Convergence of sequence of Riemann-Stieltjes integrals to Riemann-Stieltjes integral
In connection with my post Convergence to Riemann-Stieltjes integral of sequence of Riemann-Stieltjes-like sums with changing integrand and integrator, an alternative approach to my main objective would be considering the convergence of the sequence of Riemann-Stieltjes (RS) integrals $int_0^1 , f_N(x) , mathrm{d}F_N(x)$ to the RS integral $int_0^1 , f(x) , mathrm{d}F(x)$. The properties of the functions involved are as defined in the aforementioned post. I repeat them in the following paragraph for convenience, though.
The functions are all real of a single real variable. Those in the sequence $(f_N)_N$ are continuous and bounded in $[0,1]$, and the sequence converges to a continuous function $f$ bounded in the same interval. In turn, those in $(F_N)_N$ are monotonically increasing step functions bounded in $[0,1]$ and the sequence is uniformly convergent to a function $F$ that is a cumulative distribution function.
Any hints on how to prove the above statement of convergence will be welcome.
integration sequence-of-function
add a comment |
In connection with my post Convergence to Riemann-Stieltjes integral of sequence of Riemann-Stieltjes-like sums with changing integrand and integrator, an alternative approach to my main objective would be considering the convergence of the sequence of Riemann-Stieltjes (RS) integrals $int_0^1 , f_N(x) , mathrm{d}F_N(x)$ to the RS integral $int_0^1 , f(x) , mathrm{d}F(x)$. The properties of the functions involved are as defined in the aforementioned post. I repeat them in the following paragraph for convenience, though.
The functions are all real of a single real variable. Those in the sequence $(f_N)_N$ are continuous and bounded in $[0,1]$, and the sequence converges to a continuous function $f$ bounded in the same interval. In turn, those in $(F_N)_N$ are monotonically increasing step functions bounded in $[0,1]$ and the sequence is uniformly convergent to a function $F$ that is a cumulative distribution function.
Any hints on how to prove the above statement of convergence will be welcome.
integration sequence-of-function
I'm rusty. When you indicate $f_n longrightarrow f$, you intend convergence in the sup norm (i.e. uniform convergence)?
– Eric Towers
Dec 3 '18 at 7:03
1
Have you tried the "obvious thing": see if you can show $int_0^1 ; |f - f_n| , mathrm{d}(|F - F_n|) longrightarrow 0$?
– Eric Towers
Dec 3 '18 at 7:09
Not necessarily uniformly, but if it helps with a proof of convergence (or hints, with the details to be worked out by me), you are welcome to assume it is so.
– Marcos
Dec 3 '18 at 7:11
No, actually I haven't. This question dawned on me as a rather indirect but actually alternative approach to the linked post. I'll check that.
– Marcos
Dec 3 '18 at 7:13
add a comment |
In connection with my post Convergence to Riemann-Stieltjes integral of sequence of Riemann-Stieltjes-like sums with changing integrand and integrator, an alternative approach to my main objective would be considering the convergence of the sequence of Riemann-Stieltjes (RS) integrals $int_0^1 , f_N(x) , mathrm{d}F_N(x)$ to the RS integral $int_0^1 , f(x) , mathrm{d}F(x)$. The properties of the functions involved are as defined in the aforementioned post. I repeat them in the following paragraph for convenience, though.
The functions are all real of a single real variable. Those in the sequence $(f_N)_N$ are continuous and bounded in $[0,1]$, and the sequence converges to a continuous function $f$ bounded in the same interval. In turn, those in $(F_N)_N$ are monotonically increasing step functions bounded in $[0,1]$ and the sequence is uniformly convergent to a function $F$ that is a cumulative distribution function.
Any hints on how to prove the above statement of convergence will be welcome.
integration sequence-of-function
In connection with my post Convergence to Riemann-Stieltjes integral of sequence of Riemann-Stieltjes-like sums with changing integrand and integrator, an alternative approach to my main objective would be considering the convergence of the sequence of Riemann-Stieltjes (RS) integrals $int_0^1 , f_N(x) , mathrm{d}F_N(x)$ to the RS integral $int_0^1 , f(x) , mathrm{d}F(x)$. The properties of the functions involved are as defined in the aforementioned post. I repeat them in the following paragraph for convenience, though.
