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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Prove $x\mapsto\frac{E[f(X)1(f(X)\geq x X)]}{1+E[X1(f(X)\geq x X)]}$ is Lipschitz-continuous
Let $X$ be a random variable on $[0,A]$, and $f:[0,A]\to[-B_1,B_2]$ be a continuous function.
Let $$g(x) = \frac{g_1(x)}{g_2(x)}$$ where $g_1(x) = E[f(X)\mathbf{1}_{\{f(X)}]$ and $g_2(x) = 1+E[X\...
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148
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A tiling of $\mathbb{Z}^2$ from M. Barlow's paper
In M. Barlow's paper: arxiv.org/pdf/math/0302004.pdf, P17- (2.7) formula.
Let $k\geq 10$, and consider a tiling of $\mathbb{Z}^2$ by disjoint squares
$$T(x):=\{y\in \mathbb{Z}^2: x_i\leq y_i< ...
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Good upper-bound for $\mathbb E_A[e^{-t\|A\|_2}]$, for $t\ge0$ and random m by n matrix with iid entries with law $N(0,1)$
Let $A$ be a random $m$-by-$n$ matrix with iid $N(0,1)$ entries, $m$ and $n$ large with $n/m \longrightarrow \alpha \in (0, 1)$ . Let $\|A\|_2$ be the largest singular value of $A$ (i.e the spectral ...
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86
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Integral rising from difference of chi-squared random variables
Let $X,Y$ be independent random variables such that $X\sim\chi_{n-1}^{2}, Y\sim\chi_{1}^{2}$ are chi-squared distributed (where $n\geq2$ is a natural number). I am trying to evaluate $\mathbb{P}[X\leq ...
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Bounding $E[\|\Sigma^{-1/2}(X-\mu)\|_2^3]$ for 2-dimensional Bernoulli
Let $X\in\{0,1\}^2$ have mean $\mu=\left[\begin{smallmatrix}p_1\\p_2\end{smallmatrix}\right]$ and $\Pr[X_1 = X_2 = 1] = p\le \min\{p_1,p_2\}$.
(Note we must have $1-p_1-p_2+p\ge 0$ for the ...
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153
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$ \{X_n\mathbb{1}_{X_n\in[-n,n]}\}$ is uniformly integrable
Let $(\Omega,\mathcal{A},\mathbb{P})$ be a probability space.
Suppose $\{X_n\}$ is a sequence of random variables satisfying :
$$
\sup_{n}{\mathbb{E}(|X_n|)} <\infty
$$
Suppose that
$$
\dfrac{M_j}{...
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140
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Tail bounds for the absolute difference of a coupled pair of sub-Gaussian random variables
Let $P$ and $Q$ are sub-Gaussian distributions on $\mathbb R$, and $(X,X')$ be a coupling of $P$ and $Q$, i.e $(X,X') \sim \pi$ for some distribution on $\mathbb R^2$ with marginals $P$ and $Q$.
...
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158
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Finding k items in a binary tree
Let us be given a binary tree of height $n$ (and $2^n$ leaves) among which we search $k$ items, where $k < < 2^n$. Suppose we have a test that shows if in the children and childrens-children ...
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206
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Stochastic invariant subset
Let us consider a stochastic differential equation (SDE),
$$
dx_{t}=f\left( x_{t}\right) dt+\sigma\left( x_{t}\right) dW_{t}%
$$
and a compact set $C\subset\mathbb{R}^{n}$.
Given a stochastic ...
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109
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Renewal functions inequalities
I came along the statement that for $x \geq z$, if $U(x)$ is a renewal function, there exists a constant $K$ such that
\begin{align}
U(x) - U(x-z) \leq U(z) \leq K (z+1).
\end{align}
This is not ...
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102
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Law of a step function and its generalization to two dimensions on an appropriate spaces
Let's consider two discontinuous functions defined on $D$ and $D \times [0,T]$, respectively:
A step function: $u_1(x)=\begin{cases}
u_{L}, x<c_1, \\[2ex]
u_{R}, x>c_1,
\end{cases}$
A "...
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273
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Sum of sequences of random variables, with variable success probabilities
Consider two sequences of (not necessarily independent) Bernoulli random variables $X_1, X_2, \ldots, X_n$ and $Y_1, Y_2, \ldots, Y_n$. Suppose that for any $i$, we have $\Pr[X_i = 1] = \Pr[Y_i = 1] = ...
- 153
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138
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Probabilistic interpretation of square free numbers and other properties
We can use the Lindberg condition to show the distribution of number of prime divisors of an integer approaches Gaussian.
Is there a similar probabilistic formulation for square free numbers? That is,...
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146
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Extension of subharmonic functions at infinity
Let $W$ be the complement of a compact set $K$ in $\mathbb{R}^{n}$, and $u$ a subharmonic function on $W$. Can we find, under some conditions, a function $\tilde{u}$ that is subharmonic on $W\cup\{\...
