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455概率困难derivationlong

Geometric Mean of Random Gains via LLN and CLT

题目

Let X1,X2,X_1, X_2, \ldots be i.i.d.\ with P(Xi=1)=12P(X_i = 1) = \tfrac{1}{2} and P(Xi=0)=12P(X_i = 0) = \tfrac{1}{2}. Define the geometric-mean-like quantity Yn=(i=1n(1+Xi))1/n.Y_n = \left(\prod_{i=1}^{n} (1 + X_i)\right)^{1/n}.

(a) Find limnYn\lim_{n \to \infty} Y_n almost surely.

(b) For n=200n = 200, use the CLT to approximate P(Y200>1.45)P(Y_{200} > 1.45).

You may use: ln20.6931\ln 2 \approx 0.6931, Φ(1.02)0.8461\Phi(1.02) \approx 0.8461.

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你的答案

a

b