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Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory.

2 votes
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The correlation between a Gaussian random variable and its multiplication with another rando...

Suppose $X$ is a multivariate Gaussian random variable $X\sim \mathcal{N}\left(0,H\right)$ and we define a new random variable $\eta$ by its multiplication with some other random variable $Y$, i.e., …
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