Radon-Nikodym Theorem (Theorem # 2640)
Theorem
Let $(\Omega, \Sigma, \mu)$ be a $\sigma$-finite measure space and $\nu : \Sigma \to \mathbb{C}$ a complex measure with $\nu \ll \mu$. Then there exists a unique $f \in L^1(\mu)$ such that
\begin{align*}
\nu(A) = \int_A f \, d\mu \quad \text{for all } A \in \Sigma.
\end{align*}
The function $f$ is called the **Radon-Nikodym derivative** of $\nu$ with respect to $\mu$, written $f = d\nu/d\mu$. Moreover, $f$ takes real values if $\nu$ is real-valued (i.e., a finite signed measure with vanishing imaginary part), and non-negative real values if $\nu$ is a positive measure. The signed-measure version is stated for **finite signed measures** $\nu : \Sigma \to \mathbb{R}$; the complex case is identical and reduces to two finite real signed measures via real and imaginary parts.
Analysis
Measure Theory
Discussion
No discussion available for this theorem.
Proof
[proofplan]
Uniqueness follows from the standard fact that two integrable functions with equal integrals over every measurable set agree almost everywhere. For existence, we reduce to the case $\nu, \mu$ both finite positive measures (using $\sigma$-finiteness for $\mu$ and Jordan decomposition / linearity for $\nu$). In the reduced setting, we maximise $\int_\Omega h \, d\mu$ over the family $\mathcal{F}$ of measurable $h: \Omega \to [0, \infty]$ with $\int_A h \, d\mu \le \nu(A)$ for all $A$, achieving the supremum at some $f \in \mathcal{F}$. The defect measure $\rho(A) := \nu(A) - \int_A f \, d\mu$ is shown to be zero via Hahn decompositions of the auxiliary signed measures $\rho - n^{-1} \mu$: a positive part of any of these would let us improve $f$, contradicting maximality.
[/proofplan]
[step:Establish uniqueness from agreement of set integrals]
Suppose $f, g \in L^1(\mu)$ both represent $\nu$, so $\int_A f \, d\mu = \nu(A) = \int_A g \, d\mu$ for all $A \in \Sigma$. Then $\int_A (f - g) \, d\mu = 0$ for all $A \in \Sigma$.
Set $h := \operatorname{Re}(f - g)$ and decompose $h = h^+ - h^-$ with $h^+ = \max(h, 0)$, $h^- = \max(-h, 0)$, both non-negative measurable. Apply the equality on $A_+ := \{h > 0\} = \{h^+ > 0\}$ to get $0 = \int_{A_+} (f - g) \, d\mu$, whose real part is $\int_{A_+} h \, d\mu = \int_{A_+} h^+ \, d\mu = \int_\Omega h^+ \, d\mu$. Since $h^+ \ge 0$ and $\int_\Omega h^+ \, d\mu = 0$, we conclude $h^+ = 0$ $\mu$-a.e. Symmetrically, $h^- = 0$ $\mu$-a.e. on $A_- := \{h < 0\}$. Hence $h = 0$ $\mu$-a.e. The same argument applied to the imaginary part of $f - g$ gives $\operatorname{Im}(f - g) = 0$ $\mu$-a.e. Therefore $f = g$ $\mu$-a.e.
[/step]
[step:Reduce existence to the case of finite positive $\nu$ and $\mu$]
Assume the theorem is proved when both $\nu$ and $\mu$ are finite positive measures. We deduce the general case as follows.
**Reduction from complex $\nu$ to positive $\nu$.** Decompose $\nu = \nu_1 + i \nu_2$ into real and imaginary parts (finite real signed measures). Since $\nu$ is a complex measure, it is finite by definition, so each $\nu_j$ is a finite signed measure on the $\sigma$-algebra $\Sigma$. Hence the **Jordan Decomposition Theorem** for finite signed measures applies and gives $\nu_j = \nu_j^+ - \nu_j^-$ as a difference of finite positive measures. (The complex case is identical: it reduces to two finite real signed measures via $\operatorname{Re}$ and $\operatorname{Im}$.) Since $|\nu_j(A)| \le |\nu(A)|$ and $\nu \ll \mu$, each $\nu_j^\pm \ll \mu$ as well: if $\mu(A) = 0$, then $|\nu(A')| = 0$ for all $A' \subset A$ measurable, hence $\nu_j(A') = 0$ for all such $A'$, forcing $\nu_j^+(A) = \nu_j^-(A) = 0$.
