theory Radon_Nikodym
imports Lebesgue_Integration
begin
lemma (in measure_space) measure_finitely_subadditive:
assumes "finite I" "A ` I \<subseteq> sets M"
shows "\<mu> (\<Union>i\<in>I. A i) \<le> (\<Sum>i\<in>I. \<mu> (A i))"
using assms proof induct
case (insert i I)
then have "(\<Union>i\<in>I. A i) \<in> sets M" by (auto intro: finite_UN)
then have "\<mu> (\<Union>i\<in>insert i I. A i) \<le> \<mu> (A i) + \<mu> (\<Union>i\<in>I. A i)"
using insert by (simp add: measure_subadditive)
also have "\<dots> \<le> (\<Sum>i\<in>insert i I. \<mu> (A i))"
using insert by (auto intro!: add_left_mono)
finally show ?case .
qed simp
lemma (in sigma_algebra) borel_measurable_restricted:
fixes f :: "'a \<Rightarrow> pinfreal" assumes "A \<in> sets M"
shows "f \<in> borel_measurable (M\<lparr> space := A, sets := op \<inter> A ` sets M \<rparr>) \<longleftrightarrow>
(\<lambda>x. f x * indicator A x) \<in> borel_measurable M"
(is "f \<in> borel_measurable ?R \<longleftrightarrow> ?f \<in> borel_measurable M")
proof -
interpret R: sigma_algebra ?R by (rule restricted_sigma_algebra[OF `A \<in> sets M`])
have *: "f \<in> borel_measurable ?R \<longleftrightarrow> ?f \<in> borel_measurable ?R"
by (auto intro!: measurable_cong)
show ?thesis unfolding *
unfolding in_borel_measurable_borel_space
proof (simp, safe)
fix S :: "pinfreal set" assume "S \<in> sets borel_space"
"\<forall>S\<in>sets borel_space. ?f -` S \<inter> A \<in> op \<inter> A ` sets M"
then have "?f -` S \<inter> A \<in> op \<inter> A ` sets M" by auto
then have f: "?f -` S \<inter> A \<in> sets M"
using `A \<in> sets M` sets_into_space by fastsimp
show "?f -` S \<inter> space M \<in> sets M"
proof cases
assume "0 \<in> S"
then have "?f -` S \<inter> space M = ?f -` S \<inter> A \<union> (space M - A)"
using `A \<in> sets M` sets_into_space by auto
then show ?thesis using f `A \<in> sets M` by (auto intro!: Un Diff)
next
assume "0 \<notin> S"
then have "?f -` S \<inter> space M = ?f -` S \<inter> A"
using `A \<in> sets M` sets_into_space
by (auto simp: indicator_def split: split_if_asm)
then show ?thesis using f by auto
qed
next
fix S :: "pinfreal set" assume "S \<in> sets borel_space"
"\<forall>S\<in>sets borel_space. ?f -` S \<inter> space M \<in> sets M"
then have f: "?f -` S \<inter> space M \<in> sets M" by auto
then show "?f -` S \<inter> A \<in> op \<inter> A ` sets M"
using `A \<in> sets M` sets_into_space
apply (simp add: image_iff)
apply (rule bexI[OF _ f])
by auto
qed
qed
lemma (in sigma_algebra) simple_function_eq_borel_measurable:
fixes f :: "'a \<Rightarrow> pinfreal"
shows "simple_function f \<longleftrightarrow>
finite (f`space M) \<and> f \<in> borel_measurable M"
using simple_function_borel_measurable[of f]
borel_measurable_simple_function[of f]
by (fastsimp simp: simple_function_def)
lemma (in measure_space) simple_function_restricted:
fixes f :: "'a \<Rightarrow> pinfreal" assumes "A \<in> sets M"
shows "sigma_algebra.simple_function (M\<lparr> space := A, sets := op \<inter> A ` sets M \<rparr>) f \<longleftrightarrow> simple_function (\<lambda>x. f x * indicator A x)"
(is "sigma_algebra.simple_function ?R f \<longleftrightarrow> simple_function ?f")
proof -
interpret R: sigma_algebra ?R by (rule restricted_sigma_algebra[OF `A \<in> sets M`])
have "finite (f`A) \<longleftrightarrow> finite (?f`space M)"
proof cases
assume "A = space M"
then have "f`A = ?f`space M" by (fastsimp simp: image_iff)
then show ?thesis by simp
next
assume "A \<noteq> space M"
then obtain x where x: "x \<in> space M" "x \<notin> A"
using sets_into_space `A \<in> sets M` by auto
have *: "?f`space M = f`A \<union> {0}"
proof (auto simp add: image_iff)
show "\<exists>x\<in>space M. f x = 0 \<or> indicator A x = 0"
using x by (auto intro!: bexI[of _ x])
next
fix x assume "x \<in> A"
then show "\<exists>y\<in>space M. f x = f y * indicator A y"
using `A \<in> sets M` sets_into_space by (auto intro!: bexI[of _ x])
next
fix x
assume "indicator A x \<noteq> (0::pinfreal)"
then have "x \<in> A" by (auto simp: indicator_def split: split_if_asm)
moreover assume "x \<in> space M" "\<forall>y\<in>A. ?f x \<noteq> f y"
ultimately show "f x = 0" by auto
qed
then show ?thesis by auto
qed
then show ?thesis
unfolding simple_function_eq_borel_measurable
R.simple_function_eq_borel_measurable
unfolding borel_measurable_restricted[OF `A \<in> sets M`]
by auto
qed
lemma (in measure_space) simple_integral_restricted:
assumes "A \<in> sets M"
assumes sf: "simple_function (\<lambda>x. f x * indicator A x)"
shows "measure_space.simple_integral (M\<lparr> space := A, sets := op \<inter> A ` sets M \<rparr>) \<mu> f = simple_integral (\<lambda>x. f x * indicator A x)"
(is "_ = simple_integral ?f")
unfolding measure_space.simple_integral_def[OF restricted_measure_space[OF `A \<in> sets M`]]
unfolding simple_integral_def
proof (simp, safe intro!: setsum_mono_zero_cong_left)
from sf show "finite (?f ` space M)"
unfolding simple_function_def by auto
next
fix x assume "x \<in> A"
then show "f x \<in> ?f ` space M"
using sets_into_space `A \<in> sets M` by (auto intro!: image_eqI[of _ _ x])
next
fix x assume "x \<in> space M" "?f x \<notin> f`A"
then have "x \<notin> A" by (auto simp: image_iff)
then show "?f x * \<mu> (?f -` {?f x} \<inter> space M) = 0" by simp
next
fix x assume "x \<in> A"
then have "f x \<noteq> 0 \<Longrightarrow>
f -` {f x} \<inter> A = ?f -` {f x} \<inter> space M"
using `A \<in> sets M` sets_into_space
by (auto simp: indicator_def split: split_if_asm)
then show "f x * \<mu> (f -` {f x} \<inter> A) =
f x * \<mu> (?f -` {f x} \<inter> space M)"
unfolding pinfreal_mult_cancel_left by auto
qed
lemma (in measure_space) positive_integral_restricted:
assumes "A \<in> sets M"
shows "measure_space.positive_integral (M\<lparr> space := A, sets := op \<inter> A ` sets M \<rparr>) \<mu> f = positive_integral (\<lambda>x. f x * indicator A x)"
(is "measure_space.positive_integral ?R \<mu> f = positive_integral ?f")
proof -
have msR: "measure_space ?R \<mu>" by (rule restricted_measure_space[OF `A \<in> sets M`])
then interpret R: measure_space ?R \<mu> .
