# Measure Theory/Riesz' representation theorem

## Theorem (Riesz' representation theorem)

Let ${\displaystyle X}$  be a locally compact Hausdorff space and let ${\displaystyle \Lambda }$  be a positive linear functional on ${\displaystyle C_{c}(X)}$ . Then, there exists a ${\displaystyle \sigma }$ -field ${\displaystyle \Sigma }$  containing all Borel sets of ${\displaystyle X}$  and a unique measure ${\displaystyle \mu }$  such that

1. ${\displaystyle \Lambda f=\displaystyle \int _{X}fd\mu }$  for all ${\displaystyle f\in C_{c}(X)}$
2. ${\displaystyle \mu (K)<\infty }$  for all compact ${\displaystyle K\in \Sigma }$
3. If ${\displaystyle E\in \Sigma }$ , and ${\displaystyle \mu (E)<\infty }$  then ${\displaystyle \mu (E)=\inf\{\mu (V)|E\subset V,V{\text{ open}}\}}$
4. If ${\displaystyle E\in \Sigma }$ , and ${\displaystyle \mu (E)<\infty }$  then ${\displaystyle \mu (E)=\sup\{\mu (K)|E\supset K,K{\text{ compact}}\}}$
5. The measure space ${\displaystyle (X,\Sigma ,\mu )}$  is complete

Proof

Recall the Urysohn's lemma:

If ${\displaystyle X}$  is a locally compact Hausdorff space and if ${\displaystyle V}$  is open and ${\displaystyle K}$  is compact with ${\displaystyle K\subset V}$  then

there exists ${\displaystyle f:X\to [0,1]}$  with ${\displaystyle f\in C_{c}(X)}$  satisfying ${\displaystyle f(K)=\{1\}}$  and ${\displaystyle {\text{supp}}f\subset V}$ . This is written in

short as ${\displaystyle K\prec f\prec V}$

We shall first prove that if such a measure exists, then it is unique. Suppose ${\displaystyle \mu _{1},\mu _{2}}$  are measures that satisfy (1) through (5)

It suffices to show that ${\displaystyle \mu _{1}(K)=\mu _{2}(K)}$  for every compact ${\displaystyle K}$

Let ${\displaystyle K}$  be compact and let ${\displaystyle \epsilon >0}$  be given.

By (3), there exists open ${\displaystyle V\subset X}$  with ${\displaystyle V\supset K}$  such that ${\displaystyle \mu _{1}(V)<\mu _{1}(K)+\epsilon }$

Urysohn's lemma implies that there exists ${\displaystyle f\in C_{c}(X)}$  such that ${\displaystyle K\prec f\prec V}$

(1) implies that ${\displaystyle \mu _{2}(K)\leq \displaystyle \int _{X}fd\mu _{2}=\Lambda f=\int _{X}fd\mu _{1}}$ . But ${\displaystyle \mu _{1}(V)<\mu _{1}(K)+\epsilon }$ , that is ${\displaystyle \mu _{2}(K)<\mu _{1}(K)+\epsilon }$ . We can similarly show that ${\displaystyle \mu _{1}(K)<\mu _{2}(K)+\epsilon }$ . Thus, ${\displaystyle \mu _{2}(K)=\mu _{1}(K)}$

Suppose ${\displaystyle V}$  is open in ${\displaystyle X}$ , define ${\displaystyle \mu (V)=\sup\{\Lambda f|f\prec V\}}$

If ${\displaystyle V_{1}\subset V_{2}}$  are open , then ${\displaystyle \mu (V_{1})\leq \mu (V_{2})}$

If ${\displaystyle E}$  is a subset of ${\displaystyle X}$  then define ${\displaystyle \mu (E)=\inf\{\mu (V)|E\subset V,V{\text{ open}}\}}$

Define ${\displaystyle \Sigma _{F}=\{E\subset X|\mu (E)<\infty ,\mu (E)=\sup\{\mu (K):K\subset E,K{\text{ compact}}\}\}}$

Let ${\displaystyle \Sigma =\{E\subset X|E\cap K\in \Sigma _{F}{\text{ for all }}K{\text{ compact in }}X\}}$

monotonicity of ${\displaystyle \mu }$  is obvious for all subsets of ${\displaystyle X}$

Let ${\displaystyle E\subset X}$  with ${\displaystyle \mu (E)=0}$

It is obvious that ${\displaystyle E\in \Sigma _{F}}$  which implies that ${\displaystyle E\in \Sigma }$ . Hence, we have that ${\displaystyle \{X,\Sigma ,\mu \}}$  is complete.

