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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-3
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0answers
56 views

What's the probability that at least one of k top data still in top k positions of a data set with error? [on hold]

Let {${d_1,d_2,d_3,..., d_k,...d_n}$} is a descendingly sorted data set. Now we suppose that each data in the set has a probability $p_e$ to go wrong. The problem is what's the probability that at ...
1
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0answers
37 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 $t\leq T$ ...
0
votes
0answers
60 views

Estimating the moments of a random variable

Suppose i wanted to estimate the expectation and variance of a random variable $X$. More over suppose i could write a variable $X$ as a sum of indicator random variables $X=\sum_{i=1}^{k} X_{i}$. Are ...
2
votes
1answer
46 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 ...
6
votes
5answers
670 views

Collisions between rooks taking random flights on an N by M chessboard

I randomly place $k$ rooks on an (arbitrarily sized) $N$ by $M$ chessboard. Until only one rook remains, for each of $P$ time intervals we move the pieces as follows: (1) We choose one of the $k$ ...
-2
votes
0answers
26 views

Mean time for the renewal process [on hold]

The system is as below. Energy keeps coming at a node with a constant rate $\rho$. Node has files of size exponential($\lambda$) to be transmitted. At time zero, say the energy at the node be zero. ...
2
votes
0answers
53 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 ...
2
votes
1answer
44 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 ...
5
votes
1answer
238 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 ...
0
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1answer
343 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 ...
1
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0answers
28 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 ...
1
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1answer
68 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 ...
8
votes
3answers
265 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 ...
-2
votes
0answers
38 views

Expected value of minimum of an exponential function [on hold]

Find expected value of minimum of n random variables: x = (x1,x2,x3,..,xn) The distribution is an exponential function: ...
0
votes
0answers
55 views

Number of graphs with M edges that does not contain K-clique [on hold]

If we consider the space of graphs $G(n,M)$ where $M$ denotes the number of edges. Is there any known way of calculating the number of graphs within this space that does not contain any k-cliques? Can ...
30
votes
1answer
5k views

“psi-epistemic theories” in 3 or more dimensions

In their recent paper The Quantum State Can Be Interpreted Statistically, Lewis et al. end with a very nice mathematical question, one whose answer (either way) would have interesting implications for ...
4
votes
1answer
262 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 ...
2
votes
1answer
204 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
0answers
58 views

Approximation of quadratic variation

Here $M$ and $N$ are two bounded continuous martingales with respect to some filtration $(\mathcal F_t)_t$. I found this claim in a paper I was reading: $t$ being fixed, then a.s. $$\lim_{h\rightarrow ...
2
votes
0answers
64 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 ...
4
votes
1answer
402 views

Given a Levy Exponent find the jump-measure and drift

A Levy subordinator is an finite variation Levy process with non-negative drift and positive jumps. The Levy exponent is given by $$\phi(\lambda) = \gamma \lambda + \int_0^\infty ( 1 - e^{-\lambda ...
1
vote
1answer
205 views

MMSE estimator expressed through cumulants

I have a linear model $$Y=HX+N,$$ where $H$ is a matrix and $X$ are drawn from $p_X(X)$, and $N$ is Gaussian noise variates. Now, if $X$ is multivariate Gaussian, then a linear estimator ...
1
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2answers
170 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
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1answer
162 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 ...
0
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0answers
27 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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votes
0answers
66 views

A true-false exam has five questions. Andy is completely ignorant and so he tosses a fair coin to answer each question [on hold]

A true-false exam has five questions. Andy is completely ignorant and so he tosses a fair coin to decide his answer to each question. What is the probability that he scores at least four correct?
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0answers
48 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 ...
5
votes
1answer
252 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 ...
0
votes
1answer
90 views

Help in finding distribution of the following function of random variable [on hold]

Let $X_1$ and $X_2$ be independent complex Gaussian random variables, $$X_1 \sim \mathcal{CN}(0,\sigma)$$ $$X_2 \sim \mathcal{CN}(0,\sigma)$$ If $X= aX_1 + bX_2$ where $a,b$ are constants then the ...
0
votes
1answer
205 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, $ ...
0
votes
1answer
111 views

Poisson approximation of random sub-graphs

I add the edges of $G(n)$ the complete graph on $n$ vertices one by one, at random and without replacement, and denote by $G(n,m)$ the resulting Erdos Renyi random graph process. At step $m$ in the ...
4
votes
1answer
281 views

Strong Law of Large Numbers for arrays of partly dependent random variables

Suppose $X_1$, $X_2$ are two independent real-valued random variables. Let $F$ be a continuous (unbounded) function from $\mathbb{R^2}$ to $\mathbb{R}$. Assume that the necessary measurability and ...
1
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0answers
54 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 ...
3
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0answers
116 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 ...
-3
votes
3answers
278 views

Determinant of matrix from set {-1, 1} [on hold]

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 ...
0
votes
1answer
248 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 _+ ...
5
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1answer
252 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 ...
2
votes
1answer
148 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 $\sum_ic_i^2<\infty$. $$\partial_t u(t,x)=\Delta u(t,x)+u(t,x)\dot{W}(t,x)$$ ...
7
votes
1answer
399 views

Joint law of the time integral of Brownian motion and its maximum

Suppose $W_t$ is a standard one dimensional Brownian motion. Let $M_t$ and $I_t$ be its running maximum and time integral, respectively: $$M_t=\max_{0\leq s\leq t}\,W_s$$ ...
5
votes
1answer
259 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 ...
12
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4answers
2k views

Correlated Brownian motion and Poisson process

Is there an (easy) way to construct, on the same filtered probability space,a Brownian motion $W$ and a Poisson process $N$, such that $W$ and $N$ are not independent ? I first asked this question ...
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vote
0answers
84 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 / ...
0
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0answers
35 views

What is the Vapnik-Chervonenkis dimension of sigmoidal functions? [migrated]

Consider the following class of functions: $F=\{f_w:R^d \rightarrow [a,b], f_w(x)=\sigma(w^Tx), \forall x\in R^d\}$, where $\sigma(\cdot)$ is a sigmoidal function (e.g. tanh, or sigmoid so it has ...
3
votes
2answers
211 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 ...
4
votes
1answer
172 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 ...
22
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6answers
1k views

Shortest grid-graph paths with random diagonal shortcuts

Suppose you have a network of edges connecting each integer lattice point in the 2D square grid $[0,n]^2$ to each of its (at most) four neighbors, {N,S,E,W}. Within each of the $n^2$ unit cells of ...
5
votes
2answers
287 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 ...
0
votes
1answer
383 views

For what nonnegative measures $\mu$ does $\mu*e^{-|\cdot|}\in L^{\infty}$?

I am trying to characterize all measures on $\mathbb{R}$ such that $$ \sup_{x\in\mathbb{R}} \: (\mu*f)(x)<+\infty, $$ where $f(x)$ is some specific integrable functions, such as $f(x)=e^{-|x|}$, ...
0
votes
1answer
55 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 ...
0
votes
1answer
59 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 ...