All Questions
64 questions
3
votes
0
answers
130
views
A Talagrand inequality for the supremum of partial sums over function classes under dependence. (Reference request)
As a consequence to the Talagrand concentration inequality, it is well known that for a measurable space $(S,\mathcal{S})$ and an i.i.d. sample $X_1,...,X_n$ of $S$-valued random variables, if $\...
- 141
4
votes
0
answers
330
views
Book recommendation in functional analysis and probability
I am interested by functional analysis and probability. I would like to know if you have any books that deal with these two subjects (at a graduate level) to recommend?
I'm looking for a book that has ...
2
votes
0
answers
74
views
References for a class of Banach space-valued Gaussian processes
Let $E$ be a separable Banach space, consider a centered $E$-valued Gaussian process $\{x_t,t\ge 0\}$ that satisfies
\begin{equation}
\mathbb{E}\phi(x_s)\psi(x_t)=R(s,t)K(\phi,\psi),\quad \phi,\psi\in ...
- 121
0
votes
1
answer
102
views
Lower bounds for truncated moments of Gaussian measures on Hilbert space
Let $\mu_C$ be a centered Gaussian probability Borel measure on a real separable Hilbert space $\mathcal{H}$ with covariance operator $C$. Denote the ball with radius $r$ in $\mathcal{H}$ centered at ...
- 505
4
votes
1
answer
286
views
Reference request: Gaussian measures on duals of nuclear spaces
I am interested in constructive quantum field theory where Gaussian measures on duals of nuclear spaces (specifically, the space of tempered distribution $\mathcal{S}'(\mathbb{R}^n)$) play a key role. ...
- 721
4
votes
1
answer
311
views
Examples of Borel probability measures on the Schwartz function space?
Let $\mathcal{S}(\mathbb{R}^d)$ be the Frechet space of Schwartz functions on $\mathbb{R}^n$. Its dual space $\mathcal{S}'(\mathbb{R}^d)$ is the space of tempered distributions.
Minlos Theorem as ...
- 3,477
1
vote
0
answers
90
views
What do $\gamma$-radonifying operators radonify?
In the second volume of their Analysis in Banach Spaces, Hytönen et al. introduce the notion of $\gamma$-radonifying operator more or less as follow.
Let $(\gamma_j)_{j\in\mathbf N}$ be a sequence of ...
- 407
3
votes
1
answer
220
views
Conditional expectation as square-loss minimizer over continuous functions
It is well-known that the conditional expectation of a square-integrable random variable $Y$ given another (real) random variable $X$ can be obtained by minimizing the mean square loss between $Y$ and ...
- 463
1
vote
0
answers
143
views
Estimator for the conditional expectation operator with convergence rate in operator norm
Let $X$ and $Z$ be two random variables defined on the same probability space, taking values in euclidian spaces $E_X$ and $E_Z$, with distributions $\pi$ and $\nu$, respectively.
Let $L^2(\pi)$ ...
- 111
3
votes
2
answers
102
views
Reference for Wiener type measure on $C(T)$ when $T$ is open
I'm considering Gaussian process on open domain $T$ in $\mathbb{R}^n$ and I tried to follow the abstract Wiener space construction of Gross. Since my sample paths are meant to be continuous, I thought ...
- 163
-1
votes
2
answers
407
views
Conditional expectation: commuting integration and supremum
Let $X$ and $A$ be compact Polish spaces endowed with Borel $\sigma$-algebras. Let $\mathcal{A} = X\times \mathcal{B}(A)$ be the $\sigma$-algebra consisting of cylinders whose projections on $A$ are ...
- 109
2
votes
0
answers
62
views
On a real smooth version of white noise distribution theory
In white noise analysis, one starts with a real Gelfand triple $\mathcal{N}\subset \mathcal{H} \subset \mathcal{N}^{*}$ and produces out of it, using complexifications along the way, the complex ...
- 505
4
votes
2
answers
374
views
Vague convergence: confusion about the regularity of a signed Radon measure and that of its variation
I'm reading a proof of below theorem from this paper.
