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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Are the densities of a continuous stochastic process locally positive in time?
Let $X=(X_t)_{t\in I}$ ($I\subset\mathbb{R}$ a (non-degenerate) interval) be a stochastic process with continuous sample paths and such that $X_t$ admits a continuous Lebesgue density $\chi_t\in C(\...
- 463
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Measurability of infimum function
In Theorem 14.37 of Variational Analysis by Rockafellar and Wets, it shows that for any normal integrand $f:T\times \mathbb{R}\to\mathbb{R}$, the function $p:T\to \mathbb{R}$ given by
$p(t):=\inf f(t,⋅...
- 29
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Norm equivalences for Gaussian random functions (Cameron-Martin space)
Preliminaries
Consider the Hilbert space $H :={L^2_{\text{per}}(\mathbb{R})}$ of Gaussian random functions, $2\pi$-periodic in $\mathbb{R}$.
These random functions are drawn from a Gaussian measure $\...
- 101
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Regularity with respect to the Lebesgue measure through dimensions
Let us consider two probability measures $\mu \in \mathcal{P}(\mathbb{R}^{p})$ and $\nu \in \mathcal{P}(\mathbb{R}^{q})$ with $p,q \in \mathbb{N}^{*}$. We note $\#$ the push forward operator i.e for $...
- 407
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Prove that infimum of a metric outer measure is a metric outer measure
Let $X$ be a compact measure space and $\mathcal{O}(X)=\{U\subset X, \textrm{U - open set}\}$
and let $\lambda$: $\mathcal{O}(X) \rightarrow \left[0,+\infty\right]$ be a metric outer measure.
Prove ...
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46
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How to prove invariance implies quadrature about Haar measure?
I'm reading paper, which contains a lemma named as 'Invariance Implies Quadrature'. The lemma is stated as follows.
Lemma Let $f$ be a function from $O(d)$ to $\mathbb{R}$ and let $H$ be a finite ...
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369
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Definition of generic point
I am trying to read a paper named D.S. Ornstein, B. Weiss, Subsequence ergodic theorems for amenable groups, Israel J. Math. 79 (1) (1992) 113–127, doi:10.1007/BF02764805. In this paper the authors ...
- 1,879
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Is the co-projection of the projection of a Borel set Lebesgue measurable?
Reading the classical book of Kechris "Classical descriptive set theory", I found the following facts
The projection of a Lebesgue measurable set need not be Lebesgue measurable, but the projection ...
- 21
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Constructing uncountably many independent random variables with same distribution from Brownian motion?
It is well known one cannot construct uncountable many independent random variables on $([0, 1], \mathcal{B}[0, 1], \lambda)$. ($\lambda$ Lebesgue measure.)
Also, one can clearly construct infinitely ...
user152718
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Link between eigenvalues of a symmetric matrix and a functional space
Let $f_1,\dots,f_n \in L^2(\mathbb{R},\mathbb{R})$ be $n$ mutually orthogonal functions with $\int f^2_i =1$ such that $|\{x \in \mathbb{R} | f_i(x) = 0\}| = 0$ for any $i \in \{1, \dots,n\}$. Does ...
- 31
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145
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“Chapman-Kolmogorov”-convolution vs. smoothness
Let $K:\mathbb{R}^n \times \mathbb{R}^n \to \mathbb{R}$ be a so-called "integral-kernel": we certainly require $K(x,.)$ and $K(.,y)$ to be Lebesgue measurable for almost all $x,y \in \mathbb{R}^n$. An ...
- 1,461
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is there a unique measure on a local field?
Suppose we consider a local field and forget about the topology for a moment and consider the set of all measures on some non-trivial $\sigma$-algebra over the field that makes the field operations ...
- 2,125
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Distance between two sample quantiles
Let $X_1,\dots X_n$ be i.i.d. samples from an unknown distribution. We know the distribution has uniformly bounded probability density function $f(x)$. Let $1>\tau_1>\tau_2>0$ be two quantile ...
