Questions about abstract measure and integral theory. Also concerns such properties as measurability of maps and sets.

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9
votes
0answers
149 views

Haar measurable sets and quotient maps

Let $G$ be a locally compact Hausdorff group with a Haar measure $\mu$, let $H$ be a closed normal subgroup of $G$, and let $q: G \to G/H$ be the quotient homomorphism. Let $\nu$ be a Haar measure ...
0
votes
1answer
120 views

Is any invariant, ergodic measure with full support on an irreducible Markov shift a Markov measure?

I have this question I have been struggling with for a while. It seems rather intuitive, however, I was not able to proof it yet: Let $\Omega = \{1,2,\cdots,N\}$ a finite alphabet, $\Sigma \subset ...
2
votes
1answer
75 views

Measurability of functions with multiple parameters

For a formalisation of the Giry monad in a theorem prover, I think I require some notion of measurability of “curried” functions. I.e. I have measure spaces $A$, $B$, and $C$ and a function $f: A ...
2
votes
1answer
85 views

Convex interaction energy

Does anybody know examples of absolutely continuous probability measures $\mu_0,\mu_1$ on $\mathbb{R}^n$ with finite 2nd moments such that $$ \frac{d^2}{dt^2}\left(\int_{\mathbb{R}^n\times ...
9
votes
2answers
338 views

Entropy for Haar measure on $O(n)$

Let $G$ be a locally compact group. A measure $\mu$ is the right-Haar measure on $G$ if for every $g\in G$ and $E\subseteq G$ Borel set $\mu(Eg)=\mu(E)$. It is known that every locally compact group ...
7
votes
1answer
251 views

Absolute continuity reflected in Fourier coefficients?

Imagine $\mu$ and $\nu$ are two Borel probabilty measures in the interval $[0,1]$. We say that $\mu$ is absolutely continuous with respect to $\nu$, if for every measurable set $A$ such that ...
3
votes
0answers
131 views

$f, \hat{f} \in L^{p}\cap L^{\infty} \implies f\in B(\mathbb R)$ (algebra of Fourier- Stieltjes transforms )?

For a bounded complex Borel measure $\mu$ on $\mathbb R$, we define, its Fourier-Stieltjes transform, $\hat{\mu}(y)= \int_{\mathbb R} e^{-2\pi ix\cdot y} d\mu(x); (y\in \mathbb R).$ Let $1\leq p \leq ...
15
votes
0answers
352 views

A question about small sets of reals

In ZFC, does there exist an uncountable set of reals $A$ such that for every closed measure zero set of reals $B$, $ A + B = \{a+b : a \in A, b \in B\} \neq \mathbb{R}$? This question is motivated ...
1
vote
1answer
326 views

question about uniform continuity under Skorokhod Metric

Let $D=D([0,1], \mathbb{R})$ be the space of cadlag functions $x$ with $x(0)=0$ and $x$ is continuous on $1$. If we endow $D$ with Skorokhod Metric, see: http://en.wikipedia.org/wiki/C%C3%A0dl%C3%A0g ...
4
votes
1answer
163 views

Homeomorphisms that admit a decomposition

Let $I^n:=[0,1]^n$ and $T$ be a homeomorphism on $I^n$. If $T$ admits a decomposition of $I^n=A\cup B\cup C$ with $A,B,C$ Lebesgue measurable and mutually disjoint such that $$T(A)=B, T(B)=A \ ...
3
votes
1answer
290 views

Multivariate monotonic function

Let $f(x_1, \dots, x_n)$ be a real function on the $n$-dimensional unit cube (that is, mapping $[0,1]^n \mapsto \mathbb{R}$). Assume furthermore that $f$ is monotonic in every coordinate, and that $f$ ...
-1
votes
2answers
163 views

conditional expectation under convex combinaison of probability measures(II)

Let $(\Omega,\mathcal{F})$ denote some measurable space. Let $P_1$ and $P_2$ denote respectively two probability measures. Now let $\mathcal{G}$ be some sub sigma-algebra of $\mathcal{F}$. Given a ...
1
vote
2answers
257 views

