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1 answer
143 views

Formally confirm a formula for a certain three-dimensional constrained integral over the unit cube

The result of the three-dimensional constrained integration (for the Hilbert-Schmidt two-qubit absolute separability probability) over the unit cube $[0,1]^3$ \begin{equation} \label{one} \int_0^1 \...
Paul B. Slater's user avatar
5 votes
1 answer
319 views

Spherical average of $\frac{1}{x}$

Let $X_1,...,X_n$ be points on $\mathbb S^1.$ We then define the expectation value $E(X)=\frac{1}{n}\sum_{i=1}^n X_i.$ Let $\frac{dS(X_1)}{2\pi}$ be the normalized surface measure of $\mathbb S^1,$ i....
Pritam Bemis's user avatar
0 votes
0 answers
146 views

Does the following sequence $\{g_n\}$ converge?

Consider a function sequence $\{f_n(t)\}$ ($n\in\mathbb{N}^+$) defined on the interval $(\frac{1}{2},1)$, where \begin{eqnarray}\label{eqn:constraint1} f_n(t)=\frac{\exp\left(n\left(\log R(h_t) - th_t\...
RyanChan's user avatar
  • 550
1 vote
2 answers
139 views

Inaccurate results for the analytical expression of $\mathbb{E}\left[ a \mathcal{Q} \left( \sqrt{b } \gamma \right) \right]$

I'm trying to plot a graph for the following expectation $$\mathbb{E}\left[ a \mathcal{Q} \left( \sqrt{b } \gamma \right) \right]=a 2^{-\frac{\kappa }{2}-1} b^{-\frac{\kappa }{2}} \theta ^{-\kappa } \...
Felipe Augusto de Figueiredo's user avatar
0 votes
2 answers
246 views

Finding the expectation of $a \mathcal{Q} \left( \sqrt{b } \gamma \right) $, where $\gamma$ is a Gamma r.v

I'm trying to analytically find the following expectation $$\mathbb{E}\left[ a \mathcal{Q} \left( \sqrt{b } \gamma \right) \right],$$ where $a$ and $b$ are constant values, $\mathcal{Q}$ is the ...
Felipe Augusto de Figueiredo's user avatar
0 votes
1 answer
55 views

Looking for a family of random variables such that only the second clause is fulfilled [closed]

Working with the epsilon-delta-criterium, a family $(X_i)_{i \in I}$ on $(\Omega,A,P)$ is uniformly integrable if i) $sup_{i \in I} E(X_i) <\infty$ ii) $\forall \epsilon>0$ ex. $\delta>0$ s.t....
Sofia's user avatar
  • 11
12 votes
1 answer
628 views

A function with unexpectedly simple Legendre transformation

Let $I(x) = \frac{1}{2\pi} \int_{-2}^2 \sqrt{4-y^2}\ln|x-y|dy$. Then $I(x)$ is a concave function and \begin{equation} I(x)= \begin{cases} \frac{1}{4}x^2-\frac{1}{2}, &\text{if } |x|\leq2 \\ \...
Pluviophile's user avatar
  • 1,608
6 votes
1 answer
684 views

Differentiable dependence on the initial condition of the solution of a SDE

Let $b,\sigma:\mathbb R\to\mathbb R$ be differentiable and Lipschitz continuous $(\Omega,\mathcal A,\operatorname P)$ be a probability space $(\mathcal F_t)_{t\ge0}$ be a complete and right-...
0xbadf00d's user avatar
  • 167
2 votes
1 answer
70 views

$ \int_{E}^{*}{\psi (t) d\mu(t)}=\int_{E}{\phi (t) d\mu(t)} $

Let $(T, \mathcal{A}, \mu)$ be an arbitrary measure space. The outer integral over $(T, \mathcal{A}, \mu)$ of a (possibly nonmeasurable) function $\psi: T\to (-\infty, +\infty]$ is defined by: $$ \...
Karim KHAN's user avatar
0 votes
1 answer
86 views

