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469概率困难derivationlong

Geometric Mean of Random Multipliers via LLN and CLT

题目

An investment grows by a random factor each year: in year ii, the portfolio is multiplied by XiX_i, where XiX_i are i.i.d.\ with P(Xi=2)=P(Xi=4)=1/2P(X_i = 2) = P(X_i = 4) = 1/2. After nn years, the annualized growth factor is the geometric mean Gn=(i=1nXi)1/n.G_n = \left(\prod_{i=1}^n X_i\right)^{1/n}.

(a) Find limnGn\lim_{n \to \infty} G_n almost surely.

(b) For n=100n = 100, use the CLT to approximate P(G100>3)P(G_{100} > 3).

You may use ln20.6931\ln 2 \approx 0.6931, ln31.0986\ln 3 \approx 1.0986, and Φ(1.70)0.9554\Phi(1.70) \approx 0.9554.

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你的答案

a

b