1

1.1

-Algebras and Measures

The Abstract Space

A map : 2X ! [0, 1] is a measure on X in case:

1.1.1

1. (;) = 0 P1 S1 2. (A) k=1 (Ak ) whenever A k=1 Ak . -Subadditivity S1

k=1

From 2. of the above denition, we can see that ( 1.1.2 Monotonicity

Ak )

P1

k=1

( Ak ) .

A B ) ( A) ( B ) . 1.1.3 Measurability of a Set A 2 2X is measurable if 8B 2 2X , (B ) = (B \ A) + (B \A). But due to subadditivity of the measure, it suces to show: (B ) 1.1.4 Algebra (B \ A) + (B \A)

A 2X is called an algebra in case: 1. X 2 A 2. A 2 A ) (X \A) 2 A

If, in the last condition, instead of a nite union, a countable union is set, A is then called a -algebra. Using de Morgans laws, we can show that also a nite (countable) intersection would belong to A. If is a measure, then := A 2 2X : A is measurable is a a Algebra. 1.1.5 Properties of Measurable Sets

3. Ai 2 A81 i m, m 2 N ) (

Sm

i=1

Ai ) 2 A

1. If a set is decomposed into a disjoint countable union of measurable sets, the measure of the set is the sum of the measures of the constituents. 2. The measure of a countable union of a sequence of sets where each child contains its parent is the limit at innity of the measure. 3. The measure of a countable intersection of a sequence of sets where each child contains its parent is the limit at innity of the measure. 1

1.2

Construction of Masses

Let X 6= ; be any set. 1.2.1 Covering Class

K 2X is called cover class for X in case: 1. ; 2 K 2. 9 (Kj )j 2N K : X = S1 Kj

j =1

If K is a covering class of X , and 9 : K ! [0, 1] such that (;) = 0 then the following is a measure on X : 91 08 1 1 <X = [ (A) := inf @ ( Kj ) : Kj 2 K , A Kj A : ;
j =1 j =1

1.2.2

Pre-Measure
X

If A 2 22 1. 2.

is an algebra,

: A ! [0, 1] is called a pre-measure in case:

-nite pre-measure is called -nite in case a cover of X exists (X = S 1 S ) such that S 2 A and (Sk ) < 1 for all k 2 N. WLOG we can take k k k=1 the sets Sk to be disjoint. Every algebra is a covering class Note: Every algebra is a covering class. So given a premeasure on an algebra, we can dene from that a measure as dened above. 1.2.3 Caratheodory-Hahn Extension Theorem : A ! [0, 1] to be a premeasure on n X , and dene a measure o P1 S1 induced by the premeasure as above: (A) := inf ( K ) : K 2 A , A K . j j j j =1 j =1 WLOG Kj can be chosen to be disjoint. As mentioned above, then, : 2X ! [0, 1] is a measure. ( A) 8 A 2 A .

( ;) = 0 S1 P1 ( k=1 Ak ) = k=1 (Ak ) where Ak 2 A 8k 2 N and Ak \Aj = ; 8j 6= k .

1. If we take

2. (A) =

3. A is -measurable 8 A 2 A. Note: The Caratheodory-Hahn extension is unique : every measure on X such that (A) = (A) 8A 2 A will be equal to as dened above for all measurable sets. 2

1.3

The Lebesgue Measure

The Lebesgue-measure Ln is the Caratheodory-Hahn extension of the elementary volume (as dened above: TODO: DEFINE IT).