UA MATH523A 实分析3 积分理论15 乘积测度

UA MATH523A 实分析3 积分理论15 乘积测度

从这一讲开始,我们将逐步建立Lebesgue积分的重积分计算理论。考虑两个可测空间 ( X , M ) (X,\mathcal{M}) (X,M) ( Y , N ) (Y,\mathcal{N}) (Y,N)的乘积可测空间 ( X × Y , M ⊗ N ) (X \times Y,\mathcal{M} \otimes \mathcal{N}) (X×Y,MN),这一讲的目标是在这个乘积可测空间上建立测度。假设 μ \mu μ ν \nu ν分别是 ( X , M ) (X,\mathcal{M}) (X,M) ( Y , N ) (Y,\mathcal{N}) (Y,N)上的测度,一个最直接的想法就是通过 μ \mu μ ν \nu ν建立乘积空间上的测度。

在测度论基础部分我们讨论过建立测度一般性路径,首先在可测空间中找一个集系,这个集系是一个elementary family,然后用elementary family导出一个代数,并在代数上建立pre-measure,用pre-measure导出外测度,限制在代数生成的 σ \sigma σ-代数上就是一个测度了。这一讲我们要建立乘积空间上的测度,也可以按照这个路径进行。


elementary family导出代数,并用代数生成乘积Sigma代数
首先定义一个乘积空间 X × Y X \times Y X×Y上的集系,
Σ = { A × B : A ∈ M , B ∈ N } \Sigma = \{A \times B:A \in \mathcal{M},B \in \mathcal{N}\} Σ={A×B:AM,BN}

可以验证, Σ \Sigma Σ是一个elementary family,我们来简单论述一下。

注释1 X X X上的集系 Σ \Sigma Σ是elementary family,如果

  1. ϕ ∈ Σ \phi \in \Sigma ϕΣ
  2. E , F ∈ Σ ⇒ E ∩ F ∈ Σ E,F \in \Sigma \Rightarrow E \cap F \in \Sigma E,FΣEFΣ
  3. E ∈ Σ ⇒ ∃ { A i } i = 1 n ⊂ Σ , E C = ⊔ i = 1 n A i E \in \Sigma \Rightarrow \exists \{A_i\}_{i=1}^n \subset \Sigma,E^C = \sqcup_{i=1}^nA_i EΣ{Ai}i=1nΣ,EC=i=1nAi

第一条显然成立: ϕ = ϕ × ϕ ∈ Σ \phi = \phi \times \phi \in \Sigma ϕ=ϕ×ϕΣ
考虑第二条: A × B ∈ Σ A \times B \in \Sigma A×BΣ, C × D ∈ Σ C \times D \in \Sigma C×DΣ,
( A × B ) ∩ ( C × D ) = ( A ∩ C ) × ( B × D ) (A \times B) \cap (C \times D)=(A \cap C)\times(B \times D) (A×B)(C×D)=(AC)×(B×D)

因此第二条也成立。
考虑第三条: A × B ∈ Σ A \times B \in \Sigma A×BΣ,
( A × B ) C = ( X × B C ) ⊔ ( A C × B ) (A \times B)^C = (X \times B^C) \sqcup (A^C \times B) (A×B)C=(X×BC)(AC×B)

也就是两个 Σ \Sigma Σ中的元素的无交并,因此第三条也成立。这样我们就说明了 Σ \Sigma Σ是一个elementary family,根据Proposition 1.7(参考UA MATH523A 实分析2 测度论概念与定理整理), Σ \Sigma Σ中元素的有限无交并构成一个代数,记为 A \mathcal{A} A,则
A = { ⊔ i = 1 n E i : E i ∈ Σ , n ∈ N . , n < ∞ } \mathcal{A}=\{\sqcup_{i=1}^n E_i:E_i \in \Sigma,n \in \mathbb{N}.,n<\infty\} A={i=1nEi:EiΣ,nN.,n<}

下面我们论证一个命题: σ ( A ) = M ⊗ N \sigma(\mathcal{A})=\mathcal{M} \otimes \mathcal{N} σ(A)=MN
Note that A = { ∪ j = 1 n A j × B j : A j × B j ∈ Σ , n < ∞ } \mathcal{A}=\{\cup_{j=1}^nA_j \times B_j:A_j \times B_j \in \Sigma, n<\infty\} A={j=1nAj×Bj:Aj×BjΣ,n<}.

