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.
908 questions
8
votes
1
answer
1k
views
Conditional law as a random measure and convergence of random measures
I'm looking for a reference book or article for the following two facts. In both statements, a Polish space $E$ and an ambient probability space $(\Omega, {\cal A}, \Pr)$ are given, and I consider ...
- 2,560
8
votes
1
answer
969
views
Probabilities independent of ZFC?
Hi guys,
is it possible to change the probability of an event via forcing? More precisely, is there an innocent looking question on the probability of "something" whose answer is independent of ZFC?
...
- 165
8
votes
5
answers
3k
views
Another colored balls puzzle (part II)
The same colleague as in Another colored balls puzzle asked me the following variant which she called "part II".
Imagine you have $n$ balls in a bag that are colored from $1$ to $n$. At each turn ...
8
votes
1
answer
726
views
continuity of the Boltzmann entropy in the Wasserstein metric
For Lebesgue-absolutely continuous probability measures $\rho\ll \mathcal{L}^d$ in the whole space $\mathbb{R}^d$ with finite second moments (i-e $\rho\in \mathcal{P}^2_{ac}(\mathbb{R}^d)$), let
$$
\...
- 5,380
8
votes
6
answers
761
views
Diffusion sample paths as deformed Brownian sample paths
Suppose $X$ is a non-explosive diffusion with dynamics
$dX_t = \mu(X_t)dt + \sigma(X_t)dW_t$,
where $W$ is a standard Brownian motion. My intuition about $X$ is that if $\mu$ and $\sigma$ are ...
- 1,666
8
votes
4
answers
8k
views
Is there MDPs (Markov Decision Process) which have a non deterministic optimal policy?
I'm working on Markov Decision Process and I have not found yet an example of MDP that has a stochastic (non deterministic) optimal policy. Is there MDPs that have a stochastic optimal policy or is it ...
- 254
8
votes
1
answer
2k
views
Van Den Berg-Kesten-Reimer inequality
Van Den Berg-Kesten-Reimer inequality
Let $n$ be a positive integer. For $i\in[n]$, let $\Omega_i$ be a finite set and $\mu_i$ a probability measure on it. Set $\Omega=\Omega_1\!\times\!\ldots\!\...
- 148
8
votes
1
answer
527
views
A q,t-extension of Plancherel Measure thru Yang-Mills Theory ?
Buried in the physics paper by Nekrasov and Okounkov, a strange identity is proven:
$$ \prod_{n > 0} (1 - q^n)^{\mu^2-1} = \sum_{\mathbf{k}} q^{|\mathbf{k}|} \prod_{\square \in k} \left( 1 - \frac{\...
- 22.8k
8
votes
2
answers
990
views
What is the tropical Robinson-Schensted-Knuth correspondence?
And what are it's applications? A conceptual explanation would be great! Is there an expository note about this somewhere?
Some references have already appeared in the answers and comments below. To ...
- 85.6k
8
votes
2
answers
1k
views
Does Multiplicative Version of Azuma's Inequality Hold?
It is known that there are multiplicative version concentration inequalities for
sums of independent random variables. For example, the following
multiplicative version Chernoff bound.
Chernoff bound:...
- 175
8
votes
1
answer
1k
views
Do the converses of [weak law of large numbers / central limit theorem] hold?
Let $\; X_0,X_1,X_2,X_3,...\;$ be independent and identically distributed (real-valued) random variables.
1.
Suppose $\frac1n \cdot\sum\limits_{m=0}^n X_m$ converges in probability. Does it follow ...
user5810
8
votes
3
answers
2k
views
References request: constructive quantum field theory
I am taking a course this semester on QFT, which deals much with constructive quantum field theory. Some of its topics so far involve relationships between non-Gaussian probability measures,Feynman ...
- 663
8
votes
2
answers
562
views
When do iterated conditional expectations converge?
Take a probability space $(\Omega,\mathcal{F},\mathbf{P})$ and random variable $X$ satisfying $\mathbf{E}[|X|]<\infty$.
Define the iterated expectations of X as follows: $X_0 = X$, and, ...
- 1,068
8
votes
3
answers
4k
views
What is the probability that 4 points determine a hemisphere ?
Given 4 points ( not all on the same plane ), what is the probability that a hemisphere exists that passes through all four of them ?
- 383
8
votes
1
answer
4k
views
Skellam distribution: Deep connection between Poisson distributions and Bessel function?
The probability mass function for the Skellam distribution for a count difference $k=n_1-n_2$ from two Poisson-distributed variables with means $\mu_1$ and $\mu_2$ is given by:
$$
f(k;\mu_1,\mu_2)= ...
- 5,935
8
votes
3
answers
2k
views
randomness in nature [closed]
What is the explanation of the apparent randomness of high-level phenomena in nature?