If we find $f_j^\pm \in L^1(\mu)$ representing $\nu_j^\pm$, then $f := f_1^+ - f_1^- + i(f_2^+ - f_2^-) \in L^1(\mu)$ represents $\nu$ by linearity of the integral.
**Reduction from $\sigma$-finite $\mu$ to finite $\mu$ (for positive $\nu$).** Now suppose $\nu$ is finite positive and $\mu$ is $\sigma$-finite. Write $\Omega = \bigsqcup_{n=1}^\infty B_n$ with $B_n \in \Sigma$, $\mu(B_n) < \infty$. Define on each $B_n$ the restricted measures $\mu_n(A) := \mu(A \cap B_n)$ and $\nu_n(A) := \nu(A \cap B_n)$, both finite, with $\nu_n \ll \mu_n$. The finite-finite case yields $f_n \in L^1(\mu_n)$ representing $\nu_n$ on $\Sigma$, with $f_n \ge 0$ supported on $B_n$. Set $f := \sum_n f_n \mathbb{1}_{B_n}$ (well-defined and measurable since the $B_n$ are disjoint and each $f_n \mathbb{1}_{B_n}$ is non-negative measurable). Then for $A \in \Sigma$, applying the **Monotone Convergence Theorem** to the partial sums $S_N := \sum_{n=1}^N f_n \mathbb{1}_{A \cap B_n}$ — these are non-negative, measurable, and increase pointwise to $f \mathbb{1}_A$ — we obtain
\begin{align*}
\int_A f \, d\mu = \sum_n \int_{A \cap B_n} f_n \, d\mu_n = \sum_n \nu_n(A) = \sum_n \nu(A \cap B_n) = \nu(A),
\end{align*}
where the last equality uses countable additivity of $\nu$. Similarly $\int_\Omega |f| \, d\mu = \sum_n \int_{B_n} |f_n| \, d\mu_n \le \sum_n \nu_n(\Omega) = \nu(\Omega) < \infty$, so $f \in L^1(\mu)$.
It therefore suffices to prove the theorem when $\nu$ and $\mu$ are both finite positive measures. We carry this out in the remaining steps.
[guided]
Assume the theorem is established for finite positive $\nu$ and finite positive $\mu$. We deduce the general case in two reductions: complex $\nu \to$ positive $\nu$, then $\sigma$-finite $\mu \to$ finite $\mu$.
**Reduction from complex $\nu$ to positive $\nu$.** A complex measure $\nu : \Sigma \to \mathbb{C}$ takes values in $\mathbb{C}$, but our supremum construction will require non-negative measurable functions. We split $\nu$ into pieces that are positive measures.
Decompose $\nu = \nu_1 + i \nu_2$ where $\nu_1(A) := \operatorname{Re}\nu(A)$ and $\nu_2(A) := \operatorname{Im}\nu(A)$. Since $\nu$ is finite (every complex measure is finite by definition), each $\nu_j : \Sigma \to \mathbb{R}$ is a finite real signed measure on the $\sigma$-algebra $\Sigma$. The hypotheses of the **Jordan Decomposition Theorem** — finite signed measure on a $\sigma$-algebra — are therefore satisfied for each $\nu_j$. We apply Jordan decomposition to obtain $\nu_j = \nu_j^+ - \nu_j^-$ where $\nu_j^\pm$ are finite positive measures on $\Sigma$. (The complex case is identical: we have just reduced it to two real signed measures via the real and imaginary part maps.)
