2
votes
1answer
63 views

Why the space of probability measures is a subset of the measure space

Consider $\mathcal M (X)$ the measure space of a metric, compact space $X$ allowed of the weak-* topology induced by the semi-norms $\mu \in \mathcal M (X) \mapsto |\int_X f ~d\mu| \in \mathbb R ...
1
vote
0answers
21 views

Spectral Representation for a real valued process

So I just finished reading a section in a book which discusses how every stationary stochastic process $\xi(t)$ can be expressed as $\xi(t)=\int_{\mathbb{R}}e^{it\lambda}\,dZ(\lambda)$ where ...
6
votes
1answer
144 views

Looking for different proofs of “Discrete Liouville's Theorem”.

Good day. There is a question I have already encountered twice, in very different contexts, that is relatively simple looking, but both solutions I know involve some pretty advanced theorems from the ...
2
votes
1answer
54 views

Solving $ \inf \left\{ F[\nu] : \nu \in L^2 , \nu \geq 0, \int _0 ^1 \nu=1\right\}$

Let $\phi \in \mathcal ( [0,1]^2)$ symetric , can we find a solution to the following minimisation problem? $$ \inf \left\{ F[\nu] : \nu \in L^2 , \nu \geq 0, \int _0 ^1 \nu=1\right\}$$ with $$ ...
1
vote
1answer
29 views

DKW-style $\ell_{\infty}$ bounds for sum of i.i.d. random functions: $\to [0,1]$

Let $\mathbf{G}$ be the set of (edit: convex) functions $g: X \to [0,1]$, where $X$ is a compact subset of $\mathbb{R}^d$ or something like that. Suppose I have a distribution $D$ on $\mathbf{G}$. ...
2
votes
0answers
39 views

Representation of Stochastic Integrals as Lebesgue/Bochner Integrals

Just as the Riemann–Stieltjes integral can be equivalently defined as a Lebesgue integral with the corresponding Lebesgue–Stieltjes measure, I am looking for the corresponding results for the ...
4
votes
1answer
122 views

Convegence of regularized sequence in $L^2$

Let $(\rho_n)_{n \geq 0}$ be a standard regularizing sequence on $\mathbb R$. Let $P$ be a probability measure on $\mathbb R$ such that the sequence $(P*\rho_n)_{n \geq 0}$ is bounded in $L^2$. Then, ...
0
votes
1answer
17 views

Probability space problem

Given:$( \Omega ,F,\mu)$- probability space. $f:\Omega\rightarrow X'. X$-is a Banach space, such that the mapping $\Omega\ni\omega\mapsto\langle x, f(\omega)\rangle\in L^1(\Omega,\mu)$ for all $\ ...
1
vote
0answers
19 views

PDE-Based Triangle Inequality for Optimal Transportation

Suppose $\Omega$ is a suitably regular domain in $\mathbb{R}^n$ and $\rho_0,\rho_1\in\textrm{Prob}(\Omega)$. Benamou and Brenier showed that the $L_2$ transportation distance between $\rho_0$ and ...
2
votes
1answer
56 views

Weak convergence: equivalence of definitions

Consider a sequence of random variables $(X_n)_{n\geq 0}$ and a random variable $X$. How to prove that the two following definitions of weak convergence are equivalent? Def 1 $(X_n)_{n\geq 0} ...
0
votes
1answer
66 views

Wiener measure integration

Let $\mu_{x,y;t}$ be the Wiener measure generated by $\exp[t \Delta](x,y)$. Now I see in my book the following step: $\int dx\int d\mu_{x,x;t}(\omega) \phi(x) = \int dx\int d\mu_{x,x;t}(\omega) ...
1
vote
0answers
19 views

When are the marginals of an extremal invariant measure also extremal invariant?

Let's suppose that $X$ is a compact metric space, and thus as is $X \times X$. If given a Markov process on $X \times X$ with marginals that are Markov processes on $X$, then we know that the ...
0
votes
0answers
51 views

Is the martingale propertey preserved by taking weak$^*$-limits?

Let $(\Omega,\mathcal F)$ be a measurable space, $X:\Omega\rightarrow\mathbb R^d$ a $\mathcal F$-measurable map. Let $(\mathcal F_k)_{k\in\mathbb N}$ be a filtration of $\mathcal F$ such that ...
0
votes
1answer
61 views

Signed finite Radon measures with vague topology

If $X$ is a locally compact and $\sigma$-compact metric space. Let $M(X)$ be the space of signed finite Radon measures on $X$. (1) Show that measures with finite support is dense is $M(X)$ in the ...
1
vote
1answer
58 views

Weak*-convergence of probability measures

Let $(\Omega,\mathcal F)$ be a measurable space and $X:\Omega\rightarrow\mathbb R^d$ a $\mathcal F$-measurable, bounded map. Let $(\mathbb Q_n)_{n\in\mathbb N}$ be a sequence of probability measures ...
0
votes
1answer
22 views

