Questions related to measures, sigma-algebras, measure spaces, Lebesgue integration and the like.

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1answer
28 views

Definition of $\sigma$-algebra. Axioms.

""Def. A family $\mathcal F$ of subsets of $\Omega$ is said to be a $\sigma$-algebra on $\Omega$ if: (A.1) $\Omega\in\mathcal F$ (A.2) $\ A\in\mathcal F\implies\ A^c\in\mathcal F$ (A.3) $\ ...
-2
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0answers
17 views

a totally bounded subset of $\mathbb{L}_1(\mathbb{R}^{d})$ and Kolmogorov-Riesz compactness theorem

Let $\lambda$ be the Lebesgue measure on $\mathbb{R}^{d}$ , $\mathcal{F}$ a set of all probability densities $f$ such that $\mathcal{F}$ is a totally bounded subset of $\mathbb{L}_1(\mathbb{R}^{d})$ ...
1
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1answer
33 views

What does it mean to say the smallest σ-algebra?

I am just starting out on measure theory. What does it mean to say the smallest σ-algebra?
2
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1answer
28 views

A question about sum of n random variables

Let $X_1, \ldots, X_n$ be random variables. We know that $X_1, \ldots, X_n$ are $\sigma(X_1, \ldots, X_n)$ - measurable. But how about $X_1 + \cdots + X_n$? Is it $\sigma(X_1, \ldots, X_n)$ - ...
1
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2answers
23 views

If $f_n$ converges to $f $ in $p$-norm, then $f_n$ converges to $f$ in measure.

I want to prove that if $f_n$ converges to $f $ in $p$-norm, then $f_n$ converges to $f$ in measure. This is the proof: Suppose not. Then there exist $\epsilon>0,\delta> 0$ such that $μ \{x: ...
2
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2answers
48 views

What is a non-decreasing sequence of sets?

What is a non-decreasing sequence of sets and how come it can have a limit? It appear in a probability theory book
0
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1answer
35 views

Show that $g=\sum_{n=1}^{\infty } |f _{n+1 }-f _n | $ has $||g ||_p\le 1 $ if $||f _{n+1 }-f _n ||_p <2 ^{-n } $

Minkowskis inequality implies that $g _k=\sum_{n=1}^{k} |f _{n+1 }-f _n | $ has norm less than $1 $, and there is a hint to use Fatou's lemma to $g _k ^p$. Then $\int \lim \inf g _k ^p \le \lim \inf ...
0
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1answer
26 views

Showing convergence of a series almost everywhere

If $\sum_{k=1}^\infty a_k$ is convergent series of positive terms and $(\alpha_k)_{k\in \Bbb N}$ is a sequence of real numbers, then the series $$\sum_{k=1}^\infty\frac{a_k}{\sqrt{|x-\alpha_k|}}$$ ...
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2answers
28 views

Show $\sup_{y>0}\left|\int_0^\infty \int_t^\infty f(x,y) \cos\left(\dfrac{t}{y}\right)dx\,\,dt\right|<\infty$

Suppose $f$ is Lebesgue measurable on $[0,\infty)\times [0,\infty)$ and $g\in L^1([0,\infty))$. If $|xf(x,y)|\leq g(x)$ for all $y\in [0,\infty)$ prove that $$\sup_{y>0}\left|\int_0^\infty ...
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0answers
33 views

How do I see that $|f_n -f|^p = \lim_{n \rightarrow \infty} \inf |f_n - f_{n_k}|$? [on hold]

Let $(X, \mathcal E, \mu)$ be a measure space, $p \in [1, \infty]$ and $f, f_n \in \mathcal M(\mathcal E)$ Suppose $(f_n)$ is Cauchy in $\mu$-p-mean and $f_{n_k} \rightarrow f$ converge ...
0
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0answers
18 views

Problem with the definition of semi-ring and $\sigma$-sets

I have a problem with a statement I found concerning the definition of semi-ring and that of $\sigma$-set. So, here there is. Assume the definition of a semi-ring $\mathcal{S}$ over a non-empty set ...
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0answers
11 views

