Decomposition of Complex Measure into Finite Signed Measures
Theorem
Let $\struct {X, \Sigma}$ be a measurable space.
Let $\mu$ be a complex measure on $\struct {X, \Sigma}$.
Then there exists unique finite signed measures $\mu_R$ and $\mu_I$ such that:
- $\mu = \mu_R + i \mu_I$
Proof
Existence
For each $A \in \Sigma$ define the function $\mu_R : X \to \R$ by:
- $\map {\mu_R} A = \map \Re {\map \mu A}$
Similarly, for each $A \in \Sigma$ define the function $\mu_I : X \to \R$ by:
- $\map {\mu_I} A = \map \Im {\map \mu A}$
Clearly we have:
\(\ds \map \mu A\) | \(=\) | \(\ds \map \Re {\map \mu A} + i \map \Im {\map \mu A}\) | Definition of Real Part, Definition of Imaginary Part | |||||||||||
\(\ds \) | \(=\) | \(\ds \map {\mu_R} A + i \map {\mu_I} A\) |
for each $A \in \Sigma$.
So:
- $\mu = \mu_R + \mu_I$
It remains to show that $\mu_R$ and $\mu_I$ are finite signed measures.
We verify both of the conditions for a signed measure in turn.
We have:
- $\map \mu \O = 0$
so:
- $\map {\mu_R} A = \map \Re 0 = 0$
and:
- $\map {\mu_I} A = \map \Im 0 = 0$
verifying $(1)$ for $\mu_R$ and $\mu_I$.
Let $\sequence {D_n}_{n \mathop \in \N}$ be a sequence of pairwise disjoint $\Sigma$-measurable sets.
Then:
\(\ds \map {\mu_R} {\bigcup_{n \mathop = 1}^\infty D_n}\) | \(=\) | \(\ds \map \Re {\map \mu {\bigcup_{n \mathop = 1}^\infty D_n} }\) | ||||||||||||
\(\ds \) | \(=\) | \(\ds \map \Re {\sum_{n \mathop = 1}^\infty \map \mu {D_n} }\) | since $\mu$ is countably additive | |||||||||||
\(\ds \) | \(=\) | \(\ds \sum_{n \mathop = 1}^\infty \map \Re {\map \mu {D_n} }\) | ||||||||||||
\(\ds \) | \(=\) | \(\ds \sum_{n \mathop = 1}^\infty \map {\mu_R} {D_n}\) |
and:
\(\ds \map {\mu_I} {\bigcup_{n \mathop = 1}^\infty D_n}\) | \(=\) | \(\ds \map \Im {\map \mu {\bigcup_{n \mathop = 1}^\infty D_n} }\) | ||||||||||||
\(\ds \) | \(=\) | \(\ds \map \Im {\sum_{n \mathop = 1}^\infty \map \mu {D_n} }\) | since $\mu$ is countably additive | |||||||||||
\(\ds \) | \(=\) | \(\ds \sum_{n \mathop = 1}^\infty \map \Im {\map \mu {D_n} }\) | ||||||||||||
\(\ds \) | \(=\) | \(\ds \sum_{n \mathop = 1}^\infty \map {\mu_I} {D_n}\) |
verifying $(2)$ for $\mu_R$ and $\mu_I$.
So $\mu_R$ and $\mu_I$ are signed measures.
Since $\mu$ is a complex-valued function, we have:
- $\cmod {\map \mu X} < \infty$
We then have, from Modulus Larger than Real Part:
- $\size {\map \Re {\map \mu X} } < \infty$
so:
- $\size {\map {\mu_R} X} < \infty$
Similarly, from Modulus Larger than Imaginary Part:
- $\size {\map \Im {\map \mu X} } < \infty$
so:
- $\size {\map {\mu_I} X} < \infty$
So:
- $\mu_R$ and $\mu_I$ are finite.
$\Box$
Uniqueness
Suppose that $\mu_R^{(1)}$, $\mu_R^{(2)}$, $\mu_I^{(1)}$, $\mu_I^{(2)}$ are finite signed measures with:
- $\mu = \mu_R^{(1)} + i \mu_I^{(1)} = \mu_R^{(2)} + i \mu_I^{(2)}$
Then for each $A \in \Sigma$, we have:
- $\map {\mu_R^{(1)} } A - \map {\mu_R^{(2)} } A = i \paren {\map {\mu_I^{(2)} } A - \map {\mu_I^{(1)} } A}$
The left hand side is real, while the right hand side is imaginary, so:
- $\map {\mu_R^{(1)} } A - \map {\mu_R^{(2)} } A = i \paren {\map {\mu_I^{(2)} } A - \map {\mu_I^{(1)} } A} = 0$
so:
- $\map {\mu_R^{(1)} } A = \map {\mu_R^{(2)} } A$
and:
- $\map {\mu_I^{(1)} } A = \map {\mu_I^{(2)} } A$
Since $A \in \Sigma$ was arbitrary, we have:
- $\mu_R^{(1)} = \mu_R^{(2)}$
and:
- $\mu_I^{(1)} = \mu_I^{(2)}$
so we obtain the desired uniqueness.
$\blacksquare$
Sources
- 2013: Donald L. Cohn: Measure Theory (2nd ed.) ... (previous) ... (next): $4.1$: Signed and Complex Measures