Lebesgue measure

One result on the differentiation of integrals is the Lebesgue differentiation theorem, as proved by Henri Lebesgue in 1910. Consider n-dimensional Lebesgue measure λⁿ on n-dimensional Euclidean space Rⁿ. Then, for any locally integrable function f : Rⁿ → R, one has

$${\displaystyle \lim _{r\to 0}{\frac {1}{\lambda ^{n}{\big (}B_{r}(x){\big )}}}\int _{B_{r}(x)}f(y)\,\mathrm {d} \lambda ^{n}(y)=f(x)}$$

for λⁿ-almost all points x ∈ Rⁿ. It is important to note, however, that the measure zero set of "bad" points depends on the function f.

Borel measures on Rⁿ

The result for Lebesgue measure turns out to be a special case of the following result, which is based on the Besicovitch covering theorem: if μ is any locally finite Borel measure on Rⁿ and f : Rⁿ → R is locally integrable with respect to μ, then

$${\displaystyle \lim _{r\to 0}{\frac {1}{\mu {\big (}B_{r}(x){\big )}}}\int _{B_{r}(x)}f(y)\,\mathrm {d} \mu (y)=f(x)}$$

for μ-almost all points x ∈ Rⁿ.

Gaussian measures

The problem of the differentiation of integrals is much harder in an infinite-dimensional setting. Consider a separable Hilbert space (H, ⟨ , ⟩) equipped with a Gaussian measure γ. As stated in the article on the Vitali covering theorem, the Vitali covering theorem fails for Gaussian measures on infinite-dimensional Hilbert spaces. Two results of David Preiss (1981 and 1983) show the kind of difficulties that one can expect to encounter in this setting:

• There is a Gaussian measure γ on a separable Hilbert space H and a Borel set M ⊆ H so that, for γ-almost all x ∈ H,
  $${\displaystyle \lim _{r\to 0}{\frac {\gamma {\big (}M\cap B_{r}(x){\big )}}{\gamma {\big (}B_{r}(x){\big )}}}=1.}$$

  
• There is a Gaussian measure γ on a separable Hilbert space H and a function f ∈ L¹(H, γ; R) such that
  $${\displaystyle \lim _{r\to 0}\inf \left\{\left.{\frac {1}{\gamma {\big (}B_{s}(x){\big )}}}\int _{B_{s}(x)}f(y)\,\mathrm {d} \gamma (y)\right|x\in H,0<s<r\right\}=+\infty .}$$

  

However, there is some hope if one has good control over the covariance of γ. Let the covariance operator of γ be S : H → H given by

$${\displaystyle \langle Sx,y\rangle =\int _{H}\langle x,z\rangle \langle y,z\rangle \,\mathrm {d} \gamma (z),}$$

or, for some countable orthonormal basis (e_i)_i∈N of H,

$${\displaystyle Sx=\sum _{i\in \mathbf {N} }\sigma _{i}^{2}\langle x,e_{i}\rangle e_{i}.}$$

In 1981, Preiss and Jaroslav Tišer showed that if there exists a constant 0 < q < 1 such that

$${\displaystyle \sigma _{i+1}^{2}\leq q\sigma _{i}^{2},}$$

then, for all f ∈ L¹(H, γ; R),

$${\displaystyle {\frac {1}{\mu {\big (}B_{r}(x){\big )}}}\int _{B_{r}(x)}f(y)\,\mathrm {d} \mu (y){\xrightarrow[{r\to 0}]{\gamma }}f(x),}$$

where the convergence is convergence in measure with respect to γ. In 1988, Tišer showed that if

$${\displaystyle \sigma _{i+1}^{2}\leq {\frac {\sigma _{i}^{2}}{i^{\alpha }}}}$$

for some α > 5 ⁄ 2, then

$${\displaystyle {\frac {1}{\mu {\big (}B_{r}(x){\big )}}}\int _{B_{r}(x)}f(y)\,\mathrm {d} \mu (y){\xrightarrow[{r\to 0}]{}}f(x),}$$

for γ-almost all x and all f ∈ L^p(H, γ; R), p > 1.

As of 2007, it is still an open question whether there exists an infinite-dimensional Gaussian measure γ on a separable Hilbert space H so that, for all f ∈ L¹(H, γ; R),

$${\displaystyle \lim _{r\to 0}{\frac {1}{\gamma {\big (}B_{r}(x){\big )}}}\int _{B_{r}(x)}f(y)\,\mathrm {d} \gamma (y)=f(x)}$$

for γ-almost all x ∈ H. However, it is conjectured that no such measure exists, since the σ_i would have to decay very rapidly.