All Questions
Tagged with reference-request measure-theory
285 questions
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 ...
63
votes
6
answers
12k
views
Why isn't integral defined as the area under the graph of function?
In order to define Lebesgue integral, we have to develop some measure theory. This takes some effort in the classroom, after which we need additional effort of defining Lebesgue integral (which also ...
- 1,229
29
votes
3
answers
3k
views
Is there a probability theory developed in intuitionistic logic?
Since Boole it is known that probability theory is closely related to logic.
According to the axioms of Kolmogorov, probability theory is formulated with a (normalized)
probability measure $\mbox{...
- 567
27
votes
2
answers
1k
views
Rademacher theorem
If $f:\mathbb{R}^n\to\mathbb{R}^m$ is of class $C^1$ and $\operatorname{rank} Df(x_o)=k$, then clearly $\operatorname{rank} Df\geq k$ in a neighborhood of $x_o$. It is not particularly difficult to ...
- 28k
25
votes
6
answers
6k
views
Proof of Krylov-Bogoliubov theorem
Where can I find a proof (in English) of the Krylov-Bogoliubov theorem, which states if $X$ is a compact metric space and $T\colon X \to X$ is continuous, then there is a $T$-invariant Borel ...
- 897
23
votes
3
answers
1k
views
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 ...
- 1,045
21
votes
6
answers
5k
views
Lebesgue measure theory applications
I'm looking for reasonably simple examples of applications of Lebesgue measure theory outside the measure theory setting. I give an example.
Theorem: Let $X$ be a differentiable submanifold of $\...
- 757
20
votes
1
answer
2k
views
Does every compact metric space have a canonical probability measure?
Edit: Shortly after this post it was rightly pointed out by @AntonPetrunin that the measure $\mu$ may not be unique. @R W then showed how one can construct a metric space where the limiting measure is ...
- 203
20
votes
2
answers
805
views
Nonseparable disintegration theory: references
I mean a theorem of the following kind. Let $A$ be a C*-algebra, and let $\pi: A\to B(H)$ be its representation. Then there exist a set $P$ with a positive measure $\mu$, a field of Hilbert spaces ...
- 1,152
19
votes
9
answers
6k
views
Haar measure on a quotient, References for
I remember reading Weil's "Basic Number Theory" and giving up after a while. Now I find myself thinking of it (thanks to some comments by Ben Linowitz).
Right from the very beginning, Weil ...
- 7,442
19
votes
3
answers
3k
views
Measure induced on [0, 1] by infinite tosses of biased coin
It is well-known that one can get the Lebesgue measure on [0, 1] by tossing a fair coin infinitely (countably) many times and mapping each sequence to a real number written out in binary.
I was ...
- 675
19
votes
6
answers
3k
views
Sierpinski's construction of a non-measurable set
In the early 20th century there was a lot of fuss over the axiom of choice implying that there are Lebesgue non-measurable sets of reals. In his book about The Axiom of Choice, Gregory Moore points to ...
- 39.7k
18
votes
11
answers
5k
views
Applications of measure, integration and Banach spaces to combinatorics
I'm going to be teaching a Master's level analysis course (measure theory, Lebesgue integration, Banach and Hilbert spaces, and if there's time, some spectral or PDE stuff) in the fall. My problem is ...
- 1,665
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 ...
- 5,407
17
votes
4
answers
2k
views
reference request : constructive measure theory
As the title said, I would like to know if constructive measure theory has been developed somewhere ?
I am more precisely interested in the (constructive) theory of completely continuous valuation on ...
- 42.4k
17
votes
1
answer
1k
views
The optimal constant in Vitali covering lemma
Let me restate Vitali covering lemma.
Let $\{B_i\}_{i\in F}$ be a finite collection of balls in the $\mathbb{R}^n$. Then there is $S\subset F$ such that the balls $\{B_i\}_{i\in S}$ are disjoint and
...
- 293
16
votes
2
answers
4k
views
Is there a "disjoint union" sigma algebra?
I'm looking for a measure-theoretic analogue to the disjoint union topology, or for work on the $\sigma$-algebra generated by canonical injections. More formally:
For an indexed family of sets $\{A_i\...
- 629
16
votes
5
answers
3k
views
Measure theory treatment geared toward the Riesz representation theorem
I'm looking for recommendations for books (or lecture notes) that develop measure theory in sufficient detail to state and prove the Riesz representation theorem (which is the characterization of the ...
