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.
9,023 questions
3
votes
1
answer
115
views
Expectation of maxima of random functions
I have a question regarded the expected maxima of random functions, but it seems easier to phrase using n-tuples of random variables:
Let $(X_{1}, X_{2}, ..., X_{n})$ and $(Y_{1}, ..., Y_{n})$ be ...
- 85
3
votes
0
answers
138
views
What is the probability that the absolute value of the root of a polynomial is greater than $x$?
Note: This question was unanswered in MSE for a month so posting it in MO.
Let $f(x) = 0$ be an equation of degree $n$. WLOG we can assume that the its coefficients are in $(-1,1)$. This is because we ...
- 5,470
0
votes
0
answers
21
views
Unimodality of distribution from Lévy symbol
Also posted in MSE.
Assume that one want to study a distribution $f$ on $\mathbb{R}$ for which the Lévy symboln, i.e.:
$$
\forall u\in\mathbb{R},\quad\psi(u) := \log \mathbb{E}\left[e^{iuX}\right]
$$
...
- 393
2
votes
1
answer
81
views
Rate of convergence of random samples wrt Hausdorff distance
Let $X$ be a compact metric space with a probability measure $\mu$. We can draw random samples $X_n = \{x_1,\cdots, x_n\}$ from $X$ using $\mu$, and I am interested in the rate of convergence of $X_n$ ...
- 305
3
votes
1
answer
81
views
Maximum of exponentially-tailed variables
Suppose that $X$ is a random variable on supported $\mathbb{R}$ and denote $f_X$ its density. Assume also that $f_X$ has "exponential tailed", i.e.:
$$f_X(x)\sim_{x\to+\infty} Ze^{-ax}$$
...
- 393
1
vote
0
answers
45
views
Modifiying a sequence of measures to assign a certain value when integrating a fixed function?
Let $f:\mathbb R ^d\to \mathbb R$ be some continuous function, $|f|\leq A(1+|x|)$, where $|\cdot|$ denotes the usual Euclidean norm. Fix a measure $\mu$ and constant $C$.
Assume that $\mu_n$ is a ...
- 291
2
votes
2
answers
192
views
Behavior of a Wishart quadratic form
Let $X \in \mathbb{R}^{n \times d}$ be a random matrix with iid standard Gaussian entries. Let $e_1$ denote the first canonical basis vector in $\mathbb{R}^d$. Define
$$
P_d(\lambda) = (1-\lambda) e_1 ...
- 420
0
votes
0
answers
48
views
Integral functional minimal value problems
\begin{align}
& F_n(\theta)=\int_0^T f_{n}(t,\theta(t)) \, dt \\[6pt]
& f_n(t,\xi)=\int_\Omega\mathcal{L}(X(t) + Z_n(t,\omega),Y(t),\xi (\omega)) + R_n(\xi(\omega)) Pd(\omega)
\end{align}
...
0
votes
0
answers
101
views
Simulation of Markov processes with exponential timestepping
Let $(Y_t)_{t\ge0}$ be a time-homogeneous Markov process with transition semigroup $(\kappa_t)_{t\ge0}$. Numerical simulation of $(Y_t)_{t\ge0}$ can be done in the following way:
Choose an initial ...
- 167
2
votes
1
answer
115
views
Upper bounding a inner product between gaussian Wigner matrix and a rank 2 matrix
Let $W$ be a standard gaussian Wigner matrix, i.e., $W_{ij}=W_{ji}$, $W_{ii}$ is iid standard gaussian. Consider
$$\langle W,QQ^T\rangle$$
where $\langle,\rangle$ is Frobenius inner product, $Q$ is a $...
- 405
3
votes
1
answer
151
views
Is this set $\sigma$-compact in the Wasserstein space?
This is a follow-up to this question.
Fix a finite first moment probability measure $q\in\mathcal{P}_1(\mathbb R ^d)$, and real numbers $K,M,R$. Consider the following set:
$$A:=\left\{p\in\mathcal{P}...
- 291
2
votes
1
answer
237
views
Is the following set compact w.r.t. the Wasserstein distance?
Fix a finite first moment probability measure $q\in\mathcal{P}_1(\mathbb R ^d)$, and real numbers $K,M,R$. Consider the following set:
$$A:=\left\{p\in\mathcal{P}_1(\mathbb R ^d): \int |x|dp\leq K, \...
