All Questions
Tagged with measure-theory pr.probability
823 questions
1
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0
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37
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If $(\kappa_t)_{t\ge0}$ is a Markov semigroup with invariant measure $μ$, under which assumption is $t\mapsto\kappa_tf$ measurable for $f\in L^p(μ)$?
Let
$(E,\mathcal E)$ be a measurable space;
$(\kappa_t)_{t\ge0}$ be a Markov semigroup on $(E,\mathcal E)$;
$\mu$ be a finite measure on $(E,\mathcal E)$ which is subinvariant with respect to $(\...
- 167
8
votes
5
answers
685
views
Distributions of distance between two random points in Hilbert space
Let $\mu$ be a probability distribution on a separable infinite-dimensional Hilbert space. Let $D$ be the distance between two independent random samples from $\mu$.
So $D$ has some probability ...
- 236
4
votes
1
answer
265
views
Bounds on discrepancy metric of product measures
Consider two measurable spaces $X_1 = (\mathbb{R}^m,\mathcal{B}(\mathbb{R}^m),\mu_1)$ and $X_2 = (\mathbb{R}^m,\mathcal{B}(\mathbb{R}^m),\mu_2)$ and the product spaces
$$X_1^{q} = (\times_{i=1}^q\...
- 2,712
7
votes
1
answer
253
views
Are all quasi-regular points on Polish spaces generic points?
Let $X$ be a Polish space and $T\colon X\to X$ be a continuous map. We say that a point $x\in X$ is quasi-regular if for every bounded continous function $\varphi\colon X\to\mathbb{R}$ the sequence $...
- 1,658
2
votes
1
answer
122
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Can we say that there exists a measurable function $f$ such that $ \nu=f_{\#}\mu$?
Define a coupling $\pi\in \Pi(\mu,\nu)$ on the product space $(X\times X,\mathcal{F}\times\mathcal{F})$. let $\pi_x$ be the disintegration of $\pi$ with respect to the $\mu$, i.e. there exists a Borel ...
- 288
0
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1
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96
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What is the significance of Blumenthal and Getoor's result on the boundedness of paths of a standard Markov process?
In the book Markov processes and Potential Theory of Blumenthal and Getoor we can find the following result:
I don't understand the significance of this result. If I don't misinterpret the assertion, ...
- 167
-1
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1
answer
273
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What does $\mu$ and $\nu$ "dependent" mean? [closed]
On the other hand, if $\mu$ and $\nu$ are completely dependent then $\pi_{x_1}=\delta_{f(x_1)}$ for some function $f$. Then $W(\pi)=1$.
Note that
$$
\pi(dx, dy)=\pi_x(dy)\mu(dx).
$$
If $\pi_x(dy)=\...
- 288
0
votes
1
answer
284
views
Is there a "smooth Kantorovich-Rubinstein duality" for Wasserstein distances on smooth/Euclidean space?
Let $X$ be a compact metric space, and fix an arbitrary point $x_\ast \in X$. By the Kantorovich-Rubinstein duality theorem, the $1$-Wasserstein metric $W_1$ on the set of Borel probability measures ...
- 708
0
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0
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72
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If $\kappa$ is a Markov kernel with density $p$, does it generally hold $p(x,z)=\int p(x,y)p(y,z)\:{\rm d}y$?
Let $(E,\mathcal E)$ be a measurable space and $\kappa$ be a Markov kernel on $(E,\mathcal E)$. Assume that $$\kappa(x,B)=\int_Bp(x,y)\:\lambda({\rm d}y)\;\;\;\text{for all }(x,B)\in E\times\mathcal E$...
- 167
0
votes
0
answers
42
views
If $X$ is a right-continuous process, is $t\mapsto\operatorname E\left[X_\tau\mid\tau=t\right]$ right-continuous as well?
Let
$(\Omega,\mathcal A,\operatorname P)$ be a probability space;
$(X_t)_{t\in[0,\:\infty]}$ be a real-valued process on $(\Omega,\mathcal A,\operatorname P)$;
$\tau$ be an $[0,\infty]$-valued random ...
- 167
5
votes
1
answer
254
views
Is the topology of weak+Hausdorff convergence Polish?
Let $X$ be a compact metric space, $P_X$ the set of Borel probability measures on $X$, and $K_X$ the set of non-empty closed subsets of $X$. I will define the "topology of weak+Hausdorff ...
- 708
5
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1
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415
views
Why is it valid to take uncountable infimum of one dimension of a multivariate function of random variables?
let $\xi,\eta: \Omega \to \mathbb R$ be i.i.d. random variables on a measurable space $(\Omega , \mathcal F,\mathbb P)$, and let $f: \mathbb R^2 \to \mathbb R$ be a bivariate measurable function (say ...