- 21.5k
15
votes
0
answers
3k
views
Weak$^*$ convergence of measures vs. convergence of supports
Let $X$ be a compact metric space and let $\mathcal M(X)$ denote the set of probability measures on $X$. For $\mu\in\mathcal M(X)$ we write $\text{supp} \mu$ for the support of $\mu$. It is easy to ...
- 1,658
14
votes
4
answers
3k
views
Fourier decay rate of Cantor measures
For $0<\theta<\frac{1}{2}$, denote by $C_\theta$ the Cantor set with dissection ratio $\theta$, i.e. the Cantor set obtained from dissection parttern $(\theta, 1-2\theta,\theta)$. It is known ...
- 981
14
votes
1
answer
2k
views
Prokhorov's theorem in non separable metric spaces
Recently, working in some calculations I needed to use the Prokhorov's theorem
about compactness for probability measures. However, a friend warned me that
I had not the hypotesis of separability ...
- 757
13
votes
3
answers
2k
views
A characterization of $L_1(\mu)$ in $L_\infty(\mu)^*$
Let $\mu$ be a finite positive measure on a set $M$:
$$
\mu(M)<\infty.
$$
As is known, the Banach dual space $L_\infty(\mu)^*$ to the space $L_\infty(\mu)$ contains $L_1(\mu)$, but (excluding some ...
- 7,426
13
votes
1
answer
3k
views
Does this metric have an official name? Lévy metric? Ky Fan metric?
Let $X$ and $Y$ be random variables taking values in a separable metric space $(S,d)$. The metric I have in mind is
$$\rho(X,Y) = \mathbb{E}[\min\{d(X,Y),1\}]$$
if $X$ and $Y$ take values in the a ...
- 6,287
12
votes
2
answers
3k
views
Does there exist an event independent of a given sigma-algebra?
The following question came up in a discussion with my advisor:
Let $(\Omega, \mathcal F, \mathbb P)$ be a non-trivial probability space, and suppose that $\mathcal G$ is a proper sub-$\sigma$-...
- 8,512
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 ...
- 8,512
12
votes
1
answer
316
views
A reference to a theorem on the equivalence of ideals of measure zero in the Cantor cube
I am looking for a reference of the following (true) fact:
Theorem. For any two continuous strictly positive Borel probability measures $\mu,\lambda$ on the Cantor cube $2^\omega$ there exists a ...
- 41.8k
11
votes
4
answers
4k
views
When is the infimum of an arbitrary family of measurable functions also measurable?
Let $(X,\Sigma,\mu)$ be a measure space and consider a family of $\mu$-measurable functions $f_i:X \to \mathbb{R}$ for $i$ lying in some index set $I$. Define $$f(x) = \inf_{i \in I} f_i(x)$$
I think ...
- 15.5k
11
votes
4
answers
950
views
Is there a name for finite unions of intervals?
Finite unions of intervals are simple sets that are used quite often, e.g. in measure theory. (The construction of the Cantor set is a noble example). I realised that I do not have a name for them. Is ...
- 60.5k
11
votes
4
answers
2k
views
What kind of completion is this?
Let $X$ be a compact Hausdorff space, and $C(X)$ the unital commutative C*-algebra of continuous functions on it. The double Banach dual $C(X)^{**}$ is a commutative von Neumann algebra and hence has ...
- 3,937
11
votes
1
answer
500
views
Uncountable families of measurable sets with pairwise positive intersections
Let $(X,\mathcal{B},\mu)$ be an arbitrary finitely additive probability measure space, let $a>0$ and let $(A_i)_{i\in I}$ be an uncountable family of subsets with measure $\geq a$.
Is there an ...
- 10.6k
11
votes
1
answer
950
views
Uniformization/measurable selection theorems
Let $X,Y$ be measurable spaces and $F\subseteq X\times Y$. We say that $f:X\to Y$ is a uniformization map for $F$ if $(x,f(x))\in F$ for each $x\in \pi_X(F)$ where $\pi_X$ is the left projection map. ...
- 1,655
10
votes
2
answers
2k
views
A result of Sierpiński on non-atomic measures
There is a classical result commonly attributed to W. Sierpiński that reads as follows:
Theorem 1. If $f: \Sigma \to \bf R$ is a non-atomic (*) measure on a set $S$, then for every $X \in \Sigma$ ...
- 10.5k
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 ...
- 381
10
votes
2
answers
835
views
Functions that are approximately differentiable a.e
The classical definition of an approximately differentiable function is as follows:
Definition.
Let $f:E\to\mathbb{R}$ be a measurable function defined on a measurable set $E\subset\mathbb{R}^n$. ...
