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

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4
votes
2answers
221 views

Is this set measurable?

Let $E$ be a subset of $\mathbb{R}$. Assume that $\forall x\in E, x$ is a limit point of $E\setminus\{x\}$. Then, is $E$ Lebesgue-measurable? For example, any perfect subset, open subset or ...
1
vote
1answer
56 views

Confusion with real numbers and random variables; Integration and Independence in Williams

In David Williams' Probability with Martingales, $\exists$ this exercise. Let $X_n$ be iid RVs with the same continuous dist function. Let $E_1 = \Omega$ and for $n \geq 2, E_n = (X_n > X_m ...
2
votes
1answer
64 views

“Fair” game in Williams

In David Williams' Probability with Martingales, $\exists$ this exercise. What's fair about a fair game? Let $X_i$, i = 1, 2, ... be indp RVs s.t. $X_i = i^2 - 1$ with prob $1/i^2$ and $-1$ with ...
0
votes
1answer
26 views

Probability of highest common factor in Williams

In David Williams' Probability with Martingales, $\exists$ this exercise. Let s > 1 and let $\zeta(s) = \sum_{n=1}^{\infty} {n^{-s}}$. Let X and Y be independent $\mathbb{N}$-valued random variables ...
6
votes
1answer
102 views

Is a Sobolev function absolutely continuous with respect to a.e.segment of line?

Let $p\in [1,\infty]$ and take $u\in W^{1,p}(\mathbb{R}^N)$. It is a well know result that $u$ is absolutely continuous (A.C) on a.e. segment of line parallel to the coordinate axes. It seems to me ...
1
vote
0answers
49 views

Absolute continuity and convolution

Suppose that $\mu$ is a finite Borel measure on the real line, $f, g\in L^1(\mu)$. Define $\nu=\mu\ast\mu$. Do I understand correctly that the convolution $f\mu\ast g\mu$ is absolutely continuous wrt ...
1
vote
0answers
21 views

Mixing System and density argument

A Mixing system is defined as a dynamical system $(\Omega,\phi^t,\mu)$ for which the following relations holds $$ 1)\qquad\lim_{t\rightarrow\infty} \mu(\phi^{-t}(A)\cap B)=\mu(A)\mu(B); $$ $$ ...
1
vote
0answers
24 views

Completely stumped on exercise cooncerning the characterisation of Jordan measure - would anyone be willing to give a hint?

In Terry Tao's notes on measure theory he has the following exercise, I have no idea how to deal with the last statement, I would really appreciate it if someone could give a hint for the final case. ...
1
vote
1answer
21 views

Conditions for “forward” measure-preservation

A transformation $T$ being $\mu$-invariant is by definition a transformation satisfying $$\mu(T^{-1} E) = \mu(E)$$ for all measurable sets $E$. I was wondering what are sufficient conditions for being ...
1
vote
0answers
31 views

Independence Exercise in Rosenthal

In Rosenthal's, "A First Look At Rigorous Probability Theory", $\exists$ this exercise: Exercise 3.6.19. Let $A_1,\ A_2,\ldots$ be independent events. Let $Y$ be a  random variable which is ...
4
votes
4answers
120 views

Convergence in measure implies pointwise convergence?

In showing that we can replace pointwise convergence with convergence in measure in the Lebesgue Dominated Convergence Theorem, I made the following claim: 1.) $f_n\to f$ in measure ...
0
votes
1answer
40 views

Proof that $X$ countable, $\mathcal M$ algebra on $X$ implies $\mathcal M$ a $\sigma$-algebra

In my measure theory class, I believe the professor made the claim that if $X$ was a countable or finite set and $\mathcal M$ was an algebra on $X$, then $ \mathcal M$ was a $\sigma$-algebra. I am ...
2
votes
1answer
31 views

Independence of Events in Rosenthal

$\exists$ this exercise in Rosenthal's A First Look at Rigorous Probability Theory: For letters d and e, how do you show that the ff events are independent? My attempt: It suffices to show that ...
1
vote
1answer
25 views

