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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.
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How to reading of an integral? Bernoulli trials with variable success rate, p
I have a Bernoulli trial with success rate $p$ and failure rate $1-p$ the odds of $k$ successes is $\binom{N}{k} p^k (1-p)^{N-k}$. I need to evaluate an integral
$$ \int_0^1 dp p^k (1-p)^{N-k} = \f …
2
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0
answers
863
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fourier decomposition of white noise
I found in some lecture notes that Brownian motion is defined by its Fourier series:
$$ B(t) = \sum_{m \in \mathbb{Z},\; m \neq 0} \frac{a_m}{m} e^{2\pi i \,mt} $$
Then I would get that its derivati …
1
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1
answer
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Is the Krawtchouk ensemble a determinantal process?
The Krawtchouk ensemble is defined by a weight: $w(x) = \binom{K}{x}p^x q^{K-x} $ and in fact it comes from a conditioned random walk on $\mathbb{Z}^N$. It is a probability measure on the set $\{ 0, …
3
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3
answers
939
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implementations of domino shuffling algorithm
Are there many implementations of the "domino shuffling" algorithm as found in William Jockusch, James Propp amd Peter Shor's Random Domino Tilings and the Arctic Circle Theorem math.CO/9801068? This …
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3
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1k
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Sampling from Sine Kernel and Airy Kernel
A determinantal process on the line is a random collection of points on $\mathbb{R}$ such that the probability of $x_1, \dots, x_n$ lying on the random set is $\det (K(x_i, x_j))_{(i,j)}$. Examples …
8
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2
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751
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The Odds 3 (or More) Group Elements Commute
Some time ago I asked about the odds 2 group elements commute. I wonder about the odds that 3 group elements commute. Is there a "closed" formula for the sum
$$ \frac{1}{|G|^3} \sum_{g,h,k} \delta( …
2
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1
answer
289
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Prime Divisors of the $x \mapsto 2x+1$ Recursion
The Cohen-Lenstra statistics describe how often a prime divides the class number of quadratic number field $\mathbb{Q}[\sqrt{d}]$
$$ \mathbb{P}\big[h(d) \not\equiv 0\; (\mod p) \big] = \prod_{k \geq …
9
votes
1
answer
520
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Analogue of Wick formula for orthogonal polynomials
n-point correlations of Gaussian random variables can be simplified with Wick expansion.
$$ \langle x_{i_1} x_{i_2} \dots x_{i_{2n-1}} x_{i_{2n}} \rangle = \int_{\mathbb{R}^n} x_{i_1} \dots x_{i_{2n} …
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6
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Random Alternating Permutations
An alternating permutation of {1, ..., n} is one were π(1) > π(2) < π(3) > π(4) < ... For example: (24153) is an alternating permutation of length 5.
If $E_n$ is the number of alternating permutations …
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Random Unfoldings of the Cube
Motivated by unfoldings of the dodecahedron in How To Fold It --
How many (labeled or unlabeled) unfoldings of the 1 x 1 x n stack of unit cubes are there?
JORourke (4Nov16): John's original image …
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0
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why is this result about Gaussian analytic functions equivalent to the Crofton formula
I am reading Zeros of Gaussian Analytic Functions by Mikhail Sodin and he gives an much-too-easy proof of density of zeros of a Gaussian Analytic function.
Definition A Gaussian analytic function …
2
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1
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559
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Expected value of $(1 - X)^{-2} $ over Haar measure of the unitary group, $X \in U(N)$
Let $\lambda_1, \dots, \lambda_n$ be the eigenvalues of a random Unitary matrix. I am interested in the expected value:
$$\mathbb{E}_{X \in U(N)}\left[ \prod_{i=1}^n \frac{1}{(1 - \lambda_i)^2}\righ …
2
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9
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2k
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Examples of amenable groups other than finite groups
I'm reading about amenable groups. What are explicit examples of nonabelian discrete amenable groups other than finite groups? Perhaps a group presentation or matrix representation would be useful.
8
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551
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Hasse-Weil Bound and Chebyshev Inequality
I was reading about the Hasse-Weil bound for the number of points in on a curve over the finite field $\mathbb{F}_q$.
$$ \big| |C(\mathbb{F}_q)| - (q+1) \big| \leq 2g \sqrt{q} $$
However, this rem …
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Analogy between Integers and Permutations
I am reading Andrew Granville's Anatomy of Integers and Permutations where it is argued the factorization of a permutation into disjoint cycles is analogous to the factorization of a number into prime …