All Questions
Tagged with pr.probability ergodic-theory
165 questions
3
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1
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233
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A subadditive maximal ergodic theorem
Let $(\Omega,\mathcal A,\operatorname P)$ be a probability space, $\tau:\Omega\to\Omega$ be a measurable map on $(\Omega,\mathcal A)$ with $\operatorname P\circ\:\tau^{-1}=\operatorname P$, $Y_n:\...
- 167
3
votes
0
answers
188
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Invariant subspaces of Markov operators
I am currently working on some kind of graph theoretic problem and the following question came up:
Suppose you have a Markov operator $T$ on $\ell^\infty$, that is a positive, bounded operator such ...
- 381
1
vote
0
answers
65
views
More formulas for joint entropy and for trace form entropies
Linked to some applications of entropy to combinatorics I'm looking for formulas expressing the joint entropy of two r. v. as a function of the conditional entropy . For example
For BWS extensive ...
- 131
2
votes
1
answer
290
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Uniform upper bound on contraction coefficient w.r.t total-variation metric, of a certain set of block-diagonal Markov kernels
Disclaimer. This is related to another question I've asked on the TCS site https://cstheory.stackexchange.com/q/46097/44644. I'm new to information theory (and other relevant fields). It's even ...
- 6,853
1
vote
0
answers
56
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Minimizing the rate of geometric ergodicity of a Metropolis-Hastings kernel depending on a parameter
Let $\tilde\kappa$ denote the transition kernel of the Markov chain generated by the Metropolis-Hastings algorithm with proposal kernel $\tilde Q$ and target distribution $\tilde\mu$.
I want to ...
- 167
0
votes
1
answer
82
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In smooth stochastic dynamics, if a Lebesgue-like measure is both forward-time and reverse-time stationary, is the measure necessarily incompressible?
Let $(\Omega,\mathcal{F},\mathbb{P})$ be a probability space and let $X$ be a compact connected $C^\infty$-smooth manifold. Let $F \colon \Omega \times X \to X$ and $\bar{F} \colon \Omega \times X \to ...
- 708
0
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1
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95
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If a probability measure is stationary in both forward time and reverse time, does this imply that the measure is incompressible?
Let $(\Omega,\mathcal{F},\mathbb{P})$ be a probability space and let $X$ be a compact metric space. Let $F \colon \Omega \times X \to X$ and $\bar{F} \colon \Omega \times X \to X$ be measurable ...
- 708
2
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1
answer
409
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Existence and uniqueness of a stationary measure
This same question was also posted on MSE https://math.stackexchange.com/questions/3327007/existence-and-uniqueness-of-a-stationary-measure.
Recently I have posted the following question on MO ...
- 333
2
votes
0
answers
113
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Characterizing the relationship between element-wise Markov transitions and the full-conditionals of the stationary distribution
Consider a $p$ dimensional random variable with a discrete support. Consider a Markov transition kernel on the state space that is defined in terms of element-wise transition distributions.
One can ...
- 2,791
3
votes
1
answer
372
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Attractors in random dynamics
Let $\Delta$ be the interval $[-1,1]$, then we can consider the probability space $(\Delta , \mathcal{B}(\Delta),\nu)$, where $\mathcal{B}(\Delta)$ is the Borel $\sigma$-algebra and $\nu$ is equal ...
- 333
2
votes
0
answers
116
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Estimating the measure of a pre-image of a polynomial
This question was previously posted on MSE https://math.stackexchange.com/questions/3305781/estimating-the-measure-of-a-pre-image-of-a-polynomial
Let $\sigma := 2/(3\sqrt{3})$, be a real number. And ...
- 333
4
votes
1
answer
245
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Operator version of Birkhoff ergodic theorem
Suppose that $(\Omega,\mathcal{E},P)$ is a probability space and suppose that we have a measurable operator $T:\Omega\to\Omega$.
Recall that $T$ is said to be egodic if:
$T$ is measure preserving: ...
- 267
4
votes
2
answers
201
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Uniform convergence of averages for stationary ergodic process
Let $\{X_t, t\in\mathbb R\}$ be a well-behaved$^*$ stationary ergodic process.
