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7 votes
1 answer
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Properties of convolutions

Consider the function $$f_{n}(x)=e^{-x^2}x^n.$$ and the function $$h_p(x):=e^{-\vert x \vert^p}.$$ My goal is to analyze $$ F_p(y):=\frac{(f_2*h_p)(y)}{(f_0*h_p)(y)}- \left(\frac{(f_1*h_p)(y) }{(f_0*...
Landauer's user avatar
  • 173
17 votes
5 answers
3k views

Conditional probabilities are measurable functions - when are they continuous?

Let $\Omega$ be a Banach space; for the sake of this post, we will take $\Omega = {\mathbb R}^2$, but I am more interested in the infinite dimensional setting. Take $\mathcal F$ to be the Borel $\...
Tom LaGatta's user avatar
  • 8,512
9 votes
1 answer
4k views

What are some characterizations of the strong and total variation convergence topologies on measures?

I asked this question on StackExchange a few days ago but didn't get any response, so I thought I would try here. The Wikipedia article on convergence of measures defines three kinds of convergence: ...
user39080's user avatar
  • 203
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 ...
Tom LaGatta's user avatar
  • 8,512
18 votes
4 answers
1k views

Reference for a strong intermediate value theorem for measures

Let $\mu$ be a finite nonatomic measure on a measurable space $(X,\Sigma)$, and for simplicity assume that $\mu(X) = 1$. There is a well-known "intermediate value theorem" of Sierpiński that states ...
Manny Reyes's user avatar
  • 5,407
15 votes
3 answers
2k views

Disintegrations are measurable measures - when are they continuous?

This is a sequel to another question I have asked. The notion of disintegration is a refinement of conditional probability to spaces which have more structure than abstract probability spaces; ...
Tom LaGatta's user avatar
  • 8,512
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 $B(0,1)$ ...
RadonNikodym's user avatar
12 votes
3 answers
870 views

Measure theory in nuclear spaces

Much of the literature on measure theory in linear spaces focuses on the case of normed linear spaces (e.g., the outstanding book by Vakhania, or its sequel). However, nuclear linear spaces "as far ...
Tom LaGatta's user avatar
  • 8,512
7 votes
1 answer
261 views

Comparison of several topologies for probability measures

Let $X$ be a compact metric space and denote $\mathcal M(X)$ the set of probability measures on $X$. For $\mu\in\mathcal M(X)$ we write $\operatorname{supp} \mu$ for the support of $\mu$. As is well ...
Kass's user avatar
  • 243
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 $E=L^{2}[a,b]$ ...
Nigel's user avatar
  • 61
4 votes
2 answers
374 views

Vague convergence: confusion about the regularity of a signed Radon measure and that of its variation

I'm reading a proof of below theorem from this paper. Theorem A.3. Let $\Omega$ be a locally compact normal Hausdorff space. Let $\left\{\mu_n\right\} \cup\{\mu\} \subset \mathcal{M}(\Omega)$ and ...
Analyst's user avatar
  • 657
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 \...
Michael Greinecker's user avatar
4 votes
1 answer
412 views

Is a Gaussian measure on a Hilbert space determined by the coarser topology induced by the covariance operator?

I have a basic question about Gaussian measures on a Hilbert space: Let $\mu$ be a non-degenerate Gaussian measure on a Hilbert space $(H_0,\left\langle \cdot,\cdot \right\rangle_0)$. Then the ...
r_faszanatas's user avatar
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 $\mathbb T^2$?...
user490373's user avatar
0 votes
0 answers
118 views

A measure on the group of homeomorphisms of $\mathbb T^2$

Let us consider the group of measure-preserving homeomorphisms of $\mathbb T^2$ (with transformations identified if they agree almost everywhere) called $G[\mathbb T^2, \mathcal L^2]$. We shall ...
user490373's user avatar