# Tagged Questions

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76 views

### Measurable functions lifted onto a space of point measures are measurable

I've been reading [1] and attempting to prove statements given without proof. In the paper the authors construct a measurable space of measures over a base space, and as an aside show an elegant way ...

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84 views

### Is this generating family of a measurable space of point measures a pi-system?

I'm learning some probability and measure theory and working my way through the first few paragraphs of [1]. My question is perhaps too basic for Math Overflow, but I hope it is welcome here.
Point ...

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78 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 ...

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62 views

### Wiener measure of hitting sets A,B but not C (or easier hitting A but not C)

I am trying to formulate the measure of event
$E=\{B[0\infty)\cap A,B \neq \varnothing$ and $B[0\infty)\cap C= \varnothing\}$,
where $B[0\infty)$ is a Brownian path and $A,B,C$ are pairwise ...

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159 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
...

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76 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 ...

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259 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 ...

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140 views

### A question about stochastic kernels and invariant measures

Suppose that $E$ is a metric space, let $\mathcal{B}_E$ denote the set of its Borel subsets and suppose that $\mu$ is a probability measure on $(E,\mathcal{B}_E)$. In addition, suppose that $p:E\times ...

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108 views

### Generalization of Lévy's continuity theorem for nuclear spaces

I am interested in a generalization of the following finite-dimensional results in infinite dimensional vector-space with nuclear structure, especially for the cases of the spaces of distributions ...

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181 views

### dual space of the subspace of the space of probability measures [closed]

I have a question which maybe so naive but I want to know the result about it.
Let $\mathcal{M}=\mathcal{M}(\mathbb{R})$ be the space of bounded measures. Then by some materiau such as ...

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153 views

### Empirical estimator fot the total variation distance on a finite space

I have two probability measures $p$ and $p'$ on a finite set $X$ which I do not know precisely, but which I can sample from. I would like to estimate their total variation (omitting multiplier $2$):
...

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195 views

### Coupling of non-probability/sub-probability measures

A coupling of two probability measures $P,\tilde P$ on a Borel space $X$ is any probability measure on $X^2$ whose one-dimensional marginals are $P$ and $\tilde P$. In particular, for any such ...

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664 views

### Why do we want maps to be measurable (in countably-additive setting)

When I have to explain things that I am doing to people who did not do (or even did not learn) measure-theoretical probability, I think of getting a question in the title, and I am not sure I have ...

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63 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 $g:\Bbb R\to \Bbb R$ ...

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98 views

### A terminal coalgebra of a certain functor on Mes

Let $\mathfrak C = \mathsf{Mes}$ be the category of meausurable spaces and measurable maps. For any object $X\in \mathfrak C_0$ we assign a measurable space $\mathcal P(X)$ whose elements $\mu$ are ...

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177 views

### Coupling of vectors

Let $X = (X_1,X_2)$ and $\hat X = (\hat X_1,\hat X_2)$ be two random variables where $X_i,\hat X_i$ are taking values over the Polish space $E_i$ endowed with their Borel $\sigma$-algebras, where ...

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424 views

### Topological conditions of Kolmogorov Extension Theorem

KET is often used to construct stochastic processes in continuous time when the state space is $\Bbb R^d$. As far as I am familiar with its proof, it uses standard monotonic class-like arguments ...

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738 views

### Bochner integral of stochastic process = path by path Lebesgue integral?

After some helpful comments, I realized that I had to repost this question in a more systematic way.
On a complete probability space, let $\mathcal{H}_0$ denote the Hilbert space of square ...

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621 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 ...

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291 views

### Family of Brownian Motions

I am trying to show the following statement
Let $D\subset \mathbb{R}^2$ be an open and bounded subset. $\Pi=(P^x : x \in D )$ a Family of standard Brownian Motions started at $x \in D$. Then $\Pi$ ...

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579 views

### Difference in probability distributions from two different kernels

Let $(E,\mathscr E)$ be a measurable space and $P,\tilde P$ be two stochastic kernels on that space. I wonder how the induced measures $\mathsf P_x$ and $\tilde{\mathsf P}_x$ differ on the space of ...

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276 views

### Choice of predictable (or jointly measurable) eigenvalues and eigenvectors of nuclear-operator-valued stochastic process

Let $q^{ij}$, $i,j\in\mathbb{N}$, be predictable real-valued stochastic processes. Let $(e^i)$, $i\in\mathbb{N}$ be an ONB of a separable Hilbert space $H$. Assume that $Q=\sum_{i,j=1}^\infty ...

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679 views

### Kolmogorov probability axioms without non-negativity condition

What is a minimal consistent modification of probability axioms to include negative values?
Is it enough to use a minimal modification of axioms obtained by
formal exclusion of non-negativity ...

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582 views

### Regular Conditional Probability given a natural filtration of a stochastic process

OK, this is kind of re-posting, but I think I can clarify the question more, so it's worth a shot.
Consider a real valued process $(X_t)_{t \leq T}$, cadlag on a probability space $(\Omega, ...

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1k views

### Infinitesimal generators of stochastic processes

What's the $L^1$ analogue of Stone's theorem saying that any strongly continuous 1-parameter unitary groups has a unique self-adjoint generator?
More precisely: let $X$ be a measure space ...

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582 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 ...