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

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Difficulty in understanding converse part of proof of a propostion in Andrew Browder's Mathematical Analysis

Proposition: Let $\mu$ be finitely additive set function, defined on the algebra $\mathscr A$. Then $\mu$ is countably additive if and only if its has following property: if $A_n \in \mathscr A$ ...
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32 views

Four definitions for Borel algebra in $\mathbb{R}$? [on hold]

Let us take $X=\mathbb{R}$, the set of real numbers. Of course we know a Borel algebra in $\mathbb{R}$. How can we have four definitions for a Borel algebra in $\mathbb{R}$?
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13 views

Measure-preserving map between a function and its symmetric rearrangement

Let $f \, \colon \mathbb{R}^d \rightarrow[0, \infty)$ be a function such that the sets $ \{ y \: \colon f(y) > \lambda \}$ are of finite Lebesgue-measure, for every $\lambda \geq 0$. Then, we can ...
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1answer
23 views

Quick question on why two measures have equal total mass.

I am following Probability with Martingales by Williams I am having troubles with why the two measures $H \rightarrow P(I \cap H)$ and $H \rightarrow P(I)P(H)$ have the same total mass $P(I)$. Is ...
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1answer
21 views

Approximation of characteristic function by mollifiers

I have been asked to show that the Heaviside function $H := \chi_{[0,+ \infty)}$ does not admit weak derivative in $L^1_{loc}(\mathbb{R})$. Here's my reasoning: By definition the weak derivative of ...
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15 views

Folland exercise 1.32

Here is a problems after the measure theory section. Suppose {$\alpha_j$} $\subset (0,1)$. a. $\prod $(1-$\alpha_j$) > 0 iff $\sum \alpha_j < \infty $. (Compare $\sum log(1- \alpha_j) to ...
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10 views

An elementary inequality in the context of Strictly Convex Function

Suppose: whenever $\epsilon \gt 0$ , define: $\zeta (y, \epsilon) = \frac{\eta (y+\epsilon) - \eta (y)}{\epsilon} - \eta'_{+}(y)$ ; where: $\eta$ is STRICTLY CONVEX CONTINUOUS FUNCTION & ...
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22 views

Jordan measure problem [on hold]

Any triangle is Jordan measurable,prove it.
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15 views

Measure theory problems on elementary set [on hold]

If $E$ and $F$ are elementary sets in $\mathbb{R^n}$,then $E\cup F$,$E\cap F$ are also elementary.
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1answer
46 views

Show $F: (0, \infty) \rightarrow \mathbb{R}$ is diff'ble

Hi just need a bit of help with a few parts of this practice question: Show $F: (0, \infty) \rightarrow \mathbb{R}$ diff'ble with respect to $t \in (0, \infty)$, where $$F(t) := ...
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22 views

Example where probability theory fails without $\sigma$-algebra

I have just started reading theory of probability in a measured theory based approach and was wondering if someone could give an example where probability fails without using $\sigma$-algebra (or ...
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22 views

Looking for a bounded set in a set with finite measure lebesgue.

Let $A\subseteq\mathbb{R}^{n}$ with $\mu^{*}\left(A\right)<\infty$. Show that for each $\varepsilon >0$ there is $A_{\varepsilon}\subseteq\mathbb{R}^{n}$ bounded such that ...
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1answer
35 views

Algebra that is not a $\sigma$-algebra

Let $X=\Bbb R\ $ and$\ $ $\mathcal A=\{\text{finite disjoint unions of}\ (-\infty,b],\ (a,b]\land(a,\infty)\}$. So the exercise says to prove that $\mathcal A$ is an algebra but is not a ...
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0answers
17 views

Orderings on a space such that every initial segment has measure 0

Let $(\mu,X,\Sigma)$ be an atomless probability measure. Is it alway possible to find a well-ordering of $X$, $<$, such that for any $x\in X$, $Pr(\{y\mid y<x\})=0$? (Edit: I'd also be ...
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2answers
35 views

Show that for every $\epsilon > 0 $ there exists $h \in \mathcal{L}^1(X)$ non-negative and $\delta > 0$ such that:

I am working through some practice questions, and I think I have gotten the first two parts, but I am having trouble deriving the third part: Let $(X,\mathcal{A},\mu)$ be a finite measure space. ...
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1answer
19 views

On a proof regarding the sigma algebra generated by a single random variable.

I left (b) and (c) for the sake of the curious. What I am trying to do is Exercise (a) except that I recall that $\sigma(Y):= ( \{ w : Y(w) \in B \} : B \in \mathcal{B} )$ is the definition of ...
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3answers
48 views

Difference between convergence in measure and convergence almost everywhere

This question is an extension of a question asked earlier. Let $(X,\mathcal{M},\mu)$ be a measure space and let $f_{n}: X \to Y$, where $\{f_{n}\}$ is a sequence of functions. The proof wiki ...
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1answer
20 views

Can this be proved using the MCT instead of the DCT?

