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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The Bell CurveCLT and<strong>Random</strong><strong>Walk</strong>JeffreySchenkerA GameWorking onthe ProblemInterlude:Gambler’sRuinCLTRand. <strong>Walk</strong><strong>Brownian</strong><strong>Motion</strong>A standard normal randomvariable is a random quantity Xwhose distribution has theprobability density:1√2πe − 1 2 X 2That means, if h is very small, thenProb (x ≤ X ≤ x + h) ≈ 1 √2πe − 1 2 x2 h.
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