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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94 views

A complicated combinatoric/probabilistic limit

I'm hoping to find a tractable expression for a limit of the following expression: $P_i (\textbf{n},\textbf{U};M,N) =\frac{M U_i}{M^{\sum \limits_{j=1}^{N} n_j}} \sum \limits_{k_1 = \delta_{i,1}} ...
3
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0answers
59 views

What is the early history of the concepts of probabilistic independence and conditional probability/expectation?

In the 1738 second edition of The Doctrine of Chances, de Moivre writes, Two Events are independent, when they have no connexion one with the other, and that the happening of one neither forwards ...
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38 views

Is there inverse FFT algorithm for Fourier transform of a integer-valued random variable?

In many applications, it is possible to derive an explicit expression for the fourier transform of a random variable $X$ $$\varphi (\theta ) = \sum\limits_{n = 0}^\infty {{p_n}} {e^{in\theta }}$$ ...
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32 views

A counterpart of Karhunen theorem

According to the Karhunen theorem, if the correlation function of a process $X(t)$ can be represented as $$ R(t,s)= \int_{\Lambda} f(t, \lambda) \overline{f(s, \lambda)}d\nu(\lambda) $$ then the ...
2
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1answer
168 views

What is “tilting” in the context of large deviations?

I have seen references to the "tilting method" in the theory of large deviations. Is there a simple explanation of what this is, exactly?
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2answers
78 views

Bounds for the fat tail after trimming the mean?

I am interested in the quantity $$f(X,t) = \int_t^\infty\negthinspace x\ p(x)\ dx,$$ where $p$ is a probability distribution for a positive variable $X$. 1) Does this quantity $f(X,t)$ have a name? ...
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2answers
80 views

Invariant measure of Euler-Maruyama Discretisation of an Ito diffusion

Let $(X_t)_{t \geq 0}$ be a diffusion process with dynamics governed by the stochastic differential equation \begin{equation} dX_t = b(X_t)dt + \sigma(X_t)dW_t, ~~ X_0 = x_0, \end{equation} where ...
2
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1answer
79 views

M/M/1 Queue with probability of new customer leaving

I'm looking at a M/M/1 queue system and trying to show that $\{M_t\}_{t\geq}0$, the number of clients in the system, is a birth-death process. In the simplest of cases this is true if $\lambda_i = ...
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0answers
61 views

Finite Volume 1D Anderson Tight Binding Model

My question is about bounds on the number of eigenvalues in a microscopic interval for the random Schrodinger operator on $\mathbb{Z}_n$ for $n \in \mathbb{N}$. For my question, these are the ...
6
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1answer
141 views

Limit of distance between two random points in a unit-radius $n$-sphere

This is a companion contrast to the earlier analogous question for unit $n$-cubes, where the answer (provided by several respondents) is $\infty$ . What is the limit, as $n \to \infty$, of the ...
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123 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 ...
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1answer
202 views

How to minimize $-\sum p_b \ln{p_b}$?

Consider multisets of the form $A = \{a_1,\dots,a_n\}$ of integers. Let $q = P(a_i = a_j)$ when $i$ and $j$ are chosen independently and uniformly from $\{1,\dots, n\}$. Let $B$ be the set of ...
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0answers
59 views

On Flajolet's analytic urn model: a unified approach or just an interesting trick?

Recently I'm reading Flajolet's work on analytic urn models. In around 2006 He introduced a new analytical method that can give exact solutions to many classical urn models in a unified way. For a ...
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0answers
103 views

Heat kernel and Wiener measure

A theorem by Barry Simon says that for arbitrary open sets $\Omega\subset \mathbb{R}^n$, we have $$[\exp(t\Delta_{\Omega}^D)](x,y) = \mu_{x,y,t}\lbrace \omega \text{ } \vert \text{ } \omega(s) \in ...
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1answer
72 views

Singular distributions: Applications and Instances

Singular distributions are special mathematical objects. They have an interesting property of not having a density function, defined on a set with Lebesgue measure zero. Cantor distribution is the ...
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43 views

vector-matrix notation and expectation of matrix and Hermitian product [on hold]

Let $\textbf{h} \in \mathbb{C}^{N\times 1}$, $\textbf{a} \in \mathbb{C}^{N\times 1}$, $\textbf{b} \in \mathbb{C}^{N\times 1}$ and $\textbf{c} \in \mathbb{C}^{N\times 1}$. The variable $h_i$ is defined ...
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70 views

number of times Brownian motion hits boundaries

Any experts here please direct me to some appropriate keywords that I can search for. Consider a Brownian motion constrained to an upper and lower boundaries. Let's say I want to know that how many ...
6
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2answers
186 views

