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.
8,667
questions
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Is the integer factorization into prime numbers normally distributed?
Edit:
Sorry, for the inconvenience: I have edited the question, since there was a misconception in my thinking.
Let $P_1(n) := 1$ if $n=1$ and $\max_{q\mid n, \text{ } q\text{ prime}} q$ otherwise, ...
- 2,462
3
votes
1
answer
145
views
Does $L^1$ boundedness and convergence in probability imply convergence in probability of the Cesaro sums?
Let $X_n$ be a sequence of random variables with uniformly bounded $L^1$ norm. Suppose $X_n$ converges in probability to $X \in L^1$.
Is it true that the Cesaro sums $Y_n := \frac{1}{n} \sum_{i = 1}^n ...
- 4,852
0
votes
0
answers
70
views
Urn model and recursion
We have an urn with $n$ white balls. In each iteration we pick a ball at random. If it's white, we paint it red and return it to the urn. If it's already red, we discard it. We lose the game if (after ...
- 298
10
votes
1
answer
417
views
Where does the definition of ($\infty$-)groupoid cardinality come from?
The cardinality of a finite set $X$ is the number of its elements. Once you know that, you would define the groupoid cardinality of a $\infty$-groupoid $X$ as the quantity
$$\lvert X\rvert := \sum_{[x]...
- 599
2
votes
1
answer
182
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Can we construct close martingales if their terminal marginal laws are close?
Let $M=(M_t)_{0\le t\le 1}$ be a real-valued continuous martingale. Let $\mu := {\rm Law}(M_1)$ and $\varepsilon \in (0,1)$. For any $\nu$ satisfying $W_2(\mu,\nu)\le \varepsilon$, can we construct ...
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4
votes
1
answer
199
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Truncated fixed point and regularity structures
This question arose via the helpful comments on this earlier question.
In Hairer's theory of regularity structures, fixed point problems are first solved in certain spaces $D^\gamma$ which consist of ...
- 345
9
votes
2
answers
646
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On martingale convergence
Let $(X_t)_{t\ge0}$ be a martingale with continuous paths. It was previously shown here and here that then it is impossible that $X_t\to\infty$ almost surely as $t\to\infty$.
Is it possible that there ...
- 118k
4
votes
1
answer
264
views
Examples of Borel probability measures on the Schwartz function space?
Let $\mathcal{S}(\mathbb{R}^d)$ be the Frechet space of Schwartz functions on $\mathbb{R}^n$. Its dual space $\mathcal{S}'(\mathbb{R}^d)$ is the space of tempered distributions.
Minlos Theorem as ...
- 2,749
4
votes
2
answers
330
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Another curious martingale
This is a natural follow up question to A curious martingale.
Does there exist an almost surely continuous martingale that converges in probability to $+\infty$?
Note: We say a process $X_t$ converges ...
- 4,852
0
votes
1
answer
56
views
Correlation for a Sum of random vectors from the sphere multiplied by matrices
Let $A_1,\dots,A_n\in \mathbb{R}^{d\times d}$ be some matrices. Suppose we sample $x_1,\dots,x_n,y\sim \mathcal{U}(\mathbb{S}^{d-1})$, where $\mathcal{U}(\mathbb{S}^{d-1})$ is the uniform distribution ...
- 155
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votes
1
answer
95
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Will the KL divergence between two distributions decrease after passing the fixed channel?
Suppose there are two continuous distributions whose pdfs are $p_1$ and $p_2$, defined on a common support $\mathcal{X}$. Suppose that there is a conditional pdf (the channel) $M:\mathcal{X}\times \...
- 17
3
votes
0
answers
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An analogue of Kolmogorov's law of the iterated logarithm
Let $X_1,\dots,X_n$ be independent random variables, each with mean zero and finite variance. Let $S_n = \sum\limits_{k=1}^n X_k$ and $s_n^2=ES_n^2$. We say the sequence obey the law of iterated ...