have saR: "sigma_algebra ?R" by fact
have *: "R.positive_integral f = R.positive_integral ?f"
by (auto intro!: R.positive_integral_cong)
show ?thesis
unfolding * R.positive_integral_def positive_integral_def
unfolding simple_function_restricted[OF `A \<in> sets M`]
apply (simp add: SUPR_def)
apply (rule arg_cong[where f=Sup])
proof (auto simp: image_iff simple_integral_restricted[OF `A \<in> sets M`])
fix g assume "simple_function (\<lambda>x. g x * indicator A x)"
"g \<le> f" "\<forall>x\<in>A. \<omega> \<noteq> g x"
then show "\<exists>x. simple_function x \<and> x \<le> (\<lambda>x. f x * indicator A x) \<and> (\<forall>y\<in>space M. \<omega> \<noteq> x y) \<and>
simple_integral (\<lambda>x. g x * indicator A x) = simple_integral x"
apply (rule_tac exI[of _ "\<lambda>x. g x * indicator A x"])
by (auto simp: indicator_def le_fun_def)
next
fix g assume g: "simple_function g" "g \<le> (\<lambda>x. f x * indicator A x)"
"\<forall>x\<in>space M. \<omega> \<noteq> g x"
then have *: "(\<lambda>x. g x * indicator A x) = g"
"\<And>x. g x * indicator A x = g x"
"\<And>x. g x \<le> f x"
by (auto simp: le_fun_def expand_fun_eq indicator_def split: split_if_asm)
from g show "\<exists>x. simple_function (\<lambda>xa. x xa * indicator A xa) \<and> x \<le> f \<and> (\<forall>xa\<in>A. \<omega> \<noteq> x xa) \<and>
simple_integral g = simple_integral (\<lambda>xa. x xa * indicator A xa)"
using `A \<in> sets M`[THEN sets_into_space]
apply (rule_tac exI[of _ "\<lambda>x. g x * indicator A x"])
by (fastsimp simp: le_fun_def *)
qed
qed
lemma (in sigma_algebra) borel_measurable_psuminf:
assumes "\<And>i. f i \<in> borel_measurable M"
shows "(\<lambda>x. (\<Sum>\<^isub>\<infinity> i. f i x)) \<in> borel_measurable M"
using assms unfolding psuminf_def
by (auto intro!: borel_measurable_SUP[unfolded SUPR_fun_expand])
lemma (in sigma_finite_measure) disjoint_sigma_finite:
"\<exists>A::nat\<Rightarrow>'a set. range A \<subseteq> sets M \<and> (\<Union>i. A i) = space M \<and>
(\<forall>i. \<mu> (A i) \<noteq> \<omega>) \<and> disjoint_family A"
proof -
obtain A :: "nat \<Rightarrow> 'a set" where
range: "range A \<subseteq> sets M" and
space: "(\<Union>i. A i) = space M" and
measure: "\<And>i. \<mu> (A i) \<noteq> \<omega>"
using sigma_finite by auto
note range' = range_disjointed_sets[OF range] range
{ fix i
have "\<mu> (disjointed A i) \<le> \<mu> (A i)"
using range' disjointed_subset[of A i] by (auto intro!: measure_mono)
then have "\<mu> (disjointed A i) \<noteq> \<omega>"
using measure[of i] by auto }
with disjoint_family_disjointed UN_disjointed_eq[of A] space range'
show ?thesis by (auto intro!: exI[of _ "disjointed A"])
qed
lemma (in sigma_finite_measure) Ex_finite_integrable_function:
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>)"
proof -
obtain A :: "nat \<Rightarrow> 'a set" where
range: "range A \<subseteq> sets M" and
space: "(\<Union>i. A i) = space M" and
measure: "\<And>i. \<mu> (A i) \<noteq> \<omega>" and
disjoint: "disjoint_family A"
using disjoint_sigma_finite by auto
let "?B i" = "2^Suc i * \<mu> (A i)"
have "\<forall>i. \<exists>x. 0 < x \<and> x < inverse (?B i)"
proof
fix i show "\<exists>x. 0 < x \<and> x < inverse (?B i)"
proof cases
assume "\<mu> (A i) = 0"
then show ?thesis by (auto intro!: exI[of _ 1])
next
assume not_0: "\<mu> (A i) \<noteq> 0"
then have "?B i \<noteq> \<omega>" using measure[of i] by auto
then have "inverse (?B i) \<noteq> 0" unfolding pinfreal_inverse_eq_0 by simp
then show ?thesis using measure[of i] not_0
by (auto intro!: exI[of _ "inverse (?B i) / 2"]
simp: pinfreal_noteq_omega_Ex zero_le_mult_iff zero_less_mult_iff mult_le_0_iff power_le_zero_eq)
qed
qed
from choice[OF this] obtain n where n: "\<And>i. 0 < n i"
"\<And>i. n i < inverse (2^Suc i * \<mu> (A i))" by auto
let "?h x" = "\<Sum>\<^isub>\<infinity> i. n i * indicator (A i) x"
show ?thesis
proof (safe intro!: bexI[of _ ?h] del: notI)
have "positive_integral ?h = (\<Sum>\<^isub>\<infinity> i. n i * \<mu> (A i))"
apply (subst positive_integral_psuminf)
using range apply (fastsimp intro!: borel_measurable_pinfreal_times borel_measurable_const borel_measurable_indicator)
apply (subst positive_integral_cmult_indicator)
using range by auto
also have "\<dots> \<le> (\<Sum>\<^isub>\<infinity> i. Real ((1 / 2)^Suc i))"
proof (rule psuminf_le)
fix N show "n N * \<mu> (A N) \<le> Real ((1 / 2) ^ Suc N)"
using measure[of N] n[of N]
by (cases "n N") (auto simp: pinfreal_noteq_omega_Ex field_simps zero_le_mult_iff mult_le_0_iff mult_less_0_iff power_less_zero_eq power_le_zero_eq inverse_eq_divide less_divide_eq power_divide split: split_if_asm)
qed
also have "\<dots> = Real 1"
by (rule suminf_imp_psuminf, rule power_half_series, auto)
finally show "positive_integral ?h \<noteq> \<omega>" by auto
next
fix x assume "x \<in> space M"
then obtain i where "x \<in> A i" using space[symmetric] by auto
from psuminf_cmult_indicator[OF disjoint, OF this]
have "?h x = n i" by simp
then show "0 < ?h x" and "?h x < \<omega>" using n[of i] by auto
next
show "?h \<in> borel_measurable M" using range
by (auto intro!: borel_measurable_psuminf borel_measurable_pinfreal_times borel_measurable_indicator)
qed
qed
definition (in measure_space)
"absolutely_continuous \<nu> = (\<forall>N\<in>null_sets. \<nu> N = (0 :: pinfreal))"
lemma (in finite_measure) Radon_Nikodym_aux_epsilon:
fixes e :: real assumes "0 < e"
assumes "finite_measure M s"
shows "\<exists>A\<in>sets M. real (\<mu> (space M)) - real (s (space M)) \<le>
real (\<mu> A) - real (s A) \<and>
(\<forall>B\<in>sets M. B \<subseteq> A \<longrightarrow> - e < real (\<mu> B) - real (s B))"
proof -
let "?d A" = "real (\<mu> A) - real (s A)"
interpret M': finite_measure M s by fact
let "?A A" = "if (\<forall>B\<in>sets M. B \<subseteq> space M - A \<longrightarrow> -e < ?d B)
then {}
else (SOME B. B \<in> sets M \<and> B \<subseteq> space M - A \<and> ?d B \<le> -e)"
def A \<equiv> "\<lambda>n. ((\<lambda>B. B \<union> ?A B) ^^ n) {}"
have A_simps[simp]:
"A 0 = {}"
"\<And>n. A (Suc n) = (A n \<union> ?A (A n))" unfolding A_def by simp_all
{ fix A assume "A \<in> sets M"
have "?A A \<in> sets M"
by (auto intro!: someI2[of _ _ "\<lambda>A. A \<in> sets M"] simp: not_less) }
note A'_in_sets = this
{ fix n have "A n \<in> sets M"
proof (induct n)
case (Suc n) thus "A (Suc n) \<in> sets M"
using A'_in_sets[of "A n"] by (auto split: split_if_asm)
qed (simp add: A_def) }
note A_in_sets = this
hence "range A \<subseteq> sets M" by auto
{ fix n B
assume Ex: "\<exists>B. B \<in> sets M \<and> B \<subseteq> space M - A n \<and> ?d B \<le> -e"
hence False: "\<not> (\<forall>B\<in>sets M. B \<subseteq> space M - A n \<longrightarrow> -e < ?d B)" by (auto simp: not_less)
have "?d (A (Suc n)) \<le> ?d (A n) - e" unfolding A_simps if_not_P[OF False]
proof (rule someI2_ex[OF Ex])
fix B assume "B \<in> sets M \<and> B \<subseteq> space M - A n \<and> ?d B \<le> - e"
hence "A n \<inter> B = {}" "B \<in> sets M" and dB: "?d B \<le> -e" by auto
hence "?d (A n \<union> B) = ?d (A n) + ?d B"
using `A n \<in> sets M` real_finite_measure_Union M'.real_finite_measure_Union by simp
also have "\<dots> \<le> ?d (A n) - e" using dB by simp
finally show "?d (A n \<union> B) \<le> ?d (A n) - e" .
