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Weak Convergence of Finite Borel Measures on a Metric Space

Statement

Let (X,d)(X,d) be a metric space, let (μn)n∈N(\mu_n)_{n\in\mathbb{N}} be a sequence of Borel measures on (X,d)(X,d) with μn(X)<∞\mu_n(X)<\infty for every nn, and let μ\mu be a Borel measure on (X,d)(X,d) with μ(X)<∞\mu(X)<\infty. Regard R\mathbb{R} as a metric space with the absolute-value metric.

We say that (μn)n∈N(\mu_n)_{n\in\mathbb{N}} converges weakly to μ\mu, written μn⇒μ\mu_n\Rightarrow\mu, if for every bounded function f:X→Rf:X\to\mathbb{R} that is continuous on XX, the sequence of integrals (∫Xf dμn)n∈N\bigl(\int_X f\,d\mu_n\bigr)_{n\in\mathbb{N}} converges to ∫Xf dμ\int_X f\,d\mu.

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