denote $x=\sum_i x_i$, and assume $\mathrm{...
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80 views

Are the theorems of Ergodic Theory valid for non-probability spaces?

The theorems in Ergodic Theory have assumed a probability measure, always. I am interested to know if they hold even when the space is not equipped with a probability measure. In other words, if my ...
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1answer
136 views

Scaling of First-passage times for Random Walk on integer lattices

Consider simple symmetric random walk $S_{n} = (S_{n}^{(1)},\dots, S_{n}^{(d)})$ on the d-dimensional integer lattice with starting point the origin. Let $\tau_{N}$ be the first time $S_{n}$ exits ...
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1answer
229 views

A variant of bin-and-ball problem

We have $n$ balls, each belonging to a group (e.g, color). There are $g$ groups ($g$ may be large but $g=o(n)$). We sequentially put the balls into $m$ bins in the following way: for each ball, we ...
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1answer
86 views

Representation of support of Gaussian measure by kernels of no-variance functionals

Let $\mu$ be a Gaussian measure on a separable Banach space $X$ and $q$ is the covariance operator of $\mu$. I am reading a proof for $$\operatorname {supp} \mu = \bigcap_{q(f, f) = 0} \ker f =: E$$ ...
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1answer
73 views

spatial mean of log-normal random field

Let $X(x):= \exp(Y(x))$ for $x\in D\subseteq \mathbb{R}^d$ for a domain $D$, where $Y$ is a Gaussian random field with some smooth covariance function $c(\cdot,\cdot)\colon D\times D\to \mathbb{R}$. ...
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0answers
65 views

A two variable recurrence relation with conditionals

I have arrived at the combinatorial problem of enumerating certain types of ballot paths. This has led to analyzing the sequence defined by the following recurrence $$ f(n,m) = \begin{cases} f(n, \...
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693 views

Identities and inequalities in analysis and probability

Usually, at the heart of a good limit theorem in probability theory is at least one good inequality – because, in applications, a topological neighborhood is usually defined by inequalities. Of course,...
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219 views

Density of convolution

Let $\{X_i\}$ be i.i.d random variables uniform on a measurable, symmetric set $A$ contained in $[-1,1]$. Let $g_{n}$ be density of $X_1+\ldots + X_n$. Question (general): Is there any non-trivial ...
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121 views

Winding number of a random walk on the square lattice before hitting the origin

Let us consider a simple random walk on $\mathbb{Z}^2$ started at $(x,0)$ and killed upon hitting the origin. Define the total winding number $w_x$ around the origin to be the (signed) number of ...
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65 views

Law of large numbers for random functions?

Is there a version of the law of large numbers for random functions of the type: $h(X_j,\hat{\theta}_n)$, where $X_1,\dots,X_n$ are i.i.d. random variables, with distribution $F$, and $\hat{\theta}_n =...
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1answer
305 views

What is the mathematics behind the random experiment which produces the data with this strange property?

I have a following scenario. there is a huge collection of data resulting from a random experiment $E$ (I do not say random variable yet, for reasons that you will need to explain in your answer). Let ...
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0answers
22 views

Reference Request: $M_t/M_t/1/K$ queue length distributions

I am investigating functionals defined over sequences of discrete probability distributions related to dynamical/stochastic system performance. As an initial step, I am searching for references that ...
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3answers
2k views

erfc lower bound

I've seen the following lower bound for the complementary error function (erfc) but I haven't been able to prove it. Does anyone know how to establish the following? $$erfc(x) > \frac{ x \exp(-x^...
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1answer
60 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 $O(|\mathcal{A}|^{|\mathcal{S}|}$...
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69 views

Laplace transform (or characteristic functional) of atomic random measure

A random (nonnegative Radon) measure $M$ (on $\mathbb R^n$, say) has its law characterized by the Laplace transform $\mathbb E\exp(-\int \varphi(x)\ M(dx))$, $\varphi\in C_c^+(\mathbb R^n)$ (...
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1answer
510 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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795 views

American put option pricing by “binomial trees”

Dear MO World, I'm teaching a financial mathematics course and have found a fascinating (to me) numerical phenomenon and wonder if anyone has studied it, or knows anything similar. I'll try and give ...
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72 views

