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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Bounded density for diffusions with diffusion coefficients bounded away from $0$
Consider a diffusion given by
$$X_t=\int_0^t a(s,X_s)\,dW_s$$
for $t\ge 0$, where $W_\cdot$ is a standard Wiener process/Brownian motion and $a$ is a smooth enough positive function bounded away from $...
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*Full proof* references for Markov generators with various boundary conditions
(Note: I've migrated this question from math.stackexchange, as the lack of answers there made me believe it was perhaps too advanced for that forum.)
Consider the one-dimensional heat equation
$$\...
- 891
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Quotients of standard Borel spaces
Let $X$ and $Y$ be standard Borel spaces: topological spaces homeomorphic to Borel subsets of complete metric spaces. Given a surjective Borel map $f:X\to Y$, we get an equivalence relation $\sim_f\...
- 1,655
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On the largest and smallest spacings for the uniform distribution
Let $Z_1,\dots,Z_n$ be iid random variables (r.v.'s) each uniformly distributed on $[0,1]$. Let $Z_{n:1}\le\cdots\le Z_{n:n}$ be the corresponding order statistics. For $i=1,\dots,n-1$, let $G_i:=Z_{n:...
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Paper request : “A random integral and Orlicz spaces” from K. Urbanick
I tried all my methods to find the paper :
“K. Urbanik and WA Woyczynski, A random integral and Orlicz spaces, Bulletin de l'Académie Polonaise des Sciences, Série des sciences mathématiques, ...
3
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1
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A convergence problem
I have a math/stat problem where I need to show the convergence of the average of a sequence of experiments to an interval. The sequence of experiments is not i.i.d., hence the standard law of large ...
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Forgery theorem: the Brownian motion stays close to any curve with positive probability
In a paper I am reading the authors claim that, if $B$ is a standard BM in $\mathbb{R}$ and $f\in C([0,1],\mathbb{R})$, then for any $\epsilon>0$
$$
\mathbb{P}(\sup_{t\in [0,1]}|B_t-f(t)|<\...
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2
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Birthday inequality for non-uniform distributions for fixed collision probability (random allocation, collision probability)
Question: Consider a distribution $D$, and $n$ i.i.d. random variables $X_i$, all distributed according to $D$. Let $p^D_2:=\Pr[X_1=X_2]$. What is a lower bound for $p^D_n:=\Pr[\exists i\neq j. X_i=...
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Expected value of logarithm of a binomial random variable
Suppose $X\sim \mathrm{Binomial}(n,p),$ i.e. $X$ takes values in $\{0,1,2,\ldots, n\}$ and $P(X=i) = {n\choose i} p^i(1-p)^{n-i}.$
I am looking for a good estimate for $\mathbb{E}\log(X+\alpha).$ I ...
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Singular value decomposition of random rectangular matrices
Let $A$ be a $m\times n$ real matrix, whose entries are independent, identically distributed random variables, following standard normal distributions (mean zero and unit variance).
What is the ...
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2
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511
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Geometry interpretation of any continuous random variable
Given a continuous random variable $X$ with the cdf $F_X(x)$, I want to know whether there exists a random vector $\mathbf{Z}$ uniformly distributed in a geometry region $\mathscr{Z}_n$ in $\mathbb{R}^...
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Does $X_t$ with $t>0$ admit a density?
$
\newcommand{\RR}{\mathbb{R}}
\newcommand{\TT}{\mathbb{T}}
\newcommand{\NN}{\mathbb{N}}
\newcommand{\PP}{\mathbb{P}}
\newcommand{\EE}{\mathbb{E}}
\newcommand{\FF}{\mathbb{F}}
\newcommand{\PPP}{\...
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Is the Erdős–Rényi giant component result applicable here?
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 ...
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Proof and interpretation of the following percolation theory result for $n\times n$ square grid
While I was discussing this question with @JamesMartin, he mentioned a result here that:
In a $n\times n$ finite square grid, if $p\geq p_c+\epsilon$, such
that $\epsilon>0$ and $p_c$ is the ...
user123818
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1
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361
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Is $g(t)=\mathbb P[\inf_{0\le s\le t}X_s>0]$ differentiable with respect to $t$?
Consider the SDE
$$dX_t =b(t)dt + a(t)dW_t,\quad \forall t>0,$$
with $X_0>0$ has a density function $\rho:\mathbb R_+\to\mathbb R_+$. Consider the probability $g(t):=\mathbb P[\inf_{0\le s\le t}...
user478492
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0
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Stochastic stability of "open" continuous-time stochastic systems: reference request
I'm looking for results on the stability of stochastic systems, e.g. SDEs, whose coefficients depend on a different process that is not necessarily stable. I'm calling those systems "open" here, but ...
