On complex hypercontractivity
Gaussian-Hilbert spaceGram-Schmidt orthogonalization processHermite polynomialsMehler transformrandom variablestochastic calculusWick product
Spaces of measurable functions ((L^p)-spaces, Orlicz spaces, Köthe function spaces, Lorentz spaces, rearrangement invariant spaces, ideal spaces, etc.) (46E30) Measures and integration on abstract linear spaces (46G12) Linear operators on special spaces (weighted shifts, operators on sequence spaces, etc.) (47B37) Probability theory on linear topological spaces (60B11) (L^p)-limit theorems (60F25) Stochastic integrals (60H05)
Let \(X\) be an \(N(0,1)\) random variable defined on a probability space \((\Omega,{\mathcal F},P)\) and regarded as an element of \(L^2(P)\). The standard Gram-Schmidt orthogonalization process applied to the sequence \(1,X,X^2,X^3,\dots\) in \(L^2(P)\) produces the sequence \(h_0= 1\), \(h_1= X\), \(h_2= X^2-1\), \(h_3= X^3- 3X,\dots\) of Hermite polynomials. For \(p\geq 1\), let \(L^p(X)\) denote the closed linear span over \(\mathbb{C}\) of the \(h_n\) with respect to the \(L^p\)-norm. The \(h_n\) form a basic sequence in this space. Given \(z\in\mathbb{C}\), define the Mehler transform \(M_z: L^p(X)\to L^q(X)\) by \(M_z\left(\sum^\infty_{n=0} a_nh_n\right)= \sum^\infty_{n= 0} a_nz^n h_n\). The main result of this paper is a new proof of a theorem by Weissler and Epperson which runs as follows: Let \(1\leq p\leq q<\infty\). Then we have \(\| M_z\|= 1\) if and only if (i) \(| z|^2\leq p/q\), and (ii) \((q- 1)| z|^4- (p+q-2)(\text{Re }z)^2- (pq- p-q+ 2)(\text{Im }z)^2+ (p-1)\geq 0\). Moreover, if these conditions fail, then \(M_z\) is not even a bounded operator. Using the notion of Wick product, the author then greatly extends this result from a single \(X\) to a (closed) subspace of \(L^2(P)\) consisting of centred Gaussian random variables. Such a space is called a Gaussian-Hilbert space [see his ``Gaussian-Hilbert spaces (Cambridge, 1997), Chapter III], and it is natural to consider two such spaces, \(H\) and \(H'\), connected by a basic operator \(A: H\to H'\). (With the single \(X\), we have \(H= H'=\) linear span of \(X\), and \(A= zI\), where \(I\) is the identity operator on \(H\)).
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