All Questions
Tagged with pr.probability measure-theory
823 questions
4
votes
1
answer
181
views
Conditions for the SDE be transitive
This question was previously posted on MSE.
Let $f:\mathbb R^3 \to \mathbb R^3$ be a smooth Lipschitz function (bounded if needed), and $W_t$ a $3$-dimentional Brownian motion. Consider the SDE on $\...
- 333
3
votes
1
answer
271
views
A quantity associated to a probability measure space
Let $(S,P)$ be a (finite) probability space. We associate to $(S,P)$ a quantity $n(S,P)$ as follows:
The probability of two randomly chosen events $A,B\subset S$ being independent is denoted by $n(S,P)...
- 356
3
votes
2
answers
287
views
Conditions for the existence of von Neumann-Morgenstern utility on a Polish space
Let $X$ be a Polish space, i.e. a separable complete metric space. Any Borel probability measure on $X$ must be locally finite, outer regular and tight. Let $\mathcal{P}(X)$ be the set of all Borel ...
- 577
3
votes
1
answer
416
views
Well-definedness of maximum likelihood estimation
Consider a family $\{\mu_\theta:\theta\in\Theta\}$ of probability measures on a measurable space $X$. Given $x\in X$, the maximum likelihood estimate is the value of $\theta$ which maximizes the ...
- 128k
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 ...
- 63.9k
5
votes
1
answer
363
views
Inverse marginal property of a collection of $\sigma$-algebras
In my paper "On the inverse best approximation property of systems of subspaces of a Hilbert space"
I introduced the Inverse marginal property (IMP) for a collection of $\sigma$-algebras.
Let $(\...
CommunityBot
- 1
3
votes
1
answer
343
views
On the weak convergence of probability measures on $\mathbb R$
Let $\mathcal P(\mathbb R)$ be the set of probability measures. Set for $\mu,\nu\in\mathcal P(\mathbb R)$
$$d(\mu,\nu) := \inf\left\{\varepsilon>0:~ F_{\mu}(x-\varepsilon)-\varepsilon \le F_{\nu}(x)...
- 63.9k
2
votes
1
answer
274
views
Small ball Gaussian probabilities with moving center
I would like to prove (if possible, otherwise find a counterexample for) the following lemma:
Let $(X,\|\cdot \|_X)$ be a separable Banach space. Additionally, we have a centred Gaussian measure $\mu$ ...
- 68
2
votes
0
answers
139
views
Are there any measurable spaces of functions
I am approaching this question from a probability perspective, and am hoping for some kind of framework to help understand all of this. I believe I may have even asked a similar question on here in ...
- 213
2
votes
1
answer
188
views
Question concerning an inequality on probabilities of hitting times in a paper
Let $\ell^n: [0,\infty)\to [0,1]$ be right-continuous and increasing functions s.t. $\ell^n(0)=0$. Given $x>0$ and Brownian motion $(B_t)_{t\ge 0}$, can we prove
$$\limsup_{n\to\infty}\mathbb P[\...
CommunityBot
- 1
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&...
- 42.8k
3
votes
1
answer
730
views
Conditional independence in measure-theoretic terms
Let $\Omega$ be a compact Hausdorff space in $\mathbb{C}^n$. Let $\sigma_\Omega$ be the Borel sigma algebra on $\Omega$. Let $\zeta: \Omega\longrightarrow\partial \mathbb{D}$ be a non constant ...
- 128k
4
votes
1
answer
206
views
Existence of measures with given 1d marginals
This is a question about marginals of probability measures, which seems unrelated to previous questions.
Let $\mathbb{S}^{d-1}\subset \mathbb{R}^d$ be the unit sphere. Assume that for each $\theta\in \...
- 128k
3
votes
1
answer
626
views
Can we show that the characteristic function of an infinitely divisible probability measure has no zeros
Let $E$ be a normed $\mathbb R$-vector space, $\mu$ be a probability measure on $\mathcal B(E)$ and $\varphi_\mu$ denote the characteristic function$^1$ of $\mu$.
Assume $\mu$ is infinitely divisible, ...
- 128k
4
votes
1
answer
487
views
Finiteness of Hausdorff measure of balls
Let $(X,d)$ be an arbitrary metric space and let $\Bbb B(x,r)$ denote the closed ball with center $x \in X$ and radius $r>0$. For $p\geq 0$, let $H^p$ denote the $p$- dimensional Hausdorff measure. ...
- 1,869
5
votes
1
answer
548
views
Largeness of the set of zeroes of a Brownian motion
Definitions:
A measurable subset $S$ of $\mathbb R$ is said to be mesoscopic if there exists a continuous function $f: \mathbb R \to \mathbb R$ such that $f(S)$ is Lebesgue measurable and has nonzero ...
- 14.2k
1
vote
1
answer
140
views
Does a sequence that verifies the assumptions of a square integrable martingale on some event need to be convergent on this event?
I came across this claim by reading some literature on stochastic approximation.
