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case hf
α : Type u_1
β : Type u_2
m : MeasurableSpace α
μ ν : Measure α
s t : SignedMeasure α
inst✝ : HaveLebesgueDecomposition s μ
⊢ ∫⁻ (x : α), Measure.rnDeriv (toJordanDecomposition s).negPart μ x ∂μ ≠ ⊤ | /-
Copyright (c) 2021 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.MeasureTheory.Decomposition.Lebesgue
import Mathlib.MeasureTheory.Measure.Complex
/-!
# Lebesgue decomposition
This file proves the Lebesgue decomposition theorem for signed measures. The Lebesgue decomposition
theorem states that, given two σ-finite measures `μ` and `ν`, there exists a σ-finite measure `ξ`
and a measurable function `f` such that `μ = ξ + fν` and `ξ` is mutually singular with respect
to `ν`.
## Main definitions
* `MeasureTheory.SignedMeasure.HaveLebesgueDecomposition` : A signed measure `s` and a
measure `μ` is said to `HaveLebesgueDecomposition` if both the positive part and negative
part of `s` `HaveLebesgueDecomposition` with respect to `μ`.
* `MeasureTheory.SignedMeasure.singularPart` : The singular part between a signed measure `s`
and a measure `μ` is simply the singular part of the positive part of `s` with respect to `μ`
minus the singular part of the negative part of `s` with respect to `μ`.
* `MeasureTheory.SignedMeasure.rnDeriv` : The Radon-Nikodym derivative of a signed
measure `s` with respect to a measure `μ` is the Radon-Nikodym derivative of the positive part of
`s` with respect to `μ` minus the Radon-Nikodym derivative of the negative part of `s` with
respect to `μ`.
## Main results
* `MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq` :
the Lebesgue decomposition theorem between a signed measure and a σ-finite positive measure.
## Tags
Lebesgue decomposition theorem
-/
noncomputable section
open scoped Classical MeasureTheory NNReal ENNReal
open Set
variable {α β : Type*} {m : MeasurableSpace α} {μ ν : MeasureTheory.Measure α}
namespace MeasureTheory
namespace SignedMeasure
open Measure
/-- A signed measure `s` is said to `HaveLebesgueDecomposition` with respect to a measure `μ`
if the positive part and the negative part of `s` both `HaveLebesgueDecomposition` with
respect to `μ`. -/
class HaveLebesgueDecomposition (s : SignedMeasure α) (μ : Measure α) : Prop where
posPart : s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ
negPart : s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ
#align measure_theory.signed_measure.have_lebesgue_decomposition MeasureTheory.SignedMeasure.HaveLebesgueDecomposition
#align measure_theory.signed_measure.have_lebesgue_decomposition.pos_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.posPart
#align measure_theory.signed_measure.have_lebesgue_decomposition.neg_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.negPart
attribute [instance] HaveLebesgueDecomposition.posPart
attribute [instance] HaveLebesgueDecomposition.negPart
theorem not_haveLebesgueDecomposition_iff (s : SignedMeasure α) (μ : Measure α) :
¬s.HaveLebesgueDecomposition μ ↔
¬s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ ∨
¬s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ :=
⟨fun h => not_or_of_imp fun hp hn => h ⟨hp, hn⟩, fun h hl => (not_and_or.2 h) ⟨hl.1, hl.2⟩⟩
#align measure_theory.signed_measure.not_have_lebesgue_decomposition_iff MeasureTheory.SignedMeasure.not_haveLebesgueDecomposition_iff
-- `infer_instance` directly does not work
-- see Note [lower instance priority]
instance (priority := 100) haveLebesgueDecomposition_of_sigmaFinite (s : SignedMeasure α)
(μ : Measure α) [SigmaFinite μ] : s.HaveLebesgueDecomposition μ where
posPart := inferInstance
negPart := inferInstance
#align measure_theory.signed_measure.have_lebesgue_decomposition_of_sigma_finite MeasureTheory.SignedMeasure.haveLebesgueDecomposition_of_sigmaFinite
instance haveLebesgueDecomposition_neg (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] : (-s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_neg MeasureTheory.SignedMeasure.haveLebesgueDecomposition_neg
instance haveLebesgueDecomposition_smul (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ≥0) : (r • s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul
instance haveLebesgueDecomposition_smul_real (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ) : (r • s).HaveLebesgueDecomposition μ := by
by_cases hr : 0 ≤ r
· lift r to ℝ≥0 using hr
exact s.haveLebesgueDecomposition_smul μ _
· rw [not_le] at hr
refine'
{ posPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_posPart_neg _ _ hr]
infer_instance
negPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_negPart_neg _ _ hr]
infer_instance }
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul_real MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul_real
/-- Given a signed measure `s` and a measure `μ`, `s.singularPart μ` is the signed measure
such that `s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s` and
`s.singularPart μ` is mutually singular with respect to `μ`. -/
def singularPart (s : SignedMeasure α) (μ : Measure α) : SignedMeasure α :=
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure -
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure
#align measure_theory.signed_measure.singular_part MeasureTheory.SignedMeasure.singularPart
section
theorem singularPart_mutuallySingular (s : SignedMeasure α) (μ : Measure α) :
s.toJordanDecomposition.posPart.singularPart μ ⟂ₘ
s.toJordanDecomposition.negPart.singularPart μ := by
by_cases hl : s.HaveLebesgueDecomposition μ
· obtain ⟨i, hi, hpos, hneg⟩ := s.toJordanDecomposition.mutuallySingular
rw [s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ] at hpos
rw [s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ] at hneg
rw [add_apply, add_eq_zero_iff] at hpos hneg
exact ⟨i, hi, hpos.1, hneg.1⟩
· rw [not_haveLebesgueDecomposition_iff] at hl
cases' hl with hp hn
· rw [Measure.singularPart, dif_neg hp]
exact MutuallySingular.zero_left
· rw [Measure.singularPart, Measure.singularPart, dif_neg hn]
exact MutuallySingular.zero_right
#align measure_theory.signed_measure.singular_part_mutually_singular MeasureTheory.SignedMeasure.singularPart_mutuallySingular
theorem singularPart_totalVariation (s : SignedMeasure α) (μ : Measure α) :
(s.singularPart μ).totalVariation =
s.toJordanDecomposition.posPart.singularPart μ +
s.toJordanDecomposition.negPart.singularPart μ := by
have :
(s.singularPart μ).toJordanDecomposition =
⟨s.toJordanDecomposition.posPart.singularPart μ,
s.toJordanDecomposition.negPart.singularPart μ, singularPart_mutuallySingular s μ⟩ := by
refine' JordanDecomposition.toSignedMeasure_injective _
rw [toSignedMeasure_toJordanDecomposition, singularPart, JordanDecomposition.toSignedMeasure]
· rw [totalVariation, this]
#align measure_theory.signed_measure.singular_part_total_variation MeasureTheory.SignedMeasure.singularPart_totalVariation
nonrec theorem mutuallySingular_singularPart (s : SignedMeasure α) (μ : Measure α) :
singularPart s μ ⟂ᵥ μ.toENNRealVectorMeasure := by
rw [mutuallySingular_ennreal_iff, singularPart_totalVariation,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure]
exact (mutuallySingular_singularPart _ _).add_left (mutuallySingular_singularPart _ _)
#align measure_theory.signed_measure.mutually_singular_singular_part MeasureTheory.SignedMeasure.mutuallySingular_singularPart
end
/-- The Radon-Nikodym derivative between a signed measure and a positive measure.
`rnDeriv s μ` satisfies `μ.withDensityᵥ (s.rnDeriv μ) = s`
if and only if `s` is absolutely continuous with respect to `μ` and this fact is known as
`MeasureTheory.SignedMeasure.absolutelyContinuous_iff_withDensity_rnDeriv_eq`
and can be found in `MeasureTheory.Decomposition.RadonNikodym`. -/
def rnDeriv (s : SignedMeasure α) (μ : Measure α) : α → ℝ := fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal
#align measure_theory.signed_measure.rn_deriv MeasureTheory.SignedMeasure.rnDeriv
-- Porting note: The generated equation theorem is the form of `rnDeriv s μ x`.
theorem rnDeriv_def (s : SignedMeasure α) (μ : Measure α) : rnDeriv s μ = fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal :=
rfl
attribute [eqns rnDeriv_def] rnDeriv
variable {s t : SignedMeasure α}
@[measurability]
theorem measurable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Measurable (rnDeriv s μ) := by
rw [rnDeriv]
measurability
#align measure_theory.signed_measure.measurable_rn_deriv MeasureTheory.SignedMeasure.measurable_rnDeriv
theorem integrable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Integrable (rnDeriv s μ) μ := by
refine' Integrable.sub _ _ <;>
· constructor
· apply Measurable.aestronglyMeasurable; measurability
exact hasFiniteIntegral_toReal_of_lintegral_ne_top (lintegral_rnDeriv_lt_top _ μ).ne
#align measure_theory.signed_measure.integrable_rn_deriv MeasureTheory.SignedMeasure.integrable_rnDeriv
variable (s μ)
/-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
| first
| exact (lintegral_rnDeriv_lt_top _ _).ne
| measurability | /-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
| Mathlib.MeasureTheory.Decomposition.SignedLebesgue.205_0.HPGboz0rhL6sBes | /-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s | Mathlib_MeasureTheory_Decomposition_SignedLebesgue |
case hf
α : Type u_1
β : Type u_2
m : MeasurableSpace α
μ ν : Measure α
s t : SignedMeasure α
inst✝ : HaveLebesgueDecomposition s μ
⊢ ∫⁻ (x : α), Measure.rnDeriv (toJordanDecomposition s).negPart μ x ∂μ ≠ ⊤ | /-
Copyright (c) 2021 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.MeasureTheory.Decomposition.Lebesgue
import Mathlib.MeasureTheory.Measure.Complex
/-!
# Lebesgue decomposition
This file proves the Lebesgue decomposition theorem for signed measures. The Lebesgue decomposition
theorem states that, given two σ-finite measures `μ` and `ν`, there exists a σ-finite measure `ξ`
and a measurable function `f` such that `μ = ξ + fν` and `ξ` is mutually singular with respect
to `ν`.
## Main definitions
* `MeasureTheory.SignedMeasure.HaveLebesgueDecomposition` : A signed measure `s` and a
measure `μ` is said to `HaveLebesgueDecomposition` if both the positive part and negative
part of `s` `HaveLebesgueDecomposition` with respect to `μ`.
* `MeasureTheory.SignedMeasure.singularPart` : The singular part between a signed measure `s`
and a measure `μ` is simply the singular part of the positive part of `s` with respect to `μ`
minus the singular part of the negative part of `s` with respect to `μ`.
* `MeasureTheory.SignedMeasure.rnDeriv` : The Radon-Nikodym derivative of a signed
measure `s` with respect to a measure `μ` is the Radon-Nikodym derivative of the positive part of
`s` with respect to `μ` minus the Radon-Nikodym derivative of the negative part of `s` with
respect to `μ`.
## Main results
* `MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq` :
the Lebesgue decomposition theorem between a signed measure and a σ-finite positive measure.
## Tags
Lebesgue decomposition theorem
-/
noncomputable section
open scoped Classical MeasureTheory NNReal ENNReal
open Set
variable {α β : Type*} {m : MeasurableSpace α} {μ ν : MeasureTheory.Measure α}
namespace MeasureTheory
namespace SignedMeasure
open Measure
/-- A signed measure `s` is said to `HaveLebesgueDecomposition` with respect to a measure `μ`
if the positive part and the negative part of `s` both `HaveLebesgueDecomposition` with
respect to `μ`. -/
class HaveLebesgueDecomposition (s : SignedMeasure α) (μ : Measure α) : Prop where
posPart : s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ
negPart : s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ
#align measure_theory.signed_measure.have_lebesgue_decomposition MeasureTheory.SignedMeasure.HaveLebesgueDecomposition
#align measure_theory.signed_measure.have_lebesgue_decomposition.pos_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.posPart
#align measure_theory.signed_measure.have_lebesgue_decomposition.neg_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.negPart
attribute [instance] HaveLebesgueDecomposition.posPart
attribute [instance] HaveLebesgueDecomposition.negPart
theorem not_haveLebesgueDecomposition_iff (s : SignedMeasure α) (μ : Measure α) :
¬s.HaveLebesgueDecomposition μ ↔
¬s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ ∨
¬s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ :=
⟨fun h => not_or_of_imp fun hp hn => h ⟨hp, hn⟩, fun h hl => (not_and_or.2 h) ⟨hl.1, hl.2⟩⟩
#align measure_theory.signed_measure.not_have_lebesgue_decomposition_iff MeasureTheory.SignedMeasure.not_haveLebesgueDecomposition_iff
-- `infer_instance` directly does not work
-- see Note [lower instance priority]
instance (priority := 100) haveLebesgueDecomposition_of_sigmaFinite (s : SignedMeasure α)
(μ : Measure α) [SigmaFinite μ] : s.HaveLebesgueDecomposition μ where
posPart := inferInstance
negPart := inferInstance
#align measure_theory.signed_measure.have_lebesgue_decomposition_of_sigma_finite MeasureTheory.SignedMeasure.haveLebesgueDecomposition_of_sigmaFinite
instance haveLebesgueDecomposition_neg (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] : (-s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_neg MeasureTheory.SignedMeasure.haveLebesgueDecomposition_neg
instance haveLebesgueDecomposition_smul (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ≥0) : (r • s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul
instance haveLebesgueDecomposition_smul_real (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ) : (r • s).HaveLebesgueDecomposition μ := by
by_cases hr : 0 ≤ r
· lift r to ℝ≥0 using hr
exact s.haveLebesgueDecomposition_smul μ _
· rw [not_le] at hr
refine'
{ posPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_posPart_neg _ _ hr]
infer_instance
negPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_negPart_neg _ _ hr]
infer_instance }
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul_real MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul_real
/-- Given a signed measure `s` and a measure `μ`, `s.singularPart μ` is the signed measure
such that `s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s` and
`s.singularPart μ` is mutually singular with respect to `μ`. -/
def singularPart (s : SignedMeasure α) (μ : Measure α) : SignedMeasure α :=
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure -
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure
#align measure_theory.signed_measure.singular_part MeasureTheory.SignedMeasure.singularPart
section
theorem singularPart_mutuallySingular (s : SignedMeasure α) (μ : Measure α) :
s.toJordanDecomposition.posPart.singularPart μ ⟂ₘ
s.toJordanDecomposition.negPart.singularPart μ := by
by_cases hl : s.HaveLebesgueDecomposition μ
· obtain ⟨i, hi, hpos, hneg⟩ := s.toJordanDecomposition.mutuallySingular
rw [s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ] at hpos
rw [s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ] at hneg
rw [add_apply, add_eq_zero_iff] at hpos hneg
exact ⟨i, hi, hpos.1, hneg.1⟩
· rw [not_haveLebesgueDecomposition_iff] at hl
cases' hl with hp hn
· rw [Measure.singularPart, dif_neg hp]
exact MutuallySingular.zero_left
· rw [Measure.singularPart, Measure.singularPart, dif_neg hn]
exact MutuallySingular.zero_right
#align measure_theory.signed_measure.singular_part_mutually_singular MeasureTheory.SignedMeasure.singularPart_mutuallySingular
theorem singularPart_totalVariation (s : SignedMeasure α) (μ : Measure α) :
(s.singularPart μ).totalVariation =
s.toJordanDecomposition.posPart.singularPart μ +
s.toJordanDecomposition.negPart.singularPart μ := by
have :
(s.singularPart μ).toJordanDecomposition =
⟨s.toJordanDecomposition.posPart.singularPart μ,
s.toJordanDecomposition.negPart.singularPart μ, singularPart_mutuallySingular s μ⟩ := by
refine' JordanDecomposition.toSignedMeasure_injective _
rw [toSignedMeasure_toJordanDecomposition, singularPart, JordanDecomposition.toSignedMeasure]
· rw [totalVariation, this]
#align measure_theory.signed_measure.singular_part_total_variation MeasureTheory.SignedMeasure.singularPart_totalVariation
nonrec theorem mutuallySingular_singularPart (s : SignedMeasure α) (μ : Measure α) :
singularPart s μ ⟂ᵥ μ.toENNRealVectorMeasure := by
rw [mutuallySingular_ennreal_iff, singularPart_totalVariation,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure]
exact (mutuallySingular_singularPart _ _).add_left (mutuallySingular_singularPart _ _)
#align measure_theory.signed_measure.mutually_singular_singular_part MeasureTheory.SignedMeasure.mutuallySingular_singularPart
end
/-- The Radon-Nikodym derivative between a signed measure and a positive measure.
`rnDeriv s μ` satisfies `μ.withDensityᵥ (s.rnDeriv μ) = s`
if and only if `s` is absolutely continuous with respect to `μ` and this fact is known as
`MeasureTheory.SignedMeasure.absolutelyContinuous_iff_withDensity_rnDeriv_eq`
and can be found in `MeasureTheory.Decomposition.RadonNikodym`. -/
def rnDeriv (s : SignedMeasure α) (μ : Measure α) : α → ℝ := fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal
#align measure_theory.signed_measure.rn_deriv MeasureTheory.SignedMeasure.rnDeriv
-- Porting note: The generated equation theorem is the form of `rnDeriv s μ x`.
theorem rnDeriv_def (s : SignedMeasure α) (μ : Measure α) : rnDeriv s μ = fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal :=
rfl
attribute [eqns rnDeriv_def] rnDeriv
variable {s t : SignedMeasure α}
@[measurability]
theorem measurable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Measurable (rnDeriv s μ) := by
rw [rnDeriv]
measurability
#align measure_theory.signed_measure.measurable_rn_deriv MeasureTheory.SignedMeasure.measurable_rnDeriv
theorem integrable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Integrable (rnDeriv s μ) μ := by
refine' Integrable.sub _ _ <;>
· constructor
· apply Measurable.aestronglyMeasurable; measurability
exact hasFiniteIntegral_toReal_of_lintegral_ne_top (lintegral_rnDeriv_lt_top _ μ).ne
#align measure_theory.signed_measure.integrable_rn_deriv MeasureTheory.SignedMeasure.integrable_rnDeriv
variable (s μ)
/-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
first
| | exact (lintegral_rnDeriv_lt_top _ _).ne | /-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
first
| | Mathlib.MeasureTheory.Decomposition.SignedLebesgue.205_0.HPGboz0rhL6sBes | /-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s | Mathlib_MeasureTheory_Decomposition_SignedLebesgue |
case hfm
α : Type u_1
β : Type u_2
m : MeasurableSpace α
μ ν : Measure α
s t : SignedMeasure α
inst✝ : HaveLebesgueDecomposition s μ
⊢ AEMeasurable fun x => Measure.rnDeriv (toJordanDecomposition s).negPart μ x | /-
Copyright (c) 2021 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.MeasureTheory.Decomposition.Lebesgue
import Mathlib.MeasureTheory.Measure.Complex
/-!
# Lebesgue decomposition
This file proves the Lebesgue decomposition theorem for signed measures. The Lebesgue decomposition
theorem states that, given two σ-finite measures `μ` and `ν`, there exists a σ-finite measure `ξ`
and a measurable function `f` such that `μ = ξ + fν` and `ξ` is mutually singular with respect
to `ν`.
## Main definitions
* `MeasureTheory.SignedMeasure.HaveLebesgueDecomposition` : A signed measure `s` and a
measure `μ` is said to `HaveLebesgueDecomposition` if both the positive part and negative
part of `s` `HaveLebesgueDecomposition` with respect to `μ`.
* `MeasureTheory.SignedMeasure.singularPart` : The singular part between a signed measure `s`
and a measure `μ` is simply the singular part of the positive part of `s` with respect to `μ`
minus the singular part of the negative part of `s` with respect to `μ`.
* `MeasureTheory.SignedMeasure.rnDeriv` : The Radon-Nikodym derivative of a signed
measure `s` with respect to a measure `μ` is the Radon-Nikodym derivative of the positive part of
`s` with respect to `μ` minus the Radon-Nikodym derivative of the negative part of `s` with
respect to `μ`.
## Main results
* `MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq` :
the Lebesgue decomposition theorem between a signed measure and a σ-finite positive measure.
## Tags
Lebesgue decomposition theorem
-/
noncomputable section
open scoped Classical MeasureTheory NNReal ENNReal
open Set
variable {α β : Type*} {m : MeasurableSpace α} {μ ν : MeasureTheory.Measure α}
namespace MeasureTheory
namespace SignedMeasure
open Measure
/-- A signed measure `s` is said to `HaveLebesgueDecomposition` with respect to a measure `μ`
if the positive part and the negative part of `s` both `HaveLebesgueDecomposition` with
respect to `μ`. -/
class HaveLebesgueDecomposition (s : SignedMeasure α) (μ : Measure α) : Prop where
posPart : s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ
negPart : s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ
#align measure_theory.signed_measure.have_lebesgue_decomposition MeasureTheory.SignedMeasure.HaveLebesgueDecomposition
#align measure_theory.signed_measure.have_lebesgue_decomposition.pos_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.posPart
#align measure_theory.signed_measure.have_lebesgue_decomposition.neg_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.negPart
attribute [instance] HaveLebesgueDecomposition.posPart
attribute [instance] HaveLebesgueDecomposition.negPart
theorem not_haveLebesgueDecomposition_iff (s : SignedMeasure α) (μ : Measure α) :
¬s.HaveLebesgueDecomposition μ ↔
¬s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ ∨
¬s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ :=
⟨fun h => not_or_of_imp fun hp hn => h ⟨hp, hn⟩, fun h hl => (not_and_or.2 h) ⟨hl.1, hl.2⟩⟩
#align measure_theory.signed_measure.not_have_lebesgue_decomposition_iff MeasureTheory.SignedMeasure.not_haveLebesgueDecomposition_iff
-- `infer_instance` directly does not work
-- see Note [lower instance priority]
instance (priority := 100) haveLebesgueDecomposition_of_sigmaFinite (s : SignedMeasure α)
(μ : Measure α) [SigmaFinite μ] : s.HaveLebesgueDecomposition μ where
posPart := inferInstance
negPart := inferInstance
#align measure_theory.signed_measure.have_lebesgue_decomposition_of_sigma_finite MeasureTheory.SignedMeasure.haveLebesgueDecomposition_of_sigmaFinite
instance haveLebesgueDecomposition_neg (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] : (-s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_neg MeasureTheory.SignedMeasure.haveLebesgueDecomposition_neg
instance haveLebesgueDecomposition_smul (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ≥0) : (r • s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul
instance haveLebesgueDecomposition_smul_real (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ) : (r • s).HaveLebesgueDecomposition μ := by
by_cases hr : 0 ≤ r
· lift r to ℝ≥0 using hr
exact s.haveLebesgueDecomposition_smul μ _
· rw [not_le] at hr
refine'
{ posPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_posPart_neg _ _ hr]
infer_instance
negPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_negPart_neg _ _ hr]
infer_instance }
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul_real MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul_real
/-- Given a signed measure `s` and a measure `μ`, `s.singularPart μ` is the signed measure
such that `s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s` and
`s.singularPart μ` is mutually singular with respect to `μ`. -/
def singularPart (s : SignedMeasure α) (μ : Measure α) : SignedMeasure α :=
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure -
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure
#align measure_theory.signed_measure.singular_part MeasureTheory.SignedMeasure.singularPart
section
theorem singularPart_mutuallySingular (s : SignedMeasure α) (μ : Measure α) :
s.toJordanDecomposition.posPart.singularPart μ ⟂ₘ
s.toJordanDecomposition.negPart.singularPart μ := by
by_cases hl : s.HaveLebesgueDecomposition μ
· obtain ⟨i, hi, hpos, hneg⟩ := s.toJordanDecomposition.mutuallySingular
rw [s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ] at hpos
rw [s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ] at hneg
rw [add_apply, add_eq_zero_iff] at hpos hneg
exact ⟨i, hi, hpos.1, hneg.1⟩
· rw [not_haveLebesgueDecomposition_iff] at hl
cases' hl with hp hn
· rw [Measure.singularPart, dif_neg hp]
exact MutuallySingular.zero_left
· rw [Measure.singularPart, Measure.singularPart, dif_neg hn]
exact MutuallySingular.zero_right
#align measure_theory.signed_measure.singular_part_mutually_singular MeasureTheory.SignedMeasure.singularPart_mutuallySingular
theorem singularPart_totalVariation (s : SignedMeasure α) (μ : Measure α) :
(s.singularPart μ).totalVariation =
s.toJordanDecomposition.posPart.singularPart μ +
s.toJordanDecomposition.negPart.singularPart μ := by
have :
(s.singularPart μ).toJordanDecomposition =
⟨s.toJordanDecomposition.posPart.singularPart μ,
s.toJordanDecomposition.negPart.singularPart μ, singularPart_mutuallySingular s μ⟩ := by
refine' JordanDecomposition.toSignedMeasure_injective _
rw [toSignedMeasure_toJordanDecomposition, singularPart, JordanDecomposition.toSignedMeasure]
· rw [totalVariation, this]
#align measure_theory.signed_measure.singular_part_total_variation MeasureTheory.SignedMeasure.singularPart_totalVariation
nonrec theorem mutuallySingular_singularPart (s : SignedMeasure α) (μ : Measure α) :
singularPart s μ ⟂ᵥ μ.toENNRealVectorMeasure := by
rw [mutuallySingular_ennreal_iff, singularPart_totalVariation,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure]
exact (mutuallySingular_singularPart _ _).add_left (mutuallySingular_singularPart _ _)
#align measure_theory.signed_measure.mutually_singular_singular_part MeasureTheory.SignedMeasure.mutuallySingular_singularPart
end
/-- The Radon-Nikodym derivative between a signed measure and a positive measure.
`rnDeriv s μ` satisfies `μ.withDensityᵥ (s.rnDeriv μ) = s`
if and only if `s` is absolutely continuous with respect to `μ` and this fact is known as
`MeasureTheory.SignedMeasure.absolutelyContinuous_iff_withDensity_rnDeriv_eq`
and can be found in `MeasureTheory.Decomposition.RadonNikodym`. -/
def rnDeriv (s : SignedMeasure α) (μ : Measure α) : α → ℝ := fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal
#align measure_theory.signed_measure.rn_deriv MeasureTheory.SignedMeasure.rnDeriv
-- Porting note: The generated equation theorem is the form of `rnDeriv s μ x`.
theorem rnDeriv_def (s : SignedMeasure α) (μ : Measure α) : rnDeriv s μ = fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal :=
rfl
attribute [eqns rnDeriv_def] rnDeriv
variable {s t : SignedMeasure α}
@[measurability]
theorem measurable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Measurable (rnDeriv s μ) := by
rw [rnDeriv]
measurability
#align measure_theory.signed_measure.measurable_rn_deriv MeasureTheory.SignedMeasure.measurable_rnDeriv
theorem integrable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Integrable (rnDeriv s μ) μ := by
refine' Integrable.sub _ _ <;>
· constructor
· apply Measurable.aestronglyMeasurable; measurability
exact hasFiniteIntegral_toReal_of_lintegral_ne_top (lintegral_rnDeriv_lt_top _ μ).ne
#align measure_theory.signed_measure.integrable_rn_deriv MeasureTheory.SignedMeasure.integrable_rnDeriv
variable (s μ)
/-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
| first
| exact (lintegral_rnDeriv_lt_top _ _).ne
| measurability | /-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
| Mathlib.MeasureTheory.Decomposition.SignedLebesgue.205_0.HPGboz0rhL6sBes | /-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s | Mathlib_MeasureTheory_Decomposition_SignedLebesgue |
case hfm
α : Type u_1
β : Type u_2
m : MeasurableSpace α
μ ν : Measure α
s t : SignedMeasure α
inst✝ : HaveLebesgueDecomposition s μ
⊢ AEMeasurable fun x => Measure.rnDeriv (toJordanDecomposition s).negPart μ x | /-
Copyright (c) 2021 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.MeasureTheory.Decomposition.Lebesgue
import Mathlib.MeasureTheory.Measure.Complex
/-!
# Lebesgue decomposition
This file proves the Lebesgue decomposition theorem for signed measures. The Lebesgue decomposition
theorem states that, given two σ-finite measures `μ` and `ν`, there exists a σ-finite measure `ξ`
and a measurable function `f` such that `μ = ξ + fν` and `ξ` is mutually singular with respect
to `ν`.
## Main definitions
* `MeasureTheory.SignedMeasure.HaveLebesgueDecomposition` : A signed measure `s` and a
measure `μ` is said to `HaveLebesgueDecomposition` if both the positive part and negative
part of `s` `HaveLebesgueDecomposition` with respect to `μ`.
* `MeasureTheory.SignedMeasure.singularPart` : The singular part between a signed measure `s`
and a measure `μ` is simply the singular part of the positive part of `s` with respect to `μ`
minus the singular part of the negative part of `s` with respect to `μ`.
* `MeasureTheory.SignedMeasure.rnDeriv` : The Radon-Nikodym derivative of a signed
measure `s` with respect to a measure `μ` is the Radon-Nikodym derivative of the positive part of
`s` with respect to `μ` minus the Radon-Nikodym derivative of the negative part of `s` with
respect to `μ`.
## Main results
* `MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq` :
the Lebesgue decomposition theorem between a signed measure and a σ-finite positive measure.
## Tags
Lebesgue decomposition theorem
-/
noncomputable section
open scoped Classical MeasureTheory NNReal ENNReal
open Set
variable {α β : Type*} {m : MeasurableSpace α} {μ ν : MeasureTheory.Measure α}
namespace MeasureTheory
namespace SignedMeasure
open Measure
/-- A signed measure `s` is said to `HaveLebesgueDecomposition` with respect to a measure `μ`
if the positive part and the negative part of `s` both `HaveLebesgueDecomposition` with
respect to `μ`. -/
class HaveLebesgueDecomposition (s : SignedMeasure α) (μ : Measure α) : Prop where
posPart : s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ
negPart : s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ
#align measure_theory.signed_measure.have_lebesgue_decomposition MeasureTheory.SignedMeasure.HaveLebesgueDecomposition
#align measure_theory.signed_measure.have_lebesgue_decomposition.pos_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.posPart
#align measure_theory.signed_measure.have_lebesgue_decomposition.neg_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.negPart
attribute [instance] HaveLebesgueDecomposition.posPart
attribute [instance] HaveLebesgueDecomposition.negPart
theorem not_haveLebesgueDecomposition_iff (s : SignedMeasure α) (μ : Measure α) :
¬s.HaveLebesgueDecomposition μ ↔
¬s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ ∨
¬s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ :=
⟨fun h => not_or_of_imp fun hp hn => h ⟨hp, hn⟩, fun h hl => (not_and_or.2 h) ⟨hl.1, hl.2⟩⟩
#align measure_theory.signed_measure.not_have_lebesgue_decomposition_iff MeasureTheory.SignedMeasure.not_haveLebesgueDecomposition_iff
-- `infer_instance` directly does not work
-- see Note [lower instance priority]
instance (priority := 100) haveLebesgueDecomposition_of_sigmaFinite (s : SignedMeasure α)
(μ : Measure α) [SigmaFinite μ] : s.HaveLebesgueDecomposition μ where
posPart := inferInstance
negPart := inferInstance
#align measure_theory.signed_measure.have_lebesgue_decomposition_of_sigma_finite MeasureTheory.SignedMeasure.haveLebesgueDecomposition_of_sigmaFinite
instance haveLebesgueDecomposition_neg (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] : (-s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_neg MeasureTheory.SignedMeasure.haveLebesgueDecomposition_neg
instance haveLebesgueDecomposition_smul (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ≥0) : (r • s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul
instance haveLebesgueDecomposition_smul_real (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ) : (r • s).HaveLebesgueDecomposition μ := by
by_cases hr : 0 ≤ r
· lift r to ℝ≥0 using hr
exact s.haveLebesgueDecomposition_smul μ _
· rw [not_le] at hr
refine'
{ posPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_posPart_neg _ _ hr]
infer_instance
negPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_negPart_neg _ _ hr]
infer_instance }
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul_real MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul_real
/-- Given a signed measure `s` and a measure `μ`, `s.singularPart μ` is the signed measure
such that `s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s` and
`s.singularPart μ` is mutually singular with respect to `μ`. -/
def singularPart (s : SignedMeasure α) (μ : Measure α) : SignedMeasure α :=
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure -
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure
#align measure_theory.signed_measure.singular_part MeasureTheory.SignedMeasure.singularPart
section
theorem singularPart_mutuallySingular (s : SignedMeasure α) (μ : Measure α) :
s.toJordanDecomposition.posPart.singularPart μ ⟂ₘ
s.toJordanDecomposition.negPart.singularPart μ := by
by_cases hl : s.HaveLebesgueDecomposition μ
· obtain ⟨i, hi, hpos, hneg⟩ := s.toJordanDecomposition.mutuallySingular
rw [s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ] at hpos
rw [s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ] at hneg
rw [add_apply, add_eq_zero_iff] at hpos hneg
exact ⟨i, hi, hpos.1, hneg.1⟩
· rw [not_haveLebesgueDecomposition_iff] at hl
cases' hl with hp hn
· rw [Measure.singularPart, dif_neg hp]
exact MutuallySingular.zero_left
· rw [Measure.singularPart, Measure.singularPart, dif_neg hn]
exact MutuallySingular.zero_right
#align measure_theory.signed_measure.singular_part_mutually_singular MeasureTheory.SignedMeasure.singularPart_mutuallySingular
theorem singularPart_totalVariation (s : SignedMeasure α) (μ : Measure α) :
(s.singularPart μ).totalVariation =
s.toJordanDecomposition.posPart.singularPart μ +
s.toJordanDecomposition.negPart.singularPart μ := by
have :
(s.singularPart μ).toJordanDecomposition =
⟨s.toJordanDecomposition.posPart.singularPart μ,
s.toJordanDecomposition.negPart.singularPart μ, singularPart_mutuallySingular s μ⟩ := by
refine' JordanDecomposition.toSignedMeasure_injective _
rw [toSignedMeasure_toJordanDecomposition, singularPart, JordanDecomposition.toSignedMeasure]
· rw [totalVariation, this]
#align measure_theory.signed_measure.singular_part_total_variation MeasureTheory.SignedMeasure.singularPart_totalVariation
nonrec theorem mutuallySingular_singularPart (s : SignedMeasure α) (μ : Measure α) :
singularPart s μ ⟂ᵥ μ.toENNRealVectorMeasure := by
rw [mutuallySingular_ennreal_iff, singularPart_totalVariation,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure]
exact (mutuallySingular_singularPart _ _).add_left (mutuallySingular_singularPart _ _)
#align measure_theory.signed_measure.mutually_singular_singular_part MeasureTheory.SignedMeasure.mutuallySingular_singularPart
end
/-- The Radon-Nikodym derivative between a signed measure and a positive measure.
`rnDeriv s μ` satisfies `μ.withDensityᵥ (s.rnDeriv μ) = s`
if and only if `s` is absolutely continuous with respect to `μ` and this fact is known as
`MeasureTheory.SignedMeasure.absolutelyContinuous_iff_withDensity_rnDeriv_eq`
and can be found in `MeasureTheory.Decomposition.RadonNikodym`. -/
def rnDeriv (s : SignedMeasure α) (μ : Measure α) : α → ℝ := fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal
#align measure_theory.signed_measure.rn_deriv MeasureTheory.SignedMeasure.rnDeriv
-- Porting note: The generated equation theorem is the form of `rnDeriv s μ x`.
theorem rnDeriv_def (s : SignedMeasure α) (μ : Measure α) : rnDeriv s μ = fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal :=
rfl
attribute [eqns rnDeriv_def] rnDeriv
variable {s t : SignedMeasure α}
@[measurability]
theorem measurable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Measurable (rnDeriv s μ) := by
rw [rnDeriv]
measurability
#align measure_theory.signed_measure.measurable_rn_deriv MeasureTheory.SignedMeasure.measurable_rnDeriv
theorem integrable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Integrable (rnDeriv s μ) μ := by
refine' Integrable.sub _ _ <;>
· constructor
· apply Measurable.aestronglyMeasurable; measurability
exact hasFiniteIntegral_toReal_of_lintegral_ne_top (lintegral_rnDeriv_lt_top _ μ).ne
#align measure_theory.signed_measure.integrable_rn_deriv MeasureTheory.SignedMeasure.integrable_rnDeriv
variable (s μ)
/-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
first
| | exact (lintegral_rnDeriv_lt_top _ _).ne | /-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
first
| | Mathlib.MeasureTheory.Decomposition.SignedLebesgue.205_0.HPGboz0rhL6sBes | /-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s | Mathlib_MeasureTheory_Decomposition_SignedLebesgue |
case hfm
α : Type u_1
β : Type u_2
m : MeasurableSpace α
μ ν : Measure α
s t : SignedMeasure α
inst✝ : HaveLebesgueDecomposition s μ
⊢ AEMeasurable fun x => Measure.rnDeriv (toJordanDecomposition s).negPart μ x | /-
Copyright (c) 2021 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.MeasureTheory.Decomposition.Lebesgue
import Mathlib.MeasureTheory.Measure.Complex
/-!
# Lebesgue decomposition
This file proves the Lebesgue decomposition theorem for signed measures. The Lebesgue decomposition
theorem states that, given two σ-finite measures `μ` and `ν`, there exists a σ-finite measure `ξ`
and a measurable function `f` such that `μ = ξ + fν` and `ξ` is mutually singular with respect
to `ν`.
## Main definitions
* `MeasureTheory.SignedMeasure.HaveLebesgueDecomposition` : A signed measure `s` and a
measure `μ` is said to `HaveLebesgueDecomposition` if both the positive part and negative
part of `s` `HaveLebesgueDecomposition` with respect to `μ`.
* `MeasureTheory.SignedMeasure.singularPart` : The singular part between a signed measure `s`
and a measure `μ` is simply the singular part of the positive part of `s` with respect to `μ`
minus the singular part of the negative part of `s` with respect to `μ`.
* `MeasureTheory.SignedMeasure.rnDeriv` : The Radon-Nikodym derivative of a signed
measure `s` with respect to a measure `μ` is the Radon-Nikodym derivative of the positive part of
`s` with respect to `μ` minus the Radon-Nikodym derivative of the negative part of `s` with
respect to `μ`.
## Main results
* `MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq` :
the Lebesgue decomposition theorem between a signed measure and a σ-finite positive measure.
## Tags
Lebesgue decomposition theorem
-/
noncomputable section
open scoped Classical MeasureTheory NNReal ENNReal
open Set
variable {α β : Type*} {m : MeasurableSpace α} {μ ν : MeasureTheory.Measure α}
namespace MeasureTheory
namespace SignedMeasure
open Measure
/-- A signed measure `s` is said to `HaveLebesgueDecomposition` with respect to a measure `μ`
if the positive part and the negative part of `s` both `HaveLebesgueDecomposition` with
respect to `μ`. -/
class HaveLebesgueDecomposition (s : SignedMeasure α) (μ : Measure α) : Prop where
posPart : s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ
negPart : s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ
#align measure_theory.signed_measure.have_lebesgue_decomposition MeasureTheory.SignedMeasure.HaveLebesgueDecomposition
#align measure_theory.signed_measure.have_lebesgue_decomposition.pos_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.posPart
#align measure_theory.signed_measure.have_lebesgue_decomposition.neg_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.negPart
attribute [instance] HaveLebesgueDecomposition.posPart
attribute [instance] HaveLebesgueDecomposition.negPart
theorem not_haveLebesgueDecomposition_iff (s : SignedMeasure α) (μ : Measure α) :
¬s.HaveLebesgueDecomposition μ ↔
¬s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ ∨
¬s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ :=
⟨fun h => not_or_of_imp fun hp hn => h ⟨hp, hn⟩, fun h hl => (not_and_or.2 h) ⟨hl.1, hl.2⟩⟩
#align measure_theory.signed_measure.not_have_lebesgue_decomposition_iff MeasureTheory.SignedMeasure.not_haveLebesgueDecomposition_iff
-- `infer_instance` directly does not work
-- see Note [lower instance priority]
instance (priority := 100) haveLebesgueDecomposition_of_sigmaFinite (s : SignedMeasure α)
(μ : Measure α) [SigmaFinite μ] : s.HaveLebesgueDecomposition μ where
posPart := inferInstance
negPart := inferInstance
#align measure_theory.signed_measure.have_lebesgue_decomposition_of_sigma_finite MeasureTheory.SignedMeasure.haveLebesgueDecomposition_of_sigmaFinite
instance haveLebesgueDecomposition_neg (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] : (-s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_neg MeasureTheory.SignedMeasure.haveLebesgueDecomposition_neg
instance haveLebesgueDecomposition_smul (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ≥0) : (r • s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul
instance haveLebesgueDecomposition_smul_real (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ) : (r • s).HaveLebesgueDecomposition μ := by
by_cases hr : 0 ≤ r
· lift r to ℝ≥0 using hr
exact s.haveLebesgueDecomposition_smul μ _
· rw [not_le] at hr
refine'
{ posPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_posPart_neg _ _ hr]
infer_instance
negPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_negPart_neg _ _ hr]
infer_instance }
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul_real MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul_real
/-- Given a signed measure `s` and a measure `μ`, `s.singularPart μ` is the signed measure
such that `s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s` and
`s.singularPart μ` is mutually singular with respect to `μ`. -/
def singularPart (s : SignedMeasure α) (μ : Measure α) : SignedMeasure α :=
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure -
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure
#align measure_theory.signed_measure.singular_part MeasureTheory.SignedMeasure.singularPart
section
theorem singularPart_mutuallySingular (s : SignedMeasure α) (μ : Measure α) :
s.toJordanDecomposition.posPart.singularPart μ ⟂ₘ
s.toJordanDecomposition.negPart.singularPart μ := by
by_cases hl : s.HaveLebesgueDecomposition μ
· obtain ⟨i, hi, hpos, hneg⟩ := s.toJordanDecomposition.mutuallySingular
rw [s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ] at hpos
rw [s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ] at hneg
rw [add_apply, add_eq_zero_iff] at hpos hneg
exact ⟨i, hi, hpos.1, hneg.1⟩
· rw [not_haveLebesgueDecomposition_iff] at hl
cases' hl with hp hn
· rw [Measure.singularPart, dif_neg hp]
exact MutuallySingular.zero_left
· rw [Measure.singularPart, Measure.singularPart, dif_neg hn]
exact MutuallySingular.zero_right
#align measure_theory.signed_measure.singular_part_mutually_singular MeasureTheory.SignedMeasure.singularPart_mutuallySingular
theorem singularPart_totalVariation (s : SignedMeasure α) (μ : Measure α) :
(s.singularPart μ).totalVariation =
s.toJordanDecomposition.posPart.singularPart μ +
s.toJordanDecomposition.negPart.singularPart μ := by
have :
(s.singularPart μ).toJordanDecomposition =
⟨s.toJordanDecomposition.posPart.singularPart μ,
s.toJordanDecomposition.negPart.singularPart μ, singularPart_mutuallySingular s μ⟩ := by
refine' JordanDecomposition.toSignedMeasure_injective _
rw [toSignedMeasure_toJordanDecomposition, singularPart, JordanDecomposition.toSignedMeasure]
· rw [totalVariation, this]
#align measure_theory.signed_measure.singular_part_total_variation MeasureTheory.SignedMeasure.singularPart_totalVariation
nonrec theorem mutuallySingular_singularPart (s : SignedMeasure α) (μ : Measure α) :
singularPart s μ ⟂ᵥ μ.toENNRealVectorMeasure := by
rw [mutuallySingular_ennreal_iff, singularPart_totalVariation,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure]
exact (mutuallySingular_singularPart _ _).add_left (mutuallySingular_singularPart _ _)
#align measure_theory.signed_measure.mutually_singular_singular_part MeasureTheory.SignedMeasure.mutuallySingular_singularPart
end
/-- The Radon-Nikodym derivative between a signed measure and a positive measure.
`rnDeriv s μ` satisfies `μ.withDensityᵥ (s.rnDeriv μ) = s`
if and only if `s` is absolutely continuous with respect to `μ` and this fact is known as
`MeasureTheory.SignedMeasure.absolutelyContinuous_iff_withDensity_rnDeriv_eq`
and can be found in `MeasureTheory.Decomposition.RadonNikodym`. -/
def rnDeriv (s : SignedMeasure α) (μ : Measure α) : α → ℝ := fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal
#align measure_theory.signed_measure.rn_deriv MeasureTheory.SignedMeasure.rnDeriv
-- Porting note: The generated equation theorem is the form of `rnDeriv s μ x`.
theorem rnDeriv_def (s : SignedMeasure α) (μ : Measure α) : rnDeriv s μ = fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal :=
rfl
attribute [eqns rnDeriv_def] rnDeriv
variable {s t : SignedMeasure α}
@[measurability]
theorem measurable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Measurable (rnDeriv s μ) := by
rw [rnDeriv]
measurability
#align measure_theory.signed_measure.measurable_rn_deriv MeasureTheory.SignedMeasure.measurable_rnDeriv
theorem integrable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Integrable (rnDeriv s μ) μ := by
refine' Integrable.sub _ _ <;>
· constructor
· apply Measurable.aestronglyMeasurable; measurability
exact hasFiniteIntegral_toReal_of_lintegral_ne_top (lintegral_rnDeriv_lt_top _ μ).ne
#align measure_theory.signed_measure.integrable_rn_deriv MeasureTheory.SignedMeasure.integrable_rnDeriv
variable (s μ)
/-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
first
| exact (lintegral_rnDeriv_lt_top _ _).ne
| | measurability | /-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
first
| exact (lintegral_rnDeriv_lt_top _ _).ne
| | Mathlib.MeasureTheory.Decomposition.SignedLebesgue.205_0.HPGboz0rhL6sBes | /-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s | Mathlib_MeasureTheory_Decomposition_SignedLebesgue |
case hfm
α : Type u_1
β : Type u_2
m : MeasurableSpace α
μ ν : Measure α
s t : SignedMeasure α
inst✝ : HaveLebesgueDecomposition s μ
⊢ AEMeasurable fun x => Measure.rnDeriv (toJordanDecomposition s).posPart μ x | /-
Copyright (c) 2021 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.MeasureTheory.Decomposition.Lebesgue
import Mathlib.MeasureTheory.Measure.Complex
/-!
# Lebesgue decomposition
This file proves the Lebesgue decomposition theorem for signed measures. The Lebesgue decomposition
theorem states that, given two σ-finite measures `μ` and `ν`, there exists a σ-finite measure `ξ`
and a measurable function `f` such that `μ = ξ + fν` and `ξ` is mutually singular with respect
to `ν`.
## Main definitions
* `MeasureTheory.SignedMeasure.HaveLebesgueDecomposition` : A signed measure `s` and a
measure `μ` is said to `HaveLebesgueDecomposition` if both the positive part and negative
part of `s` `HaveLebesgueDecomposition` with respect to `μ`.
* `MeasureTheory.SignedMeasure.singularPart` : The singular part between a signed measure `s`
and a measure `μ` is simply the singular part of the positive part of `s` with respect to `μ`
minus the singular part of the negative part of `s` with respect to `μ`.
* `MeasureTheory.SignedMeasure.rnDeriv` : The Radon-Nikodym derivative of a signed
measure `s` with respect to a measure `μ` is the Radon-Nikodym derivative of the positive part of
`s` with respect to `μ` minus the Radon-Nikodym derivative of the negative part of `s` with
respect to `μ`.
## Main results
* `MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq` :
the Lebesgue decomposition theorem between a signed measure and a σ-finite positive measure.
## Tags
Lebesgue decomposition theorem
-/
noncomputable section
open scoped Classical MeasureTheory NNReal ENNReal
open Set
variable {α β : Type*} {m : MeasurableSpace α} {μ ν : MeasureTheory.Measure α}
namespace MeasureTheory
namespace SignedMeasure
open Measure
/-- A signed measure `s` is said to `HaveLebesgueDecomposition` with respect to a measure `μ`
if the positive part and the negative part of `s` both `HaveLebesgueDecomposition` with
respect to `μ`. -/
class HaveLebesgueDecomposition (s : SignedMeasure α) (μ : Measure α) : Prop where
posPart : s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ
negPart : s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ
#align measure_theory.signed_measure.have_lebesgue_decomposition MeasureTheory.SignedMeasure.HaveLebesgueDecomposition
#align measure_theory.signed_measure.have_lebesgue_decomposition.pos_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.posPart
#align measure_theory.signed_measure.have_lebesgue_decomposition.neg_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.negPart
attribute [instance] HaveLebesgueDecomposition.posPart
attribute [instance] HaveLebesgueDecomposition.negPart
theorem not_haveLebesgueDecomposition_iff (s : SignedMeasure α) (μ : Measure α) :
¬s.HaveLebesgueDecomposition μ ↔
¬s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ ∨
¬s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ :=
⟨fun h => not_or_of_imp fun hp hn => h ⟨hp, hn⟩, fun h hl => (not_and_or.2 h) ⟨hl.1, hl.2⟩⟩
#align measure_theory.signed_measure.not_have_lebesgue_decomposition_iff MeasureTheory.SignedMeasure.not_haveLebesgueDecomposition_iff
-- `infer_instance` directly does not work
-- see Note [lower instance priority]
instance (priority := 100) haveLebesgueDecomposition_of_sigmaFinite (s : SignedMeasure α)
(μ : Measure α) [SigmaFinite μ] : s.HaveLebesgueDecomposition μ where
posPart := inferInstance
negPart := inferInstance
#align measure_theory.signed_measure.have_lebesgue_decomposition_of_sigma_finite MeasureTheory.SignedMeasure.haveLebesgueDecomposition_of_sigmaFinite
instance haveLebesgueDecomposition_neg (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] : (-s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_neg MeasureTheory.SignedMeasure.haveLebesgueDecomposition_neg
instance haveLebesgueDecomposition_smul (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ≥0) : (r • s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul
instance haveLebesgueDecomposition_smul_real (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ) : (r • s).HaveLebesgueDecomposition μ := by
by_cases hr : 0 ≤ r
· lift r to ℝ≥0 using hr
exact s.haveLebesgueDecomposition_smul μ _
· rw [not_le] at hr
refine'
{ posPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_posPart_neg _ _ hr]
infer_instance
negPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_negPart_neg _ _ hr]
infer_instance }
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul_real MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul_real
/-- Given a signed measure `s` and a measure `μ`, `s.singularPart μ` is the signed measure
such that `s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s` and
`s.singularPart μ` is mutually singular with respect to `μ`. -/
def singularPart (s : SignedMeasure α) (μ : Measure α) : SignedMeasure α :=
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure -
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure
#align measure_theory.signed_measure.singular_part MeasureTheory.SignedMeasure.singularPart
section
theorem singularPart_mutuallySingular (s : SignedMeasure α) (μ : Measure α) :
s.toJordanDecomposition.posPart.singularPart μ ⟂ₘ
s.toJordanDecomposition.negPart.singularPart μ := by
by_cases hl : s.HaveLebesgueDecomposition μ
· obtain ⟨i, hi, hpos, hneg⟩ := s.toJordanDecomposition.mutuallySingular
rw [s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ] at hpos
rw [s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ] at hneg
rw [add_apply, add_eq_zero_iff] at hpos hneg
exact ⟨i, hi, hpos.1, hneg.1⟩
· rw [not_haveLebesgueDecomposition_iff] at hl
cases' hl with hp hn
· rw [Measure.singularPart, dif_neg hp]
exact MutuallySingular.zero_left
· rw [Measure.singularPart, Measure.singularPart, dif_neg hn]
exact MutuallySingular.zero_right
#align measure_theory.signed_measure.singular_part_mutually_singular MeasureTheory.SignedMeasure.singularPart_mutuallySingular
theorem singularPart_totalVariation (s : SignedMeasure α) (μ : Measure α) :
(s.singularPart μ).totalVariation =
s.toJordanDecomposition.posPart.singularPart μ +
s.toJordanDecomposition.negPart.singularPart μ := by
have :
(s.singularPart μ).toJordanDecomposition =
⟨s.toJordanDecomposition.posPart.singularPart μ,
s.toJordanDecomposition.negPart.singularPart μ, singularPart_mutuallySingular s μ⟩ := by
refine' JordanDecomposition.toSignedMeasure_injective _
rw [toSignedMeasure_toJordanDecomposition, singularPart, JordanDecomposition.toSignedMeasure]
· rw [totalVariation, this]
#align measure_theory.signed_measure.singular_part_total_variation MeasureTheory.SignedMeasure.singularPart_totalVariation
nonrec theorem mutuallySingular_singularPart (s : SignedMeasure α) (μ : Measure α) :
singularPart s μ ⟂ᵥ μ.toENNRealVectorMeasure := by
rw [mutuallySingular_ennreal_iff, singularPart_totalVariation,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure]
exact (mutuallySingular_singularPart _ _).add_left (mutuallySingular_singularPart _ _)
#align measure_theory.signed_measure.mutually_singular_singular_part MeasureTheory.SignedMeasure.mutuallySingular_singularPart
end
/-- The Radon-Nikodym derivative between a signed measure and a positive measure.
`rnDeriv s μ` satisfies `μ.withDensityᵥ (s.rnDeriv μ) = s`
if and only if `s` is absolutely continuous with respect to `μ` and this fact is known as
`MeasureTheory.SignedMeasure.absolutelyContinuous_iff_withDensity_rnDeriv_eq`
and can be found in `MeasureTheory.Decomposition.RadonNikodym`. -/
def rnDeriv (s : SignedMeasure α) (μ : Measure α) : α → ℝ := fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal
#align measure_theory.signed_measure.rn_deriv MeasureTheory.SignedMeasure.rnDeriv
-- Porting note: The generated equation theorem is the form of `rnDeriv s μ x`.
theorem rnDeriv_def (s : SignedMeasure α) (μ : Measure α) : rnDeriv s μ = fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal :=
rfl
attribute [eqns rnDeriv_def] rnDeriv
variable {s t : SignedMeasure α}
@[measurability]
theorem measurable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Measurable (rnDeriv s μ) := by
rw [rnDeriv]
measurability
#align measure_theory.signed_measure.measurable_rn_deriv MeasureTheory.SignedMeasure.measurable_rnDeriv
theorem integrable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Integrable (rnDeriv s μ) μ := by
refine' Integrable.sub _ _ <;>
· constructor
· apply Measurable.aestronglyMeasurable; measurability
exact hasFiniteIntegral_toReal_of_lintegral_ne_top (lintegral_rnDeriv_lt_top _ μ).ne
#align measure_theory.signed_measure.integrable_rn_deriv MeasureTheory.SignedMeasure.integrable_rnDeriv
variable (s μ)
/-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
| first
| exact (lintegral_rnDeriv_lt_top _ _).ne
| measurability | /-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
| Mathlib.MeasureTheory.Decomposition.SignedLebesgue.205_0.HPGboz0rhL6sBes | /-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s | Mathlib_MeasureTheory_Decomposition_SignedLebesgue |
case hfm
α : Type u_1
β : Type u_2
m : MeasurableSpace α
μ ν : Measure α
s t : SignedMeasure α
inst✝ : HaveLebesgueDecomposition s μ
⊢ AEMeasurable fun x => Measure.rnDeriv (toJordanDecomposition s).posPart μ x | /-
Copyright (c) 2021 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.MeasureTheory.Decomposition.Lebesgue
import Mathlib.MeasureTheory.Measure.Complex
/-!
# Lebesgue decomposition
This file proves the Lebesgue decomposition theorem for signed measures. The Lebesgue decomposition
theorem states that, given two σ-finite measures `μ` and `ν`, there exists a σ-finite measure `ξ`
and a measurable function `f` such that `μ = ξ + fν` and `ξ` is mutually singular with respect
to `ν`.
## Main definitions
* `MeasureTheory.SignedMeasure.HaveLebesgueDecomposition` : A signed measure `s` and a
measure `μ` is said to `HaveLebesgueDecomposition` if both the positive part and negative
part of `s` `HaveLebesgueDecomposition` with respect to `μ`.
* `MeasureTheory.SignedMeasure.singularPart` : The singular part between a signed measure `s`
and a measure `μ` is simply the singular part of the positive part of `s` with respect to `μ`
minus the singular part of the negative part of `s` with respect to `μ`.
* `MeasureTheory.SignedMeasure.rnDeriv` : The Radon-Nikodym derivative of a signed
measure `s` with respect to a measure `μ` is the Radon-Nikodym derivative of the positive part of
`s` with respect to `μ` minus the Radon-Nikodym derivative of the negative part of `s` with
respect to `μ`.
## Main results
* `MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq` :
the Lebesgue decomposition theorem between a signed measure and a σ-finite positive measure.
## Tags
Lebesgue decomposition theorem
-/
noncomputable section
open scoped Classical MeasureTheory NNReal ENNReal
open Set
variable {α β : Type*} {m : MeasurableSpace α} {μ ν : MeasureTheory.Measure α}
namespace MeasureTheory
namespace SignedMeasure
open Measure
/-- A signed measure `s` is said to `HaveLebesgueDecomposition` with respect to a measure `μ`
if the positive part and the negative part of `s` both `HaveLebesgueDecomposition` with
respect to `μ`. -/
class HaveLebesgueDecomposition (s : SignedMeasure α) (μ : Measure α) : Prop where
posPart : s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ
negPart : s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ
#align measure_theory.signed_measure.have_lebesgue_decomposition MeasureTheory.SignedMeasure.HaveLebesgueDecomposition
#align measure_theory.signed_measure.have_lebesgue_decomposition.pos_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.posPart
#align measure_theory.signed_measure.have_lebesgue_decomposition.neg_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.negPart
attribute [instance] HaveLebesgueDecomposition.posPart
attribute [instance] HaveLebesgueDecomposition.negPart
theorem not_haveLebesgueDecomposition_iff (s : SignedMeasure α) (μ : Measure α) :
¬s.HaveLebesgueDecomposition μ ↔
¬s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ ∨
¬s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ :=
⟨fun h => not_or_of_imp fun hp hn => h ⟨hp, hn⟩, fun h hl => (not_and_or.2 h) ⟨hl.1, hl.2⟩⟩
#align measure_theory.signed_measure.not_have_lebesgue_decomposition_iff MeasureTheory.SignedMeasure.not_haveLebesgueDecomposition_iff
-- `infer_instance` directly does not work
-- see Note [lower instance priority]
instance (priority := 100) haveLebesgueDecomposition_of_sigmaFinite (s : SignedMeasure α)
(μ : Measure α) [SigmaFinite μ] : s.HaveLebesgueDecomposition μ where
posPart := inferInstance
negPart := inferInstance
#align measure_theory.signed_measure.have_lebesgue_decomposition_of_sigma_finite MeasureTheory.SignedMeasure.haveLebesgueDecomposition_of_sigmaFinite
instance haveLebesgueDecomposition_neg (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] : (-s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_neg MeasureTheory.SignedMeasure.haveLebesgueDecomposition_neg
instance haveLebesgueDecomposition_smul (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ≥0) : (r • s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul
instance haveLebesgueDecomposition_smul_real (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ) : (r • s).HaveLebesgueDecomposition μ := by
by_cases hr : 0 ≤ r
· lift r to ℝ≥0 using hr
exact s.haveLebesgueDecomposition_smul μ _
· rw [not_le] at hr
refine'
{ posPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_posPart_neg _ _ hr]
infer_instance
negPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_negPart_neg _ _ hr]
infer_instance }
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul_real MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul_real
/-- Given a signed measure `s` and a measure `μ`, `s.singularPart μ` is the signed measure
such that `s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s` and
`s.singularPart μ` is mutually singular with respect to `μ`. -/
def singularPart (s : SignedMeasure α) (μ : Measure α) : SignedMeasure α :=
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure -
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure
#align measure_theory.signed_measure.singular_part MeasureTheory.SignedMeasure.singularPart
section
theorem singularPart_mutuallySingular (s : SignedMeasure α) (μ : Measure α) :
s.toJordanDecomposition.posPart.singularPart μ ⟂ₘ
s.toJordanDecomposition.negPart.singularPart μ := by
by_cases hl : s.HaveLebesgueDecomposition μ
· obtain ⟨i, hi, hpos, hneg⟩ := s.toJordanDecomposition.mutuallySingular
rw [s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ] at hpos
rw [s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ] at hneg
rw [add_apply, add_eq_zero_iff] at hpos hneg
exact ⟨i, hi, hpos.1, hneg.1⟩
· rw [not_haveLebesgueDecomposition_iff] at hl
cases' hl with hp hn
· rw [Measure.singularPart, dif_neg hp]
exact MutuallySingular.zero_left
· rw [Measure.singularPart, Measure.singularPart, dif_neg hn]
exact MutuallySingular.zero_right
#align measure_theory.signed_measure.singular_part_mutually_singular MeasureTheory.SignedMeasure.singularPart_mutuallySingular
theorem singularPart_totalVariation (s : SignedMeasure α) (μ : Measure α) :
(s.singularPart μ).totalVariation =
s.toJordanDecomposition.posPart.singularPart μ +
s.toJordanDecomposition.negPart.singularPart μ := by
have :
(s.singularPart μ).toJordanDecomposition =
⟨s.toJordanDecomposition.posPart.singularPart μ,
s.toJordanDecomposition.negPart.singularPart μ, singularPart_mutuallySingular s μ⟩ := by
refine' JordanDecomposition.toSignedMeasure_injective _
rw [toSignedMeasure_toJordanDecomposition, singularPart, JordanDecomposition.toSignedMeasure]
· rw [totalVariation, this]
#align measure_theory.signed_measure.singular_part_total_variation MeasureTheory.SignedMeasure.singularPart_totalVariation
nonrec theorem mutuallySingular_singularPart (s : SignedMeasure α) (μ : Measure α) :
singularPart s μ ⟂ᵥ μ.toENNRealVectorMeasure := by
rw [mutuallySingular_ennreal_iff, singularPart_totalVariation,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure]
exact (mutuallySingular_singularPart _ _).add_left (mutuallySingular_singularPart _ _)
#align measure_theory.signed_measure.mutually_singular_singular_part MeasureTheory.SignedMeasure.mutuallySingular_singularPart
end
/-- The Radon-Nikodym derivative between a signed measure and a positive measure.
`rnDeriv s μ` satisfies `μ.withDensityᵥ (s.rnDeriv μ) = s`
if and only if `s` is absolutely continuous with respect to `μ` and this fact is known as
`MeasureTheory.SignedMeasure.absolutelyContinuous_iff_withDensity_rnDeriv_eq`
and can be found in `MeasureTheory.Decomposition.RadonNikodym`. -/
def rnDeriv (s : SignedMeasure α) (μ : Measure α) : α → ℝ := fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal
#align measure_theory.signed_measure.rn_deriv MeasureTheory.SignedMeasure.rnDeriv
-- Porting note: The generated equation theorem is the form of `rnDeriv s μ x`.
theorem rnDeriv_def (s : SignedMeasure α) (μ : Measure α) : rnDeriv s μ = fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal :=
rfl
attribute [eqns rnDeriv_def] rnDeriv
variable {s t : SignedMeasure α}
@[measurability]
theorem measurable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Measurable (rnDeriv s μ) := by
rw [rnDeriv]
measurability
#align measure_theory.signed_measure.measurable_rn_deriv MeasureTheory.SignedMeasure.measurable_rnDeriv
theorem integrable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Integrable (rnDeriv s μ) μ := by
refine' Integrable.sub _ _ <;>
· constructor
· apply Measurable.aestronglyMeasurable; measurability
exact hasFiniteIntegral_toReal_of_lintegral_ne_top (lintegral_rnDeriv_lt_top _ μ).ne
#align measure_theory.signed_measure.integrable_rn_deriv MeasureTheory.SignedMeasure.integrable_rnDeriv
variable (s μ)
/-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
first
| | exact (lintegral_rnDeriv_lt_top _ _).ne | /-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
first
| | Mathlib.MeasureTheory.Decomposition.SignedLebesgue.205_0.HPGboz0rhL6sBes | /-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s | Mathlib_MeasureTheory_Decomposition_SignedLebesgue |
case hfm
α : Type u_1
β : Type u_2
m : MeasurableSpace α
μ ν : Measure α
s t : SignedMeasure α
inst✝ : HaveLebesgueDecomposition s μ
⊢ AEMeasurable fun x => Measure.rnDeriv (toJordanDecomposition s).posPart μ x | /-
Copyright (c) 2021 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.MeasureTheory.Decomposition.Lebesgue
import Mathlib.MeasureTheory.Measure.Complex
/-!
# Lebesgue decomposition
This file proves the Lebesgue decomposition theorem for signed measures. The Lebesgue decomposition
theorem states that, given two σ-finite measures `μ` and `ν`, there exists a σ-finite measure `ξ`
and a measurable function `f` such that `μ = ξ + fν` and `ξ` is mutually singular with respect
to `ν`.
## Main definitions
* `MeasureTheory.SignedMeasure.HaveLebesgueDecomposition` : A signed measure `s` and a
measure `μ` is said to `HaveLebesgueDecomposition` if both the positive part and negative
part of `s` `HaveLebesgueDecomposition` with respect to `μ`.
* `MeasureTheory.SignedMeasure.singularPart` : The singular part between a signed measure `s`
and a measure `μ` is simply the singular part of the positive part of `s` with respect to `μ`
minus the singular part of the negative part of `s` with respect to `μ`.
* `MeasureTheory.SignedMeasure.rnDeriv` : The Radon-Nikodym derivative of a signed
measure `s` with respect to a measure `μ` is the Radon-Nikodym derivative of the positive part of
`s` with respect to `μ` minus the Radon-Nikodym derivative of the negative part of `s` with
respect to `μ`.
## Main results
* `MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq` :
the Lebesgue decomposition theorem between a signed measure and a σ-finite positive measure.
## Tags
Lebesgue decomposition theorem
-/
noncomputable section
open scoped Classical MeasureTheory NNReal ENNReal
open Set
variable {α β : Type*} {m : MeasurableSpace α} {μ ν : MeasureTheory.Measure α}
namespace MeasureTheory
namespace SignedMeasure
open Measure
/-- A signed measure `s` is said to `HaveLebesgueDecomposition` with respect to a measure `μ`
if the positive part and the negative part of `s` both `HaveLebesgueDecomposition` with
respect to `μ`. -/
class HaveLebesgueDecomposition (s : SignedMeasure α) (μ : Measure α) : Prop where
posPart : s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ
negPart : s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ
#align measure_theory.signed_measure.have_lebesgue_decomposition MeasureTheory.SignedMeasure.HaveLebesgueDecomposition
#align measure_theory.signed_measure.have_lebesgue_decomposition.pos_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.posPart
#align measure_theory.signed_measure.have_lebesgue_decomposition.neg_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.negPart
attribute [instance] HaveLebesgueDecomposition.posPart
attribute [instance] HaveLebesgueDecomposition.negPart
theorem not_haveLebesgueDecomposition_iff (s : SignedMeasure α) (μ : Measure α) :
¬s.HaveLebesgueDecomposition μ ↔
¬s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ ∨
¬s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ :=
⟨fun h => not_or_of_imp fun hp hn => h ⟨hp, hn⟩, fun h hl => (not_and_or.2 h) ⟨hl.1, hl.2⟩⟩
#align measure_theory.signed_measure.not_have_lebesgue_decomposition_iff MeasureTheory.SignedMeasure.not_haveLebesgueDecomposition_iff
-- `infer_instance` directly does not work
-- see Note [lower instance priority]
instance (priority := 100) haveLebesgueDecomposition_of_sigmaFinite (s : SignedMeasure α)
(μ : Measure α) [SigmaFinite μ] : s.HaveLebesgueDecomposition μ where
posPart := inferInstance
negPart := inferInstance
#align measure_theory.signed_measure.have_lebesgue_decomposition_of_sigma_finite MeasureTheory.SignedMeasure.haveLebesgueDecomposition_of_sigmaFinite
instance haveLebesgueDecomposition_neg (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] : (-s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_neg MeasureTheory.SignedMeasure.haveLebesgueDecomposition_neg
instance haveLebesgueDecomposition_smul (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ≥0) : (r • s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul
instance haveLebesgueDecomposition_smul_real (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ) : (r • s).HaveLebesgueDecomposition μ := by
by_cases hr : 0 ≤ r
· lift r to ℝ≥0 using hr
exact s.haveLebesgueDecomposition_smul μ _
· rw [not_le] at hr
refine'
{ posPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_posPart_neg _ _ hr]
infer_instance
negPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_negPart_neg _ _ hr]
infer_instance }
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul_real MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul_real
/-- Given a signed measure `s` and a measure `μ`, `s.singularPart μ` is the signed measure
such that `s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s` and
`s.singularPart μ` is mutually singular with respect to `μ`. -/
def singularPart (s : SignedMeasure α) (μ : Measure α) : SignedMeasure α :=
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure -
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure
#align measure_theory.signed_measure.singular_part MeasureTheory.SignedMeasure.singularPart
section
theorem singularPart_mutuallySingular (s : SignedMeasure α) (μ : Measure α) :
s.toJordanDecomposition.posPart.singularPart μ ⟂ₘ
s.toJordanDecomposition.negPart.singularPart μ := by
by_cases hl : s.HaveLebesgueDecomposition μ
· obtain ⟨i, hi, hpos, hneg⟩ := s.toJordanDecomposition.mutuallySingular
rw [s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ] at hpos
rw [s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ] at hneg
rw [add_apply, add_eq_zero_iff] at hpos hneg
exact ⟨i, hi, hpos.1, hneg.1⟩
· rw [not_haveLebesgueDecomposition_iff] at hl
cases' hl with hp hn
· rw [Measure.singularPart, dif_neg hp]
exact MutuallySingular.zero_left
· rw [Measure.singularPart, Measure.singularPart, dif_neg hn]
exact MutuallySingular.zero_right
#align measure_theory.signed_measure.singular_part_mutually_singular MeasureTheory.SignedMeasure.singularPart_mutuallySingular
theorem singularPart_totalVariation (s : SignedMeasure α) (μ : Measure α) :
(s.singularPart μ).totalVariation =
s.toJordanDecomposition.posPart.singularPart μ +
s.toJordanDecomposition.negPart.singularPart μ := by
have :
(s.singularPart μ).toJordanDecomposition =
⟨s.toJordanDecomposition.posPart.singularPart μ,
s.toJordanDecomposition.negPart.singularPart μ, singularPart_mutuallySingular s μ⟩ := by
refine' JordanDecomposition.toSignedMeasure_injective _
rw [toSignedMeasure_toJordanDecomposition, singularPart, JordanDecomposition.toSignedMeasure]
· rw [totalVariation, this]
#align measure_theory.signed_measure.singular_part_total_variation MeasureTheory.SignedMeasure.singularPart_totalVariation
nonrec theorem mutuallySingular_singularPart (s : SignedMeasure α) (μ : Measure α) :
singularPart s μ ⟂ᵥ μ.toENNRealVectorMeasure := by
rw [mutuallySingular_ennreal_iff, singularPart_totalVariation,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure]
exact (mutuallySingular_singularPart _ _).add_left (mutuallySingular_singularPart _ _)
#align measure_theory.signed_measure.mutually_singular_singular_part MeasureTheory.SignedMeasure.mutuallySingular_singularPart
end
/-- The Radon-Nikodym derivative between a signed measure and a positive measure.
`rnDeriv s μ` satisfies `μ.withDensityᵥ (s.rnDeriv μ) = s`
if and only if `s` is absolutely continuous with respect to `μ` and this fact is known as
`MeasureTheory.SignedMeasure.absolutelyContinuous_iff_withDensity_rnDeriv_eq`
and can be found in `MeasureTheory.Decomposition.RadonNikodym`. -/
def rnDeriv (s : SignedMeasure α) (μ : Measure α) : α → ℝ := fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal
#align measure_theory.signed_measure.rn_deriv MeasureTheory.SignedMeasure.rnDeriv
-- Porting note: The generated equation theorem is the form of `rnDeriv s μ x`.
theorem rnDeriv_def (s : SignedMeasure α) (μ : Measure α) : rnDeriv s μ = fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal :=
rfl
attribute [eqns rnDeriv_def] rnDeriv
variable {s t : SignedMeasure α}
@[measurability]
theorem measurable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Measurable (rnDeriv s μ) := by
rw [rnDeriv]
measurability
#align measure_theory.signed_measure.measurable_rn_deriv MeasureTheory.SignedMeasure.measurable_rnDeriv
theorem integrable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Integrable (rnDeriv s μ) μ := by
refine' Integrable.sub _ _ <;>
· constructor
· apply Measurable.aestronglyMeasurable; measurability
exact hasFiniteIntegral_toReal_of_lintegral_ne_top (lintegral_rnDeriv_lt_top _ μ).ne
#align measure_theory.signed_measure.integrable_rn_deriv MeasureTheory.SignedMeasure.integrable_rnDeriv
variable (s μ)
/-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
first
| exact (lintegral_rnDeriv_lt_top _ _).ne
| | measurability | /-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
first
| exact (lintegral_rnDeriv_lt_top _ _).ne
| | Mathlib.MeasureTheory.Decomposition.SignedLebesgue.205_0.HPGboz0rhL6sBes | /-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s | Mathlib_MeasureTheory_Decomposition_SignedLebesgue |
α : Type u_1
β : Type u_2
m : MeasurableSpace α
μ ν : Measure α
s t : SignedMeasure α
inst✝ : HaveLebesgueDecomposition s μ
⊢ AEMeasurable fun x => Measure.rnDeriv (toJordanDecomposition s).posPart μ x | /-
Copyright (c) 2021 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.MeasureTheory.Decomposition.Lebesgue
import Mathlib.MeasureTheory.Measure.Complex
/-!
# Lebesgue decomposition
This file proves the Lebesgue decomposition theorem for signed measures. The Lebesgue decomposition
theorem states that, given two σ-finite measures `μ` and `ν`, there exists a σ-finite measure `ξ`
and a measurable function `f` such that `μ = ξ + fν` and `ξ` is mutually singular with respect
to `ν`.
## Main definitions
* `MeasureTheory.SignedMeasure.HaveLebesgueDecomposition` : A signed measure `s` and a
measure `μ` is said to `HaveLebesgueDecomposition` if both the positive part and negative
part of `s` `HaveLebesgueDecomposition` with respect to `μ`.
* `MeasureTheory.SignedMeasure.singularPart` : The singular part between a signed measure `s`
and a measure `μ` is simply the singular part of the positive part of `s` with respect to `μ`
minus the singular part of the negative part of `s` with respect to `μ`.
* `MeasureTheory.SignedMeasure.rnDeriv` : The Radon-Nikodym derivative of a signed
measure `s` with respect to a measure `μ` is the Radon-Nikodym derivative of the positive part of
`s` with respect to `μ` minus the Radon-Nikodym derivative of the negative part of `s` with
respect to `μ`.
## Main results
* `MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq` :
the Lebesgue decomposition theorem between a signed measure and a σ-finite positive measure.
## Tags
Lebesgue decomposition theorem
-/
noncomputable section
open scoped Classical MeasureTheory NNReal ENNReal
open Set
variable {α β : Type*} {m : MeasurableSpace α} {μ ν : MeasureTheory.Measure α}
namespace MeasureTheory
namespace SignedMeasure
open Measure
/-- A signed measure `s` is said to `HaveLebesgueDecomposition` with respect to a measure `μ`
if the positive part and the negative part of `s` both `HaveLebesgueDecomposition` with
respect to `μ`. -/
class HaveLebesgueDecomposition (s : SignedMeasure α) (μ : Measure α) : Prop where
posPart : s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ
negPart : s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ
#align measure_theory.signed_measure.have_lebesgue_decomposition MeasureTheory.SignedMeasure.HaveLebesgueDecomposition
#align measure_theory.signed_measure.have_lebesgue_decomposition.pos_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.posPart
#align measure_theory.signed_measure.have_lebesgue_decomposition.neg_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.negPart
attribute [instance] HaveLebesgueDecomposition.posPart
attribute [instance] HaveLebesgueDecomposition.negPart
theorem not_haveLebesgueDecomposition_iff (s : SignedMeasure α) (μ : Measure α) :
¬s.HaveLebesgueDecomposition μ ↔
¬s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ ∨
¬s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ :=
⟨fun h => not_or_of_imp fun hp hn => h ⟨hp, hn⟩, fun h hl => (not_and_or.2 h) ⟨hl.1, hl.2⟩⟩
#align measure_theory.signed_measure.not_have_lebesgue_decomposition_iff MeasureTheory.SignedMeasure.not_haveLebesgueDecomposition_iff
-- `infer_instance` directly does not work
-- see Note [lower instance priority]
instance (priority := 100) haveLebesgueDecomposition_of_sigmaFinite (s : SignedMeasure α)
(μ : Measure α) [SigmaFinite μ] : s.HaveLebesgueDecomposition μ where
posPart := inferInstance
negPart := inferInstance
#align measure_theory.signed_measure.have_lebesgue_decomposition_of_sigma_finite MeasureTheory.SignedMeasure.haveLebesgueDecomposition_of_sigmaFinite
instance haveLebesgueDecomposition_neg (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] : (-s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_neg MeasureTheory.SignedMeasure.haveLebesgueDecomposition_neg
instance haveLebesgueDecomposition_smul (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ≥0) : (r • s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul
instance haveLebesgueDecomposition_smul_real (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ) : (r • s).HaveLebesgueDecomposition μ := by
by_cases hr : 0 ≤ r
· lift r to ℝ≥0 using hr
exact s.haveLebesgueDecomposition_smul μ _
· rw [not_le] at hr
refine'
{ posPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_posPart_neg _ _ hr]
infer_instance
negPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_negPart_neg _ _ hr]
infer_instance }
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul_real MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul_real
/-- Given a signed measure `s` and a measure `μ`, `s.singularPart μ` is the signed measure
such that `s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s` and
`s.singularPart μ` is mutually singular with respect to `μ`. -/
def singularPart (s : SignedMeasure α) (μ : Measure α) : SignedMeasure α :=
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure -
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure
#align measure_theory.signed_measure.singular_part MeasureTheory.SignedMeasure.singularPart
section
theorem singularPart_mutuallySingular (s : SignedMeasure α) (μ : Measure α) :
s.toJordanDecomposition.posPart.singularPart μ ⟂ₘ
s.toJordanDecomposition.negPart.singularPart μ := by
by_cases hl : s.HaveLebesgueDecomposition μ
· obtain ⟨i, hi, hpos, hneg⟩ := s.toJordanDecomposition.mutuallySingular
rw [s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ] at hpos
rw [s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ] at hneg
rw [add_apply, add_eq_zero_iff] at hpos hneg
exact ⟨i, hi, hpos.1, hneg.1⟩
· rw [not_haveLebesgueDecomposition_iff] at hl
cases' hl with hp hn
· rw [Measure.singularPart, dif_neg hp]
exact MutuallySingular.zero_left
· rw [Measure.singularPart, Measure.singularPart, dif_neg hn]
exact MutuallySingular.zero_right
#align measure_theory.signed_measure.singular_part_mutually_singular MeasureTheory.SignedMeasure.singularPart_mutuallySingular
theorem singularPart_totalVariation (s : SignedMeasure α) (μ : Measure α) :
(s.singularPart μ).totalVariation =
s.toJordanDecomposition.posPart.singularPart μ +
s.toJordanDecomposition.negPart.singularPart μ := by
have :
(s.singularPart μ).toJordanDecomposition =
⟨s.toJordanDecomposition.posPart.singularPart μ,
s.toJordanDecomposition.negPart.singularPart μ, singularPart_mutuallySingular s μ⟩ := by
refine' JordanDecomposition.toSignedMeasure_injective _
rw [toSignedMeasure_toJordanDecomposition, singularPart, JordanDecomposition.toSignedMeasure]
· rw [totalVariation, this]
#align measure_theory.signed_measure.singular_part_total_variation MeasureTheory.SignedMeasure.singularPart_totalVariation
nonrec theorem mutuallySingular_singularPart (s : SignedMeasure α) (μ : Measure α) :
singularPart s μ ⟂ᵥ μ.toENNRealVectorMeasure := by
rw [mutuallySingular_ennreal_iff, singularPart_totalVariation,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure]
exact (mutuallySingular_singularPart _ _).add_left (mutuallySingular_singularPart _ _)
#align measure_theory.signed_measure.mutually_singular_singular_part MeasureTheory.SignedMeasure.mutuallySingular_singularPart
end
/-- The Radon-Nikodym derivative between a signed measure and a positive measure.
`rnDeriv s μ` satisfies `μ.withDensityᵥ (s.rnDeriv μ) = s`
if and only if `s` is absolutely continuous with respect to `μ` and this fact is known as
`MeasureTheory.SignedMeasure.absolutelyContinuous_iff_withDensity_rnDeriv_eq`
and can be found in `MeasureTheory.Decomposition.RadonNikodym`. -/
def rnDeriv (s : SignedMeasure α) (μ : Measure α) : α → ℝ := fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal
#align measure_theory.signed_measure.rn_deriv MeasureTheory.SignedMeasure.rnDeriv
-- Porting note: The generated equation theorem is the form of `rnDeriv s μ x`.
theorem rnDeriv_def (s : SignedMeasure α) (μ : Measure α) : rnDeriv s μ = fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal :=
rfl
attribute [eqns rnDeriv_def] rnDeriv
variable {s t : SignedMeasure α}
@[measurability]
theorem measurable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Measurable (rnDeriv s μ) := by
rw [rnDeriv]
measurability
#align measure_theory.signed_measure.measurable_rn_deriv MeasureTheory.SignedMeasure.measurable_rnDeriv
theorem integrable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Integrable (rnDeriv s μ) μ := by
refine' Integrable.sub _ _ <;>
· constructor
· apply Measurable.aestronglyMeasurable; measurability
exact hasFiniteIntegral_toReal_of_lintegral_ne_top (lintegral_rnDeriv_lt_top _ μ).ne
#align measure_theory.signed_measure.integrable_rn_deriv MeasureTheory.SignedMeasure.integrable_rnDeriv
variable (s μ)
/-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
| first
| exact (lintegral_rnDeriv_lt_top _ _).ne
| measurability | /-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
| Mathlib.MeasureTheory.Decomposition.SignedLebesgue.205_0.HPGboz0rhL6sBes | /-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s | Mathlib_MeasureTheory_Decomposition_SignedLebesgue |
α : Type u_1
β : Type u_2
m : MeasurableSpace α
μ ν : Measure α
s t : SignedMeasure α
inst✝ : HaveLebesgueDecomposition s μ
⊢ AEMeasurable fun x => Measure.rnDeriv (toJordanDecomposition s).posPart μ x | /-
Copyright (c) 2021 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.MeasureTheory.Decomposition.Lebesgue
import Mathlib.MeasureTheory.Measure.Complex
/-!
# Lebesgue decomposition
This file proves the Lebesgue decomposition theorem for signed measures. The Lebesgue decomposition
theorem states that, given two σ-finite measures `μ` and `ν`, there exists a σ-finite measure `ξ`
and a measurable function `f` such that `μ = ξ + fν` and `ξ` is mutually singular with respect
to `ν`.
## Main definitions
* `MeasureTheory.SignedMeasure.HaveLebesgueDecomposition` : A signed measure `s` and a
measure `μ` is said to `HaveLebesgueDecomposition` if both the positive part and negative
part of `s` `HaveLebesgueDecomposition` with respect to `μ`.
* `MeasureTheory.SignedMeasure.singularPart` : The singular part between a signed measure `s`
and a measure `μ` is simply the singular part of the positive part of `s` with respect to `μ`
minus the singular part of the negative part of `s` with respect to `μ`.
* `MeasureTheory.SignedMeasure.rnDeriv` : The Radon-Nikodym derivative of a signed
measure `s` with respect to a measure `μ` is the Radon-Nikodym derivative of the positive part of
`s` with respect to `μ` minus the Radon-Nikodym derivative of the negative part of `s` with
respect to `μ`.
## Main results
* `MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq` :
the Lebesgue decomposition theorem between a signed measure and a σ-finite positive measure.
## Tags
Lebesgue decomposition theorem
-/
noncomputable section
open scoped Classical MeasureTheory NNReal ENNReal
open Set
variable {α β : Type*} {m : MeasurableSpace α} {μ ν : MeasureTheory.Measure α}
namespace MeasureTheory
namespace SignedMeasure
open Measure
/-- A signed measure `s` is said to `HaveLebesgueDecomposition` with respect to a measure `μ`
if the positive part and the negative part of `s` both `HaveLebesgueDecomposition` with
respect to `μ`. -/
class HaveLebesgueDecomposition (s : SignedMeasure α) (μ : Measure α) : Prop where
posPart : s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ
negPart : s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ
#align measure_theory.signed_measure.have_lebesgue_decomposition MeasureTheory.SignedMeasure.HaveLebesgueDecomposition
#align measure_theory.signed_measure.have_lebesgue_decomposition.pos_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.posPart
#align measure_theory.signed_measure.have_lebesgue_decomposition.neg_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.negPart
attribute [instance] HaveLebesgueDecomposition.posPart
attribute [instance] HaveLebesgueDecomposition.negPart
theorem not_haveLebesgueDecomposition_iff (s : SignedMeasure α) (μ : Measure α) :
¬s.HaveLebesgueDecomposition μ ↔
¬s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ ∨
¬s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ :=
⟨fun h => not_or_of_imp fun hp hn => h ⟨hp, hn⟩, fun h hl => (not_and_or.2 h) ⟨hl.1, hl.2⟩⟩
#align measure_theory.signed_measure.not_have_lebesgue_decomposition_iff MeasureTheory.SignedMeasure.not_haveLebesgueDecomposition_iff
-- `infer_instance` directly does not work
-- see Note [lower instance priority]
instance (priority := 100) haveLebesgueDecomposition_of_sigmaFinite (s : SignedMeasure α)
(μ : Measure α) [SigmaFinite μ] : s.HaveLebesgueDecomposition μ where
posPart := inferInstance
negPart := inferInstance
#align measure_theory.signed_measure.have_lebesgue_decomposition_of_sigma_finite MeasureTheory.SignedMeasure.haveLebesgueDecomposition_of_sigmaFinite
instance haveLebesgueDecomposition_neg (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] : (-s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_neg MeasureTheory.SignedMeasure.haveLebesgueDecomposition_neg
instance haveLebesgueDecomposition_smul (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ≥0) : (r • s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul
instance haveLebesgueDecomposition_smul_real (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ) : (r • s).HaveLebesgueDecomposition μ := by
by_cases hr : 0 ≤ r
· lift r to ℝ≥0 using hr
exact s.haveLebesgueDecomposition_smul μ _
· rw [not_le] at hr
refine'
{ posPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_posPart_neg _ _ hr]
infer_instance
negPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_negPart_neg _ _ hr]
infer_instance }
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul_real MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul_real
/-- Given a signed measure `s` and a measure `μ`, `s.singularPart μ` is the signed measure
such that `s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s` and
`s.singularPart μ` is mutually singular with respect to `μ`. -/
def singularPart (s : SignedMeasure α) (μ : Measure α) : SignedMeasure α :=
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure -
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure
#align measure_theory.signed_measure.singular_part MeasureTheory.SignedMeasure.singularPart
section
theorem singularPart_mutuallySingular (s : SignedMeasure α) (μ : Measure α) :
s.toJordanDecomposition.posPart.singularPart μ ⟂ₘ
s.toJordanDecomposition.negPart.singularPart μ := by
by_cases hl : s.HaveLebesgueDecomposition μ
· obtain ⟨i, hi, hpos, hneg⟩ := s.toJordanDecomposition.mutuallySingular
rw [s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ] at hpos
rw [s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ] at hneg
rw [add_apply, add_eq_zero_iff] at hpos hneg
exact ⟨i, hi, hpos.1, hneg.1⟩
· rw [not_haveLebesgueDecomposition_iff] at hl
cases' hl with hp hn
· rw [Measure.singularPart, dif_neg hp]
exact MutuallySingular.zero_left
· rw [Measure.singularPart, Measure.singularPart, dif_neg hn]
exact MutuallySingular.zero_right
#align measure_theory.signed_measure.singular_part_mutually_singular MeasureTheory.SignedMeasure.singularPart_mutuallySingular
theorem singularPart_totalVariation (s : SignedMeasure α) (μ : Measure α) :
(s.singularPart μ).totalVariation =
s.toJordanDecomposition.posPart.singularPart μ +
s.toJordanDecomposition.negPart.singularPart μ := by
have :
(s.singularPart μ).toJordanDecomposition =
⟨s.toJordanDecomposition.posPart.singularPart μ,
s.toJordanDecomposition.negPart.singularPart μ, singularPart_mutuallySingular s μ⟩ := by
refine' JordanDecomposition.toSignedMeasure_injective _
rw [toSignedMeasure_toJordanDecomposition, singularPart, JordanDecomposition.toSignedMeasure]
· rw [totalVariation, this]
#align measure_theory.signed_measure.singular_part_total_variation MeasureTheory.SignedMeasure.singularPart_totalVariation
nonrec theorem mutuallySingular_singularPart (s : SignedMeasure α) (μ : Measure α) :
singularPart s μ ⟂ᵥ μ.toENNRealVectorMeasure := by
rw [mutuallySingular_ennreal_iff, singularPart_totalVariation,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure]
exact (mutuallySingular_singularPart _ _).add_left (mutuallySingular_singularPart _ _)
#align measure_theory.signed_measure.mutually_singular_singular_part MeasureTheory.SignedMeasure.mutuallySingular_singularPart
end
/-- The Radon-Nikodym derivative between a signed measure and a positive measure.
`rnDeriv s μ` satisfies `μ.withDensityᵥ (s.rnDeriv μ) = s`
if and only if `s` is absolutely continuous with respect to `μ` and this fact is known as
`MeasureTheory.SignedMeasure.absolutelyContinuous_iff_withDensity_rnDeriv_eq`
and can be found in `MeasureTheory.Decomposition.RadonNikodym`. -/
def rnDeriv (s : SignedMeasure α) (μ : Measure α) : α → ℝ := fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal
#align measure_theory.signed_measure.rn_deriv MeasureTheory.SignedMeasure.rnDeriv
-- Porting note: The generated equation theorem is the form of `rnDeriv s μ x`.
theorem rnDeriv_def (s : SignedMeasure α) (μ : Measure α) : rnDeriv s μ = fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal :=
rfl
attribute [eqns rnDeriv_def] rnDeriv
variable {s t : SignedMeasure α}
@[measurability]
theorem measurable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Measurable (rnDeriv s μ) := by
rw [rnDeriv]
measurability
#align measure_theory.signed_measure.measurable_rn_deriv MeasureTheory.SignedMeasure.measurable_rnDeriv
theorem integrable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Integrable (rnDeriv s μ) μ := by
refine' Integrable.sub _ _ <;>
· constructor
· apply Measurable.aestronglyMeasurable; measurability
exact hasFiniteIntegral_toReal_of_lintegral_ne_top (lintegral_rnDeriv_lt_top _ μ).ne
#align measure_theory.signed_measure.integrable_rn_deriv MeasureTheory.SignedMeasure.integrable_rnDeriv
variable (s μ)
/-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
first
| | exact (lintegral_rnDeriv_lt_top _ _).ne | /-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
first
| | Mathlib.MeasureTheory.Decomposition.SignedLebesgue.205_0.HPGboz0rhL6sBes | /-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s | Mathlib_MeasureTheory_Decomposition_SignedLebesgue |
α : Type u_1
β : Type u_2
m : MeasurableSpace α
μ ν : Measure α
s t : SignedMeasure α
inst✝ : HaveLebesgueDecomposition s μ
⊢ AEMeasurable fun x => Measure.rnDeriv (toJordanDecomposition s).posPart μ x | /-
Copyright (c) 2021 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.MeasureTheory.Decomposition.Lebesgue
import Mathlib.MeasureTheory.Measure.Complex
/-!
# Lebesgue decomposition
This file proves the Lebesgue decomposition theorem for signed measures. The Lebesgue decomposition
theorem states that, given two σ-finite measures `μ` and `ν`, there exists a σ-finite measure `ξ`
and a measurable function `f` such that `μ = ξ + fν` and `ξ` is mutually singular with respect
to `ν`.
## Main definitions
* `MeasureTheory.SignedMeasure.HaveLebesgueDecomposition` : A signed measure `s` and a
measure `μ` is said to `HaveLebesgueDecomposition` if both the positive part and negative
part of `s` `HaveLebesgueDecomposition` with respect to `μ`.
* `MeasureTheory.SignedMeasure.singularPart` : The singular part between a signed measure `s`
and a measure `μ` is simply the singular part of the positive part of `s` with respect to `μ`
minus the singular part of the negative part of `s` with respect to `μ`.
* `MeasureTheory.SignedMeasure.rnDeriv` : The Radon-Nikodym derivative of a signed
measure `s` with respect to a measure `μ` is the Radon-Nikodym derivative of the positive part of
`s` with respect to `μ` minus the Radon-Nikodym derivative of the negative part of `s` with
respect to `μ`.
## Main results
* `MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq` :
the Lebesgue decomposition theorem between a signed measure and a σ-finite positive measure.
## Tags
Lebesgue decomposition theorem
-/
noncomputable section
open scoped Classical MeasureTheory NNReal ENNReal
open Set
variable {α β : Type*} {m : MeasurableSpace α} {μ ν : MeasureTheory.Measure α}
namespace MeasureTheory
namespace SignedMeasure
open Measure
/-- A signed measure `s` is said to `HaveLebesgueDecomposition` with respect to a measure `μ`
if the positive part and the negative part of `s` both `HaveLebesgueDecomposition` with
respect to `μ`. -/
class HaveLebesgueDecomposition (s : SignedMeasure α) (μ : Measure α) : Prop where
posPart : s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ
negPart : s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ
#align measure_theory.signed_measure.have_lebesgue_decomposition MeasureTheory.SignedMeasure.HaveLebesgueDecomposition
#align measure_theory.signed_measure.have_lebesgue_decomposition.pos_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.posPart
#align measure_theory.signed_measure.have_lebesgue_decomposition.neg_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.negPart
attribute [instance] HaveLebesgueDecomposition.posPart
attribute [instance] HaveLebesgueDecomposition.negPart
theorem not_haveLebesgueDecomposition_iff (s : SignedMeasure α) (μ : Measure α) :
¬s.HaveLebesgueDecomposition μ ↔
¬s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ ∨
¬s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ :=
⟨fun h => not_or_of_imp fun hp hn => h ⟨hp, hn⟩, fun h hl => (not_and_or.2 h) ⟨hl.1, hl.2⟩⟩
#align measure_theory.signed_measure.not_have_lebesgue_decomposition_iff MeasureTheory.SignedMeasure.not_haveLebesgueDecomposition_iff
-- `infer_instance` directly does not work
-- see Note [lower instance priority]
instance (priority := 100) haveLebesgueDecomposition_of_sigmaFinite (s : SignedMeasure α)
(μ : Measure α) [SigmaFinite μ] : s.HaveLebesgueDecomposition μ where
posPart := inferInstance
negPart := inferInstance
#align measure_theory.signed_measure.have_lebesgue_decomposition_of_sigma_finite MeasureTheory.SignedMeasure.haveLebesgueDecomposition_of_sigmaFinite
instance haveLebesgueDecomposition_neg (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] : (-s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_neg MeasureTheory.SignedMeasure.haveLebesgueDecomposition_neg
instance haveLebesgueDecomposition_smul (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ≥0) : (r • s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul
instance haveLebesgueDecomposition_smul_real (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ) : (r • s).HaveLebesgueDecomposition μ := by
by_cases hr : 0 ≤ r
· lift r to ℝ≥0 using hr
exact s.haveLebesgueDecomposition_smul μ _
· rw [not_le] at hr
refine'
{ posPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_posPart_neg _ _ hr]
infer_instance
negPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_negPart_neg _ _ hr]
infer_instance }
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul_real MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul_real
/-- Given a signed measure `s` and a measure `μ`, `s.singularPart μ` is the signed measure
such that `s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s` and
`s.singularPart μ` is mutually singular with respect to `μ`. -/
def singularPart (s : SignedMeasure α) (μ : Measure α) : SignedMeasure α :=
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure -
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure
#align measure_theory.signed_measure.singular_part MeasureTheory.SignedMeasure.singularPart
section
theorem singularPart_mutuallySingular (s : SignedMeasure α) (μ : Measure α) :
s.toJordanDecomposition.posPart.singularPart μ ⟂ₘ
s.toJordanDecomposition.negPart.singularPart μ := by
by_cases hl : s.HaveLebesgueDecomposition μ
· obtain ⟨i, hi, hpos, hneg⟩ := s.toJordanDecomposition.mutuallySingular
rw [s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ] at hpos
rw [s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ] at hneg
rw [add_apply, add_eq_zero_iff] at hpos hneg
exact ⟨i, hi, hpos.1, hneg.1⟩
· rw [not_haveLebesgueDecomposition_iff] at hl
cases' hl with hp hn
· rw [Measure.singularPart, dif_neg hp]
exact MutuallySingular.zero_left
· rw [Measure.singularPart, Measure.singularPart, dif_neg hn]
exact MutuallySingular.zero_right
#align measure_theory.signed_measure.singular_part_mutually_singular MeasureTheory.SignedMeasure.singularPart_mutuallySingular
theorem singularPart_totalVariation (s : SignedMeasure α) (μ : Measure α) :
(s.singularPart μ).totalVariation =
s.toJordanDecomposition.posPart.singularPart μ +
s.toJordanDecomposition.negPart.singularPart μ := by
have :
(s.singularPart μ).toJordanDecomposition =
⟨s.toJordanDecomposition.posPart.singularPart μ,
s.toJordanDecomposition.negPart.singularPart μ, singularPart_mutuallySingular s μ⟩ := by
refine' JordanDecomposition.toSignedMeasure_injective _
rw [toSignedMeasure_toJordanDecomposition, singularPart, JordanDecomposition.toSignedMeasure]
· rw [totalVariation, this]
#align measure_theory.signed_measure.singular_part_total_variation MeasureTheory.SignedMeasure.singularPart_totalVariation
nonrec theorem mutuallySingular_singularPart (s : SignedMeasure α) (μ : Measure α) :
singularPart s μ ⟂ᵥ μ.toENNRealVectorMeasure := by
rw [mutuallySingular_ennreal_iff, singularPart_totalVariation,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure]
exact (mutuallySingular_singularPart _ _).add_left (mutuallySingular_singularPart _ _)
#align measure_theory.signed_measure.mutually_singular_singular_part MeasureTheory.SignedMeasure.mutuallySingular_singularPart
end
/-- The Radon-Nikodym derivative between a signed measure and a positive measure.
`rnDeriv s μ` satisfies `μ.withDensityᵥ (s.rnDeriv μ) = s`
if and only if `s` is absolutely continuous with respect to `μ` and this fact is known as
`MeasureTheory.SignedMeasure.absolutelyContinuous_iff_withDensity_rnDeriv_eq`
and can be found in `MeasureTheory.Decomposition.RadonNikodym`. -/
def rnDeriv (s : SignedMeasure α) (μ : Measure α) : α → ℝ := fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal
#align measure_theory.signed_measure.rn_deriv MeasureTheory.SignedMeasure.rnDeriv
-- Porting note: The generated equation theorem is the form of `rnDeriv s μ x`.
theorem rnDeriv_def (s : SignedMeasure α) (μ : Measure α) : rnDeriv s μ = fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal :=
rfl
attribute [eqns rnDeriv_def] rnDeriv
variable {s t : SignedMeasure α}
@[measurability]
theorem measurable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Measurable (rnDeriv s μ) := by
rw [rnDeriv]
measurability
#align measure_theory.signed_measure.measurable_rn_deriv MeasureTheory.SignedMeasure.measurable_rnDeriv
theorem integrable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Integrable (rnDeriv s μ) μ := by
refine' Integrable.sub _ _ <;>
· constructor
· apply Measurable.aestronglyMeasurable; measurability
exact hasFiniteIntegral_toReal_of_lintegral_ne_top (lintegral_rnDeriv_lt_top _ μ).ne
#align measure_theory.signed_measure.integrable_rn_deriv MeasureTheory.SignedMeasure.integrable_rnDeriv
variable (s μ)
/-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
first
| exact (lintegral_rnDeriv_lt_top _ _).ne
| | measurability | /-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
first
| exact (lintegral_rnDeriv_lt_top _ _).ne
| | Mathlib.MeasureTheory.Decomposition.SignedLebesgue.205_0.HPGboz0rhL6sBes | /-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s | Mathlib_MeasureTheory_Decomposition_SignedLebesgue |
α : Type u_1
β : Type u_2
m : MeasurableSpace α
μ ν : Measure α
s t : SignedMeasure α
inst✝ : HaveLebesgueDecomposition s μ
⊢ ∫⁻ (x : α), Measure.rnDeriv (toJordanDecomposition s).posPart μ x ∂μ ≠ ⊤ | /-
Copyright (c) 2021 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.MeasureTheory.Decomposition.Lebesgue
import Mathlib.MeasureTheory.Measure.Complex
/-!
# Lebesgue decomposition
This file proves the Lebesgue decomposition theorem for signed measures. The Lebesgue decomposition
theorem states that, given two σ-finite measures `μ` and `ν`, there exists a σ-finite measure `ξ`
and a measurable function `f` such that `μ = ξ + fν` and `ξ` is mutually singular with respect
to `ν`.
## Main definitions
* `MeasureTheory.SignedMeasure.HaveLebesgueDecomposition` : A signed measure `s` and a
measure `μ` is said to `HaveLebesgueDecomposition` if both the positive part and negative
part of `s` `HaveLebesgueDecomposition` with respect to `μ`.
* `MeasureTheory.SignedMeasure.singularPart` : The singular part between a signed measure `s`
and a measure `μ` is simply the singular part of the positive part of `s` with respect to `μ`
minus the singular part of the negative part of `s` with respect to `μ`.
* `MeasureTheory.SignedMeasure.rnDeriv` : The Radon-Nikodym derivative of a signed
measure `s` with respect to a measure `μ` is the Radon-Nikodym derivative of the positive part of
`s` with respect to `μ` minus the Radon-Nikodym derivative of the negative part of `s` with
respect to `μ`.
## Main results
* `MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq` :
the Lebesgue decomposition theorem between a signed measure and a σ-finite positive measure.
## Tags
Lebesgue decomposition theorem
-/
noncomputable section
open scoped Classical MeasureTheory NNReal ENNReal
open Set
variable {α β : Type*} {m : MeasurableSpace α} {μ ν : MeasureTheory.Measure α}
namespace MeasureTheory
namespace SignedMeasure
open Measure
/-- A signed measure `s` is said to `HaveLebesgueDecomposition` with respect to a measure `μ`
if the positive part and the negative part of `s` both `HaveLebesgueDecomposition` with
respect to `μ`. -/
class HaveLebesgueDecomposition (s : SignedMeasure α) (μ : Measure α) : Prop where
posPart : s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ
negPart : s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ
#align measure_theory.signed_measure.have_lebesgue_decomposition MeasureTheory.SignedMeasure.HaveLebesgueDecomposition
#align measure_theory.signed_measure.have_lebesgue_decomposition.pos_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.posPart
#align measure_theory.signed_measure.have_lebesgue_decomposition.neg_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.negPart
attribute [instance] HaveLebesgueDecomposition.posPart
attribute [instance] HaveLebesgueDecomposition.negPart
theorem not_haveLebesgueDecomposition_iff (s : SignedMeasure α) (μ : Measure α) :
¬s.HaveLebesgueDecomposition μ ↔
¬s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ ∨
¬s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ :=
⟨fun h => not_or_of_imp fun hp hn => h ⟨hp, hn⟩, fun h hl => (not_and_or.2 h) ⟨hl.1, hl.2⟩⟩
#align measure_theory.signed_measure.not_have_lebesgue_decomposition_iff MeasureTheory.SignedMeasure.not_haveLebesgueDecomposition_iff
-- `infer_instance` directly does not work
-- see Note [lower instance priority]
instance (priority := 100) haveLebesgueDecomposition_of_sigmaFinite (s : SignedMeasure α)
(μ : Measure α) [SigmaFinite μ] : s.HaveLebesgueDecomposition μ where
posPart := inferInstance
negPart := inferInstance
#align measure_theory.signed_measure.have_lebesgue_decomposition_of_sigma_finite MeasureTheory.SignedMeasure.haveLebesgueDecomposition_of_sigmaFinite
instance haveLebesgueDecomposition_neg (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] : (-s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_neg MeasureTheory.SignedMeasure.haveLebesgueDecomposition_neg
instance haveLebesgueDecomposition_smul (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ≥0) : (r • s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul
instance haveLebesgueDecomposition_smul_real (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ) : (r • s).HaveLebesgueDecomposition μ := by
by_cases hr : 0 ≤ r
· lift r to ℝ≥0 using hr
exact s.haveLebesgueDecomposition_smul μ _
· rw [not_le] at hr
refine'
{ posPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_posPart_neg _ _ hr]
infer_instance
negPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_negPart_neg _ _ hr]
infer_instance }
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul_real MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul_real
/-- Given a signed measure `s` and a measure `μ`, `s.singularPart μ` is the signed measure
such that `s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s` and
`s.singularPart μ` is mutually singular with respect to `μ`. -/
def singularPart (s : SignedMeasure α) (μ : Measure α) : SignedMeasure α :=
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure -
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure
#align measure_theory.signed_measure.singular_part MeasureTheory.SignedMeasure.singularPart
section
theorem singularPart_mutuallySingular (s : SignedMeasure α) (μ : Measure α) :
s.toJordanDecomposition.posPart.singularPart μ ⟂ₘ
s.toJordanDecomposition.negPart.singularPart μ := by
by_cases hl : s.HaveLebesgueDecomposition μ
· obtain ⟨i, hi, hpos, hneg⟩ := s.toJordanDecomposition.mutuallySingular
rw [s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ] at hpos
rw [s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ] at hneg
rw [add_apply, add_eq_zero_iff] at hpos hneg
exact ⟨i, hi, hpos.1, hneg.1⟩
· rw [not_haveLebesgueDecomposition_iff] at hl
cases' hl with hp hn
· rw [Measure.singularPart, dif_neg hp]
exact MutuallySingular.zero_left
· rw [Measure.singularPart, Measure.singularPart, dif_neg hn]
exact MutuallySingular.zero_right
#align measure_theory.signed_measure.singular_part_mutually_singular MeasureTheory.SignedMeasure.singularPart_mutuallySingular
theorem singularPart_totalVariation (s : SignedMeasure α) (μ : Measure α) :
(s.singularPart μ).totalVariation =
s.toJordanDecomposition.posPart.singularPart μ +
s.toJordanDecomposition.negPart.singularPart μ := by
have :
(s.singularPart μ).toJordanDecomposition =
⟨s.toJordanDecomposition.posPart.singularPart μ,
s.toJordanDecomposition.negPart.singularPart μ, singularPart_mutuallySingular s μ⟩ := by
refine' JordanDecomposition.toSignedMeasure_injective _
rw [toSignedMeasure_toJordanDecomposition, singularPart, JordanDecomposition.toSignedMeasure]
· rw [totalVariation, this]
#align measure_theory.signed_measure.singular_part_total_variation MeasureTheory.SignedMeasure.singularPart_totalVariation
nonrec theorem mutuallySingular_singularPart (s : SignedMeasure α) (μ : Measure α) :
singularPart s μ ⟂ᵥ μ.toENNRealVectorMeasure := by
rw [mutuallySingular_ennreal_iff, singularPart_totalVariation,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure]
exact (mutuallySingular_singularPart _ _).add_left (mutuallySingular_singularPart _ _)
#align measure_theory.signed_measure.mutually_singular_singular_part MeasureTheory.SignedMeasure.mutuallySingular_singularPart
end
/-- The Radon-Nikodym derivative between a signed measure and a positive measure.
`rnDeriv s μ` satisfies `μ.withDensityᵥ (s.rnDeriv μ) = s`
if and only if `s` is absolutely continuous with respect to `μ` and this fact is known as
`MeasureTheory.SignedMeasure.absolutelyContinuous_iff_withDensity_rnDeriv_eq`
and can be found in `MeasureTheory.Decomposition.RadonNikodym`. -/
def rnDeriv (s : SignedMeasure α) (μ : Measure α) : α → ℝ := fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal
#align measure_theory.signed_measure.rn_deriv MeasureTheory.SignedMeasure.rnDeriv
-- Porting note: The generated equation theorem is the form of `rnDeriv s μ x`.
theorem rnDeriv_def (s : SignedMeasure α) (μ : Measure α) : rnDeriv s μ = fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal :=
rfl
attribute [eqns rnDeriv_def] rnDeriv
variable {s t : SignedMeasure α}
@[measurability]
theorem measurable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Measurable (rnDeriv s μ) := by
rw [rnDeriv]
measurability
#align measure_theory.signed_measure.measurable_rn_deriv MeasureTheory.SignedMeasure.measurable_rnDeriv
theorem integrable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Integrable (rnDeriv s μ) μ := by
refine' Integrable.sub _ _ <;>
· constructor
· apply Measurable.aestronglyMeasurable; measurability
exact hasFiniteIntegral_toReal_of_lintegral_ne_top (lintegral_rnDeriv_lt_top _ μ).ne
#align measure_theory.signed_measure.integrable_rn_deriv MeasureTheory.SignedMeasure.integrable_rnDeriv
variable (s μ)
/-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
| first
| exact (lintegral_rnDeriv_lt_top _ _).ne
| measurability | /-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
| Mathlib.MeasureTheory.Decomposition.SignedLebesgue.205_0.HPGboz0rhL6sBes | /-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s | Mathlib_MeasureTheory_Decomposition_SignedLebesgue |
α : Type u_1
β : Type u_2
m : MeasurableSpace α
μ ν : Measure α
s t : SignedMeasure α
inst✝ : HaveLebesgueDecomposition s μ
⊢ ∫⁻ (x : α), Measure.rnDeriv (toJordanDecomposition s).posPart μ x ∂μ ≠ ⊤ | /-
Copyright (c) 2021 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.MeasureTheory.Decomposition.Lebesgue
import Mathlib.MeasureTheory.Measure.Complex
/-!
# Lebesgue decomposition
This file proves the Lebesgue decomposition theorem for signed measures. The Lebesgue decomposition
theorem states that, given two σ-finite measures `μ` and `ν`, there exists a σ-finite measure `ξ`
and a measurable function `f` such that `μ = ξ + fν` and `ξ` is mutually singular with respect
to `ν`.
## Main definitions
* `MeasureTheory.SignedMeasure.HaveLebesgueDecomposition` : A signed measure `s` and a
measure `μ` is said to `HaveLebesgueDecomposition` if both the positive part and negative
part of `s` `HaveLebesgueDecomposition` with respect to `μ`.
* `MeasureTheory.SignedMeasure.singularPart` : The singular part between a signed measure `s`
and a measure `μ` is simply the singular part of the positive part of `s` with respect to `μ`
minus the singular part of the negative part of `s` with respect to `μ`.
* `MeasureTheory.SignedMeasure.rnDeriv` : The Radon-Nikodym derivative of a signed
measure `s` with respect to a measure `μ` is the Radon-Nikodym derivative of the positive part of
`s` with respect to `μ` minus the Radon-Nikodym derivative of the negative part of `s` with
respect to `μ`.
## Main results
* `MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq` :
the Lebesgue decomposition theorem between a signed measure and a σ-finite positive measure.
## Tags
Lebesgue decomposition theorem
-/
noncomputable section
open scoped Classical MeasureTheory NNReal ENNReal
open Set
variable {α β : Type*} {m : MeasurableSpace α} {μ ν : MeasureTheory.Measure α}
namespace MeasureTheory
namespace SignedMeasure
open Measure
/-- A signed measure `s` is said to `HaveLebesgueDecomposition` with respect to a measure `μ`
if the positive part and the negative part of `s` both `HaveLebesgueDecomposition` with
respect to `μ`. -/
class HaveLebesgueDecomposition (s : SignedMeasure α) (μ : Measure α) : Prop where
posPart : s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ
negPart : s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ
#align measure_theory.signed_measure.have_lebesgue_decomposition MeasureTheory.SignedMeasure.HaveLebesgueDecomposition
#align measure_theory.signed_measure.have_lebesgue_decomposition.pos_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.posPart
#align measure_theory.signed_measure.have_lebesgue_decomposition.neg_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.negPart
attribute [instance] HaveLebesgueDecomposition.posPart
attribute [instance] HaveLebesgueDecomposition.negPart
theorem not_haveLebesgueDecomposition_iff (s : SignedMeasure α) (μ : Measure α) :
¬s.HaveLebesgueDecomposition μ ↔
¬s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ ∨
¬s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ :=
⟨fun h => not_or_of_imp fun hp hn => h ⟨hp, hn⟩, fun h hl => (not_and_or.2 h) ⟨hl.1, hl.2⟩⟩
#align measure_theory.signed_measure.not_have_lebesgue_decomposition_iff MeasureTheory.SignedMeasure.not_haveLebesgueDecomposition_iff
-- `infer_instance` directly does not work
-- see Note [lower instance priority]
instance (priority := 100) haveLebesgueDecomposition_of_sigmaFinite (s : SignedMeasure α)
(μ : Measure α) [SigmaFinite μ] : s.HaveLebesgueDecomposition μ where
posPart := inferInstance
negPart := inferInstance
#align measure_theory.signed_measure.have_lebesgue_decomposition_of_sigma_finite MeasureTheory.SignedMeasure.haveLebesgueDecomposition_of_sigmaFinite
instance haveLebesgueDecomposition_neg (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] : (-s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_neg MeasureTheory.SignedMeasure.haveLebesgueDecomposition_neg
instance haveLebesgueDecomposition_smul (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ≥0) : (r • s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul
instance haveLebesgueDecomposition_smul_real (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ) : (r • s).HaveLebesgueDecomposition μ := by
by_cases hr : 0 ≤ r
· lift r to ℝ≥0 using hr
exact s.haveLebesgueDecomposition_smul μ _
· rw [not_le] at hr
refine'
{ posPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_posPart_neg _ _ hr]
infer_instance
negPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_negPart_neg _ _ hr]
infer_instance }
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul_real MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul_real
/-- Given a signed measure `s` and a measure `μ`, `s.singularPart μ` is the signed measure
such that `s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s` and
`s.singularPart μ` is mutually singular with respect to `μ`. -/
def singularPart (s : SignedMeasure α) (μ : Measure α) : SignedMeasure α :=
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure -
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure
#align measure_theory.signed_measure.singular_part MeasureTheory.SignedMeasure.singularPart
section
theorem singularPart_mutuallySingular (s : SignedMeasure α) (μ : Measure α) :
s.toJordanDecomposition.posPart.singularPart μ ⟂ₘ
s.toJordanDecomposition.negPart.singularPart μ := by
by_cases hl : s.HaveLebesgueDecomposition μ
· obtain ⟨i, hi, hpos, hneg⟩ := s.toJordanDecomposition.mutuallySingular
rw [s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ] at hpos
rw [s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ] at hneg
rw [add_apply, add_eq_zero_iff] at hpos hneg
exact ⟨i, hi, hpos.1, hneg.1⟩
· rw [not_haveLebesgueDecomposition_iff] at hl
cases' hl with hp hn
· rw [Measure.singularPart, dif_neg hp]
exact MutuallySingular.zero_left
· rw [Measure.singularPart, Measure.singularPart, dif_neg hn]
exact MutuallySingular.zero_right
#align measure_theory.signed_measure.singular_part_mutually_singular MeasureTheory.SignedMeasure.singularPart_mutuallySingular
theorem singularPart_totalVariation (s : SignedMeasure α) (μ : Measure α) :
(s.singularPart μ).totalVariation =
s.toJordanDecomposition.posPart.singularPart μ +
s.toJordanDecomposition.negPart.singularPart μ := by
have :
(s.singularPart μ).toJordanDecomposition =
⟨s.toJordanDecomposition.posPart.singularPart μ,
s.toJordanDecomposition.negPart.singularPart μ, singularPart_mutuallySingular s μ⟩ := by
refine' JordanDecomposition.toSignedMeasure_injective _
rw [toSignedMeasure_toJordanDecomposition, singularPart, JordanDecomposition.toSignedMeasure]
· rw [totalVariation, this]
#align measure_theory.signed_measure.singular_part_total_variation MeasureTheory.SignedMeasure.singularPart_totalVariation
nonrec theorem mutuallySingular_singularPart (s : SignedMeasure α) (μ : Measure α) :
singularPart s μ ⟂ᵥ μ.toENNRealVectorMeasure := by
rw [mutuallySingular_ennreal_iff, singularPart_totalVariation,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure]
exact (mutuallySingular_singularPart _ _).add_left (mutuallySingular_singularPart _ _)
#align measure_theory.signed_measure.mutually_singular_singular_part MeasureTheory.SignedMeasure.mutuallySingular_singularPart
end
/-- The Radon-Nikodym derivative between a signed measure and a positive measure.
`rnDeriv s μ` satisfies `μ.withDensityᵥ (s.rnDeriv μ) = s`
if and only if `s` is absolutely continuous with respect to `μ` and this fact is known as
`MeasureTheory.SignedMeasure.absolutelyContinuous_iff_withDensity_rnDeriv_eq`
and can be found in `MeasureTheory.Decomposition.RadonNikodym`. -/
def rnDeriv (s : SignedMeasure α) (μ : Measure α) : α → ℝ := fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal
#align measure_theory.signed_measure.rn_deriv MeasureTheory.SignedMeasure.rnDeriv
-- Porting note: The generated equation theorem is the form of `rnDeriv s μ x`.
theorem rnDeriv_def (s : SignedMeasure α) (μ : Measure α) : rnDeriv s μ = fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal :=
rfl
attribute [eqns rnDeriv_def] rnDeriv
variable {s t : SignedMeasure α}
@[measurability]
theorem measurable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Measurable (rnDeriv s μ) := by
rw [rnDeriv]
measurability
#align measure_theory.signed_measure.measurable_rn_deriv MeasureTheory.SignedMeasure.measurable_rnDeriv
theorem integrable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Integrable (rnDeriv s μ) μ := by
refine' Integrable.sub _ _ <;>
· constructor
· apply Measurable.aestronglyMeasurable; measurability
exact hasFiniteIntegral_toReal_of_lintegral_ne_top (lintegral_rnDeriv_lt_top _ μ).ne
#align measure_theory.signed_measure.integrable_rn_deriv MeasureTheory.SignedMeasure.integrable_rnDeriv
variable (s μ)
/-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
first
| | exact (lintegral_rnDeriv_lt_top _ _).ne | /-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
first
| | Mathlib.MeasureTheory.Decomposition.SignedLebesgue.205_0.HPGboz0rhL6sBes | /-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s | Mathlib_MeasureTheory_Decomposition_SignedLebesgue |
α : Type u_1
β : Type u_2
m : MeasurableSpace α
μ ν : Measure α
s t : SignedMeasure α
inst✝ : HaveLebesgueDecomposition s μ
⊢ AEMeasurable fun x => Measure.rnDeriv (toJordanDecomposition s).negPart μ x | /-
Copyright (c) 2021 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.MeasureTheory.Decomposition.Lebesgue
import Mathlib.MeasureTheory.Measure.Complex
/-!
# Lebesgue decomposition
This file proves the Lebesgue decomposition theorem for signed measures. The Lebesgue decomposition
theorem states that, given two σ-finite measures `μ` and `ν`, there exists a σ-finite measure `ξ`
and a measurable function `f` such that `μ = ξ + fν` and `ξ` is mutually singular with respect
to `ν`.
## Main definitions
* `MeasureTheory.SignedMeasure.HaveLebesgueDecomposition` : A signed measure `s` and a
measure `μ` is said to `HaveLebesgueDecomposition` if both the positive part and negative
part of `s` `HaveLebesgueDecomposition` with respect to `μ`.
* `MeasureTheory.SignedMeasure.singularPart` : The singular part between a signed measure `s`
and a measure `μ` is simply the singular part of the positive part of `s` with respect to `μ`
minus the singular part of the negative part of `s` with respect to `μ`.
* `MeasureTheory.SignedMeasure.rnDeriv` : The Radon-Nikodym derivative of a signed
measure `s` with respect to a measure `μ` is the Radon-Nikodym derivative of the positive part of
`s` with respect to `μ` minus the Radon-Nikodym derivative of the negative part of `s` with
respect to `μ`.
## Main results
* `MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq` :
the Lebesgue decomposition theorem between a signed measure and a σ-finite positive measure.
## Tags
Lebesgue decomposition theorem
-/
noncomputable section
open scoped Classical MeasureTheory NNReal ENNReal
open Set
variable {α β : Type*} {m : MeasurableSpace α} {μ ν : MeasureTheory.Measure α}
namespace MeasureTheory
namespace SignedMeasure
open Measure
/-- A signed measure `s` is said to `HaveLebesgueDecomposition` with respect to a measure `μ`
if the positive part and the negative part of `s` both `HaveLebesgueDecomposition` with
respect to `μ`. -/
class HaveLebesgueDecomposition (s : SignedMeasure α) (μ : Measure α) : Prop where
posPart : s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ
negPart : s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ
#align measure_theory.signed_measure.have_lebesgue_decomposition MeasureTheory.SignedMeasure.HaveLebesgueDecomposition
#align measure_theory.signed_measure.have_lebesgue_decomposition.pos_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.posPart
#align measure_theory.signed_measure.have_lebesgue_decomposition.neg_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.negPart
attribute [instance] HaveLebesgueDecomposition.posPart
attribute [instance] HaveLebesgueDecomposition.negPart
theorem not_haveLebesgueDecomposition_iff (s : SignedMeasure α) (μ : Measure α) :
¬s.HaveLebesgueDecomposition μ ↔
¬s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ ∨
¬s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ :=
⟨fun h => not_or_of_imp fun hp hn => h ⟨hp, hn⟩, fun h hl => (not_and_or.2 h) ⟨hl.1, hl.2⟩⟩
#align measure_theory.signed_measure.not_have_lebesgue_decomposition_iff MeasureTheory.SignedMeasure.not_haveLebesgueDecomposition_iff
-- `infer_instance` directly does not work
-- see Note [lower instance priority]
instance (priority := 100) haveLebesgueDecomposition_of_sigmaFinite (s : SignedMeasure α)
(μ : Measure α) [SigmaFinite μ] : s.HaveLebesgueDecomposition μ where
posPart := inferInstance
negPart := inferInstance
#align measure_theory.signed_measure.have_lebesgue_decomposition_of_sigma_finite MeasureTheory.SignedMeasure.haveLebesgueDecomposition_of_sigmaFinite
instance haveLebesgueDecomposition_neg (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] : (-s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_neg MeasureTheory.SignedMeasure.haveLebesgueDecomposition_neg
instance haveLebesgueDecomposition_smul (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ≥0) : (r • s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul
instance haveLebesgueDecomposition_smul_real (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ) : (r • s).HaveLebesgueDecomposition μ := by
by_cases hr : 0 ≤ r
· lift r to ℝ≥0 using hr
exact s.haveLebesgueDecomposition_smul μ _
· rw [not_le] at hr
refine'
{ posPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_posPart_neg _ _ hr]
infer_instance
negPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_negPart_neg _ _ hr]
infer_instance }
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul_real MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul_real
/-- Given a signed measure `s` and a measure `μ`, `s.singularPart μ` is the signed measure
such that `s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s` and
`s.singularPart μ` is mutually singular with respect to `μ`. -/
def singularPart (s : SignedMeasure α) (μ : Measure α) : SignedMeasure α :=
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure -
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure
#align measure_theory.signed_measure.singular_part MeasureTheory.SignedMeasure.singularPart
section
theorem singularPart_mutuallySingular (s : SignedMeasure α) (μ : Measure α) :
s.toJordanDecomposition.posPart.singularPart μ ⟂ₘ
s.toJordanDecomposition.negPart.singularPart μ := by
by_cases hl : s.HaveLebesgueDecomposition μ
· obtain ⟨i, hi, hpos, hneg⟩ := s.toJordanDecomposition.mutuallySingular
rw [s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ] at hpos
rw [s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ] at hneg
rw [add_apply, add_eq_zero_iff] at hpos hneg
exact ⟨i, hi, hpos.1, hneg.1⟩
· rw [not_haveLebesgueDecomposition_iff] at hl
cases' hl with hp hn
· rw [Measure.singularPart, dif_neg hp]
exact MutuallySingular.zero_left
· rw [Measure.singularPart, Measure.singularPart, dif_neg hn]
exact MutuallySingular.zero_right
#align measure_theory.signed_measure.singular_part_mutually_singular MeasureTheory.SignedMeasure.singularPart_mutuallySingular
theorem singularPart_totalVariation (s : SignedMeasure α) (μ : Measure α) :
(s.singularPart μ).totalVariation =
s.toJordanDecomposition.posPart.singularPart μ +
s.toJordanDecomposition.negPart.singularPart μ := by
have :
(s.singularPart μ).toJordanDecomposition =
⟨s.toJordanDecomposition.posPart.singularPart μ,
s.toJordanDecomposition.negPart.singularPart μ, singularPart_mutuallySingular s μ⟩ := by
refine' JordanDecomposition.toSignedMeasure_injective _
rw [toSignedMeasure_toJordanDecomposition, singularPart, JordanDecomposition.toSignedMeasure]
· rw [totalVariation, this]
#align measure_theory.signed_measure.singular_part_total_variation MeasureTheory.SignedMeasure.singularPart_totalVariation
nonrec theorem mutuallySingular_singularPart (s : SignedMeasure α) (μ : Measure α) :
singularPart s μ ⟂ᵥ μ.toENNRealVectorMeasure := by
rw [mutuallySingular_ennreal_iff, singularPart_totalVariation,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure]
exact (mutuallySingular_singularPart _ _).add_left (mutuallySingular_singularPart _ _)
#align measure_theory.signed_measure.mutually_singular_singular_part MeasureTheory.SignedMeasure.mutuallySingular_singularPart
end
/-- The Radon-Nikodym derivative between a signed measure and a positive measure.
`rnDeriv s μ` satisfies `μ.withDensityᵥ (s.rnDeriv μ) = s`
if and only if `s` is absolutely continuous with respect to `μ` and this fact is known as
`MeasureTheory.SignedMeasure.absolutelyContinuous_iff_withDensity_rnDeriv_eq`
and can be found in `MeasureTheory.Decomposition.RadonNikodym`. -/
def rnDeriv (s : SignedMeasure α) (μ : Measure α) : α → ℝ := fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal
#align measure_theory.signed_measure.rn_deriv MeasureTheory.SignedMeasure.rnDeriv
-- Porting note: The generated equation theorem is the form of `rnDeriv s μ x`.
theorem rnDeriv_def (s : SignedMeasure α) (μ : Measure α) : rnDeriv s μ = fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal :=
rfl
attribute [eqns rnDeriv_def] rnDeriv
variable {s t : SignedMeasure α}
@[measurability]
theorem measurable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Measurable (rnDeriv s μ) := by
rw [rnDeriv]
measurability
#align measure_theory.signed_measure.measurable_rn_deriv MeasureTheory.SignedMeasure.measurable_rnDeriv
theorem integrable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Integrable (rnDeriv s μ) μ := by
refine' Integrable.sub _ _ <;>
· constructor
· apply Measurable.aestronglyMeasurable; measurability
exact hasFiniteIntegral_toReal_of_lintegral_ne_top (lintegral_rnDeriv_lt_top _ μ).ne
#align measure_theory.signed_measure.integrable_rn_deriv MeasureTheory.SignedMeasure.integrable_rnDeriv
variable (s μ)
/-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
| first
| exact (lintegral_rnDeriv_lt_top _ _).ne
| measurability | /-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
| Mathlib.MeasureTheory.Decomposition.SignedLebesgue.205_0.HPGboz0rhL6sBes | /-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s | Mathlib_MeasureTheory_Decomposition_SignedLebesgue |
α : Type u_1
β : Type u_2
m : MeasurableSpace α
μ ν : Measure α
s t : SignedMeasure α
inst✝ : HaveLebesgueDecomposition s μ
⊢ AEMeasurable fun x => Measure.rnDeriv (toJordanDecomposition s).negPart μ x | /-
Copyright (c) 2021 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.MeasureTheory.Decomposition.Lebesgue
import Mathlib.MeasureTheory.Measure.Complex
/-!
# Lebesgue decomposition
This file proves the Lebesgue decomposition theorem for signed measures. The Lebesgue decomposition
theorem states that, given two σ-finite measures `μ` and `ν`, there exists a σ-finite measure `ξ`
and a measurable function `f` such that `μ = ξ + fν` and `ξ` is mutually singular with respect
to `ν`.
## Main definitions
* `MeasureTheory.SignedMeasure.HaveLebesgueDecomposition` : A signed measure `s` and a
measure `μ` is said to `HaveLebesgueDecomposition` if both the positive part and negative
part of `s` `HaveLebesgueDecomposition` with respect to `μ`.
* `MeasureTheory.SignedMeasure.singularPart` : The singular part between a signed measure `s`
and a measure `μ` is simply the singular part of the positive part of `s` with respect to `μ`
minus the singular part of the negative part of `s` with respect to `μ`.
* `MeasureTheory.SignedMeasure.rnDeriv` : The Radon-Nikodym derivative of a signed
measure `s` with respect to a measure `μ` is the Radon-Nikodym derivative of the positive part of
`s` with respect to `μ` minus the Radon-Nikodym derivative of the negative part of `s` with
respect to `μ`.
## Main results
* `MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq` :
the Lebesgue decomposition theorem between a signed measure and a σ-finite positive measure.
## Tags
Lebesgue decomposition theorem
-/
noncomputable section
open scoped Classical MeasureTheory NNReal ENNReal
open Set
variable {α β : Type*} {m : MeasurableSpace α} {μ ν : MeasureTheory.Measure α}
namespace MeasureTheory
namespace SignedMeasure
open Measure
/-- A signed measure `s` is said to `HaveLebesgueDecomposition` with respect to a measure `μ`
if the positive part and the negative part of `s` both `HaveLebesgueDecomposition` with
respect to `μ`. -/
class HaveLebesgueDecomposition (s : SignedMeasure α) (μ : Measure α) : Prop where
posPart : s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ
negPart : s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ
#align measure_theory.signed_measure.have_lebesgue_decomposition MeasureTheory.SignedMeasure.HaveLebesgueDecomposition
#align measure_theory.signed_measure.have_lebesgue_decomposition.pos_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.posPart
#align measure_theory.signed_measure.have_lebesgue_decomposition.neg_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.negPart
attribute [instance] HaveLebesgueDecomposition.posPart
attribute [instance] HaveLebesgueDecomposition.negPart
theorem not_haveLebesgueDecomposition_iff (s : SignedMeasure α) (μ : Measure α) :
¬s.HaveLebesgueDecomposition μ ↔
¬s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ ∨
¬s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ :=
⟨fun h => not_or_of_imp fun hp hn => h ⟨hp, hn⟩, fun h hl => (not_and_or.2 h) ⟨hl.1, hl.2⟩⟩
#align measure_theory.signed_measure.not_have_lebesgue_decomposition_iff MeasureTheory.SignedMeasure.not_haveLebesgueDecomposition_iff
-- `infer_instance` directly does not work
-- see Note [lower instance priority]
instance (priority := 100) haveLebesgueDecomposition_of_sigmaFinite (s : SignedMeasure α)
(μ : Measure α) [SigmaFinite μ] : s.HaveLebesgueDecomposition μ where
posPart := inferInstance
negPart := inferInstance
#align measure_theory.signed_measure.have_lebesgue_decomposition_of_sigma_finite MeasureTheory.SignedMeasure.haveLebesgueDecomposition_of_sigmaFinite
instance haveLebesgueDecomposition_neg (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] : (-s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_neg MeasureTheory.SignedMeasure.haveLebesgueDecomposition_neg
instance haveLebesgueDecomposition_smul (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ≥0) : (r • s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul
instance haveLebesgueDecomposition_smul_real (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ) : (r • s).HaveLebesgueDecomposition μ := by
by_cases hr : 0 ≤ r
· lift r to ℝ≥0 using hr
exact s.haveLebesgueDecomposition_smul μ _
· rw [not_le] at hr
refine'
{ posPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_posPart_neg _ _ hr]
infer_instance
negPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_negPart_neg _ _ hr]
infer_instance }
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul_real MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul_real
/-- Given a signed measure `s` and a measure `μ`, `s.singularPart μ` is the signed measure
such that `s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s` and
`s.singularPart μ` is mutually singular with respect to `μ`. -/
def singularPart (s : SignedMeasure α) (μ : Measure α) : SignedMeasure α :=
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure -
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure
#align measure_theory.signed_measure.singular_part MeasureTheory.SignedMeasure.singularPart
section
theorem singularPart_mutuallySingular (s : SignedMeasure α) (μ : Measure α) :
s.toJordanDecomposition.posPart.singularPart μ ⟂ₘ
s.toJordanDecomposition.negPart.singularPart μ := by
by_cases hl : s.HaveLebesgueDecomposition μ
· obtain ⟨i, hi, hpos, hneg⟩ := s.toJordanDecomposition.mutuallySingular
rw [s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ] at hpos
rw [s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ] at hneg
rw [add_apply, add_eq_zero_iff] at hpos hneg
exact ⟨i, hi, hpos.1, hneg.1⟩
· rw [not_haveLebesgueDecomposition_iff] at hl
cases' hl with hp hn
· rw [Measure.singularPart, dif_neg hp]
exact MutuallySingular.zero_left
· rw [Measure.singularPart, Measure.singularPart, dif_neg hn]
exact MutuallySingular.zero_right
#align measure_theory.signed_measure.singular_part_mutually_singular MeasureTheory.SignedMeasure.singularPart_mutuallySingular
theorem singularPart_totalVariation (s : SignedMeasure α) (μ : Measure α) :
(s.singularPart μ).totalVariation =
s.toJordanDecomposition.posPart.singularPart μ +
s.toJordanDecomposition.negPart.singularPart μ := by
have :
(s.singularPart μ).toJordanDecomposition =
⟨s.toJordanDecomposition.posPart.singularPart μ,
s.toJordanDecomposition.negPart.singularPart μ, singularPart_mutuallySingular s μ⟩ := by
refine' JordanDecomposition.toSignedMeasure_injective _
rw [toSignedMeasure_toJordanDecomposition, singularPart, JordanDecomposition.toSignedMeasure]
· rw [totalVariation, this]
#align measure_theory.signed_measure.singular_part_total_variation MeasureTheory.SignedMeasure.singularPart_totalVariation
nonrec theorem mutuallySingular_singularPart (s : SignedMeasure α) (μ : Measure α) :
singularPart s μ ⟂ᵥ μ.toENNRealVectorMeasure := by
rw [mutuallySingular_ennreal_iff, singularPart_totalVariation,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure]
exact (mutuallySingular_singularPart _ _).add_left (mutuallySingular_singularPart _ _)
#align measure_theory.signed_measure.mutually_singular_singular_part MeasureTheory.SignedMeasure.mutuallySingular_singularPart
end
/-- The Radon-Nikodym derivative between a signed measure and a positive measure.
`rnDeriv s μ` satisfies `μ.withDensityᵥ (s.rnDeriv μ) = s`
if and only if `s` is absolutely continuous with respect to `μ` and this fact is known as
`MeasureTheory.SignedMeasure.absolutelyContinuous_iff_withDensity_rnDeriv_eq`
and can be found in `MeasureTheory.Decomposition.RadonNikodym`. -/
def rnDeriv (s : SignedMeasure α) (μ : Measure α) : α → ℝ := fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal
#align measure_theory.signed_measure.rn_deriv MeasureTheory.SignedMeasure.rnDeriv
-- Porting note: The generated equation theorem is the form of `rnDeriv s μ x`.
theorem rnDeriv_def (s : SignedMeasure α) (μ : Measure α) : rnDeriv s μ = fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal :=
rfl
attribute [eqns rnDeriv_def] rnDeriv
variable {s t : SignedMeasure α}
@[measurability]
theorem measurable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Measurable (rnDeriv s μ) := by
rw [rnDeriv]
measurability
#align measure_theory.signed_measure.measurable_rn_deriv MeasureTheory.SignedMeasure.measurable_rnDeriv
theorem integrable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Integrable (rnDeriv s μ) μ := by
refine' Integrable.sub _ _ <;>
· constructor
· apply Measurable.aestronglyMeasurable; measurability
exact hasFiniteIntegral_toReal_of_lintegral_ne_top (lintegral_rnDeriv_lt_top _ μ).ne
#align measure_theory.signed_measure.integrable_rn_deriv MeasureTheory.SignedMeasure.integrable_rnDeriv
variable (s μ)
/-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
first
| | exact (lintegral_rnDeriv_lt_top _ _).ne | /-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
first
| | Mathlib.MeasureTheory.Decomposition.SignedLebesgue.205_0.HPGboz0rhL6sBes | /-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s | Mathlib_MeasureTheory_Decomposition_SignedLebesgue |
α : Type u_1
β : Type u_2
m : MeasurableSpace α
μ ν : Measure α
s t : SignedMeasure α
inst✝ : HaveLebesgueDecomposition s μ
⊢ AEMeasurable fun x => Measure.rnDeriv (toJordanDecomposition s).negPart μ x | /-
Copyright (c) 2021 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.MeasureTheory.Decomposition.Lebesgue
import Mathlib.MeasureTheory.Measure.Complex
/-!
# Lebesgue decomposition
This file proves the Lebesgue decomposition theorem for signed measures. The Lebesgue decomposition
theorem states that, given two σ-finite measures `μ` and `ν`, there exists a σ-finite measure `ξ`
and a measurable function `f` such that `μ = ξ + fν` and `ξ` is mutually singular with respect
to `ν`.
## Main definitions
* `MeasureTheory.SignedMeasure.HaveLebesgueDecomposition` : A signed measure `s` and a
measure `μ` is said to `HaveLebesgueDecomposition` if both the positive part and negative
part of `s` `HaveLebesgueDecomposition` with respect to `μ`.
* `MeasureTheory.SignedMeasure.singularPart` : The singular part between a signed measure `s`
and a measure `μ` is simply the singular part of the positive part of `s` with respect to `μ`
minus the singular part of the negative part of `s` with respect to `μ`.
* `MeasureTheory.SignedMeasure.rnDeriv` : The Radon-Nikodym derivative of a signed
measure `s` with respect to a measure `μ` is the Radon-Nikodym derivative of the positive part of
`s` with respect to `μ` minus the Radon-Nikodym derivative of the negative part of `s` with
respect to `μ`.
## Main results
* `MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq` :
the Lebesgue decomposition theorem between a signed measure and a σ-finite positive measure.
## Tags
Lebesgue decomposition theorem
-/
noncomputable section
open scoped Classical MeasureTheory NNReal ENNReal
open Set
variable {α β : Type*} {m : MeasurableSpace α} {μ ν : MeasureTheory.Measure α}
namespace MeasureTheory
namespace SignedMeasure
open Measure
/-- A signed measure `s` is said to `HaveLebesgueDecomposition` with respect to a measure `μ`
if the positive part and the negative part of `s` both `HaveLebesgueDecomposition` with
respect to `μ`. -/
class HaveLebesgueDecomposition (s : SignedMeasure α) (μ : Measure α) : Prop where
posPart : s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ
negPart : s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ
#align measure_theory.signed_measure.have_lebesgue_decomposition MeasureTheory.SignedMeasure.HaveLebesgueDecomposition
#align measure_theory.signed_measure.have_lebesgue_decomposition.pos_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.posPart
#align measure_theory.signed_measure.have_lebesgue_decomposition.neg_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.negPart
attribute [instance] HaveLebesgueDecomposition.posPart
attribute [instance] HaveLebesgueDecomposition.negPart
theorem not_haveLebesgueDecomposition_iff (s : SignedMeasure α) (μ : Measure α) :
¬s.HaveLebesgueDecomposition μ ↔
¬s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ ∨
¬s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ :=
⟨fun h => not_or_of_imp fun hp hn => h ⟨hp, hn⟩, fun h hl => (not_and_or.2 h) ⟨hl.1, hl.2⟩⟩
#align measure_theory.signed_measure.not_have_lebesgue_decomposition_iff MeasureTheory.SignedMeasure.not_haveLebesgueDecomposition_iff
-- `infer_instance` directly does not work
-- see Note [lower instance priority]
instance (priority := 100) haveLebesgueDecomposition_of_sigmaFinite (s : SignedMeasure α)
(μ : Measure α) [SigmaFinite μ] : s.HaveLebesgueDecomposition μ where
posPart := inferInstance
negPart := inferInstance
#align measure_theory.signed_measure.have_lebesgue_decomposition_of_sigma_finite MeasureTheory.SignedMeasure.haveLebesgueDecomposition_of_sigmaFinite
instance haveLebesgueDecomposition_neg (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] : (-s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_neg MeasureTheory.SignedMeasure.haveLebesgueDecomposition_neg
instance haveLebesgueDecomposition_smul (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ≥0) : (r • s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul
instance haveLebesgueDecomposition_smul_real (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ) : (r • s).HaveLebesgueDecomposition μ := by
by_cases hr : 0 ≤ r
· lift r to ℝ≥0 using hr
exact s.haveLebesgueDecomposition_smul μ _
· rw [not_le] at hr
refine'
{ posPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_posPart_neg _ _ hr]
infer_instance
negPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_negPart_neg _ _ hr]
infer_instance }
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul_real MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul_real
/-- Given a signed measure `s` and a measure `μ`, `s.singularPart μ` is the signed measure
such that `s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s` and
`s.singularPart μ` is mutually singular with respect to `μ`. -/
def singularPart (s : SignedMeasure α) (μ : Measure α) : SignedMeasure α :=
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure -
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure
#align measure_theory.signed_measure.singular_part MeasureTheory.SignedMeasure.singularPart
section
theorem singularPart_mutuallySingular (s : SignedMeasure α) (μ : Measure α) :
s.toJordanDecomposition.posPart.singularPart μ ⟂ₘ
s.toJordanDecomposition.negPart.singularPart μ := by
by_cases hl : s.HaveLebesgueDecomposition μ
· obtain ⟨i, hi, hpos, hneg⟩ := s.toJordanDecomposition.mutuallySingular
rw [s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ] at hpos
rw [s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ] at hneg
rw [add_apply, add_eq_zero_iff] at hpos hneg
exact ⟨i, hi, hpos.1, hneg.1⟩
· rw [not_haveLebesgueDecomposition_iff] at hl
cases' hl with hp hn
· rw [Measure.singularPart, dif_neg hp]
exact MutuallySingular.zero_left
· rw [Measure.singularPart, Measure.singularPart, dif_neg hn]
exact MutuallySingular.zero_right
#align measure_theory.signed_measure.singular_part_mutually_singular MeasureTheory.SignedMeasure.singularPart_mutuallySingular
theorem singularPart_totalVariation (s : SignedMeasure α) (μ : Measure α) :
(s.singularPart μ).totalVariation =
s.toJordanDecomposition.posPart.singularPart μ +
s.toJordanDecomposition.negPart.singularPart μ := by
have :
(s.singularPart μ).toJordanDecomposition =
⟨s.toJordanDecomposition.posPart.singularPart μ,
s.toJordanDecomposition.negPart.singularPart μ, singularPart_mutuallySingular s μ⟩ := by
refine' JordanDecomposition.toSignedMeasure_injective _
rw [toSignedMeasure_toJordanDecomposition, singularPart, JordanDecomposition.toSignedMeasure]
· rw [totalVariation, this]
#align measure_theory.signed_measure.singular_part_total_variation MeasureTheory.SignedMeasure.singularPart_totalVariation
nonrec theorem mutuallySingular_singularPart (s : SignedMeasure α) (μ : Measure α) :
singularPart s μ ⟂ᵥ μ.toENNRealVectorMeasure := by
rw [mutuallySingular_ennreal_iff, singularPart_totalVariation,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure]
exact (mutuallySingular_singularPart _ _).add_left (mutuallySingular_singularPart _ _)
#align measure_theory.signed_measure.mutually_singular_singular_part MeasureTheory.SignedMeasure.mutuallySingular_singularPart
end
/-- The Radon-Nikodym derivative between a signed measure and a positive measure.
`rnDeriv s μ` satisfies `μ.withDensityᵥ (s.rnDeriv μ) = s`
if and only if `s` is absolutely continuous with respect to `μ` and this fact is known as
`MeasureTheory.SignedMeasure.absolutelyContinuous_iff_withDensity_rnDeriv_eq`
and can be found in `MeasureTheory.Decomposition.RadonNikodym`. -/
def rnDeriv (s : SignedMeasure α) (μ : Measure α) : α → ℝ := fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal
#align measure_theory.signed_measure.rn_deriv MeasureTheory.SignedMeasure.rnDeriv
-- Porting note: The generated equation theorem is the form of `rnDeriv s μ x`.
theorem rnDeriv_def (s : SignedMeasure α) (μ : Measure α) : rnDeriv s μ = fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal :=
rfl
attribute [eqns rnDeriv_def] rnDeriv
variable {s t : SignedMeasure α}
@[measurability]
theorem measurable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Measurable (rnDeriv s μ) := by
rw [rnDeriv]
measurability
#align measure_theory.signed_measure.measurable_rn_deriv MeasureTheory.SignedMeasure.measurable_rnDeriv
theorem integrable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Integrable (rnDeriv s μ) μ := by
refine' Integrable.sub _ _ <;>
· constructor
· apply Measurable.aestronglyMeasurable; measurability
exact hasFiniteIntegral_toReal_of_lintegral_ne_top (lintegral_rnDeriv_lt_top _ μ).ne
#align measure_theory.signed_measure.integrable_rn_deriv MeasureTheory.SignedMeasure.integrable_rnDeriv
variable (s μ)
/-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
first
| exact (lintegral_rnDeriv_lt_top _ _).ne
| | measurability | /-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
first
| exact (lintegral_rnDeriv_lt_top _ _).ne
| | Mathlib.MeasureTheory.Decomposition.SignedLebesgue.205_0.HPGboz0rhL6sBes | /-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s | Mathlib_MeasureTheory_Decomposition_SignedLebesgue |
α : Type u_1
β : Type u_2
m : MeasurableSpace α
μ ν : Measure α
s t : SignedMeasure α
inst✝ : HaveLebesgueDecomposition s μ
⊢ ∫⁻ (x : α), Measure.rnDeriv (toJordanDecomposition s).negPart μ x ∂μ ≠ ⊤ | /-
Copyright (c) 2021 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.MeasureTheory.Decomposition.Lebesgue
import Mathlib.MeasureTheory.Measure.Complex
/-!
# Lebesgue decomposition
This file proves the Lebesgue decomposition theorem for signed measures. The Lebesgue decomposition
theorem states that, given two σ-finite measures `μ` and `ν`, there exists a σ-finite measure `ξ`
and a measurable function `f` such that `μ = ξ + fν` and `ξ` is mutually singular with respect
to `ν`.
## Main definitions
* `MeasureTheory.SignedMeasure.HaveLebesgueDecomposition` : A signed measure `s` and a
measure `μ` is said to `HaveLebesgueDecomposition` if both the positive part and negative
part of `s` `HaveLebesgueDecomposition` with respect to `μ`.
* `MeasureTheory.SignedMeasure.singularPart` : The singular part between a signed measure `s`
and a measure `μ` is simply the singular part of the positive part of `s` with respect to `μ`
minus the singular part of the negative part of `s` with respect to `μ`.
* `MeasureTheory.SignedMeasure.rnDeriv` : The Radon-Nikodym derivative of a signed
measure `s` with respect to a measure `μ` is the Radon-Nikodym derivative of the positive part of
`s` with respect to `μ` minus the Radon-Nikodym derivative of the negative part of `s` with
respect to `μ`.
## Main results
* `MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq` :
the Lebesgue decomposition theorem between a signed measure and a σ-finite positive measure.
## Tags
Lebesgue decomposition theorem
-/
noncomputable section
open scoped Classical MeasureTheory NNReal ENNReal
open Set
variable {α β : Type*} {m : MeasurableSpace α} {μ ν : MeasureTheory.Measure α}
namespace MeasureTheory
namespace SignedMeasure
open Measure
/-- A signed measure `s` is said to `HaveLebesgueDecomposition` with respect to a measure `μ`
if the positive part and the negative part of `s` both `HaveLebesgueDecomposition` with
respect to `μ`. -/
class HaveLebesgueDecomposition (s : SignedMeasure α) (μ : Measure α) : Prop where
posPart : s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ
negPart : s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ
#align measure_theory.signed_measure.have_lebesgue_decomposition MeasureTheory.SignedMeasure.HaveLebesgueDecomposition
#align measure_theory.signed_measure.have_lebesgue_decomposition.pos_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.posPart
#align measure_theory.signed_measure.have_lebesgue_decomposition.neg_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.negPart
attribute [instance] HaveLebesgueDecomposition.posPart
attribute [instance] HaveLebesgueDecomposition.negPart
theorem not_haveLebesgueDecomposition_iff (s : SignedMeasure α) (μ : Measure α) :
¬s.HaveLebesgueDecomposition μ ↔
¬s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ ∨
¬s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ :=
⟨fun h => not_or_of_imp fun hp hn => h ⟨hp, hn⟩, fun h hl => (not_and_or.2 h) ⟨hl.1, hl.2⟩⟩
#align measure_theory.signed_measure.not_have_lebesgue_decomposition_iff MeasureTheory.SignedMeasure.not_haveLebesgueDecomposition_iff
-- `infer_instance` directly does not work
-- see Note [lower instance priority]
instance (priority := 100) haveLebesgueDecomposition_of_sigmaFinite (s : SignedMeasure α)
(μ : Measure α) [SigmaFinite μ] : s.HaveLebesgueDecomposition μ where
posPart := inferInstance
negPart := inferInstance
#align measure_theory.signed_measure.have_lebesgue_decomposition_of_sigma_finite MeasureTheory.SignedMeasure.haveLebesgueDecomposition_of_sigmaFinite
instance haveLebesgueDecomposition_neg (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] : (-s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_neg MeasureTheory.SignedMeasure.haveLebesgueDecomposition_neg
instance haveLebesgueDecomposition_smul (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ≥0) : (r • s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul
instance haveLebesgueDecomposition_smul_real (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ) : (r • s).HaveLebesgueDecomposition μ := by
by_cases hr : 0 ≤ r
· lift r to ℝ≥0 using hr
exact s.haveLebesgueDecomposition_smul μ _
· rw [not_le] at hr
refine'
{ posPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_posPart_neg _ _ hr]
infer_instance
negPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_negPart_neg _ _ hr]
infer_instance }
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul_real MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul_real
/-- Given a signed measure `s` and a measure `μ`, `s.singularPart μ` is the signed measure
such that `s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s` and
`s.singularPart μ` is mutually singular with respect to `μ`. -/
def singularPart (s : SignedMeasure α) (μ : Measure α) : SignedMeasure α :=
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure -
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure
#align measure_theory.signed_measure.singular_part MeasureTheory.SignedMeasure.singularPart
section
theorem singularPart_mutuallySingular (s : SignedMeasure α) (μ : Measure α) :
s.toJordanDecomposition.posPart.singularPart μ ⟂ₘ
s.toJordanDecomposition.negPart.singularPart μ := by
by_cases hl : s.HaveLebesgueDecomposition μ
· obtain ⟨i, hi, hpos, hneg⟩ := s.toJordanDecomposition.mutuallySingular
rw [s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ] at hpos
rw [s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ] at hneg
rw [add_apply, add_eq_zero_iff] at hpos hneg
exact ⟨i, hi, hpos.1, hneg.1⟩
· rw [not_haveLebesgueDecomposition_iff] at hl
cases' hl with hp hn
· rw [Measure.singularPart, dif_neg hp]
exact MutuallySingular.zero_left
· rw [Measure.singularPart, Measure.singularPart, dif_neg hn]
exact MutuallySingular.zero_right
#align measure_theory.signed_measure.singular_part_mutually_singular MeasureTheory.SignedMeasure.singularPart_mutuallySingular
theorem singularPart_totalVariation (s : SignedMeasure α) (μ : Measure α) :
(s.singularPart μ).totalVariation =
s.toJordanDecomposition.posPart.singularPart μ +
s.toJordanDecomposition.negPart.singularPart μ := by
have :
(s.singularPart μ).toJordanDecomposition =
⟨s.toJordanDecomposition.posPart.singularPart μ,
s.toJordanDecomposition.negPart.singularPart μ, singularPart_mutuallySingular s μ⟩ := by
refine' JordanDecomposition.toSignedMeasure_injective _
rw [toSignedMeasure_toJordanDecomposition, singularPart, JordanDecomposition.toSignedMeasure]
· rw [totalVariation, this]
#align measure_theory.signed_measure.singular_part_total_variation MeasureTheory.SignedMeasure.singularPart_totalVariation
nonrec theorem mutuallySingular_singularPart (s : SignedMeasure α) (μ : Measure α) :
singularPart s μ ⟂ᵥ μ.toENNRealVectorMeasure := by
rw [mutuallySingular_ennreal_iff, singularPart_totalVariation,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure]
exact (mutuallySingular_singularPart _ _).add_left (mutuallySingular_singularPart _ _)
#align measure_theory.signed_measure.mutually_singular_singular_part MeasureTheory.SignedMeasure.mutuallySingular_singularPart
end
/-- The Radon-Nikodym derivative between a signed measure and a positive measure.
`rnDeriv s μ` satisfies `μ.withDensityᵥ (s.rnDeriv μ) = s`
if and only if `s` is absolutely continuous with respect to `μ` and this fact is known as
`MeasureTheory.SignedMeasure.absolutelyContinuous_iff_withDensity_rnDeriv_eq`
and can be found in `MeasureTheory.Decomposition.RadonNikodym`. -/
def rnDeriv (s : SignedMeasure α) (μ : Measure α) : α → ℝ := fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal
#align measure_theory.signed_measure.rn_deriv MeasureTheory.SignedMeasure.rnDeriv
-- Porting note: The generated equation theorem is the form of `rnDeriv s μ x`.
theorem rnDeriv_def (s : SignedMeasure α) (μ : Measure α) : rnDeriv s μ = fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal :=
rfl
attribute [eqns rnDeriv_def] rnDeriv
variable {s t : SignedMeasure α}
@[measurability]
theorem measurable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Measurable (rnDeriv s μ) := by
rw [rnDeriv]
measurability
#align measure_theory.signed_measure.measurable_rn_deriv MeasureTheory.SignedMeasure.measurable_rnDeriv
theorem integrable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Integrable (rnDeriv s μ) μ := by
refine' Integrable.sub _ _ <;>
· constructor
· apply Measurable.aestronglyMeasurable; measurability
exact hasFiniteIntegral_toReal_of_lintegral_ne_top (lintegral_rnDeriv_lt_top _ μ).ne
#align measure_theory.signed_measure.integrable_rn_deriv MeasureTheory.SignedMeasure.integrable_rnDeriv
variable (s μ)
/-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
| first
| exact (lintegral_rnDeriv_lt_top _ _).ne
| measurability | /-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
| Mathlib.MeasureTheory.Decomposition.SignedLebesgue.205_0.HPGboz0rhL6sBes | /-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s | Mathlib_MeasureTheory_Decomposition_SignedLebesgue |
α : Type u_1
β : Type u_2
m : MeasurableSpace α
μ ν : Measure α
s t : SignedMeasure α
inst✝ : HaveLebesgueDecomposition s μ
⊢ ∫⁻ (x : α), Measure.rnDeriv (toJordanDecomposition s).negPart μ x ∂μ ≠ ⊤ | /-
Copyright (c) 2021 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.MeasureTheory.Decomposition.Lebesgue
import Mathlib.MeasureTheory.Measure.Complex
/-!
# Lebesgue decomposition
This file proves the Lebesgue decomposition theorem for signed measures. The Lebesgue decomposition
theorem states that, given two σ-finite measures `μ` and `ν`, there exists a σ-finite measure `ξ`
and a measurable function `f` such that `μ = ξ + fν` and `ξ` is mutually singular with respect
to `ν`.
## Main definitions
* `MeasureTheory.SignedMeasure.HaveLebesgueDecomposition` : A signed measure `s` and a
measure `μ` is said to `HaveLebesgueDecomposition` if both the positive part and negative
part of `s` `HaveLebesgueDecomposition` with respect to `μ`.
* `MeasureTheory.SignedMeasure.singularPart` : The singular part between a signed measure `s`
and a measure `μ` is simply the singular part of the positive part of `s` with respect to `μ`
minus the singular part of the negative part of `s` with respect to `μ`.
* `MeasureTheory.SignedMeasure.rnDeriv` : The Radon-Nikodym derivative of a signed
measure `s` with respect to a measure `μ` is the Radon-Nikodym derivative of the positive part of
`s` with respect to `μ` minus the Radon-Nikodym derivative of the negative part of `s` with
respect to `μ`.
## Main results
* `MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq` :
the Lebesgue decomposition theorem between a signed measure and a σ-finite positive measure.
## Tags
Lebesgue decomposition theorem
-/
noncomputable section
open scoped Classical MeasureTheory NNReal ENNReal
open Set
variable {α β : Type*} {m : MeasurableSpace α} {μ ν : MeasureTheory.Measure α}
namespace MeasureTheory
namespace SignedMeasure
open Measure
/-- A signed measure `s` is said to `HaveLebesgueDecomposition` with respect to a measure `μ`
if the positive part and the negative part of `s` both `HaveLebesgueDecomposition` with
respect to `μ`. -/
class HaveLebesgueDecomposition (s : SignedMeasure α) (μ : Measure α) : Prop where
posPart : s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ
negPart : s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ
#align measure_theory.signed_measure.have_lebesgue_decomposition MeasureTheory.SignedMeasure.HaveLebesgueDecomposition
#align measure_theory.signed_measure.have_lebesgue_decomposition.pos_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.posPart
#align measure_theory.signed_measure.have_lebesgue_decomposition.neg_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.negPart
attribute [instance] HaveLebesgueDecomposition.posPart
attribute [instance] HaveLebesgueDecomposition.negPart
theorem not_haveLebesgueDecomposition_iff (s : SignedMeasure α) (μ : Measure α) :
¬s.HaveLebesgueDecomposition μ ↔
¬s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ ∨
¬s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ :=
⟨fun h => not_or_of_imp fun hp hn => h ⟨hp, hn⟩, fun h hl => (not_and_or.2 h) ⟨hl.1, hl.2⟩⟩
#align measure_theory.signed_measure.not_have_lebesgue_decomposition_iff MeasureTheory.SignedMeasure.not_haveLebesgueDecomposition_iff
-- `infer_instance` directly does not work
-- see Note [lower instance priority]
instance (priority := 100) haveLebesgueDecomposition_of_sigmaFinite (s : SignedMeasure α)
(μ : Measure α) [SigmaFinite μ] : s.HaveLebesgueDecomposition μ where
posPart := inferInstance
negPart := inferInstance
#align measure_theory.signed_measure.have_lebesgue_decomposition_of_sigma_finite MeasureTheory.SignedMeasure.haveLebesgueDecomposition_of_sigmaFinite
instance haveLebesgueDecomposition_neg (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] : (-s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_neg MeasureTheory.SignedMeasure.haveLebesgueDecomposition_neg
instance haveLebesgueDecomposition_smul (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ≥0) : (r • s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul
instance haveLebesgueDecomposition_smul_real (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ) : (r • s).HaveLebesgueDecomposition μ := by
by_cases hr : 0 ≤ r
· lift r to ℝ≥0 using hr
exact s.haveLebesgueDecomposition_smul μ _
· rw [not_le] at hr
refine'
{ posPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_posPart_neg _ _ hr]
infer_instance
negPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_negPart_neg _ _ hr]
infer_instance }
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul_real MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul_real
/-- Given a signed measure `s` and a measure `μ`, `s.singularPart μ` is the signed measure
such that `s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s` and
`s.singularPart μ` is mutually singular with respect to `μ`. -/
def singularPart (s : SignedMeasure α) (μ : Measure α) : SignedMeasure α :=
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure -
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure
#align measure_theory.signed_measure.singular_part MeasureTheory.SignedMeasure.singularPart
section
theorem singularPart_mutuallySingular (s : SignedMeasure α) (μ : Measure α) :
s.toJordanDecomposition.posPart.singularPart μ ⟂ₘ
s.toJordanDecomposition.negPart.singularPart μ := by
by_cases hl : s.HaveLebesgueDecomposition μ
· obtain ⟨i, hi, hpos, hneg⟩ := s.toJordanDecomposition.mutuallySingular
rw [s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ] at hpos
rw [s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ] at hneg
rw [add_apply, add_eq_zero_iff] at hpos hneg
exact ⟨i, hi, hpos.1, hneg.1⟩
· rw [not_haveLebesgueDecomposition_iff] at hl
cases' hl with hp hn
· rw [Measure.singularPart, dif_neg hp]
exact MutuallySingular.zero_left
· rw [Measure.singularPart, Measure.singularPart, dif_neg hn]
exact MutuallySingular.zero_right
#align measure_theory.signed_measure.singular_part_mutually_singular MeasureTheory.SignedMeasure.singularPart_mutuallySingular
theorem singularPart_totalVariation (s : SignedMeasure α) (μ : Measure α) :
(s.singularPart μ).totalVariation =
s.toJordanDecomposition.posPart.singularPart μ +
s.toJordanDecomposition.negPart.singularPart μ := by
have :
(s.singularPart μ).toJordanDecomposition =
⟨s.toJordanDecomposition.posPart.singularPart μ,
s.toJordanDecomposition.negPart.singularPart μ, singularPart_mutuallySingular s μ⟩ := by
refine' JordanDecomposition.toSignedMeasure_injective _
rw [toSignedMeasure_toJordanDecomposition, singularPart, JordanDecomposition.toSignedMeasure]
· rw [totalVariation, this]
#align measure_theory.signed_measure.singular_part_total_variation MeasureTheory.SignedMeasure.singularPart_totalVariation
nonrec theorem mutuallySingular_singularPart (s : SignedMeasure α) (μ : Measure α) :
singularPart s μ ⟂ᵥ μ.toENNRealVectorMeasure := by
rw [mutuallySingular_ennreal_iff, singularPart_totalVariation,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure]
exact (mutuallySingular_singularPart _ _).add_left (mutuallySingular_singularPart _ _)
#align measure_theory.signed_measure.mutually_singular_singular_part MeasureTheory.SignedMeasure.mutuallySingular_singularPart
end
/-- The Radon-Nikodym derivative between a signed measure and a positive measure.
`rnDeriv s μ` satisfies `μ.withDensityᵥ (s.rnDeriv μ) = s`
if and only if `s` is absolutely continuous with respect to `μ` and this fact is known as
`MeasureTheory.SignedMeasure.absolutelyContinuous_iff_withDensity_rnDeriv_eq`
and can be found in `MeasureTheory.Decomposition.RadonNikodym`. -/
def rnDeriv (s : SignedMeasure α) (μ : Measure α) : α → ℝ := fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal
#align measure_theory.signed_measure.rn_deriv MeasureTheory.SignedMeasure.rnDeriv
-- Porting note: The generated equation theorem is the form of `rnDeriv s μ x`.
theorem rnDeriv_def (s : SignedMeasure α) (μ : Measure α) : rnDeriv s μ = fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal :=
rfl
attribute [eqns rnDeriv_def] rnDeriv
variable {s t : SignedMeasure α}
@[measurability]
theorem measurable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Measurable (rnDeriv s μ) := by
rw [rnDeriv]
measurability
#align measure_theory.signed_measure.measurable_rn_deriv MeasureTheory.SignedMeasure.measurable_rnDeriv
theorem integrable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Integrable (rnDeriv s μ) μ := by
refine' Integrable.sub _ _ <;>
· constructor
· apply Measurable.aestronglyMeasurable; measurability
exact hasFiniteIntegral_toReal_of_lintegral_ne_top (lintegral_rnDeriv_lt_top _ μ).ne
#align measure_theory.signed_measure.integrable_rn_deriv MeasureTheory.SignedMeasure.integrable_rnDeriv
variable (s μ)
/-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
first
| | exact (lintegral_rnDeriv_lt_top _ _).ne | /-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
first
| | Mathlib.MeasureTheory.Decomposition.SignedLebesgue.205_0.HPGboz0rhL6sBes | /-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s | Mathlib_MeasureTheory_Decomposition_SignedLebesgue |
α : Type u_1
β : Type u_2
m : MeasurableSpace α
μ ν : Measure α
s t : SignedMeasure α
f : α → ℝ
hf : Measurable f
htμ : t ⟂ᵥ toENNRealVectorMeasure μ
⊢ ((toJordanDecomposition t).posPart + withDensity μ fun x => ENNReal.ofReal (f x)) ⟂ₘ
(toJordanDecomposition t).negPart + withDensity μ fun x => ENNReal.ofReal (-f x) | /-
Copyright (c) 2021 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.MeasureTheory.Decomposition.Lebesgue
import Mathlib.MeasureTheory.Measure.Complex
/-!
# Lebesgue decomposition
This file proves the Lebesgue decomposition theorem for signed measures. The Lebesgue decomposition
theorem states that, given two σ-finite measures `μ` and `ν`, there exists a σ-finite measure `ξ`
and a measurable function `f` such that `μ = ξ + fν` and `ξ` is mutually singular with respect
to `ν`.
## Main definitions
* `MeasureTheory.SignedMeasure.HaveLebesgueDecomposition` : A signed measure `s` and a
measure `μ` is said to `HaveLebesgueDecomposition` if both the positive part and negative
part of `s` `HaveLebesgueDecomposition` with respect to `μ`.
* `MeasureTheory.SignedMeasure.singularPart` : The singular part between a signed measure `s`
and a measure `μ` is simply the singular part of the positive part of `s` with respect to `μ`
minus the singular part of the negative part of `s` with respect to `μ`.
* `MeasureTheory.SignedMeasure.rnDeriv` : The Radon-Nikodym derivative of a signed
measure `s` with respect to a measure `μ` is the Radon-Nikodym derivative of the positive part of
`s` with respect to `μ` minus the Radon-Nikodym derivative of the negative part of `s` with
respect to `μ`.
## Main results
* `MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq` :
the Lebesgue decomposition theorem between a signed measure and a σ-finite positive measure.
