All Questions
Tagged with fa.functional-analysis pr.probability
215
questions with no upvoted or accepted answers
15
votes
0
answers
472
views
Quantitative Skorokhod embedding
The Skorokhod embedding theorem says that any random variable $X$ with $\mathbb E X=0$ and $\mathbb E[X^2]<\infty $ can be written as $X=B_{\tau }$ where $B$ is a Brownian motion and $\tau $ is a ...
- 723
14
votes
0
answers
710
views
Lower bounds on analytic functions connected to Fox H
The question is related to the one I asked before and never got an answer to. Fourier transform of $f_a(x)= a^{-2}\exp(-|x|^a)$, $a \in (0,2)$, is decreasing in $a$ . I need to demonstrate that the ...
- 168
12
votes
0
answers
196
views
UMD constant of finite dimensional spaces
For a Banach space $B$, its one-sided Unconditional Martingale Difference (UMD) constant $C^-_p$ (for $p \in (1,\infty)$) is the smallest value such that for all $B$-valued martingale difference ...
- 408
11
votes
0
answers
592
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High-dimensional geometry: Top-down Vs. Bottom-up
There are several ways to leverage one's intuition from low-dimensional geometry to understand high-dimensional phenomena. For example, one can get a clearer picture of the behaviour of high-...
- 1,646
9
votes
0
answers
298
views
Convergence in $L^2$ of iterated expectations
Take a probability space $(\Omega,\mathcal{F},\mathbf{P})$ and random variable $X \in L^2(\Omega,\mathcal{F},\mathbf{P})$.
Define the iterated expectations of X as follows: $X_0 = X$, and, ...
- 1,058
8
votes
0
answers
177
views
Distribution domination for sums of independent random variables in Banach spaces
Let $X$ be a Banach space and let $(\xi_n)$ and $(\eta_n)$ be independent mean-zero random variables with values in $X$ satisfying
$$
\sum_n \mathbb P(\xi_n \in A) \leq \sum_n \mathbb P(\eta_n \in A),
...
- 131
8
votes
0
answers
207
views
Superharmonic functions and amenability
Let $G$ be a group generated by a finite set $S$. Let $P$ be a Markov operator defined by the uniform measure on $S$. A function is superharmonic if $Pf\leq f$.
Assume that there is a set of non-...
- 4,695
7
votes
0
answers
517
views
Counter-example to the completeness of the Wasserstein metric
$\newcommand{\P}{\mathcal{P}}$
Let $(E,d)$ be a complete metric space, let $\P(E)$ be the set of all probability measures on $(E,\mathcal{B}(E))$. Let $W_d$ be the $1$-Wasserstein (Kantorovich) ...
- 931
7
votes
0
answers
3k
views
What is vague convergence and what does it accomplish?
For convenience, let's say that I have a locally compact Hausdorff space $X$ and am concerned with probability measures on its Borel $\sigma$-algebra $\mathcal{B}(X)$. Natural vector spaces to ...
- 993
7
votes
0
answers
291
views
Generalized Skorokhod spaces
Skorokhod spaces of càdlàg functions are an extremely useful setting to describe stochastic processes. I'd like to understand the Skorokhod topology from a pure topological point of view, without ...
- 8,422
6
votes
0
answers
386
views
Closedness of a set of measures, where conditional marginals are in closed $\varepsilon$-ball w.r.t. Wasserstein distance
Let $(E,d)$ be a bounded polish space (separable, complete metric space satisfying $\sup_{x,y\in E} d(x,y) < \infty$). By $\mathcal{P}(E)$ we denote the space of Borel probability measures on $E$ ...
- 1,095
6
votes
0
answers
268
views
Covariance operator analogue for manifolds and respective measure manifolds
Assume $E$ is a connected riemannian manifold with geodesic metric space structure given by $d$ and $P$ is a probability measure over $E$ with Borel sigma-algebra given by this metric structure. Also ...
- 519
6
votes
0
answers
188
views
Pettis Integrability and Laws of Large Numbers
Let $(\Omega, \mathcal F, \mathbb P)$ be a probability space, and let $V$ be a topological vector space with a dual space that separates points. Let $v_n : \Omega \to V$ be a sequence of Pettis ...
- 8,422
6
votes
0
answers
260
views
Given that a conditional measure is Gaussian, how bad can the original measure be?
Let $X$ and $Y$ be Banach spaces, and let $\varphi : X \to Y$ be a continuous linear map. Suppose that $\mathbb P$ is a probability measure on $X$ which satisfies the continuous disintegration ...
- 8,422
6
votes
0
answers
408
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Birth-Death Process associated with Orthogonal Polynomials
I have read in various places the following objects are related:
orthogonal polynomials
birth-death processes
Lattice paths
continued fractions
After a lot of searching online, I found sketches ...
- 22.7k