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A Borel map into a separable Banach space is strongly measurable

Statement

Let (Ω,F,P) be a probability space, let B be a separable Banach space, and let f:Ω→B be Borel-measurable. Then f is strongly measurable: outside a P-null set it is the pointwise limit of finite-valued measurable simple functions.

Facts & Assumptions

[F1]

Separability supplies a countable dense subset of B (Separability: the existence of an at most countable dense subset).

[F2]

A finite-valued measurable simple function is a finite sum of vectors times measurable indicators; strong measurability is almost-everywhere pointwise approximation by such functions (Banach-valued simple function and integral, Strongly measurable Banach-valued function).

[F3]

For a finite measure, continuity from above implies continuity from below by taking complements (Continuity from above when one set has finite measure).

[F4]

The measure of a countable union is at most the sum of the measures Finite and countable subadditivity of measures.

Proof

Given: A probability space (Ω,F,P), a separable Banach space B, and a Borel-measurable map f:Ω→B.

1.1givenF1F3choose

Choose a countable dense sequence (dj)j≥1 in B. For each n≥1, assign ω to the first index j for which ∥f(ω)−dj∥<2−n; such an index exists by density. The resulting sets An,j form a measurable countable partition: each is the preimage of an open ball under f, with the finitely many earlier preimages removed.

2.1givenF2F3step 1.1construct

Since the partial unions ⋃j≤NAn,j increase to Ω, [F3] gives an integer Nn for which the omitted tail has measure at most 2−2n. Define sn=dj on An,j for j≤Nn, and sn=0 on the omitted tail. Then sn is a finite-valued measurable simple function.

3.1F2F3F4step 2.1algebra∎

The tail events Tn=⋃j>NnAn,j satisfy ∑nP(Tn)≤∑n2−2n<∞. By [F4], for every N, P(⋃n≥NTn)≤∑n≥N2−2n; continuity from above makes the probability of belonging to infinitely many Tn equal to zero. Outside that null set, for all sufficiently large n the point is not in Tn, and then ∥sn(ω)−f(ω)∥<2−n. Thus sn→f almost everywhere, which is strong measurability by [F2].

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Sources