Question on a variation of Borel Cantelli Lemma

In this question, what is the purpose of the summation? If the limit of the sequence is zero, the corresponding series is convergent. Does the desired conclusion not then follow from BC1?
1
vote
1answer
32 views

Continuity of measure and integration

Suppose that f is a measurable function $(\Omega, \mathfrak{F}, \mu)$ such that $\int_{A}f \, d\mu \geq 0 \forall A \in \mathfrak{F}$. Prove that $f \geq 0 \ \mu$-almost surely. Hint: Let $A_n = ...
0
votes
1answer
58 views

Using Borel-Cantelli Lemma

Let $X_1, X_2,\ldots$ be iid Geometric(p) where $p \in (0,1)$. Thus if $q=1-p$, then $P(X_n > k) = q^k$ for $k\geq 0$. Prove that for any fixed $\epsilon \in (0,1)$, CORRECTION: k is supposed to ...
1
vote
2answers
60 views

Two questions about convergence in measure

I am currently studying for my analysis comprehensive exam and have a few questions about convergence in measure. First of all I know that for a sequence $\{f_n\} \in L^p(E)$, $1 \le p < \infty$, ...
2
votes
1answer
40 views

Do the subsets of $\mathbb N$ that have asymptotic density form an algebra?

Consider $ \Omega=\mathbb{N}.$ Is said that a $E\subset\mathbb{N}$ has a density limit if the following limit exists: $$\rho(E)=\displaystyle \lim_{n\rightarrow \infty} \dfrac{\#\{k\in E: k\leq ...
3
votes
1answer
58 views

Small $\ell^p$ spaces are obtainable from $L^p$

I've seen that in a lot of books there is written that $$l^p=L^p(X,\Sigma,\mu),$$ where $X=\Bbb N, \Sigma=P(\Bbb N), \mu=\#$, ($\#$ is the counting measure). I would like to see how to prove it, ...
2
votes
1answer
28 views

“Structure of a measure space is the coarsest among all substantial structures on a set…”

In the book Lectures and Exercises on Functional Analysis by Helemskii I have stumbled upon the following note: The Rohlin theorem and similar results (see e.g., [19],[20]) show that the structure ...
1
vote
0answers
22 views

Absolute continuity for non-measures?

Let $B$ be the collection of Borel subsets of $R^2$. A measure on $B$ is said to be absolutely continuous with respect to area if any subset with area 0 has measure 0. Is there a natural ...
0
votes
1answer
15 views

Absolute continuity of two-dimensional measures

Absolute continuity has two different meanings: one for functions and one for measures. The Wikipedia page explains the relation between the two notions in the following way: A finite measure μ ...
0
votes
1answer
22 views

Inequality involving products

One is given two intervals $I_{a-\epsilon,b+\epsilon}$, $I_{a,b}$ of $\mathbb{R}^n$, and is asked to show that $\lambda(I_{a-\epsilon,b+\epsilon}) - \lambda(I_{a,b}) \leq c\epsilon$ for some constant ...
1
vote
0answers
124 views

Measure theory problem from Stein real analysis

Let $\mu$ be a Borel measure on the sphere $S^{d-1} = \{x \in \mathbb{R}^d:|x|=1\}$ which is rotation-invariant in the sense that $\mu(r(E)) = \mu(E),$ for every rotation $r$ of $\mathbb{R}^d$ and ...
2
votes
1answer
44 views

Prove that for any $1 < p < ∞$ there exists a function $f ∈ L_p(μ)$ such that $f \notin L_q(μ)$ for any $q > p.$

Let $(X, Ω, μ)$ be a finite measure space. Assume that for any $t > 0$ there exists $E ∈ Ω$ satisfying $0 < μ(E) < t.$ Prove that for any $1 < p < ∞$ there exists a function $f ∈ ...
1
vote
4answers
146 views

Definition of a measurable function?

