13. Let X be a discrete random variable. (a) Prove that if mjnjaC for all n, then...
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13. Let X be a discrete random variable.
(a) Prove that if mjnjaC for all n, then Pr½jX mjbt ¼ 0 for any t > 1. In other words, it must be the case that Pr½jX mja1 ¼ 1: (Hint: Chebyshev.)
(b) Generalize part (a). Prove that if mjnjaCn for all n, then Pr½jX mjbt ¼ 0 for any t > C.
(c) Conclude that if X has unbounded range, then it cannot be the case that mjnjaCn for any C.
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Introduction To Quantitative Finance A Math Tool Kit
ISBN: 978-0262013697
1st Edition
Authors: Robert R. Reitano
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