- 131
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2
answers
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A curious martingale
Does there exist an almost surely continuous martingale $X$ with $X_t \to +\infty$ almost surely?
Remark: Note that such a martingale exists in discrete time, or equivalently in continuous time if the ...
- 4,852
3
votes
1
answer
171
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Continuity of conditional expectation
Let $X$ be a compact metric space, $\mu$ a Borel probability measure on $X$ and $f: X \to \mathbb{R}$ a continuous function. Consider an increasing sequence of $\sigma$-algebras $A_n$ so that for all $...
- 31
1
vote
1
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196
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A representation formula for the expected value of a stochastic process at a random time
Let $X$ be a continuous stochastic process, and $\tau$ an almost surely positive random variable, not necessarily a stopping time with respect to the natural filtration $\mathcal F_t$ of $X$.
We write ...
- 4,852
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votes
1
answer
78
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Existence and uniqueness of a posterior distribution
I am wondering about the existence and uniqueness of a posterior distribution.
While Bayes' theorem gives the form of the posterior, perhaps there are pathological cases (over some weird probability ...
1
vote
1
answer
176
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Does an uncountable convex combination of elements of a set lie in the convex hull of the set in finite dimension?
Suppose that $\mathcal{F}$ is a finite-dimensional vector space and that $C\subseteq\mathcal{F}$ is a convex subset of $\mathcal{F}$.
Is it true that an uncountable convex-combination of elements of $...
- 121
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votes
0
answers
54
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Tight Chernoff Concentration for Bernoulli(p) RV
I remember seeing a research paper on tight concentration of Bernoulli(p) random variable in terms of $p$.
What I mean is that they used a stronger upper bound for the MGF than $E[e^{s(X-p)
}]\leq e^{...
- 113
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votes
5
answers
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How to show a function converges to 1
Consider the following recurrence relation in two variables:
$$f(a, b) = \frac{a}{a+b} f(a-1,b)+ \frac{b}{a+b}f(a+1,b-1) $$
for positive integers $a$ and $b$,
with the boundary conditions $f(0,b)=0$ ...
- 3,195
1
vote
3
answers
253
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Probability that a 1-D zero mean random walk remains at each step inside a square root boundary
Let $W_n = \sum_{i = 1}^{n}X_i$ be a random walk on $\mathbb{R}$, where the increments $X_i$ are i.i.d., symmetric around the origin ($X\sim -X$), such that $-1\leq |X(\omega)| \leq 1$ $\forall\omega\...
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2
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262
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Paper request : “A random integral and Orlicz spaces” from K. Urbanick
I tried all my methods to find the paper :
“K. Urbanik and WA Woyczynski, A random integral and Orlicz spaces, Bulletin de l'Académie Polonaise des Sciences, Série des sciences mathématiques, ...
3
votes
2
answers
260
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Definition of weak conditional convergence of random variables
I am looking for a definition of conditional convergence. Suppose that $X_1, X_2, \dots, X_n$ are $\mathbb R$-valued random variables with finite second moments, and $W_1, W_2, \dots, W_n$ are iid $\...
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votes
1
answer
210
views
Expected norm of a product of Gaussian matrices
Suppose $C_n$ is a product of $n$ $d\times d$ matrices with IID entries coming from standard normal. The following appears to be true. Is there an elementary proof?
$$E[\|C_n\|_F^2]=d^{n+1}$$
This ...
- 2,380
4
votes
2
answers
451
views
Probabilty measures that are both discrete and continuous
Consider a measure space $\left(S,\Sigma\right)$ where each state $s\in S$ can be expressed as $s=\left(x,c\right)$, where $x\in\mathbb R$ and $c\in\mathbb N$. E.g., suppose $s$ denotes the state of a ...
- 91
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votes
1
answer
252
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On Impossible events
Let's consider a continuous random variable $X$ distributed according to a PDF $p(x):\mathbb{R}\mapsto \mathbb{R}_{\geq 0}$.
Is there a meaningful sense in which one could say that for any $x_0:p(x_0)=...
