(* Title: HOL/Probability/Radon_Nikodym.thy
Author: Johannes Hölzl, TU München
*)
section \<open>Radon-Nikod{\'y}m derivative\<close>
theory Radon_Nikodym
imports Bochner_Integration
begin
definition "diff_measure M N =
measure_of (space M) (sets M) (\<lambda>A. emeasure M A - emeasure N A)"
lemma
shows space_diff_measure[simp]: "space (diff_measure M N) = space M"
and sets_diff_measure[simp]: "sets (diff_measure M N) = sets M"
by (auto simp: diff_measure_def)
lemma emeasure_diff_measure:
assumes fin: "finite_measure M" "finite_measure N" and sets_eq: "sets M = sets N"
assumes pos: "\<And>A. A \<in> sets M \<Longrightarrow> emeasure N A \<le> emeasure M A" and A: "A \<in> sets M"
shows "emeasure (diff_measure M N) A = emeasure M A - emeasure N A" (is "_ = ?\<mu> A")
unfolding diff_measure_def
proof (rule emeasure_measure_of_sigma)
show "sigma_algebra (space M) (sets M)" ..
show "positive (sets M) ?\<mu>"
using pos by (simp add: positive_def ereal_diff_positive)
show "countably_additive (sets M) ?\<mu>"
proof (rule countably_additiveI)
fix A :: "nat \<Rightarrow> _" assume A: "range A \<subseteq> sets M" and "disjoint_family A"
then have suminf:
"(\<Sum>i. emeasure M (A i)) = emeasure M (\<Union>i. A i)"
"(\<Sum>i. emeasure N (A i)) = emeasure N (\<Union>i. A i)"
by (simp_all add: suminf_emeasure sets_eq)
with A have "(\<Sum>i. emeasure M (A i) - emeasure N (A i)) =
(\<Sum>i. emeasure M (A i)) - (\<Sum>i. emeasure N (A i))"
using fin
by (intro suminf_ereal_minus pos emeasure_nonneg)
(auto simp: sets_eq finite_measure.emeasure_eq_measure suminf_emeasure)
then show "(\<Sum>i. emeasure M (A i) - emeasure N (A i)) =
emeasure M (\<Union>i. A i) - emeasure N (\<Union>i. A i) "
by (simp add: suminf)
qed
qed fact
lemma (in sigma_finite_measure) Ex_finite_integrable_function:
shows "\<exists>h\<in>borel_measurable M. integral\<^sup>N M h \<noteq> \<infinity> \<and> (\<forall>x\<in>space M. 0 < h x \<and> h x < \<infinity>) \<and> (\<forall>x. 0 \<le> h x)"
proof -
obtain A :: "nat \<Rightarrow> 'a set" where
range[measurable]: "range A \<subseteq> sets M" and
space: "(\<Union>i. A i) = space M" and
measure: "\<And>i. emeasure M (A i) \<noteq> \<infinity>" and
disjoint: "disjoint_family A"
using sigma_finite_disjoint by auto
let ?B = "\<lambda>i. 2^Suc i * emeasure M (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)"
using measure[of i] emeasure_nonneg[of M "A i"]
by (auto intro!: dense simp: ereal_0_gt_inverse ereal_zero_le_0_iff)
qed
from choice[OF this] obtain n where n: "\<And>i. 0 < n i"
"\<And>i. n i < inverse (2^Suc i * emeasure M (A i))" by auto
{ fix i have "0 \<le> n i" using n(1)[of i] by auto } note pos = this
let ?h = "\<lambda>x. \<Sum>i. n i * indicator (A i) x"
show ?thesis
proof (safe intro!: bexI[of _ ?h] del: notI)
have "\<And>i. A i \<in> sets M"
using range by fastforce+
then have "integral\<^sup>N M ?h = (\<Sum>i. n i * emeasure M (A i))" using pos
by (simp add: nn_integral_suminf nn_integral_cmult_indicator)
also have "\<dots> \<le> (\<Sum>i. (1 / 2)^Suc i)"
proof (rule suminf_le_pos)
fix N
have "n N * emeasure M (A N) \<le> inverse (2^Suc N * emeasure M (A N)) * emeasure M (A N)"
using n[of N]
by (intro ereal_mult_right_mono) auto
also have "\<dots> \<le> (1 / 2) ^ Suc N"
using measure[of N] n[of N]
by (cases rule: ereal2_cases[of "n N" "emeasure M (A N)"])
(simp_all add: inverse_eq_divide power_divide one_ereal_def ereal_power_divide)
finally show "n N * emeasure M (A N) \<le> (1 / 2) ^ Suc N" .
show "0 \<le> n N * emeasure M (A N)" using n[of N] \<open>A N \<in> sets M\<close> by (simp add: emeasure_nonneg)
qed
finally show "integral\<^sup>N M ?h \<noteq> \<infinity>" unfolding suminf_half_series_ereal by auto
next
{ fix x assume "x \<in> space M"
then obtain i where "x \<in> A i" using space[symmetric] by auto
with disjoint n have "?h x = n i"
by (auto intro!: suminf_cmult_indicator intro: less_imp_le)
then show "0 < ?h x" and "?h x < \<infinity>" using n[of i] by auto }
note pos = this
fix x show "0 \<le> ?h x"
proof cases
assume "x \<in> space M" then show "0 \<le> ?h x" using pos by (auto intro: less_imp_le)
next
assume "x \<notin> space M" then have "\<And>i. x \<notin> A i" using space by auto
then show "0 \<le> ?h x" by auto
qed
qed measurable
qed
subsection "Absolutely continuous"
definition absolutely_continuous :: "'a measure \<Rightarrow> 'a measure \<Rightarrow> bool" where
"absolutely_continuous M N \<longleftrightarrow> null_sets M \<subseteq> null_sets N"
lemma absolutely_continuousI_count_space: "absolutely_continuous (count_space A) M"
unfolding absolutely_continuous_def by (auto simp: null_sets_count_space)
lemma absolutely_continuousI_density:
"f \<in> borel_measurable M \<Longrightarrow> absolutely_continuous M (density M f)"
by (force simp add: absolutely_continuous_def null_sets_density_iff dest: AE_not_in)
lemma absolutely_continuousI_point_measure_finite:
"(\<And>x. \<lbrakk> x \<in> A ; f x \<le> 0 \<rbrakk> \<Longrightarrow> g x \<le> 0) \<Longrightarrow> absolutely_continuous (point_measure A f) (point_measure A g)"
unfolding absolutely_continuous_def by (force simp: null_sets_point_measure_iff)
lemma absolutely_continuous_AE:
assumes sets_eq: "sets M' = sets M"
and "absolutely_continuous M M'" "AE x in M. P x"
shows "AE x in M'. P x"
proof -
from \<open>AE x in M. P x\<close> obtain N where N: "N \<in> null_sets M" "{x\<in>space M. \<not> P x} \<subseteq> N"
unfolding eventually_ae_filter by auto
show "AE x in M'. P x"
proof (rule AE_I')
show "{x\<in>space M'. \<not> P x} \<subseteq> N" using sets_eq_imp_space_eq[OF sets_eq] N(2) by simp
from \<open>absolutely_continuous M M'\<close> show "N \<in> null_sets M'"
using N unfolding absolutely_continuous_def sets_eq null_sets_def by auto
qed
qed
subsection "Existence of the Radon-Nikodym derivative"
lemma (in finite_measure) Radon_Nikodym_aux_epsilon:
fixes e :: real assumes "0 < e"
assumes "finite_measure N" and sets_eq: "sets N = sets M"
shows "\<exists>A\<in>sets M. measure M (space M) - measure N (space M) \<le> measure M A - measure N A \<and>
(\<forall>B\<in>sets M. B \<subseteq> A \<longrightarrow> - e < measure M B - measure N B)"
proof -
interpret M': finite_measure N by fact
let ?d = "\<lambda>A. measure M A - measure N A"
let ?A = "\<lambda>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 \<open>A n \<in> sets M\<close> finite_measure_Union M'.finite_measure_Union by (simp add: sets_eq)
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 \<open>0 < e\<close> 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 sets.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.sets_into_space dA_mono[of n] finite_measure_compl M'.finite_measure_compl
by (simp del: A_simps add: sets_eq sets_eq_imp_space_eq[OF sets_eq])
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: of_nat_Suc field_simps)
next
case 0 with measure_empty show ?case by (simp add: zero_ereal_def)
qed } 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
have A: "incseq A" by (auto intro!: incseq_SucI)
from finite_Lim_measure_incseq[OF _ A] \<open>range A \<subseteq> sets M\<close>
M'.finite_Lim_measure_incseq[OF _ A]
have convergent: "(\<lambda>i. ?d (A i)) ----> ?d (\<Union>i. A i)"
by (auto intro!: tendsto_diff simp: sets_eq)
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 \<open>0<e\<close> by (simp add: field_simps)
