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On a finite-measure space, a bounded functional is integration against its Radon-Nikodym density
Statement
Let be a finite measure space, let , and let be a bounded linear functional. Then there exists a density such that for every bounded measurable representative with class , In particular the equality holds for every simple function.
Facts & Assumptions
Given: A finite measure space , an exponent , and a bounded linear functional on .
The induced set function is a finite signed measure and satisfies (On a finite-measure space, a bounded functional on defines a finite signed measure, The measure defined by a bounded functional is absolutely continuous with respect to ).
A finite absolutely continuous signed measure has an density by the Radon-Nikodym theorem (A sigma-finite signed measure that is absolutely continuous with respect to a sigma-finite positive measure has a unique almost-everywhere density).
Measurable functions admit dominated simple approximants (Every measurable function admits simple approximations dominated by its absolute value).
Dominated convergence applies to integrable majorants (Dominated convergence).
The Lebesgue integral is linear on (The Lebesgue integral is linear on ).
Proof
By [L1] and [L2], choose such that Since , this means
Let be bounded and measurable, with . By [L3], choose simple functions such that for every and pointwise. Since , and the majorant is integrable. Therefore [L4] gives so continuity of yields
For each simple approximant , step 1.1 and linearity give Thus the formula already holds for every simple function, and in particular for the chosen sequence .
Because and with , [L4] gives Combining this with step 1.2 and step 2.1 yields So the Radon-Nikodym density represents on every bounded measurable representative.
Depends on
- On a finite-measure space, a bounded functional on $L^p$ defines a finite signed measure
- The measure defined by a bounded $L^p$ functional is absolutely continuous with respect to $\mu$
- A sigma-finite signed measure that is absolutely continuous with respect to a sigma-finite positive measure has a unique almost-everywhere density
- Every measurable function admits simple approximations dominated by its absolute value
- Dominated convergence
- The Lebesgue integral is linear on $L^1(\mu)$
Used by
Dependency tree · two levels
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Sources
- Gerald B. Folland, Real Analysis, 2nd ed., Theorem 6.15 (standard reference, not scraped)
- Richard F. Bass, Real Analysis for Graduate Students, Theorem 15.11 (standard reference, not scraped)
- John K. Hunter, Measure Theory, Theorem 7.14 (standard reference, not scraped)