Let $\mathcal{M}^{+}(\mathbb{R}_{+})$ be space of nonnegative Radon measures on $\mathbb{R}_{+}$ with bounded total variation and define the metric $\rho$ on $\mathcal{M}^{+} (\mathbb{R}_{+})$ as $$ \rho(\mu,\nu)= \sup \left \{ \int_{\mathbb{R}_{+}} \psi d (\mu  \nu) ~~ \psi \in C^{1}(\mathbb{R}_{+}), \\psi \_{\infty} \le 1 , \\partial_{x} \psi \_{\infty} \le 1 \right \} .$$ How to prove $\mathcal{M}^{+}(\mathbb{R}_{+})$ is complete w.r.t. $\rho$. I know that $$ \lim_{n \to \infty} \rho(\mu_{n},\mu) = 0 \iff \mu_{n} \to \mu~ \text{narrowly for}~ n \to \infty.$$ But how above equivalence can help us to prove the completeness ?

$\begingroup$ I think your "metric" is ill defined. Since each $\mu \in M$ may be unbounded, in the integral you may have the difference $\infty\infty$. You need some condition which implies that this does not happen. $\endgroup$ – Dieter Kadelka Feb 15 at 9:24

$\begingroup$ @DieterKadelka You are right, I edited my question. $\endgroup$ – Manoj Kumar Feb 15 at 9:37
Assuming that the above equivalence is valid, all you have to show that $\lim_{m,n \to \infty} \rho(\mu_m,\mu_n) = 0$ implies uniform tightness of the sequence $(\mu_n)$. So let $\epsilon > 0$ be arbitrary. Then there is $n_0 \in \mathbb{N}$ with $\rho(\mu_m,\mu_n) \leq \epsilon$ for $m,n \geq n_0$, in particular $\mu_n(\mathbb{R}_+)  \mu_m(\mathbb{R}_+) < \epsilon$. Since $\mu_{n_0}$ is tight, there is $t_0 \in \mathbb{R}_+$ with $\mu_{n_0}((t_0,\infty)) \leq \epsilon$. Now let $\psi \geq 0$ be any function with the properties above and with $\psi{[0,t_0]} \equiv 0$, $\psi{[t_0+2,\infty]} \equiv 1$ and $\psi$ increasing. Such function exists. Then $$\mu_n((t_0+2,\infty)) \leq \int \psi~d\mu_n \leq \int \psi~d\mu_{n_0} + \epsilon \leq 2\epsilon.$$ It follows that $(\mu_n)$ is uniformly tight, hence there are limit points $\mu$ with respect to the narrow topology. But then $\mu_{n_k} \to \mu$ weakly for some subsequence $(\mu_{n_k})$, hence $\rho(\mu_{n_k},\mu) \to 0$ by the above equivalence. Since $(\mu_n)$ is Cauchy neceesarily $\mu$ is unique and $\lim_{n \to \infty} \rho(\mu,\mu_n) = 0$.

$\begingroup$ It is well known that $\mathcal{M}^+$ is Polish. Proving that a concrete metric is complete almost always is done as in my answer. $\endgroup$ – Dieter Kadelka Feb 15 at 10:50

$\begingroup$ Thanks for the answer, I just want to know what do you mean by $\psi$ with the properties above in your answer? Also, will the existence of $\psi$ be shown through the standard argument of mollifiers? $\endgroup$ – Manoj Kumar Feb 15 at 13:52

$\begingroup$ The properties of $\psi$ in your definition of $\rho$, such a $\psi \in C^1$ etc. $\endgroup$ – Dieter Kadelka Feb 15 at 14:29

$\begingroup$ Concerning mollifier: You can do it by mollifier and also directly. Note that the interval $[t_0,t_0+2]$ has length $2$. $\endgroup$ – Dieter Kadelka Feb 15 at 14:57