Homework 6–A Radon-Nikodym banquet

And some absolute continuity, and more

NOTE: I will give this homework a lot of weight, because I believe the Radon-Nikodym theorem to be important,
and I feel we have not spent enough time in class on it. Our text deals with it too fast. This homework has a
soft deadline of Friday, November 1 and an absolute deadline of Tuesday, November 26. Please work on it. There
will be more homework; all further homework will have the absolute deadline of either November 26 or Monday,
December 2. I strongly suggest three things:
1. Finish homework as soon as possible; hand in before the soft deadline.

2. Do more textbook exercises. Look to see if anything strikes you as interesting and try to do it. Try the
Problems also. I’ll be glad to help with questions. I might not be able to give you an immediate answer on
some of the harder problems; I would have to think about them myself.
3. Read the textbook and my notes. And, when I return homework, read what I wrote in red.

I list here a number of the relevant definitions. They are as in the text and are the ones to be used. You
can consult other books, even the internet, but your proofs have to be based on the definitions as given here and
you can only use theorems from the textbook. If you get a result from another source please, pretty please, make
sure you understand it. And don’t go too fast to other sources. Remember that once you work on a dissertation
problem, if you find the answer on the internet, it means you need a different problem to work on.

1 Some Definitions and Theorems

• Let (X, M) be a measurable space. A signed measure in this space, or on M, is a map ν : M → (−∞, ∞]such
that

1. ν(∅) = 0.
 
∪ ∞
∑
2. If Ej ∈ M for j ∈ N and Ej ∩ Ek = ∅ if j ̸= k, then ν  Ej  = µ(Ej ).
j∈N j=1

• Assume ν is a signed measure in the measurable space (X, M). The total variation measure |ν| is defined by

∑∞ ∞
∪
|ν|(E) = sup{ |ν(Ej )| : Ej ∈ M ∀ j ∈ N, E = · Ej (disjoint union)}
j=1 j=1

if E ∈ M. Then |ν| is a positive measure on M.

• If ν is a signed measure in the measurable space (X, M) one defines ν + = 12 (|ν| + ν), ν + = 12 (|ν| − ν). Then
ν + , ν − are positive measures on M and

ν = ν+ − ν−, |ν| = ν + + ν.

• We say a signed measure ν is σ-finite iff |ν| is σ-finite.

• Assume µ is a positive measure on M, ν a signed measure on M. We say ν is absolutely continuous with

respect to µ, and write ν ≪ µ, iff ν(E) = 0 whenever E ∈ M and µ(E) = 0. Sometimes (but I think not our
textbook) this definition gets extended to the case where µ is not necessarily positive, by defining ν ≪ µ iff
ν ≪ |µ|.
• Assume µ, ν are signed measures on the σ-algebra M. We say they are mutually singular and write ν ⊥ µ
iff there exist sets A, B ∈ M, A ∩ B = ∅, µ(E) = µ(E ∩ A), ν(E) = ν(E ∩ B) for all E ∈ M. If mu is a
positive measure one can simplify this definition a bit to there exists a set B ∈ M such that µ(B) = 0 and
ν(B) = ν(E ∩ B) for all E ∈ M. In fact, then we can take for A the set B c . In fact, then if E ∈ M we have
µ(E ∩ B) = 0 (this of course is not necessarily true if µ is not a positive measure), hence µ(E) = µ(E ∩ B).
2 THE HOMEWORK 2

• The two main theorems in this section are the theorems of Lebesgue and of Radon-Nikodym; usually proved
as a unit. For both the assumption is that (X, M) is a measurable space, ν is a signed measure on M, µ a
positive measure on M; both measures are σ-finite.

Theorem 1 (Lebesgue) The measure ν decomposes in the form ν = νa + νs where νa ≪ µ, νs ⊥ µ. The

decomposition is unique.

Theorem 2 (Radon-Nikodym) Assume ν ≪ µ. there exists a unique (up to µ-equivalence a.e.) extended
µ-integrable function f such that ∫
ν(E) = f dµ
X
for all E ∈ M.

Note: I confess here to having slandered our textbook a bit by declaring there was an error in the statement
of Radon-Nikodym-Lebesgue. I failed to see again and again that the statement did not say “µ-integrable”
but “extended
∫ µ-integrable.”
∫ Generally speaking, a measurable function f is extended µ-integrable iff at least
one of X f + dµ, X f − dµ is finite. Our textbook does not allow a signed measure to assume the value −∞,
so to say ν is σ − f inite (in our textbook’s context∗ ) is the same as saying that ν − is finite, ν + σ-finite. Of
course, ν is finite if and only if f is integrable. To summarize, there is nothing wrong with the statement of
Radon-Nikodym in the textbook.
The extension from the case of both µ, ν being positive measures, ν finite, to the general case is standard.
−
−
∫ > −inf ty for all E 1it does follow that ν is bounded;
Because of the condition that ν(E) i.e., ∫finite (see
Exercise 2 below). Then ν (E) = E g dµ for some g ∈ L (µ) and one needs to see that ν + (E) = E h dµ for
some measurable, non-negative h.
• If ν is a signed measure and f is measurable with respect to the measurable space (X, M), one defines
∫ ∫ ∫
f dν = f dν + − f dν − ,
X X X

whenever the two integrals on the right hand side make sense, and are not both equal to ∞. One says f is
ν-integrable iff it is |ν| integrable; equivalently iff it is ν + and ν − integrable.

