All Questions
Tagged with real-analysis pr.probability
388 questions
0
votes
1
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217
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Reproducing Kernel Hilbert Spaces with positive kernels
In my research I'm dealing with the following question.
Let $E$ set, $K:E \times E \to \mathbb R$ a positive type function, and $\mathcal H := \mathcal H(1+K)$ (in the sense of the Moore theorem). ...
- 11
2
votes
0
answers
79
views
Compute Mixed Volume with Respect to Some Regular Sets
Let $( \mathbb{R}^n, \mathcal{B}, \gamma)$ be a measure space where $\mathcal{B}$ is the Borel sigma algebra and $\gamma$ is a continuous measure. For $A, B\in \mathcal{B}$ that are convex, the mixed ...
- 1,127
2
votes
1
answer
216
views
Ask for a special function related to the error function
I am wondering whether anyone knows the following integration has a named special function or a reference
$$
F_{a,b}(z) :=\frac{2}{\sqrt{\pi}} \int_0^z \text{erf}(a+b y)\: e^{-y^2} \text{d}y
$$
for ...
- 1,649
3
votes
2
answers
666
views
Brownian motion, quadratic variation, existence of partitions?
Let $B_t$ be a standard Brownian motion. Does there with probability one exist a sequence of partitions $\{t_{k, n} : k = 0, 1, \dots, k_n\}$ $$0 = t_{0, n} < t_{1, n} < \dots < t_{k_n, n} = ...
- 13k
2
votes
1
answer
363
views
Integration against Borel measures on compact Hausdorff spaces
I am studying the properties of integration against Borel measures and Baire measures. And I am not sure whether the following proposition is correct and I tried to give a proof.
Suppose that $X$ ...
- 128k
5
votes
3
answers
349
views
minimum of two probability densities
Consider a smooth probability density $\pi(x)$ on $\mathbb{R}^d$. I am looking for natural for the integral $\iint_{u,v} \ \min\big(\pi(u), \pi(v) \big) \ du \ dv$ to be finite. If $\pi$ is a radially ...
CommunityBot
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1
vote
0
answers
143
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stochastically decreasing sequence converges in distribution
Let $(X_i)_{i=1}^\infty$ be independent nonnegative integer valued random variables. Suppose that $X_n \succeq X_{n+1}$ (in the stochastic dominance sense). Does it follow that $X_n \overset{d}\to X$ ...
- 457
1
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0
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69
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Norm-averaging reference request
(Apology in advance for the broadness of this question) I recently came across a relatively simple application where I needed to "balance" the "spreaded-out-ness" of a function with the "peaked-ness" ...
- 123
2
votes
0
answers
84
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limit multiple integral
I want to know if $\lim_{T-> \infty}$ of this integral
$$ \frac{\sigma^{4}C_{H,K}^{2}}{4 T^{4HK}e^{2\theta T }}\\
\times \int\limits_{[0,T]^{4}}e^{\theta(t_{1}-s_{1})}e^{\theta(t_{2}-s_{2})}\left\...
- 25.8k
2
votes
1
answer
144
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Do we have independence if we let the indices of the events increase?
Let $(\Omega, \mathscr F, \mathbb P)$ be a probability space.
Consider events indexed by $m, n \in \mathbb N$:
$ \ \ \ \ \ \ \ \ \ \ \ A_{1,n}, A_{2,n}, A_{3,n} ...$ are n-wise independent.
$A_{m,1}...
CommunityBot
- 1
3
votes
1
answer
105
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How to show monotonocity and the limit? [closed]
Let me reformulate my recent question.
Let $n, N$ denote density and cdf of Gaussian distribution. Let us consider its modification, given by density:
$$\phi(x) = C\left\{ \begin{array}{lcc}
\sqrt{...
- 128k
5
votes
2
answers
429
views
Does the truncated Hausdorff moment problem admit absolutely continuous solutions?
Let $\mu$ be a (Borel) probability measure on $[0,1]$ and define $m_j(\mu) = \int x^j\,\mu(dx)$. Let $k$ be a positive integer and consider the set $\mathcal C_{\mu,k}$ of probability measures $\nu$ ...
CommunityBot
- 1
4
votes
3
answers
712
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Measure of intersections in probability spaces
Let $(X,\mu)$ be a probability space, and $0<\epsilon<1/2$. Let $\{A_i:i\in \mathbb{N}\}$ be a collection of measurable subsets of $X$ such that $\mu(A_i)\geq \epsilon$ for all $i\in\mathbb{N}$.
