2
votes
1answer
497 views

Absolute convergence of logarithm of polynomial with positive coefficient ($\ln G(z) = \sum\limits_{i = 0}^\infty {{q_i}{z^i}} $)

Special problem: Let $G(z)$ be a probability generating function(pgf, the $z$ can be seen as real number or complex number), that is $$G(z) = \sum\limits_{i = 0}^\infty {{p_i}{z^i}} ,(\left| z ...
14
votes
4answers
650 views

Distribution of roots of complex polynomials

I generated random quadratic and cubic polynomials with coefficients in $\mathbb{C}$ uniformly distributed in the unit disk $|z| \le 1$. The distribution of the roots of 10000 of these polynomials are ...
2
votes
0answers
75 views

How can we describe explicitly the “infinitely complex differentiable” complex-valued local martingales?

Let $\mathcal{F}_t$ be a continuous filtration on a probability space, and let $B$ be a standard $\mathbb{C}$-valued $\mathcal{F}_t$-Brownian motion. Let's call a complex-valued process $X$, possibly ...
4
votes
0answers
123 views

semiclassical proof of Wigner semicircle

In Terence Tao's discussion of the Gaussian Unitary Ensemble, he derives the Dyson and Airy kernels. The GUE is the probability distribution of the eigenvalues of a random Hermitian matrix. \[ \int ...
9
votes
2answers
361 views

Constructing Riemann maps using Brownian motion?

There's a relation between two-dimensional Brownian motion and conformal maps, see e.g. Thurston's answer to this question. Given two non-empty simply-connected domains $U$ and $V$ in the complex ...
3
votes
0answers
95 views

Lower bounds of laplace transform of characteristic functions

Cross-posted on maths.stackexchange I have the following integral: \begin{equation} f(\mu) = \int_0^\infty e^{-\mu t}\varphi_X(t)dt \end{equation} where $\varphi_X(t)$ is the characteristic function ...
1
vote
0answers
122 views

Distance between probability amplitude functions

Suppose we have two probability measures $P_1$ and $P_2$ on some Riemannian manifold $(\Sigma,g)$. There are many potential distance measures between $P_1$ and $P_2$: The Wasserstein distance For ...
1
vote
1answer
209 views

Fourier inversion formula for complex-valued random variables?

The characteristic function of a complex-valued random variable $X$ with pdf $\mu$ is given by $$ \phi(t) = \int \exp[i \Re(\bar{t} X)] \; d\mu $$ (or, so says Wikipedia). How does one recover the ...
1
vote
2answers
398 views

Magnitude of the sum of complex i.u.d. random variables in the unit circle

Hello everybody. I'm working about asymptotic estimates of $M_n = \left|\sum_{k=1}^n Z_k\right|$ where $Z_1, Z_2, \ldots$ are independent uniformly distributed random variables on the complex unit ...
5
votes
3answers
411 views

Traceless GUE : Four Centered Fermions

The proof of the Wigner Semicircle Law comes from studying the GUE Kernel \[ K_N(\mu, \nu)=e^{-\frac{1}{2}(\mu^2+\nu^2)} \cdot \frac{1}{\sqrt{\pi}} \sum_{j=0}^{N-1}\frac{H_j(\lambda)H_j(\mu)}{2^j j!} ...
0
votes
1answer
724 views

What is the orthonormal basis for the Bergman space on the disk?

[EDIT by YC: the original question's title asked about a basis for the Hardy space on the disk. It is clear from the actual question that what was meant was the Bergman space.] In arXiv:0310.5297, ...
34
votes
4answers
2k views

Polynomials on the Unit Circle

I asked this question in math.stackexchange but I didn't have much luck. It might be more appropiate for this forum. Let $z_1,z_2,…,z_n$ be i.i.d random points on the unit circle ($|z_i|=1$) with ...
5
votes
0answers
714 views

Brownian Motion Winding Number

Take a simple random walk $\gamma$ in the complex plane conditioned to start at point $a$ and end at point $b$. For this random walk, we can define the winding number $W_\gamma(a,b)$ around $b$ in the ...
2
votes
2answers
274 views

Coefficients of holomorphic functions defined by Borel probability measures on the unit disc

Let be $\mathcal M(\partial\mathbb D)$ denote the set of all Borel complex probability measures on $\partial\mathbb D$ (unit circle in the complex plane). Define a mapping $\Phi:\mathcal ...
10
votes
1answer
1k views

Let a function f have all moments zero. What conditions force f to be identically zero?

Throughout, let $f$ be a Lebesgue measurable function (or continuous if you wish, but this is probably no easier). (Questions with distributions etc. are possible also but I want to keep things simple ...