- 291
3
votes
1
answer
146
views
Orthogonal projection $X X^+$ from random Gaussian matrix $X$
Given a standard Gaussian matrix $X\in\mathbb{R}^{n\times d}$, $d<n$, with entries sampled i.i.d. from $\mathcal{N}(0,1)$, is the corresponding orthogonal projection $X X^+ = X (X^\top X)^{-1} X^\...
4
votes
1
answer
211
views
Local solutions of renormalized stochastic PDE
To illustrate the problem consider the mild formulation of the $\Phi^4_2$ model on $[0,T]\times \mathbb{T}^d$: $$\phi=P_r\phi_0+\int_0^rP_{r-q}(-\phi^3(q))dq+Y_r \ \ \ \ \ \ (1)$$ where $(P_r)_{r \...
- 573
1
vote
1
answer
114
views
Convergence in probability of sample covariance for permutation invariant triangular arrays
Take two triangular arrays $X_{N,i}$ and $Y_{N,i}$ of random variables where $1 \le i \le N$. Suppose that the families $\{X_{N,i}\}$ and $\{Y_{N,i}\}$ are independent, and that the following ...
- 1,124
1
vote
0
answers
76
views
Can any point process be thinned into a homogenous Poisson point process?
Let $X$ be a stationary and isotropic point process. Under what sufficient conditions can $X$ be thinned into an (approximation of an) homogenous Poisson point process $Y$ of positive intensity?
What ...
- 290
0
votes
0
answers
72
views
Probability of being inside a convex n-dimensional polytop
I am currently conducting some post-grad research about wireless transmissions with uncertain transmission delays.
As part of the research, each individual transmission is modelled using a probability ...
0
votes
0
answers
59
views
Convergence of Liouville correlation functions
A key object in Liouville conformal field theory is the random Liouville measure $M$ defined heuristically as $M(d^2x) = :e^{2bX(x)}: d^2x$, where $X$ is a Gaussian free field and $:e^{2bX}:$ denotes ...
user528837
2
votes
0
answers
137
views
Holder-Besov space and time continuity
Let $\mathbb{T}^d$ be the $d$-dimensional torus, $\mathscr{S}:=C^\infty(\mathbb{T}^d)$ the Schwartz space, $\mathscr{S}'$ the space of tempered distributions.
We consider a dyadic partition of unity $(...
- 573
2
votes
0
answers
167
views
How to choose N policemen positions to catch a drunk driver in the most effective way (on a Cayley graph of a finite group)?
Consider a Cayley graph of some big finite group. Consider random walk on such a graph - think of it as drunk driver. Fix some number $N$ which is much smaller than group size.
Question 1: How to ...
- 24.9k
2
votes
1
answer
177
views
Simple version of fourth moment theorem of Nualart and Peccati
I'm trying to understand this theorem, which gives several conditions for a sequence of random variables in the $n$-th Weiner chaos to converge to a normal law. I am finding even the statements of the ...
- 205
2
votes
0
answers
84
views
Mean and variance of Wasserstein 2-distance for sequence of normal distributions obtained from resampling
I am reading this article: The curse of recurssion. At page 8, I dont know how to calculate the mean and variance for the Wassertein distance (the relations 4 and 5), in this context the hypothesis. I ...
1
vote
1
answer
345
views
Random walk on $\mathbb{Z}^3$. Expected number of visits and probability of return
I am working with the simple symmetric random walk on $\mathbb{Z}^3$. Using the Fourier identity I have been able to prove:
$$ P(S_n = 0) = \frac{1}{(2\pi)^3} \int_{-\pi}^{\pi} \int_{-\pi}^{\pi} \...
1
vote
0
answers
36
views
Uniform distribution as argument for copula likelihood
I am reading a well-known paper about copulas by Chen and Fan (2006). Specifically, Proposition 4.2 (see attached), in which all the arguments are uniform $U_{t-1}, U_t$. However, when the copula is ...
- 33
5
votes
2
answers
369
views
Markov process on a torus with prescribed invariant distribution
In Euclidean space, $\mathbb R^d$, the Langevin diffusion $${\rm d}X_t=b(X_t){\rm d}t+\sigma(X_t){\rm d}W_t\tag1,$$ where $\sigma:\mathbb R^d\to\mathbb R^{d\times k}$, $$b:=\frac{\Sigma+U}2\nabla\ln p+...
