**5**

votes

**1**answer

42 views

### List of Bernoulli chaotic systems

Which discrete chaotic systems are known to be Bernoulli (i.e. measure theoretically isomorphic to a Bernoulli shift, one-sided or two-sided)?
I am aware that it is known for some uniformly ...

**5**

votes

**2**answers

245 views

### A result of Sierpiński on non-atomic measures

There is a classical result commonly attributed to W. Sierpiński that reads as follows:
Theorem 1. If $f: \Sigma \to \bf R$ is a non-atomic (*) measure on a set $S$, then for every $X \in \Sigma$ ...

**0**

votes

**0**answers

66 views

### Hoeffding's lemma for unbounded r.v with bounded exponential map

Let $X$ be a real r.v with $E[e^{\lambda X}] < \infty $ for all $\lambda \in [-c,c]$.
Is it possible to get an Hoeffding's lemma like bound on $E[e^{\lambda(X-EX)}]$. That is, an upper bound: ...

**12**

votes

**1**answer

897 views

### surprisingly difficult filtration problem

I am interested in a proof of the following statement which seems intuitive, but is somehow really tricky:
Let $X$ be a stochastic process and let $(\mathcal{F}(t) : t \geq 0)$ be the filtration ...

**3**

votes

**0**answers

64 views

### Lower semi-continuity of the Hellinger-Fisher-Rao distance

I am currently working on unbalanced optimal transport, where the Hellinger (or sometimes Fisher-Rao) distance
$$
...

**0**

votes

**0**answers

91 views

### from finite to $\sigma$-finite measure space [migrated]

This might be rather elementary. I have put it at MSE for a while without getting any answers.
Here is the question:
In the proof of the following theorem, would anyone explain how the general case ...

**1**

vote

**1**answer

97 views

### Classification of Lebesgue-Rokhlin spaces

I am currently trying to grasp some ideas on Lebesgue-Rokhlin spaces from Bogachev, "Measure Theory", vol. 2.
Such spaces are also known as standard probability spaces but the definitions are not ...

**7**

votes

**1**answer

1k views

### Progressively measurable vs adapted

I often see in stochastic calculus books the terms 'adapted process' and 'progressively measurable process'. I know there is a small difference between them (every progressively measurable process is ...

**6**

votes

**0**answers

110 views

### Cutting a piece of cake that $n$ people value as exactly $w$

Stromquist and Woodall (1985) study the problem of Sets on which several measures agree. There are $n$ non-atomic value measures on the unit circle, and a parameter $w\in(0,1)$. The goal is to find a ...

**0**

votes

**1**answer

95 views

### Change of variable for integration with respect to Haar measure

I know how to estimate the integral* (see the update)
\begin{gather}
\int f(Ub)d\mu(U), \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ [2]
\end{gather}
where ...

**0**

votes

**0**answers

37 views

### Volume growth of balls II

Let $b:(0,\infty)\to (0,\infty)$ be monotonically increasing.
Call $b$ limit-tight, if
$$
\lim_{\varepsilon\to 0}\ \limsup_{T\to\infty}\frac{b(T-\varepsilon)}{b(T)} =\lim_{\varepsilon\to 0}\ ...

**0**

votes

**0**answers

62 views

### Why is $\mathcal{E}(X)=\mathcal{E}(X,X^*)$?

According to a course about $\sigma$-agebras in infinite dimensional space they said that it is easy to see that :
$$\mathcal{E}(X)=\mathcal{E}(X,X^*)$$
where:
$X$ is separable real Banach space.
...

**0**

votes

**1**answer

183 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 ...

**0**

votes

**0**answers

147 views

### On a certain set of probability measures on a shift

Denote by $\mathbb{Z}_2=\{0,1\}$ the integers modulo 2.
Let $S:\mathbb{Z}_{2}^{\mathbb{N}}\times\mathbb{Z}_{2}^{\mathbb{N}} \rightarrow \mathbb{Z}_{2}^{\mathbb{N}}$ be the sum $S(a,b) = a+b$, where ...

**1**

vote

**1**answer

191 views

### What is the cofinality of the positive measure sets of reals?

What is the minimal cardinality of a family of sets of real numbers, each of positive Lebesgue measure, such that every set of real numbers of positive Lebesgue measure contains some member of the ...

**5**

votes

**1**answer

309 views

### Strong measure zero sets and selection principles

A set of reals $X$ is strong measure zero if for any sequence of positive real numbers $ ( \epsilon_n ) _{n \in \omega }$ there is a sequence of open intervals $ ( a_n ) _{n \in \omega }$ which ...

**8**

votes

**6**answers

4k views

### Intuition for Haar measure of random matrix

What is an intuitive way to understand Haar measure as defined for random matrices, say, $N\times N$ orthogonal or unitary matrices?
My understanding for what Haar measure means for $U(1)$ is that it ...

