All Questions
18,177 questions
5
votes
1
answer
188
views
Girsanov's theorem for Gaussian measures as the Cameron-martin theorem with a random shift
Let $H \subset E$ be the Cameron-Martin space of a Gaussian measure $\mu$ on a separable Banach space $E$. The Cameron-Martin theorem states that for all $h \in E$ we have $h \in H$ if and only if $\...
- 203
-6
votes
1
answer
180
views
An analog of Anderson's result in C* algebra setting [closed]
Let $\mathcal{A}$ be a unital $C^{*}$-algebra and $S(\mathcal{A})$ denote the states space of $\mathcal{A}$.
For $a\in \mathcal{A}$ , define $W(a) =\{\phi(a):\phi\in S(\mathcal{A})\}$
It's known that $...
- 307
2
votes
0
answers
179
views
Analytic continuation of $\int_V (f(x_1,\cdots,x_n))^s dx_i$
Let $V$ be an $n$-dimensional simplex, let $f(\boldsymbol{x}) = f(x_1,\cdots,x_n)\in \mathbb{C}[x_1,\cdots,x_n]$ be a product of linear polynomials that is non-zero in interior of $V$. Also let $E(\...
- 528
1
vote
0
answers
40
views
Renewal Process with inter-arrival times having quadratic tails
Consider a sequence $(X_n)_{n \ge 1}$ of i.i.d. Pareto($2$) random variables, which means
$$
\mathbb{P}( X_1 > x) =
\begin{cases}
1/x \qquad &\text{for } x \ge 1
\\
1 \qquad & \text{else}....
- 116
1
vote
1
answer
102
views
Does $C^{k,s-k}$ function with lipschitz lower order derivatives give a certain bound on the Taylor remainder?
Let $\Omega \subseteq \mathbb{R}$ be open (not necessarily an interval). Let $ s > 0$ and $k \in \mathbb{N}_0$ be such that $s \in (k, k+1]$. Suppose that
$f \colon \Omega \to \mathbb{R}$ is an ...
- 820
2
votes
1
answer
152
views
Co-locating slowly increasing smooth functions in two different ways
This question is subsequent from my previous one.
I will write everything in detail for the sake of completeness.
Let $g_1$ and $g_2$ be smooth functions on $\mathbb{R}$, whose derivatives of all ...
- 3,477
5
votes
2
answers
256
views
On the closed convex hull of a weakly compact set
Let $H$ be an infinite-dimensional real Hilbert space and let $B$ be the closed unit ball of $H$. Let $K\subset B$ be a weakly compact set whose closed convex hull agrees with $B$. Question: does $K$ ...
- 283
4
votes
0
answers
145
views
Is it easier to exit a box to the right of a box in $\mathbb{Z}^2$ if I remove some edges to the left?
Suppose that I am given the graph $G = (V,E)$ where
$V = \{ 1, 2, \dots 2N+1 \} \times \{ 1, 2, \dots 2N+1 \} $
and there is an edge between two vertices $(n,m)$ and $(n',m')$ if and only if
$\vert n-...
- 1,054
6
votes
1
answer
133
views
Coupling/Ordering of Brownian bridges
Suppose I have two 1D Brownian bridges $(B^{(1)}_t,t\in [0,1]),(B^{(2)}_t,t\in [0,1])$, one from $0$ to $0$ and one from $x$ to $y$ where $x,y \geq 0$. Is there a neat way to show that there exists a ...
- 228
2
votes
0
answers
102
views
Semiclassical limit of spectral gap of Schrödinger operators with nonsmooth potential
Let $\Omega$ be a connected compact subset of $\mathbb{R}^d$. It is well known that for a smooth potential $V:\Omega \to \mathbb{R}$ that has a unique nondegenerate minimum $V(0) = 0$, the operator $H ...
- 1,551
2
votes
0
answers
104
views
Existence of Dirac measures in the context of joint and marginal distributions
Let $\pi$ be the joint law of $(X, Y)$ with marginal distributions $\mu$ and $\nu$. We assume that we have: for all $A \in \mathcal{B}(\mathbb{R})$ such that $\mu(A) > 0$
$$
\nu\left(\{y \in \...
