All Questions
Tagged with pr.probability banach-spaces
48 questions
3
votes
1
answer
85
views
What (continuous) stochastic processes have path measures that are absolutely continuous w.r.t. Wiener measure?
Suppose I have a stochastic process $\{Z_t\}_{t \in T}$ for which I know the sample paths to be a.s. continuous (we can also assume some usual stuff, such as $T$ a compact metric space, $Z$ having ...
- 73
1
vote
0
answers
87
views
Supremum of sums of functions in $L^1$ taking random signs
Consider the Banach space $X=L^1([0,1])$, and let $n\gg1$ and $x_1, ..., x_n$ be any points in the unit sphere of $X$.
Is there any reasonable lower bound for $$\sup_{(\epsilon_i)_{i=1}^n \in \{-1,+1\}...
- 393
2
votes
0
answers
88
views
Dependence and $L^2$ projections of functions
tl;dr: Is it possible that the best approximation to a nonnegative function of three variables with a bivariate function is no better than the best univariate function?
Let $w$ be a density on $\...
- 21
2
votes
1
answer
93
views
Why do distributional isomorphisms preserve joint distribution?
Let $(\Omega,\mathcal{A},\mu)$ and $(\Omega',\mathcal{A}',\mu')$ be probability spaces and
$$f_1,\ldots,f_n:\Omega\to\mathbb R,\; f_1',\cdots, f_n':\Omega'\to\mathbb{R}$$
be integrable random ...
1
vote
1
answer
161
views
The space of linear operators between Hilbert spaces has martingale type 2
I am trying to prove whether the space $L(H,K)$ has martingale type 2 for Hilbert spaces $H,K$. It is known that Hilbert spaces have martingale type 2, so I was wondering whether the space of bounded ...
- 113
12
votes
0
answers
196
views
UMD constant of finite dimensional spaces
For a Banach space $B$, its one-sided Unconditional Martingale Difference (UMD) constant $C^-_p$ (for $p \in (1,\infty)$) is the smallest value such that for all $B$-valued martingale difference ...
- 408
5
votes
2
answers
245
views
Differentiability of the map $x\mapsto \delta_x$ in the Arens-Eells/Lipschitz-free space
$\DeclareMathOperator\AE{AE}\DeclareMathOperator\Lip{Lip}$Let $\AE(X)$ denote the Arens-Eells space on a Banach space $X$. Consider the map:
$$
\begin{aligned}
\delta: X & \rightarrow \AE(X)
\\
x&...
30
votes
1
answer
1k
views
Functional-analytic proof of the existence of non-symmetric random variables with vanishing odd moments
It is known that a random variable $X$ which is symmetric about $0$ (i.e $X$ and $-X$ have the same distribution) must have all its odd moments (when they exist!) equal to zero. The converse is a ...
- 6,853
0
votes
0
answers
302
views
Convergence of characteristic functions vs. weak convergence of measures and the Ito-Nisio theorem
In section 2.6 of Linde's Probability in Banach Spaces: Stable and Infinitely Divisible Distributions the author is pointing out that in infinite-dimensional Banach spaces the convergence of ...
- 167
0
votes
0
answers
68
views
Convex optimization under asymmetric loss in infinite dimensional space
The following problem is common in financial economics
$$ \min_{m \in L^2} \mathbb{E}[ \phi(y(\theta)-m)] \quad \text{s.t. } \mathbb{E}[ mx ]= q $$
That is, given a random variable $y(\theta)$ ($\...
- 45
2
votes
1
answer
183
views
Does set of finitely additive probability measures embed linearly into a strictly convex dual Banach space?
I am trying to better understand a condition that appears in Theorem 1 of this paper.
Let $K$ be a convex and compact subset of a locally convex tvs. The condition is:
$K$ embeds linearly into a ...
