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Brascamp-Lieb inequality and Wiener integrals for centred Bessel processes

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Stochastic Partial Differential Equations (SPDEs)

The Brascamp-Lieb inequality is a kind of moment inequality and used in mathematical physics. This inequality gives a good control for measures by means of Gaussian measures if they have log-concave densities. We apply it to the stochastic integrals of Wiener’s type for centered $delta$-dimensional Bessel processes with $delta ge 3$ and their variants. Some extensions of such moment inequalities are also discussed. The talk is based on joint works with Hariya, Hirsch, Yor, Ishitani and Toukairin.

This talk is part of the Isaac Newton Institute Seminar Series series.

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