Measure Theory
V. Liskevich
1998
1 Introduction
We always denote by X our universe , i.e. all the sets we shall consider are subsets of X .
Recall some standard notation. 2 ^{X} everywhere denotes the set of all subsets of a given
set X . If A ∩ B = ∅ then we often write A B rather than A ∪ B , to underline the disjointness. The complement (in X ) of a set A is denoted by A ^{c} . By A B the symmetric
i, j, k always
denote positive integers. The sign is used for restriction of a function (operator etc.) to
a subset (subspace).
diﬀerence of A and B is denoted, i.e. A B = ( A \ B ) ∪ ( B \ A). Letters
1.1 The Riemann integral
Recall how to construct the Riemannian integral. Let f : [ a, b ] → R . Consider a partition
π of [ a, b ]:
a = x _{0} < x _{1} < x _{2} <
< x _{n} _{−}_{1} < x _{n} = b
and set ∆ x _{k} = x _{k} _{+}_{1} − x _{k} ,  π  = max {∆x _{k} : k = 0 , 1 ,
[x _{k} , x _{k} _{+}_{1} ]}, M _{k} = sup {f ( x ) : x ∈ [x _{k} , x _{k} _{+}_{1} ]} . Deﬁne the upper and lower Riemann— Darboux sums
, n − 1 }, m _{k} = inf { f ( x ) : x ∈
s ( f, π ) =
n
−1
k
=0
m _{k} ∆x _{k} , s¯( f, π ) =
n− 1
k
=0
M
_{k} ∆x _{k} .
One can show (the Darboux theorem) that the following limits exist
lim _{0} s ( f, π ) =
π →
sup s ( f, π ) = b f dx
π
a
lim _{0} s¯( f, π ) = inf s¯( f, π ) = b f dx.
 π →
π
a
1
Clearly,
s ( f, π ) ≤ b f dx ≤ b f dx ≤ s¯( f, π )
a
a
for any partition π .
The function f is said to be Riemann integrable on [ a, b ] if the upper and lower integrals are equal. The common value is called Riemann integral of f on [ a, b ].
The functions cannot have a large set of points of discontinuity. More presicely this will be stated further.
1.2 The Lebesgue integral
It allows to integrate functions from a much more general class. First, consider a very useful example. For f, g ∈ C [a, b ], two continuous functions on the segment [ a, b ] = { x ∈ R : a x b} put
ρ _{1} ( f, g ) = max _{b}  f ( x )
a
x
− g ( x )  ,
ρ _{2} ( f, g ) = b  f ( x ) − g ( x )  dx.
a
Then ( C [a, b ], ρ _{1} ) is a complete metric space, when ( C [a, b ], ρ _{2} ) is not. To prove the latter statement, consider a family of functions { ϕ _{n} } _{=}_{1} as drawn on Fig.1. This is a Cauchy sequence with respect to ρ _{2} . However, the limit does not belong to C [a, b ].
∞
n
2
✻ 