Are these two definitions of a real-valued, measurable function equivalent? ($(X, \Sigma, \mu)$ is the measure space.) Definition 1: $f: X \to \mathbb{R}$ is said to be measurable if for all ...
2
votes
0answers
37 views

Characterisation of absolutely continuous measure on the real line

Let $\lambda, \nu$ be two Radon measures on $\Bbb R$ such that $\lambda(\Bbb R)< \infty$. Show that the following are equivalent: $\lambda \ll \nu$; $\forall \epsilon>0$ there exists ...
4
votes
1answer
72 views

Characterization of measurability by closed sets.

If $E \subseteq \Bbb R$ is measurable, then for all $\epsilon > 0$, exists $F \subseteq \Bbb R$ closed such that $F \subseteq E$ and ${\frak m}^*(E \setminus F) < \epsilon$. I have already ...
3
votes
1answer
54 views

Symmetric Borel sets in the plane

How will I show that the sigma algebra consisting of all Borel sets in the plane, which are symmetric about the line $y=x$, is generated by sets of the form $(a,b) \times (a,b)$? I could show upto the ...
4
votes
1answer
43 views

How to prove the following defined collection is a sigma algebra?

Let $\mu$ and $\lambda$ be two measures on a $\sigma$-algbra $\mathfrak{F}$ on $\Omega$, such that $\mu (A)=\lambda(A)$ for any $A\in \mathfrak C$, where $\mathfrak C\subset\mathfrak{F}$ is a ...
2
votes
1answer
46 views

Convergence in measure and convergence in $L^p$

If $f_n$ is convergent to $f$ in measure and $\|f_{n}(x)\|_{L^{p}(\mathbb{R})}=\|f(x)\|_{L^{p}(\mathbb{R})}$. Does it implies that $f_n$ is convergent in $L^p$?
0
votes
1answer
24 views

Probability densities and Absolute continuity

I've not deep knowledge in measure theory/real analysis but just few concepts given me during this second year probability course. I'm trying by myself to understand more, but I don't want to dive in ...
4
votes
2answers
144 views

A counter example of Brownian Motion

Here is an example in my textbook to illustrate why we need the continuous sample path in the definition of Brownian motion. Let $(B_t)$ be a Brownian motion and $U$ be a uniform random variable on ...
0
votes
0answers
13 views

Folland's proof of the Hahn Decomposition. Minor error?

Theorem 3.3 of Folland's Real Analysis (ed 2) is the Hahn decomposition theorem. In the proof he assumes that the signed measure $\nu$ he is considering does not take the value $-\infty$. Then he ...
2
votes
1answer
23 views

Filtration from a Brownian Motion

The textbook I am reading defines the filtration induced from a Brownian Motion as follows. Let $\{B(t): t \geq 0\}$ be a Brownian Motion defined on some probability space, then we can define a ...
2
votes
2answers
46 views

If $f(x)g(y)$ is a measurable function, and $f$, $g \in L^{1}(dm)$, does this imply $g(y - x) \in L^{1}(dm)$?

Question rephrased Suppose we are working in $(\mathbb{R}, \Sigma(m^{*}) \times \Sigma(m^{*}), m \times m)$ where $m$ is Lebesgue measure. Note that our $\sigma$-algebra is not necessarily complete. ...
0
votes
1answer
45 views

sigmal algebra and measure [closed]

Let $\mu$ and $\lambda$ be two measures on a $\sigma$-algbra $\mathfrak{F}$ on $\Omega$, such that $\mu (A)=\lambda(A)$ for any $A\in \mathfrak C$, where $\mathfrak C\subset\mathfrak{F}$ is a ...
0
votes
0answers
24 views

Proof commutativity of (differential) convolution operater

I tried to proof a claim and I'm not sure if I did it right. It would be great if someone could have a look at it! First I give a definiton: Let $h : [0, \infty ) \rightarrow \mathbb{R}$. We define ...
0
votes
1answer
20 views