qed }
note dA_epsilon = this
{ fix n have "?d (A (Suc n)) \<le> ?d (A n)"
proof (cases "\<exists>B. B\<in>sets M \<and> B \<subseteq> space M - A n \<and> ?d B \<le> - e")
case True from dA_epsilon[OF this] show ?thesis using `0 < e` by simp
next
case False
hence "\<forall>B\<in>sets M. B \<subseteq> space M - A n \<longrightarrow> -e < ?d B" by (auto simp: not_le)
thus ?thesis by simp
qed }
note dA_mono = this
show ?thesis
proof (cases "\<exists>n. \<forall>B\<in>sets M. B \<subseteq> space M - A n \<longrightarrow> -e < ?d B")
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
show ?thesis
proof (safe intro!: bexI[of _ "space M - A n"])
fix B assume "B \<in> sets M" "B \<subseteq> space M - A n"
from B[OF this] show "-e < ?d B" .
next
show "space M - A n \<in> sets M" by (rule compl_sets) fact
next
show "?d (space M) \<le> ?d (space M - A n)"
proof (induct n)
fix n assume "?d (space M) \<le> ?d (space M - A n)"
also have "\<dots> \<le> ?d (space M - A (Suc n))"
using A_in_sets sets_into_space dA_mono[of n]
real_finite_measure_Diff[of "space M"]
real_finite_measure_Diff[of "space M"]
M'.real_finite_measure_Diff[of "space M"]
M'.real_finite_measure_Diff[of "space M"]
by (simp del: A_simps)
finally show "?d (space M) \<le> ?d (space M - A (Suc n))" .
qed simp
qed
next
case False hence B: "\<And>n. \<exists>B. B\<in>sets M \<and> B \<subseteq> space M - A n \<and> ?d B \<le> - e"
by (auto simp add: not_less)
{ fix n have "?d (A n) \<le> - real n * e"
proof (induct n)
case (Suc n) with dA_epsilon[of n, OF B] show ?case by (simp del: A_simps add: real_of_nat_Suc field_simps)
qed simp } note dA_less = this
have decseq: "decseq (\<lambda>n. ?d (A n))" unfolding decseq_eq_incseq
proof (rule incseq_SucI)
fix n show "- ?d (A n) \<le> - ?d (A (Suc n))" using dA_mono[of n] by auto
qed
from real_finite_continuity_from_below[of A] `range A \<subseteq> sets M`
M'.real_finite_continuity_from_below[of A]
have convergent: "(\<lambda>i. ?d (A i)) ----> ?d (\<Union>i. A i)"
by (auto intro!: LIMSEQ_diff)
obtain n :: nat where "- ?d (\<Union>i. A i) / e < real n" using reals_Archimedean2 by auto
moreover from order_trans[OF decseq_le[OF decseq convergent] dA_less]
have "real n \<le> - ?d (\<Union>i. A i) / e" using `0<e` by (simp add: field_simps)
ultimately show ?thesis by auto
qed
qed
lemma (in finite_measure) Radon_Nikodym_aux:
assumes "finite_measure M s"
shows "\<exists>A\<in>sets M. real (\<mu> (space M)) - real (s (space M)) \<le>
real (\<mu> A) - real (s A) \<and>
(\<forall>B\<in>sets M. B \<subseteq> A \<longrightarrow> 0 \<le> real (\<mu> B) - real (s B))"
proof -
let "?d A" = "real (\<mu> A) - real (s A)"
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)"
interpret M': finite_measure M s by fact
let "?r S" = "M\<lparr> space := S, sets := (\<lambda>C. S \<inter> C)`sets M\<rparr>"
{ fix S n
assume S: "S \<in> sets M"
hence **: "\<And>X. X \<in> op \<inter> S ` sets M \<longleftrightarrow> X \<in> sets M \<and> X \<subseteq> S" by auto
from M'.restricted_finite_measure[of S] restricted_finite_measure[of S] S
have "finite_measure (?r S) \<mu>" "0 < 1 / real (Suc n)"
"finite_measure (?r S) s" by auto
from finite_measure.Radon_Nikodym_aux_epsilon[OF this] guess X ..
hence "?P X S n"
proof (simp add: **, safe)
fix C assume C: "C \<in> sets M" "C \<subseteq> X" "X \<subseteq> S" and
*: "\<forall>B\<in>sets M. S \<inter> B \<subseteq> X \<longrightarrow> - (1 / real (Suc n)) < ?d (S \<inter> B)"
hence "C \<subseteq> S" "C \<subseteq> X" "S \<inter> C = C" by auto
with *[THEN bspec, OF `C \<in> sets M`]
show "- (1 / real (Suc n)) < ?d C" by auto
qed
hence "\<exists>A. ?P A S n" by auto }
note Ex_P = this
def A \<equiv> "nat_rec (space M) (\<lambda>n A. SOME B. ?P B A n)"
have A_Suc: "\<And>n. A (Suc n) = (SOME B. ?P B (A n) n)" by (simp add: A_def)
have A_0[simp]: "A 0 = space M" unfolding A_def by simp
{ fix i have "A i \<in> sets M" unfolding A_def
proof (induct i)
case (Suc i)
from Ex_P[OF this, of i] show ?case unfolding nat_rec_Suc
by (rule someI2_ex) simp
qed simp }
note A_in_sets = this
{ fix n have "?P (A (Suc n)) (A n) n"
using Ex_P[OF A_in_sets] unfolding A_Suc
by (rule someI2_ex) simp }
note P_A = this
have "range A \<subseteq> sets M" using A_in_sets by auto
have A_mono: "\<And>i. A (Suc i) \<subseteq> A i" using P_A by simp
have mono_dA: "mono (\<lambda>i. ?d (A i))" using P_A by (simp add: mono_iff_le_Suc)
have epsilon: "\<And>C i. \<lbrakk> C \<in> sets M; C \<subseteq> A (Suc i) \<rbrakk> \<Longrightarrow> - 1 / real (Suc i) < ?d C"
using P_A by auto
show ?thesis
proof (safe intro!: bexI[of _ "\<Inter>i. A i"])
show "(\<Inter>i. A i) \<in> sets M" using A_in_sets by auto
from `range A \<subseteq> sets M` A_mono
real_finite_continuity_from_above[of A]
M'.real_finite_continuity_from_above[of A]
have "(\<lambda>i. ?d (A i)) ----> ?d (\<Inter>i. A i)" by (auto intro!: LIMSEQ_diff)
thus "?d (space M) \<le> ?d (\<Inter>i. A i)" using mono_dA[THEN monoD, of 0 _]
by (rule_tac LIMSEQ_le_const) (auto intro!: exI)
next
fix B assume B: "B \<in> sets M" "B \<subseteq> (\<Inter>i. A i)"
show "0 \<le> ?d B"
proof (rule ccontr)
assume "\<not> 0 \<le> ?d B"
hence "0 < - ?d B" by auto
from ex_inverse_of_nat_Suc_less[OF this]
obtain n where *: "?d B < - 1 / real (Suc n)"
by (auto simp: real_eq_of_nat inverse_eq_divide field_simps)
have "B \<subseteq> A (Suc n)" using B by (auto simp del: nat_rec_Suc)
from epsilon[OF B(1) this] *
show False by auto
qed
qed
qed
lemma (in finite_measure) Radon_Nikodym_finite_measure:
assumes "finite_measure M \<nu>"
assumes "absolutely_continuous \<nu>"
shows "\<exists>f \<in> borel_measurable M. \<forall>A\<in>sets M. \<nu> A = positive_integral (\<lambda>x. f x * indicator A x)"
proof -
interpret M': finite_measure M \<nu> using assms(1) .
