Editing Radon measure

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In [[mathematics]] (specifically in [[measure theory]]), a '''Radon measure''', named after [[Johann Radon]], is a [[measure (mathematics)|measure]] on the [[sigma algebra|{{mvar|σ}}-algebra]] of [[Borel set]]s of a [[Hausdorff topological space]] {{mvar|X}} that is finite on all [[compact space|compact]] sets, [[Regular measure|outer regular]] on all Borel sets, and [[Regular measure|inner regular]] on [[open set|open]] sets.<ref>{{harvnb|Folland|1999|p=[https://archive.org/details/realanalysismode00foll_670/page/n224 212]}}</ref> These conditions guarantee that the measure is  "compatible" with the topology of the space, and most measures used in [[mathematical analysis]] and in [[number theory]] are indeed Radon measures.

==Motivation==

A common problem is to find a good notion of a measure on a [[topological space]] that is compatible with the topology in some sense. One way to do this is to define a measure on the [[Borel set]]s of the topological space. In general there are several problems with this: for example, such a measure may not have a well defined [[support (measure theory)|support]]. Another approach to measure theory is to restrict to [[locally compact space|locally compact]] [[Hausdorff space]]s, and only consider the measures that correspond to positive [[linear functional]]s on the space of [[continuous function]]s with compact support (some authors use this as the definition of a Radon measure). This produces a good theory with no pathological problems, but does not apply to spaces that are not locally compact. If there is no restriction to non-negative measures and complex measures are allowed, then Radon measures can be defined as the continuous dual space on the space of [[continuous function]]s with compact support. If such a Radon measure is real then it can be decomposed into the difference of two positive measures. Furthermore, an arbitrary Radon measure can be decomposed into four positive Radon measures, where the real and imaginary parts of the functional are each the differences of two positive Radon measures.

The theory of Radon measures has most of the good properties of the usual theory for locally compact spaces, but applies to all Hausdorff topological spaces. The idea of the definition of a Radon measure is to find some properties that characterize the measures on locally compact spaces corresponding to positive functionals, and use these properties as the definition of a Radon measure on an arbitrary Hausdorff space.

==Definitions==

Let {{mvar|m}} be a measure on the {{mvar|σ}}-algebra of [[Borel set|Borel sets]] of a Hausdorff topological space {{mvar|X}}.
* The measure {{mvar|m}} is called '''[[inner regular measure|inner regular]]''' or '''tight''' if, for every open set {{mvar|U}}, {{math|''m''(''U'')}} equals the [[supremum]] of {{math|''m''(''K'')}} over all compact subsets {{mvar|K}} of {{mvar|U}}.
* The measure {{mvar|m}} is called '''[[regular measure|outer regular]]''' if, for every Borel set {{mvar|B}}, {{math|''m''(''B'')}} equals the [[infimum]] of {{math|''m''(''U'')}} over all open sets {{mvar|U}} containing {{mvar|B}}.
* The measure {{mvar|m}} is called '''[[locally finite measure|locally finite]]''' if every point of {{mvar|X}} has a neighborhood {{mvar|U}} for which {{math|''m''(''U'')}} is finite.

If {{mvar|m}} is locally finite, then it follows that {{mvar|m}} is finite on compact sets, and for locally compact Hausdorff spaces, the converse holds, too. Thus, in this case, local finiteness may be equivalently replaced by finiteness on compact subsets.

The measure {{mvar|m}} is called a '''Radon measure''' if it is inner regular and locally finite.  In many situations, such as finite measures on locally compact spaces, this also implies outer regularity (see also [[Radon measure#Radon spaces|Radon spaces]]).

(It is possible to extend the theory of Radon measures to non-Hausdorff spaces, essentially by replacing the word "compact" by "closed compact" everywhere. However, there seem to be almost no applications of this extension.)

