A stochastic process is a collection of random variables usually indexed by a totally ordered set.

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Is there a natural random process that is rigorously known to produce Zipf's law?

Zipf's law is the empirical observation that in many real-life populations of n objects, the $k^{th}$ largest object has size proportional to $1/k$, at least for $k$ significantly smaller than $n$ ...
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5answers
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Escape the zombie apocalypse

Consider zombies placed uniformly at random over $\mathbb{R}^2$ with asymptotic density $\mu$ zombies/area. You are placed at a random point and can move with speed $1$. Zombies move with speed $v\leq ...
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4answers
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Polynomials on the Unit Circle

I asked this question in math.stackexchange but I didn't have much luck. It might be more appropiate for this forum. Let $z_1,z_2,…,z_n$ be i.i.d random points on the unit circle ($|z_i|=1$) with ...
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6answers
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Tetris-like falling sticky disks

Suppose unit-radius disks fall vertically from $y=+\infty$, one by one, and create a random jumble of disks above the $x$-axis. When a falling disk hits another, it stops and sticks there. Otherwise, ...
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1answer
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Modeling question: how often does “the world's oldest person” die?

This story yesterday (no need to follow the link to understand the question!) http://www.cnn.com/2011/US/02/01/texas.oldest.person.dies/index.html?hpt=T2 reminds me that I've often wondered about ...
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3answers
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Expectation of a random sum

Let $X_1, X_2, X_3,\dots$ be an i.i.d. sequence of random variables with finite mean. Write $S_n=X_1+X_2+\dots+X_n$. Let $N$ be a non-negative integer-valued random variable with finite mean. $N$ may ...
21
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2answers
915 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 ...
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813 views

Growing random trees on a lattice $\rightarrow$ Voronoi diagrams

Imagine growing trees from $k$ seeds on a square $n \times n$ region of $\mathbb{Z}^2$. At each step, a unit-length edge $e$ between two points of $\mathbb{Z}^2$ is added. The edge $e$ is chosen ...
18
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1answer
870 views

Existance of certain almost invariant functions related to amenability and piece-wise transformations

We would like very much to know the answer to the following question: Let $\|\cdot\|$ be any norm on $\mathbb{Z}^d$ and let $W(\mathbb{Z}^d)$ be the group of all bijections of $\mathbb{Z}^d$ such ...
16
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2answers
734 views

Age of Stochasticity?

One user on MSE made an interesting question, which was unanswered so I suggested him to post it here but he refused for personal reasons and said I could ask it here. The question is this: Today ...
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1answer
380 views

How much universality is there for contact processes?

A couple of weeks ago I had to pick my daughter up from her nursery because of suspected chicken pox. It turned out to be a false alarm, but while I was waiting at the doctor's surgery to establish ...
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3answers
906 views

Expected Degree of a vertex in Delaunay Triangulations

Assume you have a Poisson point process of constant intensity $\lambda$ in the Euclidean plane. From this point process we construct the Delaunay triangulation (or the Voronoi tessellation for that ...
13
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1answer
365 views

Fictitious density of paths of diffusion processes outside the Cameron--Martin space

Let $X_t$ be an $n$-dimensional diffusion process satisfying the following Itō SDE over $[0,1]$: $$dX_t = f(X_t)\,dt + dW_t,$$ where $W_t$ is an $n$-dimensional Wiener process and $f$ is of class ...
13
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0answers
307 views

Why, and how badly, does the proof of “no percolation at the critical point in half-spaces” fail for full spaces?

The proof by Barsky et. al. that there is no percolation in half-spaces proceeds by a dynamic renormalization argument. The proof couples critical percolation in the half-space $\mathbb{H}^d$ with a ...
12
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6answers
845 views

Optimal pebble-packing shape

Suppose you throw many ($n$) congruent convex bodies (in $\mathbb{R}^3$) of unit volume (or of unit area in $\mathbb{R}^2$) into a large container, and shake it until little else changes. Q. ...
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8answers
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Brownian bridge interpreted as Brownian motion on the circle

Is it reasonable to view the Brownian bridge as a kind of Brownian motion indexed by points on the circle? The Brownian bridge has some strange connections with the Riemann zeta function (see ...
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4answers
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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 ...
12
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2answers
608 views

Is there a percolation threshold in the hard discs model?

