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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25 views

Integration respect the Lévy measure

How I can compute numerically $$\int_{a}^{b}f(z)\nu(dz)$$ where $\nu$ is a Lévy measure and $f$ is a continuous function? Is it equivalent to $$\int_{a}^{b}f(z)d\nu(z)$$ Thanks
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61 views

Law and Brownian Bridge

Let $Z_{t}= W_{t}-tW_{1}$ and $Y_{1}=\sup_{0\leq t\leq 1}Z_{t}$, $(W_t, t \geq 0)$ standard Brownian motion Find the law of $Y_{1}$ I know that $\textbf{P}(\sup_{0\leq t\leq 1}W_{t}\geq x , ...
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108 views

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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101 views

Properties of the essential supremum

In the article about testability of densities (Devroye and Lugosi 1999, page 4) (link: http://repositori.upf.edu/bitstream/handle/10230/1024/375.pdf?sequence=1 ). They use some properties of the ...
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182 views

Applying Ito lemma to multi dimensional semimartingales

Let $X_t=(X^1,\dots,X^d$) be a d-dimensional semimartingale. Then the formula for Ito's lemma I have found in several places, including wikipedia, is: $f(X_T)-f(X_0)=\sum_{i=1}^d\int_0^T ...
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51 views

Joint probability of 3 random variables when their pairwise difference is given

Consider 3 discrete random variables $X_1,X_2,X_3$ defined over $\{0..T\}$, which are identically and uniformly distributed.They are correlated in the sense that their pairwise difference has a unique ...
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109 views

The completed natural filtration of brownian motion is right-continuous, proof?

I have a question concerning a claim in J.F. LeGall's book Mouvement brownien, martingales et calcul stochastique. Let $(\mathcal{F_{t}})$ be the canonical completed filtration on $\Omega$ of a real ...
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22 views

Equivalent Gaussian measures

Let $\mu$ be a gaussian measure with eigenpair $\{e_k,2^{-k}\}$ and $\nu$ with eigenpair $\{ Te_k,2^{-k}\}$. Here, $T$ is the unitary operator given by $Tx = x - 2\left\langle x,v \right\rangle v$. ...
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48 views

Linear w.r.t. any measure

Let $X$ be a Banach space endowed with a Borel $\sigma$-algebra. How do we call a real-valued Borel function $f$ that satisfies for any Borel probability measure $\mu$ the following formula $$ ...
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85 views

Proving $\sigma$-additivity and interchanging order of summation/integration just because positive

Prove $\sigma$-additivity in the ff: Let $\Omega = {\omega_1, \omega_2, ...}$ be some countable set. Let $\mathfrak{F} = 2^{\Omega}$. Consider a sequence {$p_n$} in [0,1] s.t. $\sum_{n=1}^{\infty} ...
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58 views

Representation of a linear functional Lipschitz in total variation

Let $\Omega$ be a Borel space and let $\mathcal P(\Omega)$ be the space of all Borel probability measures on $\Omega$ endowed with the topology of weak convergence. Define the total variation metric ...
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41 views

Can a biased physical random source be post-processed to control the bias?

Let $X_i$ with $i\in\mathbb N$ be a sequence of independent 6-ary random variables with distribution $\operatorname{Pr}(X_i=e)=p^e_i$ where $e\in\{1,2,3,4,5,6\}$ and $\sum_{e=1}^6p^e_i=1$. Let's ...
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49 views

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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14 views

About the space $((R^n)^{[0,\infty)},\mathcal{B},\tilde{Q}^x)$ in Oksendal SDE book

I am reading the book Stochastic differential equations (6th ed.) by Oksendal. I am not sure about the meaning on P.146. (Below Theorem 8.3.1) It says that ``if we identify each $\omega \in \Omega$ ...
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26 views

Are functions of independent random variables related to each other by a constant independent

I have $6$ random variables $a,b,c,d,f,g$, each having independent Gaussian distribution. Now I define following three random variables \begin{equation} X = ab - cd\\ Y = cf - ag\\ Z = gd - bf ...
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44 views

What is the variance of an arbitrary “good” function of several independent normally distributed random variables

During my studies years ago I came over a formula that states something like if $x_i$ are independent normally distributed variables with variances $\sigma^2_i$ and $f(x_i)$ is differentiable (and ...
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64 views

$X_n=n^21_{(0,1/n)}$. What is $\limsup\limits_{n \rightarrow \infty} X_n$

$X_n=n^21_{(0,1/n)}$. What is $\limsup\limits_{n \rightarrow \infty} X_n$? What about its $\liminf\limits_{n \rightarrow \infty} X_n$? My attempt: For each $n$ on $\{0, [1/n,1]\}$, we have ...
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63 views

Prove that E$(\liminf\limits_{n\rightarrow \infty} X_n )\leq \liminf\limits_{n\rightarrow \infty}E(X_n)$

I want to prove that if $X_n\geq 0$, then E$(\liminf\limits_{n\rightarrow\infty} X_n )\leq \liminf\limits_{n\rightarrow\infty}E(X_n)$. My attempt: $E(\liminf\limits_{n \rightarrow \infty} ...
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44 views

Branching Brownian Motion and KPP equation

I have troubles understanding the proof of the connection between BBM and KPP equation. I mean the proof of the next lemma from the lecture notes of Anton Bovier about BBM, link. This is almost whole ...
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47 views

Prove that $X_nY_n\overset{\mathcal D}\rightarrow Xc$.

