Namespaces
Variants
Actions

Difference between revisions of "Radon-Nikodým theorem"

From Encyclopedia of Mathematics
Jump to: navigation, search
m (Added link.)
(Added reference and defined Radon-Nikodym property.)
Line 8: Line 8:
 
A classical theorem in measure theory first established by J. Radon and O.M. Nikodym, which has the following statement.  
 
A classical theorem in measure theory first established by J. Radon and O.M. Nikodym, which has the following statement.  
  
 +
'''Theorem 1'''
 
Let $\mathcal{B}$ be a [[Algebra of sets|σ-algebra]] of subsets
 
Let $\mathcal{B}$ be a [[Algebra of sets|σ-algebra]] of subsets
 
of a set $X$ and let $\mu$ and $\nu$ be two measures on $\mathcal{B}$. If $\nu$ is absolutely continuous
 
of a set $X$ and let $\mu$ and $\nu$ be two measures on $\mathcal{B}$. If $\nu$ is absolutely continuous
with respect to $\mu$, i.e. $\nu (A)=0$ whenever $\mu (A) = 0$, then there is a $\mathcal{B}$-measurable nonnegative function $f$ such that
+
with respect to $\mu$, i.e. $\nu (A)=0$ whenever $\mu (A) = 0$, and $\mu$ is $\sigma$-finite, then there is a $\mathcal{B}$-measurable nonnegative function $f$ such that
 
\begin{equation}\label{e:R-N}
 
\begin{equation}\label{e:R-N}
 
\nu (B) = \int_B f\, d\mu \qquad \forall B\in \mathcal{B}\, .
 
\nu (B) = \int_B f\, d\mu \qquad \forall B\in \mathcal{B}\, .
 
\end{equation}
 
\end{equation}
The function $f$ is uniquely determined up to sets of $\mu$-measure zero.
+
 
The theorem can be generalized to signed measures, $\mathbb C$-valued measures and, more in general, vector-valued measures
+
The function $f$ is uniquely determined up to sets of $\mu$-measure zero and the $\sigma$-finiteness assumption of $\mu$ is necessary. For a proof see for instance Section 31 of {{Cite|Ha}}.
(see [[Signed measure]]). More precisely, let $\mu$ be a (nonnegative real-valued) measure on $\mathcal{B}$, $V$ be a finite-dimensional
+
The theorem can be generalized to signed measures, $\mathbb C$-valued measures and, more in general, measures taking values in a finite-dimensional space
 +
(see [[Signed measure]]). More precisely, let $\mu$ be a (nonnegative real-valued) $\sigma$-finite measure on $\mathcal{B}$, $V$ be a finite-dimensional
 
vector-space and $\nu:\mathcal{B}\to V$ a $\sigma$-additive function such that $\nu (A) = 0$ whenever $\mu (A) =0$.
 
vector-space and $\nu:\mathcal{B}\to V$ a $\sigma$-additive function such that $\nu (A) = 0$ whenever $\mu (A) =0$.
Then there is a function $f\in L^1 (\mu, V)$ such that \ref{e:R-N} hold. See also [[Vector measure]] for more general statements.
+
Then there is a function $f\in L^1 (\mu, V)$ such that \ref{e:R-N} hold. This statement can be generalized to some, but not all, Banach spaces. If the conclusion of Theorem 1 holds for measures $\nu$ taking values in a certain Banach space $B$, then $B$ is said to have the Radon-Nikodym property, see [[Vector measure]].
  
 
For a useful characterization of the density $f$ in the case of Radon measures in euclidean spaces see [[Differentiation of measures]].
 
