All Questions
Tagged with pr.probability fa.functional-analysis
616 questions
1
vote
0
answers
87
views
$f \in L^2(X\times Y,\mu \times K)$ for Kernel $K$, is the map $X \ni x \mapsto (f(x,\cdot),x) \in \bigsqcup_{x \in X}L^2(Y,\Sigma_Y,K_x)$ measurable?
Let $(X,\Sigma_X)$ and $(Y,\Sigma_Y)$ be two measurable spaces, let $\mu$ be a measure on $(X,\Sigma_X)$, and let $(K_x)_{x \in X}$ be a transition kernel from $(X,\Sigma_X)$ to $(Y,\Sigma_Y)$, that ...
- 309
4
votes
1
answer
287
views
Reference request: Gaussian measures on duals of nuclear spaces
I am interested in constructive quantum field theory where Gaussian measures on duals of nuclear spaces (specifically, the space of tempered distribution $\mathcal{S}'(\mathbb{R}^n)$) play a key role. ...
2
votes
2
answers
328
views
Existence of the limit of periodic measures
Let $T: X \to X$ be a continuous map over a compact metric space. We say that a measure $\mu$ is $T$-invariant if $T_{\ast} \mu= \mu$. We denote by $M(X, T)$ the space of all $T$-invariant Borel ...
- 1,043
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 ...
- 128k
3
votes
1
answer
302
views
Core of the generator of squared bessel process in $L^2(\mathbb{R}_+)$
Consider the squared bessel process with generator $$Gf(x)=xf''(x)+f'(x), \ \ x\in\mathbb{R}_+.$$ It is known that the Lebesgue measure is an invariant measure for this process and thus, can be ...
- 1
1
vote
0
answers
64
views
The operator $D^{p}\colon \mathcal{S}\subset L^{1}(\gamma)\to L^{1}(\gamma)$ is closable for every integer $p =1,2,\dots$
I am reading Nourdin and Peccati’s textbook (Normal Approximations with Malliavin Calculus From Stein’s Method to Universality). My question is about Lemma 1.1.6. Which says
Lemma 1.1.6:
The operator $...
1
vote
0
answers
70
views
On calculating the second quantization operator $\Gamma(A)$ of the Ornstein-Uhlenbeck operator $A$
Let $A$ be a self-adjoint operator on a Hilbert space , and let $d\Gamma(A)$ be the generator of the second quantization of $A$. Consider the following theorem from Segal's "Non-Linear Quantum ...
- 90
3
votes
1
answer
180
views
Are the paths of the Brownian motion contained in a suitable RKHS?
Let $H_B$ be the reproducing kernel Hilbert space (RKHS) of the Brownian Motion $(B_t)$ on $[0,1]$. It is well known that with probability 1 the paths of $(B_t)$ are not contained in $H_B$.
But is ...
- 8,992
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
3
votes
1
answer
201
views
Continuity of conditional expectation
Let $X$ be a compact metric space, $\mu$ a Borel probability measure on $X$ and $f: X \to \mathbb{R}$ a continuous function. Consider an increasing sequence of $\sigma$-algebras $A_n$ so that for all $...
1
vote
1
answer
210
views
Does an uncountable convex combination of elements of a set lie in the convex hull of the set in finite dimension?
Suppose that $\mathcal{F}$ is a finite-dimensional vector space and that $C\subseteq\mathcal{F}$ is a convex subset of $\mathcal{F}$.
Is it true that an uncountable convex-combination of elements of $...
- 128k
25
votes
2
answers
4k
views
Understanding of rough path
A rough path is defined as an ordered pair
$ (X, \mathbb X)$, where $X$ is a path mapping from $[0,T]$ to some Banach space $V$
and $\mathbb X:[0,T]^2 \mapsto V^2$ is another mapping for additional ...
- 1,904
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 ...
- 9,486
1
vote
0
answers
90
views
What do $\gamma$-radonifying operators radonify?
In the second volume of their Analysis in Banach Spaces, Hytönen et al. introduce the notion of $\gamma$-radonifying operator more or less as follow.
Let $(\gamma_j)_{j\in\mathbf N}$ be a sequence of ...
- 407
1
vote
0
answers
55
views
functional resembling random variable norm
Let $N\subset\mathbb{R}$ be finite
and define
$$
A(N)
=
\sum_{i
\in\mathbb{Z}
}\min\{
2
^i,
|N\cap[2^i,2^{i+1})|
\},
$$
where
$\mathbb{Z}=\{0,\pm1,\pm2,\ldots\}$
and
$|\cdot|$ denotes set cardinality.