Let $X_n$ converge in distribution to $X$ and let $Y_n$ converge in probability to a constant $c$. Show that $X_nY_n\overset{\mathcal D}\rightarrow Xc$ and $\frac{X_n}{Y_n}\overset{\mathcal ...
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28 views

Why $\widetilde m = argmin_{m \in \mathcal P(X)} E[m]$ implies $\widetilde m (\arg \min \frac{\delta E}{\delta m}[\widetilde m]) =1$?

Consider $E: \mathcal P (X) \rightarrow \mathbb R \cup \{ \infty \}$ a functional (with a convex and dense domain, $E< +\infty$) over $\mathcal P(X)$ the set of probability measures of a metric ...
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36 views

Deriving joint distribution from expectation

Given two random variables $X$ and $Y$ and let $K$ be a constant value. Assume the expectation $\mathbb{E}[X(Y-K)^{+}]$ is given for all possible values of $K\geq 0$. Is there a way to derive the ...
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51 views

Spectral Representation for a real valued process

So I just finished reading a section in a book which discusses how every stationary stochastic process $\xi(t)$ can be expressed as $\xi(t)=\int_{\mathbb{R}}e^{it\lambda}\,dZ(\lambda)$ where ...
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33 views

Reference: Computing Martin Capacity

For Borel set $A$ the Martin Capacity is defined as: $\mathrm{Cap}_{M}(A)=[\inf\{\int \int \frac{G(x,y)}{G(0,y)}d\mu(x)d\mu(y):\mu \mbox{ probability measure on }A \}]^{-1}$ and Green's function ...
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26 views

$X\sim\mathcal N(0,1)$, Why is $\Phi_X^{(j)}(0)=0$ for $j$ odd?

If $X\sim\mathcal N(0,1)$ Why is $\Phi_X^{(j)}(0)=0$ for $j$ odd ? ($\Phi_X^{(j)}(0):j^{th}$ derivative of the characteristic function of the r.v. $X$) We computed ...
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121 views

Convergence of probability density functions

Assume that a sequence of random variables, $(X_t)_{t\geq 0}$, converges in distribution to a random variable $X_0$, as $t\to 0$. Also assume that $X_t$ and $X_0$ have $C^{\infty}$-probability density ...
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66 views

Sums of Power Law random variables

Suppose $F$ be a pareto distribution with scale parameter $x_m$ and shape parameter $\alpha$. Assume $X_1, X_2 , ..., X_n$ are iid random variables drawn from $F$. Let $S_n(k) = X_1 ^k + X_2 ^k + ...
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60 views

A simple (?) equality of two initial $\sigma$-algebras

I'm afraid I miss the forest for the trees.... Let $(\Omega,\mathcal{F},\mathbb{P})$ be a probability space, $(E,\mathcal{B}_E)$ be a state space and $\mathcal{E}$ a generating $\pi$-system of ...
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50 views

Why does a Gaussian process have a gradient whose determinant is Gaussian?

I'm trying to understand something in Adler and Taylor's book, Random Fields and Geometry. Let $T \subset \mathbb{R}^N$ be a compact parameter set (for simplicity, suppose it is a closed hypercube) ...
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36 views

If $\{X_n\}$ is a Cauchy seq of r.vs a.s., then why does it converge to some r.v?

I was suddenly suspicious of what title says. My logics are follows. $\{X_n\}$ is a Cauchy seq of r.vs $P$-a.s. $\Leftrightarrow$ $P(\{X_n\}$is a Cauchy $)=1$ $\Leftrightarrow$ $\exists ...
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41 views

continuous, non-additive set function

I am looking for a non-additive, continuous set function from a simplex $\Pi_{n}$ of finite dimension $n-1$ into $[0,\infty]$. The motivation is as follows. Shannon defined the entropy ...
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103 views

Write the Hamilton Jacobi Bellman equation

Consider the following stochastic optimal control problem. \begin{equation} V(t,x) = \max_{u}\,\, \log \left(\mathbb{E}\left[\int_{0}^{T} u^{2}(t)dt\right]\right) \end{equation} subject to the ...
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45 views

Random sampling and i.i.d.

