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.
9,027 questions
7
votes
1
answer
878
views
White noise vs. black noise
In this excellent lecture ("2d Percolation Revisited") Stanislav Smirnov mentioned the connection of the theory of percolation with the notion of the so called black noise—see at 29:42 (the notion ...
- 9,340
7
votes
1
answer
465
views
A theorem by Harald Cramér?
In the paper “On the order of magnitude of the difference between consecutive prime numbers” by Harald Cramér there is the following statement:
Suppose $\{X_n\}_{n=2}^\infty$ is a sequence of ...
- 2,618
7
votes
3
answers
346
views
Concentration Bound of $0/1$ permanent
If I pick a random $0/1$ $n\times n$ matrix with $0$ occuring with probability $p$ then what does the distribution of the permanent look like?
- 13.9k
7
votes
2
answers
984
views
Brownian motion in $n$ dimensions
Consider a particle starting at the origin in $\mathbb{R}^n$ and undergoing Brownian motion. Is there an expression known for the probability of the particle hitting the sphere $S^{n - 1}_r = \{x \in \...
- 73
7
votes
3
answers
3k
views
Deconvolution of sum of two random variables
Let $Z = X + c \cdot Y$ where $X$ and $Y$ are independent random variables drawn form the same distribution given by the pdf $g()$ and $0 < c < 1$
I have observations of $Z_i$'s and thus can ...
- 139
7
votes
2
answers
619
views
Probability two matching runs of coin tosses
If you toss a coin $2\ell-1$ times you get a sequence of outcomes, say, $HTHTHTH$ for $\ell = 4$. I am trying to work out the probability that there are at least two runs (in other words contiguous ...
- 3,377
7
votes
2
answers
5k
views
Integral of the product of Normal density and cdf
I am struggling with an integral pretty similar to one already resolved in MO (link: Integration of the product of pdf & cdf of normal distribution ). I will reproduce the calculus bellow for the ...
- 81
7
votes
1
answer
346
views
Probability density that minimizes the sample range
Let $\mathcal{F}$ denote the set of all "concave probability distributions" on the unit interval, that is, all functions $f:[0,1]\to \mathbb{R}$ such that $f$ is concave, $f(x)\geq 0$ for all $x\in [0,...
- 73
7
votes
2
answers
627
views
Probability vertices are adjacent in a polygon
With regard to my original question:
A subset of k vertices is chosen from the vertices of a regular N-gon. What is the probability that two vertices are adjacent?
I suppose that the responses ...
- 73
7
votes
2
answers
349
views
Matrices over $\mathbb{F}_p$ that have nonzero determinant under any element permutation
$\DeclareMathOperator\GL{GL}$A few months ago, the following discussion took place on AoPS, concerning matrices that have nonzero determinant under any permutation of their entries: https://...
- 541
7
votes
3
answers
496
views
Chernoff-type bounds for a stopped sum of independent random variables
Let $Y_1, \ldots, Y_n$ and $X_1, \ldots, X_n$ be i.i.d. $p$-Bernoulli random variables and let $T \in \{0, \ldots, n\}$ be a stopping time for the process. From Wald's equation, we know
$$
E\left[\...
- 153
7
votes
1
answer
627
views
Do there exist three pairwise independent random variables, such that their sum is zero?
Do there exist such three non-constant pairwise independent random variables $X, Y, Z$ such that $X + Y + Z = 0$?
I managed only to prove the following two facts:
If such $X, Y, Z$ exist, they are ...
- 2,618
7
votes
1
answer
231
views
Relation between the two possible KL divergences of two distributions
Given that I know $$D\left(P\parallel Q\right)<\alpha,$$ can I say anything about $D\left(Q\parallel P\right)$ in terms of an upper bound on it?
Also, given this upper bound on $D\left(P\parallel ...
- 503
7
votes
3
answers
830
views
What is the link between the Domino Tilings and the Ising Model?
