# 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.

5,175 questions

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**1**answer

137 views

+50

### Showing $o(1)$ convergence for ratio of successive binomial tail probabilities

For a Binomial$(n,p)$ random variable $X$, I'm interested in showing that
$$
\frac{P(X>c)}{P(X>c-1)}=1-o(1)
$$
uniformly in $c\in\mathcal{R}$, where $\mathcal{R}$ is the range of interest (Note ...

**4**

votes

**1**answer

51 views

### The minimum of the reciprocals of some Poisson random variables

Let $X_1,\dots,X_k$ denote a collection of independent samples of a Poisson random variable whose mean also happens to be equal to $k$. Does the quantity $$k\boldsymbol{E}\min\left\{ \frac{1}{1+X_{1}}...

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**1**answer

72 views

### Estimating expectation of a slightly strange sum

Let $X$ be a random variable with support on the positive integers (you can assume $\mathbb{E}[X^2] <\infty$ if needed, or even higher moments if needed), and let $S(i)=\mathbb{P}(X\geq I)$. ...

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37 views

### Mathematics grade 12 probability [on hold]

Stella has 12 coins in her hands, six of these coins are Looney. She accidentally (at random) drops three of these points. Determine the probability that exactly two of the drop coins are loonies.

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**1**answer

47 views

### What is the expectation/variance of the GOE (Airy-1) point process on a partition of the real line?

Let $\chi^{\mathrm{Ai}}(I)$ denote the GUE (Airy-2) point process on the interval $I \subset \mathbb{R}$.
Soshnikov proved
\begin{align}
\mathbb{E}(\chi^{\mathrm{Ai}}(-T, +\infty)) &\sim \...

**-3**

votes

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36 views

### Calculating the probability of obtaining exactly four distinct values when a die is rolled six times [on hold]

What is the probability of getting
a) 4 distinct numbers (no order in the outcome e.g. 1,2,3,4 or 4,5,6,2 etc)
b) 5 distinct from rolling a die 6 times
So far I was able to calculate the ...

**2**

votes

**0**answers

69 views

### Markovian Control in a stochastic control problem

I have a very simple control problem.
\begin{align*}
V(0,X) &= \sup_{(C_t)_t} E_0 \left[ |X_t| 1_{C_t = 0} + C_t \right] \\
\text{ s.t. } & d X_t = C_t d B_t, \quad X_t \in [-1,1], C_t \ge 0,...

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**0**answers

22 views

### Asymptotics for a random set cover problem

Suppose you are given a positive integer $k$ and a probability distribution $f$ on the positive reals. I am interested in the limiting behavior of the following process as $n\to\infty$:
Create an ...

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**0**answers

46 views

### Ladder times of a Brownian motion with drift

Let $(B_s)_{s_\geq 0}$ be a standard Brownian motion and fix $t>0$. For $u>0$, set $T_u=\inf\{s>0, B_s+s t>u\}$. Now consider $x>0$ such that $\sup_{0 \leq s \leq x} (B_s+st)=B_x+xt$ ...

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vote

**2**answers

342 views

### Standard Brownian motion, Hölder continuous with exponent $\gamma$ for any $\gamma < 1/2$, not for any $\gamma \ge 1/2$

In some results on Hölder continuity with regards to standard Brownian motion, the following is asserted without proof.
It is not hard to see that for every $k < \infty$, and every $\epsilon >...

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vote

**1**answer

117 views

+50

### Time discretization in the Feynman-Kac formula with boundary conditions

I am applying the Feynman-Kac theory for solving a PDE with boundary conditions.
For the SDE simulation I use the Euler-approximation, which introduces a time-step $h$ for the Brownian Motion, and ...

**0**

votes

**1**answer

45 views

### Product of independent random variables and tail deconvolution

Suppose $X, Y$ are two independent non-negative random variables. The conditions
(i) $\mathbb{P}(X > t) = \frac{C}{t^p} + o(t^{-p})$
(ii) $\mathbb{P}(Y > t) = o(t^{-q})$ for any $q > ...