## Tags
Lebesgue decomposition theorem
-/
noncomputable section
open scoped Classical MeasureTheory NNReal ENNReal
open Set
variable {α β : Type*} {m : MeasurableSpace α} {μ ν : MeasureTheory.Measure α}
namespace MeasureTheory
namespace SignedMeasure
open Measure
/-- A signed measure `s` is said to `HaveLebesgueDecomposition` with respect to a measure `μ`
if the positive part and the negative part of `s` both `HaveLebesgueDecomposition` with
respect to `μ`. -/
class HaveLebesgueDecomposition (s : SignedMeasure α) (μ : Measure α) : Prop where
posPart : s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ
negPart : s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ
#align measure_theory.signed_measure.have_lebesgue_decomposition MeasureTheory.SignedMeasure.HaveLebesgueDecomposition
#align measure_theory.signed_measure.have_lebesgue_decomposition.pos_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.posPart
#align measure_theory.signed_measure.have_lebesgue_decomposition.neg_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.negPart
attribute [instance] HaveLebesgueDecomposition.posPart
attribute [instance] HaveLebesgueDecomposition.negPart
theorem not_haveLebesgueDecomposition_iff (s : SignedMeasure α) (μ : Measure α) :
¬s.HaveLebesgueDecomposition μ ↔
¬s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ ∨
¬s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ :=
⟨fun h => not_or_of_imp fun hp hn => h ⟨hp, hn⟩, fun h hl => (not_and_or.2 h) ⟨hl.1, hl.2⟩⟩
#align measure_theory.signed_measure.not_have_lebesgue_decomposition_iff MeasureTheory.SignedMeasure.not_haveLebesgueDecomposition_iff
-- `infer_instance` directly does not work
-- see Note [lower instance priority]
instance (priority := 100) haveLebesgueDecomposition_of_sigmaFinite (s : SignedMeasure α)
(μ : Measure α) [SigmaFinite μ] : s.HaveLebesgueDecomposition μ where
posPart := inferInstance
negPart := inferInstance
#align measure_theory.signed_measure.have_lebesgue_decomposition_of_sigma_finite MeasureTheory.SignedMeasure.haveLebesgueDecomposition_of_sigmaFinite
instance haveLebesgueDecomposition_neg (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] : (-s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_neg MeasureTheory.SignedMeasure.haveLebesgueDecomposition_neg
instance haveLebesgueDecomposition_smul (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ≥0) : (r • s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul
instance haveLebesgueDecomposition_smul_real (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ) : (r • s).HaveLebesgueDecomposition μ := by
by_cases hr : 0 ≤ r
· lift r to ℝ≥0 using hr
exact s.haveLebesgueDecomposition_smul μ _
· rw [not_le] at hr
refine'
{ posPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_posPart_neg _ _ hr]
infer_instance
negPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_negPart_neg _ _ hr]
infer_instance }
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul_real MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul_real
/-- Given a signed measure `s` and a measure `μ`, `s.singularPart μ` is the signed measure
such that `s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s` and
`s.singularPart μ` is mutually singular with respect to `μ`. -/
def singularPart (s : SignedMeasure α) (μ : Measure α) : SignedMeasure α :=
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure -
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure
#align measure_theory.signed_measure.singular_part MeasureTheory.SignedMeasure.singularPart
section
theorem singularPart_mutuallySingular (s : SignedMeasure α) (μ : Measure α) :
s.toJordanDecomposition.posPart.singularPart μ ⟂ₘ
s.toJordanDecomposition.negPart.singularPart μ := by
by_cases hl : s.HaveLebesgueDecomposition μ
· obtain ⟨i, hi, hpos, hneg⟩ := s.toJordanDecomposition.mutuallySingular
rw [s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ] at hpos
rw [s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ] at hneg
rw [add_apply, add_eq_zero_iff] at hpos hneg
exact ⟨i, hi, hpos.1, hneg.1⟩
· rw [not_haveLebesgueDecomposition_iff] at hl
cases' hl with hp hn
· rw [Measure.singularPart, dif_neg hp]
exact MutuallySingular.zero_left
· rw [Measure.singularPart, Measure.singularPart, dif_neg hn]
exact MutuallySingular.zero_right
#align measure_theory.signed_measure.singular_part_mutually_singular MeasureTheory.SignedMeasure.singularPart_mutuallySingular
theorem singularPart_totalVariation (s : SignedMeasure α) (μ : Measure α) :
(s.singularPart μ).totalVariation =
s.toJordanDecomposition.posPart.singularPart μ +
s.toJordanDecomposition.negPart.singularPart μ := by
have :
(s.singularPart μ).toJordanDecomposition =
⟨s.toJordanDecomposition.posPart.singularPart μ,
s.toJordanDecomposition.negPart.singularPart μ, singularPart_mutuallySingular s μ⟩ := by
refine' JordanDecomposition.toSignedMeasure_injective _
rw [toSignedMeasure_toJordanDecomposition, singularPart, JordanDecomposition.toSignedMeasure]
· rw [totalVariation, this]
#align measure_theory.signed_measure.singular_part_total_variation MeasureTheory.SignedMeasure.singularPart_totalVariation
nonrec theorem mutuallySingular_singularPart (s : SignedMeasure α) (μ : Measure α) :
singularPart s μ ⟂ᵥ μ.toENNRealVectorMeasure := by
rw [mutuallySingular_ennreal_iff, singularPart_totalVariation,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure]
exact (mutuallySingular_singularPart _ _).add_left (mutuallySingular_singularPart _ _)
#align measure_theory.signed_measure.mutually_singular_singular_part MeasureTheory.SignedMeasure.mutuallySingular_singularPart
end
/-- The Radon-Nikodym derivative between a signed measure and a positive measure.
`rnDeriv s μ` satisfies `μ.withDensityᵥ (s.rnDeriv μ) = s`
if and only if `s` is absolutely continuous with respect to `μ` and this fact is known as
`MeasureTheory.SignedMeasure.absolutelyContinuous_iff_withDensity_rnDeriv_eq`
and can be found in `MeasureTheory.Decomposition.RadonNikodym`. -/
def rnDeriv (s : SignedMeasure α) (μ : Measure α) : α → ℝ := fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal
#align measure_theory.signed_measure.rn_deriv MeasureTheory.SignedMeasure.rnDeriv
-- Porting note: The generated equation theorem is the form of `rnDeriv s μ x`.
theorem rnDeriv_def (s : SignedMeasure α) (μ : Measure α) : rnDeriv s μ = fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal :=
rfl
attribute [eqns rnDeriv_def] rnDeriv
variable {s t : SignedMeasure α}
@[measurability]
theorem measurable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Measurable (rnDeriv s μ) := by
rw [rnDeriv]
measurability
#align measure_theory.signed_measure.measurable_rn_deriv MeasureTheory.SignedMeasure.measurable_rnDeriv
theorem integrable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Integrable (rnDeriv s μ) μ := by
refine' Integrable.sub _ _ <;>
· constructor
· apply Measurable.aestronglyMeasurable; measurability
exact hasFiniteIntegral_toReal_of_lintegral_ne_top (lintegral_rnDeriv_lt_top _ μ).ne
#align measure_theory.signed_measure.integrable_rn_deriv MeasureTheory.SignedMeasure.integrable_rnDeriv
variable (s μ)
/-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
first
| exact (lintegral_rnDeriv_lt_top _ _).ne
| measurability
#align measure_theory.signed_measure.singular_part_add_with_density_rn_deriv_eq MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq
variable {s μ}
theorem jordanDecomposition_add_withDensity_mutuallySingular {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) :
(t.toJordanDecomposition.posPart + μ.withDensity fun x : α => ENNReal.ofReal (f x)) ⟂ₘ
t.toJordanDecomposition.negPart + μ.withDensity fun x : α => ENNReal.ofReal (-f x) := by
| rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ | theorem jordanDecomposition_add_withDensity_mutuallySingular {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) :
(t.toJordanDecomposition.posPart + μ.withDensity fun x : α => ENNReal.ofReal (f x)) ⟂ₘ
t.toJordanDecomposition.negPart + μ.withDensity fun x : α => ENNReal.ofReal (-f x) := by
| Mathlib.MeasureTheory.Decomposition.SignedLebesgue.235_0.HPGboz0rhL6sBes | theorem jordanDecomposition_add_withDensity_mutuallySingular {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) :
(t.toJordanDecomposition.posPart + μ.withDensity fun x : α => ENNReal.ofReal (f x)) ⟂ₘ
t.toJordanDecomposition.negPart + μ.withDensity fun x : α => ENNReal.ofReal (-f x) | Mathlib_MeasureTheory_Decomposition_SignedLebesgue |
α : Type u_1
β : Type u_2
m : MeasurableSpace α
μ ν : Measure α
s t : SignedMeasure α
f : α → ℝ
hf : Measurable f
htμ : (toJordanDecomposition t).posPart ⟂ₘ μ ∧ (toJordanDecomposition t).negPart ⟂ₘ μ
⊢ ((toJordanDecomposition t).posPart + withDensity μ fun x => ENNReal.ofReal (f x)) ⟂ₘ
(toJordanDecomposition t).negPart + withDensity μ fun x => ENNReal.ofReal (-f x) | /-
Copyright (c) 2021 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.MeasureTheory.Decomposition.Lebesgue
import Mathlib.MeasureTheory.Measure.Complex
/-!
# Lebesgue decomposition
This file proves the Lebesgue decomposition theorem for signed measures. The Lebesgue decomposition
theorem states that, given two σ-finite measures `μ` and `ν`, there exists a σ-finite measure `ξ`
and a measurable function `f` such that `μ = ξ + fν` and `ξ` is mutually singular with respect
to `ν`.
## Main definitions
* `MeasureTheory.SignedMeasure.HaveLebesgueDecomposition` : A signed measure `s` and a
measure `μ` is said to `HaveLebesgueDecomposition` if both the positive part and negative
part of `s` `HaveLebesgueDecomposition` with respect to `μ`.
* `MeasureTheory.SignedMeasure.singularPart` : The singular part between a signed measure `s`
and a measure `μ` is simply the singular part of the positive part of `s` with respect to `μ`
minus the singular part of the negative part of `s` with respect to `μ`.
* `MeasureTheory.SignedMeasure.rnDeriv` : The Radon-Nikodym derivative of a signed
measure `s` with respect to a measure `μ` is the Radon-Nikodym derivative of the positive part of
`s` with respect to `μ` minus the Radon-Nikodym derivative of the negative part of `s` with
respect to `μ`.
## Main results
* `MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq` :
the Lebesgue decomposition theorem between a signed measure and a σ-finite positive measure.
## Tags
Lebesgue decomposition theorem
-/
noncomputable section
open scoped Classical MeasureTheory NNReal ENNReal
open Set
variable {α β : Type*} {m : MeasurableSpace α} {μ ν : MeasureTheory.Measure α}
namespace MeasureTheory
namespace SignedMeasure
open Measure
/-- A signed measure `s` is said to `HaveLebesgueDecomposition` with respect to a measure `μ`
if the positive part and the negative part of `s` both `HaveLebesgueDecomposition` with
respect to `μ`. -/
class HaveLebesgueDecomposition (s : SignedMeasure α) (μ : Measure α) : Prop where
posPart : s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ
negPart : s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ
#align measure_theory.signed_measure.have_lebesgue_decomposition MeasureTheory.SignedMeasure.HaveLebesgueDecomposition
#align measure_theory.signed_measure.have_lebesgue_decomposition.pos_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.posPart
#align measure_theory.signed_measure.have_lebesgue_decomposition.neg_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.negPart
attribute [instance] HaveLebesgueDecomposition.posPart
attribute [instance] HaveLebesgueDecomposition.negPart
theorem not_haveLebesgueDecomposition_iff (s : SignedMeasure α) (μ : Measure α) :
¬s.HaveLebesgueDecomposition μ ↔
¬s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ ∨
¬s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ :=
⟨fun h => not_or_of_imp fun hp hn => h ⟨hp, hn⟩, fun h hl => (not_and_or.2 h) ⟨hl.1, hl.2⟩⟩
#align measure_theory.signed_measure.not_have_lebesgue_decomposition_iff MeasureTheory.SignedMeasure.not_haveLebesgueDecomposition_iff
-- `infer_instance` directly does not work
-- see Note [lower instance priority]
instance (priority := 100) haveLebesgueDecomposition_of_sigmaFinite (s : SignedMeasure α)
(μ : Measure α) [SigmaFinite μ] : s.HaveLebesgueDecomposition μ where
posPart := inferInstance
negPart := inferInstance
#align measure_theory.signed_measure.have_lebesgue_decomposition_of_sigma_finite MeasureTheory.SignedMeasure.haveLebesgueDecomposition_of_sigmaFinite
instance haveLebesgueDecomposition_neg (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] : (-s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_neg MeasureTheory.SignedMeasure.haveLebesgueDecomposition_neg
instance haveLebesgueDecomposition_smul (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ≥0) : (r • s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul
instance haveLebesgueDecomposition_smul_real (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ) : (r • s).HaveLebesgueDecomposition μ := by
by_cases hr : 0 ≤ r
· lift r to ℝ≥0 using hr
exact s.haveLebesgueDecomposition_smul μ _
· rw [not_le] at hr
refine'
{ posPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_posPart_neg _ _ hr]
infer_instance
negPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_negPart_neg _ _ hr]
infer_instance }
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul_real MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul_real
/-- Given a signed measure `s` and a measure `μ`, `s.singularPart μ` is the signed measure
such that `s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s` and
`s.singularPart μ` is mutually singular with respect to `μ`. -/
def singularPart (s : SignedMeasure α) (μ : Measure α) : SignedMeasure α :=
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure -
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure
#align measure_theory.signed_measure.singular_part MeasureTheory.SignedMeasure.singularPart
section
theorem singularPart_mutuallySingular (s : SignedMeasure α) (μ : Measure α) :
s.toJordanDecomposition.posPart.singularPart μ ⟂ₘ
s.toJordanDecomposition.negPart.singularPart μ := by
by_cases hl : s.HaveLebesgueDecomposition μ
· obtain ⟨i, hi, hpos, hneg⟩ := s.toJordanDecomposition.mutuallySingular
rw [s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ] at hpos
rw [s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ] at hneg
rw [add_apply, add_eq_zero_iff] at hpos hneg
exact ⟨i, hi, hpos.1, hneg.1⟩
· rw [not_haveLebesgueDecomposition_iff] at hl
cases' hl with hp hn
· rw [Measure.singularPart, dif_neg hp]
exact MutuallySingular.zero_left
· rw [Measure.singularPart, Measure.singularPart, dif_neg hn]
exact MutuallySingular.zero_right
#align measure_theory.signed_measure.singular_part_mutually_singular MeasureTheory.SignedMeasure.singularPart_mutuallySingular
theorem singularPart_totalVariation (s : SignedMeasure α) (μ : Measure α) :
(s.singularPart μ).totalVariation =
s.toJordanDecomposition.posPart.singularPart μ +
s.toJordanDecomposition.negPart.singularPart μ := by
have :
(s.singularPart μ).toJordanDecomposition =
⟨s.toJordanDecomposition.posPart.singularPart μ,
s.toJordanDecomposition.negPart.singularPart μ, singularPart_mutuallySingular s μ⟩ := by
refine' JordanDecomposition.toSignedMeasure_injective _
rw [toSignedMeasure_toJordanDecomposition, singularPart, JordanDecomposition.toSignedMeasure]
· rw [totalVariation, this]
#align measure_theory.signed_measure.singular_part_total_variation MeasureTheory.SignedMeasure.singularPart_totalVariation
nonrec theorem mutuallySingular_singularPart (s : SignedMeasure α) (μ : Measure α) :
singularPart s μ ⟂ᵥ μ.toENNRealVectorMeasure := by
rw [mutuallySingular_ennreal_iff, singularPart_totalVariation,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure]
exact (mutuallySingular_singularPart _ _).add_left (mutuallySingular_singularPart _ _)
#align measure_theory.signed_measure.mutually_singular_singular_part MeasureTheory.SignedMeasure.mutuallySingular_singularPart
end
/-- The Radon-Nikodym derivative between a signed measure and a positive measure.
`rnDeriv s μ` satisfies `μ.withDensityᵥ (s.rnDeriv μ) = s`
if and only if `s` is absolutely continuous with respect to `μ` and this fact is known as
`MeasureTheory.SignedMeasure.absolutelyContinuous_iff_withDensity_rnDeriv_eq`
and can be found in `MeasureTheory.Decomposition.RadonNikodym`. -/
def rnDeriv (s : SignedMeasure α) (μ : Measure α) : α → ℝ := fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal
#align measure_theory.signed_measure.rn_deriv MeasureTheory.SignedMeasure.rnDeriv
-- Porting note: The generated equation theorem is the form of `rnDeriv s μ x`.
theorem rnDeriv_def (s : SignedMeasure α) (μ : Measure α) : rnDeriv s μ = fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal :=
rfl
attribute [eqns rnDeriv_def] rnDeriv
variable {s t : SignedMeasure α}
@[measurability]
theorem measurable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Measurable (rnDeriv s μ) := by
rw [rnDeriv]
measurability
#align measure_theory.signed_measure.measurable_rn_deriv MeasureTheory.SignedMeasure.measurable_rnDeriv
theorem integrable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Integrable (rnDeriv s μ) μ := by
refine' Integrable.sub _ _ <;>
· constructor
· apply Measurable.aestronglyMeasurable; measurability
exact hasFiniteIntegral_toReal_of_lintegral_ne_top (lintegral_rnDeriv_lt_top _ μ).ne
#align measure_theory.signed_measure.integrable_rn_deriv MeasureTheory.SignedMeasure.integrable_rnDeriv
variable (s μ)
/-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
first
| exact (lintegral_rnDeriv_lt_top _ _).ne
| measurability
#align measure_theory.signed_measure.singular_part_add_with_density_rn_deriv_eq MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq
variable {s μ}
theorem jordanDecomposition_add_withDensity_mutuallySingular {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) :
(t.toJordanDecomposition.posPart + μ.withDensity fun x : α => ENNReal.ofReal (f x)) ⟂ₘ
t.toJordanDecomposition.negPart + μ.withDensity fun x : α => ENNReal.ofReal (-f x) := by
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
| exact
((JordanDecomposition.mutuallySingular _).add_right
(htμ.1.mono_ac (refl _) (withDensity_absolutelyContinuous _ _))).add_left
((htμ.2.symm.mono_ac (withDensity_absolutelyContinuous _ _) (refl _)).add_right
(withDensity_ofReal_mutuallySingular hf)) | theorem jordanDecomposition_add_withDensity_mutuallySingular {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) :
(t.toJordanDecomposition.posPart + μ.withDensity fun x : α => ENNReal.ofReal (f x)) ⟂ₘ
t.toJordanDecomposition.negPart + μ.withDensity fun x : α => ENNReal.ofReal (-f x) := by
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
| Mathlib.MeasureTheory.Decomposition.SignedLebesgue.235_0.HPGboz0rhL6sBes | theorem jordanDecomposition_add_withDensity_mutuallySingular {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) :
(t.toJordanDecomposition.posPart + μ.withDensity fun x : α => ENNReal.ofReal (f x)) ⟂ₘ
t.toJordanDecomposition.negPart + μ.withDensity fun x : α => ENNReal.ofReal (-f x) | Mathlib_MeasureTheory_Decomposition_SignedLebesgue |
α : Type u_1
β : Type u_2
m : MeasurableSpace α
μ ν : Measure α
s t : SignedMeasure α
f : α → ℝ
hf : Measurable f
hfi : Integrable f
htμ : t ⟂ᵥ toENNRealVectorMeasure μ
hadd : s = t + withDensityᵥ μ f
⊢ IsFiniteMeasure ((toJordanDecomposition t).posPart + withDensity μ fun x => ENNReal.ofReal (f x)) | /-
Copyright (c) 2021 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.MeasureTheory.Decomposition.Lebesgue
import Mathlib.MeasureTheory.Measure.Complex
/-!
# Lebesgue decomposition
This file proves the Lebesgue decomposition theorem for signed measures. The Lebesgue decomposition
theorem states that, given two σ-finite measures `μ` and `ν`, there exists a σ-finite measure `ξ`
and a measurable function `f` such that `μ = ξ + fν` and `ξ` is mutually singular with respect
to `ν`.
## Main definitions
* `MeasureTheory.SignedMeasure.HaveLebesgueDecomposition` : A signed measure `s` and a
measure `μ` is said to `HaveLebesgueDecomposition` if both the positive part and negative
part of `s` `HaveLebesgueDecomposition` with respect to `μ`.
* `MeasureTheory.SignedMeasure.singularPart` : The singular part between a signed measure `s`
and a measure `μ` is simply the singular part of the positive part of `s` with respect to `μ`
minus the singular part of the negative part of `s` with respect to `μ`.
* `MeasureTheory.SignedMeasure.rnDeriv` : The Radon-Nikodym derivative of a signed
measure `s` with respect to a measure `μ` is the Radon-Nikodym derivative of the positive part of
`s` with respect to `μ` minus the Radon-Nikodym derivative of the negative part of `s` with
respect to `μ`.
## Main results
* `MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq` :
the Lebesgue decomposition theorem between a signed measure and a σ-finite positive measure.
## Tags
Lebesgue decomposition theorem
-/
noncomputable section
open scoped Classical MeasureTheory NNReal ENNReal
open Set
variable {α β : Type*} {m : MeasurableSpace α} {μ ν : MeasureTheory.Measure α}
namespace MeasureTheory
namespace SignedMeasure
open Measure
/-- A signed measure `s` is said to `HaveLebesgueDecomposition` with respect to a measure `μ`
if the positive part and the negative part of `s` both `HaveLebesgueDecomposition` with
respect to `μ`. -/
class HaveLebesgueDecomposition (s : SignedMeasure α) (μ : Measure α) : Prop where
posPart : s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ
negPart : s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ
#align measure_theory.signed_measure.have_lebesgue_decomposition MeasureTheory.SignedMeasure.HaveLebesgueDecomposition
#align measure_theory.signed_measure.have_lebesgue_decomposition.pos_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.posPart
#align measure_theory.signed_measure.have_lebesgue_decomposition.neg_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.negPart
attribute [instance] HaveLebesgueDecomposition.posPart
attribute [instance] HaveLebesgueDecomposition.negPart
theorem not_haveLebesgueDecomposition_iff (s : SignedMeasure α) (μ : Measure α) :
¬s.HaveLebesgueDecomposition μ ↔
¬s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ ∨
¬s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ :=
⟨fun h => not_or_of_imp fun hp hn => h ⟨hp, hn⟩, fun h hl => (not_and_or.2 h) ⟨hl.1, hl.2⟩⟩
#align measure_theory.signed_measure.not_have_lebesgue_decomposition_iff MeasureTheory.SignedMeasure.not_haveLebesgueDecomposition_iff
-- `infer_instance` directly does not work
-- see Note [lower instance priority]
instance (priority := 100) haveLebesgueDecomposition_of_sigmaFinite (s : SignedMeasure α)
(μ : Measure α) [SigmaFinite μ] : s.HaveLebesgueDecomposition μ where
posPart := inferInstance
negPart := inferInstance
#align measure_theory.signed_measure.have_lebesgue_decomposition_of_sigma_finite MeasureTheory.SignedMeasure.haveLebesgueDecomposition_of_sigmaFinite
instance haveLebesgueDecomposition_neg (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] : (-s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_neg MeasureTheory.SignedMeasure.haveLebesgueDecomposition_neg
instance haveLebesgueDecomposition_smul (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ≥0) : (r • s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul
instance haveLebesgueDecomposition_smul_real (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ) : (r • s).HaveLebesgueDecomposition μ := by
by_cases hr : 0 ≤ r
· lift r to ℝ≥0 using hr
exact s.haveLebesgueDecomposition_smul μ _
· rw [not_le] at hr
refine'
{ posPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_posPart_neg _ _ hr]
infer_instance
negPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_negPart_neg _ _ hr]
infer_instance }
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul_real MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul_real
/-- Given a signed measure `s` and a measure `μ`, `s.singularPart μ` is the signed measure
such that `s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s` and
`s.singularPart μ` is mutually singular with respect to `μ`. -/
def singularPart (s : SignedMeasure α) (μ : Measure α) : SignedMeasure α :=
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure -
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure
#align measure_theory.signed_measure.singular_part MeasureTheory.SignedMeasure.singularPart
section
theorem singularPart_mutuallySingular (s : SignedMeasure α) (μ : Measure α) :
s.toJordanDecomposition.posPart.singularPart μ ⟂ₘ
s.toJordanDecomposition.negPart.singularPart μ := by
by_cases hl : s.HaveLebesgueDecomposition μ
· obtain ⟨i, hi, hpos, hneg⟩ := s.toJordanDecomposition.mutuallySingular
rw [s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ] at hpos
rw [s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ] at hneg
rw [add_apply, add_eq_zero_iff] at hpos hneg
exact ⟨i, hi, hpos.1, hneg.1⟩
· rw [not_haveLebesgueDecomposition_iff] at hl
cases' hl with hp hn
· rw [Measure.singularPart, dif_neg hp]
exact MutuallySingular.zero_left
· rw [Measure.singularPart, Measure.singularPart, dif_neg hn]
exact MutuallySingular.zero_right
#align measure_theory.signed_measure.singular_part_mutually_singular MeasureTheory.SignedMeasure.singularPart_mutuallySingular
theorem singularPart_totalVariation (s : SignedMeasure α) (μ : Measure α) :
(s.singularPart μ).totalVariation =
s.toJordanDecomposition.posPart.singularPart μ +
s.toJordanDecomposition.negPart.singularPart μ := by
have :
(s.singularPart μ).toJordanDecomposition =
⟨s.toJordanDecomposition.posPart.singularPart μ,
s.toJordanDecomposition.negPart.singularPart μ, singularPart_mutuallySingular s μ⟩ := by
refine' JordanDecomposition.toSignedMeasure_injective _
rw [toSignedMeasure_toJordanDecomposition, singularPart, JordanDecomposition.toSignedMeasure]
· rw [totalVariation, this]
#align measure_theory.signed_measure.singular_part_total_variation MeasureTheory.SignedMeasure.singularPart_totalVariation
nonrec theorem mutuallySingular_singularPart (s : SignedMeasure α) (μ : Measure α) :
singularPart s μ ⟂ᵥ μ.toENNRealVectorMeasure := by
rw [mutuallySingular_ennreal_iff, singularPart_totalVariation,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure]
exact (mutuallySingular_singularPart _ _).add_left (mutuallySingular_singularPart _ _)
#align measure_theory.signed_measure.mutually_singular_singular_part MeasureTheory.SignedMeasure.mutuallySingular_singularPart
end
/-- The Radon-Nikodym derivative between a signed measure and a positive measure.
`rnDeriv s μ` satisfies `μ.withDensityᵥ (s.rnDeriv μ) = s`
if and only if `s` is absolutely continuous with respect to `μ` and this fact is known as
`MeasureTheory.SignedMeasure.absolutelyContinuous_iff_withDensity_rnDeriv_eq`
and can be found in `MeasureTheory.Decomposition.RadonNikodym`. -/
def rnDeriv (s : SignedMeasure α) (μ : Measure α) : α → ℝ := fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal
#align measure_theory.signed_measure.rn_deriv MeasureTheory.SignedMeasure.rnDeriv
-- Porting note: The generated equation theorem is the form of `rnDeriv s μ x`.
theorem rnDeriv_def (s : SignedMeasure α) (μ : Measure α) : rnDeriv s μ = fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal :=
rfl
attribute [eqns rnDeriv_def] rnDeriv
variable {s t : SignedMeasure α}
@[measurability]
theorem measurable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Measurable (rnDeriv s μ) := by
rw [rnDeriv]
measurability
#align measure_theory.signed_measure.measurable_rn_deriv MeasureTheory.SignedMeasure.measurable_rnDeriv
theorem integrable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Integrable (rnDeriv s μ) μ := by
refine' Integrable.sub _ _ <;>
· constructor
· apply Measurable.aestronglyMeasurable; measurability
exact hasFiniteIntegral_toReal_of_lintegral_ne_top (lintegral_rnDeriv_lt_top _ μ).ne
#align measure_theory.signed_measure.integrable_rn_deriv MeasureTheory.SignedMeasure.integrable_rnDeriv
variable (s μ)
/-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
first
| exact (lintegral_rnDeriv_lt_top _ _).ne
| measurability
#align measure_theory.signed_measure.singular_part_add_with_density_rn_deriv_eq MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq
variable {s μ}
theorem jordanDecomposition_add_withDensity_mutuallySingular {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) :
(t.toJordanDecomposition.posPart + μ.withDensity fun x : α => ENNReal.ofReal (f x)) ⟂ₘ
t.toJordanDecomposition.negPart + μ.withDensity fun x : α => ENNReal.ofReal (-f x) := by
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
exact
((JordanDecomposition.mutuallySingular _).add_right
(htμ.1.mono_ac (refl _) (withDensity_absolutelyContinuous _ _))).add_left
((htμ.2.symm.mono_ac (withDensity_absolutelyContinuous _ _) (refl _)).add_right
(withDensity_ofReal_mutuallySingular hf))
#align measure_theory.signed_measure.jordan_decomposition_add_with_density_mutually_singular MeasureTheory.SignedMeasure.jordanDecomposition_add_withDensity_mutuallySingular
theorem toJordanDecomposition_eq_of_eq_add_withDensity {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.toJordanDecomposition =
@JordanDecomposition.mk α _
(t.toJordanDecomposition.posPart + μ.withDensity fun x => ENNReal.ofReal (f x))
(t.toJordanDecomposition.negPart + μ.withDensity fun x => ENNReal.ofReal (-f x))
(by | haveI := isFiniteMeasure_withDensity_ofReal hfi.2 | theorem toJordanDecomposition_eq_of_eq_add_withDensity {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.toJordanDecomposition =
@JordanDecomposition.mk α _
(t.toJordanDecomposition.posPart + μ.withDensity fun x => ENNReal.ofReal (f x))
(t.toJordanDecomposition.negPart + μ.withDensity fun x => ENNReal.ofReal (-f x))
(by | Mathlib.MeasureTheory.Decomposition.SignedLebesgue.248_0.HPGboz0rhL6sBes | theorem toJordanDecomposition_eq_of_eq_add_withDensity {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.toJordanDecomposition =
@JordanDecomposition.mk α _
(t.toJordanDecomposition.posPart + μ.withDensity fun x => ENNReal.ofReal (f x))
(t.toJordanDecomposition.negPart + μ.withDensity fun x => ENNReal.ofReal (-f x))
(by haveI | Mathlib_MeasureTheory_Decomposition_SignedLebesgue |
α : Type u_1
β : Type u_2
m : MeasurableSpace α
μ ν : Measure α
s t : SignedMeasure α
f : α → ℝ
hf : Measurable f
hfi : Integrable f
htμ : t ⟂ᵥ toENNRealVectorMeasure μ
hadd : s = t + withDensityᵥ μ f
this : IsFiniteMeasure (withDensity μ fun x => ENNReal.ofReal (f x))
⊢ IsFiniteMeasure ((toJordanDecomposition t).posPart + withDensity μ fun x => ENNReal.ofReal (f x)) | /-
Copyright (c) 2021 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.MeasureTheory.Decomposition.Lebesgue
import Mathlib.MeasureTheory.Measure.Complex
/-!
# Lebesgue decomposition
This file proves the Lebesgue decomposition theorem for signed measures. The Lebesgue decomposition
theorem states that, given two σ-finite measures `μ` and `ν`, there exists a σ-finite measure `ξ`
and a measurable function `f` such that `μ = ξ + fν` and `ξ` is mutually singular with respect
to `ν`.
## Main definitions
* `MeasureTheory.SignedMeasure.HaveLebesgueDecomposition` : A signed measure `s` and a
measure `μ` is said to `HaveLebesgueDecomposition` if both the positive part and negative
part of `s` `HaveLebesgueDecomposition` with respect to `μ`.
* `MeasureTheory.SignedMeasure.singularPart` : The singular part between a signed measure `s`
and a measure `μ` is simply the singular part of the positive part of `s` with respect to `μ`
minus the singular part of the negative part of `s` with respect to `μ`.
* `MeasureTheory.SignedMeasure.rnDeriv` : The Radon-Nikodym derivative of a signed
measure `s` with respect to a measure `μ` is the Radon-Nikodym derivative of the positive part of
`s` with respect to `μ` minus the Radon-Nikodym derivative of the negative part of `s` with
respect to `μ`.
## Main results
* `MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq` :
the Lebesgue decomposition theorem between a signed measure and a σ-finite positive measure.
## Tags
Lebesgue decomposition theorem
-/
noncomputable section
open scoped Classical MeasureTheory NNReal ENNReal
open Set
variable {α β : Type*} {m : MeasurableSpace α} {μ ν : MeasureTheory.Measure α}
namespace MeasureTheory
namespace SignedMeasure
open Measure
/-- A signed measure `s` is said to `HaveLebesgueDecomposition` with respect to a measure `μ`
if the positive part and the negative part of `s` both `HaveLebesgueDecomposition` with
respect to `μ`. -/
class HaveLebesgueDecomposition (s : SignedMeasure α) (μ : Measure α) : Prop where
posPart : s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ
negPart : s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ
#align measure_theory.signed_measure.have_lebesgue_decomposition MeasureTheory.SignedMeasure.HaveLebesgueDecomposition
#align measure_theory.signed_measure.have_lebesgue_decomposition.pos_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.posPart
#align measure_theory.signed_measure.have_lebesgue_decomposition.neg_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.negPart
attribute [instance] HaveLebesgueDecomposition.posPart
attribute [instance] HaveLebesgueDecomposition.negPart
theorem not_haveLebesgueDecomposition_iff (s : SignedMeasure α) (μ : Measure α) :
¬s.HaveLebesgueDecomposition μ ↔
¬s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ ∨
¬s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ :=
⟨fun h => not_or_of_imp fun hp hn => h ⟨hp, hn⟩, fun h hl => (not_and_or.2 h) ⟨hl.1, hl.2⟩⟩
#align measure_theory.signed_measure.not_have_lebesgue_decomposition_iff MeasureTheory.SignedMeasure.not_haveLebesgueDecomposition_iff
-- `infer_instance` directly does not work
-- see Note [lower instance priority]
instance (priority := 100) haveLebesgueDecomposition_of_sigmaFinite (s : SignedMeasure α)
(μ : Measure α) [SigmaFinite μ] : s.HaveLebesgueDecomposition μ where
posPart := inferInstance
negPart := inferInstance
#align measure_theory.signed_measure.have_lebesgue_decomposition_of_sigma_finite MeasureTheory.SignedMeasure.haveLebesgueDecomposition_of_sigmaFinite
instance haveLebesgueDecomposition_neg (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] : (-s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_neg MeasureTheory.SignedMeasure.haveLebesgueDecomposition_neg
instance haveLebesgueDecomposition_smul (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ≥0) : (r • s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul
instance haveLebesgueDecomposition_smul_real (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ) : (r • s).HaveLebesgueDecomposition μ := by
by_cases hr : 0 ≤ r
· lift r to ℝ≥0 using hr
exact s.haveLebesgueDecomposition_smul μ _
· rw [not_le] at hr
refine'
{ posPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_posPart_neg _ _ hr]
infer_instance
negPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_negPart_neg _ _ hr]
infer_instance }
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul_real MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul_real
/-- Given a signed measure `s` and a measure `μ`, `s.singularPart μ` is the signed measure
such that `s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s` and
`s.singularPart μ` is mutually singular with respect to `μ`. -/
def singularPart (s : SignedMeasure α) (μ : Measure α) : SignedMeasure α :=
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure -
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure
#align measure_theory.signed_measure.singular_part MeasureTheory.SignedMeasure.singularPart
section
theorem singularPart_mutuallySingular (s : SignedMeasure α) (μ : Measure α) :
s.toJordanDecomposition.posPart.singularPart μ ⟂ₘ
s.toJordanDecomposition.negPart.singularPart μ := by
by_cases hl : s.HaveLebesgueDecomposition μ
· obtain ⟨i, hi, hpos, hneg⟩ := s.toJordanDecomposition.mutuallySingular
rw [s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ] at hpos
rw [s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ] at hneg
rw [add_apply, add_eq_zero_iff] at hpos hneg
exact ⟨i, hi, hpos.1, hneg.1⟩
· rw [not_haveLebesgueDecomposition_iff] at hl
cases' hl with hp hn
· rw [Measure.singularPart, dif_neg hp]
exact MutuallySingular.zero_left
· rw [Measure.singularPart, Measure.singularPart, dif_neg hn]
exact MutuallySingular.zero_right
#align measure_theory.signed_measure.singular_part_mutually_singular MeasureTheory.SignedMeasure.singularPart_mutuallySingular
theorem singularPart_totalVariation (s : SignedMeasure α) (μ : Measure α) :
(s.singularPart μ).totalVariation =
s.toJordanDecomposition.posPart.singularPart μ +
s.toJordanDecomposition.negPart.singularPart μ := by
have :
(s.singularPart μ).toJordanDecomposition =
⟨s.toJordanDecomposition.posPart.singularPart μ,
s.toJordanDecomposition.negPart.singularPart μ, singularPart_mutuallySingular s μ⟩ := by
refine' JordanDecomposition.toSignedMeasure_injective _
rw [toSignedMeasure_toJordanDecomposition, singularPart, JordanDecomposition.toSignedMeasure]
· rw [totalVariation, this]
#align measure_theory.signed_measure.singular_part_total_variation MeasureTheory.SignedMeasure.singularPart_totalVariation
nonrec theorem mutuallySingular_singularPart (s : SignedMeasure α) (μ : Measure α) :
singularPart s μ ⟂ᵥ μ.toENNRealVectorMeasure := by
rw [mutuallySingular_ennreal_iff, singularPart_totalVariation,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure]
exact (mutuallySingular_singularPart _ _).add_left (mutuallySingular_singularPart _ _)
#align measure_theory.signed_measure.mutually_singular_singular_part MeasureTheory.SignedMeasure.mutuallySingular_singularPart
end
/-- The Radon-Nikodym derivative between a signed measure and a positive measure.
`rnDeriv s μ` satisfies `μ.withDensityᵥ (s.rnDeriv μ) = s`
if and only if `s` is absolutely continuous with respect to `μ` and this fact is known as
`MeasureTheory.SignedMeasure.absolutelyContinuous_iff_withDensity_rnDeriv_eq`
and can be found in `MeasureTheory.Decomposition.RadonNikodym`. -/
def rnDeriv (s : SignedMeasure α) (μ : Measure α) : α → ℝ := fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal
#align measure_theory.signed_measure.rn_deriv MeasureTheory.SignedMeasure.rnDeriv
-- Porting note: The generated equation theorem is the form of `rnDeriv s μ x`.
theorem rnDeriv_def (s : SignedMeasure α) (μ : Measure α) : rnDeriv s μ = fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal :=
rfl
attribute [eqns rnDeriv_def] rnDeriv
variable {s t : SignedMeasure α}
@[measurability]
theorem measurable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Measurable (rnDeriv s μ) := by
rw [rnDeriv]
measurability
#align measure_theory.signed_measure.measurable_rn_deriv MeasureTheory.SignedMeasure.measurable_rnDeriv
theorem integrable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Integrable (rnDeriv s μ) μ := by
refine' Integrable.sub _ _ <;>
· constructor
· apply Measurable.aestronglyMeasurable; measurability
exact hasFiniteIntegral_toReal_of_lintegral_ne_top (lintegral_rnDeriv_lt_top _ μ).ne
#align measure_theory.signed_measure.integrable_rn_deriv MeasureTheory.SignedMeasure.integrable_rnDeriv
variable (s μ)
/-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
first
| exact (lintegral_rnDeriv_lt_top _ _).ne
| measurability
#align measure_theory.signed_measure.singular_part_add_with_density_rn_deriv_eq MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq
variable {s μ}
theorem jordanDecomposition_add_withDensity_mutuallySingular {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) :
(t.toJordanDecomposition.posPart + μ.withDensity fun x : α => ENNReal.ofReal (f x)) ⟂ₘ
t.toJordanDecomposition.negPart + μ.withDensity fun x : α => ENNReal.ofReal (-f x) := by
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
exact
((JordanDecomposition.mutuallySingular _).add_right
(htμ.1.mono_ac (refl _) (withDensity_absolutelyContinuous _ _))).add_left
((htμ.2.symm.mono_ac (withDensity_absolutelyContinuous _ _) (refl _)).add_right
(withDensity_ofReal_mutuallySingular hf))
#align measure_theory.signed_measure.jordan_decomposition_add_with_density_mutually_singular MeasureTheory.SignedMeasure.jordanDecomposition_add_withDensity_mutuallySingular
theorem toJordanDecomposition_eq_of_eq_add_withDensity {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.toJordanDecomposition =
@JordanDecomposition.mk α _
(t.toJordanDecomposition.posPart + μ.withDensity fun x => ENNReal.ofReal (f x))
(t.toJordanDecomposition.negPart + μ.withDensity fun x => ENNReal.ofReal (-f x))
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.2; | infer_instance | theorem toJordanDecomposition_eq_of_eq_add_withDensity {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.toJordanDecomposition =
@JordanDecomposition.mk α _
(t.toJordanDecomposition.posPart + μ.withDensity fun x => ENNReal.ofReal (f x))
(t.toJordanDecomposition.negPart + μ.withDensity fun x => ENNReal.ofReal (-f x))
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.2; | Mathlib.MeasureTheory.Decomposition.SignedLebesgue.248_0.HPGboz0rhL6sBes | theorem toJordanDecomposition_eq_of_eq_add_withDensity {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.toJordanDecomposition =
@JordanDecomposition.mk α _
(t.toJordanDecomposition.posPart + μ.withDensity fun x => ENNReal.ofReal (f x))
(t.toJordanDecomposition.negPart + μ.withDensity fun x => ENNReal.ofReal (-f x))
(by haveI | Mathlib_MeasureTheory_Decomposition_SignedLebesgue |
α : Type u_1
β : Type u_2
m : MeasurableSpace α
μ ν : Measure α
s t : SignedMeasure α
f : α → ℝ
hf : Measurable f
hfi : Integrable f
htμ : t ⟂ᵥ toENNRealVectorMeasure μ
hadd : s = t + withDensityᵥ μ f
⊢ IsFiniteMeasure ((toJordanDecomposition t).negPart + withDensity μ fun x => ENNReal.ofReal (-f x)) | /-
Copyright (c) 2021 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.MeasureTheory.Decomposition.Lebesgue
import Mathlib.MeasureTheory.Measure.Complex
/-!
# Lebesgue decomposition
This file proves the Lebesgue decomposition theorem for signed measures. The Lebesgue decomposition
theorem states that, given two σ-finite measures `μ` and `ν`, there exists a σ-finite measure `ξ`
and a measurable function `f` such that `μ = ξ + fν` and `ξ` is mutually singular with respect
to `ν`.
## Main definitions
* `MeasureTheory.SignedMeasure.HaveLebesgueDecomposition` : A signed measure `s` and a
measure `μ` is said to `HaveLebesgueDecomposition` if both the positive part and negative
part of `s` `HaveLebesgueDecomposition` with respect to `μ`.
* `MeasureTheory.SignedMeasure.singularPart` : The singular part between a signed measure `s`
and a measure `μ` is simply the singular part of the positive part of `s` with respect to `μ`
minus the singular part of the negative part of `s` with respect to `μ`.
* `MeasureTheory.SignedMeasure.rnDeriv` : The Radon-Nikodym derivative of a signed
measure `s` with respect to a measure `μ` is the Radon-Nikodym derivative of the positive part of
`s` with respect to `μ` minus the Radon-Nikodym derivative of the negative part of `s` with
respect to `μ`.
## Main results
* `MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq` :
the Lebesgue decomposition theorem between a signed measure and a σ-finite positive measure.
## Tags
Lebesgue decomposition theorem
-/
noncomputable section
open scoped Classical MeasureTheory NNReal ENNReal
open Set
variable {α β : Type*} {m : MeasurableSpace α} {μ ν : MeasureTheory.Measure α}
namespace MeasureTheory
namespace SignedMeasure
open Measure
/-- A signed measure `s` is said to `HaveLebesgueDecomposition` with respect to a measure `μ`
if the positive part and the negative part of `s` both `HaveLebesgueDecomposition` with
respect to `μ`. -/
class HaveLebesgueDecomposition (s : SignedMeasure α) (μ : Measure α) : Prop where
posPart : s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ
negPart : s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ
#align measure_theory.signed_measure.have_lebesgue_decomposition MeasureTheory.SignedMeasure.HaveLebesgueDecomposition
#align measure_theory.signed_measure.have_lebesgue_decomposition.pos_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.posPart
#align measure_theory.signed_measure.have_lebesgue_decomposition.neg_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.negPart
attribute [instance] HaveLebesgueDecomposition.posPart
attribute [instance] HaveLebesgueDecomposition.negPart
theorem not_haveLebesgueDecomposition_iff (s : SignedMeasure α) (μ : Measure α) :
¬s.HaveLebesgueDecomposition μ ↔
¬s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ ∨
¬s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ :=
⟨fun h => not_or_of_imp fun hp hn => h ⟨hp, hn⟩, fun h hl => (not_and_or.2 h) ⟨hl.1, hl.2⟩⟩
#align measure_theory.signed_measure.not_have_lebesgue_decomposition_iff MeasureTheory.SignedMeasure.not_haveLebesgueDecomposition_iff
-- `infer_instance` directly does not work
-- see Note [lower instance priority]
instance (priority := 100) haveLebesgueDecomposition_of_sigmaFinite (s : SignedMeasure α)
(μ : Measure α) [SigmaFinite μ] : s.HaveLebesgueDecomposition μ where
posPart := inferInstance
negPart := inferInstance
#align measure_theory.signed_measure.have_lebesgue_decomposition_of_sigma_finite MeasureTheory.SignedMeasure.haveLebesgueDecomposition_of_sigmaFinite
instance haveLebesgueDecomposition_neg (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] : (-s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_neg MeasureTheory.SignedMeasure.haveLebesgueDecomposition_neg
instance haveLebesgueDecomposition_smul (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ≥0) : (r • s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul
instance haveLebesgueDecomposition_smul_real (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ) : (r • s).HaveLebesgueDecomposition μ := by
by_cases hr : 0 ≤ r
· lift r to ℝ≥0 using hr
exact s.haveLebesgueDecomposition_smul μ _
· rw [not_le] at hr
refine'
{ posPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_posPart_neg _ _ hr]
infer_instance
negPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_negPart_neg _ _ hr]
infer_instance }
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul_real MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul_real
/-- Given a signed measure `s` and a measure `μ`, `s.singularPart μ` is the signed measure
such that `s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s` and
`s.singularPart μ` is mutually singular with respect to `μ`. -/
def singularPart (s : SignedMeasure α) (μ : Measure α) : SignedMeasure α :=
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure -
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure
#align measure_theory.signed_measure.singular_part MeasureTheory.SignedMeasure.singularPart
section
theorem singularPart_mutuallySingular (s : SignedMeasure α) (μ : Measure α) :
s.toJordanDecomposition.posPart.singularPart μ ⟂ₘ
s.toJordanDecomposition.negPart.singularPart μ := by
by_cases hl : s.HaveLebesgueDecomposition μ
· obtain ⟨i, hi, hpos, hneg⟩ := s.toJordanDecomposition.mutuallySingular
rw [s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ] at hpos
rw [s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ] at hneg
rw [add_apply, add_eq_zero_iff] at hpos hneg
exact ⟨i, hi, hpos.1, hneg.1⟩
· rw [not_haveLebesgueDecomposition_iff] at hl
cases' hl with hp hn
· rw [Measure.singularPart, dif_neg hp]
exact MutuallySingular.zero_left
· rw [Measure.singularPart, Measure.singularPart, dif_neg hn]
exact MutuallySingular.zero_right
#align measure_theory.signed_measure.singular_part_mutually_singular MeasureTheory.SignedMeasure.singularPart_mutuallySingular
theorem singularPart_totalVariation (s : SignedMeasure α) (μ : Measure α) :
(s.singularPart μ).totalVariation =
s.toJordanDecomposition.posPart.singularPart μ +
s.toJordanDecomposition.negPart.singularPart μ := by
have :
(s.singularPart μ).toJordanDecomposition =
⟨s.toJordanDecomposition.posPart.singularPart μ,
s.toJordanDecomposition.negPart.singularPart μ, singularPart_mutuallySingular s μ⟩ := by
refine' JordanDecomposition.toSignedMeasure_injective _
rw [toSignedMeasure_toJordanDecomposition, singularPart, JordanDecomposition.toSignedMeasure]
· rw [totalVariation, this]
#align measure_theory.signed_measure.singular_part_total_variation MeasureTheory.SignedMeasure.singularPart_totalVariation
nonrec theorem mutuallySingular_singularPart (s : SignedMeasure α) (μ : Measure α) :
singularPart s μ ⟂ᵥ μ.toENNRealVectorMeasure := by
rw [mutuallySingular_ennreal_iff, singularPart_totalVariation,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure]
exact (mutuallySingular_singularPart _ _).add_left (mutuallySingular_singularPart _ _)
#align measure_theory.signed_measure.mutually_singular_singular_part MeasureTheory.SignedMeasure.mutuallySingular_singularPart
end
/-- The Radon-Nikodym derivative between a signed measure and a positive measure.
`rnDeriv s μ` satisfies `μ.withDensityᵥ (s.rnDeriv μ) = s`
if and only if `s` is absolutely continuous with respect to `μ` and this fact is known as
`MeasureTheory.SignedMeasure.absolutelyContinuous_iff_withDensity_rnDeriv_eq`
and can be found in `MeasureTheory.Decomposition.RadonNikodym`. -/
def rnDeriv (s : SignedMeasure α) (μ : Measure α) : α → ℝ := fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal
#align measure_theory.signed_measure.rn_deriv MeasureTheory.SignedMeasure.rnDeriv
-- Porting note: The generated equation theorem is the form of `rnDeriv s μ x`.
theorem rnDeriv_def (s : SignedMeasure α) (μ : Measure α) : rnDeriv s μ = fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal :=
rfl
attribute [eqns rnDeriv_def] rnDeriv
variable {s t : SignedMeasure α}
@[measurability]
theorem measurable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Measurable (rnDeriv s μ) := by
rw [rnDeriv]
measurability
#align measure_theory.signed_measure.measurable_rn_deriv MeasureTheory.SignedMeasure.measurable_rnDeriv
theorem integrable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Integrable (rnDeriv s μ) μ := by
refine' Integrable.sub _ _ <;>
· constructor
· apply Measurable.aestronglyMeasurable; measurability
exact hasFiniteIntegral_toReal_of_lintegral_ne_top (lintegral_rnDeriv_lt_top _ μ).ne
#align measure_theory.signed_measure.integrable_rn_deriv MeasureTheory.SignedMeasure.integrable_rnDeriv
variable (s μ)
/-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
first
| exact (lintegral_rnDeriv_lt_top _ _).ne
| measurability
#align measure_theory.signed_measure.singular_part_add_with_density_rn_deriv_eq MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq
variable {s μ}
theorem jordanDecomposition_add_withDensity_mutuallySingular {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) :
(t.toJordanDecomposition.posPart + μ.withDensity fun x : α => ENNReal.ofReal (f x)) ⟂ₘ
t.toJordanDecomposition.negPart + μ.withDensity fun x : α => ENNReal.ofReal (-f x) := by
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
exact
((JordanDecomposition.mutuallySingular _).add_right
(htμ.1.mono_ac (refl _) (withDensity_absolutelyContinuous _ _))).add_left
((htμ.2.symm.mono_ac (withDensity_absolutelyContinuous _ _) (refl _)).add_right
(withDensity_ofReal_mutuallySingular hf))
#align measure_theory.signed_measure.jordan_decomposition_add_with_density_mutually_singular MeasureTheory.SignedMeasure.jordanDecomposition_add_withDensity_mutuallySingular
theorem toJordanDecomposition_eq_of_eq_add_withDensity {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.toJordanDecomposition =
@JordanDecomposition.mk α _
(t.toJordanDecomposition.posPart + μ.withDensity fun x => ENNReal.ofReal (f x))
(t.toJordanDecomposition.negPart + μ.withDensity fun x => ENNReal.ofReal (-f x))
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.2; infer_instance)
(by | haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2 | theorem toJordanDecomposition_eq_of_eq_add_withDensity {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.toJordanDecomposition =
@JordanDecomposition.mk α _
(t.toJordanDecomposition.posPart + μ.withDensity fun x => ENNReal.ofReal (f x))
(t.toJordanDecomposition.negPart + μ.withDensity fun x => ENNReal.ofReal (-f x))
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.2; infer_instance)
(by | Mathlib.MeasureTheory.Decomposition.SignedLebesgue.248_0.HPGboz0rhL6sBes | theorem toJordanDecomposition_eq_of_eq_add_withDensity {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.toJordanDecomposition =
@JordanDecomposition.mk α _
(t.toJordanDecomposition.posPart + μ.withDensity fun x => ENNReal.ofReal (f x))
(t.toJordanDecomposition.negPart + μ.withDensity fun x => ENNReal.ofReal (-f x))
(by haveI | Mathlib_MeasureTheory_Decomposition_SignedLebesgue |
α : Type u_1
β : Type u_2
m : MeasurableSpace α
μ ν : Measure α
s t : SignedMeasure α
f : α → ℝ
hf : Measurable f
hfi : Integrable f
htμ : t ⟂ᵥ toENNRealVectorMeasure μ
hadd : s = t + withDensityᵥ μ f
this : IsFiniteMeasure (withDensity μ fun x => ENNReal.ofReal ((-f) x))
⊢ IsFiniteMeasure ((toJordanDecomposition t).negPart + withDensity μ fun x => ENNReal.ofReal (-f x)) | /-
Copyright (c) 2021 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.MeasureTheory.Decomposition.Lebesgue
import Mathlib.MeasureTheory.Measure.Complex
/-!
# Lebesgue decomposition
This file proves the Lebesgue decomposition theorem for signed measures. The Lebesgue decomposition
theorem states that, given two σ-finite measures `μ` and `ν`, there exists a σ-finite measure `ξ`
and a measurable function `f` such that `μ = ξ + fν` and `ξ` is mutually singular with respect
to `ν`.
## Main definitions
* `MeasureTheory.SignedMeasure.HaveLebesgueDecomposition` : A signed measure `s` and a
measure `μ` is said to `HaveLebesgueDecomposition` if both the positive part and negative
part of `s` `HaveLebesgueDecomposition` with respect to `μ`.
* `MeasureTheory.SignedMeasure.singularPart` : The singular part between a signed measure `s`
and a measure `μ` is simply the singular part of the positive part of `s` with respect to `μ`
minus the singular part of the negative part of `s` with respect to `μ`.
* `MeasureTheory.SignedMeasure.rnDeriv` : The Radon-Nikodym derivative of a signed
measure `s` with respect to a measure `μ` is the Radon-Nikodym derivative of the positive part of
`s` with respect to `μ` minus the Radon-Nikodym derivative of the negative part of `s` with
respect to `μ`.
## Main results
* `MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq` :
the Lebesgue decomposition theorem between a signed measure and a σ-finite positive measure.
## Tags
Lebesgue decomposition theorem
-/
noncomputable section
open scoped Classical MeasureTheory NNReal ENNReal
open Set
variable {α β : Type*} {m : MeasurableSpace α} {μ ν : MeasureTheory.Measure α}
namespace MeasureTheory
namespace SignedMeasure
open Measure
/-- A signed measure `s` is said to `HaveLebesgueDecomposition` with respect to a measure `μ`
if the positive part and the negative part of `s` both `HaveLebesgueDecomposition` with
respect to `μ`. -/
class HaveLebesgueDecomposition (s : SignedMeasure α) (μ : Measure α) : Prop where
posPart : s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ
negPart : s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ
#align measure_theory.signed_measure.have_lebesgue_decomposition MeasureTheory.SignedMeasure.HaveLebesgueDecomposition
#align measure_theory.signed_measure.have_lebesgue_decomposition.pos_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.posPart
#align measure_theory.signed_measure.have_lebesgue_decomposition.neg_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.negPart
attribute [instance] HaveLebesgueDecomposition.posPart
attribute [instance] HaveLebesgueDecomposition.negPart
theorem not_haveLebesgueDecomposition_iff (s : SignedMeasure α) (μ : Measure α) :
¬s.HaveLebesgueDecomposition μ ↔
¬s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ ∨
¬s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ :=
⟨fun h => not_or_of_imp fun hp hn => h ⟨hp, hn⟩, fun h hl => (not_and_or.2 h) ⟨hl.1, hl.2⟩⟩
#align measure_theory.signed_measure.not_have_lebesgue_decomposition_iff MeasureTheory.SignedMeasure.not_haveLebesgueDecomposition_iff
-- `infer_instance` directly does not work
-- see Note [lower instance priority]
instance (priority := 100) haveLebesgueDecomposition_of_sigmaFinite (s : SignedMeasure α)
(μ : Measure α) [SigmaFinite μ] : s.HaveLebesgueDecomposition μ where
posPart := inferInstance
negPart := inferInstance
#align measure_theory.signed_measure.have_lebesgue_decomposition_of_sigma_finite MeasureTheory.SignedMeasure.haveLebesgueDecomposition_of_sigmaFinite
instance haveLebesgueDecomposition_neg (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] : (-s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_neg MeasureTheory.SignedMeasure.haveLebesgueDecomposition_neg
instance haveLebesgueDecomposition_smul (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ≥0) : (r • s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul
instance haveLebesgueDecomposition_smul_real (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ) : (r • s).HaveLebesgueDecomposition μ := by
by_cases hr : 0 ≤ r
· lift r to ℝ≥0 using hr
exact s.haveLebesgueDecomposition_smul μ _
· rw [not_le] at hr
refine'
{ posPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_posPart_neg _ _ hr]
infer_instance
negPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_negPart_neg _ _ hr]
infer_instance }
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul_real MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul_real
/-- Given a signed measure `s` and a measure `μ`, `s.singularPart μ` is the signed measure
such that `s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s` and
`s.singularPart μ` is mutually singular with respect to `μ`. -/
def singularPart (s : SignedMeasure α) (μ : Measure α) : SignedMeasure α :=
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure -
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure
#align measure_theory.signed_measure.singular_part MeasureTheory.SignedMeasure.singularPart
section
theorem singularPart_mutuallySingular (s : SignedMeasure α) (μ : Measure α) :
s.toJordanDecomposition.posPart.singularPart μ ⟂ₘ
s.toJordanDecomposition.negPart.singularPart μ := by
by_cases hl : s.HaveLebesgueDecomposition μ
· obtain ⟨i, hi, hpos, hneg⟩ := s.toJordanDecomposition.mutuallySingular
rw [s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ] at hpos
rw [s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ] at hneg
rw [add_apply, add_eq_zero_iff] at hpos hneg
exact ⟨i, hi, hpos.1, hneg.1⟩
· rw [not_haveLebesgueDecomposition_iff] at hl
cases' hl with hp hn
· rw [Measure.singularPart, dif_neg hp]
exact MutuallySingular.zero_left
· rw [Measure.singularPart, Measure.singularPart, dif_neg hn]
exact MutuallySingular.zero_right
#align measure_theory.signed_measure.singular_part_mutually_singular MeasureTheory.SignedMeasure.singularPart_mutuallySingular
theorem singularPart_totalVariation (s : SignedMeasure α) (μ : Measure α) :
(s.singularPart μ).totalVariation =
s.toJordanDecomposition.posPart.singularPart μ +
s.toJordanDecomposition.negPart.singularPart μ := by
have :
(s.singularPart μ).toJordanDecomposition =
⟨s.toJordanDecomposition.posPart.singularPart μ,
s.toJordanDecomposition.negPart.singularPart μ, singularPart_mutuallySingular s μ⟩ := by
refine' JordanDecomposition.toSignedMeasure_injective _
rw [toSignedMeasure_toJordanDecomposition, singularPart, JordanDecomposition.toSignedMeasure]
· rw [totalVariation, this]
#align measure_theory.signed_measure.singular_part_total_variation MeasureTheory.SignedMeasure.singularPart_totalVariation
nonrec theorem mutuallySingular_singularPart (s : SignedMeasure α) (μ : Measure α) :
singularPart s μ ⟂ᵥ μ.toENNRealVectorMeasure := by
rw [mutuallySingular_ennreal_iff, singularPart_totalVariation,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure]
exact (mutuallySingular_singularPart _ _).add_left (mutuallySingular_singularPart _ _)
#align measure_theory.signed_measure.mutually_singular_singular_part MeasureTheory.SignedMeasure.mutuallySingular_singularPart
end
/-- The Radon-Nikodym derivative between a signed measure and a positive measure.
`rnDeriv s μ` satisfies `μ.withDensityᵥ (s.rnDeriv μ) = s`
if and only if `s` is absolutely continuous with respect to `μ` and this fact is known as
`MeasureTheory.SignedMeasure.absolutelyContinuous_iff_withDensity_rnDeriv_eq`
and can be found in `MeasureTheory.Decomposition.RadonNikodym`. -/
def rnDeriv (s : SignedMeasure α) (μ : Measure α) : α → ℝ := fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal
#align measure_theory.signed_measure.rn_deriv MeasureTheory.SignedMeasure.rnDeriv
-- Porting note: The generated equation theorem is the form of `rnDeriv s μ x`.
theorem rnDeriv_def (s : SignedMeasure α) (μ : Measure α) : rnDeriv s μ = fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal :=
rfl
attribute [eqns rnDeriv_def] rnDeriv
variable {s t : SignedMeasure α}
@[measurability]
theorem measurable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Measurable (rnDeriv s μ) := by
rw [rnDeriv]
measurability
#align measure_theory.signed_measure.measurable_rn_deriv MeasureTheory.SignedMeasure.measurable_rnDeriv
theorem integrable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Integrable (rnDeriv s μ) μ := by
refine' Integrable.sub _ _ <;>
· constructor
· apply Measurable.aestronglyMeasurable; measurability
exact hasFiniteIntegral_toReal_of_lintegral_ne_top (lintegral_rnDeriv_lt_top _ μ).ne
#align measure_theory.signed_measure.integrable_rn_deriv MeasureTheory.SignedMeasure.integrable_rnDeriv
variable (s μ)
/-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
first
| exact (lintegral_rnDeriv_lt_top _ _).ne
| measurability
#align measure_theory.signed_measure.singular_part_add_with_density_rn_deriv_eq MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq
variable {s μ}
theorem jordanDecomposition_add_withDensity_mutuallySingular {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) :
(t.toJordanDecomposition.posPart + μ.withDensity fun x : α => ENNReal.ofReal (f x)) ⟂ₘ
t.toJordanDecomposition.negPart + μ.withDensity fun x : α => ENNReal.ofReal (-f x) := by
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
exact
((JordanDecomposition.mutuallySingular _).add_right
(htμ.1.mono_ac (refl _) (withDensity_absolutelyContinuous _ _))).add_left
((htμ.2.symm.mono_ac (withDensity_absolutelyContinuous _ _) (refl _)).add_right
(withDensity_ofReal_mutuallySingular hf))
#align measure_theory.signed_measure.jordan_decomposition_add_with_density_mutually_singular MeasureTheory.SignedMeasure.jordanDecomposition_add_withDensity_mutuallySingular
theorem toJordanDecomposition_eq_of_eq_add_withDensity {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.toJordanDecomposition =
@JordanDecomposition.mk α _
(t.toJordanDecomposition.posPart + μ.withDensity fun x => ENNReal.ofReal (f x))
(t.toJordanDecomposition.negPart + μ.withDensity fun x => ENNReal.ofReal (-f x))
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.2; infer_instance)
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2; | infer_instance | theorem toJordanDecomposition_eq_of_eq_add_withDensity {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.toJordanDecomposition =
@JordanDecomposition.mk α _
(t.toJordanDecomposition.posPart + μ.withDensity fun x => ENNReal.ofReal (f x))
(t.toJordanDecomposition.negPart + μ.withDensity fun x => ENNReal.ofReal (-f x))
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.2; infer_instance)
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2; | Mathlib.MeasureTheory.Decomposition.SignedLebesgue.248_0.HPGboz0rhL6sBes | theorem toJordanDecomposition_eq_of_eq_add_withDensity {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.toJordanDecomposition =
@JordanDecomposition.mk α _
(t.toJordanDecomposition.posPart + μ.withDensity fun x => ENNReal.ofReal (f x))
(t.toJordanDecomposition.negPart + μ.withDensity fun x => ENNReal.ofReal (-f x))
(by haveI | Mathlib_MeasureTheory_Decomposition_SignedLebesgue |
α : Type u_1
β : Type u_2
m : MeasurableSpace α
μ ν : Measure α
s t : SignedMeasure α
f : α → ℝ
hf : Measurable f
hfi : Integrable f
htμ : t ⟂ᵥ toENNRealVectorMeasure μ
hadd : s = t + withDensityᵥ μ f
⊢ toJordanDecomposition s =
JordanDecomposition.mk ((toJordanDecomposition t).posPart + withDensity μ fun x => ENNReal.ofReal (f x))
((toJordanDecomposition t).negPart + withDensity μ fun x => ENNReal.ofReal (-f x))
(_ :
((toJordanDecomposition t).posPart + withDensity μ fun x => ENNReal.ofReal (f x)) ⟂ₘ
(toJordanDecomposition t).negPart + withDensity μ fun x => ENNReal.ofReal (-f x)) | /-
Copyright (c) 2021 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.MeasureTheory.Decomposition.Lebesgue
import Mathlib.MeasureTheory.Measure.Complex
/-!
# Lebesgue decomposition
This file proves the Lebesgue decomposition theorem for signed measures. The Lebesgue decomposition
theorem states that, given two σ-finite measures `μ` and `ν`, there exists a σ-finite measure `ξ`
and a measurable function `f` such that `μ = ξ + fν` and `ξ` is mutually singular with respect
to `ν`.
## Main definitions
* `MeasureTheory.SignedMeasure.HaveLebesgueDecomposition` : A signed measure `s` and a
measure `μ` is said to `HaveLebesgueDecomposition` if both the positive part and negative
part of `s` `HaveLebesgueDecomposition` with respect to `μ`.
* `MeasureTheory.SignedMeasure.singularPart` : The singular part between a signed measure `s`
and a measure `μ` is simply the singular part of the positive part of `s` with respect to `μ`
minus the singular part of the negative part of `s` with respect to `μ`.
* `MeasureTheory.SignedMeasure.rnDeriv` : The Radon-Nikodym derivative of a signed
measure `s` with respect to a measure `μ` is the Radon-Nikodym derivative of the positive part of
`s` with respect to `μ` minus the Radon-Nikodym derivative of the negative part of `s` with
respect to `μ`.
## Main results
* `MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq` :
the Lebesgue decomposition theorem between a signed measure and a σ-finite positive measure.
## Tags
Lebesgue decomposition theorem
-/
noncomputable section
open scoped Classical MeasureTheory NNReal ENNReal
open Set
variable {α β : Type*} {m : MeasurableSpace α} {μ ν : MeasureTheory.Measure α}
namespace MeasureTheory
namespace SignedMeasure
open Measure
/-- A signed measure `s` is said to `HaveLebesgueDecomposition` with respect to a measure `μ`
if the positive part and the negative part of `s` both `HaveLebesgueDecomposition` with
respect to `μ`. -/
class HaveLebesgueDecomposition (s : SignedMeasure α) (μ : Measure α) : Prop where
posPart : s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ
negPart : s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ
#align measure_theory.signed_measure.have_lebesgue_decomposition MeasureTheory.SignedMeasure.HaveLebesgueDecomposition
#align measure_theory.signed_measure.have_lebesgue_decomposition.pos_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.posPart
#align measure_theory.signed_measure.have_lebesgue_decomposition.neg_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.negPart
attribute [instance] HaveLebesgueDecomposition.posPart
attribute [instance] HaveLebesgueDecomposition.negPart
theorem not_haveLebesgueDecomposition_iff (s : SignedMeasure α) (μ : Measure α) :
¬s.HaveLebesgueDecomposition μ ↔
¬s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ ∨
¬s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ :=
⟨fun h => not_or_of_imp fun hp hn => h ⟨hp, hn⟩, fun h hl => (not_and_or.2 h) ⟨hl.1, hl.2⟩⟩
#align measure_theory.signed_measure.not_have_lebesgue_decomposition_iff MeasureTheory.SignedMeasure.not_haveLebesgueDecomposition_iff
-- `infer_instance` directly does not work
-- see Note [lower instance priority]
instance (priority := 100) haveLebesgueDecomposition_of_sigmaFinite (s : SignedMeasure α)
(μ : Measure α) [SigmaFinite μ] : s.HaveLebesgueDecomposition μ where
posPart := inferInstance
negPart := inferInstance
#align measure_theory.signed_measure.have_lebesgue_decomposition_of_sigma_finite MeasureTheory.SignedMeasure.haveLebesgueDecomposition_of_sigmaFinite
instance haveLebesgueDecomposition_neg (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] : (-s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_neg MeasureTheory.SignedMeasure.haveLebesgueDecomposition_neg
instance haveLebesgueDecomposition_smul (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ≥0) : (r • s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul
instance haveLebesgueDecomposition_smul_real (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ) : (r • s).HaveLebesgueDecomposition μ := by
by_cases hr : 0 ≤ r
· lift r to ℝ≥0 using hr
exact s.haveLebesgueDecomposition_smul μ _
· rw [not_le] at hr
refine'
{ posPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_posPart_neg _ _ hr]
infer_instance
negPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_negPart_neg _ _ hr]
infer_instance }
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul_real MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul_real
/-- Given a signed measure `s` and a measure `μ`, `s.singularPart μ` is the signed measure
such that `s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s` and
`s.singularPart μ` is mutually singular with respect to `μ`. -/
def singularPart (s : SignedMeasure α) (μ : Measure α) : SignedMeasure α :=
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure -
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure
#align measure_theory.signed_measure.singular_part MeasureTheory.SignedMeasure.singularPart
section
theorem singularPart_mutuallySingular (s : SignedMeasure α) (μ : Measure α) :
s.toJordanDecomposition.posPart.singularPart μ ⟂ₘ
s.toJordanDecomposition.negPart.singularPart μ := by
by_cases hl : s.HaveLebesgueDecomposition μ
· obtain ⟨i, hi, hpos, hneg⟩ := s.toJordanDecomposition.mutuallySingular
rw [s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ] at hpos
rw [s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ] at hneg
rw [add_apply, add_eq_zero_iff] at hpos hneg
exact ⟨i, hi, hpos.1, hneg.1⟩
· rw [not_haveLebesgueDecomposition_iff] at hl
cases' hl with hp hn
· rw [Measure.singularPart, dif_neg hp]
exact MutuallySingular.zero_left
· rw [Measure.singularPart, Measure.singularPart, dif_neg hn]
exact MutuallySingular.zero_right
#align measure_theory.signed_measure.singular_part_mutually_singular MeasureTheory.SignedMeasure.singularPart_mutuallySingular
theorem singularPart_totalVariation (s : SignedMeasure α) (μ : Measure α) :
(s.singularPart μ).totalVariation =
s.toJordanDecomposition.posPart.singularPart μ +
s.toJordanDecomposition.negPart.singularPart μ := by
have :
(s.singularPart μ).toJordanDecomposition =
⟨s.toJordanDecomposition.posPart.singularPart μ,
s.toJordanDecomposition.negPart.singularPart μ, singularPart_mutuallySingular s μ⟩ := by
refine' JordanDecomposition.toSignedMeasure_injective _
rw [toSignedMeasure_toJordanDecomposition, singularPart, JordanDecomposition.toSignedMeasure]
· rw [totalVariation, this]
#align measure_theory.signed_measure.singular_part_total_variation MeasureTheory.SignedMeasure.singularPart_totalVariation
nonrec theorem mutuallySingular_singularPart (s : SignedMeasure α) (μ : Measure α) :
singularPart s μ ⟂ᵥ μ.toENNRealVectorMeasure := by
rw [mutuallySingular_ennreal_iff, singularPart_totalVariation,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure]
exact (mutuallySingular_singularPart _ _).add_left (mutuallySingular_singularPart _ _)
#align measure_theory.signed_measure.mutually_singular_singular_part MeasureTheory.SignedMeasure.mutuallySingular_singularPart
end
/-- The Radon-Nikodym derivative between a signed measure and a positive measure.
`rnDeriv s μ` satisfies `μ.withDensityᵥ (s.rnDeriv μ) = s`
if and only if `s` is absolutely continuous with respect to `μ` and this fact is known as
`MeasureTheory.SignedMeasure.absolutelyContinuous_iff_withDensity_rnDeriv_eq`
and can be found in `MeasureTheory.Decomposition.RadonNikodym`. -/
def rnDeriv (s : SignedMeasure α) (μ : Measure α) : α → ℝ := fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal
#align measure_theory.signed_measure.rn_deriv MeasureTheory.SignedMeasure.rnDeriv
-- Porting note: The generated equation theorem is the form of `rnDeriv s μ x`.
theorem rnDeriv_def (s : SignedMeasure α) (μ : Measure α) : rnDeriv s μ = fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal :=
rfl
attribute [eqns rnDeriv_def] rnDeriv
variable {s t : SignedMeasure α}
@[measurability]
theorem measurable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Measurable (rnDeriv s μ) := by
rw [rnDeriv]
measurability
#align measure_theory.signed_measure.measurable_rn_deriv MeasureTheory.SignedMeasure.measurable_rnDeriv
theorem integrable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Integrable (rnDeriv s μ) μ := by
refine' Integrable.sub _ _ <;>
· constructor
· apply Measurable.aestronglyMeasurable; measurability
exact hasFiniteIntegral_toReal_of_lintegral_ne_top (lintegral_rnDeriv_lt_top _ μ).ne
#align measure_theory.signed_measure.integrable_rn_deriv MeasureTheory.SignedMeasure.integrable_rnDeriv
variable (s μ)
/-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
first
| exact (lintegral_rnDeriv_lt_top _ _).ne
| measurability
#align measure_theory.signed_measure.singular_part_add_with_density_rn_deriv_eq MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq
variable {s μ}
theorem jordanDecomposition_add_withDensity_mutuallySingular {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) :
(t.toJordanDecomposition.posPart + μ.withDensity fun x : α => ENNReal.ofReal (f x)) ⟂ₘ
t.toJordanDecomposition.negPart + μ.withDensity fun x : α => ENNReal.ofReal (-f x) := by
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
exact
((JordanDecomposition.mutuallySingular _).add_right
(htμ.1.mono_ac (refl _) (withDensity_absolutelyContinuous _ _))).add_left
((htμ.2.symm.mono_ac (withDensity_absolutelyContinuous _ _) (refl _)).add_right
(withDensity_ofReal_mutuallySingular hf))
#align measure_theory.signed_measure.jordan_decomposition_add_with_density_mutually_singular MeasureTheory.SignedMeasure.jordanDecomposition_add_withDensity_mutuallySingular
theorem toJordanDecomposition_eq_of_eq_add_withDensity {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.toJordanDecomposition =
@JordanDecomposition.mk α _
(t.toJordanDecomposition.posPart + μ.withDensity fun x => ENNReal.ofReal (f x))
(t.toJordanDecomposition.negPart + μ.withDensity fun x => ENNReal.ofReal (-f x))
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.2; infer_instance)
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2; infer_instance)
(jordanDecomposition_add_withDensity_mutuallySingular hf htμ) := by
| haveI := isFiniteMeasure_withDensity_ofReal hfi.2 | theorem toJordanDecomposition_eq_of_eq_add_withDensity {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.toJordanDecomposition =
@JordanDecomposition.mk α _
(t.toJordanDecomposition.posPart + μ.withDensity fun x => ENNReal.ofReal (f x))
(t.toJordanDecomposition.negPart + μ.withDensity fun x => ENNReal.ofReal (-f x))
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.2; infer_instance)
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2; infer_instance)
(jordanDecomposition_add_withDensity_mutuallySingular hf htμ) := by
| Mathlib.MeasureTheory.Decomposition.SignedLebesgue.248_0.HPGboz0rhL6sBes | theorem toJordanDecomposition_eq_of_eq_add_withDensity {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.toJordanDecomposition =
@JordanDecomposition.mk α _
(t.toJordanDecomposition.posPart + μ.withDensity fun x => ENNReal.ofReal (f x))
(t.toJordanDecomposition.negPart + μ.withDensity fun x => ENNReal.ofReal (-f x))
(by haveI | Mathlib_MeasureTheory_Decomposition_SignedLebesgue |
α : Type u_1
β : Type u_2
m : MeasurableSpace α
μ ν : Measure α
s t : SignedMeasure α
f : α → ℝ
hf : Measurable f
hfi : Integrable f
htμ : t ⟂ᵥ toENNRealVectorMeasure μ
hadd : s = t + withDensityᵥ μ f
this : IsFiniteMeasure (withDensity μ fun x => ENNReal.ofReal (f x))
⊢ toJordanDecomposition s =
JordanDecomposition.mk ((toJordanDecomposition t).posPart + withDensity μ fun x => ENNReal.ofReal (f x))
((toJordanDecomposition t).negPart + withDensity μ fun x => ENNReal.ofReal (-f x))
(_ :
((toJordanDecomposition t).posPart + withDensity μ fun x => ENNReal.ofReal (f x)) ⟂ₘ
(toJordanDecomposition t).negPart + withDensity μ fun x => ENNReal.ofReal (-f x)) | /-
Copyright (c) 2021 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.MeasureTheory.Decomposition.Lebesgue
import Mathlib.MeasureTheory.Measure.Complex
/-!
# Lebesgue decomposition
This file proves the Lebesgue decomposition theorem for signed measures. The Lebesgue decomposition
theorem states that, given two σ-finite measures `μ` and `ν`, there exists a σ-finite measure `ξ`
and a measurable function `f` such that `μ = ξ + fν` and `ξ` is mutually singular with respect
to `ν`.
## Main definitions
* `MeasureTheory.SignedMeasure.HaveLebesgueDecomposition` : A signed measure `s` and a
measure `μ` is said to `HaveLebesgueDecomposition` if both the positive part and negative
part of `s` `HaveLebesgueDecomposition` with respect to `μ`.
* `MeasureTheory.SignedMeasure.singularPart` : The singular part between a signed measure `s`
and a measure `μ` is simply the singular part of the positive part of `s` with respect to `μ`
minus the singular part of the negative part of `s` with respect to `μ`.
* `MeasureTheory.SignedMeasure.rnDeriv` : The Radon-Nikodym derivative of a signed
measure `s` with respect to a measure `μ` is the Radon-Nikodym derivative of the positive part of
`s` with respect to `μ` minus the Radon-Nikodym derivative of the negative part of `s` with
respect to `μ`.
## Main results
* `MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq` :
the Lebesgue decomposition theorem between a signed measure and a σ-finite positive measure.
## Tags
Lebesgue decomposition theorem
-/
noncomputable section
open scoped Classical MeasureTheory NNReal ENNReal
open Set
variable {α β : Type*} {m : MeasurableSpace α} {μ ν : MeasureTheory.Measure α}
namespace MeasureTheory
namespace SignedMeasure
open Measure
/-- A signed measure `s` is said to `HaveLebesgueDecomposition` with respect to a measure `μ`
if the positive part and the negative part of `s` both `HaveLebesgueDecomposition` with
respect to `μ`. -/
class HaveLebesgueDecomposition (s : SignedMeasure α) (μ : Measure α) : Prop where
posPart : s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ
negPart : s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ
#align measure_theory.signed_measure.have_lebesgue_decomposition MeasureTheory.SignedMeasure.HaveLebesgueDecomposition
#align measure_theory.signed_measure.have_lebesgue_decomposition.pos_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.posPart
#align measure_theory.signed_measure.have_lebesgue_decomposition.neg_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.negPart
attribute [instance] HaveLebesgueDecomposition.posPart
attribute [instance] HaveLebesgueDecomposition.negPart
theorem not_haveLebesgueDecomposition_iff (s : SignedMeasure α) (μ : Measure α) :
¬s.HaveLebesgueDecomposition μ ↔
¬s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ ∨
¬s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ :=
⟨fun h => not_or_of_imp fun hp hn => h ⟨hp, hn⟩, fun h hl => (not_and_or.2 h) ⟨hl.1, hl.2⟩⟩
#align measure_theory.signed_measure.not_have_lebesgue_decomposition_iff MeasureTheory.SignedMeasure.not_haveLebesgueDecomposition_iff
-- `infer_instance` directly does not work
-- see Note [lower instance priority]
instance (priority := 100) haveLebesgueDecomposition_of_sigmaFinite (s : SignedMeasure α)
(μ : Measure α) [SigmaFinite μ] : s.HaveLebesgueDecomposition μ where
posPart := inferInstance
negPart := inferInstance
#align measure_theory.signed_measure.have_lebesgue_decomposition_of_sigma_finite MeasureTheory.SignedMeasure.haveLebesgueDecomposition_of_sigmaFinite
instance haveLebesgueDecomposition_neg (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] : (-s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_neg MeasureTheory.SignedMeasure.haveLebesgueDecomposition_neg
instance haveLebesgueDecomposition_smul (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ≥0) : (r • s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul
instance haveLebesgueDecomposition_smul_real (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ) : (r • s).HaveLebesgueDecomposition μ := by
by_cases hr : 0 ≤ r
· lift r to ℝ≥0 using hr
exact s.haveLebesgueDecomposition_smul μ _
· rw [not_le] at hr
refine'
{ posPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_posPart_neg _ _ hr]
infer_instance
negPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_negPart_neg _ _ hr]
infer_instance }
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul_real MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul_real
/-- Given a signed measure `s` and a measure `μ`, `s.singularPart μ` is the signed measure
such that `s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s` and
`s.singularPart μ` is mutually singular with respect to `μ`. -/
def singularPart (s : SignedMeasure α) (μ : Measure α) : SignedMeasure α :=
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure -
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure
#align measure_theory.signed_measure.singular_part MeasureTheory.SignedMeasure.singularPart
section
theorem singularPart_mutuallySingular (s : SignedMeasure α) (μ : Measure α) :
s.toJordanDecomposition.posPart.singularPart μ ⟂ₘ
s.toJordanDecomposition.negPart.singularPart μ := by
by_cases hl : s.HaveLebesgueDecomposition μ
· obtain ⟨i, hi, hpos, hneg⟩ := s.toJordanDecomposition.mutuallySingular
rw [s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ] at hpos
rw [s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ] at hneg
rw [add_apply, add_eq_zero_iff] at hpos hneg
exact ⟨i, hi, hpos.1, hneg.1⟩
· rw [not_haveLebesgueDecomposition_iff] at hl
cases' hl with hp hn
· rw [Measure.singularPart, dif_neg hp]
exact MutuallySingular.zero_left
· rw [Measure.singularPart, Measure.singularPart, dif_neg hn]
exact MutuallySingular.zero_right
#align measure_theory.signed_measure.singular_part_mutually_singular MeasureTheory.SignedMeasure.singularPart_mutuallySingular
theorem singularPart_totalVariation (s : SignedMeasure α) (μ : Measure α) :
(s.singularPart μ).totalVariation =
s.toJordanDecomposition.posPart.singularPart μ +
s.toJordanDecomposition.negPart.singularPart μ := by
have :
(s.singularPart μ).toJordanDecomposition =
⟨s.toJordanDecomposition.posPart.singularPart μ,
s.toJordanDecomposition.negPart.singularPart μ, singularPart_mutuallySingular s μ⟩ := by
refine' JordanDecomposition.toSignedMeasure_injective _
rw [toSignedMeasure_toJordanDecomposition, singularPart, JordanDecomposition.toSignedMeasure]
· rw [totalVariation, this]
#align measure_theory.signed_measure.singular_part_total_variation MeasureTheory.SignedMeasure.singularPart_totalVariation
nonrec theorem mutuallySingular_singularPart (s : SignedMeasure α) (μ : Measure α) :
singularPart s μ ⟂ᵥ μ.toENNRealVectorMeasure := by
rw [mutuallySingular_ennreal_iff, singularPart_totalVariation,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure]
exact (mutuallySingular_singularPart _ _).add_left (mutuallySingular_singularPart _ _)
#align measure_theory.signed_measure.mutually_singular_singular_part MeasureTheory.SignedMeasure.mutuallySingular_singularPart
end
/-- The Radon-Nikodym derivative between a signed measure and a positive measure.
`rnDeriv s μ` satisfies `μ.withDensityᵥ (s.rnDeriv μ) = s`
if and only if `s` is absolutely continuous with respect to `μ` and this fact is known as
`MeasureTheory.SignedMeasure.absolutelyContinuous_iff_withDensity_rnDeriv_eq`
and can be found in `MeasureTheory.Decomposition.RadonNikodym`. -/
def rnDeriv (s : SignedMeasure α) (μ : Measure α) : α → ℝ := fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal
#align measure_theory.signed_measure.rn_deriv MeasureTheory.SignedMeasure.rnDeriv
-- Porting note: The generated equation theorem is the form of `rnDeriv s μ x`.
theorem rnDeriv_def (s : SignedMeasure α) (μ : Measure α) : rnDeriv s μ = fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal :=
rfl
attribute [eqns rnDeriv_def] rnDeriv
variable {s t : SignedMeasure α}
@[measurability]
theorem measurable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Measurable (rnDeriv s μ) := by
rw [rnDeriv]
measurability
#align measure_theory.signed_measure.measurable_rn_deriv MeasureTheory.SignedMeasure.measurable_rnDeriv
theorem integrable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Integrable (rnDeriv s μ) μ := by
refine' Integrable.sub _ _ <;>
· constructor
· apply Measurable.aestronglyMeasurable; measurability
exact hasFiniteIntegral_toReal_of_lintegral_ne_top (lintegral_rnDeriv_lt_top _ μ).ne
#align measure_theory.signed_measure.integrable_rn_deriv MeasureTheory.SignedMeasure.integrable_rnDeriv
variable (s μ)
/-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
first
| exact (lintegral_rnDeriv_lt_top _ _).ne
| measurability
#align measure_theory.signed_measure.singular_part_add_with_density_rn_deriv_eq MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq
variable {s μ}
theorem jordanDecomposition_add_withDensity_mutuallySingular {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) :
(t.toJordanDecomposition.posPart + μ.withDensity fun x : α => ENNReal.ofReal (f x)) ⟂ₘ
t.toJordanDecomposition.negPart + μ.withDensity fun x : α => ENNReal.ofReal (-f x) := by
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
exact
((JordanDecomposition.mutuallySingular _).add_right
(htμ.1.mono_ac (refl _) (withDensity_absolutelyContinuous _ _))).add_left
((htμ.2.symm.mono_ac (withDensity_absolutelyContinuous _ _) (refl _)).add_right
(withDensity_ofReal_mutuallySingular hf))
#align measure_theory.signed_measure.jordan_decomposition_add_with_density_mutually_singular MeasureTheory.SignedMeasure.jordanDecomposition_add_withDensity_mutuallySingular
theorem toJordanDecomposition_eq_of_eq_add_withDensity {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.toJordanDecomposition =
@JordanDecomposition.mk α _
(t.toJordanDecomposition.posPart + μ.withDensity fun x => ENNReal.ofReal (f x))
(t.toJordanDecomposition.negPart + μ.withDensity fun x => ENNReal.ofReal (-f x))
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.2; infer_instance)
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2; infer_instance)
(jordanDecomposition_add_withDensity_mutuallySingular hf htμ) := by
haveI := isFiniteMeasure_withDensity_ofReal hfi.2
| haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2 | theorem toJordanDecomposition_eq_of_eq_add_withDensity {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.toJordanDecomposition =
@JordanDecomposition.mk α _
(t.toJordanDecomposition.posPart + μ.withDensity fun x => ENNReal.ofReal (f x))
(t.toJordanDecomposition.negPart + μ.withDensity fun x => ENNReal.ofReal (-f x))
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.2; infer_instance)
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2; infer_instance)
(jordanDecomposition_add_withDensity_mutuallySingular hf htμ) := by
haveI := isFiniteMeasure_withDensity_ofReal hfi.2
| Mathlib.MeasureTheory.Decomposition.SignedLebesgue.248_0.HPGboz0rhL6sBes | theorem toJordanDecomposition_eq_of_eq_add_withDensity {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.toJordanDecomposition =
@JordanDecomposition.mk α _
(t.toJordanDecomposition.posPart + μ.withDensity fun x => ENNReal.ofReal (f x))
(t.toJordanDecomposition.negPart + μ.withDensity fun x => ENNReal.ofReal (-f x))
(by haveI | Mathlib_MeasureTheory_Decomposition_SignedLebesgue |
α : Type u_1
β : Type u_2
m : MeasurableSpace α
μ ν : Measure α
s t : SignedMeasure α
f : α → ℝ
hf : Measurable f
hfi : Integrable f
htμ : t ⟂ᵥ toENNRealVectorMeasure μ
hadd : s = t + withDensityᵥ μ f
this✝ : IsFiniteMeasure (withDensity μ fun x => ENNReal.ofReal (f x))
this : IsFiniteMeasure (withDensity μ fun x => ENNReal.ofReal ((-f) x))
⊢ toJordanDecomposition s =
JordanDecomposition.mk ((toJordanDecomposition t).posPart + withDensity μ fun x => ENNReal.ofReal (f x))
((toJordanDecomposition t).negPart + withDensity μ fun x => ENNReal.ofReal (-f x))
(_ :
((toJordanDecomposition t).posPart + withDensity μ fun x => ENNReal.ofReal (f x)) ⟂ₘ
(toJordanDecomposition t).negPart + withDensity μ fun x => ENNReal.ofReal (-f x)) | /-
Copyright (c) 2021 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.MeasureTheory.Decomposition.Lebesgue
import Mathlib.MeasureTheory.Measure.Complex
/-!
# Lebesgue decomposition
This file proves the Lebesgue decomposition theorem for signed measures. The Lebesgue decomposition
theorem states that, given two σ-finite measures `μ` and `ν`, there exists a σ-finite measure `ξ`
and a measurable function `f` such that `μ = ξ + fν` and `ξ` is mutually singular with respect
to `ν`.
## Main definitions
* `MeasureTheory.SignedMeasure.HaveLebesgueDecomposition` : A signed measure `s` and a
measure `μ` is said to `HaveLebesgueDecomposition` if both the positive part and negative
part of `s` `HaveLebesgueDecomposition` with respect to `μ`.
* `MeasureTheory.SignedMeasure.singularPart` : The singular part between a signed measure `s`
and a measure `μ` is simply the singular part of the positive part of `s` with respect to `μ`
minus the singular part of the negative part of `s` with respect to `μ`.
* `MeasureTheory.SignedMeasure.rnDeriv` : The Radon-Nikodym derivative of a signed
measure `s` with respect to a measure `μ` is the Radon-Nikodym derivative of the positive part of
`s` with respect to `μ` minus the Radon-Nikodym derivative of the negative part of `s` with
respect to `μ`.
## Main results
* `MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq` :
the Lebesgue decomposition theorem between a signed measure and a σ-finite positive measure.
## Tags
Lebesgue decomposition theorem
-/
noncomputable section
open scoped Classical MeasureTheory NNReal ENNReal
open Set
variable {α β : Type*} {m : MeasurableSpace α} {μ ν : MeasureTheory.Measure α}
namespace MeasureTheory
namespace SignedMeasure
open Measure
/-- A signed measure `s` is said to `HaveLebesgueDecomposition` with respect to a measure `μ`
if the positive part and the negative part of `s` both `HaveLebesgueDecomposition` with
respect to `μ`. -/
class HaveLebesgueDecomposition (s : SignedMeasure α) (μ : Measure α) : Prop where
posPart : s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ
negPart : s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ
#align measure_theory.signed_measure.have_lebesgue_decomposition MeasureTheory.SignedMeasure.HaveLebesgueDecomposition
#align measure_theory.signed_measure.have_lebesgue_decomposition.pos_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.posPart
#align measure_theory.signed_measure.have_lebesgue_decomposition.neg_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.negPart
attribute [instance] HaveLebesgueDecomposition.posPart
attribute [instance] HaveLebesgueDecomposition.negPart
theorem not_haveLebesgueDecomposition_iff (s : SignedMeasure α) (μ : Measure α) :
¬s.HaveLebesgueDecomposition μ ↔
¬s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ ∨
¬s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ :=
⟨fun h => not_or_of_imp fun hp hn => h ⟨hp, hn⟩, fun h hl => (not_and_or.2 h) ⟨hl.1, hl.2⟩⟩
#align measure_theory.signed_measure.not_have_lebesgue_decomposition_iff MeasureTheory.SignedMeasure.not_haveLebesgueDecomposition_iff
-- `infer_instance` directly does not work
-- see Note [lower instance priority]
instance (priority := 100) haveLebesgueDecomposition_of_sigmaFinite (s : SignedMeasure α)
(μ : Measure α) [SigmaFinite μ] : s.HaveLebesgueDecomposition μ where
posPart := inferInstance
negPart := inferInstance
#align measure_theory.signed_measure.have_lebesgue_decomposition_of_sigma_finite MeasureTheory.SignedMeasure.haveLebesgueDecomposition_of_sigmaFinite
instance haveLebesgueDecomposition_neg (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] : (-s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_neg MeasureTheory.SignedMeasure.haveLebesgueDecomposition_neg
instance haveLebesgueDecomposition_smul (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ≥0) : (r • s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul
instance haveLebesgueDecomposition_smul_real (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ) : (r • s).HaveLebesgueDecomposition μ := by
by_cases hr : 0 ≤ r
· lift r to ℝ≥0 using hr
exact s.haveLebesgueDecomposition_smul μ _
· rw [not_le] at hr
refine'
{ posPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_posPart_neg _ _ hr]
infer_instance
negPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_negPart_neg _ _ hr]
infer_instance }
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul_real MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul_real
/-- Given a signed measure `s` and a measure `μ`, `s.singularPart μ` is the signed measure
such that `s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s` and
`s.singularPart μ` is mutually singular with respect to `μ`. -/
def singularPart (s : SignedMeasure α) (μ : Measure α) : SignedMeasure α :=
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure -
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure
#align measure_theory.signed_measure.singular_part MeasureTheory.SignedMeasure.singularPart
section
theorem singularPart_mutuallySingular (s : SignedMeasure α) (μ : Measure α) :
s.toJordanDecomposition.posPart.singularPart μ ⟂ₘ
s.toJordanDecomposition.negPart.singularPart μ := by
by_cases hl : s.HaveLebesgueDecomposition μ
· obtain ⟨i, hi, hpos, hneg⟩ := s.toJordanDecomposition.mutuallySingular
rw [s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ] at hpos
rw [s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ] at hneg
rw [add_apply, add_eq_zero_iff] at hpos hneg
exact ⟨i, hi, hpos.1, hneg.1⟩
· rw [not_haveLebesgueDecomposition_iff] at hl
cases' hl with hp hn
· rw [Measure.singularPart, dif_neg hp]
exact MutuallySingular.zero_left
· rw [Measure.singularPart, Measure.singularPart, dif_neg hn]
exact MutuallySingular.zero_right
#align measure_theory.signed_measure.singular_part_mutually_singular MeasureTheory.SignedMeasure.singularPart_mutuallySingular
theorem singularPart_totalVariation (s : SignedMeasure α) (μ : Measure α) :
(s.singularPart μ).totalVariation =
s.toJordanDecomposition.posPart.singularPart μ +
s.toJordanDecomposition.negPart.singularPart μ := by
have :
(s.singularPart μ).toJordanDecomposition =
⟨s.toJordanDecomposition.posPart.singularPart μ,
s.toJordanDecomposition.negPart.singularPart μ, singularPart_mutuallySingular s μ⟩ := by
refine' JordanDecomposition.toSignedMeasure_injective _
rw [toSignedMeasure_toJordanDecomposition, singularPart, JordanDecomposition.toSignedMeasure]
· rw [totalVariation, this]
#align measure_theory.signed_measure.singular_part_total_variation MeasureTheory.SignedMeasure.singularPart_totalVariation
nonrec theorem mutuallySingular_singularPart (s : SignedMeasure α) (μ : Measure α) :
singularPart s μ ⟂ᵥ μ.toENNRealVectorMeasure := by
rw [mutuallySingular_ennreal_iff, singularPart_totalVariation,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure]
exact (mutuallySingular_singularPart _ _).add_left (mutuallySingular_singularPart _ _)
#align measure_theory.signed_measure.mutually_singular_singular_part MeasureTheory.SignedMeasure.mutuallySingular_singularPart
end
/-- The Radon-Nikodym derivative between a signed measure and a positive measure.
`rnDeriv s μ` satisfies `μ.withDensityᵥ (s.rnDeriv μ) = s`
if and only if `s` is absolutely continuous with respect to `μ` and this fact is known as
`MeasureTheory.SignedMeasure.absolutelyContinuous_iff_withDensity_rnDeriv_eq`
and can be found in `MeasureTheory.Decomposition.RadonNikodym`. -/
def rnDeriv (s : SignedMeasure α) (μ : Measure α) : α → ℝ := fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal
#align measure_theory.signed_measure.rn_deriv MeasureTheory.SignedMeasure.rnDeriv
-- Porting note: The generated equation theorem is the form of `rnDeriv s μ x`.
theorem rnDeriv_def (s : SignedMeasure α) (μ : Measure α) : rnDeriv s μ = fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal :=
rfl
attribute [eqns rnDeriv_def] rnDeriv
variable {s t : SignedMeasure α}
@[measurability]
theorem measurable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Measurable (rnDeriv s μ) := by
rw [rnDeriv]
measurability
#align measure_theory.signed_measure.measurable_rn_deriv MeasureTheory.SignedMeasure.measurable_rnDeriv
theorem integrable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Integrable (rnDeriv s μ) μ := by
refine' Integrable.sub _ _ <;>
· constructor
· apply Measurable.aestronglyMeasurable; measurability
exact hasFiniteIntegral_toReal_of_lintegral_ne_top (lintegral_rnDeriv_lt_top _ μ).ne
#align measure_theory.signed_measure.integrable_rn_deriv MeasureTheory.SignedMeasure.integrable_rnDeriv
variable (s μ)
/-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
first
| exact (lintegral_rnDeriv_lt_top _ _).ne
| measurability
#align measure_theory.signed_measure.singular_part_add_with_density_rn_deriv_eq MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq
variable {s μ}
theorem jordanDecomposition_add_withDensity_mutuallySingular {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) :
(t.toJordanDecomposition.posPart + μ.withDensity fun x : α => ENNReal.ofReal (f x)) ⟂ₘ
t.toJordanDecomposition.negPart + μ.withDensity fun x : α => ENNReal.ofReal (-f x) := by
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
exact
((JordanDecomposition.mutuallySingular _).add_right
(htμ.1.mono_ac (refl _) (withDensity_absolutelyContinuous _ _))).add_left
((htμ.2.symm.mono_ac (withDensity_absolutelyContinuous _ _) (refl _)).add_right
(withDensity_ofReal_mutuallySingular hf))
#align measure_theory.signed_measure.jordan_decomposition_add_with_density_mutually_singular MeasureTheory.SignedMeasure.jordanDecomposition_add_withDensity_mutuallySingular
theorem toJordanDecomposition_eq_of_eq_add_withDensity {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.toJordanDecomposition =
@JordanDecomposition.mk α _
(t.toJordanDecomposition.posPart + μ.withDensity fun x => ENNReal.ofReal (f x))
(t.toJordanDecomposition.negPart + μ.withDensity fun x => ENNReal.ofReal (-f x))
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.2; infer_instance)
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2; infer_instance)
(jordanDecomposition_add_withDensity_mutuallySingular hf htμ) := by
haveI := isFiniteMeasure_withDensity_ofReal hfi.2
haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2
| refine' toJordanDecomposition_eq _ | theorem toJordanDecomposition_eq_of_eq_add_withDensity {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.toJordanDecomposition =
@JordanDecomposition.mk α _
(t.toJordanDecomposition.posPart + μ.withDensity fun x => ENNReal.ofReal (f x))
(t.toJordanDecomposition.negPart + μ.withDensity fun x => ENNReal.ofReal (-f x))
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.2; infer_instance)
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2; infer_instance)
(jordanDecomposition_add_withDensity_mutuallySingular hf htμ) := by
haveI := isFiniteMeasure_withDensity_ofReal hfi.2
haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2
| Mathlib.MeasureTheory.Decomposition.SignedLebesgue.248_0.HPGboz0rhL6sBes | theorem toJordanDecomposition_eq_of_eq_add_withDensity {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.toJordanDecomposition =
@JordanDecomposition.mk α _
(t.toJordanDecomposition.posPart + μ.withDensity fun x => ENNReal.ofReal (f x))
(t.toJordanDecomposition.negPart + μ.withDensity fun x => ENNReal.ofReal (-f x))
(by haveI | Mathlib_MeasureTheory_Decomposition_SignedLebesgue |
α : Type u_1
β : Type u_2
m : MeasurableSpace α
μ ν : Measure α
s t : SignedMeasure α
f : α → ℝ
hf : Measurable f
hfi : Integrable f
htμ : t ⟂ᵥ toENNRealVectorMeasure μ
hadd : s = t + withDensityᵥ μ f
this✝ : IsFiniteMeasure (withDensity μ fun x => ENNReal.ofReal (f x))
this : IsFiniteMeasure (withDensity μ fun x => ENNReal.ofReal ((-f) x))
⊢ s =
JordanDecomposition.toSignedMeasure
(JordanDecomposition.mk ((toJordanDecomposition t).posPart + withDensity μ fun x => ENNReal.ofReal (f x))
((toJordanDecomposition t).negPart + withDensity μ fun x => ENNReal.ofReal (-f x))
(_ :
((toJordanDecomposition t).posPart + withDensity μ fun x => ENNReal.ofReal (f x)) ⟂ₘ
(toJordanDecomposition t).negPart + withDensity μ fun x => ENNReal.ofReal (-f x))) | /-
Copyright (c) 2021 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.MeasureTheory.Decomposition.Lebesgue
import Mathlib.MeasureTheory.Measure.Complex
/-!
# Lebesgue decomposition
This file proves the Lebesgue decomposition theorem for signed measures. The Lebesgue decomposition
theorem states that, given two σ-finite measures `μ` and `ν`, there exists a σ-finite measure `ξ`
and a measurable function `f` such that `μ = ξ + fν` and `ξ` is mutually singular with respect
to `ν`.
## Main definitions
* `MeasureTheory.SignedMeasure.HaveLebesgueDecomposition` : A signed measure `s` and a
measure `μ` is said to `HaveLebesgueDecomposition` if both the positive part and negative
part of `s` `HaveLebesgueDecomposition` with respect to `μ`.
* `MeasureTheory.SignedMeasure.singularPart` : The singular part between a signed measure `s`
and a measure `μ` is simply the singular part of the positive part of `s` with respect to `μ`
minus the singular part of the negative part of `s` with respect to `μ`.
* `MeasureTheory.SignedMeasure.rnDeriv` : The Radon-Nikodym derivative of a signed
measure `s` with respect to a measure `μ` is the Radon-Nikodym derivative of the positive part of
`s` with respect to `μ` minus the Radon-Nikodym derivative of the negative part of `s` with
respect to `μ`.
## Main results
* `MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq` :
the Lebesgue decomposition theorem between a signed measure and a σ-finite positive measure.
## Tags
Lebesgue decomposition theorem
-/
noncomputable section
open scoped Classical MeasureTheory NNReal ENNReal
open Set
variable {α β : Type*} {m : MeasurableSpace α} {μ ν : MeasureTheory.Measure α}
namespace MeasureTheory
namespace SignedMeasure
open Measure
/-- A signed measure `s` is said to `HaveLebesgueDecomposition` with respect to a measure `μ`
if the positive part and the negative part of `s` both `HaveLebesgueDecomposition` with
respect to `μ`. -/
class HaveLebesgueDecomposition (s : SignedMeasure α) (μ : Measure α) : Prop where
posPart : s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ
negPart : s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ
#align measure_theory.signed_measure.have_lebesgue_decomposition MeasureTheory.SignedMeasure.HaveLebesgueDecomposition
#align measure_theory.signed_measure.have_lebesgue_decomposition.pos_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.posPart
#align measure_theory.signed_measure.have_lebesgue_decomposition.neg_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.negPart
attribute [instance] HaveLebesgueDecomposition.posPart
attribute [instance] HaveLebesgueDecomposition.negPart
theorem not_haveLebesgueDecomposition_iff (s : SignedMeasure α) (μ : Measure α) :
¬s.HaveLebesgueDecomposition μ ↔
¬s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ ∨
¬s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ :=
⟨fun h => not_or_of_imp fun hp hn => h ⟨hp, hn⟩, fun h hl => (not_and_or.2 h) ⟨hl.1, hl.2⟩⟩
#align measure_theory.signed_measure.not_have_lebesgue_decomposition_iff MeasureTheory.SignedMeasure.not_haveLebesgueDecomposition_iff
-- `infer_instance` directly does not work
-- see Note [lower instance priority]
instance (priority := 100) haveLebesgueDecomposition_of_sigmaFinite (s : SignedMeasure α)
(μ : Measure α) [SigmaFinite μ] : s.HaveLebesgueDecomposition μ where
posPart := inferInstance
negPart := inferInstance
#align measure_theory.signed_measure.have_lebesgue_decomposition_of_sigma_finite MeasureTheory.SignedMeasure.haveLebesgueDecomposition_of_sigmaFinite
instance haveLebesgueDecomposition_neg (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] : (-s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_neg MeasureTheory.SignedMeasure.haveLebesgueDecomposition_neg
instance haveLebesgueDecomposition_smul (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ≥0) : (r • s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul
instance haveLebesgueDecomposition_smul_real (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ) : (r • s).HaveLebesgueDecomposition μ := by
by_cases hr : 0 ≤ r
· lift r to ℝ≥0 using hr
exact s.haveLebesgueDecomposition_smul μ _
· rw [not_le] at hr
refine'
{ posPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_posPart_neg _ _ hr]
infer_instance
negPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_negPart_neg _ _ hr]
infer_instance }
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul_real MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul_real
/-- Given a signed measure `s` and a measure `μ`, `s.singularPart μ` is the signed measure
such that `s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s` and
`s.singularPart μ` is mutually singular with respect to `μ`. -/
def singularPart (s : SignedMeasure α) (μ : Measure α) : SignedMeasure α :=
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure -
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure
#align measure_theory.signed_measure.singular_part MeasureTheory.SignedMeasure.singularPart
section
theorem singularPart_mutuallySingular (s : SignedMeasure α) (μ : Measure α) :
s.toJordanDecomposition.posPart.singularPart μ ⟂ₘ
s.toJordanDecomposition.negPart.singularPart μ := by
by_cases hl : s.HaveLebesgueDecomposition μ
· obtain ⟨i, hi, hpos, hneg⟩ := s.toJordanDecomposition.mutuallySingular
rw [s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ] at hpos
rw [s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ] at hneg
rw [add_apply, add_eq_zero_iff] at hpos hneg
exact ⟨i, hi, hpos.1, hneg.1⟩
· rw [not_haveLebesgueDecomposition_iff] at hl
cases' hl with hp hn
· rw [Measure.singularPart, dif_neg hp]
exact MutuallySingular.zero_left
· rw [Measure.singularPart, Measure.singularPart, dif_neg hn]
exact MutuallySingular.zero_right
#align measure_theory.signed_measure.singular_part_mutually_singular MeasureTheory.SignedMeasure.singularPart_mutuallySingular
theorem singularPart_totalVariation (s : SignedMeasure α) (μ : Measure α) :
(s.singularPart μ).totalVariation =
s.toJordanDecomposition.posPart.singularPart μ +
s.toJordanDecomposition.negPart.singularPart μ := by
have :
(s.singularPart μ).toJordanDecomposition =
⟨s.toJordanDecomposition.posPart.singularPart μ,
s.toJordanDecomposition.negPart.singularPart μ, singularPart_mutuallySingular s μ⟩ := by
refine' JordanDecomposition.toSignedMeasure_injective _
rw [toSignedMeasure_toJordanDecomposition, singularPart, JordanDecomposition.toSignedMeasure]
· rw [totalVariation, this]
#align measure_theory.signed_measure.singular_part_total_variation MeasureTheory.SignedMeasure.singularPart_totalVariation
nonrec theorem mutuallySingular_singularPart (s : SignedMeasure α) (μ : Measure α) :
singularPart s μ ⟂ᵥ μ.toENNRealVectorMeasure := by
rw [mutuallySingular_ennreal_iff, singularPart_totalVariation,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure]
exact (mutuallySingular_singularPart _ _).add_left (mutuallySingular_singularPart _ _)
#align measure_theory.signed_measure.mutually_singular_singular_part MeasureTheory.SignedMeasure.mutuallySingular_singularPart
end
/-- The Radon-Nikodym derivative between a signed measure and a positive measure.
`rnDeriv s μ` satisfies `μ.withDensityᵥ (s.rnDeriv μ) = s`
if and only if `s` is absolutely continuous with respect to `μ` and this fact is known as
`MeasureTheory.SignedMeasure.absolutelyContinuous_iff_withDensity_rnDeriv_eq`
and can be found in `MeasureTheory.Decomposition.RadonNikodym`. -/
def rnDeriv (s : SignedMeasure α) (μ : Measure α) : α → ℝ := fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal
#align measure_theory.signed_measure.rn_deriv MeasureTheory.SignedMeasure.rnDeriv
-- Porting note: The generated equation theorem is the form of `rnDeriv s μ x`.
theorem rnDeriv_def (s : SignedMeasure α) (μ : Measure α) : rnDeriv s μ = fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal :=
rfl
attribute [eqns rnDeriv_def] rnDeriv
variable {s t : SignedMeasure α}
@[measurability]
theorem measurable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Measurable (rnDeriv s μ) := by
rw [rnDeriv]
measurability
#align measure_theory.signed_measure.measurable_rn_deriv MeasureTheory.SignedMeasure.measurable_rnDeriv
theorem integrable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Integrable (rnDeriv s μ) μ := by
refine' Integrable.sub _ _ <;>
· constructor
· apply Measurable.aestronglyMeasurable; measurability
exact hasFiniteIntegral_toReal_of_lintegral_ne_top (lintegral_rnDeriv_lt_top _ μ).ne
#align measure_theory.signed_measure.integrable_rn_deriv MeasureTheory.SignedMeasure.integrable_rnDeriv
variable (s μ)
/-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
first
| exact (lintegral_rnDeriv_lt_top _ _).ne
| measurability
#align measure_theory.signed_measure.singular_part_add_with_density_rn_deriv_eq MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq
variable {s μ}
theorem jordanDecomposition_add_withDensity_mutuallySingular {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) :
(t.toJordanDecomposition.posPart + μ.withDensity fun x : α => ENNReal.ofReal (f x)) ⟂ₘ
t.toJordanDecomposition.negPart + μ.withDensity fun x : α => ENNReal.ofReal (-f x) := by
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
exact
((JordanDecomposition.mutuallySingular _).add_right
(htμ.1.mono_ac (refl _) (withDensity_absolutelyContinuous _ _))).add_left
((htμ.2.symm.mono_ac (withDensity_absolutelyContinuous _ _) (refl _)).add_right
(withDensity_ofReal_mutuallySingular hf))
#align measure_theory.signed_measure.jordan_decomposition_add_with_density_mutually_singular MeasureTheory.SignedMeasure.jordanDecomposition_add_withDensity_mutuallySingular
theorem toJordanDecomposition_eq_of_eq_add_withDensity {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.toJordanDecomposition =
@JordanDecomposition.mk α _
(t.toJordanDecomposition.posPart + μ.withDensity fun x => ENNReal.ofReal (f x))
(t.toJordanDecomposition.negPart + μ.withDensity fun x => ENNReal.ofReal (-f x))
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.2; infer_instance)
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2; infer_instance)
(jordanDecomposition_add_withDensity_mutuallySingular hf htμ) := by
haveI := isFiniteMeasure_withDensity_ofReal hfi.2
haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2
refine' toJordanDecomposition_eq _
| simp_rw [JordanDecomposition.toSignedMeasure, hadd] | theorem toJordanDecomposition_eq_of_eq_add_withDensity {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.toJordanDecomposition =
@JordanDecomposition.mk α _
(t.toJordanDecomposition.posPart + μ.withDensity fun x => ENNReal.ofReal (f x))
(t.toJordanDecomposition.negPart + μ.withDensity fun x => ENNReal.ofReal (-f x))
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.2; infer_instance)
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2; infer_instance)
(jordanDecomposition_add_withDensity_mutuallySingular hf htμ) := by
haveI := isFiniteMeasure_withDensity_ofReal hfi.2
haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2
refine' toJordanDecomposition_eq _
| Mathlib.MeasureTheory.Decomposition.SignedLebesgue.248_0.HPGboz0rhL6sBes | theorem toJordanDecomposition_eq_of_eq_add_withDensity {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.toJordanDecomposition =
@JordanDecomposition.mk α _
(t.toJordanDecomposition.posPart + μ.withDensity fun x => ENNReal.ofReal (f x))
(t.toJordanDecomposition.negPart + μ.withDensity fun x => ENNReal.ofReal (-f x))
(by haveI | Mathlib_MeasureTheory_Decomposition_SignedLebesgue |
α : Type u_1
β : Type u_2
m : MeasurableSpace α
μ ν : Measure α
s t : SignedMeasure α
f : α → ℝ
hf : Measurable f
hfi : Integrable f
htμ : t ⟂ᵥ toENNRealVectorMeasure μ
hadd : s = t + withDensityᵥ μ f
this✝ : IsFiniteMeasure (withDensity μ fun x => ENNReal.ofReal (f x))
this : IsFiniteMeasure (withDensity μ fun x => ENNReal.ofReal ((-f) x))
⊢ t + withDensityᵥ μ f =
toSignedMeasure ((toJordanDecomposition t).posPart + withDensity μ fun x => ENNReal.ofReal (f x)) -
toSignedMeasure ((toJordanDecomposition t).negPart + withDensity μ fun x => ENNReal.ofReal (-f x)) | /-
Copyright (c) 2021 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.MeasureTheory.Decomposition.Lebesgue
import Mathlib.MeasureTheory.Measure.Complex
/-!
# Lebesgue decomposition
This file proves the Lebesgue decomposition theorem for signed measures. The Lebesgue decomposition
theorem states that, given two σ-finite measures `μ` and `ν`, there exists a σ-finite measure `ξ`
and a measurable function `f` such that `μ = ξ + fν` and `ξ` is mutually singular with respect
to `ν`.
## Main definitions
* `MeasureTheory.SignedMeasure.HaveLebesgueDecomposition` : A signed measure `s` and a
measure `μ` is said to `HaveLebesgueDecomposition` if both the positive part and negative
part of `s` `HaveLebesgueDecomposition` with respect to `μ`.
* `MeasureTheory.SignedMeasure.singularPart` : The singular part between a signed measure `s`
and a measure `μ` is simply the singular part of the positive part of `s` with respect to `μ`
minus the singular part of the negative part of `s` with respect to `μ`.
* `MeasureTheory.SignedMeasure.rnDeriv` : The Radon-Nikodym derivative of a signed
measure `s` with respect to a measure `μ` is the Radon-Nikodym derivative of the positive part of
`s` with respect to `μ` minus the Radon-Nikodym derivative of the negative part of `s` with
respect to `μ`.
## Main results
* `MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq` :
the Lebesgue decomposition theorem between a signed measure and a σ-finite positive measure.
## Tags
Lebesgue decomposition theorem
-/
noncomputable section
open scoped Classical MeasureTheory NNReal ENNReal
open Set
variable {α β : Type*} {m : MeasurableSpace α} {μ ν : MeasureTheory.Measure α}
namespace MeasureTheory
namespace SignedMeasure
open Measure
/-- A signed measure `s` is said to `HaveLebesgueDecomposition` with respect to a measure `μ`
if the positive part and the negative part of `s` both `HaveLebesgueDecomposition` with
respect to `μ`. -/
class HaveLebesgueDecomposition (s : SignedMeasure α) (μ : Measure α) : Prop where
posPart : s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ
negPart : s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ
#align measure_theory.signed_measure.have_lebesgue_decomposition MeasureTheory.SignedMeasure.HaveLebesgueDecomposition
#align measure_theory.signed_measure.have_lebesgue_decomposition.pos_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.posPart
#align measure_theory.signed_measure.have_lebesgue_decomposition.neg_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.negPart
attribute [instance] HaveLebesgueDecomposition.posPart
attribute [instance] HaveLebesgueDecomposition.negPart
theorem not_haveLebesgueDecomposition_iff (s : SignedMeasure α) (μ : Measure α) :
¬s.HaveLebesgueDecomposition μ ↔
¬s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ ∨
¬s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ :=
⟨fun h => not_or_of_imp fun hp hn => h ⟨hp, hn⟩, fun h hl => (not_and_or.2 h) ⟨hl.1, hl.2⟩⟩
#align measure_theory.signed_measure.not_have_lebesgue_decomposition_iff MeasureTheory.SignedMeasure.not_haveLebesgueDecomposition_iff
-- `infer_instance` directly does not work
-- see Note [lower instance priority]
instance (priority := 100) haveLebesgueDecomposition_of_sigmaFinite (s : SignedMeasure α)
(μ : Measure α) [SigmaFinite μ] : s.HaveLebesgueDecomposition μ where
posPart := inferInstance
negPart := inferInstance
#align measure_theory.signed_measure.have_lebesgue_decomposition_of_sigma_finite MeasureTheory.SignedMeasure.haveLebesgueDecomposition_of_sigmaFinite
instance haveLebesgueDecomposition_neg (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] : (-s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_neg MeasureTheory.SignedMeasure.haveLebesgueDecomposition_neg
instance haveLebesgueDecomposition_smul (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ≥0) : (r • s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul
instance haveLebesgueDecomposition_smul_real (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ) : (r • s).HaveLebesgueDecomposition μ := by
by_cases hr : 0 ≤ r
· lift r to ℝ≥0 using hr
exact s.haveLebesgueDecomposition_smul μ _
· rw [not_le] at hr
refine'
{ posPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_posPart_neg _ _ hr]
infer_instance
negPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_negPart_neg _ _ hr]
infer_instance }
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul_real MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul_real
/-- Given a signed measure `s` and a measure `μ`, `s.singularPart μ` is the signed measure
such that `s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s` and
`s.singularPart μ` is mutually singular with respect to `μ`. -/
def singularPart (s : SignedMeasure α) (μ : Measure α) : SignedMeasure α :=
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure -
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure
#align measure_theory.signed_measure.singular_part MeasureTheory.SignedMeasure.singularPart
section
theorem singularPart_mutuallySingular (s : SignedMeasure α) (μ : Measure α) :
s.toJordanDecomposition.posPart.singularPart μ ⟂ₘ
s.toJordanDecomposition.negPart.singularPart μ := by
by_cases hl : s.HaveLebesgueDecomposition μ
· obtain ⟨i, hi, hpos, hneg⟩ := s.toJordanDecomposition.mutuallySingular
rw [s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ] at hpos
rw [s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ] at hneg
rw [add_apply, add_eq_zero_iff] at hpos hneg
exact ⟨i, hi, hpos.1, hneg.1⟩
· rw [not_haveLebesgueDecomposition_iff] at hl
cases' hl with hp hn
· rw [Measure.singularPart, dif_neg hp]
exact MutuallySingular.zero_left
· rw [Measure.singularPart, Measure.singularPart, dif_neg hn]
exact MutuallySingular.zero_right
#align measure_theory.signed_measure.singular_part_mutually_singular MeasureTheory.SignedMeasure.singularPart_mutuallySingular
theorem singularPart_totalVariation (s : SignedMeasure α) (μ : Measure α) :
(s.singularPart μ).totalVariation =
s.toJordanDecomposition.posPart.singularPart μ +
s.toJordanDecomposition.negPart.singularPart μ := by
have :
(s.singularPart μ).toJordanDecomposition =
⟨s.toJordanDecomposition.posPart.singularPart μ,
s.toJordanDecomposition.negPart.singularPart μ, singularPart_mutuallySingular s μ⟩ := by
refine' JordanDecomposition.toSignedMeasure_injective _
rw [toSignedMeasure_toJordanDecomposition, singularPart, JordanDecomposition.toSignedMeasure]
· rw [totalVariation, this]
#align measure_theory.signed_measure.singular_part_total_variation MeasureTheory.SignedMeasure.singularPart_totalVariation
nonrec theorem mutuallySingular_singularPart (s : SignedMeasure α) (μ : Measure α) :
singularPart s μ ⟂ᵥ μ.toENNRealVectorMeasure := by
rw [mutuallySingular_ennreal_iff, singularPart_totalVariation,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure]
exact (mutuallySingular_singularPart _ _).add_left (mutuallySingular_singularPart _ _)
#align measure_theory.signed_measure.mutually_singular_singular_part MeasureTheory.SignedMeasure.mutuallySingular_singularPart
end
/-- The Radon-Nikodym derivative between a signed measure and a positive measure.
`rnDeriv s μ` satisfies `μ.withDensityᵥ (s.rnDeriv μ) = s`
if and only if `s` is absolutely continuous with respect to `μ` and this fact is known as
`MeasureTheory.SignedMeasure.absolutelyContinuous_iff_withDensity_rnDeriv_eq`
and can be found in `MeasureTheory.Decomposition.RadonNikodym`. -/
def rnDeriv (s : SignedMeasure α) (μ : Measure α) : α → ℝ := fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal
#align measure_theory.signed_measure.rn_deriv MeasureTheory.SignedMeasure.rnDeriv
-- Porting note: The generated equation theorem is the form of `rnDeriv s μ x`.
theorem rnDeriv_def (s : SignedMeasure α) (μ : Measure α) : rnDeriv s μ = fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal :=
rfl
attribute [eqns rnDeriv_def] rnDeriv
variable {s t : SignedMeasure α}
@[measurability]
theorem measurable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Measurable (rnDeriv s μ) := by
rw [rnDeriv]
measurability
#align measure_theory.signed_measure.measurable_rn_deriv MeasureTheory.SignedMeasure.measurable_rnDeriv
theorem integrable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Integrable (rnDeriv s μ) μ := by
refine' Integrable.sub _ _ <;>
· constructor
· apply Measurable.aestronglyMeasurable; measurability
exact hasFiniteIntegral_toReal_of_lintegral_ne_top (lintegral_rnDeriv_lt_top _ μ).ne
#align measure_theory.signed_measure.integrable_rn_deriv MeasureTheory.SignedMeasure.integrable_rnDeriv
variable (s μ)
/-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
first
| exact (lintegral_rnDeriv_lt_top _ _).ne
| measurability
#align measure_theory.signed_measure.singular_part_add_with_density_rn_deriv_eq MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq
variable {s μ}
theorem jordanDecomposition_add_withDensity_mutuallySingular {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) :
(t.toJordanDecomposition.posPart + μ.withDensity fun x : α => ENNReal.ofReal (f x)) ⟂ₘ
t.toJordanDecomposition.negPart + μ.withDensity fun x : α => ENNReal.ofReal (-f x) := by
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
exact
((JordanDecomposition.mutuallySingular _).add_right
(htμ.1.mono_ac (refl _) (withDensity_absolutelyContinuous _ _))).add_left
((htμ.2.symm.mono_ac (withDensity_absolutelyContinuous _ _) (refl _)).add_right
(withDensity_ofReal_mutuallySingular hf))
#align measure_theory.signed_measure.jordan_decomposition_add_with_density_mutually_singular MeasureTheory.SignedMeasure.jordanDecomposition_add_withDensity_mutuallySingular
theorem toJordanDecomposition_eq_of_eq_add_withDensity {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.toJordanDecomposition =
@JordanDecomposition.mk α _
(t.toJordanDecomposition.posPart + μ.withDensity fun x => ENNReal.ofReal (f x))
(t.toJordanDecomposition.negPart + μ.withDensity fun x => ENNReal.ofReal (-f x))
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.2; infer_instance)
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2; infer_instance)
(jordanDecomposition_add_withDensity_mutuallySingular hf htμ) := by
haveI := isFiniteMeasure_withDensity_ofReal hfi.2
haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2
refine' toJordanDecomposition_eq _
simp_rw [JordanDecomposition.toSignedMeasure, hadd]
| ext i hi | theorem toJordanDecomposition_eq_of_eq_add_withDensity {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.toJordanDecomposition =
@JordanDecomposition.mk α _
(t.toJordanDecomposition.posPart + μ.withDensity fun x => ENNReal.ofReal (f x))
(t.toJordanDecomposition.negPart + μ.withDensity fun x => ENNReal.ofReal (-f x))
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.2; infer_instance)
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2; infer_instance)
(jordanDecomposition_add_withDensity_mutuallySingular hf htμ) := by
haveI := isFiniteMeasure_withDensity_ofReal hfi.2
haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2
refine' toJordanDecomposition_eq _
simp_rw [JordanDecomposition.toSignedMeasure, hadd]
| Mathlib.MeasureTheory.Decomposition.SignedLebesgue.248_0.HPGboz0rhL6sBes | theorem toJordanDecomposition_eq_of_eq_add_withDensity {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.toJordanDecomposition =
@JordanDecomposition.mk α _
(t.toJordanDecomposition.posPart + μ.withDensity fun x => ENNReal.ofReal (f x))
(t.toJordanDecomposition.negPart + μ.withDensity fun x => ENNReal.ofReal (-f x))
(by haveI | Mathlib_MeasureTheory_Decomposition_SignedLebesgue |
case h
α : Type u_1
β : Type u_2
m : MeasurableSpace α
μ ν : Measure α
s t : SignedMeasure α
f : α → ℝ
hf : Measurable f
hfi : Integrable f
htμ : t ⟂ᵥ toENNRealVectorMeasure μ
hadd : s = t + withDensityᵥ μ f
this✝ : IsFiniteMeasure (withDensity μ fun x => ENNReal.ofReal (f x))
this : IsFiniteMeasure (withDensity μ fun x => ENNReal.ofReal ((-f) x))
i : Set α
hi : MeasurableSet i
⊢ ↑(t + withDensityᵥ μ f) i =
↑(toSignedMeasure ((toJordanDecomposition t).posPart + withDensity μ fun x => ENNReal.ofReal (f x)) -
toSignedMeasure ((toJordanDecomposition t).negPart + withDensity μ fun x => ENNReal.ofReal (-f x)))
i | /-
Copyright (c) 2021 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.MeasureTheory.Decomposition.Lebesgue
import Mathlib.MeasureTheory.Measure.Complex
/-!
# Lebesgue decomposition
This file proves the Lebesgue decomposition theorem for signed measures. The Lebesgue decomposition
theorem states that, given two σ-finite measures `μ` and `ν`, there exists a σ-finite measure `ξ`
and a measurable function `f` such that `μ = ξ + fν` and `ξ` is mutually singular with respect
to `ν`.
## Main definitions
* `MeasureTheory.SignedMeasure.HaveLebesgueDecomposition` : A signed measure `s` and a
measure `μ` is said to `HaveLebesgueDecomposition` if both the positive part and negative
part of `s` `HaveLebesgueDecomposition` with respect to `μ`.
* `MeasureTheory.SignedMeasure.singularPart` : The singular part between a signed measure `s`
and a measure `μ` is simply the singular part of the positive part of `s` with respect to `μ`
minus the singular part of the negative part of `s` with respect to `μ`.
* `MeasureTheory.SignedMeasure.rnDeriv` : The Radon-Nikodym derivative of a signed
measure `s` with respect to a measure `μ` is the Radon-Nikodym derivative of the positive part of
`s` with respect to `μ` minus the Radon-Nikodym derivative of the negative part of `s` with
respect to `μ`.
## Main results
* `MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq` :
the Lebesgue decomposition theorem between a signed measure and a σ-finite positive measure.
## Tags
Lebesgue decomposition theorem
-/
noncomputable section
open scoped Classical MeasureTheory NNReal ENNReal
open Set
variable {α β : Type*} {m : MeasurableSpace α} {μ ν : MeasureTheory.Measure α}
namespace MeasureTheory
namespace SignedMeasure
open Measure
/-- A signed measure `s` is said to `HaveLebesgueDecomposition` with respect to a measure `μ`
if the positive part and the negative part of `s` both `HaveLebesgueDecomposition` with
respect to `μ`. -/
class HaveLebesgueDecomposition (s : SignedMeasure α) (μ : Measure α) : Prop where
posPart : s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ
negPart : s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ
#align measure_theory.signed_measure.have_lebesgue_decomposition MeasureTheory.SignedMeasure.HaveLebesgueDecomposition
#align measure_theory.signed_measure.have_lebesgue_decomposition.pos_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.posPart
#align measure_theory.signed_measure.have_lebesgue_decomposition.neg_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.negPart
attribute [instance] HaveLebesgueDecomposition.posPart
attribute [instance] HaveLebesgueDecomposition.negPart
theorem not_haveLebesgueDecomposition_iff (s : SignedMeasure α) (μ : Measure α) :
¬s.HaveLebesgueDecomposition μ ↔
¬s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ ∨
¬s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ :=
⟨fun h => not_or_of_imp fun hp hn => h ⟨hp, hn⟩, fun h hl => (not_and_or.2 h) ⟨hl.1, hl.2⟩⟩
#align measure_theory.signed_measure.not_have_lebesgue_decomposition_iff MeasureTheory.SignedMeasure.not_haveLebesgueDecomposition_iff
-- `infer_instance` directly does not work
-- see Note [lower instance priority]
instance (priority := 100) haveLebesgueDecomposition_of_sigmaFinite (s : SignedMeasure α)
(μ : Measure α) [SigmaFinite μ] : s.HaveLebesgueDecomposition μ where
posPart := inferInstance
negPart := inferInstance
#align measure_theory.signed_measure.have_lebesgue_decomposition_of_sigma_finite MeasureTheory.SignedMeasure.haveLebesgueDecomposition_of_sigmaFinite
instance haveLebesgueDecomposition_neg (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] : (-s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_neg MeasureTheory.SignedMeasure.haveLebesgueDecomposition_neg
instance haveLebesgueDecomposition_smul (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ≥0) : (r • s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul
instance haveLebesgueDecomposition_smul_real (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ) : (r • s).HaveLebesgueDecomposition μ := by
by_cases hr : 0 ≤ r
· lift r to ℝ≥0 using hr
exact s.haveLebesgueDecomposition_smul μ _
· rw [not_le] at hr
refine'
{ posPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_posPart_neg _ _ hr]
infer_instance
negPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_negPart_neg _ _ hr]
infer_instance }
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul_real MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul_real
/-- Given a signed measure `s` and a measure `μ`, `s.singularPart μ` is the signed measure
such that `s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s` and
`s.singularPart μ` is mutually singular with respect to `μ`. -/
def singularPart (s : SignedMeasure α) (μ : Measure α) : SignedMeasure α :=
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure -
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure
#align measure_theory.signed_measure.singular_part MeasureTheory.SignedMeasure.singularPart
section
theorem singularPart_mutuallySingular (s : SignedMeasure α) (μ : Measure α) :
s.toJordanDecomposition.posPart.singularPart μ ⟂ₘ
s.toJordanDecomposition.negPart.singularPart μ := by
by_cases hl : s.HaveLebesgueDecomposition μ
· obtain ⟨i, hi, hpos, hneg⟩ := s.toJordanDecomposition.mutuallySingular
rw [s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ] at hpos
rw [s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ] at hneg
rw [add_apply, add_eq_zero_iff] at hpos hneg
exact ⟨i, hi, hpos.1, hneg.1⟩
· rw [not_haveLebesgueDecomposition_iff] at hl
cases' hl with hp hn
· rw [Measure.singularPart, dif_neg hp]
exact MutuallySingular.zero_left
· rw [Measure.singularPart, Measure.singularPart, dif_neg hn]
exact MutuallySingular.zero_right
#align measure_theory.signed_measure.singular_part_mutually_singular MeasureTheory.SignedMeasure.singularPart_mutuallySingular
theorem singularPart_totalVariation (s : SignedMeasure α) (μ : Measure α) :
(s.singularPart μ).totalVariation =
s.toJordanDecomposition.posPart.singularPart μ +
s.toJordanDecomposition.negPart.singularPart μ := by
have :
(s.singularPart μ).toJordanDecomposition =
⟨s.toJordanDecomposition.posPart.singularPart μ,
s.toJordanDecomposition.negPart.singularPart μ, singularPart_mutuallySingular s μ⟩ := by
refine' JordanDecomposition.toSignedMeasure_injective _
rw [toSignedMeasure_toJordanDecomposition, singularPart, JordanDecomposition.toSignedMeasure]
· rw [totalVariation, this]
#align measure_theory.signed_measure.singular_part_total_variation MeasureTheory.SignedMeasure.singularPart_totalVariation
nonrec theorem mutuallySingular_singularPart (s : SignedMeasure α) (μ : Measure α) :
singularPart s μ ⟂ᵥ μ.toENNRealVectorMeasure := by
rw [mutuallySingular_ennreal_iff, singularPart_totalVariation,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure]
exact (mutuallySingular_singularPart _ _).add_left (mutuallySingular_singularPart _ _)
#align measure_theory.signed_measure.mutually_singular_singular_part MeasureTheory.SignedMeasure.mutuallySingular_singularPart
end
/-- The Radon-Nikodym derivative between a signed measure and a positive measure.
`rnDeriv s μ` satisfies `μ.withDensityᵥ (s.rnDeriv μ) = s`
if and only if `s` is absolutely continuous with respect to `μ` and this fact is known as
`MeasureTheory.SignedMeasure.absolutelyContinuous_iff_withDensity_rnDeriv_eq`
and can be found in `MeasureTheory.Decomposition.RadonNikodym`. -/
def rnDeriv (s : SignedMeasure α) (μ : Measure α) : α → ℝ := fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal
#align measure_theory.signed_measure.rn_deriv MeasureTheory.SignedMeasure.rnDeriv
-- Porting note: The generated equation theorem is the form of `rnDeriv s μ x`.
theorem rnDeriv_def (s : SignedMeasure α) (μ : Measure α) : rnDeriv s μ = fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal :=
rfl
attribute [eqns rnDeriv_def] rnDeriv
variable {s t : SignedMeasure α}
@[measurability]
theorem measurable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Measurable (rnDeriv s μ) := by
rw [rnDeriv]
measurability
#align measure_theory.signed_measure.measurable_rn_deriv MeasureTheory.SignedMeasure.measurable_rnDeriv
theorem integrable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Integrable (rnDeriv s μ) μ := by
refine' Integrable.sub _ _ <;>
· constructor
· apply Measurable.aestronglyMeasurable; measurability
exact hasFiniteIntegral_toReal_of_lintegral_ne_top (lintegral_rnDeriv_lt_top _ μ).ne
#align measure_theory.signed_measure.integrable_rn_deriv MeasureTheory.SignedMeasure.integrable_rnDeriv
variable (s μ)
/-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
first
| exact (lintegral_rnDeriv_lt_top _ _).ne
| measurability
#align measure_theory.signed_measure.singular_part_add_with_density_rn_deriv_eq MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq
variable {s μ}
theorem jordanDecomposition_add_withDensity_mutuallySingular {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) :
(t.toJordanDecomposition.posPart + μ.withDensity fun x : α => ENNReal.ofReal (f x)) ⟂ₘ
t.toJordanDecomposition.negPart + μ.withDensity fun x : α => ENNReal.ofReal (-f x) := by
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
exact
((JordanDecomposition.mutuallySingular _).add_right
(htμ.1.mono_ac (refl _) (withDensity_absolutelyContinuous _ _))).add_left
((htμ.2.symm.mono_ac (withDensity_absolutelyContinuous _ _) (refl _)).add_right
(withDensity_ofReal_mutuallySingular hf))
#align measure_theory.signed_measure.jordan_decomposition_add_with_density_mutually_singular MeasureTheory.SignedMeasure.jordanDecomposition_add_withDensity_mutuallySingular
theorem toJordanDecomposition_eq_of_eq_add_withDensity {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.toJordanDecomposition =
@JordanDecomposition.mk α _
(t.toJordanDecomposition.posPart + μ.withDensity fun x => ENNReal.ofReal (f x))
(t.toJordanDecomposition.negPart + μ.withDensity fun x => ENNReal.ofReal (-f x))
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.2; infer_instance)
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2; infer_instance)
(jordanDecomposition_add_withDensity_mutuallySingular hf htμ) := by
haveI := isFiniteMeasure_withDensity_ofReal hfi.2
haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2
refine' toJordanDecomposition_eq _
simp_rw [JordanDecomposition.toSignedMeasure, hadd]
ext i hi
| rw [VectorMeasure.sub_apply, toSignedMeasure_apply_measurable hi,
toSignedMeasure_apply_measurable hi, add_apply, add_apply, ENNReal.toReal_add,
ENNReal.toReal_add, add_sub_add_comm, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi, ← VectorMeasure.sub_apply,
← JordanDecomposition.toSignedMeasure, toSignedMeasure_toJordanDecomposition,
VectorMeasure.add_apply, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi,
withDensityᵥ_eq_withDensity_pos_part_sub_withDensity_neg_part hfi,
VectorMeasure.sub_apply] | theorem toJordanDecomposition_eq_of_eq_add_withDensity {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.toJordanDecomposition =
@JordanDecomposition.mk α _
(t.toJordanDecomposition.posPart + μ.withDensity fun x => ENNReal.ofReal (f x))
(t.toJordanDecomposition.negPart + μ.withDensity fun x => ENNReal.ofReal (-f x))
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.2; infer_instance)
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2; infer_instance)
(jordanDecomposition_add_withDensity_mutuallySingular hf htμ) := by
haveI := isFiniteMeasure_withDensity_ofReal hfi.2
haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2
refine' toJordanDecomposition_eq _
simp_rw [JordanDecomposition.toSignedMeasure, hadd]
ext i hi
| Mathlib.MeasureTheory.Decomposition.SignedLebesgue.248_0.HPGboz0rhL6sBes | theorem toJordanDecomposition_eq_of_eq_add_withDensity {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.toJordanDecomposition =
@JordanDecomposition.mk α _
(t.toJordanDecomposition.posPart + μ.withDensity fun x => ENNReal.ofReal (f x))
(t.toJordanDecomposition.negPart + μ.withDensity fun x => ENNReal.ofReal (-f x))
(by haveI | Mathlib_MeasureTheory_Decomposition_SignedLebesgue |
case h.ha
α : Type u_1
β : Type u_2
m : MeasurableSpace α
μ ν : Measure α
s t : SignedMeasure α
f : α → ℝ
hf : Measurable f
hfi : Integrable f
htμ : t ⟂ᵥ toENNRealVectorMeasure μ
hadd : s = t + withDensityᵥ μ f
this✝ : IsFiniteMeasure (withDensity μ fun x => ENNReal.ofReal (f x))
this : IsFiniteMeasure (withDensity μ fun x => ENNReal.ofReal ((-f) x))
i : Set α
hi : MeasurableSet i
⊢ ↑↑(toJordanDecomposition t).negPart i ≠ ⊤ | /-
Copyright (c) 2021 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.MeasureTheory.Decomposition.Lebesgue
import Mathlib.MeasureTheory.Measure.Complex
/-!
# Lebesgue decomposition
This file proves the Lebesgue decomposition theorem for signed measures. The Lebesgue decomposition
theorem states that, given two σ-finite measures `μ` and `ν`, there exists a σ-finite measure `ξ`
and a measurable function `f` such that `μ = ξ + fν` and `ξ` is mutually singular with respect
to `ν`.
## Main definitions
* `MeasureTheory.SignedMeasure.HaveLebesgueDecomposition` : A signed measure `s` and a
measure `μ` is said to `HaveLebesgueDecomposition` if both the positive part and negative
part of `s` `HaveLebesgueDecomposition` with respect to `μ`.
* `MeasureTheory.SignedMeasure.singularPart` : The singular part between a signed measure `s`
and a measure `μ` is simply the singular part of the positive part of `s` with respect to `μ`
minus the singular part of the negative part of `s` with respect to `μ`.
* `MeasureTheory.SignedMeasure.rnDeriv` : The Radon-Nikodym derivative of a signed
measure `s` with respect to a measure `μ` is the Radon-Nikodym derivative of the positive part of
`s` with respect to `μ` minus the Radon-Nikodym derivative of the negative part of `s` with
respect to `μ`.
## Main results
* `MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq` :
the Lebesgue decomposition theorem between a signed measure and a σ-finite positive measure.
## Tags
Lebesgue decomposition theorem
-/
noncomputable section
open scoped Classical MeasureTheory NNReal ENNReal
open Set
variable {α β : Type*} {m : MeasurableSpace α} {μ ν : MeasureTheory.Measure α}
namespace MeasureTheory
namespace SignedMeasure
open Measure
/-- A signed measure `s` is said to `HaveLebesgueDecomposition` with respect to a measure `μ`
if the positive part and the negative part of `s` both `HaveLebesgueDecomposition` with
respect to `μ`. -/
class HaveLebesgueDecomposition (s : SignedMeasure α) (μ : Measure α) : Prop where
posPart : s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ
negPart : s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ
#align measure_theory.signed_measure.have_lebesgue_decomposition MeasureTheory.SignedMeasure.HaveLebesgueDecomposition
#align measure_theory.signed_measure.have_lebesgue_decomposition.pos_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.posPart
#align measure_theory.signed_measure.have_lebesgue_decomposition.neg_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.negPart
attribute [instance] HaveLebesgueDecomposition.posPart
attribute [instance] HaveLebesgueDecomposition.negPart
theorem not_haveLebesgueDecomposition_iff (s : SignedMeasure α) (μ : Measure α) :
¬s.HaveLebesgueDecomposition μ ↔
¬s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ ∨
¬s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ :=
⟨fun h => not_or_of_imp fun hp hn => h ⟨hp, hn⟩, fun h hl => (not_and_or.2 h) ⟨hl.1, hl.2⟩⟩
#align measure_theory.signed_measure.not_have_lebesgue_decomposition_iff MeasureTheory.SignedMeasure.not_haveLebesgueDecomposition_iff
-- `infer_instance` directly does not work
-- see Note [lower instance priority]
instance (priority := 100) haveLebesgueDecomposition_of_sigmaFinite (s : SignedMeasure α)
(μ : Measure α) [SigmaFinite μ] : s.HaveLebesgueDecomposition μ where
posPart := inferInstance
negPart := inferInstance
#align measure_theory.signed_measure.have_lebesgue_decomposition_of_sigma_finite MeasureTheory.SignedMeasure.haveLebesgueDecomposition_of_sigmaFinite
instance haveLebesgueDecomposition_neg (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] : (-s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_neg MeasureTheory.SignedMeasure.haveLebesgueDecomposition_neg
instance haveLebesgueDecomposition_smul (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ≥0) : (r • s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul
instance haveLebesgueDecomposition_smul_real (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ) : (r • s).HaveLebesgueDecomposition μ := by
by_cases hr : 0 ≤ r
· lift r to ℝ≥0 using hr
exact s.haveLebesgueDecomposition_smul μ _
· rw [not_le] at hr
refine'
{ posPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_posPart_neg _ _ hr]
infer_instance
negPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_negPart_neg _ _ hr]
infer_instance }
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul_real MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul_real
/-- Given a signed measure `s` and a measure `μ`, `s.singularPart μ` is the signed measure
such that `s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s` and
`s.singularPart μ` is mutually singular with respect to `μ`. -/
def singularPart (s : SignedMeasure α) (μ : Measure α) : SignedMeasure α :=
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure -
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure
#align measure_theory.signed_measure.singular_part MeasureTheory.SignedMeasure.singularPart
section
theorem singularPart_mutuallySingular (s : SignedMeasure α) (μ : Measure α) :
s.toJordanDecomposition.posPart.singularPart μ ⟂ₘ
s.toJordanDecomposition.negPart.singularPart μ := by
by_cases hl : s.HaveLebesgueDecomposition μ
· obtain ⟨i, hi, hpos, hneg⟩ := s.toJordanDecomposition.mutuallySingular
rw [s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ] at hpos
rw [s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ] at hneg
rw [add_apply, add_eq_zero_iff] at hpos hneg
exact ⟨i, hi, hpos.1, hneg.1⟩
· rw [not_haveLebesgueDecomposition_iff] at hl
cases' hl with hp hn
· rw [Measure.singularPart, dif_neg hp]
exact MutuallySingular.zero_left
· rw [Measure.singularPart, Measure.singularPart, dif_neg hn]
exact MutuallySingular.zero_right
#align measure_theory.signed_measure.singular_part_mutually_singular MeasureTheory.SignedMeasure.singularPart_mutuallySingular
theorem singularPart_totalVariation (s : SignedMeasure α) (μ : Measure α) :
(s.singularPart μ).totalVariation =
s.toJordanDecomposition.posPart.singularPart μ +
s.toJordanDecomposition.negPart.singularPart μ := by
have :
(s.singularPart μ).toJordanDecomposition =
⟨s.toJordanDecomposition.posPart.singularPart μ,
s.toJordanDecomposition.negPart.singularPart μ, singularPart_mutuallySingular s μ⟩ := by
refine' JordanDecomposition.toSignedMeasure_injective _
rw [toSignedMeasure_toJordanDecomposition, singularPart, JordanDecomposition.toSignedMeasure]
· rw [totalVariation, this]
#align measure_theory.signed_measure.singular_part_total_variation MeasureTheory.SignedMeasure.singularPart_totalVariation
nonrec theorem mutuallySingular_singularPart (s : SignedMeasure α) (μ : Measure α) :
singularPart s μ ⟂ᵥ μ.toENNRealVectorMeasure := by
rw [mutuallySingular_ennreal_iff, singularPart_totalVariation,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure]
exact (mutuallySingular_singularPart _ _).add_left (mutuallySingular_singularPart _ _)
#align measure_theory.signed_measure.mutually_singular_singular_part MeasureTheory.SignedMeasure.mutuallySingular_singularPart
end
/-- The Radon-Nikodym derivative between a signed measure and a positive measure.
`rnDeriv s μ` satisfies `μ.withDensityᵥ (s.rnDeriv μ) = s`
if and only if `s` is absolutely continuous with respect to `μ` and this fact is known as
`MeasureTheory.SignedMeasure.absolutelyContinuous_iff_withDensity_rnDeriv_eq`
and can be found in `MeasureTheory.Decomposition.RadonNikodym`. -/
def rnDeriv (s : SignedMeasure α) (μ : Measure α) : α → ℝ := fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal
#align measure_theory.signed_measure.rn_deriv MeasureTheory.SignedMeasure.rnDeriv
-- Porting note: The generated equation theorem is the form of `rnDeriv s μ x`.
theorem rnDeriv_def (s : SignedMeasure α) (μ : Measure α) : rnDeriv s μ = fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal :=
rfl
attribute [eqns rnDeriv_def] rnDeriv
variable {s t : SignedMeasure α}
@[measurability]
theorem measurable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Measurable (rnDeriv s μ) := by
rw [rnDeriv]
measurability
#align measure_theory.signed_measure.measurable_rn_deriv MeasureTheory.SignedMeasure.measurable_rnDeriv
theorem integrable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Integrable (rnDeriv s μ) μ := by
refine' Integrable.sub _ _ <;>
· constructor
· apply Measurable.aestronglyMeasurable; measurability
exact hasFiniteIntegral_toReal_of_lintegral_ne_top (lintegral_rnDeriv_lt_top _ μ).ne
#align measure_theory.signed_measure.integrable_rn_deriv MeasureTheory.SignedMeasure.integrable_rnDeriv
variable (s μ)
/-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
first
| exact (lintegral_rnDeriv_lt_top _ _).ne
| measurability
#align measure_theory.signed_measure.singular_part_add_with_density_rn_deriv_eq MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq
variable {s μ}
theorem jordanDecomposition_add_withDensity_mutuallySingular {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) :
(t.toJordanDecomposition.posPart + μ.withDensity fun x : α => ENNReal.ofReal (f x)) ⟂ₘ
t.toJordanDecomposition.negPart + μ.withDensity fun x : α => ENNReal.ofReal (-f x) := by
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
exact
((JordanDecomposition.mutuallySingular _).add_right
(htμ.1.mono_ac (refl _) (withDensity_absolutelyContinuous _ _))).add_left
((htμ.2.symm.mono_ac (withDensity_absolutelyContinuous _ _) (refl _)).add_right
(withDensity_ofReal_mutuallySingular hf))
#align measure_theory.signed_measure.jordan_decomposition_add_with_density_mutually_singular MeasureTheory.SignedMeasure.jordanDecomposition_add_withDensity_mutuallySingular
theorem toJordanDecomposition_eq_of_eq_add_withDensity {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.toJordanDecomposition =
@JordanDecomposition.mk α _
(t.toJordanDecomposition.posPart + μ.withDensity fun x => ENNReal.ofReal (f x))
(t.toJordanDecomposition.negPart + μ.withDensity fun x => ENNReal.ofReal (-f x))
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.2; infer_instance)
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2; infer_instance)
(jordanDecomposition_add_withDensity_mutuallySingular hf htμ) := by
haveI := isFiniteMeasure_withDensity_ofReal hfi.2
haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2
refine' toJordanDecomposition_eq _
simp_rw [JordanDecomposition.toSignedMeasure, hadd]
ext i hi
rw [VectorMeasure.sub_apply, toSignedMeasure_apply_measurable hi,
toSignedMeasure_apply_measurable hi, add_apply, add_apply, ENNReal.toReal_add,
ENNReal.toReal_add, add_sub_add_comm, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi, ← VectorMeasure.sub_apply,
← JordanDecomposition.toSignedMeasure, toSignedMeasure_toJordanDecomposition,
VectorMeasure.add_apply, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi,
withDensityᵥ_eq_withDensity_pos_part_sub_withDensity_neg_part hfi,
VectorMeasure.sub_apply] <;>
| exact (measure_lt_top _ _).ne | theorem toJordanDecomposition_eq_of_eq_add_withDensity {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.toJordanDecomposition =
@JordanDecomposition.mk α _
(t.toJordanDecomposition.posPart + μ.withDensity fun x => ENNReal.ofReal (f x))
(t.toJordanDecomposition.negPart + μ.withDensity fun x => ENNReal.ofReal (-f x))
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.2; infer_instance)
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2; infer_instance)
(jordanDecomposition_add_withDensity_mutuallySingular hf htμ) := by
haveI := isFiniteMeasure_withDensity_ofReal hfi.2
haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2
refine' toJordanDecomposition_eq _
simp_rw [JordanDecomposition.toSignedMeasure, hadd]
ext i hi
rw [VectorMeasure.sub_apply, toSignedMeasure_apply_measurable hi,
toSignedMeasure_apply_measurable hi, add_apply, add_apply, ENNReal.toReal_add,
ENNReal.toReal_add, add_sub_add_comm, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi, ← VectorMeasure.sub_apply,
← JordanDecomposition.toSignedMeasure, toSignedMeasure_toJordanDecomposition,
VectorMeasure.add_apply, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi,
withDensityᵥ_eq_withDensity_pos_part_sub_withDensity_neg_part hfi,
VectorMeasure.sub_apply] <;>
| Mathlib.MeasureTheory.Decomposition.SignedLebesgue.248_0.HPGboz0rhL6sBes | theorem toJordanDecomposition_eq_of_eq_add_withDensity {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.toJordanDecomposition =
@JordanDecomposition.mk α _
(t.toJordanDecomposition.posPart + μ.withDensity fun x => ENNReal.ofReal (f x))
(t.toJordanDecomposition.negPart + μ.withDensity fun x => ENNReal.ofReal (-f x))
(by haveI | Mathlib_MeasureTheory_Decomposition_SignedLebesgue |
case h.hb
α : Type u_1
β : Type u_2
m : MeasurableSpace α
μ ν : Measure α
s t : SignedMeasure α
f : α → ℝ
hf : Measurable f
hfi : Integrable f
htμ : t ⟂ᵥ toENNRealVectorMeasure μ
hadd : s = t + withDensityᵥ μ f
this✝ : IsFiniteMeasure (withDensity μ fun x => ENNReal.ofReal (f x))
this : IsFiniteMeasure (withDensity μ fun x => ENNReal.ofReal ((-f) x))
i : Set α
hi : MeasurableSet i
⊢ ↑↑(withDensity μ fun x => ENNReal.ofReal (-f x)) i ≠ ⊤ | /-
Copyright (c) 2021 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.MeasureTheory.Decomposition.Lebesgue
import Mathlib.MeasureTheory.Measure.Complex
/-!
# Lebesgue decomposition
This file proves the Lebesgue decomposition theorem for signed measures. The Lebesgue decomposition
theorem states that, given two σ-finite measures `μ` and `ν`, there exists a σ-finite measure `ξ`
and a measurable function `f` such that `μ = ξ + fν` and `ξ` is mutually singular with respect
to `ν`.
## Main definitions
* `MeasureTheory.SignedMeasure.HaveLebesgueDecomposition` : A signed measure `s` and a
measure `μ` is said to `HaveLebesgueDecomposition` if both the positive part and negative
part of `s` `HaveLebesgueDecomposition` with respect to `μ`.
* `MeasureTheory.SignedMeasure.singularPart` : The singular part between a signed measure `s`
and a measure `μ` is simply the singular part of the positive part of `s` with respect to `μ`
minus the singular part of the negative part of `s` with respect to `μ`.
* `MeasureTheory.SignedMeasure.rnDeriv` : The Radon-Nikodym derivative of a signed
measure `s` with respect to a measure `μ` is the Radon-Nikodym derivative of the positive part of
`s` with respect to `μ` minus the Radon-Nikodym derivative of the negative part of `s` with
respect to `μ`.
## Main results
* `MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq` :
the Lebesgue decomposition theorem between a signed measure and a σ-finite positive measure.
## Tags
Lebesgue decomposition theorem
-/
noncomputable section
open scoped Classical MeasureTheory NNReal ENNReal
open Set
variable {α β : Type*} {m : MeasurableSpace α} {μ ν : MeasureTheory.Measure α}
namespace MeasureTheory
namespace SignedMeasure
open Measure
/-- A signed measure `s` is said to `HaveLebesgueDecomposition` with respect to a measure `μ`
if the positive part and the negative part of `s` both `HaveLebesgueDecomposition` with
respect to `μ`. -/
class HaveLebesgueDecomposition (s : SignedMeasure α) (μ : Measure α) : Prop where
posPart : s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ
negPart : s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ
#align measure_theory.signed_measure.have_lebesgue_decomposition MeasureTheory.SignedMeasure.HaveLebesgueDecomposition
#align measure_theory.signed_measure.have_lebesgue_decomposition.pos_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.posPart
#align measure_theory.signed_measure.have_lebesgue_decomposition.neg_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.negPart
attribute [instance] HaveLebesgueDecomposition.posPart
attribute [instance] HaveLebesgueDecomposition.negPart
theorem not_haveLebesgueDecomposition_iff (s : SignedMeasure α) (μ : Measure α) :
¬s.HaveLebesgueDecomposition μ ↔
¬s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ ∨
¬s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ :=
⟨fun h => not_or_of_imp fun hp hn => h ⟨hp, hn⟩, fun h hl => (not_and_or.2 h) ⟨hl.1, hl.2⟩⟩
#align measure_theory.signed_measure.not_have_lebesgue_decomposition_iff MeasureTheory.SignedMeasure.not_haveLebesgueDecomposition_iff
-- `infer_instance` directly does not work
-- see Note [lower instance priority]
instance (priority := 100) haveLebesgueDecomposition_of_sigmaFinite (s : SignedMeasure α)
(μ : Measure α) [SigmaFinite μ] : s.HaveLebesgueDecomposition μ where
posPart := inferInstance
negPart := inferInstance
#align measure_theory.signed_measure.have_lebesgue_decomposition_of_sigma_finite MeasureTheory.SignedMeasure.haveLebesgueDecomposition_of_sigmaFinite
instance haveLebesgueDecomposition_neg (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] : (-s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_neg MeasureTheory.SignedMeasure.haveLebesgueDecomposition_neg
instance haveLebesgueDecomposition_smul (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ≥0) : (r • s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul
instance haveLebesgueDecomposition_smul_real (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ) : (r • s).HaveLebesgueDecomposition μ := by
by_cases hr : 0 ≤ r
· lift r to ℝ≥0 using hr
exact s.haveLebesgueDecomposition_smul μ _
· rw [not_le] at hr
refine'
{ posPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_posPart_neg _ _ hr]
infer_instance
negPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_negPart_neg _ _ hr]
infer_instance }
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul_real MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul_real
/-- Given a signed measure `s` and a measure `μ`, `s.singularPart μ` is the signed measure
such that `s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s` and
`s.singularPart μ` is mutually singular with respect to `μ`. -/
def singularPart (s : SignedMeasure α) (μ : Measure α) : SignedMeasure α :=
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure -
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure
#align measure_theory.signed_measure.singular_part MeasureTheory.SignedMeasure.singularPart
section
theorem singularPart_mutuallySingular (s : SignedMeasure α) (μ : Measure α) :
s.toJordanDecomposition.posPart.singularPart μ ⟂ₘ
s.toJordanDecomposition.negPart.singularPart μ := by
by_cases hl : s.HaveLebesgueDecomposition μ
· obtain ⟨i, hi, hpos, hneg⟩ := s.toJordanDecomposition.mutuallySingular
rw [s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ] at hpos
rw [s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ] at hneg
rw [add_apply, add_eq_zero_iff] at hpos hneg
exact ⟨i, hi, hpos.1, hneg.1⟩
· rw [not_haveLebesgueDecomposition_iff] at hl
cases' hl with hp hn
· rw [Measure.singularPart, dif_neg hp]
exact MutuallySingular.zero_left
· rw [Measure.singularPart, Measure.singularPart, dif_neg hn]
exact MutuallySingular.zero_right
#align measure_theory.signed_measure.singular_part_mutually_singular MeasureTheory.SignedMeasure.singularPart_mutuallySingular
theorem singularPart_totalVariation (s : SignedMeasure α) (μ : Measure α) :
(s.singularPart μ).totalVariation =
s.toJordanDecomposition.posPart.singularPart μ +
s.toJordanDecomposition.negPart.singularPart μ := by
have :
(s.singularPart μ).toJordanDecomposition =
⟨s.toJordanDecomposition.posPart.singularPart μ,
s.toJordanDecomposition.negPart.singularPart μ, singularPart_mutuallySingular s μ⟩ := by
refine' JordanDecomposition.toSignedMeasure_injective _
rw [toSignedMeasure_toJordanDecomposition, singularPart, JordanDecomposition.toSignedMeasure]
· rw [totalVariation, this]
#align measure_theory.signed_measure.singular_part_total_variation MeasureTheory.SignedMeasure.singularPart_totalVariation
nonrec theorem mutuallySingular_singularPart (s : SignedMeasure α) (μ : Measure α) :
singularPart s μ ⟂ᵥ μ.toENNRealVectorMeasure := by
rw [mutuallySingular_ennreal_iff, singularPart_totalVariation,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure]
exact (mutuallySingular_singularPart _ _).add_left (mutuallySingular_singularPart _ _)
#align measure_theory.signed_measure.mutually_singular_singular_part MeasureTheory.SignedMeasure.mutuallySingular_singularPart
end
/-- The Radon-Nikodym derivative between a signed measure and a positive measure.
`rnDeriv s μ` satisfies `μ.withDensityᵥ (s.rnDeriv μ) = s`
if and only if `s` is absolutely continuous with respect to `μ` and this fact is known as
`MeasureTheory.SignedMeasure.absolutelyContinuous_iff_withDensity_rnDeriv_eq`
and can be found in `MeasureTheory.Decomposition.RadonNikodym`. -/
def rnDeriv (s : SignedMeasure α) (μ : Measure α) : α → ℝ := fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal
#align measure_theory.signed_measure.rn_deriv MeasureTheory.SignedMeasure.rnDeriv
-- Porting note: The generated equation theorem is the form of `rnDeriv s μ x`.
theorem rnDeriv_def (s : SignedMeasure α) (μ : Measure α) : rnDeriv s μ = fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal :=
rfl
attribute [eqns rnDeriv_def] rnDeriv
variable {s t : SignedMeasure α}
@[measurability]
theorem measurable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Measurable (rnDeriv s μ) := by
rw [rnDeriv]
measurability
#align measure_theory.signed_measure.measurable_rn_deriv MeasureTheory.SignedMeasure.measurable_rnDeriv
theorem integrable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Integrable (rnDeriv s μ) μ := by
refine' Integrable.sub _ _ <;>
· constructor
· apply Measurable.aestronglyMeasurable; measurability
exact hasFiniteIntegral_toReal_of_lintegral_ne_top (lintegral_rnDeriv_lt_top _ μ).ne
#align measure_theory.signed_measure.integrable_rn_deriv MeasureTheory.SignedMeasure.integrable_rnDeriv
variable (s μ)
/-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
first
| exact (lintegral_rnDeriv_lt_top _ _).ne
| measurability
#align measure_theory.signed_measure.singular_part_add_with_density_rn_deriv_eq MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq
variable {s μ}
theorem jordanDecomposition_add_withDensity_mutuallySingular {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) :
(t.toJordanDecomposition.posPart + μ.withDensity fun x : α => ENNReal.ofReal (f x)) ⟂ₘ
t.toJordanDecomposition.negPart + μ.withDensity fun x : α => ENNReal.ofReal (-f x) := by
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
exact
((JordanDecomposition.mutuallySingular _).add_right
(htμ.1.mono_ac (refl _) (withDensity_absolutelyContinuous _ _))).add_left
((htμ.2.symm.mono_ac (withDensity_absolutelyContinuous _ _) (refl _)).add_right
(withDensity_ofReal_mutuallySingular hf))
#align measure_theory.signed_measure.jordan_decomposition_add_with_density_mutually_singular MeasureTheory.SignedMeasure.jordanDecomposition_add_withDensity_mutuallySingular
theorem toJordanDecomposition_eq_of_eq_add_withDensity {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.toJordanDecomposition =
@JordanDecomposition.mk α _
(t.toJordanDecomposition.posPart + μ.withDensity fun x => ENNReal.ofReal (f x))
(t.toJordanDecomposition.negPart + μ.withDensity fun x => ENNReal.ofReal (-f x))
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.2; infer_instance)
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2; infer_instance)
(jordanDecomposition_add_withDensity_mutuallySingular hf htμ) := by
haveI := isFiniteMeasure_withDensity_ofReal hfi.2
haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2
refine' toJordanDecomposition_eq _
simp_rw [JordanDecomposition.toSignedMeasure, hadd]
ext i hi
rw [VectorMeasure.sub_apply, toSignedMeasure_apply_measurable hi,
toSignedMeasure_apply_measurable hi, add_apply, add_apply, ENNReal.toReal_add,
ENNReal.toReal_add, add_sub_add_comm, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi, ← VectorMeasure.sub_apply,
← JordanDecomposition.toSignedMeasure, toSignedMeasure_toJordanDecomposition,
VectorMeasure.add_apply, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi,
withDensityᵥ_eq_withDensity_pos_part_sub_withDensity_neg_part hfi,
VectorMeasure.sub_apply] <;>
| exact (measure_lt_top _ _).ne | theorem toJordanDecomposition_eq_of_eq_add_withDensity {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.toJordanDecomposition =
@JordanDecomposition.mk α _
(t.toJordanDecomposition.posPart + μ.withDensity fun x => ENNReal.ofReal (f x))
(t.toJordanDecomposition.negPart + μ.withDensity fun x => ENNReal.ofReal (-f x))
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.2; infer_instance)
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2; infer_instance)
(jordanDecomposition_add_withDensity_mutuallySingular hf htμ) := by
haveI := isFiniteMeasure_withDensity_ofReal hfi.2
haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2
refine' toJordanDecomposition_eq _
simp_rw [JordanDecomposition.toSignedMeasure, hadd]
ext i hi
rw [VectorMeasure.sub_apply, toSignedMeasure_apply_measurable hi,
toSignedMeasure_apply_measurable hi, add_apply, add_apply, ENNReal.toReal_add,
ENNReal.toReal_add, add_sub_add_comm, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi, ← VectorMeasure.sub_apply,
← JordanDecomposition.toSignedMeasure, toSignedMeasure_toJordanDecomposition,
VectorMeasure.add_apply, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi,
withDensityᵥ_eq_withDensity_pos_part_sub_withDensity_neg_part hfi,
VectorMeasure.sub_apply] <;>
| Mathlib.MeasureTheory.Decomposition.SignedLebesgue.248_0.HPGboz0rhL6sBes | theorem toJordanDecomposition_eq_of_eq_add_withDensity {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.toJordanDecomposition =
@JordanDecomposition.mk α _
(t.toJordanDecomposition.posPart + μ.withDensity fun x => ENNReal.ofReal (f x))
(t.toJordanDecomposition.negPart + μ.withDensity fun x => ENNReal.ofReal (-f x))
(by haveI | Mathlib_MeasureTheory_Decomposition_SignedLebesgue |
case h.ha
α : Type u_1
β : Type u_2
m : MeasurableSpace α
μ ν : Measure α
s t : SignedMeasure α
f : α → ℝ
hf : Measurable f
hfi : Integrable f
htμ : t ⟂ᵥ toENNRealVectorMeasure μ
hadd : s = t + withDensityᵥ μ f
this✝ : IsFiniteMeasure (withDensity μ fun x => ENNReal.ofReal (f x))
this : IsFiniteMeasure (withDensity μ fun x => ENNReal.ofReal ((-f) x))
i : Set α
hi : MeasurableSet i
⊢ ↑↑(toJordanDecomposition t).posPart i ≠ ⊤ | /-
Copyright (c) 2021 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.MeasureTheory.Decomposition.Lebesgue
import Mathlib.MeasureTheory.Measure.Complex
/-!
# Lebesgue decomposition
This file proves the Lebesgue decomposition theorem for signed measures. The Lebesgue decomposition
theorem states that, given two σ-finite measures `μ` and `ν`, there exists a σ-finite measure `ξ`
and a measurable function `f` such that `μ = ξ + fν` and `ξ` is mutually singular with respect
to `ν`.
## Main definitions
* `MeasureTheory.SignedMeasure.HaveLebesgueDecomposition` : A signed measure `s` and a
measure `μ` is said to `HaveLebesgueDecomposition` if both the positive part and negative
part of `s` `HaveLebesgueDecomposition` with respect to `μ`.
* `MeasureTheory.SignedMeasure.singularPart` : The singular part between a signed measure `s`
and a measure `μ` is simply the singular part of the positive part of `s` with respect to `μ`
minus the singular part of the negative part of `s` with respect to `μ`.
* `MeasureTheory.SignedMeasure.rnDeriv` : The Radon-Nikodym derivative of a signed
measure `s` with respect to a measure `μ` is the Radon-Nikodym derivative of the positive part of
`s` with respect to `μ` minus the Radon-Nikodym derivative of the negative part of `s` with
respect to `μ`.
## Main results
* `MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq` :
the Lebesgue decomposition theorem between a signed measure and a σ-finite positive measure.
