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

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Conditions for a function to lie in $L^p(\mathbb{R})$

Let $(X, \mathfrak{M})$ be a measurable space. What are some sufficient and necessary conditions for a function $f : X \to \mathbb{R}$ to lie in $L^p(\mathbb{R})$ for $p \in [1,\infty]$? Is true ...
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0answers
5 views

Necessary and sufficient conditions (1) rv to density function (2) distribution to rv

(1) Let $(\Omega,\mathcal{F},P)$ be a probability measure space and $X:\Omega \rightarrow \mathbb{R}$ a random variable. Let $P_X,~F_X$ denote the probability measure, pdf induced by $X$, ...
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0answers
9 views

Sufficient and necessary conditions for representation of a ordered structure with a binary operation.

Given a structure $\mathcal{A} = (A, \succsim, \sqcup)$, where $A$ is a non-empty set, $\succsim$ is a weak order, $\sqcup$ is a binary operation on $A$, let $\mu$ be an order-preserving mapping from ...
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2answers
26 views

Integral of a measurable function

I do not know what should i keep as title for this question... Question goes like this.. Let $f:\mathbb{R}\rightarrow [0,\infty)$ be a measurable function. If $\int_{-\infty}^{\infty}f(x)dx=1$ prove ...
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2answers
29 views

Is there a probability measure on the Cantor set?

I know that the Lebesgue measure of the Cantor set is $0$. Is there a finite positive regular measure on the Cantor set?
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1answer
22 views

Lebesgue Measure of $A=\left \{ (x,0) : x \in [0,1]\right \} \subset \mathbb{R}^2$

Let $A=\left \{ (x,0) : x \in [0,1]\right \} \subset \mathbb{R}^2$ and $m_2$ Lebesgue Measure of $\mathbb{R}^2$. I want to determine $m_2(A)$. So. I know that Lebesgue Measure of interval is b-a. And ...
2
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2answers
37 views

Several questions about Riesz–Markov–Kakutani representation theorem

This is a list of questions about Riesz–Markov–Kakutani representation theorem . 1)If $f\in L^1(\mu)$, is it true that $\phi(f)=\int_Xfd\mu$, where $\mu$ is given by the theorem? I am quite sure it ...
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0answers
61 views

Are all sets with finite measure measurable?

In my textbook, it says: "Let E be any set with m*(E) < $\infty$. Then E is measurable if and only if there exists a measurable set B with m(B) = m*(E)." There always exists a measurable set of ...
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3answers
42 views

Sigma Algebra - Partition

Let $\Omega = \{1, 2, . . . , 7\}$ and let $A = \{\{1, 2, 3, 7\}, \{2, 3, 4, 5, 6\}\}$. Find $P(A)$. P is for Partition. I got $P(A) = \{\{1,4,7\}, \{2,3\}, \{5,6\}\}$ If this is wrong, can you ...
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0answers
39 views
+50

Simple random walk on $\mathbb Z^d$ and its generator

I'm still trying to figure out definitions and properties of random walks on $\mathbb Z^d$. My goal is to work up to understanding some large deviation principles for the local times of such random ...
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1answer
15 views

Distribution function derivative bounds give bounds on associated measures? Billingsley theorem 31.4 proof.

I am working through Billingsley, Probability & Measure. Struggling with the proof of theorem 31.4: Suppose $u(a,b) = F(b) - F(a)$ and that $F'$ exists throughout a Borel set $A$. If $F' ≤ c$ ...
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0answers
21 views

Show $A=\{x\in \Bbb{R}^n|\sum_{j=1}^{n}|x_j|^p\le 1\}$ is Jordan measurable for $p>0$

Show $A=\{x\in \Bbb{R}^n|\sum_{j=1}^{n}|x_j|^p\le 1\}$ is Jordan measurable if $p>0$. I did show it is a bounded set because if there exists $x^{(N)}\subset A $ such that $||x^{(N)}||\to \infty $ ...
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3answers
54 views

For $\int f < \infty$, the measure of the set of points where $f=\infty$ is zero.

I fear this question was already discussed here, but I was not able to find it. Please remove if it is a duplicate. Prove: For a function $f\geq 0$, if $\int f < \infty$, then the measure of ...
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1answer
29 views

Proving the monotonicity of a countably additive set function on a $\sigma$-algebra [on hold]

Let m be a set function defined for all sets in a $ \sigma$-Algebra $\scr A$ ; Assume that m is countably additive over countable disjoint collections of sets in A , with values in $[0,\infty ]$ ...
8
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1answer
877 views

Differentiable function has measurable derivative?

Let $f:[0,T] \to \mathbb{R}$ be a differentiable function. Is it true that $f'$ is measurable? If so, is this also true if $f$ is differentiable almost everywhere? Sorry for lack of effort but I ...
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3answers
66 views

Show that f is measurable.

