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| − | '''Measure algebra''' may refer to:
| + | <ref> [http://hea-www.harvard.edu/AstroStat http://hea-www.harvard.edu/AstroStat]; <nowiki> http://www.incagroup.org </nowiki>; <nowiki> http://astrostatistics.psu.edu </nowiki> </ref> |
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| − | * algebra of measures on a topological group with the operation of convolution; see [[measure algebra (harmonic analysis)]];
| + | ====Notes==== |
| − | * normed Boolean algebra, either in general or consisting of equivalence classes of measurable sets; see [[measure algebra (measure theory)]].
| + | <references /> |
| − | --------------
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| | + | ------------------------------------------- |
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| − | ''Also: Lebesgue-Rokhlin space''
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| − | {{MSC.|28Axx|28A50,60A10}} | + | {| |
| − | | + | | A || B || C |
| − | [[:Category:Classical measure theory]]
| + | |- |
| | + | | X || Y || Z |
| | + | |} |
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| − | {{TEX|done}}
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| − | $\newcommand{\Om}{\Omega}
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| − | \newcommand{\om}{\omega}
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| − | \newcommand{\F}{\mathcal F}
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| − | \newcommand{\B}{\mathcal B}
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| − | \newcommand{\M}{\mathcal M} $
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| − | A [[probability space]] is called '''standard''' if it satisfies the following equivalent conditions:
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| − | * it is [[Measure space#Isomorphism|almost isomorphic]] to the real line with some [[probability distribution]] (in other words, a [[Measure space#Completion|completed]] [[Borel measure|Borel]] [[probability measure]], that is, a [[Lebesgue–Stieltjes integral|Lebesgue–Stieltjes]] probability measure);
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| − | * it is a [[standard Borel space]] endowed with a [[probability measure]], completed, and possibly augmented with a [[Measure space#null|null set]];
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| − | * it is [[Measure space#Completion|complete]], [[Measure space#Perfect and standard|perfect]], and the [[Hilbert space#L2 space|corresponding Hilbert space]] is separable.
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| − | ====The isomorphism theorem====
| + | ----------------------------------------- |
| | + | ----------------------------------------- |
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| − | Every standard probability space consists of an [[Measure space#Atoms and continuity|atomic]] (discrete) part and an atomless (continuous) part (each part may be empty). The discrete part is finite or countable; here, all subsets are measurable, and the probability of each subset is the sum of probabilities of its elements.
| + | $\newcommand*{\longhookrightarrow}{\lhook\joinrel\relbar\joinrel\rightarrow}$ |
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| − | '''Theorem 1.''' All atomless standard probability spaces are mutually almost isomorphic.
| + | <asy> |
| | + | size(100,100); |
| | + | label(scale(1.7)*'$T(\\Sigma)\hookrightarrow T(\\Sigma,X)$',(0,0)); |
| | + | </asy> |
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| − | That is, up to almost isomorphism we have "the" atomless standard probability space. Its "incarnations" include the spaces $\R^n$ with atomless probability distributions (be they [[Continuous distribution|absolutely continuous]], [[Singular distribution|singular]] or mixed), as well as the set of all continuous functions $[0,\infty)\to\R$ with the [[Wiener measure]]. That is instructive: topological notions such as dimension do not apply to probability spaces.
| + | <asy> |
| | + | size(220,220); |
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| − | ====Measure preserving maps====
| + | import math; |
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| − | The inverse to a bijective [[Measure space#measure preserving|measure preserving]] map is measure preserving provided that it is measurable; in this (not general) case the given map is a [[Measure space#Isomorphism|strict isomorphism]]. Here is an important fact in two equivalent forms.
| + | int kmax=40; |
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| − | '''Theorem 2a.''' Every bijective measure preserving map between standard probability spaces is a strict isomorphism.
| + | guide g; |
| | + | for (int k=-kmax; k<=kmax; ++k) { |
| | + | real phi = 0.2*k*pi; |
| | + | real rho = 1; |
| | + | if (k!=0) { |
| | + | rho = sin(phi)/phi; |
| | + | } |
| | + | pair z=rho*expi(phi); |
| | + | g=g..z; |
| | + | } |
| | + | |
| | + | draw (g); |
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| − | '''Theorem 2b.''' If $(\Om,\F,P)$ is a standard probability space and $\F_1\subset\F$ a sub-σ-field such that $(\Om,\F_1,P|_{\F_1})$ is also standard then $\F_1=\F$.
| + | defaultpen(0.75); |
| | + | draw ( (0,0)--(1.3,0), dotted, Arrow(SimpleHead,5) ); |
| | + | dot ( (1,0) ); |
| | + | label ( "$a$", (1,0), NE ); |
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| − | Recall a topological fact similar to Theorem 2: if a bijective map between compact Hausdorff topological spaces is continuous then it is a homeomorphism. Moreover, if a Hausdorff topology is weaker than a compact topology then these two topologies are equal, which has the following measure-theory counterpart stronger than Theorem 2 (in two equivalent forms).
| + | </asy> |
| − | Here we call a probability space ''countably separated'' if its underlying measurable space is [[Measurable space#separated|countably separated]].
