Remark
Tag 08XJ, permanent. Cite it as [Bourbaki, Tag 08XJ].
Integration, chapter IV, § 6. Convexity inequalities
— 1) Every bounded continuous function on with values in belongs to , and
In order that for every bounded continuous function , it is necessary and sufficient that the support of the measure be equal to . For, if there exists a continuous function with negligible compact support and not identically zero, then and . Conversely, if the support of is equal to then, for every bounded continuous function and every number , the set of such that is open and nonempty, hence has outer measure , which shows that .
When the support of is equal to , we may therefore identify the normed space , of bounded continuous functions on with values in , with a subspace of the space . Since is not in general Hausdorff, the subspace is not in general closed in , but its canonical image in is a closed subspace of (which can moreover be identified with in the case contemplated). In general, is distinct from , that is, for an arbitrary bounded measurable function , there does not in general exist a continuous function equal to locally almost everywhere (§ 5, Exer. 12). This implies that the space of mappings of into , continuous with compact support, is in general not dense in , whereas it is dense in each of the spaces for (§ 3, No. 4. Def. 2).
2) It is immediate that the topology defined by the semi-norm is finer than the topology induced on by the topology of convergence in measure (§ 5, No. 11).
Bourbaki puts the proof directly after the statement, so what is above is the statement and its proof together.
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