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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.

3 votes
0 answers
82 views

For a given Gaussian vector, which rectangular parallelepiped with unit volum has the larges...

Let $X$ be a centered Gaussian vector of $\mathbb{R}^n$ and $\Gamma$ its covariance matrix. We assume that diagonal coefficients of $\Gamma$ are all equal to 1. We are looking for a rectangular paral …
Patrick Tardivel's user avatar
7 votes
1 answer
580 views

Inequality for the maximum of Gaussian variables

Let $X=(X_1,\dots,X_n)$ and $Y=(Y_1,\dots,Y_n)$ be centered Gaussian vectors with variance matrix $\Gamma_X$ and $\Gamma_Y$. We assume that the matrix $\Gamma_Y-\Gamma_X$ is positive definite. Is it …
Patrick Tardivel's user avatar