Higher moments of Banach space valued random variables

DOI10.1090/MEMO/1127MaRDI QIDQ2944980zbMATH OpenOpenAlexFDO

Authors Svante Janson, Sten Kaijser

Publication date 9 September 2015

Published in Memoirs of the American Mathematical Society (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1208.4272

zbMATH Keywords

momentsapproximation propertyPettis integralBochner integralDunford integralinjective tensor productsBanach space valued random variablesreproducing Hilbert spaceprojective tensor productsZolotarev metrics\(D[0,1\)]

Mathematics Subject Classification ID

Applications of functional analysis in probability theory and statistics (46N30) Probability theory on linear topological spaces (60B11) Spaces of operators; tensor products; approximation properties (46B28) Vector-valued measures and integration (46G10) Nonseparable Banach spaces (46B26) Tensor products in functional analysis (46M05)

Abstract: We define the $k$:th moment of a Banach space valued random variable as the expectation of its $k$:th tensor power; thus the moment (if it exists) is an element of a tensor power of the original Banach space. We study both the projective and injective tensor products, and their relation. Moreover, in order to be general and flexible, we study three different types of expectations: Bochner integrals, Pettis integrals and Dunford integrals. One of the problems studied is whether two random variables with the same injective moments (of a given order) necessarily have the same projective moments; this is of interest in applications. We show that this holds if the Banach space has the approximation property, but not in general. Several sections are devoted to results in special Banach spaces, including Hilbert spaces, $C(K)$ and $D[0,1]$. The latter space is non-separable, which complicates the arguments, and we prove various preliminary results on e.g. measurability in $D[0,1]$ that we need. One of the main motivations of this paper is the application to Zolotarev metrics and their use in the contraction method. This is sketched in an appendix.

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Cited in

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• Hölder versions of Banach space valued random fields
• The space \(D\) in several variables: random variables and higher moments
• On a functional contraction method
• Monte Carlo convergence rates for \(k\)th moments in Banach spaces
• Infinite dimensional Ornstein-Uhlenbeck processes with unbounded diffusion -- approximation, quadratic variation, and Itô formula
• Detecting deviations from second-order stationarity in locally stationary functional time series
• Balanced multicolour Pólya urns via smoothing systems analysis
• Stochastic systems with memory and jumps

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