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Dec 19, 2019 at 22:43 comment added Julian Newman Thank you for this. Yes, I see how this reasoning might indicate that trying to do something like a differentiable analogue of the topological notion of weak convergence of probability measures won't work (i.e. it will just end up the same as weak convergence of probability measures). But is there good reason to expect that in general, every reasonable notion of convergence of probability measures fits more-or-less into the kind of framework you've described?
Dec 17, 2019 at 18:25 history answered Iosif Pinelis CC BY-SA 4.0