DOCSLIB.ORG

Gaussian Measures in Infinite Dimen- Sion

Total Page：16

File Type：pdf, Size：1020Kb

Download full-text PDF Read full-text
Gaussian Measures in Infinite Dimen- Sion Lecture 2 Gaussian measures in infinite dimen- sion In this lecture, after recalling a few notions about σ-algebras in Banach spaces, we intro- duce Gaussian measures in separable Banach spaces and we prove the Fernique Theorem. This is a powerful tool to get precise estimates on the Gaussian integrals. In most of the course, our framework is an infinite dimensional separable real Banach space that we denote by X, with norm or when there is risk of confusion. The open (resp. k · k k · kX closed) ball with centre x X and radius r>0 will be denoted by B(x, r)(resp. B(x, r)). 2 We denote by X , with norm , the topological dual of X consisting of all linear ⇤ k · kX⇤ continuous functions f : X R. Sometimes, we shall discuss the case of a separable ! Hilbert space in order to highlight some special features. The only example that is not a Banach space is RI (see Lecture 3), but we prefer to describe this as a particular case rather than to present a more general abstract theory. 2.1 σ-algebras in infinite dimensional spaces and characteristic functions In order to present further properties of measures in X, and in particular approximation of measures and functions, it is useful to start with a discussion on the relevant underly- ing σ-algebras. Besides the Borel σ-algebra, to take advantage of the finite dimensional reductions we shall frequently encounter in the sequel, we introduce the σ-algebra E (X) generated by the cylindrical sets, i.e, the sets of the form C = x X :(f (x),...,f (x)) C , 2 1 n 2 0 n o n where f1,...,fn X⇤ and C0 B(R ), called a base of C. According to Definition 2 2 1.1.8, E (X)=E (X, X⇤). The following important result holds. We do not present its most general version, but we do not even confine ourselves to Banach spaces because 13 14 we shall apply it to R1, which is a Fr´echet space. We recall that a Fr´echet space is a complete metrisable locally convex topological vector space, i.e., a vector space endowed with a sequence of seminorms that generate a metrisable topology such that the space is complete. Theorem 2.1.1. If X is a separable Fr´echet space, then E (X)=B(X). Moreover, there is a countable family F X separating the points in X (i.e., such that for every pair of ⇢ ⇤ points x = y X there is f F such that f(x) = f(y)) such that E (X)=E (X, F). 6 2 2 6 Proof. Let (xn)beasequencedenseinX, and denote by (pk) a family of seminorms which defines the topology of X. By the Hahn-Banach theorem for every n and k there is ` X such that p (x )=` (x ) and sup ` (x): p (x) 1 = 1. As a n,k 2 ⇤ k n n,k n { n,k k } consequence, for every x X and k N we have pk(x)=sup `n,k(x) . Therefore, for 2 2 n{ } every r>0 B (x, r):= y X : p (y x) r = y X : ` (y x) r E (X). k { 2 k − } { 2 n,k − } 2 n N \2 As X is separable, there is a countable base of its topology. For instance,we may take the sets Bk(xn,r) with rational r, see [DS1, I.6.2 and I.6.12]. These sets are in E (X), hence the inclusion B(X) E (X) holds. The converse inclusion is trivial. ⇢ To prove the last statement, just take F = `n,k,n,k N . It is obviously a countable { 2 } family; let us show that it separates points. If x = y,thereisk N such that pk(x y)= 6 2 − sup `n,k(x y) > 0 and therefore there isn ¯ N such that `n,k¯ (x y) > 0. n − 2 − In the discussion of the properties of Gaussian measures in Banach spaces, as in Rd, the characteristic functions, defined by µˆ(f):= exp if(x) µ(dx),fX⇤, { } 2 ZX play an important role. The properties of characteristic functions seen in Lecture 1 can be extended to the present context. We discuss in detail only the extension of property (iii) (the injectivity), which is the most important