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Inequalities for generalized variance

Let $(X, \mu)$ be a measured space with $\mu(X) = 1$. Given $\phi \in L^\infty(X, \mu)$, $\phi > 0$, let me define, for $\alpha \geq 1$, $\beta > 0$, the quantity $$ I(\alpha, \beta) = \left(\...
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Does higher volatility of SDE imply lower probability of staying positive?

Given two SDEs $X^1$, $X^2$ : $$X^i_t=1+t+\int_0^t\sigma_i(s)dW_s,\quad \forall t\ge 0,$$ where $\sigma_i:\mathbb R_+\to [1/2,1]$ are non-decreasing s.t. $\sigma_1(t)\le \sigma_2(t)$ for all $t\ge 0$....
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Lemma 3.10 of paper 'Periodic nonlinear Schrodinger Equation and Invariant measure' by J.Bourgain

I am reading a paper 'Periodic nonlinear Schrodinger Equation and Invariant measure' by J.Bourgain. And I have a questions in the proof of lemma 3.10. Please click the paper title for the link. The ...
2 votes
1 answer
286 views

An inequality for abstract Cauchy problem

Consider the following abstract Cauchy problem: $x'(t)=Ax(t)$, in $(0,T)$, with $x(0)=x_0$, where $A$ generates an analytic $C_0$-semigroup on a Banach space $X$. How we can prove an inequality of ...