New answers tagged brownian-motion
2
Maybe this example helps:
$$\Omega=\{\omega_1,\omega_2\} $$
Consider the following two probability measures
$$ \mathbb{P_1}(\{ \omega_1\}) = 0.4\ \ \ ; \ \ \mathbb{P_2}(\{ \omega_1\}) = 0.6 \ $$
and $\mathbb{P_i}(\{ \omega_2\})=1-\mathbb{P_i}(\{ \omega_1\})$
Consider the two random variables:
$$ X_1: \Omega \to \{0,1 \}, X_1(\omega_1) \mapsto 0 , X_1(\...
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