Integral rising from difference of chi-squared random variables

Let $X,Y$ be independent random variables such that $X\sim\chi_{n-1}^{2}, Y\sim\chi_{1}^{2}$ are chi-squared distributed (where $n\geq2$ is a natural number). I am trying to evaluate $\mathbb{P}[X\leq ...
GuyK's user avatar
  • 109
0 votes
0 answers
116 views

Finding a square integrable dominating function for function class

problem statement For any $x \in R^d$, consider the function $$\phi(x,a) = \min_{1\leq j \leq k} \|x-a_j\|^2,$$ where $a = (a_1, \dots, a_k) \in R^{kd}$ and $\| \cdot \|$ is the $L_p$ norm for any $p ...
ato_42's user avatar
  • 11
0 votes
1 answer
153 views

$ \{X_n\mathbb{1}_{X_n\in[-n,n]}\}$ is uniformly integrable

Let $(\Omega,\mathcal{A},\mathbb{P})$ be a probability space. Suppose $\{X_n\}$ is a sequence of random variables satisfying : $$ \sup_{n}{\mathbb{E}(|X_n|)} <\infty $$ Suppose that $$ \dfrac{M_j}{...
John nany's user avatar
1 vote
0 answers
222 views

L2 norm of the diagonal entries of a random rotation of a fixed matrix?

Let $X\in\mathbb{R}^{d\times d}$ be the diagonal matrix with $d/2$ entries equal to $1$ and $d/2$ entries equal to $-1$. Let $F_U \triangleq \frac{1}{d}\|\operatorname{diag}(U^{\dagger}XU)\|^2_F$ ...
Sitan Chen's user avatar
0 votes
1 answer
102 views

Sign of expectation value

Consider a multivariate Gaussian-type measure $$d\lambda(x):=\nu_{\mu,\Sigma} e^{-\langle (x-\mu), \Sigma^{-1}(x-\mu) \rangle - \vert x \vert^2} $$ with vector $\mu \in \mathbb R^n$ and $\Sigma$ ...
Sascha's user avatar
  • 536
0 votes
1 answer
135 views

Bounds on expectation of $X/(X^2 + c)$ with $X$ ~ Gaussian and $c > 0$

I'm trying to compute expectation of $X / (X^2 + c)$ when $X$ is normally distributed with mean $\mu$ and variance $\sigma^2$, and $c$ is some positive constant. I think this cannot be solved ...
graal's user avatar
  • 11
3 votes
2 answers
168 views

A definite integral related to sample variances of bivariate Gaussians

This integral is needed to obtain the joint distribution of the sample variances of a random sample from a bivariate Gaussian distribution. For details on the joint distribution of the sample means, ...
Chee's user avatar
  • 984
4 votes
2 answers
274 views

Is it true that the quantile function of an $L^1$ random variable is $L^2(]0,1[)$?

Let $(\Omega, \mathcal A, P)$ be a probability space. Let $X:\Omega \rightarrow \mathbb R$ be an $L^1(\Omega, \mathcal A, P)$ random variable. We define the distribution function of $X$ by $$F(x) = ...
W. Volante's user avatar
0 votes
0 answers
115 views

Bayesian Bandits - What's the probability that choice K is the best?

I have $K$ very unfair coins. I don't know how unfair they are, but they all seem to have different probabilities of landing heads. I'd like to figure out which one is best as quickly as possible. ...
Mabbo's user avatar
  • 9
2 votes
1 answer
81 views

Perform certain constrained integrations over an ordered subsection of a 3-simplex, yielding "absolute separability" probabilities

Let us order the four points $\lambda_1 \geq \lambda_2 \geq \lambda_3 \geq \lambda_4 \geq 0$ of a 3-simplex, $\lambda_1+\lambda_2+\lambda_3+\lambda_4=1$, giving us a subsection $L$. Integration over $...
Paul B. Slater's user avatar
2 votes
1 answer
636 views

Sufficient condition for function of conditional probability density to be increasing

Let $Y$ and $W$ be two jointly distributed random variables; $Y$ takes values on $(y_1,y_2)$ and $W$ takes values on $(w_1,w_2)$. The conditional probability density of $W$ given $Y$ is given by $f_{W|...
Ararat's user avatar
  • 143
6 votes
1 answer
433 views

Triangle inequality for Ito integral?

