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

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-1
votes
0answers
58 views

Random walk on d-dimensional torus

I am reading the following paper: http://arxiv.org/pdf/1602.03849v2.pdf I will explain the general setup below. Let $x\in X=\mathbb{T}^d$, where $\mathbb{T}^d$ is the d dimensional torus. Let $\rho$ ...
16
votes
1answer
585 views

Example of a quasi-Bernoulli measure which is not Gibbs?

Let $X=\{0,1\}^{\mathbb{N}}$. For simplicity I consider measures on $X$ only. A measure $\mu$ is quasi-Bernoulli if there is a constant $C\ge 1$ such that for any finite sequences $i,j$, $$ C^{-1} \...
0
votes
0answers
23 views

Random Variables with Simply Connected Support [on hold]

Let $X$ be a random variable with simply connected support on real line. Define $Z_n=\sum_{i=1}^n X_i$ and $X_i\sim X$ for all $i$. Does $Z_n$ has simply connected support, for all $n\geq 1$?
3
votes
1answer
180 views

Regularity of measures in the theorem of Riesz

There are two concurrent theories of measure/integration on a locally compact topological spaces: either as positive linear forms on the space of continuous functions with compact support, or as Borel ...
0
votes
1answer
104 views

Necessary and sufficient conditions for Kolmogorov's Extension Theorem

Let $(X_n,\mathcal{X}_n)$, $n=1,2,\ldots$ be measurable spaces. Define $Y_n = \prod_{k=1}^n X_k$ and let $\mathcal{Y}_n$ be the corresponding product $\sigma$-algebra. Similarly let $Y=\prod_{k=1}^\...
4
votes
1answer
89 views

Measurable $\epsilon$-optimal selection with an analytically measurable stochastic kernel

Let $(X, \mathcal{X})$ and $(A, \mathcal{A})$ be standard Borel spaces, $D \subseteq X \times A$ be an analytic set, and $D_x := \{a \in A : (x, a) \in D\}$ denote the $x$-section of $D$ at $x \in X$. ...
0
votes
1answer
92 views

Doubling metrics, doubling measures, Lebesgue density

As stated in this question, Lebesgue differentiation theorem holds on locally doubling space? and proved here, http://www.math.uiuc.edu/~tyson/595f15lecture2.pdf the Lebesgue differentiation theorem (...
1
vote
1answer
98 views

Results for Hausdorff Measure after Linear Transformation

For the Sierpinski Triangle, $S$, the $d$ dimensional Hausdorff measure is given by, $H^{d}(S)$. If a linear transformation, $W$ is applied to $S$, with $$W(x,y)=\begin{bmatrix} 1/2 & 0 \\ 0 &...
0
votes
1answer
78 views

A uniform Lebesgue density theorem

The Lebesgue density theorem in $\mathbb{R}^n$ may be stated as follows. For a Lebesgue-measurable $A\subseteq\mathbb{R}$ and $r>0, x\in\mathbb{R}^n$, define $$ \chi_{A,r}(x)=\frac{\mu(A\cap B_r(x))...
0
votes
0answers
42 views

Conditions for supremum and conditional Expectation to commute

I am working with a continuous process $Y_t$ generating the filtration $(F_t)$ and have (for simplicity) two stopping times $\tau_1$ and $\tau_2$ such that $\tau_2 \leq \tau_1$ and $U:\Bbb R\...
11
votes
5answers
2k views

Does the support of a Borel probability measure always have full measure in a metric space?

I know this is true for separable metric spaces, and locally compact metric spaces, but is it true in general?
0
votes
0answers
65 views

Given $\mathbb Q$ and $X_t$ is $\mathbb Q$-Brownian, find $\frac{d\mathbb Q}{d\mathbb P}$ / Uniqueness of Brownian or Radon-Nikodym derivative

The problem: Let $T >0$, and let $(\Omega, \mathscr F, \{ \mathscr F_t \}_{t \in [0,T]}, \mathbb P)$ be a filtered probability space where $\mathscr F_t = \mathscr F_t^W$ where $W = \{W_t\}_{t \...
4
votes
2answers
237 views

Negative probabilities - what are two ordinary pgfs that correspond to the gf of a half-coin?

