Questions on using, finding, or otherwise relating to probability distributions, pdfs, cdfs, or the like.

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2
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0answers
40 views
+150

Integral involving the von Mises-Fisher distribution

I'm going quickly through the VonMises-Fisher distribution $M$ on $\mathbb S^{d-1}$ and its properties. Its probability density function is: $$f(x; \kappa,\mu)= c(\kappa)\exp(\kappa x^T\mu)$$ where $...
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0answers
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Simple Markov property on stopping times

Suppose $(S_n)_{n\geq1}$ is a Markov chain on the two dimensional lattice of the integers. Then define the stopping time $\tau_A'=\inf\{n\geq1:S_n\notin A'\}$ and consider the following for $A\subset ...
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1answer
54 views
+100

Distributional equality

Let $(W_t)_{t\geq0}$ be a standard Brownian motion. I have to show that the following equality holds in distribution. Does someone has a good hint to show this? $\sup_{t \geq 0}( |W_t| -t) = \sup_{t \...