All Questions
18,179 questions
2
votes
0
answers
154
views
Kolmogorov complexity of Brownian motion
Given a 2 dimensional Brownian motion path $B\subset \mathbb{R}^2$, I am trying to show that for any oracle $A\subset\mathbb{N}$, there is a point $x \in B$ such that
$$\liminf_{r\to\infty}\frac{K_r^A(...
- 21
3
votes
0
answers
196
views
Towards Schauder estimates: smoothing effect of the semi-group generated by $\Delta+(-\Delta)^{1/2}$
Consider the semi-group $(P_r)_r$ generated by $\Delta+(-\Delta)^{1/2}:$ for a distribution $f$ let $P_rf:=p(r,\cdot)*f$ where $p(r,x):=\sum_{q \in \mathbb{Z}^d}e^{2\pi\mathrm{i}\langle q,x\rangle}e^{-...
- 573
2
votes
1
answer
211
views
Hölder continuity in time of heat semigroup for regular initial distribution
$
\newcommand{\bR}{\mathbb{R}}
\newcommand{\diff}{\mathop{}\!\mathrm{d}}
$
Let $(p_t)_{t>0}$ be the standard Gaussian heat kernel on $\bR^d$, i.e.,
$$
p_t (x) := \frac{1}{(4 \pi t)^{\frac{d}{2}}} \...
- 825
3
votes
0
answers
104
views
Comparing unitaries which are perturbatively close
Let $\mathcal{H}$ be a Hilbert space and let $H_0$ and $H_1$ be two Hermitian operators on $\mathcal{H}$. Thinking of $H_1$ as a perturbation of $H_0$, the Duhamel formula allows us to write $e^{-...
- 452
1
vote
1
answer
81
views
Inference for the normal distribution with known variance from multiple clusters
Here's the question:
We have: $q \sim N\left(q_p, \frac{1}{\tau}\right), q_i \sim N\left(q, \frac{1}{\zeta}\right), t_n \sim N\left(0, \frac{1}{\eta}\right)$. Let $$ r_n=\sum_{i=1}^{\theta k_{n}} \...
- 31
5
votes
1
answer
483
views
Can you always extend an isometry of a subset of a Hilbert Space to the whole space?
I remember that I read somewhere that the following theorem is true:
Let $A\subseteq H$ be a subset of a real Hilbert space $H$ and let $f : A \to A$ be a distance-preserving bijection, i.e. a ...
- 609
3
votes
1
answer
263
views
Hölder continuity in time of heat semigroup
$
\newcommand{\bR}{\mathbb{R}}
\newcommand{\diff}{\mathop{}\!\mathrm{d}}
$
We fix $\alpha \in (0, 1)$ and $c>0$. Let $\ell : \bR^d \to \bR_+$ be a probability density function such that
$$
\|\ell\|...
- 825
0
votes
0
answers
85
views
When is a family of distributions "closed" with respect to minimal sufficient statistics?
As in the title, I am interested in understanding how to express the idea that a parametric family of distribution is "closed" with respect to minimal sufficient statistics. Before giving ...
3
votes
0
answers
80
views
Seeking strong bounds on KL-divergence and martingales for a hypothesis-testing inequality
Let's say we have a finite set $\mathcal{O}$ of observations, and let $\mathcal{C}(\Delta\mathcal{O})$ denote the space of closed convex sets of probability distributions.
We have two hypotheses which ...
- 353
0
votes
0
answers
29
views
Conditional Expectation of Normal Distribution $E(q+t_1|r)$
I have difficulty deriving the follow conditional expectation:
there are N cluster of $q_{ni}+t_n$, each cluster has $k_n$ elements, $q_{ni}\sim N(q,\dfrac{1}{\zeta})$, $q\sim N(q_p,\dfrac{1}{\tau})$, ...
- 31
2
votes
0
answers
137
views
Why a function induced by the infimum of the arclength of curves is Lipschitz?
Recently I have read a paper "Weighted Trudinger-type Inequalities" written by Stephen M. Buckley and Julann O'Shea and published by Indiana University Mathematics Journal in 1999, MR1722194,...
- 69
10
votes
1
answer
1k
views
Duplicating Matryoshka dolls
We start with a single doll of size $1$. Every second, independently of each other, every doll present produces a new doll of half its size with probability $\frac{1}{2}$. What is the expected size of ...
