Use this tag only if your question is about the modern theoretical footing for probability, for example probability spaces, random variables, law of large numbers, and central limit theorems. Use [tag:probability] instead for specific problems and explicit computations. Use ...

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18 views

How does Graham knows his number is really the upper bound to the dimension problem?

I know initially he stated that the answer is somewhere between 6 and Graham's number. How does he know that for Graham's number dimensions it is really impossible to color the lines that way? I know ...
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2answers
20 views

Borel set of $\mathbb R^n$ with $n > 1$

According to various sources, the Borel set over $\mathbb{R}^n$ can be defined in several equivalent ways: For instance, it can be defined as the smallest sigma-algebra containing every open set of ...
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0answers
18 views

Is this a misuse of the term “probability space”?

Let me first state the definitions as I am using them. Do correct me if I am wrong here! A "probability space" is a triple $(\Omega, F \subseteq 2^{\Omega}, \mu : F \rightarrow [0,1])$. The ...
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0answers
19 views

Probability dealing with Odds [on hold]

The odds that an event A will occur are given by the ratio P(A)/P(A'). Show that if the odds of an event A is a/b, then its probability is P(A) = a/(a+b).
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1answer
18 views

Probability of Winning a Toss

I have an unfair coin with two sides 1 and 2. I have a problem and its constraints. The coin has to be tossed until I win; which happens when 1 shows up in a toss. Constraints: Since the coin in ...
0
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1answer
11 views

Motivation behind the definition of the Itô integral for elementary predictable processes

Let $(\Omega,\mathcal{A},\operatorname{P})$ be a probability space and $\mathbb{F}$ be a filtration on $(\Omega,\mathcal{A})$. A real-valued stochastic process $H=(H_t)_{t\ge 0}$ is called elementary ...
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0answers
14 views

Proving technique used to show an equivalence to the definition of a Markov process

Let $X=(X_t)_{t\in I}$ be Markov process with values in a Polish space $E$. I want to show, that there exists a stochastic kernel $\kappa:E\times\mathcal{B}(E)^{\otimes I}\to [0,1]$ such that ...
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2answers
32 views

Tail probability of a random variable

Here are two theorems about the "tail probability" of a random variable X Thm1: The expectation $E(|X|^\alpha) < \infty$ for some positive $\alpha$ if and only if $$\sum_{n=1}^\infty ...
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2answers
20 views

Lebesgue Integral of an Indicator Function using Measure Theory

Let $X$ be a random variable on $\Omega$ and fix $c \in \mathbb{R}$. I recently saw the following in a calculation: $$ \int_{\Omega} \mathbb{I}_{(c,\infty)}(X(\omega)) dP(\omega) = P(X \geq c). $$ I ...
2
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1answer
24 views

(Elementary) Markov property of the Brownian motion

Let $B=(B_t)_{t\ge 0}$ be a Brownian motion on a probability space $(\Omega,\mathcal A,\operatorname{P})$, i.e. $B$ is a real-valued stochastic process with $B_0=0$ almost surely $B$ has independent ...
0
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0answers
12 views

Definition of expected value of a continuous random variable [duplicate]

Let $X$ be a random variable with the probability desntiy function $f$. Then, according to the book "Intro to probability and statistics" by Rohatgi, the expected value of $X$ is defined as: $$E(X) ...
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0answers
19 views

A property of the space of rcll functions

Let $E$ be a locally compact separable metric space, $$\Omega=\{f:[0,\infty]\to E\mid f \text{ is rcll}\}$$ and $P$ be a probability on $\Omega$ which equiped the $\sigma$-algebra generated by ...
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1answer
36 views

Continuous mapping theorem - counterexample

The continuous mapping theorem states that Let $g: R^n \rightarrow R^k $ be continuous in every point of a set $C$ such that $\mathbb P\left(X\in C\right)=1$. If $X_n \xrightarrow{d} X $ then ...
0
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1answer
25 views