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| − | | |
| − | '''Theorem 3a.''' Every bijective measure preserving map from a standard probability space to a countably separated complete probability space is a strict isomorphism.
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| − | '''Theorem 3b.''' If $(\Om,\F,P)$ is a standard probability space and $\F_1\subset\F$ is a countably separated sub-σ-field then $(\Om,\F,P)$ is the completion of $(\Om,\F_1,P|_{\F_1})$.
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| − | A continuous image of a compact topological space is always a compact set. In contrast, the image of a measurable set under a (non-bijective) measure-preserving map need not be measurable (indeed, the image of a null set need not be null; try the projection $\R^2\to\R^1$). Nevertheless, Theorem 4 (below) is a partial measure-theory counterpart, stronger than Theorem 3.
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| − | '''Theorem 4.''' Let $(\Om,\F,P)$ be a standard probability space, $(\Om_1,\F_1,P_1)$ a countably separated complete probability space, and $f:\Om\to\Om_1$ a measure preserving map. Then $(\Om_1,\F_1,P_1)$ is also standard, and $A_1\in\F_1\iff A\in\F$ whenever $A_1\subset\Om_1$ and $A=f^{-1}(A_1)$. In particular, the image $f(\Om)$belongs to $\F_1$. (See {{Cite|Ru|Th. 3-2}} and {{Cite|H|Prop. 9}}.)
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| − | | |
| − | ====References====
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| − | {|
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| − | |valign="top"|{{Ref|P}}|| Karl Petersen, "Ergodic theory", Cambridge (1983). {{MR|0833286}} {{ZBL|0507.28010}}
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| − | |valign="top"|{{Ref|H1}}|| P.R. Halmos, "Measure theory", Van Nostrand (1950). {{MR|0033869}} {{ZBL|0040.16802}}
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| − | |valign="top"|{{Ref|H2}}|| P.R. Halmos, "Lectures on ergodic theory", Math. Soc. Japan (1956). {{MR|0097489}} {{ZBL|0073.09302}}
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| − | |valign="top"|{{Ref|G}}|| Eli Glasner, "Ergodic theory via joinings", Amer. Math. Soc. (2003). {{MR|1958753}} {{ZBL|1038.37002}}
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| − | |valign="top"|{{Ref|K}}|| Alexander S. Kechris, "Classical descriptive set theory", Springer-Verlag (1995). {{MR|1321597}} {{ZBL|0819.04002}}
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| − | |valign="top"|{{Ref|Ru}}|| Thierry de la Rue, "Espaces de Lebesgue", ''Séminaire de Probabilités XXVII,'' Lecture Notes in Mathematics, 1557 (1993), Springer, Berlin, pp. 15–21. {{MR|1308547}} {{ZBL|0788.60001}}
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| − | |valign="top"|{{Ref|H}}|| Jean Haezendonck, "Abstract Lebesgue-Rohlin spaces", ''Bull. Soc. Math. de Belgique'' '''25''' (1973), 243–258. {{MR|0335733}} {{ZBL|0308.60006}}
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| − | |valign="top"|{{Ref|HN}}|| P.R. Halmos, J. von Neumann, "Operator methods in classical mechanics, II", ''Annals of Mathematics (2)'' '''43''' (1942), 332–350. {{MR|0006617}} {{ZBL|0063.01888}}
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| − | |valign="top"|{{Ref|Ro}}|| V.A. Rokhlin, (1962), "On the fundamental ideas of measure theory", ''Translations (American Mathematical Society) Series 1,'' 10 (1962), 1–54. {{MR|0047744}} Translated from Russian: Рохлин, В. А. (1949), "Об основных понятиях теории меры", Математический Сборник (Новая Серия) 25(67): 107–150. {{MR|0030584}}
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| − | |valign="top"|{{Ref|F}}|| D.H. Fremlin, "Measure theory", Torres Fremlin, Colchester. Vol. 1: 2004 {{MR|2462519}} {{ZBL|1162.28001}}; Vol. 2: 2003 {{MR|2462280}} {{ZBL|1165.28001}}; Vol. 3: 2004 {{MR|2459668}} {{ZBL|1165.28002}}; Vol. 4: 2006 {{MR|2462372}} {{ZBL|1166.28001}}
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| − | |}
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