src/HOL/Probability/Radon_Nikodym.thy
author hoelzl
Fri Jan 14 14:21:48 2011 +0100 (2011-01-14)
changeset 41544 c3b977fee8a3
parent 41097 a1abfa4e2b44
child 41661 baf1964bc468
permissions -rw-r--r--
introduced integral syntax
     1 theory Radon_Nikodym
     2 imports Lebesgue_Integration
     3 begin
     4 
     5 lemma less_\<omega>_Ex_of_nat: "x < \<omega> \<longleftrightarrow> (\<exists>n. x < of_nat n)"
     6 proof safe
     7   assume "x < \<omega>"
     8   then obtain r where "0 \<le> r" "x = Real r" by (cases x) auto
     9   moreover obtain n where "r < of_nat n" using ex_less_of_nat by auto
    10   ultimately show "\<exists>n. x < of_nat n" by (auto simp: real_eq_of_nat)
    11 qed auto
    12 
    13 lemma (in sigma_finite_measure) Ex_finite_integrable_function:
    14   shows "\<exists>h\<in>borel_measurable M. positive_integral h \<noteq> \<omega> \<and> (\<forall>x\<in>space M. 0 < h x \<and> h x < \<omega>)"
    15 proof -
    16   obtain A :: "nat \<Rightarrow> 'a set" where
    17     range: "range A \<subseteq> sets M" and
    18     space: "(\<Union>i. A i) = space M" and
    19     measure: "\<And>i. \<mu> (A i) \<noteq> \<omega>" and
    20     disjoint: "disjoint_family A"
    21     using disjoint_sigma_finite by auto
    22   let "?B i" = "2^Suc i * \<mu> (A i)"
    23   have "\<forall>i. \<exists>x. 0 < x \<and> x < inverse (?B i)"
    24   proof
    25     fix i show "\<exists>x. 0 < x \<and> x < inverse (?B i)"
    26     proof cases
    27       assume "\<mu> (A i) = 0"
    28       then show ?thesis by (auto intro!: exI[of _ 1])
    29     next
    30       assume not_0: "\<mu> (A i) \<noteq> 0"
    31       then have "?B i \<noteq> \<omega>" using measure[of i] by auto
    32       then have "inverse (?B i) \<noteq> 0" unfolding pextreal_inverse_eq_0 by simp
    33       then show ?thesis using measure[of i] not_0
    34         by (auto intro!: exI[of _ "inverse (?B i) / 2"]
    35                  simp: pextreal_noteq_omega_Ex zero_le_mult_iff zero_less_mult_iff mult_le_0_iff power_le_zero_eq)
    36     qed
    37   qed
    38   from choice[OF this] obtain n where n: "\<And>i. 0 < n i"
    39     "\<And>i. n i < inverse (2^Suc i * \<mu> (A i))" by auto
    40   let "?h x" = "\<Sum>\<^isub>\<infinity> i. n i * indicator (A i) x"
    41   show ?thesis
    42   proof (safe intro!: bexI[of _ ?h] del: notI)
    43     have "\<And>i. A i \<in> sets M"
    44       using range by fastsimp+
    45     then have "positive_integral ?h = (\<Sum>\<^isub>\<infinity> i. n i * \<mu> (A i))"
    46       by (simp add: positive_integral_psuminf positive_integral_cmult_indicator)
    47     also have "\<dots> \<le> (\<Sum>\<^isub>\<infinity> i. Real ((1 / 2)^Suc i))"
    48     proof (rule psuminf_le)
    49       fix N show "n N * \<mu> (A N) \<le> Real ((1 / 2) ^ Suc N)"
    50         using measure[of N] n[of N]
    51         by (cases "n N")
    52            (auto simp: pextreal_noteq_omega_Ex field_simps zero_le_mult_iff
    53                        mult_le_0_iff mult_less_0_iff power_less_zero_eq
    54                        power_le_zero_eq inverse_eq_divide less_divide_eq
    55                        power_divide split: split_if_asm)
    56     qed
    57     also have "\<dots> = Real 1"
    58       by (rule suminf_imp_psuminf, rule power_half_series, auto)
    59     finally show "positive_integral ?h \<noteq> \<omega>" by auto
    60   next
    61     fix x assume "x \<in> space M"
    62     then obtain i where "x \<in> A i" using space[symmetric] by auto
    63     from psuminf_cmult_indicator[OF disjoint, OF this]
    64     have "?h x = n i" by simp
    65     then show "0 < ?h x" and "?h x < \<omega>" using n[of i] by auto
    66   next
    67     show "?h \<in> borel_measurable M" using range
    68       by (auto intro!: borel_measurable_psuminf borel_measurable_pextreal_times)
    69   qed
    70 qed
    71 
    72 subsection "Absolutely continuous"
    73 
    74 definition (in measure_space)
    75   "absolutely_continuous \<nu> = (\<forall>N\<in>null_sets. \<nu> N = (0 :: pextreal))"
    76 
    77 lemma (in sigma_finite_measure) absolutely_continuous_AE:
    78   assumes "measure_space M \<nu>" "absolutely_continuous \<nu>" "AE x. P x"
    79   shows "measure_space.almost_everywhere M \<nu> P"
    80 proof -
    81   interpret \<nu>: measure_space M \<nu> by fact
    82   from `AE x. P x` obtain N where N: "N \<in> null_sets" and "{x\<in>space M. \<not> P x} \<subseteq> N"
    83     unfolding almost_everywhere_def by auto
    84   show "\<nu>.almost_everywhere P"
    85   proof (rule \<nu>.AE_I')
    86     show "{x\<in>space M. \<not> P x} \<subseteq> N" by fact
    87     from `absolutely_continuous \<nu>` show "N \<in> \<nu>.null_sets"
    88       using N unfolding absolutely_continuous_def by auto
    89   qed
    90 qed
    91 
    92 lemma (in finite_measure_space) absolutely_continuousI:
    93   assumes "finite_measure_space M \<nu>"
    94   assumes v: "\<And>x. \<lbrakk> x \<in> space M ; \<mu> {x} = 0 \<rbrakk> \<Longrightarrow> \<nu> {x} = 0"
    95   shows "absolutely_continuous \<nu>"
    96 proof (unfold absolutely_continuous_def sets_eq_Pow, safe)
    97   fix N assume "\<mu> N = 0" "N \<subseteq> space M"
    98   interpret v: finite_measure_space M \<nu> by fact
    99   have "\<nu> N = \<nu> (\<Union>x\<in>N. {x})" by simp
   100   also have "\<dots> = (\<Sum>x\<in>N. \<nu> {x})"
   101   proof (rule v.measure_finitely_additive''[symmetric])
   102     show "finite N" using `N \<subseteq> space M` finite_space by (auto intro: finite_subset)
   103     show "disjoint_family_on (\<lambda>i. {i}) N" unfolding disjoint_family_on_def by auto
   104     fix x assume "x \<in> N" thus "{x} \<in> sets M" using `N \<subseteq> space M` sets_eq_Pow by auto
   105   qed
   106   also have "\<dots> = 0"
   107   proof (safe intro!: setsum_0')
   108     fix x assume "x \<in> N"
   109     hence "\<mu> {x} \<le> \<mu> N" using sets_eq_Pow `N \<subseteq> space M` by (auto intro!: measure_mono)
   110     hence "\<mu> {x} = 0" using `\<mu> N = 0` by simp
   111     thus "\<nu> {x} = 0" using v[of x] `x \<in> N` `N \<subseteq> space M` by auto
   112   qed
   113   finally show "\<nu> N = 0" .
   114 qed
   115 
   116 lemma (in measure_space) density_is_absolutely_continuous:
   117   assumes "\<And>A. A \<in> sets M \<Longrightarrow> \<nu> A = (\<integral>\<^isup>+x. f x * indicator A x)"
   118   shows "absolutely_continuous \<nu>"
   119   using assms unfolding absolutely_continuous_def
   120   by (simp add: positive_integral_null_set)
   121 
   122 subsection "Existence of the Radon-Nikodym derivative"
   123 
   124 lemma (in finite_measure) Radon_Nikodym_aux_epsilon:
   125   fixes e :: real assumes "0 < e"
   126   assumes "finite_measure M s"
   127   shows "\<exists>A\<in>sets M. real (\<mu> (space M)) - real (s (space M)) \<le>
   128                     real (\<mu> A) - real (s A) \<and>
   129                     (\<forall>B\<in>sets M. B \<subseteq> A \<longrightarrow> - e < real (\<mu> B) - real (s B))"
   130 proof -
   131   let "?d A" = "real (\<mu> A) - real (s A)"
   132   interpret M': finite_measure M s by fact
   133   let "?A A" = "if (\<forall>B\<in>sets M. B \<subseteq> space M - A \<longrightarrow> -e < ?d B)
   134     then {}
   135     else (SOME B. B \<in> sets M \<and> B \<subseteq> space M - A \<and> ?d B \<le> -e)"
   136   def A \<equiv> "\<lambda>n. ((\<lambda>B. B \<union> ?A B) ^^ n) {}"
   137   have A_simps[simp]:
   138     "A 0 = {}"
   139     "\<And>n. A (Suc n) = (A n \<union> ?A (A n))" unfolding A_def by simp_all
   140   { fix A assume "A \<in> sets M"
   141     have "?A A \<in> sets M"
   142       by (auto intro!: someI2[of _ _ "\<lambda>A. A \<in> sets M"] simp: not_less) }
   143   note A'_in_sets = this
   144   { fix n have "A n \<in> sets M"
   145     proof (induct n)
   146       case (Suc n) thus "A (Suc n) \<in> sets M"
   147         using A'_in_sets[of "A n"] by (auto split: split_if_asm)
   148     qed (simp add: A_def) }
   149   note A_in_sets = this
   150   hence "range A \<subseteq> sets M" by auto
   151   { fix n B
   152     assume Ex: "\<exists>B. B \<in> sets M \<and> B \<subseteq> space M - A n \<and> ?d B \<le> -e"
   153     hence False: "\<not> (\<forall>B\<in>sets M. B \<subseteq> space M - A n \<longrightarrow> -e < ?d B)" by (auto simp: not_less)
   154     have "?d (A (Suc n)) \<le> ?d (A n) - e" unfolding A_simps if_not_P[OF False]
   155     proof (rule someI2_ex[OF Ex])
   156       fix B assume "B \<in> sets M \<and> B \<subseteq> space M - A n \<and> ?d B \<le> - e"
   157       hence "A n \<inter> B = {}" "B \<in> sets M" and dB: "?d B \<le> -e" by auto
   158       hence "?d (A n \<union> B) = ?d (A n) + ?d B"
   159         using `A n \<in> sets M` real_finite_measure_Union M'.real_finite_measure_Union by simp
   160       also have "\<dots> \<le> ?d (A n) - e" using dB by simp
   161       finally show "?d (A n \<union> B) \<le> ?d (A n) - e" .