def G \<equiv> "{g \<in> borel_measurable M. \<forall>A\<in>sets M. positive_integral (\<lambda>x. g x * indicator A x) \<le> \<nu> A}"
have "(\<lambda>x. 0) \<in> G" unfolding G_def by auto
hence "G \<noteq> {}" by auto
{ fix f g assume f: "f \<in> G" and g: "g \<in> G"
have "(\<lambda>x. max (g x) (f x)) \<in> G" (is "?max \<in> G") unfolding G_def
proof safe
show "?max \<in> borel_measurable M" using f g unfolding G_def by auto
let ?A = "{x \<in> space M. f x \<le> g x}"
have "?A \<in> sets M" using f g unfolding G_def by auto
fix A assume "A \<in> sets M"
hence sets: "?A \<inter> A \<in> sets M" "(space M - ?A) \<inter> A \<in> sets M" using `?A \<in> sets M` by auto
have union: "((?A \<inter> A) \<union> ((space M - ?A) \<inter> A)) = A"
using sets_into_space[OF `A \<in> sets M`] by auto
have "\<And>x. x \<in> space M \<Longrightarrow> max (g x) (f x) * indicator A x =
g x * indicator (?A \<inter> A) x + f x * indicator ((space M - ?A) \<inter> A) x"
by (auto simp: indicator_def max_def)
hence "positive_integral (\<lambda>x. max (g x) (f x) * indicator A x) =
positive_integral (\<lambda>x. g x * indicator (?A \<inter> A) x) +
positive_integral (\<lambda>x. f x * indicator ((space M - ?A) \<inter> A) x)"
using f g sets unfolding G_def
by (auto cong: positive_integral_cong intro!: positive_integral_add borel_measurable_indicator)
also have "\<dots> \<le> \<nu> (?A \<inter> A) + \<nu> ((space M - ?A) \<inter> A)"
using f g sets unfolding G_def by (auto intro!: add_mono)
also have "\<dots> = \<nu> A"
using M'.measure_additive[OF sets] union by auto
finally show "positive_integral (\<lambda>x. max (g x) (f x) * indicator A x) \<le> \<nu> A" .
qed }
note max_in_G = this
{ fix f g assume "f \<up> g" and f: "\<And>i. f i \<in> G"
have "g \<in> G" unfolding G_def
proof safe
from `f \<up> g` have [simp]: "g = (SUP i. f i)" unfolding isoton_def by simp
have f_borel: "\<And>i. f i \<in> borel_measurable M" using f unfolding G_def by simp
thus "g \<in> borel_measurable M" by (auto intro!: borel_measurable_SUP)
fix A assume "A \<in> sets M"
hence "\<And>i. (\<lambda>x. f i x * indicator A x) \<in> borel_measurable M"
using f_borel by (auto intro!: borel_measurable_indicator)
from positive_integral_isoton[OF isoton_indicator[OF `f \<up> g`] this]
have SUP: "positive_integral (\<lambda>x. g x * indicator A x) =
(SUP i. positive_integral (\<lambda>x. f i x * indicator A x))"
unfolding isoton_def by simp
show "positive_integral (\<lambda>x. g x * indicator A x) \<le> \<nu> A" unfolding SUP
using f `A \<in> sets M` unfolding G_def by (auto intro!: SUP_leI)
qed }
note SUP_in_G = this
let ?y = "SUP g : G. positive_integral g"
have "?y \<le> \<nu> (space M)" unfolding G_def
proof (safe intro!: SUP_leI)
fix g assume "\<forall>A\<in>sets M. positive_integral (\<lambda>x. g x * indicator A x) \<le> \<nu> A"
from this[THEN bspec, OF top] show "positive_integral g \<le> \<nu> (space M)"
by (simp cong: positive_integral_cong)
qed
hence "?y \<noteq> \<omega>" using M'.finite_measure_of_space by auto
from SUPR_countable_SUPR[OF this `G \<noteq> {}`] guess ys .. note ys = this
hence "\<forall>n. \<exists>g. g\<in>G \<and> positive_integral g = ys n"
proof safe
fix n assume "range ys \<subseteq> positive_integral ` G"
hence "ys n \<in> positive_integral ` G" by auto
thus "\<exists>g. g\<in>G \<and> positive_integral g = ys n" by auto
qed
from choice[OF this] obtain gs where "\<And>i. gs i \<in> G" "\<And>n. positive_integral (gs n) = ys n" by auto
hence y_eq: "?y = (SUP i. positive_integral (gs i))" using ys by auto
let "?g i x" = "Max ((\<lambda>n. gs n x) ` {..i})"
def f \<equiv> "SUP i. ?g i"
have gs_not_empty: "\<And>i. (\<lambda>n. gs n x) ` {..i} \<noteq> {}" by auto
{ fix i have "?g i \<in> G"
proof (induct i)
case 0 thus ?case by simp fact
next
case (Suc i)
with Suc gs_not_empty `gs (Suc i) \<in> G` show ?case
by (auto simp add: atMost_Suc intro!: max_in_G)
qed }
note g_in_G = this
have "\<And>x. \<forall>i. ?g i x \<le> ?g (Suc i) x"
using gs_not_empty by (simp add: atMost_Suc)
hence isoton_g: "?g \<up> f" by (simp add: isoton_def le_fun_def f_def)
from SUP_in_G[OF this g_in_G] have "f \<in> G" .
hence [simp, intro]: "f \<in> borel_measurable M" unfolding G_def by auto
have "(\<lambda>i. positive_integral (?g i)) \<up> positive_integral f"
using isoton_g g_in_G by (auto intro!: positive_integral_isoton simp: G_def f_def)
hence "positive_integral f = (SUP i. positive_integral (?g i))"
unfolding isoton_def by simp
also have "\<dots> = ?y"
proof (rule antisym)
show "(SUP i. positive_integral (?g i)) \<le> ?y"
using g_in_G by (auto intro!: exI Sup_mono simp: SUPR_def)
show "?y \<le> (SUP i. positive_integral (?g i))" unfolding y_eq
by (auto intro!: SUP_mono positive_integral_mono Max_ge)
qed
finally have int_f_eq_y: "positive_integral f = ?y" .