for our purposes. In the following proposi- tion, we use the coincidence criterion for measures agreeing on a system of generators of the σ-algebra, see e.g. [D, Theorem 3.1.10]. Proposition 2.1.2. Let µ1,µ2 be two probability measures on (X, B(X)).Ifµ1 = µ2 then µ1 = µ2. b b Proof. It is enough to show that ifµ ˆ =0thenµ = 0 and in particular, by Theorem 2.1.1, d that µ(C)=0whenC is a cylinder with base C0 B(R ). Let beµ ˆ = 0, consider 21 d F = span f1,...,fd X⇤ and define µF = µ PF− ,wherePF : X R is given by { } ⇢ d ◦ ! PF (x)=(f1(x),...,fd(x)). Then for any ⇠ R 2 µ (⇠)= exp i⇠ y µ (dy)= exp i⇠ P (x) µ(dx)= exp iP ⇤ ⇠(x) µ(dx)=0, F { · } F { · F } { F } ZF ZX ZX b 15 d where P ⇤ : R X⇤ is the adjoint map F ! d PF⇤ (⇠)= ⇠ifi. Xi=1 It follows that µF = 0 and therefore the restriction of µ to the σ-algebra E (X, F)isthe null measure. 2.2 Gaussian measures in infinite dimensional spaces Measure theory in infinite dimensional spaces is far from being a trivial issue, because there is no equivalent of the Lebesgue measure, i.e., there is no nontrivial measure invariant by translations. Proposition 2.2.1. Let X be a separable Hilbert space. If µ : B(X) [0, + ] is a ! 1 σ-additive set function such that: (i) µ(x + B)=µ(B) for every x X, B B(X), 2 2 (ii) µ(B(0,r)) > 0 for every r>0, then µ(A)=+ for every open set A. 1 Proof. Assume that µ satisfies (i) and (ii), and let e be an orthonormal basis in X. { n} For any n N consider the balls Bn with centre 2ren and radius r>0; they are pairwise 2 disjoint and by assumption they have the same measure, say µ(Bn)=m>0 for all n N. 2 Then, 1 1 1 B B(0, 3r)= µ(B(0, 3r)) µ(B )= m =+ , n ⇢ ) ≥ n 1 n=1 n=1 n=1 [ X X hence µ(A)=+ for every open set A. 1 Definition 2.2.2 (Gaussian measures on X). Let X be a Banach space. A probability 1 measure γ on (X, B(X)) is said to be Gaussian if γ f − is a Gaussian measure in R ◦ for every f X .Themeasureγ is called centred (or symmetric) if all the measures 2 ⇤ γ f 1 are centred and it is called nondegenerate if for any f =0the measure γ f 1 is ◦ − 6 ◦ − nondegenerate. Our first task is to give characterisations of Gaussian measures in infinite dimensions in terms of characteristic functions analogous to those seen in Rd, Proposition 1.2.4. Notice that if f X then f Lp(X, γ) for every p 1: indeed, the integral 2 ⇤ 2 ≥ p p 1 f(x) γ(dx)= t (γ f − )(dt) | | | | ◦ ZX ZR 1 is finite because γ f − is Gaussian in R. Therefore, we can give the following definition. ◦ 16 Definition 2.2.3. We define the mean aγ and the covariance Bγ of γ by a (f):= f(x) γ(dx),fX⇤, (2.2.1) γ 2 ZX B (f,g):= [f(x) a (f)] [g(x) a (g)] γ(dx),f,gX⇤. (2.2.2) γ − γ − γ 2 ZX Observe that f a (f) is linear and (f,g) B (f,g) is bilinear in X . Moreover, 7! γ 7! γ ⇤ B (f,f)= f a (f) 2 0 for every f X . γ k − γ kL2(X,γ) ≥ 2 ⇤ Theorem 2.2.4. A Borel probability measure γ on X is Gaussian if and only if its char- acteristic function is given by 1 γˆ(f)=exp ia(f) B(f,f) ,fX⇤, (2.2.3) − 2 2 n o where a is a linear functional on X⇤ and B is a nonnegative symmetric bilinear form on X⇤. Proof. Assume that γ is Gaussian. Let us show thatγ ˆ is given by (2.2.3) with a = aγ and B = Bγ.Indeed,wehave: 1 1 2 γ(f)= exp i⇠ (γ f − )(d⇠)=exp im σ , R { } ◦ − 2 Z n o where m and σ2 areb the mean and the covariance of γ f 1, given by ◦ − 1 m = ⇠(γ f − )(d⇠)= f(x)γ(dx)=a (f), ◦ γ ZR ZX and 2 2 1 2 σ = (⇠ m) (γ f − )(d⇠)= (f(x) a (f)) γ(dx)=B (f,f). − ◦ − γ γ ZR ZX Conversely, let γ be a Borel probability measure on X and assume that (2.2.3) holds. Since a is linear and B is bilinear, we can compute the Fourier transform of γ f 1, for ◦ − f X , as follows: 2 ⇤ 1 1 γ\f (⌧)= exp i⌧t (γ f − )(dt)= exp i⌧f(x) γ(dx) ◦ − { } ◦ { } ZR ZX 1 =exp i⌧a(f) ⌧ 2B(f,f) . − 2 n o According to Remark 1.2.2, γ f 1 = N (a(f),B(f,f)) is Gaussian and we are done. ◦ − Remark 2.2.5.