**13**

votes

**6**answers

3k views

### analog of principle of inclusion-exclusion

When I teach elementary probability to my finite math students, a common error is to mix up the concepts of disjointness and independence. At some point I thought that it might be helpful to some ...

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**0**answers

57 views

### Birthday Calendar Gaps [on hold]

I work at a company that posts a birthday calendar. I noticed that there was a string of four consecutive days with no birthdays. What is the probability of that happening?
Problem Statement
Given n ...

**3**

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**1**answer

1k views

### explicit expressions of the distribution of sums of i.i.d. logistic random variables

Where can I find the explicit expression of the distribution of the sum of n i.i.d. logistic random variables, for n=2,3,4...
The expressions given in "On the convolution of logistic random variables,...

**1**

vote

**1**answer

95 views

### Existence of certain event

Suppose that $X$ is an unbounded random variable such that $\operatorname EX=0$ and $\operatorname E|X|^q=1$ with some $q>2$. Only the distribution of $X$ matters, so the probability space can be ...

**7**

votes

**2**answers

809 views

### Differentiating an integral that grows like log asymptotically

Suppose I have a continuous function $f(x)$ that is non-increasing and always stays between $0$ and $1$, and it is known that
$$ \int_0^t f(x) dx = \log t + o(\log t), \qquad t \to \infty.$$
...

**0**

votes

**1**answer

42 views

### How to calculate the probability of 2 events happening in time series under only cdf information?

In time domain $0\rightarrow T$, there are two independent events $A$ and $B$.
$B$ follows Poisson Process with density $\lambda$. It's easy to get $P_B(t)$ which denotes $P_B(N(\tau+t)-N(\tau)\geq 1)...

**5**

votes

**1**answer

140 views

### Shannon entropy of $p(x)(1-p(x))$ is no less than entropy of $p(x)$

If $p(x)$ is a discrete probabilistic density function, one could construct another discrete probabilistic density function proportional to $p(x)[1-p(x)]$ with a corresponding partition function to ...

**-5**

votes

**0**answers

34 views

### Is the effect of Tr on Y identifiable conditioning on G? [closed]

enter image description here
I wonder if Tr and Y are independent conditioning on G? I am working on a causal inference problem, and I wonder whether and why the effect of Tr is identifiable if G is ...

**0**

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**0**answers

26 views

### p-Variation distance defines semi-martingales

Question
When, does the process $\tilde{X}_t$, defined path-wise by
$$
\tilde{X}_t(\omega)\triangleq \rho_{\frac1{2}}\left((y_t,\mathbb{Y}_t),(x_t(\omega),\mathbb{X}_t(\omega))\right),
$$
define a ...

**8**

votes

**2**answers

503 views

### Random Walks on high dimensional spaces

I've read on a paper that, in the two dimensional case, if you start from the origin and take steps of length one in arbitrary directions (uniformely on the unit sphere $S^1$, not left-right-up-down), ...

**1**

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**1**answer

38 views

### Jump size of process in proof of martingale CLT bounded

I'm currently trying to understand the proof of the final theorem of (Helland, I. S. (1982). Central limit theorems for martingales with discrete or continuous time) where I need the following:
For $\{...

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votes

**0**answers

110 views

### Metrics on finite groups and generalizations of central limit theorems for balls volumes (à la Diaconis-Graham)

In wonderful lectures by P. Diaconis "Group representations in probability and statistics, Chapter 6. Metrics on Groups, and Their Statistical Use" metrics on permutation groups are considered and ...

**5**

votes

**1**answer

165 views

### Relation between the two possible KL divergences of two distributions

Given that I know $$D\left(P\parallel Q\right)<\alpha,$$ can I say anything about $D\left(Q\parallel P\right)$ in terms of an upper bound on it?
Also, given this upper bound on $D\left(P\parallel ...

