MeasureTheory Demystified

Measure Theory in a Lecture
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Monday, March 19, 2012
Perspective -Algebras Measurable Functions Measure Theory Measure and Integration Radon-Nikodym Theorem Riesz Representation Theorem Probability Theory
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A little perspective:
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A little perspective: Riemann did this...
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A little perspective: Riemann did this...
...
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A little perspective:
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A little perspective: Lebesgue did this...
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A little perspective: Lebesgue did this... Why is this better????
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Consider the function:
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Height
If we follow Lebesgues reasoning, then the integral of this function over the set [0,1] should be:
Width of Irrationals
(Height) x (width of irrationals) = 1 x (measure of irrationals)
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Height
If we follow Lebesgues reasoning, then the integral of this function over the set [0,1] should be:
Width of Irrationals
(Height) x (width of irrationals) = 1 x (measure of irrationals)
If we can measure the size of superlevel sets, we can integrate a lot of function!
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Measure Theory begins from this simple motivation.
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If you remember a couple of simple principles, measure and integration theory becomes quite intuitive.
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If you remember a couple of simple principles, measure and integration theory becomes quite intuitive. The first principle is this...
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If you remember a couple of simple principles, measure and integration theory becomes quite intuitive. The first principle is this... Integration is about functions. Measure theory is about sets. The connection between functions and sets is super/sub-level sets.
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Measure theory is about measuring the size of things.
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Measure theory is about measuring the size of things. In math we measure the size of sets.
Set A
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Measure theory is about measuring the size of things. In math we measure the size of sets.
How big is the set A?
Set A
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Size should have the following property:
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The size of the union of disjoint sets should equal the sum of the sizes of the individual sets.
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The size of the union of disjoint sets should equal the sum of the sizes of the individual sets. Makes sense.... but there is a problem with this...
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The size of the union of disjoint sets should equal the sum of the sizes of the individual sets. Makes sense.... but there is a problem with this... Consider the interval [0,1]. It is the disjoint union of all real numbers between 0 and 1. Therefore, according to above, the size of [0,1] should be the sum of the sizes of a single real number.
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The size of the union of disjoint sets should equal the sum of the sizes of the individual sets. Makes sense.... but there is a problem with this... Consider the interval [0,1]. It is the disjoint union of all real numbers between 0 and 1. Therefore, according to above, the size of [0,1] should be the sum of the sizes of a single real number. If the size of a singleton is 0 then the size of [0,1] is 0.
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The size of the union of disjoint sets should equal the sum of the sizes of the individual sets. Makes sense.... but there is a problem with this... Consider the interval [0,1]. It is the disjoint union of all real numbers between 0 and 1. Therefore, according to above, the size of [0,1] should be the sum of the sizes of a single real number. If the size of a singleton is 0 then the size of [0,1] is 0. If the size of a singleton is non-zero, then the size of [0,1] is infinity!
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The size of the union of disjoint sets should equal the sum of the sizes of the individual sets. Makes sense.... but there is a problem with this... Consider the interval [0,1]. It is the disjoint union of all real numbers between 0 and 1. Therefore, according to above, the size of [0,1] should be the sum of the sizes of a single real number. If the size of a singleton is 0 then the size of [0,1] is 0. If the size of a singleton is non-zero, then the size of [0,1] is infinity! This shows we have to be a bit more careful.
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Sigma Algebras (-algebra)
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Consider a set .
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Consider a set . Let F be a collection of subsets of .
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Consider a set . Let F be a collection of subsets of . F is a -algebra if:
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1)
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1) 2)
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1) 2) 3)
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1) 2) 3) 4)
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An algebra of sets is closed under finite set operations. A -algebra is closed under countable set operations. In mathematics, often refers to countable.
1) 2) 3) 4)
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Algebras are what we need for super/sub-level sets of a vector space of indicator functions.
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Superlevel Sets
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Superlevel Sets
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Superlevel Sets
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Superlevel Sets
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Superlevel Sets
Simple Functions
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Superlevel Sets
Simple Functions
Simple functions are finite linear combinations of of indicator functions.
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Superlevel Sets
Simple Functions
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Superlevel Sets
Simple Functions
algebras let us take limits of these. That is more interesting!!

