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A sigma-finite positive measure has a nonnegative Radon–Nikodym density version

Statement

Assume AC. If μ and ν are sigma-finite positive measures on the same measurable space and ν≪μ, then the Radon–Nikodym class dν/dμ has a finite-valued nonnegative measurable representative. Every finite-valued representative of that class is nonnegative μ-almost everywhere.

Facts & Assumptions

Given: AC, sigma-finite positive measures μ,ν on (X,A), and ν≪μ.

[A1]

The Axiom of Choice: AC states that every family of nonempty sets has a choice function.

[F1]

Finite, sigma-finite, and semifinite measures: sigma-finiteness gives a countable measurable cover by sets of finite measure.

[F2]

The total variation |nu|(E) from countable measurable partitions: total variation is the supremum of sums of absolute measure values over measurable partitions. For a positive measure, countable additivity makes every such sum equal to the measure of the partitioned set.

[F3]

A sigma-finite signed measure that is absolutely continuous with respect to a sigma-finite positive measure has a unique almost-everywhere density and The Radon-Nikodym derivative as an almost-everywhere equivalence class: under AC, absolute continuity and a common finite exhaustion give a nonempty almost-everywhere class of real-valued densities satisfying the setwise integral formula; its representatives are locally integrable on the exhaustion sets.

[F4]

Absolute continuity of a signed or complex measure with respect to a positive measure: ν≪μ means every μ-null measurable set is ν-null.

[F5]

Extended-real-valued measurable functions and Sigma-algebras: if f is measurable, {f≤c} is measurable as the complement of {f>c}, and countable unions of measurable sets are measurable.

[F6]

Integrable real and complex functions, and their integrals and Monotonicity and nonnegative homogeneity of the nonnegative integral: on a finite-integral piece, a real integrable function has a defined signed integral; the nonnegative integral is monotone.

[F7]

Closure properties of measurable functions used by the integral: scalar multiples of measurable real functions and their positive parts, including max⁡{f,0}, are measurable.

Proof

technique · direct
1.1A1F1F2F3givenchoose

Choose increasing countable finite-measure covers (Ai) for μ and (Bj) for ν, using [F1]. Set Xn=⋃i,j≤n(Ai∩Bj). Then Xn↑X and both μ(Xn) and ν(Xn) are finite, since each finite union is contained in finite unions of sets from the corresponding cover. By [F2], ∣ν∣(Xn)=ν(Xn)<∞. Thus [F3] applies. Fix any finite-valued representative f of the nonempty class; it satisfies ν(E)=∫Ef dμ for every measurable E and ∫Xn∣f∣ dμ<∞.

2.1F3F5F6F7step 1.1given

For n,m≥1, let En,m=Xn∩{f≤−1/m}, which is measurable by [F5]. On En,m, −f≥1/m; because f is integrable on Xn, [F6] and [F7] give ∫En,mf dμ≤−μ(En,m)/m. If μ(En,m)>0, the representation in step 1.1 would give ν(En,m)<0, contradicting positivity of ν. Hence every En,m is μ-null.

3.1F1F5step 2.1

The countable union N=⋃n,m≥1En,m is measurable and μ-null by [F5]. Since the sets Xn cover X, N={f<0}.

4.1F3F4F7step 1.1step 3.1given∎

Define f~=max⁡{f,0}. By [F7], f~ is measurable; it is nonnegative, equals f off N, and is zero on N. For every measurable E, absolute continuity gives ν(E)=ν(E∖N) by [F4], while step 1.1 gives ν(E∖N)=∫E∖Nf dμ=∫Ef~ dμ. Thus f~ represents the Radon–Nikodym class. The argument also shows that any finite-valued representative is nonnegative outside a null set.

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