==Radon measures on locally compact spaces==

When the underlying measure space is a [[locally compact]] topological space, the definition of a Radon measure can be expressed in terms of [[continuous function|continuous]] [[linear map|linear]] functionals on the space of [[continuous function]]s  with [[support (mathematics)#Compact support|compact support]]. This makes it possible to develop measure and integration in terms of [[functional analysis]], an approach taken by Bourbaki and a number of other authors.<ref>{{harvnb|Bourbaki|2004a}}</ref>

===Measures===

In what follows {{mvar|X}} denotes a locally compact topological space. The continuous [[real-valued function]]s with [[support (mathematics)#Compact support|compact support]] on {{mvar|X}} form a [[vector space]] {{math|1={{mathcal|K}}(''X'') = ''C''<sub>''c''</sub>(''X'')}}, which can be given a natural [[locally convex space|locally convex]] topology. Indeed, {{math|{{mathcal|K}}(''X'')}} is the union of the spaces {{math|{{mathcal|K}}(''X'', ''K'')}} of continuous functions with support contained in [[compact space|compact]] sets {{mvar|K}}. Each of the spaces {{math|{{mathcal|K}}(''X'', ''K'')}} carries naturally the topology of [[uniform convergence]], which makes it into a [[Banach space]]. But as a union of topological spaces is a special case of a [[direct limit]] of topological spaces, the space {{math|{{mathcal|K}}(''X'')}} can be equipped with the direct limit [[Locally convex topological vector space|locally convex]] topology induced by the spaces {{math|{{mathcal|K}}(''X'', ''K'')}}; this topology is finer than the topology of uniform convergence.

If {{mvar|m}} is a Radon measure on <math>X,</math> then the mapping{{sfn|Bogachev|2007|pp=111-117}}
<math display="block">I : f \mapsto \int f(x)\, m(dx)</math>

is a ''continuous'' positive linear map from {{math|{{mathcal|K}}(''X'')}} to {{math|'''R'''}}.  Positivity means that {{math|''I''(''f'') ≥ 0}} whenever {{mvar|f}} is a non-negative function.  Continuity with respect to the direct limit topology defined above is equivalent to the following condition: for every compact subset {{mvar|K}} of {{mvar|X}} there exists a constant {{mvar|M<sub>K</sub>}} such that, for every continuous real-valued function {{mvar|f}} on {{mvar|X}} with {{em|support contained in {{mvar|K}}}},
<math display="block">|I(f)| \leq M_K  \sup_{x\in X} |f(x)|.</math>

Conversely, by the [[Riesz–Markov–Kakutani representation theorem]], each {{em|positive}} linear form on {{math|{{mathcal|K}}(''X'')}} arises as integration with respect to a unique regular Borel measure.

A '''real-valued Radon measure''' is defined to be {{em|any}} continuous linear form on {{math|{{mathcal|K}}(''X'')}}; they are precisely the differences of  two Radon measures. This gives an identification of real-valued Radon measures with the [[dual space]] of the [[locally convex space]] {{math|{{mathcal|K}}(''X'')}}. These real-valued Radon measures need not be [[signed measure]]s. For example, {{math|sin(''x''){{thinsp}}''dx''}} is a real-valued Radon measure, but is not even an extended signed measure as it cannot be written as the difference of two measures at least one of which is finite.

Some authors use the preceding approach to define '''positive Radon measures''' to be the positive linear forms on {{math|{{mathcal|K}}(''X'')}}.{{sfn|Treves|2006|pp=211,216-218}} In this set-up it is common to use a terminology in which Radon measures in the above sense are called ''positive'' measures and real-valued Radon measures as above are called (real) measures.

===Integration===

To complete the buildup of measure theory for locally compact spaces from the functional-analytic viewpoint, it is necessary to extend measure (integral) from compactly supported continuous functions. This can be done for real or complex-valued functions in several steps as follows:
# Definition of the '''upper integral''' {{math|''μ''*(''g'')}} of a [[lower semicontinuous]] positive (real-valued) function {{mvar|g}} as the [[supremum]] (possibly infinite) of the positive numbers {{math|''μ''(''h'')}} for compactly supported continuous functions {{math|''h'' ≤ ''g''}};
# Definition of the upper integral {{math|''μ''*(''f'')}} for an arbitrary positive (real-valued) function {{mvar|f}} as the infimum of upper integrals {{math|''μ''*(''g'')}} for lower semi-continuous functions {{math|''g'' ≥ ''f''}};
# Definition of the vector space {{math|1=''F'' = ''F''(''X'', ''μ'')}} as the space of all functions {{mvar|f}} on {{mvar|X}} for which the upper integral {{math|''μ''*({{abs|''f''}})}} of the absolute value is finite; the upper integral of the absolute value defines a [[semi-norm]] on {{mvar|F}}, and {{mvar|F}} is a [[complete space]] with respect to the topology defined by the semi-norm;
# Definition of the space {{math|''L''<sup>1</sup>(''X'', ''μ'')}} of '''integrable functions''' as the [[closure (topology)|closure]] inside {{mvar|F}} of the space of continuous compactly supported functions.
# Definition of the '''integral''' for functions in {{math|''L''<sup>1</sup>(''X'', ''μ'')}} as extension by continuity (after verifying that {{mvar|μ}} is continuous with respect to the topology of {{math|''L''<sup>1</sup>(''X'', ''μ'')}});
# Definition of the measure of a set as the integral (when it exists) of the [[indicator function]] of the set.

