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Lebesgue-Stieltjes Measures and Distribution Functions - Examples
1 · Prerequisites
- Areas of Elementary Plane Figures
- Binary Operations, Monoids, Groups and Subgroups
- Bounded Variation and the Riemann–Stieltjes Integral
- Compactness
- Compactness in Metric Spaces
- Completeness, Completion, and Uniform Continuity
- Construction of the Natural Numbers
- Construction of the Real Numbers via Cauchy Sequences
- Construction of the Real Numbers via Dedekind Cuts
- Continuity, IVT, EVT, and Uniform Continuity
- Countability and Uncountability
- Filters and Ultrafilters
- Foundations of the Real Numbers for Analysis
- Lebesgue Measure on Euclidean Space
- Lebesgue-Stieltjes Measures and Distribution Functions
- Limits of Real Functions
- limsup, liminf, and Subsequential Limits
- Linear Independence, Bases and Dimension
- Linear Transformations, Rank-Nullity and Quotient Spaces
- Measures and Their Basic Properties
- Metric Spaces
- Monotone Functions, Discontinuities, and Continuity Sets
- Monotone Sequences, Bolzano-Weierstrass, and Cauchy Completeness
- Order, Zorn's Lemma, and the Axiom of Choice
- Outer Measure and the Caratheodory Extension Theorem
- Relations, Functions, and Quotients
- Rings, Subrings, Integral Domains and Fields
- Rⁿ as a Normed Space; Vector-Valued Functions
- Roots, Rational Powers, and Classical Inequalities
- Sequences and Limits
- Series: Convergence and the Nonnegative Tests
- Sigma Algebras and Borel Sets
- Subspaces, Products, and Quotients
- Suprema and Infima
- The Cantor Set, Baire Category, and Measure Zero in ℝ
- The Riemann Integral in Rᵐ and Jordan Content
- The Riemann Integral: Definition and Integrability
- The Topology of Euclidean Space
- The ZFC Axioms and the Basic Set Constructions
- Topological Spaces and Continuity
- Topology of ℝ
- Vector Spaces, Linear Subspaces, Span and Direct Sums
2 · Summary
3 · Logical flowchart
4 · Definitions, theorems and proofs
None yet.
5 · Examples, counterexamples and false statements
The identity function generates Lebesgue measure
Example
Assuming the Axiom of Countable Choice, for the associated Lebesgue-Stieltjes measure is exactly Lebesgue measure. In particular, the interval formulas become the ordinary length formulas
Facts & Assumptions
Given: The Axiom of Countable Choice and the identity function on .
Assuming Countable Choice, the Lebesgue-Stieltjes measure of the identity function is Lebesgue measure. (Lebesgue measure is the Lebesgue-Stieltjes measure of the identity function)
The interval formulas for a Lebesgue-Stieltjes measure recover open, closed, and half-open interval values from the distribution function. (Interval formulas and atoms for a Lebesgue-Stieltjes measure)
Verification
By [L1], the measure attached to is .
Applying [L2] with gives [step 1.1, L2] , so every one of the four interval conventions has measure .
A single jump generates the Dirac mass at
Example
Let
Then the associated Lebesgue-Stieltjes measure is the Dirac mass at .
Facts & Assumptions
Given: The step function displayed above and its Lebesgue-Stieltjes measure .
Lebesgue-Stieltjes singleton masses are jumps, and half-open interval values are increments. (Interval formulas and atoms for a Lebesgue-Stieltjes measure)
Verification
The only jump of occurs at , where , so [L1] gives .
If , then , so [L1] gives ; and for any interval , the increment is exactly when and is otherwise, which is exactly the interval behavior of .
A step function generates a finite atomic measure
Example
Fix numbers and positive masses , and define
Then the Lebesgue-Stieltjes measure of is the finite atomic measure
Facts & Assumptions
Given: Points , positive numbers , the step function , and its Lebesgue-Stieltjes measure .
Finite weighted sums of Dirac measures are measures. (A Dirac set function is a probability measure, Nonnegative scalar multiples and countable weighted sums of measures are measures)
A Borel measure on finite on compact sets is uniquely determined by its values on half-open intervals. (The interval data on determines the Borel measure uniquely)
Verification
Let . By [L1], this is a Borel measure on .
