All Questions
Tagged with pr.probability fa.functional-analysis
616 questions
2
votes
1
answer
186
views
Does $\int \Phi \left( \frac{u}{\xi} \right) f_t(\xi) \mathrm{d} \xi \to \Phi(u)$ imply that $f_t \to \delta_1$?
I'm looking at a family $(f_t)$ of densities of some continuous random variables and know that
$$\int_{-\infty}^{\infty} \Phi \left( \frac{u}{\xi} \right) f_t(\xi) \mathrm{d} \xi \xrightarrow{t \to \...
- 235
2
votes
1
answer
850
views
Absolute convergence of logarithm of polynomial with positive coefficient ($\ln G(z) = \sum\limits_{i = 0}^\infty {{q_i}{z^i}} $)
Special problem: Let $G(z)$ be a probability generating function(pgf, the $z$ can be seen as real number or complex number), that is
$$G(z) = \sum\limits_{i = 0}^\infty {{p_i}{z^i}} ,(\left| z \right|...
2
votes
1
answer
197
views
a question about the proof of identification of dual space
I have a question about the proof below:
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 ...
- 1,835
2
votes
2
answers
291
views
Logarithmic mean
Logarithmic mean of two positive real numbers is well defined in the literature, it has also been extended to more than two arguments in various papers. Is there any notion of logarithmic mean of ...
- 21
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 : \...
- 3,477
2
votes
1
answer
374
views
Bakry-Emery criterion
The most common use of the Bakry-Emery criterion is for the measure $\mu(x)=e^{-u(x)} /Z$ where $u \in \mathcal{C}^2$. I would like to ask for an application to a smaller class.
Consider $u(x)=|x|^2 + ...
- 41
2
votes
1
answer
165
views
Existence of preferred direction for a random vector with arbitrary distribution on sphere, under a condition on its covariance matrix
Let $X$ be random vector on the unit-sphere $S_{n-1}$ in $\mathbb R^n$. We don't assume that the distribution of $X$ is uniform on $S_{n-1}$
I'm interested in proving the existence of a (...
- 6,853
2
votes
1
answer
171
views
Mean value formula for fractional heat equation
For the solution $u(z) = u(t,x)$ of the heat equation $u_t -\Delta u = 0$ we have
$$u(z_0) = \int_{\Omega_r(z_0)}u(z) K_r(z_0-z) dz,$$
where $$\Omega_r(z_0) = \left\{z \in \mathbb{R}^{N+1}: \Gamma(z_0-...
- 161
2
votes
1
answer
173
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Is there an analogue of transportation-cost inequality under a weighted Log-Sobolev Inequality?
It is known that under the Log-Sobolev Inequality for $\pi$, i.e., if for all $\rho$,
$$H_\pi(\rho):=\int \rho(x)\log\frac{\rho(x)}{\pi(x)}dx \leq \frac{1}{2\beta}\int \rho(x)\left\|\nabla \log\frac{\...
- 21
2
votes
1
answer
122
views
How is this bound for a Wasserstein contraction coefficient in this paper obtained?
I'm trying to understand the following conclusion from this paper (see below for the relevant paragraphs):
I'm not sure whether they really mean that it follows from the statements of Lemma 3.2 (...
- 167
2
votes
1
answer
2k
views
Convergence of probability density function
There are various kinds of (convergence of random variables) but I have never read about convergence of density functions.
Let $X_1, X_2, \dots, X$ be random variables $\Omega \to \mathbb{R}$ and $...
- 23
2
votes
1
answer
69
views
Lyapunov-type function in a non locally-compact space and boundedness of the average
Set-up and question.
Let $\mathcal{X}$ be a complete separable metric space which is not locally-compact. Let $V: \mathcal{X} \to [0; +\infty]$ be a function and $(X_t)_{t\geq 0}$ a Markov process in $...
- 724
2
votes
1
answer
775
views
Properties of Cameron Martin Space
In the case that I'm working with a separable Hilbert space, $H$, on which I have a trace class operator, $K$, that's coming from a Gaussian (i.e., $K$ is self-adjoint, and for simplicity, has trivial ...