- 6,215
1
vote
0
answers
105
views
Can a uniform weak null set of $c_0$ be uniformly embedded into a Hilbert space?
Remark that a uniform weak null set $A$ of $c_0$ satisfied that for any $\epsilon>0$ there exists a positive number $N(\epsilon)$ such that for every $f$ in $B(\ell_1)$, the unit ball of the ...
- 11
2
votes
0
answers
100
views
Distributions of random walks on boundaries of balls in hyperbolic metric spaces
Suppose $G$ is a finitely-generated non-elementary hyperbolic group and consider a symmetric random walk on the Cayley graph $\text{Cay}(G,S)$ with generating set $S$. Denote the set of points $B_{\...
- 21
0
votes
0
answers
97
views
Heine-Borel property for (probability) measures on $\mathcal{S}'$?
For Euclidean space $\mathbb{R}^n$, it is a well-known fact that the Schwartz space $\mathcal{S}(\mathbb{R}^n)$ is a Montel space. Moreover, the space of tempered distributions $\mathcal{S}'(\mathbb{R}...
- 3,477
3
votes
0
answers
77
views
Is the norm of first or second level of of signature a convex function?
I understand this is not a research level question but I really want to know, would anyone please help.
This question is related to the signatures that arises in rough path theory. https://en....
- 495
1
vote
3
answers
561
views
Why do we need to define a random variable as a function?
I recently learned the mathematical definition of a random variable, namely:
A random variable is a measurable function $X: \Omega \rightarrow \mathbb{R}$ whose domain $\Omega$ is equipped with a $\...
- 27
3
votes
1
answer
207
views
Embedding of a Banach space in $\ell_\infty(\Gamma)$ with a subspace embedded in a copy of $\ell_\infty$
In this question (which I think may be interesting in its own) I was asking if we can find a copy of $\ell_\infty$ between a separable subspace $Y$ contained in $\ell_\infty(\Gamma)$ and the whole ...
- 271
0
votes
0
answers
39
views
Comonotone solution for Optimal Transport problems with supermodular surplus
In Alfred Galichon's book Optimal Transport Methods in Economics the foollowing result is stated for OT problems on the real line.
Theorem 4.3.(i) Assume that $\Phi$ is supermodular. Then the primal ...
3
votes
1
answer
102
views
Literature containing basic knowledge of homogeneous functions
Let $D$ be a nonempty open subset of $\mathbb{R}\times\mathbb{R}$ and $f:D\to\mathbb{R}$ be a function of two variables. For all $(x,y)\in D$ and $t>0$ such that $(tx,ty)\in D$, if the equality $f(...
- 1,101
2
votes
1
answer
281
views
Hermite polynomial and Gaussian random variable
The following formula is well known: $E[H_k(X,E[X])H_q(Y,E[Y])]=\delta_{kq}E[XY]^k$ for a joint Gaussian r.v. $(X, Y),$ $H_k$ are Hermite polynomiale.
Is there a generalization for this to a joint ...
- 573
1
vote
2
answers
108
views
Does stochastic boundedness imply stochastic domination by a constant multiple?
Let $X, Y$ be non negative random variables with finite expectation. We say that $Y$ stochastically bounds $X$ if there exists some $C > 0$ such that for all $x \in \mathbb R$,
$$\mathbb P(X \geq x)...
- 6,215
3
votes
1
answer
143
views
Does stochastic domination of $X$ and $Y$ imply stochastic domination of $X \cdot Y$?
Suppose the random variables $X \geq 0$ and $Y \geq 0$ are both stochastically dominated by $Z \geq 0$, i.e.
\begin{align*}
& P(X \leq x), P(Y \leq x) \geq P(Z \leq x) \ , \ \forall x \geq 0 \ .
\...
- 1,295
3
votes
1
answer
169
views
Copy of $\ell_\infty$ inside $\ell_\infty(\Gamma)$ containing given subspace
To complete a proof I need to know if the following is true:
Given a non-empty set $\Gamma$ and a separable subspace $Y$ of $\ell_\infty(\Gamma)$, there exists a subspace $A$ of $\ell_\infty(\Gamma)$ ...
- 271
2
votes
0
answers
136
views
Towards the KPZ: Wiener-Ito integral, Kolmogorov type criterion
Consider a space-time white noise $\xi$ and the heat semi-group $(P_r).$
The following Kolmogorov type criterion allows to construct modifications in Besov Space (Here we have a partition of unity $(\...
