Exact norms of a Stein-type operator and associated stochastic orderings (Q1424389): Difference between revisions

The authors find exact norms of operators associated with the Stein operator \[ Sh(x)={\frac{1}{\varphi(x)}}\int^{x}_{-\infty} [h(t)-Eh(\eta)]\varphi(t)dt, \] where \(\eta\) is a standard normal variable with density function \(\varphi(x)\), and which provides solution to the equation \((Sh)'(x)-xSh(x)=h(x)-Eh(\eta).\) Denote by \(D\) the usual differential operator, and let \(W_{i}\), \(i=0,1,2, \ldots ,\) be the space of functions \(h\) with bounded semi-norm \[ \parallel h \parallel_{i}:=\parallel D^{i}h \parallel_{\text{var}} = {\frac{1}{i!}}\sup\left\{\sum_j | D^{i}h(x_{j})-D^{i}h(x_{j-1})| : \cdots x_{j-1}<x_{j}<x_{j+1} \cdots \right\}. \] The norm of the operators \(D^{i}S\) is defined by \[ \parallel D^{i}S\parallel_{i} := \sup_{h:\parallel h \parallel_{i}}\parallel D^{i}Sh \parallel_{\infty}, \;\;i=0,1, \ldots, \] where \(\parallel h \parallel_{\infty}=\sup_{x}| h(x)| \) is the usual supremum norm. The main result states that for all nonnegative integers \(i\), \( \parallel D^{i}S \parallel_{i} = E^{2}| \eta| ^{i}\sqrt{\pi/8}\). In the proof of the main result Laplace transform technique and the key lemma, which provides the stochastic comparison in distribution between the difference of two independent transformed normal variables and the standard normal distribution, are used to derive various integral representations of the operator \(S\).