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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
133 views

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 …
Janak's user avatar
  • 213
3 votes
1 answer
579 views

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 …
Janak's user avatar
  • 213
1 vote
0 answers
409 views

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 …
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  • 213