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

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3
votes
7answers
232 views
+50

Assume that $ f ∈ L([a, b])$ and $\int x^nf(x)dx=0$ for $n=0,1,2…$.

Assume that $ f ∈ L([a, b])$ and $\int x^nf(x)dx=0$ for $n=0,1,2...$. Prove $f=0$ a.e. Since there exist polynomials going to f almost everywhere all I would need to do is bring the limit in to ...
1
vote
1answer
17 views

Estimating the $(N-1)$- Hausdorff measure of $\Omega\cap \partial B(0,r)$ when $\lim_{r\to\infty} m(\Omega\cap B(0,r))/m(B(0,r))=0$.

Let $\Omega\subset\mathbb{R}^N$ be a open, unbounded and connected set ($N\ge 2$). Let $m$ and $\mathcal{H}^{N-1}$ denote respectively, Lebesgue and $(N-1)$-Hausdorff measures. Suppose that ...
0
votes
1answer
15 views

Ito integrals and the Euler scheme

I was wondering how to find the solution of the following stochastic integral: $$dY_{t}=a(W_{t},Y_{t})dW_{t}+b(W_{t},Y_{t})dZ_{t}$$ or in integral notation ...
0
votes
0answers
18 views

$P(\limsup A_n)=1 $ if $\forall A \in \mathfrak{F}$ s.t. $\sum_{n=1}^{\infty} P(A \cap A_n) = \infty$

Let $\mathfrak{F} = (A_n)_{n \in \mathbb{N}}$. Prove that $P(\limsup A_n)=1$ if $\forall A \in \mathfrak{F}$ s.t. $P(A) > 0, \sum_{n=1}^{\infty} P(A \cap A_n) = \infty$. (Side question 1 Is second ...
2
votes
0answers
12 views

Ultrametric space of stochastic filtration

Let $\Omega$ be an arbitrary set and $(\mathscr F_t)_{t\in \Bbb R_+}$ be a non-decresing sequence of $\sigma$-algebras on $\Omega$ such that any subset of $\Omega$ is contained is some of them, that ...
0
votes
2answers
47 views

Inclusion for pairwise disjoint sets and $\limsup A_n = \emptyset$

Spin-off from here. 1 Please give an example of how the following does not hold for a collection that is not pairwise disjoint. $$ \bigcup_{k \ge n+1} A_k = A\setminus (A_1 \cup\cdots \cup A_n) $$ ...
1
vote
0answers
23 views

Choice of number in the proof the 5-r covering theorem

Why has the number 3 been chosen? I have tried drawing this and it seems wrong (its not). The balls definitely dont seem to be disjoint either. It would seem that if a particular $x$ has $r(x)$ ...
3
votes
1answer
36 views

Help with conditional expectation

I need help finding a conditional expectation: Let $X$ be a $(0,1)$ uniform random variable i.e. $\mathbb{P}(X \in A)=\lambda((0,1)\cap A)$ where $\lambda$ is the Lebuesgue measure. We define the ...
0
votes
2answers
37 views

Why we can not extend Lebesgue outer measure for all subsets of real line?

I wonder that why we can't extend the Lebesgue outer measure for all the subsets of real line? Why we can't define another such measure on subsets of reals? I can't image why this happen. Counter ...
0
votes
1answer
34 views

Rational number, dense but measure zero

When calculating the measure of Q in real number interval [0, 1], an interval $ (q_n-\epsilon, q_n + \epsilon)$ around each rational number $ q_n $ is defined to show the measure of Q is zero. Is ...
0
votes
1answer
47 views

Relation between Sobolev Space $W^{1,\infty}$ and the Lipschitz class

I have a Sobolev space related question. In the book 'Measure theory and fine properties of functions' by Lawrence Evans. I know the result that states that for $f: \Omega \rightarrow \mathbb{R}$. $f$ ...
4
votes
1answer
58 views
+50

Measures which cannot be uniquely written as the sum of a purely atomic measure and a nonatomic measure

Maharam's theorem says that every complete measure can be written as the sum of a purely atomic measure and a nonatomic measure. According to the paper "Atomic and Nonatomic Measures" by R.A. Johnson, ...
3
votes
1answer
105 views

Product of Lebesgue and counting measures

Let $\mathbb R$ be endowed with the standard Euclidean topology and let $\widetilde {\mathbb R}$ denote the line endowed with the discrete topology. Let $\mu$ and $\nu$ denote the Lebesgue and ...
3
votes
2answers
263 views

