All Questions
9,498 questions
0
votes
0
answers
68
views
A seemingly easy integer programming question
Let $k, m \in \mathbb{Z}_{ > 1}$. Let $a \in \mathbb{Z}_{> 0}^m$ and $t \in \mathbb{Z}^k$. Let $\varepsilon = (\varepsilon_{i,j})_{1 \leq i \leq m \\1 \leq j \leq k}$ be a matrix with entries in ...
- 501
0
votes
0
answers
114
views
Merging Poisson/lognormal processes
We know that merging two Poisson processes results in another Poisson process with a rate that is the sum of the two original rates.
(https://www.probabilitycourse.com/chapter11/...
0
votes
0
answers
893
views
Random variable and total variation distance
Suppose X, Y are random variables from probability measures F(x), G(y) respectively. The total variation distance of F and G is bounded by a constant c. Is there a way to quantify the distance between ...
- 397
0
votes
0
answers
69
views
Quasi-stationary measure on a finite graph equals stationary measure?
Assume the simple random walk $X$ on the graph $G(V,E)$, s.t. $G$ is simple, undirected, finite, connected and let $B \subset V$, s.t. $V\setminus B$ is connected. Let $\sigma_B$ be the quasi-...
- 71
0
votes
0
answers
57
views
Parametric distribution where the parameter follows a diffusion process
I'm looking for a distribution $P_{\theta}$ with pdf $f (t,\theta)$ over $\mathbb{R}^{+}$ such that there exists functions $\mu(\theta)$ and $\sigma(\theta)$ such that for all $t>0$:
$$\mu(\theta)\...
- 1,902
0
votes
0
answers
286
views
Existence and uniqueness of solution for nonlinear system
Under what conditions will a solution $y \in \Re^n$ exist for this system of nonlinear equations? If it exists, will it be unique?
$$ \mu_k = \int_0^\infty g_k(x) \, f(x, y) \, dx \qquad \forall \, k ...
- 101
0
votes
0
answers
78
views
Core of direct product of Markov processes
Let $X$ and $Y$ be two diffusion processes. Suppose they have generators $G_X$ and $G_Y$ with domains $D(G_X)$ and $D(G_Y)$ and cores $C(G_X)$ and $C(G_Y)$. Let $Z$ be the product diffusion with ...
- 43
0
votes
0
answers
153
views
Embedding a martingale by SDE
Let me reformulate my question. Let $(X_0,X_T)$ be a martingale on $\mathbb R$, then it is known that one has a SDE:
$$Z_t=Z_0+\int_0^t\sigma(s,Z_s)dB_s, \mbox{ for all } t\in [0,T]~~~~~~~~~~~~~~(\...
- 1,835
0
votes
0
answers
124
views
Which sub-sequence selection rules preserve the iid property?
Let $\xi_1,\ldots,\xi_n$ be an iid sequence of random variables. If we take a sub-sequence $\xi_{i_1},\ldots,\xi_{i_k}$ with constant indices $1\leq i_1 <\ldots <i_k\leq n$, then the sub-...
- 251
0
votes
0
answers
68
views
What can be said about moments of probability distribution if it satisifies hemholtz equation?
From physical considerations I have observed, that probability density in region of interest satisfies
$$
\Delta u(x) + \phi(x)u(x) = f(x),
$$
where $\phi(x)$ and $f(x)$ are both given functions and $...
- 355
0
votes
0
answers
101
views
Probability of random variable being lesser than the other
Say there are two independent random variables, $X$ and $Y$, and we have samples $\{x_1,\dots x_n\},\{y_1,\dots y_n\}$. I am interested in bounding the probability of the event $C = \mathbb{1}_{X<Y}...
- 197
0
votes
0
answers
890
views
Maximum shortest path problem
I have the following problem. You have a graph and every edge has a certain set of possible weights. The question is to find the assignment of those weight which will maximize the shortest path.
In ...
- 342
0
votes
0
answers
34
views
What kind of prior on edge existence would form graphs that are unions of complete (sub)graphs?
