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seen Aug 31 '12 at 23:18

Nov
4
revised application of Ito's lemma
added 144 characters in body; edited body
Nov
4
asked application of Ito's lemma
Nov
4
revised derivative of characteristic function
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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?
Nov
4
asked convergence of sequence of random variables
Nov
4
asked derivative of characteristic function
Oct
25
accepted sigma algebra generated by random variable
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.
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.
Oct
25
asked combination of brownian motion
Oct
25
comment Radon-Nikodym example
I got this question from the internet by searching contents on Radon-Nikodym theorem...
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.
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.
Oct
24
comment sigma algebra generated by random variable
Got it. Sorry about the confusion.
Oct
24
asked Radon-Nikodym example
Oct
24
asked Lebesgue Dominated Convergence example
Oct
24
comment sigma algebra generated by random variable
How is $L([0,1/2]\cap[1/4,3/4])=L([0,1/2]).L([1/4,3/4])$? Lesbegue measure is the length of the interval. How does this extend to independence?
Oct
24
comment sigma algebra generated by random variable
Yes I made a mistake. I meant to take inverse of indicator function.
Oct
24
accepted lower bound for probability distribution of a random variable
Oct
24
revised lower bound for probability distribution of a random variable
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