The functions are all real of a single real variable. Those in the sequence $(f_N)_N$ are continuous and bounded in $[0,1]$, and the sequence converges to a continuous function $f$ bounded in the same interval. In turn, those in $(F_N)_N$ are monotonically increasing step functions bounded in $[0,1]$ and the sequence is uniformly convergent to a function $F$ that is a cumulative distribution function.
Any hints on how to prove the above statement of convergence will be welcome.
integration sequence-of-function
integration sequence-of-function
edited Dec 3 '18 at 7:55
asked Dec 3 '18 at 6:40
Marcos
1236
1236
I'm rusty. When you indicate $f_n longrightarrow f$, you intend convergence in the sup norm (i.e. uniform convergence)?
– Eric Towers
Dec 3 '18 at 7:03
1
Have you tried the "obvious thing": see if you can show $int_0^1 ; |f - f_n| , mathrm{d}(|F - F_n|) longrightarrow 0$?
– Eric Towers
Dec 3 '18 at 7:09
Not necessarily uniformly, but if it helps with a proof of convergence (or hints, with the details to be worked out by me), you are welcome to assume it is so.
– Marcos
Dec 3 '18 at 7:11
No, actually I haven't. This question dawned on me as a rather indirect but actually alternative approach to the linked post. I'll check that.
– Marcos
Dec 3 '18 at 7:13
add a comment |
I'm rusty. When you indicate $f_n longrightarrow f$, you intend convergence in the sup norm (i.e. uniform convergence)?
– Eric Towers
Dec 3 '18 at 7:03
1
Have you tried the "obvious thing": see if you can show $int_0^1 ; |f - f_n| , mathrm{d}(|F - F_n|) longrightarrow 0$?
– Eric Towers
Dec 3 '18 at 7:09
Not necessarily uniformly, but if it helps with a proof of convergence (or hints, with the details to be worked out by me), you are welcome to assume it is so.
– Marcos
Dec 3 '18 at 7:11
No, actually I haven't. This question dawned on me as a rather indirect but actually alternative approach to the linked post. I'll check that.
– Marcos
Dec 3 '18 at 7:13
I'm rusty. When you indicate $f_n longrightarrow f$, you intend convergence in the sup norm (i.e. uniform convergence)?
– Eric Towers
Dec 3 '18 at 7:03
I'm rusty. When you indicate $f_n longrightarrow f$, you intend convergence in the sup norm (i.e. uniform convergence)?
– Eric Towers
Dec 3 '18 at 7:03
1
1
Have you tried the "obvious thing": see if you can show $int_0^1 ; |f - f_n| , mathrm{d}(|F - F_n|) longrightarrow 0$?
– Eric Towers
Dec 3 '18 at 7:09
Have you tried the "obvious thing": see if you can show $int_0^1 ; |f - f_n| , mathrm{d}(|F - F_n|) longrightarrow 0$?
– Eric Towers
Dec 3 '18 at 7:09
Not necessarily uniformly, but if it helps with a proof of convergence (or hints, with the details to be worked out by me), you are welcome to assume it is so.
– Marcos
Dec 3 '18 at 7:11
Not necessarily uniformly, but if it helps with a proof of convergence (or hints, with the details to be worked out by me), you are welcome to assume it is so.
– Marcos
Dec 3 '18 at 7:11
No, actually I haven't. This question dawned on me as a rather indirect but actually alternative approach to the linked post. I'll check that.
– Marcos
Dec 3 '18 at 7:13
No, actually I haven't. This question dawned on me as a rather indirect but actually alternative approach to the linked post. I'll check that.
