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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.

234 votes
Accepted

What is convolution intuitively?

I remember as a graduate student that Ingrid Daubechies frequently referred to convolution by a bump function as "blurring" - its effect on images is similar to what a short-sighted person experiences …
62 votes
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Why is the Gaussian so pervasive in mathematics?

Quadratic (or bilinear) forms appear naturally throughout mathematics, for instance via inner product structures, or via dualisation of a linear transformation, or via Taylor expansion around the line …
Terry Tao's user avatar
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43 votes
Accepted

Anti-concentration bound for permanents of Gaussian matrices?

I did a preliminary feasibility analysis of our methods and it appears possible that one may be able to tighten our $n^\epsilon$ loss to something more like $\exp( \sqrt{n} )$ in the Gaussian case, bu …
Terry Tao's user avatar
  • 114k
38 votes

If $X$ and $Y$ independent and identically distributed, then $E(|X-Y|)\leq E(|X+Y|)$. Are ot...

Shorn of probabilistic language, this inequality follows from the assertion that $|x+y|-|x-y|$ is a positive semi-definite kernel, and is therefore the sum (or integral) of squares. Your Fourier-anal …
Terry Tao's user avatar
  • 114k
33 votes
Accepted

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

I adapt an argument from this blog post of mine, exploiting the $\ell^2$ boundedness of the discrete Hilbert transform (i.e. Hilbert's inequality), to obtain an exponential upper bound. I don't see a …
Terry Tao's user avatar
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30 votes
Accepted

"Entropy" proof of Brunn-Minkowski Inequality?

The similarity between the entropy power inequality and the Brunn-Minkowski inequality is not directly related to convexity - after all, Brunn-Minkowski can be generalised to bounded open sets that ar …
Terry Tao's user avatar
  • 114k
28 votes
Accepted

Is there a noncommutative Gaussian?

The theory of classical independence and classical convolution can be generalised to noncommutative settings in several ways. The most famous one is that of free independence and free convolution (int …
Terry Tao's user avatar
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24 votes
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Why is free probability a generalization of probability theory?

Quite a lot of questions here! It is perhaps worth making a distinction between scalar classical probability theory - the study of scalar classical random variables - and more general classical proba …
Terry Tao's user avatar
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24 votes
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Intuitive understanding of the Stieltjes transform

Firstly, the equation you attribute to Silverstein (and is sometimes known as the "self-consistent equation" for the Stieltjes transform) is not exact, but only asymptotically valid in the limit $n \t …
Terry Tao's user avatar
  • 114k
21 votes

Can random variables that almost surely solve equations be repaired to surely solve these eq...

After chasing down references relating to the paper of Shelah mentioned by Will Brian, I now have a satisfactory answer to the question. It all hinges on whether there is a splitting of the quotient …
Terry Tao's user avatar
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20 votes
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Choosing a relative large density subsequence from a low density sequence

The answer is no. This is a good illustration of a reasoning principle identified explicitly in Gowers, W. T., The two cultures of mathematics, Arnold, V. (ed.) et al., Mathematics: Frontiers and pers …
Terry Tao's user avatar
  • 114k
19 votes

Heuristic lower bounds on small sums of roots of unity

One heuristic is to replace the $n^{th}$ roots of unity by $n$ iid elements $\zeta_1,\dots,\zeta_n$ of the unit circle, drawn uniformly at random. For any sum $\zeta_{i_1} + \dots + \zeta_{i_k}$ of $ …
Terry Tao's user avatar
  • 114k
16 votes
Accepted

Some models for random graphs that I am curious about

The Lovasz-Szegedy theory of graphons is likely to be relevant. Every measurable symmetric function $p: [0,1] \times [0,1] \to [0,1]$ (otherwise known as a graphon) determines a random graph model, i …
Terry Tao's user avatar
  • 114k
16 votes
Accepted

Probability vector $p$ majorizes its normalized entropy vector $\small \frac{-p\log p}{H(p)}$

This appears to be the case, but I was forced to rely on a somewhat complicated inequality on two real variables that looks quite plausible numerically, though I do not have a 100% rigorous proof of i …
Terry Tao's user avatar
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15 votes
Accepted

When does a pointwise CLT hold?

Bounded density will suffice, I think. Basically what one needs is for the Fourier transforms (aka characteristic functions) of the $X_1 + \ldots + X_n / \sqrt{n}$ to converge pointwise to the Fourie …
Terry Tao's user avatar
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