   162     qed }
   163   note dA_epsilon = this
   164   { fix n have "?d (A (Suc n)) \<le> ?d (A n)"
   165     proof (cases "\<exists>B. B\<in>sets M \<and> B \<subseteq> space M - A n \<and> ?d B \<le> - e")
   166       case True from dA_epsilon[OF this] show ?thesis using `0 < e` by simp
   167     next
   168       case False
   169       hence "\<forall>B\<in>sets M. B \<subseteq> space M - A n \<longrightarrow> -e < ?d B" by (auto simp: not_le)
   170       thus ?thesis by simp
   171     qed }
   172   note dA_mono = this
   173   show ?thesis
   174   proof (cases "\<exists>n. \<forall>B\<in>sets M. B \<subseteq> space M - A n \<longrightarrow> -e < ?d B")
   175     case True then obtain n where B: "\<And>B. \<lbrakk> B \<in> sets M; B \<subseteq> space M - A n\<rbrakk> \<Longrightarrow> -e < ?d B" by blast
   176     show ?thesis
   177     proof (safe intro!: bexI[of _ "space M - A n"])
   178       fix B assume "B \<in> sets M" "B \<subseteq> space M - A n"
   179       from B[OF this] show "-e < ?d B" .
   180     next
   181       show "space M - A n \<in> sets M" by (rule compl_sets) fact
   182     next
   183       show "?d (space M) \<le> ?d (space M - A n)"
   184       proof (induct n)
   185         fix n assume "?d (space M) \<le> ?d (space M - A n)"
   186         also have "\<dots> \<le> ?d (space M - A (Suc n))"
   187           using A_in_sets sets_into_space dA_mono[of n]
   188             real_finite_measure_Diff[of "space M"]
   189             real_finite_measure_Diff[of "space M"]
   190             M'.real_finite_measure_Diff[of "space M"]
   191             M'.real_finite_measure_Diff[of "space M"]
   192           by (simp del: A_simps)
   193         finally show "?d (space M) \<le> ?d (space M - A (Suc n))" .
   194       qed simp
   195     qed
   196   next
   197     case False hence B: "\<And>n. \<exists>B. B\<in>sets M \<and> B \<subseteq> space M - A n \<and> ?d B \<le> - e"
   198       by (auto simp add: not_less)
   199     { fix n have "?d (A n) \<le> - real n * e"
   200       proof (induct n)
   201         case (Suc n) with dA_epsilon[of n, OF B] show ?case by (simp del: A_simps add: real_of_nat_Suc field_simps)
   202       qed simp } note dA_less = this
   203     have decseq: "decseq (\<lambda>n. ?d (A n))" unfolding decseq_eq_incseq
   204     proof (rule incseq_SucI)
   205       fix n show "- ?d (A n) \<le> - ?d (A (Suc n))" using dA_mono[of n] by auto
   206     qed
   207     from real_finite_continuity_from_below[of A] `range A \<subseteq> sets M`
   208       M'.real_finite_continuity_from_below[of A]
   209     have convergent: "(\<lambda>i. ?d (A i)) ----> ?d (\<Union>i. A i)"
   210       by (auto intro!: LIMSEQ_diff)
   211     obtain n :: nat where "- ?d (\<Union>i. A i) / e < real n" using reals_Archimedean2 by auto
   212     moreover from order_trans[OF decseq_le[OF decseq convergent] dA_less]
   213     have "real n \<le> - ?d (\<Union>i. A i) / e" using `0<e` by (simp add: field_simps)
   214     ultimately show ?thesis by auto
   215   qed
   216 qed
   217 
   218 lemma (in finite_measure) Radon_Nikodym_aux:
   219   assumes "finite_measure M s"
   220   shows "\<exists>A\<in>sets M. real (\<mu> (space M)) - real (s (space M)) \<le>
   221                     real (\<mu> A) - real (s A) \<and>
   222                     (\<forall>B\<in>sets M. B \<subseteq> A \<longrightarrow> 0 \<le> real (\<mu> B) - real (s B))"
   223 proof -
   224   let "?d A" = "real (\<mu> A) - real (s A)"
   225   let "?P A B n" = "A \<in> sets M \<and> A \<subseteq> B \<and> ?d B \<le> ?d A \<and> (\<forall>C\<in>sets M. C \<subseteq> A \<longrightarrow> - 1 / real (Suc n) < ?d C)"
   226   interpret M': finite_measure M s by fact
   227   let "?r S" = "restricted_space S"
   228   { fix S n
   229     assume S: "S \<in> sets M"
   230     hence **: "\<And>X. X \<in> op \<inter> S ` sets M \<longleftrightarrow> X \<in> sets M \<and> X \<subseteq> S" by auto
   231     from M'.restricted_finite_measure[of S] restricted_finite_measure[of S] S
   232     have "finite_measure (?r S) \<mu>" "0 < 1 / real (Suc n)"
   233       "finite_measure (?r S) s" by auto
   234     from finite_measure.Radon_Nikodym_aux_epsilon[OF this] guess X ..
   235     hence "?P X S n"
   236     proof (simp add: **, safe)
   237       fix C assume C: "C \<in> sets M" "C \<subseteq> X" "X \<subseteq> S" and
   238         *: "\<forall>B\<in>sets M. S \<inter> B \<subseteq> X \<longrightarrow> - (1 / real (Suc n)) < ?d (S \<inter> B)"
   239       hence "C \<subseteq> S" "C \<subseteq> X" "S \<inter> C = C" by auto
   240       with *[THEN bspec, OF `C \<in> sets M`]
   241       show "- (1 / real (Suc n)) < ?d C" by auto
   242     qed
   243     hence "\<exists>A. ?P A S n" by auto }
   244   note Ex_P = this
   245   def A \<equiv> "nat_rec (space M) (\<lambda>n A. SOME B. ?P B A n)"
   246   have A_Suc: "\<And>n. A (Suc n) = (SOME B. ?P B (A n) n)" by (simp add: A_def)
   247   have A_0[simp]: "A 0 = space M" unfolding A_def by simp
   248   { fix i have "A i \<in> sets M" unfolding A_def
   249     proof (induct i)
   250       case (Suc i)
   251       from Ex_P[OF this, of i] show ?case unfolding nat_rec_Suc
   252         by (rule someI2_ex) simp
   253     qed simp }
   254   note A_in_sets = this
   255   { fix n have "?P (A (Suc n)) (A n) n"
   256       using Ex_P[OF A_in_sets] unfolding A_Suc
   257       by (rule someI2_ex) simp }
   258   note P_A = this
   259   have "range A \<subseteq> sets M" using A_in_sets by auto
   260   have A_mono: "\<And>i. A (Suc i) \<subseteq> A i" using P_A by simp
   261   have mono_dA: "mono (\<lambda>i. ?d (A i))" using P_A by (simp add: mono_iff_le_Suc)
   262   have epsilon: "\<And>C i. \<lbrakk> C \<in> sets M; C \<subseteq> A (Suc i) \<rbrakk> \<Longrightarrow> - 1 / real (Suc i) < ?d C"
   263       using P_A by auto
   264   show ?thesis
   265   proof (safe intro!: bexI[of _ "\<Inter>i. A i"])
   266     show "(\<Inter>i. A i) \<in> sets M" using A_in_sets by auto
   267     from `range A \<subseteq> sets M` A_mono
   268       real_finite_continuity_from_above[of A]
   269       M'.real_finite_continuity_from_above[of A]
   270     have "(\<lambda>i. ?d (A i)) ----> ?d (\<Inter>i. A i)" by (auto intro!: LIMSEQ_diff)
   271     thus "?d (space M) \<le> ?d (\<Inter>i. A i)" using mono_dA[THEN monoD, of 0 _]
   272       by (rule_tac LIMSEQ_le_const) (auto intro!: exI)
   273   next
   274     fix B assume B: "B \<in> sets M" "B \<subseteq> (\<Inter>i. A i)"
   275     show "0 \<le> ?d B"
   276     proof (rule ccontr)
   277       assume "\<not> 0 \<le> ?d B"
   278       hence "0 < - ?d B" by auto
   279       from ex_inverse_of_nat_Suc_less[OF this]
   280       obtain n where *: "?d B < - 1 / real (Suc n)"
   281         by (auto simp: real_eq_of_nat inverse_eq_divide field_simps)
   282       have "B \<subseteq> A (Suc n)" using B by (auto simp del: nat_rec_Suc)
   283       from epsilon[OF B(1) this] *
   284       show False by auto
   285     qed
   286   qed
   287 qed
   288 
   289 lemma (in finite_measure) Radon_Nikodym_finite_measure:
   290   assumes "finite_measure M \<nu>"
   291   assumes "absolutely_continuous \<nu>"
   292   shows "\<exists>f \<in> borel_measurable M. \<forall>A\<in>sets M. \<nu> A = (\<integral>\<^isup>+x. f x * indicator A x)"
   293 proof -
   294   interpret M': finite_measure M \<nu> using assms(1) .
   295   def G \<equiv> "{g \<in> borel_measurable M. \<forall>A\<in>sets M. (\<integral>\<^isup>+x. g x * indicator A x) \<le> \<nu> A}"
   296   have "(\<lambda>x. 0) \<in> G" unfolding G_def by auto
   297   hence "G \<noteq> {}" by auto
   298   { fix f g assume f: "f \<in> G" and g: "g \<in> G"
   299     have "(\<lambda>x. max (g x) (f x)) \<in> G" (is "?max \<in> G") unfolding G_def
   300     proof safe
   301       show "?max \<in> borel_measurable M" using f g unfolding G_def by auto
   302       let ?A = "{x \<in> space M. f x \<le> g x}"
   303       have "?A \<in> sets M" using f g unfolding G_def by auto
   304       fix A assume "A \<in> sets M"
   305       hence sets: "?A \<inter> A \<in> sets M" "(space M - ?A) \<inter> A \<in> sets M" using `?A \<in> sets M` by auto
   306       have union: "((?A \<inter> A) \<union> ((space M - ?A) \<inter> A)) = A"
   307         using sets_into_space[OF `A \<in> sets M`] by auto
   308       have "\<And>x. x \<in> space M \<Longrightarrow> max (g x) (f x) * indicator A x =
   309         g x * indicator (?A \<inter> A) x + f x * indicator ((space M - ?A) \<inter> A) x"
   310         by (auto simp: indicator_def max_def)
   311       hence "(\<integral>\<^isup>+x. max (g x) (f x) * indicator A x) =
   312         (\<integral>\<^isup>+x. g x * indicator (?A \<inter> A) x) +
   313         (\<integral>\<^isup>+x. f x * indicator ((space M - ?A) \<inter> A) x)"
   314         using f g sets unfolding G_def
   315         by (auto cong: positive_integral_cong intro!: positive_integral_add borel_measurable_indicator)
   316       also have "\<dots> \<le> \<nu> (?A \<inter> A) + \<nu> ((space M - ?A) \<inter> A)"
   317         using f g sets unfolding G_def by (auto intro!: add_mono)
   318       also have "\<dots> = \<nu> A"
   319         using M'.measure_additive[OF sets] union by auto
   320       finally show "(\<integral>\<^isup>+x. max (g x) (f x) * indicator A x) \<le> \<nu> A" .
