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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.

12 votes

Probability theory and measuring the true strength of chessplayers

Your question makes assumptions with which I disagree. I do not think that strength means choosing winning moves more frequently in theoretically won positions. The positions encountered in chess are …
The Amplitwist's user avatar
167 votes
Accepted

Google question: In a country in which people only want boys

The proportion of girls in one family is a biased estimator of the proportion of girls in a population consisting of many families because you are underweighting the families with a large number of ch …
Benjamin Wang's user avatar
5 votes

Independence of Brownian motion at hitting time from that hitting time

This result holds less obviously for Brownian motion with constant drift, not just $0$ drift. It is critical that the starting point is centered on the interval and it fails otherwise. Stern, F. An In …
Glorfindel's user avatar
  • 2,821
5 votes
Accepted

Limit law for the number of local maxima in a square lattice of IID random variables

There are quite a few extensions of the Central Limit Theorem to dependent random variables whose dependence is controlled. This includes the case of a sequence of sums of identically distributed rand …
Glorfindel's user avatar
  • 2,821
2 votes

Card game / options pricing / Brownian bridge question

This specific game seems very familiar, and I'm sure I have seen it discussed before along with a discussion of the optimal strategy, although I can't remember where. It might have been the Project Eu …
Martin Sleziak's user avatar
5 votes
Accepted

Minimum probability that two Gaussian random variables are small

The minimum value is simply $2\alpha-1 = 0.365379$ where $\alpha = \Phi(1)-\Phi(-1) = P(|X|<1)$ where $X \sim N(0,1)$. This can be achieved by translating the percentile of $X$ (considering the percen …
Douglas Zare's user avatar
4 votes

Does the optimal strategy converge in poker if the SPR tends to infinity?

The Clairvoyant Game Here is a well-known toy problem (the Clairvoyant Game) that doesn't converge: Suppose your hand is face-up. You have no hidden information. You don't know whether your opponent' …
Douglas Zare's user avatar
3 votes
Accepted

Should you bet in poker against Darth Vader?

Here is an answer to the updated question: Suppose that there are two betting rounds. Darth Vader has three types of hands. Type 1 wins with probability 1. Type 2 is a draw that hits (becomes a winni …
Douglas Zare's user avatar
6 votes

Should you bet in poker against Darth Vader?

Getting all-in while behind It is not just when you are ahead that you might want to get all-in against someone who has an information advantage. Suppose the pot is $1$ and the effective stack depth …
Douglas Zare's user avatar
3 votes
Accepted

Vanishing zeroes in matrix powers

This is a combination of the answer Gerry Myerson gave on MSE, the paper linked there, and the comments here. The largest possible minimum $m$ is $(n-1)^2+1 = n^2-2n+2$. This was proved by Wielandt, …
Community's user avatar
  • 1
1 vote

Collecting stones in n buckets

See A balls-and-colours problem and Another colored balls puzzle although those don't talk about the two-dimensional distribution. These suggest looking at the count of pairs of pebbles in different b …
Community's user avatar
  • 1
2 votes

A generalization of negative binomial distribution

This is related to the coupon-collector problem. These random variables have been studied by many people, although I don't recall a particular name for them. See, for example, Anna Pósfai's thesis (ab …
Douglas Zare's user avatar
3 votes
Accepted

Why does the overhand shuffle converge to the uniform distribution on $S_n$?

Shuffles like the overhand shuffle or riffle shuffle are not just random walks, they are symmetric random walks because you apply a random permutation drawn from the same distribution no matter what t …
Douglas Zare's user avatar
3 votes

Shortest path through $n^{1/3}$ points out of $n$

The lower bound argument I gave for $\sqrt{n}$ points in a square works here, too. I have tried to simplify it. The idea is to use the union bound: The probability that a random path with $m=\lfloor \ …
Douglas Zare's user avatar
2 votes
Accepted

Subquadratic multiplication of probability mass functions (with log-convolution?)

There is little room for improvement over brute force because the average number of collisions is a very slowly growing function. The Erdős multiplication table problem asks how many numbers are pro …
Douglas Zare's user avatar

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