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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Expectation of maximal Wasserstein distance between empirical distribution and a pdf
Let $P$ be a continuous probability distribution on $R^d$, $X$ the random variable $\sim P$, and $
\hat{X}$ be n i.i.d samples drawn according to $P$. We have another variable $\mu \in S^{d-1}$.
Do ...
- 109
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57
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Absolute continuity of probability measures determined by dependence structure
We are on $\mathbb{R}^d$ with Borel $\sigma$-algebra. Let $\mu_1, ..., \mu_d$ be probability measures on $\mathbb{R}$ and $\Pi(\mu_1, \mu_2, ..., \mu_d)$ be the set of probability measures on $\mathbb{...
- 1,095
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77
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Ladder times of a Brownian motion with drift
Let $(B_s)_{s_\geq 0}$ be a standard Brownian motion and fix $t>0$. For $u>0$, set $T_u=\inf\{s>0, B_s+s t>u\}$. Now consider $x>0$ such that $\sup_{0 \leq s \leq x} (B_s+st)=B_x+xt$ ...
- 406
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268
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Does the linear combination of the quantile $\alpha F^{-1}(\tau)+\beta G^{-1}(\tau)$ still a quantile
$F(x)$ and $G(y)$ are distribution functions.
Define the $\tau$th quantile for cdf $F(x)$, $G(y)$ as
$$\xi_\tau\equiv F^{-1}(\tau)=\inf\{x:F(x)\ge \tau\}$$
and
$$\eta_\tau\equiv G^{-1}(\tau)=\inf\{y:...
- 141
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139
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Statistical models of functions
I did a quick literature search and found nothing on "statistical models of functions". Let me explain what I am looking for. Given the category of Sets and Function, we have arbitrary functions ...
- 1,313
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84
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If $(Y_n)_{n\in\mathbb N_0}$ and $(N_t)_{t\ge0}$ are stochastic processes, what is the filtration generated by $\left(Y_{N_t}\right)_{t\ge0}$?
Let
$(\Omega,\mathcal A)$ and $(E,\mathcal E)$ be measurable spaces
$(Y_n)_{n\in\mathbb N_0}$ be a $(E,\mathcal E)$-valued stochastic process on $(\Omega,\mathcal A)$
$(N_t)_{t\ge0}$ be a $\mathbb ...
- 167
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691
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$L_1$ convergence for a product of indicator functions
Let $X_1,X_2,\ldots$ be a sequence of identically distributed random variables and let $A\subset\mathbb{R}$ be some set such that $P(X_1\in A)<1$. I have a product of indicator functions
$$
\lim_{N\...
- 479
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1
answer
270
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Bivariate Poisson-Binomial distribution
Suppose you have $100$ coins whose probabilities of obtaining the outcome "head" are $p_1,\ldots,\,p_{100}$. These probabilities are not necessarily equal each other. Consider the following random ...
- 173
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308
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Predictability of countably valued accessible stopping times on complete and cadlag filtrations
The following question is motivated by this part of the proof of Lemma 2 on page 107 of the book Stochastic integration and differential equations of Philip Protter.
Lemma 2. Let $T$ be a totally ...
- 69
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220
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Question about Protter's proof of the Ito's formula
The following is a question about a notation that Protter uses in the proof of the Ito's formula for cadlag processes of finite variation (FV) that appears on Stochastic Integration and Differential ...
- 69
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29
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Probabilistic timed automata transition
I am kind of new to timed automata and I have a question related to their correctness and synchronisation.
Assume that I have three states, A, B and C. I have also two clocks, $x$ and $y$ that are ...
- 39
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119
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the enumeration of 2 dimensional lattice walks with fixed number steps and largest distance from the end point ti the origin
There is actually an one dimensional version of this problem. For each step of the lattice walk, we can move either east for one unit or west for one unit. The problem is that given a fixed $n$ steps ...
- 167
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566
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Continuity w.r.t time vs Continuity w.r.t. stopping times
Several places in "Optimal Stopping and Free-Boundary Problems" Peskir and Shiryaev make the assumption that a (Markov) process $X = (X_t)_{t\geq 0}$ has sample
paths which are right continuous and ...
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165
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Probability that the perturbed convex hull is larger than the original one
I am wondering if any convex geometers/probabilists have looked at the following question:
Given $n$ randomly distributed (not sure what assumption to put there) points in $\mathbb{R}^d$, for each ...
- 133
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72
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Invariant measures for a renewal process driven by Interarrival times bounded away from zero
Good morning, I apologize in advance if my question sounds too basic but after some research I was unable to come up with satisfactory answers to my doubts.
I am currently studying a model which ...
- 277
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52
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Birth and death process, inequality between two stopping times
I have a discrete times birth and death process $\{\Psi_n\}_{n\in \mathbb N}$ with birth probability $p$ and death probability $q$ defined as follows:
\begin{align}
\Psi_n=\sum_{i=1}^n\eta_i
\end{...