☞ ☞ ☞ ☞ ☞ ☞ ☞ ☞☞ 
▲ ▲ ▲ ▲ ▲ ▲ ▲ ^{▲} ▲▲ 

☞ 

✲ 

− ^{1} 
1 
1 
1 

− 

2 
2 ^{+} 
n 
1 2 _{−} 1 n 
2 
Figure 1: The function ϕ _{n} .
2 Systems of Sets
Deﬁnition 2.1 A ring of sets is a nonempty subset in 2 ^{X} which is closed with respect to the operations ∪ and \.
Proposition. Let K be a ring of sets. Then ∅ ∈ K .
Proof. Since K =
∅ , there exists A ∈ K . Since K contains the diﬀerence of every two
its elements, one has A \ A = ∅ ∈ K .
Examples.
1. The two extreme cases are K = {∅} and K = 2 ^{X} .
2. Let X = R and denote by K all ﬁnite unions of semisegments [ a, b ).
Deﬁnition 2.2 A semiring is a collection of sets P ⊂ 2 ^{X} with the following properties:
1. If A, B ∈ P then A ∩ B ∈ P ;
3
2. For every A, B ∈ P there exists a ﬁnite disjoint collection ( C _{j} ) j = 1 , 2 , sets (i.e. C _{i} ∩ C _{j} = ∅ if i = j ) such that
A \ B =
n
j =1
C _{j} .
, n of
Example. Let X = R , then the set of all semisegments, [ a, b ), forms a semiring.
Deﬁnition 2.3 An algebra (of sets) is a ring of sets containing X ∈ 2 ^{X} .
Examples.
1. {∅ , X } and 2 ^{X} are the two extreme cases (note that they are diﬀerent from the corresponding cases for rings of sets).
2. Let X = [ a, b ) be a ﬁxed interval on R . Then the system of ﬁnite unions of subin tervals [ α, β ) ⊂ [a, b ) forms an algebra.
3. The system of all bounded subsets of the real axis is a ring ( not an algebra ).
Remark. A is algebra if (i) A, B ∈ A =⇒ A ∪ B ∈ A , (ii) A ∈ A =⇒ A ^{c} ∈ A .
Indeed, 1) A ∩ B = ( A ^{c} ∪ B ^{c} ) ^{c} ; 2) A \ B = A ∩ B ^{c} .
Deﬁnition 2.4 A σ ring (a σ algebra) is a ring (an algebra) of sets which is closed with respect to all countable unions.
Deﬁnition 2.5 A ring (an algebra, a σ algebra) of sets , K ( U ) generated by a collection of sets U ⊂ 2 ^{X} is the minimal ring (algebra, σ algebra) of sets containing U .
In other words, it is the intersection of all rings (algebras, σ algebras) of sets containing
U .
4
3 Measures
Let X be a set, A an algebra on X .
Deﬁnition 3.1 A function µ : A −→ R _{+} ∪ {∞} is called a measure if
1. µ ( A) 0 for any A ∈ A and µ ( ∅ ) = 0 ;
2. if ( A _{i} ) _{i} _{} _{1} is a disjoint family of sets in A ( A _{i} ∩ A _{j} = ∅ for any i
= j ) such that
∞ _{=}_{1} A _{i} ∈ A , then
i
∞ ∞
µ
(
i
=1
A _{i} ) =
i
=1
µ
( A _{i} ) .
The latter important property, is called countable additivity or σ additivity of the measure µ .
Let us state now some elementary properties of a measure. Below till the end of this section A is an algebra of sets and µ is a measure on it.
1. (Monotonicity of µ ) If A, B ∈ A and B ⊂ A then µ ( B ) µ ( A).
Proof. A = ( A \ B ) B implies that
µ ( A) = µ ( A \ B ) + µ ( B ) .
Since µ ( A \ B ) ≥ 0 it follows that µ ( A ) ≥ µ ( B ).
2. (Subtractivity of µ ). If A, B ∈ A and B ⊂ A and µ ( B ) < ∞ then µ ( A \ B ) = µ ( A) − µ ( B ).
Proof. In 1) we proved that
If µ ( B ) < ∞ then
µ ( A) = µ ( A \ B ) + µ ( B ) .
µ ( A ) − µ ( B ) = µ ( A \ B ) .
3. If A, B ∈ A and µ ( A ∩ B ) <
