All Questions
18,184 questions
-2
votes
1
answer
211
views
Giving meaning to and solving a second-order stochastic differential equation with white noise
I have encountered a second-order stochastic differential equation (SDE) of the form:
$$
\frac{d^2 T}{dr^2} = (1 + W(r)) (r - A)(r - B)$$
where $r \in (A, B)$ and $W(r)$ is, for example, white noise. ...
- 31
3
votes
0
answers
241
views
A few questions on Feller processes
Update. Most of my questions have been answered in the comments. I am adding these answers to the post.
There are at least three definitions of Feller semigroup and the corresponding processes: $C_0 \...
- 620
2
votes
2
answers
596
views
What is the relationship between Hölder spaces and differentiability?
I'm porting this question over from MSE as it did not get any responses other than one comment on there.
Let $C^{k,\alpha}$ be a Hölder space where $0 \leq \alpha \leq 1$. I have seen various sources ...
- 721
5
votes
1
answer
453
views
von Neumann subalgebra having separable predual
Let $M$ be a von Neumann algebra.
Let $x,y$ be two self-adjoint operators in $M$.
Are there any von Neumann subalgebra $A$ of $M$ containing $x,y$ such that the predual of $A$ is separable?
- 617
3
votes
0
answers
84
views
Convergence of the Gaussian integral on $\mathcal{E}'$ for a mapping supported on $L^2$
Let $F : L^2(S^1) \to L^2(S^1)$ be a (nonlinear) mapping such that
\begin{equation}
\lVert F(f) \rVert \leq \lVert f \rVert
\end{equation}
for all $f \in L^2(S^1)$. For the space of smooth periodic ...
- 3,477
4
votes
0
answers
197
views
Compactness of the unit ball in the space of Radon measures w.r.t. the Kantorovich-Rubinstein norm
This question was posted previously but has not attracted any responses so I am repharising it in a slightly different language hoping to reach a wider community
Let $(X,d)$ be a pointed metric space ...
- 437
1
vote
1
answer
464
views
Variance of Itô integral on general time interval
I have a question concerning the variance of the Itô integral on general time intervals, i.e. I want to calculate
\begin{align*}\operatorname{Var}\left(\int_s^T f(t)dW_t\right),\end{align*}
where $f: [...
- 35
0
votes
0
answers
115
views
Existence of Green functions and some properties
Let $\Omega$ be a smooth domain in $\mathbb{R}^N$， $N\geq 3$, $p\in \Omega$ is a fixed point, $\lambda$ is a parameter (can be 0,>0,<0), if there exisits a Green function $G_{\lambda}(x,p)$ ...
- 471
2
votes
1
answer
159
views
A compact embedding claim
Let $U= (0,1)\times (0,1)$. Consider the weighted Sobolev spaces $H_1$ with the norms
$$ \|u\|_{H_1}^2 = \int_0^1 (\int_0^1 x\,|u(x,y)|^2\,dx) \,dy$$
Let $H_2$ be the weighted Sobolev space with the ...
- 4,115
3
votes
1
answer
562
views
On the convergence in total variation
$\newcommand\R{\mathbb R}$For a probability measure $\mu$ over $\R^2$ and a unit vector $u\in\R^2$, let $\mu^u$ denote the pushforward of $\mu$ under the projection map $\R^2\ni x\mapsto u\cdot x\in\R$...
- 128k
5
votes
0
answers
360
views
Injectivity of div–curl operator
$\DeclareMathOperator\div{div}\DeclareMathOperator\curl{curl}$Consider a div–curl system
\begin{align*}
Lu &= (\div(u), \curl(u)) \text{ in } \Omega \subset M, \text{ a 3-manifold}, \\
u &= 0 \...
- 419
1
vote
1
answer
100
views
Is there literature on the existence of solutions to elliptic systems on unbounded manifolds?
Most of the current literature I've seen is either for compact Riemannian manifolds or unbounded subsets of Euclidean space. In this article, the authors consider a priori bounds on such systems on ...
- 419
4
votes
1
answer
203
views
weights of projections and norms of operators in a von Neumann algebra
Let $M$ be an atomless von Neumann algebra equipped with a (semifinite faithful normal) weight $w$. Let $x\in M$ and let $\varepsilon>0$.
Can we find a constant $\delta>0$ such that whenever a ...
