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Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory.
30
votes
Accepted
A balls-and-colours problem
It can probably be done by looking at the sum of squares of sizes of color clusters and then constructing an appropriate martingale. But here's a somewhat elegant solution: reverse the time!
Let's fo …
21
votes
Accepted
Expectation of square root of binomial r.v.
$\newcommand{\E}{\mathbf{E}}$
$\renewcommand{\P}{\mathbf{P}}$
$\DeclareMathOperator{\var}{Var}$
If we use Taylor expansion (as Anthony suggested) for $\sqrt{x}$ around 1, we get:
$$\sqrt{x}\approx 1 + …
18
votes
Accepted
How to get rich in a Hilberts Hotel?
No, you cannot get rich with identical copies on the unlabeled tree. This is a special case of the Mass Transport Principle - take a look at the book of Lyons and Peres, chapter 8.
18
votes
Accepted
Simple random walk on a locally finite graph: when is it recurrent?
The fundamental result that completely characterizes recurrent/transient graphs is that a graph is recurrent if and only if the effective resistance of the graph, when considered as an electric networ …
17
votes
Accepted
Balls and bins variation
This happens whenever $n\gg m^5$. To see this, notice that the expected number of balls in each bin is $n/m$ and the variance is also on the order of $n/m$. The distribution "tends" to N(n/m,n/m) (in …
17
votes
Accepted
Topple height of randomly stacked bricks
The distribution should be roughly geometric with expectation roughly $\delta^{-2}$. To bound from above, in every $2\delta^{-2}$ steps there is a constant (independent of $\delta$) probability that t …
16
votes
most general way to generate pairwise independent random variables?
One very useful construction: if $X_1,\ldots,X_n$ are i.i.d. RVs, uniform in $\{0,\ldots,q-1\}$ ($q$ prime), then two linear combinations $\sum a_i X_i$ and $\sum b_i X_i$ are independent iff the vect …
12
votes
Expectation of a random sum
Here's a counterexample.
Let $X$ be equal to $2^k k^{-2}$ with probability $2^{-k}$. The probability that among $n$ i.i.d. copies of $X$ we get at least one with value $2 ^ {2 \log n} (2 \log n)^{-2} …
11
votes
A variant of random walk
The special case when the $X_i$'s are +1 or -1 with equal probabilities is called Bernoulli Convolution, see the nice survey by Peres, Schlag and Solomyak: SIXTY YEARS OF BERNOULLI CONVOLUTIONS.
10
votes
Accepted
Non-integrable ergodic theory
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I found this question very interesting and gave it much thought this week. I believe I have a proof now. I think …
9
votes
Accepted
The minimum-perimeter triangle of three sets of points
Partition the unit square into small squares of area roughly $a$. Your question is equivalent to asking for which $a$ do we typically see about 1 small square with points from each of $X$,$Y$ and $Z$? …
9
votes
Expected Degree of a vertex in Delaunay Triangulations
Let's speak momentarily about the space average, rather than the expected degree. That is, consider the (expectation of the) average degree over all vertices in the disc of radius $R$ around the origi …
8
votes
many expected streaks imply high probability for a streak
You're right that something more is needed to conclude that the probability of no streak is small.
In this particular case, one can easily get a lower bound by partitioning the sequence of coin flips …
8
votes
Accepted
The $\sigma > 0$ condition in the Central Limit Theorem
How is the general case different than this example?
If $\sigma=0$ then the variance of $S_n/\sqrt{n}$ goes to 0 so $S_n/\sqrt{n} \to 0$ in distribution.
7
votes
Random walk to stay in an interval forever
The crucial requirement is that $\sum_{i=0}^\infty t_i^2 < \infty$. See Kolmogorov's two-series theorem and also the more general Kolmogorov's three-series theorem.