- 379
2
votes
1
answer
266
views
A question about finite free convolution
For any square matrix $Y$ let $\chi_x(Y) = det(xI -Y)$ denote its characteristic polynomial.
Say $A$ and $B$ are two $n-$dimensional symmetric matrices with constant row sums $a$ and $b$. Lets ...
- 2,246
2
votes
1
answer
401
views
Reference on Probability theory on functional spaces (in special Hilbert spaces)
Currently, I am working on some sort of stochastic optimization problems defined over function spaces.
I am familiar with standard probability theory (R. Durrett, ''Probability: Theory and Examples")...
2
votes
1
answer
5k
views
Smooth Approximation of Indicator Function of Convex Sets in $\mathbb{R}^n$
Let $( \mathbb{R}^n, \| \cdot \|_P)$ be the $n$-dimensional Euclidean space equipped with $\ell_p$-norm $\| \cdot \|_p$ for some $p\in [1, + \infty]$. Let $A$ be a convex set in $\mathbb{R}^n$ and ...
- 1,127
2
votes
1
answer
453
views
Weak convergence of probability measures on weak versus strong dual
The space of temperate distributions $S'(\mathbb{R}^d)$ is often equipped with the weak-$\ast$ or with the strong topology. When defining the notion of a probability measure on $S'(\mathbb{R}^d)$, ...
2
votes
1
answer
139
views
Reynolds operator from the potential theoretic point of view
In the book "Conditional Measures and Applications", it was pointed out that "Reynolds operators have not yet been studied from the potential theoretic point of view ." Have there been any research ...
- 21
2
votes
1
answer
245
views
Probability measures on $L^p$
Let $(X,\mathcal X,\mu)$ be a fixed measure space, and suppose that $\mu$ is stationary and ergodic with respect to the (left) action of a topological group $G$. Stationarity means that $\mu = g_* \mu ...
- 8,512
2
votes
1
answer
194
views
Is there any result discribing the value of the correlation of a measurable function of `$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
2
votes
2
answers
1k
views
Decoupling lemma for the Lambda(p) problem
I'm attempting to work through Bourgain's paper "Bounded orthogonal systems and the $\Lambda(p)$-set problem". There is a step in the proof of the decoupling lemma that I am stuck on, and thought ...
- 13k
2
votes
0
answers
124
views
dimensionality reduction of Markov chains
Suppose that $M$ is a time-homogeneous (and, for simplicity, stationary) Markov chain on $d$ states, which induces the probability measure $P$ on paths of length $n$. I seek a Markov chain $M'$ on $d'&...
- 6,541
2
votes
0
answers
29
views
Steiner symmetrization of smooth function on non-simply connected regions
Given a smooth function $u$ defined on $\mathbb{R}^2$, restrict $u$ to a subset $\Omega \subset \mathbb{R}^2$ (possibly not simply connected) foliated by level sets of a smooth function $\psi: \Omega \...
- 434
2
votes
0
answers
88
views
Dependence and $L^2$ projections of functions
tl;dr: Is it possible that the best approximation to a nonnegative function of three variables with a bivariate function is no better than the best univariate function?
Let $w$ be a density on $\...
- 21
2
votes
0
answers
137
views
Holder-Besov space and time continuity
Let $\mathbb{T}^d$ be the $d$-dimensional torus, $\mathscr{S}:=C^\infty(\mathbb{T}^d)$ the Schwartz space, $\mathscr{S}'$ the space of tempered distributions.
We consider a dyadic partition of unity $(...
- 573
2
votes
0
answers
74
views
References for a class of Banach space-valued Gaussian processes
Let $E$ be a separable Banach space, consider a centered $E$-valued Gaussian process $\{x_t,t\ge 0\}$ that satisfies
\begin{equation}
\mathbb{E}\phi(x_s)\psi(x_t)=R(s,t)K(\phi,\psi),\quad \phi,\psi\in ...