## Tags
Lebesgue decomposition theorem
-/
noncomputable section
open scoped Classical MeasureTheory NNReal ENNReal
open Set
variable {α β : Type*} {m : MeasurableSpace α} {μ ν : MeasureTheory.Measure α}
namespace MeasureTheory
namespace SignedMeasure
open Measure
/-- A signed measure `s` is said to `HaveLebesgueDecomposition` with respect to a measure `μ`
if the positive part and the negative part of `s` both `HaveLebesgueDecomposition` with
respect to `μ`. -/
class HaveLebesgueDecomposition (s : SignedMeasure α) (μ : Measure α) : Prop where
posPart : s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ
negPart : s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ
#align measure_theory.signed_measure.have_lebesgue_decomposition MeasureTheory.SignedMeasure.HaveLebesgueDecomposition
#align measure_theory.signed_measure.have_lebesgue_decomposition.pos_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.posPart
#align measure_theory.signed_measure.have_lebesgue_decomposition.neg_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.negPart
attribute [instance] HaveLebesgueDecomposition.posPart
attribute [instance] HaveLebesgueDecomposition.negPart
theorem not_haveLebesgueDecomposition_iff (s : SignedMeasure α) (μ : Measure α) :
¬s.HaveLebesgueDecomposition μ ↔
¬s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ ∨
¬s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ :=
⟨fun h => not_or_of_imp fun hp hn => h ⟨hp, hn⟩, fun h hl => (not_and_or.2 h) ⟨hl.1, hl.2⟩⟩
#align measure_theory.signed_measure.not_have_lebesgue_decomposition_iff MeasureTheory.SignedMeasure.not_haveLebesgueDecomposition_iff
-- `infer_instance` directly does not work
-- see Note [lower instance priority]
instance (priority := 100) haveLebesgueDecomposition_of_sigmaFinite (s : SignedMeasure α)
(μ : Measure α) [SigmaFinite μ] : s.HaveLebesgueDecomposition μ where
posPart := inferInstance
negPart := inferInstance
#align measure_theory.signed_measure.have_lebesgue_decomposition_of_sigma_finite MeasureTheory.SignedMeasure.haveLebesgueDecomposition_of_sigmaFinite
instance haveLebesgueDecomposition_neg (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] : (-s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_neg MeasureTheory.SignedMeasure.haveLebesgueDecomposition_neg
instance haveLebesgueDecomposition_smul (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ≥0) : (r • s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul
instance haveLebesgueDecomposition_smul_real (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ) : (r • s).HaveLebesgueDecomposition μ := by
by_cases hr : 0 ≤ r
· lift r to ℝ≥0 using hr
exact s.haveLebesgueDecomposition_smul μ _
· rw [not_le] at hr
refine'
{ posPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_posPart_neg _ _ hr]
infer_instance
negPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_negPart_neg _ _ hr]
infer_instance }
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul_real MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul_real
/-- Given a signed measure `s` and a measure `μ`, `s.singularPart μ` is the signed measure
such that `s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s` and
`s.singularPart μ` is mutually singular with respect to `μ`. -/
def singularPart (s : SignedMeasure α) (μ : Measure α) : SignedMeasure α :=
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure -
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure
#align measure_theory.signed_measure.singular_part MeasureTheory.SignedMeasure.singularPart
section
theorem singularPart_mutuallySingular (s : SignedMeasure α) (μ : Measure α) :
s.toJordanDecomposition.posPart.singularPart μ ⟂ₘ
s.toJordanDecomposition.negPart.singularPart μ := by
by_cases hl : s.HaveLebesgueDecomposition μ
· obtain ⟨i, hi, hpos, hneg⟩ := s.toJordanDecomposition.mutuallySingular
rw [s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ] at hpos
rw [s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ] at hneg
rw [add_apply, add_eq_zero_iff] at hpos hneg
exact ⟨i, hi, hpos.1, hneg.1⟩
· rw [not_haveLebesgueDecomposition_iff] at hl
cases' hl with hp hn
· rw [Measure.singularPart, dif_neg hp]
exact MutuallySingular.zero_left
· rw [Measure.singularPart, Measure.singularPart, dif_neg hn]
exact MutuallySingular.zero_right
#align measure_theory.signed_measure.singular_part_mutually_singular MeasureTheory.SignedMeasure.singularPart_mutuallySingular
theorem singularPart_totalVariation (s : SignedMeasure α) (μ : Measure α) :
(s.singularPart μ).totalVariation =
s.toJordanDecomposition.posPart.singularPart μ +
s.toJordanDecomposition.negPart.singularPart μ := by
have :
(s.singularPart μ).toJordanDecomposition =
⟨s.toJordanDecomposition.posPart.singularPart μ,
s.toJordanDecomposition.negPart.singularPart μ, singularPart_mutuallySingular s μ⟩ := by
refine' JordanDecomposition.toSignedMeasure_injective _
rw [toSignedMeasure_toJordanDecomposition, singularPart, JordanDecomposition.toSignedMeasure]
· rw [totalVariation, this]
#align measure_theory.signed_measure.singular_part_total_variation MeasureTheory.SignedMeasure.singularPart_totalVariation
nonrec theorem mutuallySingular_singularPart (s : SignedMeasure α) (μ : Measure α) :
singularPart s μ ⟂ᵥ μ.toENNRealVectorMeasure := by
rw [mutuallySingular_ennreal_iff, singularPart_totalVariation,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure]
exact (mutuallySingular_singularPart _ _).add_left (mutuallySingular_singularPart _ _)
#align measure_theory.signed_measure.mutually_singular_singular_part MeasureTheory.SignedMeasure.mutuallySingular_singularPart
end
/-- The Radon-Nikodym derivative between a signed measure and a positive measure.
`rnDeriv s μ` satisfies `μ.withDensityᵥ (s.rnDeriv μ) = s`
if and only if `s` is absolutely continuous with respect to `μ` and this fact is known as
`MeasureTheory.SignedMeasure.absolutelyContinuous_iff_withDensity_rnDeriv_eq`
and can be found in `MeasureTheory.Decomposition.RadonNikodym`. -/
def rnDeriv (s : SignedMeasure α) (μ : Measure α) : α → ℝ := fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal
#align measure_theory.signed_measure.rn_deriv MeasureTheory.SignedMeasure.rnDeriv
-- Porting note: The generated equation theorem is the form of `rnDeriv s μ x`.
theorem rnDeriv_def (s : SignedMeasure α) (μ : Measure α) : rnDeriv s μ = fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal :=
rfl
attribute [eqns rnDeriv_def] rnDeriv
variable {s t : SignedMeasure α}
@[measurability]
theorem measurable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Measurable (rnDeriv s μ) := by
rw [rnDeriv]
measurability
#align measure_theory.signed_measure.measurable_rn_deriv MeasureTheory.SignedMeasure.measurable_rnDeriv
theorem integrable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Integrable (rnDeriv s μ) μ := by
refine' Integrable.sub _ _ <;>
· constructor
· apply Measurable.aestronglyMeasurable; measurability
exact hasFiniteIntegral_toReal_of_lintegral_ne_top (lintegral_rnDeriv_lt_top _ μ).ne
#align measure_theory.signed_measure.integrable_rn_deriv MeasureTheory.SignedMeasure.integrable_rnDeriv
variable (s μ)
/-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
first
| exact (lintegral_rnDeriv_lt_top _ _).ne
| measurability
#align measure_theory.signed_measure.singular_part_add_with_density_rn_deriv_eq MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq
variable {s μ}
theorem jordanDecomposition_add_withDensity_mutuallySingular {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) :
(t.toJordanDecomposition.posPart + μ.withDensity fun x : α => ENNReal.ofReal (f x)) ⟂ₘ
t.toJordanDecomposition.negPart + μ.withDensity fun x : α => ENNReal.ofReal (-f x) := by
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
exact
((JordanDecomposition.mutuallySingular _).add_right
(htμ.1.mono_ac (refl _) (withDensity_absolutelyContinuous _ _))).add_left
((htμ.2.symm.mono_ac (withDensity_absolutelyContinuous _ _) (refl _)).add_right
(withDensity_ofReal_mutuallySingular hf))
#align measure_theory.signed_measure.jordan_decomposition_add_with_density_mutually_singular MeasureTheory.SignedMeasure.jordanDecomposition_add_withDensity_mutuallySingular
theorem toJordanDecomposition_eq_of_eq_add_withDensity {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.toJordanDecomposition =
@JordanDecomposition.mk α _
(t.toJordanDecomposition.posPart + μ.withDensity fun x => ENNReal.ofReal (f x))
(t.toJordanDecomposition.negPart + μ.withDensity fun x => ENNReal.ofReal (-f x))
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.2; infer_instance)
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2; infer_instance)
(jordanDecomposition_add_withDensity_mutuallySingular hf htμ) := by
haveI := isFiniteMeasure_withDensity_ofReal hfi.2
haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2
refine' toJordanDecomposition_eq _
simp_rw [JordanDecomposition.toSignedMeasure, hadd]
ext i hi
rw [VectorMeasure.sub_apply, toSignedMeasure_apply_measurable hi,
toSignedMeasure_apply_measurable hi, add_apply, add_apply, ENNReal.toReal_add,
ENNReal.toReal_add, add_sub_add_comm, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi, ← VectorMeasure.sub_apply,
← JordanDecomposition.toSignedMeasure, toSignedMeasure_toJordanDecomposition,
VectorMeasure.add_apply, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi,
withDensityᵥ_eq_withDensity_pos_part_sub_withDensity_neg_part hfi,
VectorMeasure.sub_apply] <;>
| exact (measure_lt_top _ _).ne | theorem toJordanDecomposition_eq_of_eq_add_withDensity {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.toJordanDecomposition =
@JordanDecomposition.mk α _
(t.toJordanDecomposition.posPart + μ.withDensity fun x => ENNReal.ofReal (f x))
(t.toJordanDecomposition.negPart + μ.withDensity fun x => ENNReal.ofReal (-f x))
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.2; infer_instance)
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2; infer_instance)
(jordanDecomposition_add_withDensity_mutuallySingular hf htμ) := by
haveI := isFiniteMeasure_withDensity_ofReal hfi.2
haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2
refine' toJordanDecomposition_eq _
simp_rw [JordanDecomposition.toSignedMeasure, hadd]
ext i hi
rw [VectorMeasure.sub_apply, toSignedMeasure_apply_measurable hi,
toSignedMeasure_apply_measurable hi, add_apply, add_apply, ENNReal.toReal_add,
ENNReal.toReal_add, add_sub_add_comm, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi, ← VectorMeasure.sub_apply,
← JordanDecomposition.toSignedMeasure, toSignedMeasure_toJordanDecomposition,
VectorMeasure.add_apply, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi,
withDensityᵥ_eq_withDensity_pos_part_sub_withDensity_neg_part hfi,
VectorMeasure.sub_apply] <;>
| Mathlib.MeasureTheory.Decomposition.SignedLebesgue.248_0.HPGboz0rhL6sBes | theorem toJordanDecomposition_eq_of_eq_add_withDensity {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.toJordanDecomposition =
@JordanDecomposition.mk α _
(t.toJordanDecomposition.posPart + μ.withDensity fun x => ENNReal.ofReal (f x))
(t.toJordanDecomposition.negPart + μ.withDensity fun x => ENNReal.ofReal (-f x))
(by haveI | Mathlib_MeasureTheory_Decomposition_SignedLebesgue |
case h.hb
α : Type u_1
β : Type u_2
m : MeasurableSpace α
μ ν : Measure α
s t : SignedMeasure α
f : α → ℝ
hf : Measurable f
hfi : Integrable f
htμ : t ⟂ᵥ toENNRealVectorMeasure μ
hadd : s = t + withDensityᵥ μ f
this✝ : IsFiniteMeasure (withDensity μ fun x => ENNReal.ofReal (f x))
this : IsFiniteMeasure (withDensity μ fun x => ENNReal.ofReal ((-f) x))
i : Set α
hi : MeasurableSet i
⊢ ↑↑(withDensity μ fun x => ENNReal.ofReal (f x)) i ≠ ⊤ | /-
Copyright (c) 2021 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.MeasureTheory.Decomposition.Lebesgue
import Mathlib.MeasureTheory.Measure.Complex
/-!
# Lebesgue decomposition
This file proves the Lebesgue decomposition theorem for signed measures. The Lebesgue decomposition
theorem states that, given two σ-finite measures `μ` and `ν`, there exists a σ-finite measure `ξ`
and a measurable function `f` such that `μ = ξ + fν` and `ξ` is mutually singular with respect
to `ν`.
## Main definitions
* `MeasureTheory.SignedMeasure.HaveLebesgueDecomposition` : A signed measure `s` and a
measure `μ` is said to `HaveLebesgueDecomposition` if both the positive part and negative
part of `s` `HaveLebesgueDecomposition` with respect to `μ`.
* `MeasureTheory.SignedMeasure.singularPart` : The singular part between a signed measure `s`
and a measure `μ` is simply the singular part of the positive part of `s` with respect to `μ`
minus the singular part of the negative part of `s` with respect to `μ`.
* `MeasureTheory.SignedMeasure.rnDeriv` : The Radon-Nikodym derivative of a signed
measure `s` with respect to a measure `μ` is the Radon-Nikodym derivative of the positive part of
`s` with respect to `μ` minus the Radon-Nikodym derivative of the negative part of `s` with
respect to `μ`.
## Main results
* `MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq` :
the Lebesgue decomposition theorem between a signed measure and a σ-finite positive measure.
## Tags
Lebesgue decomposition theorem
-/
noncomputable section
open scoped Classical MeasureTheory NNReal ENNReal
open Set
variable {α β : Type*} {m : MeasurableSpace α} {μ ν : MeasureTheory.Measure α}
namespace MeasureTheory
namespace SignedMeasure
open Measure
/-- A signed measure `s` is said to `HaveLebesgueDecomposition` with respect to a measure `μ`
if the positive part and the negative part of `s` both `HaveLebesgueDecomposition` with
respect to `μ`. -/
class HaveLebesgueDecomposition (s : SignedMeasure α) (μ : Measure α) : Prop where
posPart : s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ
negPart : s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ
#align measure_theory.signed_measure.have_lebesgue_decomposition MeasureTheory.SignedMeasure.HaveLebesgueDecomposition
#align measure_theory.signed_measure.have_lebesgue_decomposition.pos_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.posPart
#align measure_theory.signed_measure.have_lebesgue_decomposition.neg_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.negPart
attribute [instance] HaveLebesgueDecomposition.posPart
attribute [instance] HaveLebesgueDecomposition.negPart
theorem not_haveLebesgueDecomposition_iff (s : SignedMeasure α) (μ : Measure α) :
¬s.HaveLebesgueDecomposition μ ↔
¬s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ ∨
¬s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ :=
⟨fun h => not_or_of_imp fun hp hn => h ⟨hp, hn⟩, fun h hl => (not_and_or.2 h) ⟨hl.1, hl.2⟩⟩
#align measure_theory.signed_measure.not_have_lebesgue_decomposition_iff MeasureTheory.SignedMeasure.not_haveLebesgueDecomposition_iff
-- `infer_instance` directly does not work
-- see Note [lower instance priority]
instance (priority := 100) haveLebesgueDecomposition_of_sigmaFinite (s : SignedMeasure α)
(μ : Measure α) [SigmaFinite μ] : s.HaveLebesgueDecomposition μ where
posPart := inferInstance
negPart := inferInstance
#align measure_theory.signed_measure.have_lebesgue_decomposition_of_sigma_finite MeasureTheory.SignedMeasure.haveLebesgueDecomposition_of_sigmaFinite
instance haveLebesgueDecomposition_neg (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] : (-s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_neg MeasureTheory.SignedMeasure.haveLebesgueDecomposition_neg
instance haveLebesgueDecomposition_smul (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ≥0) : (r • s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul
instance haveLebesgueDecomposition_smul_real (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ) : (r • s).HaveLebesgueDecomposition μ := by
by_cases hr : 0 ≤ r
· lift r to ℝ≥0 using hr
exact s.haveLebesgueDecomposition_smul μ _
· rw [not_le] at hr
refine'
{ posPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_posPart_neg _ _ hr]
infer_instance
negPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_negPart_neg _ _ hr]
infer_instance }
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul_real MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul_real
/-- Given a signed measure `s` and a measure `μ`, `s.singularPart μ` is the signed measure
such that `s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s` and
`s.singularPart μ` is mutually singular with respect to `μ`. -/
def singularPart (s : SignedMeasure α) (μ : Measure α) : SignedMeasure α :=
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure -
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure
#align measure_theory.signed_measure.singular_part MeasureTheory.SignedMeasure.singularPart
section
theorem singularPart_mutuallySingular (s : SignedMeasure α) (μ : Measure α) :
s.toJordanDecomposition.posPart.singularPart μ ⟂ₘ
s.toJordanDecomposition.negPart.singularPart μ := by
by_cases hl : s.HaveLebesgueDecomposition μ
· obtain ⟨i, hi, hpos, hneg⟩ := s.toJordanDecomposition.mutuallySingular
rw [s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ] at hpos
rw [s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ] at hneg
rw [add_apply, add_eq_zero_iff] at hpos hneg
exact ⟨i, hi, hpos.1, hneg.1⟩
· rw [not_haveLebesgueDecomposition_iff] at hl
cases' hl with hp hn
· rw [Measure.singularPart, dif_neg hp]
exact MutuallySingular.zero_left
· rw [Measure.singularPart, Measure.singularPart, dif_neg hn]
exact MutuallySingular.zero_right
#align measure_theory.signed_measure.singular_part_mutually_singular MeasureTheory.SignedMeasure.singularPart_mutuallySingular
theorem singularPart_totalVariation (s : SignedMeasure α) (μ : Measure α) :
(s.singularPart μ).totalVariation =
s.toJordanDecomposition.posPart.singularPart μ +
s.toJordanDecomposition.negPart.singularPart μ := by
have :
(s.singularPart μ).toJordanDecomposition =
⟨s.toJordanDecomposition.posPart.singularPart μ,
s.toJordanDecomposition.negPart.singularPart μ, singularPart_mutuallySingular s μ⟩ := by
refine' JordanDecomposition.toSignedMeasure_injective _
rw [toSignedMeasure_toJordanDecomposition, singularPart, JordanDecomposition.toSignedMeasure]
· rw [totalVariation, this]
#align measure_theory.signed_measure.singular_part_total_variation MeasureTheory.SignedMeasure.singularPart_totalVariation
nonrec theorem mutuallySingular_singularPart (s : SignedMeasure α) (μ : Measure α) :
singularPart s μ ⟂ᵥ μ.toENNRealVectorMeasure := by
rw [mutuallySingular_ennreal_iff, singularPart_totalVariation,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure]
exact (mutuallySingular_singularPart _ _).add_left (mutuallySingular_singularPart _ _)
#align measure_theory.signed_measure.mutually_singular_singular_part MeasureTheory.SignedMeasure.mutuallySingular_singularPart
end
/-- The Radon-Nikodym derivative between a signed measure and a positive measure.
`rnDeriv s μ` satisfies `μ.withDensityᵥ (s.rnDeriv μ) = s`
if and only if `s` is absolutely continuous with respect to `μ` and this fact is known as
`MeasureTheory.SignedMeasure.absolutelyContinuous_iff_withDensity_rnDeriv_eq`
and can be found in `MeasureTheory.Decomposition.RadonNikodym`. -/
def rnDeriv (s : SignedMeasure α) (μ : Measure α) : α → ℝ := fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal
#align measure_theory.signed_measure.rn_deriv MeasureTheory.SignedMeasure.rnDeriv
-- Porting note: The generated equation theorem is the form of `rnDeriv s μ x`.
theorem rnDeriv_def (s : SignedMeasure α) (μ : Measure α) : rnDeriv s μ = fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal :=
rfl
attribute [eqns rnDeriv_def] rnDeriv
variable {s t : SignedMeasure α}
@[measurability]
theorem measurable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Measurable (rnDeriv s μ) := by
rw [rnDeriv]
measurability
#align measure_theory.signed_measure.measurable_rn_deriv MeasureTheory.SignedMeasure.measurable_rnDeriv
theorem integrable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Integrable (rnDeriv s μ) μ := by
refine' Integrable.sub _ _ <;>
· constructor
· apply Measurable.aestronglyMeasurable; measurability
exact hasFiniteIntegral_toReal_of_lintegral_ne_top (lintegral_rnDeriv_lt_top _ μ).ne
#align measure_theory.signed_measure.integrable_rn_deriv MeasureTheory.SignedMeasure.integrable_rnDeriv
variable (s μ)
/-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
first
| exact (lintegral_rnDeriv_lt_top _ _).ne
| measurability
#align measure_theory.signed_measure.singular_part_add_with_density_rn_deriv_eq MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq
variable {s μ}
theorem jordanDecomposition_add_withDensity_mutuallySingular {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) :
(t.toJordanDecomposition.posPart + μ.withDensity fun x : α => ENNReal.ofReal (f x)) ⟂ₘ
t.toJordanDecomposition.negPart + μ.withDensity fun x : α => ENNReal.ofReal (-f x) := by
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
exact
((JordanDecomposition.mutuallySingular _).add_right
(htμ.1.mono_ac (refl _) (withDensity_absolutelyContinuous _ _))).add_left
((htμ.2.symm.mono_ac (withDensity_absolutelyContinuous _ _) (refl _)).add_right
(withDensity_ofReal_mutuallySingular hf))
#align measure_theory.signed_measure.jordan_decomposition_add_with_density_mutually_singular MeasureTheory.SignedMeasure.jordanDecomposition_add_withDensity_mutuallySingular
theorem toJordanDecomposition_eq_of_eq_add_withDensity {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.toJordanDecomposition =
@JordanDecomposition.mk α _
(t.toJordanDecomposition.posPart + μ.withDensity fun x => ENNReal.ofReal (f x))
(t.toJordanDecomposition.negPart + μ.withDensity fun x => ENNReal.ofReal (-f x))
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.2; infer_instance)
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2; infer_instance)
(jordanDecomposition_add_withDensity_mutuallySingular hf htμ) := by
haveI := isFiniteMeasure_withDensity_ofReal hfi.2
haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2
refine' toJordanDecomposition_eq _
simp_rw [JordanDecomposition.toSignedMeasure, hadd]
ext i hi
rw [VectorMeasure.sub_apply, toSignedMeasure_apply_measurable hi,
toSignedMeasure_apply_measurable hi, add_apply, add_apply, ENNReal.toReal_add,
ENNReal.toReal_add, add_sub_add_comm, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi, ← VectorMeasure.sub_apply,
← JordanDecomposition.toSignedMeasure, toSignedMeasure_toJordanDecomposition,
VectorMeasure.add_apply, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi,
withDensityᵥ_eq_withDensity_pos_part_sub_withDensity_neg_part hfi,
VectorMeasure.sub_apply] <;>
| exact (measure_lt_top _ _).ne | theorem toJordanDecomposition_eq_of_eq_add_withDensity {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.toJordanDecomposition =
@JordanDecomposition.mk α _
(t.toJordanDecomposition.posPart + μ.withDensity fun x => ENNReal.ofReal (f x))
(t.toJordanDecomposition.negPart + μ.withDensity fun x => ENNReal.ofReal (-f x))
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.2; infer_instance)
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2; infer_instance)
(jordanDecomposition_add_withDensity_mutuallySingular hf htμ) := by
haveI := isFiniteMeasure_withDensity_ofReal hfi.2
haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2
refine' toJordanDecomposition_eq _
simp_rw [JordanDecomposition.toSignedMeasure, hadd]
ext i hi
rw [VectorMeasure.sub_apply, toSignedMeasure_apply_measurable hi,
toSignedMeasure_apply_measurable hi, add_apply, add_apply, ENNReal.toReal_add,
ENNReal.toReal_add, add_sub_add_comm, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi, ← VectorMeasure.sub_apply,
← JordanDecomposition.toSignedMeasure, toSignedMeasure_toJordanDecomposition,
VectorMeasure.add_apply, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi,
withDensityᵥ_eq_withDensity_pos_part_sub_withDensity_neg_part hfi,
VectorMeasure.sub_apply] <;>
| Mathlib.MeasureTheory.Decomposition.SignedLebesgue.248_0.HPGboz0rhL6sBes | theorem toJordanDecomposition_eq_of_eq_add_withDensity {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.toJordanDecomposition =
@JordanDecomposition.mk α _
(t.toJordanDecomposition.posPart + μ.withDensity fun x => ENNReal.ofReal (f x))
(t.toJordanDecomposition.negPart + μ.withDensity fun x => ENNReal.ofReal (-f x))
(by haveI | Mathlib_MeasureTheory_Decomposition_SignedLebesgue |
α : Type u_1
β : Type u_2
m : MeasurableSpace α
μ✝ ν : Measure α
s t : SignedMeasure α
μ : Measure α
f : α → ℝ
hf : Measurable f
hfi : Integrable f
htμ : t ⟂ᵥ toENNRealVectorMeasure μ
hadd : s = t + withDensityᵥ μ f
⊢ HaveLebesgueDecomposition s μ | /-
Copyright (c) 2021 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.MeasureTheory.Decomposition.Lebesgue
import Mathlib.MeasureTheory.Measure.Complex
/-!
# Lebesgue decomposition
This file proves the Lebesgue decomposition theorem for signed measures. The Lebesgue decomposition
theorem states that, given two σ-finite measures `μ` and `ν`, there exists a σ-finite measure `ξ`
and a measurable function `f` such that `μ = ξ + fν` and `ξ` is mutually singular with respect
to `ν`.
## Main definitions
* `MeasureTheory.SignedMeasure.HaveLebesgueDecomposition` : A signed measure `s` and a
measure `μ` is said to `HaveLebesgueDecomposition` if both the positive part and negative
part of `s` `HaveLebesgueDecomposition` with respect to `μ`.
* `MeasureTheory.SignedMeasure.singularPart` : The singular part between a signed measure `s`
and a measure `μ` is simply the singular part of the positive part of `s` with respect to `μ`
minus the singular part of the negative part of `s` with respect to `μ`.
* `MeasureTheory.SignedMeasure.rnDeriv` : The Radon-Nikodym derivative of a signed
measure `s` with respect to a measure `μ` is the Radon-Nikodym derivative of the positive part of
`s` with respect to `μ` minus the Radon-Nikodym derivative of the negative part of `s` with
respect to `μ`.
## Main results
* `MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq` :
the Lebesgue decomposition theorem between a signed measure and a σ-finite positive measure.
## Tags
Lebesgue decomposition theorem
-/
noncomputable section
open scoped Classical MeasureTheory NNReal ENNReal
open Set
variable {α β : Type*} {m : MeasurableSpace α} {μ ν : MeasureTheory.Measure α}
namespace MeasureTheory
namespace SignedMeasure
open Measure
/-- A signed measure `s` is said to `HaveLebesgueDecomposition` with respect to a measure `μ`
if the positive part and the negative part of `s` both `HaveLebesgueDecomposition` with
respect to `μ`. -/
class HaveLebesgueDecomposition (s : SignedMeasure α) (μ : Measure α) : Prop where
posPart : s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ
negPart : s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ
#align measure_theory.signed_measure.have_lebesgue_decomposition MeasureTheory.SignedMeasure.HaveLebesgueDecomposition
#align measure_theory.signed_measure.have_lebesgue_decomposition.pos_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.posPart
#align measure_theory.signed_measure.have_lebesgue_decomposition.neg_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.negPart
attribute [instance] HaveLebesgueDecomposition.posPart
attribute [instance] HaveLebesgueDecomposition.negPart
theorem not_haveLebesgueDecomposition_iff (s : SignedMeasure α) (μ : Measure α) :
¬s.HaveLebesgueDecomposition μ ↔
¬s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ ∨
¬s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ :=
⟨fun h => not_or_of_imp fun hp hn => h ⟨hp, hn⟩, fun h hl => (not_and_or.2 h) ⟨hl.1, hl.2⟩⟩
#align measure_theory.signed_measure.not_have_lebesgue_decomposition_iff MeasureTheory.SignedMeasure.not_haveLebesgueDecomposition_iff
-- `infer_instance` directly does not work
-- see Note [lower instance priority]
instance (priority := 100) haveLebesgueDecomposition_of_sigmaFinite (s : SignedMeasure α)
(μ : Measure α) [SigmaFinite μ] : s.HaveLebesgueDecomposition μ where
posPart := inferInstance
negPart := inferInstance
#align measure_theory.signed_measure.have_lebesgue_decomposition_of_sigma_finite MeasureTheory.SignedMeasure.haveLebesgueDecomposition_of_sigmaFinite
instance haveLebesgueDecomposition_neg (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] : (-s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_neg MeasureTheory.SignedMeasure.haveLebesgueDecomposition_neg
instance haveLebesgueDecomposition_smul (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ≥0) : (r • s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul
instance haveLebesgueDecomposition_smul_real (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ) : (r • s).HaveLebesgueDecomposition μ := by
by_cases hr : 0 ≤ r
· lift r to ℝ≥0 using hr
exact s.haveLebesgueDecomposition_smul μ _
· rw [not_le] at hr
refine'
{ posPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_posPart_neg _ _ hr]
infer_instance
negPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_negPart_neg _ _ hr]
infer_instance }
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul_real MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul_real
/-- Given a signed measure `s` and a measure `μ`, `s.singularPart μ` is the signed measure
such that `s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s` and
`s.singularPart μ` is mutually singular with respect to `μ`. -/
def singularPart (s : SignedMeasure α) (μ : Measure α) : SignedMeasure α :=
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure -
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure
#align measure_theory.signed_measure.singular_part MeasureTheory.SignedMeasure.singularPart
section
theorem singularPart_mutuallySingular (s : SignedMeasure α) (μ : Measure α) :
s.toJordanDecomposition.posPart.singularPart μ ⟂ₘ
s.toJordanDecomposition.negPart.singularPart μ := by
by_cases hl : s.HaveLebesgueDecomposition μ
· obtain ⟨i, hi, hpos, hneg⟩ := s.toJordanDecomposition.mutuallySingular
rw [s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ] at hpos
rw [s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ] at hneg
rw [add_apply, add_eq_zero_iff] at hpos hneg
exact ⟨i, hi, hpos.1, hneg.1⟩
· rw [not_haveLebesgueDecomposition_iff] at hl
cases' hl with hp hn
· rw [Measure.singularPart, dif_neg hp]
exact MutuallySingular.zero_left
· rw [Measure.singularPart, Measure.singularPart, dif_neg hn]
exact MutuallySingular.zero_right
#align measure_theory.signed_measure.singular_part_mutually_singular MeasureTheory.SignedMeasure.singularPart_mutuallySingular
theorem singularPart_totalVariation (s : SignedMeasure α) (μ : Measure α) :
(s.singularPart μ).totalVariation =
s.toJordanDecomposition.posPart.singularPart μ +
s.toJordanDecomposition.negPart.singularPart μ := by
have :
(s.singularPart μ).toJordanDecomposition =
⟨s.toJordanDecomposition.posPart.singularPart μ,
s.toJordanDecomposition.negPart.singularPart μ, singularPart_mutuallySingular s μ⟩ := by
refine' JordanDecomposition.toSignedMeasure_injective _
rw [toSignedMeasure_toJordanDecomposition, singularPart, JordanDecomposition.toSignedMeasure]
· rw [totalVariation, this]
#align measure_theory.signed_measure.singular_part_total_variation MeasureTheory.SignedMeasure.singularPart_totalVariation
nonrec theorem mutuallySingular_singularPart (s : SignedMeasure α) (μ : Measure α) :
singularPart s μ ⟂ᵥ μ.toENNRealVectorMeasure := by
rw [mutuallySingular_ennreal_iff, singularPart_totalVariation,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure]
exact (mutuallySingular_singularPart _ _).add_left (mutuallySingular_singularPart _ _)
#align measure_theory.signed_measure.mutually_singular_singular_part MeasureTheory.SignedMeasure.mutuallySingular_singularPart
end
/-- The Radon-Nikodym derivative between a signed measure and a positive measure.
`rnDeriv s μ` satisfies `μ.withDensityᵥ (s.rnDeriv μ) = s`
if and only if `s` is absolutely continuous with respect to `μ` and this fact is known as
`MeasureTheory.SignedMeasure.absolutelyContinuous_iff_withDensity_rnDeriv_eq`
and can be found in `MeasureTheory.Decomposition.RadonNikodym`. -/
def rnDeriv (s : SignedMeasure α) (μ : Measure α) : α → ℝ := fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal
#align measure_theory.signed_measure.rn_deriv MeasureTheory.SignedMeasure.rnDeriv
-- Porting note: The generated equation theorem is the form of `rnDeriv s μ x`.
theorem rnDeriv_def (s : SignedMeasure α) (μ : Measure α) : rnDeriv s μ = fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal :=
rfl
attribute [eqns rnDeriv_def] rnDeriv
variable {s t : SignedMeasure α}
@[measurability]
theorem measurable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Measurable (rnDeriv s μ) := by
rw [rnDeriv]
measurability
#align measure_theory.signed_measure.measurable_rn_deriv MeasureTheory.SignedMeasure.measurable_rnDeriv
theorem integrable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Integrable (rnDeriv s μ) μ := by
refine' Integrable.sub _ _ <;>
· constructor
· apply Measurable.aestronglyMeasurable; measurability
exact hasFiniteIntegral_toReal_of_lintegral_ne_top (lintegral_rnDeriv_lt_top _ μ).ne
#align measure_theory.signed_measure.integrable_rn_deriv MeasureTheory.SignedMeasure.integrable_rnDeriv
variable (s μ)
/-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
first
| exact (lintegral_rnDeriv_lt_top _ _).ne
| measurability
#align measure_theory.signed_measure.singular_part_add_with_density_rn_deriv_eq MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq
variable {s μ}
theorem jordanDecomposition_add_withDensity_mutuallySingular {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) :
(t.toJordanDecomposition.posPart + μ.withDensity fun x : α => ENNReal.ofReal (f x)) ⟂ₘ
t.toJordanDecomposition.negPart + μ.withDensity fun x : α => ENNReal.ofReal (-f x) := by
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
exact
((JordanDecomposition.mutuallySingular _).add_right
(htμ.1.mono_ac (refl _) (withDensity_absolutelyContinuous _ _))).add_left
((htμ.2.symm.mono_ac (withDensity_absolutelyContinuous _ _) (refl _)).add_right
(withDensity_ofReal_mutuallySingular hf))
#align measure_theory.signed_measure.jordan_decomposition_add_with_density_mutually_singular MeasureTheory.SignedMeasure.jordanDecomposition_add_withDensity_mutuallySingular
theorem toJordanDecomposition_eq_of_eq_add_withDensity {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.toJordanDecomposition =
@JordanDecomposition.mk α _
(t.toJordanDecomposition.posPart + μ.withDensity fun x => ENNReal.ofReal (f x))
(t.toJordanDecomposition.negPart + μ.withDensity fun x => ENNReal.ofReal (-f x))
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.2; infer_instance)
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2; infer_instance)
(jordanDecomposition_add_withDensity_mutuallySingular hf htμ) := by
haveI := isFiniteMeasure_withDensity_ofReal hfi.2
haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2
refine' toJordanDecomposition_eq _
simp_rw [JordanDecomposition.toSignedMeasure, hadd]
ext i hi
rw [VectorMeasure.sub_apply, toSignedMeasure_apply_measurable hi,
toSignedMeasure_apply_measurable hi, add_apply, add_apply, ENNReal.toReal_add,
ENNReal.toReal_add, add_sub_add_comm, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi, ← VectorMeasure.sub_apply,
← JordanDecomposition.toSignedMeasure, toSignedMeasure_toJordanDecomposition,
VectorMeasure.add_apply, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi,
withDensityᵥ_eq_withDensity_pos_part_sub_withDensity_neg_part hfi,
VectorMeasure.sub_apply] <;>
exact (measure_lt_top _ _).ne
#align measure_theory.signed_measure.to_jordan_decomposition_eq_of_eq_add_with_density MeasureTheory.SignedMeasure.toJordanDecomposition_eq_of_eq_add_withDensity
private theorem haveLebesgueDecomposition_mk' (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
| have htμ' := htμ | private theorem haveLebesgueDecomposition_mk' (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
| Mathlib.MeasureTheory.Decomposition.SignedLebesgue.274_0.HPGboz0rhL6sBes | private theorem haveLebesgueDecomposition_mk' (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ | Mathlib_MeasureTheory_Decomposition_SignedLebesgue |
α : Type u_1
β : Type u_2
m : MeasurableSpace α
μ✝ ν : Measure α
s t : SignedMeasure α
μ : Measure α
f : α → ℝ
hf : Measurable f
hfi : Integrable f
htμ : t ⟂ᵥ toENNRealVectorMeasure μ
hadd : s = t + withDensityᵥ μ f
htμ' : t ⟂ᵥ toENNRealVectorMeasure μ
⊢ HaveLebesgueDecomposition s μ | /-
Copyright (c) 2021 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.MeasureTheory.Decomposition.Lebesgue
import Mathlib.MeasureTheory.Measure.Complex
/-!
# Lebesgue decomposition
This file proves the Lebesgue decomposition theorem for signed measures. The Lebesgue decomposition
theorem states that, given two σ-finite measures `μ` and `ν`, there exists a σ-finite measure `ξ`
and a measurable function `f` such that `μ = ξ + fν` and `ξ` is mutually singular with respect
to `ν`.
## Main definitions
* `MeasureTheory.SignedMeasure.HaveLebesgueDecomposition` : A signed measure `s` and a
measure `μ` is said to `HaveLebesgueDecomposition` if both the positive part and negative
part of `s` `HaveLebesgueDecomposition` with respect to `μ`.
* `MeasureTheory.SignedMeasure.singularPart` : The singular part between a signed measure `s`
and a measure `μ` is simply the singular part of the positive part of `s` with respect to `μ`
minus the singular part of the negative part of `s` with respect to `μ`.
* `MeasureTheory.SignedMeasure.rnDeriv` : The Radon-Nikodym derivative of a signed
measure `s` with respect to a measure `μ` is the Radon-Nikodym derivative of the positive part of
`s` with respect to `μ` minus the Radon-Nikodym derivative of the negative part of `s` with
respect to `μ`.
## Main results
* `MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq` :
the Lebesgue decomposition theorem between a signed measure and a σ-finite positive measure.
## Tags
Lebesgue decomposition theorem
-/
noncomputable section
open scoped Classical MeasureTheory NNReal ENNReal
open Set
variable {α β : Type*} {m : MeasurableSpace α} {μ ν : MeasureTheory.Measure α}
namespace MeasureTheory
namespace SignedMeasure
open Measure
/-- A signed measure `s` is said to `HaveLebesgueDecomposition` with respect to a measure `μ`
if the positive part and the negative part of `s` both `HaveLebesgueDecomposition` with
respect to `μ`. -/
class HaveLebesgueDecomposition (s : SignedMeasure α) (μ : Measure α) : Prop where
posPart : s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ
negPart : s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ
#align measure_theory.signed_measure.have_lebesgue_decomposition MeasureTheory.SignedMeasure.HaveLebesgueDecomposition
#align measure_theory.signed_measure.have_lebesgue_decomposition.pos_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.posPart
#align measure_theory.signed_measure.have_lebesgue_decomposition.neg_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.negPart
attribute [instance] HaveLebesgueDecomposition.posPart
attribute [instance] HaveLebesgueDecomposition.negPart
theorem not_haveLebesgueDecomposition_iff (s : SignedMeasure α) (μ : Measure α) :
¬s.HaveLebesgueDecomposition μ ↔
¬s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ ∨
¬s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ :=
⟨fun h => not_or_of_imp fun hp hn => h ⟨hp, hn⟩, fun h hl => (not_and_or.2 h) ⟨hl.1, hl.2⟩⟩
#align measure_theory.signed_measure.not_have_lebesgue_decomposition_iff MeasureTheory.SignedMeasure.not_haveLebesgueDecomposition_iff
-- `infer_instance` directly does not work
-- see Note [lower instance priority]
instance (priority := 100) haveLebesgueDecomposition_of_sigmaFinite (s : SignedMeasure α)
(μ : Measure α) [SigmaFinite μ] : s.HaveLebesgueDecomposition μ where
posPart := inferInstance
negPart := inferInstance
#align measure_theory.signed_measure.have_lebesgue_decomposition_of_sigma_finite MeasureTheory.SignedMeasure.haveLebesgueDecomposition_of_sigmaFinite
instance haveLebesgueDecomposition_neg (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] : (-s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_neg MeasureTheory.SignedMeasure.haveLebesgueDecomposition_neg
instance haveLebesgueDecomposition_smul (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ≥0) : (r • s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul
instance haveLebesgueDecomposition_smul_real (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ) : (r • s).HaveLebesgueDecomposition μ := by
by_cases hr : 0 ≤ r
· lift r to ℝ≥0 using hr
exact s.haveLebesgueDecomposition_smul μ _
· rw [not_le] at hr
refine'
{ posPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_posPart_neg _ _ hr]
infer_instance
negPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_negPart_neg _ _ hr]
infer_instance }
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul_real MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul_real
/-- Given a signed measure `s` and a measure `μ`, `s.singularPart μ` is the signed measure
such that `s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s` and
`s.singularPart μ` is mutually singular with respect to `μ`. -/
def singularPart (s : SignedMeasure α) (μ : Measure α) : SignedMeasure α :=
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure -
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure
#align measure_theory.signed_measure.singular_part MeasureTheory.SignedMeasure.singularPart
section
theorem singularPart_mutuallySingular (s : SignedMeasure α) (μ : Measure α) :
s.toJordanDecomposition.posPart.singularPart μ ⟂ₘ
s.toJordanDecomposition.negPart.singularPart μ := by
by_cases hl : s.HaveLebesgueDecomposition μ
· obtain ⟨i, hi, hpos, hneg⟩ := s.toJordanDecomposition.mutuallySingular
rw [s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ] at hpos
rw [s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ] at hneg
rw [add_apply, add_eq_zero_iff] at hpos hneg
exact ⟨i, hi, hpos.1, hneg.1⟩
· rw [not_haveLebesgueDecomposition_iff] at hl
cases' hl with hp hn
· rw [Measure.singularPart, dif_neg hp]
exact MutuallySingular.zero_left
· rw [Measure.singularPart, Measure.singularPart, dif_neg hn]
exact MutuallySingular.zero_right
#align measure_theory.signed_measure.singular_part_mutually_singular MeasureTheory.SignedMeasure.singularPart_mutuallySingular
theorem singularPart_totalVariation (s : SignedMeasure α) (μ : Measure α) :
(s.singularPart μ).totalVariation =
s.toJordanDecomposition.posPart.singularPart μ +
s.toJordanDecomposition.negPart.singularPart μ := by
have :
(s.singularPart μ).toJordanDecomposition =
⟨s.toJordanDecomposition.posPart.singularPart μ,
s.toJordanDecomposition.negPart.singularPart μ, singularPart_mutuallySingular s μ⟩ := by
refine' JordanDecomposition.toSignedMeasure_injective _
rw [toSignedMeasure_toJordanDecomposition, singularPart, JordanDecomposition.toSignedMeasure]
· rw [totalVariation, this]
#align measure_theory.signed_measure.singular_part_total_variation MeasureTheory.SignedMeasure.singularPart_totalVariation
nonrec theorem mutuallySingular_singularPart (s : SignedMeasure α) (μ : Measure α) :
singularPart s μ ⟂ᵥ μ.toENNRealVectorMeasure := by
rw [mutuallySingular_ennreal_iff, singularPart_totalVariation,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure]
exact (mutuallySingular_singularPart _ _).add_left (mutuallySingular_singularPart _ _)
#align measure_theory.signed_measure.mutually_singular_singular_part MeasureTheory.SignedMeasure.mutuallySingular_singularPart
end
/-- The Radon-Nikodym derivative between a signed measure and a positive measure.
`rnDeriv s μ` satisfies `μ.withDensityᵥ (s.rnDeriv μ) = s`
if and only if `s` is absolutely continuous with respect to `μ` and this fact is known as
`MeasureTheory.SignedMeasure.absolutelyContinuous_iff_withDensity_rnDeriv_eq`
and can be found in `MeasureTheory.Decomposition.RadonNikodym`. -/
def rnDeriv (s : SignedMeasure α) (μ : Measure α) : α → ℝ := fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal
#align measure_theory.signed_measure.rn_deriv MeasureTheory.SignedMeasure.rnDeriv
-- Porting note: The generated equation theorem is the form of `rnDeriv s μ x`.
theorem rnDeriv_def (s : SignedMeasure α) (μ : Measure α) : rnDeriv s μ = fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal :=
rfl
attribute [eqns rnDeriv_def] rnDeriv
variable {s t : SignedMeasure α}
@[measurability]
theorem measurable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Measurable (rnDeriv s μ) := by
rw [rnDeriv]
measurability
#align measure_theory.signed_measure.measurable_rn_deriv MeasureTheory.SignedMeasure.measurable_rnDeriv
theorem integrable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Integrable (rnDeriv s μ) μ := by
refine' Integrable.sub _ _ <;>
· constructor
· apply Measurable.aestronglyMeasurable; measurability
exact hasFiniteIntegral_toReal_of_lintegral_ne_top (lintegral_rnDeriv_lt_top _ μ).ne
#align measure_theory.signed_measure.integrable_rn_deriv MeasureTheory.SignedMeasure.integrable_rnDeriv
variable (s μ)
/-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
first
| exact (lintegral_rnDeriv_lt_top _ _).ne
| measurability
#align measure_theory.signed_measure.singular_part_add_with_density_rn_deriv_eq MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq
variable {s μ}
theorem jordanDecomposition_add_withDensity_mutuallySingular {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) :
(t.toJordanDecomposition.posPart + μ.withDensity fun x : α => ENNReal.ofReal (f x)) ⟂ₘ
t.toJordanDecomposition.negPart + μ.withDensity fun x : α => ENNReal.ofReal (-f x) := by
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
exact
((JordanDecomposition.mutuallySingular _).add_right
(htμ.1.mono_ac (refl _) (withDensity_absolutelyContinuous _ _))).add_left
((htμ.2.symm.mono_ac (withDensity_absolutelyContinuous _ _) (refl _)).add_right
(withDensity_ofReal_mutuallySingular hf))
#align measure_theory.signed_measure.jordan_decomposition_add_with_density_mutually_singular MeasureTheory.SignedMeasure.jordanDecomposition_add_withDensity_mutuallySingular
theorem toJordanDecomposition_eq_of_eq_add_withDensity {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.toJordanDecomposition =
@JordanDecomposition.mk α _
(t.toJordanDecomposition.posPart + μ.withDensity fun x => ENNReal.ofReal (f x))
(t.toJordanDecomposition.negPart + μ.withDensity fun x => ENNReal.ofReal (-f x))
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.2; infer_instance)
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2; infer_instance)
(jordanDecomposition_add_withDensity_mutuallySingular hf htμ) := by
haveI := isFiniteMeasure_withDensity_ofReal hfi.2
haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2
refine' toJordanDecomposition_eq _
simp_rw [JordanDecomposition.toSignedMeasure, hadd]
ext i hi
rw [VectorMeasure.sub_apply, toSignedMeasure_apply_measurable hi,
toSignedMeasure_apply_measurable hi, add_apply, add_apply, ENNReal.toReal_add,
ENNReal.toReal_add, add_sub_add_comm, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi, ← VectorMeasure.sub_apply,
← JordanDecomposition.toSignedMeasure, toSignedMeasure_toJordanDecomposition,
VectorMeasure.add_apply, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi,
withDensityᵥ_eq_withDensity_pos_part_sub_withDensity_neg_part hfi,
VectorMeasure.sub_apply] <;>
exact (measure_lt_top _ _).ne
#align measure_theory.signed_measure.to_jordan_decomposition_eq_of_eq_add_with_density MeasureTheory.SignedMeasure.toJordanDecomposition_eq_of_eq_add_withDensity
private theorem haveLebesgueDecomposition_mk' (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
have htμ' := htμ
| rw [mutuallySingular_ennreal_iff] at htμ | private theorem haveLebesgueDecomposition_mk' (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
have htμ' := htμ
| Mathlib.MeasureTheory.Decomposition.SignedLebesgue.274_0.HPGboz0rhL6sBes | private theorem haveLebesgueDecomposition_mk' (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ | Mathlib_MeasureTheory_Decomposition_SignedLebesgue |
α : Type u_1
β : Type u_2
m : MeasurableSpace α
μ✝ ν : Measure α
s t : SignedMeasure α
μ : Measure α
f : α → ℝ
hf : Measurable f
hfi : Integrable f
htμ : totalVariation t ⟂ₘ VectorMeasure.ennrealToMeasure (toENNRealVectorMeasure μ)
hadd : s = t + withDensityᵥ μ f
htμ' : t ⟂ᵥ toENNRealVectorMeasure μ
⊢ HaveLebesgueDecomposition s μ | /-
Copyright (c) 2021 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.MeasureTheory.Decomposition.Lebesgue
import Mathlib.MeasureTheory.Measure.Complex
/-!
# Lebesgue decomposition
This file proves the Lebesgue decomposition theorem for signed measures. The Lebesgue decomposition
theorem states that, given two σ-finite measures `μ` and `ν`, there exists a σ-finite measure `ξ`
and a measurable function `f` such that `μ = ξ + fν` and `ξ` is mutually singular with respect
to `ν`.
## Main definitions
* `MeasureTheory.SignedMeasure.HaveLebesgueDecomposition` : A signed measure `s` and a
measure `μ` is said to `HaveLebesgueDecomposition` if both the positive part and negative
part of `s` `HaveLebesgueDecomposition` with respect to `μ`.
* `MeasureTheory.SignedMeasure.singularPart` : The singular part between a signed measure `s`
and a measure `μ` is simply the singular part of the positive part of `s` with respect to `μ`
minus the singular part of the negative part of `s` with respect to `μ`.
* `MeasureTheory.SignedMeasure.rnDeriv` : The Radon-Nikodym derivative of a signed
measure `s` with respect to a measure `μ` is the Radon-Nikodym derivative of the positive part of
`s` with respect to `μ` minus the Radon-Nikodym derivative of the negative part of `s` with
respect to `μ`.
## Main results
* `MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq` :
the Lebesgue decomposition theorem between a signed measure and a σ-finite positive measure.
## Tags
Lebesgue decomposition theorem
-/
noncomputable section
open scoped Classical MeasureTheory NNReal ENNReal
open Set
variable {α β : Type*} {m : MeasurableSpace α} {μ ν : MeasureTheory.Measure α}
namespace MeasureTheory
namespace SignedMeasure
open Measure
/-- A signed measure `s` is said to `HaveLebesgueDecomposition` with respect to a measure `μ`
if the positive part and the negative part of `s` both `HaveLebesgueDecomposition` with
respect to `μ`. -/
class HaveLebesgueDecomposition (s : SignedMeasure α) (μ : Measure α) : Prop where
posPart : s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ
negPart : s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ
#align measure_theory.signed_measure.have_lebesgue_decomposition MeasureTheory.SignedMeasure.HaveLebesgueDecomposition
#align measure_theory.signed_measure.have_lebesgue_decomposition.pos_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.posPart
#align measure_theory.signed_measure.have_lebesgue_decomposition.neg_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.negPart
attribute [instance] HaveLebesgueDecomposition.posPart
attribute [instance] HaveLebesgueDecomposition.negPart
theorem not_haveLebesgueDecomposition_iff (s : SignedMeasure α) (μ : Measure α) :
¬s.HaveLebesgueDecomposition μ ↔
¬s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ ∨
¬s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ :=
⟨fun h => not_or_of_imp fun hp hn => h ⟨hp, hn⟩, fun h hl => (not_and_or.2 h) ⟨hl.1, hl.2⟩⟩
#align measure_theory.signed_measure.not_have_lebesgue_decomposition_iff MeasureTheory.SignedMeasure.not_haveLebesgueDecomposition_iff
-- `infer_instance` directly does not work
-- see Note [lower instance priority]
instance (priority := 100) haveLebesgueDecomposition_of_sigmaFinite (s : SignedMeasure α)
(μ : Measure α) [SigmaFinite μ] : s.HaveLebesgueDecomposition μ where
posPart := inferInstance
negPart := inferInstance
#align measure_theory.signed_measure.have_lebesgue_decomposition_of_sigma_finite MeasureTheory.SignedMeasure.haveLebesgueDecomposition_of_sigmaFinite
instance haveLebesgueDecomposition_neg (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] : (-s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_neg MeasureTheory.SignedMeasure.haveLebesgueDecomposition_neg
instance haveLebesgueDecomposition_smul (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ≥0) : (r • s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul
instance haveLebesgueDecomposition_smul_real (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ) : (r • s).HaveLebesgueDecomposition μ := by
by_cases hr : 0 ≤ r
· lift r to ℝ≥0 using hr
exact s.haveLebesgueDecomposition_smul μ _
· rw [not_le] at hr
refine'
{ posPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_posPart_neg _ _ hr]
infer_instance
negPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_negPart_neg _ _ hr]
infer_instance }
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul_real MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul_real
/-- Given a signed measure `s` and a measure `μ`, `s.singularPart μ` is the signed measure
such that `s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s` and
`s.singularPart μ` is mutually singular with respect to `μ`. -/
def singularPart (s : SignedMeasure α) (μ : Measure α) : SignedMeasure α :=
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure -
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure
#align measure_theory.signed_measure.singular_part MeasureTheory.SignedMeasure.singularPart
section
theorem singularPart_mutuallySingular (s : SignedMeasure α) (μ : Measure α) :
s.toJordanDecomposition.posPart.singularPart μ ⟂ₘ
s.toJordanDecomposition.negPart.singularPart μ := by
by_cases hl : s.HaveLebesgueDecomposition μ
· obtain ⟨i, hi, hpos, hneg⟩ := s.toJordanDecomposition.mutuallySingular
rw [s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ] at hpos
rw [s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ] at hneg
rw [add_apply, add_eq_zero_iff] at hpos hneg
exact ⟨i, hi, hpos.1, hneg.1⟩
· rw [not_haveLebesgueDecomposition_iff] at hl
cases' hl with hp hn
· rw [Measure.singularPart, dif_neg hp]
exact MutuallySingular.zero_left
· rw [Measure.singularPart, Measure.singularPart, dif_neg hn]
exact MutuallySingular.zero_right
#align measure_theory.signed_measure.singular_part_mutually_singular MeasureTheory.SignedMeasure.singularPart_mutuallySingular
theorem singularPart_totalVariation (s : SignedMeasure α) (μ : Measure α) :
(s.singularPart μ).totalVariation =
s.toJordanDecomposition.posPart.singularPart μ +
s.toJordanDecomposition.negPart.singularPart μ := by
have :
(s.singularPart μ).toJordanDecomposition =
⟨s.toJordanDecomposition.posPart.singularPart μ,
s.toJordanDecomposition.negPart.singularPart μ, singularPart_mutuallySingular s μ⟩ := by
refine' JordanDecomposition.toSignedMeasure_injective _
rw [toSignedMeasure_toJordanDecomposition, singularPart, JordanDecomposition.toSignedMeasure]
· rw [totalVariation, this]
#align measure_theory.signed_measure.singular_part_total_variation MeasureTheory.SignedMeasure.singularPart_totalVariation
nonrec theorem mutuallySingular_singularPart (s : SignedMeasure α) (μ : Measure α) :
singularPart s μ ⟂ᵥ μ.toENNRealVectorMeasure := by
rw [mutuallySingular_ennreal_iff, singularPart_totalVariation,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure]
exact (mutuallySingular_singularPart _ _).add_left (mutuallySingular_singularPart _ _)
#align measure_theory.signed_measure.mutually_singular_singular_part MeasureTheory.SignedMeasure.mutuallySingular_singularPart
end
/-- The Radon-Nikodym derivative between a signed measure and a positive measure.
`rnDeriv s μ` satisfies `μ.withDensityᵥ (s.rnDeriv μ) = s`
if and only if `s` is absolutely continuous with respect to `μ` and this fact is known as
`MeasureTheory.SignedMeasure.absolutelyContinuous_iff_withDensity_rnDeriv_eq`
and can be found in `MeasureTheory.Decomposition.RadonNikodym`. -/
def rnDeriv (s : SignedMeasure α) (μ : Measure α) : α → ℝ := fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal
#align measure_theory.signed_measure.rn_deriv MeasureTheory.SignedMeasure.rnDeriv
-- Porting note: The generated equation theorem is the form of `rnDeriv s μ x`.
theorem rnDeriv_def (s : SignedMeasure α) (μ : Measure α) : rnDeriv s μ = fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal :=
rfl
attribute [eqns rnDeriv_def] rnDeriv
variable {s t : SignedMeasure α}
@[measurability]
theorem measurable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Measurable (rnDeriv s μ) := by
rw [rnDeriv]
measurability
#align measure_theory.signed_measure.measurable_rn_deriv MeasureTheory.SignedMeasure.measurable_rnDeriv
theorem integrable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Integrable (rnDeriv s μ) μ := by
refine' Integrable.sub _ _ <;>
· constructor
· apply Measurable.aestronglyMeasurable; measurability
exact hasFiniteIntegral_toReal_of_lintegral_ne_top (lintegral_rnDeriv_lt_top _ μ).ne
#align measure_theory.signed_measure.integrable_rn_deriv MeasureTheory.SignedMeasure.integrable_rnDeriv
variable (s μ)
/-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
first
| exact (lintegral_rnDeriv_lt_top _ _).ne
| measurability
#align measure_theory.signed_measure.singular_part_add_with_density_rn_deriv_eq MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq
variable {s μ}
theorem jordanDecomposition_add_withDensity_mutuallySingular {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) :
(t.toJordanDecomposition.posPart + μ.withDensity fun x : α => ENNReal.ofReal (f x)) ⟂ₘ
t.toJordanDecomposition.negPart + μ.withDensity fun x : α => ENNReal.ofReal (-f x) := by
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
exact
((JordanDecomposition.mutuallySingular _).add_right
(htμ.1.mono_ac (refl _) (withDensity_absolutelyContinuous _ _))).add_left
((htμ.2.symm.mono_ac (withDensity_absolutelyContinuous _ _) (refl _)).add_right
(withDensity_ofReal_mutuallySingular hf))
#align measure_theory.signed_measure.jordan_decomposition_add_with_density_mutually_singular MeasureTheory.SignedMeasure.jordanDecomposition_add_withDensity_mutuallySingular
theorem toJordanDecomposition_eq_of_eq_add_withDensity {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.toJordanDecomposition =
@JordanDecomposition.mk α _
(t.toJordanDecomposition.posPart + μ.withDensity fun x => ENNReal.ofReal (f x))
(t.toJordanDecomposition.negPart + μ.withDensity fun x => ENNReal.ofReal (-f x))
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.2; infer_instance)
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2; infer_instance)
(jordanDecomposition_add_withDensity_mutuallySingular hf htμ) := by
haveI := isFiniteMeasure_withDensity_ofReal hfi.2
haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2
refine' toJordanDecomposition_eq _
simp_rw [JordanDecomposition.toSignedMeasure, hadd]
ext i hi
rw [VectorMeasure.sub_apply, toSignedMeasure_apply_measurable hi,
toSignedMeasure_apply_measurable hi, add_apply, add_apply, ENNReal.toReal_add,
ENNReal.toReal_add, add_sub_add_comm, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi, ← VectorMeasure.sub_apply,
← JordanDecomposition.toSignedMeasure, toSignedMeasure_toJordanDecomposition,
VectorMeasure.add_apply, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi,
withDensityᵥ_eq_withDensity_pos_part_sub_withDensity_neg_part hfi,
VectorMeasure.sub_apply] <;>
exact (measure_lt_top _ _).ne
#align measure_theory.signed_measure.to_jordan_decomposition_eq_of_eq_add_with_density MeasureTheory.SignedMeasure.toJordanDecomposition_eq_of_eq_add_withDensity
private theorem haveLebesgueDecomposition_mk' (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff] at htμ
| change _ ⟂ₘ VectorMeasure.equivMeasure.toFun (VectorMeasure.equivMeasure.invFun μ) at htμ | private theorem haveLebesgueDecomposition_mk' (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff] at htμ
| Mathlib.MeasureTheory.Decomposition.SignedLebesgue.274_0.HPGboz0rhL6sBes | private theorem haveLebesgueDecomposition_mk' (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ | Mathlib_MeasureTheory_Decomposition_SignedLebesgue |
α : Type u_1
β : Type u_2
m : MeasurableSpace α
μ✝ ν : Measure α
s t : SignedMeasure α
μ : Measure α
f : α → ℝ
hf : Measurable f
hfi : Integrable f
hadd : s = t + withDensityᵥ μ f
htμ' : t ⟂ᵥ toENNRealVectorMeasure μ
htμ : totalVariation t ⟂ₘ Equiv.toFun VectorMeasure.equivMeasure (Equiv.invFun VectorMeasure.equivMeasure μ)
⊢ HaveLebesgueDecomposition s μ | /-
Copyright (c) 2021 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.MeasureTheory.Decomposition.Lebesgue
import Mathlib.MeasureTheory.Measure.Complex
/-!
# Lebesgue decomposition
This file proves the Lebesgue decomposition theorem for signed measures. The Lebesgue decomposition
theorem states that, given two σ-finite measures `μ` and `ν`, there exists a σ-finite measure `ξ`
and a measurable function `f` such that `μ = ξ + fν` and `ξ` is mutually singular with respect
to `ν`.
## Main definitions
* `MeasureTheory.SignedMeasure.HaveLebesgueDecomposition` : A signed measure `s` and a
measure `μ` is said to `HaveLebesgueDecomposition` if both the positive part and negative
part of `s` `HaveLebesgueDecomposition` with respect to `μ`.
* `MeasureTheory.SignedMeasure.singularPart` : The singular part between a signed measure `s`
and a measure `μ` is simply the singular part of the positive part of `s` with respect to `μ`
minus the singular part of the negative part of `s` with respect to `μ`.
* `MeasureTheory.SignedMeasure.rnDeriv` : The Radon-Nikodym derivative of a signed
measure `s` with respect to a measure `μ` is the Radon-Nikodym derivative of the positive part of
`s` with respect to `μ` minus the Radon-Nikodym derivative of the negative part of `s` with
respect to `μ`.
## Main results
* `MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq` :
the Lebesgue decomposition theorem between a signed measure and a σ-finite positive measure.
## Tags
Lebesgue decomposition theorem
-/
noncomputable section
open scoped Classical MeasureTheory NNReal ENNReal
open Set
variable {α β : Type*} {m : MeasurableSpace α} {μ ν : MeasureTheory.Measure α}
namespace MeasureTheory
namespace SignedMeasure
open Measure
/-- A signed measure `s` is said to `HaveLebesgueDecomposition` with respect to a measure `μ`
if the positive part and the negative part of `s` both `HaveLebesgueDecomposition` with
respect to `μ`. -/
class HaveLebesgueDecomposition (s : SignedMeasure α) (μ : Measure α) : Prop where
posPart : s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ
negPart : s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ
#align measure_theory.signed_measure.have_lebesgue_decomposition MeasureTheory.SignedMeasure.HaveLebesgueDecomposition
#align measure_theory.signed_measure.have_lebesgue_decomposition.pos_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.posPart
#align measure_theory.signed_measure.have_lebesgue_decomposition.neg_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.negPart
attribute [instance] HaveLebesgueDecomposition.posPart
attribute [instance] HaveLebesgueDecomposition.negPart
theorem not_haveLebesgueDecomposition_iff (s : SignedMeasure α) (μ : Measure α) :
¬s.HaveLebesgueDecomposition μ ↔
¬s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ ∨
¬s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ :=
⟨fun h => not_or_of_imp fun hp hn => h ⟨hp, hn⟩, fun h hl => (not_and_or.2 h) ⟨hl.1, hl.2⟩⟩
#align measure_theory.signed_measure.not_have_lebesgue_decomposition_iff MeasureTheory.SignedMeasure.not_haveLebesgueDecomposition_iff
-- `infer_instance` directly does not work
-- see Note [lower instance priority]
instance (priority := 100) haveLebesgueDecomposition_of_sigmaFinite (s : SignedMeasure α)
(μ : Measure α) [SigmaFinite μ] : s.HaveLebesgueDecomposition μ where
posPart := inferInstance
negPart := inferInstance
#align measure_theory.signed_measure.have_lebesgue_decomposition_of_sigma_finite MeasureTheory.SignedMeasure.haveLebesgueDecomposition_of_sigmaFinite
instance haveLebesgueDecomposition_neg (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] : (-s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_neg MeasureTheory.SignedMeasure.haveLebesgueDecomposition_neg
instance haveLebesgueDecomposition_smul (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ≥0) : (r • s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul
instance haveLebesgueDecomposition_smul_real (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ) : (r • s).HaveLebesgueDecomposition μ := by
by_cases hr : 0 ≤ r
· lift r to ℝ≥0 using hr
exact s.haveLebesgueDecomposition_smul μ _
· rw [not_le] at hr
refine'
{ posPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_posPart_neg _ _ hr]
infer_instance
negPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_negPart_neg _ _ hr]
infer_instance }
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul_real MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul_real
/-- Given a signed measure `s` and a measure `μ`, `s.singularPart μ` is the signed measure
such that `s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s` and
`s.singularPart μ` is mutually singular with respect to `μ`. -/
def singularPart (s : SignedMeasure α) (μ : Measure α) : SignedMeasure α :=
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure -
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure
#align measure_theory.signed_measure.singular_part MeasureTheory.SignedMeasure.singularPart
section
theorem singularPart_mutuallySingular (s : SignedMeasure α) (μ : Measure α) :
s.toJordanDecomposition.posPart.singularPart μ ⟂ₘ
s.toJordanDecomposition.negPart.singularPart μ := by
by_cases hl : s.HaveLebesgueDecomposition μ
· obtain ⟨i, hi, hpos, hneg⟩ := s.toJordanDecomposition.mutuallySingular
rw [s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ] at hpos
rw [s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ] at hneg
rw [add_apply, add_eq_zero_iff] at hpos hneg
exact ⟨i, hi, hpos.1, hneg.1⟩
· rw [not_haveLebesgueDecomposition_iff] at hl
cases' hl with hp hn
· rw [Measure.singularPart, dif_neg hp]
exact MutuallySingular.zero_left
· rw [Measure.singularPart, Measure.singularPart, dif_neg hn]
exact MutuallySingular.zero_right
#align measure_theory.signed_measure.singular_part_mutually_singular MeasureTheory.SignedMeasure.singularPart_mutuallySingular
theorem singularPart_totalVariation (s : SignedMeasure α) (μ : Measure α) :
(s.singularPart μ).totalVariation =
s.toJordanDecomposition.posPart.singularPart μ +
s.toJordanDecomposition.negPart.singularPart μ := by
have :
(s.singularPart μ).toJordanDecomposition =
⟨s.toJordanDecomposition.posPart.singularPart μ,
s.toJordanDecomposition.negPart.singularPart μ, singularPart_mutuallySingular s μ⟩ := by
refine' JordanDecomposition.toSignedMeasure_injective _
rw [toSignedMeasure_toJordanDecomposition, singularPart, JordanDecomposition.toSignedMeasure]
· rw [totalVariation, this]
#align measure_theory.signed_measure.singular_part_total_variation MeasureTheory.SignedMeasure.singularPart_totalVariation
nonrec theorem mutuallySingular_singularPart (s : SignedMeasure α) (μ : Measure α) :
singularPart s μ ⟂ᵥ μ.toENNRealVectorMeasure := by
rw [mutuallySingular_ennreal_iff, singularPart_totalVariation,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure]
exact (mutuallySingular_singularPart _ _).add_left (mutuallySingular_singularPart _ _)
#align measure_theory.signed_measure.mutually_singular_singular_part MeasureTheory.SignedMeasure.mutuallySingular_singularPart
end
/-- The Radon-Nikodym derivative between a signed measure and a positive measure.
`rnDeriv s μ` satisfies `μ.withDensityᵥ (s.rnDeriv μ) = s`
if and only if `s` is absolutely continuous with respect to `μ` and this fact is known as
`MeasureTheory.SignedMeasure.absolutelyContinuous_iff_withDensity_rnDeriv_eq`
and can be found in `MeasureTheory.Decomposition.RadonNikodym`. -/
def rnDeriv (s : SignedMeasure α) (μ : Measure α) : α → ℝ := fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal
#align measure_theory.signed_measure.rn_deriv MeasureTheory.SignedMeasure.rnDeriv
-- Porting note: The generated equation theorem is the form of `rnDeriv s μ x`.
theorem rnDeriv_def (s : SignedMeasure α) (μ : Measure α) : rnDeriv s μ = fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal :=
rfl
attribute [eqns rnDeriv_def] rnDeriv
variable {s t : SignedMeasure α}
@[measurability]
theorem measurable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Measurable (rnDeriv s μ) := by
rw [rnDeriv]
measurability
#align measure_theory.signed_measure.measurable_rn_deriv MeasureTheory.SignedMeasure.measurable_rnDeriv
theorem integrable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Integrable (rnDeriv s μ) μ := by
refine' Integrable.sub _ _ <;>
· constructor
· apply Measurable.aestronglyMeasurable; measurability
exact hasFiniteIntegral_toReal_of_lintegral_ne_top (lintegral_rnDeriv_lt_top _ μ).ne
#align measure_theory.signed_measure.integrable_rn_deriv MeasureTheory.SignedMeasure.integrable_rnDeriv
variable (s μ)
/-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
first
| exact (lintegral_rnDeriv_lt_top _ _).ne
| measurability
#align measure_theory.signed_measure.singular_part_add_with_density_rn_deriv_eq MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq
variable {s μ}
theorem jordanDecomposition_add_withDensity_mutuallySingular {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) :
(t.toJordanDecomposition.posPart + μ.withDensity fun x : α => ENNReal.ofReal (f x)) ⟂ₘ
t.toJordanDecomposition.negPart + μ.withDensity fun x : α => ENNReal.ofReal (-f x) := by
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
exact
((JordanDecomposition.mutuallySingular _).add_right
(htμ.1.mono_ac (refl _) (withDensity_absolutelyContinuous _ _))).add_left
((htμ.2.symm.mono_ac (withDensity_absolutelyContinuous _ _) (refl _)).add_right
(withDensity_ofReal_mutuallySingular hf))
#align measure_theory.signed_measure.jordan_decomposition_add_with_density_mutually_singular MeasureTheory.SignedMeasure.jordanDecomposition_add_withDensity_mutuallySingular
theorem toJordanDecomposition_eq_of_eq_add_withDensity {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.toJordanDecomposition =
@JordanDecomposition.mk α _
(t.toJordanDecomposition.posPart + μ.withDensity fun x => ENNReal.ofReal (f x))
(t.toJordanDecomposition.negPart + μ.withDensity fun x => ENNReal.ofReal (-f x))
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.2; infer_instance)
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2; infer_instance)
(jordanDecomposition_add_withDensity_mutuallySingular hf htμ) := by
haveI := isFiniteMeasure_withDensity_ofReal hfi.2
haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2
refine' toJordanDecomposition_eq _
simp_rw [JordanDecomposition.toSignedMeasure, hadd]
ext i hi
rw [VectorMeasure.sub_apply, toSignedMeasure_apply_measurable hi,
toSignedMeasure_apply_measurable hi, add_apply, add_apply, ENNReal.toReal_add,
ENNReal.toReal_add, add_sub_add_comm, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi, ← VectorMeasure.sub_apply,
← JordanDecomposition.toSignedMeasure, toSignedMeasure_toJordanDecomposition,
VectorMeasure.add_apply, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi,
withDensityᵥ_eq_withDensity_pos_part_sub_withDensity_neg_part hfi,
VectorMeasure.sub_apply] <;>
exact (measure_lt_top _ _).ne
#align measure_theory.signed_measure.to_jordan_decomposition_eq_of_eq_add_with_density MeasureTheory.SignedMeasure.toJordanDecomposition_eq_of_eq_add_withDensity
private theorem haveLebesgueDecomposition_mk' (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff] at htμ
change _ ⟂ₘ VectorMeasure.equivMeasure.toFun (VectorMeasure.equivMeasure.invFun μ) at htμ
| rw [VectorMeasure.equivMeasure.right_inv, totalVariation_mutuallySingular_iff] at htμ | private theorem haveLebesgueDecomposition_mk' (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff] at htμ
change _ ⟂ₘ VectorMeasure.equivMeasure.toFun (VectorMeasure.equivMeasure.invFun μ) at htμ
| Mathlib.MeasureTheory.Decomposition.SignedLebesgue.274_0.HPGboz0rhL6sBes | private theorem haveLebesgueDecomposition_mk' (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ | Mathlib_MeasureTheory_Decomposition_SignedLebesgue |
α : Type u_1
β : Type u_2
m : MeasurableSpace α
μ✝ ν : Measure α
s t : SignedMeasure α
μ : Measure α
f : α → ℝ
hf : Measurable f
hfi : Integrable f
hadd : s = t + withDensityᵥ μ f
htμ' : t ⟂ᵥ toENNRealVectorMeasure μ
htμ : (toJordanDecomposition t).posPart ⟂ₘ μ ∧ (toJordanDecomposition t).negPart ⟂ₘ μ
⊢ HaveLebesgueDecomposition s μ | /-
Copyright (c) 2021 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.MeasureTheory.Decomposition.Lebesgue
import Mathlib.MeasureTheory.Measure.Complex
/-!
# Lebesgue decomposition
This file proves the Lebesgue decomposition theorem for signed measures. The Lebesgue decomposition
theorem states that, given two σ-finite measures `μ` and `ν`, there exists a σ-finite measure `ξ`
and a measurable function `f` such that `μ = ξ + fν` and `ξ` is mutually singular with respect
to `ν`.
## Main definitions
* `MeasureTheory.SignedMeasure.HaveLebesgueDecomposition` : A signed measure `s` and a
measure `μ` is said to `HaveLebesgueDecomposition` if both the positive part and negative
part of `s` `HaveLebesgueDecomposition` with respect to `μ`.
* `MeasureTheory.SignedMeasure.singularPart` : The singular part between a signed measure `s`
and a measure `μ` is simply the singular part of the positive part of `s` with respect to `μ`
minus the singular part of the negative part of `s` with respect to `μ`.
* `MeasureTheory.SignedMeasure.rnDeriv` : The Radon-Nikodym derivative of a signed
measure `s` with respect to a measure `μ` is the Radon-Nikodym derivative of the positive part of
`s` with respect to `μ` minus the Radon-Nikodym derivative of the negative part of `s` with
respect to `μ`.
## Main results
* `MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq` :
the Lebesgue decomposition theorem between a signed measure and a σ-finite positive measure.
## Tags
Lebesgue decomposition theorem
-/
noncomputable section
open scoped Classical MeasureTheory NNReal ENNReal
open Set
variable {α β : Type*} {m : MeasurableSpace α} {μ ν : MeasureTheory.Measure α}
namespace MeasureTheory
namespace SignedMeasure
open Measure
/-- A signed measure `s` is said to `HaveLebesgueDecomposition` with respect to a measure `μ`
if the positive part and the negative part of `s` both `HaveLebesgueDecomposition` with
respect to `μ`. -/
class HaveLebesgueDecomposition (s : SignedMeasure α) (μ : Measure α) : Prop where
posPart : s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ
negPart : s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ
#align measure_theory.signed_measure.have_lebesgue_decomposition MeasureTheory.SignedMeasure.HaveLebesgueDecomposition
#align measure_theory.signed_measure.have_lebesgue_decomposition.pos_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.posPart
#align measure_theory.signed_measure.have_lebesgue_decomposition.neg_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.negPart
attribute [instance] HaveLebesgueDecomposition.posPart
attribute [instance] HaveLebesgueDecomposition.negPart
theorem not_haveLebesgueDecomposition_iff (s : SignedMeasure α) (μ : Measure α) :
¬s.HaveLebesgueDecomposition μ ↔
¬s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ ∨
¬s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ :=
⟨fun h => not_or_of_imp fun hp hn => h ⟨hp, hn⟩, fun h hl => (not_and_or.2 h) ⟨hl.1, hl.2⟩⟩
#align measure_theory.signed_measure.not_have_lebesgue_decomposition_iff MeasureTheory.SignedMeasure.not_haveLebesgueDecomposition_iff
-- `infer_instance` directly does not work
-- see Note [lower instance priority]
instance (priority := 100) haveLebesgueDecomposition_of_sigmaFinite (s : SignedMeasure α)
(μ : Measure α) [SigmaFinite μ] : s.HaveLebesgueDecomposition μ where
posPart := inferInstance
negPart := inferInstance
#align measure_theory.signed_measure.have_lebesgue_decomposition_of_sigma_finite MeasureTheory.SignedMeasure.haveLebesgueDecomposition_of_sigmaFinite
instance haveLebesgueDecomposition_neg (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] : (-s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_neg MeasureTheory.SignedMeasure.haveLebesgueDecomposition_neg
instance haveLebesgueDecomposition_smul (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ≥0) : (r • s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul
instance haveLebesgueDecomposition_smul_real (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ) : (r • s).HaveLebesgueDecomposition μ := by
by_cases hr : 0 ≤ r
· lift r to ℝ≥0 using hr
exact s.haveLebesgueDecomposition_smul μ _
· rw [not_le] at hr
refine'
{ posPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_posPart_neg _ _ hr]
infer_instance
negPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_negPart_neg _ _ hr]
infer_instance }
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul_real MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul_real
/-- Given a signed measure `s` and a measure `μ`, `s.singularPart μ` is the signed measure
such that `s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s` and
`s.singularPart μ` is mutually singular with respect to `μ`. -/
def singularPart (s : SignedMeasure α) (μ : Measure α) : SignedMeasure α :=
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure -
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure
#align measure_theory.signed_measure.singular_part MeasureTheory.SignedMeasure.singularPart
section
theorem singularPart_mutuallySingular (s : SignedMeasure α) (μ : Measure α) :
s.toJordanDecomposition.posPart.singularPart μ ⟂ₘ
s.toJordanDecomposition.negPart.singularPart μ := by
by_cases hl : s.HaveLebesgueDecomposition μ
· obtain ⟨i, hi, hpos, hneg⟩ := s.toJordanDecomposition.mutuallySingular
rw [s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ] at hpos
rw [s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ] at hneg
rw [add_apply, add_eq_zero_iff] at hpos hneg
exact ⟨i, hi, hpos.1, hneg.1⟩
· rw [not_haveLebesgueDecomposition_iff] at hl
cases' hl with hp hn
· rw [Measure.singularPart, dif_neg hp]
exact MutuallySingular.zero_left
· rw [Measure.singularPart, Measure.singularPart, dif_neg hn]
exact MutuallySingular.zero_right
#align measure_theory.signed_measure.singular_part_mutually_singular MeasureTheory.SignedMeasure.singularPart_mutuallySingular
theorem singularPart_totalVariation (s : SignedMeasure α) (μ : Measure α) :
(s.singularPart μ).totalVariation =
s.toJordanDecomposition.posPart.singularPart μ +
s.toJordanDecomposition.negPart.singularPart μ := by
have :
(s.singularPart μ).toJordanDecomposition =
⟨s.toJordanDecomposition.posPart.singularPart μ,
s.toJordanDecomposition.negPart.singularPart μ, singularPart_mutuallySingular s μ⟩ := by
refine' JordanDecomposition.toSignedMeasure_injective _
rw [toSignedMeasure_toJordanDecomposition, singularPart, JordanDecomposition.toSignedMeasure]
· rw [totalVariation, this]
#align measure_theory.signed_measure.singular_part_total_variation MeasureTheory.SignedMeasure.singularPart_totalVariation
nonrec theorem mutuallySingular_singularPart (s : SignedMeasure α) (μ : Measure α) :
singularPart s μ ⟂ᵥ μ.toENNRealVectorMeasure := by
rw [mutuallySingular_ennreal_iff, singularPart_totalVariation,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure]
exact (mutuallySingular_singularPart _ _).add_left (mutuallySingular_singularPart _ _)
#align measure_theory.signed_measure.mutually_singular_singular_part MeasureTheory.SignedMeasure.mutuallySingular_singularPart
end
/-- The Radon-Nikodym derivative between a signed measure and a positive measure.
`rnDeriv s μ` satisfies `μ.withDensityᵥ (s.rnDeriv μ) = s`
if and only if `s` is absolutely continuous with respect to `μ` and this fact is known as
`MeasureTheory.SignedMeasure.absolutelyContinuous_iff_withDensity_rnDeriv_eq`
and can be found in `MeasureTheory.Decomposition.RadonNikodym`. -/
def rnDeriv (s : SignedMeasure α) (μ : Measure α) : α → ℝ := fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal
#align measure_theory.signed_measure.rn_deriv MeasureTheory.SignedMeasure.rnDeriv
-- Porting note: The generated equation theorem is the form of `rnDeriv s μ x`.
theorem rnDeriv_def (s : SignedMeasure α) (μ : Measure α) : rnDeriv s μ = fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal :=
rfl
attribute [eqns rnDeriv_def] rnDeriv
variable {s t : SignedMeasure α}
@[measurability]
theorem measurable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Measurable (rnDeriv s μ) := by
rw [rnDeriv]
measurability
#align measure_theory.signed_measure.measurable_rn_deriv MeasureTheory.SignedMeasure.measurable_rnDeriv
theorem integrable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Integrable (rnDeriv s μ) μ := by
refine' Integrable.sub _ _ <;>
· constructor
· apply Measurable.aestronglyMeasurable; measurability
exact hasFiniteIntegral_toReal_of_lintegral_ne_top (lintegral_rnDeriv_lt_top _ μ).ne
#align measure_theory.signed_measure.integrable_rn_deriv MeasureTheory.SignedMeasure.integrable_rnDeriv
variable (s μ)
/-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
first
| exact (lintegral_rnDeriv_lt_top _ _).ne
| measurability
#align measure_theory.signed_measure.singular_part_add_with_density_rn_deriv_eq MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq
variable {s μ}
theorem jordanDecomposition_add_withDensity_mutuallySingular {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) :
(t.toJordanDecomposition.posPart + μ.withDensity fun x : α => ENNReal.ofReal (f x)) ⟂ₘ
t.toJordanDecomposition.negPart + μ.withDensity fun x : α => ENNReal.ofReal (-f x) := by
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
exact
((JordanDecomposition.mutuallySingular _).add_right
(htμ.1.mono_ac (refl _) (withDensity_absolutelyContinuous _ _))).add_left
((htμ.2.symm.mono_ac (withDensity_absolutelyContinuous _ _) (refl _)).add_right
(withDensity_ofReal_mutuallySingular hf))
#align measure_theory.signed_measure.jordan_decomposition_add_with_density_mutually_singular MeasureTheory.SignedMeasure.jordanDecomposition_add_withDensity_mutuallySingular
theorem toJordanDecomposition_eq_of_eq_add_withDensity {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.toJordanDecomposition =
@JordanDecomposition.mk α _
(t.toJordanDecomposition.posPart + μ.withDensity fun x => ENNReal.ofReal (f x))
(t.toJordanDecomposition.negPart + μ.withDensity fun x => ENNReal.ofReal (-f x))
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.2; infer_instance)
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2; infer_instance)
(jordanDecomposition_add_withDensity_mutuallySingular hf htμ) := by
haveI := isFiniteMeasure_withDensity_ofReal hfi.2
haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2
refine' toJordanDecomposition_eq _
simp_rw [JordanDecomposition.toSignedMeasure, hadd]
ext i hi
rw [VectorMeasure.sub_apply, toSignedMeasure_apply_measurable hi,
toSignedMeasure_apply_measurable hi, add_apply, add_apply, ENNReal.toReal_add,
ENNReal.toReal_add, add_sub_add_comm, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi, ← VectorMeasure.sub_apply,
← JordanDecomposition.toSignedMeasure, toSignedMeasure_toJordanDecomposition,
VectorMeasure.add_apply, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi,
withDensityᵥ_eq_withDensity_pos_part_sub_withDensity_neg_part hfi,
VectorMeasure.sub_apply] <;>
exact (measure_lt_top _ _).ne
#align measure_theory.signed_measure.to_jordan_decomposition_eq_of_eq_add_with_density MeasureTheory.SignedMeasure.toJordanDecomposition_eq_of_eq_add_withDensity
private theorem haveLebesgueDecomposition_mk' (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff] at htμ
change _ ⟂ₘ VectorMeasure.equivMeasure.toFun (VectorMeasure.equivMeasure.invFun μ) at htμ
rw [VectorMeasure.equivMeasure.right_inv, totalVariation_mutuallySingular_iff] at htμ
| refine'
{ posPart := by
use ⟨t.toJordanDecomposition.posPart, fun x => ENNReal.ofReal (f x)⟩
refine' ⟨hf.ennreal_ofReal, htμ.1, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
negPart := by
use ⟨t.toJordanDecomposition.negPart, fun x => ENNReal.ofReal (-f x)⟩
refine' ⟨hf.neg.ennreal_ofReal, htμ.2, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd] } | private theorem haveLebesgueDecomposition_mk' (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff] at htμ
change _ ⟂ₘ VectorMeasure.equivMeasure.toFun (VectorMeasure.equivMeasure.invFun μ) at htμ
rw [VectorMeasure.equivMeasure.right_inv, totalVariation_mutuallySingular_iff] at htμ
| Mathlib.MeasureTheory.Decomposition.SignedLebesgue.274_0.HPGboz0rhL6sBes | private theorem haveLebesgueDecomposition_mk' (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ | Mathlib_MeasureTheory_Decomposition_SignedLebesgue |
α : Type u_1
β : Type u_2
m : MeasurableSpace α
μ✝ ν : Measure α
s t : SignedMeasure α
μ : Measure α
f : α → ℝ
hf : Measurable f
hfi : Integrable f
hadd : s = t + withDensityᵥ μ f
htμ' : t ⟂ᵥ toENNRealVectorMeasure μ
htμ : (toJordanDecomposition t).posPart ⟂ₘ μ ∧ (toJordanDecomposition t).negPart ⟂ₘ μ
⊢ Measure.HaveLebesgueDecomposition (toJordanDecomposition s).posPart μ | /-
Copyright (c) 2021 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.MeasureTheory.Decomposition.Lebesgue
import Mathlib.MeasureTheory.Measure.Complex
/-!
# Lebesgue decomposition
This file proves the Lebesgue decomposition theorem for signed measures. The Lebesgue decomposition
theorem states that, given two σ-finite measures `μ` and `ν`, there exists a σ-finite measure `ξ`
and a measurable function `f` such that `μ = ξ + fν` and `ξ` is mutually singular with respect
to `ν`.
## Main definitions
* `MeasureTheory.SignedMeasure.HaveLebesgueDecomposition` : A signed measure `s` and a
measure `μ` is said to `HaveLebesgueDecomposition` if both the positive part and negative
part of `s` `HaveLebesgueDecomposition` with respect to `μ`.
* `MeasureTheory.SignedMeasure.singularPart` : The singular part between a signed measure `s`
and a measure `μ` is simply the singular part of the positive part of `s` with respect to `μ`
minus the singular part of the negative part of `s` with respect to `μ`.
* `MeasureTheory.SignedMeasure.rnDeriv` : The Radon-Nikodym derivative of a signed
measure `s` with respect to a measure `μ` is the Radon-Nikodym derivative of the positive part of
`s` with respect to `μ` minus the Radon-Nikodym derivative of the negative part of `s` with
respect to `μ`.
## Main results
* `MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq` :
the Lebesgue decomposition theorem between a signed measure and a σ-finite positive measure.
## Tags
Lebesgue decomposition theorem
-/
noncomputable section
open scoped Classical MeasureTheory NNReal ENNReal
open Set
variable {α β : Type*} {m : MeasurableSpace α} {μ ν : MeasureTheory.Measure α}
namespace MeasureTheory
namespace SignedMeasure
open Measure
/-- A signed measure `s` is said to `HaveLebesgueDecomposition` with respect to a measure `μ`
if the positive part and the negative part of `s` both `HaveLebesgueDecomposition` with
respect to `μ`. -/
class HaveLebesgueDecomposition (s : SignedMeasure α) (μ : Measure α) : Prop where
posPart : s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ
negPart : s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ
#align measure_theory.signed_measure.have_lebesgue_decomposition MeasureTheory.SignedMeasure.HaveLebesgueDecomposition
#align measure_theory.signed_measure.have_lebesgue_decomposition.pos_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.posPart
#align measure_theory.signed_measure.have_lebesgue_decomposition.neg_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.negPart
attribute [instance] HaveLebesgueDecomposition.posPart
attribute [instance] HaveLebesgueDecomposition.negPart
theorem not_haveLebesgueDecomposition_iff (s : SignedMeasure α) (μ : Measure α) :
¬s.HaveLebesgueDecomposition μ ↔
¬s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ ∨
¬s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ :=
⟨fun h => not_or_of_imp fun hp hn => h ⟨hp, hn⟩, fun h hl => (not_and_or.2 h) ⟨hl.1, hl.2⟩⟩
#align measure_theory.signed_measure.not_have_lebesgue_decomposition_iff MeasureTheory.SignedMeasure.not_haveLebesgueDecomposition_iff
-- `infer_instance` directly does not work
-- see Note [lower instance priority]
instance (priority := 100) haveLebesgueDecomposition_of_sigmaFinite (s : SignedMeasure α)
(μ : Measure α) [SigmaFinite μ] : s.HaveLebesgueDecomposition μ where
posPart := inferInstance
negPart := inferInstance
#align measure_theory.signed_measure.have_lebesgue_decomposition_of_sigma_finite MeasureTheory.SignedMeasure.haveLebesgueDecomposition_of_sigmaFinite
instance haveLebesgueDecomposition_neg (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] : (-s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_neg MeasureTheory.SignedMeasure.haveLebesgueDecomposition_neg
instance haveLebesgueDecomposition_smul (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ≥0) : (r • s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul
instance haveLebesgueDecomposition_smul_real (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ) : (r • s).HaveLebesgueDecomposition μ := by
by_cases hr : 0 ≤ r
· lift r to ℝ≥0 using hr
exact s.haveLebesgueDecomposition_smul μ _
· rw [not_le] at hr
refine'
{ posPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_posPart_neg _ _ hr]
infer_instance
negPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_negPart_neg _ _ hr]
infer_instance }
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul_real MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul_real
/-- Given a signed measure `s` and a measure `μ`, `s.singularPart μ` is the signed measure
such that `s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s` and
`s.singularPart μ` is mutually singular with respect to `μ`. -/
def singularPart (s : SignedMeasure α) (μ : Measure α) : SignedMeasure α :=
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure -
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure
#align measure_theory.signed_measure.singular_part MeasureTheory.SignedMeasure.singularPart
section
theorem singularPart_mutuallySingular (s : SignedMeasure α) (μ : Measure α) :
s.toJordanDecomposition.posPart.singularPart μ ⟂ₘ
s.toJordanDecomposition.negPart.singularPart μ := by
by_cases hl : s.HaveLebesgueDecomposition μ
· obtain ⟨i, hi, hpos, hneg⟩ := s.toJordanDecomposition.mutuallySingular
rw [s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ] at hpos
rw [s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ] at hneg
rw [add_apply, add_eq_zero_iff] at hpos hneg
exact ⟨i, hi, hpos.1, hneg.1⟩
· rw [not_haveLebesgueDecomposition_iff] at hl
cases' hl with hp hn
· rw [Measure.singularPart, dif_neg hp]
exact MutuallySingular.zero_left
· rw [Measure.singularPart, Measure.singularPart, dif_neg hn]
exact MutuallySingular.zero_right
#align measure_theory.signed_measure.singular_part_mutually_singular MeasureTheory.SignedMeasure.singularPart_mutuallySingular
theorem singularPart_totalVariation (s : SignedMeasure α) (μ : Measure α) :
(s.singularPart μ).totalVariation =
s.toJordanDecomposition.posPart.singularPart μ +
s.toJordanDecomposition.negPart.singularPart μ := by
have :
(s.singularPart μ).toJordanDecomposition =
⟨s.toJordanDecomposition.posPart.singularPart μ,
s.toJordanDecomposition.negPart.singularPart μ, singularPart_mutuallySingular s μ⟩ := by
refine' JordanDecomposition.toSignedMeasure_injective _
rw [toSignedMeasure_toJordanDecomposition, singularPart, JordanDecomposition.toSignedMeasure]
· rw [totalVariation, this]
#align measure_theory.signed_measure.singular_part_total_variation MeasureTheory.SignedMeasure.singularPart_totalVariation
nonrec theorem mutuallySingular_singularPart (s : SignedMeasure α) (μ : Measure α) :
singularPart s μ ⟂ᵥ μ.toENNRealVectorMeasure := by
rw [mutuallySingular_ennreal_iff, singularPart_totalVariation,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure]
exact (mutuallySingular_singularPart _ _).add_left (mutuallySingular_singularPart _ _)
#align measure_theory.signed_measure.mutually_singular_singular_part MeasureTheory.SignedMeasure.mutuallySingular_singularPart
end
/-- The Radon-Nikodym derivative between a signed measure and a positive measure.
`rnDeriv s μ` satisfies `μ.withDensityᵥ (s.rnDeriv μ) = s`
if and only if `s` is absolutely continuous with respect to `μ` and this fact is known as
`MeasureTheory.SignedMeasure.absolutelyContinuous_iff_withDensity_rnDeriv_eq`
and can be found in `MeasureTheory.Decomposition.RadonNikodym`. -/
def rnDeriv (s : SignedMeasure α) (μ : Measure α) : α → ℝ := fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal
#align measure_theory.signed_measure.rn_deriv MeasureTheory.SignedMeasure.rnDeriv
-- Porting note: The generated equation theorem is the form of `rnDeriv s μ x`.
theorem rnDeriv_def (s : SignedMeasure α) (μ : Measure α) : rnDeriv s μ = fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal :=
rfl
attribute [eqns rnDeriv_def] rnDeriv
variable {s t : SignedMeasure α}
@[measurability]
theorem measurable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Measurable (rnDeriv s μ) := by
rw [rnDeriv]
measurability
#align measure_theory.signed_measure.measurable_rn_deriv MeasureTheory.SignedMeasure.measurable_rnDeriv
theorem integrable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Integrable (rnDeriv s μ) μ := by
refine' Integrable.sub _ _ <;>
· constructor
· apply Measurable.aestronglyMeasurable; measurability
exact hasFiniteIntegral_toReal_of_lintegral_ne_top (lintegral_rnDeriv_lt_top _ μ).ne
#align measure_theory.signed_measure.integrable_rn_deriv MeasureTheory.SignedMeasure.integrable_rnDeriv
variable (s μ)
/-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
first
| exact (lintegral_rnDeriv_lt_top _ _).ne
| measurability
#align measure_theory.signed_measure.singular_part_add_with_density_rn_deriv_eq MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq
variable {s μ}
theorem jordanDecomposition_add_withDensity_mutuallySingular {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) :
(t.toJordanDecomposition.posPart + μ.withDensity fun x : α => ENNReal.ofReal (f x)) ⟂ₘ
t.toJordanDecomposition.negPart + μ.withDensity fun x : α => ENNReal.ofReal (-f x) := by
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
exact
((JordanDecomposition.mutuallySingular _).add_right
(htμ.1.mono_ac (refl _) (withDensity_absolutelyContinuous _ _))).add_left
((htμ.2.symm.mono_ac (withDensity_absolutelyContinuous _ _) (refl _)).add_right
(withDensity_ofReal_mutuallySingular hf))
#align measure_theory.signed_measure.jordan_decomposition_add_with_density_mutually_singular MeasureTheory.SignedMeasure.jordanDecomposition_add_withDensity_mutuallySingular
theorem toJordanDecomposition_eq_of_eq_add_withDensity {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.toJordanDecomposition =
@JordanDecomposition.mk α _
(t.toJordanDecomposition.posPart + μ.withDensity fun x => ENNReal.ofReal (f x))
(t.toJordanDecomposition.negPart + μ.withDensity fun x => ENNReal.ofReal (-f x))
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.2; infer_instance)
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2; infer_instance)
(jordanDecomposition_add_withDensity_mutuallySingular hf htμ) := by
haveI := isFiniteMeasure_withDensity_ofReal hfi.2
haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2
refine' toJordanDecomposition_eq _
simp_rw [JordanDecomposition.toSignedMeasure, hadd]
ext i hi
rw [VectorMeasure.sub_apply, toSignedMeasure_apply_measurable hi,
toSignedMeasure_apply_measurable hi, add_apply, add_apply, ENNReal.toReal_add,
ENNReal.toReal_add, add_sub_add_comm, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi, ← VectorMeasure.sub_apply,
← JordanDecomposition.toSignedMeasure, toSignedMeasure_toJordanDecomposition,
VectorMeasure.add_apply, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi,
withDensityᵥ_eq_withDensity_pos_part_sub_withDensity_neg_part hfi,
VectorMeasure.sub_apply] <;>
exact (measure_lt_top _ _).ne
#align measure_theory.signed_measure.to_jordan_decomposition_eq_of_eq_add_with_density MeasureTheory.SignedMeasure.toJordanDecomposition_eq_of_eq_add_withDensity
private theorem haveLebesgueDecomposition_mk' (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff] at htμ
change _ ⟂ₘ VectorMeasure.equivMeasure.toFun (VectorMeasure.equivMeasure.invFun μ) at htμ
rw [VectorMeasure.equivMeasure.right_inv, totalVariation_mutuallySingular_iff] at htμ
refine'
{ posPart := by
| use ⟨t.toJordanDecomposition.posPart, fun x => ENNReal.ofReal (f x)⟩ | private theorem haveLebesgueDecomposition_mk' (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff] at htμ
change _ ⟂ₘ VectorMeasure.equivMeasure.toFun (VectorMeasure.equivMeasure.invFun μ) at htμ
rw [VectorMeasure.equivMeasure.right_inv, totalVariation_mutuallySingular_iff] at htμ
refine'
{ posPart := by
| Mathlib.MeasureTheory.Decomposition.SignedLebesgue.274_0.HPGboz0rhL6sBes | private theorem haveLebesgueDecomposition_mk' (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ | Mathlib_MeasureTheory_Decomposition_SignedLebesgue |
case h
α : Type u_1
β : Type u_2
m : MeasurableSpace α
μ✝ ν : Measure α
s t : SignedMeasure α
μ : Measure α
f : α → ℝ
hf : Measurable f
hfi : Integrable f
hadd : s = t + withDensityᵥ μ f
htμ' : t ⟂ᵥ toENNRealVectorMeasure μ
htμ : (toJordanDecomposition t).posPart ⟂ₘ μ ∧ (toJordanDecomposition t).negPart ⟂ₘ μ
⊢ Measurable ((toJordanDecomposition t).posPart, fun x => ENNReal.ofReal (f x)).2 ∧
((toJordanDecomposition t).posPart, fun x => ENNReal.ofReal (f x)).1 ⟂ₘ μ ∧
(toJordanDecomposition s).posPart =
((toJordanDecomposition t).posPart, fun x => ENNReal.ofReal (f x)).1 +
withDensity μ ((toJordanDecomposition t).posPart, fun x => ENNReal.ofReal (f x)).2 | /-
Copyright (c) 2021 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.MeasureTheory.Decomposition.Lebesgue
import Mathlib.MeasureTheory.Measure.Complex
/-!
# Lebesgue decomposition
This file proves the Lebesgue decomposition theorem for signed measures. The Lebesgue decomposition
theorem states that, given two σ-finite measures `μ` and `ν`, there exists a σ-finite measure `ξ`
and a measurable function `f` such that `μ = ξ + fν` and `ξ` is mutually singular with respect
to `ν`.
## Main definitions
* `MeasureTheory.SignedMeasure.HaveLebesgueDecomposition` : A signed measure `s` and a
measure `μ` is said to `HaveLebesgueDecomposition` if both the positive part and negative
part of `s` `HaveLebesgueDecomposition` with respect to `μ`.
* `MeasureTheory.SignedMeasure.singularPart` : The singular part between a signed measure `s`
and a measure `μ` is simply the singular part of the positive part of `s` with respect to `μ`
minus the singular part of the negative part of `s` with respect to `μ`.
* `MeasureTheory.SignedMeasure.rnDeriv` : The Radon-Nikodym derivative of a signed
measure `s` with respect to a measure `μ` is the Radon-Nikodym derivative of the positive part of
`s` with respect to `μ` minus the Radon-Nikodym derivative of the negative part of `s` with
respect to `μ`.
## Main results
* `MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq` :
the Lebesgue decomposition theorem between a signed measure and a σ-finite positive measure.
## Tags
Lebesgue decomposition theorem
-/
noncomputable section
open scoped Classical MeasureTheory NNReal ENNReal
open Set
variable {α β : Type*} {m : MeasurableSpace α} {μ ν : MeasureTheory.Measure α}
namespace MeasureTheory
namespace SignedMeasure
open Measure
/-- A signed measure `s` is said to `HaveLebesgueDecomposition` with respect to a measure `μ`
if the positive part and the negative part of `s` both `HaveLebesgueDecomposition` with
respect to `μ`. -/
class HaveLebesgueDecomposition (s : SignedMeasure α) (μ : Measure α) : Prop where
posPart : s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ
negPart : s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ
#align measure_theory.signed_measure.have_lebesgue_decomposition MeasureTheory.SignedMeasure.HaveLebesgueDecomposition
#align measure_theory.signed_measure.have_lebesgue_decomposition.pos_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.posPart
#align measure_theory.signed_measure.have_lebesgue_decomposition.neg_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.negPart
attribute [instance] HaveLebesgueDecomposition.posPart
attribute [instance] HaveLebesgueDecomposition.negPart
theorem not_haveLebesgueDecomposition_iff (s : SignedMeasure α) (μ : Measure α) :
¬s.HaveLebesgueDecomposition μ ↔
¬s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ ∨
¬s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ :=
⟨fun h => not_or_of_imp fun hp hn => h ⟨hp, hn⟩, fun h hl => (not_and_or.2 h) ⟨hl.1, hl.2⟩⟩
#align measure_theory.signed_measure.not_have_lebesgue_decomposition_iff MeasureTheory.SignedMeasure.not_haveLebesgueDecomposition_iff
-- `infer_instance` directly does not work
-- see Note [lower instance priority]
instance (priority := 100) haveLebesgueDecomposition_of_sigmaFinite (s : SignedMeasure α)
(μ : Measure α) [SigmaFinite μ] : s.HaveLebesgueDecomposition μ where
posPart := inferInstance
negPart := inferInstance
#align measure_theory.signed_measure.have_lebesgue_decomposition_of_sigma_finite MeasureTheory.SignedMeasure.haveLebesgueDecomposition_of_sigmaFinite
instance haveLebesgueDecomposition_neg (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] : (-s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_neg MeasureTheory.SignedMeasure.haveLebesgueDecomposition_neg
instance haveLebesgueDecomposition_smul (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ≥0) : (r • s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul
instance haveLebesgueDecomposition_smul_real (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ) : (r • s).HaveLebesgueDecomposition μ := by
by_cases hr : 0 ≤ r
· lift r to ℝ≥0 using hr
exact s.haveLebesgueDecomposition_smul μ _
· rw [not_le] at hr
refine'
{ posPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_posPart_neg _ _ hr]
infer_instance
negPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_negPart_neg _ _ hr]
infer_instance }
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul_real MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul_real
/-- Given a signed measure `s` and a measure `μ`, `s.singularPart μ` is the signed measure
such that `s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s` and
`s.singularPart μ` is mutually singular with respect to `μ`. -/
def singularPart (s : SignedMeasure α) (μ : Measure α) : SignedMeasure α :=
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure -
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure
#align measure_theory.signed_measure.singular_part MeasureTheory.SignedMeasure.singularPart
section
theorem singularPart_mutuallySingular (s : SignedMeasure α) (μ : Measure α) :
s.toJordanDecomposition.posPart.singularPart μ ⟂ₘ
s.toJordanDecomposition.negPart.singularPart μ := by
by_cases hl : s.HaveLebesgueDecomposition μ
· obtain ⟨i, hi, hpos, hneg⟩ := s.toJordanDecomposition.mutuallySingular
rw [s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ] at hpos
rw [s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ] at hneg
rw [add_apply, add_eq_zero_iff] at hpos hneg
exact ⟨i, hi, hpos.1, hneg.1⟩
· rw [not_haveLebesgueDecomposition_iff] at hl
cases' hl with hp hn
· rw [Measure.singularPart, dif_neg hp]
exact MutuallySingular.zero_left
· rw [Measure.singularPart, Measure.singularPart, dif_neg hn]
exact MutuallySingular.zero_right
#align measure_theory.signed_measure.singular_part_mutually_singular MeasureTheory.SignedMeasure.singularPart_mutuallySingular
theorem singularPart_totalVariation (s : SignedMeasure α) (μ : Measure α) :
(s.singularPart μ).totalVariation =
s.toJordanDecomposition.posPart.singularPart μ +
s.toJordanDecomposition.negPart.singularPart μ := by
have :
(s.singularPart μ).toJordanDecomposition =
⟨s.toJordanDecomposition.posPart.singularPart μ,
s.toJordanDecomposition.negPart.singularPart μ, singularPart_mutuallySingular s μ⟩ := by
refine' JordanDecomposition.toSignedMeasure_injective _
rw [toSignedMeasure_toJordanDecomposition, singularPart, JordanDecomposition.toSignedMeasure]
· rw [totalVariation, this]
#align measure_theory.signed_measure.singular_part_total_variation MeasureTheory.SignedMeasure.singularPart_totalVariation
nonrec theorem mutuallySingular_singularPart (s : SignedMeasure α) (μ : Measure α) :
singularPart s μ ⟂ᵥ μ.toENNRealVectorMeasure := by
rw [mutuallySingular_ennreal_iff, singularPart_totalVariation,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure]
exact (mutuallySingular_singularPart _ _).add_left (mutuallySingular_singularPart _ _)
#align measure_theory.signed_measure.mutually_singular_singular_part MeasureTheory.SignedMeasure.mutuallySingular_singularPart
end
/-- The Radon-Nikodym derivative between a signed measure and a positive measure.
`rnDeriv s μ` satisfies `μ.withDensityᵥ (s.rnDeriv μ) = s`
if and only if `s` is absolutely continuous with respect to `μ` and this fact is known as
`MeasureTheory.SignedMeasure.absolutelyContinuous_iff_withDensity_rnDeriv_eq`
and can be found in `MeasureTheory.Decomposition.RadonNikodym`. -/
def rnDeriv (s : SignedMeasure α) (μ : Measure α) : α → ℝ := fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal
#align measure_theory.signed_measure.rn_deriv MeasureTheory.SignedMeasure.rnDeriv
-- Porting note: The generated equation theorem is the form of `rnDeriv s μ x`.
theorem rnDeriv_def (s : SignedMeasure α) (μ : Measure α) : rnDeriv s μ = fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal :=
rfl
attribute [eqns rnDeriv_def] rnDeriv
variable {s t : SignedMeasure α}
@[measurability]
theorem measurable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Measurable (rnDeriv s μ) := by
rw [rnDeriv]
measurability
#align measure_theory.signed_measure.measurable_rn_deriv MeasureTheory.SignedMeasure.measurable_rnDeriv
theorem integrable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Integrable (rnDeriv s μ) μ := by
refine' Integrable.sub _ _ <;>
· constructor
· apply Measurable.aestronglyMeasurable; measurability
exact hasFiniteIntegral_toReal_of_lintegral_ne_top (lintegral_rnDeriv_lt_top _ μ).ne
#align measure_theory.signed_measure.integrable_rn_deriv MeasureTheory.SignedMeasure.integrable_rnDeriv
variable (s μ)
/-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
first
| exact (lintegral_rnDeriv_lt_top _ _).ne
| measurability
#align measure_theory.signed_measure.singular_part_add_with_density_rn_deriv_eq MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq
variable {s μ}
theorem jordanDecomposition_add_withDensity_mutuallySingular {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) :
(t.toJordanDecomposition.posPart + μ.withDensity fun x : α => ENNReal.ofReal (f x)) ⟂ₘ
t.toJordanDecomposition.negPart + μ.withDensity fun x : α => ENNReal.ofReal (-f x) := by
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
exact
((JordanDecomposition.mutuallySingular _).add_right
(htμ.1.mono_ac (refl _) (withDensity_absolutelyContinuous _ _))).add_left
((htμ.2.symm.mono_ac (withDensity_absolutelyContinuous _ _) (refl _)).add_right
(withDensity_ofReal_mutuallySingular hf))
#align measure_theory.signed_measure.jordan_decomposition_add_with_density_mutually_singular MeasureTheory.SignedMeasure.jordanDecomposition_add_withDensity_mutuallySingular
theorem toJordanDecomposition_eq_of_eq_add_withDensity {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.toJordanDecomposition =
@JordanDecomposition.mk α _
(t.toJordanDecomposition.posPart + μ.withDensity fun x => ENNReal.ofReal (f x))
(t.toJordanDecomposition.negPart + μ.withDensity fun x => ENNReal.ofReal (-f x))
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.2; infer_instance)
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2; infer_instance)
(jordanDecomposition_add_withDensity_mutuallySingular hf htμ) := by
haveI := isFiniteMeasure_withDensity_ofReal hfi.2
haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2
refine' toJordanDecomposition_eq _
simp_rw [JordanDecomposition.toSignedMeasure, hadd]
ext i hi
rw [VectorMeasure.sub_apply, toSignedMeasure_apply_measurable hi,
toSignedMeasure_apply_measurable hi, add_apply, add_apply, ENNReal.toReal_add,
ENNReal.toReal_add, add_sub_add_comm, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi, ← VectorMeasure.sub_apply,
← JordanDecomposition.toSignedMeasure, toSignedMeasure_toJordanDecomposition,
VectorMeasure.add_apply, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi,
withDensityᵥ_eq_withDensity_pos_part_sub_withDensity_neg_part hfi,
VectorMeasure.sub_apply] <;>
exact (measure_lt_top _ _).ne
#align measure_theory.signed_measure.to_jordan_decomposition_eq_of_eq_add_with_density MeasureTheory.SignedMeasure.toJordanDecomposition_eq_of_eq_add_withDensity
private theorem haveLebesgueDecomposition_mk' (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff] at htμ
change _ ⟂ₘ VectorMeasure.equivMeasure.toFun (VectorMeasure.equivMeasure.invFun μ) at htμ
rw [VectorMeasure.equivMeasure.right_inv, totalVariation_mutuallySingular_iff] at htμ
refine'
{ posPart := by
use ⟨t.toJordanDecomposition.posPart, fun x => ENNReal.ofReal (f x)⟩
| refine' ⟨hf.ennreal_ofReal, htμ.1, _⟩ | private theorem haveLebesgueDecomposition_mk' (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff] at htμ
change _ ⟂ₘ VectorMeasure.equivMeasure.toFun (VectorMeasure.equivMeasure.invFun μ) at htμ
rw [VectorMeasure.equivMeasure.right_inv, totalVariation_mutuallySingular_iff] at htμ
refine'
{ posPart := by
use ⟨t.toJordanDecomposition.posPart, fun x => ENNReal.ofReal (f x)⟩
| Mathlib.MeasureTheory.Decomposition.SignedLebesgue.274_0.HPGboz0rhL6sBes | private theorem haveLebesgueDecomposition_mk' (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ | Mathlib_MeasureTheory_Decomposition_SignedLebesgue |
case h
α : Type u_1
β : Type u_2
m : MeasurableSpace α
μ✝ ν : Measure α
s t : SignedMeasure α
μ : Measure α
f : α → ℝ
hf : Measurable f
hfi : Integrable f
hadd : s = t + withDensityᵥ μ f
htμ' : t ⟂ᵥ toENNRealVectorMeasure μ
htμ : (toJordanDecomposition t).posPart ⟂ₘ μ ∧ (toJordanDecomposition t).negPart ⟂ₘ μ
⊢ (toJordanDecomposition s).posPart =
((toJordanDecomposition t).posPart, fun x => ENNReal.ofReal (f x)).1 +
withDensity μ ((toJordanDecomposition t).posPart, fun x => ENNReal.ofReal (f x)).2 | /-
Copyright (c) 2021 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.MeasureTheory.Decomposition.Lebesgue
import Mathlib.MeasureTheory.Measure.Complex
/-!
# Lebesgue decomposition
This file proves the Lebesgue decomposition theorem for signed measures. The Lebesgue decomposition
theorem states that, given two σ-finite measures `μ` and `ν`, there exists a σ-finite measure `ξ`
and a measurable function `f` such that `μ = ξ + fν` and `ξ` is mutually singular with respect
to `ν`.
## Main definitions
* `MeasureTheory.SignedMeasure.HaveLebesgueDecomposition` : A signed measure `s` and a
measure `μ` is said to `HaveLebesgueDecomposition` if both the positive part and negative
part of `s` `HaveLebesgueDecomposition` with respect to `μ`.
* `MeasureTheory.SignedMeasure.singularPart` : The singular part between a signed measure `s`
and a measure `μ` is simply the singular part of the positive part of `s` with respect to `μ`
minus the singular part of the negative part of `s` with respect to `μ`.
* `MeasureTheory.SignedMeasure.rnDeriv` : The Radon-Nikodym derivative of a signed
measure `s` with respect to a measure `μ` is the Radon-Nikodym derivative of the positive part of
`s` with respect to `μ` minus the Radon-Nikodym derivative of the negative part of `s` with
respect to `μ`.
## Main results
* `MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq` :
the Lebesgue decomposition theorem between a signed measure and a σ-finite positive measure.
## Tags
Lebesgue decomposition theorem
-/
noncomputable section
open scoped Classical MeasureTheory NNReal ENNReal
open Set
variable {α β : Type*} {m : MeasurableSpace α} {μ ν : MeasureTheory.Measure α}
namespace MeasureTheory
namespace SignedMeasure
open Measure
/-- A signed measure `s` is said to `HaveLebesgueDecomposition` with respect to a measure `μ`
if the positive part and the negative part of `s` both `HaveLebesgueDecomposition` with
respect to `μ`. -/
class HaveLebesgueDecomposition (s : SignedMeasure α) (μ : Measure α) : Prop where
posPart : s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ
negPart : s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ
#align measure_theory.signed_measure.have_lebesgue_decomposition MeasureTheory.SignedMeasure.HaveLebesgueDecomposition
#align measure_theory.signed_measure.have_lebesgue_decomposition.pos_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.posPart
#align measure_theory.signed_measure.have_lebesgue_decomposition.neg_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.negPart
attribute [instance] HaveLebesgueDecomposition.posPart
attribute [instance] HaveLebesgueDecomposition.negPart
theorem not_haveLebesgueDecomposition_iff (s : SignedMeasure α) (μ : Measure α) :
¬s.HaveLebesgueDecomposition μ ↔
¬s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ ∨
¬s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ :=
⟨fun h => not_or_of_imp fun hp hn => h ⟨hp, hn⟩, fun h hl => (not_and_or.2 h) ⟨hl.1, hl.2⟩⟩
#align measure_theory.signed_measure.not_have_lebesgue_decomposition_iff MeasureTheory.SignedMeasure.not_haveLebesgueDecomposition_iff
-- `infer_instance` directly does not work
-- see Note [lower instance priority]
instance (priority := 100) haveLebesgueDecomposition_of_sigmaFinite (s : SignedMeasure α)
(μ : Measure α) [SigmaFinite μ] : s.HaveLebesgueDecomposition μ where
posPart := inferInstance
negPart := inferInstance
#align measure_theory.signed_measure.have_lebesgue_decomposition_of_sigma_finite MeasureTheory.SignedMeasure.haveLebesgueDecomposition_of_sigmaFinite
instance haveLebesgueDecomposition_neg (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] : (-s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_neg MeasureTheory.SignedMeasure.haveLebesgueDecomposition_neg
instance haveLebesgueDecomposition_smul (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ≥0) : (r • s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul
instance haveLebesgueDecomposition_smul_real (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ) : (r • s).HaveLebesgueDecomposition μ := by
by_cases hr : 0 ≤ r
· lift r to ℝ≥0 using hr
exact s.haveLebesgueDecomposition_smul μ _
· rw [not_le] at hr
refine'
{ posPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_posPart_neg _ _ hr]
infer_instance
negPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_negPart_neg _ _ hr]
infer_instance }
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul_real MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul_real
/-- Given a signed measure `s` and a measure `μ`, `s.singularPart μ` is the signed measure
such that `s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s` and
`s.singularPart μ` is mutually singular with respect to `μ`. -/
def singularPart (s : SignedMeasure α) (μ : Measure α) : SignedMeasure α :=
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure -
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure
#align measure_theory.signed_measure.singular_part MeasureTheory.SignedMeasure.singularPart
section
theorem singularPart_mutuallySingular (s : SignedMeasure α) (μ : Measure α) :
s.toJordanDecomposition.posPart.singularPart μ ⟂ₘ
s.toJordanDecomposition.negPart.singularPart μ := by
by_cases hl : s.HaveLebesgueDecomposition μ
· obtain ⟨i, hi, hpos, hneg⟩ := s.toJordanDecomposition.mutuallySingular
rw [s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ] at hpos
rw [s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ] at hneg
rw [add_apply, add_eq_zero_iff] at hpos hneg
exact ⟨i, hi, hpos.1, hneg.1⟩
· rw [not_haveLebesgueDecomposition_iff] at hl
cases' hl with hp hn
· rw [Measure.singularPart, dif_neg hp]
exact MutuallySingular.zero_left
· rw [Measure.singularPart, Measure.singularPart, dif_neg hn]
exact MutuallySingular.zero_right
#align measure_theory.signed_measure.singular_part_mutually_singular MeasureTheory.SignedMeasure.singularPart_mutuallySingular
theorem singularPart_totalVariation (s : SignedMeasure α) (μ : Measure α) :
(s.singularPart μ).totalVariation =
s.toJordanDecomposition.posPart.singularPart μ +
s.toJordanDecomposition.negPart.singularPart μ := by
have :
(s.singularPart μ).toJordanDecomposition =
⟨s.toJordanDecomposition.posPart.singularPart μ,
s.toJordanDecomposition.negPart.singularPart μ, singularPart_mutuallySingular s μ⟩ := by
refine' JordanDecomposition.toSignedMeasure_injective _
rw [toSignedMeasure_toJordanDecomposition, singularPart, JordanDecomposition.toSignedMeasure]
· rw [totalVariation, this]
#align measure_theory.signed_measure.singular_part_total_variation MeasureTheory.SignedMeasure.singularPart_totalVariation
nonrec theorem mutuallySingular_singularPart (s : SignedMeasure α) (μ : Measure α) :
singularPart s μ ⟂ᵥ μ.toENNRealVectorMeasure := by
rw [mutuallySingular_ennreal_iff, singularPart_totalVariation,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure]
exact (mutuallySingular_singularPart _ _).add_left (mutuallySingular_singularPart _ _)
#align measure_theory.signed_measure.mutually_singular_singular_part MeasureTheory.SignedMeasure.mutuallySingular_singularPart
end
/-- The Radon-Nikodym derivative between a signed measure and a positive measure.
`rnDeriv s μ` satisfies `μ.withDensityᵥ (s.rnDeriv μ) = s`
if and only if `s` is absolutely continuous with respect to `μ` and this fact is known as
`MeasureTheory.SignedMeasure.absolutelyContinuous_iff_withDensity_rnDeriv_eq`
and can be found in `MeasureTheory.Decomposition.RadonNikodym`. -/
def rnDeriv (s : SignedMeasure α) (μ : Measure α) : α → ℝ := fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal
#align measure_theory.signed_measure.rn_deriv MeasureTheory.SignedMeasure.rnDeriv
-- Porting note: The generated equation theorem is the form of `rnDeriv s μ x`.
theorem rnDeriv_def (s : SignedMeasure α) (μ : Measure α) : rnDeriv s μ = fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal :=
rfl
attribute [eqns rnDeriv_def] rnDeriv
variable {s t : SignedMeasure α}
@[measurability]
theorem measurable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Measurable (rnDeriv s μ) := by
rw [rnDeriv]
measurability
#align measure_theory.signed_measure.measurable_rn_deriv MeasureTheory.SignedMeasure.measurable_rnDeriv
theorem integrable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Integrable (rnDeriv s μ) μ := by
refine' Integrable.sub _ _ <;>
· constructor
· apply Measurable.aestronglyMeasurable; measurability
exact hasFiniteIntegral_toReal_of_lintegral_ne_top (lintegral_rnDeriv_lt_top _ μ).ne
#align measure_theory.signed_measure.integrable_rn_deriv MeasureTheory.SignedMeasure.integrable_rnDeriv
variable (s μ)
/-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
first
| exact (lintegral_rnDeriv_lt_top _ _).ne
| measurability
#align measure_theory.signed_measure.singular_part_add_with_density_rn_deriv_eq MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq
variable {s μ}
theorem jordanDecomposition_add_withDensity_mutuallySingular {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) :
(t.toJordanDecomposition.posPart + μ.withDensity fun x : α => ENNReal.ofReal (f x)) ⟂ₘ
t.toJordanDecomposition.negPart + μ.withDensity fun x : α => ENNReal.ofReal (-f x) := by
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
exact
((JordanDecomposition.mutuallySingular _).add_right
(htμ.1.mono_ac (refl _) (withDensity_absolutelyContinuous _ _))).add_left
((htμ.2.symm.mono_ac (withDensity_absolutelyContinuous _ _) (refl _)).add_right
(withDensity_ofReal_mutuallySingular hf))
#align measure_theory.signed_measure.jordan_decomposition_add_with_density_mutually_singular MeasureTheory.SignedMeasure.jordanDecomposition_add_withDensity_mutuallySingular
theorem toJordanDecomposition_eq_of_eq_add_withDensity {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.toJordanDecomposition =
@JordanDecomposition.mk α _
(t.toJordanDecomposition.posPart + μ.withDensity fun x => ENNReal.ofReal (f x))
(t.toJordanDecomposition.negPart + μ.withDensity fun x => ENNReal.ofReal (-f x))
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.2; infer_instance)
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2; infer_instance)
(jordanDecomposition_add_withDensity_mutuallySingular hf htμ) := by
haveI := isFiniteMeasure_withDensity_ofReal hfi.2
haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2
refine' toJordanDecomposition_eq _
simp_rw [JordanDecomposition.toSignedMeasure, hadd]
ext i hi
rw [VectorMeasure.sub_apply, toSignedMeasure_apply_measurable hi,
toSignedMeasure_apply_measurable hi, add_apply, add_apply, ENNReal.toReal_add,
ENNReal.toReal_add, add_sub_add_comm, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi, ← VectorMeasure.sub_apply,
← JordanDecomposition.toSignedMeasure, toSignedMeasure_toJordanDecomposition,
VectorMeasure.add_apply, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi,
withDensityᵥ_eq_withDensity_pos_part_sub_withDensity_neg_part hfi,
VectorMeasure.sub_apply] <;>
exact (measure_lt_top _ _).ne
#align measure_theory.signed_measure.to_jordan_decomposition_eq_of_eq_add_with_density MeasureTheory.SignedMeasure.toJordanDecomposition_eq_of_eq_add_withDensity
private theorem haveLebesgueDecomposition_mk' (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff] at htμ
change _ ⟂ₘ VectorMeasure.equivMeasure.toFun (VectorMeasure.equivMeasure.invFun μ) at htμ
rw [VectorMeasure.equivMeasure.right_inv, totalVariation_mutuallySingular_iff] at htμ
refine'
{ posPart := by
use ⟨t.toJordanDecomposition.posPart, fun x => ENNReal.ofReal (f x)⟩
refine' ⟨hf.ennreal_ofReal, htμ.1, _⟩
| rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd] | private theorem haveLebesgueDecomposition_mk' (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff] at htμ
change _ ⟂ₘ VectorMeasure.equivMeasure.toFun (VectorMeasure.equivMeasure.invFun μ) at htμ
rw [VectorMeasure.equivMeasure.right_inv, totalVariation_mutuallySingular_iff] at htμ
refine'
{ posPart := by
use ⟨t.toJordanDecomposition.posPart, fun x => ENNReal.ofReal (f x)⟩
refine' ⟨hf.ennreal_ofReal, htμ.1, _⟩
| Mathlib.MeasureTheory.Decomposition.SignedLebesgue.274_0.HPGboz0rhL6sBes | private theorem haveLebesgueDecomposition_mk' (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ | Mathlib_MeasureTheory_Decomposition_SignedLebesgue |
α : Type u_1
β : Type u_2
m : MeasurableSpace α
μ✝ ν : Measure α
s t : SignedMeasure α
μ : Measure α
f : α → ℝ
hf : Measurable f
hfi : Integrable f
hadd : s = t + withDensityᵥ μ f
htμ' : t ⟂ᵥ toENNRealVectorMeasure μ
htμ : (toJordanDecomposition t).posPart ⟂ₘ μ ∧ (toJordanDecomposition t).negPart ⟂ₘ μ
⊢ Measure.HaveLebesgueDecomposition (toJordanDecomposition s).negPart μ | /-
Copyright (c) 2021 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.MeasureTheory.Decomposition.Lebesgue
import Mathlib.MeasureTheory.Measure.Complex
/-!
# Lebesgue decomposition
This file proves the Lebesgue decomposition theorem for signed measures. The Lebesgue decomposition
theorem states that, given two σ-finite measures `μ` and `ν`, there exists a σ-finite measure `ξ`
and a measurable function `f` such that `μ = ξ + fν` and `ξ` is mutually singular with respect
to `ν`.
## Main definitions
* `MeasureTheory.SignedMeasure.HaveLebesgueDecomposition` : A signed measure `s` and a
measure `μ` is said to `HaveLebesgueDecomposition` if both the positive part and negative
part of `s` `HaveLebesgueDecomposition` with respect to `μ`.
* `MeasureTheory.SignedMeasure.singularPart` : The singular part between a signed measure `s`
and a measure `μ` is simply the singular part of the positive part of `s` with respect to `μ`
minus the singular part of the negative part of `s` with respect to `μ`.
* `MeasureTheory.SignedMeasure.rnDeriv` : The Radon-Nikodym derivative of a signed
measure `s` with respect to a measure `μ` is the Radon-Nikodym derivative of the positive part of
`s` with respect to `μ` minus the Radon-Nikodym derivative of the negative part of `s` with
respect to `μ`.
## Main results
* `MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq` :
the Lebesgue decomposition theorem between a signed measure and a σ-finite positive measure.
## Tags
Lebesgue decomposition theorem
-/
noncomputable section
open scoped Classical MeasureTheory NNReal ENNReal
open Set
variable {α β : Type*} {m : MeasurableSpace α} {μ ν : MeasureTheory.Measure α}
namespace MeasureTheory
namespace SignedMeasure
open Measure
/-- A signed measure `s` is said to `HaveLebesgueDecomposition` with respect to a measure `μ`
if the positive part and the negative part of `s` both `HaveLebesgueDecomposition` with
respect to `μ`. -/
class HaveLebesgueDecomposition (s : SignedMeasure α) (μ : Measure α) : Prop where
posPart : s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ
negPart : s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ
#align measure_theory.signed_measure.have_lebesgue_decomposition MeasureTheory.SignedMeasure.HaveLebesgueDecomposition
#align measure_theory.signed_measure.have_lebesgue_decomposition.pos_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.posPart
#align measure_theory.signed_measure.have_lebesgue_decomposition.neg_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.negPart
attribute [instance] HaveLebesgueDecomposition.posPart
attribute [instance] HaveLebesgueDecomposition.negPart
theorem not_haveLebesgueDecomposition_iff (s : SignedMeasure α) (μ : Measure α) :
¬s.HaveLebesgueDecomposition μ ↔
¬s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ ∨
¬s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ :=
⟨fun h => not_or_of_imp fun hp hn => h ⟨hp, hn⟩, fun h hl => (not_and_or.2 h) ⟨hl.1, hl.2⟩⟩
#align measure_theory.signed_measure.not_have_lebesgue_decomposition_iff MeasureTheory.SignedMeasure.not_haveLebesgueDecomposition_iff
-- `infer_instance` directly does not work
-- see Note [lower instance priority]
instance (priority := 100) haveLebesgueDecomposition_of_sigmaFinite (s : SignedMeasure α)
(μ : Measure α) [SigmaFinite μ] : s.HaveLebesgueDecomposition μ where
posPart := inferInstance
negPart := inferInstance
#align measure_theory.signed_measure.have_lebesgue_decomposition_of_sigma_finite MeasureTheory.SignedMeasure.haveLebesgueDecomposition_of_sigmaFinite
instance haveLebesgueDecomposition_neg (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] : (-s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_neg MeasureTheory.SignedMeasure.haveLebesgueDecomposition_neg
instance haveLebesgueDecomposition_smul (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ≥0) : (r • s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul
instance haveLebesgueDecomposition_smul_real (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ) : (r • s).HaveLebesgueDecomposition μ := by
by_cases hr : 0 ≤ r
· lift r to ℝ≥0 using hr
exact s.haveLebesgueDecomposition_smul μ _
· rw [not_le] at hr
refine'
{ posPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_posPart_neg _ _ hr]
infer_instance
negPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_negPart_neg _ _ hr]
infer_instance }
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul_real MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul_real
/-- Given a signed measure `s` and a measure `μ`, `s.singularPart μ` is the signed measure
such that `s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s` and
`s.singularPart μ` is mutually singular with respect to `μ`. -/
def singularPart (s : SignedMeasure α) (μ : Measure α) : SignedMeasure α :=
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure -
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure
#align measure_theory.signed_measure.singular_part MeasureTheory.SignedMeasure.singularPart
section
theorem singularPart_mutuallySingular (s : SignedMeasure α) (μ : Measure α) :
s.toJordanDecomposition.posPart.singularPart μ ⟂ₘ
s.toJordanDecomposition.negPart.singularPart μ := by
by_cases hl : s.HaveLebesgueDecomposition μ
· obtain ⟨i, hi, hpos, hneg⟩ := s.toJordanDecomposition.mutuallySingular
rw [s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ] at hpos
rw [s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ] at hneg
rw [add_apply, add_eq_zero_iff] at hpos hneg
exact ⟨i, hi, hpos.1, hneg.1⟩
· rw [not_haveLebesgueDecomposition_iff] at hl
cases' hl with hp hn
· rw [Measure.singularPart, dif_neg hp]
exact MutuallySingular.zero_left
· rw [Measure.singularPart, Measure.singularPart, dif_neg hn]
exact MutuallySingular.zero_right
#align measure_theory.signed_measure.singular_part_mutually_singular MeasureTheory.SignedMeasure.singularPart_mutuallySingular
theorem singularPart_totalVariation (s : SignedMeasure α) (μ : Measure α) :
(s.singularPart μ).totalVariation =
s.toJordanDecomposition.posPart.singularPart μ +
s.toJordanDecomposition.negPart.singularPart μ := by
have :
(s.singularPart μ).toJordanDecomposition =
⟨s.toJordanDecomposition.posPart.singularPart μ,
s.toJordanDecomposition.negPart.singularPart μ, singularPart_mutuallySingular s μ⟩ := by
refine' JordanDecomposition.toSignedMeasure_injective _
rw [toSignedMeasure_toJordanDecomposition, singularPart, JordanDecomposition.toSignedMeasure]
· rw [totalVariation, this]
#align measure_theory.signed_measure.singular_part_total_variation MeasureTheory.SignedMeasure.singularPart_totalVariation
nonrec theorem mutuallySingular_singularPart (s : SignedMeasure α) (μ : Measure α) :
singularPart s μ ⟂ᵥ μ.toENNRealVectorMeasure := by
rw [mutuallySingular_ennreal_iff, singularPart_totalVariation,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure]
exact (mutuallySingular_singularPart _ _).add_left (mutuallySingular_singularPart _ _)
#align measure_theory.signed_measure.mutually_singular_singular_part MeasureTheory.SignedMeasure.mutuallySingular_singularPart
end
/-- The Radon-Nikodym derivative between a signed measure and a positive measure.
`rnDeriv s μ` satisfies `μ.withDensityᵥ (s.rnDeriv μ) = s`
if and only if `s` is absolutely continuous with respect to `μ` and this fact is known as
`MeasureTheory.SignedMeasure.absolutelyContinuous_iff_withDensity_rnDeriv_eq`
and can be found in `MeasureTheory.Decomposition.RadonNikodym`. -/
def rnDeriv (s : SignedMeasure α) (μ : Measure α) : α → ℝ := fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal
#align measure_theory.signed_measure.rn_deriv MeasureTheory.SignedMeasure.rnDeriv
-- Porting note: The generated equation theorem is the form of `rnDeriv s μ x`.
theorem rnDeriv_def (s : SignedMeasure α) (μ : Measure α) : rnDeriv s μ = fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal :=
rfl
attribute [eqns rnDeriv_def] rnDeriv
variable {s t : SignedMeasure α}
@[measurability]
theorem measurable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Measurable (rnDeriv s μ) := by
rw [rnDeriv]
measurability
#align measure_theory.signed_measure.measurable_rn_deriv MeasureTheory.SignedMeasure.measurable_rnDeriv
theorem integrable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Integrable (rnDeriv s μ) μ := by
refine' Integrable.sub _ _ <;>
· constructor
· apply Measurable.aestronglyMeasurable; measurability
exact hasFiniteIntegral_toReal_of_lintegral_ne_top (lintegral_rnDeriv_lt_top _ μ).ne
#align measure_theory.signed_measure.integrable_rn_deriv MeasureTheory.SignedMeasure.integrable_rnDeriv
variable (s μ)
/-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
first
| exact (lintegral_rnDeriv_lt_top _ _).ne
| measurability
#align measure_theory.signed_measure.singular_part_add_with_density_rn_deriv_eq MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq
variable {s μ}
theorem jordanDecomposition_add_withDensity_mutuallySingular {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) :
(t.toJordanDecomposition.posPart + μ.withDensity fun x : α => ENNReal.ofReal (f x)) ⟂ₘ
t.toJordanDecomposition.negPart + μ.withDensity fun x : α => ENNReal.ofReal (-f x) := by
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
exact
((JordanDecomposition.mutuallySingular _).add_right
(htμ.1.mono_ac (refl _) (withDensity_absolutelyContinuous _ _))).add_left
((htμ.2.symm.mono_ac (withDensity_absolutelyContinuous _ _) (refl _)).add_right
(withDensity_ofReal_mutuallySingular hf))
#align measure_theory.signed_measure.jordan_decomposition_add_with_density_mutually_singular MeasureTheory.SignedMeasure.jordanDecomposition_add_withDensity_mutuallySingular
theorem toJordanDecomposition_eq_of_eq_add_withDensity {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.toJordanDecomposition =
@JordanDecomposition.mk α _
(t.toJordanDecomposition.posPart + μ.withDensity fun x => ENNReal.ofReal (f x))
(t.toJordanDecomposition.negPart + μ.withDensity fun x => ENNReal.ofReal (-f x))
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.2; infer_instance)
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2; infer_instance)
(jordanDecomposition_add_withDensity_mutuallySingular hf htμ) := by
haveI := isFiniteMeasure_withDensity_ofReal hfi.2
haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2
refine' toJordanDecomposition_eq _
simp_rw [JordanDecomposition.toSignedMeasure, hadd]
ext i hi
rw [VectorMeasure.sub_apply, toSignedMeasure_apply_measurable hi,
toSignedMeasure_apply_measurable hi, add_apply, add_apply, ENNReal.toReal_add,
ENNReal.toReal_add, add_sub_add_comm, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi, ← VectorMeasure.sub_apply,
← JordanDecomposition.toSignedMeasure, toSignedMeasure_toJordanDecomposition,
VectorMeasure.add_apply, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi,
withDensityᵥ_eq_withDensity_pos_part_sub_withDensity_neg_part hfi,
VectorMeasure.sub_apply] <;>
exact (measure_lt_top _ _).ne
#align measure_theory.signed_measure.to_jordan_decomposition_eq_of_eq_add_with_density MeasureTheory.SignedMeasure.toJordanDecomposition_eq_of_eq_add_withDensity
private theorem haveLebesgueDecomposition_mk' (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff] at htμ
change _ ⟂ₘ VectorMeasure.equivMeasure.toFun (VectorMeasure.equivMeasure.invFun μ) at htμ
rw [VectorMeasure.equivMeasure.right_inv, totalVariation_mutuallySingular_iff] at htμ
refine'
{ posPart := by
use ⟨t.toJordanDecomposition.posPart, fun x => ENNReal.ofReal (f x)⟩
refine' ⟨hf.ennreal_ofReal, htμ.1, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
negPart := by
| use ⟨t.toJordanDecomposition.negPart, fun x => ENNReal.ofReal (-f x)⟩ | private theorem haveLebesgueDecomposition_mk' (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff] at htμ
change _ ⟂ₘ VectorMeasure.equivMeasure.toFun (VectorMeasure.equivMeasure.invFun μ) at htμ
rw [VectorMeasure.equivMeasure.right_inv, totalVariation_mutuallySingular_iff] at htμ
refine'
{ posPart := by
use ⟨t.toJordanDecomposition.posPart, fun x => ENNReal.ofReal (f x)⟩
refine' ⟨hf.ennreal_ofReal, htμ.1, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
negPart := by
| Mathlib.MeasureTheory.Decomposition.SignedLebesgue.274_0.HPGboz0rhL6sBes | private theorem haveLebesgueDecomposition_mk' (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ | Mathlib_MeasureTheory_Decomposition_SignedLebesgue |
case h
α : Type u_1
β : Type u_2
m : MeasurableSpace α
μ✝ ν : Measure α
s t : SignedMeasure α
μ : Measure α
f : α → ℝ
hf : Measurable f
hfi : Integrable f
hadd : s = t + withDensityᵥ μ f
htμ' : t ⟂ᵥ toENNRealVectorMeasure μ
htμ : (toJordanDecomposition t).posPart ⟂ₘ μ ∧ (toJordanDecomposition t).negPart ⟂ₘ μ
⊢ Measurable ((toJordanDecomposition t).negPart, fun x => ENNReal.ofReal (-f x)).2 ∧
((toJordanDecomposition t).negPart, fun x => ENNReal.ofReal (-f x)).1 ⟂ₘ μ ∧
(toJordanDecomposition s).negPart =
((toJordanDecomposition t).negPart, fun x => ENNReal.ofReal (-f x)).1 +
withDensity μ ((toJordanDecomposition t).negPart, fun x => ENNReal.ofReal (-f x)).2 | /-
Copyright (c) 2021 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.MeasureTheory.Decomposition.Lebesgue
import Mathlib.MeasureTheory.Measure.Complex
/-!
# Lebesgue decomposition
This file proves the Lebesgue decomposition theorem for signed measures. The Lebesgue decomposition
theorem states that, given two σ-finite measures `μ` and `ν`, there exists a σ-finite measure `ξ`
and a measurable function `f` such that `μ = ξ + fν` and `ξ` is mutually singular with respect
to `ν`.
## Main definitions
* `MeasureTheory.SignedMeasure.HaveLebesgueDecomposition` : A signed measure `s` and a
measure `μ` is said to `HaveLebesgueDecomposition` if both the positive part and negative
part of `s` `HaveLebesgueDecomposition` with respect to `μ`.
* `MeasureTheory.SignedMeasure.singularPart` : The singular part between a signed measure `s`
and a measure `μ` is simply the singular part of the positive part of `s` with respect to `μ`
minus the singular part of the negative part of `s` with respect to `μ`.
* `MeasureTheory.SignedMeasure.rnDeriv` : The Radon-Nikodym derivative of a signed
measure `s` with respect to a measure `μ` is the Radon-Nikodym derivative of the positive part of
`s` with respect to `μ` minus the Radon-Nikodym derivative of the negative part of `s` with
respect to `μ`.
## Main results
* `MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq` :
the Lebesgue decomposition theorem between a signed measure and a σ-finite positive measure.
## Tags
Lebesgue decomposition theorem
-/
noncomputable section
open scoped Classical MeasureTheory NNReal ENNReal
open Set
variable {α β : Type*} {m : MeasurableSpace α} {μ ν : MeasureTheory.Measure α}
namespace MeasureTheory
namespace SignedMeasure
open Measure
/-- A signed measure `s` is said to `HaveLebesgueDecomposition` with respect to a measure `μ`
if the positive part and the negative part of `s` both `HaveLebesgueDecomposition` with
respect to `μ`. -/
class HaveLebesgueDecomposition (s : SignedMeasure α) (μ : Measure α) : Prop where
posPart : s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ
negPart : s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ
#align measure_theory.signed_measure.have_lebesgue_decomposition MeasureTheory.SignedMeasure.HaveLebesgueDecomposition
#align measure_theory.signed_measure.have_lebesgue_decomposition.pos_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.posPart
#align measure_theory.signed_measure.have_lebesgue_decomposition.neg_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.negPart
attribute [instance] HaveLebesgueDecomposition.posPart
attribute [instance] HaveLebesgueDecomposition.negPart
theorem not_haveLebesgueDecomposition_iff (s : SignedMeasure α) (μ : Measure α) :
¬s.HaveLebesgueDecomposition μ ↔
¬s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ ∨
¬s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ :=
⟨fun h => not_or_of_imp fun hp hn => h ⟨hp, hn⟩, fun h hl => (not_and_or.2 h) ⟨hl.1, hl.2⟩⟩
#align measure_theory.signed_measure.not_have_lebesgue_decomposition_iff MeasureTheory.SignedMeasure.not_haveLebesgueDecomposition_iff
-- `infer_instance` directly does not work
-- see Note [lower instance priority]
instance (priority := 100) haveLebesgueDecomposition_of_sigmaFinite (s : SignedMeasure α)
(μ : Measure α) [SigmaFinite μ] : s.HaveLebesgueDecomposition μ where
posPart := inferInstance
negPart := inferInstance
#align measure_theory.signed_measure.have_lebesgue_decomposition_of_sigma_finite MeasureTheory.SignedMeasure.haveLebesgueDecomposition_of_sigmaFinite
instance haveLebesgueDecomposition_neg (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] : (-s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_neg MeasureTheory.SignedMeasure.haveLebesgueDecomposition_neg
instance haveLebesgueDecomposition_smul (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ≥0) : (r • s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul
instance haveLebesgueDecomposition_smul_real (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ) : (r • s).HaveLebesgueDecomposition μ := by
by_cases hr : 0 ≤ r
· lift r to ℝ≥0 using hr
exact s.haveLebesgueDecomposition_smul μ _
· rw [not_le] at hr
refine'
{ posPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_posPart_neg _ _ hr]
infer_instance
negPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_negPart_neg _ _ hr]
infer_instance }
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul_real MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul_real
/-- Given a signed measure `s` and a measure `μ`, `s.singularPart μ` is the signed measure
such that `s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s` and
`s.singularPart μ` is mutually singular with respect to `μ`. -/
def singularPart (s : SignedMeasure α) (μ : Measure α) : SignedMeasure α :=
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure -
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure
#align measure_theory.signed_measure.singular_part MeasureTheory.SignedMeasure.singularPart
section
theorem singularPart_mutuallySingular (s : SignedMeasure α) (μ : Measure α) :
s.toJordanDecomposition.posPart.singularPart μ ⟂ₘ
s.toJordanDecomposition.negPart.singularPart μ := by
by_cases hl : s.HaveLebesgueDecomposition μ
· obtain ⟨i, hi, hpos, hneg⟩ := s.toJordanDecomposition.mutuallySingular
rw [s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ] at hpos
rw [s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ] at hneg
rw [add_apply, add_eq_zero_iff] at hpos hneg
exact ⟨i, hi, hpos.1, hneg.1⟩
· rw [not_haveLebesgueDecomposition_iff] at hl
cases' hl with hp hn
· rw [Measure.singularPart, dif_neg hp]
exact MutuallySingular.zero_left
· rw [Measure.singularPart, Measure.singularPart, dif_neg hn]
exact MutuallySingular.zero_right
#align measure_theory.signed_measure.singular_part_mutually_singular MeasureTheory.SignedMeasure.singularPart_mutuallySingular
theorem singularPart_totalVariation (s : SignedMeasure α) (μ : Measure α) :
(s.singularPart μ).totalVariation =
s.toJordanDecomposition.posPart.singularPart μ +
s.toJordanDecomposition.negPart.singularPart μ := by
have :
(s.singularPart μ).toJordanDecomposition =
⟨s.toJordanDecomposition.posPart.singularPart μ,
s.toJordanDecomposition.negPart.singularPart μ, singularPart_mutuallySingular s μ⟩ := by
refine' JordanDecomposition.toSignedMeasure_injective _
rw [toSignedMeasure_toJordanDecomposition, singularPart, JordanDecomposition.toSignedMeasure]
· rw [totalVariation, this]
#align measure_theory.signed_measure.singular_part_total_variation MeasureTheory.SignedMeasure.singularPart_totalVariation
nonrec theorem mutuallySingular_singularPart (s : SignedMeasure α) (μ : Measure α) :
singularPart s μ ⟂ᵥ μ.toENNRealVectorMeasure := by
rw [mutuallySingular_ennreal_iff, singularPart_totalVariation,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure]
exact (mutuallySingular_singularPart _ _).add_left (mutuallySingular_singularPart _ _)
#align measure_theory.signed_measure.mutually_singular_singular_part MeasureTheory.SignedMeasure.mutuallySingular_singularPart
end
/-- The Radon-Nikodym derivative between a signed measure and a positive measure.
`rnDeriv s μ` satisfies `μ.withDensityᵥ (s.rnDeriv μ) = s`
if and only if `s` is absolutely continuous with respect to `μ` and this fact is known as
`MeasureTheory.SignedMeasure.absolutelyContinuous_iff_withDensity_rnDeriv_eq`
and can be found in `MeasureTheory.Decomposition.RadonNikodym`. -/
def rnDeriv (s : SignedMeasure α) (μ : Measure α) : α → ℝ := fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal
#align measure_theory.signed_measure.rn_deriv MeasureTheory.SignedMeasure.rnDeriv
-- Porting note: The generated equation theorem is the form of `rnDeriv s μ x`.
theorem rnDeriv_def (s : SignedMeasure α) (μ : Measure α) : rnDeriv s μ = fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal :=
rfl
attribute [eqns rnDeriv_def] rnDeriv
variable {s t : SignedMeasure α}
@[measurability]
theorem measurable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Measurable (rnDeriv s μ) := by
rw [rnDeriv]
measurability
#align measure_theory.signed_measure.measurable_rn_deriv MeasureTheory.SignedMeasure.measurable_rnDeriv
theorem integrable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Integrable (rnDeriv s μ) μ := by
refine' Integrable.sub _ _ <;>
· constructor
· apply Measurable.aestronglyMeasurable; measurability
exact hasFiniteIntegral_toReal_of_lintegral_ne_top (lintegral_rnDeriv_lt_top _ μ).ne
#align measure_theory.signed_measure.integrable_rn_deriv MeasureTheory.SignedMeasure.integrable_rnDeriv
variable (s μ)
/-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
first
| exact (lintegral_rnDeriv_lt_top _ _).ne
| measurability
#align measure_theory.signed_measure.singular_part_add_with_density_rn_deriv_eq MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq
variable {s μ}
theorem jordanDecomposition_add_withDensity_mutuallySingular {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) :
(t.toJordanDecomposition.posPart + μ.withDensity fun x : α => ENNReal.ofReal (f x)) ⟂ₘ
t.toJordanDecomposition.negPart + μ.withDensity fun x : α => ENNReal.ofReal (-f x) := by
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
exact
((JordanDecomposition.mutuallySingular _).add_right
(htμ.1.mono_ac (refl _) (withDensity_absolutelyContinuous _ _))).add_left
((htμ.2.symm.mono_ac (withDensity_absolutelyContinuous _ _) (refl _)).add_right
(withDensity_ofReal_mutuallySingular hf))
#align measure_theory.signed_measure.jordan_decomposition_add_with_density_mutually_singular MeasureTheory.SignedMeasure.jordanDecomposition_add_withDensity_mutuallySingular
theorem toJordanDecomposition_eq_of_eq_add_withDensity {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.toJordanDecomposition =
@JordanDecomposition.mk α _
(t.toJordanDecomposition.posPart + μ.withDensity fun x => ENNReal.ofReal (f x))
(t.toJordanDecomposition.negPart + μ.withDensity fun x => ENNReal.ofReal (-f x))
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.2; infer_instance)
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2; infer_instance)
(jordanDecomposition_add_withDensity_mutuallySingular hf htμ) := by
haveI := isFiniteMeasure_withDensity_ofReal hfi.2
haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2
refine' toJordanDecomposition_eq _
simp_rw [JordanDecomposition.toSignedMeasure, hadd]
ext i hi
rw [VectorMeasure.sub_apply, toSignedMeasure_apply_measurable hi,
toSignedMeasure_apply_measurable hi, add_apply, add_apply, ENNReal.toReal_add,
ENNReal.toReal_add, add_sub_add_comm, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi, ← VectorMeasure.sub_apply,
← JordanDecomposition.toSignedMeasure, toSignedMeasure_toJordanDecomposition,
VectorMeasure.add_apply, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi,
withDensityᵥ_eq_withDensity_pos_part_sub_withDensity_neg_part hfi,
VectorMeasure.sub_apply] <;>
exact (measure_lt_top _ _).ne
#align measure_theory.signed_measure.to_jordan_decomposition_eq_of_eq_add_with_density MeasureTheory.SignedMeasure.toJordanDecomposition_eq_of_eq_add_withDensity
private theorem haveLebesgueDecomposition_mk' (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff] at htμ
change _ ⟂ₘ VectorMeasure.equivMeasure.toFun (VectorMeasure.equivMeasure.invFun μ) at htμ
rw [VectorMeasure.equivMeasure.right_inv, totalVariation_mutuallySingular_iff] at htμ
refine'
{ posPart := by
use ⟨t.toJordanDecomposition.posPart, fun x => ENNReal.ofReal (f x)⟩
refine' ⟨hf.ennreal_ofReal, htμ.1, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
negPart := by
use ⟨t.toJordanDecomposition.negPart, fun x => ENNReal.ofReal (-f x)⟩
| refine' ⟨hf.neg.ennreal_ofReal, htμ.2, _⟩ | private theorem haveLebesgueDecomposition_mk' (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff] at htμ
change _ ⟂ₘ VectorMeasure.equivMeasure.toFun (VectorMeasure.equivMeasure.invFun μ) at htμ
rw [VectorMeasure.equivMeasure.right_inv, totalVariation_mutuallySingular_iff] at htμ
refine'
{ posPart := by
use ⟨t.toJordanDecomposition.posPart, fun x => ENNReal.ofReal (f x)⟩
refine' ⟨hf.ennreal_ofReal, htμ.1, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
negPart := by
use ⟨t.toJordanDecomposition.negPart, fun x => ENNReal.ofReal (-f x)⟩
| Mathlib.MeasureTheory.Decomposition.SignedLebesgue.274_0.HPGboz0rhL6sBes | private theorem haveLebesgueDecomposition_mk' (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ | Mathlib_MeasureTheory_Decomposition_SignedLebesgue |
case h
α : Type u_1
β : Type u_2
m : MeasurableSpace α
μ✝ ν : Measure α
s t : SignedMeasure α
μ : Measure α
f : α → ℝ
hf : Measurable f
hfi : Integrable f
hadd : s = t + withDensityᵥ μ f
htμ' : t ⟂ᵥ toENNRealVectorMeasure μ
htμ : (toJordanDecomposition t).posPart ⟂ₘ μ ∧ (toJordanDecomposition t).negPart ⟂ₘ μ
⊢ (toJordanDecomposition s).negPart =
((toJordanDecomposition t).negPart, fun x => ENNReal.ofReal (-f x)).1 +
withDensity μ ((toJordanDecomposition t).negPart, fun x => ENNReal.ofReal (-f x)).2 | /-
Copyright (c) 2021 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.MeasureTheory.Decomposition.Lebesgue
import Mathlib.MeasureTheory.Measure.Complex
/-!
# Lebesgue decomposition
This file proves the Lebesgue decomposition theorem for signed measures. The Lebesgue decomposition
theorem states that, given two σ-finite measures `μ` and `ν`, there exists a σ-finite measure `ξ`
and a measurable function `f` such that `μ = ξ + fν` and `ξ` is mutually singular with respect
to `ν`.
## Main definitions
* `MeasureTheory.SignedMeasure.HaveLebesgueDecomposition` : A signed measure `s` and a
measure `μ` is said to `HaveLebesgueDecomposition` if both the positive part and negative
part of `s` `HaveLebesgueDecomposition` with respect to `μ`.
* `MeasureTheory.SignedMeasure.singularPart` : The singular part between a signed measure `s`
and a measure `μ` is simply the singular part of the positive part of `s` with respect to `μ`
minus the singular part of the negative part of `s` with respect to `μ`.
* `MeasureTheory.SignedMeasure.rnDeriv` : The Radon-Nikodym derivative of a signed
measure `s` with respect to a measure `μ` is the Radon-Nikodym derivative of the positive part of
`s` with respect to `μ` minus the Radon-Nikodym derivative of the negative part of `s` with
respect to `μ`.
## Main results
* `MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq` :
the Lebesgue decomposition theorem between a signed measure and a σ-finite positive measure.
## Tags
Lebesgue decomposition theorem
-/
noncomputable section
open scoped Classical MeasureTheory NNReal ENNReal
open Set
variable {α β : Type*} {m : MeasurableSpace α} {μ ν : MeasureTheory.Measure α}
namespace MeasureTheory
namespace SignedMeasure
open Measure
/-- A signed measure `s` is said to `HaveLebesgueDecomposition` with respect to a measure `μ`
if the positive part and the negative part of `s` both `HaveLebesgueDecomposition` with
respect to `μ`. -/
class HaveLebesgueDecomposition (s : SignedMeasure α) (μ : Measure α) : Prop where
posPart : s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ
negPart : s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ
#align measure_theory.signed_measure.have_lebesgue_decomposition MeasureTheory.SignedMeasure.HaveLebesgueDecomposition
#align measure_theory.signed_measure.have_lebesgue_decomposition.pos_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.posPart
#align measure_theory.signed_measure.have_lebesgue_decomposition.neg_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.negPart
attribute [instance] HaveLebesgueDecomposition.posPart
attribute [instance] HaveLebesgueDecomposition.negPart
theorem not_haveLebesgueDecomposition_iff (s : SignedMeasure α) (μ : Measure α) :
¬s.HaveLebesgueDecomposition μ ↔
¬s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ ∨
¬s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ :=
⟨fun h => not_or_of_imp fun hp hn => h ⟨hp, hn⟩, fun h hl => (not_and_or.2 h) ⟨hl.1, hl.2⟩⟩
#align measure_theory.signed_measure.not_have_lebesgue_decomposition_iff MeasureTheory.SignedMeasure.not_haveLebesgueDecomposition_iff
-- `infer_instance` directly does not work
-- see Note [lower instance priority]
instance (priority := 100) haveLebesgueDecomposition_of_sigmaFinite (s : SignedMeasure α)
(μ : Measure α) [SigmaFinite μ] : s.HaveLebesgueDecomposition μ where
posPart := inferInstance
negPart := inferInstance
#align measure_theory.signed_measure.have_lebesgue_decomposition_of_sigma_finite MeasureTheory.SignedMeasure.haveLebesgueDecomposition_of_sigmaFinite
instance haveLebesgueDecomposition_neg (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] : (-s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_neg MeasureTheory.SignedMeasure.haveLebesgueDecomposition_neg
instance haveLebesgueDecomposition_smul (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ≥0) : (r • s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul
instance haveLebesgueDecomposition_smul_real (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ) : (r • s).HaveLebesgueDecomposition μ := by
by_cases hr : 0 ≤ r
· lift r to ℝ≥0 using hr
exact s.haveLebesgueDecomposition_smul μ _
· rw [not_le] at hr
refine'
{ posPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_posPart_neg _ _ hr]
infer_instance
negPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_negPart_neg _ _ hr]
infer_instance }
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul_real MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul_real
/-- Given a signed measure `s` and a measure `μ`, `s.singularPart μ` is the signed measure
such that `s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s` and
`s.singularPart μ` is mutually singular with respect to `μ`. -/
def singularPart (s : SignedMeasure α) (μ : Measure α) : SignedMeasure α :=
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure -
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure
#align measure_theory.signed_measure.singular_part MeasureTheory.SignedMeasure.singularPart
section
theorem singularPart_mutuallySingular (s : SignedMeasure α) (μ : Measure α) :
s.toJordanDecomposition.posPart.singularPart μ ⟂ₘ
s.toJordanDecomposition.negPart.singularPart μ := by
by_cases hl : s.HaveLebesgueDecomposition μ
· obtain ⟨i, hi, hpos, hneg⟩ := s.toJordanDecomposition.mutuallySingular
rw [s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ] at hpos
rw [s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ] at hneg
rw [add_apply, add_eq_zero_iff] at hpos hneg
exact ⟨i, hi, hpos.1, hneg.1⟩
· rw [not_haveLebesgueDecomposition_iff] at hl
cases' hl with hp hn
· rw [Measure.singularPart, dif_neg hp]
exact MutuallySingular.zero_left
· rw [Measure.singularPart, Measure.singularPart, dif_neg hn]
exact MutuallySingular.zero_right
#align measure_theory.signed_measure.singular_part_mutually_singular MeasureTheory.SignedMeasure.singularPart_mutuallySingular
theorem singularPart_totalVariation (s : SignedMeasure α) (μ : Measure α) :
(s.singularPart μ).totalVariation =
s.toJordanDecomposition.posPart.singularPart μ +
s.toJordanDecomposition.negPart.singularPart μ := by
have :
(s.singularPart μ).toJordanDecomposition =
⟨s.toJordanDecomposition.posPart.singularPart μ,
s.toJordanDecomposition.negPart.singularPart μ, singularPart_mutuallySingular s μ⟩ := by
refine' JordanDecomposition.toSignedMeasure_injective _
rw [toSignedMeasure_toJordanDecomposition, singularPart, JordanDecomposition.toSignedMeasure]
· rw [totalVariation, this]
#align measure_theory.signed_measure.singular_part_total_variation MeasureTheory.SignedMeasure.singularPart_totalVariation
nonrec theorem mutuallySingular_singularPart (s : SignedMeasure α) (μ : Measure α) :
singularPart s μ ⟂ᵥ μ.toENNRealVectorMeasure := by
rw [mutuallySingular_ennreal_iff, singularPart_totalVariation,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure]
exact (mutuallySingular_singularPart _ _).add_left (mutuallySingular_singularPart _ _)
#align measure_theory.signed_measure.mutually_singular_singular_part MeasureTheory.SignedMeasure.mutuallySingular_singularPart
end
/-- The Radon-Nikodym derivative between a signed measure and a positive measure.
`rnDeriv s μ` satisfies `μ.withDensityᵥ (s.rnDeriv μ) = s`
if and only if `s` is absolutely continuous with respect to `μ` and this fact is known as
`MeasureTheory.SignedMeasure.absolutelyContinuous_iff_withDensity_rnDeriv_eq`
and can be found in `MeasureTheory.Decomposition.RadonNikodym`. -/
def rnDeriv (s : SignedMeasure α) (μ : Measure α) : α → ℝ := fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal
#align measure_theory.signed_measure.rn_deriv MeasureTheory.SignedMeasure.rnDeriv
-- Porting note: The generated equation theorem is the form of `rnDeriv s μ x`.
theorem rnDeriv_def (s : SignedMeasure α) (μ : Measure α) : rnDeriv s μ = fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal :=
rfl
attribute [eqns rnDeriv_def] rnDeriv
variable {s t : SignedMeasure α}
@[measurability]
theorem measurable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Measurable (rnDeriv s μ) := by
rw [rnDeriv]
measurability
#align measure_theory.signed_measure.measurable_rn_deriv MeasureTheory.SignedMeasure.measurable_rnDeriv
theorem integrable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Integrable (rnDeriv s μ) μ := by
refine' Integrable.sub _ _ <;>
· constructor
· apply Measurable.aestronglyMeasurable; measurability
exact hasFiniteIntegral_toReal_of_lintegral_ne_top (lintegral_rnDeriv_lt_top _ μ).ne
#align measure_theory.signed_measure.integrable_rn_deriv MeasureTheory.SignedMeasure.integrable_rnDeriv
variable (s μ)
/-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
first
| exact (lintegral_rnDeriv_lt_top _ _).ne
| measurability
#align measure_theory.signed_measure.singular_part_add_with_density_rn_deriv_eq MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq
variable {s μ}
theorem jordanDecomposition_add_withDensity_mutuallySingular {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) :
(t.toJordanDecomposition.posPart + μ.withDensity fun x : α => ENNReal.ofReal (f x)) ⟂ₘ
t.toJordanDecomposition.negPart + μ.withDensity fun x : α => ENNReal.ofReal (-f x) := by
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
exact
((JordanDecomposition.mutuallySingular _).add_right
(htμ.1.mono_ac (refl _) (withDensity_absolutelyContinuous _ _))).add_left
((htμ.2.symm.mono_ac (withDensity_absolutelyContinuous _ _) (refl _)).add_right
(withDensity_ofReal_mutuallySingular hf))
#align measure_theory.signed_measure.jordan_decomposition_add_with_density_mutually_singular MeasureTheory.SignedMeasure.jordanDecomposition_add_withDensity_mutuallySingular
theorem toJordanDecomposition_eq_of_eq_add_withDensity {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.toJordanDecomposition =
@JordanDecomposition.mk α _
(t.toJordanDecomposition.posPart + μ.withDensity fun x => ENNReal.ofReal (f x))
(t.toJordanDecomposition.negPart + μ.withDensity fun x => ENNReal.ofReal (-f x))
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.2; infer_instance)
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2; infer_instance)
(jordanDecomposition_add_withDensity_mutuallySingular hf htμ) := by
haveI := isFiniteMeasure_withDensity_ofReal hfi.2
haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2
refine' toJordanDecomposition_eq _
simp_rw [JordanDecomposition.toSignedMeasure, hadd]
ext i hi
rw [VectorMeasure.sub_apply, toSignedMeasure_apply_measurable hi,
toSignedMeasure_apply_measurable hi, add_apply, add_apply, ENNReal.toReal_add,
ENNReal.toReal_add, add_sub_add_comm, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi, ← VectorMeasure.sub_apply,
← JordanDecomposition.toSignedMeasure, toSignedMeasure_toJordanDecomposition,
VectorMeasure.add_apply, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi,
withDensityᵥ_eq_withDensity_pos_part_sub_withDensity_neg_part hfi,
VectorMeasure.sub_apply] <;>
exact (measure_lt_top _ _).ne
#align measure_theory.signed_measure.to_jordan_decomposition_eq_of_eq_add_with_density MeasureTheory.SignedMeasure.toJordanDecomposition_eq_of_eq_add_withDensity
private theorem haveLebesgueDecomposition_mk' (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff] at htμ
change _ ⟂ₘ VectorMeasure.equivMeasure.toFun (VectorMeasure.equivMeasure.invFun μ) at htμ
rw [VectorMeasure.equivMeasure.right_inv, totalVariation_mutuallySingular_iff] at htμ
refine'
{ posPart := by
use ⟨t.toJordanDecomposition.posPart, fun x => ENNReal.ofReal (f x)⟩
refine' ⟨hf.ennreal_ofReal, htμ.1, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
negPart := by
use ⟨t.toJordanDecomposition.negPart, fun x => ENNReal.ofReal (-f x)⟩
refine' ⟨hf.neg.ennreal_ofReal, htμ.2, _⟩
| rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd] | private theorem haveLebesgueDecomposition_mk' (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff] at htμ
change _ ⟂ₘ VectorMeasure.equivMeasure.toFun (VectorMeasure.equivMeasure.invFun μ) at htμ
rw [VectorMeasure.equivMeasure.right_inv, totalVariation_mutuallySingular_iff] at htμ
refine'
{ posPart := by
use ⟨t.toJordanDecomposition.posPart, fun x => ENNReal.ofReal (f x)⟩
refine' ⟨hf.ennreal_ofReal, htμ.1, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
negPart := by
use ⟨t.toJordanDecomposition.negPart, fun x => ENNReal.ofReal (-f x)⟩
refine' ⟨hf.neg.ennreal_ofReal, htμ.2, _⟩
| Mathlib.MeasureTheory.Decomposition.SignedLebesgue.274_0.HPGboz0rhL6sBes | private theorem haveLebesgueDecomposition_mk' (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ | Mathlib_MeasureTheory_Decomposition_SignedLebesgue |
α : Type u_1
β : Type u_2
m : MeasurableSpace α
μ✝ ν : Measure α
s t : SignedMeasure α
μ : Measure α
f : α → ℝ
hf : Measurable f
htμ : t ⟂ᵥ toENNRealVectorMeasure μ
hadd : s = t + withDensityᵥ μ f
⊢ HaveLebesgueDecomposition s μ | /-
Copyright (c) 2021 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.MeasureTheory.Decomposition.Lebesgue
import Mathlib.MeasureTheory.Measure.Complex
/-!
# Lebesgue decomposition
This file proves the Lebesgue decomposition theorem for signed measures. The Lebesgue decomposition
theorem states that, given two σ-finite measures `μ` and `ν`, there exists a σ-finite measure `ξ`
and a measurable function `f` such that `μ = ξ + fν` and `ξ` is mutually singular with respect
to `ν`.
## Main definitions
* `MeasureTheory.SignedMeasure.HaveLebesgueDecomposition` : A signed measure `s` and a
measure `μ` is said to `HaveLebesgueDecomposition` if both the positive part and negative
part of `s` `HaveLebesgueDecomposition` with respect to `μ`.
* `MeasureTheory.SignedMeasure.singularPart` : The singular part between a signed measure `s`
and a measure `μ` is simply the singular part of the positive part of `s` with respect to `μ`
minus the singular part of the negative part of `s` with respect to `μ`.
* `MeasureTheory.SignedMeasure.rnDeriv` : The Radon-Nikodym derivative of a signed
measure `s` with respect to a measure `μ` is the Radon-Nikodym derivative of the positive part of
`s` with respect to `μ` minus the Radon-Nikodym derivative of the negative part of `s` with
respect to `μ`.
## Main results
* `MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq` :
the Lebesgue decomposition theorem between a signed measure and a σ-finite positive measure.
