All Questions
Tagged with pr.probability fa.functional-analysis
222 questions with no upvoted or accepted answers
2
votes
0
answers
104
views
Weak convergence rates for integral operators
Suppose $q=\sum_{i=1}^m\pi_i\delta_{x_i}$ is a discrete measure on $\mathbb{R}^n$ and let $q\ast \varphi_\epsilon$ denote the convolution of $q$ with some mollifier $\varphi_\epsilon$, so that $q\ast\...
- 75
2
votes
0
answers
142
views
Radon-Nikodým-like theorem for Radon measures
Let $(E,d)$ be a metric space, $\mu$ be a nonnegative Radon$^1$ measure on $\mathcal B(E)$ and $\nu$ be a finite (signed) Radon measure on $\mathcal B(E)$.
I'm searching for a Radon-Nikodým-like ...
- 167
2
votes
0
answers
176
views
Uniqueness for measure valued ode
Morning! Basically I'm working on a mean field scaling for some measure valued process (valued on $M_F(\mathbb{N})$). The limit turns up as a (deterministic) solution to a measure valued ODE. Let's ...
2
votes
0
answers
172
views
Can Schauder's fixed point theorem apply to a metric space?
I am currently reading the existence proof of Mean Field Game equation, which is a coupled system of Hamilton-Jacobi-Bellman equation and Fokker-Planck equation, see page 42 of the paper here. The ...
- 1,399
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
2
votes
0
answers
109
views
Tightness of Hilbert-space-valued arrays
Let $\mathcal{H}$ be a separable Hilbert space. Assume we have some triangular array $W_{n,j}, j=1, \ldots ,n $ of $\mathcal{H}$-valued random elements with $\mathbb{E} \Vert W_{n,j} \Vert_{\mathcal{H}...
- 83
2
votes
0
answers
189
views
Point wise convergence of Laplace transform and convergence of functions
Assume that functions $f_n(t), f(t)\in C_b(R_+)$. For every $\lambda >0$, we have
$$
\bigg|\int_0^\infty e^{-\lambda t}f_n(t)d t-\int_0^\infty e^{-\lambda t}f(t)d t\bigg|\leq C_\lambda n^{-1},
$$
...
- 411
2
votes
0
answers
173
views
Weak convergence of $\mathcal{L}^2$ valued random variables
Consider two continuous functions $f,g: \mathbb{R}^{2} \rightarrow \mathbb{R}$ with $f(x,\cdot), g(x,\cdot) \in \mathcal{L}^2(\mathbb{R},\mathcal{B},\lambda)$ for all $x \in \mathbb{R}$ and a sequence ...
- 83
2
votes
0
answers
74
views
Random contractions and contractions on the space of measures
Let $(S,d)$ be some separable and complete metric space, and let $\mathbb{F}$ be some collection of functions from $S$ to $S$. Endow $\mathbb{F}$ with a suitable sigma algebra such that everything I ...
2
votes
0
answers
242
views
Implicit function theorem metric spaces
Are there versions of the implicit function theorem in spaces that lack a natural linear structure, e.g. metric spaces. A quick google search has found me no results.
I am specifically interested in ...
- 175
2
votes
0
answers
169
views
Stochastic Approximation in Reproducing Kernel Hilbert Space
Consider an iterative algorithm with incremental updates
\begin{align}
x_{t+1} = x_t + \alpha_t \cdot [ h(x_t) + M_{t+1}],
\end{align}
where $\{x_t \}_{t \geq 0}$ is in a reproducing kernel Hilbert ...
- 1,127
2
votes
0
answers
60
views
Mean width of intersection of two elipsoid
My question is regarding mean widths. For a set $\mathcal{T}$ define the mean width
\begin{align*}
\omega(T)=\mathbb{E}_{\mathbf{g}\sim\mathcal{N}(0,\mathbf{I})}\bigg[\underset{\mathbf{u}\in\mathcal{...
- 363
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
332
views
Convergence of probability measures with respect to sequentially weak continuous functions
Consider a separable Banach space $X$. The Borel $\sigma$-algebra $\mathcal{B}$ of $X$ is the same when taken with respect to the weak or strong topology. Hence, the space of probability measures over ...
- 349
2
votes
0
answers
67
views
Measurability / Integrability of a monotone transformation of random variables
I am trying to wrap my head around the following statement, which involves a monotone transformation of random variables.
Let $n\in\mathbb{N}$ be fix and $\{A_{i}\}_{i=1,\ldots,n}$ a family of non-...
- 169
2
votes
0
answers
149
views
Question about continuity in the "complete Skorohod Topology"?
