All Questions
47 questions
3
votes
2
answers
223
views
Measures with superexponential moments on finitely generated groups
Let $\Gamma$ be an infinite finitely generated group and let $\nu$ be a measure on $\Gamma$ which generates a transient random walk. I was reading this paper, and the authors prove many of their ...
2
votes
2
answers
167
views
Example of random walk in a random environment (RWRE) saying things on the environment
I was wondering if anyone is aware of works/articles/examples where random walks in a random environment (RWRE) are actually used for obtaining information on the random environment.
To clarify a bit, ...
- 59
3
votes
2
answers
478
views
Random spanning trees probability problem
We are given a simple connected graph $G(V,E)$ with vertex and edge set $V$ and $E$ respectively. For any vertex $v\in V$, let $D_T(v)$ the degree of $v$ in a uniformly generated random spanning tree $...
- 1,677
4
votes
0
answers
219
views
Conditional distribution of steps of random walk given the sum
Set-up. Consider a random walk $S_n=\sum_{i=1}^n X_i$, where $\{ X_i, 1\leq i < \infty \} $
is a sequence of i.i.d. random variables with distribution $\mu$, $\mathbb{E}X_1 = 0$. Let $a > 0$.
...
- 724
1
vote
1
answer
425
views
Invariance principle: Brownian bridge and random walk conditioned on end point
Let $\{X_i, i \in \mathbb{N}\}$ be a sequence of non-lattice i.i.d. centered random variables, $\mathbb{E} |X_1| ^3 < 0$. Let $S_n = \sum\limits _{i=1} ^n X_i$ be the corresponding random walk and ...
- 724
3
votes
1
answer
220
views
Carne-Varopoulos bound and stationary measure
Let $\Gamma$ denote the Cayley graph for a finitely generated group $G$, and let $p_n(x, y)$ denote the transition probability that a random walk starting at $x$ reaches $y$ at time $n$. A famous &...
- 31
2
votes
0
answers
110
views
Moment of the hitting measure of a subgroup
Given a [finitely generated] group $G$ and a finite generating set $S$, a measure $\mu$ will have finite $\alpha$-moment if $\sum_{g \in G} \mu(g) |g|_S^\alpha$ is finite (where $|g|_S$ is the word ...
- 4,432
1
vote
0
answers
91
views
A random process with conserved momentum: 'particle decay'?
Consider a particle $p_1$ moving at unit speed along a straight line in $\mathbf{R}^2$, directed by some vector $v_1 \in \mathbf{S}^1$. Equid this particle with a Poisson clock $\tau_1$, with ...
- 5,038
4
votes
2
answers
480
views
Hitting probability of a line
Consider a simple (nearest neighbor) random walk on a lattice $\Bbb Z^2$ which starts at the origin, is constrained to $x\ge 0$ halfplane, and stops when it hits the line $x=n$. Denote by $p(n,k)$ ...
- 17k
0
votes
2
answers
266
views
Last crossing of a line by a random walk
Let $X_1, X_2, ...$ be i.i.d. random variables, $\mathbb{E} X_1 > 0$, and let $S_n = \sum\limits _{i = 1} ^n X_i$. Define $\tau = \max \{n \in \mathbb{N}: S_n \leq 0 \}$ with the convention $\tau =...
- 724
2
votes
2
answers
381
views
Discrete random walk and SDEs
My advisor has some vague ideas about the relation between discrete random walks and SDEs, and advise me to read a little bit about them.
To be more precise, ( if I understand correctly what my ...
- 327
5
votes
1
answer
340
views
Random walk on $\mathbb{Z}^2$ going forward with probability $p$
Consider a random walk on $\mathbb{Z}^2$ which goes forward (i.e. takes a step in the same direction as the last step) with probability $p$ and turns right and left with probability $\frac{1-p}{2}$ ...
- 1,054
13
votes
1
answer
713
views
Identity involving the probability that a random walk stays below a curve
I'm looking for a direct proof of the following identity:
Let $W_n$ be a simple random walk with $W_0=0$. For all $x>0$ we have
$$
\lim _{N\to \infty} \sqrt{N} \cdot \mathbb P \Big( \forall n \le ...
- 723
3
votes
1
answer
276
views
References for irrational random walks
I am interested in the symmetric random walk on $\mathbb{R}$ which increments have the discrete law $$\mu=\sum_{i=1}^q p_i (\delta_{\omega_i}+\delta_{-\omega_i})$$
where the $p_i$ sum to $1/2$ and the ...
- 1,352
1
vote
1
answer
412
views
Exit time estimate for a simple continuous-time random walk
Let $S = (S_t, t \geq 0)$ be a simple one-dimensional continuous-time random walk with total jump rate one, $S_0 = 0$. Denote by $T_k$ the time when $S$ exits the interval $I_k = [-k,k] \cap \...
