TheoremBase

Absolutely Continuous Probability Measure on Euclidean Space

A probability measure on Euclidean space is absolutely continuous when it gives measure zero to every Borel set of Lebesgue measure zero.

Statement

In the setting of Probability Measures on Euclidean Space and Random Vectors: Standing Notation, which has the notation of Product Measures and Lebesgue Measure on ℝⁿ: Standing Notation and Background in force, let d∈Nd\in\mathbb{N} satisfy 1≤d1\le d, let B(Rd)\mathcal{B}(\mathbb{R}^{d}) be the Borel σ\sigma-algebra of Rd\mathbb{R}^{d} and λd\lambda_{d} its Lebesgue measure, and let μ\mu belong to the set P(Rd)\mathcal{P}(\mathbb{R}^{d}) of probability measures on Rd\mathbb{R}^{d}.

(Absolutely continuous measure) The measure μ\mu is absolutely continuous if

μ(B)=0for every B∈B(Rd) with λd(B)=0.\mu(B)=0\qquad\text{for every }B\in\mathcal{B}(\mathbb{R}^{d})\text{ with }\lambda_{d}(B)=0 .

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