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 f∈L1μ.
Approved to this situation if I want to show that hμ is σ-finite, I have to find a striclty positive function f∈L1hμ.
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)=c⋅∫Ωhdμ=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=∫Ωihdμ≤1<∞
Thus hμ is σ-finite since Ω can be covered by a countable family of hμ measure finite sets.
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