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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.

31 votes
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Boys and Girls Revisited

Symmetry. Put them all together and tell them to multiply forever. The question then becomes whether the $n$-th boy was born at the $2n$-th birth or later, or not, i.e., who is the majority among the …
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25 votes
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Find the area of the region enclosed by $\frac{\sin x}{\sin y}=\frac{\sin x+\sin y}{\sin(x+y...

Here is my computation. First of all, I had no idea whatsoever how to integrate implicit trigonometric functions, so I decided to switch to the integration with respect to the sides $x,y,z$ of the tri …
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19 votes
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An entropy inequality

OK, having spent about 20 hours on the search of a nice proof (which extinguished my passion for beauty for the next several days at least), I'm resorting to the brute force. I will love to see someon …
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16 votes

An inequality for two independent identically distributed random vectors in a normed space

I'm not in my best shape at the moment, so, please, check thoroughly what is written below. The answer is "No". The distribution does not matter much, but the norm does. So, we want to take $N\ge 3$ …
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16 votes
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Relative Entropy and p-norm

The argument below is not very elegant,but it is, indeed, a standard exercise. Let $g=\max(f-1,0)$. We shall prove that $$ f\log f\le 2g+\frac 2{p-1}g^p\,. $$ The integration and Holder then give the …
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16 votes

Looking for sufficient conditions for positive Fourier transforms

please show me how to prove for $|\omega|>20$ With great pleasure. We shall just show that $F(y)=\int_0^\infty e^{-x^a}x^a\log x\cos(yx)\,dx>0$ for large enough $y>0$. Note that $\cos(yx)=\Re e^{iyx}$ …
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13 votes
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Maximum of a set of sums of iid random variables

It is always true. Split $x_i=y_i+z_i$ where $y_i$ are bounded and $Ez_i\le \frac \mu{10n}$. You have no problems with $y_i$ because if they were alone,$ES_j$ would be concentrated in a very strong se …
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13 votes
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Expectation of a random sum

Edit: I made it a bit clearer and simpler. No. You start with noticing that there is no "linear" estimate for the mean of $S_N$ in terms of the mean of the sample $X$ under the assumption that the m …
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12 votes

lower-bound for $Pr[X\geq EX]$

This should really be a comment, but it just takes too much space to put in the comment box. I was quite puzzled by Ryan's remark that Feige's problem (with just some constant) is hard while it is a t …
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11 votes
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A Question on Random Matrices

It is actually more like $e^{-\sqrt n}$. Let's look at the norm of the inverse matrix. The entries are $\pm\prod_{i:i\ne j}\frac 1{z_j-z_i}\sigma_m(z_1,\dots,z_{j-1},z_{j+1},\dots,z_n)$ where $z_k=e^{ …
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11 votes
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Estimates for Symmetric Functions

OK, here is my argument (sorry for the delay). First of all, $Z$ is essentially the maximum of the absolute value of the polynomial $P(z)=\prod_j(1-z_jz)$ on the unit circumference (up to a factor of …
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10 votes
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partition of infinite word onto permitted words

OK, let's try. If I haven't made any mistake, this is just a standard "condition on the head-cut the tail" measure theory puzzle. Claim 1. The condition $A_1$ that the sequence contains an arbitraril …
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10 votes

Inequality in Gaussian space -- possibly provable by rearrangement?

That is just Cuchy-Schwartz (though pretty well hidden). Writing everything down in terms of the joint density, dropping irrelevant factors, and taking into account that $f(-t)=-f(t)$, we see that the …
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10 votes
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accumulation points within Pisot numbers

The answer to the first question is "certainly not". Consider the polynomials $P_d(X)=X^d-4X^{d-1}-X^{d-2}-1$. They have $d-1$ roots in the unit disk by Rouche, so their positive real roots are Pisot …
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10 votes

Absolute continuity of measures on infinite binary sequences

Ok, Loïc Teyssier, Gerry Myerson, Nik Weaver, Stefan Waldmann, coudy, and a few other people will scold me badly for answering a question about a relatively simple exercise in undergraduate probabili …
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