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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Maximization of a total variation distance subject to another total variation distance in Markov chain

Suppose two dependent random variables $X$ and $V$ from finite alphabets $\mathcal{V}$ and $\mathcal{X}$ with known joint and marginal distributions are given. Let $P_{XV}$ and $P_X$ and $P_V$ are the ...
29
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4answers
2k views

Geometric / physical / probabilistic interpretations of Riemann zeta(n>1)?

What are some physical, geometric, or probabilistic interpretations of the values of the Riemann zeta function at the positive integers greater than one? I've found some examples: 1) In MO-Q111339 ...
29
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14answers
23k views

If you break a stick at two points chosen uniformly, the probability the three resulting sticks form a triangle is 1/4. Is there a nice proof of this?

There is a standard problem in elementary probability that goes as follows. Consider a stick of length 1. Pick two points uniformly at random on the stick, and break the stick at those points. What ...
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1answer
151 views

Probability a Brownian particle with an exponentially distributed lifetime hits a sphere before vanishing

Imagine I have a point source $p_0 = (x_0,y_0,z_0)$ that releases a point-like Brownian particle with a lifetime given by an exponentially distributed rate parameter $\lambda$. When the particle's ...
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10answers
9k views

Is there an introduction to probability theory from a structuralist/categorical perspective?

The title really is the question, but allow me to explain. I am a pure mathematician working outside of probability theory, but the concepts and techniques of probability theory (in the sense of ...
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3answers
1k views

Probabilities in a riddle involving axiom of choice

The question is about a modification of the following riddle (you can think about it before reading the answer if you like riddles, but that's not the point of my question): The Riddle: We assume ...
9
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3answers
856 views

Expected second moment for random points on a circle

Let $S$ be a circle with unit circumference. Suppose that $n$ random points are chosen independently uniformly from $S$; choosing one arbitrarily as $x_1$, label the rest $x_2, \dots, x_n$ in ...
8
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1answer
230 views

Error term for renewal function

Consider a sequence of independent uniform $[0,1]$ random variables, and for nonnegative real $t$, let $m(t)$ be the expected number of terms in the first partial sum that exceeds $t$. For instance ...
7
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1answer
487 views

Has anyone seen this series?

I come across the following infinite series. $$ \sum_{n=1}^{\infty} \frac{t^n}{n!\: n^{a}}, \quad\text{for $t>0$ and $a>0$}. $$ In particular, I am interested in the case where $a=1/4$. ...
5
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2answers
202 views

Anticoncentration of the convolution of two characteristic functions

Edit: This is a question related to my other post, stated in a much more concrete way I think. I am interested in anything (ideas, references) related to the following problem: Suppose that $A ...
4
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4answers
1k views

Mean minimum distance for N random points on a unit square (plane)

A previously posted question "mean minimum distance for N random points on a one-dimensional line" produced an elegant answer: for a line of length L, the expected minimum distance (between random ...
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10answers
3k views

A problem of an infinite number of balls and an urn [closed]

I think that the following problem originated in a probability textbook : You have a countably infinite supply of numbered balls at your disposal. They are all labeled with the natural numbers ...
6
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1answer
175 views

The time to drift a binary string from one state to another via deterministic selection of two possible random bit mutation procedures

I have some length $L$ binary string consisting of an ordered array of bits: $(b_1, b_2, ..., b_{L})$, where all bit values $b_i$ are originally set to zero. I'd like a particular set of $n$ bits to ...
2
votes
1answer
254 views

Asymptotic behavior of max of chi-squared distribution

Suppose $X_{\max}$ is the maximum in a sequence $X_1,X_2,\ldots,X_n$ where each $X_i\sim\chi^2_k$ is an i.i.d. chi-squared random variable with $k$ degrees of freedom. Since chi squared distribution ...
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17answers
34k views

Google question: In a country in which people only want boys [closed]

Hi all! Google published recently questions that are asked to candidates on interviews. One of them caused very very hot debates in our company and we're unsure where the truth is. The question is: ...
72
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24answers
19k 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 ...
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5answers
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What mathematical treatment is there on the renormalization group flow in a space of Lagrangians?

