Questions tagged [pr.probability]
Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory.
9,022 questions
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What is the probability distribution function for the product of two correlated Gaussian random variable?
Suppose we have pair $(X,Y)\sim Normal([\mu_x,\mu_y],{{\sigma_x^2\atop\rho \sigma_x\sigma_y } {\rho \sigma_x\sigma_y \atop \sigma_y^2} }] $
How is $U=X\cdot Y$ distributed?
I've tried to compute this ...
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Balls and bins variation
How many balls have to be thrown uniformly at random into $m$ bins, such that with high probability $n_1, n_2, \dots, n_m$ are distinct numbers, where $n_i$ is the number of balls in bin $i$ ?
Is ...
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erfc lower bound
I've seen the following lower bound for the complementary error function (erfc) but I haven't been able to prove it. Does anyone know how to establish the following?
$$erfc(x) > \frac{ x \exp(-x^...
- 5,227
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Heuristic lower bounds on small sums of roots of unity
Let $f(k,n)$ be the smallest non-zero absolute value of a sum of $k$ complex $n$th roots of unity. Asking for bounds in either direction, Tao suggested that a polynomial lower bound seemed plausible ...
- 4,589
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Choosing a relative large density subsequence from a low density sequence
My question is somewhere in the interface of combinatorics, probability, and measure theory. It is quite ad-hoc, and I wonder if there is a counter example.
Consider for example the unit interval $[0,...
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Is there any straightforward way to substitute for Gaussian/Brownian assumptions in financial mathematics?
A huge amount of financial mathematics assumes Gaussian distributions of risks and Brownian movement of prices. What efforts have there been to replace these with heavy-tailed distributions? For ...
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Can deleting a random entry from an iid sequence destroy the iid property?
Let $X=(X_1,\ldots,X_n)$ be an iid sequence of random variables, and let $\nu$ be a uniformly random integer in the range $1,\ldots,n$. Then $\xi_\nu$ is a random entry of $X$. Is it always true that ...
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If the sum of two independent random variables is discrete uniform on $\{a, \dots,a + n\}$, what do we know about $X$ and $Y$?
Basically I want to know whether the sum being discrete uniform effectively forces the two component random variables to also be uniform on their respective domains.
To be a bit more precise:
...
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Computing the sum of an infinite series as a variant of a geometric series
I came across the following series when computing the covariance of a transform of a bivariate Gaussian random vector via Hermite polynomials and Mehler's expansion:
$$
S = \sum_{n=1}^{\infty} \frac{\...
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Free Boson Correlator $ \langle X(z)X(w) \rangle =- \ln |z - w| $
In physics papers, the massless free boson has a definition involving an action:
$$ S(X) = \frac{1}{8\pi} \int d\sigma^2\, \partial X \overline{\partial X}$$
The random functions $X(z)$ are ...
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connection between the Gaussian and the Cauchy distribution
I have always been surprised by the fact that the quotient of two independent Gaussian random variables is a Cauchy Random variable - as this is often the case, coincidence in mathematics are not ...
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A Point-free probability theory?
I must confess I hardly know anything about probability theory. Still, I'm interested in the following: Much like point-free topology, where one basically replaces topological spaces by their locales ...
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How should a mathematician approach the physics literature concerning percolation?
I would like to read some of the physics literature on two-dimensional percolation, however in attempting this I have run into two problems. (1) Physics papers on percolation are (relatively) hard ...
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Semicircle law universality elsewhere
Wigner's semicircle distribution is:
$$f(x)=\frac{1}{2 \pi}\sqrt{4-x^2}, \ \ -2\leq x\leq 2.$$
Under reasonable conditions, the rescaled eigenvalue density of random symmetric matrices $M_n$ follows ...
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Do Measurable Cardinals Exist? (assuming ZFC)
In Appendix B of his Uniform Central Limit Theorems (1999), Dudley writes:
It is consistent with the usual axioms of set theory (including the axiom f choice) that there are no measurable cardinals, ...
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Find the area of the region enclosed by $\sin^p x+\sin^p y=\sin^p(x+y)$, the $x$-axis and the $y$-axis (comes from a probability question)
Consider the graph of $\sin^p x+\sin^p y=\sin^p(x+y)$, where $x$ and $y$ are acute, and $p>1$.
Here are examples with, from left to right, $p=1.05,\space 1.25,\space 2,\space 4,\space 100$.