- 121
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
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
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
2
votes
0
answers
57
views
Right spectral gap of vector of two independent Markov chains
Let $(X_i)$ be a stationary Markov chain on $S$ (a potentially uncountable space with a Borel sigma algebra) with stationary distribution $\pi$ and transition kernel $P$. Let $(Y_i)$ be a stationary ...
- 203
2
votes
0
answers
112
views
Is there a way to detect instantaneous states of a Feller Process from its infinitesimal generator?
I’m working with generators of Feller processes. If $C(E)$ is the space of continuous functions over $E$; with $E$ a compact metric space, I proved that an operator $G$ over $C(E)$ is the ...
2
votes
0
answers
131
views
Eigenvalues of Witten Laplacian induced by log-concave probability measure on manifold
Let $M$ be a closed $n$-dimensional Riemannian manifold and let $\mu=e^{-V}d\mathrm{vol}_M$ be a log-concave probability measure on $M$, such that the pair $(M,\mu)$ verifies the so-called Bakry-Emery ...
- 6,853
2
votes
0
answers
69
views
A distribution $\pi \propto \exp(-f)$ satisfies log-Sobolev inequality, does $\exp(-af)$ also satisfy LSI?
Assume a distribution $\pi \propto e^{-f}$ satisfies log-Sobolev inequality (LSI)
$$\forall \rho \in P(\mathbb{R}^n), \quad KL(\rho\| \pi) \le \frac{1}{2\lambda} I(\rho \| \pi)$$
with LSI constant $\...
- 21
2
votes
0
answers
122
views
Consistent approximation of weighted Radon transform of smooth probability density, using kernel density estimation
Let $X$ be a random vector in $\mathbb R^d$, with "sufficiently smooth" probability density function on $\rho$. For unit-vectors $w$ and $u$ in $\mathbb R^d$, and a scalar $b \in \mathbb R$, ...
- 6,853
2
votes
0
answers
86
views
Continuity of the entropy of the solution of a parabolic PDE at $t=0$
Consider the following initial value problem for a parabolic PDE :
$$\begin{cases}
\textrm{div}\big(A\,\nabla u(t,x) + b(x)\, u(t,x)\big) \,=\,\partial_t u(t,x) \quad x\in\mathbb R^d\,,\ t>0 \\[4pt]...
- 311
2
votes
0
answers
105
views
Equivalence between notions of dynamical coupling as defined by Villani in his book Optimal Transportation: Old and New
$\DeclareMathOperator\law{law}$In Villani's book he presents the following notions of dynamical couplings:
Let $(X,d)$ be a Polish space. A dynamical transference plan $\Pi$ is a probability measure ...
- 99
2
votes
0
answers
81
views
Convergence of random operators
I'm a statistician not versed in functional analysis and operator theory. I wish that I might not find a wrong place for my question. All my questions are trivial in the scalar time series case, but ...
- 121
2
votes
0
answers
168
views
A slight generalization of Skorokhod's representation theorem
Let $f:\mathbb{R}^p\rightarrow\mathbb{R}^q$ $(p,q\geq 1)$ be a continuous function and $(X_n)_{n\geq 1}$ a sequence of random values on $\mathbb{R}^p$ such that $f(X_n)$ converges in law to a random ...
- 449
2
votes
0
answers
106
views
How to judge whether the following convex set contains a given point?
Let the set $\mathcal{S}=\left\{ \sum_{i=1}^n x_i\mathbf{h}_i：x_i\in[0,1] \text{ for all }i\right\}\subset\mathbb{R}^r$, i.e., a zonotope generated by $n$ column vector $\mathbf{h_1},\cdots,\mathbf{h}...
- 550
2
votes
0
answers
52
views
Reference Request: Dirichlet operators with singular coefficients
Let $d\geq 2$, $\delta \in (0,1)$ and let $\mathcal{L}_{d,\delta}$ be the second order differential operator defined by
\begin{align*}
\mathcal{L}_{d,\delta}(f)(x) = \Delta(f)(x)-\delta \|x\|^{\delta-...
- 778
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 ...
