All Questions
74 questions
0
votes
1
answer
66
views
Does convergence in probability of iid samples imply convergence in measure of the sampled functions?
Let $g_i: [0, 1] \to \mathbb R$ be $L^1$ functions, equibounded in $L^1$ norm. Let $X_i$ a sequence of iid uniform random variables on $[0, 1]$. Suppose that
$$\frac{1}{n} \sum_{i = 1}^n g_i (X_i) \to ...
- 6,155
3
votes
0
answers
45
views
Small deviation asymptotics for sub-gaussian diffusions in dirichlet spaces
Let $(X,d,\mu)$ be a metric measure space equipped with a strongly local, regular Dirichlet form $(\mathcal{E}, \mathcal{D}(\mathcal{E}))$ on $L^2(X,\mu)$. Assume that the associated heat kernel $p_t(...
4
votes
0
answers
198
views
When a null uncountable set can be image of some increasing function with discontinuities on a dense countable set
Consider the following result:
A: Let $f:D \to \mathbb R$ be an increasing function with discontinuities on a dense countable subset of $D$ such that the jump values sum to $\mu(D)$, where $D$ is a ...
- 303
2
votes
0
answers
29
views
Steiner symmetrization of smooth function on non-simply connected regions
Given a smooth function $u$ defined on $\mathbb{R}^2$, restrict $u$ to a subset $\Omega \subset \mathbb{R}^2$ (possibly not simply connected) foliated by level sets of a smooth function $\psi: \Omega \...
- 434
4
votes
1
answer
182
views
Extracting a subsequence Cesàro converging to the limsup of the Cesàro sums
Let $X_n$ be a sequence of uniformly bounded random variables — that is, there exists some $K > 0$ such that $|X_n| \leq K$ almost surely for all $n \in \mathbb N$.
Write $\bar X_N := \frac{1}{N} \...
- 6,155
2
votes
1
answer
141
views
Injectivity of two sided Laplace transform
Let $\mu,\nu$ be finite Borel measures on $\mathbb R$.
Assume that there is an open interval $(a,b)$ on which the Laplace transforms exist and coincide:
$$
\int_{-\infty}^\infty e^{-tx}\,d\mu(x) = \...
- 759
3
votes
1
answer
100
views
Vague Topologies induced by $C_c$ and $C_0$ are the same on a closed ball of finite Radon measures?
Let $X$ be a locally compact Hausdorff space. Denote $C_c(X)$ and $C_0(X)$ the space of continuous functions with compact support and vanishing at infinity respectively. By Riesz representation ...
- 315
0
votes
1
answer
230
views
Can we further restrict the space of test functions to $C_c^\infty (X)$ in weak convergence?
Let
$X := \mathbb R^n$,
$C_b(X)$ the space of all real-valued bounded continuous,
$C_c(X)$ the space of all real-valued continuous functions with compact supports, and
$C_c^\infty(X)$ the space of ...
- 657
0
votes
1
answer
327
views
Deduce that a function is zero on interval $[0,M]$
I have been thinking about this for the last few days but I was not able to produce a definitive answer.
Take an integrable function $g$ that maps in $\mathbb{R}$ and with domain contained in $[0,M]$ (...
- 141
0
votes
1
answer
105
views
Transforming two smooth densities to the same density
I am looking for an example of the following:
Find a bijective, differentiable function $f$ and continuous probability density functions $q_1\ne q_2$ such that $f_*q_1=p=f_*q_2$, where $f_*$ is the ...
- 5
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
2
votes
1
answer
122
views
Can we say that there exists a measurable function $f$ such that $ \nu=f_{\#}\mu$?
Define a coupling $\pi\in \Pi(\mu,\nu)$ on the product space $(X\times X,\mathcal{F}\times\mathcal{F})$. let $\pi_x$ be the disintegration of $\pi$ with respect to the $\mu$, i.e. there exists a Borel ...
- 288
5
votes
1
answer
415
views
Why is it valid to take uncountable infimum of one dimension of a multivariate function of random variables?
let $\xi,\eta: \Omega \to \mathbb R$ be i.i.d. random variables on a measurable space $(\Omega , \mathcal F,\mathbb P)$, and let $f: \mathbb R^2 \to \mathbb R$ be a bivariate measurable function (say ...
- 53
3
votes
2
answers
264
views
Probability of picking neighbors in $\{1,\ldots, n\}$
Motivation. Swiss license plates consist of $2$ letters indicating the region, followed by a number, such that the pairing (region, number) is unique by car. In the small town where I live, I saw two ...
- 48.9k
1
vote
1
answer
160
views
Existence, uniqueness and regularity of the solution to some integral equation
Let $b: \mathbb R_+\times\mathbb R_+\times \mathcal P\to\mathbb R$ be Lipschitz, where $\mathcal P$ denotes the set of probability measures $\mu$ on $\mathbb R_+$ of finite first moment and is endowed ...