0
votes
1
answer
86
views
Analytical approaches to approximate probability density functions of multivariate random functions
Given a random multivariate function $f(x, y, z)$, where $x, y, z$ are independent and identically distributed random variables with a probability distribution $\rho(X)$, I aim to approximate the ...
- 375
-1
votes
1
answer
80
views
Seating assignment inspired question
Motivation. Recently I stayed at a hotel which had the curious custom to ask their $n$ parties (group of guests, most parties a married couple) which of the $n$ tables they wanted to take. Of course ...
- 48.9k
3
votes
1
answer
74
views
Strong law of large numbers indexed by a directed set
Let $\xi_{1},\xi_{2},\ldots$ be a sequence of independent random variables with mean 0. For simplicity, assume that each $\xi_{i}$ only takes two values in $[-1,1]$.
Let $\mathscr{F}$ denote the ...
1
vote
1
answer
60
views
Reverse Doob’s maximal inequality for bounded martingales
Consider the set of discrete or continuous time $L^\infty$-bounded martingales $X$ with $X_0 = 0$ almost surely. Here $L^\infty$-bounded means $\|X\|_{\infty} := \sup_t \mathbb \|X_t\|_{L^\infty(\...
- 6,215
0
votes
0
answers
121
views
Is there a good or commonly accepted short notation for the set of differentiable, but not necessarily continuously differentiable maps?
Every once in a while I find myself in need of some short notation for the set of differentiable, but not continuously differentiable maps, say, $X \to Y$. Always having to specify "...
- 7,127
3
votes
1
answer
181
views
A nice terminal inequality for martingales
Let $X_t$ be a continuous time martingale taking with $\sup_t \mathbb E[X_t^-] < \infty$, and $X_0 = 0$ almost surely. Assume further that $X_1$ admits a probability density function.
Is it true ...
- 6,215
1
vote
0
answers
48
views
Comparing two probability of connection in Bernoulli percolation on $\mathbb{Z}^2$
I want to know for bond Bernoulli percolation on $\mathbb{Z}^2$, does it holds that
$$ \mathbb{P} \left( (0,0)\longleftrightarrow (0,n) \right) \geq \mathbb{P} \left( (0,0)\longleftrightarrow (k,n) \...
- 95
3
votes
1
answer
182
views
Tensor product of a slowly increasing smooth function and a tempered distribution converging to a co-located product
Let $T$ be a tempered distribution on $\mathbb{R}$ and $g$ be a smooth function on $\mathbb{R}$ whose derivatives of all orders are all polynomially bounded (a.k.a. slowly increasing).
For any pair of ...
- 3,477
5
votes
2
answers
557
views
A race to the bottom
Nate has a biased coin that comes up heads $\frac{1}{2} + \delta$ proportion of the time, where $0 < \delta \leq \frac{1}{2}$. He is competing against a large number $N$ people who each have fair ...
- 6,215
-1
votes
1
answer
168
views
Space of distributions on $[0,1]^2$: weakly compact or not?
Let $X_1,X_2$ be distributions on $[0,1]$ and let $X=(X_1,X_2)$ be the joint distribution of $X_1,X_2$. Let $\mathcal{X}$ be the set of all such joint distribution $X$.
Question 1: Does $\mathcal{X}$ ...
- 349
1
vote
1
answer
40
views
Envelopes of functions with respect to some convex cone $\mathcal{F}$
Let's say we are given a function $f:\mathbb R ^d\to \mathbb R$ continuous. Assume that $\mathcal F$ is a convex cone of continuous functions ($\mathbb R^d$ to $\mathbb R$) closed under maxima. I am ...
- 291
0
votes
1
answer
64
views
Sharpening Doob’s upcrossing inequality for Brownian motion
Note: This question is heavily related to a series of posts ([1], [2]) by user GJC20.
Provided a martingale $X$ in continuous-time, Doob's upcrosssing inequality states:
If $U(a,b)$ denotes the number ...
- 6,215
4
votes
0
answers
80
views
Interpolation-extrapolation scales of H. Amann
I am currently reading H. Amann's notes titled "Nonhomogeneous linear and quasilinear elliptic and parabolic boundary value problems", and I have a question regarding the abstract ...