Find ...
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Multi-dimensional moment problem
Let $\mu$ be a measure on $\def\r{\mathbb{R}}\r^n$, $1\le n \le \infty$. Given a (finite) multi-index $\bar{i} = (i_1, i_2, \ldots)$, one can define the moment
$$ m_{\bar i} = \int x_i^{i_1} x_2^{i_2}...
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Expected second moment for random points on a circle
Let $S$ be a circle with unit circumference. Suppose that $n$ random points are chosen independently uniformly from $S$; choosing one arbitrarily as $x_1$, label the rest $x_2, \dots, x_n$ in ...
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Distance between distributions and distance of moments
Let's say I have a sequence of random variables $X_n$ such that $$\mathbf E X_n^k = \mathbf E X^k+O(a_k/\sqrt{n})\quad\text{for all }k\in\mathbb N,\tag{$\ast$}$$ where $X$ is a random variable of ...
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Clique sizes in a unit disk graph
This is a spiritual successor to a question that Peter Shor answered here:
Generalized Euclidean TSP
Are there any results known on the asymptotic behavior of clique sizes in a unit disk graph with ...
- 1,125
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Proofs of main probability results from other fields
Making connections between different areas is very exciting and probability has already made connections with other fields (BM used in proving complex analysis and PDE results).
To keep it short, I ...
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How can I sample uniformly from a surface?
Given an equation of a parametric surface, is there a general way to sample of points uniformly distributed on that surface?
I'm interested in this problem for purposes of visualisation - rather than ...
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Is Stoch enriched in Met?
Let $\mathsf{Stoch}$ denote the Kleisli category of the Giry monad. That is, $\mathsf{Stoch}$ is a category whose objects are measurable spaces and for which a morphism $f\in\mathsf{Stoch}(X,Y)$ is a ...
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How many non-equivalent sections of a regular 7-simplex?
Suppose we have a regular 7-simplex in $\mathbb{R}^8$ defined by vertices <1,0,0,...,0>, <0,1,0,..,0>,...,<0,...,0,1>. A section is a 3-dimensional linear subspace of $\mathbb{R}^8$ that ...
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How many random sieve operations to decimate the set {2,...,n}?
Let $S$ be the set of integers $\{2,3,4,\ldots,n\}$.
Consider the following process:
Select a random element $k \in S$.
Remove from $S$ every number divisible by $k$.
Repeat with this reduced $S$.
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- 151k
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Tighter Caratheodory on the moment curve?
The moment curve is the set of points of the form
$$(t,t^2,t^3,...,t^n) \in R^n$$
Let $M$ be the portion of the moment curve where $t\in [0,1]$, and let $\overline{M}$ be the convex hull of $M$.
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Limit shape for fixed-perimeter lattice polygons
Let $P$ be a simple polygon defined by $n$ unit-length segments
connecting lattice points of $\mathbb{Z}^2$.
I have two operations that preserve the perimeter of $P$.
The first is the "pop" of a ...
- 151k
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Has anyone seen this series?
I come across the following infinite series.
$$
\sum_{n=1}^{\infty} \frac{t^n}{n!\: n^{a}}, \quad\text{for $t>0$ and $a>0$}.
$$
In particular, I am interested in the case where $a=1/4$.
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Can every discrete martingale be embedded in a continuous martingale?
Let $(X_k)_{k=0,1,..., n}$ be a discrete martingale defined on some probability space $(\Omega,\mathcal{F},\mathbb{P})$. I would like to know whether there exists a (continuous) martingale $(\tilde{X}...
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probability calculation
Given $m\cdot e$ balls, $b$ of which are black (suppose the rest are white balls). Randomly put the balls into $m$ baskets, with $e$ balls in each basket. What is the probability of the event that ...
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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 ...
- 4,952
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Uncountable families of measurable sets with pairwise positive intersections
Let $(X,\mathcal{B},\mu)$ be an arbitrary finitely additive probability measure space, let $a>0$ and let $(A_i)_{i\in I}$ be an uncountable family of subsets with measure $\geq a$.
Is there an ...
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The mean square distance of a random walk from the origin
I'm wondering whether the following type of problem is a standard one that has been studied by probabilists. The particular case needed (as a lemma that would help with a Polymath project) isn't quite ...
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Does Brownian motion immediately visit both sides of a Jordan curve?
