User:Caliburn/s/mt/Change of Measure Formula for Integrals
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Theorem
Let $\struct {X, \Sigma}$ be a measurable space.
Let $\mu$ and $\lambda$ be $\sigma$-finite measures on $\struct {X, \Sigma}$ such that:
- $\mu$ is absolutely continuous with respect to $\lambda$.
Let $g : X \to \overline \R$ be a $\mu$-integrable function.
Let:
- $\ds f \in \frac {\d \mu} {\d \lambda}$
where $\dfrac {\d \mu} {\d \lambda}$ is the Radon-Nikodym derivative of $\mu$ with respect to $\lambda$.
Then:
- $\ds \int g \rd \mu = \int g f \rd \lambda$
As an abuse of notation, this can be written more pleasingly as:
- $\ds \int g \rd \mu = \int g \frac {\d \mu} {\d \lambda} \rd \lambda$
Proof
Since:
- $\ds f \in \frac {\d \mu} {\d \lambda}$
we have:
- $\ds \map \mu A = \int_A f \rd \lambda$
for each $A \in \Sigma$.
We first show the demand for $g$ a positive simple function.
Write the standard representation of $f$ as:
- $g = \ds \sum_{j \mathop = 0}^n a_j \chi_{E_j}$
where:
- $a_0 = 0$
- $a_1, \ldots, a_n$ are non-negative real numbers
- $E_0, E_1, \ldots, E_n$ is a partition of $X$ into $\Sigma$-measurable sets
Then we have:
\(\ds \int g f \rd \lambda\) | \(=\) | \(\ds \int f \paren {\sum_{j \mathop = 0}^n a_j \chi_{E_j} } \rd \lambda\) | ||||||||||||
\(\ds \) | \(=\) | \(\ds \sum_{j \mathop = 0}^n a_j \int f \chi_{E_j} \rd \lambda\) | ||||||||||||
\(\ds \) | \(=\) | \(\ds \sum_{j \mathop = 0}^n a_j \int_{E_j} f \rd \lambda\) | ||||||||||||
\(\ds \) | \(=\) | \(\ds \sum_{j \mathop = 0}^n a_j \map \mu {E_j}\) | ||||||||||||
\(\ds \) | \(=\) | \(\ds \int g \rd \mu\) |