For a useful characterization of the density $f$ in the case of Radon measures in euclidean spaces see [[Differentiation of measures]].
Line 25: Line 27:
 
{|
 
{|
 
|-
 
|-
|valign="top"|{{Ref|AmFuPa}}||  L. Ambrosio, N. Fusco, D. Pallara, "Functions of bounded variations  and  free discontinuity problems". Oxford Mathematical Monographs. The  Clarendon Press, Oxford University Press, New York, 2000.  {{MR|1857292}}{{ZBL|0957.49001}}  
+
|valign="top"|{{Ref|AFP}}||  L. Ambrosio, N. Fusco, D. Pallara, "Functions of bounded variations  and  free discontinuity problems". Oxford Mathematical Monographs. The  Clarendon Press, Oxford University Press, New York, 2000.  {{MR|1857292}}{{ZBL|0957.49001}}
 +
|-
 +
|valign="top"|{{Ref|Bi}}||  P. Billingsley, "Convergence of  probability measures" , Wiley (1968)  {{MR|0233396}}  {{ZBL|0172.21201}}
 
|-
 
|-
 
|valign="top"|{{Ref|Bo}}||  N. Bourbaki, "Elements of mathematics. Integration" , Addison-Wesley  (1975) pp. Chapt.6;7;8 (Translated from French) {{MR|0583191}}  {{ZBL|1116.28002}} {{ZBL|1106.46005}} {{ZBL|1106.46006}}  {{ZBL|1182.28002}} {{ZBL|1182.28001}} {{ZBL|1095.28002}}  {{ZBL|1095.28001}} {{ZBL|0156.06001}}
 
|valign="top"|{{Ref|Bo}}||  N. Bourbaki, "Elements of mathematics. Integration" , Addison-Wesley  (1975) pp. Chapt.6;7;8 (Translated from French) {{MR|0583191}}  {{ZBL|1116.28002}} {{ZBL|1106.46005}} {{ZBL|1106.46006}}  {{ZBL|1182.28002}} {{ZBL|1182.28001}} {{ZBL|1095.28002}}  {{ZBL|1095.28001}} {{ZBL|0156.06001}}
 
|-
 
|-
|valign="top"|{{Ref|DS}}||  N. Dunford, J.T. Schwartz, "Linear operators. General theory" ,  '''1'''  , Interscience (1958) {{MR|0117523}}
+
|valign="top"|{{Ref|DS}}||  N. Dunford, J.T. Schwartz, "Linear operators. General theory" ,  '''1'''  , Interscience (1958) {{MR|0117523}} {{ZBL|0635.47001}}
 
|-
 
|-
|valign="top"|{{Ref|Bi}}||   P. Billingsley, "Convergence of probability measures" , Wiley (1968)   {{MR|0233396}} {{ZBL|0172.21201}}
+
|valign="top"|{{Ref|Ha}}|| P.R. Halmos,   "Measure theory", v. Nostrand  (1950) {{MR|0033869}} {{ZBL|0040.16802}}
 
|-
 
|-
|valign="top"|{{Ref|He}}||  E. Hewitt,  K.R. Stromberg,  "Real and abstract analysis" , Springer  (1965) {{MR|0188387}} {{ZBL|0137.03202}}
+
|valign="top"|{{Ref|HS}}||  E. Hewitt,  K.R. Stromberg,  "Real and abstract analysis" , Springer  (1965) {{MR|0188387}} {{ZBL|0137.03202}}
 
|-
 
|-
 
|valign="top"|{{Ref|Ma}}||  P. Mattila, "Geometry of sets and measures in euclidean spaces".  Cambridge Studies in Advanced Mathematics, 44. Cambridge University  Press, Cambridge,  1995. {{MR|1333890}} {{ZBL|0911.28005}}
 
|valign="top"|{{Ref|Ma}}||  P. Mattila, "Geometry of sets and measures in euclidean spaces".  Cambridge Studies in Advanced Mathematics, 44. Cambridge University  Press, Cambridge,  1995. {{MR|1333890}} {{ZBL|0911.28005}}

Revision as of 14:08, 10 August 2012

generalized measure, real valued measure

2020 Mathematics Subject Classification: Primary: 28A33 [MSN][ZBL] $\newcommand{\abs}[1]{\left|#1\right|}$

A classical theorem in measure theory first established by J. Radon and O.M. Nikodym, which has the following statement.

