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

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3
votes
2answers
79 views

Are there Cantor sets of non-zero measure?

A cantor set is generated by removing a centered open interval from $[0, 1]$ and repeating the process infinitely on the two leftover segments. What if the first interval we remove is of length $r$, ...
0
votes
1answer
25 views

$\sigma(f_i, i \in I)$ ($f_i:\Omega \to \mathbb{R}$) where $I$ is uncountable

$\sigma(f_i, i \in I)$ ($f_i:\Omega \to \mathbb{R}$) where $I$ is uncountable contains only sets that can be written as $\{(f_{i_1},f_{i_2},...) \in B\}$ where $B \in ...
9
votes
1answer
1k views

Monotone class theorem

I have some question about the Monotone Class Theorem and its application. First I state the Theorem: Let $\mathcal{M}:=\{f_\alpha; \alpha \in J\}$ be a set of bounded functions, such that ...
0
votes
1answer
18 views

Show that the Lebesgue Stieltjes measure corresponding to $\alpha(x) = \mu((0,x])$ is $\mu$.

This is exercise 4.1 from Bass: Let $\mu$ be a measure on the Borel $\sigma$-algebra fo $R$ such that $\mu(K) < \infty$ whenever $K$ is compact, define $\alpha(x) = \mu((0,x])$ if $x \ge 0$ and ...
5
votes
0answers
47 views
+50

Sets of Divergence for Fourier Partial Integals

It is a consequence of Carleson's theorem together with a transference argument that (see Section 4.3.5 in L Grafakos, Classical Fourier Analysis for proof) that the Fourier partial integrals of a ...
3
votes
0answers
204 views

Doubling measure is absolutely continuous with respect to Lebesgue

Let $\mu$ be a fixed finite measure on $\mathbb R$. We say that $\mu$ is doubling if there exists a constant $C>0$, such that for any two adjacent intervals $I=[x−h,x]$ and $J=[x,x+h]$, ...
-3
votes
1answer
23 views

How can I prove that $f$ and $g$ are measurable functions [on hold]

Let we have the following functions : $f(x)=(\sin x)^4$ and $g(x)=(\cos x)^4$ How can I prove that $f$ and $g$ are measurable functions
5
votes
2answers
46 views

If one side of $\int f\ d\lambda = \int f\ d\mu - \int f\ d\nu$ exists, does the other one exist as well?

Let $\mu$ and $\nu$ be two positive measures, at least one of which is finite, on a measurable space $(X, \mathfrak{A})$. Let $\lambda$ be a signed measure on $(X, \mathfrak{A})$ defined by setting ...
0
votes
1answer
37 views

Let $(X,Σ,μ)$ be a measure space and $f$ and $g$ are positive integrable functions and $h=f-g$

Please please please please please I want some help ,Is there and body here who can help me in this question : Let $(X,Σ,μ)$ be a measure space and $f$ and $g$ are positive integrable functions and ...
3
votes
1answer
112 views

Total variation measure vs. total variation function

Let $a, b \in \mathbb{R}$ with $a < b$ and define the compact interval $I := [a, b]$. Let $g, h : \mathbb{R} \rightarrow \mathbb{R}$ be non-decreasing and right-continuous on $I$ and constant on ...
0
votes
0answers
22 views
+150

Optional stopping/sampling for right-continuous supermartingales

Let $\mathbb{F}$ be a filtration $(X_t)_{t\ge 0}$ be a right-continuous $\mathbb{F}$-supermartingale $\sigma,\tau$ be bounded $\mathbb{F}$-stopping times with $\sigma\le \tau$ and ...
5
votes
1answer
49 views

Proving inner measure equal to outer measure if a set is measurable

I'm doing the problem 19 in Real Analysis of Folland like below: Let $\mu^*$ be an outer measure on $X$ induced from a finite premeasure $\mu_0$. If $E \subset X$, define the inner measure of ...
1
vote
2answers
17 views

