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

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14
votes
0answers
725 views

A Kakeya-like problem: must a union of annuli fill the plane?

Let $S$ be a subset of $\mathbb{R}^2$ with the following property. For all $x \in \mathbb{R}^2$ and $\varepsilon \gt 0$, there exists a nontrivial interval $[a,b] \subseteq [1-\varepsilon,1]$, such ...
13
votes
0answers
312 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 ...
13
votes
0answers
521 views

Which complete Boolean algebras arise as the algebras of projections of commutative von Neumann algebras?

Projections in an arbitrary commutative von Neumann algebra form a complete Boolean algebra. Moreover, a morphism of commutative von Neumann algebras induces a continuous morphism of the corresponding ...
11
votes
0answers
421 views

Does this metric have an official name? Lévy metric? Ky Fan metric?

Let $X$ and $Y$ be random variables taking values in a separable metric space $(S,d)$. The metric I have in mind is $$\rho(X,Y) = \mathbb{E}[\min\{d(X,Y),1\}]$$ if $X$ and $Y$ take values in the a ...
11
votes
0answers
664 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 ...
10
votes
0answers
739 views

Quotients of Measurable Spaces?

Let $(\Omega,\Sigma)$ be a measurable space and $\Pi$ be a partition of $\Omega$. There is a projection $\pi:\Omega\to\Pi$ that maps each $\omega\in\Omega$ to the unique partition cell in $\Pi$ ...
9
votes
0answers
136 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 ...
9
votes
0answers
315 views

Ultrafilter theorem and translation invariant measures

The usual Vitali construction of a non-Lebesgue measurable set generalizes to a proof that there are no (non-trivial) translation invariant measures on $\mathcal P\mathbb R$. On the other hand, there ...
9
votes
0answers
563 views

Errata for the Treatise of Analysis of Dieudonné

I was looking again at the beautiful and quite complete work of Dieudonné, his Treatise of Analysis, to refresh my memory about some aspects of classical analysis. I especially love this Treatise for ...
9
votes
0answers
381 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} ...
8
votes
0answers
475 views

Is every $\sigma$-algebra of sets *abstractly* the Borel algebra of a topology on perhps some other set?

Is every sigma-algebra the Borel algebra of a topology? inspires the present question which asks for less. Question: Given a $\sigma$-algebra ${\cal A}$ on a set $X$, does there exist a topology ...
8
votes
0answers
229 views

Common extension of two sigma-additive measures

Let $\mathcal{A_1}$ and $\mathcal{A_2}$ be $\sigma$-algebras of subsets of some space X. Suppose $\mu_j$ is probabilistic measure on $\mathcal{A}_j$ for $j=1,2$. What are the necessary and sufficient ...
8
votes
0answers
489 views

G-delta of measure 0 containig the rationals.

It is well known that $\mathbb{Q}$ is not a $G_\delta$. In fact no countable dense subset of $\mathbb{R}$ is a $G_\delta$. We order the rationals in a sequence: $\mathbb{Q}=\lbrace r_k\rbrace$, and ...
7
votes
0answers
145 views

Qualitative weakenings of probabilistic independence

In probability theory, independence of random variables is characterised by $$(1)~~X~\text{independent}~Y \; \iff \; P_{(X,Y)} = P_X \otimes P_Y \enspace ,$$ where $P_{(X,Y)}$ is the joint probability ...
7
votes
0answers
255 views

Uniform closure of subspaces of Baire class 1

Describe a uniformly closed linear subspace $A \subset C([0,1])$ such that the space $B_1(A)$ is not uniformly complete. Here $B_1(A)$ is the set of all bounded functions $f$ which are pointwise ...
7
votes
0answers
369 views

Is the set of real-valued lower semi-continuous functions measurable in epigraph topology (= topology of Gamma convergence)?

Let LSC = LSC([0,1]) be the set of non-negative, lower semi-continuous functions on the unit interval which take values in $\mathbb{R}_+ \cup \{\infty\}$. We use epigraph topology on LSC, i.e. a ...
6
votes
0answers
136 views

Is an infinite-dimensional “Lebesgue measure” uniquely determined by a set of positive finite measure?

