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A real-valued Radon measure is defined to be any continuous linear form on 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 K (X). These real-valued Radon measures need not be signed measures.
One application of this is to probability theory: for example, the central limit theorem is essentially a statement that if are the probability measures for certain sums of independent random variables, then converge weakly (and then vaguely) to a normal distribution, that is, the measure is "approximately normal" for large .
For (,) a measurable space, a sequence μ n is said to converge setwise to a limit μ if = ()for every set .. Typical arrow notations are and .. For example, as a consequence of the Riemann–Lebesgue lemma, the sequence μ n of measures on the interval [−1, 1] given by μ n (dx) = (1 + sin(nx))dx converges setwise to Lebesgue measure, but it does not converge in total variation.
The Radon–Nikodym theorem essentially states that, under certain conditions, any measure ν can be expressed in this way with respect to another measure μ on the same space. The function f is then called the Radon–Nikodym derivative and is denoted by d ν d μ {\displaystyle {\tfrac {d\nu }{d\mu }}} . [ 1 ]
The following theorem states that the times when the s-density exists are rather seldom.. Marstrand's theorem: Let be a Radon measure on .Suppose that the s-density (,) exists and is positive and finite for a in a set of positive measure.
The Lebesgue–Stieltjes measure is a regular Borel measure, and conversely every regular Borel measure on the real line is of this kind. Lebesgue–Stieltjes integrals , named for Henri Leon Lebesgue and Thomas Joannes Stieltjes , are also known as Lebesgue–Radon integrals or just Radon integrals , after Johann Radon , to whom much of the ...
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is the pure point part (a discrete measure). The absolutely continuous measures are classified by the Radon–Nikodym theorem, and discrete measures are easily understood. Hence (singular continuous measures aside), Lebesgue decomposition gives a very explicit description of measures.