All Questions
Tagged with pr.probability measure-theory
218 questions with no upvoted or accepted answers
2
votes
0
answers
121
views
Coupling Marginals of Distributions on the Sphere
Given a distribution $P_X$ on $\mathbb{R}$, when does there exist a coupling (i.e. joint distribution) $P_{X^n}$ of $X_1,...,X_n$, each distributed according to $P_X$, such that $\sum X_i^2 = n$ ...
- 31
2
votes
0
answers
60
views
A canonical example of the non-existence of predictive probability distribution
Section 3 of Fortini et al. (2000) states that
Given $(X^\infty, \mathcal X^\infty,P)$, a predictive probability distribution of $x_n$ given $(x_1, \dots, x_{n-1})$ with respect to $P$ need not ...
- 131
2
votes
0
answers
160
views
Is it possible to improve the order of convergence of averages of random variables if they are not identically distributed?
Let $X_n$ be a sequence of independent random variables (but not necessarily identically distributed)
taking values in $[-1,1]$ that have the following property:
1) The average $A_n := \frac{(X_1+ \...
- 3,245
2
votes
0
answers
98
views
Finding a general form of the density function when we have a four dimensional random variable
Consider a subject having time of the specific event $T_i$, which is a single sample from a
distribution $F_i$ with density $f_i$ and support
$[t_{\min},t_{\max}]$, for $i= 1,\ldots,n$. Let these ...
- 35
2
votes
0
answers
60
views
Stronger version of linearity for functions of measures
Let $X$ be a standard Borel space, and $P(X)$ be space of Borel probability measures on $X$. It is also a standard Borel space if endowed with the topology of weak convergence, so we can integrate ...
- 1,655
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 $\phi(x):=1+|x|$,
$$
\...
- 1,835
2
votes
0
answers
140
views
Products for probability theory using zero sets instead of open sets
(For all of this post, at least Countable Choice is assumed to hold.)
For all Tychonoff spaces $\langle X,\mathcal{T}\hspace{.06 in}\rangle$ :
Define $\mathbf{Z}(\langle X,\mathcal{T}\hspace{.06 in}\...
user5810
1
vote
0
answers
88
views
Measurability of a map involving probability measures
Let $X$ be a metrizable topological space and $\mathscr B_X$ the Borel $\sigma$-algebra on it. Let $\Delta X$ denote the set of probability measures on $(X,\mathscr B_X)$, and let $\mathscr B_{\Delta ...
- 405
1
vote
0
answers
61
views
Bound on $\int_0^1\sqrt{\log N_{[]}(\varepsilon,\mathcal{F},d)} \, d\varepsilon$ over the class of half-spaces $\mathcal{F}$ on $\mathbb{R}^d$?
For a class of functions $\mathcal{F}$ and a pair $f,g\in\mathcal{F}$ with $f\leq g$, the interval $[f,g]=\{h:f(x)\leq h(x)\leq g(x),\forall x\in\mathbb{R}^d\}$ is called a bracket for $\mathcal{F}$. ...
- 141
1
vote
0
answers
45
views
Modifiying a sequence of measures to assign a certain value when integrating a fixed function?
Let $f:\mathbb R ^d\to \mathbb R$ be some continuous function, $|f|\leq A(1+|x|)$, where $|\cdot|$ denotes the usual Euclidean norm. Fix a measure $\mu$ and constant $C$.
Assume that $\mu_n$ is a ...
- 291
1
vote
0
answers
59
views
Gaussian Hypercontractivity of Chaos based on Gaussian with value in Hilbert spaces?
The classical Gaussian hypercontractivity is stated as following: Suppose $\xi$ is a Gaussian variable and $H_n(\xi)$ is the space of n-th homogeneous Wiener chaos constructed from $\xi$, then for any ...
- 253
1
vote
0
answers
35
views
Deterministic multifractal measure with quadratic singular spectrum?