- 145
1
vote
0
answers
68
views
Bialgebras in 1/Kl(D)
$1/Kl(D)$ is the comma category of the one element set in the Kleisli category of the distribution monad. There is mention of it here. The objects are probability distributions called states and the ...
- 331
1
vote
1
answer
107
views
Iterated optimal transport
Suppose we are interested in two consecutive transport plans (in the Kantorovich formulation). That is, we are given finite sets $X$, $Y$ and $Z$, endowed with probability measures $\mu_X$, $\mu_Y$ ...
- 13
3
votes
1
answer
98
views
Error bound for MonteCarlo estimate of elements in Gram-Matrix
Suppose I have a $n\times n$-symmetric positive-definite matrix $A$ with elements:
\begin{align}
[A]_{ij}=\int_{\Omega}f_i(x)f_j(x) \, dx, \quad i,j=1,\ldots,n
\end{align}
where $\Omega\subset \mathbb{...
- 93
0
votes
2
answers
60
views
Do continuous martingales satisfy this nice terminal inequality?
Let $X$ be a continuous, non negative martingale on $[0, 1]$ with $X_0 = x_0$ a.s. for some $x_0 \in \mathbb R$. Assume further that $X_1$ admits a probability density function. Is it true that the ...
- 6,215
0
votes
0
answers
44
views
Large Deviation Principle for an adaptive sampling rule for Multi Armed Bandits
Consider the following adaptive strategy for sampling from a Multi Armed Bandit with $K$ arms:
Split the $T$ rounds into $N (\in \mathbb{N})$ disjoint intervals. Each interval is indexed by $i=1,2,\...
- 9
1
vote
0
answers
48
views
Quantile maximization of the difference of random constrained quadratic optimization problems
I am interested in understanding the family of parametrized random variables defined by the pushforward map
$$
\lambda_x : \varepsilon \mapsto \underset{z_1 \in \mathbb{R}^n :\, h^T z_1 = 0, \; z_1 \...
- 11
0
votes
0
answers
66
views
Long-time conditioning for a Markov Chain
I am studying MERW and for some reasons, i would like to know if, if I have $(X_n)$ an irreducible Markov Chain, I can say that
$\mathbb{P}(X_1=x | X_0=a, X_n = b)$ goes to $\mathbb{P}(X_1=x | X_0=a)$ ...
- 11
1
vote
1
answer
197
views
Probability distribution on Python-dictionary-like objects?
I would like to examine information-theoretical properties of random variables that take as values objects which are akin to dictionaries in the Python programing language.
That is, each sample of the ...
- 11
0
votes
0
answers
32
views
A question on Poisson approximation of number of secure rooks on a d-dimensional chessboard
This question was given in our first year undergraduate Probability I course.
In $d$ dimensions the lattice points $i = (i_1, i_2, \cdots, i_d)$ where $1\leq i_j\leq n$ may be identified with the “...
- 149
1
vote
1
answer
50
views
Increasing function of $\theta$ for the Ali-Mikhail-Haq Survival Copula
I have been trying to solve the following function is non-increasing (non-decreasing) with respect $\theta$ where $\theta \in (0,1)$ (resp. $\theta \in (-1,0)$)
\begin{equation}
f(\theta)= \frac{h(t,\...
- 23
5
votes
1
answer
183
views
What is a natural interpretation of the commutator of the conditional expectation operator?
Notation: We denote by $\mathbb E_{\mathcal F} X$ the conditional expectation of the random variable $X$ with respect to the $\sigma$-algebra $\mathcal F$.
Given two $\sigma$-algebras $\mathcal G, \...
- 6,215
4
votes
1
answer
150
views
Convex order between Gamma distributions and Exponential distributions
Let $ (b_1, \dots, b_n) $ be a tuple of positive integers. Define independent random variables $ Y_i \sim \text{Gamma}(b_i, b_i) $ (shape and rate parameter both equal to $ b_i $) for $( i = 1, \dots, ...
- 55
1
vote
1
answer
330
views
Does $\sum_{n=1}^{\infty}\frac{(-1)^n e^{\sin{n}}}{\sqrt{n}}$ converge?
I am trying to study the converge of the series
$$\sum_{n=1}^{\infty}\frac{(-1)^n e^{\sin{n}}}{\sqrt{n}}$$
But $e^{\sin{n}}$ is not monotone, and the Abel's test rule fails here. Can someone help me? ...