- 1,334
8
votes
0
answers
422
views
Non-affine smooth transformation of Gaussian is Gaussian
Suppose $Z\sim N(0,1)$ (standard Gaussian) and $f: \mathbb{R} \to \mathbb{R}$ is a differentiable function such that $f(Z)\sim N(0,1)$. My question is whether there exists any such $f$ other than $f(x)...
- 399
2
votes
0
answers
98
views
Has this "optimal constrained transport" notion of convergence of measures been named and/or studied?
Let $(X,d)$ be a compact metric space, and let $\{\mu_n\}_{n \in \mathbb{N} \cup \{\infty\}}$ be a family of Borel probability measures on $X$.
Fix $L \geq 1$. I will say that $\mu_n$ converges in ...
- 708
4
votes
1
answer
209
views
Is $\int_{-c}^c |A \cap (x + A)|\, dx$ maximized when the measurable subset $A \subseteq \mathbb R$ is an interval centered at the origin?
Let $A$ be a nonempty measurable subset of $\mathbb R$, with Lebesgue measure $|A|=1$, and let $c>0$. Define the scalar $I(A)$ by
$$
I(A) := \int_{-c}^c |A \cap (x + A)|\, dx,
$$
where $x+A := \{x +...
- 6,853
2
votes
0
answers
192
views
Convergence of Gibbs distribution to Dirac measure [closed]
Consider the probability density function on $R^d$ for a continuous function $F: R^d \to R$:
$$
q_{\varepsilon}(x) = \frac{1}{Z} \exp\left(-\frac{1}{\varepsilon} F(x)\right).
$$
Denote $x^* = \arg \...
- 31
4
votes
3
answers
2k
views
Dominated convergence theorem when the measure space also varies with $n$
Let $(f_n)_n:X \to \mathbb R$ be a sequence of measurable functions on a measurable space $X$ converging pointwise to a function $f:X \to \mathbb R$, and let $(\mu_n)_n$ be a sequence of finite ...
- 6,853
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 ...
- 315
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. ...
- 185
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 ...
- 249
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
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
0
votes
1
answer
115
views
Average over spheres finite
Let $X_1,...,X_N$ be random variables that are iid with the uniform distribution over $\mathbb S^n.$
I am curious how to see that $f(X_1,..,X_N):=\left \lvert \sum_{i=1}^N X_i \right\rvert^{-1}$ has ...
- 124
1
vote
2
answers
194
views
Continuity of the densities of a stochastic process
Let $X=(X_t)_{t\in I}$ ($I\subset\mathbb{R}$ an interval) be a stochastic process with continuous sample paths and such that $X_t$ admits a continuous Lebesgue density $\chi_t\in C(\mathbb{R}^d)$ for ...
- 463
12
votes
1
answer
1k
views
Riesz–Markov–Kakutani representation theorem for compact non-Hausdorff spaces
Let $X$ be a compact Hausdorff topological space, and $\mathcal C^0 (X) = \{f:X\to\mathbb{R}; \ f \text{ is continuous }\}$. It is well known that for any bounded linear functional $\phi: \mathcal C^...
- 333
0
votes
1
answer
1k
views
Bounding $L^p$ norms in terms of lower-order $L^q$ norms
Suppose $f,g\in L^q(\Omega)$ ($\Omega\subset \mathbb{R}^n$) for all $1\le q\le p$. Here, $L^p(\Omega)$ is defined with respect to some measure $\mu$ that is absolutely continuous wrt Lebesgue measure. ...
- 710
7
votes
1
answer
1k
views
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*...
- 173
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 ...
- 183
2
votes
2
answers
451
views
If $0 \le \mu(A) < p < 1$, when is it true that there exists a measurable $B \supseteq A$ such that $\mu(B)=p$?
Let $(X,\mu)$ be a probability measure space and $A$ be a measurable subset of $X$ such that $0 \le \mu(A) < p < 1$.
Question
When is it true that there exists a measurable $B \subseteq X$ ...
- 6,853
1
vote
1
answer
860
views
Right continuous filtration
In optimal control theory, we often need a filtration do be right continuous. Consider a filtered probability space $(\Omega, \mathcal F, \mathbb P)$ equipped with a right continuous filtration $\...
- 553
2
votes
1
answer
99
views
Does bounded integral over sequence of subsets of $X$ whose union is $X$ imply bounded integral over X?
I came across the following problem while doing a piece of research on automata theory.
Suppose we have a probability space $(\Omega, \mathcal{F}, \mu)$, where $\Omega$ is a set, $\mathcal{F}$ is a $\...
- 333
0
votes
1
answer
133
views
Product of sets with the Radon-Nikodym Property (RNP)
I have read that it is somewhat well-known that if two Banach spaces $X$ and $Y$ have the Radon-Nikodym Property (RNP), then their product $X\times Y$ also has the RNP.
Does the above result ...
- 1,245
11
votes
0
answers
381
views
Concerning Luzin-(N)-property
Definition: a function $f:\mathbb{R}\to \mathbb{R}$ has Luzin-(N)-Property if $f$ maps any null set to a null set.