ultimately show ?thesis by auto
qed
qed
lemma (in finite_measure) Radon_Nikodym_aux:
assumes "finite_measure N" and sets_eq: "sets N = sets M"
shows "\<exists>A\<in>sets M. measure M (space M) - measure N (space M) \<le>
measure M A - measure N A \<and>
(\<forall>B\<in>sets M. B \<subseteq> A \<longrightarrow> 0 \<le> measure M B - measure N B)"
proof -
interpret N: finite_measure N by fact
let ?d = "\<lambda>A. measure M A - measure N A"
let ?P = "\<lambda>A n. if n = 0 then A = space M else (\<forall>C\<in>sets M. C \<subseteq> A \<longrightarrow> - 1 / real (Suc n) < ?d C)"
let ?Q = "\<lambda>A B. A \<subseteq> B \<and> ?d B \<le> ?d A"
have "\<exists>A. \<forall>n. (A n \<in> sets M \<and> ?P (A n) n) \<and> ?Q (A (Suc n)) (A n)"
proof (rule dependent_nat_choice)
show "\<exists>A. A \<in> sets M \<and> ?P A 0"
by auto
next
fix A n assume "A \<in> sets M \<and> ?P A n"
then have A: "A \<in> sets M" by auto
then have "finite_measure (density M (indicator A))" "0 < 1 / real (Suc (Suc n))"
"finite_measure (density N (indicator A))" "sets (density N (indicator A)) = sets (density M (indicator A))"
by (auto simp: finite_measure_restricted N.finite_measure_restricted sets_eq)
from finite_measure.Radon_Nikodym_aux_epsilon[OF this] guess X .. note X = this
with A have "A \<inter> X \<in> sets M \<and> ?P (A \<inter> X) (Suc n) \<and> ?Q (A \<inter> X) A"
by (simp add: measure_restricted sets_eq sets.Int) (metis inf_absorb2)
then show "\<exists>B. (B \<in> sets M \<and> ?P B (Suc n)) \<and> ?Q B A"
by blast
qed
then obtain A where A: "\<And>n. A n \<in> sets M" "\<And>n. ?P (A n) n" "\<And>n. ?Q (A (Suc n)) (A n)"
by metis
then have mono_dA: "mono (\<lambda>i. ?d (A i))" and A_0[simp]: "A 0 = space M"
by (auto simp add: mono_iff_le_Suc)
show ?thesis
proof (safe intro!: bexI[of _ "\<Inter>i. A i"])
show "(\<Inter>i. A i) \<in> sets M" using \<open>\<And>n. A n \<in> sets M\<close> by auto
have "decseq A" using A by (auto intro!: decseq_SucI)
from A(1) finite_Lim_measure_decseq[OF _ this] N.finite_Lim_measure_decseq[OF _ this]
have "(\<lambda>i. ?d (A i)) ----> ?d (\<Inter>i. A i)" by (auto intro!: tendsto_diff simp: sets_eq)
thus "?d (space M) \<le> ?d (\<Inter>i. A i)" using mono_dA[THEN monoD, of 0 _]
by (rule_tac LIMSEQ_le_const) auto
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: field_simps)
also have "\<dots> \<le> - 1 / real (Suc (Suc n))"
by (auto simp: field_simps)
finally show False
using * A(2)[of "Suc n"] B by (auto elim!: ballE[of _ _ B])
qed
qed
qed
lemma (in finite_measure) Radon_Nikodym_finite_measure:
assumes "finite_measure N" and sets_eq: "sets N = sets M"
assumes "absolutely_continuous M N"
shows "\<exists>f \<in> borel_measurable M. (\<forall>x. 0 \<le> f x) \<and> density M f = N"
proof -
interpret N: finite_measure N by fact
def G \<equiv> "{g \<in> borel_measurable M. (\<forall>x. 0 \<le> g x) \<and> (\<forall>A\<in>sets M. (\<integral>\<^sup>+x. g x * indicator A x \<partial>M) \<le> N A)}"
{ fix f have "f \<in> G \<Longrightarrow> f \<in> borel_measurable M" by (auto simp: G_def) }
note this[measurable_dest]
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 \<open>?A \<in> sets M\<close> by auto
hence sets': "?A \<inter> A \<in> sets N" "(space M - ?A) \<inter> A \<in> sets N" by (auto simp: sets_eq)
have union: "((?A \<inter> A) \<union> ((space M - ?A) \<inter> A)) = A"
using sets.sets_into_space[OF \<open>A \<in> sets M\<close>] 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 "(\<integral>\<^sup>+x. max (g x) (f x) * indicator A x \<partial>M) =
(\<integral>\<^sup>+x. g x * indicator (?A \<inter> A) x \<partial>M) +
(\<integral>\<^sup>+x. f x * indicator ((space M - ?A) \<inter> A) x \<partial>M)"
using f g sets unfolding G_def
by (auto cong: nn_integral_cong intro!: nn_integral_add)
also have "\<dots> \<le> N (?A \<inter> A) + N ((space M - ?A) \<inter> A)"
using f g sets unfolding G_def by (auto intro!: add_mono)
also have "\<dots> = N A"
using plus_emeasure[OF sets'] union by auto
finally show "(\<integral>\<^sup>+x. max (g x) (f x) * indicator A x \<partial>M) \<le> N A" .
next
fix x show "0 \<le> max (g x) (f x)" using f g by (auto simp: G_def split: split_max)
qed }
note max_in_G = this
{ fix f assume "incseq f" and f: "\<And>i. f i \<in> G"
then have [measurable]: "\<And>i. f i \<in> borel_measurable M" by (auto simp: G_def)
have "(\<lambda>x. SUP i. f i x) \<in> G" unfolding G_def
proof safe
show "(\<lambda>x. SUP i. f i x) \<in> borel_measurable M" by measurable
{ fix x show "0 \<le> (SUP i. f i x)"
using f by (auto simp: G_def intro: SUP_upper2) }
next
fix A assume "A \<in> sets M"
have "(\<integral>\<^sup>+x. (SUP i. f i x) * indicator A x \<partial>M) =
(\<integral>\<^sup>+x. (SUP i. f i x * indicator A x) \<partial>M)"
by (intro nn_integral_cong) (simp split: split_indicator)
also have "\<dots> = (SUP i. (\<integral>\<^sup>+x. f i x * indicator A x \<partial>M))"
using \<open>incseq f\<close> f \<open>A \<in> sets M\<close>
by (intro nn_integral_monotone_convergence_SUP)
(auto simp: G_def incseq_Suc_iff le_fun_def split: split_indicator)
finally show "(\<integral>\<^sup>+x. (SUP i. f i x) * indicator A x \<partial>M) \<le> N A"
using f \<open>A \<in> sets M\<close> by (auto intro!: SUP_least simp: G_def)
qed }
note SUP_in_G = this
let ?y = "SUP g : G. integral\<^sup>N M g"
have y_le: "?y \<le> N (space M)" unfolding G_def
proof (safe intro!: SUP_least)
fix g assume "\<forall>A\<in>sets M. (\<integral>\<^sup>+x. g x * indicator A x \<partial>M) \<le> N A"
from this[THEN bspec, OF sets.top] show "integral\<^sup>N M g \<le> N (space M)"
by (simp cong: nn_integral_cong)
qed
from SUP_countable_SUP [OF \<open>G \<noteq> {}\<close>, of "integral\<^sup>N M"] guess ys .. note ys = this
then have "\<forall>n. \<exists>g. g\<in>G \<and> integral\<^sup>N M g = ys n"
proof safe
fix n assume "range ys \<subseteq> integral\<^sup>N M ` G"
hence "ys n \<in> integral\<^sup>N M ` G" by auto
thus "\<exists>g. g\<in>G \<and> integral\<^sup>N M g = ys n" by auto
qed
from choice[OF this] obtain gs where "\<And>i. gs i \<in> G" "\<And>n. integral\<^sup>N M (gs n) = ys n" by auto
hence y_eq: "?y = (SUP i. integral\<^sup>N M (gs i))" using ys by auto
let ?g = "\<lambda>i x. Max ((\<lambda>n. gs n x) ` {..i})"
def f \<equiv> "\<lambda>x. SUP i. ?g i x"
let ?F = "\<lambda>A x. f x * indicator A x"
have gs_not_empty: "\<And>i x. (\<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 \<open>gs (Suc i) \<in> G\<close> show ?case
by (auto simp add: atMost_Suc intro!: max_in_G)
qed }
note g_in_G = this
have "incseq ?g" using gs_not_empty
by (auto intro!: incseq_SucI le_funI simp add: atMost_Suc)
from SUP_in_G[OF this g_in_G] have [measurable]: "f \<in> G" unfolding f_def .
then have [simp, intro]: "f \<in> borel_measurable M" unfolding G_def by auto
have "integral\<^sup>N M f = (SUP i. integral\<^sup>N M (?g i))" unfolding f_def
using g_in_G \<open>incseq ?g\<close>
by (auto intro!: nn_integral_monotone_convergence_SUP simp: G_def)
also have "\<dots> = ?y"
proof (rule antisym)
show "(SUP i. integral\<^sup>N M (?g i)) \<le> ?y"
using g_in_G by (auto intro: SUP_mono)
show "?y \<le> (SUP i. integral\<^sup>N M (?g i))" unfolding y_eq
by (auto intro!: SUP_mono nn_integral_mono Max_ge)
qed
finally have int_f_eq_y: "integral\<^sup>N M f = ?y" .
