Questions tagged [pr.probability]
Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory.
5,382 questions
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Defining weak solutions to infinitely many SDEs on the same probability space
Suppose I have an SDE of the form
$$dX_t=b(X_t)dt+\sigma (X_t)dB_t+\int_{\mathbb{R}}G_{t-}(y)N(dtdy)$$
which I can solve weakly if I cut off the last integral to range over the set $\{\mid{y}\mid > ...
2
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1answer
46 views
Reference request: When is the variance in the central limit theorem for Markov chains positive?
I'm looking for a reference which gives sufficient conditions for the variance to be positive in the central limit theorem for Markov chains (cf https://en.wikipedia.org/wiki/...
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1answer
61 views
Maximal correlation and independence
Let $X$ and $Y$ be random variables. Then the maximal correlation $\rho_m(X;Y)$ is defined as
$$ \rho_m (X;Y) := \max_{(f(X),g(Y))\in S} \mathbb{E} [f(X)g(Y)] $$
where $S$ is the collection of pairs ...
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For a martingale $f_0,f_1,\ldots $ how can we bound $P(\frac{1}{n} \|f_n\|) \le 1$ for all $ n \ge N)$?
Suppose $f_0,f_1, \ldots$ is a martingale (or i.i.d sequence) in $\mathbb R^d$ with $f_0=0$ and all $\|f_n - f_{n-1}\| \le L$ say. There are many concentration results for the initial segment of the ...
2
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1answer
95 views
Behavior of random positive-definite matrix in high dimension?
Consider a random matrix $A \in \mathbb{R}^{n\times n}$ with i.i.d. entries, with symmetric law and finite variance. I am curious about the behavior of $$\mathrm{Tr}( (A^T A + \lambda \mathrm{Id})^{-1}...
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1answer
90 views
Isoperimetry on $[0, 1]^n$ w.r.t $\ell_p$ distance, with $p \in [1,\infty]$
Let $A$ be a measurable subset of the metric space $\mathcal X = ([0, 1]^n,\ell_p)$ with $1 \le p \le \infty$, and define its $\varepsilon$-blowup by $A^\varepsilon:=\{x \in \mathcal X \mid \|x-a\|_p \...
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1answer
123 views
Good upper-bound for $\mathbb E[|X-np|^r]$ where $X \sim \text{Binomial}(n,p)$ and $r \ge 1$
Disclaimer. Question moved from SE.
Setup
Let $X \sim \text{Binomial}(p, n)$, and $r \ge 1$.
Question
What is a good upper-bound for $\mathbb E[|X-np|^r]$ ?
Solution for small $r$
If $r=2$, then ...
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93 views
An application of Girsanov's Theorem
Let $(W,H,i)$ be the classical Wiener space where $W=C_0([0,1])$, $H$ is the Cameron-Martin space. Let $A= I_{W}+a$ such that $A:W \rightarrow W$ and $a \in L^{0}(\mu,H)$, $a$ has adapted derivative, ...
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1answer
152 views
Do i.i.d Sums Concentrate Any Faster Than Martingales?
Suppose $X_1,X_2, \ldots, X_N \in \mathbb R^d$ are random variables with each $\|X_n\|_2 \le 1/2$ (this choice of the constant simplifies later formulae).
The simplest concentration inequality I ...
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52 views
A comprehensive list of random walk inequalities?
I am interested in finding a comprehensive list of all noticeable random walk inequalities.
ie. $S_n = \sum_{k\leq n} X_i$ for i.i.d symmetric $X_i$
I can only seem to find books/papers that list ...
5
votes
1answer
131 views
Maxima of Brownian motion
It is well-known that Brownian motion attains infinitely many maxima in each time interval $[0,T]$ a.s..
From a physics perspective it seems reasonable that when the disorder of the path of a ...
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0answers
62 views
Joint drunkard walks
The drunkard walk is a game where two players have $a$ and $b$ dollars, respectively, and they play a series of fair games (both risking one dollar in each game) until one of them goes broke.
My ...
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75 views
When does volume ratio of concentric balls decay faster than Gaussian?
Let $\mu$ be a finite measure on $\mathbb{R}^n$. Let $B_1$ to be the unit Euclidean ball centered at 0 in $\mathbb{R}^n$. Therefore, for any $t>0$ and $\theta\in\mathbb{R}^n$, $tB_1+\theta$ is the ...
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How to obtain mathematical expectation with the vector as random variable?
In my study, I wish to get the mathematical expectation for the term below. The vector $\boldsymbol{z} \in \mathcal{C}^{N\times1}$ and $\boldsymbol z \sim \mathcal{CN}\left(\boldsymbol{0},\boldsymbol{...
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68 views
Obtaining a lower bound on the expectation using the Sudakov-Fernique inequality
In my work I wish to obtain a lower bound for the term below. Here the expectation is taken over $h$, a standard random Gaussian vector of length $n$. The minimum is taken over all $\{i_1,\dots,i_L\} \...