- 167
3
votes
0
answers
60
views
Comparison theorem for SDEs driven by a continuous martingale
Consider the well-known comparison theorem for SDEs, versions of which appear in several textbooks, e.g., Karatzas and Shreve, Proposition 5.2.18, or Revuz and Yor, Theorem IX.3.7.
The result states ...
- 103
2
votes
1
answer
106
views
Lower bounds for the expectation of log ratio between the posterior and prior Beta densities
The quantity I'm interested in is expressed as follows:
$$
I = \mathbb{E}_{k\sim \text{Binom}(n,p)} \left[\ln \frac{\text{Beta}(p;a+k,b+n-k)}{\text{Beta}(p;a,b)}\right]
$$
The term inside the ...
- 63
1
vote
0
answers
59
views
Gaussian Hypercontractivity of Chaos based on Gaussian with value in Hilbert spaces?
The classical Gaussian hypercontractivity is stated as following: Suppose $\xi$ is a Gaussian variable and $H_n(\xi)$ is the space of n-th homogeneous Wiener chaos constructed from $\xi$, then for any ...
- 253
3
votes
1
answer
181
views
When does a local supermartingale become a proper supermartingale?
This is a cross-post of my question on MSE.
Abstract: When a local supermartingale is bounded from below, is it a proper supermartingale?
Question: In remark 4.2 (p.16) of the lecture notes by Martin ...
- 235
2
votes
1
answer
322
views
Penalty shootout
Two teams are having an intense penalty shootout. The game ends when either team leads by a certain threshold, or once a certain number of rounds has passed, whichever comes first. Currently team $X$ ...
- 6,213
0
votes
1
answer
78
views
Uniform concentration bound (function-valued random variable / continuous stochastic process)
I'm trying to consider a probability space $\Omega$ and
$f(x,\xi):\mathcal{X}\times\Omega\to\mathbb{R}$ (stochastic process over space? or function-valued random variable?), where $\mathcal{X}\subset\...
- 321
1
vote
0
answers
82
views
Is there a proof of the de Moivre-Laplace central limit theorem along these lines?
Let $X_1, X_2, \dots$ denote independent identically distributed random variable with, say, distribution given by $P(X_i= \pm 1)=1/2$. As usual, set $$S_n=X_1+ \cdots +X_n.$$
It follows from Skorokhod'...
- 6,224
0
votes
1
answer
159
views
Dot product of a randomly orientated vector and a fixed vector
Let us consider a random variable $Z$ with a probability density function $f$ with respect to the Haar measure on $\mathrm{SO}(3)$. Next, we consider two fixed normal vectors $u,v$ in $\mathbb{R}^3$. ...
user528399
4
votes
1
answer
123
views
Borel measures on the Martin boundary and the Poisson-Martin representation theorem
I have been studying the construction of the Martin boundary on a discrete set $X$ admitting an irreducible transient random walk $(X,P)$ from Wolfgang Woess' book titled "Random Walks on Infinte ...
- 101
1
vote
1
answer
144
views
Ornstein Uhlenbeck process with discontinuous drift
This question is a modified version of this unanswered question asked on MSE, which mainly concerns an Ornstein-Uhlenbeck process with discontinuous drift on $\mathbb R^n$(for simplicity let $n=2$ for ...
- 163
0
votes
1
answer
108
views
RMT for modified Wishard matrix $Y'Y$ (where $i$th row of $Y$ is zero if $|x_i^\top u| \le \theta$; else it equals $x_i$)
Let $n$ and $d$ be positive integers tending to infinity such that $d/n \to \phi \in (0,\infty)$. Let $X$ be an $n \times d$ random matrix with iid rows $x_1,\ldots,x_n$ from $N(0, \Sigma)$, where $\...
- 6,853
1
vote
1
answer
127
views
If $\pi$ is a coupling between $f_*\mu_X, g_*\mu_Y$ and $\pi = (f(x),g(y))_* \sigma$, then $\sigma$ is a coupling between $\mu_X,\mu_Y$
I am trying to read this paper: "The Gromov-Wasserstein distance between networks and stable network invariants" https://arxiv.org/abs/1808.04337. In this paper, they have the following ...
- 305
0
votes
1
answer
81
views
Stochastic Geometric Progression [closed]
Let $\mu_1, \mu_2, \ldots, \mu_n, \ldots \in \mathbb{R}$, let $\sigma_1, \sigma_2,
\ldots \in [0, \infty)$ be sequences of numbers.
Let $z_1, z_2, \ldots, z_n, \ldots$ be independent random variables ...