For Lebesgue integrals one has the triangle inequality saying that for continuous functions let's say $$\left\vert\int_0^t f(s) \ ds\right\vert \le \Vert f \Vert_{\infty} \int_0^t \ ds$$ Now if ...
Sascha's user avatar
  • 536
1 vote
2 answers
889 views

Simplify Wasserstein distance between Gaussians with binary cost function

Let $\mu_1$ and $\mu_2$ be 1D gaussian distributions with means $m_1$ and $m_2$ respectively and common variance $\sigma$. Let $\Omega$ be a closed subset of $\mathbb R^2$, and consider the cost ...
dohmatob's user avatar
  • 6,853
5 votes
3 answers
475 views

Closed form $\int_{0}^{\frac{r}{2}} {\binom{n}{p} \binom{n-p}{r-2p} 2^{r-2p}}{\binom{2n}{r}^{-1}} \ \text{d}p$

Note: This is exact copy of my Math.SE question, which I am reposting here, as despite bounty it did not receive any answers. Let there be $n$ pairs of shoes in a box. The the probability that from ...
ViktorStein's user avatar
5 votes
1 answer
2k views

Normal multivariate orthant probabilities

(Previously I posted a similar question on math.SE, hoping that this question would have an easy answer. As the question appears hard, I am hoping I can perhaps get more feedback here.) Let $\mathbf{...
TMM's user avatar
  • 733
2 votes
1 answer
803 views

On Riemann integration of stochastic processes of order $p$

Let $x:[a,b]\times\Omega\rightarrow\mathbb{R}$ be a stochastic process, where $\Omega$ is the sample space from an underlying probability space. Let $L^p$ be the Lebesgue space of random variables on $...
user avatar
1 vote
2 answers
818 views

Integral formula involving Legendre polynomial

I would like a proof of the following equation below, where $(P_n)$ denotes Legendre polynomials. I guess this formula to hold; I checked the first several values. \begin{equation} \int_{-1}^{1}\sqrt{...
K K's user avatar
  • 31
2 votes
1 answer
544 views

Multiple Wiener-Ito integral distribution

Distribution of standard Ito integral is well known: $$I_1(f) = \int_0^T f(t)dB(t) \sim \mathcal{N}\bigg(0, \int_0^T f^2(t)dt\bigg).$$ Is it possible to find the distribution of multiple Wiener-Ito ...
Aleksandr Samarin's user avatar
8 votes
2 answers
330 views

q-Means and the mode of a distribution

Let $f:\mathbb{R} \rightarrow [0,\infty)$ be a continuous probability density function on $\mathbb{R}$ such that \begin{equation} \int_{\mathbb{R}} |x| f(x)\, dx < \infty, \end{equation} and ...
Maurizio Barbato's user avatar
1 vote
1 answer
399 views

I want to disprove an equality involving a double integral

I want to show that the following equality does not hold: \begin{equation}\label{at3} \frac{\lambda^2-1}{2}x^2-\int_{-\infty}^{\infty}\!\!\int_{-\infty}^{\infty}K(y_1,y_2,x)\ln g(y_1,y_2)dy_2dy_1=...
Peter's user avatar
  • 19
2 votes
1 answer
2k views

Explicitly representing a random variable in terms of indicator functions

Motivation: I want to compute $$E[g(X)] := \int_{\Omega} g(X(\omega)) d\mathbb{P}(\omega) \tag{*}$$ without needing change of variable formula. I want to prove the change of variable formula (you ...
BCLC's user avatar
  • 247
14 votes
1 answer
2k views

Why do we mainly integrate with respect to martingales?

