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Tom
  • Member for 8 years, 2 months
  • Last seen more than a month ago
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When does a solution to SDE have full support?
@PierrePC and ThomasKojar, thanks for the pointers. This gives me quite a bit to go on. The Stroock-Varadhan-type support theorems seem pretty complicated in terms of their conditions, so I'm still hopeful there's something simpler that would ensure full support, even if it's not as generally stated as possible (the constant diffusion coefficient might help here also).
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Upper-bound on the Fisher-Rao distance between multivariate Gaussian measures by the KL-divergence
I don’t know of one, but I’m not very familiar with the information geometry literature.
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Is the Legendre transform as an operator Lipschitz?
Correct (provided one handles the indeterminate case mentioned).
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Is there an inequality relation between KL-divergence and $L_2$ norm?
Corrected 3 appearances of max(\tau_1,\tau_2), where it should be 1/max(\tau_1,\tau_2).
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Transforming two smooth densities to the same density
measurable should have been bimeasurable, since you need f(A) a measurable set in the target space.
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