   321     qed }
   322   note max_in_G = this
   323   { fix f g assume  "f \<up> g" and f: "\<And>i. f i \<in> G"
   324     have "g \<in> G" unfolding G_def
   325     proof safe
   326       from `f \<up> g` have [simp]: "g = (\<lambda>x. SUP i. f i x)"
   327         unfolding isoton_def fun_eq_iff SUPR_apply by simp
   328       have f_borel: "\<And>i. f i \<in> borel_measurable M" using f unfolding G_def by simp
   329       thus "g \<in> borel_measurable M" by auto
   330       fix A assume "A \<in> sets M"
   331       hence "\<And>i. (\<lambda>x. f i x * indicator A x) \<in> borel_measurable M"
   332         using f_borel by (auto intro!: borel_measurable_indicator)
   333       from positive_integral_isoton[OF isoton_indicator[OF `f \<up> g`] this]
   334       have SUP: "(\<integral>\<^isup>+x. g x * indicator A x) =
   335           (SUP i. (\<integral>\<^isup>+x. f i x * indicator A x))"
   336         unfolding isoton_def by simp
   337       show "(\<integral>\<^isup>+x. g x * indicator A x) \<le> \<nu> A" unfolding SUP
   338         using f `A \<in> sets M` unfolding G_def by (auto intro!: SUP_leI)
   339     qed }
   340   note SUP_in_G = this
   341   let ?y = "SUP g : G. positive_integral g"
   342   have "?y \<le> \<nu> (space M)" unfolding G_def
   343   proof (safe intro!: SUP_leI)
   344     fix g assume "\<forall>A\<in>sets M. (\<integral>\<^isup>+x. g x * indicator A x) \<le> \<nu> A"
   345     from this[THEN bspec, OF top] show "positive_integral g \<le> \<nu> (space M)"
   346       by (simp cong: positive_integral_cong)
   347   qed
   348   hence "?y \<noteq> \<omega>" using M'.finite_measure_of_space by auto
   349   from SUPR_countable_SUPR[OF this `G \<noteq> {}`] guess ys .. note ys = this
   350   hence "\<forall>n. \<exists>g. g\<in>G \<and> positive_integral g = ys n"
   351   proof safe
   352     fix n assume "range ys \<subseteq> positive_integral ` G"
   353     hence "ys n \<in> positive_integral ` G" by auto
   354     thus "\<exists>g. g\<in>G \<and> positive_integral g = ys n" by auto
   355   qed
   356   from choice[OF this] obtain gs where "\<And>i. gs i \<in> G" "\<And>n. positive_integral (gs n) = ys n" by auto
   357   hence y_eq: "?y = (SUP i. positive_integral (gs i))" using ys by auto
   358   let "?g i x" = "Max ((\<lambda>n. gs n x) ` {..i})"
   359   def f \<equiv> "SUP i. ?g i"
   360   have gs_not_empty: "\<And>i. (\<lambda>n. gs n x) ` {..i} \<noteq> {}" by auto
   361   { fix i have "?g i \<in> G"
   362     proof (induct i)
   363       case 0 thus ?case by simp fact
   364     next
   365       case (Suc i)
   366       with Suc gs_not_empty `gs (Suc i) \<in> G` show ?case
   367         by (auto simp add: atMost_Suc intro!: max_in_G)
   368     qed }
   369   note g_in_G = this
   370   have "\<And>x. \<forall>i. ?g i x \<le> ?g (Suc i) x"
   371     using gs_not_empty by (simp add: atMost_Suc)
   372   hence isoton_g: "?g \<up> f" by (simp add: isoton_def le_fun_def f_def)
   373   from SUP_in_G[OF this g_in_G] have "f \<in> G" .
   374   hence [simp, intro]: "f \<in> borel_measurable M" unfolding G_def by auto
   375   have "(\<lambda>i. positive_integral (?g i)) \<up> positive_integral f"
   376     using isoton_g g_in_G by (auto intro!: positive_integral_isoton simp: G_def f_def)
   377   hence "positive_integral f = (SUP i. positive_integral (?g i))"
   378     unfolding isoton_def by simp
   379   also have "\<dots> = ?y"
   380   proof (rule antisym)
   381     show "(SUP i. positive_integral (?g i)) \<le> ?y"
   382       using g_in_G by (auto intro!: exI Sup_mono simp: SUPR_def)
   383     show "?y \<le> (SUP i. positive_integral (?g i))" unfolding y_eq
   384       by (auto intro!: SUP_mono positive_integral_mono Max_ge)
   385   qed
   386   finally have int_f_eq_y: "positive_integral f = ?y" .
   387   let "?t A" = "\<nu> A - (\<integral>\<^isup>+x. f x * indicator A x)"
   388   have "finite_measure M ?t"
   389   proof
   390     show "?t {} = 0" by simp
   391     show "?t (space M) \<noteq> \<omega>" using M'.finite_measure by simp
   392     show "countably_additive M ?t" unfolding countably_additive_def
   393     proof safe
   394       fix A :: "nat \<Rightarrow> 'a set"  assume A: "range A \<subseteq> sets M" "disjoint_family A"
   395       have "(\<Sum>\<^isub>\<infinity> n. (\<integral>\<^isup>+x. f x * indicator (A n) x))
   396         = (\<integral>\<^isup>+x. (\<Sum>\<^isub>\<infinity>n. f x * indicator (A n) x))"
   397         using `range A \<subseteq> sets M`
   398         by (rule_tac positive_integral_psuminf[symmetric]) (auto intro!: borel_measurable_indicator)
   399       also have "\<dots> = (\<integral>\<^isup>+x. f x * indicator (\<Union>n. A n) x)"
   400         apply (rule positive_integral_cong)
   401         apply (subst psuminf_cmult_right)
   402         unfolding psuminf_indicator[OF `disjoint_family A`] ..
   403       finally have "(\<Sum>\<^isub>\<infinity> n. (\<integral>\<^isup>+x. f x * indicator (A n) x))
   404         = (\<integral>\<^isup>+x. f x * indicator (\<Union>n. A n) x)" .
   405       moreover have "(\<Sum>\<^isub>\<infinity>n. \<nu> (A n)) = \<nu> (\<Union>n. A n)"
   406         using M'.measure_countably_additive A by (simp add: comp_def)
   407       moreover have "\<And>i. (\<integral>\<^isup>+x. f x * indicator (A i) x) \<le> \<nu> (A i)"
   408           using A `f \<in> G` unfolding G_def by auto
   409       moreover have v_fin: "\<nu> (\<Union>i. A i) \<noteq> \<omega>" using M'.finite_measure A by (simp add: countable_UN)
   410       moreover {
   411         have "(\<integral>\<^isup>+x. f x * indicator (\<Union>i. A i) x) \<le> \<nu> (\<Union>i. A i)"
   412           using A `f \<in> G` unfolding G_def by (auto simp: countable_UN)
   413         also have "\<nu> (\<Union>i. A i) < \<omega>" using v_fin by (simp add: pextreal_less_\<omega>)
   414         finally have "(\<integral>\<^isup>+x. f x * indicator (\<Union>i. A i) x) \<noteq> \<omega>"
   415           by (simp add: pextreal_less_\<omega>) }
   416       ultimately
   417       show "(\<Sum>\<^isub>\<infinity> n. ?t (A n)) = ?t (\<Union>i. A i)"
   418         apply (subst psuminf_minus) by simp_all
   419     qed
   420   qed
   421   then interpret M: finite_measure M ?t .
   422   have ac: "absolutely_continuous ?t" using `absolutely_continuous \<nu>` unfolding absolutely_continuous_def by auto
   423   have upper_bound: "\<forall>A\<in>sets M. ?t A \<le> 0"
   424   proof (rule ccontr)
   425     assume "\<not> ?thesis"
   426     then obtain A where A: "A \<in> sets M" and pos: "0 < ?t A"
   427       by (auto simp: not_le)
   428     note pos
   429     also have "?t A \<le> ?t (space M)"
   430       using M.measure_mono[of A "space M"] A sets_into_space by simp
   431     finally have pos_t: "0 < ?t (space M)" by simp
   432     moreover
   433     hence pos_M: "0 < \<mu> (space M)"
   434       using ac top unfolding absolutely_continuous_def by auto
   435     moreover
   436     have "(\<integral>\<^isup>+x. f x * indicator (space M) x) \<le> \<nu> (space M)"
   437       using `f \<in> G` unfolding G_def by auto
   438     hence "(\<integral>\<^isup>+x. f x * indicator (space M) x) \<noteq> \<omega>"
   439       using M'.finite_measure_of_space by auto
   440     moreover
   441     def b \<equiv> "?t (space M) / \<mu> (space M) / 2"
   442     ultimately have b: "b \<noteq> 0" "b \<noteq> \<omega>"
   443       using M'.finite_measure_of_space
   444       by (auto simp: pextreal_inverse_eq_0 finite_measure_of_space)
   445     have "finite_measure M (\<lambda>A. b * \<mu> A)" (is "finite_measure M ?b")
   446     proof
   447       show "?b {} = 0" by simp
   448       show "?b (space M) \<noteq> \<omega>" using finite_measure_of_space b by auto
   449       show "countably_additive M ?b"
   450         unfolding countably_additive_def psuminf_cmult_right
   451         using measure_countably_additive by auto
   452     qed
   453     from M.Radon_Nikodym_aux[OF this]
   454     obtain A0 where "A0 \<in> sets M" and
   455       space_less_A0: "real (?t (space M)) - real (b * \<mu> (space M)) \<le> real (?t A0) - real (b * \<mu> A0)" and
   456       *: "\<And>B. \<lbrakk> B \<in> sets M ; B \<subseteq> A0 \<rbrakk> \<Longrightarrow> 0 \<le> real (?t B) - real (b * \<mu> B)" by auto
   457     { fix B assume "B \<in> sets M" "B \<subseteq> A0"
   458       with *[OF this] have "b * \<mu> B \<le> ?t B"
   459         using M'.finite_measure b finite_measure
   460         by (cases "b * \<mu> B", cases "?t B") (auto simp: field_simps) }
   461     note bM_le_t = this
   462     let "?f0 x" = "f x + b * indicator A0 x"
   463     { fix A assume A: "A \<in> sets M"
   464       hence "A \<inter> A0 \<in> sets M" using `A0 \<in> sets M` by auto
   465       have "(\<integral>\<^isup>+x. ?f0 x  * indicator A x) =
   466         (\<integral>\<^isup>+x. f x * indicator A x + b * indicator (A \<inter> A0) x)"
   467         by (auto intro!: positive_integral_cong simp: field_simps indicator_inter_arith)
   468       hence "(\<integral>\<^isup>+x. ?f0 x * indicator A x) =
   469           (\<integral>\<^isup>+x. f x * indicator A x) + b * \<mu> (A \<inter> A0)"
   470         using `A0 \<in> sets M` `A \<inter> A0 \<in> sets M` A
   471         by (simp add: borel_measurable_indicator positive_integral_add positive_integral_cmult_indicator) }
   472     note f0_eq = this
   473     { fix A assume A: "A \<in> sets M"