Can you help me to clarify the following concepts by stating whether what I have written below is right or wrong? -random sampling: units are drawn from the population with a known probability of ...
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34 views

monotonicity of a complex function referring normal distribution

In my research I need to make clear the following point: Suppose that a random variable $\theta\sim N(\mu, \sigma^2)$. There are two imperfect signals about $\theta$: $X=\theta+\sigma_x\xi$ and ...
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37 views

Question on independent $\sigma$-fields

Let $(\Omega,\mathcal{A},P)$ be a probability space and $\mathcal{F}$, $\mathcal{G}\subset\mathcal{A}$ be two sub collections of sets which are closed under finite intersection. Furthermore assume ...
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21 views

find a probability measure such that $(W_t + \sqrt{3t+2})_t$ is a Wiener process wrt to $P$

Like the title says: suppose $W_t$ is a Wiener process on the space $(\Omega, F, Q)$. We want to find a different probability measure $P$ on $\Omega$ such that $$ (W_t + \sqrt{3t + 2})_{0 \leq t \leq ...
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36 views

Does monotone convergence theorem gives uniform convergence?

Monotone convergence theorem If $X_n$ are positive random variables and increasing to $X$, then $$\lim_{n \to \infty} E[X_n] = E[X]$$ My problem, though, is that $X$ depends on $m$, so it ...
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184 views

Concentration inequality of weighted sum of random variables given a tail inequality

I tried to solve the exercise below which can be seen as a generalization of the Bernstein's concentration inequality. However, I have difficulty bounding the moment generating function of $Z$ (see ...
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38 views

Poisson Process - Independence of Increments (Billingsley)

In the context of Poisson processes, At the top of page 301 of Billingsley's Probability and Measure (3rd Ed) we obtain the equality $$P[N_t=n,N_{t+s_i}-N_t=m_i,1\leq i\leq ...
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22 views

Converting proofs about finite or 'nice' sums to proofs over less nice sets. (Or: Converting marginal probability proofs to arbitrary event spaces)

I've been working on some basic probability problems. Two results that can be proved for finite or 'nice' (i.e. convergence works out nicely) event spaces by summing over one or more random variables ...
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210 views

Girsanov theorem conditions

If we have an adapted function $f(t)$ such that $\int_0^t f(s)ds\,<\infty$, then the Girsanov exponent can be defined: $$ Z(t):=\exp\left( \int_0^t f(s)dW(s) - \frac{1}{2} \int_0^t ...
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40 views

What is the optimal strategy?

There are $m+n+1$ cards numbered $1,2,\ldots m+n+1$. Participants A and B respectively get $m$ and $n$ cards. Meanwhile, they only know what they get. The remaining card is face down on the desk. ...
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27 views

Determine the Law of $F^{-1}(U)$

If, $F^{-1}(u)=\inf\{x\in\mathbb R:F(x)>u\}$ and $U$ is uniformly distributed in $[0,1]$, what is the law of $F^{-1}(U)$ ? ($F$ is a distribution function of some random variable $X$) How can ...
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61 views

proving Lyapunov's condition for a sum of random variables

Let $X_1,X_2,...$ be independent random variables such that $P(X_n = \pm1) = \frac {1-2^{-n}}{2}$ and $P(X_n = 2^k) = 2^{-k} $ for $k = n+1,n+2,...$ Define a new sequence of random variables by $Y_n ...
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66 views

How a 1-point set can have positive probability measure?

Suppose I have a program: x := bernoulli() if (x == true): return 0.5 else: return uniform-continuous(0,1) If I am not mistaken, the distribution out output ...
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26 views

Expression for $B_1$

I think that it is indeed the case that $$ B_1 = \int_0^1 \frac{B_1 - B_t}{1-t} dt, $$ where $B$ is a standard one-dimensional Brownian motion. Am I right? If so, how you we prove it? Thanks a lot ...
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18 views

Modeling Gaussian Error

Context I am designing a simulation of a robot receiving input from a sensor which has gaussian error. The robot will start from a known position and move at a constant speed; the sensor will ...
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29 views

Size-bias coupling, poisson approximation, telescoping sum

Good day I was reading this lecture. I don't understand the proof of theorem $4.13$, which is on page $252$. Theorem 4.13: Let $W \ge 0$ be an integer-valued random variable such that ...
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27 views

Limit a.s. of a sequence of normal random variables is normal.

I know that the statement "If $X_n$ is a sequence of normal random variables which converges a.s. to a random variable $X$, then $X$ is also a normal random variable" is true. However, do you ...
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50 views

Two person zero sum problem, help/guidance needed..

I'm a computer science student and I have this problem I need to solve for my games theory course. I don't have an example to follow, or use as guidance, and my colleagues are not very helpful( as in, ...