Load more

Recommended publications
  • Gaussian Measures in Traditional and Not So Traditional Settings
    BULLETIN (New Series) OF THE AMERICAN MATHEMATICAL SOCIETY Volume 33, Number 2, April 1996 GAUSSIAN MEASURES IN TRADITIONAL AND NOT SO TRADITIONAL SETTINGS DANIEL W. STROOCK Abstract. This article is intended to provide non-specialists with an intro- duction to integration theory on pathspace. 0: Introduction § Let Q1 denote the set of rational numbers q [0, 1], and, for a Q1, define the ∈ ∈ translation map τa on Q1 by addition modulo 1: a + b if a + b 1 τab = ≤ for b Q1. a + b 1ifa+b>1 ∈ − Is there a probability measure λQ1 on Q1 which is translation invariant in the sense that 1 λQ1 (Γ) = λQ1 τa− Γ for every a Q1? To answer∈ this question, it is necessary to be precise about what it is that one is seeking. Indeed, the answer will depend on the level of ambition at which the question is asked. For example, if denotes the algebra of subsets Γ Q1 generated by intervals A ⊆ [a, b] 1 q Q1 : a q b Q ≡ ∈ ≤ ≤ for a b from Q1, then it is easy to check that there is a unique, finitely additive way to≤ define λ on .Infact, Q1 A λ 1 [a, b] 1 = b a, for a b from Q1. Q Q − ≤ On the other hand, if one is more ambitious and asks for a countably additive λQ1 on the σ-algebra generated by (equivalently, all subsets of Q1), then one is asking A for too much. In fact, since λQ1 ( q ) = 0 for every q Q1, countable additivity forces { } ∈ λ 1 (Q1)= λ 1 q =0, Q Q { } q 1 X∈Q which is obviously irreconcilable with λQ1 (Q1) = 1.
    [Show full text]
  • Infinite Dimension
    Tel Aviv University, 2006 Gaussian random vectors 10 2 Basic notions: infinite dimension 2a Random elements of measurable spaces: formu- lations ......................... 10 2b Random elements of measurable spaces: proofs, andmorefacts .................... 14 2c Randomvectors ................... 17 2d Gaussian random vectors . 20 2e Gaussian conditioning . 24 foreword Up to isomorphism, we have for each n only one n-dimensional Gaussian measure (like a Euclidean space). What about only one infinite-dimensional Gaussian measure (like a Hilbert space)? Probability in infinite-dimensional spaces is usually overloaded with topo- logical technicalities; spaces are required to be Hilbert or Banach or locally convex (or not), separable (or not), complete (or not) etc. A fuss! We need measurability, not continuity; a σ-field, not a topology. This is the way to a single infinite-dimensional Gaussian measure (up to isomorphism). Naturally, the infinite-dimensional case is more technical than finite- dimensional. The crucial technique is compactness. Back to topology? Not quite so. The art is, to borrow compactness without paying dearly to topol- ogy. Look, how to do it. 2a Random elements of measurable spaces: formulations Before turning to Gaussian measures on infinite-dimensional spaces we need some more general theory. First, recall that ∗ a measurable space (in other words, Borel space) is a set S endowed with a σ-field B; ∗ B ⊂ 2S is a σ-field (in other words, σ-algebra, or tribe) if it is closed under finite and countable operations (union, intersection and comple- ment); ∗ a collection closed under finite operations is called a (Boolean) algebra (of sets); Tel Aviv University, 2006 Gaussian random vectors 11 ∗ the σ-field σ(C) generated by a given set C ⊂ 2S is the least σ-field that contains C; the algebra α(C) generated by C is defined similarly; ∗ a measurable map from (S1, B1) to (S2, B2) is f : S1 → S2 such that −1 f (B) ∈ B1 for all B ∈ B2.