It is possible to verify that these steps produce a theory identical with the one that starts from a Radon measure defined as a function that assigns a number to each [[Borel set]] of {{mvar|X}}.

The [[Lebesgue measure]] on {{math|'''R'''}} can be introduced by a few ways in this functional-analytic set-up. First, it is possibly to rely on an "elementary" integral such as the [[Daniell integral]] or the [[Riemann integral]] for integrals of continuous functions with compact support, as these are integrable for all the elementary definitions of integrals. The measure (in the sense defined above) defined by elementary integration is precisely the Lebesgue measure. Second, if one wants to avoid reliance on Riemann or Daniell integral or other similar theories, it is possible to develop first the general theory of [[Haar measure]]s and define the Lebesgue measure as the Haar measure {{mvar|λ}} on {{math|'''R'''}} that satisfies the normalisation condition {{math|1=''λ''([0, 1]) = 1}}.

==Examples==

The following are all examples of Radon measures:
* [[Lebesgue measure]] on Euclidean space (restricted to the Borel subsets);
* [[Haar measure]] on any [[locally compact topological group]];
* [[Dirac measure]] on any topological space;
* [[Gaussian measure]] on [[Euclidean space]] {{math|ℝ<sup>''n''</sup>}} with its Borel sigma algebra;
* [[Probability measure]]s on the {{mvar|σ}}-algebra of [[Borel set]]s of any [[Polish space]]. This example not only generalizes the previous example, but includes many measures on non-locally compact spaces, such as [[Wiener measure]] on the space of real-valued continuous functions on the interval {{closed-closed|0, 1}}.
* [[Counting measure]] on any finite space
* A measure on {{math|ℝ}} is a Radon measure if and only if it is a [[Locally finite measure|locally finite]] [[Borel measure]].{{sfn|Teschl|p=31}}

The following are not examples of Radon measures:
* [[Counting measure]] on Euclidean space is an example of a measure that is not a Radon measure, since it is not locally finite.
* The space of [[ordinal number|ordinals]] at most equal to {{math|Ω}}, the [[first uncountable ordinal]] with the [[order topology]] is a compact topological space.  The measure which equals {{math|1}} on any Borel set that contains an uncountable closed subset of {{closed-open|1, Ω}}, and {{math|0}} otherwise, is Borel but not Radon, as the one-point set {{math|{{mset|Ω}}}} has measure zero but any open neighbourhood of it has measure {{math|1}}.<ref>{{harvnb|Schwartz|1974|p=45}}</ref>
* Let {{mvar|X}} be the interval {{closed-open|0, 1}} equipped with the topology generated by the collection of half open intervals {{math|{{mset|{{closed-open|''a'', ''b''}} : 0 ≤ ''a'' < ''b'' ≤ 1}}}}. This topology is sometimes called [[Sorgenfrey line]]. On this topological space, standard Lebesgue measure is not Radon since it is not inner regular, since compact sets are at most countable.
* Let {{mvar|Z}} be a [[Bernstein set]] in {{closed-closed|0, 1}} (or any Polish space). Then no measure which vanishes at points on {{mvar|Z}} is a Radon measure, since any compact set in {{mvar|Z}} is countable.
* Standard [[product measure]] on {{math|(0, 1)<sup>''κ''</sup>}} for uncountable {{mvar|κ}} is not a Radon measure, since any compact set is contained within a product of uncountably many closed intervals, each of which is shorter than 1.

