Department of Mathematics

Probability

  •  Shlomo Levental, MSU
  •  Poincare type inequalities via 1-dimensional Malliavin calculus
  •  03/21/2019
  •  3:00 PM - 3:50 PM
  •  C405 Wells Hall

We will review briefly 3 types of operators which are mapping spaces of real-valued functions which are defined on the real line equipped with standard normal probability measure. Those are the derivative, divergence and Ornstein-Uklenbeck operators. There are simple formulas that describe the relationships between those operators. Using those formulas the proofs of the following will be presented: 1. Poincare inequality : The variance of a function of N(0,1) is dominated by the second moment of its derivative. 2. An upper bound to the Wasserstein distance between the distribution of a function of N(0,1) (the function has mean 0 and standard deviation 1) and N(0,1) itself. This upper bound is (up to a constant) the multiplication of the L4 norm of the function derivative and the L4 norm of the function 2nd derivative. The material is based on Nourdin and Peccati book.

 

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Department of Mathematics
Michigan State University
619 Red Cedar Road
C212 Wells Hall
East Lansing, MI 48824

Phone: (517) 353-0844
Fax: (517) 432-1562

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