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Eduardo
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Convergence of Radon Nikodym derivatives

I apologise in advance if my question is to basic.

Some notations

  1. $(X,\cal{X})$ denote a mensurable metric space where $X$ is a metrics space and $\cal{X}$ is the Borel sigma algebra associated.

  2. $B(X)$ is the space of all bounded continuous functions defined in $X$.

Let $\{\mu_n\}$ and $\{\nu_n\}$ sequence of probability measures in the above
mensurable space $(X, \mathcal{X})$. Assume that each $\mu_n$ is absolutely continuous with respect to $\nu_n$, with an density $h_n\in B(X)$. Suppose that $\mu_n\to \mu$, $\nu_n\to \nu$ in the weak star topology and $h_n$ converges to a bounded continuous function $h$.

Question: I would like to know if $\mu<<\nu$, in case of positive answer, is $h$ the density. In case of negative answer, there is some condition in order to have $\mu<<\nu$?

Other information that can be usefull is that each $\nu_n$ and $m_n$ has support in a compact subset $K_n\subset X$ which one increases to $X$, i.e, $X=\bigcup K_n$.

Eduardo
  • 757
  • 4
  • 17