   474       hence "A \<inter> A0 \<in> sets M" using `A0 \<in> sets M` by auto
   475       have f_le_v: "(\<integral>\<^isup>+x. f x * indicator A x) \<le> \<nu> A"
   476         using `f \<in> G` A unfolding G_def by auto
   477       note f0_eq[OF A]
   478       also have "(\<integral>\<^isup>+x. f x * indicator A x) + b * \<mu> (A \<inter> A0) \<le>
   479           (\<integral>\<^isup>+x. f x * indicator A x) + ?t (A \<inter> A0)"
   480         using bM_le_t[OF `A \<inter> A0 \<in> sets M`] `A \<in> sets M` `A0 \<in> sets M`
   481         by (auto intro!: add_left_mono)
   482       also have "\<dots> \<le> (\<integral>\<^isup>+x. f x * indicator A x) + ?t A"
   483         using M.measure_mono[simplified, OF _ `A \<inter> A0 \<in> sets M` `A \<in> sets M`]
   484         by (auto intro!: add_left_mono)
   485       also have "\<dots> \<le> \<nu> A"
   486         using f_le_v M'.finite_measure[simplified, OF `A \<in> sets M`]
   487         by (cases "(\<integral>\<^isup>+x. f x * indicator A x)", cases "\<nu> A", auto)
   488       finally have "(\<integral>\<^isup>+x. ?f0 x * indicator A x) \<le> \<nu> A" . }
   489     hence "?f0 \<in> G" using `A0 \<in> sets M` unfolding G_def
   490       by (auto intro!: borel_measurable_indicator borel_measurable_pextreal_add borel_measurable_pextreal_times)
   491     have real: "?t (space M) \<noteq> \<omega>" "?t A0 \<noteq> \<omega>"
   492       "b * \<mu> (space M) \<noteq> \<omega>" "b * \<mu> A0 \<noteq> \<omega>"
   493       using `A0 \<in> sets M` b
   494         finite_measure[of A0] M.finite_measure[of A0]
   495         finite_measure_of_space M.finite_measure_of_space
   496       by auto
   497     have int_f_finite: "positive_integral f \<noteq> \<omega>"
   498       using M'.finite_measure_of_space pos_t unfolding pextreal_zero_less_diff_iff
   499       by (auto cong: positive_integral_cong)
   500     have "?t (space M) > b * \<mu> (space M)" unfolding b_def
   501       apply (simp add: field_simps)
   502       apply (subst mult_assoc[symmetric])
   503       apply (subst pextreal_mult_inverse)
   504       using finite_measure_of_space M'.finite_measure_of_space pos_t pos_M
   505       using pextreal_mult_strict_right_mono[of "Real (1/2)" 1 "?t (space M)"]
   506       by simp_all
   507     hence  "0 < ?t (space M) - b * \<mu> (space M)"
   508       by (simp add: pextreal_zero_less_diff_iff)
   509     also have "\<dots> \<le> ?t A0 - b * \<mu> A0"
   510       using space_less_A0 pos_M pos_t b real[unfolded pextreal_noteq_omega_Ex] by auto
   511     finally have "b * \<mu> A0 < ?t A0" unfolding pextreal_zero_less_diff_iff .
   512     hence "0 < ?t A0" by auto
   513     hence "0 < \<mu> A0" using ac unfolding absolutely_continuous_def
   514       using `A0 \<in> sets M` by auto
   515     hence "0 < b * \<mu> A0" using b by auto
   516     from int_f_finite this
   517     have "?y + 0 < positive_integral f + b * \<mu> A0" unfolding int_f_eq_y
   518       by (rule pextreal_less_add)
   519     also have "\<dots> = positive_integral ?f0" using f0_eq[OF top] `A0 \<in> sets M` sets_into_space
   520       by (simp cong: positive_integral_cong)
   521     finally have "?y < positive_integral ?f0" by simp
   522     moreover from `?f0 \<in> G` have "positive_integral ?f0 \<le> ?y" by (auto intro!: le_SUPI)
   523     ultimately show False by auto
   524   qed
   525   show ?thesis
   526   proof (safe intro!: bexI[of _ f])
   527     fix A assume "A\<in>sets M"
   528     show "\<nu> A = (\<integral>\<^isup>+x. f x * indicator A x)"
   529     proof (rule antisym)
   530       show "(\<integral>\<^isup>+x. f x * indicator A x) \<le> \<nu> A"
   531         using `f \<in> G` `A \<in> sets M` unfolding G_def by auto
   532       show "\<nu> A \<le> (\<integral>\<^isup>+x. f x * indicator A x)"
   533         using upper_bound[THEN bspec, OF `A \<in> sets M`]
   534          by (simp add: pextreal_zero_le_diff)
   535     qed
   536   qed simp
   537 qed
   538 
   539 lemma (in finite_measure) split_space_into_finite_sets_and_rest:
   540   assumes "measure_space M \<nu>"
   541   assumes ac: "absolutely_continuous \<nu>"
   542   shows "\<exists>\<Omega>0\<in>sets M. \<exists>\<Omega>::nat\<Rightarrow>'a set. disjoint_family \<Omega> \<and> range \<Omega> \<subseteq> sets M \<and> \<Omega>0 = space M - (\<Union>i. \<Omega> i) \<and>
   543     (\<forall>A\<in>sets M. A \<subseteq> \<Omega>0 \<longrightarrow> (\<mu> A = 0 \<and> \<nu> A = 0) \<or> (\<mu> A > 0 \<and> \<nu> A = \<omega>)) \<and>
   544     (\<forall>i. \<nu> (\<Omega> i) \<noteq> \<omega>)"
   545 proof -
   546   interpret v: measure_space M \<nu> by fact
   547   let ?Q = "{Q\<in>sets M. \<nu> Q \<noteq> \<omega>}"
   548   let ?a = "SUP Q:?Q. \<mu> Q"
   549   have "{} \<in> ?Q" using v.empty_measure by auto
   550   then have Q_not_empty: "?Q \<noteq> {}" by blast
   551   have "?a \<le> \<mu> (space M)" using sets_into_space
   552     by (auto intro!: SUP_leI measure_mono top)
   553   then have "?a \<noteq> \<omega>" using finite_measure_of_space
   554     by auto
   555   from SUPR_countable_SUPR[OF this Q_not_empty]
   556   obtain Q'' where "range Q'' \<subseteq> \<mu> ` ?Q" and a: "?a = (SUP i::nat. Q'' i)"
   557     by auto
   558   then have "\<forall>i. \<exists>Q'. Q'' i = \<mu> Q' \<and> Q' \<in> ?Q" by auto
   559   from choice[OF this] obtain Q' where Q': "\<And>i. Q'' i = \<mu> (Q' i)" "\<And>i. Q' i \<in> ?Q"
   560     by auto
   561   then have a_Lim: "?a = (SUP i::nat. \<mu> (Q' i))" using a by simp
   562   let "?O n" = "\<Union>i\<le>n. Q' i"
   563   have Union: "(SUP i. \<mu> (?O i)) = \<mu> (\<Union>i. ?O i)"
   564   proof (rule continuity_from_below[of ?O])
   565     show "range ?O \<subseteq> sets M" using Q' by (auto intro!: finite_UN)
   566     show "\<And>i. ?O i \<subseteq> ?O (Suc i)" by fastsimp
   567   qed
   568   have Q'_sets: "\<And>i. Q' i \<in> sets M" using Q' by auto
   569   have O_sets: "\<And>i. ?O i \<in> sets M"
   570      using Q' by (auto intro!: finite_UN Un)
   571   then have O_in_G: "\<And>i. ?O i \<in> ?Q"
   572   proof (safe del: notI)
   573     fix i have "Q' ` {..i} \<subseteq> sets M"
   574       using Q' by (auto intro: finite_UN)
   575     with v.measure_finitely_subadditive[of "{.. i}" Q']
   576     have "\<nu> (?O i) \<le> (\<Sum>i\<le>i. \<nu> (Q' i))" by auto
   577     also have "\<dots> < \<omega>" unfolding setsum_\<omega> pextreal_less_\<omega> using Q' by auto
   578     finally show "\<nu> (?O i) \<noteq> \<omega>" unfolding pextreal_less_\<omega> by auto
   579   qed auto
   580   have O_mono: "\<And>n. ?O n \<subseteq> ?O (Suc n)" by fastsimp
   581   have a_eq: "?a = \<mu> (\<Union>i. ?O i)" unfolding Union[symmetric]
   582   proof (rule antisym)
   583     show "?a \<le> (SUP i. \<mu> (?O i))" unfolding a_Lim
   584       using Q' by (auto intro!: SUP_mono measure_mono finite_UN)
   585     show "(SUP i. \<mu> (?O i)) \<le> ?a" unfolding SUPR_def
   586     proof (safe intro!: Sup_mono, unfold bex_simps)
   587       fix i
   588       have *: "(\<Union>Q' ` {..i}) = ?O i" by auto
   589       then show "\<exists>x. (x \<in> sets M \<and> \<nu> x \<noteq> \<omega>) \<and>
   590         \<mu> (\<Union>Q' ` {..i}) \<le> \<mu> x"
   591         using O_in_G[of i] by (auto intro!: exI[of _ "?O i"])
   592     qed
   593   qed
   594   let "?O_0" = "(\<Union>i. ?O i)"
   595   have "?O_0 \<in> sets M" using Q' by auto
   596   def Q \<equiv> "\<lambda>i. case i of 0 \<Rightarrow> Q' 0 | Suc n \<Rightarrow> ?O (Suc n) - ?O n"
   597   { fix i have "Q i \<in> sets M" unfolding Q_def using Q'[of 0] by (cases i) (auto intro: O_sets) }
   598   note Q_sets = this
   599   show ?thesis
   600   proof (intro bexI exI conjI ballI impI allI)
   601     show "disjoint_family Q"
   602       by (fastsimp simp: disjoint_family_on_def Q_def
   603         split: nat.split_asm)
   604     show "range Q \<subseteq> sets M"
   605       using Q_sets by auto
   606     { fix A assume A: "A \<in> sets M" "A \<subseteq> space M - ?O_0"
   607       show "\<mu> A = 0 \<and> \<nu> A = 0 \<or> 0 < \<mu> A \<and> \<nu> A = \<omega>"
   608       proof (rule disjCI, simp)
   609         assume *: "0 < \<mu> A \<longrightarrow> \<nu> A \<noteq> \<omega>"
   610         show "\<mu> A = 0 \<and> \<nu> A = 0"
   611         proof cases
   612           assume "\<mu> A = 0" moreover with ac A have "\<nu> A = 0"
   613             unfolding absolutely_continuous_def by auto
   614           ultimately show ?thesis by simp
   615         next
   616           assume "\<mu> A \<noteq> 0" with * have "\<nu> A \<noteq> \<omega>" by auto
   617           with A have "\<mu> ?O_0 + \<mu> A = \<mu> (?O_0 \<union> A)"
   618             using Q' by (auto intro!: measure_additive countable_UN)
   619           also have "\<dots> = (SUP i. \<mu> (?O i \<union> A))"
   620           proof (rule continuity_from_below[of "\<lambda>i. ?O i \<union> A", symmetric, simplified])
   621             show "range (\<lambda>i. ?O i \<union> A) \<subseteq> sets M"
   622               using `\<nu> A \<noteq> \<omega>` O_sets A by auto
   623           qed fastsimp
   624           also have "\<dots> \<le> ?a"
   625           proof (safe intro!: SUPR_bound)
   626             fix i have "?O i \<union> A \<in> ?Q"
   627             proof (safe del: notI)
   628               show "?O i \<union> A \<in> sets M" using O_sets A by auto
   629               from O_in_G[of i]
