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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.
1
vote
1
answer
291
views
Area under Gaussian sample path curve
Dear All,
We know that the coastline paradox is related with fractal dimension of a curve. Now I want to know how to estimate the area under a sample path curve of a Gaussian process:
Given a station …
6
votes
2
answers
552
views
Inequality involving the weak second moment
I want to ask the following probability inequality:
Is it true that for any random variable $X\ge 0$, we have
$$
\sup_{t>0}(t\mathbb E(X\mathbf 1_{X\ge t}))
\le
2\sup_{t>0}(t^2 \mathbb P(X \ge t …
-2
votes
1
answer
248
views
for examples in probability [closed]
Give an example satisfying the following conditions:
give out a sequence of random variables defined on a probability space, and a sub sigma algebra: the sequence converges almost surely to a limit an …