Weak topology of probability measures ($\mu \mapsto \int hd\mu (h\in C_b(X))$)

This is the coarsest topology making all displayed bounded-continuous test integrals continuous. On a separable metric space it is metrized by the bounded-Lipschitz metric. This probability-measure topology should be distinguished from the weak topology of a Banach space.

The bounded-Lipschitz metric tests probability measures against a uniformly bounded Lipschitz class. It metrizes weak convergence of probability measures on separable metric spaces. With a complete compatible base metric, it is complete on the probability measures of a Polish space. Replacing the sum norm by the maximum norm changes the metric only by uniform constant factors.