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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 …
Ori Gurel-Gurevich's user avatar
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 + …
Ori Gurel-Gurevich's user avatar
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.
Ori Gurel-Gurevich's user avatar
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 …
Ori Gurel-Gurevich's user avatar
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 …
Ori Gurel-Gurevich's user avatar
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 …
Ori Gurel-Gurevich's user avatar
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 …
Ori Gurel-Gurevich's user avatar
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} …
Ori Gurel-Gurevich's user avatar
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.
Ori Gurel-Gurevich's user avatar
10 votes
Accepted

Non-integrable ergodic theory

$\newcommand{\R}{\mathbb R}$ $\newcommand{\P}{\mathbf P}$ $\newcommand{\Z}{\mathbb Z}$ I found this question very interesting and gave it much thought this week. I believe I have a proof now. I think …
Ori Gurel-Gurevich's user avatar
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 $Z$? …
Ori Gurel-Gurevich's user avatar
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 …
Ori Gurel-Gurevich's user avatar
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 …
Ori Gurel-Gurevich's user avatar
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.
Ori Gurel-Gurevich's user avatar
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.
Ori Gurel-Gurevich's user avatar

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