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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 …
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 …
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 …
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 …
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 …
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 …
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' …
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 …
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 …
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, …
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 …
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 …
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 …
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 \ …
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 …