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.
9,023 questions
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Expected inverse determinant with independent rows
Let $a_1,a_2,\dots,a_n$ be independent identically distributed random vectors in $\mathbb R^n$. I need a bound for $E[|\det A|^{-1}]$, where $A$ is the matrix composed out of these vectors.
More ...
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A simple problem in markov chains
I'm trying to understand a 1954 paper of Kubo intitled "Note on the stochastic theory of resonance absorption". The specific problem can be stated mathematically as follows: let $X(t)$ be a random ...
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Is there MDPs (Markov Decision Process) which have a non deterministic optimal policy?
I'm working on Markov Decision Process and I have not found yet an example of MDP that has a stochastic (non deterministic) optimal policy. Is there MDPs that have a stochastic optimal policy or is it ...
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A simple decomposition for fractional Brownian motion with parameter $H<1/2$
Background
Let $X = \{X(t):t \geq 0\}$ be a (standard, real-valued) fractional Brownian motion (fBm) with parameter $H \in (0,1)$, i.e., a continuous centered Gaussian process with covariance ...
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Is there any sense in which Dirichlet density is "optimal?"
A philosopher asked me an interesting math question today! We know that there are sets S of integers which don't have a "natural" or "naive" density -- that is, the quantity (1/n)|S intersect [1..n]| ...
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On generalisation of Aizenman-Higuchi Theorem
Let $\mathbb Z^2$ denote the two-dimensional integer lattice with norm of $i=(i_1,i_2)$ given by $\|i\|=|i_1|+|i_2|$.
For each $x\in\mathbb Z^2$, we assign a uniform random variable, $\sigma_x$ ...
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What are Central Limit Theorems and why are they called so?
I know two opinions:
1) "Central" means "very important" (as it was central problem in probability for many decades), and CLT is a statement about Gaussian limit distribution. If the limit ...
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Coordinatizing the disk via Brownian motion
Divide the unit circle into three arcs, and let $z$ be a point in the open unit disk. Is there a simple formula for the probability that Brownian motion started at $z$ will hit one particular arc ...
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Random variables with same distribution
Consider probability space W with pair of random variables having same distribution. On how much this variables distinct in terms of W symmetries? Namely, let's talk about automorphism as measure-...
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Density of first-order definable sets in a directed union of finite groups
This is a generalization of the following question by John Wiltshire-Gordon.
Consider an inductive family of finite groups:
$$
G_0 \hookrightarrow G_1 \hookrightarrow \ldots \hookrightarrow G_i \...
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A Markov process which is not a strong markov process?
Can anyone give an example of a Markov process which is not a strong Markov process? The Markov property and strong Markov property are typically introduced as distinct concepts (for example in ...
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When is it possible to construct a joint law from its two-dimensional marginals?
My question is much more specific than the title:
Given a symmetric
distribution $\Xi$ on $\mathbb R^2$, when is it possible to construct a sequence $\xi_1,\xi_2,\dots$ of random variables such ...
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Expectation of first positive value in random walk
Let $p$ be a parameter in $]0,1[$. Let $(X_k)_{k\geq 0}$ be an independent, identically distributed sequence of random variables, such that each $X_k$ takes values only in
$\lbrace -1, \frac{1-p}{p} \...
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Quantum probability experiment?
I am looking for an example (or definition) of a quantum probability experiment (if there is such a thing). Ideally it should have these properties:
Be purely mathematical; no mention of physics or ...
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The conditions in the definition of Poisson process (and a Lévy process generalization)
Last week, George Lowther provided a rather sophisticated counter-example of a continuous process $\{W(t):t \geq 0\}$ with $W(0)=0$ and $W(t)-W(s) \sim {\rm N}(0,t-s)$ for all $0 \leq s < t$, yet ...
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Probability space analogue of Cauchy-Schwarz inequality
Suppose we have two sets of discrete events, $A$ and $B$. Then I think it is true that:
$$2\sum_{i \in A, j \in B}\Pr[i\ \textrm{AND}\ j] \leq \sum_{i \in A}\Pr[i]+ \sum_{j \in B}\Pr[j] +\sum_{i, j \...
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Do convex and decreasing functions preserve the semimartingale property?
Some time ago I spent a lot of effort trying to show that the semimartingale property is preserved by certain functions. Specifically, that a convex function of a semimartingale and decreasing ...
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what will be the distribution of ratio of correlated gamma distributed random variables?