∞ then µ ( A ∪ B ) = µ ( A) + µ ( B ) − µ ( A ∩ B ) .
Proof. A ∩ B ⊂ A, A ∩ B
⊂ B , therefore
A ∪ B = ( A \ ( A ∩ B )) B.
Since µ ( A ∩ B ) < ∞ , one has
µ ( A ∪ B ) = ( µ ( A) − µ ( A ∩ B )) + µ ( B ) .
5
∞
4. (Semiadditivity of µ ). If ( A _{i} ) _{i} _{≥}_{1} ⊂ A such that ^{} _{=}_{1} A _{i} ∈ A then
i
∞ ∞
µ
(
i
=1
A _{i} )
i
=1
µ
(
A _{i} ) .
Proof. First let us proove that
Note that the family of sets
µ
(
n
i
=1
A _{i} )
n
i
=1
µ
(
A _{i} ) .
B _{1} = A _{1} B _{2} = A _{2} \ A _{1} B _{3} = A _{3} \ ( A _{1} ∪ A _{2} ) .
.
.
B _{n} = A _{n} \
n −1
i =1
A i
is disjoint and ^{} ^{n} µ ( A _{i} ). Then
i =1 ^{B} i ^{=} i n
_{=}_{1} A _{i} . Moreover, since B _{i} ⊂ A _{i} , we see that µ ( B _{i} ) ≤
µ
(
n
A _{i} ) = µ (
n
B _{i} ) =
n
µ ( B _{i} ) ≤
n
µ
( A _{i} ) .
i
=1
i
=1
i
=1
i
=1
Now we can repeat the argument for the inﬁnite family using σ additivity of the measure.
3.1 Continuity of a measure
Theorem 3.1 Let A be an algebra, ( A _{i} ) _{i} _{≥} _{1} ⊂ A a monotonically increasing sequence of sets ( A _{i} ⊂ A _{i} _{+}_{1} ) such that ^{} _{i} _{≥}_{1} ∈ A . Then
µ
(
∞
i =1
A _{i} ) = lim
n
_{→}_{∞} µ ( A _{n} ) .
∞
Proof. 1). If for some n _{0} µ ( A _{n} _{0} ) = + ∞ then µ ( A _{n} ) = + ∞ ∀ n ≥ n _{0} and µ ( ^{} _{=}_{1} A _{i} ) = + ∞ .
i
2). Let now µ ( A _{i} ) < ∞ ∀ i ≥ 1.
6
Then
µ
(
∞
i =1
A _{i} ) = µ ( A _{1} ( A _{2} \ A _{1} )
( A _{n} \ A _{n} _{−}_{1} )
)
= µ ( A _{1} ) + lim
n→∞
n
k =2
= µ ( A _{1} ) +
∞
k =2
µ ( A _{k} \ A _{k} _{−}_{1} )
( µ ( A _{k} ) − µ ( A _{k} _{−}_{1} )) = lim
n
_{→}_{∞} µ ( A _{n} ) .
3.2 Outer measure
Let a be an algebra of subsets of X and µ a measure on it. Our purpose now is to extend
µ
An arbitrary set A ⊂ X can be always covered by sets from A , i.e. one can always ﬁnd
to as many elements of 2 ^{X} as possible.
E _{1} , E _{2} ,
∞
∈ A such that ^{} _{=}_{1} E _{i} ⊃ A . For instance, E _{1} = X, E _{2} = E _{3} =
i
= ∅ .
Deﬁnition 3.2 For A ⊂ X its outer measure is deﬁned by
µ ^{∗} ( A) = inf
∞
i =1
µ
( E _{i} )
where the inﬁmum is taken over all A coverings of the set A, i.e. all collections ( E _{i} ) , E _{i} ∈ A with ^{} _{i} E _{i} ⊃ A.
Remark. The outer measure always exists since µ ( A) 0 for every A ∈ A .
Example. Let X = R ^{2} , A = K ( P ) ,  σ algebra generated by P , P = { [a, b ) × R ^{1} } . Thus A consists of countable unions of strips like one drawn on the picture. Put µ ([ a, b ) × R ^{1} ) = b − a . Then, clearly, the outer measure of the unit disc x ^{2} + y ^{2} 1 is equal to 2. The same value is for the square  x  1 ,  y  1.
Theorem 3.2 For A ∈ A one has µ ^{∗} ( A) = µ ( A) .
In other words, µ ^{∗} is an extension of µ .
Proof. 1 . A is its own covering. This implies µ ^{∗} ( A) µ ( A).
2 . By deﬁnition of inﬁmum, for any ε > 0 there exists a A covering ( E _{i} ) of A such that ^{} _{i} µ ( E _{i} ) < µ ^{∗} ( A) + ε. Note that
A = A ∩ ( ^{} E _{i} ) = ^{} ( A ∩ E _{i} ) .
i
7
i
✻ 
^{} ^{} ^{} ^{} ^{} ^{} ^{} ^{} ^{} ^{} ^{} ^{} ^{} ^{} ^{} ^{} ^{} ^{} ^{} ^{} ^{} ^{}

