Infinite-dimensional Lebesgue measure


In mathematics, it is a theorem that there is no analogue of Lebesgue measure on an infinite-dimensional Banach space. Other kinds of measures are therefore used on infinite-dimensional spaces: often, the abstract Wiener space construction is used. Alternatively, one may consider Lebesgue measure on finite-dimensional subspaces of the larger space and consider so-called prevalent and shy sets.
Compact sets in Banach spaces may also carry natural measures: the Hilbert cube, for instance, carries the product Lebesgue measure. In a similar spirit, the compact topological group given by the Tychonoff product of infinitely many copies of the circle group is infinite-dimensional, and carries a Haar measure that is translation-invariant.

Motivation

It can be shown that Lebesgue measure λn on Euclidean space Rn is locally finite, strictly positive and translation-invariant, explicitly:
Geometrically speaking, these three properties make Lebesgue measure very nice to work with. When we consider an infinite-dimensional space such as an Lp space or the space of continuous paths in Euclidean space, it would be nice to have a similarly nice measure to work with. Unfortunately, this is not possible.

Statement of the theorem

Let be an infinite-dimensional, separable Banach space. Then the only locally finite and translation-invariant Borel measure μ on X is the trivial measure, with μ = 0 for every measurable set A. Equivalently, every translation-invariant measure that is not identically zero assigns infinite measure to all open subsets of X.

Proof of the theorem

Let X be an infinite-dimensional, separable Banach space equipped with a locally finite, translation-invariant measure μ. Using local finiteness, suppose that, for some δ > 0, the open ball B of radius δ has finite μ-measure. Since X is infinite-dimensional, there is an infinite sequence of pairwise disjoint open balls Bn, n ∈ N, of radius δ/4, with all the smaller balls Bn contained within the larger ball B. By translation-invariance, all of the smaller balls have the same measure; since the sum of these measures is finite, the smaller balls must all have μ-measure zero. Now, since X is separable, it can be covered by a countable collection of balls of radius δ/4; since each such ball has μ-measure zero, so must the whole space X, and so μ is the trivial measure.