What mathematical treatment is there on the renormalization group flow in a space of Lagrangians?
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4answers
2k views

Random manifolds

In the world of real algebraic geometry there are natural probabilistic questions one can ask: you can make sense of a random hypersurface of degree d in some projective space and ask about its ...
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6answers
5k views

A balls-and-colours problem

A box contains n balls coloured 1 to n. Each time you pick two balls from the bin - the first ball and the second ball, both uniformly at random and you paint the second ball with the colour of the ...
34
votes
1answer
2k views

Probability that a stick randomly broken in five places can form a tetrahedron

The following problem was brought to my attention by a doctoral dissertation on Mathematics Education, but - as far as I know - the solution remains unknown. I have already asked this question on ...
33
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3answers
2k views

the following inequality is true,but I can't prove it

The inequality is \begin{equation*} \sum_{k=1}^{2d}\left(1-\frac{1}{2d+2-k}\right)\frac{d^k}{k!}>e^d\left(1-\frac{1}{d}\right) \end{equation*} for all integer $d\geq 1$. I use computer to verify ...
21
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2answers
868 views

Drawing natural numbers without replacement.

Suppose we start with an initial probability distribution on $\mathbb{N}$ that gives positive probability to each $n$. Let's call this random variable $X_1$ so we have $P(X_1=n)=p_{1,n}>0$ for all ...
20
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5answers
2k views

A random walk with uniformly distributed steps

The following problem has bothered me for a long time. Let us imagine a point on the real axis. At the beginning, it is located at point $O$. Then it will "walk" on the real axis randomly in the ...
18
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6answers
1k views

Measures of non-abelian-ness

Let $G$ be a finite non-abelian group of $n$ elements. I would like a measure that intuitively captures the extent to which $G$ is non-commutative. One easy measure is a count of the non-commutative ...
17
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1answer
954 views

When should we expect Tracy-Widom ?

The Tracy-Widom law describes, among other things, the fluctuations of maximal eigenvalues of many random large matrix models. Because of its universal character, it obtained his position on the ...
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5answers
2k views

Brownian motion and spheres

Consider a Brownian motion on $[0;1]$. A (finite) discrete approximation of this Brownian motion consists of $N$ iid Gaussian random variables $\Delta W_i$ of variance $\frac{1}{N}$: $$ ...
30
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5answers
4k views

Heuristically false conjectures

I was very surprised when I first encountered the Mertens conjecture. Define $$ M(n) = \sum_{k=1}^n \mu(k) $$ The Mertens conjecture was that $|M(n)| < \sqrt{n}$ for $n>1$, in contrast to the ...
28
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1answer
2k views

An Entropy Inequality

Let $X,Y$ be probability measures on $\{1,2,\dots,n\}$, and set $K=\sum_i\sqrt{X(i)Y(i)}$ so that $Z:=\frac{1}{K}\sqrt{XY}$ is also a probability measure on $\{1,2,\dots,n\}$. How can we prove the ...
26
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3answers
952 views

Random knot on six vertices

This question is inspired by Joseph O'Rourke's beautiful question on random knots. Choose an random ordered 6-tuple of points on the unit sphere in $\mathbf{R}^3$, and form a knot by connecting ...
16
votes
3answers
991 views

The Bruss-Yor conjecture about an iterated integral

Is the sequence $$w_n=n! \int_0^{1/2} \int_{x_1}^{2/3} \cdots\int_{x_{n-2}}^{\frac{n-1}{n}} \int_{\frac{n}{n+1}}^1 dx_n dx_{n-1} \cdots dx_1$$ increasing for $n\ge 3$? This is a conjecture of F. ...
14
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2answers
538 views

Persistent homology of Gaussian Fields in Euclidean space

If you generate points in $\mathbb R^n$ via a process that respects a Gaussian normal distribution, then compute the persistent homology / barcodes, to my eye something fairly regular seems to be ...
13
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1answer
512 views

Randomly switching street lights, in a square city

This is a combinatorics-probability question, best stated however in "recreational" terms. Imagine a $N\times N$ city, meaning that we have $N$ horizontal streets, and $N$ vertical streets. At each ...
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votes
3answers
6k views

Maximum of Gaussian Random Variables

Let $x_1,x_2,…,x_n$ be zero mean Gaussian random variables with covariance matrix $\Sigma=(\sigma_{ij})_{1\leq i,j\leq n}$. Let $m$ be the maximum of the random variables $x_{i}$ $$ ...
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3answers
1k views

randomness in nature [closed]

What is the explanation of the apparent randomness of high-level phenomena in nature? For example the distribution of females vs. males in a population (I am referring to randomness in terms of the ...
9
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2answers
438 views

When can a freely moving sphere escape from a 'cage' defined by a set of impassible coordinates?