### Step 1

Suppose ${\displaystyle \displaystyle \{E_{i}\}_{i=1}^{\infty }}$  is a sequence of subsets of ${\displaystyle X}$  then, ${\displaystyle \displaystyle \mu (\bigcup E_{i})\leq \sum _{i=1}^{\infty }\mu (E_{i})}$

Proof

Let ${\displaystyle V_{1},V_{2}}$  be open subsets of ${\displaystyle X}$ . We wish to show that ${\displaystyle \mu (V_{1}\cup V_{2})\leq \mu (V_{1})+\mu (V_{2})}$

Given ${\displaystyle \epsilon >0}$ , let ${\displaystyle g\in C_{c}(X)}$  be such that ${\displaystyle g\prec (V_{1}\cup V_{2})}$  (so that ${\displaystyle \displaystyle {\text{supp }}g=K\subset (V_{1}\cup V_{2})}$ ) and ${\displaystyle \mu (V_{1}\cup V_{2})-\epsilon \leq \Lambda g}$ . This is possible because ${\displaystyle \mu (V_{1}\cup V_{2})=\sup\{\Lambda g|g\prec V_{1}\cup V_{2}\}}$ .

Now by Urysohn's lemma we can find ${\displaystyle h_{i}}$ , ${\displaystyle i=1,2,\ldots }$  such that ${\displaystyle h_{i}\prec V_{i}}$  and ${\displaystyle h_{1}+h_{2}=1}$  on ${\displaystyle K}$  with ${\displaystyle h_{i}\in C_{c}(X)}$

Thus ${\displaystyle h_{i}g\prec V_{i}}$  and ${\displaystyle h_{1}g+h_{2}g=g}$  on ${\displaystyle K}$

As ${\displaystyle \Lambda }$  is a linear functional ${\displaystyle \Lambda f\leq \Lambda g}$  for all ${\displaystyle f\leq g}$

${\displaystyle \Lambda g=\Lambda h_{1}g+\Lambda h_{2}g\leq \mu (V_{1})+\mu (V_{2})}$

Thus, ${\displaystyle \mu (V_{1}\cup V_{2})\leq \mu (V_{1})+\mu (V_{2})+\epsilon }$  for every ${\displaystyle \epsilon >0}$ , i.e. ${\displaystyle \mu (V_{1}\cup V_{2})\leq \mu (V_{1})+\mu (V_{2}).}$

If ${\displaystyle \{E_{i}\}_{i=1}^{\infty }}$  is a sequence of members of ${\displaystyle \Sigma }$ , there exist open ${\displaystyle V_{i}}$  such that given ${\displaystyle \epsilon >0}$

${\displaystyle \mu (V_{i})<\mu (E_{i})+{\frac {\epsilon }{2^{i}}}}$ . Define ${\displaystyle E=\bigcup E_{i}\subset \bigcup V_{i}=V}$ , ${\displaystyle V}$  is open. Let ${\displaystyle f\prec V}$ . Then ${\displaystyle \mu (V)\geq \mu (E)}$  but ${\displaystyle \mu (V)<\Lambda f}$

Thus ${\displaystyle \mu (V)\leq \sum \mu (V_{i})\leq \sum \mu (E_{i})+\epsilon }$

### Step 2

If ${\displaystyle K}$  is compact, then ${\displaystyle K\in \Sigma _{F}}$  and ${\displaystyle \mu (K)=\inf\{\Lambda f:K\prec f\}}$

Proof

It suffices to show that ${\displaystyle \mu (K)<\infty }$  for every compact ${\displaystyle K}$

