2
votes
0answers
79 views

Lower convex envelope of a function involving entropy

Suppose two discrete random variables $X$ and $Y$ defined on finite sets $\mathcal{X}$ and $\mathcal{Y}$ are given and also suppose the conditional distribution $P_{Y|X}$ (i.e, channel) is fixed. We ...
3
votes
1answer
157 views

Characterization of a set in $\mathbb{R}^d$

Let $X= (X_1,\dots, X_d)$ be a fixed vector of random variables on the space $(\Omega, \mathcal{F}, \mathbb{P})$. Consider the following set. \begin{equation}\label{main12} C= \{x\in \mathbb{R}^d ~|~ ...
0
votes
1answer
227 views

Generating independent random variable from two correlated random variables

Suppose two random variables $X$ and $V$ are given. I am wondering what kind of condition we need to impose on joint distribution of $V$ and $X$ to make sure that there exists a random variable $Z$ ...
2
votes
0answers
85 views

How to prove convexity for a complex integral including the variable in both limits and integrand?

During my research [on inventory management policies, i.e., something really applied ;-) ] I stumbled on integrals of the following type and I'm curious under which circumstances there are convex. ...