- 323
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If $M$ is a manifold, $x∈M$ and $d(x,ω)=\inf\{t>0:x+tω∈M\}$, does the pushforward of the solid angle measure under $S^2∋ω↦x+d(x,ω)ω$ admit a density?
Let $S^2$ denote the unit 2-sphere, $M$ be a 2-dimensional oriented embedded $C^1$-submanifold of $\mathbb R^3$ with $$d_M(x,\omega):=\inf\left\{t>0:x+t\omega\in M\right\}<\infty\;\;\;\text{for ...
- 167
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Reference for inequality for TV of positive measures
Let $\mu,\nu$ be positive measures on some measurable space $(X,\mathcal{F})$.
Let $||\mu-\nu||$ denote the total variation distance between $\mu$ and $\nu$.
Is the inequality
$$ ||\mu-\nu|| \le 2(|\...
- 6,541
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192
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At most countably many balls are $\mu$-continuity sets in a Polish space
Let $\mu$ be a locally finite Borel measure on a Polish space $X$. A $\mu$-continuity set $A$ is such that $\mu(\partial A) = 0$, such sets are important when working with Portmanteau's theorem. A few ...
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Derivatives in unusual support domains
Originally posted on Math.StackExchange, here, but I was advised to post it on MathOverflow as it is a research question. Now two final, great answers have been posted, see on Math.StackExchange.
I ...
- 3,098
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Estimate Integral w.r.t Dirac measure by Integral w.r.t Lebesgue measure
Given a bounded, nonnegative and measurable function $f$ and denote the Euclidean ball with center $z$ and radius $r$ by $B_r(z)$.
Is it somehow possible to estimate the Integral w.r.t. the Dirac ...
- 11
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Optimizer of a semi-discrete optimal transport problem
Provided two probability distributions $\mu(dx)=\rho(x)dx$ and $\nu(dx)=\sum_{i=1}^n p_i\delta_{y_i}(dx)$ that are supported on some measurable set $\Omega\subset\mathbb R^d$, we consider the semi-...
user128095
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Is there a dyadic cube decomposition where edge length is comparable to L^2 averages?
Suppose I have some measurable function $f : B_1(0) \to [0,1)$, which is pointwise very small, i.e. $\|f\|_{\infty} << 1$.
I'm looking to construct some kind of dyadic cube decomposition or ...
- 1,179
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Energy-minimizing set of discrete points in a bounded domain
Let $\Omega \subset \mathbb{R}^3$ be a smooth, bounded domain.
Let $x_1,\ldots,x_n \in \overline{\Omega}$ be chosen so as to minimize
$$
\sum_{1\leq i<j\leq n} \frac{1}{|y_i - y_j|}
$$
over all ...
- 401
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66
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Sufficient conditions for measurability: a collection of distributions
Let $(\Omega,\Sigma,\mathbb{P})$ be the underlying probability space. Suppose we have a collection of probability density functions $F(\cdot;x)$ parameterized by $x\in[0,1]$.
Let $X$ be a random ...
- 393
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63
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Coarea-like formula for BV functions (not their derivative)
Let $\Omega \subset \mathbb R^N$ and $f \in BV(\Omega)$. The coarea formula states that
$$Df = \int_{\mathbb R} D \chi_{\{f >h\}} \, dh.$$
Unfortunately, the formula
$$f = \int_{\mathbb R} \...
- 839
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82
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Kantorovich-Rubinstein like distance
Fix the closed unit disk (for simplicity) $\mathbb{D}^n\subset \mathbb{R}^n$. Given two probability measures $\mu,\nu$ on $\mathbb{D}^n$ we define the Kantorovich-Rubinstein distance between them to ...
- 2,478
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424
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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]- \...
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How can we show that the total variation distance of $X_s$ and $Y_s$ is bounded by the distance of $(X_t)_{t\ge s}$ and $(Y_t)_{t\ge s}$?
Let $(X_t)_{t\ge0}$ and $(Y_t)_{t\ge0}$ be real-valued time-homogeneous Markov processes with a common transition semigroup $(\kappa_t)_{t\ge0}$. Let $\mathcal L(Z)$ denote the distribution of a ...
