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

learn more… | top users | synonyms (1)

0
votes
1answer
17 views

Prove that if $\mu (A) = \nu(A)$ for all $A \in s$, then this also holds for all $A \in M(s)$

Let $s$ be a collection of subsets of $X$. Assume that $\mu$ and $\nu$ are two measures on $M(s)$. Prove that if $\mu(A) = \nu(A)$ for all $A \in s$, then this also holds for all $A \in M(s)$, i.e., ...
3
votes
0answers
13 views

Riesz-Type Representation Theorems for Convex Functionals

It is well known that any positive linear functional $L$ on the spase $C_c([a,b])$ of functions continuous on an interval $[a,b]$ with compact support can be written as \begin{align*} ...
1
vote
2answers
29 views

$f$ has a zero integral on every measurable set. Prove $f$ is zero almost everywhere

I am trying to solve the following exercise: Let $f$ be integrable. Assume that $\int_A f d\mu = 0$ for every measurable set $A$. Prove that $f = 0$ a.e. [$\mu$]. I have the following proof but it ...
0
votes
0answers
18 views

Inner measure of a set

My question is problem 15 of chapter 3 of Wheeden and Zygmund which states: If $E$ is measurable and $A$ is any subset of $E$, show that $m(E)=m_{*}(A) + m^{*}(E-A),$ where $m_{*}$ and $m^{*}$ denote ...
0
votes
0answers
16 views

Rudin's RCA, Chapter 2 Definitions

I am currently reading Rudin's RCA, and I have some questions about a particular definition he uses in chapter 2: The following passage is taken from Rudin's RCA, page 47, section 2.15: "A measure ...
1
vote
0answers
23 views

E is measurable, then measure of E is the sum of the inner measure of a subset of E and the outer measure of the complement of the subset in E

If E is a measurable and A is any subset of E, show that $|E|=|A|_i+|E-A|_e$ where |E| is the measure of of E, $|A|_i$ is the inner measure of A, and $|E-A|_e$ is the outer measure of $E-A$. I have ...
0
votes
0answers
5 views

total variation for closed set zero if measure is zero on closed subsets

Let $\mu$ be a complex borel measure on $\Omega$, $|\mu|$ its total variation and $A \subseteq \Omega$ a closed set s.t. for each closed set $B\subseteq A$ we have $\mu(A)=0$. Now does it hold that ...
0
votes
1answer
26 views

Show that $\sigma(\mathcal{H})$ is equal to $\mathcal{P}(\mathbb{N})$.

Let $\mathbb{N} = \{1,2,3,4,\dots \}$ and define the sets $A_k \subset \mathbb{N}$ by $$ A_k = \{k,2k,3k,\dots \} $$ for $k = 1,2,\dots$. We denote by $\mathcal{H}$ the collection $\{A_1, A_2, ...
0
votes
0answers
22 views

Definition of integrability for sequences

My text book does not provide much about counting measures and integration. So I decided to setup integration on space $(N , P(N) , \mu_c ,R)$ myself imitating the construction of Lebesgue integral. ...
1
vote
1answer
18 views

Indicator function and liminf and limsup

Can anyone please explain why the following is true? And what is the intuition behind it? $$\chi_A(x) = \begin{cases}1 &, x \in A\\ 0 &, x \notin A.\end{cases}$$ Then we have ...
0
votes
0answers
12 views

Convergence of stochastic processes via convergence of infinitesimal generators

Given a sequence of sequence processes $(X_N(\cdot))_{N \geq 0}$, I want to show this sequence converges to another process $X(\cdot)$ by considering that the sequence of generators $(A_N)_{N \geq 0}$ ...
2
votes
2answers
24 views

If I have that $\limsup_{n}E|X_n|^{r} \leq E|X|^{r}$, is that enough to show that $\{|X_n|^{r}:n\geq 1\}$ is uniformly integrable?

If I have that $\limsup_{n}E|X_n|^{r} \leq E|X|^{r}$, is that enough to show that $\{|X_n|^{r}:n\geq 1\}$ is uniformly integrable? I am not sure here if the limsup condition here is as strong as if I ...
1
vote
1answer
16 views

Counting measure on sigma algebra power set of natural numbers .