For a non-negative locally finite measure $\mu$ on a bounded metric space $(\Omega,\mathcal{B})$, its local Holder exponent $f(x)$ is defined as $$f(x)=\lim_{r\downarrow 0}\frac{\mu(B(x,r))}{\log r}$$
...
- 715
1
vote
0
answers
124
views
Density of absolutely continuous measures on a Polish Space
Consider the set of all probability measures on a Polish space $X$ (equipped with the Borel $\sigma$-field $\mathcal{B}(X)$). I am wondering if there exist conditions under which a subset of measures ...
- 185
1
vote
0
answers
87
views
$f \in L^2(X\times Y,\mu \times K)$ for Kernel $K$, is the map $X \ni x \mapsto (f(x,\cdot),x) \in \bigsqcup_{x \in X}L^2(Y,\Sigma_Y,K_x)$ measurable?
Let $(X,\Sigma_X)$ and $(Y,\Sigma_Y)$ be two measurable spaces, let $\mu$ be a measure on $(X,\Sigma_X)$, and let $(K_x)_{x \in X}$ be a transition kernel from $(X,\Sigma_X)$ to $(Y,\Sigma_Y)$, that ...
- 309
1
vote
0
answers
168
views
Optimal transport-like problem where the objective depends on conditional probability distribution
$\DeclareMathOperator\marg{marg}$I would like to know if the following problem can be studied as an optimal transport problem, possibly imposing additional assumptions on the data.
Consider two sets $\...
1
vote
0
answers
87
views
Symmetry of the isoperimetric profile
Given a probability measure $\mu$ on a metric space $(X, \mathsf{d})$, the $(\mu-)$Minkowski content of a set $A$ is defined as
$$\mu^+ (A) := {\lim\inf}_{r \to 0^+} \frac{\mu ( A_r \setminus A)}{r},$$...
- 801
1
vote
0
answers
83
views
Existence of a stronger notion of perfect measures
Let $\mathcal{X}$ be a measurable space with its $\sigma$-algebra $\mathcal{B}_\mathcal{X}$ and let $\mathbb{R}$ be the real numbers endowed with its Borel $\sigma$-algebra $\mathcal{B}_\mathbb{R}$.
...
- 285
1
vote
0
answers
115
views
Concatenation of Markov processes and independence
In chapter 14 of Sharpe's General Theory of Markov Processes the concatenation of Markov processes $X^1$ and $X^2$ is described. I've posed the relevant part at the bottom of this post.
It is rather ...
- 167
1
vote
0
answers
79
views
Does weak convergence of filtrations preserve progressive measurability?
Suppose on some probability space $(\Omega, \mathcal{F}, \mathbb{P})$ I have a sequence of filtrations $\mathbb{F}^n =(\mathcal{F}^n_t)_{t \geq 0}$ generated by Brownian motions $W^n$ for each $n$, ...
- 11
1
vote
0
answers
175
views
Interpretation of the Lévy measure of an infinitely divisible random vector
We know that a random vector $X$ is infinitely divisible (ID) if for all $n \in \mathbb N$, there exist $X_1^n,..., X_{n}^n$ i.i.d. random vectors such that:
\begin{equation}
X = X_1^n + ...+ X_n^...
- 13
1
vote
0
answers
44
views
Measurability in a product space of a set defined only along its fibers
Consider the probability space $([0,1],\mathcal{B}([0,1]),\lambda)$, where $\mathcal{B}([0,1])$ denotes the Borel $\sigma$-algebra in $[0,1]$ and $\lambda$ is the Lebesgue measure in $[0,1]$. Then, ...
1
vote
0
answers
43
views
Does the constrained Wasserstein barycenter admit a blue noise property?
Let $(E,d)$ be a metric space and $\nu$ be a probability measure on $\mathcal B(E)$. In this paper, it is mentioned that sampling from $\mu$ can be described as choosing $n\in\mathbb N$, $x_1,\ldots,...
- 167
1
vote
0
answers
166
views
Wiener Integral and its distribution
Let $(\Omega, \mathcal{A}, \mathbb{P})$ be a probability space.