    [Show full text]
  • Probability Measures on Infinite-Dimensional Stiefel Manifolds
    JOURNAL OF GEOMETRIC MECHANICS doi:10.3934/jgm.2017012 ©American Institute of Mathematical Sciences Volume 9, Number 3, September 2017 pp. 291–316 PROBABILITY MEASURES ON INFINITE-DIMENSIONAL STIEFEL MANIFOLDS Eleonora Bardelli‡ Microsoft Deutschland GmbH, Germany Andrea Carlo Giuseppe Mennucci∗ Scuola Normale Superiore Piazza dei Cavalieri 7, 56126, Pisa, Italia Abstract. An interest in infinite-dimensional manifolds has recently appeared in Shape Theory. An example is the Stiefel manifold, that has been proposed as a model for the space of immersed curves in the plane. It may be useful to define probabilities on such manifolds. Suppose that H is an infinite-dimensional separable Hilbert space. Let S ⊂ H be the sphere, p ∈ S. Let µ be the push forward of a Gaussian measure γ from TpS onto S using the exponential map. Let v ∈ TpS be a Cameron–Martin vector for γ; let R be a rotation of S in the direction v, and ν = R#µ be the rotated measure. Then µ, ν are mutually singular. This is counterintuitive, since the translation of a Gaussian measure in a Cameron– Martin direction produces equivalent measures. Let γ be a Gaussian measure on H; then there exists a smooth closed manifold M ⊂ H such that the projection of H to the nearest point on M is not well defined for points in a set of positive γ measure. Instead it is possible to project a Gaussian measure to a Stiefel manifold to define a probability. 1. Introduction. Probability theory has been widely studied for almost four cen- turies. Large corpuses have been written on the theoretical aspects.
    [Show full text]
  • On Abstract Wiener Measure*
    Balram S. Rajput Nagoya Math. J. Vol. 46 (1972), 155-160 ON ABSTRACT WIENER MEASURE* BALRAM S. RAJPUT 1. Introduction. In a recent paper, Sato [6] has shown that for every Gaussian measure μ on a real separable or reflexive Banach space {X, || ||) there exists a separable closed sub-space I of I such that μ{X) = 1 and μ% == μjX is the σ-extension of the canonical Gaussian cylinder measure μ^ of a real separable Hubert space <%f such that the norm ||-||^ = || \\/X is contiunous on g? and g? is dense in X. The main purpose of this note is to prove that ll llx is measurable (and not merely continuous) on Jgf. From this and the Sato's result mentioned above, it follows that a Gaussian measure μ on a real separable or reflexive Banach space X has a restriction μx on a closed separable sub-space X of X, which is an abstract Wiener measure. Gross [5] has shown that every measurable norm on a real separ- able Hubert space <%f is admissible and continuous on Sίf We show con- versely that any continuous admissible norm on J£? is measurable. This result follows as a corollary to our main result mentioned above. We are indebted to Professor Sato and a referee who informed us about reference [2], where, among others, more general results than those included here are proved. Finally we thank Professor Feldman who supplied us with a pre-print of [2].* We will assume that the reader is familiar with the notions of Gaussian measures and Gaussian cylinder measures on Banach spaces.
    [Show full text]
  • Change of Variables in Infinite-Dimensional Space
    Change of variables in infinite-dimensional space Denis Bell Denis Bell Change of variables in infinite-dimensional space Change of variables formula in R Let φ be a continuously differentiable function on [a; b] and f an integrable function. Then Z φ(b) Z b f (y)dy = f (φ(x))φ0(x)dx: φ(a) a Denis Bell Change of variables in infinite-dimensional space Higher dimensional version Let φ : B 7! φ(B) be a diffeomorphism between open subsets of Rn. Then the change of variables theorem reads Z Z f (y)dy = (f ◦ φ)(x)Jφ(x)dx: φ(B) B where @φj Jφ = det @xi is the Jacobian of the transformation φ. Denis Bell Change of variables in infinite-dimensional space Set f ≡ 1 in the change of variables formula. Then Z Z dy = Jφ(x)dx φ(B) B i.e. Z λ(φ(B)) = Jφ(x)dx: B where λ denotes the Lebesgue measure (volume). Denis Bell Change of variables in infinite-dimensional space Version for Gaussian measure in Rn − 1 jjxjj2 Take f (x) = e 2 in the change of variables formula and write φ(x) = x + K(x). Then we obtain Z Z − 1 jjyjj2 <K(x);x>− 1 jK(x)j2 − 1 jjxjj2 e 2 dy = e 2 Jφ(x)e 2 dx: φ(B) B − 1 jxj2 So, denoting by γ the Gaussian measure dγ = e 2 dx, we have Z <K(x);x>− 1 jjKx)jj2 γ(φ(B)) = e 2 Jφ(x)dγ: B Denis Bell Change of variables in infinite-dimensional space Infinite-dimesnsions There is no analogue of the Lebesgue measure in an infinite-dimensional vector space.