I've seen various version of the DCT prove that if $f$ is a real valued, or extended real valued, or complex, integrable function, and if $\{E_n\}_n$ is a sequence of disjoint measurable subsets, ...
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1answer
28 views

Pointwise limit of convolution

Suppose $\omega$ is the standard mollifier in $\mathbb R$. Then, let $\omega_{\epsilon} (x):= \frac{1}{\epsilon} \omega \left(\frac{x}{\epsilon}\right)$. For $0 < t_{1} < t_{2}$ the following ...
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21 views

Explicit construction of Haar measure on a locally profinite group

Let $G$ be a locally profinite group. A Haar measure $\mu$ on $G$ is a measure defined on the $\sigma$-algebra $\mathcal B(G)$ of all Borel sets of $G$ with the following properties. 1) $\mu(K) ...
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32 views

Counterexample of the failure of integration by parts when we only assume differentiability of $f$ and $g$.

Counterexample of the failure of integration by parts when we only assume differentiability of $f$ and $g$. We know when $f$ and $g$ are both AC functions, the integration by parts is true. Is it ...
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0answers
21 views

$\mu$ is a finite Borel measure on $\Bbb R$, absolutely continuous w.r.t. to the Lebesgue measure $m$. Prove that $x \mapsto \mu(A+x)$ is continuous.

Let $\mu$ be a finite Borel measure on $\Bbb R$, which is absolutely continuous with respect to the Lebesgue measure $m$. Prove that $x \mapsto \mu(A+x)$ is continuous for every Borel set $A \subseteq ...
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1answer
16 views

Borel $\sigma$-algebra and natural number

Let $\Omega=\mathbb{R} $ and $\mathcal{S}=\{\{x\}:x \in \Omega \}$ a) $\mathbb{N} \in \sigma(\mathcal{S})$? b)Prove that $]0,1[ \not \in \sigma(\mathcal{S})$) ...
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2answers
45 views

Applying the definition of Lebesgue Integral to specific functions

I am fairly sure this question will sound rather naive, but I do have a problem with applying the Lebesgue Integral. Actually this question can be divide in two sub-question, related to two examples I ...
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1answer
18 views

Borel isomorphism and approximation of Borel space valued function

In Kallenberg's Foundations of modern probability, he defines a Borel space $(S,\mathcal{S})$ as a measurable space which is Borel isomorphic to a Borel subset $B\in\mathcal{B}([0,1])$, ie., there ...
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0answers
46 views

Fubini theorem counter example

While reading Kallenberg's proof of Fubini theorem in Foundations of modern probability, I realized that he first proved Tonelli's theorem, then apply Tonelli to $f_+$ and $f_-$, the positive and ...
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1answer
46 views

Why is the measure of a boundary of an open ball positive in only a countable number of cases?

Let $X$ be a Polish (complete separable metric) space and $\mathbb{P}$ a Borel probability measure on $X$. Let $x_1, x_2, \ldots$ be a sequence of points dense in $X$. How can you prove that there is ...
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0answers
35 views

Prove that $\int_c^d{f(y)dy} = \int_a^b{f(G(x))dG(x)}$

I'm doing this exercise from Real Analysis of Folland and got stuck on this problem. Let $G$ be a continuous increasing function on $[a, b]$ and let $G(a) = c, G(b) = d$. a) If $E ...
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2answers
47 views

Almost Everywhere Convergence versus Convergence in Measure

I am having some conceptual difficulties with almost everywhere (a.e.) convergence versus convergence in measure. Let $f_{n} : X \to Y$. In my mind, a sequence of measurable functions $\{ f_{n} \}$ ...
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Does a proper compact subset of a compact subset of R has strictly smaller measure?

Let K be a compact subset of R and H a proper compact subset of K. Does H has a strictly smaller Lebesgue measure than K?
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1answer
58 views

Use DCT to show:

$\lim_{n \rightarrow \infty} \int_0^{\infty}f_n(x)dx = \int_0^{\infty} \frac{x}{e^x-1}dx$, where $f_n(x):=\frac{n}{e^x-1}\sin\frac{x}{n}$ Hi I'm working on some practice questions and having a bit of ...
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0answers
22 views

Proving that a measure is continuous from below

Let $(X, \mathcal{M}, \mu)$ be a measure space and $\{E_j\}_{j=1}^\infty \subset \mathcal{M}$ such that $E_1 \subset E_2 \dots $ I want to prove that $\mu(\cup _1^\infty E_j) = \lim_{j \to ...
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2answers
44 views

Definition of $f \vee g$ and $f \wedge g$

In Olav Kallenberg's Foundations of Modern Probability he uses the notation $f \vee g$ and $f \wedge g$ where $f, g$ are two functions from a set $\Omega$ to $\mathbb{R}$. What does this notation ...
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2answers
53 views

If $\mathcal{B}$ is a base of a topology space $\left(X,\tau\right)$, then the Borel $\sigma$-algebra is generated by $\mathcal{B}$?

