Let $(mu_n:ngeq 0)$ be Borel probabilities on a metric space $S$ such that $mu_n ightarrowmu_0$ weakly. Say that Skorohod representation holds if, on some probability space, there are $S$-valued random variables $X_n$ satisfying $X_nsimmu_n$ for all $n$ and $X_n ightarrow X_0$ in probability. By Skorohod's theorem, Skorohod representation holds (with $X_n ightarrow X_0$ almost uniformly) if $mu_0$ is separable. Two results are proved in this paper. First, Skorohod representation may fail if $mu_0$ is not separable (provided, of course, non separable probabilities exist). Second, independently of $mu_0$ separable or not, Skorohod representation holds if $W(mu_n,mu_0) ightarrow 0$ where $W$ is Wasserstein distance (suitably adapted). The converse is essentially true as well. Such a $W$ is a version of Wasserstein distance which can be defined for any metric space $S$ satisfying a mild condition. To prove the quoted results (and to define $W$), disintegrable probability measures are fundamental.

Patrizia Berti, L.P. (2010). Skorohod representation theorem via disintegrations. SANKHYA. SERIES A, 72, 208-220 [10.1007/s13171-010-0008-3].

Skorohod representation theorem via disintegrations

Pietro Rigo
2010

Abstract

Let $(mu_n:ngeq 0)$ be Borel probabilities on a metric space $S$ such that $mu_n ightarrowmu_0$ weakly. Say that Skorohod representation holds if, on some probability space, there are $S$-valued random variables $X_n$ satisfying $X_nsimmu_n$ for all $n$ and $X_n ightarrow X_0$ in probability. By Skorohod's theorem, Skorohod representation holds (with $X_n ightarrow X_0$ almost uniformly) if $mu_0$ is separable. Two results are proved in this paper. First, Skorohod representation may fail if $mu_0$ is not separable (provided, of course, non separable probabilities exist). Second, independently of $mu_0$ separable or not, Skorohod representation holds if $W(mu_n,mu_0) ightarrow 0$ where $W$ is Wasserstein distance (suitably adapted). The converse is essentially true as well. Such a $W$ is a version of Wasserstein distance which can be defined for any metric space $S$ satisfying a mild condition. To prove the quoted results (and to define $W$), disintegrable probability measures are fundamental.
2010
Patrizia Berti, L.P. (2010). Skorohod representation theorem via disintegrations. SANKHYA. SERIES A, 72, 208-220 [10.1007/s13171-010-0008-3].
Patrizia Berti, Luca Pratelli, Pietro Rigo
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11585/737920
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