- 53
0
votes
1
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262
views
Construction of a Markov process with prescribed local behavior and state-dependent jump distribution
Let
$(E,\mathcal E)$ be a measurable space
$\mathcal E_b:=\left\{f:E\to\mathbb R\mid f\text{ is bounded and }\mathcal E\text{-measurable}\right\}$
$(\kappa_t)_{t\ge0}$ be a Markov semigroup on $(E,\...
- 167
1
vote
1
answer
337
views
How can we determine the generator of this Markov process (at least formally)?
Let
$(\Omega,\mathcal A)$ be a measurable space;
$(E,\mathcal E)$ be a measurable space with $\{x\}\in\mathcal E$;
$(Y_t)_{t\ge0}$ be an $(E,\mathcal E)$-valued time-homogeneous Markov process on $(\...
- 167
1
vote
0
answers
135
views
Description of state space of $C(K,M_n)$?
Edit: closed convex hull added.
I am trying to understand the state space of $C(K,M_n)=C(K)\otimes M_n$ for $K$ a compact space.
My guess would be that these are the closed convex hull of states on $C(...
- 598
5
votes
1
answer
175
views
For stochastic process $X_t$ with marginals $\mu_t$, is it true that the sample-path continuity of $X_t$ implies $\mu_t$ is weakly continuous in $t$?
I need to prove or disprove that for a stochastic process $(X_t)_{t \in [0,1]}$ with marginals $(\mu_t)_{t \in [0,1]}$ on $\mathbb{R}$, if the sample paths of $(X_t)_{t \in [0,1]}$ are continuous, ...
- 69
2
votes
1
answer
111
views
Independence between sigma fields [closed]
$\mathcal{F},\mathcal{F}_1,\mathcal{F}_2 $ are all $\sigma$ fields. If $\mathcal{F}$ is independent with $\mathcal{F}_1$ and $\mathcal{F}_2$ , is $\mathcal{F}$ independent with $\sigma(\mathcal{F}_1\...
- 31
1
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0
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72
views
On the closedness of a certain subset of $\mathbb R$
Let $\mu$ be a probability measure on measurable space $X=\mathbb R^n$ (euclidean), and let $F$ be a family of $\mu$-measurable functions $X \mapsto \mathbb R$ which are uniformly bounded, i.e $b:=\...
- 6,853
2
votes
1
answer
95
views
Compactness of the integral of a set-valued function
Let $X$ be a compact space (e.g. a compact subset of $\mathbb R^n$) and $P$ be a probability measure on $X$. Let $A$ be a compact subset of some $\mathbb R^d$. Finally, let $F$ be the collection of $P$...
- 6,853
2
votes
0
answers
132
views
Concentration of sample covariance for dependent data
Let $X_1, \ldots, X_T$ are sub-Gaussian random vectors in $\mathbb{R}^d$ coming from a common distribution with population covariance $\Sigma$. If they are independent, it is known that the sample ...
- 399
3
votes
2
answers
264
views
Probability of picking neighbors in $\{1,\ldots, n\}$
Motivation. Swiss license plates consist of $2$ letters indicating the region, followed by a number, such that the pairing (region, number) is unique by car. In the small town where I live, I saw two ...
- 48.9k
1
vote
1
answer
160
views
Existence, uniqueness and regularity of the solution to some integral equation
Let $b: \mathbb R_+\times\mathbb R_+\times \mathcal P\to\mathbb R$ be Lipschitz, where $\mathcal P$ denotes the set of probability measures $\mu$ on $\mathbb R_+$ of finite first moment and is endowed ...
- 1,334
8
votes
0
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422
views
Non-affine smooth transformation of Gaussian is Gaussian
Suppose $Z\sim N(0,1)$ (standard Gaussian) and $f: \mathbb{R} \to \mathbb{R}$ is a differentiable function such that $f(Z)\sim N(0,1)$. My question is whether there exists any such $f$ other than $f(x)...
- 399
1
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0
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47
views
How do we need to argue in this step of the Itō-Lévy-Khintchine decomposition?
Let
$E$ be a $\mathbb R$-Banach space;
$(\Omega,\mathcal A,\operatorname P)$ be a probability space;
$(\mathcal F_t)_{t\ge0}$ be a filtration on $(\Omega,\mathcal A)$;
$(X_t)_{t\ge0}$ be an $E$-...