have "\<And>x. 0 \<le> f x"
unfolding f_def using \<open>\<And>i. gs i \<in> G\<close>
by (auto intro!: SUP_upper2 Max_ge_iff[THEN iffD2] simp: G_def)
let ?t = "\<lambda>A. N A - (\<integral>\<^sup>+x. ?F A x \<partial>M)"
let ?M = "diff_measure N (density M f)"
have f_le_N: "\<And>A. A \<in> sets M \<Longrightarrow> (\<integral>\<^sup>+x. ?F A x \<partial>M) \<le> N A"
using \<open>f \<in> G\<close> unfolding G_def by auto
have emeasure_M: "\<And>A. A \<in> sets M \<Longrightarrow> emeasure ?M A = ?t A"
proof (subst emeasure_diff_measure)
from f_le_N[of "space M"] show "finite_measure N" "finite_measure (density M f)"
by (auto intro!: finite_measureI simp: emeasure_density cong: nn_integral_cong)
next
fix B assume "B \<in> sets N" with f_le_N[of B] show "emeasure (density M f) B \<le> emeasure N B"
by (auto simp: sets_eq emeasure_density cong: nn_integral_cong)
qed (auto simp: sets_eq emeasure_density)
from emeasure_M[of "space M"] N.finite_emeasure_space nn_integral_nonneg[of M "?F (space M)"]
interpret M': finite_measure ?M
by (auto intro!: finite_measureI simp: sets_eq_imp_space_eq[OF sets_eq] N.emeasure_eq_measure ereal_minus_eq_PInfty_iff)
have ac: "absolutely_continuous M ?M" unfolding absolutely_continuous_def
proof
fix A assume A_M: "A \<in> null_sets M"
with \<open>absolutely_continuous M N\<close> have A_N: "A \<in> null_sets N"
unfolding absolutely_continuous_def by auto
moreover from A_M A_N have "(\<integral>\<^sup>+ x. ?F A x \<partial>M) \<le> N A" using \<open>f \<in> G\<close> by (auto simp: G_def)
ultimately have "N A - (\<integral>\<^sup>+ x. ?F A x \<partial>M) = 0"
using nn_integral_nonneg[of M] by (auto intro!: antisym)
then show "A \<in> null_sets ?M"
using A_M by (simp add: emeasure_M null_sets_def sets_eq)
qed
have upper_bound: "\<forall>A\<in>sets M. ?M A \<le> 0"
proof (rule ccontr)
assume "\<not> ?thesis"
then obtain A where A: "A \<in> sets M" and pos: "0 < ?M A"
by (auto simp: not_le)
note pos
also have "?M A \<le> ?M (space M)"
using emeasure_space[of ?M A] by (simp add: sets_eq[THEN sets_eq_imp_space_eq])
finally have pos_t: "0 < ?M (space M)" by simp
moreover
from pos_t have "emeasure M (space M) \<noteq> 0"
using ac unfolding absolutely_continuous_def by (auto simp: null_sets_def)
then have pos_M: "0 < emeasure M (space M)"
using emeasure_nonneg[of M "space M"] by (simp add: le_less)
moreover
have "(\<integral>\<^sup>+x. f x * indicator (space M) x \<partial>M) \<le> N (space M)"
using \<open>f \<in> G\<close> unfolding G_def by auto
hence "(\<integral>\<^sup>+x. f x * indicator (space M) x \<partial>M) \<noteq> \<infinity>"
using M'.finite_emeasure_space by auto
moreover
def b \<equiv> "?M (space M) / emeasure M (space M) / 2"
ultimately have b: "b \<noteq> 0 \<and> 0 \<le> b \<and> b \<noteq> \<infinity>"
by (auto simp: ereal_divide_eq)
then have b: "b \<noteq> 0" "0 \<le> b" "0 < b" "b \<noteq> \<infinity>" by auto
let ?Mb = "density M (\<lambda>_. b)"
have Mb: "finite_measure ?Mb" "sets ?Mb = sets ?M"
using b by (auto simp: emeasure_density_const sets_eq intro!: finite_measureI)
from M'.Radon_Nikodym_aux[OF this] guess A0 ..
then have "A0 \<in> sets M"
and space_less_A0: "measure ?M (space M) - real_of_ereal b * measure M (space M) \<le> measure ?M A0 - real_of_ereal b * measure M A0"
and *: "\<And>B. B \<in> sets M \<Longrightarrow> B \<subseteq> A0 \<Longrightarrow> 0 \<le> measure ?M B - real_of_ereal b * measure M B"
using b by (simp_all add: measure_density_const sets_eq_imp_space_eq[OF sets_eq] sets_eq)
{ fix B assume B: "B \<in> sets M" "B \<subseteq> A0"
with *[OF this] have "b * emeasure M B \<le> ?M B"
using b unfolding M'.emeasure_eq_measure emeasure_eq_measure by (cases b) auto }
note bM_le_t = this
let ?f0 = "\<lambda>x. f x + b * indicator A0 x"
{ fix A assume A: "A \<in> sets M"
hence "A \<inter> A0 \<in> sets M" using \<open>A0 \<in> sets M\<close> by auto
have "(\<integral>\<^sup>+x. ?f0 x * indicator A x \<partial>M) =
(\<integral>\<^sup>+x. f x * indicator A x + b * indicator (A \<inter> A0) x \<partial>M)"
by (auto intro!: nn_integral_cong split: split_indicator)
hence "(\<integral>\<^sup>+x. ?f0 x * indicator A x \<partial>M) =
(\<integral>\<^sup>+x. f x * indicator A x \<partial>M) + b * emeasure M (A \<inter> A0)"
using \<open>A0 \<in> sets M\<close> \<open>A \<inter> A0 \<in> sets M\<close> A b \<open>f \<in> G\<close>
by (simp add: nn_integral_add nn_integral_cmult_indicator G_def) }
note f0_eq = this
{ fix A assume A: "A \<in> sets M"
hence "A \<inter> A0 \<in> sets M" using \<open>A0 \<in> sets M\<close> by auto
have f_le_v: "(\<integral>\<^sup>+x. ?F A x \<partial>M) \<le> N A" using \<open>f \<in> G\<close> A unfolding G_def by auto
note f0_eq[OF A]
also have "(\<integral>\<^sup>+x. ?F A x \<partial>M) + b * emeasure M (A \<inter> A0) \<le> (\<integral>\<^sup>+x. ?F A x \<partial>M) + ?M (A \<inter> A0)"
using bM_le_t[OF \<open>A \<inter> A0 \<in> sets M\<close>] \<open>A \<in> sets M\<close> \<open>A0 \<in> sets M\<close>
by (auto intro!: add_left_mono)
also have "\<dots> \<le> (\<integral>\<^sup>+x. f x * indicator A x \<partial>M) + ?M A"
using emeasure_mono[of "A \<inter> A0" A ?M] \<open>A \<in> sets M\<close> \<open>A0 \<in> sets M\<close>
by (auto intro!: add_left_mono simp: sets_eq)
also have "\<dots> \<le> N A"
unfolding emeasure_M[OF \<open>A \<in> sets M\<close>]
using f_le_v N.emeasure_eq_measure[of A] nn_integral_nonneg[of M "?F A"]
by (cases "\<integral>\<^sup>+x. ?F A x \<partial>M", cases "N A") auto
finally have "(\<integral>\<^sup>+x. ?f0 x * indicator A x \<partial>M) \<le> N A" . }
hence "?f0 \<in> G" using \<open>A0 \<in> sets M\<close> b \<open>f \<in> G\<close> by (auto simp: G_def)
have int_f_finite: "integral\<^sup>N M f \<noteq> \<infinity>"
by (metis N.emeasure_finite ereal_infty_less_eq2(1) int_f_eq_y y_le)
have "0 < ?M (space M) - emeasure ?Mb (space M)"
using pos_t
by (simp add: b emeasure_density_const)
(simp add: M'.emeasure_eq_measure emeasure_eq_measure pos_M b_def)
also have "\<dots> \<le> ?M A0 - b * emeasure M A0"
using space_less_A0 \<open>A0 \<in> sets M\<close> b
by (cases b) (auto simp add: b emeasure_density_const sets_eq M'.emeasure_eq_measure emeasure_eq_measure)
finally have 1: "b * emeasure M A0 < ?M A0"
by (metis M'.emeasure_real \<open>A0 \<in> sets M\<close> bM_le_t diff_self ereal_less(1) ereal_minus(1)
less_eq_ereal_def mult_zero_left not_square_less_zero subset_refl zero_ereal_def)
with b have "0 < ?M A0"
by (metis M'.emeasure_real MInfty_neq_PInfty(1) emeasure_real ereal_less_eq(5) ereal_zero_times
ereal_mult_eq_MInfty ereal_mult_eq_PInfty ereal_zero_less_0_iff less_eq_ereal_def)
then have "emeasure M A0 \<noteq> 0" using ac \<open>A0 \<in> sets M\<close>
by (auto simp: absolutely_continuous_def null_sets_def)
then have "0 < emeasure M A0" using emeasure_nonneg[of M A0] by auto
hence "0 < b * emeasure M A0" using b by (auto simp: ereal_zero_less_0_iff)
with int_f_finite have "?y + 0 < integral\<^sup>N M f + b * emeasure M A0" unfolding int_f_eq_y
using \<open>f \<in> G\<close>
by (intro ereal_add_strict_mono) (auto intro!: SUP_upper2 nn_integral_nonneg)
also have "\<dots> = integral\<^sup>N M ?f0" using f0_eq[OF sets.top] \<open>A0 \<in> sets M\<close> sets.sets_into_space
by (simp cong: nn_integral_cong)
finally have "?y < integral\<^sup>N M ?f0" by simp
moreover from \<open>?f0 \<in> G\<close> have "integral\<^sup>N M ?f0 \<le> ?y" by (auto intro!: SUP_upper)
ultimately show False by auto
qed
let ?f = "\<lambda>x. max 0 (f x)"
show ?thesis
proof (intro bexI[of _ ?f] measure_eqI conjI)
show "sets (density M ?f) = sets N"
by (simp add: sets_eq)
fix A assume A: "A\<in>sets (density M ?f)"
then show "emeasure (density M ?f) A = emeasure N A"
using \<open>f \<in> G\<close> A upper_bound[THEN bspec, of A] N.emeasure_eq_measure[of A]
by (cases "integral\<^sup>N M (?F A)")
(auto intro!: antisym simp add: emeasure_density G_def emeasure_M density_max_0[symmetric])
qed auto
qed
lemma (in finite_measure) split_space_into_finite_sets_and_rest:
assumes ac: "absolutely_continuous M N" and sets_eq: "sets N = sets M"
shows "\<exists>A0\<in>sets M. \<exists>B::nat\<Rightarrow>'a set. disjoint_family B \<and> range B \<subseteq> sets M \<and> A0 = space M - (\<Union>i. B i) \<and>
(\<forall>A\<in>sets M. A \<subseteq> A0 \<longrightarrow> (emeasure M A = 0 \<and> N A = 0) \<or> (emeasure M A > 0 \<and> N A = \<infinity>)) \<and>
(\<forall>i. N (B i) \<noteq> \<infinity>)"
proof -
let ?Q = "{Q\<in>sets M. N Q \<noteq> \<infinity>}"
let ?a = "SUP Q:?Q. emeasure M Q"
have "{} \<in> ?Q" by auto
then have Q_not_empty: "?Q \<noteq> {}" by blast
