Sunday, December 16, 2018

proof verification - Is this a sigma-finite measure?





Let (Ω,A,μ) be a measure space and μ σ-finite. Let h be a probability density on (Ω,A,μ). Consider the measure hμ(A):=Ωh1Adμ on (Ω,A). Is hμ a σ-finite measure?






Hello, do not know if one needs it here but we had a criterion for that in our lecture:



A measure μ on a measurable space (Ω,A) is σ-finite exactly then if there is a strictly positive function fL1μ.



Approved to this situation if I want to show that hμ is σ-finite, I have to find a striclty positive function fL1hμ.



That h is a probability density means that
Ωhdμ=1,



right?
Then my idea is to use a constant function f(x)c for c>0. Then f is strictly positive, it is measurable and furtermore
Ω|f|d(hμ)=cΩhdμ=c<



Is that already the proof that hμ is a σ-finite measure?


Answer



Recall the definition of σ-finiteness. Since (Ω,A,μ) is σ-finite, there exist {Ωi} countable family such that Ω=iΩi and μ(Ωi)<. Now clearly hμ(Ωi)=ΩhχΩidμ=Ωihdμ1<


Thus hμ is σ-finite since Ω can be covered by a countable family of hμ measure finite sets.



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