All Questions
Tagged with pr.probability fa.functional-analysis
616 questions
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
6
votes
3
answers
2k
views
Estimating the variance of a discrete normal distribution
Let $f(x; \sigma) = \frac{1}{\sigma\sqrt{2\pi}}\cdot e^{-\frac{x^2}{2\sigma^2}}$ be the probability density function of a normal distribution $\mathcal{N}(0, \sigma^2)$. We consider a discrete normal ...
- 167
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
2
answers
3k
views
Dense inclusions of Banach spaces and their duals
This seems like a really simple question, but I'm struggling with it. Let $X$ be a separable Banach space, $H$ be a separable Hilbert space, and suppose $i : H \hookrightarrow X$ is a dense, ...
- 8,512
6
votes
2
answers
748
views
Does there exist a stochastic time derivative?
The Setup
Suppose I have a stochastic process $f(Z_t)$ where $Z_t$ solve the $d$-dimensional SDE
$$
dZ_t = \mu(t,Z_t)dt + \sigma(t,Z_t)dW_t
$$
and $f$ is a smooth function.
My Question
Is there a ...
- 5,405
6
votes
2
answers
1k
views
In what precise sense is quantum (i.e., non-commutative) probability not expressable in terms of classical probability?
The quantum set-up has many settings, so let's fix some definitions. I will be taking the Hilbert space approach with a minor modification that I will make explicit.
We begin with a Hilbert space $\...
- 323
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
6
votes
1
answer
1k
views
Lipschitz function of independent subgaussian random variables
This question was asked here, but I have reason to believe that it's a serious research question appropriate for this forum (also, the answers given at the link aren't satisfactory).
If $X\in\mathbb{...
- 6,541
6
votes
1
answer
2k
views
Kullback Leibler "variance": does that divergence have a name?
If you consider two probability distributions $p$ and $q$, one way to measure the distance between the two is the Kullback-Leibler divergence:
$$KL(p,q)=\int p \log (p/q) = E_p(\log p/q)$$
and this ...
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
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
6
votes
1
answer
641
views
Bochner-Minlos for moment-generating functions?
It is well-known that the Bochner-Minlos theorem characterises measures on duals of nuclear spaces by their characteristic functions. Is there a similar version for moment-generating functions?
I have ...
- 651
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
6
votes
1
answer
719
views
Constructing the 'idealized white noise' stochastic process
There are some authors, namely H. Holden, B. Øksendal, and J. Ubøe T. Zhang in their book Stochastic Partial Differential Equations. A Modeling, White Noise Functional Approach,
that define idealized ...
- 597
6
votes
1
answer
396
views
Does a metric refine the weak-* topology on a dual space?
Let $X$ be a topological affine space over $\mathbb C$, with no additional assumptions. Let $X^*$ denote its dual space of continuous affine functionals $X \to \mathbb C$, equipped with the weak-$*$ ...
- 8,512
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
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
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
6
votes
0
answers
281
views
Covariance operator analogue for manifolds and respective measure manifolds
Assume $E$ is a connected riemannian manifold with geodesic metric space structure given by $d$ and $P$ is a probability measure over $E$ with Borel sigma-algebra given by this metric structure. Also ...
- 519
6
votes
0
answers
189
views
Pettis Integrability and Laws of Large Numbers
Let $(\Omega, \mathcal F, \mathbb P)$ be a probability space, and let $V$ be a topological vector space with a dual space that separates points. Let $v_n : \Omega \to V$ be a sequence of Pettis ...
- 8,512
6
votes
0
answers
262
views
Given that a conditional measure is Gaussian, how bad can the original measure be?
Let $X$ and $Y$ be Banach spaces, and let $\varphi : X \to Y$ be a continuous linear map. Suppose that $\mathbb P$ is a probability measure on $X$ which satisfies the continuous disintegration ...
- 8,512
6
votes
0
answers
411
views
Birth-Death Process associated with Orthogonal Polynomials
I have read in various places the following objects are related:
orthogonal polynomials
birth-death processes
Lattice paths
continued fractions
After a lot of searching online, I found sketches ...
- 22.8k
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
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
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:
$$
\begin{aligned}
\delta: X & \rightarrow \AE(X)
\\
x&...
5
votes
2
answers
356
views
$L^\infty$ properties of an infinite-dimensional Gaussian semigroup
Let $W$ be a separable Banach space and $\mu$ a Gaussian Borel measure on $W$ which is centered and non-degenerate. For $F : W \to \mathbb{R}$ bounded Borel and $t \ge 0$, let
$$P_t F(x) = \int_W F(x+...
- 29.8k
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
5
votes
2
answers
2k
views
Relationship between KL, chi-squared, and Hellinger
There are many well-known relationships between the KL divergence, chi-squared ($\chi^2$) divergence, and the Hellinger metric. In the paper "Assouad, Fano, and Le Cam" by Bin Yu, the author ...