- 869
0
votes
1
answer
194
views
Gaussian integral $\int_X \|x\|_X^2 \mu(dx)$ in Banach space
For a centered Gaussian measure $\mu$ on a Hilbert space $X$, it is known that
$$\int_X \|x\|^2 \mu(dx) = tr(Q)$$ where $Q$ is the covariance operator. Is there a similar version for Gaussian measures ...
- 375
2
votes
0
answers
520
views
Example of a non-reflexive Banach space and two sequences
Let $(E,\mathcal {A}, \mu ) $ be a finite measure space and $X$ be a Banach space. The set of all Bochner-integrable functions from $E$ into $X$ is denoted by $\mathcal{L}_X^1$.
If $X$ is reflexive, ...
- 199
0
votes
1
answer
102
views
Law of a step function and its generalization to two dimensions on an appropriate spaces
Let's consider two discontinuous functions defined on $D$ and $D \times [0,T]$, respectively:
A step function: $u_1(x)=\begin{cases}
u_{L}, x<c_1, \\[2ex]
u_{R}, x>c_1,
\end{cases}$
A "...
- 657
0
votes
0
answers
58
views
Bounds on $\inf_{x,x' \in \mathbb B_X}TV(P+x,Q+x')$, where $P$ and $Q$ are distributions with density on the space $X=(\mathbb R^n,\ell_p)$
Let $n \ge 1$ be an integer, $p \in [1,\infty]$, and $P$ and $Q$ be two (probability) measures on the metric space space $X=(\mathbb R^n,\ell_p)$ which have densities w.r.t the Lebesgue measure on $X$,...
- 6,853
8
votes
0
answers
182
views
Distribution domination for sums of independent random variables in Banach spaces
Let $X$ be a Banach space and let $(\xi_n)$ and $(\eta_n)$ be independent mean-zero random variables with values in $X$ satisfying
$$
\sum_n \mathbb P(\xi_n \in A) \leq \sum_n \mathbb P(\eta_n \in A),
...
- 131
2
votes
1
answer
117
views
Size of the orbit of a dense set
This question is a follow-up to: this post.
Let $X$ be a separable Banach space, $\phi\in C(X;X)$ be an injective continuous non-affine map, and $A$ be a dense $G_{\delta}$ subset of $X$. How big ...
- 63
15
votes
2
answers
734
views
On sums of independent random variables in Banach spaces
Let $(\xi_n)_{n\ge 1}$, $(\eta_n)_{n\ge 1}$ be independent mean-zero random variables with values in a Banach space $X$ such that
$$\sum_n\mathbb P(\xi_n\in A)\le\sum_n\mathbb P(\eta_n\in A)$$for any ...
- 4,535
5
votes
1
answer
224
views
Conditional expectation of random vectors
$\newcommand{\E}{\mathsf{E}}$
$\newcommand{\P}{\mathsf{P}}$
The following additional question was asked in a comment by user Oleg:
Suppose that $(\Omega,\mathcal F,\P)$ is a probability space, $B$ ...
- 128k
4
votes
2
answers
378
views
Basic properties of expectation in non-separable Banach spaces
$\def\E{\hskip.15ex\mathsf{E}\hskip.10ex}$
Let $B$ be a (maybe nonseparable) Banach space equipped with the Borel $\sigma$-algebra $\mathscr{B}(B)$. Let $R:B\to \mathbb{R}$ be a bounded linear ...
- 931
6
votes
1
answer
261
views
Area of $n$-sphere contained outside $\ell_1$ ball
For a given $r>1$, what is the surface area of $\mathbb S^{n-1}$ (the sphere of radius 1 in $\mathbb R^n$) which is contained outside of the $\ell_1$ ball of radius $r$? Or equivalently, if $X\sim ...
0
votes
1
answer
249
views
Central limit theorem in Banach space in scheme of series
I wonder whether Theorem 2 from the paper J. Zinn, Annals of Probability, 1977, vol. 5, 283-286 can be extended to the CLT for a scheme of series. (The paper is available in the web.)
