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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4
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2answers
113 views

How can I show that the “binary digit maps” $b_i : [0,1) \to \{0,1\}$ are i.i.d. Bernoulli random variables?

In this post What is the Lebesgue measure of the set of numbers in $[0,1]$ that has two thirds of ones in their infinite base-2 expansion? we needed the fact that if we let $b_i (x) \in \{0,1\}$ for ...
3
votes
2answers
222 views

Is it correct to say that ($\color{red}{(} \limsup |W_k|/k\color{red}{)} \le 1) \supseteq \limsup \color{red}{(}|W_k|/k \le 1\color{red}{)}$?

Let $W_0, W_1, W_2, \dots$ be random variables on a probability space $(\Omega, \mathscr{F}, \mathbb{P})$ where $$\sum_{k=0}^{\infty}P(|W_k|>k) <\infty$$ Prove that $$\limsup ...
3
votes
2answers
136 views

Poisson random variables and Binomial Theorem

I'm working on a problem from Casella and Berger's Statistical Inference. X is distributed as Poisson$(\theta)$ and Y is distributed as Poisson$(\lambda)$, with X and Y being independent. We let U = X ...
3
votes
5answers
295 views

Probability distribution for the perimeter and area of triangle with fixed circumscribed radius

Given a circle with radius R = 1, I'm trying to find either the probability distribution function or the density function for the space of triangle, which is randomly selected on this circle. The same ...
2
votes
1answer
53 views

Compute possible outcomes when get balls from a box

I have a question about probability that need your help. I have three boxes: first box has $k_1$ red balls, second box has $k_2$ blue balls and third box has $p_1$ red balls and $p_2$ blue balls. I ...
2
votes
1answer
588 views

Is a random variable constant iff it is trivial sigma-algebra-measurable?

I found a proof here for a measurable function (instead of probability theory's random variable) being constant if and only if the sigma-algebra generated by it is the trivia sigma-algebra, I think ...
2
votes
2answers
273 views

At a party $n$ people toss their hats into a pile in a closet.$\dots$ [duplicate]

Question: At a party $n$ people toss their hats into a pile in a closet. The hats are mixed up, and each person selects one at random. What is the expected number of people who select their own hats? ...
2
votes
2answers
511 views

conditional expectation of brownian motion

Let $(B_t)_{t\geq 0}$ be a standard Brownian motion in $\mathbb{R}^d$. It is intuitive that, for fixed $s<t<u$ $$\mathbb{E}[B_t\mid \sigma(B_s,B_u)]=B_s+\frac{t-s}{u-s}(B_u-B_s).$$ However, I ...
2
votes
1answer
673 views

Sum of two independent normal distributed random variables

If $X_i$, $i =1,2$ are independent and have normal distribution with mean $0$ and variance $\sigma_i ^2$. Show that $X_1 + X_2$ has a normal distribution with mean $0$ and variance $\sigma_1^2 + ...
2
votes
2answers
2k views

Expected value of the minimum (discrete case)

Maybe related to this question In the comments of this question they say that it gets easier if the variables are identically and independently distributed. But i don't see how because in my case the ...
2
votes
1answer
649 views

Finite State Markov Chain Stationary Distribution

How does one show that any finite-state time homogenous Markov Chain has at least one stationary distribution in the sense of $\pi = \pi Q$ where $Q$ is the transition matrix and $\pi$ is the ...
1
vote
1answer
149 views

Is it correct to say that $P(A) = 1 \to P(A|B) = 1$? $P(A) < 1 \to P(A|B) = P(A)$?

Is it correct to say that $P(A) = 1 \to P(A|B) = 1$? Precisely, consider a probability space $(\Omega, \mathscr{F}, \mathbb{P})$. Let $A \in \mathscr{F}$ and let $B_1, B_2, ... \in \mathscr{F}$ ...
1
vote
1answer
129 views

Questions on Kolmogorov Zero-One Law Proof in Rosenthal

Here is the proof of the Kolmogorov Zero-One Law and the lemmas used to prove it in Rosenthal's Probability book: Here are my questions: Question 1: In the first red box, does the fact that Q ...
1
vote
1answer
174 views

polynomial approximation on compacts

Let's say $f:\mathbb{R}^d\rightarrow \mathbb{R}$ is of class $C^k$ with $k \geq 0$. How do I know that I can find a sequence of polynomials such that all its derivatives up to order $k$ converge ...
1
vote
1answer
1k views

What is the distribution of $Y = e^X$ when $X$ is normal?

