All Questions
24 questions with no upvoted or accepted answers
8
votes
0
answers
729
views
Density of countably additive measure in the set of all finitely additive measures.
Let $S$ be a countable discrete set, the following two results are quite easy to prove:
Every countably additive probability measure $\mu$ on $S$ commutes (in Fubini's sense) with every finitely ...
- 6,034
5
votes
0
answers
135
views
Criteria for tightness of Gaussian measures on Banach spaces
In Bogachev's book "Gaussian Measures" (Example 3.8.13) sufficient conditions for the (uniform) tightness of a sequence of centered Borel Gaussian probability measures on a separable Hilbert ...
- 505
5
votes
1
answer
363
views
Inverse marginal property of a collection of $\sigma$-algebras
In my paper "On the inverse best approximation property of systems of subspaces of a Hilbert space"
I introduced the Inverse marginal property (IMP) for a collection of $\sigma$-algebras.
Let $(\...
- 935
3
votes
0
answers
130
views
A Talagrand inequality for the supremum of partial sums over function classes under dependence. (Reference request)
As a consequence to the Talagrand concentration inequality, it is well known that for a measurable space $(S,\mathcal{S})$ and an i.i.d. sample $X_1,...,X_n$ of $S$-valued random variables, if $\...
- 141
3
votes
0
answers
237
views
Reference request: Darboux properties of real-valued set functions (measures, densities, etc.)
Fix a set $S$ and let $f: \mathcal P(S) \rightharpoonup \mathbf R$ be a real-valued partial function on the power set of $S$; denote by $\mathcal D$ the domain of $f$. We say that $f$ has:
(i) the ...
- 10.5k
2
votes
0
answers
205
views
When should the empirical measure of an infinite sequence be defined?
Let $(x_n)_{n \in \mathbb{N}}$ be a (deterministic) sequence of nonnegative reals, possibly even with $x_n \in \mathbb{N}$ if you prefer. Then we'd like to define the empirical measure of such a ...
- 6,406
2
votes
0
answers
127
views
Measure algebra for a family of probability measures
Let $(X,B,P)$ be a probability space, $I_P$ the $\sigma$-ideal of $P$-null sets and
\begin{align}
B_P = B \ltimes I_P &= \{ A \mathbin{\triangle} N \mid A \in B, N \in I_P \}
\end{align}
the ...
- 285
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
2
votes
0
answers
61
views
Measurable extensions of probability measures
Let $X$ be a set, and let $\mathcal G \subset \mathcal F$ be $\sigma$-fields over $X$. Let $\Delta_\mathcal G$ (resp. $\Delta_\mathcal F$) be the set of probability measures on $\mathcal G$ (resp. $\...
- 869
2
votes
0
answers
261
views
Reference for Borel $\sigma$-algebra of topology of convergence in probability
I'm pretty sure I can prove the "Theorem" given further below (without very much difficulty), but it seems way too basic not to have been noticed before.
So I'm wondering if there are any papers/...
- 708
1
vote
0
answers
168
views
Optimal transport-like problem where the objective depends on conditional probability distribution
$\DeclareMathOperator\marg{marg}$I would like to know if the following problem can be studied as an optimal transport problem, possibly imposing additional assumptions on the data.
Consider two sets $\...
1
vote
0
answers
87
views
Symmetry of the isoperimetric profile
Given a probability measure $\mu$ on a metric space $(X, \mathsf{d})$, the $(\mu-)$Minkowski content of a set $A$ is defined as
$$\mu^+ (A) := {\lim\inf}_{r \to 0^+} \frac{\mu ( A_r \setminus A)}{r},$$...
- 801
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
74
views
Measurability of $\mathbb{R}^n$-Random Field
Let $(X_x)_{x\in [0,1]^d}$ be a collection of integrable random variable defined on a (common) probability space $(\Omega,\mathcal{F},\mathbb{P})$. Under what condition is the map:
$$
[0,1]^d\ni x \...
- 5,405
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
1
vote
0
answers
91
views
Probability space with countable subset such that every subset of positive measure meets the subset
Let $(X, \mathcal F, P)$ be a probability space.
Question
What kind of condition is this: there exists a sequence $(a_n)_n \subseteq X$ such that
$\forall$ measurable $A \subseteq X$, $P(A) >...
- 6,853
1
vote
0
answers
163
views
Does the law of a Feller process depend continuously on the initial condition?
Let $E$ be a locally compact and separable metric space, and suppose $X$ is a Feller process with transition function $P_t$. To be precise, let $C_0$ denote the space of continuous functions vanishing ...
- 11
1
vote
0
answers
58
views
Extension of a result about measurable, additive functionals
Let $W$ be a set, and let $v$ be a finitely additive probability measure on $2^W$.
Equip $2^W$ with the Borel sigma-algebra $\mathcal{B}$ generated by the sub-basic sets of the form $\{a: w \in a\}$ ...
- 869
1
vote
0
answers
120
views
Existence of Time-Reversed Markov Kernels
Suppose I have a probability measure $\pi$ and a Markov kernel $q$ which leaves $\pi$ invariant, in the sense that
\begin{align}
\int_x \pi(dx) q(x \to dy) = \pi(dy)
\end{align}
Then, a (the) time-...
- 801
1
vote
0
answers
192
views
References about distances between singular probability measures
I would be interested in references on the topic of distances between probability measures that are singular with one another and not reduced to trivial ones. For example from here we know that total ...
- 1,334
1
vote
0
answers
417
views
Defining density of a random function using Radon-Nikodym Theorem
Let $(\Omega,\mathbb{F},P)$ be a probability space and $E$ be an infinite dimensional Banach space and $\mathbb{B}$ be the $\sigma$-algebra of Borel subset of $E$.
Let $X$ be random function defined ...
- 213
0
votes
0
answers
54
views
Reference request: "doubly empirical" measure associated to a random measure
I am considering the following type of situation. Suppose we have a random probability measure, by which I mean a probability measure on a space of probability measures atop some Polish space $X$. In ...
- 660
0
votes
0
answers
161
views
Markov process with time varying transition kernels
I cross post this question from StackExchange as it may be more appropriate.
I am interested in studying the evolution of a variable $\alpha_t\in [0,1]$ governed by the following stochastic dynamical ...
0
votes
0
answers
424
views
Bounding the total variation distance between two measures from a given set
I have a distance on the space of probability measures on $[0,2]$. It is defined as such for two probability measures $\mu_1$ and $\mu_2$ :
$d_p(\mu_1,\mu_2) := \sum_{k=0}^p ( \mathbb{E}[X_1 ^k]- \...
- 31