3. Let {Sn, n > 0} be a symmetric Random Walk on Z. Defined To inf(n...
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
4. Let {Sn, n > 0} be a symmetric Random Walk on Z. with So-0. Defined Y max{Sk, 1 Sk n, for n 2 0, prove, thanks to a counterexample, that Y is not a Markov Chain.
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
DO NOT COPY OTHER ANSEWERS!!!! 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
(3) Prove that the symmetric group Sn is nonabelian for all n > 3.
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.
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...
3. (a) Given n e N, prove that sup{.22 : 0<x<1} = 1 and inf{.22n: 0<x<1} = 0. (b) Find the supremum of the set S = {Sn: ,ne N}. Give a proof.
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.)