We verify each $\nu_j^\pm \ll \mu$. Suppose $\mu(A) = 0$. By absolute continuity $\nu \ll \mu$, every measurable $A' \subseteq A$ satisfies $\mu(A') = 0$, hence $\nu(A') = 0$, hence $\nu_j(A') = \operatorname{Re}\nu(A') = 0$ (similarly for $\nu_2$). The Jordan decomposition expresses $\nu_j^+(A)$ and $\nu_j^-(A)$ as variations over measurable subsets of $A$, all of which give value $0$. Hence $\nu_j^\pm(A) = 0$, so $\nu_j^\pm \ll \mu$.
The finite-finite case applied to each $\nu_j^\pm$ produces $f_j^\pm \in L^1(\mu)$ with $\nu_j^\pm(A) = \int_A f_j^\pm \, d\mu$ for all $A \in \Sigma$. Define
\begin{align*}
f := f_1^+ - f_1^- + i(f_2^+ - f_2^-) \in L^1(\mu).
\end{align*}
By linearity of the integral, $\int_A f \, d\mu = (\nu_1^+ - \nu_1^-)(A) + i(\nu_2^+ - \nu_2^-)(A) = \nu_1(A) + i \nu_2(A) = \nu(A)$ for all $A \in \Sigma$. So $f$ represents $\nu$.
**Reduction from $\sigma$-finite $\mu$ to finite $\mu$.** Now assume $\nu$ is finite positive and $\mu$ is $\sigma$-finite. We need to handle the case $\mu(\Omega) = \infty$, which is incompatible with the bound $\alpha \le \nu(\Omega)$ that drives the supremum construction once we factor through $\mu$. The remedy is to partition $\Omega$ into pieces of finite $\mu$-measure.
By $\sigma$-finiteness, write $\Omega = \bigsqcup_{n=1}^\infty B_n$ with $B_n \in \Sigma$ pairwise disjoint and $\mu(B_n) < \infty$ (a standard disjointification of any countable cover by finite-measure sets). Define
\begin{align*}
\mu_n &: \Sigma \to [0, \infty), & \mu_n(A) &:= \mu(A \cap B_n), \\
\nu_n &: \Sigma \to [0, \infty), & \nu_n(A) &:= \nu(A \cap B_n).
\end{align*}
Both are finite positive measures: $\mu_n(\Omega) = \mu(B_n) < \infty$ and $\nu_n(\Omega) = \nu(B_n) \le \nu(\Omega) < \infty$. We verify $\nu_n \ll \mu_n$: if $\mu_n(A) = \mu(A \cap B_n) = 0$, then $\nu(A \cap B_n) = 0$ by $\nu \ll \mu$, i.e. $\nu_n(A) = 0$.
Apply the finite-finite case to each pair $(\mu_n, \nu_n)$ to obtain $f_n \in L^1(\mu_n)$ with $f_n \ge 0$ representing $\nu_n$. Without loss of generality $f_n$ is supported in $B_n$ (replacing $f_n$ by $f_n \mathbb{1}_{B_n}$ does not change any integral $\int_A f_n \, d\mu_n$ because $\mu_n$ is concentrated on $B_n$). Define
\begin{align*}
f : \Omega &\to [0, \infty), & f(\omega) &:= \sum_{n=1}^\infty f_n(\omega)\, \mathbb{1}_{B_n}(\omega).
\end{align*}
Since the $B_n$ are disjoint, at each $\omega \in \Omega$ exactly one term is nonzero, so the sum is finite-valued and $f$ is measurable as a pointwise limit of partial sums of non-negative measurable functions.
We compute $\int_A f \, d\mu$ via the **Monotone Convergence Theorem**. Define partial sums
\begin{align*}
S_N : \Omega \to [0, \infty), \quad S_N := \sum_{n=1}^N f_n \mathbb{1}_{A \cap B_n}.
\end{align*}
Each $S_N$ is non-negative and measurable; $S_N \le S_{N+1}$ pointwise (each new term is non-negative); and $S_N \uparrow f \mathbb{1}_A$ pointwise as $N \to \infty$. The hypotheses of MCT (non-negativity, measurability, monotone increase) are verified, so
\begin{align*}
\int_\Omega f \mathbb{1}_A \, d\mu = \lim_{N \to \infty} \int_\Omega S_N \, d\mu = \sum_{n=1}^\infty \int_\Omega f_n \mathbb{1}_{A \cap B_n} \, d\mu.