Is there a link between the theory of Domino Tilings and the Ising Model? In the global qualitative sense that physicists use, the answer is "yes". The connections could go like this:
The dimer ...
- 22.8k
7
votes
2
answers
5k
views
Properties of the time integral of Wiener process
Let $W_t$ be a Wiener process and consider the time integral
$$ X_T:= \int_0^T W_t dt $$
It is often mentionend in literature that $X_T$ is a Gaussian
with mean 0 and variance $T^3/6$.
I am ...
- 2,810
7
votes
4
answers
854
views
Laplace transform on the cone of positive-definite matrices
The title says most. Let $P_p$ be the cone of positive-definite $p \times p$ matrices.
One can define the Laplace transform of (the distribution of) a random matrix with values in $P_p$ by (for ...
- 2,600
7
votes
3
answers
415
views
Markov Property: determined by just the law or also the realization?
When one says that a stochastic process is Markovian, is this a property solely of the law of the process, or does the realization of the process also come in to play? I am asking even for the ...
- 315
7
votes
1
answer
423
views
Best constant in comparison between Rademacher and gaussian averages?
Let $(g_k)$ be a sequence of independent standard gaussians variables on a fixed probability space $\Omega$. Let $(\epsilon_k)$ be a sequence of independent rademacher variables.
What is the best ...
- 1,222
7
votes
2
answers
2k
views
Assigning positive edge weights to a graph so that the weight incident to each vertex is 1.
Let $\Gamma=(G,E)$ be a connected undirected graph, with no loops or multiple edges. $G$ is finite or countably infinite. For each edge $e=\{x,y\}\in E$, we assign a positive, symmetric edge weight $...
- 269
7
votes
1
answer
737
views
How is the Gronwall lemma used in this paper?
Let $(X_t, t \ge 0)$ be a $\mathbb R^d$-valued stochastic process. Let $\lambda>0$. Assume we have $\mathbb E [|X_0|^2] < \infty$ and
$$
\mathbb E [|X_t|^2] - \mathbb E [|X_0|^2] \le -2 \lambda \...
- 825
7
votes
2
answers
366
views
On permanent of a square of a doubly stochastic matrix
Let $A = (a_{i,j})$ be a double stochastic matrix with positive entries. That is, all entries are positive real numbers, and each row and column sums to one. A permanent of a matrix $A = (a_{i,j})$ is ...
user125543
7
votes
3
answers
330
views
Quantifying the noninvertibility of a function
Given a function $f$ from a finite set $X$ to itself, it seems natural to consider $\kappa_f := (\sum_{x \in X} |f^{-1}(x)|^2)/|X|$ as a measure of the non-invertibility of $f$: it equals 1 if $f$ is ...
- 19.7k
7
votes
2
answers
1k
views
Conditional Expectation for $\sigma$-finite measures
Someone knows of some definition or reference of how to define conditional expectation for a measure space with $\sigma$-finite measure.
I think it should be as follows:
Let $(X,\mathcal{B},\nu)$ ...
- 193
7
votes
1
answer
700
views
About taking an expectation over orthogonal matrices
Say $Q$ is a random variable which is sampling orthogonal matrices in $m$ dimensions using the Haar measure on $O(m)$. Let $A$ and $B$ be some (fixed) subset of rows and columns of $Q$ such that $\...
- 2,246
7
votes
3
answers
278
views
Solve $\inf_{ X: |X| \le a \text{ a.s.}} E \left[ \frac{1}{1+(X-X^\prime)^2} \right] $
I want to solve the following optimization problem
\begin{align}
\inf_{ X: |X| \le a \text{ a.s.}} E \left[ \frac{1}{1+(X-X^\prime)^2} \right]
\end{align}
where $X^\prime$ is an independent copy ...