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A question on the problem of Dirichlet 2
Let $U$ be an open set in $\mathbb{R}^{n}$ with $n\geq2$ and $V$ an open set containing the boundary $\partial U$ of $U$. Suppose $u$ is subharmonic on $V$. We know that the generalized solution of ...
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102
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Sign of expectation value
Consider a multivariate Gaussian-type measure $$d\lambda(x):=\nu_{\mu,\Sigma} e^{-\langle (x-\mu), \Sigma^{-1}(x-\mu) \rangle - \vert x \vert^2} $$
with vector $\mu \in \mathbb R^n$ and $\Sigma$ ...
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2
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210
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Limited sum for whole sum approximation
Let $d_n, n\in\{1,2,\cdots,N\}$ be $N$ realizations drawn independent and identically from uniform distribution on $(0,L)$ where $L=\gamma\sqrt{N}$ with constant $\gamma$. Suppose that we need to ...
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190
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Visualization of the disintegration theorem [closed]
Where can I find a picture that gives a visualization of the disintegration theorem?
If such reference does not exist, what would a nice visualization of this fundamental result look like?
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218
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Absolute continuity of limiting measures
Let $A_n$, $B_n$ for $n \in \mathbb N$ be finte subsets of compact set $X$ in $\mathbb C$ such that
$A_n \subset B_n$.
Let $\delta_{A_n}:= \frac{1}{|A_n|} \displaystyle\sum_{x\in A_n} \delta_x$ and $\...
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165
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Bound for Large deviations of sums of independent (not identical) variables
I am working with a sum of variables $X_i$; they are all independent, but not identically distributed. For any $i$, I can show the bound $$\Lambda^*_{X_i}(t) := \sup_t \langle t, x \rangle - \Lambda_X(...
- 435
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499
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Optimal solution to cross entropy loss in the continuous case
This could be a simple question but I don't have a satisfying answer.
Setup. Suppose that we have $K$ different classes, and consider cross entropy loss which maps a probability vector in the ...
- 143
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1
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208
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The distribution of the power of the sum of inner products of two independent complex normal vectors
If I have $\mathbf x_n=[x_0, x_1,... ,x_K]^T$ and $\mathbf y_n=[y_0, y_2, ..., y_K]^T$, where $x,y\sim\mathcal C\mathcal N(\mathbf 0,\sigma^2\mathbf I)$.
What is the distribution of the following ...
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The distribution of the sum of inner products of two independent complex normal vectors
If I have $\mathbf x_n=[x_0, x_1,... ,x_K]^T$ and $\mathbf y_n=[y_0, y_2, ..., y_K]^T$, where $x,y\sim\mathcal C\mathcal N(\mathbf 0,\sigma^2\mathbf I)$.
What is the distribution of the following ...
- 105
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Small subgraphs of the random graph
If I look at the distribution of the number of small subgraphs in the random graph isomorphic to a connected graph $H$, this is asymptotically Poisson.
What proportion of these small subgraphs ...
- 640
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339
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Expectations, double integrals and Jensen's inequality
$\def\anonfunc#1{#1(\cdot)}$Consider two random variables distributed $v\sim \anonfunc G$ and
$c \sim \anonfunc F$ with pdfs $\anonfunc g$ and $\anonfunc f$. Let the supports of $c$ and
$v$ be $[x,y]$....
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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 ...
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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 ...
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Proof of consistent of height function
I have a question about the consistent of height function defined on a domino tiling. I always see papers claims that height function is defined consistently. But I am confused with the consistent. ...
user102900
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440
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Fubini/Tonelli theorems for expectation of power series
as part of a proof in a paper i have statement, i cannot figure out how to proof:
Assume $(c_k)_{k\in \mathbb{N}}$ is a sequence of nonnegative random variables and $g: (-1,1] \to \mathbb{R}$ is a ...
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211
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Relationship between a certain binary optimal transport and total-variation of modified distributions
Let $\mathcal X$ be a Polish space, and let $(N_x)_{x \in \mathcal X}$ be a system of closed neighborhoods in $\mathcal X$. Define $\Omega := \{(x,x') \in \mathcal X^2 \mid N_x \cap N_{x'} = \emptyset\...
- 6,853
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191
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What is the measures monad for FDHilb?
I am labouring under a particular assumption that, perhaps, needs to be corrected. I believe that FDHilb, the category of Finite Dimensional Hilbert spaces and general linear maps is a category of ...
- 1,313
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Convergence in distribution of products
Suppose that a sequence of random variables $Y_n$ convergence in $L^2$ to $Y$, i.e.
$$
E|Y_n-Y|^2\to0\quad \text{as}\quad n\to\infty.
$$
Moreover, there exist constants $c_0$ and $c_1$ such that
$$
0 &...
- 411
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157
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Marginal probability mass function
I have the joint PMF
$\exp(y_1 \ln(\lambda)+y_2 \ln(c)+y_2\ln(\lambda)-\ln(y_1!y_2!)-\lambda(1+c))$
for a constant $c>0$. In canonical representation and mixed parameterization I have $\mathbf{\...
