All Questions
9,498 questions
0
votes
0
answers
14
views
Square-integral involving Brownian bridge
Let $B(t)$ be a standard Brownian bridge on $[0,1]$. Let $x>0$ be a (small) parameter. What is the distribution of
$$
\int_0^{1-x} \left( B(t + x) - B(t) \right)^2 dt?
$$
As noted I am interested ...
- 2,197
3
votes
1
answer
132
views
How to maximize the variance of a subset of integers?
$\DeclareMathOperator{\Var}{Var}$Given the set of numbers $\Omega := \{1, \ldots, n\}, n \in \mathbb{Z}^+$, how can I choose a subset, $A$ of $\Omega$ , such that $\min(\Var(A), \Var(\Omega \setminus ...
- 41
-1
votes
0
answers
25
views
Estimate the value of the PDF $P(f)$ at the minimal $f_0$ of the random-variable function $f(\mathbf{x})$
Let $f(\mathbf{x})=f(x_1,x_2,\dotsc,x_N)$ with $N>2$ be a real and continuous function and $f(\mathbf{x})\ge f_0$ for any $\mathbf{x}\in\mathbb{R}^N$. Now let $x_1,x_2,\dotsc,x_N$ be the i.i.d. ...
- 375
1
vote
0
answers
37
views
Can conditional distributions with respect to a sufficient sub-$\sigma$-algebra be represented by a single Markov kernel?
Let $(\Omega, \mathcal{F})$ be a measurable space, and let $\mathcal{P}$ be a collection of probability measures on this space. A sub-$\sigma$-algebra $\mathcal{G} \subset \mathcal{F}$ is said to be ...
- 111
3
votes
1
answer
138
views
Surjectivity of pushforward on image
Let $\mathcal X\subseteq\mathbb R^m$ be a Borel measurable set. $\Phi:\mathcal X\to\mathbb R^n$ be a continuous mapping and $\mathcal Y = \Phi(\mathcal X)\subseteq\mathbb R^n$ its image. Let $\mathcal ...
- 345
1
vote
0
answers
29
views
Integral hull of a polyhedron Q is polyhedron
Let $Q \subseteq R^n$ be a rational polyhedron and let $Q_I=Convexhull(Q \cap Z^n)$. By finite basis theorem, we have $Q=P+C$ for some rational polytope $P$ and finitely generated cone $C$ where $C=R_+...
- 21
1
vote
0
answers
77
views
+100
Inequalities for norm of centered Gaussian and uncentered Gaussian
Let $g$ denote a standard Gaussian vector in $\mathbb{R}^n$, and $\|\cdot\|$ a norm.
Let $x \in \mathbb{R}^n$ and define
$$
F(x) = \mathbb{E}[\|x + g\| - \|g\|].
$$
I am wondering if it is possible to ...
- 380
1
vote
1
answer
53
views
Proving bound on expectation of likelihood ratio involving mixtures
Let $p$ be a Lebesgue density function with infinite support (i.e. $p(x)>0 \forall x\in \mathbb{R}$ and $\int p(x) dx = 1$). Moreover, assume that $p$ is even (i.e. $p(x) = p(-x)$) and unimodal: $p(...
- 13
1
vote
0
answers
55
views
Quantitative multivariate CLT from quantitative CLT of linear combinations
Suppose $Z_1, \ldots, Z_k$ are random variables with mean $0$ and variance $1$ that are "approximately jointly Gaussian" in the sense that for any scalars $c_1, \ldots, c_k$, we have that $\...
- 111
-1
votes
0
answers
41
views
Is it possible to backtrack an optimization solver? [closed]
I have an optimization problem and was using a linear programming optimizer to find solutions. However, I find that past a certain size, the problem becomes "infeasible" and has no solutions....
0
votes
0
answers
23
views
Characterisation of a family of continuous martingales
I look for a full characterisation of the continuous martingales $X=(X_t)_{0\leq t\leq T}$ (defined on some filtered probability space as nice as possible) such that
$$X_0=0\quad \mbox{ and } \quad\...
