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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Statements (48)

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)

Full triples — surface form annotated when it differs from this entity's canonical label.

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