have "?a \<le> emeasure M (space M)" using sets.sets_into_space
by (auto intro!: SUP_least emeasure_mono)
then have "?a \<noteq> \<infinity>" using finite_emeasure_space
by auto
from SUP_countable_SUP [OF Q_not_empty, of "emeasure M"]
obtain Q'' where "range Q'' \<subseteq> emeasure M ` ?Q" and a: "?a = (SUP i::nat. Q'' i)"
by auto
then have "\<forall>i. \<exists>Q'. Q'' i = emeasure M Q' \<and> Q' \<in> ?Q" by auto
from choice[OF this] obtain Q' where Q': "\<And>i. Q'' i = emeasure M (Q' i)" "\<And>i. Q' i \<in> ?Q"
by auto
then have a_Lim: "?a = (SUP i::nat. emeasure M (Q' i))" using a by simp
let ?O = "\<lambda>n. \<Union>i\<le>n. Q' i"
have Union: "(SUP i. emeasure M (?O i)) = emeasure M (\<Union>i. ?O i)"
proof (rule SUP_emeasure_incseq[of ?O])
show "range ?O \<subseteq> sets M" using Q' by auto
show "incseq ?O" by (fastforce intro!: incseq_SucI)
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
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
then have "N (?O i) \<le> (\<Sum>i\<le>i. N (Q' i))"
by (simp add: sets_eq emeasure_subadditive_finite)
also have "\<dots> < \<infinity>" using Q' by (simp add: setsum_Pinfty)
finally show "N (?O i) \<noteq> \<infinity>" by simp
qed auto
have O_mono: "\<And>n. ?O n \<subseteq> ?O (Suc n)" by fastforce
have a_eq: "?a = emeasure M (\<Union>i. ?O i)" unfolding Union[symmetric]
proof (rule antisym)
show "?a \<le> (SUP i. emeasure M (?O i))" unfolding a_Lim
using Q' by (auto intro!: SUP_mono emeasure_mono)
show "(SUP i. emeasure M (?O i)) \<le> ?a" unfolding SUP_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> N x \<noteq> \<infinity>) \<and>
emeasure M (\<Union>(Q' ` {..i})) \<le> emeasure M 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
def Q \<equiv> "\<lambda>i. case i of 0 \<Rightarrow> Q' 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
show ?thesis
proof (intro bexI exI conjI ballI impI allI)
show "disjoint_family Q"
by (fastforce simp: disjoint_family_on_def Q_def
split: nat.split_asm)
show "range Q \<subseteq> sets M"
using Q_sets by auto
{ fix A assume A: "A \<in> sets M" "A \<subseteq> space M - ?O_0"
show "emeasure M A = 0 \<and> N A = 0 \<or> 0 < emeasure M A \<and> N A = \<infinity>"
proof (rule disjCI, simp)
assume *: "0 < emeasure M A \<longrightarrow> N A \<noteq> \<infinity>"
show "emeasure M A = 0 \<and> N A = 0"
proof (cases "emeasure M A = 0")
case True
with ac A have "N A = 0"
unfolding absolutely_continuous_def by auto
with True show ?thesis by simp
next
case False
with * have "N A \<noteq> \<infinity>" using emeasure_nonneg[of M A] by auto
with A have "emeasure M ?O_0 + emeasure M A = emeasure M (?O_0 \<union> A)"
using Q' by (auto intro!: plus_emeasure sets.countable_UN)
also have "\<dots> = (SUP i. emeasure M (?O i \<union> A))"
proof (rule SUP_emeasure_incseq[of "\<lambda>i. ?O i \<union> A", symmetric, simplified])
show "range (\<lambda>i. ?O i \<union> A) \<subseteq> sets M"
using \<open>N A \<noteq> \<infinity>\<close> O_sets A by auto
qed (fastforce intro!: incseq_SucI)
also have "\<dots> \<le> ?a"
proof (safe intro!: SUP_least)
fix i have "?O i \<union> A \<in> ?Q"
proof (safe del: notI)
show "?O i \<union> A \<in> sets M" using O_sets A by auto
from O_in_G[of i] have "N (?O i \<union> A) \<le> N (?O i) + N A"
using emeasure_subadditive[of "?O i" N A] A O_sets by (auto simp: sets_eq)
with O_in_G[of i] show "N (?O i \<union> A) \<noteq> \<infinity>"
using \<open>N A \<noteq> \<infinity>\<close> by auto
qed
then show "emeasure M (?O i \<union> A) \<le> ?a" by (rule SUP_upper)
qed
finally have "emeasure M A = 0"
unfolding a_eq using measure_nonneg[of M A] by (simp add: emeasure_eq_measure)
with \<open>emeasure M A \<noteq> 0\<close> show ?thesis by auto
qed
qed }
{ fix i show "N (Q i) \<noteq> \<infinity>"
proof (cases i)
case 0 then show ?thesis
unfolding Q_def using Q'[of 0] by simp
next
case (Suc n)
with \<open>?O n \<in> ?Q\<close> \<open>?O (Suc n) \<in> ?Q\<close>
emeasure_Diff[OF _ _ _ O_mono, of N n] emeasure_nonneg[of N "(\<Union>x\<le>n. Q' x)"]
show ?thesis
by (auto simp: sets_eq ereal_minus_eq_PInfty_iff Q_def)
qed }
show "space M - ?O_0 \<in> sets M" using Q'_sets by auto
{ 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 fastforce
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 show "space M - ?O_0 = space M - (\<Union>i. Q i)" by fastforce
qed
qed
lemma (in finite_measure) Radon_Nikodym_finite_measure_infinite:
assumes "absolutely_continuous M N" and sets_eq: "sets N = sets M"
shows "\<exists>f\<in>borel_measurable M. (\<forall>x. 0 \<le> f x) \<and> density M f = N"
proof -
from split_space_into_finite_sets_and_rest[OF assms]
obtain Q0 and Q :: "nat \<Rightarrow> 'a set"
where Q: "disjoint_family Q" "range Q \<subseteq> sets M"
and Q0: "Q0 \<in> sets M" "Q0 = space M - (\<Union>i. Q i)"
and in_Q0: "\<And>A. A \<in> sets M \<Longrightarrow> A \<subseteq> Q0 \<Longrightarrow> emeasure M A = 0 \<and> N A = 0 \<or> 0 < emeasure M A \<and> N A = \<infinity>"
and Q_fin: "\<And>i. N (Q i) \<noteq> \<infinity>" by force
from Q have Q_sets: "\<And>i. Q i \<in> sets M" by auto
let ?N = "\<lambda>i. density N (indicator (Q i))" and ?M = "\<lambda>i. density M (indicator (Q i))"
have "\<forall>i. \<exists>f\<in>borel_measurable (?M i). (\<forall>x. 0 \<le> f x) \<and> density (?M i) f = ?N i"
proof (intro allI finite_measure.Radon_Nikodym_finite_measure)
fix i
from Q show "finite_measure (?M i)"
by (auto intro!: finite_measureI cong: nn_integral_cong
simp add: emeasure_density subset_eq sets_eq)
from Q have "emeasure (?N i) (space N) = emeasure N (Q i)"
by (simp add: sets_eq[symmetric] emeasure_density subset_eq cong: nn_integral_cong)
with Q_fin show "finite_measure (?N i)"
by (auto intro!: finite_measureI)
show "sets (?N i) = sets (?M i)" by (simp add: sets_eq)
have [measurable]: "\<And>A. A \<in> sets M \<Longrightarrow> A \<in> sets N" by (simp add: sets_eq)
show "absolutely_continuous (?M i) (?N i)"
using \<open>absolutely_continuous M N\<close> \<open>Q i \<in> sets M\<close>
by (auto simp: absolutely_continuous_def null_sets_density_iff sets_eq
intro!: absolutely_continuous_AE[OF sets_eq])
qed
from choice[OF this[unfolded Bex_def]]
obtain f where borel: "\<And>i. f i \<in> borel_measurable M" "\<And>i x. 0 \<le> f i x"
and f_density: "\<And>i. density (?M i) (f i) = ?N i"
by force
{ fix A i assume A: "A \<in> sets M"
with Q borel have "(\<integral>\<^sup>+x. f i x * indicator (Q i \<inter> A) x \<partial>M) = emeasure (density (?M i) (f i)) A"
by (auto simp add: emeasure_density nn_integral_density subset_eq
intro!: nn_integral_cong split: split_indicator)
also have "\<dots> = emeasure N (Q i \<inter> A)"
using A Q by (simp add: f_density emeasure_restricted subset_eq sets_eq)
finally have "emeasure N (Q i \<inter> A) = (\<integral>\<^sup>+x. f i x * indicator (Q i \<inter> A) x \<partial>M)" .. }
note integral_eq = this
let ?f = "\<lambda>x. (\<Sum>i. f i x * indicator (Q i) x) + \<infinity> * indicator Q0 x"
show ?thesis
proof (safe intro!: bexI[of _ ?f])
show "?f \<in> borel_measurable M" using Q0 borel Q_sets
by (auto intro!: measurable_If)
show "\<And>x. 0 \<le> ?f x" using borel by (auto intro!: suminf_0_le simp: indicator_def)
show "density M ?f = N"
proof (rule measure_eqI)
fix A assume "A \<in> sets (density M ?f)"
then have "A \<in> sets M" by simp
have Qi: "\<And>i. Q i \<in> sets M" using Q by auto
have [intro,simp]: "\<And>i. (\<lambda>x. f i x * indicator (Q i \<inter> A) x) \<in> borel_measurable M"
"\<And>i. AE x in M. 0 \<le> f i x * indicator (Q i \<inter> A) x"
using borel Qi Q0(1) \<open>A \<in> sets M\<close> by (auto intro!: borel_measurable_ereal_times)
have "(\<integral>\<^sup>+x. ?f x * indicator A x \<partial>M) = (\<integral>\<^sup>+x. (\<Sum>i. f i x * indicator (Q i \<inter> A) x) + \<infinity> * indicator (Q0 \<inter> A) x \<partial>M)"
using borel by (intro nn_integral_cong) (auto simp: indicator_def)
also have "\<dots> = (\<integral>\<^sup>+x. (\<Sum>i. f i x * indicator (Q i \<inter> A) x) \<partial>M) + \<infinity> * emeasure M (Q0 \<inter> A)"
using borel Qi Q0(1) \<open>A \<in> sets M\<close>
by (subst nn_integral_add) (auto simp del: ereal_infty_mult
simp add: nn_integral_cmult_indicator sets.Int intro!: suminf_0_le)
also have "\<dots> = (\<Sum>i. N (Q i \<inter> A)) + \<infinity> * emeasure M (Q0 \<inter> A)"
by (subst integral_eq[OF \<open>A \<in> sets M\<close>], subst nn_integral_suminf) auto
finally have "(\<integral>\<^sup>+x. ?f x * indicator A x \<partial>M) = (\<Sum>i. N (Q i \<inter> A)) + \<infinity> * emeasure M (Q0 \<inter> A)" .