- 1,389
0
votes
1
answer
82
views
Median of cardinality of set union
Let $U$ be an arbitrary finite universe (you can just think of it as $[N]=\{1,2,\ldots,N\}$), and $\mathbf{S} = (S_i)_{i \in [n]}$ ($S_i \subseteq U$) be the sets that we are drawing from. Define a ...
- 29
3
votes
1
answer
84
views
What (continuous) stochastic processes have path measures that are absolutely continuous w.r.t. Wiener measure?
Suppose I have a stochastic process $\{Z_t\}_{t \in T}$ for which I know the sample paths to be a.s. continuous (we can also assume some usual stuff, such as $T$ a compact metric space, $Z$ having ...
- 73
0
votes
0
answers
37
views
Bounding the error of a truncated moment problem
Let $\{x_{i}\}_{i=1}^{\infty}$ be a non-increasing sequence of non-negative real numbers, and let $\{y_{j}\}_{j=1}^{B}$ be a non-increasing sequence of non-negative real numbers, where $B$ is a finite ...
- 433
-1
votes
0
answers
35
views
Different definition of Feller semi-group
(This is a crosspost of a question on MathStackExchange which did not receive any answer.)
Let $E$ be a locally compact metric space, let $C_0(E)$ be the set of real-valued continuous functions of $E$ ...
-1
votes
1
answer
93
views
Variance of bins for N balls into M bins [closed]
If I throw N balls independently into M bins with uniform probability, the expected mean of the M bins is N/M balls.
What is the expected variance of the M bins?
I was thinking of what bin size I ...
2
votes
1
answer
146
views
Lower bound in the singularity of random Bernoulli matrices
Let $A_n$ be a random $n \times n$ matrix with entries in $\{-1, +1\}$. As usual, "random" here means with respect to the uniform measure over such matrices.
The strong version of the ...
- 380
3
votes
0
answers
80
views
Asymptotics of number of running maxima of iid random variables
Let $\{X_i\}_{i \geq 1}$ be a sequence of iid non atomic random variables, that is, their CDF has no jump discontinuities.
Given a realisation $\omega$ of the random variables, we say that $X_i (\...
- 6,155
5
votes
1
answer
375
views
Convergence of random functions
Suppose I have a sequence of random continuous functions, $f^{n} : [0, t] \to \mathbb{R}$. Suppose there also exists a random continuous function, $f: [0, t] \to \mathbb{R}$, defined on the same ...
- 85
0
votes
0
answers
31
views
Looking for a citation for this simple generalization of the Markov bound to non-negative super-martingales
Does anybody know a reference for the following theorem?
Theorem 1. Let $(X_t)_{t=0}^\infty$ be a non-negative supermartingale.
Then, for any constant $c > 0$, the event $(\exists
> t)\, X_t \...
- 183
1
vote
0
answers
78
views
Markov Chain that maximises the entropy creation rate
I am working on MERW (Maximal entropy random walk) for a project.
I want to show that given a graph G, there is $\textbf{only one}$ aperiodic markov chain on G that maximises the entropy creation rate ...
- 11
4
votes
0
answers
115
views
Convergence in probability results with still open point-wise versions
In ergodic theory and more generally in stochastic processes, often convergence in probability results precede convergence almost-surely results in quite a few years. Classical examples include the ...
- 41
0
votes
0
answers
36
views
Contribution of Fisher information near jump points in convolved probability distributions
I am trying to compute the contribution to the Fisher information from jump points $b_i(\theta)$ in the convolved function $f(x; \theta)$ with respect to the parameter $\theta$. I am unsure whether it ...
- 99
9
votes
2
answers
429
views
Hermite–Fourier expansion for the median
Let $n$ be an odd positive integer. Let $M : \mathbb{R}^n \to \mathbb{R}$ be the median function: $M(x_1,\dots,x_n)$ is the median of $x_1,\dots,x_n$. What can be said about the Hermite–Fourier ...
- 24.7k
2
votes
1
answer
65
views
On the stationarity of Gaussian processes
I am trying to understand and prove the statement:
The normal (or Gaussian) process is stationary in the wide sense if and only if it is strictly stationary.
I know the following:
A strictly ...