Stopping time proof

Let $\{X_t, t \ge 0\}$ be a continuous stochastic process and adapted to the filtration $\{\mathcal{F}_t,t\ge 0 \}$ and consider $$ \alpha = \inf\{t, |X_t|>1\}, $$ the first time the the process ...
1
vote
0answers
21 views

A question concerning a complete measure and the outer measure induced by a measure

My question has to do with the very last paragraph of the top answer to this question. In this paragraph, the author chooses sets $G_1$ and $G_2$ in advantageous ways. How are we allowed to choose ...
1
vote
1answer
26 views

Finite Measure Space: Integral Closure = Bochner Integral

I can't sleep for so long time as the integral gives me headaches. I was looking for so many approaches. Now another one. Hope this works... Let $\Omega$ be a finite measure space and $E$ a Banach ...
3
votes
0answers
57 views
+50

What types of integrals cannot be solved using improper Riemann-Stieltjes Integration?

I came across the wikipedia discussion of the Riemann-Stieltjes integral. The first sentence in the "Generalization" section gave me pause: An important generalization is the Lebesgue–Stieltjes ...
2
votes
1answer
33 views

Calculating difference between two probability distributions.

What is a good measure of the difference between two probability distributions other than Kullback–Leibler divergence?
2
votes
0answers
10 views

Pushfoward of measures Lipschitz continuous in total variation

Let $X,Y$ and $Z$ be metric spaces and $f:X\times Y\to Z$ be a measurable map. Suppose that we are given a probability measure $\mu$ on $Y$, and define a stochastic kernel $$ ...
0
votes
1answer
32 views

Limit of integral of L^p functions

Let $p\in (0,\infty)$ and $f\in L^p(\mathbb{R})$. Show that $\displaystyle \lim_{n\to\infty} \int_{\mathbb{R}} f(x) \chi_{[-n,n]}\frac{1}{n^{(1-1/p)}} dx=0$. I believe $f(x) ...
0
votes
1answer
37 views

A Set That Is “Precisely” Measure-Dense [duplicate]

This question asks for a set of real numbers that is measure-dense, whose complement is also measure dense. In terms of $[0,1]$, the question asks for an $S$ such that for every open interval $I$ we ...
0
votes
1answer
17 views

Showing that the upper packing dimension is the packing dimension

I cannot see how the first inclusion in this proof works. $P$ is the maximum number of disjoint $B(\epsilon/2)$ with centres in $A$ and the following will help. Moreover I cannot see how it ...
3
votes
1answer
74 views

Usual convex combination and the one with measure

Let $X$ be a Borel measurable subset of $\Bbb R^n$ and let $\nu$ be a probability measure on $X$. Can we always find an integer $m$, points $x_1,\dots,x_m\in X$ and coefficients $a_1,\dots,a_m \geq ...
4
votes
0answers
36 views

A Sperner type problem on infinite antichains

Let $\mathcal{A} \subset 2^{\mathbb{N}}$ be an antichain (with respect to containment). I want to measure the size of $\mathcal{A}$ in the following way: I create a set, $S$, by flipping a fair coin ...
2
votes
1answer
53 views

Showing that a set is not infinite in measure

Suppose $f_n \geq 0$ for all $n \geq 1$, $f_n \to f$ a.e. on $[0, \infty)$ and there exists a constant $M>0$ such that $$ \sup\limits_{n} \int_{E} f_n(x)dx \leq M \mu(E)$$ for each measurable ...
2
votes
1answer
46 views
+100

Extensions of universal measures

Let $(\Omega,\mathcal F)$ be a measurable space, and let $\mathcal P$ be the set of all probability measures no this space. Let $\mathcal F^p$ denote a completion of $\mathcal F$ w.r.t. $p\in P$ and ...
3
votes
0answers
30 views

Variation of a strongly bounded measure is strongly bounded too

Let $\mathcal{A}$ be a field of subsets of a set $\Omega$, $X$ a Banach space and $\mu:\mathcal{A}\rightarrow X$ a finitely additive vector measure. The variation of $\mu$ is the extended ...
1
vote
0answers
19 views

Non-section representation of an intersection of sets

Let $X,\bar X,Y$ be arbitrary sets and $A\subseteq X\times Y$, $\bar A\subseteq \bar X\times Y$ be arbitrary as well. Denote: $$ A_x :=\{y\in Y:(x,y)\in A\} $$ and similarly for $\bar A$. Consider a ...
0
votes
0answers
35 views

Prove that the function $g(·)$ is twice continuously differentiable and that $g′′(α) ≥ 0$ for all $α ∈ \mathbb{R}$, i.e.