- 671
7
votes
1
answer
318
views
Finding a short path using $(0.99n)!$ permutations
Suppose I have $n$ points $x_1,\dots,x_n$ that are all independent uniform samples in the unit square, and I'd like to find a short path (in terms of Euclidean length) that touches all of them (a ...
- 4,049
7
votes
1
answer
3k
views
Can all local martingales be represented using only Brownian motion and finite variation processes?
This is a cross-post of my unanswered (more than a week) question on Math.SE. Since it covers topics from my graduate-level course on stochastic processes, I thought it might be appropriate to try to ...
- 2,680
7
votes
3
answers
1k
views
Sum of inverse of multinomial coefficients
Find an asymptotically tight estimate for the sum
$$
A_n^{k}(\lambda)= \sum_{
\substack{a_i\geq \lambda_i
\\
a_1+a_2+\dots a_k=n
}} \prod_{i=1}^k a_i!
$$
Is the leading term going to be
$$|\textrm{...
- 1,306
7
votes
1
answer
895
views
Expected maximum inner product
If you sample $n$ vectors each with $m$ entries, with each entry chosen from the set $\{-1, 1\}$, how can you calculate the expected maximum absolute value of the inner product between all pairs of ...
- 3,377
7
votes
3
answers
2k
views
Convex hulls of families of probability measures
Let $X$ be a standard Borel space, so that the space of Borel probability measures on $X$ is also a standard Borel space. We denote it by $\mathcal P(X)$.
In this paper for any family of probability ...
- 1,655
7
votes
3
answers
475
views
comparing diffusions
Consider a probability distribution $\pi$ on the real axis that has a density (w.r.t Lebesgue) proportional to $e^{-V(x)}$, where $V(\cdot)$ is a potential function. For any reasonable volatility ...
- 2,133
7
votes
2
answers
1k
views
An Expectation of Cohen-Lenstra Measure
The Cohen-Lenstra measure on the set of abelian p-groups assigns $\mathbb{P}(G) = \prod_{i \geq 1} \left( 1 - \frac{1}{p^i}\right) \cdot |\mathrm{Aut}(G)|^{-1} $. Apparently, this is equivalent to ...
- 22.8k
7
votes
2
answers
852
views
What are the Nash equilibria of the “aim for the middle” game?
Consider the following three-player game: Alice chooses an integer congruent to $0$ mod $3$, Bob chooses an integer congruent to $1$ mod $3$, and Chris chooses an integer congruent to $2$ mod $3$. (...
- 32.5k
7
votes
1
answer
310
views
Local Lipschitzness of parameterization of Gaussians in Wasserstein space
Fix a positive integer $n$ and consider the $2$-Wasserstein space $\mathcal{P}_2(\mathbb{R}^n)$. Let $X$ be the cone of $n\times n$ symmetric positive semidefinite matrices with Frobenius norm and ...
- 169
7
votes
1
answer
467
views
A singular stochastic differential equation
We consider the following SDE:
$$dX_t = 1(X_t = 0) \, dt + 1(X_t >0) \, dB_t, \quad X_0= x > 0,$$
where $(B_t, \, t \ge 0)$ is linear Brownian motion.
Let $\tau: = \inf\{t >0: X_t = 0\}$ be ...
- 151
7
votes
2
answers
877
views
Which random variables can be written as the difference of two independent positive random variables?
Can we characterize random variables $X$ that satisfy
$$
X\sim Y - Z
$$
for two independent positive random variables $Y$ and $Z$?
Are $Y$ and $Z$ unique in some sense?
Can (one possible choice of) $Y$...
- 302
7
votes
1
answer
293
views
What is the largest possible probability that a random matrix over $\mathbb{F}_2$ is non-singular?
Suppose $A(p, n)=(a_{ij}(p))_{i, j \leq n}$ is an $n\times n$ random matrix over $\mathbb{F_2}$, with all its entries being i.i.d. and such that $P(a_{ij}(p) = 1) = p$, where $p$ is some real number ...
