All Questions
Tagged with reference-request measure-theory
285 questions
1
vote
1
answer
137
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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
2
votes
0
answers
165
views
Dimension of Cartesian products
Is there a notion of dimension such that for all Borel sets $A,B\subseteq\mathbb{R}^{n}$ we have
$$ \dim(A\times B)=\dim(A)+\dim(B)?$$ For topological, Minkowski, packing and Hausdorff dimension this ...
- 13.4k
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
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0
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320
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Showing that the procedure to generate an algebra does not generate a $\sigma$-algebra
A while ago I asked this question on mathstackexchange:
Let $\mathscr{C}\subset \mathscr{P}(\Omega)$ be a class of subsets of a nonempty set $\Omega$ containing $\Omega$ and $\varnothing$. Define $\...
- 12.9k
6
votes
1
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658
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Lebesgue–Stieltjes measure construction on $\mathbb{R}^n$
"Measure Theory and Probability Theory" by Athreya and Lahiri introduces Lebesgue–Stieltjes measure construction on $\mathbb{R}^n$ in general in the following way:
Let $f:\mathbb{R}^2\...
- 12.9k
1
vote
1
answer
369
views
How to understand subharmonic functions, distributions, and measure?
Sorry if this turns out to be a silly question, but I am having difficulties in both understanding it and finding other references for it. I hope that someone can clear my concepts here on overflow.
...
- 91.8k
1
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0
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280
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On measurability of certain group actions on spaces of bounded measurable functions
Let $\mathcal{H}$ be a separable Hilbert space equipped with a strongly continuous unitary representation of a locally compact group $G$. Denote by $\mathcal{L}^{\infty}(H)$ the space of the bounded ...
- 505
4
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1
answer
900
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Hausdorff dimension and surface measure
Could someone please indicate me some reference that contains the proof of the following theorem?
Below $\mathcal{H}^n$ denotes the $n$-dimensional Hausdorff outer measure in $\mathbb{R}^n$.
Theorem: ...
- 2,247
3
votes
0
answers
104
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Regular Lagrangian flows on a domain of $\mathbb{R}^d$ with a boundary
I'm looking for some references about the theory of regular Lagrangian flows on a smooth domain $\Omega$ of $\mathbb{R}^d$ (say a smooth bounded open set of $\mathbb{R}^d$ or a half space).
Here, ...
- 161
3
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0
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774
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Simple proof of the Lebesgue density theorem in $\Bbb{R}^n$
[I posted this on MSE a while ago, but no answer was forthcoming.]
I am looking for a simple proof of the Lebesgue density theorem for $\Bbb{R}^n$. The Wikipedia page on the Lebesgue differentation ...
- 1,832
8
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2
answers
297
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Averaging the mass of a Sobolev function $f\in W^{1,p}(\Omega)$ near $\partial\Omega$
Recently, I asked a somewhat related question here. In the comment section, I found the formula
$$
\lim_{r\to 0}\frac{1}{r}\int_{\Omega_r} f(x)\,dx = \int_{\partial \Omega}f(\sigma)\,d\mathcal{H}^{n-1}...
- 39k
2
votes
2
answers
452
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Reference for the divergence theorem for embedded $C^1$-submanifolds of $\mathbb R^d$ with boundary
I'm aware of Gauss's theorem (aka the divergence theorem) for compact subsets $K$ of $\mathbb R^d$ with "$C^1$-boundary"$^1$.
I know that there are several generalizations of this theorem, ...
- 111
0
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2
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167
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Equidistributed sequence wrt exponential/Gaussian measure
For an arbitrary probability space $(X,\mu)$, a sequence $(x_n)$ in $X$ is said to be equidistributed with respect to $\mu$ if the measures $\frac 1 n \sum_{1\le k\le n} \delta_{x_k}$ converges weakly ...
- 34.7k
0
votes
1
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86
views
Kolmogorov entropy of a subset of $L^1$
How can we estimate the Kolmogorov $\epsilon$-entropy
$$H_\epsilon (A,L^1(\mathbb R))$$
where
$
A = \{f:\mathbb R \to [0,K] \text{ s.t. $f \in L^1$ and has total variation $TV(f) \le M$}\}
$?
- 128k
5
votes
1
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434
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Integration theory for functions and values with values in topological rings
I am curious whether somebody ever tried to generalize the classical theory of Lebesgue integral to functions and measures with values in Hausdorff topological rings.
The generalization of a measure ...
- 2,472
8
votes
4
answers
775
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Self-contained formalization of random variables?
I have not been able to find any formalization of random variables that supports construction of new random variables dependent on previously constructed ones. In what I have found, a random variable $...
- 17.2k
1
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1
answer
164
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Is this (somewhat specific) moment problem treated somewhere?
Suppose I have a measure $\mu$ over $\mathbb R_+$ given by its moments $\mu_0,...,\mu_n$, defined as :
$$\mu_k = \int x^{k} \partial\mu(x),\; k \in 1,...,n$$
Using Faà di Bruno's formula, I can ...