In Half of a Coin: Negative Probabilities, author considers pgf of a fair coin represented by random variable, $X = 1_H$: $$G_X(z) = E[z^X] = \sum_{x=0,1} z^xP(X=x) = (z^0)(1/2) + (z^1)(1/2) = \frac{...
3
votes
1answer
369 views

About the generating structure of Borel field

This is a graduate-level measure theory problem. I have thought throught it and asked on math.SE but received no satisfying answer. On P.32 of [P.Billingsley] Probability and Measure, 3ed, 1993, the ...
2
votes
1answer
991 views

For what nonnegative measures $\mu$ does $\mu*e^{-|\cdot|}\in L^{\infty}$?

I am trying to characterize all measures on $\mathbb{R}$ such that $$ \sup_{x\in\mathbb{R}} \: (\mu*f)(x)<+\infty, $$ where $f(x)$ is some specific integrable functions, such as $f(x)=e^{-|x|}$, ...
9
votes
1answer
948 views

Vitali Sets vs Bernstein Sets…

AC is enough to guarantee the existence of both Bernstein Sets and Vitali Sets... However is the existence of Vitali Sets strictly weaker than that of Bernstein Sets? What about the other way round?
2
votes
0answers
66 views

Progressive measurability and functional composition

Suppose we have a progressively measurable process $X$ taking values in $\mathbb{R}^d$. What are sufficient conditions on a function $$f( x, t, \omega ) \colon \mathbb{R}^d \times [0,\infty) \...
1
vote
2answers
91 views

Existence of a Borel measurable function below any positive function

Let $f\colon \mathbb R\to (0,\infty)$ be a function taking positive values. Does there exist a Borel measurable function $g\colon \mathbb R\to (0,\infty)$ taking positive values as well such that $g(x)...
6
votes
2answers
1k views

Non Lebesgue measurable subsets with “large” outer measure

It is well known that for any set A in R^d there exists a measurable set E such that E contains A and m*(A)=m*(E). Is it possible to go the other direction? In other words, is it true that for any ...
2
votes
1answer
446 views

Sufficient conditions for equality of measures related to harmonic functions

In Axler's book "Harmonic function theory" on this link http://www.latp.univ-mrs.fr/~chaabi/ARTICLES%20IMPORTANTS/Autres%20articles%20interessant/Livres/Harmonic%20Function%20theory.pdf on page 112 ...
8
votes
2answers
1k views

Multi-dimensional moment problem

Let $\mu$ be a measure on $\def\r{\mathbb{R}}\r^n$, $1\le n \le \infty$. Given a (finite) multi-index $\bar{i} = (i_1, i_2, \ldots)$, one can define the moment $$ m_{\bar i} = \int x_i^{i_1} x_2^{i_2}...
1
vote
1answer
144 views

Finitely additive measures on Boolean algebras of regular open subsets: Is there a relationship with Borel measures? A theory of integration?

Let $\mathcal{X}$ be a topological space. An open subset $\mathcal{R}\subseteq\mathcal{X}$ is regular if it is the interior of its own closure. The intersection of two regular open sets is regular. ...
3
votes
1answer
124 views

Does the Lebesgue measure induce a finitely additive measure on the Boolean algebra of regular open subsets of (0,1)?

Let $(0,1)$ the unit interval. An open subset $\mathcal{R}\subseteq(0,1)$ is regular if it is the interior of its own closure. The intersection of two regular open sets is regular. Unfortunately, ...
3
votes
2answers
146 views

How many cuts are required for a weighted-proportional cake-cutting?