\end{align*}
Since $f_n$ is supported in $B_n$ and $\mu$ restricted to $B_n$ equals $\mu_n$ on subsets of $B_n$, $\int_\Omega f_n \mathbb{1}_{A \cap B_n} \, d\mu = \int_{A \cap B_n} f_n \, d\mu_n = \nu_n(A) = \nu(A \cap B_n)$. Summing and using countable additivity of $\nu$:
\begin{align*}
\int_A f \, d\mu = \sum_{n=1}^\infty \nu(A \cap B_n) = \nu\Big(\bigsqcup_n (A \cap B_n)\Big) = \nu(A).
\end{align*}
Finally, $f \in L^1(\mu)$: by the same MCT argument with $A = \Omega$,
\begin{align*}
\int_\Omega f \, d\mu = \sum_{n=1}^\infty \int_{B_n} f_n \, d\mu_n = \sum_{n=1}^\infty \nu_n(\Omega) = \sum_{n=1}^\infty \nu(B_n) = \nu(\Omega) < \infty.
\end{align*}
Both reductions complete, the remaining work is the finite-finite case, treated in the next steps.
[/guided]
[/step]
[step:Set up the family $\mathcal{F}$ and the supremum $\alpha$]
Henceforth assume $\nu$ and $\mu$ are finite positive measures with $\nu \ll \mu$. Define
\begin{align*}
\mathcal{F} := \Big\{h: \Omega \to [0, \infty] \text{ measurable} : \int_A h \, d\mu \le \nu(A) \text{ for all } A \in \Sigma\Big\},
\end{align*}
and
\begin{align*}
\alpha := \sup_{h \in \mathcal{F}} \int_\Omega h \, d\mu.
\end{align*}
Note $0 \in \mathcal{F}$, so $\mathcal{F} \ne \varnothing$. Taking $A = \Omega$ in the defining inequality gives $\int_\Omega h \, d\mu \le \nu(\Omega) < \infty$, so $\alpha \le \nu(\Omega) < \infty$.
**$\mathcal{F}$ is closed under finite maxima.** Given $h_1, h_2 \in \mathcal{F}$ and $A \in \Sigma$, partition $A = A_1 \sqcup A_2$ where $A_1 := A \cap \{h_1 \ge h_2\}$, $A_2 := A \cap \{h_1 < h_2\}$. Then $\max(h_1, h_2) = h_1 \mathbb{1}_{\{h_1 \ge h_2\}} + h_2 \mathbb{1}_{\{h_1 < h_2\}}$, and
\begin{align*}
\int_A \max(h_1, h_2) \, d\mu = \int_{A_1} h_1 \, d\mu + \int_{A_2} h_2 \, d\mu \le \nu(A_1) + \nu(A_2) = \nu(A).
\end{align*}
So $\max(h_1, h_2) \in \mathcal{F}$.
**$\mathcal{F}$ is closed under monotone increasing limits.** If $g_n \in \mathcal{F}$ and $g_n \uparrow g$ pointwise, then by the monotone convergence theorem applied to $g_n \mathbb{1}_A \uparrow g \mathbb{1}_A$, for every $A \in \Sigma$
\begin{align*}
\int_A g \, d\mu = \lim_n \int_A g_n \, d\mu \le \nu(A),
\end{align*}
so $g \in \mathcal{F}$.
[/step]
[step:Construct $f \in \mathcal{F}$ achieving the supremum $\alpha$]
By definition of $\alpha$, choose $h_n \in \mathcal{F}$ with $\int_\Omega h_n \, d\mu > \alpha - 1/n$. Set $g_n := \max(h_1, \ldots, h_n)$. Iterating closure of $\mathcal{F}$ under finite maxima, $g_n \in \mathcal{F}$. The sequence $g_n$ is monotone increasing, so let $f := \lim_n g_n = \sup_n g_n$, a measurable $[0, \infty]$-valued function. By closure under monotone increasing limits, $f \in \mathcal{F}$.
