All Questions
18,177 questions
1
vote
0
answers
58
views
Drift of reverse SDE with Lévy processes ($\alpha$ stable distributions)
Given an SDE with a Lévy process with a drift $b(x,t)$ the reverse SDE will have a drift, $\tilde{b}(x,t)$, given by the relation:
$$\tilde{b}(x,t) = - b(x,t) + \int_{\mathbb{R}} y \left( 1 + \frac{...
- 305
1
vote
1
answer
90
views
Sobolev inequality with weight in the case $1<n\leq p$
Assume that $1<n\leq p$. Does there exist a (non-negative) measure $\mu$ (preferably with some positive density function with respect to the Lebesue measure $dx$) and $q>p$ so that for all $f\in ...
- 6,476
21
votes
7
answers
2k
views
Identities and inequalities in analysis and probability
Usually, at the heart of a good limit theorem in probability theory is at least one good inequality – because, in applications, a topological neighborhood is usually defined by inequalities. Of course,...
- 109k
2
votes
1
answer
415
views
High-probability lower bound for norm of least squares solution when both design matrix $X$ and response vector $y$ are random (and independent)
Let $n,d \to \infty$ with $n/d \to \gamma \in (0,\infty)$. Let $X$ be a random $n \times d$ matrix independent rows uniformly distributed on the the unit-sphere in $\mathbb R^d$ and let $y$ be a ...
CommunityBot
- 1
2
votes
1
answer
1k
views
Concentration of the norm of subGaussian random vectors
I will use the same notation and definitions in High Dimensional Probability, by Roman Vershynin.
I have a sub-Gaussian vector $y$, in $\mathbb{R}^n$ and sub-Gaussian norm $C$ non dependent on $n$. I ...
CommunityBot
- 1
3
votes
1
answer
307
views
Approximate square root of Dirac delta function on $\mathrm{SL}_2(\mathbb{R})$
$\DeclareMathOperator\SL{SL}\DeclareMathOperator\AdS{AdS}$I hope to find a sequence of complex-valued functions $\{f_i(g)\}$ on the group element $g$ of a locally compact group $\SL(2,\mathbb{R})$ so ...
- 9,486
3
votes
1
answer
198
views
Can gradient zero implies that a function is constant with Hörmander vector fields
Let $X=(X_1,\cdots,X_m)$ be a system of Hörmander vector fields defined on $\mathbb{R}^n$. The Sobolev space $W_{X}^{1,p}(\Omega)$ is defined by
$$W_{X}^{1,p}(\Omega):=\{u\in L^p(\Omega)|X_iu\in L^p(\...
CommunityBot
- 1
0
votes
1
answer
95
views
On the behaviour of individual random walks of a Markov Chain
My current research (on Probabilistic Automaton) brought me to the following question regarding Markov Chains. I state the definitions for the sake of clarity.
Let $M$ be a discrete-time finite Markov ...
- 232
2
votes
1
answer
2k
views
Monge–Ampère operator
I'm studying the article of Bedford–Taylor "Fine topology, Šilov boundary…" but I don't
understand the proof of the following proposition.
Let $u$, $v$ be plurisubharmonic functions defined ...
CommunityBot
- 1
1
vote
1
answer
117
views
Lower bound for a commutator trace
I have this Hilbert space of square-integrable complex-valued functions on a square, $\mathbb{L}^2([0,1]^2)$. And let $M_x$, $M_y$, and $M_{x+y} = M_x+M_y$ be the operators of multiplication by the ...
CommunityBot
- 1
3
votes
1
answer
1k
views
Borel-Cantelli lemma for general measure spaces (those with infinite measure)
The Borel-Cantelli lemma is often stated for a probability space or spaces with finite measure.
But it seems to me that it still holds if the space $X$ is of infinite measure. I seem to be able to ...
CommunityBot
- 1
16
votes
1
answer
970
views
Pedagogically intuitive reformulation of Zorn's Lemma for functional analysis
While teaching an applied functional analysis class, I’ve noticed that students often struggle to develop an intuitive understanding of Zorn’s lemma. It’s relatively straightforward to explain why ...
- 12.5k
0
votes
1
answer
169
views
Existence of a "universal" measure-preserving transformation on the unit interval
Let $I = [0,1]$ be the unit interval equipped with the Lebesgue measure $\lambda$. Let $\mathcal{M}$ be the set of all Lebesgue measure-preserving transformations $T: I \to I$. We say a transformation ...