**2**

votes

**1**answer

113 views

### Does a positive-measure subset of the unit interval almost surely intersect a random translation of some countable subgroup of $\mathbb{R}$?

Please forgive me if this is a very easy question.
Let $A \subset [0,1]$ be a Borel-measurable set with strictly positive Lebesgue measure. Does there necessarily exist a countable subgroup $G$ of ...

**76**

votes

**6**answers

9k views

### Why do probabilists take random variables to be Borel (and not Lebesgue) measurable?

I've been studying a bit of probability theory lately and noticed that there seems to be a universal agreement that random variables should be defined as Borel measurable functions on the probability ...

**16**

votes

**5**answers

3k views

### Is there a natural measures on the space of measurable functions?

Given a set Ω and a σ-algebra F of subsets, is there some natural way to assign something like a "uniform" measure on the space of all measurable functions on this space? (I suppose first ...

**2**

votes

**1**answer

792 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 $f(x)=e^{-|x|}$, ...

**4**

votes

**1**answer

112 views

### Invariant subspaces are reducing subspaces in $L^2(\mu)$; where $\mu$ is a singular measure w.r.t Lebesgue measure

I have already posted this question on math.stackexchange but didn't get any answer. I hope this is the right place to ask this question.
Recently I was reading a book "Operator Function and system" ...

**1**

vote

**1**answer

50 views

### Compactness of cadlag martingales w.r.t. to the point-wise topology

Given a sequence of cadlag (right-continuous with left limits) martingales $X^n=(X^n_t)_{0\le t\le 1}$, we may use the well known criteria to determine whether it is weakly convergent, i.e. subtract a ...

**2**

votes

**3**answers

247 views

### When Banach indicatrix is measurable?

Let $f:X\to Y$ is a measurable function. Banach indicatrix
$$
N(y,f) = \#\{x\in X \mid f(x) = y\}
$$
is the number of the pre-images of $y$ under $f$. If there are infinitely many pre-images then ...

**2**

votes

**1**answer

73 views

### Lower bounds from Fourier dimension?

According to Mattila, Geometry of sets and measures in Euclidean spaces, p. 168, the Fourier dimension $\text{dim}_F(A)$ of $A\subseteq \mathbb R^n$ is the unique number in $[0,n]$ such that for any ...

**11**

votes

**4**answers

462 views

### Reference for a strong intermediate value theorem for measures

Let $\mu$ be a finite nonatomic measure on a measurable space $(X,\Sigma)$, and for simplicity assume that $\mu(X) = 1$. There is a well-known "intermediate value theorem" of Sierpiński that states ...

**2**

votes

**1**answer

351 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 ...

**3**

votes

**1**answer

288 views

### How can I show that “almost all function” have property P?

The following is cross-posted from
http://math.stackexchange.com/questions/1391293/is-almost-all-function-a-well-defined-concept
since I didn't (yet) get an answer there.
(I hope that's okay?)
...

**0**

votes

**1**answer

112 views

### Averaging measurable functions over amenable group actions

Let $G$ be an amenable group acting on a space $X$.
Amenability means there is a $G$-invariant mean on $L^\infty(G,{\mathbf R})$.
Given a bounded function $f\colon X\to {\mathbf R}$ one can use the ...

**2**

votes

**1**answer

70 views

### Post composition of integral

Setup:
If $\langle \Omega, \mathfrak{F},\mu \rangle$ is a measure space, $f:\Omega \rightarrow E$ is a weakly-measurable function to a Banach space $E$, $g: E \rightarrow E'$ is a diffeomorphism and ...

**2**

votes

**1**answer

69 views

### convex function with distributional Hessian $D^2 f \leqslant \lambda$, $\lambda$-concave?

Let $f:R^n \to R$ be convex (may not $C^1$), $$[D^2f]=[D^2f]_{ac}+[D^2f]_s=[h_{ij}] L^n+[D^2f]_s$$ is the Lebesgue decomposition of the Hessian matrix. Where $[h_{ij}]$ is the density w.r.t the ...

**4**

votes

**2**answers

182 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 $\mathcal{A}$ ...

**0**

votes

**1**answer

98 views

### entropy growth of invariant measures - General question

In general, given a sequence of shift-invariant measures $\eta_{n}$ on $\{0,1\}^{\mathbb{N}}$ what to do to guarantee this convergence of entropies: $$h(\eta_{n}) \rightarrow \log2?$$
Because I'm ...

**0**

votes

**0**answers

43 views

### skorokhod integral as Weak Integral

Is it possible to express the skorokhod integral on a Banach space $B$ as a special case of the weak (or Pettis) integral over an appropriate Banach space $E$?
For example if $E$ is the space of ...

