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
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What is a Gaussian measure?
Let $X$ be a topological affine space. A Gaussian measure on $X$ is characterized by the property that its finite-dimensional projections are multivariate Gaussian distributions.
Is there a direct ...
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What nodes of a graph should be vaccinated first?
Consider a graph, choose some "p: 0<p<1" (probability to infect the neighbor node).
Choose some random number "K" of nodes which are "infected" initially.
So we ...
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Random permutations of Z_n
In "The maximum number of Hamiltonian paths in tournaments" by Noga Alon, the author states the following without proof (equation 3.1):
"Consider a random permutation $\pi$ of $\mathbb{...
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Bochner integral of stochastic process = path by path Lebesgue integral?
After some helpful comments, I realized that I had to repost this question in a more systematic way.
On a complete probability space, let $\mathcal{H}_0$ denote the Hilbert space of square ...
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Maximizing the expectation of a polynomial function of iid random variables
Let $f \colon \mathbb R^N \to \mathbb R$ be a smooth function. Let $\mu$ be a probability measure on $[0,1]$ and $X_1, \ldots , X_N$ be i.i.d. random variables on $\mathbb R$.
Question 1. What is ...
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How large can $\mathbf{P}[X_1 + X_2 + X_3 < 2 X_4]$ get?
Let $\mu$ be a probability measure on $[0,\infty)$ and $X_1, \dots, X_4 \sim \mu$ independent. Then what can be said about the probability that $X_1 + X_2 + X_3 < 2 X_4$?
More precisely, what is ...
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How do mathematicians and physicists think of SL(2,R) acting on Gaussian functions?
Let $\mathcal{N}(\mu,\sigma^2)$ denote the Gaussian distribution on $\mathbb{R}$:
$$ \mathcal{N}(\mu,\sigma^2)(x) = \frac{1}{\sqrt{2\pi\sigma^2}} e^{-\frac{(x-\mu)^2}{2\sigma^2}}.$$
A Gaussian ...
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The Euler-Mascheroni constant and entropy
I would like to know if I have discovered or merely rediscovered the following pretty fact.
A partition of $[0,1]$ into intervals of lengths $p_{i, i=1\ldots n}$ induces a probability distribution ...
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Does a theory of stochastic differential algebras exist?
My question is motivated primarily by finance, where a non-technical student will learn how to approach SDEs using the symbolic manipulation of Itô calculus and the few basic rules of Brownian motion, ...
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In an inductive family of groups, does the probability that a particular word is satisfied converge?
We have some group word $w$ in $k$ letters. We say a $k$-tuple of group elements $\vec{g} = (g_1, g_2, \ldots , g_k) \in G^k$ satisfies the word $w$ if $w$ gives the identity at $\vec{g}$. More ...
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Does Pinelis' inequality (1994) exist?
I am reading a paper on stochastic optimization. And in this paper, the proofs are based on the Pinelis' 1994 inequality. I read the paper by Pinelis for more information and it is with great ...
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Can one view the Independent Product in Probability categorially?
One can construct a category of probability spaces, but this category has no products. Now probability theory relies strongly on the ability to build independent products, the product measure. In a ...
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Laws of Iterated Logarithm for Random Matrices and Random Permutation
The law of iterated logarithm asserts that if $x_1,x_2,\dots$ are i.i.d $\cal N(0,1)$ random variables and $S_n=x_1+x_2+\cdots+x_n$, then
$$\limsup_{n \to \infty} S_n/\sqrt {n \log \log n} = \sqrt 2, $...
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How to get rich in a Hilberts Hotel?
Suppose you can make infinitely many copies of yourself. Each of them starts his/her life in a Hilberts Hotel, where each room is labeled by an element in the free group with two generators, and ...
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What is quantum Brownian motion?
It seems that the current state of quantum Brownian motion is ill-defined. The best survey I can find is this one by László Erdös, but the closest the quantum Brownian motion comes to appearing is in ...
