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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.

25 votes

Random sequence of integers in $\{1, 2, \dots, n \}$ which is "everywhere probably increasin...

Using Fourier analysis in the $d$ variable, we can get the optimal upper bound. As in Tao's argument, if there is a distribution of sequences for which each pair is $r$-probably increasing, there mus …
Will Sawin's user avatar
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19 votes

Is a random subset of the real numbers non-measurable? Is the set of measurable sets measur...

$\Sigma$ is clearly not a measurable set in the product sigma-algebra, moreover it is so non-measurable that every measurable set containing it is the whole set (any any measurable set contained in it …
Will Sawin's user avatar
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18 votes
Accepted

Is $\prod_{i=1}^\infty (1-\frac{1}{2^{(2^i)}})$ transcendental?

I can prove that the number actually described by the word problem, which is $$ \prod_{i=0}^{\infty} \left( 1- \frac{1}{2^{2^i}} \right),$$ is irrational, by a method similar to David Speyer's. Expand …
Will Sawin's user avatar
  • 149k
18 votes

What is the Katz-Sarnak philosophy?

I'm going to give an answer that discusses some things that the other answers don't go into as much detail on. In particular let me try to explain why the results you mention on classical groups havin …
Will Sawin's user avatar
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17 votes

The Angel and Devil problem with a random angel

In dimension $5$ and above, a random angel escapes a blind devil with positive probability, as long as $r$ is sufficiently large. To see this, let's replace the angel with one that chooses a point to …
Will Sawin's user avatar
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16 votes
Accepted

Is the circle in the square best at avoiding random lines?

Calculus of variation shows that the segment of the boundary of the optimal shape where the tangent line intersects two opposite sides must be a parabola. To see, this observe that the tangent line …
Will Sawin's user avatar
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16 votes
Accepted

How rich is the richest person in a society satisfying the Pareto principle?

Let $F(x) =\int_{1-x}^{\infty} W(t) dt$. Then the inequality is $F(\rho x ) \geq \alpha F(x)$ and we also have that $\frac{dF}{dx} (\frac{1}{2}) = 1$ and $F$ is convex down. In particular for $x=\frac …
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14 votes
Accepted

Functional-analytic proof of the existence of non-symmetric random variables with vanishing ...

This doesn't really require modern functional analytic tools, but we can prove a statement (due originally to Edelheit, according to Jochen Wengenroth in the comments) like Let $V$ be a Frechet space …
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13 votes
Accepted

Can a non integrable random variable satisfy a strong law of large numbers principle?

No. If $\mathbb E[X^+]=\infty$ then $$\infty = \mathbb E[ \lfloor X^+\rfloor ] =\sum_{n=1}^{\infty} \mathbb P(X \geq n) = \sum_{n=1}^{\infty} \mathbb P(X_n\geq n)$$ and the events $X_n \geq n$ are ind …
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11 votes

Probability that biggest area stays greater than 1/2 in a unit square cut by random lines

Aaron and fedja have pointed out that the problem is equivalent to finding the convex region in the plane with area $1/2$ with the highest probability that a random line does not intersect it. The o …
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11 votes
Accepted

A trick or a general technique? (Probabilistic Method)

One way to see this technique is as a way of dealing with certain bad cases. $E[P/Q]$ can be unhelpfully dragged up by the inclusion of certain cases where $Q$ is small and $P$ is medium. $E[P]/E[Q]$ …
Will Sawin's user avatar
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11 votes
Accepted

For a round-robin tournament, what is the favorite's least favorite size?

I can show that $N(\epsilon)$ is equal to $\epsilon^{-2}$ up to a log factor on each side. The strategy I'll use is to give an upper bound for $\pi(1/2+\epsilon,n)$. Optimizing it, we obtain an upper …
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11 votes

What are two independent, uniformly distributed random variables on the unit interval?

There's no particular reason to use a continuous space-filling curve, other than style points. Just expand x in binary and send the odd digits to $f$ and the even digits to $g$. To prove that you get …
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10 votes
Accepted

Sums of random variables mod p

Yes, and it's proportional to $\cos ( \pi/p)^n$. To see this, observe that adding one more independent random variable acts on the probability distribution as a linear operator, hence a $p \times p$ m …
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10 votes

Kolmogorov 0-1 law counter examples for almost independent variables

Let $(Y_1,\dots, Y_k)$ be a random $k$-tuple uniformly distributed in $(\mathbb R/\mathbb Z)^k$. Let $X_i = \sum_{j=1}^k i^j Y_j \in \mathbb R/\mathbb Z$. Then the $X_i$ are $k$-wise independent (and …
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