Take a random configuration of $n$ non-overlapping discs of radius $r$ in the unit square $[0,1]^2$. (You could think of this as taking $n$ points uniform randomly in $[r,1-r]^2$ and then restricting ...
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439 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 ...
12
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2answers
751 views

Non-integrable ergodic theory

Can anyone help me out with proofs/counterexamples? I'm working on an operator-valued multiplicative ergodic theorem and need what may(?) be a well-known fact. This fact (if true) would help me get ...
12
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1answer
755 views

Bochner integral of stochastic process = path by path Lebesgue integral?

After some helpful comments, I realized that I had to repost this question in a more systematic way. On a complete probability space, let $\mathcal{H}_0$ denote the Hilbert space of square ...
12
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1answer
453 views

Random walk origin return monotinicity

Consider a Markov chain on $\mathbb{Z}^d$ with transition kernel $P$ for adjacent vertices (non-diagonal). Essentially this is a $d$ dimensional random walk with the probability of a transition ...
12
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0answers
516 views

Random Walk on $\mathbb{R}$ with Uniformly Distributed Steps and “Reflective” Boundary at Origin

A particle lies on the real number line at the origin. For each step taken, the particle moves from its current position a distance (and direction) chosen equi-probably from range $[-1,r]$. However, ...
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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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375 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 ...
11
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1answer
633 views

How far can a particle travel from its origin if it exhibits self-avoiding Brownian motion in two-dimensions?

Let's say I have a point-like Brownian particle undergoing two-dimensional diffusion on an infinite plane with the caveat is that the particle can never return to a coordinate that it previously ...
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5answers
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Brownian motion, martingales, Markov Chains - Rosetta Stone

What are the most fundamental/useful/interesting ways in which the concepts of Brownian motion, martingales and markov chains are related? I'm a graduate student doing a crash course in ...
11
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1answer
501 views

“continuous” and “discontinuous” phase transitions in branching processes.

Consider a Galton-Watson branching process, with offspring distribution $\mathbf{p}=(p_0, p_1, \dots, p_n, \dots)$. Let $O$ be the root of the branching process. Write $\eta=P(\text{process survives ...
11
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0answers
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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 ...
10
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4answers
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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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1answer
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Martingales in both discrete and continuous setting

I am wondering, polynomials like $S_n^4-6n S_n^2+3n^2+2n$ for $$S_n=\sum_{i=1}^n{X_i}$$ where $$\mathbb{P}(X_i=1)=\mathbb{P}(X_i=-1)=\frac{1}{2}$$ is a martingale (under the conventional filtration). ...
10
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693 views

Why do we want maps to be measurable (in countably-additive setting)

When I have to explain things that I am doing to people who did not do (or even did not learn) measure-theoretical probability, I think of getting a question in the title, and I am not sure I have ...
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3answers
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Infinitesimal generators of stochastic processes

What's the $L^1$ analogue of Stone's theorem saying that any strongly continuous 1-parameter unitary groups has a unique self-adjoint generator? More precisely: let $X$ be a measure space ...
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2answers
582 views

Markov chains: invariant measures and explosion

The following seems like such an elementary question, but I didn't get anywhere with it. Suppose you are considering a Markov chain in continuous time which is transient and has an invariant measure ...
10
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1answer
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Trapping a particle

A particle starts a brownian walk in the middle of a long tunnel in the plane, at one end of the tunnel is a region Y of given area A. Does the shape of region Y affect average time for the particle ...
9
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2answers
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The conditions in the definition of Brownian motion

A (standard, real-valued) Brownian motion $W = \{W(t): t \geq 0\}$ is commonly defined by the following properties: 1) $W(0) = 0$ a.s., 2) the process has independent increments, 3) for all $s,t ...
9
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Extending state space to make a process Feller

