Real-valued functions of real variable, analytic properties of functions and sequences, limits, continuity, smoothness of these.

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7
votes
2answers
263 views

Distribution of $\max_{n \ge 0} S_n$, random walk

Say we have a random walk that is a nearest neighbor random walk on the integers where at each step the probability of moving one step to the right is $p$ and the probability of moving one step to the ...
1
vote
1answer
203 views

A classification of (reasonable) asymptotics

Notations: "eventually" means "for $x$ sufficiently large"; "positive" means "strictly positive". Let $\exp_1 = \exp$ and $\exp_{n+1} = \exp_n \circ \exp$. Let $E$ be the set of smooth function $f: ...
3
votes
1answer
115 views

Is the set of multiple points of the Brownian path $W[0, \infty)$ dense in the plane almost surely?

Let $d = 2$. With probability $1$, is the set of multiple points of the Brownian path $W[0, \infty)$ dense in the plane?
2
votes
1answer
126 views

Poisson kernel is the Cauchy distribution, reference?

Let $d = 2$, and consider the domain $D = \mathbb{H}$, the upper half-plane. Can someone give me a reference to a proof that the Poisson kernel is the Cauchy distribution?
2
votes
0answers
92 views

Error term for a Fourier integral

There is a well-known theorem that states that for $f$ continuous and $f,\hat f$ integrable, $$f(0)=\frac{1}{\pi}\lim_{T\to\infty}\int_{-\infty}^\infty f(x)\frac{\sin(Tx)}{x}dx.$$ So it should be that ...
2
votes
1answer
114 views

Expectation equation, harmonic functions, do not understand why equation is true

Let $u: \mathbb{R}_+ \times \mathbb{R}^d$ be a bounded $C^2$ function whose first and second partial derivatives are uniformly bounded (or, more generally, have at most polynomial growth as $|x| ...
4
votes
2answers
372 views

Dirichlet's approximation only using prime power as denominator

I am not sure whether this is a suitable question for MO. We know the classical version of Dirichlet's approximation theorem that if $x$ is a real number and $Q>0$ there exist $p,q\in \mathbb{Z}$ ...
3
votes
1answer
97 views

Number and asymptotic for cyclic sequences

Cyclic sequence is equivalence class of cyclic shift action. If $a = (a_1, ... , a_i)_c$ is cyclic sequence then $(a_1, a_2, \ldots a_{i-1}, a_i)_c = (a_2, a_3, \ldots, a_i, a_1)_c = \ldots = (a_i, ...
3
votes
1answer
140 views

Asymptotic for binomial sums

Let $S(n, t) = \sum_{k = 0}^n {n \choose k} ^t$. The task is to find asymptotic behavior of $S(n,5)$, $n \to \infty$. Asymptotic for $S(n,0)$ and $S(n,1)$ is very simple. For $S(n,2)$ we can use ...
9
votes
1answer
142 views

Brownian motion, “increase interval”, exists constants, bound,

Let $B_t$ be a standard Brownian motion. Let $J(j, n) = [j/n, (j+1)/n]$. We will call $J(j, n)$ an increase interval if$$B_s \le B_t,\text{ }0 \le s \le {j\over{n}},\text{ }{{j+1}\over{n}} \le t \le ...
7
votes
1answer
197 views

Brownian motion, crossing intervals, possible usage of second moment method?

This is a followup to my question here. Let $B_t$ be a standard Brownian motion. Let $E_{j, n}$ denote the event$$\left\{B_t = 0 \text{ for some }{{j-1}\over{2^n}} \le t \le ...
1
vote
0answers
26 views

The jump set of $SBV$ function over a hyper surface

Assume $\Omega\subset \mathbb R^N$ is open bounded, smooth boundary. Also assume $S\subset \Omega$ is a smooth hyper surface such that $0<\mathcal H^{N-1}(S)<+\infty$. Now, given a positive ...
2
votes
0answers
58 views

Hermite interpolation

I need a help to my problem, I would be grateful if anyone could help. Let $\epsilon \in [0,1]$ and for an integer $n$ we consider a set of nodes $T_n={t_0,t_1,....t_n}$. We define the function ...
3
votes
0answers
94 views

What subdomains of $\mathbb{R}^2$ are diffeomorphic to $\mathbb{R}^2_+$ via rational functions?