- 167
2
votes
1
answer
139
views
Spaces with atomless independent $\sigma$-sub-algebras
When comparing two sub-$\sigma$-algebras on a probability space $(\Omega,\Sigma,\pi)$, say $\mathcal{X}$ and $\mathcal{Y}$, say that $\mathcal{X}$ is strictly coarser than $\mathcal{Y}$ if the ...
- 123
2
votes
1
answer
297
views
Examples of "almost" Ahlfors regular measures
Let $\mu$ be a Borel probability measure on $\mathbb{R}^n$ such that there are $c,C,d,D>0$ satisfying: for every $x \in \mathbb{R}^n$ and every $r>0$
$$
c r^d \leq \mu(B(x,r)) \leq Cr^D.
$$
Let'...
- 5,405
2
votes
0
answers
98
views
Has this "optimal constrained transport" notion of convergence of measures been named and/or studied?
Let $(X,d)$ be a compact metric space, and let $\{\mu_n\}_{n \in \mathbb{N} \cup \{\infty\}}$ be a family of Borel probability measures on $X$.
Fix $L \geq 1$. I will say that $\mu_n$ converges in ...
- 708
4
votes
1
answer
209
views
Is $\int_{-c}^c |A \cap (x + A)|\, dx$ maximized when the measurable subset $A \subseteq \mathbb R$ is an interval centered at the origin?
Let $A$ be a nonempty measurable subset of $\mathbb R$, with Lebesgue measure $|A|=1$, and let $c>0$. Define the scalar $I(A)$ by
$$
I(A) := \int_{-c}^c |A \cap (x + A)|\, dx,
$$
where $x+A := \{x +...
- 6,853
1
vote
1
answer
332
views
Extension of measurable function from dense subset
Let $M$ be a compact riemannian manifold equipped with a geodesic distance and let $\mathcal{B}(M)$ be the borel sigma algebra generated by the geodesic distance. Let $(\Omega,\mathcal{F},\mathbb{P})$...
1
vote
0
answers
328
views
Preservation of variance for log-normal variables under change of measure
Aim: to show that changing a probability measure via the application of a Radon-Nikodym derivative preserves variance of a log-normally distributed random variable (for the case when variance is non-...
- 141
4
votes
1
answer
360
views
Measurability of Markov kernel wrt the Borel $\sigma$-algebra generated by the weak topology
Consider two Polish metric probability spaces $(\mathcal{A}, \Sigma_\mathcal{A})$ and $(\mathcal{B}, \Sigma_\mathcal{B})$, endowed with their Borel $\sigma$-algebras. Denote as $\mathcal{P}_\mathcal{B}...
- 345
1
vote
1
answer
227
views
How fine is the Borel $\sigma$-algebra induced by the weak topology?
Let $(\mathcal{X},\Sigma,P)$ be a Polish probability measure space, and $(\mathcal{X}^n,\Sigma^{\otimes n},P^n)$ be the product of its $n$ copies. Let $t: x^n \in \mathcal{X}^n \mapsto L_{x^n} \in \...
- 25
1
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1
answer
172
views
A question about pushforward measures and Peano spaces
Specifically my question is the following: Let $P$ be a Peano space. If $(P,\sigma,\mu)$ and $(P,\sigma,\nu)$ are both nonatomic probability measures, does there exist a continuous function $f:P\to P$ ...
- 33
1
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2
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122
views
Rank inequality for spectral measures
Let $A$ and $B$ be $n \times n$ Hermitian matrices and denote by $F_A$ and $F_B$ the distribution functions related to the spectral measures $L_A$ and $L_B$ of $A$ and $B$, respectively. Setting $k = \...
- 730
11
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0
answers
263
views
Which results in probabilistic group theory generalize from finite groups to compact Hausdorff groups (and which don't)?
Let $G$ be a finite group. It has been shown that:
If the probability that two randomly selected elements of $G$ generate an abelian group is greater than $5/8$, $G$ is abelian.
If the probability ...
- 495
1
vote
0
answers
89
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Understanding the statements of Theorem 5.5 and Lemmas 5.6, 5.7 and 5.8 from a French paper by Yves Guivarc’h and Émile Le Page
I would like to understand the statement and the proof Theorem 5.5 just for the special case when $X$ is a single point from the paper “Simplicité de spectres de Lyapounov et propriété d’isolation ...
1
vote
3
answers
173
views
Is $\sum_{\substack{s\:\ge\:0\\\Delta X_s\:\ne\:0}}1_B(s,\Delta X_s)$ measurable for fixed $B\in\mathcal B([0,\infty)\times\mathbb R)$?
Let $(X_t)_{t\ge0}$ be a càdlàg Lévy process on a filtered probability space $(\Omega,\mathcal A,(\mathcal F_t)_{t\ge0},\operatorname P)$ and $B\in\mathcal B([0,\infty)\times\mathbb R)$.
