Convergence of measures

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2010 Mathematics Subject Classification: Primary: 28A33 [MSN][ZBL] $\newcommand{\abs}[1]{\left|#1\right|}$

A concept in measure theory, determined by a certain topology in a space of measures that are defined on a certain $\sigma$-algebra $\mathcal{B}$ of subsets of a space $X$ or, more generally, in a space $\mathcal{M} (X, \mathcal{B})$ of charges, i.e. countably-additive real (resp. complex) functions $\mu: \mathcal{B}\to \mathbb R$ (resp. $\mathbb C$), often also called $\mathbb R$ (resp. $\mathbb C$) valued or signed measures. The total variation measure of a $\mathbb C$-valued measure is defined on $\mathcal{B}$ as: \[ \abs{\mu}(B) :=\sup\left\{ \sum \abs{\mu(B_i)}: \text{$\{B_i\}\subset\mathcal{B}$ is a countable partition of $B$}\right\}. \] In the real-valued case the above definition simplifies as \[ \abs{\mu}(B) = \sup_{A\in \mathcal{B}, A\subset B} \left(\abs{\mu (A)} + \abs{\mu (X\setminus B)}\right). \] The total variation of $\mu$ is then defined as $\left\|\mu\right\|_v := \abs{\mu}(X)$. The space $\mathcal{M}^b (X, \mathcal{B})$ of $\mathbb R$ (resp. $\mathbb C$) valued measure with finite total variation is a [[Banach space]] and the following are the most commonly used topologies. 1) The norm or [[strong topology]]: $\mu_n\to \mu$ if and only if $\left\|\mu_n-\mu\right\|_v\to 0$. 2) The [[weak topology]]: a sequence of measures $\mu_n \rightharpoonup \mu$ if and only if $F (\mu_n)\to F(\mu)$ for every bounded linear functional $F$ on $\mathcal{M}^b$. 3) When $X$ is a [[topological space]] and $\mathcal{B}$ the corresponding $\sigma$-algebra of [[Borel set|Borel sets]], we can introduce on $X$ the narrow topology. In this case $\mu_n$ converges to $\mu$ if and only if \begin{equation}\label{e:narrow} \int f\, \mathrm{d}\mu_n \to \int f\, \mathrm{d}\mu \end{equation} for every bounded continuous function $f:X\to \mathbb R$ (resp. $\mathbb C$). This topology is also sometimes called the weak topology, however such notation is inconsistent with the Banach space theory, see below. The following is an important consequence of the narrow convergence: if $\mu_n$ converges narrowly to $\mu$, then $\mu_n (A)\to \mu (A)$ for any Borel set such that $\abs{\mu}(\partial A) = 0$. 4) When $X$ is a locally compact topological space and $\mathcal{B}$ the $\sigma$-algebra of Borel sets yet another topology can be introduced, the so-called wide topology, or sometimes referred to as [[weak-star topology|weak$^\star$ topology]]. A sequence $\mu_n\rightharpoonup^\star \mu$ if and only if \eqref{e:narrow} holds for continuous functions which are compactly supported. This topology is in general weaker than the narrow topology. If $X$ is compact and Hausdorff the [[Riesz representation theorem]] shows that $\mathcal{M}^b$ is the dual of the space $C(X)$ of continuous functions. Under this assumption the narrow and weak$^\star$ topology coincides with the usual [[weak-star topology|weak$^\star$ topology]] of the Banach space theory. Since in general $C(X)$ is not a reflexive space, it turns out that the narrow topology is in general weaker than the weak topology. A topology analogous to the weak$^\star$ topology is defined in the more general space $\mathcal{M}^b_{loc}$ of locally bounded measures, i.e. those measures $\mu$ such that for any point $x\in X$ there is a neighborhood $U$ with $\abs{\mu}(U)<\infty$.


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How to Cite This Entry:
Convergence of measures. Encyclopedia of Mathematics. URL:
This article was adapted from an original article by R.A. Minlos (originator), which appeared in Encyclopedia of Mathematics - ISBN 1402006098. See original article