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Measurable Functions
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Given a Measurable Space (,F)
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Given a Measurable Space (,F) We say that a function: respect to F if: is measurable with
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This simply says that a function is measurable with respect to the -algebra if all its superlevel sets are in the -algebra.
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This simply says that a function is measurable with respect to the -algebra if all its superlevel sets are in the -algebra. Hence, a measurable function is one that when we slice it like Lebesgue, we can measure the width of the part of the function above the slice. Simple...right?
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Another equivalent way to think of measurable functions is as the pointwise limit of simple functions.
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Another equivalent way to think of measurable functions is as the pointwise limit of simple functions. In fact, if a measurable function is non-negative, we can say it is the increasing pointwise limit of simple functions.
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Another equivalent way to think of measurable functions is as the pointwise limit of simple functions. In fact, if a measurable function is non-negative, we can say it is the increasing pointwise limit of simple functions. This is simply going back to Lebesgues picture...
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Intuition behind measurable functions.
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Intuition behind measurable functions. They are constant on the sets in the sigma algebra.
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What do measurable functions look like?
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Yes
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Yes
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Yes Yes
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Yes Yes
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Yes Yes No
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Yes Yes No
Intuitively speaking, Measurable functions are constant on the sets in the -alg.
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Yes Yes No
Intuitively speaking, Measurable functions are constant on the sets in the -alg. More accurately, they are limits of functions are constant on the sets in the algebra. The in -algebra gives us this.
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Information and -Algebras.
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Since measurable functions are constant on the -algebra, if I am trying to determine information from a measurable function, the -algebra determines the information that I can obtain.
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Since measurable functions are constant on the -algebra, if I am trying to determine information from a measurable function, the -algebra determines the information that I can obtain. What is the most information that I I measure determine about ?
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Since measurable functions are constant on the -algebra, if I am trying to determine information from a measurable function, the -algebra determines the information that I can obtain. What is the most information that I I measure determine about ? with The best possible I can do is to say that
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Since measurable functions are constant on the -algebra, if I am trying to determine information from a measurable function, the -algebra determines the information that I can obtain. What is the most information that I I measure determine about ? with The best possible I can do is to say that -algebras determine the amount of information possible in a function.
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Measures and Integration
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A measurable space (,F) defines the sets can be measured.
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Now we actually have to measure them...
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Now we actually have to measure them... What are the properties that size should satisfy.
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Now we actually have to measure them... What are the properties that size should satisfy. If you think about it long enough, there are really only two...
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Definition of a measure:
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Given a Measurable Space (,F),
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Given a Measurable Space (,F), A measure is a function satisfying two properties:
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1)
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1) 2)
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1) 2)
(2) is known as countable additivity. However, I think of it as linearity and left continuity for sets.
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Fundamental properties of measures (or size):
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Left Continuity: This is a trivial consequence of the definition!
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Left Continuity: This is a trivial consequence of the definition! Let
then
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then
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then
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then
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then
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then
Right Continuity: Depends on boundedness!
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then
Right Continuity: Depends on boundedness! Let and for some i
then
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then
Right Continuity: Depends on boundedness! Let and for some i
then
(Here is why we need boundedness. Consider
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then
)
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Now we can define the integral.
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Simple Functions:
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Simple Functions:
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Simple Functions:
Positive Functions:
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Simple Functions:
Positive Functions: Since positive measurable functions can be written as the increasing pointwise limit of simple functions, we define the integral as
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Simple Functions:
For a general measurable function write
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Simple Functions:
For a general measurable function write
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How should I think about
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How should I think about
A
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How should I think about This picture says everything!!!!
A
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f
This is a set! and the integral is measuring the size of this set!
A
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Integrals are like measures! They measure the size of a set. We just describe that set by a function.
f
A
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Integrals are like measures! They measure the size of a set. We just describe that set by a function. Therefore, integrals should satisfy the properties of measures.
f
A
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This leads us to another important principle...
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This leads us to another important principle... Measures and integrals are different descriptions of of the same concept. Namely, size.
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This leads us to another important principle... Measures and integrals are different descriptions of of the same concept. Namely, size. Therefore, they should satisfy the same properties!!
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This leads us to another important principle... Measures and integrals are different descriptions of of the same concept. Namely, size. Therefore, they should satisfy the same properties!! Lebesgue defined the integral so that this would be true!
