# 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
135 views

105 views

### Multiple Wiener-Ito integral distribution

Distribution of standard Ito integral is well known: $$I_1(f) = \int_0^T f(t)dB(t) \sim \mathcal{N}\bigg(0, \int_0^T f^2(t)dt\bigg).$$ Is it possible to find the distribution of multiple Wiener-Ito ...
84 views

### Stochastic domination of Gaussian random vectors

Let $S$ be the class of all $2$ by $2$ matrices of the form $$\begin{bmatrix} 1 & a \\ a & 1 \end{bmatrix},\, |a|\leq 1.$$ Is there a single matrix $M\in S$ such that for ...
78 views

### Distribution of the $pn$ shortest edges out of $n$ uniform points, $p\to 0$

Suppose I sample $n$ points independently and uniformly at random in the unit square, and then I select the $pn$ shortest edges between all pairs of points, for fixed $0<p<1$. For large $n$ and ...
122 views

### Predictability of countably valued accessible stopping times on complete and cadlag filtrations

The following question is motivated by this part of the proof of Lemma 2 on page 107 of the book Stochastic integration and differential equations of Philip Protter. Lemma 2. Let $T$ be a totally ...
75 views

### Matrix Chernoff sampling with out replacement

I am interested to know if the matrix Chernoff bound (see Theorem 5.1.1 in https://arxiv.org/pdf/1501.01571.pdf) holds if one samples without replacement. For example, the Bernstein inequality is ...
84 views

### Concerning some Tauberian-type asymptotics of Laplace transform involving $e^{-\sqrt{s}}$

There are some well-known Tauberian theorems concerning the asymptotics of the original function (say as $t$ tends to $0$) and that of its Laplace transform (as $s$ tends to infinity). I want to ask a ...
144 views

145 views

### Can we transform $\int_\rho^1 (W_t - W_{t-\rho}) \,dW_t$ to make its law $\rho$-invariant?

I just bumped into the stochastic integral $$\int_\rho^1 (W_t - W_{t-\rho}) \,dW_t$$ where $0 < \rho < 1$ is a constant and $W$ is a standard Wiener process. It would be nice if we have a ...
44 views

### Continuous Local Martingales under time change under what conditions are they still local martingales?

This question is motivated by reading a section in Continuous Martingales and Brownian Motion by Daniel Revuz, Marc Yor. In Chapter V there is a section on time-change: Definition: A time change $C$...
146 views

### gaussian upper bound on spherical heat kernel

It is known that the heat kernel on n-sphere satisfies $p_t(x,y)\leq Ct^{-n/2}e^{-d(x,y)^2/5t}$ for all $t\in (0,T)$. Can something be said about how big C needs to be?
283 views

### KL divergence and mixture of Gaussians

Do we have an exact formula to compute the KL divergence between 2 mixtures of Gaussians (i.e convex combinations of a finite number of Gaussian distributions)? If not exactly known, are there good ...
389 views

### Coverage of balls on random points in Euclidean space

We have n points randomly distributed in a d-dimensional unit hypercube. We randomly sample k of those points and center a ball with radius r on each of those k points. Does there exist an estimate of ...
243 views

193 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 ...