Let $(\Omega, \mathcal{A}, \mathbb{P}$) be a probability space, $(\mathcal{F}_n)$ a filtration on it. Let $(\epsilon_{n}...
- 1,172
3
votes
1
answer
186
views
Weak convergence of probability measures on the one-point compactification of $[0,\infty)$
Denote by $[0,\infty]\equiv [0,\infty)\cup \{\infty\}$ the one-point compactification of $[0,\infty)$, i.e. all the open sets related to $[0,\infty]$ are either the open sets of $[0,\infty)$ or the ...
CommunityBot
- 1
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
0
votes
1
answer
248
views
Approximating arbitrary probability measures by discrete ones
Let $H$ be a separable Hilbert space and let $\mu$ be an arbitrary probability measure on $H$. I would like to approximate this distribution by by a finitely supported discrete distribution is the ...
- 2,288
2
votes
1
answer
173
views
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{\...
- 5,380
1
vote
1
answer
121
views
Relaxation of requirements for Anderson's inequality
Anderson's inequality states that for a nonnegative, symmetric, globally integrable and unimodal function $f$, i.e.
$f(x) \geq 0$,
$f(-x) = f(x)$,
$\int f(x) dx < \infty$
For all $t\in \mathbb R$, ...
- 128k
2
votes
0
answers
302
views
Simplify Kantorovich–Rubinstein duality when distributions share a common marginal
Consider the product of two metric spaces $X\times Y$, and two probability distributions $\mu$ and $\nu$ on this product space. By the Kantorovich-Rubinstein duality, I can write the Wasserstein-1-...
CommunityBot
- 1
5
votes
1
answer
457
views
Sufficient condition for a probability measure to be a pushforward measure
Let $(E,d),(F,d')$ be separable metric spaces endowed with their Borel algebra, $f:E\rightarrow F$ a continuous surjective function, and $Q$ a probability measure on $F$ with separable support.
...
- 128k
1
vote
1
answer
137
views
Ergodic theorem on limit of periodic transformations?
Suppose $(X,\mu)$ is a probability space, and $T_n, n \in \mathbb N$, is a sequence of periodic measure preserving transformations. For $x \in X$ and $f : X \to \mathbb R$, let $\mathrm{avg}_{f,n}(x)$...
- 23.2k
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:
$$
[0,1]^d\ni x \...
- 5,405
2
votes
1
answer
154
views
$P(\max_{1 \leq p \leq k}|Y_p| >\epsilon) \geq 1-4\frac{(\epsilon+\max_{1 \leq p \leq k } |X_p-E[X_p]|)^2}{\operatorname{Var}(Y_k)}$
$(X_k)_k$ is a sequence of independent r.v uniformly bounded by $c.$ If $\sum_{k}X_k$ converges a.s then $\sum_{k}E[X_k]$ converges.
The above is proved using the following inequality ($X_k$ should be ...
- 3,993
1
vote
0
answers
157
views
Pulling random times out of conditional expectation ("Substitution rule")
Problem
Let $G$ be a positive random variable (a random time) that is a.s. finite, $(X)_{t \geq 0}$ be a càdlàg process taking values in $\mathbb{R}^d$ and $g$ is some sufficiently nice real-valued ...
0
votes
1
answer
133
views
Convoluted Cantor-like measure which has a continuous component [duplicate]
Let $\mu$ be a finite measure on $\mathbb R$ which has no atoms, and no component continuous with respect to Lebesgue measure. An example is the law of the random variable
$$
\sum_{k\ge 1}3^{-k}X_k
$$...
- 1,172
1
vote
1
answer
140
views
Is a tight finite measure necessarily separately-valued and uniquely determined by its characteristic function?
Let $E$ be a Hausdorff space and $\mu$ be a tight$^1$ finite measure on $E$.
Is it possible to show that there is a closed separable $E_0\subseteq E$ such that $\mu(E_0)=\mu(E)$?
If not, I'm also ...
- 3,768
1
vote
1
answer
138
views
Least square assignment and hyperplanes
Let $S$ be a finite set of points in $\mathbb{R}^{d}$, $c(s) \in [0,1]$ such that $\sum_{s \in S} c(s) = 1$, $\rho$ continuous and non-vanishing probability distribution on $[0,1]^{d}$ and $\mu $ ...
CommunityBot
- 1
0
votes
1
answer
86
views
Is integration against an indicator Wasserstein-Continuous
Let $\mathcal{P}_p(X)$ denote the Wasserstein space over a compact metric space $X$, and $1\leq p<\infty$. Fix a non-empty closed subset $C\subseteq X$. Then is the map:
$$
\mathbb{P} \mapsto \...
- 42.8k
1
vote
1
answer
913
views
Given $\mathbb Q$ and $X_t$ is $\mathbb Q$-Brownian, find $\frac{d\mathbb Q}{d\mathbb P}$ / Uniqueness of Brownian or Radon-Nikodym derivative
The problem:
Let $T >0$, and let $(\Omega, \mathscr F, \{ \mathscr F_t \}_{t \in [0,T]}, \mathbb P)$ be a filtered probability space where $\mathscr F_t = \mathscr F_t^W$ where $W = \{W_t\}_{t \in ...