If $X\sim \Gamma(a,\sigma_x^2)$ and $Y\sim \Gamma(b,\sigma_y^2)$. What will be the probability density function of R? Where $R=\frac{X+C}{X+Y}$, here $C$ is a positive constant, $\Gamma(.,.)$ denotes ...
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Expectation of RVs with Poisson-type decay
I need to bound the expectation of a nonnegative random variable that satisfies a Poisson-type tail bound:
$\mathbb{P}( X \geq t ) \leq \min( d \cdot (\frac{a}{t} )^{t}, \ 1)$ for $t > 0$
where $...
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The conditions in the definition of Brownian motion
A (standard, real-valued) Brownian motion $W = \{W(t): t \geq 0\}$ is commonly defined by the following properties: 1) $W(0) = 0$ a.s., 2) the process has independent increments, 3) for all $s,t \...
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Numeric problem when evaluating log of a pdf
In maximum likelihood estimation, one typically needs to compute the log (natural log) of probability values. When a probability, say $p(x)$, becomes so close to zero, $log(p(x))$ returns -Inf. What ...
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An Upper Bound for the Average of Top Order Statistics
The following problem arises when we try to bound the expected offline optimal value of a simple online assignment problem with random values and unit weights, by its deterministic approximation.
The ...
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Heaviside Step Function of a Random Variable
I have a random variable $X$ and I want to find the probability density function from transforming it through the Heaviside step function. So
$Y = H(X)$
where the $H$ is the Heaviside step function ...
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is there an interpretation to the inverse of $I-M$ in multitype branching process, where $M$ is the mean matrix?
Assume we have a multitype branching process, i.e., we have a mean matrix $M_{ij}$ and $M_{ij}$ is the expected count of generating $j$ from $i$ in one time step, i.e.:
$M_{ij} = \sum_{r} n(r,j)P(r | ...
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How does a tournament's structure affect the likelihood that the best player will win?
Background
The origin of this question is a conversation I had with some friends a few years ago. At the time, Roger Federer and Tiger Woods were dominating professional tennis and golf, respectively,...
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Constants in the Rosenthal inequality
Let $X_1,\ldots,X_n$ be independent with $\mathbf{E}[X_i] = 0$ and $\mathbf{E}[|X_i|^t] < \infty$ for some $t \ge 2$. Write $X = \sum_{i=1}^n X_i$. Then we have the family of "Rosenthal-type ...
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Showing non-attainment of supremum
This is just an extension of my previous question Tightness of probabilty distributions
Let $\mathcal{P}(\mathbb{N})$ be the set of all PMF's on $\mathbb{N}=\{1,2,\dots \}$. Let $E$ be a convex ...
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Expectation of time integral of Wiener process
I am trying to calculate $E(\int_0^T {W_s ds})$, where $W_s$ is a standard Brownian motion.
Now two approaches I can think of:
1) Take a partition of $[0,T]$. Calculate $E(\sum {W_{t_i}(t_{i+1} - ...
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Brownian Motion Winding Number
Take a simple random walk $\gamma$ in the complex plane conditioned to start at point $a$ and end at point $b$. For this random walk, we can define the winding number $W_\gamma(a,b)$ around $b$ in the ...
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Can KL divergence go to 0, but $E[\log(p/q)^2]$ diverge in certain cases?
Let $p(x)$ be a fixed distribution over a discrete space.
Let $A, C > 0$ be constants.
Let $\epsilon > 0$. Can we find an example of a distribution
$q_{\epsilon}$ such that $\mathrm{KL}(p||q_{\...
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A balls-and-colours problem
A box contains n balls coloured 1 to n. Each time you pick two balls from the bin - the first ball and the second ball, both uniformly at random and you paint the second ball with the colour of the ...
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How to solve a generalization of the Coupon Collector's problem
The coupon collector's problem is a problem in probability theory that states the following (from wikipedia):
Suppose that there are $n$ coupons, from which coupons are being collected with ...
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What is this probability distribution?
Suppose we have a family $F_0,F_1,\dots$ of independent random variables which take the value $1$ with probability $p$ and $0$ otherwise; let $\delta$ be a number between $0$ and $1$. Let
$X_n = \...
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Need help understanding Mandelbrot and Van Ness Fractional Brownian Motion
I need help understanding the Mandelbot and Van Ness' definition of Fractional Brownian motion
$
B_H( t , \omega ) - B_H( 0 , \omega ) = \frac{1}{\Gamma(H + \frac{1}{2})} ( \int_{-\infty}^0 [(t - s)^...