For what subdomains $D \subset \mathbb{R}^2$ does there exist a rational diffeomorphism $h:D \to \mathbb{R}^2_+$, such that its inverse is also a rational function? (By "rational function" I mean a ...
1
vote
1answer
85 views

Equivalent measures on algebra also equivalent on $\sigma$-algebra?

Suppose $\mu$ and $\nu$ are finite positive measures on a measurable space $(X,\mathcal A)$. Let $\mathcal G$ be an algebra of $\mathcal A$. If $\mu$ and $\nu$ are equivalent on $\mathcal G$ in the ...
11
votes
4answers
424 views

Number of intervals needed to cross, Brownian motion

Let $B_t$ be a standard Brownian motion. Let $E_{j, n}$ denote the event$$\left\{B_t = 0 \text{ for some }{{j-1}\over{2^n}} \le t \le {j\over{2^n}}\right\},$$and let$$K_n = \sum_{j = 2^n + 1}^{2^{2n}} ...
12
votes
2answers
852 views

On Hamkins' answer to a problem by Michael Hardy

Based on a post by Michael Hardy and Hamkins' answer to it Andreas Blass, Will Brian, Joel Hamkins, Michael Hardy and Paul Larson introduced a new cardinal characteristic of the continuum ...
2
votes
0answers
169 views

Can one integrate around a branch-cut?

How meaningful is it to try to integrate around the branch-cut of a function? For example lets say I have the function $\log(z^2+a^2)$ for $a>0$ and I choose my branch-cuts to be starting at $\pm ...
6
votes
2answers
122 views

For which $r > 0$ is it the case with probability one, for all $n$ sufficiently large $M_n \le r\sqrt{\log n}$?

Let $B_t$ be a standard Brownian motion. Let$$M_n = \max\{|B_t - B_{n-1}| : n - 1 \le t \le n\}.$$For which $r > 0$ is it the case with probability one, for all $n$ sufficiently large$$M_n \le ...
1
vote
0answers
59 views

Characterization of certain families of functions

For $R$ equal $\mathbb{R}$ or $\mathbb{Z}$, let $D^+_R:=\{(x,y)\in R^2\colon x<y\}$. For each natural $n$, let $F_{n,R}$ denote the set of all Borel-measurable functions $f\colon ...
6
votes
3answers
652 views

A definition of the fractional derivative

I was investigating the idea of fractional derivatives and devised the following definition. WHich definition is it equivalent to and can I have a reference for it? $$\frac{d^n}{dx^n}f(x) = \lim_{h ...
3
votes
0answers
383 views

“Nicely” strong measure zero sets

This question is essentially an expanded version of the unanswered half of Two strengthenings of "strong measure zero". A set $X$ of reals is strong measure zero if, for any $f: ...
0
votes
0answers
71 views

Composition algebra of Gevrey function for $s<1$

Let $g,f$ be real-valued functions defined on the real line. Let $s$ be a real number. Assuming that $g,f$ are both in the Gevrey class $G^{s}$, it is true that $g\circ f$ belongs to $G^{s}$ if $s\ge ...
2
votes
0answers
70 views

Construct a sequence of i.i.d random variables with a given distribution function, diagonalization? [closed]

Assume we have a sequence of i.i.d. random variables $X_1, X_2, \dots,$ on a probability space $(\Omega, \mathcal{F}, P)$ with$$P(X_n = 1) = P(X_n = -1) = {1\over2}.$$Given a distribution function ...
1
vote
0answers
96 views

A Question about compactness of an embedding into $L^p$ spaces

Assume $ \Omega \subset \mathbb{R}^N$ is a smooth bounded domain. There is well known Hardy inequality that says For any $ u \in W_0^{1,2}(\Omega) $, $N\geq3$ we have $$ \Lambda \int_{\Omega} ...
19
votes
3answers
409 views

Which partitions of $[0,1]$ are collection of level sets of a real continuous function?

