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I got an exercise that asked to show the following:

Statement: Given two scalar measures $\lambda_1, \lambda_2$ (either real or complex) and a scalar $k$. Show that if $f \in L^1(\lambda_1)\cap L^2 (\lambda_2)$, then $f \in L^1(k\lambda_1 + \lambda2)$ and $$\int_A fd(k \lambda_1 + \lambda_2) = k \int_A fd\lambda_1 + \int_A fd\lambda_2$$

Note: I've already shown this result for non-negative, finite measures and non-negative $k \in \mathbb{R}$. However, using the definition of the integral for scalar measures, I don't see how to proceed. That is, I have that $$\int_A fd(k \lambda_1 + \lambda_2) = \int_A fd(k \lambda_1 + \lambda_2)^+ - \int_A fd(k \lambda_1 + \lambda_2)^-$$ where $(k \lambda_1 + \lambda_2)^+$ and $(k \lambda_1 + \lambda_2)^-$ is the Jordan-Hahn decomposition of $k \lambda_1 + \lambda_2$. Nonetheless, I don't think that the Jordan decomposition is linear. I also tried using the Radon-Nikodym derivative, but I also get stuck.

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  • $\begingroup$ What's your definition of the integral with respect to a signed measure? It's sort of hard to define without constructing the Jordan-Hahn decomposition and declaring the integral to be linear in the measure. $\endgroup$ Commented Oct 25, 2019 at 9:12
  • $\begingroup$ My definition uses the Jordan-Hahn decomposition: $\int_A fd\lambda = \int_A f d\lambda^+ - \int_A f d\lambda^-$ where $\lambda^+, \lambda^-$ is the decomposition of $\lambda$. $\endgroup$ Commented Oct 25, 2019 at 9:15
  • $\begingroup$ So all you have to prove is that the Jordan decomposition of $k\mu$ is equal to $|k|\mu^{+}$ and $|k|\mu^{-}$ with the sign determined by the sign of $k$, and then you can apply your result for positive measures. $\endgroup$ Commented Oct 25, 2019 at 9:23
  • $\begingroup$ Yes! Actually I proved also that. However, I have troubles with the addition. In particular, if $(\mu_1 + \mu_2)^+ = \mu_1^+ + \mu_2^+$ and $(\mu_1 + \mu_2)^- = \mu_1^- + \mu_2^-$, then this would imply that $|\mu_1 + \mu_2| = |\mu_1| + |\mu_2|$ where the bars denote the variation of a measure. And, so far as I know, we only have an inequality there: $|\mu_1 + \mu_2| \leq |\mu_1| + |\mu_2|$ $\endgroup$ Commented Oct 25, 2019 at 9:31

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Okay, let's just clear out that confusion.

First claim: If $\mu$ and $\nu$ are two signed measures, then for any $f\in L^1(\mu)\cap L^1(\nu),$ we have $f \in L^1(\mu+\nu)$ and $\int f\textrm{d}(\mu+\nu)=\int f\textrm{d}\mu+\int f\textrm{d}\nu.$ You are correct that the Jordan decompositions need not be compatible. However, assume that $\mu=\mu^+-\mu^-$ and $\nu=\nu-\nu^{-}$ are the Jordan decompositions of $\mu$ and $\nu$ respectively. Then, for any indicator function $B$, we have, by definition that

\begin{align} \int1_B\textrm{d}(\mu+\nu)^+-\int 1_B \textrm{d}(\mu+\nu)^-&= \int 1_B \textrm{d}(\mu+\nu)=(\mu+\nu)(B)= \mu^{+}(B)-\mu^{-}(B)+\nu(B)-\nu^{-}(B) \\&=\int 1_B\textrm{d}\mu^+-\int 1_B\textrm{d}\mu^-+\int 1_B\textrm{d}\nu^+-\int 1_B\textrm{d}\nu^- \end{align} By linearity of the left-hand side and right-hand side in $f$, we get the identity for all simple functions - so far we haven't even used that all of these measures were positive. Of course, for general functions, we need the definition $\int 1_B \textrm{d}(\mu+\nu)=\int 1_B \textrm{d}(\mu+\nu)^+-\int 1_B \textrm{d}(\mu+\nu)^-$.

Now, if $f$ is any positive, measurable function, such that $f\in L^1(\mu)\cap L^1(\nu)$, pick a sequence of simple function $f_n,$ which increases to $f$ pointwise and let $\Omega^+$ and \Omega^{-} be sets such that $(\mu+\nu)^+(\Omega^-)=0$ and vice versa. Then, we can apply the monotone convergence theorem to each of these six positive measures, to get \begin{align} \int 1_{\Omega^+}f\textrm{d}\mu+\int 1_{\Omega^+}f\textrm{d}\nu&=\int 1_{\Omega^+} f\textrm{d}\mu^+-\int 1_{\Omega^+}f\textrm{d}\mu^-+\int 1_{\Omega^+}f\textrm{d}\nu^+-\int 1_{\Omega^+}f\textrm{d}\nu^- \\ &=\lim_{n\to\infty} \left(\int 1_{\Omega^+}f_n\textrm{d}\mu^+-\int 1_{\Omega^+}f_n\textrm{d}\mu^-+\int 1_{\Omega^+}f_n\textrm{d}\nu^+-\int 1_{\Omega^+}f_n\textrm{d}\nu^-\right) \\ &=\lim_{n\to\infty}\left(\int 1_{\Omega^+}f_n\textrm{d}(\mu+\nu)^+-\int 1_{\Omega^+}f_n\textrm{d}(\mu+\nu)^-\right)\\ &=\int 1_{\Omega^+}f\textrm{d}(\mu+\nu)^+-\int 1_{\Omega^+}f\textrm{d}(\mu+\nu)^-\\ &=\int 1_{\Omega^+}f\textrm{d}(\mu+\nu), \end{align} where we avoid a potential $\infty-\infty$ scenario since $\int 1_{\Omega^+}f\textrm{d}(\mu+\nu)^-=0$. Now, we can apply a similar argument to $(1_{\Omega^-})f$ in order to apply linearity to get that $\int f\textrm{d}(\mu+\nu)=\int f\textrm{d}\mu+\int f\textrm{d} \nu$

Now, we get the general result by splitting up $f=f^+-f^-$ for a general $L^1$ function.

Finally, the case where we apply multiply by a scalar is completely similar, and of course, the same is true for complex measures.

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  • $\begingroup$ Amazing! Thank you so much! I don't know why I didn't see it. $\endgroup$ Commented Oct 25, 2019 at 21:38

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