In proportional cake-cutting, there are $n$ agents with equal entitlements to a "cake" (an interval). Each agent $i$ has a nonatomic value measure $V_i$ over the cake, and it is required to create a ...
21
votes
2answers
5k views

L1 distance between gaussian measures

L1 distance between gaussian measures: Definition Let $P_1$ and $P_0$ be two gaussian measures on $\mathbb{R}^p$ with respective "mean,Variance" $m_1,C_1$ and $m_0,C_0$ (I assume matrices have full ...
6
votes
3answers
170 views

A question on invariant measures

Let $(X, \mathcal{B}, T)$ be a topological dynamical system and $M(X, T)$ be the set of all invariant measures. I do not know is there some nice functional characterization of the following set $\{...
1
vote
1answer
76 views

Measurable isomorphism between two non-totally ergodic systems

Suppose $(X,\mathcal A,\mu,T)$ is a finite measure-preserving system. Then we define a new measure system $(X^{(K)},\mathcal A^{(K)},\mu^{(K)},T^{(K)})$ defined by $X^{(K)}=X\times \{1,2,...,K\}$ for ...
2
votes
1answer
77 views

Meaningful formalization of a continuum of Bernoulli random variables [closed]

I was wondering if there is a meaningful formalization for a continuum of Bernoulli random variables. Informally speaking, consider the interval $[0,1]$, and let's say that for every $x \in [0,1]$, ...
1
vote
0answers
147 views

A certain measure on Banach algebras

According to the comments of Nate Eldredge I did revise the question. In particular I change "$C^{*}$ algebras" to "Banach algebras". Is there a reference who introduce the following measure on ...
5
votes
2answers
283 views

About a construction of Borel $\sigma$-algebra associated to a lattice

Let $(\mathcal{A}, \cup, \cap)$ a lattice (with minimum and maximum elements $\bot$ and $\top$). Let $X\subset \mathcal{A}$ a generator set (a set of minimal cardinality that generate $\mathcal{A}$ i....
1
vote
0answers
135 views

Order statistics of iid uniform RV and Pólya's urn model. Question about a.s. convergence

Let $U_1,U_2,U_3,\dots$ be IID uniform on $[0,1]$. For each $n\geq 1$ let $$U_{1:n}<U_{2:n}<\dots<U_{n:n}$$ be the order statistic of $(U_1,\dots,U_n)$. Independent of the $U$ process there ...
6
votes
4answers
502 views

Speed of convergence in Lebesgue's density theorem

Let $\lambda=\text{unif}([0,1])$ be uniform distribution on $[0,1]$ and $B$ be any Borel set. Lebesgue's density theorem states that for $\lambda$-almost all $x\in[0,1]$ the limit $$\lim_{\epsilon\...
1
vote
1answer
155 views

Could I affirm that $f$ is not identically 0?

Consider the following situation: Let $\Omega =l^{\infty}(\mathbb{R})$ be the space of all bounded sequences of real numbers. We will consider in $\Omega$ the metric: $ d(x,y)=\sum_{i\geq 1}\frac{|...
1
vote
1answer
96 views

Some integrals with respect to a Gaussian measure on a Hilbert space

Assume that $(H,\langle\cdot,\cdot\rangle)$ is a real separable Hilbert space equipped with a Gaussian measure $\mu$ with a mean $m$ and a covariance operator $C$. Let $x\in H$ be a fixed vector. What ...
-1
votes
0answers
97 views

Are the theorems of Ergodic Theory valid for non-probability spaces?

The theorems in Ergodic Theory have assumed a probability measure, always. I am interested to know if they hold even when the space is not equipped with a probability measure. In other words, if my ...
12
votes
1answer
333 views

Does there exist a ``continuous measure'' on a metric space?

Let $X$ be a separable complete metrizable space. Does there exist a complete metric $d$ and a Borel measure $\mu$ such that (a) $\mu(B_r(x))<\infty$ for every open ball $B_r(x)$ of radius $r>...
1
vote
0answers
76 views

Can we always extract a proper Hausdorff measurable subset from a Hausdorff measurable set?