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76
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Ornstein-Uhlenbeck type process with thresholding
(Edited) I met a univariate Ornstein-Uhlenbeck type process but with self soft-thresholding:
$$
dX(t) = - c\ \mbox{sgn}(X(t))\big[|X(t)|-c_1 t^{\mu}\big]_+ dt + \sigma dB(t), \quad X(0)=0,
$$
where $...
- 31
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69
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Convergence of a stochastic process in probability
I came across the following. For any fixed $n$, let $\{X_{n}(s) \}_{s\geq0}$ be a stochastic process and let $\{B_n(s) \}_{s\geq0}$ be a Brownian motion. We wish to study the behaviour of $\{X_{n}(s) \...
- 101
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167
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Prime gap heuristics (follows up my question "Moments of merit")
I previously asked generally what people knew or conjectured concerning the moments of the probability distribution governing $M_n:= g_n/\ln(p_n)$, the normalized $n$th prime gap (or ``merit''). Greg ...
- 17.6k
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72
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Generating function for number of r-disjoint subsets each of size k
Fix $n, k$. Let
$$
C^{n,k}_r =\frac{1}{r!} \binom{n}{\underbrace{k, \ldots, k}_{\text{r times}}, n-rk} = \frac{n!}{r!(k!)^r(n - kr)!}
$$
be the number of ways to form $r$ disjoint subsets each of ...
- 101
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64
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Probability of collision of sums of vectors
Let $S_1$ and $S_2$ be sets of vectors from $\mathbb{R}^d$ that are distinct and let $\sigma(\cdot)$ be a non-linearity, e.g., a componentwise sigmoid function.
Does there exist a random matrix $R \...
- 321
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112
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On certain integrals of exponential functions with respect to Gaussian measures
I have questions about the integral
$$F(a,b,c)=\sqrt{\frac{a}{\pi}}\int_{0}^{\infty}e^{-bx^4+cx^3-ax^2}dx$$
for $a,b,c>0$.
What is the asymptotic behavior of $F(a,b,c)$ for small $a,b,c$? In ...
- 505
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129
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Convergence of sequence of stopped partial sums to functional of Wiener process
I asked the same question on stackexchange (with less details) and decided to post it here. Hopefully it's close to the research level.
Preliminary: I have a sequence of normalized partial sum ...
- 223
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1
answer
279
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Expected properties for a PDE whose solution is supposed to be something that doesn't exist
My understanding of Lecture #33, 34: The Characteristic Function for a Diffusion:
As an alternative to directly computing the characteristic function of a random variable $X_t$ in a stochastic ...
- 247
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35
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Iterating the Voter protocol
Assume you have an array of length $n$ filled with the numbers $1,2,...,n$. (Actually, it only matters that all numbers are different.) This corresponds to a Dirac delta distribution for the number ...
- 4,829
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131
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Average of Tracy-Widom distribution
I have posted this to MSE, but it got no attention (https://math.stackexchange.com/questions/2619324/average-of-tracy-widom-distributions)
The Tracy-Widom distributions famously describe the ...
- 1,549
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80
views
Not exactly directed percolation
Is the following problem known/well-studies? I'm looking for references or a name that I can look up.
I start with $N$ cell, each one divides into two cells, each one of the new cells either dies ...
- 371
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90
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criterions for polar set of Feller processes
Suppose $X_t$ is the solution to
$$
d X_t=b(X_t)dt+dL_t,\quad X_0=x.
$$
where $L$ is a rotational symmetric $\alpha-$stable process with $\alpha\in (0,1]$, $b$ is Lipchitz.
Assume $\Gamma\subseteq ...
- 515
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57
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Fixed Length Gaussian pdf
In a research problem about detection theory I faced with the following question.
How can I find the conditional Gaussian probability density function
$$ f({\mathbf w} \; | \; \|{\mathbf w}\|^2)$$
...
- 273
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92
views
Movement of a random walk in the limit (a particle in diffusion)
I asked this question in Math Exchange and obtained no answer.
Let $X(t)$ be a stochastic process in time such that $X(0)=0$ and, at each increment of time $\Delta t$, it can move $h$ units in space ...
- 141
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102
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Lower bound for the probability that $X=\omega\left(\mathbb E[X]\right)$ for $X\sim Bin(n,p)$
Let $X\sim Bin(n,p)$ be a binomial variable and let $\delta\in (0,1)$.
I'm looking for a lower bound of the form $\Pr[X > f(\delta)] \ge \delta$.
Specifically, if $\delta,p=o(1)$ are not ...
- 618
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141
views
Probability of getting through with a phone-call
Alice is quite popular. She gets called on her cell-phone in a Poisson$(\lambda)$ manner. She answers her calls when possible, and ignores them when in the middle of conversation. Since you know her ...
- 396
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250
views
Can we make two random variables independent at a low cost?
Let $X$ and $Y$ be two discrete random variables with joint probability mass function $p(x,y)$ such that
$$\|p(x,y)-p(x)p(y)\|_1=\sum_{x\in\mathcal{X},y\in\mathcal{Y}}|p(x,y)-p(x)p(y)|\leq\epsilon$$
...
- 287
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137
views
Expected Number of Triangles
A unit square is divided up with $n$ random lines. The random lines are chosen as follows, we choose one side of the square and pick a random point on that side. From there we choose a random point on ...