moreover have "(\<Sum>i. N (Q i \<inter> A)) = N ((\<Union>i. Q i) \<inter> A)"
using Q Q_sets \<open>A \<in> sets M\<close>
by (subst suminf_emeasure) (auto simp: disjoint_family_on_def sets_eq)
moreover have "\<infinity> * emeasure M (Q0 \<inter> A) = N (Q0 \<inter> A)"
proof -
have "Q0 \<inter> A \<in> sets M" using Q0(1) \<open>A \<in> sets M\<close> by blast
from in_Q0[OF this] show ?thesis by auto
qed
moreover have "Q0 \<inter> A \<in> sets M" "((\<Union>i. Q i) \<inter> A) \<in> sets M"
using Q_sets \<open>A \<in> sets M\<close> Q0(1) by auto
moreover have "((\<Union>i. Q i) \<inter> A) \<union> (Q0 \<inter> A) = A" "((\<Union>i. Q i) \<inter> A) \<inter> (Q0 \<inter> A) = {}"
using \<open>A \<in> sets M\<close> sets.sets_into_space Q0 by auto
ultimately have "N A = (\<integral>\<^sup>+x. ?f x * indicator A x \<partial>M)"
using plus_emeasure[of "(\<Union>i. Q i) \<inter> A" N "Q0 \<inter> A"] by (simp add: sets_eq)
with \<open>A \<in> sets M\<close> borel Q Q0(1) show "emeasure (density M ?f) A = N A"
by (auto simp: subset_eq emeasure_density)
qed (simp add: sets_eq)
qed
qed
lemma (in sigma_finite_measure) Radon_Nikodym:
assumes ac: "absolutely_continuous M N" assumes sets_eq: "sets N = sets M"
shows "\<exists>f \<in> borel_measurable M. (\<forall>x. 0 \<le> f x) \<and> density M f = N"
proof -
from Ex_finite_integrable_function
obtain h where finite: "integral\<^sup>N M h \<noteq> \<infinity>" and
borel: "h \<in> borel_measurable M" and
nn: "\<And>x. 0 \<le> h x" and
pos: "\<And>x. x \<in> space M \<Longrightarrow> 0 < h x" and
"\<And>x. x \<in> space M \<Longrightarrow> h x < \<infinity>" by auto
let ?T = "\<lambda>A. (\<integral>\<^sup>+x. h x * indicator A x \<partial>M)"
let ?MT = "density M h"
from borel finite nn interpret T: finite_measure ?MT
by (auto intro!: finite_measureI cong: nn_integral_cong simp: emeasure_density)
have "absolutely_continuous ?MT N" "sets N = sets ?MT"
proof (unfold absolutely_continuous_def, safe)
fix A assume "A \<in> null_sets ?MT"
with borel have "A \<in> sets M" "AE x in M. x \<in> A \<longrightarrow> h x \<le> 0"
by (auto simp add: null_sets_density_iff)
with pos sets.sets_into_space have "AE x in M. x \<notin> A"
by (elim eventually_elim1) (auto simp: not_le[symmetric])
then have "A \<in> null_sets M"
using \<open>A \<in> sets M\<close> by (simp add: AE_iff_null_sets)
with ac show "A \<in> null_sets N"
by (auto simp: absolutely_continuous_def)
qed (auto simp add: sets_eq)
from T.Radon_Nikodym_finite_measure_infinite[OF this]
obtain f where f_borel: "f \<in> borel_measurable M" "\<And>x. 0 \<le> f x" "density ?MT f = N" by auto
with nn borel show ?thesis
by (auto intro!: bexI[of _ "\<lambda>x. h x * f x"] simp: density_density_eq)
qed
subsection \<open>Uniqueness of densities\<close>
lemma finite_density_unique:
assumes borel: "f \<in> borel_measurable M" "g \<in> borel_measurable M"
assumes pos: "AE x in M. 0 \<le> f x" "AE x in M. 0 \<le> g x"
and fin: "integral\<^sup>N M f \<noteq> \<infinity>"
shows "density M f = density M g \<longleftrightarrow> (AE x in M. f x = g x)"
proof (intro iffI ballI)
fix A assume eq: "AE x in M. f x = g x"
with borel show "density M f = density M g"
by (auto intro: density_cong)
next
let ?P = "\<lambda>f A. \<integral>\<^sup>+ x. f x * indicator A x \<partial>M"
assume "density M f = density M g"
with borel have eq: "\<forall>A\<in>sets M. ?P f A = ?P g A"
by (simp add: emeasure_density[symmetric])
from this[THEN bspec, OF sets.top] fin
have g_fin: "integral\<^sup>N M g \<noteq> \<infinity>" by (simp cong: nn_integral_cong)
{ fix f g assume borel: "f \<in> borel_measurable M" "g \<in> borel_measurable M"
and pos: "AE x in M. 0 \<le> f x" "AE x in M. 0 \<le> g x"
and g_fin: "integral\<^sup>N M g \<noteq> \<infinity>" and eq: "\<forall>A\<in>sets M. ?P f A = ?P g A"
let ?N = "{x\<in>space M. g x < f x}"
have N: "?N \<in> sets M" using borel by simp
have "?P g ?N \<le> integral\<^sup>N M g" using pos
by (intro nn_integral_mono_AE) (auto split: split_indicator)
then have Pg_fin: "?P g ?N \<noteq> \<infinity>" using g_fin by auto
have "?P (\<lambda>x. (f x - g x)) ?N = (\<integral>\<^sup>+x. f x * indicator ?N x - g x * indicator ?N x \<partial>M)"
by (auto intro!: nn_integral_cong simp: indicator_def)
also have "\<dots> = ?P f ?N - ?P g ?N"
proof (rule nn_integral_diff)
show "(\<lambda>x. f x * indicator ?N x) \<in> borel_measurable M" "(\<lambda>x. g x * indicator ?N x) \<in> borel_measurable M"
using borel N by auto
show "AE x in M. g x * indicator ?N x \<le> f x * indicator ?N x"
"AE x in M. 0 \<le> g x * indicator ?N x"
using pos by (auto split: split_indicator)
qed fact
also have "\<dots> = 0"
unfolding eq[THEN bspec, OF N] using nn_integral_nonneg[of M] Pg_fin by auto
finally have "AE x in M. f x \<le> g x"
using pos borel nn_integral_PInf_AE[OF borel(2) g_fin]
by (subst (asm) nn_integral_0_iff_AE)
(auto split: split_indicator simp: not_less ereal_minus_le_iff) }
from this[OF borel pos g_fin eq] this[OF borel(2,1) pos(2,1) fin] eq
show "AE x in M. f x = g x" by auto
qed
lemma (in finite_measure) density_unique_finite_measure:
assumes borel: "f \<in> borel_measurable M" "f' \<in> borel_measurable M"
assumes pos: "AE x in M. 0 \<le> f x" "AE x in M. 0 \<le> f' x"
assumes f: "\<And>A. A \<in> sets M \<Longrightarrow> (\<integral>\<^sup>+x. f x * indicator A x \<partial>M) = (\<integral>\<^sup>+x. f' x * indicator A x \<partial>M)"
(is "\<And>A. A \<in> sets M \<Longrightarrow> ?P f A = ?P f' A")
shows "AE x in M. f x = f' x"
proof -
let ?D = "\<lambda>f. density M f"
let ?N = "\<lambda>A. ?P f A" and ?N' = "\<lambda>A. ?P f' A"
let ?f = "\<lambda>A x. f x * indicator A x" and ?f' = "\<lambda>A x. f' x * indicator A x"
have ac: "absolutely_continuous M (density M f)" "sets (density M f) = sets M"
using borel by (auto intro!: absolutely_continuousI_density)
from split_space_into_finite_sets_and_rest[OF this]
obtain Q0 and Q :: "nat \<Rightarrow> 'a set"
where Q: "disjoint_family Q" "range Q \<subseteq> sets M"
and Q0: "Q0 \<in> sets M" "Q0 = space M - (\<Union>i. Q i)"
and in_Q0: "\<And>A. A \<in> sets M \<Longrightarrow> A \<subseteq> Q0 \<Longrightarrow> emeasure M A = 0 \<and> ?D f A = 0 \<or> 0 < emeasure M A \<and> ?D f A = \<infinity>"
and Q_fin: "\<And>i. ?D f (Q i) \<noteq> \<infinity>" by force
with borel pos have in_Q0: "\<And>A. A \<in> sets M \<Longrightarrow> A \<subseteq> Q0 \<Longrightarrow> emeasure M A = 0 \<and> ?N A = 0 \<or> 0 < emeasure M A \<and> ?N A = \<infinity>"
and Q_fin: "\<And>i. ?N (Q i) \<noteq> \<infinity>" by (auto simp: emeasure_density subset_eq)
from Q have Q_sets: "\<And>i. Q i \<in> sets M" by auto
let ?D = "{x\<in>space M. f x \<noteq> f' x}"
have "?D \<in> sets M" using borel by auto
have *: "\<And>i x A. \<And>y::ereal. y * indicator (Q i) x * indicator A x = y * indicator (Q i \<inter> A) x"
unfolding indicator_def by auto
have "\<forall>i. AE x in M. ?f (Q i) x = ?f' (Q i) x" using borel Q_fin Q pos
