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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Independence between the norm and the direction of a standard multivariate normal vector

Suppose that $v\sim N(0,\sigma^2 I_n)$ and with $||\cdot||$ denoting the Euclidean norm, define $$ u=v/||v||\quad\text{and}\quad w=||v||. $$ I've been told that $u$ and $w$ are independent and I see ...
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1answer
19 views

Showing that $\mu$ is a measure when continuous from above

Statment Let $\mu$ be a set function defined on a $\sigma$ -algebra. Show that $\mu$ is a measure given that $\mu \geq 0$, $\mu(\emptyset)=0$, $\mu$ is continuous from above and countably additive. ...
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1answer
31 views

Poisson probability of an event A before event B

I'm trying to calculate the probability of two poisson processes events happening one before the other, with two different $\lambda$s. The way I see it, I can word it as the probability of event $A$ ...
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15 views

Generator of a simple random walk

Let $(X_t)_{t\geq0}$ be a simple random walk in continuous time on the integer grid $\mathbb Z^d$. Its generator is defined as a discrete Laplace operator on the space of functions $f: \mathbb Z^d ...
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7 views

Proof of substitution rule for conditional expectation

Let $v: \mathbb{R}^2 \to \mathbb{R}$ be a function and $X, Y$ random variables. It holds $$ \mathbb{E}[v(X,Y)|Y=y]=\mathbb{E}[v(X,y)|Y=y], \ y\in R(Y). $$ What would be a way to start the proof? I ...
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1answer
21 views

Finding $P(C)$ with Bayes's Theorem

We have two events $C$ and $D$ such that $0<P(D)<1$ and a $P(C|D)=P(C|D^{c}) = \frac{1}{3}$. I am wondering if it is possible to calculate $P(C)$ from only this information. I've tried using ...
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1answer
11 views

Reformulation of SLLN with continuous nondecreasing process as time

Given a filtered probability space $(\Omega,\mathcal{F}_{t},P)$ and a continuous nondecreasing process $U_{t}$ with $U_{0}=0$ and $U_{t}\rightarrow \infty$ $P-a.s.$ as $t$ goes to $\infty$. Given a ...
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1answer
535 views

Girsanov: Change of drift, that depends on the process

Known: If I am looking at an SDE like: $dX_t = b(t,\omega) dt + dW_t$ with $W_t$ a Brownian motion under a measure $P$. I know that I can change the drift by using Girsanov to $dX_t = ...
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11 views

Finding the autocorrelation of $X(t)$ and $Y(t)$ from the autocorrelation and pseudocorrelation of $Z(t) = X(t)+i Y(t)$

Consider $Z(t) = X(t) + iY(t)$, $i$ being imaginary. Knowing that $$ r(t_1,t_2) = e^{i(t_1 - t_2) - (t_1+t_2)^{2}} \quad\quad\text{and}\quad\quad \mathrm{pseudo}-r(t_1, t_2) = 0 $$ how can one ...
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33 views

Given three independent events $A,B,C$, is $I_A+2I_B$ independent of $I_C$?

Let $(\Omega,\mathcal{F},P)$ be a probability space and $A,B,C\in \mathcal{F}$ are independent. Is $I_A+2I_B$ independent of $I_C$? $I_A,I_B,I_C$ are indicator random variables. I started by ...
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1answer
114 views

Distribution in Polya's Urn / existence of mgf / Stolz–Cesàro alternative / dominated convergence theorem

I know this has been asked elsewhere, but I think the values or random variables are different or something. From Williams' Probability with Martingales: I proved that $M_n$ is a $\sigma(B_1, ...
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3answers
384 views

Why does randomness exhibit a pattern in the long run?