- 287
5
votes
1
answer
164
views
Does quadratic asymptotic growth imply log-Sobolev inequality?
Let $f : \mathbb{R}^n \rightarrow [0,\infty)$ be a smooth function and consider $h$ s.t $h(\vec{x}) = f(\vec{x}) + \lambda \Vert \vec{x} \Vert^2$.
Does this imply that irrespective of any other ...
- 617
10
votes
1
answer
314
views
Weakly metrizable sets in normed spaces
A similar question was asked on MSE without getting an answer.
In the proof of lemma 1.2 of Asplund operators and holomorphic maps the author (my attempt to contact him failed because the only e-mail ...
- 16.4k
0
votes
0
answers
60
views
Spectral analysis of Dirac operators coupled to gauge potential on $\mathbb{R}^n$
Dirac operators on compact manifolds seem to have been studied well, such as in this book and also this one.
However, I cannot easily find comprehensive treatment of Dirac operators coupled to gauge ...
- 3,477
2
votes
0
answers
71
views
Assumptions Wald's second equation?
Let $(X_n)_{n\in \mathbb{N}}$ be an i.i.d. sequence of random variables and $N$ an $\mathbb{N}_0$ valued random variable. Let $X_1 \in \mathcal{L}^2$ and $N \in \mathcal{L}^1$. Let $S_n := \sum_{i=1}^...
- 261
3
votes
0
answers
196
views
Parabolic smoothing for semilinear PDE
Consider the semilinear energy-critical parabolic PDE in $\mathbb{R}^3$
\begin{align}
\partial_t u &= \Delta u + |u|^{4/(n-2)}u = \Delta u + u^5\\
u(0,x) &= u_0\in \smash{\dot{H}}^1(\mathbb{R}^...
- 537
0
votes
0
answers
78
views
Definition of Moore-Penrose inverse for unbounded self-adjoint operators?
I know there is a concept of Moore-Penrose or pseudoinverse of a matrix. I would like to know if one can define it for densely defined unbounded self-adjoint operators on Hilbert spaces as well. ...
2
votes
1
answer
108
views
Separability is an interpolation property
I'm trying to prove that certain space, which can be obtained as an interpolation space, is separable. The fact that is separable is well known but i want to simplify it via interpolation. I haven't ...
3
votes
1
answer
435
views
What is the connection between these three methods of generating this sequence?
I was recently looking at this problem: “There are a number of balls in a jar, some of them red, some of them white. The odds of picking two at random and both balls being red is 1/2. How many of the ...
- 39
0
votes
0
answers
45
views
Functional inequalities on neighbourhood graphs
Consider an open domain $\Omega \in \mathbb{R}^d$, say the unit disk in $\mathbb{R}^2$ with $N$ points sampled i.i.d. on it. One of the simplest possible (unnormalised) discrete Laplacian of a ...
- 111
6
votes
1
answer
170
views
Do projections in an $AW^\ast$-algebra form an orthomodular lattice?
I’m currently studying orthomodular lattices arising out of operator algebras. One of the most standard examples is the projection lattice of a von Neumann algebra - if $M$ acts on a Hilbert space $H$,...
- 2,830
3
votes
1
answer
116
views
Does a bounded positive modular sesquilinear form on a $C^\ast$-algebra induces an element of its multiplier algebra?
This is a question that originates from my attempt at this question. Specifically, for a $C^\ast$-algebra $A$, I am attempting to construct a map $\phi: A \times A \to A$ s.t.,
$\phi$ is sesquilinear,...
- 2,830
1
vote
1
answer
105
views
Constrained optimization over a set of functions
How to approach the following optimization problem:
$$\text{minimize }\int_0^1 f(x) \, dx$$
over all (integrable) real-valued functions $f$ on $[0,1]$ satisfying
$$1-x_1 x_2 \leq f(x_1)f(x_2)\text{ ...
3
votes
1
answer
109
views
Literature request: Covariance operators for Gaussian measures
I am looking to answer the question:
If $\mathcal{B}$ is a separable Banach space and $R: \mathcal{B}^*\to\mathcal{B}$ is a symmetric and positive operator, then $\phi: \mathcal{B}^*\to\mathbb{R}, \...
- 171