By https://www.encyclopediaofmath.org/index.php/Luzin-N-property, it is known that ...
- 4,201
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
2
votes
1
answer
450
views
Show that the absolute value of this function is twice differentiable except on a set of Lebesgue measure $0$
Let
$f\in C^3(\mathbb R)$ with $f>0$ and $$\int f(x)\:{\rm d}x=1\tag1$$
$g:=\ln f$ and assume that $g'=\frac{f'}f$ is Lipschitz continuous (note that this implies that $f'(x)\xrightarrow{|x|\to\...
- 167
1
vote
1
answer
457
views
Taylor's theorem for a composition with $\min:\mathbb R^2\to\mathbb R$ and differentiability Lebesgue almost everywhere
Let
$f\in C^3(\mathbb R)$ with $f>0$ and $$\int f(x)\:{\rm d}x=1$$
$g:=\ln f$ (and assume $g'$ is Lipschitz continuous)
$n\in\mathbb N$, $$s(x,y):=\sum_{i=1}^n\left(g(y_i)-g(x_i)\right)$$ and $$h(...
- 167
2
votes
1
answer
437
views
If $g$ is differentiable, how can we show that $z\mapsto1\wedge e^{g(z)}$ is differentiable except on a countable set
If $g:\mathbb R\to\mathbb R$ is differentiable, how can we show that $$h(z):=\min\left(1,e^{g(z)}\right)\;\;\;\text{for }z\in\mathbb R$$ is also differentiable, except at a countable number of points, ...
- 167
2
votes
0
answers
61
views
Convergence to the probability generating function of a Poisson process
I'm working currently with a Poisson process trying to proove Renyi's Theorem, so far I want to show that
$\prod_{i=1}^{k_n}[z + (1-z)e^{-\mu(A_{n_i})}] \to e^{-(1-z)\mu(A)}$ as $\mu(A_{n_i}) \to 0$, ...
- 21
2
votes
1
answer
263
views
Schwartz space on $\bigcup_{n=1}^CR^n$
I have an application where I need to work with the following idea.
Let the space $\bigcup_{n=1}^C \mathbb{R}^n$ be associated with the metric $d$ such that for $x=(x_1,\cdots,x_n)$ and $y=(y_1,\cdots,...
- 21
5
votes
0
answers
696
views
Cadlag and adapted (usual conditions assumed) imply progressively measurable (related to Protter's Stochastic Calculus theorem 6)
Hi maybe someone on here can help me. I have been stuck on showing this fact for several months. I asked this question in the stack exchange and it has floated around for a while but to no avail.
...
- 151
1
vote
1
answer
632
views
Does sequence almost sure convergence imply almost sure convergence?
This is a cross-post of this and this questions from math.stackexchange.com since I have not received any response there. I would like to seek help here.
Suppose $x(t,\omega): [0,T]\times\Omega\...
- 2,239
2
votes
1
answer
250
views
Absolute continuity of infinite product of probability measures
Let $(A_i,\mathcal{B}_i,\mu_i)$ for $i=1,2,\ldots$ be a sequence of probability spaces. Let $\nu_i$ be another sequence of probability measures on the same underlying measurable spaces. Assume that $\...
- 404
1
vote
0
answers
94
views
Measure of the boundary of the support of a certain function defined by an expectation
Suppose:
$\mathcal{S} = \{ S \in \mathbb{R}^d \ | \ S_i > 0, \forall i = 1,...,d \} $
$R$ is a random vector (on some probability space, $\Omega$) such that, $R: \Omega \to \mathcal{S}$.
$h : ...
- 111
7
votes
0
answers
549
views
Counter-example to the completeness of the Wasserstein metric
$\newcommand{\P}{\mathcal{P}}$
Let $(E,d)$ be a complete metric space, let $\P(E)$ be the set of all probability measures on $(E,\mathcal{B}(E))$. Let $W_d$ be the $1$-Wasserstein (Kantorovich) ...
- 931
2
votes
1
answer
251
views
Automorphism on the unit interval compatible with a measure preserving set function
Cross-posting from math stack-exchange since it's not getting any visibility there.
I am given a function $F: \{[0, y]: y \in I\} \to \Sigma(I)$, such that $\lambda(F([0, y])) = y$, and $F([0, y]) \...
- 4,466
3
votes
1
answer
940
views
What is the mathematical characterization of sufficient statistics of a given $\sigma$-dominated probability model?
Given a probability model $\mathcal{P}=\{P_{\theta},\theta \in \Theta \}$ dominated by a $\sigma$-finite measure $\lambda$ (e.g. Lebesgue measure) on a locally compact space $\cal{X}$ along with $\...
- 8,071
4
votes
0
answers
95
views
Approximating martingales given marginal distributions
Let $(\mu_0,\mu_1)$ be a vector of probability measures on $\mathbb R$ that are of finite first moment, i.e.
$$\int_{\mathbb{R}}|x|\mu_i(dx)~<~+\infty \mbox{ for } i=0,1$$
and increasing in ...
- 1,835