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Skorokhod's Embedding Theorem
In mathematics and probability theory, Skorokhod's embedding theorem is either or both of two theorems that allow one to regard any suitable collection of random variables as a Wiener process ( Brownian motion) evaluated at a collection of stopping times. Both results are named for the Ukrainian mathematician A. V. Skorokhod. Skorokhod's first embedding theorem Let ''X'' be a real-valued random variable with expected value 0 and finite variance; let ''W'' denote a canonical real-valued Wiener process. Then there is a stopping time (with respect to the natural filtration of ''W''), ''τ'', such that ''W''''τ'' has the same distribution as ''X'', :\operatornametau= \operatorname ^2/math> and :\operatorname tau^2\leq 4 \operatorname ^4 Skorokhod's second embedding theorem Let ''X''1, ''X''2, ... be a sequence of independent and identically distributed random variables In probability theory and statistics, a collection of random variables is independent and identica ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Mathematics
Mathematics is an area of knowledge that includes the topics of numbers, formulas and related structures, shapes and the spaces in which they are contained, and quantities and their changes. These topics are represented in modern mathematics with the major subdisciplines of number theory, algebra, geometry, and analysis, respectively. There is no general consensus among mathematicians about a common definition for their academic discipline. Most mathematical activity involves the discovery of properties of abstract objects and the use of pure reason to prove them. These objects consist of either abstractions from nature orin modern mathematicsentities that are stipulated to have certain properties, called axioms. A ''proof'' consists of a succession of applications of deductive rules to already established results. These results include previously proved theorems, axioms, andin case of abstraction from naturesome basic properties that are considered true starting points of ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Anatoliy Skorokhod
Anatoliy Volodymyrovych Skorokhod ( uk, Анато́лій Володи́мирович Скорохо́д; September 10, 1930January 3, 2011) was a USSR, Soviet and Ukraine, Ukrainian mathematician. Skorokhod is well-known for a comprehensive treatise on the theory of stochastic processes, co-authored with Iosif Gikhman, Gikhman. In the words of mathematician and probability theorist Daniel W. Stroock “Gikhman and Skorokhod have done an excellent job of presenting the theory in its present state of rich imperfection.” Career Skorokhod worked at Taras Shevchenko National University of Kyiv, Kyiv University from 1956 to 1964. He was subsequently at the Institute of Mathematics of the National Academy of Sciences of Ukraine from 1964 until 2002. Since 1993, he had been a professor at Michigan State University in the US, and a member of the American Academy of Arts and Sciences. He was an academician of the National Academy of Sciences of Ukraine from 1985 to his death in 2011. ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Independent And Identically Distributed Random Variables
In probability theory and statistics, a collection of random variables is independent and identically distributed if each random variable has the same probability distribution as the others and all are mutually independent. This property is usually abbreviated as ''i.i.d.'', ''iid'', or ''IID''. IID was first defined in statistics and finds application in different fields such as data mining and signal processing. Introduction In statistics, we commonly deal with random samples. A random sample can be thought of as a set of objects that are chosen randomly. Or, more formally, it’s “a sequence of independent, identically distributed (IID) random variables”. In other words, the terms ''random sample'' and ''IID'' are basically one and the same. In statistics, we usually say “random sample,” but in probability it’s more common to say “IID.” * Identically Distributed means that there are no overall trends–the distribution doesn’t fluctuate and all items in t ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Filtration (abstract Algebra)
In mathematics, a filtered algebra is a generalization of the notion of a graded algebra. Examples appear in many branches of mathematics, especially in homological algebra and representation theory. A filtered algebra over the field k is an algebra (A,\cdot) over k that has an increasing sequence \ \subseteq F_0 \subseteq F_1 \subseteq \cdots \subseteq F_i \subseteq \cdots \subseteq A of subspaces of A such that :A=\bigcup_ F_ and that is compatible with the multiplication in the following sense: : \forall m,n \in \mathbb,\quad F_m\cdot F_n\subseteq F_. Associated graded algebra In general there is the following construction that produces a graded algebra out of a filtered algebra. If A is a filtered algebra then the ''associated graded algebra'' \mathcal(A) is defined as follows: The multiplication is well-defined and endows \mathcal(A) with the structure of a graded algebra, with gradation \_. Furthermore if A is associative then so is \mathcal(A). Also if A is uni ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Variance
In probability theory and statistics, variance is the expectation of the squared deviation of a random variable from its population mean or sample mean. Variance is a measure of dispersion, meaning it is a measure of how far a set of numbers is spread out from their average value. Variance has a central role in statistics, where some ideas that use it include descriptive statistics, statistical inference, hypothesis testing, goodness of fit, and Monte Carlo sampling. Variance is an important tool in the sciences, where statistical analysis of data is common. The variance is the square of the standard deviation, the second central moment of a distribution, and the covariance of the random variable with itself, and it is often represented by \sigma^2, s^2, \operatorname(X), V(X), or \mathbb(X). An advantage of variance as a measure of dispersion is that it is more amenable to algebraic manipulation than other measures of dispersion such as the expected absolute deviation; for e ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Finite
