Modern theory of probability is formulated on the footing of measure theory. Use this tag if your question is about this theoretical footing (for example probability spaces, random variables, law of large numbers, central limit theorems, and the like). Use (probability) for explicit computation of ...

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Multinomial distribution: bounding sum of coordinates' deviations from mean

Okay, given a multinomial random vector $$X=\text{Multinom}(n,\;p_{1},\;\dots,\;p_{k}),$$ so that $$X=(X_{1},\;\dots,\;X_{k})\;\;\;\text{with} \;\;\;\sum_{i=1}^{k}X_{i}=n,$$ I'm looking for a bound ...
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Verifying that a certain process is not a Brownian motion

Let $B$ be a standard Brownian motion in $1$ dimension. Define \begin{equation} \tau = \inf \bigg\{ t \geq 0 : B_t = \max_{0 \leq s \leq 1} B_s \bigg\}. \end{equation} We want to show that $(B_{t+ ...
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Probabilistic arguments in calculus

As the book Probabilistic Techniques in Analysis by R. Bass shows, there is a huge interplay between analysis and probability. However, I would like to see some examples of "more basic" relationships ...
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Prove that $\int k(w)o(h^2w^2)dw=o(h^2)$ for $\int k(w)dw=1$

Suppose that $k$ is nonnegative real-valued function satisfying $$ \int k(w)dw=1,\quad\int wk(w)dw=0,\quad\int w^2k(w)dw=\kappa_2<\infty.\tag{$\star$} $$ Can you please teach me a rigorous ...
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Probability in dice, Feller exercise

I am stuck with exercise 2 of Chapter 4 Feller vol 1 "an introduction to probability theory and its application". Here I report the exercise text: Five dice are thrown. Find the probability that at ...
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probability of a brownian motion being equal to the running maximum

Let $B$ be a standard Brownian motion on $\mathbb{R}$. I would like to show that $$ \mathbb{P} \bigg\{ B_1 = \max_{t \in [0,1]} B_t \bigg\} =0 .$$ I argue that since $\max_{t \in [0,1]} B_t $ has the ...
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3answers
32 views

Where does this conditional probability law come from?

I was trying to follow a computation done in my class notes, and was having difficulty seeing the inspiration for a part of the manipulation in a question regarding probability. I did some Googling, ...
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20 views

Measurability of adapted processes

Let $(\Omega, \mathscr{A}, P)$ be a probability space, $(E, \mathscr{E})$ a measurable space and $X_t : \Omega \to E$, $t \geq 0$ a measurable stochastic process, i.e. the map $X : [0, \infty) \times ...
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41 views

probability circle determined by chord determined by two random points is enclosed in bigger circle

Two points $A$ and $B$ are chosen uniformly at random from the interior of a circle $X_1$. Let $X_2$ be the circle whose diameter is the segment $AB$. What is the probability that $X_2$ is contained ...
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33 views

Definition of $\sigma$-algebra. Axioms.

""Def. A family $\mathcal F$ of subsets of $\Omega$ is said to be a $\sigma$-algebra on $\Omega$ if: (A.1) $\Omega\in\mathcal F$ (A.2) $\ A\in\mathcal F\implies\ A^c\in\mathcal F$ (A.3) $\ ...
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true story about probability? [duplicate]

A women's organization was contemplating suing a famous American university when it learned that the percentage of women who received tenure in the university was smaller than the percentage of men. ...
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a totally bounded subset of $\mathbb{L}_1(\mathbb{R}^{d})$ and Kolmogorov-Riesz compactness theorem

Let $\lambda$ be the Lebesgue measure on $\mathbb{R}^{d}$ , $\mathcal{F}$ a set of all probability densities $f$ such that $\mathcal{F}$ is a totally bounded subset of $\mathbb{L}_1(\mathbb{R}^{d})$ ...
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36 views

What does it mean to say the smallest σ-algebra?

I am just starting out on measure theory. What does it mean to say the smallest σ-algebra?
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22 views

Prove that lim sup of a function belongs to a certain sigma algebra

I am so baffled with this problem: Let $B$ be a standard Brownian motion, $\{ \mathcal{F}_t \}$ be the filtration generated by the Brownian motion. I would like to show that for any $k>0$, ...
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2answers
42 views

A question about sum of n random variables

Let $X_1, \ldots, X_n$ be random variables. We know that $X_1, \ldots, X_n$ are $\sigma(X_1, \ldots, X_n)$ - measurable. But how about $X_1 + \cdots + X_n$? Is it $\sigma(X_1, \ldots, X_n)$ - ...
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49 views

What is a non-decreasing sequence of sets?

