Related papers: Calls, zonoids, peacocks and log-concavity
We investigate quantitative implications of the notion of log-concavity through a probabilistic interpretation. In particular, we derive concentration inequalities, moment and entropy bounds for random variables satisfying a precise degree…
We show that a mixture of Beta distributions has log-concave density whenever the mixing weights are themselves log-concave. Some economic and statistical applications are provided in the last section.
We introduce the notion of logarithmically concave (or log-concave) sequences in Coding Theory. A sequence $a_0, a_1, \dots, a_n$ of real numbers is called log-concave if $a_i^2 \ge a_{i-1}a_{i+1}$ for all $1 \le i \le n-1$. A natural…
We study a class of convex bodies called operatopes that are obtained by taking Minkowski sums of affine images of an operator norm ball. This notion generalizes that of zonotopes which are Minkowksi sums of line segments. Taking the limit…
We prove that in a globally subanalytic family of convex bodies the set of zonoids is log-analytic, and in particular it is definable in the o-minimal structure generated by globally subanalytic sets and the graph of the exponential…
Menon's proof of the preservation of log-concavity of sequences under convolution becomes simpler when adapted to 2-sided infinite sequences. Under assumption of log-concavity of two 2-sided infinite sequences, the existence of the…
We investigate the equilibrium behavior for the decentralized cheap talk problem for real random variables and quadratic cost criteria in which an encoder and a decoder have misaligned objective functions. In prior work, it has been shown…
In this paper we show how to relate European call and put options on multiple assets to certain convex bodies called lift zonoids. Based on this, geometric properties can be translated into economic statements and vice versa. For instance,…
It is a basic property of the entropy in statistical physics that is concave as a function of energy. The analog of this in representation theory would be the concavity of the logarithm of the multiplicity of an irreducible representation…
A concentration property of the functional ${-}\log f(X)$ is demonstrated, when a random vector X has a log-concave density f on $\mathbb{R}^n$. This concentration property implies in particular an extension of the Shannon-McMillan-Breiman…
I summarize Bagnoli and Bergstrom (2005)'s review on log-concave functions, make several corrections, and augment the discussion with further results that can be useful in obtaining monotone hazard rate. I also provide an application of…
Using calculus we show how to prove some combinatorial inequalities of the type log-concavity or log-convexity. It is shown by this method that binomial coefficients and Stirling numbers of the first and second kinds are log-concave, and…
This is the first in a series of articles devoted to providing a foundation for a theory of flocks of arbitrary cones in PG(3,q). The desire to have such a theory stems from a need to better understand the very significant and applicable…
We show that the density of $Z=\mathop {\operatorname {argmax}}\{W(t)-t^2\}$, sometimes known as Chernoff's density, is log-concave. We conjecture that Chernoff's density is strongly log-concave or "super-Gaussian", and provide evidence in…
We extend Hoggar's theorem that the sum of two independent discrete-valued log-concave random variables is itself log-concave. We introduce conditions under which the result still holds for dependent variables. We argue that these…
We show that several general classes of stochastic processes satisfy a functional co-monotony principle, including processes with independent increments, Brownian diffusions, Liouville processes. As a first application, we recover some…
We show that every multilinear map between Euclidean spaces induces a unique, continuous, Minkowski multilinear map of the corresponding real cones of zonoids. Applied to the wedge product of the exterior algebra of a Euclidean space, this…
A sequence $\{z_n\}_{n\geq0}$ is called ratio log-convex in the sense that the ratio sequence $\{\frac{z_{n+1}}{z_n}\}_{n\geq0}$ is log-convex. Based on a three-term recurrence for sequences, we develop techniques for dealing with the ratio…
We provide an equivalent log-concavity condition to the mean residual life (MRL) ordering for real-valued processes. This result, combined with classical properties of total positivity of order 2, allows to exhibit new families of…
We compare weighted sums of i.i.d. positive random variables according to the usual stochastic order. The main inequalities are derived using majorization techniques under certain log-concavity assumptions. Specifically, let $Y_i$ be i.i.d.…