- 573
1
vote
0
answers
63
views
$\operatorname{ker}(q_I \otimes^{\text{min}} q_J) $ is a primal ideal of $\mathcal{A} \otimes^{\text{min}} \mathcal{B}$
In the proof of Theorem $4.1$ of the paper titled continuous bundles of $C^{\ast}$-algebras and tensor products following result is mention with a reference to Proposition $3.3$ of the paper "A. ...
- 1,115
1
vote
0
answers
48
views
Rigorous analysis of phase transitions and universality in a non-linear model of interacting oscillators
Consider a system of interacting non-linear oscillators governed by the McKean-Vlasov equation:
$$\frac{\partial p(x,t)}{\partial t} = \frac{\partial}{\partial x}\left[\frac{\partial V(x)}{\partial x}...
user530766
2
votes
1
answer
255
views
Differential equation involving square root
I am absolutely not familiar with differential equations. However, I am facing the following differential equation:
\begin{equation}
a(x)y^{\prime}(x)+b(x)y(x)=c(x)\sqrt{y^{2}(x)+d(x)}
\end{equation}
...
- 163
2
votes
0
answers
50
views
Weighted squared norm of multivariate truncated normal vector
Let $X \sim \mathcal{N}(0, \Sigma)$ be a multivariate normal vector with zero mean and inverse covariance matrix
$$
\Sigma^{-1} = \begin{pmatrix}
n & 1 & 1 & \cdots & 1 &...
1
vote
1
answer
209
views
Rate of convergence of mollified functions in $L^p$ norm
$
\newcommand{\bR}{\mathbb{R}}
\newcommand{\bE}{\mathbb{E}}
\newcommand{\supp}{\operatorname{supp}}
$
Let $(\rho_n)_{n \geq 1}$ be a sequence of mollifiers on $\bR^d$, i.e., each $\rho_n$ is a ...
- 825
0
votes
1
answer
106
views
Convergence of mollified functions in weighted $L^p$ norm
$
\newcommand{\bR}{\mathbb{R}}
\newcommand{\bE}{\mathbb{E}}
\newcommand{\supp}{\operatorname{supp}}
$
Let $(\rho_n)_{n \geq 1}$ be a sequence of mollifiers on $\bR^d$, i.e., each $\rho_n$ is a ...
- 825
8
votes
1
answer
428
views
Wishart matrices: are eigenvalues and eigenvectors independent?
Let $W = X^TX$ denote a standard Wishart matrix, i.e., where $X$ is a Gaussian random matrix with iid standard Normal entries.
In this case we can write $W = U D U^T$, where $U$ is orthogonal and $D$ ...
- 420
0
votes
0
answers
36
views
Interpretation of Lévy process with signed Lévy measures
Suppose that I have a non-decreasing, pure jump Lévy process of finite variation $X$ with Lévy measure $\pi$. The Lévy measure is then supported on $(0,+\infty)$. Suppose that the Lévy measure is a ...
- 393
0
votes
0
answers
43
views
Locally uniformly convexity in kernels (generalized definition of graphon) with cut norm
Let $\mathcal{W}$ denote the space of all bounded symmetric measurable functions
$W : [0, 1]^2 \rightarrow \mathbb{R}.$ For any $W\in\mathcal{W}$ we say it is a kernel and define its cut norm $\lVert ...
- 349
1
vote
0
answers
158
views
Density of Schwartz distributions in the space of distribution
Let $\mathscr S(\mathbf R^3)$ and $\mathscr D(\mathbf R^3 )$ be the space of Schwartz function and test function respectively, $\mathscr S'(\mathbf R^3)$ and $\mathscr D'(\mathbf R^3)$ be their duals....
2
votes
1
answer
87
views
How to prove: $\gamma^2=\frac{n-p}{(n-1)p}\tau^2\sim F_{p,n-p}$, where $\tau^2\sim T^2(p,n-1)$
In multivariate statistics it is used to do hypothesis tests for Hotelling's $T^2$ distribution, but no textbooks prove this. Is there any proof for it?