What is a non-decreasing sequence of sets and how come it can have a limit? It appear in a probability theory book
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31 views

Partial Correlation Coefficient

I have the following questions on computing the correlation coefficient. Let us say we have two discrete random variables $X_1$ and $X_2$, where $X_1$ has $n_1$ outcomes and $X_2$ has $n_2$ ...
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Iso-density locus of Gaussian mixture distribution

I would like to known what is the equation of the iso-density locus of a Gaussian mixture distribution. Is such an iso-density locus a union of ellispoids? Let's say that this Gaussian mixture is in ...
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14 views

How to calculate convolution of function defining a measure

Given the function $F(t)=2-2e^{-t}$ defining a measure on $(\mathbb{R}_+,\mathfrak{B}(\mathbb{R}_+))$ and I want to calculate the convolution of this function with itself. I tried to do that by using ...
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2answers
37 views

Does really convergence in distribution or in law implies convergence in PMF or PDF?

Ref :Introduction to Mathematical Statistics-Prentice Hall (1994) by Robert V. Hogg, Allen Craig. Now , in the above problem it has been shown that a sequence converges to a random variable X in ...
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41 views

Interchanging the order of a double infinite sum

I'm stuck at a proof of Wald's first equation about interchanging the order of a double infinite sum: Suppose $X_n \ge 0$ and $1_{\{\cdot \}}$ be indicator function. $$ \sum_{n=1}^\infty ...
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2answers
51 views

What is my probability space and measurable space?

I have the following difference equation $$ \tilde{u}_k = \begin{cases} u_k & \text{if $\gamma_k = 1$, no signal lost} \\ \tilde{u}_{k-1} & \text{if $\gamma_k = 0$, signal lost} \end{cases} ...
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21 views

AI Bayes Network Question? [duplicate]

A) Given this Bayes Net Answer and explain: 1) True or False 2) True or False B) Given this Bayes Net: Answer and explain: 3) True or False 4) True or False
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Semigroup of operators: weak continuity at 0+ implies weak continuity at any t > 0

Let ($E$, $d$) be a metric space. Consider the semigroup $\{P(t)\}_{t\geq 0}$ of bounded linear operators on the Banach space $\hat{C}(E)$ of continuous real functions on ($E$, $d$) vanishing at ...
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3answers
45 views

The probability of Breakeven On a Coin Toss Game

I was walking the other day around my work office in NYC and thought of this interesting scenario in a game of coin flips. You have $500 in your pocket. This is your entire life savings. You play a ...
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2answers
35 views

Four dice, probability that difference of some outcomes is equal to others

I roll four dice which gives me outcomes $x_1, ..., x_4$. I want to determine the probability $$P\left((x_2-x_1) = (x_4-x_3)\right)$$ I have already calculated other probabilities in this setting and ...
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13 views

Estimating the discrete laplacian to prove recurrence of simple random walk for d=2

Given a function $f : \mathbb Z\times \mathbb Z \rightarrow \mathbb{R}$ we define the discrete laplacian of $f$, $\triangle_df$, by the following rule $\triangle_df(x,y)= \dfrac{f(x + 1, y)+f(x, y + ...
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1answer
26 views

distinguishing probability measure, function, distribution

I have a bit trouble distinguishing the following concepts: probability measure probability function (with special cases probability mass function and probability density function) probability ...
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2answers
42 views

Why is $E[X1_A]=0$ if $P(A)=0$?

I know this is trivial and intuitive, but I'm not able to convince myself rigorously. If $P(A)=0$, why is it true that $E(X1_A)=0$? Every book discards it out as an obvious fact. I tried to prove it ...
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1answer
32 views

Constructing a joint distribution given $P(X\in A \mid Y)_\omega$

For random variables $X,Y,Z$, I am given for any measurable set $A$ $$P(X\in A \mid Y)=P(Z\in A\mid Y) \text{ a.s. }\iff (X,Y)\overset{d}{=} (Z,Y).$$ The direction $\Leftarrow$ doesn't seem too ...
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probability of the empty set for arbitrary probability measures

I have a probability space $(\Omega, \mathcal{P}(\Omega), P)$. I want to know the probability of the empty set $\{\}$. Intuitively, I would say this probability is zero. It certainly is for the ...
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8 views

Density of this quantity for a Geometric Brownian Motion?

If we define $X_T = X_t e^{(\mu-\frac{1}{2}\sigma^2 ) (T-t) + \sigma W_{T-t}}$ where $W_{T-t}$ is a classical weiner process. How would we go about deriving the density and expectation for $X_{max} - ...
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CDF of RVs taking infinite values

How can we define the CDF of a RV that takes positive infinite values with a tagged probability? Thanks in advance
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35 views

Convergence of $n^{-\gamma}T$ where $T$ a hitting time for uniform rvs, can I use CLT?