I'm interested in the uniform convergence of averages:
$$
\sup_{|x|\le R_n} \left|\frac1{2n}\int_{x-n}^{x+n} X_t dt - \...
- 1,533
1
vote
0
answers
179
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Two mixing rates of random dynamical system
Given random dynamical system $(X, \mathcal{B}, (T_{\omega})_{\omega\in \Omega}, \mu)$ where $(\Omega, \mathbb{P})$ is probability space with ergodic transformation $\sigma: \Omega \to \Omega$. Define ...
- 553
1
vote
0
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59
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Regularity of the pdf of partial Birkhoff sums
Suppose that $T: X \to X$ is some measurable map on a Riemannian manifold $X$ (possibly with boundary). Let $\mu$ denote the Riemannian measure on $X$. For measurable, real-valued $g$ we may consider ...
- 403
1
vote
0
answers
86
views
Coboundary in the slow mixing systems
Given dynamical system $(X, T, \mu)$, $\mu$ is probability, $\mu \circ T =\mu$, $T$'s transfer operator $P$ is defined by following relation: $\int (P a) \cdot b d\mu= \int a \cdot (b \circ T) d\mu$ ...
- 553
3
votes
2
answers
265
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Can one realize this as an ergodic process?
Consider the lattice $\mathbb Z^2$ and take iid random variables $Y_e$ on all edges $e$ of the graph.
We then define random variables $X_i:=\sum_{e \text{ adjacent to } i}Y_e.$
In other words: For ...
user135480
3
votes
2
answers
163
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Questions about some properties of random probabilities and random expectations
Let $(\Omega, \mathcal{A}, \mathbb P)$ be a probability space with $\mathcal{A}$ countably generated, and let $P: \mathcal{A} \times \Omega \to [0,1]$ be a random probability measure. By that I mean $...
- 869
4
votes
0
answers
98
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Weighted distribution of irrational rotation
Let $\theta\in [0,1]\setminus\mathbb{Q}$. Let $\alpha_0=\theta$ and $\alpha_1=1$. Let $0<p_0<1$ and $p_1=1-p_0$. For a finite word $I=(i_1, i_2, \dots, i_n)\in \{0,1\}^n$, denote by $I'=(i_1, ...
- 675
4
votes
1
answer
277
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Shannon entropy of $p(x)(1-p(x))$ is no less than entropy of $p(x)$
If $p(x)$ is a discrete probabilistic density function, one could construct another discrete probabilistic density function proportional to $p(x)[1-p(x)]$ with a corresponding partition function to ...
- 191
2
votes
0
answers
53
views
Sufficient condition for square root fluctuations of an ergodic sequence
Suppose I have a random sequence $\mathbf{X}=\{X_n\}_{n\in\mathbb{Z}}\subset \mathbb{R}^{\mathbb{Z}}$ that is ergodic with respect to translations. I am interested in a sufficient condition on $\...
- 83
2
votes
1
answer
119
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time delay ergodic theorem
given dynamic system $(X, \mathcal{B}, F, \mu), \mu \circ F^{-1}=\mu, F $ is mixing, $ A \in \mathcal{B}, s.t. \mu(A) >0 $.
consider dynamic system $(X\times X, \mathcal{B}\otimes \mathcal{B}, ...
- 553
3
votes
0
answers
123
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Maximal ergodic theorem on some dyadic intervals
What we refer to maximal ergodic theorem in this thread is the following: let $\left(\Omega,\mathcal F,\mu\right)$ be a probability space and let $T\colon\Omega\to \Omega$ be a measurable and measure ...
- 3,958
2
votes
0
answers
49
views
Ergodicity of differentiated processes
Let $S$ be a vector space, and $X$ a jointly-measurable random process/field with two parameters:
$$ X: [0,\infty)\times\mathbb{R}\times\Omega\to S,$$
i.e. $X_{t,\theta}:\Omega\to S$ are random ...
- 1,675
4
votes
1
answer
337
views
Support of bivariate joint distribution of stationary and ergodic sequence
Let $\{X_t\}_{t\in \mathbb{N}}$ be a strictly stationary and ergodic sequence of real valued random variables and let the support of $X_1$ equal $[-1,1]$. Can the support of $(X_1,X_2)$ equal the unit ...