- 23.2k
8
votes
1
answer
585
views
One flip coin game
Nate has $n \geq 2$ coins $\{C_i\}_{0 \leq i \leq n-1}$ that each turn up heads with probability $\frac{i}{n-1}$ each, but he is not sure which ones are which.
He has \$1 with which to bet with. On ...
CommunityBot
- 1
3
votes
0
answers
92
views
Tighter Freedman's inequality for a special martingale difference sequence
Let $X_{1}, \ldots, X_{T} \in \{0, 1\}$ be a sequence of Boolean random variables with
$$
\mathbb{E}[X_{t} | X_{1}, \dots, X_{t - 1}] = p_{t}.
$$
Consider the sequence $Y_{t} := X_{t} - p_{t}$ (which ...
- 63.9k
2
votes
1
answer
111
views
What happens to an SDE conditional on the underlying Brownian motion being close to $f \in C[0, T]$?
The so called forgery theorem for Brownian motion says that for any continuous $f: [0, T] \to \mathbb R^d$, with $f(0) = 0$, the $d$ dimensional Brownian motion $W$ has a nonzero chance of staying $\...
- 3,669
0
votes
1
answer
51
views
Reconstruction of law of diffusion process from call option values
Let $X_{\cdot}$ be a $1$-dimensional diffusion process. If I know the value of the
$$\big\{\mathbb{E}[\max\{X_t,c\}\big| X_0 =x\big]:\, c\in \mathbb{R} \text{ and } \,\, t\in (0,1] \big\}.$$
Then, ...
- 128k
2
votes
1
answer
119
views
Deriving the distribution of standardized variables with empirical mean and standard deviation
I'm working with a set of independent and identically distributed random variables $\{ x_i \}_{i=1}^N$, where each $x_i$ follows a Gaussian distribution $P_X(x) = \mathcal{N}(x; \mu, \sigma^2)$. This ...
CommunityBot
- 1
4
votes
1
answer
227
views
Problem in Probability Theory and Functional Analysis
Let's consider the vector space V of bounded scalar functions, which includes the constant function 1. We assume that any uniform limit of a bounded monotonic sequence of functions from V also ...
7
votes
2
answers
394
views
Tangent space to infinite dimensional manifolds
In finite dimensional geometry, there is a single invariant of a vector space - its dimension. This characterizes finite dimensional manifolds as being glued from Euclidean balls.
This situation is ...
- 7,583
1
vote
1
answer
329
views
Hölder continuity of Radon transform of smooth function
Given an integrable function (e.g a probability density function) $f:\mathbb R^n \to \mathbb R$, let $R[f]$ be its Radon transform defined by
$$
R[f](w,b) := \int_{\mathbb R^n} \delta(x^\top w - b)f(x)...
CommunityBot
- 1
0
votes
0
answers
146
views
On the pointwise limit of a sequence of analytic functions
I have been confused with this problem for weeks now. Suppose I have Banach spaces $E$ and $F$ and a sequence of functions $f_{n}: U \subset E \to F$, where $U$ is open and nonempty. Let $x \in U$ be ...
3
votes
1
answer
604
views
Weighted sum of standard Brownian bridges
Let $\{B_j\}_{j=1}^k$ be a sequence of Brownian bridges.
Let us consider $$X(t)=\sum_{j=1}^m w_j(t)B_j(t),$$ where $w_j$ are positive weight functions.
Then what can we say about (distribution or may ...
CommunityBot
- 1
5
votes
2
answers
424
views
Existence of an invariant measure on an infinite dimensional space via Lyapunov functional
Set-up.
Assume that we have a complete separable metric space $\mathcal{X}$ that is not locally compact. Let $V: \mathcal{x} \to [0; +\infty]$ be a functional such that $K_r :=\{x \in \mathcal {X} : V ...
3
votes
2
answers
282
views
Nash equilibria of a "minority game"
An odd number $N \geq 3$ of players are playing a game - they bet on the outcome of a biased coin that comes up heads $p > \frac{1}{2}$ of the time, where $p$ is known to all of the players in ...
- 745
0
votes
1
answer
431
views
Approximation of the product $(\bar{z} - a)^{-1} \cdot (z - b)^{-1}$
$\def\zbar{\smash{\overline z}\vphantom z}$I would like to construct an approximation of the product
\begin{equation}
f(z) = \frac{1}{\zbar-a} \frac{1}{z-b},
\end{equation}
where $a, b \in \mathbb{C}$,...