   630               moreover have "\<nu> (?O i \<union> A) \<le> \<nu> (?O i) + \<nu> A"
   631                 using v.measure_subadditive[of "?O i" A] A O_sets by auto
   632               ultimately show "\<nu> (?O i \<union> A) \<noteq> \<omega>"
   633                 using `\<nu> A \<noteq> \<omega>` by auto
   634             qed
   635             then show "\<mu> (?O i \<union> A) \<le> ?a" by (rule le_SUPI)
   636           qed
   637           finally have "\<mu> A = 0" unfolding a_eq using finite_measure[OF `?O_0 \<in> sets M`]
   638             by (cases "\<mu> A") (auto simp: pextreal_noteq_omega_Ex)
   639           with `\<mu> A \<noteq> 0` show ?thesis by auto
   640         qed
   641       qed }
   642     { fix i show "\<nu> (Q i) \<noteq> \<omega>"
   643       proof (cases i)
   644         case 0 then show ?thesis
   645           unfolding Q_def using Q'[of 0] by simp
   646       next
   647         case (Suc n)
   648         then show ?thesis unfolding Q_def
   649           using `?O n \<in> ?Q` `?O (Suc n) \<in> ?Q` O_mono
   650           using v.measure_Diff[of "?O n" "?O (Suc n)"] by auto
   651       qed }
   652     show "space M - ?O_0 \<in> sets M" using Q'_sets by auto
   653     { fix j have "(\<Union>i\<le>j. ?O i) = (\<Union>i\<le>j. Q i)"
   654       proof (induct j)
   655         case 0 then show ?case by (simp add: Q_def)
   656       next
   657         case (Suc j)
   658         have eq: "\<And>j. (\<Union>i\<le>j. ?O i) = (\<Union>i\<le>j. Q' i)" by fastsimp
   659         have "{..j} \<union> {..Suc j} = {..Suc j}" by auto
   660         then have "(\<Union>i\<le>Suc j. Q' i) = (\<Union>i\<le>j. Q' i) \<union> Q (Suc j)"
   661           by (simp add: UN_Un[symmetric] Q_def del: UN_Un)
   662         then show ?case using Suc by (auto simp add: eq atMost_Suc)
   663       qed }
   664     then have "(\<Union>j. (\<Union>i\<le>j. ?O i)) = (\<Union>j. (\<Union>i\<le>j. Q i))" by simp
   665     then show "space M - ?O_0 = space M - (\<Union>i. Q i)" by fastsimp
   666   qed
   667 qed
   668 
   669 lemma (in finite_measure) Radon_Nikodym_finite_measure_infinite:
   670   assumes "measure_space M \<nu>"
   671   assumes "absolutely_continuous \<nu>"
   672   shows "\<exists>f \<in> borel_measurable M. \<forall>A\<in>sets M. \<nu> A = (\<integral>\<^isup>+x. f x * indicator A x)"
   673 proof -
   674   interpret v: measure_space M \<nu> by fact
   675   from split_space_into_finite_sets_and_rest[OF assms]
   676   obtain Q0 and Q :: "nat \<Rightarrow> 'a set"
   677     where Q: "disjoint_family Q" "range Q \<subseteq> sets M"
   678     and Q0: "Q0 \<in> sets M" "Q0 = space M - (\<Union>i. Q i)"
   679     and in_Q0: "\<And>A. A \<in> sets M \<Longrightarrow> A \<subseteq> Q0 \<Longrightarrow> \<mu> A = 0 \<and> \<nu> A = 0 \<or> 0 < \<mu> A \<and> \<nu> A = \<omega>"
   680     and Q_fin: "\<And>i. \<nu> (Q i) \<noteq> \<omega>" by force
   681   from Q have Q_sets: "\<And>i. Q i \<in> sets M" by auto
   682   have "\<forall>i. \<exists>f. f\<in>borel_measurable M \<and> (\<forall>A\<in>sets M.
   683     \<nu> (Q i \<inter> A) = (\<integral>\<^isup>+x. f x * indicator (Q i \<inter> A) x))"
   684   proof
   685     fix i
   686     have indicator_eq: "\<And>f x A. (f x :: pextreal) * indicator (Q i \<inter> A) x * indicator (Q i) x
   687       = (f x * indicator (Q i) x) * indicator A x"
   688       unfolding indicator_def by auto
   689     have fm: "finite_measure (restricted_space (Q i)) \<mu>"
   690       (is "finite_measure ?R \<mu>") by (rule restricted_finite_measure[OF Q_sets[of i]])
   691     then interpret R: finite_measure ?R .
   692     have fmv: "finite_measure ?R \<nu>"
   693       unfolding finite_measure_def finite_measure_axioms_def
   694     proof
   695       show "measure_space ?R \<nu>"
   696         using v.restricted_measure_space Q_sets[of i] by auto
   697       show "\<nu>  (space ?R) \<noteq> \<omega>"
   698         using Q_fin by simp
   699     qed
   700     have "R.absolutely_continuous \<nu>"
   701       using `absolutely_continuous \<nu>` `Q i \<in> sets M`
   702       by (auto simp: R.absolutely_continuous_def absolutely_continuous_def)
   703     from finite_measure.Radon_Nikodym_finite_measure[OF fm fmv this]
   704     obtain f where f: "(\<lambda>x. f x * indicator (Q i) x) \<in> borel_measurable M"
   705       and f_int: "\<And>A. A\<in>sets M \<Longrightarrow> \<nu> (Q i \<inter> A) = (\<integral>\<^isup>+x. (f x * indicator (Q i) x) * indicator A x)"
   706       unfolding Bex_def borel_measurable_restricted[OF `Q i \<in> sets M`]
   707         positive_integral_restricted[OF `Q i \<in> sets M`] by (auto simp: indicator_eq)
   708     then show "\<exists>f. f\<in>borel_measurable M \<and> (\<forall>A\<in>sets M.
   709       \<nu> (Q i \<inter> A) = (\<integral>\<^isup>+x. f x * indicator (Q i \<inter> A) x))"
   710       by (fastsimp intro!: exI[of _ "\<lambda>x. f x * indicator (Q i) x"] positive_integral_cong
   711           simp: indicator_def)
   712   qed
   713   from choice[OF this] obtain f where borel: "\<And>i. f i \<in> borel_measurable M"
   714     and f: "\<And>A i. A \<in> sets M \<Longrightarrow>
   715       \<nu> (Q i \<inter> A) = (\<integral>\<^isup>+x. f i x * indicator (Q i \<inter> A) x)"
   716     by auto
   717   let "?f x" =
   718     "(\<Sum>\<^isub>\<infinity> i. f i x * indicator (Q i) x) + \<omega> * indicator Q0 x"
   719   show ?thesis
   720   proof (safe intro!: bexI[of _ ?f])
   721     show "?f \<in> borel_measurable M"
   722       by (safe intro!: borel_measurable_psuminf borel_measurable_pextreal_times
   723         borel_measurable_pextreal_add borel_measurable_indicator
   724         borel_measurable_const borel Q_sets Q0 Diff countable_UN)
   725     fix A assume "A \<in> sets M"
   726     have *:
   727       "\<And>x i. indicator A x * (f i x * indicator (Q i) x) =
   728         f i x * indicator (Q i \<inter> A) x"
   729       "\<And>x i. (indicator A x * indicator Q0 x :: pextreal) =
   730         indicator (Q0 \<inter> A) x" by (auto simp: indicator_def)
   731     have "(\<integral>\<^isup>+x. ?f x * indicator A x) =
   732       (\<Sum>\<^isub>\<infinity> i. \<nu> (Q i \<inter> A)) + \<omega> * \<mu> (Q0 \<inter> A)"
   733       unfolding f[OF `A \<in> sets M`]
   734       apply (simp del: pextreal_times(2) add: field_simps *)
   735       apply (subst positive_integral_add)
   736       apply (fastsimp intro: Q0 `A \<in> sets M`)
   737       apply (fastsimp intro: Q_sets `A \<in> sets M` borel_measurable_psuminf borel)
   738       apply (subst positive_integral_cmult_indicator)
   739       apply (fastsimp intro: Q0 `A \<in> sets M`)
   740       unfolding psuminf_cmult_right[symmetric]
   741       apply (subst positive_integral_psuminf)
   742       apply (fastsimp intro: `A \<in> sets M` Q_sets borel)
   743       apply (simp add: *)
   744       done
   745     moreover have "(\<Sum>\<^isub>\<infinity>i. \<nu> (Q i \<inter> A)) = \<nu> ((\<Union>i. Q i) \<inter> A)"
   746       using Q Q_sets `A \<in> sets M`
   747       by (intro v.measure_countably_additive[of "\<lambda>i. Q i \<inter> A", unfolded comp_def, simplified])
   748          (auto simp: disjoint_family_on_def)
   749     moreover have "\<omega> * \<mu> (Q0 \<inter> A) = \<nu> (Q0 \<inter> A)"
   750     proof -
   751       have "Q0 \<inter> A \<in> sets M" using Q0(1) `A \<in> sets M` by blast
   752       from in_Q0[OF this] show ?thesis by auto
   753     qed
   754     moreover have "Q0 \<inter> A \<in> sets M" "((\<Union>i. Q i) \<inter> A) \<in> sets M"
   755       using Q_sets `A \<in> sets M` Q0(1) by (auto intro!: countable_UN)
   756     moreover have "((\<Union>i. Q i) \<inter> A) \<union> (Q0 \<inter> A) = A" "((\<Union>i. Q i) \<inter> A) \<inter> (Q0 \<inter> A) = {}"
   757       using `A \<in> sets M` sets_into_space Q0 by auto
   758     ultimately show "\<nu> A = (\<integral>\<^isup>+x. ?f x * indicator A x)"
   759       using v.measure_additive[simplified, of "(\<Union>i. Q i) \<inter> A" "Q0 \<inter> A"]
   760       by simp
   761   qed
   762 qed
   763 
   764 lemma (in sigma_finite_measure) Radon_Nikodym:
   765   assumes "measure_space M \<nu>"
   766   assumes "absolutely_continuous \<nu>"
   767   shows "\<exists>f \<in> borel_measurable M. \<forall>A\<in>sets M. \<nu> A = (\<integral>\<^isup>+x. f x * indicator A x)"
   768 proof -
   769   from Ex_finite_integrable_function
   770   obtain h where finite: "positive_integral h \<noteq> \<omega>" and
   771     borel: "h \<in> borel_measurable M" and
   772     pos: "\<And>x. x \<in> space M \<Longrightarrow> 0 < h x" and
   773     "\<And>x. x \<in> space M \<Longrightarrow> h x < \<omega>" by auto
   774   let "?T A" = "(\<integral>\<^isup>+x. h x * indicator A x)"
   775   from measure_space_density[OF borel] finite
   776   interpret T: finite_measure M ?T
   777     unfolding finite_measure_def finite_measure_axioms_def
   778     by (simp cong: positive_integral_cong)
   779   have "\<And>N. N \<in> sets M \<Longrightarrow> {x \<in> space M. h x \<noteq> 0 \<and> indicator N x \<noteq> (0::pextreal)} = N"
   780     using sets_into_space pos by (force simp: indicator_def)
   781   then have "T.absolutely_continuous \<nu>" using assms(2) borel
   782     unfolding T.absolutely_continuous_def absolutely_continuous_def
   783     by (fastsimp simp: borel_measurable_indicator positive_integral_0_iff)
