Lebesgue Measure under a Triangular or Symmetric Positive Definite Linear Map
lemmaAnalysisLinear Algebralem:lebesgue-linear-image-spd-2026aLinear maps of Euclidean space are Borel, and Lebesgue integrals transform by the determinant under triangular matrices with positive diagonal and under symmetric positive definite matrices; in particular such a matrix multiplies Lebesgue measure by its determinant.
In the setting of Euclidean Space and Lebesgue Measure: Standing Notation and Real Matrices, Symmetric Matrices and the Semidefinite Ordering: Standing Notation, let be a natural number with , let be Lebesgue measure on , and let integrals of Borel functions with respect to be those of Measure Spaces and the Lebesgue Integral: Standing Notation §integral, products in being read as in Measure Spaces and the Lebesgue Integral: Standing Notation §extended; a map from into or into is Borel in the sense of Probability Measures on Euclidean Space and Random Vectors: Standing Notation §borel-maps. For a real matrix , the map is given by the matrix-vector product of Real Matrices, Symmetric Matrices and the Semidefinite Ordering: Standing Notation §matrices, and is the determinant of . A real matrix is lower triangular if whenever , and upper triangular if whenever ; positive definiteness is that of that definition.
1. (Linear maps are Borel)¶ For every real matrix the map from to is continuous and Borel.
2. (Triangular maps)¶ Let be a lower triangular or an upper triangular real matrix with for every . Then , and for every Borel
3. (Symmetric positive definite maps)¶ Let be positive definite. Then , the map is a bijection of onto , and for every Borel
In particular, for every the set belongs to and .
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