For example the distribution of females vs. males in a population (I am referring to randomness in terms of the ...
- 307
7
votes
3
answers
6k
views
Concentration results for inner products of two independent random gaussian vectors
Hi,
I wanted to know if there are standard results on concentration of absolute
value of inner products of two random vectors. Thus if $X, Y \in R^m$ are two
independent random vectors with each ...
- 71
7
votes
4
answers
3k
views
Upper bound of the expectation of sum of the absolute value pairs
We have two arrays $A,B$ of length $n$. All values are i.i.d drawn from same distribution on $[0,1]$. If we sort $A,B$ in non-decreasing order and let $A_{(i)},B_{(i)}$ denote the i-th value in the ...
user124861
7
votes
1
answer
222
views
Bound on queries to a tree with unusual probabilities
Consider a tree $\mathcal{T}(r) = (V,E)$ rooted at $r \in V$. Let $\kappa_r: V \longrightarrow [0,1]$ such that $\sum_{v \in V} \kappa_r(v)^2 = 1$. Furthermore, for any given vertex $v \neq r$, $\...
- 209
7
votes
5
answers
682
views
Bound on sum of complex summands involving binomial coefficients
I am trying to find the asymptotic behavior of the sum:
$$ \sum^n_{i=0} \begin{pmatrix} 2n \\ i \end{pmatrix} x^i y^{2n-i}$$
as $n\rightarrow\infty$. Here $x$, $y$ are complex numbers and I have $|x|...
- 93
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
0
answers
452
views
Does the law of a Feller Process on a non-locally-compact Polish space depend continuously on the initial condition (in Skorohod path-space)?
I am sure this is written down somewhere but cannot find it.
Consider a Polish space $E$ and a strong Markov process $(X_t)_{t\ge 0}$ with values in $E$ and cadlag paths. More precisely, we have a ...
- 888
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
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
261
views
Comparison of several topologies for probability measures
Let $X$ be a compact metric space and denote $\mathcal M(X)$ the set of probability measures on $X$. For $\mu\in\mathcal M(X)$ we write $\operatorname{supp} \mu$ for the support of $\mu$. As is well ...
- 243
7
votes
1
answer
757
views
Length of nearest neighbor path in travel salesman problem
Given $n$ nodes uniformly distributed in $[0,1]^2$, consider the nearest neighbor algorithm to solve traveling salesman problem, i.e., each time I select the nearest neighbor not visited so far as the ...
- 367
7
votes
1
answer
355
views
Injectivity of matrix "fingerprint"
Consider $S$, the set of all $n\times m$ real matrices with specified row sums $(r_1,...,r_n)$, column sums $(c_1,...,c_m)$, and strictly positive entries.
For any matrix $A$, define
$$ D_A(i,j)=\...
- 3,979
7
votes
1
answer
309
views
The time to drift a binary string from one state to another via deterministic selection of two possible random bit mutation procedures
I have some length $L$ binary string consisting of an ordered array of bits: $(b_1, b_2, ..., b_{L})$, where all bit values $b_i$ are originally set to zero. I'd like a particular set of $n$ bits to ...
- 123
7
votes
1
answer
857
views
Trace of inverse of random positive-definite matrix in high dimension?
Consider a random matrix $A \in \mathbb{R}^{n\times n}$ with i.i.d. entries, with symmetric law and finite variance. I am curious about the behavior of $$\mathrm{Tr}( (A^T A + \lambda \mathrm{Id})^{-1}...
- 2,306
7
votes
0
answers
519
views
Squaring random Schwartz distributions
Let $\mu$ denote the centered Gaussian measure on $S'(\mathbb{R}^d)$ with covariance
$$
\mathbb{E}
[\phi(f)\phi(g)]=\int_{\mathbb{R}^d} \frac{\overline{\widehat{f}(\xi)}
\widehat{g}(\xi)}{|\xi|^{d-2[\...
7
votes
2
answers
605
views
Gaussian and the convex hull of moment curves
Let $c_1,\dots, c_d$ be the first $d$ moments of the standard normal distribution. Does the point $(c_1,\dots, c_d)$ lie in the convex hull of the set $\{(t,t^2,\dots,t^d)\colon t\in[-b,b]\}$, for a ...
- 1,127
7
votes
0
answers
245
views
Distribution of trivial subset sums
Suppose I have a set $S$ of $n$ integers picked independently, uniformly at random from $[-L, L].$ Let $z(S)$ be the number of subsets of $S$ which sum to zero. The question is: what is the ...
- 96.4k
7
votes
1
answer
499
views
Moments of a random variable and of its conditional expectation
Let $X$ be a bounded random variable with $\mathbb{E}X=0$. Since $X$ is bounded, all its moments exist. Let $\mathcal{G}$ be any $\sigma$-field and let $Y:=\mathbb{E}[X|\mathcal{G}].$ I am interested ...
