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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
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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 …
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?
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 …
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?
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 …
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 $k=n$) …
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} …