For every ,
On the other hand, because , one has
So and agree on every half-open interval . [given, step 1.1, algebra]
Both and are Borel measures on finite on [step 2.1, L2] compact sets. By step 2.1 and [L2], they are equal on every Borel set. Thus , which is the claimed formula.
Two different normalizations give the same Lebesgue-Stieltjes measure
Example
If , then and define the same Lebesgue-Stieltjes measure. This is the additive-constant ambiguity that the normalization removes.
Facts & Assumptions
Given: Countable choice, a nondecreasing right-continuous function , and the shifted function .
Assuming countable choice, two nondecreasing right-continuous functions define the same Lebesgue-Stieltjes measure exactly when their difference is constant. (Assuming countable choice, finite-on-compacts Borel measures on correspond to nondecreasing right-continuous functions modulo constants)
Verification
The function is nondecreasing and right-continuous whenever is, and [given] is the constant function .
Therefore [L1] gives . The two distribution functions are [step 1.1, L1] distinct unless , so the normalization convention is doing real work.
The interval formulas for a function with one jump
Example
For the step function
the four interval conventions visibly differ at the jump:
Facts & Assumptions
Given: The step function above and its Lebesgue-Stieltjes measure .
For a Lebesgue-Stieltjes measure, the open, closed, and half-open interval formulas are , , , and . (Interval formulas and atoms for a Lebesgue-Stieltjes measure)
Verification
For this , one has [given] , , , , and .
Substituting those values into [L1] gives [step 1.1, L1] , , , and .
The Cantor measure is concentrated on the Cantor set
Example
The Cantor measure is a probability measure with
So it is entirely supported on the Cantor set even though the Cantor set has Lebesgue measure .
Facts & Assumptions
Given: The Cantor measure and the Cantor set .
The Cantor measure is a singular atomless probability measure concentrated on the Cantor set. (The Cantor measure is a singular atomless probability measure concentrated on the Cantor set)
Verification
By [L1], .
The same fact [L1] says , hence [step 1.1, L1] . This is exactly what concentration on means.
The arctangent distribution function generates a Borel probability measure
Example
Assume the Axiom of Countable Choice and let
Then is increasing and continuous, so it defines a Lebesgue-Stieltjes measure . Its half-open interval values are
and is a probability measure.
Facts & Assumptions
Given: The Axiom of Countable Choice, the function , and its Lebesgue-Stieltjes measure .
Assuming Countable Choice, every increasing right-continuous function defines a Lebesgue-Stieltjes measure, with half-open interval values given by increments. (Assuming countable choice, a nondecreasing right-continuous function defines a Borel measure on )
Measures are continuous from below along increasing sets. (Continuity from below for measures)
Verification
The function is increasing and continuous, hence right-continuous, so [L1] gives a measure with the following interval values.
The intervals increase to .
Because , [L2] gives . So is a probability measure. [step 1.1, L2] ∎
A nondecreasing function that is not right-continuous can fail countable additivity
Statement refuted
That the interval prescription still defines a countably additive Borel measure when is merely nondecreasing and not right-continuous.
Facts & Assumptions
Given: The nondecreasing function
Measures are continuous from above on decreasing sets when the first set has finite measure. (Continuity from above when one set has finite measure)
Counterexample
If a Borel measure satisfied , then [given] for every , because and .
The sets decrease to , and [step 1.1, L1] . Therefore [L1] would force , contradicting step 1.1. So the interval prescription fails countable additivity for this nondecreasing non-right-continuous .
The Cantor measure is atomless but not absolutely continuous with respect to Lebesgue measure
Statement refuted
That every atomless Borel measure on must be absolutely continuous with respect to Lebesgue measure.
Facts & Assumptions
Given: The Axiom of Countable Choice and the Cantor measure .
Assuming Countable Choice, the Cantor measure is an atomless probability measure singular with respect to Lebesgue measure. (The Cantor measure is a singular atomless probability measure concentrated on the Cantor set)
Counterexample
By [L1], the measure is atomless.
The same fact [L1] says that is singular and has total mass . [step 1.1, L1] If it were also absolutely continuous with respect to Lebesgue measure, its concentration on a Lebesgue-null set would force its total mass to be , a contradiction. Therefore atomlessness does not imply absolute continuity.