Although my resarch focuses on PDEs (optimal transport, these days), I am currently trying to learn stochastic calculus and integration. I am just beginning in this topics, but I was wondering: why do ...
leo monsaingeon's user avatar
4 votes
1 answer
697 views

Numerical evaluation/approximation of non-central high-order moments of high-dimensional Gaussian measures?

I need to numerically evaluate/approximate non-central high-order moments of high-dimensional Gaussian measures/distributions with given mathematical expectations and covariance matrices. The Gaussian ...
Fabrice Pautot's user avatar
1 vote
0 answers
101 views

Density of Geometric Stable distribution

If we define $$ \psi(t|\alpha, \beta, \gamma, \mu) = -it\mu+|\gamma t|^\alpha(1-i\beta \mathrm{sgn}(t) \Phi) $$ with $$\Phi = \tan \frac{\pi \alpha}{2} \mathbf{1}_{\{ \alpha \neq 1 \} } - \frac{2}{\pi}...
Aleksandr Samarin's user avatar
3 votes
1 answer
311 views

An integral by rough path.

If $(b, \mathbb{b})\in \mathcal{D}^{\alpha}[0,T],\ \alpha\in (\frac{1}{3}, \frac{1}{2})$. $\mathcal{D}^{\alpha}[0,T]$ is the space of those rough paths $(b,\mathbb{b})$ such that $$ \|b\|_\alpha=...
Guohuan Zhao's user avatar
2 votes
2 answers
1k views

Closed-form solution for an integral involving the p.d.f. and c.d.f. of a $N(0,1)$-distributed random variable

Let $\phi(\cdot)$ and $\Phi(\cdot)$ be the probability and cumulative density functions, respectively, of a random variable with distribution $\text{N}(0,\,1)$. That is, $$\forall x\in\mathbb{R}:\,\...
Student1981's user avatar
2 votes
1 answer
438 views

A dilemma about the definition of the stochastic integral $\int_a^b\Phi\:{\rm d}W$

Let $(\Omega,\mathcal A,\operatorname P)$ be a probability space $T>0$ $(\mathcal F_t)_{t\in[0,\:T]}$ be a filtration of $\mathcal A$ $W$ be an $\mathcal F$-Brownian motion on $(\Omega,\mathcal A,\...
0xbadf00d's user avatar
  • 167
2 votes
0 answers
207 views

Gaussian integrals and Showing $ \int f({\vec {x}})e^{\left(-{\frac {1}{2}}\sum \limits _{i,j=1}^{n}A_{ij}x_{i}x_{j}\right)}d^{n}x=e^{D}f|_{x=0}$

This is related to my other question on tackling a gaussian integral for $f(w,u)=\frac{1}{w-u}$. Q1 Suggestions on evaluating gaussian integrals with "nice" functions (not necessarily polynomials) ...
Thomas Kojar's user avatar
  • 5,474
3 votes
3 answers
593 views

An integral involving hyperbolic functions

I am wondering if it is possible to obtain a closed-form formula for $$ f(\alpha) = \frac{1}{{\sqrt{2 \pi } \; \alpha }} \int^\infty_{-\infty} x^2 \cosh(x) \; e^{-\frac{\sinh ^2(x)}{2 \alpha ^2}} \...
Mehmet Ozan Kabak's user avatar
-6 votes
2 answers
2k views

Is there a transformation or a proof for these integrals?