   784   from T.Radon_Nikodym_finite_measure_infinite[simplified, OF assms(1) this]
   785   obtain f where f_borel: "f \<in> borel_measurable M" and
   786     fT: "\<And>A. A \<in> sets M \<Longrightarrow> \<nu> A = T.positive_integral (\<lambda>x. f x * indicator A x)" by auto
   787   show ?thesis
   788   proof (safe intro!: bexI[of _ "\<lambda>x. h x * f x"])
   789     show "(\<lambda>x. h x * f x) \<in> borel_measurable M"
   790       using borel f_borel by (auto intro: borel_measurable_pextreal_times)
   791     fix A assume "A \<in> sets M"
   792     then have "(\<lambda>x. f x * indicator A x) \<in> borel_measurable M"
   793       using f_borel by (auto intro: borel_measurable_pextreal_times borel_measurable_indicator)
   794     from positive_integral_translated_density[OF borel this]
   795     show "\<nu> A = (\<integral>\<^isup>+x. h x * f x * indicator A x)"
   796       unfolding fT[OF `A \<in> sets M`] by (simp add: field_simps)
   797   qed
   798 qed
   799 
   800 section "Uniqueness of densities"
   801 
   802 lemma (in measure_space) finite_density_unique:
   803   assumes borel: "f \<in> borel_measurable M" "g \<in> borel_measurable M"
   804   and fin: "positive_integral f < \<omega>"
   805   shows "(\<forall>A\<in>sets M. (\<integral>\<^isup>+x. f x * indicator A x) = (\<integral>\<^isup>+x. g x * indicator A x))
   806     \<longleftrightarrow> (AE x. f x = g x)"
   807     (is "(\<forall>A\<in>sets M. ?P f A = ?P g A) \<longleftrightarrow> _")
   808 proof (intro iffI ballI)
   809   fix A assume eq: "AE x. f x = g x"
   810   show "?P f A = ?P g A"
   811     by (rule positive_integral_cong_AE[OF AE_mp[OF eq]]) simp
   812 next
   813   assume eq: "\<forall>A\<in>sets M. ?P f A = ?P g A"
   814   from this[THEN bspec, OF top] fin
   815   have g_fin: "positive_integral g < \<omega>" by (simp cong: positive_integral_cong)
   816   { fix f g assume borel: "f \<in> borel_measurable M" "g \<in> borel_measurable M"
   817       and g_fin: "positive_integral g < \<omega>" and eq: "\<forall>A\<in>sets M. ?P f A = ?P g A"
   818     let ?N = "{x\<in>space M. g x < f x}"
   819     have N: "?N \<in> sets M" using borel by simp
   820     have "?P (\<lambda>x. (f x - g x)) ?N = (\<integral>\<^isup>+x. f x * indicator ?N x - g x * indicator ?N x)"
   821       by (auto intro!: positive_integral_cong simp: indicator_def)
   822     also have "\<dots> = ?P f ?N - ?P g ?N"
   823     proof (rule positive_integral_diff)
   824       show "(\<lambda>x. f x * indicator ?N x) \<in> borel_measurable M" "(\<lambda>x. g x * indicator ?N x) \<in> borel_measurable M"
   825         using borel N by auto
   826       have "?P g ?N \<le> positive_integral g"
   827         by (auto intro!: positive_integral_mono simp: indicator_def)
   828       then show "?P g ?N \<noteq> \<omega>" using g_fin by auto
   829       fix x assume "x \<in> space M"
   830       show "g x * indicator ?N x \<le> f x * indicator ?N x"
   831         by (auto simp: indicator_def)
   832     qed
   833     also have "\<dots> = 0"
   834       using eq[THEN bspec, OF N] by simp
   835     finally have "\<mu> {x\<in>space M. (f x - g x) * indicator ?N x \<noteq> 0} = 0"
   836       using borel N by (subst (asm) positive_integral_0_iff) auto
   837     moreover have "{x\<in>space M. (f x - g x) * indicator ?N x \<noteq> 0} = ?N"
   838       by (auto simp: pextreal_zero_le_diff)
   839     ultimately have "?N \<in> null_sets" using N by simp }
   840   from this[OF borel g_fin eq] this[OF borel(2,1) fin]
   841   have "{x\<in>space M. g x < f x} \<union> {x\<in>space M. f x < g x} \<in> null_sets"
   842     using eq by (intro null_sets_Un) auto
   843   also have "{x\<in>space M. g x < f x} \<union> {x\<in>space M. f x < g x} = {x\<in>space M. f x \<noteq> g x}"
   844     by auto
   845   finally show "AE x. f x = g x"
   846     unfolding almost_everywhere_def by auto
   847 qed
   848 
   849 lemma (in finite_measure) density_unique_finite_measure:
   850   assumes borel: "f \<in> borel_measurable M" "f' \<in> borel_measurable M"
   851   assumes f: "\<And>A. A \<in> sets M \<Longrightarrow> (\<integral>\<^isup>+x. f x * indicator A x) = (\<integral>\<^isup>+x. f' x * indicator A x)"
   852     (is "\<And>A. A \<in> sets M \<Longrightarrow> ?P f A = ?P f' A")
   853   shows "AE x. f x = f' x"
   854 proof -
   855   let "?\<nu> A" = "?P f A" and "?\<nu>' A" = "?P f' A"
   856   let "?f A x" = "f x * indicator A x" and "?f' A x" = "f' x * indicator A x"
   857   interpret M: measure_space M ?\<nu>
   858     using borel(1) by (rule measure_space_density)
   859   have ac: "absolutely_continuous ?\<nu>"
   860     using f by (rule density_is_absolutely_continuous)
   861   from split_space_into_finite_sets_and_rest[OF `measure_space M ?\<nu>` ac]
   862   obtain Q0 and Q :: "nat \<Rightarrow> 'a set"
   863     where Q: "disjoint_family Q" "range Q \<subseteq> sets M"
   864     and Q0: "Q0 \<in> sets M" "Q0 = space M - (\<Union>i. Q i)"
   865     and in_Q0: "\<And>A. A \<in> sets M \<Longrightarrow> A \<subseteq> Q0 \<Longrightarrow> \<mu> A = 0 \<and> ?\<nu> A = 0 \<or> 0 < \<mu> A \<and> ?\<nu> A = \<omega>"
   866     and Q_fin: "\<And>i. ?\<nu> (Q i) \<noteq> \<omega>" by force
   867   from Q have Q_sets: "\<And>i. Q i \<in> sets M" by auto
   868   let ?N = "{x\<in>space M. f x \<noteq> f' x}"
   869   have "?N \<in> sets M" using borel by auto
   870   have *: "\<And>i x A. \<And>y::pextreal. y * indicator (Q i) x * indicator A x = y * indicator (Q i \<inter> A) x"
   871     unfolding indicator_def by auto
   872   have 1: "\<forall>i. AE x. ?f (Q i) x = ?f' (Q i) x"
   873     using borel Q_fin Q
   874     by (intro finite_density_unique[THEN iffD1] allI)
   875        (auto intro!: borel_measurable_pextreal_times f Int simp: *)
   876   have 2: "AE x. ?f Q0 x = ?f' Q0 x"
   877   proof (rule AE_I')
   878     { fix f :: "'a \<Rightarrow> pextreal" assume borel: "f \<in> borel_measurable M"
   879         and eq: "\<And>A. A \<in> sets M \<Longrightarrow> ?\<nu> A = (\<integral>\<^isup>+x. f x * indicator A x)"
   880       let "?A i" = "Q0 \<inter> {x \<in> space M. f x < of_nat i}"
   881       have "(\<Union>i. ?A i) \<in> null_sets"
   882       proof (rule null_sets_UN)
   883         fix i have "?A i \<in> sets M"
   884           using borel Q0(1) by auto
   885         have "?\<nu> (?A i) \<le> (\<integral>\<^isup>+x. of_nat i * indicator (?A i) x)"
   886           unfolding eq[OF `?A i \<in> sets M`]
   887           by (auto intro!: positive_integral_mono simp: indicator_def)
   888         also have "\<dots> = of_nat i * \<mu> (?A i)"
   889           using `?A i \<in> sets M` by (auto intro!: positive_integral_cmult_indicator)
   890         also have "\<dots> < \<omega>"
   891           using `?A i \<in> sets M`[THEN finite_measure] by auto
   892         finally have "?\<nu> (?A i) \<noteq> \<omega>" by simp
   893         then show "?A i \<in> null_sets" using in_Q0[OF `?A i \<in> sets M`] `?A i \<in> sets M` by auto
   894       qed
   895       also have "(\<Union>i. ?A i) = Q0 \<inter> {x\<in>space M. f x < \<omega>}"
   896         by (auto simp: less_\<omega>_Ex_of_nat)
   897       finally have "Q0 \<inter> {x\<in>space M. f x \<noteq> \<omega>} \<in> null_sets" by (simp add: pextreal_less_\<omega>) }
   898     from this[OF borel(1) refl] this[OF borel(2) f]
   899     have "Q0 \<inter> {x\<in>space M. f x \<noteq> \<omega>} \<in> null_sets" "Q0 \<inter> {x\<in>space M. f' x \<noteq> \<omega>} \<in> null_sets" by simp_all
   900     then show "(Q0 \<inter> {x\<in>space M. f x \<noteq> \<omega>}) \<union> (Q0 \<inter> {x\<in>space M. f' x \<noteq> \<omega>}) \<in> null_sets" by (rule null_sets_Un)
   901     show "{x \<in> space M. ?f Q0 x \<noteq> ?f' Q0 x} \<subseteq>
   902       (Q0 \<inter> {x\<in>space M. f x \<noteq> \<omega>}) \<union> (Q0 \<inter> {x\<in>space M. f' x \<noteq> \<omega>})" by (auto simp: indicator_def)
   903   qed
   904   have **: "\<And>x. (?f Q0 x = ?f' Q0 x) \<longrightarrow> (\<forall>i. ?f (Q i) x = ?f' (Q i) x) \<longrightarrow>
   905     ?f (space M) x = ?f' (space M) x"
   906     by (auto simp: indicator_def Q0)
   907   have 3: "AE x. ?f (space M) x = ?f' (space M) x"
   908     by (rule AE_mp[OF 1[unfolded all_AE_countable] AE_mp[OF 2]]) (simp add: **)
   909   then show "AE x. f x = f' x"
   910     by (rule AE_mp) (auto intro!: AE_cong simp: indicator_def)
   911 qed
   912 
   913 lemma (in sigma_finite_measure) density_unique:
   914   assumes borel: "f \<in> borel_measurable M" "f' \<in> borel_measurable M"
   915   assumes f: "\<And>A. A \<in> sets M \<Longrightarrow> (\<integral>\<^isup>+x. f x * indicator A x) = (\<integral>\<^isup>+x. f' x * indicator A x)"
   916     (is "\<And>A. A \<in> sets M \<Longrightarrow> ?P f A = ?P f' A")
   917   shows "AE x. f x = f' x"
   918 proof -
   919   obtain h where h_borel: "h \<in> borel_measurable M"
   920     and fin: "positive_integral h \<noteq> \<omega>" and pos: "\<And>x. x \<in> space M \<Longrightarrow> 0 < h x \<and> h x < \<omega>"
   921     using Ex_finite_integrable_function by auto
   922   interpret h: measure_space M "\<lambda>A. (\<integral>\<^isup>+x. h x * indicator A x)"
   923     using h_borel by (rule measure_space_density)
   924   interpret h: finite_measure M "\<lambda>A. (\<integral>\<^isup>+x. h x * indicator A x)"
   925     by default (simp cong: positive_integral_cong add: fin)