Let ${\displaystyle 0<\alpha <1}$  and ${\displaystyle K\prec f}$ , define ${\displaystyle V_{\alpha }=\{x:f(x)>\alpha \}}$  Then ${\displaystyle V_{\alpha }}$  is open and ${\displaystyle K\subset V_{\alpha }}$

Then, by Urysohn's lemma, there exists ${\displaystyle g\in C_{c}(X)}$  such that ${\displaystyle K\prec g\prec V_{\alpha }}$ , and hence, ${\displaystyle \alpha g\leq f}$  on ${\displaystyle V_{\alpha }}$

By definition ${\displaystyle \Lambda g\geq \mu (K)}$  and ${\displaystyle \mu (K)\leq {\frac {1}{\alpha }}\Lambda f}$

As ${\displaystyle \Lambda f<\infty }$ , we have ${\displaystyle \mu (K)<\infty }$  and hence, ${\displaystyle K\in \Sigma _{F}}$

Let ${\displaystyle \epsilon >0}$  be

By definition, there exists open ${\displaystyle V\supset K}$  such that ${\displaystyle \mu (K)>\mu (V)-\epsilon }$

By Urysohn's lemma, there exists ${\displaystyle f}$  such that ${\displaystyle K\prec f\prec V}$ , which implies that ${\displaystyle \mu (V)\geq \Lambda f}$ , that is

${\displaystyle \mu (K)>\Lambda f+\epsilon }$ .

Hence, ${\displaystyle \mu (K)=\inf\{\Lambda f:K\prec f\}}$

### Step 3

Every open set ${\displaystyle V}$  satisfies

${\displaystyle \mu (V)=\sup\{\mu (K):K\subset V,K{\text{ compact}}\}}$

If ${\displaystyle V}$  is open and ${\displaystyle V\subset X}$ , ${\displaystyle \mu (X)<\infty }$ , then ${\displaystyle V\in \Sigma _{F}}$

Proof

Let ${\displaystyle V}$  be open. Let ${\displaystyle \alpha >0}$  such that ${\displaystyle \alpha <\mu (V)}$ . It suffices to show that there exists compact ${\displaystyle K}$  such that ${\displaystyle \mu (K)>\alpha }$ .

By definition of ${\displaystyle \mu }$ , there exists ${\displaystyle f\in C_{c}(X)}$  such that ${\displaystyle f\prec V}$  and ${\displaystyle \Lambda f>\alpha }$

Let ${\displaystyle K={\text{supp}}f}$ . Obviously ${\displaystyle K\subset V}$ .

Let ${\displaystyle W}$  be open such that ${\displaystyle K\subset W}$ , then ${\displaystyle F\prec W}$  and hence ${\displaystyle \Lambda f\leq \mu (W)}$ , further ${\displaystyle \Lambda f\leq \mu (K)}$

Thus, ${\displaystyle \mu (K)>\alpha }$

### Step 4

Suppose ${\displaystyle \mu (E_{i})}$  is a sequence of pairwise disjoint sets in ${\displaystyle \Sigma _{F}}$  and let ${\displaystyle E=\displaystyle \bigcup _{i=1}^{\infty }E_{i}}$ . Then, ${\displaystyle \mu (E)=\displaystyle \sum _{i=1}^{\infty }\mu (E_{i})}$

Proof

If ${\displaystyle \mu (E)=\infty }$ , by step 1, we are done.

If ${\displaystyle \mu (E)}$  is finite then, ${\displaystyle E\in \Sigma _{F}}$  and hence, ${\displaystyle \mu }$  is countably additive on ${\displaystyle \Sigma _{F}}$

Suppose, ${\displaystyle K_{1},K_{2}}$  are compact and disjoint then ${\displaystyle K_{1},K_{2}\in \Sigma _{F}}$ ; ${\displaystyle K_{1}\cup K_{2}\in \Sigma _{F}}$

Claim: ${\displaystyle \mu (K_{1}\cup K_{2})=\mu (K_{1})+\mu (K_{2})}$

As ${\displaystyle X}$  is a locally compact Hausdorff space, there exist disjoint open sets ${\displaystyle V_{1}}$ , ${\displaystyle V_{2}}$  with ${\displaystyle K_{1}\subset V_{1}}$ , ${\displaystyle K_{2}\subset V_{2}}$