Here are certain weighted Gaussian integrals I have encountered for which numerical computation reassures equality. Question. Is this true? If so, is there an underlying transformation or just a ...
T. Amdeberhan's user avatar
-2 votes
1 answer
457 views

Expectation of random integral of deterministic function

Suppose I have some random variable $W$ along with its expectation $\mathbb{E}[W]$. My goal it to compute the integral \begin{equation} \mathbb{E}\left[\int_{0}^{W}f(t)dt\right] = \int_{0}^{\mathbb{E}...
Liäm's user avatar
  • 48
14 votes
2 answers
1k views

Expected number of lines meeting four given lines or "what is 1.72..."

Given four random lines in $\mathbb{R}P^3$, how many lines intersect all of those lines? In the recent paper Probabilistic Schubert Calculus, Peter Bürgisser and Antonio Lerario discuss this question ...
Moritz Firsching's user avatar
106 votes
5 answers
10k views

integral of a "sin-omial" coefficients=binomial

I find the following averaged-integral amusing and intriguing, to say the least. Is there any proof? For any pair of integers $n\geq k\geq0$, we have $$\frac1{\pi}\int_0^{\pi}\frac{\sin^n(x)}{\...
T. Amdeberhan's user avatar
3 votes
0 answers
228 views

Sub-multiplicative function in expectation or pointwise? [closed]

Consider the function that satisfies $$ \mathbb{E}[f(X)f(Y)]\leq \mathbb{E}[f(XY)],$$ where $X\in\mathbb{R}$ and $Y\in\mathbb{R}$ are Gaussian random variables with mean $0$ and variance $1$, and ...
Richard Simmons's user avatar
1 vote
0 answers
106 views

Improper integral of products and ratios of probability density functions

I am trying to find out whether the following integral is finite. The integrand consists of product of probability density functions. $\int \frac{f(x_1,x_2, x_4^*)}{f(x_1^*,x_2, x^*_4)}\frac{f(x_1,...
Joanne's user avatar
  • 11
0 votes
1 answer
503 views

Asymptotics of a 1D integral, or the orthant probability of an equicorrelated random Gaussian vector

Problem: Let $\phi(x)$ be the normal probability density function (pdf), and $\Phi(x)$ the normal cumulative distribution (cdf). I'm interested in the asymptotic behavior of the following integral $I(...
Daniel Soudry's user avatar
2 votes
1 answer
207 views

Expectation of Truncated Bivariate Gaussian Random Variables

Suppose $Z , \epsilon \sim N(0, 1)$ are independent Gaussian random variables. Let $a \ll 1$ be a small positive number. Let $W = aZ + \epsilon$. It can be show that \begin{align} \mathbb{E} [ W^2 (Z^...
Steve's user avatar
  • 1,127
3 votes
1 answer
942 views

Cumulative integral of the Marchenko-Pastur density for Wishart eigenvalues

I can't find any work on the cumulative density function of the well-known Marchenko-Pastur density for the eigenvalues of a standard Wishart Matrix as its dimension goes to $\infty$, i.e. $$F(\beta)=...
blacklist's user avatar
1 vote
1 answer
147 views

Proving that an integral related to order statistics is increasing in a certain parameter

Let $f$ and $F$ denote, respectively, the pdf and cdf of a probability distribution on $\mathbb R$. Take any natural $n\ge3$ and any real $a$ and $c$ such that $a\le c$. Does it always follow that $$...
carlogambino's user avatar
2 votes
0 answers
254 views

Prove this function is increasing

I'm stuck in showing that the following function is increasing over the domain $\left[0,\hat{b}\right]$: \begin{eqnarray} \Pi\left(z\right) & = & \int_{0}^{\phi\left(z\right)}\int_{x}^{\bar{x}...
Emmanuel's user avatar
2 votes
0 answers
79 views

Compute Mixed Volume with Respect to Some Regular Sets

Let $( \mathbb{R}^n, \mathcal{B}, \gamma)$ be a measure space where $\mathcal{B}$ is the Borel sigma algebra and $\gamma$ is a continuous measure. For $A, B\in \mathcal{B}$ that are convex, the mixed ...
Steve's user avatar
  • 1,127