Central Limit Theorem, Random Walk, Brownian Motion
Central Limit Theorem, Random Walk, Brownian Motion
Central Limit Theorem, Random Walk, Brownian Motion
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Kolomogorov’s InequalityCLT and<strong>Random</strong><strong>Walk</strong>JeffreySchenkerA GameWorking onthe ProblemInterlude:Gambler’sRuinCLTRand. <strong>Walk</strong><strong>Brownian</strong><strong>Motion</strong>The probability of winning in n orfewer steps is no larger thann/100:Prob()max W i ≥ 10 ≤1≤i≤nn100It is unlikely to win until n ∼ 100 (say n ≥ 25).
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