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math.PR2026
Derivatives Along a Curve and the Functional Stochastic Calculus
Christian Houdré, Jorge Víquez
Motivated by extending the functional stochastic calculus, to important functionals to which it does not apply, a notion of functional derivative along a curve is introduced. This…
math.PR2024
A covariance representation and an elementary proof of the Gaussian concentration inequality
Christian Houdré
Via a covariance representation based on characteristic functions, a known elementary proof of the Gaussian concentration inequality is presented. A few other applications are brie…