## Tags
Lebesgue decomposition theorem
-/
noncomputable section
open scoped Classical MeasureTheory NNReal ENNReal
open Set
variable {α β : Type*} {m : MeasurableSpace α} {μ ν : MeasureTheory.Measure α}
namespace MeasureTheory
namespace SignedMeasure
open Measure
/-- A signed measure `s` is said to `HaveLebesgueDecomposition` with respect to a measure `μ`
if the positive part and the negative part of `s` both `HaveLebesgueDecomposition` with
respect to `μ`. -/
class HaveLebesgueDecomposition (s : SignedMeasure α) (μ : Measure α) : Prop where
posPart : s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ
negPart : s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ
#align measure_theory.signed_measure.have_lebesgue_decomposition MeasureTheory.SignedMeasure.HaveLebesgueDecomposition
#align measure_theory.signed_measure.have_lebesgue_decomposition.pos_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.posPart
#align measure_theory.signed_measure.have_lebesgue_decomposition.neg_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.negPart
attribute [instance] HaveLebesgueDecomposition.posPart
attribute [instance] HaveLebesgueDecomposition.negPart
theorem not_haveLebesgueDecomposition_iff (s : SignedMeasure α) (μ : Measure α) :
¬s.HaveLebesgueDecomposition μ ↔
¬s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ ∨
¬s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ :=
⟨fun h => not_or_of_imp fun hp hn => h ⟨hp, hn⟩, fun h hl => (not_and_or.2 h) ⟨hl.1, hl.2⟩⟩
#align measure_theory.signed_measure.not_have_lebesgue_decomposition_iff MeasureTheory.SignedMeasure.not_haveLebesgueDecomposition_iff
-- `infer_instance` directly does not work
-- see Note [lower instance priority]
instance (priority := 100) haveLebesgueDecomposition_of_sigmaFinite (s : SignedMeasure α)
(μ : Measure α) [SigmaFinite μ] : s.HaveLebesgueDecomposition μ where
posPart := inferInstance
negPart := inferInstance
#align measure_theory.signed_measure.have_lebesgue_decomposition_of_sigma_finite MeasureTheory.SignedMeasure.haveLebesgueDecomposition_of_sigmaFinite
instance haveLebesgueDecomposition_neg (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] : (-s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_neg MeasureTheory.SignedMeasure.haveLebesgueDecomposition_neg
instance haveLebesgueDecomposition_smul (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ≥0) : (r • s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul
instance haveLebesgueDecomposition_smul_real (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ) : (r • s).HaveLebesgueDecomposition μ := by
by_cases hr : 0 ≤ r
· lift r to ℝ≥0 using hr
exact s.haveLebesgueDecomposition_smul μ _
· rw [not_le] at hr
refine'
{ posPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_posPart_neg _ _ hr]
infer_instance
negPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_negPart_neg _ _ hr]
infer_instance }
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul_real MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul_real
/-- Given a signed measure `s` and a measure `μ`, `s.singularPart μ` is the signed measure
such that `s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s` and
`s.singularPart μ` is mutually singular with respect to `μ`. -/
def singularPart (s : SignedMeasure α) (μ : Measure α) : SignedMeasure α :=
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure -
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure
#align measure_theory.signed_measure.singular_part MeasureTheory.SignedMeasure.singularPart
section
theorem singularPart_mutuallySingular (s : SignedMeasure α) (μ : Measure α) :
s.toJordanDecomposition.posPart.singularPart μ ⟂ₘ
s.toJordanDecomposition.negPart.singularPart μ := by
by_cases hl : s.HaveLebesgueDecomposition μ
· obtain ⟨i, hi, hpos, hneg⟩ := s.toJordanDecomposition.mutuallySingular
rw [s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ] at hpos
rw [s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ] at hneg
rw [add_apply, add_eq_zero_iff] at hpos hneg
exact ⟨i, hi, hpos.1, hneg.1⟩
· rw [not_haveLebesgueDecomposition_iff] at hl
cases' hl with hp hn
· rw [Measure.singularPart, dif_neg hp]
exact MutuallySingular.zero_left
· rw [Measure.singularPart, Measure.singularPart, dif_neg hn]
exact MutuallySingular.zero_right
#align measure_theory.signed_measure.singular_part_mutually_singular MeasureTheory.SignedMeasure.singularPart_mutuallySingular
theorem singularPart_totalVariation (s : SignedMeasure α) (μ : Measure α) :
(s.singularPart μ).totalVariation =
s.toJordanDecomposition.posPart.singularPart μ +
s.toJordanDecomposition.negPart.singularPart μ := by
have :
(s.singularPart μ).toJordanDecomposition =
⟨s.toJordanDecomposition.posPart.singularPart μ,
s.toJordanDecomposition.negPart.singularPart μ, singularPart_mutuallySingular s μ⟩ := by
refine' JordanDecomposition.toSignedMeasure_injective _
rw [toSignedMeasure_toJordanDecomposition, singularPart, JordanDecomposition.toSignedMeasure]
· rw [totalVariation, this]
#align measure_theory.signed_measure.singular_part_total_variation MeasureTheory.SignedMeasure.singularPart_totalVariation
nonrec theorem mutuallySingular_singularPart (s : SignedMeasure α) (μ : Measure α) :
singularPart s μ ⟂ᵥ μ.toENNRealVectorMeasure := by
rw [mutuallySingular_ennreal_iff, singularPart_totalVariation,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure]
exact (mutuallySingular_singularPart _ _).add_left (mutuallySingular_singularPart _ _)
#align measure_theory.signed_measure.mutually_singular_singular_part MeasureTheory.SignedMeasure.mutuallySingular_singularPart
end
/-- The Radon-Nikodym derivative between a signed measure and a positive measure.
`rnDeriv s μ` satisfies `μ.withDensityᵥ (s.rnDeriv μ) = s`
if and only if `s` is absolutely continuous with respect to `μ` and this fact is known as
`MeasureTheory.SignedMeasure.absolutelyContinuous_iff_withDensity_rnDeriv_eq`
and can be found in `MeasureTheory.Decomposition.RadonNikodym`. -/
def rnDeriv (s : SignedMeasure α) (μ : Measure α) : α → ℝ := fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal
#align measure_theory.signed_measure.rn_deriv MeasureTheory.SignedMeasure.rnDeriv
-- Porting note: The generated equation theorem is the form of `rnDeriv s μ x`.
theorem rnDeriv_def (s : SignedMeasure α) (μ : Measure α) : rnDeriv s μ = fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal :=
rfl
attribute [eqns rnDeriv_def] rnDeriv
variable {s t : SignedMeasure α}
@[measurability]
theorem measurable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Measurable (rnDeriv s μ) := by
rw [rnDeriv]
measurability
#align measure_theory.signed_measure.measurable_rn_deriv MeasureTheory.SignedMeasure.measurable_rnDeriv
theorem integrable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Integrable (rnDeriv s μ) μ := by
refine' Integrable.sub _ _ <;>
· constructor
· apply Measurable.aestronglyMeasurable; measurability
exact hasFiniteIntegral_toReal_of_lintegral_ne_top (lintegral_rnDeriv_lt_top _ μ).ne
#align measure_theory.signed_measure.integrable_rn_deriv MeasureTheory.SignedMeasure.integrable_rnDeriv
variable (s μ)
/-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
first
| exact (lintegral_rnDeriv_lt_top _ _).ne
| measurability
#align measure_theory.signed_measure.singular_part_add_with_density_rn_deriv_eq MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq
variable {s μ}
theorem jordanDecomposition_add_withDensity_mutuallySingular {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) :
(t.toJordanDecomposition.posPart + μ.withDensity fun x : α => ENNReal.ofReal (f x)) ⟂ₘ
t.toJordanDecomposition.negPart + μ.withDensity fun x : α => ENNReal.ofReal (-f x) := by
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
exact
((JordanDecomposition.mutuallySingular _).add_right
(htμ.1.mono_ac (refl _) (withDensity_absolutelyContinuous _ _))).add_left
((htμ.2.symm.mono_ac (withDensity_absolutelyContinuous _ _) (refl _)).add_right
(withDensity_ofReal_mutuallySingular hf))
#align measure_theory.signed_measure.jordan_decomposition_add_with_density_mutually_singular MeasureTheory.SignedMeasure.jordanDecomposition_add_withDensity_mutuallySingular
theorem toJordanDecomposition_eq_of_eq_add_withDensity {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.toJordanDecomposition =
@JordanDecomposition.mk α _
(t.toJordanDecomposition.posPart + μ.withDensity fun x => ENNReal.ofReal (f x))
(t.toJordanDecomposition.negPart + μ.withDensity fun x => ENNReal.ofReal (-f x))
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.2; infer_instance)
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2; infer_instance)
(jordanDecomposition_add_withDensity_mutuallySingular hf htμ) := by
haveI := isFiniteMeasure_withDensity_ofReal hfi.2
haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2
refine' toJordanDecomposition_eq _
simp_rw [JordanDecomposition.toSignedMeasure, hadd]
ext i hi
rw [VectorMeasure.sub_apply, toSignedMeasure_apply_measurable hi,
toSignedMeasure_apply_measurable hi, add_apply, add_apply, ENNReal.toReal_add,
ENNReal.toReal_add, add_sub_add_comm, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi, ← VectorMeasure.sub_apply,
← JordanDecomposition.toSignedMeasure, toSignedMeasure_toJordanDecomposition,
VectorMeasure.add_apply, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi,
withDensityᵥ_eq_withDensity_pos_part_sub_withDensity_neg_part hfi,
VectorMeasure.sub_apply] <;>
exact (measure_lt_top _ _).ne
#align measure_theory.signed_measure.to_jordan_decomposition_eq_of_eq_add_with_density MeasureTheory.SignedMeasure.toJordanDecomposition_eq_of_eq_add_withDensity
private theorem haveLebesgueDecomposition_mk' (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff] at htμ
change _ ⟂ₘ VectorMeasure.equivMeasure.toFun (VectorMeasure.equivMeasure.invFun μ) at htμ
rw [VectorMeasure.equivMeasure.right_inv, totalVariation_mutuallySingular_iff] at htμ
refine'
{ posPart := by
use ⟨t.toJordanDecomposition.posPart, fun x => ENNReal.ofReal (f x)⟩
refine' ⟨hf.ennreal_ofReal, htμ.1, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
negPart := by
use ⟨t.toJordanDecomposition.negPart, fun x => ENNReal.ofReal (-f x)⟩
refine' ⟨hf.neg.ennreal_ofReal, htμ.2, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd] }
theorem haveLebesgueDecomposition_mk (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
| by_cases hfi : Integrable f μ | theorem haveLebesgueDecomposition_mk (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
| Mathlib.MeasureTheory.Decomposition.SignedLebesgue.291_0.HPGboz0rhL6sBes | theorem haveLebesgueDecomposition_mk (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ | Mathlib_MeasureTheory_Decomposition_SignedLebesgue |
case pos
α : Type u_1
β : Type u_2
m : MeasurableSpace α
μ✝ ν : Measure α
s t : SignedMeasure α
μ : Measure α
f : α → ℝ
hf : Measurable f
htμ : t ⟂ᵥ toENNRealVectorMeasure μ
hadd : s = t + withDensityᵥ μ f
hfi : Integrable f
⊢ HaveLebesgueDecomposition s μ | /-
Copyright (c) 2021 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.MeasureTheory.Decomposition.Lebesgue
import Mathlib.MeasureTheory.Measure.Complex
/-!
# Lebesgue decomposition
This file proves the Lebesgue decomposition theorem for signed measures. The Lebesgue decomposition
theorem states that, given two σ-finite measures `μ` and `ν`, there exists a σ-finite measure `ξ`
and a measurable function `f` such that `μ = ξ + fν` and `ξ` is mutually singular with respect
to `ν`.
## Main definitions
* `MeasureTheory.SignedMeasure.HaveLebesgueDecomposition` : A signed measure `s` and a
measure `μ` is said to `HaveLebesgueDecomposition` if both the positive part and negative
part of `s` `HaveLebesgueDecomposition` with respect to `μ`.
* `MeasureTheory.SignedMeasure.singularPart` : The singular part between a signed measure `s`
and a measure `μ` is simply the singular part of the positive part of `s` with respect to `μ`
minus the singular part of the negative part of `s` with respect to `μ`.
* `MeasureTheory.SignedMeasure.rnDeriv` : The Radon-Nikodym derivative of a signed
measure `s` with respect to a measure `μ` is the Radon-Nikodym derivative of the positive part of
`s` with respect to `μ` minus the Radon-Nikodym derivative of the negative part of `s` with
respect to `μ`.
## Main results
* `MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq` :
the Lebesgue decomposition theorem between a signed measure and a σ-finite positive measure.
## Tags
Lebesgue decomposition theorem
-/
noncomputable section
open scoped Classical MeasureTheory NNReal ENNReal
open Set
variable {α β : Type*} {m : MeasurableSpace α} {μ ν : MeasureTheory.Measure α}
namespace MeasureTheory
namespace SignedMeasure
open Measure
/-- A signed measure `s` is said to `HaveLebesgueDecomposition` with respect to a measure `μ`
if the positive part and the negative part of `s` both `HaveLebesgueDecomposition` with
respect to `μ`. -/
class HaveLebesgueDecomposition (s : SignedMeasure α) (μ : Measure α) : Prop where
posPart : s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ
negPart : s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ
#align measure_theory.signed_measure.have_lebesgue_decomposition MeasureTheory.SignedMeasure.HaveLebesgueDecomposition
#align measure_theory.signed_measure.have_lebesgue_decomposition.pos_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.posPart
#align measure_theory.signed_measure.have_lebesgue_decomposition.neg_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.negPart
attribute [instance] HaveLebesgueDecomposition.posPart
attribute [instance] HaveLebesgueDecomposition.negPart
theorem not_haveLebesgueDecomposition_iff (s : SignedMeasure α) (μ : Measure α) :
¬s.HaveLebesgueDecomposition μ ↔
¬s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ ∨
¬s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ :=
⟨fun h => not_or_of_imp fun hp hn => h ⟨hp, hn⟩, fun h hl => (not_and_or.2 h) ⟨hl.1, hl.2⟩⟩
#align measure_theory.signed_measure.not_have_lebesgue_decomposition_iff MeasureTheory.SignedMeasure.not_haveLebesgueDecomposition_iff
-- `infer_instance` directly does not work
-- see Note [lower instance priority]
instance (priority := 100) haveLebesgueDecomposition_of_sigmaFinite (s : SignedMeasure α)
(μ : Measure α) [SigmaFinite μ] : s.HaveLebesgueDecomposition μ where
posPart := inferInstance
negPart := inferInstance
#align measure_theory.signed_measure.have_lebesgue_decomposition_of_sigma_finite MeasureTheory.SignedMeasure.haveLebesgueDecomposition_of_sigmaFinite
instance haveLebesgueDecomposition_neg (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] : (-s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_neg MeasureTheory.SignedMeasure.haveLebesgueDecomposition_neg
instance haveLebesgueDecomposition_smul (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ≥0) : (r • s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul
instance haveLebesgueDecomposition_smul_real (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ) : (r • s).HaveLebesgueDecomposition μ := by
by_cases hr : 0 ≤ r
· lift r to ℝ≥0 using hr
exact s.haveLebesgueDecomposition_smul μ _
· rw [not_le] at hr
refine'
{ posPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_posPart_neg _ _ hr]
infer_instance
negPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_negPart_neg _ _ hr]
infer_instance }
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul_real MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul_real
/-- Given a signed measure `s` and a measure `μ`, `s.singularPart μ` is the signed measure
such that `s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s` and
`s.singularPart μ` is mutually singular with respect to `μ`. -/
def singularPart (s : SignedMeasure α) (μ : Measure α) : SignedMeasure α :=
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure -
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure
#align measure_theory.signed_measure.singular_part MeasureTheory.SignedMeasure.singularPart
section
theorem singularPart_mutuallySingular (s : SignedMeasure α) (μ : Measure α) :
s.toJordanDecomposition.posPart.singularPart μ ⟂ₘ
s.toJordanDecomposition.negPart.singularPart μ := by
by_cases hl : s.HaveLebesgueDecomposition μ
· obtain ⟨i, hi, hpos, hneg⟩ := s.toJordanDecomposition.mutuallySingular
rw [s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ] at hpos
rw [s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ] at hneg
rw [add_apply, add_eq_zero_iff] at hpos hneg
exact ⟨i, hi, hpos.1, hneg.1⟩
· rw [not_haveLebesgueDecomposition_iff] at hl
cases' hl with hp hn
· rw [Measure.singularPart, dif_neg hp]
exact MutuallySingular.zero_left
· rw [Measure.singularPart, Measure.singularPart, dif_neg hn]
exact MutuallySingular.zero_right
#align measure_theory.signed_measure.singular_part_mutually_singular MeasureTheory.SignedMeasure.singularPart_mutuallySingular
theorem singularPart_totalVariation (s : SignedMeasure α) (μ : Measure α) :
(s.singularPart μ).totalVariation =
s.toJordanDecomposition.posPart.singularPart μ +
s.toJordanDecomposition.negPart.singularPart μ := by
have :
(s.singularPart μ).toJordanDecomposition =
⟨s.toJordanDecomposition.posPart.singularPart μ,
s.toJordanDecomposition.negPart.singularPart μ, singularPart_mutuallySingular s μ⟩ := by
refine' JordanDecomposition.toSignedMeasure_injective _
rw [toSignedMeasure_toJordanDecomposition, singularPart, JordanDecomposition.toSignedMeasure]
· rw [totalVariation, this]
#align measure_theory.signed_measure.singular_part_total_variation MeasureTheory.SignedMeasure.singularPart_totalVariation
nonrec theorem mutuallySingular_singularPart (s : SignedMeasure α) (μ : Measure α) :
singularPart s μ ⟂ᵥ μ.toENNRealVectorMeasure := by
rw [mutuallySingular_ennreal_iff, singularPart_totalVariation,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure]
exact (mutuallySingular_singularPart _ _).add_left (mutuallySingular_singularPart _ _)
#align measure_theory.signed_measure.mutually_singular_singular_part MeasureTheory.SignedMeasure.mutuallySingular_singularPart
end
/-- The Radon-Nikodym derivative between a signed measure and a positive measure.
`rnDeriv s μ` satisfies `μ.withDensityᵥ (s.rnDeriv μ) = s`
if and only if `s` is absolutely continuous with respect to `μ` and this fact is known as
`MeasureTheory.SignedMeasure.absolutelyContinuous_iff_withDensity_rnDeriv_eq`
and can be found in `MeasureTheory.Decomposition.RadonNikodym`. -/
def rnDeriv (s : SignedMeasure α) (μ : Measure α) : α → ℝ := fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal
#align measure_theory.signed_measure.rn_deriv MeasureTheory.SignedMeasure.rnDeriv
-- Porting note: The generated equation theorem is the form of `rnDeriv s μ x`.
theorem rnDeriv_def (s : SignedMeasure α) (μ : Measure α) : rnDeriv s μ = fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal :=
rfl
attribute [eqns rnDeriv_def] rnDeriv
variable {s t : SignedMeasure α}
@[measurability]
theorem measurable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Measurable (rnDeriv s μ) := by
rw [rnDeriv]
measurability
#align measure_theory.signed_measure.measurable_rn_deriv MeasureTheory.SignedMeasure.measurable_rnDeriv
theorem integrable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Integrable (rnDeriv s μ) μ := by
refine' Integrable.sub _ _ <;>
· constructor
· apply Measurable.aestronglyMeasurable; measurability
exact hasFiniteIntegral_toReal_of_lintegral_ne_top (lintegral_rnDeriv_lt_top _ μ).ne
#align measure_theory.signed_measure.integrable_rn_deriv MeasureTheory.SignedMeasure.integrable_rnDeriv
variable (s μ)
/-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
first
| exact (lintegral_rnDeriv_lt_top _ _).ne
| measurability
#align measure_theory.signed_measure.singular_part_add_with_density_rn_deriv_eq MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq
variable {s μ}
theorem jordanDecomposition_add_withDensity_mutuallySingular {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) :
(t.toJordanDecomposition.posPart + μ.withDensity fun x : α => ENNReal.ofReal (f x)) ⟂ₘ
t.toJordanDecomposition.negPart + μ.withDensity fun x : α => ENNReal.ofReal (-f x) := by
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
exact
((JordanDecomposition.mutuallySingular _).add_right
(htμ.1.mono_ac (refl _) (withDensity_absolutelyContinuous _ _))).add_left
((htμ.2.symm.mono_ac (withDensity_absolutelyContinuous _ _) (refl _)).add_right
(withDensity_ofReal_mutuallySingular hf))
#align measure_theory.signed_measure.jordan_decomposition_add_with_density_mutually_singular MeasureTheory.SignedMeasure.jordanDecomposition_add_withDensity_mutuallySingular
theorem toJordanDecomposition_eq_of_eq_add_withDensity {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.toJordanDecomposition =
@JordanDecomposition.mk α _
(t.toJordanDecomposition.posPart + μ.withDensity fun x => ENNReal.ofReal (f x))
(t.toJordanDecomposition.negPart + μ.withDensity fun x => ENNReal.ofReal (-f x))
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.2; infer_instance)
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2; infer_instance)
(jordanDecomposition_add_withDensity_mutuallySingular hf htμ) := by
haveI := isFiniteMeasure_withDensity_ofReal hfi.2
haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2
refine' toJordanDecomposition_eq _
simp_rw [JordanDecomposition.toSignedMeasure, hadd]
ext i hi
rw [VectorMeasure.sub_apply, toSignedMeasure_apply_measurable hi,
toSignedMeasure_apply_measurable hi, add_apply, add_apply, ENNReal.toReal_add,
ENNReal.toReal_add, add_sub_add_comm, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi, ← VectorMeasure.sub_apply,
← JordanDecomposition.toSignedMeasure, toSignedMeasure_toJordanDecomposition,
VectorMeasure.add_apply, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi,
withDensityᵥ_eq_withDensity_pos_part_sub_withDensity_neg_part hfi,
VectorMeasure.sub_apply] <;>
exact (measure_lt_top _ _).ne
#align measure_theory.signed_measure.to_jordan_decomposition_eq_of_eq_add_with_density MeasureTheory.SignedMeasure.toJordanDecomposition_eq_of_eq_add_withDensity
private theorem haveLebesgueDecomposition_mk' (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff] at htμ
change _ ⟂ₘ VectorMeasure.equivMeasure.toFun (VectorMeasure.equivMeasure.invFun μ) at htμ
rw [VectorMeasure.equivMeasure.right_inv, totalVariation_mutuallySingular_iff] at htμ
refine'
{ posPart := by
use ⟨t.toJordanDecomposition.posPart, fun x => ENNReal.ofReal (f x)⟩
refine' ⟨hf.ennreal_ofReal, htμ.1, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
negPart := by
use ⟨t.toJordanDecomposition.negPart, fun x => ENNReal.ofReal (-f x)⟩
refine' ⟨hf.neg.ennreal_ofReal, htμ.2, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd] }
theorem haveLebesgueDecomposition_mk (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
by_cases hfi : Integrable f μ
· | exact haveLebesgueDecomposition_mk' μ hf hfi htμ hadd | theorem haveLebesgueDecomposition_mk (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
by_cases hfi : Integrable f μ
· | Mathlib.MeasureTheory.Decomposition.SignedLebesgue.291_0.HPGboz0rhL6sBes | theorem haveLebesgueDecomposition_mk (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ | Mathlib_MeasureTheory_Decomposition_SignedLebesgue |
case neg
α : Type u_1
β : Type u_2
m : MeasurableSpace α
μ✝ ν : Measure α
s t : SignedMeasure α
μ : Measure α
f : α → ℝ
hf : Measurable f
htμ : t ⟂ᵥ toENNRealVectorMeasure μ
hadd : s = t + withDensityᵥ μ f
hfi : ¬Integrable f
⊢ HaveLebesgueDecomposition s μ | /-
Copyright (c) 2021 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.MeasureTheory.Decomposition.Lebesgue
import Mathlib.MeasureTheory.Measure.Complex
/-!
# Lebesgue decomposition
This file proves the Lebesgue decomposition theorem for signed measures. The Lebesgue decomposition
theorem states that, given two σ-finite measures `μ` and `ν`, there exists a σ-finite measure `ξ`
and a measurable function `f` such that `μ = ξ + fν` and `ξ` is mutually singular with respect
to `ν`.
## Main definitions
* `MeasureTheory.SignedMeasure.HaveLebesgueDecomposition` : A signed measure `s` and a
measure `μ` is said to `HaveLebesgueDecomposition` if both the positive part and negative
part of `s` `HaveLebesgueDecomposition` with respect to `μ`.
* `MeasureTheory.SignedMeasure.singularPart` : The singular part between a signed measure `s`
and a measure `μ` is simply the singular part of the positive part of `s` with respect to `μ`
minus the singular part of the negative part of `s` with respect to `μ`.
* `MeasureTheory.SignedMeasure.rnDeriv` : The Radon-Nikodym derivative of a signed
measure `s` with respect to a measure `μ` is the Radon-Nikodym derivative of the positive part of
`s` with respect to `μ` minus the Radon-Nikodym derivative of the negative part of `s` with
respect to `μ`.
## Main results
* `MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq` :
the Lebesgue decomposition theorem between a signed measure and a σ-finite positive measure.
## Tags
Lebesgue decomposition theorem
-/
noncomputable section
open scoped Classical MeasureTheory NNReal ENNReal
open Set
variable {α β : Type*} {m : MeasurableSpace α} {μ ν : MeasureTheory.Measure α}
namespace MeasureTheory
namespace SignedMeasure
open Measure
/-- A signed measure `s` is said to `HaveLebesgueDecomposition` with respect to a measure `μ`
if the positive part and the negative part of `s` both `HaveLebesgueDecomposition` with
respect to `μ`. -/
class HaveLebesgueDecomposition (s : SignedMeasure α) (μ : Measure α) : Prop where
posPart : s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ
negPart : s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ
#align measure_theory.signed_measure.have_lebesgue_decomposition MeasureTheory.SignedMeasure.HaveLebesgueDecomposition
#align measure_theory.signed_measure.have_lebesgue_decomposition.pos_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.posPart
#align measure_theory.signed_measure.have_lebesgue_decomposition.neg_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.negPart
attribute [instance] HaveLebesgueDecomposition.posPart
attribute [instance] HaveLebesgueDecomposition.negPart
theorem not_haveLebesgueDecomposition_iff (s : SignedMeasure α) (μ : Measure α) :
¬s.HaveLebesgueDecomposition μ ↔
¬s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ ∨
¬s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ :=
⟨fun h => not_or_of_imp fun hp hn => h ⟨hp, hn⟩, fun h hl => (not_and_or.2 h) ⟨hl.1, hl.2⟩⟩
#align measure_theory.signed_measure.not_have_lebesgue_decomposition_iff MeasureTheory.SignedMeasure.not_haveLebesgueDecomposition_iff
-- `infer_instance` directly does not work
-- see Note [lower instance priority]
instance (priority := 100) haveLebesgueDecomposition_of_sigmaFinite (s : SignedMeasure α)
(μ : Measure α) [SigmaFinite μ] : s.HaveLebesgueDecomposition μ where
posPart := inferInstance
negPart := inferInstance
#align measure_theory.signed_measure.have_lebesgue_decomposition_of_sigma_finite MeasureTheory.SignedMeasure.haveLebesgueDecomposition_of_sigmaFinite
instance haveLebesgueDecomposition_neg (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] : (-s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_neg MeasureTheory.SignedMeasure.haveLebesgueDecomposition_neg
instance haveLebesgueDecomposition_smul (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ≥0) : (r • s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul
instance haveLebesgueDecomposition_smul_real (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ) : (r • s).HaveLebesgueDecomposition μ := by
by_cases hr : 0 ≤ r
· lift r to ℝ≥0 using hr
exact s.haveLebesgueDecomposition_smul μ _
· rw [not_le] at hr
refine'
{ posPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_posPart_neg _ _ hr]
infer_instance
negPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_negPart_neg _ _ hr]
infer_instance }
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul_real MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul_real
/-- Given a signed measure `s` and a measure `μ`, `s.singularPart μ` is the signed measure
such that `s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s` and
`s.singularPart μ` is mutually singular with respect to `μ`. -/
def singularPart (s : SignedMeasure α) (μ : Measure α) : SignedMeasure α :=
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure -
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure
#align measure_theory.signed_measure.singular_part MeasureTheory.SignedMeasure.singularPart
section
theorem singularPart_mutuallySingular (s : SignedMeasure α) (μ : Measure α) :
s.toJordanDecomposition.posPart.singularPart μ ⟂ₘ
s.toJordanDecomposition.negPart.singularPart μ := by
by_cases hl : s.HaveLebesgueDecomposition μ
· obtain ⟨i, hi, hpos, hneg⟩ := s.toJordanDecomposition.mutuallySingular
rw [s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ] at hpos
rw [s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ] at hneg
rw [add_apply, add_eq_zero_iff] at hpos hneg
exact ⟨i, hi, hpos.1, hneg.1⟩
· rw [not_haveLebesgueDecomposition_iff] at hl
cases' hl with hp hn
· rw [Measure.singularPart, dif_neg hp]
exact MutuallySingular.zero_left
· rw [Measure.singularPart, Measure.singularPart, dif_neg hn]
exact MutuallySingular.zero_right
#align measure_theory.signed_measure.singular_part_mutually_singular MeasureTheory.SignedMeasure.singularPart_mutuallySingular
theorem singularPart_totalVariation (s : SignedMeasure α) (μ : Measure α) :
(s.singularPart μ).totalVariation =
s.toJordanDecomposition.posPart.singularPart μ +
s.toJordanDecomposition.negPart.singularPart μ := by
have :
(s.singularPart μ).toJordanDecomposition =
⟨s.toJordanDecomposition.posPart.singularPart μ,
s.toJordanDecomposition.negPart.singularPart μ, singularPart_mutuallySingular s μ⟩ := by
refine' JordanDecomposition.toSignedMeasure_injective _
rw [toSignedMeasure_toJordanDecomposition, singularPart, JordanDecomposition.toSignedMeasure]
· rw [totalVariation, this]
#align measure_theory.signed_measure.singular_part_total_variation MeasureTheory.SignedMeasure.singularPart_totalVariation
nonrec theorem mutuallySingular_singularPart (s : SignedMeasure α) (μ : Measure α) :
singularPart s μ ⟂ᵥ μ.toENNRealVectorMeasure := by
rw [mutuallySingular_ennreal_iff, singularPart_totalVariation,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure]
exact (mutuallySingular_singularPart _ _).add_left (mutuallySingular_singularPart _ _)
#align measure_theory.signed_measure.mutually_singular_singular_part MeasureTheory.SignedMeasure.mutuallySingular_singularPart
end
/-- The Radon-Nikodym derivative between a signed measure and a positive measure.
`rnDeriv s μ` satisfies `μ.withDensityᵥ (s.rnDeriv μ) = s`
if and only if `s` is absolutely continuous with respect to `μ` and this fact is known as
`MeasureTheory.SignedMeasure.absolutelyContinuous_iff_withDensity_rnDeriv_eq`
and can be found in `MeasureTheory.Decomposition.RadonNikodym`. -/
def rnDeriv (s : SignedMeasure α) (μ : Measure α) : α → ℝ := fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal
#align measure_theory.signed_measure.rn_deriv MeasureTheory.SignedMeasure.rnDeriv
-- Porting note: The generated equation theorem is the form of `rnDeriv s μ x`.
theorem rnDeriv_def (s : SignedMeasure α) (μ : Measure α) : rnDeriv s μ = fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal :=
rfl
attribute [eqns rnDeriv_def] rnDeriv
variable {s t : SignedMeasure α}
@[measurability]
theorem measurable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Measurable (rnDeriv s μ) := by
rw [rnDeriv]
measurability
#align measure_theory.signed_measure.measurable_rn_deriv MeasureTheory.SignedMeasure.measurable_rnDeriv
theorem integrable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Integrable (rnDeriv s μ) μ := by
refine' Integrable.sub _ _ <;>
· constructor
· apply Measurable.aestronglyMeasurable; measurability
exact hasFiniteIntegral_toReal_of_lintegral_ne_top (lintegral_rnDeriv_lt_top _ μ).ne
#align measure_theory.signed_measure.integrable_rn_deriv MeasureTheory.SignedMeasure.integrable_rnDeriv
variable (s μ)
/-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
first
| exact (lintegral_rnDeriv_lt_top _ _).ne
| measurability
#align measure_theory.signed_measure.singular_part_add_with_density_rn_deriv_eq MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq
variable {s μ}
theorem jordanDecomposition_add_withDensity_mutuallySingular {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) :
(t.toJordanDecomposition.posPart + μ.withDensity fun x : α => ENNReal.ofReal (f x)) ⟂ₘ
t.toJordanDecomposition.negPart + μ.withDensity fun x : α => ENNReal.ofReal (-f x) := by
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
exact
((JordanDecomposition.mutuallySingular _).add_right
(htμ.1.mono_ac (refl _) (withDensity_absolutelyContinuous _ _))).add_left
((htμ.2.symm.mono_ac (withDensity_absolutelyContinuous _ _) (refl _)).add_right
(withDensity_ofReal_mutuallySingular hf))
#align measure_theory.signed_measure.jordan_decomposition_add_with_density_mutually_singular MeasureTheory.SignedMeasure.jordanDecomposition_add_withDensity_mutuallySingular
theorem toJordanDecomposition_eq_of_eq_add_withDensity {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.toJordanDecomposition =
@JordanDecomposition.mk α _
(t.toJordanDecomposition.posPart + μ.withDensity fun x => ENNReal.ofReal (f x))
(t.toJordanDecomposition.negPart + μ.withDensity fun x => ENNReal.ofReal (-f x))
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.2; infer_instance)
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2; infer_instance)
(jordanDecomposition_add_withDensity_mutuallySingular hf htμ) := by
haveI := isFiniteMeasure_withDensity_ofReal hfi.2
haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2
refine' toJordanDecomposition_eq _
simp_rw [JordanDecomposition.toSignedMeasure, hadd]
ext i hi
rw [VectorMeasure.sub_apply, toSignedMeasure_apply_measurable hi,
toSignedMeasure_apply_measurable hi, add_apply, add_apply, ENNReal.toReal_add,
ENNReal.toReal_add, add_sub_add_comm, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi, ← VectorMeasure.sub_apply,
← JordanDecomposition.toSignedMeasure, toSignedMeasure_toJordanDecomposition,
VectorMeasure.add_apply, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi,
withDensityᵥ_eq_withDensity_pos_part_sub_withDensity_neg_part hfi,
VectorMeasure.sub_apply] <;>
exact (measure_lt_top _ _).ne
#align measure_theory.signed_measure.to_jordan_decomposition_eq_of_eq_add_with_density MeasureTheory.SignedMeasure.toJordanDecomposition_eq_of_eq_add_withDensity
private theorem haveLebesgueDecomposition_mk' (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff] at htμ
change _ ⟂ₘ VectorMeasure.equivMeasure.toFun (VectorMeasure.equivMeasure.invFun μ) at htμ
rw [VectorMeasure.equivMeasure.right_inv, totalVariation_mutuallySingular_iff] at htμ
refine'
{ posPart := by
use ⟨t.toJordanDecomposition.posPart, fun x => ENNReal.ofReal (f x)⟩
refine' ⟨hf.ennreal_ofReal, htμ.1, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
negPart := by
use ⟨t.toJordanDecomposition.negPart, fun x => ENNReal.ofReal (-f x)⟩
refine' ⟨hf.neg.ennreal_ofReal, htμ.2, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd] }
theorem haveLebesgueDecomposition_mk (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
by_cases hfi : Integrable f μ
· exact haveLebesgueDecomposition_mk' μ hf hfi htμ hadd
· | rw [withDensityᵥ, dif_neg hfi, add_zero] at hadd | theorem haveLebesgueDecomposition_mk (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
by_cases hfi : Integrable f μ
· exact haveLebesgueDecomposition_mk' μ hf hfi htμ hadd
· | Mathlib.MeasureTheory.Decomposition.SignedLebesgue.291_0.HPGboz0rhL6sBes | theorem haveLebesgueDecomposition_mk (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ | Mathlib_MeasureTheory_Decomposition_SignedLebesgue |
case neg
α : Type u_1
β : Type u_2
m : MeasurableSpace α
μ✝ ν : Measure α
s t : SignedMeasure α
μ : Measure α
f : α → ℝ
hf : Measurable f
htμ : t ⟂ᵥ toENNRealVectorMeasure μ
hadd : s = t
hfi : ¬Integrable f
⊢ HaveLebesgueDecomposition s μ | /-
Copyright (c) 2021 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.MeasureTheory.Decomposition.Lebesgue
import Mathlib.MeasureTheory.Measure.Complex
/-!
# Lebesgue decomposition
This file proves the Lebesgue decomposition theorem for signed measures. The Lebesgue decomposition
theorem states that, given two σ-finite measures `μ` and `ν`, there exists a σ-finite measure `ξ`
and a measurable function `f` such that `μ = ξ + fν` and `ξ` is mutually singular with respect
to `ν`.
## Main definitions
* `MeasureTheory.SignedMeasure.HaveLebesgueDecomposition` : A signed measure `s` and a
measure `μ` is said to `HaveLebesgueDecomposition` if both the positive part and negative
part of `s` `HaveLebesgueDecomposition` with respect to `μ`.
* `MeasureTheory.SignedMeasure.singularPart` : The singular part between a signed measure `s`
and a measure `μ` is simply the singular part of the positive part of `s` with respect to `μ`
minus the singular part of the negative part of `s` with respect to `μ`.
* `MeasureTheory.SignedMeasure.rnDeriv` : The Radon-Nikodym derivative of a signed
measure `s` with respect to a measure `μ` is the Radon-Nikodym derivative of the positive part of
`s` with respect to `μ` minus the Radon-Nikodym derivative of the negative part of `s` with
respect to `μ`.
## Main results
* `MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq` :
the Lebesgue decomposition theorem between a signed measure and a σ-finite positive measure.
## Tags
Lebesgue decomposition theorem
-/
noncomputable section
open scoped Classical MeasureTheory NNReal ENNReal
open Set
variable {α β : Type*} {m : MeasurableSpace α} {μ ν : MeasureTheory.Measure α}
namespace MeasureTheory
namespace SignedMeasure
open Measure
/-- A signed measure `s` is said to `HaveLebesgueDecomposition` with respect to a measure `μ`
if the positive part and the negative part of `s` both `HaveLebesgueDecomposition` with
respect to `μ`. -/
class HaveLebesgueDecomposition (s : SignedMeasure α) (μ : Measure α) : Prop where
posPart : s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ
negPart : s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ
#align measure_theory.signed_measure.have_lebesgue_decomposition MeasureTheory.SignedMeasure.HaveLebesgueDecomposition
#align measure_theory.signed_measure.have_lebesgue_decomposition.pos_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.posPart
#align measure_theory.signed_measure.have_lebesgue_decomposition.neg_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.negPart
attribute [instance] HaveLebesgueDecomposition.posPart
attribute [instance] HaveLebesgueDecomposition.negPart
theorem not_haveLebesgueDecomposition_iff (s : SignedMeasure α) (μ : Measure α) :
¬s.HaveLebesgueDecomposition μ ↔
¬s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ ∨
¬s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ :=
⟨fun h => not_or_of_imp fun hp hn => h ⟨hp, hn⟩, fun h hl => (not_and_or.2 h) ⟨hl.1, hl.2⟩⟩
#align measure_theory.signed_measure.not_have_lebesgue_decomposition_iff MeasureTheory.SignedMeasure.not_haveLebesgueDecomposition_iff
-- `infer_instance` directly does not work
-- see Note [lower instance priority]
instance (priority := 100) haveLebesgueDecomposition_of_sigmaFinite (s : SignedMeasure α)
(μ : Measure α) [SigmaFinite μ] : s.HaveLebesgueDecomposition μ where
posPart := inferInstance
negPart := inferInstance
#align measure_theory.signed_measure.have_lebesgue_decomposition_of_sigma_finite MeasureTheory.SignedMeasure.haveLebesgueDecomposition_of_sigmaFinite
instance haveLebesgueDecomposition_neg (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] : (-s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_neg MeasureTheory.SignedMeasure.haveLebesgueDecomposition_neg
instance haveLebesgueDecomposition_smul (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ≥0) : (r • s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul
instance haveLebesgueDecomposition_smul_real (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ) : (r • s).HaveLebesgueDecomposition μ := by
by_cases hr : 0 ≤ r
· lift r to ℝ≥0 using hr
exact s.haveLebesgueDecomposition_smul μ _
· rw [not_le] at hr
refine'
{ posPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_posPart_neg _ _ hr]
infer_instance
negPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_negPart_neg _ _ hr]
infer_instance }
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul_real MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul_real
/-- Given a signed measure `s` and a measure `μ`, `s.singularPart μ` is the signed measure
such that `s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s` and
`s.singularPart μ` is mutually singular with respect to `μ`. -/
def singularPart (s : SignedMeasure α) (μ : Measure α) : SignedMeasure α :=
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure -
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure
#align measure_theory.signed_measure.singular_part MeasureTheory.SignedMeasure.singularPart
section
theorem singularPart_mutuallySingular (s : SignedMeasure α) (μ : Measure α) :
s.toJordanDecomposition.posPart.singularPart μ ⟂ₘ
s.toJordanDecomposition.negPart.singularPart μ := by
by_cases hl : s.HaveLebesgueDecomposition μ
· obtain ⟨i, hi, hpos, hneg⟩ := s.toJordanDecomposition.mutuallySingular
rw [s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ] at hpos
rw [s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ] at hneg
rw [add_apply, add_eq_zero_iff] at hpos hneg
exact ⟨i, hi, hpos.1, hneg.1⟩
· rw [not_haveLebesgueDecomposition_iff] at hl
cases' hl with hp hn
· rw [Measure.singularPart, dif_neg hp]
exact MutuallySingular.zero_left
· rw [Measure.singularPart, Measure.singularPart, dif_neg hn]
exact MutuallySingular.zero_right
#align measure_theory.signed_measure.singular_part_mutually_singular MeasureTheory.SignedMeasure.singularPart_mutuallySingular
theorem singularPart_totalVariation (s : SignedMeasure α) (μ : Measure α) :
(s.singularPart μ).totalVariation =
s.toJordanDecomposition.posPart.singularPart μ +
s.toJordanDecomposition.negPart.singularPart μ := by
have :
(s.singularPart μ).toJordanDecomposition =
⟨s.toJordanDecomposition.posPart.singularPart μ,
s.toJordanDecomposition.negPart.singularPart μ, singularPart_mutuallySingular s μ⟩ := by
refine' JordanDecomposition.toSignedMeasure_injective _
rw [toSignedMeasure_toJordanDecomposition, singularPart, JordanDecomposition.toSignedMeasure]
· rw [totalVariation, this]
#align measure_theory.signed_measure.singular_part_total_variation MeasureTheory.SignedMeasure.singularPart_totalVariation
nonrec theorem mutuallySingular_singularPart (s : SignedMeasure α) (μ : Measure α) :
singularPart s μ ⟂ᵥ μ.toENNRealVectorMeasure := by
rw [mutuallySingular_ennreal_iff, singularPart_totalVariation,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure]
exact (mutuallySingular_singularPart _ _).add_left (mutuallySingular_singularPart _ _)
#align measure_theory.signed_measure.mutually_singular_singular_part MeasureTheory.SignedMeasure.mutuallySingular_singularPart
end
/-- The Radon-Nikodym derivative between a signed measure and a positive measure.
`rnDeriv s μ` satisfies `μ.withDensityᵥ (s.rnDeriv μ) = s`
if and only if `s` is absolutely continuous with respect to `μ` and this fact is known as
`MeasureTheory.SignedMeasure.absolutelyContinuous_iff_withDensity_rnDeriv_eq`
and can be found in `MeasureTheory.Decomposition.RadonNikodym`. -/
def rnDeriv (s : SignedMeasure α) (μ : Measure α) : α → ℝ := fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal
#align measure_theory.signed_measure.rn_deriv MeasureTheory.SignedMeasure.rnDeriv
-- Porting note: The generated equation theorem is the form of `rnDeriv s μ x`.
theorem rnDeriv_def (s : SignedMeasure α) (μ : Measure α) : rnDeriv s μ = fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal :=
rfl
attribute [eqns rnDeriv_def] rnDeriv
variable {s t : SignedMeasure α}
@[measurability]
theorem measurable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Measurable (rnDeriv s μ) := by
rw [rnDeriv]
measurability
#align measure_theory.signed_measure.measurable_rn_deriv MeasureTheory.SignedMeasure.measurable_rnDeriv
theorem integrable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Integrable (rnDeriv s μ) μ := by
refine' Integrable.sub _ _ <;>
· constructor
· apply Measurable.aestronglyMeasurable; measurability
exact hasFiniteIntegral_toReal_of_lintegral_ne_top (lintegral_rnDeriv_lt_top _ μ).ne
#align measure_theory.signed_measure.integrable_rn_deriv MeasureTheory.SignedMeasure.integrable_rnDeriv
variable (s μ)
/-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
first
| exact (lintegral_rnDeriv_lt_top _ _).ne
| measurability
#align measure_theory.signed_measure.singular_part_add_with_density_rn_deriv_eq MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq
variable {s μ}
theorem jordanDecomposition_add_withDensity_mutuallySingular {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) :
(t.toJordanDecomposition.posPart + μ.withDensity fun x : α => ENNReal.ofReal (f x)) ⟂ₘ
t.toJordanDecomposition.negPart + μ.withDensity fun x : α => ENNReal.ofReal (-f x) := by
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
exact
((JordanDecomposition.mutuallySingular _).add_right
(htμ.1.mono_ac (refl _) (withDensity_absolutelyContinuous _ _))).add_left
((htμ.2.symm.mono_ac (withDensity_absolutelyContinuous _ _) (refl _)).add_right
(withDensity_ofReal_mutuallySingular hf))
#align measure_theory.signed_measure.jordan_decomposition_add_with_density_mutually_singular MeasureTheory.SignedMeasure.jordanDecomposition_add_withDensity_mutuallySingular
theorem toJordanDecomposition_eq_of_eq_add_withDensity {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.toJordanDecomposition =
@JordanDecomposition.mk α _
(t.toJordanDecomposition.posPart + μ.withDensity fun x => ENNReal.ofReal (f x))
(t.toJordanDecomposition.negPart + μ.withDensity fun x => ENNReal.ofReal (-f x))
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.2; infer_instance)
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2; infer_instance)
(jordanDecomposition_add_withDensity_mutuallySingular hf htμ) := by
haveI := isFiniteMeasure_withDensity_ofReal hfi.2
haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2
refine' toJordanDecomposition_eq _
simp_rw [JordanDecomposition.toSignedMeasure, hadd]
ext i hi
rw [VectorMeasure.sub_apply, toSignedMeasure_apply_measurable hi,
toSignedMeasure_apply_measurable hi, add_apply, add_apply, ENNReal.toReal_add,
ENNReal.toReal_add, add_sub_add_comm, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi, ← VectorMeasure.sub_apply,
← JordanDecomposition.toSignedMeasure, toSignedMeasure_toJordanDecomposition,
VectorMeasure.add_apply, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi,
withDensityᵥ_eq_withDensity_pos_part_sub_withDensity_neg_part hfi,
VectorMeasure.sub_apply] <;>
exact (measure_lt_top _ _).ne
#align measure_theory.signed_measure.to_jordan_decomposition_eq_of_eq_add_with_density MeasureTheory.SignedMeasure.toJordanDecomposition_eq_of_eq_add_withDensity
private theorem haveLebesgueDecomposition_mk' (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff] at htμ
change _ ⟂ₘ VectorMeasure.equivMeasure.toFun (VectorMeasure.equivMeasure.invFun μ) at htμ
rw [VectorMeasure.equivMeasure.right_inv, totalVariation_mutuallySingular_iff] at htμ
refine'
{ posPart := by
use ⟨t.toJordanDecomposition.posPart, fun x => ENNReal.ofReal (f x)⟩
refine' ⟨hf.ennreal_ofReal, htμ.1, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
negPart := by
use ⟨t.toJordanDecomposition.negPart, fun x => ENNReal.ofReal (-f x)⟩
refine' ⟨hf.neg.ennreal_ofReal, htμ.2, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd] }
theorem haveLebesgueDecomposition_mk (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
by_cases hfi : Integrable f μ
· exact haveLebesgueDecomposition_mk' μ hf hfi htμ hadd
· rw [withDensityᵥ, dif_neg hfi, add_zero] at hadd
| refine' haveLebesgueDecomposition_mk' μ measurable_zero (integrable_zero _ _ μ) htμ _ | theorem haveLebesgueDecomposition_mk (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
by_cases hfi : Integrable f μ
· exact haveLebesgueDecomposition_mk' μ hf hfi htμ hadd
· rw [withDensityᵥ, dif_neg hfi, add_zero] at hadd
| Mathlib.MeasureTheory.Decomposition.SignedLebesgue.291_0.HPGboz0rhL6sBes | theorem haveLebesgueDecomposition_mk (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ | Mathlib_MeasureTheory_Decomposition_SignedLebesgue |
case neg
α : Type u_1
β : Type u_2
m : MeasurableSpace α
μ✝ ν : Measure α
s t : SignedMeasure α
μ : Measure α
f : α → ℝ
hf : Measurable f
htμ : t ⟂ᵥ toENNRealVectorMeasure μ
hadd : s = t
hfi : ¬Integrable f
⊢ s = t + withDensityᵥ μ 0 | /-
Copyright (c) 2021 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.MeasureTheory.Decomposition.Lebesgue
import Mathlib.MeasureTheory.Measure.Complex
/-!
# Lebesgue decomposition
This file proves the Lebesgue decomposition theorem for signed measures. The Lebesgue decomposition
theorem states that, given two σ-finite measures `μ` and `ν`, there exists a σ-finite measure `ξ`
and a measurable function `f` such that `μ = ξ + fν` and `ξ` is mutually singular with respect
to `ν`.
## Main definitions
* `MeasureTheory.SignedMeasure.HaveLebesgueDecomposition` : A signed measure `s` and a
measure `μ` is said to `HaveLebesgueDecomposition` if both the positive part and negative
part of `s` `HaveLebesgueDecomposition` with respect to `μ`.
* `MeasureTheory.SignedMeasure.singularPart` : The singular part between a signed measure `s`
and a measure `μ` is simply the singular part of the positive part of `s` with respect to `μ`
minus the singular part of the negative part of `s` with respect to `μ`.
* `MeasureTheory.SignedMeasure.rnDeriv` : The Radon-Nikodym derivative of a signed
measure `s` with respect to a measure `μ` is the Radon-Nikodym derivative of the positive part of
`s` with respect to `μ` minus the Radon-Nikodym derivative of the negative part of `s` with
respect to `μ`.
## Main results
* `MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq` :
the Lebesgue decomposition theorem between a signed measure and a σ-finite positive measure.
## Tags
Lebesgue decomposition theorem
-/
noncomputable section
open scoped Classical MeasureTheory NNReal ENNReal
open Set
variable {α β : Type*} {m : MeasurableSpace α} {μ ν : MeasureTheory.Measure α}
namespace MeasureTheory
namespace SignedMeasure
open Measure
/-- A signed measure `s` is said to `HaveLebesgueDecomposition` with respect to a measure `μ`
if the positive part and the negative part of `s` both `HaveLebesgueDecomposition` with
respect to `μ`. -/
class HaveLebesgueDecomposition (s : SignedMeasure α) (μ : Measure α) : Prop where
posPart : s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ
negPart : s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ
#align measure_theory.signed_measure.have_lebesgue_decomposition MeasureTheory.SignedMeasure.HaveLebesgueDecomposition
#align measure_theory.signed_measure.have_lebesgue_decomposition.pos_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.posPart
#align measure_theory.signed_measure.have_lebesgue_decomposition.neg_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.negPart
attribute [instance] HaveLebesgueDecomposition.posPart
attribute [instance] HaveLebesgueDecomposition.negPart
theorem not_haveLebesgueDecomposition_iff (s : SignedMeasure α) (μ : Measure α) :
¬s.HaveLebesgueDecomposition μ ↔
¬s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ ∨
¬s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ :=
⟨fun h => not_or_of_imp fun hp hn => h ⟨hp, hn⟩, fun h hl => (not_and_or.2 h) ⟨hl.1, hl.2⟩⟩
#align measure_theory.signed_measure.not_have_lebesgue_decomposition_iff MeasureTheory.SignedMeasure.not_haveLebesgueDecomposition_iff
-- `infer_instance` directly does not work
-- see Note [lower instance priority]
instance (priority := 100) haveLebesgueDecomposition_of_sigmaFinite (s : SignedMeasure α)
(μ : Measure α) [SigmaFinite μ] : s.HaveLebesgueDecomposition μ where
posPart := inferInstance
negPart := inferInstance
#align measure_theory.signed_measure.have_lebesgue_decomposition_of_sigma_finite MeasureTheory.SignedMeasure.haveLebesgueDecomposition_of_sigmaFinite
instance haveLebesgueDecomposition_neg (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] : (-s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_neg MeasureTheory.SignedMeasure.haveLebesgueDecomposition_neg
instance haveLebesgueDecomposition_smul (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ≥0) : (r • s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul
instance haveLebesgueDecomposition_smul_real (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ) : (r • s).HaveLebesgueDecomposition μ := by
by_cases hr : 0 ≤ r
· lift r to ℝ≥0 using hr
exact s.haveLebesgueDecomposition_smul μ _
· rw [not_le] at hr
refine'
{ posPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_posPart_neg _ _ hr]
infer_instance
negPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_negPart_neg _ _ hr]
infer_instance }
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul_real MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul_real
/-- Given a signed measure `s` and a measure `μ`, `s.singularPart μ` is the signed measure
such that `s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s` and
`s.singularPart μ` is mutually singular with respect to `μ`. -/
def singularPart (s : SignedMeasure α) (μ : Measure α) : SignedMeasure α :=
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure -
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure
#align measure_theory.signed_measure.singular_part MeasureTheory.SignedMeasure.singularPart
section
theorem singularPart_mutuallySingular (s : SignedMeasure α) (μ : Measure α) :
s.toJordanDecomposition.posPart.singularPart μ ⟂ₘ
s.toJordanDecomposition.negPart.singularPart μ := by
by_cases hl : s.HaveLebesgueDecomposition μ
· obtain ⟨i, hi, hpos, hneg⟩ := s.toJordanDecomposition.mutuallySingular
rw [s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ] at hpos
rw [s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ] at hneg
rw [add_apply, add_eq_zero_iff] at hpos hneg
exact ⟨i, hi, hpos.1, hneg.1⟩
· rw [not_haveLebesgueDecomposition_iff] at hl
cases' hl with hp hn
· rw [Measure.singularPart, dif_neg hp]
exact MutuallySingular.zero_left
· rw [Measure.singularPart, Measure.singularPart, dif_neg hn]
exact MutuallySingular.zero_right
#align measure_theory.signed_measure.singular_part_mutually_singular MeasureTheory.SignedMeasure.singularPart_mutuallySingular
theorem singularPart_totalVariation (s : SignedMeasure α) (μ : Measure α) :
(s.singularPart μ).totalVariation =
s.toJordanDecomposition.posPart.singularPart μ +
s.toJordanDecomposition.negPart.singularPart μ := by
have :
(s.singularPart μ).toJordanDecomposition =
⟨s.toJordanDecomposition.posPart.singularPart μ,
s.toJordanDecomposition.negPart.singularPart μ, singularPart_mutuallySingular s μ⟩ := by
refine' JordanDecomposition.toSignedMeasure_injective _
rw [toSignedMeasure_toJordanDecomposition, singularPart, JordanDecomposition.toSignedMeasure]
· rw [totalVariation, this]
#align measure_theory.signed_measure.singular_part_total_variation MeasureTheory.SignedMeasure.singularPart_totalVariation
nonrec theorem mutuallySingular_singularPart (s : SignedMeasure α) (μ : Measure α) :
singularPart s μ ⟂ᵥ μ.toENNRealVectorMeasure := by
rw [mutuallySingular_ennreal_iff, singularPart_totalVariation,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure]
exact (mutuallySingular_singularPart _ _).add_left (mutuallySingular_singularPart _ _)
#align measure_theory.signed_measure.mutually_singular_singular_part MeasureTheory.SignedMeasure.mutuallySingular_singularPart
end
/-- The Radon-Nikodym derivative between a signed measure and a positive measure.
`rnDeriv s μ` satisfies `μ.withDensityᵥ (s.rnDeriv μ) = s`
if and only if `s` is absolutely continuous with respect to `μ` and this fact is known as
`MeasureTheory.SignedMeasure.absolutelyContinuous_iff_withDensity_rnDeriv_eq`
and can be found in `MeasureTheory.Decomposition.RadonNikodym`. -/
def rnDeriv (s : SignedMeasure α) (μ : Measure α) : α → ℝ := fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal
#align measure_theory.signed_measure.rn_deriv MeasureTheory.SignedMeasure.rnDeriv
-- Porting note: The generated equation theorem is the form of `rnDeriv s μ x`.
theorem rnDeriv_def (s : SignedMeasure α) (μ : Measure α) : rnDeriv s μ = fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal :=
rfl
attribute [eqns rnDeriv_def] rnDeriv
variable {s t : SignedMeasure α}
@[measurability]
theorem measurable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Measurable (rnDeriv s μ) := by
rw [rnDeriv]
measurability
#align measure_theory.signed_measure.measurable_rn_deriv MeasureTheory.SignedMeasure.measurable_rnDeriv
theorem integrable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Integrable (rnDeriv s μ) μ := by
refine' Integrable.sub _ _ <;>
· constructor
· apply Measurable.aestronglyMeasurable; measurability
exact hasFiniteIntegral_toReal_of_lintegral_ne_top (lintegral_rnDeriv_lt_top _ μ).ne
#align measure_theory.signed_measure.integrable_rn_deriv MeasureTheory.SignedMeasure.integrable_rnDeriv
variable (s μ)
/-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
first
| exact (lintegral_rnDeriv_lt_top _ _).ne
| measurability
#align measure_theory.signed_measure.singular_part_add_with_density_rn_deriv_eq MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq
variable {s μ}
theorem jordanDecomposition_add_withDensity_mutuallySingular {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) :
(t.toJordanDecomposition.posPart + μ.withDensity fun x : α => ENNReal.ofReal (f x)) ⟂ₘ
t.toJordanDecomposition.negPart + μ.withDensity fun x : α => ENNReal.ofReal (-f x) := by
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
exact
((JordanDecomposition.mutuallySingular _).add_right
(htμ.1.mono_ac (refl _) (withDensity_absolutelyContinuous _ _))).add_left
((htμ.2.symm.mono_ac (withDensity_absolutelyContinuous _ _) (refl _)).add_right
(withDensity_ofReal_mutuallySingular hf))
#align measure_theory.signed_measure.jordan_decomposition_add_with_density_mutually_singular MeasureTheory.SignedMeasure.jordanDecomposition_add_withDensity_mutuallySingular
theorem toJordanDecomposition_eq_of_eq_add_withDensity {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.toJordanDecomposition =
@JordanDecomposition.mk α _
(t.toJordanDecomposition.posPart + μ.withDensity fun x => ENNReal.ofReal (f x))
(t.toJordanDecomposition.negPart + μ.withDensity fun x => ENNReal.ofReal (-f x))
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.2; infer_instance)
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2; infer_instance)
(jordanDecomposition_add_withDensity_mutuallySingular hf htμ) := by
haveI := isFiniteMeasure_withDensity_ofReal hfi.2
haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2
refine' toJordanDecomposition_eq _
simp_rw [JordanDecomposition.toSignedMeasure, hadd]
ext i hi
rw [VectorMeasure.sub_apply, toSignedMeasure_apply_measurable hi,
toSignedMeasure_apply_measurable hi, add_apply, add_apply, ENNReal.toReal_add,
ENNReal.toReal_add, add_sub_add_comm, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi, ← VectorMeasure.sub_apply,
← JordanDecomposition.toSignedMeasure, toSignedMeasure_toJordanDecomposition,
VectorMeasure.add_apply, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi,
withDensityᵥ_eq_withDensity_pos_part_sub_withDensity_neg_part hfi,
VectorMeasure.sub_apply] <;>
exact (measure_lt_top _ _).ne
#align measure_theory.signed_measure.to_jordan_decomposition_eq_of_eq_add_with_density MeasureTheory.SignedMeasure.toJordanDecomposition_eq_of_eq_add_withDensity
private theorem haveLebesgueDecomposition_mk' (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff] at htμ
change _ ⟂ₘ VectorMeasure.equivMeasure.toFun (VectorMeasure.equivMeasure.invFun μ) at htμ
rw [VectorMeasure.equivMeasure.right_inv, totalVariation_mutuallySingular_iff] at htμ
refine'
{ posPart := by
use ⟨t.toJordanDecomposition.posPart, fun x => ENNReal.ofReal (f x)⟩
refine' ⟨hf.ennreal_ofReal, htμ.1, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
negPart := by
use ⟨t.toJordanDecomposition.negPart, fun x => ENNReal.ofReal (-f x)⟩
refine' ⟨hf.neg.ennreal_ofReal, htμ.2, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd] }
theorem haveLebesgueDecomposition_mk (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
by_cases hfi : Integrable f μ
· exact haveLebesgueDecomposition_mk' μ hf hfi htμ hadd
· rw [withDensityᵥ, dif_neg hfi, add_zero] at hadd
refine' haveLebesgueDecomposition_mk' μ measurable_zero (integrable_zero _ _ μ) htμ _
| rwa [withDensityᵥ_zero, add_zero] | theorem haveLebesgueDecomposition_mk (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
by_cases hfi : Integrable f μ
· exact haveLebesgueDecomposition_mk' μ hf hfi htμ hadd
· rw [withDensityᵥ, dif_neg hfi, add_zero] at hadd
refine' haveLebesgueDecomposition_mk' μ measurable_zero (integrable_zero _ _ μ) htμ _
| Mathlib.MeasureTheory.Decomposition.SignedLebesgue.291_0.HPGboz0rhL6sBes | theorem haveLebesgueDecomposition_mk (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ | Mathlib_MeasureTheory_Decomposition_SignedLebesgue |
α : Type u_1
β : Type u_2
m : MeasurableSpace α
μ ν : Measure α
s t✝ t : SignedMeasure α
f : α → ℝ
hf : Measurable f
hfi : Integrable f
htμ : t ⟂ᵥ toENNRealVectorMeasure μ
hadd : s = t + withDensityᵥ μ f
⊢ t = singularPart s μ | /-
Copyright (c) 2021 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.MeasureTheory.Decomposition.Lebesgue
import Mathlib.MeasureTheory.Measure.Complex
/-!
# Lebesgue decomposition
This file proves the Lebesgue decomposition theorem for signed measures. The Lebesgue decomposition
theorem states that, given two σ-finite measures `μ` and `ν`, there exists a σ-finite measure `ξ`
and a measurable function `f` such that `μ = ξ + fν` and `ξ` is mutually singular with respect
to `ν`.
## Main definitions
* `MeasureTheory.SignedMeasure.HaveLebesgueDecomposition` : A signed measure `s` and a
measure `μ` is said to `HaveLebesgueDecomposition` if both the positive part and negative
part of `s` `HaveLebesgueDecomposition` with respect to `μ`.
* `MeasureTheory.SignedMeasure.singularPart` : The singular part between a signed measure `s`
and a measure `μ` is simply the singular part of the positive part of `s` with respect to `μ`
minus the singular part of the negative part of `s` with respect to `μ`.
* `MeasureTheory.SignedMeasure.rnDeriv` : The Radon-Nikodym derivative of a signed
measure `s` with respect to a measure `μ` is the Radon-Nikodym derivative of the positive part of
`s` with respect to `μ` minus the Radon-Nikodym derivative of the negative part of `s` with
respect to `μ`.
## Main results
* `MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq` :
the Lebesgue decomposition theorem between a signed measure and a σ-finite positive measure.
## Tags
Lebesgue decomposition theorem
-/
noncomputable section
open scoped Classical MeasureTheory NNReal ENNReal
open Set
variable {α β : Type*} {m : MeasurableSpace α} {μ ν : MeasureTheory.Measure α}
namespace MeasureTheory
namespace SignedMeasure
open Measure
/-- A signed measure `s` is said to `HaveLebesgueDecomposition` with respect to a measure `μ`
if the positive part and the negative part of `s` both `HaveLebesgueDecomposition` with
respect to `μ`. -/
class HaveLebesgueDecomposition (s : SignedMeasure α) (μ : Measure α) : Prop where
posPart : s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ
negPart : s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ
#align measure_theory.signed_measure.have_lebesgue_decomposition MeasureTheory.SignedMeasure.HaveLebesgueDecomposition
#align measure_theory.signed_measure.have_lebesgue_decomposition.pos_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.posPart
#align measure_theory.signed_measure.have_lebesgue_decomposition.neg_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.negPart
attribute [instance] HaveLebesgueDecomposition.posPart
attribute [instance] HaveLebesgueDecomposition.negPart
theorem not_haveLebesgueDecomposition_iff (s : SignedMeasure α) (μ : Measure α) :
¬s.HaveLebesgueDecomposition μ ↔
¬s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ ∨
¬s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ :=
⟨fun h => not_or_of_imp fun hp hn => h ⟨hp, hn⟩, fun h hl => (not_and_or.2 h) ⟨hl.1, hl.2⟩⟩
#align measure_theory.signed_measure.not_have_lebesgue_decomposition_iff MeasureTheory.SignedMeasure.not_haveLebesgueDecomposition_iff
-- `infer_instance` directly does not work
-- see Note [lower instance priority]
instance (priority := 100) haveLebesgueDecomposition_of_sigmaFinite (s : SignedMeasure α)
(μ : Measure α) [SigmaFinite μ] : s.HaveLebesgueDecomposition μ where
posPart := inferInstance
negPart := inferInstance
#align measure_theory.signed_measure.have_lebesgue_decomposition_of_sigma_finite MeasureTheory.SignedMeasure.haveLebesgueDecomposition_of_sigmaFinite
instance haveLebesgueDecomposition_neg (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] : (-s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_neg MeasureTheory.SignedMeasure.haveLebesgueDecomposition_neg
instance haveLebesgueDecomposition_smul (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ≥0) : (r • s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul
instance haveLebesgueDecomposition_smul_real (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ) : (r • s).HaveLebesgueDecomposition μ := by
by_cases hr : 0 ≤ r
· lift r to ℝ≥0 using hr
exact s.haveLebesgueDecomposition_smul μ _
· rw [not_le] at hr
refine'
{ posPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_posPart_neg _ _ hr]
infer_instance
negPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_negPart_neg _ _ hr]
infer_instance }
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul_real MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul_real
/-- Given a signed measure `s` and a measure `μ`, `s.singularPart μ` is the signed measure
such that `s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s` and
`s.singularPart μ` is mutually singular with respect to `μ`. -/
def singularPart (s : SignedMeasure α) (μ : Measure α) : SignedMeasure α :=
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure -
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure
#align measure_theory.signed_measure.singular_part MeasureTheory.SignedMeasure.singularPart
section
theorem singularPart_mutuallySingular (s : SignedMeasure α) (μ : Measure α) :
s.toJordanDecomposition.posPart.singularPart μ ⟂ₘ
s.toJordanDecomposition.negPart.singularPart μ := by
by_cases hl : s.HaveLebesgueDecomposition μ
· obtain ⟨i, hi, hpos, hneg⟩ := s.toJordanDecomposition.mutuallySingular
rw [s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ] at hpos
rw [s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ] at hneg
rw [add_apply, add_eq_zero_iff] at hpos hneg
exact ⟨i, hi, hpos.1, hneg.1⟩
· rw [not_haveLebesgueDecomposition_iff] at hl
cases' hl with hp hn
· rw [Measure.singularPart, dif_neg hp]
exact MutuallySingular.zero_left
· rw [Measure.singularPart, Measure.singularPart, dif_neg hn]
exact MutuallySingular.zero_right
#align measure_theory.signed_measure.singular_part_mutually_singular MeasureTheory.SignedMeasure.singularPart_mutuallySingular
theorem singularPart_totalVariation (s : SignedMeasure α) (μ : Measure α) :
(s.singularPart μ).totalVariation =
s.toJordanDecomposition.posPart.singularPart μ +
s.toJordanDecomposition.negPart.singularPart μ := by
have :
(s.singularPart μ).toJordanDecomposition =
⟨s.toJordanDecomposition.posPart.singularPart μ,
s.toJordanDecomposition.negPart.singularPart μ, singularPart_mutuallySingular s μ⟩ := by
refine' JordanDecomposition.toSignedMeasure_injective _
rw [toSignedMeasure_toJordanDecomposition, singularPart, JordanDecomposition.toSignedMeasure]
· rw [totalVariation, this]
#align measure_theory.signed_measure.singular_part_total_variation MeasureTheory.SignedMeasure.singularPart_totalVariation
nonrec theorem mutuallySingular_singularPart (s : SignedMeasure α) (μ : Measure α) :
singularPart s μ ⟂ᵥ μ.toENNRealVectorMeasure := by
rw [mutuallySingular_ennreal_iff, singularPart_totalVariation,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure]
exact (mutuallySingular_singularPart _ _).add_left (mutuallySingular_singularPart _ _)
#align measure_theory.signed_measure.mutually_singular_singular_part MeasureTheory.SignedMeasure.mutuallySingular_singularPart
end
/-- The Radon-Nikodym derivative between a signed measure and a positive measure.
`rnDeriv s μ` satisfies `μ.withDensityᵥ (s.rnDeriv μ) = s`
if and only if `s` is absolutely continuous with respect to `μ` and this fact is known as
`MeasureTheory.SignedMeasure.absolutelyContinuous_iff_withDensity_rnDeriv_eq`
and can be found in `MeasureTheory.Decomposition.RadonNikodym`. -/
def rnDeriv (s : SignedMeasure α) (μ : Measure α) : α → ℝ := fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal
#align measure_theory.signed_measure.rn_deriv MeasureTheory.SignedMeasure.rnDeriv
-- Porting note: The generated equation theorem is the form of `rnDeriv s μ x`.
theorem rnDeriv_def (s : SignedMeasure α) (μ : Measure α) : rnDeriv s μ = fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal :=
rfl
attribute [eqns rnDeriv_def] rnDeriv
variable {s t : SignedMeasure α}
@[measurability]
theorem measurable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Measurable (rnDeriv s μ) := by
rw [rnDeriv]
measurability
#align measure_theory.signed_measure.measurable_rn_deriv MeasureTheory.SignedMeasure.measurable_rnDeriv
theorem integrable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Integrable (rnDeriv s μ) μ := by
refine' Integrable.sub _ _ <;>
· constructor
· apply Measurable.aestronglyMeasurable; measurability
exact hasFiniteIntegral_toReal_of_lintegral_ne_top (lintegral_rnDeriv_lt_top _ μ).ne
#align measure_theory.signed_measure.integrable_rn_deriv MeasureTheory.SignedMeasure.integrable_rnDeriv
variable (s μ)
/-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
first
| exact (lintegral_rnDeriv_lt_top _ _).ne
| measurability
#align measure_theory.signed_measure.singular_part_add_with_density_rn_deriv_eq MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq
variable {s μ}
theorem jordanDecomposition_add_withDensity_mutuallySingular {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) :
(t.toJordanDecomposition.posPart + μ.withDensity fun x : α => ENNReal.ofReal (f x)) ⟂ₘ
t.toJordanDecomposition.negPart + μ.withDensity fun x : α => ENNReal.ofReal (-f x) := by
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
exact
((JordanDecomposition.mutuallySingular _).add_right
(htμ.1.mono_ac (refl _) (withDensity_absolutelyContinuous _ _))).add_left
((htμ.2.symm.mono_ac (withDensity_absolutelyContinuous _ _) (refl _)).add_right
(withDensity_ofReal_mutuallySingular hf))
#align measure_theory.signed_measure.jordan_decomposition_add_with_density_mutually_singular MeasureTheory.SignedMeasure.jordanDecomposition_add_withDensity_mutuallySingular
theorem toJordanDecomposition_eq_of_eq_add_withDensity {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.toJordanDecomposition =
@JordanDecomposition.mk α _
(t.toJordanDecomposition.posPart + μ.withDensity fun x => ENNReal.ofReal (f x))
(t.toJordanDecomposition.negPart + μ.withDensity fun x => ENNReal.ofReal (-f x))
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.2; infer_instance)
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2; infer_instance)
(jordanDecomposition_add_withDensity_mutuallySingular hf htμ) := by
haveI := isFiniteMeasure_withDensity_ofReal hfi.2
haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2
refine' toJordanDecomposition_eq _
simp_rw [JordanDecomposition.toSignedMeasure, hadd]
ext i hi
rw [VectorMeasure.sub_apply, toSignedMeasure_apply_measurable hi,
toSignedMeasure_apply_measurable hi, add_apply, add_apply, ENNReal.toReal_add,
ENNReal.toReal_add, add_sub_add_comm, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi, ← VectorMeasure.sub_apply,
← JordanDecomposition.toSignedMeasure, toSignedMeasure_toJordanDecomposition,
VectorMeasure.add_apply, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi,
withDensityᵥ_eq_withDensity_pos_part_sub_withDensity_neg_part hfi,
VectorMeasure.sub_apply] <;>
exact (measure_lt_top _ _).ne
#align measure_theory.signed_measure.to_jordan_decomposition_eq_of_eq_add_with_density MeasureTheory.SignedMeasure.toJordanDecomposition_eq_of_eq_add_withDensity
private theorem haveLebesgueDecomposition_mk' (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff] at htμ
change _ ⟂ₘ VectorMeasure.equivMeasure.toFun (VectorMeasure.equivMeasure.invFun μ) at htμ
rw [VectorMeasure.equivMeasure.right_inv, totalVariation_mutuallySingular_iff] at htμ
refine'
{ posPart := by
use ⟨t.toJordanDecomposition.posPart, fun x => ENNReal.ofReal (f x)⟩
refine' ⟨hf.ennreal_ofReal, htμ.1, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
negPart := by
use ⟨t.toJordanDecomposition.negPart, fun x => ENNReal.ofReal (-f x)⟩
refine' ⟨hf.neg.ennreal_ofReal, htμ.2, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd] }
theorem haveLebesgueDecomposition_mk (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
by_cases hfi : Integrable f μ
· exact haveLebesgueDecomposition_mk' μ hf hfi htμ hadd
· rw [withDensityᵥ, dif_neg hfi, add_zero] at hadd
refine' haveLebesgueDecomposition_mk' μ measurable_zero (integrable_zero _ _ μ) htμ _
rwa [withDensityᵥ_zero, add_zero]
#align measure_theory.signed_measure.have_lebesgue_decomposition_mk MeasureTheory.SignedMeasure.haveLebesgueDecomposition_mk
private theorem eq_singularPart' (t : SignedMeasure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
t = s.singularPart μ := by
| have htμ' := htμ | private theorem eq_singularPart' (t : SignedMeasure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
t = s.singularPart μ := by
| Mathlib.MeasureTheory.Decomposition.SignedLebesgue.301_0.HPGboz0rhL6sBes | private theorem eq_singularPart' (t : SignedMeasure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
t = s.singularPart μ | Mathlib_MeasureTheory_Decomposition_SignedLebesgue |
α : Type u_1
β : Type u_2
m : MeasurableSpace α
μ ν : Measure α
s t✝ t : SignedMeasure α
f : α → ℝ
hf : Measurable f
hfi : Integrable f
htμ : t ⟂ᵥ toENNRealVectorMeasure μ
hadd : s = t + withDensityᵥ μ f
htμ' : t ⟂ᵥ toENNRealVectorMeasure μ
⊢ t = singularPart s μ | /-
Copyright (c) 2021 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.MeasureTheory.Decomposition.Lebesgue
import Mathlib.MeasureTheory.Measure.Complex
/-!
# Lebesgue decomposition
This file proves the Lebesgue decomposition theorem for signed measures. The Lebesgue decomposition
theorem states that, given two σ-finite measures `μ` and `ν`, there exists a σ-finite measure `ξ`
and a measurable function `f` such that `μ = ξ + fν` and `ξ` is mutually singular with respect
to `ν`.
## Main definitions
* `MeasureTheory.SignedMeasure.HaveLebesgueDecomposition` : A signed measure `s` and a
measure `μ` is said to `HaveLebesgueDecomposition` if both the positive part and negative
part of `s` `HaveLebesgueDecomposition` with respect to `μ`.
* `MeasureTheory.SignedMeasure.singularPart` : The singular part between a signed measure `s`
and a measure `μ` is simply the singular part of the positive part of `s` with respect to `μ`
minus the singular part of the negative part of `s` with respect to `μ`.
* `MeasureTheory.SignedMeasure.rnDeriv` : The Radon-Nikodym derivative of a signed
measure `s` with respect to a measure `μ` is the Radon-Nikodym derivative of the positive part of
`s` with respect to `μ` minus the Radon-Nikodym derivative of the negative part of `s` with
respect to `μ`.
## Main results
* `MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq` :
the Lebesgue decomposition theorem between a signed measure and a σ-finite positive measure.
## Tags
Lebesgue decomposition theorem
-/
noncomputable section
open scoped Classical MeasureTheory NNReal ENNReal
open Set
variable {α β : Type*} {m : MeasurableSpace α} {μ ν : MeasureTheory.Measure α}
namespace MeasureTheory
namespace SignedMeasure
open Measure
/-- A signed measure `s` is said to `HaveLebesgueDecomposition` with respect to a measure `μ`
if the positive part and the negative part of `s` both `HaveLebesgueDecomposition` with
respect to `μ`. -/
class HaveLebesgueDecomposition (s : SignedMeasure α) (μ : Measure α) : Prop where
posPart : s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ
negPart : s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ
#align measure_theory.signed_measure.have_lebesgue_decomposition MeasureTheory.SignedMeasure.HaveLebesgueDecomposition
#align measure_theory.signed_measure.have_lebesgue_decomposition.pos_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.posPart
#align measure_theory.signed_measure.have_lebesgue_decomposition.neg_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.negPart
attribute [instance] HaveLebesgueDecomposition.posPart
attribute [instance] HaveLebesgueDecomposition.negPart
theorem not_haveLebesgueDecomposition_iff (s : SignedMeasure α) (μ : Measure α) :
¬s.HaveLebesgueDecomposition μ ↔
¬s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ ∨
¬s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ :=
⟨fun h => not_or_of_imp fun hp hn => h ⟨hp, hn⟩, fun h hl => (not_and_or.2 h) ⟨hl.1, hl.2⟩⟩
#align measure_theory.signed_measure.not_have_lebesgue_decomposition_iff MeasureTheory.SignedMeasure.not_haveLebesgueDecomposition_iff
-- `infer_instance` directly does not work
-- see Note [lower instance priority]
instance (priority := 100) haveLebesgueDecomposition_of_sigmaFinite (s : SignedMeasure α)
(μ : Measure α) [SigmaFinite μ] : s.HaveLebesgueDecomposition μ where
posPart := inferInstance
negPart := inferInstance
#align measure_theory.signed_measure.have_lebesgue_decomposition_of_sigma_finite MeasureTheory.SignedMeasure.haveLebesgueDecomposition_of_sigmaFinite
instance haveLebesgueDecomposition_neg (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] : (-s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_neg MeasureTheory.SignedMeasure.haveLebesgueDecomposition_neg
instance haveLebesgueDecomposition_smul (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ≥0) : (r • s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul
instance haveLebesgueDecomposition_smul_real (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ) : (r • s).HaveLebesgueDecomposition μ := by
by_cases hr : 0 ≤ r
· lift r to ℝ≥0 using hr
exact s.haveLebesgueDecomposition_smul μ _
· rw [not_le] at hr
refine'
{ posPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_posPart_neg _ _ hr]
infer_instance
negPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_negPart_neg _ _ hr]
infer_instance }
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul_real MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul_real
/-- Given a signed measure `s` and a measure `μ`, `s.singularPart μ` is the signed measure
such that `s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s` and
`s.singularPart μ` is mutually singular with respect to `μ`. -/
def singularPart (s : SignedMeasure α) (μ : Measure α) : SignedMeasure α :=
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure -
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure
#align measure_theory.signed_measure.singular_part MeasureTheory.SignedMeasure.singularPart
section
theorem singularPart_mutuallySingular (s : SignedMeasure α) (μ : Measure α) :
s.toJordanDecomposition.posPart.singularPart μ ⟂ₘ
s.toJordanDecomposition.negPart.singularPart μ := by
by_cases hl : s.HaveLebesgueDecomposition μ
· obtain ⟨i, hi, hpos, hneg⟩ := s.toJordanDecomposition.mutuallySingular
rw [s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ] at hpos
rw [s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ] at hneg
rw [add_apply, add_eq_zero_iff] at hpos hneg
exact ⟨i, hi, hpos.1, hneg.1⟩
· rw [not_haveLebesgueDecomposition_iff] at hl
cases' hl with hp hn
· rw [Measure.singularPart, dif_neg hp]
exact MutuallySingular.zero_left
· rw [Measure.singularPart, Measure.singularPart, dif_neg hn]
exact MutuallySingular.zero_right
#align measure_theory.signed_measure.singular_part_mutually_singular MeasureTheory.SignedMeasure.singularPart_mutuallySingular
theorem singularPart_totalVariation (s : SignedMeasure α) (μ : Measure α) :
(s.singularPart μ).totalVariation =
s.toJordanDecomposition.posPart.singularPart μ +
s.toJordanDecomposition.negPart.singularPart μ := by
have :
(s.singularPart μ).toJordanDecomposition =
⟨s.toJordanDecomposition.posPart.singularPart μ,
s.toJordanDecomposition.negPart.singularPart μ, singularPart_mutuallySingular s μ⟩ := by
refine' JordanDecomposition.toSignedMeasure_injective _
rw [toSignedMeasure_toJordanDecomposition, singularPart, JordanDecomposition.toSignedMeasure]
· rw [totalVariation, this]
#align measure_theory.signed_measure.singular_part_total_variation MeasureTheory.SignedMeasure.singularPart_totalVariation
nonrec theorem mutuallySingular_singularPart (s : SignedMeasure α) (μ : Measure α) :
singularPart s μ ⟂ᵥ μ.toENNRealVectorMeasure := by
rw [mutuallySingular_ennreal_iff, singularPart_totalVariation,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure]
exact (mutuallySingular_singularPart _ _).add_left (mutuallySingular_singularPart _ _)
#align measure_theory.signed_measure.mutually_singular_singular_part MeasureTheory.SignedMeasure.mutuallySingular_singularPart
end
/-- The Radon-Nikodym derivative between a signed measure and a positive measure.
`rnDeriv s μ` satisfies `μ.withDensityᵥ (s.rnDeriv μ) = s`
if and only if `s` is absolutely continuous with respect to `μ` and this fact is known as
`MeasureTheory.SignedMeasure.absolutelyContinuous_iff_withDensity_rnDeriv_eq`
and can be found in `MeasureTheory.Decomposition.RadonNikodym`. -/
def rnDeriv (s : SignedMeasure α) (μ : Measure α) : α → ℝ := fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal
#align measure_theory.signed_measure.rn_deriv MeasureTheory.SignedMeasure.rnDeriv
-- Porting note: The generated equation theorem is the form of `rnDeriv s μ x`.
theorem rnDeriv_def (s : SignedMeasure α) (μ : Measure α) : rnDeriv s μ = fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal :=
rfl
attribute [eqns rnDeriv_def] rnDeriv
variable {s t : SignedMeasure α}
@[measurability]
theorem measurable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Measurable (rnDeriv s μ) := by
rw [rnDeriv]
measurability
#align measure_theory.signed_measure.measurable_rn_deriv MeasureTheory.SignedMeasure.measurable_rnDeriv
theorem integrable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Integrable (rnDeriv s μ) μ := by
refine' Integrable.sub _ _ <;>
· constructor
· apply Measurable.aestronglyMeasurable; measurability
exact hasFiniteIntegral_toReal_of_lintegral_ne_top (lintegral_rnDeriv_lt_top _ μ).ne
#align measure_theory.signed_measure.integrable_rn_deriv MeasureTheory.SignedMeasure.integrable_rnDeriv
variable (s μ)
/-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
first
| exact (lintegral_rnDeriv_lt_top _ _).ne
| measurability
#align measure_theory.signed_measure.singular_part_add_with_density_rn_deriv_eq MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq
variable {s μ}
theorem jordanDecomposition_add_withDensity_mutuallySingular {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) :
(t.toJordanDecomposition.posPart + μ.withDensity fun x : α => ENNReal.ofReal (f x)) ⟂ₘ
t.toJordanDecomposition.negPart + μ.withDensity fun x : α => ENNReal.ofReal (-f x) := by
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
exact
((JordanDecomposition.mutuallySingular _).add_right
(htμ.1.mono_ac (refl _) (withDensity_absolutelyContinuous _ _))).add_left
((htμ.2.symm.mono_ac (withDensity_absolutelyContinuous _ _) (refl _)).add_right
(withDensity_ofReal_mutuallySingular hf))
#align measure_theory.signed_measure.jordan_decomposition_add_with_density_mutually_singular MeasureTheory.SignedMeasure.jordanDecomposition_add_withDensity_mutuallySingular
theorem toJordanDecomposition_eq_of_eq_add_withDensity {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.toJordanDecomposition =
@JordanDecomposition.mk α _
(t.toJordanDecomposition.posPart + μ.withDensity fun x => ENNReal.ofReal (f x))
(t.toJordanDecomposition.negPart + μ.withDensity fun x => ENNReal.ofReal (-f x))
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.2; infer_instance)
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2; infer_instance)
(jordanDecomposition_add_withDensity_mutuallySingular hf htμ) := by
haveI := isFiniteMeasure_withDensity_ofReal hfi.2
haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2
refine' toJordanDecomposition_eq _
simp_rw [JordanDecomposition.toSignedMeasure, hadd]
ext i hi
rw [VectorMeasure.sub_apply, toSignedMeasure_apply_measurable hi,
toSignedMeasure_apply_measurable hi, add_apply, add_apply, ENNReal.toReal_add,
ENNReal.toReal_add, add_sub_add_comm, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi, ← VectorMeasure.sub_apply,
← JordanDecomposition.toSignedMeasure, toSignedMeasure_toJordanDecomposition,
VectorMeasure.add_apply, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi,
withDensityᵥ_eq_withDensity_pos_part_sub_withDensity_neg_part hfi,
VectorMeasure.sub_apply] <;>
exact (measure_lt_top _ _).ne
#align measure_theory.signed_measure.to_jordan_decomposition_eq_of_eq_add_with_density MeasureTheory.SignedMeasure.toJordanDecomposition_eq_of_eq_add_withDensity
private theorem haveLebesgueDecomposition_mk' (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff] at htμ
change _ ⟂ₘ VectorMeasure.equivMeasure.toFun (VectorMeasure.equivMeasure.invFun μ) at htμ
rw [VectorMeasure.equivMeasure.right_inv, totalVariation_mutuallySingular_iff] at htμ
refine'
{ posPart := by
use ⟨t.toJordanDecomposition.posPart, fun x => ENNReal.ofReal (f x)⟩
refine' ⟨hf.ennreal_ofReal, htμ.1, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
negPart := by
use ⟨t.toJordanDecomposition.negPart, fun x => ENNReal.ofReal (-f x)⟩
refine' ⟨hf.neg.ennreal_ofReal, htμ.2, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd] }
theorem haveLebesgueDecomposition_mk (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
by_cases hfi : Integrable f μ
· exact haveLebesgueDecomposition_mk' μ hf hfi htμ hadd
· rw [withDensityᵥ, dif_neg hfi, add_zero] at hadd
refine' haveLebesgueDecomposition_mk' μ measurable_zero (integrable_zero _ _ μ) htμ _
rwa [withDensityᵥ_zero, add_zero]
#align measure_theory.signed_measure.have_lebesgue_decomposition_mk MeasureTheory.SignedMeasure.haveLebesgueDecomposition_mk
private theorem eq_singularPart' (t : SignedMeasure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
t = s.singularPart μ := by
have htμ' := htμ
| rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ | private theorem eq_singularPart' (t : SignedMeasure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
t = s.singularPart μ := by
have htμ' := htμ
| Mathlib.MeasureTheory.Decomposition.SignedLebesgue.301_0.HPGboz0rhL6sBes | private theorem eq_singularPart' (t : SignedMeasure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
t = s.singularPart μ | Mathlib_MeasureTheory_Decomposition_SignedLebesgue |
α : Type u_1
β : Type u_2
m : MeasurableSpace α
μ ν : Measure α
s t✝ t : SignedMeasure α
f : α → ℝ
hf : Measurable f
hfi : Integrable f
htμ : (toJordanDecomposition t).posPart ⟂ₘ μ ∧ (toJordanDecomposition t).negPart ⟂ₘ μ
hadd : s = t + withDensityᵥ μ f
htμ' : t ⟂ᵥ toENNRealVectorMeasure μ
⊢ t = singularPart s μ | /-
Copyright (c) 2021 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.MeasureTheory.Decomposition.Lebesgue
import Mathlib.MeasureTheory.Measure.Complex
/-!
# Lebesgue decomposition
This file proves the Lebesgue decomposition theorem for signed measures. The Lebesgue decomposition
theorem states that, given two σ-finite measures `μ` and `ν`, there exists a σ-finite measure `ξ`
and a measurable function `f` such that `μ = ξ + fν` and `ξ` is mutually singular with respect
to `ν`.
## Main definitions
* `MeasureTheory.SignedMeasure.HaveLebesgueDecomposition` : A signed measure `s` and a
measure `μ` is said to `HaveLebesgueDecomposition` if both the positive part and negative
part of `s` `HaveLebesgueDecomposition` with respect to `μ`.
* `MeasureTheory.SignedMeasure.singularPart` : The singular part between a signed measure `s`
and a measure `μ` is simply the singular part of the positive part of `s` with respect to `μ`
minus the singular part of the negative part of `s` with respect to `μ`.
* `MeasureTheory.SignedMeasure.rnDeriv` : The Radon-Nikodym derivative of a signed
measure `s` with respect to a measure `μ` is the Radon-Nikodym derivative of the positive part of
`s` with respect to `μ` minus the Radon-Nikodym derivative of the negative part of `s` with
respect to `μ`.
## Main results
* `MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq` :
the Lebesgue decomposition theorem between a signed measure and a σ-finite positive measure.
## Tags
Lebesgue decomposition theorem
-/
noncomputable section
open scoped Classical MeasureTheory NNReal ENNReal
open Set
variable {α β : Type*} {m : MeasurableSpace α} {μ ν : MeasureTheory.Measure α}
namespace MeasureTheory
namespace SignedMeasure
open Measure
/-- A signed measure `s` is said to `HaveLebesgueDecomposition` with respect to a measure `μ`
if the positive part and the negative part of `s` both `HaveLebesgueDecomposition` with
respect to `μ`. -/
class HaveLebesgueDecomposition (s : SignedMeasure α) (μ : Measure α) : Prop where
posPart : s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ
negPart : s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ
#align measure_theory.signed_measure.have_lebesgue_decomposition MeasureTheory.SignedMeasure.HaveLebesgueDecomposition
#align measure_theory.signed_measure.have_lebesgue_decomposition.pos_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.posPart
#align measure_theory.signed_measure.have_lebesgue_decomposition.neg_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.negPart
attribute [instance] HaveLebesgueDecomposition.posPart
attribute [instance] HaveLebesgueDecomposition.negPart
theorem not_haveLebesgueDecomposition_iff (s : SignedMeasure α) (μ : Measure α) :
¬s.HaveLebesgueDecomposition μ ↔
¬s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ ∨
¬s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ :=
⟨fun h => not_or_of_imp fun hp hn => h ⟨hp, hn⟩, fun h hl => (not_and_or.2 h) ⟨hl.1, hl.2⟩⟩
#align measure_theory.signed_measure.not_have_lebesgue_decomposition_iff MeasureTheory.SignedMeasure.not_haveLebesgueDecomposition_iff
-- `infer_instance` directly does not work
-- see Note [lower instance priority]
instance (priority := 100) haveLebesgueDecomposition_of_sigmaFinite (s : SignedMeasure α)
(μ : Measure α) [SigmaFinite μ] : s.HaveLebesgueDecomposition μ where
posPart := inferInstance
negPart := inferInstance
#align measure_theory.signed_measure.have_lebesgue_decomposition_of_sigma_finite MeasureTheory.SignedMeasure.haveLebesgueDecomposition_of_sigmaFinite
instance haveLebesgueDecomposition_neg (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] : (-s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_neg MeasureTheory.SignedMeasure.haveLebesgueDecomposition_neg
instance haveLebesgueDecomposition_smul (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ≥0) : (r • s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul
instance haveLebesgueDecomposition_smul_real (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ) : (r • s).HaveLebesgueDecomposition μ := by
by_cases hr : 0 ≤ r
· lift r to ℝ≥0 using hr
exact s.haveLebesgueDecomposition_smul μ _
· rw [not_le] at hr
refine'
{ posPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_posPart_neg _ _ hr]
infer_instance
negPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_negPart_neg _ _ hr]
infer_instance }
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul_real MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul_real
/-- Given a signed measure `s` and a measure `μ`, `s.singularPart μ` is the signed measure
such that `s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s` and
`s.singularPart μ` is mutually singular with respect to `μ`. -/
def singularPart (s : SignedMeasure α) (μ : Measure α) : SignedMeasure α :=
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure -
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure
#align measure_theory.signed_measure.singular_part MeasureTheory.SignedMeasure.singularPart
section
theorem singularPart_mutuallySingular (s : SignedMeasure α) (μ : Measure α) :
s.toJordanDecomposition.posPart.singularPart μ ⟂ₘ
s.toJordanDecomposition.negPart.singularPart μ := by
by_cases hl : s.HaveLebesgueDecomposition μ
· obtain ⟨i, hi, hpos, hneg⟩ := s.toJordanDecomposition.mutuallySingular
rw [s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ] at hpos
rw [s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ] at hneg
rw [add_apply, add_eq_zero_iff] at hpos hneg
exact ⟨i, hi, hpos.1, hneg.1⟩
· rw [not_haveLebesgueDecomposition_iff] at hl
cases' hl with hp hn
· rw [Measure.singularPart, dif_neg hp]
exact MutuallySingular.zero_left
· rw [Measure.singularPart, Measure.singularPart, dif_neg hn]
exact MutuallySingular.zero_right
#align measure_theory.signed_measure.singular_part_mutually_singular MeasureTheory.SignedMeasure.singularPart_mutuallySingular
theorem singularPart_totalVariation (s : SignedMeasure α) (μ : Measure α) :
(s.singularPart μ).totalVariation =
s.toJordanDecomposition.posPart.singularPart μ +
s.toJordanDecomposition.negPart.singularPart μ := by
have :
(s.singularPart μ).toJordanDecomposition =
⟨s.toJordanDecomposition.posPart.singularPart μ,
s.toJordanDecomposition.negPart.singularPart μ, singularPart_mutuallySingular s μ⟩ := by
refine' JordanDecomposition.toSignedMeasure_injective _
rw [toSignedMeasure_toJordanDecomposition, singularPart, JordanDecomposition.toSignedMeasure]
· rw [totalVariation, this]
#align measure_theory.signed_measure.singular_part_total_variation MeasureTheory.SignedMeasure.singularPart_totalVariation
nonrec theorem mutuallySingular_singularPart (s : SignedMeasure α) (μ : Measure α) :
singularPart s μ ⟂ᵥ μ.toENNRealVectorMeasure := by
rw [mutuallySingular_ennreal_iff, singularPart_totalVariation,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure]
exact (mutuallySingular_singularPart _ _).add_left (mutuallySingular_singularPart _ _)
#align measure_theory.signed_measure.mutually_singular_singular_part MeasureTheory.SignedMeasure.mutuallySingular_singularPart
end
/-- The Radon-Nikodym derivative between a signed measure and a positive measure.
`rnDeriv s μ` satisfies `μ.withDensityᵥ (s.rnDeriv μ) = s`
if and only if `s` is absolutely continuous with respect to `μ` and this fact is known as
`MeasureTheory.SignedMeasure.absolutelyContinuous_iff_withDensity_rnDeriv_eq`
and can be found in `MeasureTheory.Decomposition.RadonNikodym`. -/
def rnDeriv (s : SignedMeasure α) (μ : Measure α) : α → ℝ := fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal
#align measure_theory.signed_measure.rn_deriv MeasureTheory.SignedMeasure.rnDeriv
-- Porting note: The generated equation theorem is the form of `rnDeriv s μ x`.
theorem rnDeriv_def (s : SignedMeasure α) (μ : Measure α) : rnDeriv s μ = fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal :=
rfl
attribute [eqns rnDeriv_def] rnDeriv
variable {s t : SignedMeasure α}
@[measurability]
theorem measurable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Measurable (rnDeriv s μ) := by
rw [rnDeriv]
measurability
#align measure_theory.signed_measure.measurable_rn_deriv MeasureTheory.SignedMeasure.measurable_rnDeriv
theorem integrable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Integrable (rnDeriv s μ) μ := by
refine' Integrable.sub _ _ <;>
· constructor
· apply Measurable.aestronglyMeasurable; measurability
exact hasFiniteIntegral_toReal_of_lintegral_ne_top (lintegral_rnDeriv_lt_top _ μ).ne
#align measure_theory.signed_measure.integrable_rn_deriv MeasureTheory.SignedMeasure.integrable_rnDeriv
variable (s μ)
/-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
first
| exact (lintegral_rnDeriv_lt_top _ _).ne
| measurability
#align measure_theory.signed_measure.singular_part_add_with_density_rn_deriv_eq MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq
variable {s μ}
theorem jordanDecomposition_add_withDensity_mutuallySingular {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) :
(t.toJordanDecomposition.posPart + μ.withDensity fun x : α => ENNReal.ofReal (f x)) ⟂ₘ
t.toJordanDecomposition.negPart + μ.withDensity fun x : α => ENNReal.ofReal (-f x) := by
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
exact
((JordanDecomposition.mutuallySingular _).add_right
(htμ.1.mono_ac (refl _) (withDensity_absolutelyContinuous _ _))).add_left
((htμ.2.symm.mono_ac (withDensity_absolutelyContinuous _ _) (refl _)).add_right
(withDensity_ofReal_mutuallySingular hf))
#align measure_theory.signed_measure.jordan_decomposition_add_with_density_mutually_singular MeasureTheory.SignedMeasure.jordanDecomposition_add_withDensity_mutuallySingular
theorem toJordanDecomposition_eq_of_eq_add_withDensity {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.toJordanDecomposition =
@JordanDecomposition.mk α _
(t.toJordanDecomposition.posPart + μ.withDensity fun x => ENNReal.ofReal (f x))
(t.toJordanDecomposition.negPart + μ.withDensity fun x => ENNReal.ofReal (-f x))
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.2; infer_instance)
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2; infer_instance)
(jordanDecomposition_add_withDensity_mutuallySingular hf htμ) := by
haveI := isFiniteMeasure_withDensity_ofReal hfi.2
haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2
refine' toJordanDecomposition_eq _
simp_rw [JordanDecomposition.toSignedMeasure, hadd]
ext i hi
rw [VectorMeasure.sub_apply, toSignedMeasure_apply_measurable hi,
toSignedMeasure_apply_measurable hi, add_apply, add_apply, ENNReal.toReal_add,
ENNReal.toReal_add, add_sub_add_comm, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi, ← VectorMeasure.sub_apply,
← JordanDecomposition.toSignedMeasure, toSignedMeasure_toJordanDecomposition,
VectorMeasure.add_apply, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi,
withDensityᵥ_eq_withDensity_pos_part_sub_withDensity_neg_part hfi,
VectorMeasure.sub_apply] <;>
exact (measure_lt_top _ _).ne
#align measure_theory.signed_measure.to_jordan_decomposition_eq_of_eq_add_with_density MeasureTheory.SignedMeasure.toJordanDecomposition_eq_of_eq_add_withDensity
private theorem haveLebesgueDecomposition_mk' (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff] at htμ
change _ ⟂ₘ VectorMeasure.equivMeasure.toFun (VectorMeasure.equivMeasure.invFun μ) at htμ
rw [VectorMeasure.equivMeasure.right_inv, totalVariation_mutuallySingular_iff] at htμ
refine'
{ posPart := by
use ⟨t.toJordanDecomposition.posPart, fun x => ENNReal.ofReal (f x)⟩
refine' ⟨hf.ennreal_ofReal, htμ.1, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
negPart := by
use ⟨t.toJordanDecomposition.negPart, fun x => ENNReal.ofReal (-f x)⟩
refine' ⟨hf.neg.ennreal_ofReal, htμ.2, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd] }
theorem haveLebesgueDecomposition_mk (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
by_cases hfi : Integrable f μ
· exact haveLebesgueDecomposition_mk' μ hf hfi htμ hadd
· rw [withDensityᵥ, dif_neg hfi, add_zero] at hadd
refine' haveLebesgueDecomposition_mk' μ measurable_zero (integrable_zero _ _ μ) htμ _
rwa [withDensityᵥ_zero, add_zero]
#align measure_theory.signed_measure.have_lebesgue_decomposition_mk MeasureTheory.SignedMeasure.haveLebesgueDecomposition_mk
private theorem eq_singularPart' (t : SignedMeasure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
t = s.singularPart μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
| rw [singularPart, ← t.toSignedMeasure_toJordanDecomposition,
JordanDecomposition.toSignedMeasure] | private theorem eq_singularPart' (t : SignedMeasure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
t = s.singularPart μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
| Mathlib.MeasureTheory.Decomposition.SignedLebesgue.301_0.HPGboz0rhL6sBes | private theorem eq_singularPart' (t : SignedMeasure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
t = s.singularPart μ | Mathlib_MeasureTheory_Decomposition_SignedLebesgue |
α : Type u_1
β : Type u_2
m : MeasurableSpace α
μ ν : Measure α
s t✝ t : SignedMeasure α
f : α → ℝ
hf : Measurable f
hfi : Integrable f
htμ : (toJordanDecomposition t).posPart ⟂ₘ μ ∧ (toJordanDecomposition t).negPart ⟂ₘ μ
hadd : s = t + withDensityᵥ μ f
htμ' : t ⟂ᵥ toENNRealVectorMeasure μ
⊢ toSignedMeasure (toJordanDecomposition t).posPart - toSignedMeasure (toJordanDecomposition t).negPart =
toSignedMeasure (Measure.singularPart (toJordanDecomposition s).posPart μ) -
toSignedMeasure (Measure.singularPart (toJordanDecomposition s).negPart μ) | /-
Copyright (c) 2021 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.MeasureTheory.Decomposition.Lebesgue
import Mathlib.MeasureTheory.Measure.Complex
/-!
# Lebesgue decomposition
This file proves the Lebesgue decomposition theorem for signed measures. The Lebesgue decomposition
theorem states that, given two σ-finite measures `μ` and `ν`, there exists a σ-finite measure `ξ`
and a measurable function `f` such that `μ = ξ + fν` and `ξ` is mutually singular with respect
to `ν`.
## Main definitions
* `MeasureTheory.SignedMeasure.HaveLebesgueDecomposition` : A signed measure `s` and a
measure `μ` is said to `HaveLebesgueDecomposition` if both the positive part and negative
part of `s` `HaveLebesgueDecomposition` with respect to `μ`.
* `MeasureTheory.SignedMeasure.singularPart` : The singular part between a signed measure `s`
and a measure `μ` is simply the singular part of the positive part of `s` with respect to `μ`
minus the singular part of the negative part of `s` with respect to `μ`.
* `MeasureTheory.SignedMeasure.rnDeriv` : The Radon-Nikodym derivative of a signed
measure `s` with respect to a measure `μ` is the Radon-Nikodym derivative of the positive part of
`s` with respect to `μ` minus the Radon-Nikodym derivative of the negative part of `s` with
respect to `μ`.
## Main results
* `MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq` :
the Lebesgue decomposition theorem between a signed measure and a σ-finite positive measure.
## Tags
Lebesgue decomposition theorem
-/
noncomputable section
open scoped Classical MeasureTheory NNReal ENNReal
open Set
variable {α β : Type*} {m : MeasurableSpace α} {μ ν : MeasureTheory.Measure α}
namespace MeasureTheory
namespace SignedMeasure
open Measure
/-- A signed measure `s` is said to `HaveLebesgueDecomposition` with respect to a measure `μ`
if the positive part and the negative part of `s` both `HaveLebesgueDecomposition` with
respect to `μ`. -/
class HaveLebesgueDecomposition (s : SignedMeasure α) (μ : Measure α) : Prop where
posPart : s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ
negPart : s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ
#align measure_theory.signed_measure.have_lebesgue_decomposition MeasureTheory.SignedMeasure.HaveLebesgueDecomposition
#align measure_theory.signed_measure.have_lebesgue_decomposition.pos_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.posPart
#align measure_theory.signed_measure.have_lebesgue_decomposition.neg_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.negPart
attribute [instance] HaveLebesgueDecomposition.posPart
attribute [instance] HaveLebesgueDecomposition.negPart
theorem not_haveLebesgueDecomposition_iff (s : SignedMeasure α) (μ : Measure α) :
¬s.HaveLebesgueDecomposition μ ↔
¬s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ ∨
¬s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ :=
⟨fun h => not_or_of_imp fun hp hn => h ⟨hp, hn⟩, fun h hl => (not_and_or.2 h) ⟨hl.1, hl.2⟩⟩
#align measure_theory.signed_measure.not_have_lebesgue_decomposition_iff MeasureTheory.SignedMeasure.not_haveLebesgueDecomposition_iff
-- `infer_instance` directly does not work
-- see Note [lower instance priority]
instance (priority := 100) haveLebesgueDecomposition_of_sigmaFinite (s : SignedMeasure α)
(μ : Measure α) [SigmaFinite μ] : s.HaveLebesgueDecomposition μ where
posPart := inferInstance
negPart := inferInstance
#align measure_theory.signed_measure.have_lebesgue_decomposition_of_sigma_finite MeasureTheory.SignedMeasure.haveLebesgueDecomposition_of_sigmaFinite
instance haveLebesgueDecomposition_neg (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] : (-s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_neg MeasureTheory.SignedMeasure.haveLebesgueDecomposition_neg
instance haveLebesgueDecomposition_smul (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ≥0) : (r • s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul
instance haveLebesgueDecomposition_smul_real (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ) : (r • s).HaveLebesgueDecomposition μ := by
by_cases hr : 0 ≤ r
· lift r to ℝ≥0 using hr
exact s.haveLebesgueDecomposition_smul μ _
· rw [not_le] at hr
refine'
{ posPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_posPart_neg _ _ hr]
infer_instance
negPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_negPart_neg _ _ hr]
infer_instance }
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul_real MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul_real
/-- Given a signed measure `s` and a measure `μ`, `s.singularPart μ` is the signed measure
such that `s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s` and
`s.singularPart μ` is mutually singular with respect to `μ`. -/
def singularPart (s : SignedMeasure α) (μ : Measure α) : SignedMeasure α :=
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure -
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure
#align measure_theory.signed_measure.singular_part MeasureTheory.SignedMeasure.singularPart
section
theorem singularPart_mutuallySingular (s : SignedMeasure α) (μ : Measure α) :
s.toJordanDecomposition.posPart.singularPart μ ⟂ₘ
s.toJordanDecomposition.negPart.singularPart μ := by
by_cases hl : s.HaveLebesgueDecomposition μ
· obtain ⟨i, hi, hpos, hneg⟩ := s.toJordanDecomposition.mutuallySingular
rw [s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ] at hpos
rw [s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ] at hneg
rw [add_apply, add_eq_zero_iff] at hpos hneg
exact ⟨i, hi, hpos.1, hneg.1⟩
· rw [not_haveLebesgueDecomposition_iff] at hl
cases' hl with hp hn
· rw [Measure.singularPart, dif_neg hp]
exact MutuallySingular.zero_left
· rw [Measure.singularPart, Measure.singularPart, dif_neg hn]
exact MutuallySingular.zero_right
#align measure_theory.signed_measure.singular_part_mutually_singular MeasureTheory.SignedMeasure.singularPart_mutuallySingular
theorem singularPart_totalVariation (s : SignedMeasure α) (μ : Measure α) :
(s.singularPart μ).totalVariation =
s.toJordanDecomposition.posPart.singularPart μ +
s.toJordanDecomposition.negPart.singularPart μ := by
have :
(s.singularPart μ).toJordanDecomposition =
⟨s.toJordanDecomposition.posPart.singularPart μ,
s.toJordanDecomposition.negPart.singularPart μ, singularPart_mutuallySingular s μ⟩ := by
refine' JordanDecomposition.toSignedMeasure_injective _
rw [toSignedMeasure_toJordanDecomposition, singularPart, JordanDecomposition.toSignedMeasure]
· rw [totalVariation, this]
#align measure_theory.signed_measure.singular_part_total_variation MeasureTheory.SignedMeasure.singularPart_totalVariation
nonrec theorem mutuallySingular_singularPart (s : SignedMeasure α) (μ : Measure α) :
singularPart s μ ⟂ᵥ μ.toENNRealVectorMeasure := by
rw [mutuallySingular_ennreal_iff, singularPart_totalVariation,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure]
exact (mutuallySingular_singularPart _ _).add_left (mutuallySingular_singularPart _ _)
#align measure_theory.signed_measure.mutually_singular_singular_part MeasureTheory.SignedMeasure.mutuallySingular_singularPart
end
/-- The Radon-Nikodym derivative between a signed measure and a positive measure.
`rnDeriv s μ` satisfies `μ.withDensityᵥ (s.rnDeriv μ) = s`
if and only if `s` is absolutely continuous with respect to `μ` and this fact is known as
`MeasureTheory.SignedMeasure.absolutelyContinuous_iff_withDensity_rnDeriv_eq`
and can be found in `MeasureTheory.Decomposition.RadonNikodym`. -/
def rnDeriv (s : SignedMeasure α) (μ : Measure α) : α → ℝ := fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal
#align measure_theory.signed_measure.rn_deriv MeasureTheory.SignedMeasure.rnDeriv
-- Porting note: The generated equation theorem is the form of `rnDeriv s μ x`.
theorem rnDeriv_def (s : SignedMeasure α) (μ : Measure α) : rnDeriv s μ = fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal :=
rfl
attribute [eqns rnDeriv_def] rnDeriv
variable {s t : SignedMeasure α}
@[measurability]
theorem measurable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Measurable (rnDeriv s μ) := by
rw [rnDeriv]
measurability
#align measure_theory.signed_measure.measurable_rn_deriv MeasureTheory.SignedMeasure.measurable_rnDeriv
theorem integrable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Integrable (rnDeriv s μ) μ := by
refine' Integrable.sub _ _ <;>
· constructor
· apply Measurable.aestronglyMeasurable; measurability
exact hasFiniteIntegral_toReal_of_lintegral_ne_top (lintegral_rnDeriv_lt_top _ μ).ne
#align measure_theory.signed_measure.integrable_rn_deriv MeasureTheory.SignedMeasure.integrable_rnDeriv
variable (s μ)
/-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
first
| exact (lintegral_rnDeriv_lt_top _ _).ne
| measurability
#align measure_theory.signed_measure.singular_part_add_with_density_rn_deriv_eq MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq
variable {s μ}
theorem jordanDecomposition_add_withDensity_mutuallySingular {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) :
(t.toJordanDecomposition.posPart + μ.withDensity fun x : α => ENNReal.ofReal (f x)) ⟂ₘ
t.toJordanDecomposition.negPart + μ.withDensity fun x : α => ENNReal.ofReal (-f x) := by
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
exact
((JordanDecomposition.mutuallySingular _).add_right
(htμ.1.mono_ac (refl _) (withDensity_absolutelyContinuous _ _))).add_left
((htμ.2.symm.mono_ac (withDensity_absolutelyContinuous _ _) (refl _)).add_right
(withDensity_ofReal_mutuallySingular hf))
#align measure_theory.signed_measure.jordan_decomposition_add_with_density_mutually_singular MeasureTheory.SignedMeasure.jordanDecomposition_add_withDensity_mutuallySingular
theorem toJordanDecomposition_eq_of_eq_add_withDensity {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.toJordanDecomposition =
@JordanDecomposition.mk α _
(t.toJordanDecomposition.posPart + μ.withDensity fun x => ENNReal.ofReal (f x))
(t.toJordanDecomposition.negPart + μ.withDensity fun x => ENNReal.ofReal (-f x))
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.2; infer_instance)
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2; infer_instance)
(jordanDecomposition_add_withDensity_mutuallySingular hf htμ) := by
haveI := isFiniteMeasure_withDensity_ofReal hfi.2
haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2
refine' toJordanDecomposition_eq _
simp_rw [JordanDecomposition.toSignedMeasure, hadd]
ext i hi
rw [VectorMeasure.sub_apply, toSignedMeasure_apply_measurable hi,
toSignedMeasure_apply_measurable hi, add_apply, add_apply, ENNReal.toReal_add,
ENNReal.toReal_add, add_sub_add_comm, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi, ← VectorMeasure.sub_apply,
← JordanDecomposition.toSignedMeasure, toSignedMeasure_toJordanDecomposition,
VectorMeasure.add_apply, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi,
withDensityᵥ_eq_withDensity_pos_part_sub_withDensity_neg_part hfi,
VectorMeasure.sub_apply] <;>
exact (measure_lt_top _ _).ne
#align measure_theory.signed_measure.to_jordan_decomposition_eq_of_eq_add_with_density MeasureTheory.SignedMeasure.toJordanDecomposition_eq_of_eq_add_withDensity
private theorem haveLebesgueDecomposition_mk' (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff] at htμ
change _ ⟂ₘ VectorMeasure.equivMeasure.toFun (VectorMeasure.equivMeasure.invFun μ) at htμ
rw [VectorMeasure.equivMeasure.right_inv, totalVariation_mutuallySingular_iff] at htμ
refine'
{ posPart := by
use ⟨t.toJordanDecomposition.posPart, fun x => ENNReal.ofReal (f x)⟩
refine' ⟨hf.ennreal_ofReal, htμ.1, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
negPart := by
use ⟨t.toJordanDecomposition.negPart, fun x => ENNReal.ofReal (-f x)⟩
refine' ⟨hf.neg.ennreal_ofReal, htμ.2, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd] }
theorem haveLebesgueDecomposition_mk (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
by_cases hfi : Integrable f μ
· exact haveLebesgueDecomposition_mk' μ hf hfi htμ hadd
· rw [withDensityᵥ, dif_neg hfi, add_zero] at hadd
refine' haveLebesgueDecomposition_mk' μ measurable_zero (integrable_zero _ _ μ) htμ _
rwa [withDensityᵥ_zero, add_zero]
#align measure_theory.signed_measure.have_lebesgue_decomposition_mk MeasureTheory.SignedMeasure.haveLebesgueDecomposition_mk
private theorem eq_singularPart' (t : SignedMeasure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
t = s.singularPart μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
rw [singularPart, ← t.toSignedMeasure_toJordanDecomposition,
JordanDecomposition.toSignedMeasure]
| congr | private theorem eq_singularPart' (t : SignedMeasure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
t = s.singularPart μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
rw [singularPart, ← t.toSignedMeasure_toJordanDecomposition,
JordanDecomposition.toSignedMeasure]
| Mathlib.MeasureTheory.Decomposition.SignedLebesgue.301_0.HPGboz0rhL6sBes | private theorem eq_singularPart' (t : SignedMeasure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
t = s.singularPart μ | Mathlib_MeasureTheory_Decomposition_SignedLebesgue |
case e_a.e_μ
α : Type u_1
β : Type u_2
m : MeasurableSpace α
μ ν : Measure α
s t✝ t : SignedMeasure α
f : α → ℝ
hf : Measurable f
hfi : Integrable f
htμ : (toJordanDecomposition t).posPart ⟂ₘ μ ∧ (toJordanDecomposition t).negPart ⟂ₘ μ
hadd : s = t + withDensityᵥ μ f
htμ' : t ⟂ᵥ toENNRealVectorMeasure μ
⊢ (toJordanDecomposition t).posPart = Measure.singularPart (toJordanDecomposition s).posPart μ | /-
Copyright (c) 2021 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.MeasureTheory.Decomposition.Lebesgue
import Mathlib.MeasureTheory.Measure.Complex
/-!
# Lebesgue decomposition
This file proves the Lebesgue decomposition theorem for signed measures. The Lebesgue decomposition
theorem states that, given two σ-finite measures `μ` and `ν`, there exists a σ-finite measure `ξ`
and a measurable function `f` such that `μ = ξ + fν` and `ξ` is mutually singular with respect
to `ν`.
## Main definitions
* `MeasureTheory.SignedMeasure.HaveLebesgueDecomposition` : A signed measure `s` and a
measure `μ` is said to `HaveLebesgueDecomposition` if both the positive part and negative
part of `s` `HaveLebesgueDecomposition` with respect to `μ`.
* `MeasureTheory.SignedMeasure.singularPart` : The singular part between a signed measure `s`
and a measure `μ` is simply the singular part of the positive part of `s` with respect to `μ`
minus the singular part of the negative part of `s` with respect to `μ`.
* `MeasureTheory.SignedMeasure.rnDeriv` : The Radon-Nikodym derivative of a signed
measure `s` with respect to a measure `μ` is the Radon-Nikodym derivative of the positive part of
`s` with respect to `μ` minus the Radon-Nikodym derivative of the negative part of `s` with
respect to `μ`.
## Main results
* `MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq` :
the Lebesgue decomposition theorem between a signed measure and a σ-finite positive measure.
## Tags
Lebesgue decomposition theorem
-/
noncomputable section
open scoped Classical MeasureTheory NNReal ENNReal
open Set
variable {α β : Type*} {m : MeasurableSpace α} {μ ν : MeasureTheory.Measure α}
namespace MeasureTheory
namespace SignedMeasure
open Measure
/-- A signed measure `s` is said to `HaveLebesgueDecomposition` with respect to a measure `μ`
if the positive part and the negative part of `s` both `HaveLebesgueDecomposition` with
respect to `μ`. -/
class HaveLebesgueDecomposition (s : SignedMeasure α) (μ : Measure α) : Prop where
posPart : s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ
negPart : s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ
#align measure_theory.signed_measure.have_lebesgue_decomposition MeasureTheory.SignedMeasure.HaveLebesgueDecomposition
#align measure_theory.signed_measure.have_lebesgue_decomposition.pos_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.posPart
#align measure_theory.signed_measure.have_lebesgue_decomposition.neg_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.negPart
attribute [instance] HaveLebesgueDecomposition.posPart
attribute [instance] HaveLebesgueDecomposition.negPart
theorem not_haveLebesgueDecomposition_iff (s : SignedMeasure α) (μ : Measure α) :
¬s.HaveLebesgueDecomposition μ ↔
¬s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ ∨
¬s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ :=
⟨fun h => not_or_of_imp fun hp hn => h ⟨hp, hn⟩, fun h hl => (not_and_or.2 h) ⟨hl.1, hl.2⟩⟩
#align measure_theory.signed_measure.not_have_lebesgue_decomposition_iff MeasureTheory.SignedMeasure.not_haveLebesgueDecomposition_iff
-- `infer_instance` directly does not work
-- see Note [lower instance priority]
instance (priority := 100) haveLebesgueDecomposition_of_sigmaFinite (s : SignedMeasure α)
(μ : Measure α) [SigmaFinite μ] : s.HaveLebesgueDecomposition μ where
posPart := inferInstance
negPart := inferInstance
#align measure_theory.signed_measure.have_lebesgue_decomposition_of_sigma_finite MeasureTheory.SignedMeasure.haveLebesgueDecomposition_of_sigmaFinite
instance haveLebesgueDecomposition_neg (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] : (-s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_neg MeasureTheory.SignedMeasure.haveLebesgueDecomposition_neg
instance haveLebesgueDecomposition_smul (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ≥0) : (r • s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul
instance haveLebesgueDecomposition_smul_real (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ) : (r • s).HaveLebesgueDecomposition μ := by
by_cases hr : 0 ≤ r
· lift r to ℝ≥0 using hr
exact s.haveLebesgueDecomposition_smul μ _
· rw [not_le] at hr
refine'
{ posPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_posPart_neg _ _ hr]
infer_instance
negPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_negPart_neg _ _ hr]
infer_instance }
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul_real MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul_real
/-- Given a signed measure `s` and a measure `μ`, `s.singularPart μ` is the signed measure
such that `s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s` and
`s.singularPart μ` is mutually singular with respect to `μ`. -/
def singularPart (s : SignedMeasure α) (μ : Measure α) : SignedMeasure α :=
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure -
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure
#align measure_theory.signed_measure.singular_part MeasureTheory.SignedMeasure.singularPart
section
theorem singularPart_mutuallySingular (s : SignedMeasure α) (μ : Measure α) :
s.toJordanDecomposition.posPart.singularPart μ ⟂ₘ
s.toJordanDecomposition.negPart.singularPart μ := by
by_cases hl : s.HaveLebesgueDecomposition μ
· obtain ⟨i, hi, hpos, hneg⟩ := s.toJordanDecomposition.mutuallySingular
rw [s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ] at hpos
rw [s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ] at hneg
rw [add_apply, add_eq_zero_iff] at hpos hneg
exact ⟨i, hi, hpos.1, hneg.1⟩
· rw [not_haveLebesgueDecomposition_iff] at hl
cases' hl with hp hn
· rw [Measure.singularPart, dif_neg hp]
exact MutuallySingular.zero_left
· rw [Measure.singularPart, Measure.singularPart, dif_neg hn]
exact MutuallySingular.zero_right
#align measure_theory.signed_measure.singular_part_mutually_singular MeasureTheory.SignedMeasure.singularPart_mutuallySingular
theorem singularPart_totalVariation (s : SignedMeasure α) (μ : Measure α) :
(s.singularPart μ).totalVariation =
s.toJordanDecomposition.posPart.singularPart μ +
s.toJordanDecomposition.negPart.singularPart μ := by
have :
(s.singularPart μ).toJordanDecomposition =
⟨s.toJordanDecomposition.posPart.singularPart μ,
s.toJordanDecomposition.negPart.singularPart μ, singularPart_mutuallySingular s μ⟩ := by
refine' JordanDecomposition.toSignedMeasure_injective _
rw [toSignedMeasure_toJordanDecomposition, singularPart, JordanDecomposition.toSignedMeasure]
· rw [totalVariation, this]
#align measure_theory.signed_measure.singular_part_total_variation MeasureTheory.SignedMeasure.singularPart_totalVariation
nonrec theorem mutuallySingular_singularPart (s : SignedMeasure α) (μ : Measure α) :
singularPart s μ ⟂ᵥ μ.toENNRealVectorMeasure := by
rw [mutuallySingular_ennreal_iff, singularPart_totalVariation,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure]
exact (mutuallySingular_singularPart _ _).add_left (mutuallySingular_singularPart _ _)
#align measure_theory.signed_measure.mutually_singular_singular_part MeasureTheory.SignedMeasure.mutuallySingular_singularPart
end
/-- The Radon-Nikodym derivative between a signed measure and a positive measure.
`rnDeriv s μ` satisfies `μ.withDensityᵥ (s.rnDeriv μ) = s`
if and only if `s` is absolutely continuous with respect to `μ` and this fact is known as
`MeasureTheory.SignedMeasure.absolutelyContinuous_iff_withDensity_rnDeriv_eq`
and can be found in `MeasureTheory.Decomposition.RadonNikodym`. -/
def rnDeriv (s : SignedMeasure α) (μ : Measure α) : α → ℝ := fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal
#align measure_theory.signed_measure.rn_deriv MeasureTheory.SignedMeasure.rnDeriv
-- Porting note: The generated equation theorem is the form of `rnDeriv s μ x`.
theorem rnDeriv_def (s : SignedMeasure α) (μ : Measure α) : rnDeriv s μ = fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal :=
rfl
attribute [eqns rnDeriv_def] rnDeriv
variable {s t : SignedMeasure α}
@[measurability]
theorem measurable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Measurable (rnDeriv s μ) := by
rw [rnDeriv]
measurability
#align measure_theory.signed_measure.measurable_rn_deriv MeasureTheory.SignedMeasure.measurable_rnDeriv
theorem integrable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Integrable (rnDeriv s μ) μ := by
refine' Integrable.sub _ _ <;>
· constructor
· apply Measurable.aestronglyMeasurable; measurability
exact hasFiniteIntegral_toReal_of_lintegral_ne_top (lintegral_rnDeriv_lt_top _ μ).ne
#align measure_theory.signed_measure.integrable_rn_deriv MeasureTheory.SignedMeasure.integrable_rnDeriv
variable (s μ)
/-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
first
| exact (lintegral_rnDeriv_lt_top _ _).ne
| measurability
#align measure_theory.signed_measure.singular_part_add_with_density_rn_deriv_eq MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq
variable {s μ}
theorem jordanDecomposition_add_withDensity_mutuallySingular {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) :
(t.toJordanDecomposition.posPart + μ.withDensity fun x : α => ENNReal.ofReal (f x)) ⟂ₘ
t.toJordanDecomposition.negPart + μ.withDensity fun x : α => ENNReal.ofReal (-f x) := by
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
exact
((JordanDecomposition.mutuallySingular _).add_right
(htμ.1.mono_ac (refl _) (withDensity_absolutelyContinuous _ _))).add_left
((htμ.2.symm.mono_ac (withDensity_absolutelyContinuous _ _) (refl _)).add_right
(withDensity_ofReal_mutuallySingular hf))
#align measure_theory.signed_measure.jordan_decomposition_add_with_density_mutually_singular MeasureTheory.SignedMeasure.jordanDecomposition_add_withDensity_mutuallySingular
theorem toJordanDecomposition_eq_of_eq_add_withDensity {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.toJordanDecomposition =
@JordanDecomposition.mk α _
(t.toJordanDecomposition.posPart + μ.withDensity fun x => ENNReal.ofReal (f x))
(t.toJordanDecomposition.negPart + μ.withDensity fun x => ENNReal.ofReal (-f x))
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.2; infer_instance)
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2; infer_instance)
(jordanDecomposition_add_withDensity_mutuallySingular hf htμ) := by
haveI := isFiniteMeasure_withDensity_ofReal hfi.2
haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2
refine' toJordanDecomposition_eq _
simp_rw [JordanDecomposition.toSignedMeasure, hadd]
ext i hi
rw [VectorMeasure.sub_apply, toSignedMeasure_apply_measurable hi,
toSignedMeasure_apply_measurable hi, add_apply, add_apply, ENNReal.toReal_add,
ENNReal.toReal_add, add_sub_add_comm, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi, ← VectorMeasure.sub_apply,
← JordanDecomposition.toSignedMeasure, toSignedMeasure_toJordanDecomposition,
VectorMeasure.add_apply, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi,
withDensityᵥ_eq_withDensity_pos_part_sub_withDensity_neg_part hfi,
VectorMeasure.sub_apply] <;>
exact (measure_lt_top _ _).ne
#align measure_theory.signed_measure.to_jordan_decomposition_eq_of_eq_add_with_density MeasureTheory.SignedMeasure.toJordanDecomposition_eq_of_eq_add_withDensity
private theorem haveLebesgueDecomposition_mk' (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff] at htμ
change _ ⟂ₘ VectorMeasure.equivMeasure.toFun (VectorMeasure.equivMeasure.invFun μ) at htμ
rw [VectorMeasure.equivMeasure.right_inv, totalVariation_mutuallySingular_iff] at htμ
refine'
{ posPart := by
use ⟨t.toJordanDecomposition.posPart, fun x => ENNReal.ofReal (f x)⟩
refine' ⟨hf.ennreal_ofReal, htμ.1, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
negPart := by
use ⟨t.toJordanDecomposition.negPart, fun x => ENNReal.ofReal (-f x)⟩
refine' ⟨hf.neg.ennreal_ofReal, htμ.2, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd] }
theorem haveLebesgueDecomposition_mk (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
by_cases hfi : Integrable f μ
· exact haveLebesgueDecomposition_mk' μ hf hfi htμ hadd
· rw [withDensityᵥ, dif_neg hfi, add_zero] at hadd
refine' haveLebesgueDecomposition_mk' μ measurable_zero (integrable_zero _ _ μ) htμ _
rwa [withDensityᵥ_zero, add_zero]
#align measure_theory.signed_measure.have_lebesgue_decomposition_mk MeasureTheory.SignedMeasure.haveLebesgueDecomposition_mk
private theorem eq_singularPart' (t : SignedMeasure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
t = s.singularPart μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
rw [singularPart, ← t.toSignedMeasure_toJordanDecomposition,
JordanDecomposition.toSignedMeasure]
congr
· | have hfpos : Measurable fun x => ENNReal.ofReal (f x) := by measurability | private theorem eq_singularPart' (t : SignedMeasure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
t = s.singularPart μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
rw [singularPart, ← t.toSignedMeasure_toJordanDecomposition,
JordanDecomposition.toSignedMeasure]
congr
· | Mathlib.MeasureTheory.Decomposition.SignedLebesgue.301_0.HPGboz0rhL6sBes | private theorem eq_singularPart' (t : SignedMeasure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
t = s.singularPart μ | Mathlib_MeasureTheory_Decomposition_SignedLebesgue |
α : Type u_1
β : Type u_2
m : MeasurableSpace α
μ ν : Measure α
s t✝ t : SignedMeasure α
f : α → ℝ
hf : Measurable f
hfi : Integrable f
htμ : (toJordanDecomposition t).posPart ⟂ₘ μ ∧ (toJordanDecomposition t).negPart ⟂ₘ μ
hadd : s = t + withDensityᵥ μ f
htμ' : t ⟂ᵥ toENNRealVectorMeasure μ
⊢ Measurable fun x => ENNReal.ofReal (f x) | /-
Copyright (c) 2021 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.MeasureTheory.Decomposition.Lebesgue
import Mathlib.MeasureTheory.Measure.Complex
/-!
# Lebesgue decomposition
This file proves the Lebesgue decomposition theorem for signed measures. The Lebesgue decomposition
theorem states that, given two σ-finite measures `μ` and `ν`, there exists a σ-finite measure `ξ`
and a measurable function `f` such that `μ = ξ + fν` and `ξ` is mutually singular with respect
to `ν`.
## Main definitions
* `MeasureTheory.SignedMeasure.HaveLebesgueDecomposition` : A signed measure `s` and a
measure `μ` is said to `HaveLebesgueDecomposition` if both the positive part and negative
part of `s` `HaveLebesgueDecomposition` with respect to `μ`.
* `MeasureTheory.SignedMeasure.singularPart` : The singular part between a signed measure `s`
and a measure `μ` is simply the singular part of the positive part of `s` with respect to `μ`
minus the singular part of the negative part of `s` with respect to `μ`.
* `MeasureTheory.SignedMeasure.rnDeriv` : The Radon-Nikodym derivative of a signed
measure `s` with respect to a measure `μ` is the Radon-Nikodym derivative of the positive part of
`s` with respect to `μ` minus the Radon-Nikodym derivative of the negative part of `s` with
respect to `μ`.
## Main results
* `MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq` :
the Lebesgue decomposition theorem between a signed measure and a σ-finite positive measure.
## Tags
Lebesgue decomposition theorem
-/
noncomputable section
open scoped Classical MeasureTheory NNReal ENNReal
open Set
variable {α β : Type*} {m : MeasurableSpace α} {μ ν : MeasureTheory.Measure α}
namespace MeasureTheory
namespace SignedMeasure
open Measure
/-- A signed measure `s` is said to `HaveLebesgueDecomposition` with respect to a measure `μ`
if the positive part and the negative part of `s` both `HaveLebesgueDecomposition` with
respect to `μ`. -/
class HaveLebesgueDecomposition (s : SignedMeasure α) (μ : Measure α) : Prop where
posPart : s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ
negPart : s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ
#align measure_theory.signed_measure.have_lebesgue_decomposition MeasureTheory.SignedMeasure.HaveLebesgueDecomposition
#align measure_theory.signed_measure.have_lebesgue_decomposition.pos_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.posPart
#align measure_theory.signed_measure.have_lebesgue_decomposition.neg_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.negPart
attribute [instance] HaveLebesgueDecomposition.posPart
attribute [instance] HaveLebesgueDecomposition.negPart
theorem not_haveLebesgueDecomposition_iff (s : SignedMeasure α) (μ : Measure α) :
¬s.HaveLebesgueDecomposition μ ↔
¬s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ ∨
¬s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ :=
⟨fun h => not_or_of_imp fun hp hn => h ⟨hp, hn⟩, fun h hl => (not_and_or.2 h) ⟨hl.1, hl.2⟩⟩
#align measure_theory.signed_measure.not_have_lebesgue_decomposition_iff MeasureTheory.SignedMeasure.not_haveLebesgueDecomposition_iff
-- `infer_instance` directly does not work
-- see Note [lower instance priority]
instance (priority := 100) haveLebesgueDecomposition_of_sigmaFinite (s : SignedMeasure α)
(μ : Measure α) [SigmaFinite μ] : s.HaveLebesgueDecomposition μ where
posPart := inferInstance
negPart := inferInstance
#align measure_theory.signed_measure.have_lebesgue_decomposition_of_sigma_finite MeasureTheory.SignedMeasure.haveLebesgueDecomposition_of_sigmaFinite
instance haveLebesgueDecomposition_neg (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] : (-s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_neg MeasureTheory.SignedMeasure.haveLebesgueDecomposition_neg
instance haveLebesgueDecomposition_smul (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ≥0) : (r • s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul
instance haveLebesgueDecomposition_smul_real (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ) : (r • s).HaveLebesgueDecomposition μ := by
by_cases hr : 0 ≤ r
· lift r to ℝ≥0 using hr
exact s.haveLebesgueDecomposition_smul μ _
· rw [not_le] at hr
refine'
{ posPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_posPart_neg _ _ hr]
infer_instance
negPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_negPart_neg _ _ hr]
infer_instance }
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul_real MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul_real
/-- Given a signed measure `s` and a measure `μ`, `s.singularPart μ` is the signed measure
such that `s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s` and
`s.singularPart μ` is mutually singular with respect to `μ`. -/
def singularPart (s : SignedMeasure α) (μ : Measure α) : SignedMeasure α :=
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure -
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure
#align measure_theory.signed_measure.singular_part MeasureTheory.SignedMeasure.singularPart
section
theorem singularPart_mutuallySingular (s : SignedMeasure α) (μ : Measure α) :
s.toJordanDecomposition.posPart.singularPart μ ⟂ₘ
s.toJordanDecomposition.negPart.singularPart μ := by
by_cases hl : s.HaveLebesgueDecomposition μ
· obtain ⟨i, hi, hpos, hneg⟩ := s.toJordanDecomposition.mutuallySingular
rw [s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ] at hpos
rw [s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ] at hneg
rw [add_apply, add_eq_zero_iff] at hpos hneg
exact ⟨i, hi, hpos.1, hneg.1⟩
· rw [not_haveLebesgueDecomposition_iff] at hl
cases' hl with hp hn
· rw [Measure.singularPart, dif_neg hp]
exact MutuallySingular.zero_left
· rw [Measure.singularPart, Measure.singularPart, dif_neg hn]
exact MutuallySingular.zero_right
#align measure_theory.signed_measure.singular_part_mutually_singular MeasureTheory.SignedMeasure.singularPart_mutuallySingular
theorem singularPart_totalVariation (s : SignedMeasure α) (μ : Measure α) :
(s.singularPart μ).totalVariation =
s.toJordanDecomposition.posPart.singularPart μ +
s.toJordanDecomposition.negPart.singularPart μ := by
have :
(s.singularPart μ).toJordanDecomposition =
⟨s.toJordanDecomposition.posPart.singularPart μ,
s.toJordanDecomposition.negPart.singularPart μ, singularPart_mutuallySingular s μ⟩ := by
refine' JordanDecomposition.toSignedMeasure_injective _
rw [toSignedMeasure_toJordanDecomposition, singularPart, JordanDecomposition.toSignedMeasure]
· rw [totalVariation, this]
#align measure_theory.signed_measure.singular_part_total_variation MeasureTheory.SignedMeasure.singularPart_totalVariation
nonrec theorem mutuallySingular_singularPart (s : SignedMeasure α) (μ : Measure α) :
singularPart s μ ⟂ᵥ μ.toENNRealVectorMeasure := by
rw [mutuallySingular_ennreal_iff, singularPart_totalVariation,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure]
exact (mutuallySingular_singularPart _ _).add_left (mutuallySingular_singularPart _ _)
#align measure_theory.signed_measure.mutually_singular_singular_part MeasureTheory.SignedMeasure.mutuallySingular_singularPart
end
/-- The Radon-Nikodym derivative between a signed measure and a positive measure.
`rnDeriv s μ` satisfies `μ.withDensityᵥ (s.rnDeriv μ) = s`
if and only if `s` is absolutely continuous with respect to `μ` and this fact is known as
`MeasureTheory.SignedMeasure.absolutelyContinuous_iff_withDensity_rnDeriv_eq`
and can be found in `MeasureTheory.Decomposition.RadonNikodym`. -/
def rnDeriv (s : SignedMeasure α) (μ : Measure α) : α → ℝ := fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal
#align measure_theory.signed_measure.rn_deriv MeasureTheory.SignedMeasure.rnDeriv
-- Porting note: The generated equation theorem is the form of `rnDeriv s μ x`.
theorem rnDeriv_def (s : SignedMeasure α) (μ : Measure α) : rnDeriv s μ = fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal :=
rfl
attribute [eqns rnDeriv_def] rnDeriv
variable {s t : SignedMeasure α}
@[measurability]
theorem measurable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Measurable (rnDeriv s μ) := by
rw [rnDeriv]
measurability
#align measure_theory.signed_measure.measurable_rn_deriv MeasureTheory.SignedMeasure.measurable_rnDeriv
theorem integrable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Integrable (rnDeriv s μ) μ := by
refine' Integrable.sub _ _ <;>
· constructor
· apply Measurable.aestronglyMeasurable; measurability
exact hasFiniteIntegral_toReal_of_lintegral_ne_top (lintegral_rnDeriv_lt_top _ μ).ne
#align measure_theory.signed_measure.integrable_rn_deriv MeasureTheory.SignedMeasure.integrable_rnDeriv
variable (s μ)
/-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
first
| exact (lintegral_rnDeriv_lt_top _ _).ne
| measurability
#align measure_theory.signed_measure.singular_part_add_with_density_rn_deriv_eq MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq
variable {s μ}
theorem jordanDecomposition_add_withDensity_mutuallySingular {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) :
(t.toJordanDecomposition.posPart + μ.withDensity fun x : α => ENNReal.ofReal (f x)) ⟂ₘ
t.toJordanDecomposition.negPart + μ.withDensity fun x : α => ENNReal.ofReal (-f x) := by
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
exact
((JordanDecomposition.mutuallySingular _).add_right
(htμ.1.mono_ac (refl _) (withDensity_absolutelyContinuous _ _))).add_left
((htμ.2.symm.mono_ac (withDensity_absolutelyContinuous _ _) (refl _)).add_right
(withDensity_ofReal_mutuallySingular hf))
#align measure_theory.signed_measure.jordan_decomposition_add_with_density_mutually_singular MeasureTheory.SignedMeasure.jordanDecomposition_add_withDensity_mutuallySingular
theorem toJordanDecomposition_eq_of_eq_add_withDensity {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.toJordanDecomposition =
@JordanDecomposition.mk α _
(t.toJordanDecomposition.posPart + μ.withDensity fun x => ENNReal.ofReal (f x))
(t.toJordanDecomposition.negPart + μ.withDensity fun x => ENNReal.ofReal (-f x))
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.2; infer_instance)
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2; infer_instance)
(jordanDecomposition_add_withDensity_mutuallySingular hf htμ) := by
haveI := isFiniteMeasure_withDensity_ofReal hfi.2
haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2
refine' toJordanDecomposition_eq _
simp_rw [JordanDecomposition.toSignedMeasure, hadd]
ext i hi
rw [VectorMeasure.sub_apply, toSignedMeasure_apply_measurable hi,
toSignedMeasure_apply_measurable hi, add_apply, add_apply, ENNReal.toReal_add,
ENNReal.toReal_add, add_sub_add_comm, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi, ← VectorMeasure.sub_apply,
← JordanDecomposition.toSignedMeasure, toSignedMeasure_toJordanDecomposition,
VectorMeasure.add_apply, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi,
withDensityᵥ_eq_withDensity_pos_part_sub_withDensity_neg_part hfi,
VectorMeasure.sub_apply] <;>
exact (measure_lt_top _ _).ne
#align measure_theory.signed_measure.to_jordan_decomposition_eq_of_eq_add_with_density MeasureTheory.SignedMeasure.toJordanDecomposition_eq_of_eq_add_withDensity
private theorem haveLebesgueDecomposition_mk' (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff] at htμ
change _ ⟂ₘ VectorMeasure.equivMeasure.toFun (VectorMeasure.equivMeasure.invFun μ) at htμ
rw [VectorMeasure.equivMeasure.right_inv, totalVariation_mutuallySingular_iff] at htμ
refine'
{ posPart := by
use ⟨t.toJordanDecomposition.posPart, fun x => ENNReal.ofReal (f x)⟩
refine' ⟨hf.ennreal_ofReal, htμ.1, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
negPart := by
use ⟨t.toJordanDecomposition.negPart, fun x => ENNReal.ofReal (-f x)⟩
refine' ⟨hf.neg.ennreal_ofReal, htμ.2, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd] }
theorem haveLebesgueDecomposition_mk (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
by_cases hfi : Integrable f μ
· exact haveLebesgueDecomposition_mk' μ hf hfi htμ hadd
· rw [withDensityᵥ, dif_neg hfi, add_zero] at hadd
refine' haveLebesgueDecomposition_mk' μ measurable_zero (integrable_zero _ _ μ) htμ _
rwa [withDensityᵥ_zero, add_zero]
#align measure_theory.signed_measure.have_lebesgue_decomposition_mk MeasureTheory.SignedMeasure.haveLebesgueDecomposition_mk
private theorem eq_singularPart' (t : SignedMeasure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
t = s.singularPart μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
rw [singularPart, ← t.toSignedMeasure_toJordanDecomposition,
JordanDecomposition.toSignedMeasure]
congr
· have hfpos : Measurable fun x => ENNReal.ofReal (f x) := by | measurability | private theorem eq_singularPart' (t : SignedMeasure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
t = s.singularPart μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
rw [singularPart, ← t.toSignedMeasure_toJordanDecomposition,
JordanDecomposition.toSignedMeasure]
congr
· have hfpos : Measurable fun x => ENNReal.ofReal (f x) := by | Mathlib.MeasureTheory.Decomposition.SignedLebesgue.301_0.HPGboz0rhL6sBes | private theorem eq_singularPart' (t : SignedMeasure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
t = s.singularPart μ | Mathlib_MeasureTheory_Decomposition_SignedLebesgue |
case e_a.e_μ
α : Type u_1
β : Type u_2
m : MeasurableSpace α
μ ν : Measure α
s t✝ t : SignedMeasure α
f : α → ℝ
hf : Measurable f
hfi : Integrable f
htμ : (toJordanDecomposition t).posPart ⟂ₘ μ ∧ (toJordanDecomposition t).negPart ⟂ₘ μ
hadd : s = t + withDensityᵥ μ f
htμ' : t ⟂ᵥ toENNRealVectorMeasure μ
hfpos : Measurable fun x => ENNReal.ofReal (f x)
⊢ (toJordanDecomposition t).posPart = Measure.singularPart (toJordanDecomposition s).posPart μ | /-
Copyright (c) 2021 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.MeasureTheory.Decomposition.Lebesgue
import Mathlib.MeasureTheory.Measure.Complex
/-!
# Lebesgue decomposition
This file proves the Lebesgue decomposition theorem for signed measures. The Lebesgue decomposition
theorem states that, given two σ-finite measures `μ` and `ν`, there exists a σ-finite measure `ξ`
and a measurable function `f` such that `μ = ξ + fν` and `ξ` is mutually singular with respect
to `ν`.
## Main definitions
* `MeasureTheory.SignedMeasure.HaveLebesgueDecomposition` : A signed measure `s` and a
measure `μ` is said to `HaveLebesgueDecomposition` if both the positive part and negative
part of `s` `HaveLebesgueDecomposition` with respect to `μ`.
* `MeasureTheory.SignedMeasure.singularPart` : The singular part between a signed measure `s`
and a measure `μ` is simply the singular part of the positive part of `s` with respect to `μ`
minus the singular part of the negative part of `s` with respect to `μ`.
* `MeasureTheory.SignedMeasure.rnDeriv` : The Radon-Nikodym derivative of a signed
measure `s` with respect to a measure `μ` is the Radon-Nikodym derivative of the positive part of
`s` with respect to `μ` minus the Radon-Nikodym derivative of the negative part of `s` with
respect to `μ`.
## Main results
* `MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq` :
the Lebesgue decomposition theorem between a signed measure and a σ-finite positive measure.
## Tags
Lebesgue decomposition theorem
-/
noncomputable section
open scoped Classical MeasureTheory NNReal ENNReal
open Set
variable {α β : Type*} {m : MeasurableSpace α} {μ ν : MeasureTheory.Measure α}
namespace MeasureTheory
namespace SignedMeasure
open Measure
/-- A signed measure `s` is said to `HaveLebesgueDecomposition` with respect to a measure `μ`
if the positive part and the negative part of `s` both `HaveLebesgueDecomposition` with
respect to `μ`. -/
class HaveLebesgueDecomposition (s : SignedMeasure α) (μ : Measure α) : Prop where
posPart : s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ
negPart : s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ
#align measure_theory.signed_measure.have_lebesgue_decomposition MeasureTheory.SignedMeasure.HaveLebesgueDecomposition
#align measure_theory.signed_measure.have_lebesgue_decomposition.pos_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.posPart
#align measure_theory.signed_measure.have_lebesgue_decomposition.neg_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.negPart
attribute [instance] HaveLebesgueDecomposition.posPart
attribute [instance] HaveLebesgueDecomposition.negPart
theorem not_haveLebesgueDecomposition_iff (s : SignedMeasure α) (μ : Measure α) :
¬s.HaveLebesgueDecomposition μ ↔
¬s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ ∨
¬s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ :=
⟨fun h => not_or_of_imp fun hp hn => h ⟨hp, hn⟩, fun h hl => (not_and_or.2 h) ⟨hl.1, hl.2⟩⟩
#align measure_theory.signed_measure.not_have_lebesgue_decomposition_iff MeasureTheory.SignedMeasure.not_haveLebesgueDecomposition_iff
-- `infer_instance` directly does not work
-- see Note [lower instance priority]
instance (priority := 100) haveLebesgueDecomposition_of_sigmaFinite (s : SignedMeasure α)
(μ : Measure α) [SigmaFinite μ] : s.HaveLebesgueDecomposition μ where
posPart := inferInstance
negPart := inferInstance
#align measure_theory.signed_measure.have_lebesgue_decomposition_of_sigma_finite MeasureTheory.SignedMeasure.haveLebesgueDecomposition_of_sigmaFinite
instance haveLebesgueDecomposition_neg (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] : (-s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_neg MeasureTheory.SignedMeasure.haveLebesgueDecomposition_neg
instance haveLebesgueDecomposition_smul (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ≥0) : (r • s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul
instance haveLebesgueDecomposition_smul_real (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ) : (r • s).HaveLebesgueDecomposition μ := by
by_cases hr : 0 ≤ r
· lift r to ℝ≥0 using hr
exact s.haveLebesgueDecomposition_smul μ _
· rw [not_le] at hr
refine'
{ posPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_posPart_neg _ _ hr]
infer_instance
negPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_negPart_neg _ _ hr]
infer_instance }
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul_real MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul_real
/-- Given a signed measure `s` and a measure `μ`, `s.singularPart μ` is the signed measure
such that `s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s` and
`s.singularPart μ` is mutually singular with respect to `μ`. -/
def singularPart (s : SignedMeasure α) (μ : Measure α) : SignedMeasure α :=
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure -
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure
#align measure_theory.signed_measure.singular_part MeasureTheory.SignedMeasure.singularPart
section
theorem singularPart_mutuallySingular (s : SignedMeasure α) (μ : Measure α) :
s.toJordanDecomposition.posPart.singularPart μ ⟂ₘ
s.toJordanDecomposition.negPart.singularPart μ := by
by_cases hl : s.HaveLebesgueDecomposition μ
· obtain ⟨i, hi, hpos, hneg⟩ := s.toJordanDecomposition.mutuallySingular
rw [s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ] at hpos
rw [s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ] at hneg
rw [add_apply, add_eq_zero_iff] at hpos hneg
exact ⟨i, hi, hpos.1, hneg.1⟩
· rw [not_haveLebesgueDecomposition_iff] at hl
cases' hl with hp hn
· rw [Measure.singularPart, dif_neg hp]
exact MutuallySingular.zero_left
· rw [Measure.singularPart, Measure.singularPart, dif_neg hn]
exact MutuallySingular.zero_right
#align measure_theory.signed_measure.singular_part_mutually_singular MeasureTheory.SignedMeasure.singularPart_mutuallySingular
theorem singularPart_totalVariation (s : SignedMeasure α) (μ : Measure α) :
(s.singularPart μ).totalVariation =
s.toJordanDecomposition.posPart.singularPart μ +
s.toJordanDecomposition.negPart.singularPart μ := by
have :
(s.singularPart μ).toJordanDecomposition =
⟨s.toJordanDecomposition.posPart.singularPart μ,
s.toJordanDecomposition.negPart.singularPart μ, singularPart_mutuallySingular s μ⟩ := by
refine' JordanDecomposition.toSignedMeasure_injective _
rw [toSignedMeasure_toJordanDecomposition, singularPart, JordanDecomposition.toSignedMeasure]
· rw [totalVariation, this]
#align measure_theory.signed_measure.singular_part_total_variation MeasureTheory.SignedMeasure.singularPart_totalVariation
nonrec theorem mutuallySingular_singularPart (s : SignedMeasure α) (μ : Measure α) :
singularPart s μ ⟂ᵥ μ.toENNRealVectorMeasure := by
rw [mutuallySingular_ennreal_iff, singularPart_totalVariation,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure]
exact (mutuallySingular_singularPart _ _).add_left (mutuallySingular_singularPart _ _)
#align measure_theory.signed_measure.mutually_singular_singular_part MeasureTheory.SignedMeasure.mutuallySingular_singularPart
end
/-- The Radon-Nikodym derivative between a signed measure and a positive measure.
`rnDeriv s μ` satisfies `μ.withDensityᵥ (s.rnDeriv μ) = s`
if and only if `s` is absolutely continuous with respect to `μ` and this fact is known as
`MeasureTheory.SignedMeasure.absolutelyContinuous_iff_withDensity_rnDeriv_eq`
and can be found in `MeasureTheory.Decomposition.RadonNikodym`. -/
def rnDeriv (s : SignedMeasure α) (μ : Measure α) : α → ℝ := fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal
#align measure_theory.signed_measure.rn_deriv MeasureTheory.SignedMeasure.rnDeriv
-- Porting note: The generated equation theorem is the form of `rnDeriv s μ x`.
theorem rnDeriv_def (s : SignedMeasure α) (μ : Measure α) : rnDeriv s μ = fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal :=
rfl
attribute [eqns rnDeriv_def] rnDeriv
variable {s t : SignedMeasure α}
@[measurability]
theorem measurable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Measurable (rnDeriv s μ) := by
rw [rnDeriv]
measurability
#align measure_theory.signed_measure.measurable_rn_deriv MeasureTheory.SignedMeasure.measurable_rnDeriv
theorem integrable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Integrable (rnDeriv s μ) μ := by
refine' Integrable.sub _ _ <;>
· constructor
· apply Measurable.aestronglyMeasurable; measurability
exact hasFiniteIntegral_toReal_of_lintegral_ne_top (lintegral_rnDeriv_lt_top _ μ).ne
#align measure_theory.signed_measure.integrable_rn_deriv MeasureTheory.SignedMeasure.integrable_rnDeriv
variable (s μ)
/-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
first
| exact (lintegral_rnDeriv_lt_top _ _).ne
| measurability
#align measure_theory.signed_measure.singular_part_add_with_density_rn_deriv_eq MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq
variable {s μ}
theorem jordanDecomposition_add_withDensity_mutuallySingular {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) :
(t.toJordanDecomposition.posPart + μ.withDensity fun x : α => ENNReal.ofReal (f x)) ⟂ₘ
t.toJordanDecomposition.negPart + μ.withDensity fun x : α => ENNReal.ofReal (-f x) := by
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
exact
((JordanDecomposition.mutuallySingular _).add_right
(htμ.1.mono_ac (refl _) (withDensity_absolutelyContinuous _ _))).add_left
((htμ.2.symm.mono_ac (withDensity_absolutelyContinuous _ _) (refl _)).add_right
(withDensity_ofReal_mutuallySingular hf))
#align measure_theory.signed_measure.jordan_decomposition_add_with_density_mutually_singular MeasureTheory.SignedMeasure.jordanDecomposition_add_withDensity_mutuallySingular
theorem toJordanDecomposition_eq_of_eq_add_withDensity {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.toJordanDecomposition =
@JordanDecomposition.mk α _
(t.toJordanDecomposition.posPart + μ.withDensity fun x => ENNReal.ofReal (f x))
(t.toJordanDecomposition.negPart + μ.withDensity fun x => ENNReal.ofReal (-f x))
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.2; infer_instance)
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2; infer_instance)
(jordanDecomposition_add_withDensity_mutuallySingular hf htμ) := by
haveI := isFiniteMeasure_withDensity_ofReal hfi.2
haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2
refine' toJordanDecomposition_eq _
simp_rw [JordanDecomposition.toSignedMeasure, hadd]
ext i hi
rw [VectorMeasure.sub_apply, toSignedMeasure_apply_measurable hi,
toSignedMeasure_apply_measurable hi, add_apply, add_apply, ENNReal.toReal_add,
ENNReal.toReal_add, add_sub_add_comm, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi, ← VectorMeasure.sub_apply,
← JordanDecomposition.toSignedMeasure, toSignedMeasure_toJordanDecomposition,
VectorMeasure.add_apply, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi,
withDensityᵥ_eq_withDensity_pos_part_sub_withDensity_neg_part hfi,
VectorMeasure.sub_apply] <;>
exact (measure_lt_top _ _).ne
#align measure_theory.signed_measure.to_jordan_decomposition_eq_of_eq_add_with_density MeasureTheory.SignedMeasure.toJordanDecomposition_eq_of_eq_add_withDensity
private theorem haveLebesgueDecomposition_mk' (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff] at htμ
change _ ⟂ₘ VectorMeasure.equivMeasure.toFun (VectorMeasure.equivMeasure.invFun μ) at htμ
rw [VectorMeasure.equivMeasure.right_inv, totalVariation_mutuallySingular_iff] at htμ
refine'
{ posPart := by
use ⟨t.toJordanDecomposition.posPart, fun x => ENNReal.ofReal (f x)⟩
refine' ⟨hf.ennreal_ofReal, htμ.1, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
negPart := by
use ⟨t.toJordanDecomposition.negPart, fun x => ENNReal.ofReal (-f x)⟩
refine' ⟨hf.neg.ennreal_ofReal, htμ.2, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd] }
theorem haveLebesgueDecomposition_mk (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
by_cases hfi : Integrable f μ
· exact haveLebesgueDecomposition_mk' μ hf hfi htμ hadd
· rw [withDensityᵥ, dif_neg hfi, add_zero] at hadd
refine' haveLebesgueDecomposition_mk' μ measurable_zero (integrable_zero _ _ μ) htμ _
rwa [withDensityᵥ_zero, add_zero]
#align measure_theory.signed_measure.have_lebesgue_decomposition_mk MeasureTheory.SignedMeasure.haveLebesgueDecomposition_mk
private theorem eq_singularPart' (t : SignedMeasure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
t = s.singularPart μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
rw [singularPart, ← t.toSignedMeasure_toJordanDecomposition,
JordanDecomposition.toSignedMeasure]
congr
· have hfpos : Measurable fun x => ENNReal.ofReal (f x) := by measurability
| refine' eq_singularPart hfpos htμ.1 _ | private theorem eq_singularPart' (t : SignedMeasure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
t = s.singularPart μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
rw [singularPart, ← t.toSignedMeasure_toJordanDecomposition,
JordanDecomposition.toSignedMeasure]
congr
· have hfpos : Measurable fun x => ENNReal.ofReal (f x) := by measurability
| Mathlib.MeasureTheory.Decomposition.SignedLebesgue.301_0.HPGboz0rhL6sBes | private theorem eq_singularPart' (t : SignedMeasure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
t = s.singularPart μ | Mathlib_MeasureTheory_Decomposition_SignedLebesgue |
case e_a.e_μ
α : Type u_1
β : Type u_2
m : MeasurableSpace α
μ ν : Measure α
s t✝ t : SignedMeasure α
f : α → ℝ
hf : Measurable f
hfi : Integrable f
htμ : (toJordanDecomposition t).posPart ⟂ₘ μ ∧ (toJordanDecomposition t).negPart ⟂ₘ μ
hadd : s = t + withDensityᵥ μ f
htμ' : t ⟂ᵥ toENNRealVectorMeasure μ
hfpos : Measurable fun x => ENNReal.ofReal (f x)
⊢ (toJordanDecomposition s).posPart = (toJordanDecomposition t).posPart + withDensity μ fun x => ENNReal.ofReal (f x) | /-
Copyright (c) 2021 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.MeasureTheory.Decomposition.Lebesgue
import Mathlib.MeasureTheory.Measure.Complex
/-!
# Lebesgue decomposition
This file proves the Lebesgue decomposition theorem for signed measures. The Lebesgue decomposition
theorem states that, given two σ-finite measures `μ` and `ν`, there exists a σ-finite measure `ξ`
and a measurable function `f` such that `μ = ξ + fν` and `ξ` is mutually singular with respect
to `ν`.
## Main definitions
* `MeasureTheory.SignedMeasure.HaveLebesgueDecomposition` : A signed measure `s` and a
measure `μ` is said to `HaveLebesgueDecomposition` if both the positive part and negative
part of `s` `HaveLebesgueDecomposition` with respect to `μ`.
* `MeasureTheory.SignedMeasure.singularPart` : The singular part between a signed measure `s`
and a measure `μ` is simply the singular part of the positive part of `s` with respect to `μ`
minus the singular part of the negative part of `s` with respect to `μ`.
* `MeasureTheory.SignedMeasure.rnDeriv` : The Radon-Nikodym derivative of a signed
measure `s` with respect to a measure `μ` is the Radon-Nikodym derivative of the positive part of
`s` with respect to `μ` minus the Radon-Nikodym derivative of the negative part of `s` with
respect to `μ`.
## Main results
* `MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq` :
the Lebesgue decomposition theorem between a signed measure and a σ-finite positive measure.
## Tags
Lebesgue decomposition theorem
-/
noncomputable section
open scoped Classical MeasureTheory NNReal ENNReal
open Set
variable {α β : Type*} {m : MeasurableSpace α} {μ ν : MeasureTheory.Measure α}
namespace MeasureTheory
namespace SignedMeasure
open Measure
/-- A signed measure `s` is said to `HaveLebesgueDecomposition` with respect to a measure `μ`
if the positive part and the negative part of `s` both `HaveLebesgueDecomposition` with
respect to `μ`. -/
class HaveLebesgueDecomposition (s : SignedMeasure α) (μ : Measure α) : Prop where
posPart : s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ
negPart : s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ
#align measure_theory.signed_measure.have_lebesgue_decomposition MeasureTheory.SignedMeasure.HaveLebesgueDecomposition
#align measure_theory.signed_measure.have_lebesgue_decomposition.pos_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.posPart
#align measure_theory.signed_measure.have_lebesgue_decomposition.neg_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.negPart
attribute [instance] HaveLebesgueDecomposition.posPart
attribute [instance] HaveLebesgueDecomposition.negPart
theorem not_haveLebesgueDecomposition_iff (s : SignedMeasure α) (μ : Measure α) :
¬s.HaveLebesgueDecomposition μ ↔
¬s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ ∨
¬s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ :=
⟨fun h => not_or_of_imp fun hp hn => h ⟨hp, hn⟩, fun h hl => (not_and_or.2 h) ⟨hl.1, hl.2⟩⟩
#align measure_theory.signed_measure.not_have_lebesgue_decomposition_iff MeasureTheory.SignedMeasure.not_haveLebesgueDecomposition_iff
-- `infer_instance` directly does not work
-- see Note [lower instance priority]
instance (priority := 100) haveLebesgueDecomposition_of_sigmaFinite (s : SignedMeasure α)
(μ : Measure α) [SigmaFinite μ] : s.HaveLebesgueDecomposition μ where
posPart := inferInstance
negPart := inferInstance
#align measure_theory.signed_measure.have_lebesgue_decomposition_of_sigma_finite MeasureTheory.SignedMeasure.haveLebesgueDecomposition_of_sigmaFinite
instance haveLebesgueDecomposition_neg (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] : (-s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_neg MeasureTheory.SignedMeasure.haveLebesgueDecomposition_neg
instance haveLebesgueDecomposition_smul (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ≥0) : (r • s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul
instance haveLebesgueDecomposition_smul_real (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ) : (r • s).HaveLebesgueDecomposition μ := by
by_cases hr : 0 ≤ r
· lift r to ℝ≥0 using hr
exact s.haveLebesgueDecomposition_smul μ _
· rw [not_le] at hr
refine'
{ posPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_posPart_neg _ _ hr]
infer_instance
negPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_negPart_neg _ _ hr]
infer_instance }
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul_real MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul_real
/-- Given a signed measure `s` and a measure `μ`, `s.singularPart μ` is the signed measure
such that `s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s` and
`s.singularPart μ` is mutually singular with respect to `μ`. -/
def singularPart (s : SignedMeasure α) (μ : Measure α) : SignedMeasure α :=
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure -
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure
#align measure_theory.signed_measure.singular_part MeasureTheory.SignedMeasure.singularPart
section
theorem singularPart_mutuallySingular (s : SignedMeasure α) (μ : Measure α) :
s.toJordanDecomposition.posPart.singularPart μ ⟂ₘ
s.toJordanDecomposition.negPart.singularPart μ := by
by_cases hl : s.HaveLebesgueDecomposition μ
· obtain ⟨i, hi, hpos, hneg⟩ := s.toJordanDecomposition.mutuallySingular
rw [s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ] at hpos
rw [s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ] at hneg
rw [add_apply, add_eq_zero_iff] at hpos hneg
exact ⟨i, hi, hpos.1, hneg.1⟩
· rw [not_haveLebesgueDecomposition_iff] at hl
cases' hl with hp hn
· rw [Measure.singularPart, dif_neg hp]
exact MutuallySingular.zero_left
· rw [Measure.singularPart, Measure.singularPart, dif_neg hn]
exact MutuallySingular.zero_right
#align measure_theory.signed_measure.singular_part_mutually_singular MeasureTheory.SignedMeasure.singularPart_mutuallySingular
theorem singularPart_totalVariation (s : SignedMeasure α) (μ : Measure α) :
(s.singularPart μ).totalVariation =
s.toJordanDecomposition.posPart.singularPart μ +
s.toJordanDecomposition.negPart.singularPart μ := by
have :
(s.singularPart μ).toJordanDecomposition =
⟨s.toJordanDecomposition.posPart.singularPart μ,
s.toJordanDecomposition.negPart.singularPart μ, singularPart_mutuallySingular s μ⟩ := by
refine' JordanDecomposition.toSignedMeasure_injective _
rw [toSignedMeasure_toJordanDecomposition, singularPart, JordanDecomposition.toSignedMeasure]
· rw [totalVariation, this]
#align measure_theory.signed_measure.singular_part_total_variation MeasureTheory.SignedMeasure.singularPart_totalVariation
nonrec theorem mutuallySingular_singularPart (s : SignedMeasure α) (μ : Measure α) :
singularPart s μ ⟂ᵥ μ.toENNRealVectorMeasure := by
rw [mutuallySingular_ennreal_iff, singularPart_totalVariation,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure]
exact (mutuallySingular_singularPart _ _).add_left (mutuallySingular_singularPart _ _)
#align measure_theory.signed_measure.mutually_singular_singular_part MeasureTheory.SignedMeasure.mutuallySingular_singularPart
end
/-- The Radon-Nikodym derivative between a signed measure and a positive measure.
`rnDeriv s μ` satisfies `μ.withDensityᵥ (s.rnDeriv μ) = s`
if and only if `s` is absolutely continuous with respect to `μ` and this fact is known as
`MeasureTheory.SignedMeasure.absolutelyContinuous_iff_withDensity_rnDeriv_eq`
and can be found in `MeasureTheory.Decomposition.RadonNikodym`. -/
def rnDeriv (s : SignedMeasure α) (μ : Measure α) : α → ℝ := fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal
#align measure_theory.signed_measure.rn_deriv MeasureTheory.SignedMeasure.rnDeriv
-- Porting note: The generated equation theorem is the form of `rnDeriv s μ x`.
theorem rnDeriv_def (s : SignedMeasure α) (μ : Measure α) : rnDeriv s μ = fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal :=
rfl
attribute [eqns rnDeriv_def] rnDeriv
variable {s t : SignedMeasure α}
@[measurability]
theorem measurable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Measurable (rnDeriv s μ) := by
rw [rnDeriv]
measurability
#align measure_theory.signed_measure.measurable_rn_deriv MeasureTheory.SignedMeasure.measurable_rnDeriv
theorem integrable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Integrable (rnDeriv s μ) μ := by
refine' Integrable.sub _ _ <;>
· constructor
· apply Measurable.aestronglyMeasurable; measurability
exact hasFiniteIntegral_toReal_of_lintegral_ne_top (lintegral_rnDeriv_lt_top _ μ).ne
#align measure_theory.signed_measure.integrable_rn_deriv MeasureTheory.SignedMeasure.integrable_rnDeriv
variable (s μ)
/-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
first
| exact (lintegral_rnDeriv_lt_top _ _).ne
| measurability
#align measure_theory.signed_measure.singular_part_add_with_density_rn_deriv_eq MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq
variable {s μ}
theorem jordanDecomposition_add_withDensity_mutuallySingular {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) :
(t.toJordanDecomposition.posPart + μ.withDensity fun x : α => ENNReal.ofReal (f x)) ⟂ₘ
t.toJordanDecomposition.negPart + μ.withDensity fun x : α => ENNReal.ofReal (-f x) := by
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
exact
((JordanDecomposition.mutuallySingular _).add_right
(htμ.1.mono_ac (refl _) (withDensity_absolutelyContinuous _ _))).add_left
((htμ.2.symm.mono_ac (withDensity_absolutelyContinuous _ _) (refl _)).add_right
(withDensity_ofReal_mutuallySingular hf))
#align measure_theory.signed_measure.jordan_decomposition_add_with_density_mutually_singular MeasureTheory.SignedMeasure.jordanDecomposition_add_withDensity_mutuallySingular
theorem toJordanDecomposition_eq_of_eq_add_withDensity {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.toJordanDecomposition =
@JordanDecomposition.mk α _
(t.toJordanDecomposition.posPart + μ.withDensity fun x => ENNReal.ofReal (f x))
(t.toJordanDecomposition.negPart + μ.withDensity fun x => ENNReal.ofReal (-f x))
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.2; infer_instance)
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2; infer_instance)
(jordanDecomposition_add_withDensity_mutuallySingular hf htμ) := by
haveI := isFiniteMeasure_withDensity_ofReal hfi.2
haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2
refine' toJordanDecomposition_eq _
simp_rw [JordanDecomposition.toSignedMeasure, hadd]
ext i hi
rw [VectorMeasure.sub_apply, toSignedMeasure_apply_measurable hi,
toSignedMeasure_apply_measurable hi, add_apply, add_apply, ENNReal.toReal_add,
ENNReal.toReal_add, add_sub_add_comm, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi, ← VectorMeasure.sub_apply,
← JordanDecomposition.toSignedMeasure, toSignedMeasure_toJordanDecomposition,
VectorMeasure.add_apply, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi,
withDensityᵥ_eq_withDensity_pos_part_sub_withDensity_neg_part hfi,
VectorMeasure.sub_apply] <;>
exact (measure_lt_top _ _).ne
#align measure_theory.signed_measure.to_jordan_decomposition_eq_of_eq_add_with_density MeasureTheory.SignedMeasure.toJordanDecomposition_eq_of_eq_add_withDensity
private theorem haveLebesgueDecomposition_mk' (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff] at htμ
change _ ⟂ₘ VectorMeasure.equivMeasure.toFun (VectorMeasure.equivMeasure.invFun μ) at htμ
rw [VectorMeasure.equivMeasure.right_inv, totalVariation_mutuallySingular_iff] at htμ
refine'
{ posPart := by
use ⟨t.toJordanDecomposition.posPart, fun x => ENNReal.ofReal (f x)⟩
refine' ⟨hf.ennreal_ofReal, htμ.1, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
negPart := by
use ⟨t.toJordanDecomposition.negPart, fun x => ENNReal.ofReal (-f x)⟩
refine' ⟨hf.neg.ennreal_ofReal, htμ.2, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd] }
theorem haveLebesgueDecomposition_mk (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
by_cases hfi : Integrable f μ
· exact haveLebesgueDecomposition_mk' μ hf hfi htμ hadd
· rw [withDensityᵥ, dif_neg hfi, add_zero] at hadd
refine' haveLebesgueDecomposition_mk' μ measurable_zero (integrable_zero _ _ μ) htμ _
rwa [withDensityᵥ_zero, add_zero]
#align measure_theory.signed_measure.have_lebesgue_decomposition_mk MeasureTheory.SignedMeasure.haveLebesgueDecomposition_mk
private theorem eq_singularPart' (t : SignedMeasure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
t = s.singularPart μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
rw [singularPart, ← t.toSignedMeasure_toJordanDecomposition,
JordanDecomposition.toSignedMeasure]
congr
· have hfpos : Measurable fun x => ENNReal.ofReal (f x) := by measurability
refine' eq_singularPart hfpos htμ.1 _
| rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd] | private theorem eq_singularPart' (t : SignedMeasure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
t = s.singularPart μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
rw [singularPart, ← t.toSignedMeasure_toJordanDecomposition,
JordanDecomposition.toSignedMeasure]
congr
· have hfpos : Measurable fun x => ENNReal.ofReal (f x) := by measurability
refine' eq_singularPart hfpos htμ.1 _
| Mathlib.MeasureTheory.Decomposition.SignedLebesgue.301_0.HPGboz0rhL6sBes | private theorem eq_singularPart' (t : SignedMeasure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
t = s.singularPart μ | Mathlib_MeasureTheory_Decomposition_SignedLebesgue |
case e_a.e_μ
α : Type u_1
β : Type u_2
m : MeasurableSpace α
μ ν : Measure α
s t✝ t : SignedMeasure α
f : α → ℝ
hf : Measurable f
hfi : Integrable f
htμ : (toJordanDecomposition t).posPart ⟂ₘ μ ∧ (toJordanDecomposition t).negPart ⟂ₘ μ
hadd : s = t + withDensityᵥ μ f
htμ' : t ⟂ᵥ toENNRealVectorMeasure μ
⊢ (toJordanDecomposition t).negPart = Measure.singularPart (toJordanDecomposition s).negPart μ | /-
Copyright (c) 2021 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.MeasureTheory.Decomposition.Lebesgue
import Mathlib.MeasureTheory.Measure.Complex
/-!
