Radon–Nikodym theorem

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In mathematics, the Radon–Nikodym theorem is a result in measure theory that expresses the relationship between two measures defined on the same measurable space. A measure is a set function that assigns a consistent magnitude to the measurable subsets of a measurable space. Examples of a measure include area and volume, where the subsets are sets of points; or the probability of an event, which is a subset of possible outcomes within a wider probability space.

One way to derive a new measure from one already given is to assign a density to each point of the space, then integrate over the measurable subset of interest. This can be expressed as

where ν is the new measure being defined for any measurable subset A and the function f is the density at a given point. The integral is with respect to an existing measure μ, which may often be the canonical Lebesgue measure on the Real line R or the n-dimensional Euclidean space Rn (corresponding to our standard notions of length, area and volume). For example, if f represented mass density and μ was the Lebesgue measure in three-dimensional space R3, then ν(A) would equal the total mass in a spatial region A.

The Radon–Nikodym theorem essentially states that, under certain conditions, any measure ν can be expressed in this way with respect to another measure μ on the same space. The function f is then called the Radon–Nikodym derivative and is denoted by .[1] An important application is in probability theory, leading to the probability density function of a random variable.

The theorem is named after Johann Radon, who proved the theorem for the special case where the underlying space is Rn in 1913, and for Otto Nikodym who proved the general case in 1930.[2] In 1936 Hans Freudenthal generalized the Radon–Nikodym theorem by proving the Freudenthal spectral theorem, a result in Riesz space theory; this contains the Radon–Nikodym theorem as a special case.[3]

A Banach space Y is said to have the Radon–Nikodym property if the generalization of the Radon–Nikodym theorem also holds, mutatis mutandis, for functions with values in Y. All Hilbert spaces have the Radon–Nikodym property.

Formal descriptionEdit

Radon–Nikodym theoremEdit

The Radon–Nikodym theorem involves a measurable space   on which two σ-finite measures are defined,   and   It states that, if   (that is, if   is absolutely continuous with respect to  ), then there exists a  -measurable function   such that for any measurable set  

 

Radon–Nikodym derivativeEdit

The function   satisfying the above equality is uniquely defined up to a  -null set, that is, if   is another function which satisfies the same property, then    -almost everywhere. Function   is commonly written   and is called the Radon–Nikodym derivative. The choice of notation and the name of the function reflects the fact that the function is analogous to a derivative in calculus in the sense that it describes the rate of change of density of one measure with respect to another (the way the Jacobian determinant is used in multivariable integration).

Extension to signed or complex measuresEdit

A similar theorem can be proven for signed and complex measures: namely, that if   is a nonnegative σ-finite measure, and   is a finite-valued signed or complex measure such that   that is,   is absolutely continuous with respect to   then there is a  -integrable real- or complex-valued function   on   such that for every measurable set  

 

ExamplesEdit

In the following examples, the set X is the real interval [0,1], and   is the Borel sigma-algebra on X.

  1.   is the length measure on X.   assigns to each subset Y of X, twice the length of Y. Then,  .
  2.   is the length measure on X.   assigns to each subset Y of X, the number of points from the set {0.1, …, 0.9} that are contained in Y. Then,   is not absolutely-continuous with respect to   since it assigns non-zero measure to zero-length points. Indeed, there is no derivative  : there is no finite function that, when integrated e.g. from   to  , gives   for all  .
  3.  , where   is the length measure on X and   is the Dirac measure on 0 (it assigns a measure of 1 to any set containing 0 and a measure of 0 to any other set). Then,   is absolutely continuous with respect to  , and   – the derivative is 0 at   and 1 at  .[4]

PropertiesEdit

  • Let ν, μ, and λ be σ-finite measures on the same measure space. If νλ and μλ (ν and μ are both absolutely continuous with respect to λ), then
     
  • If νμλ, then
     
  • In particular, if μν and νμ, then
     
  • If μλ and g is a μ-integrable function, then
     
  • If ν is a finite signed or complex measure, then
     

ApplicationsEdit

Probability theoryEdit

The theorem is very important in extending the ideas of probability theory from probability masses and probability densities defined over real numbers to probability measures defined over arbitrary sets. It tells if and how it is possible to change from one probability measure to another. Specifically, the probability density function of a random variable is the Radon–Nikodym derivative of the induced measure with respect to some base measure (usually the Lebesgue measure for continuous random variables).