- 167
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Exterior cone condition for $\mathrm{supp}\, u$ and Lebesgue points of $u$
Let $u:\mathbb{R}^n \to \mathbb{R}$ be an $L^1$ function with compact support. Let $\bar x \in \partial \mathrm{supp}\, u$ and assume that $\mathrm{supp} \, u$ satisfies the exterior cone condition at ...
user124345
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If $(Y_n)_{n\in\mathbb N_0}$ and $(N_t)_{t\ge0}$ are stochastic processes, what is the filtration generated by $\left(Y_{N_t}\right)_{t\ge0}$?
Let
$(\Omega,\mathcal A)$ and $(E,\mathcal E)$ be measurable spaces
$(Y_n)_{n\in\mathbb N_0}$ be a $(E,\mathcal E)$-valued stochastic process on $(\Omega,\mathcal A)$
$(N_t)_{t\ge0}$ be a $\mathbb ...
- 167
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552
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Egorov's and Lusin's Theorem in the space with infinite measure
Both the fundamental Egorov's and Lusin's Theorem in measure theory are given on any measurable space $X$ whose measure is finite.
On the measurable space whose measure is infinite, does there ...
- 4,058
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101
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Reference Request: Egoroff Theorem for nets
Does there exist a generalization of Egoroff theorem for nets instead of sequences of functions?
- 5,405
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75
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Dense Egoroff theorem
Suppose that $f_n:X\rightarrow V$ is a sequence of continuous functions from a compact metric space $X$ to a Banach space $V$ and let $\mu$ be a Radon measure on $X$ and $\epsilon>0$ be given.
...
- 5,405
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191
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On measurability in Wiener space
Let $f$ be a complex-valued continuous function on Wiener space such that $|f|$ is measurable. Is $f$ then measurable, too? I am looking for a proof or a counterexample.
- 3,873
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191
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Regularity of level sets of Sobolev derivatives
I am interested in the regularity of the sets
$$U_{\lambda}:=\{x: |\nabla^k u(x)|> \lambda \}$$
for a function $u\in W^{k,p}(R^d)$ with compact support. We can choose a lower semicontinuous ...
- 23
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113
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Verifying that a map to $L^2_{\text{loc}}$ is continuous
Let $M$ be a smooth manifold on which a Lie group $G$ acts properly, such that the orbit space $M/G$ is compact. Suppose $c:M\rightarrow [0,\infty)$ is a compactly supported smooth function with the ...
- 1,903
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675
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Upper bound for KL divergence on compact space
Let $(\Omega, \mathcal{F}, \mu)$ be a probability space and let $Q$ be the uniform distribution on $(\Omega, \mathcal{F})$ such that $q = dQ / d\mu$ exists. Then the KL-divergence for some probability ...
- 3
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Capacity and measure
Fix $p\in [1, 2)$ and denote the $p$-capacity of a compact set $K$ as $p$-$\text{cap}(K)$, i.e.,
\begin{equation}
p\text{-cap}(K)\equiv\left\{\int_{\mathbb{R}^2}|D\varphi|^p\ \mathrm{d}x\ \Big|\ \...
- 347
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261
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Expected value of parametrized Gibbs distribution w.r.t another probability distribution
Let $\mu$ be a compactly supported probability measure on a finite-dimensional euclidean space (for simplicity) $\mathbb E$, and suppose $\mu$ has density. For a random point $x \sim \mu$,
consider ...
- 6,853
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84
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Consequence of John and Nirenberg's lemma?
The lemma I'm referring to in the title is the following:
John and Nirenberg's lemma: Let $C_0 \subset \mathbf{R}^n$ a finite cube. Let $u \in L^1(C_0)$ and assume there exists a constant $k$ such ...
- 109
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118
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volume preserving homeomorphism between piecewise linear integral structures
Assume that X and Y both have piecewise linear integral structures. Let f : X → Y be a piecewise linear homeomorphism such that
• V-1: f (t · x) = t · f (x), and
• V-2: x ∈ X is integral if and only ...