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On the sum of uniform independent random variables
Let $X_1,...,X_n$ be independent uniform random variables in [0,1] and assume $c>1/2$. Is it true that $$\mathbb{P}\left[\sum_{i=1}^n X_i \leq n \cdot c\right]$$ is increasing with respect to $n$?
...
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Eigenvalues of permutations of a real matrix: can they all be real?
For a matrix $M\in GL(n,\mathbb R)$, consider the $n!$ matrices obtained by permutations of the rows (say) of $M$ and define the total spectrum $TS(M)$ as the union of all their spectra (counting ...
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Random distance matrices
My question is motivated by the following recent paper:
Gadgil, Siddhartha; Krishnapur, Manjunath, Lipschitz correspondence between metric measure spaces and random distance matrices, Int. Math. Res. ...
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What are some good examples of non-monotone graph properties?
It seems that many, if not almost all, of the properties studied in graph theory are monotone. (Property means it is invariant under permutation of vertices, and monotone means that the property is ...
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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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Existence of probability measure defined on all subsets
Let $S$ be an uncountable set. Does there exist a probability measure which is defined on all subsets of $S$, with $P({x}) = 0$ for any element $x$ of S ?
If I remove the condition $P({x}) = 0$, then ...
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A random walk with uniformly distributed steps
The following problem has bothered me for a long time.
Let us imagine a point on the real axis. At the beginning, it is located at point $O$. Then it will "walk" on the real axis randomly in the ...
- 1,551
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Identities and inequalities in analysis and probability
Usually, at the heart of a good limit theorem in probability theory is at least one good inequality – because, in applications, a topological neighborhood is usually defined by inequalities. Of course,...
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Motivation for strong law of large numbers
I always find the strong law of large numbers hard to motivate to students, especially non-mathematicians. The weak law (giving convergence in probability) is so much easier to prove; why is it worth ...
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Probability that random weights on $K_n$ satisfy triangle inequality
Given $K_n$, if a random real weight between $[0, 1]$ is chosen for every edge, what is the probability that the graph satisfies the triangle inequality? How about the discrete version, where the ...
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James-Stein phenomenon: What does it mean that a James-Stein estimator beats least squares estimator?
Background James-Stein estimator and Stein's phenomenon, as described in Wikipedia are rather counterintuitive and amazing.
It is claimed that if one wants to estimate the mean $\Theta$ of
Gaussian ...
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Why pi-systems and Dynkin/lambda systems? On the relative merits of approaches in measure theory.
What is the point of $\pi$-systems and
$\mathcal{D}$ / Dynkin /
$\lambda$-systems?
I am an analyst in the process of consolidating my measure theory knowledge before moving on to harder/newer ...
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"The" random tree
One time I heard a talk about "the" random tree. This tree has one vertex for each natural number, and the edges are constructed probabilistically. Connect vertex $2$ to vertex $1$. Connect vertex $3$ ...
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How to compute KL-divergence when PMF contains 0s?
From the Wikipedia page on Kullback-Leibler divergence, the way to compute this metric is to utilize the following formula:
The way I understand this is to compute the PMFs of two given sample sets ...
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A measure on the space of probability measures
This question was originaly posted in the stackexchange https://math.stackexchange.com/questions/1226701/a-measure-on-the-space-of-probability-measures but since it only got a comment I decided to ...
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Maximum of Gaussian Random Variables
Let $x_1,x_2,…,x_n$ be zero mean Gaussian random variables with covariance matrix $\Sigma=(\sigma_{ij})_{1\leq i,j\leq n}$.
Let $m$ be the maximum of the random variables $x_{i}$
$$
m=\max\{x_i:i=...
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Central Limit Theorem(s) for irrational rotation
Let $\alpha$ be irrational and $T: S^1 \rightarrow S^1$ be the rotation by $\alpha$. I'm interested in what type of Central Limit Theorem (if any) can hold for sums $Y_n = \frac{1}{\sqrt{n}}\sum_{k=1}^...
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Do these polynomials have alternating coefficients?
In answering another MathOverflow question, I stumbled across the sequence of polynomials $Q_n(p)$ defined by the recurrence
$$Q_n(p) = 1-\sum_{k=2}^{n-1} \binom{n-2}{k-2}(1-p)^{k(n-k)}Q_k(p).$$
Thus:
...