by (intro finite_density_unique[THEN iffD1] allI)
(auto intro!: f measure_eqI simp: emeasure_density * subset_eq)
moreover have "AE x in M. ?f Q0 x = ?f' Q0 x"
proof (rule AE_I')
{ fix f :: "'a \<Rightarrow> ereal" assume borel: "f \<in> borel_measurable M"
and eq: "\<And>A. A \<in> sets M \<Longrightarrow> ?N A = (\<integral>\<^sup>+x. f x * indicator A x \<partial>M)"
let ?A = "\<lambda>i. Q0 \<inter> {x \<in> space M. f x < (i::nat)}"
have "(\<Union>i. ?A i) \<in> null_sets M"
proof (rule null_sets_UN)
fix i ::nat have "?A i \<in> sets M"
using borel Q0(1) by auto
have "?N (?A i) \<le> (\<integral>\<^sup>+x. (i::ereal) * indicator (?A i) x \<partial>M)"
unfolding eq[OF \<open>?A i \<in> sets M\<close>]
by (auto intro!: nn_integral_mono simp: indicator_def)
also have "\<dots> = i * emeasure M (?A i)"
using \<open>?A i \<in> sets M\<close> by (auto intro!: nn_integral_cmult_indicator)
also have "\<dots> < \<infinity>" using emeasure_real[of "?A i"] by simp
finally have "?N (?A i) \<noteq> \<infinity>" by simp
then show "?A i \<in> null_sets M" using in_Q0[OF \<open>?A i \<in> sets M\<close>] \<open>?A i \<in> sets M\<close> by auto
qed
also have "(\<Union>i. ?A i) = Q0 \<inter> {x\<in>space M. f x \<noteq> \<infinity>}"
by (auto simp: less_PInf_Ex_of_nat)
finally have "Q0 \<inter> {x\<in>space M. f x \<noteq> \<infinity>} \<in> null_sets M" by simp }
from this[OF borel(1) refl] this[OF borel(2) f]
have "Q0 \<inter> {x\<in>space M. f x \<noteq> \<infinity>} \<in> null_sets M" "Q0 \<inter> {x\<in>space M. f' x \<noteq> \<infinity>} \<in> null_sets M" by simp_all
then show "(Q0 \<inter> {x\<in>space M. f x \<noteq> \<infinity>}) \<union> (Q0 \<inter> {x\<in>space M. f' x \<noteq> \<infinity>}) \<in> null_sets M" by (rule null_sets.Un)
show "{x \<in> space M. ?f Q0 x \<noteq> ?f' Q0 x} \<subseteq>
(Q0 \<inter> {x\<in>space M. f x \<noteq> \<infinity>}) \<union> (Q0 \<inter> {x\<in>space M. f' x \<noteq> \<infinity>})" by (auto simp: indicator_def)
qed
moreover have "AE x in M. (?f Q0 x = ?f' Q0 x) \<longrightarrow> (\<forall>i. ?f (Q i) x = ?f' (Q i) x) \<longrightarrow>
?f (space M) x = ?f' (space M) x"
by (auto simp: indicator_def Q0)
ultimately have "AE x in M. ?f (space M) x = ?f' (space M) x"
unfolding AE_all_countable[symmetric]
by eventually_elim (auto intro!: AE_I2 split: split_if_asm simp: indicator_def)
then show "AE x in M. f x = f' x" by auto
qed
lemma (in sigma_finite_measure) density_unique:
assumes f: "f \<in> borel_measurable M" "AE x in M. 0 \<le> f x"
assumes f': "f' \<in> borel_measurable M" "AE x in M. 0 \<le> f' x"
assumes density_eq: "density M f = density M f'"
shows "AE x in M. f x = f' x"
proof -
obtain h where h_borel: "h \<in> borel_measurable M"
and fin: "integral\<^sup>N M h \<noteq> \<infinity>" and pos: "\<And>x. x \<in> space M \<Longrightarrow> 0 < h x \<and> h x < \<infinity>" "\<And>x. 0 \<le> h x"
using Ex_finite_integrable_function by auto
then have h_nn: "AE x in M. 0 \<le> h x" by auto
let ?H = "density M h"
interpret h: finite_measure ?H
using fin h_borel pos
by (intro finite_measureI) (simp cong: nn_integral_cong emeasure_density add: fin)
let ?fM = "density M f"
let ?f'M = "density M f'"
{ fix A assume "A \<in> sets M"
then have "{x \<in> space M. h x * indicator A x \<noteq> 0} = A"
using pos(1) sets.sets_into_space by (force simp: indicator_def)
then have "(\<integral>\<^sup>+x. h x * indicator A x \<partial>M) = 0 \<longleftrightarrow> A \<in> null_sets M"
using h_borel \<open>A \<in> sets M\<close> h_nn by (subst nn_integral_0_iff) auto }
note h_null_sets = this
{ fix A assume "A \<in> sets M"
have "(\<integral>\<^sup>+x. f x * (h x * indicator A x) \<partial>M) = (\<integral>\<^sup>+x. h x * indicator A x \<partial>?fM)"
using \<open>A \<in> sets M\<close> h_borel h_nn f f'
by (intro nn_integral_density[symmetric]) auto
also have "\<dots> = (\<integral>\<^sup>+x. h x * indicator A x \<partial>?f'M)"
by (simp_all add: density_eq)
also have "\<dots> = (\<integral>\<^sup>+x. f' x * (h x * indicator A x) \<partial>M)"
using \<open>A \<in> sets M\<close> h_borel h_nn f f'
by (intro nn_integral_density) auto
finally have "(\<integral>\<^sup>+x. h x * (f x * indicator A x) \<partial>M) = (\<integral>\<^sup>+x. h x * (f' x * indicator A x) \<partial>M)"
by (simp add: ac_simps)
then have "(\<integral>\<^sup>+x. (f x * indicator A x) \<partial>?H) = (\<integral>\<^sup>+x. (f' x * indicator A x) \<partial>?H)"
using \<open>A \<in> sets M\<close> h_borel h_nn f f'
by (subst (asm) (1 2) nn_integral_density[symmetric]) auto }
then have "AE x in ?H. f x = f' x" using h_borel h_nn f f'
by (intro h.density_unique_finite_measure absolutely_continuous_AE[of M])
(auto simp add: AE_density)
then show "AE x in M. f x = f' x"
unfolding eventually_ae_filter using h_borel pos
by (auto simp add: h_null_sets null_sets_density_iff not_less[symmetric]
AE_iff_null_sets[symmetric]) blast
qed
lemma (in sigma_finite_measure) density_unique_iff:
assumes f: "f \<in> borel_measurable M" and "AE x in M. 0 \<le> f x"
assumes f': "f' \<in> borel_measurable M" and "AE x in M. 0 \<le> f' x"
shows "density M f = density M f' \<longleftrightarrow> (AE x in M. f x = f' x)"
using density_unique[OF assms] density_cong[OF f f'] by auto
lemma sigma_finite_density_unique:
assumes borel: "f \<in> borel_measurable M" "g \<in> borel_measurable M"
assumes pos: "AE x in M. 0 \<le> f x" "AE x in M. 0 \<le> g x"
and fin: "sigma_finite_measure (density M f)"
shows "density M f = density M g \<longleftrightarrow> (AE x in M. f x = g x)"
proof
assume "AE x in M. f x = g x" with borel show "density M f = density M g"
by (auto intro: density_cong)
next
assume eq: "density M f = density M g"
interpret f: sigma_finite_measure "density M f" by fact
from f.sigma_finite_incseq guess A . note cover = this
have "AE x in M. \<forall>i. x \<in> A i \<longrightarrow> f x = g x"
unfolding AE_all_countable
proof
fix i
have "density (density M f) (indicator (A i)) = density (density M g) (indicator (A i))"
unfolding eq ..
moreover have "(\<integral>\<^sup>+x. f x * indicator (A i) x \<partial>M) \<noteq> \<infinity>"
using cover(1) cover(3)[of i] borel by (auto simp: emeasure_density subset_eq)
ultimately have "AE x in M. f x * indicator (A i) x = g x * indicator (A i) x"
using borel pos cover(1) pos
by (intro finite_density_unique[THEN iffD1])
(auto simp: density_density_eq subset_eq)
then show "AE x in M. x \<in> A i \<longrightarrow> f x = g x"
by auto
qed
with AE_space show "AE x in M. f x = g x"
apply eventually_elim
using cover(2)[symmetric]
apply auto
done
qed
lemma (in sigma_finite_measure) sigma_finite_iff_density_finite':
assumes f: "f \<in> borel_measurable M" "AE x in M. 0 \<le> f x"
shows "sigma_finite_measure (density M f) \<longleftrightarrow> (AE x in M. f x \<noteq> \<infinity>)"
(is "sigma_finite_measure ?N \<longleftrightarrow> _")
proof
assume "sigma_finite_measure ?N"
then interpret N: sigma_finite_measure ?N .
