All Questions
146 questions
26
votes
3
answers
11k
views
L1 distance between gaussian measures
L1 distance between gaussian measures: Definition
Let $P_1$ and $P_0$ be two gaussian measures on $\mathbb{R}^p$ with respective "mean,Variance" $m_1,C_1$ and $m_0,C_0$ (I assume matrices have full ...
- 833
23
votes
2
answers
7k
views
What is a Gaussian measure?
Let $X$ be a topological affine space. A Gaussian measure on $X$ is characterized by the property that its finite-dimensional projections are multivariate Gaussian distributions.
Is there a direct ...
- 8,512
21
votes
2
answers
3k
views
A measure on the space of probability measures
This question was originaly posted in the stackexchange https://math.stackexchange.com/questions/1226701/a-measure-on-the-space-of-probability-measures but since it only got a comment I decided to ...
- 361
18
votes
4
answers
1k
views
Reference for a strong intermediate value theorem for measures
Let $\mu$ be a finite nonatomic measure on a measurable space $(X,\Sigma)$, and for simplicity assume that $\mu(X) = 1$. There is a well-known "intermediate value theorem" of Sierpiński that states ...
- 5,407
17
votes
5
answers
3k
views
Conditional probabilities are measurable functions - when are they continuous?
Let $\Omega$ be a Banach space; for the sake of this post, we will take $\Omega = {\mathbb R}^2$, but I am more interested in the infinite dimensional setting. Take $\mathcal F$ to be the Borel $\...
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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; ...
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13
votes
4
answers
5k
views
What is known about the Gaussian measure of the unit ball in a Hilbert Space?
Let $X$ be an infinite dimensional separable Hilbert Space with norm $||\cdot||$ and let $\mu$ be a Gaussian measure on $X$ such that $\mu(X) = 1$. What do we know about $\mu(B(0,1))$, where $B(0,1)$ ...
- 617
13
votes
1
answer
3k
views
Does this metric have an official name? Lévy metric? Ky Fan metric?
Let $X$ and $Y$ be random variables taking values in a separable metric space $(S,d)$. The metric I have in mind is
$$\rho(X,Y) = \mathbb{E}[\min\{d(X,Y),1\}]$$
if $X$ and $Y$ take values in the a ...
- 6,287
12
votes
3
answers
870
views
Measure theory in nuclear spaces
Much of the literature on measure theory in linear spaces focuses on the case of normed linear spaces (e.g., the outstanding book by Vakhania, or its sequel). However, nuclear linear spaces "as far ...
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12
votes
1
answer
1k
views
Riesz–Markov–Kakutani representation theorem for compact non-Hausdorff spaces
Let $X$ be a compact Hausdorff topological space, and $\mathcal C^0 (X) = \{f:X\to\mathbb{R}; \ f \text{ is continuous }\}$. It is well known that for any bounded linear functional $\phi: \mathcal C^...
- 333
10
votes
2
answers
2k
views
When is a space of measures a measurable space?
Let $X$ denote a measurable space, that is, a set equipped with a $\sigma$-algebra $\Sigma(X)$. Let $M(X)$ denote the space of real-valued measures over $X$. This is a vector space over the real ...
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9
votes
1
answer
4k
views
What are some characterizations of the strong and total variation convergence topologies on measures?
I asked this question on StackExchange a few days ago but didn't get any response, so I thought I would try here.
The Wikipedia article on convergence of measures defines three kinds of convergence: ...
- 203
9
votes
2
answers
548
views
What mode of convergence is this?
I'm interested in a new (to me) mode of convergence which is stronger than convergence in measure/probability. I want to know if it has a name and if it is used much in the literature. I will write ...
- 6,287
9
votes
3
answers
654
views
measure with given push-forwards
Let $X,Y$ be locally compact spaces (in my specific case, they are locally compact groups). Suppose that we are given a measure $\mu$ on $X$ and a finite number of quotient maps $p_1,\ldots,p_n:Y\...
9
votes
2
answers
674
views
Small crown probabilities (and infinite dimensional margin assumption)
My question is:
How do I find sharp upper bounds on $P(|q|\leq \epsilon)$ uniformly over a set of gaussian polynomes $q$ of degree two.
Notations and definitions (to make the question rigorous)
Let ...
8
votes
5
answers
685
views
Distributions of distance between two random points in Hilbert space
Let $\mu$ be a probability distribution on a separable infinite-dimensional Hilbert space. Let $D$ be the distance between two independent random samples from $\mu$.
So $D$ has some probability ...
- 236
8
votes
1
answer
360
views
Can we recover a topological space from the collection of Borel probability measures living on it?