I also put this question on MSE here Let $\Gamma\subset \Omega\subset \mathbb R^N$ be such that $\mathcal H^{N-1}(\Gamma)<+\infty$ (this also implise that $\Gamma$ is Hausdorff measurable). Let $\...
2
votes
0answers
67 views

Characterizing the optimimum over the space of probability measures

Consider the following optimization problem: \begin{equation} \max_{\mu \in \mathcal{M}} \int \log\left( \int e^{\alpha U(x,y)} d\mu(y) \right) d\nu(x) \end{equation} where $\mathcal{M}$ is the space ...
4
votes
1answer
66 views

Usable Change-of-Variables Formula for Hausdorff Measure

Let $H^{s}$ be the $s$-dimensional Hausdorff measure, let $D$ be a nonsingular matrix. Consider the change of measure formula: $$ \int\limits_{A} f(Dx) \; \mathrm{d}H^{s}(x) = \int\limits_{ D A} f(y)...
3
votes
0answers
44 views

Does there exist $\lambda_{\sigma(1)}$ such that $\mu(A\cap\{\lambda_{\sigma(1)}\neq0\})>0$?

Let $(\mathcal F,\Omega,\mu)$ be a measure space and $A\subseteq\Omega$ such that $\mu(A)>0$. Let $L^0$ be the space of all measurable functions. We say $X_1,\ldots,X_k\in(L^0)^d=\prod_{k=1}^dL^0$...
4
votes
1answer
419 views

Cameron Martin space

I have seen two definitions of Cameron Martin space of a Gaussian measure $\nu$ on a Banach space (say $W$) and am unable to establish their equivalence. Any help would be appreciated. 1) It is the ...
2
votes
2answers
741 views

Change of time or change of measure

Consider simple diffusion $dX_t = \sigma dw_t$ and a parameter $a>0$ and $X_0=x$. Let us denote $Y_t = X_{at}$ - thus we made a change of time. Let us denote an original measure as $P$. How to find ...
4
votes
1answer
74 views

sequence of graphs converge in the sense of varifold to multiplicity 2 plane

Say in $R^3$, is there a sequence of smooth graphs $f_n$ over some plane P, such that the graphs as submanifolds in $R^3$ converge in the sense of varifold (as Radon measures on $R^3 \times Gr(2,3)$ ) ...
3
votes
0answers
189 views

The projection of density $1$ point on a rectifiable set

I posted this question on MSE but I received no reply. So I repost this here for better luck. Thank you! Let $\Gamma\subset \mathbb R^N$ be $\mathcal H^{N-1}$-rectifiable. Then we know that $\mathcal ...
5
votes
0answers
179 views

Topology on the space of Borel measures

Let $ B $ be the set of all measures $ \phi $ of $ \mathbf{R}^{n} $ such that every open set is $ \phi $-measurable (sometimes these measures are called Borel measures). Note the measures in $ B $ are ...
1
vote
0answers
70 views

Tensor product of sigma-algebra?

Does there exist an explaination of the product of 2 sigma-algebra in terms of of tensor product ? Which could explain the tensor product sign for the product of 2 sigma-algebra. In particuliar, does ...
3
votes
1answer
120 views

$\nu$ is a Dirac delta

Let $X$ be an locally compact Hausdorff space and $m$ a positive regular Borel probability measure where $m(Y)$ is 0 or 1 for any Borel set of $X$. Does it necessarily follow that $m$ is a Dirac delta?...
1
vote
0answers
66 views

Reference for a simple fact in measure theory (semi-algebras)

What is the textbook where the following simple fact can be found: A measure defined on a semi-algebra S can be extended to a sigma-algebra generated by S. In the texbooks that I have looked into ...
1
vote
1answer
76 views

Metrizability of the space of probability measures endowed with the topology of setwise convergence

Let $X$ be a separable completely metrizable space, let $\mathscr{B}(X)$ denote the Borel $\sigma$-algebra on $X$, and let $\mathscr{P}(X)$ denote the space of all probability measures on $(X, \...
0
votes
0answers
46 views

The density one properties of $\mathcal H^{N-1}$-rectifiable set

Let $S\subset \mathbb R^N$ be a $\mathcal H^{N-1}$-rectifiable set. Then we know that there exist countably many Lipschitz $N-1$-graphs $\Gamma_i\subset \mathbb R^N$ such that $$ \mathcal H^{N-1}\...