– Marcos
Dec 3 '18 at 7:13
add a comment |
1 Answer
1
active
oldest
votes
Hints:
Note that
$$left|int_0^1f_N , dF_N - int_0^1 f , dF right| leqslant left|int_0^1f_N , dF_N - int_0^1 f , dF_N right|+ left|int_0^1f , dF_N - int_0^1 f , dF right|$$
(1) We can estimate the first term on the RHS and prove convergence to $0$, if $F_N$ has bounded variation $V_0^1(F_N)$, using
$$left|int_0^1f_N , dF_N - int_0^1 f , dF_N right| leqslant int_0^1|f_N - f|, dV_0^x(F_N), $$
although with the simplification that $F_N$ is montonically increasing we have
$$left|int_0^1f_N , dF_N - int_0^1 f , dF_N right| leqslant int_0^1|f_N - f|, dF_N $$
With uniform convergence of $f_n to f$ and uniform boundedness of $F_N$ it is easy to progress. Given that $|F_N(x)| leqslant M$ uniformly in $N$ and $x$ -- which is true if $F_N$ converges uniformly to a bounded function $F$ -- then for all sufficiently large $N$ we have $|f_N(x) - f(x)| < epsilon/(2M)$ and
$$left|int_0^1f_N , dF_N - int_0^1 f , dF_N right| < frac{epsilon}{2M}[F_N(1) - F_N(0)] < frac{epsilon}{2M}2M = epsilon $$
(2) Estimate the second term on the RHS most easily using Rieman sums.
Thanks so much. As with my linked post, I'll be back as soon as I have worked out the details.
– Marcos
Dec 3 '18 at 7:52
Actually, my difficulty is currently with the second term on the RHS. I was thinking of applying the bound $big|int_0^1 f d(F_n-F) big| leq sup_{[0,1]} |f| , V_0^1(F_n-F)$, but I haven't been able to obtainanything useful regarding the limiting total variation of $F_n-F$ on $[0,1]$, whence it came my question math.stackexchange.com/questions/3055573/…
– Marcos
Dec 29 '18 at 6:47
add a comment |
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1 Answer
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1 Answer
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Hints:
Note that
$$left|int_0^1f_N , dF_N - int_0^1 f , dF right| leqslant left|int_0^1f_N , dF_N - int_0^1 f , dF_N right|+ left|int_0^1f , dF_N - int_0^1 f , dF right|$$
(1) We can estimate the first term on the RHS and prove convergence to $0$, if $F_N$ has bounded variation $V_0^1(F_N)$, using
$$left|int_0^1f_N , dF_N - int_0^1 f , dF_N right| leqslant int_0^1|f_N - f|, dV_0^x(F_N), $$
although with the simplification that $F_N$ is montonically increasing we have
$$left|int_0^1f_N , dF_N - int_0^1 f , dF_N right| leqslant int_0^1|f_N - f|, dF_N $$
With uniform convergence of $f_n to f$ and uniform boundedness of $F_N$ it is easy to progress. Given that $|F_N(x)| leqslant M$ uniformly in $N$ and $x$ -- which is true if $F_N$ converges uniformly to a bounded function $F$ -- then for all sufficiently large $N$ we have $|f_N(x) - f(x)| < epsilon/(2M)$ and
$$left|int_0^1f_N , dF_N - int_0^1 f , dF_N right| < frac{epsilon}{2M}[F_N(1) - F_N(0)] < frac{epsilon}{2M}2M = epsilon $$
(2) Estimate the second term on the RHS most easily using Rieman sums.
Thanks so much. As with my linked post, I'll be back as soon as I have worked out the details.