- 617
1
vote
1
answer
458
views
Markov Inequality for lower bounds
In a paper I found a strange application of Markovs inequality which I couldn't follow maybe you can help. $X_k$ is the set of $k$-element Subsets of $\mathbb{Z}_d^n$ we fix a $C^{-1} \in X_{k-1}$ and ...
- 21
5
votes
1
answer
562
views
interiors of positive cones in ordered Banach spaces
I have a couple of questions about ordered Banach spaces and interiors of their positive cones. I would appreciate your insights and any recommended references.
I want to know several examples of ...
- 79
8
votes
3
answers
595
views
Jensen-like inequality for random matrix: $\Bbb E[\det X^2]\ge\det\Bbb E[X^2]$
Let $X\in M_n(\Bbb R)$ be a random matrix with iid elements following a continuous distribution.
What are the necessary and sufficient conditions for $$\Bbb E[\det X^2]\ge\det\Bbb E[X^2]$$ to hold? Is ...
- 1,459
2
votes
1
answer
184
views
Lipschitz smooth convex extension
Assume that convex $f: S \to \mathbb{R}$ with $L$-Lipschitz continuous gradient on some convex compact $S \subset \mathbb{R}^d$ is given. It would be very helpful if there existed function $F$ such ...
5
votes
2
answers
423
views
A coupon collector-ish question
Imagine we are in the coupon collector setting: every time step we get independently one coupon out of $n$ coupons uniformly at random. However, unlike the coupon collector problem, we stop the at the ...
- 63
1
vote
1
answer
90
views
The number of roots of pseudo-exponential polynomials
Assume that $J$ is the interval $(-\pi,\pi]$. For $k=1,\ldots,2n$, suppose that $\lambda_k$s are real functions on $J$ with $|\lambda_k|=1$, meaning that $\lambda_k(t)$ is either $-1$ or $1$ where $t\...
- 4,058
1
vote
0
answers
57
views
Limiting value of expectation of trace of truncated Gram matrix
Let $n$ and $d$ be large positive integers such that $d/n = a \in (0,1)$, fixed. Let $x_1,\ldots,x_n$ be iid random vectors from $N(0,I_d)$. Fix $b \in (0,1]$ and a unit-vector $v \in \mathbb R^d$, ...
- 6,853
7
votes
0
answers
222
views
Projected polar chessboard measure convergence in total variation?
$\newcommand\R{\mathbb R}\newcommand\C{\mathbb C}\newcommand\ga{\gamma}$For natural $n$, let $E_n$ be the set of all points in $\R^2$ with "polar coordinates" $(r,t)$ in the set
$$F_n:=\...
- 128k
8
votes
0
answers
192
views
Is $L^2(I,\mathbb Z)$ homeomorphic to the Hilbert space?
I am somehow puzzled by the subset $G:=L^2(I,\mathbb Z)$ of $H:=L^2(I,\mathbb R)$ of all integer valued functions on $I=[0,1]$ (in fact I mentioned as an example in this old MO question).
Some simple ...
- 60.6k
1
vote
1
answer
100
views
Does convergence of Radon transforms of a sequence of probability distributions implies convergence of the distributions themselves?
Let $P_1,P_2,\ldots $ be a sequence of absolutely continuous probability measures on $\mathbb R^n$, and let
$f_j:\mathbb R^n\to\mathbb R$ be their PDFs. Assume that $\operatorname{E}P_j = 0$ and $\...
- 13
0
votes
0
answers
55
views
Modeling player interactions in multi-dimensional rating systems
In traditional rating systems (such as Elo), a player's strength is represented by a single scalar value, which is assumed to be consistent across different opponents. However, in some games, the ...
- 1
1
vote
1
answer
133
views
Smoothness of an equivalent norm
For an arbitrary set $\Gamma$, Day's norm on $c_0(\Gamma)$ is defined by
$$ \Vert x \Vert = \sup \bigg \{ \bigg ( \sum_{k=1}^n 4^{-k} x^2(\gamma_k) \bigg )^{\frac{1}{2}} : (\gamma_1, \cdots, \gamma_n) ...
- 85
7
votes
2
answers
320
views
Uniqueness of left-invariant Borel probability measure on compact groups
On a compact topological group, consider two left-invariant probability measures $\mu$ and $\nu$ defined on the Borel sigma-algebra. Is it true that they coincide?
It is classical that the Haar ...