- 724
2
votes
1
answer
631
views
Reference request: Donsker's theorem for non-identical, independent random variables
The central limit theorem can be generalized to independent but not iid random variables, provided they satisfy the Lyapunov condition (which looks something like a variance bound), see https://en....
- 568
1
vote
0
answers
83
views
Tracy Widom type results for asymptotic distribution of the $k$-th largest eigenvalue of the sample covariance when $n, p \to \infty$?
Earlier I asked a question: Distribution of the $k$-th largest eigenvalue of in the sample covariance matrix?, but I forgot to mention that I'd like results for asymtotic regime. So, I'm posting here ...
- 1,467
0
votes
0
answers
115
views
Distribution of the $k$-th largest eigenvalue of in the sample covariance matrix?
Let us assume we've a rectangular data matrix $X=[x_1 \dots x_n] \in \mathbb{R}^{p \times n}$, where the $x_i \in \mathbb{R}^{p \times 1}$ are iid column vectors. I'm not assuming here that the ...
- 1,467
6
votes
1
answer
225
views
Random walks: How many times does the largest component change?
My understanding is that for an unbiased random walk (starting at the origin) on $\mathbb R$ with $N$ steps that the expected number of sign changes is $O(\sqrt N)$. For a biased walk I believe the ...
- 1,955
13
votes
2
answers
1k
views
A comprehensive list of random walk inequalities?
I am interested in finding a comprehensive list of all noticeable random walk inequalities.
ie. $S_n = \sum_{k\leq n} X_i$ for i.i.d symmetric $X_i$
I can only seem to find books/papers that list ...
- 231
1
vote
1
answer
153
views
Is there a transient graph whose spectral dimension two?
Let $G = (V(G), E(G))$ be an infinite connected simple graph.
Let $((S_n)_n, (P^x)_{x \in V(G)})$ be the simple random walk on $G$.
Let $p_n (x,y) = P^x (S_n = y)$.
A spectral dimension of $G$ is ...
- 195
4
votes
1
answer
176
views
Random Walk with "Forward Dependency"
Let $\{X_t\}_{t=-\infty}^{\infty}$ be a sequence of random variables. We are interested in a "random walk" (or more generally, a random field) that can be characterized by
$$
X_t ~|~ X_{t-k}, \ldots, ...
- 1,127
1
vote
0
answers
262
views
Green's function for simple random walk after t steps in dimension 2
Let $p_{t,v}$ be the probability a discrete time, simple random walk at $v \in \mathbb Z^2$ reaches 0 within $t$ steps. We are looking for a reference to cite or an easy proof for the big-O behavior ...
- 457
11
votes
2
answers
2k
views
The mean square distance of a random walk from the origin
I'm wondering whether the following type of problem is a standard one that has been studied by probabilists. The particular case needed (as a lemma that would help with a Polymath project) isn't quite ...
- 29k
3
votes
0
answers
128
views
Probability that explosive random walk $X\to\gamma X+\epsilon$ with $\gamma>1$, always stays positive
Let $\{\epsilon_t\}_{t\ge0}$ be a sequence of iid random variables with full support. Let $\delta\ge0$ and $\gamma>1$. Then set $X_0 = \delta$ and define for $t\ge0$:
$$
X_{t+1} = \gamma X_{t} + \...
- 479
2
votes
1
answer
177
views
Representations of zero as the sum of integers
Considering certain random walks I came up with the following question: Given a finite set $A$ containing positive and negative integers, how many representations of zero as the sum of $n$ integers ...
- 1,648
1
vote
0
answers
60
views
Probability for a SRW to be at some place in an even number of steps
I am looking for some references for the following problem.
Consider a graph $G$ and a simple continuous time random walk $(X_t)_{t\geqslant 0}$ on this graph. Consider the family of events $(e_t)_{t\...
- 166
4
votes
1
answer
1k
views
Range of random walk
I have a random walk on $\mathbb{Z}$ with starting point $0$ and with length $n$ and possible steps to right, left or stay where you are, all with the same probabilities. I am interested in exact ...
user92031
9
votes
2
answers
1k
views
Adaptive version of the Azuma–Hoeffding inequality
The Azuma inequality states that if we have a martingale $X_1,\ldots,X_N$ that satisfies a bounded difference condition:
$$|X_k - X_{k-1}| \leq c_k$$
Then:
$$\Pr\left[X_N - X_0 \geq \sqrt{2\sum_kc_k^2 ...
- 794
3
votes
1
answer
1k
views
Gradient of probability distribution
Given a random walk on a lattice $L$ (not necessarily centered - we allow $E[X_i] \neq 0$ for the i.i.d. increments $X_i$), let $p_t(x)$ denote the probability measure of state $x \in L$ after $t$ ...