from N.Ex_finite_integrable_function obtain h where
h: "h \<in> borel_measurable M" "integral\<^sup>N ?N h \<noteq> \<infinity>" and
h_nn: "\<And>x. 0 \<le> h x" and
fin: "\<forall>x\<in>space M. 0 < h x \<and> h x < \<infinity>" by auto
have "AE x in M. f x * h x \<noteq> \<infinity>"
proof (rule AE_I')
have "integral\<^sup>N ?N h = (\<integral>\<^sup>+x. f x * h x \<partial>M)" using f h h_nn
by (auto intro!: nn_integral_density)
then have "(\<integral>\<^sup>+x. f x * h x \<partial>M) \<noteq> \<infinity>"
using h(2) by simp
then show "(\<lambda>x. f x * h x) -` {\<infinity>} \<inter> space M \<in> null_sets M"
using f h(1) by (auto intro!: nn_integral_PInf borel_measurable_vimage)
qed auto
then show "AE x in M. f x \<noteq> \<infinity>"
using fin by (auto elim!: AE_Ball_mp)
next
assume AE: "AE x in M. f x \<noteq> \<infinity>"
from sigma_finite guess Q . note Q = this
def A \<equiv> "\<lambda>i. f -` (case i of 0 \<Rightarrow> {\<infinity>} | Suc n \<Rightarrow> {.. ereal(of_nat (Suc n))}) \<inter> space M"
{ fix i j have "A i \<inter> Q j \<in> sets M"
unfolding A_def using f Q
apply (rule_tac sets.Int)
by (cases i) (auto intro: measurable_sets[OF f(1)]) }
note A_in_sets = this
show "sigma_finite_measure ?N"
proof (standard, intro exI conjI ballI)
show "countable (range (\<lambda>(i, j). A i \<inter> Q j))"
by auto
show "range (\<lambda>(i, j). A i \<inter> Q j) \<subseteq> sets (density M f)"
using A_in_sets by auto
next
have "\<Union>range (\<lambda>(i, j). A i \<inter> Q j) = (\<Union>i j. A i \<inter> Q j)"
by auto
also have "\<dots> = (\<Union>i. A i) \<inter> space M" using Q by auto
also have "(\<Union>i. A i) = space M"
proof safe
fix x assume x: "x \<in> space M"
show "x \<in> (\<Union>i. A i)"
proof (cases "f x")
case PInf with x show ?thesis unfolding A_def by (auto intro: exI[of _ 0])
next
case (real r)
with less_PInf_Ex_of_nat[of "f x"] obtain n :: nat where "f x < n" by auto
then show ?thesis using x real unfolding A_def by (auto intro!: exI[of _ "Suc n"])
next
case MInf with x show ?thesis
unfolding A_def by (auto intro!: exI[of _ "Suc 0"])
qed
qed (auto simp: A_def)
finally show "\<Union>range (\<lambda>(i, j). A i \<inter> Q j) = space ?N" by simp
next
fix X assume "X \<in> range (\<lambda>(i, j). A i \<inter> Q j)"
then obtain i j where [simp]:"X = A i \<inter> Q j" by auto
have "(\<integral>\<^sup>+x. f x * indicator (A i \<inter> Q j) x \<partial>M) \<noteq> \<infinity>"
proof (cases i)
case 0
have "AE x in M. f x * indicator (A i \<inter> Q j) x = 0"
using AE by (auto simp: A_def \<open>i = 0\<close>)
from nn_integral_cong_AE[OF this] show ?thesis by simp
next
case (Suc n)
then have "(\<integral>\<^sup>+x. f x * indicator (A i \<inter> Q j) x \<partial>M) \<le>
(\<integral>\<^sup>+x. (Suc n :: ereal) * indicator (Q j) x \<partial>M)"
by (auto intro!: nn_integral_mono simp: indicator_def A_def)
also have "\<dots> = Suc n * emeasure M (Q j)"
using Q by (auto intro!: nn_integral_cmult_indicator)
also have "\<dots> < \<infinity>"
using Q by auto
finally show ?thesis by simp
qed
then show "emeasure ?N X \<noteq> \<infinity>"
using A_in_sets Q f by (auto simp: emeasure_density)
qed
qed
lemma (in sigma_finite_measure) sigma_finite_iff_density_finite:
"f \<in> borel_measurable M \<Longrightarrow> sigma_finite_measure (density M f) \<longleftrightarrow> (AE x in M. f x \<noteq> \<infinity>)"
apply (subst density_max_0)
apply (subst sigma_finite_iff_density_finite')
apply (auto simp: max_def intro!: measurable_If)
done
subsection \<open>Radon-Nikodym derivative\<close>
definition RN_deriv :: "'a measure \<Rightarrow> 'a measure \<Rightarrow> 'a \<Rightarrow> ereal" where
"RN_deriv M N =
(if \<exists>f. f \<in> borel_measurable M \<and> (\<forall>x. 0 \<le> f x) \<and> density M f = N
then SOME f. f \<in> borel_measurable M \<and> (\<forall>x. 0 \<le> f x) \<and> density M f = N
else (\<lambda>_. 0))"
lemma RN_derivI:
assumes "f \<in> borel_measurable M" "\<And>x. 0 \<le> f x" "density M f = N"
shows "density M (RN_deriv M N) = N"
proof -
have "\<exists>f. f \<in> borel_measurable M \<and> (\<forall>x. 0 \<le> f x) \<and> density M f = N"
using assms by auto
moreover then have "density M (SOME f. f \<in> borel_measurable M \<and> (\<forall>x. 0 \<le> f x) \<and> density M f = N) = N"
by (rule someI2_ex) auto
ultimately show ?thesis
by (auto simp: RN_deriv_def)
qed
lemma
shows borel_measurable_RN_deriv[measurable]: "RN_deriv M N \<in> borel_measurable M" (is ?m)
and RN_deriv_nonneg: "0 \<le> RN_deriv M N x" (is ?nn)
proof -
{ assume ex: "\<exists>f. f \<in> borel_measurable M \<and> (\<forall>x. 0 \<le> f x) \<and> density M f = N"
have 1: "(SOME f. f \<in> borel_measurable M \<and> (\<forall>x. 0 \<le> f x) \<and> density M f = N) \<in> borel_measurable M"
using ex by (rule someI2_ex) auto
moreover
have 2: "0 \<le> (SOME f. f \<in> borel_measurable M \<and> (\<forall>x. 0 \<le> f x) \<and> density M f = N) x"
using ex by (rule someI2_ex) auto
note 1 2 }
from this show ?m ?nn
by (auto simp: RN_deriv_def)
qed
lemma density_RN_deriv_density:
assumes f: "f \<in> borel_measurable M" "AE x in M. 0 \<le> f x"
shows "density M (RN_deriv M (density M f)) = density M f"
proof (rule RN_derivI)
show "(\<lambda>x. max 0 (f x)) \<in> borel_measurable M" "\<And>x. 0 \<le> max 0 (f x)"
using f by auto
show "density M (\<lambda>x. max 0 (f x)) = density M f"
using f by (intro density_cong) (auto simp: max_def)
qed
lemma (in sigma_finite_measure) density_RN_deriv:
"absolutely_continuous M N \<Longrightarrow> sets N = sets M \<Longrightarrow> density M (RN_deriv M N) = N"
by (metis RN_derivI Radon_Nikodym)
lemma (in sigma_finite_measure) RN_deriv_nn_integral:
assumes N: "absolutely_continuous M N" "sets N = sets M"
and f: "f \<in> borel_measurable M"
shows "integral\<^sup>N N f = (\<integral>\<^sup>+x. RN_deriv M N x * f x \<partial>M)"
proof -
have "integral\<^sup>N N f = integral\<^sup>N (density M (RN_deriv M N)) f"
using N by (simp add: density_RN_deriv)
also have "\<dots> = (\<integral>\<^sup>+x. RN_deriv M N x * f x \<partial>M)"
using f by (simp add: nn_integral_density RN_deriv_nonneg)
finally show ?thesis by simp
qed
lemma null_setsD_AE: "N \<in> null_sets M \<Longrightarrow> AE x in M. x \<notin> N"
using AE_iff_null_sets[of N M] by auto
lemma (in sigma_finite_measure) RN_deriv_unique:
assumes f: "f \<in> borel_measurable M" "AE x in M. 0 \<le> f x"
and eq: "density M f = N"
shows "AE x in M. f x = RN_deriv M N x"
unfolding eq[symmetric]
by (intro density_unique_iff[THEN iffD1] f borel_measurable_RN_deriv
RN_deriv_nonneg[THEN AE_I2] density_RN_deriv_density[symmetric])
lemma RN_deriv_unique_sigma_finite:
assumes f: "f \<in> borel_measurable M" "AE x in M. 0 \<le> f x"
and eq: "density M f = N" and fin: "sigma_finite_measure N"
shows "AE x in M. f x = RN_deriv M N x"
using fin unfolding eq[symmetric]
by (intro sigma_finite_density_unique[THEN iffD1] f borel_measurable_RN_deriv
RN_deriv_nonneg[THEN AE_I2] density_RN_deriv_density[symmetric])
lemma (in sigma_finite_measure) RN_deriv_distr:
fixes T :: "'a \<Rightarrow> 'b"
assumes T: "T \<in> measurable M M'" and T': "T' \<in> measurable M' M"
and inv: "\<forall>x\<in>space M. T' (T x) = x"
and ac[simp]: "absolutely_continuous (distr M M' T) (distr N M' T)"
and N: "sets N = sets M"
shows "AE x in M. RN_deriv (distr M M' T) (distr N M' T) (T x) = RN_deriv M N x"
