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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
171 views

Kolmogorov inequality for Bernoulli random variables

This question is also asked on math stackexchange. The question is about one inequality which shows in Kolmogorov's paper (inequality (3.1)) but is not proved. The inequality says that, if we assume $ …
Greenhand's user avatar
1 vote
0 answers
32 views

A functional equation coming from a distribution function

Currently, I am working on a random series as follows. Let $\{Y_k\}$ be a sequence of i.i.d. Bernoulli random variables with expectation $p$. Then we define $$ S = \sum_{k=1}^\infty \prod_{\ell=1}^k 2 …
Greenhand's user avatar