Let $C$ be a Jordan curve in $\mathbb{R}^2$. By the Jordan curve theorem, $\mathbb{R}^2 \smallsetminus C$ is uniquely partitioned into two connected regions $A$ and $B$ (the interior and exterior).
...
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Random circle rotations
Weyl's equidistribution theorem states that the orbit of a point on the circle under rotation by $\alpha$ becomes asymptotically equidistributed with respect to Lebesgue (Haar) measure whenever $\...
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Time integral of an Ornstein-Uhlenbeck process
Let $X_t$ be an Ornstein-Uhlenbeck process solving $dx_t = \theta (\mu-x_t)\,dt + \sigma \,dW_t$.
The solution is known and given by:
$$ x_t = x_0 e^{-\theta t} + \mu(1-e^{-\theta t}) + \int_0^t \...
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Notions of "independent" and "uncorrelated" for subsets of the natural numbers
In probability/statistics, there is a notion of two things being "independent", which would basically mean that any information we can get about one thing has no effect on our (probabilistic)...
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Is there a differentiable random walk?
Is there a random walk which is differentiable or smooth? Like brownian motion except smoothed out on small distances. I was wondering if there is a "natural" or "canonical" analogue of brownian ...
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Good examples of random variables whose image is not a measurable set?
Are their simple/natural examples of real-valued Borel-measurable random variables whose image is not a Borel set? Something that occurs "naturally"?
I am teaching Doob's lemma (for two real-valued ...
- 2,201
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Generalized Euclidean TSP
Suppose I have n sets $X_1,\dots,X_n$ consisting of $k$ points each, where all $nk$ points are i.i.d. uniform random samples in the unit square $[0,1]\times[0,1]$. Consider the shortest path that ...
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Wasserstein distance in R^d from one dimensional marginals
This question occurred to me while I was reading Klartag's papers on central limit theorems for convex bodies.
Given probability measures $\mu$, $\nu$ on (the Borel $\sigma$-field of) $R^d$ with ...
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Strong law of large numbers for weakly dependent random variables
Let $X_i$ be a sequence of identically-distributed random variables with finite-range dependence (i.e. there exists $I$ such that if $|i-i'| \ge I$, then $X_i$ and $X_{i'}$ are independent), and a ...
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How do you know that you have succeeded-Constructive Quantum Field Theory and Lagrangian
Quantum Field Theory is a branch of mathematical physics which is begging for a better understanding.
In fact there are no rigorous constructions of interacting QFT in four dimensions. By a rigorous
...
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Conceptual explanation for the appearance of entropy in $\frac{d}{dp}\|x\|_p$
For $x\in \mathbb{R}^d$, an elementary computation yields that
$$\frac{d}{dp}\log \|x\|_p =\frac{1}{p^2}\sum_{i=1}^d \frac{|x_i|^p}{\|x\|_p^p}\log \frac{|x_i|^p}{\|x\|_p^p}=-\frac{1}{p^2}\operatorname{...
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Growing a chain of unit-area triangles: Fills the plane?
Define a process to start with a unit-area equilateral triangle,
and at each step glue on another unit-area triangle.
$50$ ...
- 151k
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What are some of the surprising results of finite sample statistical estimation?
I'm trying to familiarize myself with the latest results in finite sample statistics. It seems to me that these results can be classified into two categories:
Unsurprising results confirm that the ...
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Maximum occupancy balls in bins with limited independence
Throw $n$ balls into $n$ bins and let $X_n$ be the maximum occupancy. That is the maximum number of balls found in any bin.
If you throw the balls uniformly and independently it is known that $\...
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Can ergodic theory help to prove ergodicity of general Markov chain?
I am a beginner in ergodic theory. I have read some lecture notes(such as this and this) about it in hope that I could find something which helps to prove the ergodicity of some Markov chain taking ...
- 221
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De Finetti's theorem, the pointwise ergodic theorem, and reverse martingales
De Finetti's theorem says that an exchangeable sequence of random variables $X_i$ is a mixture of i.i.d. random variables. In other words, if $\mu$ is a measure on $\mathbb{R}^\infty$ that is ...
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Which books should I read in order to be prepared to study information geometry?
At the moment, I am preparing my master's thesis (in statistics) and I intend to keep studying in order to pursue a doctoral degree. To be precise, I am mainly interested in studying Information ...
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