In an earlier post, I described four simple thought experiments, involving some black boxes and two or more participants. As described there, the results of these experiments were inconsistent with any classical description, assuming that the boxes cannot communicate. However, I also stated that all of these experiments are consistent with quantum probability, and that I would give the mathematical details in a further post. I will do this now. Continue reading “Quantum Entanglement States”

# The Ito-Tanaka-Meyer Formula

Ito’s lemma is one of the most important and useful results in the theory of stochastic calculus. This is a stochastic generalization of the chain rule, or change of variables formula, and differs from the classical deterministic formulas by the presence of a quadratic variation term. One drawback which can limit the applicability of Ito’s lemma in some situations, is that it only applies for twice continuously differentiable functions. However, the quadratic variation term can alternatively be expressed using *local times*, which relaxes the differentiability requirement. This generalization of Ito’s lemma was derived by Tanaka and Meyer, and applies to one dimensional semimartingales.

The local time of a stochastic process *X* at a fixed level *x* can be written, very informally, as an integral of a Dirac delta function with respect to the continuous part of the quadratic variation ,

(1) |

This was explained in an earlier post. As the Dirac delta is only a distribution, and not a true function, equation (1) is not really a well-defined mathematical expression. However, as we saw, with some manipulation a valid expression can be obtained which defines the local time whenever *X* is a semimartingale.

Going in a slightly different direction, we can try multiplying (1) by a bounded measurable function and integrating over *x*. Commuting the order of integration on the right hand side, and applying the defining property of the delta function, that is equal to , gives

(2) |

By eliminating the delta function, the right hand side has been transformed into a well-defined expression. In fact, it is now the *left* side of the identity that is a problem, since the local time was only defined up to probability one at each level *x*. Ignoring this issue for the moment, recall the version of Ito’s lemma for general non-continuous semimartingales,

(3) |

where . Equation (2) allows us to express this quadratic variation term using local times,

The benefit of this form is that, even though it still uses the second derivative of , it is only really necessary for this to exist in a weaker, measure theoretic, sense. Suppose that is convex, or a linear combination of convex functions. Then, its right-hand derivative exists, and is itself of locally finite variation. Hence, the Stieltjes integral exists. The infinitesimal is alternatively written and, in the twice continuously differentiable case, equals . Then,

(4) |

Using this expression in (3) gives the Ito-Tanaka-Meyer formula. Continue reading “The Ito-Tanaka-Meyer Formula”

# The Stochastic Fubini Theorem

Fubini’s theorem states that, subject to precise conditions, it is possible to switch the order of integration when computing double integrals. In the theory of stochastic calculus, we also encounter double integrals and would like to be able to commute their order. However, since these can involve stochastic integration rather than the usual deterministic case, the classical results are not always applicable. To help with such cases, we could do with a new stochastic version of Fubini’s theorem. Here, I will consider the situation where one integral is of the standard kind with respect to a finite measure, and the other is stochastic. To start, recall the classical Fubini theorem.

Theorem 1 (Fubini)Let and be finite measure spaces, and be a bounded -measurable function. Then,is -measurable,

is -measurable, and,

(1)

# WordPress LaTeX Issues

This is just a brief notice. There appears to be a new problem with WordPress.com displaying LaTeX maths equations. The issue appears to be sporadic, with some of the formulas on both old and new posts now showing “Formula does not parse”. It is affecting other blogs hosted on WordPress too. Thanks to Timothy Gowers on twitter for pointing this out.

The WordPress team are looking into it. Hopefully this will be fixed soon. **Update: This issue has now been fixed.**

For now, the following method can be used to display the equations using MathJax instead. Click here, then drag the displayed link to the address bar of your browser. Then click on it while viewing any page on this blog, and all formulas will be displayed with MathJax. Magic!

Some tests follow. At the time of writing, some of the following formulas show an error:

Test: .

Another test:

Yet another test:

And another:

And another:

And another:

yet more:

and more:

and more:

more:

# An Unexpected Quartic Solution

Many years ago, while in high school, I tried my hand at solving cubic and quartic formulas. Although there are entirely systematic approaches, using Galois theory, this was not something that I was familiar with at the time. I had just heard that it is possible. Here, ‘solving’ means to find an expression for the roots of the polynomial in terms of its coefficients, involving the standard arithmetical operations of addition, subtraction, multiplication and division, as well as extracting square roots, cube roots, etc.

The solution for cubics went very well. In class one day, the teacher wrote a specific example of a quartic on the blackboard, and proceeded to solve it by reducing to two easy quadratics. The reason that his example worked so easily is because the coefficients formed a palindrome. That is, they were the same when written in reverse order. As an example, consider the equation,

If we divide through by then, with a little rearranging, this gives,

As a quadratic in , this is easily solved. One solution is . Multiplying by *x* and rearranging gives a new quadratic,

By the standard formula for quadratics, we obtain

It can be checked that this does give two real solutions to the original quartic.

