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Reference request: "doubly empirical" measure associated to a random measure

I am considering the following type of situation. Suppose we have a random probability measure, by which I mean a probability measure on a space of probability measures atop some Polish space $X$. In ...
pseudocydonia's user avatar
2 votes
1 answer
133 views

Can convergence in distribution necessarily be realised by almost-sure convergence?

Let $X$ be a Polish space. Let $(\mu_n)_{n \in \mathbb{N} \cup \{\infty\}}$ be a family of Borel probability measures $\mu_n$ on $X$ such that $\mu_n \to \mu_\infty$ weakly as $n \to \infty$. For each ...
Julian Newman's user avatar
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161 views

Markov process with time varying transition kernels

I cross post this question from StackExchange as it may be more appropriate. I am interested in studying the evolution of a variable $\alpha_t\in [0,1]$ governed by the following stochastic dynamical ...
Francesco Bilotta's user avatar
1 vote
1 answer
96 views

Asymptotic behavior of a Markov process on the set of $\{0,1\}$-polynomials

This question is cross-posted from https://math.stackexchange.com/questions/4711799/asymptotic-behavior-of-a-markov-process-on-the-set-of-0-1-polynomials I am trying to study the asymptotic behavior ...
Francesco Bilotta's user avatar
1 vote
0 answers
191 views

Characterization of Poisson random measure in terms of Laplace transform

Let $(E,\mathcal E)$ be a measurable space and $\mu$ be a measure on $(E,\mathcal E)$. A random measure $\pi$ on $(E,\mathcal E)$ is called Poisson with intensity $\mu$ if $\pi(B)\sim\operatorname{...
0xbadf00d's user avatar
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1 vote
1 answer
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. ...
Learning math's user avatar
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0 answers
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 ...
5th decile's user avatar
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1 vote
0 answers
162 views

Does the law of a Feller process depend continuously on the initial condition?

Let $E$ be a locally compact and separable metric space, and suppose $X$ is a Feller process with transition function $P_t$. To be precise, let $C_0$ denote the space of continuous functions vanishing ...
Potato's user avatar
  • 11
1 vote
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192 views

References about distances between singular probability measures

I would be interested in references on the topic of distances between probability measures that are singular with one another and not reduced to trivial ones. For example from here we know that total ...
The Bridge's user avatar
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5 votes
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492 views

Coupling of non-probability/sub-probability measures

A coupling of two probability measures $P,\tilde P$ on a Borel space $X$ is any probability measure on $X^2$ whose one-dimensional marginals are $P$ and $\tilde P$. In particular, for any such ...
SBF's user avatar
  • 1,655
1 vote
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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 ...
Janak's user avatar
  • 213