Functional Analysis – Is the Set of All Probability Measures Weak*-Closed?

functional-analysisprobability theory

Let $(\Omega,\Sigma)$ be a measurable space. Denote by $ba(\Sigma)$ the set of all bounded and finitely additive measures on $(\Omega,\Sigma)$ (see http://en.wikipedia.org/wiki/Ba_space for a definition). Is the set of all probability measures $\mathcal{M}_1(\Sigma)\subseteq ba(\Sigma)$ weak*-closed? The weak*-topology on $ba(\Sigma)$ is the weakest topology such that the maps $l_Z:ba(\Sigma)\rightarrow \mathbb{R}$, mapping $\mu\mapsto \int_\Omega Z d\mu$, are continuous for all bounded and measurable maps $Z:\Omega\rightarrow \mathbb{R}$.

Best Answer

No. Take $\Omega=\mathbb N$ and $\Sigma$ the power set. As wikipedia says, then $ba(\Sigma)=ba=(\ell^\infty)^*$. However, the collection of probability measures is just the collection of $(x_n)\in\ell^1$ (as a measures are countably additive) with $x_n\geq 0$ for all $n$, and $\sum_n x_n=1$. This is not weak$^*$-closed in $(\ell^\infty)^*$. For example, any limit point of the set $\{\delta_n:n\in\mathbb N\}$, where $\delta_n\in\ell^1$ is the point mass at $n$, is a member of $ba \setminus \ell^1$.

Related Question