- 161
2
votes
1
answer
89
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Why do distributional isomorphisms preserve joint distribution?
Let $(\Omega,\mathcal{A},\mu)$ and $(\Omega',\mathcal{A}',\mu')$ be probability spaces and
$$f_1,\ldots,f_n:\Omega\to\mathbb R,\; f_1',\cdots, f_n':\Omega'\to\mathbb{R}$$
be integrable random ...
1
vote
1
answer
218
views
Question about the proof of Propp-Wilson algorithm in Olle Häggström's book
Update: Oops! This is a stupid question and should be closed. The definition of the probability space that contains events $A_i$ requires using a single random stream.
I have difficulties ...
- 545
2
votes
1
answer
105
views
Thinning of (mixed) binomial point process
Let $N= \sum_{i=1}^M \delta_{X_i}$ be a mixed Binomial process over $(\mathbb X, \mathcal X)$. I.e., $M$ is a $\mathbb Z_+$ valued random variable with probability mass function $q_M(m)$, $m=0, 1, \...
- 123
1
vote
1
answer
132
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Kolmogorov inequality for Bernoulli random variables
This question is also asked on math stackexchange. The question is about one inequality which shows in Kolmogorov's paper (inequality (3.1)) but is not proved. The inequality says that, if we assume $...
- 23
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vote
0
answers
65
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What do $\gamma$-radonifying operators radonify?
In the second volume of their Analysis in Banach Spaces, Hytönen et al. introduce the notion of $\gamma$-radonifying operator more or less as follow.
Let $(\gamma_j)_{j\in\mathbf N}$ be a sequence of ...
- 335
2
votes
0
answers
94
views
Random walk with same directions and different step sizes
Let $X\sim e^{iU}$, where $U$ is uniformly distributed on $(0, 2\pi]$. Define $\chi_1, \cdots, \chi_t$ as i.i.d. random variables with the same distribution as $X$.
Consider the following two random ...
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7
votes
2
answers
325
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Matrices over $\mathbb{F}_p$ that have nonzero determinant under any element permutation
$\DeclareMathOperator\GL{GL}$A few months ago, the following discussion took place on AoPS, concerning matrices that have nonzero determinant under any permutation of their entries: https://...
- 437
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votes
0
answers
51
views
Sum of Skellam-distributed number of random variables
Suppose $X_i$ are i.i.d, and $N \sim \text{Skellam}(\mu_1$, $\mu_2$). Is it possible to find a closed form for the p.d.f of $S_N$, defined by $S_N = X_1 + \cdots X_N$ when $N \ge 0$, and $S_{-N} = -...
- 11
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votes
1
answer
75
views
Weak convergence to product measure form conditional convergence of marginals
$\newcommand\Ac{\mathcal A}$
$\newcommand\BL{\operatorname{BL}}$
$\newcommand\reals{\mathbb R}$
$\newcommand\eps{\varepsilon}$
$\newcommand\pr{\mathbb P}$
$\newcommand\ex{\mathbb E}$
$\newcommand\...
- 1,659
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0
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Construct a Bregman divergence from Wasserstein distance
I was wondering whether one has studied the Bregman divergence arising from a squared Wasserstein distance.
More precisely, let $\Omega\subset \mathbb{R}^d$ be a compact set and $c\in \Omega\times \...
- 483
2
votes
1
answer
145
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Some identities from graph theory and probability
The other day I attended a seminar about probability. I took some notes and I am now revising it and trying to understand some steps that were omitted by the lecturer. To formulate my question, ...
- 1,265
3
votes
0
answers
126
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Stochastic braids
I am definitely not a probability guy, but I'd like to have a heuristic answer to the following question: do $n$ independently moving points in an open, connected, bounded region $R$ tend to "...
- 1,944
1
vote
0
answers
50
views
functional resembling random variable norm
Let $N\subset\mathbb{R}$ be finite
and define
$$
A(N)
=
\sum_{i
\in\mathbb{Z}
}\min\{
2
^i,
|N\cap[2^i,2^{i+1})|
\},
$$
where
$\mathbb{Z}=\{0,\pm1,\pm2,\ldots\}$
and
$|\cdot|$ denotes set cardinality.