- 1,269
7
votes
1
answer
337
views
First Collision Time for k Random Walkers on a Torus
I consider $k$ random walkers on $\mathbb{Z}^{d}/n \mathbb{Z}^{d}$, the $d$-dimensional torus of side length $n$. More precisely, I will define a Markov chain $Z_{t} = (X_{t}[1], \ldots, X_{t}[k])$ ...
- 71
7
votes
1
answer
390
views
Combinatorial/probabilistic statements having $F_{\text{un}}$/$F_q$ geometric interpetation
$\newcommand{\Fun}{F_\text{un}}$There was lots of "Fun with $\Fun$" (field with one element) in recent years.
One of the points is that it provides bridge between geometrical and ...
- 24.9k
7
votes
2
answers
321
views
Random suborbits of a rotation
Let $u_n = x + n\alpha \pmod 1$ with $\alpha$ irrational. We know that $(u_n)_{n \geq 0}$ is dense in $\mathbb{R}/\mathbb{Z}$ (equivalently $(u_n)_{n \geq 0}$ visits every open interval infinitely ...
- 2,560
7
votes
2
answers
639
views
Is there an algebraically normal function from $\mathbb{Z}^{n}$ to $\{ 0 , 1\}$?
Definition: Let $h$ be a polynomial in $n$ variables, then :
$\gamma(h,r,R):=\{ v \in \mathbb{Z}^{n} : \vert h(v) \vert \leq r, \Vert v \Vert < R \}$
Let $\omega : \mathbb{Z}^{n} \to \{ 0 , 1\}$...
7
votes
4
answers
1k
views
Is the space of tempered distribution second countable?
Let $\mathcal S '(\mathbb R^d)$ be the space of Schwartz tempered distributions equipped with the weak-* topology. I need to know if this space is second countable, i.e. if this topology has a ...
- 630
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
$$
E\left[\...
- 153
7
votes
2
answers
1k
views
Edge probability for connected Erdős–Rényi model
Consider the Erdős–Rényi model $G_{n,p}$ with corresponding probability measure $\mathbb{P}_{n,p}$. For any two vertices $x,y$, $\mathbb{P}_{n,p}[E_{x,y}]=p$, where $E_{x,y}$ is the event that there ...
- 71
7
votes
0
answers
222
views
Projected polar chessboard measure convergence in total variation?
$\newcommand\R{\mathbb R}\newcommand\C{\mathbb C}\newcommand\ga{\gamma}$For natural $n$, let $E_n$ be the set of all points in $\R^2$ with "polar coordinates" $(r,t)$ in the set
$$F_n:=\...
- 128k
7
votes
1
answer
509
views
An order statistics problem with some interesting geometry
Let $a_n$ be a given sequence of positive numbers, and $X_n$ a sequence of independent random variables with each $X_n$ uniformly distributed on $[0, a_n]$.
Question: Let $N \geq 2$ be an arbitrary ...
- 6,213
7
votes
2
answers
613
views
Fractional Brownian motion of Riemann-Liouville type is not a semimartingale
Given a filtered probability space $(\Omega,\mathcal{F},\mathbb{F},\mathbb{P})$ satisfying the usual conditions, $B$ a standard one-dimensional Brownian motion and $H\in(0,1/2)$. Consider the process $...
- 199
7
votes
1
answer
3k
views
The question about Kolmogorov tightness criterion
We know about Kolmogorov Criterion for the tightness of a stochastic process $X_n(t)$
1.The sequence $(X_{n}(0))_{n\geq0}$ is tight.
2.There exist constants $\gamma\geq0$,$\alpha>1$, $K>0$ and ...
- 71
7
votes
1
answer
391
views
Idempotent splitting for Markov kernels
Let $X$ be a standard Borel space and $e : X \to X$ a Markov kernel. Suppose that $e$ is idempotent, that is $e \circ e = e$, or written out using the Chapman-Kolmogorov equation,
$$e(A|x) = \int_X e(...
- 6,406
7
votes
0
answers
162
views
Approximating any convex shape in $\mathbb{R}^d$ with a polytope having $\mathrm{poly}(d)$ facets
We denote by $V(A)$ the $d$-volume of any convex set $A$. Furthermore, given any two convex sets $A,B\in\mathbb{R}^d$, we denote by $V_{A,B}$ the $d$-volume of the symmetric difference $V\left(A \...
- 1,677
7
votes
1
answer
569
views
Singular Fisher information matrix and existence of unbiased estimators
I'm doing some research into the Cramer-Rao bound for time of arrival localization and have come across a rather strange result: the FIM is singular, but there exists an unbiased estimator. My ...
- 75
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
2
answers
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
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