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Measure on infinite dimesional $L^p$ space relating size in norm to size in measure
Let $A$ be a bounded set in an infinite dimensional $L^p$ space. Fix an $\epsilon>0$. Is there a Borel measure $M$ such that
$$ M(B(x,\epsilon)) \geq C, \quad \forall x \in A$$
for some $C>0$ ...
- 111
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The Minkowski $(N-1)$- dimensional upper constant of a closed curve?
Let $\Omega\subset \mathbb R^N$ be open bounded smooth boundary. Let $S\subset \Omega$ be a $N-1$ rectifiable set with $\mathcal H^{N-1}(S)<+\infty$. It is well know that if $S$ is not closed, then ...
- 679
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78
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The density one properties of $\mathcal H^{N-1}$-rectifiable set
Let $S\subset \mathbb R^N$ be a $\mathcal H^{N-1}$-rectifiable set. Then we know that there exist countably many Lipschitz $N-1$-graphs $\Gamma_i\subset \mathbb R^N$ such that
$$
\mathcal H^{N-1}\...
- 679
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116
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Generalizing Integration by parts for general bounded continous measure
Consider a probability measure $d\mu = w(t) dt$ with $w(t)\in L^1(I)$, $I =\left[ 0,1\right]$. What are the minimal assumption I can take on two functions $f,g:I\ \to \mathbb{R}$ so that an ...
- 3,574
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131
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Measurable sets of probability measures $\{\mu \in M: (\mu \times \mu)(A) \in B\} \in \mathscr{M}$
Let $(X,\mathscr{F})$ be a measurable space, and let $M$ be the set all probability measures $\mu: \mathscr{F} \to [0,1]$. Let us denote with $\mathscr{M}$ the $\sigma$-algebra on $M$ generated by the ...
- 119
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216
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Hoeffding's lemma for unbounded r.v with bounded exponential map
Let $X$ be a real r.v with $E[e^{\lambda X}] < \infty $ for all $\lambda \in [-c,c]$.
Is it possible to get an Hoeffding's lemma like bound on $E[e^{\lambda(X-EX)}]$. That is, an upper bound: $$E[...
- 9
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81
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Why is $\mathcal{E}(X)=\mathcal{E}(X,X^*)$?
According to a course about $\sigma$-agebras in infinite dimensional space they said that it is easy to see that :
$$\mathcal{E}(X)=\mathcal{E}(X,X^*)$$
where:
$X$ is separable real Banach space.
$\...
- 121
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182
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On a certain set of probability measures on a shift
Denote by $\mathbb{Z}_2=\{0,1\}$ the integers modulo 2.
Let $S:\mathbb{Z}_{2}^{\mathbb{N}}\times\mathbb{Z}_{2}^{\mathbb{N}} \rightarrow \mathbb{Z}_{2}^{\mathbb{N}}$ be the sum $S(a,b) = a+b$, where $...
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63
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The union of weighted compact supported continuous function
Let $\Omega\subset \mathbb R^N$ be open. Given a weight function $v\geq 1$ such that $v\in L^1_{\text{loc}}(\Omega)$ and $l.s.c$. Also supposethere exists a Lipschitz continuous sequence $v_n$ such ...
- 679
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166
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What does the following space look like?
Pick fixed $a=(a_1,a_2,\dots,a_d)\in\{\pm1\}^d$.
Consider map $F_a:\underbrace{\Bbb R^n\times\dots\times \Bbb R^n}_d\rightarrow\Bbb R^n$ given by $F(x_1,\dots,x_d)=\sum_{i=1}^da_ix_i$.
Denote $S_n\...
- 13.9k
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405
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What does the Plancherel theorem say about positive-definite distributions?
I'm trying to understand the answer to this MO question: Bochner's theorem for measures of positive type, which suggests a relationship between Bochner's theorem and the Plancherel theorem.
The ...
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