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The Conditional Fatou lemma gives $X_n\ge \mathbb{E}[X_{\infty }\mid {\mathcal{F}}_n]$ for the dyadic density martingale. Integration first on dyadic sets, then extension by the Monotone class theorem, makes $\nu =\mu -X_{\infty }\lambda$ a nonnegative measure. Its finite-level density is $Y_n=X_n-\mathbb{E}[X_{\infty }\mid {\mathcal{F}}_n]$, which tends to zero almost everywhere for Lebesgue measure. The density level sets separate a singular measure argument shows that this zero-limit set has $\nu$-measure zero. Thus $\nu$ and $\lambda$ are mutually singular measures, obtaining the decomposition without assuming it to identify the martingale limit.

Use the filtered probability space $([0,1),\mathcal{B}([0,1)),({\mathcal{F}}_n),\lambda )$, with its half-open dyadic intervals. Complete the initial definition by putting $X_0=\mu ([0,1))$. This is the same cell-average formula at level zero, where the only cell is $[0,1)$.

The function $X_n$ is ${\mathcal{F}}_n$-measurable and nonnegative. Its expectation isEvery parent cell is the disjoint union of its two half-open child cells. On $D_k^n$, the conditional expectation of $X_{n+1}$ is its cell average:Thus $\mathbb{E}[X_{n+1}\mid {\mathcal{F}}_n]=X_n$, including at $n=0$. This proves that $X$ is a nonnegative martingale, specifically the dyadic density martingale. The half-open endpoints are essential to the disjoint partition for an arbitrary measure, which may have atoms.