Let $(W(t))_{x \in \mathbb{R}^d}$ be a Gaussian random field.
Then, we can define Wiener integral $\int_{\mathbb{R}^d} f(\xi) \, dW(\xi)$...
- 193
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
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
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
0
answers
72
views
On the closedness of a certain subset of $\mathbb R$
Let $\mu$ be a probability measure on measurable space $X=\mathbb R^n$ (euclidean), and let $F$ be a family of $\mu$-measurable functions $X \mapsto \mathbb R$ which are uniformly bounded, i.e $b:=\...
- 6,853
1
vote
0
answers
47
views
How do we need to argue in this step of the Itō-Lévy-Khintchine decomposition?
Let
$E$ be a $\mathbb R$-Banach space;
$(\Omega,\mathcal A,\operatorname P)$ be a probability space;
$(\mathcal F_t)_{t\ge0}$ be a filtration on $(\Omega,\mathcal A)$;
$(X_t)_{t\ge0}$ be an $E$-...
- 167
1
vote
0
answers
328
views
Preservation of variance for log-normal variables under change of measure
Aim: to show that changing a probability measure via the application of a Radon-Nikodym derivative preserves variance of a log-normally distributed random variable (for the case when variance is non-...
- 141
1
vote
0
answers
89
views
Understanding the statements of Theorem 5.5 and Lemmas 5.6, 5.7 and 5.8 from a French paper by Yves Guivarc’h and Émile Le Page
I would like to understand the statement and the proof Theorem 5.5 just for the special case when $X$ is a single point from the paper “Simplicité de spectres de Lyapounov et propriété d’isolation ...
1
vote
0
answers
191
views
Characterization of Poisson random measure in terms of Laplace transform
Let $(E,\mathcal E)$ be a measurable space and $\mu$ be a measure on $(E,\mathcal E)$.
A random measure $\pi$ on $(E,\mathcal E)$ is called Poisson with intensity $\mu$ if
$\pi(B)\sim\operatorname{...
- 167
1
vote
0
answers
199
views
Absolute continuity of joint distribution if all marginals in any basis are absolutely continuous
Consider a probability distribution $\nu$ on $(x,y)\in\mathbb{R}^2$. I know that the absolute continuity of the marginals on $x$ and $y$ is not sufficient to imply the absolute continuity of $\nu$, ...
- 449
1
vote
0
answers
76
views
Symmetry for bilinear optimization problem related to Gromov Wasserstein distance
The following question came up when trying to numerically solve some variants of the Gromov-Wasserstein distance.
Setting:
Let $(X_1, d_1), (X_2, d_2)$ be two compact, separable and complete metric ...
- 1,095
1
vote
0
answers
74
views
Measurability of $\mathbb{R}^n$-Random Field
Let $(X_x)_{x\in [0,1]^d}$ be a collection of integrable random variable defined on a (common) probability space $(\Omega,\mathcal{F},\mathbb{P})$. Under what condition is the map:
$$
[0,1]^d\ni x \...
- 5,405
1
vote
0
answers
157
views
Pulling random times out of conditional expectation ("Substitution rule")
Problem
Let $G$ be a positive random variable (a random time) that is a.s. finite, $(X)_{t \geq 0}$ be a càdlàg process taking values in $\mathbb{R}^d$ and $g$ is some sufficiently nice real-valued ...
1
vote
0
answers
158
views
Translation of Dellacherie's Capacités et Processus Stochastiques
I have been studying the Strasbourg school's general theory of processes from Dellacherie and Meyer's Probabilities and Potential, and I really like it. I have heard very good reviews about another ...
- 141
1
vote
0
answers
306
views
Gaussian measures on infinite dimensional spaces
On Zabczyk & Da Prato book about infinite dimensional SDEs they introduce the idea of Gaussian measures in infinite dimensional Banach spaces. They do so by means of Fernique theorem.
In the ...