– Marcos
Dec 3 '18 at 7:52
Actually, my difficulty is currently with the second term on the RHS. I was thinking of applying the bound $big|int_0^1 f d(F_n-F) big| leq sup_{[0,1]} |f| , V_0^1(F_n-F)$, but I haven't been able to obtainanything useful regarding the limiting total variation of $F_n-F$ on $[0,1]$, whence it came my question math.stackexchange.com/questions/3055573/…
– Marcos
Dec 29 '18 at 6:47
add a comment |
Hints:
Note that
$$left|int_0^1f_N , dF_N - int_0^1 f , dF right| leqslant left|int_0^1f_N , dF_N - int_0^1 f , dF_N right|+ left|int_0^1f , dF_N - int_0^1 f , dF right|$$
(1) We can estimate the first term on the RHS and prove convergence to $0$, if $F_N$ has bounded variation $V_0^1(F_N)$, using
$$left|int_0^1f_N , dF_N - int_0^1 f , dF_N right| leqslant int_0^1|f_N - f|, dV_0^x(F_N), $$
although with the simplification that $F_N$ is montonically increasing we have
$$left|int_0^1f_N , dF_N - int_0^1 f , dF_N right| leqslant int_0^1|f_N - f|, dF_N $$
With uniform convergence of $f_n to f$ and uniform boundedness of $F_N$ it is easy to progress. Given that $|F_N(x)| leqslant M$ uniformly in $N$ and $x$ -- which is true if $F_N$ converges uniformly to a bounded function $F$ -- then for all sufficiently large $N$ we have $|f_N(x) - f(x)| < epsilon/(2M)$ and
$$left|int_0^1f_N , dF_N - int_0^1 f , dF_N right| < frac{epsilon}{2M}[F_N(1) - F_N(0)] < frac{epsilon}{2M}2M = epsilon $$
(2) Estimate the second term on the RHS most easily using Rieman sums.
Thanks so much. As with my linked post, I'll be back as soon as I have worked out the details.
– Marcos
Dec 3 '18 at 7:52
Actually, my difficulty is currently with the second term on the RHS. I was thinking of applying the bound $big|int_0^1 f d(F_n-F) big| leq sup_{[0,1]} |f| , V_0^1(F_n-F)$, but I haven't been able to obtainanything useful regarding the limiting total variation of $F_n-F$ on $[0,1]$, whence it came my question math.stackexchange.com/questions/3055573/…
– Marcos
Dec 29 '18 at 6:47
add a comment |
Hints:
Note that
$$left|int_0^1f_N , dF_N - int_0^1 f , dF right| leqslant left|int_0^1f_N , dF_N - int_0^1 f , dF_N right|+ left|int_0^1f , dF_N - int_0^1 f , dF right|$$
(1) We can estimate the first term on the RHS and prove convergence to $0$, if $F_N$ has bounded variation $V_0^1(F_N)$, using
$$left|int_0^1f_N , dF_N - int_0^1 f , dF_N right| leqslant int_0^1|f_N - f|, dV_0^x(F_N), $$
although with the simplification that $F_N$ is montonically increasing we have
$$left|int_0^1f_N , dF_N - int_0^1 f , dF_N right| leqslant int_0^1|f_N - f|, dF_N $$
With uniform convergence of $f_n to f$ and uniform boundedness of $F_N$ it is easy to progress. Given that $|F_N(x)| leqslant M$ uniformly in $N$ and $x$ -- which is true if $F_N$ converges uniformly to a bounded function $F$ -- then for all sufficiently large $N$ we have $|f_N(x) - f(x)| < epsilon/(2M)$ and
$$left|int_0^1f_N , dF_N - int_0^1 f , dF_N right| < frac{epsilon}{2M}[F_N(1) - F_N(0)] < frac{epsilon}{2M}2M = epsilon $$
(2) Estimate the second term on the RHS most easily using Rieman sums.