- 2,618
7
votes
2
answers
732
views
Convergence of random measure
Suppose that $S$ is a separable metric space or Polish. Let $μ_{n},n∈N $ be a random probability measures and let μ be a deterministic probability measure on $S$. That is to say, that the $ μ_{n}$ are ...
- 71
7
votes
1
answer
548
views
The probability that two elements of a finite nonabelian simple group commute
It is mentioned in here (last paragraph of the first page) that Dixon proved the following result: the probability that two elements of a finite nonabelian simple group commute is at most $\frac{1}{12}...
- 71
7
votes
2
answers
594
views
Large deviation/concentration inequality for submartingale
Let $S_t = M_t + D_t$ be the sum of a martingale $\left(M_t\right)_{t=1,2,\ldots}$ and a predictable process $(D_t)_{t=1,2,\ldots}$ such that the variance of the increments of $M$ is uniformly bounded ...
- 355
7
votes
1
answer
4k
views
Change of time variable in Wiener process
I'm following a solution of an SDE from here
http://www.math.ethz.ch/~delbaen/ftp/preprints/CEV.pdf
Start with the SDE
$$
dX_t = \delta dt + 2\sqrt{X_t} dW_t
$$
consider a deterministic time change
$...
- 173
7
votes
1
answer
453
views
Do the terms of an iid sequence whose law has infinite expected value necessarily exceed the partial sums of the sequence infinitely often?
Let $\mu$ be a probability measure on $(0,\infty)$, and let $(\mathbf X_n)_1^\infty$ be a sequence of independent $\mu$-distributed random variables. Fix $\kappa > 0$, and consider
A) $\int x \; d\...
7
votes
1
answer
285
views
Analysis of $AB^{-1}$, where $A,B$ are random matrices
I am looking for help pointing me in the direction of any literature or other known work that analyze the probability distribution or other important properties of random variables of the form $AB^{-1}...
7
votes
2
answers
335
views
Wait time to grid network disconnection with failing edges
Let $G_n$ be an $n \times n$ planar toroidal grid graph, with each node
connected to its four neighbors, with the top row connected to the bottom,
and the right column connected to the left.
Suppose ...
- 151k
7
votes
2
answers
3k
views
Maximum distance between two consecutive points of N random points on a unit length line
I have encountered a seemingly simple question on distances of random points.
Place N points randomly and uniformly on the line segment [0..1].
How to derive the expectation (or the distribution) of ...
- 79
7
votes
1
answer
12k
views
inner product of two gaussian random vectors?
Suppose that $x, y\sim N(0,I_n)$ are independent. Consider the inner product $\langle x, y\rangle$. Intuitively, $y$ behaves like a random vector of length $\sqrt n$, so $\langle x, y\rangle$ is close ...
- 145
7
votes
2
answers
2k
views
random walk returning probability
Consider a two-dimensional random walk, but this time the probabilities are not 1/4, but some values p_1, p_2, p_3, p_4 with $\sum_{i=1}^4 p_i=1$. For example, from (0,0), it goes to (1,0) with p_1, ...
- 71
7
votes
4
answers
2k
views
Time integrals of diffusion processes
I was wondering if someone could recommend a reference that deals with time integrals of diffusion processes.
Suppose $X$ is an Ito diffusion process with dynamics
$dX_t = \mu(X_t)dt + \sigma(X_t)...
- 1,666
7
votes
2
answers
649
views
What's the standard name for sets of a given size with maximal probability (or a given probability and minimal size)?
The definition I'm going to give isn't quite the concept I really want, but it's a good approximation. I don't want to make the definition too technical and specific because if there's a standard name ...
- 5,992
7
votes
1
answer
383
views
Diameter bound for graphs: spectral and random walk versions
This question can be phrased in different settings. I will discuss a spectral formulation and the equivalent random walk version. The question came up naturally in recent work with Devriendt and ...