Let $\mu$ be a probability measure on a subset $C \subset \mathbb{R}^\infty$ of the space of sequences, and assume, for simplicity, that $C$ is closed and convex. We say that $\mu$ admits shifts if ...
6
votes
0answers
128 views

Cramer's theorem in Hilbert spaces

I am interested under what conditions Cramer's theorem applies in random variables taking values in Hilbert spaces. Following these lecture notes, but using a Hilbert space: Let $X_1,X_2,\cdots$, be ...
6
votes
0answers
290 views

Prokhorov's theorem for finite signed measures?

Prokhorov theorem provides a useful characterization of relatively compact sets w.r.t. narrow topology (topology induced by narrow convergence) in the space of probability measure. Notation used ...
6
votes
0answers
244 views

Why has Sacks' “Measure-theoretic uniformity” not been more influential?

In the 1969 paper "Measure-theoretic uniformity in recursion theory and set theory," Trans. Amer. Math. Soc. 142 1969 381–420, Sacks gave a measure-theoretic approach to several results previously ...
6
votes
0answers
180 views

Generating stationary, ergodic random fields on a homogeneous space

Consider a homogeneous space $M$, which for the sake of concreteness, let's take to be $M = \mathbb R^d$. Fix some space $A$, and consider the space of functions $X = C(M,A)$, along with its Borel ...
6
votes
0answers
292 views

“Liftings” of L^\infty functions

This is motivated by this question: Is there an inclusion of $L_\infty(G)$ into $C_0(G)^{**}$? and Bill Johnson's comments there. Let $X$ be a locally compact Hausdorff space and $\mu$ a Radon ...
6
votes
0answers
478 views

Density of countably additive measure in the set of all finitely additive measures.

Let $S$ be a countable discrete set, the following two results are quite easy to prove: Every countably additive probability measure $\mu$ on $S$ commutes (in Fubini's sense) with every finitely ...
6
votes
0answers
400 views

The log kernel and Bochner Theorem

I was wondering if it possible to find a measure $\eta$ on $\mathbb{R}$ such that $$ L(x):=\log\frac{1}{|x|}=\int e^{itx}\;d\eta(t) $$ for every $x\in [0,1/2]$. On a structural ground, this ...
5
votes
0answers
185 views

Approximating a measurable function from a second-countable, locally compact Hausdorff group to a separable Banach space

Let $ G $ be a second-countable, locally compact Hausdorff group and $ B $ a separable Banach space. We say that a function $ f: G \to B $ is Bochner-measurable if and only if it is the everywhere ...
5
votes
0answers
174 views

Finitely additive measures on $\mathbb Z_2^\omega$ with invariance and independence constraints

Let $G = \mathbb Z_2^\omega$, with pointwise addition. Assume the Axiom of Choice. I am interested in finitely additive probability measures $\mu$ defined on all of $\mathcal PG$ that can be ...
5
votes
0answers
282 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 ...
5
votes
0answers
211 views

Existence of an universally measurable pullback

Let $X,Y$ and $Z$ be standard Borel spaces: topological spaces homeomorphic to Borel subsets of complete separable metric spaces. Let $K\subseteq X\times Y$ be analytic. Assume that $K_x$ is not ...
5
votes
0answers
104 views

Simultaneous Strong Law of Large Number classes?

Say that $C$ is a SSLLN class of subsets of some topological space $V$ provided that for every sequence of i.i.d.r.v.s $X_1,X_2,...$ with values in $V$, we almost surely have: For every $A$ in $C$, ...
5
votes
0answers
184 views

Diffusion processes in wide generality

It is common knowledge among schoolchildren that one may define jump diffusion processes in wide generality. Hard question: What are the most general structures on which one may define something ...
5
votes
0answers
237 views

Proof of Lomnicki and Ulam on Infinite Product Probability Spaces

Given an arbitrary, nonempty family $(\Omega_i,\Sigma_i,\mu_i)_{i\in I}$ of probability spaces, there exists a probability measure $\mu$ on $\otimes_i\Sigma_i$ such that for every finite set ...
5
votes
0answers
309 views

Independent Events Inducing Probability Measures

Let $\mathcal{F}$ be a sigma algebra over $\Omega$ and $M$ the set of all probability measures on $\mathcal{F}$. Let $\mathcal{C}$ be some collection of pairs $(A,B)$ with $ \ A,B\in\mathcal{F}$. Now ...
4
votes
0answers
85 views

Large Deviations: Exponential decay in normed spaces

Let $(X_1,X_2,\cdots)$ be a sequence of independent and identically distributed random variables taking values in some general normed space $(V,||\cdot||)$. Denote $\mu=E[X_1]$ and ...
4
votes
0answers
236 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 ...
4
votes
0answers
180 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 ...
4
votes
0answers
171 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
0answers
223 views

decreasing rearrangements: why the asymmetry of measure-preserving maps?

