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Results tagged with stochastic-processes
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user 56693
A stochastic process is a collection of random variables usually indexed by a totally ordered set.
-2
votes
1
answer
913
views
On the Cauchy-Schwarz Inequality for trace function of random matrices
In the deterministic case, for two matrices $A$ and $B$ with appropriate matrices, we know that
$$tr((A^{T}B)^{2})\leq tr(A^{T}A)tr(B^{T}B)$$
which is the trace form of Cauchy-Schwarz-Inequality (CSI) …
- 77
3
votes
1
answer
2k
views
When do supremum and expectation commute?
This is an alternative form of the question in When do maximum and expectation commute?
When we looking for conditions on $G(t,x(t))$ such that
$$
\sup\limits_{t\in [0,N]}E[G(t,X(t))]=E[\sup\limits_{ …
- 77