10
votes
0answers
304 views

Which limit to take as a key applied math decision

The Borel-Kolmogorov paradox refers to situations where non-uniqueness in the notion of conditioning on a set of measure zero leads to apparent contradictions. As a formal matter, one requires ...
1
vote
2answers
842 views

Normal distribution with positive SEMI-definite covariance matrix

Hi In [1] is noted, that a covariance matrix is "positive- semi definite and symmetric". I wonder if it is possible to a multivariate normal distribution with a covariance matrix that is only ...
12
votes
3answers
892 views

Card game / options pricing / Brownian bridge question

We play a game. I shuffle a deck of cards and start dealing them face up. After any card you can say "stop", at which point I pay you 1 dollar for every red card dealt and you pay me 1 for every black ...
29
votes
6answers
4k views

Why is the Gaussian so pervasive in mathematics?

This is a heuristic question that I think was once asked by Serge Lang. The gaussian: $e^{-x^2}$ appears as the fixed point to the Fourier transform, in the punchline to the central limit theorem, as ...