All Questions
Tagged with pr.probability fa.functional-analysis
616 questions
8
votes
1
answer
1k
views
derivative in the Wasserstein space
Villani gives the following formula to find the gradient of a function $F$ of a probability density function $\rho$ in the Wasserstein space :
$$\nabla_W F(\rho) = -\nabla.(\rho \nabla \frac{\delta F}{...
- 481
7
votes
3
answers
4k
views
Is a semicontinuous real function Borel measurable?
Let $f(x,u): [0,1]^2 \mapsto \mathbb{R}$ be a continuous
function.
[Q] Is $g(x) = \inf_{u\in [0,1]} f(x,u)$ always Borel measurable?
If not, can one find a counter-example?
Note that, for any $c$,
...
- 1,399
6
votes
0
answers
715
views
What is the structure of a space of $\sigma$-algebras?
Let $X$ be a compact metric space, and consider the Banach space $\Omega = C(X,\mathbb R)$ of continuous, real-valued functions on $X$, equipped with the supremum norm. Let $\delta_x \in \Omega^*$ be ...
- 8,512
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
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
6
votes
2
answers
742
views
Symmetric Feller processes and Dirichlet forms
Let $(G, \mathcal D)$ be a densely defined operator on $C_0$ (continuous functions vanishing at infinity on some nice topological space) whose closure $\bar G$ generates a Feller semigroup and let $X$ ...
- 448
9
votes
1
answer
450
views
A question on infinite dimensional Gaussian measure and affine tranformations.
Let $\gamma_\infty$ denote the product Gaussian measure on $\mathbb{R}^\mathbb{N}$. Which $a,b \geq 0$ satisfy that for every Borel set $K\subseteq \mathbb{R}^\mathbb{N}$ of positive measure, $a K + ...
- 3,547
3
votes
0
answers
188
views
Does the existence of an asymtpotic density imply the existence of a measure on infinite dimensional (path) space?
This question is related to the following question
Question about a Limit of Gaussian Integrals and how it relates to Path Integration (if at all)?
A couple of authors have observed that composing a ...
- 265
0
votes
1
answer
666
views
A Cauchy–Schwarz Type Inequality Involving Scaled Distributions
I have stumbled upon a rather intriguing inequality involving the product of the scaled distribution and the scaled density of a random variable. The inequality has a very attractive form, and it ...
- 197
21
votes
2
answers
2k
views
Uncertainty principle and Cramer-Rao bound - is there relation?
Just out of curiosity.
The two things sounds a little bit similar - 1) Uncertainty principle 2) Cramer-Rao bound.
Saying that we cannot measure something with certain accuracy.
However looking closer ...
- 24.9k
1
vote
1
answer
233
views
Structure of Measurable Subsets of the Unit Square
If A is a (Lebesgue-)measurable subset of the unit square that has positive measure, does there exist a subset B contained in A that has a product structure (is the product of two subsets of the real ...
- 99
1
vote
1
answer
559
views
Sum of a Gaussian and an independent second moment constrained random variable
I am studying the (asymptotic) behavior of the p.d.f of the random variable $Y = X + Z$, where $X$ is an r.v. with any distribution function $F(x)$ such that $\int_{-\infty}^{\infty} x^2 \mathrm{d}F(x)...
- 51
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
0
votes
1
answer
426
views
Lower bounds for partial sums of multiplicative functions
The motivation for this enquiry is to understand something about the impact of multiplicativity for $f:\mathbb{N}\rightarrow\mathbb{C}$ on the conditional convergence of Dirichlet series
$$F(s)=\...
- 2,480
3
votes
2
answers
1k
views
Sequences of linear combinations of measures
Let $X$ be a Polish space. Let $J\in\mathbb{N}$.
Let $\lbrace a^n_1\rbrace_n,\dots,\lbrace a^n_J\rbrace_n$ be $J$ sequences of reals.
Let $\lbrace \mu^n_1\rbrace_n,\dots,\lbrace \mu^n_J\rbrace_n$ be ...
user12713
3
votes
4
answers
514
views
Better terminology than "equivalence class of functions"
Let $X = C(\mathbb R)$ be the Fréchet space of real-valued continuous functions. For each $f \in X$ and each compact set $D \subseteq \mathbb R$, let $$[f]_D = \{ g \in X : \mbox{$g(t) = f(t)$ for ...