Suppose a graph has $n$ vertices.
First question: is it possible to give a (nontrivial) prior probability on edge existence so that if a graph is created by querying the prior on the $\binom{n}{2}$ ...
- 118
0
votes
0
answers
82
views
The effect of channel error on the determinant of transmitted matrix
Assume the following matrix
$$
E:=\left(
\begin{array}{ccccc}
e_1 & e_2 & \cdots & e_{p-1} & e_{p}\\
e_{p+1} & e_{p+2} & \cdots & e_{2p-1} & e_{2p} \\
\...
- 313
0
votes
0
answers
96
views
How to get some information about a random variable if we know very little about its distribution
Suppose that $X, Y$ are random variables,both from a probability space to $(0,\infty]$, such that X and $1+Y$ have the same distribution, $Y=Z_1$ with probability equals half, otherwise $Y= \frac{...
- 228
0
votes
0
answers
87
views
Variation on stones in buckets
This is a spinoff, see Collecting stones in n buckets. Frankly speaking my only motivation is that I became curious: what happens if one redistributes the stones into the same buckets?
More ...
- 18.4k
0
votes
0
answers
54
views
A multifractal model of asset returns - Mandelbrot, scaling result
I am looking at the paper in the title and I am trying to derive their result in equation $2$. Here is what I obtain. Start with:
$$X(ct) \stackrel{d}{=} M(c)X(t)$$
where $M(.)$ and $X(.)$ are ...
- 101
0
votes
0
answers
236
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 $\mathbb E\exp(-\int \varphi(x)\ M(dx))$, $\varphi\in C_c^+(\mathbb R^n)$ (...
- 3,085
0
votes
0
answers
86
views
Derandomizing AP existence in $A\subseteq \{1,\ldots,N\}$ for $\delta(A) \geq 1/k$
In the answer to the mathoverflow question here, it was established that if we let $p$ be the probability of including point $v$ in $A\subseteq \{1,\ldots,N\}$ and this is done independently for all ...
- 10.4k
0
votes
1
answer
167
views
Finding the right σ-algebra. Question on uncertainty related to the secretary problem
Assume a number of iid. items is presented and the task was to stop under the objective of picking the best item.
In this setting it is relevant what is the distribution of the values of the ...
- 25
0
votes
0
answers
57
views
Where can I find this article of Doléans-Dade?
I need to find the article "Intégrales stochastiques dépendant d’un paramètre" by Doléans-Dade.
I could not find a pdf version online, and my university library does not have a printed version.
Thank ...
- 630
0
votes
0
answers
252
views
Hadamard product (Schur product) in $L^2[0,1]$
Let's consider the separable Hilbert space $\mathcal{H} = L^2[0,1]$ of square-integrable functions on the interval $[0,1]$ with orthonormal basis $(e_j)$. For $x,y \in \mathcal{H}$, the Hadamard ...
- 195
0
votes
0
answers
81
views
Prokhorov convergence of Gaussian measures
Consider a Hilbert space $\mathcal{H}$ and a sequence of centered Gaussian measures $\mu_n$ on it. The covariance operators of $\mu_n$ are defined via their eigenpair(eigenbasis and eigenvalue)) as ...
- 157
0
votes
0
answers
51
views
derivation of a gap related to extreme value theory
I have an expression to evaluate as follow:
$\mathbb{E}\left[\sum_{k=1}^K s_k f(x_k)\Big|s_k=s_k^{\ast} \right]$
where $\{s_k^\ast\}$ can be treated as a ${policy}$ which is defined as follows:
\...
0
votes
0
answers
124
views
Maximal inequality for Markov process
For a Markov process $\{X_n\}$ is there any inequality available for
$$ E[\sup_{0 \leq n \leq k} X_{n}]$$
in terms of moments of $E[X_n], 0 \leq n \leq k$
- 317
0
votes
0
answers
88
views
CLT for sums of an infinite sequence of rv with an asymptotic distribution
Excuse me if the question is ill-posed. I'll do my best to explain the problem.I have a vector $(x^{(n)}_1, x^{(n)}_2, \ldots x^{(n)}_n),$ whose individual components can be shown to be asymptotically ...