Sigma algebra on a Cartesian product

$\Omega_1$ and $\Omega_2$ are countable sets. With $\mathcal P(\cdot)$ we denote a power set of a set. We need to proof that: $$\mathcal P(\Omega_1)\otimes \mathcal P(\Omega_2)=\mathcal P(\Omega_1 ...
2
votes
2answers
54 views

Borel set of $\mathbb R^n$ with $n > 1$

According to various sources, the Borel set over $\mathbb{R}^n$ can be defined in several equivalent ways: For instance, it can be defined as the smallest sigma-algebra containing every open set of ...
1
vote
0answers
35 views

measurable sets and open intervals

Let $A$ be a Lebesgue measurable set in $\mathbb {R} $ with a positive measure. Then, show that for any positive real number $r $, there is an open interval $I$ such that $\operatorname{m} (A\cap ...
12
votes
3answers
3k views

What is Haar Measure?

Is there any simple explanation for Haar Measure and its geometry? how do we understand analogy Between lebesgue measure and Haar Measure? How to show integration with respect to Haar Measure? what do ...
3
votes
1answer
36 views

Density of measurable sets in $\mathbb{R} $

Let $A$ be a Lebesgue measurable set in $\mathbb {R} $. We can classify the points in $\mathbb{R}$ as 3 disjoint subsets: density 0 points $A_1$, density 1 points $A_2$, otherwise $A_3$. By the ...
3
votes
1answer
88 views

Is every Hilbert space an $L^2$ space?

Let $H$ be any Hilbert space. Must there exist a measure space $(X,\scr{M},\mu)$ such that we have a Hilbert space isomorphism: $$H\cong L^2(\mu)$$ Thank you
2
votes
1answer
27 views

Radon measure and a non-L1 function

This is a part of the exercise 7.17 in Folland's Real Analysis: Suppose $\mu$ is a positive Radon measure on a locally compact Hausdorff space $X $ with $\mu (X)=\infty. $ Show that there exists ...
3
votes
0answers
108 views

Using a sequence of measures to create simple functions which approximate the Radon-Nikodym derivative of the limiting measure

I have a bunch of discrete probability measures with finite support: $\mu_1,\mu_2,\dots$, which strongly converge to an absolutely continuous probability measure $\mu$ in $\mathbf{R}^2$. That is, for ...
0
votes
0answers
25 views

Efficient methods of covering a surface [on hold]

I am a fabricator. I run a machine that cuts material with a drill bit that run over a surface. I would like to know how to mathematically find the time it will take to cross a surface. An example ...
2
votes
2answers
43 views

Does there exist a subsequence whose intersection has measure greater than $1/2$?

I ran across the following problem on this review guide. It is problem 1.25, though I've changed the wording slightly. The measure is implicitly Lebesgue measure. Let $E_n$ be a sequence of ...
4
votes
2answers
45 views

If a measure $\mu$ is less than a measure $\nu$ on a generating $\pi$-system, can we conclude that $\mu \leq \nu$?

Let $\mu$, $\nu$ be finite measures on the non-degenerate compact interval $[a, b] \subseteq \mathbb{R}$ provided with the Borel $\sigma$-algebra. It is well-known that if $\mu(B) = \nu(B)$ for every ...
1
vote
0answers
54 views

Fractional part of $n\alpha$ is equidistributed

Let $\alpha$ be an irrational number. Then the sequence $\{\{n\alpha\}\}$ is equidistributed. I am using the following definition of equidistribution. A sequence $\{a_i\}$ is equidistributed if ...
1
vote
0answers
24 views

Support of Radon measures

I am reading Folland's Real Analysis. The following is the exercise 7.2.b. Let $X$ be a locally compact Hausdorff space with a Radon measure $\mu$. Show $x\in\text{supp}(\mu)$ iff $\int f \text ...
0
votes
0answers
14 views

Weak continuity of K-L divergence function

If $P_n$ and $Q_n$ are two pmf's of a discrete set (say $A$) with common support and $P_n \to P$ and $Q_n \to Q$ where the convergence is pointwise here (even weak would be fine here I guess), then $$ ...
1
vote
1answer
16 views

