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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 …
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 …