1
vote
0answers
92 views

Fast Convergence of marginal distribtution

Let $(q_n)$ be sequence of probability density functions of the couple $(x,y)\in \mathbb R^2$, $p_n$ is the marginal density of $q_n$, i.e. $p_n(x):=\int q_n(x,y)dy$. Another sequence of functions ...
0
votes
1answer
36 views

Is it true $({\Bbb E|X|^p})^{\frac{1}{p}} \leq ({\Bbb E|X|^q})^{\frac{1}{q}}$, if $p \leq q$?

I ran into this post which shows $(\sum |x_n|^q)^{1/q} \leq (\sum |x_n|^p)^{1/p}$, $p \leq q$. So I guess it's true $({\Bbb E|X|^p})^{\frac{1}{p}} \leq ({\Bbb E|X|^q})^{\frac{1}{q}}$, if $p \leq q$, ...
1
vote
1answer
42 views

$\mathbb L^1 +$ a.s. convergence of sequence $(X_n)$ does not imply $\sup(x_n)$ is integrable

I'm looking for a counterexample. The setting is this: Given an probability space $(\Omega,\mathbb{F},\mathbb{P}) $, I look for sequence of random variables $(X_n)_n$ and a random variable $X$, all in ...
0
votes
1answer
65 views

uniform integrability characterization

How to show the following: When a family of random variables $ \{X_n\}_{n \geq 1}$ is $L^p$ bounded for some $p > 1$ then $ \{X_n\}_{n \geq 1}$ is uniformly integrable. Also why does the above ...
1
vote
1answer
59 views

Continuity of conditional expectation in $L_p$

I'm looking at a probability space $(\Omega,\mathcal{F},P)$. Let $1\leq p<\infty$, and let $\mathcal{G}$ be a sub-$\sigma$-algebra of $\mathcal{F}$. I'm then asked to show that, for $X\in L_p(P)$, ...
1
vote
1answer
24 views

If a function is $L^p$ small, is its expectation with respect to a $\sigma$-algebra $L^p$ small?

This came up in my homework, but isn't strictly my homework. I've just gotten very curious, and I keep going in circles trying to prove it. Consider a probability measure space $(X,\Sigma,\mu)$ and ...
2
votes
1answer
107 views

How compute $\lim_{p\rightarrow 0} \|f\|_p$ in a probability space?

I not solve the follow limit $$\lim_{p\rightarrow 0} \bigg[\int_{\Omega} |f|^p d\mu \bigg]^{1/p} = \exp\bigg[ \int_{\Omega} \log|f|d\mu \bigg],$$ where $(\Omega, \mathcal{F}, \mu)$ is a probability ...
0
votes
1answer
67 views

Proving the following moment distribution function.

I am trying to prove the following relation , If $u \in L^p(\Omega)$ $\Omega \subset R^n $and $0 < p <\infty$ , the the following relation is valid , $$\|u\|_{L^p(\Omega)}^p = p\int_0^\infty ...
1
vote
2answers
105 views

Examples that are not Lebesgue integrable for any $p$

I've been trying to think up different examples of functions such that $EZ^p = \infty$ (with $Z>0$) for all $p$, but each time it becomes rather messy. Can anyone suggest some interesting but ...