An Introduction to Measure Theory and Probability

Luigi Ambrosio, Giuseppe Da Prato, Andrea Mennucci, An Introduction to Measure Theory and Probability.

Chapter 1 Measure spaces

Index:

• ring/algebras P2
• $\sigma$-algebras P3
• Borel $\sigma$-algebras P3
• $\sigma$-additive P4
• $(X,\mathcal{E},\mu )$ P7
• finite, $\sigma$-finite P7
• ${\mathcal{E}}_{\mu }$, $\mu -$completion P8
• $\pi -$systems P9
• Dynkin-systems P10
• Outer measure P11
• S : = { ( a , b ] : a < b ∈ R } \mathscr{S}:=\{(a,b]:a<b \in \mathbb{R}\} S:={(a,b]:a<b∈R} P12
• Lebesgue measure $\lambda$ P12

P9页的Caratheodory定理是在环$\mathcal{E}$的基础上建立的(实际上半环足以), 通过半环生成$\sigma$域(通过$\sigma (\mathcal{K})=\mathcal{D}(\mathcal{K})$). 通过$\mathcal{E}$构建可测集域(外测度, 扩张), 由于$\sigma (\mathcal{E})$也是可测集, 所以满足所需的可加性. 当定义在$\mathcal{E}$的测度$\mu$是$\sigma$有限的时候(或者存在一个分割), 这个扩张是唯一的.

Chapter 2 Integration

Index:

• Inverse image ${\phi }^{-1}(I)$ P23
• $(\mathcal{E},\mathcal{F})$-measureable P23
• canonical representation of $\phi$ P25
  φ ( x ) = ∑ k − 1 n a k 1 A k , A k = φ − 1 ( { a k } ) . \varphi(x)=\sum_{k-1}^n a_k 1_{A_k}, A_k = \varphi^{-1}(\{a_k\}). φ(x)=k−1∑n​ak​1Ak​​,Ak​=φ−1({ak​}).
• repartition function P28
• archimedean integral P30
• $\mu$-integrable P32
• $\mu$-uniformly integrable P37

什么是可测函数, 以及什么是$\mathcal{E}$-可测函数是很重要的 (P24).
什么是$\mu$-integrable也是很重要的(在$\mathcal{E}$-可测函数定义的).
不同于我看到的一般的积分的定义, 这一节是从 repartition function 和 archimedean integral入手的, 特别是
∫ X φ d μ : = ∫ 0 ∞ μ ( { φ > t } ) d t , \int_X \varphi d\mu := \int_{0}^{\infty} \mu(\{\varphi > t\}) \mathrm{d}t, ∫X​φdμ:=∫0∞​μ({φ>t})dt,
的定义式非常之有趣.

Chapter 3 Spaces of integrable functions

Index:

• $L^p$,${\mathcal{L}}^p$ P44
• equivalence class $\tilde{\phi }$
• Legendre transform P45
• $\mu$-essentially bounded P45
• Jensen inequality P45
• $C_b$ P54

首先需要注意的是, $L^p$空间是定义在$\mu$-integrable上的, 所以其针对值域为$(\mathbb{R},\mathcal{B}(\mathbb{R}))$.

Chapter 4 Hilbert spaces

Index:

• Orthonormal system P63
• Complete orthonormal system P64
• Separable P64
• pre-Hilbert space P57
• Hilbert space (complete) P58

投影定理, 子空间或者凸闭集(条件和结论需要调整).

Chapter 5 Fourier series

Index:

• “Heaviside” function P71
• totally convergent P75

Chapter 6 Operations on measures

Index:

• Measureable rectangle P79
• sections, $E_x,E^y$ P79
• dimensional constant $w_n={\mathcal{L}}^n(B(0,1))$ p83
• $\delta$-box P84
• cylindrical set P86
• concentrated set P92
• singular measures P92
• total variation P97
• stieltjes integral P103
• weak convergence P103
• Tightness of measures P104
• Fourier transform P108

这一章很重要!