let "?t A" = "\<nu> A - positive_integral (\<lambda>x. f x * indicator A x)"
have "finite_measure M ?t"
proof
show "?t {} = 0" by simp
show "?t (space M) \<noteq> \<omega>" using M'.finite_measure by simp
show "countably_additive M ?t" unfolding countably_additive_def
proof safe
fix A :: "nat \<Rightarrow> 'a set" assume A: "range A \<subseteq> sets M" "disjoint_family A"
have "(\<Sum>\<^isub>\<infinity> n. positive_integral (\<lambda>x. f x * indicator (A n) x))
= positive_integral (\<lambda>x. (\<Sum>\<^isub>\<infinity>n. f x * indicator (A n) x))"
using `range A \<subseteq> sets M`
by (rule_tac positive_integral_psuminf[symmetric]) (auto intro!: borel_measurable_indicator)
also have "\<dots> = positive_integral (\<lambda>x. f x * indicator (\<Union>n. A n) x)"
apply (rule positive_integral_cong)
apply (subst psuminf_cmult_right)
unfolding psuminf_indicator[OF `disjoint_family A`] ..
finally have "(\<Sum>\<^isub>\<infinity> n. positive_integral (\<lambda>x. f x * indicator (A n) x))
= positive_integral (\<lambda>x. f x * indicator (\<Union>n. A n) x)" .
moreover have "(\<Sum>\<^isub>\<infinity>n. \<nu> (A n)) = \<nu> (\<Union>n. A n)"
using M'.measure_countably_additive A by (simp add: comp_def)
moreover have "\<And>i. positive_integral (\<lambda>x. f x * indicator (A i) x) \<le> \<nu> (A i)"
using A `f \<in> G` unfolding G_def by auto
moreover have v_fin: "\<nu> (\<Union>i. A i) \<noteq> \<omega>" using M'.finite_measure A by (simp add: countable_UN)
moreover {
have "positive_integral (\<lambda>x. f x * indicator (\<Union>i. A i) x) \<le> \<nu> (\<Union>i. A i)"
using A `f \<in> G` unfolding G_def by (auto simp: countable_UN)
also have "\<nu> (\<Union>i. A i) < \<omega>" using v_fin by (simp add: pinfreal_less_\<omega>)
finally have "positive_integral (\<lambda>x. f x * indicator (\<Union>i. A i) x) \<noteq> \<omega>"
by (simp add: pinfreal_less_\<omega>) }
ultimately
show "(\<Sum>\<^isub>\<infinity> n. ?t (A n)) = ?t (\<Union>i. A i)"
apply (subst psuminf_minus) by simp_all
qed
qed
then interpret M: finite_measure M ?t .
have ac: "absolutely_continuous ?t" using `absolutely_continuous \<nu>` unfolding absolutely_continuous_def by auto
have upper_bound: "\<forall>A\<in>sets M. ?t A \<le> 0"
proof (rule ccontr)
assume "\<not> ?thesis"
then obtain A where A: "A \<in> sets M" and pos: "0 < ?t A"
by (auto simp: not_le)
note pos
also have "?t A \<le> ?t (space M)"
using M.measure_mono[of A "space M"] A sets_into_space by simp
finally have pos_t: "0 < ?t (space M)" by simp
moreover
hence pos_M: "0 < \<mu> (space M)"
using ac top unfolding absolutely_continuous_def by auto
moreover
have "positive_integral (\<lambda>x. f x * indicator (space M) x) \<le> \<nu> (space M)"
using `f \<in> G` unfolding G_def by auto
hence "positive_integral (\<lambda>x. f x * indicator (space M) x) \<noteq> \<omega>"
using M'.finite_measure_of_space by auto
moreover
def b \<equiv> "?t (space M) / \<mu> (space M) / 2"
ultimately have b: "b \<noteq> 0" "b \<noteq> \<omega>"
using M'.finite_measure_of_space
by (auto simp: pinfreal_inverse_eq_0 finite_measure_of_space)
have "finite_measure M (\<lambda>A. b * \<mu> A)" (is "finite_measure M ?b")
proof
show "?b {} = 0" by simp
show "?b (space M) \<noteq> \<omega>" using finite_measure_of_space b by auto
show "countably_additive M ?b"
unfolding countably_additive_def psuminf_cmult_right
using measure_countably_additive by auto
qed
from M.Radon_Nikodym_aux[OF this]
obtain A0 where "A0 \<in> sets M" and
space_less_A0: "real (?t (space M)) - real (b * \<mu> (space M)) \<le> real (?t A0) - real (b * \<mu> A0)" and
*: "\<And>B. \<lbrakk> B \<in> sets M ; B \<subseteq> A0 \<rbrakk> \<Longrightarrow> 0 \<le> real (?t B) - real (b * \<mu> B)" by auto
{ fix B assume "B \<in> sets M" "B \<subseteq> A0"
with *[OF this] have "b * \<mu> B \<le> ?t B"
using M'.finite_measure b finite_measure
by (cases "b * \<mu> B", cases "?t B") (auto simp: field_simps) }
note bM_le_t = this
let "?f0 x" = "f x + b * indicator A0 x"
{ fix A assume A: "A \<in> sets M"
hence "A \<inter> A0 \<in> sets M" using `A0 \<in> sets M` by auto
have "positive_integral (\<lambda>x. ?f0 x * indicator A x) =
positive_integral (\<lambda>x. f x * indicator A x + b * indicator (A \<inter> A0) x)"
by (auto intro!: positive_integral_cong simp: field_simps indicator_inter_arith)
hence "positive_integral (\<lambda>x. ?f0 x * indicator A x) =
positive_integral (\<lambda>x. f x * indicator A x) + b * \<mu> (A \<inter> A0)"
using `A0 \<in> sets M` `A \<inter> A0 \<in> sets M` A
by (simp add: borel_measurable_indicator positive_integral_add positive_integral_cmult_indicator) }
note f0_eq = this
{ fix A assume A: "A \<in> sets M"
hence "A \<inter> A0 \<in> sets M" using `A0 \<in> sets M` by auto
have f_le_v: "positive_integral (\<lambda>x. f x * indicator A x) \<le> \<nu> A"
using `f \<in> G` A unfolding G_def by auto
note f0_eq[OF A]
also have "positive_integral (\<lambda>x. f x * indicator A x) + b * \<mu> (A \<inter> A0) \<le>
positive_integral (\<lambda>x. f x * indicator A x) + ?t (A \<inter> A0)"
using bM_le_t[OF `A \<inter> A0 \<in> sets M`] `A \<in> sets M` `A0 \<in> sets M`
by (auto intro!: add_left_mono)
also have "\<dots> \<le> positive_integral (\<lambda>x. f x * indicator A x) + ?t A"
using M.measure_mono[simplified, OF _ `A \<inter> A0 \<in> sets M` `A \<in> sets M`]
by (auto intro!: add_left_mono)
also have "\<dots> \<le> \<nu> A"
using f_le_v M'.finite_measure[simplified, OF `A \<in> sets M`]
by (cases "positive_integral (\<lambda>x. f x * indicator A x)", cases "\<nu> A", auto)
finally have "positive_integral (\<lambda>x. ?f0 x * indicator A x) \<le> \<nu> A" . }
hence "?f0 \<in> G" using `A0 \<in> sets M` unfolding G_def
by (auto intro!: borel_measurable_indicator borel_measurable_pinfreal_add borel_measurable_pinfreal_times)
have real: "?t (space M) \<noteq> \<omega>" "?t A0 \<noteq> \<omega>"
"b * \<mu> (space M) \<noteq> \<omega>" "b * \<mu> A0 \<noteq> \<omega>"
using `A0 \<in> sets M` b
finite_measure[of A0] M.finite_measure[of A0]
finite_measure_of_space M.finite_measure_of_space
by auto
have int_f_finite: "positive_integral f \<noteq> \<omega>"
using M'.finite_measure_of_space pos_t unfolding pinfreal_zero_less_diff_iff
by (auto cong: positive_integral_cong)
have "?t (space M) > b * \<mu> (space M)" unfolding b_def
apply (simp add: field_simps)
apply (subst mult_assoc[symmetric])
apply (subst pinfreal_mult_inverse)
using finite_measure_of_space M'.finite_measure_of_space pos_t pos_M
using pinfreal_mult_strict_right_mono[of "Real (1/2)" 1 "?t (space M)"]
by simp_all
hence "0 < ?t (space M) - b * \<mu> (space M)"
by (simp add: pinfreal_zero_less_diff_iff)
also have "\<dots> \<le> ?t A0 - b * \<mu> A0"
using space_less_A0 pos_M pos_t b real[unfolded pinfreal_noteq_omega_Ex] by auto
finally have "b * \<mu> A0 < ?t A0" unfolding pinfreal_zero_less_diff_iff .