**3**

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**1**answer

67 views

### Powers of Frobenius norm of sum of random matrices

For $i= 1, \ldots, n$, let $A_i \in \mathbb{R}^{d \times d}$ be random i.i.d. matrices with $E [A_i] =0$.
Can we relate (upper bound) $E[\|\sum_{i=1}^n A_i \|_F^4]$ to $E[\|A_i\|^4_F]$ ?

**3**

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72 views

### Upper bounding the start of a distribution's CDF, given bounds on first moments

Take nonnegative random variables $X$ whose first $K$ moments have bounds:
$\mu^k\leq E[X^k]\leq c\mu^k$ for each $k=1,\dots,K$.
In this case what is an upper bound for $P(X\leq O(\mu))$?
I am ...

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votes

**1**answer

171 views

### Approximating $\mathbb{E}[1/X]$

I am well aware (as for instance discussed here https://math.stackexchange.com/questions/910846/is-it-true-in-general-that-e1-x-1-ex) that for an arbitrary random variable $X$ it does not hold that $\...

**4**

votes

**1**answer

105 views

### Is there a counterexample to the Thin Shell Conjecture for sub-exponential distributions?

The thin shell conjecture states that there exist universal constants $C,c>0$ such that every logconcave isotropic random vector $X$ in every Euclidean space $\mathbb{R}^n$ satisfies
$$\mathbb{P}\...

**3**

votes

**2**answers

175 views

### Example of measure for some algebra over N

$\mathcal F$ is set of events. Can you give an example of some algebra $\mathcal A$ over $\mathbb N$ and a non-zero finitely additive measure $\mu$ on this algebra, which has a countably additive ...

**14**

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**1**answer

385 views

### Inequalities for marginals of distribution on hyperplane

Let $H = \{ (a,b,c) \in \mathbb{Z}_{\geq 0}^3 : a+b+c=n \}$. If we have a probability distribution on $H$, we can take its marginals onto the $a$, $b$ and $c$ variables and obtain three probability ...

**3**

votes

**1**answer

109 views

### Expected size of the smallest preimage set

Let $f$ a function from $\{0, 1 \}^{2n}$ to $\{0, 1 \}^{n}$ uniformly picked at random. I would like to have an estimation of the expected size of the smallest premiage set of $f$, more formally $\...

**12**

votes

**4**answers

690 views

### Good introduction to statistics from a algebraic point of view?

There are already lots of questions on this subject like
Is there an introduction to probability theory from a structuralist/categorical perspective?
Is there a combinatorial/topological treatment ...

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**0**answers

79 views

### On a much weaker version of the Normal conjecture

I would like to ask you about the following question. It is conjectured that every algebraic irrational number is normal (absolutely normal). I know the result by Bugeaud and Adamczewski about the non-...

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**0**answers

104 views

### Probability of degree $0$ gcd between every pair of random homogeneous polynomials shifted by random primes?

Take $n,d,B\in\mathbb Z_{>0}$ with $d<n$ and denote $\mathcal M_{n,d}$ to be set of all total degree $d$ monomials in $n$ variables $x_1,\dots,x_n$ with degree $\leq1$ in each variable (...

**0**

votes

**1**answer

43 views

### Anti-concentration: upper bound for $P(\sup_{a \in \mathbb S_{n-1}}\sum_{i=1}^na_i^2Z_i^2 \ge \epsilon)$

Let $\mathbb S_{n-1}$ be the unit sphere in $\mathbb R^n$ and $z_1,\ldots,z_n$ be a i.i.d sample from $\mathcal N(0, 1)$.
Question
Given $\epsilon > 0$ (may be assumed to be very small), what is ...

**2**

votes

**1**answer

455 views

### Is the ito integral $\int_0^t \operatorname{sign}(W_s)\mathrm{d}W_s$ a Brownian motion?

Consider the ito integral of the sign of the Brownian motion $W_s$ from $0$ to $t$:
$$\int_0^t \operatorname{sign}(W_s)\,dW_s$$
This appears for instance in the Tanaka formula. I think this is a ...

**2**

votes

**0**answers

79 views

### The Kleisli Category of the Monad of Measures of Finite Support and its composition formula

In this post, I was introduced to the monad of finitely supported measures.
$HX$ is the set of finitely supported measures on $X$, with monad structure defined as for the Giry monad. Let's call this ...