...
- 37.7k
3
votes
0
answers
161
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Inverses of probability generating functions: positivity of derivatives
Let $\mathcal{G}$ be the set of probability generating functions of random variables taking positive integer values, considered as functions on $[0,1]$.
So $G\in\mathcal{G}$ can be written $G(x)=\...
CommunityBot
- 1
2
votes
1
answer
383
views
Is this a log-concave function?
Let $(a_k)$ be a log-concave positive decreasing sequence. Is $\sum\limits_{k=1}^n a_k(1-e^x)^{k-1}$ log-concave in $x<0$, for each natural $n$?
- 4,679
0
votes
1
answer
557
views
Is the limsup or liminf of n-wise independent events independent?
Let $(\Omega, \mathscr F, \mathbb P)$ be a probability space.
Consider events indexed by $m, n \in \mathbb N$:
$ \ \ \ \ \ \ \ \ \ \ \ A_{1,n}, A_{2,n}, A_{3,n} ...$ are n-wise independent.
$A_{m,1}...
CommunityBot
- 1
0
votes
1
answer
359
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a unique solution ? iteration involving conditional distributions
consider the following mappings, G and T,
$y(s) = Gx(s)=\exp\left[\sum_{s'}p(s'|s)\log x(s') \right]$
$z(s) = Ty(s)=\sum_{s'}q(s'|s)y(s')e^{-r(s')}$
where $0< x(s)\leq 1$ ,$r(s)<0$ , $s,s'\in ...
- 5,721
2
votes
1
answer
169
views
Approximation of the cumulative normal distribution
As is well known, there is no explicit formula for $\int_{-\infty}^\infty step(t−x)\cdot e^{−t^2/2}dt=\int_x^\infty e^{−t^2/2} dt$ for generic $x,$ where $step(z)$ is the step function, $step(z)=1$ ...
- 54.2k
1
vote
1
answer
166
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Question abouth Skorokhod representation of random variables (II)
This is a continuation of
Question abouth Skorokhod representation of random variables
Let $\mu$ and $\nu$ be two probability measures on $\mathbb R$ such that
$$\int_{\mathbb R}|x|^pd\mu(x),~ \...
CommunityBot
- 1
4
votes
1
answer
161
views
Hellinger integral for the Student/Cauchy family
Let $p$ and $q$ be probability densities on $\mathbb R$, with respect to the Lebesgue measure $dx$. The corresponding Hellinger integral is
$H(p,q):=\int_{\mathbb R}\sqrt{pq}\,dx$.
Let now $p$ be ...
- 109k
3
votes
1
answer
304
views
Question abouth Skorokhod representation of random variables
It is known that for any two probability measures $\mu$ and $\nu$ on $\mathbb R$ that are close in the Prokhorov metric $\rho$, i.e.
$$\rho(\mu,\nu)<\varepsilon,$$
then there exist two random ...
- 128k
1
vote
2
answers
270
views
Fourier transform localisation (still unanswered, but apparently off-topic?) [closed]
In the context of Pólya's theorem I was reading these notes here on p. 19. In the last paragraph the authors claim (it is the sentence starting like "standard Fourier theory shows...") that the ...
CommunityBot
- 1
2
votes
1
answer
571
views
Extension of Dynkin's formula, conclude that process is a martingale
This question was asked here, but it did not get enough attention, so I'm crossposting it to MO.
Let $u: \mathbb{R}_+ \times \mathbb{R}^d$ be a bounded $C^2$ function whose first and second partial ...
CommunityBot
- 1
7
votes
4
answers
986
views
Probability that planar Brownian motion doesn't "encircle" 0
Suppose $B_t$ is a standard Brownian motion in $\mathbb{R}^2$ and $T = \text{inf}\{t : |B_t| = 1\}$. Let $E$ denote the event that $0$ is contained in the unbounded component of $\mathbb{R}^2 \...
- 166
6
votes
2
answers
378
views
Slight variation on law of the iterated logarithm
Let$$M_t = \max\{B_s : 0 \le s \le t\},\text{ }m_t = \min\{B_s : 0 \le s \le t\},$$where $B_t$ is a standard Brownian motion. My question is, does there exist $r$ such that with probability one,$$\...
- 1,897
6
votes
2
answers
2k
views
Distribution of $\max_{n \ge 0} S_n$, random walk
Say we have a random walk that is a nearest neighbor random walk on the integers where at each step the probability of moving one step to the right is $p$ and the probability of moving one step to the ...
