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In mathematics, the Hahn decomposition theorem, named after the Austrian mathematician Hans Hahn, states that given a measurable space (X,Σ) and a signed measure μ defined on the σ-algebra Σ, there exist two measurable sets P and N in Σ such that:

P ∪ N = X and P ∩ N = ∅.
For each E in Σ such that E ⊆ P one has μ(E) ≥ 0; that is, P is a positive set for μ.
For each E in Σ such that E ⊆ N one has μ(E) ≤ 0; that is, N is a negative set for μ.

Moreover, this decomposition is essentially unique, in the sense that for any other pair (P', N') of measurable sets fulfilling the above three conditions, the symmetric differences P Δ P' and N Δ N' are μ-null sets in the strong sense that every measurable subset of them has zero measure. The pair (P,N) is called a Hahn decomposition of the signed measure μ.

Jordan measure decomposition

A consequence of the Hahn decomposition theorem is the Jordan decomposition theorem, which states that every signed measure μ has a unique decomposition into a difference μ = μ+ − μ of two positive measures μ+ and μ, at least one of which is finite, such that μ+(E) = 0 if E ⊆ N and μ(E) = 0 if E ⊆ P for any Hahn decomposition (P,N) of μ. μ+ and μ are called the positive and negative part of μ, respectively. The pair (μ+, μ) is called a Jordan decomposition (or sometimes Hahn–Jordan decomposition) of μ. The two measures can be defined as

$$\mu^+(E):=\mu(E\cap P)\,$$

and

$$\mu^-(E):=-\mu(E\cap N)\, for every E in Σ and any Hahn decomposition (P,N) of μ. Note that the Jordan decomposition is unique, while the Hahn decomposition is only essentially unique. The Jordan decomposition has the following corollary: Given a Jordan decomposition (μ+, μ) of a finite signed measure μ, \( \mu^+(E) = \sup_{B\in\Sigma, B\subset E} \mu(B)$$

and

$$\mu^-(E) = -\inf_{B\in\Sigma, B\subset E} \mu(B)$$

for any E in Σ. Also, if μ = ν+ − ν for a pair of finite non-negative measures (ν+, ν), then

$$\nu^+ \geq \mu^+ \text{ and } \nu^- \geq \mu^- .$$

The last expression means that the Jordan decomposition is the minimal decomposition of μ into a difference of non-negative measures. This is the minimality property of the Jordan decomposition.

Proof of the Jordan decomposition: For an elementary proof of the existence, uniqueness, and minimality of the Jordan measure decomposition see Fischer (2012).

Proof of the Hahn decomposition theorem

Preparation: Assume that μ does not take the value −∞ (otherwise decompose according to −μ). As mentioned above, a negative set is a set A in Σ such that μ(B) ≤ 0 for every B in Σ which is a subset of A.

Claim: Suppose that a set D in Σ satisfies μ(D) ≤ 0. Then there is a negative set A ⊆ D such that μ(A) ≤ μ(D).

Proof of the claim: Define A0 = D. Inductively assume for a natural number n that An ⊆ D has been constructed. Let

$$t_n=\sup\{\mu(B): B\in\Sigma,\, B\subset A_n\}$$

denote the supremum of μ(B) for all the measurable subsets B of An. This supremum might a priori be infinite. Since the empty set ∅ is a possible B in the definition of tn and μ(∅) = 0, we have tn ≥ 0. By definition of tn there exists a Bn ⊆ An in Σ satisfying

$$\mu(B_n)\ge \min\{1,t_n/2\}.$$

Set An+1 = An \ Bn to finish the induction step. Define

$$A=D\setminus\bigcup_{n=0}^\infty B_n.$$

Since the sets (Bn)n≥0 are disjoint subsets of D, it follows from the sigma additivity of the signed measure μ that

$$\mu(A)=\mu(D)-\sum_{n=0}^\infty\mu(B_n)\le\mu(D)-\sum_{n=0}^\infty\min\{1,t_n/2\}.$$

This shows that μ(A) ≤ μ(D). Assume A were not a negative set. That means there exists a B in Σ which is a subset of A and satisfies μ(B) > 0. Then tn ≥ μ(B) for every n, hence the series on the right has to diverge to +∞, which means μ(A) = –∞, which is not allowed. Therefore, A must be a negative set.

Construction of the decomposition: Set N0 = ∅. Inductively, given Nn, define

$$s_n:=\inf\{\mu(D):D\in\Sigma,\, D\subset X\setminus N_n\}.$$

as the infimum of μ(D) for all the measurable subsets D of X \ Nn. This infimum might a priori be –∞. Since the empty set is a possible D and μ(∅) = 0, we have sn ≤ 0. Hence there exists a Dn in Σ with Dn ⊆ X \ Nn and

$$\mu(D_n)\le \max\{s_n/2, -1\}\le 0.$$

By the claim above, there is a negative set An ⊆ Dn such that μ(An) ≤ μ(Dn). Define Nn+1 = Nn ∪ An to finish the induction step.

Define

$$N=\bigcup_{n=0}^\infty A_n.$$

Since the sets (An)n≥0 are disjoint, we have for every B ⊆ N in Σ that

$$\mu(B)=\sum_{n=0}^\infty\mu(B\cap A_n)$$

by the sigma additivity of μ. In particular, this shows that N is a negative set. Define P = X \ N. If P were not a positive set, there exists a D ⊆ P in Σ with μ(D) < 0. Then sn ≤ μ(D) for all n and

$$\mu(N)=\sum_{n=0}^\infty\mu(A_n)\le\sum_{n=0}^\infty\max\{s_n/2, -1\}=-\infty,$$

which is not allowed for μ. Therefore, P is a positive set.

Proof of the uniqueness statement: Suppose that (N',P') is another Hahn decomposition of X. Then $$P\cap N'$$is a positive set and also a negative set. Therefore, every measurable subset of it has measure zero. The same applies to $$N\cap P'$$. Since

$$P\,\triangle\,P'=N\,\triangle\,N'=(P\cap N')\cup(N\cap P'),$$

this completes the proof. Q.E.D.

References

Billingsley, Patrick (1995). Probability and Measure -- Third Edition. Wiley Series in Probability and Mathematical Statistics. New York: John Wiley & Sons. ISBN 0-471-00710-2.
Fischer, Tom (2012). "Existence, uniqueness, and minimality of the Jordan measure decomposition". arXiv:1206.5449 [math.ST].