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Signed measure

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generalized measure, real valued measure

2010 Mathematics Subject Classification: Primary: 28A33 [MSN][ZBL] $ \newcommand{\abs}[1]{\left|#1\right|} \newcommand{\norm}[1]{\left\|#1\right\|} $

A signed measure is real-valued $\sigma$-additive function defined on a certain σ-algebra $\mathcal{B}$ of subsets of a set $X$. More generally one can consider vector-valued measures, i.e. $\sigma$-additive functions $\mu$ on $\mathcal{B}$ taking values on a Banach space $V$ (see Vector measure). The total variation measure of $\mu$ is defined on $B\in\mathcal{B}$ as: \[ \abs{\mu}(B) :=\sup\left\{ \sum \norm{\mu(B_i)}_V: \text{'"`UNIQ-MathJax12-QINU`"' is a countable partition of '"`UNIQ-MathJax13-QINU`"'}\right\} \] where $\norm{\cdot}_V$ denotes the norm of $V$. In the real-valued case the above definition simplifies as \[ \abs{\mu}(B) = \sup_{A\in \mathcal{B}, A\subset B} \left(\abs{\mu (A)} + \abs{\mu (B\setminus A)}\right). \] $\abs{\mu}$ is a measure and $\mu$ is said to have finite total variation if $\abs{\mu} (X) <\infty$.

If $V$ is finite-dimensional the Radon-Nikodym theorem implies the existence of a measurable $f\in L^1 (\abs{\mu}, V)$ such that \[ \mu (B) = \int_B f \rd\abs{\mu} \] for all $B\in\mathcal{B}$. In the case of real-valued measures this implies that each such $\mu$ can be written as the difference of two nonnegative measures $\mu^+$ and $\mu^-$ which are mutually singular i.e. such that there are sets $B^+, B^-\in\mathcal{B}$ with \[ \mu^+ (X\setminus B^+) = \mu^- (X\setminus B^-) = \mu^+ (B^-) = \mu^- (B^+) = 0. \] This last statement is sometimes referred to as Hahn decomposition theorem. The Hahn decomposition theorem can also be proved defining directly the measures $\mu^+$ and $\mu^-$ in the following way: \begin{align*} \mu^+ (B) &= \sup \{ \mu (A): A\in \mathcal{B}, A\subset B\}\\ \mu^- (B) &= \sup \{ -\mu (A): A\in \mathcal{B}, A\subset B\} \end{align*} $\mu^+$ and $\mu^-$ are sometimes called, respectively, positive and negative variations of $\mu$. Observe that $|\mu| = \mu^++\mu^-$.

By the Riesz representation theorem the space of signed measures with finite total variation on the $\sigma$-algebra of Borel subsets of a locally compact Hausdorff space is the dual of the space of continuous functions (cp. also with Convergence of measures).

References

[AmFuPa] L. Ambrosio, N. Fusco, D. Pallara, "Functions of bounded variations and free discontinuity problems". Oxford Mathematical Monographs. The Clarendon Press, Oxford University Press, New York, 2000. MR1857292Zbl 0957.49001
[Bo] N. Bourbaki, "Elements of mathematics. Integration" , Addison-Wesley (1975) pp. Chapt.6;7;8 (Translated from French) MR0583191 Zbl 1116.28002 Zbl 1106.46005 Zbl 1106.46006 Zbl 1182.28002 Zbl 1182.28001 Zbl 1095.28002 Zbl 1095.28001 Zbl 0156.06001
[DS] N. Dunford, J.T. Schwartz, "Linear operators. General theory" , 1 , Interscience (1958) MR0117523
[Bi] P. Billingsley, "Convergence of probability measures" , Wiley (1968) MR0233396 Zbl 0172.21201
[Ma] P. Mattila, "Geometry of sets and measures in euclidean spaces. Cambridge Studies in Advanced Mathematics, 44. Cambridge University Press, Cambridge, 1995. MR1333890 Zbl 0911.28005
How to Cite This Entry:
Signed measure. Encyclopedia of Mathematics. URL: http://www.encyclopediaofmath.org/index.php?title=Signed_measure&oldid=27291
This article was adapted from an original article by M.I. Voitsekhovskii (originator), which appeared in Encyclopedia of Mathematics - ISBN 1402006098. See original article