Ryff proved in 1970 that the decreasing rearrangement $f^*$ of a, say, continuous function $f:[0,1]\to\mathbb{R}$ admits a measure preserving map $\phi$ such that $f=f^*\circ\phi$. In general it is ...
4
votes
0answers
65 views

Importance sampling of finite path of stochastic difference equation

Before passing to question, let me briefly recap what's importance sampling of random variables is about. Suppose $\xi$ is a real-valued random variable with density $f$, and let $g:\Bbb R\to \Bbb R$ ...
4
votes
0answers
136 views

Beck-Chevalley for measures?

A measurable set is a pair $(X,\Sigma)$ where $X$ is a set and $\Sigma$ is a $\sigma$-algebra on $X$. The elements $U\in\Sigma$ will be considered as subsets $U\subseteq X$. A morphism of measurable ...
4
votes
0answers
171 views

Convergence of probability measures on a generating field of a sigma-field

Let $(\Omega,\mathcal{B})$ be a measurable space and let $\mathcal{F}$ be a generating field of $\mathcal{B}$. Assume $\mathcal{F}$ is standard, i.e. it is countable, and any normalized, non-negative, ...
4
votes
0answers
433 views

What relates to measure spaces as topological spaces relate to metric spaces ?

Has there been study of a generalization of measure spaces along the following or similar lines ? Given a measure space $(X, \Sigma, \mu)$, define for $U\in\Sigma$ a $\mu$-ball of radius $r$ of $U$ ...
4
votes
0answers
228 views

Two standard probability spaces

Let $(X,\cal{A},\mu)$ be a standard (Lebesgue-Rokhlin) space with complete probabilistic measure (for example, $[0,1]$). Let $\cal{B}\supset \cal{A}$ be a wider then $\cal{A}$ $\sigma$-algebra on $X$, ...
4
votes
0answers
185 views

The ring generated by measures

Suppose $X$ is a space equipped with a $\sigma$-algebra $\mathcal{M}_X$. Then the set of measures on $X$ is closed under addition and scalar multiplication by elements of ${\mathbb R}$. Formally ...
4
votes
0answers
133 views

On the multidimensional Mellin transform of measures

Consider an integral transform of Borel measures supported on $\mathbb{R}^n_+$ given by $$ f(z) =\int\limits_{\mathbb{R}^n_+} x^{z}\frac{\mu(dx)}{x} $$ where $z = (z_1,...,z_n) \in \mathbb{C}^n$, ...
4
votes
0answers
370 views

Measure Theoretic view of Hardy Littlewood Circle Method

Is it possible to view the Hardy-Littlewood Circle method as the Fourier transform with respect to the Lebesgue measure on [0,1) for an appropriate generating function defined in terms of additive ...
4
votes
0answers
709 views

Exceptional Set in Egoroff's Theorem

I'll use the version of this question I posted on Stakexchange to replace the former version. To simplify the situaton, we assume the measure space we are dealing with right now is a closed interval ...
4
votes
0answers
335 views

Conditional probabilities in Banach spaces

This is the infinite-dimensional sequel to my question, Conditional probabilities are measurable functions - when are they continuous?. Let $\Omega = \Omega_1 \times \Omega_2$ be a probability space ...
3
votes
0answers
63 views

How to define Product of Conditional Measures?

I have been wondering how to define the product of conditional measures as defined by Renyi-Popper. I spell the details below. If $(X,\Sigma)$ is a measurable space, then the function $\mu : ...
3
votes
0answers
151 views

Total variation and Hellinger distance inequality between truncated Gaussians

We know that the total variation distance, $d_{TV}(P,Q) = \frac{1}{2}\left|\left|P-Q\right|\right|_1$, between any two distributions $P$ and $Q$ is lower bounded by their squared Hellinger distance, ...
3
votes
0answers
77 views

Pointwise a.e. formulation of parabolic PDE, what if null set depends on test function?

Let $u \in L^2(0,T;V)$ with $u_t \in L^2(0,T;V^*)$ be a solution of $$\langle u_t(t), v \rangle + a(t;u(t), v) = \langle f(t), v \rangle$$ where $f \in L^2(0,T;V^*)$ and we have the usual assumptions ...