- 43
2
votes
2
answers
242
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iid random operator and its spectrum
consider an insteresting question:
given Banach Space $ \mathcal{B}$, independent identical distribution random operator on $ \mathcal{B}$: $ (T_i)_{i \ge 1} $, where operator space is endowed with ...
- 553
3
votes
0
answers
95
views
Empirically random, quickly multiplicable matrices
I have encountered a need for fast computation of a transformation $Ax$ where $A\in \mathbb{C}^{K\times N},\ K\sim 10^7,\ N\sim 10^3$ is designed, and $x\in \mathbb{C}^N$ has iid $\mathcal{CN}(0,1)$ ...
3
votes
1
answer
343
views
Positive and Null recurrence of Markov Chains on a General State Space
Suppose $X_n$ is an irreducible, aperiodic and Harris recurrent Markov chain. It is well known that in this case, $X_n$ has a stationary distribution $\pi$.
Are there any conditions that are ...
- 339
2
votes
1
answer
1k
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Understanding measure-preserving transformation [closed]
Given measure space $(S, \mathcal{S}, \mu)$, and measurable function $\phi: S \to S$. $\phi$ is measure-preserving if $\forall A \in \mathcal{S}, \mu(A) = \mu(\phi^{-1}(A))$. My confusion is that why ...
- 23
2
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0
answers
71
views
Reference request- Automorphisms of point processes
A suspension of a point process on $\mathbb{R}^d$ is a measure preserving automorphism of the (distribution of the) point process which is determined by a map $T:\mathbb{R}^d\to\mathbb{R}^d$. The ...
- 111
4
votes
1
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302
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Almost sure stability of a scalar, nonautonomous, nonlinear SDE
I asked this problem on MSE some while ago, but it has stubbornly resisted any attempts at solving it.
Maybe there is someone here who can either close the gap in one of the existing answers or has ...
- 1,675
4
votes
1
answer
288
views
Radon-Nikodym derivative of the group action on the Furstenberg-Poisson boundary of lamplighter groups
Let $G_d$ be the Lamplighter group $G_d = \mathbb{Z}^d \wr \mathbb{Z}_2 $ and $\Gamma =\{(\bar{\eta},\tilde{0}),(\bar{0},\tilde{e_1}), \cdots,(\bar{0},\tilde{e_d})\}$ be the generator set of $G_d$ (...
- 93
2
votes
1
answer
81
views
Sample mean convergence of product of two 0-1 processes
Consider a 0-1 random process $X(t)$, that takes values only in $\{0,1\}$, such that $\lim_{T \rightarrow \infty} \frac{1}{T}\sum_{t=1}^{T}X(t) = \overline{X}$ almost surely. If $Y(t) \in \{0, 1\}$ is ...
- 21
2
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0
answers
104
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Stochastic stability of "open" continuous-time stochastic systems: reference request
I'm looking for results on the stability of stochastic systems, e.g. SDEs, whose coefficients depend on a different process that is not necessarily stable. I'm calling those systems "open" here, but ...
- 1,675
5
votes
1
answer
165
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On a finitary version of mixing
Let $(X_1,X_2,\ldots)$ be a stationary, mixing sequence of real random variables. Then it holds (for example) for any event $A$ that is measurable in $\sigma(X_1,X_2,\ldots)$ and any $S \subseteq \...
- 1,322
3
votes
2
answers
194
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A Really Simple Stochastic Dynamic Billiard
Consider the following stochastic dynamical system.
Fix $a > 0$, $b > 0$, $c>0$ and $v > 0$, and let $\mathbf{r}(t)=(x(t),y(t),z(t))$ be the position at time $t$ of a point which moves ...
- 640
3
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1
answer
127
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A Simple Stochastic Dynamic Billiard
Consider the following stochastic dynamical system.
Fix $a > 0$, $b > 0$, and $v > 0$, and let $\mathbf{r}(t)=(x(t),y(t))$ be the position at time $t$ of a point which moves in the ...
- 640
10
votes
2
answers
678
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Irrational rotation - recurrence times
I consider the irrational rotation
$T_\alpha(x) = x + \alpha \text{ mod } 1$ for given irrational $\alpha \in [0,1]$. For a given open interval $A \subset [0,1]$ with length $|A|>0$, I consider the ...