!!! Layman here so please avoid complex math and answers. Random (usually pseudorandom) events are usually characterized along these lines: Each outcome in a trial experiment must be i.i.d.; i.e. ...
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1answer
30 views

What is the probability of unions of intersections? [on hold]

Suppose we have two unions of (possibly overlapping) events. Let me denote the unions as: $$A = IE_A^1 \cup \dots \cup IE_A^{k_A}$$ $$B = IE_B^1 \cup \dots \cup IE_B^{k_B}$$ Each $IE_X^y$ is a ...
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1answer
31 views

How do I transform this Probability in weak law of large number form?

Let $X_{1},\dots$ be a sequence of independent random variables. Suppose, for $k=1,2,\dots$ $$P\left(X_{2k-1}=1\right)=P\left(X_{2k-1}=-1\right)=\frac{1}{2}$$ and the probability density function of ...
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2answers
54 views

Show that a random variable $T_x$ is uniformly distributed given that $T$ is uniformly distributed?

We have a lifetime $T$, which is uniformly distributed over $(0,b)$. We then introduce a new r.v., $T_x=T-x$, which is defined on $0<x<b$. We want to show that given $T>x$, the variable ...
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2answers
47 views

Is Probability really consistent with our world?

Say we have 6 unbiased coins, We toss 5 coins and get 5 heads. Then what is the probable outcome of the sixth toss? Mathematically every new and discrete event should be independent of the results of ...
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1answer
37 views

Conditional entropy and independent conditioning variables

Let $X,Y,Z,Y',Z'$ be random variables where $Y\sim Y', Z\sim Z'$, $Y$ and $Z$ are independent, while $Y'$ and $Z'$ are, in the sense that we have $p(X,Y,Z)=p(X|Y,Z)p(Y)p(Z)$ ...
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1answer
411 views

Characteristic function of vector-valued random variables

I just begins my self-study on Brownian motion. I got stuck on the part about random-vector and characteristic function. Here are my questions: I'm not quite get about how characteristic function of ...
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1answer
24 views

How to prove $E\|Y'\|\leq E\|Y'-Y''\|,$ where $Y$ is a random matrix in $\mathbb{R}^{n\times n}$, and $Y'$, $Y''$ are independent copies of $Y$?

How to prove $$E\|Y'\|\leq E\|Y'-Y''\|,$$ where $Y$ is a random matrix in $\mathbb{R}^{n\times n}$, and $Y'$, $Y''$ are independent copies of $Y$; $\|\cdot\|$ denotes the $l_2$ operator norm;$E$ ...
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2answers
53 views

The intersection of all events in a sequence has probability $\lim \limits _{k \to \infty} P(A_k)$

If a sequence $A_1, A_2, A_3, \dots$ of events is decreasing, show that the intersection of all events in the sequence has probability: $\lim \limits _{k \to \infty} P(A_k)$. I suck at proofs so I am ...
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3answers
83 views

Conceptual Statistics. Define for this problem, population, Samples and Estimators, and when is Normal Dist?

Students in Stanford are supposed to spend on average 3 hours of time per week for every credit hour they take. Last year, 263 randomly selected seniors were contacted and asked how much total time ...
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1answer
50 views

How to calculate the shortest interval, for $P ( X ≤ 1 . 645) = 0 . 95$?

The problem statement said: Based on the fact that $\Phi(1 . 645) = 0 . 95$ find an interval in which $X$ will fall with $95\%$ probability. Therefore: Since $P ( X ≤ 1 . 645) = 0 . 95, ( -∞ , ...
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0answers
50 views

If $X_n\nearrow X$ then $E(X_n)\rightarrow E(X)$?

Let $(X_n)$ be an increasing sequence of real valued integrable rvs on a probability space $(\Omega,\mathcal{F},P)$, such that $(X_n)$ converges ae to some rv $X$. Is it true that $E(X_n)\rightarrow ...
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2answers
28 views

Fourier transform problem with symmetric matrix. Related to Gaussian?

Hi everyone I encountered a problem that looks simple enough but I have no idea where to start. Find Fourier transform of $e^{-\langle Ax,x\rangle}$ when $A$ is a positive definite symmetric $n ...
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27 views

Are there different definitions of a continuous time Markov chain, condition on a finite or infinite number of earlier values?