What is the distribution of $Y = e^X$ when $X$ is normally distributed? Am I supposed to use characteristics function of normal random variable ?
0
votes
1answer
78 views

Prove $Y_S$ is integrable if $Y$ is a bounded supermartingale and $S$ is an a.s. finite stopping time. [closed]

Let $(\Omega, \mathscr{F}, \{\mathscr{F_n}\}_{n \in \mathbb{N}}, \mathbb{P})$ be a filtered probability space, and let $Y = ({Y_n})_{n \in \mathbb{N}}$ be a/an $(\{\mathscr{F_n}\}_{n \in \mathbb{N}}, ...
0
votes
1answer
70 views

On “for all” in if and only if statements in probability theory and stochastic calculus

1 In my friend's Probability Theory long test there was this question: Let $(\Omega, \mathfrak{F}, P)$ be a probability space on which is defined all sub-$\sigma$-algebras, events and random ...
-1
votes
1answer
50 views

Prove a thm on stopped processes given fundamental principle 'you can't beat the system'?

How does the principle below imply the thm below? From Williams' Probability w/ Martingales: Principle: Thm: What I tried: $$E[X_{T \wedge n} - X_0 | \mathscr{F_m}] =/ \le X_{T \wedge ...
-1
votes
1answer
105 views

Proposition on limsup

Suppose $\exists$ function $f: \mathbb{N} \to \mathbb{N}$ s.t. as $n \to \infty$, $f(n) \to \infty$. Prove that $\forall$ events (or sets) $A_1, A_2, ..., \limsup A_{f(n)} \subseteq \limsup A_n.$ ...
-2
votes
2answers
564 views

Is first order moving average a Markov process?

Given first order moving average $$ x(n) = e(n) + ce(n-1) $$ where $e(n)$ is a sequence of Gaussian random variables with zero mean and unit variance which are independent of each other, and $c$ is ...
39
votes
4answers
52k views

Probability density function vs. probability mass function

I've a confession to make. I've been using pdf's and pmf's without actually knowing what they are. The idea that I've been having so long is that density = area under the curve but if I look at it ...
13
votes
2answers
8k views

Expectation of Minimum of $n$ i.i.d. uniform random variables.

$X_1, X_2, \ldots, X_n$ are $n$ i.i.d. uniform random variables. Let $Y = \min(X_1, X_2,\ldots, X_n)$. Then, what's the expectation of $Y$(i.e., $E(Y)$)? I have conducted some simulations by Matlab, ...
12
votes
4answers
4k views

Questions on atoms of a measure

In Kai Lai Chung's A course in probability theory, An atom of any probability measure $\mu$ on $(\mathbb{R}, \mathcal{B})$ is a singleton $\{x\}$ such that $\mu({x}) > 0$. In Wikipedia: ...
8
votes
4answers
3k views

Weak Law of Large Numbers for Dependent Random Variables with Bounded Covariance

I'm currently stuck on the following problem which involves proving the weak law of large numbers for a sequence of dependent but identically distributed random variables. Here's the full statement: ...
8
votes
1answer
201 views

When does $\sum_{i=1}^{\infty} X_i$ exist for random sequences $\{X_i\}_{i=1}^{\infty}$?

Suppose $\{X_1, X_2, X_3, \ldots\}$ is an infinite sequence of random variables such that $E[X_i]=0$ for all $i$, and $E[X_iX_j]=0$ whenever $i \neq j$. Further suppose the variances $\sigma_i^2 = ...
19
votes
2answers
946 views

Cover time chess board (king)

Consider a random walk of a king on a standard chess board, which at each step moves to a uniformly random permitted square. What's the exact mean time to visit all squares (cover time), starting ...
14
votes
3answers
3k views

The Laplace transform of the first hitting time of Brownian motion

Let $B_t$ be the standard Brownian motion process, $a > 0$, and let $H_a = \inf \{ t : B_t > a \}$ be a stopping time. I want to show that the Laplace transform of $H_a$ is ...
13
votes
2answers
238 views

Probability of getting A to K on single scan of shuffled deck

Let us say we have a regular 52-card well-shuffled deck. We scan through the deck (first to last) till we find an Ace. Then we continue (from that Ace) till we find a 2. Then we scan (from the 2) ...
8
votes
1answer
313 views

Looking for different proofs of “Discrete Liouville's Theorem”.

Good day. There is a question I have already encountered twice, in very different contexts, that is relatively simple looking, but both solutions I know involve some pretty advanced theorems from the ...
10
votes
1answer
417 views

What are some easier books for studying martingale?

What are some easier books for studying martingale? They are defined to be comprehensive but easier than Roger and William's martingale book. For example, to study Q and F martingales? It should ...
8
votes
1answer
874 views

Covariance, covariance operator, and covariance function

I am trying to get my head wrapped around this article in Wikipedia. The first definition given there is the covariance of a probability measure $\mathbf{P}$: $$\mathrm{Cov}(x, y) = \int_{H} \langle ...
7
votes
3answers
1k views

Is expectation Riemann-/Lebesgue–Stieltjes integral?