Empirical estimator for total variation distance between two product distributions

Let $X = (X_1, X_2, \ldots , X_n)$ be an $n$-dimensional random variable, where each $X_i$ is a random variable on finite discrete set $S$. In addition, $X_i$ are independent of each other (but not ...
4
votes
2answers
224 views

Tightness of Measures, Riesz Representation for locally compact spaces

Let $X$ be a locally compact, separable metric space and $\mu_n$ a sequence of probability measures on $S$. Let $\mathfrak{C}$ be a convergence determining class for the weak topology (for instance, ...
5
votes
1answer
464 views

Lebesgue measure of some set of irrational numbers

Let $(i_{n})$ be a strictly increasing sequence of natural numbers, $(v_{n})$ be an unbounded sequences of natural numbers and $M\geq 2$. Denote by $\mathcal{I}(i_{n}, v_{n}, M)$ the set of all ...
4
votes
0answers
196 views

Do all $L^{\infty}(\mu)$ spaces have the Grothendieck property?

Consider $L_{\infty}(\Omega,\Sigma,\mu)$, where $(\Omega,\Sigma,\mu)$ is any measure space. Does it it have the Grothendieck property? If the measure space is localizable, then it is true. The ...
3
votes
1answer
153 views

conditional expectation under convex combinaison of probability measures

Let $(\Omega,\mathcal{F})$ denote some measurable space. Let $P_1$ and $P_2$ denote respectively two probability measures. Now let $\mathcal{G}$ be some sub sigma-algebra of $\mathcal{F}$. Given a ...
1
vote
1answer
66 views

Measures of disjoint unions and complements of a collection of sets

Let $\mu$ be a probability measure. Let $\mathcal A$ be a collection of measurable sets and $D(\mathcal A)$ be the minimal $\lambda$-system (Dynkin system) containing $\mathcal A$. Is $\mu(D)$ for ...
2
votes
0answers
80 views

Existence of a conditional distribution

Let $X$ and $Y$ be standard Borel spaces and let $J$ be an analytic subset of $X\times \mathcal P(Y)$ where $\mathcal P(\Omega)$ is a set of probability measures on a Borel space $\Omega$ endowed ...
1
vote
0answers
60 views

Product of sigma-subadditive functions

Let us call a function $\mu : \mathcal{H} \to [0, \infty]$ $\sigma$-subadditive, if $\mu(A) \le \sum_{i \in I} \mu(A_i)$ for every $A \in \mathcal{H}$ and for every countable family $(A_i)_{i \in I}$ ...
4
votes
3answers
171 views

Is the range of a (nonnegative or signed) measure a closed set?

Halmos showed that the range of a non-negative, finite measure is a closed subset of real numbers. Is this true for non-negative, even infinite measures? Is this true for signed measures? If so, can ...
4
votes
0answers
184 views

Conditional expectation with respect to random closed sets

Short question If $X$ is a random closed set, and $Y$ is an integrable random variable, I would like a definition of the "conditional expectation" $$\mathbf{E}[Y \mid X\ni x].$$ Has this been worked ...
4
votes
1answer
136 views

General version of Skorokhod representation of random variables

Let $F: \mathbb{R} \to [0,1]$ be cumulative distribution function (cdf). The standard way to build a random variable $\tau$ on $([0,1],\mathcal{B},\text{Leb})$ with $F$ as its cdf is using the ...
3
votes
2answers
459 views

Riesz's representation theorem for non-locally compact spaces

Every version of Riesz's representation theorem (the one expressing linear functionals as integrals) that I have found so far assumes that the underlying topological space is locally-compact. (For ...
5
votes
1answer
79 views

Measurability of $\{ x \in X ; H_0 x \subset A \}$

Let $H$ be some Polish group and $X$ some standard Borel space. Assume that $H$ acts measurably on $X$, i.e. $(h,x) \mapsto hx$ is Borel. Let $H_0 \subset H$ and $A \subset X$ be some Borel sets. Is ...
3
votes
1answer
183 views

Is this integration by parts legitimate?