Hence, by Urysohn's lemma, there exists ${\displaystyle g\in C_{c}(X)}$  such that ${\displaystyle g\prec K_{1}\cup K_{2}}$  and ${\displaystyle \Lambda g\leq \mu (K_{1}\cup K_{2})+\epsilon }$

Now, ${\displaystyle {\text{supp}}fg=K}$  and ${\displaystyle K\prec fg}$ , ${\displaystyle K\prec (1-f)g}$

Thus, ${\displaystyle \mu (K_{1})+\mu (K_{2})<\Lambda g\leq \mu (K_{1}+K_{2})+\epsilon }$

Assume ${\displaystyle \mu (E)<\infty }$ . Given ${\displaystyle E_{i}\in \Sigma _{F}}$ , there exists compact ${\displaystyle H_{i}\subset E_{i}}$  such that ${\displaystyle \mu (H_{i})>\mu (E_{i})-{\frac {\epsilon }{2^{i}}}}$

Let ${\displaystyle K_{N}=H_{1}\cup H_{2}\cup \ldots H_{N}}$ . Obviously, ${\displaystyle K_{N}}$  is compact.

Thus, ${\displaystyle \mu (E)\geq \mu (K_{N})=\displaystyle \sum _{i=1}^{N}\mu (H_{i})\geq \sum _{i=1}^{N}\mu (E_{i})-\epsilon }$

and hence, ${\displaystyle \mu (E)\geq \displaystyle \sum _{i=1}^{\infty }\mu (E_{i})}$  By step 1, we have ${\displaystyle \mu (E)\leq \displaystyle \sum _{i=1}^{\infty }\mu (E_{i})}$ .

Thus, ${\displaystyle \mu (E)=\displaystyle \sum _{i=1}^{\infty }\mu (E_{i})}$

### Step 5

If ${\displaystyle E\in \Sigma _{F}}$  and ${\displaystyle \epsilon >0}$  then there exists ${\displaystyle K}$  compact and ${\displaystyle V}$  open with ${\displaystyle K\subset E\subset V}$  and ${\displaystyle \mu (V\setminus K)<\epsilon }$

Proof

${\displaystyle (V\setminus K)}$  is open. As ${\displaystyle E\in \Sigma _{F}}$ , there exist compact ${\displaystyle K}$  and open ${\displaystyle V}$  such that ${\displaystyle K\subset E\subset V}$  with

${\displaystyle \mu (V)-{\frac {\epsilon }{2}}<\mu (E)<\mu (K)+{\frac {\epsilon }{2}}}$

Now, ${\displaystyle \mu (V\setminus K)<\mu (V)<\mu (E)+{\frac {\epsilon }{2}}<\infty }$  (by step 4)

Thus, ${\displaystyle \mu (V\setminus K)<\epsilon }$

### Step 6

${\displaystyle \Sigma _{F}}$  is a field of subsets of ${\displaystyle X}$

Proof

Let ${\displaystyle A,B\in \Sigma _{F}}$  and let ${\displaystyle \epsilon >0}$  be given.

There exist compact ${\displaystyle K_{1},K_{2}}$  and open ${\displaystyle V_{1},V_{2}}$  such that ${\displaystyle K_{1}\subset A\subset V_{1}}$ , ${\displaystyle K_{2}\subset A\subset V_{2}}$  with

${\displaystyle \mu (V_{1}\setminus K_{1}),\mu (V_{2}\setminus K_{2})<\epsilon }$

Write ${\displaystyle A\setminus B=(V_{1}\setminus K_{1})\cup (K_{1}\setminus V_{2})\cup (V_{2}\setminus K_{2})}$

As ${\displaystyle K_{1}\setminus V_{2}}$  is a closed subsetof ${\displaystyle K}$  , it is compact