Let $a > 0, b \geq 0$ and the function $f: \mathbb{R} \to \mathbb{R}$ $$f(x) = \left\{\begin{matrix} 1, & |x| \leq a \\ b & |x| > a \end{matrix}\right.$$ show that it is measurable. ...
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1answer
36 views

Density of $L^\infty(\Omega)h$ in $L^p(\Omega)$ where $h \in L^p(\Omega)$

Let $(\Omega,\mu)$ be a finite measure space. Suppose $1\leq p <\infty$. Let $h$ be an element of $L^p(\Omega)$ with $h >0$ a.e.. How show that the subspace $L^\infty(\Omega)h=\{ f h\ :\ f\in ...
2
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1answer
25 views

Measurablity of functions defined over sections of product measures

I have to solve the following exercise but I am unable to proceed. Could you please give me some hints to how to solve it? Let $(\Omega_1, \mathcal{F}_1)$ and $(\Omega_2, \mathcal{F}_2)$ be ...
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1answer
33 views

Subadditivity 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 $\{x:\operatorname{dist}(x,A)\le r\}$. Let $f(r) = \mu(A_r)^{1/n}$ where $\mu$ is ...
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1answer
33 views

E Lebesgue Measurable implies E^2 Lebesgue Measurable?

Suppose $E \subset \mathbb{R}$ is Lebesgue measurable. Define $$ E^2 = \{x^2 : x \in E\}. $$ Is $E^2$ Lebesgue measurable as well? I believe the answer is yes, but I am struggling to prove it. I ...
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1answer
25 views

Real Analysis, Folland 3.4.26, Differentiation on Euclidean Space

Background Information - A Borel measure $\nu$ on $\mathbb{R}^n$ will be called regular if i.) $\nu(K) < \infty$ for every compact $K$ ii.) $\nu (E) = \inf\{\nu(U): E\subset U, U \ ...
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1answer
33 views

$\sigma$-algebra generated by weak topology in Hilbert Space

In general, if we have $H$ Hilbert space, and equipped with the weak topology, say $\tau^\ast$, is $\sigma(\tau^*)=\mathcal{B}$?, where $\mathcal{B}$ is the usual Borel $\sigma$-algebra I suspect it ...
2
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0answers
52 views

Measure $m=\mu$ if $\int fdm=\int fd\mu$

Suppose $X$ is a locally compact Hausdorff space, $m,\mu$ are two Borel measures, if for any $f\in C_c(X)$, $\int fdm=\int fd\mu$, is it true that $m=\mu$?
3
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1answer
75 views

How can I show that one of $m(A)$ or $m(\Bbb{R}\setminus A)$ is zero?

Let $A \subseteq \Bbb{R}$ be Borel measurable, and $T$ a dense subset of $\Bbb{R}$. Suppose for every $t \in T$ that $$m((A+t)\setminus A)=0,$$ where $m$ is the Lebesgue measure. Then I want to show ...
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0answers
22 views

Defining a measure by positive functional

In big Rudin's book, it constructs the Lebesgue measure by first defining a positive functional, and then using Riesz representation theorem. It arises me to think that if every measure can be ...
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0answers
20 views

If K=P(X) , then λ is a pre outer measure if and only if it is an outer measure. [on hold]

If K=P(X) where K is an algebra, then λ is a pre outer measure if and only if it is an outer measure. Is it enough to prove that all sets in K are measurable? Any suggestions.
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18 views

n-1 dimensionnal Hausdorff measure and codimension 1 measure

I've been told that on a n-dimensionnal Riemannian manifold, the Hausdorff measure of dimension n-1 and the codimension 1 measure $v_{-1}$ (defined below) are mutually absolutely continuous. I've ...
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0answers
55 views

Limit theorems in measure theory

From probability theory/measure theory we know set of theorems such as Monotone convergence, dominated convergence or conditions like uniform integrability which deals with the general question of ...
2
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1answer
33 views

Prove that there are at most a countable amount of $x \in X$ with $\{ x \} \in \mathcal{A}$ so that $\mu(x) > 0$.

Let $(X,\mathcal{A}, \mu)$ be a finite measure space so that $\mu(X) < \infty$ prove that there are at most a countable amount of $x \in X$ with $\{ x \} \in \mathcal{A}$ so that $\mu(\{x\}) ...
0
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1answer
36 views

Continuity of $F(x)=\int_{(-\infty,x]}fd\lambda$

For a homework assignment I was told to prove that given $f\in L^1(\mathbb R)$, the following function is continuous $$F(x)=\int_{(-\infty,x]}fd\lambda.$$ I thought to use DCT and show sequential ...
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1answer
33 views

$λ = f dµ$ and $ρ = g dµ$ for Lebesgue measure $µ$, give necessary and sufficient conditions on $f,g$ for $λ ⊥ ρ$ and $λ << ρ$

Le $f,g : \mathbb{R} → \mathbb{R}$ be extended integrable functions. Let $λ = f dµ$ and $ρ = g dµ$ for Lebesgue measure $µ$. Give necessary and sufficient conditions on $f,g$ for $λ ⊥ ρ$ and necessary ...
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0answers
22 views

How to compute the Lebesgue-Stieltjes measure for given intervals

Let u be a Lebesgue-Stieltjes measure on the Borel σ-algebra. Let Fu be the associated function such that u([a,b)) = Fu(b)−Fu(a). Calculate a) u([a,b]); in terms of the function Fu. b) u((a,b)); in ...
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1answer
31 views

