A Probability Measure on Euclidean Space Is Determined by the Integrals of Lipschitz Functions with Values in the Unit Interval
lemmaAnalysisProbabilitylem:measure-determined-by-lipschitz-functions-2026aTwo probability measures on that give the same integral to every Lipschitz function with values in [0,1] are equal.
In the setting of Probability Measures on Euclidean Space and Random Vectors: Standing Notation, fix a dimension . A function is Lipschitz when it is so as a map from with the Euclidean distance of Euclidean Space and Lebesgue Measure: Standing Notation §space to the real line with the absolute-value metric; such a is uniformly continuous by A Lipschitz Map is Uniformly 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 §borel-maps, and the functions considered below, taking values in , are bounded, hence integrable with respect to every probability measure by Probability Measures on Euclidean Space and Random Vectors: Standing Notation §measures. Let satisfy
for every Lipschitz with for all . Then .
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