Lebesgue decomposition theorem

E898510

The Lebesgue decomposition theorem is a fundamental result in measure theory that states any σ-finite measure can be uniquely decomposed into a part that is absolutely continuous with respect to another measure and a part that is singular to it.

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Predicate Object
instanceOf result in mathematical analysis
theorem in measure theory
appliesTo finite measures
positive measures
σ-finite measures
assumes σ-algebra of measurable sets
characterizes part of a measure that is absolutely continuous with respect to ν
part of a measure that is concentrated on a ν-null set
classification fundamental decomposition theorem for measures
context integration with respect to different measures
modern measure-theoretic foundations of probability
describes decomposition of a measure relative to another measure
field measure theory
formalStatement Given σ-finite measures μ and ν on a measurable space, there exist unique measures μ_ac and μ_s such that μ = μ_ac + μ_s, μ_ac ≪ ν, and μ_s ⟂ ν
generalizes Lebesgue decomposition of distribution functions
guarantees uniqueness of the absolutely continuous component
uniqueness of the singular component
hasConsequence every measure can be split into continuous and singular parts relative to a reference measure
structure theorem for measures on a measurable space
holdsOn a common measurable space for μ and ν
implies existence of a Radon–Nikodym derivative dμ_ac/dν
involvesConcept Radon–Nikodym derivative
absolute continuity of measures
measure decomposition
mutual singularity of measures
singular measures
isToolFor analyzing relationships between two measures
describing singular components of distributions
disintegrating probability measures
namedAfter Henri Lebesgue
relatedTo Jordan decomposition theorem
Lebesgue–Stieltjes measures
linked to: Stieltjes measure

Lebesgue’s decomposition of measures into discrete and continuous parts
Radon–Nikodym theorem
requires σ-finiteness of the reference measure
statesThat any σ-finite measure μ can be decomposed into μ_ac + μ_s relative to another σ-finite measure ν
the decomposition μ = μ_ac + μ_s is unique
μ_ac is absolutely continuous with respect to ν
μ_s is singular with respect to ν
symbolicForm μ = μ_ac + μ_s with μ_ac ≪ ν and μ_s ⟂ ν
usedIn ergodic theory
functional analysis
harmonic analysis
probability theory
spectral theory
stochastic processes
usesNotation μ ≪ ν for absolute continuity
μ ⟂ ν for mutual singularity

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Referenced by (6)

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Henri Lebesgue notableConcept Lebesgue decomposition theorem
Hahn decomposition theorem hasConsequence Jordan decomposition theorem
linked to: Lebesgue decomposition theorem
Hahn decomposition theorem relatedTo Jordan decomposition theorem
linked to: Lebesgue decomposition theorem
Hahn decomposition theorem relatedTo Lebesgue decomposition theorem
Lebesgue decomposition theorem formalStatement Given σ-finite measures μ and ν on a measurable space, there exist unique measures μ_ac and μ_s such that μ = μ_ac + μ_s, μ_ac ≪ ν, and μ_s ⟂ ν
linked to: Lebesgue decomposition theorem
Lebesgue decomposition theorem relatedTo Lebesgue’s decomposition of measures into discrete and continuous parts
linked to: Lebesgue decomposition theorem