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Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory.
2
votes
1
answer
147
views
Smooth conditional expectation with nonsmooth "reverse"
I am looking for a concrete example of the following: $(X,Y)$ are real-valued random variables such that:
$E[Y|X]$ is smooth
$E[X|Y]$ is discontinuous
Even better, I'd like to see an example where a …
0
votes
1
answer
281
views
Regularity properties of conditional distributions
Let $(X,Y)\in\mathbb{R}^n\times\mathbb{R}^m$ be a pair of random variables with joint density $p(x,y)$. I am interested in the regularity properties of the conditional densities $p(y|x)$ and $p(x|y)$ …