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.

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216
votes
12answers
33k views

Is there an introduction to probability theory from a structuralist/categorical perspective?

The title really is the question, but allow me to explain. I am a pure mathematician working outside of probability theory, but the concepts and techniques of probability theory (in the sense of ...
30
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5answers
9k views

What mathematical treatment is there on the renormalization group flow in a space of Lagrangians?

What mathematical treatment is there on the renormalization group flow in a space of Lagrangians?
404
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15answers
57k views

Why do roots of polynomials tend to have absolute value close to 1?

While playing around with Mathematica I noticed that most polynomials with real coefficients seem to have most complex zeroes very near the unit circle. For instance, if we plot all the roots of a ...
58
votes
3answers
5k views

A roadmap to Hairer's theory for taming infinities

Background Martin Hairer gave recently some beautiful lectures in Israel on "taming infinities," namely on finding a mathematical theory that supports the highly successful computations from quantum ...
78
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12answers
122k views

If you break a stick at two points chosen uniformly, the probability the three resulting sticks form a triangle is 1/4. Is there a nice proof of this?

There is a standard problem in elementary probability that goes as follows. Consider a stick of length 1. Pick two points uniformly at random on the stick, and break the stick at those points. What ...
39
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3answers
4k views

The probability for a symmetric matrix to be positive definite

Let me give a reasonable model for the question in the title. In ${\rm Sym}_n({\mathbb R})$, the positive definite matrices form a convex cone $S_n^+$. The probability I have in mind is the ratio $p_n=...
21
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5answers
2k views

Nice applications for Schwartz distributions

I am to teach a second year grad course in analysis with focus on Schwartz distributions. Among the core topics I intend to cover are: Some multilinear algebra including the Kernel Theorem and ...
22
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4answers
8k views

Is there a simple way to compute the number of ways to write a positive integer as the sum of three squares?

It's a standard theorem that the number of ways to write a positive integer N as the sum of two squares is given by four times the difference between its number of divisors which are congruent to 1 ...
7
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1answer
624 views

Bound for largest eigenvalue of symmetric matrices of uniform random variables over $[0,1]$ and fixed $1$s along diagonal and scattered $1$s

Given a $n\times n$ symmetric random matrix whose diagonal elements are all fixed as $1$. In addition, there are $k$ $1$s will be randomly scattered in upper triangular (of course, the corresponding ...
70
votes
16answers
7k views

Geometric / physical / probabilistic interpretations of Riemann zeta($n>1$)?

What are some physical, geometric, or probabilistic interpretations of the values of the Riemann zeta function at the positive integers greater than one? I've found some examples: 1) In MO-Q111339 ...
36
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6answers
3k views

Measures of non-abelian-ness

Let $G$ be a finite non-abelian group of $n$ elements. I would like a measure that intuitively captures the extent to which $G$ is non-commutative. One easy measure is a count of the non-commutative ...
58
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1answer
6k views

Probability that a stick randomly broken in five places can form a tetrahedron

Edit (June 2015): Addressing this problem is a brief project report from the Illinois Geometry Lab (University of Illinois at Urbana-Champaign), dated May 2015, that appears here along with a foot-...
25
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3answers
4k views

Probabilities in a riddle involving axiom of choice

The question is about a modification of the following riddle (you can think about it before reading the answer if you like riddles, but that's not the point of my question): The Riddle: We assume ...
18
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1answer
843 views

Two conjectures about zero inner products and dissociated sets

The following problems come from something I worked on (with my coauthors) related to proving a new time lower bound for streaming problems. Having worked on these problems for some time with little ...
23
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1answer
3k views

What kind of random matrices have rapidly decaying singular values?

I've been told that in machine learning it's common to compute the singular value decomposition of matrices in order to throw out all information in the matrix except that corresponding to, say, the $...
9
votes
2answers
702 views

Isomorphisms between spaces of test functions and sequence spaces

I am in the process of writing some self-contained notes on probability theory in spaces of distributions, for the purposes of statistical mechanics and quantum field theory. Perhaps the simplest ...
9
votes
4answers
7k views

Mean minimum distance for N random points on a unit square (plane)

A previously posted question "mean minimum distance for N random points on a one-dimensional line" produced an elegant answer: for a line of length L, the expected minimum distance (between random ...
9
votes
3answers
2k views

Expected supremum of average?

