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.
920 questions
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Wasserstein-type concentration inequalities for empirical measures on polish spaces
Let $(\mathcal{X},d)$ be a Polish (metric) space and let $\{X_n\}_{n=1}^{\infty}$ be a sequence of i.i.d. $\mathcal{X}$-valued random elements defined on a common complete (standard) probability space ...
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1
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611
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Inverse of a Borel surjection
Let $X$ and $Y$ be standard Borel spaces, and let $f:X\to Y$ be a surjective Borel map. Does there exist a Borel inverse of $f$, that is a Borel map $g:Y\to X$ such that $f\circ g = \mathrm{id}_Y$.
...
- 1,655
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0
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494
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Maximization of a total variation distance subject to another total variation distance in Markov chain
Suppose two dependent random variables $X$ and $V$ from finite alphabets $\mathcal{V}$ and $\mathcal{X}$ with known joint and marginal distributions are given. Let $P_{XV}$ and $P_X$ and $P_V$ are the ...
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2
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973
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How much larger than the relaxation time can the mixing time be?
The notation is mostly taken from the book "Markov chains and mixing times" by Levin, Peres, and Wilmer.
Consider an irreducible, aperiodic, time-reversible, discrete-time Markov chain on a finite ...
- 1,269
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1
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902
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Is the integral always nonzero?
Let
$$I_{n,p,a}:=\int_0^{\infty-} \frac{g_{n,a}(t)}{t^{p+1}} \, dt,$$
where
$$(*)\qquad\qquad\qquad n\in\mathbb N,\quad -\infty<a<\infty,\quad p_{n,a} < p < n,\qquad\qquad\qquad\qquad\...
- 128k
3
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0
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517
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The distribution of collision stopping time in 2D random walk
Assume two particles A at $(0, 0)$ and B at $(a, b)$ in 2D discrete grid, both of them have the same possibility of $\frac{1}{4}$ for moving up/down/left/right (i.e. 2D random walk). We define the ...
3
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229
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Inequality for difference of consecutive atom probabilities for binomial distribution
Edit: This post was originally two questions, the first of which has been answered, but a reference would still be appreciated if existent. The second question has been removed and migrated to its ...
- 2,720
3
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1
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218
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Pathwise linearization of diffusion processes
Let $W$ be a standard $n$-dimensional Brownian motion, and $X$ the diffusion process given by the solution to the SDE
$$dX_t = \mu(X_t) \, dt + \sigma(X_t) \, dW_t,$$
with $\mu: \mathbb R^n \to \...
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How can we define the Stratonovich integral rigorously?
Let
$T>0$
$(\Omega,\mathcal A,\operatorname P)$ be a probability space
$(\mathcal F_t)_{t\in[0,\:T]}$ be a right-continuous filtration on $(\Omega,\mathcal A)$
$B$ be a Brownian motion on $(\Omega,...
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3
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1
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484
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What is known about the distribution of the errors in empirical approximation of a CDF?
Let $X_1,X_2,\ldots,X_n$ be i.i.d. random variables in $\mathbb{R}$ with common cumulative distribution function (CDF) $F(x)$. The empirical approximation to $F(x)$ is defined as follows:
$$\hat{F}...
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votes
1
answer
903
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Exercise on a hitting time for a Brownian Motion
I'm following Chapter 3 of "Brownian Motion", by Peres and Mörters, about The Dirichlet Problem(DP). As it is known, in order to obtain existence and uniqueness of a solution for DP it is necessary to ...
- 203
3
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1
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222
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Does convergence in law imply convergence in convex distance?
For two random variables $X$ and $Y$ taking values in $\mathbb{R}^m$, the convex distance $d_c$ is defined as
$$d_c(X,Y) = \sup_{h} \lvert \operatorname{E}(h(X)) - \operatorname{E}(h(Y)) \rvert,$$
...
- 617
3
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1
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299
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Lipschitz functions that saturate the Lipschitz inequality on the average (part 1)
Consider a 1-Lipschitz function $f: \mathbb R^n \to \mathbb R$ satisfying the inequality
\begin{align*}
|f(x) - f(y)| \le \|x-y\|_2, \;\forall x,y \in \mathbb R^n.
\end{align*}
For $n \ge 2$, can we ...
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Reference request: Darboux properties of real-valued set functions (measures, densities, etc.)
Fix a set $S$ and let $f: \mathcal P(S) \rightharpoonup \mathbf R$ be a real-valued partial function on the power set of $S$; denote by $\mathcal D$ the domain of $f$. We say that $f$ has:
(i) the ...
- 10.5k
3
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1
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Minimization of an entropy type functional
Let $\mathcal P$ be the set of probability densities on $[0,1]$ with mean $1/2$, i.e. $p\in \mathcal P$ iff
$$\int_0^1 p(x)dx=1,\quad \int_0^1 xp(x)dx=\frac{1}{2}\quad \mbox{and}\quad p(x)\ge 0, ~~\...
user128095
3
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1
answer
304
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Question abouth Skorokhod representation of random variables
It is known that for any two probability measures $\mu$ and $\nu$ on $\mathbb R$ that are close in the Prokhorov metric $\rho$, i.e.
$$\rho(\mu,\nu)<\varepsilon,$$
then there exist two random ...