hence "0 < ?t A0" by auto
hence "0 < \<mu> A0" using ac unfolding absolutely_continuous_def
using `A0 \<in> sets M` by auto
hence "0 < b * \<mu> A0" using b by auto
from int_f_finite this
have "?y + 0 < positive_integral f + b * \<mu> A0" unfolding int_f_eq_y
by (rule pinfreal_less_add)
also have "\<dots> = positive_integral ?f0" using f0_eq[OF top] `A0 \<in> sets M` sets_into_space
by (simp cong: positive_integral_cong)
finally have "?y < positive_integral ?f0" by simp
moreover from `?f0 \<in> G` have "positive_integral ?f0 \<le> ?y" by (auto intro!: le_SUPI)
ultimately show False by auto
qed
show ?thesis
proof (safe intro!: bexI[of _ f])
fix A assume "A\<in>sets M"
show "\<nu> A = positive_integral (\<lambda>x. f x * indicator A x)"
proof (rule antisym)
show "positive_integral (\<lambda>x. f x * indicator A x) \<le> \<nu> A"
using `f \<in> G` `A \<in> sets M` unfolding G_def by auto
show "\<nu> A \<le> positive_integral (\<lambda>x. f x * indicator A x)"
using upper_bound[THEN bspec, OF `A \<in> sets M`]
by (simp add: pinfreal_zero_le_diff)
qed
qed simp
qed
lemma (in finite_measure) Radon_Nikodym_finite_measure_infinite:
assumes "measure_space M \<nu>"
assumes "absolutely_continuous \<nu>"
shows "\<exists>f \<in> borel_measurable M. \<forall>A\<in>sets M. \<nu> A = positive_integral (\<lambda>x. f x * indicator A x)"
proof -
interpret v: measure_space M \<nu> by fact
let ?Q = "{Q\<in>sets M. \<nu> Q \<noteq> \<omega>}"
let ?a = "SUP Q:?Q. \<mu> Q"
have "{} \<in> ?Q" using v.empty_measure by auto
then have Q_not_empty: "?Q \<noteq> {}" by blast
have "?a \<le> \<mu> (space M)" using sets_into_space
by (auto intro!: SUP_leI measure_mono top)
then have "?a \<noteq> \<omega>" using finite_measure_of_space
by auto
from SUPR_countable_SUPR[OF this Q_not_empty]
obtain Q'' where "range Q'' \<subseteq> \<mu> ` ?Q" and a: "?a = (SUP i::nat. Q'' i)"
by auto
then have "\<forall>i. \<exists>Q'. Q'' i = \<mu> Q' \<and> Q' \<in> ?Q" by auto
from choice[OF this] obtain Q' where Q': "\<And>i. Q'' i = \<mu> (Q' i)" "\<And>i. Q' i \<in> ?Q"
by auto
then have a_Lim: "?a = (SUP i::nat. \<mu> (Q' i))" using a by simp
let "?O n" = "\<Union>i\<le>n. Q' i"
have Union: "(SUP i. \<mu> (?O i)) = \<mu> (\<Union>i. ?O i)"
proof (rule continuity_from_below[of ?O])
show "range ?O \<subseteq> sets M" using Q' by (auto intro!: finite_UN)
show "\<And>i. ?O i \<subseteq> ?O (Suc i)" by fastsimp
qed
have Q'_sets: "\<And>i. Q' i \<in> sets M" using Q' by auto
have O_sets: "\<And>i. ?O i \<in> sets M"
using Q' by (auto intro!: finite_UN Un)
then have O_in_G: "\<And>i. ?O i \<in> ?Q"
proof (safe del: notI)
fix i have "Q' ` {..i} \<subseteq> sets M"
using Q' by (auto intro: finite_UN)
with v.measure_finitely_subadditive[of "{.. i}" Q']
have "\<nu> (?O i) \<le> (\<Sum>i\<le>i. \<nu> (Q' i))" by auto
also have "\<dots> < \<omega>" unfolding setsum_\<omega> pinfreal_less_\<omega> using Q' by auto
finally show "\<nu> (?O i) \<noteq> \<omega>" unfolding pinfreal_less_\<omega> by auto
qed auto
have O_mono: "\<And>n. ?O n \<subseteq> ?O (Suc n)" by fastsimp
have a_eq: "?a = \<mu> (\<Union>i. ?O i)" unfolding Union[symmetric]
proof (rule antisym)
show "?a \<le> (SUP i. \<mu> (?O i))" unfolding a_Lim
using Q' by (auto intro!: SUP_mono measure_mono finite_UN)
show "(SUP i. \<mu> (?O i)) \<le> ?a" unfolding SUPR_def
proof (safe intro!: Sup_mono, unfold bex_simps)
fix i
have *: "(\<Union>Q' ` {..i}) = ?O i" by auto
then show "\<exists>x. (x \<in> sets M \<and> \<nu> x \<noteq> \<omega>) \<and>
\<mu> (\<Union>Q' ` {..i}) \<le> \<mu> x"
using O_in_G[of i] by (auto intro!: exI[of _ "?O i"])
qed
qed
let "?O_0" = "(\<Union>i. ?O i)"
have "?O_0 \<in> sets M" using Q' by auto
{ fix A assume *: "A \<in> ?Q" "A \<subseteq> space M - ?O_0"
then have "\<mu> ?O_0 + \<mu> A = \<mu> (?O_0 \<union> A)"
using Q' by (auto intro!: measure_additive countable_UN)
also have "\<dots> = (SUP i. \<mu> (?O i \<union> A))"
proof (rule continuity_from_below[of "\<lambda>i. ?O i \<union> A", symmetric, simplified])
show "range (\<lambda>i. ?O i \<union> A) \<subseteq> sets M"
using * O_sets by auto
qed fastsimp
also have "\<dots> \<le> ?a"
proof (safe intro!: SUPR_bound)
fix i have "?O i \<union> A \<in> ?Q"
proof (safe del: notI)
show "?O i \<union> A \<in> sets M" using O_sets * by auto
from O_in_G[of i]
moreover have "\<nu> (?O i \<union> A) \<le> \<nu> (?O i) + \<nu> A"
using v.measure_subadditive[of "?O i" A] * O_sets by auto
ultimately show "\<nu> (?O i \<union> A) \<noteq> \<omega>"
using * by auto
qed
then show "\<mu> (?O i \<union> A) \<le> ?a" by (rule le_SUPI)
qed
finally have "\<mu> A = 0" unfolding a_eq using finite_measure[OF `?O_0 \<in> sets M`]
by (cases "\<mu> A") (auto simp: pinfreal_noteq_omega_Ex) }
note stetic = this
def Q \<equiv> "\<lambda>i. case i of 0 \<Rightarrow> ?O 0 | Suc n \<Rightarrow> ?O (Suc n) - ?O n"
{ fix i have "Q i \<in> sets M" unfolding Q_def using Q'[of 0] by (cases i) (auto intro: O_sets) }
note Q_sets = this
{ fix i have "\<nu> (Q i) \<noteq> \<omega>"
proof (cases i)
case 0 then show ?thesis
unfolding Q_def using Q'[of 0] by simp
next
case (Suc n)
then show ?thesis unfolding Q_def
using `?O n \<in> ?Q` `?O (Suc n) \<in> ?Q` O_mono
using v.measure_Diff[of "?O n" "?O (Suc n)"] by auto
qed }
note Q_omega = this
{ fix j have "(\<Union>i\<le>j. ?O i) = (\<Union>i\<le>j. Q i)"
proof (induct j)
case 0 then show ?case by (simp add: Q_def)
next
case (Suc j)
have eq: "\<And>j. (\<Union>i\<le>j. ?O i) = (\<Union>i\<le>j. Q' i)" by fastsimp
have "{..j} \<union> {..Suc j} = {..Suc j}" by auto
then have "(\<Union>i\<le>Suc j. Q' i) = (\<Union>i\<le>j. Q' i) \<union> Q (Suc j)"
by (simp add: UN_Un[symmetric] Q_def del: UN_Un)
then show ?case using Suc by (auto simp add: eq atMost_Suc)
qed }
then have "(\<Union>j. (\<Union>i\<le>j. ?O i)) = (\<Union>j. (\<Union>i\<le>j. Q i))" by simp
then have O_0_eq_Q: "?O_0 = (\<Union>j. Q j)" by fastsimp
have "\<forall>i. \<exists>f. f\<in>borel_measurable M \<and> (\<forall>A\<in>sets M.