My book defines a continuous time Markov chain like this. Let $\{X_t\}, t \in T$ be a stochastic process on $(\Omega, \mathcal{A}, P)$, with a countable state space $S$. The process is a Markov ...
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1answer
60 views

If $dX_{t} = X_{t}\,dt + \,dB_{t}$, why does $e^{- t}dX_{t} = e^{-t} X_{t} \,dt + e^{-t} \,dB_{t}$?

I'm taking a course in stochastic differential equations, and in order to solve $dX_{t} = X_{t}\,dt + \,dB_{t}$, the book gives a hint: to multiply both sides of this equation by $e^{-t}$. (But, as ...
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1answer
38 views

Which inequalities are there with stochastic integration?

Which inequalities can I use with stochastic integration? For example, with the standard lebesgue integral we have $$\left|\int_\Omega f(x) dx\right| \le M |\Omega|$$ (where $M$ is the maximum of ...
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2answers
32 views

If $X_n\geq 0,~X_n\rightarrow X$ ae and $E(X_n)\leq c,$ then $E(X)\leq c.$

Let $(X_n)$ be a sequence of positive valued rvs on a probability space $(\Omega,\mathcal{F},P),$ such that $(X_n)$ converges ae to a rv $X.$ If $E(X_n)\leq c<+\infty$ for all $n$, then $X$ is ...
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37 views

show that $Y_1$ is unbiased for $\theta$ and find its variance [on hold]

Let $X_1,\ldots,X_n \stackrel {\text{iid}} {\sim} \text{$P_0$}(θ)$ $$Y_1= \frac {X_1+3X_2+5X_5} {9} $$ $$ Y_2= \sum_{i} X_i$$ Show that $Y_1$ is unbiased for $\theta$ and find its variance. Show ...
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1answer
23 views
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30 views

Probability Mass Function of a Sentence

We have a sentence: Some dogs are brown. We choose one letter (out of the 16) at random. Let Y be the length of the whole word containing the letter. How can I find the probability mass function of Y? ...
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1answer
38 views

How to show that this is a martingale?

Let $H_s$ be a predictable and bounded process. How can I show that $$M_t = \int_0^t H_s \, dW_s$$ is a martingale? Clearly since $H_s \in L^2_\text{loc} (W)$ we have that $M_t$ is a local ...
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1answer
398 views

What happens to a random walk when we increase the probabilities of going right?

Consider a random walk on the integers where the probability of transitioning from $n$ to $n+1$ is $p_n$ (and of course, the probability of transitioning from $n$ to $n-1$ is $1-p_n$); we assume all ...
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19 views

Application of Doob's optional stopping theorem to an elementary probability problem

The elementary probability problem is as follows. Let $(X_k)_{k\in\mathbb{N}}$ be a sequence of i.i.d. random variables such that $X_k \sim U(0,1)$ for each $k$. Define $\tau := \inf\{n\geq 0: ...
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42 views

Distribution and expectation value of ceiling function of Poisson

There is Poisson random variable $X$ $$P(X=x)=\frac{\lambda^{x}}{x!}e^{-\lambda}$$ And define random variable $Z=\lceil \beta X \rceil$ ( $\beta$ is rational number which is less than 1). How can I ...
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23 views

The “how many pieces do you have buy on average” problem, a markov problem?

I recently discovered a problem similar to this one in a book about Markov chains: Assume you can buy $n-$ different set of cards in a store, but you do not know which one you'll buy: What is the ...
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46 views

If the sample space is an Euclidean Space, we can use a different type of PDF

The title resume all the point I'll try to make now. Reading this post, I realize that is possible to have another type of PDF (probability density function). Usually, we have a probability space ...
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1answer
141 views

Monotone convergence and uniform integrability: an application.

