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Radon-Nikodym Derivative

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Definition
MeasureTheory

Recall the Radon-Nikodym Theorem. The function ff that satisfies ν(A)=Afdμ\nu(A)=\int\limits _{A}f \, d\mu is uniquely defined up to a μ-null set, that is, if gg is another function which satisfies the same property, then f=gf=g μ\mu-a.e.. The function ff is commonly written dνdμ\frac{d\nu}{d\mu} and is called the Radon-Nikodym derivative.

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