Let $G$ be ...
4
votes
1
answer
193
views
A bound on the square distance of a random walk on undirected graph
Fact:
Let $G$ be an $n$-vertex undirected graph and $(X_s)_{s\in \mathbb N}$ a stationary random walk on $G$. Then for every $s\in \mathbb{N}$,
$ \mathbb{E}[d_G(X_s,X_0)^2] \le C s \log n $, for some ...
- 401
3
votes
1
answer
232
views
Is there a canonical uniform probability measure on compact subsets of Banach spaces?
One can construct a finite measure on a compact metric space $(X,d)$ by the following procedure:
Fix a non-negative sequence $\{\epsilon_n\}$, $\epsilon_n \to 0$. Let $Y_{\epsilon_n}$ be the minimal ...
- 31
5
votes
1
answer
358
views
Pisier's property $(\alpha)$
Let $\Omega$ be a probability space. Suppose $(\epsilon_i)_{1\leq i\leq n}$ is a sequence of i.i.d. Bernoulli random variables on $\Omega,$ i.e. $(\epsilon_i)_{1\leq i\leq n}$ are independent and $P(\...
- 455
4
votes
2
answers
543
views
Gaussian measure on Banach space
Assume we have a Gaussian measure $\mu$ supported on a Banach space $X$. Can we always find a Hilbert space $H$ embedded in $X$ sch that $\mu$ is also supported on $H$?
- 43
2
votes
1
answer
5k
views
Smooth Approximation of Indicator Function of Convex Sets in $\mathbb{R}^n$
Let $( \mathbb{R}^n, \| \cdot \|_P)$ be the $n$-dimensional Euclidean space equipped with $\ell_p$-norm $\| \cdot \|_p$ for some $p\in [1, + \infty]$. Let $A$ be a convex set in $\mathbb{R}^n$ and ...
- 1,127
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
10
votes
1
answer
253
views
Approximation via finite rank Cameron-Martin projections
Let $(W, \|\cdot\|_W)$ be a real separable Banach space equipped with
a non-degenerate Gaussian Borel measure $\mu$. Let $H \subset W$ be
the corresponding Cameron-Martin Hilbert space (also known as ...
- 29.8k
5
votes
1
answer
652
views
Proof of Pinelis (1992) - Banach space inequalities
I am reading Pinelis "An approach to inequalities for the distributions of infinite -dimensional martingales" and cannot follow his proof of Theorem 3:
Let $(f_n)$ be a martingale in a separable ...
- 619
9
votes
3
answers
868
views
Rosenthal like inequality for weak $\mathbb L^p$-norms
Let $p$ be a real number greater than $1$. It is well known (see Hall and Heyde's Martingale limit theory and its applications, Theorem 2.10) that there exists a constant $C_p$ such that if $(X_i)_{i=...
- 3,958
4
votes
1
answer
280
views
Approximation of an integral over the unit ball of L_1
For every $\varepsilon>0$ find a piecewise continuous function $q:[0,1]\rightarrow \mathbb{R}$ such that $\int_0^1 q(x)dx=1$ and
$$\int_{0}^1 \int_{0}^{s} \left|\frac{q(s)q(t/s)}{s}- \frac{q(t)q((s-...
- 4,705
1
vote
1
answer
353
views
Agreement of two topologies on a linear space
I'm dealing with the formalism of an abstract Wiener space, and I'm not sure if two relevant topologies coincide.
Let $X$ be a topological vector space, and let $X^*$ be its dual space of continuous ...
- 8,512
6
votes
3
answers
1k
views
Is the set of the absolutely continuous functions a Borel set of the space of the continuous functions?
Does anyone knows whether the set of the absolutely continous functions $F :[0,1]\to \mathbb{R}^d$ of the form $$F(t)= a + \int_0^tf(s) ds$$ where $f$ is an integrable function is a Borel set of the ...
