# Tagged Questions

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### Best E-books and online-resources for Probability and its applications(especially games of chance)

I am very much interested in studying games of chance and the probabilities related to our daily life instances but I need an online resource or some e-book to study them. I am a self-learner. Can ...
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### Extension of measures

Here an exercise of the book: A probability path by Sidney Resnick. Suppose $P$ is a probability in a $\sigma$-field $\cal{B}$ and $A\notin \cal{B}$. Let $\mathcal{B}_1:=\sigma(\mathcal{B}\cup\{A\})$ ...
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### Expected values of continuous and bounded functions are equal then random variables are equal, too.

I have seen several of reasoning based on the following fact: Real random variables $X, Y$ in $\mathbb{R}^n$ are equal almost surely if and only if $\mathbb{E}g(X)f(X) = \mathbb{E} g(X)f(Y)$ for ...
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### Markov processes on function spaces

Is there any reference on Continuous time Markov process whose state space is infinite dimensional function spaces, such as the space of continuous functions $C(R^d)$? It seems Dirichlet Form is a ...
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### Hyperbolic vs Euclidean Brownian Motion

In this article, page 4 of the linked pdf file, Lalley and Sellke claim that a hyperbolic Brownian motion can be obtained by time-changing a 2-dimensional Euclidean Brownian motion, conditioned to ...
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### Banach Fixed Point Theorem. Measurable version.

The Banach fixed point theorem has the following statement THEOREM ( Banach contraction principle). Let $(Y,d)$ be a complete metric space and $F:Y\to Y$ be contractive . Then $F$ has a uniqe ...
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### Text on convergence theorems in probability theory (various modes of convergence)

I need a text reviewing theorems and discussing with details ALL the types of convergence in probability theory such as almost sure convergence, convergence in probability, weak convergence, $L^p$ ...
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### Probability of hitting a Borel set by transient Brownian motion ($d\geq 3$)

I am looking for references/progress made in estimating the hitting probability for Borel sets. For spheres we have $P_{x}(T_{B_{r}(0)}<\infty)=(\frac{|r|}{|x|})^{d-2}$, where $x=B_{0}$ for ...
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### Kolmogorov's Existence Theorem

My analysis professor told us to take the following theorem for granted in order to prove other results, but I would like to see a proof of it, since I think it will be beneficial. Here is the ...
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### Resource for Stochastic Calculus and Ito processes

May someone please recommend a book or website where one can learn Stochastic Calculus and Ito processes from scratch.
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### Markov Chain Ergodic Theorem (Proof references)

Where can I find a proof of the erogidc theorem for Markov chains that doesn't use Birkhoff? The theorem states the following : Let $(X_n)_{n\in \mathbb{N}}$ be an irreducible and positively ...
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### How we compute expectation of a singular random variable?

In probability (or measure) courses, we often see the Cantor distribution that is singular with respect to the Lebesgue measure. Its CDF is increasing but whenever its differentiable, the ...
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### A planar Brownian motion has area zero

I'm looking for proofs of Paul Lévy's theorem that a planar Brownian motion has Lebesgue measure $0$. I know of only two proofs: one is in Lévy's original paper (Théorème 12, p. 532) and the other is ...
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### Where does this probability problem come from?

A long time ago, a friend gave me a probability problem. Here is rough reconstruction. A spaceship is lost in deep ($3$-d) space. Its home planet is $X$ meters away. Every second, the spaceship ...
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### A list of different measures of distance/difference/dissimilarities/similarity of two probability distributions?

I wanted to know more about the different methods for comparing the similarities of two probability distributions P and Q. I wanted a list of the different methods that exist for comparing ...
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### Examples for Conditional Expectation (modern probability theory)

I'm in the process of learning about conditional expectation in the framework of modern probability theory. The sudden change brought about by the notion of conditional expectation being a function on ...
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### Name/significance of integral of the square of a probability density function

Background/Motivation Given a probability density function $f(x)$, the mean of the corresponding random variable is the $x$-coordinate of the centroid of the region under the graph of $f$. I ...
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### Convergence Theorems for Random Variables

I am trying to better understand the notion of convergence for a sequence of random variables. I was looking into "Probability and Measure"- Billingsley but in this book the link to the convergence ...
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### Exposition of Erdős and Rényi's 'New law of large numbers'.

