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.
9,021 questions
4
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When does an Itô diffusion give a semigroup on $L^2$
I would like a reference for when an Itô diffusion generates a strongly continuous semigroup on $L^2(\mathbb{R}^n)$.
I have a time-homogeneous Itô diffusion of the form
$$dX_t=b(X_t)dt+\sigma(X_t)dB_t$...
- 263
0
votes
0
answers
159
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How to express the expectation and variance of a truncated binomial distribution without summation?
Given a binomial distribution with parameters $ n $ and $ p $, where $ n $ is an odd integer greater than or equal to 3, I am interested in the truncated binomial distribution where we truncate at $ k ...
- 1
2
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0
answers
58
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$L^2$ approximation of delta functions on real algebraic varieties and asymptotic bounds
Let $X$ be a smooth projective variety over $\mathbb{C}$ of dimension $n$. Consider a probability measure $\mu$ on $X(\mathbb{R})$, absolutely continuous with respect to the Lebesgue measure induced ...
1
vote
0
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87
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Equidistribution of Frobenius Classes
Let $G$ be a reductive group over $\mathbb{Q}$. Let $K$ be a maximal compact subgroup of $G(\mathbb{C})$. Let $S$ be a finite set of primes. For each prime $p$ not in $S$, let $Frob_p$ be a conjugacy ...
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3
votes
1
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195
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Probability of sum of i.i.d. random variables being positive
Let $g,l \in (0,1)$ and $p\in [0,1]$. Let $X(k,1-p)$ be a random variable with binomial distribution with parameters $k$ and $1-p$. Let $Y(k,p)$ be a random variable with binomial distribution with ...
- 63
3
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0
answers
145
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What is an example of a non-tight probability measure?
Billingsley (Convergence of Probability Measures, 1968) and van der Vaart and Wellner (Weak Convergence and Empirical Processes, 2023) discuss the concept of tight probability measures and use the ...
- 277
0
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0
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94
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Infinite sequence of PSD non-moments in two variables
Define a 2d sequence to be a mapping $a: \mathbb{N}^2 \to \mathbb{R}$ (where $\mathbb{N} = \{0, 1, \dots\}$). Here are two definitions of types of 2d sequences:
We say that a 2d sequence $a$ is a ...
- 161
4
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0
answers
113
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SPDE Renormalization
some SPDE (in higher dimensions) can only be interpreted in a "renormalised" sense. For example considering $\Phi_2^4$ on $\mathbb{R}_+\times \mathbb{T}^d$ the solution is defined as the ...
- 573
7
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0
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196
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Infinite cardinals and learnability of probability distributions
Two players play as follows. Player one chooses a secret finitely supported probability distribution $P$ on $ω_k$ (or another known set with $\aleph_k$ elements), and randomly takes $n+1$ samples ...
- 7,545
2
votes
1
answer
79
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What is weak convergence of random permutons?
In various papers on permutons you can find statements similar to this (see Maazoun's thesis)
For any $n$ let $\sigma_n$ be a random permutation of size $n$. TFAE:
$(\mu_{\sigma_n})_n$ converges in ...
- 677
3
votes
0
answers
45
views
Small deviation asymptotics for sub-gaussian diffusions in dirichlet spaces
Let $(X,d,\mu)$ be a metric measure space equipped with a strongly local, regular Dirichlet form $(\mathcal{E}, \mathcal{D}(\mathcal{E}))$ on $L^2(X,\mu)$. Assume that the associated heat kernel $p_t(...
5
votes
1
answer
381
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Rigorous statistical mechanics: difficulty of realistic models
Soft question: I am a mathematician self-learning statistical mechanics. The (mathematical) literature is concentrated on lattice models like the Ising model and the lattice-gas model. I understand ...
- 312
7
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0
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Looking for the eigenfunctions of the operator $T$ on $L_2(\mathbb R^+)$ defined by $Tf(x)=\int_0^\infty e^{-(x+y)^2/2}f(y)\,dy$
I'm looking to find a basis of eigenfunctions (and the corresponding eigenvectors) for the operator $T$ on $L_2(\mathbb R^+)$ defined by:
$$
Tf(x)=\int_0^\infty e^{-(x+y)^2/2}f(y)\,dy
$$
This operator ...