- 171
0
votes
0
answers
160
views
How to check numerically iterated logarithm law ? (How to choose cutOff lim_n sup_{m: n<= m<= CutOff} ) ?
The law of iterated logarithm asserts that if $x_1,x_2,\dots$ are i.i.d $\cal N(0,1)$ random variables and $S_n=x_1+x_2+\cdots+x_n$, then
$$\limsup_{n \to \infty} S_n/\sqrt {n \log \log n} = \sqrt 2, ...
- 24.9k
0
votes
1
answer
150
views
Weak convergence of process
Background:
I am trying to compute the weak limit of the following model from mathematical biology that is supposed to exist:
Let $$L(f)(\eta)= \sum_{x \in \mathbb{Z}}\frac{1}{2}\left(1_{\eta(x+1) \...
- 243
0
votes
0
answers
107
views
Conditional version of martingale difference concentration inequality
Let $M_n$ be a $\mathscr{F}_n=\sigma(\eta_m,\theta_m, m\leq n)$ measurable martingale difference sequence. Then is it possible to find a exponential tail bound for the following
$$P(|M_{n+1}| > u|\...
- 317
0
votes
0
answers
453
views
Integral involving modified bessel function of second kind, exponential and power
I need to compute the following integral.
$$
\int_0^a e^{-bx}\sqrt{4(a-x)}K_1(\sqrt{4(a-x))}dx\,.
$$
where $$ a>0$$
and $b$ can be greater than zero or less than zero but it is not a complex ...
- 119
0
votes
0
answers
322
views
Comparison of Parameter estimation using maximum likelihood and Maximum entropy
I am not sure if the question is appropriate but I want to try my luck. One can estimate a parameter using maximum likelihood and we know it is optimal. On the other hand there are methods which uses ...
- 495
0
votes
1
answer
360
views
Weak existence for modified Tanaka SDE
Tanaka's theorem (wikipedia) implies that $X_t = |B_t|$ is a weak solution to the SDE
$dX_t = dW_t + dL_t^0(X_t)$,
where $W_t$ is a Brownian motion and $L_t^0(X_t)$ is the local time of $X_t$ at $0$....
- 43
0
votes
1
answer
243
views
Weak solutions of linear parabolic PDEs and corresponding SDEs
It is well known that for an Stochastic differential equation (on the real line) of the form:
$dX_t = \mu(X_t)dt + \sigma(X_t)dW$
where $W$ is the standard Wiener process, the transition probability ...
- 3
0
votes
0
answers
216
views
Hoeffding's lemma for unbounded r.v with bounded exponential map
Let $X$ be a real r.v with $E[e^{\lambda X}] < \infty $ for all $\lambda \in [-c,c]$.
Is it possible to get an Hoeffding's lemma like bound on $E[e^{\lambda(X-EX)}]$. That is, an upper bound: $$E[...
- 9
0
votes
0
answers
168
views
A path optimisation problem
Consider a graph of $n$ nodes randomly located in $[0,1]^2$. Each node moves following a path randomly chosen from the set of all possible paths. Regard nodes as attackers. A policeman seeks an ...
- 367
0
votes
0
answers
81
views
Why is $\mathcal{E}(X)=\mathcal{E}(X,X^*)$?
According to a course about $\sigma$-agebras in infinite dimensional space they said that it is easy to see that :
$$\mathcal{E}(X)=\mathcal{E}(X,X^*)$$
where:
$X$ is separable real Banach space.
$\...
- 121
0
votes
0
answers
44
views
Is it possible to estimate the Interaction information of three variables without knowing their joint distributions?
I want to have a measure of the "synergy" between two players in a game. Each player has its own win ratio (won/played), which I'm modeling as two binomial distributed random variables X and Y. A ...