# Lebesgue decomposition
This file proves the Lebesgue decomposition theorem for signed measures. The Lebesgue decomposition
theorem states that, given two σ-finite measures `μ` and `ν`, there exists a σ-finite measure `ξ`
and a measurable function `f` such that `μ = ξ + fν` and `ξ` is mutually singular with respect
to `ν`.
## Main definitions
* `MeasureTheory.SignedMeasure.HaveLebesgueDecomposition` : A signed measure `s` and a
measure `μ` is said to `HaveLebesgueDecomposition` if both the positive part and negative
part of `s` `HaveLebesgueDecomposition` with respect to `μ`.
* `MeasureTheory.SignedMeasure.singularPart` : The singular part between a signed measure `s`
and a measure `μ` is simply the singular part of the positive part of `s` with respect to `μ`
minus the singular part of the negative part of `s` with respect to `μ`.
* `MeasureTheory.SignedMeasure.rnDeriv` : The Radon-Nikodym derivative of a signed
measure `s` with respect to a measure `μ` is the Radon-Nikodym derivative of the positive part of
`s` with respect to `μ` minus the Radon-Nikodym derivative of the negative part of `s` with
respect to `μ`.
## Main results
* `MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq` :
the Lebesgue decomposition theorem between a signed measure and a σ-finite positive measure.
## Tags
Lebesgue decomposition theorem
-/
noncomputable section
open scoped Classical MeasureTheory NNReal ENNReal
open Set
variable {α β : Type*} {m : MeasurableSpace α} {μ ν : MeasureTheory.Measure α}
namespace MeasureTheory
namespace SignedMeasure
open Measure
/-- A signed measure `s` is said to `HaveLebesgueDecomposition` with respect to a measure `μ`
if the positive part and the negative part of `s` both `HaveLebesgueDecomposition` with
respect to `μ`. -/
class HaveLebesgueDecomposition (s : SignedMeasure α) (μ : Measure α) : Prop where
posPart : s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ
negPart : s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ
#align measure_theory.signed_measure.have_lebesgue_decomposition MeasureTheory.SignedMeasure.HaveLebesgueDecomposition
#align measure_theory.signed_measure.have_lebesgue_decomposition.pos_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.posPart
#align measure_theory.signed_measure.have_lebesgue_decomposition.neg_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.negPart
attribute [instance] HaveLebesgueDecomposition.posPart
attribute [instance] HaveLebesgueDecomposition.negPart
theorem not_haveLebesgueDecomposition_iff (s : SignedMeasure α) (μ : Measure α) :
¬s.HaveLebesgueDecomposition μ ↔
¬s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ ∨
¬s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ :=
⟨fun h => not_or_of_imp fun hp hn => h ⟨hp, hn⟩, fun h hl => (not_and_or.2 h) ⟨hl.1, hl.2⟩⟩
#align measure_theory.signed_measure.not_have_lebesgue_decomposition_iff MeasureTheory.SignedMeasure.not_haveLebesgueDecomposition_iff
-- `infer_instance` directly does not work
-- see Note [lower instance priority]
instance (priority := 100) haveLebesgueDecomposition_of_sigmaFinite (s : SignedMeasure α)
(μ : Measure α) [SigmaFinite μ] : s.HaveLebesgueDecomposition μ where
posPart := inferInstance
negPart := inferInstance
#align measure_theory.signed_measure.have_lebesgue_decomposition_of_sigma_finite MeasureTheory.SignedMeasure.haveLebesgueDecomposition_of_sigmaFinite
instance haveLebesgueDecomposition_neg (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] : (-s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_neg MeasureTheory.SignedMeasure.haveLebesgueDecomposition_neg
instance haveLebesgueDecomposition_smul (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ≥0) : (r • s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul
instance haveLebesgueDecomposition_smul_real (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ) : (r • s).HaveLebesgueDecomposition μ := by
by_cases hr : 0 ≤ r
· lift r to ℝ≥0 using hr
exact s.haveLebesgueDecomposition_smul μ _
· rw [not_le] at hr
refine'
{ posPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_posPart_neg _ _ hr]
infer_instance
negPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_negPart_neg _ _ hr]
infer_instance }
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul_real MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul_real
/-- Given a signed measure `s` and a measure `μ`, `s.singularPart μ` is the signed measure
such that `s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s` and
`s.singularPart μ` is mutually singular with respect to `μ`. -/
def singularPart (s : SignedMeasure α) (μ : Measure α) : SignedMeasure α :=
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure -
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure
#align measure_theory.signed_measure.singular_part MeasureTheory.SignedMeasure.singularPart
section
theorem singularPart_mutuallySingular (s : SignedMeasure α) (μ : Measure α) :
s.toJordanDecomposition.posPart.singularPart μ ⟂ₘ
s.toJordanDecomposition.negPart.singularPart μ := by
by_cases hl : s.HaveLebesgueDecomposition μ
· obtain ⟨i, hi, hpos, hneg⟩ := s.toJordanDecomposition.mutuallySingular
rw [s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ] at hpos
rw [s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ] at hneg
rw [add_apply, add_eq_zero_iff] at hpos hneg
exact ⟨i, hi, hpos.1, hneg.1⟩
· rw [not_haveLebesgueDecomposition_iff] at hl
cases' hl with hp hn
· rw [Measure.singularPart, dif_neg hp]
exact MutuallySingular.zero_left
· rw [Measure.singularPart, Measure.singularPart, dif_neg hn]
exact MutuallySingular.zero_right
#align measure_theory.signed_measure.singular_part_mutually_singular MeasureTheory.SignedMeasure.singularPart_mutuallySingular
theorem singularPart_totalVariation (s : SignedMeasure α) (μ : Measure α) :
(s.singularPart μ).totalVariation =
s.toJordanDecomposition.posPart.singularPart μ +
s.toJordanDecomposition.negPart.singularPart μ := by
have :
(s.singularPart μ).toJordanDecomposition =
⟨s.toJordanDecomposition.posPart.singularPart μ,
s.toJordanDecomposition.negPart.singularPart μ, singularPart_mutuallySingular s μ⟩ := by
refine' JordanDecomposition.toSignedMeasure_injective _
rw [toSignedMeasure_toJordanDecomposition, singularPart, JordanDecomposition.toSignedMeasure]
· rw [totalVariation, this]
#align measure_theory.signed_measure.singular_part_total_variation MeasureTheory.SignedMeasure.singularPart_totalVariation
nonrec theorem mutuallySingular_singularPart (s : SignedMeasure α) (μ : Measure α) :
singularPart s μ ⟂ᵥ μ.toENNRealVectorMeasure := by
rw [mutuallySingular_ennreal_iff, singularPart_totalVariation,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure]
exact (mutuallySingular_singularPart _ _).add_left (mutuallySingular_singularPart _ _)
#align measure_theory.signed_measure.mutually_singular_singular_part MeasureTheory.SignedMeasure.mutuallySingular_singularPart
end
/-- The Radon-Nikodym derivative between a signed measure and a positive measure.
`rnDeriv s μ` satisfies `μ.withDensityᵥ (s.rnDeriv μ) = s`
if and only if `s` is absolutely continuous with respect to `μ` and this fact is known as
`MeasureTheory.SignedMeasure.absolutelyContinuous_iff_withDensity_rnDeriv_eq`
and can be found in `MeasureTheory.Decomposition.RadonNikodym`. -/
def rnDeriv (s : SignedMeasure α) (μ : Measure α) : α → ℝ := fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal
#align measure_theory.signed_measure.rn_deriv MeasureTheory.SignedMeasure.rnDeriv
-- Porting note: The generated equation theorem is the form of `rnDeriv s μ x`.
theorem rnDeriv_def (s : SignedMeasure α) (μ : Measure α) : rnDeriv s μ = fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal :=
rfl
attribute [eqns rnDeriv_def] rnDeriv
variable {s t : SignedMeasure α}
@[measurability]
theorem measurable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Measurable (rnDeriv s μ) := by
rw [rnDeriv]
measurability
#align measure_theory.signed_measure.measurable_rn_deriv MeasureTheory.SignedMeasure.measurable_rnDeriv
theorem integrable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Integrable (rnDeriv s μ) μ := by
refine' Integrable.sub _ _ <;>
· constructor
· apply Measurable.aestronglyMeasurable; measurability
exact hasFiniteIntegral_toReal_of_lintegral_ne_top (lintegral_rnDeriv_lt_top _ μ).ne
#align measure_theory.signed_measure.integrable_rn_deriv MeasureTheory.SignedMeasure.integrable_rnDeriv
variable (s μ)
/-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
first
| exact (lintegral_rnDeriv_lt_top _ _).ne
| measurability
#align measure_theory.signed_measure.singular_part_add_with_density_rn_deriv_eq MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq
variable {s μ}
theorem jordanDecomposition_add_withDensity_mutuallySingular {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) :
(t.toJordanDecomposition.posPart + μ.withDensity fun x : α => ENNReal.ofReal (f x)) ⟂ₘ
t.toJordanDecomposition.negPart + μ.withDensity fun x : α => ENNReal.ofReal (-f x) := by
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
exact
((JordanDecomposition.mutuallySingular _).add_right
(htμ.1.mono_ac (refl _) (withDensity_absolutelyContinuous _ _))).add_left
((htμ.2.symm.mono_ac (withDensity_absolutelyContinuous _ _) (refl _)).add_right
(withDensity_ofReal_mutuallySingular hf))
#align measure_theory.signed_measure.jordan_decomposition_add_with_density_mutually_singular MeasureTheory.SignedMeasure.jordanDecomposition_add_withDensity_mutuallySingular
theorem toJordanDecomposition_eq_of_eq_add_withDensity {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.toJordanDecomposition =
@JordanDecomposition.mk α _
(t.toJordanDecomposition.posPart + μ.withDensity fun x => ENNReal.ofReal (f x))
(t.toJordanDecomposition.negPart + μ.withDensity fun x => ENNReal.ofReal (-f x))
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.2; infer_instance)
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2; infer_instance)
(jordanDecomposition_add_withDensity_mutuallySingular hf htμ) := by
haveI := isFiniteMeasure_withDensity_ofReal hfi.2
haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2
refine' toJordanDecomposition_eq _
simp_rw [JordanDecomposition.toSignedMeasure, hadd]
ext i hi
rw [VectorMeasure.sub_apply, toSignedMeasure_apply_measurable hi,
toSignedMeasure_apply_measurable hi, add_apply, add_apply, ENNReal.toReal_add,
ENNReal.toReal_add, add_sub_add_comm, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi, ← VectorMeasure.sub_apply,
← JordanDecomposition.toSignedMeasure, toSignedMeasure_toJordanDecomposition,
VectorMeasure.add_apply, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi,
withDensityᵥ_eq_withDensity_pos_part_sub_withDensity_neg_part hfi,
VectorMeasure.sub_apply] <;>
exact (measure_lt_top _ _).ne
#align measure_theory.signed_measure.to_jordan_decomposition_eq_of_eq_add_with_density MeasureTheory.SignedMeasure.toJordanDecomposition_eq_of_eq_add_withDensity
private theorem haveLebesgueDecomposition_mk' (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff] at htμ
change _ ⟂ₘ VectorMeasure.equivMeasure.toFun (VectorMeasure.equivMeasure.invFun μ) at htμ
rw [VectorMeasure.equivMeasure.right_inv, totalVariation_mutuallySingular_iff] at htμ
refine'
{ posPart := by
use ⟨t.toJordanDecomposition.posPart, fun x => ENNReal.ofReal (f x)⟩
refine' ⟨hf.ennreal_ofReal, htμ.1, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
negPart := by
use ⟨t.toJordanDecomposition.negPart, fun x => ENNReal.ofReal (-f x)⟩
refine' ⟨hf.neg.ennreal_ofReal, htμ.2, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd] }
theorem haveLebesgueDecomposition_mk (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
by_cases hfi : Integrable f μ
· exact haveLebesgueDecomposition_mk' μ hf hfi htμ hadd
· rw [withDensityᵥ, dif_neg hfi, add_zero] at hadd
refine' haveLebesgueDecomposition_mk' μ measurable_zero (integrable_zero _ _ μ) htμ _
rwa [withDensityᵥ_zero, add_zero]
#align measure_theory.signed_measure.have_lebesgue_decomposition_mk MeasureTheory.SignedMeasure.haveLebesgueDecomposition_mk
private theorem eq_singularPart' (t : SignedMeasure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
t = s.singularPart μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
rw [singularPart, ← t.toSignedMeasure_toJordanDecomposition,
JordanDecomposition.toSignedMeasure]
congr
· have hfpos : Measurable fun x => ENNReal.ofReal (f x) := by measurability
refine' eq_singularPart hfpos htμ.1 _
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
· | have hfneg : Measurable fun x => ENNReal.ofReal (-f x) := by measurability | private theorem eq_singularPart' (t : SignedMeasure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
t = s.singularPart μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
rw [singularPart, ← t.toSignedMeasure_toJordanDecomposition,
JordanDecomposition.toSignedMeasure]
congr
· have hfpos : Measurable fun x => ENNReal.ofReal (f x) := by measurability
refine' eq_singularPart hfpos htμ.1 _
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
· | Mathlib.MeasureTheory.Decomposition.SignedLebesgue.301_0.HPGboz0rhL6sBes | private theorem eq_singularPart' (t : SignedMeasure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
t = s.singularPart μ | Mathlib_MeasureTheory_Decomposition_SignedLebesgue |
α : Type u_1
β : Type u_2
m : MeasurableSpace α
μ ν : Measure α
s t✝ t : SignedMeasure α
f : α → ℝ
hf : Measurable f
hfi : Integrable f
htμ : (toJordanDecomposition t).posPart ⟂ₘ μ ∧ (toJordanDecomposition t).negPart ⟂ₘ μ
hadd : s = t + withDensityᵥ μ f
htμ' : t ⟂ᵥ toENNRealVectorMeasure μ
⊢ Measurable fun x => ENNReal.ofReal (-f x) | /-
Copyright (c) 2021 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.MeasureTheory.Decomposition.Lebesgue
import Mathlib.MeasureTheory.Measure.Complex
/-!
# Lebesgue decomposition
This file proves the Lebesgue decomposition theorem for signed measures. The Lebesgue decomposition
theorem states that, given two σ-finite measures `μ` and `ν`, there exists a σ-finite measure `ξ`
and a measurable function `f` such that `μ = ξ + fν` and `ξ` is mutually singular with respect
to `ν`.
## Main definitions
* `MeasureTheory.SignedMeasure.HaveLebesgueDecomposition` : A signed measure `s` and a
measure `μ` is said to `HaveLebesgueDecomposition` if both the positive part and negative
part of `s` `HaveLebesgueDecomposition` with respect to `μ`.
* `MeasureTheory.SignedMeasure.singularPart` : The singular part between a signed measure `s`
and a measure `μ` is simply the singular part of the positive part of `s` with respect to `μ`
minus the singular part of the negative part of `s` with respect to `μ`.
* `MeasureTheory.SignedMeasure.rnDeriv` : The Radon-Nikodym derivative of a signed
measure `s` with respect to a measure `μ` is the Radon-Nikodym derivative of the positive part of
`s` with respect to `μ` minus the Radon-Nikodym derivative of the negative part of `s` with
respect to `μ`.
## Main results
* `MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq` :
the Lebesgue decomposition theorem between a signed measure and a σ-finite positive measure.
## Tags
Lebesgue decomposition theorem
-/
noncomputable section
open scoped Classical MeasureTheory NNReal ENNReal
open Set
variable {α β : Type*} {m : MeasurableSpace α} {μ ν : MeasureTheory.Measure α}
namespace MeasureTheory
namespace SignedMeasure
open Measure
/-- A signed measure `s` is said to `HaveLebesgueDecomposition` with respect to a measure `μ`
if the positive part and the negative part of `s` both `HaveLebesgueDecomposition` with
respect to `μ`. -/
class HaveLebesgueDecomposition (s : SignedMeasure α) (μ : Measure α) : Prop where
posPart : s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ
negPart : s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ
#align measure_theory.signed_measure.have_lebesgue_decomposition MeasureTheory.SignedMeasure.HaveLebesgueDecomposition
#align measure_theory.signed_measure.have_lebesgue_decomposition.pos_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.posPart
#align measure_theory.signed_measure.have_lebesgue_decomposition.neg_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.negPart
attribute [instance] HaveLebesgueDecomposition.posPart
attribute [instance] HaveLebesgueDecomposition.negPart
theorem not_haveLebesgueDecomposition_iff (s : SignedMeasure α) (μ : Measure α) :
¬s.HaveLebesgueDecomposition μ ↔
¬s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ ∨
¬s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ :=
⟨fun h => not_or_of_imp fun hp hn => h ⟨hp, hn⟩, fun h hl => (not_and_or.2 h) ⟨hl.1, hl.2⟩⟩
#align measure_theory.signed_measure.not_have_lebesgue_decomposition_iff MeasureTheory.SignedMeasure.not_haveLebesgueDecomposition_iff
-- `infer_instance` directly does not work
-- see Note [lower instance priority]
instance (priority := 100) haveLebesgueDecomposition_of_sigmaFinite (s : SignedMeasure α)
(μ : Measure α) [SigmaFinite μ] : s.HaveLebesgueDecomposition μ where
posPart := inferInstance
negPart := inferInstance
#align measure_theory.signed_measure.have_lebesgue_decomposition_of_sigma_finite MeasureTheory.SignedMeasure.haveLebesgueDecomposition_of_sigmaFinite
instance haveLebesgueDecomposition_neg (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] : (-s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_neg MeasureTheory.SignedMeasure.haveLebesgueDecomposition_neg
instance haveLebesgueDecomposition_smul (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ≥0) : (r • s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul
instance haveLebesgueDecomposition_smul_real (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ) : (r • s).HaveLebesgueDecomposition μ := by
by_cases hr : 0 ≤ r
· lift r to ℝ≥0 using hr
exact s.haveLebesgueDecomposition_smul μ _
· rw [not_le] at hr
refine'
{ posPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_posPart_neg _ _ hr]
infer_instance
negPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_negPart_neg _ _ hr]
infer_instance }
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul_real MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul_real
/-- Given a signed measure `s` and a measure `μ`, `s.singularPart μ` is the signed measure
such that `s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s` and
`s.singularPart μ` is mutually singular with respect to `μ`. -/
def singularPart (s : SignedMeasure α) (μ : Measure α) : SignedMeasure α :=
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure -
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure
#align measure_theory.signed_measure.singular_part MeasureTheory.SignedMeasure.singularPart
section
theorem singularPart_mutuallySingular (s : SignedMeasure α) (μ : Measure α) :
s.toJordanDecomposition.posPart.singularPart μ ⟂ₘ
s.toJordanDecomposition.negPart.singularPart μ := by
by_cases hl : s.HaveLebesgueDecomposition μ
· obtain ⟨i, hi, hpos, hneg⟩ := s.toJordanDecomposition.mutuallySingular
rw [s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ] at hpos
rw [s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ] at hneg
rw [add_apply, add_eq_zero_iff] at hpos hneg
exact ⟨i, hi, hpos.1, hneg.1⟩
· rw [not_haveLebesgueDecomposition_iff] at hl
cases' hl with hp hn
· rw [Measure.singularPart, dif_neg hp]
exact MutuallySingular.zero_left
· rw [Measure.singularPart, Measure.singularPart, dif_neg hn]
exact MutuallySingular.zero_right
#align measure_theory.signed_measure.singular_part_mutually_singular MeasureTheory.SignedMeasure.singularPart_mutuallySingular
theorem singularPart_totalVariation (s : SignedMeasure α) (μ : Measure α) :
(s.singularPart μ).totalVariation =
s.toJordanDecomposition.posPart.singularPart μ +
s.toJordanDecomposition.negPart.singularPart μ := by
have :
(s.singularPart μ).toJordanDecomposition =
⟨s.toJordanDecomposition.posPart.singularPart μ,
s.toJordanDecomposition.negPart.singularPart μ, singularPart_mutuallySingular s μ⟩ := by
refine' JordanDecomposition.toSignedMeasure_injective _
rw [toSignedMeasure_toJordanDecomposition, singularPart, JordanDecomposition.toSignedMeasure]
· rw [totalVariation, this]
#align measure_theory.signed_measure.singular_part_total_variation MeasureTheory.SignedMeasure.singularPart_totalVariation
nonrec theorem mutuallySingular_singularPart (s : SignedMeasure α) (μ : Measure α) :
singularPart s μ ⟂ᵥ μ.toENNRealVectorMeasure := by
rw [mutuallySingular_ennreal_iff, singularPart_totalVariation,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure]
exact (mutuallySingular_singularPart _ _).add_left (mutuallySingular_singularPart _ _)
#align measure_theory.signed_measure.mutually_singular_singular_part MeasureTheory.SignedMeasure.mutuallySingular_singularPart
end
/-- The Radon-Nikodym derivative between a signed measure and a positive measure.
`rnDeriv s μ` satisfies `μ.withDensityᵥ (s.rnDeriv μ) = s`
if and only if `s` is absolutely continuous with respect to `μ` and this fact is known as
`MeasureTheory.SignedMeasure.absolutelyContinuous_iff_withDensity_rnDeriv_eq`
and can be found in `MeasureTheory.Decomposition.RadonNikodym`. -/
def rnDeriv (s : SignedMeasure α) (μ : Measure α) : α → ℝ := fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal
#align measure_theory.signed_measure.rn_deriv MeasureTheory.SignedMeasure.rnDeriv
-- Porting note: The generated equation theorem is the form of `rnDeriv s μ x`.
theorem rnDeriv_def (s : SignedMeasure α) (μ : Measure α) : rnDeriv s μ = fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal :=
rfl
attribute [eqns rnDeriv_def] rnDeriv
variable {s t : SignedMeasure α}
@[measurability]
theorem measurable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Measurable (rnDeriv s μ) := by
rw [rnDeriv]
measurability
#align measure_theory.signed_measure.measurable_rn_deriv MeasureTheory.SignedMeasure.measurable_rnDeriv
theorem integrable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Integrable (rnDeriv s μ) μ := by
refine' Integrable.sub _ _ <;>
· constructor
· apply Measurable.aestronglyMeasurable; measurability
exact hasFiniteIntegral_toReal_of_lintegral_ne_top (lintegral_rnDeriv_lt_top _ μ).ne
#align measure_theory.signed_measure.integrable_rn_deriv MeasureTheory.SignedMeasure.integrable_rnDeriv
variable (s μ)
/-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
first
| exact (lintegral_rnDeriv_lt_top _ _).ne
| measurability
#align measure_theory.signed_measure.singular_part_add_with_density_rn_deriv_eq MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq
variable {s μ}
theorem jordanDecomposition_add_withDensity_mutuallySingular {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) :
(t.toJordanDecomposition.posPart + μ.withDensity fun x : α => ENNReal.ofReal (f x)) ⟂ₘ
t.toJordanDecomposition.negPart + μ.withDensity fun x : α => ENNReal.ofReal (-f x) := by
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
exact
((JordanDecomposition.mutuallySingular _).add_right
(htμ.1.mono_ac (refl _) (withDensity_absolutelyContinuous _ _))).add_left
((htμ.2.symm.mono_ac (withDensity_absolutelyContinuous _ _) (refl _)).add_right
(withDensity_ofReal_mutuallySingular hf))
#align measure_theory.signed_measure.jordan_decomposition_add_with_density_mutually_singular MeasureTheory.SignedMeasure.jordanDecomposition_add_withDensity_mutuallySingular
theorem toJordanDecomposition_eq_of_eq_add_withDensity {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.toJordanDecomposition =
@JordanDecomposition.mk α _
(t.toJordanDecomposition.posPart + μ.withDensity fun x => ENNReal.ofReal (f x))
(t.toJordanDecomposition.negPart + μ.withDensity fun x => ENNReal.ofReal (-f x))
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.2; infer_instance)
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2; infer_instance)
(jordanDecomposition_add_withDensity_mutuallySingular hf htμ) := by
haveI := isFiniteMeasure_withDensity_ofReal hfi.2
haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2
refine' toJordanDecomposition_eq _
simp_rw [JordanDecomposition.toSignedMeasure, hadd]
ext i hi
rw [VectorMeasure.sub_apply, toSignedMeasure_apply_measurable hi,
toSignedMeasure_apply_measurable hi, add_apply, add_apply, ENNReal.toReal_add,
ENNReal.toReal_add, add_sub_add_comm, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi, ← VectorMeasure.sub_apply,
← JordanDecomposition.toSignedMeasure, toSignedMeasure_toJordanDecomposition,
VectorMeasure.add_apply, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi,
withDensityᵥ_eq_withDensity_pos_part_sub_withDensity_neg_part hfi,
VectorMeasure.sub_apply] <;>
exact (measure_lt_top _ _).ne
#align measure_theory.signed_measure.to_jordan_decomposition_eq_of_eq_add_with_density MeasureTheory.SignedMeasure.toJordanDecomposition_eq_of_eq_add_withDensity
private theorem haveLebesgueDecomposition_mk' (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff] at htμ
change _ ⟂ₘ VectorMeasure.equivMeasure.toFun (VectorMeasure.equivMeasure.invFun μ) at htμ
rw [VectorMeasure.equivMeasure.right_inv, totalVariation_mutuallySingular_iff] at htμ
refine'
{ posPart := by
use ⟨t.toJordanDecomposition.posPart, fun x => ENNReal.ofReal (f x)⟩
refine' ⟨hf.ennreal_ofReal, htμ.1, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
negPart := by
use ⟨t.toJordanDecomposition.negPart, fun x => ENNReal.ofReal (-f x)⟩
refine' ⟨hf.neg.ennreal_ofReal, htμ.2, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd] }
theorem haveLebesgueDecomposition_mk (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
by_cases hfi : Integrable f μ
· exact haveLebesgueDecomposition_mk' μ hf hfi htμ hadd
· rw [withDensityᵥ, dif_neg hfi, add_zero] at hadd
refine' haveLebesgueDecomposition_mk' μ measurable_zero (integrable_zero _ _ μ) htμ _
rwa [withDensityᵥ_zero, add_zero]
#align measure_theory.signed_measure.have_lebesgue_decomposition_mk MeasureTheory.SignedMeasure.haveLebesgueDecomposition_mk
private theorem eq_singularPart' (t : SignedMeasure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
t = s.singularPart μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
rw [singularPart, ← t.toSignedMeasure_toJordanDecomposition,
JordanDecomposition.toSignedMeasure]
congr
· have hfpos : Measurable fun x => ENNReal.ofReal (f x) := by measurability
refine' eq_singularPart hfpos htμ.1 _
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
· have hfneg : Measurable fun x => ENNReal.ofReal (-f x) := by | measurability | private theorem eq_singularPart' (t : SignedMeasure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
t = s.singularPart μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
rw [singularPart, ← t.toSignedMeasure_toJordanDecomposition,
JordanDecomposition.toSignedMeasure]
congr
· have hfpos : Measurable fun x => ENNReal.ofReal (f x) := by measurability
refine' eq_singularPart hfpos htμ.1 _
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
· have hfneg : Measurable fun x => ENNReal.ofReal (-f x) := by | Mathlib.MeasureTheory.Decomposition.SignedLebesgue.301_0.HPGboz0rhL6sBes | private theorem eq_singularPart' (t : SignedMeasure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
t = s.singularPart μ | Mathlib_MeasureTheory_Decomposition_SignedLebesgue |
case e_a.e_μ
α : Type u_1
β : Type u_2
m : MeasurableSpace α
μ ν : Measure α
s t✝ t : SignedMeasure α
f : α → ℝ
hf : Measurable f
hfi : Integrable f
htμ : (toJordanDecomposition t).posPart ⟂ₘ μ ∧ (toJordanDecomposition t).negPart ⟂ₘ μ
hadd : s = t + withDensityᵥ μ f
htμ' : t ⟂ᵥ toENNRealVectorMeasure μ
hfneg : Measurable fun x => ENNReal.ofReal (-f x)
⊢ (toJordanDecomposition t).negPart = Measure.singularPart (toJordanDecomposition s).negPart μ | /-
Copyright (c) 2021 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.MeasureTheory.Decomposition.Lebesgue
import Mathlib.MeasureTheory.Measure.Complex
/-!
# Lebesgue decomposition
This file proves the Lebesgue decomposition theorem for signed measures. The Lebesgue decomposition
theorem states that, given two σ-finite measures `μ` and `ν`, there exists a σ-finite measure `ξ`
and a measurable function `f` such that `μ = ξ + fν` and `ξ` is mutually singular with respect
to `ν`.
## Main definitions
* `MeasureTheory.SignedMeasure.HaveLebesgueDecomposition` : A signed measure `s` and a
measure `μ` is said to `HaveLebesgueDecomposition` if both the positive part and negative
part of `s` `HaveLebesgueDecomposition` with respect to `μ`.
* `MeasureTheory.SignedMeasure.singularPart` : The singular part between a signed measure `s`
and a measure `μ` is simply the singular part of the positive part of `s` with respect to `μ`
minus the singular part of the negative part of `s` with respect to `μ`.
* `MeasureTheory.SignedMeasure.rnDeriv` : The Radon-Nikodym derivative of a signed
measure `s` with respect to a measure `μ` is the Radon-Nikodym derivative of the positive part of
`s` with respect to `μ` minus the Radon-Nikodym derivative of the negative part of `s` with
respect to `μ`.
## Main results
* `MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq` :
the Lebesgue decomposition theorem between a signed measure and a σ-finite positive measure.
## Tags
Lebesgue decomposition theorem
-/
noncomputable section
open scoped Classical MeasureTheory NNReal ENNReal
open Set
variable {α β : Type*} {m : MeasurableSpace α} {μ ν : MeasureTheory.Measure α}
namespace MeasureTheory
namespace SignedMeasure
open Measure
/-- A signed measure `s` is said to `HaveLebesgueDecomposition` with respect to a measure `μ`
if the positive part and the negative part of `s` both `HaveLebesgueDecomposition` with
respect to `μ`. -/
class HaveLebesgueDecomposition (s : SignedMeasure α) (μ : Measure α) : Prop where
posPart : s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ
negPart : s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ
#align measure_theory.signed_measure.have_lebesgue_decomposition MeasureTheory.SignedMeasure.HaveLebesgueDecomposition
#align measure_theory.signed_measure.have_lebesgue_decomposition.pos_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.posPart
#align measure_theory.signed_measure.have_lebesgue_decomposition.neg_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.negPart
attribute [instance] HaveLebesgueDecomposition.posPart
attribute [instance] HaveLebesgueDecomposition.negPart
theorem not_haveLebesgueDecomposition_iff (s : SignedMeasure α) (μ : Measure α) :
¬s.HaveLebesgueDecomposition μ ↔
¬s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ ∨
¬s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ :=
⟨fun h => not_or_of_imp fun hp hn => h ⟨hp, hn⟩, fun h hl => (not_and_or.2 h) ⟨hl.1, hl.2⟩⟩
#align measure_theory.signed_measure.not_have_lebesgue_decomposition_iff MeasureTheory.SignedMeasure.not_haveLebesgueDecomposition_iff
-- `infer_instance` directly does not work
-- see Note [lower instance priority]
instance (priority := 100) haveLebesgueDecomposition_of_sigmaFinite (s : SignedMeasure α)
(μ : Measure α) [SigmaFinite μ] : s.HaveLebesgueDecomposition μ where
posPart := inferInstance
negPart := inferInstance
#align measure_theory.signed_measure.have_lebesgue_decomposition_of_sigma_finite MeasureTheory.SignedMeasure.haveLebesgueDecomposition_of_sigmaFinite
instance haveLebesgueDecomposition_neg (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] : (-s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_neg MeasureTheory.SignedMeasure.haveLebesgueDecomposition_neg
instance haveLebesgueDecomposition_smul (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ≥0) : (r • s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul
instance haveLebesgueDecomposition_smul_real (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ) : (r • s).HaveLebesgueDecomposition μ := by
by_cases hr : 0 ≤ r
· lift r to ℝ≥0 using hr
exact s.haveLebesgueDecomposition_smul μ _
· rw [not_le] at hr
refine'
{ posPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_posPart_neg _ _ hr]
infer_instance
negPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_negPart_neg _ _ hr]
infer_instance }
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul_real MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul_real
/-- Given a signed measure `s` and a measure `μ`, `s.singularPart μ` is the signed measure
such that `s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s` and
`s.singularPart μ` is mutually singular with respect to `μ`. -/
def singularPart (s : SignedMeasure α) (μ : Measure α) : SignedMeasure α :=
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure -
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure
#align measure_theory.signed_measure.singular_part MeasureTheory.SignedMeasure.singularPart
section
theorem singularPart_mutuallySingular (s : SignedMeasure α) (μ : Measure α) :
s.toJordanDecomposition.posPart.singularPart μ ⟂ₘ
s.toJordanDecomposition.negPart.singularPart μ := by
by_cases hl : s.HaveLebesgueDecomposition μ
· obtain ⟨i, hi, hpos, hneg⟩ := s.toJordanDecomposition.mutuallySingular
rw [s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ] at hpos
rw [s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ] at hneg
rw [add_apply, add_eq_zero_iff] at hpos hneg
exact ⟨i, hi, hpos.1, hneg.1⟩
· rw [not_haveLebesgueDecomposition_iff] at hl
cases' hl with hp hn
· rw [Measure.singularPart, dif_neg hp]
exact MutuallySingular.zero_left
· rw [Measure.singularPart, Measure.singularPart, dif_neg hn]
exact MutuallySingular.zero_right
#align measure_theory.signed_measure.singular_part_mutually_singular MeasureTheory.SignedMeasure.singularPart_mutuallySingular
theorem singularPart_totalVariation (s : SignedMeasure α) (μ : Measure α) :
(s.singularPart μ).totalVariation =
s.toJordanDecomposition.posPart.singularPart μ +
s.toJordanDecomposition.negPart.singularPart μ := by
have :
(s.singularPart μ).toJordanDecomposition =
⟨s.toJordanDecomposition.posPart.singularPart μ,
s.toJordanDecomposition.negPart.singularPart μ, singularPart_mutuallySingular s μ⟩ := by
refine' JordanDecomposition.toSignedMeasure_injective _
rw [toSignedMeasure_toJordanDecomposition, singularPart, JordanDecomposition.toSignedMeasure]
· rw [totalVariation, this]
#align measure_theory.signed_measure.singular_part_total_variation MeasureTheory.SignedMeasure.singularPart_totalVariation
nonrec theorem mutuallySingular_singularPart (s : SignedMeasure α) (μ : Measure α) :
singularPart s μ ⟂ᵥ μ.toENNRealVectorMeasure := by
rw [mutuallySingular_ennreal_iff, singularPart_totalVariation,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure]
exact (mutuallySingular_singularPart _ _).add_left (mutuallySingular_singularPart _ _)
#align measure_theory.signed_measure.mutually_singular_singular_part MeasureTheory.SignedMeasure.mutuallySingular_singularPart
end
/-- The Radon-Nikodym derivative between a signed measure and a positive measure.
`rnDeriv s μ` satisfies `μ.withDensityᵥ (s.rnDeriv μ) = s`
if and only if `s` is absolutely continuous with respect to `μ` and this fact is known as
`MeasureTheory.SignedMeasure.absolutelyContinuous_iff_withDensity_rnDeriv_eq`
and can be found in `MeasureTheory.Decomposition.RadonNikodym`. -/
def rnDeriv (s : SignedMeasure α) (μ : Measure α) : α → ℝ := fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal
#align measure_theory.signed_measure.rn_deriv MeasureTheory.SignedMeasure.rnDeriv
-- Porting note: The generated equation theorem is the form of `rnDeriv s μ x`.
theorem rnDeriv_def (s : SignedMeasure α) (μ : Measure α) : rnDeriv s μ = fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal :=
rfl
attribute [eqns rnDeriv_def] rnDeriv
variable {s t : SignedMeasure α}
@[measurability]
theorem measurable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Measurable (rnDeriv s μ) := by
rw [rnDeriv]
measurability
#align measure_theory.signed_measure.measurable_rn_deriv MeasureTheory.SignedMeasure.measurable_rnDeriv
theorem integrable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Integrable (rnDeriv s μ) μ := by
refine' Integrable.sub _ _ <;>
· constructor
· apply Measurable.aestronglyMeasurable; measurability
exact hasFiniteIntegral_toReal_of_lintegral_ne_top (lintegral_rnDeriv_lt_top _ μ).ne
#align measure_theory.signed_measure.integrable_rn_deriv MeasureTheory.SignedMeasure.integrable_rnDeriv
variable (s μ)
/-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
first
| exact (lintegral_rnDeriv_lt_top _ _).ne
| measurability
#align measure_theory.signed_measure.singular_part_add_with_density_rn_deriv_eq MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq
variable {s μ}
theorem jordanDecomposition_add_withDensity_mutuallySingular {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) :
(t.toJordanDecomposition.posPart + μ.withDensity fun x : α => ENNReal.ofReal (f x)) ⟂ₘ
t.toJordanDecomposition.negPart + μ.withDensity fun x : α => ENNReal.ofReal (-f x) := by
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
exact
((JordanDecomposition.mutuallySingular _).add_right
(htμ.1.mono_ac (refl _) (withDensity_absolutelyContinuous _ _))).add_left
((htμ.2.symm.mono_ac (withDensity_absolutelyContinuous _ _) (refl _)).add_right
(withDensity_ofReal_mutuallySingular hf))
#align measure_theory.signed_measure.jordan_decomposition_add_with_density_mutually_singular MeasureTheory.SignedMeasure.jordanDecomposition_add_withDensity_mutuallySingular
theorem toJordanDecomposition_eq_of_eq_add_withDensity {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.toJordanDecomposition =
@JordanDecomposition.mk α _
(t.toJordanDecomposition.posPart + μ.withDensity fun x => ENNReal.ofReal (f x))
(t.toJordanDecomposition.negPart + μ.withDensity fun x => ENNReal.ofReal (-f x))
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.2; infer_instance)
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2; infer_instance)
(jordanDecomposition_add_withDensity_mutuallySingular hf htμ) := by
haveI := isFiniteMeasure_withDensity_ofReal hfi.2
haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2
refine' toJordanDecomposition_eq _
simp_rw [JordanDecomposition.toSignedMeasure, hadd]
ext i hi
rw [VectorMeasure.sub_apply, toSignedMeasure_apply_measurable hi,
toSignedMeasure_apply_measurable hi, add_apply, add_apply, ENNReal.toReal_add,
ENNReal.toReal_add, add_sub_add_comm, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi, ← VectorMeasure.sub_apply,
← JordanDecomposition.toSignedMeasure, toSignedMeasure_toJordanDecomposition,
VectorMeasure.add_apply, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi,
withDensityᵥ_eq_withDensity_pos_part_sub_withDensity_neg_part hfi,
VectorMeasure.sub_apply] <;>
exact (measure_lt_top _ _).ne
#align measure_theory.signed_measure.to_jordan_decomposition_eq_of_eq_add_with_density MeasureTheory.SignedMeasure.toJordanDecomposition_eq_of_eq_add_withDensity
private theorem haveLebesgueDecomposition_mk' (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff] at htμ
change _ ⟂ₘ VectorMeasure.equivMeasure.toFun (VectorMeasure.equivMeasure.invFun μ) at htμ
rw [VectorMeasure.equivMeasure.right_inv, totalVariation_mutuallySingular_iff] at htμ
refine'
{ posPart := by
use ⟨t.toJordanDecomposition.posPart, fun x => ENNReal.ofReal (f x)⟩
refine' ⟨hf.ennreal_ofReal, htμ.1, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
negPart := by
use ⟨t.toJordanDecomposition.negPart, fun x => ENNReal.ofReal (-f x)⟩
refine' ⟨hf.neg.ennreal_ofReal, htμ.2, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd] }
theorem haveLebesgueDecomposition_mk (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
by_cases hfi : Integrable f μ
· exact haveLebesgueDecomposition_mk' μ hf hfi htμ hadd
· rw [withDensityᵥ, dif_neg hfi, add_zero] at hadd
refine' haveLebesgueDecomposition_mk' μ measurable_zero (integrable_zero _ _ μ) htμ _
rwa [withDensityᵥ_zero, add_zero]
#align measure_theory.signed_measure.have_lebesgue_decomposition_mk MeasureTheory.SignedMeasure.haveLebesgueDecomposition_mk
private theorem eq_singularPart' (t : SignedMeasure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
t = s.singularPart μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
rw [singularPart, ← t.toSignedMeasure_toJordanDecomposition,
JordanDecomposition.toSignedMeasure]
congr
· have hfpos : Measurable fun x => ENNReal.ofReal (f x) := by measurability
refine' eq_singularPart hfpos htμ.1 _
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
· have hfneg : Measurable fun x => ENNReal.ofReal (-f x) := by measurability
| refine' eq_singularPart hfneg htμ.2 _ | private theorem eq_singularPart' (t : SignedMeasure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
t = s.singularPart μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
rw [singularPart, ← t.toSignedMeasure_toJordanDecomposition,
JordanDecomposition.toSignedMeasure]
congr
· have hfpos : Measurable fun x => ENNReal.ofReal (f x) := by measurability
refine' eq_singularPart hfpos htμ.1 _
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
· have hfneg : Measurable fun x => ENNReal.ofReal (-f x) := by measurability
| Mathlib.MeasureTheory.Decomposition.SignedLebesgue.301_0.HPGboz0rhL6sBes | private theorem eq_singularPart' (t : SignedMeasure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
t = s.singularPart μ | Mathlib_MeasureTheory_Decomposition_SignedLebesgue |
case e_a.e_μ
α : Type u_1
β : Type u_2
m : MeasurableSpace α
μ ν : Measure α
s t✝ t : SignedMeasure α
f : α → ℝ
hf : Measurable f
hfi : Integrable f
htμ : (toJordanDecomposition t).posPart ⟂ₘ μ ∧ (toJordanDecomposition t).negPart ⟂ₘ μ
hadd : s = t + withDensityᵥ μ f
htμ' : t ⟂ᵥ toENNRealVectorMeasure μ
hfneg : Measurable fun x => ENNReal.ofReal (-f x)
⊢ (toJordanDecomposition s).negPart = (toJordanDecomposition t).negPart + withDensity μ fun x => ENNReal.ofReal (-f x) | /-
Copyright (c) 2021 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.MeasureTheory.Decomposition.Lebesgue
import Mathlib.MeasureTheory.Measure.Complex
/-!
# Lebesgue decomposition
This file proves the Lebesgue decomposition theorem for signed measures. The Lebesgue decomposition
theorem states that, given two σ-finite measures `μ` and `ν`, there exists a σ-finite measure `ξ`
and a measurable function `f` such that `μ = ξ + fν` and `ξ` is mutually singular with respect
to `ν`.
## Main definitions
* `MeasureTheory.SignedMeasure.HaveLebesgueDecomposition` : A signed measure `s` and a
measure `μ` is said to `HaveLebesgueDecomposition` if both the positive part and negative
part of `s` `HaveLebesgueDecomposition` with respect to `μ`.
* `MeasureTheory.SignedMeasure.singularPart` : The singular part between a signed measure `s`
and a measure `μ` is simply the singular part of the positive part of `s` with respect to `μ`
minus the singular part of the negative part of `s` with respect to `μ`.
* `MeasureTheory.SignedMeasure.rnDeriv` : The Radon-Nikodym derivative of a signed
measure `s` with respect to a measure `μ` is the Radon-Nikodym derivative of the positive part of
`s` with respect to `μ` minus the Radon-Nikodym derivative of the negative part of `s` with
respect to `μ`.
## Main results
* `MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq` :
the Lebesgue decomposition theorem between a signed measure and a σ-finite positive measure.
## Tags
Lebesgue decomposition theorem
-/
noncomputable section
open scoped Classical MeasureTheory NNReal ENNReal
open Set
variable {α β : Type*} {m : MeasurableSpace α} {μ ν : MeasureTheory.Measure α}
namespace MeasureTheory
namespace SignedMeasure
open Measure
/-- A signed measure `s` is said to `HaveLebesgueDecomposition` with respect to a measure `μ`
if the positive part and the negative part of `s` both `HaveLebesgueDecomposition` with
respect to `μ`. -/
class HaveLebesgueDecomposition (s : SignedMeasure α) (μ : Measure α) : Prop where
posPart : s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ
negPart : s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ
#align measure_theory.signed_measure.have_lebesgue_decomposition MeasureTheory.SignedMeasure.HaveLebesgueDecomposition
#align measure_theory.signed_measure.have_lebesgue_decomposition.pos_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.posPart
#align measure_theory.signed_measure.have_lebesgue_decomposition.neg_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.negPart
attribute [instance] HaveLebesgueDecomposition.posPart
attribute [instance] HaveLebesgueDecomposition.negPart
theorem not_haveLebesgueDecomposition_iff (s : SignedMeasure α) (μ : Measure α) :
¬s.HaveLebesgueDecomposition μ ↔
¬s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ ∨
¬s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ :=
⟨fun h => not_or_of_imp fun hp hn => h ⟨hp, hn⟩, fun h hl => (not_and_or.2 h) ⟨hl.1, hl.2⟩⟩
#align measure_theory.signed_measure.not_have_lebesgue_decomposition_iff MeasureTheory.SignedMeasure.not_haveLebesgueDecomposition_iff
-- `infer_instance` directly does not work
-- see Note [lower instance priority]
instance (priority := 100) haveLebesgueDecomposition_of_sigmaFinite (s : SignedMeasure α)
(μ : Measure α) [SigmaFinite μ] : s.HaveLebesgueDecomposition μ where
posPart := inferInstance
negPart := inferInstance
#align measure_theory.signed_measure.have_lebesgue_decomposition_of_sigma_finite MeasureTheory.SignedMeasure.haveLebesgueDecomposition_of_sigmaFinite
instance haveLebesgueDecomposition_neg (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] : (-s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_neg MeasureTheory.SignedMeasure.haveLebesgueDecomposition_neg
instance haveLebesgueDecomposition_smul (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ≥0) : (r • s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul
instance haveLebesgueDecomposition_smul_real (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ) : (r • s).HaveLebesgueDecomposition μ := by
by_cases hr : 0 ≤ r
· lift r to ℝ≥0 using hr
exact s.haveLebesgueDecomposition_smul μ _
· rw [not_le] at hr
refine'
{ posPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_posPart_neg _ _ hr]
infer_instance
negPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_negPart_neg _ _ hr]
infer_instance }
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul_real MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul_real
/-- Given a signed measure `s` and a measure `μ`, `s.singularPart μ` is the signed measure
such that `s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s` and
`s.singularPart μ` is mutually singular with respect to `μ`. -/
def singularPart (s : SignedMeasure α) (μ : Measure α) : SignedMeasure α :=
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure -
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure
#align measure_theory.signed_measure.singular_part MeasureTheory.SignedMeasure.singularPart
section
theorem singularPart_mutuallySingular (s : SignedMeasure α) (μ : Measure α) :
s.toJordanDecomposition.posPart.singularPart μ ⟂ₘ
s.toJordanDecomposition.negPart.singularPart μ := by
by_cases hl : s.HaveLebesgueDecomposition μ
· obtain ⟨i, hi, hpos, hneg⟩ := s.toJordanDecomposition.mutuallySingular
rw [s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ] at hpos
rw [s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ] at hneg
rw [add_apply, add_eq_zero_iff] at hpos hneg
exact ⟨i, hi, hpos.1, hneg.1⟩
· rw [not_haveLebesgueDecomposition_iff] at hl
cases' hl with hp hn
· rw [Measure.singularPart, dif_neg hp]
exact MutuallySingular.zero_left
· rw [Measure.singularPart, Measure.singularPart, dif_neg hn]
exact MutuallySingular.zero_right
#align measure_theory.signed_measure.singular_part_mutually_singular MeasureTheory.SignedMeasure.singularPart_mutuallySingular
theorem singularPart_totalVariation (s : SignedMeasure α) (μ : Measure α) :
(s.singularPart μ).totalVariation =
s.toJordanDecomposition.posPart.singularPart μ +
s.toJordanDecomposition.negPart.singularPart μ := by
have :
(s.singularPart μ).toJordanDecomposition =
⟨s.toJordanDecomposition.posPart.singularPart μ,
s.toJordanDecomposition.negPart.singularPart μ, singularPart_mutuallySingular s μ⟩ := by
refine' JordanDecomposition.toSignedMeasure_injective _
rw [toSignedMeasure_toJordanDecomposition, singularPart, JordanDecomposition.toSignedMeasure]
· rw [totalVariation, this]
#align measure_theory.signed_measure.singular_part_total_variation MeasureTheory.SignedMeasure.singularPart_totalVariation
nonrec theorem mutuallySingular_singularPart (s : SignedMeasure α) (μ : Measure α) :
singularPart s μ ⟂ᵥ μ.toENNRealVectorMeasure := by
rw [mutuallySingular_ennreal_iff, singularPart_totalVariation,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure]
exact (mutuallySingular_singularPart _ _).add_left (mutuallySingular_singularPart _ _)
#align measure_theory.signed_measure.mutually_singular_singular_part MeasureTheory.SignedMeasure.mutuallySingular_singularPart
end
/-- The Radon-Nikodym derivative between a signed measure and a positive measure.
`rnDeriv s μ` satisfies `μ.withDensityᵥ (s.rnDeriv μ) = s`
if and only if `s` is absolutely continuous with respect to `μ` and this fact is known as
`MeasureTheory.SignedMeasure.absolutelyContinuous_iff_withDensity_rnDeriv_eq`
and can be found in `MeasureTheory.Decomposition.RadonNikodym`. -/
def rnDeriv (s : SignedMeasure α) (μ : Measure α) : α → ℝ := fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal
#align measure_theory.signed_measure.rn_deriv MeasureTheory.SignedMeasure.rnDeriv
-- Porting note: The generated equation theorem is the form of `rnDeriv s μ x`.
theorem rnDeriv_def (s : SignedMeasure α) (μ : Measure α) : rnDeriv s μ = fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal :=
rfl
attribute [eqns rnDeriv_def] rnDeriv
variable {s t : SignedMeasure α}
@[measurability]
theorem measurable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Measurable (rnDeriv s μ) := by
rw [rnDeriv]
measurability
#align measure_theory.signed_measure.measurable_rn_deriv MeasureTheory.SignedMeasure.measurable_rnDeriv
theorem integrable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Integrable (rnDeriv s μ) μ := by
refine' Integrable.sub _ _ <;>
· constructor
· apply Measurable.aestronglyMeasurable; measurability
exact hasFiniteIntegral_toReal_of_lintegral_ne_top (lintegral_rnDeriv_lt_top _ μ).ne
#align measure_theory.signed_measure.integrable_rn_deriv MeasureTheory.SignedMeasure.integrable_rnDeriv
variable (s μ)
/-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
first
| exact (lintegral_rnDeriv_lt_top _ _).ne
| measurability
#align measure_theory.signed_measure.singular_part_add_with_density_rn_deriv_eq MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq
variable {s μ}
theorem jordanDecomposition_add_withDensity_mutuallySingular {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) :
(t.toJordanDecomposition.posPart + μ.withDensity fun x : α => ENNReal.ofReal (f x)) ⟂ₘ
t.toJordanDecomposition.negPart + μ.withDensity fun x : α => ENNReal.ofReal (-f x) := by
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
exact
((JordanDecomposition.mutuallySingular _).add_right
(htμ.1.mono_ac (refl _) (withDensity_absolutelyContinuous _ _))).add_left
((htμ.2.symm.mono_ac (withDensity_absolutelyContinuous _ _) (refl _)).add_right
(withDensity_ofReal_mutuallySingular hf))
#align measure_theory.signed_measure.jordan_decomposition_add_with_density_mutually_singular MeasureTheory.SignedMeasure.jordanDecomposition_add_withDensity_mutuallySingular
theorem toJordanDecomposition_eq_of_eq_add_withDensity {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.toJordanDecomposition =
@JordanDecomposition.mk α _
(t.toJordanDecomposition.posPart + μ.withDensity fun x => ENNReal.ofReal (f x))
(t.toJordanDecomposition.negPart + μ.withDensity fun x => ENNReal.ofReal (-f x))
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.2; infer_instance)
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2; infer_instance)
(jordanDecomposition_add_withDensity_mutuallySingular hf htμ) := by
haveI := isFiniteMeasure_withDensity_ofReal hfi.2
haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2
refine' toJordanDecomposition_eq _
simp_rw [JordanDecomposition.toSignedMeasure, hadd]
ext i hi
rw [VectorMeasure.sub_apply, toSignedMeasure_apply_measurable hi,
toSignedMeasure_apply_measurable hi, add_apply, add_apply, ENNReal.toReal_add,
ENNReal.toReal_add, add_sub_add_comm, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi, ← VectorMeasure.sub_apply,
← JordanDecomposition.toSignedMeasure, toSignedMeasure_toJordanDecomposition,
VectorMeasure.add_apply, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi,
withDensityᵥ_eq_withDensity_pos_part_sub_withDensity_neg_part hfi,
VectorMeasure.sub_apply] <;>
exact (measure_lt_top _ _).ne
#align measure_theory.signed_measure.to_jordan_decomposition_eq_of_eq_add_with_density MeasureTheory.SignedMeasure.toJordanDecomposition_eq_of_eq_add_withDensity
private theorem haveLebesgueDecomposition_mk' (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff] at htμ
change _ ⟂ₘ VectorMeasure.equivMeasure.toFun (VectorMeasure.equivMeasure.invFun μ) at htμ
rw [VectorMeasure.equivMeasure.right_inv, totalVariation_mutuallySingular_iff] at htμ
refine'
{ posPart := by
use ⟨t.toJordanDecomposition.posPart, fun x => ENNReal.ofReal (f x)⟩
refine' ⟨hf.ennreal_ofReal, htμ.1, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
negPart := by
use ⟨t.toJordanDecomposition.negPart, fun x => ENNReal.ofReal (-f x)⟩
refine' ⟨hf.neg.ennreal_ofReal, htμ.2, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd] }
theorem haveLebesgueDecomposition_mk (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
by_cases hfi : Integrable f μ
· exact haveLebesgueDecomposition_mk' μ hf hfi htμ hadd
· rw [withDensityᵥ, dif_neg hfi, add_zero] at hadd
refine' haveLebesgueDecomposition_mk' μ measurable_zero (integrable_zero _ _ μ) htμ _
rwa [withDensityᵥ_zero, add_zero]
#align measure_theory.signed_measure.have_lebesgue_decomposition_mk MeasureTheory.SignedMeasure.haveLebesgueDecomposition_mk
private theorem eq_singularPart' (t : SignedMeasure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
t = s.singularPart μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
rw [singularPart, ← t.toSignedMeasure_toJordanDecomposition,
JordanDecomposition.toSignedMeasure]
congr
· have hfpos : Measurable fun x => ENNReal.ofReal (f x) := by measurability
refine' eq_singularPart hfpos htμ.1 _
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
· have hfneg : Measurable fun x => ENNReal.ofReal (-f x) := by measurability
refine' eq_singularPart hfneg htμ.2 _
| rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd] | private theorem eq_singularPart' (t : SignedMeasure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
t = s.singularPart μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
rw [singularPart, ← t.toSignedMeasure_toJordanDecomposition,
JordanDecomposition.toSignedMeasure]
congr
· have hfpos : Measurable fun x => ENNReal.ofReal (f x) := by measurability
refine' eq_singularPart hfpos htμ.1 _
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
· have hfneg : Measurable fun x => ENNReal.ofReal (-f x) := by measurability
refine' eq_singularPart hfneg htμ.2 _
| Mathlib.MeasureTheory.Decomposition.SignedLebesgue.301_0.HPGboz0rhL6sBes | private theorem eq_singularPart' (t : SignedMeasure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
t = s.singularPart μ | Mathlib_MeasureTheory_Decomposition_SignedLebesgue |
α : Type u_1
β : Type u_2
m : MeasurableSpace α
μ ν : Measure α
s t✝ t : SignedMeasure α
f : α → ℝ
htμ : t ⟂ᵥ toENNRealVectorMeasure μ
hadd : s = t + withDensityᵥ μ f
⊢ t = singularPart s μ | /-
Copyright (c) 2021 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.MeasureTheory.Decomposition.Lebesgue
import Mathlib.MeasureTheory.Measure.Complex
/-!
# Lebesgue decomposition
This file proves the Lebesgue decomposition theorem for signed measures. The Lebesgue decomposition
theorem states that, given two σ-finite measures `μ` and `ν`, there exists a σ-finite measure `ξ`
and a measurable function `f` such that `μ = ξ + fν` and `ξ` is mutually singular with respect
to `ν`.
## Main definitions
* `MeasureTheory.SignedMeasure.HaveLebesgueDecomposition` : A signed measure `s` and a
measure `μ` is said to `HaveLebesgueDecomposition` if both the positive part and negative
part of `s` `HaveLebesgueDecomposition` with respect to `μ`.
* `MeasureTheory.SignedMeasure.singularPart` : The singular part between a signed measure `s`
and a measure `μ` is simply the singular part of the positive part of `s` with respect to `μ`
minus the singular part of the negative part of `s` with respect to `μ`.
* `MeasureTheory.SignedMeasure.rnDeriv` : The Radon-Nikodym derivative of a signed
measure `s` with respect to a measure `μ` is the Radon-Nikodym derivative of the positive part of
`s` with respect to `μ` minus the Radon-Nikodym derivative of the negative part of `s` with
respect to `μ`.
## Main results
* `MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq` :
the Lebesgue decomposition theorem between a signed measure and a σ-finite positive measure.
## Tags
Lebesgue decomposition theorem
-/
noncomputable section
open scoped Classical MeasureTheory NNReal ENNReal
open Set
variable {α β : Type*} {m : MeasurableSpace α} {μ ν : MeasureTheory.Measure α}
namespace MeasureTheory
namespace SignedMeasure
open Measure
/-- A signed measure `s` is said to `HaveLebesgueDecomposition` with respect to a measure `μ`
if the positive part and the negative part of `s` both `HaveLebesgueDecomposition` with
respect to `μ`. -/
class HaveLebesgueDecomposition (s : SignedMeasure α) (μ : Measure α) : Prop where
posPart : s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ
negPart : s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ
#align measure_theory.signed_measure.have_lebesgue_decomposition MeasureTheory.SignedMeasure.HaveLebesgueDecomposition
#align measure_theory.signed_measure.have_lebesgue_decomposition.pos_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.posPart
#align measure_theory.signed_measure.have_lebesgue_decomposition.neg_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.negPart
attribute [instance] HaveLebesgueDecomposition.posPart
attribute [instance] HaveLebesgueDecomposition.negPart
theorem not_haveLebesgueDecomposition_iff (s : SignedMeasure α) (μ : Measure α) :
¬s.HaveLebesgueDecomposition μ ↔
¬s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ ∨
¬s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ :=
⟨fun h => not_or_of_imp fun hp hn => h ⟨hp, hn⟩, fun h hl => (not_and_or.2 h) ⟨hl.1, hl.2⟩⟩
#align measure_theory.signed_measure.not_have_lebesgue_decomposition_iff MeasureTheory.SignedMeasure.not_haveLebesgueDecomposition_iff
-- `infer_instance` directly does not work
-- see Note [lower instance priority]
instance (priority := 100) haveLebesgueDecomposition_of_sigmaFinite (s : SignedMeasure α)
(μ : Measure α) [SigmaFinite μ] : s.HaveLebesgueDecomposition μ where
posPart := inferInstance
negPart := inferInstance
#align measure_theory.signed_measure.have_lebesgue_decomposition_of_sigma_finite MeasureTheory.SignedMeasure.haveLebesgueDecomposition_of_sigmaFinite
instance haveLebesgueDecomposition_neg (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] : (-s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_neg MeasureTheory.SignedMeasure.haveLebesgueDecomposition_neg
instance haveLebesgueDecomposition_smul (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ≥0) : (r • s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul
instance haveLebesgueDecomposition_smul_real (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ) : (r • s).HaveLebesgueDecomposition μ := by
by_cases hr : 0 ≤ r
· lift r to ℝ≥0 using hr
exact s.haveLebesgueDecomposition_smul μ _
· rw [not_le] at hr
refine'
{ posPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_posPart_neg _ _ hr]
infer_instance
negPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_negPart_neg _ _ hr]
infer_instance }
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul_real MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul_real
/-- Given a signed measure `s` and a measure `μ`, `s.singularPart μ` is the signed measure
such that `s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s` and
`s.singularPart μ` is mutually singular with respect to `μ`. -/
def singularPart (s : SignedMeasure α) (μ : Measure α) : SignedMeasure α :=
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure -
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure
#align measure_theory.signed_measure.singular_part MeasureTheory.SignedMeasure.singularPart
section
theorem singularPart_mutuallySingular (s : SignedMeasure α) (μ : Measure α) :
s.toJordanDecomposition.posPart.singularPart μ ⟂ₘ
s.toJordanDecomposition.negPart.singularPart μ := by
by_cases hl : s.HaveLebesgueDecomposition μ
· obtain ⟨i, hi, hpos, hneg⟩ := s.toJordanDecomposition.mutuallySingular
rw [s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ] at hpos
rw [s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ] at hneg
rw [add_apply, add_eq_zero_iff] at hpos hneg
exact ⟨i, hi, hpos.1, hneg.1⟩
· rw [not_haveLebesgueDecomposition_iff] at hl
cases' hl with hp hn
· rw [Measure.singularPart, dif_neg hp]
exact MutuallySingular.zero_left
· rw [Measure.singularPart, Measure.singularPart, dif_neg hn]
exact MutuallySingular.zero_right
#align measure_theory.signed_measure.singular_part_mutually_singular MeasureTheory.SignedMeasure.singularPart_mutuallySingular
theorem singularPart_totalVariation (s : SignedMeasure α) (μ : Measure α) :
(s.singularPart μ).totalVariation =
s.toJordanDecomposition.posPart.singularPart μ +
s.toJordanDecomposition.negPart.singularPart μ := by
have :
(s.singularPart μ).toJordanDecomposition =
⟨s.toJordanDecomposition.posPart.singularPart μ,
s.toJordanDecomposition.negPart.singularPart μ, singularPart_mutuallySingular s μ⟩ := by
refine' JordanDecomposition.toSignedMeasure_injective _
rw [toSignedMeasure_toJordanDecomposition, singularPart, JordanDecomposition.toSignedMeasure]
· rw [totalVariation, this]
#align measure_theory.signed_measure.singular_part_total_variation MeasureTheory.SignedMeasure.singularPart_totalVariation
nonrec theorem mutuallySingular_singularPart (s : SignedMeasure α) (μ : Measure α) :
singularPart s μ ⟂ᵥ μ.toENNRealVectorMeasure := by
rw [mutuallySingular_ennreal_iff, singularPart_totalVariation,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure]
exact (mutuallySingular_singularPart _ _).add_left (mutuallySingular_singularPart _ _)
#align measure_theory.signed_measure.mutually_singular_singular_part MeasureTheory.SignedMeasure.mutuallySingular_singularPart
end
/-- The Radon-Nikodym derivative between a signed measure and a positive measure.
`rnDeriv s μ` satisfies `μ.withDensityᵥ (s.rnDeriv μ) = s`
if and only if `s` is absolutely continuous with respect to `μ` and this fact is known as
`MeasureTheory.SignedMeasure.absolutelyContinuous_iff_withDensity_rnDeriv_eq`
and can be found in `MeasureTheory.Decomposition.RadonNikodym`. -/
def rnDeriv (s : SignedMeasure α) (μ : Measure α) : α → ℝ := fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal
#align measure_theory.signed_measure.rn_deriv MeasureTheory.SignedMeasure.rnDeriv
-- Porting note: The generated equation theorem is the form of `rnDeriv s μ x`.
theorem rnDeriv_def (s : SignedMeasure α) (μ : Measure α) : rnDeriv s μ = fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal :=
rfl
attribute [eqns rnDeriv_def] rnDeriv
variable {s t : SignedMeasure α}
@[measurability]
theorem measurable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Measurable (rnDeriv s μ) := by
rw [rnDeriv]
measurability
#align measure_theory.signed_measure.measurable_rn_deriv MeasureTheory.SignedMeasure.measurable_rnDeriv
theorem integrable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Integrable (rnDeriv s μ) μ := by
refine' Integrable.sub _ _ <;>
· constructor
· apply Measurable.aestronglyMeasurable; measurability
exact hasFiniteIntegral_toReal_of_lintegral_ne_top (lintegral_rnDeriv_lt_top _ μ).ne
#align measure_theory.signed_measure.integrable_rn_deriv MeasureTheory.SignedMeasure.integrable_rnDeriv
variable (s μ)
/-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
first
| exact (lintegral_rnDeriv_lt_top _ _).ne
| measurability
#align measure_theory.signed_measure.singular_part_add_with_density_rn_deriv_eq MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq
variable {s μ}
theorem jordanDecomposition_add_withDensity_mutuallySingular {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) :
(t.toJordanDecomposition.posPart + μ.withDensity fun x : α => ENNReal.ofReal (f x)) ⟂ₘ
t.toJordanDecomposition.negPart + μ.withDensity fun x : α => ENNReal.ofReal (-f x) := by
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
exact
((JordanDecomposition.mutuallySingular _).add_right
(htμ.1.mono_ac (refl _) (withDensity_absolutelyContinuous _ _))).add_left
((htμ.2.symm.mono_ac (withDensity_absolutelyContinuous _ _) (refl _)).add_right
(withDensity_ofReal_mutuallySingular hf))
#align measure_theory.signed_measure.jordan_decomposition_add_with_density_mutually_singular MeasureTheory.SignedMeasure.jordanDecomposition_add_withDensity_mutuallySingular
theorem toJordanDecomposition_eq_of_eq_add_withDensity {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.toJordanDecomposition =
@JordanDecomposition.mk α _
(t.toJordanDecomposition.posPart + μ.withDensity fun x => ENNReal.ofReal (f x))
(t.toJordanDecomposition.negPart + μ.withDensity fun x => ENNReal.ofReal (-f x))
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.2; infer_instance)
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2; infer_instance)
(jordanDecomposition_add_withDensity_mutuallySingular hf htμ) := by
haveI := isFiniteMeasure_withDensity_ofReal hfi.2
haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2
refine' toJordanDecomposition_eq _
simp_rw [JordanDecomposition.toSignedMeasure, hadd]
ext i hi
rw [VectorMeasure.sub_apply, toSignedMeasure_apply_measurable hi,
toSignedMeasure_apply_measurable hi, add_apply, add_apply, ENNReal.toReal_add,
ENNReal.toReal_add, add_sub_add_comm, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi, ← VectorMeasure.sub_apply,
← JordanDecomposition.toSignedMeasure, toSignedMeasure_toJordanDecomposition,
VectorMeasure.add_apply, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi,
withDensityᵥ_eq_withDensity_pos_part_sub_withDensity_neg_part hfi,
VectorMeasure.sub_apply] <;>
exact (measure_lt_top _ _).ne
#align measure_theory.signed_measure.to_jordan_decomposition_eq_of_eq_add_with_density MeasureTheory.SignedMeasure.toJordanDecomposition_eq_of_eq_add_withDensity
private theorem haveLebesgueDecomposition_mk' (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff] at htμ
change _ ⟂ₘ VectorMeasure.equivMeasure.toFun (VectorMeasure.equivMeasure.invFun μ) at htμ
rw [VectorMeasure.equivMeasure.right_inv, totalVariation_mutuallySingular_iff] at htμ
refine'
{ posPart := by
use ⟨t.toJordanDecomposition.posPart, fun x => ENNReal.ofReal (f x)⟩
refine' ⟨hf.ennreal_ofReal, htμ.1, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
negPart := by
use ⟨t.toJordanDecomposition.negPart, fun x => ENNReal.ofReal (-f x)⟩
refine' ⟨hf.neg.ennreal_ofReal, htμ.2, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd] }
theorem haveLebesgueDecomposition_mk (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
by_cases hfi : Integrable f μ
· exact haveLebesgueDecomposition_mk' μ hf hfi htμ hadd
· rw [withDensityᵥ, dif_neg hfi, add_zero] at hadd
refine' haveLebesgueDecomposition_mk' μ measurable_zero (integrable_zero _ _ μ) htμ _
rwa [withDensityᵥ_zero, add_zero]
#align measure_theory.signed_measure.have_lebesgue_decomposition_mk MeasureTheory.SignedMeasure.haveLebesgueDecomposition_mk
private theorem eq_singularPart' (t : SignedMeasure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
t = s.singularPart μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
rw [singularPart, ← t.toSignedMeasure_toJordanDecomposition,
JordanDecomposition.toSignedMeasure]
congr
· have hfpos : Measurable fun x => ENNReal.ofReal (f x) := by measurability
refine' eq_singularPart hfpos htμ.1 _
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
· have hfneg : Measurable fun x => ENNReal.ofReal (-f x) := by measurability
refine' eq_singularPart hfneg htμ.2 _
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
/-- Given a measure `μ`, signed measures `s` and `t`, and a function `f` such that `t` is
mutually singular with respect to `μ` and `s = t + μ.withDensityᵥ f`, we have
`t = singularPart s μ`, i.e. `t` is the singular part of the Lebesgue decomposition between
`s` and `μ`. -/
theorem eq_singularPart (t : SignedMeasure α) (f : α → ℝ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure)
(hadd : s = t + μ.withDensityᵥ f) : t = s.singularPart μ := by
| by_cases hfi : Integrable f μ | /-- Given a measure `μ`, signed measures `s` and `t`, and a function `f` such that `t` is
mutually singular with respect to `μ` and `s = t + μ.withDensityᵥ f`, we have
`t = singularPart s μ`, i.e. `t` is the singular part of the Lebesgue decomposition between
`s` and `μ`. -/
theorem eq_singularPart (t : SignedMeasure α) (f : α → ℝ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure)
(hadd : s = t + μ.withDensityᵥ f) : t = s.singularPart μ := by
| Mathlib.MeasureTheory.Decomposition.SignedLebesgue.317_0.HPGboz0rhL6sBes | /-- Given a measure `μ`, signed measures `s` and `t`, and a function `f` such that `t` is
mutually singular with respect to `μ` and `s = t + μ.withDensityᵥ f`, we have
`t = singularPart s μ`, i.e. `t` is the singular part of the Lebesgue decomposition between
`s` and `μ`. -/
theorem eq_singularPart (t : SignedMeasure α) (f : α → ℝ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure)
(hadd : s = t + μ.withDensityᵥ f) : t = s.singularPart μ | Mathlib_MeasureTheory_Decomposition_SignedLebesgue |
case pos
α : Type u_1
β : Type u_2
m : MeasurableSpace α
μ ν : Measure α
s t✝ t : SignedMeasure α
f : α → ℝ
htμ : t ⟂ᵥ toENNRealVectorMeasure μ
hadd : s = t + withDensityᵥ μ f
hfi : Integrable f
⊢ t = singularPart s μ | /-
Copyright (c) 2021 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.MeasureTheory.Decomposition.Lebesgue
import Mathlib.MeasureTheory.Measure.Complex
/-!
# Lebesgue decomposition
This file proves the Lebesgue decomposition theorem for signed measures. The Lebesgue decomposition
theorem states that, given two σ-finite measures `μ` and `ν`, there exists a σ-finite measure `ξ`
and a measurable function `f` such that `μ = ξ + fν` and `ξ` is mutually singular with respect
to `ν`.
## Main definitions
* `MeasureTheory.SignedMeasure.HaveLebesgueDecomposition` : A signed measure `s` and a
measure `μ` is said to `HaveLebesgueDecomposition` if both the positive part and negative
part of `s` `HaveLebesgueDecomposition` with respect to `μ`.
* `MeasureTheory.SignedMeasure.singularPart` : The singular part between a signed measure `s`
and a measure `μ` is simply the singular part of the positive part of `s` with respect to `μ`
minus the singular part of the negative part of `s` with respect to `μ`.
* `MeasureTheory.SignedMeasure.rnDeriv` : The Radon-Nikodym derivative of a signed
measure `s` with respect to a measure `μ` is the Radon-Nikodym derivative of the positive part of
`s` with respect to `μ` minus the Radon-Nikodym derivative of the negative part of `s` with
respect to `μ`.
## Main results
* `MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq` :
the Lebesgue decomposition theorem between a signed measure and a σ-finite positive measure.
## Tags
Lebesgue decomposition theorem
-/
noncomputable section
open scoped Classical MeasureTheory NNReal ENNReal
open Set
variable {α β : Type*} {m : MeasurableSpace α} {μ ν : MeasureTheory.Measure α}
namespace MeasureTheory
namespace SignedMeasure
open Measure
/-- A signed measure `s` is said to `HaveLebesgueDecomposition` with respect to a measure `μ`
if the positive part and the negative part of `s` both `HaveLebesgueDecomposition` with
respect to `μ`. -/
class HaveLebesgueDecomposition (s : SignedMeasure α) (μ : Measure α) : Prop where
posPart : s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ
negPart : s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ
#align measure_theory.signed_measure.have_lebesgue_decomposition MeasureTheory.SignedMeasure.HaveLebesgueDecomposition
#align measure_theory.signed_measure.have_lebesgue_decomposition.pos_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.posPart
#align measure_theory.signed_measure.have_lebesgue_decomposition.neg_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.negPart
attribute [instance] HaveLebesgueDecomposition.posPart
attribute [instance] HaveLebesgueDecomposition.negPart
theorem not_haveLebesgueDecomposition_iff (s : SignedMeasure α) (μ : Measure α) :
¬s.HaveLebesgueDecomposition μ ↔
¬s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ ∨
¬s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ :=
⟨fun h => not_or_of_imp fun hp hn => h ⟨hp, hn⟩, fun h hl => (not_and_or.2 h) ⟨hl.1, hl.2⟩⟩
#align measure_theory.signed_measure.not_have_lebesgue_decomposition_iff MeasureTheory.SignedMeasure.not_haveLebesgueDecomposition_iff
-- `infer_instance` directly does not work
-- see Note [lower instance priority]
instance (priority := 100) haveLebesgueDecomposition_of_sigmaFinite (s : SignedMeasure α)
(μ : Measure α) [SigmaFinite μ] : s.HaveLebesgueDecomposition μ where
posPart := inferInstance
negPart := inferInstance
#align measure_theory.signed_measure.have_lebesgue_decomposition_of_sigma_finite MeasureTheory.SignedMeasure.haveLebesgueDecomposition_of_sigmaFinite
instance haveLebesgueDecomposition_neg (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] : (-s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_neg MeasureTheory.SignedMeasure.haveLebesgueDecomposition_neg
instance haveLebesgueDecomposition_smul (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ≥0) : (r • s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul
instance haveLebesgueDecomposition_smul_real (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ) : (r • s).HaveLebesgueDecomposition μ := by
by_cases hr : 0 ≤ r
· lift r to ℝ≥0 using hr
exact s.haveLebesgueDecomposition_smul μ _
· rw [not_le] at hr
refine'
{ posPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_posPart_neg _ _ hr]
infer_instance
negPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_negPart_neg _ _ hr]
infer_instance }
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul_real MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul_real
/-- Given a signed measure `s` and a measure `μ`, `s.singularPart μ` is the signed measure
such that `s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s` and
`s.singularPart μ` is mutually singular with respect to `μ`. -/
def singularPart (s : SignedMeasure α) (μ : Measure α) : SignedMeasure α :=
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure -
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure
#align measure_theory.signed_measure.singular_part MeasureTheory.SignedMeasure.singularPart
section
theorem singularPart_mutuallySingular (s : SignedMeasure α) (μ : Measure α) :
s.toJordanDecomposition.posPart.singularPart μ ⟂ₘ
s.toJordanDecomposition.negPart.singularPart μ := by
by_cases hl : s.HaveLebesgueDecomposition μ
· obtain ⟨i, hi, hpos, hneg⟩ := s.toJordanDecomposition.mutuallySingular
rw [s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ] at hpos
rw [s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ] at hneg
rw [add_apply, add_eq_zero_iff] at hpos hneg
exact ⟨i, hi, hpos.1, hneg.1⟩
· rw [not_haveLebesgueDecomposition_iff] at hl
cases' hl with hp hn
· rw [Measure.singularPart, dif_neg hp]
exact MutuallySingular.zero_left
· rw [Measure.singularPart, Measure.singularPart, dif_neg hn]
exact MutuallySingular.zero_right
#align measure_theory.signed_measure.singular_part_mutually_singular MeasureTheory.SignedMeasure.singularPart_mutuallySingular
theorem singularPart_totalVariation (s : SignedMeasure α) (μ : Measure α) :
(s.singularPart μ).totalVariation =
s.toJordanDecomposition.posPart.singularPart μ +
s.toJordanDecomposition.negPart.singularPart μ := by
have :
(s.singularPart μ).toJordanDecomposition =
⟨s.toJordanDecomposition.posPart.singularPart μ,
s.toJordanDecomposition.negPart.singularPart μ, singularPart_mutuallySingular s μ⟩ := by
refine' JordanDecomposition.toSignedMeasure_injective _
rw [toSignedMeasure_toJordanDecomposition, singularPart, JordanDecomposition.toSignedMeasure]
· rw [totalVariation, this]
#align measure_theory.signed_measure.singular_part_total_variation MeasureTheory.SignedMeasure.singularPart_totalVariation
nonrec theorem mutuallySingular_singularPart (s : SignedMeasure α) (μ : Measure α) :
singularPart s μ ⟂ᵥ μ.toENNRealVectorMeasure := by
rw [mutuallySingular_ennreal_iff, singularPart_totalVariation,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure]
exact (mutuallySingular_singularPart _ _).add_left (mutuallySingular_singularPart _ _)
#align measure_theory.signed_measure.mutually_singular_singular_part MeasureTheory.SignedMeasure.mutuallySingular_singularPart
end
/-- The Radon-Nikodym derivative between a signed measure and a positive measure.
`rnDeriv s μ` satisfies `μ.withDensityᵥ (s.rnDeriv μ) = s`
if and only if `s` is absolutely continuous with respect to `μ` and this fact is known as
`MeasureTheory.SignedMeasure.absolutelyContinuous_iff_withDensity_rnDeriv_eq`
and can be found in `MeasureTheory.Decomposition.RadonNikodym`. -/
def rnDeriv (s : SignedMeasure α) (μ : Measure α) : α → ℝ := fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal
#align measure_theory.signed_measure.rn_deriv MeasureTheory.SignedMeasure.rnDeriv
-- Porting note: The generated equation theorem is the form of `rnDeriv s μ x`.
theorem rnDeriv_def (s : SignedMeasure α) (μ : Measure α) : rnDeriv s μ = fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal :=
rfl
attribute [eqns rnDeriv_def] rnDeriv
variable {s t : SignedMeasure α}
@[measurability]
theorem measurable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Measurable (rnDeriv s μ) := by
rw [rnDeriv]
measurability
#align measure_theory.signed_measure.measurable_rn_deriv MeasureTheory.SignedMeasure.measurable_rnDeriv
theorem integrable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Integrable (rnDeriv s μ) μ := by
refine' Integrable.sub _ _ <;>
· constructor
· apply Measurable.aestronglyMeasurable; measurability
exact hasFiniteIntegral_toReal_of_lintegral_ne_top (lintegral_rnDeriv_lt_top _ μ).ne
#align measure_theory.signed_measure.integrable_rn_deriv MeasureTheory.SignedMeasure.integrable_rnDeriv
variable (s μ)
/-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
first
| exact (lintegral_rnDeriv_lt_top _ _).ne
| measurability
#align measure_theory.signed_measure.singular_part_add_with_density_rn_deriv_eq MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq
variable {s μ}
theorem jordanDecomposition_add_withDensity_mutuallySingular {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) :
(t.toJordanDecomposition.posPart + μ.withDensity fun x : α => ENNReal.ofReal (f x)) ⟂ₘ
t.toJordanDecomposition.negPart + μ.withDensity fun x : α => ENNReal.ofReal (-f x) := by
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
exact
((JordanDecomposition.mutuallySingular _).add_right
(htμ.1.mono_ac (refl _) (withDensity_absolutelyContinuous _ _))).add_left
((htμ.2.symm.mono_ac (withDensity_absolutelyContinuous _ _) (refl _)).add_right
(withDensity_ofReal_mutuallySingular hf))
#align measure_theory.signed_measure.jordan_decomposition_add_with_density_mutually_singular MeasureTheory.SignedMeasure.jordanDecomposition_add_withDensity_mutuallySingular
theorem toJordanDecomposition_eq_of_eq_add_withDensity {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.toJordanDecomposition =
@JordanDecomposition.mk α _
(t.toJordanDecomposition.posPart + μ.withDensity fun x => ENNReal.ofReal (f x))
(t.toJordanDecomposition.negPart + μ.withDensity fun x => ENNReal.ofReal (-f x))
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.2; infer_instance)
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2; infer_instance)
(jordanDecomposition_add_withDensity_mutuallySingular hf htμ) := by
haveI := isFiniteMeasure_withDensity_ofReal hfi.2
haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2
refine' toJordanDecomposition_eq _
simp_rw [JordanDecomposition.toSignedMeasure, hadd]
ext i hi
rw [VectorMeasure.sub_apply, toSignedMeasure_apply_measurable hi,
toSignedMeasure_apply_measurable hi, add_apply, add_apply, ENNReal.toReal_add,
ENNReal.toReal_add, add_sub_add_comm, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi, ← VectorMeasure.sub_apply,
← JordanDecomposition.toSignedMeasure, toSignedMeasure_toJordanDecomposition,
VectorMeasure.add_apply, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi,
withDensityᵥ_eq_withDensity_pos_part_sub_withDensity_neg_part hfi,
VectorMeasure.sub_apply] <;>
exact (measure_lt_top _ _).ne
#align measure_theory.signed_measure.to_jordan_decomposition_eq_of_eq_add_with_density MeasureTheory.SignedMeasure.toJordanDecomposition_eq_of_eq_add_withDensity
private theorem haveLebesgueDecomposition_mk' (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff] at htμ
change _ ⟂ₘ VectorMeasure.equivMeasure.toFun (VectorMeasure.equivMeasure.invFun μ) at htμ
rw [VectorMeasure.equivMeasure.right_inv, totalVariation_mutuallySingular_iff] at htμ
refine'
{ posPart := by
use ⟨t.toJordanDecomposition.posPart, fun x => ENNReal.ofReal (f x)⟩
refine' ⟨hf.ennreal_ofReal, htμ.1, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
negPart := by
use ⟨t.toJordanDecomposition.negPart, fun x => ENNReal.ofReal (-f x)⟩
refine' ⟨hf.neg.ennreal_ofReal, htμ.2, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd] }
theorem haveLebesgueDecomposition_mk (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
by_cases hfi : Integrable f μ
· exact haveLebesgueDecomposition_mk' μ hf hfi htμ hadd
· rw [withDensityᵥ, dif_neg hfi, add_zero] at hadd
refine' haveLebesgueDecomposition_mk' μ measurable_zero (integrable_zero _ _ μ) htμ _
rwa [withDensityᵥ_zero, add_zero]
#align measure_theory.signed_measure.have_lebesgue_decomposition_mk MeasureTheory.SignedMeasure.haveLebesgueDecomposition_mk
private theorem eq_singularPart' (t : SignedMeasure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
t = s.singularPart μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
rw [singularPart, ← t.toSignedMeasure_toJordanDecomposition,
JordanDecomposition.toSignedMeasure]
congr
· have hfpos : Measurable fun x => ENNReal.ofReal (f x) := by measurability
refine' eq_singularPart hfpos htμ.1 _
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
· have hfneg : Measurable fun x => ENNReal.ofReal (-f x) := by measurability
refine' eq_singularPart hfneg htμ.2 _
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
/-- Given a measure `μ`, signed measures `s` and `t`, and a function `f` such that `t` is
mutually singular with respect to `μ` and `s = t + μ.withDensityᵥ f`, we have
`t = singularPart s μ`, i.e. `t` is the singular part of the Lebesgue decomposition between
`s` and `μ`. -/
theorem eq_singularPart (t : SignedMeasure α) (f : α → ℝ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure)
(hadd : s = t + μ.withDensityᵥ f) : t = s.singularPart μ := by
by_cases hfi : Integrable f μ
· | refine' eq_singularPart' t hfi.1.measurable_mk (hfi.congr hfi.1.ae_eq_mk) htμ _ | /-- Given a measure `μ`, signed measures `s` and `t`, and a function `f` such that `t` is
mutually singular with respect to `μ` and `s = t + μ.withDensityᵥ f`, we have
`t = singularPart s μ`, i.e. `t` is the singular part of the Lebesgue decomposition between
`s` and `μ`. -/
theorem eq_singularPart (t : SignedMeasure α) (f : α → ℝ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure)
(hadd : s = t + μ.withDensityᵥ f) : t = s.singularPart μ := by
by_cases hfi : Integrable f μ
· | Mathlib.MeasureTheory.Decomposition.SignedLebesgue.317_0.HPGboz0rhL6sBes | /-- Given a measure `μ`, signed measures `s` and `t`, and a function `f` such that `t` is
mutually singular with respect to `μ` and `s = t + μ.withDensityᵥ f`, we have
`t = singularPart s μ`, i.e. `t` is the singular part of the Lebesgue decomposition between
`s` and `μ`. -/
theorem eq_singularPart (t : SignedMeasure α) (f : α → ℝ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure)
(hadd : s = t + μ.withDensityᵥ f) : t = s.singularPart μ | Mathlib_MeasureTheory_Decomposition_SignedLebesgue |
case pos
α : Type u_1
β : Type u_2
m : MeasurableSpace α
μ ν : Measure α
s t✝ t : SignedMeasure α
f : α → ℝ
htμ : t ⟂ᵥ toENNRealVectorMeasure μ
hadd : s = t + withDensityᵥ μ f
hfi : Integrable f
⊢ s = t + withDensityᵥ μ (AEStronglyMeasurable.mk f (_ : AEStronglyMeasurable f μ)) | /-
Copyright (c) 2021 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.MeasureTheory.Decomposition.Lebesgue
import Mathlib.MeasureTheory.Measure.Complex
/-!
# Lebesgue decomposition
This file proves the Lebesgue decomposition theorem for signed measures. The Lebesgue decomposition
theorem states that, given two σ-finite measures `μ` and `ν`, there exists a σ-finite measure `ξ`
and a measurable function `f` such that `μ = ξ + fν` and `ξ` is mutually singular with respect
to `ν`.
## Main definitions
* `MeasureTheory.SignedMeasure.HaveLebesgueDecomposition` : A signed measure `s` and a
measure `μ` is said to `HaveLebesgueDecomposition` if both the positive part and negative
part of `s` `HaveLebesgueDecomposition` with respect to `μ`.
* `MeasureTheory.SignedMeasure.singularPart` : The singular part between a signed measure `s`
and a measure `μ` is simply the singular part of the positive part of `s` with respect to `μ`
minus the singular part of the negative part of `s` with respect to `μ`.
* `MeasureTheory.SignedMeasure.rnDeriv` : The Radon-Nikodym derivative of a signed
measure `s` with respect to a measure `μ` is the Radon-Nikodym derivative of the positive part of
`s` with respect to `μ` minus the Radon-Nikodym derivative of the negative part of `s` with
respect to `μ`.
## Main results
* `MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq` :
the Lebesgue decomposition theorem between a signed measure and a σ-finite positive measure.
## Tags
Lebesgue decomposition theorem
-/
noncomputable section
open scoped Classical MeasureTheory NNReal ENNReal
open Set
variable {α β : Type*} {m : MeasurableSpace α} {μ ν : MeasureTheory.Measure α}
namespace MeasureTheory
namespace SignedMeasure
open Measure
/-- A signed measure `s` is said to `HaveLebesgueDecomposition` with respect to a measure `μ`
if the positive part and the negative part of `s` both `HaveLebesgueDecomposition` with
respect to `μ`. -/
class HaveLebesgueDecomposition (s : SignedMeasure α) (μ : Measure α) : Prop where
posPart : s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ
negPart : s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ
#align measure_theory.signed_measure.have_lebesgue_decomposition MeasureTheory.SignedMeasure.HaveLebesgueDecomposition
#align measure_theory.signed_measure.have_lebesgue_decomposition.pos_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.posPart
#align measure_theory.signed_measure.have_lebesgue_decomposition.neg_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.negPart
attribute [instance] HaveLebesgueDecomposition.posPart
attribute [instance] HaveLebesgueDecomposition.negPart
theorem not_haveLebesgueDecomposition_iff (s : SignedMeasure α) (μ : Measure α) :
¬s.HaveLebesgueDecomposition μ ↔
¬s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ ∨
¬s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ :=
⟨fun h => not_or_of_imp fun hp hn => h ⟨hp, hn⟩, fun h hl => (not_and_or.2 h) ⟨hl.1, hl.2⟩⟩
#align measure_theory.signed_measure.not_have_lebesgue_decomposition_iff MeasureTheory.SignedMeasure.not_haveLebesgueDecomposition_iff
-- `infer_instance` directly does not work
-- see Note [lower instance priority]
instance (priority := 100) haveLebesgueDecomposition_of_sigmaFinite (s : SignedMeasure α)
(μ : Measure α) [SigmaFinite μ] : s.HaveLebesgueDecomposition μ where
posPart := inferInstance
negPart := inferInstance
#align measure_theory.signed_measure.have_lebesgue_decomposition_of_sigma_finite MeasureTheory.SignedMeasure.haveLebesgueDecomposition_of_sigmaFinite
instance haveLebesgueDecomposition_neg (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] : (-s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_neg MeasureTheory.SignedMeasure.haveLebesgueDecomposition_neg
instance haveLebesgueDecomposition_smul (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ≥0) : (r • s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul
instance haveLebesgueDecomposition_smul_real (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ) : (r • s).HaveLebesgueDecomposition μ := by
by_cases hr : 0 ≤ r
· lift r to ℝ≥0 using hr
exact s.haveLebesgueDecomposition_smul μ _
· rw [not_le] at hr
refine'
{ posPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_posPart_neg _ _ hr]
infer_instance
negPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_negPart_neg _ _ hr]
infer_instance }
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul_real MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul_real
/-- Given a signed measure `s` and a measure `μ`, `s.singularPart μ` is the signed measure
such that `s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s` and
`s.singularPart μ` is mutually singular with respect to `μ`. -/
def singularPart (s : SignedMeasure α) (μ : Measure α) : SignedMeasure α :=
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure -
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure
#align measure_theory.signed_measure.singular_part MeasureTheory.SignedMeasure.singularPart
section
theorem singularPart_mutuallySingular (s : SignedMeasure α) (μ : Measure α) :
s.toJordanDecomposition.posPart.singularPart μ ⟂ₘ
s.toJordanDecomposition.negPart.singularPart μ := by
by_cases hl : s.HaveLebesgueDecomposition μ
· obtain ⟨i, hi, hpos, hneg⟩ := s.toJordanDecomposition.mutuallySingular
rw [s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ] at hpos
rw [s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ] at hneg
rw [add_apply, add_eq_zero_iff] at hpos hneg
exact ⟨i, hi, hpos.1, hneg.1⟩
· rw [not_haveLebesgueDecomposition_iff] at hl
cases' hl with hp hn
· rw [Measure.singularPart, dif_neg hp]
exact MutuallySingular.zero_left
· rw [Measure.singularPart, Measure.singularPart, dif_neg hn]
exact MutuallySingular.zero_right
#align measure_theory.signed_measure.singular_part_mutually_singular MeasureTheory.SignedMeasure.singularPart_mutuallySingular
theorem singularPart_totalVariation (s : SignedMeasure α) (μ : Measure α) :
(s.singularPart μ).totalVariation =
s.toJordanDecomposition.posPart.singularPart μ +
s.toJordanDecomposition.negPart.singularPart μ := by
have :
(s.singularPart μ).toJordanDecomposition =
⟨s.toJordanDecomposition.posPart.singularPart μ,
s.toJordanDecomposition.negPart.singularPart μ, singularPart_mutuallySingular s μ⟩ := by
refine' JordanDecomposition.toSignedMeasure_injective _
rw [toSignedMeasure_toJordanDecomposition, singularPart, JordanDecomposition.toSignedMeasure]
· rw [totalVariation, this]
#align measure_theory.signed_measure.singular_part_total_variation MeasureTheory.SignedMeasure.singularPart_totalVariation
nonrec theorem mutuallySingular_singularPart (s : SignedMeasure α) (μ : Measure α) :
singularPart s μ ⟂ᵥ μ.toENNRealVectorMeasure := by
rw [mutuallySingular_ennreal_iff, singularPart_totalVariation,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure]
exact (mutuallySingular_singularPart _ _).add_left (mutuallySingular_singularPart _ _)
#align measure_theory.signed_measure.mutually_singular_singular_part MeasureTheory.SignedMeasure.mutuallySingular_singularPart
end
/-- The Radon-Nikodym derivative between a signed measure and a positive measure.
`rnDeriv s μ` satisfies `μ.withDensityᵥ (s.rnDeriv μ) = s`
if and only if `s` is absolutely continuous with respect to `μ` and this fact is known as
`MeasureTheory.SignedMeasure.absolutelyContinuous_iff_withDensity_rnDeriv_eq`
and can be found in `MeasureTheory.Decomposition.RadonNikodym`. -/
def rnDeriv (s : SignedMeasure α) (μ : Measure α) : α → ℝ := fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal
#align measure_theory.signed_measure.rn_deriv MeasureTheory.SignedMeasure.rnDeriv
-- Porting note: The generated equation theorem is the form of `rnDeriv s μ x`.
theorem rnDeriv_def (s : SignedMeasure α) (μ : Measure α) : rnDeriv s μ = fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal :=
rfl
attribute [eqns rnDeriv_def] rnDeriv
variable {s t : SignedMeasure α}
@[measurability]
theorem measurable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Measurable (rnDeriv s μ) := by
rw [rnDeriv]
measurability
#align measure_theory.signed_measure.measurable_rn_deriv MeasureTheory.SignedMeasure.measurable_rnDeriv
theorem integrable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Integrable (rnDeriv s μ) μ := by
refine' Integrable.sub _ _ <;>
· constructor
· apply Measurable.aestronglyMeasurable; measurability
exact hasFiniteIntegral_toReal_of_lintegral_ne_top (lintegral_rnDeriv_lt_top _ μ).ne
#align measure_theory.signed_measure.integrable_rn_deriv MeasureTheory.SignedMeasure.integrable_rnDeriv
variable (s μ)
/-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
first
| exact (lintegral_rnDeriv_lt_top _ _).ne
| measurability
#align measure_theory.signed_measure.singular_part_add_with_density_rn_deriv_eq MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq
variable {s μ}
theorem jordanDecomposition_add_withDensity_mutuallySingular {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) :
(t.toJordanDecomposition.posPart + μ.withDensity fun x : α => ENNReal.ofReal (f x)) ⟂ₘ
t.toJordanDecomposition.negPart + μ.withDensity fun x : α => ENNReal.ofReal (-f x) := by
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
exact
((JordanDecomposition.mutuallySingular _).add_right
(htμ.1.mono_ac (refl _) (withDensity_absolutelyContinuous _ _))).add_left
((htμ.2.symm.mono_ac (withDensity_absolutelyContinuous _ _) (refl _)).add_right
(withDensity_ofReal_mutuallySingular hf))
#align measure_theory.signed_measure.jordan_decomposition_add_with_density_mutually_singular MeasureTheory.SignedMeasure.jordanDecomposition_add_withDensity_mutuallySingular
theorem toJordanDecomposition_eq_of_eq_add_withDensity {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.toJordanDecomposition =
@JordanDecomposition.mk α _
(t.toJordanDecomposition.posPart + μ.withDensity fun x => ENNReal.ofReal (f x))
(t.toJordanDecomposition.negPart + μ.withDensity fun x => ENNReal.ofReal (-f x))
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.2; infer_instance)
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2; infer_instance)
(jordanDecomposition_add_withDensity_mutuallySingular hf htμ) := by
haveI := isFiniteMeasure_withDensity_ofReal hfi.2
haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2
refine' toJordanDecomposition_eq _
simp_rw [JordanDecomposition.toSignedMeasure, hadd]
ext i hi
rw [VectorMeasure.sub_apply, toSignedMeasure_apply_measurable hi,
toSignedMeasure_apply_measurable hi, add_apply, add_apply, ENNReal.toReal_add,
ENNReal.toReal_add, add_sub_add_comm, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi, ← VectorMeasure.sub_apply,
← JordanDecomposition.toSignedMeasure, toSignedMeasure_toJordanDecomposition,
VectorMeasure.add_apply, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi,
withDensityᵥ_eq_withDensity_pos_part_sub_withDensity_neg_part hfi,
VectorMeasure.sub_apply] <;>
exact (measure_lt_top _ _).ne
#align measure_theory.signed_measure.to_jordan_decomposition_eq_of_eq_add_with_density MeasureTheory.SignedMeasure.toJordanDecomposition_eq_of_eq_add_withDensity
private theorem haveLebesgueDecomposition_mk' (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff] at htμ
change _ ⟂ₘ VectorMeasure.equivMeasure.toFun (VectorMeasure.equivMeasure.invFun μ) at htμ
rw [VectorMeasure.equivMeasure.right_inv, totalVariation_mutuallySingular_iff] at htμ
refine'
{ posPart := by
use ⟨t.toJordanDecomposition.posPart, fun x => ENNReal.ofReal (f x)⟩
refine' ⟨hf.ennreal_ofReal, htμ.1, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
negPart := by
use ⟨t.toJordanDecomposition.negPart, fun x => ENNReal.ofReal (-f x)⟩
refine' ⟨hf.neg.ennreal_ofReal, htμ.2, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd] }
theorem haveLebesgueDecomposition_mk (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
by_cases hfi : Integrable f μ
· exact haveLebesgueDecomposition_mk' μ hf hfi htμ hadd
· rw [withDensityᵥ, dif_neg hfi, add_zero] at hadd
refine' haveLebesgueDecomposition_mk' μ measurable_zero (integrable_zero _ _ μ) htμ _
rwa [withDensityᵥ_zero, add_zero]
#align measure_theory.signed_measure.have_lebesgue_decomposition_mk MeasureTheory.SignedMeasure.haveLebesgueDecomposition_mk
private theorem eq_singularPart' (t : SignedMeasure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
t = s.singularPart μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
rw [singularPart, ← t.toSignedMeasure_toJordanDecomposition,
JordanDecomposition.toSignedMeasure]
congr
· have hfpos : Measurable fun x => ENNReal.ofReal (f x) := by measurability
refine' eq_singularPart hfpos htμ.1 _
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
· have hfneg : Measurable fun x => ENNReal.ofReal (-f x) := by measurability
refine' eq_singularPart hfneg htμ.2 _
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
/-- Given a measure `μ`, signed measures `s` and `t`, and a function `f` such that `t` is
mutually singular with respect to `μ` and `s = t + μ.withDensityᵥ f`, we have
`t = singularPart s μ`, i.e. `t` is the singular part of the Lebesgue decomposition between
`s` and `μ`. -/
theorem eq_singularPart (t : SignedMeasure α) (f : α → ℝ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure)
(hadd : s = t + μ.withDensityᵥ f) : t = s.singularPart μ := by
by_cases hfi : Integrable f μ
· refine' eq_singularPart' t hfi.1.measurable_mk (hfi.congr hfi.1.ae_eq_mk) htμ _
| convert hadd using 2 | /-- Given a measure `μ`, signed measures `s` and `t`, and a function `f` such that `t` is
mutually singular with respect to `μ` and `s = t + μ.withDensityᵥ f`, we have
`t = singularPart s μ`, i.e. `t` is the singular part of the Lebesgue decomposition between
`s` and `μ`. -/
theorem eq_singularPart (t : SignedMeasure α) (f : α → ℝ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure)
(hadd : s = t + μ.withDensityᵥ f) : t = s.singularPart μ := by
by_cases hfi : Integrable f μ
· refine' eq_singularPart' t hfi.1.measurable_mk (hfi.congr hfi.1.ae_eq_mk) htμ _
| Mathlib.MeasureTheory.Decomposition.SignedLebesgue.317_0.HPGboz0rhL6sBes | /-- Given a measure `μ`, signed measures `s` and `t`, and a function `f` such that `t` is
mutually singular with respect to `μ` and `s = t + μ.withDensityᵥ f`, we have
`t = singularPart s μ`, i.e. `t` is the singular part of the Lebesgue decomposition between
`s` and `μ`. -/
theorem eq_singularPart (t : SignedMeasure α) (f : α → ℝ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure)
(hadd : s = t + μ.withDensityᵥ f) : t = s.singularPart μ | Mathlib_MeasureTheory_Decomposition_SignedLebesgue |
case h.e'_3.h.e'_6
α : Type u_1
β : Type u_2
m : MeasurableSpace α
μ ν : Measure α
s t✝ t : SignedMeasure α
f : α → ℝ
htμ : t ⟂ᵥ toENNRealVectorMeasure μ
hadd : s = t + withDensityᵥ μ f
hfi : Integrable f
⊢ withDensityᵥ μ (AEStronglyMeasurable.mk f (_ : AEStronglyMeasurable f μ)) = withDensityᵥ μ f | /-
Copyright (c) 2021 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.MeasureTheory.Decomposition.Lebesgue
import Mathlib.MeasureTheory.Measure.Complex
/-!
# Lebesgue decomposition
This file proves the Lebesgue decomposition theorem for signed measures. The Lebesgue decomposition
theorem states that, given two σ-finite measures `μ` and `ν`, there exists a σ-finite measure `ξ`
and a measurable function `f` such that `μ = ξ + fν` and `ξ` is mutually singular with respect
to `ν`.
## Main definitions
* `MeasureTheory.SignedMeasure.HaveLebesgueDecomposition` : A signed measure `s` and a
measure `μ` is said to `HaveLebesgueDecomposition` if both the positive part and negative
part of `s` `HaveLebesgueDecomposition` with respect to `μ`.
* `MeasureTheory.SignedMeasure.singularPart` : The singular part between a signed measure `s`
and a measure `μ` is simply the singular part of the positive part of `s` with respect to `μ`
minus the singular part of the negative part of `s` with respect to `μ`.
* `MeasureTheory.SignedMeasure.rnDeriv` : The Radon-Nikodym derivative of a signed
measure `s` with respect to a measure `μ` is the Radon-Nikodym derivative of the positive part of
`s` with respect to `μ` minus the Radon-Nikodym derivative of the negative part of `s` with
respect to `μ`.
## Main results
* `MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq` :
the Lebesgue decomposition theorem between a signed measure and a σ-finite positive measure.
## Tags
Lebesgue decomposition theorem
-/
noncomputable section
open scoped Classical MeasureTheory NNReal ENNReal
open Set
variable {α β : Type*} {m : MeasurableSpace α} {μ ν : MeasureTheory.Measure α}
namespace MeasureTheory
namespace SignedMeasure
open Measure
/-- A signed measure `s` is said to `HaveLebesgueDecomposition` with respect to a measure `μ`
if the positive part and the negative part of `s` both `HaveLebesgueDecomposition` with
respect to `μ`. -/
class HaveLebesgueDecomposition (s : SignedMeasure α) (μ : Measure α) : Prop where
posPart : s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ
negPart : s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ
#align measure_theory.signed_measure.have_lebesgue_decomposition MeasureTheory.SignedMeasure.HaveLebesgueDecomposition
#align measure_theory.signed_measure.have_lebesgue_decomposition.pos_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.posPart
#align measure_theory.signed_measure.have_lebesgue_decomposition.neg_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.negPart
attribute [instance] HaveLebesgueDecomposition.posPart
attribute [instance] HaveLebesgueDecomposition.negPart
theorem not_haveLebesgueDecomposition_iff (s : SignedMeasure α) (μ : Measure α) :
¬s.HaveLebesgueDecomposition μ ↔
¬s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ ∨
¬s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ :=
⟨fun h => not_or_of_imp fun hp hn => h ⟨hp, hn⟩, fun h hl => (not_and_or.2 h) ⟨hl.1, hl.2⟩⟩
#align measure_theory.signed_measure.not_have_lebesgue_decomposition_iff MeasureTheory.SignedMeasure.not_haveLebesgueDecomposition_iff
-- `infer_instance` directly does not work
-- see Note [lower instance priority]
instance (priority := 100) haveLebesgueDecomposition_of_sigmaFinite (s : SignedMeasure α)
(μ : Measure α) [SigmaFinite μ] : s.HaveLebesgueDecomposition μ where
posPart := inferInstance
negPart := inferInstance
#align measure_theory.signed_measure.have_lebesgue_decomposition_of_sigma_finite MeasureTheory.SignedMeasure.haveLebesgueDecomposition_of_sigmaFinite
instance haveLebesgueDecomposition_neg (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] : (-s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_neg MeasureTheory.SignedMeasure.haveLebesgueDecomposition_neg
instance haveLebesgueDecomposition_smul (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ≥0) : (r • s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul
instance haveLebesgueDecomposition_smul_real (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ) : (r • s).HaveLebesgueDecomposition μ := by
by_cases hr : 0 ≤ r
· lift r to ℝ≥0 using hr
exact s.haveLebesgueDecomposition_smul μ _
· rw [not_le] at hr
refine'
{ posPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_posPart_neg _ _ hr]
infer_instance
negPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_negPart_neg _ _ hr]
infer_instance }
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul_real MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul_real
/-- Given a signed measure `s` and a measure `μ`, `s.singularPart μ` is the signed measure
such that `s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s` and
`s.singularPart μ` is mutually singular with respect to `μ`. -/
def singularPart (s : SignedMeasure α) (μ : Measure α) : SignedMeasure α :=
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure -
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure
#align measure_theory.signed_measure.singular_part MeasureTheory.SignedMeasure.singularPart
section
theorem singularPart_mutuallySingular (s : SignedMeasure α) (μ : Measure α) :
s.toJordanDecomposition.posPart.singularPart μ ⟂ₘ
s.toJordanDecomposition.negPart.singularPart μ := by
by_cases hl : s.HaveLebesgueDecomposition μ
· obtain ⟨i, hi, hpos, hneg⟩ := s.toJordanDecomposition.mutuallySingular
rw [s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ] at hpos
rw [s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ] at hneg
rw [add_apply, add_eq_zero_iff] at hpos hneg
exact ⟨i, hi, hpos.1, hneg.1⟩
· rw [not_haveLebesgueDecomposition_iff] at hl
cases' hl with hp hn
· rw [Measure.singularPart, dif_neg hp]
exact MutuallySingular.zero_left
· rw [Measure.singularPart, Measure.singularPart, dif_neg hn]
exact MutuallySingular.zero_right
#align measure_theory.signed_measure.singular_part_mutually_singular MeasureTheory.SignedMeasure.singularPart_mutuallySingular
theorem singularPart_totalVariation (s : SignedMeasure α) (μ : Measure α) :
(s.singularPart μ).totalVariation =
s.toJordanDecomposition.posPart.singularPart μ +
s.toJordanDecomposition.negPart.singularPart μ := by
have :
(s.singularPart μ).toJordanDecomposition =
⟨s.toJordanDecomposition.posPart.singularPart μ,
s.toJordanDecomposition.negPart.singularPart μ, singularPart_mutuallySingular s μ⟩ := by
refine' JordanDecomposition.toSignedMeasure_injective _
rw [toSignedMeasure_toJordanDecomposition, singularPart, JordanDecomposition.toSignedMeasure]
· rw [totalVariation, this]
#align measure_theory.signed_measure.singular_part_total_variation MeasureTheory.SignedMeasure.singularPart_totalVariation
nonrec theorem mutuallySingular_singularPart (s : SignedMeasure α) (μ : Measure α) :
singularPart s μ ⟂ᵥ μ.toENNRealVectorMeasure := by
rw [mutuallySingular_ennreal_iff, singularPart_totalVariation,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure]
exact (mutuallySingular_singularPart _ _).add_left (mutuallySingular_singularPart _ _)
#align measure_theory.signed_measure.mutually_singular_singular_part MeasureTheory.SignedMeasure.mutuallySingular_singularPart
end
/-- The Radon-Nikodym derivative between a signed measure and a positive measure.
`rnDeriv s μ` satisfies `μ.withDensityᵥ (s.rnDeriv μ) = s`
if and only if `s` is absolutely continuous with respect to `μ` and this fact is known as
`MeasureTheory.SignedMeasure.absolutelyContinuous_iff_withDensity_rnDeriv_eq`
and can be found in `MeasureTheory.Decomposition.RadonNikodym`. -/
def rnDeriv (s : SignedMeasure α) (μ : Measure α) : α → ℝ := fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal
#align measure_theory.signed_measure.rn_deriv MeasureTheory.SignedMeasure.rnDeriv
-- Porting note: The generated equation theorem is the form of `rnDeriv s μ x`.
theorem rnDeriv_def (s : SignedMeasure α) (μ : Measure α) : rnDeriv s μ = fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal :=
rfl
attribute [eqns rnDeriv_def] rnDeriv
variable {s t : SignedMeasure α}
@[measurability]
theorem measurable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Measurable (rnDeriv s μ) := by
rw [rnDeriv]
measurability
#align measure_theory.signed_measure.measurable_rn_deriv MeasureTheory.SignedMeasure.measurable_rnDeriv
theorem integrable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Integrable (rnDeriv s μ) μ := by
refine' Integrable.sub _ _ <;>
· constructor
· apply Measurable.aestronglyMeasurable; measurability
exact hasFiniteIntegral_toReal_of_lintegral_ne_top (lintegral_rnDeriv_lt_top _ μ).ne
#align measure_theory.signed_measure.integrable_rn_deriv MeasureTheory.SignedMeasure.integrable_rnDeriv
variable (s μ)
/-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
first
| exact (lintegral_rnDeriv_lt_top _ _).ne
| measurability
#align measure_theory.signed_measure.singular_part_add_with_density_rn_deriv_eq MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq
variable {s μ}
theorem jordanDecomposition_add_withDensity_mutuallySingular {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) :
(t.toJordanDecomposition.posPart + μ.withDensity fun x : α => ENNReal.ofReal (f x)) ⟂ₘ
t.toJordanDecomposition.negPart + μ.withDensity fun x : α => ENNReal.ofReal (-f x) := by
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
exact
((JordanDecomposition.mutuallySingular _).add_right
(htμ.1.mono_ac (refl _) (withDensity_absolutelyContinuous _ _))).add_left
((htμ.2.symm.mono_ac (withDensity_absolutelyContinuous _ _) (refl _)).add_right
(withDensity_ofReal_mutuallySingular hf))
#align measure_theory.signed_measure.jordan_decomposition_add_with_density_mutually_singular MeasureTheory.SignedMeasure.jordanDecomposition_add_withDensity_mutuallySingular
theorem toJordanDecomposition_eq_of_eq_add_withDensity {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.toJordanDecomposition =
@JordanDecomposition.mk α _
(t.toJordanDecomposition.posPart + μ.withDensity fun x => ENNReal.ofReal (f x))
(t.toJordanDecomposition.negPart + μ.withDensity fun x => ENNReal.ofReal (-f x))
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.2; infer_instance)
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2; infer_instance)
(jordanDecomposition_add_withDensity_mutuallySingular hf htμ) := by
haveI := isFiniteMeasure_withDensity_ofReal hfi.2
haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2
refine' toJordanDecomposition_eq _
simp_rw [JordanDecomposition.toSignedMeasure, hadd]
ext i hi
rw [VectorMeasure.sub_apply, toSignedMeasure_apply_measurable hi,
toSignedMeasure_apply_measurable hi, add_apply, add_apply, ENNReal.toReal_add,
ENNReal.toReal_add, add_sub_add_comm, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi, ← VectorMeasure.sub_apply,
← JordanDecomposition.toSignedMeasure, toSignedMeasure_toJordanDecomposition,
VectorMeasure.add_apply, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi,
withDensityᵥ_eq_withDensity_pos_part_sub_withDensity_neg_part hfi,
VectorMeasure.sub_apply] <;>
exact (measure_lt_top _ _).ne
#align measure_theory.signed_measure.to_jordan_decomposition_eq_of_eq_add_with_density MeasureTheory.SignedMeasure.toJordanDecomposition_eq_of_eq_add_withDensity
private theorem haveLebesgueDecomposition_mk' (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff] at htμ
change _ ⟂ₘ VectorMeasure.equivMeasure.toFun (VectorMeasure.equivMeasure.invFun μ) at htμ
rw [VectorMeasure.equivMeasure.right_inv, totalVariation_mutuallySingular_iff] at htμ
refine'
{ posPart := by
use ⟨t.toJordanDecomposition.posPart, fun x => ENNReal.ofReal (f x)⟩
refine' ⟨hf.ennreal_ofReal, htμ.1, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
negPart := by
use ⟨t.toJordanDecomposition.negPart, fun x => ENNReal.ofReal (-f x)⟩
refine' ⟨hf.neg.ennreal_ofReal, htμ.2, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd] }
theorem haveLebesgueDecomposition_mk (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
by_cases hfi : Integrable f μ
· exact haveLebesgueDecomposition_mk' μ hf hfi htμ hadd
· rw [withDensityᵥ, dif_neg hfi, add_zero] at hadd
refine' haveLebesgueDecomposition_mk' μ measurable_zero (integrable_zero _ _ μ) htμ _
rwa [withDensityᵥ_zero, add_zero]
#align measure_theory.signed_measure.have_lebesgue_decomposition_mk MeasureTheory.SignedMeasure.haveLebesgueDecomposition_mk
private theorem eq_singularPart' (t : SignedMeasure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
t = s.singularPart μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
rw [singularPart, ← t.toSignedMeasure_toJordanDecomposition,
JordanDecomposition.toSignedMeasure]
congr
· have hfpos : Measurable fun x => ENNReal.ofReal (f x) := by measurability
refine' eq_singularPart hfpos htμ.1 _
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
· have hfneg : Measurable fun x => ENNReal.ofReal (-f x) := by measurability
refine' eq_singularPart hfneg htμ.2 _
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
/-- Given a measure `μ`, signed measures `s` and `t`, and a function `f` such that `t` is
mutually singular with respect to `μ` and `s = t + μ.withDensityᵥ f`, we have
`t = singularPart s μ`, i.e. `t` is the singular part of the Lebesgue decomposition between
`s` and `μ`. -/
theorem eq_singularPart (t : SignedMeasure α) (f : α → ℝ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure)
(hadd : s = t + μ.withDensityᵥ f) : t = s.singularPart μ := by
by_cases hfi : Integrable f μ
· refine' eq_singularPart' t hfi.1.measurable_mk (hfi.congr hfi.1.ae_eq_mk) htμ _
convert hadd using 2
| exact WithDensityᵥEq.congr_ae hfi.1.ae_eq_mk.symm | /-- Given a measure `μ`, signed measures `s` and `t`, and a function `f` such that `t` is
mutually singular with respect to `μ` and `s = t + μ.withDensityᵥ f`, we have
`t = singularPart s μ`, i.e. `t` is the singular part of the Lebesgue decomposition between
`s` and `μ`. -/
theorem eq_singularPart (t : SignedMeasure α) (f : α → ℝ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure)
(hadd : s = t + μ.withDensityᵥ f) : t = s.singularPart μ := by
by_cases hfi : Integrable f μ
· refine' eq_singularPart' t hfi.1.measurable_mk (hfi.congr hfi.1.ae_eq_mk) htμ _
convert hadd using 2
| Mathlib.MeasureTheory.Decomposition.SignedLebesgue.317_0.HPGboz0rhL6sBes | /-- Given a measure `μ`, signed measures `s` and `t`, and a function `f` such that `t` is
mutually singular with respect to `μ` and `s = t + μ.withDensityᵥ f`, we have
`t = singularPart s μ`, i.e. `t` is the singular part of the Lebesgue decomposition between
`s` and `μ`. -/
theorem eq_singularPart (t : SignedMeasure α) (f : α → ℝ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure)
(hadd : s = t + μ.withDensityᵥ f) : t = s.singularPart μ | Mathlib_MeasureTheory_Decomposition_SignedLebesgue |
case neg
α : Type u_1
β : Type u_2
m : MeasurableSpace α
μ ν : Measure α
s t✝ t : SignedMeasure α
f : α → ℝ
htμ : t ⟂ᵥ toENNRealVectorMeasure μ
hadd : s = t + withDensityᵥ μ f
hfi : ¬Integrable f
⊢ t = singularPart s μ | /-
Copyright (c) 2021 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.MeasureTheory.Decomposition.Lebesgue
import Mathlib.MeasureTheory.Measure.Complex
/-!
# Lebesgue decomposition
This file proves the Lebesgue decomposition theorem for signed measures. The Lebesgue decomposition
theorem states that, given two σ-finite measures `μ` and `ν`, there exists a σ-finite measure `ξ`
and a measurable function `f` such that `μ = ξ + fν` and `ξ` is mutually singular with respect
to `ν`.
## Main definitions
* `MeasureTheory.SignedMeasure.HaveLebesgueDecomposition` : A signed measure `s` and a
measure `μ` is said to `HaveLebesgueDecomposition` if both the positive part and negative
part of `s` `HaveLebesgueDecomposition` with respect to `μ`.
* `MeasureTheory.SignedMeasure.singularPart` : The singular part between a signed measure `s`
and a measure `μ` is simply the singular part of the positive part of `s` with respect to `μ`
minus the singular part of the negative part of `s` with respect to `μ`.
* `MeasureTheory.SignedMeasure.rnDeriv` : The Radon-Nikodym derivative of a signed
measure `s` with respect to a measure `μ` is the Radon-Nikodym derivative of the positive part of
`s` with respect to `μ` minus the Radon-Nikodym derivative of the negative part of `s` with
respect to `μ`.
## Main results
* `MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq` :
the Lebesgue decomposition theorem between a signed measure and a σ-finite positive measure.
## Tags
Lebesgue decomposition theorem
-/
noncomputable section
open scoped Classical MeasureTheory NNReal ENNReal
open Set
variable {α β : Type*} {m : MeasurableSpace α} {μ ν : MeasureTheory.Measure α}
namespace MeasureTheory
namespace SignedMeasure
open Measure
/-- A signed measure `s` is said to `HaveLebesgueDecomposition` with respect to a measure `μ`
if the positive part and the negative part of `s` both `HaveLebesgueDecomposition` with
respect to `μ`. -/
class HaveLebesgueDecomposition (s : SignedMeasure α) (μ : Measure α) : Prop where
posPart : s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ
negPart : s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ
#align measure_theory.signed_measure.have_lebesgue_decomposition MeasureTheory.SignedMeasure.HaveLebesgueDecomposition
#align measure_theory.signed_measure.have_lebesgue_decomposition.pos_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.posPart
#align measure_theory.signed_measure.have_lebesgue_decomposition.neg_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.negPart
attribute [instance] HaveLebesgueDecomposition.posPart
attribute [instance] HaveLebesgueDecomposition.negPart
theorem not_haveLebesgueDecomposition_iff (s : SignedMeasure α) (μ : Measure α) :
¬s.HaveLebesgueDecomposition μ ↔
¬s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ ∨
¬s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ :=
⟨fun h => not_or_of_imp fun hp hn => h ⟨hp, hn⟩, fun h hl => (not_and_or.2 h) ⟨hl.1, hl.2⟩⟩
#align measure_theory.signed_measure.not_have_lebesgue_decomposition_iff MeasureTheory.SignedMeasure.not_haveLebesgueDecomposition_iff
-- `infer_instance` directly does not work
-- see Note [lower instance priority]
instance (priority := 100) haveLebesgueDecomposition_of_sigmaFinite (s : SignedMeasure α)
(μ : Measure α) [SigmaFinite μ] : s.HaveLebesgueDecomposition μ where
posPart := inferInstance
negPart := inferInstance
#align measure_theory.signed_measure.have_lebesgue_decomposition_of_sigma_finite MeasureTheory.SignedMeasure.haveLebesgueDecomposition_of_sigmaFinite
instance haveLebesgueDecomposition_neg (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] : (-s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_neg MeasureTheory.SignedMeasure.haveLebesgueDecomposition_neg
instance haveLebesgueDecomposition_smul (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ≥0) : (r • s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul
instance haveLebesgueDecomposition_smul_real (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ) : (r • s).HaveLebesgueDecomposition μ := by
by_cases hr : 0 ≤ r
· lift r to ℝ≥0 using hr
exact s.haveLebesgueDecomposition_smul μ _
· rw [not_le] at hr
refine'
{ posPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_posPart_neg _ _ hr]
infer_instance
negPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_negPart_neg _ _ hr]
infer_instance }
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul_real MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul_real
/-- Given a signed measure `s` and a measure `μ`, `s.singularPart μ` is the signed measure
such that `s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s` and
`s.singularPart μ` is mutually singular with respect to `μ`. -/
def singularPart (s : SignedMeasure α) (μ : Measure α) : SignedMeasure α :=
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure -
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure
#align measure_theory.signed_measure.singular_part MeasureTheory.SignedMeasure.singularPart
section
theorem singularPart_mutuallySingular (s : SignedMeasure α) (μ : Measure α) :
s.toJordanDecomposition.posPart.singularPart μ ⟂ₘ
s.toJordanDecomposition.negPart.singularPart μ := by
by_cases hl : s.HaveLebesgueDecomposition μ
· obtain ⟨i, hi, hpos, hneg⟩ := s.toJordanDecomposition.mutuallySingular
rw [s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ] at hpos
rw [s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ] at hneg
rw [add_apply, add_eq_zero_iff] at hpos hneg
exact ⟨i, hi, hpos.1, hneg.1⟩
· rw [not_haveLebesgueDecomposition_iff] at hl
cases' hl with hp hn
· rw [Measure.singularPart, dif_neg hp]
exact MutuallySingular.zero_left
· rw [Measure.singularPart, Measure.singularPart, dif_neg hn]
exact MutuallySingular.zero_right
#align measure_theory.signed_measure.singular_part_mutually_singular MeasureTheory.SignedMeasure.singularPart_mutuallySingular
theorem singularPart_totalVariation (s : SignedMeasure α) (μ : Measure α) :
(s.singularPart μ).totalVariation =
s.toJordanDecomposition.posPart.singularPart μ +
s.toJordanDecomposition.negPart.singularPart μ := by
have :
(s.singularPart μ).toJordanDecomposition =
⟨s.toJordanDecomposition.posPart.singularPart μ,
s.toJordanDecomposition.negPart.singularPart μ, singularPart_mutuallySingular s μ⟩ := by
refine' JordanDecomposition.toSignedMeasure_injective _
rw [toSignedMeasure_toJordanDecomposition, singularPart, JordanDecomposition.toSignedMeasure]
· rw [totalVariation, this]
#align measure_theory.signed_measure.singular_part_total_variation MeasureTheory.SignedMeasure.singularPart_totalVariation
nonrec theorem mutuallySingular_singularPart (s : SignedMeasure α) (μ : Measure α) :
singularPart s μ ⟂ᵥ μ.toENNRealVectorMeasure := by
rw [mutuallySingular_ennreal_iff, singularPart_totalVariation,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure]
exact (mutuallySingular_singularPart _ _).add_left (mutuallySingular_singularPart _ _)
#align measure_theory.signed_measure.mutually_singular_singular_part MeasureTheory.SignedMeasure.mutuallySingular_singularPart
end
/-- The Radon-Nikodym derivative between a signed measure and a positive measure.
`rnDeriv s μ` satisfies `μ.withDensityᵥ (s.rnDeriv μ) = s`
if and only if `s` is absolutely continuous with respect to `μ` and this fact is known as
`MeasureTheory.SignedMeasure.absolutelyContinuous_iff_withDensity_rnDeriv_eq`
and can be found in `MeasureTheory.Decomposition.RadonNikodym`. -/
def rnDeriv (s : SignedMeasure α) (μ : Measure α) : α → ℝ := fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal
#align measure_theory.signed_measure.rn_deriv MeasureTheory.SignedMeasure.rnDeriv
-- Porting note: The generated equation theorem is the form of `rnDeriv s μ x`.
theorem rnDeriv_def (s : SignedMeasure α) (μ : Measure α) : rnDeriv s μ = fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal :=
rfl
attribute [eqns rnDeriv_def] rnDeriv
variable {s t : SignedMeasure α}
@[measurability]
theorem measurable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Measurable (rnDeriv s μ) := by
rw [rnDeriv]
measurability
#align measure_theory.signed_measure.measurable_rn_deriv MeasureTheory.SignedMeasure.measurable_rnDeriv
theorem integrable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Integrable (rnDeriv s μ) μ := by
refine' Integrable.sub _ _ <;>
· constructor
· apply Measurable.aestronglyMeasurable; measurability
exact hasFiniteIntegral_toReal_of_lintegral_ne_top (lintegral_rnDeriv_lt_top _ μ).ne
#align measure_theory.signed_measure.integrable_rn_deriv MeasureTheory.SignedMeasure.integrable_rnDeriv
variable (s μ)
/-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
first
| exact (lintegral_rnDeriv_lt_top _ _).ne
| measurability
#align measure_theory.signed_measure.singular_part_add_with_density_rn_deriv_eq MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq
variable {s μ}
theorem jordanDecomposition_add_withDensity_mutuallySingular {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) :
(t.toJordanDecomposition.posPart + μ.withDensity fun x : α => ENNReal.ofReal (f x)) ⟂ₘ
t.toJordanDecomposition.negPart + μ.withDensity fun x : α => ENNReal.ofReal (-f x) := by
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
exact
((JordanDecomposition.mutuallySingular _).add_right
(htμ.1.mono_ac (refl _) (withDensity_absolutelyContinuous _ _))).add_left
((htμ.2.symm.mono_ac (withDensity_absolutelyContinuous _ _) (refl _)).add_right
(withDensity_ofReal_mutuallySingular hf))
#align measure_theory.signed_measure.jordan_decomposition_add_with_density_mutually_singular MeasureTheory.SignedMeasure.jordanDecomposition_add_withDensity_mutuallySingular
theorem toJordanDecomposition_eq_of_eq_add_withDensity {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.toJordanDecomposition =
@JordanDecomposition.mk α _
(t.toJordanDecomposition.posPart + μ.withDensity fun x => ENNReal.ofReal (f x))
(t.toJordanDecomposition.negPart + μ.withDensity fun x => ENNReal.ofReal (-f x))
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.2; infer_instance)
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2; infer_instance)
(jordanDecomposition_add_withDensity_mutuallySingular hf htμ) := by
haveI := isFiniteMeasure_withDensity_ofReal hfi.2
haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2
refine' toJordanDecomposition_eq _
simp_rw [JordanDecomposition.toSignedMeasure, hadd]
ext i hi
rw [VectorMeasure.sub_apply, toSignedMeasure_apply_measurable hi,
toSignedMeasure_apply_measurable hi, add_apply, add_apply, ENNReal.toReal_add,
ENNReal.toReal_add, add_sub_add_comm, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi, ← VectorMeasure.sub_apply,
← JordanDecomposition.toSignedMeasure, toSignedMeasure_toJordanDecomposition,
VectorMeasure.add_apply, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi,
withDensityᵥ_eq_withDensity_pos_part_sub_withDensity_neg_part hfi,
VectorMeasure.sub_apply] <;>
exact (measure_lt_top _ _).ne
#align measure_theory.signed_measure.to_jordan_decomposition_eq_of_eq_add_with_density MeasureTheory.SignedMeasure.toJordanDecomposition_eq_of_eq_add_withDensity
private theorem haveLebesgueDecomposition_mk' (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff] at htμ
change _ ⟂ₘ VectorMeasure.equivMeasure.toFun (VectorMeasure.equivMeasure.invFun μ) at htμ
rw [VectorMeasure.equivMeasure.right_inv, totalVariation_mutuallySingular_iff] at htμ
refine'
{ posPart := by
use ⟨t.toJordanDecomposition.posPart, fun x => ENNReal.ofReal (f x)⟩
refine' ⟨hf.ennreal_ofReal, htμ.1, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
negPart := by
use ⟨t.toJordanDecomposition.negPart, fun x => ENNReal.ofReal (-f x)⟩
refine' ⟨hf.neg.ennreal_ofReal, htμ.2, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd] }
theorem haveLebesgueDecomposition_mk (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
by_cases hfi : Integrable f μ
· exact haveLebesgueDecomposition_mk' μ hf hfi htμ hadd
· rw [withDensityᵥ, dif_neg hfi, add_zero] at hadd
refine' haveLebesgueDecomposition_mk' μ measurable_zero (integrable_zero _ _ μ) htμ _
rwa [withDensityᵥ_zero, add_zero]
#align measure_theory.signed_measure.have_lebesgue_decomposition_mk MeasureTheory.SignedMeasure.haveLebesgueDecomposition_mk
private theorem eq_singularPart' (t : SignedMeasure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
t = s.singularPart μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
rw [singularPart, ← t.toSignedMeasure_toJordanDecomposition,
JordanDecomposition.toSignedMeasure]
congr
· have hfpos : Measurable fun x => ENNReal.ofReal (f x) := by measurability
refine' eq_singularPart hfpos htμ.1 _
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
· have hfneg : Measurable fun x => ENNReal.ofReal (-f x) := by measurability
refine' eq_singularPart hfneg htμ.2 _
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
/-- Given a measure `μ`, signed measures `s` and `t`, and a function `f` such that `t` is
mutually singular with respect to `μ` and `s = t + μ.withDensityᵥ f`, we have
`t = singularPart s μ`, i.e. `t` is the singular part of the Lebesgue decomposition between
`s` and `μ`. -/
theorem eq_singularPart (t : SignedMeasure α) (f : α → ℝ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure)
(hadd : s = t + μ.withDensityᵥ f) : t = s.singularPart μ := by
by_cases hfi : Integrable f μ
· refine' eq_singularPart' t hfi.1.measurable_mk (hfi.congr hfi.1.ae_eq_mk) htμ _
convert hadd using 2
exact WithDensityᵥEq.congr_ae hfi.1.ae_eq_mk.symm
· | rw [withDensityᵥ, dif_neg hfi, add_zero] at hadd | /-- Given a measure `μ`, signed measures `s` and `t`, and a function `f` such that `t` is
mutually singular with respect to `μ` and `s = t + μ.withDensityᵥ f`, we have
`t = singularPart s μ`, i.e. `t` is the singular part of the Lebesgue decomposition between
`s` and `μ`. -/
theorem eq_singularPart (t : SignedMeasure α) (f : α → ℝ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure)
(hadd : s = t + μ.withDensityᵥ f) : t = s.singularPart μ := by
by_cases hfi : Integrable f μ
· refine' eq_singularPart' t hfi.1.measurable_mk (hfi.congr hfi.1.ae_eq_mk) htμ _
convert hadd using 2
exact WithDensityᵥEq.congr_ae hfi.1.ae_eq_mk.symm
· | Mathlib.MeasureTheory.Decomposition.SignedLebesgue.317_0.HPGboz0rhL6sBes | /-- Given a measure `μ`, signed measures `s` and `t`, and a function `f` such that `t` is
mutually singular with respect to `μ` and `s = t + μ.withDensityᵥ f`, we have
`t = singularPart s μ`, i.e. `t` is the singular part of the Lebesgue decomposition between
`s` and `μ`. -/
theorem eq_singularPart (t : SignedMeasure α) (f : α → ℝ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure)
(hadd : s = t + μ.withDensityᵥ f) : t = s.singularPart μ | Mathlib_MeasureTheory_Decomposition_SignedLebesgue |
case neg
α : Type u_1
β : Type u_2
m : MeasurableSpace α
μ ν : Measure α
s t✝ t : SignedMeasure α
f : α → ℝ
htμ : t ⟂ᵥ toENNRealVectorMeasure μ
hadd : s = t
hfi : ¬Integrable f
⊢ t = singularPart s μ | /-
Copyright (c) 2021 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.MeasureTheory.Decomposition.Lebesgue
import Mathlib.MeasureTheory.Measure.Complex
/-!
# Lebesgue decomposition
This file proves the Lebesgue decomposition theorem for signed measures. The Lebesgue decomposition
theorem states that, given two σ-finite measures `μ` and `ν`, there exists a σ-finite measure `ξ`
and a measurable function `f` such that `μ = ξ + fν` and `ξ` is mutually singular with respect
to `ν`.
## Main definitions
* `MeasureTheory.SignedMeasure.HaveLebesgueDecomposition` : A signed measure `s` and a
measure `μ` is said to `HaveLebesgueDecomposition` if both the positive part and negative
part of `s` `HaveLebesgueDecomposition` with respect to `μ`.
* `MeasureTheory.SignedMeasure.singularPart` : The singular part between a signed measure `s`
and a measure `μ` is simply the singular part of the positive part of `s` with respect to `μ`
minus the singular part of the negative part of `s` with respect to `μ`.
* `MeasureTheory.SignedMeasure.rnDeriv` : The Radon-Nikodym derivative of a signed
measure `s` with respect to a measure `μ` is the Radon-Nikodym derivative of the positive part of
`s` with respect to `μ` minus the Radon-Nikodym derivative of the negative part of `s` with
respect to `μ`.
## Main results
* `MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq` :
the Lebesgue decomposition theorem between a signed measure and a σ-finite positive measure.
## Tags
Lebesgue decomposition theorem
-/
noncomputable section
open scoped Classical MeasureTheory NNReal ENNReal
open Set
variable {α β : Type*} {m : MeasurableSpace α} {μ ν : MeasureTheory.Measure α}
namespace MeasureTheory
namespace SignedMeasure
open Measure
/-- A signed measure `s` is said to `HaveLebesgueDecomposition` with respect to a measure `μ`
if the positive part and the negative part of `s` both `HaveLebesgueDecomposition` with
respect to `μ`. -/
class HaveLebesgueDecomposition (s : SignedMeasure α) (μ : Measure α) : Prop where
posPart : s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ
negPart : s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ
#align measure_theory.signed_measure.have_lebesgue_decomposition MeasureTheory.SignedMeasure.HaveLebesgueDecomposition
#align measure_theory.signed_measure.have_lebesgue_decomposition.pos_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.posPart
#align measure_theory.signed_measure.have_lebesgue_decomposition.neg_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.negPart
attribute [instance] HaveLebesgueDecomposition.posPart
attribute [instance] HaveLebesgueDecomposition.negPart
theorem not_haveLebesgueDecomposition_iff (s : SignedMeasure α) (μ : Measure α) :
¬s.HaveLebesgueDecomposition μ ↔
¬s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ ∨
¬s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ :=
⟨fun h => not_or_of_imp fun hp hn => h ⟨hp, hn⟩, fun h hl => (not_and_or.2 h) ⟨hl.1, hl.2⟩⟩
#align measure_theory.signed_measure.not_have_lebesgue_decomposition_iff MeasureTheory.SignedMeasure.not_haveLebesgueDecomposition_iff
-- `infer_instance` directly does not work
-- see Note [lower instance priority]
instance (priority := 100) haveLebesgueDecomposition_of_sigmaFinite (s : SignedMeasure α)
(μ : Measure α) [SigmaFinite μ] : s.HaveLebesgueDecomposition μ where
posPart := inferInstance
negPart := inferInstance
#align measure_theory.signed_measure.have_lebesgue_decomposition_of_sigma_finite MeasureTheory.SignedMeasure.haveLebesgueDecomposition_of_sigmaFinite
instance haveLebesgueDecomposition_neg (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] : (-s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_neg MeasureTheory.SignedMeasure.haveLebesgueDecomposition_neg
instance haveLebesgueDecomposition_smul (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ≥0) : (r • s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul
instance haveLebesgueDecomposition_smul_real (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ) : (r • s).HaveLebesgueDecomposition μ := by
by_cases hr : 0 ≤ r
· lift r to ℝ≥0 using hr
exact s.haveLebesgueDecomposition_smul μ _
· rw [not_le] at hr
refine'
{ posPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_posPart_neg _ _ hr]
infer_instance
negPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_negPart_neg _ _ hr]
infer_instance }
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul_real MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul_real
/-- Given a signed measure `s` and a measure `μ`, `s.singularPart μ` is the signed measure
such that `s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s` and
`s.singularPart μ` is mutually singular with respect to `μ`. -/
def singularPart (s : SignedMeasure α) (μ : Measure α) : SignedMeasure α :=
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure -
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure
#align measure_theory.signed_measure.singular_part MeasureTheory.SignedMeasure.singularPart
section
theorem singularPart_mutuallySingular (s : SignedMeasure α) (μ : Measure α) :
s.toJordanDecomposition.posPart.singularPart μ ⟂ₘ
s.toJordanDecomposition.negPart.singularPart μ := by
by_cases hl : s.HaveLebesgueDecomposition μ
· obtain ⟨i, hi, hpos, hneg⟩ := s.toJordanDecomposition.mutuallySingular
rw [s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ] at hpos
rw [s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ] at hneg
rw [add_apply, add_eq_zero_iff] at hpos hneg
exact ⟨i, hi, hpos.1, hneg.1⟩
· rw [not_haveLebesgueDecomposition_iff] at hl
cases' hl with hp hn
· rw [Measure.singularPart, dif_neg hp]
exact MutuallySingular.zero_left
· rw [Measure.singularPart, Measure.singularPart, dif_neg hn]
exact MutuallySingular.zero_right
#align measure_theory.signed_measure.singular_part_mutually_singular MeasureTheory.SignedMeasure.singularPart_mutuallySingular
theorem singularPart_totalVariation (s : SignedMeasure α) (μ : Measure α) :
(s.singularPart μ).totalVariation =
s.toJordanDecomposition.posPart.singularPart μ +
s.toJordanDecomposition.negPart.singularPart μ := by
have :
(s.singularPart μ).toJordanDecomposition =
⟨s.toJordanDecomposition.posPart.singularPart μ,
s.toJordanDecomposition.negPart.singularPart μ, singularPart_mutuallySingular s μ⟩ := by
refine' JordanDecomposition.toSignedMeasure_injective _
rw [toSignedMeasure_toJordanDecomposition, singularPart, JordanDecomposition.toSignedMeasure]
· rw [totalVariation, this]
#align measure_theory.signed_measure.singular_part_total_variation MeasureTheory.SignedMeasure.singularPart_totalVariation
nonrec theorem mutuallySingular_singularPart (s : SignedMeasure α) (μ : Measure α) :
singularPart s μ ⟂ᵥ μ.toENNRealVectorMeasure := by
rw [mutuallySingular_ennreal_iff, singularPart_totalVariation,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure]
exact (mutuallySingular_singularPart _ _).add_left (mutuallySingular_singularPart _ _)
#align measure_theory.signed_measure.mutually_singular_singular_part MeasureTheory.SignedMeasure.mutuallySingular_singularPart
end
/-- The Radon-Nikodym derivative between a signed measure and a positive measure.
`rnDeriv s μ` satisfies `μ.withDensityᵥ (s.rnDeriv μ) = s`
if and only if `s` is absolutely continuous with respect to `μ` and this fact is known as
`MeasureTheory.SignedMeasure.absolutelyContinuous_iff_withDensity_rnDeriv_eq`
and can be found in `MeasureTheory.Decomposition.RadonNikodym`. -/
def rnDeriv (s : SignedMeasure α) (μ : Measure α) : α → ℝ := fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal
#align measure_theory.signed_measure.rn_deriv MeasureTheory.SignedMeasure.rnDeriv
-- Porting note: The generated equation theorem is the form of `rnDeriv s μ x`.
theorem rnDeriv_def (s : SignedMeasure α) (μ : Measure α) : rnDeriv s μ = fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal :=
rfl
attribute [eqns rnDeriv_def] rnDeriv
variable {s t : SignedMeasure α}
@[measurability]
theorem measurable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Measurable (rnDeriv s μ) := by
rw [rnDeriv]
measurability
#align measure_theory.signed_measure.measurable_rn_deriv MeasureTheory.SignedMeasure.measurable_rnDeriv
theorem integrable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Integrable (rnDeriv s μ) μ := by
refine' Integrable.sub _ _ <;>
· constructor
· apply Measurable.aestronglyMeasurable; measurability
exact hasFiniteIntegral_toReal_of_lintegral_ne_top (lintegral_rnDeriv_lt_top _ μ).ne
#align measure_theory.signed_measure.integrable_rn_deriv MeasureTheory.SignedMeasure.integrable_rnDeriv
variable (s μ)
/-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
first
| exact (lintegral_rnDeriv_lt_top _ _).ne
| measurability
#align measure_theory.signed_measure.singular_part_add_with_density_rn_deriv_eq MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq
variable {s μ}
theorem jordanDecomposition_add_withDensity_mutuallySingular {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) :
(t.toJordanDecomposition.posPart + μ.withDensity fun x : α => ENNReal.ofReal (f x)) ⟂ₘ
t.toJordanDecomposition.negPart + μ.withDensity fun x : α => ENNReal.ofReal (-f x) := by
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
exact
((JordanDecomposition.mutuallySingular _).add_right
(htμ.1.mono_ac (refl _) (withDensity_absolutelyContinuous _ _))).add_left
((htμ.2.symm.mono_ac (withDensity_absolutelyContinuous _ _) (refl _)).add_right
(withDensity_ofReal_mutuallySingular hf))
#align measure_theory.signed_measure.jordan_decomposition_add_with_density_mutually_singular MeasureTheory.SignedMeasure.jordanDecomposition_add_withDensity_mutuallySingular
theorem toJordanDecomposition_eq_of_eq_add_withDensity {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.toJordanDecomposition =
@JordanDecomposition.mk α _
(t.toJordanDecomposition.posPart + μ.withDensity fun x => ENNReal.ofReal (f x))
(t.toJordanDecomposition.negPart + μ.withDensity fun x => ENNReal.ofReal (-f x))
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.2; infer_instance)
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2; infer_instance)
(jordanDecomposition_add_withDensity_mutuallySingular hf htμ) := by
haveI := isFiniteMeasure_withDensity_ofReal hfi.2
haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2
refine' toJordanDecomposition_eq _
simp_rw [JordanDecomposition.toSignedMeasure, hadd]
ext i hi
rw [VectorMeasure.sub_apply, toSignedMeasure_apply_measurable hi,
toSignedMeasure_apply_measurable hi, add_apply, add_apply, ENNReal.toReal_add,
ENNReal.toReal_add, add_sub_add_comm, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi, ← VectorMeasure.sub_apply,
← JordanDecomposition.toSignedMeasure, toSignedMeasure_toJordanDecomposition,
VectorMeasure.add_apply, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi,
withDensityᵥ_eq_withDensity_pos_part_sub_withDensity_neg_part hfi,
VectorMeasure.sub_apply] <;>
exact (measure_lt_top _ _).ne
#align measure_theory.signed_measure.to_jordan_decomposition_eq_of_eq_add_with_density MeasureTheory.SignedMeasure.toJordanDecomposition_eq_of_eq_add_withDensity
private theorem haveLebesgueDecomposition_mk' (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff] at htμ
change _ ⟂ₘ VectorMeasure.equivMeasure.toFun (VectorMeasure.equivMeasure.invFun μ) at htμ
rw [VectorMeasure.equivMeasure.right_inv, totalVariation_mutuallySingular_iff] at htμ
refine'
{ posPart := by
use ⟨t.toJordanDecomposition.posPart, fun x => ENNReal.ofReal (f x)⟩
refine' ⟨hf.ennreal_ofReal, htμ.1, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
negPart := by
use ⟨t.toJordanDecomposition.negPart, fun x => ENNReal.ofReal (-f x)⟩
refine' ⟨hf.neg.ennreal_ofReal, htμ.2, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd] }
theorem haveLebesgueDecomposition_mk (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
by_cases hfi : Integrable f μ
· exact haveLebesgueDecomposition_mk' μ hf hfi htμ hadd
· rw [withDensityᵥ, dif_neg hfi, add_zero] at hadd
refine' haveLebesgueDecomposition_mk' μ measurable_zero (integrable_zero _ _ μ) htμ _
rwa [withDensityᵥ_zero, add_zero]
#align measure_theory.signed_measure.have_lebesgue_decomposition_mk MeasureTheory.SignedMeasure.haveLebesgueDecomposition_mk
private theorem eq_singularPart' (t : SignedMeasure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
t = s.singularPart μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
rw [singularPart, ← t.toSignedMeasure_toJordanDecomposition,
JordanDecomposition.toSignedMeasure]
congr
· have hfpos : Measurable fun x => ENNReal.ofReal (f x) := by measurability
refine' eq_singularPart hfpos htμ.1 _
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
· have hfneg : Measurable fun x => ENNReal.ofReal (-f x) := by measurability
refine' eq_singularPart hfneg htμ.2 _
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
/-- Given a measure `μ`, signed measures `s` and `t`, and a function `f` such that `t` is
mutually singular with respect to `μ` and `s = t + μ.withDensityᵥ f`, we have
`t = singularPart s μ`, i.e. `t` is the singular part of the Lebesgue decomposition between
`s` and `μ`. -/
theorem eq_singularPart (t : SignedMeasure α) (f : α → ℝ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure)
(hadd : s = t + μ.withDensityᵥ f) : t = s.singularPart μ := by
by_cases hfi : Integrable f μ
· refine' eq_singularPart' t hfi.1.measurable_mk (hfi.congr hfi.1.ae_eq_mk) htμ _
convert hadd using 2
exact WithDensityᵥEq.congr_ae hfi.1.ae_eq_mk.symm
· rw [withDensityᵥ, dif_neg hfi, add_zero] at hadd
| refine' eq_singularPart' t measurable_zero (integrable_zero _ _ μ) htμ _ | /-- Given a measure `μ`, signed measures `s` and `t`, and a function `f` such that `t` is
mutually singular with respect to `μ` and `s = t + μ.withDensityᵥ f`, we have
`t = singularPart s μ`, i.e. `t` is the singular part of the Lebesgue decomposition between
`s` and `μ`. -/
theorem eq_singularPart (t : SignedMeasure α) (f : α → ℝ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure)
(hadd : s = t + μ.withDensityᵥ f) : t = s.singularPart μ := by
by_cases hfi : Integrable f μ
· refine' eq_singularPart' t hfi.1.measurable_mk (hfi.congr hfi.1.ae_eq_mk) htμ _
convert hadd using 2
exact WithDensityᵥEq.congr_ae hfi.1.ae_eq_mk.symm
· rw [withDensityᵥ, dif_neg hfi, add_zero] at hadd
| Mathlib.MeasureTheory.Decomposition.SignedLebesgue.317_0.HPGboz0rhL6sBes | /-- Given a measure `μ`, signed measures `s` and `t`, and a function `f` such that `t` is
mutually singular with respect to `μ` and `s = t + μ.withDensityᵥ f`, we have
`t = singularPart s μ`, i.e. `t` is the singular part of the Lebesgue decomposition between
`s` and `μ`. -/
theorem eq_singularPart (t : SignedMeasure α) (f : α → ℝ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure)
(hadd : s = t + μ.withDensityᵥ f) : t = s.singularPart μ | Mathlib_MeasureTheory_Decomposition_SignedLebesgue |
case neg
α : Type u_1
β : Type u_2
m : MeasurableSpace α
μ ν : Measure α
s t✝ t : SignedMeasure α
f : α → ℝ
htμ : t ⟂ᵥ toENNRealVectorMeasure μ
hadd : s = t
hfi : ¬Integrable f
⊢ s = t + withDensityᵥ μ 0 | /-
Copyright (c) 2021 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.MeasureTheory.Decomposition.Lebesgue
import Mathlib.MeasureTheory.Measure.Complex
/-!
# Lebesgue decomposition
This file proves the Lebesgue decomposition theorem for signed measures. The Lebesgue decomposition
theorem states that, given two σ-finite measures `μ` and `ν`, there exists a σ-finite measure `ξ`
and a measurable function `f` such that `μ = ξ + fν` and `ξ` is mutually singular with respect
to `ν`.
## Main definitions
* `MeasureTheory.SignedMeasure.HaveLebesgueDecomposition` : A signed measure `s` and a
measure `μ` is said to `HaveLebesgueDecomposition` if both the positive part and negative
part of `s` `HaveLebesgueDecomposition` with respect to `μ`.
* `MeasureTheory.SignedMeasure.singularPart` : The singular part between a signed measure `s`
and a measure `μ` is simply the singular part of the positive part of `s` with respect to `μ`
minus the singular part of the negative part of `s` with respect to `μ`.
* `MeasureTheory.SignedMeasure.rnDeriv` : The Radon-Nikodym derivative of a signed
measure `s` with respect to a measure `μ` is the Radon-Nikodym derivative of the positive part of
`s` with respect to `μ` minus the Radon-Nikodym derivative of the negative part of `s` with
respect to `μ`.
## Main results
* `MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq` :
the Lebesgue decomposition theorem between a signed measure and a σ-finite positive measure.
## Tags
Lebesgue decomposition theorem
-/
noncomputable section
open scoped Classical MeasureTheory NNReal ENNReal
open Set
variable {α β : Type*} {m : MeasurableSpace α} {μ ν : MeasureTheory.Measure α}
namespace MeasureTheory
namespace SignedMeasure
open Measure
/-- A signed measure `s` is said to `HaveLebesgueDecomposition` with respect to a measure `μ`
if the positive part and the negative part of `s` both `HaveLebesgueDecomposition` with
respect to `μ`. -/
class HaveLebesgueDecomposition (s : SignedMeasure α) (μ : Measure α) : Prop where
posPart : s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ
negPart : s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ
#align measure_theory.signed_measure.have_lebesgue_decomposition MeasureTheory.SignedMeasure.HaveLebesgueDecomposition
#align measure_theory.signed_measure.have_lebesgue_decomposition.pos_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.posPart
#align measure_theory.signed_measure.have_lebesgue_decomposition.neg_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.negPart
attribute [instance] HaveLebesgueDecomposition.posPart
attribute [instance] HaveLebesgueDecomposition.negPart
theorem not_haveLebesgueDecomposition_iff (s : SignedMeasure α) (μ : Measure α) :
¬s.HaveLebesgueDecomposition μ ↔
¬s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ ∨
¬s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ :=
⟨fun h => not_or_of_imp fun hp hn => h ⟨hp, hn⟩, fun h hl => (not_and_or.2 h) ⟨hl.1, hl.2⟩⟩
#align measure_theory.signed_measure.not_have_lebesgue_decomposition_iff MeasureTheory.SignedMeasure.not_haveLebesgueDecomposition_iff
-- `infer_instance` directly does not work
-- see Note [lower instance priority]
instance (priority := 100) haveLebesgueDecomposition_of_sigmaFinite (s : SignedMeasure α)
(μ : Measure α) [SigmaFinite μ] : s.HaveLebesgueDecomposition μ where
posPart := inferInstance
negPart := inferInstance
#align measure_theory.signed_measure.have_lebesgue_decomposition_of_sigma_finite MeasureTheory.SignedMeasure.haveLebesgueDecomposition_of_sigmaFinite
instance haveLebesgueDecomposition_neg (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] : (-s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_neg MeasureTheory.SignedMeasure.haveLebesgueDecomposition_neg
instance haveLebesgueDecomposition_smul (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ≥0) : (r • s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul
instance haveLebesgueDecomposition_smul_real (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ) : (r • s).HaveLebesgueDecomposition μ := by
by_cases hr : 0 ≤ r
· lift r to ℝ≥0 using hr
exact s.haveLebesgueDecomposition_smul μ _
· rw [not_le] at hr
refine'
{ posPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_posPart_neg _ _ hr]
infer_instance
negPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_negPart_neg _ _ hr]
infer_instance }
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul_real MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul_real
/-- Given a signed measure `s` and a measure `μ`, `s.singularPart μ` is the signed measure
such that `s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s` and
`s.singularPart μ` is mutually singular with respect to `μ`. -/
def singularPart (s : SignedMeasure α) (μ : Measure α) : SignedMeasure α :=
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure -
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure
#align measure_theory.signed_measure.singular_part MeasureTheory.SignedMeasure.singularPart
section
theorem singularPart_mutuallySingular (s : SignedMeasure α) (μ : Measure α) :
s.toJordanDecomposition.posPart.singularPart μ ⟂ₘ
s.toJordanDecomposition.negPart.singularPart μ := by
by_cases hl : s.HaveLebesgueDecomposition μ
· obtain ⟨i, hi, hpos, hneg⟩ := s.toJordanDecomposition.mutuallySingular
rw [s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ] at hpos
rw [s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ] at hneg
rw [add_apply, add_eq_zero_iff] at hpos hneg
exact ⟨i, hi, hpos.1, hneg.1⟩
· rw [not_haveLebesgueDecomposition_iff] at hl
cases' hl with hp hn
· rw [Measure.singularPart, dif_neg hp]
exact MutuallySingular.zero_left
· rw [Measure.singularPart, Measure.singularPart, dif_neg hn]
exact MutuallySingular.zero_right
#align measure_theory.signed_measure.singular_part_mutually_singular MeasureTheory.SignedMeasure.singularPart_mutuallySingular
theorem singularPart_totalVariation (s : SignedMeasure α) (μ : Measure α) :
(s.singularPart μ).totalVariation =
s.toJordanDecomposition.posPart.singularPart μ +
s.toJordanDecomposition.negPart.singularPart μ := by
have :
(s.singularPart μ).toJordanDecomposition =
⟨s.toJordanDecomposition.posPart.singularPart μ,
s.toJordanDecomposition.negPart.singularPart μ, singularPart_mutuallySingular s μ⟩ := by
refine' JordanDecomposition.toSignedMeasure_injective _
rw [toSignedMeasure_toJordanDecomposition, singularPart, JordanDecomposition.toSignedMeasure]
· rw [totalVariation, this]
#align measure_theory.signed_measure.singular_part_total_variation MeasureTheory.SignedMeasure.singularPart_totalVariation
nonrec theorem mutuallySingular_singularPart (s : SignedMeasure α) (μ : Measure α) :
singularPart s μ ⟂ᵥ μ.toENNRealVectorMeasure := by
rw [mutuallySingular_ennreal_iff, singularPart_totalVariation,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure]
exact (mutuallySingular_singularPart _ _).add_left (mutuallySingular_singularPart _ _)
#align measure_theory.signed_measure.mutually_singular_singular_part MeasureTheory.SignedMeasure.mutuallySingular_singularPart
end
/-- The Radon-Nikodym derivative between a signed measure and a positive measure.
`rnDeriv s μ` satisfies `μ.withDensityᵥ (s.rnDeriv μ) = s`
if and only if `s` is absolutely continuous with respect to `μ` and this fact is known as
`MeasureTheory.SignedMeasure.absolutelyContinuous_iff_withDensity_rnDeriv_eq`
and can be found in `MeasureTheory.Decomposition.RadonNikodym`. -/
def rnDeriv (s : SignedMeasure α) (μ : Measure α) : α → ℝ := fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal
#align measure_theory.signed_measure.rn_deriv MeasureTheory.SignedMeasure.rnDeriv
-- Porting note: The generated equation theorem is the form of `rnDeriv s μ x`.
theorem rnDeriv_def (s : SignedMeasure α) (μ : Measure α) : rnDeriv s μ = fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal :=
rfl
attribute [eqns rnDeriv_def] rnDeriv
variable {s t : SignedMeasure α}
@[measurability]
theorem measurable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Measurable (rnDeriv s μ) := by
rw [rnDeriv]
measurability
#align measure_theory.signed_measure.measurable_rn_deriv MeasureTheory.SignedMeasure.measurable_rnDeriv
theorem integrable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Integrable (rnDeriv s μ) μ := by
refine' Integrable.sub _ _ <;>
· constructor
· apply Measurable.aestronglyMeasurable; measurability
exact hasFiniteIntegral_toReal_of_lintegral_ne_top (lintegral_rnDeriv_lt_top _ μ).ne
#align measure_theory.signed_measure.integrable_rn_deriv MeasureTheory.SignedMeasure.integrable_rnDeriv
variable (s μ)
/-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
first
| exact (lintegral_rnDeriv_lt_top _ _).ne
| measurability
#align measure_theory.signed_measure.singular_part_add_with_density_rn_deriv_eq MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq
variable {s μ}
theorem jordanDecomposition_add_withDensity_mutuallySingular {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) :
(t.toJordanDecomposition.posPart + μ.withDensity fun x : α => ENNReal.ofReal (f x)) ⟂ₘ
t.toJordanDecomposition.negPart + μ.withDensity fun x : α => ENNReal.ofReal (-f x) := by
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
exact
((JordanDecomposition.mutuallySingular _).add_right
(htμ.1.mono_ac (refl _) (withDensity_absolutelyContinuous _ _))).add_left
((htμ.2.symm.mono_ac (withDensity_absolutelyContinuous _ _) (refl _)).add_right
(withDensity_ofReal_mutuallySingular hf))
#align measure_theory.signed_measure.jordan_decomposition_add_with_density_mutually_singular MeasureTheory.SignedMeasure.jordanDecomposition_add_withDensity_mutuallySingular
theorem toJordanDecomposition_eq_of_eq_add_withDensity {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.toJordanDecomposition =
@JordanDecomposition.mk α _
(t.toJordanDecomposition.posPart + μ.withDensity fun x => ENNReal.ofReal (f x))
(t.toJordanDecomposition.negPart + μ.withDensity fun x => ENNReal.ofReal (-f x))
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.2; infer_instance)
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2; infer_instance)
(jordanDecomposition_add_withDensity_mutuallySingular hf htμ) := by
haveI := isFiniteMeasure_withDensity_ofReal hfi.2
haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2
refine' toJordanDecomposition_eq _
simp_rw [JordanDecomposition.toSignedMeasure, hadd]
ext i hi
rw [VectorMeasure.sub_apply, toSignedMeasure_apply_measurable hi,
toSignedMeasure_apply_measurable hi, add_apply, add_apply, ENNReal.toReal_add,
ENNReal.toReal_add, add_sub_add_comm, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi, ← VectorMeasure.sub_apply,
← JordanDecomposition.toSignedMeasure, toSignedMeasure_toJordanDecomposition,
VectorMeasure.add_apply, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi,
withDensityᵥ_eq_withDensity_pos_part_sub_withDensity_neg_part hfi,
VectorMeasure.sub_apply] <;>
exact (measure_lt_top _ _).ne
#align measure_theory.signed_measure.to_jordan_decomposition_eq_of_eq_add_with_density MeasureTheory.SignedMeasure.toJordanDecomposition_eq_of_eq_add_withDensity
private theorem haveLebesgueDecomposition_mk' (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff] at htμ
change _ ⟂ₘ VectorMeasure.equivMeasure.toFun (VectorMeasure.equivMeasure.invFun μ) at htμ
rw [VectorMeasure.equivMeasure.right_inv, totalVariation_mutuallySingular_iff] at htμ
refine'
{ posPart := by
use ⟨t.toJordanDecomposition.posPart, fun x => ENNReal.ofReal (f x)⟩
refine' ⟨hf.ennreal_ofReal, htμ.1, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
negPart := by
use ⟨t.toJordanDecomposition.negPart, fun x => ENNReal.ofReal (-f x)⟩
refine' ⟨hf.neg.ennreal_ofReal, htμ.2, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd] }
theorem haveLebesgueDecomposition_mk (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
by_cases hfi : Integrable f μ
· exact haveLebesgueDecomposition_mk' μ hf hfi htμ hadd
· rw [withDensityᵥ, dif_neg hfi, add_zero] at hadd
refine' haveLebesgueDecomposition_mk' μ measurable_zero (integrable_zero _ _ μ) htμ _
rwa [withDensityᵥ_zero, add_zero]
#align measure_theory.signed_measure.have_lebesgue_decomposition_mk MeasureTheory.SignedMeasure.haveLebesgueDecomposition_mk
private theorem eq_singularPart' (t : SignedMeasure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
t = s.singularPart μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
rw [singularPart, ← t.toSignedMeasure_toJordanDecomposition,
JordanDecomposition.toSignedMeasure]
congr
· have hfpos : Measurable fun x => ENNReal.ofReal (f x) := by measurability
refine' eq_singularPart hfpos htμ.1 _
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
· have hfneg : Measurable fun x => ENNReal.ofReal (-f x) := by measurability
refine' eq_singularPart hfneg htμ.2 _
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
/-- Given a measure `μ`, signed measures `s` and `t`, and a function `f` such that `t` is
mutually singular with respect to `μ` and `s = t + μ.withDensityᵥ f`, we have
`t = singularPart s μ`, i.e. `t` is the singular part of the Lebesgue decomposition between
`s` and `μ`. -/
theorem eq_singularPart (t : SignedMeasure α) (f : α → ℝ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure)
(hadd : s = t + μ.withDensityᵥ f) : t = s.singularPart μ := by
by_cases hfi : Integrable f μ
· refine' eq_singularPart' t hfi.1.measurable_mk (hfi.congr hfi.1.ae_eq_mk) htμ _
convert hadd using 2
exact WithDensityᵥEq.congr_ae hfi.1.ae_eq_mk.symm
· rw [withDensityᵥ, dif_neg hfi, add_zero] at hadd
refine' eq_singularPart' t measurable_zero (integrable_zero _ _ μ) htμ _
| rwa [withDensityᵥ_zero, add_zero] | /-- Given a measure `μ`, signed measures `s` and `t`, and a function `f` such that `t` is
mutually singular with respect to `μ` and `s = t + μ.withDensityᵥ f`, we have
`t = singularPart s μ`, i.e. `t` is the singular part of the Lebesgue decomposition between
`s` and `μ`. -/
theorem eq_singularPart (t : SignedMeasure α) (f : α → ℝ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure)
(hadd : s = t + μ.withDensityᵥ f) : t = s.singularPart μ := by
by_cases hfi : Integrable f μ
· refine' eq_singularPart' t hfi.1.measurable_mk (hfi.congr hfi.1.ae_eq_mk) htμ _
convert hadd using 2
exact WithDensityᵥEq.congr_ae hfi.1.ae_eq_mk.symm
· rw [withDensityᵥ, dif_neg hfi, add_zero] at hadd
refine' eq_singularPart' t measurable_zero (integrable_zero _ _ μ) htμ _
| Mathlib.MeasureTheory.Decomposition.SignedLebesgue.317_0.HPGboz0rhL6sBes | /-- Given a measure `μ`, signed measures `s` and `t`, and a function `f` such that `t` is
mutually singular with respect to `μ` and `s = t + μ.withDensityᵥ f`, we have
`t = singularPart s μ`, i.e. `t` is the singular part of the Lebesgue decomposition between
`s` and `μ`. -/
theorem eq_singularPart (t : SignedMeasure α) (f : α → ℝ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure)
(hadd : s = t + μ.withDensityᵥ f) : t = s.singularPart μ | Mathlib_MeasureTheory_Decomposition_SignedLebesgue |
α : Type u_1
β : Type u_2
m : MeasurableSpace α
μ✝ ν : Measure α
s t : SignedMeasure α
μ : Measure α
⊢ singularPart 0 μ = 0 | /-
Copyright (c) 2021 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.MeasureTheory.Decomposition.Lebesgue
import Mathlib.MeasureTheory.Measure.Complex
/-!
# Lebesgue decomposition
This file proves the Lebesgue decomposition theorem for signed measures. The Lebesgue decomposition
theorem states that, given two σ-finite measures `μ` and `ν`, there exists a σ-finite measure `ξ`
and a measurable function `f` such that `μ = ξ + fν` and `ξ` is mutually singular with respect
to `ν`.
## Main definitions
* `MeasureTheory.SignedMeasure.HaveLebesgueDecomposition` : A signed measure `s` and a
measure `μ` is said to `HaveLebesgueDecomposition` if both the positive part and negative
part of `s` `HaveLebesgueDecomposition` with respect to `μ`.
* `MeasureTheory.SignedMeasure.singularPart` : The singular part between a signed measure `s`
and a measure `μ` is simply the singular part of the positive part of `s` with respect to `μ`
minus the singular part of the negative part of `s` with respect to `μ`.
* `MeasureTheory.SignedMeasure.rnDeriv` : The Radon-Nikodym derivative of a signed
measure `s` with respect to a measure `μ` is the Radon-Nikodym derivative of the positive part of
`s` with respect to `μ` minus the Radon-Nikodym derivative of the negative part of `s` with
respect to `μ`.
## Main results
* `MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq` :
the Lebesgue decomposition theorem between a signed measure and a σ-finite positive measure.
