Convolution of Measures is Bilinear

Theorem
Let $\mu, \mu', \nu$ and $\nu'$ be measures on the Borel $\sigma$-algebra $\mathcal B^n$ on $\R^n$.

Then for all $\lambda \in \R$:


 * $\left({\lambda \mu + \mu'}\right) * \nu = \lambda \left({\mu * \nu}\right) + \mu' * \nu$
 * $\mu * \left({\lambda \nu + \nu'}\right) = \lambda \left({\mu * \nu}\right) + \mu * \nu'$

where $*$ denotes convolution.

That is, convolution is a bilinear operation.