Let's consider in dimension $d\geq 3$ the Newton/riesz potential $f=I_2[g]$ $$ f(x)=\int_{R^d}\frac{1}{|x-y|^{d-2}}g(y)dy, $$ which solves $-\Delta f=g$ (up to positive normalizing constants, which I ...
2
votes
1answer
166 views

reference request: Riesz/Newton potential and HLS inequality in L1.logL1

Let's consider in dimension $d\geq 3$ the Newton/riesz potential $f=I_2[g]$ $$ f(x)=\int_{R^d}\frac{1}{|x-y|^{d-2}}g(y)dy, $$ which solves $-\Delta f=g$ (up to positive normalizing constants, which I ...
2
votes
1answer
103 views

Pullback of $L^p$ functions via exponential map

Let $M$ be a complete Riemannian manifold, endowed with its exponential map $\exp: TM \longrightarrow M$. For any $C^k$- function $u$, we get the Pullback $$ \exp^* u = u \circ \exp$$ which is in ...
2
votes
2answers
133 views

Integral over integrals with different measures

I was trying to construct a category of measurable spaces and 'nondeterministic functions' (not the usual category of measurable spaces); specifically a map $(\Omega, \Sigma)\rightarrow (\Omega', ...
9
votes
1answer
288 views

Is the “continuous on compact subsets” characterization of measurable functions actually useful?

According to Lusin's theorem (and the slightly weaker converse of that result), measurable functions on locally compact topological spaces that are equipped with a regular measure may be characterized ...
3
votes
2answers
275 views

Non-Polish Lebesgue probability space?

Any Lebesgue probability space is mod. 0 isomorphic to some Polish probability space (with $\sigma$-algebra the completion of Borel algebra, and some Borel probability). I would like to see an example ...
6
votes
1answer
164 views

Can Haar measure fail to be bi-invariant without conjugation shrinking a set?

(This is a slightly reformatted and clarified version of my question from math.SE, since I believe the answer there is wrong and its poster has not responded to my comment in over two weeks.) Let ...
5
votes
3answers
277 views

Does every separated measurable space embed into a power of $\{0,1\}$?

Let $(X,\Sigma)$ be a measurable space of arbitrary cardinality. I would like to understand under which conditions this space is isomorphic to a measurable subset of $\{0,1\}^\kappa$ for some cardinal ...
3
votes
1answer
113 views

Reference to definition of matrix log with domain SO(3) which is Borel measurable

I was trying to set up an inverse to matrix exponential $\exp:\mathrm{Skew}(3\times 3)\to SO(3)$ that "covers" the biggest possible domain and is Borel measurable. I was wondering if there is a ...
1
vote
1answer
106 views

Two equivalent measures on the real Grassmannians?

Denote by $G(n,k)$ the real Grassmannian, the set of $k$-dimensional subspaces of $\mathbb{R}^n$. It is a topological space, even metrizable (see A metric for Grassmannians), and so it is a ...
1
vote
0answers
109 views

Finding density of Haar measure relative to the Liouville volume measure on $\frac{G^{\mathbb{C}}}{P}$

Let $G$ be a connected compact Lie group and $G^{\mathbb{C}}$ be the complexification of the Lie group $G$ then we know that by polar decomposition we can write $G^{\mathbb{C}}\cong G\times ...
2
votes
1answer
179 views

The Universal Algebra of a sigma-Algebra

I am searching for the 'dual' algebraic structure of a Sigma Algebra. The notion of duallity is like on the case of the Boolean Algebra and Set Algera. If X is a set, the complement and intersection ...
0
votes
1answer
85 views

Constructing measures with support in a given set

I've recently come across the Frostmann Lemma (http://en.wikipedia.org/wiki/Frostman_lemma). Its proof involves constructing a measure with certain properties on a given subset of $\mathbb{R}^n$ (I'm ...
5
votes
2answers
261 views

Can Hausdorff dimension make sets into a Tropical Semiring?

