Questions tagged [measure-theory]
Questions about abstract measure and Lebesgue integral theory. Also concerns such properties as measurability of maps and sets.
3,071 questions
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Question/References on the Skorokhod M1 topology
Let $D(0,T)$ be the space of right continuous functions with left limits defined on $[0,T]$. Consider the Skorokhod M1 topology on $D(0,T)$, see e.g. S. Ledger, Skorokhod’s M1 topology for ...
CommunityBot
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Existence of symmetric total measures
Is it consistent that there is a total finitely additive measure $μ$ on $ℝ$ extending the Lebesgue measure such that for every Borel Lebesgue-measure-preserving bijection $f$ of $ℝ$, $∀α∈Ord \, ∀s∈Ord^...
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What properties does representing measure $\mu$ for $z\in\mathbb{D}^n$ has to satisfy so that $\nu=0$ is the only measure singular with respect to it?
Let $\mu$ and $\nu$ be two measures on the $\sigma$-Borel set $\mathcal{B}(\mathbb{D}^n)$.
We say that $\mu$ is a representing measure for some point $z \in \mathbb{D}^n$, if
$$\forall_{u \in A(\...
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When is $L^2(X)$ separable?
I have never studied any measure theory, so apologise in advance, if my question is easy:
Let $X$ be a measure space. How can I decide whether $L^2(X)$ is separable?
In reality, I am interested in ...
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Questions about shear transformations
I am interested in the following shear transformation $T$, which is the linear transformation on $\mathbb{R}^n$ such that the $n$ by $n$ matrix representation is given by $T = I_n + ce_n e_1^{\perp}$ ...
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Integral on level sets
Let $g_\epsilon : K \subset \mathbb{R}^d \rightarrow \mathbb{R}$ (more regularity can be assumed if necessary) be defined on a compact set (with regular boundary) $K \subset \mathbb{R}^d$, and the ...
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Hartman uniform distribution of means
Background: for a discrete abelian group $G$, a character of $G$ is a homomorphism $\chi:G\to \mathbf S^1$, $\mathbf S^1$ being the circle group $\{z\in \mathbb C:|z|=1\}$ with ordinary multiplication....
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Estimation on function defined on diophantine approximation
Consider a convergent series $\sum_n a_n=1$ where $a_n\geq 0$. I am interested in a non-zero lower bound on the function
$$
S(t)=\sum_n a_n d(nt,\mathbb Z)^2
$$
where $d(nt,\mathbb Z)$ is the distance ...
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Girsanov's theorem for Gaussian measures as the Cameron-martin theorem with a random shift
Let $H \subset E$ be the Cameron-Martin space of a Gaussian measure $\mu$ on a separable Banach space $E$. The Cameron-Martin theorem states that for all $h \in E$ we have $h \in H$ if and only if $\...
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How "correct" is Knuth's fast addition $(a,b) \mapsto (a \oplus b) \oplus ((a\land b) \ll 1)$?
Donald Knuth suggested a bitwise approximation for addition on the non-negative integers that is very fast on common processors:
$(a,b)\mapsto (a\oplus b) \oplus ((a\land b) \ll 1)$,
where $a,b$ are ...
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Sets that project to zero measure on all lines except one
It is a (difficult) exercise to show that there exists a measurable set $E \subset [0,1]^2$ (necessarily with zero 2-dimensional Lebesgue measure) such that the projection on every line passing ...
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What is a natural interpretation of the commutator of the conditional expectation operator?
Notation: We denote by $\mathbb E_{\mathcal F} X$ the conditional expectation of the random variable $X$ with respect to the $\sigma$-algebra $\mathcal F$.
Given two $\sigma$-algebras $\mathcal G, \...
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Countable set meeting uncountable family of positive measure sets
Suppose $\mu:\mathcal{P}([0, 1]) \to [0.1]$ is a probability measure and $\{A_i: i < \omega_1\}$ is a family of subsets of $[0, 1]$ such that $\mu(A_i) \geq 1/2$ for every $i < \omega_1$. Can we ...
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Envelopes of functions with respect to some convex cone $\mathcal{F}$
Let's say we are given a function $f:\mathbb R ^d\to \mathbb R$ continuous. Assume that $\mathcal F$ is a convex cone of continuous functions ($\mathbb R^d$ to $\mathbb R$) closed under maxima. I am ...
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Have the open Questions 1 and 2 from Section 7 of the paper "Integrals with values in Banach spaces" been answered?
Some context: I had previously asked the post below on MSE, but someone suggested I ask it here and delete the original post.
In section 7 of the paper Integrals with values in Banach Spaces and ...
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Possible error in a paper about minimal sufficient statistic and minimal sufficient $\sigma$-algebra
According to Theorem 1 of [1], the stastistic $(X_1,\cdots,X_n)$ is minimal sufficient for the statistical model $X_1,\cdots,X_n\sim N(\theta,1)$ iid and $\theta\in\mathbb{R}$. This is false, as you ...
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Function $g:\mathbb{R}\to \mathbb{R}^n$ such that $g(\sum_{i=1}^nx_i)=(x_1,\dotsc,x_n)$ a.e
Is there a measurable function $g:\mathbb{R}\to \mathbb{R}^n$ such that $g(\sum_{i=1}^nx_i)=(x_1,\dotsc,x_n)$ a.e.?