- 247
0
votes
0
answers
148
views
Classifying non atomic singular measures up to topological conjugacy
Write $\mathcal S$ for the set of probability measures on $[0, 1]$ that are non atomic and singular with respect to Lebesgue measure.
Two measures $\mu$ and $\nu$ in $\mathcal S$ are said to be ...
- 6,223
1
vote
1
answer
135
views
KL-divergence and sub-$\sigma$-algebras
I am trying to understand if the following claim is true:
Let $P$, $Q$ be probability measures on $\mathcal{X}$. For any $\sigma$-algebra $\mathcal{G}$, with countably many atoms (sets with $\...
- 128k
1
vote
1
answer
162
views
For stopping times $\tau_k,\mathcal{F}_{\sup_{k \in \mathbb{N}^*}\tau_k}=\sigma(\bigcup_{k \in \mathbb{N}^*}\mathcal{F}_{\tau_k})$?
$(\tau_k)_{k \in \mathbb{N}^*}$ is a sequence of stopping times (taking values in $\overline{\mathbb{N}}$) for the filtration $(\mathcal{F}_n)_{n \in \mathbb{N}^*}.$ Let $\tau=\sup_{k \in \mathbb{N}^*}...
- 724
2
votes
1
answer
178
views
Non-convergence to a Gaussian
Let $f_n: \mathbb R^2 \rightarrow \mathbb R$ be a family of probability distributions with the property that they vanish on the diagonal $f_n(x,x)=0.$
I would like to know: Can we show that a ...
2
votes
1
answer
1k
views
measure of a degenerate Gaussian distribution
I want to do computations with a degenerate Gaussian measure, but I do not know how to represent it
in a close form.
After starting with a Gaussian random variable and restricting it to a condition, I ...
- 128k
1
vote
1
answer
243
views
Poisson point process in polar coordinates
Let $D = \mathbb{R^+} \times (\mathbb{R}\backslash \{0\})$
Let $\mu(dt \times dx)$ be a $\sigma$-finite measure on the Borel $\sigma$-algebra $\sigma(D)$.
Let $M(dt \times dx)$ be the Poisson random ...
- 103
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
2
votes
2
answers
201
views
Functional equations and normal distribution
Let $\alpha \neq 1.$
If $X,Y$ are two independent random variable such that $U=X+Y$ and $V=X+\alpha Y$ are independent, then $X$ and $Y$ are normally distributed.
In term of characteristic functions ...
- 91.8k
1
vote
1
answer
240
views
Continuity of pushforward operation
Let $X$ and $Y$ be compact metric spaces and let $f,g:X\rightarrow Y$ be $\epsilon$-uniformly close; i.e.:
$$
\sup_{x \in X} d_Y(f(x),g(x))<\epsilon.
$$
Then, are their push-forwards close in ...
- 63.9k
0
votes
1
answer
169
views
Haar measure on ${\cal P}(\omega)$
First, we note that there is a natural bijection ${\cal P}(\omega) \to \{0,1\}^\omega$ and endow the latter with the product topology (where $\{0,1\}$ carries the discrete topology). So we get a ...
- 41.1k
1
vote
1
answer
689
views
Is the set of probability measures on $\mathbb{R}$ absolutely continuous with bounded density a closed subset?
Clarification: Here $\mu$ being absolutely continuous means being absolutely continuous with respect to the Lebesgue measure $dx$: $\mu(A)=\int_A fdx$ for some $f$ for all Lebesgue measurable $A$. ...
- 128k
0
votes
0
answers
86
views
A non trivial example of a Gaussian semi-Markov process?
Let $(\Omega, \mathcal A, \mathbb P)$ be a probability space and $X=(X_t)$ a real Gaussian stochastic process.
Let $\mathcal F=(\mathcal F_t)$ be the filtration generated by $(X_t)$.
$X$ is Markov ...
- 66.3k
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
0
votes
0
answers
87
views
How does one define weak convergence of probability measures in $L^{\infty}(\Omega)$?
I am reading the following article and on page 9/17 (above Eqn (4.9)) the authors state that if $\gamma_{\epsilon_k}|\_G_{\delta}\times \Omega\to \gamma|\_G_{\delta}\times \Omega$ as $\epsilon_k\to 0$ ...
- 537
1
vote
1
answer
151
views
Lower-bound on Sobolev norm of function on $(d-1)$-dimensional sphere, whose sign has been fixed at $n$ points
Let $\mathbb S_{d-1} := \{x \in \mathbb R^d \mid x^\top x = 1\}$ be $(d-1)$-dimensional sphere in $\mathbb R^d$ and let $\sigma_d$ be the uniform distribution on $\mathbb S_{d-1}$. Let $x_1,\ldots,x_n$...
- 39.1k
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 ...
1
vote
0
answers
192
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