All Questions
9 questions
13
votes
4
answers
5k
views
What is known about the Gaussian measure of the unit ball in a Hilbert Space?
Let $X$ be an infinite dimensional separable Hilbert Space with norm $||\cdot||$ and let $\mu$ be a Gaussian measure on $X$ such that $\mu(X) = 1$. What do we know about $\mu(B(0,1))$, where $B(0,1)$ ...
- 617
12
votes
2
answers
3k
views
Does there exist an event independent of a given sigma-algebra?
The following question came up in a discussion with my advisor:
Let $(\Omega, \mathcal F, \mathbb P)$ be a non-trivial probability space, and suppose that $\mathcal G$ is a proper sub-$\sigma$-...
- 8,512
7
votes
1
answer
1k
views
If $H$ is a separable Hilbert space, is $L^2(H)$ separable?
Let $H$ be a separable Hilbert space, and let $\gamma$ be a Radon probability measure on $H$ with mean zero and covariance operator the identity $I$.
Is the Hilbert space $L^2(H,\gamma)$ separable?
- 8,512
5
votes
2
answers
898
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 $...
- 619
3
votes
1
answer
1k
views
If $H$ is a separable Hilbert space, is its dual dense in $L^2(H)$?
Let $H$ be an infinite-dimensional, separable Hilbert space, and let $\gamma$ be a Radon probability measure on $H$ with mean zero and covariance operator the identity $I$.
Let $H^*$ denote the space ...
- 8,512
2
votes
0
answers
160
views
A construction of abstract Wiener spaces using Prokhorov's theorem
I am struggling with Leonard Gross's (original) construction of abstract Wiener spaces (AWS). His proof is somewhat convoluted, but from what I have been able to understand he constructs a certain ...
- 5,407
1
vote
1
answer
128
views
Is a bounded convex function $g$ that is non-negative on this particular convex set also non-negative on the its closure?
Setup :
Let $S$ be the simplex on $\mathbb N$, i.e. the set of probability distribution on the natural numbers. Suppose we have $p\in S$ such that, for all $n\geq 1$, $p_n > 0$. For any $\emptyset\...
- 204
1
vote
1
answer
123
views
Properties of the relatively bounded probability distributions on the simplex over the natural numbers
Setup :
Let $S$ be the simplex over $\mathbb N$, i.e. the set of probability distribution over $\mathbb N$. Let $p\in S$ be such that $0 < p_n$ for all $n\in \mathbb N$. Let $H$ be the Hilbert ...
- 204
1
vote
0
answers
83
views
Embedding random variables in infinite-dimensional spaces
Let $H$ be a reproducing kernel Hilbert space of functions $f:E\to F$ with kernel $k$. A point in $E$ may be embedded into $H$ via the canonical embedding $x\mapsto k(x,\cdot)$. Similarly, a random ...
- 710