...
- 6,541
1
vote
1
answer
150
views
Is the Boltzmann entropy continuous in the supremum norm?
We define $U : [0, +\infty) \to [0, +\infty)$ by $U(0) := 0$ and $U (s) := s \log s$ for $s >0$. Then $U$ is strictly convex. Let $D$ be the set of all bounded non-negative continuous functions $\...
- 128k
0
votes
0
answers
73
views
Computationally efficient solution for the measure of central tendency minimizing Lp loss for p > 1
We know that the measure of central tendency that minimizes the Lp loss is $\min_c \sum_{i=1}^n |x_i - c|^p$
For $p=1$ (L1 loss), this is the median. For $p=2$ (L2 loss), this is the mean. Both of ...
- 109
3
votes
1
answer
220
views
Conditional expectation as square-loss minimizer over continuous functions
It is well-known that the conditional expectation of a square-integrable random variable $Y$ given another (real) random variable $X$ can be obtained by minimizing the mean square loss between $Y$ and ...
- 128k
1
vote
1
answer
100
views
Does convergence of Radon transforms of a sequence of probability distributions implies convergence of the distributions themselves?
Let $P_1,P_2,\ldots $ be a sequence of absolutely continuous probability measures on $\mathbb R^n$, and let
$f_j:\mathbb R^n\to\mathbb R$ be their PDFs. Assume that $\operatorname{E}P_j = 0$ and $\...
- 128k
1
vote
1
answer
505
views
Gaussian measures on non-separable spaces
Let $X$ be a topological affine space which is neither separable nor metrizable. There are plenty of trivial Gaussian measures: each Dirac point-mass $\delta_x$ are the Gaussian measure with zero ...
- 2,821
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 ...
- 34.7k
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 $S$, ...
- 17.2k
1
vote
0
answers
100
views
$L_1$ convergence rates for multivariate kernel density estimation
Let $X$ be a random variable on $\mathbb R^d$ with probability density function $f$, and let $X_1,\ldots,X_n$ of $X$ be $n$ iid copies of $X$. Given a bandwidth parameter $h=h_n > 0$ and a kernel $...
1
vote
0
answers
144
views
Estimator for the conditional expectation operator with convergence rate in operator norm
Let $X$ and $Z$ be two random variables defined on the same probability space, taking values in euclidian spaces $E_X$ and $E_Z$, with distributions $\pi$ and $\nu$, respectively.
Let $L^2(\pi)$ ...
8
votes
2
answers
644
views
Uniqueness of the uniform distribution on hypersphere
I'm looking for a uniqueness-type result for the following problem, which is related to the uniform distribution in the hypersphere $\mathbb{S}^{p-1}$. Suppose $f$ is a sufficiently smooth function on ...
- 1,190
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 ...
- 29.8k
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 ...
- 128k
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, ...
- 5,474
1
vote
1
answer
241
views
What is convergence in distribution of random variables taking values in a non-metrizable product space?
Let $F = (F(x) : x \in \mathbf{R}^n)$ be a family of $\mathbf{R}^k$-valued random variables indexed by $\mathbf{R}^n$ (to be clear there is a single probability space $(\Omega,\Sigma,\mathbf{P})$ such ...
- 1,179
4
votes
0
answers
119
views
Is the range of a probability-valued random variable with the variation topology (almost) separable?
Let $X$ and $Y$ be uncountable Polish spaces, $\Delta(Y)$ be the space of Borel probability measures on $Y$ endowed with the Borel $\sigma$-algebra induced by the variation distance, and let $g:X\to \...
2
votes
0
answers
164
views
Log Sobolev inequality for log concave perturbations of uniform measure
Suppose $\Omega$ is a convex bounded open set of $\mathbb{R}^n$ (I would be happy with just $\Omega$ as the $n$-dimensional cube). Let $\mu$ be the uniform measure on $\Omega$ and consider the ...
- 873
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 : \...
- 5,474
23
votes
1
answer
1k
views
How do mathematicians and physicists think of SL(2,R) acting on Gaussian functions?
Let $\mathcal{N}(\mu,\sigma^2)$ denote the Gaussian distribution on $\mathbb{R}$:
$$ \mathcal{N}(\mu,\sigma^2)(x) = \frac{1}{\sqrt{2\pi\sigma^2}} e^{-\frac{(x-\mu)^2}{2\sigma^2}}.$$
A Gaussian ...
