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| bio | website | |
|---|---|---|
| location | ||
| age | ||
| visits | member for | 2 years, 9 months |
| seen | Aug 31 '12 at 23:18 | |
| stats | profile views | 116 |
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Dec 7 |
asked | distribution of iid sequence of integrable random variables |
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Dec 7 |
comment |
How do I nominate someone? I would like to nominate Qiaochu Yuan and Arturo Magidin |
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Dec 7 |
comment |
application of strong vs weak law of large numbers Can you give an example where weak law holds but strong law does not hold? |
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Dec 7 |
asked | application of strong vs weak law of large numbers |
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Nov 11 |
accepted | convergence of average of iid random variables |
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Nov 11 |
asked | convergence of average of iid random variables |
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Nov 4 |
revised |
application of Ito's lemma added 144 characters in body; edited body |
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Nov 4 |
asked | application of Ito's lemma |
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Nov 4 |
revised |
derivative of characteristic function added 166 characters in body |
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Nov 4 |
comment |
convergence of sequence of random variables Wiki page mentions convergence in mean implies convergence in probability. Why is that? |
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Nov 4 |
asked | convergence of sequence of random variables |
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Nov 4 |
asked | derivative of characteristic function |
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Oct 25 |
accepted | sigma algebra generated by random variable |
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Oct 25 |
comment |
combination of brownian motion Thanks. I have a stock price function that is a stochastic process (e.g. $S = S_0 + B_t$). Now I am interested in finding various option values over those stock prices which involves finding the expectation. So to find asian call value, I need to find $E(\frac{S_1+S_2}{2} - K)^+$ which requires finding the density function $B_1+B_2$ computed by differentiating the distribution function. Hope this makes sense. |
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Oct 25 |
comment |
Lebesgue Dominated Convergence example Thanks Arturo. The function $f_n(x)$ converges to 0 as $n\to\infty$. So it converges point wise to 0. So the integral as $n\to\infty$ should evaluate to 0 by DCT. |
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Oct 25 |
asked | combination of brownian motion |
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Oct 25 |
comment |
Radon-Nikodym example I got this question from the internet by searching contents on Radon-Nikodym theorem... |
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Oct 25 |
comment |
Lebesgue Dominated Convergence example Carl - I am going through a couple of books on probability and asking questions from exercises and things I do not understand. I am still in the very basics. If you need reference to the book/article let me know. |
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Oct 24 |
comment |
sigma algebra generated by random variable To extend the answer, to test independence, we only need to test disjoint sets in the sigma algebra. Then you can use the additivity property of a probability measure to say that any of the other elements in the sigma-algebra works as well. |
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Oct 24 |
comment |
sigma algebra generated by random variable Got it. Sorry about the confusion. |