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0
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Optimal transport: how is the use of disintegration theorem valid in this construction of $\widetilde{\phi}$?
Let $X,Y$ be Polish spaces and $\mathcal P(X)$ the space of all Borel probability measures on $X$.
Fix $\mu\in \mathcal P(X), \nu \in \mathcal P(Y)$. Let $\pi \in \Pi(\mu, \nu)$, i.e., $\pi \in \...
- 835
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1
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649
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distribution on the inverse Wishart matrix eigenvalues summation
Let $\lambda_1>\lambda_2>....>\lambda_N$ be the ordered eigenvalues of Wishart matrix my objective is to find if it is possible the distribution of:
\begin{align}
s = \sum\limits_{i = 1}^...
- 377
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2
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If $(\exp(\mu_n))_{n\in\mathbb N}$ is weakly convergent, is the normalized sequence convergent as well?
Let $E$ be a metric space and $\mathcal M(E)$ denoote the space of finite signed measures on $\mathcal B(E)$ equipped with the total variation norm $\left\|\;\cdot\;\right\|$.
I would like to know ...
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Computationally random bitstreams and normalcy
Let $\mathbb{N}$ denote the set of non-negative integers. We can identify every bitstream, i.e. a function $s:\mathbb{N}\to \{0,1\}$, with some $A\in{\cal P}(\mathbb{N})$: take $A = s^{-1}(\{1\})$.
...
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2
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194
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Continuity of the densities of a stochastic process
Let $X=(X_t)_{t\in I}$ ($I\subset\mathbb{R}$ an interval) be a stochastic process with continuous sample paths and such that $X_t$ admits a continuous Lebesgue density $\chi_t\in C(\mathbb{R}^d)$ for ...
- 463
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1
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Measure, volume and cardinality on Minlos' book on statistical physics
The following content was based on Minlos' book on statistical physics. Let $\Lambda \subset \mathbb{R}^{d}$ be fixed (Minlos takes $d=3$ but I think the ideas follow without change to $d \ge 1$). We ...
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1
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1
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Upper bound on difference of correlated ratios
Suppose $(x_n, y_n)$ are i.i.d. samples (that is, $x_n$ and $y_n$ are not independent, but $(x_n, y_n)$ is i.i.d. with regards to $(x_m, y_m)$ if $n\ne m$) from a joint distribution, with $0 < x_n, ...
- 15
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1
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Comparison of hitting probability of two Markov chains both with only one absorbing state version 2 under stronger condition
Let $N_n:=\{1,2,\cdots,n\}$. Given two finite states Markov chains $\big(X^{(j)}_i\in N_n\}\big)_{i=0}^\infty$ for $j\in\{1,2\}$, both of which have two absorbing states at $1$ and $n$.
$\text{Pr}\...
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Sum of digits iterated
Original version.
I believe that it is an elementary question, already discussed somewhere. But I just have no idea of how to start it properly. Take a positive integer $n=n_1$ and compute its sum of ...
- 13.5k
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2
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Find $\inf_{P_{X_1,X_2}}P_{X_1,X_2}(\|X_1-X_2\| > 2\alpha)$ , where $\alpha > 0$ and inf is over couplings
Let $\mathcal X$ be a seperable Banach space with norm $\|\cdot\|$, and let $X_1$ and $X_2$ be random vectors on $\mathcal X$ with finite means.
Question. Given $\alpha > 0$, what is value of, ...
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1
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On the marginal distributions of an absorbed diffusion
This question can be seen as a variant of the post Bounded density for diffusions with diffusion coefficients bounded away from $0$ by Iosif Pinelis. Namely, consider the diffusion
$$X_t=\int_0^t a(s,...
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1
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Bound on queries to a tree with unusual probabilties -- follow-up
This question follows up on Bound on queries to a tree with unusual probabilities, where @fedja was able to disprove my conjecture under only constraints (1-4) below. I restate the relevant facts here ...
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Approximation of a random sum of random variables (infinitely divisible distribution) by a triangular array
We know that a Poisson distribution can be approximated by a binomial distribution. More exactly, let $(X_{jn})_{1\leq j \leq n}$ be a i.i.d. triangular array such that
$$P[X_{jn}= 1 ] = p_n = 1- P[X_{...
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Is the limsup or liminf of n-wise independent events independent?
Let $(\Omega, \mathscr F, \mathbb P)$ be a probability space.
Consider events indexed by $m, n \in \mathbb N$:
$ \ \ \ \ \ \ \ \ \ \ \ A_{1,n}, A_{2,n}, A_{3,n} ...$ are n-wise independent.
$A_{m,1}...