**5**

votes

**2**answers

167 views

### Improving equi-integrability for a family $\mathcal F$ in $L^1(\Omega)$

Let $\mathcal F$ be a weakly compact subset of $L^1(\Omega)$. Dunford–Pettis theorem says that $\mathcal F$ is uniformly integrable. Also, by de la Vallée-Poussin theorem we can find an increasing ...

**3**

votes

**2**answers

104 views

### Expectation of the exitpoint distance for the symmetric random walk

Let $\nu(x)$ be a symmetric probability measure with respect to the origin on $x\in[-1,1]$ such that $\nu(\{0\})\neq 1$.
Consider a random walk started at $S_0=0$, denoted $S_n=X_1+\dotsb+X_n$, ...

**-1**

votes

**0**answers

32 views

### A limit for two correlated variables [on hold]

Suppose we have two correlated Normal variables $X_A$ and $X_B$, with respective standard deviation $A$ and $B$, and correlation $\rho$. The variable $X_A + X_B$ has a standard deviation in excess (...

**5**

votes

**1**answer

495 views

### What is the six positive real number for a dice producing a highest chance?

Say there is a dice with six faces, each face has a positive real number different from others. There is a chessman on the origin of the number axis. In each trial, the dice rolls infinite times. ...

**2**

votes

**1**answer

100 views

### bp continuity of Markov operators / semigroups

Let $B_b(E)$ be the space of bounded measurable functions on some Polish space $E$ endowed with the supremum norm. It seems quite classical that Markov semigroups $P_t:B_b(E)\to B_b(E)$ are in one to ...

**2**

votes

**1**answer

135 views

### Fourier transform of a simple random walk

Consider the usual simple random walk on $\mathbb{Z}$, taking steps of +1 or -1 with equal probability. Of course, each trajectory corresponds uniquely to an element of $\{-1,1\}^\infty$. Now, there ...

**2**

votes

**1**answer

1k views

### Random walk in a circle

Suppose we have a circle of radius $R$ centered in the origin of a $x,y$ cartesian reference frame. A particle starting from the center of the circle is moving with a speed given by:
$$\overrightarrow{...

**2**

votes

**1**answer

99 views

### How to uniformly sample a square (0,1)-matrix whose trace is 0 and whose row sums and column sums are the same?

Happy New Year!
Suppose I would like to sample a $n \times n$ (0,1)-matrix whose trace is 0, and whose row sums and column sums are all $m$ with $1 \le m \le n-1.$ How can I sample this matrix ...

**6**

votes

**0**answers

66 views

### mean distance between subspaces

Consider the Haar measure $\mu$ on the Grassmannian $G(n, k)$ of $k$-dimensional subspaces in $\mathbb{R}^n.$ Now, pick pairs of subspaces uniformly at random with respect to $\mu,$ and compute their ...

**4**

votes

**2**answers

2k views

### Eigenvalues of random Hamiltonian matrices

A real $2n\times 2n$ Hamiltonian matrix has the general form
$$H=\begin{pmatrix}
A & B \cr
C & -A^T
\end{pmatrix}
$$
where $A$, $B$ and $C$ are $n\times n$ matrices, and $B$ and $C$ are ...

**1**

vote

**0**answers

61 views

### Is there solution to a backward stochastic differential equation with $yz$ in the generator?

Please consider the following backward stochastic differential equation:
$$ Y(s)=\xi+\int_{s}^{T}a(u)Y(u)+b(u)Y(u)Z(u)du-\int_{s}^{T}Z(u)dW(u)$$
Here $a(s)$, $b(s)$ are square-integrable stochastic ...

**4**

votes

**1**answer

66 views

### Sampling uniformly from the vertices of a polytope

I'm looking for a reference on how to sample uniformly (and preferably efficiently, elegantly, etc.) from the vertices of a polytope. I gather that enumerating vertices is hard. I also note the MO ...