# 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.

1,527
questions with no upvoted or accepted answers

**34**

votes

**0**answers

2k views

### Correspondence between eigenvalue distributions of random unitary and random orthogonal matrices

In the course of a physics problem (arXiv:1206.6687), I stumbled on a curious correspondence between the eigenvalue distributions of the matrix product $U\bar{U}$, with $U$ a random unitary matrix and ...

**23**

votes

**0**answers

880 views

### conjectures regarding a new Renyi information quantity

In a recent paper http://arxiv.org/abs/1403.6102, we defined a quantity that we called the "Renyi conditional mutual information" and investigated several of its properties. We have some open ...

**22**

votes

**0**answers

2k views

### The Fourier Transform of taking Eigenvalues

The purpose of this question is to ask about the Fourier transform of the map which associate to an $n$ by $n$ matrix its $n$ eigenvalues, or some function of the $n$ eigenvalues. The main motivation ...

**21**

votes

**0**answers

834 views

### Random Distance Matrices

My question is motivated by the following recent paper:
http://arxiv.org/abs/1110.6333
Assume you have a metric space $(X,d)$ equipped with a Borel probability measure $\mu$. We can further assume ...

**21**

votes

**0**answers

516 views

### Density of first-order definable sets in a directed union of finite groups

This is a generalization of the following question by John Wiltshire-Gordon.
Consider an inductive family of finite groups:
$$
G_0 \hookrightarrow G_1 \hookrightarrow \ldots \hookrightarrow G_i \...

**18**

votes

**0**answers

590 views

### The lonely molecule

Suppose $n$ air molecules (infinitesimal points) are bouncing around in
a unit $d$-dimensional cube, with perfectly elastic wall collisions.
Let $k=n^{\frac{1}{d}}$.
For example, in 3D, $d=3$, with $n=...

**18**

votes

**0**answers

457 views

### support of the coupling between two probability measures

Given two Borel probability measures $\mu$ and $\nu$ on $\mathbb{R}$, let $\Pi(\mu, \nu)$ denote all couplings between them, i.e., all Borel probability measures on $\mathbb{R}^2$ such that the ...

**18**

votes

**0**answers

873 views

### On random Dirichlet distributions

Fix a dimension $d\ge2$.
Let $Q_d$ denote the positive quadrant of $\mathbb{R}^d$, that is, $Q_d$ is the set of points $\mathbf{x}=(x_i)_i$ in $\mathbb{R}^d$ such that $x_i>0$ for every $i$.
For ...

**17**

votes

**0**answers

610 views

### Probability of many overlapping zero inner products on a circle

[Question edited and changed a little on June 14 2015]
Consider an $n$-dimensional vector $v$ with $v_i \in \{-1,1\}$. Now consider an $n$-dimensional vector $w$ with $w_i \in \{-1,0,1\}$. The ...

**17**

votes

**0**answers

1k views

### 1-Wasserstein distance between two multivariate normal

The $p$-Wasserstein between two measures $\nu_1$ and $\nu_2$ on $X$ is given by
$$d_p(\nu_{1},\nu_{2})=\underset{\pi\in\Gamma(\nu_{1},\nu_{2})}{\inf}\int_{\mathbf{\mathcal{X}}^{2}}d(x,y)^p\pi(dx,dy)$...

**17**

votes

**0**answers

568 views

### Are there lightweight foundations for arbitrarily extendable objects?

My experience with foundations is rather scant, but I've run into some types of objects that seem to resist the sort of set-theoretic encoding schemes via Kurowski tuples that are rather common for ...

**16**

votes

**0**answers

220 views

### Precise estimate for probability an $n$-point set has diameter smaller than $1$

This question was inspired by an earlier question that I answered but would like a more precise bound for.
Consider random points $x_1, \dots, x_n$ in the unit ball in $\mathbb R^d$, uniformly and ...

**16**

votes

**0**answers

2k views

### When does a correlated Brownian motion leave a square?

Let $B=(X,Y)$ be a correlated two-dimensional Brownian motion, that is, the components are standard Brownian motions and the covariance between $X_t$ and $Y_t$ is $t\rho$ for some
constant $\rho \in [-...

**15**

votes

**0**answers

445 views

### Expanding disks lead to what packing of the plane?

Suppose one sprinkles points uniformly at random on the infinite Euclidean plane,
with some density $\rho$ per unit area.
View the points as disks of radius zero.
Now the radii $r$ of all disks grows ...

**15**

votes

**0**answers

883 views

### Optimal Monotone Families for the Discrete Isoperimetric Inequality

Background: the Discrete Isoperimetric Inequality
Start with a set X={1,2,...,n} of n elements and the family $2^X$ of all subsets of X.
For a real number p between zero and one, we consider a ...

**14**

votes

**0**answers

204 views

### Profiles of very high dimensional functions

This question comes from trying to understand the recent success of deep neural nets. Neural networks just (crudely speaking) create a very complicated function of very many variables, and then ...

