In mathematics, measure theory in topological vector spaces refers to the extension of measure theory to topological vector spaces. Such spaces are often infinite-dimensional, but many results of classical measure theory are formulated for finite-dimensional spaces and cannot be directly transferred. This is already evident in the case of the Lebesgue measure, which does not exist in general infinite-dimensional spaces. In fact, there is no nontrivial left-invariant Radon measure on any Hausdorff, non-locally compact topological group and infinite-dimensional vector spaces are not locally compact. The article considers only topological vector spaces, which also possess the Hausdorff property. Vector spaces without topology are mathematically not that interesting because concepts such as convergence and continuity are not defined there.
σ-Algebras Let ( X , T ) {\displaystyle (X,{\mathcal {T}})} be a topological vector space, X ∗ {\displaystyle X^{*}} the algebraic dual space and X ′ {\displaystyle X'} the topological dual space. In topological vector spaces there exist three prominent σ-algebras:
the Borel σ-algebra B ( X ) {\displaystyle {\mathcal {B}}(X)} : is generated by the open sets of T {\displaystyle {\mathcal {T}}} . the cylindrical σ-algebra E ( X , X ′ ) {\displaystyle {\mathcal {E}}(X,X')} : is generated by the dual space X ′ {\displaystyle X'} . the Baire σ-algebra B 0 ( X ) {\displaystyle {\mathcal {B}}_{0}(X)} : is generated by all continuous functions C ( X , R ) {\displaystyle C(X,\mathbb {R} )} . The Baire σ-algebra is also notated B a ( X ) {\displaystyle {\mathcal {Ba}}(X)} . The following relationship holds:
E ( X , X ′ ) ⊆ B 0 ( X ) ⊆ B ( X ) {\displaystyle {\mathcal {E}}(X,X')\subseteq {\mathcal {B}}_{0}(X)\subseteq {\mathcal {B}}(X)}
where E ( X , X ′ ) ⊆ B 0 ( X ) {\displaystyle {\mathcal {E}}(X,X')\subseteq {\mathcal {B}}_{0}(X)} is obvious.
Cylindrical σ-algebra
Let X {\displaystyle X} and Y {\displaystyle Y} be two vector spaces in duality. A set of the form
C f 1 , … , f n , B := { x ∈ X : ( ⟨ x , f 1 ⟩ , … , ⟨ x , f n ⟩ ) ∈ B } {\displaystyle C_{f_{1},\dots ,f_{n},B}:=\{x\in X\colon (\langle x,f_{1}\rangle ,\dots ,\langle x,f_{n}\rangle )\in B\}}
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