I am struggling for quite some time, because of a problem involving Radon-Nikodým derivatives. I will try to describe the main features and perhaps somebody has an idea how to solve it.

I consider two sequences of measures on some compact set of $\mathbb{R}^2$: $\Xi_n$ and $\Lambda_n$ which are absolutely continuous in the sense $\Xi_n \ll \Lambda_n \ll \mathrm{Leb}$. I know that $\Lambda_n$ converges to some measure $\Lambda$ which is *not* absolutely continuous wrt. to Lebesgue measure anymore. (I suspect that it has a non-zero absolutely continuous part, but I am not quite sure how to prove this.) Furthermore, $\Xi_n$ also converges to some measure $\Xi$ satisfying $\Xi \ll \Lambda$.

The weird thing is that I need to integrate $\dfrac{d\Xi}{d\Lambda}$ against Lebsegue measure. In the prelimit case, there is no problem, because $\Xi_n$ and $\Lambda_n$ both have densities $\xi_n > 0$ and $\lambda_n > 0$ with respect to $\mathrm{Leb}$, so that simply $$ \dfrac{d\Xi_n}{d\Lambda_n} = \dfrac{\xi_n}{\lambda_n} \quad \mathrm{Leb}-\text{a.e.}\quad\text{(because $\lambda_n > 0$)} $$ Finally, $0\leq \dfrac{\xi_n}{\lambda_n}\leq 1$ so that the measure given by $d\kappa_n(x) := \dfrac{\xi_n(x)}{\lambda_n(x)}\cdot d\mathrm{Leb}(x)$ so that $(\kappa_n)$ is tight. For the moment, suppose that there is only one limiting point, i.e. $\kappa_n \to \kappa$, where $\kappa$ is some finite measure. I am wondering if one could conclude that $$ d\kappa(x) = \dfrac{d\Xi}{d\Lambda}(x)\cdot d\mathrm{Leb}. $$ In particular that would imply that $\Xi$ and $\Lambda$ have a non trivial absolutely continuous part. (Note that we may assume that $\mathrm{Leb}\ll\Lambda$ so that the Radon-Nikodým derivative is defined $\mathrm{Leb}$-a.e.)

I am not deep into measure theory, so I am really struggling with this problem. Especially because I find it strange to integrate the Radon-Nikodým derivative of $\Xi$ wrt. to $\Lambda$ against Lebesgue measure. I would be glad for any ideas or references that might go into this direction.

To give a larger context: I am working with a sequence $\Lambda_n(t)$ of measure-valued stochastic process that converges to a white noise process $\Lambda(t)$. And now I am looking at a related process $\Xi_n(t)$ and want to understand its limiting behaviour. So I would also be very glad about any ideas or references wrt. absolutely continuous parts of random fields and random measures wrt. to Lebesgue measure.

Edit: The convergence takes place at least in the distributional sense. I think I can also get it for Lipschitz continuous functions so that it is weak convergence.

Edit2: Initially, the integral $$ \int \dfrac{\xi_n}{\lambda_n}(x) \phi_n(x) dx $$ for some sequence of continuous (or smooth if you like) functions converging pointwise to some continuous (or smooth) limit phi appears in the problem. Since I could not figure out what will happen, I translated it towards the Radon-Nikodym derivative, hoping that since I require only weak convergence, the measure theoretic setting would be more helpful.

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