3
votes
1
answer
219
views
Interpretation of an asymptotic result in probability
A result in asymptotic theory says the following: Let $Y$ be a real random variable with full support and $E(|Y|)<\infty$. Assume that:
$$
(A)\quad \lim_{y\rightarrow \infty} \frac{\Pr(Y\geq y)}{\...
- 108
3
votes
0
answers
81
views
Combinatorial/probabilistic interpretation of a quantity of union closed family
Let $\mathcal{F}\subseteq2^{[n]}$ be a union-closed family of sets. For a set $S\in[n]$ (not necessary belong to $\mathcal{F}$), define $w_{\mathcal{F}}(S)$ to be the number of subset of $S$ which ...
- 1,462
0
votes
1
answer
66
views
Does convergence in probability of iid samples imply convergence in measure of the sampled functions?
Let $g_i: [0, 1] \to \mathbb R$ be $L^1$ functions, equibounded in $L^1$ norm. Let $X_i$ a sequence of iid uniform random variables on $[0, 1]$. Suppose that
$$\frac{1}{n} \sum_{i = 1}^n g_i (X_i) \to ...
- 6,155
3
votes
1
answer
405
views
Moments of a random variable related to uniform distribution on sphere
Let $u$ be taken uniformly from the unit sphere $\mathbb S^{n-1}$ and $D$ be a diagonal matrix. I'd like to find a general formula for
$$
\mathbb E[(u^\top D u)^m]
$$
for $m=1,2,3, \dots$, in terms of ...
- 1,608
0
votes
0
answers
21
views
Easy instance of set cover
I am trying to prove that a natural greedy algorithm solves the following instance of the set cover problem: for a set of elements $e\in U$ with a set of weights $w_e$, we define the cost of a subset ...
- 4,049
-3
votes
0
answers
135
views
Approximation on Dirichlet's arithmetic progression by means of central limit theorem
In this video lecture on
Number theory over function fields taught by Will Sawin
is presented a 'conceptional' reason for error estimation
$\#\{p \in \Bbb P: p =a \ \text{mod} \ N, p <x \}
=\frac{1}...
- 619
0
votes
2
answers
126
views
Unique coupling
Let $X$ be a Polish metric space, and let $\mu,\nu$ be two Borel probability measures on $X$, when is the product measure the only coupling of $\mu$ and $\nu$. More formally, let $$\Gamma(\mu,\nu):=\{\...
- 245
1
vote
0
answers
91
views
How to optimize parametric information-theoretic bounds?
I am faced with an information-theoretic upper bound, such as
\begin{align}
\sqrt{\alpha'}2^{I_\alpha(X;Y)},
\end{align}
where $I_\alpha(X;Y)$ is the Rényi mutual information with parameter $\alpha>...
- 287
-2
votes
0
answers
52
views
Density of squared bessel process
I was trying to find a transition density function for a squared Bessel process. In the book "Continuous martingale and Brownian motion" by Revuz and Yor, I find a Corollary on page 441 that ...
- 11
-1
votes
0
answers
27
views
Number variance of random points (and deviations for empirical processes)
Let $X_1, X_2, \dots$ be i.i.d. random variables having uniform distribution on $[0,1]$. Write $I_{t,x}$ for the indicator function of an interval of length $x$ with center $t$. Consider
$$
V(N,x) = \...
- 2,197
0
votes
1
answer
72
views
Lower Bound on the Probability for the Sum of IID Random Variables
Let $X_1,\ldots,X_n$ be $n$ iid normalized random variables (with finite variance, possibly sub-Gaussian).
Suppose further that $\mathbb{P}(X_1 > 0 ) > 1/2$, implying a positive skew in the ...
8
votes
1
answer
534
views
The cars problem, again
Consider the following simple problem: We are given $2n$ parking spots, labelled from 0 to $2n-1$. There are $n$ cars on the first $n$ spots, and the remaining $n$ spots are free. At every step, every ...
1
vote
0
answers
58
views
Drift of reverse SDE with Lévy processes ($\alpha$ stable distributions)
Given an SDE with a Lévy process with a drift $b(x,t)$ the reverse SDE will have a drift, $\tilde{b}(x,t)$, given by the relation:
$$\tilde{b}(x,t) = - b(x,t) + \int_{\mathbb{R}} y \left( 1 + \frac{...