By monotone convergence,
\begin{align*}
\int_\Omega f \, d\mu = \lim_n \int_\Omega g_n \, d\mu \ge \lim_n \int_\Omega h_n \, d\mu \ge \lim_n (\alpha - 1/n) = \alpha,
\end{align*}
where the first inequality uses $g_n \ge h_n$. Combined with $\int_\Omega f \, d\mu \le \alpha$ (from $f \in \mathcal{F}$), we get $\int_\Omega f \, d\mu = \alpha$.
Since $\alpha < \infty$, the set $\{f = \infty\}$ has $\mu$-measure $0$ (else $\int f \, d\mu = \infty$). Modify $f$ on this $\mu$-null set to set $f := 0$ there; this preserves $f \in \mathcal{F}$ (changing $f$ on a $\mu$-null set does not affect any integral $\int_A f \, d\mu$) and gives $f: \Omega \to [0, \infty)$ finite-valued. We have $\int_\Omega f \, d\mu = \alpha \le \nu(\Omega) < \infty$, so $f \in L^1(\mu)$.
[/step]
[step:Show $f$ represents $\nu$ via Hahn decomposition of auxiliary signed measures]
Define the defect measure $\rho: \Sigma \to [0, \infty)$ by
\begin{align*}
\rho(A) := \nu(A) - \int_A f \, d\mu.
\end{align*}
This is a finite positive measure (it is positive because $f \in \mathcal{F}$, finite because $\nu(\Omega) < \infty$). To prove $\nu(A) = \int_A f \, d\mu$ it suffices to show $\rho \equiv 0$.
Suppose for contradiction $\rho(\Omega) > 0$. Since $\mu(\Omega) < \infty$, choose $n \in \mathbb{N}$ large enough that $\rho(\Omega) > \mu(\Omega)/n$, i.e. $\rho(\Omega) - n^{-1} \mu(\Omega) > 0$. Consider
\begin{align*}
\sigma_n : \Sigma &\to \mathbb{R}, & \sigma_n(A) &:= \rho(A) - n^{-1} \mu(A) = \nu(A) - \int_A f \, d\mu - n^{-1} \mu(A).
\end{align*}
We verify $\sigma_n$ is a finite signed measure on $\Sigma$: $\rho$ is a finite positive measure (verified above) and $n^{-1} \mu$ is a finite positive measure (since $\mu(\Omega) < \infty$), so their difference is a real-valued countably additive set function on $\Sigma$ with $|\sigma_n(A)| \le \rho(\Omega) + n^{-1} \mu(\Omega) < \infty$ for all $A$. The hypotheses of the **Hahn Decomposition Theorem** — finite signed measure on a $\sigma$-algebra — are therefore satisfied. The theorem yields $P_n, N_n \in \Sigma$ with $\Omega = P_n \sqcup N_n$, $\sigma_n(A) \ge 0$ for all measurable $A \subseteq P_n$, and $\sigma_n(A) \le 0$ for all measurable $A \subseteq N_n$. By the choice of $n$,
\begin{align*}
\sigma_n(\Omega) = \sigma_n(P_n) + \sigma_n(N_n) > 0,
\end{align*}
and $\sigma_n(N_n) \le 0$, so $\sigma_n(P_n) > 0$.
Now $\sigma_n(P_n) > 0$ together with $\nu \ll \mu$ implies $\mu(P_n) > 0$: if $\mu(P_n) = 0$, then $\nu(P_n) = 0$ (by absolute continuity), so $\rho(P_n) = -\int_{P_n} f \, d\mu \le 0$ (in fact $= 0$ since $\rho \ge 0$), giving $\sigma_n(P_n) = \rho(P_n) - n^{-1} \mu(P_n) = 0$, a contradiction.
[guided]
We construct a candidate density $f$ in the previous step; we now show $f$ represents $\nu$. Define the **defect measure**
\begin{align*}
\rho : \Sigma &\to [0, \infty), & \rho(A) &:= \nu(A) - \int_A f \, d\mu.
