The Radon-Nikodym Theorem for a Finite Measure and a Sigma-Finite Measure, and Uniqueness of Densities
theoremAnalysisProbabilitythm:radon-nikodym-sigma-finite-2026aDensities of a finite measure with respect to any measure are integrable and unique up to a null set; and a finite measure that vanishes on the null sets of a sigma-finite measure has a density with respect to it (Radon-Nikodym).
In the setting of Measure Spaces and the Lebesgue Integral: Standing Notation, let be a measure space and let be a finite measure on . For a measurable with for every , the measure with density with respect to is that of claim 3 of that lemma, and is called a density of with respect to if that measure is , that is, if
1. (Uniqueness)¶ Let and be densities of with respect to . Then and are integrable with , and the set belongs to and has -measure .
2. (Existence)¶ Suppose that is -finite and that for every with . Then has a density with respect to .
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