Then, ${\displaystyle \mu (A\setminus B)\leq \mu (V_{1}\setminus K_{1})\cup \mu (K_{1}\setminus V_{2})\cup \mu (V_{2}\setminus K_{2})=\mu (K_{1}\setminus V_{2})+2\epsilon }$

thus, ${\displaystyle \mu (A\setminus B}$  is finite and hence, ${\displaystyle A\setminus B\in \Sigma _{F}}$

Now write ${\displaystyle A\cup B=(A\setminus B)\cup B}$

and ${\displaystyle A\cap B=A\setminus (A\setminus B)}$

### Step 7

${\displaystyle \Sigma }$  is a ${\displaystyle \sigma }$ -field containing all Borel sets

Proof

Let ${\displaystyle C}$  be closed

Then, ${\displaystyle C\cap K}$  is compact for every ${\displaystyle K}$  compact

Therefore ${\displaystyle C\cap K\in \Sigma _{F}}$  and hence ${\displaystyle C\in \Sigma }$  (by definition) and hence, ${\displaystyle \Sigma }$  has all closed sets. In particular, ${\displaystyle X\in \Sigma }$

Let ${\displaystyle A\in \Sigma }$ . Then, ${\displaystyle A^{c}\cap K\subset K}$  and ${\displaystyle A^{c}\cap K=K\setminus (K\setminus A)}$  and hence, ${\displaystyle A^{c}\in \Sigma }$

Now let ${\displaystyle A=\displaystyle \bigcup _{i=1}^{\infty }A_{i}}$  where ${\displaystyle A_{i}\in \Sigma }$

We know that ${\displaystyle A_{i}\cap K\in \Sigma _{F}}$  for every compact ${\displaystyle K}$

Let ${\displaystyle B_{1}=A_{1}\cap K}$ , ${\displaystyle B_{n}=A_{n}\cap K\setminus (B_{1}\cup B_{2}\ldots \cup B_{n-1})}$ . ${\displaystyle A\cap K=\displaystyle \bigcup _{i=1}^{\infty }}$ , but ${\displaystyle \mu (B_{i})<\infty }$  and hence, ${\displaystyle A\cap K\in \Sigma }$

### Step 8

${\displaystyle \Sigma _{F}=\{E\in \Sigma :\mu (E)<\infty \}}$

Proof

Let ${\displaystyle E\subset \Sigma _{F}}$ . Then ${\displaystyle E\cap K\in \Sigma _{F}}$  for every compact ${\displaystyle K\subset X}$

Now, let ${\displaystyle E\in \Sigma }$ , ${\displaystyle \mu (E)<\infty }$ . Given ${\displaystyle \epsilon >0}$ , there exists open ${\displaystyle V}$  such that ${\displaystyle E\subset V}$ , ${\displaystyle \mu (V)<\infty }$ , that is, ${\displaystyle V\in \Sigma _{F}}$ . Further, there exists compact ${\displaystyle K\subset V}$  such that ${\displaystyle \mu (V\setminus K)<\infty }$

${\displaystyle E\in \Sigma }$  implies that ${\displaystyle E\cap K\in \Sigma _{F}}$ , that is, there exists compact ${\displaystyle H\subset E\cap K}$  such that

${\displaystyle \mu (E\cap K)<\mu (H)+\epsilon }$

Therefore, ${\displaystyle E\subset (E\cap K)\cup (V\setminus K)}$  implies that ${\displaystyle \mu (E)\leq \mu (H)+2\epsilon }$

As ${\displaystyle \epsilon >0}$  is arbitrary, we are done.

### Step 9

For ${\displaystyle f\in C_{c}(X)}$ , ${\displaystyle \Lambda f=\displaystyle \int _{X}fd\mu }$

Proof

Without loss of generality, we may assume that ${\displaystyle f}$  is real valued.

