Continuity properties of the extension of a locally Lipschitz continuous map to the space of probability measures (Q1061418): Difference between revisions

Let \((Z,d)\) and \((X,\tilde d)\) be metric spaces, let F be a mapping from Z into X, and consider the associated mapping \(\tilde F\) from the Borel probability measures on Z into those on X defined by \(\tilde F(\mu)(B):= \mu(F^{-1}(B))\) for each Borel set \(B\subset X.\) The main problem treated in this paper is the following: What can be said about (Lipschitz) continuity properties of \(\tilde F \)(w.r.t. suitable metrics) in terms of (Lipschitz) continuity properties of F? The metrics used are the Prokhorov metric and the bounded Lipschitz distance. With respect to both metrics, estimates for the distance between \(\tilde F(\mu)\) and \(\tilde F(\nu)\) are given in terms of the growth of local Lipschitz constants for F and of the ''tail behaviour'' of \(\mu\) (i.e., the \(\mu\)-probability of large elements). The general results are applied to a stochastic differential equation \(dx(t)=f(x(t))dt+g(x(t))dz(t)\), \(x(0)=x_ 0.\) Various results about local and global Lipschitz continuity of the function that maps z to the solution x of this equation are given (in dependence of the properties of f and g). Another application of the general results is a result about feasible choices of the regularization parameter in Tikhonov regularization for a random integral equation of the first kind.