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2
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254
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Probability of no $k$ 1's in arithmetic progression in binary sequence of length $n$
It is well known [it's on Wolfram Mathworld, for example] that the probability of no runs of $k$ consecutive $1$'s will occur in a $\{0,1\}$-valued sequence of length $n$ is exactly equal to $$\frac{F^...
- 10.4k
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2
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297
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Does my construction always result in a stationary Poisson point process of intensity $1$? How so?
My construction is as follows: Let $X_k$ be a real-valued continuous random variable centered at $k$ (an integer), having distribution $F_k(x,s)$ where $k$ is the location parameter and $s$, a ...
- 3,098
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1
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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 ...
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116
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Interpretations of analytic continuations of CDFs to complex probabilities
Are there notable cases where analytic continuations of cumulative distribution functions to complex arguments have a meaningful interpretation or are otherwise useful?
If a one dimensional CDF is ...
- 7,545
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3
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5k
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Hoeffding's inequality for vector valued random variables
Is there a version of Hoeffding's inequality for vector valued random variables?
This seems to be hard to find and I wonder why. I suppose it is difficult to show Hoeffding's lemma, since the proof ...
- 619
3
votes
1
answer
253
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Bounds for duplicate finding with limited independence
(This is a follow up to this previous question on math.stackexchange.com.)
Assume a process that samples uniformly at random from the range $[1,\ldots,n]$. I am interested in the time to find a ...
- 33
3
votes
2
answers
877
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bound the tail distribution
Suppose that Z_1, ... , Z_n are binomial distributions with E[Z_i]=z_i.
If (Z_i) are pairwise independent, then, It's well known that the Chebyshev inequality can bound the tail distributions.
If (...
- 57
3
votes
1
answer
473
views
Expected value of the maximum of the periodogram
Let us suppose that $X_1,\ldots,X_n$ with $n\ge1$ are iid random variables such that $\operatorname EX_1=0$ and $\operatorname E|X_1|^s<\infty$ with some $s>2$ and define the DFT of $X_1,\ldots,...
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2
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590
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The Largest Piece of Circumference
We add $n$ random lines to the unit disc. We do so by adding two points on the disc, transcribing a line between them and extending that line to the boundary of the disc, namely the unit circle. Each ...
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1
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Why is number of single cell clusters always greatest in a random matrix?
Consider a large $N\times N$ square lattice, where each cell has a probability $p$ of being "occupied" (let's call denote them as "black") and a probability $1-p$ of being empty (let's denote them as "...
user125648
3
votes
1
answer
472
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Path cardinality for random $(a+b)$-ary infinite trees
Consider a random infinite binary tree $T(a,b)$, so that $a$ denotes the probability of a left edge branching from any root-connected node,and $b$ denotes the probability of a right edge branching ...
- 995
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1
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303
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Probability a polynomial $v(t)$ is divisible either by $1-t$ or by $1+t^{2^{j-1}}$, for some $j$
For large and even $n$ consider a random degree $n$ polynomial $v(t)$ with coefficients from $\{-1,0,1\}$. The coefficients are chosen uniformly and independently.
Is it possible to get an ...
- 3,377
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1
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220
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Number rank-k 0-1 matrices (characteristic 0)
What is the number of $n\times n$ 0/1-matrices with rank $k$?
(The rank is taken over the rationals.)
- 103
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3
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Example of a (strictly) proper scoring rule on a general measurable space?
Most of the literature on scoring rules that I know of deals with discrete measurable spaces, but in this paper by Gneiting and Raferty a very general definition of a scoring rule is given. I don't ...
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240
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Derandomization barriers in complexity theory applicable as barriers to constructive arguments replacing probabilistic method
The probabilistic method as first pioneered by Erdős (although others used this before) shows existence of a certain object while finding that object may take exponential time.
(1) Is there any ...
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5
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986
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Numerical Solution to Inverse Integral (Pseudo Random Number Generation)
If I have an arbitrary positive monotonically decreasing function $f(x), x \in [0,\infty]$, is there an 'efficient' method for finding $y$ in:
$r = \int\limits_0^y f(x) dx $
for a known $r \in [0, \...
- 144
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1
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Show that $\sup_{\|g\|\leq \delta_n}\left| \frac{1}{\sqrt{n}}\sum_{i=1}^n g(Z_i)\right|\rightarrow_{\text{a.s.}}0.$ when $\delta_n\rightarrow 0$?
UPDATE: The result below can be understood as an almost sure stochastic equicontinuity condition. I don't know of any result establishing primitives of almost sure stochastic equicontinuity. If you ...
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1
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233
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Brownian level sets and continuous functions
Let $V_t$ and $W_t$ be independent standard Wiener processes ($t\ge 0$, $W_t,V_t\in\mathbb R$).
Let $C$ be the event that there is a continuous function $f$ such that for all $s$, $t$,
$$
W_t=W_s\iff ...
