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

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7
votes
1answer
1k views

Proving the measure of an increasing sequence of measurable sets is the limit of the measures

Show that if $A_1\subseteq A_2\subseteq A_3\cdots$ is an increasing sequence of measurable sets(so $A_j\subseteq A_{j+1}$ for every positive integer $j$),then we have ...
5
votes
1answer
73 views

Integration by parts for general measure?

Let $\mu$ be a general measure, suppose $f,g$ has compact support on $\mathbb{R}$, when does the integration by parts formula hold $$\int f'g d\mu = - \int g'fd\mu?$$ I know in general this is false, ...
1
vote
1answer
19 views

Sets cut into two halves of equal size by any straight line through a particular point

Is there an easy characterization of all sets $M \subseteq \mathbb{R}^2$ with the following property? A point $(x_M,y_M)$ (which may depend on $M$) exists such that each straight line through ...
2
votes
1answer
69 views

Question about notion $d\mu = fdv$ in Real Analysis of Folland

I'm reading the book Real Analysis of Folland, chapter 3 about signed measure, and there's some notion that confused me. In this book, he defines that $dv = fd\mu$ if $v(E) = \int_E{fd\mu}$, and ...
6
votes
1answer
441 views

Girsanov: Change of drift, that depends on the process

Known: If I am looking at an SDE like: $dX_t = b(t,\omega) dt + dW_t$ with $W_t$ a Brownian motion under a measure $P$. I know that I can change the drift by using Girsanov to $dX_t = ...
1
vote
0answers
41 views

Explicit construction of Haar measure on a profinite group

Let $G$ be a profinite group. It is known that in $G$, every neighborhood of the identity element contains an open compact subgroup. I would like to explicitly construct the Haar measure on $G$. The ...
1
vote
1answer
18 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 ...
3
votes
3answers
482 views

Direct construction of Lebesgue measure

I have seen two books for measure theory, viz, Rudin's, and Lieb and Loss, "Analysis". Both use some kind of Riesz representation theorem machinery to construct Lebesgue measure. Is there a more ...
1
vote
1answer
40 views

A question about 2.1 Proposition on Folland's Real Analysis

Definition of measurable space: If $X$ is a set and $\mathcal{M} \subset \mathcal{P}(X)$(Power set of $X$) is a $\sigma$-algebra, $(X, \mathcal{M})$ is called a measurable space and the ...
-1
votes
0answers
26 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 ...
3
votes
1answer
41 views

Understanding product $\sigma$-algebra

Let $\{X_\alpha\}_{\alpha \in A}$ be an indexed collection of nonempty sets, $X = \prod _{\alpha \in A}X_\alpha$, and $\pi _\alpha: X \rightarrow X_\alpha$ the coordinate maps. If $M_\alpha$ is a ...
1
vote
1answer
64 views

Proof of Hunt's Interpolation

I'm new to weak $L^p$ spaces and I'm doing a book exercise. Can someone enlighten me on the proof of the Hunt's interpolation theorem, which goes as follows: Theorem Let $\langle \,M, \mu \, ...
1
vote
0answers
30 views

Equivalent Definition of Weak $L^{p}$ (Quasi-) Norm

For a sigma-finite measure space $(X,\Sigma,\mu)$, the weak $L^p$ (hereafter denoted $L^{p,\infty}$) is defined by $$\|f\|_{L^{p,\infty}}:=\sup_{t>0}t\mu(|f|>t)^{1/p}, \qquad (1\leq ...
1
vote
0answers
23 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 ...
0
votes
0answers
20 views

What is the interpretation of $\nu(dy - x)$ where $\nu$ is a Lévy measure?

In a paper I am reading, it is seemingly suggested that, if $\nu(dx)$ is a Lévy measure, then the following holds for a function $f(x)$ which is smooth (and satsifies some integrability conditions): ...
4
votes
1answer
104 views

Is $\overline{D}_{\varepsilon}$ a connected Jordan region in $\mathbb{R}^{n}?$

Definition. Let $E$ be a nonempty subset of $\mathbb{R}^{n}$.The distance from a point $\mathbb{x}\in\mathbb{R}^{n}$ to set $E$ is defined by ...
0
votes
0answers
12 views

How to deduce this fact from the existence of factorized regular conditional probabilities and disintegration of probability measures?

In the lecture we had a theorem about the disintegration of probability measures in the following formulation: Theorem: Given two standard Borel spaces $(S_i,\mathscr S_i),i=1,2$ let $(S,\mathscr ...
1
vote
1answer
25 views

Expectation with respect to empirical distribution

Let $(\Omega,\mathcal{A})$ be a measure space and $X$ a random variable with distribution $P$. The expectation of some measurable function $g$ with respect to $P$ is $$ \mathbb{E}_P[g(X)] = ...
1
vote
1answer
29 views

Mean value formula integrals

Let $f: B(0,R) \rightarrow \mathbb{R}$ be a continuous function. Then I was wondering whether $$\frac{1}{\text{area}(\partial B(0,r))} \int_{\partial B(0,r)} (f(x)-f(0)) dS(x) \rightarrow_{r ...
-1
votes
2answers
51 views

intuition of mass function of random variable [on hold]