...
- 6,061
3
votes
1
answer
151
views
Distribution of the change in Hamming distance between two sequences
Suppose I have two strings $s_1$ and $s_2$ of equal length $L$ with an alphabet size of $k \geq 2$. Suppose further that these two strings initially have a Hamming distance equal to $d_0 = H(s_1,s_2)$....
- 31
-1
votes
1
answer
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Does convergence in probability implies L^1 convergence in probability density function, for bounded random variables?
Let $X_1,X_2,\cdots$ and $Y$ be random variables on $[0,1]$ with smooth density functions $f_1,f_2\cdots$ and $f$. Suppose $X_n\to Y$ in probability. Can we get some convergence of the density ...
4
votes
1
answer
104
views
Reflecting Brownian motion in disk
What is the transition density function of a reflecting Brownian motion in $\mathbb D \overset{\mathrm{def}}= \{z \in \mathbb C : \lvert z\rvert < 1\}$ and how to compute it?
The transition density ...
- 75
7
votes
1
answer
135
views
Nearest neighbors on random complete graph
Consider the complete graph on $2n$ vertices, where the ${2n \choose 2}$ edges have distinct lengths in uniform random
order. So each vertex $v$ has a nearest neighbor $N(v)$, across the shortest ...
- 216
1
vote
0
answers
143
views
Marcus-SDE to Itô-SDE
In the field of stochastic calculus, everyone knows the Itô and Stratonovich integrals, as well as the conversion from Stratonovich to Itô SDEs.
The Stratonovich integration has the particularity of ...
- 11
0
votes
1
answer
182
views
Concentration inequalities for random sampling without replacement
Let a population $C$ consist of $N$ values $c_1, c_2, \cdots, c_N$, with $c_i\in \{0,1\}$. Let $X_1, X_2, \cdots, X_n$ denote a random sample without replacement from $C$ and let $Y_1, Y_2, \cdots, ...
- 105
0
votes
1
answer
221
views
How far does a random walker travel before returning to the origin?
Consider a (continuous time) simple symmetric random walk on $\mathbb Z$, starting from the origin. Let us denote this random walk by $\{X_t: t\geq 0\} $. It is well known that this random walk is ...
- 59
1
vote
0
answers
42
views
From large deviations to finite time probability tails
Cross-Post from Math.SE
Let $(B_t)$ be a standard $d$-dimensional Brownian motion. It is well-known that
$$\mathbb P(\sup_{s\in[0,t]}|B_s|\ge \alpha) \le 4de^{-\alpha^2/2dt}.$$
One possibility to ...
- 235
1
vote
0
answers
115
views
On the derivation of some asymptotic expressions involving combinatorics
My questions come from the supplementary material in a recent preprint Nonequilibrium statistical mechanics of money/energy exchange models. My first question comes from page 35. Specifically, suppose ...
- 700
1
vote
1
answer
134
views
Is the Boltzmann entropy continuous in the supremum norm?
We define $U : [0, +\infty) \to [0, +\infty)$ by $U(0) := 0$ and $U (s) := s \log s$ for $s >0$. Then $U$ is strictly convex. Let $D$ be the set of all bounded non-negative continuous functions $\...
- 851
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votes
1
answer
273
views
Limit of distributions
Suppose that $X_1,X_2,\ldots, X_n$ are i.i.d random variables with continuous density $f(x)$, which is defined in the whole $\mathbb{R}$. Consider $$s(x)=\lim_{n\to\infty}\frac{1}{n}\log\mathbb{P}(\...
- 233
2
votes
0
answers
61
views
Iterated chaos expansion
Using the notations from Normal Approximations with Malliavin Calculus, Chapter 2
random variables $F$ in the probability space generated by an iso-normal Gaussian family $X(h)$,
$$E[X(h)X(g)] = \...
- 613