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1
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Poisson kernel, $E^{(x, y)}\text{exp}\{i\theta X_t - \theta Y_t\} = e^{i\theta x - \theta y}$
Let $d = 2$, and consider the domain $D = \mathbb{H}$, the upper half-plane. Let $W_t = (X_t, Y_t)$. How do I see that for any $\theta \in \mathbb{R}$ and any $t \ge 0$, we have$$E^{(x, y)}\text{exp}\{...
user76167
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Why do probabilists take random variables to be Borel (and not Lebesgue) measurable?
I've been studying a bit of probability theory lately and noticed that there seems to be a universal agreement that random variables should be defined as Borel measurable functions on the probability ...
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Google question: In a country in which people only want boys [closed]
Hi all!
Google published recently questions that are asked to candidates on interviews. One of them caused very very hot debates in our company and we're unsure where the truth is. The question is:
...
- 1,107
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1
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The mathematical theory of Feynman integrals
It is well known that Feynman integrals are one of the tools that physicists have and mathematicians haven't, sadly.
Arguably, they are the most important such tool. Briefly, the question I'd like to ...
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Does War have infinite expected length?
My question concerns the (completely deterministic) card game known as War, played by seven-year-olds everywhere, such as my son Horatio, and sometimes also by others, such as their fathers.
The ...
- 236k
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Perron number distribution
A Perron number is a real algebraic integer $\lambda$ that is larger than the absolute value of any of its Galois conjugates. The Perron-Frobenius theorem says that any
non-negative integer matrix $M$ ...
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Polish spaces in probability
Probabilists often work with Polish spaces, though it is not always very clear where this assumption is needed.
Question: What can go wrong when doing probability on non-Polish spaces?
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Random manifolds
In the world of real algebraic geometry there are natural probabilistic questions one can ask: you can make sense of a random hypersurface of degree d in some projective space and ask about its ...
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Why is Quantum Field Theory so topological?
I understand that my question suffers from my lack of knowledge about the field, but as a mathematician without much knowledge of physics I have been wondering much about the following and I always ...
51
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3
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What is the sandpile torsor?
Let G be a finite undirected connected graph. A divisor on G is an element of the free abelian group Div(G) on the vertices of G (or an integer-valued function on the vertices.) Summing over all ...
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What's the use of a complete measure?
A complete measure space is one in which any subset of a measure-zero set is measurable.
For what reasons would I want a complete measure space? The only reason I can think of is in the context of ...
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How to quantify noncommutativity?
If I have two operators or finite-dimensional matrices $A$ and $B$, how can I quantify the amount to which they commute or don't commute? (I would consider it a big plus if it is computable easily for ...
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4
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What is the probability two random maps on n symbols commute?
It is well known that two randomly chosen permutations of $n$ symbols commute with probability $p_n/n!$ where $p_n$ is the number of partitions of $n$. This is a special case of the fact that in a ...
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Polynomials on the Unit Circle
I asked this question in math.stackexchange but I didn't have much luck. It might be more appropiate for this forum. Let $z_1,z_2,…,z_n$ be i.i.d random points on the unit circle ($|z_i|=1$) with ...
- 3,626
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3
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Manifold of probability measures: connections between two types of metrics
The space of probability measures could be viewed as an infinite-dimensional manifold, equipped with two possible types of metrics — (1) Wasserstein and (2) Fisher-Rao. Metric (1) is connected with ...
- 1,127
37
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3
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3k
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An entropy inequality
Let $X,Y$ be probability measures on $\{1,2,\dots,n\}$, and set $K=\sum_i\sqrt{X(i)Y(i)}$ so that $Z:=\frac{1}{K}\sqrt{XY}$ is also a probability measure on $\{1,2,\dots,n\}$. How can we prove the ...
- 11.4k
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4
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Determinant of the random matrix $X^2+Y^2$
$\DeclareMathOperator\Prob{Prob}$Let $X,Y\in M_n(\mathbb{R})$ be $2$ random matrices. The entries of $X,Y$ are i.i.d. variables. They follow the standard normal law $N(0,1)$.
i) When $n=2,3,4$, one ...
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3
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the following inequality is true，but I can't prove it
The inequality is
\begin{equation*}
\sum_{k=1}^{2d}\left(1-\frac{1}{2d+2-k}\right)\frac{d^k}{k!}>e^d\left(1-\frac{1}{d}\right)
\end{equation*}
for all integer $d\geq 1$. I use computer to verify ...
- 363
34
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3
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2k
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Intrinsic significance of differential entropy
Many commentators (e.g. Jaynes, Rota) argue that the notion of "differential entropy" is problematic (as commonly defined by $ h(X) = \int ( \log\frac{1}{p(x)} ) p(x) \, dx $, where $X$ is a random ...
- 1,223
33
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4
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9k
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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 ...
- 1,666