## Tags
Lebesgue decomposition theorem
-/
noncomputable section
open scoped Classical MeasureTheory NNReal ENNReal
open Set
variable {α β : Type*} {m : MeasurableSpace α} {μ ν : MeasureTheory.Measure α}
namespace MeasureTheory
namespace SignedMeasure
open Measure
/-- A signed measure `s` is said to `HaveLebesgueDecomposition` with respect to a measure `μ`
if the positive part and the negative part of `s` both `HaveLebesgueDecomposition` with
respect to `μ`. -/
class HaveLebesgueDecomposition (s : SignedMeasure α) (μ : Measure α) : Prop where
posPart : s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ
negPart : s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ
#align measure_theory.signed_measure.have_lebesgue_decomposition MeasureTheory.SignedMeasure.HaveLebesgueDecomposition
#align measure_theory.signed_measure.have_lebesgue_decomposition.pos_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.posPart
#align measure_theory.signed_measure.have_lebesgue_decomposition.neg_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.negPart
attribute [instance] HaveLebesgueDecomposition.posPart
attribute [instance] HaveLebesgueDecomposition.negPart
theorem not_haveLebesgueDecomposition_iff (s : SignedMeasure α) (μ : Measure α) :
¬s.HaveLebesgueDecomposition μ ↔
¬s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ ∨
¬s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ :=
⟨fun h => not_or_of_imp fun hp hn => h ⟨hp, hn⟩, fun h hl => (not_and_or.2 h) ⟨hl.1, hl.2⟩⟩
#align measure_theory.signed_measure.not_have_lebesgue_decomposition_iff MeasureTheory.SignedMeasure.not_haveLebesgueDecomposition_iff
-- `infer_instance` directly does not work
-- see Note [lower instance priority]
instance (priority := 100) haveLebesgueDecomposition_of_sigmaFinite (s : SignedMeasure α)
(μ : Measure α) [SigmaFinite μ] : s.HaveLebesgueDecomposition μ where
posPart := inferInstance
negPart := inferInstance
#align measure_theory.signed_measure.have_lebesgue_decomposition_of_sigma_finite MeasureTheory.SignedMeasure.haveLebesgueDecomposition_of_sigmaFinite
instance haveLebesgueDecomposition_neg (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] : (-s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_neg MeasureTheory.SignedMeasure.haveLebesgueDecomposition_neg
instance haveLebesgueDecomposition_smul (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ≥0) : (r • s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul
instance haveLebesgueDecomposition_smul_real (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ) : (r • s).HaveLebesgueDecomposition μ := by
by_cases hr : 0 ≤ r
· lift r to ℝ≥0 using hr
exact s.haveLebesgueDecomposition_smul μ _
· rw [not_le] at hr
refine'
{ posPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_posPart_neg _ _ hr]
infer_instance
negPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_negPart_neg _ _ hr]
infer_instance }
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul_real MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul_real
/-- Given a signed measure `s` and a measure `μ`, `s.singularPart μ` is the signed measure
such that `s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s` and
`s.singularPart μ` is mutually singular with respect to `μ`. -/
def singularPart (s : SignedMeasure α) (μ : Measure α) : SignedMeasure α :=
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure -
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure
#align measure_theory.signed_measure.singular_part MeasureTheory.SignedMeasure.singularPart
section
theorem singularPart_mutuallySingular (s : SignedMeasure α) (μ : Measure α) :
s.toJordanDecomposition.posPart.singularPart μ ⟂ₘ
s.toJordanDecomposition.negPart.singularPart μ := by
by_cases hl : s.HaveLebesgueDecomposition μ
· obtain ⟨i, hi, hpos, hneg⟩ := s.toJordanDecomposition.mutuallySingular
rw [s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ] at hpos
rw [s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ] at hneg
rw [add_apply, add_eq_zero_iff] at hpos hneg
exact ⟨i, hi, hpos.1, hneg.1⟩
· rw [not_haveLebesgueDecomposition_iff] at hl
cases' hl with hp hn
· rw [Measure.singularPart, dif_neg hp]
exact MutuallySingular.zero_left
· rw [Measure.singularPart, Measure.singularPart, dif_neg hn]
exact MutuallySingular.zero_right
#align measure_theory.signed_measure.singular_part_mutually_singular MeasureTheory.SignedMeasure.singularPart_mutuallySingular
theorem singularPart_totalVariation (s : SignedMeasure α) (μ : Measure α) :
(s.singularPart μ).totalVariation =
s.toJordanDecomposition.posPart.singularPart μ +
s.toJordanDecomposition.negPart.singularPart μ := by
have :
(s.singularPart μ).toJordanDecomposition =
⟨s.toJordanDecomposition.posPart.singularPart μ,
s.toJordanDecomposition.negPart.singularPart μ, singularPart_mutuallySingular s μ⟩ := by
refine' JordanDecomposition.toSignedMeasure_injective _
rw [toSignedMeasure_toJordanDecomposition, singularPart, JordanDecomposition.toSignedMeasure]
· rw [totalVariation, this]
#align measure_theory.signed_measure.singular_part_total_variation MeasureTheory.SignedMeasure.singularPart_totalVariation
nonrec theorem mutuallySingular_singularPart (s : SignedMeasure α) (μ : Measure α) :
singularPart s μ ⟂ᵥ μ.toENNRealVectorMeasure := by
rw [mutuallySingular_ennreal_iff, singularPart_totalVariation,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure]
exact (mutuallySingular_singularPart _ _).add_left (mutuallySingular_singularPart _ _)
#align measure_theory.signed_measure.mutually_singular_singular_part MeasureTheory.SignedMeasure.mutuallySingular_singularPart
end
/-- The Radon-Nikodym derivative between a signed measure and a positive measure.
`rnDeriv s μ` satisfies `μ.withDensityᵥ (s.rnDeriv μ) = s`
if and only if `s` is absolutely continuous with respect to `μ` and this fact is known as
`MeasureTheory.SignedMeasure.absolutelyContinuous_iff_withDensity_rnDeriv_eq`
and can be found in `MeasureTheory.Decomposition.RadonNikodym`. -/
def rnDeriv (s : SignedMeasure α) (μ : Measure α) : α → ℝ := fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal
#align measure_theory.signed_measure.rn_deriv MeasureTheory.SignedMeasure.rnDeriv
-- Porting note: The generated equation theorem is the form of `rnDeriv s μ x`.
theorem rnDeriv_def (s : SignedMeasure α) (μ : Measure α) : rnDeriv s μ = fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal :=
rfl
attribute [eqns rnDeriv_def] rnDeriv
variable {s t : SignedMeasure α}
@[measurability]
theorem measurable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Measurable (rnDeriv s μ) := by
rw [rnDeriv]
measurability
#align measure_theory.signed_measure.measurable_rn_deriv MeasureTheory.SignedMeasure.measurable_rnDeriv
theorem integrable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Integrable (rnDeriv s μ) μ := by
refine' Integrable.sub _ _ <;>
· constructor
· apply Measurable.aestronglyMeasurable; measurability
exact hasFiniteIntegral_toReal_of_lintegral_ne_top (lintegral_rnDeriv_lt_top _ μ).ne
#align measure_theory.signed_measure.integrable_rn_deriv MeasureTheory.SignedMeasure.integrable_rnDeriv
variable (s μ)
/-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
first
| exact (lintegral_rnDeriv_lt_top _ _).ne
| measurability
#align measure_theory.signed_measure.singular_part_add_with_density_rn_deriv_eq MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq
variable {s μ}
theorem jordanDecomposition_add_withDensity_mutuallySingular {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) :
(t.toJordanDecomposition.posPart + μ.withDensity fun x : α => ENNReal.ofReal (f x)) ⟂ₘ
t.toJordanDecomposition.negPart + μ.withDensity fun x : α => ENNReal.ofReal (-f x) := by
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
exact
((JordanDecomposition.mutuallySingular _).add_right
(htμ.1.mono_ac (refl _) (withDensity_absolutelyContinuous _ _))).add_left
((htμ.2.symm.mono_ac (withDensity_absolutelyContinuous _ _) (refl _)).add_right
(withDensity_ofReal_mutuallySingular hf))
#align measure_theory.signed_measure.jordan_decomposition_add_with_density_mutually_singular MeasureTheory.SignedMeasure.jordanDecomposition_add_withDensity_mutuallySingular
theorem toJordanDecomposition_eq_of_eq_add_withDensity {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.toJordanDecomposition =
@JordanDecomposition.mk α _
(t.toJordanDecomposition.posPart + μ.withDensity fun x => ENNReal.ofReal (f x))
(t.toJordanDecomposition.negPart + μ.withDensity fun x => ENNReal.ofReal (-f x))
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.2; infer_instance)
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2; infer_instance)
(jordanDecomposition_add_withDensity_mutuallySingular hf htμ) := by
haveI := isFiniteMeasure_withDensity_ofReal hfi.2
haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2
refine' toJordanDecomposition_eq _
simp_rw [JordanDecomposition.toSignedMeasure, hadd]
ext i hi
rw [VectorMeasure.sub_apply, toSignedMeasure_apply_measurable hi,
toSignedMeasure_apply_measurable hi, add_apply, add_apply, ENNReal.toReal_add,
ENNReal.toReal_add, add_sub_add_comm, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi, ← VectorMeasure.sub_apply,
← JordanDecomposition.toSignedMeasure, toSignedMeasure_toJordanDecomposition,
VectorMeasure.add_apply, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi,
withDensityᵥ_eq_withDensity_pos_part_sub_withDensity_neg_part hfi,
VectorMeasure.sub_apply] <;>
exact (measure_lt_top _ _).ne
#align measure_theory.signed_measure.to_jordan_decomposition_eq_of_eq_add_with_density MeasureTheory.SignedMeasure.toJordanDecomposition_eq_of_eq_add_withDensity
private theorem haveLebesgueDecomposition_mk' (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff] at htμ
change _ ⟂ₘ VectorMeasure.equivMeasure.toFun (VectorMeasure.equivMeasure.invFun μ) at htμ
rw [VectorMeasure.equivMeasure.right_inv, totalVariation_mutuallySingular_iff] at htμ
refine'
{ posPart := by
use ⟨t.toJordanDecomposition.posPart, fun x => ENNReal.ofReal (f x)⟩
refine' ⟨hf.ennreal_ofReal, htμ.1, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
negPart := by
use ⟨t.toJordanDecomposition.negPart, fun x => ENNReal.ofReal (-f x)⟩
refine' ⟨hf.neg.ennreal_ofReal, htμ.2, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd] }
theorem haveLebesgueDecomposition_mk (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
by_cases hfi : Integrable f μ
· exact haveLebesgueDecomposition_mk' μ hf hfi htμ hadd
· rw [withDensityᵥ, dif_neg hfi, add_zero] at hadd
refine' haveLebesgueDecomposition_mk' μ measurable_zero (integrable_zero _ _ μ) htμ _
rwa [withDensityᵥ_zero, add_zero]
#align measure_theory.signed_measure.have_lebesgue_decomposition_mk MeasureTheory.SignedMeasure.haveLebesgueDecomposition_mk
private theorem eq_singularPart' (t : SignedMeasure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
t = s.singularPart μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
rw [singularPart, ← t.toSignedMeasure_toJordanDecomposition,
JordanDecomposition.toSignedMeasure]
congr
· have hfpos : Measurable fun x => ENNReal.ofReal (f x) := by measurability
refine' eq_singularPart hfpos htμ.1 _
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
· have hfneg : Measurable fun x => ENNReal.ofReal (-f x) := by measurability
refine' eq_singularPart hfneg htμ.2 _
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
/-- Given a measure `μ`, signed measures `s` and `t`, and a function `f` such that `t` is
mutually singular with respect to `μ` and `s = t + μ.withDensityᵥ f`, we have
`t = singularPart s μ`, i.e. `t` is the singular part of the Lebesgue decomposition between
`s` and `μ`. -/
theorem eq_singularPart (t : SignedMeasure α) (f : α → ℝ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure)
(hadd : s = t + μ.withDensityᵥ f) : t = s.singularPart μ := by
by_cases hfi : Integrable f μ
· refine' eq_singularPart' t hfi.1.measurable_mk (hfi.congr hfi.1.ae_eq_mk) htμ _
convert hadd using 2
exact WithDensityᵥEq.congr_ae hfi.1.ae_eq_mk.symm
· rw [withDensityᵥ, dif_neg hfi, add_zero] at hadd
refine' eq_singularPart' t measurable_zero (integrable_zero _ _ μ) htμ _
rwa [withDensityᵥ_zero, add_zero]
#align measure_theory.signed_measure.eq_singular_part MeasureTheory.SignedMeasure.eq_singularPart
theorem singularPart_zero (μ : Measure α) : (0 : SignedMeasure α).singularPart μ = 0 := by
| refine' (eq_singularPart 0 0 VectorMeasure.MutuallySingular.zero_left _).symm | theorem singularPart_zero (μ : Measure α) : (0 : SignedMeasure α).singularPart μ = 0 := by
| Mathlib.MeasureTheory.Decomposition.SignedLebesgue.332_0.HPGboz0rhL6sBes | theorem singularPart_zero (μ : Measure α) : (0 : SignedMeasure α).singularPart μ = 0 | Mathlib_MeasureTheory_Decomposition_SignedLebesgue |
α : Type u_1
β : Type u_2
m : MeasurableSpace α
μ✝ ν : Measure α
s t : SignedMeasure α
μ : Measure α
⊢ 0 = 0 + withDensityᵥ μ 0 | /-
Copyright (c) 2021 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.MeasureTheory.Decomposition.Lebesgue
import Mathlib.MeasureTheory.Measure.Complex
/-!
# Lebesgue decomposition
This file proves the Lebesgue decomposition theorem for signed measures. The Lebesgue decomposition
theorem states that, given two σ-finite measures `μ` and `ν`, there exists a σ-finite measure `ξ`
and a measurable function `f` such that `μ = ξ + fν` and `ξ` is mutually singular with respect
to `ν`.
## Main definitions
* `MeasureTheory.SignedMeasure.HaveLebesgueDecomposition` : A signed measure `s` and a
measure `μ` is said to `HaveLebesgueDecomposition` if both the positive part and negative
part of `s` `HaveLebesgueDecomposition` with respect to `μ`.
* `MeasureTheory.SignedMeasure.singularPart` : The singular part between a signed measure `s`
and a measure `μ` is simply the singular part of the positive part of `s` with respect to `μ`
minus the singular part of the negative part of `s` with respect to `μ`.
* `MeasureTheory.SignedMeasure.rnDeriv` : The Radon-Nikodym derivative of a signed
measure `s` with respect to a measure `μ` is the Radon-Nikodym derivative of the positive part of
`s` with respect to `μ` minus the Radon-Nikodym derivative of the negative part of `s` with
respect to `μ`.
## Main results
* `MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq` :
the Lebesgue decomposition theorem between a signed measure and a σ-finite positive measure.
## Tags
Lebesgue decomposition theorem
-/
noncomputable section
open scoped Classical MeasureTheory NNReal ENNReal
open Set
variable {α β : Type*} {m : MeasurableSpace α} {μ ν : MeasureTheory.Measure α}
namespace MeasureTheory
namespace SignedMeasure
open Measure
/-- A signed measure `s` is said to `HaveLebesgueDecomposition` with respect to a measure `μ`
if the positive part and the negative part of `s` both `HaveLebesgueDecomposition` with
respect to `μ`. -/
class HaveLebesgueDecomposition (s : SignedMeasure α) (μ : Measure α) : Prop where
posPart : s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ
negPart : s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ
#align measure_theory.signed_measure.have_lebesgue_decomposition MeasureTheory.SignedMeasure.HaveLebesgueDecomposition
#align measure_theory.signed_measure.have_lebesgue_decomposition.pos_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.posPart
#align measure_theory.signed_measure.have_lebesgue_decomposition.neg_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.negPart
attribute [instance] HaveLebesgueDecomposition.posPart
attribute [instance] HaveLebesgueDecomposition.negPart
theorem not_haveLebesgueDecomposition_iff (s : SignedMeasure α) (μ : Measure α) :
¬s.HaveLebesgueDecomposition μ ↔
¬s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ ∨
¬s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ :=
⟨fun h => not_or_of_imp fun hp hn => h ⟨hp, hn⟩, fun h hl => (not_and_or.2 h) ⟨hl.1, hl.2⟩⟩
#align measure_theory.signed_measure.not_have_lebesgue_decomposition_iff MeasureTheory.SignedMeasure.not_haveLebesgueDecomposition_iff
-- `infer_instance` directly does not work
-- see Note [lower instance priority]
instance (priority := 100) haveLebesgueDecomposition_of_sigmaFinite (s : SignedMeasure α)
(μ : Measure α) [SigmaFinite μ] : s.HaveLebesgueDecomposition μ where
posPart := inferInstance
negPart := inferInstance
#align measure_theory.signed_measure.have_lebesgue_decomposition_of_sigma_finite MeasureTheory.SignedMeasure.haveLebesgueDecomposition_of_sigmaFinite
instance haveLebesgueDecomposition_neg (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] : (-s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_neg MeasureTheory.SignedMeasure.haveLebesgueDecomposition_neg
instance haveLebesgueDecomposition_smul (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ≥0) : (r • s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul
instance haveLebesgueDecomposition_smul_real (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ) : (r • s).HaveLebesgueDecomposition μ := by
by_cases hr : 0 ≤ r
· lift r to ℝ≥0 using hr
exact s.haveLebesgueDecomposition_smul μ _
· rw [not_le] at hr
refine'
{ posPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_posPart_neg _ _ hr]
infer_instance
negPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_negPart_neg _ _ hr]
infer_instance }
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul_real MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul_real
/-- Given a signed measure `s` and a measure `μ`, `s.singularPart μ` is the signed measure
such that `s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s` and
`s.singularPart μ` is mutually singular with respect to `μ`. -/
def singularPart (s : SignedMeasure α) (μ : Measure α) : SignedMeasure α :=
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure -
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure
#align measure_theory.signed_measure.singular_part MeasureTheory.SignedMeasure.singularPart
section
theorem singularPart_mutuallySingular (s : SignedMeasure α) (μ : Measure α) :
s.toJordanDecomposition.posPart.singularPart μ ⟂ₘ
s.toJordanDecomposition.negPart.singularPart μ := by
by_cases hl : s.HaveLebesgueDecomposition μ
· obtain ⟨i, hi, hpos, hneg⟩ := s.toJordanDecomposition.mutuallySingular
rw [s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ] at hpos
rw [s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ] at hneg
rw [add_apply, add_eq_zero_iff] at hpos hneg
exact ⟨i, hi, hpos.1, hneg.1⟩
· rw [not_haveLebesgueDecomposition_iff] at hl
cases' hl with hp hn
· rw [Measure.singularPart, dif_neg hp]
exact MutuallySingular.zero_left
· rw [Measure.singularPart, Measure.singularPart, dif_neg hn]
exact MutuallySingular.zero_right
#align measure_theory.signed_measure.singular_part_mutually_singular MeasureTheory.SignedMeasure.singularPart_mutuallySingular
theorem singularPart_totalVariation (s : SignedMeasure α) (μ : Measure α) :
(s.singularPart μ).totalVariation =
s.toJordanDecomposition.posPart.singularPart μ +
s.toJordanDecomposition.negPart.singularPart μ := by
have :
(s.singularPart μ).toJordanDecomposition =
⟨s.toJordanDecomposition.posPart.singularPart μ,
s.toJordanDecomposition.negPart.singularPart μ, singularPart_mutuallySingular s μ⟩ := by
refine' JordanDecomposition.toSignedMeasure_injective _
rw [toSignedMeasure_toJordanDecomposition, singularPart, JordanDecomposition.toSignedMeasure]
· rw [totalVariation, this]
#align measure_theory.signed_measure.singular_part_total_variation MeasureTheory.SignedMeasure.singularPart_totalVariation
nonrec theorem mutuallySingular_singularPart (s : SignedMeasure α) (μ : Measure α) :
singularPart s μ ⟂ᵥ μ.toENNRealVectorMeasure := by
rw [mutuallySingular_ennreal_iff, singularPart_totalVariation,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure]
exact (mutuallySingular_singularPart _ _).add_left (mutuallySingular_singularPart _ _)
#align measure_theory.signed_measure.mutually_singular_singular_part MeasureTheory.SignedMeasure.mutuallySingular_singularPart
end
/-- The Radon-Nikodym derivative between a signed measure and a positive measure.
`rnDeriv s μ` satisfies `μ.withDensityᵥ (s.rnDeriv μ) = s`
if and only if `s` is absolutely continuous with respect to `μ` and this fact is known as
`MeasureTheory.SignedMeasure.absolutelyContinuous_iff_withDensity_rnDeriv_eq`
and can be found in `MeasureTheory.Decomposition.RadonNikodym`. -/
def rnDeriv (s : SignedMeasure α) (μ : Measure α) : α → ℝ := fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal
#align measure_theory.signed_measure.rn_deriv MeasureTheory.SignedMeasure.rnDeriv
-- Porting note: The generated equation theorem is the form of `rnDeriv s μ x`.
theorem rnDeriv_def (s : SignedMeasure α) (μ : Measure α) : rnDeriv s μ = fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal :=
rfl
attribute [eqns rnDeriv_def] rnDeriv
variable {s t : SignedMeasure α}
@[measurability]
theorem measurable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Measurable (rnDeriv s μ) := by
rw [rnDeriv]
measurability
#align measure_theory.signed_measure.measurable_rn_deriv MeasureTheory.SignedMeasure.measurable_rnDeriv
theorem integrable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Integrable (rnDeriv s μ) μ := by
refine' Integrable.sub _ _ <;>
· constructor
· apply Measurable.aestronglyMeasurable; measurability
exact hasFiniteIntegral_toReal_of_lintegral_ne_top (lintegral_rnDeriv_lt_top _ μ).ne
#align measure_theory.signed_measure.integrable_rn_deriv MeasureTheory.SignedMeasure.integrable_rnDeriv
variable (s μ)
/-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
first
| exact (lintegral_rnDeriv_lt_top _ _).ne
| measurability
#align measure_theory.signed_measure.singular_part_add_with_density_rn_deriv_eq MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq
variable {s μ}
theorem jordanDecomposition_add_withDensity_mutuallySingular {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) :
(t.toJordanDecomposition.posPart + μ.withDensity fun x : α => ENNReal.ofReal (f x)) ⟂ₘ
t.toJordanDecomposition.negPart + μ.withDensity fun x : α => ENNReal.ofReal (-f x) := by
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
exact
((JordanDecomposition.mutuallySingular _).add_right
(htμ.1.mono_ac (refl _) (withDensity_absolutelyContinuous _ _))).add_left
((htμ.2.symm.mono_ac (withDensity_absolutelyContinuous _ _) (refl _)).add_right
(withDensity_ofReal_mutuallySingular hf))
#align measure_theory.signed_measure.jordan_decomposition_add_with_density_mutually_singular MeasureTheory.SignedMeasure.jordanDecomposition_add_withDensity_mutuallySingular
theorem toJordanDecomposition_eq_of_eq_add_withDensity {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.toJordanDecomposition =
@JordanDecomposition.mk α _
(t.toJordanDecomposition.posPart + μ.withDensity fun x => ENNReal.ofReal (f x))
(t.toJordanDecomposition.negPart + μ.withDensity fun x => ENNReal.ofReal (-f x))
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.2; infer_instance)
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2; infer_instance)
(jordanDecomposition_add_withDensity_mutuallySingular hf htμ) := by
haveI := isFiniteMeasure_withDensity_ofReal hfi.2
haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2
refine' toJordanDecomposition_eq _
simp_rw [JordanDecomposition.toSignedMeasure, hadd]
ext i hi
rw [VectorMeasure.sub_apply, toSignedMeasure_apply_measurable hi,
toSignedMeasure_apply_measurable hi, add_apply, add_apply, ENNReal.toReal_add,
ENNReal.toReal_add, add_sub_add_comm, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi, ← VectorMeasure.sub_apply,
← JordanDecomposition.toSignedMeasure, toSignedMeasure_toJordanDecomposition,
VectorMeasure.add_apply, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi,
withDensityᵥ_eq_withDensity_pos_part_sub_withDensity_neg_part hfi,
VectorMeasure.sub_apply] <;>
exact (measure_lt_top _ _).ne
#align measure_theory.signed_measure.to_jordan_decomposition_eq_of_eq_add_with_density MeasureTheory.SignedMeasure.toJordanDecomposition_eq_of_eq_add_withDensity
private theorem haveLebesgueDecomposition_mk' (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff] at htμ
change _ ⟂ₘ VectorMeasure.equivMeasure.toFun (VectorMeasure.equivMeasure.invFun μ) at htμ
rw [VectorMeasure.equivMeasure.right_inv, totalVariation_mutuallySingular_iff] at htμ
refine'
{ posPart := by
use ⟨t.toJordanDecomposition.posPart, fun x => ENNReal.ofReal (f x)⟩
refine' ⟨hf.ennreal_ofReal, htμ.1, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
negPart := by
use ⟨t.toJordanDecomposition.negPart, fun x => ENNReal.ofReal (-f x)⟩
refine' ⟨hf.neg.ennreal_ofReal, htμ.2, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd] }
theorem haveLebesgueDecomposition_mk (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
by_cases hfi : Integrable f μ
· exact haveLebesgueDecomposition_mk' μ hf hfi htμ hadd
· rw [withDensityᵥ, dif_neg hfi, add_zero] at hadd
refine' haveLebesgueDecomposition_mk' μ measurable_zero (integrable_zero _ _ μ) htμ _
rwa [withDensityᵥ_zero, add_zero]
#align measure_theory.signed_measure.have_lebesgue_decomposition_mk MeasureTheory.SignedMeasure.haveLebesgueDecomposition_mk
private theorem eq_singularPart' (t : SignedMeasure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
t = s.singularPart μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
rw [singularPart, ← t.toSignedMeasure_toJordanDecomposition,
JordanDecomposition.toSignedMeasure]
congr
· have hfpos : Measurable fun x => ENNReal.ofReal (f x) := by measurability
refine' eq_singularPart hfpos htμ.1 _
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
· have hfneg : Measurable fun x => ENNReal.ofReal (-f x) := by measurability
refine' eq_singularPart hfneg htμ.2 _
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
/-- Given a measure `μ`, signed measures `s` and `t`, and a function `f` such that `t` is
mutually singular with respect to `μ` and `s = t + μ.withDensityᵥ f`, we have
`t = singularPart s μ`, i.e. `t` is the singular part of the Lebesgue decomposition between
`s` and `μ`. -/
theorem eq_singularPart (t : SignedMeasure α) (f : α → ℝ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure)
(hadd : s = t + μ.withDensityᵥ f) : t = s.singularPart μ := by
by_cases hfi : Integrable f μ
· refine' eq_singularPart' t hfi.1.measurable_mk (hfi.congr hfi.1.ae_eq_mk) htμ _
convert hadd using 2
exact WithDensityᵥEq.congr_ae hfi.1.ae_eq_mk.symm
· rw [withDensityᵥ, dif_neg hfi, add_zero] at hadd
refine' eq_singularPart' t measurable_zero (integrable_zero _ _ μ) htμ _
rwa [withDensityᵥ_zero, add_zero]
#align measure_theory.signed_measure.eq_singular_part MeasureTheory.SignedMeasure.eq_singularPart
theorem singularPart_zero (μ : Measure α) : (0 : SignedMeasure α).singularPart μ = 0 := by
refine' (eq_singularPart 0 0 VectorMeasure.MutuallySingular.zero_left _).symm
| rw [zero_add, withDensityᵥ_zero] | theorem singularPart_zero (μ : Measure α) : (0 : SignedMeasure α).singularPart μ = 0 := by
refine' (eq_singularPart 0 0 VectorMeasure.MutuallySingular.zero_left _).symm
| Mathlib.MeasureTheory.Decomposition.SignedLebesgue.332_0.HPGboz0rhL6sBes | theorem singularPart_zero (μ : Measure α) : (0 : SignedMeasure α).singularPart μ = 0 | Mathlib_MeasureTheory_Decomposition_SignedLebesgue |
α : Type u_1
β : Type u_2
m : MeasurableSpace α
μ✝ ν : Measure α
s✝ t s : SignedMeasure α
μ : Measure α
⊢ singularPart (-s) μ = -singularPart s μ | /-
Copyright (c) 2021 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.MeasureTheory.Decomposition.Lebesgue
import Mathlib.MeasureTheory.Measure.Complex
/-!
# Lebesgue decomposition
This file proves the Lebesgue decomposition theorem for signed measures. The Lebesgue decomposition
theorem states that, given two σ-finite measures `μ` and `ν`, there exists a σ-finite measure `ξ`
and a measurable function `f` such that `μ = ξ + fν` and `ξ` is mutually singular with respect
to `ν`.
## Main definitions
* `MeasureTheory.SignedMeasure.HaveLebesgueDecomposition` : A signed measure `s` and a
measure `μ` is said to `HaveLebesgueDecomposition` if both the positive part and negative
part of `s` `HaveLebesgueDecomposition` with respect to `μ`.
* `MeasureTheory.SignedMeasure.singularPart` : The singular part between a signed measure `s`
and a measure `μ` is simply the singular part of the positive part of `s` with respect to `μ`
minus the singular part of the negative part of `s` with respect to `μ`.
* `MeasureTheory.SignedMeasure.rnDeriv` : The Radon-Nikodym derivative of a signed
measure `s` with respect to a measure `μ` is the Radon-Nikodym derivative of the positive part of
`s` with respect to `μ` minus the Radon-Nikodym derivative of the negative part of `s` with
respect to `μ`.
## Main results
* `MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq` :
the Lebesgue decomposition theorem between a signed measure and a σ-finite positive measure.
## Tags
Lebesgue decomposition theorem
-/
noncomputable section
open scoped Classical MeasureTheory NNReal ENNReal
open Set
variable {α β : Type*} {m : MeasurableSpace α} {μ ν : MeasureTheory.Measure α}
namespace MeasureTheory
namespace SignedMeasure
open Measure
/-- A signed measure `s` is said to `HaveLebesgueDecomposition` with respect to a measure `μ`
if the positive part and the negative part of `s` both `HaveLebesgueDecomposition` with
respect to `μ`. -/
class HaveLebesgueDecomposition (s : SignedMeasure α) (μ : Measure α) : Prop where
posPart : s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ
negPart : s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ
#align measure_theory.signed_measure.have_lebesgue_decomposition MeasureTheory.SignedMeasure.HaveLebesgueDecomposition
#align measure_theory.signed_measure.have_lebesgue_decomposition.pos_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.posPart
#align measure_theory.signed_measure.have_lebesgue_decomposition.neg_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.negPart
attribute [instance] HaveLebesgueDecomposition.posPart
attribute [instance] HaveLebesgueDecomposition.negPart
theorem not_haveLebesgueDecomposition_iff (s : SignedMeasure α) (μ : Measure α) :
¬s.HaveLebesgueDecomposition μ ↔
¬s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ ∨
¬s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ :=
⟨fun h => not_or_of_imp fun hp hn => h ⟨hp, hn⟩, fun h hl => (not_and_or.2 h) ⟨hl.1, hl.2⟩⟩
#align measure_theory.signed_measure.not_have_lebesgue_decomposition_iff MeasureTheory.SignedMeasure.not_haveLebesgueDecomposition_iff
-- `infer_instance` directly does not work
-- see Note [lower instance priority]
instance (priority := 100) haveLebesgueDecomposition_of_sigmaFinite (s : SignedMeasure α)
(μ : Measure α) [SigmaFinite μ] : s.HaveLebesgueDecomposition μ where
posPart := inferInstance
negPart := inferInstance
#align measure_theory.signed_measure.have_lebesgue_decomposition_of_sigma_finite MeasureTheory.SignedMeasure.haveLebesgueDecomposition_of_sigmaFinite
instance haveLebesgueDecomposition_neg (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] : (-s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_neg MeasureTheory.SignedMeasure.haveLebesgueDecomposition_neg
instance haveLebesgueDecomposition_smul (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ≥0) : (r • s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul
instance haveLebesgueDecomposition_smul_real (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ) : (r • s).HaveLebesgueDecomposition μ := by
by_cases hr : 0 ≤ r
· lift r to ℝ≥0 using hr
exact s.haveLebesgueDecomposition_smul μ _
· rw [not_le] at hr
refine'
{ posPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_posPart_neg _ _ hr]
infer_instance
negPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_negPart_neg _ _ hr]
infer_instance }
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul_real MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul_real
/-- Given a signed measure `s` and a measure `μ`, `s.singularPart μ` is the signed measure
such that `s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s` and
`s.singularPart μ` is mutually singular with respect to `μ`. -/
def singularPart (s : SignedMeasure α) (μ : Measure α) : SignedMeasure α :=
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure -
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure
#align measure_theory.signed_measure.singular_part MeasureTheory.SignedMeasure.singularPart
section
theorem singularPart_mutuallySingular (s : SignedMeasure α) (μ : Measure α) :
s.toJordanDecomposition.posPart.singularPart μ ⟂ₘ
s.toJordanDecomposition.negPart.singularPart μ := by
by_cases hl : s.HaveLebesgueDecomposition μ
· obtain ⟨i, hi, hpos, hneg⟩ := s.toJordanDecomposition.mutuallySingular
rw [s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ] at hpos
rw [s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ] at hneg
rw [add_apply, add_eq_zero_iff] at hpos hneg
exact ⟨i, hi, hpos.1, hneg.1⟩
· rw [not_haveLebesgueDecomposition_iff] at hl
cases' hl with hp hn
· rw [Measure.singularPart, dif_neg hp]
exact MutuallySingular.zero_left
· rw [Measure.singularPart, Measure.singularPart, dif_neg hn]
exact MutuallySingular.zero_right
#align measure_theory.signed_measure.singular_part_mutually_singular MeasureTheory.SignedMeasure.singularPart_mutuallySingular
theorem singularPart_totalVariation (s : SignedMeasure α) (μ : Measure α) :
(s.singularPart μ).totalVariation =
s.toJordanDecomposition.posPart.singularPart μ +
s.toJordanDecomposition.negPart.singularPart μ := by
have :
(s.singularPart μ).toJordanDecomposition =
⟨s.toJordanDecomposition.posPart.singularPart μ,
s.toJordanDecomposition.negPart.singularPart μ, singularPart_mutuallySingular s μ⟩ := by
refine' JordanDecomposition.toSignedMeasure_injective _
rw [toSignedMeasure_toJordanDecomposition, singularPart, JordanDecomposition.toSignedMeasure]
· rw [totalVariation, this]
#align measure_theory.signed_measure.singular_part_total_variation MeasureTheory.SignedMeasure.singularPart_totalVariation
nonrec theorem mutuallySingular_singularPart (s : SignedMeasure α) (μ : Measure α) :
singularPart s μ ⟂ᵥ μ.toENNRealVectorMeasure := by
rw [mutuallySingular_ennreal_iff, singularPart_totalVariation,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure]
exact (mutuallySingular_singularPart _ _).add_left (mutuallySingular_singularPart _ _)
#align measure_theory.signed_measure.mutually_singular_singular_part MeasureTheory.SignedMeasure.mutuallySingular_singularPart
end
/-- The Radon-Nikodym derivative between a signed measure and a positive measure.
`rnDeriv s μ` satisfies `μ.withDensityᵥ (s.rnDeriv μ) = s`
if and only if `s` is absolutely continuous with respect to `μ` and this fact is known as
`MeasureTheory.SignedMeasure.absolutelyContinuous_iff_withDensity_rnDeriv_eq`
and can be found in `MeasureTheory.Decomposition.RadonNikodym`. -/
def rnDeriv (s : SignedMeasure α) (μ : Measure α) : α → ℝ := fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal
#align measure_theory.signed_measure.rn_deriv MeasureTheory.SignedMeasure.rnDeriv
-- Porting note: The generated equation theorem is the form of `rnDeriv s μ x`.
theorem rnDeriv_def (s : SignedMeasure α) (μ : Measure α) : rnDeriv s μ = fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal :=
rfl
attribute [eqns rnDeriv_def] rnDeriv
variable {s t : SignedMeasure α}
@[measurability]
theorem measurable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Measurable (rnDeriv s μ) := by
rw [rnDeriv]
measurability
#align measure_theory.signed_measure.measurable_rn_deriv MeasureTheory.SignedMeasure.measurable_rnDeriv
theorem integrable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Integrable (rnDeriv s μ) μ := by
refine' Integrable.sub _ _ <;>
· constructor
· apply Measurable.aestronglyMeasurable; measurability
exact hasFiniteIntegral_toReal_of_lintegral_ne_top (lintegral_rnDeriv_lt_top _ μ).ne
#align measure_theory.signed_measure.integrable_rn_deriv MeasureTheory.SignedMeasure.integrable_rnDeriv
variable (s μ)
/-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
first
| exact (lintegral_rnDeriv_lt_top _ _).ne
| measurability
#align measure_theory.signed_measure.singular_part_add_with_density_rn_deriv_eq MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq
variable {s μ}
theorem jordanDecomposition_add_withDensity_mutuallySingular {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) :
(t.toJordanDecomposition.posPart + μ.withDensity fun x : α => ENNReal.ofReal (f x)) ⟂ₘ
t.toJordanDecomposition.negPart + μ.withDensity fun x : α => ENNReal.ofReal (-f x) := by
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
exact
((JordanDecomposition.mutuallySingular _).add_right
(htμ.1.mono_ac (refl _) (withDensity_absolutelyContinuous _ _))).add_left
((htμ.2.symm.mono_ac (withDensity_absolutelyContinuous _ _) (refl _)).add_right
(withDensity_ofReal_mutuallySingular hf))
#align measure_theory.signed_measure.jordan_decomposition_add_with_density_mutually_singular MeasureTheory.SignedMeasure.jordanDecomposition_add_withDensity_mutuallySingular
theorem toJordanDecomposition_eq_of_eq_add_withDensity {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.toJordanDecomposition =
@JordanDecomposition.mk α _
(t.toJordanDecomposition.posPart + μ.withDensity fun x => ENNReal.ofReal (f x))
(t.toJordanDecomposition.negPart + μ.withDensity fun x => ENNReal.ofReal (-f x))
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.2; infer_instance)
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2; infer_instance)
(jordanDecomposition_add_withDensity_mutuallySingular hf htμ) := by
haveI := isFiniteMeasure_withDensity_ofReal hfi.2
haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2
refine' toJordanDecomposition_eq _
simp_rw [JordanDecomposition.toSignedMeasure, hadd]
ext i hi
rw [VectorMeasure.sub_apply, toSignedMeasure_apply_measurable hi,
toSignedMeasure_apply_measurable hi, add_apply, add_apply, ENNReal.toReal_add,
ENNReal.toReal_add, add_sub_add_comm, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi, ← VectorMeasure.sub_apply,
← JordanDecomposition.toSignedMeasure, toSignedMeasure_toJordanDecomposition,
VectorMeasure.add_apply, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi,
withDensityᵥ_eq_withDensity_pos_part_sub_withDensity_neg_part hfi,
VectorMeasure.sub_apply] <;>
exact (measure_lt_top _ _).ne
#align measure_theory.signed_measure.to_jordan_decomposition_eq_of_eq_add_with_density MeasureTheory.SignedMeasure.toJordanDecomposition_eq_of_eq_add_withDensity
private theorem haveLebesgueDecomposition_mk' (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff] at htμ
change _ ⟂ₘ VectorMeasure.equivMeasure.toFun (VectorMeasure.equivMeasure.invFun μ) at htμ
rw [VectorMeasure.equivMeasure.right_inv, totalVariation_mutuallySingular_iff] at htμ
refine'
{ posPart := by
use ⟨t.toJordanDecomposition.posPart, fun x => ENNReal.ofReal (f x)⟩
refine' ⟨hf.ennreal_ofReal, htμ.1, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
negPart := by
use ⟨t.toJordanDecomposition.negPart, fun x => ENNReal.ofReal (-f x)⟩
refine' ⟨hf.neg.ennreal_ofReal, htμ.2, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd] }
theorem haveLebesgueDecomposition_mk (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
by_cases hfi : Integrable f μ
· exact haveLebesgueDecomposition_mk' μ hf hfi htμ hadd
· rw [withDensityᵥ, dif_neg hfi, add_zero] at hadd
refine' haveLebesgueDecomposition_mk' μ measurable_zero (integrable_zero _ _ μ) htμ _
rwa [withDensityᵥ_zero, add_zero]
#align measure_theory.signed_measure.have_lebesgue_decomposition_mk MeasureTheory.SignedMeasure.haveLebesgueDecomposition_mk
private theorem eq_singularPart' (t : SignedMeasure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
t = s.singularPart μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
rw [singularPart, ← t.toSignedMeasure_toJordanDecomposition,
JordanDecomposition.toSignedMeasure]
congr
· have hfpos : Measurable fun x => ENNReal.ofReal (f x) := by measurability
refine' eq_singularPart hfpos htμ.1 _
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
· have hfneg : Measurable fun x => ENNReal.ofReal (-f x) := by measurability
refine' eq_singularPart hfneg htμ.2 _
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
/-- Given a measure `μ`, signed measures `s` and `t`, and a function `f` such that `t` is
mutually singular with respect to `μ` and `s = t + μ.withDensityᵥ f`, we have
`t = singularPart s μ`, i.e. `t` is the singular part of the Lebesgue decomposition between
`s` and `μ`. -/
theorem eq_singularPart (t : SignedMeasure α) (f : α → ℝ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure)
(hadd : s = t + μ.withDensityᵥ f) : t = s.singularPart μ := by
by_cases hfi : Integrable f μ
· refine' eq_singularPart' t hfi.1.measurable_mk (hfi.congr hfi.1.ae_eq_mk) htμ _
convert hadd using 2
exact WithDensityᵥEq.congr_ae hfi.1.ae_eq_mk.symm
· rw [withDensityᵥ, dif_neg hfi, add_zero] at hadd
refine' eq_singularPart' t measurable_zero (integrable_zero _ _ μ) htμ _
rwa [withDensityᵥ_zero, add_zero]
#align measure_theory.signed_measure.eq_singular_part MeasureTheory.SignedMeasure.eq_singularPart
theorem singularPart_zero (μ : Measure α) : (0 : SignedMeasure α).singularPart μ = 0 := by
refine' (eq_singularPart 0 0 VectorMeasure.MutuallySingular.zero_left _).symm
rw [zero_add, withDensityᵥ_zero]
#align measure_theory.signed_measure.singular_part_zero MeasureTheory.SignedMeasure.singularPart_zero
theorem singularPart_neg (s : SignedMeasure α) (μ : Measure α) :
(-s).singularPart μ = -s.singularPart μ := by
| have h₁ :
((-s).toJordanDecomposition.posPart.singularPart μ).toSignedMeasure =
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure := by
refine' toSignedMeasure_congr _
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart] | theorem singularPart_neg (s : SignedMeasure α) (μ : Measure α) :
(-s).singularPart μ = -s.singularPart μ := by
| Mathlib.MeasureTheory.Decomposition.SignedLebesgue.337_0.HPGboz0rhL6sBes | theorem singularPart_neg (s : SignedMeasure α) (μ : Measure α) :
(-s).singularPart μ = -s.singularPart μ | Mathlib_MeasureTheory_Decomposition_SignedLebesgue |
α : Type u_1
β : Type u_2
m : MeasurableSpace α
μ✝ ν : Measure α
s✝ t s : SignedMeasure α
μ : Measure α
⊢ toSignedMeasure (Measure.singularPart (toJordanDecomposition (-s)).posPart μ) =
toSignedMeasure (Measure.singularPart (toJordanDecomposition s).negPart μ) | /-
Copyright (c) 2021 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.MeasureTheory.Decomposition.Lebesgue
import Mathlib.MeasureTheory.Measure.Complex
/-!
# Lebesgue decomposition
This file proves the Lebesgue decomposition theorem for signed measures. The Lebesgue decomposition
theorem states that, given two σ-finite measures `μ` and `ν`, there exists a σ-finite measure `ξ`
and a measurable function `f` such that `μ = ξ + fν` and `ξ` is mutually singular with respect
to `ν`.
## Main definitions
* `MeasureTheory.SignedMeasure.HaveLebesgueDecomposition` : A signed measure `s` and a
measure `μ` is said to `HaveLebesgueDecomposition` if both the positive part and negative
part of `s` `HaveLebesgueDecomposition` with respect to `μ`.
* `MeasureTheory.SignedMeasure.singularPart` : The singular part between a signed measure `s`
and a measure `μ` is simply the singular part of the positive part of `s` with respect to `μ`
minus the singular part of the negative part of `s` with respect to `μ`.
* `MeasureTheory.SignedMeasure.rnDeriv` : The Radon-Nikodym derivative of a signed
measure `s` with respect to a measure `μ` is the Radon-Nikodym derivative of the positive part of
`s` with respect to `μ` minus the Radon-Nikodym derivative of the negative part of `s` with
respect to `μ`.
## Main results
* `MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq` :
the Lebesgue decomposition theorem between a signed measure and a σ-finite positive measure.
## Tags
Lebesgue decomposition theorem
-/
noncomputable section
open scoped Classical MeasureTheory NNReal ENNReal
open Set
variable {α β : Type*} {m : MeasurableSpace α} {μ ν : MeasureTheory.Measure α}
namespace MeasureTheory
namespace SignedMeasure
open Measure
/-- A signed measure `s` is said to `HaveLebesgueDecomposition` with respect to a measure `μ`
if the positive part and the negative part of `s` both `HaveLebesgueDecomposition` with
respect to `μ`. -/
class HaveLebesgueDecomposition (s : SignedMeasure α) (μ : Measure α) : Prop where
posPart : s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ
negPart : s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ
#align measure_theory.signed_measure.have_lebesgue_decomposition MeasureTheory.SignedMeasure.HaveLebesgueDecomposition
#align measure_theory.signed_measure.have_lebesgue_decomposition.pos_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.posPart
#align measure_theory.signed_measure.have_lebesgue_decomposition.neg_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.negPart
attribute [instance] HaveLebesgueDecomposition.posPart
attribute [instance] HaveLebesgueDecomposition.negPart
theorem not_haveLebesgueDecomposition_iff (s : SignedMeasure α) (μ : Measure α) :
¬s.HaveLebesgueDecomposition μ ↔
¬s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ ∨
¬s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ :=
⟨fun h => not_or_of_imp fun hp hn => h ⟨hp, hn⟩, fun h hl => (not_and_or.2 h) ⟨hl.1, hl.2⟩⟩
#align measure_theory.signed_measure.not_have_lebesgue_decomposition_iff MeasureTheory.SignedMeasure.not_haveLebesgueDecomposition_iff
-- `infer_instance` directly does not work
-- see Note [lower instance priority]
instance (priority := 100) haveLebesgueDecomposition_of_sigmaFinite (s : SignedMeasure α)
(μ : Measure α) [SigmaFinite μ] : s.HaveLebesgueDecomposition μ where
posPart := inferInstance
negPart := inferInstance
#align measure_theory.signed_measure.have_lebesgue_decomposition_of_sigma_finite MeasureTheory.SignedMeasure.haveLebesgueDecomposition_of_sigmaFinite
instance haveLebesgueDecomposition_neg (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] : (-s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_neg MeasureTheory.SignedMeasure.haveLebesgueDecomposition_neg
instance haveLebesgueDecomposition_smul (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ≥0) : (r • s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul
instance haveLebesgueDecomposition_smul_real (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ) : (r • s).HaveLebesgueDecomposition μ := by
by_cases hr : 0 ≤ r
· lift r to ℝ≥0 using hr
exact s.haveLebesgueDecomposition_smul μ _
· rw [not_le] at hr
refine'
{ posPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_posPart_neg _ _ hr]
infer_instance
negPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_negPart_neg _ _ hr]
infer_instance }
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul_real MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul_real
/-- Given a signed measure `s` and a measure `μ`, `s.singularPart μ` is the signed measure
such that `s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s` and
`s.singularPart μ` is mutually singular with respect to `μ`. -/
def singularPart (s : SignedMeasure α) (μ : Measure α) : SignedMeasure α :=
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure -
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure
#align measure_theory.signed_measure.singular_part MeasureTheory.SignedMeasure.singularPart
section
theorem singularPart_mutuallySingular (s : SignedMeasure α) (μ : Measure α) :
s.toJordanDecomposition.posPart.singularPart μ ⟂ₘ
s.toJordanDecomposition.negPart.singularPart μ := by
by_cases hl : s.HaveLebesgueDecomposition μ
· obtain ⟨i, hi, hpos, hneg⟩ := s.toJordanDecomposition.mutuallySingular
rw [s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ] at hpos
rw [s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ] at hneg
rw [add_apply, add_eq_zero_iff] at hpos hneg
exact ⟨i, hi, hpos.1, hneg.1⟩
· rw [not_haveLebesgueDecomposition_iff] at hl
cases' hl with hp hn
· rw [Measure.singularPart, dif_neg hp]
exact MutuallySingular.zero_left
· rw [Measure.singularPart, Measure.singularPart, dif_neg hn]
exact MutuallySingular.zero_right
#align measure_theory.signed_measure.singular_part_mutually_singular MeasureTheory.SignedMeasure.singularPart_mutuallySingular
theorem singularPart_totalVariation (s : SignedMeasure α) (μ : Measure α) :
(s.singularPart μ).totalVariation =
s.toJordanDecomposition.posPart.singularPart μ +
s.toJordanDecomposition.negPart.singularPart μ := by
have :
(s.singularPart μ).toJordanDecomposition =
⟨s.toJordanDecomposition.posPart.singularPart μ,
s.toJordanDecomposition.negPart.singularPart μ, singularPart_mutuallySingular s μ⟩ := by
refine' JordanDecomposition.toSignedMeasure_injective _
rw [toSignedMeasure_toJordanDecomposition, singularPart, JordanDecomposition.toSignedMeasure]
· rw [totalVariation, this]
#align measure_theory.signed_measure.singular_part_total_variation MeasureTheory.SignedMeasure.singularPart_totalVariation
nonrec theorem mutuallySingular_singularPart (s : SignedMeasure α) (μ : Measure α) :
singularPart s μ ⟂ᵥ μ.toENNRealVectorMeasure := by
rw [mutuallySingular_ennreal_iff, singularPart_totalVariation,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure]
exact (mutuallySingular_singularPart _ _).add_left (mutuallySingular_singularPart _ _)
#align measure_theory.signed_measure.mutually_singular_singular_part MeasureTheory.SignedMeasure.mutuallySingular_singularPart
end
/-- The Radon-Nikodym derivative between a signed measure and a positive measure.
`rnDeriv s μ` satisfies `μ.withDensityᵥ (s.rnDeriv μ) = s`
if and only if `s` is absolutely continuous with respect to `μ` and this fact is known as
`MeasureTheory.SignedMeasure.absolutelyContinuous_iff_withDensity_rnDeriv_eq`
and can be found in `MeasureTheory.Decomposition.RadonNikodym`. -/
def rnDeriv (s : SignedMeasure α) (μ : Measure α) : α → ℝ := fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal
#align measure_theory.signed_measure.rn_deriv MeasureTheory.SignedMeasure.rnDeriv
-- Porting note: The generated equation theorem is the form of `rnDeriv s μ x`.
theorem rnDeriv_def (s : SignedMeasure α) (μ : Measure α) : rnDeriv s μ = fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal :=
rfl
attribute [eqns rnDeriv_def] rnDeriv
variable {s t : SignedMeasure α}
@[measurability]
theorem measurable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Measurable (rnDeriv s μ) := by
rw [rnDeriv]
measurability
#align measure_theory.signed_measure.measurable_rn_deriv MeasureTheory.SignedMeasure.measurable_rnDeriv
theorem integrable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Integrable (rnDeriv s μ) μ := by
refine' Integrable.sub _ _ <;>
· constructor
· apply Measurable.aestronglyMeasurable; measurability
exact hasFiniteIntegral_toReal_of_lintegral_ne_top (lintegral_rnDeriv_lt_top _ μ).ne
#align measure_theory.signed_measure.integrable_rn_deriv MeasureTheory.SignedMeasure.integrable_rnDeriv
variable (s μ)
/-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
first
| exact (lintegral_rnDeriv_lt_top _ _).ne
| measurability
#align measure_theory.signed_measure.singular_part_add_with_density_rn_deriv_eq MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq
variable {s μ}
theorem jordanDecomposition_add_withDensity_mutuallySingular {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) :
(t.toJordanDecomposition.posPart + μ.withDensity fun x : α => ENNReal.ofReal (f x)) ⟂ₘ
t.toJordanDecomposition.negPart + μ.withDensity fun x : α => ENNReal.ofReal (-f x) := by
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
exact
((JordanDecomposition.mutuallySingular _).add_right
(htμ.1.mono_ac (refl _) (withDensity_absolutelyContinuous _ _))).add_left
((htμ.2.symm.mono_ac (withDensity_absolutelyContinuous _ _) (refl _)).add_right
(withDensity_ofReal_mutuallySingular hf))
#align measure_theory.signed_measure.jordan_decomposition_add_with_density_mutually_singular MeasureTheory.SignedMeasure.jordanDecomposition_add_withDensity_mutuallySingular
theorem toJordanDecomposition_eq_of_eq_add_withDensity {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.toJordanDecomposition =
@JordanDecomposition.mk α _
(t.toJordanDecomposition.posPart + μ.withDensity fun x => ENNReal.ofReal (f x))
(t.toJordanDecomposition.negPart + μ.withDensity fun x => ENNReal.ofReal (-f x))
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.2; infer_instance)
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2; infer_instance)
(jordanDecomposition_add_withDensity_mutuallySingular hf htμ) := by
haveI := isFiniteMeasure_withDensity_ofReal hfi.2
haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2
refine' toJordanDecomposition_eq _
simp_rw [JordanDecomposition.toSignedMeasure, hadd]
ext i hi
rw [VectorMeasure.sub_apply, toSignedMeasure_apply_measurable hi,
toSignedMeasure_apply_measurable hi, add_apply, add_apply, ENNReal.toReal_add,
ENNReal.toReal_add, add_sub_add_comm, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi, ← VectorMeasure.sub_apply,
← JordanDecomposition.toSignedMeasure, toSignedMeasure_toJordanDecomposition,
VectorMeasure.add_apply, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi,
withDensityᵥ_eq_withDensity_pos_part_sub_withDensity_neg_part hfi,
VectorMeasure.sub_apply] <;>
exact (measure_lt_top _ _).ne
#align measure_theory.signed_measure.to_jordan_decomposition_eq_of_eq_add_with_density MeasureTheory.SignedMeasure.toJordanDecomposition_eq_of_eq_add_withDensity
private theorem haveLebesgueDecomposition_mk' (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff] at htμ
change _ ⟂ₘ VectorMeasure.equivMeasure.toFun (VectorMeasure.equivMeasure.invFun μ) at htμ
rw [VectorMeasure.equivMeasure.right_inv, totalVariation_mutuallySingular_iff] at htμ
refine'
{ posPart := by
use ⟨t.toJordanDecomposition.posPart, fun x => ENNReal.ofReal (f x)⟩
refine' ⟨hf.ennreal_ofReal, htμ.1, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
negPart := by
use ⟨t.toJordanDecomposition.negPart, fun x => ENNReal.ofReal (-f x)⟩
refine' ⟨hf.neg.ennreal_ofReal, htμ.2, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd] }
theorem haveLebesgueDecomposition_mk (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
by_cases hfi : Integrable f μ
· exact haveLebesgueDecomposition_mk' μ hf hfi htμ hadd
· rw [withDensityᵥ, dif_neg hfi, add_zero] at hadd
refine' haveLebesgueDecomposition_mk' μ measurable_zero (integrable_zero _ _ μ) htμ _
rwa [withDensityᵥ_zero, add_zero]
#align measure_theory.signed_measure.have_lebesgue_decomposition_mk MeasureTheory.SignedMeasure.haveLebesgueDecomposition_mk
private theorem eq_singularPart' (t : SignedMeasure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
t = s.singularPart μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
rw [singularPart, ← t.toSignedMeasure_toJordanDecomposition,
JordanDecomposition.toSignedMeasure]
congr
· have hfpos : Measurable fun x => ENNReal.ofReal (f x) := by measurability
refine' eq_singularPart hfpos htμ.1 _
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
· have hfneg : Measurable fun x => ENNReal.ofReal (-f x) := by measurability
refine' eq_singularPart hfneg htμ.2 _
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
/-- Given a measure `μ`, signed measures `s` and `t`, and a function `f` such that `t` is
mutually singular with respect to `μ` and `s = t + μ.withDensityᵥ f`, we have
`t = singularPart s μ`, i.e. `t` is the singular part of the Lebesgue decomposition between
`s` and `μ`. -/
theorem eq_singularPart (t : SignedMeasure α) (f : α → ℝ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure)
(hadd : s = t + μ.withDensityᵥ f) : t = s.singularPart μ := by
by_cases hfi : Integrable f μ
· refine' eq_singularPart' t hfi.1.measurable_mk (hfi.congr hfi.1.ae_eq_mk) htμ _
convert hadd using 2
exact WithDensityᵥEq.congr_ae hfi.1.ae_eq_mk.symm
· rw [withDensityᵥ, dif_neg hfi, add_zero] at hadd
refine' eq_singularPart' t measurable_zero (integrable_zero _ _ μ) htμ _
rwa [withDensityᵥ_zero, add_zero]
#align measure_theory.signed_measure.eq_singular_part MeasureTheory.SignedMeasure.eq_singularPart
theorem singularPart_zero (μ : Measure α) : (0 : SignedMeasure α).singularPart μ = 0 := by
refine' (eq_singularPart 0 0 VectorMeasure.MutuallySingular.zero_left _).symm
rw [zero_add, withDensityᵥ_zero]
#align measure_theory.signed_measure.singular_part_zero MeasureTheory.SignedMeasure.singularPart_zero
theorem singularPart_neg (s : SignedMeasure α) (μ : Measure α) :
(-s).singularPart μ = -s.singularPart μ := by
have h₁ :
((-s).toJordanDecomposition.posPart.singularPart μ).toSignedMeasure =
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure := by
| refine' toSignedMeasure_congr _ | theorem singularPart_neg (s : SignedMeasure α) (μ : Measure α) :
(-s).singularPart μ = -s.singularPart μ := by
have h₁ :
((-s).toJordanDecomposition.posPart.singularPart μ).toSignedMeasure =
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure := by
| Mathlib.MeasureTheory.Decomposition.SignedLebesgue.337_0.HPGboz0rhL6sBes | theorem singularPart_neg (s : SignedMeasure α) (μ : Measure α) :
(-s).singularPart μ = -s.singularPart μ | Mathlib_MeasureTheory_Decomposition_SignedLebesgue |
α : Type u_1
β : Type u_2
m : MeasurableSpace α
μ✝ ν : Measure α
s✝ t s : SignedMeasure α
μ : Measure α
⊢ Measure.singularPart (toJordanDecomposition (-s)).posPart μ = Measure.singularPart (toJordanDecomposition s).negPart μ | /-
Copyright (c) 2021 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.MeasureTheory.Decomposition.Lebesgue
import Mathlib.MeasureTheory.Measure.Complex
/-!
# Lebesgue decomposition
This file proves the Lebesgue decomposition theorem for signed measures. The Lebesgue decomposition
theorem states that, given two σ-finite measures `μ` and `ν`, there exists a σ-finite measure `ξ`
and a measurable function `f` such that `μ = ξ + fν` and `ξ` is mutually singular with respect
to `ν`.
## Main definitions
* `MeasureTheory.SignedMeasure.HaveLebesgueDecomposition` : A signed measure `s` and a
measure `μ` is said to `HaveLebesgueDecomposition` if both the positive part and negative
part of `s` `HaveLebesgueDecomposition` with respect to `μ`.
* `MeasureTheory.SignedMeasure.singularPart` : The singular part between a signed measure `s`
and a measure `μ` is simply the singular part of the positive part of `s` with respect to `μ`
minus the singular part of the negative part of `s` with respect to `μ`.
* `MeasureTheory.SignedMeasure.rnDeriv` : The Radon-Nikodym derivative of a signed
measure `s` with respect to a measure `μ` is the Radon-Nikodym derivative of the positive part of
`s` with respect to `μ` minus the Radon-Nikodym derivative of the negative part of `s` with
respect to `μ`.
## Main results
* `MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq` :
the Lebesgue decomposition theorem between a signed measure and a σ-finite positive measure.
## Tags
Lebesgue decomposition theorem
-/
noncomputable section
open scoped Classical MeasureTheory NNReal ENNReal
open Set
variable {α β : Type*} {m : MeasurableSpace α} {μ ν : MeasureTheory.Measure α}
namespace MeasureTheory
namespace SignedMeasure
open Measure
/-- A signed measure `s` is said to `HaveLebesgueDecomposition` with respect to a measure `μ`
if the positive part and the negative part of `s` both `HaveLebesgueDecomposition` with
respect to `μ`. -/
class HaveLebesgueDecomposition (s : SignedMeasure α) (μ : Measure α) : Prop where
posPart : s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ
negPart : s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ
#align measure_theory.signed_measure.have_lebesgue_decomposition MeasureTheory.SignedMeasure.HaveLebesgueDecomposition
#align measure_theory.signed_measure.have_lebesgue_decomposition.pos_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.posPart
#align measure_theory.signed_measure.have_lebesgue_decomposition.neg_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.negPart
attribute [instance] HaveLebesgueDecomposition.posPart
attribute [instance] HaveLebesgueDecomposition.negPart
theorem not_haveLebesgueDecomposition_iff (s : SignedMeasure α) (μ : Measure α) :
¬s.HaveLebesgueDecomposition μ ↔
¬s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ ∨
¬s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ :=
⟨fun h => not_or_of_imp fun hp hn => h ⟨hp, hn⟩, fun h hl => (not_and_or.2 h) ⟨hl.1, hl.2⟩⟩
#align measure_theory.signed_measure.not_have_lebesgue_decomposition_iff MeasureTheory.SignedMeasure.not_haveLebesgueDecomposition_iff
-- `infer_instance` directly does not work
-- see Note [lower instance priority]
instance (priority := 100) haveLebesgueDecomposition_of_sigmaFinite (s : SignedMeasure α)
(μ : Measure α) [SigmaFinite μ] : s.HaveLebesgueDecomposition μ where
posPart := inferInstance
negPart := inferInstance
#align measure_theory.signed_measure.have_lebesgue_decomposition_of_sigma_finite MeasureTheory.SignedMeasure.haveLebesgueDecomposition_of_sigmaFinite
instance haveLebesgueDecomposition_neg (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] : (-s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_neg MeasureTheory.SignedMeasure.haveLebesgueDecomposition_neg
instance haveLebesgueDecomposition_smul (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ≥0) : (r • s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul
instance haveLebesgueDecomposition_smul_real (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ) : (r • s).HaveLebesgueDecomposition μ := by
by_cases hr : 0 ≤ r
· lift r to ℝ≥0 using hr
exact s.haveLebesgueDecomposition_smul μ _
· rw [not_le] at hr
refine'
{ posPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_posPart_neg _ _ hr]
infer_instance
negPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_negPart_neg _ _ hr]
infer_instance }
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul_real MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul_real
/-- Given a signed measure `s` and a measure `μ`, `s.singularPart μ` is the signed measure
such that `s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s` and
`s.singularPart μ` is mutually singular with respect to `μ`. -/
def singularPart (s : SignedMeasure α) (μ : Measure α) : SignedMeasure α :=
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure -
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure
#align measure_theory.signed_measure.singular_part MeasureTheory.SignedMeasure.singularPart
section
theorem singularPart_mutuallySingular (s : SignedMeasure α) (μ : Measure α) :
s.toJordanDecomposition.posPart.singularPart μ ⟂ₘ
s.toJordanDecomposition.negPart.singularPart μ := by
by_cases hl : s.HaveLebesgueDecomposition μ
· obtain ⟨i, hi, hpos, hneg⟩ := s.toJordanDecomposition.mutuallySingular
rw [s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ] at hpos
rw [s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ] at hneg
rw [add_apply, add_eq_zero_iff] at hpos hneg
exact ⟨i, hi, hpos.1, hneg.1⟩
· rw [not_haveLebesgueDecomposition_iff] at hl
cases' hl with hp hn
· rw [Measure.singularPart, dif_neg hp]
exact MutuallySingular.zero_left
· rw [Measure.singularPart, Measure.singularPart, dif_neg hn]
exact MutuallySingular.zero_right
#align measure_theory.signed_measure.singular_part_mutually_singular MeasureTheory.SignedMeasure.singularPart_mutuallySingular
theorem singularPart_totalVariation (s : SignedMeasure α) (μ : Measure α) :
(s.singularPart μ).totalVariation =
s.toJordanDecomposition.posPart.singularPart μ +
s.toJordanDecomposition.negPart.singularPart μ := by
have :
(s.singularPart μ).toJordanDecomposition =
⟨s.toJordanDecomposition.posPart.singularPart μ,
s.toJordanDecomposition.negPart.singularPart μ, singularPart_mutuallySingular s μ⟩ := by
refine' JordanDecomposition.toSignedMeasure_injective _
rw [toSignedMeasure_toJordanDecomposition, singularPart, JordanDecomposition.toSignedMeasure]
· rw [totalVariation, this]
#align measure_theory.signed_measure.singular_part_total_variation MeasureTheory.SignedMeasure.singularPart_totalVariation
nonrec theorem mutuallySingular_singularPart (s : SignedMeasure α) (μ : Measure α) :
singularPart s μ ⟂ᵥ μ.toENNRealVectorMeasure := by
rw [mutuallySingular_ennreal_iff, singularPart_totalVariation,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure]
exact (mutuallySingular_singularPart _ _).add_left (mutuallySingular_singularPart _ _)
#align measure_theory.signed_measure.mutually_singular_singular_part MeasureTheory.SignedMeasure.mutuallySingular_singularPart
end
/-- The Radon-Nikodym derivative between a signed measure and a positive measure.
`rnDeriv s μ` satisfies `μ.withDensityᵥ (s.rnDeriv μ) = s`
if and only if `s` is absolutely continuous with respect to `μ` and this fact is known as
`MeasureTheory.SignedMeasure.absolutelyContinuous_iff_withDensity_rnDeriv_eq`
and can be found in `MeasureTheory.Decomposition.RadonNikodym`. -/
def rnDeriv (s : SignedMeasure α) (μ : Measure α) : α → ℝ := fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal
#align measure_theory.signed_measure.rn_deriv MeasureTheory.SignedMeasure.rnDeriv
-- Porting note: The generated equation theorem is the form of `rnDeriv s μ x`.
theorem rnDeriv_def (s : SignedMeasure α) (μ : Measure α) : rnDeriv s μ = fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal :=
rfl
attribute [eqns rnDeriv_def] rnDeriv
variable {s t : SignedMeasure α}
@[measurability]
theorem measurable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Measurable (rnDeriv s μ) := by
rw [rnDeriv]
measurability
#align measure_theory.signed_measure.measurable_rn_deriv MeasureTheory.SignedMeasure.measurable_rnDeriv
theorem integrable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Integrable (rnDeriv s μ) μ := by
refine' Integrable.sub _ _ <;>
· constructor
· apply Measurable.aestronglyMeasurable; measurability
exact hasFiniteIntegral_toReal_of_lintegral_ne_top (lintegral_rnDeriv_lt_top _ μ).ne
#align measure_theory.signed_measure.integrable_rn_deriv MeasureTheory.SignedMeasure.integrable_rnDeriv
variable (s μ)
/-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
first
| exact (lintegral_rnDeriv_lt_top _ _).ne
| measurability
#align measure_theory.signed_measure.singular_part_add_with_density_rn_deriv_eq MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq
variable {s μ}
theorem jordanDecomposition_add_withDensity_mutuallySingular {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) :
(t.toJordanDecomposition.posPart + μ.withDensity fun x : α => ENNReal.ofReal (f x)) ⟂ₘ
t.toJordanDecomposition.negPart + μ.withDensity fun x : α => ENNReal.ofReal (-f x) := by
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
exact
((JordanDecomposition.mutuallySingular _).add_right
(htμ.1.mono_ac (refl _) (withDensity_absolutelyContinuous _ _))).add_left
((htμ.2.symm.mono_ac (withDensity_absolutelyContinuous _ _) (refl _)).add_right
(withDensity_ofReal_mutuallySingular hf))
#align measure_theory.signed_measure.jordan_decomposition_add_with_density_mutually_singular MeasureTheory.SignedMeasure.jordanDecomposition_add_withDensity_mutuallySingular
theorem toJordanDecomposition_eq_of_eq_add_withDensity {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.toJordanDecomposition =
@JordanDecomposition.mk α _
(t.toJordanDecomposition.posPart + μ.withDensity fun x => ENNReal.ofReal (f x))
(t.toJordanDecomposition.negPart + μ.withDensity fun x => ENNReal.ofReal (-f x))
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.2; infer_instance)
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2; infer_instance)
(jordanDecomposition_add_withDensity_mutuallySingular hf htμ) := by
haveI := isFiniteMeasure_withDensity_ofReal hfi.2
haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2
refine' toJordanDecomposition_eq _
simp_rw [JordanDecomposition.toSignedMeasure, hadd]
ext i hi
rw [VectorMeasure.sub_apply, toSignedMeasure_apply_measurable hi,
toSignedMeasure_apply_measurable hi, add_apply, add_apply, ENNReal.toReal_add,
ENNReal.toReal_add, add_sub_add_comm, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi, ← VectorMeasure.sub_apply,
← JordanDecomposition.toSignedMeasure, toSignedMeasure_toJordanDecomposition,
VectorMeasure.add_apply, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi,
withDensityᵥ_eq_withDensity_pos_part_sub_withDensity_neg_part hfi,
VectorMeasure.sub_apply] <;>
exact (measure_lt_top _ _).ne
#align measure_theory.signed_measure.to_jordan_decomposition_eq_of_eq_add_with_density MeasureTheory.SignedMeasure.toJordanDecomposition_eq_of_eq_add_withDensity
private theorem haveLebesgueDecomposition_mk' (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff] at htμ
change _ ⟂ₘ VectorMeasure.equivMeasure.toFun (VectorMeasure.equivMeasure.invFun μ) at htμ
rw [VectorMeasure.equivMeasure.right_inv, totalVariation_mutuallySingular_iff] at htμ
refine'
{ posPart := by
use ⟨t.toJordanDecomposition.posPart, fun x => ENNReal.ofReal (f x)⟩
refine' ⟨hf.ennreal_ofReal, htμ.1, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
negPart := by
use ⟨t.toJordanDecomposition.negPart, fun x => ENNReal.ofReal (-f x)⟩
refine' ⟨hf.neg.ennreal_ofReal, htμ.2, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd] }
theorem haveLebesgueDecomposition_mk (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
by_cases hfi : Integrable f μ
· exact haveLebesgueDecomposition_mk' μ hf hfi htμ hadd
· rw [withDensityᵥ, dif_neg hfi, add_zero] at hadd
refine' haveLebesgueDecomposition_mk' μ measurable_zero (integrable_zero _ _ μ) htμ _
rwa [withDensityᵥ_zero, add_zero]
#align measure_theory.signed_measure.have_lebesgue_decomposition_mk MeasureTheory.SignedMeasure.haveLebesgueDecomposition_mk
private theorem eq_singularPart' (t : SignedMeasure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
t = s.singularPart μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
rw [singularPart, ← t.toSignedMeasure_toJordanDecomposition,
JordanDecomposition.toSignedMeasure]
congr
· have hfpos : Measurable fun x => ENNReal.ofReal (f x) := by measurability
refine' eq_singularPart hfpos htμ.1 _
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
· have hfneg : Measurable fun x => ENNReal.ofReal (-f x) := by measurability
refine' eq_singularPart hfneg htμ.2 _
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
/-- Given a measure `μ`, signed measures `s` and `t`, and a function `f` such that `t` is
mutually singular with respect to `μ` and `s = t + μ.withDensityᵥ f`, we have
`t = singularPart s μ`, i.e. `t` is the singular part of the Lebesgue decomposition between
`s` and `μ`. -/
theorem eq_singularPart (t : SignedMeasure α) (f : α → ℝ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure)
(hadd : s = t + μ.withDensityᵥ f) : t = s.singularPart μ := by
by_cases hfi : Integrable f μ
· refine' eq_singularPart' t hfi.1.measurable_mk (hfi.congr hfi.1.ae_eq_mk) htμ _
convert hadd using 2
exact WithDensityᵥEq.congr_ae hfi.1.ae_eq_mk.symm
· rw [withDensityᵥ, dif_neg hfi, add_zero] at hadd
refine' eq_singularPart' t measurable_zero (integrable_zero _ _ μ) htμ _
rwa [withDensityᵥ_zero, add_zero]
#align measure_theory.signed_measure.eq_singular_part MeasureTheory.SignedMeasure.eq_singularPart
theorem singularPart_zero (μ : Measure α) : (0 : SignedMeasure α).singularPart μ = 0 := by
refine' (eq_singularPart 0 0 VectorMeasure.MutuallySingular.zero_left _).symm
rw [zero_add, withDensityᵥ_zero]
#align measure_theory.signed_measure.singular_part_zero MeasureTheory.SignedMeasure.singularPart_zero
theorem singularPart_neg (s : SignedMeasure α) (μ : Measure α) :
(-s).singularPart μ = -s.singularPart μ := by
have h₁ :
((-s).toJordanDecomposition.posPart.singularPart μ).toSignedMeasure =
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure := by
refine' toSignedMeasure_congr _
| rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart] | theorem singularPart_neg (s : SignedMeasure α) (μ : Measure α) :
(-s).singularPart μ = -s.singularPart μ := by
have h₁ :
((-s).toJordanDecomposition.posPart.singularPart μ).toSignedMeasure =
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure := by
refine' toSignedMeasure_congr _
| Mathlib.MeasureTheory.Decomposition.SignedLebesgue.337_0.HPGboz0rhL6sBes | theorem singularPart_neg (s : SignedMeasure α) (μ : Measure α) :
(-s).singularPart μ = -s.singularPart μ | Mathlib_MeasureTheory_Decomposition_SignedLebesgue |
α : Type u_1
β : Type u_2
m : MeasurableSpace α
μ✝ ν : Measure α
s✝ t s : SignedMeasure α
μ : Measure α
h₁ :
toSignedMeasure (Measure.singularPart (toJordanDecomposition (-s)).posPart μ) =
toSignedMeasure (Measure.singularPart (toJordanDecomposition s).negPart μ)
⊢ singularPart (-s) μ = -singularPart s μ | /-
Copyright (c) 2021 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.MeasureTheory.Decomposition.Lebesgue
import Mathlib.MeasureTheory.Measure.Complex
/-!
# Lebesgue decomposition
This file proves the Lebesgue decomposition theorem for signed measures. The Lebesgue decomposition
theorem states that, given two σ-finite measures `μ` and `ν`, there exists a σ-finite measure `ξ`
and a measurable function `f` such that `μ = ξ + fν` and `ξ` is mutually singular with respect
to `ν`.
## Main definitions
* `MeasureTheory.SignedMeasure.HaveLebesgueDecomposition` : A signed measure `s` and a
measure `μ` is said to `HaveLebesgueDecomposition` if both the positive part and negative
part of `s` `HaveLebesgueDecomposition` with respect to `μ`.
* `MeasureTheory.SignedMeasure.singularPart` : The singular part between a signed measure `s`
and a measure `μ` is simply the singular part of the positive part of `s` with respect to `μ`
minus the singular part of the negative part of `s` with respect to `μ`.
* `MeasureTheory.SignedMeasure.rnDeriv` : The Radon-Nikodym derivative of a signed
measure `s` with respect to a measure `μ` is the Radon-Nikodym derivative of the positive part of
`s` with respect to `μ` minus the Radon-Nikodym derivative of the negative part of `s` with
respect to `μ`.
## Main results
* `MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq` :
the Lebesgue decomposition theorem between a signed measure and a σ-finite positive measure.
## Tags
Lebesgue decomposition theorem
-/
noncomputable section
open scoped Classical MeasureTheory NNReal ENNReal
open Set
variable {α β : Type*} {m : MeasurableSpace α} {μ ν : MeasureTheory.Measure α}
namespace MeasureTheory
namespace SignedMeasure
open Measure
/-- A signed measure `s` is said to `HaveLebesgueDecomposition` with respect to a measure `μ`
if the positive part and the negative part of `s` both `HaveLebesgueDecomposition` with
respect to `μ`. -/
class HaveLebesgueDecomposition (s : SignedMeasure α) (μ : Measure α) : Prop where
posPart : s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ
negPart : s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ
#align measure_theory.signed_measure.have_lebesgue_decomposition MeasureTheory.SignedMeasure.HaveLebesgueDecomposition
#align measure_theory.signed_measure.have_lebesgue_decomposition.pos_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.posPart
#align measure_theory.signed_measure.have_lebesgue_decomposition.neg_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.negPart
attribute [instance] HaveLebesgueDecomposition.posPart
attribute [instance] HaveLebesgueDecomposition.negPart
theorem not_haveLebesgueDecomposition_iff (s : SignedMeasure α) (μ : Measure α) :
¬s.HaveLebesgueDecomposition μ ↔
¬s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ ∨
¬s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ :=
⟨fun h => not_or_of_imp fun hp hn => h ⟨hp, hn⟩, fun h hl => (not_and_or.2 h) ⟨hl.1, hl.2⟩⟩
#align measure_theory.signed_measure.not_have_lebesgue_decomposition_iff MeasureTheory.SignedMeasure.not_haveLebesgueDecomposition_iff
-- `infer_instance` directly does not work
-- see Note [lower instance priority]
instance (priority := 100) haveLebesgueDecomposition_of_sigmaFinite (s : SignedMeasure α)
(μ : Measure α) [SigmaFinite μ] : s.HaveLebesgueDecomposition μ where
posPart := inferInstance
negPart := inferInstance
#align measure_theory.signed_measure.have_lebesgue_decomposition_of_sigma_finite MeasureTheory.SignedMeasure.haveLebesgueDecomposition_of_sigmaFinite
instance haveLebesgueDecomposition_neg (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] : (-s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_neg MeasureTheory.SignedMeasure.haveLebesgueDecomposition_neg
instance haveLebesgueDecomposition_smul (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ≥0) : (r • s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul
instance haveLebesgueDecomposition_smul_real (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ) : (r • s).HaveLebesgueDecomposition μ := by
by_cases hr : 0 ≤ r
· lift r to ℝ≥0 using hr
exact s.haveLebesgueDecomposition_smul μ _
· rw [not_le] at hr
refine'
{ posPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_posPart_neg _ _ hr]
infer_instance
negPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_negPart_neg _ _ hr]
infer_instance }
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul_real MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul_real
/-- Given a signed measure `s` and a measure `μ`, `s.singularPart μ` is the signed measure
such that `s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s` and
`s.singularPart μ` is mutually singular with respect to `μ`. -/
def singularPart (s : SignedMeasure α) (μ : Measure α) : SignedMeasure α :=
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure -
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure
#align measure_theory.signed_measure.singular_part MeasureTheory.SignedMeasure.singularPart
section
theorem singularPart_mutuallySingular (s : SignedMeasure α) (μ : Measure α) :
s.toJordanDecomposition.posPart.singularPart μ ⟂ₘ
s.toJordanDecomposition.negPart.singularPart μ := by
by_cases hl : s.HaveLebesgueDecomposition μ
· obtain ⟨i, hi, hpos, hneg⟩ := s.toJordanDecomposition.mutuallySingular
rw [s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ] at hpos
rw [s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ] at hneg
rw [add_apply, add_eq_zero_iff] at hpos hneg
exact ⟨i, hi, hpos.1, hneg.1⟩
· rw [not_haveLebesgueDecomposition_iff] at hl
cases' hl with hp hn
· rw [Measure.singularPart, dif_neg hp]
exact MutuallySingular.zero_left
· rw [Measure.singularPart, Measure.singularPart, dif_neg hn]
exact MutuallySingular.zero_right
#align measure_theory.signed_measure.singular_part_mutually_singular MeasureTheory.SignedMeasure.singularPart_mutuallySingular
theorem singularPart_totalVariation (s : SignedMeasure α) (μ : Measure α) :
(s.singularPart μ).totalVariation =
s.toJordanDecomposition.posPart.singularPart μ +
s.toJordanDecomposition.negPart.singularPart μ := by
have :
(s.singularPart μ).toJordanDecomposition =
⟨s.toJordanDecomposition.posPart.singularPart μ,
s.toJordanDecomposition.negPart.singularPart μ, singularPart_mutuallySingular s μ⟩ := by
refine' JordanDecomposition.toSignedMeasure_injective _
rw [toSignedMeasure_toJordanDecomposition, singularPart, JordanDecomposition.toSignedMeasure]
· rw [totalVariation, this]
#align measure_theory.signed_measure.singular_part_total_variation MeasureTheory.SignedMeasure.singularPart_totalVariation
nonrec theorem mutuallySingular_singularPart (s : SignedMeasure α) (μ : Measure α) :
singularPart s μ ⟂ᵥ μ.toENNRealVectorMeasure := by
rw [mutuallySingular_ennreal_iff, singularPart_totalVariation,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure]
exact (mutuallySingular_singularPart _ _).add_left (mutuallySingular_singularPart _ _)
#align measure_theory.signed_measure.mutually_singular_singular_part MeasureTheory.SignedMeasure.mutuallySingular_singularPart
end
/-- The Radon-Nikodym derivative between a signed measure and a positive measure.
`rnDeriv s μ` satisfies `μ.withDensityᵥ (s.rnDeriv μ) = s`
if and only if `s` is absolutely continuous with respect to `μ` and this fact is known as
`MeasureTheory.SignedMeasure.absolutelyContinuous_iff_withDensity_rnDeriv_eq`
and can be found in `MeasureTheory.Decomposition.RadonNikodym`. -/
def rnDeriv (s : SignedMeasure α) (μ : Measure α) : α → ℝ := fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal
#align measure_theory.signed_measure.rn_deriv MeasureTheory.SignedMeasure.rnDeriv
-- Porting note: The generated equation theorem is the form of `rnDeriv s μ x`.
theorem rnDeriv_def (s : SignedMeasure α) (μ : Measure α) : rnDeriv s μ = fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal :=
rfl
attribute [eqns rnDeriv_def] rnDeriv
variable {s t : SignedMeasure α}
@[measurability]
theorem measurable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Measurable (rnDeriv s μ) := by
rw [rnDeriv]
measurability
#align measure_theory.signed_measure.measurable_rn_deriv MeasureTheory.SignedMeasure.measurable_rnDeriv
theorem integrable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Integrable (rnDeriv s μ) μ := by
refine' Integrable.sub _ _ <;>
· constructor
· apply Measurable.aestronglyMeasurable; measurability
exact hasFiniteIntegral_toReal_of_lintegral_ne_top (lintegral_rnDeriv_lt_top _ μ).ne
#align measure_theory.signed_measure.integrable_rn_deriv MeasureTheory.SignedMeasure.integrable_rnDeriv
variable (s μ)
/-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
first
| exact (lintegral_rnDeriv_lt_top _ _).ne
| measurability
#align measure_theory.signed_measure.singular_part_add_with_density_rn_deriv_eq MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq
variable {s μ}
theorem jordanDecomposition_add_withDensity_mutuallySingular {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) :
(t.toJordanDecomposition.posPart + μ.withDensity fun x : α => ENNReal.ofReal (f x)) ⟂ₘ
t.toJordanDecomposition.negPart + μ.withDensity fun x : α => ENNReal.ofReal (-f x) := by
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
exact
((JordanDecomposition.mutuallySingular _).add_right
(htμ.1.mono_ac (refl _) (withDensity_absolutelyContinuous _ _))).add_left
((htμ.2.symm.mono_ac (withDensity_absolutelyContinuous _ _) (refl _)).add_right
(withDensity_ofReal_mutuallySingular hf))
#align measure_theory.signed_measure.jordan_decomposition_add_with_density_mutually_singular MeasureTheory.SignedMeasure.jordanDecomposition_add_withDensity_mutuallySingular
theorem toJordanDecomposition_eq_of_eq_add_withDensity {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.toJordanDecomposition =
@JordanDecomposition.mk α _
(t.toJordanDecomposition.posPart + μ.withDensity fun x => ENNReal.ofReal (f x))
(t.toJordanDecomposition.negPart + μ.withDensity fun x => ENNReal.ofReal (-f x))
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.2; infer_instance)
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2; infer_instance)
(jordanDecomposition_add_withDensity_mutuallySingular hf htμ) := by
haveI := isFiniteMeasure_withDensity_ofReal hfi.2
haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2
refine' toJordanDecomposition_eq _
simp_rw [JordanDecomposition.toSignedMeasure, hadd]
ext i hi
rw [VectorMeasure.sub_apply, toSignedMeasure_apply_measurable hi,
toSignedMeasure_apply_measurable hi, add_apply, add_apply, ENNReal.toReal_add,
ENNReal.toReal_add, add_sub_add_comm, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi, ← VectorMeasure.sub_apply,
← JordanDecomposition.toSignedMeasure, toSignedMeasure_toJordanDecomposition,
VectorMeasure.add_apply, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi,
withDensityᵥ_eq_withDensity_pos_part_sub_withDensity_neg_part hfi,
VectorMeasure.sub_apply] <;>
exact (measure_lt_top _ _).ne
#align measure_theory.signed_measure.to_jordan_decomposition_eq_of_eq_add_with_density MeasureTheory.SignedMeasure.toJordanDecomposition_eq_of_eq_add_withDensity
private theorem haveLebesgueDecomposition_mk' (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff] at htμ
change _ ⟂ₘ VectorMeasure.equivMeasure.toFun (VectorMeasure.equivMeasure.invFun μ) at htμ
rw [VectorMeasure.equivMeasure.right_inv, totalVariation_mutuallySingular_iff] at htμ
refine'
{ posPart := by
use ⟨t.toJordanDecomposition.posPart, fun x => ENNReal.ofReal (f x)⟩
refine' ⟨hf.ennreal_ofReal, htμ.1, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
negPart := by
use ⟨t.toJordanDecomposition.negPart, fun x => ENNReal.ofReal (-f x)⟩
refine' ⟨hf.neg.ennreal_ofReal, htμ.2, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd] }
theorem haveLebesgueDecomposition_mk (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
by_cases hfi : Integrable f μ
· exact haveLebesgueDecomposition_mk' μ hf hfi htμ hadd
· rw [withDensityᵥ, dif_neg hfi, add_zero] at hadd
refine' haveLebesgueDecomposition_mk' μ measurable_zero (integrable_zero _ _ μ) htμ _
rwa [withDensityᵥ_zero, add_zero]
#align measure_theory.signed_measure.have_lebesgue_decomposition_mk MeasureTheory.SignedMeasure.haveLebesgueDecomposition_mk
private theorem eq_singularPart' (t : SignedMeasure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
t = s.singularPart μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
rw [singularPart, ← t.toSignedMeasure_toJordanDecomposition,
JordanDecomposition.toSignedMeasure]
congr
· have hfpos : Measurable fun x => ENNReal.ofReal (f x) := by measurability
refine' eq_singularPart hfpos htμ.1 _
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
· have hfneg : Measurable fun x => ENNReal.ofReal (-f x) := by measurability
refine' eq_singularPart hfneg htμ.2 _
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
/-- Given a measure `μ`, signed measures `s` and `t`, and a function `f` such that `t` is
mutually singular with respect to `μ` and `s = t + μ.withDensityᵥ f`, we have
`t = singularPart s μ`, i.e. `t` is the singular part of the Lebesgue decomposition between
`s` and `μ`. -/
theorem eq_singularPart (t : SignedMeasure α) (f : α → ℝ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure)
(hadd : s = t + μ.withDensityᵥ f) : t = s.singularPart μ := by
by_cases hfi : Integrable f μ
· refine' eq_singularPart' t hfi.1.measurable_mk (hfi.congr hfi.1.ae_eq_mk) htμ _
convert hadd using 2
exact WithDensityᵥEq.congr_ae hfi.1.ae_eq_mk.symm
· rw [withDensityᵥ, dif_neg hfi, add_zero] at hadd
refine' eq_singularPart' t measurable_zero (integrable_zero _ _ μ) htμ _
rwa [withDensityᵥ_zero, add_zero]
#align measure_theory.signed_measure.eq_singular_part MeasureTheory.SignedMeasure.eq_singularPart
theorem singularPart_zero (μ : Measure α) : (0 : SignedMeasure α).singularPart μ = 0 := by
refine' (eq_singularPart 0 0 VectorMeasure.MutuallySingular.zero_left _).symm
rw [zero_add, withDensityᵥ_zero]
#align measure_theory.signed_measure.singular_part_zero MeasureTheory.SignedMeasure.singularPart_zero
theorem singularPart_neg (s : SignedMeasure α) (μ : Measure α) :
(-s).singularPart μ = -s.singularPart μ := by
have h₁ :
((-s).toJordanDecomposition.posPart.singularPart μ).toSignedMeasure =
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure := by
refine' toSignedMeasure_congr _
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
| have h₂ :
((-s).toJordanDecomposition.negPart.singularPart μ).toSignedMeasure =
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure := by
refine' toSignedMeasure_congr _
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart] | theorem singularPart_neg (s : SignedMeasure α) (μ : Measure α) :
(-s).singularPart μ = -s.singularPart μ := by
have h₁ :
((-s).toJordanDecomposition.posPart.singularPart μ).toSignedMeasure =
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure := by
refine' toSignedMeasure_congr _
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
| Mathlib.MeasureTheory.Decomposition.SignedLebesgue.337_0.HPGboz0rhL6sBes | theorem singularPart_neg (s : SignedMeasure α) (μ : Measure α) :
(-s).singularPart μ = -s.singularPart μ | Mathlib_MeasureTheory_Decomposition_SignedLebesgue |
α : Type u_1
β : Type u_2
m : MeasurableSpace α
μ✝ ν : Measure α
s✝ t s : SignedMeasure α
μ : Measure α
h₁ :
toSignedMeasure (Measure.singularPart (toJordanDecomposition (-s)).posPart μ) =
toSignedMeasure (Measure.singularPart (toJordanDecomposition s).negPart μ)
⊢ toSignedMeasure (Measure.singularPart (toJordanDecomposition (-s)).negPart μ) =
toSignedMeasure (Measure.singularPart (toJordanDecomposition s).posPart μ) | /-
Copyright (c) 2021 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.MeasureTheory.Decomposition.Lebesgue
import Mathlib.MeasureTheory.Measure.Complex
/-!
# Lebesgue decomposition
This file proves the Lebesgue decomposition theorem for signed measures. The Lebesgue decomposition
theorem states that, given two σ-finite measures `μ` and `ν`, there exists a σ-finite measure `ξ`
and a measurable function `f` such that `μ = ξ + fν` and `ξ` is mutually singular with respect
to `ν`.
## Main definitions
* `MeasureTheory.SignedMeasure.HaveLebesgueDecomposition` : A signed measure `s` and a
measure `μ` is said to `HaveLebesgueDecomposition` if both the positive part and negative
part of `s` `HaveLebesgueDecomposition` with respect to `μ`.
* `MeasureTheory.SignedMeasure.singularPart` : The singular part between a signed measure `s`
and a measure `μ` is simply the singular part of the positive part of `s` with respect to `μ`
minus the singular part of the negative part of `s` with respect to `μ`.
* `MeasureTheory.SignedMeasure.rnDeriv` : The Radon-Nikodym derivative of a signed
measure `s` with respect to a measure `μ` is the Radon-Nikodym derivative of the positive part of
`s` with respect to `μ` minus the Radon-Nikodym derivative of the negative part of `s` with
respect to `μ`.
## Main results
* `MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq` :
the Lebesgue decomposition theorem between a signed measure and a σ-finite positive measure.
## Tags
Lebesgue decomposition theorem
-/
noncomputable section
open scoped Classical MeasureTheory NNReal ENNReal
open Set
variable {α β : Type*} {m : MeasurableSpace α} {μ ν : MeasureTheory.Measure α}
namespace MeasureTheory
namespace SignedMeasure
open Measure
/-- A signed measure `s` is said to `HaveLebesgueDecomposition` with respect to a measure `μ`
if the positive part and the negative part of `s` both `HaveLebesgueDecomposition` with
respect to `μ`. -/
class HaveLebesgueDecomposition (s : SignedMeasure α) (μ : Measure α) : Prop where
posPart : s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ
negPart : s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ
#align measure_theory.signed_measure.have_lebesgue_decomposition MeasureTheory.SignedMeasure.HaveLebesgueDecomposition
#align measure_theory.signed_measure.have_lebesgue_decomposition.pos_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.posPart
#align measure_theory.signed_measure.have_lebesgue_decomposition.neg_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.negPart
attribute [instance] HaveLebesgueDecomposition.posPart
attribute [instance] HaveLebesgueDecomposition.negPart
theorem not_haveLebesgueDecomposition_iff (s : SignedMeasure α) (μ : Measure α) :
¬s.HaveLebesgueDecomposition μ ↔
¬s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ ∨
¬s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ :=
⟨fun h => not_or_of_imp fun hp hn => h ⟨hp, hn⟩, fun h hl => (not_and_or.2 h) ⟨hl.1, hl.2⟩⟩
#align measure_theory.signed_measure.not_have_lebesgue_decomposition_iff MeasureTheory.SignedMeasure.not_haveLebesgueDecomposition_iff
-- `infer_instance` directly does not work
-- see Note [lower instance priority]
instance (priority := 100) haveLebesgueDecomposition_of_sigmaFinite (s : SignedMeasure α)
(μ : Measure α) [SigmaFinite μ] : s.HaveLebesgueDecomposition μ where
posPart := inferInstance
negPart := inferInstance
#align measure_theory.signed_measure.have_lebesgue_decomposition_of_sigma_finite MeasureTheory.SignedMeasure.haveLebesgueDecomposition_of_sigmaFinite
instance haveLebesgueDecomposition_neg (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] : (-s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_neg MeasureTheory.SignedMeasure.haveLebesgueDecomposition_neg
instance haveLebesgueDecomposition_smul (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ≥0) : (r • s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul
instance haveLebesgueDecomposition_smul_real (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ) : (r • s).HaveLebesgueDecomposition μ := by
by_cases hr : 0 ≤ r
· lift r to ℝ≥0 using hr
exact s.haveLebesgueDecomposition_smul μ _
· rw [not_le] at hr
refine'
{ posPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_posPart_neg _ _ hr]
infer_instance
negPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_negPart_neg _ _ hr]
infer_instance }
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul_real MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul_real
/-- Given a signed measure `s` and a measure `μ`, `s.singularPart μ` is the signed measure
such that `s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s` and
`s.singularPart μ` is mutually singular with respect to `μ`. -/
def singularPart (s : SignedMeasure α) (μ : Measure α) : SignedMeasure α :=
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure -
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure
#align measure_theory.signed_measure.singular_part MeasureTheory.SignedMeasure.singularPart
section
theorem singularPart_mutuallySingular (s : SignedMeasure α) (μ : Measure α) :
s.toJordanDecomposition.posPart.singularPart μ ⟂ₘ
s.toJordanDecomposition.negPart.singularPart μ := by
by_cases hl : s.HaveLebesgueDecomposition μ
· obtain ⟨i, hi, hpos, hneg⟩ := s.toJordanDecomposition.mutuallySingular
rw [s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ] at hpos
rw [s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ] at hneg
rw [add_apply, add_eq_zero_iff] at hpos hneg
exact ⟨i, hi, hpos.1, hneg.1⟩
· rw [not_haveLebesgueDecomposition_iff] at hl
cases' hl with hp hn
· rw [Measure.singularPart, dif_neg hp]
exact MutuallySingular.zero_left
· rw [Measure.singularPart, Measure.singularPart, dif_neg hn]
exact MutuallySingular.zero_right
#align measure_theory.signed_measure.singular_part_mutually_singular MeasureTheory.SignedMeasure.singularPart_mutuallySingular
theorem singularPart_totalVariation (s : SignedMeasure α) (μ : Measure α) :
(s.singularPart μ).totalVariation =
s.toJordanDecomposition.posPart.singularPart μ +
s.toJordanDecomposition.negPart.singularPart μ := by
have :
(s.singularPart μ).toJordanDecomposition =
⟨s.toJordanDecomposition.posPart.singularPart μ,
s.toJordanDecomposition.negPart.singularPart μ, singularPart_mutuallySingular s μ⟩ := by
refine' JordanDecomposition.toSignedMeasure_injective _
rw [toSignedMeasure_toJordanDecomposition, singularPart, JordanDecomposition.toSignedMeasure]
· rw [totalVariation, this]
#align measure_theory.signed_measure.singular_part_total_variation MeasureTheory.SignedMeasure.singularPart_totalVariation
nonrec theorem mutuallySingular_singularPart (s : SignedMeasure α) (μ : Measure α) :
singularPart s μ ⟂ᵥ μ.toENNRealVectorMeasure := by
rw [mutuallySingular_ennreal_iff, singularPart_totalVariation,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure]
exact (mutuallySingular_singularPart _ _).add_left (mutuallySingular_singularPart _ _)
#align measure_theory.signed_measure.mutually_singular_singular_part MeasureTheory.SignedMeasure.mutuallySingular_singularPart
end
/-- The Radon-Nikodym derivative between a signed measure and a positive measure.
`rnDeriv s μ` satisfies `μ.withDensityᵥ (s.rnDeriv μ) = s`
if and only if `s` is absolutely continuous with respect to `μ` and this fact is known as
`MeasureTheory.SignedMeasure.absolutelyContinuous_iff_withDensity_rnDeriv_eq`
and can be found in `MeasureTheory.Decomposition.RadonNikodym`. -/
def rnDeriv (s : SignedMeasure α) (μ : Measure α) : α → ℝ := fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal
#align measure_theory.signed_measure.rn_deriv MeasureTheory.SignedMeasure.rnDeriv
-- Porting note: The generated equation theorem is the form of `rnDeriv s μ x`.
theorem rnDeriv_def (s : SignedMeasure α) (μ : Measure α) : rnDeriv s μ = fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal :=
rfl
attribute [eqns rnDeriv_def] rnDeriv
variable {s t : SignedMeasure α}
@[measurability]
theorem measurable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Measurable (rnDeriv s μ) := by
rw [rnDeriv]
measurability
#align measure_theory.signed_measure.measurable_rn_deriv MeasureTheory.SignedMeasure.measurable_rnDeriv
theorem integrable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Integrable (rnDeriv s μ) μ := by
refine' Integrable.sub _ _ <;>
· constructor
· apply Measurable.aestronglyMeasurable; measurability
exact hasFiniteIntegral_toReal_of_lintegral_ne_top (lintegral_rnDeriv_lt_top _ μ).ne
#align measure_theory.signed_measure.integrable_rn_deriv MeasureTheory.SignedMeasure.integrable_rnDeriv
variable (s μ)
/-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
first
| exact (lintegral_rnDeriv_lt_top _ _).ne
| measurability
#align measure_theory.signed_measure.singular_part_add_with_density_rn_deriv_eq MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq
variable {s μ}
theorem jordanDecomposition_add_withDensity_mutuallySingular {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) :
(t.toJordanDecomposition.posPart + μ.withDensity fun x : α => ENNReal.ofReal (f x)) ⟂ₘ
t.toJordanDecomposition.negPart + μ.withDensity fun x : α => ENNReal.ofReal (-f x) := by
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
exact
((JordanDecomposition.mutuallySingular _).add_right
(htμ.1.mono_ac (refl _) (withDensity_absolutelyContinuous _ _))).add_left
((htμ.2.symm.mono_ac (withDensity_absolutelyContinuous _ _) (refl _)).add_right
(withDensity_ofReal_mutuallySingular hf))
#align measure_theory.signed_measure.jordan_decomposition_add_with_density_mutually_singular MeasureTheory.SignedMeasure.jordanDecomposition_add_withDensity_mutuallySingular
theorem toJordanDecomposition_eq_of_eq_add_withDensity {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.toJordanDecomposition =
@JordanDecomposition.mk α _
(t.toJordanDecomposition.posPart + μ.withDensity fun x => ENNReal.ofReal (f x))
(t.toJordanDecomposition.negPart + μ.withDensity fun x => ENNReal.ofReal (-f x))
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.2; infer_instance)
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2; infer_instance)
(jordanDecomposition_add_withDensity_mutuallySingular hf htμ) := by
haveI := isFiniteMeasure_withDensity_ofReal hfi.2
haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2
refine' toJordanDecomposition_eq _
simp_rw [JordanDecomposition.toSignedMeasure, hadd]
ext i hi
rw [VectorMeasure.sub_apply, toSignedMeasure_apply_measurable hi,
toSignedMeasure_apply_measurable hi, add_apply, add_apply, ENNReal.toReal_add,
ENNReal.toReal_add, add_sub_add_comm, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi, ← VectorMeasure.sub_apply,
← JordanDecomposition.toSignedMeasure, toSignedMeasure_toJordanDecomposition,
VectorMeasure.add_apply, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi,
withDensityᵥ_eq_withDensity_pos_part_sub_withDensity_neg_part hfi,
VectorMeasure.sub_apply] <;>
exact (measure_lt_top _ _).ne
#align measure_theory.signed_measure.to_jordan_decomposition_eq_of_eq_add_with_density MeasureTheory.SignedMeasure.toJordanDecomposition_eq_of_eq_add_withDensity
private theorem haveLebesgueDecomposition_mk' (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff] at htμ
change _ ⟂ₘ VectorMeasure.equivMeasure.toFun (VectorMeasure.equivMeasure.invFun μ) at htμ
rw [VectorMeasure.equivMeasure.right_inv, totalVariation_mutuallySingular_iff] at htμ
refine'
{ posPart := by
use ⟨t.toJordanDecomposition.posPart, fun x => ENNReal.ofReal (f x)⟩
refine' ⟨hf.ennreal_ofReal, htμ.1, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
negPart := by
use ⟨t.toJordanDecomposition.negPart, fun x => ENNReal.ofReal (-f x)⟩
refine' ⟨hf.neg.ennreal_ofReal, htμ.2, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd] }
theorem haveLebesgueDecomposition_mk (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
by_cases hfi : Integrable f μ
· exact haveLebesgueDecomposition_mk' μ hf hfi htμ hadd
· rw [withDensityᵥ, dif_neg hfi, add_zero] at hadd
refine' haveLebesgueDecomposition_mk' μ measurable_zero (integrable_zero _ _ μ) htμ _
rwa [withDensityᵥ_zero, add_zero]
#align measure_theory.signed_measure.have_lebesgue_decomposition_mk MeasureTheory.SignedMeasure.haveLebesgueDecomposition_mk
private theorem eq_singularPart' (t : SignedMeasure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
t = s.singularPart μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
rw [singularPart, ← t.toSignedMeasure_toJordanDecomposition,
JordanDecomposition.toSignedMeasure]
congr
· have hfpos : Measurable fun x => ENNReal.ofReal (f x) := by measurability
refine' eq_singularPart hfpos htμ.1 _
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
· have hfneg : Measurable fun x => ENNReal.ofReal (-f x) := by measurability
refine' eq_singularPart hfneg htμ.2 _
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
/-- Given a measure `μ`, signed measures `s` and `t`, and a function `f` such that `t` is
mutually singular with respect to `μ` and `s = t + μ.withDensityᵥ f`, we have
`t = singularPart s μ`, i.e. `t` is the singular part of the Lebesgue decomposition between
`s` and `μ`. -/
theorem eq_singularPart (t : SignedMeasure α) (f : α → ℝ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure)
(hadd : s = t + μ.withDensityᵥ f) : t = s.singularPart μ := by
by_cases hfi : Integrable f μ
· refine' eq_singularPart' t hfi.1.measurable_mk (hfi.congr hfi.1.ae_eq_mk) htμ _
convert hadd using 2
exact WithDensityᵥEq.congr_ae hfi.1.ae_eq_mk.symm
· rw [withDensityᵥ, dif_neg hfi, add_zero] at hadd
refine' eq_singularPart' t measurable_zero (integrable_zero _ _ μ) htμ _
rwa [withDensityᵥ_zero, add_zero]
#align measure_theory.signed_measure.eq_singular_part MeasureTheory.SignedMeasure.eq_singularPart
theorem singularPart_zero (μ : Measure α) : (0 : SignedMeasure α).singularPart μ = 0 := by
refine' (eq_singularPart 0 0 VectorMeasure.MutuallySingular.zero_left _).symm
rw [zero_add, withDensityᵥ_zero]
#align measure_theory.signed_measure.singular_part_zero MeasureTheory.SignedMeasure.singularPart_zero
theorem singularPart_neg (s : SignedMeasure α) (μ : Measure α) :
(-s).singularPart μ = -s.singularPart μ := by
have h₁ :
((-s).toJordanDecomposition.posPart.singularPart μ).toSignedMeasure =
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure := by
refine' toSignedMeasure_congr _
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
have h₂ :
((-s).toJordanDecomposition.negPart.singularPart μ).toSignedMeasure =
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure := by
| refine' toSignedMeasure_congr _ | theorem singularPart_neg (s : SignedMeasure α) (μ : Measure α) :
(-s).singularPart μ = -s.singularPart μ := by
have h₁ :
((-s).toJordanDecomposition.posPart.singularPart μ).toSignedMeasure =
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure := by
refine' toSignedMeasure_congr _
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
have h₂ :
((-s).toJordanDecomposition.negPart.singularPart μ).toSignedMeasure =
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure := by
| Mathlib.MeasureTheory.Decomposition.SignedLebesgue.337_0.HPGboz0rhL6sBes | theorem singularPart_neg (s : SignedMeasure α) (μ : Measure α) :
(-s).singularPart μ = -s.singularPart μ | Mathlib_MeasureTheory_Decomposition_SignedLebesgue |
α : Type u_1
β : Type u_2
m : MeasurableSpace α
μ✝ ν : Measure α
s✝ t s : SignedMeasure α
μ : Measure α
h₁ :
toSignedMeasure (Measure.singularPart (toJordanDecomposition (-s)).posPart μ) =
toSignedMeasure (Measure.singularPart (toJordanDecomposition s).negPart μ)
⊢ Measure.singularPart (toJordanDecomposition (-s)).negPart μ = Measure.singularPart (toJordanDecomposition s).posPart μ | /-
Copyright (c) 2021 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.MeasureTheory.Decomposition.Lebesgue
import Mathlib.MeasureTheory.Measure.Complex
/-!
# Lebesgue decomposition
This file proves the Lebesgue decomposition theorem for signed measures. The Lebesgue decomposition
theorem states that, given two σ-finite measures `μ` and `ν`, there exists a σ-finite measure `ξ`
and a measurable function `f` such that `μ = ξ + fν` and `ξ` is mutually singular with respect
to `ν`.
## Main definitions
* `MeasureTheory.SignedMeasure.HaveLebesgueDecomposition` : A signed measure `s` and a
measure `μ` is said to `HaveLebesgueDecomposition` if both the positive part and negative
part of `s` `HaveLebesgueDecomposition` with respect to `μ`.
* `MeasureTheory.SignedMeasure.singularPart` : The singular part between a signed measure `s`
and a measure `μ` is simply the singular part of the positive part of `s` with respect to `μ`
minus the singular part of the negative part of `s` with respect to `μ`.
* `MeasureTheory.SignedMeasure.rnDeriv` : The Radon-Nikodym derivative of a signed
measure `s` with respect to a measure `μ` is the Radon-Nikodym derivative of the positive part of
`s` with respect to `μ` minus the Radon-Nikodym derivative of the negative part of `s` with
respect to `μ`.
## Main results
* `MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq` :
the Lebesgue decomposition theorem between a signed measure and a σ-finite positive measure.
## Tags
Lebesgue decomposition theorem
-/
noncomputable section
open scoped Classical MeasureTheory NNReal ENNReal
open Set
variable {α β : Type*} {m : MeasurableSpace α} {μ ν : MeasureTheory.Measure α}
namespace MeasureTheory
namespace SignedMeasure
open Measure
/-- A signed measure `s` is said to `HaveLebesgueDecomposition` with respect to a measure `μ`
if the positive part and the negative part of `s` both `HaveLebesgueDecomposition` with
respect to `μ`. -/
class HaveLebesgueDecomposition (s : SignedMeasure α) (μ : Measure α) : Prop where
posPart : s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ
negPart : s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ
#align measure_theory.signed_measure.have_lebesgue_decomposition MeasureTheory.SignedMeasure.HaveLebesgueDecomposition
#align measure_theory.signed_measure.have_lebesgue_decomposition.pos_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.posPart
#align measure_theory.signed_measure.have_lebesgue_decomposition.neg_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.negPart
attribute [instance] HaveLebesgueDecomposition.posPart
attribute [instance] HaveLebesgueDecomposition.negPart
theorem not_haveLebesgueDecomposition_iff (s : SignedMeasure α) (μ : Measure α) :
¬s.HaveLebesgueDecomposition μ ↔
¬s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ ∨
¬s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ :=
⟨fun h => not_or_of_imp fun hp hn => h ⟨hp, hn⟩, fun h hl => (not_and_or.2 h) ⟨hl.1, hl.2⟩⟩
#align measure_theory.signed_measure.not_have_lebesgue_decomposition_iff MeasureTheory.SignedMeasure.not_haveLebesgueDecomposition_iff
-- `infer_instance` directly does not work
-- see Note [lower instance priority]
instance (priority := 100) haveLebesgueDecomposition_of_sigmaFinite (s : SignedMeasure α)
(μ : Measure α) [SigmaFinite μ] : s.HaveLebesgueDecomposition μ where
posPart := inferInstance
negPart := inferInstance
#align measure_theory.signed_measure.have_lebesgue_decomposition_of_sigma_finite MeasureTheory.SignedMeasure.haveLebesgueDecomposition_of_sigmaFinite
instance haveLebesgueDecomposition_neg (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] : (-s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_neg MeasureTheory.SignedMeasure.haveLebesgueDecomposition_neg
instance haveLebesgueDecomposition_smul (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ≥0) : (r • s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul
instance haveLebesgueDecomposition_smul_real (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ) : (r • s).HaveLebesgueDecomposition μ := by
by_cases hr : 0 ≤ r
· lift r to ℝ≥0 using hr
exact s.haveLebesgueDecomposition_smul μ _
· rw [not_le] at hr
refine'
{ posPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_posPart_neg _ _ hr]
infer_instance
negPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_negPart_neg _ _ hr]
infer_instance }
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul_real MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul_real
/-- Given a signed measure `s` and a measure `μ`, `s.singularPart μ` is the signed measure
such that `s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s` and
`s.singularPart μ` is mutually singular with respect to `μ`. -/
def singularPart (s : SignedMeasure α) (μ : Measure α) : SignedMeasure α :=
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure -
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure
#align measure_theory.signed_measure.singular_part MeasureTheory.SignedMeasure.singularPart
section
theorem singularPart_mutuallySingular (s : SignedMeasure α) (μ : Measure α) :
s.toJordanDecomposition.posPart.singularPart μ ⟂ₘ
s.toJordanDecomposition.negPart.singularPart μ := by
by_cases hl : s.HaveLebesgueDecomposition μ
· obtain ⟨i, hi, hpos, hneg⟩ := s.toJordanDecomposition.mutuallySingular
rw [s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ] at hpos
rw [s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ] at hneg
rw [add_apply, add_eq_zero_iff] at hpos hneg
exact ⟨i, hi, hpos.1, hneg.1⟩
· rw [not_haveLebesgueDecomposition_iff] at hl
cases' hl with hp hn
· rw [Measure.singularPart, dif_neg hp]
exact MutuallySingular.zero_left
· rw [Measure.singularPart, Measure.singularPart, dif_neg hn]
exact MutuallySingular.zero_right
#align measure_theory.signed_measure.singular_part_mutually_singular MeasureTheory.SignedMeasure.singularPart_mutuallySingular
theorem singularPart_totalVariation (s : SignedMeasure α) (μ : Measure α) :
(s.singularPart μ).totalVariation =
s.toJordanDecomposition.posPart.singularPart μ +
s.toJordanDecomposition.negPart.singularPart μ := by
have :
(s.singularPart μ).toJordanDecomposition =
⟨s.toJordanDecomposition.posPart.singularPart μ,
s.toJordanDecomposition.negPart.singularPart μ, singularPart_mutuallySingular s μ⟩ := by
refine' JordanDecomposition.toSignedMeasure_injective _
rw [toSignedMeasure_toJordanDecomposition, singularPart, JordanDecomposition.toSignedMeasure]
· rw [totalVariation, this]
#align measure_theory.signed_measure.singular_part_total_variation MeasureTheory.SignedMeasure.singularPart_totalVariation
nonrec theorem mutuallySingular_singularPart (s : SignedMeasure α) (μ : Measure α) :
singularPart s μ ⟂ᵥ μ.toENNRealVectorMeasure := by
rw [mutuallySingular_ennreal_iff, singularPart_totalVariation,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure]
exact (mutuallySingular_singularPart _ _).add_left (mutuallySingular_singularPart _ _)
#align measure_theory.signed_measure.mutually_singular_singular_part MeasureTheory.SignedMeasure.mutuallySingular_singularPart
end
/-- The Radon-Nikodym derivative between a signed measure and a positive measure.
`rnDeriv s μ` satisfies `μ.withDensityᵥ (s.rnDeriv μ) = s`
if and only if `s` is absolutely continuous with respect to `μ` and this fact is known as
`MeasureTheory.SignedMeasure.absolutelyContinuous_iff_withDensity_rnDeriv_eq`
and can be found in `MeasureTheory.Decomposition.RadonNikodym`. -/
def rnDeriv (s : SignedMeasure α) (μ : Measure α) : α → ℝ := fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal
#align measure_theory.signed_measure.rn_deriv MeasureTheory.SignedMeasure.rnDeriv
-- Porting note: The generated equation theorem is the form of `rnDeriv s μ x`.
theorem rnDeriv_def (s : SignedMeasure α) (μ : Measure α) : rnDeriv s μ = fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal :=
rfl
attribute [eqns rnDeriv_def] rnDeriv
variable {s t : SignedMeasure α}
@[measurability]
theorem measurable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Measurable (rnDeriv s μ) := by
rw [rnDeriv]
measurability
#align measure_theory.signed_measure.measurable_rn_deriv MeasureTheory.SignedMeasure.measurable_rnDeriv
theorem integrable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Integrable (rnDeriv s μ) μ := by
refine' Integrable.sub _ _ <;>
· constructor
· apply Measurable.aestronglyMeasurable; measurability
exact hasFiniteIntegral_toReal_of_lintegral_ne_top (lintegral_rnDeriv_lt_top _ μ).ne
#align measure_theory.signed_measure.integrable_rn_deriv MeasureTheory.SignedMeasure.integrable_rnDeriv
variable (s μ)
/-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
first
| exact (lintegral_rnDeriv_lt_top _ _).ne
| measurability
#align measure_theory.signed_measure.singular_part_add_with_density_rn_deriv_eq MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq
variable {s μ}
theorem jordanDecomposition_add_withDensity_mutuallySingular {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) :
(t.toJordanDecomposition.posPart + μ.withDensity fun x : α => ENNReal.ofReal (f x)) ⟂ₘ
t.toJordanDecomposition.negPart + μ.withDensity fun x : α => ENNReal.ofReal (-f x) := by
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
exact
((JordanDecomposition.mutuallySingular _).add_right
(htμ.1.mono_ac (refl _) (withDensity_absolutelyContinuous _ _))).add_left
((htμ.2.symm.mono_ac (withDensity_absolutelyContinuous _ _) (refl _)).add_right
(withDensity_ofReal_mutuallySingular hf))
#align measure_theory.signed_measure.jordan_decomposition_add_with_density_mutually_singular MeasureTheory.SignedMeasure.jordanDecomposition_add_withDensity_mutuallySingular
theorem toJordanDecomposition_eq_of_eq_add_withDensity {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.toJordanDecomposition =
@JordanDecomposition.mk α _
(t.toJordanDecomposition.posPart + μ.withDensity fun x => ENNReal.ofReal (f x))
(t.toJordanDecomposition.negPart + μ.withDensity fun x => ENNReal.ofReal (-f x))
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.2; infer_instance)
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2; infer_instance)
(jordanDecomposition_add_withDensity_mutuallySingular hf htμ) := by
haveI := isFiniteMeasure_withDensity_ofReal hfi.2
haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2
refine' toJordanDecomposition_eq _
simp_rw [JordanDecomposition.toSignedMeasure, hadd]
ext i hi
rw [VectorMeasure.sub_apply, toSignedMeasure_apply_measurable hi,
toSignedMeasure_apply_measurable hi, add_apply, add_apply, ENNReal.toReal_add,
ENNReal.toReal_add, add_sub_add_comm, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi, ← VectorMeasure.sub_apply,
← JordanDecomposition.toSignedMeasure, toSignedMeasure_toJordanDecomposition,
VectorMeasure.add_apply, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi,
withDensityᵥ_eq_withDensity_pos_part_sub_withDensity_neg_part hfi,
VectorMeasure.sub_apply] <;>
exact (measure_lt_top _ _).ne
#align measure_theory.signed_measure.to_jordan_decomposition_eq_of_eq_add_with_density MeasureTheory.SignedMeasure.toJordanDecomposition_eq_of_eq_add_withDensity
private theorem haveLebesgueDecomposition_mk' (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff] at htμ
change _ ⟂ₘ VectorMeasure.equivMeasure.toFun (VectorMeasure.equivMeasure.invFun μ) at htμ
rw [VectorMeasure.equivMeasure.right_inv, totalVariation_mutuallySingular_iff] at htμ
refine'
{ posPart := by
use ⟨t.toJordanDecomposition.posPart, fun x => ENNReal.ofReal (f x)⟩
refine' ⟨hf.ennreal_ofReal, htμ.1, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
negPart := by
use ⟨t.toJordanDecomposition.negPart, fun x => ENNReal.ofReal (-f x)⟩
refine' ⟨hf.neg.ennreal_ofReal, htμ.2, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd] }
theorem haveLebesgueDecomposition_mk (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
by_cases hfi : Integrable f μ
· exact haveLebesgueDecomposition_mk' μ hf hfi htμ hadd
· rw [withDensityᵥ, dif_neg hfi, add_zero] at hadd
refine' haveLebesgueDecomposition_mk' μ measurable_zero (integrable_zero _ _ μ) htμ _
rwa [withDensityᵥ_zero, add_zero]
#align measure_theory.signed_measure.have_lebesgue_decomposition_mk MeasureTheory.SignedMeasure.haveLebesgueDecomposition_mk
private theorem eq_singularPart' (t : SignedMeasure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
t = s.singularPart μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
rw [singularPart, ← t.toSignedMeasure_toJordanDecomposition,
JordanDecomposition.toSignedMeasure]
congr
· have hfpos : Measurable fun x => ENNReal.ofReal (f x) := by measurability
refine' eq_singularPart hfpos htμ.1 _
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
· have hfneg : Measurable fun x => ENNReal.ofReal (-f x) := by measurability
refine' eq_singularPart hfneg htμ.2 _
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
/-- Given a measure `μ`, signed measures `s` and `t`, and a function `f` such that `t` is
mutually singular with respect to `μ` and `s = t + μ.withDensityᵥ f`, we have
`t = singularPart s μ`, i.e. `t` is the singular part of the Lebesgue decomposition between
`s` and `μ`. -/
theorem eq_singularPart (t : SignedMeasure α) (f : α → ℝ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure)
(hadd : s = t + μ.withDensityᵥ f) : t = s.singularPart μ := by
by_cases hfi : Integrable f μ
· refine' eq_singularPart' t hfi.1.measurable_mk (hfi.congr hfi.1.ae_eq_mk) htμ _
convert hadd using 2
exact WithDensityᵥEq.congr_ae hfi.1.ae_eq_mk.symm
· rw [withDensityᵥ, dif_neg hfi, add_zero] at hadd
refine' eq_singularPart' t measurable_zero (integrable_zero _ _ μ) htμ _
rwa [withDensityᵥ_zero, add_zero]
#align measure_theory.signed_measure.eq_singular_part MeasureTheory.SignedMeasure.eq_singularPart
theorem singularPart_zero (μ : Measure α) : (0 : SignedMeasure α).singularPart μ = 0 := by
refine' (eq_singularPart 0 0 VectorMeasure.MutuallySingular.zero_left _).symm
rw [zero_add, withDensityᵥ_zero]
#align measure_theory.signed_measure.singular_part_zero MeasureTheory.SignedMeasure.singularPart_zero
theorem singularPart_neg (s : SignedMeasure α) (μ : Measure α) :
(-s).singularPart μ = -s.singularPart μ := by
have h₁ :
((-s).toJordanDecomposition.posPart.singularPart μ).toSignedMeasure =
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure := by
refine' toSignedMeasure_congr _
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
have h₂ :
((-s).toJordanDecomposition.negPart.singularPart μ).toSignedMeasure =
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure := by
refine' toSignedMeasure_congr _
| rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart] | theorem singularPart_neg (s : SignedMeasure α) (μ : Measure α) :
(-s).singularPart μ = -s.singularPart μ := by
have h₁ :
((-s).toJordanDecomposition.posPart.singularPart μ).toSignedMeasure =
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure := by
refine' toSignedMeasure_congr _
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
have h₂ :
((-s).toJordanDecomposition.negPart.singularPart μ).toSignedMeasure =
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure := by
refine' toSignedMeasure_congr _
| Mathlib.MeasureTheory.Decomposition.SignedLebesgue.337_0.HPGboz0rhL6sBes | theorem singularPart_neg (s : SignedMeasure α) (μ : Measure α) :
(-s).singularPart μ = -s.singularPart μ | Mathlib_MeasureTheory_Decomposition_SignedLebesgue |
α : Type u_1
β : Type u_2
m : MeasurableSpace α
μ✝ ν : Measure α
s✝ t s : SignedMeasure α
μ : Measure α
h₁ :
toSignedMeasure (Measure.singularPart (toJordanDecomposition (-s)).posPart μ) =
toSignedMeasure (Measure.singularPart (toJordanDecomposition s).negPart μ)
h₂ :
toSignedMeasure (Measure.singularPart (toJordanDecomposition (-s)).negPart μ) =
toSignedMeasure (Measure.singularPart (toJordanDecomposition s).posPart μ)
⊢ singularPart (-s) μ = -singularPart s μ | /-
Copyright (c) 2021 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.MeasureTheory.Decomposition.Lebesgue
import Mathlib.MeasureTheory.Measure.Complex
/-!
# Lebesgue decomposition
This file proves the Lebesgue decomposition theorem for signed measures. The Lebesgue decomposition
theorem states that, given two σ-finite measures `μ` and `ν`, there exists a σ-finite measure `ξ`
and a measurable function `f` such that `μ = ξ + fν` and `ξ` is mutually singular with respect
to `ν`.
## Main definitions
* `MeasureTheory.SignedMeasure.HaveLebesgueDecomposition` : A signed measure `s` and a
measure `μ` is said to `HaveLebesgueDecomposition` if both the positive part and negative
part of `s` `HaveLebesgueDecomposition` with respect to `μ`.
* `MeasureTheory.SignedMeasure.singularPart` : The singular part between a signed measure `s`
and a measure `μ` is simply the singular part of the positive part of `s` with respect to `μ`
minus the singular part of the negative part of `s` with respect to `μ`.
* `MeasureTheory.SignedMeasure.rnDeriv` : The Radon-Nikodym derivative of a signed
measure `s` with respect to a measure `μ` is the Radon-Nikodym derivative of the positive part of
`s` with respect to `μ` minus the Radon-Nikodym derivative of the negative part of `s` with
respect to `μ`.
## Main results
* `MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq` :
the Lebesgue decomposition theorem between a signed measure and a σ-finite positive measure.
## Tags
Lebesgue decomposition theorem
-/
noncomputable section
open scoped Classical MeasureTheory NNReal ENNReal
open Set
variable {α β : Type*} {m : MeasurableSpace α} {μ ν : MeasureTheory.Measure α}
namespace MeasureTheory
namespace SignedMeasure
open Measure
/-- A signed measure `s` is said to `HaveLebesgueDecomposition` with respect to a measure `μ`
if the positive part and the negative part of `s` both `HaveLebesgueDecomposition` with
respect to `μ`. -/
class HaveLebesgueDecomposition (s : SignedMeasure α) (μ : Measure α) : Prop where
posPart : s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ
negPart : s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ
#align measure_theory.signed_measure.have_lebesgue_decomposition MeasureTheory.SignedMeasure.HaveLebesgueDecomposition
#align measure_theory.signed_measure.have_lebesgue_decomposition.pos_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.posPart
#align measure_theory.signed_measure.have_lebesgue_decomposition.neg_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.negPart
attribute [instance] HaveLebesgueDecomposition.posPart
attribute [instance] HaveLebesgueDecomposition.negPart
theorem not_haveLebesgueDecomposition_iff (s : SignedMeasure α) (μ : Measure α) :
¬s.HaveLebesgueDecomposition μ ↔
¬s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ ∨
¬s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ :=
⟨fun h => not_or_of_imp fun hp hn => h ⟨hp, hn⟩, fun h hl => (not_and_or.2 h) ⟨hl.1, hl.2⟩⟩
#align measure_theory.signed_measure.not_have_lebesgue_decomposition_iff MeasureTheory.SignedMeasure.not_haveLebesgueDecomposition_iff
-- `infer_instance` directly does not work
-- see Note [lower instance priority]
instance (priority := 100) haveLebesgueDecomposition_of_sigmaFinite (s : SignedMeasure α)
(μ : Measure α) [SigmaFinite μ] : s.HaveLebesgueDecomposition μ where
posPart := inferInstance
negPart := inferInstance
#align measure_theory.signed_measure.have_lebesgue_decomposition_of_sigma_finite MeasureTheory.SignedMeasure.haveLebesgueDecomposition_of_sigmaFinite
instance haveLebesgueDecomposition_neg (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] : (-s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_neg MeasureTheory.SignedMeasure.haveLebesgueDecomposition_neg
instance haveLebesgueDecomposition_smul (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ≥0) : (r • s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul
instance haveLebesgueDecomposition_smul_real (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ) : (r • s).HaveLebesgueDecomposition μ := by
by_cases hr : 0 ≤ r
· lift r to ℝ≥0 using hr
exact s.haveLebesgueDecomposition_smul μ _
· rw [not_le] at hr
refine'
{ posPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_posPart_neg _ _ hr]
infer_instance
negPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_negPart_neg _ _ hr]
infer_instance }
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul_real MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul_real
/-- Given a signed measure `s` and a measure `μ`, `s.singularPart μ` is the signed measure
such that `s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s` and
`s.singularPart μ` is mutually singular with respect to `μ`. -/
def singularPart (s : SignedMeasure α) (μ : Measure α) : SignedMeasure α :=
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure -
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure
#align measure_theory.signed_measure.singular_part MeasureTheory.SignedMeasure.singularPart
section
theorem singularPart_mutuallySingular (s : SignedMeasure α) (μ : Measure α) :
s.toJordanDecomposition.posPart.singularPart μ ⟂ₘ
s.toJordanDecomposition.negPart.singularPart μ := by
by_cases hl : s.HaveLebesgueDecomposition μ
· obtain ⟨i, hi, hpos, hneg⟩ := s.toJordanDecomposition.mutuallySingular
rw [s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ] at hpos
rw [s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ] at hneg
rw [add_apply, add_eq_zero_iff] at hpos hneg
exact ⟨i, hi, hpos.1, hneg.1⟩
· rw [not_haveLebesgueDecomposition_iff] at hl
cases' hl with hp hn
· rw [Measure.singularPart, dif_neg hp]
exact MutuallySingular.zero_left
· rw [Measure.singularPart, Measure.singularPart, dif_neg hn]
exact MutuallySingular.zero_right
#align measure_theory.signed_measure.singular_part_mutually_singular MeasureTheory.SignedMeasure.singularPart_mutuallySingular
theorem singularPart_totalVariation (s : SignedMeasure α) (μ : Measure α) :
(s.singularPart μ).totalVariation =
s.toJordanDecomposition.posPart.singularPart μ +
s.toJordanDecomposition.negPart.singularPart μ := by
have :
(s.singularPart μ).toJordanDecomposition =
⟨s.toJordanDecomposition.posPart.singularPart μ,
s.toJordanDecomposition.negPart.singularPart μ, singularPart_mutuallySingular s μ⟩ := by
refine' JordanDecomposition.toSignedMeasure_injective _
rw [toSignedMeasure_toJordanDecomposition, singularPart, JordanDecomposition.toSignedMeasure]
· rw [totalVariation, this]
#align measure_theory.signed_measure.singular_part_total_variation MeasureTheory.SignedMeasure.singularPart_totalVariation
nonrec theorem mutuallySingular_singularPart (s : SignedMeasure α) (μ : Measure α) :
singularPart s μ ⟂ᵥ μ.toENNRealVectorMeasure := by
rw [mutuallySingular_ennreal_iff, singularPart_totalVariation,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure]
exact (mutuallySingular_singularPart _ _).add_left (mutuallySingular_singularPart _ _)
#align measure_theory.signed_measure.mutually_singular_singular_part MeasureTheory.SignedMeasure.mutuallySingular_singularPart
end
/-- The Radon-Nikodym derivative between a signed measure and a positive measure.
`rnDeriv s μ` satisfies `μ.withDensityᵥ (s.rnDeriv μ) = s`
if and only if `s` is absolutely continuous with respect to `μ` and this fact is known as
`MeasureTheory.SignedMeasure.absolutelyContinuous_iff_withDensity_rnDeriv_eq`
and can be found in `MeasureTheory.Decomposition.RadonNikodym`. -/
def rnDeriv (s : SignedMeasure α) (μ : Measure α) : α → ℝ := fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal
#align measure_theory.signed_measure.rn_deriv MeasureTheory.SignedMeasure.rnDeriv
-- Porting note: The generated equation theorem is the form of `rnDeriv s μ x`.
theorem rnDeriv_def (s : SignedMeasure α) (μ : Measure α) : rnDeriv s μ = fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal :=
rfl
attribute [eqns rnDeriv_def] rnDeriv
variable {s t : SignedMeasure α}
@[measurability]
theorem measurable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Measurable (rnDeriv s μ) := by
rw [rnDeriv]
measurability
#align measure_theory.signed_measure.measurable_rn_deriv MeasureTheory.SignedMeasure.measurable_rnDeriv
theorem integrable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Integrable (rnDeriv s μ) μ := by
refine' Integrable.sub _ _ <;>
· constructor
· apply Measurable.aestronglyMeasurable; measurability
exact hasFiniteIntegral_toReal_of_lintegral_ne_top (lintegral_rnDeriv_lt_top _ μ).ne
#align measure_theory.signed_measure.integrable_rn_deriv MeasureTheory.SignedMeasure.integrable_rnDeriv
variable (s μ)
/-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
first
| exact (lintegral_rnDeriv_lt_top _ _).ne
| measurability
#align measure_theory.signed_measure.singular_part_add_with_density_rn_deriv_eq MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq
variable {s μ}
theorem jordanDecomposition_add_withDensity_mutuallySingular {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) :
(t.toJordanDecomposition.posPart + μ.withDensity fun x : α => ENNReal.ofReal (f x)) ⟂ₘ
t.toJordanDecomposition.negPart + μ.withDensity fun x : α => ENNReal.ofReal (-f x) := by
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
exact
((JordanDecomposition.mutuallySingular _).add_right
(htμ.1.mono_ac (refl _) (withDensity_absolutelyContinuous _ _))).add_left
((htμ.2.symm.mono_ac (withDensity_absolutelyContinuous _ _) (refl _)).add_right
(withDensity_ofReal_mutuallySingular hf))
#align measure_theory.signed_measure.jordan_decomposition_add_with_density_mutually_singular MeasureTheory.SignedMeasure.jordanDecomposition_add_withDensity_mutuallySingular
theorem toJordanDecomposition_eq_of_eq_add_withDensity {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.toJordanDecomposition =
@JordanDecomposition.mk α _
(t.toJordanDecomposition.posPart + μ.withDensity fun x => ENNReal.ofReal (f x))
(t.toJordanDecomposition.negPart + μ.withDensity fun x => ENNReal.ofReal (-f x))
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.2; infer_instance)
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2; infer_instance)
(jordanDecomposition_add_withDensity_mutuallySingular hf htμ) := by
haveI := isFiniteMeasure_withDensity_ofReal hfi.2
haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2
refine' toJordanDecomposition_eq _
simp_rw [JordanDecomposition.toSignedMeasure, hadd]
ext i hi
rw [VectorMeasure.sub_apply, toSignedMeasure_apply_measurable hi,
toSignedMeasure_apply_measurable hi, add_apply, add_apply, ENNReal.toReal_add,
ENNReal.toReal_add, add_sub_add_comm, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi, ← VectorMeasure.sub_apply,
← JordanDecomposition.toSignedMeasure, toSignedMeasure_toJordanDecomposition,
VectorMeasure.add_apply, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi,
withDensityᵥ_eq_withDensity_pos_part_sub_withDensity_neg_part hfi,
VectorMeasure.sub_apply] <;>
exact (measure_lt_top _ _).ne
#align measure_theory.signed_measure.to_jordan_decomposition_eq_of_eq_add_with_density MeasureTheory.SignedMeasure.toJordanDecomposition_eq_of_eq_add_withDensity
private theorem haveLebesgueDecomposition_mk' (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff] at htμ
change _ ⟂ₘ VectorMeasure.equivMeasure.toFun (VectorMeasure.equivMeasure.invFun μ) at htμ
rw [VectorMeasure.equivMeasure.right_inv, totalVariation_mutuallySingular_iff] at htμ
refine'
{ posPart := by
use ⟨t.toJordanDecomposition.posPart, fun x => ENNReal.ofReal (f x)⟩
refine' ⟨hf.ennreal_ofReal, htμ.1, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
negPart := by
use ⟨t.toJordanDecomposition.negPart, fun x => ENNReal.ofReal (-f x)⟩
refine' ⟨hf.neg.ennreal_ofReal, htμ.2, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd] }
theorem haveLebesgueDecomposition_mk (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
by_cases hfi : Integrable f μ
· exact haveLebesgueDecomposition_mk' μ hf hfi htμ hadd
· rw [withDensityᵥ, dif_neg hfi, add_zero] at hadd
refine' haveLebesgueDecomposition_mk' μ measurable_zero (integrable_zero _ _ μ) htμ _
rwa [withDensityᵥ_zero, add_zero]
#align measure_theory.signed_measure.have_lebesgue_decomposition_mk MeasureTheory.SignedMeasure.haveLebesgueDecomposition_mk
private theorem eq_singularPart' (t : SignedMeasure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
t = s.singularPart μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
rw [singularPart, ← t.toSignedMeasure_toJordanDecomposition,
JordanDecomposition.toSignedMeasure]
congr
· have hfpos : Measurable fun x => ENNReal.ofReal (f x) := by measurability
refine' eq_singularPart hfpos htμ.1 _
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
· have hfneg : Measurable fun x => ENNReal.ofReal (-f x) := by measurability
refine' eq_singularPart hfneg htμ.2 _
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
/-- Given a measure `μ`, signed measures `s` and `t`, and a function `f` such that `t` is
mutually singular with respect to `μ` and `s = t + μ.withDensityᵥ f`, we have
`t = singularPart s μ`, i.e. `t` is the singular part of the Lebesgue decomposition between
`s` and `μ`. -/
theorem eq_singularPart (t : SignedMeasure α) (f : α → ℝ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure)
(hadd : s = t + μ.withDensityᵥ f) : t = s.singularPart μ := by
by_cases hfi : Integrable f μ
· refine' eq_singularPart' t hfi.1.measurable_mk (hfi.congr hfi.1.ae_eq_mk) htμ _
convert hadd using 2
exact WithDensityᵥEq.congr_ae hfi.1.ae_eq_mk.symm
· rw [withDensityᵥ, dif_neg hfi, add_zero] at hadd
refine' eq_singularPart' t measurable_zero (integrable_zero _ _ μ) htμ _
rwa [withDensityᵥ_zero, add_zero]
#align measure_theory.signed_measure.eq_singular_part MeasureTheory.SignedMeasure.eq_singularPart
theorem singularPart_zero (μ : Measure α) : (0 : SignedMeasure α).singularPart μ = 0 := by
refine' (eq_singularPart 0 0 VectorMeasure.MutuallySingular.zero_left _).symm
rw [zero_add, withDensityᵥ_zero]
#align measure_theory.signed_measure.singular_part_zero MeasureTheory.SignedMeasure.singularPart_zero
theorem singularPart_neg (s : SignedMeasure α) (μ : Measure α) :
(-s).singularPart μ = -s.singularPart μ := by
have h₁ :
((-s).toJordanDecomposition.posPart.singularPart μ).toSignedMeasure =
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure := by
refine' toSignedMeasure_congr _
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
have h₂ :
((-s).toJordanDecomposition.negPart.singularPart μ).toSignedMeasure =
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure := by
refine' toSignedMeasure_congr _
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
| rw [singularPart, singularPart, neg_sub, h₁, h₂] | theorem singularPart_neg (s : SignedMeasure α) (μ : Measure α) :
(-s).singularPart μ = -s.singularPart μ := by
have h₁ :
((-s).toJordanDecomposition.posPart.singularPart μ).toSignedMeasure =
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure := by
refine' toSignedMeasure_congr _
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
have h₂ :
((-s).toJordanDecomposition.negPart.singularPart μ).toSignedMeasure =
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure := by
refine' toSignedMeasure_congr _
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
| Mathlib.MeasureTheory.Decomposition.SignedLebesgue.337_0.HPGboz0rhL6sBes | theorem singularPart_neg (s : SignedMeasure α) (μ : Measure α) :
(-s).singularPart μ = -s.singularPart μ | Mathlib_MeasureTheory_Decomposition_SignedLebesgue |
α : Type u_1
β : Type u_2
m : MeasurableSpace α
μ✝ ν : Measure α
s✝ t s : SignedMeasure α
μ : Measure α
r : ℝ≥0
⊢ singularPart (r • s) μ = r • singularPart s μ | /-
Copyright (c) 2021 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.MeasureTheory.Decomposition.Lebesgue
import Mathlib.MeasureTheory.Measure.Complex
/-!
# Lebesgue decomposition
This file proves the Lebesgue decomposition theorem for signed measures. The Lebesgue decomposition
theorem states that, given two σ-finite measures `μ` and `ν`, there exists a σ-finite measure `ξ`
and a measurable function `f` such that `μ = ξ + fν` and `ξ` is mutually singular with respect
to `ν`.
## Main definitions
* `MeasureTheory.SignedMeasure.HaveLebesgueDecomposition` : A signed measure `s` and a
measure `μ` is said to `HaveLebesgueDecomposition` if both the positive part and negative
part of `s` `HaveLebesgueDecomposition` with respect to `μ`.
* `MeasureTheory.SignedMeasure.singularPart` : The singular part between a signed measure `s`
and a measure `μ` is simply the singular part of the positive part of `s` with respect to `μ`
minus the singular part of the negative part of `s` with respect to `μ`.
* `MeasureTheory.SignedMeasure.rnDeriv` : The Radon-Nikodym derivative of a signed
measure `s` with respect to a measure `μ` is the Radon-Nikodym derivative of the positive part of
`s` with respect to `μ` minus the Radon-Nikodym derivative of the negative part of `s` with
respect to `μ`.
## Main results
* `MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq` :
the Lebesgue decomposition theorem between a signed measure and a σ-finite positive measure.
## Tags
Lebesgue decomposition theorem
-/
noncomputable section
open scoped Classical MeasureTheory NNReal ENNReal
open Set
variable {α β : Type*} {m : MeasurableSpace α} {μ ν : MeasureTheory.Measure α}
namespace MeasureTheory
namespace SignedMeasure
open Measure
/-- A signed measure `s` is said to `HaveLebesgueDecomposition` with respect to a measure `μ`
if the positive part and the negative part of `s` both `HaveLebesgueDecomposition` with
respect to `μ`. -/
class HaveLebesgueDecomposition (s : SignedMeasure α) (μ : Measure α) : Prop where
posPart : s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ
negPart : s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ
#align measure_theory.signed_measure.have_lebesgue_decomposition MeasureTheory.SignedMeasure.HaveLebesgueDecomposition
#align measure_theory.signed_measure.have_lebesgue_decomposition.pos_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.posPart
#align measure_theory.signed_measure.have_lebesgue_decomposition.neg_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.negPart
attribute [instance] HaveLebesgueDecomposition.posPart
attribute [instance] HaveLebesgueDecomposition.negPart
theorem not_haveLebesgueDecomposition_iff (s : SignedMeasure α) (μ : Measure α) :
¬s.HaveLebesgueDecomposition μ ↔
¬s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ ∨
¬s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ :=
⟨fun h => not_or_of_imp fun hp hn => h ⟨hp, hn⟩, fun h hl => (not_and_or.2 h) ⟨hl.1, hl.2⟩⟩
#align measure_theory.signed_measure.not_have_lebesgue_decomposition_iff MeasureTheory.SignedMeasure.not_haveLebesgueDecomposition_iff
-- `infer_instance` directly does not work
-- see Note [lower instance priority]
instance (priority := 100) haveLebesgueDecomposition_of_sigmaFinite (s : SignedMeasure α)
(μ : Measure α) [SigmaFinite μ] : s.HaveLebesgueDecomposition μ where
posPart := inferInstance
negPart := inferInstance
#align measure_theory.signed_measure.have_lebesgue_decomposition_of_sigma_finite MeasureTheory.SignedMeasure.haveLebesgueDecomposition_of_sigmaFinite
instance haveLebesgueDecomposition_neg (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] : (-s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_neg MeasureTheory.SignedMeasure.haveLebesgueDecomposition_neg
instance haveLebesgueDecomposition_smul (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ≥0) : (r • s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul
instance haveLebesgueDecomposition_smul_real (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ) : (r • s).HaveLebesgueDecomposition μ := by
by_cases hr : 0 ≤ r
· lift r to ℝ≥0 using hr
exact s.haveLebesgueDecomposition_smul μ _
· rw [not_le] at hr
refine'
{ posPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_posPart_neg _ _ hr]
infer_instance
negPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_negPart_neg _ _ hr]
infer_instance }
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul_real MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul_real
/-- Given a signed measure `s` and a measure `μ`, `s.singularPart μ` is the signed measure
such that `s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s` and
`s.singularPart μ` is mutually singular with respect to `μ`. -/
def singularPart (s : SignedMeasure α) (μ : Measure α) : SignedMeasure α :=
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure -
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure
#align measure_theory.signed_measure.singular_part MeasureTheory.SignedMeasure.singularPart
section
theorem singularPart_mutuallySingular (s : SignedMeasure α) (μ : Measure α) :
s.toJordanDecomposition.posPart.singularPart μ ⟂ₘ
s.toJordanDecomposition.negPart.singularPart μ := by
by_cases hl : s.HaveLebesgueDecomposition μ
· obtain ⟨i, hi, hpos, hneg⟩ := s.toJordanDecomposition.mutuallySingular
rw [s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ] at hpos
rw [s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ] at hneg
rw [add_apply, add_eq_zero_iff] at hpos hneg
exact ⟨i, hi, hpos.1, hneg.1⟩
· rw [not_haveLebesgueDecomposition_iff] at hl
cases' hl with hp hn
· rw [Measure.singularPart, dif_neg hp]
exact MutuallySingular.zero_left
· rw [Measure.singularPart, Measure.singularPart, dif_neg hn]
exact MutuallySingular.zero_right
#align measure_theory.signed_measure.singular_part_mutually_singular MeasureTheory.SignedMeasure.singularPart_mutuallySingular
theorem singularPart_totalVariation (s : SignedMeasure α) (μ : Measure α) :
(s.singularPart μ).totalVariation =
s.toJordanDecomposition.posPart.singularPart μ +
s.toJordanDecomposition.negPart.singularPart μ := by
have :
(s.singularPart μ).toJordanDecomposition =
⟨s.toJordanDecomposition.posPart.singularPart μ,
s.toJordanDecomposition.negPart.singularPart μ, singularPart_mutuallySingular s μ⟩ := by
refine' JordanDecomposition.toSignedMeasure_injective _
rw [toSignedMeasure_toJordanDecomposition, singularPart, JordanDecomposition.toSignedMeasure]
· rw [totalVariation, this]
#align measure_theory.signed_measure.singular_part_total_variation MeasureTheory.SignedMeasure.singularPart_totalVariation
nonrec theorem mutuallySingular_singularPart (s : SignedMeasure α) (μ : Measure α) :
singularPart s μ ⟂ᵥ μ.toENNRealVectorMeasure := by
rw [mutuallySingular_ennreal_iff, singularPart_totalVariation,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure]
exact (mutuallySingular_singularPart _ _).add_left (mutuallySingular_singularPart _ _)
#align measure_theory.signed_measure.mutually_singular_singular_part MeasureTheory.SignedMeasure.mutuallySingular_singularPart
end
/-- The Radon-Nikodym derivative between a signed measure and a positive measure.
`rnDeriv s μ` satisfies `μ.withDensityᵥ (s.rnDeriv μ) = s`
if and only if `s` is absolutely continuous with respect to `μ` and this fact is known as
`MeasureTheory.SignedMeasure.absolutelyContinuous_iff_withDensity_rnDeriv_eq`
and can be found in `MeasureTheory.Decomposition.RadonNikodym`. -/
def rnDeriv (s : SignedMeasure α) (μ : Measure α) : α → ℝ := fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal
#align measure_theory.signed_measure.rn_deriv MeasureTheory.SignedMeasure.rnDeriv
-- Porting note: The generated equation theorem is the form of `rnDeriv s μ x`.
theorem rnDeriv_def (s : SignedMeasure α) (μ : Measure α) : rnDeriv s μ = fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal :=
rfl
attribute [eqns rnDeriv_def] rnDeriv
variable {s t : SignedMeasure α}
@[measurability]
theorem measurable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Measurable (rnDeriv s μ) := by
rw [rnDeriv]
measurability
#align measure_theory.signed_measure.measurable_rn_deriv MeasureTheory.SignedMeasure.measurable_rnDeriv
theorem integrable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Integrable (rnDeriv s μ) μ := by
refine' Integrable.sub _ _ <;>
· constructor
· apply Measurable.aestronglyMeasurable; measurability
exact hasFiniteIntegral_toReal_of_lintegral_ne_top (lintegral_rnDeriv_lt_top _ μ).ne
#align measure_theory.signed_measure.integrable_rn_deriv MeasureTheory.SignedMeasure.integrable_rnDeriv
variable (s μ)
/-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
first
| exact (lintegral_rnDeriv_lt_top _ _).ne
| measurability
#align measure_theory.signed_measure.singular_part_add_with_density_rn_deriv_eq MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq
variable {s μ}
theorem jordanDecomposition_add_withDensity_mutuallySingular {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) :
(t.toJordanDecomposition.posPart + μ.withDensity fun x : α => ENNReal.ofReal (f x)) ⟂ₘ
t.toJordanDecomposition.negPart + μ.withDensity fun x : α => ENNReal.ofReal (-f x) := by
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
exact
((JordanDecomposition.mutuallySingular _).add_right
(htμ.1.mono_ac (refl _) (withDensity_absolutelyContinuous _ _))).add_left
((htμ.2.symm.mono_ac (withDensity_absolutelyContinuous _ _) (refl _)).add_right
(withDensity_ofReal_mutuallySingular hf))
#align measure_theory.signed_measure.jordan_decomposition_add_with_density_mutually_singular MeasureTheory.SignedMeasure.jordanDecomposition_add_withDensity_mutuallySingular
theorem toJordanDecomposition_eq_of_eq_add_withDensity {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.toJordanDecomposition =
@JordanDecomposition.mk α _
(t.toJordanDecomposition.posPart + μ.withDensity fun x => ENNReal.ofReal (f x))
(t.toJordanDecomposition.negPart + μ.withDensity fun x => ENNReal.ofReal (-f x))
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.2; infer_instance)
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2; infer_instance)
(jordanDecomposition_add_withDensity_mutuallySingular hf htμ) := by
haveI := isFiniteMeasure_withDensity_ofReal hfi.2
haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2
refine' toJordanDecomposition_eq _
simp_rw [JordanDecomposition.toSignedMeasure, hadd]
ext i hi
rw [VectorMeasure.sub_apply, toSignedMeasure_apply_measurable hi,
toSignedMeasure_apply_measurable hi, add_apply, add_apply, ENNReal.toReal_add,
ENNReal.toReal_add, add_sub_add_comm, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi, ← VectorMeasure.sub_apply,
← JordanDecomposition.toSignedMeasure, toSignedMeasure_toJordanDecomposition,
VectorMeasure.add_apply, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi,
withDensityᵥ_eq_withDensity_pos_part_sub_withDensity_neg_part hfi,
VectorMeasure.sub_apply] <;>
exact (measure_lt_top _ _).ne
#align measure_theory.signed_measure.to_jordan_decomposition_eq_of_eq_add_with_density MeasureTheory.SignedMeasure.toJordanDecomposition_eq_of_eq_add_withDensity
private theorem haveLebesgueDecomposition_mk' (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff] at htμ
change _ ⟂ₘ VectorMeasure.equivMeasure.toFun (VectorMeasure.equivMeasure.invFun μ) at htμ
rw [VectorMeasure.equivMeasure.right_inv, totalVariation_mutuallySingular_iff] at htμ
refine'
{ posPart := by
use ⟨t.toJordanDecomposition.posPart, fun x => ENNReal.ofReal (f x)⟩
refine' ⟨hf.ennreal_ofReal, htμ.1, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
negPart := by
use ⟨t.toJordanDecomposition.negPart, fun x => ENNReal.ofReal (-f x)⟩
refine' ⟨hf.neg.ennreal_ofReal, htμ.2, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd] }
theorem haveLebesgueDecomposition_mk (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
by_cases hfi : Integrable f μ
· exact haveLebesgueDecomposition_mk' μ hf hfi htμ hadd
· rw [withDensityᵥ, dif_neg hfi, add_zero] at hadd
refine' haveLebesgueDecomposition_mk' μ measurable_zero (integrable_zero _ _ μ) htμ _
rwa [withDensityᵥ_zero, add_zero]
#align measure_theory.signed_measure.have_lebesgue_decomposition_mk MeasureTheory.SignedMeasure.haveLebesgueDecomposition_mk
private theorem eq_singularPart' (t : SignedMeasure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
t = s.singularPart μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
rw [singularPart, ← t.toSignedMeasure_toJordanDecomposition,
JordanDecomposition.toSignedMeasure]
congr
· have hfpos : Measurable fun x => ENNReal.ofReal (f x) := by measurability
refine' eq_singularPart hfpos htμ.1 _
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
· have hfneg : Measurable fun x => ENNReal.ofReal (-f x) := by measurability
refine' eq_singularPart hfneg htμ.2 _
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
/-- Given a measure `μ`, signed measures `s` and `t`, and a function `f` such that `t` is
mutually singular with respect to `μ` and `s = t + μ.withDensityᵥ f`, we have
`t = singularPart s μ`, i.e. `t` is the singular part of the Lebesgue decomposition between
`s` and `μ`. -/
theorem eq_singularPart (t : SignedMeasure α) (f : α → ℝ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure)
(hadd : s = t + μ.withDensityᵥ f) : t = s.singularPart μ := by
by_cases hfi : Integrable f μ
· refine' eq_singularPart' t hfi.1.measurable_mk (hfi.congr hfi.1.ae_eq_mk) htμ _
convert hadd using 2
exact WithDensityᵥEq.congr_ae hfi.1.ae_eq_mk.symm
· rw [withDensityᵥ, dif_neg hfi, add_zero] at hadd
refine' eq_singularPart' t measurable_zero (integrable_zero _ _ μ) htμ _
rwa [withDensityᵥ_zero, add_zero]
#align measure_theory.signed_measure.eq_singular_part MeasureTheory.SignedMeasure.eq_singularPart
theorem singularPart_zero (μ : Measure α) : (0 : SignedMeasure α).singularPart μ = 0 := by
refine' (eq_singularPart 0 0 VectorMeasure.MutuallySingular.zero_left _).symm
rw [zero_add, withDensityᵥ_zero]
#align measure_theory.signed_measure.singular_part_zero MeasureTheory.SignedMeasure.singularPart_zero
theorem singularPart_neg (s : SignedMeasure α) (μ : Measure α) :
(-s).singularPart μ = -s.singularPart μ := by
have h₁ :
((-s).toJordanDecomposition.posPart.singularPart μ).toSignedMeasure =
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure := by
refine' toSignedMeasure_congr _
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
have h₂ :
((-s).toJordanDecomposition.negPart.singularPart μ).toSignedMeasure =
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure := by
refine' toSignedMeasure_congr _
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
rw [singularPart, singularPart, neg_sub, h₁, h₂]
#align measure_theory.signed_measure.singular_part_neg MeasureTheory.SignedMeasure.singularPart_neg
theorem singularPart_smul_nnreal (s : SignedMeasure α) (μ : Measure α) (r : ℝ≥0) :
(r • s).singularPart μ = r • s.singularPart μ := by
| rw [singularPart, singularPart, smul_sub, ← toSignedMeasure_smul, ← toSignedMeasure_smul] | theorem singularPart_smul_nnreal (s : SignedMeasure α) (μ : Measure α) (r : ℝ≥0) :
(r • s).singularPart μ = r • s.singularPart μ := by
| Mathlib.MeasureTheory.Decomposition.SignedLebesgue.352_0.HPGboz0rhL6sBes | theorem singularPart_smul_nnreal (s : SignedMeasure α) (μ : Measure α) (r : ℝ≥0) :
(r • s).singularPart μ = r • s.singularPart μ | Mathlib_MeasureTheory_Decomposition_SignedLebesgue |
α : Type u_1
β : Type u_2
m : MeasurableSpace α
μ✝ ν : Measure α
s✝ t s : SignedMeasure α
μ : Measure α
r : ℝ≥0
⊢ toSignedMeasure (Measure.singularPart (toJordanDecomposition (r • s)).posPart μ) -
toSignedMeasure (Measure.singularPart (toJordanDecomposition (r • s)).negPart μ) =
toSignedMeasure (r • Measure.singularPart (toJordanDecomposition s).posPart μ) -
toSignedMeasure (r • Measure.singularPart (toJordanDecomposition s).negPart μ) | /-
Copyright (c) 2021 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.MeasureTheory.Decomposition.Lebesgue
import Mathlib.MeasureTheory.Measure.Complex
/-!
# Lebesgue decomposition
This file proves the Lebesgue decomposition theorem for signed measures. The Lebesgue decomposition
theorem states that, given two σ-finite measures `μ` and `ν`, there exists a σ-finite measure `ξ`
and a measurable function `f` such that `μ = ξ + fν` and `ξ` is mutually singular with respect
to `ν`.
## Main definitions
* `MeasureTheory.SignedMeasure.HaveLebesgueDecomposition` : A signed measure `s` and a
measure `μ` is said to `HaveLebesgueDecomposition` if both the positive part and negative
part of `s` `HaveLebesgueDecomposition` with respect to `μ`.
* `MeasureTheory.SignedMeasure.singularPart` : The singular part between a signed measure `s`
and a measure `μ` is simply the singular part of the positive part of `s` with respect to `μ`
minus the singular part of the negative part of `s` with respect to `μ`.
* `MeasureTheory.SignedMeasure.rnDeriv` : The Radon-Nikodym derivative of a signed
measure `s` with respect to a measure `μ` is the Radon-Nikodym derivative of the positive part of
`s` with respect to `μ` minus the Radon-Nikodym derivative of the negative part of `s` with
respect to `μ`.
## Main results
* `MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq` :
the Lebesgue decomposition theorem between a signed measure and a σ-finite positive measure.
## Tags
Lebesgue decomposition theorem
-/
noncomputable section
open scoped Classical MeasureTheory NNReal ENNReal
open Set
variable {α β : Type*} {m : MeasurableSpace α} {μ ν : MeasureTheory.Measure α}
namespace MeasureTheory
namespace SignedMeasure
open Measure
/-- A signed measure `s` is said to `HaveLebesgueDecomposition` with respect to a measure `μ`
if the positive part and the negative part of `s` both `HaveLebesgueDecomposition` with
respect to `μ`. -/
class HaveLebesgueDecomposition (s : SignedMeasure α) (μ : Measure α) : Prop where
posPart : s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ
negPart : s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ
#align measure_theory.signed_measure.have_lebesgue_decomposition MeasureTheory.SignedMeasure.HaveLebesgueDecomposition
#align measure_theory.signed_measure.have_lebesgue_decomposition.pos_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.posPart
#align measure_theory.signed_measure.have_lebesgue_decomposition.neg_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.negPart
attribute [instance] HaveLebesgueDecomposition.posPart
attribute [instance] HaveLebesgueDecomposition.negPart
theorem not_haveLebesgueDecomposition_iff (s : SignedMeasure α) (μ : Measure α) :
¬s.HaveLebesgueDecomposition μ ↔
¬s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ ∨
¬s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ :=
⟨fun h => not_or_of_imp fun hp hn => h ⟨hp, hn⟩, fun h hl => (not_and_or.2 h) ⟨hl.1, hl.2⟩⟩
#align measure_theory.signed_measure.not_have_lebesgue_decomposition_iff MeasureTheory.SignedMeasure.not_haveLebesgueDecomposition_iff
-- `infer_instance` directly does not work
-- see Note [lower instance priority]
instance (priority := 100) haveLebesgueDecomposition_of_sigmaFinite (s : SignedMeasure α)
(μ : Measure α) [SigmaFinite μ] : s.HaveLebesgueDecomposition μ where
posPart := inferInstance
negPart := inferInstance
#align measure_theory.signed_measure.have_lebesgue_decomposition_of_sigma_finite MeasureTheory.SignedMeasure.haveLebesgueDecomposition_of_sigmaFinite
instance haveLebesgueDecomposition_neg (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] : (-s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_neg MeasureTheory.SignedMeasure.haveLebesgueDecomposition_neg
instance haveLebesgueDecomposition_smul (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ≥0) : (r • s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul
instance haveLebesgueDecomposition_smul_real (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ) : (r • s).HaveLebesgueDecomposition μ := by
by_cases hr : 0 ≤ r
· lift r to ℝ≥0 using hr
exact s.haveLebesgueDecomposition_smul μ _
· rw [not_le] at hr
refine'
{ posPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_posPart_neg _ _ hr]
infer_instance
negPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_negPart_neg _ _ hr]
infer_instance }
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul_real MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul_real
/-- Given a signed measure `s` and a measure `μ`, `s.singularPart μ` is the signed measure
such that `s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s` and
`s.singularPart μ` is mutually singular with respect to `μ`. -/
def singularPart (s : SignedMeasure α) (μ : Measure α) : SignedMeasure α :=
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure -
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure
#align measure_theory.signed_measure.singular_part MeasureTheory.SignedMeasure.singularPart
section
theorem singularPart_mutuallySingular (s : SignedMeasure α) (μ : Measure α) :
s.toJordanDecomposition.posPart.singularPart μ ⟂ₘ
s.toJordanDecomposition.negPart.singularPart μ := by
by_cases hl : s.HaveLebesgueDecomposition μ
· obtain ⟨i, hi, hpos, hneg⟩ := s.toJordanDecomposition.mutuallySingular
rw [s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ] at hpos
rw [s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ] at hneg
rw [add_apply, add_eq_zero_iff] at hpos hneg
exact ⟨i, hi, hpos.1, hneg.1⟩
· rw [not_haveLebesgueDecomposition_iff] at hl
cases' hl with hp hn
· rw [Measure.singularPart, dif_neg hp]
exact MutuallySingular.zero_left
· rw [Measure.singularPart, Measure.singularPart, dif_neg hn]
exact MutuallySingular.zero_right
#align measure_theory.signed_measure.singular_part_mutually_singular MeasureTheory.SignedMeasure.singularPart_mutuallySingular
theorem singularPart_totalVariation (s : SignedMeasure α) (μ : Measure α) :
(s.singularPart μ).totalVariation =
s.toJordanDecomposition.posPart.singularPart μ +
s.toJordanDecomposition.negPart.singularPart μ := by
have :
(s.singularPart μ).toJordanDecomposition =
⟨s.toJordanDecomposition.posPart.singularPart μ,
s.toJordanDecomposition.negPart.singularPart μ, singularPart_mutuallySingular s μ⟩ := by
refine' JordanDecomposition.toSignedMeasure_injective _
rw [toSignedMeasure_toJordanDecomposition, singularPart, JordanDecomposition.toSignedMeasure]
· rw [totalVariation, this]
#align measure_theory.signed_measure.singular_part_total_variation MeasureTheory.SignedMeasure.singularPart_totalVariation
nonrec theorem mutuallySingular_singularPart (s : SignedMeasure α) (μ : Measure α) :
singularPart s μ ⟂ᵥ μ.toENNRealVectorMeasure := by
rw [mutuallySingular_ennreal_iff, singularPart_totalVariation,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure]
exact (mutuallySingular_singularPart _ _).add_left (mutuallySingular_singularPart _ _)
#align measure_theory.signed_measure.mutually_singular_singular_part MeasureTheory.SignedMeasure.mutuallySingular_singularPart
end
/-- The Radon-Nikodym derivative between a signed measure and a positive measure.
`rnDeriv s μ` satisfies `μ.withDensityᵥ (s.rnDeriv μ) = s`
if and only if `s` is absolutely continuous with respect to `μ` and this fact is known as
`MeasureTheory.SignedMeasure.absolutelyContinuous_iff_withDensity_rnDeriv_eq`
and can be found in `MeasureTheory.Decomposition.RadonNikodym`. -/
def rnDeriv (s : SignedMeasure α) (μ : Measure α) : α → ℝ := fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal
#align measure_theory.signed_measure.rn_deriv MeasureTheory.SignedMeasure.rnDeriv
-- Porting note: The generated equation theorem is the form of `rnDeriv s μ x`.
theorem rnDeriv_def (s : SignedMeasure α) (μ : Measure α) : rnDeriv s μ = fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal :=
rfl
attribute [eqns rnDeriv_def] rnDeriv
variable {s t : SignedMeasure α}
@[measurability]
theorem measurable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Measurable (rnDeriv s μ) := by
rw [rnDeriv]
measurability
#align measure_theory.signed_measure.measurable_rn_deriv MeasureTheory.SignedMeasure.measurable_rnDeriv
theorem integrable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Integrable (rnDeriv s μ) μ := by
refine' Integrable.sub _ _ <;>
· constructor
· apply Measurable.aestronglyMeasurable; measurability
exact hasFiniteIntegral_toReal_of_lintegral_ne_top (lintegral_rnDeriv_lt_top _ μ).ne
#align measure_theory.signed_measure.integrable_rn_deriv MeasureTheory.SignedMeasure.integrable_rnDeriv
variable (s μ)
/-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
first
| exact (lintegral_rnDeriv_lt_top _ _).ne
| measurability
#align measure_theory.signed_measure.singular_part_add_with_density_rn_deriv_eq MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq
variable {s μ}
theorem jordanDecomposition_add_withDensity_mutuallySingular {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) :
(t.toJordanDecomposition.posPart + μ.withDensity fun x : α => ENNReal.ofReal (f x)) ⟂ₘ
t.toJordanDecomposition.negPart + μ.withDensity fun x : α => ENNReal.ofReal (-f x) := by
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
exact
((JordanDecomposition.mutuallySingular _).add_right
(htμ.1.mono_ac (refl _) (withDensity_absolutelyContinuous _ _))).add_left
((htμ.2.symm.mono_ac (withDensity_absolutelyContinuous _ _) (refl _)).add_right
(withDensity_ofReal_mutuallySingular hf))
#align measure_theory.signed_measure.jordan_decomposition_add_with_density_mutually_singular MeasureTheory.SignedMeasure.jordanDecomposition_add_withDensity_mutuallySingular
theorem toJordanDecomposition_eq_of_eq_add_withDensity {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.toJordanDecomposition =
@JordanDecomposition.mk α _
(t.toJordanDecomposition.posPart + μ.withDensity fun x => ENNReal.ofReal (f x))
(t.toJordanDecomposition.negPart + μ.withDensity fun x => ENNReal.ofReal (-f x))
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.2; infer_instance)
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2; infer_instance)
(jordanDecomposition_add_withDensity_mutuallySingular hf htμ) := by
haveI := isFiniteMeasure_withDensity_ofReal hfi.2
haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2
refine' toJordanDecomposition_eq _
simp_rw [JordanDecomposition.toSignedMeasure, hadd]
ext i hi
rw [VectorMeasure.sub_apply, toSignedMeasure_apply_measurable hi,
toSignedMeasure_apply_measurable hi, add_apply, add_apply, ENNReal.toReal_add,
ENNReal.toReal_add, add_sub_add_comm, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi, ← VectorMeasure.sub_apply,
← JordanDecomposition.toSignedMeasure, toSignedMeasure_toJordanDecomposition,
VectorMeasure.add_apply, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi,
withDensityᵥ_eq_withDensity_pos_part_sub_withDensity_neg_part hfi,
VectorMeasure.sub_apply] <;>
exact (measure_lt_top _ _).ne
#align measure_theory.signed_measure.to_jordan_decomposition_eq_of_eq_add_with_density MeasureTheory.SignedMeasure.toJordanDecomposition_eq_of_eq_add_withDensity
private theorem haveLebesgueDecomposition_mk' (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff] at htμ
change _ ⟂ₘ VectorMeasure.equivMeasure.toFun (VectorMeasure.equivMeasure.invFun μ) at htμ
rw [VectorMeasure.equivMeasure.right_inv, totalVariation_mutuallySingular_iff] at htμ
refine'
{ posPart := by
use ⟨t.toJordanDecomposition.posPart, fun x => ENNReal.ofReal (f x)⟩
refine' ⟨hf.ennreal_ofReal, htμ.1, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
negPart := by
use ⟨t.toJordanDecomposition.negPart, fun x => ENNReal.ofReal (-f x)⟩
refine' ⟨hf.neg.ennreal_ofReal, htμ.2, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd] }
theorem haveLebesgueDecomposition_mk (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
by_cases hfi : Integrable f μ
· exact haveLebesgueDecomposition_mk' μ hf hfi htμ hadd
· rw [withDensityᵥ, dif_neg hfi, add_zero] at hadd
refine' haveLebesgueDecomposition_mk' μ measurable_zero (integrable_zero _ _ μ) htμ _
rwa [withDensityᵥ_zero, add_zero]
#align measure_theory.signed_measure.have_lebesgue_decomposition_mk MeasureTheory.SignedMeasure.haveLebesgueDecomposition_mk
private theorem eq_singularPart' (t : SignedMeasure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
t = s.singularPart μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
rw [singularPart, ← t.toSignedMeasure_toJordanDecomposition,
JordanDecomposition.toSignedMeasure]
congr
· have hfpos : Measurable fun x => ENNReal.ofReal (f x) := by measurability
refine' eq_singularPart hfpos htμ.1 _
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
· have hfneg : Measurable fun x => ENNReal.ofReal (-f x) := by measurability
refine' eq_singularPart hfneg htμ.2 _
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
/-- Given a measure `μ`, signed measures `s` and `t`, and a function `f` such that `t` is
mutually singular with respect to `μ` and `s = t + μ.withDensityᵥ f`, we have
`t = singularPart s μ`, i.e. `t` is the singular part of the Lebesgue decomposition between
`s` and `μ`. -/
theorem eq_singularPart (t : SignedMeasure α) (f : α → ℝ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure)
(hadd : s = t + μ.withDensityᵥ f) : t = s.singularPart μ := by
by_cases hfi : Integrable f μ
· refine' eq_singularPart' t hfi.1.measurable_mk (hfi.congr hfi.1.ae_eq_mk) htμ _
convert hadd using 2
exact WithDensityᵥEq.congr_ae hfi.1.ae_eq_mk.symm
· rw [withDensityᵥ, dif_neg hfi, add_zero] at hadd
refine' eq_singularPart' t measurable_zero (integrable_zero _ _ μ) htμ _
rwa [withDensityᵥ_zero, add_zero]
#align measure_theory.signed_measure.eq_singular_part MeasureTheory.SignedMeasure.eq_singularPart
theorem singularPart_zero (μ : Measure α) : (0 : SignedMeasure α).singularPart μ = 0 := by
refine' (eq_singularPart 0 0 VectorMeasure.MutuallySingular.zero_left _).symm
rw [zero_add, withDensityᵥ_zero]
#align measure_theory.signed_measure.singular_part_zero MeasureTheory.SignedMeasure.singularPart_zero
theorem singularPart_neg (s : SignedMeasure α) (μ : Measure α) :
(-s).singularPart μ = -s.singularPart μ := by
have h₁ :
((-s).toJordanDecomposition.posPart.singularPart μ).toSignedMeasure =
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure := by
refine' toSignedMeasure_congr _
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
have h₂ :
((-s).toJordanDecomposition.negPart.singularPart μ).toSignedMeasure =
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure := by
refine' toSignedMeasure_congr _
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
rw [singularPart, singularPart, neg_sub, h₁, h₂]
#align measure_theory.signed_measure.singular_part_neg MeasureTheory.SignedMeasure.singularPart_neg
theorem singularPart_smul_nnreal (s : SignedMeasure α) (μ : Measure α) (r : ℝ≥0) :
(r • s).singularPart μ = r • s.singularPart μ := by
rw [singularPart, singularPart, smul_sub, ← toSignedMeasure_smul, ← toSignedMeasure_smul]
| conv_lhs =>
congr
· congr
· rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart, singularPart_smul]
· congr
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart, singularPart_smul] | theorem singularPart_smul_nnreal (s : SignedMeasure α) (μ : Measure α) (r : ℝ≥0) :
(r • s).singularPart μ = r • s.singularPart μ := by
rw [singularPart, singularPart, smul_sub, ← toSignedMeasure_smul, ← toSignedMeasure_smul]
| Mathlib.MeasureTheory.Decomposition.SignedLebesgue.352_0.HPGboz0rhL6sBes | theorem singularPart_smul_nnreal (s : SignedMeasure α) (μ : Measure α) (r : ℝ≥0) :
(r • s).singularPart μ = r • s.singularPart μ | Mathlib_MeasureTheory_Decomposition_SignedLebesgue |
α : Type u_1
β : Type u_2
m : MeasurableSpace α
μ✝ ν : Measure α
s✝ t s : SignedMeasure α
μ : Measure α
r : ℝ≥0
| toSignedMeasure (Measure.singularPart (toJordanDecomposition (r • s)).posPart μ) -
toSignedMeasure (Measure.singularPart (toJordanDecomposition (r • s)).negPart μ) | /-
Copyright (c) 2021 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.MeasureTheory.Decomposition.Lebesgue
import Mathlib.MeasureTheory.Measure.Complex
/-!
