[Math] Under what assumptions does setwise convergence of signed measures imply convergence in total variation

measure-theoryreal-analysisreference-request

Suppose the sequence $\{\mu_n : n \in \mathbb{N} \}$ of signed measures on $(X, \mathcal{F})$ converges setwise to the signed measure $\mu$, by which we mean that $\lim_{n \to \infty}\mu_n(A) = \mu(A)$ for every $A \in \mathcal{F}$.

Under what further assumptions does $\{\mu_n : n \in \mathbb{N} \}$ converge in total variation to $\mu$?

Recall that the total variation norm $\| \cdot \|$ is defined by $\|\mu \| = \sup \sum_i |\mu(E_i)|$, where the supremum is over countable partitions of $X$, and $\{\mu_n : n \in \mathbb{N} \}$ converges in total variation to $\mu$ if $\|\mu_n – \mu \| \to 0$ as $n \to \infty$.

I had thought this would be a standard topic, but after googling and looking through some textbooks I still haven't been able to find any results.

Best Answer

I'm going to try to mimick the proof of Corollary 4.2 in the paper linked by @Clement C. Comments and generalizations are appreciated.

We first suppose that $\{\mu_n \}$ is a sequence of probability measures on $(X, \mathcal{F})$ that converges setwise to the probability measure $\mu$. Moreover, suppose $\mu_n(A) = \int f_n d \lambda$ and $\mu(A) = \int_A f d \lambda$, where $\lambda$ is a $\sigma$-finite measure on $(X, \mathcal{F})$ and $f_n \to f$ a.e. ($\lambda$).

Now, setwise convergence implies $\int f_n d\lambda \to \int f d\lambda$. By Scheffe's Lemma, $\int |f_n - f|d\lambda \to 0$. And this in turn implies $\|\mu_n - \mu \| \to 0$.

In order to upgrade setwise convergence to convergence in total variation, we have assumed that $\mu, \mu_1, \mu_2,...$ are probabilities (although this should work for any finite, non-negative measures) that are absolutely continuous with respect to $\lambda$, and that the densities $f_n = d\mu_n/d\lambda$ converge almost everywhere to $f = d\mu/d\lambda$.

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