- 125
6
votes
0
answers
262
views
Given that a conditional measure is Gaussian, how bad can the original measure be?
Let $X$ and $Y$ be Banach spaces, and let $\varphi : X \to Y$ be a continuous linear map. Suppose that $\mathbb P$ is a probability measure on $X$ which satisfies the continuous disintegration ...
- 8,512
4
votes
1
answer
327
views
Gaussian Valued Random Variables in Geometry of Banach Spaces
Why are Gaussian valued random variables so important in the Geometry of Banach spaces? I am reading the monograph by Pisier - "Probabilistic Methods in the Geometry of Banach Spaces" and in the very ...
- 43
4
votes
1
answer
174
views
Set of unitaries with "spread-like" properties
I'm interested in finding two sets of $N$ unitary $N \times N$ matrices $U_{1}, \ldots, U_{N}$, $V_{1}, \ldots, V_{N}$ such that:
$
\sup\limits_{X, Y}\sum\limits_{j,k = 1}^{N} |\mathrm{Tr}(YU_{j}XV_{...
- 2,449
5
votes
1
answer
515
views
Derandomizing random matrices
My question is rather general - what is known about derandomization of results in random matrix theory, high-dimensional geometry, Banach spaces etc. using probabilistic constructions (like estimates ...
- 2,449
7
votes
1
answer
423
views
Best constant in comparison between Rademacher and gaussian averages?
Let $(g_k)$ be a sequence of independent standard gaussians variables on a fixed probability space $\Omega$. Let $(\epsilon_k)$ be a sequence of independent rademacher variables.
What is the best ...
- 1,222
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
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
6
votes
1
answer
453
views
The typical size of a random element in a Banach space
Let $X$ be a separable Banach space, and let $\mathbb P$ be a Radon probability measure on $X$ with zero mean and covariance operator $K : X^* \to X$. Let $x$ be an $X$-valued random variable with ...
- 8,512
3
votes
1
answer
1k
views
Cyl(E) = Borel(E) for E non-reflexive Grothendieck Banach space
This is sort of a follow-up to Borel(X) = \sigma(X') for X non-separable
PROBLEM: Given a Banach space $E$ over $\mathbb{K} \in \{\mathbb{C}, \mathbb{R}\}$ that has the Grothendieck property. ...
- 1,338
17
votes
5
answers
4k
views
Brownian motion and spheres
Consider a Brownian motion on $[0;1]$. A (finite) discrete approximation of this Brownian motion consists of $N$ iid Gaussian random variables $\Delta W_i$ of variance $\frac{1}{N}$:
$$ W\left(\frac{k}...
- 2,133
4
votes
2
answers
2k
views
Convergence of Gaussian measures
Let $X$ be a separable Banach space with its Borel $\sigma$-algebra $\mathcal F$. Let $x_n \to x$ in $X$. Fix a Gaussian covariance operator $K$, and let $\mathbb P_n$ and $\mathbb P$ be Gaussian ...
- 8,512
15
votes
3
answers
2k
views
Disintegrations are measurable measures - when are they continuous?
This is a sequel to another question I have asked.
The notion of disintegration is a refinement of conditional probability to spaces which have more structure than abstract probability spaces; ...
- 8,512
6
votes
2
answers
3k
views
Dense inclusions of Banach spaces and their duals
This seems like a really simple question, but I'm struggling with it. Let $X$ be a separable Banach space, $H$ be a separable Hilbert space, and suppose $i : H \hookrightarrow X$ is a dense, ...
- 8,512
7
votes
4
answers
946
views
On operator ranges in Hilbert & Banach spaces
Lemma 1 from Anderson & Trapp's Shorted Operators, II isLet $A$ and $B$ be bounded operators on the Hilbert space $\mathcal H$. The following statements are equivalent:
(1) ran($A$) $\subset$ ...
- 8,512