All Questions
33 questions
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
8
votes
2
answers
849
views
Is the Gaussian Correlation Inequality universal?
T. Royen proved the Gaussian correlation inequality in the context of Gamma distributions back in 2014, which was since popularized by Latala and Matlak. The properties of Gaussian integration seem ...
- 4,466
6
votes
1
answer
713
views
Equivalence of Gaussian measures
Let $H$ be a separable Hilbert space and $N(0, C)$ and $N(0, D)$ be Gaussian measures on it. Further, for each $v \in H$, define $R_v = \frac{\left\langle v,Cv \right\rangle}{\left\langle v,Dv \right\...
- 157
6
votes
2
answers
622
views
If Gaussian measures on a Hilbert space converge weakly to 0, how do their covariance operators converge?
Suppose we have a sequence of Gaussian measures $N(0, S(n))$ supported on a Hilbert space $H$ and we know that the sequence converges weakly to the delta measure at $0$, what are the necessary and ...
- 93
6
votes
2
answers
904
views
Gaussian measure on function spaces
I'm reading this classic work and I'd like to get deeper inside some of its techniques. In particular, the authors state: "We construct a Gaussian measure $d\mu_{0}(\phi)$ on a measure space of ...
- 3,515
5
votes
1
answer
1k
views
A general formula for Gaussian integrals over matrix elements
The question I have is quite specific. So in the hope that this post might help others in the future, my problem boils down to solving the following integral:
$$I_\tau=\int \prod_{i, j=1}^{N} d J_{i ...
- 117
5
votes
0
answers
120
views
L^1 maximal inequalities for the Ornstein-Uhlenbeck semigroup in infinite dimension
For an infinite-dimensional Gaussian random vector $X$ consider the Ornstein-Uhlenbeck maximal operator:
$M f(X) := \sup_{\rho \in [0,1]} \mathsf{E} [f(\rho X + (1-\rho^2)^{1/2} X^\prime) \mid X]$
(...
- 4,010
4
votes
1
answer
311
views
Examples of Borel probability measures on the Schwartz function space?
Let $\mathcal{S}(\mathbb{R}^d)$ be the Frechet space of Schwartz functions on $\mathbb{R}^n$. Its dual space $\mathcal{S}'(\mathbb{R}^d)$ is the space of tempered distributions.
Minlos Theorem as ...
- 3,477
4
votes
1
answer
161
views
For centered Gaussian measures, is $E[\lVert X\rVert^2] \lesssim E[\lVert X\rVert ]^2$ true in infinite dimensions as well?
In the proof of Corollary 5.7 in the following link:
https://arxiv.org/pdf/1610.05200.pdf
the author claims that $E[\lVert X\rVert^2] \lesssim E[\lVert X\rVert ]^2$ for the standard normal ...
- 3,477
4
votes
1
answer
356
views
Recovering a function from its Gaussian convolution
Let $\varphi(x)=\frac{1}{\sqrt{2\pi}}\exp(-x^2/2)$ be the Gaussian density and
$f:\mathbb{R}\to\mathbb{R}$ another measurable function.
Under what conditions can $f$ be recovered from its convolution ...
- 43
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
3
votes
2
answers
102
views
Reference for Wiener type measure on $C(T)$ when $T$ is open
I'm considering Gaussian process on open domain $T$ in $\mathbb{R}^n$ and I tried to follow the abstract Wiener space construction of Gross. Since my sample paths are meant to be continuous, I thought ...
- 163
3
votes
1
answer
219
views
Is there a real/functional analytic proof of Cramér–Lévy theorem?
In the book Gaussian Measures in Finite and Infinite Dimensions by Stroock, there is a theorem with a comment
The following remarkable theorem was discovered by Cramér and Lévy. So far as I know, ...
- 657
3
votes
1
answer
157
views
Bound for expectation of function of 3 normal distributions
Let $X,Y,Z$ be three standard normal distribution. Let $\rho_{XY},\rho_{YZ},\rho_{XZ}$ be the correlation between those random variables.
Let $f()$ be a monotone, odd, bounded, and differentiable ...
- 31
3
votes
0
answers
217
views
Small rectangle probability
Let $H$ be a Hilbert space and $\mu$ be a centered Gaussian measure on it. Also, let the eigenpair corresponding to $\mu$ be $(i^{-\alpha} , e_i)$ with $\alpha > 1$. Assume we have a ball of radius ...
- 33
3
votes
0
answers
324
views
Equivalence of Gaussian measures on Hilbert space
Suppose we have 2 nondegenerate Gaussian measures given by N(0,T) and N(0,S) supported on a separable Hilbert space H. T and S are such that eigenbasis of S lies in the cameron martin space of N(0,T)....
- 93
2
votes
1
answer
197
views
$\Psi$ in finite Wiener–Itô Chaos implies existence of continuous representative on neighborhood of Cameron–Martin space?
Let $(\Theta, H, \mu)$ be an abstract Wiener space, i.e. let $(\Theta, \lVert \cdot \rVert_{\Theta})$ be a separable Banach space, let $(H, \langle \cdot, \cdot \rangle_{H})$ be a separable Hilbert ...
- 150
2
votes
1
answer
89
views
Upper bound on the Levy-Prokhorov distance between the distributions of continuous Gaussian processes in terms of their covariances
Denote by $d$ the supremum metric on the space $C[0,T]$ of continuous real-valued functions on $[0,T]$:
$$
d(f,g) = \sup_{t \in [0,T]} |f(t)-g(t)|.
$$
Let $\rho$ be the Levy-Prokhorov metric on the ...
