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arXiv · 1909.03505

Differentiation of measures on a non-separable space, and the Radon-Nikodym theorem

Oleksii Mostovyi·Pietro Siorpaes
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Abstract

Given positive measures $ν,μ$ on an arbitrary measurable space $(Ω, \mathcal F)$, we construct a sequence of finite partitions $(π_n)_n$ of $(Ω, \mathcal F)$ s.t. $$ \sum_{A\in π_n: μ(A)>0} 1_{A} \frac{ν(A)}{μ(A)} \longrightarrow \frac{dν^a}{dμ} \quad μ\text{ a.e. as } n\to \infty . $$ As an application, we modify the probabilistic proof of the Radon-Nikodym Theorem so that it uses convergence along a properly chosen sequence (instead of along a net), and so that it does not rely on the martingale convergence theorem (nor any probability theory), obtaining a completely elementary proof.

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Oleksii Mostovyi, Pietro Siorpaes. 2019-09-08. Differentiation of measures on a non-separable space, and the Radon-Nikodym theorem. https://arxiv.org/abs/1909.03505

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