Let $\left(X,\tau\right)$ a topology space and $\mathcal{B}$ a base of the topology, my question is: The Borel $\sigma$-algebra is generated by $\mathcal{B}$ ?
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2answers
49 views

What does the conditional expectation look like when the $\sigma$-algebra is infinite

Given a probability space $(\Omega,\cal F,\Bbb P)$, when $\sigma$-algebra $\cal F_0$$\subseteq \cal F$ is finite (which is generated by a finite partition $\Gamma \subseteq \cal F_0$), the conditional ...
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0answers
16 views

Application of Carathéodory outer measure theorem

We know Carathéodory outer measure theorem and its proof, but I want an application or example about this theorem (I mean give me an outer measure and show the class $Μ$) I don't want this outer ...
2
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32 views

Taking limit inside integration

What the conditions, other than DCT and MCT, under which $$\lim_{n\to\infty} \int f_n(x) \ \mathsf dx = \int lim_{n\to\infty} f_n(x) \ \mathsf dx\quad $$ where the $f_n$ are measurable functions? ...
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28 views

Is continuous random variable always an “onto function” [on hold]

Is continuous random variable always an "onto function"? If yes, why?
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1answer
24 views

Is probability mass function (PMF) the “law of X”?

Are they two the same? If not, what's the differences between these two? In continuous case, is PMF also equal to the integration of probability density function?
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46 views

Differentiability of parameter-dependent integrals when derivative exists only almost everywhere

This unanswered question asked in 2013 Differentiation under the Integral Sign (let's call this Q-zero) seems to be taken from this (or pdf ver.). The result on differentiation under the integral ...
2
votes
2answers
57 views

Is every $\sigma$-algebra generated by a partition?

I know that every finite $\sigma$-algebra is generated by a finite partition, but is every infinite $\sigma$-algebra also generated by "kind of" partition? Can anyone help provide a explanation or ...
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1answer
20 views

Additive set function on a semiring of sets

A semiring $\Pi$ on a set $X$ is a non-empty family of subsets of $X$ with the following properties. 1) $P \cap Q \in \Pi$ whenever $P\in \Pi$ and $Q\in\Pi$. 2) $P - Q$ is a finite disjoint ...
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15 views

The dual of the space of $p$-locally integrable functions

If $X$ is a space of finite measure, what is the dual space of $L^p _{loc}$ (the space of locally $p$-integrable functions)? When $p=1$, a good answer has already been provided. What is known for $p ...
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2answers
94 views

Why is $(\mathbb{R}, \mathcal{P}(\mathbb{R}))$ called a measurable space when actually is not?

I get confused when I put the following three notes together: Power set of any set is a $\sigma$-algebra. If $X$ is a set and $\Sigma$ is a $\sigma$-algebra over $X$, then the pair $(X, \Sigma)$ is ...
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1answer
28 views

question on measurability of a function

Let us define a function $f:[0,1]\to \ell_\infty[0,1]$ by $f(t)=\chi_{[0,t]}$. Here $\ell_\infty[0,1]$ stands for the space of all bounded functions from $[0,1]$ to $\mathbb{R}$, where $[0,1]$ is ...
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0answers
39 views

How $\sigma$-algebra determines random variable?

In my probability textbook there is a statement saying that Knowing the $\sigma$-algebra $\sigma(X)$ generated by a random variable $X$ is equivalent to knowing $X$ itself. We equate $\sigma(X)$ ...
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36 views

Exercise 3.32 from Real Analysis of Folland

Can someone give me some hint on how to solve this problem? Thanks a lot If $F_1, F_2, ..., F \in NBV$ and $F_j \rightarrow F$ pointwise, then $T_F \le \liminf T_{F_j}$ Here, NBV is the ...
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1answer
21 views

Does weak-$\ast$ convergence with an exponential rate imply convergence of measures of sets with the same rate?

Assume that $\mu_n \to \mu$ in the weak-$\ast$ topology with the following rate for any compactly supported continuous function $f$: $$|\mu_n(f) - \mu(f)| \leq C_f e^{-n}.$$ Can we replace $f$ with ...
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28 views

Understanding the set structure of probability theory [on hold]

Since events have their own probabilities and outcomes have their own probabilities. Why don't we just consider only one of events or outcomes directly? What's the motivation to have this set-point ...
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0answers
30 views

Borel $\sigma$-field and Equality

Let $\mathcal{B}$ be a Borel $\sigma$-field on $\mathbb{R}$ and let $\mathcal{C}$ be the collection of closed intervals on $\mathbb{R}$. Show that $\mathcal{B} = \sigma(\mathcal{C})$. If I'm going ...