- 31
1
vote
1
answer
70
views
Questions about Lamperti's criteria for stochastic process recurrence
I'm working through Lamperti's 1960 paper "Criteria for the recurrence or transience of stochastic process. I" (J. Math. Anal. Appl. 1(3–4), 314–330. DOI: 10.1016/0022-247x(60)90005-6) as ...
- 113
0
votes
0
answers
45
views
Mean value property for fractional laplacian
I just started reading about fractional Laplacian. I am curious on the following questions
Does fractional laplacian i.e., $(-\Delta)^su=0$ in $\mathbb{R}^n$ this equation satisfies any mean value ...
- 41
1
vote
1
answer
84
views
Limiting value of Stieltjes transform of sum of independent Wishart matrices
Let $n_1$, $n_2$, and $d$ positive integers tending to infinity such that $d/n_k \to \phi_k \in (0,\infty)$ and $n_1/(n_1+n_2) \to p \in (0,1)$. Let $X_k$ be an $n_k \times d$ random matrix with iid ...
- 6,853
3
votes
2
answers
228
views
Sobolev extension problems of $W^1_\infty(\Omega)$
Recently I have read the paper Whitney's problem on extendability of functions and an intrinsic metric written by Nahum Zobin and published by Advances in Mathematics in 1998. I am confused about one ...
- 69
0
votes
1
answer
150
views
When are infimal convolutions contractions?
Let $X$ be a separable Fréchet space and $\varphi,\psi:X\to \mathbb{R}$ be a lower semi-continuous and convex function with $\psi$ bounded below and coercive. Consider the infimal convolution
$$
\...
- 364
3
votes
2
answers
216
views
Approximating the probability that two Binomial variables are equal
Let $X,Y\sim Bin(n,p)$ be independent R.V.s and let $z\in[n]$ be integer.
My goal is to approximate the probability that $P[X-Y=2z]$.
What i need is a tight enough bound with error that is at most $o(\...
- 31
2
votes
2
answers
151
views
Upper bound $\int_{\mathbb{R}^d \times \mathbb{R}^d} |fx)-f(y)| (1+|y|) \ell (x) p_t (x-y) \, \mathrm d x \, \mathrm d y$ in $t$
$
\newcommand{\bR}{\mathbb{R}}
\newcommand{\diff}{\mathop{}\!\mathrm{d}}
$
We fix $\alpha \in (0, 1)$ and $c>0$. Let $f : \bR^d \to \bR$ and $\ell : \bR^d \to \bR_+$ be measurable such that $\ell$ ...
- 825
2
votes
1
answer
177
views
Optimization over Poisson-binomial distributions
I am studying the problem of how an expected utility maximizer should optimally form a portfolio of uncorrelated Bernoullis.
Fix an increasing sequence of $n$ numbers in $(0,1)$, $0<p_1<\dots<...
2
votes
1
answer
170
views
Law of large numbers for a continuum of Bernoullis
Suppose I have a family of $n$ independent Bernoulli random variables described by a vector of parameters $(p_i)_{i=1}^n$. As it is well known, the number of successes within this family is a random ...
1
vote
0
answers
70
views
Exponential decay for Bernoulli percolation with a ghost field
Background on Bernoulli percolation:
Consider the hypercubic lattice $\mathbb{Z}^d$ as a graph with vertices as point of integer coordinates and edges between points of distance 1.
Now, delete every ...
- 1,054
4
votes
0
answers
88
views
A question concerning regularly varying functions
In my work I need some results about regulary varying functions, which I only have a very vague understanding.
A strongly related reference I found is "On the Existence of a Regularly Varying ...
- 119
2
votes
1
answer
170
views
Lower bound on the Lévy-Prokhorov metric for normal distributions
Let $\mathfrak M(\mathbb R^n)$ denote the metric space of probability measures (over $\mathbb R^n)$ equipped with the Lévy-Prokhorov metric $\rho$. Consider two $n$-variate normal distributions $\...
- 103
4
votes
0
answers
330
views
Book recommendation in functional analysis and probability
I am interested by functional analysis and probability. I would like to know if you have any books that deal with these two subjects (at a graduate level) to recommend?
I'm looking for a book that has ...
5
votes
1
answer
375
views
Looking for a counterexample: Conditioning increases regularity?
Let $p(x,y,z)$ be a joint density (over $\mathbb{R}^3$) under no smoothness or regularity assumptions, besides its existence. I am looking for a (counter)example where $p(y|x)$ is less regular than $p(...
- 51