- 177
2
votes
1
answer
199
views
Gaussian Poincare inequality in $1$ dimensions together with localization issue
Let $d\mu$ be a Gaussian measure on $\mathbb{R}$ with the center $a \in \mathbb{R}$ and variance $1$.
Let $B(a,r) \subset \mathbb{R}$ be the interval $[a-r,a+r]$.
Then, for any smooth mapping $f : \...
- 3,477
2
votes
0
answers
75
views
References for a class of Banach space-valued Gaussian processes
Let $E$ be a separable Banach space, consider a centered $E$-valued Gaussian process $\{x_t,t\ge 0\}$ that satisfies
\begin{equation}
\mathbb{E}\phi(x_s)\psi(x_t)=R(s,t)K(\phi,\psi),\quad \phi,\psi\in ...
- 121
2
votes
0
answers
57
views
Regularity on $\mathbb{T}^3$ of the "functional average" of a map $S : C^\infty(\mathbb{T}^3, \mathbb{R}) \to L^2(\mathbb{T}^3, \mathbb{R})$
For simplicity, let $C^\infty(\mathbb{T}^3, \mathbb{R})$ be the real Frechet space of periodic smooth functions on $\mathbb{R}^3$. Here, $\mathbb{T}^3$ is the $3$-dimensional torus.
For a fixed ...
- 3,477
2
votes
0
answers
86
views
when is the average of a function with Gaussian inputs bounded away from zero
Define a function $\phi(x):\mathbb{R}\rightarrow\mathbb{R}$. Consider the expected value function defined as follows
\begin{align*}
\mu(\beta)=E[g\phi
(\beta g)]\quad with \quad g\sim\mathcal{N}(0,1)\...
- 363
2
votes
0
answers
526
views
Gaussian measure on Banach spaces
Given any separable Banach space $B$ and a centered Gaussian measure $Q$ on it with Cameron-Martin space $H$, does there exist a Hilbert space $G$ and a Gaussian measure $W$ on it such that following ...
- 21
1
vote
1
answer
195
views
Reference request: Inequalities involving convex sets and Gaussian variables stated in a paper by Talagrand
I'm looking for references for two facts that are stated without proof in the paper:
Talagrand, M., Are all sets of
positive measure essentially convex?, Lindenstrauss, J. (ed.) et al.,
Geometric ...
- 484
1
vote
1
answer
178
views
Tail bound on the RKHS norm of a zero-mean Gaussian process
Let $f \sim \mathcal{GP}(0, K)$ be a zero-mean Gaussian process defined on a compact set $\mathcal{D} \subset \mathbb{R}^d$, where $K \colon \mathcal{D} \times \mathcal{D} \rightarrow \mathbb{R} $ is ...
- 1,127
1
vote
1
answer
185
views
Cameron-Martin space of product space
Suppose you have Banach spaces $\mathcal B_\alpha$ where $\alpha$ is in some index set $I$. Let $\mu_\alpha$ be Gaussian measures on $\mathcal B_\alpha$ with Cameron-Martin spaces $\mathcal H_{\mu_\...
- 1,904
1
vote
1
answer
161
views
Conditional Gaussians in infinite dimensions
I asked this over on cross validated, but thought it might also get an answer here:
The law of the conditional Gaussian distribution (the mean and covariance) are frequently mentioned to extend to the ...
- 379
1
vote
0
answers
59
views
Gaussian Hypercontractivity of Chaos based on Gaussian with value in Hilbert spaces?
The classical Gaussian hypercontractivity is stated as following: Suppose $\xi$ is a Gaussian variable and $H_n(\xi)$ is the space of n-th homogeneous Wiener chaos constructed from $\xi$, then for any ...
- 253
1
vote
0
answers
43
views
Generalization of a Gaussian measure continuity result from Hilbert to Banach space
Da Prato/Zabczyk "Second Order Partial Differential Equations in Hilbert Spaces" states the following lemma (this is a reformulation of proposition 1.3.11 in their book):
Let $\mu = \mathcal ...
- 375
0
votes
1
answer
51
views
Convergence of Gaussian measures $\{ d\mu_a \}$ whose variances depend smoothly on the index $a$
Let $f: \mathbb{R} \to \mathbb{R}$ be a smooth function such that $f(x)$ is positive in a small punctured neighborhood of $x=0$ but $f(0)=0$.
Now, define a collection of centered Gaussian measures on $...
- 3,477
0
votes
1
answer
114
views
Ball in separable Banach space has positive Gaussian measure
I have (presumably non-degenerate) Gaussian $\mu$ over separable Banach space $X$. I would like to prove that for any ball of radius $r$ centered at $x$, $\mu(B_r(x))$. I know how to prove this in ...
- 379
0
votes
1
answer
102
views
Lower bounds for truncated moments of Gaussian measures on Hilbert space
Let $\mu_C$ be a centered Gaussian probability Borel measure on a real separable Hilbert space $\mathcal{H}$ with covariance operator $C$. Denote the ball with radius $r$ in $\mathcal{H}$ centered at ...
- 505
0
votes
0
answers
128
views
When is the image of $T \colon \ell^2 \to \ell^2$ a Gaussian random variable?
In finite dimensions, if $T$ is a linear operator and $x$ is a (centered) Gaussian random variable, then $Tx$ is again a (centered) Gaussian random variable.
Now suppose that $x$ is a (say, centered) ...
- 420