\<nu> (Q i \<inter> A) = positive_integral (\<lambda>x. f x * indicator (Q i \<inter> A) x))"
proof
fix i
have indicator_eq: "\<And>f x A. (f x :: pinfreal) * indicator (Q i \<inter> A) x * indicator (Q i) x
= (f x * indicator (Q i) x) * indicator A x"
unfolding indicator_def by auto
have fm: "finite_measure (M\<lparr>space := Q i, sets := op \<inter> (Q i) ` sets M\<rparr>) \<mu>"
(is "finite_measure ?R \<mu>") by (rule restricted_finite_measure[OF Q_sets[of i]])
then interpret R: finite_measure ?R .
have fmv: "finite_measure ?R \<nu>"
unfolding finite_measure_def finite_measure_axioms_def
proof
show "measure_space ?R \<nu>"
using v.restricted_measure_space Q_sets[of i] by auto
show "\<nu> (space ?R) \<noteq> \<omega>"
using Q_omega by simp
qed
have "R.absolutely_continuous \<nu>"
using `absolutely_continuous \<nu>` `Q i \<in> sets M`
by (auto simp: R.absolutely_continuous_def absolutely_continuous_def)
from finite_measure.Radon_Nikodym_finite_measure[OF fm fmv this]
obtain f where f: "(\<lambda>x. f x * indicator (Q i) x) \<in> borel_measurable M"
and f_int: "\<And>A. A\<in>sets M \<Longrightarrow> \<nu> (Q i \<inter> A) = positive_integral (\<lambda>x. (f x * indicator (Q i) x) * indicator A x)"
unfolding Bex_def borel_measurable_restricted[OF `Q i \<in> sets M`]
positive_integral_restricted[OF `Q i \<in> sets M`] by (auto simp: indicator_eq)
then show "\<exists>f. f\<in>borel_measurable M \<and> (\<forall>A\<in>sets M.
\<nu> (Q i \<inter> A) = positive_integral (\<lambda>x. f x * indicator (Q i \<inter> A) x))"
by (fastsimp intro!: exI[of _ "\<lambda>x. f x * indicator (Q i) x"] positive_integral_cong
simp: indicator_def)
qed
from choice[OF this] obtain f where borel: "\<And>i. f i \<in> borel_measurable M"
and f: "\<And>A i. A \<in> sets M \<Longrightarrow>
\<nu> (Q i \<inter> A) = positive_integral (\<lambda>x. f i x * indicator (Q i \<inter> A) x)"
by auto
let "?f x" =
"(\<Sum>\<^isub>\<infinity> i. f i x * indicator (Q i) x) + \<omega> * indicator (space M - ?O_0) x"
show ?thesis
proof (safe intro!: bexI[of _ ?f])
show "?f \<in> borel_measurable M"
by (safe intro!: borel_measurable_psuminf borel_measurable_pinfreal_times
borel_measurable_pinfreal_add borel_measurable_indicator
borel_measurable_const borel Q_sets O_sets Diff countable_UN)
fix A assume "A \<in> sets M"
let ?C = "(space M - (\<Union>i. Q i)) \<inter> A"
have *:
"\<And>x i. indicator A x * (f i x * indicator (Q i) x) =
f i x * indicator (Q i \<inter> A) x"
"\<And>x i. (indicator A x * indicator (space M - (\<Union>i. UNION {..i} Q')) x :: pinfreal) =
indicator ?C x" unfolding O_0_eq_Q by (auto simp: indicator_def)
have "positive_integral (\<lambda>x. ?f x * indicator A x) =
(\<Sum>\<^isub>\<infinity> i. \<nu> (Q i \<inter> A)) + \<omega> * \<mu> ?C"
unfolding f[OF `A \<in> sets M`]
apply (simp del: pinfreal_times(2) add: field_simps)
apply (subst positive_integral_add)
apply (safe intro!: borel_measurable_pinfreal_times Diff borel_measurable_const
borel_measurable_psuminf borel_measurable_indicator `A \<in> sets M` Q_sets borel countable_UN Q'_sets)
unfolding psuminf_cmult_right[symmetric]
apply (subst positive_integral_psuminf)
apply (safe intro!: borel_measurable_pinfreal_times Diff borel_measurable_const
borel_measurable_psuminf borel_measurable_indicator `A \<in> sets M` Q_sets borel countable_UN Q'_sets)
apply (subst positive_integral_cmult)
apply (safe intro!: borel_measurable_pinfreal_times Diff borel_measurable_const
borel_measurable_psuminf borel_measurable_indicator `A \<in> sets M` Q_sets borel countable_UN Q'_sets)
unfolding *
apply (subst positive_integral_indicator)
apply (safe intro!: borel_measurable_pinfreal_times Diff borel_measurable_const Int
borel_measurable_psuminf borel_measurable_indicator `A \<in> sets M` Q_sets borel countable_UN Q'_sets)
by simp
moreover have "(\<Sum>\<^isub>\<infinity>i. \<nu> (Q i \<inter> A)) = \<nu> ((\<Union>i. Q i) \<inter> A)"
proof (rule v.measure_countably_additive[of "\<lambda>i. Q i \<inter> A", unfolded comp_def, simplified])
show "range (\<lambda>i. Q i \<inter> A) \<subseteq> sets M"
using Q_sets `A \<in> sets M` by auto
show "disjoint_family (\<lambda>i. Q i \<inter> A)"
by (fastsimp simp: disjoint_family_on_def Q_def
split: nat.split_asm)
qed
moreover have "\<omega> * \<mu> ?C = \<nu> ?C"
proof cases
assume null: "\<mu> ?C = 0"
hence "?C \<in> null_sets" using Q_sets `A \<in> sets M` by auto
with `absolutely_continuous \<nu>` and null
show ?thesis by (simp add: absolutely_continuous_def)
next
assume not_null: "\<mu> ?C \<noteq> 0"
have "\<nu> ?C = \<omega>"
proof (rule ccontr)
assume "\<nu> ?C \<noteq> \<omega>"
then have "?C \<in> ?Q"
using Q_sets `A \<in> sets M` by auto
from stetic[OF this] not_null
show False unfolding O_0_eq_Q by auto
qed
then show ?thesis using not_null by simp
qed
moreover have "?C \<in> sets M" "((\<Union>i. Q i) \<inter> A) \<in> sets M"
using Q_sets `A \<in> sets M` by (auto intro!: countable_UN)
moreover have "((\<Union>i. Q i) \<inter> A) \<union> ?C = A" "((\<Union>i. Q i) \<inter> A) \<inter> ?C = {}"
using `A \<in> sets M` sets_into_space by auto
ultimately show "\<nu> A = positive_integral (\<lambda>x. ?f x * indicator A x)"
using v.measure_additive[simplified, of "(\<Union>i. Q i) \<inter> A" ?C] by auto
qed
qed
lemma (in measure_space) positive_integral_translated_density:
assumes "f \<in> borel_measurable M" "g \<in> borel_measurable M"
shows "measure_space.positive_integral M (\<lambda>A. positive_integral (\<lambda>x. f x * indicator A x)) g =
positive_integral (\<lambda>x. f x * g x)" (is "measure_space.positive_integral M ?T _ = _")
proof -
from measure_space_density[OF assms(1)]
interpret T: measure_space M ?T .