- 406
1
vote
1
answer
237
views
Poisson kernel, expectation, an absolute value comes in
See here.
Let $d = 2$, and consider the domain $D = \mathbb{H}$, the upper half-plane. Let $W_t = (X_t, Y_t)$. We see that for any $\theta \in \mathbb{R}$ and any $t \ge 0$, we have$$E^{(x, y)}\...
CommunityBot
- 1
0
votes
1
answer
186
views
Poisson kernel, $E^{(x, y)}\text{exp}\{i\theta X_t - \theta Y_t\} = e^{i\theta x - \theta y}$
Let $d = 2$, and consider the domain $D = \mathbb{H}$, the upper half-plane. Let $W_t = (X_t, Y_t)$. How do I see that for any $\theta \in \mathbb{R}$ and any $t \ge 0$, we have$$E^{(x, y)}\text{exp}\{...
- 1,122
6
votes
1
answer
306
views
In the plane, does complement of Brownian path have infinitely many connected components?
Let $d = 2$. Do we have that with $P_x$—probability $1$, for every $T> 0$ the complement $W[0, T]^c$ of the Brownian path up to time $T$ has infinitely many connected components?
I had seen this ...
CommunityBot
- 1
2
votes
1
answer
157
views
Is the set of multiple points of the Brownian path $W[0, \infty)$ dense in the plane almost surely?
Let $d = 2$. With probability $1$, is the set of multiple points of the Brownian path $W[0, \infty)$ dense in the plane?
- 24.8k
3
votes
1
answer
350
views
Brownian motion, crossing intervals, possible usage of second moment method?
This is a followup to my question here.
Let $B_t$ be a standard Brownian motion. Let $E_{j, n}$ denote the event$$\left\{B_t = 0 \text{ for some }{{j-1}\over{2^n}} \le t \le {j\over{2^n}}\right\},$$...
CommunityBot
- 1
5
votes
1
answer
250
views
Brownian motion, "increase interval", exists constants, bound,
Let $B_t$ be a standard Brownian motion. Let $J(j, n) = [j/n, (j+1)/n]$. We will call $J(j, n)$ an increase interval if$$B_s \le B_t,\text{ }0 \le s \le {j\over{n}},\text{ }{{j+1}\over{n}} \le t \le 3....
- 61.9k
6
votes
4
answers
614
views
Number of intervals needed to cross, Brownian motion
Let $B_t$ be a standard Brownian motion. Let $E_{j, n}$ denote the event$$\left\{B_t = 0 \text{ for some }{{j-1}\over{2^n}} \le t \le {j\over{2^n}}\right\},$$and let$$K_n = \sum_{j = 2^n + 1}^{2^{2n}} ...
CommunityBot
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4
votes
2
answers
168
views
For which $r > 0$ is it the case with probability one, for all $n$ sufficiently large $M_n \le r\sqrt{\log n}$?
Let $B_t$ be a standard Brownian motion. Let$$M_n = \max\{|B_t - B_{n-1}| : n - 1 \le t \le n\}.$$For which $r > 0$ is it the case with probability one, for all $n$ sufficiently large$$M_n \le r\...
- 487
4
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1
answer
559
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How to construct i.i.d. standard normal random variables on $\Omega = [0, 1]$ with the Lebesgue measure
Let $(\Omega, \mathcal{F}, \mathbb{P})$ be the unit interval with Lebesgue measure on the Borel subsets. Then we can find independent random variables $X_1, X_2, X_3, \dots$ defined on $(\Omega, \...
- 32.5k
8
votes
1
answer
694
views
A generalization of Jensen's Inequality
Jensen's inequality is well known as
$$E\big[f(X)\big]\le f\big(E[X]\big)$$
where $X$ is a integrable random variable and $f: R\to R$ is a bounded concave function, see also http://en.wikipedia.org/...
- 128k
5
votes
1
answer
220
views
Order between two completely monotone functions?
I am wondering if the following assertion is true:
Let $f,g:\mathbb{R}_+\rightarrow [0,1]$ be completely monotone functions on $\mathbb{R}_+^*$, that is, $(-1)^n f^{(n)}(x)\geq 0$ and $(-1)^n g^{(n)}...
- 24.2k
3
votes
0
answers
237
views
Reference request: Darboux properties of real-valued set functions (measures, densities, etc.)
Fix a set $S$ and let $f: \mathcal P(S) \rightharpoonup \mathbf R$ be a real-valued partial function on the power set of $S$; denote by $\mathcal D$ the domain of $f$. We say that $f$ has:
(i) the ...