Prove that the increments of the Brownian motion are normally distributed

Let $B=(B_t)_{t\ge 0}$ be a Brownian motion on a probability space $(\Omega,\mathcal A,\operatorname{P})$, i.e. $B$ is a real-valued stochastic process with $B_0=0$ almost surely $B$ has independent ...
3
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0answers
41 views

Distribution of bounded summation of i.i.d random variables

We have a set of positive random variables $\boldsymbol X=\{X_1, X_2,\ldots\}$, where $X_1, X_2,\ldots$, are independent and identically distributed (i.i.d.). The CDF $F(x)$ and PDF $f(x)$ for $X_i$ ...
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1answer
22 views

How to show that $\mathbb{E}(\lim_{n \to \infty} X_n) = 0$ when $X_n(x) := n \cdot 1_{[0,\frac{1}{n}]}(x) \qquad (x \in [0,1])$

from the answer of Exchanging limit and expectation for $L^2$ random variables: Consider for example the probability space $(\Omega,\mathcal{A},\mathbb{P}) := ...
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0answers
21 views

Closeness in distribution implies closeness in statistics?

I am aware that convergence in distribution does not necessarily imply convergence in the mean. I browsed through some examples of statistical distances here ...
2
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1answer
23 views

Almost sure convergence of $\hat{\sigma^2}$

Let $Y \sim N(X\beta,\sigma^2I)$ where $Rank(X_{n\times p})=p \leq n$. The least square estimate of $\sigma^2$ is $\hat{\sigma^2}=\frac{Y'(I-P)Y}{n-p}$ where $P=X(X'X)^{-1}X'$ is the projection matrix ...
0
votes
1answer
19 views

Prove that $\sigma$-algebras $A_1,\ldots,A_n$ are independent if and only if $A_i$ is independent of each $A_1,\ldots,A_{i-1}$, for all $i=2,\ldots,n$

Let $(\Omega,\mathcal{A},\operatorname{P})$ be a probability space and $\mathcal{A}_1,\ldots,\mathcal{A}_n\subseteq 2^\Omega$ be $\sigma$-algebras. How can we show, that ...
0
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1answer
22 views

Distribution/law of a random variable after conditioning on an event

I have a probability triple $(\Omega,\mathcal{B},P)$ and a random variable $X:(\Omega,\mathcal{B},P)\to(\mathbb R,\mathcal{R})$ with distribution $\mu_X := P \circ X^{-1}$. If I condition on an event ...
1
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1answer
53 views

If X,Y and Z are independent, are X and YZ independent?

If yes: I know that f(X) and g(Y) are independent if X and Y are independent and f and g are "measurable".* If that is to be used, is g(Y) = YZ measurable? If not, how else to approach this? If ...
0
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2answers
18 views

let x and y be uniformly distributed independent random variables on [0 ,1].the probability that the distance between x and y is less than 1/2 is?

I have a question about probability: let x and y be uniformly distributed independent random variables on [0 ,1].the probability that the distance between x and y is less than 1/2 is? can someone ...
0
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1answer
18 views

Computation of Conditional Expectation using Measures

Here's a definition of conditional expectation of $X$ found on p 363 of this book: Let $(\Omega, \mathcal{F}, P)$ be a probability space, and let $X$ be in integrable random variable. If $B \in ...
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4answers
74 views

Is it possible to assign probability to a set $X$ with $|X|>2^{\aleph_0}$?

