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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2
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+100

Can we characterize the probability generating function as a linear operator?

For a nonnegative integer-valued random variable $X$ with $\mathbb P(X=j)=p_j$, we define the probability generating function of (the distribution of) $X$ by $$P_X(s):=\mathbb E\left[s^X\right] = ...
2
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1answer
95 views
+150

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 ...
1
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0answers
96 views
+150

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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0answers
52 views
+50

Show $P\left[A<Z \mid \mathcal{G} \right]=e^{-A}$ for $Z$ standard exponential and $A$ nonnegative $\mathcal G$-measurable

I have a question about exponential distribution and conditional probability. Let $(\Omega, \mathcal{F}, P)$ be a probability space and $\mathcal{G}$ be a sub $\sigma$ algebra of $\mathcal{F}$. Let ...
2
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0answers
46 views
+50

Can we apply an Itō formula to find an expression for $f(t,X_t)$, if $f$ is taking values in a Hilbert space?

Let $U$ and $H$ be separable Hilbert spaces $Q\in\mathfrak L(U)$ be nonnegative and symmetric with finite trace $U_0:=Q^{1/2}U$ $(\Omega,\mathcal A,\operatorname P)$ be a probability space ...