How to calculate convolution of function defining a measure

Given the function $F(t)=2-2e^{-t}$ defining a measure on $(\mathbb{R}_+,\mathfrak{B}(\mathbb{R}_+))$ and I want to calculate the convolution of this function with itself. I tried to do that by using ...
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0answers
13 views

Probability measure of rank-$r$ matrices

I have a question about the distribution of matrices with a specific rank. Consider $\mathcal{M}^{n\times m}$ the set of all $n \times m$ matrices with entries in some field $\mathbb{K}$. If I define ...
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2answers
38 views

Minkowski's Inequality in $L^\infty$ space

How can one show the inequality that $\|f+g\|_\infty ≤ \|f\|_\infty + \|g\|_\infty$? Can we use same real number $a$ for both $f$ and $g$ ? i.e, $$\|f\|_\infty = \text{ess} ...
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0answers
14 views

Cinlar Ex. 1.15: Trace space of a measurable space.

In constructing the trace space on a subset of a measurable space, it seems one has to assume that the subset is an element of the original measure space's sigma algebra, i.e., measurable in the ...
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2answers
65 views

Continuous functions of minimal norm

Let $C$ denote the set of continuos functions on $[0,1]$ with the supremum norm. $M\subset C$ such that $$\displaystyle\int_{0}^{1/2}f(t)\, dt-\int_{1/2}^{1}f(t)\, dt=1,\; \forall f\in M$$ Show ...
1
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1answer
16 views

Locally compact metric space, Urysohn, approximation

Let $E$ be a locally compact separable metric space, $\mathcal{B}(E)$ be the $\sigma$-algebra of $E$ and $m$ be a $\sigma$-finite borel measure on $(E,\mathcal{B}(E))$. Assumtion There exists a ...
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0answers
33 views

Hahn-Banach proof of existence of Haar measure

I'm reading these notes of Terry Tao on the Haar measure (and related topics) on a locally compact Hausdorff group $G$. When he goes through the construction of the Haar measure, he does so by way of ...
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2answers
34 views

prove that $F$ is $\mu\times\mathcal{L}$ measurable where $F(n,x)=\frac{(2n+1)^2\sin((2n+1)x)}{(n(n+1))^2}$

Let $\mu$ be the counting measure on $\mathbb{N}$ and $\mathcal{L}$ be the Lebesgue measure on $[0,\pi]$. Define the function $F$ on $\mathbb{N}\times\mathcal{L}$ by ...
6
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3answers
37 views

Borel measurable functions $f:[0,1]\to[0,\infty)$ which cannot be expressed as pointwise limit of nondecreasing sequence of step functions

An interval in this problem may be open, closed or half open. We regard a singleton $\{a\}$ as being an interval also. A step function is a real valued function on $\mathbb{R}$ which is a linear ...
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2answers
24 views

Looking for proof of theorem on complex measurable functions

In University I have been given the following result: If $f:X\to\mathbb{C}$ is a measurable function in $L^1(X,\mathcal{E},\mu)$ with $\mu$ being finite, and there exists a closed set ...
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2answers
58 views

Prove that a intergral over $\mathbb R$ is finite

Let $K\in \mathcal L_1(\mathbb R)$ and $f$ be measurable and bounded on $\mathbb R$ such that $\lim_{|x|\to \infty} f(x)=0$. Define $$F(x):= \int _{\mathbb R} K(x-s)f(s)\;ds \qquad (x\in \mathbb R)$$ ...
0
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1answer
24 views

Dimension of rectifiable curve

Suppose $\Gamma$ is a rectifiable curve (means a curve with finite length), I want to prove that the Hausdorff measure of the intersection of it with closed subset $A\subset \mathbb{R}$ is 0, i.e ...
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0answers
53 views

Every projection of the square of the middle thirds Cantor set contains an interval

Let $C_\lambda$ the cantor set which is defined by the IFS $\{\lambda x,\lambda x+(1-\lambda)\}$ and also let $E=C_\lambda\times C_\lambda$.Suppose $\lambda =\frac 1 3$, we get the standard ...
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0answers
34 views

