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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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 $P(X_0=0)=1$, $E[X_0^2]=0$, $E[X_t]=0$ for any $t\ge 0$ the ...
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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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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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1answer
20 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
46 views

Counterexample to conditional probability with dependent events

Let $X1,X2,X3$ be i.i.d. taking values in a finite set, and not constant. Is it necessarily true that $P(X3=X2|X2≠X1)≤P(X3=X2)$? Give a proof or a counterexample. Since the two events $A=\{X3=X2\}$ ...
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1answer
12 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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2answers
47 views

Sample path of Brownian Motion within epsilon distance of continuous function

Given a continuous function $f:[0,1]\rightarrow\mathbb{R}$, $f(0)=0$, how can one show that $P(\underset{0\leq t\leq1}{\sup}\left|B_{t}-f(t)\right|<\varepsilon)>0$, where $P$ is the probability ...
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258 views

Random Variables that aren't measurable

I've been reading through a math. stats. book, and I'm a little confused with the concept of measurable random variables. The book states: Let $(E, \mathcal{E})$ and $(F,\mathcal{F})$ be two ...
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9 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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41 views

Verifying Property of Stochastic Integral

I am trying to verify this simple property for a stochastic integral. Given that f(t,w) is a bounded, nonanticipating function for a given Wiener process $W_t$ show that $E((\int_{0}^{T} f(s,w) ...
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Maximum likelihood estimation of $a,b$ for a uniform distribution on $[a,b]$

I'm supposed to calculate the MLE's for $a$ and $b$ from a random sample of $(X_1,...,X_n)$ drawn from a uniform distribution on $[a,b]$. But the likelihood function, ...
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3answers
51 views

Problem similar to Kolmogorov's inequality using martingale.

Suppose that $X_k$ is a sequence of independent random variables with mean zero and variance $1$. Let $S_k=X_1+\cdots+X_k$ and let $$ h(\lambda)=\limsup_{n \rightarrow \infty}P\left(\max_{1\leq k\leq ...
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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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1answer
37 views

A task from Chung's “A Course in Probability Theory”

Chung defines a distribution function as a "real valued function $F$ with domain $(-\infty,+\infty)$ that is increasing and right continuous with $F(-\infty) = 0, F(+\infty) = 1$". Then, he defines a ...
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17 views

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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37 views

What is the distribution of the area between a Brownian Bridge and the x-axis?

Lets say that we have a Standard Brownian Bridge ($\sigma=1$) with endpoints $(0,0),(1,0)$ Is there a way to derive the distribution of the area between a sample path of this bridge and the x-axis?? ...
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1answer
50 views

Bounding $P(X \le \tau)$

I am trying to upper bounding $P(X \le \tau)$ where $X$ is non-negative r.v. and where $\tau \le 1$. I have become aware of the Reverse Markov inequality that says that, if $P(|X|\le a)=1$ then for ...
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1answer
28 views

Necessary and sufficient conditions for convergence almost surely and in probability

I have difficulties in solving following problem in Rick Durrett's "Probability Theory and Examples" This is the problem 2.3.15 in the 4th edition and problem 1.6.15 in the 3rd edition: Let $Y_1$, ...
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1answer
16 views

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
23 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
26 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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1answer
184 views

Characteristic function

Question: Let $X_1$ and $X_2$ denote independent real-valued random variables with distribution functions $F_1$, $F_2$, and characteristic functions $\varphi_1$, $\varphi_2$, respectively. Let Y ...
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29 views

Find expected value of $W$, when $ W $ is the largest of the variables. [on hold]

Let $X_1, X_2,\ldots, X_8$ be independent exponential random variables of mean $1/2$, Let $W$ be the largest of the $X_1, X_2, \ldots, X_8$. Compute the expected value of $W$.
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1answer
28 views

How to find transition probability matrix $P$ by using transition rate matrix $T$?

Let $$T = \left(\begin{matrix} -2 & 1 & 1&0 \\ 2 & -3 & 1&0 \\ 1 & 2 & -4 & 1\\ 1 & 3 & 1 & -5\end{matrix} \right) $$ be a transition rate matrix of ...
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21 views

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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28 views

Problem 4.2 (p. 60) in Karatzas and Shreve

I'm looking at problem 4.2 in "Brownian Motion and Stochastic Calculus" by Karatzas and Shreve. The goal is to show that on $C[0,\infty)$, the Borel sigma algebra generated by "topology of local ...
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37 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 ...
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21 views

Probability generating function for pascal distribution

The objective is to find the P.G.F of the Pascal($n,p$). $n = 1,2,3\ldots$ $p$ $\in$ [0,1] and $q = 1-p$ $p_x(k)=P(X=k)=\binom{k-1}{n-1}p^nq^{k-n}$ $k = n,n+1,n+2,\ldots$. ...
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73 views
+50

If a joint cdf is increasing in each argument, then the pdf is strictly positive a.s.?