Limit of distance between two random points in a unit $n$-cube

What is the limit, as $n \to \infty$, of the expected distance between two points chosen uniformly at random within a unit edge-length hypercube in $\mathbb{R}^n$? For $n=1$, the average ...
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0answers
30 views

Bounding Rayleigh quotioent for stochastic matrix

Suppose you have an irreducible, stochastic matrix $A$ with left Perron-Frobenius eigenvector $v$ (corresponding to the eigenvalue $1$), and suppose the next largest eigenvalue for $A$ is $\lambda$. ...
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60 views

Books and papers on differential equation method [on hold]

I wanted to understand the differential equations method for analyzing stochastic sequences. Is there a good book/ papers that provide a gentle survey this topic with a good number of examples? A good ...
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0answers
76 views

Upper bound for $r_{0}(n)$ through probabilities

Assume Goldbach's conjecture. Then for every integer $n>1$ there exists a non negative integer $r$ such that both $n-r$ and $n+r$ are primes. For a given $N$, let's denote by $r_{0}(N)$ the ...
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0answers
42 views

Quantiles moments and Convergence

QUESTION: Let $F$ be an absolutely continuous distribution function with density $f$, and $F_{n}$ be its nth empirical distribution. Suppose that $t\in (0,1)$ is constant. Is true the convergence ...
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0answers
44 views

Whether r.v. with p.g.f. $\exp [\sum\limits_{i = 1}^\infty {{q_i}({z^i}} - 1)]$ is overdispersion?

When discrete r.v. $X$ is not Poisson distributed and ${\rm{Var}}X,EX < \infty $, I want to know whether r.v. $X$ with p.g.f. $\exp [\sum\limits_{i = 1}^\infty {{q_i}({z^i}} - 1)],({q_i} \in ...
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35 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 ...
2
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1answer
74 views

convergence rate of occupation measure of ergodic Markov Chain

Given an ergodic Markov chain $(X_n)_{n\geq 1}$ in $R^d$with $\pi$ as the invariant distribution of the transition kernel, under good conditions we have that the empirical occupation measure converges ...
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1answer
136 views

Question about the log-det function

Suppose I have a diagonal $n \times n$ matrix $\Gamma$ with positive entries, and a fixed $n \times k$ matrix $P$ with $P^\intercal P = I$ (here, $k \leq n$). I'm interested in knowing whether the ...
2
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1answer
73 views

Convergence of random variables in LP preserved under conditioning on sub sigma field

Is anyone aware of a result which states that convergence of random variables in $\mathbb L^p$ are preserved under conditioning on sub-sigma fields? I'm new to probability/measure theory, and trying ...
1
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1answer
55 views

A calculation involving a uniform random variable quantile

THE PROBLEM: Let $U$ be a uniform distribution and $U_{n}$ be its nth empirical distribution. Suppose $t\in (0,1)$ and $n\in \mathbb{N}$ are constants. What's the explicit expression to ...
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1answer
65 views

question about uniform continuity under Skorokhod Metric

Let $D=D([0,1], \mathbb{R})$ be the space of cadlag functions $x$ with $x(0)=0$ and $x$ is continuous on $1$. If we endow $D$ with Skorokhod Metric, see: http://en.wikipedia.org/wiki/C%C3%A0dl%C3%A0g ...
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109 views

Equivalence of Gaussian measures on Hilbert space

Suppose we have 2 nondegenerate Gaussian measures given by N(0,T) and N(0,S) supported on a separable Hilbert space H. T and S are such that eigenbasis of S lies in the cameron martin space of ...
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1answer
53 views

Running supremmum of a Levy process

Let X be a cadlag Lévy process with $X_0=0$ and let $p$ be a real number in $[1,\infty)$. Then, the following are equivalent. 1): $X$ is $L^p$-integrable. 2): $X^*_t= \mathop{\sup}_{0\leq s\leq t} ...
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111 views

Optimization problem involving Multivariate Normal

I use $\phi(t)$ to describe the standard normal distribution density and $\Phi(t)$ as the normal distribution CDF and would like to prove that for all $n\geq3$, the function: ...
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1answer
108 views

Calculating the probability that all possible length $r$ subwords exists in a string, with or without overlaps allowed

Let $S$ be a length $L$ string, where each character in the string is chosen with uniform random probability over an alphabet with $q$ characters. For example, a binary string would imply $q = 2$, a ...
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42 views

Feature relationship based class separability [closed]

