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Probability and Computational Finance Seminar
Joseph Neeman University of California, Berkeley Title: Gaussian noise stability Abstract: Given two correlated Gaussian vectors, X and Y, the noise stability of a set A is the probability that both X and Y fall in A. In 1985, C. Borell proved that half-spaces maximize the noise stability among all sets of a given Gaussian measure. We will give a new, and simpler, proof of this fact, along with some extensions and applications. Specifically, we will discuss hitting times for the Ornstein-Uhlenbeck process, and a noisy Gaussian analogue of the "double bubble" problem. Date: Thursday, January 29, 2015 Time: 4:30 pm Location: Wean Hall 8220 Submitted by: Bohman |