For example, it can be used to prove the existence of conditional expectation for probability measures. The latter itself is a key concept in probability theory, as conditional probability is just a special case of it.

Financial mathematicsEdit

Amongst other fields, financial mathematics uses the theorem extensively, in particular via the Girsanov theorem. Such changes of probability measure are the cornerstone of the rational pricing of derivatives and are used for converting actual probabilities into those of the risk neutral probabilities.

Information divergencesEdit

If μ and ν are measures over X, and μν

  • The Kullback–Leibler divergence from μ to ν is defined to be
     
  • For α > 0, α ≠ 1 the Rényi divergence of order α from μ to ν is defined to be
     

The assumption of σ-finitenessEdit

The Radon–Nikodym theorem makes the assumption that the measure μ with respect to which one computes the rate of change of ν is σ-finite. Here is an example when μ is not σ-finite and the Radon–Nikodym theorem fails to hold.

Consider the Borel σ-algebra on the real line. Let the counting measure, μ, of a Borel set A be defined as the number of elements of A if A is finite, and otherwise. One can check that μ is indeed a measure. It is not σ-finite, as not every Borel set is at most a countable union of finite sets. Let ν be the usual Lebesgue measure on this Borel algebra. Then, ν is absolutely continuous with respect to μ, since for a set A one has μ(A) = 0 only if A is the empty set, and then ν(A) is also zero.

Assume that the Radon–Nikodym theorem holds, that is, for some measurable function f one has

 

for all Borel sets. Taking A to be a singleton set, A = {a}, and using the above equality, one finds

 

for all real numbers a. This implies that the function f, and therefore the Lebesgue measure ν, is zero, which is a contradiction.

ProofEdit

This section gives a measure-theoretic proof of the theorem. There is also a functional-analytic proof, using Hilbert space methods, that was first given by von Neumann.

For finite measures μ and ν, the idea is to consider functions f with f dμ. The supremum of all such functions, along with the monotone convergence theorem, then furnishes the Radon–Nikodym derivative. The fact that the remaining part of μ is singular with respect to ν follows from a technical fact about finite measures. Once the result is established for finite measures, extending to σ-finite, signed, and complex measures can be done naturally. The details are given below.

For finite measuresEdit

Constructing an extended-valued candidate First, suppose μ and ν are both finite-valued nonnegative measures. Let F be the set of those extended-value measurable functions f  : X → [0, ∞] such that:

 

F ≠ ∅, since it contains at least the zero function. Now let f1,  f2F, and suppose A is an arbitrary measurable set, and define:

 

Then one has

 

and therefore, max{ f1,  f2} ∈ F.

Now, let { fn } be a sequence of functions in F such that

 

By replacing fn with the maximum of the first n functions, one can assume that the sequence { fn } is increasing. Let g be an extended-valued function defined as

 

By Lebesgue's monotone convergence theorem, one has

 

for each A ∈ Σ, and hence, gF. Also, by the construction of g,

 

Proving equality Now, since gF,

 

defines a nonnegative measure on Σ. To prove equality, we show that ν0 = 0.

Suppose ν0 ≠ 0; then, since μ is finite, there is an ε > 0 such that ν0(X) > ε μ(X). To derive a contradiction from ν0 ≠ 0, we look for a positive set P ∈ Σ for the signed measure ν0ε μ (i.e. a measurable set P, all of whose measurable subsets have non-negative ν0ε μ measure), where also P has positive μ-measure. Conceptually, we're looking for a set P, where ν0ε μ in every part of P. A convenient approach is to use the Hahn decomposition (P, N) for the signed measure ν0ε μ.

Note then that for every A ∈ Σ one has ν0(AP) ≥ ε μ(AP), and hence,

 

where 1P is the indicator function of P. Also, note that μ(P) > 0 as desired; for if μ(P) = 0, then (since ν is absolutely continuous in relation to μ) ν0(P) ≤ ν(P) = 0, so ν0(P) = 0 and

 

contradicting the fact that ν0(X) > εμ(X).