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What is the expected maximum out of a sample (size N) from a geometric distribution?
Lets say I have a geometric distribution (of the number X of Bernoulli trials needed to get a success) with parameter p (success probability of a trial).
Assume I ...
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Recurrence relations whose base case is 'at infinity'
I ran across this recurrence relation in
a paper by Medina and Zeilberger [MZ]
(who got it from [CR]):
$$f(h,t) = \max \left( \frac{1}{2} f(h+1,t) + \frac{1}{2} f(h,t+1) ,\frac{h}{h+t} \right) \;.$$
...
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For Ising models on finite graphs, is the gradient of Z (w/r/t coupling and field) easier to compute than Z?
Suppose we have a graph $G$ with $n$ vertices, edgeset $E$, $\mathcal{X}=\{1,-1\}^n$. The partition function of the spin-1/2 Ising model on $G$ is
$$Z(J,h)=\sum_{x\in \mathcal{X}} \exp\left(J \sum_{(...
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An eventually different function adding no Solovay real nor dominating function?
Definitions
I believe set theorists have studied all of the following three notions in the context of forcing extensions of a model of ZFC, $M$ (hopefully the terminology is the standard one).
A ...
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Statistics for Second order properties of Random graphs
Hi!
Let G(N) be the number of graphs with vertices {1, 2, ..., N} and GN(F) be the number of those of them which satisfy graph property F. There is a beautiful result by Glebskii and Fagin that limit ...
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Any sum of 2 dice with equal probability
The question is the following: Can one create two nonidentical loaded 6-sided dice such that when one throws with both dice and sums their values the probability of any sum (from 2 to 12) is the same. ...
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"continuous" and "discontinuous" phase transitions in branching processes.
Consider a Galton-Watson branching process, with offspring distribution
$\mathbf{p}=(p_0, p_1, \dots, p_n, \dots)$.
Let $O$ be the root of the branching process.
Write $\eta=P(\text{process survives ...
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How to calculate the probability of N normal variable being in increasing order?
Suppose we have $n$ normal variable $X_1,X_2,\dots,X_n$, with corresponding mean $\mu_1,\dots,\mu_n$ and sd $\sigma_1,\dots,\sigma_n$. What is the probability of $X_1 < X_2 < \dots < X_n$, i....
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Tightness of probabilty distributions
Let $\mathcal{P}(\mathbb{N})$ be the set of all probability mass functions on $\mathbb{N}=\{1,2,\dots \}$. Let $E$ be a closed(with respect to pointwise convergence, or equivalently the total ...
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Continuity of the mutual information
The mutual information $I(\mathfrak A_1;\mathfrak A_2)$ of two complete $\sigma$-algebras $\mathfrak A_1$ and $\mathfrak A_2$ in a Lebesgue probability space $(X,m)$ is the integral of the logarithm ...
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Probability of observing outcome with low individual probability
Suppose I throw k-sided dice n times and want to know the probability $p$ of observing a set of counts with individual probability higher than $x$.
Example, let k=2,n=2, fair dice. Possible sets of ...
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extensions to Bernstein's inequality I could use for bounding probability of a union?
I have a set of dependent Bernoulli variables $X_i$ for $i \le N$, with probability $\epsilon$ for the event $X_i=1$.
I want to bound the probability that $\sup_i X_i \ge 1$, i.e., I want to know ...
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Stieltjes integrals of predictable processes
I am looking for a direct proof of the fact that, roughly speaking, if $S=S_0+A+M$ is an $L^2$ semimartingale, and $M$ (the martingale part) has the martingale representation property, then for any ...
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You pass X people and Y people pass you: how relatively fast are you?
This question occurs to me every time I go jogging. I suspect every runner probabilist in the world must have thought of it (though I'm no probabilist), but I could not specifically find it online. I ...
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339
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Efficient Method for Calculating the Probability of a Set of Outcomes?
Let's say I'm playing N different independent "games". For each game, I know the probability of winning, the probability of tying, and the probability of losing.
From these values, I've also ...
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how to formalize a notion of symmetric set difference probability? [closed]
I saw in a paper an argument, that seems simple. (Let $\triangle$ be the triangle operator of symmetric set difference between two sets)
It states that if $P(A \triangle B) < \epsilon$, for some ...