Part1: Fubini-Tonelli

Part2: Lebesgue分解定理P92

Part3: Signed measures

Part4: $F(x):=\mu ((-\infty ,x])$, P102, 弱收敛 ${\lim }_{h\to \infty }{\mu }_h(-\infty ,x]=\mu ((-\infty ,x])$ (除去可数多个点)

Part5: Fourier transform, 以及测度的Fourier transform (后面概率的表示函数有用), Levy定理P112.

Chapter 7 The fundamental theorem of the integral calculus

Index:

• density points, rarefaction points P121
• Heaviside function P121
• Cantor-Vitali function P121
• total variation P116

$$f(x)=f(a)+{\int }_a^{x}g(t)\mathrm{d}t,$$
$$\underset{r\downarrow 0}{\lim }\frac{1}{{\omega }_n{r}^n}{\int }_{B_r(x)}|f(y)-f(x)|\mathrm{d}y=0.$$

Chapter 8 Measurable transformations

Index:

• differential P123
• Jacobian determinant P125
• diffeomorphism P125
• critical set $C_F$ P125

$$F_{\#}\mu (I):=\mu (F^{-1}(I))$$

有一个问题就是，我看其理论都是限制在非负函数上的, 但是个人感觉直接推广到可测函数上.
需要用到逆函数定理, 很有意思.

$${\int }_{F(U)}\phi (y)\mathrm{d}y={\int }_U\phi (F(x))|JF|(x)\mathrm{d}x.$$

Chapter 9 General concepts of Probability

Index:

• elementary event P131
• laws P131
• Random variable P133
• binomial law P138
• Characteristic function P139

注意:
$${\mathbb{E}}_{\mathbb{P}}(X):={\int }_{\Omega }X(\omega )\mathrm{d}\mathbb{P}(\omega ),$$
是限制在$\mathbb{P}$-integrable之上的.

Chapter 10 Conditional probability and independece

Index:

• Independece of two families P147
• $\sigma$-algebra generated by a random variable P147
• Independence of two random variables P147
• Independence of familes ${\mathcal{A}}_i$ P149
• σ ( X ) : = { { X ∈ A } : A ∈ E } \sigma(X):= \{\{X \in A\}:A \in \mathscr{E}\} σ(X):={{X∈A}:A∈E} P149
• σ ( { X } i ∈ I ) \sigma(\{X\}_{i \in I}) σ({X}i∈I​) P152
• independent and identically distributed P155

由条件概率衍生到独立性, 随机变量的独立性有几个等价条件P147, P150.
需要区分联合分布的概率和$\mu \times v$的区别 (当独立时才等价).

Chapter 11 Convergence of random variables

测度	概率
一致收敛	一致收敛
几乎一致收敛	几乎一致收敛
几乎处处收敛	几乎处处收敛
依测度收敛	依概率收敛
$L^p$收敛	${\lim }_{n\to \infty }\mathbb{E}(\cdot {)}^p=0$
弱收敛	依分布收敛

(几乎)一致收敛可以得到几乎处处和依测度收敛.
几乎处处在测度有限的情况下可以推几乎一致收敛, 从而得到依测度收敛.
依测度收敛必存在一个几乎处出收敛的子列.
$L^p$收敛一定能够有依测度收敛.

特别地, 依概率收敛有依分布收敛, 只有当依分布收敛到常数$c$的时候, 才能推依概率收敛到$c$(对应的有限测度).

Chapter 12 Sequences of independent variables

Index:

• terminal $\sigma$-algerba ${\cap }_n{\mathcal{B}}_n$ P172
• empirical distribution function P180

Kolmogorov’s dichotomy P173 很有趣.

大数定律再到中心极限定理.

Chapter 13 Stationary sequences and elements of ergodic theory

Index:

• stationary sequences P186
• measure-preserving transformation P188
• T-invariant P189
• Ergodic maps P189
• conjugate maps P190

平稳序列的定义需要注意, 另外一些理论有趣却渐渐脱离了掌控, 有点摸不着头脑.