For any set in A \mathcal{A} A,
∪ j = 1 n A j × B j = ( ∪ j = 1 n A j × Y ) ∩ ( ∪ j = 1 n X × B j ) ∈ M ⊗ N \cup_{j=1}^nA_j \times B_j = (\cup_{j=1}^nA_j \times Y) \cap (\cup_{j=1}^nX \times B_j) \in \mathcal{M} \otimes \mathcal{N} j=1nAj×Bj=(j=1nAj×Y)(j=1nX×Bj)MN

Thus, A ⊂ M ⊗ N \mathcal{A} \subset \mathcal{M} \otimes \mathcal{N} AMN, by Lemma 1.1(参考UA MATH523A 实分析2 测度论概念与定理整理), M ( A ) ⊂ M ⊗ N \mathcal{M}(\mathcal{A}) \subset \mathcal{M} \otimes \mathcal{N} M(A)MN.

For any set in M ⊗ N \mathcal{M} \otimes \mathcal{N} MN, it could be A × Y A \times Y A×Y or X × B X \times B X×B where A ∈ M A \in \mathcal{M} AM and B ∈ N B \in \mathcal{N} BN. Obviously, both A × Y A \times Y A×Y and X × B X \times B X×B belongs to Σ \Sigma Σ. Thus M ⊗ N ⊂ M ( A ) \mathcal{M} \otimes \mathcal{N} \subset \mathcal{M}(\mathcal{A}) MNM(A).

建立乘积测度的第一部分就完成了,这一部分我们完成了找到一个elementary family,根据elementary family导出代数,并论述这个代数生成的 σ \sigma σ-代数就是乘积 σ \sigma σ-代数。论述最后这个命题是为了我们最后建立的基于pre-measure导出的测度定义域是elementary family导出的代数生成的 σ \sigma σ-代数而不是乘积 σ \sigma σ-代数,所以这二者相同能够保证我们基于pre-measure导出的测度可以直接用在乘积空间上。

另外,之所以要找 Σ \Sigma Σ这个集系作为建立理论的起点,是因为它构造非常直观。我们回顾一下从一维图形到二维图形的测度,比如线段和矩形,线段的测度是长度;矩形的测度是长乘宽等于面积,也就是两个线段长度的乘积,而矩形本身也可以看成是这两个线段的直积。基于这个观察,我们建立乘积测度的思路就比较清晰了,因此对于 Σ \Sigma Σ集系中的元素,可以表示成两个可测空间中的元素的直积, A × B A \times B A×B,因此它的测度或许也可以是这两个元素的测度的乘积,即 μ ( A ) ν ( B ) \mu(A)\nu(B) μ(A)ν(B)。下面我们基于这些观察建立严谨地理论。


A \mathcal{A} A上建立pre-measure,再导出乘积测度

考虑 A × B A \times B A×B,它可以表示成一列rectangle的无交并,
A × B = ⊔ j = 1 ∞ ( A j × B j ) A \times B = \sqcup_{j=1}^{\infty} (A_j \times B_j) A×B=j=1(Aj×Bj)

用特征函数表示也就是
χ A × B ( x , y ) = χ A ( x ) χ B ( y ) = χ ⊔ j = 1 ∞ ( A j × B j ) ( x , y ) = ∑ j = 1 ∞ χ A j ( x ) χ B j ( y ) \chi_{A \times B}(x,y) =\chi_A(x)\chi_B(y)= \chi_{\sqcup_{j=1}^{\infty} (A_j \times B_j)}(x,y) \\=\sum_{j=1}^{\infty} \chi_{A_j}(x)\chi_{B_j}(y) χA×B(x,y)=χA(x)χB(y)=χj=1(Aj×Bj)(x,y)=j=1χAj(x)χBj(y)

