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A sigma-finite signed measure that is absolutely continuous with respect to a sigma-finite positive measure has a unique almost-everywhere density
Statement
Let be a positive measure and let be a signed measure on . Assume there is an increasing measurable exhaustion with , , and for every . If , then there exists a measurable real-valued function , unique up to -almost-everywhere equality, such that If in addition , then .
Facts & Assumptions
Given: A positive measure , a signed measure with a common finite exhaustion , and the hypothesis .
The Lebesgue decomposition theorem gives with , , and whenever the integral is defined. (Every sigma-finite signed measure admits a Lebesgue decomposition relative to a sigma-finite positive measure)
A signed or complex measure that is both absolutely continuous and singular with respect to is zero. (A signed or complex measure that is both absolutely continuous and singular with respect to the same positive measure is zero)
If a signed measure is absolutely continuous with respect to , then its Jordan parts are too. (For signed and complex measures, absolute continuity is equivalent for the measure, its Jordan or real-imaginary parts, and its total variation)
Jordan decomposition writes , and for a signed measure one has . (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
By [L1], write , where , , and whenever the integral is defined.
Because and , the difference is also absolutely continuous with respect to . Step 1.1 already gives , so [L2] forces . Hence , and the displayed integral formula for represents on every measurable set.
Suppose is another measurable real-valued function with for every measurable . Fix . For each , let Applying the two representation formulas to gives so ; the same argument with gives . Therefore is -null. Since , the functions and agree -almost everywhere on .
If , let be the Jordan decomposition from [L4]. Then [L3] makes both and absolutely continuous with respect to . Apply the positive-measure part of [L1] to obtain nonnegative measurable functions with Then is another representative of , so step 3.1 gives -almost everywhere. Hence almost everywhere, and Therefore by the definition of integrability.
Steps 2.1, 3.1, and 4.1 prove existence, almost-everywhere uniqueness, and the finite-measure integrability clause.
Depends on
- Integrable real and complex functions, and their integrals
- The total variation |nu|(E) from countable measurable partitions
- For a signed measure, total variation is nu-plus plus nu-minus, finite partitions suffice, and nu-plus and nu-minus are extremal
- For signed and complex measures, absolute continuity is equivalent for the measure, its Jordan or real-imaginary parts, and its total variation
- A signed or complex measure that is both absolutely continuous and singular with respect to the same positive measure is zero
- Jordan decomposition of a signed measure into unique mutually singular positive parts
- Every sigma-finite signed measure admits a Lebesgue decomposition relative to a sigma-finite positive measure
Used by
- A finite complex measure absolutely continuous with respect to a sigma-finite positive measure has an integrable complex density Corollary
- Equivalent sigma-finite positive measures have reciprocal Radon-Nikodym derivatives almost everywhere Corollary
- The Radon-Nikodym derivative as an almost-everywhere equivalence class Definition
- Von Neumann's Hilbert-space proof of Radon-Nikodym is shorter but depends on L² Riesz representation Remark
- Every finite signed or complex measure has a polar decomposition against its total variation Theorem
- Integrating against a Radon-Nikodym derivative recovers integration against the measure Theorem
- Radon-Nikodym derivatives add almost everywhere Theorem
- Radon-Nikodym derivatives satisfy the chain rule along nu << mu << lambda Theorem
- The total variation of an absolutely continuous signed or complex measure has density the absolute value of the Radon-Nikodym derivative Theorem
Dependency tree · two levels
25 results within two dependency steps of this one, each drawn at its shortest distance from it. An arrow runs from a result to what uses it, so the chart reads left to right and ends at this result, which carries a heavier outline. Every node is a link to that result. Click elsewhere on the chart to enlarge it.
Sources
- Richard F. Bass, Real Analysis for Graduate Students, Theorem 13.4 (standard reference, not scraped)
- John K. Hunter, Measure Theory, Theorem 6.27 (standard reference, not scraped)