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93
views
Changing Couplings of Discrete Random Variables
Let $X,Y$ be two discrete random variables. Two joint mass distributions (couplings) with marginals $X$ and $Y$ and with entries $p_{i,j}=\mathbb{P}_1(X=i,Y=j)$ and $p_{i,j}'=\mathbb{P}_2({X=i,Y=j})$ ...
- 329
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169
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Behaviour of a Markov Chain, given a Lyapunov condition
I'm reading this notes from Martin Hairer about convergence of Markov Processes (on a discrete state space $S$ and in continuous time). On page 12, before presenting the so-called "Harris Theorem", ...
- 203
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75
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Drunkards Uphill Walk revisited
We want to help the poor git...
Old Question
...with a bias to speed up things. We replace step 1
1. Draw ball, memorize color, throw it back.
with
1a-c. Draw ball, memorize color, throw it back. ...
- 4,829
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72
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A random variable standing for the size of connected component including a given node in a tree
Suppose we have a tree $T = (V,E)$, in which each nodes $v_i \in V$ has a probability $p_i$ to vanish. Let $v_0\in V$, we define random variable $\boldsymbol{X} = \boldsymbol{X}(T, v_0)$ stands for ...
- 1,551
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65
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Wanted: example of a non-stationary sequence with reverse empirical measure
Assume we have a sequence $\xi=(\xi_1,\xi_2,\dots)$ of random variables such that $$\eta=\left(\frac{\sum_{i=1}^n \delta_{\xi_i}}{n}\right)_{n\geq 1}$$ is a reverse-martingale with respect to its own ...
- 211
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141
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Effect of partitioning the realizations of random variables on the total variation distance?
Let $X$ and $Y$ be two random variables with joint pmf $p(x,y)=p(x)\cdot p(y|x)$ and $X$ has uniform distribution. Also assume that the following relation is satisfied:
\begin{align}
\lVert p(y|x)-p(y)...
- 287
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80
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Expectation of ratio between product of gaussian r.v.'s and generalized gamma r.v
Given
\begin{equation}\label{eq:definition_of_z}
\begin{split}
\textbf{Z} = \left[\begin{array}{cccc}
{z}_{11} & {z}_{12} & \cdots & {z}_{1P} \\
{z}_{21} & {z}_{22} & \cdots & {...
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0
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114
views
Merging Poisson/lognormal processes
We know that merging two Poisson processes results in another Poisson process with a rate that is the sum of the two original rates.
(https://www.probabilitycourse.com/chapter11/...
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893
views
Random variable and total variation distance
Suppose X, Y are random variables from probability measures F(x), G(y) respectively. The total variation distance of F and G is bounded by a constant c. Is there a way to quantify the distance between ...
- 397
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69
views
Quasi-stationary measure on a finite graph equals stationary measure?
Assume the simple random walk $X$ on the graph $G(V,E)$, s.t. $G$ is simple, undirected, finite, connected and let $B \subset V$, s.t. $V\setminus B$ is connected. Let $\sigma_B$ be the quasi-...
- 71
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0
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57
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Parametric distribution where the parameter follows a diffusion process
I'm looking for a distribution $P_{\theta}$ with pdf $f (t,\theta)$ over $\mathbb{R}^{+}$ such that there exists functions $\mu(\theta)$ and $\sigma(\theta)$ such that for all $t>0$:
$$\mu(\theta)\...
- 1,902
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votes
0
answers
286
views
Existence and uniqueness of solution for nonlinear system
Under what conditions will a solution $y \in \Re^n$ exist for this system of nonlinear equations? If it exists, will it be unique?
$$ \mu_k = \int_0^\infty g_k(x) \, f(x, y) \, dx \qquad \forall \, k ...
- 101
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0
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78
views
Core of direct product of Markov processes
Let $X$ and $Y$ be two diffusion processes. Suppose they have generators $G_X$ and $G_Y$ with domains $D(G_X)$ and $D(G_Y)$ and cores $C(G_X)$ and $C(G_Y)$. Let $Z$ be the product diffusion with ...
- 43
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0
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153
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Embedding a martingale by SDE
Let me reformulate my question. Let $(X_0,X_T)$ be a martingale on $\mathbb R$, then it is known that one has a SDE:
$$Z_t=Z_0+\int_0^t\sigma(s,Z_s)dB_s, \mbox{ for all } t\in [0,T]~~~~~~~~~~~~~~(\...
- 1,835
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0
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124
views
Which sub-sequence selection rules preserve the iid property?
Let $\xi_1,\ldots,\xi_n$ be an iid sequence of random variables. If we take a sub-sequence $\xi_{i_1},\ldots,\xi_{i_k}$ with constant indices $1\leq i_1 <\ldots <i_k\leq n$, then the sub-...
- 251
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0
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68
views
What can be said about moments of probability distribution if it satisifies hemholtz equation?
From physical considerations I have observed, that probability density in region of interest satisfies
$$
\Delta u(x) + \phi(x)u(x) = f(x),
$$
where $\phi(x)$ and $f(x)$ are both given functions and $...
- 355