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The L2 velocity sensor is well-defined
Statement
Let , , and the finite-second-moment probability law be as in the Definition. For every , the integral defining is finite and independent of the representatives of and . The map is linear and continuous, with Its centered observable is Borel measurable and belongs to .
For the general random-state interface, if is a supplied separable real Banach space and is strongly measurable with , its Bochner mean exists. For every finite family of bounded real-linear sensors , has a measurable square-integrable version and For a family , define its covariance matrix by This matrix is well-defined and, for every , Scalar almost-everywhere values are interpreted through the measurable representatives furnished by strong simple approximation; if a pointwise scalar random variable is required, such a version is used.
Statement references
Finite-second-moment random velocity sensor law
The space as the quotient by null functions
The Lebesgue integral is linear on
Holder's inequality for integrals, including the endpoint cases
Probability measures and probability spaces
Teschl, Topics in Real and Functional Analysis, Section 11.6
Tao, An Introduction to Measure Theory, Section 1.7
Bochner integrability criterion
Facts & Assumptions
Given: A finite measure space with , the normed space , a probability measure with , and .
These data and the definition of and are fixed by Finite-second-moment random velocity sensor law.
An element of is an almost-everywhere equivalence class of measurable representatives (The space as the quotient by null functions).
Holder's inequality with conjugate exponents makes products of two functions integrable and bounds their integral by the product of their norms (Holder's inequality for integrals, including the endpoint cases).
The Lebesgue integral is linear on its space (The Lebesgue integral is linear on ).
The measure is a probability measure, so (Probability measures and probability spaces).
A strongly measurable Banach-valued map with integrable norm is Bochner integrable, and bounded linear maps commute with its integral (Bochner integrability criterion, Bounded linear maps commute with Bochner integration). Strong simple approximation supplies the measurable versions used here (Strongly measurable Banach-valued function).
Proof
Given: The spatial measure space, finite-second-moment law, and weight in the Statement.
For measurable representatives and , the pointwise inequality and [F2] give . Replacing either representative on a -null set changes the product only on a null set, so the integral depends only on the classes [F1]. Thus is finite and representative-independent.
By [F3], is linear. Applying the estimate in step 1.1 to gives , so is continuous and hence Borel measurable.
Squaring the estimate in step 1.1 and integrating over gives . Holder's inequality on the probability space and [F4] then give , so its centering integral exists. Subtracting this finite constant preserves Borel measurability and membership, proving the assertion about .
In the general Banach-state clause, Holder on the probability space gives , so [F5] supplies the Bochner mean. Composing the strong simple approximants with each continuous gives scalar measurable approximants converging outside the same null set; taking zero on that set supplies a measurable version. The bound gives its finite second moment. Bounded-map interchange in [F5] proves the expectation identity. Center each of the finitely many sensor versions. Holder makes all products integrable, and for every finite real coefficient vector the covariance quadratic form equals , proving positive semidefiniteness without another choice principle.
Depends on
Finite-second-moment random velocity sensor law
The space as the quotient by null functions
Probability measures and probability spaces
The Lebesgue integral is linear on
Holder's inequality for integrals, including the endpoint cases
Bochner integrability criterion
Bounded linear maps commute with Bochner integration
Strongly measurable Banach-valued function