\end{align*}
We verify $\rho$ is a finite positive measure. Positivity: $\rho(A) \ge 0$ for all $A \in \Sigma$ because $f \in \mathcal{F}$, which by definition gives $\int_A f \, d\mu \le \nu(A)$. Countable additivity: both $\nu(\cdot)$ and $A \mapsto \int_A f \, d\mu$ are countably additive on $\Sigma$ (the latter by countable additivity of the Lebesgue integral with respect to non-negative integrand $f$), and the difference of two countably additive set functions taking finite values is countably additive. Finiteness: $\rho(\Omega) = \nu(\Omega) - \alpha \le \nu(\Omega) < \infty$. The identity $\nu(A) = \int_A f \, d\mu$ for all $A \in \Sigma$ is equivalent to $\rho \equiv 0$.
We argue by contradiction: assume $\rho(\Omega) > 0$. The strategy is to find a "boost set" $P$ on which we can increase $f$ by a small constant $\varepsilon > 0$ — replacing $f$ by $h := f + \varepsilon \mathbb{1}_P$ — while keeping $h \in \mathcal{F}$ and producing $\int_\Omega h \, d\mu > \alpha$, contradicting maximality of $\alpha = \int_\Omega f \, d\mu$.
To make this work, we need $\int_A h \, d\mu \le \nu(A)$ on subsets $A \subseteq P$, i.e. $\int_A f \, d\mu + \varepsilon \mu(A) \le \nu(A)$, i.e. $\rho(A) \ge \varepsilon \mu(A)$ on $A \subseteq P$. This says exactly that the signed measure $\rho - \varepsilon \mu$ is non-negative on $P$. For $\varepsilon = 1/n$, the **Hahn Decomposition Theorem** produces precisely such a $P$.
Set
\begin{align*}
\sigma_n : \Sigma &\to \mathbb{R}, & \sigma_n(A) &:= \rho(A) - n^{-1} \mu(A).
\end{align*}
We verify that $\sigma_n$ is a finite signed measure on the $\sigma$-algebra $\Sigma$. Both $\rho$ and $n^{-1} \mu$ are finite positive measures (with $\rho(\Omega) < \infty$ verified above and $n^{-1} \mu(\Omega) = \mu(\Omega)/n < \infty$ from finiteness of $\mu$ in the reduced setting). Their difference is real-valued, countably additive (both summands are), and bounded: $|\sigma_n(A)| \le \rho(\Omega) + n^{-1} \mu(\Omega) < \infty$ for all $A \in \Sigma$. The hypotheses of the Hahn Decomposition Theorem are met, so it produces $P_n, N_n \in \Sigma$ with
\begin{align*}
\Omega = P_n \sqcup N_n, \quad \sigma_n(A) \ge 0 \text{ for all measurable } A \subseteq P_n, \quad \sigma_n(A) \le 0 \text{ for all measurable } A \subseteq N_n.
\end{align*}
We choose $n$ to make $\sigma_n(P_n) > 0$. Since $\rho(\Omega) > 0$ and $\mu(\Omega) < \infty$, pick $n \in \mathbb{N}$ with $n > \mu(\Omega)/\rho(\Omega)$. Then $n^{-1} \mu(\Omega) < \rho(\Omega)$, so
\begin{align*}
\sigma_n(\Omega) = \rho(\Omega) - n^{-1} \mu(\Omega) > 0.
\end{align*}
Splitting via the Hahn decomposition: $\sigma_n(\Omega) = \sigma_n(P_n) + \sigma_n(N_n)$. Since $N_n \subseteq N_n$, we have $\sigma_n(N_n) \le 0$. Therefore $\sigma_n(P_n) \ge \sigma_n(\Omega) > 0$.
We now show $\mu(P_n) > 0$, which is the crucial place where absolute continuity $\nu \ll \mu$ enters. Suppose for contradiction $\mu(P_n) = 0$. By $\nu \ll \mu$, $\nu(P_n) = 0$. Then
\begin{align*}
\rho(P_n) = \nu(P_n) - \int_{P_n} f \, d\mu = 0 - \int_{P_n} f \, d\mu = -\int_{P_n} f \, d\mu.
