Here's a concrete example of an atomless measure. Let $f \in L^1$ be an integrable function with total mass 1 (i.e. $\int_0^1 f = 1$). Define $$\mathbb P(A) = \int_A f(x) ~dx$$ for any Borel set $A$. It is a nice exercise to show that $\mathbb P$ is an atomless measure.

Note: $f$ is called the Radon-Nikodym derivative of $\mathbb P$ with respect to Lebesgue measure, and often written $f = \tfrac{d\mathbb P}{dx}$. If a random variable $X$ has distribution $\mathbb P$, then $f$ is also called the its density functionof the measure $\mathbb P$.

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Here's a concrete example of an atomless measure. Let $f \in L^1$ be an integrable function with total mass 1 (i.e. $\int_0^1 f = 1$). Define $$\mathbb P(A) = \int_A f(x) ~dx$$ for any Borel set $A$. Exercise: Prove It is a nice exercise to show that $\mathbb P$ is an atomless measure.

Note: $f$ is called the Radon-Nikodym derivative of $\mathbb P$ with respect to Lebesgue measure, and often written $f = \tfrac{d\mathbb P}{dx}$. $f$ is also called the density function of the measure $\mathbb P$.

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Here's a concrete example of an atomless measure. Let $f \in L^1$ be an integrable function with total mass 1 (i.e. $\int_0^1 f = 1$). Define $$\mathbb P(A) = \int_A f(x) ~dx$$ for any Borel set $A$. Exercise: Prove that $\mathbb P$ is an atomless measure.

Note: $f$ is called the Radon-Nikodym derivative of $\mathbb P$ with respect to Lebesgue measure, and often written $f = \tfrac{d\mathbb P}{dx}$. $f$ is also called the density function of the measure $\mathbb P$.