Due to the papers [1], [2], and [3] I'm obtaining a result that I think it's false. ...
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Intution behind conditional expectation when sigma algebra isn't generated by a partition
I'm struggling with the concept of conditional expectation, when the sigma algebra on which it is conditioned isn't generated by a partition.
If $(\Omega,\mathcal{F},P)$ is a probability field such ...
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Why do probabilists take random variables to be Borel (and not Lebesgue) measurable?
I've been studying a bit of probability theory lately and noticed that there seems to be a universal agreement that random variables should be defined as Borel measurable functions on the probability ...
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Necessity of Lusin measurability for pushforward measure to be Radon?
Let $X$ and $Y$ be Hausdorff topological spaces and let $\mu$ be a positive Radon measure on $X$
A map $\pi$ from $X$ to $Y$ is said to be $\mu$-measurable in the sense of Lusin if for every compact ...
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A Lebesgue measurable set which is not Borel measurable (Lusin) [closed]
I am told that by means of continued fractions, Lusin or somebody else, has constructed examples of Lebesgue measurable sets which are not Borel measurable. Please, if you know a reference help me.
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Literature request: Covariance operators for Gaussian measures
I am looking to answer the question:
If $\mathcal{B}$ is a separable Banach space and $R: \mathcal{B}^*\to\mathcal{B}$ is a symmetric and positive operator, then $\phi: \mathcal{B}^*\to\mathbb{R}, \...
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Bound on $\int_0^1\sqrt{\log N_{[]}(\varepsilon,\mathcal{F},d)} \, d\varepsilon$ over the class of half-spaces $\mathcal{F}$ on $\mathbb{R}^d$?
For a class of functions $\mathcal{F}$ and a pair $f,g\in\mathcal{F}$ with $f\leq g$, the interval $[f,g]=\{h:f(x)\leq h(x)\leq g(x),\forall x\in\mathbb{R}^d\}$ is called a bracket for $\mathcal{F}$. ...
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Existence of ergodic subgroup invariant to a product measure
Let $X=\{0, 1\}^{\mathbb{N}}$ and $G$ be the group of permutations, each of which only permutes finitely many coordinates of $X$. Fix a sequence $(\lambda_n)_{n\in \mathbb{N}} \subseteq (0, 1]$ and ...
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Transport of measure
Let's disintegrate $\mu$ and $\nu$, two probabilities on $\mathbb{R}^{d}$ , according to
$$
\pi_{k} (x_{1},...,x_{d}) = (x_{k},...,x_{d})
$$
We get a family of measures and each measure $\mu_{k,d}^{+...
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Disjoint union of measures
This is a sort of follow-up question to this old post I came across.
Setup:
Let $\{X_n\}_{n \in \mathbb{N}}$ be a collection of Hausdorff topological spaces and let $\{\Sigma_n\}_{n \in \mathbb{N}}$ ...
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Compactness with respect to topology induced by total-variation distance
I've been working on a problem and at some point in the proof I need to show that the following set $$\left\{\mu \in \mathcal{P}_{ac}(\mathbb R^d): \int \varphi(x)\mu(\mathrm{d}x)\leq C\right\}$$
is ...
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For $\mathcal{L}^1$-a.e. $t\in\mathbf R$, is $n-1$ the Hausdorff dimension of level sets of a locally Lipschitz function $f:\mathbf R^n\to\mathbf R$?
Let $f:\mathbf R^n\to\mathbf R$ be a locally Lipchitz function. Denote $\mathrm H^n$ the $n$-dimensional Hausdorff measure. We know that for any $\mathrm H^n$-measurable subset $A\subset\mathbf R^n$, ...
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Lower bound on volume of $n$-cube intersected with $n$-sphere
Let $B_n^r(c)$ be the radius $r$ ball in $\mathbb{R}^n$ dimensions centered at $c$. I am interested in
$$\text{Vol}([-0.5, 0.5]^n \cap B_n^r(c)).$$
Is there a good lower bound for this quantity?
I was ...
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Lebesgue measure of the level set of sum of two nonnegative functions
Let $f, g:\mathbb{R}^n\to \mathbb{R}$ be nonnegative functions such that $g$ is a strictly positive homogeneous function. As commented by Fedor Petrov below, one may not have that for any $\lambda>...
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Lebesgue points of a function is not affected by multiplication of the integrand with a smooth function?
Let $S^1$ be the circle, let us consider a function $f(x,t): S^1 \times [0,\infty) \to \mathbb{R}$ such that
\begin{equation}
\int_0^T \int_{S^1} \lvert f(x,t) \rvert dxdt <\infty
\end{equation}
...
CommunityBot
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Closed linear span of the range of $\boldsymbol f$ and Pettis integrals of $\boldsymbol f$
Let $X$ be a noncompact locally compact topological space, let $H$ by a complex Hilbert space and let $\boldsymbol f:X\to H$ be a continuous function vanishing at infinity whose support is equal to $X$...
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Is there a name for finite unions of intervals?