36
votes
4
answers
2k
views
Determinant of the random matrix $X^2+Y^2$
$\DeclareMathOperator\Prob{Prob}$Let $X,Y\in M_n(\mathbb{R})$ be $2$ random matrices. The entries of $X,Y$ are i.i.d. variables. They follow the standard normal law $N(0,1)$.
i) When $n=2,3,4$, one ...
- 3,741
2
votes
1
answer
264
views
Is a continuous functional on continuous functions the restriction of a continuous functional on the space of all functions?
As sets, we can consider the space $C(\mathbf{R}^n;\mathbf{R}^k)$ - of all continuous functions from $\mathbf{R}^n$ to $\mathbf{R}^k$ - to be a subset of the product space $(\mathbf{R}^k)^{\mathbf{R}^...
- 1,179
3
votes
2
answers
296
views
Domain of spectral fractional Laplacian
Let $(M,g)$ be a complete Riemannian manifold with Laplacian $\Delta:C^{\infty}_{c}(M)\to C^{\infty}_{c}(M)$ (think of $\mathbb{R}^{d}$ if you wish). This operator is essentially self-adjoint in $L^{2}...
- 1,171
2
votes
1
answer
405
views
Fokker Planck equation in the Stratonovich approach
I'm a physics master student and I have difficulties understanding how to derive the Fokker Planck equation from the Stratonovich SDE.
With the Ito SDE it is simple since the noise is independent of $...
- 21
1
vote
1
answer
113
views
The Fourier projection mappings $\{ P_N \}$ form an equicontinuous family of linear maps on $E'(S^1)$ as well?
Let $S^1=\mathbb{R}/\mathbb{Z}$ and define the Fourier projection operator $P_N$ for each $N \in \mathbb{N}$ as
\begin{equation}
P_N(f)=\sum_{n=-N}^N \langle f, e_n \rangle_{L^2} e_n
\end{equation}
...
- 3,477
0
votes
0
answers
107
views
How to show that the map $ R $ here is measure-preserving
Assume that $ (X,\mathcal{B},m,T) $ is a measure-preserving dynamical system, where $ (X,\mathcal{B},m) $ is a probability space, $ \mathcal{B} $ denotes all the measurable sets in $ X $, $ m $ is the ...
- 1,219
6
votes
0
answers
201
views
Dependence of Neumann eigenvalues on the domain
I have the following problem in hands, in the context of a broader investigation:
Let $V\in L^{n/2}$ compactly supported, where $n\geq 3$ is the dimension. I want to prove the following:
For any $\...
- 101
3
votes
2
answers
254
views
Number of atoms of a probability measure
Let $P\mathbb{R}$ be the space of probability measures on $\mathbb{R}$. Is the function
\begin{align*}
P\mathbb{R} &\to \mathbb{N} \cup \{\infty\}\\
\mu &\mapsto \#\{ x \in \mathbb{R} \mid \mu\...
- 239
5
votes
1
answer
221
views
Arens regularity of $\mathrm{BV}(\mathbb{R})$
$\DeclareMathOperator\BV{BV}$A Banach algebra $A$ is called Arens regular if the two canonical multiplications on the double dual $A^{**}$ coincide. Let $\BV(\mathbb{R})$ denote the Banach algebra of ...
- 6,406
7
votes
2
answers
1k
views
Can a non integrable random variable satisfy a strong law of large numbers principle?
Given a random variable $X$, we denote by $X_1, X_2, \dots$ a sequence of iid copies of $X$.
Question: Does there exist a random variable $X$ with $\mathbb E[X^+] = \mathbb E[X^-] = +\infty$, but
$$\...
- 6,321
1
vote
2
answers
221
views
Beating the $1/\sqrt n$ rate of uniform-convergence over a linear function class
Let $P$ be a probability distribution on $\mathbb R^d \times \mathbb R$, and let $(x_1,y_1), \ldots, (x_n,y_n)$ be an iid sample of size $n$ from $P$. Fix $\epsilon,t\gt 0$. For any unit-vector $w \in ...
- 6,853
4
votes
0
answers
242
views
On the Dunford-Pettis property and multiplier algebras
I am not an expert in operator algebras, so if the answer to this question might be trivial, that might be one reason for that:
Let $\mathcal{A}$ be a $C^\ast$-algebra. Then $\mathcal{A}^{\ast \ast}$ ...
1
vote
1
answer
149
views
Is there a necessary and sufficient condition to determine whether a number sequence can serve as the first few moments of a Radon measure?