Let $X$ be a locally compact Hausdorff space, and let $Y_t$ be a continuous Markov process on $X$ with transition function $P(t, x, \Gamma) := \mathbb{P}_x (Y_t \in \Gamma)$. Let $T_t$ be the ...
9
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1answer
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Coin Pusher Game

While doing laundry at my local laundromat, I saw a coin pusher game. Below is a picture, and here is a video depicting how it works (disregard non-coins). Essentially, one has a distribution of ...
9
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1answer
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Karhunen–Loève approximation of Brownian motion and diffusions

The Karhunen–Loève theorem says that Brownian motion on the interval [0,1] can be represented as follows: $W_t = \sum_{n=1}^\infty Z_n \frac{\sin((n-1/2)\pi t)}{(n-1/2)\pi},$ where $Z_n \sim ...
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Does the strong law of Large Number hold for an infinite dimensional Brownian motion?

For finite-dimensional Brownian motion $W_t$, it is well known that \begin{equation} \lim_{t\to \infty}\frac{W_t}{t}=0,\text{ a.s. }\ \ \ \ \hspace{1cm} \langle 1\rangle \end{equation} Now suppose we ...
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2answers
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Gaussian processes, sample paths and associated Hilbert space.

Given a Gaussian process on some topological space $T$, with a continuous covariance kernel $C(\cdot,\cdot)\colon T\times T\to R$, we can associate a Hilbert space, which is the reproducing kernel ...
8
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3answers
497 views

A question on Cramer's theorem

Almost everybody is familiar with Cramer's theorem: a sum $X+Y$ of of independent random variables is normal if and only if both $X$ and $Y$ are normal. Are there any other classes of distributions ...
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362 views

Maximum of the expectation of maximum of Gaussian variables

Suppose $X=(X_1,\ldots,X_n)$ is a Gaussian vector with each entry $X_i$ marginally distributed as $\mathcal{N}(0,1)$. Want to find out the possible maximum of $$\mathbb{E}\max_{1\le i\le n}|X_i|$$ and ...
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$E(X_1 | X_1 + X_2)$, where $X_i$ are (integrable) independent infinitely divisible rv's “of the same type”

The following is inspired by this recent question on math.stackexchange. Two standard exercises in conditional expectation are to find ${\rm E}(X_1|X_1+X_2)$ where: 1) $X_i$, $i=1,2$, are independent ...
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417 views

A discrete random walk that avoids previously visited vertices for an exponentially distributed time interval

Imagine a discrete random walk on an infinite one-dimensional lattice where, for every unit interval of time, $(t_1, t_2, ...)$, the walker takes a step with uniform probability to its left or right. ...
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724 views

Compactness of the set of densities of equivalent martingale measures

Consider an incomplete market $(\Omega,\mathcal F,\mathbb P)$ driven by a semimartingale $S=(S_t)_{t\in[0,T]}$. Under the no free lunch under vanishing risk (NFLVR) assumption, the set $\mathcal ...
8
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1answer
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Can one use Brownian motion to prove that two manifolds are not conformally equivalent?

Let me start by a very simple example; consider the following question: "Let D1 be a square and D2 a rectangle (boundary included). View them as subsets of the complex plane. Does there exist a ...
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503 views

Probabilistic Solution of the Porous Medium Equation

It is well known that the transition density for standard Brownian motion $B_t$ in $\mathbb{R}^d$ yields a solution to the global Cauchy problem for the heat equation $$u_t = \Delta u$$ with initial ...
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1answer
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Mixing time of unitary Brownian motion

Let $B_t$ be the unitary Brownian motion, i.e. Brownian motion on the unitary group $U(N)$. What is known about the mixing time of $B_t$, that is, how fast does the measure $B_t(\delta_{\{Id\}})$ ...
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Blue and red balls puzzle

I was sent this puzzle and wondered if it is known or if its origin is known? (I see colored ball puzzles are also in vogue.) Consider a bag with $n$ red balls and $n$ blue balls. At each turn you ...