I am reading the book in progress of Timo Seppäläinen about the "Translation Invariant Exclusion Process"
https://www.math.wisc.edu/~seppalai/excl-book/ajo.pdf
In one of the exercises, exercise 8.9 ...
2
votes
0
answers
166
views
Must rows of a transition matrix be distinct?
Is it true that for all continuous time Markov processes on a countable state space $S$, we have
all rows of the transition matrix $\mathbf{P}_t$ are distinct for all time $t\in[0,\infty)$ ?
This ...
- 165
2
votes
0
answers
168
views
Interchanging integrals and continuous linear forms in RKHS
I am reading Reproducing kernel Hilbert spaces in probability and statistics by A Berlinet, C Thomas-Agnan.
In Chapter 5 INTEGRATION OF $\mathcal{H}$-VALUED RANDOM VARIABLES they write One of the ...
- 619
2
votes
0
answers
619
views
Laplace transform of a integral function of CIR/CEV process
The Cox–Ingersoll–Ross model (or CIR model) describes the evolution of interest rates. Constant elasticity of variance model (CEV) is a stochastic volatility model, which attempts to capture ...
- 323
2
votes
0
answers
69
views
How sensitive are the n-th step transition probabilities of the simple random walk to a small perturbation of an infinite graph?
Suppose that $G$ is an infinite, locally finite, connected graph.
Fix a vertex $o$ in the graph and for each $n$ and $x$ let $p(n,o,x)$ be the probability that a simple random walk (at each step a ...
- 4,304
2
votes
0
answers
188
views
Equivalence of two non-degenerate Gaussian measures on Banach space
The motivation of this question is to show that two probabilities on
$C_{0}^{n}(0,1)$ (the space of continuous $\mathbb R^{n}$ valued process
on $[0,1]$ starting from zero) induced by two non-...
- 1,399
2
votes
0
answers
238
views
Examples for Markov generators with pure point spectrum
I'm looking at symmetric diffusion Markov generators $L$ with pure point spectrum, i.e. infinitesimal generators of symmetric diffusion Markov semigroups, which are defined on $L^2(\mu)$ where $\mu$ ...
- 235
2
votes
0
answers
64
views
Almost-Monotone Kernels - Examples and/or Covering Theorems
I am looking for examples (or, if it exists, a theory) of almost-monotone kernels. First, a bit of notation.
Recall that if $(\leq, \Omega)$ is a partially ordered set, then the set of measures $\...
- 81
2
votes
0
answers
136
views
equivalence of topologies defined on $M_1$(a subspace of bounded measures on $\mathbb{R}$)
Let $\mathcal{C}:=\mathcal{C}(\mathbb{R})$ be the space of continuous functions on $\mathbb{R}$ and $\mathcal{C}_b$ its subspace consisting of bounded elements. Define for $\phi(x):=1+|x|$,
$$
\...
- 1,835
2
votes
0
answers
526
views
Gaussian measure on Banach spaces
Given any separable Banach space $B$ and a centered Gaussian measure $Q$ on it with Cameron-Martin space $H$, does there exist a Hilbert space $G$ and a Gaussian measure $W$ on it such that following ...
- 21
2
votes
0
answers
458
views
Random variable matrix exponential
I am trying to find out the distribution of a matrix exponential which is a function of a random variable. My mathematics background is very limited and I hope I can receive some help from here.
What ...
- 21
2
votes
0
answers
263
views
A strange Weakly Compactness in $L^1 ( \Omega, \mathcal{F}, \mathbb{P})$
Hi to everyone,
The ingredients of my problem are the following:
I have a probability space $(\Omega, \mathcal{F}, \mathbb{P})$, a set (continuum cardinality) $\mathcal{Q}$ of probability measures on $...
- 21
2
votes
0
answers
366
views
Are affine continuous functions on Bauer sub-simplices of the probability measures given by integration over continuous functions?
Let $X$ be a compact (non-metrizable) Hausdorff space and $\mathcal{P}(X)$ the set of Radon probability measures with
weak-$*$ topology (weak topology induced by the continuous functions).
Consider a ...
- 888
1
vote
0
answers
87
views
Supremum of sums of functions in $L^1$ taking random signs
Consider the Banach space $X=L^1([0,1])$, and let $n\gg1$ and $x_1, ..., x_n$ be any points in the unit sphere of $X$.
Is there any reasonable lower bound for $$\sup_{(\epsilon_i)_{i=1}^n \in \{-1,+1\}...