- 103
1
vote
1
answer
208
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Absolute continuity of harmonic measure for a random walk and its reflection
Let $G$ be a hyperbolic group, and $\mu$ a (nonsymmetric) probability measure on $G$ whose support generates $G$ as a semigroup.
Let $\nu$ be the associated harmonic ($\mu$ stationary) on $\partial G$....
- 2,964
1
vote
1
answer
404
views
Does Irreducibility holds for the Ergodic non-stationary Markov chain?
In the stationary case, I know that if the chain is irreducible and aperiodic, it is Ergodic. But in the non-stationary case, i can not comprehend the content deeply. I want to know if Irreducibility ...
- 121
4
votes
1
answer
352
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Measure of the rate of convergence for filtration and conditional expectations
This question is cross-posted at MSE with a soon to expire bounty that hasn't generated much discussion.
Let $(\Omega, \mathcal{F},P)$ be a probability space and $(\mathcal{F}_n)_n$ a filtration that ...
- 869
3
votes
3
answers
394
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When is the minimal Martin boundary closed?
Let $\Gamma$ be a finitely generated group and $\mu$ a symmetric measure of finite support on $\Gamma$. Let $\partial_{M}\Gamma$ be the Martin boundary of $(\Gamma,\mu)$ and let $\partial^{min}_{M}\...
- 2,964
5
votes
0
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143
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Law of Large Numbers for the Tasep from a Bernoulli Configuration (Rost's Theorem)
Let $(\eta_{t}^{\rho})_{t\geq 0}$ be a totally asymmetric simple exclusion process (TASEP) from an initial configuration distributed according to the Bernoulli measure $\nu_{\rho}$ on $\{0,1\}^{\...
4
votes
1
answer
227
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Event of positive probability occurs infinitely often in stationary ergodic sequence
Setup:
Suppose $X = \{X_n\}_{n\in\mathbb{Z}}$ is a stationary ergodic proces on the real line and let $A = \prod_{n\in\mathbb{Z}}A_n$ be a Borel measurable set such that
$$
P(X \in A) = P\left(X_n\in ...
- 479
1
vote
1
answer
193
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Optimal joint coupling of all probability measures on a 3 point space
I am looking for any remotely related reference for the following problem, for which I have not the least clue what techniques would be useful.
Consider a discrete probability space $\Omega = \{x, y, ...
- 4,466
1
vote
1
answer
377
views
Ergodicity of the product Markov chain
$\def\P{\mathsf{P}}$
Let $(X_n)_{n\in\mathbb{Z}_+}$ be a Markov chain with a transition kernel $P(x,dy)$. Consider now a product Markov chain $(X^1_n,X^2_n)_{n\in\mathbb{Z}_+}$ with the transition ...
- 21
4
votes
1
answer
222
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Is there a version of the Return Times Theorem for Dunford-Schwartz operators?
Bourgain's "Return Times Theorem" establishes that if $(\Omega_{j},\mathcal{F}_{j},\mathbb{P}_{j},T_{j})$ ($j=1,2$) are measure-preserving Dynamical systems (i.e. $(\Omega_{j},\mathcal{F}_{j},\mathbb{...
- 486
2
votes
1
answer
186
views
Limit of stochastic subsequence of stationary ergodic sequence
Let $\{X_k\}_{k\in\mathbb{N}}$ be a stationary ergodic sequence on a probability space $(\Omega,\mathcal{F},P)$ with shift $T$. Also, let $\{v_k\}_{k\in\mathbb{N}}$ be a sequence of random variables ...
- 479
2
votes
1
answer
200
views
Measurable isomorphism between two non-totally ergodic systems
Suppose $(X,\mathcal A,\mu,T)$ is a finite measure-preserving system. Then we define a new measure system $(X^{(K)},\mathcal A^{(K)},\mu^{(K)},T^{(K)})$ defined by $X^{(K)}=X\times \{1,2,...,K\}$ for ...
- 319
4
votes
1
answer
340
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On the spectrum of stationary Gaussian process
What is the condition for ergodicity, weakly mixing, and strongly mixing properties of Gaussian process in terms of its spectrum?
In a similar way let us consider a stationary vector valued Gaussian ...
- 421