Approximation of Conditional Expectation with Respect to “Y” Using Simple Approximation of “Y”

Background. (TL:DR you can skip to Question. below.) This is a followup question to one of my previous questions (linked here) on this website. In short, the other question was about how to express ...
2
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1answer
19 views

$L_1$ convergence of $\frac{1}{\sqrt{x}}\sin{\left(\frac{1}{nx}\right)}$

Does the sequence $f_n=\frac{1}{\sqrt{x}}\sin{\left(\frac{1}{nx}\right)}$ on $(0,1)$ converge in $L_1$? It converges to zero pointwise and I think it converges in $L_1$ as well since ...
0
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1answer
25 views

The smallest filtration for which a sequence of random variables is adapted

Let $X_1, ..., X_n$ be a sequence of random variables. Show that $\hspace{60pt}$ $\mathcal{F}_n$ = $\sigma(X_1, ..., X_n)$ is the smallest filtration such that the sequence $X_1, ..., X_n$ is ...
1
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1answer
15 views

A relation between the inner and outer jordan measures

I'm studying measure theory and I was thinking about the following question: Is it true that whenever $A\subset B\subset \mathbb{R}^n$ are bounded, $$m^*(B-A)=m^*(B)-m_*(A)?$$ I have easily ...
0
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1answer
17 views

Infinite products of scaled indicator variables: almost sure convergence vs. uniform convergence of the sample mean

Let $\frac{X_i}{2}\sim Ber(0.5) \implies E[X_i]=1$, and let $Y_n=\prod\limits_{i=1}^n X_i$. Since the $X_i$ are iid, $E[Y_n]=1,\;\forall n<\infty$. However, something weird appears to be happening ...
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0answers
13 views

Automophism of G and Haar measure

Let $G$ be a locally compact group (written additively), $\lambda$ an automophism of $G$, and $\alpha$ a Haar measure in $G$. As the Haar measure is unique up to factor constant, $\lambda$ transform ...
1
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1answer
35 views

Measurable set limit

If $\forall n \in ℕ$ , $ f_n: (X,M) \rightarrow (\overline{\mathbb{R}},B) $ are measurable. (where X is any space, M is a sigma algebra, B is Borel sigma algebra) Prove that the set $A = \{x\in X: ...
2
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1answer
26 views

How to show that the function $g(x)=x|\sin(x^{-1/2})|$ is absolutely continuous?

I am having trouble showing the on $[0,1]$, $g(x):=x\mid\sin(x^{-1/2})\ \mid$ when $x>0$ and $0$ is $x=0$ is absolutely continuous. I was instructed to try: $\ m(A) < \delta \Rightarrow ...
2
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5answers
113 views

Is there a proof that $\int \frac {dx}{x}=\ln |x|+c$?

Is there a proof that $$\int \frac {dx}{x}= \ln|x|+c$$ for $x\neq 0$ I would be interest for any replies or any comment.
3
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1answer
30 views

Relation between the modulus of integrability and $L^p$ spaces

Let $(X,\mu)$ be a measure space with $\mu(X)<\infty$. Given an integrable function $f$ on $X$, we can quantify its integrability in multiple ways. One is the modulus of integrability, which is a ...
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2answers
285 views

Measure - exercise 22 from Folland

I'm doing some exercises from Folland's real analysis book. Exercise 18 is done and should help to do exercise 22, but I'm stuck. The definition of completion is given below. This is not ...
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0answers
39 views

a question on quasi-invariant measures (with respect to the irrational rotations) on the unit circle

Fix a $\sigma$-finite atom-less measure $\mu$ on the unit circle, which is quasi-invariant and ergodic under the rotation $T$ of the angle $2\pi\theta$, $\theta$ irrational. By a well-known result of ...
3
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1answer
16 views

Independence of random variables involving Brownian motion

I am reading a book on stochastic analysis and I don't understand the following (i.e. don't know how to prove it rigorously): Let $B$ be a standard Brownian motion and $\{ \mathcal{F}_t \}$ be the ...
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0answers
51 views

Why does the union of all open null sets is itself a nullset for second countable space?