Finite unions of intervals are simple sets that are used quite often, e.g. in measure theory. (The construction of the Cantor set is a noble example). I realised that I do not have a name for them. Is ...
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Is completion of measures equivalent to completion of sigma algebras as metric spaces with respect to measures?
An alternative way to get the Lebesgue $\sigma $-algebra $\mathcal{L} $ from the Borel algebra $B$ is to set $E\sim J$ iff $d(E,J):=\lambda(E\mathbin\Delta J)=0$ for $E,J\in B$. Then the completion of ...
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Is Boltzmann entropy well-defined for arbitrary probability density function?
$\newcommand{\bR}{\mathbb{R}}\newcommand{\diff}{\mathop{}\!\mathrm{d}}$ We define a continuous function $\varphi : \bR_+ \to \bR$ by
$$
\varphi (s) :=
\begin{cases}
0 &\text{if} \quad s =0 , \\
s \...
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Is the exponent of $2$ in the Pythagorean theorem the "same $2$" as $[\mathbb{C} : \mathbb{R}]$?
I posted this question in Math StackExchange a couple years ago; due to the recent surge in interest, and following the feedback of several users, I've decided to cross-post it here. I apologize for ...
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Construction of nonmeasurable sets
I have a history question for which I've had trouble finding a good answer.
The common story about nonmeasurable sets is that Vitali showed that one existed using the Axiom of Choice, and Lebesgue et ...
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Disintegration of a push forward measure
Let $\mu$ and $\nu$ be two probability measures on $\mathbb{R}^{d}$.
Let $T : \mathbb{R}^{d} \rightarrow \mathbb{R}^{d}$ be a mesurable map such that $T_{\ast} \mu = \nu$.
I can disintegrate $\gamma :=...
CommunityBot
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What is an example of a non-tight probability measure?
Billingsley (Convergence of Probability Measures, 1968) and van der Vaart and Wellner (Weak Convergence and Empirical Processes, 2023) discuss the concept of tight probability measures and use the ...
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(Sub)Optimality of random transport
Problem Setup: Consider the intervals $I_R = [a_R, b_R]$ and $I_B = [a_B,b_B]$. Let $F_R$ and $F_B$ denote the CDF of distributions with support on the intervals $I_R$ and $I_B$. I draw $k$ red and ...
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Sum of $X_k$ with $\mathbb{P}(X_k=\pm 1) = 1/2\pm 1/(2\sqrt{k})$
Let $\{X_k\}$ be a sequence of mutually independent random variables with
\begin{align}
\mathbb{P}(X_k = 1) & = \frac{1}{2} + \frac{1}{2\sqrt{k}},
\\
\mathbb{P}(X_k = -1) & = \frac{1}{2} - \...
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Optimal transport and the geometry of singular measures on fractal Sets
Let $K$ be a self-similar fractal set in $\mathbb{R}^n$ with Hausdorff dimension $d < n$, equipped with a self-similar measure $\mu$ supported on $K$. Let $\mathcal{P}(K)$ denote the space of ...
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Small deviation asymptotics for sub-gaussian diffusions in dirichlet spaces
Let $(X,d,\mu)$ be a metric measure space equipped with a strongly local, regular Dirichlet form $(\mathcal{E}, \mathcal{D}(\mathcal{E}))$ on $L^2(X,\mu)$. Assume that the associated heat kernel $p_t(...
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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 ...
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In the limit, do the intersection points of a string figure define a probability measure on the unit disk?
Let D = {z ∈ ℂ | |z| ≤ 1} denote the closed unit disk in the complex plane.
For any integer n ≥ 1 define the nth string figure S(n) ⊂ D as the union of all n(n+1)/2 line segments that connect two ...
CommunityBot
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Decomposition of measures orthogonal to the algebra $R(K_1 \times \ldots \times K_n)$ - Can it be done via projection-preserving products of bands?
See "Measures orthogonal to tensor products of function algebras" by Marek Kosiek. Here, it is described for the two-dimensional case. It uses another, more general, approach to OB Bekken's ...
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Range of Vector Measure Closed?
Lyapunov's theorem shows that the range of a finite-dimensional non-atomic vector measure is closed and compact. What if we do not assume the vector measure is non-atomic? Is the range still ...
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Wasserstein distance of push-forward measures
I asked this same question on MSE, but with no luck, so I am trying to ask here.
Consider two measures $\mu , \nu$ on $\mathbb{R}^n$. Now consider a map (a priori only measurable, but feel free to add ...
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Which sigma-ideals in a sigma-algebra are contained in an ideal of null sets?
Let $X$ be a Polish space and $\mathcal{B}(X)$ be the $\sigma$-algebra of Borel subsets of $X$. Given a Borel probability measure $\mu$ on $X$, we write $\mathcal{N}(\mu) := \{ B \in \mathcal{B}(X) : \...
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Finitely additive measures on $\mathbb Z_2^\omega$ with invariance and independence constraints
Let $G = \mathbb Z_2^\omega$, with pointwise addition. Assume the Axiom of Choice. I am interested in finitely additive probability measures $\mu$ defined on all of $\mathcal PG$ that can be ...
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