    [Show full text]
  • Graduate Research Statement
    Research Statement Irina Holmes October 2013 My current research interests lie in infinite-dimensional analysis and geometry, probability and statistics, and machine learning. The main focus of my graduate studies has been the development of the Gaussian Radon transform for Banach spaces, an infinite-dimensional generalization of the classical Radon transform. This transform and some of its properties are discussed in Sections 2 and 3.1 below. Most recently, I have been studying applications of the Gaussian Radon transform to machine learning, an aspect discussed in Section 4. 1 Background The Radon transform was first developed by Johann Radon in 1917. For a function f : Rn ! R the Radon transform is the function Rf defined on the set of all hyperplanes P in n given by: R Z Rf(P ) def= f dx; P where, for every P , integration is with respect to Lebesgue measure on P . If we think of the hyperplane P as a \ray" shooting through the support of f, the in- tegral of f over P can be viewed as a way to measure the changes in the \density" of P f as the ray passes through it. In other words, Rf may be used to reconstruct the f(x, y) density of an n-dimensional object from its (n − 1)-dimensional cross-sections in differ- ent directions. Through this line of think- ing, the Radon transform became the math- ematical background for medical CT scans, tomography and other image reconstruction applications. Besides the intrinsic mathematical and Figure 1: The Radon Transform theoretical value, a practical motivation for our work is the ability to obtain information about a function defined on an infinite-dimensional space from its conditional expectations.
    [Show full text]
  • Absolute Continuity of Gaussian Measures Under Certain Gauge Transformations
    ABSOLUTE CONTINUITY OF GAUSSIAN MEASURES UNDER CERTAIN GAUGE TRANSFORMATIONS ANDREA R. NAHMOD1, LUC REY-BELLET2, SCOTT SHEFFIELD3, AND GIGLIOLA STAFFILANI4 ABSTRACT. We prove absolute continuity of Gaussian measures associated to complex Brownian bridges under certain gauge transformations. As an application we prove that the invariant measure obtained by Nahmod, Oh, Rey-Bellet and Staffilani in [20], and with respect to which they proved that the periodic derivative nonlinear Schrodinger¨ equa- tion Cauchy initial value problem is almost surely globally well-posed, coincides with the weighted Wiener measure constructed by Thomann and Tzvetkov [24]. Thus, in particular we prove the invariance of the measure constructed in [24]. 1. INTRODUCTION This note is a continuation of the paper [20]. There we construct an invariant weighted Wiener measure associated to the periodic derivative nonlinear Schrodinger¨ equation (DNLS) (2.1) in one dimension and establish global well-posedness for data living in its support. In particular almost surely for data in a certain Fourier-Lebesgue space scaling 1 − like H 2 (T); for small > 0. Roughly speaking, this is achieved by introducing a gauge transformation G (2.12) and considering the gauged DNLS equation (GDNLS) (2.13) in or- der to obtain the necessary estimates. We then constructed an invariant weighted Wiener measure µ, which we proved to be invariant under the flow of the GDNLS, and used it to show the almost surely global well-posedness for the GDNLS initial value problem. To go back to the original DNLS equation we applied the inverse gauge transformation G−1 and obtained a new invariant measure µ ◦ G =: γ with respect to which almost surely global well-posedness was then proved for the DNLS Cauchy initial value problem5.