Let $f$ be a real Lebesgue measurable function on the interval $[0, 1]$ such that $∥f∥∞ < ∞.$ For $α ∈ \mathbb{R}$ define a function $g(α)$ by $g(α) = \log \int_0^1\exp[αf(x)] dx .$ (a) Prove that ...
3
votes
1answer
28 views

Local convexity of the topology of weak convergence of probability measures

Let $X$ be a Polish or standard Borel space, and $\mathcal P(X)$ be the space of all Borel probability measures on $X$ endowed with the topology of weak convergence. I am thinking of using ...
0
votes
1answer
15 views

Equalities for the Upper and Lower Minkowski dimension definition

In a Geometric Measure Theory textbook the following was written: I cannot see how any of these equalities hold and dont believe they are obvious. If they are relatively obvious could someone ...
1
vote
2answers
30 views

Are topologically well-behaved measure 0 subsets of $\Bbb R^2$ finite graphs?

Conjecture: If $X\subseteq \Bbb R^2$ is locally simply connected (hence locally path connected), compact and Lebesgue measure $0$ then $X$ is homeomorphic to a finite graph. It is clear that ...
0
votes
1answer
16 views

Properties of the Hausdorff measure

This comes from a book on geometric measure theory in a chapter introducing the Hausdorff measure $\mathcal{H^t}$. I cannot see in this proof how $\sum_i d(E_i)^s \leq \mathcal{H^s_{\delta}}(A)+1$ ...
1
vote
1answer
11 views

Is $\text{Id} = \chi_{\{ |u| \leq k\}} + \chi_{\{|u| > k\}}$ well defined for $u \in L^p(0,T;L^q)$?

Is the decomposition $$\text{Id}(z) = \chi_{\{ |u| \leq k\}}(z) + \chi_{\{|u| > k\}}(z)\tag{1}$$ well defined for $u \in L^p(0,T;L^q(\Omega))$? I guess (1) holds a.e. So the problem is, is the set ...
1
vote
1answer
66 views

$F(x)=\int^{x}_{a} f(y) dy$ continuous (Lebesgue Integral)

Let $f: \mathbb{R} \rightarrow \mathbb{R}$ be Lebesgue integrable and let $a \in \mathbb{R}$. We wish to show that $F(x)=\int^{x}_{a} f(y) dy$ continuous. I know, of course, what we need. We need to ...
2
votes
1answer
41 views

Need help with application of Hardy-Littlewood inequality (Marcinkiewicz space and distribution functions)

I am going over this work here. I couldn't understand the equality where the Hardy-Littlewood inequality is used. I think $\delta$ here is a weight so we can take it to be $1$ for simplicity. Would ...
0
votes
1answer
46 views

Find $\lim_{n \rightarrow \infty}$$\int_0^n(1 + \frac{-x}{n})^n\cos(\frac{x}{\sqrt{n}})e^{x/2}dx$

Find $\lim_{n \rightarrow \infty}$$\int_0^n(1 + \frac{-x}{n})^n\cos(\frac{x}{\sqrt{n}})e^{x/2}dx$ I want to use dominated convergence theorem obviously. However, not sure how to dominate it. ...
5
votes
1answer
52 views

$xf''(x) , xf', f \in L^{2}$ is $f' \in L^{1}$?