我们基于特征函数讨论测度的乘积,先做一些计算
μ ( A ) χ B ( y ) = χ B ( y ) ∫ χ A ( x ) d μ ( x ) = ∫ χ A ( x ) χ B ( y ) d μ ( x ) = ∫ ∑ j = 1 ∞ χ A j ( x ) χ B j ( y ) d μ ( x ) = ∑ j = 1 ∞ ∫ χ A j ( x ) χ B j ( y ) d μ ( x ) = ∑ j = 1 ∞ μ ( A j ) χ B j ( y ) \mu(A)\chi_B(y) = \chi_B(y) \int \chi_A(x)d\mu(x) = \int \chi_A(x)\chi_B(y)d\mu(x) \\ = \int \sum_{j=1}^{\infty} \chi_{A_j}(x)\chi_{B_j}(y)d\mu(x) =\sum_{j=1}^{\infty} \int \chi_{A_j}(x)\chi_{B_j}(y)d\mu(x) \\ =\sum_{j=1}^{\infty} \mu(A_j)\chi_{B_j}(y) μ(A)χB(y)=χB(y)χA(x)dμ(x)=χA(x)χB(y)dμ(x)=j=1χAj(x)χBj(y)dμ(x)=j=1χAj(x)χBj(y)dμ(x)=j=1μ(Aj)χBj(y)

倒数第二个等号用了Folland 定理2.15,当被积函数列有界时可以交换级数与积分的次序。
μ ( A ) ν ( B ) = ∫ μ ( A ) χ B ( y ) d ν ( y ) = ∫ ∑ j = 1 ∞ μ ( A j ) χ B j ( y ) d ν ( y ) = ∑ j = 1 ∞ ∫ μ ( A j ) χ B j ( y ) d ν ( y ) = ∑ j = 1 ∞ μ ( A j ) ν ( B j ) \mu(A)\nu(B) = \int \mu(A)\chi_B(y)d\nu(y)=\int\sum_{j=1}^{\infty} \mu(A_j)\chi_{B_j}(y)d\nu(y) \\ = \sum_{j=1}^{\infty} \int\mu(A_j)\chi_{B_j}(y)d\nu(y) = \sum_{j=1}^{\infty}\mu(A_j)\nu(B_j) μ(A)ν(B)=μ(A)χB(y)dν(y)=j=1μ(Aj)χBj(y)dν(y)=j=1μ(Aj)χBj(y)dν(y)=j=1μ(Aj)ν(Bj)

这个结果非常有意思,它想说明的就是我们熟悉的计算面积体积的割补法同样适用于测度的乘积。基于这个结果,我们可以在 A \mathcal{A} A上定义pre-measure, π : A → [ 0 , ∞ ] \pi:\mathcal{A} \to [0,\infty] π:A[0,]
π ( ⊔ j = 1 n ( A j × B j ) ) = ∑ j = 1 n μ ( A j ) ν ( B j ) \pi(\sqcup_{j=1}^n (A_j \times B_j))=\sum_{j=1}^n \mu(A_j)\nu(B_j) π(j=1n(Aj×Bj))=j=1nμ(Aj)ν(Bj)

下面验证一下这个定义确实是pre-measure(证明细节如下,分两部分论述良定义与pre-measure,可以参考一下,但不影响理解建立乘积测度的整体思路)
First of all, check π \pi π is well-defines. For any set in A \mathcal{A} A, there’re two possible representations
∪ j = 1 n A j × B j = ∪ k = 1 m C k × D k \cup_{j=1}^n A_j \times B_j=\cup_{k=1}^m C_k \times D_k j=1nAj×Bj=k=1mCk×Dk