✲ 
^{} ^{} ^{} ^{} ^{} ^{} ^{} ^{} ^{} ^{} ^{} ^{} ^{}
^{}
^{} ^{} ^{} ^{} ^{} ^{} 

a 
b 
Using consequently σ semiadditivity and monotonicity of µ , one obtains:
µ ( A) ^{} µ ( A ∩ E _{i} ) ^{} µ ( E _{i} ) < µ ^{∗} ( A) + ε.
i
i
Since ε is arbitrary, we conclude that µ ( A) µ ^{∗} ( A ).
It is evident that µ ^{∗} ( A) 0 , µ ^{∗} ( ∅ ) = 0 (Check !).
Lemma. Let A be an algebra of sets (not necessary σ algebra), µ a measure on A . If there exists a set A ∈ A such that µ ( A) < ∞ , then µ ( ∅ ) = 0.
Proof. µ ( A \ A) = µ ( A) − µ ( A) = 0.
Therefore the property µ ( ∅ ) = 0 can be substituted with the existence in A of a set with a ﬁnite measure.
Theorem 3.3 (Monotonicity of outer measure). If A ⊂ B then µ ^{∗} ( A) µ ^{∗} ( B ) .
Proof. Any covering of B is a covering of A.
Theorem 3.4 (σ semiadditivity of µ ^{∗} ). µ ^{∗} ( ^{} _{=}_{1} A _{j} ) ^{} _{=}_{1} µ ^{∗} ( A _{j} ) .
j
j
∞
∞
8
Proof. If the series in the righthand side diverges, there is nothing to prove. So assume that it is convergent.
By the deﬁnition of outer measur for any ε > 0 and for any j there exists an A covering ^{} _{k} E _{k}_{j} ⊃ A _{j} such that
µ ( E _{k}_{j} ) < µ ^{∗} ( A _{j} ) +
∞
ε
2 ^{j} ^{.}
k =1
Since
_{∞}
j,k =1
E kj ⊃
∞
j
=1
A _{j} ,
the deﬁnition of µ ^{∗} implies
∞ ∞
µ
^{∗} (
j
=1
A _{j} )
j,k =1
µ ( E _{k}_{j} )
and therefore
∞ ∞
µ
^{∗} (
j
=1
A _{j} ) <
j
=1
µ ^{∗} ( A _{j} ) + ε.
3.3 Measurable Sets
Let A be an algebra of subsets of X , µ a measure on it, µ ^{∗} the outer measure deﬁned in the previous section.
Deﬁnition 3.3 A ⊂ X is called a measurable set (by Carath`eodory) if for any E ⊂ X the following relation holds:
µ ^{∗} ( E ) = µ ^{∗} ( E ∩ A) + µ ^{∗} ( E ∩ A ^{c} ) .
˜
Denote by A the collection of all set which are measurable by Carath`eodory and set
˜
µ˜ = µ ^{∗} A .
Remark Since E = ( E ∩ A) ∪ ( E ∩ A ^{c} ), due to semiadditivity of the outer measure
˜
µ ^{∗} ( E )
≤ µ ^{∗} ( E ∩ A) + µ ^{∗} ( E ∩ A ^{c} ) .
˜
Theorem 3.5 A is a σ algebra containing A , and µ˜ is a measure on A .
9
Proof. We devide the proof into several steps.
˜
˜
1 . If A, B ∈ A then A ∪ B ∈ A .
By the deﬁnition one has
µ ^{∗} ( E ) = µ ^{∗} ( E ∩ B ) + µ ^{∗} ( E ∩ B ^{c} ) . 
(1) 

Take E ∩ A instead of E : 

µ ^{∗} ( E ∩ A) = µ ^{∗} ( E ∩ A ∩ B ) + µ ^{∗} ( E 
∩ A ∩ B ^{c} ) . 
(2) 

Then put E ∩ A ^{c} in (1) instead of E 

µ ^{∗} ( E ∩ A ^{c} ) = µ ^{∗} ( E ∩ A ^{c} ∩ B ) + µ ^{∗} ( E ∩ A ^{c} ∩ B ^{c} ) . 
(3) 

