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Jan
4
comment Tail sum for expectation
@Stef I've edited the answer in response to your question.
Jan
4
revised Tail sum for expectation
added 359 characters in body
Dec
15
awarded  Nice Answer
Nov
14
answered What is the distribution of the position of the maximum of a Brownian bridge?
Nov
14
asked What is the distribution of the position of the maximum of a Brownian bridge?
Oct
29
awarded  Yearling
Oct
22
accepted Is there a simpler proof of Van der Waerden's Theorem when there are only two colors?
Aug
10
awarded  Nice Question
May
19
comment Simulating a SDE
$P=S?~~~~~~~~~$
May
18
revised Supporting hyperplane of a convex set
added 161 characters in body
May
18
revised Supporting hyperplane of a convex set
added 161 characters in body
May
18
answered Supporting hyperplane of a convex set
Apr
13
reviewed Approve Transitive Relations
Mar
27
comment To show a given function is not the viscosity solution.
@smiley06 A function $\phi$ with behaviour near 1 as per my comment and fast decay elsewhere has the properties you need.
Mar
25
comment Two-sided hitting time of Brownian motion
@Math-fun That's the third event in my comment.
Mar
25
comment Two-sided hitting time of Brownian motion
@Math-fun An event is a set of outcomes to which a probability can be assigned. In particular, $\{|W(t)|>a\}$, $\{T_a\le t\}$ and $\{|W(t)|>a\text{ and } T_a\le t\}$ are events, but $\{|W(t)|>a| T_a\le t\}$ is not, since it doesn't refer to a particular set of outcomes.
Mar
25
awarded  Popular Question
Mar
24
comment Two-sided hitting time of Brownian motion
Interesting. $\{|W(t)|>a|T_a<t\}$ is not an event.
Mar
23
comment Two-sided hitting time of Brownian motion
This is equivalent to solving the heat equation on the space interval $[-a,a]$ with boundary conditions $P(x, 0)=1$ and $P(-a, t) = P(a, t) = 0$. I believe this gives a Fourier series solution with no nice closed form. Notes on the heat equation.
Mar
23
comment If $X_n = Y_n + Z_n$ in distribution, and $X_n$ and $Y_n$ converge in distribution, does $Z_n$?
@Frank Using $\mathbf{1}$ as, perhaps non-standard, shorthand for the indicator function, I mean that $Z_n$ equals $2U$ when $n$ is odd and zero when $n$ is even.