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Results tagged with pr.probability
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user 27698
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
748
views
Sub-exponential tail implies Poincare inequality
Assume we have a probability measure $\mu$ on $\mathbb R^n$. Assume it satisfies
$$
\mu(||x|| > u) \le Ce^{-au} \ \ \forall u > 0
$$
In other words, its tail is dominated by an exponential function.
T …
- 45
1
vote
0
answers
217
views
Exponential Ergodicity for Reflected Brownian Motion in a Bounded Domain
Assume we have a reflected Brownian motion in a smooth bounded domain $D \subseteq \mathbb R^d$. It can have nonzero (but constant) drift, non-identity (but constant) covariance matrix, and oblique (= …
- 45