- 515
1
vote
0
answers
64
views
Marginal distribution of $I$-projection
I am reading this paper by Csiszar. Given a probability measure $R$ and a convex subset $\mathcal{E}$ of probability distributions, it defines ‘I-projection of R on $\mathcal{E}$’ (provided there ...
- 371
1
vote
0
answers
191
views
Almost sure convergence and asymptotic measurability
Let $(\Omega,\mathcal{A}, P)$ be a probability space and $X$ be a Borel measurable and separable map.
(i) $X_{n}\stackrel{\text{ as }}{\rightarrow}X$ and $\left(d\left(X_{n},X\right) \right)$ is ...
- 11
1
vote
0
answers
52
views
A local base for space of probability measures with Prohorov metric
Let $S$ be a Polish space. Let $P(S)$ denote the space of probability measures on $(S,\mathcal{B})$, where $\mathcal B$ is the Borel-$\sigma$-algebra over $S$. Equip $P(S)$ with the Prohorov metric. I ...
- 111
1
vote
0
answers
36
views
Does a total preorder on lotteries that preserves countable mixtures preserve arbitrary mixtures?
Let $X$ be a countable set. A lottery on $X$ is a function $\lambda: X \to [0,1]$ such that $\sum_x \lambda(x) = 1$. Let $\Delta X$ be the set of lotteries on $X$.
A total preorder $\preceq$ on $\...
- 869
1
vote
0
answers
184
views
Bounding the total variation metric between Gaussian mixtures
Let $\mathcal{P}(\mathbb{R}^d)$ the space of probability measures on $\mathbb{R}^d$ with total variation metric $\delta$, fix $k \in \mathbb{N}$, and let $\mathcal{P}'\subset \mathcal{P}(\mathbb{R}^d)$...
- 5,405
1
vote
0
answers
72
views
Local time as a measurable map from Wiener space
Let $B$ be a Brownian motion on $[0,1]$. The local time of $B$, which I will denote by $L$, is defined as the process on $\mathbb R$ such that
$$\int_0^1 F(B_t)~dt=\int_\mathbb R F(x)L(x)~dx,\qquad\...
- 891
1
vote
0
answers
169
views
A question about Stroock's notes on the Weyl lemma
On p.4 of these notes, D. Stroock gives a quick and efficient construction of the Markov transition functions of a certain diffusion. The idea of his construction (on page 4) is to 'freeze' the ...
- 1,461
1
vote
0
answers
83
views
Embedding random variables in infinite-dimensional spaces
Let $H$ be a reproducing kernel Hilbert space of functions $f:E\to F$ with kernel $k$. A point in $E$ may be embedded into $H$ via the canonical embedding $x\mapsto k(x,\cdot)$. Similarly, a random ...
- 710
1
vote
0
answers
105
views
Measure on a set and its value on $\emptyset$
After my first post here, I have one more doubt which is bothering me. It concerns Minlos's book Introduction to mathematical statistical physics again. To fix the notation, we have $\Lambda \subset \...
- 1,305
1
vote
0
answers
106
views
Show a Poincaré inequality for a Markov kernel and minimize the Poincaré constant
Let $\tilde\kappa$ denote the transition kernel of the Markov chain generated by the Metropolis-Hastings algorithm with proposal kernel $\tilde Q$ and target distribution $\tilde\mu$ (see definitions ...
- 167
1
vote
0
answers
56
views
Minimizing the rate of geometric ergodicity of a Metropolis-Hastings kernel depending on a parameter
Let $\tilde\kappa$ denote the transition kernel of the Markov chain generated by the Metropolis-Hastings algorithm with proposal kernel $\tilde Q$ and target distribution $\tilde\mu$.
I want to ...
- 167
1
vote
1
answer
718
views
Transport of measure
Let's disintegrate $\mu$ and $\nu$, two probabilities on $\mathbb{R}^{d}$ , according to
$$
\pi_{k} (x_{1},...,x_{d}) = (x_{k},...,x_{d})
$$
We get a family of measures and each measure $\mu_{k,d}^{+...
- 179