Characterization of Absolutely Continuous Measures
Theorem
Let $\struct {X, \Sigma}$ be a measurable space.
Let $\mu$ be a measure on $\struct {X, \Sigma}$.
Let $\nu$ be a finite measure on $\struct {X, \Sigma}$.
Then $\nu$ is absolutely continuous with respect to $\mu$ if and only if:
- for each $\epsilon > 0$ there exists $\delta > 0$ such that for each $A \in \Sigma$ with $\map \mu A < \delta$, we have $\map \nu A < \epsilon$.
Proof
Necessary Condition
We prove the contrapositive, then the result follows from Rule of Transposition.
Suppose that:
- for some $\epsilon > 0$, there exists no $\delta > 0$ such that for each $A \in \Sigma$ with $\map \mu A < \delta$, we have $\map \nu A < \epsilon$.
That is:
- for some $\epsilon > 0$, for all $\delta > 0$ there exists $A \in \Sigma$ with $\map \mu A < \delta$ and $\map \nu A \ge \epsilon$.
We aim to show that:
- there exists $B \in \Sigma$ such that $\map \mu B = 0$ but $\map \nu B \ne 0$.
At which point we have:
- $\nu$ is not absolutely continuous with respect to $\mu$.
Fix one such $\epsilon$.
For each $k$, pick $A_k \in \Sigma$ such that:
- $\map \mu {A_k} < 2^{-k}$
and:
- $\map \nu {A_k} \ge \epsilon$
We have:
\(\ds \sum_{k \mathop = 1}^\infty \map \mu {A_k}\) | \(<\) | \(\ds \sum_{k \mathop = 1}^\infty \frac 1 {2^k}\) | ||||||||||||
\(\ds \) | \(=\) | \(\ds \sum_{k \mathop = 0}^\infty \frac 1 {2^k} - 1\) | ||||||||||||
\(\ds \) | \(=\) | \(\ds \frac 1 {1 - \frac 1 2} - 1\) | Sum of Infinite Geometric Sequence | |||||||||||
\(\ds \) | \(=\) | \(\ds 1\) | ||||||||||||
\(\ds \) | \(<\) | \(\ds \infty\) |
So by the Borel-Cantelli Lemma, we have:
- $\ds \map \mu {\limsup_{n \mathop \to \infty} A_n} = \map \mu {\bigcap_{i \mathop = 1}^\infty \bigcup_{j \mathop = i}^\infty A_j} = 0$
Since $\nu$ is finite, we also have:
- $\map \nu {B_1}$ is finite.
We have:
- $\ds \bigcup_{k \mathop = n}^\infty A_k = A_n \cup \bigcup_{k \mathop = n + 1}^\infty A_k$
From Set is Subset of Union, we obtain:
- $\ds \bigcup_{k \mathop = n + 1}^\infty A_k \subseteq \bigcup_{k \mathop = n}^\infty A_k$
So:
- the sequence $\ds \sequence {\bigcup_{k \mathop = n}^\infty A_k}_{n \in \N}$ is increasing.
and from the definition of the limit of an decreasing sequence of sets, we have:
- $\ds \bigcup_{k \mathop = n}^\infty A_k \uparrow \bigcap_{n \mathop = 1}^\infty \bigcup_{k \mathop = n}^\infty A_k$
Write:
- $\ds B_n = \bigcup_{k \mathop = n}^\infty A_k$
for each $n$ and:
- $\ds B = \bigcap_{n \mathop = 1}^\infty \bigcup_{k \mathop = n}^\infty A_k$
We have:
- $\ds \map \mu {B_1} \le \paren {\frac 1 2}^{1 - 1} = 1$
in particular:
- $\map \mu {B_1}$ is finite.
Applying Measure of Limit of Decreasing Sequence of Measurable Sets on $\nu$ we obtain:
- $\ds \map \nu B = \lim_{n \mathop \to \infty} \map \nu {B_n}$
We have, from Set is Subset of Union:
- $\ds A_n \subseteq \bigcup_{k \mathop = n}^\infty A_n = B_n$
So, from Measure is Monotone, we have:
- $\map \nu {A_n} \le \map \nu {B_n}$
So from Limits Preserve Inequalities:
- $\ds \lim_{n \mathop \to \infty} \map \nu {B_n} \ge \lim_{n \mathop \to \infty} \map \nu {A_n}$
Recall that we have:
- $\map \nu {A_n} \ge \epsilon$
for each $n$, so:
- $\ds \lim_{n \mathop \to \infty} \map \nu {B_n} \ge \epsilon$
from Lower and Upper Bounds for Sequences.
We therefore have:
- $\map \nu B \ge \epsilon$
so:
- $\map \nu B \ne 0$
So:
- $\nu$ is not absolutely continuous with respect to $\mu$.
$\Box$
Sufficient Condition
Suppose that:
- for each $\epsilon > 0$ there exists $\delta > 0$ such that for each $A \in \Sigma$ with $\map \mu A < \delta$, we have $\map \nu A < \epsilon$.
Let $A \in \Sigma$ have $\map \mu A = 0$.
We aim to show that $\map \nu A = 0$.
Let $\epsilon > 0$.
Then there exists $\delta > 0$ such that for each $A \in \Sigma$ with $\map \mu A < \delta$, we have $\map \nu A < \epsilon$.
Since $\map \mu A = 0$, we have $\map \mu A < \delta$, and so:
- $\map \nu A < \epsilon$
Since $\epsilon > 0$ was arbitrary and $\map \nu A \ge 0$, we have:
- $\map \nu A = 0$
So:
- $\nu$ is absolutely continuous with respect to $\mu$.
$\blacksquare$
Sources
- 2013: Donald L. Cohn: Measure Theory (2nd ed.) ... (previous) ... (next): $4.2$: Absolute Continuity: Lemma $4.2.1$