# Lebesgue decomposition
This file proves the Lebesgue decomposition theorem for signed measures. The Lebesgue decomposition
theorem states that, given two σ-finite measures `μ` and `ν`, there exists a σ-finite measure `ξ`
and a measurable function `f` such that `μ = ξ + fν` and `ξ` is mutually singular with respect
to `ν`.
## Main definitions
* `MeasureTheory.SignedMeasure.HaveLebesgueDecomposition` : A signed measure `s` and a
measure `μ` is said to `HaveLebesgueDecomposition` if both the positive part and negative
part of `s` `HaveLebesgueDecomposition` with respect to `μ`.
* `MeasureTheory.SignedMeasure.singularPart` : The singular part between a signed measure `s`
and a measure `μ` is simply the singular part of the positive part of `s` with respect to `μ`
minus the singular part of the negative part of `s` with respect to `μ`.
* `MeasureTheory.SignedMeasure.rnDeriv` : The Radon-Nikodym derivative of a signed
measure `s` with respect to a measure `μ` is the Radon-Nikodym derivative of the positive part of
`s` with respect to `μ` minus the Radon-Nikodym derivative of the negative part of `s` with
respect to `μ`.
## Main results
* `MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq` :
the Lebesgue decomposition theorem between a signed measure and a σ-finite positive measure.
## Tags
Lebesgue decomposition theorem
-/
noncomputable section
open scoped Classical MeasureTheory NNReal ENNReal
open Set
variable {α β : Type*} {m : MeasurableSpace α} {μ ν : MeasureTheory.Measure α}
namespace MeasureTheory
namespace SignedMeasure
open Measure
/-- A signed measure `s` is said to `HaveLebesgueDecomposition` with respect to a measure `μ`
if the positive part and the negative part of `s` both `HaveLebesgueDecomposition` with
respect to `μ`. -/
class HaveLebesgueDecomposition (s : SignedMeasure α) (μ : Measure α) : Prop where
posPart : s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ
negPart : s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ
#align measure_theory.signed_measure.have_lebesgue_decomposition MeasureTheory.SignedMeasure.HaveLebesgueDecomposition
#align measure_theory.signed_measure.have_lebesgue_decomposition.pos_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.posPart
#align measure_theory.signed_measure.have_lebesgue_decomposition.neg_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.negPart
attribute [instance] HaveLebesgueDecomposition.posPart
attribute [instance] HaveLebesgueDecomposition.negPart
theorem not_haveLebesgueDecomposition_iff (s : SignedMeasure α) (μ : Measure α) :
¬s.HaveLebesgueDecomposition μ ↔
¬s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ ∨
¬s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ :=
⟨fun h => not_or_of_imp fun hp hn => h ⟨hp, hn⟩, fun h hl => (not_and_or.2 h) ⟨hl.1, hl.2⟩⟩
#align measure_theory.signed_measure.not_have_lebesgue_decomposition_iff MeasureTheory.SignedMeasure.not_haveLebesgueDecomposition_iff
-- `infer_instance` directly does not work
-- see Note [lower instance priority]
instance (priority := 100) haveLebesgueDecomposition_of_sigmaFinite (s : SignedMeasure α)
(μ : Measure α) [SigmaFinite μ] : s.HaveLebesgueDecomposition μ where
posPart := inferInstance
negPart := inferInstance
#align measure_theory.signed_measure.have_lebesgue_decomposition_of_sigma_finite MeasureTheory.SignedMeasure.haveLebesgueDecomposition_of_sigmaFinite
instance haveLebesgueDecomposition_neg (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] : (-s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_neg MeasureTheory.SignedMeasure.haveLebesgueDecomposition_neg
instance haveLebesgueDecomposition_smul (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ≥0) : (r • s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul
instance haveLebesgueDecomposition_smul_real (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ) : (r • s).HaveLebesgueDecomposition μ := by
by_cases hr : 0 ≤ r
· lift r to ℝ≥0 using hr
exact s.haveLebesgueDecomposition_smul μ _
· rw [not_le] at hr
refine'
{ posPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_posPart_neg _ _ hr]
infer_instance
negPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_negPart_neg _ _ hr]
infer_instance }
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul_real MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul_real
/-- Given a signed measure `s` and a measure `μ`, `s.singularPart μ` is the signed measure
such that `s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s` and
`s.singularPart μ` is mutually singular with respect to `μ`. -/
def singularPart (s : SignedMeasure α) (μ : Measure α) : SignedMeasure α :=
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure -
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure
#align measure_theory.signed_measure.singular_part MeasureTheory.SignedMeasure.singularPart
section
theorem singularPart_mutuallySingular (s : SignedMeasure α) (μ : Measure α) :
s.toJordanDecomposition.posPart.singularPart μ ⟂ₘ
s.toJordanDecomposition.negPart.singularPart μ := by
by_cases hl : s.HaveLebesgueDecomposition μ
· obtain ⟨i, hi, hpos, hneg⟩ := s.toJordanDecomposition.mutuallySingular
rw [s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ] at hpos
rw [s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ] at hneg
rw [add_apply, add_eq_zero_iff] at hpos hneg
exact ⟨i, hi, hpos.1, hneg.1⟩
· rw [not_haveLebesgueDecomposition_iff] at hl
cases' hl with hp hn
· rw [Measure.singularPart, dif_neg hp]
exact MutuallySingular.zero_left
· rw [Measure.singularPart, Measure.singularPart, dif_neg hn]
exact MutuallySingular.zero_right
#align measure_theory.signed_measure.singular_part_mutually_singular MeasureTheory.SignedMeasure.singularPart_mutuallySingular
theorem singularPart_totalVariation (s : SignedMeasure α) (μ : Measure α) :
(s.singularPart μ).totalVariation =
s.toJordanDecomposition.posPart.singularPart μ +
s.toJordanDecomposition.negPart.singularPart μ := by
have :
(s.singularPart μ).toJordanDecomposition =
⟨s.toJordanDecomposition.posPart.singularPart μ,
s.toJordanDecomposition.negPart.singularPart μ, singularPart_mutuallySingular s μ⟩ := by
refine' JordanDecomposition.toSignedMeasure_injective _
rw [toSignedMeasure_toJordanDecomposition, singularPart, JordanDecomposition.toSignedMeasure]
· rw [totalVariation, this]
#align measure_theory.signed_measure.singular_part_total_variation MeasureTheory.SignedMeasure.singularPart_totalVariation
nonrec theorem mutuallySingular_singularPart (s : SignedMeasure α) (μ : Measure α) :
singularPart s μ ⟂ᵥ μ.toENNRealVectorMeasure := by
rw [mutuallySingular_ennreal_iff, singularPart_totalVariation,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure]
exact (mutuallySingular_singularPart _ _).add_left (mutuallySingular_singularPart _ _)
#align measure_theory.signed_measure.mutually_singular_singular_part MeasureTheory.SignedMeasure.mutuallySingular_singularPart
end
/-- The Radon-Nikodym derivative between a signed measure and a positive measure.
`rnDeriv s μ` satisfies `μ.withDensityᵥ (s.rnDeriv μ) = s`
if and only if `s` is absolutely continuous with respect to `μ` and this fact is known as
`MeasureTheory.SignedMeasure.absolutelyContinuous_iff_withDensity_rnDeriv_eq`
and can be found in `MeasureTheory.Decomposition.RadonNikodym`. -/
def rnDeriv (s : SignedMeasure α) (μ : Measure α) : α → ℝ := fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal
#align measure_theory.signed_measure.rn_deriv MeasureTheory.SignedMeasure.rnDeriv
-- Porting note: The generated equation theorem is the form of `rnDeriv s μ x`.
theorem rnDeriv_def (s : SignedMeasure α) (μ : Measure α) : rnDeriv s μ = fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal :=
rfl
attribute [eqns rnDeriv_def] rnDeriv
variable {s t : SignedMeasure α}
@[measurability]
theorem measurable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Measurable (rnDeriv s μ) := by
rw [rnDeriv]
measurability
#align measure_theory.signed_measure.measurable_rn_deriv MeasureTheory.SignedMeasure.measurable_rnDeriv
theorem integrable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Integrable (rnDeriv s μ) μ := by
refine' Integrable.sub _ _ <;>
· constructor
· apply Measurable.aestronglyMeasurable; measurability
exact hasFiniteIntegral_toReal_of_lintegral_ne_top (lintegral_rnDeriv_lt_top _ μ).ne
#align measure_theory.signed_measure.integrable_rn_deriv MeasureTheory.SignedMeasure.integrable_rnDeriv
variable (s μ)
/-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
first
| exact (lintegral_rnDeriv_lt_top _ _).ne
| measurability
#align measure_theory.signed_measure.singular_part_add_with_density_rn_deriv_eq MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq
variable {s μ}
theorem jordanDecomposition_add_withDensity_mutuallySingular {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) :
(t.toJordanDecomposition.posPart + μ.withDensity fun x : α => ENNReal.ofReal (f x)) ⟂ₘ
t.toJordanDecomposition.negPart + μ.withDensity fun x : α => ENNReal.ofReal (-f x) := by
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
exact
((JordanDecomposition.mutuallySingular _).add_right
(htμ.1.mono_ac (refl _) (withDensity_absolutelyContinuous _ _))).add_left
((htμ.2.symm.mono_ac (withDensity_absolutelyContinuous _ _) (refl _)).add_right
(withDensity_ofReal_mutuallySingular hf))
#align measure_theory.signed_measure.jordan_decomposition_add_with_density_mutually_singular MeasureTheory.SignedMeasure.jordanDecomposition_add_withDensity_mutuallySingular
theorem toJordanDecomposition_eq_of_eq_add_withDensity {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.toJordanDecomposition =
@JordanDecomposition.mk α _
(t.toJordanDecomposition.posPart + μ.withDensity fun x => ENNReal.ofReal (f x))
(t.toJordanDecomposition.negPart + μ.withDensity fun x => ENNReal.ofReal (-f x))
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.2; infer_instance)
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2; infer_instance)
(jordanDecomposition_add_withDensity_mutuallySingular hf htμ) := by
haveI := isFiniteMeasure_withDensity_ofReal hfi.2
haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2
refine' toJordanDecomposition_eq _
simp_rw [JordanDecomposition.toSignedMeasure, hadd]
ext i hi
rw [VectorMeasure.sub_apply, toSignedMeasure_apply_measurable hi,
toSignedMeasure_apply_measurable hi, add_apply, add_apply, ENNReal.toReal_add,
ENNReal.toReal_add, add_sub_add_comm, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi, ← VectorMeasure.sub_apply,
← JordanDecomposition.toSignedMeasure, toSignedMeasure_toJordanDecomposition,
VectorMeasure.add_apply, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi,
withDensityᵥ_eq_withDensity_pos_part_sub_withDensity_neg_part hfi,
VectorMeasure.sub_apply] <;>
exact (measure_lt_top _ _).ne
#align measure_theory.signed_measure.to_jordan_decomposition_eq_of_eq_add_with_density MeasureTheory.SignedMeasure.toJordanDecomposition_eq_of_eq_add_withDensity
private theorem haveLebesgueDecomposition_mk' (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff] at htμ
change _ ⟂ₘ VectorMeasure.equivMeasure.toFun (VectorMeasure.equivMeasure.invFun μ) at htμ
rw [VectorMeasure.equivMeasure.right_inv, totalVariation_mutuallySingular_iff] at htμ
refine'
{ posPart := by
use ⟨t.toJordanDecomposition.posPart, fun x => ENNReal.ofReal (f x)⟩
refine' ⟨hf.ennreal_ofReal, htμ.1, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
negPart := by
use ⟨t.toJordanDecomposition.negPart, fun x => ENNReal.ofReal (-f x)⟩
refine' ⟨hf.neg.ennreal_ofReal, htμ.2, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd] }
theorem haveLebesgueDecomposition_mk (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
by_cases hfi : Integrable f μ
· exact haveLebesgueDecomposition_mk' μ hf hfi htμ hadd
· rw [withDensityᵥ, dif_neg hfi, add_zero] at hadd
refine' haveLebesgueDecomposition_mk' μ measurable_zero (integrable_zero _ _ μ) htμ _
rwa [withDensityᵥ_zero, add_zero]
#align measure_theory.signed_measure.have_lebesgue_decomposition_mk MeasureTheory.SignedMeasure.haveLebesgueDecomposition_mk
private theorem eq_singularPart' (t : SignedMeasure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
t = s.singularPart μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
rw [singularPart, ← t.toSignedMeasure_toJordanDecomposition,
JordanDecomposition.toSignedMeasure]
congr
· have hfpos : Measurable fun x => ENNReal.ofReal (f x) := by measurability
refine' eq_singularPart hfpos htμ.1 _
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
· have hfneg : Measurable fun x => ENNReal.ofReal (-f x) := by measurability
refine' eq_singularPart hfneg htμ.2 _
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
/-- Given a measure `μ`, signed measures `s` and `t`, and a function `f` such that `t` is
mutually singular with respect to `μ` and `s = t + μ.withDensityᵥ f`, we have
`t = singularPart s μ`, i.e. `t` is the singular part of the Lebesgue decomposition between
`s` and `μ`. -/
theorem eq_singularPart (t : SignedMeasure α) (f : α → ℝ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure)
(hadd : s = t + μ.withDensityᵥ f) : t = s.singularPart μ := by
by_cases hfi : Integrable f μ
· refine' eq_singularPart' t hfi.1.measurable_mk (hfi.congr hfi.1.ae_eq_mk) htμ _
convert hadd using 2
exact WithDensityᵥEq.congr_ae hfi.1.ae_eq_mk.symm
· rw [withDensityᵥ, dif_neg hfi, add_zero] at hadd
refine' eq_singularPart' t measurable_zero (integrable_zero _ _ μ) htμ _
rwa [withDensityᵥ_zero, add_zero]
#align measure_theory.signed_measure.eq_singular_part MeasureTheory.SignedMeasure.eq_singularPart
theorem singularPart_zero (μ : Measure α) : (0 : SignedMeasure α).singularPart μ = 0 := by
refine' (eq_singularPart 0 0 VectorMeasure.MutuallySingular.zero_left _).symm
rw [zero_add, withDensityᵥ_zero]
#align measure_theory.signed_measure.singular_part_zero MeasureTheory.SignedMeasure.singularPart_zero
theorem singularPart_neg (s : SignedMeasure α) (μ : Measure α) :
(-s).singularPart μ = -s.singularPart μ := by
have h₁ :
((-s).toJordanDecomposition.posPart.singularPart μ).toSignedMeasure =
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure := by
refine' toSignedMeasure_congr _
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
have h₂ :
((-s).toJordanDecomposition.negPart.singularPart μ).toSignedMeasure =
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure := by
refine' toSignedMeasure_congr _
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
rw [singularPart, singularPart, neg_sub, h₁, h₂]
#align measure_theory.signed_measure.singular_part_neg MeasureTheory.SignedMeasure.singularPart_neg
theorem singularPart_smul_nnreal (s : SignedMeasure α) (μ : Measure α) (r : ℝ≥0) :
(r • s).singularPart μ = r • s.singularPart μ := by
rw [singularPart, singularPart, smul_sub, ← toSignedMeasure_smul, ← toSignedMeasure_smul]
conv_lhs =>
| congr
· congr
· rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart, singularPart_smul]
· congr
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart, singularPart_smul] | theorem singularPart_smul_nnreal (s : SignedMeasure α) (μ : Measure α) (r : ℝ≥0) :
(r • s).singularPart μ = r • s.singularPart μ := by
rw [singularPart, singularPart, smul_sub, ← toSignedMeasure_smul, ← toSignedMeasure_smul]
conv_lhs =>
| Mathlib.MeasureTheory.Decomposition.SignedLebesgue.352_0.HPGboz0rhL6sBes | theorem singularPart_smul_nnreal (s : SignedMeasure α) (μ : Measure α) (r : ℝ≥0) :
(r • s).singularPart μ = r • s.singularPart μ | Mathlib_MeasureTheory_Decomposition_SignedLebesgue |
α : Type u_1
β : Type u_2
m : MeasurableSpace α
μ✝ ν : Measure α
s✝ t s : SignedMeasure α
μ : Measure α
r : ℝ≥0
| toSignedMeasure (Measure.singularPart (toJordanDecomposition (r • s)).posPart μ) -
toSignedMeasure (Measure.singularPart (toJordanDecomposition (r • s)).negPart μ) | /-
Copyright (c) 2021 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.MeasureTheory.Decomposition.Lebesgue
import Mathlib.MeasureTheory.Measure.Complex
/-!
# Lebesgue decomposition
This file proves the Lebesgue decomposition theorem for signed measures. The Lebesgue decomposition
theorem states that, given two σ-finite measures `μ` and `ν`, there exists a σ-finite measure `ξ`
and a measurable function `f` such that `μ = ξ + fν` and `ξ` is mutually singular with respect
to `ν`.
## Main definitions
* `MeasureTheory.SignedMeasure.HaveLebesgueDecomposition` : A signed measure `s` and a
measure `μ` is said to `HaveLebesgueDecomposition` if both the positive part and negative
part of `s` `HaveLebesgueDecomposition` with respect to `μ`.
* `MeasureTheory.SignedMeasure.singularPart` : The singular part between a signed measure `s`
and a measure `μ` is simply the singular part of the positive part of `s` with respect to `μ`
minus the singular part of the negative part of `s` with respect to `μ`.
* `MeasureTheory.SignedMeasure.rnDeriv` : The Radon-Nikodym derivative of a signed
measure `s` with respect to a measure `μ` is the Radon-Nikodym derivative of the positive part of
`s` with respect to `μ` minus the Radon-Nikodym derivative of the negative part of `s` with
respect to `μ`.
## Main results
* `MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq` :
the Lebesgue decomposition theorem between a signed measure and a σ-finite positive measure.
## Tags
Lebesgue decomposition theorem
-/
noncomputable section
open scoped Classical MeasureTheory NNReal ENNReal
open Set
variable {α β : Type*} {m : MeasurableSpace α} {μ ν : MeasureTheory.Measure α}
namespace MeasureTheory
namespace SignedMeasure
open Measure
/-- A signed measure `s` is said to `HaveLebesgueDecomposition` with respect to a measure `μ`
if the positive part and the negative part of `s` both `HaveLebesgueDecomposition` with
respect to `μ`. -/
class HaveLebesgueDecomposition (s : SignedMeasure α) (μ : Measure α) : Prop where
posPart : s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ
negPart : s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ
#align measure_theory.signed_measure.have_lebesgue_decomposition MeasureTheory.SignedMeasure.HaveLebesgueDecomposition
#align measure_theory.signed_measure.have_lebesgue_decomposition.pos_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.posPart
#align measure_theory.signed_measure.have_lebesgue_decomposition.neg_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.negPart
attribute [instance] HaveLebesgueDecomposition.posPart
attribute [instance] HaveLebesgueDecomposition.negPart
theorem not_haveLebesgueDecomposition_iff (s : SignedMeasure α) (μ : Measure α) :
¬s.HaveLebesgueDecomposition μ ↔
¬s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ ∨
¬s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ :=
⟨fun h => not_or_of_imp fun hp hn => h ⟨hp, hn⟩, fun h hl => (not_and_or.2 h) ⟨hl.1, hl.2⟩⟩
#align measure_theory.signed_measure.not_have_lebesgue_decomposition_iff MeasureTheory.SignedMeasure.not_haveLebesgueDecomposition_iff
-- `infer_instance` directly does not work
-- see Note [lower instance priority]
instance (priority := 100) haveLebesgueDecomposition_of_sigmaFinite (s : SignedMeasure α)
(μ : Measure α) [SigmaFinite μ] : s.HaveLebesgueDecomposition μ where
posPart := inferInstance
negPart := inferInstance
#align measure_theory.signed_measure.have_lebesgue_decomposition_of_sigma_finite MeasureTheory.SignedMeasure.haveLebesgueDecomposition_of_sigmaFinite
instance haveLebesgueDecomposition_neg (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] : (-s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_neg MeasureTheory.SignedMeasure.haveLebesgueDecomposition_neg
instance haveLebesgueDecomposition_smul (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ≥0) : (r • s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul
instance haveLebesgueDecomposition_smul_real (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ) : (r • s).HaveLebesgueDecomposition μ := by
by_cases hr : 0 ≤ r
· lift r to ℝ≥0 using hr
exact s.haveLebesgueDecomposition_smul μ _
· rw [not_le] at hr
refine'
{ posPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_posPart_neg _ _ hr]
infer_instance
negPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_negPart_neg _ _ hr]
infer_instance }
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul_real MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul_real
/-- Given a signed measure `s` and a measure `μ`, `s.singularPart μ` is the signed measure
such that `s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s` and
`s.singularPart μ` is mutually singular with respect to `μ`. -/
def singularPart (s : SignedMeasure α) (μ : Measure α) : SignedMeasure α :=
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure -
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure
#align measure_theory.signed_measure.singular_part MeasureTheory.SignedMeasure.singularPart
section
theorem singularPart_mutuallySingular (s : SignedMeasure α) (μ : Measure α) :
s.toJordanDecomposition.posPart.singularPart μ ⟂ₘ
s.toJordanDecomposition.negPart.singularPart μ := by
by_cases hl : s.HaveLebesgueDecomposition μ
· obtain ⟨i, hi, hpos, hneg⟩ := s.toJordanDecomposition.mutuallySingular
rw [s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ] at hpos
rw [s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ] at hneg
rw [add_apply, add_eq_zero_iff] at hpos hneg
exact ⟨i, hi, hpos.1, hneg.1⟩
· rw [not_haveLebesgueDecomposition_iff] at hl
cases' hl with hp hn
· rw [Measure.singularPart, dif_neg hp]
exact MutuallySingular.zero_left
· rw [Measure.singularPart, Measure.singularPart, dif_neg hn]
exact MutuallySingular.zero_right
#align measure_theory.signed_measure.singular_part_mutually_singular MeasureTheory.SignedMeasure.singularPart_mutuallySingular
theorem singularPart_totalVariation (s : SignedMeasure α) (μ : Measure α) :
(s.singularPart μ).totalVariation =
s.toJordanDecomposition.posPart.singularPart μ +
s.toJordanDecomposition.negPart.singularPart μ := by
have :
(s.singularPart μ).toJordanDecomposition =
⟨s.toJordanDecomposition.posPart.singularPart μ,
s.toJordanDecomposition.negPart.singularPart μ, singularPart_mutuallySingular s μ⟩ := by
refine' JordanDecomposition.toSignedMeasure_injective _
rw [toSignedMeasure_toJordanDecomposition, singularPart, JordanDecomposition.toSignedMeasure]
· rw [totalVariation, this]
#align measure_theory.signed_measure.singular_part_total_variation MeasureTheory.SignedMeasure.singularPart_totalVariation
nonrec theorem mutuallySingular_singularPart (s : SignedMeasure α) (μ : Measure α) :
singularPart s μ ⟂ᵥ μ.toENNRealVectorMeasure := by
rw [mutuallySingular_ennreal_iff, singularPart_totalVariation,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure]
exact (mutuallySingular_singularPart _ _).add_left (mutuallySingular_singularPart _ _)
#align measure_theory.signed_measure.mutually_singular_singular_part MeasureTheory.SignedMeasure.mutuallySingular_singularPart
end
/-- The Radon-Nikodym derivative between a signed measure and a positive measure.
`rnDeriv s μ` satisfies `μ.withDensityᵥ (s.rnDeriv μ) = s`
if and only if `s` is absolutely continuous with respect to `μ` and this fact is known as
`MeasureTheory.SignedMeasure.absolutelyContinuous_iff_withDensity_rnDeriv_eq`
and can be found in `MeasureTheory.Decomposition.RadonNikodym`. -/
def rnDeriv (s : SignedMeasure α) (μ : Measure α) : α → ℝ := fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal
#align measure_theory.signed_measure.rn_deriv MeasureTheory.SignedMeasure.rnDeriv
-- Porting note: The generated equation theorem is the form of `rnDeriv s μ x`.
theorem rnDeriv_def (s : SignedMeasure α) (μ : Measure α) : rnDeriv s μ = fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal :=
rfl
attribute [eqns rnDeriv_def] rnDeriv
variable {s t : SignedMeasure α}
@[measurability]
theorem measurable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Measurable (rnDeriv s μ) := by
rw [rnDeriv]
measurability
#align measure_theory.signed_measure.measurable_rn_deriv MeasureTheory.SignedMeasure.measurable_rnDeriv
theorem integrable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Integrable (rnDeriv s μ) μ := by
refine' Integrable.sub _ _ <;>
· constructor
· apply Measurable.aestronglyMeasurable; measurability
exact hasFiniteIntegral_toReal_of_lintegral_ne_top (lintegral_rnDeriv_lt_top _ μ).ne
#align measure_theory.signed_measure.integrable_rn_deriv MeasureTheory.SignedMeasure.integrable_rnDeriv
variable (s μ)
/-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
first
| exact (lintegral_rnDeriv_lt_top _ _).ne
| measurability
#align measure_theory.signed_measure.singular_part_add_with_density_rn_deriv_eq MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq
variable {s μ}
theorem jordanDecomposition_add_withDensity_mutuallySingular {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) :
(t.toJordanDecomposition.posPart + μ.withDensity fun x : α => ENNReal.ofReal (f x)) ⟂ₘ
t.toJordanDecomposition.negPart + μ.withDensity fun x : α => ENNReal.ofReal (-f x) := by
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
exact
((JordanDecomposition.mutuallySingular _).add_right
(htμ.1.mono_ac (refl _) (withDensity_absolutelyContinuous _ _))).add_left
((htμ.2.symm.mono_ac (withDensity_absolutelyContinuous _ _) (refl _)).add_right
(withDensity_ofReal_mutuallySingular hf))
#align measure_theory.signed_measure.jordan_decomposition_add_with_density_mutually_singular MeasureTheory.SignedMeasure.jordanDecomposition_add_withDensity_mutuallySingular
theorem toJordanDecomposition_eq_of_eq_add_withDensity {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.toJordanDecomposition =
@JordanDecomposition.mk α _
(t.toJordanDecomposition.posPart + μ.withDensity fun x => ENNReal.ofReal (f x))
(t.toJordanDecomposition.negPart + μ.withDensity fun x => ENNReal.ofReal (-f x))
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.2; infer_instance)
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2; infer_instance)
(jordanDecomposition_add_withDensity_mutuallySingular hf htμ) := by
haveI := isFiniteMeasure_withDensity_ofReal hfi.2
haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2
refine' toJordanDecomposition_eq _
simp_rw [JordanDecomposition.toSignedMeasure, hadd]
ext i hi
rw [VectorMeasure.sub_apply, toSignedMeasure_apply_measurable hi,
toSignedMeasure_apply_measurable hi, add_apply, add_apply, ENNReal.toReal_add,
ENNReal.toReal_add, add_sub_add_comm, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi, ← VectorMeasure.sub_apply,
← JordanDecomposition.toSignedMeasure, toSignedMeasure_toJordanDecomposition,
VectorMeasure.add_apply, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi,
withDensityᵥ_eq_withDensity_pos_part_sub_withDensity_neg_part hfi,
VectorMeasure.sub_apply] <;>
exact (measure_lt_top _ _).ne
#align measure_theory.signed_measure.to_jordan_decomposition_eq_of_eq_add_with_density MeasureTheory.SignedMeasure.toJordanDecomposition_eq_of_eq_add_withDensity
private theorem haveLebesgueDecomposition_mk' (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff] at htμ
change _ ⟂ₘ VectorMeasure.equivMeasure.toFun (VectorMeasure.equivMeasure.invFun μ) at htμ
rw [VectorMeasure.equivMeasure.right_inv, totalVariation_mutuallySingular_iff] at htμ
refine'
{ posPart := by
use ⟨t.toJordanDecomposition.posPart, fun x => ENNReal.ofReal (f x)⟩
refine' ⟨hf.ennreal_ofReal, htμ.1, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
negPart := by
use ⟨t.toJordanDecomposition.negPart, fun x => ENNReal.ofReal (-f x)⟩
refine' ⟨hf.neg.ennreal_ofReal, htμ.2, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd] }
theorem haveLebesgueDecomposition_mk (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
by_cases hfi : Integrable f μ
· exact haveLebesgueDecomposition_mk' μ hf hfi htμ hadd
· rw [withDensityᵥ, dif_neg hfi, add_zero] at hadd
refine' haveLebesgueDecomposition_mk' μ measurable_zero (integrable_zero _ _ μ) htμ _
rwa [withDensityᵥ_zero, add_zero]
#align measure_theory.signed_measure.have_lebesgue_decomposition_mk MeasureTheory.SignedMeasure.haveLebesgueDecomposition_mk
private theorem eq_singularPart' (t : SignedMeasure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
t = s.singularPart μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
rw [singularPart, ← t.toSignedMeasure_toJordanDecomposition,
JordanDecomposition.toSignedMeasure]
congr
· have hfpos : Measurable fun x => ENNReal.ofReal (f x) := by measurability
refine' eq_singularPart hfpos htμ.1 _
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
· have hfneg : Measurable fun x => ENNReal.ofReal (-f x) := by measurability
refine' eq_singularPart hfneg htμ.2 _
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
/-- Given a measure `μ`, signed measures `s` and `t`, and a function `f` such that `t` is
mutually singular with respect to `μ` and `s = t + μ.withDensityᵥ f`, we have
`t = singularPart s μ`, i.e. `t` is the singular part of the Lebesgue decomposition between
`s` and `μ`. -/
theorem eq_singularPart (t : SignedMeasure α) (f : α → ℝ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure)
(hadd : s = t + μ.withDensityᵥ f) : t = s.singularPart μ := by
by_cases hfi : Integrable f μ
· refine' eq_singularPart' t hfi.1.measurable_mk (hfi.congr hfi.1.ae_eq_mk) htμ _
convert hadd using 2
exact WithDensityᵥEq.congr_ae hfi.1.ae_eq_mk.symm
· rw [withDensityᵥ, dif_neg hfi, add_zero] at hadd
refine' eq_singularPart' t measurable_zero (integrable_zero _ _ μ) htμ _
rwa [withDensityᵥ_zero, add_zero]
#align measure_theory.signed_measure.eq_singular_part MeasureTheory.SignedMeasure.eq_singularPart
theorem singularPart_zero (μ : Measure α) : (0 : SignedMeasure α).singularPart μ = 0 := by
refine' (eq_singularPart 0 0 VectorMeasure.MutuallySingular.zero_left _).symm
rw [zero_add, withDensityᵥ_zero]
#align measure_theory.signed_measure.singular_part_zero MeasureTheory.SignedMeasure.singularPart_zero
theorem singularPart_neg (s : SignedMeasure α) (μ : Measure α) :
(-s).singularPart μ = -s.singularPart μ := by
have h₁ :
((-s).toJordanDecomposition.posPart.singularPart μ).toSignedMeasure =
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure := by
refine' toSignedMeasure_congr _
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
have h₂ :
((-s).toJordanDecomposition.negPart.singularPart μ).toSignedMeasure =
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure := by
refine' toSignedMeasure_congr _
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
rw [singularPart, singularPart, neg_sub, h₁, h₂]
#align measure_theory.signed_measure.singular_part_neg MeasureTheory.SignedMeasure.singularPart_neg
theorem singularPart_smul_nnreal (s : SignedMeasure α) (μ : Measure α) (r : ℝ≥0) :
(r • s).singularPart μ = r • s.singularPart μ := by
rw [singularPart, singularPart, smul_sub, ← toSignedMeasure_smul, ← toSignedMeasure_smul]
conv_lhs =>
| congr
· congr
· rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart, singularPart_smul]
· congr
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart, singularPart_smul] | theorem singularPart_smul_nnreal (s : SignedMeasure α) (μ : Measure α) (r : ℝ≥0) :
(r • s).singularPart μ = r • s.singularPart μ := by
rw [singularPart, singularPart, smul_sub, ← toSignedMeasure_smul, ← toSignedMeasure_smul]
conv_lhs =>
| Mathlib.MeasureTheory.Decomposition.SignedLebesgue.352_0.HPGboz0rhL6sBes | theorem singularPart_smul_nnreal (s : SignedMeasure α) (μ : Measure α) (r : ℝ≥0) :
(r • s).singularPart μ = r • s.singularPart μ | Mathlib_MeasureTheory_Decomposition_SignedLebesgue |
α : Type u_1
β : Type u_2
m : MeasurableSpace α
μ✝ ν : Measure α
s✝ t s : SignedMeasure α
μ : Measure α
r : ℝ≥0
| toSignedMeasure (Measure.singularPart (toJordanDecomposition (r • s)).posPart μ) -
toSignedMeasure (Measure.singularPart (toJordanDecomposition (r • s)).negPart μ) | /-
Copyright (c) 2021 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.MeasureTheory.Decomposition.Lebesgue
import Mathlib.MeasureTheory.Measure.Complex
/-!
# Lebesgue decomposition
This file proves the Lebesgue decomposition theorem for signed measures. The Lebesgue decomposition
theorem states that, given two σ-finite measures `μ` and `ν`, there exists a σ-finite measure `ξ`
and a measurable function `f` such that `μ = ξ + fν` and `ξ` is mutually singular with respect
to `ν`.
## Main definitions
* `MeasureTheory.SignedMeasure.HaveLebesgueDecomposition` : A signed measure `s` and a
measure `μ` is said to `HaveLebesgueDecomposition` if both the positive part and negative
part of `s` `HaveLebesgueDecomposition` with respect to `μ`.
* `MeasureTheory.SignedMeasure.singularPart` : The singular part between a signed measure `s`
and a measure `μ` is simply the singular part of the positive part of `s` with respect to `μ`
minus the singular part of the negative part of `s` with respect to `μ`.
* `MeasureTheory.SignedMeasure.rnDeriv` : The Radon-Nikodym derivative of a signed
measure `s` with respect to a measure `μ` is the Radon-Nikodym derivative of the positive part of
`s` with respect to `μ` minus the Radon-Nikodym derivative of the negative part of `s` with
respect to `μ`.
## Main results
* `MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq` :
the Lebesgue decomposition theorem between a signed measure and a σ-finite positive measure.
## Tags
Lebesgue decomposition theorem
-/
noncomputable section
open scoped Classical MeasureTheory NNReal ENNReal
open Set
variable {α β : Type*} {m : MeasurableSpace α} {μ ν : MeasureTheory.Measure α}
namespace MeasureTheory
namespace SignedMeasure
open Measure
/-- A signed measure `s` is said to `HaveLebesgueDecomposition` with respect to a measure `μ`
if the positive part and the negative part of `s` both `HaveLebesgueDecomposition` with
respect to `μ`. -/
class HaveLebesgueDecomposition (s : SignedMeasure α) (μ : Measure α) : Prop where
posPart : s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ
negPart : s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ
#align measure_theory.signed_measure.have_lebesgue_decomposition MeasureTheory.SignedMeasure.HaveLebesgueDecomposition
#align measure_theory.signed_measure.have_lebesgue_decomposition.pos_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.posPart
#align measure_theory.signed_measure.have_lebesgue_decomposition.neg_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.negPart
attribute [instance] HaveLebesgueDecomposition.posPart
attribute [instance] HaveLebesgueDecomposition.negPart
theorem not_haveLebesgueDecomposition_iff (s : SignedMeasure α) (μ : Measure α) :
¬s.HaveLebesgueDecomposition μ ↔
¬s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ ∨
¬s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ :=
⟨fun h => not_or_of_imp fun hp hn => h ⟨hp, hn⟩, fun h hl => (not_and_or.2 h) ⟨hl.1, hl.2⟩⟩
#align measure_theory.signed_measure.not_have_lebesgue_decomposition_iff MeasureTheory.SignedMeasure.not_haveLebesgueDecomposition_iff
-- `infer_instance` directly does not work
-- see Note [lower instance priority]
instance (priority := 100) haveLebesgueDecomposition_of_sigmaFinite (s : SignedMeasure α)
(μ : Measure α) [SigmaFinite μ] : s.HaveLebesgueDecomposition μ where
posPart := inferInstance
negPart := inferInstance
#align measure_theory.signed_measure.have_lebesgue_decomposition_of_sigma_finite MeasureTheory.SignedMeasure.haveLebesgueDecomposition_of_sigmaFinite
instance haveLebesgueDecomposition_neg (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] : (-s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_neg MeasureTheory.SignedMeasure.haveLebesgueDecomposition_neg
instance haveLebesgueDecomposition_smul (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ≥0) : (r • s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul
instance haveLebesgueDecomposition_smul_real (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ) : (r • s).HaveLebesgueDecomposition μ := by
by_cases hr : 0 ≤ r
· lift r to ℝ≥0 using hr
exact s.haveLebesgueDecomposition_smul μ _
· rw [not_le] at hr
refine'
{ posPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_posPart_neg _ _ hr]
infer_instance
negPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_negPart_neg _ _ hr]
infer_instance }
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul_real MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul_real
/-- Given a signed measure `s` and a measure `μ`, `s.singularPart μ` is the signed measure
such that `s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s` and
`s.singularPart μ` is mutually singular with respect to `μ`. -/
def singularPart (s : SignedMeasure α) (μ : Measure α) : SignedMeasure α :=
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure -
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure
#align measure_theory.signed_measure.singular_part MeasureTheory.SignedMeasure.singularPart
section
theorem singularPart_mutuallySingular (s : SignedMeasure α) (μ : Measure α) :
s.toJordanDecomposition.posPart.singularPart μ ⟂ₘ
s.toJordanDecomposition.negPart.singularPart μ := by
by_cases hl : s.HaveLebesgueDecomposition μ
· obtain ⟨i, hi, hpos, hneg⟩ := s.toJordanDecomposition.mutuallySingular
rw [s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ] at hpos
rw [s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ] at hneg
rw [add_apply, add_eq_zero_iff] at hpos hneg
exact ⟨i, hi, hpos.1, hneg.1⟩
· rw [not_haveLebesgueDecomposition_iff] at hl
cases' hl with hp hn
· rw [Measure.singularPart, dif_neg hp]
exact MutuallySingular.zero_left
· rw [Measure.singularPart, Measure.singularPart, dif_neg hn]
exact MutuallySingular.zero_right
#align measure_theory.signed_measure.singular_part_mutually_singular MeasureTheory.SignedMeasure.singularPart_mutuallySingular
theorem singularPart_totalVariation (s : SignedMeasure α) (μ : Measure α) :
(s.singularPart μ).totalVariation =
s.toJordanDecomposition.posPart.singularPart μ +
s.toJordanDecomposition.negPart.singularPart μ := by
have :
(s.singularPart μ).toJordanDecomposition =
⟨s.toJordanDecomposition.posPart.singularPart μ,
s.toJordanDecomposition.negPart.singularPart μ, singularPart_mutuallySingular s μ⟩ := by
refine' JordanDecomposition.toSignedMeasure_injective _
rw [toSignedMeasure_toJordanDecomposition, singularPart, JordanDecomposition.toSignedMeasure]
· rw [totalVariation, this]
#align measure_theory.signed_measure.singular_part_total_variation MeasureTheory.SignedMeasure.singularPart_totalVariation
nonrec theorem mutuallySingular_singularPart (s : SignedMeasure α) (μ : Measure α) :
singularPart s μ ⟂ᵥ μ.toENNRealVectorMeasure := by
rw [mutuallySingular_ennreal_iff, singularPart_totalVariation,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure]
exact (mutuallySingular_singularPart _ _).add_left (mutuallySingular_singularPart _ _)
#align measure_theory.signed_measure.mutually_singular_singular_part MeasureTheory.SignedMeasure.mutuallySingular_singularPart
end
/-- The Radon-Nikodym derivative between a signed measure and a positive measure.
`rnDeriv s μ` satisfies `μ.withDensityᵥ (s.rnDeriv μ) = s`
if and only if `s` is absolutely continuous with respect to `μ` and this fact is known as
`MeasureTheory.SignedMeasure.absolutelyContinuous_iff_withDensity_rnDeriv_eq`
and can be found in `MeasureTheory.Decomposition.RadonNikodym`. -/
def rnDeriv (s : SignedMeasure α) (μ : Measure α) : α → ℝ := fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal
#align measure_theory.signed_measure.rn_deriv MeasureTheory.SignedMeasure.rnDeriv
-- Porting note: The generated equation theorem is the form of `rnDeriv s μ x`.
theorem rnDeriv_def (s : SignedMeasure α) (μ : Measure α) : rnDeriv s μ = fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal :=
rfl
attribute [eqns rnDeriv_def] rnDeriv
variable {s t : SignedMeasure α}
@[measurability]
theorem measurable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Measurable (rnDeriv s μ) := by
rw [rnDeriv]
measurability
#align measure_theory.signed_measure.measurable_rn_deriv MeasureTheory.SignedMeasure.measurable_rnDeriv
theorem integrable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Integrable (rnDeriv s μ) μ := by
refine' Integrable.sub _ _ <;>
· constructor
· apply Measurable.aestronglyMeasurable; measurability
exact hasFiniteIntegral_toReal_of_lintegral_ne_top (lintegral_rnDeriv_lt_top _ μ).ne
#align measure_theory.signed_measure.integrable_rn_deriv MeasureTheory.SignedMeasure.integrable_rnDeriv
variable (s μ)
/-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
first
| exact (lintegral_rnDeriv_lt_top _ _).ne
| measurability
#align measure_theory.signed_measure.singular_part_add_with_density_rn_deriv_eq MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq
variable {s μ}
theorem jordanDecomposition_add_withDensity_mutuallySingular {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) :
(t.toJordanDecomposition.posPart + μ.withDensity fun x : α => ENNReal.ofReal (f x)) ⟂ₘ
t.toJordanDecomposition.negPart + μ.withDensity fun x : α => ENNReal.ofReal (-f x) := by
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
exact
((JordanDecomposition.mutuallySingular _).add_right
(htμ.1.mono_ac (refl _) (withDensity_absolutelyContinuous _ _))).add_left
((htμ.2.symm.mono_ac (withDensity_absolutelyContinuous _ _) (refl _)).add_right
(withDensity_ofReal_mutuallySingular hf))
#align measure_theory.signed_measure.jordan_decomposition_add_with_density_mutually_singular MeasureTheory.SignedMeasure.jordanDecomposition_add_withDensity_mutuallySingular
theorem toJordanDecomposition_eq_of_eq_add_withDensity {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.toJordanDecomposition =
@JordanDecomposition.mk α _
(t.toJordanDecomposition.posPart + μ.withDensity fun x => ENNReal.ofReal (f x))
(t.toJordanDecomposition.negPart + μ.withDensity fun x => ENNReal.ofReal (-f x))
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.2; infer_instance)
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2; infer_instance)
(jordanDecomposition_add_withDensity_mutuallySingular hf htμ) := by
haveI := isFiniteMeasure_withDensity_ofReal hfi.2
haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2
refine' toJordanDecomposition_eq _
simp_rw [JordanDecomposition.toSignedMeasure, hadd]
ext i hi
rw [VectorMeasure.sub_apply, toSignedMeasure_apply_measurable hi,
toSignedMeasure_apply_measurable hi, add_apply, add_apply, ENNReal.toReal_add,
ENNReal.toReal_add, add_sub_add_comm, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi, ← VectorMeasure.sub_apply,
← JordanDecomposition.toSignedMeasure, toSignedMeasure_toJordanDecomposition,
VectorMeasure.add_apply, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi,
withDensityᵥ_eq_withDensity_pos_part_sub_withDensity_neg_part hfi,
VectorMeasure.sub_apply] <;>
exact (measure_lt_top _ _).ne
#align measure_theory.signed_measure.to_jordan_decomposition_eq_of_eq_add_with_density MeasureTheory.SignedMeasure.toJordanDecomposition_eq_of_eq_add_withDensity
private theorem haveLebesgueDecomposition_mk' (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff] at htμ
change _ ⟂ₘ VectorMeasure.equivMeasure.toFun (VectorMeasure.equivMeasure.invFun μ) at htμ
rw [VectorMeasure.equivMeasure.right_inv, totalVariation_mutuallySingular_iff] at htμ
refine'
{ posPart := by
use ⟨t.toJordanDecomposition.posPart, fun x => ENNReal.ofReal (f x)⟩
refine' ⟨hf.ennreal_ofReal, htμ.1, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
negPart := by
use ⟨t.toJordanDecomposition.negPart, fun x => ENNReal.ofReal (-f x)⟩
refine' ⟨hf.neg.ennreal_ofReal, htμ.2, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd] }
theorem haveLebesgueDecomposition_mk (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
by_cases hfi : Integrable f μ
· exact haveLebesgueDecomposition_mk' μ hf hfi htμ hadd
· rw [withDensityᵥ, dif_neg hfi, add_zero] at hadd
refine' haveLebesgueDecomposition_mk' μ measurable_zero (integrable_zero _ _ μ) htμ _
rwa [withDensityᵥ_zero, add_zero]
#align measure_theory.signed_measure.have_lebesgue_decomposition_mk MeasureTheory.SignedMeasure.haveLebesgueDecomposition_mk
private theorem eq_singularPart' (t : SignedMeasure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
t = s.singularPart μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
rw [singularPart, ← t.toSignedMeasure_toJordanDecomposition,
JordanDecomposition.toSignedMeasure]
congr
· have hfpos : Measurable fun x => ENNReal.ofReal (f x) := by measurability
refine' eq_singularPart hfpos htμ.1 _
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
· have hfneg : Measurable fun x => ENNReal.ofReal (-f x) := by measurability
refine' eq_singularPart hfneg htμ.2 _
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
/-- Given a measure `μ`, signed measures `s` and `t`, and a function `f` such that `t` is
mutually singular with respect to `μ` and `s = t + μ.withDensityᵥ f`, we have
`t = singularPart s μ`, i.e. `t` is the singular part of the Lebesgue decomposition between
`s` and `μ`. -/
theorem eq_singularPart (t : SignedMeasure α) (f : α → ℝ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure)
(hadd : s = t + μ.withDensityᵥ f) : t = s.singularPart μ := by
by_cases hfi : Integrable f μ
· refine' eq_singularPart' t hfi.1.measurable_mk (hfi.congr hfi.1.ae_eq_mk) htμ _
convert hadd using 2
exact WithDensityᵥEq.congr_ae hfi.1.ae_eq_mk.symm
· rw [withDensityᵥ, dif_neg hfi, add_zero] at hadd
refine' eq_singularPart' t measurable_zero (integrable_zero _ _ μ) htμ _
rwa [withDensityᵥ_zero, add_zero]
#align measure_theory.signed_measure.eq_singular_part MeasureTheory.SignedMeasure.eq_singularPart
theorem singularPart_zero (μ : Measure α) : (0 : SignedMeasure α).singularPart μ = 0 := by
refine' (eq_singularPart 0 0 VectorMeasure.MutuallySingular.zero_left _).symm
rw [zero_add, withDensityᵥ_zero]
#align measure_theory.signed_measure.singular_part_zero MeasureTheory.SignedMeasure.singularPart_zero
theorem singularPart_neg (s : SignedMeasure α) (μ : Measure α) :
(-s).singularPart μ = -s.singularPart μ := by
have h₁ :
((-s).toJordanDecomposition.posPart.singularPart μ).toSignedMeasure =
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure := by
refine' toSignedMeasure_congr _
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
have h₂ :
((-s).toJordanDecomposition.negPart.singularPart μ).toSignedMeasure =
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure := by
refine' toSignedMeasure_congr _
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
rw [singularPart, singularPart, neg_sub, h₁, h₂]
#align measure_theory.signed_measure.singular_part_neg MeasureTheory.SignedMeasure.singularPart_neg
theorem singularPart_smul_nnreal (s : SignedMeasure α) (μ : Measure α) (r : ℝ≥0) :
(r • s).singularPart μ = r • s.singularPart μ := by
rw [singularPart, singularPart, smul_sub, ← toSignedMeasure_smul, ← toSignedMeasure_smul]
conv_lhs =>
| congr | theorem singularPart_smul_nnreal (s : SignedMeasure α) (μ : Measure α) (r : ℝ≥0) :
(r • s).singularPart μ = r • s.singularPart μ := by
rw [singularPart, singularPart, smul_sub, ← toSignedMeasure_smul, ← toSignedMeasure_smul]
conv_lhs =>
| Mathlib.MeasureTheory.Decomposition.SignedLebesgue.352_0.HPGboz0rhL6sBes | theorem singularPart_smul_nnreal (s : SignedMeasure α) (μ : Measure α) (r : ℝ≥0) :
(r • s).singularPart μ = r • s.singularPart μ | Mathlib_MeasureTheory_Decomposition_SignedLebesgue |
case a
α : Type u_1
β : Type u_2
m : MeasurableSpace α
μ✝ ν : Measure α
s✝ t s : SignedMeasure α
μ : Measure α
r : ℝ≥0
| toSignedMeasure (Measure.singularPart (toJordanDecomposition (r • s)).posPart μ)
case a
α : Type u_1
β : Type u_2
m : MeasurableSpace α
μ✝ ν : Measure α
s✝ t s : SignedMeasure α
μ : Measure α
r : ℝ≥0
| toSignedMeasure (Measure.singularPart (toJordanDecomposition (r • s)).negPart μ) | /-
Copyright (c) 2021 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.MeasureTheory.Decomposition.Lebesgue
import Mathlib.MeasureTheory.Measure.Complex
/-!
# Lebesgue decomposition
This file proves the Lebesgue decomposition theorem for signed measures. The Lebesgue decomposition
theorem states that, given two σ-finite measures `μ` and `ν`, there exists a σ-finite measure `ξ`
and a measurable function `f` such that `μ = ξ + fν` and `ξ` is mutually singular with respect
to `ν`.
## Main definitions
* `MeasureTheory.SignedMeasure.HaveLebesgueDecomposition` : A signed measure `s` and a
measure `μ` is said to `HaveLebesgueDecomposition` if both the positive part and negative
part of `s` `HaveLebesgueDecomposition` with respect to `μ`.
* `MeasureTheory.SignedMeasure.singularPart` : The singular part between a signed measure `s`
and a measure `μ` is simply the singular part of the positive part of `s` with respect to `μ`
minus the singular part of the negative part of `s` with respect to `μ`.
* `MeasureTheory.SignedMeasure.rnDeriv` : The Radon-Nikodym derivative of a signed
measure `s` with respect to a measure `μ` is the Radon-Nikodym derivative of the positive part of
`s` with respect to `μ` minus the Radon-Nikodym derivative of the negative part of `s` with
respect to `μ`.
## Main results
* `MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq` :
the Lebesgue decomposition theorem between a signed measure and a σ-finite positive measure.
## Tags
Lebesgue decomposition theorem
-/
noncomputable section
open scoped Classical MeasureTheory NNReal ENNReal
open Set
variable {α β : Type*} {m : MeasurableSpace α} {μ ν : MeasureTheory.Measure α}
namespace MeasureTheory
namespace SignedMeasure
open Measure
/-- A signed measure `s` is said to `HaveLebesgueDecomposition` with respect to a measure `μ`
if the positive part and the negative part of `s` both `HaveLebesgueDecomposition` with
respect to `μ`. -/
class HaveLebesgueDecomposition (s : SignedMeasure α) (μ : Measure α) : Prop where
posPart : s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ
negPart : s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ
#align measure_theory.signed_measure.have_lebesgue_decomposition MeasureTheory.SignedMeasure.HaveLebesgueDecomposition
#align measure_theory.signed_measure.have_lebesgue_decomposition.pos_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.posPart
#align measure_theory.signed_measure.have_lebesgue_decomposition.neg_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.negPart
attribute [instance] HaveLebesgueDecomposition.posPart
attribute [instance] HaveLebesgueDecomposition.negPart
theorem not_haveLebesgueDecomposition_iff (s : SignedMeasure α) (μ : Measure α) :
¬s.HaveLebesgueDecomposition μ ↔
¬s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ ∨
¬s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ :=
⟨fun h => not_or_of_imp fun hp hn => h ⟨hp, hn⟩, fun h hl => (not_and_or.2 h) ⟨hl.1, hl.2⟩⟩
#align measure_theory.signed_measure.not_have_lebesgue_decomposition_iff MeasureTheory.SignedMeasure.not_haveLebesgueDecomposition_iff
-- `infer_instance` directly does not work
-- see Note [lower instance priority]
instance (priority := 100) haveLebesgueDecomposition_of_sigmaFinite (s : SignedMeasure α)
(μ : Measure α) [SigmaFinite μ] : s.HaveLebesgueDecomposition μ where
posPart := inferInstance
negPart := inferInstance
#align measure_theory.signed_measure.have_lebesgue_decomposition_of_sigma_finite MeasureTheory.SignedMeasure.haveLebesgueDecomposition_of_sigmaFinite
instance haveLebesgueDecomposition_neg (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] : (-s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_neg MeasureTheory.SignedMeasure.haveLebesgueDecomposition_neg
instance haveLebesgueDecomposition_smul (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ≥0) : (r • s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul
instance haveLebesgueDecomposition_smul_real (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ) : (r • s).HaveLebesgueDecomposition μ := by
by_cases hr : 0 ≤ r
· lift r to ℝ≥0 using hr
exact s.haveLebesgueDecomposition_smul μ _
· rw [not_le] at hr
refine'
{ posPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_posPart_neg _ _ hr]
infer_instance
negPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_negPart_neg _ _ hr]
infer_instance }
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul_real MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul_real
/-- Given a signed measure `s` and a measure `μ`, `s.singularPart μ` is the signed measure
such that `s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s` and
`s.singularPart μ` is mutually singular with respect to `μ`. -/
def singularPart (s : SignedMeasure α) (μ : Measure α) : SignedMeasure α :=
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure -
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure
#align measure_theory.signed_measure.singular_part MeasureTheory.SignedMeasure.singularPart
section
theorem singularPart_mutuallySingular (s : SignedMeasure α) (μ : Measure α) :
s.toJordanDecomposition.posPart.singularPart μ ⟂ₘ
s.toJordanDecomposition.negPart.singularPart μ := by
by_cases hl : s.HaveLebesgueDecomposition μ
· obtain ⟨i, hi, hpos, hneg⟩ := s.toJordanDecomposition.mutuallySingular
rw [s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ] at hpos
rw [s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ] at hneg
rw [add_apply, add_eq_zero_iff] at hpos hneg
exact ⟨i, hi, hpos.1, hneg.1⟩
· rw [not_haveLebesgueDecomposition_iff] at hl
cases' hl with hp hn
· rw [Measure.singularPart, dif_neg hp]
exact MutuallySingular.zero_left
· rw [Measure.singularPart, Measure.singularPart, dif_neg hn]
exact MutuallySingular.zero_right
#align measure_theory.signed_measure.singular_part_mutually_singular MeasureTheory.SignedMeasure.singularPart_mutuallySingular
theorem singularPart_totalVariation (s : SignedMeasure α) (μ : Measure α) :
(s.singularPart μ).totalVariation =
s.toJordanDecomposition.posPart.singularPart μ +
s.toJordanDecomposition.negPart.singularPart μ := by
have :
(s.singularPart μ).toJordanDecomposition =
⟨s.toJordanDecomposition.posPart.singularPart μ,
s.toJordanDecomposition.negPart.singularPart μ, singularPart_mutuallySingular s μ⟩ := by
refine' JordanDecomposition.toSignedMeasure_injective _
rw [toSignedMeasure_toJordanDecomposition, singularPart, JordanDecomposition.toSignedMeasure]
· rw [totalVariation, this]
#align measure_theory.signed_measure.singular_part_total_variation MeasureTheory.SignedMeasure.singularPart_totalVariation
nonrec theorem mutuallySingular_singularPart (s : SignedMeasure α) (μ : Measure α) :
singularPart s μ ⟂ᵥ μ.toENNRealVectorMeasure := by
rw [mutuallySingular_ennreal_iff, singularPart_totalVariation,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure]
exact (mutuallySingular_singularPart _ _).add_left (mutuallySingular_singularPart _ _)
#align measure_theory.signed_measure.mutually_singular_singular_part MeasureTheory.SignedMeasure.mutuallySingular_singularPart
end
/-- The Radon-Nikodym derivative between a signed measure and a positive measure.
`rnDeriv s μ` satisfies `μ.withDensityᵥ (s.rnDeriv μ) = s`
if and only if `s` is absolutely continuous with respect to `μ` and this fact is known as
`MeasureTheory.SignedMeasure.absolutelyContinuous_iff_withDensity_rnDeriv_eq`
and can be found in `MeasureTheory.Decomposition.RadonNikodym`. -/
def rnDeriv (s : SignedMeasure α) (μ : Measure α) : α → ℝ := fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal
#align measure_theory.signed_measure.rn_deriv MeasureTheory.SignedMeasure.rnDeriv
-- Porting note: The generated equation theorem is the form of `rnDeriv s μ x`.
theorem rnDeriv_def (s : SignedMeasure α) (μ : Measure α) : rnDeriv s μ = fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal :=
rfl
attribute [eqns rnDeriv_def] rnDeriv
variable {s t : SignedMeasure α}
@[measurability]
theorem measurable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Measurable (rnDeriv s μ) := by
rw [rnDeriv]
measurability
#align measure_theory.signed_measure.measurable_rn_deriv MeasureTheory.SignedMeasure.measurable_rnDeriv
theorem integrable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Integrable (rnDeriv s μ) μ := by
refine' Integrable.sub _ _ <;>
· constructor
· apply Measurable.aestronglyMeasurable; measurability
exact hasFiniteIntegral_toReal_of_lintegral_ne_top (lintegral_rnDeriv_lt_top _ μ).ne
#align measure_theory.signed_measure.integrable_rn_deriv MeasureTheory.SignedMeasure.integrable_rnDeriv
variable (s μ)
/-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
first
| exact (lintegral_rnDeriv_lt_top _ _).ne
| measurability
#align measure_theory.signed_measure.singular_part_add_with_density_rn_deriv_eq MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq
variable {s μ}
theorem jordanDecomposition_add_withDensity_mutuallySingular {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) :
(t.toJordanDecomposition.posPart + μ.withDensity fun x : α => ENNReal.ofReal (f x)) ⟂ₘ
t.toJordanDecomposition.negPart + μ.withDensity fun x : α => ENNReal.ofReal (-f x) := by
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
exact
((JordanDecomposition.mutuallySingular _).add_right
(htμ.1.mono_ac (refl _) (withDensity_absolutelyContinuous _ _))).add_left
((htμ.2.symm.mono_ac (withDensity_absolutelyContinuous _ _) (refl _)).add_right
(withDensity_ofReal_mutuallySingular hf))
#align measure_theory.signed_measure.jordan_decomposition_add_with_density_mutually_singular MeasureTheory.SignedMeasure.jordanDecomposition_add_withDensity_mutuallySingular
theorem toJordanDecomposition_eq_of_eq_add_withDensity {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.toJordanDecomposition =
@JordanDecomposition.mk α _
(t.toJordanDecomposition.posPart + μ.withDensity fun x => ENNReal.ofReal (f x))
(t.toJordanDecomposition.negPart + μ.withDensity fun x => ENNReal.ofReal (-f x))
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.2; infer_instance)
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2; infer_instance)
(jordanDecomposition_add_withDensity_mutuallySingular hf htμ) := by
haveI := isFiniteMeasure_withDensity_ofReal hfi.2
haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2
refine' toJordanDecomposition_eq _
simp_rw [JordanDecomposition.toSignedMeasure, hadd]
ext i hi
rw [VectorMeasure.sub_apply, toSignedMeasure_apply_measurable hi,
toSignedMeasure_apply_measurable hi, add_apply, add_apply, ENNReal.toReal_add,
ENNReal.toReal_add, add_sub_add_comm, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi, ← VectorMeasure.sub_apply,
← JordanDecomposition.toSignedMeasure, toSignedMeasure_toJordanDecomposition,
VectorMeasure.add_apply, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi,
withDensityᵥ_eq_withDensity_pos_part_sub_withDensity_neg_part hfi,
VectorMeasure.sub_apply] <;>
exact (measure_lt_top _ _).ne
#align measure_theory.signed_measure.to_jordan_decomposition_eq_of_eq_add_with_density MeasureTheory.SignedMeasure.toJordanDecomposition_eq_of_eq_add_withDensity
private theorem haveLebesgueDecomposition_mk' (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff] at htμ
change _ ⟂ₘ VectorMeasure.equivMeasure.toFun (VectorMeasure.equivMeasure.invFun μ) at htμ
rw [VectorMeasure.equivMeasure.right_inv, totalVariation_mutuallySingular_iff] at htμ
refine'
{ posPart := by
use ⟨t.toJordanDecomposition.posPart, fun x => ENNReal.ofReal (f x)⟩
refine' ⟨hf.ennreal_ofReal, htμ.1, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
negPart := by
use ⟨t.toJordanDecomposition.negPart, fun x => ENNReal.ofReal (-f x)⟩
refine' ⟨hf.neg.ennreal_ofReal, htμ.2, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd] }
theorem haveLebesgueDecomposition_mk (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
by_cases hfi : Integrable f μ
· exact haveLebesgueDecomposition_mk' μ hf hfi htμ hadd
· rw [withDensityᵥ, dif_neg hfi, add_zero] at hadd
refine' haveLebesgueDecomposition_mk' μ measurable_zero (integrable_zero _ _ μ) htμ _
rwa [withDensityᵥ_zero, add_zero]
#align measure_theory.signed_measure.have_lebesgue_decomposition_mk MeasureTheory.SignedMeasure.haveLebesgueDecomposition_mk
private theorem eq_singularPart' (t : SignedMeasure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
t = s.singularPart μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
rw [singularPart, ← t.toSignedMeasure_toJordanDecomposition,
JordanDecomposition.toSignedMeasure]
congr
· have hfpos : Measurable fun x => ENNReal.ofReal (f x) := by measurability
refine' eq_singularPart hfpos htμ.1 _
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
· have hfneg : Measurable fun x => ENNReal.ofReal (-f x) := by measurability
refine' eq_singularPart hfneg htμ.2 _
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
/-- Given a measure `μ`, signed measures `s` and `t`, and a function `f` such that `t` is
mutually singular with respect to `μ` and `s = t + μ.withDensityᵥ f`, we have
`t = singularPart s μ`, i.e. `t` is the singular part of the Lebesgue decomposition between
`s` and `μ`. -/
theorem eq_singularPart (t : SignedMeasure α) (f : α → ℝ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure)
(hadd : s = t + μ.withDensityᵥ f) : t = s.singularPart μ := by
by_cases hfi : Integrable f μ
· refine' eq_singularPart' t hfi.1.measurable_mk (hfi.congr hfi.1.ae_eq_mk) htμ _
convert hadd using 2
exact WithDensityᵥEq.congr_ae hfi.1.ae_eq_mk.symm
· rw [withDensityᵥ, dif_neg hfi, add_zero] at hadd
refine' eq_singularPart' t measurable_zero (integrable_zero _ _ μ) htμ _
rwa [withDensityᵥ_zero, add_zero]
#align measure_theory.signed_measure.eq_singular_part MeasureTheory.SignedMeasure.eq_singularPart
theorem singularPart_zero (μ : Measure α) : (0 : SignedMeasure α).singularPart μ = 0 := by
refine' (eq_singularPart 0 0 VectorMeasure.MutuallySingular.zero_left _).symm
rw [zero_add, withDensityᵥ_zero]
#align measure_theory.signed_measure.singular_part_zero MeasureTheory.SignedMeasure.singularPart_zero
theorem singularPart_neg (s : SignedMeasure α) (μ : Measure α) :
(-s).singularPart μ = -s.singularPart μ := by
have h₁ :
((-s).toJordanDecomposition.posPart.singularPart μ).toSignedMeasure =
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure := by
refine' toSignedMeasure_congr _
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
have h₂ :
((-s).toJordanDecomposition.negPart.singularPart μ).toSignedMeasure =
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure := by
refine' toSignedMeasure_congr _
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
rw [singularPart, singularPart, neg_sub, h₁, h₂]
#align measure_theory.signed_measure.singular_part_neg MeasureTheory.SignedMeasure.singularPart_neg
theorem singularPart_smul_nnreal (s : SignedMeasure α) (μ : Measure α) (r : ℝ≥0) :
(r • s).singularPart μ = r • s.singularPart μ := by
rw [singularPart, singularPart, smul_sub, ← toSignedMeasure_smul, ← toSignedMeasure_smul]
conv_lhs =>
congr
| · congr
· rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart, singularPart_smul] | theorem singularPart_smul_nnreal (s : SignedMeasure α) (μ : Measure α) (r : ℝ≥0) :
(r • s).singularPart μ = r • s.singularPart μ := by
rw [singularPart, singularPart, smul_sub, ← toSignedMeasure_smul, ← toSignedMeasure_smul]
conv_lhs =>
congr
| Mathlib.MeasureTheory.Decomposition.SignedLebesgue.352_0.HPGboz0rhL6sBes | theorem singularPart_smul_nnreal (s : SignedMeasure α) (μ : Measure α) (r : ℝ≥0) :
(r • s).singularPart μ = r • s.singularPart μ | Mathlib_MeasureTheory_Decomposition_SignedLebesgue |
case a
α : Type u_1
β : Type u_2
m : MeasurableSpace α
μ✝ ν : Measure α
s✝ t s : SignedMeasure α
μ : Measure α
r : ℝ≥0
| toSignedMeasure (Measure.singularPart (toJordanDecomposition (r • s)).posPart μ) | /-
Copyright (c) 2021 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.MeasureTheory.Decomposition.Lebesgue
import Mathlib.MeasureTheory.Measure.Complex
/-!
# Lebesgue decomposition
This file proves the Lebesgue decomposition theorem for signed measures. The Lebesgue decomposition
theorem states that, given two σ-finite measures `μ` and `ν`, there exists a σ-finite measure `ξ`
and a measurable function `f` such that `μ = ξ + fν` and `ξ` is mutually singular with respect
to `ν`.
## Main definitions
* `MeasureTheory.SignedMeasure.HaveLebesgueDecomposition` : A signed measure `s` and a
measure `μ` is said to `HaveLebesgueDecomposition` if both the positive part and negative
part of `s` `HaveLebesgueDecomposition` with respect to `μ`.
* `MeasureTheory.SignedMeasure.singularPart` : The singular part between a signed measure `s`
and a measure `μ` is simply the singular part of the positive part of `s` with respect to `μ`
minus the singular part of the negative part of `s` with respect to `μ`.
* `MeasureTheory.SignedMeasure.rnDeriv` : The Radon-Nikodym derivative of a signed
measure `s` with respect to a measure `μ` is the Radon-Nikodym derivative of the positive part of
`s` with respect to `μ` minus the Radon-Nikodym derivative of the negative part of `s` with
respect to `μ`.
## Main results
* `MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq` :
the Lebesgue decomposition theorem between a signed measure and a σ-finite positive measure.
## Tags
Lebesgue decomposition theorem
-/
noncomputable section
open scoped Classical MeasureTheory NNReal ENNReal
open Set
variable {α β : Type*} {m : MeasurableSpace α} {μ ν : MeasureTheory.Measure α}
namespace MeasureTheory
namespace SignedMeasure
open Measure
/-- A signed measure `s` is said to `HaveLebesgueDecomposition` with respect to a measure `μ`
if the positive part and the negative part of `s` both `HaveLebesgueDecomposition` with
respect to `μ`. -/
class HaveLebesgueDecomposition (s : SignedMeasure α) (μ : Measure α) : Prop where
posPart : s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ
negPart : s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ
#align measure_theory.signed_measure.have_lebesgue_decomposition MeasureTheory.SignedMeasure.HaveLebesgueDecomposition
#align measure_theory.signed_measure.have_lebesgue_decomposition.pos_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.posPart
#align measure_theory.signed_measure.have_lebesgue_decomposition.neg_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.negPart
attribute [instance] HaveLebesgueDecomposition.posPart
attribute [instance] HaveLebesgueDecomposition.negPart
theorem not_haveLebesgueDecomposition_iff (s : SignedMeasure α) (μ : Measure α) :
¬s.HaveLebesgueDecomposition μ ↔
¬s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ ∨
¬s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ :=
⟨fun h => not_or_of_imp fun hp hn => h ⟨hp, hn⟩, fun h hl => (not_and_or.2 h) ⟨hl.1, hl.2⟩⟩
#align measure_theory.signed_measure.not_have_lebesgue_decomposition_iff MeasureTheory.SignedMeasure.not_haveLebesgueDecomposition_iff
-- `infer_instance` directly does not work
-- see Note [lower instance priority]
instance (priority := 100) haveLebesgueDecomposition_of_sigmaFinite (s : SignedMeasure α)
(μ : Measure α) [SigmaFinite μ] : s.HaveLebesgueDecomposition μ where
posPart := inferInstance
negPart := inferInstance
#align measure_theory.signed_measure.have_lebesgue_decomposition_of_sigma_finite MeasureTheory.SignedMeasure.haveLebesgueDecomposition_of_sigmaFinite
instance haveLebesgueDecomposition_neg (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] : (-s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_neg MeasureTheory.SignedMeasure.haveLebesgueDecomposition_neg
instance haveLebesgueDecomposition_smul (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ≥0) : (r • s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul
instance haveLebesgueDecomposition_smul_real (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ) : (r • s).HaveLebesgueDecomposition μ := by
by_cases hr : 0 ≤ r
· lift r to ℝ≥0 using hr
exact s.haveLebesgueDecomposition_smul μ _
· rw [not_le] at hr
refine'
{ posPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_posPart_neg _ _ hr]
infer_instance
negPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_negPart_neg _ _ hr]
infer_instance }
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul_real MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul_real
/-- Given a signed measure `s` and a measure `μ`, `s.singularPart μ` is the signed measure
such that `s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s` and
`s.singularPart μ` is mutually singular with respect to `μ`. -/
def singularPart (s : SignedMeasure α) (μ : Measure α) : SignedMeasure α :=
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure -
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure
#align measure_theory.signed_measure.singular_part MeasureTheory.SignedMeasure.singularPart
section
theorem singularPart_mutuallySingular (s : SignedMeasure α) (μ : Measure α) :
s.toJordanDecomposition.posPart.singularPart μ ⟂ₘ
s.toJordanDecomposition.negPart.singularPart μ := by
by_cases hl : s.HaveLebesgueDecomposition μ
· obtain ⟨i, hi, hpos, hneg⟩ := s.toJordanDecomposition.mutuallySingular
rw [s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ] at hpos
rw [s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ] at hneg
rw [add_apply, add_eq_zero_iff] at hpos hneg
exact ⟨i, hi, hpos.1, hneg.1⟩
· rw [not_haveLebesgueDecomposition_iff] at hl
cases' hl with hp hn
· rw [Measure.singularPart, dif_neg hp]
exact MutuallySingular.zero_left
· rw [Measure.singularPart, Measure.singularPart, dif_neg hn]
exact MutuallySingular.zero_right
#align measure_theory.signed_measure.singular_part_mutually_singular MeasureTheory.SignedMeasure.singularPart_mutuallySingular
theorem singularPart_totalVariation (s : SignedMeasure α) (μ : Measure α) :
(s.singularPart μ).totalVariation =
s.toJordanDecomposition.posPart.singularPart μ +
s.toJordanDecomposition.negPart.singularPart μ := by
have :
(s.singularPart μ).toJordanDecomposition =
⟨s.toJordanDecomposition.posPart.singularPart μ,
s.toJordanDecomposition.negPart.singularPart μ, singularPart_mutuallySingular s μ⟩ := by
refine' JordanDecomposition.toSignedMeasure_injective _
rw [toSignedMeasure_toJordanDecomposition, singularPart, JordanDecomposition.toSignedMeasure]
· rw [totalVariation, this]
#align measure_theory.signed_measure.singular_part_total_variation MeasureTheory.SignedMeasure.singularPart_totalVariation
nonrec theorem mutuallySingular_singularPart (s : SignedMeasure α) (μ : Measure α) :
singularPart s μ ⟂ᵥ μ.toENNRealVectorMeasure := by
rw [mutuallySingular_ennreal_iff, singularPart_totalVariation,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure]
exact (mutuallySingular_singularPart _ _).add_left (mutuallySingular_singularPart _ _)
#align measure_theory.signed_measure.mutually_singular_singular_part MeasureTheory.SignedMeasure.mutuallySingular_singularPart
end
/-- The Radon-Nikodym derivative between a signed measure and a positive measure.
`rnDeriv s μ` satisfies `μ.withDensityᵥ (s.rnDeriv μ) = s`
if and only if `s` is absolutely continuous with respect to `μ` and this fact is known as
`MeasureTheory.SignedMeasure.absolutelyContinuous_iff_withDensity_rnDeriv_eq`
and can be found in `MeasureTheory.Decomposition.RadonNikodym`. -/
def rnDeriv (s : SignedMeasure α) (μ : Measure α) : α → ℝ := fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal
#align measure_theory.signed_measure.rn_deriv MeasureTheory.SignedMeasure.rnDeriv
-- Porting note: The generated equation theorem is the form of `rnDeriv s μ x`.
theorem rnDeriv_def (s : SignedMeasure α) (μ : Measure α) : rnDeriv s μ = fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal :=
rfl
attribute [eqns rnDeriv_def] rnDeriv
variable {s t : SignedMeasure α}
@[measurability]
theorem measurable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Measurable (rnDeriv s μ) := by
rw [rnDeriv]
measurability
#align measure_theory.signed_measure.measurable_rn_deriv MeasureTheory.SignedMeasure.measurable_rnDeriv
theorem integrable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Integrable (rnDeriv s μ) μ := by
refine' Integrable.sub _ _ <;>
· constructor
· apply Measurable.aestronglyMeasurable; measurability
exact hasFiniteIntegral_toReal_of_lintegral_ne_top (lintegral_rnDeriv_lt_top _ μ).ne
#align measure_theory.signed_measure.integrable_rn_deriv MeasureTheory.SignedMeasure.integrable_rnDeriv
variable (s μ)
/-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
first
| exact (lintegral_rnDeriv_lt_top _ _).ne
| measurability
#align measure_theory.signed_measure.singular_part_add_with_density_rn_deriv_eq MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq
variable {s μ}
theorem jordanDecomposition_add_withDensity_mutuallySingular {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) :
(t.toJordanDecomposition.posPart + μ.withDensity fun x : α => ENNReal.ofReal (f x)) ⟂ₘ
t.toJordanDecomposition.negPart + μ.withDensity fun x : α => ENNReal.ofReal (-f x) := by
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
exact
((JordanDecomposition.mutuallySingular _).add_right
(htμ.1.mono_ac (refl _) (withDensity_absolutelyContinuous _ _))).add_left
((htμ.2.symm.mono_ac (withDensity_absolutelyContinuous _ _) (refl _)).add_right
(withDensity_ofReal_mutuallySingular hf))
#align measure_theory.signed_measure.jordan_decomposition_add_with_density_mutually_singular MeasureTheory.SignedMeasure.jordanDecomposition_add_withDensity_mutuallySingular
theorem toJordanDecomposition_eq_of_eq_add_withDensity {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.toJordanDecomposition =
@JordanDecomposition.mk α _
(t.toJordanDecomposition.posPart + μ.withDensity fun x => ENNReal.ofReal (f x))
(t.toJordanDecomposition.negPart + μ.withDensity fun x => ENNReal.ofReal (-f x))
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.2; infer_instance)
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2; infer_instance)
(jordanDecomposition_add_withDensity_mutuallySingular hf htμ) := by
haveI := isFiniteMeasure_withDensity_ofReal hfi.2
haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2
refine' toJordanDecomposition_eq _
simp_rw [JordanDecomposition.toSignedMeasure, hadd]
ext i hi
rw [VectorMeasure.sub_apply, toSignedMeasure_apply_measurable hi,
toSignedMeasure_apply_measurable hi, add_apply, add_apply, ENNReal.toReal_add,
ENNReal.toReal_add, add_sub_add_comm, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi, ← VectorMeasure.sub_apply,
← JordanDecomposition.toSignedMeasure, toSignedMeasure_toJordanDecomposition,
VectorMeasure.add_apply, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi,
withDensityᵥ_eq_withDensity_pos_part_sub_withDensity_neg_part hfi,
VectorMeasure.sub_apply] <;>
exact (measure_lt_top _ _).ne
#align measure_theory.signed_measure.to_jordan_decomposition_eq_of_eq_add_with_density MeasureTheory.SignedMeasure.toJordanDecomposition_eq_of_eq_add_withDensity
private theorem haveLebesgueDecomposition_mk' (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff] at htμ
change _ ⟂ₘ VectorMeasure.equivMeasure.toFun (VectorMeasure.equivMeasure.invFun μ) at htμ
rw [VectorMeasure.equivMeasure.right_inv, totalVariation_mutuallySingular_iff] at htμ
refine'
{ posPart := by
use ⟨t.toJordanDecomposition.posPart, fun x => ENNReal.ofReal (f x)⟩
refine' ⟨hf.ennreal_ofReal, htμ.1, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
negPart := by
use ⟨t.toJordanDecomposition.negPart, fun x => ENNReal.ofReal (-f x)⟩
refine' ⟨hf.neg.ennreal_ofReal, htμ.2, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd] }
theorem haveLebesgueDecomposition_mk (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
by_cases hfi : Integrable f μ
· exact haveLebesgueDecomposition_mk' μ hf hfi htμ hadd
· rw [withDensityᵥ, dif_neg hfi, add_zero] at hadd
refine' haveLebesgueDecomposition_mk' μ measurable_zero (integrable_zero _ _ μ) htμ _
rwa [withDensityᵥ_zero, add_zero]
#align measure_theory.signed_measure.have_lebesgue_decomposition_mk MeasureTheory.SignedMeasure.haveLebesgueDecomposition_mk
private theorem eq_singularPart' (t : SignedMeasure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
t = s.singularPart μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
rw [singularPart, ← t.toSignedMeasure_toJordanDecomposition,
JordanDecomposition.toSignedMeasure]
congr
· have hfpos : Measurable fun x => ENNReal.ofReal (f x) := by measurability
refine' eq_singularPart hfpos htμ.1 _
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
· have hfneg : Measurable fun x => ENNReal.ofReal (-f x) := by measurability
refine' eq_singularPart hfneg htμ.2 _
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
/-- Given a measure `μ`, signed measures `s` and `t`, and a function `f` such that `t` is
mutually singular with respect to `μ` and `s = t + μ.withDensityᵥ f`, we have
`t = singularPart s μ`, i.e. `t` is the singular part of the Lebesgue decomposition between
`s` and `μ`. -/
theorem eq_singularPart (t : SignedMeasure α) (f : α → ℝ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure)
(hadd : s = t + μ.withDensityᵥ f) : t = s.singularPart μ := by
by_cases hfi : Integrable f μ
· refine' eq_singularPart' t hfi.1.measurable_mk (hfi.congr hfi.1.ae_eq_mk) htμ _
convert hadd using 2
exact WithDensityᵥEq.congr_ae hfi.1.ae_eq_mk.symm
· rw [withDensityᵥ, dif_neg hfi, add_zero] at hadd
refine' eq_singularPart' t measurable_zero (integrable_zero _ _ μ) htμ _
rwa [withDensityᵥ_zero, add_zero]
#align measure_theory.signed_measure.eq_singular_part MeasureTheory.SignedMeasure.eq_singularPart
theorem singularPart_zero (μ : Measure α) : (0 : SignedMeasure α).singularPart μ = 0 := by
refine' (eq_singularPart 0 0 VectorMeasure.MutuallySingular.zero_left _).symm
rw [zero_add, withDensityᵥ_zero]
#align measure_theory.signed_measure.singular_part_zero MeasureTheory.SignedMeasure.singularPart_zero
theorem singularPart_neg (s : SignedMeasure α) (μ : Measure α) :
(-s).singularPart μ = -s.singularPart μ := by
have h₁ :
((-s).toJordanDecomposition.posPart.singularPart μ).toSignedMeasure =
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure := by
refine' toSignedMeasure_congr _
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
have h₂ :
((-s).toJordanDecomposition.negPart.singularPart μ).toSignedMeasure =
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure := by
refine' toSignedMeasure_congr _
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
rw [singularPart, singularPart, neg_sub, h₁, h₂]
#align measure_theory.signed_measure.singular_part_neg MeasureTheory.SignedMeasure.singularPart_neg
theorem singularPart_smul_nnreal (s : SignedMeasure α) (μ : Measure α) (r : ℝ≥0) :
(r • s).singularPart μ = r • s.singularPart μ := by
rw [singularPart, singularPart, smul_sub, ← toSignedMeasure_smul, ← toSignedMeasure_smul]
conv_lhs =>
congr
· | congr
· rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart, singularPart_smul] | theorem singularPart_smul_nnreal (s : SignedMeasure α) (μ : Measure α) (r : ℝ≥0) :
(r • s).singularPart μ = r • s.singularPart μ := by
rw [singularPart, singularPart, smul_sub, ← toSignedMeasure_smul, ← toSignedMeasure_smul]
conv_lhs =>
congr
· | Mathlib.MeasureTheory.Decomposition.SignedLebesgue.352_0.HPGboz0rhL6sBes | theorem singularPart_smul_nnreal (s : SignedMeasure α) (μ : Measure α) (r : ℝ≥0) :
(r • s).singularPart μ = r • s.singularPart μ | Mathlib_MeasureTheory_Decomposition_SignedLebesgue |
case a
α : Type u_1
β : Type u_2
m : MeasurableSpace α
μ✝ ν : Measure α
s✝ t s : SignedMeasure α
μ : Measure α
r : ℝ≥0
| toSignedMeasure (Measure.singularPart (toJordanDecomposition (r • s)).posPart μ) | /-
Copyright (c) 2021 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.MeasureTheory.Decomposition.Lebesgue
import Mathlib.MeasureTheory.Measure.Complex
/-!
# Lebesgue decomposition
This file proves the Lebesgue decomposition theorem for signed measures. The Lebesgue decomposition
theorem states that, given two σ-finite measures `μ` and `ν`, there exists a σ-finite measure `ξ`
and a measurable function `f` such that `μ = ξ + fν` and `ξ` is mutually singular with respect
to `ν`.
## Main definitions
* `MeasureTheory.SignedMeasure.HaveLebesgueDecomposition` : A signed measure `s` and a
measure `μ` is said to `HaveLebesgueDecomposition` if both the positive part and negative
part of `s` `HaveLebesgueDecomposition` with respect to `μ`.
* `MeasureTheory.SignedMeasure.singularPart` : The singular part between a signed measure `s`
and a measure `μ` is simply the singular part of the positive part of `s` with respect to `μ`
minus the singular part of the negative part of `s` with respect to `μ`.
* `MeasureTheory.SignedMeasure.rnDeriv` : The Radon-Nikodym derivative of a signed
measure `s` with respect to a measure `μ` is the Radon-Nikodym derivative of the positive part of
`s` with respect to `μ` minus the Radon-Nikodym derivative of the negative part of `s` with
respect to `μ`.
## Main results
* `MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq` :
the Lebesgue decomposition theorem between a signed measure and a σ-finite positive measure.
## Tags
Lebesgue decomposition theorem
-/
noncomputable section
open scoped Classical MeasureTheory NNReal ENNReal
open Set
variable {α β : Type*} {m : MeasurableSpace α} {μ ν : MeasureTheory.Measure α}
namespace MeasureTheory
namespace SignedMeasure
open Measure
/-- A signed measure `s` is said to `HaveLebesgueDecomposition` with respect to a measure `μ`
if the positive part and the negative part of `s` both `HaveLebesgueDecomposition` with
respect to `μ`. -/
class HaveLebesgueDecomposition (s : SignedMeasure α) (μ : Measure α) : Prop where
posPart : s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ
negPart : s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ
#align measure_theory.signed_measure.have_lebesgue_decomposition MeasureTheory.SignedMeasure.HaveLebesgueDecomposition
#align measure_theory.signed_measure.have_lebesgue_decomposition.pos_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.posPart
#align measure_theory.signed_measure.have_lebesgue_decomposition.neg_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.negPart
attribute [instance] HaveLebesgueDecomposition.posPart
attribute [instance] HaveLebesgueDecomposition.negPart
theorem not_haveLebesgueDecomposition_iff (s : SignedMeasure α) (μ : Measure α) :
¬s.HaveLebesgueDecomposition μ ↔
¬s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ ∨
¬s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ :=
⟨fun h => not_or_of_imp fun hp hn => h ⟨hp, hn⟩, fun h hl => (not_and_or.2 h) ⟨hl.1, hl.2⟩⟩
#align measure_theory.signed_measure.not_have_lebesgue_decomposition_iff MeasureTheory.SignedMeasure.not_haveLebesgueDecomposition_iff
-- `infer_instance` directly does not work
-- see Note [lower instance priority]
instance (priority := 100) haveLebesgueDecomposition_of_sigmaFinite (s : SignedMeasure α)
(μ : Measure α) [SigmaFinite μ] : s.HaveLebesgueDecomposition μ where
posPart := inferInstance
negPart := inferInstance
#align measure_theory.signed_measure.have_lebesgue_decomposition_of_sigma_finite MeasureTheory.SignedMeasure.haveLebesgueDecomposition_of_sigmaFinite
instance haveLebesgueDecomposition_neg (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] : (-s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_neg MeasureTheory.SignedMeasure.haveLebesgueDecomposition_neg
instance haveLebesgueDecomposition_smul (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ≥0) : (r • s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul
instance haveLebesgueDecomposition_smul_real (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ) : (r • s).HaveLebesgueDecomposition μ := by
by_cases hr : 0 ≤ r
· lift r to ℝ≥0 using hr
exact s.haveLebesgueDecomposition_smul μ _
· rw [not_le] at hr
refine'
{ posPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_posPart_neg _ _ hr]
infer_instance
negPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_negPart_neg _ _ hr]
infer_instance }
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul_real MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul_real
/-- Given a signed measure `s` and a measure `μ`, `s.singularPart μ` is the signed measure
such that `s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s` and
`s.singularPart μ` is mutually singular with respect to `μ`. -/
def singularPart (s : SignedMeasure α) (μ : Measure α) : SignedMeasure α :=
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure -
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure
#align measure_theory.signed_measure.singular_part MeasureTheory.SignedMeasure.singularPart
section
theorem singularPart_mutuallySingular (s : SignedMeasure α) (μ : Measure α) :
s.toJordanDecomposition.posPart.singularPart μ ⟂ₘ
s.toJordanDecomposition.negPart.singularPart μ := by
by_cases hl : s.HaveLebesgueDecomposition μ
· obtain ⟨i, hi, hpos, hneg⟩ := s.toJordanDecomposition.mutuallySingular
rw [s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ] at hpos
rw [s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ] at hneg
rw [add_apply, add_eq_zero_iff] at hpos hneg
exact ⟨i, hi, hpos.1, hneg.1⟩
· rw [not_haveLebesgueDecomposition_iff] at hl
cases' hl with hp hn
· rw [Measure.singularPart, dif_neg hp]
exact MutuallySingular.zero_left
· rw [Measure.singularPart, Measure.singularPart, dif_neg hn]
exact MutuallySingular.zero_right
#align measure_theory.signed_measure.singular_part_mutually_singular MeasureTheory.SignedMeasure.singularPart_mutuallySingular
theorem singularPart_totalVariation (s : SignedMeasure α) (μ : Measure α) :
(s.singularPart μ).totalVariation =
s.toJordanDecomposition.posPart.singularPart μ +
s.toJordanDecomposition.negPart.singularPart μ := by
have :
(s.singularPart μ).toJordanDecomposition =
⟨s.toJordanDecomposition.posPart.singularPart μ,
s.toJordanDecomposition.negPart.singularPart μ, singularPart_mutuallySingular s μ⟩ := by
refine' JordanDecomposition.toSignedMeasure_injective _
rw [toSignedMeasure_toJordanDecomposition, singularPart, JordanDecomposition.toSignedMeasure]
· rw [totalVariation, this]
#align measure_theory.signed_measure.singular_part_total_variation MeasureTheory.SignedMeasure.singularPart_totalVariation
nonrec theorem mutuallySingular_singularPart (s : SignedMeasure α) (μ : Measure α) :
singularPart s μ ⟂ᵥ μ.toENNRealVectorMeasure := by
rw [mutuallySingular_ennreal_iff, singularPart_totalVariation,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure]
exact (mutuallySingular_singularPart _ _).add_left (mutuallySingular_singularPart _ _)
#align measure_theory.signed_measure.mutually_singular_singular_part MeasureTheory.SignedMeasure.mutuallySingular_singularPart
end
/-- The Radon-Nikodym derivative between a signed measure and a positive measure.
`rnDeriv s μ` satisfies `μ.withDensityᵥ (s.rnDeriv μ) = s`
if and only if `s` is absolutely continuous with respect to `μ` and this fact is known as
`MeasureTheory.SignedMeasure.absolutelyContinuous_iff_withDensity_rnDeriv_eq`
and can be found in `MeasureTheory.Decomposition.RadonNikodym`. -/
def rnDeriv (s : SignedMeasure α) (μ : Measure α) : α → ℝ := fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal
#align measure_theory.signed_measure.rn_deriv MeasureTheory.SignedMeasure.rnDeriv
-- Porting note: The generated equation theorem is the form of `rnDeriv s μ x`.
theorem rnDeriv_def (s : SignedMeasure α) (μ : Measure α) : rnDeriv s μ = fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal :=
rfl
attribute [eqns rnDeriv_def] rnDeriv
variable {s t : SignedMeasure α}
@[measurability]
theorem measurable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Measurable (rnDeriv s μ) := by
rw [rnDeriv]
measurability
#align measure_theory.signed_measure.measurable_rn_deriv MeasureTheory.SignedMeasure.measurable_rnDeriv
theorem integrable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Integrable (rnDeriv s μ) μ := by
refine' Integrable.sub _ _ <;>
· constructor
· apply Measurable.aestronglyMeasurable; measurability
exact hasFiniteIntegral_toReal_of_lintegral_ne_top (lintegral_rnDeriv_lt_top _ μ).ne
#align measure_theory.signed_measure.integrable_rn_deriv MeasureTheory.SignedMeasure.integrable_rnDeriv
variable (s μ)
/-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
first
| exact (lintegral_rnDeriv_lt_top _ _).ne
| measurability
#align measure_theory.signed_measure.singular_part_add_with_density_rn_deriv_eq MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq
variable {s μ}
theorem jordanDecomposition_add_withDensity_mutuallySingular {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) :
(t.toJordanDecomposition.posPart + μ.withDensity fun x : α => ENNReal.ofReal (f x)) ⟂ₘ
t.toJordanDecomposition.negPart + μ.withDensity fun x : α => ENNReal.ofReal (-f x) := by
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
exact
((JordanDecomposition.mutuallySingular _).add_right
(htμ.1.mono_ac (refl _) (withDensity_absolutelyContinuous _ _))).add_left
((htμ.2.symm.mono_ac (withDensity_absolutelyContinuous _ _) (refl _)).add_right
(withDensity_ofReal_mutuallySingular hf))
#align measure_theory.signed_measure.jordan_decomposition_add_with_density_mutually_singular MeasureTheory.SignedMeasure.jordanDecomposition_add_withDensity_mutuallySingular
theorem toJordanDecomposition_eq_of_eq_add_withDensity {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.toJordanDecomposition =
@JordanDecomposition.mk α _
(t.toJordanDecomposition.posPart + μ.withDensity fun x => ENNReal.ofReal (f x))
(t.toJordanDecomposition.negPart + μ.withDensity fun x => ENNReal.ofReal (-f x))
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.2; infer_instance)
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2; infer_instance)
(jordanDecomposition_add_withDensity_mutuallySingular hf htμ) := by
haveI := isFiniteMeasure_withDensity_ofReal hfi.2
haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2
refine' toJordanDecomposition_eq _
simp_rw [JordanDecomposition.toSignedMeasure, hadd]
ext i hi
rw [VectorMeasure.sub_apply, toSignedMeasure_apply_measurable hi,
toSignedMeasure_apply_measurable hi, add_apply, add_apply, ENNReal.toReal_add,
ENNReal.toReal_add, add_sub_add_comm, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi, ← VectorMeasure.sub_apply,
← JordanDecomposition.toSignedMeasure, toSignedMeasure_toJordanDecomposition,
VectorMeasure.add_apply, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi,
withDensityᵥ_eq_withDensity_pos_part_sub_withDensity_neg_part hfi,
VectorMeasure.sub_apply] <;>
exact (measure_lt_top _ _).ne
#align measure_theory.signed_measure.to_jordan_decomposition_eq_of_eq_add_with_density MeasureTheory.SignedMeasure.toJordanDecomposition_eq_of_eq_add_withDensity
private theorem haveLebesgueDecomposition_mk' (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff] at htμ
change _ ⟂ₘ VectorMeasure.equivMeasure.toFun (VectorMeasure.equivMeasure.invFun μ) at htμ
rw [VectorMeasure.equivMeasure.right_inv, totalVariation_mutuallySingular_iff] at htμ
refine'
{ posPart := by
use ⟨t.toJordanDecomposition.posPart, fun x => ENNReal.ofReal (f x)⟩
refine' ⟨hf.ennreal_ofReal, htμ.1, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
negPart := by
use ⟨t.toJordanDecomposition.negPart, fun x => ENNReal.ofReal (-f x)⟩
refine' ⟨hf.neg.ennreal_ofReal, htμ.2, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd] }
theorem haveLebesgueDecomposition_mk (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
by_cases hfi : Integrable f μ
· exact haveLebesgueDecomposition_mk' μ hf hfi htμ hadd
· rw [withDensityᵥ, dif_neg hfi, add_zero] at hadd
refine' haveLebesgueDecomposition_mk' μ measurable_zero (integrable_zero _ _ μ) htμ _
rwa [withDensityᵥ_zero, add_zero]
#align measure_theory.signed_measure.have_lebesgue_decomposition_mk MeasureTheory.SignedMeasure.haveLebesgueDecomposition_mk
private theorem eq_singularPart' (t : SignedMeasure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
t = s.singularPart μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
rw [singularPart, ← t.toSignedMeasure_toJordanDecomposition,
JordanDecomposition.toSignedMeasure]
congr
· have hfpos : Measurable fun x => ENNReal.ofReal (f x) := by measurability
refine' eq_singularPart hfpos htμ.1 _
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
· have hfneg : Measurable fun x => ENNReal.ofReal (-f x) := by measurability
refine' eq_singularPart hfneg htμ.2 _
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
/-- Given a measure `μ`, signed measures `s` and `t`, and a function `f` such that `t` is
mutually singular with respect to `μ` and `s = t + μ.withDensityᵥ f`, we have
`t = singularPart s μ`, i.e. `t` is the singular part of the Lebesgue decomposition between
`s` and `μ`. -/
theorem eq_singularPart (t : SignedMeasure α) (f : α → ℝ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure)
(hadd : s = t + μ.withDensityᵥ f) : t = s.singularPart μ := by
by_cases hfi : Integrable f μ
· refine' eq_singularPart' t hfi.1.measurable_mk (hfi.congr hfi.1.ae_eq_mk) htμ _
convert hadd using 2
exact WithDensityᵥEq.congr_ae hfi.1.ae_eq_mk.symm
· rw [withDensityᵥ, dif_neg hfi, add_zero] at hadd
refine' eq_singularPart' t measurable_zero (integrable_zero _ _ μ) htμ _
rwa [withDensityᵥ_zero, add_zero]
#align measure_theory.signed_measure.eq_singular_part MeasureTheory.SignedMeasure.eq_singularPart
theorem singularPart_zero (μ : Measure α) : (0 : SignedMeasure α).singularPart μ = 0 := by
refine' (eq_singularPart 0 0 VectorMeasure.MutuallySingular.zero_left _).symm
rw [zero_add, withDensityᵥ_zero]
#align measure_theory.signed_measure.singular_part_zero MeasureTheory.SignedMeasure.singularPart_zero
theorem singularPart_neg (s : SignedMeasure α) (μ : Measure α) :
(-s).singularPart μ = -s.singularPart μ := by
have h₁ :
((-s).toJordanDecomposition.posPart.singularPart μ).toSignedMeasure =
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure := by
refine' toSignedMeasure_congr _
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
have h₂ :
((-s).toJordanDecomposition.negPart.singularPart μ).toSignedMeasure =
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure := by
refine' toSignedMeasure_congr _
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
rw [singularPart, singularPart, neg_sub, h₁, h₂]
#align measure_theory.signed_measure.singular_part_neg MeasureTheory.SignedMeasure.singularPart_neg
theorem singularPart_smul_nnreal (s : SignedMeasure α) (μ : Measure α) (r : ℝ≥0) :
(r • s).singularPart μ = r • s.singularPart μ := by
rw [singularPart, singularPart, smul_sub, ← toSignedMeasure_smul, ← toSignedMeasure_smul]
conv_lhs =>
congr
· | congr
· rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart, singularPart_smul] | theorem singularPart_smul_nnreal (s : SignedMeasure α) (μ : Measure α) (r : ℝ≥0) :
(r • s).singularPart μ = r • s.singularPart μ := by
rw [singularPart, singularPart, smul_sub, ← toSignedMeasure_smul, ← toSignedMeasure_smul]
conv_lhs =>
congr
· | Mathlib.MeasureTheory.Decomposition.SignedLebesgue.352_0.HPGboz0rhL6sBes | theorem singularPart_smul_nnreal (s : SignedMeasure α) (μ : Measure α) (r : ℝ≥0) :
(r • s).singularPart μ = r • s.singularPart μ | Mathlib_MeasureTheory_Decomposition_SignedLebesgue |
case a
α : Type u_1
β : Type u_2
m : MeasurableSpace α
μ✝ ν : Measure α
s✝ t s : SignedMeasure α
μ : Measure α
r : ℝ≥0
| toSignedMeasure (Measure.singularPart (toJordanDecomposition (r • s)).posPart μ) | /-
Copyright (c) 2021 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.MeasureTheory.Decomposition.Lebesgue
import Mathlib.MeasureTheory.Measure.Complex
/-!
# Lebesgue decomposition
This file proves the Lebesgue decomposition theorem for signed measures. The Lebesgue decomposition
theorem states that, given two σ-finite measures `μ` and `ν`, there exists a σ-finite measure `ξ`
and a measurable function `f` such that `μ = ξ + fν` and `ξ` is mutually singular with respect
to `ν`.
## Main definitions
* `MeasureTheory.SignedMeasure.HaveLebesgueDecomposition` : A signed measure `s` and a
measure `μ` is said to `HaveLebesgueDecomposition` if both the positive part and negative
part of `s` `HaveLebesgueDecomposition` with respect to `μ`.
* `MeasureTheory.SignedMeasure.singularPart` : The singular part between a signed measure `s`
and a measure `μ` is simply the singular part of the positive part of `s` with respect to `μ`
minus the singular part of the negative part of `s` with respect to `μ`.
* `MeasureTheory.SignedMeasure.rnDeriv` : The Radon-Nikodym derivative of a signed
measure `s` with respect to a measure `μ` is the Radon-Nikodym derivative of the positive part of
`s` with respect to `μ` minus the Radon-Nikodym derivative of the negative part of `s` with
respect to `μ`.
## Main results
* `MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq` :
the Lebesgue decomposition theorem between a signed measure and a σ-finite positive measure.
## Tags
Lebesgue decomposition theorem
-/
noncomputable section
open scoped Classical MeasureTheory NNReal ENNReal
open Set
variable {α β : Type*} {m : MeasurableSpace α} {μ ν : MeasureTheory.Measure α}
namespace MeasureTheory
namespace SignedMeasure
open Measure
/-- A signed measure `s` is said to `HaveLebesgueDecomposition` with respect to a measure `μ`
if the positive part and the negative part of `s` both `HaveLebesgueDecomposition` with
respect to `μ`. -/
class HaveLebesgueDecomposition (s : SignedMeasure α) (μ : Measure α) : Prop where
posPart : s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ
negPart : s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ
#align measure_theory.signed_measure.have_lebesgue_decomposition MeasureTheory.SignedMeasure.HaveLebesgueDecomposition
#align measure_theory.signed_measure.have_lebesgue_decomposition.pos_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.posPart
#align measure_theory.signed_measure.have_lebesgue_decomposition.neg_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.negPart
attribute [instance] HaveLebesgueDecomposition.posPart
attribute [instance] HaveLebesgueDecomposition.negPart
theorem not_haveLebesgueDecomposition_iff (s : SignedMeasure α) (μ : Measure α) :
¬s.HaveLebesgueDecomposition μ ↔
¬s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ ∨
¬s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ :=
⟨fun h => not_or_of_imp fun hp hn => h ⟨hp, hn⟩, fun h hl => (not_and_or.2 h) ⟨hl.1, hl.2⟩⟩
#align measure_theory.signed_measure.not_have_lebesgue_decomposition_iff MeasureTheory.SignedMeasure.not_haveLebesgueDecomposition_iff
-- `infer_instance` directly does not work
-- see Note [lower instance priority]
instance (priority := 100) haveLebesgueDecomposition_of_sigmaFinite (s : SignedMeasure α)
(μ : Measure α) [SigmaFinite μ] : s.HaveLebesgueDecomposition μ where
posPart := inferInstance
negPart := inferInstance
#align measure_theory.signed_measure.have_lebesgue_decomposition_of_sigma_finite MeasureTheory.SignedMeasure.haveLebesgueDecomposition_of_sigmaFinite
instance haveLebesgueDecomposition_neg (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] : (-s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_neg MeasureTheory.SignedMeasure.haveLebesgueDecomposition_neg
instance haveLebesgueDecomposition_smul (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ≥0) : (r • s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul
instance haveLebesgueDecomposition_smul_real (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ) : (r • s).HaveLebesgueDecomposition μ := by
by_cases hr : 0 ≤ r
· lift r to ℝ≥0 using hr
exact s.haveLebesgueDecomposition_smul μ _
· rw [not_le] at hr
refine'
{ posPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_posPart_neg _ _ hr]
infer_instance
negPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_negPart_neg _ _ hr]
infer_instance }
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul_real MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul_real
/-- Given a signed measure `s` and a measure `μ`, `s.singularPart μ` is the signed measure
such that `s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s` and
`s.singularPart μ` is mutually singular with respect to `μ`. -/
def singularPart (s : SignedMeasure α) (μ : Measure α) : SignedMeasure α :=
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure -
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure
#align measure_theory.signed_measure.singular_part MeasureTheory.SignedMeasure.singularPart
section
theorem singularPart_mutuallySingular (s : SignedMeasure α) (μ : Measure α) :
s.toJordanDecomposition.posPart.singularPart μ ⟂ₘ
s.toJordanDecomposition.negPart.singularPart μ := by
by_cases hl : s.HaveLebesgueDecomposition μ
· obtain ⟨i, hi, hpos, hneg⟩ := s.toJordanDecomposition.mutuallySingular
rw [s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ] at hpos
rw [s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ] at hneg
rw [add_apply, add_eq_zero_iff] at hpos hneg
exact ⟨i, hi, hpos.1, hneg.1⟩
· rw [not_haveLebesgueDecomposition_iff] at hl
cases' hl with hp hn
· rw [Measure.singularPart, dif_neg hp]
exact MutuallySingular.zero_left
· rw [Measure.singularPart, Measure.singularPart, dif_neg hn]
exact MutuallySingular.zero_right
#align measure_theory.signed_measure.singular_part_mutually_singular MeasureTheory.SignedMeasure.singularPart_mutuallySingular
theorem singularPart_totalVariation (s : SignedMeasure α) (μ : Measure α) :
(s.singularPart μ).totalVariation =
s.toJordanDecomposition.posPart.singularPart μ +
s.toJordanDecomposition.negPart.singularPart μ := by
have :
(s.singularPart μ).toJordanDecomposition =
⟨s.toJordanDecomposition.posPart.singularPart μ,
s.toJordanDecomposition.negPart.singularPart μ, singularPart_mutuallySingular s μ⟩ := by
refine' JordanDecomposition.toSignedMeasure_injective _
rw [toSignedMeasure_toJordanDecomposition, singularPart, JordanDecomposition.toSignedMeasure]
· rw [totalVariation, this]
#align measure_theory.signed_measure.singular_part_total_variation MeasureTheory.SignedMeasure.singularPart_totalVariation
nonrec theorem mutuallySingular_singularPart (s : SignedMeasure α) (μ : Measure α) :
singularPart s μ ⟂ᵥ μ.toENNRealVectorMeasure := by
rw [mutuallySingular_ennreal_iff, singularPart_totalVariation,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure]
exact (mutuallySingular_singularPart _ _).add_left (mutuallySingular_singularPart _ _)
#align measure_theory.signed_measure.mutually_singular_singular_part MeasureTheory.SignedMeasure.mutuallySingular_singularPart
end
/-- The Radon-Nikodym derivative between a signed measure and a positive measure.
`rnDeriv s μ` satisfies `μ.withDensityᵥ (s.rnDeriv μ) = s`
if and only if `s` is absolutely continuous with respect to `μ` and this fact is known as
`MeasureTheory.SignedMeasure.absolutelyContinuous_iff_withDensity_rnDeriv_eq`
and can be found in `MeasureTheory.Decomposition.RadonNikodym`. -/
def rnDeriv (s : SignedMeasure α) (μ : Measure α) : α → ℝ := fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal
#align measure_theory.signed_measure.rn_deriv MeasureTheory.SignedMeasure.rnDeriv
-- Porting note: The generated equation theorem is the form of `rnDeriv s μ x`.
theorem rnDeriv_def (s : SignedMeasure α) (μ : Measure α) : rnDeriv s μ = fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal :=
rfl
attribute [eqns rnDeriv_def] rnDeriv
variable {s t : SignedMeasure α}
@[measurability]
theorem measurable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Measurable (rnDeriv s μ) := by
rw [rnDeriv]
measurability
#align measure_theory.signed_measure.measurable_rn_deriv MeasureTheory.SignedMeasure.measurable_rnDeriv
theorem integrable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Integrable (rnDeriv s μ) μ := by
refine' Integrable.sub _ _ <;>
· constructor
· apply Measurable.aestronglyMeasurable; measurability
exact hasFiniteIntegral_toReal_of_lintegral_ne_top (lintegral_rnDeriv_lt_top _ μ).ne
#align measure_theory.signed_measure.integrable_rn_deriv MeasureTheory.SignedMeasure.integrable_rnDeriv
variable (s μ)
/-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
first
| exact (lintegral_rnDeriv_lt_top _ _).ne
| measurability
#align measure_theory.signed_measure.singular_part_add_with_density_rn_deriv_eq MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq
variable {s μ}
theorem jordanDecomposition_add_withDensity_mutuallySingular {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) :
(t.toJordanDecomposition.posPart + μ.withDensity fun x : α => ENNReal.ofReal (f x)) ⟂ₘ
t.toJordanDecomposition.negPart + μ.withDensity fun x : α => ENNReal.ofReal (-f x) := by
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
exact
((JordanDecomposition.mutuallySingular _).add_right
(htμ.1.mono_ac (refl _) (withDensity_absolutelyContinuous _ _))).add_left
((htμ.2.symm.mono_ac (withDensity_absolutelyContinuous _ _) (refl _)).add_right
(withDensity_ofReal_mutuallySingular hf))
#align measure_theory.signed_measure.jordan_decomposition_add_with_density_mutually_singular MeasureTheory.SignedMeasure.jordanDecomposition_add_withDensity_mutuallySingular
theorem toJordanDecomposition_eq_of_eq_add_withDensity {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.toJordanDecomposition =
@JordanDecomposition.mk α _
(t.toJordanDecomposition.posPart + μ.withDensity fun x => ENNReal.ofReal (f x))
(t.toJordanDecomposition.negPart + μ.withDensity fun x => ENNReal.ofReal (-f x))
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.2; infer_instance)
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2; infer_instance)
(jordanDecomposition_add_withDensity_mutuallySingular hf htμ) := by
haveI := isFiniteMeasure_withDensity_ofReal hfi.2
haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2
refine' toJordanDecomposition_eq _
simp_rw [JordanDecomposition.toSignedMeasure, hadd]
ext i hi
rw [VectorMeasure.sub_apply, toSignedMeasure_apply_measurable hi,
toSignedMeasure_apply_measurable hi, add_apply, add_apply, ENNReal.toReal_add,
ENNReal.toReal_add, add_sub_add_comm, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi, ← VectorMeasure.sub_apply,
← JordanDecomposition.toSignedMeasure, toSignedMeasure_toJordanDecomposition,
VectorMeasure.add_apply, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi,
withDensityᵥ_eq_withDensity_pos_part_sub_withDensity_neg_part hfi,
VectorMeasure.sub_apply] <;>
exact (measure_lt_top _ _).ne
#align measure_theory.signed_measure.to_jordan_decomposition_eq_of_eq_add_with_density MeasureTheory.SignedMeasure.toJordanDecomposition_eq_of_eq_add_withDensity
private theorem haveLebesgueDecomposition_mk' (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff] at htμ
change _ ⟂ₘ VectorMeasure.equivMeasure.toFun (VectorMeasure.equivMeasure.invFun μ) at htμ
rw [VectorMeasure.equivMeasure.right_inv, totalVariation_mutuallySingular_iff] at htμ
refine'
{ posPart := by
use ⟨t.toJordanDecomposition.posPart, fun x => ENNReal.ofReal (f x)⟩
refine' ⟨hf.ennreal_ofReal, htμ.1, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
negPart := by
use ⟨t.toJordanDecomposition.negPart, fun x => ENNReal.ofReal (-f x)⟩
refine' ⟨hf.neg.ennreal_ofReal, htμ.2, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd] }
theorem haveLebesgueDecomposition_mk (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
by_cases hfi : Integrable f μ
· exact haveLebesgueDecomposition_mk' μ hf hfi htμ hadd
· rw [withDensityᵥ, dif_neg hfi, add_zero] at hadd
refine' haveLebesgueDecomposition_mk' μ measurable_zero (integrable_zero _ _ μ) htμ _
rwa [withDensityᵥ_zero, add_zero]
#align measure_theory.signed_measure.have_lebesgue_decomposition_mk MeasureTheory.SignedMeasure.haveLebesgueDecomposition_mk
private theorem eq_singularPart' (t : SignedMeasure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
t = s.singularPart μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
rw [singularPart, ← t.toSignedMeasure_toJordanDecomposition,
JordanDecomposition.toSignedMeasure]
congr
· have hfpos : Measurable fun x => ENNReal.ofReal (f x) := by measurability
refine' eq_singularPart hfpos htμ.1 _
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
· have hfneg : Measurable fun x => ENNReal.ofReal (-f x) := by measurability
refine' eq_singularPart hfneg htμ.2 _
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
/-- Given a measure `μ`, signed measures `s` and `t`, and a function `f` such that `t` is
mutually singular with respect to `μ` and `s = t + μ.withDensityᵥ f`, we have
`t = singularPart s μ`, i.e. `t` is the singular part of the Lebesgue decomposition between
`s` and `μ`. -/
theorem eq_singularPart (t : SignedMeasure α) (f : α → ℝ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure)
(hadd : s = t + μ.withDensityᵥ f) : t = s.singularPart μ := by
by_cases hfi : Integrable f μ
· refine' eq_singularPart' t hfi.1.measurable_mk (hfi.congr hfi.1.ae_eq_mk) htμ _
convert hadd using 2
exact WithDensityᵥEq.congr_ae hfi.1.ae_eq_mk.symm
· rw [withDensityᵥ, dif_neg hfi, add_zero] at hadd
refine' eq_singularPart' t measurable_zero (integrable_zero _ _ μ) htμ _
rwa [withDensityᵥ_zero, add_zero]
#align measure_theory.signed_measure.eq_singular_part MeasureTheory.SignedMeasure.eq_singularPart
theorem singularPart_zero (μ : Measure α) : (0 : SignedMeasure α).singularPart μ = 0 := by
refine' (eq_singularPart 0 0 VectorMeasure.MutuallySingular.zero_left _).symm
rw [zero_add, withDensityᵥ_zero]
#align measure_theory.signed_measure.singular_part_zero MeasureTheory.SignedMeasure.singularPart_zero
theorem singularPart_neg (s : SignedMeasure α) (μ : Measure α) :
(-s).singularPart μ = -s.singularPart μ := by
have h₁ :
((-s).toJordanDecomposition.posPart.singularPart μ).toSignedMeasure =
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure := by
refine' toSignedMeasure_congr _
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
have h₂ :
((-s).toJordanDecomposition.negPart.singularPart μ).toSignedMeasure =
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure := by
refine' toSignedMeasure_congr _
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
rw [singularPart, singularPart, neg_sub, h₁, h₂]
#align measure_theory.signed_measure.singular_part_neg MeasureTheory.SignedMeasure.singularPart_neg
theorem singularPart_smul_nnreal (s : SignedMeasure α) (μ : Measure α) (r : ℝ≥0) :
(r • s).singularPart μ = r • s.singularPart μ := by
rw [singularPart, singularPart, smul_sub, ← toSignedMeasure_smul, ← toSignedMeasure_smul]
conv_lhs =>
congr
· | congr | theorem singularPart_smul_nnreal (s : SignedMeasure α) (μ : Measure α) (r : ℝ≥0) :
(r • s).singularPart μ = r • s.singularPart μ := by
rw [singularPart, singularPart, smul_sub, ← toSignedMeasure_smul, ← toSignedMeasure_smul]
conv_lhs =>
congr
· | Mathlib.MeasureTheory.Decomposition.SignedLebesgue.352_0.HPGboz0rhL6sBes | theorem singularPart_smul_nnreal (s : SignedMeasure α) (μ : Measure α) (r : ℝ≥0) :
(r • s).singularPart μ = r • s.singularPart μ | Mathlib_MeasureTheory_Decomposition_SignedLebesgue |
case a.μ
α : Type u_1
β : Type u_2
m : MeasurableSpace α
μ✝ ν : Measure α
s✝ t s : SignedMeasure α
μ : Measure α
r : ℝ≥0
| Measure.singularPart (toJordanDecomposition (r • s)).posPart μ | /-
Copyright (c) 2021 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.MeasureTheory.Decomposition.Lebesgue
import Mathlib.MeasureTheory.Measure.Complex
/-!
# Lebesgue decomposition
This file proves the Lebesgue decomposition theorem for signed measures. The Lebesgue decomposition
theorem states that, given two σ-finite measures `μ` and `ν`, there exists a σ-finite measure `ξ`
and a measurable function `f` such that `μ = ξ + fν` and `ξ` is mutually singular with respect
to `ν`.
## Main definitions
* `MeasureTheory.SignedMeasure.HaveLebesgueDecomposition` : A signed measure `s` and a
measure `μ` is said to `HaveLebesgueDecomposition` if both the positive part and negative
part of `s` `HaveLebesgueDecomposition` with respect to `μ`.
* `MeasureTheory.SignedMeasure.singularPart` : The singular part between a signed measure `s`
and a measure `μ` is simply the singular part of the positive part of `s` with respect to `μ`
minus the singular part of the negative part of `s` with respect to `μ`.
* `MeasureTheory.SignedMeasure.rnDeriv` : The Radon-Nikodym derivative of a signed
measure `s` with respect to a measure `μ` is the Radon-Nikodym derivative of the positive part of
`s` with respect to `μ` minus the Radon-Nikodym derivative of the negative part of `s` with
respect to `μ`.
## Main results
* `MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq` :
the Lebesgue decomposition theorem between a signed measure and a σ-finite positive measure.
## Tags
Lebesgue decomposition theorem
-/
noncomputable section
open scoped Classical MeasureTheory NNReal ENNReal
open Set
variable {α β : Type*} {m : MeasurableSpace α} {μ ν : MeasureTheory.Measure α}
namespace MeasureTheory
namespace SignedMeasure
open Measure
/-- A signed measure `s` is said to `HaveLebesgueDecomposition` with respect to a measure `μ`
if the positive part and the negative part of `s` both `HaveLebesgueDecomposition` with
respect to `μ`. -/
class HaveLebesgueDecomposition (s : SignedMeasure α) (μ : Measure α) : Prop where
posPart : s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ
negPart : s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ
#align measure_theory.signed_measure.have_lebesgue_decomposition MeasureTheory.SignedMeasure.HaveLebesgueDecomposition
#align measure_theory.signed_measure.have_lebesgue_decomposition.pos_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.posPart
#align measure_theory.signed_measure.have_lebesgue_decomposition.neg_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.negPart
attribute [instance] HaveLebesgueDecomposition.posPart
attribute [instance] HaveLebesgueDecomposition.negPart
theorem not_haveLebesgueDecomposition_iff (s : SignedMeasure α) (μ : Measure α) :
¬s.HaveLebesgueDecomposition μ ↔
¬s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ ∨
¬s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ :=
⟨fun h => not_or_of_imp fun hp hn => h ⟨hp, hn⟩, fun h hl => (not_and_or.2 h) ⟨hl.1, hl.2⟩⟩
#align measure_theory.signed_measure.not_have_lebesgue_decomposition_iff MeasureTheory.SignedMeasure.not_haveLebesgueDecomposition_iff
-- `infer_instance` directly does not work
-- see Note [lower instance priority]
instance (priority := 100) haveLebesgueDecomposition_of_sigmaFinite (s : SignedMeasure α)
(μ : Measure α) [SigmaFinite μ] : s.HaveLebesgueDecomposition μ where
posPart := inferInstance
negPart := inferInstance
#align measure_theory.signed_measure.have_lebesgue_decomposition_of_sigma_finite MeasureTheory.SignedMeasure.haveLebesgueDecomposition_of_sigmaFinite
instance haveLebesgueDecomposition_neg (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] : (-s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_neg MeasureTheory.SignedMeasure.haveLebesgueDecomposition_neg
instance haveLebesgueDecomposition_smul (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ≥0) : (r • s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul
instance haveLebesgueDecomposition_smul_real (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ) : (r • s).HaveLebesgueDecomposition μ := by
by_cases hr : 0 ≤ r
· lift r to ℝ≥0 using hr
exact s.haveLebesgueDecomposition_smul μ _
· rw [not_le] at hr
refine'
{ posPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_posPart_neg _ _ hr]
infer_instance
negPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_negPart_neg _ _ hr]
infer_instance }
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul_real MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul_real
/-- Given a signed measure `s` and a measure `μ`, `s.singularPart μ` is the signed measure
such that `s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s` and
`s.singularPart μ` is mutually singular with respect to `μ`. -/
def singularPart (s : SignedMeasure α) (μ : Measure α) : SignedMeasure α :=
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure -
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure
#align measure_theory.signed_measure.singular_part MeasureTheory.SignedMeasure.singularPart
section
theorem singularPart_mutuallySingular (s : SignedMeasure α) (μ : Measure α) :
s.toJordanDecomposition.posPart.singularPart μ ⟂ₘ
s.toJordanDecomposition.negPart.singularPart μ := by
by_cases hl : s.HaveLebesgueDecomposition μ
· obtain ⟨i, hi, hpos, hneg⟩ := s.toJordanDecomposition.mutuallySingular
rw [s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ] at hpos
rw [s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ] at hneg
rw [add_apply, add_eq_zero_iff] at hpos hneg
exact ⟨i, hi, hpos.1, hneg.1⟩
· rw [not_haveLebesgueDecomposition_iff] at hl
cases' hl with hp hn
· rw [Measure.singularPart, dif_neg hp]
exact MutuallySingular.zero_left
· rw [Measure.singularPart, Measure.singularPart, dif_neg hn]
exact MutuallySingular.zero_right
#align measure_theory.signed_measure.singular_part_mutually_singular MeasureTheory.SignedMeasure.singularPart_mutuallySingular
theorem singularPart_totalVariation (s : SignedMeasure α) (μ : Measure α) :
(s.singularPart μ).totalVariation =
s.toJordanDecomposition.posPart.singularPart μ +
s.toJordanDecomposition.negPart.singularPart μ := by
have :
(s.singularPart μ).toJordanDecomposition =
⟨s.toJordanDecomposition.posPart.singularPart μ,
s.toJordanDecomposition.negPart.singularPart μ, singularPart_mutuallySingular s μ⟩ := by
refine' JordanDecomposition.toSignedMeasure_injective _
rw [toSignedMeasure_toJordanDecomposition, singularPart, JordanDecomposition.toSignedMeasure]
· rw [totalVariation, this]
#align measure_theory.signed_measure.singular_part_total_variation MeasureTheory.SignedMeasure.singularPart_totalVariation
nonrec theorem mutuallySingular_singularPart (s : SignedMeasure α) (μ : Measure α) :
singularPart s μ ⟂ᵥ μ.toENNRealVectorMeasure := by
rw [mutuallySingular_ennreal_iff, singularPart_totalVariation,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure]
exact (mutuallySingular_singularPart _ _).add_left (mutuallySingular_singularPart _ _)
#align measure_theory.signed_measure.mutually_singular_singular_part MeasureTheory.SignedMeasure.mutuallySingular_singularPart
end
/-- The Radon-Nikodym derivative between a signed measure and a positive measure.
`rnDeriv s μ` satisfies `μ.withDensityᵥ (s.rnDeriv μ) = s`
if and only if `s` is absolutely continuous with respect to `μ` and this fact is known as
`MeasureTheory.SignedMeasure.absolutelyContinuous_iff_withDensity_rnDeriv_eq`
and can be found in `MeasureTheory.Decomposition.RadonNikodym`. -/
def rnDeriv (s : SignedMeasure α) (μ : Measure α) : α → ℝ := fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal
#align measure_theory.signed_measure.rn_deriv MeasureTheory.SignedMeasure.rnDeriv
-- Porting note: The generated equation theorem is the form of `rnDeriv s μ x`.
theorem rnDeriv_def (s : SignedMeasure α) (μ : Measure α) : rnDeriv s μ = fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal :=
rfl
attribute [eqns rnDeriv_def] rnDeriv
variable {s t : SignedMeasure α}
@[measurability]
theorem measurable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Measurable (rnDeriv s μ) := by
rw [rnDeriv]
measurability
#align measure_theory.signed_measure.measurable_rn_deriv MeasureTheory.SignedMeasure.measurable_rnDeriv
theorem integrable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Integrable (rnDeriv s μ) μ := by
refine' Integrable.sub _ _ <;>
· constructor
· apply Measurable.aestronglyMeasurable; measurability
exact hasFiniteIntegral_toReal_of_lintegral_ne_top (lintegral_rnDeriv_lt_top _ μ).ne
#align measure_theory.signed_measure.integrable_rn_deriv MeasureTheory.SignedMeasure.integrable_rnDeriv
variable (s μ)
/-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
first
| exact (lintegral_rnDeriv_lt_top _ _).ne
| measurability
#align measure_theory.signed_measure.singular_part_add_with_density_rn_deriv_eq MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq
variable {s μ}
theorem jordanDecomposition_add_withDensity_mutuallySingular {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) :
(t.toJordanDecomposition.posPart + μ.withDensity fun x : α => ENNReal.ofReal (f x)) ⟂ₘ
t.toJordanDecomposition.negPart + μ.withDensity fun x : α => ENNReal.ofReal (-f x) := by
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
exact
((JordanDecomposition.mutuallySingular _).add_right
(htμ.1.mono_ac (refl _) (withDensity_absolutelyContinuous _ _))).add_left
((htμ.2.symm.mono_ac (withDensity_absolutelyContinuous _ _) (refl _)).add_right
(withDensity_ofReal_mutuallySingular hf))
#align measure_theory.signed_measure.jordan_decomposition_add_with_density_mutually_singular MeasureTheory.SignedMeasure.jordanDecomposition_add_withDensity_mutuallySingular
theorem toJordanDecomposition_eq_of_eq_add_withDensity {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.toJordanDecomposition =
@JordanDecomposition.mk α _
(t.toJordanDecomposition.posPart + μ.withDensity fun x => ENNReal.ofReal (f x))
(t.toJordanDecomposition.negPart + μ.withDensity fun x => ENNReal.ofReal (-f x))
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.2; infer_instance)
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2; infer_instance)
(jordanDecomposition_add_withDensity_mutuallySingular hf htμ) := by
haveI := isFiniteMeasure_withDensity_ofReal hfi.2
haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2
refine' toJordanDecomposition_eq _
simp_rw [JordanDecomposition.toSignedMeasure, hadd]
ext i hi
rw [VectorMeasure.sub_apply, toSignedMeasure_apply_measurable hi,
toSignedMeasure_apply_measurable hi, add_apply, add_apply, ENNReal.toReal_add,
ENNReal.toReal_add, add_sub_add_comm, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi, ← VectorMeasure.sub_apply,
← JordanDecomposition.toSignedMeasure, toSignedMeasure_toJordanDecomposition,
VectorMeasure.add_apply, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi,
withDensityᵥ_eq_withDensity_pos_part_sub_withDensity_neg_part hfi,
VectorMeasure.sub_apply] <;>
exact (measure_lt_top _ _).ne
#align measure_theory.signed_measure.to_jordan_decomposition_eq_of_eq_add_with_density MeasureTheory.SignedMeasure.toJordanDecomposition_eq_of_eq_add_withDensity
private theorem haveLebesgueDecomposition_mk' (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff] at htμ
change _ ⟂ₘ VectorMeasure.equivMeasure.toFun (VectorMeasure.equivMeasure.invFun μ) at htμ
rw [VectorMeasure.equivMeasure.right_inv, totalVariation_mutuallySingular_iff] at htμ
refine'
{ posPart := by
use ⟨t.toJordanDecomposition.posPart, fun x => ENNReal.ofReal (f x)⟩
refine' ⟨hf.ennreal_ofReal, htμ.1, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
negPart := by
use ⟨t.toJordanDecomposition.negPart, fun x => ENNReal.ofReal (-f x)⟩
refine' ⟨hf.neg.ennreal_ofReal, htμ.2, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd] }
theorem haveLebesgueDecomposition_mk (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
by_cases hfi : Integrable f μ
· exact haveLebesgueDecomposition_mk' μ hf hfi htμ hadd
· rw [withDensityᵥ, dif_neg hfi, add_zero] at hadd
refine' haveLebesgueDecomposition_mk' μ measurable_zero (integrable_zero _ _ μ) htμ _
rwa [withDensityᵥ_zero, add_zero]
#align measure_theory.signed_measure.have_lebesgue_decomposition_mk MeasureTheory.SignedMeasure.haveLebesgueDecomposition_mk
private theorem eq_singularPart' (t : SignedMeasure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
t = s.singularPart μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
rw [singularPart, ← t.toSignedMeasure_toJordanDecomposition,
JordanDecomposition.toSignedMeasure]
congr
· have hfpos : Measurable fun x => ENNReal.ofReal (f x) := by measurability
refine' eq_singularPart hfpos htμ.1 _
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
· have hfneg : Measurable fun x => ENNReal.ofReal (-f x) := by measurability
refine' eq_singularPart hfneg htμ.2 _
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
/-- Given a measure `μ`, signed measures `s` and `t`, and a function `f` such that `t` is
mutually singular with respect to `μ` and `s = t + μ.withDensityᵥ f`, we have
`t = singularPart s μ`, i.e. `t` is the singular part of the Lebesgue decomposition between
`s` and `μ`. -/
theorem eq_singularPart (t : SignedMeasure α) (f : α → ℝ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure)
(hadd : s = t + μ.withDensityᵥ f) : t = s.singularPart μ := by
by_cases hfi : Integrable f μ
· refine' eq_singularPart' t hfi.1.measurable_mk (hfi.congr hfi.1.ae_eq_mk) htμ _
convert hadd using 2
exact WithDensityᵥEq.congr_ae hfi.1.ae_eq_mk.symm
· rw [withDensityᵥ, dif_neg hfi, add_zero] at hadd
refine' eq_singularPart' t measurable_zero (integrable_zero _ _ μ) htμ _
rwa [withDensityᵥ_zero, add_zero]
#align measure_theory.signed_measure.eq_singular_part MeasureTheory.SignedMeasure.eq_singularPart
theorem singularPart_zero (μ : Measure α) : (0 : SignedMeasure α).singularPart μ = 0 := by
refine' (eq_singularPart 0 0 VectorMeasure.MutuallySingular.zero_left _).symm
rw [zero_add, withDensityᵥ_zero]
#align measure_theory.signed_measure.singular_part_zero MeasureTheory.SignedMeasure.singularPart_zero
theorem singularPart_neg (s : SignedMeasure α) (μ : Measure α) :
(-s).singularPart μ = -s.singularPart μ := by
have h₁ :
((-s).toJordanDecomposition.posPart.singularPart μ).toSignedMeasure =
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure := by
refine' toSignedMeasure_congr _
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
have h₂ :
((-s).toJordanDecomposition.negPart.singularPart μ).toSignedMeasure =
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure := by
refine' toSignedMeasure_congr _
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
rw [singularPart, singularPart, neg_sub, h₁, h₂]
#align measure_theory.signed_measure.singular_part_neg MeasureTheory.SignedMeasure.singularPart_neg
theorem singularPart_smul_nnreal (s : SignedMeasure α) (μ : Measure α) (r : ℝ≥0) :
(r • s).singularPart μ = r • s.singularPart μ := by
rw [singularPart, singularPart, smul_sub, ← toSignedMeasure_smul, ← toSignedMeasure_smul]
conv_lhs =>
congr
· congr
| · rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart, singularPart_smul] | theorem singularPart_smul_nnreal (s : SignedMeasure α) (μ : Measure α) (r : ℝ≥0) :
(r • s).singularPart μ = r • s.singularPart μ := by
rw [singularPart, singularPart, smul_sub, ← toSignedMeasure_smul, ← toSignedMeasure_smul]
conv_lhs =>
congr
· congr
| Mathlib.MeasureTheory.Decomposition.SignedLebesgue.352_0.HPGboz0rhL6sBes | theorem singularPart_smul_nnreal (s : SignedMeasure α) (μ : Measure α) (r : ℝ≥0) :
(r • s).singularPart μ = r • s.singularPart μ | Mathlib_MeasureTheory_Decomposition_SignedLebesgue |
case a.μ
α : Type u_1
β : Type u_2
m : MeasurableSpace α
μ✝ ν : Measure α
s✝ t s : SignedMeasure α
μ : Measure α
r : ℝ≥0
| Measure.singularPart (toJordanDecomposition (r • s)).posPart μ | /-
Copyright (c) 2021 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.MeasureTheory.Decomposition.Lebesgue
import Mathlib.MeasureTheory.Measure.Complex
/-!
# Lebesgue decomposition
This file proves the Lebesgue decomposition theorem for signed measures. The Lebesgue decomposition
theorem states that, given two σ-finite measures `μ` and `ν`, there exists a σ-finite measure `ξ`
and a measurable function `f` such that `μ = ξ + fν` and `ξ` is mutually singular with respect
to `ν`.
## Main definitions
* `MeasureTheory.SignedMeasure.HaveLebesgueDecomposition` : A signed measure `s` and a
measure `μ` is said to `HaveLebesgueDecomposition` if both the positive part and negative
part of `s` `HaveLebesgueDecomposition` with respect to `μ`.
* `MeasureTheory.SignedMeasure.singularPart` : The singular part between a signed measure `s`
and a measure `μ` is simply the singular part of the positive part of `s` with respect to `μ`
minus the singular part of the negative part of `s` with respect to `μ`.
* `MeasureTheory.SignedMeasure.rnDeriv` : The Radon-Nikodym derivative of a signed
measure `s` with respect to a measure `μ` is the Radon-Nikodym derivative of the positive part of
`s` with respect to `μ` minus the Radon-Nikodym derivative of the negative part of `s` with
respect to `μ`.
## Main results
* `MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq` :
the Lebesgue decomposition theorem between a signed measure and a σ-finite positive measure.
## Tags
Lebesgue decomposition theorem
-/
noncomputable section
open scoped Classical MeasureTheory NNReal ENNReal
open Set
variable {α β : Type*} {m : MeasurableSpace α} {μ ν : MeasureTheory.Measure α}
namespace MeasureTheory
namespace SignedMeasure
open Measure
/-- A signed measure `s` is said to `HaveLebesgueDecomposition` with respect to a measure `μ`
if the positive part and the negative part of `s` both `HaveLebesgueDecomposition` with
respect to `μ`. -/
class HaveLebesgueDecomposition (s : SignedMeasure α) (μ : Measure α) : Prop where
posPart : s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ
negPart : s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ
#align measure_theory.signed_measure.have_lebesgue_decomposition MeasureTheory.SignedMeasure.HaveLebesgueDecomposition
#align measure_theory.signed_measure.have_lebesgue_decomposition.pos_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.posPart
#align measure_theory.signed_measure.have_lebesgue_decomposition.neg_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.negPart
attribute [instance] HaveLebesgueDecomposition.posPart
attribute [instance] HaveLebesgueDecomposition.negPart
theorem not_haveLebesgueDecomposition_iff (s : SignedMeasure α) (μ : Measure α) :
¬s.HaveLebesgueDecomposition μ ↔
¬s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ ∨
¬s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ :=
⟨fun h => not_or_of_imp fun hp hn => h ⟨hp, hn⟩, fun h hl => (not_and_or.2 h) ⟨hl.1, hl.2⟩⟩
#align measure_theory.signed_measure.not_have_lebesgue_decomposition_iff MeasureTheory.SignedMeasure.not_haveLebesgueDecomposition_iff
-- `infer_instance` directly does not work
-- see Note [lower instance priority]
instance (priority := 100) haveLebesgueDecomposition_of_sigmaFinite (s : SignedMeasure α)
(μ : Measure α) [SigmaFinite μ] : s.HaveLebesgueDecomposition μ where
posPart := inferInstance
negPart := inferInstance
#align measure_theory.signed_measure.have_lebesgue_decomposition_of_sigma_finite MeasureTheory.SignedMeasure.haveLebesgueDecomposition_of_sigmaFinite
instance haveLebesgueDecomposition_neg (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] : (-s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_neg MeasureTheory.SignedMeasure.haveLebesgueDecomposition_neg
instance haveLebesgueDecomposition_smul (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ≥0) : (r • s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul
instance haveLebesgueDecomposition_smul_real (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ) : (r • s).HaveLebesgueDecomposition μ := by
by_cases hr : 0 ≤ r
· lift r to ℝ≥0 using hr
exact s.haveLebesgueDecomposition_smul μ _
· rw [not_le] at hr
refine'
{ posPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_posPart_neg _ _ hr]
infer_instance
negPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_negPart_neg _ _ hr]
infer_instance }
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul_real MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul_real
/-- Given a signed measure `s` and a measure `μ`, `s.singularPart μ` is the signed measure
such that `s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s` and
`s.singularPart μ` is mutually singular with respect to `μ`. -/
def singularPart (s : SignedMeasure α) (μ : Measure α) : SignedMeasure α :=
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure -
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure
#align measure_theory.signed_measure.singular_part MeasureTheory.SignedMeasure.singularPart
section
theorem singularPart_mutuallySingular (s : SignedMeasure α) (μ : Measure α) :
s.toJordanDecomposition.posPart.singularPart μ ⟂ₘ
s.toJordanDecomposition.negPart.singularPart μ := by
by_cases hl : s.HaveLebesgueDecomposition μ
· obtain ⟨i, hi, hpos, hneg⟩ := s.toJordanDecomposition.mutuallySingular
rw [s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ] at hpos
rw [s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ] at hneg
rw [add_apply, add_eq_zero_iff] at hpos hneg
exact ⟨i, hi, hpos.1, hneg.1⟩
· rw [not_haveLebesgueDecomposition_iff] at hl
cases' hl with hp hn
· rw [Measure.singularPart, dif_neg hp]
exact MutuallySingular.zero_left
· rw [Measure.singularPart, Measure.singularPart, dif_neg hn]
exact MutuallySingular.zero_right
#align measure_theory.signed_measure.singular_part_mutually_singular MeasureTheory.SignedMeasure.singularPart_mutuallySingular
theorem singularPart_totalVariation (s : SignedMeasure α) (μ : Measure α) :
(s.singularPart μ).totalVariation =
s.toJordanDecomposition.posPart.singularPart μ +
s.toJordanDecomposition.negPart.singularPart μ := by
have :
(s.singularPart μ).toJordanDecomposition =
⟨s.toJordanDecomposition.posPart.singularPart μ,
s.toJordanDecomposition.negPart.singularPart μ, singularPart_mutuallySingular s μ⟩ := by
refine' JordanDecomposition.toSignedMeasure_injective _
rw [toSignedMeasure_toJordanDecomposition, singularPart, JordanDecomposition.toSignedMeasure]
· rw [totalVariation, this]
#align measure_theory.signed_measure.singular_part_total_variation MeasureTheory.SignedMeasure.singularPart_totalVariation
nonrec theorem mutuallySingular_singularPart (s : SignedMeasure α) (μ : Measure α) :
singularPart s μ ⟂ᵥ μ.toENNRealVectorMeasure := by
rw [mutuallySingular_ennreal_iff, singularPart_totalVariation,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure]
exact (mutuallySingular_singularPart _ _).add_left (mutuallySingular_singularPart _ _)
#align measure_theory.signed_measure.mutually_singular_singular_part MeasureTheory.SignedMeasure.mutuallySingular_singularPart
end
/-- The Radon-Nikodym derivative between a signed measure and a positive measure.
`rnDeriv s μ` satisfies `μ.withDensityᵥ (s.rnDeriv μ) = s`
if and only if `s` is absolutely continuous with respect to `μ` and this fact is known as
`MeasureTheory.SignedMeasure.absolutelyContinuous_iff_withDensity_rnDeriv_eq`
and can be found in `MeasureTheory.Decomposition.RadonNikodym`. -/
def rnDeriv (s : SignedMeasure α) (μ : Measure α) : α → ℝ := fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal
#align measure_theory.signed_measure.rn_deriv MeasureTheory.SignedMeasure.rnDeriv
-- Porting note: The generated equation theorem is the form of `rnDeriv s μ x`.
theorem rnDeriv_def (s : SignedMeasure α) (μ : Measure α) : rnDeriv s μ = fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal :=
rfl
attribute [eqns rnDeriv_def] rnDeriv
variable {s t : SignedMeasure α}
@[measurability]
theorem measurable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Measurable (rnDeriv s μ) := by
rw [rnDeriv]
measurability
#align measure_theory.signed_measure.measurable_rn_deriv MeasureTheory.SignedMeasure.measurable_rnDeriv
theorem integrable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Integrable (rnDeriv s μ) μ := by
refine' Integrable.sub _ _ <;>
· constructor
· apply Measurable.aestronglyMeasurable; measurability
exact hasFiniteIntegral_toReal_of_lintegral_ne_top (lintegral_rnDeriv_lt_top _ μ).ne
#align measure_theory.signed_measure.integrable_rn_deriv MeasureTheory.SignedMeasure.integrable_rnDeriv
variable (s μ)
/-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
first
| exact (lintegral_rnDeriv_lt_top _ _).ne
| measurability
#align measure_theory.signed_measure.singular_part_add_with_density_rn_deriv_eq MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq
variable {s μ}
theorem jordanDecomposition_add_withDensity_mutuallySingular {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) :
(t.toJordanDecomposition.posPart + μ.withDensity fun x : α => ENNReal.ofReal (f x)) ⟂ₘ
t.toJordanDecomposition.negPart + μ.withDensity fun x : α => ENNReal.ofReal (-f x) := by
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
exact
((JordanDecomposition.mutuallySingular _).add_right
(htμ.1.mono_ac (refl _) (withDensity_absolutelyContinuous _ _))).add_left
((htμ.2.symm.mono_ac (withDensity_absolutelyContinuous _ _) (refl _)).add_right
(withDensity_ofReal_mutuallySingular hf))
#align measure_theory.signed_measure.jordan_decomposition_add_with_density_mutually_singular MeasureTheory.SignedMeasure.jordanDecomposition_add_withDensity_mutuallySingular
theorem toJordanDecomposition_eq_of_eq_add_withDensity {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.toJordanDecomposition =
@JordanDecomposition.mk α _
(t.toJordanDecomposition.posPart + μ.withDensity fun x => ENNReal.ofReal (f x))
(t.toJordanDecomposition.negPart + μ.withDensity fun x => ENNReal.ofReal (-f x))
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.2; infer_instance)
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2; infer_instance)
(jordanDecomposition_add_withDensity_mutuallySingular hf htμ) := by
haveI := isFiniteMeasure_withDensity_ofReal hfi.2
haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2
refine' toJordanDecomposition_eq _
simp_rw [JordanDecomposition.toSignedMeasure, hadd]
ext i hi
rw [VectorMeasure.sub_apply, toSignedMeasure_apply_measurable hi,
toSignedMeasure_apply_measurable hi, add_apply, add_apply, ENNReal.toReal_add,
ENNReal.toReal_add, add_sub_add_comm, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi, ← VectorMeasure.sub_apply,
← JordanDecomposition.toSignedMeasure, toSignedMeasure_toJordanDecomposition,
VectorMeasure.add_apply, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi,
withDensityᵥ_eq_withDensity_pos_part_sub_withDensity_neg_part hfi,
VectorMeasure.sub_apply] <;>
exact (measure_lt_top _ _).ne
#align measure_theory.signed_measure.to_jordan_decomposition_eq_of_eq_add_with_density MeasureTheory.SignedMeasure.toJordanDecomposition_eq_of_eq_add_withDensity
private theorem haveLebesgueDecomposition_mk' (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff] at htμ
change _ ⟂ₘ VectorMeasure.equivMeasure.toFun (VectorMeasure.equivMeasure.invFun μ) at htμ
rw [VectorMeasure.equivMeasure.right_inv, totalVariation_mutuallySingular_iff] at htμ
refine'
{ posPart := by
use ⟨t.toJordanDecomposition.posPart, fun x => ENNReal.ofReal (f x)⟩
refine' ⟨hf.ennreal_ofReal, htμ.1, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
negPart := by
use ⟨t.toJordanDecomposition.negPart, fun x => ENNReal.ofReal (-f x)⟩
refine' ⟨hf.neg.ennreal_ofReal, htμ.2, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd] }
theorem haveLebesgueDecomposition_mk (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
by_cases hfi : Integrable f μ
· exact haveLebesgueDecomposition_mk' μ hf hfi htμ hadd
· rw [withDensityᵥ, dif_neg hfi, add_zero] at hadd
refine' haveLebesgueDecomposition_mk' μ measurable_zero (integrable_zero _ _ μ) htμ _
rwa [withDensityᵥ_zero, add_zero]
#align measure_theory.signed_measure.have_lebesgue_decomposition_mk MeasureTheory.SignedMeasure.haveLebesgueDecomposition_mk
private theorem eq_singularPart' (t : SignedMeasure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
t = s.singularPart μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
rw [singularPart, ← t.toSignedMeasure_toJordanDecomposition,
JordanDecomposition.toSignedMeasure]
congr
· have hfpos : Measurable fun x => ENNReal.ofReal (f x) := by measurability
refine' eq_singularPart hfpos htμ.1 _
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
· have hfneg : Measurable fun x => ENNReal.ofReal (-f x) := by measurability
refine' eq_singularPart hfneg htμ.2 _
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
/-- Given a measure `μ`, signed measures `s` and `t`, and a function `f` such that `t` is
mutually singular with respect to `μ` and `s = t + μ.withDensityᵥ f`, we have
`t = singularPart s μ`, i.e. `t` is the singular part of the Lebesgue decomposition between
`s` and `μ`. -/
theorem eq_singularPart (t : SignedMeasure α) (f : α → ℝ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure)
(hadd : s = t + μ.withDensityᵥ f) : t = s.singularPart μ := by
by_cases hfi : Integrable f μ
· refine' eq_singularPart' t hfi.1.measurable_mk (hfi.congr hfi.1.ae_eq_mk) htμ _
convert hadd using 2
exact WithDensityᵥEq.congr_ae hfi.1.ae_eq_mk.symm
· rw [withDensityᵥ, dif_neg hfi, add_zero] at hadd
refine' eq_singularPart' t measurable_zero (integrable_zero _ _ μ) htμ _
rwa [withDensityᵥ_zero, add_zero]
#align measure_theory.signed_measure.eq_singular_part MeasureTheory.SignedMeasure.eq_singularPart
theorem singularPart_zero (μ : Measure α) : (0 : SignedMeasure α).singularPart μ = 0 := by
refine' (eq_singularPart 0 0 VectorMeasure.MutuallySingular.zero_left _).symm
rw [zero_add, withDensityᵥ_zero]
#align measure_theory.signed_measure.singular_part_zero MeasureTheory.SignedMeasure.singularPart_zero
theorem singularPart_neg (s : SignedMeasure α) (μ : Measure α) :
(-s).singularPart μ = -s.singularPart μ := by
have h₁ :
((-s).toJordanDecomposition.posPart.singularPart μ).toSignedMeasure =
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure := by
refine' toSignedMeasure_congr _
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
have h₂ :
((-s).toJordanDecomposition.negPart.singularPart μ).toSignedMeasure =
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure := by
refine' toSignedMeasure_congr _
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
rw [singularPart, singularPart, neg_sub, h₁, h₂]
#align measure_theory.signed_measure.singular_part_neg MeasureTheory.SignedMeasure.singularPart_neg
theorem singularPart_smul_nnreal (s : SignedMeasure α) (μ : Measure α) (r : ℝ≥0) :
(r • s).singularPart μ = r • s.singularPart μ := by
rw [singularPart, singularPart, smul_sub, ← toSignedMeasure_smul, ← toSignedMeasure_smul]
conv_lhs =>
congr
· congr
· | rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart, singularPart_smul] | theorem singularPart_smul_nnreal (s : SignedMeasure α) (μ : Measure α) (r : ℝ≥0) :
(r • s).singularPart μ = r • s.singularPart μ := by
rw [singularPart, singularPart, smul_sub, ← toSignedMeasure_smul, ← toSignedMeasure_smul]
conv_lhs =>
congr
· congr
· | Mathlib.MeasureTheory.Decomposition.SignedLebesgue.352_0.HPGboz0rhL6sBes | theorem singularPart_smul_nnreal (s : SignedMeasure α) (μ : Measure α) (r : ℝ≥0) :
(r • s).singularPart μ = r • s.singularPart μ | Mathlib_MeasureTheory_Decomposition_SignedLebesgue |
case a.μ
α : Type u_1
β : Type u_2
m : MeasurableSpace α
μ✝ ν : Measure α
s✝ t s : SignedMeasure α
μ : Measure α
r : ℝ≥0
| Measure.singularPart (toJordanDecomposition (r • s)).posPart μ | /-
Copyright (c) 2021 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.MeasureTheory.Decomposition.Lebesgue
import Mathlib.MeasureTheory.Measure.Complex
/-!
# Lebesgue decomposition
This file proves the Lebesgue decomposition theorem for signed measures. The Lebesgue decomposition
theorem states that, given two σ-finite measures `μ` and `ν`, there exists a σ-finite measure `ξ`
and a measurable function `f` such that `μ = ξ + fν` and `ξ` is mutually singular with respect
to `ν`.
## Main definitions
* `MeasureTheory.SignedMeasure.HaveLebesgueDecomposition` : A signed measure `s` and a
measure `μ` is said to `HaveLebesgueDecomposition` if both the positive part and negative
part of `s` `HaveLebesgueDecomposition` with respect to `μ`.
* `MeasureTheory.SignedMeasure.singularPart` : The singular part between a signed measure `s`
and a measure `μ` is simply the singular part of the positive part of `s` with respect to `μ`
minus the singular part of the negative part of `s` with respect to `μ`.
* `MeasureTheory.SignedMeasure.rnDeriv` : The Radon-Nikodym derivative of a signed
measure `s` with respect to a measure `μ` is the Radon-Nikodym derivative of the positive part of
`s` with respect to `μ` minus the Radon-Nikodym derivative of the negative part of `s` with
respect to `μ`.
## Main results
* `MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq` :
the Lebesgue decomposition theorem between a signed measure and a σ-finite positive measure.
## Tags
Lebesgue decomposition theorem
-/
noncomputable section
open scoped Classical MeasureTheory NNReal ENNReal
open Set
variable {α β : Type*} {m : MeasurableSpace α} {μ ν : MeasureTheory.Measure α}
namespace MeasureTheory
namespace SignedMeasure
open Measure
/-- A signed measure `s` is said to `HaveLebesgueDecomposition` with respect to a measure `μ`
if the positive part and the negative part of `s` both `HaveLebesgueDecomposition` with
respect to `μ`. -/
class HaveLebesgueDecomposition (s : SignedMeasure α) (μ : Measure α) : Prop where
posPart : s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ
negPart : s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ
#align measure_theory.signed_measure.have_lebesgue_decomposition MeasureTheory.SignedMeasure.HaveLebesgueDecomposition
#align measure_theory.signed_measure.have_lebesgue_decomposition.pos_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.posPart
#align measure_theory.signed_measure.have_lebesgue_decomposition.neg_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.negPart
attribute [instance] HaveLebesgueDecomposition.posPart
attribute [instance] HaveLebesgueDecomposition.negPart
theorem not_haveLebesgueDecomposition_iff (s : SignedMeasure α) (μ : Measure α) :
¬s.HaveLebesgueDecomposition μ ↔
¬s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ ∨
¬s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ :=
⟨fun h => not_or_of_imp fun hp hn => h ⟨hp, hn⟩, fun h hl => (not_and_or.2 h) ⟨hl.1, hl.2⟩⟩
#align measure_theory.signed_measure.not_have_lebesgue_decomposition_iff MeasureTheory.SignedMeasure.not_haveLebesgueDecomposition_iff
-- `infer_instance` directly does not work
-- see Note [lower instance priority]
instance (priority := 100) haveLebesgueDecomposition_of_sigmaFinite (s : SignedMeasure α)
(μ : Measure α) [SigmaFinite μ] : s.HaveLebesgueDecomposition μ where
posPart := inferInstance
negPart := inferInstance
#align measure_theory.signed_measure.have_lebesgue_decomposition_of_sigma_finite MeasureTheory.SignedMeasure.haveLebesgueDecomposition_of_sigmaFinite
instance haveLebesgueDecomposition_neg (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] : (-s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_neg MeasureTheory.SignedMeasure.haveLebesgueDecomposition_neg
instance haveLebesgueDecomposition_smul (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ≥0) : (r • s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul
instance haveLebesgueDecomposition_smul_real (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ) : (r • s).HaveLebesgueDecomposition μ := by
by_cases hr : 0 ≤ r
· lift r to ℝ≥0 using hr
exact s.haveLebesgueDecomposition_smul μ _
· rw [not_le] at hr
refine'
{ posPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_posPart_neg _ _ hr]
infer_instance
negPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_negPart_neg _ _ hr]
infer_instance }
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul_real MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul_real
/-- Given a signed measure `s` and a measure `μ`, `s.singularPart μ` is the signed measure
such that `s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s` and
`s.singularPart μ` is mutually singular with respect to `μ`. -/
def singularPart (s : SignedMeasure α) (μ : Measure α) : SignedMeasure α :=
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure -
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure
#align measure_theory.signed_measure.singular_part MeasureTheory.SignedMeasure.singularPart
section
theorem singularPart_mutuallySingular (s : SignedMeasure α) (μ : Measure α) :
s.toJordanDecomposition.posPart.singularPart μ ⟂ₘ
s.toJordanDecomposition.negPart.singularPart μ := by
by_cases hl : s.HaveLebesgueDecomposition μ
· obtain ⟨i, hi, hpos, hneg⟩ := s.toJordanDecomposition.mutuallySingular
rw [s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ] at hpos
rw [s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ] at hneg
rw [add_apply, add_eq_zero_iff] at hpos hneg
exact ⟨i, hi, hpos.1, hneg.1⟩
· rw [not_haveLebesgueDecomposition_iff] at hl
cases' hl with hp hn
· rw [Measure.singularPart, dif_neg hp]
exact MutuallySingular.zero_left
· rw [Measure.singularPart, Measure.singularPart, dif_neg hn]
exact MutuallySingular.zero_right
#align measure_theory.signed_measure.singular_part_mutually_singular MeasureTheory.SignedMeasure.singularPart_mutuallySingular
theorem singularPart_totalVariation (s : SignedMeasure α) (μ : Measure α) :
(s.singularPart μ).totalVariation =
s.toJordanDecomposition.posPart.singularPart μ +
s.toJordanDecomposition.negPart.singularPart μ := by
have :
(s.singularPart μ).toJordanDecomposition =
⟨s.toJordanDecomposition.posPart.singularPart μ,
s.toJordanDecomposition.negPart.singularPart μ, singularPart_mutuallySingular s μ⟩ := by
refine' JordanDecomposition.toSignedMeasure_injective _
rw [toSignedMeasure_toJordanDecomposition, singularPart, JordanDecomposition.toSignedMeasure]
· rw [totalVariation, this]
#align measure_theory.signed_measure.singular_part_total_variation MeasureTheory.SignedMeasure.singularPart_totalVariation
nonrec theorem mutuallySingular_singularPart (s : SignedMeasure α) (μ : Measure α) :
singularPart s μ ⟂ᵥ μ.toENNRealVectorMeasure := by
rw [mutuallySingular_ennreal_iff, singularPart_totalVariation,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure]
exact (mutuallySingular_singularPart _ _).add_left (mutuallySingular_singularPart _ _)
#align measure_theory.signed_measure.mutually_singular_singular_part MeasureTheory.SignedMeasure.mutuallySingular_singularPart
end
/-- The Radon-Nikodym derivative between a signed measure and a positive measure.
`rnDeriv s μ` satisfies `μ.withDensityᵥ (s.rnDeriv μ) = s`
if and only if `s` is absolutely continuous with respect to `μ` and this fact is known as
`MeasureTheory.SignedMeasure.absolutelyContinuous_iff_withDensity_rnDeriv_eq`
and can be found in `MeasureTheory.Decomposition.RadonNikodym`. -/
def rnDeriv (s : SignedMeasure α) (μ : Measure α) : α → ℝ := fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal
#align measure_theory.signed_measure.rn_deriv MeasureTheory.SignedMeasure.rnDeriv
-- Porting note: The generated equation theorem is the form of `rnDeriv s μ x`.
theorem rnDeriv_def (s : SignedMeasure α) (μ : Measure α) : rnDeriv s μ = fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal :=
rfl
attribute [eqns rnDeriv_def] rnDeriv
variable {s t : SignedMeasure α}
@[measurability]
theorem measurable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Measurable (rnDeriv s μ) := by
rw [rnDeriv]
measurability
#align measure_theory.signed_measure.measurable_rn_deriv MeasureTheory.SignedMeasure.measurable_rnDeriv
theorem integrable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Integrable (rnDeriv s μ) μ := by
refine' Integrable.sub _ _ <;>
· constructor
· apply Measurable.aestronglyMeasurable; measurability
exact hasFiniteIntegral_toReal_of_lintegral_ne_top (lintegral_rnDeriv_lt_top _ μ).ne
#align measure_theory.signed_measure.integrable_rn_deriv MeasureTheory.SignedMeasure.integrable_rnDeriv
variable (s μ)
/-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
first
| exact (lintegral_rnDeriv_lt_top _ _).ne
| measurability
#align measure_theory.signed_measure.singular_part_add_with_density_rn_deriv_eq MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq
variable {s μ}
theorem jordanDecomposition_add_withDensity_mutuallySingular {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) :
(t.toJordanDecomposition.posPart + μ.withDensity fun x : α => ENNReal.ofReal (f x)) ⟂ₘ
t.toJordanDecomposition.negPart + μ.withDensity fun x : α => ENNReal.ofReal (-f x) := by
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
exact
((JordanDecomposition.mutuallySingular _).add_right
(htμ.1.mono_ac (refl _) (withDensity_absolutelyContinuous _ _))).add_left
((htμ.2.symm.mono_ac (withDensity_absolutelyContinuous _ _) (refl _)).add_right
(withDensity_ofReal_mutuallySingular hf))
#align measure_theory.signed_measure.jordan_decomposition_add_with_density_mutually_singular MeasureTheory.SignedMeasure.jordanDecomposition_add_withDensity_mutuallySingular
theorem toJordanDecomposition_eq_of_eq_add_withDensity {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.toJordanDecomposition =
@JordanDecomposition.mk α _
(t.toJordanDecomposition.posPart + μ.withDensity fun x => ENNReal.ofReal (f x))
(t.toJordanDecomposition.negPart + μ.withDensity fun x => ENNReal.ofReal (-f x))
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.2; infer_instance)
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2; infer_instance)
(jordanDecomposition_add_withDensity_mutuallySingular hf htμ) := by
haveI := isFiniteMeasure_withDensity_ofReal hfi.2
haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2
refine' toJordanDecomposition_eq _
simp_rw [JordanDecomposition.toSignedMeasure, hadd]
ext i hi
rw [VectorMeasure.sub_apply, toSignedMeasure_apply_measurable hi,
toSignedMeasure_apply_measurable hi, add_apply, add_apply, ENNReal.toReal_add,
ENNReal.toReal_add, add_sub_add_comm, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi, ← VectorMeasure.sub_apply,
← JordanDecomposition.toSignedMeasure, toSignedMeasure_toJordanDecomposition,
VectorMeasure.add_apply, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi,
withDensityᵥ_eq_withDensity_pos_part_sub_withDensity_neg_part hfi,
VectorMeasure.sub_apply] <;>
exact (measure_lt_top _ _).ne
#align measure_theory.signed_measure.to_jordan_decomposition_eq_of_eq_add_with_density MeasureTheory.SignedMeasure.toJordanDecomposition_eq_of_eq_add_withDensity
private theorem haveLebesgueDecomposition_mk' (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff] at htμ
change _ ⟂ₘ VectorMeasure.equivMeasure.toFun (VectorMeasure.equivMeasure.invFun μ) at htμ
rw [VectorMeasure.equivMeasure.right_inv, totalVariation_mutuallySingular_iff] at htμ
refine'
{ posPart := by
use ⟨t.toJordanDecomposition.posPart, fun x => ENNReal.ofReal (f x)⟩
refine' ⟨hf.ennreal_ofReal, htμ.1, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
negPart := by
use ⟨t.toJordanDecomposition.negPart, fun x => ENNReal.ofReal (-f x)⟩
refine' ⟨hf.neg.ennreal_ofReal, htμ.2, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd] }
theorem haveLebesgueDecomposition_mk (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
by_cases hfi : Integrable f μ
· exact haveLebesgueDecomposition_mk' μ hf hfi htμ hadd
· rw [withDensityᵥ, dif_neg hfi, add_zero] at hadd
refine' haveLebesgueDecomposition_mk' μ measurable_zero (integrable_zero _ _ μ) htμ _
rwa [withDensityᵥ_zero, add_zero]
#align measure_theory.signed_measure.have_lebesgue_decomposition_mk MeasureTheory.SignedMeasure.haveLebesgueDecomposition_mk
private theorem eq_singularPart' (t : SignedMeasure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
t = s.singularPart μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
rw [singularPart, ← t.toSignedMeasure_toJordanDecomposition,
JordanDecomposition.toSignedMeasure]
congr
· have hfpos : Measurable fun x => ENNReal.ofReal (f x) := by measurability
refine' eq_singularPart hfpos htμ.1 _
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
· have hfneg : Measurable fun x => ENNReal.ofReal (-f x) := by measurability
refine' eq_singularPart hfneg htμ.2 _
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
/-- Given a measure `μ`, signed measures `s` and `t`, and a function `f` such that `t` is
mutually singular with respect to `μ` and `s = t + μ.withDensityᵥ f`, we have
`t = singularPart s μ`, i.e. `t` is the singular part of the Lebesgue decomposition between
`s` and `μ`. -/
theorem eq_singularPart (t : SignedMeasure α) (f : α → ℝ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure)
(hadd : s = t + μ.withDensityᵥ f) : t = s.singularPart μ := by
by_cases hfi : Integrable f μ
· refine' eq_singularPart' t hfi.1.measurable_mk (hfi.congr hfi.1.ae_eq_mk) htμ _
convert hadd using 2
exact WithDensityᵥEq.congr_ae hfi.1.ae_eq_mk.symm
· rw [withDensityᵥ, dif_neg hfi, add_zero] at hadd
refine' eq_singularPart' t measurable_zero (integrable_zero _ _ μ) htμ _
rwa [withDensityᵥ_zero, add_zero]
#align measure_theory.signed_measure.eq_singular_part MeasureTheory.SignedMeasure.eq_singularPart
theorem singularPart_zero (μ : Measure α) : (0 : SignedMeasure α).singularPart μ = 0 := by
refine' (eq_singularPart 0 0 VectorMeasure.MutuallySingular.zero_left _).symm
rw [zero_add, withDensityᵥ_zero]
#align measure_theory.signed_measure.singular_part_zero MeasureTheory.SignedMeasure.singularPart_zero
theorem singularPart_neg (s : SignedMeasure α) (μ : Measure α) :
(-s).singularPart μ = -s.singularPart μ := by
have h₁ :
((-s).toJordanDecomposition.posPart.singularPart μ).toSignedMeasure =
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure := by
refine' toSignedMeasure_congr _
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
have h₂ :
((-s).toJordanDecomposition.negPart.singularPart μ).toSignedMeasure =
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure := by
refine' toSignedMeasure_congr _
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
rw [singularPart, singularPart, neg_sub, h₁, h₂]
#align measure_theory.signed_measure.singular_part_neg MeasureTheory.SignedMeasure.singularPart_neg
theorem singularPart_smul_nnreal (s : SignedMeasure α) (μ : Measure α) (r : ℝ≥0) :
(r • s).singularPart μ = r • s.singularPart μ := by
rw [singularPart, singularPart, smul_sub, ← toSignedMeasure_smul, ← toSignedMeasure_smul]
conv_lhs =>
congr
· congr
· | rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart, singularPart_smul] | theorem singularPart_smul_nnreal (s : SignedMeasure α) (μ : Measure α) (r : ℝ≥0) :
(r • s).singularPart μ = r • s.singularPart μ := by
rw [singularPart, singularPart, smul_sub, ← toSignedMeasure_smul, ← toSignedMeasure_smul]
conv_lhs =>
congr
· congr
· | Mathlib.MeasureTheory.Decomposition.SignedLebesgue.352_0.HPGboz0rhL6sBes | theorem singularPart_smul_nnreal (s : SignedMeasure α) (μ : Measure α) (r : ℝ≥0) :
(r • s).singularPart μ = r • s.singularPart μ | Mathlib_MeasureTheory_Decomposition_SignedLebesgue |
case a.μ
α : Type u_1
β : Type u_2
m : MeasurableSpace α
μ✝ ν : Measure α
s✝ t s : SignedMeasure α
μ : Measure α
r : ℝ≥0
| Measure.singularPart (toJordanDecomposition (r • s)).posPart μ | /-
Copyright (c) 2021 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.MeasureTheory.Decomposition.Lebesgue
import Mathlib.MeasureTheory.Measure.Complex
/-!
# Lebesgue decomposition
This file proves the Lebesgue decomposition theorem for signed measures. The Lebesgue decomposition
theorem states that, given two σ-finite measures `μ` and `ν`, there exists a σ-finite measure `ξ`
and a measurable function `f` such that `μ = ξ + fν` and `ξ` is mutually singular with respect
to `ν`.
## Main definitions
* `MeasureTheory.SignedMeasure.HaveLebesgueDecomposition` : A signed measure `s` and a
measure `μ` is said to `HaveLebesgueDecomposition` if both the positive part and negative
part of `s` `HaveLebesgueDecomposition` with respect to `μ`.
* `MeasureTheory.SignedMeasure.singularPart` : The singular part between a signed measure `s`
and a measure `μ` is simply the singular part of the positive part of `s` with respect to `μ`
minus the singular part of the negative part of `s` with respect to `μ`.
* `MeasureTheory.SignedMeasure.rnDeriv` : The Radon-Nikodym derivative of a signed
measure `s` with respect to a measure `μ` is the Radon-Nikodym derivative of the positive part of
`s` with respect to `μ` minus the Radon-Nikodym derivative of the negative part of `s` with
respect to `μ`.
