4. Let {Sn, n > 0} be a symmetric Random Walk on Z. with So-0. Defined...
4. Let {Sn,n > 0} be a symmetric Random Walk on Z. with So-0. Defined Y, max{Sk, 1 3 k S nt, for n 2 0, prove, thanks to a counterexample, that Y is not a Markov Chain
3. Let(Sn, n > 0} be a symmetric Random Walk on Z. Defined To-inf(n-1 : Sn-0) the time of first passage to state 0, prove that PlT, = 2nlSo = 0] = 2n.plsøn = 이So = 0] for any n 2 1
3. Let {Sn, n > 0} be a symmetric Random Walk on Z. Defined To inf(n > 1 : Sn-0} the time of first passage to state 0, prove that 2n - 1 for any n 2 1
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2. (10 points) Let (%)n>o be a simple symmetric random walk. Compute P(Sn-y|S,n-x) for the two cases n > m and n < m
Problem 5.2 (10 points) For the simple symmetric random walk (Sn)n=0.12 that with So = 0, show for all n>0 and all -n<k<n
Problem 5.2 (10 points) For the simple symmetric random walk (Sn)n=0.12 that with So = 0, show for all n>0 and all -n
Problem 5.4 (10 points) Let (Sn)n-01. be a simple, symmetric random walk with starting value So-s e R. (a) Show that ES for alln0 b) Show that ElSn+1 Sn] Sn for 0. (c)Suppose that (Sn)n-0,12,. . denotes the profit and loss from $1 bets of a gambler with initial capital So-s who is repeatedly playing a fair game with 50% chances to win or lose her stake. What are the interpretations of the results in (a) and (b)?
Problem 5.4...
Let Sn be a symmetric one-dimensional random walk with respect to the standard filtration {Fi} i >= 0. Show that Mn= S2n - n is a martingale.
I. (5 points) Let X be a random variable with moment generating function M(t) = E [etx]. For t > 0 and a 〉 0, prove that and consequently, P(X > a inf etaM(t). t>0 These bounds are known as Chernoff's bounds. (Hint: Define Z etX and use Markov inequality.)
4. Let X, Y, and Z be independent random variables, each with the standard normal distribution. Compute the following: (a) P[X + Y> Z +2 (b) Var3x 4Y;
Let us start with the usual conditional probability exercise Let Sn be the random walk S, -So + 61 +...+ En such that Ei €{+1} are iid with P(Ei=1) So = x (0,N) Z. p. Let 1. Show that P(S In S0, S1, ..., Sn 1) P(Sn In Sn 1) Hint Start with P(S, Ir. S DO, S I1...,S-I I -1) / 0 ill I; - I;+11 1. Thal is, if the sequence of steps is not possible for the...