About a convergence of measurable functions

Let $f_{n}$ be a sequence of measurable functions in M(X,m), is that true that {$ {x∈X∣lim f_{n}∈R}$} $ $ = $⋃ _{M=1} ^∞⋂ _{N=1} ^∞ ⋃ _{n=N}^ ∞ ${x∈X∣ ∣f_{n} -f_{N} ∣< (1/M)}$ $ and that ...
4
votes
1answer
77 views

Example of a function $u\in L^\infty(0,T,H^1)$ such that $u_t\notin L^\infty(0,T,H^1)$

Could someone give me an example of a function $u\in L^\infty(0,T,H^1)$ such that $u_t$ exists (in the distributional sense), $u_t\in L^\infty(0,T,L^2)$ and $u_t\notin L^\infty(0,T,H^1)$? Thanks. ...
0
votes
1answer
52 views

Question about statement of Fubini's theorem

This is a question on the statement of Fubini's theorem for measurable sets. The theorem looks like this: Let $(X \times Y, \overline{\Sigma \times \tau}, \lambda = \mu \times \nu)$ be a complete ...
3
votes
3answers
77 views

non-Borel subset of uncountable Tychonoff space

Let $X$ be an uncountable Tychonoff space. Must there exist a non-Borel subset of $X$?
1
vote
1answer
45 views

Halmos Measure Theory section 39 Theorem D

I have trouble explaining the remark "The function $\phi$ plays the role of Jacobian (or, rather, the absolute value of the Jacobian) in the theory of transformation of multiple integrals". I know ...
3
votes
1answer
37 views

If $(X \times Y, \overline{\Sigma \times \tau}, \mu \times \nu)$ is $\sigma$-finite, does that imply $(X, \Sigma, \mu)$ is $\sigma$-finite?

I'm having trouble proving or disproving the statement: If the product space $(X \times Y, \overline{\Sigma \times \tau}, \mu \times \nu)$ is $\sigma$-finite, then so is $(X, \Sigma, \mu)$. I ...
0
votes
1answer
50 views

Borel Measure on Banach Space

While thinking about what some measure on an infinite dimensional Banach space could look like a came across the point that if I'd like to assign a size to all epsilon balls, they by Riesz' lemma ...
1
vote
1answer
15 views

Limit distribution is invariant

Consider a homogeneous Markov chain $\{X_n\}_{n\in\mathbb N}$ with a countable (but not necessarily finite) state space $S$. Suppose that there exists a limit distribution $\pi$, namely: ...
7
votes
0answers
60 views

Explicit description of small open set containing the rationals

We know that the set $\mathbb{Q}$ of rational numbers has measure zero because it is countable. In fact, if $(q_n)_{n=1,2,\ldots}$ is an enumeration of $\mathbb{Q}$, then ...
0
votes
0answers
35 views

Prove the following is a generated algebra

Let $ \mathbb E $ = {$A_{1}$, $A_{2}$,.......$A_{n}$} $\subseteq$ $\mathbb P (X)$ given, if we define $A ^a$ = \begin{cases} A & \text{if }a=0,\\ A^c & \text{if }a=1 \end{cases} for each $ ...
-1
votes
1answer
73 views

Some problems concerning regularity os measures.

Let $\mu$ be a regular "outer" measure on $\mathbb{R}^N$ (for example, the Lebesgue outer measure). By regularity I mean that for all $A\subset \mathbb{R}^N$, there is $E$ measurable with $A\subset E$ ...
2
votes
1answer
69 views

What exactly is a product measure?

If we have $(X \times Y, \overline{\Sigma \times \tau}, \lambda)$ a complete measure space with underlying complete spaces $(X, \Sigma, \mu)$ and $(Y, \tau, \nu)$, and $\lambda = \mu \times \nu$, what ...