\end{align*}
Since $\rho \ge 0$ (verified) and $f \ge 0$, both $\rho(P_n) \ge 0$ and $-\int_{P_n} f \, d\mu \le 0$. The only number that is simultaneously $\ge 0$ and $\le 0$ is $0$, so $\rho(P_n) = 0$. Then $\sigma_n(P_n) = \rho(P_n) - n^{-1} \mu(P_n) = 0 - 0 = 0$, contradicting $\sigma_n(P_n) > 0$. Hence $\mu(P_n) > 0$, and $P_n$ is a genuine boost set with strictly positive $\mu$-mass on which the boost $\varepsilon = 1/n$ is admissible. The next step uses this to manufacture the contradiction with maximality of $\alpha$.
[/guided]
[/step]
[step:Derive a contradiction with the maximality of $\alpha$]
On the set $P_n$ from the previous step, we have $\sigma_n(A) \ge 0$ for every measurable $A \subseteq P_n$, i.e.
\begin{align*}
\nu(A) - \int_A f \, d\mu - n^{-1} \mu(A) \ge 0,
\end{align*}
which rearranges to $\int_A (f + n^{-1} \mathbb{1}_{P_n}) \, d\mu \le \nu(A)$ for $A \subseteq P_n$.
Define $h := f + n^{-1} \mathbb{1}_{P_n}: \Omega \to [0, \infty)$. We claim $h \in \mathcal{F}$. For any $A \in \Sigma$, write $A = (A \cap P_n) \sqcup (A \cap N_n)$. On $A \cap N_n$ the indicator $\mathbb{1}_{P_n}$ vanishes, so
\begin{align*}
\int_{A \cap N_n} h \, d\mu = \int_{A \cap N_n} f \, d\mu \le \nu(A \cap N_n),
\end{align*}
using $f \in \mathcal{F}$. On $A \cap P_n$, the inequality $\int_{A \cap P_n} h \, d\mu \le \nu(A \cap P_n)$ is the rearrangement of $\sigma_n(A \cap P_n) \ge 0$ from the Hahn decomposition (applicable because $A \cap P_n \subseteq P_n$). Adding,
\begin{align*}
\int_A h \, d\mu \le \nu(A),
\end{align*}
so $h \in \mathcal{F}$. But
\begin{align*}
\int_\Omega h \, d\mu = \int_\Omega f \, d\mu + n^{-1} \mu(P_n) = \alpha + n^{-1} \mu(P_n) > \alpha
\end{align*}
since $\mu(P_n) > 0$, contradicting the maximality $\alpha = \sup_{g \in \mathcal{F}} \int_\Omega g \, d\mu$.
This contradiction shows $\rho(\Omega) = 0$, hence $\rho \equiv 0$ (as $\rho$ is a positive measure with total mass zero), so $\nu(A) = \int_A f \, d\mu$ for all $A \in \Sigma$.
[/step]
[step:Verify the value-type assertions for signed and positive $\nu$]
Throughout the existence proof for finite positive $\nu$, we constructed $f \ge 0$ pointwise, so $f$ takes non-negative real values when $\nu$ is positive. For signed real $\nu$, the Jordan decomposition gives $\nu = \nu^+ - \nu^-$ with finite positive parts, and the densities $f^+ \ge 0$ representing $\nu^+$ and $f^- \ge 0$ representing $\nu^-$ are real, so $f = f^+ - f^-$ is real-valued.
This completes the proof of the Radon-Nikodym theorem.
[/step]
Explore Further
Runge's Approximation Theorem
Functional Analysis
Variational Characterization of the Metric Projection
Hilbert Spaces
WOT Compactness of the Unit Ball
Operator Theory
Full Dual of C(K)
Functional Analysis
Dual of $L^p$
Functional Analysis
Dual Characterisation via Weak Topologies
Functional Analysis
Weak Boundedness Equals Norm Boundedness
Functional Analysis
Functionals Commute with Vector-Valued Integrals
Functional Analysis