To ask this question in a (hopefully) more direct way: Please imagine that I take a freely moving ball in 3-space and create a 'cage' around it by defining a set of impassible coordinates, $S_c$ ...
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5answers
1k views

Another colored balls puzzle (part II)

The same colleague as in Another colored balls puzzle asked me the following variant which she called "part II". Imagine you have $n$ balls in a bag that are colored from $1$ to $n$. At each turn ...
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2answers
1k views

Intuitive proof that the first (n-2) coordinates on a sphere are uniform in a ball

It is a classical fact that if $(x_1,\ldots,x_n)$ is a random vector uniformly distributed on the sphere $S^{n-1} \subseteq \mathbb{R}^n$, then the random vector $(x_1,\ldots,x_{n-2})$ is uniformly ...
12
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1answer
662 views

Idempotent measures on the free binary system?

Let $(S,*)$ be the free (non associative) binary system on one generator (so $S$ is just the set of terms in $*$ and $1$). There is an extension of $*$ to the space $P(S)$ of finitely additive ...
11
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3answers
401 views

An “inchworm-like” random walk on an integer interval

Imagine I place $k$ stones on an infinite one-dimensional integer interval $Z$ s.t. no stone is more than some distance $d$ from any other stone. For example, if $d=1$ and $k = 5$, we might place the ...
10
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3answers
587 views

Probability of coprime polynomials

Given positive integer $N$, we choose $m_1, m_2, n_1, n_2$ independently and with equal probabilities from $\{0,1,\ldots,N\}$, and let $f_1 = x^{m_1} + (1+x)^{n_1}$ and $f_2 = x^{m_2} + (1+x)^{n_2}$ ...
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1answer
3k views

Conjugate prior of the Dirichlet distribution?

What is the conjugate prior distribution of the Dirichlet distribution?
13
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1answer
2k views

Ping-pong relief map of a given function $z=f(x,y)$

I have an idea to design a type of Galton's Board to "draw" a relief map of a given two-dimensional function $z=f(x,y)$. A typical Galton's Board drops, say, ping-pong balls through a series of evenly ...
12
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5answers
2k views

Proof of Krylov-Bogoliubov Theorem

Where can I find a proof (in English) of the Krylov-Bogoliubov theorem, which states if $X$ is a compact metric space and $T\colon X \to X$ is continuous, then there is a $T$-invariant Borel ...
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3answers
2k views

A Markov process which is not a strong markov process?

Can anyone give an example of a Markov process which is not a strong Markov process? The Markov property and strong Markov property are typically introduced as distinct concepts (for example in ...
9
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1answer
348 views

Probability that a random distance function is metric

Take a random $n \times n$ nonnegative symmetric matrix $D$ with zero diagonal. What is the probability that it is an abstract distance matrix, i.e. satisfies $D_{xy}+D_{yz} \geq D_{xz}$ for all index ...
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5answers
1k views

Metrization of weak convergence of signed measures

Edit: Changed from "Hausdorff" to "metric" spaces. Let $\mathcal{M}(\Omega)$ denote the space of signed regular Borel measures on a compact metric space $\Omega$. By Riesz-Markov, this is the dual ...
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3answers
1k views

Area Enclosed by the Convex Hull of a Set of Random Points

Consider $n$ points generated randomly and uniformly on a unit square. What is the expected value of the area (as a function of $n$) enclosed by the convex hull of the set of points?
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0answers
429 views

Full conditional probabilities and versions of AC?

A probability is a finitely additive measure on a boolean algebra with total measure $1$. A function $P:\scr B \times (\scr B - \{ 0 \})$ is a full conditional probability on $\scr B$ (for a boolean ...
8
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0answers
236 views

Eigenvalues of permutations of a real matrix: how complex can they be?

This is sort of complementary to this thread. I’ll repeat the definitions here: For a matrix $M\in GL(n,\mathbb R)$, consider the $n!$ matrices obtained by permutations of the rows (say) of $M$ and ...
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3answers
700 views

Another colored balls puzzle

This is a puzzle a colleague asked me recently. Imagine you have $n$ balls in a bag that are colored from $1$ to $n$. At each turn you take two balls at random out that have different colors and ...