Add (2) and (3): 

µ ^{∗} ( E ) = µ ^{∗} ( E ∩ A ∩ B ) + µ ^{∗} ( E ∩ A ∩ B ^{c} ) + µ ^{∗} ( E ∩ A ^{c} ∩ B ) + µ ^{∗} ( E ∩ A ^{c} ∩ B ^{c} ) . 
(4) 

Substitute E ∩ ( A ∪ B ) in (4) instead of E . Note that 

1) 
E ∩ ( A ∪ B ) ∩ A ∩ B 
= 
E 
∩ A ∩ B 

2) 
E 
∩ ( A ∪ B ) ∩ A ^{c} ∩ B 
= 
E 
∩ A ^{c} ∩ B 

3) 
E 
∩ ( A ∪ B ) ∩ A ∩ B ^{c} = E 
∩ A ∩ B ^{c} 

4) 
E ∩ ( A ∪ B ) ∩ A ^{c} ∩ B ^{c} 
= ∅ . 

One has 

µ ^{∗} ( E ∩ ( A ∪ B )) = µ ^{∗} ( E ∩ A ∩ B ) + µ ^{∗} ( E ∩ A ^{c} ∩ B ) + µ ^{∗} ( E ∩ A ∩ B ^{c} ) . 
(5) 
From (4) and (5) we have
µ ^{∗} ( E ) = µ ^{∗} ( E
˜ ˜
∩ ( A ∪ B )) + µ ^{∗} ( E ∩ ( A ∪ B ) ^{c} ) .
2 . If A ∈ A then A ^{c} ∈ A .
The deﬁnition of measurable set is symmetric with respect to A and A ^{c} .
˜
Therefore A is an algebra of sets.
3 .
Let A, B ∈ A , A ∩ B = ∅ . From (5)
µ ^{∗} ( E ∩ ( A B )) = µ ^{∗} ( E ∩ A ^{c} ∩ B ) + µ ^{∗} ( E ∩ A ∩ B ^{c} ) = µ ^{∗} ( E ∩ B ) + µ ^{∗} ( E
10
∩ A) .
˜
4 . A is a σ algebra.
From the previous step, by induction, for any ﬁnite disjoint collection ( B _{j} ) of sets:
µ ^{∗} ( E ∩ (
n n
j
=1
B _{j} )) =
j
=1
µ ^{∗} ( E ∩ B _{j} ) .
∞
Let A = ^{} _{=}_{1} A _{j} , A _{j} ∈ A . Then A = ^{}
j
_{=}_{1} B _{j} , B _{j} = A _{j} \ ^{j} ^{−} ^{1}
∞
j
k
_{=}_{1} A _{k} and
B _{i} ∩ B _{j} = ∅ ( i = j ). It suﬃces to prove that
µ ^{∗} ( E ) µ ^{∗} ( E ∩ (
∞
j
=1
B _{j} )) + µ ^{∗} ( E ∩ (
∞
j
=1
B _{j} ) ^{c} ) .
(6)
(7)
Indeed, we have already proved that µ ^{∗} is σ semiadditive.
˜
Since A is an algebra, it follows that ^{}
holds for every n :
n j =1 ^{B} j ^{∈}
˜
A ( ∀ n ∈ N ) and the following inequality
µ ^{∗} ( E ) µ ^{∗} ( E ∩ (
n
j
=1
B _{j} )) + µ ^{∗} ( E ∩ (
n
j
=1
B _{j} ) ^{c} ) .
(8)
Since E ∩ ( ^{} _{=}_{1} B _{j} ) ^{c} ⊂ E ∩ ( ^{} _{=}_{1} B _{j} ) ^{c} , by monotonicity of the mesasure and (8)
j
j
∞
n
µ ^{∗} ( E ) ≥
n
j =1
µ ^{∗} ( E ∩ B _{j} ) + µ ^{∗} ( E ∩ A ^{c} ) .
(9)
Passing to the limit we get
µ ^{∗} ( E ) ≥
∞
j =1
µ ^{∗} ( E ∩ B _{j} ) + µ ^{∗} ( E ∩ A ^{c} ) .
(10)
Due to semiadditivity
µ ^{∗} ( E ∩ A ) = µ ^{∗} ( E ∩ (
∞
j
=1
Compare this with (10):
B _{j} )) = µ ^{∗} (
∞
j
=1
( E ∩ B _{j} )) ≤
∞
j
=1
µ ^{∗} ( E ∩ B _{j} ) .
µ ^{∗} ( E ) ≥ µ ^{∗} ( E ∩ A) + µ ^{∗} ( E ∩ A ^{c} ) .
˜
˜
Thus, A ∈ A , which means that A is a σ algebra.
˜
5 . µ˜ = µ ^{∗} A is a measure.
11
∞
We need to prove only σ additivity. Let E = ^{} _{=}_{1} A _{j} . From(10) we get
j
∞ ∞
µ
^{∗} (
j
=1
A _{j} )
j
=1
µ ^{∗} ( A _{j} ) .
The oposite inequality follows from σ semiadditivity of µ ^{∗} .
˜
6 . A ⊃ A .
Let A ∈ A , E ⊂ X .
We need to prove:
µ ^{∗} ( E ) µ ^{∗} ( E ∩ A) + µ ^{∗} ( E ∩ A ^{c} ) .
If E ∈ A then (11) is clear since E ∩ A and E ∩ A ^{c} are disjoint and both belong to A where µ ^{∗} = µ and so is additive.
(11)
For E ⊂ X for ∀ ε > 0 there exists a A covering ( E _{j} ) of E such that
µ ^{∗} ( E ) + ε >
∞
j =1
µ ( E _{j} ) .
Now, since E _{j} = ( E _{j} ∩ A ) ∪ ( E _{j} ∩ A ^{c} ), one has
µ ( E _{j} ) = µ ( E _{j} ∩ A) + µ ( E _{j} ∩ A )
and also
∞
(12)
E ∩ A ⊂ 