Let $(X, \tau)$ be a topological space, and $\mathcal{P}(X, \tau)$ be the Borel probability measures living on $X$. Can we recover $(X, \tau)$ from $\mathcal{P}(X, \tau)$?
user76098
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
7
votes
1
answer
1k
views
Properties of convolutions
Consider the function
$$f_{n}(x)=e^{-x^2}x^n.$$
and the function
$$h_p(x):=e^{-\vert x \vert^p}.$$
My goal is to analyze
$$ F_p(y):=\frac{(f_2*h_p)(y)}{(f_0*h_p)(y)}- \left(\frac{(f_1*h_p)(y) }{(f_0*...
- 173
7
votes
1
answer
261
views
Comparison of several topologies for probability measures
Let $X$ be a compact metric space and denote $\mathcal M(X)$ the set of probability measures on $X$. For $\mu\in\mathcal M(X)$ we write $\operatorname{supp} \mu$ for the support of $\mu$. As is well ...
- 243
7
votes
1
answer
253
views
Are all quasi-regular points on Polish spaces generic points?
Let $X$ be a Polish space and $T\colon X\to X$ be a continuous map. We say that a point $x\in X$ is quasi-regular if for every bounded continous function $\varphi\colon X\to\mathbb{R}$ the sequence $...
- 1,658
7
votes
1
answer
1k
views
Reference request: norm topology vs. probabilist's weak topology on measures
Let $(X,d)$ be a metric space and $\mathcal{M}(X)$ be the space of regular (e.g. Radon) measures on $X$. There are two standard topologies on $\mathcal{M}(X)$: The (probabilist's) weak topology and ...
- 710
7
votes
1
answer
444
views
Is an infinite-dimensional "Lebesgue measure" uniquely determined by a set of positive finite measure?
Let $\mu$ be a probability measure on a subset $C \subset \mathbb{R}^\infty$ of the space of sequences, and assume, for simplicity, that $C$ is closed and convex.
We say that $\mu$ admits shifts if ...
- 4,010
7
votes
0
answers
549
views
Counter-example to the completeness of the Wasserstein metric
$\newcommand{\P}{\mathcal{P}}$
Let $(E,d)$ be a complete metric space, let $\P(E)$ be the set of all probability measures on $(E,\mathcal{B}(E))$. Let $W_d$ be the $1$-Wasserstein (Kantorovich) ...
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7
votes
0
answers
3k
views
What is vague convergence and what does it accomplish?
For convenience, let's say that I have a locally compact Hausdorff space $X$ and am concerned with probability measures on its Borel $\sigma$-algebra $\mathcal{B}(X)$. Natural vector spaces to ...
- 1,124
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$$ where $f$ is an integrable function is a Borel set of the ...
- 125
6
votes
1
answer
575
views
Sub-Gaussian decay of convolution of $L^1$ function with Gaussian kernel
I think it might be helpful to put the new statement at the beginning and put the original post at the end. This new statement is more mathematically elegant.
Let $f\geq0$ be in $L^1(\mathbb{R}^d)$ ...
- 1,495
6
votes
1
answer
798
views
Prohorov's theorem for random elements of Hilbert space: weak convergence
Let $(\Omega,\mathcal{F},P)$ be a probability space and let $(E,\mathcal{E})$ be a separable Hilbert space ($E$) with Borel $\sigma$-algebra $\mathcal{E}$. For concreteness let us set $E=L^{2}[a,b]$ ...
- 61
6
votes
0
answers
388
views
Closedness of a set of measures, where conditional marginals are in closed $\varepsilon$-ball w.r.t. Wasserstein distance
Let $(E,d)$ be a bounded polish space (separable, complete metric space satisfying $\sup_{x,y\in E} d(x,y) < \infty$). By $\mathcal{P}(E)$ we denote the space of Borel probability measures on $E$ ...
- 1,095
5
votes
2
answers
245
views
Differentiability of the map $x\mapsto \delta_x$ in the Arens-Eells/Lipschitz-free space
$\DeclareMathOperator\AE{AE}\DeclareMathOperator\Lip{Lip}$Let $\AE(X)$ denote the Arens-Eells space on a Banach space $X$. Consider the map:
$$
\begin{aligned}
\delta: X & \rightarrow \AE(X)
\\
x&...
5
votes
2
answers
642
views
Is the Hausdorff metric on sub-$\sigma$-fields separable?
Let $(X,\mu,\mathcal{F})$ be a probability space. The paper Equiconvergence of Martingales by Edward Boylan introduced a pseudometric on sub-$\sigma$-fields (sub-$\sigma$-algebras) of $\mathcal{F}$ ...
- 6,287
5
votes
1
answer
758
views
Cameron-Martin theorem for non-Gaussian measures
Let $X$ be a locally convex topological linear space, and $\mathbb P$ be a probability measure on $X$. Denote the mean vector $m \in X$ and covariance operator $k : X^* \to X$. Let $\tau_u : X \to X$ ...