Is it possible to assign probability to a set $X$ with cardinality $|X| > 2^{\aleph_0}$? Example would be a set $|X| = 2^{2^{\aleph_0}}$.
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votes
1answer
14 views

how do I parametrise a stochastic matrix

I have a matrix $\mathbf{t}$ that maps one $d$ dimensional probability distribution to another $\mathbf{t}^T x = q$, i.e. with $\sum\limits_i t_{ij} x_i = q_j$ and $\sum\limits_j t_{ij} = 1$ $\forall$ ...
1
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1answer
22 views

If $(B_t)_{t\ge 0}$ is a Brownian motion and $\tau$ is a stopping time, then the stopped process $(B_{\min(\tau,t)})_{t\ge 0}$ is integrable

Let $B=(B_t)_{t\ge 0}$ be a Brownian motion on a probability space $(\Omega,\mathcal A,\operatorname{P})$. By definition $B_t$ is normally distributed with mean $0$ and variance $t$. Now, let ...
0
votes
0answers
16 views

Optional stopping/sampling for right-continuous supermartingales

Let $\mathbb{F}$ be a filtration $(X_t)_{t\ge 0}$ be a right-continuous $\mathbb{F}$-supermartingale $\sigma,\tau$ be bounded $\mathbb{F}$-stopping times with $\sigma\le \tau$ and ...
0
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1answer
35 views

Assume a die is rolled repeatedly. Find the markov matrix $P$ for the random variable of the time until the next $6$.

Assume a die is rolled repeatedly. Find the markov/transition matrix $P$ for the random variable $X_r$ = the time until the next six at time $r$. My solution was: For $i,j \geq 0$, $P$ is given ...
3
votes
1answer
35 views

Variation processes and strong solutions of stochastic differential equations

Let $(\Omega,\mathcal{A},\operatorname{P})$ be a probability space $\mathbb{F}$ be a filtration on $(\Omega,\mathcal{A})$ $\tau$ be a $\mathbb{F}$-stopping time An $\mathbb{F}$-adapted, ...
0
votes
1answer
25 views

Power Spectral Density Approximation

Let $X_t$ be a zero-mean, stationary random process. Let $X_f$ be the Fourier transform of $X_t$; $X_f$ is also a random process, but as a function of $f$. Let us denote the power spectral density ...
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0answers
31 views

Deriving density of a function of a random variable

Let $(\Omega, \mathcal{F}, P)$ be a probability space and $X: \Omega \to \mathbb{R}$ a continuous random variable. Let $Y:\mathbb{R} \to \mathbb{R}$ be Borel-measurable. Finally, let $f_X: ...
2
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3answers
33 views

The non-uniform probability of sums from the throw of multiple dice

I'm reading The Drunkards Walk by Leonard Mlodinow. In the book, the author writes: From a throw of three dice, a sum of 9 and 10 can be constructed in an equal combinations. However, the outcome ...
2
votes
1answer
21 views

independence of random objects when forming product spaces

Suppose we have two probability spaces $(\Omega_1, \mathscr{F}_1, \{\mathcal{F}^1_t\},\mathbb{P})$ and $(\Omega_2, \mathscr{F}_2, \{\mathcal{F}^2_t\},\mathbb{P}_2)$, if we take product space $$\Omega ...
0
votes
1answer
28 views

independence of random variable

Suppose we have $2$ Independent random variables $X$ AND $Y$. Let $f(X)$ and $g(Y)$ are functions of those $2$ random variables. 1.) my question can we say that the functions $g(X)$ AND $f(Y)$ are ...
2
votes
1answer
41 views

Doob decomposition of $|S_n|$ where $S_n$ is simple random walk.

Let $X_n$, $n\geqslant 1$ be iid Rademacher random variables, i.e. $X_1$ takes values $\pm 1$ each with probability $\frac12$. Define $S_0=0$ and $S_n=\sum_{i=0}^n X_i$, and $\mathcal F_n = ...
2
votes
3answers
35 views

Probability theory combinatoric problem

A total of $n$ bar magnets are placed end to end in a line with random independent orientations. Adjacent ends with equal polarities repel each other, and adjacent ends with opposite polarities ...
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0answers
27 views

How would you understand the notation $\operatorname E(\zeta \mid x)$.