**14**

votes

**1**answer

424 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 ...

**14**

votes

**0**answers

565 views

### Apparent disparity between the results of two papers (nearest neighbours)

This is a follow up question this one on MSE, which can basically be summarised as Robert Abilock originally posed in American Monthly in 1967:
The Rifle-Problem:
$n$ riflemen are distributed at ...

**13**

votes

**0**answers

662 views

### Arguments against Freiling's argument against Continuum Hypothesis

Freiling's axiom of symmetry ($\sf AS$) is known as a justification for falsity of Continuum Hypothesis. Freiling in his 1986 paper, Axioms of symmetry: throwing darts at the real number line, ...

**13**

votes

**0**answers

431 views

### Self-avoiding random walks that always turn

I am wondering if the statistics of self-avoiding random lattice-walks
on $\mathbb{Z}^2$
that turn left or right at each step (i.e., they cannot continue the
direction of the preceding step) have been ...

**13**

votes

**0**answers

1k views

### Does this metric have an official name? Lévy metric? Ky Fan metric?

Let $X$ and $Y$ be random variables taking values in a separable metric space $(S,d)$. The metric I have in mind is
$$\rho(X,Y) = \mathbb{E}[\min\{d(X,Y),1\}]$$
if $X$ and $Y$ take values in the a ...

**13**

votes

**0**answers

435 views

### Why, and how badly, does the proof of “no percolation at the critical point in half-spaces” fail for full spaces?

The proof by Barsky et. al. that there is no percolation in half-spaces proceeds by a dynamic renormalization argument. The proof couples critical percolation in the half-space $\mathbb{H}^d$ with a ...

**12**

votes

**0**answers

385 views

### The threshold for a perfect matching in a random subgraph of a regular bipartite graph?

The following question seems very natural.
It is a well known consequence of Hall's Theorem that every regular bipartite graph has a perfect matching. Another classical result states that the ...

**12**

votes

**0**answers

400 views

### Transitivity of balanced mass transport in Z

Given two atomic measures $\mu$ and $\nu$ on $\mathbb{Z}$, write $\mu \sim \nu$ iff there exist countable decompositions $\mu = \mu_1 + \mu_2 + \cdots$ and $\nu = \nu_1 + \nu_2 + \cdots$ along with ...

**12**

votes

**0**answers

444 views

### First passage percolation on a random geometric graph in the large connectivity limit

Let $V_\rho\subset\mathbb{R}^2$ be a point set in the plane obtained from a Poisson process of density $\rho$. The random geometric graph $G_\rho$ is obtained from $V_\rho$ by connecting points that ...

**12**

votes

**0**answers

675 views

### Eigenvalues of permutations of a real matrix: how complex can they be?

This is sort of complementary to this thread. I’ll repeat the definitions here:
For a matrix $M\in GL(n,\mathbb R)$, consider the $n!$ matrices obtained by permutations of the rows (say) of $M$ and ...

**12**

votes

**0**answers

1k views

### American put option pricing by “binomial trees”

I'm teaching a financial mathematics course and have found a fascinating (to me) numerical phenomenon and wonder if anyone has studied it, or knows anything similar.
I'll try and give a description ...

**11**

votes

**0**answers

187 views

### Savings property: A transformation which turns nonnegative martingales into uniformly integrable ones

Background
I work in a subfield of computability theory called algorithmic randomness. We have been using martingales as long as probability theory (going back to work of von Mises). However, since ...

**11**

votes

**0**answers

549 views

### Uncertainty principle in Entropy terms

Math Questions:
Consider Hilbert space $L_2(\mathbb{R})$ with a standard norm
$
||\psi|| = ( \int_{\mathbb{R}}{ |\psi(t)|^2 dt } )^{1/2},
$
and Fourier transform
$
(F\psi)(\xi) =
\int_{\...

**11**

votes

**0**answers

550 views

### High-dimensional geometry: Top-down Vs. Bottom-up

There are several ways to leverage one's intuition from low-dimensional geometry to understand high-dimensional phenomena. For example, one can get a clearer picture of the behaviour of high-...

**11**

votes

**0**answers

965 views

### Constructive aspects of Caratheodory's theorem in convex analysis

Let me paraphrase Caratheodory's theorem in a probabilistic setup:
Let $X$ be a real-valued random variable. For $k = 1, \ldots, m$, let $f_k: \mathbb{R} \to \mathbb{R}$ be a continuous function such ...

**10**

votes

**0**answers

177 views

### Asymptotics of subgraph densities in graphons

In Pittel (1989)'s solution to a problem of Knuth (1976) on the expected number of stable matchings between $n$ men and $n$ women under uniform random preferences, it was shown that, as $n \to \infty$,...

**10**

votes

**0**answers

440 views

### Steady state expectation of dynamic system of urns & balls

We have a large number of urns $N+1$. (Large means that the relative difference between $N$ and $N+1$ is well within the error bounds that I care about. The reason for the $+1$ will be apparent ...

