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On a finite-measure space, a bounded Lp functional is integration against its Radon-Nikodym density

Statement

Assume the Axiom of Choice. Let (X,A,μ) be a finite measure space, let 1≤p<∞, and let Λ:Lp(μ)→R be a bounded linear functional. Then there exists a density g∈L1(μ) such that for every bounded measurable representative u with class [u]∈Lp(μ), Λ([u])=∫ug dμ. In particular the equality holds for every simple function.

Facts & Assumptions

Given: AC, a finite measure space (X,A,μ), an exponent 1≤p<∞, and a bounded linear functional Λ on Lp(μ).

[L1]
[L2]

A finite absolutely continuous signed measure has an L1 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).

[L3]

Measurable functions admit dominated simple approximants (Every measurable function admits simple approximations dominated by its absolute value).

[L4]

Dominated convergence applies to integrable majorants (Dominated convergence).

[L5]

The Lebesgue integral is linear on L1(μ) (The Lebesgue integral is linear on L1(μ)).

[L6]

AC permits the RN and Hahn/Jordan constructions. For a finite-valued signed measure, the Jordan totals are finite values on its Hahn pieces, so their sum, its total variation, is finite. (The Axiom of Choice, Jordan decomposition of a signed measure into unique mutually singular positive parts, For a signed measure, total variation is nu-plus plus nu-minus, finite partitions suffice, and nu-plus and nu-minus are extremal)

Proof

technique · Apply Radon-Nikodym to the measure $\nu(E)=\Lambda(\mathbf 1_E)$, identify the pairing first on indicators and simple functions, and then extend to bounded measurable representatives by dominated convergence
1.1L1L2L6givenchoose

By [L1] the induced measure is finite signed and absolutely continuous. By [L6] its total variation is finite; the constant exhaustion Xn=X is common and finite for it and μ. Under AC, [L2] therefore applies: choose g∈L1(μ) such that ν(E)=∫Eg dμ(E∈A). Since ν(E)=Λ([1E]), this means Λ([1E])=∫1Eg dμ(E∈A).

1.2L3L4givenchoose

Let u be bounded and measurable, with ∣u∣≤M. By [L3], choose simple functions (sn) such that ∣sn∣≤M for every n and sn→u pointwise. Since μ(X)<∞, ∣sn−u∣p≤(2M)p1X, and the majorant is integrable. Therefore [L4] gives ∥[sn]−[u]∥pp=∫∣sn−u∣p dμ⟶0, so continuity of Λ yields Λ([sn])⟶Λ([u]).

2.1L5step 1.1step 1.2givenalgebra

For each simple approximant sn, step 1.1 and linearity give Λ([sn])=∫sng dμ. Thus the formula already holds for every simple function, and in particular for the chosen sequence (sn).

3.1L4step 1.2step 2.1∎

Because g∈L1(μ) and ∣(sn−u)g∣≤2M∣g∣ with 2M∣g∣∈L1(μ), [L4] gives ∫sng dμ⟶∫ug dμ. Combining this with step 1.2 and step 2.1 yields Λ([u])=∫ug dμ. So the Radon-Nikodym density represents Λ on every bounded measurable representative.

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