- 8,512
6
votes
2
answers
979
views
Literature on behaviour of eigenfunctions under multiplication?
Dear community,
I would be happy about any literature or comments on the behaviour of the pointwise product of eigenfunctions of a self-adjoint operator with discrete spectrum, acting on a separable ...
- 199
15
votes
2
answers
3k
views
What do we actually know about logarithmic energy ?
In potential theory, the $\textit{logarithmic energy}$ of a Radon measure $\mu$ acting on $\mathbb{C}$ is defined by
$$I(\mu)=\iint\log\frac{1}{|x-y|}\mu(dx)\mu(dy).$$ Of course it is not well ...
- 2,135
3
votes
2
answers
1k
views
Is there a corresponding Hahn decomposition theorem for the real-valued Radon measures?
Hello,
As we know that a signed measure $\mu$ on $R$ can be decomposed to the positive part $\mu_+$ and negative one $\mu_-$ by the Hahn decomposition theorem.
My question is whether each real-...
- 1,649
-1
votes
1
answer
696
views
Can singular measures be viewed as vanishing distributions? (Answer No!)
Hello,
Here is my original question: let $\mu$ be a singular measure with respect to the Lebesgue's measure on $R$. Is it true that $\int \psi \mu(d x)=0$ for any test function $\psi\in C_c^\infty(R)$...
- 1,649
0
votes
1
answer
2k
views
What is the orthonormal basis for the Bergman space on the disk?
[EDIT by YC: the original question's title asked about a basis for the Hardy space on the disk. It is clear from the actual question that what was meant was the Bergman space.]
In arXiv:0310.5297, ...
- 22.8k
1
vote
1
answer
636
views
Does anyone know an example of non-separable $L^1$ of a probability space?
It is easy to give examples of non-separable $L^p$ spaces by considering a measure on a big space. If one adds the condition that the space has to have total measure 1, the problem is not as easy.
...
- 96
10
votes
1
answer
652
views
Extending state space to make a process Feller
Let $X$ be a locally compact Hausdorff space, and let $Y_t$ be a continuous Markov process on $X$ with transition function $P(t, x, \Gamma) := \mathbb{P}_x (Y_t \in \Gamma)$. Let $T_t$ be the ...
- 29.8k
3
votes
1
answer
1k
views
Borel-Cantelli lemma for general measure spaces (those with infinite measure)
The Borel-Cantelli lemma is often stated for a probability space or spaces with finite measure.
But it seems to me that it still holds if the space $X$ is of infinite measure. I seem to be able to ...
- 31
8
votes
1
answer
1k
views
Is there a regular Dirichlet form with no associated Feller process?
I'm reading Dirichlet Forms and Symmetric Markov Processes by M. Fukushima, Y. Oshima, and M. Takeda (hereafter, [FOT]). In Chapter 7, where they discuss the construction of a Markov process ...
- 29.8k
1
vote
1
answer
977
views
Fourier transform of distributions with non-standard test functions
This might be a quite simple question for function analysis standards, but it has some obstacles. I'll try to improve the readability a bit by not using the full tex code. A short motivation:
Given a ...
- 278
2
votes
0
answers
366
views
Are affine continuous functions on Bauer sub-simplices of the probability measures given by integration over continuous functions?
Let $X$ be a compact (non-metrizable) Hausdorff space and $\mathcal{P}(X)$ the set of Radon probability measures with
weak-$*$ topology (weak topology induced by the continuous functions).
Consider a ...
- 888
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
17
votes
2
answers
5k
views
Positive-Definite Functions and Fourier Transforms
Bochner's theorem states that a positive definite function is the Fourier transform of a finite Borel measure. As well, an easy converse of this is that a Fourier transform must be positive definite.
...
- 4,952
11
votes
1
answer
642
views
Random walk origin return monotinicity
Consider a Markov chain on $\mathbb{Z}^d$ with transition kernel $P$ for adjacent vertices (non-diagonal). Essentially this is a $d$ dimensional random walk with the probability of a transition ...
- 4,952
5
votes
2
answers
491
views
Is independence meaningful for commutative $C^*$-algebras?
I don't know very much about spectral theory so probably the answer to my question has a basic reference which I would appreciate.
Let's say I have two self-adjoint operators on a Hilbert space and ...