- 153
2
votes
2
answers
381
views
Speed and absence of non-constant bounded harmonic functions
For a (symmetric) random walks on countable groups generated by $\mu$, there is a "brute-force computation" argument of Avez (1974) that shows that if the entropy $h_\mu$ is trivial then there are no ...
- 4,432
5
votes
1
answer
697
views
Harmonic Crystal using Random Walk
Me and my advisor were looking for a specific proof of the disorder in $2d$ harmonic crystals. We could not find a paper or a textbook with it, so I thought trying my luck here.
Basically, it is a ...
- 3,574
2
votes
2
answers
268
views
Distribution of a random walk on a directed line
Is there a closed formula for the distribution of $x_t$ in the following random process, describing a random walk on a directed line?
$x_0 = n$
$x_t$ is a uniformly random integer between 1 and $x_{...
4
votes
1
answer
208
views
Connection between degree of growth and return probabilities of random walks on Lie groups
Let $G$ be a finitely generated group of polynomial growth, let $\mu$ be a non-degenerate symmetric probability measure with finite support on $G$, and let $d$ be the degree of growth of $G$. ...
user47125
4
votes
1
answer
204
views
Estimates for simple random walks in groups of intermediate growth
I'm looking for references for the rate of escape and return probability for a group of intermediate growth.
Let $0<\alpha < 1$. If the volume growth is $\succeq \mathrm{exp}(n^\alpha)$, then (...
- 4,432
4
votes
1
answer
400
views
Speed of random walks in groups
I've seen some estimates for the decay in $d$ of the probability a SRW makes a distance $d$ in time $n$, but is there any reference for the "speed" of a random walk in a group? I'm interested mostly ...
- 4,432
6
votes
1
answer
644
views
Random path in a graph
Consider a finite graph $G$. I would like to define a random path between two vertices $s$ and $t$ of the graph $G$ by looking at a measure $\mu$ on all spanning trees. Then the probability of a given ...
- 4,432
1
vote
1
answer
578
views
Fundamental inequality of entropy in random walks
I'm looking for a reference for an inequality related to the "fundamental inequality" about entropy and rate of escape of random walks (on the Cayley graph of a group). Namely,
$\textbf{Question}$: ...
- 4,432
18
votes
1
answer
3k
views
Distribution of maximum of random walk conditioned to stay positive
I have an $n$ step random walk which starts at zero $X_0 = 0 = S_0$ where the steps $X_i$ are independent uniform random variates in $[-1,1]$, but the walk is conditioned on the hypothesis that it ...
- 747
12
votes
3
answers
552
views
Estimate on currents in Cayley graphs
Take a Cayley graph $\Gamma$ (thought of as an electrical network with all edges having equal resistance) and break one edge $e$ and put a battery there. (Assume the graph has only one end* so that ...
- 4,432
3
votes
1
answer
853
views
Transience of self avoiding random walks on $\mathbb{Z}^d$
I'm finishing up a masters thesis in computer science and want to say a bit in the introduction about self-avoiding walks. My thesis looks at a random process which arose in computer science and my ...
- 30.3k
16
votes
5
answers
3k
views
Simple random walk on a locally finite graph: when is it recurrent?
I'm giving a talk tomorrow about a result in computer science which I recently proved. It's a recurrence-transience result on a random process which is related in spirit to a simple random walk. My ...
- 30.3k
9
votes
1
answer
2k
views
Pólya's Random Walk Constants at infinity
Let be the probability that a random walk on a d-D lattice returns to the origin. In 1921, Pólya proved that $p(1)=p(2)=1$
but $p(d)<1$ for $d>2$.
http://mathworld.wolfram.com/...
11
votes
3
answers
665
views
Limit shape for fixed-perimeter lattice polygons
Let $P$ be a simple polygon defined by $n$ unit-length segments
connecting lattice points of $\mathbb{Z}^2$.
I have two operations that preserve the perimeter of $P$.
The first is the "pop" of a ...
- 151k
2
votes
0
answers
153
views
Reference request for a result on subsets unlikely to be hit by random walks in a group
Suppose we are performing a random walk in a group. More precisely, we have a finite generating set $S$ of a group $G$ and the probability of walking along generator $s$ is given by $\mu(s)$ for some ...
- 21
14
votes
1
answer
781
views
Perimeters of random-walk polygons
I have a random walk on $\mathbb{Z}^2$ that takes a step
with equal probability in the three directions that avoid
retracing the previous step.
The walk proceeds until it returns to a lattice point
...
- 151k
27
votes
7
answers
30k
views
When do 3D random walks return to their origin?
The probability of a random walk returning to its origin is 1 in two dimensions (2D) but only 34% in three dimensions: This is Pólya's theorem. I have learned that in 2D the condition of returning to ...
- 151k