My text book does not provide much about counting measures and integration. So I decided to setup integration on space $(N , P(N) , \mu_c ,R)$ myself imitating the construction of Lebesgue integral. ...
2
votes
1answer
32 views

Lebesgue integral of vector-valued function?

In Bernt Øksendals stochastic differential equations he says that if we have a random variable $X:\Omega\rightarrow\mathbb{R}^d$. He defines the expectation: $E[X]=\int_\Omega ...
1
vote
1answer
23 views

Congruent measurable sets

I have a question regarding Congruent relations: In Euclidean geometry, two subsets of $\mathbb{R}^{d}$ are said to be congruent if one set can be mapped onto the other by translations and rotations. ...
1
vote
1answer
24 views

Weak convergence in $L^p$ equivalent to pointwise almost everywhere convergence

Can weak convergence of a sequence $f_n\in L^p(\Omega, \mu)$ to some $f\in L^p(\Omega, \mu)$ be characterised as almost everywhere pointwise convergence? Let us also assume the measure space is ...
0
votes
1answer
29 views

Equality in Conditional Jensen's Inequality

Conditonal Jensen's Inequality says that for a convex function $\varphi$, a random variable $X$, and a sub-sigma-field $\mathcal{F}$, $E[\varphi(X)\mid \mathcal{F}] \geq \varphi(E[X\mid ...
0
votes
1answer
23 views

Proving measurability in $\mathbb{R}^2$

I am given the problem: suppose for measurable, real-valued functions $f$ and $g$, and an open set $A \subset \mathbb R ^2$, prove that $\{x \in \mathbb R : (f(x),g(x)) \in A\}$ is a measurable set. ...
0
votes
1answer
20 views

$g(x) = sup_{α∈A} (f_α(x))$, $x ∈ E$ need not be a measurable function.

We know that if $(f_n)$ is a sequence of measurable functions on $E$, then $g = sup_n f_n$ defined as $g(x) = sup f_n(x)$, $x ∈ E_ n$ is a measurable function. Prove by an example that if $A$ is an ...
1
vote
1answer
40 views

Prove that there is no continuous function $f : \Bbb R → \Bbb R $ such that $f = χ_I$ almost everywhere on $\Bbb R$.

Let $I = [0,1]$ and $χ_I : \Bbb R → \Bbb R$ be the characteristic function on $I$. Prove that there is no continuous function $f : \Bbb R → \Bbb R $ such that $f = χ_I$ almost everywhere on $\Bbb R$. ...
0
votes
1answer
25 views

examples of random variables that the result of their preimage is not in F?

let's assume we have a probability space $(\Omega , F , P)$. and we have a random variable $X$ defined as : $X : \Omega \rightarrow \Bbb{R}$ and we also use a Borel set ($\mathcal{B}$).(making the ...
0
votes
1answer
14 views

Continuous map from $L^r(\Omega)$ to $L^s(\Omega)$.

The following theorem appears in the appendix of P.H. Rabinowitz monograph on Critical Point Theory: Let $\Omega \subset \mathbb R^n$ be bounded. Let $g$ be such that (i) $g \in C(\overline{\Omega} ...
0
votes
0answers
25 views

Exercise in “Elements of Integration” by Bartle

I found the problem below in Bartle's book "The Elements of Integration and Lebesgue Measure". I have not been able to solve it. All ideas are welcome. If $\phi$ is not uniformly continuous, then ...
1
vote
1answer
26 views

Weak convergence of measures and compact sets

Suppose that we have a sequence of probability measures $\{ \mathbb{P}_n \}$ converging weakly to a probability measure $\mathbb{P}$. Suppose that $M$ is a metric space with a compact subset $K$. I ...
2
votes
0answers
28 views

Does the quadratic covariation process define a measure?

In the context of stochastic integration (when we define the space $L^2(M)$), we define the (possibly infinite) measure $$P_M = P \otimes [M]$$ by $$E_M[Y] = E\left[\int_0^\infty Y_s(\omega) ...
2
votes
1answer
43 views

Weak convergence of probability measures and uniform convergence of functions

I am stuck on Problem 4.12 of Karatzas and Shreve's book Stochastic Calculus and Brownian Motion: Suppose that $\{ \mathbb{P}_n \}$ is a sequence of probability measures on $(C[0, \infty), ...
0
votes
1answer
33 views

$\mu(E)\ge \nu(E)\ \forall E\in A\ \Rightarrow\ \mu(\cup E)\ge\nu(\cup E)$? Here $\mu,\nu$ are probability measures on a $\sigma$-algebra.

