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Every finite Borel measure on R has a unique absolutely continuous, discrete, and singular-continuous decomposition
Statement
Assume the Axiom of Countable Choice. Let be a finite Borel measure on . Then there exist unique finite Borel measures such that where , is discrete, and is atomless and singular with respect to Lebesgue measure .
Facts & Assumptions
Given: Countable choice and a finite Borel measure on .
Every finite Borel measure on splits uniquely as an atomic part plus an atomless part. (Every finite Borel measure on splits as an atomic part plus an atomless part)
Lebesgue measure is the Lebesgue-Stieltjes measure of the identity function on . (Lebesgue measure is the Lebesgue-Stieltjes measure of the identity function)
The Lebesgue decomposition exists and is unique when the measure and the positive reference measure admit a common finite exhaustion (Every sigma-finite signed measure admits a Lebesgue decomposition relative to a sigma-finite positive measure, The Lebesgue decomposition of a sigma-finite signed measure is unique).
The Cantor measure is a singular atomless probability measure, so the singular-continuous part is a genuine phenomenon. (The Cantor measure, The Cantor measure is a singular atomless probability measure concentrated on the Cantor set)
Proof
By [L1], write , where is discrete and is atomless.
Choose an increasing exhaustion of with . Since is finite, also , so [L3] applies to relative to Lebesgue measure from [L2]. This gives with and . Because is atomless and both summands are positive, forces for every , so is atomless as well.
Combining steps 1.1 and 2.1 gives the required decomposition . Uniqueness follows because [L1] uniquely determines the discrete part and atomless remainder, while [L3] uniquely decomposes that atomless remainder into its absolutely continuous and singular pieces. The singular-continuous part is nonvacuous by [L4], which provides an atomless singular finite Borel measure.
Depends on
- The absolutely continuous part and the singular part in the Lebesgue decomposition
- Every sigma-finite signed measure admits a Lebesgue decomposition relative to a sigma-finite positive measure
- The Lebesgue decomposition of a sigma-finite signed measure is unique
- Lebesgue measure is the Lebesgue-Stieltjes measure of the identity function
- The Cantor measure
- The Cantor measure is a singular atomless probability measure concentrated on the Cantor set
- Every finite Borel measure on $\mathbb{R}$ splits as an atomic part plus an atomless part
Used by
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Sources
- Gerald B. Folland, Real Analysis, 2nd ed., §1.5 (standard reference, not scraped)
- John K. Hunter, Measure Theory, Example 2.37 and §6.8 (standard reference, not scraped)