Let $f:[0,1]\to[0,1]$ be given. The level sets of $f$ (ie the collection of all sets of the form $\{x\in[0,1]:f(x)=y\}$, for each fixed $y\in[0,1]$) partition the domain of $f$. I am curious for set ...
5
votes
2answers
289 views

Brownian motion, quadratic variation, existence of partitions?

Let $B_t$ be a standard Brownian motion. Does there with probability one exist a sequence of partitions $\{t_{k, n} : k = 0, 1, \dots, k_n\}$ $$0 = t_{0, n} < t_{1, n} < \dots < t_{k_n, n} = ...
9
votes
1answer
185 views

Does a monotone subadditive $f: \mathcal{P}(\bf N)\to [0,1]$ admit a finite partition with values in $(0,1)$?

A function $f\colon \mathcal{P}(\mathbf{N})\to [0,1]$ is said to have the Darboux property whenever for all $X \subseteq \mathbf{N}$ and $y \in [0,f(X)]$, there exists $Y \subseteq X$ such that ...
5
votes
1answer
141 views

Standard Brownian motion, Hölder continuous with exponent $\gamma$ for any $\gamma < 1/2$, not for any $\gamma \ge 1/2$

In some results on Hölder continuity with regards to standard Brownian motion, the following is asserted without proof. It is not hard to see that for every $k < \infty$, and every $\epsilon ...
7
votes
1answer
140 views

Measure of chords from a cantor set

The following problem is inspired by a problem in Pugh's Mathematical Analysis book. (Chapter 2 Problem 42). In the problem he asks one to consider the standard Cantor set on the unit interval, and ...
4
votes
1answer
71 views

Getting out a system of linear ODEs by knowing the Magnus expansion

Assume we are given for a transition between two time points $t_0 = 0$ and $t_1$ a matrix relationship, eventually describing the solution of a system of linear with non-constant coefficients, ...
3
votes
0answers
60 views

Semi-continuity of the dimension of the null space

Suppose $T_n : X \rightarrow X$ is a sequence of Fredholm operators on a Banach space such that $T_k \rightarrow T$ strongly (in the induced operator norm). If $N_k$ and $N$ denote the dimensions of ...
14
votes
0answers
102 views

A kaleidoscopic coloring of the plane

Is there a partition $\mathbb R^2=A\sqcup B$ of the Euclidean plane into two Lebesgue measurable sets such that for any disk $D$ of the unit radius we get $\lambda(A\cap D)=\lambda(B\cap ...
7
votes
1answer
197 views

How to construct i.i.d. standard normal random variables on $\Omega = [0, 1]$ with the Lebesgue measure

Let $(\Omega, \mathcal{F}, \mathbb{P})$ be the unit interval with Lebesgue measure on the Borel subsets. Then we can find independent random variables $X_1, X_2, X_3, \dots$ defined on $(\Omega, ...
2
votes
2answers
293 views

Minimum of an apparently harmless function of two variables

DISCLAIMER: I already posted this question on Mathematics a month ago, here. However, since it has not been solved yet on that platform, I decided to ask it also here on mathoverflow. At a first ...
5
votes
1answer
122 views

On the zero set of a $C^2$ function on $[0,1]^2$

Let $f:[0,1]^2\rightarrow \mathbb{R}$ be a twice continuously differentiable function with the property that for all $x\in [0,1]$, there is an interval $I_x\subset [0,1]$ such that $f(x,y)=0$ for all ...
1
vote
1answer
116 views

Are solutions of the Beltrami Equations necessarily smooth?

Let $ a $, $ b $ and $ c $ be real constants such that $ \Delta \stackrel{\text{df}}{=} a c - b^{2} > 0 $. The Beltrami Equations are defined as the following system of PDE’s on the domain $ ...
1
vote
0answers
42 views

Average - Map - Infinite number of points [closed]

I have a problem to solve in the context of the preparation of the PUTNAM competition. I am asked to find the average of a certain map of $S \subset \mathbb{R^3}$ (domain $S$ is uncountable) into ...
8
votes
1answer
361 views

Why should the map $-\Delta^{-1}$ be continuous?

