TheoremBase

Cauchy Sequences in the Quadratic Wasserstein Space and Weakly Convergent Sequences on a Hilbert Space are Tight

Every Cauchy sequence for the quadratic Wasserstein distance of probability measures with finite second moment on a separable Hilbert space is a tight sequence of measures.

Statement

In the setting of Borel Probability Measures on a Real Hilbert Space with an Orthonormal Basis: Standing Notation, let P2(X)\mathcal{P}_{2}(X) be the set of probability measures with finite second moment and W2W_{2} the quadratic Wasserstein distance, so that (P2(X),W2)(\mathcal{P}_{2}(X),W_{2}) is a metric space by The Quadratic Wasserstein Distance is a Metric on the Probability Measures with Finite Second Moment on a Hilbert Space §metric. Then the following hold.

1. (Cauchy sequences) Every Cauchy sequence (μm)m∈N(\mu_{m})_{m\in\mathbb{N}} in (P2(X),W2)(\mathcal{P}_{2}(X),W_{2}) is tight in (X,d)(X,d).

2. (Weakly convergent sequences) Every sequence (μj)j∈N(\mu_{j})_{j\in\mathbb{N}} in P(X)\mathcal{P}(X) that converges weakly to some μ∈P(X)\mu\in\mathcal{P}(X), μj⇒μ\mu_{j}\Rightarrow\mu in the sense of Borel Probability Measures on a Real Hilbert Space with an Orthonormal Basis: Standing Notation §weak, is tight in (X,d)(X,d).

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