Let $F:\mathbb{R}^d \to [0,1]$ be an absolutely continuous joint cdf and let it be strictly increasing in each argument. Does it imply that its pdf $f$ is strictly positive a.s. (with respect to the ...
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27 views

Stronger version of strong law of large numbers

Let $(X_i)_{i\in\mathbb{N}}$ be pairwise independent random variables where $E[X_i]=0$ for all $i\in\mathbb{N}$ and $\sup_{n}E[X_n^2]\lt\infty$. Then for $S_n=\sum_{i=1}^n X_i$ and ...
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How can $P(X+Y=\alpha)=1$ imply that both $X$ and $Y$ are constant?

This is an exercise in Jacod's Probability Essentials: Let $X$ and $Y$ be independent random variables and $P(X+Y=\alpha)=1$ where $\alpha\in{\Bbb R}$ is some constant. Show that both $X$ and $Y$ ...
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Probabilistic implications of the existence of non-measurable sets

Measure theory and probability theory are deeply connected through the interpretation of subset measures on the sample space as probabilities of events. A major (and somewhat disturbing) result from ...
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Looking for solutions manual: Probability and Stochastic Processes for Engineers [on hold]

My first posting to this community. I am an engineer. I am trying to teach myself the elements of Stochastic Processes. I found the book "Probability and Stochastic Processes for Engineers" By C. ...
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Increments of a Brownian motion involving stopping times

I don't quite understand a proof involving Brownian motion in my book: Let $B$ be a standard Brownian motion and let $T$ be an a.s. finite stopping time. For some fixed $n \in \mathbb{N}$, let $T_n = ...
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1answer
15 views

Independence of random variables involving Brownian motion

I am reading a book on stochastic analysis and I don't understand the following (i.e. don't know how to prove it rigorously): Let $B$ be a standard Brownian motion and $\{ \mathcal{F}_t \}$ be the ...
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20 views

We place uniformly at random n points in the unit interval [0, 1]. [on hold]

How to go about the question when it asks: Denote by random variable X the distance between 0 and the first random point on the left. What is the probability distribution function FX(x) and pdf?
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Linear function and expectation

At first we have a function f supposed to be convex. Show that if $E(f(X))=f(E(X))$, where X is a random variable, it implies that $X=E(X)$ almost surely. $E(f(X))=f(E(X))$, by Jensen's inequality, ...
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Show that $E(X|Y, Z) = E(X|Y)$ almost surely with condition Z is independent of $(X, Y)$

$(X, Y, Z)$ is a continuous random vector and $Z$ is independent of $(X,Y)$. Prove that $E(X|Y, Z) = E(X|Y)$ almost surely. I had been thinking this question tonight but couldn't figure out how to ...
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Express expected value with help generating function

I understand, how to express expected value with help generating function. For example, I have the following generating function: $D(z) = p K(z) + q M(z)$, where $p + q = 1$. How can I express ...
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Problem on EU commission

Consider the following problem. A collection of $n$ countries $C_1, \dots, C_n$ sit on an EU commission. Each country $C_i$ is assigned a voting weight $c_i$. A resolution passes if it has the ...
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Bounding an expected hitting time

Consider a stochastic differential equation: $$dX_t = dW_t + \sin(X_t) dt, \, X_0 = x$$ where $W_t$ is a Wiener process. Define $$\tau_1 = \inf \{ t : X_t \in 2 \pi \mathbb{Z} \} \\ \tau_2 = \inf ...
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Existence of measure given the margin is a step function

Suppose $Q:[0,1]\to [0,1]$ is given by a nondecreasing step function $$Q(x)=A, if \phantom{0}0\leq x < x^*$$ $$\phantom{0000} = B, if\phantom{0} x^*\leq x\leq 1 $$ s.t. $$A,B\in[0,1] ...
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If $X_i$ are iid $U(0,1)$ random variables, $\max_{1\le i \le \frac{n}{2}}\{(1-\frac{2i}{n})X_i\}$ converges in probability to $1$

I want to show $\max_{1\le i \le \frac{n}{2}}\{(1-\frac{2i}{n})X_i\}$ converges in probability to $1$ as $n \to \infty$, where $X_i$ is an i.i.d sequence of $[0,1]$-uniformly distributed random ...
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32 views

Measurability of the points of (strict) increase for Stochastic Process

Given a background space $\left(\Omega,\mathcal{F},\mathbb{P}\right)$ , I'm considering a stochastic process $X:=(X_{t})_{t\geq0}$ with distribution $X(\mathbb{P})$ on ...
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Definition of conditional probabiliy as function dependent on $\sigma$-Algebra

I know that for events $A,B$ with $P(B) > 0$ the conditional probability is defined as $$ P(A | B) = \frac{P(A \cap B)}{P(B)}. $$ Of course by regarding $A$ as constant, and varying $B$ we get a ...
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1answer
31 views

Expected number of lines in use in call centre (markov process: queuing theory)

Suppose we have a call centre with infinitely many lines to be able to call to. Calls come in a rate of $\lambda$ and customers are served with rate $\mu$. It is easy to see that the $Q$-matris looks ...
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54 views

Is it normal (correct) to calculate a probability without knowing the sample space?

Is it normal (correct) to calculate a probability without knowing the sample space? Background: I have finished a probability calculation $\mathbb{P}(E)$. I want to do some simulations. ...
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Standard machine in measure theory

Step 1.Prove the property for $h$ which is an indicator function. Step 2.Using linearity, extend the property to all simple positive functions. Step 3. Using Monotone property extend the ...