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Let $(\Omega,\mathcal F)$ be a measurable space. Define a probability measure by $\mathbb P=\sum_{k=1}^\infty\alpha_k\delta_{\omega_k},$ where $(\omega_k)_{k\in\mathbb N}\subseteq \Omega,$ $\delta_\omega$ denotes the point measure at $\omega,$ and $(\alpha_k)_{k\in\mathbb N}\subset (0,1)$ with $\sum_{k=1}^\infty\alpha_k=1.$ Let $\mathbb P'$ be a measure, which is equivalent to $\mathbb P.$ Is then $\mathbb P'$ of the form $$\mathbb P'=\sum_{k=1}^\infty\beta_k\delta_{\omega'_k}$$ for some sequence $(\omega'_k)_{k\in\mathbb N}\subseteq\Omega$?

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  • $\begingroup$ After Davide Giraudo's answer, I realized that I only want to show that $\mathbb P'=\sum_{k=1}^\infty\beta_k\delta_{\omega'_k}$ for some sequence $(\omega'_k)_{k\in\mathbb N}\subseteq\Omega,$ i.e. that $\mathbb P'$ also must be a discrete measure. $\endgroup$
    – Andy Teich
    Commented Oct 30, 2014 at 14:06

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The complement of $S:=\{\omega_k, k\in\mathbb N\}$ has a null $\mathbb P$-measure, hence it is also the case for the $\mathbb P'$. Therefore, $\mathbb P'$ is supported by $S$. This works if $S$ belongs to $\mathcal F$.

Since $\mathbb P$ and $\mathbb P'$ are equivalent, there exists a positive function $f$ such that $\mathbb P'=f\mathbb P$, hence $\mathbb P'=\sum\limits_{k\in\mathbb N}f(\omega_k)\delta_{\omega_k}$.

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  • $\begingroup$ Since points are not necessarily measurable, the set $S$ does not have to be measurable too, right? So how can we say that $S$ has $\mathbb P$-measures null... $\endgroup$
    – Andy Teich
    Commented Oct 30, 2014 at 13:25
  • $\begingroup$ In general not, but if each $\{\omega_k\}$ is measurable it will be OK. $\endgroup$ Commented Oct 30, 2014 at 13:26
  • $\begingroup$ Since I am working on a general measurable space, I am not sure if your conclusion is still true...I would like to know if one can conclude this generally $\endgroup$
    – Andy Teich
    Commented Oct 30, 2014 at 13:27
  • $\begingroup$ You are right. See edit. $\endgroup$ Commented Oct 30, 2014 at 13:37
  • $\begingroup$ Very nice! Actually, what I only need is to show that $\mathbb P'$ is a discrete measure too...would you mind if I change the question to that? And do you think that the statement is then true? $\endgroup$
    – Andy Teich
    Commented Oct 30, 2014 at 13:39

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