How can we ...
- 167
-1
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1
answer
200
views
Is the unordered sum of measurable functions measurable?
Let $E$ be a normed $\mathbb R$-vector space and $I$ be a nonempty set. Remember that $(x_i)_{i\in I}\subseteq E$ is called summable if there is a $x\in E$ such that for all $\varepsilon>0$, there ...
- 167
3
votes
1
answer
190
views
Is the function $x\mapsto(\Delta x(t))_{t\ge0}$ measurable with respect to the product $\sigma$-algebra?
Let $E$ be a normed $\mathbb R$-vector space. If $x:[0,\infty)\to E$ is càdlàg, let $$x(t-):=\lim_{s\to t-}x(s)\;\;\;\text{for }t\ge0$$ ($x(0-):=0$) and $$\Delta x(t):=x(t)-x(t-)\;\;\;\text{for }t\ge0....
- 167
1
vote
0
answers
191
views
Characterization of Poisson random measure in terms of Laplace transform
Let $(E,\mathcal E)$ be a measurable space and $\mu$ be a measure on $(E,\mathcal E)$.
A random measure $\pi$ on $(E,\mathcal E)$ is called Poisson with intensity $\mu$ if
$\pi(B)\sim\operatorname{...
- 167
1
vote
0
answers
147
views
Does a random rearrangement of $[0,1]$ have non-zero mass? [closed]
I'm not sure this question is well-defined, but also I feel like in some sense this makes sense and should have a formalization. Although I don't know where to begin.
If we randomly rearrange $[0,1]$, ...
- 119
3
votes
1
answer
190
views
Example where concentration of measure fails nontrivially
A metric probability space $(X, \mu, \rho)$, i.e., a complete separable metric space with a probability measure on its Borel sets, is said to satisfy (Gaussian) concentration of measure property if ...
- 141
1
vote
0
answers
199
views
Absolute continuity of joint distribution if all marginals in any basis are absolutely continuous
Consider a probability distribution $\nu$ on $(x,y)\in\mathbb{R}^2$. I know that the absolute continuity of the marginals on $x$ and $y$ is not sufficient to imply the absolute continuity of $\nu$, ...
- 449
4
votes
1
answer
446
views
Birkhoff ergodic theorem for ergodic Markov processes
This question was previously posted on MSE.
This question might be easy but I am really stuck on it.
Let $M$ be compact metric space and $\mathcal B(M)$ the Borel $\sigma$-algebra of M. Consider the ...
- 333
3
votes
1
answer
265
views
Is the ball ratio theorem for Radon–Nikodým derivative known for general metric spaces?
Given two non-negative Borel measures $\mu$, $\nu$ on $\mathbb{R}^n$, that are finite on compact sets, such that $\nu\ll\mu$, it is well known that
$$\frac{d\nu}{d\mu}(x)= \lim_{\epsilon\to 0} \frac{\...
- 173
2
votes
0
answers
192
views
Convergence of Gibbs distribution to Dirac measure [closed]
Consider the probability density function on $R^d$ for a continuous function $F: R^d \to R$:
$$
q_{\varepsilon}(x) = \frac{1}{Z} \exp\left(-\frac{1}{\varepsilon} F(x)\right).
$$
Denote $x^* = \arg \...
- 31
2
votes
0
answers
145
views
Are there sets in the unit cube that cannot be in the domain of any finitely-additive, isometry-invariant probability measure?
The Vitali construction implies (given choice) the existence of a set such that for any translation-invariant, countably additive probability measure on $[0,1]$, that set is nonmeasurable and has ...
- 71
0
votes
2
answers
200
views
Couplings as generalized functions
I've been casually reading about optimal transport, and I was intrigued by the Wasserstein metric, in which we define the distance between two measures $\mu$ and $\nu$ on a metric space $X$ by
$$
W_p(\...
- 123
2
votes
0
answers
123
views
Probability of a finite cylinder set in a free group
Let $\mathbb{F}_n$ be the free group (each elemen is in its reduced form) generated by the set $\Sigma_n = \{a_1, a_2, \cdots, a_n, a_1^{-1}, a_2^{-1}, \cdots, a_n^{-1}\}$ and let $e$ denote the ...
- 307
3
votes
2
answers
293
views
Wasserstein convergence of "series expansion'' of probability measure
Let $X$ be a Polish space and let $(\mu_i)_{i=1}^{\infty}$ be a sequence of probability measures in the Wasserstein space $\mathcal{P}(X)$ on $X$. Let $(\beta_i)_{i=1}^{\infty}$ be a summable ...
- 5,405