    [Show full text]
  • Equivalent Gaussian Measure Whose R-N Derivative Is the Exponential of a Diagonal Form
    View metadata, citation and similar papers at core.ac.uk brought to you by CORE provided by Elsevier - Publisher Connector JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS 81, 219-233 (1981) Equivalent Gaussian Measure Whose R-N Derivative Is the Exponential of a Diagonal Form DONG M. CHUNG AND BALRAM S. RAJPUT University of Tennessee, Knoxville, Tennessee 37916 Submitted by A. Ramakrishnan A simple necessary and sufficient condition, on a trace-class kernel K, is given in order to demonstrate the existence of a measurable (relative to the completed product u-algebra) Gaussian process with covariance K. Using this result, sufficient conditions are given on the means and the covariances (relative to two equivalent (-) Gaussian measures P and PA) of a process X so that the Radon-Nikodym (R-N) derivative dp,/dP is the exponential of the diagonal form in X. Analogues of the last two results in the setup of Hilbert space are also proved. 1. INTRODUCTION Let (T, 6, v) be an arbitrary a-finite measure space and K a trace-class kernel on T x T. We give a simple necessary and sufficient condition on K for the existence of a measurable (relative to the completed product u- algebra) Gaussian process with covariance K (Theorem 1). Assume that K satisfies the condition of the above theorem, so that there exists a measurable Gaussian process X on a probability space (O,.F, P) with covariance K. Assume, further, that the mean 8 of X belongs to J&(V); then we, explicitly, evaluate Jo JT exp( l/21 If(t)]* X*(t, 0) v(df)} P(do), where 1 is a certain number and f is a certain measurable function (Theorem 2, Corollary 2).
    [Show full text]
  • The Canonical Gaussian Measure On
    R The Canonical Gaussian Measure on 1. Introduction The mainP goalR of this course> is to study “Gaussian measures.” TheP sim- plest example of a Gaussian measure is the canonical Gaussian mea- sure on where 1 is an arbitrary integer. The measure is P R one of the main objects of study in this course, and is defined as (A) := A γ () d for all Borel sets A ⊆ R 2 gamma_n where − /2 e γ () := /2 [ ∈ ] (1.1)> (2π) 1 The function γ describes the famous “bell curve.”P In dimensions 1, 1 the curve of γ looks like a suitable “rotation” of the curve of>γ . We frequently drop the subscript Pfrom when it is clear which dimension we areP in. We also choose and fix the integer 1, tacitly, consider the probability spaceR (Ω ) whereR we have dropped the subscript from [as we will some times], and set Ω:= and := ( ) R 6 6 Z Throughout we designate by Z the random vector, Z () := for all ∈ and 1 (1.2) 3 R 4 1. The Canonical Gaussian Measure on 1 Then Z := (PZ ZP ) is a random vector of i.i.d. standardR normal random variables on our probability space. In particular, P (A)= {Z ∈ A} for all Borel sets A ⊆ . One of the elementary, though important, properties of the measure lem:tails is that its “tails” are vanishingly small. P R Lemma 1.1. As →∞, 2 2+(1) −2 − /2 { ∈ : >} = /2 e 2 Γ(/2) S_n Proof. Since 2 2 S := Z = Z (1.3) =1 2 P R P has a χ distribution, ∞ 2 (−2)/2 −/2 1 2 { ∈> : >} = {S > } = /2 e d⇤ 2 Γ(/2) for all 0.
    [Show full text]
  • Tropical Gaussians: a Brief Survey 3
    TROPICAL GAUSSIANS: A BRIEF SURVEY NGOC MAI TRAN Abstract. We review the existing analogues of the Gaussian measure in the tropical semir- ing and outline various research directions. 1. Introduction Tropical mathematics has found many applications in both pure and applied areas, as documented by a growing number of monographs on its interactions with various other ar- eas of mathematics: algebraic geometry [BP16, Gro11, Huh16, MS15], discrete event systems [BCOQ92, But10], large deviations and calculus of variations [KM97, Puh01], and combinato- rial optimization [Jos14]. At the same time, new applications are emerging in phylogenetics [LMY18, YZZ19, PYZ20], statistics [Hoo17], economics [BK19, CT16, EVDD04, GMS13, Jos17, Shi15, Tra13, TY19], game theory, and complexity theory [ABGJ18, AGG12]. There is a growing need for a systematic study of probability distributions in tropical settings. Over the classical algebra, the Gaussian measure is arguably the most important distribution to both theoretical probability and applied statistics. In this work, we review the existing analogues of the Gaussian measure in the tropical semiring. We focus on the three main characterizations of the classical Gaussians central to statistics: invariance under orthonor- mal transformations, independence and orthogonality, and stability. We show that some notions do not yield satisfactory generalizations, others yield the classical geometric or ex- ponential distributions, while yet others yield completely different distributions. There is no single notion of a ‘tropical Gaussian measure’ that would satisfy multiple tropical analogues of the different characterizations of the classical Gaussians. This is somewhat expected, for the interaction between geometry and algebra over the tropical semiring is rather different from that over R.