- 1,101
1
vote
1
answer
83
views
Integral of $M^\text{*} - M$ with respect to $M^\text{*}$ is zero for $M^\text{*}$ the running maximum of $M$ a continuous local martingale
Given $M$ a continuous local martingale, and $M^\text{*} = \sup_{0 \leq s \leq t} M_s$ its running maximum, we consider the finite variation integral
$$
I_T:= \int_0^T (M^\text{*}_s - M_s) \, \text{d}...
- 3,808
5
votes
0
answers
159
views
Log Sobolev inequality uniform in parameters
Fix a positive integer $N$. For $\theta \in [0,2\pi]$, set $\sigma_k(\theta) :=(\cos(k\theta),\sin(k\theta)) \in S^1$ for each integer $1\leq k\leq N$. Now for vectors $x_1,\ldots,x_N\in \mathbb{R}^2$,...
- 873
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 $...
- 128k
-1
votes
2
answers
407
views
Conditional expectation: commuting integration and supremum
Let $X$ and $A$ be compact Polish spaces endowed with Borel $\sigma$-algebras. Let $\mathcal{A} = X\times \mathcal{B}(A)$ be the $\sigma$-algebra consisting of cylinders whose projections on $A$ are ...
- 3,808
2
votes
1
answer
375
views
Radon-Nikodym derivative in a compact Hausdorff space
Let $X$ be a compact Hausdorff space where $X$ have infinitely many points and the topology is non-discrete, $m$ be a regular probability measure defined on the Borel $\sigma$-algebra of $X$, and $g$ ...
- 307
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 ...
- 128k
1
vote
0
answers
133
views
Does the Gaussian Poincare inequality hold for infinite dimensional measure metric spaces?
This is a question subsequent to the one:
Does the Gaussian Poincare inequality hold for $p=1$ as well as $p=2$?
There, I received a very helpful answer that the Gaussian poincare inequality for any ...
- 3,477
1
vote
1
answer
319
views
Total variation distance
Let $\mathcal{X}$ be the input or feature space, let $\mathcal{B}$ be Borel $\sigma$-algebra on $\mathcal{X}$ and $P(\mathcal{X})$ denotes the set of all probability measures on $(\mathcal{X},\mathcal{...
- 128k
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
62
views
On a real smooth version of white noise distribution theory
In white noise analysis, one starts with a real Gelfand triple $\mathcal{N}\subset \mathcal{H} \subset \mathcal{N}^{*}$ and produces out of it, using complexifications along the way, the complex ...
- 505
3
votes
0
answers
214
views
Implicit function theorem in Riemannian manifold and Wasserstein space
My question is about to what extent can we extend the implicit function theorem to Riemannian manifolds. In the Euclidean space, consider a bivariate function $F \colon \Theta \times \mathcal{X} \...
- 1,127
0
votes
1
answer
328
views
Deduce that a function is zero on interval $[0,M]$
I have been thinking about this for the last few days but I was not able to produce a definitive answer.
Take an integrable function $g$ that maps in $\mathbb{R}$ and with domain contained in $[0,M]$ (...
- 141
4
votes
2
answers
274
views
Is it true that the quantile function of an $L^1$ random variable is $L^2(]0,1[)$?
Let $(\Omega, \mathcal A, P)$ be a probability space. Let $X:\Omega \rightarrow \mathbb R$ be an $L^1(\Omega, \mathcal A, P)$ random variable.
We define the distribution function of $X$ by
$$F(x) = ...
- 1
14
votes
2
answers
892
views
Do distance functionals separate probability measures?
Let $(\Omega,d)$ be a compact metric space and $\mathcal P(\Omega)$ its space of Borel probability measures. Let $D=\{ d_p\mid p\in\Omega\}$ where $d_p(x)=d(p,x)$ be the set of all "distance ...
- 459
0
votes
0
answers
78
views
Different measurability of Hilbert-space valued random variable
My question is motivated by this link.
Let $(\Omega,\mathcal{F})$ and $(Y,\mathcal{B})$ be measurable spaces, a measurable map $T:\Omega\to Y$ is called a $Y$-valued random variable.
Now let $H$ be a ...
- 503
3
votes
1
answer
499
views
Spectral Radius and Spectral Norm for Markov Operators
My question concerns differences between the spectral radius $\rho$ and norm $\| \cdot \|$ of Markov operators in infinite-dimensional Banach spaces. This is far from my area of expertise, that is ...
- 234
4
votes
1
answer
951
views
Lipschitz function of subgaussian random variable
The similar and more general question is asked here, whose setting is random vectors.
Let $X$ be $\sigma$-sub-Gaussian and $f$ is a Lipschitz function w.r.t. constant $L$. How to prove can the ...
- 128k