from borel_measurable_implies_simple_function_sequence[OF assms(2)]
obtain G where G: "\<And>i. simple_function (G i)" "G \<up> g" by blast
note G_borel = borel_measurable_simple_function[OF this(1)]
from T.positive_integral_isoton[OF `G \<up> g` G_borel]
have *: "(\<lambda>i. T.positive_integral (G i)) \<up> T.positive_integral g" .
{ fix i
have [simp]: "finite (G i ` space M)"
using G(1) unfolding simple_function_def by auto
have "T.positive_integral (G i) = T.simple_integral (G i)"
using G T.positive_integral_eq_simple_integral by simp
also have "\<dots> = positive_integral (\<lambda>x. f x * (\<Sum>y\<in>G i`space M. y * indicator (G i -` {y} \<inter> space M) x))"
apply (simp add: T.simple_integral_def)
apply (subst positive_integral_cmult[symmetric])
using G_borel assms(1) apply (fastsimp intro: borel_measurable_indicator borel_measurable_vimage)
apply (subst positive_integral_setsum[symmetric])
using G_borel assms(1) apply (fastsimp intro: borel_measurable_indicator borel_measurable_vimage)
by (simp add: setsum_right_distrib field_simps)
also have "\<dots> = positive_integral (\<lambda>x. f x * G i x)"
by (auto intro!: positive_integral_cong
simp: indicator_def if_distrib setsum_cases)
finally have "T.positive_integral (G i) = positive_integral (\<lambda>x. f x * G i x)" . }
with * have eq_Tg: "(\<lambda>i. positive_integral (\<lambda>x. f x * G i x)) \<up> T.positive_integral g" by simp
from G(2) have "(\<lambda>i x. f x * G i x) \<up> (\<lambda>x. f x * g x)"
unfolding isoton_fun_expand by (auto intro!: isoton_cmult_right)
then have "(\<lambda>i. positive_integral (\<lambda>x. f x * G i x)) \<up> positive_integral (\<lambda>x. f x * g x)"
using assms(1) G_borel by (auto intro!: positive_integral_isoton borel_measurable_pinfreal_times)
with eq_Tg show "T.positive_integral g = positive_integral (\<lambda>x. f x * g x)"
unfolding isoton_def by simp
qed
lemma (in sigma_finite_measure) Radon_Nikodym:
assumes "measure_space M \<nu>"
assumes "absolutely_continuous \<nu>"
shows "\<exists>f \<in> borel_measurable M. \<forall>A\<in>sets M. \<nu> A = positive_integral (\<lambda>x. f x * indicator A x)"
proof -
from Ex_finite_integrable_function
obtain h where finite: "positive_integral h \<noteq> \<omega>" and
borel: "h \<in> borel_measurable M" and
pos: "\<And>x. x \<in> space M \<Longrightarrow> 0 < h x" and
"\<And>x. x \<in> space M \<Longrightarrow> h x < \<omega>" by auto
let "?T A" = "positive_integral (\<lambda>x. h x * indicator A x)"
from measure_space_density[OF borel] finite
interpret T: finite_measure M ?T
unfolding finite_measure_def finite_measure_axioms_def
by (simp cong: positive_integral_cong)
have "\<And>N. N \<in> sets M \<Longrightarrow> {x \<in> space M. h x \<noteq> 0 \<and> indicator N x \<noteq> (0::pinfreal)} = N"
using sets_into_space pos by (force simp: indicator_def)
then have "T.absolutely_continuous \<nu>" using assms(2) borel
unfolding T.absolutely_continuous_def absolutely_continuous_def
by (fastsimp simp: borel_measurable_indicator positive_integral_0_iff)
from T.Radon_Nikodym_finite_measure_infinite[simplified, OF assms(1) this]
obtain f where f_borel: "f \<in> borel_measurable M" and
fT: "\<And>A. A \<in> sets M \<Longrightarrow> \<nu> A = T.positive_integral (\<lambda>x. f x * indicator A x)" by auto
show ?thesis
proof (safe intro!: bexI[of _ "\<lambda>x. h x * f x"])
show "(\<lambda>x. h x * f x) \<in> borel_measurable M"
using borel f_borel by (auto intro: borel_measurable_pinfreal_times)
fix A assume "A \<in> sets M"
then have "(\<lambda>x. f x * indicator A x) \<in> borel_measurable M"
using f_borel by (auto intro: borel_measurable_pinfreal_times borel_measurable_indicator)
from positive_integral_translated_density[OF borel this]
show "\<nu> A = positive_integral (\<lambda>x. h x * f x * indicator A x)"
unfolding fT[OF `A \<in> sets M`] by (simp add: field_simps)
qed
qed
section "Radon Nikodym derivative"
definition (in sigma_finite_measure)
"RN_deriv \<nu> \<equiv> SOME f. f \<in> borel_measurable M \<and>
(\<forall>A \<in> sets M. \<nu> A = positive_integral (\<lambda>x. f x * indicator A x))"
lemma (in sigma_finite_measure) RN_deriv:
assumes "measure_space M \<nu>"
assumes "absolutely_continuous \<nu>"
shows "RN_deriv \<nu> \<in> borel_measurable M" (is ?borel)
and "\<And>A. A \<in> sets M \<Longrightarrow> \<nu> A = positive_integral (\<lambda>x. RN_deriv \<nu> x * indicator A x)"
(is "\<And>A. _ \<Longrightarrow> ?int A")
proof -
note Ex = Radon_Nikodym[OF assms, unfolded Bex_def]
thus ?borel unfolding RN_deriv_def by (rule someI2_ex) auto
fix A assume "A \<in> sets M"
from Ex show "?int A" unfolding RN_deriv_def
by (rule someI2_ex) (simp add: `A \<in> sets M`)
qed
lemma (in sigma_finite_measure) RN_deriv_singleton:
assumes "measure_space M \<nu>"
and ac: "absolutely_continuous \<nu>"
and "{x} \<in> sets M"
shows "\<nu> {x} = RN_deriv \<nu> x * \<mu> {x}"
proof -
note deriv = RN_deriv[OF assms(1, 2)]
from deriv(2)[OF `{x} \<in> sets M`]
have "\<nu> {x} = positive_integral (\<lambda>w. RN_deriv \<nu> x * indicator {x} w)"
by (auto simp: indicator_def intro!: positive_integral_cong)
thus ?thesis using positive_integral_cmult_indicator[OF `{x} \<in> sets M`]
by auto
qed
theorem (in finite_measure_space) RN_deriv_finite_measure:
assumes "measure_space M \<nu>"
and ac: "absolutely_continuous \<nu>"
and "x \<in> space M"
shows "\<nu> {x} = RN_deriv \<nu> x * \<mu> {x}"
proof -
have "{x} \<in> sets M" using sets_eq_Pow `x \<in> space M` by auto
from RN_deriv_singleton[OF assms(1,2) this] show ?thesis .
qed
end