( E _{j} ∩ A ) 

j =1 

∞ 

E ∩ A ^{c} ⊂ 

( E _{j} ∩ A ^{c} ) 

j 
=1 

By monotonicity and σ semiadditivity 

∞ 

µ ^{∗} ( E ∩ A) 

µ ( E _{j} ∩ A) , 

j 
=1 

∞ 

µ ^{∗} ( E ∩ A ^{c} ) 

µ ( E _{j} ∩ A ^{c} ) . 
j
=1
∞
Adding the last two inequalities we obtain
µ ^{∗} ( E
∩ A) + µ ^{∗} ( E ∩ A ^{c} ) ≤
j =1
µ ^{∗} ( E _{j} ) < µ ^{∗} ( E ) + ε.
Since ε > 0 is arbitrary, (11) is proved.
The following theorem is a direct consequence of the previous one.
12
Theorem 3.6 Let A be an algebra of subsets of X and µ be a measure on it. Then there exists a σ algebra A _{1} ⊃ A and a measure µ _{1} on A _{1} such that µ _{1} A = µ .
Remark. Consider again an algebra A of subsets of X . Denot by A _{σ} the generated σ algebra and construct the extension µ _{σ} of µ on A _{σ} . This extension is called minimal extension of measure .
Hence one can set µ _{σ} = µ˜ A _{σ} . Obviously µ _{σ} is a
minimal extension of µ . It always exists. On can also show (see below) that this extension
is unique.
˜
˜
Since A ⊃ A therefore A _{σ} ⊂ A .
Theorem 3.7 Let µ be a measure on an algebra A of subsets of X , µ ^{∗} the corresponding
˜
outer measure. If µ ^{∗} ( A) = 0 for a set A ⊂ X then A ∈ A and µ˜ ( A ) = 0 .
˜
Proof. Clearly, it suﬃces to prove that A ∈ A . Further, it suﬃces to prove that µ ^{∗} ( E ) µ ^{∗} ( E ∩ A) + µ ^{∗} ( E ∩ A ^{c} ). The latter statement follows from monotonicity of µ ^{∗} . Indeed,
one has µ ^{∗} ( E ∩ A) µ ^{∗} ( A ) = 0 and µ ^{∗} ( E ∩ A ^{c} ) µ ^{∗} ( E ).
Deﬁnition 3.4 A measure µ on an algebra of sets A is called complete if conditions
B ⊂ A, A ∈ A , µ ( A) = 0 imply B ∈ A and
µ ( B ) = 0 .
Corollary. µ˜ is a complete measure.
Deﬁnition 3.5 A measure µ on an algebra A is called ﬁnite if µ ( X ) < ∞ . It is called σ ﬁnite if the is an increasing sequence ( F _{j} ) _{j} _{≥} _{1} ⊂ A such that X = ^{} _{j} F _{j} and µ ( F _{j} ) < ∞
∀ j .
Theorem 3.8 Let µ be a σ ﬁnite measure on an algebra A . Then there exist a unique