When we are using $P\{X=x\}$ it seems like intuitively there is a function from $T$ (or measure from $\mathcal{B}(T)$) to $[0,1]$. What is the theoretical foundation behind this intuition?
2
votes
1answer
38 views

Looking for a clarification of the Suslin $\mathcal{A}$-Operation with a (finite) example

I have a problem concerning the output of (and the intuition behind) the Suslin $\mathcal{A}$-Operation. More specifically, I really don't see exactly what the output of it really is (even if I can ...
1
vote
1answer
20 views

Volume density on a Riemannian manifold as a measure

I am having some trouble in seeing exactly how the Riemannian density form gives rise to a measure on $\text{Borel(M)}$. Let $(M,g)$ be a Riemannian manifold. We have the Riemannian density $\mu_g$. ...
2
votes
1answer
32 views

Class of subsets which is not a $\sigma$-ring

I can't find a non-empty class that is closed under countable intersections and symmetric differences, but it's not a $\sigma$-ring. Any ideas?
0
votes
1answer
26 views

Is there a Markov-type inequality for the Median?

Markov's theorem states that $P(|X| \geq a) \leq \frac{E[|X|]}{a}$. Is there an similar type of inequality that involves the median (somehow I doub't it, but I make no claim to comprehensive knowledge ...
1
vote
1answer
183 views

If the weighted $L^p$ norm of a measurable function is finite, is the weighted $L^p$ norm of the antiderivative also finite?

Let $f \colon \mathbb{R} \rightarrow \mathbb{R}$ be a measurable function such that $$ \int_{-\infty}^{\infty} |f|^p e^{-x^2} \,dx < \infty. $$ Define $g \colon \mathbb{R} \rightarrow ...
0
votes
0answers
21 views

Is there a difference between $\mu_1 \times \mu_2$ and $\mu_1 \otimes \mu_2$ in measure theory?

I sometime see the tensor product symbol used when referring to product meauress, but I've also seen the cartesian product symbol used too. Is there a difference. I have had a hard time finding an ...
5
votes
1answer
179 views

Show that the union over a collection of compact cubes in $\mathbb{R}^n$ is Lebesgue measurable

Let $\mathcal{K}$ be a (not necessarily countable) collection of compact cubes in $\mathbb{R}^n$. Show that $\cup\{K:K\in \mathcal{K}\}$ is a Lebesgue set (Measurable with respect to the Lebesgue ...
-1
votes
1answer
47 views

How to prove the uniqueness of probability measure

Probability essentials P-21 Theorem 4.1 (b) Let $(p_\omega)_{\omega \in \Omega}$ be a family of real numbers indexed by the finite or countable set $\Omega$. Then there exists a unique probability ...
4
votes
3answers
66 views

Example of disjoint union of sets which does not have additive measure

I had a question about the additivity property of the outer measure. Can someone provide an example of a disjoint union of sets which doesn't have an outer measure equal to the sum of the outer ...
0
votes
0answers
31 views

Premeasure on $\mathcal{A}$ and $\mu^{*}$ proof

This proposition comes from Real Analysis by Folland: Some background information: (1.10) Let $\epsilon\subset P(X)$ and $p:\epsilon\rightarrow [0,\infty]$ be such that $\emptyset\in\epsilon$, ...
1
vote
1answer
36 views

Question about formula for total variation of complex measure from Real Analysis of Folland

Let $\nu$ be a complex measure on $(X, \mathcal{M})$. If $E \in \mathcal{M}$, define: $\mu_1(E) = \sup\{\sum_1^n{|v(E_j)|}:n \in N, E_1, ..., E_n$ disjoint$, E = \bigcup_1^n{E_j}\}$ ...
1
vote
1answer
19 views

Predictability of $\int^t_0 f(X_s)\,\mathrm ds$ where $X$ is a Lévy process

Let $X_t$ be a Lévy process and $f(x)$ some smooth function. Under what conditions is $$ Y_t = \int^t_0 f(X_s)\,\mathrm ds$$ predictable? Not sure how to investigate this. It is clearly adapted, so ...
1
vote
1answer
44 views

Property of a set of a positive Lebesgue measure

I am trying to see whether it is true that in any set of a positive Lebesgue measure in $R^2$ we can always find two points $(a_1,a_2)$ and $(b_1,b_2)$ such that the following hold: $a_1>b_1$ ...
4
votes
1answer
76 views

Upper Bound for Operator Norm in Marcinkiewicz Interpolation Theorem

Exercise 1.3.3(c) Let $0<p_0<p<p_1<\infty$ and let $T$ be an operator as in Theorem 1.3.2($\|T(f)\|_{L^{p_0,\infty}(Y)}\leq A_0\|f\|_{L^{p_0}(X)}$ for all $f\in L^{p_0}(X)$ and ...
0
votes
1answer
53 views

Convergence in $L^{p_1}$ and $L^{p_2}$

Suppose $f_k$ is a sequence of $\mu$-measurable function. Let $p_1$ and $p_2\in[1,\infty)$, and $f_k\in L^{p_1}\cap L^{p_2}$. Also suppose that there exists $g\in L^{p_1}$ and $h\in L^{p_2}$ such that ...
8
votes
1answer
107 views