Theorem A.3. Let $\Omega$ be a locally compact normal Hausdorff space. Let $\left\{\mu_n\right\} \cup\{\mu\} \subset \mathcal{M}(\Omega)$ and ...
- 657
5
votes
0
answers
135
views
Criteria for tightness of Gaussian measures on Banach spaces
In Bogachev's book "Gaussian Measures" (Example 3.8.13) sufficient conditions for the (uniform) tightness of a sequence of centered Borel Gaussian probability measures on a separable Hilbert ...
- 505
4
votes
0
answers
134
views
Weighted logarithmic Sobolev inequality
$\DeclareMathOperator\Ent{Ent}$The usual logarithmic Sobolev inequality says that
$$
\Ent_\mu(f^2)\leq C\int |\nabla f|^2 d\mu
$$
where the entropy
$$
\Ent_\mu(f^2)=\int f^2 \log\left( \frac{f^2}{\int ...
- 5,380
3
votes
1
answer
466
views
Equivalence between two fractional Sobolev spaces
For $s \in (0,1)$, we consider the spectral fractional Laplacian
\begin{align}
(-\Delta)^{-s}u = \sum_{k=1}^{\infty}\lambda_k^{-s}(\phi_k,u)_{L^2}\phi_k
\end{align}
where
\begin{align*}
\begin{cases}
...
- 161
4
votes
0
answers
164
views
Convergence rates for kernel empirical risk minimization, i.e empirical risk minimization (ERM) with kernel density estimation (KDE)
Let $\Theta$ be an open subset of some $\mathbb R^m$ and let $P$ be a probability distribution on $\mathbb R^d$ with density $f$ in a Sobolev space $W_p^s(\mathbb R^d)$, i.e all derivatives of $f$ ...
- 6,853
3
votes
0
answers
158
views
$L^\infty-L^\infty$ bounds for heat semigroups constructed from the Dirichlet Laplacian
Let $D \subset \mathbb{R}^n$ be a bounded domain with Lipschitz boundary, and let $\Delta$ be the Laplace operator with the Dirichlet boundary condition on $D$. Let $e^{t\Delta}$ be the corresponding ...
- 1,407
1
vote
0
answers
116
views
A formula involving the heat kernel on the universal cover of a punctured plane
I am looking for the earliest reference to the following formula:
$$
\int_0^\infty\tilde{P}(1,e^{i\alpha},t)\frac{dt}{t}=\frac{1}{\pi \alpha^2},\quad \alpha>0,
$$
where $\tilde{P}(x,y,t)$ is the ...
- 8,992
1
vote
0
answers
177
views
A question on Gaussian small ball probability
Consider the random variable $$ G = \sum_{j=1}^{\infty} \lambda_j Z_j^2 $$
where $Z_j \sim_{\substack{i.i.d}} N(0,1)$ and $\lambda_j$ some non increasing sequence of positive numbers with $\sum_{j=1}^{...
- 119
2
votes
1
answer
171
views
Mean value formula for fractional heat equation
For the solution $u(z) = u(t,x)$ of the heat equation $u_t -\Delta u = 0$ we have
$$u(z_0) = \int_{\Omega_r(z_0)}u(z) K_r(z_0-z) dz,$$
where $$\Omega_r(z_0) = \left\{z \in \mathbb{R}^{N+1}: \Gamma(z_0-...
- 161
0
votes
1
answer
306
views
Regularity properties of conditional distributions
Let $(X,Y)\in\mathbb{R}^n\times\mathbb{R}^m$ be a pair of random variables with joint density $p(x,y)$. I am interested in the regularity properties of the conditional densities $p(y|x)$ and $p(x|y)$ (...
- 23
4
votes
0
answers
95
views
When the Jacobian of unstable measure converges
Let $T:X \to X$ be a hyperbolic map on the compact metric space $X$. Hyperbolicity means that $T$ has local stable and unstable sets with uniform exponential bounds, which satisfy a local product ...