If $E[X_n] < \infty$ for $n = 1,2,\ldots,\infty$ and $X_n$ increases to $X_ \infty$ almost everywhere. Prove that $$E\left[|X_n - X_\infty|\right]\to 0$$ as $n$ tends to $\infty$. Here's what ...
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34 views

If $P(X_1 < X_2)$, what is $P(X_1 < X_2 \cap X_1 < X_3)$?

Say $X_i$ can have a real value in the range [1,100]. All $X_i$ are independent of each other and all values are equally likely. So then $\mathbb{P}(X_1 < X_2) = \frac{1}{2}$, right? But then, ...
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1answer
22 views

uniform Distribution on uncountable Lebesgue $0$-Sets

I know that for every measurable Set A it is possible to create a uniform Distribution on A if - A is finite - A is not a lebesgue 0-set and its not possible for infinite countable sets so I ...
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1answer
16 views

Probability of a vector of normal distribution

Given the set of vectors $\{\mathbf{g}^{1}, \ldots, \mathbf{g}^{N-1} \}$ where $\mathbf{g}^{i} \in \mathbf{R}^M$. Assume that $N \leq M$ and elements of $\mathbf{g}^{i}$ follows normal distribution, ...
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1answer
19 views

Absolute expectation of stopped martingale

Let $M_0,M_1,\dots$ be a martingale with respect to $X_0,X_1,\dots$ and $T$ be a stopping time with respect to $X_0,X_1,\dots$ Define $T_n=\min\{n,T\}$ and let $M_{T_n}$ be the stopped martingale. By ...
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1answer
62 views

What is “white noise” and how is it related to the Brownian motion?

In the Chapter 1.2 of Stochastic Partial Differential Equations: An Introduction by Wei Liu and Michael Röckner, the authors introduce stochastic partial differential equations by considering ...
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1answer
37 views

Expected value problem: flip $6$ fair coins before we obtain $3$ heads and $3$ tails?

How many times on average (expected value) must we flip $6$ fair coins before we obtain $3$ heads and $3$ tails? I know I need $∑ xp(x)$. I just don't know how to apply it.
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31 views

Coin toss problem. $F_{\alpha} = \{\omega: \frac{\#(k\le n: \omega_{\alpha(k)}=H)}{n}\to \frac{1}{2}\}$

$\Omega=\{H,T\}^\mathbb{N}$, so that a typical point $\omega$ of $\Omega$ is a sequence $\omega=(\omega_1,\omega_2,\dots), \omega_n \in \{H,T\}.$ Let $\mathcal{A}$ be the set of all maps $\alpha ...
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23 views

Can covariance (X,Y) be easily expressed in term of Var(X), Var(Y), E(X), and E(Y)?

Can $Cov(X,Y)$ be easily expressed in term of $Var(X), Var(Y), E(X), $ and $E(Y)$ ?
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11 views

Failure boundary for simple routing problem

As an absolute beginner concerning probability theory I am currently trying to solve the following problem: Given a grid that has $x$ columns (here $x = 4$) and $y$ rows (here $y = 5$), we insert a ...
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16 views

Continuity of random variable as function of a random variable

Suppose, we are given a continuos random variable $X$ and a continuous and nondecreasing function $f$. Can it be shown that a second random variable $Y=f(X)$ is continuos on the support of $X$? What ...
3
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3answers
56 views

Upper bound for difference of Poisson random variables

Let $X, Y$ be random variables with Poisson$(\lambda)$ and Poisson$(2\lambda)$ distributions, respectively.Then (i) If we assume that $X, Y$ are independent, $$\mathbb{P}(X \geq Y) \leq ...
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1answer
29 views

Poisson Probability with rate $\lambda (t)=-(t-4)^2+16$

The rate at which customer arrive to the bookstore is $\lambda (t)=-(t-4)^2+16 $ where $t$ measured in hours. The customers can buy a book with probability $0.5$ and they can also buy a coffee ...