Then, since also

 

g + ε 1PF and satisfies

 

This is impossible; therefore, the initial assumption that ν0 ≠ 0 must be false. Hence, ν0 = 0, as desired.

Restricting to finite values Now, since g is μ-integrable, the set {xX : g(x) = ∞} is μ-null. Therefore, if a f is defined as

 

then f has the desired properties.

Uniqueness As for the uniqueness, let f, g : X → [0, ∞) be measurable functions satisfying

 

for every measurable set A. Then, gf is μ-integrable, and

 

In particular, for A = {xX : f(x) > g(x)}, or {xX : f(x) < g(x)}. It follows that

 

and so, that (gf )+ = 0 μ-almost everywhere; the same is true for (gf ), and thus, f = g μ-almost everywhere, as desired.

For σ-finite positive measuresEdit

If μ and ν are σ-finite, then X can be written as the union of a sequence {Bn}n of disjoint sets in Σ, each of which has finite measure under both μ and ν. For each n, by the finite case, there is a Σ-measurable function fn  : Bn → [0, ∞) such that

 

for each Σ-measurable subset A of Bn. The sum   of those functions is then the required function such that  .

As for the uniqueness, since each of the fn is μ-almost everywhere unique, so is f.

For signed and complex measuresEdit

If ν is a σ-finite signed measure, then it can be Hahn–Jordan decomposed as ν = ν+ν where one of the measures is finite. Applying the previous result to those two measures, one obtains two functions, g, h : X → [0, ∞), satisfying the Radon–Nikodym theorem for ν+ and ν respectively, at least one of which is μ-integrable (i.e., its integral with respect to μ is finite). It is clear then that f = gh satisfies the required properties, including uniqueness, since both g and h are unique up to μ-almost everywhere equality.

If ν is a complex measure, it can be decomposed as ν = ν1 + 2, where both ν1 and ν2 are finite-valued signed measures. Applying the above argument, one obtains two functions, g, h : X → [0, ∞), satisfying the required properties for ν1 and ν2, respectively. Clearly, f = g + ih is the required function.

The Lebesgue decomposition theoremEdit

Lebesgue's decomposition theorem shows that the assumptions of the Radon–Nikodym theorem can be found even in a situation which is seemingly more general. Consider a σ-finite positive measure   on the measure space   and a σ-finite signed measure   on  , without assuming any absolute continuity. Then there exist unique signed measures   and   on   such that  ,  , and  . The Radon–Nikodym theorem can then be applied to the pair  .

See alsoEdit

NotesEdit

  1. ^ Billingsley, Patrick (1995). Probability and Measure (Third ed.). New York: John Wiley & Sons. pp. 419–427. ISBN 0-471-00710-2.
  2. ^ Nikodym, O. (1930). "Sur une généralisation des intégrales de M. J. Radon" (PDF). Fundamenta Mathematicae (in French). 15: 131–179. doi:10.4064/fm-15-1-131-179. JFM 56.0922.02. Retrieved 2018-01-30.
  3. ^ Zaanen, Adriaan C. (1996). Introduction to Operator Theory in Riesz Spaces. Springer. ISBN 3-540-61989-5.
  4. ^ "Calculating Radon Nikodym derivative". Stack Exchange. April 7, 2018.

ReferencesEdit

  • Lang, Serge (1969). Analysis II: Real analysis. Addison-Wesley. Contains a proof for vector measures assuming values in a Banach space.
  • Royden, H. L.; Fitzpatrick, P. M. (2010). Real Analysis (4th ed.). Pearson. Contains a lucid proof in case the measure ν is not σ-finite.
  • Shilov, G. E.; Gurevich, B. L. (1978). Integral, Measure, and Derivative: A Unified Approach. Richard A. Silverman, trans. Dover Publications. ISBN 0-486-63519-8.
  • Stein, Elias M.; Shakarchi, Rami (2005). Real analysis: measure theory, integration, and Hilbert spaces. Princeton lectures in analysis. Princeton, N.J: Princeton University Press. ISBN 978-0-691-11386-9. Contains a proof of the generalisation.
  • Teschl, Gerald. "Topics in Real and Functional Analysis". (lecture notes).

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