- 305
0
votes
1
answer
95
views
On the behaviour of individual random walks of a Markov Chain
My current research (on Probabilistic Automaton) brought me to the following question regarding Markov Chains. I state the definitions for the sake of clarity.
Let $M$ be a discrete-time finite Markov ...
3
votes
0
answers
90
views
Tighter Freedman's inequality for a special martingale difference sequence
Let $X_{1}, \ldots, X_{T} \in \{0, 1\}$ be a sequence of Boolean random variables with
$$
\mathbb{E}[X_{t} | X_{1}, \dots, X_{t - 1}] = p_{t}.
$$
Consider the sequence $Y_{t} := X_{t} - p_{t}$ (which ...
- 41
0
votes
1
answer
51
views
Reconstruction of law of diffusion process from call option values
Let $X_{\cdot}$ be a $1$-dimensional diffusion process. If I know the value of the
$$\big\{\mathbb{E}[\max\{X_t,c\}\big| X_0 =x\big]:\, c\in \mathbb{R} \text{ and } \,\, t\in (0,1] \big\}.$$
Then, ...
- 5,405
7
votes
2
answers
242
views
Prove that $ n \leq d+1 $ under ordering constraints in $\mathbb{R}^d$
Let $x_1, \dotsc, x_n \in \mathbb{R}^d$ and $\theta_1, \dotsc, \theta_n \in \mathbb{R}^d$ be vectors such that for every $k \in [n]$, the following inequality holds:
$$
\langle x_k, \theta_k \rangle &...
1
vote
0
answers
42
views
Sub-Gaussian analysis via bounded decomposition?
Let $\psi_\alpha(x) := \exp(x^\alpha)-1$.
The Sub-Gaussian Norm $\lVert X \rVert_{\psi_2}$ of a random variable $X$ is defined as
$$
\lVert X\rVert_{\psi_2} = \inf\{c>0\mid \mathbb{E}[\varphi_2(|X|/...
- 2,183
0
votes
2
answers
115
views
Upper bounds on quotients of binomial coefficients
Let $\gamma>1$ be a real number and let $n\in \mathbb{N}$.
Define $f\colon\mathbb{N}\to[0,1]$
$$
f(n_0) = \frac{\binom{n-n_0}{m}}{\binom{n}{m}},
$$
where
$$
m = \Big\lfloor{\frac{n}{\lceil\gamma ...
1
vote
1
answer
51
views
How do the total variation distances of the marginals relate to the total variation distance of the joint under independence?
Suppose there are two sets of random variables $X_1,...,X_n$ and $Y_1,...,Y_n$ with all the variables being defined over the same sample space, but not necessarily being identically distributed. Is ...
3
votes
1
answer
156
views
Sub-Gaussian concentration without the sub-Gaussian norm
A random variable $X$ is said to have sub-Gaussian tails with parameter $\sigma>0$ if
$$\Pr[|X|\geq t] \leq 2\exp(-t^2/(2\sigma^2))$$
I am interested if $X_0, X_1$ are independent, and have sub-...
- 2,183
4
votes
1
answer
227
views
Problem in Probability Theory and Functional Analysis
Let's consider the vector space V of bounded scalar functions, which includes the constant function 1. We assume that any uniform limit of a bounded monotonic sequence of functions from V also ...
1
vote
1
answer
149
views
Resource request (probability theory, computability theory, algebra)
I'm a first year graduate student trying to explore specific topics I might be interested in researching. Currently, I enjoy algebra, probability theory, and the computability theory side of logic, ...
- 121
3
votes
2
answers
282
views
Nash equilibria of a "minority game"
An odd number $N \geq 3$ of players are playing a game - they bet on the outcome of a biased coin that comes up heads $p > \frac{1}{2}$ of the time, where $p$ is known to all of the players in ...
- 6,155
2
votes
0
answers
43
views
A distribution defined via an ODE for its Laplace trnsform
Fix a parameter $0 < c < \infty$.
As the solution to a certain problem,
there is a probability density function $f_c(t)$ on $0 < t < \infty$ with mean $1$ and
whose Laplace transform $L(\...
- 236