Local Riesz Potential estimate in terms of Maximal Function

For $f \in L^1_{\text{loc}}(\mathbb R^n)$, and fixed $R > 0$ we defined the local Riesz potential by $$I(x) = \int_{B(x,R)} \frac{f(y)}{\lvert x-y \rvert^{n-1}} d\lambda (y), \hspace{1cm} x \in ...
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1answer
35 views

Prove the following integral is asymptotically zero

I have to solve the following exercise. I would appreciate to get a hint for it. Suppose $(\Omega, \mathcal{F}, \mu)$ be a measure space. Let $f$ be an integrable function. Show ...
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1answer
32 views

Showing that $\mu$ is a measure when continuous from above

Statment Let $\mu$ be a set function defined on a $\sigma$ -algebra. Show that $\mu$ is a measure given that $\mu \geq 0$, $\mu(\emptyset)=0$, $\mu$ is continuous from above and countably additive. ...
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0answers
7 views

The $\mu^{*}$ measurable set of Riesz–Markov–Kakutani representation theorem

In the proof of Riesz–Markov–Kakutani representation theorem, we define $\mu^{*}(V)=\mbox{inf}\{\mu(U),V\subset U\}$ where $U$ is open, it is quite obvious that such definition gives an outer measure, ...
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0answers
27 views

For a stopping time $T$, prove that $X^T_t = \mathbb{E}\left[X_T\mid \mathcal{F}_t\right]$

We have a sigma-algebra $\mathcal{F}=\mathcal{F}_{\infty}$, a stopping time $T$ and an integrable random variable $X$ and define a martingale by $X_t = \mathbb{E}[X \mid \mathcal{F}_t], ...
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1answer
13 views

Question about Folland's proof of extension-of-premeasures theorem

Here is an excerpt from Folland's Real Analysis. I don't understand why the calculation $\nu (E)\leq \sum _n \nu (A_n)=\sum _n \mu_0(A_n)$ implies $\nu(E)\leq \mu (E)$. Why is this? The $A_n$ are not ...
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1answer
98 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 $f(r) = \mu(A_r)^{1/n}$ ...
7
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1answer
538 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 = ...
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3answers
5k views

What is the difference between outer measure and Lebesgue measure?

What is the difference between outer measure and Lebesgue measure? We know that there are sets which are not Lebesgue measurable, whereas we know that outer measure is defined for any subset of ...
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0answers
31 views

Categorically deducding measurability of sections

Two lemmas which are often proved in elementary measure theory courses are that sections of measurable sets are measurable, and sections of measurable functions are measurable. Note $E_x= \left\{y\in ...
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1answer
153 views

Convergence of Riemann sums of a periodic function

Short version for people who don't like reading: Let $f\colon\mathbb{R}\to\mathbb{R}$ be $1$-periodic, measurable and bounded. Is it true that, for almost all $x$, the average of $f(x)$, ...
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0answers
17 views

Borel isomorphism between polish spaces

In my lecture on stochastics the following result has been used: For any uncountable Polish space $X$ there is a Borel isomorphism between this space and the real line. I was not able to find a ...
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1answer
29 views

Borel Sigma Algebra generated by (a, b] [on hold]

Let {(a,b]} be a class of sets, where a and b is an element of R, a < b, a can be negative infinity and b can be positive infinity. Let B be the sigma algebra generated by the class. Show that the ...
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2answers
53 views

The intersection of all events in a sequence has probability $\lim \limits _{k \to \infty} P(A_k)$

If a sequence $A_1, A_2, A_3, \dots$ of events is decreasing, show that the intersection of all events in the sequence has probability: $\lim \limits _{k \to \infty} P(A_k)$. I suck at proofs so I am ...
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1answer
17 views

If two functions differ on a set of positive measure, must their essential infima differ, too?

Suppose $f,g : [0,1]^2 \to [0,1]$ are measurable functions differing on a set $P$ of positive Lebesgue measure. Claim: there exists $A, B \subseteq [0,1]$, each of positive measure, such that ...
2
votes
1answer
35 views

Poincare' recurrence theorem in measure theory.

I want to propose a problem, it's a version of Poincare' Recurrence Theorem, it's very similar to another problem proposed in this forum, but a bit different: Another version of the Poincaré ...
4
votes
1answer
37 views

Prove that $\sigma(F)=\Omega$

Let $F=\{A_1,...,A_n\}\subset P(X)$; $F_a=A_1^{a_1}\cap A_2^{a_2}\cap\cdots \cap A_n^{a_n}$ $ a=(a_1,...,a_n)\in \{0,1\}^n$ $$A^{a_i} = \begin{cases} A, & \text{if } a_i=0 \\ A^c, & ...
4
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2answers
381 views

Prove that the set of extreme points in $B$ is equal to an atom

How to prove this? Please help me. Thank you very much. A measurable set $E$ in a measure space $(X, \mathcal{M}, \mu)$ is said to be an atom if $\mu (E) > 0$ and no proper measurable subset of ...