Universal bounds and monotonicity properties of ratios of Hermite and parabolic cylinder functions

DOI10.1090/PROC/14896MaRDI QIDQ5221357zbMATH OpenOpenAlexWikidataFDO

Authors Torben Koch

Publication date 25 March 2020

Published in Proceedings of the American Mathematical Society (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1905.10274

zbMATH Keywords

Hermite functionOrnstein-Uhlenbeck processparabolic cylinder functionTuran-type inequalities

Mathematics Subject Classification ID

Inequalities involving other types of functions (26D07) Bessel and Airy functions, cylinder functions, ({}_0F_1) (33C10) Laplace transform (44A10) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60)

Abstract: We obtain so far unproved properties of a ratio involving a class of Hermite and parabolic cylinder functions. Those ratios are shown to be strictly decreasing and bounded by universal constants. Differently to usual analytic approaches, we employ simple purely probabilistic arguments to derive our results. In particular, we exploit the relation between Hermite and parabolic cylinder functions and the eigenfunctions of the infinitesimal generator of the Ornstein-Uhlenbeck process. As a byproduct, we obtain Tur'an type inequalities.

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Cited in

(4)

• Optimal installation of solar panels with price impact: a solvable singular stochastic control problem
• Uniform (very) sharp bounds for ratios of parabolic cylinder functions
• Convolution of beta prime distribution
• On bounds for ratios of contiguous hypergeometric functions

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