   926   interpret f: measure_space M "\<lambda>A. (\<integral>\<^isup>+x. f x * indicator A x)"
   927     using borel(1) by (rule measure_space_density)
   928   interpret f': measure_space M "\<lambda>A. (\<integral>\<^isup>+x. f' x * indicator A x)"
   929     using borel(2) by (rule measure_space_density)
   930   { fix A assume "A \<in> sets M"
   931     then have " {x \<in> space M. h x \<noteq> 0 \<and> indicator A x \<noteq> (0::pextreal)} = A"
   932       using pos sets_into_space by (force simp: indicator_def)
   933     then have "(\<integral>\<^isup>+x. h x * indicator A x) = 0 \<longleftrightarrow> A \<in> null_sets"
   934       using h_borel `A \<in> sets M` by (simp add: positive_integral_0_iff) }
   935   note h_null_sets = this
   936   { fix A assume "A \<in> sets M"
   937     have "(\<integral>\<^isup>+x. h x * (f x * indicator A x)) =
   938       f.positive_integral (\<lambda>x. h x * indicator A x)"
   939       using `A \<in> sets M` h_borel borel
   940       by (simp add: positive_integral_translated_density ac_simps cong: positive_integral_cong)
   941     also have "\<dots> = f'.positive_integral (\<lambda>x. h x * indicator A x)"
   942       by (rule f'.positive_integral_cong_measure) (rule f)
   943     also have "\<dots> = (\<integral>\<^isup>+x. h x * (f' x * indicator A x))"
   944       using `A \<in> sets M` h_borel borel
   945       by (simp add: positive_integral_translated_density ac_simps cong: positive_integral_cong)
   946     finally have "(\<integral>\<^isup>+x. h x * (f x * indicator A x)) = (\<integral>\<^isup>+x. h x * (f' x * indicator A x))" . }
   947   then have "h.almost_everywhere (\<lambda>x. f x = f' x)"
   948     using h_borel borel
   949     by (intro h.density_unique_finite_measure[OF borel])
   950        (simp add: positive_integral_translated_density)
   951   then show "AE x. f x = f' x"
   952     unfolding h.almost_everywhere_def almost_everywhere_def
   953     by (auto simp add: h_null_sets)
   954 qed
   955 
   956 lemma (in sigma_finite_measure) sigma_finite_iff_density_finite:
   957   assumes \<nu>: "measure_space M \<nu>" and f: "f \<in> borel_measurable M"
   958     and eq: "\<And>A. A \<in> sets M \<Longrightarrow> \<nu> A = (\<integral>\<^isup>+x. f x * indicator A x)"
   959   shows "sigma_finite_measure M \<nu> \<longleftrightarrow> (AE x. f x \<noteq> \<omega>)"
   960 proof
   961   assume "sigma_finite_measure M \<nu>"
   962   then interpret \<nu>: sigma_finite_measure M \<nu> .
   963   from \<nu>.Ex_finite_integrable_function obtain h where
   964     h: "h \<in> borel_measurable M" "\<nu>.positive_integral h \<noteq> \<omega>"
   965     and fin: "\<And>x. x \<in> space M \<Longrightarrow> 0 < h x \<and> h x < \<omega>" by auto
   966   have "AE x. f x * h x \<noteq> \<omega>"
   967   proof (rule AE_I')
   968     have "\<nu>.positive_integral h = (\<integral>\<^isup>+x. f x * h x)"
   969       by (simp add: \<nu>.positive_integral_cong_measure[symmetric, OF eq[symmetric]])
   970          (intro positive_integral_translated_density f h)
   971     then have "(\<integral>\<^isup>+x. f x * h x) \<noteq> \<omega>"
   972       using h(2) by simp
   973     then show "(\<lambda>x. f x * h x) -` {\<omega>} \<inter> space M \<in> null_sets"
   974       using f h(1) by (auto intro!: positive_integral_omega borel_measurable_vimage)
   975   qed auto
   976   then show "AE x. f x \<noteq> \<omega>"
   977   proof (rule AE_mp, intro AE_cong)
   978     fix x assume "x \<in> space M" from this[THEN fin]
   979     show "f x * h x \<noteq> \<omega> \<longrightarrow> f x \<noteq> \<omega>" by auto
   980   qed
   981 next
   982   assume AE: "AE x. f x \<noteq> \<omega>"
   983   from sigma_finite guess Q .. note Q = this
   984   interpret \<nu>: measure_space M \<nu> by fact
   985   def A \<equiv> "\<lambda>i. f -` (case i of 0 \<Rightarrow> {\<omega>} | Suc n \<Rightarrow> {.. of_nat (Suc n)}) \<inter> space M"
   986   { fix i j have "A i \<inter> Q j \<in> sets M"
   987     unfolding A_def using f Q
   988     apply (rule_tac Int)
   989     by (cases i) (auto intro: measurable_sets[OF f]) }
   990   note A_in_sets = this
   991   let "?A n" = "case prod_decode n of (i,j) \<Rightarrow> A i \<inter> Q j"
   992   show "sigma_finite_measure M \<nu>"
   993   proof (default, intro exI conjI subsetI allI)
   994     fix x assume "x \<in> range ?A"
   995     then obtain n where n: "x = ?A n" by auto
   996     then show "x \<in> sets M" using A_in_sets by (cases "prod_decode n") auto
   997   next
   998     have "(\<Union>i. ?A i) = (\<Union>i j. A i \<inter> Q j)"
   999     proof safe
  1000       fix x i j assume "x \<in> A i" "x \<in> Q j"
  1001       then show "x \<in> (\<Union>i. case prod_decode i of (i, j) \<Rightarrow> A i \<inter> Q j)"
  1002         by (intro UN_I[of "prod_encode (i,j)"]) auto
  1003     qed auto
  1004     also have "\<dots> = (\<Union>i. A i) \<inter> space M" using Q by auto
  1005     also have "(\<Union>i. A i) = space M"
  1006     proof safe
  1007       fix x assume x: "x \<in> space M"
  1008       show "x \<in> (\<Union>i. A i)"
  1009       proof (cases "f x")
  1010         case infinite then show ?thesis using x unfolding A_def by (auto intro: exI[of _ 0])
  1011       next
  1012         case (preal r)
  1013         with less_\<omega>_Ex_of_nat[of "f x"] obtain n where "f x < of_nat n" by auto
  1014         then show ?thesis using x preal unfolding A_def by (auto intro!: exI[of _ "Suc n"])
  1015       qed
  1016     qed (auto simp: A_def)
  1017     finally show "(\<Union>i. ?A i) = space M" by simp
  1018   next
  1019     fix n obtain i j where
  1020       [simp]: "prod_decode n = (i, j)" by (cases "prod_decode n") auto
  1021     have "(\<integral>\<^isup>+x. f x * indicator (A i \<inter> Q j) x) \<noteq> \<omega>"
  1022     proof (cases i)
  1023       case 0
  1024       have "AE x. f x * indicator (A i \<inter> Q j) x = 0"
  1025         using AE by (rule AE_mp) (auto intro!: AE_cong simp: A_def `i = 0`)
  1026       then have "(\<integral>\<^isup>+x. f x * indicator (A i \<inter> Q j) x) = 0"
  1027         using A_in_sets f
  1028         apply (subst positive_integral_0_iff)
  1029         apply fast
  1030         apply (subst (asm) AE_iff_null_set)
  1031         apply (intro borel_measurable_pextreal_neq_const)
  1032         apply fast
  1033         by simp
  1034       then show ?thesis by simp
  1035     next
  1036       case (Suc n)
  1037       then have "(\<integral>\<^isup>+x. f x * indicator (A i \<inter> Q j) x) \<le>
  1038         (\<integral>\<^isup>+x. of_nat (Suc n) * indicator (Q j) x)"
  1039         by (auto intro!: positive_integral_mono simp: indicator_def A_def)
  1040       also have "\<dots> = of_nat (Suc n) * \<mu> (Q j)"
  1041         using Q by (auto intro!: positive_integral_cmult_indicator)
  1042       also have "\<dots> < \<omega>"
  1043         using Q by auto
  1044       finally show ?thesis by simp
  1045     qed
  1046     then show "\<nu> (?A n) \<noteq> \<omega>"
  1047       using A_in_sets Q eq by auto
  1048   qed
  1049 qed
  1050 
  1051 section "Radon-Nikodym derivative"
  1052 
  1053 definition (in sigma_finite_measure)
  1054   "RN_deriv \<nu> \<equiv> SOME f. f \<in> borel_measurable M \<and>
  1055     (\<forall>A \<in> sets M. \<nu> A = (\<integral>\<^isup>+x. f x * indicator A x))"
  1056 
  1057 lemma (in sigma_finite_measure) RN_deriv_cong:
  1058   assumes cong: "\<And>A. A \<in> sets M \<Longrightarrow> \<mu>' A = \<mu> A" "\<And>A. A \<in> sets M \<Longrightarrow> \<nu>' A = \<nu> A"
  1059   shows "sigma_finite_measure.RN_deriv M \<mu>' \<nu>' x = RN_deriv \<nu> x"
  1060 proof -
  1061   interpret \<mu>': sigma_finite_measure M \<mu>'
  1062     using cong(1) by (rule sigma_finite_measure_cong)
  1063   show ?thesis
  1064     unfolding RN_deriv_def \<mu>'.RN_deriv_def
  1065     by (simp add: cong positive_integral_cong_measure[OF cong(1)])
  1066 qed
  1067 
  1068 lemma (in sigma_finite_measure) RN_deriv:
  1069   assumes "measure_space M \<nu>"
  1070   assumes "absolutely_continuous \<nu>"
  1071   shows "RN_deriv \<nu> \<in> borel_measurable M" (is ?borel)
  1072   and "\<And>A. A \<in> sets M \<Longrightarrow> \<nu> A = (\<integral>\<^isup>+x. RN_deriv \<nu> x * indicator A x)"
  1073     (is "\<And>A. _ \<Longrightarrow> ?int A")
  1074 proof -
  1075   note Ex = Radon_Nikodym[OF assms, unfolded Bex_def]
  1076   thus ?borel unfolding RN_deriv_def by (rule someI2_ex) auto
  1077   fix A assume "A \<in> sets M"
  1078   from Ex show "?int A" unfolding RN_deriv_def
  1079     by (rule someI2_ex) (simp add: `A \<in> sets M`)
  1080 qed
  1081 
  1082 lemma (in sigma_finite_measure) RN_deriv_positive_integral:
  1083   assumes \<nu>: "measure_space M \<nu>" "absolutely_continuous \<nu>"
  1084     and f: "f \<in> borel_measurable M"
  1085   shows "measure_space.positive_integral M \<nu> f = (\<integral>\<^isup>+x. RN_deriv \<nu> x * f x)"
  1086 proof -
  1087   interpret \<nu>: measure_space M \<nu> by fact
  1088   have "\<nu>.positive_integral f =
  1089     measure_space.positive_integral M (\<lambda>A. (\<integral>\<^isup>+x. RN_deriv \<nu> x * indicator A x)) f"
  1090     by (intro \<nu>.positive_integral_cong_measure[symmetric] RN_deriv(2)[OF \<nu>, symmetric])
  1091   also have "\<dots> = (\<integral>\<^isup>+x. RN_deriv \<nu> x * f x)"
  1092     by (intro positive_integral_translated_density RN_deriv[OF \<nu>] f)
  1093   finally show ?thesis .
