Weakly measurable function
# Weakly measurable function

In mathematics—specifically, in functional analysis—a weakly measurable function taking values in a Banach space is a function whose composition with any element of the dual space is a measurable function in the usual (strong) sense. For separable spaces, the notions of weak and strong measurability agree.

## Definition

If $(X,\Sigma )$ is a measurable space and $B$ is a Banach space over a field $\mathbb {K}$ (which is the real numbers $\mathbb {R}$ or complex numbers $\mathbb {C}$), then $f:X\to B$ is said to be weakly measurable if, for every continuous linear functional $g:B\to \mathbb {K} ,$ the function

$g\circ f\colon X\to \mathbb {K} \quad {\text{ defined by }}\quad x\mapsto g(f(x))$

is a measurable function with respect to $\Sigma$ and the usual Borel $\sigma$-algebra on $\mathbb {K} .$

A measurable function on a probability space is usually referred to as a random variable (or random vector if it takes values in a vector space such as the Banach space $B$). Thus, as a special case of the above definition, if $(\Omega ,{\mathcal {P}})$ is a probability space, then a function $Z:\Omega \to B$ is called a ($B$-valued) weak random variable (or weak random vector) if, for every continuous linear functional $g:B\to \mathbb {K} ,$ the function

$g\circ Z\colon \Omega \to \mathbb {K} \quad {\text{ defined by }}\quad \omega \mapsto g(Z(\omega ))$

is a $\mathbb {K}$-valued random variable (i.e. measurable function) in the usual sense, with respect to $\Sigma$ and the usual Borel $\sigma$-algebra on $\mathbb {K} .$

## Properties

The relationship between measurability and weak measurability is given by the following result, known as Pettis' theorem or Pettis measurability theorem.

A function $f$ is said to be almost surely separably valued (or essentially separably valued) if there exists a subset $N\subseteq X$ with $\mu (N)=0$ such that $f(X\setminus N)\subseteq B$ is separable.

Theorem (Pettis, 1938) — A function $f:X\to B$ defined on a measure space $(X,\Sigma ,\mu )$ and taking values in a Banach space $B$ is (strongly) measurable (that equals a.e. the limit of a sequence of measurable countably-valued functions) if and only if it is both weakly measurable and almost surely separably valued.

In the case that $B$ is separable, since any subset of a separable Banach space is itself separable, one can take $N$ above to be empty, and it follows that the notions of weak and strong measurability agree when $B$ is separable.