˜
extension of µ to a measure on A .
Proof . It suﬃces to sjow uniqueness. Let ν be another extension of µ ( ν A = µ A ).
˜
First, let µ (and therefore ν, µ ^{∗} ) be ﬁnite. Let A ∈ A . Let ( E _{j} ) ⊂ A such that
A ⊂ ^{} _{j} E _{j} . We have
Therefore
ν ( A) ≤ ν (
∞
j
=1
E _{j} ) ≤
∞
j
=1
ν ( E _{j} ) =
˜
∞
j
=1
µ ( E _{j} ) .
ν ( A ) ≤ µ ^{∗} ( A) ∀ A ∈ A .
13
˜
Since µ ^{∗} and ν are additive (on A ) it follows that
µ ^{∗} ( A) + µ ^{∗} ( A ^{c} ) = ν ( A) + ν ( A ^{c} ) .
The terms in the RHS are ﬁnite and ν ( A ) ≤ µ ^{∗} ( A) , ν ( A ^{c} ) ≤ µ ^{∗} ( A ^{c} ). From this we infer that
ν ( A) = µ ^{∗} ( A) ∀ A ∈ A .
˜
Now let µ be σ ﬁnite, ( F _{j} ) be an increasing sequence of sets from A such that µ ( F _{j} ) < ∞ ∀ j and X = ^{} _{=}_{1} F _{j} . From what we have already proved it follows that
∞
j
˜
µ ^{∗} ( A ∩ F _{j} ) = ν ( A ∩ F _{j} ) ∀ A ∈ A .
Therefore
µ ^{∗} ( A ) = lim µ ^{∗} ( A ∩ F _{j} ) = lim ν ( A ∩ F _{j} ) = ν ( A) .
j
j
Theorem 3.9 (Continuity of measure). Let A be a σ algebra with a measure µ , { A _{j} } ⊂ A a monotonically increasing sequence of sets. Then
Proof. One has:
A =
µ
(
∞
j =1
A _{j} ) = lim
j
_{→}_{∞} µ ( A _{j} ) .
∞ ∞
j
=1
A _{j} =
j
=2
( A _{j} _{+}_{1} \ A _{j} ) A _{1} .
Using σ additivity and subtractivity of µ ,
µ ( A) =
∞
j =1
( µ ( A _{j} _{+}_{1} ) − µ ( A _{j} )) + µ ( A _{1} ) = lim
j
_{→}_{∞} µ ( A _{j} ) .
Similar assertions for a decreasing sequence of sets in A can be proved using de Morgan formulas.
˜
Theorem 3.10 Let A ∈ A . Then for any ε > 0 there exists A _{ε} ∈ A such that µ ^{∗} ( A
A _{ε} ) < ε .
Proof. 1 . For any ε > 0 there exists an A cover ^{} E _{j} ⊃ A such that
j
µ ( E _{j} ) < µ ^{∗} ( A) + _{2}
^{ε} = µ˜ ( A ) + 2 ^{ε} ^{.}
14
On the other hand,
The monotonicity of µ˜ implies
_{}
µ˜ (
j
∞
j
=1
µ ( E _{j} ) µ˜ ( ^{} E _{J} ) .
j
E _{J} ) = n→∞ lim ^{µ}^{˜} ^{(}
n
j
=1
E _{j} ) ,
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