- 24.8k
3
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0
answers
78
views
Modify exponential family representation to a semimartingale
Given a filtered space $(\Omega, F,\mathcal{F}_{t})$ with rightcontinous filtration. We have a class of probability measures $P=\{P_{\theta}:\theta \in \Theta\}$ definied on the filtered space.
We ...
3
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1
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281
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Drunkards Uphill Walk
An urn is filled with n black and n white balls. Do the following Markov process: 1. Draw ball, memorize color, throw it back. 2. Draw another ball (might be the same!), color it with memorized color, ...
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336
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Expected value of "longest bit / shortest bit" in $n$ uniformly distributed points on $[0,1]$
Let $n\geq 2$ be an integer. We pick $n$ points in $[0,1]$ with uniform distribution. Let $A$ be the minimum distance that two adjacent points have, and let $B$ be the maximum distance that two ...
- 48.9k
2
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1
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136
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Does higher volatility of SDE imply lower probability of staying positive?
Given two SDEs $X^1$, $X^2$ :
$$X^i_t=1+t+\int_0^t\sigma_i(s)dW_s,\quad \forall t\ge 0,$$
where $\sigma_i:\mathbb R_+\to [1/2,1]$ are non-decreasing s.t. $\sigma_1(t)\le \sigma_2(t)$ for all $t\ge 0$....
- 1,334
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3
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3k
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Is there any random variable which has unbounded fourth moment? [closed]
In many statements in probability, there is an assumption like bounded fourth moment. So is there any random variable which has unbounded fourth moment?
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1
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132
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Independent decomposition of coordinate distribution
Let $\mathbf{x}$ be a random Gaussian vector in $\mathbb{R}^n$, i.e. $\mathbf{x}\sim\mathcal{N}(\mathbf{0},\mathbf{I}_n)$. Then for any fixed unit vector $\mathbf{u}$, one has $\mathbf{u}\mathbf{u}^\...
- 515
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0
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264
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Prove or disprove a mutual information inequality
I have $n$ IID Bernoulli random variables denoted by $X_1,X_2,\ldots X_n$ with parameter $p$.
I am interested in knowing if the following inequality involving mutual information holds :
$\boxed{\max_{...
- 83
2
votes
2
answers
667
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Power series of ratio of Gamma functions
Let $a>1$ and define $G_a(x)=\sum\limits_{n=0}^{+\infty} \frac{\Gamma(\frac{2n+1}{a})}{\Gamma(2n+1)\Gamma(\frac{1}{a})}x^n$ where $\Gamma$ is the Gamma function. This series is convergent on $\...
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1
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299
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Can this particular random matrix model be converted/related to any existing graph theory model?
Context:
This a sequel to the question: Is the Erdős–Rényi giant component result applicable here?
Consider a matrix whose elements are independently assigned a value
$1$ with probability $p$ ...
user123818
2
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0
answers
173
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Why do larger random matrices maximize their number of clusters with lower densities?
Consider a matrix whose elements are independently assigned a value $1$ with probability $p$ and a value $0$ with probability $1-p$.
Define a cluster of cells as a maximal connected component in the ...
- 41
2
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0
answers
78
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Handling sums of correlated random variables with a directed path structure
Recently, I've been seeing random variables with the following correlation structure based on directed paths on a graph. For example, there are $16$ directed paths "directed downwards from the ...
- 524
2
votes
1
answer
246
views
Can we construct close martingales if their terminal marginal laws are close?
Let $M=(M_t)_{0\le t\le 1}$ be a real-valued continuous martingale. Let $\mu := {\rm Law}(M_1)$ and $\varepsilon \in (0,1)$. For any $\nu$ satisfying $W_2(\mu,\nu)\le \varepsilon$, can we construct ...
- 1,399
2
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0
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109
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The fluctuations of a random path
Suppose I have a $n \times n$ square grid and for each square, I assign 1 with probability $\frac{1}{2}$ and 0 with probability $\frac{1}{2}$. On the boundary, I put 1s on the lower half and 0s on the ...
- 1,054
2
votes
1
answer
534
views
Concentration inequality for maximum of gaussians
Let $Z_1,\ldots, Z_n$ be standardized Gaussian random variables and denote $\rho_{ij}=\mathbb{E}Z_iZ_j$. Can one give an asymptotically sharp bound for
$$\mathbb{P}\,(\max_{1\leq i\leq n}Z_i>x), \...
- 2,288
2
votes
1
answer
471
views
Probability a Brownian particle with an exponentially distributed lifetime hits a sphere before vanishing
Imagine I have a point source $p_0 = (x_0,y_0,z_0)$ that releases a point-like Brownian particle with a lifetime given by an exponentially distributed rate parameter $\lambda$. When the particle's ...
- 43
2
votes
1
answer
199
views
Average cluster size of a n-size vector
Given a vector of $n$ cells and $k$ elements in it, we can define a cluster of elements as a contiguous sequence of elements inside the vector.
My goal is to calculate the average cluster size for all ...
- 47