**10**

votes

**0**answers

485 views

### Bounding the probability that a random variable is maximal

Question: Suppose we have $N$ independent random variables $X_1$, $\ldots$, $X_N$ with finite means $\mu_1 \leq \ldots \leq \mu_N$ and variances $\sigma_1^2$, $\ldots$, $\sigma_N^2$.
I am looking ...

**10**

votes

**0**answers

3k views

### Group Theory, Game Theory, a bit of Philosophy and a post in Tao's blog

I've decided to write this post after reading the incredibly beautiful and highly recomended post by Terence Tao http://terrytao.wordpress.com/2007/06/25/ultrafilters-nonstandard-analysis-and-epsilon-...

**10**

votes

**0**answers

494 views

### Abelian sandpile models

This question is about a popular probabilistic model on graphs studied in physics, mostly, for the standard lattice in ${\mathbb R}^n$ but also on other graphs (this model is of the same spirit as ...

**10**

votes

**0**answers

562 views

### Where can I find analogues of combinatorial central limit theorems for other groups

The statement of Hoeffding's combinatorial central limit theorem is as follows: given for each $n$, an $n \times n$ matrix $A = (a_{ij})$, one can consider the random diagonal sum:
$$\displaystyle f(\...

**10**

votes

**0**answers

374 views

### Question from an economist: solving a model of traders' behavior with expectations about the future values of the variable they are currently optimizing

Motivation
I am an economist writing a paper for an academic finance journal. My paper is about the behavior of currency traders, who choose the price at which they will sell currency today, based on ...

**10**

votes

**0**answers

436 views

### Has the technique of “sprinkling” been used in studying random matrices?

In 1982, while studying the component sizes of random subgraphs of a hypercube, Ajtai, Komlós, and Szemerédi introduced a technique that came to be known as sprinkling. In this technique, the edges of ...

**10**

votes

**0**answers

403 views

### Maximizing the volume in a family of subsets of a cube

Starting from a question in probability, I arrived to the following optimization problem.
Let $I:=[0, 1],$ and let $A$ be a Lebesgue measurable subset of the $n$-dimensional cube, $A\subset I^n.$ ...

**10**

votes

**0**answers

180 views

### literature on “stratified simulation”

I've thought of an approach to variance reduction that surely can't be new, but I haven't been able to find it published anywhere; I'd appreciate some leads.
Consider some sort of random variable $X$ ...

**9**

votes

**0**answers

147 views

### Functional Weak Convergence of Maximum Likelihood Estimator

Let $\hat{\theta}_n$ be the Maximum Likelihood Estimator of parameter $\theta$, where $n$ is the sample size. It is well-known that under sufficient regularity conditions, we have the asymptotic ...

**9**

votes

**0**answers

174 views

### Visibility in a growing orchard

This is a variant on Polya's orchard problem.1,2
Suppose trees are planted randomly in the plane.
The question is: How many trees are visible from the origin as
their radii grow?
More precisely, ...

**9**

votes

**0**answers

250 views

### Concerning Luzin-(N)-property

Definition: a function $f:\mathbb{R}\to \mathbb{R}$ has Luzin-(N)-Property if $f$ maps any null set to a null set.
By https://www.encyclopediaofmath.org/index.php/Luzin-N-property, it is known that ...

**9**

votes

**0**answers

390 views

### Torus Graph Dynamics

Consider the torus graph, or the toroidal grid, which looks like
(The graph's vertices are the bold dots).
I will discuss only square torus graphs, where there is an equal number of vertices in a "...

**9**

votes

**0**answers

300 views

### Is this extension of Hoeffding's inequality known?

Question Overview:
Is it already known that, when using Hoeffding's inequality to lower bound the mean of i.i.d. random variables, you can replace the upper bound on the random variables with the ...

**9**

votes

**0**answers

233 views

### Randomly placing nonoverlapping unit cuboids

Suppose one places unit cuboids of dimension $d$ with min-corners
uniformly distributed to lie in $[0,n]^d$, but with cuboid (strict) overlap forbidden.
At some point, the region is "saturated," ...

**9**

votes

**0**answers

195 views

### Cramer's theorem in Hilbert spaces

I am interested under what conditions Cramer's theorem applies in random variables taking values in Hilbert spaces. Following these lecture notes, but using a Hilbert space:
Let $X_1,X_2,\cdots$, be ...

**9**

votes

**0**answers

250 views

### Convergence in $L^2$ of iterated expectations

Take a probability space $(\Omega,\mathcal{F},\mathbf{P})$ and random variable $X \in L^2(\Omega,\mathcal{F},\mathbf{P})$.
Define the iterated expectations of X as follows: $X_0 = X$, and, ...

**9**

votes

**0**answers

677 views

### Full conditional probabilities and versions of AC?

A probability is a finitely additive measure on a boolean algebra with total measure $1$.
A function $P:\scr B \times (\scr B - \{ 0 \})$ is a full conditional probability on $\scr B$ (for a boolean ...