Related papers: Contractive coupling rates and curvature lower bou…
A theorem of L. Caffarelli implies the existence of a map pushing forward a source Gaussian measure to a target measure which is more log-concave than the source one, which contracts Euclidean distance (in fact, Caffarelli showed that the…
This article develops general conditions for weak convergence of adaptive Markov chain Monte Carlo processes and is shown to imply a weak law of large numbers for bounded Lipschitz continuous functions. This allows an estimation theory for…
The data processing inequality is central to information theory and motivates the study of monotonic divergences. However, it is not clear operationally we need to consider all such divergences. We establish a simple method for Pinsker…
The notion of a successful coupling of Markov processes, based on the idea that both components of the coupled system ``intersect'' in finite time with probability one, is extended to cover situations when the coupling is unnecessarily…
Recently, Chatterjee has introduced a new coefficient of correlation which has several natural properties. In particular, the coefficient attains its maximal value if and only if one variable is a measurable function of the other variable.…
We introduce a Laplacian separation principle for the the eikonal equation on Markov chains. As application, we prove an isoperimetric concentration inequality for Markov chains with non-negative Ollivier curvature. That is, every single…
We introduce "logically contractive mappings" nonexpansive self-maps that contract along a subsequence of iterates and prove a fixed-point theorem that extends Banach's principle. We obtain event-indexed convergence rates and, under bounded…
Contraction analysis considers the distance between two adjacent trajectories. If this distance is contracting, then trajectories have the same long-term behavior. The main advantage of this analysis is that it is independent of the…
In this paper we introduce a new method to produce lower bounds for the Waring rank of symmetric tensors. We also introduce the notion of $e$-computability and we use it to prove that Strassen's Conjecture holds in infinitely many new…
We discuss our work on pointwise inequalities for the gradient which are connected with the isoperimetric profile associated to a given geometry. We show how they can be used to unify certain aspects of the theory of Sobolev inequalities.…
Markov chain models are used in various fields, such behavioral sciences or econometrics. Although the goodness of fit of the model is usually assessed by large sample approximation, it is desirable to use conditional tests if the sample…
Let $u(\cdot,\cdot)$ be the Caffarelli-Silvestre extension of $f.$ The first goal of this article is to establish the fractional trace type inequalities involving the Caffarelli-Silvestre extension $u(\cdot,\cdot)$ of $f.$ In doing so,…
We give a sufficient and necessary condition for a probability measure $\mu$ on the real line to satisfy the logarithmic Sobolev inequality for convex functions. The condition is expressed in terms of the unique left-continuous and…
We develop a formalism that allows us to describe Markov compacta with finite sets of diagrams that are building blocks of the entire sequence. This encodes complex, continuous spaces with discrete collections of combinatorial objects. We…
Couplings play a central role in the analysis of Markov chain Monte Carlo algorithms and appear increasingly often in the algorithms themselves, e.g. in convergence diagnostics, parallelization, and variance reduction techniques. Existing…
Mixture distributions are extensively used as a modeling tool in diverse areas from machine learning to communications engineering to physics, and obtaining bounds on the entropy of probability distributions is of fundamental importance in…
This paper discusses several techniques which may be used for applying the coupling method to solutions of stochastic differential equations (SDEs). They all work in dimension $d\ge 1$, although, in $d=1$ the most natural way is to use…
We observe that the technique of Markov contraction can be used to establish measure concentration for a broad class of non-contracting chains. In particular, geometric ergodicity provides a simple and versatile framework. This leads to a…
The first aims of this work are to endorse the advent of finitely additive set functions as equilibrium states and the possibility to replace the metric entropy by an upper semi-continuous map associated to a general variational principle.…
In this article, we consider a Markov-modulated model with jumps for short rate dynamics. We obtain closed formulas for the term structure and forward rates using the properties of the jump-telegraph process and the expectation hypothesis.…