CommunityBot
- 1
1
vote
0
answers
42
views
Sub-Gaussian analysis via bounded decomposition?
Let $\psi_\alpha(x) := \exp(x^\alpha)-1$.
The Sub-Gaussian Norm $\lVert X \rVert_{\psi_2}$ of a random variable $X$ is defined as
$$
\lVert X\rVert_{\psi_2} = \inf\{c>0\mid \mathbb{E}[\varphi_2(|X|/...
- 2,183
1
vote
2
answers
117
views
If $f\in C([0,\infty))$, does $\delta>0$ and $g\in C^1((0,\delta))\cap C([0,\delta])$ s.t. $g\geq f$ on $[0,\delta]$ and $g(0)=f(0)$ exist?
The question is the following:
Suppose $f : [0,\infty) \rightarrow \mathbb{R}$ is a continuous function. Can I find $\delta \in (0,\infty)$ and a function $g : [0,\delta] \rightarrow \mathbb{R}$ such ...
- 128k
1
vote
1
answer
51
views
How do the total variation distances of the marginals relate to the total variation distance of the joint under independence?
Suppose there are two sets of random variables $X_1,...,X_n$ and $Y_1,...,Y_n$ with all the variables being defined over the same sample space, but not necessarily being identically distributed. Is ...
- 2,183
0
votes
2
answers
116
views
Upper bounds on quotients of binomial coefficients
Let $\gamma>1$ be a real number and let $n\in \mathbb{N}$.
Define $f\colon\mathbb{N}\to[0,1]$
$$
f(n_0) = \frac{\binom{n-n_0}{m}}{\binom{n}{m}},
$$
where
$$
m = \Big\lfloor{\frac{n}{\lceil\gamma ...
- 128k
0
votes
0
answers
55
views
reference request: conditions for pointwise and operator-norm convergence of kernel projections
At a very high level, I’m interested in the following question. Suppose $X$ is a (separable) Hilbert space, and $T_n : X \rightarrow X$ is a sequence of finite rank self-adjoint maps that converges (...
- 3,065
3
votes
1
answer
157
views
Sub-Gaussian concentration without the sub-Gaussian norm
A random variable $X$ is said to have sub-Gaussian tails with parameter $\sigma>0$ if
$$\Pr[|X|\geq t] \leq 2\exp(-t^2/(2\sigma^2))$$
I am interested if $X_0, X_1$ are independent, and have sub-...
- 63.9k
3
votes
3
answers
580
views
Approximate identities and pointwise convergence
I'm studying Fourier analysis and have a question about approximate identities.
Let $k_{\epsilon}$ be an approximate identity on $L^{1}(\mathbf{T})$. We know that $k_{\epsilon}*f\to f$ in $L^{1}$ as $...
2
votes
0
answers
82
views
The support of the functions in the closed span of the Rademacher functions in $L_1(0,1)$
Given a measurable function $f:(0,1)\to \mathbb{R}$, we denote by $M(f)$ the measure of the set $\{t\in (0,1) : f(t)\neq 0\}$.
It is not difficult to prove that if $(f_n)$ is a normalized sequence in $...
- 4,461
3
votes
1
answer
1k
views
"Relative compactness of a family of probability measures" and relative compactness & sequential compactness of sets
I'm studying Billingsley's convergence of probability measures, and wondering why the definition of "Relative compactness of a family of probability measures" reasonable.
In the discussion ...
CommunityBot
- 1
0
votes
1
answer
53
views
Exponentially weighted norms are not equivalent
Let $\|u\|^2_{L^2_\eta}$ be the exponentially weighted norm of the space of functions $u(x)$ for which $u(x)\mathrm{e}^{\eta\cdot x}$ with $\eta\in \mathbb{R}$ is in $L^2(\mathbb{R})$. How can I show ...
- 128k
21
votes
5
answers
18k
views
When is Sobolev space a subset of the continuous functions?
If we let $\Omega\subset\mathbb{R}^d$ with $d=1,2,3$ and define $\mathcal{H}^1(\Omega)=(w\in L_2(\Omega): \frac{\partial w}{\partial x_i}\in L_2(\Omega), i=1,...,d)$. My tutor has repeated several ...