I am stuck on the following problem. I have a function $f$ such that $f$ is bounded on $(0,1)$, $xf'(x)$ is bounded on $(0,1)$, $f \in L^{2}(0,1)$, $xf' \in L^{2}(0,1)$, and $xf'' \in L^{2}(0,1)$. ...
0
votes
1answer
45 views

$\lbrace D^+ f < c \rbrace$ is measurable when $f$ is continuous

Let $f: [a,b] \rightarrow \mathbb R$ be continuous and $$D^+f(x) = \limsup_{h \rightarrow 0^+} \dfrac{f(x+h) - f(x)}{h}.$$ Is the set $$\lbrace x \in [a,b] : D^+ f(x) < c \rbrace$$ Lebesgue ...
2
votes
1answer
47 views

Differentiation under the integral if and only if we have an $L^1$ dominator

Let $f(x)\in L^2(\mathbb{R})$ and define $$g(t) = \int_\mathbb{R} f^2(x)\exp(-tx^2)dx$$ for $t\geq0$. We want to show that $g(t)$ is continuously differentiable if and only if $xf(x)\in ...
1
vote
0answers
43 views

Prove that $f\ast g$ is defined a.e., integrable, and such that $∥f\ast g∥_1 ≤ ∥f∥_1 · ∥g∥_1$

Let $f,g : \mathbb{R} → \mathbb{R}$ be $L_1$-functions. Set $h(x) = \int_\mathbb{R}f (x − y)g(y) \, dm(y).$ Prove that $h(x)$ is defined a.e., $h ∈ L_1(\mathbb{R})$ and $∥h∥_1 ≤ ∥f∥_1 · ∥g∥_1.$ So I ...
0
votes
0answers
31 views

$\int_{A}{f_{n}} \> d\mu \rightarrow \int_{A}{f} \> d\mu$ for each $A \in \mathfrak{M}$ given certain conditions [duplicate]

Let $(X, \mathfrak{M}, \mu)$ be a measure space. Assume the following items: $f_n$ is non-negative and integrable for each $n$, $f_n \rightarrow f$ almost everywhere, $\int{f_{n}} d\mu \rightarrow ...
3
votes
1answer
37 views

Proving a specific limit of integrals without using the Monotone Convergence Theorem

I am trying to prove the follow exercise without using the Monotone Convergence Theorem. Let $(X, \mathfrak{M}, \mu)$ be a measure space. Suppose $f \geq 0$ is measurable. Prove that $$\lim_{n ...
3
votes
2answers
69 views

Without Lebesgue

Everyone knows following problem. Let $f$ be positive function on $[0,1]$ and there exist $I = \int_{0}^{1}f(x)dx$. Prove that $I>0$. (recall that there are only two cases: $I=0$ or $I>0$. NOT ...
1
vote
1answer
31 views

The functions $\{f_n(x) = n\}$ are analytic and each miss the points $-2, -3$. But, they are not a normal family. So what am I missing. Thanks.

Here is a theorem of Montel: Let $\mathcal{F}$ be a family of analytic functions defined on a domain $\Omega$ . If there are two fixed complex numbers $a$ and $b$ that are omitted from the range of ...
1
vote
1answer
614 views

Example of Converge in measure, but not converge point-wise a.e.?

Can anyone give an exam of Converge in measure, but not converge point-wise a.e.? And also for the converse part, professor asks us to prove "pointwise a.e. implies converge in measure", but think ...
1
vote
1answer
29 views

variation of a function over countable intervals

Let $f$ be a function of bounded variation on $[0,1]$. Let $\{[a_n,b_n]\}_{n=1}^\infty$ such that $(a_n,b_n)$ are pairwise disjoint and $\cup_{n=1}^\infty [a_n,b_n]=[0,1]$. (for example, $[1/2, 1], ...
-1
votes
2answers
27 views

Convergence of running maximum of uniform random variables [on hold]

Let $X_1, X_2, ... X_n$ be an IID sequence of IID random variables that have a uniform distribution $(0,1)$. Let Max$(n) =$ max$(X_k:1\le k \le n)$, where $n\in \mathbb N$. How do I show that ...
3
votes
0answers
30 views

Let $(X,μ)$ be a measure space. Find a necessary and sufficient condition on $(X,μ)$ that $L_q(E) ⊂ L_p(E)$ for all $1 ≤ p < q ≤ ∞.$

Let $(X,μ)$ be a measure space. Find a necessary and sufficient condition on $(X,μ)$ that $L_q(E) ⊂ L_p(E)$ for all $1 ≤ p < q ≤ ∞.$ I want to say that the condition is that $E$ is finite. This ...
1
vote
2answers
23 views

$\sigma$-finite measures and a sequence of simple measurable functions.

Let $(X, \mathfrak{M}, \mu)$ be a measure space. Suppose that $f$ is a non-negative, measurable function and that $\mu$ is $\sigma$-finite. Show that there exists a sequence $(\phi_{n})$ of simple ...