It is obviuos from the definition of ${\displaystyle \mu }$  that ${\displaystyle \Lambda f\geq \displaystyle \int _{X}fd\mu }$

Let ${\displaystyle K={\text{supp}}f}$ . Hence, as ${\displaystyle f}$  is continuous, ${\displaystyle f(K)}$  is compact. and we can write ${\displaystyle f(K)\subset [a,b]}$  for some ${\displaystyle a,b\in \mathbb {R} }$ . Let ${\displaystyle \epsilon >0}$ . Let ${\displaystyle {\mathcal {P}}=\{a=y_{0}  be an ${\displaystyle \epsilon }$ -fine partition of ${\displaystyle [a,b]}$

Let ${\displaystyle E_{i}=\{x\in X|y_{i-1} . As ${\displaystyle f}$  is continuous, ${\displaystyle K}$  is compact, ${\displaystyle E_{i}}$  is measurable for every ${\displaystyle i}$ , and hence, ${\displaystyle K=\displaystyle \bigcup _{i=1}^{n}E_{i}}$

${\displaystyle \mu (E)=\inf\{\mu (V)|V\supset E,V{\text{ open}}\}}$

Hence, we can find open sets ${\displaystyle V_{i}\supset E_{i}}$  such that ${\displaystyle \mu (V_{i})<\mu (E_{i})+{\frac {\epsilon }{n}}}$

${\displaystyle f(x)  for all ${\displaystyle x\in V_{i}}$

We know that if compact ${\displaystyle K\subset V_{1}\cup V_{2}\cup \ldots \cup V_{n}}$  with ${\displaystyle V_{i}}$  open then there exists ${\displaystyle h_{i}\in C_{c}(X)}$  wiht ${\displaystyle h_{i}\prec V_{i}}$  and ${\displaystyle \displaystyle \sum _{i=1}^{n}h_{i}=1}$  on ${\displaystyle K}$

Hence, there exist functions ${\displaystyle h_{i}\prec V_{i}}$  such that ${\displaystyle \displaystyle \sum _{i=1}^{n}h_{i}=1}$  on ${\displaystyle K}$ .

Thus, ${\displaystyle \displaystyle \sum _{i=1}^{n}h_{i}(x)f(x)=f(x)}$  for all ${\displaystyle x\in X}$

By step 2, we have ${\displaystyle \displaystyle \mu (K)\leq \sum _{i=1}^{n}\Lambda h_{i}}$

${\displaystyle h_{i}f<(y_{i}+\epsilon )h_{i}}$  on each ${\displaystyle V_{i}}$

Thus, ${\displaystyle \Lambda f=\displaystyle \sum _{i=1}^{n}\Lambda h_{i}f\leq \sum _{i=1}^{n}\Lambda h_{i}(y_{i}+\epsilon )=\left(\sum _{i=1}^{n}(y_{i}+\epsilon )\Lambda h_{i}+\Lambda \sum _{i=1}^{n}|a|h_{i}\right)-\Lambda \sum _{i=1}^{n}|a|h_{i}}$

${\displaystyle =\displaystyle \sum _{i=1}^{n}(y_{i}+\epsilon +|a|)\Lambda h_{i}-\Lambda \sum _{i=1}^{n}|a|h_{i}}$

${\displaystyle \leq \displaystyle \sum _{i=1}^{n}(y_{i}+\epsilon +|a|)\left(\mu (E_{i})+{\frac {\epsilon }{n}}\right)-\Lambda \sum _{i=1}^{n}|a|h_{i}}$

${\displaystyle =\displaystyle \sum _{i=1}^{n}y_{i}\mu (E_{i})+\sum _{i=1}^{n}\epsilon \left(\mu (E_{i})+{\frac {\epsilon }{n}}+{\frac {|a|}{n}}\right)\leq \sum _{i=1}^{n}(y_{i}-\epsilon )\mu (E_{i})+\sum _{i=1}^{n}\epsilon \left(2\mu (E_{i})+{\frac {\epsilon }{n}}+{\frac {|a|}{n}}\right)}$

${\displaystyle \leq \displaystyle \sum _{i=1}^{n}f(x_{i})\mu (E_{i})+\sum _{i=1}^{n}\epsilon \left(2\mu (E_{i})+{\frac {\epsilon }{n}}+{\frac {|a|}{n}}\right)}$

As ${\displaystyle \epsilon >0}$  is arbitrary, we have ${\displaystyle \Lambda f\leq \displaystyle \int _{X}fd\mu }$  which completes the proof.