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Law-Invariant Function on the Space of Square-Integrable Random Vectors

A real function on the space of square-integrable random vectors is law-invariant if it takes the same value at any two random vectors with the same law.

Statement

In the setting of The Wasserstein Space and Its Lift to Square-Integrable Random Vectors: Standing Notation, let L2(Ω;Rd)L^{2}(\Omega;\mathbb{R}^{d}) be the space of classes of square-integrable random vectors with the law L(X)\mathcal{L}(X) of its elements as fixed there.

(Law-invariant function) A function Φ:L2(Ω;Rd)→R\Phi:L^{2}(\Omega;\mathbb{R}^{d})\to\mathbb{R} is law-invariant if Φ(X)=Φ(Y)\Phi(X)=\Phi(Y) for all X,Y∈L2(Ω;Rd)X,Y\in L^{2}(\Omega;\mathbb{R}^{d}) with L(X)=L(Y)\mathcal{L}(X)=\mathcal{L}(Y).

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