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Results tagged with pr.probability
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user 160117
Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory.
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Step in proof of Itô formula
I am reading a book on stochastic processes. The author proved Itô formula for $f(t,w(t))$ where $w(t)$ is brownian motion with filtration $F_t$. Then he wants to prove Itô formula for $x(t)=a(t)+b(t) …
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Probabilistic inequality for sum of squares of zero mean Gaussian random variables
Let $X_1,...,X_n$ be i.i.d. standard normal random variables. How to show that there is constant $c>0$ such that for every $a_k>0$ and for every $n>0$: $P(\sum_{k=1}^{n}a_kX_k^2>\sum_{k=1}^{n}a_k+c\cd …