proof (rule RN_deriv_unique)
have [simp]: "sets N = sets M" by fact
note sets_eq_imp_space_eq[OF N, simp]
have measurable_N[simp]: "\<And>M'. measurable N M' = measurable M M'" by (auto simp: measurable_def)
{ fix A assume "A \<in> sets M"
with inv T T' sets.sets_into_space[OF this]
have "T -` T' -` A \<inter> T -` space M' \<inter> space M = A"
by (auto simp: measurable_def) }
note eq = this[simp]
{ fix A assume "A \<in> sets M"
with inv T T' sets.sets_into_space[OF this]
have "(T' \<circ> T) -` A \<inter> space M = A"
by (auto simp: measurable_def) }
note eq2 = this[simp]
let ?M' = "distr M M' T" and ?N' = "distr N M' T"
interpret M': sigma_finite_measure ?M'
proof
from sigma_finite_countable guess F .. note F = this
show "\<exists>A. countable A \<and> A \<subseteq> sets (distr M M' T) \<and> \<Union>A = space (distr M M' T) \<and> (\<forall>a\<in>A. emeasure (distr M M' T) a \<noteq> \<infinity>)"
proof (intro exI conjI ballI)
show *: "(\<lambda>A. T' -` A \<inter> space ?M') ` F \<subseteq> sets ?M'"
using F T' by (auto simp: measurable_def)
show "\<Union>((\<lambda>A. T' -` A \<inter> space ?M')`F) = space ?M'"
using F T'[THEN measurable_space] by (auto simp: set_eq_iff)
next
fix X assume "X \<in> (\<lambda>A. T' -` A \<inter> space ?M')`F"
then obtain A where [simp]: "X = T' -` A \<inter> space ?M'" and "A \<in> F" by auto
have "X \<in> sets M'" using F T' \<open>A\<in>F\<close> by auto
moreover
have Fi: "A \<in> sets M" using F \<open>A\<in>F\<close> by auto
ultimately show "emeasure ?M' X \<noteq> \<infinity>"
using F T T' \<open>A\<in>F\<close> by (simp add: emeasure_distr)
qed (insert F, auto)
qed
have "(RN_deriv ?M' ?N') \<circ> T \<in> borel_measurable M"
using T ac by measurable
then show "(\<lambda>x. RN_deriv ?M' ?N' (T x)) \<in> borel_measurable M"
by (simp add: comp_def)
show "AE x in M. 0 \<le> RN_deriv ?M' ?N' (T x)" by (auto intro: RN_deriv_nonneg)
have "N = distr N M (T' \<circ> T)"
by (subst measure_of_of_measure[of N, symmetric])
(auto simp add: distr_def sets.sigma_sets_eq intro!: measure_of_eq sets.space_closed)
also have "\<dots> = distr (distr N M' T) M T'"
using T T' by (simp add: distr_distr)
also have "\<dots> = distr (density (distr M M' T) (RN_deriv (distr M M' T) (distr N M' T))) M T'"
using ac by (simp add: M'.density_RN_deriv)
also have "\<dots> = density M (RN_deriv (distr M M' T) (distr N M' T) \<circ> T)"
by (simp add: distr_density_distr[OF T T', OF inv])
finally show "density M (\<lambda>x. RN_deriv (distr M M' T) (distr N M' T) (T x)) = N"
by (simp add: comp_def)
qed
lemma (in sigma_finite_measure) RN_deriv_finite:
assumes N: "sigma_finite_measure N" and ac: "absolutely_continuous M N" "sets N = sets M"
shows "AE x in M. RN_deriv M N x \<noteq> \<infinity>"
proof -
interpret N: sigma_finite_measure N by fact
from N show ?thesis
using sigma_finite_iff_density_finite[OF borel_measurable_RN_deriv, of N]
density_RN_deriv[OF ac]
by (simp add: RN_deriv_nonneg)
qed
lemma (in sigma_finite_measure)
assumes N: "sigma_finite_measure N" and ac: "absolutely_continuous M N" "sets N = sets M"
and f: "f \<in> borel_measurable M"
shows RN_deriv_integrable: "integrable N f \<longleftrightarrow>
integrable M (\<lambda>x. real_of_ereal (RN_deriv M N x) * f x)" (is ?integrable)
and RN_deriv_integral: "integral\<^sup>L N f = (\<integral>x. real_of_ereal (RN_deriv M N x) * f x \<partial>M)" (is ?integral)
proof -
note ac(2)[simp] and sets_eq_imp_space_eq[OF ac(2), simp]
interpret N: sigma_finite_measure N by fact
have eq: "density M (RN_deriv M N) = density M (\<lambda>x. real_of_ereal (RN_deriv M N x))"
proof (rule density_cong)
from RN_deriv_finite[OF assms(1,2,3)]
show "AE x in M. RN_deriv M N x = ereal (real_of_ereal (RN_deriv M N x))"
by eventually_elim (insert RN_deriv_nonneg[of M N], auto simp: ereal_real)
qed (insert ac, auto)
show ?integrable
apply (subst density_RN_deriv[OF ac, symmetric])
unfolding eq
apply (intro integrable_real_density f AE_I2 real_of_ereal_pos RN_deriv_nonneg)
apply (insert ac, auto)
done
show ?integral
apply (subst density_RN_deriv[OF ac, symmetric])
unfolding eq
apply (intro integral_real_density f AE_I2 real_of_ereal_pos RN_deriv_nonneg)
apply (insert ac, auto)
done
qed
lemma (in sigma_finite_measure) real_RN_deriv:
assumes "finite_measure N"
assumes ac: "absolutely_continuous M N" "sets N = sets M"
obtains D where "D \<in> borel_measurable M"
and "AE x in M. RN_deriv M N x = ereal (D x)"
and "AE x in N. 0 < D x"
and "\<And>x. 0 \<le> D x"
proof
interpret N: finite_measure N by fact
note RN = borel_measurable_RN_deriv density_RN_deriv[OF ac] RN_deriv_nonneg[of M N]
let ?RN = "\<lambda>t. {x \<in> space M. RN_deriv M N x = t}"
show "(\<lambda>x. real_of_ereal (RN_deriv M N x)) \<in> borel_measurable M"
using RN by auto
have "N (?RN \<infinity>) = (\<integral>\<^sup>+ x. RN_deriv M N x * indicator (?RN \<infinity>) x \<partial>M)"
using RN(1,3) by (subst RN(2)[symmetric]) (auto simp: emeasure_density)
also have "\<dots> = (\<integral>\<^sup>+ x. \<infinity> * indicator (?RN \<infinity>) x \<partial>M)"
by (intro nn_integral_cong) (auto simp: indicator_def)
also have "\<dots> = \<infinity> * emeasure M (?RN \<infinity>)"
using RN by (intro nn_integral_cmult_indicator) auto
finally have eq: "N (?RN \<infinity>) = \<infinity> * emeasure M (?RN \<infinity>)" .
moreover
have "emeasure M (?RN \<infinity>) = 0"
proof (rule ccontr)
assume "emeasure M {x \<in> space M. RN_deriv M N x = \<infinity>} \<noteq> 0"
moreover from RN have "0 \<le> emeasure M {x \<in> space M. RN_deriv M N x = \<infinity>}" by auto
ultimately have "0 < emeasure M {x \<in> space M. RN_deriv M N x = \<infinity>}" by auto
with eq have "N (?RN \<infinity>) = \<infinity>" by simp
with N.emeasure_finite[of "?RN \<infinity>"] RN show False by auto
qed
ultimately have "AE x in M. RN_deriv M N x < \<infinity>"
using RN by (intro AE_iff_measurable[THEN iffD2]) auto
then show "AE x in M. RN_deriv M N x = ereal (real_of_ereal (RN_deriv M N x))"
using RN(3) by (auto simp: ereal_real)
then have eq: "AE x in N. RN_deriv M N x = ereal (real_of_ereal (RN_deriv M N x))"
using ac absolutely_continuous_AE by auto
show "\<And>x. 0 \<le> real_of_ereal (RN_deriv M N x)"
using RN by (auto intro: real_of_ereal_pos)
have "N (?RN 0) = (\<integral>\<^sup>+ x. RN_deriv M N x * indicator (?RN 0) x \<partial>M)"
using RN(1,3) by (subst RN(2)[symmetric]) (auto simp: emeasure_density)
also have "\<dots> = (\<integral>\<^sup>+ x. 0 \<partial>M)"
by (intro nn_integral_cong) (auto simp: indicator_def)
finally have "AE x in N. RN_deriv M N x \<noteq> 0"
using RN by (subst AE_iff_measurable[OF _ refl]) (auto simp: ac cong: sets_eq_imp_space_eq)
with RN(3) eq show "AE x in N. 0 < real_of_ereal (RN_deriv M N x)"
by (auto simp: zero_less_real_of_ereal le_less)
qed
lemma (in sigma_finite_measure) RN_deriv_singleton:
assumes ac: "absolutely_continuous M N" "sets N = sets M"
and x: "{x} \<in> sets M"
shows "N {x} = RN_deriv M N x * emeasure M {x}"
proof -
from \<open>{x} \<in> sets M\<close>
have "density M (RN_deriv M N) {x} = (\<integral>\<^sup>+w. RN_deriv M N x * indicator {x} w \<partial>M)"
by (auto simp: indicator_def emeasure_density intro!: nn_integral_cong)
with x density_RN_deriv[OF ac] RN_deriv_nonneg[of M N] show ?thesis
by (auto simp: nn_integral_cmult_indicator)
qed
end