Probability theory 2

1. Feb 5, 2008

Milky

An individual traveling on the real line is trying to reach the origin. However, the larger the desired step, the greater is the variance in the result of that step. Specifically, whenever the person is at location x, he next moves to a location having mean 0 and variance $$\beta x^2$$. Let $$X_n$$ denote the position of the individual after having taken n steps. Supposing that $$X_0 = x_0$$, find
a. $$E[X_n]$$
b. $$Var(X_n)$$.

I am not sure how to even start this problem, and would really appreciate any suggestions!

Last edited: Feb 5, 2008
2. Feb 5, 2008

EnumaElish

Did you mean:

"whenever the person is at location xn, he next moves to a location xn+1 with error having mean 0"?

Last edited: Feb 5, 2008
3. Feb 5, 2008

Milky

No, I copied exactly what the book said. I'm so confused!

4. Feb 6, 2008

EnumaElish

Okay. Part a is easy. The problem gives away the answer. (The answer is stated unambiguously as part of the problem statement.)

For part b, what does the definition of variance say? (E.g. Var[x] = b x^2.)

5. Feb 6, 2008

Milky

Okay, so for part a, E[Xn] = 0 because with every step the mean is 0...right?

For part b.. I'm still not sure.
I know Var(X) = bx^2, but I don't know how to get from X to Xn. I tried using the definition of variance: E[X^2] - (E[X])^2 but it didn't get me very far

6. Feb 6, 2008

EnumaElish

The question is, if you know Xn, do you need to know X0, ..., X(n-1) to know Var(Xn)?

7. Feb 6, 2008

Milky

The variance is the same for each step that he takes, so why wouldn't the variance just still be bx^2?

8. Feb 6, 2008

EnumaElish

No, the variance changes with each step, unless you happen to stay where you are (which is highly improbable). Look at the definition of the variance. It maps x to bx^2. Suppose Xn = t. Where does it map t?

9. Feb 6, 2008

Milky

bXn^2 ?

10. Feb 7, 2008

Yes.