Geometric aspects of probability theory and mathematical statistics

Authors V. V. Buldygin, Alexander Kharazishvili

Publication date 22 October 2000

Anderson inequality convex sets prediction theory Slepian lemma

Introductory exposition (textbooks, tutorial papers, etc.) pertaining to convex and discrete geometry (52-01) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to probability theory (60-01) Gaussian processes (60G15) Inference from stochastic processes and prediction (62M20)

Review text

One of the basic notions in mathematics is that of convexity. Convex sets and functions appear in various different fields of mathematics and, mostly, they play an important role therein. The present book deals with convexity and its applications in measure theory, probability theory and also in some problems of statistics. After some introductory chapters about convex sets in vector spaces the authors discuss Brunn-Minkowski's inequality for the Lebesgue measure in \(\mathbb{R}^n\). Next, convex polyhedra are treated and two problems of isoperimetry are shortly discussed. The next chapters give an introduction to basic facts in measure theory and probability. Here notions and results are stated which will be used later on. Convexity appears in probability at several different places. For example, Anderson's inequality or Slepian's lemma are basic tools in probability and tightly related with properties of convex sets. Both topics as well as the question of existence of quasi-invariant measures are presented. A final chapter deals with optimal estimations of stochastic processes (or the prediction problem for those processes). All chapters end with several exercises. Three appendices about convex curves, convex sets and number theory and about the problem of measurable cardinal numbers complete the book. The present book rests upon a former one by the authors [``Brunn-Minkowski inequality and its applications (Kiev, 1985)]. About the relation between the present and the former book the authors write in the introduction: ``In various respects, the present book is based on the previous one (mentioned above) published by the authors in 1985. However, we regard this manuscript as an essentially new book, because many changes were made and extensive additional information is included (new sections, a number of new exercises, presentation of relatively recent results, comments and discussion, extension of bibliography). Also, the existence of this additional material forced us to change the title of the previous book, since that title seemed to be rather narrow in scope. The present book contains a large number of different important and basic topics in geometry and probability theory. Most of these topics could be (or already have been) single subject of a separate book. As a consequence, no topic of this book can be treated completely, many interesting facts are only mentioned or are not included at all. This may be an advantage for those who start learning about convexity and its applications in probability. Thus our impression is that the present book may be viewed (maybe this was also the intention of the authors) as an interesting introduction to the theory. Yet in order to get deeper knowledge, additional books have to be read.

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