- 128k
1
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1
answer
387
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$L^p$ compactness for a sequence of functions from compactness of product with cut-off
Fix $p \in [1,\infty)$. Let $f_n:[a,b] \to \mathbb R$, $n \in \mathbb N$, be a sequence of $C^1$ functions. For every fixed $m\in \mathbb N^*$, suppose that the sequence of functions $$\{f_{n}\psi_m(...
- 6,035
1
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1
answer
426
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$L^p$ compactness for a sequence of functions from compactness of cut-off
Fix $p \in [1,\infty)$. Let $f_n:[a,b] \to \mathbb R$, $n \in \mathbb N$, be a sequence of $C^1$ functions. For every fixed $m\in \mathbb N^*$, suppose that the sequence of functions $$\{f_{n}\psi_m(...
- 2,670
3
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1
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385
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Reference for Function-Valued Random Variables?
Question: Are there any good references for facts about function-valued random variables? In particular for facts like the following:
Let $X$ be a topological space, $Y$ be a random variable with ...
- 1,955
4
votes
2
answers
614
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Convergence of conditional measures for a convergent sequence of probabilities whose projection is constant
Setting
Suppose $\mu_n$ is a sequence of probability measures on $[0,1]\times [0,1]$ converging to a limit probability $\mu$ meaning that
$$ \lim_{n\to+\infty}\int f(x,y)d\mu_n(x,y) = \int f(x,y)d\mu(...
- 14.2k
3
votes
2
answers
2k
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Properties of the total variation norm on space of totally finite measure (from Bogachev)
Let $(X,d)$ be a metric space, $\mathcal{B}$ the Borel $\sigma$-algebra on $X$, and $\mathcal{M}(X)$ the space of totally finite measures on $\mathcal{B}$. Let $\|\mu\|_{TV}$ be the total variation ...
- 29.8k
5
votes
2
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589
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Properties of measures that are not countably additive but have countably additive null ideals
This is a very naive question, maybe more of a reference request than anything else.
Let $(X, \mathcal X)$ be a measurable space. If $m$ is a real-valued function on $\mathcal X$, we say that $m$ has ...
- 3,768
1
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0
answers
66
views
Outer-regular product of $\tau$-additive measures
Due to the deficiencies of the simple product measure defined on measurable rectangles, there have been many different constructions of product measures in more specialized circumstances.
Originally, ...
- 3,816
5
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1
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157
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completeness of $\mathcal M(\Omega)$ without any topological assumptions?
Let $(\Omega,\Sigma)$ be a measurable space (no reference measure is chosen!), and $V$ a finite-dimensional normed vector space.
Note carefully that I am not choosing any topology on $\Omega$, so the $...
- 2,101
2
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2
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270
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Existence of measurable "inclusion" into Euclidean space
Let $(\Omega,\mathfrak{F})$ be a measurable space. When does there exist an injective measurable function $f:(\Omega,\mathfrak{F})\to (\mathbb{R}^n,B(\mathbb{R}^n))$ to some Euclidean space, here $B(\...
- 29.8k
1
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1
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88
views
Convergence of probability measures which (asymptotically) concentrate along a submanifold
Let $V : (-1, 1)^d \to \mathbf{R}_+$ be a smooth function, and for $\beta > 0$, define
\begin{align}
P_\beta ( dx ) &= \exp \left( - \beta V ( x ) \right) / z (\beta) \, dx\\
z (\beta) &= \...
- 128k
2
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0
answers
61
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Measurable extensions of probability measures
Let $X$ be a set, and let $\mathcal G \subset \mathcal F$ be $\sigma$-fields over $X$. Let $\Delta_\mathcal G$ (resp. $\Delta_\mathcal F$) be the set of probability measures on $\mathcal G$ (resp. $\...
- 869
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1
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135
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Square integrable borel probability measures on Euclidean spaces are the law of random variables from an atomless polish space
Could someone provide me with a reference or proof for the following: Let $(\Omega, \mathcal{A}, P)$ be an atomless probability space, with $\Omega$ a Polish space. Given $f$ a random vector on $(\...
- 29.8k
1
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0
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54
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Standard definition: vector-valued essential support
Let $f \in L^p(\mathbb{R}^n,\mathbb{R}^m)$. If $m=1$ then the essential support of $f$ is a mainstream definition; see here for example. However, when $m>1$ is the following definition used?
$$
\...
- 63.9k
1
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0
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117
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Reference request: harmonic analysis with non-Lebesgue reference measure
The Lebesgue measure on $\mathbb{R}^d$
admits the following polar decomposition:
$$
L(dx) = r^{d-1} dr \lambda(dy),
$$
where 𝜆 is the uniform measure on the Euclidean unit sphere of $\mathbb{R}^d$ ...
- 63.9k
10
votes
1
answer
1k
views
Dual space of continuous Banach-space-valued functions
Let $X$ be a Banach space and $K$ some compact Hausdorff space. I am interested in the dual space of the Banach space
$$C(K; X) = \lbrace f: K \to X, \ f \text{ is continuous}\rbrace, \qquad \lVert ...