Let $X_1,X_2,\dots$ be iid uniform on $\{1,\dots,n\}$ and define $T=\inf\{k:X_k=X_r \text{ for some }r<k\}$. The objective is to figure out when $n^{-\gamma} T$ converges weakly to some ...
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37 views

Almost surely vs expectation

Let $X_1, X_2, X_3 \dots$ be a sequence of random variables. In the limit as $i \rightarrow \infty$ we have $$ X_i \rightarrow 0 \text{ almost surely} $$ Does it follow that In the limit ...
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Empirical characterization of the Brownian Motion

A well-known characterization of the Brownian Motion says that it is the only continuous process $X_t$ (defined on $[0,\infty)$) such that $P(X_0=0)=1$, $E[(X_{t+s}-X_t)^2|X_t]=s$, ...
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1answer
21 views

Chance of overlap of random sets of an interval.

One of my friends asked me something equivalent to this, and none of us knew how to solve it. For fixed $0<w<1$, there are two random sets $A\subset[0,1]$ and $B\subset[0,1]$ such that ...
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1answer
17 views

Finding the pdf of $X_1/(X_1+X_2)$ given $X_1,X_2 \sim \operatorname{Exp}(1)$

I have that $X_1,X_2 \sim \operatorname{Exp}(1)$. I need to find the pdf (probability density function) of $T$ where $T= X_1 + X_2$ and $R= X_1/(X_1+X_2)$. I convolved the pdf's of $X_1$ and $X_2$ to ...
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1answer
24 views

Approximate normal distribution(this is different from what I asked earlier $\log(n)$ is replaced by $\sqrt{\log{n}}$)

Let $ X \sim N (0, 1)$. For $x$ large enough, the tail of the distribution of $X$ may be approximated as $$P(X > x) \sim e^{-x^2/2}/(x\sqrt{2\pi})$$ Consider a sequence of independent r.v. all ...
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1answer
22 views

$L^p$ Martingale convergence theorem

I am trying to prove the $L^p$ Martingale convergence theorem for martingale $X=(X_n)^{\infty}_{n=0}$ on $(\Omega,\mathcal{F},(\mathcal{F}_n)^\infty_{n=0},\mathbb{P})$ which is bounded in $L^p$ for ...
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Approximation of Conditional Expectation with Respect to “Y” Using Simple Approximation of “Y”

Background. (TL:DR you can skip to Question. below.) This is a followup question to one of my previous questions (linked here) on this website. In short, the other question was about how to express ...
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Does this integral $\int f_{X|Y}(x|y) dy$ has any meaning in probability or statistics

Suppose I have two random variables $(X,Y)$ with joint probability density given by $f_{X,Y}(x,y)$. Does integral \begin{align*} \int f_{X|Y}(x|y) dy \end{align*} evaluate to something or has ...
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Conditional expectation of an uniformly distributed random variable

Suppose $U_1, \ldots, U_n$ are i.i.d. random variables with $U_1$ distributed uniformly on the interval $(-1, 1)$. Compute $\mathbb{E}(U_1 + \ldots + U_n |\max(U_1, \ldots, U_n) = t)$ for $t \in (-1, ...
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1answer
25 views

Assumptions of a probability distribution

Let $X$ be a continuous real-valued random variable indicating the fragility of a firm. Suppose that the firm defaults if $X$ takes a value above a threshold $u>0$. Hence $$ Prob(X>u) $$ is the ...
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1answer
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How is it possible to write $\text {Pr} [M = m]$ where $M$ is random variable defined over a message space $\mathcal M$ and $m \in \mathcal M$.

In cryptography we consider random variables $K, M$ and $C$ over the key space $\mathcal K$ , message space $\mathcal M$ and cipher space $\mathcal C$, respectively. I've studied discrete mathematics ...
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1answer
27 views

Sufficient conditions for monotonicity with probability distributions

Let $X_i$ be a continuous non-negative real-valued random variable and $i=1,...,n$. $X_i$ are not necessarily independent over $i$. Let $b>0$, $\delta>0$. Consider $$ ...
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Is conditional Prob less than unconditional prob? [duplicate]

Suppose $X_{n}=1$ with probability $p_{n}$ and zero with probability $1-p_{n}$. Let $F_{n-1}$ be the sigma algebra generated by $X_{1}, X_{2},...,X_{n-1}$. Then is that true $E(X_{n}| F_{n-1} ) ...
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1answer
38 views

Algorithm for risky investments in banks

I made the following programming question on stack overflow but the users said it was more of math question. Here it is. Situation You start with a fixed amount of money, take it as $\$1000$. You ...
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39 views

probability of randomness [on hold]

If you eat three apples, two squares, and seven artichokes, what is the probability that you will become green before you become seventy. I would like real thoughtful answers. Thanks in advance.
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Infinite products of scaled indicator variables: almost sure convergence vs. uniform convergence of the sample mean

Let $\frac{X_i}{2}\sim Ber(0.5) \implies E[X_i]=1$, and let $Y_n=\prod\limits_{i=1}^n X_i$. Since the $X_i$ are iid, $E[Y_n]=1,\;\forall n<\infty$. However, something weird appears to be happening ...