Now, the approach that I attempted for the general quartic was to apply a substitution in order to simplify it, so that a similar method can be applied. Unfortunately, this resulted in a very messy equation, which seemed to be giving a *sextic*. That is, I went from the original fourth order polynomial, to what was looking like a sixth order one. This was complicating the problem, and getting further away from the goal than where I had started. I am not sure why I did not give up at that point, but I continued. Then, something amazing happened. Computing the coefficients of the sixth, fifth and fourth powers in this sextic, they all vanished! In fact, I had succeeded in reducing the quartic to a cubic, which can be solved. This still seems surprising, that such a messy looking expression should cancel out like this, in just the way that was needed. See equation (2) below for what I am talking about. As this was such a surprise at the time, and is still so now, I have decided to write it up in this post. It just demonstrates that, even if something seems hopeless, if you continue regardless then everything might just fall into place. Continue reading “An Unexpected Quartic Solution”

# Quantum Entanglement

Quantum entanglement is one of the most striking differences between the behaviour of the universe described by quantum theory, and that given by classical physics. If two physical systems interact then, even if they later separate, their future evolutions can no longer be considered purely in isolation. Any attempt to describe the systems with classical logic leads inevitably to an apparent link between them, where simply observing one instantaneously impacts the state of the other. This effect remains, regardless of how far apart the systems become.

As it is a very famous quantum phenomenon, a lot has been written about entanglement in both the scientific and popular literature. However, it does still seem to be frequently misunderstood, with many surrounding misconceptions. I will attempt to explain the effects of entanglement in as straightforward a way as possible, with some very basic *thought experiments*. These can be followed without any understanding of what physical processes may be going on underneath. They only involve pressing a button on a box and observing the colour of a light bulb mounted on it. In fact, this is one of the features of quantum entanglement. It does not matter how you describe the physical world, whether you think of things as particles, waves, or whatever. Entanglement is an observable property independently of how, or even if, we try to describe the physical processes. Continue reading “Quantum Entanglement”

# What’s in a Name?

That which we call a rose, by any other name would smell as sweet.

You may have noticed, if you pay attention to the address bar, that the domain of this site has changed, and it is pretty sweet! We are now almostsuremath.com, not almostsure.wordpress.com.

It would have been sweeter still to be almostsure.com, but the owner of that domain is not wanting to give it up. The new url contains the name of this site, and is descriptive, so is still pretty good.

It is not just a name change though. Ads have gone away! I dug into my pocket and found the £3 a month to get rid of ads and map my own domain here. Also, switching to the new domain opens up possibilities…such as a self hosted wordpress site, more customization, mathjax, etc.

# Is this a Blog?

Well, according to the tagline, it is a “random mathematical blog”, and is hosted on the popular *blogging* platform, WordPress.com. According to Wikipedia, a blog is a

discussion or informational website published on the World Wide Web consisting of

discrete, ofteninformaldiary-styletext entries (posts).

Most of the posts on this site are not especially discrete, consist of some quite formal maths, and are not at all diary style. According to wix.com, blogs are

regularly updatedwebsites that provide essential insights into a certain topic.

I like to think think that this site provides essential insights into stochastic calculus and probability theory, but how regular is regular? Daily? To qualify, it should probably be weekly, at least. Here, I can go a month or so without updating. It has sometimes been significantly longer between updates. I try and write posts containing proper rigorous mathematics, and to explain things as well as I can. The style that I aim for in many of the posts here are not unlike you might see in published maths papers or in textbooks. These take some time, and I cannot just rush out a post containing detailed proofs and explanations of mathematical theory. It is not my job, just something that I like to do. I like to work through advanced maths subjects, prove results, and to get a good understanding of these. It would be possible to post weekly, but the style would not be the same and the mathematical content would be much reduced and at a shallower level, which is not what I would enjoy doing.

So, no, this is not a blog!

I should probably change the tagline. This is a random mathematical *website*. I would however like to change the style of the site a bit. The idea is to update with detailed maths posts, as always, but not on a weekly basis. However, I am inclined to also do some weekly updates. Just short updates on mathematical subjects, or anything related to this website. I’ll see how it goes…

# The Khintchine Inequality

For a Rademacher sequence and square summable sequence of real numbers , the Khintchine inequality provides upper and lower bounds for the moments of the random variable,

We use for the space of square summable real sequences and

for the associated Banach norm.

Theorem 1 (Khintchine)For each , there exists positive constants such that,

(1)

for all .

# Rademacher Series

The Rademacher distribution is probably the simplest nontrivial probability distribution that you can imagine. This is a discrete distribution taking only the two possible values , each occurring with equal probability. A random variable *X* has the Rademacher distribution if

A *Randemacher sequence* is an IID sequence of Rademacher random variables,

Recall that the partial sums of a Rademacher sequence is a simple random walk. Generalizing a bit, we can consider scaling by a sequence of real weights , so that . I will concentrate on infinite sums, as *N* goes to infinity, which will clearly include the finite Rademacher sums as the subset with only finitely many nonzero weights.

Rademacher series serve as simple prototypes of more general IID series, but also have applications in various areas. Results include concentration and anti-concentration inequalities, and the Khintchine inequality, which imply various properties of spaces and of linear maps between them. For example, in my notes constructing the stochastic integral starting from a minimal set of assumptions, the version of the Khintchine inequality was required. Rademacher series are also interesting in their own right, and a source of some very simple statements which are nevertheless quite difficult to prove, some of which are still open problems. See, for example, Some explorations on two conjectures about Rademacher sequences by Hu, Lan and Sun. As I would like to look at some of these problems in the blog, I include this post to outline the basic constructions. One intriguing aspect of Rademacher series, is the way that they mix discrete distributions with combinatorial aspects, and continuous distributions. On the one hand, by the central limit theorem, Rademacher series can often be approximated well by a Gaussian distribution but, on the other hand, they depend on the discrete set of signs of the individual variables in the sum. Continue reading “Rademacher Series”