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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.

1 vote
2 answers
564 views

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 …
john mangual's user avatar
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2 votes
0 answers
863 views

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 …
john mangual's user avatar
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1 vote
1 answer
151 views

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, …
john mangual's user avatar
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3 votes
3 answers
939 views

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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11 votes
3 answers
1k views

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 …
john mangual's user avatar
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8 votes
2 answers
751 views

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( …
john mangual's user avatar
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2 votes
1 answer
289 views

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 …
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9 votes
1 answer
520 views

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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28 votes
6 answers
2k views

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 …
john mangual's user avatar
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10 votes
2 answers
3k views

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 …
john mangual's user avatar
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2 votes
0 answers
220 views

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 …
john mangual's user avatar
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2 votes
1 answer
559 views

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 …
john mangual's user avatar
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2 votes
9 answers
2k views

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 votes
0 answers
551 views

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 …
john mangual's user avatar
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5 votes
3 answers
935 views

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 …
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