- 18.7k
2
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0
answers
261
views
Reference for Borel $\sigma$-algebra of topology of convergence in probability
I'm pretty sure I can prove the "Theorem" given further below (without very much difficulty), but it seems way too basic not to have been noticed before.
So I'm wondering if there are any papers/...
- 708
23
votes
3
answers
1k
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Existence of subset with given Hausdorff dimension
Let $A\subseteq \mathbb{R}$ be Lebesgue-measurable and let $0<\alpha<1$ be its Hausdorff dimension.
For a given $0<\beta <\alpha$ can we find a subset $B\subset A$ with Hausdorff ...
- 622
0
votes
0
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145
views
“Chapman-Kolmogorov”-convolution vs. smoothness
Let $K:\mathbb{R}^n \times \mathbb{R}^n \to \mathbb{R}$ be a so-called "integral-kernel": we certainly require $K(x,.)$ and $K(.,y)$ to be Lebesgue measurable for almost all $x,y \in \mathbb{R}^n$. An ...
- 1,461
2
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1
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487
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Difference quotient for functions of bounded variation
Let $u:\mathbb{R}^N \to \mathbb{R}^N$, $u \in BV(\mathbb{R}^N)$, be a function of bounded variation.
We have that the following holds
$$(\ast) \qquad \frac{1}{|B_r(0)|}\int_{B_r(0)} \frac{|u(x+z)-...
- 28k
1
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0
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83
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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
2
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0
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200
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The collection of mean value abscissas in the Mean value theorem
The integral mean value theorem for continuous f on [0,b] and finite positive continuous measure $\mu$ we have
$$\frac{1}{\mu[a,b]}\int_{a}^{b}f(x)d\mu(x)=f(c)(*)$$
for at least one $c\in [a,b]$. We ...
CommunityBot
- 1
1
vote
1
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448
views
Law of large numbers for random Dirac measures
Suppose $\{X_1,...X_n\}:\Omega \to \mathbb{R}^p$ be i.i.d. random vectors with common probability law/measure $p$, i.e. $Prob(X_i^{-1}(E))=p(E) \forall E \subset \mathbb{R}^p $ Borel measurable.
...
- 128k
1
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0
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118
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Convergence in unbounded domains
Lemma. Let $\mu$ be a measure in $\mathcal{M}(\Omega)$ and let $(v_{n})$ be a sequence of functions in $W^{1,p}_{0}(\Omega)\cap L^{\infty}(\Omega)$ converging to a function $v$ in the weak topology of ...
- 43
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1
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189
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Visualization of the disintegration theorem [closed]
Where can I find a picture that gives a visualization of the disintegration theorem?
If such reference does not exist, what would a nice visualization of this fundamental result look like?
- 17k
1
vote
1
answer
206
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Almost identical $\sigma$-algebras and measurability
Let $(X,\mathscr X,\mathbb P)$ be a probability space, $(Y,\mathscr Y)$ a measurable space, and $h:X\times Y\to\mathbb R$ a real-valued function measurable with respect to the product $\sigma$-algebra ...
- 175
3
votes
1
answer
299
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Regularity and normal trace of "Hdiv" measures
In order to fix the ideas let me consider an open, smooth, bounded domain $\Omega\subset \mathbb R^d$.
I am wondering what can be said about a vector-valued measure $v\in \mathcal M^d(\Omega)$ with ...
- 16.4k
1
vote
1
answer
120
views
Are there well-established notions of convergence of measures that take into account differentiable structure?
All the notions of convergence of measures that I know of are either in the purely measure-theoretic category (e.g. strong convergence, total variation), or in the topological category (e.g. weak ...
- 128k
4
votes
1
answer
119
views
Antisymmetry of the stochastic order
An ordered topological space is a topological space $X$ equipped with a partial order $\leq$ which is closed as a subset of $X\times X$. By antisymmetry of $\leq$, it follows that the diagonal of $X$ ...
- 6,406
1
vote
1
answer
644
views
Most general form of Jensen's inequality
What is the most general form of Jensen's inequality?
Wikipedia gives for example this more general form, which holds in every topological vector space.
Are there even more general forms, for ...
- 128k
64
votes
19
answers
99k
views
Suggestions for a good Measure Theory book
I have taken analysis and have looked at different measures, but I am currently looking at realizing a certain problem in a different light and feel that I need a better background in various measures ...
4
votes
1
answer
189
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Intrinsic volumes of non-polyconvex, non-compact sets
I am reposting this question I asked and bountied on Math SE, which has been upvoted but not answered or commented on.
The intrinsic volumes (AKA Minkowski Functionals or, with different ...
- 2,772
5
votes
2
answers
791
views
What is this disintegration-like theorem?
This is cross-posted at MSE.
I'm looking for a reference for the following result. It seems like it must be known, or follow quickly from something known, but I have not been able to find it in any ...
- 1,769
1
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0
answers
91
views
Probability space with countable subset such that every subset of positive measure meets the subset
Let $(X, \mathcal F, P)$ be a probability space.
Question
What kind of condition is this: there exists a sequence $(a_n)_n \subseteq X$ such that
$\forall$ measurable $A \subseteq X$, $P(A) >...
- 63.9k