Difference in $\mathscr{L}^1(\mu)$ and $\mathscr{L}^1(\mu^\nu)$

Can someone give me an example that indicates the difference between $\mathscr{L}^1(\mu)$ and $\mathscr{L}^1(\mu^\nu)$, with $\mu^\nu$ indicating the measure's completion. We have seen that ...
1
vote
1answer
20 views

Question about proof extending measure to complete measure

I am looking through a proof in Folland, for Theorem 1.9, which states: Suppose that $(X, M, \mu)$ is a measure space. Let $N = \{N' \in M : \mu(N') = 0\}$ and $M' = \{E \cup F : E \in M' \text{ and ...
11
votes
2answers
123 views
+200

Radon-Nikodým (write the density as a limit)

Let $\mu$ be a probability measure and $\nu$ a $\sigma$-finite measure on $(\mathbb{R},\mathcal{B})$ with $\nu\ll\mu$. Show that it is $\mu$-a.s. $$ \lim_{h\to 0}\frac{\nu [x-h,x+h)}{\mu ...
0
votes
1answer
19 views

Prove that $\sigma$-algebras $A_1,\ldots,A_n$ are independent if and only if $A_i$ is independent of each $A_1,\ldots,A_{i-1}$, for all $i=2,\ldots,n$

Let $(\Omega,\mathcal{A},\operatorname{P})$ be a probability space and $\mathcal{A}_1,\ldots,\mathcal{A}_n\subseteq 2^\Omega$ be $\sigma$-algebras. How can we show, that ...
1
vote
1answer
37 views

Measure theory : Lebesgue outer measure. [on hold]

Let $E$ be a subset of $\mathbb{R}$ and $m^{*}(E)=0$. Prove that $m^{*}(E^{2})=0$, where $E^{2} = \{ x^{2} : x \in Ε \}$. Can you give me some ideas or hints? Thank you!
0
votes
1answer
29 views

Outer Regularity of the Lebesgue measure on the Hilbert brick

Is the product measure on the Hilbert brick $I=[0,1]^\mathbb{N}$ outer regular (that is measure of every set is the inf of measures of open sets, containing it)?
4
votes
1answer
86 views

$m(E)=0$ then $m(\lbrace x^2 : x\in E\rbrace$?

Let E be a subset of $\mathbb{R}$ with lebesgue measure zero. How can I prove that $\lbrace x^2 : x\in E\rbrace$ also has lebesgue measure zero? Let $\epsilon>0$, I should find a cover of ...
3
votes
1answer
35 views

Variation processes and strong solutions of stochastic differential equations

Let $(\Omega,\mathcal{A},\operatorname{P})$ be a probability space $\mathbb{F}$ be a filtration on $(\Omega,\mathcal{A})$ $\tau$ be a $\mathbb{F}$-stopping time An $\mathbb{F}$-adapted, ...
1
vote
1answer
118 views

Change of variable formula for the image of a hypercube

Let $\varphi: \mathbb{R}^n\to \mathbb{R}^n$ be an injective $C^1$ map. Let $I=[0, 1]^n$. I want to show that $$m(\varphi(I))=\int_I \left|\det D\varphi(x)\right|dx.$$ This is a special case of the ...
3
votes
0answers
33 views

Theorem of Portmanteau: It suffices to show it for a base?

I have a question to the Theorem of Portmenteau, see here. Two equivalent statements to $P_n\to P$ weakly, are (1) $\limsup_n P_n(C)\leq P(C)$ for all closed sets $C$. (2) $\liminf_n P_n(O)\geq ...
0
votes
0answers
9 views

Convolution of measures on a measurable group is associative

I've come across a statement in Kallenberg's Foundations of Modern Probability which claims this and only tells me to use Fubini's theorem. I am not very familiar with this topic and the text doesn't ...
0
votes
1answer
20 views

Prove that a complete field defines a partition of a set

Let $\Omega$ be arbitrary set. Let $Q$ be a partition of $\Omega$. I already proved that the collection of all unions of the cells in $Q$ is a complete field $\mathcal{F}$ (complete field is ...
4
votes
4answers
2k views

Translation invariant measures on $\mathbb R$.