Hints:
Note that
$$left|int_0^1f_N , dF_N - int_0^1 f , dF right| leqslant left|int_0^1f_N , dF_N - int_0^1 f , dF_N right|+ left|int_0^1f , dF_N - int_0^1 f , dF right|$$
(1) We can estimate the first term on the RHS and prove convergence to $0$, if $F_N$ has bounded variation $V_0^1(F_N)$, using
$$left|int_0^1f_N , dF_N - int_0^1 f , dF_N right| leqslant int_0^1|f_N - f|, dV_0^x(F_N), $$
although with the simplification that $F_N$ is montonically increasing we have
$$left|int_0^1f_N , dF_N - int_0^1 f , dF_N right| leqslant int_0^1|f_N - f|, dF_N $$
With uniform convergence of $f_n to f$ and uniform boundedness of $F_N$ it is easy to progress. Given that $|F_N(x)| leqslant M$ uniformly in $N$ and $x$ -- which is true if $F_N$ converges uniformly to a bounded function $F$ -- then for all sufficiently large $N$ we have $|f_N(x) - f(x)| < epsilon/(2M)$ and
$$left|int_0^1f_N , dF_N - int_0^1 f , dF_N right| < frac{epsilon}{2M}[F_N(1) - F_N(0)] < frac{epsilon}{2M}2M = epsilon $$
(2) Estimate the second term on the RHS most easily using Rieman sums.
edited Dec 3 '18 at 8:05
answered Dec 3 '18 at 7:47
RRL
49k42573
49k42573
Thanks so much. As with my linked post, I'll be back as soon as I have worked out the details.
– Marcos
Dec 3 '18 at 7:52
Actually, my difficulty is currently with the second term on the RHS. I was thinking of applying the bound $big|int_0^1 f d(F_n-F) big| leq sup_{[0,1]} |f| , V_0^1(F_n-F)$, but I haven't been able to obtainanything useful regarding the limiting total variation of $F_n-F$ on $[0,1]$, whence it came my question math.stackexchange.com/questions/3055573/…
– Marcos
Dec 29 '18 at 6:47
add a comment |
Thanks so much. As with my linked post, I'll be back as soon as I have worked out the details.
– Marcos
Dec 3 '18 at 7:52
Actually, my difficulty is currently with the second term on the RHS. I was thinking of applying the bound $big|int_0^1 f d(F_n-F) big| leq sup_{[0,1]} |f| , V_0^1(F_n-F)$, but I haven't been able to obtainanything useful regarding the limiting total variation of $F_n-F$ on $[0,1]$, whence it came my question math.stackexchange.com/questions/3055573/…
– Marcos
Dec 29 '18 at 6:47
Thanks so much. As with my linked post, I'll be back as soon as I have worked out the details.
– Marcos
Dec 3 '18 at 7:52
Thanks so much. As with my linked post, I'll be back as soon as I have worked out the details.
– Marcos
Dec 3 '18 at 7:52
Actually, my difficulty is currently with the second term on the RHS. I was thinking of applying the bound $big|int_0^1 f d(F_n-F) big| leq sup_{[0,1]} |f| , V_0^1(F_n-F)$, but I haven't been able to obtainanything useful regarding the limiting total variation of $F_n-F$ on $[0,1]$, whence it came my question math.stackexchange.com/questions/3055573/…
– Marcos
Dec 29 '18 at 6:47
Actually, my difficulty is currently with the second term on the RHS. I was thinking of applying the bound $big|int_0^1 f d(F_n-F) big| leq sup_{[0,1]} |f| , V_0^1(F_n-F)$, but I haven't been able to obtainanything useful regarding the limiting total variation of $F_n-F$ on $[0,1]$, whence it came my question math.stackexchange.com/questions/3055573/…
– Marcos
Dec 29 '18 at 6:47
add a comment |
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I'm rusty. When you indicate $f_n longrightarrow f$, you intend convergence in the sup norm (i.e. uniform convergence)?
– Eric Towers
Dec 3 '18 at 7:03
1
Have you tried the "obvious thing": see if you can show $int_0^1 ; |f - f_n| , mathrm{d}(|F - F_n|) longrightarrow 0$?
– Eric Towers
Dec 3 '18 at 7:09
Not necessarily uniformly, but if it helps with a proof of convergence (or hints, with the details to be worked out by me), you are welcome to assume it is so.
– Marcos
Dec 3 '18 at 7:11
No, actually I haven't. This question dawned on me as a rather indirect but actually alternative approach to the linked post. I'll check that.
– Marcos
Dec 3 '18 at 7:13