  1094 qed
  1095 
  1096 lemma (in sigma_finite_measure) RN_deriv_unique:
  1097   assumes \<nu>: "measure_space M \<nu>" "absolutely_continuous \<nu>"
  1098   and f: "f \<in> borel_measurable M"
  1099   and eq: "\<And>A. A \<in> sets M \<Longrightarrow> \<nu> A = (\<integral>\<^isup>+x. f x * indicator A x)"
  1100   shows "AE x. f x = RN_deriv \<nu> x"
  1101 proof (rule density_unique[OF f RN_deriv(1)[OF \<nu>]])
  1102   fix A assume A: "A \<in> sets M"
  1103   show "(\<integral>\<^isup>+x. f x * indicator A x) = (\<integral>\<^isup>+x. RN_deriv \<nu> x * indicator A x)"
  1104     unfolding eq[OF A, symmetric] RN_deriv(2)[OF \<nu> A, symmetric] ..
  1105 qed
  1106 
  1107 lemma (in sigma_finite_measure) RN_deriv_vimage:
  1108   fixes f :: "'b \<Rightarrow> 'a"
  1109   assumes f: "bij_inv S (space M) f g"
  1110   assumes \<nu>: "measure_space M \<nu>" "absolutely_continuous \<nu>"
  1111   shows "AE x.
  1112     sigma_finite_measure.RN_deriv (vimage_algebra S f) (\<lambda>A. \<mu> (f ` A)) (\<lambda>A. \<nu> (f ` A)) (g x) = RN_deriv \<nu> x"
  1113 proof (rule RN_deriv_unique[OF \<nu>])
  1114   interpret sf: sigma_finite_measure "vimage_algebra S f" "\<lambda>A. \<mu> (f ` A)"
  1115     using f by (rule sigma_finite_measure_isomorphic[OF bij_inv_bij_betw(1)])
  1116   interpret \<nu>: measure_space M \<nu> using \<nu>(1) .
  1117   have \<nu>': "measure_space (vimage_algebra S f) (\<lambda>A. \<nu> (f ` A))"
  1118     using f by (rule \<nu>.measure_space_isomorphic[OF bij_inv_bij_betw(1)])
  1119   { fix A assume "A \<in> sets M" then have "f ` (f -` A \<inter> S) = A"
  1120       using sets_into_space f[THEN bij_inv_bij_betw(1), unfolded bij_betw_def]
  1121       by (intro image_vimage_inter_eq[where T="space M"]) auto }
  1122   note A_f = this
  1123   then have ac: "sf.absolutely_continuous (\<lambda>A. \<nu> (f ` A))"
  1124     using \<nu>(2) by (auto simp: sf.absolutely_continuous_def absolutely_continuous_def)
  1125   show "(\<lambda>x. sf.RN_deriv (\<lambda>A. \<nu> (f ` A)) (g x)) \<in> borel_measurable M"
  1126     using sf.RN_deriv(1)[OF \<nu>' ac]
  1127     unfolding measurable_vimage_iff_inv[OF f] comp_def .
  1128   fix A assume "A \<in> sets M"
  1129   then have *: "\<And>x. x \<in> space M \<Longrightarrow> indicator (f -` A \<inter> S) (g x) = (indicator A x :: pextreal)"
  1130     using f by (auto simp: bij_inv_def indicator_def)
  1131   have "\<nu> (f ` (f -` A \<inter> S)) = sf.positive_integral (\<lambda>x. sf.RN_deriv (\<lambda>A. \<nu> (f ` A)) x * indicator (f -` A \<inter> S) x)"
  1132     using `A \<in> sets M` by (force intro!: sf.RN_deriv(2)[OF \<nu>' ac])
  1133   also have "\<dots> = (\<integral>\<^isup>+x. sf.RN_deriv (\<lambda>A. \<nu> (f ` A)) (g x) * indicator A x)"
  1134     unfolding positive_integral_vimage_inv[OF f]
  1135     by (simp add: * cong: positive_integral_cong)
  1136   finally show "\<nu> A = (\<integral>\<^isup>+x. sf.RN_deriv (\<lambda>A. \<nu> (f ` A)) (g x) * indicator A x)"
  1137     unfolding A_f[OF `A \<in> sets M`] .
  1138 qed
  1139 
  1140 lemma (in sigma_finite_measure) RN_deriv_finite:
  1141   assumes sfm: "sigma_finite_measure M \<nu>" and ac: "absolutely_continuous \<nu>"
  1142   shows "AE x. RN_deriv \<nu> x \<noteq> \<omega>"
  1143 proof -
  1144   interpret \<nu>: sigma_finite_measure M \<nu> by fact
  1145   have \<nu>: "measure_space M \<nu>" by default
  1146   from sfm show ?thesis
  1147     using sigma_finite_iff_density_finite[OF \<nu> RN_deriv[OF \<nu> ac]] by simp
  1148 qed
  1149 
  1150 lemma (in sigma_finite_measure)
  1151   assumes \<nu>: "sigma_finite_measure M \<nu>" "absolutely_continuous \<nu>"
  1152     and f: "f \<in> borel_measurable M"
  1153   shows RN_deriv_integral: "measure_space.integral M \<nu> f = (\<integral>x. real (RN_deriv \<nu> x) * f x)" (is ?integral)
  1154     and RN_deriv_integrable: "measure_space.integrable M \<nu> f \<longleftrightarrow> integrable (\<lambda>x. real (RN_deriv \<nu> x) * f x)" (is ?integrable)
  1155 proof -
  1156   interpret \<nu>: sigma_finite_measure M \<nu> by fact
  1157   have ms: "measure_space M \<nu>" by default
  1158   have minus_cong: "\<And>A B A' B'::pextreal. A = A' \<Longrightarrow> B = B' \<Longrightarrow> real A - real B = real A' - real B'" by simp
  1159   have f': "(\<lambda>x. - f x) \<in> borel_measurable M" using f by auto
  1160   { fix f :: "'a \<Rightarrow> real" assume "f \<in> borel_measurable M"
  1161     { fix x assume *: "RN_deriv \<nu> x \<noteq> \<omega>"
  1162       have "Real (real (RN_deriv \<nu> x)) * Real (f x) = Real (real (RN_deriv \<nu> x) * f x)"
  1163         by (simp add: mult_le_0_iff)
  1164       then have "RN_deriv \<nu> x * Real (f x) = Real (real (RN_deriv \<nu> x) * f x)"
  1165         using * by (simp add: Real_real) }
  1166     note * = this
  1167     have "(\<integral>\<^isup>+x. RN_deriv \<nu> x * Real (f x)) = (\<integral>\<^isup>+x. Real (real (RN_deriv \<nu> x) * f x))"
  1168       apply (rule positive_integral_cong_AE)
  1169       apply (rule AE_mp[OF RN_deriv_finite[OF \<nu>]])
  1170       by (auto intro!: AE_cong simp: *) }
  1171   with this[OF f] this[OF f'] f f'
  1172   show ?integral ?integrable
  1173     unfolding \<nu>.integral_def integral_def \<nu>.integrable_def integrable_def
  1174     by (auto intro!: RN_deriv(1)[OF ms \<nu>(2)] minus_cong simp: RN_deriv_positive_integral[OF ms \<nu>(2)])
  1175 qed
  1176 
  1177 lemma (in sigma_finite_measure) RN_deriv_singleton:
  1178   assumes "measure_space M \<nu>"
  1179   and ac: "absolutely_continuous \<nu>"
  1180   and "{x} \<in> sets M"
  1181   shows "\<nu> {x} = RN_deriv \<nu> x * \<mu> {x}"
  1182 proof -
  1183   note deriv = RN_deriv[OF assms(1, 2)]
  1184   from deriv(2)[OF `{x} \<in> sets M`]
  1185   have "\<nu> {x} = (\<integral>\<^isup>+w. RN_deriv \<nu> x * indicator {x} w)"
  1186     by (auto simp: indicator_def intro!: positive_integral_cong)
  1187   thus ?thesis using positive_integral_cmult_indicator[OF `{x} \<in> sets M`]
  1188     by auto
  1189 qed
  1190 
  1191 theorem (in finite_measure_space) RN_deriv_finite_measure:
  1192   assumes "measure_space M \<nu>"
  1193   and ac: "absolutely_continuous \<nu>"
  1194   and "x \<in> space M"
  1195   shows "\<nu> {x} = RN_deriv \<nu> x * \<mu> {x}"
  1196 proof -
  1197   have "{x} \<in> sets M" using sets_eq_Pow `x \<in> space M` by auto
  1198   from RN_deriv_singleton[OF assms(1,2) this] show ?thesis .
  1199 qed
  1200 
  1201 end