2 The Homework
1. Prove the following equivalences (and/or semi-equivalences).
(a) ν ≪ µ if and only if |ν| ≪ µ.
(b) Assume ν is finite. Show that ν ≪ µ if and only if for each ϵ > 0 there is δ > 0 such that if E ∈ M,
µ(E) < δ, then |ν(E)| < ϵ.
2. If a positive measure µ on a measurable space (X, M) can take only finite values, then it is bounded. In fact
µ(E) ≤ µ(X) < ∞ for all E ∈ M. For a signed measure one might assume the situation is very different,
and up to a point it is. For sure, µ(X) is not necessarily an upper bound; it could well be 0 or negative. In
principle there seems to be no reason why one shouldn’t have sets of very large positive and of very large
negative measure. The fact is, one doesn’t. In fact, prove:
If (X, M) is a measurable space and ν : M → R is a signed measure, −∞ < ν(E) < ∞ for all E ∈ M, then
the total variation measure |ν| is a finite measure. In particular, |ν(E)| ≤ |ν|(X) < ∞ for all E ∈ M. (Then,
of course, ν is bounded; |ν(E)| ≤ |ν|(X) for all E ∈ M)
Hint: One needs to prove |ν|(X) < ∞. This may not be trivial. The key step is the following lemma. I’ll
give you some steps of the proof; you furnish the rest.
Lemma Assume ν(E) ̸= ∞, −∞ for all E ∈ M and assume E ∈ M and |ν|(E) = ∞. Then E = A ∪ B;
A, B ∈ M, A ∩ B = ∅, |ν(A)| ≥ 1 and |ν|(B) = ∞.
∗ The usual assumption is that the measure is either never −∞ or never +∞.
2 THE HOMEWORK 3

∞
∪ ∞
∑
Proof. There exist pairwise disjoint sets E1 , E2 , . . . such that E = Ej and |ν(Ej )| > 2(1 + |ν(E)|).
j=1 ∑
j=1
Then there is a subset F of E, F ∈ M, such that |ν(F )| ≥ 1 + |ν(E)|. To prove this divide j ν(Ej ) into the
sum of positive and the sum of negative terms and argue that one of these sums has to be ≥ 1 + |ν(F )|. Once
you have no absolute values in a sum of measures of pairwise disjoint sets, you can replace by the measure of
the union. Do this part using fewer words than I used. Then |ν(E\F )| = |ν(E) − ν(F )| ≥ |ν(F ) − |ν(E)| ≥ 1.
So E splits into two sets of measure ≥ 1 in absolute value; possibly one has to have infinite total variation
measure.
The next step is to argue that if |ν|(X) = ∞, one can find a sequence of pairwise disjoint measurable sets
∪1∞, A2 , . . . such that |ν(Aj )| ≥ 1 for j = 1, 2, . . .. This will cause some problems with the measure of the set
A
j=1 Aj .

3. Assume µ is a σ-finite measure in the measurable space (X, M) and assume ν is a signed, σ-finite measure
in the same measurable space (X, M). Assume ν ≪ µ and let f be the extended µ-integrable function such
that ∫
ν(E) = f dµ
E
∫
for all E ∈ M. Prove |ν|(E) = |f | dµ.
E

4. Let ν be a σ-finite signed measure in the measurable space (X, M).

(a) Prove: ν ≪ |ν| (This is sort of extremely trivial).
∫
(b) Due to (a), there exists an extended |ν|-integrable function f such that ν(E) = f d|nu| for all E ∈ M.
E
Prove:
i. |f | = 1 a.e., so the space splits (up to a null set) into disjoint sets A, B and f = χA − χB . As a
hint, consider Exercise 3.
ii. ν + ⊥ ν − .
(c) Assume µ, ν are σ-finite positive measures in the measurable space (X, M) and assume ν ≪ µ. Let f
be the unique non-negative, measurable function such that
∫
ν(E) = f dµ
E

for all E ∈ M. Prove:

i. If g is a non-negative measurable function then
∫ ∫
g dν = gf dµ. (1)
X X

(d) If g : X → [−∞, ∞] is measurable, then g ∈ L1 (X, ν) if and only if gf ∈ L1 (X, µ) and in this case (1)
holds.
dν
This justifies writing dν = f dµ; even f = , and calling f the Radon-Nikodym derivative of ν with respect
dµ
to µ.
5. Textbook, Exercise 8 of Chapter 6, p. 313-14.
6. Textbook, Exercise 11 of Chapter 6, p. 314-15.
7. Let (X, M, µ) be a σ-finite measure space and let N be a σ-algebra in X with N ⊆ M. We define the
measure ν on N as the restriction of µ; that is, ν(E) = µ(E) for E ∈ N . Let f ∈ L1 (X, µ). Notice that such
an f is not necessarily measurable with respect to N ; there could
∫ be open∫ subsets of R whose inverse image
under f is not in N . Show there exists g ∈ L1 (X, ν) such that f dµ = g dν for all E ∈ N .
E E