All Questions
Tagged with fa.functional-analysis pr.probability
596
questions
93
votes
1
answer
11k
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The mathematical theory of Feynman integrals
It is well known that Feynman integrals are one of the tools that physicists have and mathematicians haven't, sadly.
Arguably, they are the most important such tool. Briefly, the question I'd like to ...
65
votes
9
answers
11k
views
Polish spaces in probability
Probabilists often work with Polish spaces, though it is not always very clear where this assumption is needed.
Question: What can go wrong when doing probability on non-Polish spaces?
40
votes
5
answers
5k
views
"Entropy" proof of Brunn-Minkowski Inequality?
I read in an information theory textbook the Brunn-Minkowski inequality follows from the Entropy Power inequality.
The first one says that if $A,B$ are convex polygons in $\mathbb{R}^d$, then
$$ m(...
30
votes
1
answer
1k
views
Functional-analytic proof of the existence of non-symmetric random variables with vanishing odd moments
It is known that a random variable $X$ which is symmetric about $0$ (i.e $X$ and $-X$ have the same distribution) must have all its odd moments (when they exist!) equal to zero. The converse is a ...
26
votes
5
answers
3k
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Nice applications for Schwartz distributions
I am to teach a second year grad course in analysis with focus on Schwartz distributions. Among the core topics I intend to cover are:
Some multilinear algebra including the Kernel Theorem and ...
25
votes
2
answers
3k
views
Understanding of rough path
A rough path is defined as an ordered pair
$ (X, \mathbb X)$, where $X$ is a path mapping from $[0,T]$ to some Banach space $V$
and $\mathbb X:[0,T]^2 \mapsto V^2$ is another mapping for additional ...
25
votes
3
answers
10k
views
L1 distance between gaussian measures
L1 distance between gaussian measures: Definition
Let $P_1$ and $P_0$ be two gaussian measures on $\mathbb{R}^p$ with respective "mean,Variance" $m_1,C_1$ and $m_0,C_0$ (I assume matrices have full ...
23
votes
2
answers
7k
views
What is a Gaussian measure?
Let $X$ be a topological affine space. A Gaussian measure on $X$ is characterized by the property that its finite-dimensional projections are multivariate Gaussian distributions.
Is there a direct ...
23
votes
1
answer
1k
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How do mathematicians and physicists think of SL(2,R) acting on Gaussian functions?
Let $\mathcal{N}(\mu,\sigma^2)$ denote the Gaussian distribution on $\mathbb{R}$:
$$ \mathcal{N}(\mu,\sigma^2)(x) = \frac{1}{\sqrt{2\pi\sigma^2}} e^{-\frac{(x-\mu)^2}{2\sigma^2}}.$$
A Gaussian ...
21
votes
2
answers
2k
views
A measure on the space of probability measures
This question was originaly posted in the stackexchange https://math.stackexchange.com/questions/1226701/a-measure-on-the-space-of-probability-measures but since it only got a comment I decided to ...
21
votes
2
answers
2k
views
A strange variant of the Gaussian log-Sobolev inequality
Let $\phi : \mathbb{R}^d \to \mathbb{R}$ be a convex function, and assume that it grows at most linearly at infinity for simplicity. Denote by $\gamma$ the standard Gaussian measure on $\mathbb{R}^d$, ...
20
votes
2
answers
2k
views
Uncertainty principle and Cramer-Rao bound - is there relation?
Just out of curiosity.
The two things sounds a little bit similar - 1) Uncertainty principle 2) Cramer-Rao bound.
Saying that we cannot measure something with certain accuracy.
However looking closer ...
20
votes
2
answers
890
views
A functional inequality about log-concave functions
Let $f,g$ be smooth even log-concave functions on $\mathbb{R}^{n}$, i.e.,$f=e^{-F(x)}, g=e^{-G(x)}$ for some even convex functions $F(x),G(x)$. Is it true that:
$$
\int_{\mathbb{R}^{n}} \langle \...
18
votes
1
answer
3k
views
Let a function f have all moments zero. What conditions force f to be identically zero?
Throughout, let $f$ be a Lebesgue measurable function (or continuous if you wish, but this is probably no easier). (Questions with distributions etc. are possible also but I want to keep things simple ...
18
votes
4
answers
1k
views
Reference for a strong intermediate value theorem for measures
Let $\mu$ be a finite nonatomic measure on a measurable space $(X,\Sigma)$, and for simplicity assume that $\mu(X) = 1$. There is a well-known "intermediate value theorem" of Sierpiński that states ...