Where can I find an exposition of the paper On a new law of large numbers by Erdős and Rényi? I'm reading this paper and it's rather terse, so I'd like some intuition and explanation. I did a Google ...
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### Reference for a proof of which 2-increasing functions are joint cdf's

Can somebody give me a reference giving the detailed statement and proof of the fact that the joint cdf's of positive Borel measures $\mu$ on $\mathbb{R}^2$, so F(a,b) = \mu(\{(x,y) : x \leq a, y ...
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### Reference request for stochastic process and applications

I am looking for a text book that will cover the following topics I hope someone could suggest me a good text book that will provide me a good guidance regarding the following; Generating functions, ...
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### What are some good books about martingales?

I'm looking for suggestions for well written books dealing with martingale theory, not necessarily exclusively. I'm also looking for a nice compilation of problems, preferably with answers, on this ...
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### Text on Probability Theory applied to Actuarial Science

I am a senior undergraduate who has passed the first three actuarial exams on probability (P), financial mathematics (FM), and models for financial economics (MFE). I am working on passing the life ...
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### Absolute continuity of quadratic variation of continuous local martingales

I am interested to know if there are any simple sufficient conditions on continuous local martingale to have absolutely continuous quadratic variation. In general , we know only that quadratic ...
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### Strong Markov property given transition functions

Suppose we are given family of transition functions satisfying Chapman-Kolmogorov equation, what conditions will ensure that there exists a continuous or cadlag Markov process with given transition ...
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### Fake Brownian Motion

Does there exist a martingale which has Marginal distributions same as Brownian Motion marginals but the process itself not being Brownian motion? Any references are highly appreciated. Thanks.
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### A clear reference on regular conditional distributions?

I've been trying to learn about regular conditional distributions from Klenke's book on probability theory, but I'm incredibly confused. I looked at Durrett's book, but his chapter on regular ...
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### Reference on Doob's h-transform

I am searching for a reference about conditioning a Markov process in the sense of Doob, i.e. using h-transforms. My particular concern is to condition a discrete-time Markov Process on a possibly ...
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### References mentioning the relationship between cumulants of uniform distribution and the Bernoulli numbers?

Is there anyone knows where is some official reference mentioning the relationship between cumulants of uniform distribution and the Bernoulli numbers ...
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### Orthogonality of the Hermite polynomials: probabilistic approach

Can anyone help me with the following question: Is there any reference in which a probabilistic approach was used to prove that the Hermite polynomials are orthogonal? Thanks a lot!
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### Differentiation under (measure theoretical) integral sign

I am looking for a citable reference for the result on differentiation under the integral sign for integration against a measure. The result states that if $R \subset \mathbb R$, \$(X,\mathcal F, ...
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### Which is a good textbook on stochastic processes which takes measure theoretic approach?

I was looking for an intermediate-advanced textbook on stochastic process. I have graduate level probability knowledge.
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### Establishing recurrence and positive recurrence of Markov processes via “barriers”?

I've been reading the book by Wentzell and Freidlin on dynamical systems with small random perturbations. On page 42 it's stated: It is possible to give stronger conditions for recurrence and ...
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### Transition function is a Markov semigroup?

How does the transition function in a Markov process become a Markov semigroup in time homogeneous Markov processes? Thanks a lot.
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### A Reference Book Justifying Different Distributions

Well I am trying to find a book that could come up with a rationale behind different distributions but not only defining them and giving an intuition about the structure of distributions. For example ...
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### Kolmogorov continuity theorem for Banach space valued random processes

I am interested in the Kolmogorov continuity theorem. I would like to know if this theorem holds for Banach space valued random processes (probably separable Banach space). I cannot find a paper or a ...
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### Textbook Recommendation; Proability Theory with Measure Theory

I'm currently taking a course in Probability Theory and was hoping someone could point me in the direction of a useful supplementary textbook. Our course currently uses A Modern Approach to ...