Let ($\Omega=X\times Y, 2^{\Omega}, \operatorname{P})$ be a discrete probability space, so $\Omega$ consists of pairs $(x,y)$. Let $\zeta$ be a random variable $\Omega\rightarrow\mathbb{R}$ on that ...
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1answer
35 views

If $(X_t,t\in I)$ is a process with values in $(E,\mathcal{E})$, are $\sigma(X_t,t\in I)$ and $\sigma(X)=X^{-1}(\mathcal{E}^{\otimes I})$ equal?

Let $(\Omega,\mathcal{A},\operatorname{P})$ be a probability space $E$ be a Polish space and $\mathcal{E}$ be the Borel $\sigma$-algebra on $E$ $I$ be an index set $X_t$ be a random variable on ...
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votes
2answers
23 views

Probability of two strings being equal

Given a matrix $A\in F_2^{n\times m}$, (let $m< n$ and $A$ has full column rank) what is the probability under the distribution ( $y,y'$ uniformly random in $\{0,1\}^m$), such that $Ay=y'$? I am ...
0
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1answer
16 views

What's the probability, and how to choose the right formula?

Question 1: Toss a coin 4 times. Let $A$ denote the event that a head is obtained on the first toss, and let $B$ denote the event that a head is obtained on the fourth toss. Is $A \cap B$ empty? ...
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votes
5answers
366 views

Is there an alternative intuition for solving the probability of having one ace card in every bridge player's hand?

I am trying to get to know probability a little better since it's a weak point for me and I was wondering what other ways there were to intuitively think about the problem of finding the probability ...
1
vote
1answer
40 views

What is the probability of two random line segments crossing in a unit square?

For the purposes of this question a random line segment is defined by connecting two random points inside the unit square, where a random point is found by generating two random numbers between 0 and ...
3
votes
2answers
53 views

Markov Chains - Strong Markov Property

I'm struck with an exercise. I tried, but the results don't seem to fit to those proposed. Exercise: Two players play the following game. The one who begins draws two cards from a deck of 40 cards ...
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2answers
39 views

Exchanging expectation and limits

Exchanging expectation and limits I have a stochastic process, ${b_t} \, (t=0, 1, 2, \ldots)$, which follows a random walk. Specifically, ${b_0} = 0$ and for $t$ greater than zero, $\displaystyle ...
1
vote
1answer
34 views

Let X and Y be a random variables with $E(X) = 5$, $Var(X) = 30$, $E(Y ) = -􀀀5$, $Var(Y ) = 10$ and $Cov(X, Y ) = 7$

(a) Find $E(2X-3Y+1)$. (b) Find $E((X-2Y)^2)$. (c) Find $Var(3X-Y+pi)$ First I found $E(X^2)$ and $E(Y^2)$ using the given values for (a) I have $2E(X)-3E(Y)+1$ for (b) I come up with: ...
1
vote
1answer
32 views

Marginal Distributions from Joint Distribution

Here's a seemingly common proof for the formula of a marginal distribution using a bivariate joint distribution, for which I'm not clear on each step: Setup: Let $(\Omega, \mathcal{F}, P)$ be a ...
0
votes
1answer
25 views

Law of Iterated Expectation with Probability?

I'm trying to follow a proof of the following proposition (source) Let X and Y be two independent random variables and denote by $F_X(x)$ and $F_Y(y)$ their distribution functions. Let $$Z=X+Y$$ ...
3
votes
5answers
287 views

Intuition behind Chebyshev's inequality

Is there any intuition behind Chebyshev's inequality or is that only pure mathematics? What strikes me is that any random variable (whatever distribution it has) applies to that. $$ ...
0
votes
1answer
22 views

Laplace-Stieltjes :Functions of independent random variables

I am reading a book about stochastic modelling and I came across something and I couldn't really figure it out. First question would be are Probabilty Generating Functions (PGF) only for discrete ...
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votes
1answer
42 views

Probability of winning consecutively [on hold]

India and USA play $7$ football matches. No match ends in a draw. Both the countries are of same strength. Find the probability that India wins at least $3$ consecutive matches.