    [Show full text]
  • Transformation of Gaussian Measures Annales Mathématiques Blaise Pascal, Tome S3 (1996), P
    ANNALES MATHÉMATIQUES BLAISE PASCAL ALBERT BADRIKIAN Transformation of gaussian measures Annales mathématiques Blaise Pascal, tome S3 (1996), p. 13-58 <http://www.numdam.org/item?id=AMBP_1996__S3__13_0> © Annales mathématiques Blaise Pascal, 1996, tous droits réservés. L’accès aux archives de la revue « Annales mathématiques Blaise Pascal » (http:// math.univ-bpclermont.fr/ambp/) implique l’accord avec les conditions générales d’utilisation (http://www.numdam.org/conditions). Toute utilisation commerciale ou impression systématique est constitutive d’une infraction pénale. Toute copie ou impression de ce fichier doit contenir la présente mention de copyright. Article numérisé dans le cadre du programme Numérisation de documents anciens mathématiques http://www.numdam.org/ Transformation of Gaussian measures 15 Introduction We shall be, in our lecture, mainly concerned by some particular cases of the following problem : Let (X, F, ) be a measure space and T : X ~ X measurable. We denote by T( ) or o T-1 the image of p by T : T(p) (A) = /. o (A) _ ~ VA When does T(p) G ~. and how to compute the density? Example 1 : Let X = IRn, = An (the Lebesgue measure) and T : X ~ X a diffeomor- phism. Then from the formula f = ~ f(y)dy, . we conclude that T(03BBn) is absolutely continuous with respect to an and (dy) = |det T’(T-1y)|-1dy = !det (T-1)’(y)|dy. Example 2 : Let (SZ,.~’,P) be the classical Wiener space, Q = Go((0,1~),.~ the Borel 03C3-field, P the Wiener measure. Let u :: [0, Ij x S2 -j IR, be a measurable and adapted stochastic process such that / oo almost surely, and let T : 03A9 ~ Q be defined by : = wt + / ds.
    [Show full text]
  • 20. Gaussian Measures
    Tutorial 20: Gaussian Measures 1 20. Gaussian Measures Mn(R)isthesetofalln × n-matrices with real entries, n ≥ 1. Definition 141 AmatrixM 2Mn(R) is said to be symmetric, if and only if M = M t. M is orthogonal,ifandonlyifM is non-singular and M −1 = M t.IfM is symmetric, we say that M is non-negative, if and only if: 8u 2 Rn ; hu; Mui≥0 Theorem 131 Let Σ 2Mn(R), n ≥ 1, be a symmetric and non- + negative real matrix. There exist λ1;:::,λn 2 R and P 2Mn(R) orthogonal matrix, such that: 0 1 λ1 0 B . C t Σ=P: @ .. A :P 0 λn t In particular, there exists A 2Mn(R) such that Σ=A:A . www.probability.net Tutorial 20: Gaussian Measures 2 As a rare exception, theorem (131) is given without proof. Exercise 1. Given n ≥ 1andM 2Mn(R), show that we have: 8u; v 2 Rn ; hu; Mvi = hM tu; vi n Exercise 2. Let n ≥ 1andm 2 R .LetΣ2Mn(R) be a symmetric and non-negative matrix. Let µ be the probability measure on R: 1 Z 1 −x2=2 8B 2B(R) ,µ1(B)=p e dx 2π B n Let µ = µ1 ⊗:::⊗µ1 be the product measure on R .LetA 2Mn(R) be such that Σ = A:At.Wedefinethemapφ : Rn ! Rn by: 4 8x 2 Rn ,φ(x) = Ax + m 1. Show that µ is a probability measure on (Rn; B(Rn)). 2. Explain why the image measure P = φ(µ) is well-defined. 3. Show that P is a probability measure on (Rn; B(Rn)).
    [Show full text]