- 28k
10
votes
2
answers
1k
views
Continuity of the mutual information
The mutual information $I(\mathfrak A_1;\mathfrak A_2)$ of two complete $\sigma$-algebras $\mathfrak A_1$ and $\mathfrak A_2$ in a Lebesgue probability space $(X,m)$ is the integral of the logarithm ...
- 17k
10
votes
0
answers
3k
views
Quotients of Measurable Spaces?
Let $(\Omega,\Sigma)$ be a measurable space and $\Pi$ be a partition of $\Omega$. There is a projection $\pi:\Omega\to\Pi$ that maps each $\omega\in\Omega$ to the unique partition cell in $\Pi$ ...
9
votes
4
answers
4k
views
Is the space of Radon measures a Polish space or at least separable?
Background: I work on a SPDE problem where in order to apply Prokhorov's theorem I need that some measure space is Polish space. And additionaly it would be good if that space is Banach space. Earlier ...
- 657
9
votes
4
answers
1k
views
Symmetries of probability distributions
When talking about a single random variable, knowing only its distribution, the construction of a probability space is quite easy. Namely, let $(X,\mathscr A)$ be a measurable space and let $\mathsf Q$...
- 1,655
9
votes
1
answer
569
views
strong measurability question
Let $X$ be a separable Banach space and $\mathcal L$ the collection of bounded linear operators on $X$. The strong operator topology has the sub-basis $\{B_{x,y,\epsilon}\colon x,y\in X,\epsilon>0\}...
- 23.2k
9
votes
2
answers
548
views
What mode of convergence is this?
I'm interested in a new (to me) mode of convergence which is stronger than convergence in measure/probability. I want to know if it has a name and if it is used much in the literature. I will write ...
- 6,287
8
votes
2
answers
960
views
Is there a measure theory for proper classes?
This question is naive, but I didn't get an answer at MSE: Is it straightforward to extend measure theory to proper classes?
Of course when one tries to define measures on "large sets" ...
- 869
8
votes
3
answers
2k
views
Measures on general topological groups
I am interested in the group algebras of non-locally compact groups. What references can you advise?
This is a wide question, so I list more concretely what I would like to see:
Here X can be even ...
- 1,152
8
votes
4
answers
775
views
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 $...
- 2,912
8
votes
1
answer
726
views
continuity of the Boltzmann entropy in the Wasserstein metric
For Lebesgue-absolutely continuous probability measures $\rho\ll \mathcal{L}^d$ in the whole space $\mathbb{R}^d$ with finite second moments (i-e $\rho\in \mathcal{P}^2_{ac}(\mathbb{R}^d)$), let
$$
\...
- 5,380
8
votes
2
answers
567
views
Darboux property of non-atomic sigma-additive nonnegative measures equivalent to the AC?
A result commonly, and probably erroneously, attributed to W. Sierpiński is that every non-atomic, countably additive, nonnegative measure $\mu: \Sigma \to \bf R$, where $\Sigma$ is a sigma-algebra on ...
- 10.5k
8
votes
2
answers
297
views
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
$$
\lim_{r\to 0}\frac{1}{r}\int_{\Omega_r} f(x)\,dx = \int_{\partial \Omega}f(\sigma)\,d\mathcal{H}^{n-1}...
- 1,245
8
votes
1
answer
1k
views
Conditional law as a random measure and convergence of random measures
I'm looking for a reference book or article for the following two facts. In both statements, a Polish space $E$ and an ambient probability space $(\Omega, {\cal A}, \Pr)$ are given, and I consider ...
- 2,560
8
votes
0
answers
729
views
Density of countably additive measure in the set of all finitely additive measures.
Let $S$ be a countable discrete set, the following two results are quite easy to prove:
Every countably additive probability measure $\mu$ on $S$ commutes (in Fubini's sense) with every finitely ...
- 6,034
7
votes
1
answer
791
views
author of a paradoxical decomposition of the interval
I am looking for the original author and the date of publication of the following result.
Theorem
There exist subsets $E_i\subset [0,1)$, $i\in {\bf Z}$, pairwise disjoints and real numbers $a_i$ ...
- 18.7k
7
votes
2
answers
2k
views
Simple functions on a product measure space
Let $ (X,\mathcal{F},\mu) $ and $ (G,\mathcal{G},\nu) $ be two measure spaces with $ \mu $ and $ \nu $ being $ \sigma $-finite. Per definition, the linear span of
$$
\{
\mathbf{1}_{C}
~|~
C \in \...
- 1,256