All Questions
7 questions with no upvoted or accepted answers
15
votes
0
answers
749
views
Prove $\int_{0}^{\infty} \cos(\omega x) \exp(-x^{\alpha}) \, {\rm d} x \ge {\alpha^2 \sqrt{\pi} \over 8} \exp \left( -\frac{\omega^2}{4} \right)$
I would like to prove that
$$\int_{0}^{\infty} \cos(\omega x) \exp(-x^{\alpha}) \, {\rm d} x \ge
{\alpha^2 \sqrt{\pi} \over 8} \exp \left( -\frac{\omega^2}{4} \right)$$
for any $\omega > 0$ and $...
- 178
5
votes
0
answers
205
views
Strange inequality relating Binomial pmf and cdf
I'm encountering a strange inequality I need to prove, relating the Binomial pmf and cdf.
Suppose we have $n$ coin flips, and fix an arbitrary $k \le n/2$ heads. Suppose further that we have some ...
- 101
3
votes
0
answers
86
views
Finite dimensional distribution of a stochastic process Lipschitz on every relatively compact set
Let $X_t$ be a Markovian Itô diffusion process, defined by an SDE
\begin{equation}
dX_t = \mu(X_t)\,dt + \sigma(X_t)\,dW_t\,.
\end{equation}
Let $f(x,t|x_0,0)$ denote its transition density function. ...
1
vote
0
answers
77
views
Divergence between random variables after transformation
Let $X$ and $Y$ be random variables with laws $\mu_X$, $\mu_Y$ and $d$ be some $f$-divergence (e.g. KL, total variation, Hellinger). Writing $d(X,Y)$ for the divergence between $\mu_X$ and $\mu_Y$, ...
- 19
1
vote
0
answers
60
views
Maximum value of $\int (aF^2(x)g(x)+G^2(x)f(x))dx$ over all $f,g$ densities satisfying $\int F(x)g(x)dx=1/2$
I want to maximise $$I(f,g):=\int_{-\infty}^\infty (aF^2(x)g(x)+G^2(x)f(x))dx$$ where $a>0$ is a given constant, over all possible probability densities $f,g$ satisfying $$\int_{-\infty}^\infty F(x)...
- 319
0
votes
0
answers
112
views
On certain integrals of exponential functions with respect to Gaussian measures
I have questions about the integral
$$F(a,b,c)=\sqrt{\frac{a}{\pi}}\int_{0}^{\infty}e^{-bx^4+cx^3-ax^2}dx$$
for $a,b,c>0$.
What is the asymptotic behavior of $F(a,b,c)$ for small $a,b,c$? In ...
- 505
-1
votes
1
answer
550
views
Lower bound of an expectation
Suppose a random variable $X$ has unit variance i.e. $\sigma^{2} = 1$. Is there a positive constant $c > 0$ such that
$$\mathbb{E}[\ | X - \mathbb{E}[X] | \ ] \ge c $$
My attempt of a solution is ...
- 643