Need to check the two representations will be mapped to the same value under π \pi π.
π ( ∪ j = 1 n A j × B j ) = ∑ j = 1 n μ ( A j ) ν ( B j ) = μ ( ⊔ j = 1 n A j ) ν ( ⊔ j = 1 n B j ) \pi(\cup_{j=1}^n A_j \times B_j)=\sum_{j=1}^n \mu(A_j)\nu(B_j) = \mu(\sqcup_{j=1}^nA_j)\nu(\sqcup_{j=1}^n B_j) π(j=1nAj×Bj)=j=1nμ(Aj)ν(Bj)=μ(j=1nAj)ν(j=1nBj) π ( ∪ k = 1 m C k × D k ) = ∑ k = 1 m μ ( C k ) ν ( D k ) = μ ( ⊔ k = 1 m C k ) ν ( ⊔ k = 1 m D k ) \pi(\cup_{k=1}^m C_k \times D_k)=\sum_{k=1}^m \mu(C_k)\nu(D_k) = \mu(\sqcup_{k=1}^mC_k)\nu(\sqcup_{k=1}^m D_k) π(k=1mCk×Dk)=k=1mμ(Ck)ν(Dk)=μ(k=1mCk)ν(k=1mDk)

Note that ⊔ k = 1 m C k = ⊔ j = 1 n A j \sqcup_{k=1}^mC_k=\sqcup_{j=1}^nA_j k=1mCk=j=1nAj, ⊔ k = 1 m D k = ⊔ j = 1 n B j \sqcup_{k=1}^m D_k=\sqcup_{j=1}^n B_j k=1mDk=j=1nBj, so
π ( ∪ j = 1 n A j × B j ) = π ( ∪ k = 1 m C k × D k ) \pi(\cup_{j=1}^n A_j \times B_j)=\pi(\cup_{k=1}^m C_k \times D_k) π(j=1nAj×Bj)=π(k=1mCk×Dk)

Next, let’s show π \pi π is pre-measure.

Note that
π ( ϕ ) = π ( ϕ × ϕ ) = μ ( ϕ ) ν ( ϕ ) = 0 \pi(\phi) = \pi(\phi \times \phi) = \mu(\phi) \nu(\phi)=0 π(ϕ)=π(ϕ×ϕ)=μ(ϕ)ν(ϕ)=0

So we need to check additivity. For a disjoint sequence of set { ∪ j = 1 n i A j i × B j i } i = 1 ∞ \{\cup_{j=1}^{n_i}A_j^{i} \times B_j^i\}_{i=1}^{\infty} {j=1niAji×Bji}i=1, we want to show
π ( ⊔ i = 1 ∞ ( ∪ j = 1 n i A j i × B j i ) ) = ∑ i = 1 ∞ π ( ∪ j = 1 n i A j i × B j i ) \pi(\sqcup_{i=1}^{\infty}(\cup_{j=1}^{n_i}A_j^{i} \times B_j^i))=\sum_{i=1}^{\infty}\pi(\cup_{j=1}^{n_i}A_j^{i} \times B_j^i) π(i=1(j=1niAji×Bji))=i=1π(j=1niAji×Bji)

Given i i i, we can find a disjoint sequence of rectangles { C k i } k = 1 m i \{C_k^i\}_{k=1}^{m_i} {Cki}k=1mi such that ∪ j = 1 n i A j i = ⊔ k = 1 m i C k i \cup_{j=1}^{n_i}A_j^{i}=\sqcup_{k=1}^{m_i}C_k^{i} j=1niAji=k=1miCki and a disjoint sequence of rectangles { D l i } l = 1 r i \{D_l^i\}_{l=1}^{r_i} {Dli}l=1ri such that ∪ j = 1 n i B j i = ⊔ l = 1 r i D l i \cup_{j=1}^{n_i}B_j^{i}=\sqcup_{l=1}^{r_i}D_l^{i} j=1niBji=l=1riDli and also
∪ j = 1 n i A j i × B j i = ⊔ k = 1 m i ⊔ l = 1 r i C k i × D l i \cup_{j=1}^{n_i}A_j^{i} \times B_j^i = \sqcup_{k=1}^{m_i}\sqcup_{l=1}^{r_i}C_k^i \times D_l^i j=1niAji×Bji=k=1mil=1riCki×Dli