- 109
1
vote
1
answer
185
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Sum of $X_k$ with $\mathbb{P}(X_k=\pm 1) = 1/2\pm 1/(2\sqrt{k})$
Let $\{X_k\}$ be a sequence of mutually independent random variables with
\begin{align}
\mathbb{P}(X_k = 1) & = \frac{1}{2} + \frac{1}{2\sqrt{k}},
\\
\mathbb{P}(X_k = -1) & = \frac{1}{2} - \...
- 269
1
vote
1
answer
56
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How to study the convergence of the sample mode for arbitrary probability spaces
(This is not the problem I actually care about, but an analogy with similar issues to the problem I'm actually considering.)
Consider a probability space with i.i.d. random variables $X_i$ producing ...
- 277
2
votes
1
answer
59
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The ranked mass process associated with a Lambda-coalescent
I am reading a paper by Pitman (1999), and I am confused by his Corollary 7. First some notation so that I can explain my confusion:
$\mathcal{P}_\infty$ is the space of partitions of $\mathbb{N}$, $\...
- 203
2
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0
answers
205
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When should the empirical measure of an infinite sequence be defined?
Let $(x_n)_{n \in \mathbb{N}}$ be a (deterministic) sequence of nonnegative reals, possibly even with $x_n \in \mathbb{N}$ if you prefer. Then we'd like to define the empirical measure of such a ...
- 6,406
3
votes
1
answer
287
views
Expectation comparison inequality for concave function of symmetric random variables
Suppose that $X_i$, $i\in[n]$ are
independent symmetric
random variables. I think the conjectured result holds in greater generality, but we can additionally assume that each $X_i$ takes the values $\...
- 6,541
5
votes
0
answers
190
views
Number of discrete Lipschitz functions with given Lipschitz constant
Fix $T, K, N \in \mathbb Z_+$. How many distinct Lipschitz functions $f: \{0, \dots, T\} \to \mathbb Z$ are there with Lipschitz constant $K$, and supremum norm at most $N$ satisfying $f(0) = 0$?
In ...
- 6,215
1
vote
1
answer
131
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Breiman's first exit times from a square root boundary generalization
The paper "First exit times from a square root boundary" by Breiman, generalizes an observation made by Blackwell and Freedman. In summary: given a zero-mean random walk $S_n$ with i.i.d. ...
- 63
1
vote
0
answers
80
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Inequality involving random vectors and absolute values
Let $\mathbb{X}, \mathbb{Y} \subset \mathbb{R}^d$ be finite sets. Suppose random vectors $X \in \mathbb{X}$ and $Y \in \mathbb{Y}$ are sampled according to a joint distribution $\mathbb{P}_{XY}$. ...
0
votes
0
answers
24
views
Is there a log-concave distribution not spherical symmetric s.t $ \langle X, \theta \rangle$ is almost normal for all directions $\theta$?
Klartag's results indicate that for a log-concave isotropic random vector, with high probability over $\theta$, $\langle X, \theta \rangle$ is close to a normal distribution.
It is known that for the ...
- 11
3
votes
0
answers
81
views
Can we remove the restriction on a parameter in Talagrand concentration inequality?
Recently I am trying to use Talagrand concentration inequality to do something on graphs. I find a version from the book of Molloy and Reed ''Graph Colouring and Probabilistics Method''. I attached a ...
- 1,190
20
votes
1
answer
2k
views
How rich is the richest person in a society satisfying the Pareto principle?
The Pareto Principle roughly states that in many societies, the top 20% of people hold over 80% of the wealth. Suppose we had a society that satisfied this principle in every stratum of society - how ...
- 6,215
1
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0
answers
143
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Integer points inside the high-dimensional ball (asymptotics)
Let $N(\alpha, n)$ denote the number of integer points inside the origin-centered ball of radius $\alpha \sqrt n$ in $n$ dimensions, where $\alpha \in (0,\infty)$ is some fixed constant. Precisely:
$$...
- 435
4
votes
1
answer
175
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Looking for J.-C. Deville technical report from 2000
Yves Tillé's book Sampling Algorithms mentions several times a technical report by J.-C. Deville:
J.-C. Deville (2000), Note sur l’algorithme de Chen, Dempster et Liu, Tech.
rept. CREST-ENSAI, Rennes....