- 10.5k
1
vote
0
answers
66
views
$X_t = B_t^q$, $X_t = (\sin B_t)^q$, $X_t = B_t^q (\sin B_t)^r$, $dM_t = R_t\,M_t\,dB_t$ [closed]
What are the SDE's satisfied by the following processes?
$X_t = B_t^q$
$X_t = (\sin B_t)^q$
$X_t = B_t^q (\sin B_t)^r$
Assume $B_t$ is a standard Brownian motion with $B_0 > 0$ and the equations ...
- 11
0
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1
answer
163
views
$\int_0^t f(s)\,dB_s$ normally distributed, mean and variance
Suppose that $f(t)$ is a (non-random) continuous function on $[0, \infty)$. Let$$Z_t = \int_0^t f(s)\,dB_s.$$
How do I see that $Z_t$ is normally distributed?
What is the mean and variance?
I need ...
- 29.8k
1
vote
1
answer
159
views
$M_t = f(B_{t \wedge \tau}) + (t \wedge \tau)$ local martingale, $\textbf{E}^x[\tau] = f(x)?$
Suppose $D \subset \mathbb{R}^d$ is a domain and $f: \overline{D} \to \mathbb{R}$ is a continuous function, $C^2$ in $D$, satisfying$$f(x) = 0\text{ for }x\in \partial D,$$$${1\over2} \Delta f(x) = -1 ...
- 29.8k
5
votes
0
answers
247
views
Involutions on $[0,1]$ given by power series (related to probability generating functions)
Let $A$ be a function from $[0,1]$ to $[0,1]$. $A$ is an involution if $A(A(x))=x$ for all $x\in[0,1]$.
Which involutions $A$ exist such that $A(x)=\sum_{k=0}^\infty a_k x^k$ with $a_0=1$ and $a_k\...
- 3,937
4
votes
1
answer
245
views
Brownian motion, exists $c < \infty$?
Suppose $B_t$ is a standard Brownian motion. Does there exist $c < \infty$ such that with probability one$$\limsup_{t \to \infty} {{B_t}\over{\sqrt{t \log t}}} \le c?$$I need to know whether or not ...
- 138
0
votes
2
answers
106
views
Expected summation of dropped intervals?
For each $n\in\mathbb{N}$, let $I_n$ be an interval of length $1/2^{n}$. We drop each $I_n$ onto the interval $[0,1]$ uniformly at random (so that there is "wraparound" if need be). What is the ...
- 37.7k
3
votes
2
answers
258
views
Are all mixtures of these unimodal functions unimodal?
Let us say that a function $F\colon(0,\infty)\to\mathbb{R}$ is increasing-decreasing if, for some $c\in[0,\infty]$, $F$ is non-decreasing on $(0,c]$ and non-increasing on $[c,\infty)$. Is it true that ...
CommunityBot
- 1
1
vote
1
answer
200
views
Is regularity closed under products?
Let $G \colon [0,1] \to [0,1]$ be a differentiable cumulative distribution function (monotonically non-decreasing function with $G(0) = 0$ and $G(1) = 1$). We say that $G$ is regular if $$ x - \frac{1-...
- 128k
11
votes
2
answers
505
views
An inequality for copulas
Suppose that $f$ from $[0,\infty]$ onto $[0,1]$ is completely monotonic on $(0,\infty)$, and let $g$ be the inverse of $f$. For $(u,v)$ in $[0,1]^{2}$, define $C(u,v) = f(g(u)+g(v))$, and let $a = (u+...
- 3,443
3
votes
1
answer
109
views
random odes adapted solution
Let $\{\omega_t\}$ be a Levy process (like Brownian Motion, stable process). Consider the following random ode
$$x_t=x_0+\int_0^tb(x_s+\omega_s)ds$$
Where $b$ is a bounded continuous function (not ...
- 7,514
54
votes
4
answers
3k
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When has the Borel-Cantelli heuristic been wrong?
The Borel-Cantelli lemma is very frequently used to give a heuristic for whether or not certain statements in number theory are true.
For example, it gives some evidence that there are finitely many ...
- 19.6k
10
votes
2
answers
344
views
A moment problem
Suppose $X, Y$ are two positive random variables such that $\mathbb{E}[X^\alpha] = \mathbb{E}[Y^\alpha]$ for all $\alpha \in (0, 1/2)$.
It is also known that the first moment exists for each of them, ...
- 24.2k