Density transformation, distribution function

Suppose $X$ is a real-valued random variable with density $p_X$, so $$P(X\leq x) = \int_{-\infty}^x \, p_X(y) \, dy.$$ What conditions on a function $f$ are needed (typically?) to find the density ...
1
vote
0answers
9 views

invariant measures for the independently coupled Feller process

If I take countably many Markov processes and couple them independently, how does the collection of invariant measures for the coupled process relate to those of the marginals? I conjecture that it ...
1
vote
0answers
52 views

Expectation of $p$-norm under a Gaussian on the Hilbert space $L^2(S^1)$

Let $\mu$ be a centered Gaussian measure with (nondegenerate) covariance $Q$ on the Hilbert space $L^2(S^1;\mathbb R)$ where $S^1$ is the circle. We can take for example the covariance ...
1
vote
0answers
29 views

The infinitessimal generator of Brownian Motion

Background: I know, and can almost prove, that the infinitessimal generator of BM is the Laplacian/2. For me (and I have never heard it done differently) we have Feller Processes, of which BM is one ...
0
votes
0answers
23 views

Reflected borel sets are worse traps for Brownian paths.

This is for a research project. I am trying to prove that given a borel set, it's reflected version will have a lower Wiener measure of brownian paths intersecting it. In this paper they elaborate ...
2
votes
1answer
50 views

Skorohod convergence (space of right continuous functions with left limit)

If $f_n$ is a sequence of functions of the Skorohod Space $D([0,\infty),E)$, where $E$ is a separable Banach space, such that $f_n \to f$ in the Skorohod topology. Is it possible that there exists a ...
0
votes
1answer
58 views

Need a proof for an assumption on conditional probability density function based on probability theory

While reading book "Elements of Information Theory", I came across an assumption used in a proof on page 33. The assumption is as follows. Let $(X,Y)\sim p(x,y)=p(x)p(y|x)$. "If $p(y|x)$ is fixed, ...
1
vote
0answers
16 views

$L_1$ mean ergodic theorem for the action of compact group

Let $X$ be a Polish space with Borel probability measure $\mu$. A compact group $G$ acts on X continuously. It is right that for any $f\in C_b(X)$ exists a sequence $(g_k \in G)_{k\in \mathbb{N}}$ ...
2
votes
0answers
73 views

How to define a probability distribution over a function space?

What is the mathematically rigorous way of defining a probability distribution over some function space e.g. $L^1[0,1]$? Edit: After reading about the basics of measure theory, I realized that the ...
0
votes
0answers
30 views

Average over all positive functions on the unit interval whose Lebesgue integral is one

I want to average over all positive functions on the unit interval whose Lebesgue integral is one. Formally, I want to compute the mean of the following probability distribution defined over function ...
0
votes
0answers
29 views

Are there “necessary” conditions for a solution to the multivariate, truncated Hausdorff moment problem?

I am looking for NECESSARY conditions for a solution to the multivariate, truncated Hausdorff moment problem (i.e., conditions under which a given finite sequence of numbers is the sequence of first ...
1
vote
0answers
18 views

Continuity of covariance kernels

Let $I$ be a locally compact Hausdorff (LCH) topological space. Let $c : I \times I \to \mathbb R$ be a covariance kernel, that is, a symmetric, nonnegative-definite function. Does it follow that $c$ ...
1
vote
1answer
52 views

Continuity of integral w.r.t. Lebesgue measure

Let $f:\Bbb R^n\times \Bbb R^m\to \Bbb R$ be a bounded measurable function, and $\mu$ be a probability measure on $\Bbb R^m$ which is absolutely continuous w.r.t. Lebesgue measure $\lambda$, e.g. $m ...
3
votes
1answer
40 views

Pointwise Ergodic Theorem - one particular estimate

I am struggling with an estimate in a proof of the pointwise ergodic theorem discussed in T. Ward and M. Einsiedler: Ergodic Theory with a view towards Number Theory, which is left as an exercise. I ...
3
votes
0answers
45 views

Is it reasonable to think of the expectation of an infinite-dimensional vector?

Given a probability space $(\Omega, \mathcal{F}, P)$, a random vector is an $\mathcal{F}$-measurable mapping $X: \Omega \rightarrow \mathbb{R}^{k}: X(\omega) = (X_{1}(\omega), ...
1
vote
1answer
48 views

supremum norm and convergence.

Suppose $f:[0,\infty) \rightarrow \mathbb{R}$ is continuous. Suppose that for some $\epsilon$ > 0, $\max_{t \in [0,n]} |f(t)|$ < $\epsilon$ for all $n \in \mathbb{N}$. Is it then true that ...
2
votes
2answers
103 views

Measurability of a total variation metric

Let $X$ be a standard Borel space and let us denote by $\mathcal P(X)$ the space of Borel probability measures on $X$ endowed with the topology of weak convergence. Define $d:\mathcal P(X)\times ...
8
votes
1answer
144 views

Maximum of measures over sets and functions

Let $(X,\mathcal A)$ be any measurable space and denote by $\mathrm b\mathcal A_1$ the set of all real-valued $\mathcal A$-measurable functions $f$ satisfying $\|f\|:=\sup_{x\in X}|f(x)|\leq 1$. Let ...
0
votes
1answer
49 views