- 63
5
votes
1
answer
2k
views
Definition of infinite-dimensional Gaussian random variable
For infinite-dimensional Gaussian measures, we often see the definition of Gaussian random variables like this:
Let $H(\Omega;\mathbb{R})$ be a separable Hilbert space. A random
variable $u \in H$ is ...
- 227
5
votes
2
answers
775
views
On inverting characteristic functions
Let $X$ be a random variable in $\mathbb{R}^n$ with distribution $\mu$ and characteristic function $\varphi$ (i.e. $\varphi(t)=\mathbb{E} e^{i\langle t,X\rangle}$). The standard inversion formula ...
- 2,288
5
votes
2
answers
415
views
Existence of Solution, System of Equations
Suppose $P(\lambda, i)$ is the probability that a Poisson random variable with average $\lambda$ is equal to $i$, i.e. $\frac{\lambda^i}{e^{\lambda}i!}$
I think the following system of equations ...
- 53
5
votes
1
answer
395
views
Universal decay rate of the Fisher information along the heat flow
I'm looking for a reference for the following fact: In the torus $\mathbb T^d$ let me denote by $u_t=u(t,x)$ the (unique, distributional) solution of the heat equation
$$
\partial_t u=\Delta u
$$
...
- 5,380
5
votes
2
answers
389
views
Divergence of Green function of random walks at spectral radius
Let $P=(p(x,y))_{x, y\in N}$ be the transition matrix over countable states $N$.
Consider the generating Green function $G(x, y|t)=\sum_{0}^{\infty} p^n(x, y) t^n$, where $p^n(x,y)$ is the $(x,y)$-...
- 619
5
votes
2
answers
673
views
Regular Dirichlet form and the associated transition kernel
I am reading a paper by Fukushima "On a stochastic calculus related to Dirichlet forms and distorted Brownian motions" and support it by a book "Dirichlet forms and symmetric Markov processes" by ...
- 51
5
votes
2
answers
332
views
General additive function of probability
Let $H$ be a function of finite sequences of probabilities (non-negative numbers summing up to 1) into real numbers, such that:
$H$ is continuous,
$H$ is symmetric w.r.t. the order of its arguments,
$...
- 1,612
5
votes
2
answers
631
views
Proving that a complicated function is eventually concave
I have a function $f:\mathbb{R}^+ \to \mathbb{R}^+$ that I want to prove is eventually concave - i.e. that there exists $\gamma _0 > 0$ such that for every $\gamma>\gamma_0$, $f(\gamma)$ is ...
- 392
5
votes
2
answers
393
views
Connections between two constructions of infinite dimensional Gaussian measures
Let me discuss two possible constructions of Gaussian measures on infinite dimensional spaces. Consider the Hilbert space $l^{2}(\mathbb{Z}^{d}) := \{\psi: \mathbb{Z}^{d}\to \mathbb{R}: \hspace{0.1cm} ...
- 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
1
answer
275
views
Is there a good notion of "random bounded linear map" on a separable Hilbert space?
Let $H$ be a separable Hilbert space and let $\{e_i\}$ be an orthonormal basis. My first question is:
Is there a probability measure on $B(H)$ such that for $T$ chosen uniformly randomly the ...
- 29.2k
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
144
views
Different type of measurability of transition kernel
Let $(E,d)$ be a Polish space equipped with the Borel $\sigma$-algebra $\mathcal{E}$. Let $\mathcal{P}(E)$ be the space of all probability measures on $(E,\mathcal{E})$. We eqiup this space with the ...
- 931
5
votes
1
answer
664
views
Is the space of Radon measures a Prohorov space?
Consider the spaces $C_c(\mathbb{R})$ of compactly supported continuous functions equipped with the inductive limit topology and the Banach space $C_0(\mathbb{R}) = \overline{C_c(\mathbb{R})}^{\, _{||....
- 1,773
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
224
views
Conditional expectation of random vectors
$\newcommand{\E}{\mathsf{E}}$
$\newcommand{\P}{\mathsf{P}}$
The following additional question was asked in a comment by user Oleg:
Suppose that $(\Omega,\mathcal F,\P)$ is a probability space, $B$ ...
- 128k
5
votes
2
answers
429
views
Does the truncated Hausdorff moment problem admit absolutely continuous solutions?
Let $\mu$ be a (Borel) probability measure on $[0,1]$ and define $m_j(\mu) = \int x^j\,\mu(dx)$. Let $k$ be a positive integer and consider the set $\mathcal C_{\mu,k}$ of probability measures $\nu$ ...
- 311
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
472
views
Measures which exhibit the "uncorrelated implies independent" property
Let $X$ be a topological linear space, and let $X^*$ be its dual space. Suppose that $X$ is complete and Hausdorff, and $X^*$ separates points. Let $Y$ be another such space, and let $f : X \to Y$ be ...
- 8,512