Is there either a closed form (in terms of the moments of $X_1$, say) or good bounds on $$ \mathbb{E} \sup_{k \leq n} \frac{1}{k} \sum_{i=1}^k X_i, $$ where $X_i$ are iid and arbitrarily nice? (In my ...
4
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0answers
199 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 ...
2
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1answer
419 views

Distribution of ratio between complex Gaussian and Chi-square R.V.s

What would be the distribution (p.d.f.) of the following ratio? $$z = \frac{x_{1}}{|x_{1}|^2 + |x_{2}|^2 + ... + |x_{M}|^2}$$ where $x_{i} \sim \mathcal{CN}(0,a), \forall i$ and $a > 1$. As can ...
175
votes
34answers
70k views

What is convolution intuitively?

If random variable $X$ has a probability distribution of $f(x)$ and random variable $Y$ has a probability distribution $g(x)$ then $(f*g)(x)$, the convolution of $f$ and $g$, is the probability ...
169
votes
0answers
10k views

Why polynomials with coefficients $0,1$ like to have only factors with $0,1$ coefficients?

Conjecture. Let $P(x),Q(x) \in \mathbb{R}[x]$ be two monic polynomials with non-negative coefficients. If $R(x)=P(x)Q(x)$ is $0,1$ polynomial (coefficients only from $\{0,1\}$), then $P(x)$ and $Q(x)$ ...
104
votes
5answers
8k views

integral of a "sin-omial" coefficients=binomial

I find the following averaged-integral amusing and intriguing, to say the least. Is there any proof? For any pair of integers $n\geq k\geq0$, we have $$\frac1{\pi}\int_0^{\pi}\frac{\sin^n(x)}{\...
60
votes
9answers
22k views

When are probability distributions completely determined by their moments?

If two different probability distributions have identical moments, are they equal? I suspect not, but I would guess they are "mostly" equal, for example, on everything but a set of measure zero. ...
35
votes
3answers
3k views

Central limit theorem via maximal entropy

Let $\rho(x)$ be a probability density function on $\mathbb{R}$ with prescribed variance $\sigma^2$, so that: $$\int_\mathbb{R} \rho(x)\, dx = 1$$ and $$\int_\mathbb{R} x^2 \rho(x), dx = \sigma^2$$ ...
34
votes
2answers
10k views

Mean minimum distance for N random points on a one-dimensional line

Let's say that I have a one-dimensional line of finite length 'L' that I populate with a set of 'N' random points. I was wondering if there was a simple/straightforward method (not involving long ...
21
votes
6answers
10k views

A balls-and-colours problem

A box contains n balls coloured 1 to n. Each time you pick two balls from the bin - the first ball and the second ball, both uniformly at random and you paint the second ball with the colour of the ...
43
votes
5answers
7k views

Heuristically false conjectures

I was very surprised when I first encountered the Mertens conjecture. Define $$ M(n) = \sum_{k=1}^n \mu(k) $$ The Mertens conjecture was that $|M(n)| < \sqrt{n}$ for $n>1$, in contrast to the ...
21
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2answers
2k views

Can one view the Independent Product in Probability categorially?

One can construct a category of probability spaces, but this category has no products. Now probability theory relies strongly on the ability to build independent products, the product measure. In a ...
16
votes
4answers
1k 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 ...
24
votes
6answers
2k views

Shortest grid-graph paths with random diagonal shortcuts

Suppose you have a network of edges connecting each integer lattice point in the 2D square grid $[0,n]^2$ to each of its (at most) four neighbors, {N,S,E,W}. Within each of the $n^2$ unit cells of ...
49
votes
5answers
2k views

Tetris-like falling sticky disks

Suppose unit-radius disks fall vertically from $y=+\infty$, one by one, and create a random jumble of disks above the $x$-axis. When a falling disk hits another, it stops and sticks there. Otherwise, ...
14
votes
1answer
6k views

Intuitive understanding of the Stieltjes transform

I have been using random matrix theory in signal processing and have some trouble understanding what the Stieltjes transform does. The gist of my work is that I have an $N\times N$ true covariance ...
15
votes
3answers
2k views

Distribution of the spectrum of large non-negative matrices

This question is related to that of Thurston. However, I am not interested in algebraic integers, and I wish to focus on random matrices instead of random polynomials. When considering (entrywise) ...
7
votes
2answers
856 views

Conditional Expectation for $\sigma$-finite measures

Someone knows of some definition or reference of how to define conditional expectation for a measure space with $\sigma$-finite measure. I think it should be as follows: Let $(X,\mathcal{B},\nu)$ ...
8
votes
2answers
690 views

The Odds 3 (or More) Group Elements Commute

Some time ago I asked about the odds 2 group elements commute. I wonder about the odds that 3 group elements commute. Is there a "closed" formula for the sum $$ \frac{1}{|G|^3} \sum_{g,h,k} \delta([...
8
votes
1answer
1k views

What is the order of the lower tail of a Chi-Squared distribution?