- 1,043
1
vote
0
answers
123
views
Derivatives of measures of bounded variation on intervals
Investigating an abstract Cauchy problem on the space of measures with bounded variation I came up with the following space:
Let $\operatorname{BV}[a,b]$ the space of all functions $f:[0, 1] \to \...
- 301
3
votes
1
answer
688
views
Positive definite kernels involving the $\min$ function
I am interested in the positive kernels of the form $k(x,y) = \min\{a(x,y), b(x,y)\}$ (assuming $k(x,y) = k(y,x)$). Some examples including $\min\{x,y\}$ and $\min\{f(x)g(y), f(y)g(x)\}$, but are ...
- 41
0
votes
0
answers
44
views
Solving nonlinear equations involving expectations
Let $X$ be a random variable and $g(x,y)$ be a function of two variables. Consider the equation
$$
\mathbb{E}_Xg(X,y) = 0
$$
Are there any specialized techniques for solving such equations (...
- 11
1
vote
0
answers
56
views
Moduli of continuity and Wasserstein differentiability of functions between measures
Let $X=\mathbb{R}^n$; I am also interested in the general case $X$ is a metric space but for simplicity let's focus on Euclidean space. Let $\mathcal{P}(X)$ denote the space of Borel probability ...
- 11
1
vote
0
answers
109
views
Is this a positive definite kernel?
Under which conditions on the function :
\begin{array}{l|rcl}
K : & \mathbb R^+ & \longrightarrow & (0, 1)\\
&t & \longmapsto & K(t) \end{array}
is the symmetric ...
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 $(\...
- 935
3
votes
0
answers
188
views
Invariant subspaces of Markov operators
I am currently working on some kind of graph theoretic problem and the following question came up:
Suppose you have a Markov operator $T$ on $\ell^\infty$, that is a positive, bounded operator such ...
- 381
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
4
votes
0
answers
116
views
Log-Sobolev Inequalities for convex bodies
For a measure $\mu$ supported on a convex body $K$, what are the conditions on $\mu$ and $K$ to satisfy a Log-Sobolev inequality of the form:
$$\int f^{2} \log f^{2}\,d\mu -\int f^{2}\,d\mu \log\left(\...
- 519
0
votes
1
answer
133
views
Product of sets with the Radon-Nikodym Property (RNP)
I have read that it is somewhat well-known that if two Banach spaces $X$ and $Y$ have the Radon-Nikodym Property (RNP), then their product $X\times Y$ also has the RNP.
Does the above result ...
- 1,245
7
votes
1
answer
1k
views
Reference request: norm topology vs. probabilist's weak topology on measures
Let $(X,d)$ be a metric space and $\mathcal{M}(X)$ be the space of regular (e.g. Radon) measures on $X$. There are two standard topologies on $\mathcal{M}(X)$: The (probabilist's) weak topology and ...
- 710
8
votes
2
answers
640
views
Does a random sequence of vectors span a Hilbert space?
Let $\mathcal{H}$ be a separable Hilbert space. Let $v$ be a random variable taking values in $\mathcal{H}$ such that $P(v \perp h) < 1$ for all $h \in \mathcal{H}.$ Suppose we sample an infinite ...
- 1,429
2
votes
1
answer
145
views
Difference of two probability measures modulo a third
Given three probability measures on $N$ elements (so $\mu_0, \mu_1,\mu_2 \in \ell^1_N$), I need to define the difference of $\mu_1$ and $\mu_2$ "modulo" $\mu_0$ as
$$
\sup \bigg\{ \int f \,\mathrm{d}(...
- 4,432
1
vote
0
answers
58
views
Extension of a result about measurable, additive functionals
Let $W$ be a set, and let $v$ be a finitely additive probability measure on $2^W$.
Equip $2^W$ with the Borel sigma-algebra $\mathcal{B}$ generated by the sub-basic sets of the form $\{a: w \in a\}$ ...
