TheoremBase

A Probability Measure on Euclidean Space Is Determined by the Integrals of Lipschitz Functions with Values in the Unit Interval

Two probability measures on RqR^q that give the same integral to every Lipschitz function with values in [0,1] are equal.

Statement

In the setting of Probability Measures on Euclidean Space and Random Vectors: Standing Notation, fix a dimension qq. A function ϕ:Rq→R\phi:\mathbb{R}^{q}\to\mathbb{R} is Lipschitz when it is so as a map from Rq\mathbb{R}^{q} with the Euclidean distance dEd_{E} of Product Measures and Lebesgue Measure on ℝⁿ: Standing Notation and Background (ii) to the real line with the absolute-value metric; such a ϕ\phi is uniformly continuous by A Lipschitz Map is Uniformly Continuous and Continuous, hence continuous by A Uniformly Continuous Map Between Metric Spaces Is Continuous, hence Borel by Probability Measures on Euclidean Space and Random Vectors: Standing Notation (ii), and the functions ϕ\phi considered below, taking values in [0,1][0,1], are bounded, hence integrable with respect to every probability measure by Probability Measures on Euclidean Space and Random Vectors: Standing Notation (iii). Let μ,ν∈P(Rq)\mu,\nu\in\mathcal{P}(\mathbb{R}^{q}) satisfy

∫Rqϕ dμ=∫Rqϕ dν\int_{\mathbb{R}^{q}}\phi\,d\mu=\int_{\mathbb{R}^{q}}\phi\,d\nu

for every Lipschitz ϕ:Rq→R\phi:\mathbb{R}^{q}\to\mathbb{R} with 0≤ϕ(x)≤10\le\phi(x)\le1 for all x∈Rqx\in\mathbb{R}^{q}. Then μ=ν\mu=\nu.

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