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Conditioning on an irrelevant variable in a martingale control problem
Suppose I have two independent Brownian motions $B^1_t, B^2_t$ and $\mathbb F_t$ be the natural filtration generated by them. Let $T > 0$ be a fixed finite number. Let $q_t$ be a $[-1,1]$ valued $\...
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101
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How to find a special random variable? [closed]
Suppose random variables $X_1$ and $X_2$ have the same distribution under P, $Y_1$ is an arbitrary random variable,let $Z_1:=X_1+Y_1$.Can we find a r.v. $Y_2$ which has same distribution as $Y_1$,such ...
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239
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Anti-concentration: upper bound for $P(\sup_{a \in \mathbb S_{n-1}}\sum_{i=1}^na_i^2Z_i^2 \ge \epsilon)$
Let $\mathbb S_{n-1}$ be the unit sphere in $\mathbb R^n$ and $z_1,\ldots,z_n$ be a i.i.d sample from $\mathcal N(0, 1)$.
Question
Given $\epsilon > 0$ (may be assumed to be very small), what is ...
- 6,853
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51
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Minimizer for Mean-Variance Portfolio Optimization [closed]
Let $\lambda \in (0,\infty).$ Does there exists a minimizer for the set
$$
\{ -\text{E}[X] + \lambda \text{Var}[X],\; X \in L^2(\Omega,\mathcal{F},P) \} ?
$$
- 19
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144
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A problem related to the comparison of two integer-valued random variables
Consider an urn containing red, blue and green balls (the situation is the same illustrated in this post).
Let $X$ be the non-negative, integer-valued random variable defined as the number of trials (...
- 145
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168
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Shannon problem
Since a few days, I try in my research to model / formalize a source of Shannon a little weird, and I can't do it at all. First of all, I explain to you its operating principle and then I describe it ...
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93
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Jumping times on Borel sets away from zero are stopping times
The following comes from some remarks of Philip Protter at page 26 of the book Stochastic integration and Differential equations that I have not been able to prove yet.
Let $X$ a Levy process, under ...
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249
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Central limit theorem in Banach space in scheme of series
I wonder whether Theorem 2 from the paper J. Zinn, Annals of Probability, 1977, vol. 5, 283-286 can be extended to the CLT for a scheme of series. (The paper is available in the web.)
Let $G$ be ...
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356
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Is marginal density function of a Lipschitz continuous joint density function still Lipschitz continuous?
Let $f(x,y)$ be a Lipschitz continuous density function on $\mathbb{R}^2$. And let $f(x) = \int\limits_\mathbb{R} f(x,y)dy$ be marginal density function. Is $f(x)$ Lipschitz continuous?
More ...
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121
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Approximation of a measure on $\mathbb{R}^d$
Let $\mu$ be a probability measure on $\mathbb{R}^d$ such that $S_\mu$ is its second moment matrix:
$$S_\mu=\int_{\mathbb{R}^d}xx^Td\mu(x)$$
I'm trying to prove the existence of a probability measure ...
user122137
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230
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How to numerically invert a bilateral (two-sided) Laplace transform?
For one-sided Laplace transforms I can find many algorithms to invert them numerically (e.g. algorithms named after: Talbot, Stehfest, Euler, ...).
However, I am interested in numerical inversion of ...
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113
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a continuity question concerning metrics on probablility measures
For a metric space $M$, I'll write $Prob(M)$ for the Borel probability measures on $M$.
I am interested in metrics on $Prob(M)$, such as the Kantorovich distance (or other metrics).
If $f: M \...
- 61
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1
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365
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Convergence of absolutely continuous probability measures
I have a sequence of absolutely continuous probability measures $\mu_{n}$ with finite second moment (ie. $\mu_{n}\in P_{ac}(\mathbb{R})\cap P_{2}(\mathbb{R})$), with densities $\rho_{n}\in L^{\infty}(\...
- 119
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1
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176
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Expected area of a pentagon formed from a randomly broken stick [closed]
Suppose we break a stick of length one at four randomly and independently chosen points and that the resulting pieces form a pentagon.
Such a pentagon can be formed with probability $1-(5/16) = {11\...
- 133
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1
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59
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Looking for a specific kind of a compactly supported one dimensional distribution
I am looking for a sequence of probability distributions (parameterized by $h \in \{1,2,3,4,..\}$) supported on the compact interval $x \sim [a(h),b(h)]$ such that,
$a(h) > \frac{b(h)}{h^{\nu^2}} ...
- 2,246
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181
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Bound on queries to a tree with unusual probabilties -- follow-up
This question follows up on Bound on queries to a tree with unusual probabilities, where @fedja was able to disprove my conjecture under only constraints (1-4) below. I restate the relevant facts here ...
- 209
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203
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Maximizing sum of a product of logs
I came across the following note in a paper I'm reading and don't understand how it was derived.
$\max_{\alpha_\ell}\sum_\ell^L\beta_\ell\log\alpha_\ell$ such that $\sum_\ell^L\alpha_\ell=1$ and $\...
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