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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
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1
answer
133
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Independence of two random variable
Let $W$ and $S$ are two positive valued continuous random variable. Suppose
$g: [0,\infty)\rightarrow [0,\infty)$ is a convex function with a constraint that $g$ can't be of the form $g(x)=cx$, $c$ i …
3
votes
1
answer
579
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Weighted sum of standard Brownian bridges
Let $\{B_j\}_{j=1}^k$ be a sequence of Brownian bridges.
Let us consider $$X(t)=\sum_{j=1}^m w_j(t)B_j(t),$$ where $w_j$ are positive weight functions.
Then what can we say about (distribution or may …
1
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0
answers
409
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Defining density of a random function using Radon-Nikodym Theorem
Let $(\Omega,\mathbb{F},P)$ be a probability space and $E$ be an infinite dimensional Banach space and $\mathbb{B}$ be the $\sigma$-algebra of Borel subset of $E$.
Let $X$ be random function defined …