What are all the translation invariant measures on $\mathbb{R}$? Except Lebesgue measure on $\mathbb R$ I didn't find any translation invariant measure. So I put this question? I know that if $\mu$ ...
0
votes
1answer
44 views

Show that $\omega\mapsto\int_a^bX_t(\omega)\;dt$ is measurable, for a real-valued and continuous stochastic process $X$

Let $(\Omega,\mathcal{A},\operatorname{P})$ be a probability space $X=(X_t)_{t\ge 0}$ be a real-valued and continuous stochastic process on $(\Omega,\mathcal{A},\operatorname{P})$ $0\le a<b$ I ...
1
vote
1answer
35 views

If $(X_t,t\in I)$ is a process with values in $(E,\mathcal{E})$, are $\sigma(X_t,t\in I)$ and $\sigma(X)=X^{-1}(\mathcal{E}^{\otimes I})$ equal?

Let $(\Omega,\mathcal{A},\operatorname{P})$ be a probability space $E$ be a Polish space and $\mathcal{E}$ be the Borel $\sigma$-algebra on $E$ $I$ be an index set $X_t$ be a random variable on ...
1
vote
2answers
39 views

Exchanging expectation and limits

Exchanging expectation and limits I have a stochastic process, ${b_t} \, (t=0, 1, 2, \ldots)$, which follows a random walk. Specifically, ${b_0} = 0$ and for $t$ greater than zero, $\displaystyle ...
1
vote
2answers
168 views

Precise definition of random variables and probability measures

Suppose we have the probability space $(\Omega,\mathcal{A},P)$. Which of the following are right? $P$ is the probability measure defined on the events $\mathcal{A}$ as follows: ...
0
votes
0answers
31 views

How to separate self-defining values from sigma?

$$\sum_{k=1}^{m} \sum_{j=1}^{n} a_kx_j^{b_k+b_i} = \sum_{j=1}^{n} y_jx_j^{b_i}$$ What I need to do is solve $a$ for every $i$ given ($i$ is between 1 and $m$), so their result won't be composed of ...
0
votes
0answers
30 views

Does $L^p(L^1([0,1]))$ make sense?

I'm examining several function spaces like $L^p(X,\mu)$ where $X$ is a Banach space. Is it possible to take $X = L^1([0,1])$ and then look at $L^p(X)$? The problem I have is that I don't know ...
3
votes
1answer
48 views

Fourier Uniqueness Theorem: Proof?

I need this as lemma. Given the Borel space $\mathcal{B}(\mathbb{R})$. Consider a complex measure: $$\mu:\mathcal{B}(\mathbb{R})\to\mathbb{C}$$ Then one has: ...
1
vote
2answers
37 views

Does the signed measure based on a Jordan decomposition of a function with bounded variation depend on the decomposition?

Let $g_1, g_2, h_1, h_2 : \mathbb{R} \rightarrow \mathbb{R}$ be non-decreasing and right-continuous. Define $$ \begin{align} f_1 & := g_1 - h_1 \\ f_2 & := g_2 - h_2 \end{align} $$ and suppose ...
3
votes
2answers
90 views

Is the limit of measurable step functions measurable?

Let $(X, \mathcal M)$ be a measurable space where $\mathcal M$ is a $\sigma$-algebra on a set $X$. Let $f$ be a map $X \rightarrow E$ where $E$ is a metric space. Suppose $f$ is the pointwise limit of ...
-1
votes
2answers
67 views

Is a limit of measure of a sequence of sets equal to measure of limit of the sequence of sets?

I'm sitting at the same question desk as this: Limit of the measure of the converging sequence of sets. Actually, I can't prove it neither. PA6OTA gave a hint to show there is subsequence $A_{n_k}$ ...
2
votes
0answers
21 views

Local Martingales in a Finite Time Horizon setting

I apologise if this question has been answered somewhere else. Consider the following definition. Let $T \in [0, \infty), d \in \mathbb{N}$, let $(\Omega, \mathcal{F}, P, (\mathbb{F}_t)_{t \in [0, ...