Theorem 1 Let $\mathcal{B}$ be a σ-algebra of subsets of a set $X$ and let $\mu$ and $\nu$ be two measures on $\mathcal{B}$. If $\nu$ is absolutely continuous with respect to $\mu$, i.e. $\nu (A)=0$ whenever $\mu (A) = 0$, and $\mu$ is $\sigma$-finite, then there is a $\mathcal{B}$-measurable nonnegative function $f$ such that \begin{equation}\label{e:R-N} \nu (B) = \int_B f\, d\mu \qquad \forall B\in \mathcal{B}\, . \end{equation}

The function $f$ is uniquely determined up to sets of $\mu$-measure zero and the $\sigma$-finiteness assumption of $\mu$ is necessary. For a proof see for instance Section 31 of [Ha]. The theorem can be generalized to signed measures, $\mathbb C$-valued measures and, more in general, measures taking values in a finite-dimensional space (see Signed measure). More precisely, let $\mu$ be a (nonnegative real-valued) $\sigma$-finite measure on $\mathcal{B}$, $V$ be a finite-dimensional vector-space and $\nu:\mathcal{B}\to V$ a $\sigma$-additive function such that $\nu (A) = 0$ whenever $\mu (A) =0$. Then there is a function $f\in L^1 (\mu, V)$ such that \ref{e:R-N} hold. This statement can be generalized to some, but not all, Banach spaces. If the conclusion of Theorem 1 holds for measures $\nu$ taking values in a certain Banach space $B$, then $B$ is said to have the Radon-Nikodym property, see Vector measure.

For a useful characterization of the density $f$ in the case of Radon measures in euclidean spaces see Differentiation of measures.

References

[AFP] L. Ambrosio, N. Fusco, D. Pallara, "Functions of bounded variations and free discontinuity problems". Oxford Mathematical Monographs. The Clarendon Press, Oxford University Press, New York, 2000. MR1857292Zbl 0957.49001
[Bi] P. Billingsley, "Convergence of probability measures" , Wiley (1968) MR0233396 Zbl 0172.21201
[Bo] N. Bourbaki, "Elements of mathematics. Integration" , Addison-Wesley (1975) pp. Chapt.6;7;8 (Translated from French) MR0583191 Zbl 1116.28002 Zbl 1106.46005 Zbl 1106.46006 Zbl 1182.28002 Zbl 1182.28001 Zbl 1095.28002 Zbl 1095.28001 Zbl 0156.06001
[DS] N. Dunford, J.T. Schwartz, "Linear operators. General theory" , 1 , Interscience (1958) MR0117523 Zbl 0635.47001
[Ha] P.R. Halmos, "Measure theory", v. Nostrand (1950) MR0033869 Zbl 0040.16802
[HS] E. Hewitt, K.R. Stromberg, "Real and abstract analysis" , Springer (1965) MR0188387 Zbl 0137.03202
[Ma] P. Mattila, "Geometry of sets and measures in euclidean spaces". Cambridge Studies in Advanced Mathematics, 44. Cambridge University Press, Cambridge, 1995. MR1333890 Zbl 0911.28005
[Ni] O. M. Nikodym, "Sur une généralisation des intégrales de M. J. Radon". Fund. Math. , 15 (1930) pp. 131–179
[Ra] J. Radon, "Ueber lineare Funktionaltransformationen und Funktionalgleichungen", Sitzungsber. Acad. Wiss. Wien , 128 (1919) pp. 1083–1121
How to Cite This Entry:
Radon-Nikodým theorem. Encyclopedia of Mathematics. URL: http://encyclopediaofmath.org/index.php?title=Radon-Nikod%C3%BDm_theorem&oldid=27483
This article was adapted from an original article by R.A. Minlos (originator), which appeared in Encyclopedia of Mathematics - ISBN 1402006098. See original article