On the online Encyclopedia of mathematics, it is written "The existence of a countable base guarantees that the union of all open μ-null sets is itself a nullset." See: ...
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0answers
27 views

Existence of measure given the margin is a step function

Suppose $Q:[0,1]\to [0,1]$ is given by a nondecreasing step function $$Q(x)=A, if \phantom{0}0\leq x < x^*$$ $$\phantom{0000} = B, if\phantom{0} x^*\leq x\leq 1 $$ s.t. $$A,B\in[0,1] ...
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0answers
32 views

Measurability of the points of (strict) increase for Stochastic Process

Given a background space $\left(\Omega,\mathcal{F},\mathbb{P}\right)$ , I'm considering a stochastic process $X:=(X_{t})_{t\geq0}$ with distribution $X(\mathbb{P})$ on ...
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2answers
53 views

Probabilistic implications of the existence of non-measurable sets

Measure theory and probability theory are deeply connected through the interpretation of subset measures on the sample space as probabilities of events. A major (and somewhat disturbing) result from ...
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2answers
49 views

If $\int_E f=\int_E g$ then $f=g$ a.e.?

Is the converse of the following statement is true? Let $f$ and $g$ be two bounded measurable functions on a set $E$. If $f(x)=g(x)$ a.e. on $E$ then $$\int_E f=\int_E g$$ Here is my proof for ...
6
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0answers
63 views

Borel measurability is a local property

I am looking at Exercise 5.2 (page 44) in "Real Analysis for Graduate Students" by Richard Bass. Let $f:(0, 1)\to \mathbb{R}$ be a function such that for every $x\in (0, 1)$, there exist ...
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0answers
14 views

Requirements for existence Lebesgue-Stieltjes measure corresponding to distribution function in $\mathbb{R}^n$

I am going through Ash's book "Probability and Measure Theory". It says that: We know that a distribution function of $\mathbb{R}$ determines a corresponding Lebesgue-Stieltjes measure. This is true ...
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1answer
75 views

A question regarding non-(Lebesgue)-measurable sets in models of ZFC+$2^{\aleph_0}$=$\aleph_2$

Let $\mathscr V$ represent a set of Vitali's type. It is known that $|\mathscr V|=2^{\aleph_0}$. Does $\mathscr V$ have any measure-theoretic properties in models of, say, ...
3
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2answers
33 views

$L^1(X)$, delta epsilon measure proof

Let $f \in L^1(X)$ with $f \ge 0$. We know that $$\nu(E) := \int_E f\,d\mu$$defines a measure on $\Sigma$. How do I show that for every $ \epsilon > 0$ there exists $\delta > 0$ so that for any ...
2
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1answer
34 views

Formal introduction of product measure

Having proven the existence and uniqueness of the product measure $\mu$, given two $\sigma$-finite measure spaces $(\Omega_1,\sum_1, \mu_1), (\Omega_2,\sum_2, \mu_2)$, you can extend this principle to ...
5
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0answers
41 views

Standard machine in measure theory

Step 1.Prove the property for $h$ which is an indicator function. Step 2.Using linearity, extend the property to all simple positive functions. Step 3. Using Monotone property extend the ...
4
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1answer
52 views

Show that this set, defined similarly to the Cantor set, also has measure 0

The standard, middle-thirds Cantor set can be thought of as the set of all numbers on the interval $[0, 1]$ whose ternary expansions contain no 1s, that is, numbers of the form $$\sum_{n=1}^{\infty} ...
0
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1answer
36 views

Prove that $\int_X f \, d\mu=\int_Y\mu(f^{-1}[t,\infty)) \, d\mathcal{L}(t)$

Let $\mathcal{L}$ be the Lebesgue measure on $Y=[0,\infty)$. Let $(X,\mathfrak{B},\mu)$ be a $\sigma$-finite measure space and let $f$ be a nonnegative $\mu$-measurable function on $X$. Prove that ...