Given a few positive numbers $(M_1, M_2,\cdots, M_K)$, they are the moments of a measure if
\begin{equation}
M_k = \int d\mu(x) x^k,\quad k = 1,2,\cdots,K.
\end{equation}
This is related to the ...
- 11
1
vote
1
answer
350
views
The distribution of product of normal matrices
Assuming we have three matrices:
$\mathbf{X} \in \mathbb{R}^{4096 \times 1024}$,
$\mathbf{Q} \in \mathbb{R}^{1024 \times 2048}$,
$\mathbf{K} \in \mathbb{R}^{2048 \times 1024}$.
Where all elements of ...
- 49
2
votes
0
answers
110
views
Defining a metric on $\mathbb Z^n$ using Green's function for the simple random walk
Let $G$ be Green's function for the simple random walk on $\mathbb Z^n$ for $n\ge 3$, i.e., $G(x)$ is the expected number of visits to $x$ when the walk starts at the origin.
Define $d(x,y)=G(x-y)^{1/(...
- 2,555
2
votes
1
answer
624
views
On norm of the Sobolev space $H^2(\Omega)$, $\Omega \subset \mathbb{R}^n; n \geq 2$
Let the Sobolev space $H^2(\Omega)$ be defined with the norm $\|u\|_{H^2(\Omega)}=\Big(\sum_{|\alpha|\leq 2})\|D^{\alpha}u\|^2_{L^2(\Omega)}\Big)^\frac{1}{2}$.
I have found in several research ...
- 101
2
votes
0
answers
62
views
Localized estimate for divergence free vector field
Suppose $\Omega \subset \mathbb{R}^3$ is a simply connected Lipchitz domain. For a divergence free field $w\in [L^2(\Omega)]^d$, it is well known that there exists a vector field $v\in [W^{1,2}(\Omega)...
- 31
1
vote
1
answer
256
views
Moser iteration in dimension $6$
Let $M$ be a closed Riemannian manifold of dimension $6$. We have a function $f\geq 0$ on $M$ satisfying
\begin{align*}
\Delta f \leq gf-\frac{3}{4}f^2
\end{align*}
Where $g$ is another smooth ...
- 954
4
votes
1
answer
321
views
Sub-Gaussian random variables and convex ordering
Suppose that $X$ is a $1$-sub-Gaussian real-valued random variable, i.e. for all $t \in \mathbf{R}$, it holds that $\log \mathbf{E} \exp \left( t X \right) \leqslant \frac{1}{2} t^2 $.
Does there ...
- 801
1
vote
1
answer
69
views
Local completion of bornological space
I recently stumbled across this old publication which defines the local completion of a Hausdorff locally convex space.
The construction is as follows:
A Hausdorff locally convex space $E$ is locally ...
- 661
2
votes
1
answer
133
views
Can convergence in distribution necessarily be realised by almost-sure convergence?
Let $X$ be a Polish space. Let $(\mu_n)_{n \in \mathbb{N} \cup \{\infty\}}$ be a family of Borel probability measures $\mu_n$ on $X$ such that $\mu_n \to \mu_\infty$ weakly as $n \to \infty$. For each ...
- 708
0
votes
0
answers
140
views
Bounding the difference of weighted-mean estimations
I recently asked a question related to a proof I'm working on as well as a follow-up to that. The detailed counter-examples I received elucidated a lot, but it quickly transpired (i) that I was ...
- 15
5
votes
1
answer
512
views
Norm inequality for the inclusion $L^2(\partial \Omega)\hookrightarrow H^{-1/2}(\partial \Omega)$
Let $\Omega \subset \mathbb{R}^3$ be a lipschitz domain. We then have the trace operator $\tau : H^1(\Omega) \to L^2(\partial \Omega)$ and can define the space $H^{1/2}(\partial \Omega) := \tau(H^1(\...
- 75
0
votes
0
answers
119
views
About definition of stable solution. $Q_u(\phi) \ge 0$ for all $\phi \in C_c^1(\Omega)$ replaced by "for all $\phi \in W_0^{1,2}(\Omega)$"
I want to ask about a remark about the stable solution of elliptic PDE Remark 1.1.1.
We say $u$ is stable solution of $-\Delta u=f(u) \ \text { in } \Omega$ and $u=0$ on $\partial \Omega$ if it ...
- 809