- 8,512
5
votes
1
answer
183
views
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, \...
- 6,215
5
votes
1
answer
386
views
Lower semi-continuity of the Hellinger-Fisher-Rao distance
I am currently working on unbalanced optimal transport, where the Hellinger (or sometimes Fisher-Rao) distance
$$
H^2(\rho,\mu)=\int_{\Omega}\left|\sqrt{\frac{d\rho}{d\lambda}}-\sqrt{\frac{d\mu}{d\...
- 5,380
5
votes
1
answer
457
views
Sufficient condition for a probability measure to be a pushforward measure
Let $(E,d),(F,d')$ be separable metric spaces endowed with their Borel algebra, $f:E\rightarrow F$ a continuous surjective function, and $Q$ a probability measure on $F$ with separable support.
...
- 449
5
votes
2
answers
470
views
Improving equi-integrability for a family $\mathcal F$ in $L^1(\Omega)$
Let $\mathcal F$ be a weakly compact subset of $L^1(\Omega)$. Dunford–Pettis theorem says that $\mathcal F$ is uniformly integrable. Also, by de la Vallée-Poussin theorem we can find an increasing ...
- 1,245
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
774
views
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 ...
user128095
5
votes
0
answers
178
views
Support of a Measure with Characteristic Functional Continuous in $L_p$, $1\leq p <2$?
Let $\mathcal{S}(\mathbb{R})$ be the space of smooth and rapidly decaying functions and $\mathcal{S}'(\mathbb{R})$ its dual, the space of tempered distributions. Let $\mathscr{P}$ be a probability ...
- 2,306
5
votes
0
answers
200
views
Diffusion processes in wide generality
It is common knowledge among schoolchildren that one may define jump diffusion processes in wide generality.
Hard question: What are the most general structures on which one may define something ...
- 8,512
5
votes
0
answers
537
views
Conditional probabilities in Banach spaces
This is the infinite-dimensional sequel to my question, Conditional probabilities are measurable functions - when are they continuous?.
Let $\Omega = \Omega_1 \times \Omega_2$ be a probability space ...
- 8,512
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
4
votes
3
answers
2k
views
Duality of finite signed measures and bounded continuous functions
Let $E$ be a metric space, $C_b(E)$ denote the space of bounded continuous functions $E\to\mathbb R$ (equipped with the supremum norm), $\mathcal M(E)$ denote the space of finite signed measures on ...
- 167
4
votes
2
answers
374
views
Vague convergence: confusion about the regularity of a signed Radon measure and that of its variation
I'm reading a proof of below theorem from this paper.
Theorem A.3. Let $\Omega$ be a locally compact normal Hausdorff space. Let $\left\{\mu_n\right\} \cup\{\mu\} \subset \mathcal{M}(\Omega)$ and ...
- 657
4
votes
4
answers
3k
views
Convergence of probability measure and the *-weak convergence ?
Given a Polish space $X$, I note $C_b(X)$ the set of the continuous bounded functions with the norm of the uniform convergence, and $(C_b(X))^\star$ its topological dual with the $*-$weak convergence $...
- 125
4
votes
1
answer
444
views
PDE-Based Triangle Inequality for Optimal Transportation
Suppose $\Omega$ is a suitably regular domain in $\mathbb{R}^n$ and $\rho_0,\rho_1\in\textrm{Prob}(\Omega)$. Benamou and Brenier showed that the $L_2$ transportation distance between $\rho_0$ and $\...
- 705
4
votes
1
answer
412
views
Is a Gaussian measure on a Hilbert space determined by the coarser topology induced by the covariance operator?
I have a basic question about Gaussian measures on a Hilbert space:
Let $\mu$ be a non-degenerate Gaussian measure on a Hilbert space $(H_0,\left\langle \cdot,\cdot \right\rangle_0)$. Then the ...
- 617
4
votes
1
answer
580
views
Density of linear functionals in $L^2$
Let $X$ be a locally convex topological linear space, and let $\mathbb P$ be a probability measure on $X$. Suppose that $\operatorname{var}(\varphi) < \infty$ for all continuous linear functionals $...
- 8,512
4
votes
2
answers
378
views
A possible measure-theoretic pathology
Let $S$ be a nonempty closed subset of the open unit square $(0,1)^2 = X \times Y$
that has the following "shadow property":
For any aligned open square $C = A \times B$ that intersects $S$, ...
- 41
4
votes
2
answers
427
views
Choice of predictable (or jointly measurable) eigenvalues and eigenvectors of nuclear-operator-valued stochastic process
Let $q^{ij}$, $i,j\in\mathbb{N}$, be predictable real-valued stochastic processes. Let $(e^i)$, $i\in\mathbb{N}$ be an ONB of a separable Hilbert space $H$. Assume that $Q=\sum_{i,j=1}^\infty q^{ij}...
- 125