- 869
2
votes
1
answer
69
views
Lyapunov-type function in a non locally-compact space and boundedness of the average
Set-up and question.
Let $\mathcal{X}$ be a complete separable metric space which is not locally-compact. Let $V: \mathcal{X} \to [0; +\infty]$ be a function and $(X_t)_{t\geq 0}$ a Markov process in $...
- 724
5
votes
1
answer
395
views
Universal decay rate of the Fisher information along the heat flow
I'm looking for a reference for the following fact: In the torus $\mathbb T^d$ let me denote by $u_t=u(t,x)$ the (unique, distributional) solution of the heat equation
$$
\partial_t u=\Delta u
$$
...
- 5,380
2
votes
2
answers
242
views
iid random operator and its spectrum
consider an insteresting question:
given Banach Space $ \mathcal{B}$, independent identical distribution random operator on $ \mathcal{B}$: $ (T_i)_{i \ge 1} $, where operator space is endowed with ...
- 553
3
votes
1
answer
159
views
Tight L2 bound on moments approximation and reference
Consider $f\in L^2(I)$, where $I$ is the unit interval and $L^2$ is w.r.t. Lebesgue measure, and consider an approximation of $f$ denoted by $\tilde{f}\in L^2$.
The error in approximated the moments ...
- 3,574
2
votes
2
answers
351
views
Weak convergence for discrete-time processes using characteristic functions
I am looking for a good reference about the analogues of the Bochner Theorem and the Lévy Continuity Theorem
for probability measures on $\mathbb{R}^{\mathbb{N}}$ with the product topology.
...
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
4
votes
0
answers
269
views
Algebras and $\sigma$-algebras associated to random variables
Let $\{v_\lambda:~\lambda\in\Lambda\}$ be a family of real-valued random variables on a (complete) probability space $(\Omega, \sigma, \mathbb{P})$. Assume the variables lie in $\bigcap_{p=1}^\infty L^...
- 1,411
2
votes
1
answer
401
views
Reference on Probability theory on functional spaces (in special Hilbert spaces)
Currently, I am working on some sort of stochastic optimization problems defined over function spaces.
I am familiar with standard probability theory (R. Durrett, ''Probability: Theory and Examples")...
2
votes
1
answer
268
views
Monotonicity of the Hellinger integral/distance
Let $p$ and $q$ be probability densities on $\mathbb R$, with respect to the Lebesgue measure $dx$. The corresponding Hellinger integral and distance are
$H(p,q):=\int_{\mathbb R}\sqrt{pq}\,dx$ and $\...
- 128k
2
votes
0
answers
69
views
How sensitive are the n-th step transition probabilities of the simple random walk to a small perturbation of an infinite graph?
Suppose that $G$ is an infinite, locally finite, connected graph.
Fix a vertex $o$ in the graph and for each $n$ and $x$ let $p(n,o,x)$ be the probability that a simple random walk (at each step a ...
- 4,304
5
votes
1
answer
386
views
Lower semi-continuity of the Hellinger-Fisher-Rao distance
I am currently working on unbalanced optimal transport, where the Hellinger (or sometimes Fisher-Rao) distance
$$
H^2(\rho,\mu)=\int_{\Omega}\left|\sqrt{\frac{d\rho}{d\lambda}}-\sqrt{\frac{d\mu}{d\...
- 5,380
6
votes
1
answer
2k
views
Kullback Leibler "variance": does that divergence have a name?
If you consider two probability distributions $p$ and $q$, one way to measure the distance between the two is the Kullback-Leibler divergence:
$$KL(p,q)=\int p \log (p/q) = E_p(\log p/q)$$
and this ...
1
vote
0
answers
417
views
Defining density of a random function using Radon-Nikodym Theorem
Let $(\Omega,\mathbb{F},P)$ be a probability space and $E$ be an infinite dimensional Banach space and $\mathbb{B}$ be the $\sigma$-algebra of Borel subset of $E$.
Let $X$ be random function defined ...
- 213