(a) Compute the probability density of the r.v. a from Section 1.1.3. Show that E{ a...

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(a) Compute the probability density of the r.v. τ_a from Section 1.1.3. Show that E{τ_a}=∞.

(b) Proceeding from the invariance principle, connect heuristically this fact with what we obtained in Example 15.2.2-2: for the symmetric random walk, the mean time of reaching a level a equals infinity.

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Probability And Stochastic Modeling

ISBN: 9781439872062

1st Edition

Authors: Vladimir I. Rotar

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Question Posted: Jan 11, 2024 09:01 AM

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(a) Compute the probability density of the r.v. a from Section 1.1.3. Show that E{ a...

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