We note that, intuitively, the Radon measure is useful in mathematical finance particularly for working with Lévy processes because it has the properties of both [[Lebesgue measure|Lebesgue]] and [[Dirac measure|Dirac]] measures, as unlike the Lebesgue, a Radon measure on a single point is not necessarily of measure {{math|0}}.<ref>Cont, Rama, and Peter Tankov. Financial modelling with jump processes. Chapman & Hall, 2004.</ref>

==Basic properties==

===Moderated Radon measures===
Given a Radon measure {{mvar|m}} on a space {{mvar|X}}, we can define another measure {{mvar|M}} (on the Borel sets) by putting

<math display="block">M(B) = \inf\{ m(V) \mid V \text{ is an open set with } B \subseteq V \subseteq X \} .</math>

The measure {{mvar|M}} is outer regular, and locally finite, and inner regular for open sets. It coincides with {{mvar|m}} on compact and open sets, and {{mvar|m}} can be reconstructed from {{mvar|M}} as the unique inner regular measure that is the same as {{mvar|M}} on compact sets. The measure {{mvar|m}} is called '''moderated''' if {{mvar|M}} is {{mvar|σ}}-finite; in this case the measures {{mvar|m}} and {{mvar|M}} are the same. (If {{mvar|m}} is {{mvar|σ}}-finite this does not imply that {{mvar|M}} is {{mvar|σ}}-finite, so being moderated is stronger than being {{mvar|σ}}-finite.)

On a [[hereditarily Lindelöf space]] every Radon measure is moderated.

An example of a measure {{mvar|m}} that is {{mvar|σ}}-finite but not moderated as follows.<ref>{{harvnb|Bourbaki|2004a|loc=Exercise 5 of section 1}}</ref> The topological space {{mvar|X}} has as underlying set the subset of the real plane given by the {{mvar|y}}-axis of points {{math|(0, ''y'')}} together with the points {{math|(1/''n'', ''m''/''n''<sup>2</sup>)}} with {{mvar|m}}, {{mvar|n}} positive integers. The topology is given as follows. The single points {{math|(1/''n'', ''m''/''n''<sup>2</sup>)}} are all open sets. A base of neighborhoods of the point {{math|(0, ''y'')}} is given by wedges consisting of  all points in {{mvar|X}} of the form {{math|(''u'', ''v'')}} with {{math|{{abs|''v'' − ''y''}} ≤ {{abs|''u''}} ≤ 1/''n''}} for a positive integer {{mvar|n}}. This space {{mvar|X}} is locally compact. The measure {{mvar|m}} is given by letting the {{mvar|y}}-axis have measure {{math|0}} and letting the point {{math|(1/''n'', ''m''/''n''<sup>2</sup>)}} have measure {{math|1/''n''<sup>3</sup>}}. This measure is inner regular and locally finite, but is not outer regular as any open set containing the {{mvar|y}}-axis has measure infinity. In particular the {{mvar|y}}-axis has {{mvar|m}}-measure {{math|0}} but {{mvar|M}}-measure infinity.

===Radon spaces===
{{main|Radon space}}
A topological space is called a '''Radon space''' if every finite Borel measure is a Radon measure, and '''strongly Radon''' if every locally finite Borel measure is a Radon measure. Any [[Suslin space]] is strongly Radon, and moreover every Radon measure is moderated.

===Duality===

On a locally compact Hausdorff space, Radon measures correspond to positive linear functionals on the space of continuous functions with compact support. This is not surprising as this property is the main motivation for the definition of Radon measure.

