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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.

11 votes
2 answers
821 views

Quantum analogue of Wiener process

The Wiener process (say, on $\mathbb{R}$) can be thought of as a scaling limit of a classical, discrete random walk. On the other hand, one can define and study quantum random walks, when the underlyi …
Marcin Kotowski's user avatar
10 votes
2 answers
1k views

Random rotations in SO(3) and free group

Is it true that two random (w.r.t. Haar measure) rotations in $SO(3)$ generate a free group?
Marcin Kotowski's user avatar
2 votes

Expected values of traces of products of random matrices

Answering my own question, there is a closed formula for such traces, given in: http://arxiv.org/abs/math-ph/0402073 (the formula involves representation theory of $S_n$ and gets ugly as $n$ gets bigg …
Marcin Kotowski's user avatar
7 votes
0 answers
129 views

Speed on recurrent graphs

Suppose that $G$ is a (locally finite) graph such that the simple random walk on $G$ is recurrent. Does this imply any upper bound on the speed $\mathbb{E}d(X_t,X_0)$ of such random walk?
Marcin Kotowski's user avatar
11 votes
2 answers
2k views

Expected values of traces of products of random matrices

Suppose I want to compute a quantity of the type: $\mathbb{E}\mathrm{tr}(AUBU^{\ast})$ where averaging is over Haar measure on the unitary group $\mathcal{U}(n)$ (one can of course consider higher …
Marcin Kotowski's user avatar
11 votes
3 answers
739 views

Rainbow matchings (in random graphs)

Suppose we have an $(n,n)$-bipartite graph with edges colored with $k$ colors. Is anything known about the existence of rainbow matchings (i.e. a matching that uses each color exactly once, for $k=n$) …
Marcin Kotowski's user avatar
21 votes
3 answers
1k views

Central Limit Theorem(s) for irrational rotation

Let $\alpha$ be irrational and $T: S^1 \rightarrow S^1$ be the rotation by $\alpha$. I'm interested in what type of Central Limit Theorem (if any) can hold for sums $Y_n = \frac{1}{\sqrt{n}}\sum_{k=1} …
Marcin Kotowski's user avatar