- 82.7k
3
votes
0
answers
101
views
Divergent/Unbounded random walks techniques
I want to prove the following biased random walk will be diverge. Suppose I have a random walk $S_n = X_1 + ... + X_n$, but $X_1,...,X_n$ are dependent variables. $X_1 \sim$ Bernoulli($\sigma(\theta_1)...
- 31
0
votes
1
answer
164
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Which coupling minimises the following cyclic sum?
We recall that a coupling of probability distributions $\mu_1, \dots, \mu_n$ on $\mathbb R$ is a set of random variables $X_1, \dots, X_n$ defined on the same probability space such that $X_i$ is ...
- 6,215
0
votes
1
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62
views
Probability of random walk on confined lattice with reflective boundaries
Consider a simple random walk in one dimension with reflective boundaries at $n=1$ and $n=N$. We can express it via the master equation:
\begin{equation}
P(n,t) = \frac{1}{2}P(n-1,t-1) + \frac{1}{2}P(...
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9
votes
3
answers
448
views
All stationary martingales are constant?
Suppose $(X_{n})_{n\geq{1}}$ is a stationary process that is a martingale with respect to some filtration. Suppose also that $\mathbb{E}X_{0}^{2}<\infty$ so that $\mathbb{E}X_{n}^{2}<\infty$ for ...
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2
votes
1
answer
89
views
Upper bound on the Levy-Prokhorov distance between the distributions of continuous Gaussian processes in terms of their covariances
Denote by $d$ the supremum metric on the space $C[0,T]$ of continuous real-valued functions on $[0,T]$:
$$
d(f,g) = \sup_{t \in [0,T]} |f(t)-g(t)|.
$$
Let $\rho$ be the Levy-Prokhorov metric on the ...
- 177
6
votes
2
answers
607
views
Whence “uniform distribution”?
The “Earliest Uses” site suggests that the expression “uniform distribution” first appeared in Uspensky (1937), and “uniformly distributed” in Sakamoto (1943). Is that true?
- 31.5k
3
votes
1
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Are measurable maps with countably separated image in a Banach space always strongly measurable?
Let $(E,\|.\|)$ be a (not necessarily separable) Banach space and $\Sigma_E$ the Borel $\sigma$-algebra (w.r.t. the norm topology). Let $(\Omega,\Sigma_\Omega)$ be a measurable space (which we can ...
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3
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1
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Does a DKW-type inequality hold for the empirical CDF of a random vector on the sphere?
I've begun to study concentration of measure because of its relevance to statistical mechanics. In recent decades concentration inequalities have played a role in elucidating foundational conceptual ...
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2
votes
2
answers
122
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Convergence of conditional expectations in $L_p$ for non-negative adapted processes
Given an adapted processes $(X_n, \mathscr{F}_n)$ that satisfies $X_n \geq 0$ for all $n > 0$ and $\sum\limits_{n=1}^{+\infty} X_n = 1$, can we conclude that $\sum\limits_{n=1}^{+\infty} \mathbb{E}(...
- 21
3
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1
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139
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On the permutation consistency condition in the Kolmogorov extension theorem
I am trying to understand the Kolmogorov extension theorem (KET). Wikipedia states the following two necessary consistency conditions for the probability measures $\nu_{t_1,\cdots,t_k}$:
$$\nu_{t_{\pi(...
- 133
7
votes
2
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706
views
Poisson binomial conjecture
Let $X_i\in\{0,1\}$
be mutually independent and distributed according to $\mathrm{Bernoulli}(p_i)$
and similarly, $Y_i\sim\mathrm{Bernoulli}(q_i)$,
for some parameters $p,q\in[0,1]^n$. Put $X:=\sum_{i=...
- 6,541
2
votes
1
answer
144
views
Concentration inequality for double sum
I am looking for a concentration inequality of a double sum….
Let $X_1,\dots, X_n$ be iid r.v. and also let $Y_1,\dots ,Y_n$ be iid such that even $X_i$ and $Y_j$ are independent.
I am looking for a ...
