# Tagged Questions

**21**

votes

**4**answers

2k views

### What is a cumulant really?

A cumulant is defined via the cumulant generating function
$$ g(t)\stackrel{\tiny def}{=} \sum_{n=1}^\infty \kappa_n \frac{t^n}{n},$$
where
$$
g(t)\stackrel{\tiny def}{=} \log E(e^{tX}).
$$
Cumulants ...

**9**

votes

**2**answers

1k views

### Did Joseph Doob prove that random sequences don't exist?

In the book "The Mathematical Experience" it says:
"An infinite [binary] sequence $x_1, x_2, \ldots$ is called random in the sense of von Mises if every infinite sequence $x_{n_1}, x_{n_2}, ...

**8**

votes

**4**answers

2k views

### Brownian motion, martingales, Markov Chains - Rosetta Stone

What are the most
fundamental/useful/interesting ways in
which the concepts of Brownian motion,
martingales and markov chains are
related?
I'm a graduate student doing a crash course in ...

**6**

votes

**1**answer

2k views

### Big picture concerning Ito integral, Stratonovich integral and standard results in probability theory

I am confused and don't get the big picture concerning the connection between
Ito integral
Stratonovich integral
Standard results in probability theory concerning skewed distributions.
Example: ...

**11**

votes

**1**answer

865 views

### Big Picture: What is the connection of Malliavin calculus with differential geometry?

I know that Paul Malliavin was heavily influenced by ideas from differential geometry while developing his calculus on Wiener space. But what are the concrete analogies between both areas of ...