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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.

17 votes
2 answers
5k views

Positive-Definite Functions and Fourier Transforms

Bochner's theorem states that a positive definite function is the Fourier transform of a finite Borel measure. As well, an easy converse of this is that a Fourier transform must be positive definite. …
11 votes
2 answers
77k views

Coin pusher game

While doing laundry at my local laundromat, I saw a coin pusher game. Below is a picture, and here is a video depicting how it works (disregard non-coins). Essentially, one has a distribution of coin …
11 votes
8 answers
2k views

Semicircle law universality elsewhere

Wigner's semicircle distribution is: $$f(x)=\frac{1}{2 \pi}\sqrt{4-x^2}, \ \ -2\leq x\leq 2.$$ Under reasonable conditions, the rescaled eigenvalue density of random symmetric matrices $M_n$ follows …
9 votes
3 answers
732 views

Random RSK and Plancherel Measure

Let $(X_1,X_2,\ldots)$ be a sequence of i.i.d. random variables. It is known that if these random variables are distributed uniformly on the unit interval, then applying the RSK algorithm to this sequ …
18 votes
4 answers
1k views

Pennies on a carpet problem

I recently read the following "open problem" titled "Pennies on a carpet" in "An Introduction To Probability and Random Processes" by Baclawski and Rota (page viii of book, page 10 of following pdf) …
4 votes
0 answers
161 views

Young Tableau Box Correlations

Let $T$ be a uniformly random Standard Young Tableau (SYT) of shape $\lambda=(\lambda_1,\cdots,\lambda_k)$ with $|\lambda|=n$. Let $T_{ij}$ denote the value in box $(i,j)$. I'm interested in what can …
2 votes
0 answers
1k views

Random matrices whose limit gives exact Wigner surmise

Let $M$ come from an ensemble of $N\times N$ matrices. The Wigner surmise is density function $p^W_0(s)=\frac{\pi}{2}se^{-\pi s^2/4}$. From a random matrix point of view, we can write $\rho^W_0(s)=\fr …
3 votes
0 answers
297 views

Eigenvalue Gap Probability Through Method of Moments

Let $M_n$ be drawn from $n\times n$ matrices under the Circular Orthogonal Ensemble (COE) distribution. Then the eigenvalues of $M_n$ all lie on the unit circle. Starting on the real line and going co …
7 votes
2 answers
2k views

Brownian Motion Winding Number

Take a simple random walk $\gamma$ in the complex plane conditioned to start at point $a$ and end at point $b$. For this random walk, we can define the winding number $W_\gamma(a,b)$ around $b$ in the …
2 votes
0 answers
142 views

Arctic Circle Theorems and the Wave Equation

I've seen the following remark in a number of papers but don't know what to make of it. In this paper by Cohn, Elkies and Propp, it is mentioned that the normalized average Height function $\mathcal{H …
4 votes
1 answer
625 views

Characterizations of the GOE/GUE family of distributions

This question is somewhat related to this one. Loosely speaking, when should I expect a GOE/GUE distribution? The angle of my approach to this is not through statements such as "there is a natural inv …
4 votes
0 answers
131 views

Generating random weak k-bounded reverse plane partitions

Fix a partition $\lambda$. A weak reverse plane partition of shape $\lambda$ is a filling $0\leq \pi_{ij}$ of $\lambda$ with $\pi_{ij}\leq \pi_{kl}$ whenever $i\leq k$ or $j\leq l$. Note that $\pi_{ij …
3 votes
1 answer
177 views

Domino Shuffling and Warren's process

In this paper by Nordenstam, it is shown that a certain interlacing particle process that arises from uniformly random Aztec diamond tilings is amazingly similar to Warren's process. One of the result …
1 vote
1 answer
201 views

Running the Greene-Nijenhuis Algorithm Backwards

This question is crossposted from math.stackexchange.com, where it remains unanswered. Let $Y$ be a Young tableau of shape $\lambda:=(\lambda_1,\ldots,\lambda_n)$, where $\lambda_1\geq\lambda_2\geq\l …
5 votes
1 answer
417 views

Memory of Uniformly Random Dyck Paths

Let $D$ be the set of all Dyck paths on square grid of size $n\times n$. For any particular Dyck path, let $S(t)=X_1+X_2+\ldots +X_t$ store the path, where $X_i=\pm 1$. Being a Dyck path, we have $S(0 …

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