I'm reading an article by Wei-Ming Ni about the existence of solutions for the elliptic problem $$\Delta u +|x|^\lambda |u|^\tau =0,$$ in the unit ball $\Omega$ in dimension $>2$. I'm looking for ...
5
votes
1answer
163 views

Order between two completely monotone functions?

I am wondering if the following assertion is true: Let $f,g:\mathbb{R}_+\rightarrow [0,1]$ be completely monotone functions on $\mathbb{R}_+^*$, that is, $(-1)^n f^{(n)}(x)\geq 0$ and $(-1)^n ...
3
votes
0answers
131 views

Reference request: Darboux properties of real-valued set functions (measures, densities, etc.)

Fix a set $S$ and let $f: \mathcal P(S) \rightharpoonup \mathbf R$ be a real-valued partial function on the power set of $S$; denote by $\mathcal D$ the domain of $f$. We say that $f$ has: (i) the ...
2
votes
0answers
61 views

Optimal condition for the weak convergence of the jacobian determinant

Whenever $n<q,$ it is known that given a sequence $\{ u_{k} \}$ which is weakly convergent in $W^{1,q}(U)$ one has that the Jacobian determinants $\text{det} Du_{k}$ converge weakly in ...
2
votes
1answer
73 views

interpret of Picone inequality for non-regular functions

Assume $\Omega \subset \mathbb{R}^N$, $ N>4 $ is open set. There is a well-known picone identity that says Let $u,v \in C^2(\Omega)$ satisfy $v>0$ and $-\Delta v \geq 0$ in $\Omega$. The ...
21
votes
0answers
544 views

Relative null-ness

Here, "measure" always means Lebesgue measure on $\mathbb{R}$. This question is partly motivated by my answer ...
3
votes
0answers
47 views

$X_t = B_t^q$, $X_t = (\sin B_t)^q$, $X_t = B_t^q (\sin B_t)^r$, $dM_t = R_t\,M_t\,dB_t$ [closed]

What are the SDE's satisfied by the following processes? $X_t = B_t^q$ $X_t = (\sin B_t)^q$ $X_t = B_t^q (\sin B_t)^r$ Assume $B_t$ is a standard Brownian motion with $B_0 > 0$ and the ...
3
votes
1answer
110 views

$\int_0^t f(s)\,dB_s$ normally distributed, mean and variance

Suppose that $f(t)$ is a (non-random) continuous function on $[0, \infty)$. Let$$Z_t = \int_0^t f(s)\,dB_s.$$ How do I see that $Z_t$ is normally distributed? What is the mean and variance? I need ...
4
votes
1answer
93 views

On continuous perturbations of functions of the first Baire class on the Cantor set

Is it true that for any function of the first Baire class $f:X\to\mathbb R$ on the Cantor cube $X=2^\omega$ there is a continuous function $g:X\to[0,1]$ such that the image $(f+g)(X)$ is disjoint with ...
1
vote
0answers
61 views

Derivatives of $O$-regular varying functions are $O$-regular varying functions?

The Monotone Density Theorem for regularly varying functions says, in essence: Theorem (Monotone Density Theorem). Let $f$ be a differentiable regularly varying real-function of index $\rho$ ...
10
votes
4answers
526 views

Probability that planar Brownian motion doesn't “encircle” 0

Suppose $B_t$ is a standard Brownian motion in $\mathbb{R}^2$ and $T = \text{inf}\{t : |B_t| = 1\}$. Let $E$ denote the event that $0$ is contained in the unbounded component of $\mathbb{R}^2 ...
4
votes
1answer
81 views

$M_t = f(B_{t \wedge \tau}) + (t \wedge \tau)$ local martingale, $\textbf{E}^x[\tau] = f(x)?$

Suppose $D \subset \mathbb{R}^d$ is a domain and $f: \overline{D} \to \mathbb{R}$ is a continuous function, $C^2$ in $D$, satisfying$$f(x) = 0\text{ for }x\in \partial D,$$$${1\over2} \Delta f(x) = -1 ...