Let X be a random variable with having a chi-squared distribution with n degrees of freedom and let y be some real number at most n. Is it known how P (X < y) behaves at least in some reasonable ...
7
votes
1answer
984 views

Properties of convolutions

Consider the function $$f_{n}(x)=e^{-x^2}x^n.$$ and the function $$h_p(x):=e^{-\vert x \vert^p}.$$ My goal is to analyze $$ F_p(y):=\frac{(f_2*h_p)(y)}{(f_0*h_p)(y)}- \left(\frac{(f_1*h_p)(y) }{(f_0*...
17
votes
1answer
659 views

Reference request: a conjecture of Rota on positive functions of a random variable

Rota and Shen's On the Combinatorics of Cumulants ends with a conjecture which I'll restate as follows: Let $p \in \mathbb{R}[x_1, x_2, ...]$ be a polynomial such that, for any sequence $X_1, X_2, ...
9
votes
1answer
535 views

Twisted random walks

Suppose the points of two random walks in $\mathbb{R}^2$ are given the step number (or time) as a third coordinate, so that they become paths in $\mathbb{R}^3$. Here are several pairs of walks of $n=...
7
votes
3answers
2k views

Packing density of randomly deposited circles on a plane

Let's say that I have a rectangular two-dimensional surface of bounded dimensions, $[0,A]$ and $[0,B]$: Under "no overlap" constraints, I sequentially deposit circles of radii $r_c$ on this surface,...
6
votes
1answer
347 views

Reformulation - Construction of thermodynamic limit for GFF

I've posted a question about the thermodynamic limit for Gaussian Free Fields (GFF) a couple days ago and I haven't got any answers yet but I kept thinking about it and I thought it would be better to ...
2
votes
2answers
247 views

Weak convergence for discrete-time processes using characteristic functions

I am looking for a good reference about the analogues of the Bochner Theorem and the Lévy Continuity Theorem for probability measures on $\mathbb{R}^{\mathbb{N}}$ with the product topology. ...
11
votes
1answer
453 views

Formula for $U(N)$ integration wanted

Before you jump on the "duplicate" buttom, let me say that I do not want to hear about Weingarten calculus and I do not want to see a character of the symmetric group. What I would like is a formula ...
5
votes
1answer
421 views

A set of questions on continuous Gaussian Free Fields (GFF)

As I said in my previous posts, I'm trying to teach myself some rigorous statistical mechanics/statistical field theory and I'm primarily interested in $\varphi^{4}$, but I know that the absense of ...
7
votes
1answer
376 views

Can one divide algebraic manifolds ? Make sense: $Gr(2,n)/ Gr(2,n+m) = P^{n-1}/P^{n+m-1} P^{n-2}/P^{n+m-2}$

Let's start from a little bit far. Basic probability theory - chain rule reads: $$ P(AB) = P(A)P(B|A)$$ Example: consider n+m balls, where n - white balls, m - black balls, consider A - first ...
7
votes
1answer
1k views

Location of maximum of Brownian motion with rough drift

I am interested in the distribution of the $\text{argmax}_{t \in [0,1]} \{B(t) + f(t)\}$, where $B$ is a Brownian motion (or Brownian bridge) and $f:[0,1] \to \mathbb{R}$ is a continuous function. ...
5
votes
2answers
333 views

Brownian motion and hitting a Quadrilateral

I want to compute the hitting probability of a bounded plane by a Brownian motion starting at the origin. In other words, given the coordinates of a quadrilateral A , can we compute $P(T_{A}<\...
4
votes
1answer
231 views

Universal decay rate of the Fisher information along the heat flow

I'm looking for a reference for the following fact: In the torus $\mathbb T^d$ let me denote by $u_t=u(t,x)$ the (unique, distributional) solution of the heat equation $$ \partial_t u=\Delta u $$ ...
2
votes
2answers
704 views

Recursive random number generator based on irrational numbers

Here $\{\cdot\}$ and $\lfloor \cdot\rfloor$ denote the fractional part and floor functions respectively. For a negative, non-integer number $x$, we use the following definition: $\{x\}=1-\{-x\}$. If $...

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