- 13
0
votes
0
answers
51
views
Power expectation involving a Poisson process
Consider a Poisson process $N_t$ with intensity $\lambda>0$ and let $x$ be a real-valued number. In principle, from the properties of the Poisson distribution, we have:
\begin{align}
\mathbb{E}(x^{...
- 171
1
vote
1
answer
114
views
Is a $\sigma$-algebra generated by complete independent $\sigma$-algebras also complete?
$
\newcommand{\cA}{\mathcal{A}}
\newcommand{\cB}{\mathcal{B}}
\newcommand{\sP}{\mathscr{P}}
$
Let $(\Omega, \cA, \mu)$ be a probability space and $\cA_1, \cA_2$ sub $\sigma$-algebras of $\cA$. Let $\...
- 825
7
votes
0
answers
134
views
Why does this oddly nice lognormal shape come out of tree?
I was reading this paper and came across the Euclid tree. For a simple version of this tree, consider an infinite binary tree rooted with the triple $(1,2,3)$. Then for each vertex $(x,y,z)$, its left ...
- 71
0
votes
0
answers
65
views
Talagrand/Bousquet's inequality for U-processes
I have a U-process of the form
$$\left\lbrace Z_n(g) := \frac{1}{n^2} \sum_{1 \leq i,j \leq n} (g(S_i) - E[g(S_i)] )(g(S_j') - E[g(S_j')]) : g \in \mathcal{G} \right\rbrace,$$
where $S_1,\ldots,S_n,...
- 301
2
votes
1
answer
150
views
Can we find background noise for every Følner sequence in a countable amenable group?
Let $G$ be a countable amenable group. We consider sequences $(z_g)_{g\in G}$ of complex numbers with $|z_g|=1$ for all $g\in G$.
I will say $(z_g)_{g\in G}$ is background noise for a (left-)Følner ...
- 10.6k
0
votes
0
answers
153
views
Inequalities on the distribution of the maximum of the normalized sum $\max_{k = 1,\dots,n} \frac{|S_k|}{\sqrt{k}}$
Let $\{X_i\}_{i\in\mathbb{N}}$ be i.i.d. random variables with $\mathbb{E}(X) = 0$,$\mathbb{E}(X^2) = \sigma^2$ and finite moments. Let $S_k = \sum_{i = 1}^{k} X_i$ and consider the normalized ...
- 63
4
votes
2
answers
246
views
Rigorous interpretation of the generalized variance
Let $X=(X_1,\ldots,X_d)$ be a $d\text{-}$dimensional, square-integrable random vector, and let $\Sigma$ denote its covariance matrix. The quantity $\det(\Sigma)$ is known in statistics as the ...
- 234
5
votes
1
answer
226
views
A polynomial identity involving Wick ordering of a complex power
The problem is related to the paper 1509.02093 by Oh and Thomann, where the authors considered the 2D Wick ordered NLS.
Let $g=a+ib$ be a complex number. Then it is claimed (see (2.7) in the paper and ...
- 333
0
votes
0
answers
89
views
Stein's Lemma for conditional expectation?
Let $X=(X_1,\ldots,X_d)$ be a standard normal random vector in $\mathbb R^d$, let $m:\mathbb R^d \to \mathbb R$ be a function, and let $E=E_m$ denote the expectation operator conditioned on $m(X) > ...
- 6,853
0
votes
0
answers
34
views
Sub-additiviy of the log-Sobolev constant without independence
If two random variables $X$ and $Y$ verify the log-Sobolev inequality, what can we say about the log-Sobolev constant of their sum $X+Y$?
If they are independent, we know that
$$
c_{LS}(X+Y) \leq c_{...
0
votes
0
answers
87
views
Parameter derivative of the confluent hypergeometric function
Let $X$ follow a normal distribution with mean $\mu$ and variance $\sigma^2$. Mathematica gives
$$
E[\log|1+X|]=\frac{1}{2}\biggl(-\gamma-\log 2+2\log\sigma-\frac{\partial}{\partial a}{}_1 F_1\biggl(0,...
- 73
2
votes
0
answers
118
views
the projection distribution induced by integral points on the sphere
Let $A=\{\mathbf{v} \in \mathbb{Z}^{n}: \|\mathbf{v}\|^2= m \}$ and a fixed $\mathbf{y}\in \mathbb{R}^n$, the norm here refers to the Euclidean norm.
Suppose $\mathbf{x}$ is a uniform distribution on ...
- 253