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Apr 3, 2010 at 12:45 comment added Philipp Thanks for the answer! I am aware of this; the Rademacher functions are Haar Wavelets (=connection to LP theory) and also the simplest example of a Martingale (=connection to probability). I am certainly interested in specific examples which illustrate this connection but mainly my question concerns a general view which illuminates the similarities between LP projections and iid random variables.
Apr 3, 2010 at 12:41 history edited Willie Wong CC BY-SA 2.5
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Apr 3, 2010 at 12:31 history answered Willie Wong CC BY-SA 2.5