SECTION 1: MEASURE THEORY
Definitions and Theorems
1. 𝝈-algebras
Definition 1 (power sets)
If X is a set, we call the class of all subsets of X the power set of X and denote it by 𝒫(𝑋).
Definition 2 (𝝈-algebra)
Let 𝒜 be a collection of subsets of X, that is, a 𝒜 ⊆ 𝒫(𝑋). We call 𝒜 a σ-algebra of subsets of X if it
has the following properties:
1. ∅ ∈ 𝒜
2. If A ∈ 𝒜, then 𝐴𝑐 ∈ 𝒜
3. If 𝐴𝑘 ∈ 𝒜 for all 𝑘 ∈ ℕ, then ∪𝑘 ∈ ℕ 𝐴𝑘 ∈ 𝒜
We call 𝒜 an algebra if instead of property 3 we only have:
4. If 𝐴, 𝐵 ∈ 𝒜, then 𝐴 ∪ 𝐵 ∈ 𝒜
Definition 3 (𝛔-algebra generated by a system of sets)
a) Let C be a collection of subsets of X. We call 𝒜(𝐶) the σ-algebra generated by C.
b) Let X be a metric space and C the collection of all open subsets of X. Then ℬ = 𝒜(𝐶) is
called the Borel σ-algebra in X. Sets in ℬ are called Borel sets.
Definition 4 (Disjoint Sets)
Let X be a set and 𝐴𝑘 , 𝑘 ∈ 𝐼 be a collection of subsets, where I is an arbitrary index set. We say that
this collection consists of disjoint sets if 𝐴𝑗 ∩ 𝐴𝑘 = ∅ whenever 𝑗 ≠ 𝑘.
Lemma 1 (Lemma of Disjoint Sets)
Let 𝐴𝑛 ∈ 𝑋 for 𝑛 ∈ ℕ. Set the following
𝐵0 = 𝐴0 and 𝐵𝑛 = 𝐴𝑛 ∩ (𝐴0 ∪ 𝐴1 ∪. . .∪ 𝐴𝑛−1 )𝑐 for 𝑛 ≥ 1
Then ∪𝑛𝑘=0 𝐵𝑘 = ∪𝑛𝑘=0 𝐴𝑘 for all 𝑛 ≥ 0 and 𝐵𝑘 𝑘 ∈ ℕ is disjoint.
Definition 5 (𝛔-algebra generated by 𝒇 )
Let 𝑓: 𝑋 ⟶ 𝑌 be a function and 𝒜 a σ-algebra of subsets of 𝑌.
The σ-algebra 𝒜0 = { 𝑓 −1 [𝐴]: 𝐴 ∈ 𝒜} is called the σ-algebra generated by 𝑓.
2. Measures
Definition 1 (Measure/measure space)
Let 𝒜 be a σ-algebra of subsets of μ. A function μ: ⟶ [0, ∞] is called a measure if:
1. μ(∅) = 0
2. for every countable collection 𝐴𝑘 ∈ 𝒜 , 𝑘 ∈ ℕ of disjoint sets
∞ ∞
𝜇 ( ⋂ 𝐴𝑘 ) = ∑ μ (𝐴𝑘 )
𝑘=0 𝑘=0
This is countable additivity.
Moreover, if 𝐴 ∈ 𝒜 we call the set A measurable (with respect to μ). Finally, the triple (𝑋, 𝒜, μ) is
called a measure space. If μ(𝑋) = 1 we sometimes call μ a probability measure and (𝑋, 𝒜, μ) a
probability space. If 𝑋 is a measure space, we call μ a Borel measure if ℬ ⊆ 𝒜, that is, all Borel sets
are μ-measureable.
3. The Construction of Measures from Outer Measures
Definition 1 (Lebesgue Outer Measure)
For every subset 𝐴 ⊆ ℝ𝑁 we set:
∞ ∞
∗
𝑚𝑁 (𝐴) = 𝑖𝑛𝑓 {∑ vol (𝑅𝑘 ) ∣ R k , k ∈ ℕ, 𝑜𝑝𝑒𝑛 𝑟𝑒𝑐𝑡𝑎𝑛𝑔𝑙𝑒𝑠 𝑤𝑖𝑡ℎ 𝐴 ⊆ ⋃ 𝑅𝑘 }
𝑘=0 𝑘=0
∗
We call 𝑚𝑁 (𝐴) the Lebesgue outer measure of the set A.
Definition 2 (Outer Measure)
A function μ∗ : 𝒫(𝑋) ⟶ [0, ∞] is called an outer measure if:
1. μ(∅) = 0
∞
2. for every countable collection 𝐴, 𝐴𝑘 ⊆ 𝑋, 𝑘 ∈ ℕ with 𝐴 ⊆ ∪𝑘=0 𝐴𝑘
∞
𝜇∗ (𝐴) ≤ ∑ μ∗ (𝐴𝑘 )
𝑘=0
This is called the countable sub-additivity.
Definition 3
Let μ∗ : 𝒫(𝑋) ⟶ [0, ∞] be an outer measure on the set X. We call a set 𝐴 ⊆ 𝑋 a μ∗ -measurable set if:
μ∗ (𝑆) = μ∗ (𝑆 ∩ 𝐴) + μ∗ (𝑆 ∩ 𝐴𝑐 )
For all 𝑆 ⊆ 𝑋. We denote this the class of all measurable sets by 𝒜.
Theorem 1 (Carathéodory)
Let μ∗ : 𝒫(𝑋) ⟶ [0, ∞] be an outer measure and let:
𝒜 = {𝐴 ⊆ 𝑋 ∣ 𝜇∗ (𝑆) = 𝜇∗ (𝑆 ∩ 𝐴) + 𝜇∗ (𝑆 ∩ 𝐴𝑐 ) 𝑓𝑜𝑟 𝑎𝑙𝑙 𝑆 ⊆ 𝑋}
Then 𝒜 is a σ-algebra and μ = μ∗ ∣𝒜 : 𝒜 ⟶ [0, ∞] is a measure.
4. The Lebesgue Measure
Definition 1 (Lebesgue Measure)
We call:
∗ (𝑆) ∗ (𝑆 ∗ (𝑆
ℳ𝑁 = {A ⊆ ℝ𝑁 ∣ 𝑚𝑁 = 𝑚𝑁 ∩ 𝐴) + 𝑚𝑁 ∩ 𝐴𝑐 ) 𝑓𝑜𝑟 𝑎𝑙𝑙 𝑆 ⊆ ℝ𝑁 }
∗
The Lebesgue σ-algrbra and 𝑚𝑁 = 𝑚𝑁 ∣ℳ𝑁 the (N-dimensional) Lebesgue measure. Sets in ℳ𝑁 are
called Lebesgue measurable or simply measurable subsets of ℝ𝑁 .