Finite is the opposite of infinite. It may refer to: * Finite number (other) * Finite set, a set whose cardinality (number of elements) is some natural number * Finite verb, a verb form that has a subject, usually being inflected or marked for person and/or tense or aspect * "Finite", a song by Sara Groves from the album ''Invisible Empires'' See also * * Nonfinite (other) Nonfinite is the opposite of finite * a nonfinite verb A nonfinite verb is a derivative form of a verb unlike finite verbs. Accordingly, nonfinite verb forms are inflected for neither number nor person, and they cannot perform action as the root ... {{disambiguation fr:Fini it:Finito ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Expected Value
In probability theory, the expected value (also called expectation, expectancy, mathematical expectation, mean, average, or first moment) is a generalization of the weighted average. Informally, the expected value is the arithmetic mean of a large number of independently selected outcomes of a random variable. The expected value of a random variable with a finite number of outcomes is a weighted average of all possible outcomes. In the case of a continuum of possible outcomes, the expectation is defined by integration. In the axiomatic foundation for probability provided by measure theory, the expectation is given by Lebesgue integration. The expected value of a random variable is often denoted by , , or , with also often stylized as or \mathbb. History The idea of the expected value originated in the middle of the 17th century from the study of the so-called problem of points, which seeks to divide the stakes ''in a fair way'' between two players, who have to end th ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Real Number
In mathematics, a real number is a number that can be used to measure a ''continuous'' one-dimensional quantity such as a distance, duration or temperature. Here, ''continuous'' means that values can have arbitrarily small variations. Every real number can be almost uniquely represented by an infinite decimal expansion. The real numbers are fundamental in calculus (and more generally in all mathematics), in particular by their role in the classical definitions of limits, continuity and derivatives. The set of real numbers is denoted or \mathbb and is sometimes called "the reals". The adjective ''real'' in this context was introduced in the 17th century by René Descartes to distinguish real numbers, associated with physical reality, from imaginary numbers (such as the square roots of ), which seemed like a theoretical contrivance unrelated to physical reality. The real numbers include the rational numbers, such as the integer and the fraction . The rest of the real number ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Mathematician
A mathematician is someone who uses an extensive knowledge of mathematics in their work, typically to solve mathematical problems. Mathematicians are concerned with numbers, data, quantity, structure, space, models, and change. History One of the earliest known mathematicians were Thales of Miletus (c. 624–c.546 BC); he has been hailed as the first true mathematician and the first known individual to whom a mathematical discovery has been attributed. He is credited with the first use of deductive reasoning applied to geometry, by deriving four corollaries to Thales' Theorem. The number of known mathematicians grew when Pythagoras of Samos (c. 582–c. 507 BC) established the Pythagorean School, whose doctrine it was that mathematics ruled the universe and whose motto was "All is number". It was the Pythagoreans who coined the term "mathematics", and with whom the study of mathematics for its own sake begins. The first woman mathematician recorded by history was Hypati ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Probability Theory
Probability theory is the branch of mathematics concerned with probability. Although there are several different probability interpretations, probability theory treats the concept in a rigorous mathematical manner by expressing it through a set of axioms. Typically these axioms formalise probability in terms of a probability space, which assigns a measure taking values between 0 and 1, termed the probability measure, to a set of outcomes called the sample space. Any specified subset of the sample space is called an event. Central subjects in probability theory include discrete and continuous random variables, probability distributions, and stochastic processes (which provide mathematical abstractions of non-deterministic or uncertain processes or measured quantities that may either be single occurrences or evolve over time in a random fashion). Although it is not possible to perfectly predict random events, much can be said about their behavior. Two major results in probability ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Ukraine
Ukraine ( uk, Україна, Ukraïna, ) is a country in Eastern Europe. It is the second-largest European country after Russia, which it borders to the east and northeast. Ukraine covers approximately . Prior to the ongoing Russian invasion, it was the eighth-most populous country in Europe, with a population of around 41 million people. It is also bordered by Belarus to the north; by Poland, Slovakia, and Hungary to the west; and by Romania and Moldova to the southwest; with a coastline along the Black Sea and the Sea of Azov to the south and southeast. Kyiv is the nation's capital and largest city. Ukraine's state language is Ukrainian; Russian is also widely spoken, especially in the east and south. During the Middle Ages, Ukraine was the site of early Slavic expansion and the area later became a key centre of East Slavic culture under the state of Kievan Rus', which emerged in the 9th century. The state eventually disintegrated into rival regional po ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Stopping Time
In probability theory, in particular in the study of stochastic processes, a stopping time (also Markov time, Markov moment, optional stopping time or optional time ) is a specific type of “random time”: a random variable whose value is interpreted as the time at which a given stochastic process exhibits a certain behavior of interest. A stopping time is often defined by a stopping rule, a mechanism for deciding whether to continue or stop a process on the basis of the present position and past events, and which will almost always lead to a decision to stop at some finite time. Stopping times occur in decision theory, and the optional stopping theorem is an important result in this context. Stopping times are also frequently applied in mathematical proofs to “tame the continuum of time”, as Chung put it in his book (1982). Definition Discrete time Let \tau be a random variable, which is defined on the filtered probability space (\Omega, \mathcal F, (\mathcal F_n)_, ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
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