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2
votes
1
answer
83
views
Azuma-Hoeffding for one-side bounded super-martingale sequence
Suppose we have a real-valued super-martingale difference sequence $\{X_k\}$ w.r.t. some filtration $\mathcal{F_k}$, i.e., $X_k$ is $\mathcal{F_k}$-measurable, and
$$ \mathbb{E}[X_k|\mathcal{F}_{k-1}] ...
- 33
1
vote
1
answer
99
views
Moment generating function of one-side bounded random variable
Suppose we have a scalar random variable $X$ satisfying the one-sided bound $X \leq d$, for some $d > 0$. Additionally, we know that $\mathbb{E}[X] \leq 0$. Can we establish a bound of the ...
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11
votes
1
answer
995
views
Choosing a relative large density subsequence from a low density sequence
My question is somewhere in the interface of combinatorics, probability, and measure theory. It is quite ad-hoc, and I wonder if there is a counter example.
Consider for example the unit interval $[0,...
- 502
8
votes
1
answer
449
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What do smooth signatures give you?
My background is in rough paths theory.
In short, if you have an irregular function $f:[0,T]\to\mathbb R^d$ and you want to make sense of integrals $\int_s^t \cdot \ df(r)$, the right objects that are ...
- 1,904
2
votes
1
answer
262
views
Randomly fixing elements and transcendence degree
Given $f_1,\ldots,f_n \in \mathbb{F}_q[x_1,\ldots,x_m]$ such that $\deg(f_i) \leq d < q$. Suppose we have for some $1 \leq j \leq m$
$$ \operatorname{trdeg}_{\mathbb{F}(x_1,\ldots,x_j)}\{f_1,\ldots,...
- 341
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0
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85
views
Does a 2d random walk hit 0 for increasing distances AND time spans?
Question: For a simple symmetric random walk $(Z_t)_{t\geq 0}$ in $\mathbb{Z}^2$, does
$$\lim_{\beta\rightarrow 0}\mathbb{P}^{x_\beta}(Z_t=0\text{ for some }t\leq h(\beta)T)=0\quad (2.8)$$
where $|x_\...
- 31
4
votes
0
answers
198
views
When a null uncountable set can be image of some increasing function with discontinuities on a dense countable set
Consider the following result:
A: Let $f:D \to \mathbb R$ be an increasing function with discontinuities on a dense countable subset of $D$ such that the jump values sum to $\mu(D)$, where $D$ is a ...
- 303
4
votes
1
answer
196
views
(Lattice approximation) Does UV stability lead to continuum limit of a subsequence?
In the context of lattice approximation, the term "UV stability" seems to be used frequently. To me, it seems like
Uniform boundedness of the partition function in the limit where lattice ...
- 3,477
1
vote
0
answers
44
views
Constrained random sampling from partitioned sets with quotas
Let $D$ be a finite set, $\mathcal{P} = \{D_{i,j}\}_{(i,j) \in I \times J}$ a partition of $D$, $N: J \to \mathbb{N}$ a quota function, and $k \in \mathbb{N}^+$. A subset $F \subseteq D$ is considered ...
- 11
13
votes
2
answers
1k
views
Probability vector $p$ majorizes its normalized entropy vector $\small \frac{-p\log p}{H(p)}$
I guess the following inequality
$$ \sum_{i=1}^n g \left (\frac{-p_i \log p_i}{H(\boldsymbol{p})} \right ) \le \sum_{i=1}^n g (p_i)$$
holds for any continuous convex function $g$ and any probability ...
- 303
0
votes
0
answers
39
views
Random subsets of measure spaces
Related to generalizing reliability polynomials from graph theory to other spaces I ran into the following question.
To start, take a finite set $M$ and build a subset $X$ of $M$ at random by ...
- 646
13
votes
0
answers
710
views
Minimizing total variation under constraint
For $p\in[0,1]$, we write $\mathrm{Ber}(p)$
to denote the Bernoulli measure on $\{0,1\}$;
that is, $\mathrm{Ber}(p)(0)=1-p$,
$\mathrm{Ber}(p)(1)=p$.
For $n\in\mathbb{N}$ and $p=(p_1,\ldots,p_n)\in[0,1]...
- 6,541