- 393
1
vote
0
answers
72
views
How to understand "sparse graph limits"
For an $n$-vertex graph $G$, we say it is a sparse graph if $e(G)=o(n^2)$. Otherwise if $e(G)=\theta (n^2)$, we say it is a dense graph.
For a sequence of dense graphs $G_1,G_2,\dots,$ we know that it ...
- 359
1
vote
0
answers
34
views
Discrepancy between probability measures, tested against bounded functions of bounded variance
When studying some concentration inequalities, it became relevant to consider the following discrepancy between two probability measures $\pi$ and $\nu$ (treating $\sigma \in \left( 0, \frac{1}{2} \...
- 801
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
64
views
embedding spaces of probability measures to function spaces
Let $X, Y$ be Banach spaces. I'm considering a bounded linear functional $g:X\to Y$ and its lift $g_\sharp: \mathcal{P}(X)\to \mathcal{P}(Y)$.
I want to consider the inverse of $g_\sharp$ in some ...
1
vote
0
answers
92
views
Multilinear non-commutative Khintchine inequality
Let $g_1,\ldots,g_k$ be independent standard Gaussians and for each index $(i_1,\ldots,i_k)\in [n]^k$ let $A_{i_1,\ldots,i_k}$ be a $d\times d$ symmetric matrix.
Question: Is there a known bound for ...
- 156
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
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
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
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 $L^2(\pi)$ ...
- 111
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
0
answers
64
views
Sequential Hölder-norm for functions in $H_{\alpha}([0,1]^{d})$?
I have come across a nice result attributed to Ciesielski (Ciesielski, Z. (1960). On the isomorphisms of the spaces $H_{\alpha}$ and m. Bull. Acad. Pol. Sci. Ser. Sci. Math. Phys. 8, 217–222.), even ...
- 149
1
vote
0
answers
177
views
Building random homeomorphisms of the torus $\mathbb T^2$
In https://arxiv.org/abs/0912.3423, a family of random homeomorphisms of the circle is constructed. Main Question: Can the construction be generalized to higher space dimensions, e.g. to $\mathbb T^2$?...
- 101
1
vote
0
answers
96
views
Building random homeomorphisms of the circle
Given a positive Borel measure without atoms $\tau$ on the circle $\mathbb T =\mathbb R /\mathbb Z =[0,1)$ , in https://arxiv.org/abs/0912.3423 a homeomorphism $h:[0,1)\to [0,1)$ is defined as
\...
- 101
1
vote
0
answers
99
views
Density of Lipschitz functions in Bochner space with bounded support
Let $X$ and $Y$ be separable and reflexive Banach spaces with Schauder bases. Let $\mu$ be a non-zero finite Borel measure on $X$ and let $L^p(X,Y;\mu)$ denote the (Boehner) space of strongly p-...
- 21
1
vote
0
answers
37
views
If $(\kappa_t)_{t\ge0}$ is a Markov semigroup with invariant measure $μ$, under which assumption is $t\mapsto\kappa_tf$ measurable for $f\in L^p(μ)$?
Let
$(E,\mathcal E)$ be a measurable space;
$(\kappa_t)_{t\ge0}$ be a Markov semigroup on $(E,\mathcal E)$;
$\mu$ be a finite measure on $(E,\mathcal E)$ which is subinvariant with respect to $(\...
- 167
1
vote
0
answers
417
views
Conditions for equivalence of RKHS norm and $L^2(P)$ norm
Let $K$ be a psd kernel on an abstract space $X$ and let $H_K$ be the induced Reproducing Kernel Hilbert Space (RKHS). Let $P$ be a probability measure on $X$ such that $H_K \subseteq L^2(P_X)$ and ...
- 6,853
1
vote
0
answers
135
views
Description of state space of $C(K,M_n)$?
Edit: closed convex hull added.
I am trying to understand the state space of $C(K,M_n)=C(K)\otimes M_n$ for $K$ a compact space.
My guess would be that these are the closed convex hull of states on $C(...
- 598
1
vote
1
answer
329
views
Hölder continuity of Radon transform of smooth function
Given an integrable function (e.g a probability density function) $f:\mathbb R^n \to \mathbb R$, let $R[f]$ be its Radon transform defined by
$$
R[f](w,b) := \int_{\mathbb R^n} \delta(x^\top w - b)f(x)...
- 6,853
1
vote
0
answers
254
views
Sobolev variant of Wasserstein space
Let $\mathcal{P}(\mathbb{R}^n)$ be the set of Borel probability measures on the Euclidean space $\mathbb{R}^n$ and consider thereof consisting of all probability measures $\mathbb{P}$ satisfying $\int\...
- 5,405