A concrete example of a non-pure-point measure

I am considering $P(\mathbb{R})$ the space of probability measures on the real line. We can regard this as within the space of continuous linear functionals on the space of continuous functions ...
2
votes
0answers
53 views

Generalizing the ptwise or $L^1$ ergodic theorem

I was able to write a proof based on the hardy-littlewood maximal function of the following statement: Let $(X, \Sigma, \mu)$ be a $\sigma$-finite measure space, and $d=n \geq 1$ be fixed. Let ...
0
votes
0answers
68 views

Exchangability of inner product and integral in bochner spaces

For the linear operator $e \in \mathcal{L}(V,V^{*})$, and sufficiently small $\delta s \in V := L^2(0,T,L^2(D))$ and $p \in V$ we have; $$ E[\langle e^{*}p, \delta s \rangle_{V}] = \langle E[e^{*} p ] ...
3
votes
1answer
69 views

How to prove that $P^n(x,\cdot)\stackrel{w}{\rightarrow} \pi$ for all $x$, implies the equicontinuity of $\{P^n f\}_n$ on compact sets?

Let $X$ be a separable and locally compact metric space and let $P\colon X\times \mathcal{B}(X) \rightarrow \mathbb{R}$ be the transition probabability kernel of a homogeneus Markov chain on $X$. ...
0
votes
0answers
56 views

Exercise 3.2.5 Durrett

"Suppose $g, h$ are continuous with $g(x)>0$ and $|h(x)/g(x)|\rightarrow 0$ as $|x| \rightarrow \infty$. If $F_n =>F$ and $\int g(x) dF_n\leq C< \infty$ then $\int h(x)dF_n(x)\rightarrow ...
3
votes
1answer
60 views

Hilbert space - probability measure: st. norm. variables

I am considering the following homework. Let $\Omega=\ell_2$ be the Hilbert space of square summable sequences, $\mathcal A$ the Borel $\sigma$-algebra and $\{e_n: n\mbox{ natural}\}$ the natural ...
4
votes
1answer
44 views

continuity of a map on $M(\mathbb{R}^n)$

Let $M:=M(\mathbb{R}^n)$ be the space of probability measures on $\mathbb{R}^n$ with respect to the Borel $\sigma$-algebra. Let $K\subset M$ be a compact convex subset. $K$ carries a natural ...
6
votes
3answers
270 views

What is the relation between weak convergence of measures and weak convergence from functional analysis

To keep things simple, we assume $X$ to be a polish space (think of $X$ as $\mathbb{R}^n$ for example). Let's denote with $P(X)$ the space of all Borel probability measure on $X$. We say ...
2
votes
1answer
144 views

Has a probability density function a weak derivative

Assume I have a probability density function $\rho$ on $R$. (e.g $\rho \geq 0$ $\int \rho dx =1 $ $\rho \in L^1(R)$ ...). So $\rho$ is the density wrt the lebesgue measure. Now I try to understand if ...
5
votes
1answer
98 views

$P(X)$ is locally compact if $X$ is?

Let us assume, as in here Measurable structure on the space of probability measures that $X$ is a locally compact Polish space. Then can the same thing be said of $P(X)$, its probability measures ...
4
votes
1answer
98 views

Measurable structure on the space of probability measures

My advisor only half-jokingly mentioned that sometimes people like to consider the measurable structure on $P(X)$ where X is a locally compact polish space and $P(.)$ denotes the probability measures ...
4
votes
1answer
106 views

Kolmogorov continuity theorem for Banach space valued random processes

I am interested in the Kolmogorov continuity theorem. I would like to know if this theorem holds for Banach space valued random processes (probably separable Banach space). I cannot find a paper or a ...
2
votes
1answer
259 views

Measurability of supremum over measurable set

Consider a finite-valued function $f : \mathbb{R}^n \rightarrow \mathbb{R}$; and a closed-valued, measurable, set-valued mapping $S: \mathbb{R}^m \rightrightarrows \mathbb{R}^n$ . Measurability is ...
3
votes
0answers
153 views

What are some characterizations of the strong and total variation topologies on measures?

The Wikipedia article on convergence of measures defines three kinds of convergence: total variation, strong, and weak. For weak convergence, a number of equivalent formulations are given, but not for ...
2
votes
1answer
188 views

Prokhorov's theorem for finite signed measures?

Prokhorov theorem provides a useful characterization of relatively compact sets w.r.t. narrow topology (topology induced by narrow convergence) in the space of probability measure. Notation used ...
3
votes
0answers
90 views

Mathematics Courses for an Economist

I am an Economist and I am interested in further developing my mathematical knowledge and skills. I would like to get your opinions on the topics that I should cover and which are also important for ...
2
votes
0answers
78 views

Learn about reproducing kernel Hilbert spaces?

Why are reproducing kernel Hilbert spaces an important topic to learn? What is possibly achievable with that theory that is not reachable with just standard Hilbert space theory?