## Main results
* `MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq` :
the Lebesgue decomposition theorem between a signed measure and a σ-finite positive measure.
## Tags
Lebesgue decomposition theorem
-/
noncomputable section
open scoped Classical MeasureTheory NNReal ENNReal
open Set
variable {α β : Type*} {m : MeasurableSpace α} {μ ν : MeasureTheory.Measure α}
namespace MeasureTheory
namespace SignedMeasure
open Measure
/-- A signed measure `s` is said to `HaveLebesgueDecomposition` with respect to a measure `μ`
if the positive part and the negative part of `s` both `HaveLebesgueDecomposition` with
respect to `μ`. -/
class HaveLebesgueDecomposition (s : SignedMeasure α) (μ : Measure α) : Prop where
posPart : s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ
negPart : s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ
#align measure_theory.signed_measure.have_lebesgue_decomposition MeasureTheory.SignedMeasure.HaveLebesgueDecomposition
#align measure_theory.signed_measure.have_lebesgue_decomposition.pos_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.posPart
#align measure_theory.signed_measure.have_lebesgue_decomposition.neg_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.negPart
attribute [instance] HaveLebesgueDecomposition.posPart
attribute [instance] HaveLebesgueDecomposition.negPart
theorem not_haveLebesgueDecomposition_iff (s : SignedMeasure α) (μ : Measure α) :
¬s.HaveLebesgueDecomposition μ ↔
¬s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ ∨
¬s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ :=
⟨fun h => not_or_of_imp fun hp hn => h ⟨hp, hn⟩, fun h hl => (not_and_or.2 h) ⟨hl.1, hl.2⟩⟩
#align measure_theory.signed_measure.not_have_lebesgue_decomposition_iff MeasureTheory.SignedMeasure.not_haveLebesgueDecomposition_iff
-- `infer_instance` directly does not work
-- see Note [lower instance priority]
instance (priority := 100) haveLebesgueDecomposition_of_sigmaFinite (s : SignedMeasure α)
(μ : Measure α) [SigmaFinite μ] : s.HaveLebesgueDecomposition μ where
posPart := inferInstance
negPart := inferInstance
#align measure_theory.signed_measure.have_lebesgue_decomposition_of_sigma_finite MeasureTheory.SignedMeasure.haveLebesgueDecomposition_of_sigmaFinite
instance haveLebesgueDecomposition_neg (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] : (-s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_neg MeasureTheory.SignedMeasure.haveLebesgueDecomposition_neg
instance haveLebesgueDecomposition_smul (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ≥0) : (r • s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul
instance haveLebesgueDecomposition_smul_real (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ) : (r • s).HaveLebesgueDecomposition μ := by
by_cases hr : 0 ≤ r
· lift r to ℝ≥0 using hr
exact s.haveLebesgueDecomposition_smul μ _
· rw [not_le] at hr
refine'
{ posPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_posPart_neg _ _ hr]
infer_instance
negPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_negPart_neg _ _ hr]
infer_instance }
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul_real MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul_real
/-- Given a signed measure `s` and a measure `μ`, `s.singularPart μ` is the signed measure
such that `s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s` and
`s.singularPart μ` is mutually singular with respect to `μ`. -/
def singularPart (s : SignedMeasure α) (μ : Measure α) : SignedMeasure α :=
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure -
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure
#align measure_theory.signed_measure.singular_part MeasureTheory.SignedMeasure.singularPart
section
theorem singularPart_mutuallySingular (s : SignedMeasure α) (μ : Measure α) :
s.toJordanDecomposition.posPart.singularPart μ ⟂ₘ
s.toJordanDecomposition.negPart.singularPart μ := by
by_cases hl : s.HaveLebesgueDecomposition μ
· obtain ⟨i, hi, hpos, hneg⟩ := s.toJordanDecomposition.mutuallySingular
rw [s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ] at hpos
rw [s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ] at hneg
rw [add_apply, add_eq_zero_iff] at hpos hneg
exact ⟨i, hi, hpos.1, hneg.1⟩
· rw [not_haveLebesgueDecomposition_iff] at hl
cases' hl with hp hn
· rw [Measure.singularPart, dif_neg hp]
exact MutuallySingular.zero_left
· rw [Measure.singularPart, Measure.singularPart, dif_neg hn]
exact MutuallySingular.zero_right
#align measure_theory.signed_measure.singular_part_mutually_singular MeasureTheory.SignedMeasure.singularPart_mutuallySingular
theorem singularPart_totalVariation (s : SignedMeasure α) (μ : Measure α) :
(s.singularPart μ).totalVariation =
s.toJordanDecomposition.posPart.singularPart μ +
s.toJordanDecomposition.negPart.singularPart μ := by
have :
(s.singularPart μ).toJordanDecomposition =
⟨s.toJordanDecomposition.posPart.singularPart μ,
s.toJordanDecomposition.negPart.singularPart μ, singularPart_mutuallySingular s μ⟩ := by
refine' JordanDecomposition.toSignedMeasure_injective _
rw [toSignedMeasure_toJordanDecomposition, singularPart, JordanDecomposition.toSignedMeasure]
· rw [totalVariation, this]
#align measure_theory.signed_measure.singular_part_total_variation MeasureTheory.SignedMeasure.singularPart_totalVariation
nonrec theorem mutuallySingular_singularPart (s : SignedMeasure α) (μ : Measure α) :
singularPart s μ ⟂ᵥ μ.toENNRealVectorMeasure := by
rw [mutuallySingular_ennreal_iff, singularPart_totalVariation,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure]
exact (mutuallySingular_singularPart _ _).add_left (mutuallySingular_singularPart _ _)
#align measure_theory.signed_measure.mutually_singular_singular_part MeasureTheory.SignedMeasure.mutuallySingular_singularPart
end
/-- The Radon-Nikodym derivative between a signed measure and a positive measure.
`rnDeriv s μ` satisfies `μ.withDensityᵥ (s.rnDeriv μ) = s`
if and only if `s` is absolutely continuous with respect to `μ` and this fact is known as
`MeasureTheory.SignedMeasure.absolutelyContinuous_iff_withDensity_rnDeriv_eq`
and can be found in `MeasureTheory.Decomposition.RadonNikodym`. -/
def rnDeriv (s : SignedMeasure α) (μ : Measure α) : α → ℝ := fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal
#align measure_theory.signed_measure.rn_deriv MeasureTheory.SignedMeasure.rnDeriv
-- Porting note: The generated equation theorem is the form of `rnDeriv s μ x`.
theorem rnDeriv_def (s : SignedMeasure α) (μ : Measure α) : rnDeriv s μ = fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal :=
rfl
attribute [eqns rnDeriv_def] rnDeriv
variable {s t : SignedMeasure α}
@[measurability]
theorem measurable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Measurable (rnDeriv s μ) := by
rw [rnDeriv]
measurability
#align measure_theory.signed_measure.measurable_rn_deriv MeasureTheory.SignedMeasure.measurable_rnDeriv
theorem integrable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Integrable (rnDeriv s μ) μ := by
refine' Integrable.sub _ _ <;>
· constructor
· apply Measurable.aestronglyMeasurable; measurability
exact hasFiniteIntegral_toReal_of_lintegral_ne_top (lintegral_rnDeriv_lt_top _ μ).ne
#align measure_theory.signed_measure.integrable_rn_deriv MeasureTheory.SignedMeasure.integrable_rnDeriv
variable (s μ)
/-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
first
| exact (lintegral_rnDeriv_lt_top _ _).ne
| measurability
#align measure_theory.signed_measure.singular_part_add_with_density_rn_deriv_eq MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq
variable {s μ}
theorem jordanDecomposition_add_withDensity_mutuallySingular {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) :
(t.toJordanDecomposition.posPart + μ.withDensity fun x : α => ENNReal.ofReal (f x)) ⟂ₘ
t.toJordanDecomposition.negPart + μ.withDensity fun x : α => ENNReal.ofReal (-f x) := by
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
exact
((JordanDecomposition.mutuallySingular _).add_right
(htμ.1.mono_ac (refl _) (withDensity_absolutelyContinuous _ _))).add_left
((htμ.2.symm.mono_ac (withDensity_absolutelyContinuous _ _) (refl _)).add_right
(withDensity_ofReal_mutuallySingular hf))
#align measure_theory.signed_measure.jordan_decomposition_add_with_density_mutually_singular MeasureTheory.SignedMeasure.jordanDecomposition_add_withDensity_mutuallySingular
theorem toJordanDecomposition_eq_of_eq_add_withDensity {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.toJordanDecomposition =
@JordanDecomposition.mk α _
(t.toJordanDecomposition.posPart + μ.withDensity fun x => ENNReal.ofReal (f x))
(t.toJordanDecomposition.negPart + μ.withDensity fun x => ENNReal.ofReal (-f x))
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.2; infer_instance)
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2; infer_instance)
(jordanDecomposition_add_withDensity_mutuallySingular hf htμ) := by
haveI := isFiniteMeasure_withDensity_ofReal hfi.2
haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2
refine' toJordanDecomposition_eq _
simp_rw [JordanDecomposition.toSignedMeasure, hadd]
ext i hi
rw [VectorMeasure.sub_apply, toSignedMeasure_apply_measurable hi,
toSignedMeasure_apply_measurable hi, add_apply, add_apply, ENNReal.toReal_add,
ENNReal.toReal_add, add_sub_add_comm, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi, ← VectorMeasure.sub_apply,
← JordanDecomposition.toSignedMeasure, toSignedMeasure_toJordanDecomposition,
VectorMeasure.add_apply, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi,
withDensityᵥ_eq_withDensity_pos_part_sub_withDensity_neg_part hfi,
VectorMeasure.sub_apply] <;>
exact (measure_lt_top _ _).ne
#align measure_theory.signed_measure.to_jordan_decomposition_eq_of_eq_add_with_density MeasureTheory.SignedMeasure.toJordanDecomposition_eq_of_eq_add_withDensity
private theorem haveLebesgueDecomposition_mk' (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff] at htμ
change _ ⟂ₘ VectorMeasure.equivMeasure.toFun (VectorMeasure.equivMeasure.invFun μ) at htμ
rw [VectorMeasure.equivMeasure.right_inv, totalVariation_mutuallySingular_iff] at htμ
refine'
{ posPart := by
use ⟨t.toJordanDecomposition.posPart, fun x => ENNReal.ofReal (f x)⟩
refine' ⟨hf.ennreal_ofReal, htμ.1, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
negPart := by
use ⟨t.toJordanDecomposition.negPart, fun x => ENNReal.ofReal (-f x)⟩
refine' ⟨hf.neg.ennreal_ofReal, htμ.2, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd] }
theorem haveLebesgueDecomposition_mk (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
by_cases hfi : Integrable f μ
· exact haveLebesgueDecomposition_mk' μ hf hfi htμ hadd
· rw [withDensityᵥ, dif_neg hfi, add_zero] at hadd
refine' haveLebesgueDecomposition_mk' μ measurable_zero (integrable_zero _ _ μ) htμ _
rwa [withDensityᵥ_zero, add_zero]
#align measure_theory.signed_measure.have_lebesgue_decomposition_mk MeasureTheory.SignedMeasure.haveLebesgueDecomposition_mk
private theorem eq_singularPart' (t : SignedMeasure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
t = s.singularPart μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
rw [singularPart, ← t.toSignedMeasure_toJordanDecomposition,
JordanDecomposition.toSignedMeasure]
congr
· have hfpos : Measurable fun x => ENNReal.ofReal (f x) := by measurability
refine' eq_singularPart hfpos htμ.1 _
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
· have hfneg : Measurable fun x => ENNReal.ofReal (-f x) := by measurability
refine' eq_singularPart hfneg htμ.2 _
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
/-- Given a measure `μ`, signed measures `s` and `t`, and a function `f` such that `t` is
mutually singular with respect to `μ` and `s = t + μ.withDensityᵥ f`, we have
`t = singularPart s μ`, i.e. `t` is the singular part of the Lebesgue decomposition between
`s` and `μ`. -/
theorem eq_singularPart (t : SignedMeasure α) (f : α → ℝ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure)
(hadd : s = t + μ.withDensityᵥ f) : t = s.singularPart μ := by
by_cases hfi : Integrable f μ
· refine' eq_singularPart' t hfi.1.measurable_mk (hfi.congr hfi.1.ae_eq_mk) htμ _
convert hadd using 2
exact WithDensityᵥEq.congr_ae hfi.1.ae_eq_mk.symm
· rw [withDensityᵥ, dif_neg hfi, add_zero] at hadd
refine' eq_singularPart' t measurable_zero (integrable_zero _ _ μ) htμ _
rwa [withDensityᵥ_zero, add_zero]
#align measure_theory.signed_measure.eq_singular_part MeasureTheory.SignedMeasure.eq_singularPart
theorem singularPart_zero (μ : Measure α) : (0 : SignedMeasure α).singularPart μ = 0 := by
refine' (eq_singularPart 0 0 VectorMeasure.MutuallySingular.zero_left _).symm
rw [zero_add, withDensityᵥ_zero]
#align measure_theory.signed_measure.singular_part_zero MeasureTheory.SignedMeasure.singularPart_zero
theorem singularPart_neg (s : SignedMeasure α) (μ : Measure α) :
(-s).singularPart μ = -s.singularPart μ := by
have h₁ :
((-s).toJordanDecomposition.posPart.singularPart μ).toSignedMeasure =
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure := by
refine' toSignedMeasure_congr _
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
have h₂ :
((-s).toJordanDecomposition.negPart.singularPart μ).toSignedMeasure =
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure := by
refine' toSignedMeasure_congr _
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
rw [singularPart, singularPart, neg_sub, h₁, h₂]
#align measure_theory.signed_measure.singular_part_neg MeasureTheory.SignedMeasure.singularPart_neg
theorem singularPart_smul_nnreal (s : SignedMeasure α) (μ : Measure α) (r : ℝ≥0) :
(r • s).singularPart μ = r • s.singularPart μ := by
rw [singularPart, singularPart, smul_sub, ← toSignedMeasure_smul, ← toSignedMeasure_smul]
conv_lhs =>
congr
· congr
· | rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart, singularPart_smul] | theorem singularPart_smul_nnreal (s : SignedMeasure α) (μ : Measure α) (r : ℝ≥0) :
(r • s).singularPart μ = r • s.singularPart μ := by
rw [singularPart, singularPart, smul_sub, ← toSignedMeasure_smul, ← toSignedMeasure_smul]
conv_lhs =>
congr
· congr
· | Mathlib.MeasureTheory.Decomposition.SignedLebesgue.352_0.HPGboz0rhL6sBes | theorem singularPart_smul_nnreal (s : SignedMeasure α) (μ : Measure α) (r : ℝ≥0) :
(r • s).singularPart μ = r • s.singularPart μ | Mathlib_MeasureTheory_Decomposition_SignedLebesgue |
case a
α : Type u_1
β : Type u_2
m : MeasurableSpace α
μ✝ ν : Measure α
s✝ t s : SignedMeasure α
μ : Measure α
r : ℝ≥0
| toSignedMeasure (Measure.singularPart (toJordanDecomposition (r • s)).negPart μ) | /-
Copyright (c) 2021 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.MeasureTheory.Decomposition.Lebesgue
import Mathlib.MeasureTheory.Measure.Complex
/-!
# Lebesgue decomposition
This file proves the Lebesgue decomposition theorem for signed measures. The Lebesgue decomposition
theorem states that, given two σ-finite measures `μ` and `ν`, there exists a σ-finite measure `ξ`
and a measurable function `f` such that `μ = ξ + fν` and `ξ` is mutually singular with respect
to `ν`.
## Main definitions
* `MeasureTheory.SignedMeasure.HaveLebesgueDecomposition` : A signed measure `s` and a
measure `μ` is said to `HaveLebesgueDecomposition` if both the positive part and negative
part of `s` `HaveLebesgueDecomposition` with respect to `μ`.
* `MeasureTheory.SignedMeasure.singularPart` : The singular part between a signed measure `s`
and a measure `μ` is simply the singular part of the positive part of `s` with respect to `μ`
minus the singular part of the negative part of `s` with respect to `μ`.
* `MeasureTheory.SignedMeasure.rnDeriv` : The Radon-Nikodym derivative of a signed
measure `s` with respect to a measure `μ` is the Radon-Nikodym derivative of the positive part of
`s` with respect to `μ` minus the Radon-Nikodym derivative of the negative part of `s` with
respect to `μ`.
## Main results
* `MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq` :
the Lebesgue decomposition theorem between a signed measure and a σ-finite positive measure.
## Tags
Lebesgue decomposition theorem
-/
noncomputable section
open scoped Classical MeasureTheory NNReal ENNReal
open Set
variable {α β : Type*} {m : MeasurableSpace α} {μ ν : MeasureTheory.Measure α}
namespace MeasureTheory
namespace SignedMeasure
open Measure
/-- A signed measure `s` is said to `HaveLebesgueDecomposition` with respect to a measure `μ`
if the positive part and the negative part of `s` both `HaveLebesgueDecomposition` with
respect to `μ`. -/
class HaveLebesgueDecomposition (s : SignedMeasure α) (μ : Measure α) : Prop where
posPart : s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ
negPart : s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ
#align measure_theory.signed_measure.have_lebesgue_decomposition MeasureTheory.SignedMeasure.HaveLebesgueDecomposition
#align measure_theory.signed_measure.have_lebesgue_decomposition.pos_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.posPart
#align measure_theory.signed_measure.have_lebesgue_decomposition.neg_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.negPart
attribute [instance] HaveLebesgueDecomposition.posPart
attribute [instance] HaveLebesgueDecomposition.negPart
theorem not_haveLebesgueDecomposition_iff (s : SignedMeasure α) (μ : Measure α) :
¬s.HaveLebesgueDecomposition μ ↔
¬s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ ∨
¬s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ :=
⟨fun h => not_or_of_imp fun hp hn => h ⟨hp, hn⟩, fun h hl => (not_and_or.2 h) ⟨hl.1, hl.2⟩⟩
#align measure_theory.signed_measure.not_have_lebesgue_decomposition_iff MeasureTheory.SignedMeasure.not_haveLebesgueDecomposition_iff
-- `infer_instance` directly does not work
-- see Note [lower instance priority]
instance (priority := 100) haveLebesgueDecomposition_of_sigmaFinite (s : SignedMeasure α)
(μ : Measure α) [SigmaFinite μ] : s.HaveLebesgueDecomposition μ where
posPart := inferInstance
negPart := inferInstance
#align measure_theory.signed_measure.have_lebesgue_decomposition_of_sigma_finite MeasureTheory.SignedMeasure.haveLebesgueDecomposition_of_sigmaFinite
instance haveLebesgueDecomposition_neg (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] : (-s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_neg MeasureTheory.SignedMeasure.haveLebesgueDecomposition_neg
instance haveLebesgueDecomposition_smul (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ≥0) : (r • s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul
instance haveLebesgueDecomposition_smul_real (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ) : (r • s).HaveLebesgueDecomposition μ := by
by_cases hr : 0 ≤ r
· lift r to ℝ≥0 using hr
exact s.haveLebesgueDecomposition_smul μ _
· rw [not_le] at hr
refine'
{ posPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_posPart_neg _ _ hr]
infer_instance
negPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_negPart_neg _ _ hr]
infer_instance }
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul_real MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul_real
/-- Given a signed measure `s` and a measure `μ`, `s.singularPart μ` is the signed measure
such that `s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s` and
`s.singularPart μ` is mutually singular with respect to `μ`. -/
def singularPart (s : SignedMeasure α) (μ : Measure α) : SignedMeasure α :=
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure -
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure
#align measure_theory.signed_measure.singular_part MeasureTheory.SignedMeasure.singularPart
section
theorem singularPart_mutuallySingular (s : SignedMeasure α) (μ : Measure α) :
s.toJordanDecomposition.posPart.singularPart μ ⟂ₘ
s.toJordanDecomposition.negPart.singularPart μ := by
by_cases hl : s.HaveLebesgueDecomposition μ
· obtain ⟨i, hi, hpos, hneg⟩ := s.toJordanDecomposition.mutuallySingular
rw [s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ] at hpos
rw [s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ] at hneg
rw [add_apply, add_eq_zero_iff] at hpos hneg
exact ⟨i, hi, hpos.1, hneg.1⟩
· rw [not_haveLebesgueDecomposition_iff] at hl
cases' hl with hp hn
· rw [Measure.singularPart, dif_neg hp]
exact MutuallySingular.zero_left
· rw [Measure.singularPart, Measure.singularPart, dif_neg hn]
exact MutuallySingular.zero_right
#align measure_theory.signed_measure.singular_part_mutually_singular MeasureTheory.SignedMeasure.singularPart_mutuallySingular
theorem singularPart_totalVariation (s : SignedMeasure α) (μ : Measure α) :
(s.singularPart μ).totalVariation =
s.toJordanDecomposition.posPart.singularPart μ +
s.toJordanDecomposition.negPart.singularPart μ := by
have :
(s.singularPart μ).toJordanDecomposition =
⟨s.toJordanDecomposition.posPart.singularPart μ,
s.toJordanDecomposition.negPart.singularPart μ, singularPart_mutuallySingular s μ⟩ := by
refine' JordanDecomposition.toSignedMeasure_injective _
rw [toSignedMeasure_toJordanDecomposition, singularPart, JordanDecomposition.toSignedMeasure]
· rw [totalVariation, this]
#align measure_theory.signed_measure.singular_part_total_variation MeasureTheory.SignedMeasure.singularPart_totalVariation
nonrec theorem mutuallySingular_singularPart (s : SignedMeasure α) (μ : Measure α) :
singularPart s μ ⟂ᵥ μ.toENNRealVectorMeasure := by
rw [mutuallySingular_ennreal_iff, singularPart_totalVariation,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure]
exact (mutuallySingular_singularPart _ _).add_left (mutuallySingular_singularPart _ _)
#align measure_theory.signed_measure.mutually_singular_singular_part MeasureTheory.SignedMeasure.mutuallySingular_singularPart
end
/-- The Radon-Nikodym derivative between a signed measure and a positive measure.
`rnDeriv s μ` satisfies `μ.withDensityᵥ (s.rnDeriv μ) = s`
if and only if `s` is absolutely continuous with respect to `μ` and this fact is known as
`MeasureTheory.SignedMeasure.absolutelyContinuous_iff_withDensity_rnDeriv_eq`
and can be found in `MeasureTheory.Decomposition.RadonNikodym`. -/
def rnDeriv (s : SignedMeasure α) (μ : Measure α) : α → ℝ := fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal
#align measure_theory.signed_measure.rn_deriv MeasureTheory.SignedMeasure.rnDeriv
-- Porting note: The generated equation theorem is the form of `rnDeriv s μ x`.
theorem rnDeriv_def (s : SignedMeasure α) (μ : Measure α) : rnDeriv s μ = fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal :=
rfl
attribute [eqns rnDeriv_def] rnDeriv
variable {s t : SignedMeasure α}
@[measurability]
theorem measurable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Measurable (rnDeriv s μ) := by
rw [rnDeriv]
measurability
#align measure_theory.signed_measure.measurable_rn_deriv MeasureTheory.SignedMeasure.measurable_rnDeriv
theorem integrable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Integrable (rnDeriv s μ) μ := by
refine' Integrable.sub _ _ <;>
· constructor
· apply Measurable.aestronglyMeasurable; measurability
exact hasFiniteIntegral_toReal_of_lintegral_ne_top (lintegral_rnDeriv_lt_top _ μ).ne
#align measure_theory.signed_measure.integrable_rn_deriv MeasureTheory.SignedMeasure.integrable_rnDeriv
variable (s μ)
/-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
first
| exact (lintegral_rnDeriv_lt_top _ _).ne
| measurability
#align measure_theory.signed_measure.singular_part_add_with_density_rn_deriv_eq MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq
variable {s μ}
theorem jordanDecomposition_add_withDensity_mutuallySingular {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) :
(t.toJordanDecomposition.posPart + μ.withDensity fun x : α => ENNReal.ofReal (f x)) ⟂ₘ
t.toJordanDecomposition.negPart + μ.withDensity fun x : α => ENNReal.ofReal (-f x) := by
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
exact
((JordanDecomposition.mutuallySingular _).add_right
(htμ.1.mono_ac (refl _) (withDensity_absolutelyContinuous _ _))).add_left
((htμ.2.symm.mono_ac (withDensity_absolutelyContinuous _ _) (refl _)).add_right
(withDensity_ofReal_mutuallySingular hf))
#align measure_theory.signed_measure.jordan_decomposition_add_with_density_mutually_singular MeasureTheory.SignedMeasure.jordanDecomposition_add_withDensity_mutuallySingular
theorem toJordanDecomposition_eq_of_eq_add_withDensity {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.toJordanDecomposition =
@JordanDecomposition.mk α _
(t.toJordanDecomposition.posPart + μ.withDensity fun x => ENNReal.ofReal (f x))
(t.toJordanDecomposition.negPart + μ.withDensity fun x => ENNReal.ofReal (-f x))
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.2; infer_instance)
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2; infer_instance)
(jordanDecomposition_add_withDensity_mutuallySingular hf htμ) := by
haveI := isFiniteMeasure_withDensity_ofReal hfi.2
haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2
refine' toJordanDecomposition_eq _
simp_rw [JordanDecomposition.toSignedMeasure, hadd]
ext i hi
rw [VectorMeasure.sub_apply, toSignedMeasure_apply_measurable hi,
toSignedMeasure_apply_measurable hi, add_apply, add_apply, ENNReal.toReal_add,
ENNReal.toReal_add, add_sub_add_comm, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi, ← VectorMeasure.sub_apply,
← JordanDecomposition.toSignedMeasure, toSignedMeasure_toJordanDecomposition,
VectorMeasure.add_apply, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi,
withDensityᵥ_eq_withDensity_pos_part_sub_withDensity_neg_part hfi,
VectorMeasure.sub_apply] <;>
exact (measure_lt_top _ _).ne
#align measure_theory.signed_measure.to_jordan_decomposition_eq_of_eq_add_with_density MeasureTheory.SignedMeasure.toJordanDecomposition_eq_of_eq_add_withDensity
private theorem haveLebesgueDecomposition_mk' (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff] at htμ
change _ ⟂ₘ VectorMeasure.equivMeasure.toFun (VectorMeasure.equivMeasure.invFun μ) at htμ
rw [VectorMeasure.equivMeasure.right_inv, totalVariation_mutuallySingular_iff] at htμ
refine'
{ posPart := by
use ⟨t.toJordanDecomposition.posPart, fun x => ENNReal.ofReal (f x)⟩
refine' ⟨hf.ennreal_ofReal, htμ.1, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
negPart := by
use ⟨t.toJordanDecomposition.negPart, fun x => ENNReal.ofReal (-f x)⟩
refine' ⟨hf.neg.ennreal_ofReal, htμ.2, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd] }
theorem haveLebesgueDecomposition_mk (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
by_cases hfi : Integrable f μ
· exact haveLebesgueDecomposition_mk' μ hf hfi htμ hadd
· rw [withDensityᵥ, dif_neg hfi, add_zero] at hadd
refine' haveLebesgueDecomposition_mk' μ measurable_zero (integrable_zero _ _ μ) htμ _
rwa [withDensityᵥ_zero, add_zero]
#align measure_theory.signed_measure.have_lebesgue_decomposition_mk MeasureTheory.SignedMeasure.haveLebesgueDecomposition_mk
private theorem eq_singularPart' (t : SignedMeasure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
t = s.singularPart μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
rw [singularPart, ← t.toSignedMeasure_toJordanDecomposition,
JordanDecomposition.toSignedMeasure]
congr
· have hfpos : Measurable fun x => ENNReal.ofReal (f x) := by measurability
refine' eq_singularPart hfpos htμ.1 _
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
· have hfneg : Measurable fun x => ENNReal.ofReal (-f x) := by measurability
refine' eq_singularPart hfneg htμ.2 _
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
/-- Given a measure `μ`, signed measures `s` and `t`, and a function `f` such that `t` is
mutually singular with respect to `μ` and `s = t + μ.withDensityᵥ f`, we have
`t = singularPart s μ`, i.e. `t` is the singular part of the Lebesgue decomposition between
`s` and `μ`. -/
theorem eq_singularPart (t : SignedMeasure α) (f : α → ℝ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure)
(hadd : s = t + μ.withDensityᵥ f) : t = s.singularPart μ := by
by_cases hfi : Integrable f μ
· refine' eq_singularPart' t hfi.1.measurable_mk (hfi.congr hfi.1.ae_eq_mk) htμ _
convert hadd using 2
exact WithDensityᵥEq.congr_ae hfi.1.ae_eq_mk.symm
· rw [withDensityᵥ, dif_neg hfi, add_zero] at hadd
refine' eq_singularPart' t measurable_zero (integrable_zero _ _ μ) htμ _
rwa [withDensityᵥ_zero, add_zero]
#align measure_theory.signed_measure.eq_singular_part MeasureTheory.SignedMeasure.eq_singularPart
theorem singularPart_zero (μ : Measure α) : (0 : SignedMeasure α).singularPart μ = 0 := by
refine' (eq_singularPart 0 0 VectorMeasure.MutuallySingular.zero_left _).symm
rw [zero_add, withDensityᵥ_zero]
#align measure_theory.signed_measure.singular_part_zero MeasureTheory.SignedMeasure.singularPart_zero
theorem singularPart_neg (s : SignedMeasure α) (μ : Measure α) :
(-s).singularPart μ = -s.singularPart μ := by
have h₁ :
((-s).toJordanDecomposition.posPart.singularPart μ).toSignedMeasure =
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure := by
refine' toSignedMeasure_congr _
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
have h₂ :
((-s).toJordanDecomposition.negPart.singularPart μ).toSignedMeasure =
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure := by
refine' toSignedMeasure_congr _
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
rw [singularPart, singularPart, neg_sub, h₁, h₂]
#align measure_theory.signed_measure.singular_part_neg MeasureTheory.SignedMeasure.singularPart_neg
theorem singularPart_smul_nnreal (s : SignedMeasure α) (μ : Measure α) (r : ℝ≥0) :
(r • s).singularPart μ = r • s.singularPart μ := by
rw [singularPart, singularPart, smul_sub, ← toSignedMeasure_smul, ← toSignedMeasure_smul]
conv_lhs =>
congr
· congr
· rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart, singularPart_smul]
| · congr
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart, singularPart_smul] | theorem singularPart_smul_nnreal (s : SignedMeasure α) (μ : Measure α) (r : ℝ≥0) :
(r • s).singularPart μ = r • s.singularPart μ := by
rw [singularPart, singularPart, smul_sub, ← toSignedMeasure_smul, ← toSignedMeasure_smul]
conv_lhs =>
congr
· congr
· rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart, singularPart_smul]
| Mathlib.MeasureTheory.Decomposition.SignedLebesgue.352_0.HPGboz0rhL6sBes | theorem singularPart_smul_nnreal (s : SignedMeasure α) (μ : Measure α) (r : ℝ≥0) :
(r • s).singularPart μ = r • s.singularPart μ | Mathlib_MeasureTheory_Decomposition_SignedLebesgue |
case a
α : Type u_1
β : Type u_2
m : MeasurableSpace α
μ✝ ν : Measure α
s✝ t s : SignedMeasure α
μ : Measure α
r : ℝ≥0
| toSignedMeasure (Measure.singularPart (toJordanDecomposition (r • s)).negPart μ) | /-
Copyright (c) 2021 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.MeasureTheory.Decomposition.Lebesgue
import Mathlib.MeasureTheory.Measure.Complex
/-!
# Lebesgue decomposition
This file proves the Lebesgue decomposition theorem for signed measures. The Lebesgue decomposition
theorem states that, given two σ-finite measures `μ` and `ν`, there exists a σ-finite measure `ξ`
and a measurable function `f` such that `μ = ξ + fν` and `ξ` is mutually singular with respect
to `ν`.
## Main definitions
* `MeasureTheory.SignedMeasure.HaveLebesgueDecomposition` : A signed measure `s` and a
measure `μ` is said to `HaveLebesgueDecomposition` if both the positive part and negative
part of `s` `HaveLebesgueDecomposition` with respect to `μ`.
* `MeasureTheory.SignedMeasure.singularPart` : The singular part between a signed measure `s`
and a measure `μ` is simply the singular part of the positive part of `s` with respect to `μ`
minus the singular part of the negative part of `s` with respect to `μ`.
* `MeasureTheory.SignedMeasure.rnDeriv` : The Radon-Nikodym derivative of a signed
measure `s` with respect to a measure `μ` is the Radon-Nikodym derivative of the positive part of
`s` with respect to `μ` minus the Radon-Nikodym derivative of the negative part of `s` with
respect to `μ`.
## Main results
* `MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq` :
the Lebesgue decomposition theorem between a signed measure and a σ-finite positive measure.
## Tags
Lebesgue decomposition theorem
-/
noncomputable section
open scoped Classical MeasureTheory NNReal ENNReal
open Set
variable {α β : Type*} {m : MeasurableSpace α} {μ ν : MeasureTheory.Measure α}
namespace MeasureTheory
namespace SignedMeasure
open Measure
/-- A signed measure `s` is said to `HaveLebesgueDecomposition` with respect to a measure `μ`
if the positive part and the negative part of `s` both `HaveLebesgueDecomposition` with
respect to `μ`. -/
class HaveLebesgueDecomposition (s : SignedMeasure α) (μ : Measure α) : Prop where
posPart : s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ
negPart : s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ
#align measure_theory.signed_measure.have_lebesgue_decomposition MeasureTheory.SignedMeasure.HaveLebesgueDecomposition
#align measure_theory.signed_measure.have_lebesgue_decomposition.pos_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.posPart
#align measure_theory.signed_measure.have_lebesgue_decomposition.neg_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.negPart
attribute [instance] HaveLebesgueDecomposition.posPart
attribute [instance] HaveLebesgueDecomposition.negPart
theorem not_haveLebesgueDecomposition_iff (s : SignedMeasure α) (μ : Measure α) :
¬s.HaveLebesgueDecomposition μ ↔
¬s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ ∨
¬s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ :=
⟨fun h => not_or_of_imp fun hp hn => h ⟨hp, hn⟩, fun h hl => (not_and_or.2 h) ⟨hl.1, hl.2⟩⟩
#align measure_theory.signed_measure.not_have_lebesgue_decomposition_iff MeasureTheory.SignedMeasure.not_haveLebesgueDecomposition_iff
-- `infer_instance` directly does not work
-- see Note [lower instance priority]
instance (priority := 100) haveLebesgueDecomposition_of_sigmaFinite (s : SignedMeasure α)
(μ : Measure α) [SigmaFinite μ] : s.HaveLebesgueDecomposition μ where
posPart := inferInstance
negPart := inferInstance
#align measure_theory.signed_measure.have_lebesgue_decomposition_of_sigma_finite MeasureTheory.SignedMeasure.haveLebesgueDecomposition_of_sigmaFinite
instance haveLebesgueDecomposition_neg (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] : (-s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_neg MeasureTheory.SignedMeasure.haveLebesgueDecomposition_neg
instance haveLebesgueDecomposition_smul (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ≥0) : (r • s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul
instance haveLebesgueDecomposition_smul_real (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ) : (r • s).HaveLebesgueDecomposition μ := by
by_cases hr : 0 ≤ r
· lift r to ℝ≥0 using hr
exact s.haveLebesgueDecomposition_smul μ _
· rw [not_le] at hr
refine'
{ posPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_posPart_neg _ _ hr]
infer_instance
negPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_negPart_neg _ _ hr]
infer_instance }
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul_real MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul_real
/-- Given a signed measure `s` and a measure `μ`, `s.singularPart μ` is the signed measure
such that `s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s` and
`s.singularPart μ` is mutually singular with respect to `μ`. -/
def singularPart (s : SignedMeasure α) (μ : Measure α) : SignedMeasure α :=
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure -
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure
#align measure_theory.signed_measure.singular_part MeasureTheory.SignedMeasure.singularPart
section
theorem singularPart_mutuallySingular (s : SignedMeasure α) (μ : Measure α) :
s.toJordanDecomposition.posPart.singularPart μ ⟂ₘ
s.toJordanDecomposition.negPart.singularPart μ := by
by_cases hl : s.HaveLebesgueDecomposition μ
· obtain ⟨i, hi, hpos, hneg⟩ := s.toJordanDecomposition.mutuallySingular
rw [s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ] at hpos
rw [s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ] at hneg
rw [add_apply, add_eq_zero_iff] at hpos hneg
exact ⟨i, hi, hpos.1, hneg.1⟩
· rw [not_haveLebesgueDecomposition_iff] at hl
cases' hl with hp hn
· rw [Measure.singularPart, dif_neg hp]
exact MutuallySingular.zero_left
· rw [Measure.singularPart, Measure.singularPart, dif_neg hn]
exact MutuallySingular.zero_right
#align measure_theory.signed_measure.singular_part_mutually_singular MeasureTheory.SignedMeasure.singularPart_mutuallySingular
theorem singularPart_totalVariation (s : SignedMeasure α) (μ : Measure α) :
(s.singularPart μ).totalVariation =
s.toJordanDecomposition.posPart.singularPart μ +
s.toJordanDecomposition.negPart.singularPart μ := by
have :
(s.singularPart μ).toJordanDecomposition =
⟨s.toJordanDecomposition.posPart.singularPart μ,
s.toJordanDecomposition.negPart.singularPart μ, singularPart_mutuallySingular s μ⟩ := by
refine' JordanDecomposition.toSignedMeasure_injective _
rw [toSignedMeasure_toJordanDecomposition, singularPart, JordanDecomposition.toSignedMeasure]
· rw [totalVariation, this]
#align measure_theory.signed_measure.singular_part_total_variation MeasureTheory.SignedMeasure.singularPart_totalVariation
nonrec theorem mutuallySingular_singularPart (s : SignedMeasure α) (μ : Measure α) :
singularPart s μ ⟂ᵥ μ.toENNRealVectorMeasure := by
rw [mutuallySingular_ennreal_iff, singularPart_totalVariation,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure]
exact (mutuallySingular_singularPart _ _).add_left (mutuallySingular_singularPart _ _)
#align measure_theory.signed_measure.mutually_singular_singular_part MeasureTheory.SignedMeasure.mutuallySingular_singularPart
end
/-- The Radon-Nikodym derivative between a signed measure and a positive measure.
`rnDeriv s μ` satisfies `μ.withDensityᵥ (s.rnDeriv μ) = s`
if and only if `s` is absolutely continuous with respect to `μ` and this fact is known as
`MeasureTheory.SignedMeasure.absolutelyContinuous_iff_withDensity_rnDeriv_eq`
and can be found in `MeasureTheory.Decomposition.RadonNikodym`. -/
def rnDeriv (s : SignedMeasure α) (μ : Measure α) : α → ℝ := fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal
#align measure_theory.signed_measure.rn_deriv MeasureTheory.SignedMeasure.rnDeriv
-- Porting note: The generated equation theorem is the form of `rnDeriv s μ x`.
theorem rnDeriv_def (s : SignedMeasure α) (μ : Measure α) : rnDeriv s μ = fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal :=
rfl
attribute [eqns rnDeriv_def] rnDeriv
variable {s t : SignedMeasure α}
@[measurability]
theorem measurable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Measurable (rnDeriv s μ) := by
rw [rnDeriv]
measurability
#align measure_theory.signed_measure.measurable_rn_deriv MeasureTheory.SignedMeasure.measurable_rnDeriv
theorem integrable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Integrable (rnDeriv s μ) μ := by
refine' Integrable.sub _ _ <;>
· constructor
· apply Measurable.aestronglyMeasurable; measurability
exact hasFiniteIntegral_toReal_of_lintegral_ne_top (lintegral_rnDeriv_lt_top _ μ).ne
#align measure_theory.signed_measure.integrable_rn_deriv MeasureTheory.SignedMeasure.integrable_rnDeriv
variable (s μ)
/-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
first
| exact (lintegral_rnDeriv_lt_top _ _).ne
| measurability
#align measure_theory.signed_measure.singular_part_add_with_density_rn_deriv_eq MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq
variable {s μ}
theorem jordanDecomposition_add_withDensity_mutuallySingular {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) :
(t.toJordanDecomposition.posPart + μ.withDensity fun x : α => ENNReal.ofReal (f x)) ⟂ₘ
t.toJordanDecomposition.negPart + μ.withDensity fun x : α => ENNReal.ofReal (-f x) := by
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
exact
((JordanDecomposition.mutuallySingular _).add_right
(htμ.1.mono_ac (refl _) (withDensity_absolutelyContinuous _ _))).add_left
((htμ.2.symm.mono_ac (withDensity_absolutelyContinuous _ _) (refl _)).add_right
(withDensity_ofReal_mutuallySingular hf))
#align measure_theory.signed_measure.jordan_decomposition_add_with_density_mutually_singular MeasureTheory.SignedMeasure.jordanDecomposition_add_withDensity_mutuallySingular
theorem toJordanDecomposition_eq_of_eq_add_withDensity {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.toJordanDecomposition =
@JordanDecomposition.mk α _
(t.toJordanDecomposition.posPart + μ.withDensity fun x => ENNReal.ofReal (f x))
(t.toJordanDecomposition.negPart + μ.withDensity fun x => ENNReal.ofReal (-f x))
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.2; infer_instance)
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2; infer_instance)
(jordanDecomposition_add_withDensity_mutuallySingular hf htμ) := by
haveI := isFiniteMeasure_withDensity_ofReal hfi.2
haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2
refine' toJordanDecomposition_eq _
simp_rw [JordanDecomposition.toSignedMeasure, hadd]
ext i hi
rw [VectorMeasure.sub_apply, toSignedMeasure_apply_measurable hi,
toSignedMeasure_apply_measurable hi, add_apply, add_apply, ENNReal.toReal_add,
ENNReal.toReal_add, add_sub_add_comm, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi, ← VectorMeasure.sub_apply,
← JordanDecomposition.toSignedMeasure, toSignedMeasure_toJordanDecomposition,
VectorMeasure.add_apply, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi,
withDensityᵥ_eq_withDensity_pos_part_sub_withDensity_neg_part hfi,
VectorMeasure.sub_apply] <;>
exact (measure_lt_top _ _).ne
#align measure_theory.signed_measure.to_jordan_decomposition_eq_of_eq_add_with_density MeasureTheory.SignedMeasure.toJordanDecomposition_eq_of_eq_add_withDensity
private theorem haveLebesgueDecomposition_mk' (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff] at htμ
change _ ⟂ₘ VectorMeasure.equivMeasure.toFun (VectorMeasure.equivMeasure.invFun μ) at htμ
rw [VectorMeasure.equivMeasure.right_inv, totalVariation_mutuallySingular_iff] at htμ
refine'
{ posPart := by
use ⟨t.toJordanDecomposition.posPart, fun x => ENNReal.ofReal (f x)⟩
refine' ⟨hf.ennreal_ofReal, htμ.1, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
negPart := by
use ⟨t.toJordanDecomposition.negPart, fun x => ENNReal.ofReal (-f x)⟩
refine' ⟨hf.neg.ennreal_ofReal, htμ.2, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd] }
theorem haveLebesgueDecomposition_mk (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
by_cases hfi : Integrable f μ
· exact haveLebesgueDecomposition_mk' μ hf hfi htμ hadd
· rw [withDensityᵥ, dif_neg hfi, add_zero] at hadd
refine' haveLebesgueDecomposition_mk' μ measurable_zero (integrable_zero _ _ μ) htμ _
rwa [withDensityᵥ_zero, add_zero]
#align measure_theory.signed_measure.have_lebesgue_decomposition_mk MeasureTheory.SignedMeasure.haveLebesgueDecomposition_mk
private theorem eq_singularPart' (t : SignedMeasure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
t = s.singularPart μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
rw [singularPart, ← t.toSignedMeasure_toJordanDecomposition,
JordanDecomposition.toSignedMeasure]
congr
· have hfpos : Measurable fun x => ENNReal.ofReal (f x) := by measurability
refine' eq_singularPart hfpos htμ.1 _
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
· have hfneg : Measurable fun x => ENNReal.ofReal (-f x) := by measurability
refine' eq_singularPart hfneg htμ.2 _
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
/-- Given a measure `μ`, signed measures `s` and `t`, and a function `f` such that `t` is
mutually singular with respect to `μ` and `s = t + μ.withDensityᵥ f`, we have
`t = singularPart s μ`, i.e. `t` is the singular part of the Lebesgue decomposition between
`s` and `μ`. -/
theorem eq_singularPart (t : SignedMeasure α) (f : α → ℝ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure)
(hadd : s = t + μ.withDensityᵥ f) : t = s.singularPart μ := by
by_cases hfi : Integrable f μ
· refine' eq_singularPart' t hfi.1.measurable_mk (hfi.congr hfi.1.ae_eq_mk) htμ _
convert hadd using 2
exact WithDensityᵥEq.congr_ae hfi.1.ae_eq_mk.symm
· rw [withDensityᵥ, dif_neg hfi, add_zero] at hadd
refine' eq_singularPart' t measurable_zero (integrable_zero _ _ μ) htμ _
rwa [withDensityᵥ_zero, add_zero]
#align measure_theory.signed_measure.eq_singular_part MeasureTheory.SignedMeasure.eq_singularPart
theorem singularPart_zero (μ : Measure α) : (0 : SignedMeasure α).singularPart μ = 0 := by
refine' (eq_singularPart 0 0 VectorMeasure.MutuallySingular.zero_left _).symm
rw [zero_add, withDensityᵥ_zero]
#align measure_theory.signed_measure.singular_part_zero MeasureTheory.SignedMeasure.singularPart_zero
theorem singularPart_neg (s : SignedMeasure α) (μ : Measure α) :
(-s).singularPart μ = -s.singularPart μ := by
have h₁ :
((-s).toJordanDecomposition.posPart.singularPart μ).toSignedMeasure =
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure := by
refine' toSignedMeasure_congr _
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
have h₂ :
((-s).toJordanDecomposition.negPart.singularPart μ).toSignedMeasure =
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure := by
refine' toSignedMeasure_congr _
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
rw [singularPart, singularPart, neg_sub, h₁, h₂]
#align measure_theory.signed_measure.singular_part_neg MeasureTheory.SignedMeasure.singularPart_neg
theorem singularPart_smul_nnreal (s : SignedMeasure α) (μ : Measure α) (r : ℝ≥0) :
(r • s).singularPart μ = r • s.singularPart μ := by
rw [singularPart, singularPart, smul_sub, ← toSignedMeasure_smul, ← toSignedMeasure_smul]
conv_lhs =>
congr
· congr
· rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart, singularPart_smul]
· | congr
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart, singularPart_smul] | theorem singularPart_smul_nnreal (s : SignedMeasure α) (μ : Measure α) (r : ℝ≥0) :
(r • s).singularPart μ = r • s.singularPart μ := by
rw [singularPart, singularPart, smul_sub, ← toSignedMeasure_smul, ← toSignedMeasure_smul]
conv_lhs =>
congr
· congr
· rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart, singularPart_smul]
· | Mathlib.MeasureTheory.Decomposition.SignedLebesgue.352_0.HPGboz0rhL6sBes | theorem singularPart_smul_nnreal (s : SignedMeasure α) (μ : Measure α) (r : ℝ≥0) :
(r • s).singularPart μ = r • s.singularPart μ | Mathlib_MeasureTheory_Decomposition_SignedLebesgue |
case a
α : Type u_1
β : Type u_2
m : MeasurableSpace α
μ✝ ν : Measure α
s✝ t s : SignedMeasure α
μ : Measure α
r : ℝ≥0
| toSignedMeasure (Measure.singularPart (toJordanDecomposition (r • s)).negPart μ) | /-
Copyright (c) 2021 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.MeasureTheory.Decomposition.Lebesgue
import Mathlib.MeasureTheory.Measure.Complex
/-!
# Lebesgue decomposition
This file proves the Lebesgue decomposition theorem for signed measures. The Lebesgue decomposition
theorem states that, given two σ-finite measures `μ` and `ν`, there exists a σ-finite measure `ξ`
and a measurable function `f` such that `μ = ξ + fν` and `ξ` is mutually singular with respect
to `ν`.
## Main definitions
* `MeasureTheory.SignedMeasure.HaveLebesgueDecomposition` : A signed measure `s` and a
measure `μ` is said to `HaveLebesgueDecomposition` if both the positive part and negative
part of `s` `HaveLebesgueDecomposition` with respect to `μ`.
* `MeasureTheory.SignedMeasure.singularPart` : The singular part between a signed measure `s`
and a measure `μ` is simply the singular part of the positive part of `s` with respect to `μ`
minus the singular part of the negative part of `s` with respect to `μ`.
* `MeasureTheory.SignedMeasure.rnDeriv` : The Radon-Nikodym derivative of a signed
measure `s` with respect to a measure `μ` is the Radon-Nikodym derivative of the positive part of
`s` with respect to `μ` minus the Radon-Nikodym derivative of the negative part of `s` with
respect to `μ`.
## Main results
* `MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq` :
the Lebesgue decomposition theorem between a signed measure and a σ-finite positive measure.
## Tags
Lebesgue decomposition theorem
-/
noncomputable section
open scoped Classical MeasureTheory NNReal ENNReal
open Set
variable {α β : Type*} {m : MeasurableSpace α} {μ ν : MeasureTheory.Measure α}
namespace MeasureTheory
namespace SignedMeasure
open Measure
/-- A signed measure `s` is said to `HaveLebesgueDecomposition` with respect to a measure `μ`
if the positive part and the negative part of `s` both `HaveLebesgueDecomposition` with
respect to `μ`. -/
class HaveLebesgueDecomposition (s : SignedMeasure α) (μ : Measure α) : Prop where
posPart : s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ
negPart : s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ
#align measure_theory.signed_measure.have_lebesgue_decomposition MeasureTheory.SignedMeasure.HaveLebesgueDecomposition
#align measure_theory.signed_measure.have_lebesgue_decomposition.pos_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.posPart
#align measure_theory.signed_measure.have_lebesgue_decomposition.neg_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.negPart
attribute [instance] HaveLebesgueDecomposition.posPart
attribute [instance] HaveLebesgueDecomposition.negPart
theorem not_haveLebesgueDecomposition_iff (s : SignedMeasure α) (μ : Measure α) :
¬s.HaveLebesgueDecomposition μ ↔
¬s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ ∨
¬s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ :=
⟨fun h => not_or_of_imp fun hp hn => h ⟨hp, hn⟩, fun h hl => (not_and_or.2 h) ⟨hl.1, hl.2⟩⟩
#align measure_theory.signed_measure.not_have_lebesgue_decomposition_iff MeasureTheory.SignedMeasure.not_haveLebesgueDecomposition_iff
-- `infer_instance` directly does not work
-- see Note [lower instance priority]
instance (priority := 100) haveLebesgueDecomposition_of_sigmaFinite (s : SignedMeasure α)
(μ : Measure α) [SigmaFinite μ] : s.HaveLebesgueDecomposition μ where
posPart := inferInstance
negPart := inferInstance
#align measure_theory.signed_measure.have_lebesgue_decomposition_of_sigma_finite MeasureTheory.SignedMeasure.haveLebesgueDecomposition_of_sigmaFinite
instance haveLebesgueDecomposition_neg (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] : (-s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_neg MeasureTheory.SignedMeasure.haveLebesgueDecomposition_neg
instance haveLebesgueDecomposition_smul (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ≥0) : (r • s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul
instance haveLebesgueDecomposition_smul_real (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ) : (r • s).HaveLebesgueDecomposition μ := by
by_cases hr : 0 ≤ r
· lift r to ℝ≥0 using hr
exact s.haveLebesgueDecomposition_smul μ _
· rw [not_le] at hr
refine'
{ posPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_posPart_neg _ _ hr]
infer_instance
negPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_negPart_neg _ _ hr]
infer_instance }
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul_real MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul_real
/-- Given a signed measure `s` and a measure `μ`, `s.singularPart μ` is the signed measure
such that `s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s` and
`s.singularPart μ` is mutually singular with respect to `μ`. -/
def singularPart (s : SignedMeasure α) (μ : Measure α) : SignedMeasure α :=
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure -
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure
#align measure_theory.signed_measure.singular_part MeasureTheory.SignedMeasure.singularPart
section
theorem singularPart_mutuallySingular (s : SignedMeasure α) (μ : Measure α) :
s.toJordanDecomposition.posPart.singularPart μ ⟂ₘ
s.toJordanDecomposition.negPart.singularPart μ := by
by_cases hl : s.HaveLebesgueDecomposition μ
· obtain ⟨i, hi, hpos, hneg⟩ := s.toJordanDecomposition.mutuallySingular
rw [s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ] at hpos
rw [s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ] at hneg
rw [add_apply, add_eq_zero_iff] at hpos hneg
exact ⟨i, hi, hpos.1, hneg.1⟩
· rw [not_haveLebesgueDecomposition_iff] at hl
cases' hl with hp hn
· rw [Measure.singularPart, dif_neg hp]
exact MutuallySingular.zero_left
· rw [Measure.singularPart, Measure.singularPart, dif_neg hn]
exact MutuallySingular.zero_right
#align measure_theory.signed_measure.singular_part_mutually_singular MeasureTheory.SignedMeasure.singularPart_mutuallySingular
theorem singularPart_totalVariation (s : SignedMeasure α) (μ : Measure α) :
(s.singularPart μ).totalVariation =
s.toJordanDecomposition.posPart.singularPart μ +
s.toJordanDecomposition.negPart.singularPart μ := by
have :
(s.singularPart μ).toJordanDecomposition =
⟨s.toJordanDecomposition.posPart.singularPart μ,
s.toJordanDecomposition.negPart.singularPart μ, singularPart_mutuallySingular s μ⟩ := by
refine' JordanDecomposition.toSignedMeasure_injective _
rw [toSignedMeasure_toJordanDecomposition, singularPart, JordanDecomposition.toSignedMeasure]
· rw [totalVariation, this]
#align measure_theory.signed_measure.singular_part_total_variation MeasureTheory.SignedMeasure.singularPart_totalVariation
nonrec theorem mutuallySingular_singularPart (s : SignedMeasure α) (μ : Measure α) :
singularPart s μ ⟂ᵥ μ.toENNRealVectorMeasure := by
rw [mutuallySingular_ennreal_iff, singularPart_totalVariation,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure]
exact (mutuallySingular_singularPart _ _).add_left (mutuallySingular_singularPart _ _)
#align measure_theory.signed_measure.mutually_singular_singular_part MeasureTheory.SignedMeasure.mutuallySingular_singularPart
end
/-- The Radon-Nikodym derivative between a signed measure and a positive measure.
`rnDeriv s μ` satisfies `μ.withDensityᵥ (s.rnDeriv μ) = s`
if and only if `s` is absolutely continuous with respect to `μ` and this fact is known as
`MeasureTheory.SignedMeasure.absolutelyContinuous_iff_withDensity_rnDeriv_eq`
and can be found in `MeasureTheory.Decomposition.RadonNikodym`. -/
def rnDeriv (s : SignedMeasure α) (μ : Measure α) : α → ℝ := fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal
#align measure_theory.signed_measure.rn_deriv MeasureTheory.SignedMeasure.rnDeriv
-- Porting note: The generated equation theorem is the form of `rnDeriv s μ x`.
theorem rnDeriv_def (s : SignedMeasure α) (μ : Measure α) : rnDeriv s μ = fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal :=
rfl
attribute [eqns rnDeriv_def] rnDeriv
variable {s t : SignedMeasure α}
@[measurability]
theorem measurable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Measurable (rnDeriv s μ) := by
rw [rnDeriv]
measurability
#align measure_theory.signed_measure.measurable_rn_deriv MeasureTheory.SignedMeasure.measurable_rnDeriv
theorem integrable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Integrable (rnDeriv s μ) μ := by
refine' Integrable.sub _ _ <;>
· constructor
· apply Measurable.aestronglyMeasurable; measurability
exact hasFiniteIntegral_toReal_of_lintegral_ne_top (lintegral_rnDeriv_lt_top _ μ).ne
#align measure_theory.signed_measure.integrable_rn_deriv MeasureTheory.SignedMeasure.integrable_rnDeriv
variable (s μ)
/-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
first
| exact (lintegral_rnDeriv_lt_top _ _).ne
| measurability
#align measure_theory.signed_measure.singular_part_add_with_density_rn_deriv_eq MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq
variable {s μ}
theorem jordanDecomposition_add_withDensity_mutuallySingular {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) :
(t.toJordanDecomposition.posPart + μ.withDensity fun x : α => ENNReal.ofReal (f x)) ⟂ₘ
t.toJordanDecomposition.negPart + μ.withDensity fun x : α => ENNReal.ofReal (-f x) := by
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
exact
((JordanDecomposition.mutuallySingular _).add_right
(htμ.1.mono_ac (refl _) (withDensity_absolutelyContinuous _ _))).add_left
((htμ.2.symm.mono_ac (withDensity_absolutelyContinuous _ _) (refl _)).add_right
(withDensity_ofReal_mutuallySingular hf))
#align measure_theory.signed_measure.jordan_decomposition_add_with_density_mutually_singular MeasureTheory.SignedMeasure.jordanDecomposition_add_withDensity_mutuallySingular
theorem toJordanDecomposition_eq_of_eq_add_withDensity {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.toJordanDecomposition =
@JordanDecomposition.mk α _
(t.toJordanDecomposition.posPart + μ.withDensity fun x => ENNReal.ofReal (f x))
(t.toJordanDecomposition.negPart + μ.withDensity fun x => ENNReal.ofReal (-f x))
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.2; infer_instance)
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2; infer_instance)
(jordanDecomposition_add_withDensity_mutuallySingular hf htμ) := by
haveI := isFiniteMeasure_withDensity_ofReal hfi.2
haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2
refine' toJordanDecomposition_eq _
simp_rw [JordanDecomposition.toSignedMeasure, hadd]
ext i hi
rw [VectorMeasure.sub_apply, toSignedMeasure_apply_measurable hi,
toSignedMeasure_apply_measurable hi, add_apply, add_apply, ENNReal.toReal_add,
ENNReal.toReal_add, add_sub_add_comm, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi, ← VectorMeasure.sub_apply,
← JordanDecomposition.toSignedMeasure, toSignedMeasure_toJordanDecomposition,
VectorMeasure.add_apply, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi,
withDensityᵥ_eq_withDensity_pos_part_sub_withDensity_neg_part hfi,
VectorMeasure.sub_apply] <;>
exact (measure_lt_top _ _).ne
#align measure_theory.signed_measure.to_jordan_decomposition_eq_of_eq_add_with_density MeasureTheory.SignedMeasure.toJordanDecomposition_eq_of_eq_add_withDensity
private theorem haveLebesgueDecomposition_mk' (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff] at htμ
change _ ⟂ₘ VectorMeasure.equivMeasure.toFun (VectorMeasure.equivMeasure.invFun μ) at htμ
rw [VectorMeasure.equivMeasure.right_inv, totalVariation_mutuallySingular_iff] at htμ
refine'
{ posPart := by
use ⟨t.toJordanDecomposition.posPart, fun x => ENNReal.ofReal (f x)⟩
refine' ⟨hf.ennreal_ofReal, htμ.1, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
negPart := by
use ⟨t.toJordanDecomposition.negPart, fun x => ENNReal.ofReal (-f x)⟩
refine' ⟨hf.neg.ennreal_ofReal, htμ.2, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd] }
theorem haveLebesgueDecomposition_mk (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
by_cases hfi : Integrable f μ
· exact haveLebesgueDecomposition_mk' μ hf hfi htμ hadd
· rw [withDensityᵥ, dif_neg hfi, add_zero] at hadd
refine' haveLebesgueDecomposition_mk' μ measurable_zero (integrable_zero _ _ μ) htμ _
rwa [withDensityᵥ_zero, add_zero]
#align measure_theory.signed_measure.have_lebesgue_decomposition_mk MeasureTheory.SignedMeasure.haveLebesgueDecomposition_mk
private theorem eq_singularPart' (t : SignedMeasure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
t = s.singularPart μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
rw [singularPart, ← t.toSignedMeasure_toJordanDecomposition,
JordanDecomposition.toSignedMeasure]
congr
· have hfpos : Measurable fun x => ENNReal.ofReal (f x) := by measurability
refine' eq_singularPart hfpos htμ.1 _
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
· have hfneg : Measurable fun x => ENNReal.ofReal (-f x) := by measurability
refine' eq_singularPart hfneg htμ.2 _
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
/-- Given a measure `μ`, signed measures `s` and `t`, and a function `f` such that `t` is
mutually singular with respect to `μ` and `s = t + μ.withDensityᵥ f`, we have
`t = singularPart s μ`, i.e. `t` is the singular part of the Lebesgue decomposition between
`s` and `μ`. -/
theorem eq_singularPart (t : SignedMeasure α) (f : α → ℝ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure)
(hadd : s = t + μ.withDensityᵥ f) : t = s.singularPart μ := by
by_cases hfi : Integrable f μ
· refine' eq_singularPart' t hfi.1.measurable_mk (hfi.congr hfi.1.ae_eq_mk) htμ _
convert hadd using 2
exact WithDensityᵥEq.congr_ae hfi.1.ae_eq_mk.symm
· rw [withDensityᵥ, dif_neg hfi, add_zero] at hadd
refine' eq_singularPart' t measurable_zero (integrable_zero _ _ μ) htμ _
rwa [withDensityᵥ_zero, add_zero]
#align measure_theory.signed_measure.eq_singular_part MeasureTheory.SignedMeasure.eq_singularPart
theorem singularPart_zero (μ : Measure α) : (0 : SignedMeasure α).singularPart μ = 0 := by
refine' (eq_singularPart 0 0 VectorMeasure.MutuallySingular.zero_left _).symm
rw [zero_add, withDensityᵥ_zero]
#align measure_theory.signed_measure.singular_part_zero MeasureTheory.SignedMeasure.singularPart_zero
theorem singularPart_neg (s : SignedMeasure α) (μ : Measure α) :
(-s).singularPart μ = -s.singularPart μ := by
have h₁ :
((-s).toJordanDecomposition.posPart.singularPart μ).toSignedMeasure =
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure := by
refine' toSignedMeasure_congr _
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
have h₂ :
((-s).toJordanDecomposition.negPart.singularPart μ).toSignedMeasure =
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure := by
refine' toSignedMeasure_congr _
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
rw [singularPart, singularPart, neg_sub, h₁, h₂]
#align measure_theory.signed_measure.singular_part_neg MeasureTheory.SignedMeasure.singularPart_neg
theorem singularPart_smul_nnreal (s : SignedMeasure α) (μ : Measure α) (r : ℝ≥0) :
(r • s).singularPart μ = r • s.singularPart μ := by
rw [singularPart, singularPart, smul_sub, ← toSignedMeasure_smul, ← toSignedMeasure_smul]
conv_lhs =>
congr
· congr
· rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart, singularPart_smul]
· | congr
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart, singularPart_smul] | theorem singularPart_smul_nnreal (s : SignedMeasure α) (μ : Measure α) (r : ℝ≥0) :
(r • s).singularPart μ = r • s.singularPart μ := by
rw [singularPart, singularPart, smul_sub, ← toSignedMeasure_smul, ← toSignedMeasure_smul]
conv_lhs =>
congr
· congr
· rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart, singularPart_smul]
· | Mathlib.MeasureTheory.Decomposition.SignedLebesgue.352_0.HPGboz0rhL6sBes | theorem singularPart_smul_nnreal (s : SignedMeasure α) (μ : Measure α) (r : ℝ≥0) :
(r • s).singularPart μ = r • s.singularPart μ | Mathlib_MeasureTheory_Decomposition_SignedLebesgue |
case a
α : Type u_1
β : Type u_2
m : MeasurableSpace α
μ✝ ν : Measure α
s✝ t s : SignedMeasure α
μ : Measure α
r : ℝ≥0
| toSignedMeasure (Measure.singularPart (toJordanDecomposition (r • s)).negPart μ) | /-
Copyright (c) 2021 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.MeasureTheory.Decomposition.Lebesgue
import Mathlib.MeasureTheory.Measure.Complex
/-!
# Lebesgue decomposition
This file proves the Lebesgue decomposition theorem for signed measures. The Lebesgue decomposition
theorem states that, given two σ-finite measures `μ` and `ν`, there exists a σ-finite measure `ξ`
and a measurable function `f` such that `μ = ξ + fν` and `ξ` is mutually singular with respect
to `ν`.
## Main definitions
* `MeasureTheory.SignedMeasure.HaveLebesgueDecomposition` : A signed measure `s` and a
measure `μ` is said to `HaveLebesgueDecomposition` if both the positive part and negative
part of `s` `HaveLebesgueDecomposition` with respect to `μ`.
* `MeasureTheory.SignedMeasure.singularPart` : The singular part between a signed measure `s`
and a measure `μ` is simply the singular part of the positive part of `s` with respect to `μ`
minus the singular part of the negative part of `s` with respect to `μ`.
* `MeasureTheory.SignedMeasure.rnDeriv` : The Radon-Nikodym derivative of a signed
measure `s` with respect to a measure `μ` is the Radon-Nikodym derivative of the positive part of
`s` with respect to `μ` minus the Radon-Nikodym derivative of the negative part of `s` with
respect to `μ`.
## Main results
* `MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq` :
the Lebesgue decomposition theorem between a signed measure and a σ-finite positive measure.
## Tags
Lebesgue decomposition theorem
-/
noncomputable section
open scoped Classical MeasureTheory NNReal ENNReal
open Set
variable {α β : Type*} {m : MeasurableSpace α} {μ ν : MeasureTheory.Measure α}
namespace MeasureTheory
namespace SignedMeasure
open Measure
/-- A signed measure `s` is said to `HaveLebesgueDecomposition` with respect to a measure `μ`
if the positive part and the negative part of `s` both `HaveLebesgueDecomposition` with
respect to `μ`. -/
class HaveLebesgueDecomposition (s : SignedMeasure α) (μ : Measure α) : Prop where
posPart : s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ
negPart : s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ
#align measure_theory.signed_measure.have_lebesgue_decomposition MeasureTheory.SignedMeasure.HaveLebesgueDecomposition
#align measure_theory.signed_measure.have_lebesgue_decomposition.pos_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.posPart
#align measure_theory.signed_measure.have_lebesgue_decomposition.neg_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.negPart
attribute [instance] HaveLebesgueDecomposition.posPart
attribute [instance] HaveLebesgueDecomposition.negPart
theorem not_haveLebesgueDecomposition_iff (s : SignedMeasure α) (μ : Measure α) :
¬s.HaveLebesgueDecomposition μ ↔
¬s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ ∨
¬s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ :=
⟨fun h => not_or_of_imp fun hp hn => h ⟨hp, hn⟩, fun h hl => (not_and_or.2 h) ⟨hl.1, hl.2⟩⟩
#align measure_theory.signed_measure.not_have_lebesgue_decomposition_iff MeasureTheory.SignedMeasure.not_haveLebesgueDecomposition_iff
-- `infer_instance` directly does not work
-- see Note [lower instance priority]
instance (priority := 100) haveLebesgueDecomposition_of_sigmaFinite (s : SignedMeasure α)
(μ : Measure α) [SigmaFinite μ] : s.HaveLebesgueDecomposition μ where
posPart := inferInstance
negPart := inferInstance
#align measure_theory.signed_measure.have_lebesgue_decomposition_of_sigma_finite MeasureTheory.SignedMeasure.haveLebesgueDecomposition_of_sigmaFinite
instance haveLebesgueDecomposition_neg (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] : (-s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_neg MeasureTheory.SignedMeasure.haveLebesgueDecomposition_neg
instance haveLebesgueDecomposition_smul (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ≥0) : (r • s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul
instance haveLebesgueDecomposition_smul_real (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ) : (r • s).HaveLebesgueDecomposition μ := by
by_cases hr : 0 ≤ r
· lift r to ℝ≥0 using hr
exact s.haveLebesgueDecomposition_smul μ _
· rw [not_le] at hr
refine'
{ posPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_posPart_neg _ _ hr]
infer_instance
negPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_negPart_neg _ _ hr]
infer_instance }
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul_real MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul_real
/-- Given a signed measure `s` and a measure `μ`, `s.singularPart μ` is the signed measure
such that `s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s` and
`s.singularPart μ` is mutually singular with respect to `μ`. -/
def singularPart (s : SignedMeasure α) (μ : Measure α) : SignedMeasure α :=
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure -
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure
#align measure_theory.signed_measure.singular_part MeasureTheory.SignedMeasure.singularPart
section
theorem singularPart_mutuallySingular (s : SignedMeasure α) (μ : Measure α) :
s.toJordanDecomposition.posPart.singularPart μ ⟂ₘ
s.toJordanDecomposition.negPart.singularPart μ := by
by_cases hl : s.HaveLebesgueDecomposition μ
· obtain ⟨i, hi, hpos, hneg⟩ := s.toJordanDecomposition.mutuallySingular
rw [s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ] at hpos
rw [s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ] at hneg
rw [add_apply, add_eq_zero_iff] at hpos hneg
exact ⟨i, hi, hpos.1, hneg.1⟩
· rw [not_haveLebesgueDecomposition_iff] at hl
cases' hl with hp hn
· rw [Measure.singularPart, dif_neg hp]
exact MutuallySingular.zero_left
· rw [Measure.singularPart, Measure.singularPart, dif_neg hn]
exact MutuallySingular.zero_right
#align measure_theory.signed_measure.singular_part_mutually_singular MeasureTheory.SignedMeasure.singularPart_mutuallySingular
theorem singularPart_totalVariation (s : SignedMeasure α) (μ : Measure α) :
(s.singularPart μ).totalVariation =
s.toJordanDecomposition.posPart.singularPart μ +
s.toJordanDecomposition.negPart.singularPart μ := by
have :
(s.singularPart μ).toJordanDecomposition =
⟨s.toJordanDecomposition.posPart.singularPart μ,
s.toJordanDecomposition.negPart.singularPart μ, singularPart_mutuallySingular s μ⟩ := by
refine' JordanDecomposition.toSignedMeasure_injective _
rw [toSignedMeasure_toJordanDecomposition, singularPart, JordanDecomposition.toSignedMeasure]
· rw [totalVariation, this]
#align measure_theory.signed_measure.singular_part_total_variation MeasureTheory.SignedMeasure.singularPart_totalVariation
nonrec theorem mutuallySingular_singularPart (s : SignedMeasure α) (μ : Measure α) :
singularPart s μ ⟂ᵥ μ.toENNRealVectorMeasure := by
rw [mutuallySingular_ennreal_iff, singularPart_totalVariation,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure]
exact (mutuallySingular_singularPart _ _).add_left (mutuallySingular_singularPart _ _)
#align measure_theory.signed_measure.mutually_singular_singular_part MeasureTheory.SignedMeasure.mutuallySingular_singularPart
end
/-- The Radon-Nikodym derivative between a signed measure and a positive measure.
`rnDeriv s μ` satisfies `μ.withDensityᵥ (s.rnDeriv μ) = s`
if and only if `s` is absolutely continuous with respect to `μ` and this fact is known as
`MeasureTheory.SignedMeasure.absolutelyContinuous_iff_withDensity_rnDeriv_eq`
and can be found in `MeasureTheory.Decomposition.RadonNikodym`. -/
def rnDeriv (s : SignedMeasure α) (μ : Measure α) : α → ℝ := fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal
#align measure_theory.signed_measure.rn_deriv MeasureTheory.SignedMeasure.rnDeriv
-- Porting note: The generated equation theorem is the form of `rnDeriv s μ x`.
theorem rnDeriv_def (s : SignedMeasure α) (μ : Measure α) : rnDeriv s μ = fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal :=
rfl
attribute [eqns rnDeriv_def] rnDeriv
variable {s t : SignedMeasure α}
@[measurability]
theorem measurable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Measurable (rnDeriv s μ) := by
rw [rnDeriv]
measurability
#align measure_theory.signed_measure.measurable_rn_deriv MeasureTheory.SignedMeasure.measurable_rnDeriv
theorem integrable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Integrable (rnDeriv s μ) μ := by
refine' Integrable.sub _ _ <;>
· constructor
· apply Measurable.aestronglyMeasurable; measurability
exact hasFiniteIntegral_toReal_of_lintegral_ne_top (lintegral_rnDeriv_lt_top _ μ).ne
#align measure_theory.signed_measure.integrable_rn_deriv MeasureTheory.SignedMeasure.integrable_rnDeriv
variable (s μ)
/-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
first
| exact (lintegral_rnDeriv_lt_top _ _).ne
| measurability
#align measure_theory.signed_measure.singular_part_add_with_density_rn_deriv_eq MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq
variable {s μ}
theorem jordanDecomposition_add_withDensity_mutuallySingular {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) :
(t.toJordanDecomposition.posPart + μ.withDensity fun x : α => ENNReal.ofReal (f x)) ⟂ₘ
t.toJordanDecomposition.negPart + μ.withDensity fun x : α => ENNReal.ofReal (-f x) := by
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
exact
((JordanDecomposition.mutuallySingular _).add_right
(htμ.1.mono_ac (refl _) (withDensity_absolutelyContinuous _ _))).add_left
((htμ.2.symm.mono_ac (withDensity_absolutelyContinuous _ _) (refl _)).add_right
(withDensity_ofReal_mutuallySingular hf))
#align measure_theory.signed_measure.jordan_decomposition_add_with_density_mutually_singular MeasureTheory.SignedMeasure.jordanDecomposition_add_withDensity_mutuallySingular
theorem toJordanDecomposition_eq_of_eq_add_withDensity {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.toJordanDecomposition =
@JordanDecomposition.mk α _
(t.toJordanDecomposition.posPart + μ.withDensity fun x => ENNReal.ofReal (f x))
(t.toJordanDecomposition.negPart + μ.withDensity fun x => ENNReal.ofReal (-f x))
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.2; infer_instance)
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2; infer_instance)
(jordanDecomposition_add_withDensity_mutuallySingular hf htμ) := by
haveI := isFiniteMeasure_withDensity_ofReal hfi.2
haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2
refine' toJordanDecomposition_eq _
simp_rw [JordanDecomposition.toSignedMeasure, hadd]
ext i hi
rw [VectorMeasure.sub_apply, toSignedMeasure_apply_measurable hi,
toSignedMeasure_apply_measurable hi, add_apply, add_apply, ENNReal.toReal_add,
ENNReal.toReal_add, add_sub_add_comm, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi, ← VectorMeasure.sub_apply,
← JordanDecomposition.toSignedMeasure, toSignedMeasure_toJordanDecomposition,
VectorMeasure.add_apply, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi,
withDensityᵥ_eq_withDensity_pos_part_sub_withDensity_neg_part hfi,
VectorMeasure.sub_apply] <;>
exact (measure_lt_top _ _).ne
#align measure_theory.signed_measure.to_jordan_decomposition_eq_of_eq_add_with_density MeasureTheory.SignedMeasure.toJordanDecomposition_eq_of_eq_add_withDensity
private theorem haveLebesgueDecomposition_mk' (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff] at htμ
change _ ⟂ₘ VectorMeasure.equivMeasure.toFun (VectorMeasure.equivMeasure.invFun μ) at htμ
rw [VectorMeasure.equivMeasure.right_inv, totalVariation_mutuallySingular_iff] at htμ
refine'
{ posPart := by
use ⟨t.toJordanDecomposition.posPart, fun x => ENNReal.ofReal (f x)⟩
refine' ⟨hf.ennreal_ofReal, htμ.1, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
negPart := by
use ⟨t.toJordanDecomposition.negPart, fun x => ENNReal.ofReal (-f x)⟩
refine' ⟨hf.neg.ennreal_ofReal, htμ.2, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd] }
theorem haveLebesgueDecomposition_mk (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
by_cases hfi : Integrable f μ
· exact haveLebesgueDecomposition_mk' μ hf hfi htμ hadd
· rw [withDensityᵥ, dif_neg hfi, add_zero] at hadd
refine' haveLebesgueDecomposition_mk' μ measurable_zero (integrable_zero _ _ μ) htμ _
rwa [withDensityᵥ_zero, add_zero]
#align measure_theory.signed_measure.have_lebesgue_decomposition_mk MeasureTheory.SignedMeasure.haveLebesgueDecomposition_mk
private theorem eq_singularPart' (t : SignedMeasure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
t = s.singularPart μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
rw [singularPart, ← t.toSignedMeasure_toJordanDecomposition,
JordanDecomposition.toSignedMeasure]
congr
· have hfpos : Measurable fun x => ENNReal.ofReal (f x) := by measurability
refine' eq_singularPart hfpos htμ.1 _
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
· have hfneg : Measurable fun x => ENNReal.ofReal (-f x) := by measurability
refine' eq_singularPart hfneg htμ.2 _
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
/-- Given a measure `μ`, signed measures `s` and `t`, and a function `f` such that `t` is
mutually singular with respect to `μ` and `s = t + μ.withDensityᵥ f`, we have
`t = singularPart s μ`, i.e. `t` is the singular part of the Lebesgue decomposition between
`s` and `μ`. -/
theorem eq_singularPart (t : SignedMeasure α) (f : α → ℝ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure)
(hadd : s = t + μ.withDensityᵥ f) : t = s.singularPart μ := by
by_cases hfi : Integrable f μ
· refine' eq_singularPart' t hfi.1.measurable_mk (hfi.congr hfi.1.ae_eq_mk) htμ _
convert hadd using 2
exact WithDensityᵥEq.congr_ae hfi.1.ae_eq_mk.symm
· rw [withDensityᵥ, dif_neg hfi, add_zero] at hadd
refine' eq_singularPart' t measurable_zero (integrable_zero _ _ μ) htμ _
rwa [withDensityᵥ_zero, add_zero]
#align measure_theory.signed_measure.eq_singular_part MeasureTheory.SignedMeasure.eq_singularPart
theorem singularPart_zero (μ : Measure α) : (0 : SignedMeasure α).singularPart μ = 0 := by
refine' (eq_singularPart 0 0 VectorMeasure.MutuallySingular.zero_left _).symm
rw [zero_add, withDensityᵥ_zero]
#align measure_theory.signed_measure.singular_part_zero MeasureTheory.SignedMeasure.singularPart_zero
theorem singularPart_neg (s : SignedMeasure α) (μ : Measure α) :
(-s).singularPart μ = -s.singularPart μ := by
have h₁ :
((-s).toJordanDecomposition.posPart.singularPart μ).toSignedMeasure =
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure := by
refine' toSignedMeasure_congr _
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
have h₂ :
((-s).toJordanDecomposition.negPart.singularPart μ).toSignedMeasure =
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure := by
refine' toSignedMeasure_congr _
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
rw [singularPart, singularPart, neg_sub, h₁, h₂]
#align measure_theory.signed_measure.singular_part_neg MeasureTheory.SignedMeasure.singularPart_neg
theorem singularPart_smul_nnreal (s : SignedMeasure α) (μ : Measure α) (r : ℝ≥0) :
(r • s).singularPart μ = r • s.singularPart μ := by
rw [singularPart, singularPart, smul_sub, ← toSignedMeasure_smul, ← toSignedMeasure_smul]
conv_lhs =>
congr
· congr
· rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart, singularPart_smul]
· | congr | theorem singularPart_smul_nnreal (s : SignedMeasure α) (μ : Measure α) (r : ℝ≥0) :
(r • s).singularPart μ = r • s.singularPart μ := by
rw [singularPart, singularPart, smul_sub, ← toSignedMeasure_smul, ← toSignedMeasure_smul]
conv_lhs =>
congr
· congr
· rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart, singularPart_smul]
· | Mathlib.MeasureTheory.Decomposition.SignedLebesgue.352_0.HPGboz0rhL6sBes | theorem singularPart_smul_nnreal (s : SignedMeasure α) (μ : Measure α) (r : ℝ≥0) :
(r • s).singularPart μ = r • s.singularPart μ | Mathlib_MeasureTheory_Decomposition_SignedLebesgue |
case a.μ
α : Type u_1
β : Type u_2
m : MeasurableSpace α
μ✝ ν : Measure α
s✝ t s : SignedMeasure α
μ : Measure α
r : ℝ≥0
| Measure.singularPart (toJordanDecomposition (r • s)).negPart μ | /-
Copyright (c) 2021 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.MeasureTheory.Decomposition.Lebesgue
import Mathlib.MeasureTheory.Measure.Complex
/-!
# Lebesgue decomposition
This file proves the Lebesgue decomposition theorem for signed measures. The Lebesgue decomposition
theorem states that, given two σ-finite measures `μ` and `ν`, there exists a σ-finite measure `ξ`
and a measurable function `f` such that `μ = ξ + fν` and `ξ` is mutually singular with respect
to `ν`.
## Main definitions
* `MeasureTheory.SignedMeasure.HaveLebesgueDecomposition` : A signed measure `s` and a
measure `μ` is said to `HaveLebesgueDecomposition` if both the positive part and negative
part of `s` `HaveLebesgueDecomposition` with respect to `μ`.
* `MeasureTheory.SignedMeasure.singularPart` : The singular part between a signed measure `s`
and a measure `μ` is simply the singular part of the positive part of `s` with respect to `μ`
minus the singular part of the negative part of `s` with respect to `μ`.
* `MeasureTheory.SignedMeasure.rnDeriv` : The Radon-Nikodym derivative of a signed
measure `s` with respect to a measure `μ` is the Radon-Nikodym derivative of the positive part of
`s` with respect to `μ` minus the Radon-Nikodym derivative of the negative part of `s` with
respect to `μ`.
## Main results
* `MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq` :
the Lebesgue decomposition theorem between a signed measure and a σ-finite positive measure.
## Tags
Lebesgue decomposition theorem
-/
noncomputable section
open scoped Classical MeasureTheory NNReal ENNReal
open Set
variable {α β : Type*} {m : MeasurableSpace α} {μ ν : MeasureTheory.Measure α}
namespace MeasureTheory
namespace SignedMeasure
open Measure
/-- A signed measure `s` is said to `HaveLebesgueDecomposition` with respect to a measure `μ`
if the positive part and the negative part of `s` both `HaveLebesgueDecomposition` with
respect to `μ`. -/
class HaveLebesgueDecomposition (s : SignedMeasure α) (μ : Measure α) : Prop where
posPart : s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ
negPart : s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ
#align measure_theory.signed_measure.have_lebesgue_decomposition MeasureTheory.SignedMeasure.HaveLebesgueDecomposition
#align measure_theory.signed_measure.have_lebesgue_decomposition.pos_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.posPart
#align measure_theory.signed_measure.have_lebesgue_decomposition.neg_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.negPart
attribute [instance] HaveLebesgueDecomposition.posPart
attribute [instance] HaveLebesgueDecomposition.negPart
theorem not_haveLebesgueDecomposition_iff (s : SignedMeasure α) (μ : Measure α) :
¬s.HaveLebesgueDecomposition μ ↔
¬s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ ∨
¬s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ :=
⟨fun h => not_or_of_imp fun hp hn => h ⟨hp, hn⟩, fun h hl => (not_and_or.2 h) ⟨hl.1, hl.2⟩⟩
#align measure_theory.signed_measure.not_have_lebesgue_decomposition_iff MeasureTheory.SignedMeasure.not_haveLebesgueDecomposition_iff
-- `infer_instance` directly does not work
-- see Note [lower instance priority]
instance (priority := 100) haveLebesgueDecomposition_of_sigmaFinite (s : SignedMeasure α)
(μ : Measure α) [SigmaFinite μ] : s.HaveLebesgueDecomposition μ where
posPart := inferInstance
negPart := inferInstance
#align measure_theory.signed_measure.have_lebesgue_decomposition_of_sigma_finite MeasureTheory.SignedMeasure.haveLebesgueDecomposition_of_sigmaFinite
instance haveLebesgueDecomposition_neg (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] : (-s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_neg MeasureTheory.SignedMeasure.haveLebesgueDecomposition_neg
instance haveLebesgueDecomposition_smul (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ≥0) : (r • s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul
instance haveLebesgueDecomposition_smul_real (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ) : (r • s).HaveLebesgueDecomposition μ := by
by_cases hr : 0 ≤ r
· lift r to ℝ≥0 using hr
exact s.haveLebesgueDecomposition_smul μ _
· rw [not_le] at hr
refine'
{ posPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_posPart_neg _ _ hr]
infer_instance
negPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_negPart_neg _ _ hr]
infer_instance }
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul_real MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul_real
/-- Given a signed measure `s` and a measure `μ`, `s.singularPart μ` is the signed measure
such that `s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s` and
`s.singularPart μ` is mutually singular with respect to `μ`. -/
def singularPart (s : SignedMeasure α) (μ : Measure α) : SignedMeasure α :=
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure -
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure
#align measure_theory.signed_measure.singular_part MeasureTheory.SignedMeasure.singularPart
section
theorem singularPart_mutuallySingular (s : SignedMeasure α) (μ : Measure α) :
s.toJordanDecomposition.posPart.singularPart μ ⟂ₘ
s.toJordanDecomposition.negPart.singularPart μ := by
by_cases hl : s.HaveLebesgueDecomposition μ
· obtain ⟨i, hi, hpos, hneg⟩ := s.toJordanDecomposition.mutuallySingular
rw [s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ] at hpos
rw [s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ] at hneg
rw [add_apply, add_eq_zero_iff] at hpos hneg
exact ⟨i, hi, hpos.1, hneg.1⟩
· rw [not_haveLebesgueDecomposition_iff] at hl
cases' hl with hp hn
· rw [Measure.singularPart, dif_neg hp]
exact MutuallySingular.zero_left
· rw [Measure.singularPart, Measure.singularPart, dif_neg hn]
exact MutuallySingular.zero_right
#align measure_theory.signed_measure.singular_part_mutually_singular MeasureTheory.SignedMeasure.singularPart_mutuallySingular
theorem singularPart_totalVariation (s : SignedMeasure α) (μ : Measure α) :
(s.singularPart μ).totalVariation =
s.toJordanDecomposition.posPart.singularPart μ +
s.toJordanDecomposition.negPart.singularPart μ := by
have :
(s.singularPart μ).toJordanDecomposition =
⟨s.toJordanDecomposition.posPart.singularPart μ,
s.toJordanDecomposition.negPart.singularPart μ, singularPart_mutuallySingular s μ⟩ := by
refine' JordanDecomposition.toSignedMeasure_injective _
rw [toSignedMeasure_toJordanDecomposition, singularPart, JordanDecomposition.toSignedMeasure]
· rw [totalVariation, this]
#align measure_theory.signed_measure.singular_part_total_variation MeasureTheory.SignedMeasure.singularPart_totalVariation
nonrec theorem mutuallySingular_singularPart (s : SignedMeasure α) (μ : Measure α) :
singularPart s μ ⟂ᵥ μ.toENNRealVectorMeasure := by
rw [mutuallySingular_ennreal_iff, singularPart_totalVariation,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure]
exact (mutuallySingular_singularPart _ _).add_left (mutuallySingular_singularPart _ _)
#align measure_theory.signed_measure.mutually_singular_singular_part MeasureTheory.SignedMeasure.mutuallySingular_singularPart
end
/-- The Radon-Nikodym derivative between a signed measure and a positive measure.
`rnDeriv s μ` satisfies `μ.withDensityᵥ (s.rnDeriv μ) = s`
if and only if `s` is absolutely continuous with respect to `μ` and this fact is known as
`MeasureTheory.SignedMeasure.absolutelyContinuous_iff_withDensity_rnDeriv_eq`
and can be found in `MeasureTheory.Decomposition.RadonNikodym`. -/
def rnDeriv (s : SignedMeasure α) (μ : Measure α) : α → ℝ := fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal
#align measure_theory.signed_measure.rn_deriv MeasureTheory.SignedMeasure.rnDeriv
-- Porting note: The generated equation theorem is the form of `rnDeriv s μ x`.
theorem rnDeriv_def (s : SignedMeasure α) (μ : Measure α) : rnDeriv s μ = fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal :=
rfl
attribute [eqns rnDeriv_def] rnDeriv
variable {s t : SignedMeasure α}
@[measurability]
theorem measurable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Measurable (rnDeriv s μ) := by
rw [rnDeriv]
measurability
#align measure_theory.signed_measure.measurable_rn_deriv MeasureTheory.SignedMeasure.measurable_rnDeriv
theorem integrable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Integrable (rnDeriv s μ) μ := by
refine' Integrable.sub _ _ <;>
· constructor
· apply Measurable.aestronglyMeasurable; measurability
exact hasFiniteIntegral_toReal_of_lintegral_ne_top (lintegral_rnDeriv_lt_top _ μ).ne
#align measure_theory.signed_measure.integrable_rn_deriv MeasureTheory.SignedMeasure.integrable_rnDeriv
variable (s μ)
/-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
first
| exact (lintegral_rnDeriv_lt_top _ _).ne
| measurability
#align measure_theory.signed_measure.singular_part_add_with_density_rn_deriv_eq MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq
variable {s μ}
theorem jordanDecomposition_add_withDensity_mutuallySingular {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) :
(t.toJordanDecomposition.posPart + μ.withDensity fun x : α => ENNReal.ofReal (f x)) ⟂ₘ
t.toJordanDecomposition.negPart + μ.withDensity fun x : α => ENNReal.ofReal (-f x) := by
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
exact
((JordanDecomposition.mutuallySingular _).add_right
(htμ.1.mono_ac (refl _) (withDensity_absolutelyContinuous _ _))).add_left
((htμ.2.symm.mono_ac (withDensity_absolutelyContinuous _ _) (refl _)).add_right
(withDensity_ofReal_mutuallySingular hf))
#align measure_theory.signed_measure.jordan_decomposition_add_with_density_mutually_singular MeasureTheory.SignedMeasure.jordanDecomposition_add_withDensity_mutuallySingular
theorem toJordanDecomposition_eq_of_eq_add_withDensity {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.toJordanDecomposition =
@JordanDecomposition.mk α _
(t.toJordanDecomposition.posPart + μ.withDensity fun x => ENNReal.ofReal (f x))
(t.toJordanDecomposition.negPart + μ.withDensity fun x => ENNReal.ofReal (-f x))
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.2; infer_instance)
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2; infer_instance)
(jordanDecomposition_add_withDensity_mutuallySingular hf htμ) := by
haveI := isFiniteMeasure_withDensity_ofReal hfi.2
haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2
refine' toJordanDecomposition_eq _
simp_rw [JordanDecomposition.toSignedMeasure, hadd]
ext i hi
rw [VectorMeasure.sub_apply, toSignedMeasure_apply_measurable hi,
toSignedMeasure_apply_measurable hi, add_apply, add_apply, ENNReal.toReal_add,
ENNReal.toReal_add, add_sub_add_comm, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi, ← VectorMeasure.sub_apply,
← JordanDecomposition.toSignedMeasure, toSignedMeasure_toJordanDecomposition,
VectorMeasure.add_apply, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi,
withDensityᵥ_eq_withDensity_pos_part_sub_withDensity_neg_part hfi,
VectorMeasure.sub_apply] <;>
exact (measure_lt_top _ _).ne
#align measure_theory.signed_measure.to_jordan_decomposition_eq_of_eq_add_with_density MeasureTheory.SignedMeasure.toJordanDecomposition_eq_of_eq_add_withDensity
private theorem haveLebesgueDecomposition_mk' (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff] at htμ
change _ ⟂ₘ VectorMeasure.equivMeasure.toFun (VectorMeasure.equivMeasure.invFun μ) at htμ
rw [VectorMeasure.equivMeasure.right_inv, totalVariation_mutuallySingular_iff] at htμ
refine'
{ posPart := by
use ⟨t.toJordanDecomposition.posPart, fun x => ENNReal.ofReal (f x)⟩
refine' ⟨hf.ennreal_ofReal, htμ.1, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
negPart := by
use ⟨t.toJordanDecomposition.negPart, fun x => ENNReal.ofReal (-f x)⟩
refine' ⟨hf.neg.ennreal_ofReal, htμ.2, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd] }
theorem haveLebesgueDecomposition_mk (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
by_cases hfi : Integrable f μ
· exact haveLebesgueDecomposition_mk' μ hf hfi htμ hadd
· rw [withDensityᵥ, dif_neg hfi, add_zero] at hadd
refine' haveLebesgueDecomposition_mk' μ measurable_zero (integrable_zero _ _ μ) htμ _
rwa [withDensityᵥ_zero, add_zero]
#align measure_theory.signed_measure.have_lebesgue_decomposition_mk MeasureTheory.SignedMeasure.haveLebesgueDecomposition_mk
private theorem eq_singularPart' (t : SignedMeasure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
t = s.singularPart μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
rw [singularPart, ← t.toSignedMeasure_toJordanDecomposition,
JordanDecomposition.toSignedMeasure]
congr
· have hfpos : Measurable fun x => ENNReal.ofReal (f x) := by measurability
refine' eq_singularPart hfpos htμ.1 _
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
· have hfneg : Measurable fun x => ENNReal.ofReal (-f x) := by measurability
refine' eq_singularPart hfneg htμ.2 _
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
/-- Given a measure `μ`, signed measures `s` and `t`, and a function `f` such that `t` is
mutually singular with respect to `μ` and `s = t + μ.withDensityᵥ f`, we have
`t = singularPart s μ`, i.e. `t` is the singular part of the Lebesgue decomposition between
`s` and `μ`. -/
theorem eq_singularPart (t : SignedMeasure α) (f : α → ℝ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure)
(hadd : s = t + μ.withDensityᵥ f) : t = s.singularPart μ := by
by_cases hfi : Integrable f μ
· refine' eq_singularPart' t hfi.1.measurable_mk (hfi.congr hfi.1.ae_eq_mk) htμ _
convert hadd using 2
exact WithDensityᵥEq.congr_ae hfi.1.ae_eq_mk.symm
· rw [withDensityᵥ, dif_neg hfi, add_zero] at hadd
refine' eq_singularPart' t measurable_zero (integrable_zero _ _ μ) htμ _
rwa [withDensityᵥ_zero, add_zero]
#align measure_theory.signed_measure.eq_singular_part MeasureTheory.SignedMeasure.eq_singularPart
theorem singularPart_zero (μ : Measure α) : (0 : SignedMeasure α).singularPart μ = 0 := by
refine' (eq_singularPart 0 0 VectorMeasure.MutuallySingular.zero_left _).symm
rw [zero_add, withDensityᵥ_zero]
#align measure_theory.signed_measure.singular_part_zero MeasureTheory.SignedMeasure.singularPart_zero
theorem singularPart_neg (s : SignedMeasure α) (μ : Measure α) :
(-s).singularPart μ = -s.singularPart μ := by
have h₁ :
((-s).toJordanDecomposition.posPart.singularPart μ).toSignedMeasure =
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure := by
refine' toSignedMeasure_congr _
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
have h₂ :
((-s).toJordanDecomposition.negPart.singularPart μ).toSignedMeasure =
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure := by
refine' toSignedMeasure_congr _
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
rw [singularPart, singularPart, neg_sub, h₁, h₂]
#align measure_theory.signed_measure.singular_part_neg MeasureTheory.SignedMeasure.singularPart_neg
theorem singularPart_smul_nnreal (s : SignedMeasure α) (μ : Measure α) (r : ℝ≥0) :
(r • s).singularPart μ = r • s.singularPart μ := by
rw [singularPart, singularPart, smul_sub, ← toSignedMeasure_smul, ← toSignedMeasure_smul]
conv_lhs =>
congr
· congr
· rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart, singularPart_smul]
· congr
| rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart, singularPart_smul] | theorem singularPart_smul_nnreal (s : SignedMeasure α) (μ : Measure α) (r : ℝ≥0) :
(r • s).singularPart μ = r • s.singularPart μ := by
rw [singularPart, singularPart, smul_sub, ← toSignedMeasure_smul, ← toSignedMeasure_smul]
conv_lhs =>
congr
· congr
· rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart, singularPart_smul]
· congr
| Mathlib.MeasureTheory.Decomposition.SignedLebesgue.352_0.HPGboz0rhL6sBes | theorem singularPart_smul_nnreal (s : SignedMeasure α) (μ : Measure α) (r : ℝ≥0) :
(r • s).singularPart μ = r • s.singularPart μ | Mathlib_MeasureTheory_Decomposition_SignedLebesgue |
α : Type u_1
β : Type u_2
m : MeasurableSpace α
μ✝ ν : Measure α
s✝ t s : SignedMeasure α
μ : Measure α
r : ℝ
⊢ singularPart (r • s) μ = r • singularPart s μ | /-
Copyright (c) 2021 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.MeasureTheory.Decomposition.Lebesgue
import Mathlib.MeasureTheory.Measure.Complex
/-!
# Lebesgue decomposition
This file proves the Lebesgue decomposition theorem for signed measures. The Lebesgue decomposition
theorem states that, given two σ-finite measures `μ` and `ν`, there exists a σ-finite measure `ξ`
and a measurable function `f` such that `μ = ξ + fν` and `ξ` is mutually singular with respect
to `ν`.
## Main definitions
* `MeasureTheory.SignedMeasure.HaveLebesgueDecomposition` : A signed measure `s` and a
measure `μ` is said to `HaveLebesgueDecomposition` if both the positive part and negative
part of `s` `HaveLebesgueDecomposition` with respect to `μ`.
* `MeasureTheory.SignedMeasure.singularPart` : The singular part between a signed measure `s`
and a measure `μ` is simply the singular part of the positive part of `s` with respect to `μ`
minus the singular part of the negative part of `s` with respect to `μ`.
* `MeasureTheory.SignedMeasure.rnDeriv` : The Radon-Nikodym derivative of a signed
measure `s` with respect to a measure `μ` is the Radon-Nikodym derivative of the positive part of
`s` with respect to `μ` minus the Radon-Nikodym derivative of the negative part of `s` with
respect to `μ`.
## Main results
* `MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq` :
the Lebesgue decomposition theorem between a signed measure and a σ-finite positive measure.
## Tags
Lebesgue decomposition theorem
-/
noncomputable section
open scoped Classical MeasureTheory NNReal ENNReal
open Set
variable {α β : Type*} {m : MeasurableSpace α} {μ ν : MeasureTheory.Measure α}
namespace MeasureTheory
namespace SignedMeasure
open Measure
/-- A signed measure `s` is said to `HaveLebesgueDecomposition` with respect to a measure `μ`
if the positive part and the negative part of `s` both `HaveLebesgueDecomposition` with
respect to `μ`. -/
class HaveLebesgueDecomposition (s : SignedMeasure α) (μ : Measure α) : Prop where
posPart : s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ
negPart : s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ
#align measure_theory.signed_measure.have_lebesgue_decomposition MeasureTheory.SignedMeasure.HaveLebesgueDecomposition
#align measure_theory.signed_measure.have_lebesgue_decomposition.pos_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.posPart
#align measure_theory.signed_measure.have_lebesgue_decomposition.neg_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.negPart
attribute [instance] HaveLebesgueDecomposition.posPart
attribute [instance] HaveLebesgueDecomposition.negPart
theorem not_haveLebesgueDecomposition_iff (s : SignedMeasure α) (μ : Measure α) :
¬s.HaveLebesgueDecomposition μ ↔
¬s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ ∨
¬s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ :=
⟨fun h => not_or_of_imp fun hp hn => h ⟨hp, hn⟩, fun h hl => (not_and_or.2 h) ⟨hl.1, hl.2⟩⟩
#align measure_theory.signed_measure.not_have_lebesgue_decomposition_iff MeasureTheory.SignedMeasure.not_haveLebesgueDecomposition_iff
-- `infer_instance` directly does not work
-- see Note [lower instance priority]
instance (priority := 100) haveLebesgueDecomposition_of_sigmaFinite (s : SignedMeasure α)
(μ : Measure α) [SigmaFinite μ] : s.HaveLebesgueDecomposition μ where
posPart := inferInstance
negPart := inferInstance
#align measure_theory.signed_measure.have_lebesgue_decomposition_of_sigma_finite MeasureTheory.SignedMeasure.haveLebesgueDecomposition_of_sigmaFinite
instance haveLebesgueDecomposition_neg (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] : (-s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_neg MeasureTheory.SignedMeasure.haveLebesgueDecomposition_neg
instance haveLebesgueDecomposition_smul (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ≥0) : (r • s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul
instance haveLebesgueDecomposition_smul_real (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ) : (r • s).HaveLebesgueDecomposition μ := by
by_cases hr : 0 ≤ r
· lift r to ℝ≥0 using hr
exact s.haveLebesgueDecomposition_smul μ _
· rw [not_le] at hr
refine'
{ posPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_posPart_neg _ _ hr]
infer_instance
negPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_negPart_neg _ _ hr]
infer_instance }
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul_real MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul_real
/-- Given a signed measure `s` and a measure `μ`, `s.singularPart μ` is the signed measure
such that `s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s` and
`s.singularPart μ` is mutually singular with respect to `μ`. -/
def singularPart (s : SignedMeasure α) (μ : Measure α) : SignedMeasure α :=
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure -
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure
#align measure_theory.signed_measure.singular_part MeasureTheory.SignedMeasure.singularPart
section
theorem singularPart_mutuallySingular (s : SignedMeasure α) (μ : Measure α) :
s.toJordanDecomposition.posPart.singularPart μ ⟂ₘ
s.toJordanDecomposition.negPart.singularPart μ := by
by_cases hl : s.HaveLebesgueDecomposition μ
· obtain ⟨i, hi, hpos, hneg⟩ := s.toJordanDecomposition.mutuallySingular
rw [s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ] at hpos
rw [s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ] at hneg
rw [add_apply, add_eq_zero_iff] at hpos hneg
exact ⟨i, hi, hpos.1, hneg.1⟩
· rw [not_haveLebesgueDecomposition_iff] at hl
cases' hl with hp hn
· rw [Measure.singularPart, dif_neg hp]
exact MutuallySingular.zero_left
· rw [Measure.singularPart, Measure.singularPart, dif_neg hn]
exact MutuallySingular.zero_right
#align measure_theory.signed_measure.singular_part_mutually_singular MeasureTheory.SignedMeasure.singularPart_mutuallySingular
theorem singularPart_totalVariation (s : SignedMeasure α) (μ : Measure α) :
(s.singularPart μ).totalVariation =
s.toJordanDecomposition.posPart.singularPart μ +
s.toJordanDecomposition.negPart.singularPart μ := by
have :
(s.singularPart μ).toJordanDecomposition =
⟨s.toJordanDecomposition.posPart.singularPart μ,
s.toJordanDecomposition.negPart.singularPart μ, singularPart_mutuallySingular s μ⟩ := by
refine' JordanDecomposition.toSignedMeasure_injective _
rw [toSignedMeasure_toJordanDecomposition, singularPart, JordanDecomposition.toSignedMeasure]
· rw [totalVariation, this]
#align measure_theory.signed_measure.singular_part_total_variation MeasureTheory.SignedMeasure.singularPart_totalVariation
nonrec theorem mutuallySingular_singularPart (s : SignedMeasure α) (μ : Measure α) :
singularPart s μ ⟂ᵥ μ.toENNRealVectorMeasure := by
rw [mutuallySingular_ennreal_iff, singularPart_totalVariation,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure]
exact (mutuallySingular_singularPart _ _).add_left (mutuallySingular_singularPart _ _)
#align measure_theory.signed_measure.mutually_singular_singular_part MeasureTheory.SignedMeasure.mutuallySingular_singularPart
end
/-- The Radon-Nikodym derivative between a signed measure and a positive measure.
`rnDeriv s μ` satisfies `μ.withDensityᵥ (s.rnDeriv μ) = s`
if and only if `s` is absolutely continuous with respect to `μ` and this fact is known as
`MeasureTheory.SignedMeasure.absolutelyContinuous_iff_withDensity_rnDeriv_eq`
and can be found in `MeasureTheory.Decomposition.RadonNikodym`. -/
def rnDeriv (s : SignedMeasure α) (μ : Measure α) : α → ℝ := fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal
#align measure_theory.signed_measure.rn_deriv MeasureTheory.SignedMeasure.rnDeriv
-- Porting note: The generated equation theorem is the form of `rnDeriv s μ x`.
theorem rnDeriv_def (s : SignedMeasure α) (μ : Measure α) : rnDeriv s μ = fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal :=
rfl
attribute [eqns rnDeriv_def] rnDeriv
variable {s t : SignedMeasure α}
@[measurability]
theorem measurable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Measurable (rnDeriv s μ) := by
rw [rnDeriv]
measurability
#align measure_theory.signed_measure.measurable_rn_deriv MeasureTheory.SignedMeasure.measurable_rnDeriv
theorem integrable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Integrable (rnDeriv s μ) μ := by
refine' Integrable.sub _ _ <;>
· constructor
· apply Measurable.aestronglyMeasurable; measurability
exact hasFiniteIntegral_toReal_of_lintegral_ne_top (lintegral_rnDeriv_lt_top _ μ).ne
#align measure_theory.signed_measure.integrable_rn_deriv MeasureTheory.SignedMeasure.integrable_rnDeriv
variable (s μ)
/-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
first
| exact (lintegral_rnDeriv_lt_top _ _).ne
| measurability
#align measure_theory.signed_measure.singular_part_add_with_density_rn_deriv_eq MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq
variable {s μ}
theorem jordanDecomposition_add_withDensity_mutuallySingular {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) :
(t.toJordanDecomposition.posPart + μ.withDensity fun x : α => ENNReal.ofReal (f x)) ⟂ₘ
t.toJordanDecomposition.negPart + μ.withDensity fun x : α => ENNReal.ofReal (-f x) := by
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
exact
((JordanDecomposition.mutuallySingular _).add_right
(htμ.1.mono_ac (refl _) (withDensity_absolutelyContinuous _ _))).add_left
((htμ.2.symm.mono_ac (withDensity_absolutelyContinuous _ _) (refl _)).add_right
(withDensity_ofReal_mutuallySingular hf))
#align measure_theory.signed_measure.jordan_decomposition_add_with_density_mutually_singular MeasureTheory.SignedMeasure.jordanDecomposition_add_withDensity_mutuallySingular
theorem toJordanDecomposition_eq_of_eq_add_withDensity {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.toJordanDecomposition =
@JordanDecomposition.mk α _
(t.toJordanDecomposition.posPart + μ.withDensity fun x => ENNReal.ofReal (f x))
(t.toJordanDecomposition.negPart + μ.withDensity fun x => ENNReal.ofReal (-f x))
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.2; infer_instance)
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2; infer_instance)
(jordanDecomposition_add_withDensity_mutuallySingular hf htμ) := by
haveI := isFiniteMeasure_withDensity_ofReal hfi.2
haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2
refine' toJordanDecomposition_eq _
simp_rw [JordanDecomposition.toSignedMeasure, hadd]
ext i hi
rw [VectorMeasure.sub_apply, toSignedMeasure_apply_measurable hi,
toSignedMeasure_apply_measurable hi, add_apply, add_apply, ENNReal.toReal_add,
ENNReal.toReal_add, add_sub_add_comm, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi, ← VectorMeasure.sub_apply,
← JordanDecomposition.toSignedMeasure, toSignedMeasure_toJordanDecomposition,
VectorMeasure.add_apply, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi,
withDensityᵥ_eq_withDensity_pos_part_sub_withDensity_neg_part hfi,
VectorMeasure.sub_apply] <;>
exact (measure_lt_top _ _).ne
#align measure_theory.signed_measure.to_jordan_decomposition_eq_of_eq_add_with_density MeasureTheory.SignedMeasure.toJordanDecomposition_eq_of_eq_add_withDensity
private theorem haveLebesgueDecomposition_mk' (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff] at htμ
change _ ⟂ₘ VectorMeasure.equivMeasure.toFun (VectorMeasure.equivMeasure.invFun μ) at htμ
rw [VectorMeasure.equivMeasure.right_inv, totalVariation_mutuallySingular_iff] at htμ
refine'
{ posPart := by
use ⟨t.toJordanDecomposition.posPart, fun x => ENNReal.ofReal (f x)⟩
refine' ⟨hf.ennreal_ofReal, htμ.1, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
negPart := by
use ⟨t.toJordanDecomposition.negPart, fun x => ENNReal.ofReal (-f x)⟩
refine' ⟨hf.neg.ennreal_ofReal, htμ.2, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd] }
theorem haveLebesgueDecomposition_mk (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
by_cases hfi : Integrable f μ
· exact haveLebesgueDecomposition_mk' μ hf hfi htμ hadd
· rw [withDensityᵥ, dif_neg hfi, add_zero] at hadd
refine' haveLebesgueDecomposition_mk' μ measurable_zero (integrable_zero _ _ μ) htμ _
rwa [withDensityᵥ_zero, add_zero]
#align measure_theory.signed_measure.have_lebesgue_decomposition_mk MeasureTheory.SignedMeasure.haveLebesgueDecomposition_mk
private theorem eq_singularPart' (t : SignedMeasure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
t = s.singularPart μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
rw [singularPart, ← t.toSignedMeasure_toJordanDecomposition,
JordanDecomposition.toSignedMeasure]
congr
· have hfpos : Measurable fun x => ENNReal.ofReal (f x) := by measurability
refine' eq_singularPart hfpos htμ.1 _
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
· have hfneg : Measurable fun x => ENNReal.ofReal (-f x) := by measurability
refine' eq_singularPart hfneg htμ.2 _
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
/-- Given a measure `μ`, signed measures `s` and `t`, and a function `f` such that `t` is
mutually singular with respect to `μ` and `s = t + μ.withDensityᵥ f`, we have
`t = singularPart s μ`, i.e. `t` is the singular part of the Lebesgue decomposition between
`s` and `μ`. -/
theorem eq_singularPart (t : SignedMeasure α) (f : α → ℝ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure)
(hadd : s = t + μ.withDensityᵥ f) : t = s.singularPart μ := by
by_cases hfi : Integrable f μ
· refine' eq_singularPart' t hfi.1.measurable_mk (hfi.congr hfi.1.ae_eq_mk) htμ _
convert hadd using 2
exact WithDensityᵥEq.congr_ae hfi.1.ae_eq_mk.symm
· rw [withDensityᵥ, dif_neg hfi, add_zero] at hadd
refine' eq_singularPart' t measurable_zero (integrable_zero _ _ μ) htμ _
rwa [withDensityᵥ_zero, add_zero]
#align measure_theory.signed_measure.eq_singular_part MeasureTheory.SignedMeasure.eq_singularPart
theorem singularPart_zero (μ : Measure α) : (0 : SignedMeasure α).singularPart μ = 0 := by
refine' (eq_singularPart 0 0 VectorMeasure.MutuallySingular.zero_left _).symm
rw [zero_add, withDensityᵥ_zero]
#align measure_theory.signed_measure.singular_part_zero MeasureTheory.SignedMeasure.singularPart_zero
theorem singularPart_neg (s : SignedMeasure α) (μ : Measure α) :
(-s).singularPart μ = -s.singularPart μ := by
have h₁ :
((-s).toJordanDecomposition.posPart.singularPart μ).toSignedMeasure =
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure := by
refine' toSignedMeasure_congr _
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
have h₂ :
((-s).toJordanDecomposition.negPart.singularPart μ).toSignedMeasure =
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure := by
refine' toSignedMeasure_congr _
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
rw [singularPart, singularPart, neg_sub, h₁, h₂]
#align measure_theory.signed_measure.singular_part_neg MeasureTheory.SignedMeasure.singularPart_neg
theorem singularPart_smul_nnreal (s : SignedMeasure α) (μ : Measure α) (r : ℝ≥0) :
(r • s).singularPart μ = r • s.singularPart μ := by
rw [singularPart, singularPart, smul_sub, ← toSignedMeasure_smul, ← toSignedMeasure_smul]
conv_lhs =>
congr
· congr
· rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart, singularPart_smul]
· congr
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart, singularPart_smul]
#align measure_theory.signed_measure.singular_part_smul_nnreal MeasureTheory.SignedMeasure.singularPart_smul_nnreal
nonrec theorem singularPart_smul (s : SignedMeasure α) (μ : Measure α) (r : ℝ) :
(r • s).singularPart μ = r • s.singularPart μ := by
| cases le_or_lt 0 r with
| inl hr =>
lift r to ℝ≥0 using hr
exact singularPart_smul_nnreal s μ r
| inr hr =>
rw [singularPart, singularPart]
conv_lhs =>
congr
· congr
· rw [toJordanDecomposition_smul_real,
JordanDecomposition.real_smul_posPart_neg _ _ hr, singularPart_smul]
· congr
· rw [toJordanDecomposition_smul_real,
JordanDecomposition.real_smul_negPart_neg _ _ hr, singularPart_smul]
rw [toSignedMeasure_smul, toSignedMeasure_smul, ← neg_sub, ← smul_sub, NNReal.smul_def,
← neg_smul, Real.coe_toNNReal _ (le_of_lt (neg_pos.mpr hr)), neg_neg] | nonrec theorem singularPart_smul (s : SignedMeasure α) (μ : Measure α) (r : ℝ) :
(r • s).singularPart μ = r • s.singularPart μ := by
| Mathlib.MeasureTheory.Decomposition.SignedLebesgue.363_0.HPGboz0rhL6sBes | nonrec theorem singularPart_smul (s : SignedMeasure α) (μ : Measure α) (r : ℝ) :
(r • s).singularPart μ = r • s.singularPart μ | Mathlib_MeasureTheory_Decomposition_SignedLebesgue |
α : Type u_1
β : Type u_2
m : MeasurableSpace α
μ✝ ν : Measure α
s✝ t s : SignedMeasure α
μ : Measure α
r : ℝ
x✝ : 0 ≤ r ∨ r < 0
⊢ singularPart (r • s) μ = r • singularPart s μ | /-
Copyright (c) 2021 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.MeasureTheory.Decomposition.Lebesgue
import Mathlib.MeasureTheory.Measure.Complex
/-!
# Lebesgue decomposition
This file proves the Lebesgue decomposition theorem for signed measures. The Lebesgue decomposition
theorem states that, given two σ-finite measures `μ` and `ν`, there exists a σ-finite measure `ξ`
and a measurable function `f` such that `μ = ξ + fν` and `ξ` is mutually singular with respect
to `ν`.
## Main definitions
* `MeasureTheory.SignedMeasure.HaveLebesgueDecomposition` : A signed measure `s` and a
measure `μ` is said to `HaveLebesgueDecomposition` if both the positive part and negative
part of `s` `HaveLebesgueDecomposition` with respect to `μ`.
* `MeasureTheory.SignedMeasure.singularPart` : The singular part between a signed measure `s`
and a measure `μ` is simply the singular part of the positive part of `s` with respect to `μ`
minus the singular part of the negative part of `s` with respect to `μ`.
* `MeasureTheory.SignedMeasure.rnDeriv` : The Radon-Nikodym derivative of a signed
measure `s` with respect to a measure `μ` is the Radon-Nikodym derivative of the positive part of
`s` with respect to `μ` minus the Radon-Nikodym derivative of the negative part of `s` with
respect to `μ`.
## Main results
* `MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq` :
the Lebesgue decomposition theorem between a signed measure and a σ-finite positive measure.
## Tags
Lebesgue decomposition theorem
-/
noncomputable section
open scoped Classical MeasureTheory NNReal ENNReal
open Set
variable {α β : Type*} {m : MeasurableSpace α} {μ ν : MeasureTheory.Measure α}
namespace MeasureTheory
namespace SignedMeasure
open Measure
/-- A signed measure `s` is said to `HaveLebesgueDecomposition` with respect to a measure `μ`
if the positive part and the negative part of `s` both `HaveLebesgueDecomposition` with
respect to `μ`. -/
class HaveLebesgueDecomposition (s : SignedMeasure α) (μ : Measure α) : Prop where
posPart : s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ
negPart : s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ
#align measure_theory.signed_measure.have_lebesgue_decomposition MeasureTheory.SignedMeasure.HaveLebesgueDecomposition
#align measure_theory.signed_measure.have_lebesgue_decomposition.pos_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.posPart
#align measure_theory.signed_measure.have_lebesgue_decomposition.neg_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.negPart
attribute [instance] HaveLebesgueDecomposition.posPart
attribute [instance] HaveLebesgueDecomposition.negPart
theorem not_haveLebesgueDecomposition_iff (s : SignedMeasure α) (μ : Measure α) :
¬s.HaveLebesgueDecomposition μ ↔
¬s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ ∨
¬s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ :=
⟨fun h => not_or_of_imp fun hp hn => h ⟨hp, hn⟩, fun h hl => (not_and_or.2 h) ⟨hl.1, hl.2⟩⟩
#align measure_theory.signed_measure.not_have_lebesgue_decomposition_iff MeasureTheory.SignedMeasure.not_haveLebesgueDecomposition_iff
-- `infer_instance` directly does not work
-- see Note [lower instance priority]
instance (priority := 100) haveLebesgueDecomposition_of_sigmaFinite (s : SignedMeasure α)
(μ : Measure α) [SigmaFinite μ] : s.HaveLebesgueDecomposition μ where
posPart := inferInstance
negPart := inferInstance
#align measure_theory.signed_measure.have_lebesgue_decomposition_of_sigma_finite MeasureTheory.SignedMeasure.haveLebesgueDecomposition_of_sigmaFinite
instance haveLebesgueDecomposition_neg (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] : (-s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_neg MeasureTheory.SignedMeasure.haveLebesgueDecomposition_neg
instance haveLebesgueDecomposition_smul (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ≥0) : (r • s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul
instance haveLebesgueDecomposition_smul_real (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ) : (r • s).HaveLebesgueDecomposition μ := by
by_cases hr : 0 ≤ r
· lift r to ℝ≥0 using hr
exact s.haveLebesgueDecomposition_smul μ _
· rw [not_le] at hr
refine'
{ posPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_posPart_neg _ _ hr]
infer_instance
negPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_negPart_neg _ _ hr]
infer_instance }
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul_real MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul_real
/-- Given a signed measure `s` and a measure `μ`, `s.singularPart μ` is the signed measure
such that `s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s` and
`s.singularPart μ` is mutually singular with respect to `μ`. -/
def singularPart (s : SignedMeasure α) (μ : Measure α) : SignedMeasure α :=
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure -
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure
#align measure_theory.signed_measure.singular_part MeasureTheory.SignedMeasure.singularPart
section
theorem singularPart_mutuallySingular (s : SignedMeasure α) (μ : Measure α) :
s.toJordanDecomposition.posPart.singularPart μ ⟂ₘ
s.toJordanDecomposition.negPart.singularPart μ := by
by_cases hl : s.HaveLebesgueDecomposition μ
· obtain ⟨i, hi, hpos, hneg⟩ := s.toJordanDecomposition.mutuallySingular
rw [s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ] at hpos
rw [s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ] at hneg
rw [add_apply, add_eq_zero_iff] at hpos hneg
exact ⟨i, hi, hpos.1, hneg.1⟩
· rw [not_haveLebesgueDecomposition_iff] at hl
cases' hl with hp hn
· rw [Measure.singularPart, dif_neg hp]
exact MutuallySingular.zero_left
· rw [Measure.singularPart, Measure.singularPart, dif_neg hn]
exact MutuallySingular.zero_right
#align measure_theory.signed_measure.singular_part_mutually_singular MeasureTheory.SignedMeasure.singularPart_mutuallySingular
theorem singularPart_totalVariation (s : SignedMeasure α) (μ : Measure α) :
(s.singularPart μ).totalVariation =
s.toJordanDecomposition.posPart.singularPart μ +
s.toJordanDecomposition.negPart.singularPart μ := by
have :
(s.singularPart μ).toJordanDecomposition =
⟨s.toJordanDecomposition.posPart.singularPart μ,
s.toJordanDecomposition.negPart.singularPart μ, singularPart_mutuallySingular s μ⟩ := by
refine' JordanDecomposition.toSignedMeasure_injective _
rw [toSignedMeasure_toJordanDecomposition, singularPart, JordanDecomposition.toSignedMeasure]
· rw [totalVariation, this]
#align measure_theory.signed_measure.singular_part_total_variation MeasureTheory.SignedMeasure.singularPart_totalVariation
nonrec theorem mutuallySingular_singularPart (s : SignedMeasure α) (μ : Measure α) :
singularPart s μ ⟂ᵥ μ.toENNRealVectorMeasure := by
rw [mutuallySingular_ennreal_iff, singularPart_totalVariation,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure]
exact (mutuallySingular_singularPart _ _).add_left (mutuallySingular_singularPart _ _)
#align measure_theory.signed_measure.mutually_singular_singular_part MeasureTheory.SignedMeasure.mutuallySingular_singularPart
end
/-- The Radon-Nikodym derivative between a signed measure and a positive measure.
`rnDeriv s μ` satisfies `μ.withDensityᵥ (s.rnDeriv μ) = s`
if and only if `s` is absolutely continuous with respect to `μ` and this fact is known as
`MeasureTheory.SignedMeasure.absolutelyContinuous_iff_withDensity_rnDeriv_eq`
and can be found in `MeasureTheory.Decomposition.RadonNikodym`. -/
def rnDeriv (s : SignedMeasure α) (μ : Measure α) : α → ℝ := fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal
#align measure_theory.signed_measure.rn_deriv MeasureTheory.SignedMeasure.rnDeriv
-- Porting note: The generated equation theorem is the form of `rnDeriv s μ x`.
theorem rnDeriv_def (s : SignedMeasure α) (μ : Measure α) : rnDeriv s μ = fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal :=
rfl
attribute [eqns rnDeriv_def] rnDeriv
variable {s t : SignedMeasure α}
@[measurability]
theorem measurable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Measurable (rnDeriv s μ) := by
rw [rnDeriv]
measurability
#align measure_theory.signed_measure.measurable_rn_deriv MeasureTheory.SignedMeasure.measurable_rnDeriv
theorem integrable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Integrable (rnDeriv s μ) μ := by
refine' Integrable.sub _ _ <;>
· constructor
· apply Measurable.aestronglyMeasurable; measurability
exact hasFiniteIntegral_toReal_of_lintegral_ne_top (lintegral_rnDeriv_lt_top _ μ).ne
#align measure_theory.signed_measure.integrable_rn_deriv MeasureTheory.SignedMeasure.integrable_rnDeriv
variable (s μ)
/-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
first
| exact (lintegral_rnDeriv_lt_top _ _).ne
| measurability
#align measure_theory.signed_measure.singular_part_add_with_density_rn_deriv_eq MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq
variable {s μ}
theorem jordanDecomposition_add_withDensity_mutuallySingular {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) :
(t.toJordanDecomposition.posPart + μ.withDensity fun x : α => ENNReal.ofReal (f x)) ⟂ₘ
t.toJordanDecomposition.negPart + μ.withDensity fun x : α => ENNReal.ofReal (-f x) := by
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
exact
((JordanDecomposition.mutuallySingular _).add_right
(htμ.1.mono_ac (refl _) (withDensity_absolutelyContinuous _ _))).add_left
((htμ.2.symm.mono_ac (withDensity_absolutelyContinuous _ _) (refl _)).add_right
(withDensity_ofReal_mutuallySingular hf))
#align measure_theory.signed_measure.jordan_decomposition_add_with_density_mutually_singular MeasureTheory.SignedMeasure.jordanDecomposition_add_withDensity_mutuallySingular
theorem toJordanDecomposition_eq_of_eq_add_withDensity {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.toJordanDecomposition =
@JordanDecomposition.mk α _
(t.toJordanDecomposition.posPart + μ.withDensity fun x => ENNReal.ofReal (f x))
(t.toJordanDecomposition.negPart + μ.withDensity fun x => ENNReal.ofReal (-f x))
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.2; infer_instance)
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2; infer_instance)
(jordanDecomposition_add_withDensity_mutuallySingular hf htμ) := by
haveI := isFiniteMeasure_withDensity_ofReal hfi.2
haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2
refine' toJordanDecomposition_eq _
simp_rw [JordanDecomposition.toSignedMeasure, hadd]
ext i hi
rw [VectorMeasure.sub_apply, toSignedMeasure_apply_measurable hi,
toSignedMeasure_apply_measurable hi, add_apply, add_apply, ENNReal.toReal_add,
ENNReal.toReal_add, add_sub_add_comm, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi, ← VectorMeasure.sub_apply,
← JordanDecomposition.toSignedMeasure, toSignedMeasure_toJordanDecomposition,
VectorMeasure.add_apply, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi,
withDensityᵥ_eq_withDensity_pos_part_sub_withDensity_neg_part hfi,
VectorMeasure.sub_apply] <;>
exact (measure_lt_top _ _).ne
#align measure_theory.signed_measure.to_jordan_decomposition_eq_of_eq_add_with_density MeasureTheory.SignedMeasure.toJordanDecomposition_eq_of_eq_add_withDensity
private theorem haveLebesgueDecomposition_mk' (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff] at htμ
change _ ⟂ₘ VectorMeasure.equivMeasure.toFun (VectorMeasure.equivMeasure.invFun μ) at htμ
rw [VectorMeasure.equivMeasure.right_inv, totalVariation_mutuallySingular_iff] at htμ
refine'
{ posPart := by
use ⟨t.toJordanDecomposition.posPart, fun x => ENNReal.ofReal (f x)⟩
refine' ⟨hf.ennreal_ofReal, htμ.1, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
negPart := by
use ⟨t.toJordanDecomposition.negPart, fun x => ENNReal.ofReal (-f x)⟩
refine' ⟨hf.neg.ennreal_ofReal, htμ.2, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd] }
theorem haveLebesgueDecomposition_mk (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
by_cases hfi : Integrable f μ
· exact haveLebesgueDecomposition_mk' μ hf hfi htμ hadd
· rw [withDensityᵥ, dif_neg hfi, add_zero] at hadd
refine' haveLebesgueDecomposition_mk' μ measurable_zero (integrable_zero _ _ μ) htμ _
rwa [withDensityᵥ_zero, add_zero]
#align measure_theory.signed_measure.have_lebesgue_decomposition_mk MeasureTheory.SignedMeasure.haveLebesgueDecomposition_mk
private theorem eq_singularPart' (t : SignedMeasure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
t = s.singularPart μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
rw [singularPart, ← t.toSignedMeasure_toJordanDecomposition,
JordanDecomposition.toSignedMeasure]
congr
· have hfpos : Measurable fun x => ENNReal.ofReal (f x) := by measurability
refine' eq_singularPart hfpos htμ.1 _
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
· have hfneg : Measurable fun x => ENNReal.ofReal (-f x) := by measurability
refine' eq_singularPart hfneg htμ.2 _
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
/-- Given a measure `μ`, signed measures `s` and `t`, and a function `f` such that `t` is
mutually singular with respect to `μ` and `s = t + μ.withDensityᵥ f`, we have
`t = singularPart s μ`, i.e. `t` is the singular part of the Lebesgue decomposition between
`s` and `μ`. -/
theorem eq_singularPart (t : SignedMeasure α) (f : α → ℝ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure)
(hadd : s = t + μ.withDensityᵥ f) : t = s.singularPart μ := by
by_cases hfi : Integrable f μ
· refine' eq_singularPart' t hfi.1.measurable_mk (hfi.congr hfi.1.ae_eq_mk) htμ _
convert hadd using 2
exact WithDensityᵥEq.congr_ae hfi.1.ae_eq_mk.symm
· rw [withDensityᵥ, dif_neg hfi, add_zero] at hadd
refine' eq_singularPart' t measurable_zero (integrable_zero _ _ μ) htμ _
rwa [withDensityᵥ_zero, add_zero]
#align measure_theory.signed_measure.eq_singular_part MeasureTheory.SignedMeasure.eq_singularPart
theorem singularPart_zero (μ : Measure α) : (0 : SignedMeasure α).singularPart μ = 0 := by
refine' (eq_singularPart 0 0 VectorMeasure.MutuallySingular.zero_left _).symm
rw [zero_add, withDensityᵥ_zero]
#align measure_theory.signed_measure.singular_part_zero MeasureTheory.SignedMeasure.singularPart_zero
theorem singularPart_neg (s : SignedMeasure α) (μ : Measure α) :
(-s).singularPart μ = -s.singularPart μ := by
have h₁ :
((-s).toJordanDecomposition.posPart.singularPart μ).toSignedMeasure =
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure := by
refine' toSignedMeasure_congr _
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
have h₂ :
((-s).toJordanDecomposition.negPart.singularPart μ).toSignedMeasure =
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure := by
refine' toSignedMeasure_congr _
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
rw [singularPart, singularPart, neg_sub, h₁, h₂]
#align measure_theory.signed_measure.singular_part_neg MeasureTheory.SignedMeasure.singularPart_neg
theorem singularPart_smul_nnreal (s : SignedMeasure α) (μ : Measure α) (r : ℝ≥0) :
(r • s).singularPart μ = r • s.singularPart μ := by
rw [singularPart, singularPart, smul_sub, ← toSignedMeasure_smul, ← toSignedMeasure_smul]
conv_lhs =>
congr
· congr
· rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart, singularPart_smul]
· congr
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart, singularPart_smul]
#align measure_theory.signed_measure.singular_part_smul_nnreal MeasureTheory.SignedMeasure.singularPart_smul_nnreal
nonrec theorem singularPart_smul (s : SignedMeasure α) (μ : Measure α) (r : ℝ) :
(r • s).singularPart μ = r • s.singularPart μ := by
| cases le_or_lt 0 r with
| inl hr =>
lift r to ℝ≥0 using hr
exact singularPart_smul_nnreal s μ r
| inr hr =>
rw [singularPart, singularPart]
conv_lhs =>
congr
· congr
· rw [toJordanDecomposition_smul_real,
JordanDecomposition.real_smul_posPart_neg _ _ hr, singularPart_smul]
· congr
· rw [toJordanDecomposition_smul_real,
JordanDecomposition.real_smul_negPart_neg _ _ hr, singularPart_smul]
rw [toSignedMeasure_smul, toSignedMeasure_smul, ← neg_sub, ← smul_sub, NNReal.smul_def,
← neg_smul, Real.coe_toNNReal _ (le_of_lt (neg_pos.mpr hr)), neg_neg] | nonrec theorem singularPart_smul (s : SignedMeasure α) (μ : Measure α) (r : ℝ) :
(r • s).singularPart μ = r • s.singularPart μ := by
| Mathlib.MeasureTheory.Decomposition.SignedLebesgue.363_0.HPGboz0rhL6sBes | nonrec theorem singularPart_smul (s : SignedMeasure α) (μ : Measure α) (r : ℝ) :
(r • s).singularPart μ = r • s.singularPart μ | Mathlib_MeasureTheory_Decomposition_SignedLebesgue |
case inl
α : Type u_1
β : Type u_2
m : MeasurableSpace α
μ✝ ν : Measure α
s✝ t s : SignedMeasure α
μ : Measure α
r : ℝ
hr : 0 ≤ r
⊢ singularPart (r • s) μ = r • singularPart s μ | /-
Copyright (c) 2021 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.MeasureTheory.Decomposition.Lebesgue
import Mathlib.MeasureTheory.Measure.Complex
/-!
# Lebesgue decomposition
This file proves the Lebesgue decomposition theorem for signed measures. The Lebesgue decomposition
theorem states that, given two σ-finite measures `μ` and `ν`, there exists a σ-finite measure `ξ`
and a measurable function `f` such that `μ = ξ + fν` and `ξ` is mutually singular with respect
to `ν`.
## Main definitions
* `MeasureTheory.SignedMeasure.HaveLebesgueDecomposition` : A signed measure `s` and a
measure `μ` is said to `HaveLebesgueDecomposition` if both the positive part and negative
part of `s` `HaveLebesgueDecomposition` with respect to `μ`.
* `MeasureTheory.SignedMeasure.singularPart` : The singular part between a signed measure `s`
and a measure `μ` is simply the singular part of the positive part of `s` with respect to `μ`
minus the singular part of the negative part of `s` with respect to `μ`.
* `MeasureTheory.SignedMeasure.rnDeriv` : The Radon-Nikodym derivative of a signed
measure `s` with respect to a measure `μ` is the Radon-Nikodym derivative of the positive part of
`s` with respect to `μ` minus the Radon-Nikodym derivative of the negative part of `s` with
respect to `μ`.
## Main results
* `MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq` :
the Lebesgue decomposition theorem between a signed measure and a σ-finite positive measure.
## Tags
Lebesgue decomposition theorem
-/
noncomputable section
open scoped Classical MeasureTheory NNReal ENNReal
open Set
variable {α β : Type*} {m : MeasurableSpace α} {μ ν : MeasureTheory.Measure α}
namespace MeasureTheory
namespace SignedMeasure
open Measure
/-- A signed measure `s` is said to `HaveLebesgueDecomposition` with respect to a measure `μ`
if the positive part and the negative part of `s` both `HaveLebesgueDecomposition` with
respect to `μ`. -/
class HaveLebesgueDecomposition (s : SignedMeasure α) (μ : Measure α) : Prop where
posPart : s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ
negPart : s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ
#align measure_theory.signed_measure.have_lebesgue_decomposition MeasureTheory.SignedMeasure.HaveLebesgueDecomposition
#align measure_theory.signed_measure.have_lebesgue_decomposition.pos_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.posPart
#align measure_theory.signed_measure.have_lebesgue_decomposition.neg_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.negPart
attribute [instance] HaveLebesgueDecomposition.posPart
attribute [instance] HaveLebesgueDecomposition.negPart
theorem not_haveLebesgueDecomposition_iff (s : SignedMeasure α) (μ : Measure α) :
¬s.HaveLebesgueDecomposition μ ↔
¬s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ ∨
¬s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ :=
⟨fun h => not_or_of_imp fun hp hn => h ⟨hp, hn⟩, fun h hl => (not_and_or.2 h) ⟨hl.1, hl.2⟩⟩
#align measure_theory.signed_measure.not_have_lebesgue_decomposition_iff MeasureTheory.SignedMeasure.not_haveLebesgueDecomposition_iff
-- `infer_instance` directly does not work
-- see Note [lower instance priority]
instance (priority := 100) haveLebesgueDecomposition_of_sigmaFinite (s : SignedMeasure α)
(μ : Measure α) [SigmaFinite μ] : s.HaveLebesgueDecomposition μ where
posPart := inferInstance
negPart := inferInstance
#align measure_theory.signed_measure.have_lebesgue_decomposition_of_sigma_finite MeasureTheory.SignedMeasure.haveLebesgueDecomposition_of_sigmaFinite
instance haveLebesgueDecomposition_neg (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] : (-s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_neg MeasureTheory.SignedMeasure.haveLebesgueDecomposition_neg
instance haveLebesgueDecomposition_smul (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ≥0) : (r • s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul
instance haveLebesgueDecomposition_smul_real (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ) : (r • s).HaveLebesgueDecomposition μ := by
by_cases hr : 0 ≤ r
· lift r to ℝ≥0 using hr
exact s.haveLebesgueDecomposition_smul μ _
· rw [not_le] at hr
refine'
{ posPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_posPart_neg _ _ hr]
infer_instance
negPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_negPart_neg _ _ hr]
infer_instance }
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul_real MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul_real
/-- Given a signed measure `s` and a measure `μ`, `s.singularPart μ` is the signed measure
such that `s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s` and
`s.singularPart μ` is mutually singular with respect to `μ`. -/
def singularPart (s : SignedMeasure α) (μ : Measure α) : SignedMeasure α :=
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure -
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure
#align measure_theory.signed_measure.singular_part MeasureTheory.SignedMeasure.singularPart
section
theorem singularPart_mutuallySingular (s : SignedMeasure α) (μ : Measure α) :
s.toJordanDecomposition.posPart.singularPart μ ⟂ₘ
s.toJordanDecomposition.negPart.singularPart μ := by
by_cases hl : s.HaveLebesgueDecomposition μ
· obtain ⟨i, hi, hpos, hneg⟩ := s.toJordanDecomposition.mutuallySingular
rw [s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ] at hpos
rw [s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ] at hneg
rw [add_apply, add_eq_zero_iff] at hpos hneg
exact ⟨i, hi, hpos.1, hneg.1⟩
· rw [not_haveLebesgueDecomposition_iff] at hl
cases' hl with hp hn
· rw [Measure.singularPart, dif_neg hp]
exact MutuallySingular.zero_left
· rw [Measure.singularPart, Measure.singularPart, dif_neg hn]
exact MutuallySingular.zero_right
#align measure_theory.signed_measure.singular_part_mutually_singular MeasureTheory.SignedMeasure.singularPart_mutuallySingular
theorem singularPart_totalVariation (s : SignedMeasure α) (μ : Measure α) :
(s.singularPart μ).totalVariation =
s.toJordanDecomposition.posPart.singularPart μ +
s.toJordanDecomposition.negPart.singularPart μ := by
have :
(s.singularPart μ).toJordanDecomposition =
⟨s.toJordanDecomposition.posPart.singularPart μ,
s.toJordanDecomposition.negPart.singularPart μ, singularPart_mutuallySingular s μ⟩ := by
refine' JordanDecomposition.toSignedMeasure_injective _
rw [toSignedMeasure_toJordanDecomposition, singularPart, JordanDecomposition.toSignedMeasure]
· rw [totalVariation, this]
#align measure_theory.signed_measure.singular_part_total_variation MeasureTheory.SignedMeasure.singularPart_totalVariation
nonrec theorem mutuallySingular_singularPart (s : SignedMeasure α) (μ : Measure α) :
singularPart s μ ⟂ᵥ μ.toENNRealVectorMeasure := by
rw [mutuallySingular_ennreal_iff, singularPart_totalVariation,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure]
exact (mutuallySingular_singularPart _ _).add_left (mutuallySingular_singularPart _ _)
#align measure_theory.signed_measure.mutually_singular_singular_part MeasureTheory.SignedMeasure.mutuallySingular_singularPart
end
/-- The Radon-Nikodym derivative between a signed measure and a positive measure.
`rnDeriv s μ` satisfies `μ.withDensityᵥ (s.rnDeriv μ) = s`
if and only if `s` is absolutely continuous with respect to `μ` and this fact is known as
`MeasureTheory.SignedMeasure.absolutelyContinuous_iff_withDensity_rnDeriv_eq`
and can be found in `MeasureTheory.Decomposition.RadonNikodym`. -/
def rnDeriv (s : SignedMeasure α) (μ : Measure α) : α → ℝ := fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal
#align measure_theory.signed_measure.rn_deriv MeasureTheory.SignedMeasure.rnDeriv
-- Porting note: The generated equation theorem is the form of `rnDeriv s μ x`.
theorem rnDeriv_def (s : SignedMeasure α) (μ : Measure α) : rnDeriv s μ = fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal :=
rfl
attribute [eqns rnDeriv_def] rnDeriv
variable {s t : SignedMeasure α}
@[measurability]
theorem measurable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Measurable (rnDeriv s μ) := by
rw [rnDeriv]
measurability
#align measure_theory.signed_measure.measurable_rn_deriv MeasureTheory.SignedMeasure.measurable_rnDeriv
theorem integrable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Integrable (rnDeriv s μ) μ := by
refine' Integrable.sub _ _ <;>
· constructor
· apply Measurable.aestronglyMeasurable; measurability
exact hasFiniteIntegral_toReal_of_lintegral_ne_top (lintegral_rnDeriv_lt_top _ μ).ne
#align measure_theory.signed_measure.integrable_rn_deriv MeasureTheory.SignedMeasure.integrable_rnDeriv
variable (s μ)
/-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
first
| exact (lintegral_rnDeriv_lt_top _ _).ne
| measurability
#align measure_theory.signed_measure.singular_part_add_with_density_rn_deriv_eq MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq
variable {s μ}
theorem jordanDecomposition_add_withDensity_mutuallySingular {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) :
(t.toJordanDecomposition.posPart + μ.withDensity fun x : α => ENNReal.ofReal (f x)) ⟂ₘ
t.toJordanDecomposition.negPart + μ.withDensity fun x : α => ENNReal.ofReal (-f x) := by
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
exact
((JordanDecomposition.mutuallySingular _).add_right
(htμ.1.mono_ac (refl _) (withDensity_absolutelyContinuous _ _))).add_left
((htμ.2.symm.mono_ac (withDensity_absolutelyContinuous _ _) (refl _)).add_right
(withDensity_ofReal_mutuallySingular hf))
#align measure_theory.signed_measure.jordan_decomposition_add_with_density_mutually_singular MeasureTheory.SignedMeasure.jordanDecomposition_add_withDensity_mutuallySingular
theorem toJordanDecomposition_eq_of_eq_add_withDensity {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.toJordanDecomposition =
@JordanDecomposition.mk α _
(t.toJordanDecomposition.posPart + μ.withDensity fun x => ENNReal.ofReal (f x))
(t.toJordanDecomposition.negPart + μ.withDensity fun x => ENNReal.ofReal (-f x))
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.2; infer_instance)
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2; infer_instance)
(jordanDecomposition_add_withDensity_mutuallySingular hf htμ) := by
haveI := isFiniteMeasure_withDensity_ofReal hfi.2
haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2
refine' toJordanDecomposition_eq _
simp_rw [JordanDecomposition.toSignedMeasure, hadd]
ext i hi
rw [VectorMeasure.sub_apply, toSignedMeasure_apply_measurable hi,
toSignedMeasure_apply_measurable hi, add_apply, add_apply, ENNReal.toReal_add,
ENNReal.toReal_add, add_sub_add_comm, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi, ← VectorMeasure.sub_apply,
← JordanDecomposition.toSignedMeasure, toSignedMeasure_toJordanDecomposition,
VectorMeasure.add_apply, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi,
withDensityᵥ_eq_withDensity_pos_part_sub_withDensity_neg_part hfi,
VectorMeasure.sub_apply] <;>
exact (measure_lt_top _ _).ne
#align measure_theory.signed_measure.to_jordan_decomposition_eq_of_eq_add_with_density MeasureTheory.SignedMeasure.toJordanDecomposition_eq_of_eq_add_withDensity
private theorem haveLebesgueDecomposition_mk' (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff] at htμ
change _ ⟂ₘ VectorMeasure.equivMeasure.toFun (VectorMeasure.equivMeasure.invFun μ) at htμ
rw [VectorMeasure.equivMeasure.right_inv, totalVariation_mutuallySingular_iff] at htμ
refine'
{ posPart := by
use ⟨t.toJordanDecomposition.posPart, fun x => ENNReal.ofReal (f x)⟩
refine' ⟨hf.ennreal_ofReal, htμ.1, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
negPart := by
use ⟨t.toJordanDecomposition.negPart, fun x => ENNReal.ofReal (-f x)⟩
refine' ⟨hf.neg.ennreal_ofReal, htμ.2, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd] }
theorem haveLebesgueDecomposition_mk (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
by_cases hfi : Integrable f μ
· exact haveLebesgueDecomposition_mk' μ hf hfi htμ hadd
· rw [withDensityᵥ, dif_neg hfi, add_zero] at hadd
refine' haveLebesgueDecomposition_mk' μ measurable_zero (integrable_zero _ _ μ) htμ _
rwa [withDensityᵥ_zero, add_zero]
#align measure_theory.signed_measure.have_lebesgue_decomposition_mk MeasureTheory.SignedMeasure.haveLebesgueDecomposition_mk
private theorem eq_singularPart' (t : SignedMeasure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
t = s.singularPart μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
rw [singularPart, ← t.toSignedMeasure_toJordanDecomposition,
JordanDecomposition.toSignedMeasure]
congr
· have hfpos : Measurable fun x => ENNReal.ofReal (f x) := by measurability
refine' eq_singularPart hfpos htμ.1 _
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
· have hfneg : Measurable fun x => ENNReal.ofReal (-f x) := by measurability
refine' eq_singularPart hfneg htμ.2 _
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
/-- Given a measure `μ`, signed measures `s` and `t`, and a function `f` such that `t` is
mutually singular with respect to `μ` and `s = t + μ.withDensityᵥ f`, we have
`t = singularPart s μ`, i.e. `t` is the singular part of the Lebesgue decomposition between
`s` and `μ`. -/
theorem eq_singularPart (t : SignedMeasure α) (f : α → ℝ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure)
(hadd : s = t + μ.withDensityᵥ f) : t = s.singularPart μ := by
by_cases hfi : Integrable f μ
· refine' eq_singularPart' t hfi.1.measurable_mk (hfi.congr hfi.1.ae_eq_mk) htμ _
convert hadd using 2
exact WithDensityᵥEq.congr_ae hfi.1.ae_eq_mk.symm
· rw [withDensityᵥ, dif_neg hfi, add_zero] at hadd
refine' eq_singularPart' t measurable_zero (integrable_zero _ _ μ) htμ _
rwa [withDensityᵥ_zero, add_zero]
#align measure_theory.signed_measure.eq_singular_part MeasureTheory.SignedMeasure.eq_singularPart
theorem singularPart_zero (μ : Measure α) : (0 : SignedMeasure α).singularPart μ = 0 := by
refine' (eq_singularPart 0 0 VectorMeasure.MutuallySingular.zero_left _).symm
rw [zero_add, withDensityᵥ_zero]
#align measure_theory.signed_measure.singular_part_zero MeasureTheory.SignedMeasure.singularPart_zero
theorem singularPart_neg (s : SignedMeasure α) (μ : Measure α) :
(-s).singularPart μ = -s.singularPart μ := by
have h₁ :
((-s).toJordanDecomposition.posPart.singularPart μ).toSignedMeasure =
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure := by
refine' toSignedMeasure_congr _
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
have h₂ :
((-s).toJordanDecomposition.negPart.singularPart μ).toSignedMeasure =
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure := by
refine' toSignedMeasure_congr _
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
rw [singularPart, singularPart, neg_sub, h₁, h₂]
#align measure_theory.signed_measure.singular_part_neg MeasureTheory.SignedMeasure.singularPart_neg
theorem singularPart_smul_nnreal (s : SignedMeasure α) (μ : Measure α) (r : ℝ≥0) :
(r • s).singularPart μ = r • s.singularPart μ := by
rw [singularPart, singularPart, smul_sub, ← toSignedMeasure_smul, ← toSignedMeasure_smul]
conv_lhs =>
congr
· congr
· rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart, singularPart_smul]
· congr
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart, singularPart_smul]
#align measure_theory.signed_measure.singular_part_smul_nnreal MeasureTheory.SignedMeasure.singularPart_smul_nnreal
nonrec theorem singularPart_smul (s : SignedMeasure α) (μ : Measure α) (r : ℝ) :
(r • s).singularPart μ = r • s.singularPart μ := by
cases le_or_lt 0 r with
| | inl hr =>
lift r to ℝ≥0 using hr
exact singularPart_smul_nnreal s μ r | nonrec theorem singularPart_smul (s : SignedMeasure α) (μ : Measure α) (r : ℝ) :
(r • s).singularPart μ = r • s.singularPart μ := by
cases le_or_lt 0 r with
| Mathlib.MeasureTheory.Decomposition.SignedLebesgue.363_0.HPGboz0rhL6sBes | nonrec theorem singularPart_smul (s : SignedMeasure α) (μ : Measure α) (r : ℝ) :
(r • s).singularPart μ = r • s.singularPart μ | Mathlib_MeasureTheory_Decomposition_SignedLebesgue |
case inl
α : Type u_1
β : Type u_2
m : MeasurableSpace α
μ✝ ν : Measure α
s✝ t s : SignedMeasure α
μ : Measure α
r : ℝ
hr : 0 ≤ r
⊢ singularPart (r • s) μ = r • singularPart s μ | /-
Copyright (c) 2021 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.MeasureTheory.Decomposition.Lebesgue
import Mathlib.MeasureTheory.Measure.Complex
/-!
# Lebesgue decomposition
This file proves the Lebesgue decomposition theorem for signed measures. The Lebesgue decomposition
theorem states that, given two σ-finite measures `μ` and `ν`, there exists a σ-finite measure `ξ`
and a measurable function `f` such that `μ = ξ + fν` and `ξ` is mutually singular with respect
to `ν`.
## Main definitions
* `MeasureTheory.SignedMeasure.HaveLebesgueDecomposition` : A signed measure `s` and a
measure `μ` is said to `HaveLebesgueDecomposition` if both the positive part and negative
part of `s` `HaveLebesgueDecomposition` with respect to `μ`.
* `MeasureTheory.SignedMeasure.singularPart` : The singular part between a signed measure `s`
and a measure `μ` is simply the singular part of the positive part of `s` with respect to `μ`
minus the singular part of the negative part of `s` with respect to `μ`.
* `MeasureTheory.SignedMeasure.rnDeriv` : The Radon-Nikodym derivative of a signed
measure `s` with respect to a measure `μ` is the Radon-Nikodym derivative of the positive part of
`s` with respect to `μ` minus the Radon-Nikodym derivative of the negative part of `s` with
respect to `μ`.
## Main results
* `MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq` :
the Lebesgue decomposition theorem between a signed measure and a σ-finite positive measure.
## Tags
Lebesgue decomposition theorem
-/
noncomputable section
open scoped Classical MeasureTheory NNReal ENNReal
open Set
variable {α β : Type*} {m : MeasurableSpace α} {μ ν : MeasureTheory.Measure α}
namespace MeasureTheory
namespace SignedMeasure
open Measure
/-- A signed measure `s` is said to `HaveLebesgueDecomposition` with respect to a measure `μ`
if the positive part and the negative part of `s` both `HaveLebesgueDecomposition` with
respect to `μ`. -/
class HaveLebesgueDecomposition (s : SignedMeasure α) (μ : Measure α) : Prop where
posPart : s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ
negPart : s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ
#align measure_theory.signed_measure.have_lebesgue_decomposition MeasureTheory.SignedMeasure.HaveLebesgueDecomposition
#align measure_theory.signed_measure.have_lebesgue_decomposition.pos_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.posPart
#align measure_theory.signed_measure.have_lebesgue_decomposition.neg_part MeasureTheory.SignedMeasure.HaveLebesgueDecomposition.negPart
attribute [instance] HaveLebesgueDecomposition.posPart
attribute [instance] HaveLebesgueDecomposition.negPart
theorem not_haveLebesgueDecomposition_iff (s : SignedMeasure α) (μ : Measure α) :
¬s.HaveLebesgueDecomposition μ ↔
¬s.toJordanDecomposition.posPart.HaveLebesgueDecomposition μ ∨
¬s.toJordanDecomposition.negPart.HaveLebesgueDecomposition μ :=
⟨fun h => not_or_of_imp fun hp hn => h ⟨hp, hn⟩, fun h hl => (not_and_or.2 h) ⟨hl.1, hl.2⟩⟩
#align measure_theory.signed_measure.not_have_lebesgue_decomposition_iff MeasureTheory.SignedMeasure.not_haveLebesgueDecomposition_iff
-- `infer_instance` directly does not work
-- see Note [lower instance priority]
instance (priority := 100) haveLebesgueDecomposition_of_sigmaFinite (s : SignedMeasure α)
(μ : Measure α) [SigmaFinite μ] : s.HaveLebesgueDecomposition μ where
posPart := inferInstance
negPart := inferInstance
#align measure_theory.signed_measure.have_lebesgue_decomposition_of_sigma_finite MeasureTheory.SignedMeasure.haveLebesgueDecomposition_of_sigmaFinite
instance haveLebesgueDecomposition_neg (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] : (-s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_neg MeasureTheory.SignedMeasure.haveLebesgueDecomposition_neg
instance haveLebesgueDecomposition_smul (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ≥0) : (r • s).HaveLebesgueDecomposition μ where
posPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart]
infer_instance
negPart := by
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart]
infer_instance
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul
instance haveLebesgueDecomposition_smul_real (s : SignedMeasure α) (μ : Measure α)
[s.HaveLebesgueDecomposition μ] (r : ℝ) : (r • s).HaveLebesgueDecomposition μ := by
by_cases hr : 0 ≤ r
· lift r to ℝ≥0 using hr
exact s.haveLebesgueDecomposition_smul μ _
· rw [not_le] at hr
refine'
{ posPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_posPart_neg _ _ hr]
infer_instance
negPart := by
rw [toJordanDecomposition_smul_real, JordanDecomposition.real_smul_negPart_neg _ _ hr]
infer_instance }
#align measure_theory.signed_measure.have_lebesgue_decomposition_smul_real MeasureTheory.SignedMeasure.haveLebesgueDecomposition_smul_real
/-- Given a signed measure `s` and a measure `μ`, `s.singularPart μ` is the signed measure
such that `s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s` and
`s.singularPart μ` is mutually singular with respect to `μ`. -/
def singularPart (s : SignedMeasure α) (μ : Measure α) : SignedMeasure α :=
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure -
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure
#align measure_theory.signed_measure.singular_part MeasureTheory.SignedMeasure.singularPart
section
theorem singularPart_mutuallySingular (s : SignedMeasure α) (μ : Measure α) :
s.toJordanDecomposition.posPart.singularPart μ ⟂ₘ
s.toJordanDecomposition.negPart.singularPart μ := by
by_cases hl : s.HaveLebesgueDecomposition μ
· obtain ⟨i, hi, hpos, hneg⟩ := s.toJordanDecomposition.mutuallySingular
rw [s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ] at hpos
rw [s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ] at hneg
rw [add_apply, add_eq_zero_iff] at hpos hneg
exact ⟨i, hi, hpos.1, hneg.1⟩
· rw [not_haveLebesgueDecomposition_iff] at hl
cases' hl with hp hn
· rw [Measure.singularPart, dif_neg hp]
exact MutuallySingular.zero_left
· rw [Measure.singularPart, Measure.singularPart, dif_neg hn]
exact MutuallySingular.zero_right
#align measure_theory.signed_measure.singular_part_mutually_singular MeasureTheory.SignedMeasure.singularPart_mutuallySingular
theorem singularPart_totalVariation (s : SignedMeasure α) (μ : Measure α) :
(s.singularPart μ).totalVariation =
s.toJordanDecomposition.posPart.singularPart μ +
s.toJordanDecomposition.negPart.singularPart μ := by
have :
(s.singularPart μ).toJordanDecomposition =
⟨s.toJordanDecomposition.posPart.singularPart μ,
s.toJordanDecomposition.negPart.singularPart μ, singularPart_mutuallySingular s μ⟩ := by
refine' JordanDecomposition.toSignedMeasure_injective _
rw [toSignedMeasure_toJordanDecomposition, singularPart, JordanDecomposition.toSignedMeasure]
· rw [totalVariation, this]
#align measure_theory.signed_measure.singular_part_total_variation MeasureTheory.SignedMeasure.singularPart_totalVariation
nonrec theorem mutuallySingular_singularPart (s : SignedMeasure α) (μ : Measure α) :
singularPart s μ ⟂ᵥ μ.toENNRealVectorMeasure := by
rw [mutuallySingular_ennreal_iff, singularPart_totalVariation,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure]
exact (mutuallySingular_singularPart _ _).add_left (mutuallySingular_singularPart _ _)
#align measure_theory.signed_measure.mutually_singular_singular_part MeasureTheory.SignedMeasure.mutuallySingular_singularPart
end
/-- The Radon-Nikodym derivative between a signed measure and a positive measure.
`rnDeriv s μ` satisfies `μ.withDensityᵥ (s.rnDeriv μ) = s`
if and only if `s` is absolutely continuous with respect to `μ` and this fact is known as
`MeasureTheory.SignedMeasure.absolutelyContinuous_iff_withDensity_rnDeriv_eq`
and can be found in `MeasureTheory.Decomposition.RadonNikodym`. -/
def rnDeriv (s : SignedMeasure α) (μ : Measure α) : α → ℝ := fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal
#align measure_theory.signed_measure.rn_deriv MeasureTheory.SignedMeasure.rnDeriv
-- Porting note: The generated equation theorem is the form of `rnDeriv s μ x`.
theorem rnDeriv_def (s : SignedMeasure α) (μ : Measure α) : rnDeriv s μ = fun x =>
(s.toJordanDecomposition.posPart.rnDeriv μ x).toReal -
(s.toJordanDecomposition.negPart.rnDeriv μ x).toReal :=
rfl
attribute [eqns rnDeriv_def] rnDeriv
variable {s t : SignedMeasure α}
@[measurability]
theorem measurable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Measurable (rnDeriv s μ) := by
rw [rnDeriv]
measurability
#align measure_theory.signed_measure.measurable_rn_deriv MeasureTheory.SignedMeasure.measurable_rnDeriv
theorem integrable_rnDeriv (s : SignedMeasure α) (μ : Measure α) : Integrable (rnDeriv s μ) μ := by
refine' Integrable.sub _ _ <;>
· constructor
· apply Measurable.aestronglyMeasurable; measurability
exact hasFiniteIntegral_toReal_of_lintegral_ne_top (lintegral_rnDeriv_lt_top _ μ).ne
#align measure_theory.signed_measure.integrable_rn_deriv MeasureTheory.SignedMeasure.integrable_rnDeriv
variable (s μ)
/-- **The Lebesgue Decomposition theorem between a signed measure and a measure**:
Given a signed measure `s` and a σ-finite measure `μ`, there exist a signed measure `t` and a
measurable and integrable function `f`, such that `t` is mutually singular with respect to `μ`
and `s = t + μ.withDensityᵥ f`. In this case `t = s.singularPart μ` and
`f = s.rnDeriv μ`. -/
theorem singularPart_add_withDensity_rnDeriv_eq [s.HaveLebesgueDecomposition μ] :
s.singularPart μ + μ.withDensityᵥ (s.rnDeriv μ) = s := by
conv_rhs =>
rw [← toSignedMeasure_toJordanDecomposition s, JordanDecomposition.toSignedMeasure]
rw [singularPart, rnDeriv,
withDensityᵥ_sub' (integrable_toReal_of_lintegral_ne_top _ _)
(integrable_toReal_of_lintegral_ne_top _ _),
withDensityᵥ_toReal, withDensityᵥ_toReal, sub_eq_add_neg, sub_eq_add_neg,
add_comm (s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure, ← add_assoc,
add_assoc (-(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure),
← toSignedMeasure_add, add_comm, ← add_assoc, ← neg_add, ← toSignedMeasure_add, add_comm,
← sub_eq_add_neg]
convert rfl
-- `convert rfl` much faster than `congr`
· exact s.toJordanDecomposition.posPart.haveLebesgueDecomposition_add μ
· rw [add_comm]
exact s.toJordanDecomposition.negPart.haveLebesgueDecomposition_add μ
all_goals
first
| exact (lintegral_rnDeriv_lt_top _ _).ne
| measurability
#align measure_theory.signed_measure.singular_part_add_with_density_rn_deriv_eq MeasureTheory.SignedMeasure.singularPart_add_withDensity_rnDeriv_eq
variable {s μ}
theorem jordanDecomposition_add_withDensity_mutuallySingular {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) :
(t.toJordanDecomposition.posPart + μ.withDensity fun x : α => ENNReal.ofReal (f x)) ⟂ₘ
t.toJordanDecomposition.negPart + μ.withDensity fun x : α => ENNReal.ofReal (-f x) := by
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
exact
((JordanDecomposition.mutuallySingular _).add_right
(htμ.1.mono_ac (refl _) (withDensity_absolutelyContinuous _ _))).add_left
((htμ.2.symm.mono_ac (withDensity_absolutelyContinuous _ _) (refl _)).add_right
(withDensity_ofReal_mutuallySingular hf))
#align measure_theory.signed_measure.jordan_decomposition_add_with_density_mutually_singular MeasureTheory.SignedMeasure.jordanDecomposition_add_withDensity_mutuallySingular
theorem toJordanDecomposition_eq_of_eq_add_withDensity {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.toJordanDecomposition =
@JordanDecomposition.mk α _
(t.toJordanDecomposition.posPart + μ.withDensity fun x => ENNReal.ofReal (f x))
(t.toJordanDecomposition.negPart + μ.withDensity fun x => ENNReal.ofReal (-f x))
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.2; infer_instance)
(by haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2; infer_instance)
(jordanDecomposition_add_withDensity_mutuallySingular hf htμ) := by
haveI := isFiniteMeasure_withDensity_ofReal hfi.2
haveI := isFiniteMeasure_withDensity_ofReal hfi.neg.2
refine' toJordanDecomposition_eq _
simp_rw [JordanDecomposition.toSignedMeasure, hadd]
ext i hi
rw [VectorMeasure.sub_apply, toSignedMeasure_apply_measurable hi,
toSignedMeasure_apply_measurable hi, add_apply, add_apply, ENNReal.toReal_add,
ENNReal.toReal_add, add_sub_add_comm, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi, ← VectorMeasure.sub_apply,
← JordanDecomposition.toSignedMeasure, toSignedMeasure_toJordanDecomposition,
VectorMeasure.add_apply, ← toSignedMeasure_apply_measurable hi,
← toSignedMeasure_apply_measurable hi,
withDensityᵥ_eq_withDensity_pos_part_sub_withDensity_neg_part hfi,
VectorMeasure.sub_apply] <;>
exact (measure_lt_top _ _).ne
#align measure_theory.signed_measure.to_jordan_decomposition_eq_of_eq_add_with_density MeasureTheory.SignedMeasure.toJordanDecomposition_eq_of_eq_add_withDensity
private theorem haveLebesgueDecomposition_mk' (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff] at htμ
change _ ⟂ₘ VectorMeasure.equivMeasure.toFun (VectorMeasure.equivMeasure.invFun μ) at htμ
rw [VectorMeasure.equivMeasure.right_inv, totalVariation_mutuallySingular_iff] at htμ
refine'
{ posPart := by
use ⟨t.toJordanDecomposition.posPart, fun x => ENNReal.ofReal (f x)⟩
refine' ⟨hf.ennreal_ofReal, htμ.1, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
negPart := by
use ⟨t.toJordanDecomposition.negPart, fun x => ENNReal.ofReal (-f x)⟩
refine' ⟨hf.neg.ennreal_ofReal, htμ.2, _⟩
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd] }
theorem haveLebesgueDecomposition_mk (μ : Measure α) {f : α → ℝ} (hf : Measurable f)
(htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
s.HaveLebesgueDecomposition μ := by
by_cases hfi : Integrable f μ
· exact haveLebesgueDecomposition_mk' μ hf hfi htμ hadd
· rw [withDensityᵥ, dif_neg hfi, add_zero] at hadd
refine' haveLebesgueDecomposition_mk' μ measurable_zero (integrable_zero _ _ μ) htμ _
rwa [withDensityᵥ_zero, add_zero]
#align measure_theory.signed_measure.have_lebesgue_decomposition_mk MeasureTheory.SignedMeasure.haveLebesgueDecomposition_mk
private theorem eq_singularPart' (t : SignedMeasure α) {f : α → ℝ} (hf : Measurable f)
(hfi : Integrable f μ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure) (hadd : s = t + μ.withDensityᵥ f) :
t = s.singularPart μ := by
have htμ' := htμ
rw [mutuallySingular_ennreal_iff, totalVariation_mutuallySingular_iff,
VectorMeasure.ennrealToMeasure_toENNRealVectorMeasure] at htμ
rw [singularPart, ← t.toSignedMeasure_toJordanDecomposition,
JordanDecomposition.toSignedMeasure]
congr
· have hfpos : Measurable fun x => ENNReal.ofReal (f x) := by measurability
refine' eq_singularPart hfpos htμ.1 _
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
· have hfneg : Measurable fun x => ENNReal.ofReal (-f x) := by measurability
refine' eq_singularPart hfneg htμ.2 _
rw [toJordanDecomposition_eq_of_eq_add_withDensity hf hfi htμ' hadd]
/-- Given a measure `μ`, signed measures `s` and `t`, and a function `f` such that `t` is
mutually singular with respect to `μ` and `s = t + μ.withDensityᵥ f`, we have
`t = singularPart s μ`, i.e. `t` is the singular part of the Lebesgue decomposition between
`s` and `μ`. -/
theorem eq_singularPart (t : SignedMeasure α) (f : α → ℝ) (htμ : t ⟂ᵥ μ.toENNRealVectorMeasure)
(hadd : s = t + μ.withDensityᵥ f) : t = s.singularPart μ := by
by_cases hfi : Integrable f μ
· refine' eq_singularPart' t hfi.1.measurable_mk (hfi.congr hfi.1.ae_eq_mk) htμ _
convert hadd using 2
exact WithDensityᵥEq.congr_ae hfi.1.ae_eq_mk.symm
· rw [withDensityᵥ, dif_neg hfi, add_zero] at hadd
refine' eq_singularPart' t measurable_zero (integrable_zero _ _ μ) htμ _
rwa [withDensityᵥ_zero, add_zero]
#align measure_theory.signed_measure.eq_singular_part MeasureTheory.SignedMeasure.eq_singularPart
theorem singularPart_zero (μ : Measure α) : (0 : SignedMeasure α).singularPart μ = 0 := by
refine' (eq_singularPart 0 0 VectorMeasure.MutuallySingular.zero_left _).symm
rw [zero_add, withDensityᵥ_zero]
#align measure_theory.signed_measure.singular_part_zero MeasureTheory.SignedMeasure.singularPart_zero
theorem singularPart_neg (s : SignedMeasure α) (μ : Measure α) :
(-s).singularPart μ = -s.singularPart μ := by
have h₁ :
((-s).toJordanDecomposition.posPart.singularPart μ).toSignedMeasure =
(s.toJordanDecomposition.negPart.singularPart μ).toSignedMeasure := by
refine' toSignedMeasure_congr _
rw [toJordanDecomposition_neg, JordanDecomposition.neg_posPart]
have h₂ :
((-s).toJordanDecomposition.negPart.singularPart μ).toSignedMeasure =
(s.toJordanDecomposition.posPart.singularPart μ).toSignedMeasure := by
refine' toSignedMeasure_congr _
rw [toJordanDecomposition_neg, JordanDecomposition.neg_negPart]
rw [singularPart, singularPart, neg_sub, h₁, h₂]
#align measure_theory.signed_measure.singular_part_neg MeasureTheory.SignedMeasure.singularPart_neg
theorem singularPart_smul_nnreal (s : SignedMeasure α) (μ : Measure α) (r : ℝ≥0) :
(r • s).singularPart μ = r • s.singularPart μ := by
rw [singularPart, singularPart, smul_sub, ← toSignedMeasure_smul, ← toSignedMeasure_smul]
conv_lhs =>
congr
· congr
· rw [toJordanDecomposition_smul, JordanDecomposition.smul_posPart, singularPart_smul]
· congr
rw [toJordanDecomposition_smul, JordanDecomposition.smul_negPart, singularPart_smul]
#align measure_theory.signed_measure.singular_part_smul_nnreal MeasureTheory.SignedMeasure.singularPart_smul_nnreal
nonrec theorem singularPart_smul (s : SignedMeasure α) (μ : Measure α) (r : ℝ) :
(r • s).singularPart μ = r • s.singularPart μ := by
cases le_or_lt 0 r with
| inl hr =>
| lift r to ℝ≥0 using hr | nonrec theorem singularPart_smul (s : SignedMeasure α) (μ : Measure α) (r : ℝ) :
(r • s).singularPart μ = r • s.singularPart μ := by
cases le_or_lt 0 r with
| inl hr =>
| Mathlib.MeasureTheory.Decomposition.SignedLebesgue.363_0.HPGboz0rhL6sBes | nonrec theorem singularPart_smul (s : SignedMeasure α) (μ : Measure α) (r : ℝ) :
(r • s).singularPart μ = r • s.singularPart μ | Mathlib_MeasureTheory_Decomposition_SignedLebesgue |
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