Measure in metric space 1 : The structure of continuous function

Recently, I start to study the topic of random geometry, which deals the convergence of some interesting geometric objects in the space of probability. That is to say the value of the random variable is sometimes the geometric object and there is some space very interesting but also strange in the first glance like Gromov-Haussdorff space. But how to define the convergence in this sense? After all, we have to restart from the base.

Generally, we define the measure in metric space as the duality of the continuous and bounded function. To reach this point, at first we have to learn something about the structure of continuous function in metric space, or more generally the Haussdorff locally compact space.

Two theorem are the bases: the theorem of Urysohn and the theorem of Tietze. The theorem of Urysohn tells us that in the normal space X and two closed set E,F , we can define a continuous function who takes 1 in E and 0 in F. This generalizes the linear function or hat function in dimension 1. Then the Tietze theorem tells us, given a continuous function defined in the closed set E of X, we can extend it in the whole space X as a continuous function, which is so naive in R.

A power application of this two theorem is that, in fact, we can define the plateau function in metric space. I believe that if one has learned some modern analysis must know the importance of the plateau function in the analysis. The convolution and the technique like localisation all come from here. To prove it, we have to observe that: T2 + compact = T4. In locally compact Haussdorff space, we can always add one open set O between the compact set K and an open set U who contains the compact, moreover, the closure of O is also contained in U. Then, the Urysohn gives the plateau function support in the closure of O.

A tricky lemma about the possibility to divide the compact K in two compact K1, K2 which belongs to U1 and U2 respectively and the union of U1 and U2 covers K. The proof is a little tricky, but it leads the decomposition of unity in locally compact Haussdorff space and then a continuous support compact function can be decomposed in the finite sum of the function of same type. Moreover, in disjoint compact set, we can define a continuous function to joint the simple function, so continuous support compact function is dense in many norms.

That is the first step to understand a profound measure, it is long but I believe that it deserve the hard work to conquer it.