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In probability and statistics, a probability distribution assigns a probability to each measurable subset of the possible outcomes of a random experiment, survey, or procedure of statistical inference.

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Poisson kernel, $E^{(x, y)}\text{exp}\{i\theta X_t - \theta Y_t\} = e^{i\theta x - \theta y}$

Ignoring first the issue of boundary conditions, we note that by adding and subtracting an artificial $\frac{\theta^2}{2}t$ term in the exponential, $\mathbb{E}\bigl[e^{i \theta X_t - \theta Y_t} \bi …
Stephan Sturm's user avatar