**1**

vote

**1**answer

86 views

### entropy and d-bar: how do we estimate continuity?

Let $G = \{0,1\}^{\mathbb{N}} = \mathbb{Z}_{2}^{\mathbb{N}}$ be the Bernoulli space of two symbols, let $\sigma$ be the shift map and $M(G)$ the set of $\sigma$-invariant probabilities. Let $\bar{d}$ ...

**11**

votes

**4**answers

3k views

### Separable sigma-algebra: equivalence of two definitions

The two definitions alluded to in the title can be found here: http://en.wikipedia.org/wiki/Separable_sigma_algebra (one is that the $\sigma$-algebra is countably generated, the other is pretty much ...

**39**

votes

**4**answers

9k views

### Non-Borel sets without axiom of choice

This is a simple doubt of mine about the basics of measure theory, which should be easy for the logicians to answer. The example I know of non Borel sets would be a Hamel basis, which needs axiom of ...

**34**

votes

**1**answer

3k views

### Do invariant measures maximize the integral?

Update: The negative answer to the following question has been provided by Matthew Daws, who won, but also rejected, the bounty of 100 euro that I set over the question.
Let $\mathcal M(\mathbb Z)$ ...

**0**

votes

**0**answers

59 views

### Optimization over space of probability measures

Consider an optimization problem as follows:
$$
\min\mathbb E_w[f_0(w)] \mathrm{\,\,\,\,\,\ s.t.\,\,\,\,} E_w[f_i(w)]\leq 0 ,\,\,\, i=1,\dots, k
$$
where the maximum is taken over $\mathscr M$, ...

**1**

vote

**1**answer

66 views

### Equivalent measures on algebra also equivalent on $\sigma$-algebra?

Suppose $\mu$ and $\nu$ are finite positive measures on a measurable space $(X,\mathcal A)$. Let $\mathcal G$ be an algebra of $\mathcal A$. If $\mu$ and $\nu$ are equivalent on $\mathcal G$ in the ...

**0**

votes

**2**answers

292 views

### A question regarding the relation between Freiling's Axiom of Symmetry and real-valued measurable cardnals

A major argument against Freiling's Axiom of Symmetry is the following (this from the wikipedia article of the same name):
"The naive probabalistic notion used by Freiling tacitly assumes that there ...

**0**

votes

**1**answer

117 views

### Functional representation of adapted jointly measurable stochastic processes

It seems like the question stated here in MSE has no answer yet and seems therefore for me to be not of a basic question type. For this reason I move it to MO.
Let $X_t : \Omega \to E, \ t \geq 0$ be ...

**0**

votes

**0**answers

71 views

### Interchange limit with integral for subsequence in subsequence of general distribution functions

I asked this question on math.stackexchange a few days ago but didn't get any response, so I thought I would try here.
I'm trying to find a solution for the following problem:
Let ...

**2**

votes

**0**answers

60 views

### Constructing an additive set function from on a non-additive one

repost from math.se.
I was trying to generalize some results from measure theory to functions that are "almost" measures but not additive. Then, I thought it could be interesting to do this in a ...

**4**

votes

**2**answers

143 views

### Density of Gaussian measures on Banach spaces

I am trying to get my head around this question and was reading (1) which states the same a little bit more general:
Let $X$ be a separable Banach space and $X^*$ the dual space. The mean
value ...

**3**

votes

**0**answers

247 views

### “Nicely” strong measure zero sets

This question is essentially an expanded version of the unanswered half of Two strengthenings of "strong measure zero".
A set $X$ of reals is strong measure zero if, for any $f: ...

**16**

votes

**1**answer

428 views

### Two strengthenings of “strong measure zero”

A set $X\subseteq\mathbb{R}$ is strong measure zero if, for every sequence $(\epsilon_i)_{i\in\mathbb{N}}$ of positive reals, there is a sequence $(I_i)_{i\in\mathbb{N}}$ of open intervals covering ...

**4**

votes

**1**answer

59 views

### Bound for the generalised Rényi dimension of a measure

If $\mu$ is a measure on $\mathbb{R}^d$, and for each $r>0$ we let $\mathcal{M}_r$ denote the set of all ``cubes'' of the form $[j_1r,(j_1+1)r) \times \cdots \times [j_dr,(j_d+1)r)$ for ...

**1**

vote

**1**answer

96 views

### Spherical decreasing rearrangement on the sphere

On $\mathbb{R}^n$, we have the concept of spherically decreasing rearragement of a function, which means, given a function $f$, one can design a radial and decreasing function $f^*$ such that $\Vert ...

**2**

votes

**0**answers

114 views

### Stopping time sigma-fields

Let $(F_n)$ be a discrete Filtration and $S_n,S$ (not necessarily finite) stopping times with $S_n\uparrow S$ (increasing convergence).
Is it true that the associated sigma-fields satisfy ...