0
votes
0
answers
260
views
Concluding that the Poisson kernel is indeed the Cauchy distribution?
See here.
Let $d = 2$, and consider the domain $D = \mathbb{H}$, the upper half-plane. Let $W_t = (X_t, Y_t)$. We see that for any $\theta \in \mathbb{R}$ and any $t \ge 0$, we have$$E^{(x, y)}\...
- 13
0
votes
1
answer
186
views
Poisson kernel, $E^{(x, y)}\text{exp}\{i\theta X_t - \theta Y_t\} = e^{i\theta x - \theta y}$
Let $d = 2$, and consider the domain $D = \mathbb{H}$, the upper half-plane. Let $W_t = (X_t, Y_t)$. How do I see that for any $\theta \in \mathbb{R}$ and any $t \ge 0$, we have$$E^{(x, y)}\text{exp}\{...
user76167
0
votes
1
answer
81
views
An asymptotic set containment problem [closed]
Given a set of $n\in\Bbb N$ integers $\mathcal S$, suppose we choose two sets:
$$\mathcal S_{\mathsf{small}}\subseteq\mathcal S$$
$$\mathcal S_{\mathsf{big}}\subseteq\mathcal S$$ with cardinalities
...
user76479
0
votes
0
answers
355
views
Summing up costs over a Markov chain
I apologize in advance if this question is too simplistic to be appropriate for MathOverflow. I have inquired in multiple places but have found little to indicate that this is a previously studied ...
- 101
0
votes
0
answers
76
views
What is the success probability of this stochastic process?
Suppose you have $k$ black balls and $X\cdot k$ white balls.
The procedure start with you having a bag containing $y\le k$ white balls (e.g. $k+1,\ldots k+y$).
In every iteration:
A single white ...
- 1
0
votes
0
answers
2k
views
Probability two random intervals overlap
I'm working on an algorithm for orthogonal line intersection detection and am trying to analyze some things about it. For simplicity, we can consider the problem as follows:
Given N randomly ...
- 101
0
votes
0
answers
194
views
Derivative of a cdf with respect to a parameter
Given two independent Random Variables $X$ and $Y$ with known distributions, I would like to know if I can say that the expression
$$
\operatorname{Pr}( f (t'+Y-X)+Y-X < z)
$$
is increasing in ...
0
votes
0
answers
117
views
Ergodicity property for continuous-time Harris positive Markov process
I have posted this question on there, but got no answer.
The following theorem is Theorem 13.3.3 of Meyn and Tweedie's Markov Chains and Stochastic Stability on page 328:
Theorem 13.3.3. If $\Phi$ ...
- 109
0
votes
0
answers
104
views
Why is this distribution exponential?
Take the interval $[0, 1]$.
Now sample 10000 points in this interval randomly according to the uniform distribution.
The fact is that the distribution of the distances between adjacent points on ...
- 193
0
votes
0
answers
165
views
Expected length of minimum spanning trees
For a simple, finite, connected and complete graph $K_n = (V(K_n), E(K_n))$ with vertex set $V(K_n)$ and edge set $E(K_n)$, we assign a non-negative independent and identical distributed random weight ...
- 1
0
votes
0
answers
73
views
conditionning by a Gaussian field
I know that if $(X,Y)$ is a Gaussian vector, then $(X|Y=y)$ is a Gaussian vector which covariance matrix is explicit in function of the covariance matrix of $(X,Y)$, and does not depend on $y$.
What ...
- 1,352
0
votes
0
answers
320
views
Gromov-Hausdorff distance measure between minimum spanning trees
I am trying to compare minimum spanning trees through time. I have two questions:
1-Is it possible to measure the similarity between two minimum spanning trees with Gromov-Hausdorff distance measure ...
- 1
0
votes
0
answers
119
views
Estimating the number of colors in a bucket
This question was previously posted to Math Stack Exchange here.
Suppose we have a bucket containing a large (but known) number of balls. Each of the balls has a color. We don't know how many colors ...
- 1,302