- 2,243
7
votes
2
answers
988
views
Missing mass conjecture
Let $n,t$ be positive integers and $p_1,p_2,\ldots,p_n$ positive numbers summing to 1. Conjecture:
$$
\sum_{i=1}^n p_i (1-p_i)^t \le \frac{n(1-1/n)^n}{t}
$$
always holds.
The motivation comes from my ...
- 6,541
6
votes
0
answers
295
views
Is there an idempotent measure on the free LD system?
This is a follow up question to MO question "Idempotent measures on the free binary system?".
Let $(A,*)$ be the free binary operation on one generator which satisfies the left self distributive law:
...
- 3,547
13
votes
1
answer
736
views
Idempotent measures on the free binary system?
Let $(S,*)$ be the free (non associative) binary system on one generator (so $S$ is just the set of terms in $*$ and $1$). There is an extension of $*$ to the space $P(S)$ of finitely additive ...
- 3,547
2
votes
1
answer
194
views
Is there any result discribing the value of the correlation of a measurable function of `$X$` and itself: `$corr(f(X),X)$` ?
Let $X$ be a random variable, and $f$ a measurable function. Is there any particular relationship between the expression of $f$ and $corr(f(X),X)$?
BACKGROUND
The background of asking the value of $...
- 23
0
votes
1
answer
915
views
Can you interpret this divergent integral?
In this ArXiv paper by Wilk and Wlodarczyk (published in Physical Review Letters), equation 16 has essentially the following definition of a function:
$$\text{f(x)=}\frac{c}{2Dx^2}\exp[\int^x_0 \frac{\...
- 33
6
votes
1
answer
355
views
Why is the dimension of Gaussian variables is bounded by the dimension of the space?
I'm looking at a probabilistic proof of a local version of Dvoretzky's theorem in Pisier's manuscript "Probabilistic Methods in the Geometry of Banach Spaces."
For each $\epsilon >0$ there is a ...
- 922
7
votes
2
answers
1k
views
Weighted Poincaré inequality
Consider a probability distribution $\pi$ with density $e^{-H(x)}$ on $\mathbb{R}$. Let us say that there is a Poincaré inequality with weight $w$ if for any smooth function $\phi$ satisfying $\int \...
- 2,133
5
votes
1
answer
577
views
Does generator of continuous time random walk map heat kernel from L^2 to L^2?
Let $\Gamma = (G,E)$ be an undirected, infinite, connected graph with no multiple edges or loops. We equip $\Gamma$ with a set of edge weights $\pi_{xy}$, where, given $e=\{x,y\}\in E$, we write $\...
- 269
1
vote
0
answers
466
views
Bounding point-wise maximum of the absolute difference of two convex functions
Let $\Delta: R \times R \rightarrow R_{+}$ be a positive and convex function (convex in, say, both the arguments) called the loss function.
Let $x \in R^d$. Moreover, let $H_1,...,H_r$ be sets of ...
- 11
5
votes
1
answer
781
views
Does a log-concave function on a convex set extend continuously to the boundary?
Let $U$ be an open convex set in a locally convex space $X$, and let $f : U \to [0,1]$ be a log-concave function on $U$ (i.e., bounded and real-valued). Under what conditions does $f$ have a ...
- 8,512
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
14
votes
5
answers
4k
views
Is there an extension of the Arzela-Ascoli theorem to spaces of discontinuous functions?
The Arzela-Ascoli function basically says that a set of real-valued continuous functions on a compact domain is precompact under the uniform norm if and only if the family is pointwise bounded and ...
- 943
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
16
votes
3
answers
791
views
Random products of projections: bounds on convergence rate?
The von Neumann-Halperin [vN,H] theorem shows that iterating a fixed product of projection operators converges to the projector onto the intersection subspace of the individual projectors. A good ...
- 181
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
5
votes
1
answer
666
views
Question regarding divergence
Let $E$ be a closed and convex set of distributions on a finite set $A$. Let $P',Q'\notin E$ and let $P^{\star},Q^{\star}$ be their respective estimates in $E$ with respect to the KL-divergence, i.e.,...
- 779
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
6
votes
1
answer
444
views
When does a matrix define a convolution operator on a hypergroup?
Let $H$ be a discrete hypergroup. Suppose I have a matrix $A=(A_{x,y})$ indexed over $H$ with nonnegative entries which defines a bounded operator on $\ell^2(H)$. When does there exist $f\in\ell^1(H)$ ...
- 5,425