- 18.7k
3
votes
2
answers
1k
views
Extensions of Urysohn's inequality
A version of Urysohn's inequality states that for a symmetric convex body $K \subset \mathbb{R}^n$, one has
$$
\left(\frac{\text{vol}(K)}{\text{vol}(B_2)} \right)^{1/n} \le \frac{1}{\sqrt{n}} E
\; \| ...
CommunityBot
- 1
0
votes
0
answers
50
views
Self-adjoint operators and index of quadratic form associated to it
Let $B$ a bounded self-adjoint operator on a real Hilbert space $H$ with an associated inner product $(\cdot,\cdot).$ Take $V=\operatorname{span}\{f_1, f_2, \ldots, f_n\}$ a finite dimensional ...
- 2,183
1
vote
1
answer
150
views
Resource request (probability theory, computability theory, algebra)
I'm a first year graduate student trying to explore specific topics I might be interested in researching. Currently, I enjoy algebra, probability theory, and the computability theory side of logic, ...
- 236k
1
vote
0
answers
65
views
Fractional Sobolev embedding
Let $s\in (0,1)$ and $1<p<\infty$. Let $H^{s,p}(\mathbb{R}^n)=H^{s,p}$ the Bessel potential space, defined as the image of $L^p(\mathbb{R^n})$ by the Bessel potential. It is known that these ...
- 63.9k
1
vote
1
answer
183
views
Metric currents on singular measures in $\mathbb R^d$
Unless I am misunderstanding a lot of works, it is my understanding that a finite and non negative measure $\mu=g\mathcal{H}^\alpha$, where $\mathcal{H}^\alpha$ is the $\alpha$-Haudorff measure, ...
1
vote
0
answers
87
views
Proof mistake of: $M_0A(G) = B(G)$ for a locally compact group
I am posting my question of mathstack exchange here. (see: My post on MSE)
Let $G$ be a locally compact group with Haar measure $\mu$, and $B(G),A(G),C_r^*(G),L(G)$ be its Fourier-Stieltjes algebra, ...
- 261
14
votes
1
answer
2k
views
Expected survival time in Russian Roulette not monotone?
Let $a, n$ be positive integers with $a < n$. A revolver with $n$ chambers is loaded with $a$ bullets, where the distribution is uniform among all $\binom{n}{a}$ possible choices of $a$ objects ...
- 2,203
2
votes
0
answers
43
views
A distribution defined via an ODE for its Laplace trnsform
Fix a parameter $0 < c < \infty$.
As the solution to a certain problem,
there is a probability density function $f_c(t)$ on $0 < t < \infty$ with mean $1$ and
whose Laplace transform $L(\...
- 236
1
vote
1
answer
277
views
Intersection of the kernel with the interpolation space
$\DeclareMathOperator\Ker{Ker}$Given two Banach spaces $X$ and $Y$ with a continuous inclusion $X\subset Y$, and another couple $X’ \subset Y’$ with the same properties. Take $f : Y \longrightarrow ...
CommunityBot
- 1
1
vote
0
answers
127
views
Trace type convergence of the Laplacian on the box to the Laplacian on $\mathbb R^d$
Let $-\Delta \colon H^2(\mathbb R^d) \to \mathbb R^d$ be the (negative) Laplacian on the full space and $-\Delta_L$ the Laplacian acting on $L^2([-L,L]^d)$ with some boundary conditions making it self-...
- 61
2
votes
1
answer
78
views
Is there a relative projective tensor (cross-)norm for Banach $A$-algebras?
$\newcommand\norm[1]{\lVert#1\rVert}$I am interested in a relative version of the projective tensor product and projective tensor (cross-)norm for Banach algebras. Let $A$, $B$, $C$ be commutative (...
- 12.9k
11
votes
1
answer
500
views
Uncountable families of measurable sets with pairwise positive intersections
Let $(X,\mathcal{B},\mu)$ be an arbitrary finitely additive probability measure space, let $a>0$ and let $(A_i)_{i\in I}$ be an uncountable family of subsets with measure $\geq a$.
Is there an ...
- 10.6k
1
vote
0
answers
150
views
What are alternative mathematical definitions of observers beyond Bennett and Hoffman's framework?
Motivation:
This question is inspired by a talk from Avi Wigderson given on Randomness, where the idea that the randomness is in the eye of the observer is suggested.
In the study of information ...
- 3,064