===Metric space structure===

The [[Cone (linear algebra)|pointed cone]] {{math|{{mathcal|M}}<sub>+</sub>(''X'')}} of all (positive) Radon measures on {{mvar|X}} can be given the structure of a [[Complete space|complete]] [[metric space]] by defining the '''Radon distance''' between two measures {{math|''m''<sub>1</sub>, ''m''<sub>2</sub> ∈ {{mathcal|M}}<sub>+</sub>(''X'')}} to be
<math display="block">\rho (m_{1}, m_{2}) = \sup \left\{ \left. \int_{X} f(x) (m_1 - m_2) (dx) \ \right| \mathrm{continuous\,} f : X \to [-1, 1] \subset \mathbb{R} \right\}.</math>

This metric has some limitations. For example, the space of Radon [[probability measure]]s on {{mvar|X}},
<math display="block">\mathcal{P} (X) = \{ m \in \mathcal{M}_{+} (X) \mid m (X) = 1 \},</math>
is not [[Compact space|sequentially compact]] with respect to the Radon metric: i.e., it is not guaranteed that any sequence of probability measures will have a subsequence that is convergent with respect to the Radon metric, which presents difficulties in certain applications. On the other hand, if {{mvar|X}} is a compact metric space, then the [[Wasserstein metric]] turns {{math|{{mathcal|P}}(''X'')}} into a compact metric space.

Convergence in the Radon metric implies [[weak convergence of measures]]:
<math display="block">\rho (m_{n}, m) \to 0 \Rightarrow m_{n} \rightharpoonup m,</math>
but the converse implication is false in general. Convergence of measures in the Radon metric is sometimes known as '''strong convergence''', as contrasted with weak convergence.

==See also==
* {{annotated link|Radonifying function}}
* {{annotated link|Vague topology}}

==Notes==
{{Reflist}}

==References==
* {{citation| last=Bogachev | first=Vladimir I.| authorlink=Vladimir I. Bogachev| title=Measure Theory | chapter=Measures on topological spaces | publisher=Springer Berlin Heidelberg | publication-place=Berlin, Heidelberg | date=2007 | pages=476–583| isbn=978-3-540-34513-8 | doi=10.1007/978-3-540-34514-5_7}}
* {{citation |last=Bourbaki |first=Nicolas |date=2004a |authorlink=Nicolas Bourbaki |title=Integration I |publisher=[[Springer Verlag]] |isbn=3-540-41129-1}}. Functional-analytic development of the theory of Radon measure and integral on locally compact spaces.
* {{citation |last=Bourbaki |first=Nicolas |year=2004b |authorlink=Nicolas Bourbaki |title=Integration II |publisher=[[Springer Verlag]] |isbn=3-540-20585-3}}. Haar measure; Radon measures on general Hausdorff spaces and equivalence between the definitions in terms of linear functionals and locally finite inner regular measures on the Borel sigma-algebra.
* {{citation |last=Dieudonné |first=Jean |date=1970 |authorlink=Jean Dieudonné |title=Treatise on analysis |volume=2 |publisher=Academic Press }}. Contains a simplified version of Bourbaki's approach, specialised to measures defined on separable metrizable spaces.
* {{citation |last=Folland |first=Gerald |date=1999 |title=Real Analysis: Modern techniques and their applications |url=https://archive.org/details/realanalysismode00foll_670 |url-access=limited |location=New York |publisher=John Wiley & Sons, Inc. |isbn=0-471-31716-0 |page=[https://archive.org/details/realanalysismode00foll_670/page/n224 212] }}
* {{citation |last1=Hewitt |first1=Edwin |last2=Stromberg |first2=Karl |date=1965 |title=Real and abstract analysis |publisher=Springer-Verlag}}
* {{citation |last= König |first= Heinz |date= 1997 |title= Measure and integration: an advanced course in basic procedures and applications |publisher= New York: Springer |isbn= 3-540-61858-9}}
* {{citation |last= Schwartz |first= Laurent  |date= 1974 |title= Radon measures on arbitrary topological spaces and cylindrical measures |publisher= Oxford University Press |authorlink= Laurent Schwartz |isbn= 0-19-560516-0}}
* {{citation | last = Teschl| first = Gerald| authorlink = Gerald Teschl| title = Topics in Real Analysis| url = https://www.mat.univie.ac.at/~gerald/ftp/book-ra/index.html|publisher = (lecture notes)}}
* {{citation | last=Treves | first=Francois | title=Topological vector spaces, distributions and kernels | publisher=Dover Publications | publication-place=Mineola, N.Y | date=2006 | isbn=978-0-486-45352-1}}

==External links==
* {{springer|author=R. A. Minlos|id=r/r077170|title=Radon measure}}

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