Sufficient Condition for $f\in L^{1}(\mathbb{R}^{d})$ to belong to $L^{2}(\mathbb{R}^{d})$

Question. Let $\left\{\varphi_{j}\right\}$ be a complete orthonormal system for $L^{2}(\mathbb{R}^{d})$ such that each $\varphi_{j}\in C_{b}(\mathbb{R}^{d})$ (the space of continuous, bounded ...
1
vote
1answer
37 views

Repeated extension of Lebesgue measure

In Halmos' Measure Theory, section 16, exercise 2 deals with the extension of a $\sigma$-finite measure $\mu$ defined on a $\sigma$-ring $S$ to any set $M$ in the hereditary $\sigma$-ring induced by ...
2
votes
0answers
59 views

Closeness of measures on a cardinal

Given an uncountable $\kappa$ and a $\kappa$-complete nontrivial non-normal ultrafilter on $\kappa$, and some $g:\kappa\to\kappa$ with $<_{U}$-rank $\kappa$ (where $f_0<_Uf_1$ iff ...
0
votes
1answer
41 views

Jensen's inequality problem [on hold]

I want to know an example of a infinite measure space $(\Omega, \mathcal{F},\mu)$, real valued function $g$ and convex function $\phi$ defined on the real line s.t. $$\phi\left(\int g d\mu\right) > ...
5
votes
2answers
82 views

for each $\epsilon >0$ there is a $\delta >0$ such that whenever $m(A)<\delta$, $\int_A f(x)dx <\epsilon$

This is an old preliminary exam problem: Show that, for every nonnegative Lebesgue integrable function $f:[0,1]\rightarrow \mathbb{R}$ and every $\epsilon>0$ there exists a $\delta>0$ such ...
1
vote
2answers
42 views

$\sigma$-algebra of $\mathbb{R}$ generated by $\mathcal{P}(\mathbb{N})$

What is the $\sigma$-algebra of $\mathbb{R}$ generated by $\mathcal{P}(\mathbb{N})$? I thought it is $$\Sigma = \{\emptyset, \mathbb{N}, \mathcal{P}(\mathbb{N}), \mathbb{R}, \mathbb{R}-\mathbb{N}, ...
1
vote
0answers
36 views

Generating structure of Borel field

On P.32 of [P.Billingsley] Probability and Measure, 3ed, 1993, the author wrote: ...and there are Borel sets that cannot be arrived at from the intervals by any finite sequence of set-theoretic ...
2
votes
0answers
23 views

Example of a bounded simple process $A_t$ that changes value only once s.t. $\int_0^t A_s dB_s$ doesn't have normal distribution?

As the title of the question suggests, what is an example of a bounded simple process $A_t$ that changes value only once such that$$\int_0^t A_s\,dB_s$$does not have a normal distribution?
2
votes
1answer
34 views

Measurability of marginal distributions of a random measurable function

For a probability space $(\Omega, \mathcal F, \mathsf P)$, let $X \colon \Omega \times [0,1] \to \mathbf R \colon (\omega, t) \mapsto X(\omega,t)$ be a random Borel function (i.e. an $(\mathcal ...
1
vote
1answer
30 views

Norm triangle inequality for convolutions proof

I'm trying to prove that $$\|f*g\|_{L_1}\le{\|f\|_{L_1}\|g\|_{L_1}}$$ with respect to a Haar measure over a group G. Using Fubini's theorem, I'm up to ...
0
votes
1answer
25 views

convolution of probablity measures

What do we mean by convolution of measures? With example What is the difference between convolution of measures and convolution of functions? What is probability measure? Give an example of ...
0
votes
1answer
40 views

Help with a Lebesgue integration problem.

The question is the following, Let $f:\Bbb{R}\rightarrow \Bbb{R}$ be a Lebesgue integrable function. Show that $\mathop {\lim }\limits_{t \to \infty } \int_\Bbb{R} {f(x)\cos (xt)dx} = \mathop ...
1
vote
1answer
28 views

Borel measure induced by the Cantor function?

In an example to measure being mutally singular, the book has an example I do not understand. First the book has the definition: Mutually Singular Measure Let $(\Omega,\mathcal{A})$ be a ...
1
vote
1answer
34 views

Properties of decreasing sequence of Lebesgue measurable sets.

I'm trying to prove a property of Lebesgue measure sets that says: If the $A_{k}$'s are measurable and $A_{1} \supset A_{2} \supset A_{3} \supset \ldots,$ and if $\lambda (A_{1}) < \infty, $ then ...
2
votes
1answer
23 views

Help with a sigma-algebra problem with random variables (show $\sigma(X_S)\subseteq \sigma(X_T)$ if $S\subseteq T$)

My problem is as follows: Let $X_S$ and $X_T$ be two stochastic processes where $S,T$ are index sets. Let $\sigma(X_S)$ and $\sigma(X_T)$ denote the sigma-algebra generated by $X_S$ and $X_T$. ...