$\mu(E)\ge \nu(E)\ \forall E\in A\ \Rightarrow\ \mu(\cup E)\ge\nu(\cup E)$? A. Here $\mu,\nu$ are probability measures on a $\sigma$-algebra $M$ on a set $X$. We can assume that arbitrary unions of ...
1
vote
1answer
52 views

Show $ (\int_{-\infty}^\infty \sqrt{p}\sqrt{q}d\mu)^2\leq 2 \int_{-\infty}^\infty \min\{p,q\}d\mu $

Consider a random variable $X$ in $(\Omega, \mathcal{F}, \mathbb{P})$. Let $p,q$ be two densities with respect to a measure $\mu$ in $(\mathbb{R}, \mathcal{B}(\mathbb{R}))$ where ...
1
vote
1answer
12 views

Partition generated $\sigma$-algebra

I saw this example given as a $\sigma$-algebra in various places. It goes like this: Let $X$ be a set and assume that the collection $\{A_1,\dots, A_N\}$ is a partition of $X$. Then the collection ...
2
votes
2answers
56 views

Does the following condition implies full outer measure?

Let $X \subseteq 2^{\omega}$ be a set of positive Lebesgue measure. Suppose that for every $\eta, \nu \in 2^{<\omega}$ of the same length, the measure of $X$ above $\eta$ is the same as the measure ...
5
votes
0answers
58 views

Concavity of the $n$th root of the volume of $r$-neighborhoods of a set

Let $A$ be a closed subset of $\mathbb{R}^n$. For $r>0$, let $A_r$ be the $r$-neighborhood of $A$, namely the set $\{x:\operatorname{dist}(x,A)\le r\}$. Is the function $f(r) = \mu(A_r)^{1/n}$ ...
0
votes
0answers
16 views

Lebesgue measure of region under curve

Let $(X,\Sigma,\mu)$ be a $\sigma$-finte measure space and $f \in L^+(X,\Sigma)$. Let $\lambda$ be the Lebesgue measure on $\mathbb{R}$. Theorem: Define the area under the graph of $f$ to be ...
0
votes
1answer
39 views

Suppose $X_n \to_{p} X$, if $\limsup_n E|X_n|^r \leq E|X|^r$, how can I show that $X_n \to_r X$?

If I have that $X_n \to_p X$ (convergence in probability), and if $\limsup_n E|X_n|^r \leq E|X|^r$ for all $r \geq 1$, how can I show that $X_n \to_r X$ (this means $L^{r}$ convergence)? My goal is to ...
1
vote
1answer
34 views

If we showed that $\mu(F_n)<\infty$ for all $n\in \mathbb{N}$, can we get $\cup_{n \in \mathbb{N}}F_n<\infty$?

If we showed that $\mu(F_n)<\infty$ for all $n\in \mathbb{N}$, can we get $\cup_{n \in \mathbb{N}}F_n<\infty$? The problem is the following: In the solution of Folland chapter 1 exercise 14, ...
0
votes
0answers
23 views

why is the collection of all finite subsets of $\mathbb{R}$ not a $\sigma-ring$

It says the definition of a $\sigma-ring$ is if $A,B \in \mathcal R$ then $A \setminus B \in \mathcal R$ and if $ A_{n} \in \mathcal R \forall n \in \mathbb{N}$ then $\cup_{1}^{\infty}A_{n} \in ...
0
votes
0answers
21 views

Probability density function above a given value. $\{ f(x) > c\}$

Say $X$ is a stochastic variable with a distribution $\nu$ and $f$ is the corresponding Lebesgue-measurable density. If I want to calculate a set $$A = \{ x \in \mathbb{R} \ | \ f(x) > c \}$$ for ...
0
votes
1answer
29 views

A doubt on a proof of a theorem of Durret's Probability Theory

Below is the text of the theorem: $\mathcal{F}_{i,j}$ are sigma algebras indexed by $i$ and $j$. I'm having some difficulties in understanding this proof. Do the $\mathcal{A}_i$ contain $\Omega$ ...
0
votes
0answers
19 views

Integral inequality $L^p$ spaces

I'm trying to solve this problem: Let $1<p<\infty$. Then let $f:(0,\infty)\to [0,\infty]$ a measurable non negative function. It's true the following inequality: $$\int_0^\infty ( ...
1
vote
1answer
73 views