Thus,
π ( ⊔ i = 1 ∞ ( ∪ j = 1 n i A j i × B j i ) ) = π ( ⊔ i = 1 ∞ ( ⊔ k = 1 m i ⊔ l = 1 r i C k i × D l i ) ) = π ( ⊔ i = 1 ∞ ( ⊔ k = 1 m i C k i ) × ( ⊔ l = 1 r i D l i ) ) = ∑ i = 1 ∞ μ ( ⊔ k = 1 m i C k i ) ν ( ⊔ l = 1 r i D l i ) = ∑ i = 1 ∞ μ ( ∪ j = 1 n i A j i ) ν ( ∪ j = 1 n i B j i ) = ∑ i = 1 ∞ π ( ∪ j = 1 n i A j i × B j i ) \pi(\sqcup_{i=1}^{\infty}(\cup_{j=1}^{n_i}A_j^{i} \times B_j^i)) = \pi(\sqcup_{i=1}^{\infty}(\sqcup_{k=1}^{m_i}\sqcup_{l=1}^{r_i}C_k^i \times D_l^i)) \\ = \pi(\sqcup_{i=1}^{\infty}(\sqcup_{k=1}^{m_i}C_k^i) \times (\sqcup_{l=1}^{r_i}D_l^i)) = \sum_{i=1}^{\infty}\mu(\sqcup_{k=1}^{m_i}C_k^i)\nu(\sqcup_{l=1}^{r_i}D_l^i) \\ = \sum_{i=1}^{\infty}\mu(\cup_{j=1}^{n_i}A_j^{i})\nu(\cup_{j=1}^{n_i}B_j^{i}) =\sum_{i=1}^{\infty}\pi(\cup_{j=1}^{n_i}A_j^{i} \times B_j^i) π(i=1(j=1niAji×Bji))=π(i=1(k=1mil=1riCki×Dli))=π(i=1(k=1miCki)×(l=1riDli))=i=1μ(k=1miCki)ν(l=1riDli)=i=1μ(j=1niAji)ν(j=1niBji)=i=1π(j=1niAji×Bji)

写出pre-measure导出的外测度,
μ ∗ ( A ) = inf ⁡ { ∑ j = 1 ∞ π ( E j ) : E j ∈ A , A ⊂ ∪ j = 1 ∞ E j } \mu^*(A)=\inf\{\sum_{j=1}^{\infty}\pi(E_j):E_j \in \mathcal{A},A \subset \cup_{j=1}^{\infty}E_j\} μ(A)=inf{j=1π(Ej):EjA,Aj=1Ej}

根据Proposition 1.14 (参考UA MATH523A 实分析2 测度论概念与定理整理), μ ∗ ∣ σ ( A ) \mu^*|\sigma(\mathcal{A}) μσ(A)是一个测度,我们记这个测度为 μ × ν \mu \times \nu μ×ν,称其为乘积测度,这个测度满足
( μ × ν ) ( A × B ) = μ ( A ) ν ( B ) (\mu \times \nu)(A \times B) = \mu(A)\nu(B) (μ×ν)(A×B)=μ(A)ν(B)

值得引起注意的是这个建立乘积测度的路径可以推广到多个可测空间的乘积。


最后我们再说明一个简单性质:如果 μ , ν \mu,\nu μ,ν σ \sigma σ-有限测度,则 μ × ν \mu \times \nu μ×ν σ \sigma σ-有限测度。

如果 μ , ν \mu,\nu μ,ν σ \sigma σ-有限测度, X = ∪ j = 1 ∞ A j , Y = ∪ k = 1 ∞ B k X=\cup_{j=1}^{\infty} A_j,Y=\cup_{k=1}^{\infty}B_k X=j=1Aj,Y=k=1Bk, μ ( A j ) < ∞ , ∀ j \mu(A_j)<\infty,\forall j μ(Aj)<,j, ν ( B k ) , ∀ k \nu(B_k),\forall k ν(Bk),k,则
X × Y = ∪ j , k ( A j × B k ) X\times Y = \cup_{j,k}(A_j \times B_k) X×Y=j,k(Aj×Bk)

并且 ( μ × ν ) ( A j × B k ) = μ ( A j ) ν ( B k ) < ∞ (\mu \times \nu)(A_j \times B_k)=\mu(A_j)\nu(B_k)<\infty (μ×ν)(Aj×Bk)=μ(Aj)ν(Bk)<,所以 μ × ν \mu \times \nu μ×ν σ \sigma σ-有限测度。

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