All Questions
Tagged with fa.functional-analysis pr.probability
596
questions
3
votes
1
answer
1k
views
Borel-Cantelli lemma for general measure spaces (those with infinite measure)
The Borel-Cantelli lemma is often stated for a probability space or spaces with finite measure.
But it seems to me that it still holds if the space $X$ is of infinite measure. I seem to be able to ...
1
vote
1
answer
304
views
Hölder continuity of Radon transform of smooth function
Given an integrable function (e.g a probability density function) $f:\mathbb R^n \to \mathbb R$, let $R[f]$ be its Radon transform defined by
$$
R[f](w,b) := \int_{\mathbb R^n} \delta(x^\top w - b)f(x)...
1
vote
1
answer
162
views
Mean of probability distribution
I have a probability distribution defined by the following density function:
$f(k,j,n,m)=\frac{(m n)! \mathcal{S}_k^{(j)}}{(m n)^k (m n-j)!}$ (With $\mathcal{S}_k^{(j)}$ being the Stirling number of ...
-1
votes
2
answers
144
views
$p$-norm of random variables and weighted $L^p$ space resemblance
I noticed a very similar relationship between weighted $L^p$ space (denoted $L_w^p$) and normed vector space of random variables. I want to unify these two spaces but there always seems to be a ...
5
votes
1
answer
718
views
Question/References on the Skorokhod M1 topology
Let $D(0,T)$ be the space of right continuous functions with left limits defined on $[0,T]$. Consider the Skorokhod M1 topology on $D(0,T)$, see e.g. S. Ledger, Skorokhod’s M1 topology for ...
5
votes
1
answer
285
views
Looking for a counterexample: Conditioning increases regularity?
Let $p(x,y,z)$ be a joint density (over $\mathbb{R}^3$) under no smoothness or regularity assumptions, besides its existence. I am looking for a (counter)example where $p(y|x)$ is less regular than $p(...
4
votes
0
answers
199
views
Book recommendation in functional analysis and probability
I am interested by functional analysis and probability. I would like to know if you have any books that deal with these two subjects (at a graduate level) to recommend?
I'm looking for a book that has ...
2
votes
0
answers
88
views
Dependence and $L^2$ projections of functions
tl;dr: Is it possible that the best approximation to a nonnegative function of three variables with a bivariate function is no better than the best univariate function?
Let $w$ be a density on $\...
2
votes
0
answers
81
views
Holder-Besov space and time continuity
Let $\mathbb{T}^d$ be the $d$-dimensional torus, $\mathscr{S}:=C^\infty(\mathbb{T}^d)$ the Schwartz space, $\mathscr{S}'$ the space of tempered distributions.
We consider a dyadic partition of unity $(...
1
vote
0
answers
45
views
Gaussian Hypercontractivity of Chaos based on Gaussian with value in Hilbert spaces?
The classical Gaussian hypercontractivity is stated as following: Suppose $\xi$ is a Gaussian variable and $H_n(\xi)$ is the space of n-th homogeneous Wiener chaos constructed from $\xi$, then for any ...
4
votes
2
answers
330
views
Injectivity of a convolution operator
Let $p,\mu,\nu$ be probability density functions on
$\mathbb{R}$ such that
$$
\int_{\mathbb{R}}p(y-x) \nu(y) \, dy=\mu(x).
$$ Now, consider the operator $T:L^2(\mu)\to L^2(\nu)$ such that $$ Tf=f*p.$$ ...
3
votes
0
answers
74
views
Continuity of disintegrations in non locally compact spaces
Let $X$ and $Y$ be Radon spaces, $\mu$ a Borel probability measure on $X$, $F\colon X\to Y$ measurable. Then the disintegration theorem gives us a disintegration $\{\mu^y\}_{y\in Y}$ of $\mu$ with ...
2
votes
0
answers
61
views
References for a class of Banach space-valued Gaussian processes
Let $E$ be a separable Banach space, consider a centered $E$-valued Gaussian process $\{x_t,t\ge 0\}$ that satisfies
\begin{equation}
\mathbb{E}\phi(x_s)\psi(x_t)=R(s,t)K(\phi,\psi),\quad \phi,\psi\in ...
1
vote
0
answers
57
views
embedding spaces of probability measures to function spaces
Let $X, Y$ be Banach spaces. I'm considering a bounded linear functional $g:X\to Y$ and its lift $g_\sharp: \mathcal{P}(X)\to \mathcal{P}(Y)$.
I want to consider the inverse of $g_\sharp$ in some ...
16
votes
2
answers
5k
views
Positive-Definite Functions and Fourier Transforms
Bochner's theorem states that a positive definite function is the Fourier transform of a finite Borel measure. As well, an easy converse of this is that a Fourier transform must be positive definite.
...