If $X$ is a metric space, we construct Hausdorff $d$ measure from the outer measure \begin{equation} H^d(U) = \lim_{\delta \to 0}\inf\left\{\sum_{i=1}^\infty \left(\text{diam}(E_i)\right)^d : ...
4
votes
1answer
167 views

What does the set of cardinals admitting a k-additive measure look like?

Consider an infinite cardinal $\kappa$. Is it the case that the existence of a $\kappa$-additive measure on some infinite set implies the existence of such a measure on every infinite set of size ...
3
votes
1answer
250 views

When is the bound in Riesz-Thorin Interpolation Theorem attained?

Let me recall the statement of Riesz-Thorin theorem (see also http://en.wikipedia.org/wiki/Riesz%E2%80%93Thorin_theorem). Theorem (Riesz-Thorin): Let $(X,\mu)$ and $(Y,\nu)$ be $\sigma$-finite ...
0
votes
1answer
143 views

How to get Fourier–Stieltjes transform on $\mathbb R$ from the nice function on $\mathbb T$ (periodic on $\mathbb R$)? [closed]

We put, $M(\mathbb R)= $The set of bounded complex Borel measure $\mu$ on $\mathbb R$ and for $\mu \in M(\mathbb R)$, we define $||\mu||:= |\mu| (\mathbb R) = \text {total variation of } \ \mu $; and ...
5
votes
0answers
301 views

Skorohod theorem (weak convergence) on a discrete setting

I have a question about the application of Skorohod representation theorem. The questions arises in this paper about robust hedging in mathematical finance. It is about the very last equation on page ...
2
votes
1answer
153 views

Cameron-Martin theorem for non-Gaussian measures

Let $X$ be a locally convex topological linear space, and $\mathbb P$ be a probability measure on $X$. Denote the mean vector $m \in X$ and covariance operator $k : X^* \to X$. Let $\tau_u : X \to X$ ...
3
votes
1answer
223 views

Density of linear functionals in $L^2$

Let $X$ be a locally convex topological linear space, and let $\mathbb P$ be a probability measure on $X$. Suppose that $\operatorname{var}(\varphi) < \infty$ for all continuous linear functionals ...
4
votes
1answer
213 views

Uncountable atomless subalgebras of the Boolean algebra of all Jordan measurable sets in [0,1]

Definition: Suppose $\mathcal A$ is the Boolean algebra of all Jordan measurable sets in $I=[0,1]$ (i.e $\mathcal A=\{A\subseteq I: \mu(\partial(A))=0\}$, where $\mu$ is the Lebesgue measure and ...
0
votes
0answers
64 views

Does there exists $f\in A_{\mathbb R}(\mathbb T)$ with $||f||=r$ such that $||e^{if}||=e^{r}$?

Let $\mathbb Z$, the set of integers, be a group with respect to addition and its dual group is the $\mathbb T = \{z\in \mathbb C : |z|=1\}$ , one dimensional torus. Put, $\ell^{1}(\mathbb Z)= ...
1
vote
0answers
110 views

approximation of probability distribution

I have a question: Let $\mu$ be a probability distribution defined on $(\mathbb{R}, \mathcal{B}(\mathbb{R}))$ satisfying $$\int_{\mathbb{R}}|x|d\mu<+\infty$$ Set $$A_n=\Big\{\frac{i}{n}:~ ...
3
votes
1answer
343 views

Integral wrt probability measure

Let $\Theta\subseteq\mathbb{R}^d$ is open set and $(\cal X, \cal A)$ be a measurable space . For every $\theta\in\Theta$, suppose that $P_\theta$ is a probability measure on $(\cal X, \cal A)$. ...
0
votes
1answer
142 views

additive measure on countable algebras

I was wondering, can the following theorem be true for finitely additive measures defined on algebras not $\sigma$-algebras. (Theorem is in Bogachev's Measure Theory Vol I). I was not sure about ...