Looking for an exposition of a certain theorem of Talagrand

The following is a theorem by Talagrand (as stated here, http://arxiv.org/pdf/1511.08609v1.pdf), Let $(X, \mu)$ be a probability space. Let $F : X \rightarrow \{0,1\}$ be a family of functions ...
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1answer
80 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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1answer
229 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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2answers
603 views

On the sum of uniform independent random variables

Let $X_1,...,X_n$ be independent uniform random variables in [0,1] and assume $c>1/2$. Is it true that $$\mathbb{P}\left[\sum_{i=1}^n X_i \leq n \cdot c\right]$$ is increasing with respect to $n$? ...
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1answer
487 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
181 views

Concentration bounds on weighted sum of i.i.d. Bernoulli random variables

Let $X_1,\dots, X_n\sim\operatorname{Bern}(\frac{1}{2})$ be independent, identically distributed random variables, and $\alpha=(\alpha_1,\dots,\alpha_n)\in[0,1]^n$ a vector of non-negative weights ...
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45 views

How much can the integrability at zero tell about the decay rate around zero? [migrated]

Suppose that $g$ is a continuous, nonincreasing and nonnegative function on $(0,1)$. The question is whether one can characterize the integrability of such functions at zero by their decay rates at ...
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40 views

Brownian motion hitting probability [closed]

$B_t$ is a Brownian process, starting from the origin in $\mathbb{R}^n$. Let $\theta_X(T)$ denote the probability that the particle hits the set $X \subset\mathbb{R}^n$ within time $T$. Keeping $T$ ...
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171 views

Lévy measure and Lévy process

A Lévy measure $\nu$ on $\mathbb R^{d}$ is a measure satisfying $$\nu\{0\} = 0, \ \int_{\mathbb R^{d}} (|y|^{2}\wedge 1) \nu(dy) <\infty.$$ A Lévy process can be characterized by triples $(b, A, \...
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85 views

Short time asymptotics for Brownian motion on a compact manifold

Consider a compact Riemannian manifold $(M, g)$. Choose a ball $B(p, r)$ inside $M$, and a quasi-isometric ball $B(q, s)$ in $\mathbb{R}^n$, in the image of a coordinate chart containing $B(p, r)$ (in ...
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42 views

Two dimensional Brownian motion moving from one point to other

Suppose $W_t= (X_t,Y_t)$ is a $2$d standard Brownian motion starting at $(-1,0)$. How do I show that there is a positive probability that $W_t$ moves from $(-1,0)$, to a neighborhood of $(1,0)$, say ...
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1answer
78 views

Bound on the total variation distance for multiple samples $d_{tv}(P^n,Q^n)$

Given two discrete distributions $P$ and $Q$, with computable total variation distance $d_{TV}(P,Q)=||P - Q||_1$, is there a precise bound for $d_{TV}(P^n,Q^n)=||P^n - Q^n||_1$, as need to estimate ...
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74 views

Brownian hitting probability of a small body

Consider a Brownian motion $B(t)$ starting from the origin $0$ in $\mathbb{R}^n$. Consider the ball $B(0, r)$ and an open set $V \subset B(0, r)$. If it is known that the probability of the Brownian ...
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97 views

On the spectrum of stationary Gaussian process

What is the condition for ergodicity, weakly mixing, and strongly mixing properties of Gaussian process in terms of its spectrum? In a similar way let us consider a stationary vector valued Gaussian ...
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66 views

Brownian motion in perturbed (asymptotically flat) metric

Let $g_{\mathbb{R}^n}$ denote the usual Euclidean metric on $\mathbb{R}^n$ and let $B_g(t)$ denote the Brownian motion associated to a complete metric $g$ on $\mathbb{R}^n$. Consider a Brownian motion ...
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1answer
129 views

Reproducing Kernel Hilbert Spaces with positive kernels

In my research I'm dealing with the following question. Let $E$ set, $K:E \times E \to \mathbb R$ a positive type function, and $\mathcal H := \mathcal H(1+K)$ (in the sense of the Moore theorem). ...
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48 views

Criterion for weak compactness (from Revuz and Yor)

I'm trying to read a proof in the book or Revuz and Yor (prop 1.5 Chapt 13, p.516-517, "continuous martingales and Brownian Motion" 3rd edition), but I'm struggling with a detail. I think it lies ...
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1answer
148 views

Collecting stones in n buckets

There are $n$ stones distributed in $n$ buckets (initially one stone in each bucket). At each step the content of each bucket is put in a random bucket, chosen independently out of a set of $n$ new ...