I am a computer science guy, not a mathematician so kindly excuse me if there is any ridiculous error in my problem description. I have two clusters $C_1$ and $C_2$ in a feature space spanned by $k$ ...
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12 views

Probability of ongoing experiment [migrated]

Suppose, I do a experiment where I have an event 'a' true 1000 times in 1000 trials. So, the probability becomes 1000/1000 = 1. If I am going to do another trial, my prediction about event 'a's ...
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26 views

Expectation of O_p(1) process [migrated]

Suppose $\{X_n \}$ is bounded in probability, i.e. $Prob(|X_n| > M_\epsilon) = \epsilon$ for all $n > N_\epsilon$, $M_\epsilon < \infty$. Is there any condition(s) to guarantee that ...
2
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2answers
159 views

Intuition on Lindeberg condition

I want to know how Lindeberg came up with the condition which is sufficient for CLT to hold ? What is the intuition behind such an expression ?
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82 views

mabinogion sheep problem: optimal policy [closed]

This problem occurred in Williams's book : probability with martingales, it states as follows:( from wiki ) At time t = 0 there is a herd of sheep each of which is black or white. At each time t = 1, ...
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2answers
111 views

Intrinsic significance of differential entropy

Many commentators (e.g. Jaynes, Rota) argue that the notion of "differential entropy" is problematic (as commonly defined by $ h(X) = \int ( \log\frac{1}{p(x)} ) p(x) \, dx $, where $X$ is a random ...
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1answer
44 views

Finiteness of “novel variance” from a kernel on a compact space [on hold]

Let $c(i,i')$ be a kernel function on a reasonable index space $I$. Choose a dense sequence of points $\{i_1, i_2, \cdots \} \subseteq I$, and define the one-point kernel functions $k_n := c(\cdot, ...
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0answers
151 views

A question on limit of weak-* convergence of probability measures [migrated]

Let $(X,\mu)$ be a measure space. Assume $X$ is compact. It is well-known that the space $\mathcal{P}(X)$ of probability measures on $X$ is compact in weak-* topology. Let's consider a sequence of ...
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1answer
644 views

Probability all inner products are zero

For an even (and large) positive integer $n$, consider a random $(2n-1)$-dimensional vector $v$ where each $v_i$ is $-1$ with probability $1/2$ and $1$ with probability $1/2$ and are i.i.d. Now ...
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2answers
99 views

conditional expectation under convex combinaison of probability measures(II)

Let $(\Omega,\mathcal{F})$ denote some measurable space. Let $P_1$ and $P_2$ denote respectively two probability measures. Now let $\mathcal{G}$ be some sub sigma-algebra of $\mathcal{F}$. Given a ...
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3answers
105 views

Empirical estimator for total variation distance between two product distributions

Let $X = (X_1, X_2, \ldots , X_n)$ be an $n$-dimensional random variable, where each $X_i$ is a random variable on finite discrete set $S$. In addition, $X_i$ are independent of each other (but not ...
5
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1answer
162 views

Measures which exhibit the “uncorrelated implies independent” property

Let $X$ be a topological linear space, and let $X^*$ be its dual space. Suppose that $X$ is complete and Hausdorff, and $X^*$ separates points. Let $Y$ be another such space, and let $f : X \to Y$ be ...
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68 views

Blackwell-MacQueen Urn Scheme

I'm having some difficulty understanding the steps in the proof in the bottom half of the second page of this paper: ...
5
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3answers
419 views

Does $Mv$ converge to i.i.d in some sense?

I am not a professional mathematician so please excuse me if my question is not phrased correctly. I am interested in the following simple sounding problem. Consider a random $n$ by $n$ $0$-$1$ ...
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45 views

Hermite coefficients of a positive density

It is well known that a necessary condition for a function in $L_2$ to be a.e. positive is that its fourier transform is positive-definite (in fact, due to Bochner's theorem, this is also a sufficient ...
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1answer
57 views

Cramér-Wold device with limited angle and independence assumption

Let $X$ be a random vector taking values in $\mathbb R^2$ with probability density $p(x) = p_1(x_1)p_2(x_2)$, i.e. the components of $X$ are independent. Let $V$ be an open set in $\mathbb S^1$, the ...
2
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0answers
115 views

Feynman-Kac theorem: probabilistic proof of existence of solution to parabolic PDE

Friedman (in his book: PDEs of Parabolic Type) shows how to construct a solution to the Cauchy problem $$ \partial_t u(t,x) = b(x) \partial_x u(t,x) + \frac{1}{2} \sigma(x)^2 \partial_{x,x} u(t,x) $$ ...