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Equivalent sigma-finite positive measures have reciprocal Radon-Nikodym derivatives almost everywhere

Statement

Let μ and ν be equivalent sigma-finite positive measures on the same measurable space. Then dνdμdμdν=1ν-almost everywhere, and therefore also μ-almost everywhere.

Facts & Assumptions

Given: Sigma-finite positive measures μ and ν with μνμ.

[L1]

Under one exhaustion finite for the outer and intermediate positive measures and the variation of the inner measure, the chain rule gives dη/dλ=(dη/dκ)(dκ/dλ) almost everywhere along ηκλ (Radon-Nikodym derivatives satisfy the chain rule along nu << mu << lambda).

[L2]

The constant function 1 represents dμ/dμ because μ(E)=E1dμ for every measurable set, and the representing density is unique up to almost-everywhere equality. (A sigma-finite signed measure that is absolutely continuous with respect to a sigma-finite positive measure has a unique almost-everywhere density)

Proof

technique · direct
1.1

Choose increasing finite-measure exhaustions (An) for μ and (Bn) for ν, and put Xn:=AnBn. After replacing both exhaustions by finite unions, (Xn) is increasing, covers X, and is finite for both measures. Apply [L1] to the chain μνμ on this common exhaustion. Then dμdμ=dμdνdνdμμ-almost everywhere. By [L2], dμ/dμ=1 almost everywhere, so dμdνdνdμ=1μ-almost everywhere.

L1L2construct
2.1

Interchanging the roles of μ and ν gives dνdμdμdν=1ν-almost everywhere. Because μ and ν have the same null sets, the two almost-everywhere conclusions are equivalent.

step 1.1L1algebra

Depends on

Used by

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Sources