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Is every probability space a factor space of the Haar Measure on some group?
Let P be an arbitrary probability space.
I would like to find a compact topological group $G$ so that the Haar probability measure on $G$ admits a measurable map to the probability space $P$.
By a ...
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How to optimally bet on a biased coin?
A number $p$ is drawn uniformly at random from $[0, 1]$. You are then given a biased coin that turns up heads with probability $p$, but the number $p$ is not known to you.
You start with a total ...
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Generating random finite groups
I would like a method to efficiently generate a random finite group of a given order $n$.
If there are $g(n)$ non-isomorphic groups of order $n$,
ideally each group would occur with probability $1/g(n)...
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What is the optimal speed to approach a red light?
Suppose from distance $d$, while driving at speed $v_0$, I notice that there's a red traffic light in front of me. Suppose that there are no other vehicles, my vehicle has perfect brakes, my maximum ...
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Probability of two vectors lying in the same orthant
Let $S^{d-1} = \{x \in \mathbb R^d: \|x\| = 1\}$ denote the unit sphere in $\mathbb R^d$. Let $v$, $w$ be drawn uniformly at random from $S^{d-1}$, conditioned on their inner product being equal to $\...
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Uncertainty principle and Cramer-Rao bound - is there relation?
Just out of curiosity.
The two things sounds a little bit similar - 1) Uncertainty principle 2) Cramer-Rao bound.
Saying that we cannot measure something with certain accuracy.
However looking closer ...
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Intuitive Proof of Cramer's Decomposition Theorem
Cramer's decomposition theorem states that if $X$ and $Y$ are independent real random variables and $X+Y$ has normal distribution, then both $X$ and $Y$ are normally distributed. I've seen a few ...
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Probability that a convex shape contains the unit ball
This probability problem seems interesting and I don't know if it has been solved before.
If you pick $n$ points uniformly at random from the surface of a $d$ dimensional sphere of radius $r>1$ ...
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A strange variant of the Gaussian log-Sobolev inequality
Let $\phi : \mathbb{R}^d \to \mathbb{R}$ be a convex function, and assume that it grows at most linearly at infinity for simplicity. Denote by $\gamma$ the standard Gaussian measure on $\mathbb{R}^d$, ...
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What is the best probabilistic estimate from below for a random polynomial on an arc?
I'm currently involved in a small (but quite time consuming) project where we are trying to get some decent bound for the number $N(P)$ of real zeroes of a random polynomial $P(x)=\sum_{k=0}^n\xi_k x^...
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what is the cycle length of the maximum normalized cycle in the directed complete graph?
Consider the complete, directed graph on $n$ vertices. Let the edge lengths $\{X_{ij}: 1 \leq i, j \leq n\}$ be i.i.d standard normal, with the constraint $X_{ij} = -X_{ji}$. The value of a normalized ...
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The Fourier Transform of taking Eigenvalues
The purpose of this question is to ask about the Fourier transform of the map which associate to an $n$ by $n$ matrix its $n$ eigenvalues, or some function of the $n$ eigenvalues. The main motivation ...
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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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Random vs Unknown
Is there any distinction at all between a random quantity and an unknown quantity or is it impossible to distinguish?
Example: 5 minutes in the future, I plan to roll a die the the number of the die ...
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Boys and Girls Revisited
Consider a country with $n$ families, each of which continues having children until they have a boy and then stop. In the end, there are $G$ girls and $B=n$ boys.
Douglas Zare's highly upvoted answer ...
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Intuition for Haar measure of random matrix
What is an intuitive way to understand Haar measure as defined for random matrices, say, $N\times N$ orthogonal or unitary matrices?
My understanding for what Haar measure means for $U(1)$ is that it ...
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Probability that biggest area stays greater than 1/2 in a unit square cut by random lines
The square $[0,1]^2$ is cut into some number of regions by $n$ random lines. We can chose these random lines by randomly picking a point on one of the four sides, picking another point randomly from ...