In probability theory, when having $ E(f(X))=\int_{-\infty}^\infty f(x)\, dg(x) $, an expectation of a measurable function $f$ of a random variable $X$ with respect to its cumulative distribution ...
7
votes
4answers
2k views

what are the sample spaces when talking about continuous random variables

I know this is very basic. But very puzzling too and often missed by learners like myself. When talking about continuous random variables with a particular probability distribution, what are the ...
5
votes
1answer
466 views

Fubini's theorem for conditional expectations

I need to prove that if $E \int_a^b |X_u|\,du = \int_a^b E|X_u|\,du$ is finite then: $$E\left[\left.\int_a^b X_u\,du \;\right|\; \mathcal{G}\right] = \int_a^b E[X_u \mid \mathcal{G}]\,du.$$ I just ...
5
votes
1answer
237 views

Right-continuity of completed filtration

I have a question about filtration. Now fix a measurable space $(\Omega,\mathcal{M})$. Let $(\mathcal{M}_{t})_{t\in[0,\infty)}$ be a filtration on $(\Omega,\mathcal{M})$. We set \begin{eqnarray*} ...
5
votes
2answers
1k views

Why $\sigma$-algebras represent information, and what information does $\sigma(X)$ represent?

I am confused about the notion of $\sigma$-algebras representing information and what information is contained in $\sigma(X)$ for a random variable $X$. Suppose $(\Omega, \mathcal{F}, \mathbb{P})$ is ...
4
votes
1answer
853 views

Martingale and bounded stopping time

A theorem of submartingale and bounded stopping time says: Theorem 5.4.1. If $X_n$ is a submartingale and $N$ is a stopping time with $\mathbb P (N \le k) = 1$ then $\mathbb EX_0 ≤ \mathbb EX_N ≤ ...
13
votes
3answers
580 views

Are polynomials dense in Gaussian Sobolev space?

Let $\mu$ be standard Gaussian measure on $\mathbb{R}^n$, i.e. $d\mu = (2\pi)^{-n/2} e^{-|x|^2/2} dx$, and define the Gaussian Sobolev space $H^1(\mu)$ to be the completion of ...
9
votes
2answers
529 views

Weak topologies and weak convergence - Looking for feedbacks

I am currently trying to get exactly what the weak and the weak* topologies are, in particular in connection to the concept of weak convergence in measure, however I am not completely sure on what I ...
9
votes
1answer
686 views

Martingale not uniformly integrable

I've come across a statement that implies that non-negative martingales for which $\{M_{\tau}\mid \tau \ \rm{stopping} \ \rm{time}\}$ is not uniformly integrable exist. I personally can't think of an ...
8
votes
8answers
3k views

Applications of Probability Theory in pure mathematics

My (maybe wrong) impression is that while probability is widely used in science (for example, in statistical mechanics), it is rarely seen in pure mathematics. Which leads me to the question - Are ...
6
votes
2answers
2k views

Another question on almost sure and convergence in probability

Convergence in probability implies convergence on a subsequence almost surely. But this means we fix a subsequence, such that $X_{n_k}$ converges for almost every $\omega$, right? The subsequence we ...
5
votes
2answers
241 views

What is probability? [closed]

I tried to understand the most fundamental foundation of the mathematical definition of probability in the most natural/human way. (At first, I thought I may have found a proper understanding like ...
5
votes
3answers
4k views

Discontinuity points of a Distribution function [duplicate]

Possible Duplicate: Distribution Functions of Measures and Countable Sets The question at hand is: Let F be a distribution function on $\mathbb{R}$. Prove that F has at most countably many ...
3
votes
2answers
298 views

What tools are used to show a type of convergence is or is not topologizable?

There are many types of convergence. For example, in measure theory and probability theory, there are many types of convergence of measurable mappings (random variables). in measure theory and ...
12
votes
1answer
743 views

Meaning of “kernel”

In analysis, there are at least three kinds of "kernel" concepts: In probability theory, there is a concept called transition probability, also called probability kernel, from one measure space $X$ ...
9
votes
1answer
289 views

Measurability of the pushforward operator on measures

Let $X$, $Y$ and $Y'$ be (standard) Borel spaces. We let $\mathcal B(X)$ be the Borel $\sigma$-algebra of $X$ and $\mathcal P(X)$ to be the space of all Borel probability distributions on $X$ endowed ...
8
votes
2answers
8k views

probability density of the maximum of samples from a uniform distribution

Suppose $$X_1, X_2, \dots, X_n\sim Unif(0, \theta), iid$$ and suppose $$\hat\theta = \max\{X_1, X_2, \dots, X_n\}$$ How would I find the probability density of $\hat\theta$? Thank you!
7
votes
0answers
250 views

proving equalities in stochastic calculus

I am struggling with this question: FIRST PART (almost done, but stuck somewhere): Let $Z $~$ N(0,1)$ be a standard normal random variable, and define a function $F$ by the formula \begin{equation} ...
6
votes
1answer
440 views

Continuous probability distribution with no first moment but the characteristic function is differentiable

I am looking for an example of a continuous distribution function where the first moment does not exist but the characteristic function is differentiable everywhere. Cauchy distributions do not ...