$\lim_{n \to \infty }\int_{0}^{n}\frac{n \cdot e^{\frac{x}{n}}}{x^4+n^2}dx=$?

$$\lim_{n \to \infty }\int_{0}^{n}\frac{n \cdot e^{\frac{x}{n}}}{x^4+n^2}dx=?$$ I am allowed to used all the classical techniques of calculus, and this was a question from measure theory when we were ...
2
votes
1answer
34 views

Disentangling $\int_Af(\mathbf{x})\ d\mathbf{x}$, using Fubini Theorem.

Let $\mathcal{B}^n$ be the borel sigma algebra generated by the rectangles in $\mathbb{R}^n$. I can write $f(\mathbf{x})=g_1(x_1)\cdots g_n(x_n)$. Let $\mu=\mu_1\times \cdots \times \mu_n$ be the ...
6
votes
2answers
75 views

$\lim_{n \to \infty} \int_{0}^{n}(1-\frac{3x}{n})^ne^{\frac{x}{2}}dx$=?

$$\lim_{n \to \infty} \int_{0}^{n}\left(1-\frac{3x}{n}\right)^ne^{\frac{x}{2}}dx$$ I thought about using the theorem of monotonic convergence and had ...
0
votes
0answers
16 views

Integrals of functions of statistics

Let $X: \Omega \to \mathbb{R}^n$ be a measurable random vector with law $\Lambda_X$ and probability density function (pdf) $f_X$. Let $T:\mathbb{R}^n \to \mathbb{R}^2$ a statistic (a ...
2
votes
1answer
32 views

All measures $\alpha,\beta$ on $[0,1]$ satisfying certain moment conditions

This is a problem I found trying to find some properties related to exchangeable sequences. Anyway, I am not able to find a characterization of all solutions.. I know there are at least two completely ...
1
vote
1answer
11 views

Countability of generated ring $R(E)$

I am studying Paul R. Halmos Measure theory. In the section 5 of chapter 1, theorem 5 states that : If $E$ is a countable class of sets, then $R(E)$ is countable. The proof uses class of all finite ...
0
votes
1answer
10 views

How to turn convergence in probability a statement involving n?

Def: for every $\epsilon$ $\lim_{n}P(|X_n-X|>\epsilon)=0$ How to turn it into a statement of there is an N s.t. n>N... Shall we make it $P(\lim_{n}|X_n-X|>\epsilon)=0$ first?
2
votes
3answers
114 views

Prove $\lim_{n \rightarrow \infty} n \int_{\frac{1}{n}}^{1} \frac{\cos(x+\frac{1}{n})-\cos(x)}{x^{\frac{3}{2}}}dx$ exists.

Prove $\displaystyle\lim_{n \rightarrow \infty} n \int_{\frac{1}{n}}^{1} \frac{\cos(x+\frac{1}{n})-\cos(x)}{x^{\frac{3}{2}}}\,dx$ exists. I want to use Dominated convergence theorem to show the ...
0
votes
1answer
23 views

Adapted and progressive processes

Could you please help me proving rigorously the following fact from Mayer's book: (a) if $X_t$ is a process adapted with respect to filtration $\{\mathcal{F}_t\}_{t\ge 0}$ and for every ...
1
vote
3answers
53 views

If $\mu(X) < \infty$, $f_n \to f$ a.e., and $\int f_n^2 \leq C$, then $f_n \to f$ in $L^1$

I should be able to get this problem...I'm studying for a qualifying exam and the question is to show that if $\mu(X) < \infty$, $f_n \to f$ a.e., and $\int f_n^2 \leq C$, then $f_n \to f$ in ...
1
vote
0answers
9 views

Algebra generated by point cylinders

Let $X\equiv\mathbb N^{\mathbb N}$ denote the set of all sequences of positive integers. For a fixed $n\in\mathbb N$ and $(y_1,\ldots,y_n)\in\mathbb N^n$, define the “point cylinder” as follows: ...
1
vote
1answer
19 views

Bump functions converging to an indicator

Suppose $K\subset\mathbb{R}^n$ has a smooth boundary, and let $\phi_s(x)$ be bump functions converging pointwise to the indicator of $K$, i.e. ...