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Measures are:
Integrals are:
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Measures are:
Left Continuous
Integrals are:
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Measures are:
Left Continuous
Integrals are:
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Measures are:
Left Continuous
Integrals are:
Left Continuous
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Measures are:
Left Continuous
Integrals are:
Left Continuous
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Measures are:
Left Continuous
Integrals are:
Left Continuous
(Monotone Convergence Thm.)
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Measures are:
Left Continuous
Integrals are:
Left Continuous
Bdd Right Cont.
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Measures are:
Left Continuous
Integrals are:
Left Continuous
Bdd Right Cont. and
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Measures are:
Left Continuous
Integrals are:
Left Continuous
Bdd Right Cont. and
Bdd Right Cont.
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Measures are:
Left Continuous
Integrals are:
Left Continuous
Bdd Right Cont. and
Bdd Right Cont. and
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Measures are:
Left Continuous
Integrals are:
Left Continuous
Bdd Right Cont. and
Bdd Right Cont. and
(Bounded Convergence Thm.)
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Measures are:
Left Continuous
Integrals are:
Left Continuous
Bdd Right Cont. and
Bdd Right Cont. and
(Bounded Convergence Thm.)
etc...
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Measures are:
Left Continuous
Integrals are:
Left Continuous
Bdd Right Cont. and
Bdd Right Cont. and
(Bounded Convergence Thm.) (Fatous Lemma, etc...)
etc...
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etc...
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The Lp Spaces
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The Lp Spaces A function is in Lp(,F,) if
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The Lp Spaces A function is in Lp(,F,) if The Lp spaces are Banach Spaces with norm:
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The Lp Spaces A function is in Lp(,F,) if The Lp spaces are Banach Spaces with norm:
L2 is a Hilbert Space with inner product:
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Given a Measurable Space (,F), There exist many measures on F.
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Given a Measurable Space (,F), There exist many measures on F. If is the real line, the standard measure is length.
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Given a Measurable Space (,F), There exist many measures on F. If is the real line, the standard measure is length. That is, the measure of each interval is its length. This is known as Lebesgue measure.
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Given a Measurable Space (,F), There exist many measures on F. If is the real line, the standard measure is length. That is, the measure of each interval is its length. This is known as Lebesgue measure. The -algebra must contain intervals. The smallest algebra that contains all open sets (and hence intervals) is call the Borel -algebra and is denoted B.
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Given a Measurable Space (,F), There exist many measures on F. If is the real line, the standard measure is length. That is, the measure of each interval is its length. This is known as Lebesgue measure. The -algebra must contain intervals. The smallest algebra that contains all open sets (and hence intervals) is call the Borel -algebra and is denoted B. A course in real analysis will deal a lot with the measurable space .
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Given a Measurable Space (,F), A measurable space combined with a measure is called a measure space. If we denote the measure by , we would write the triple: (,F,).
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Given a Measurable Space (,F), A measurable space combined with a measure is called a measure space. If we denote the measure by , we would write the triple: (,F,). Given a measure space (,F,), if we decide instead to use a different measure, say , then we call this a change of measure. (We should just call this using another measure!)
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Given a Measurable Space (,F), A measurable space combined with a measure is called a measure space. If we denote the measure by , we would write the triple: (,F,). Given a measure space (,F,), if we decide instead to use a different measure, say , then we call this a change of measure. (We should just call this using another measure!) Let and be two measures on (,F), then
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Given a Measurable Space (,F), A measurable space combined with a measure is called a measure space. If we denote the measure by , we would write the triple: (,F,). Given a measure space (,F,), if we decide instead to use a different measure, say , then we call this a change of measure. (We should just call this using another measure!) Let and be two measures on (,F), then is absolutely continuous with respect to if (Notation )
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Given a Measurable Space (,F), A measurable space combined with a measure is called a measure space. If we denote the measure by , we would write the triple: (,F,). Given a measure space (,F,), if we decide instead to use a different measure, say , then we call this a change of measure. (We should just call this using another measure!) Let and be two measures on (,F), then is absolutely continuous with respect to if (Notation and are equivalent if )
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The Radon-Nikodym Theorem
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If << then is actually the integral of a function wrt .
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g is known as the RadonNikodym derivative and denoted:
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If << then is actually the integral of a function wrt . Idea of proof: Create the function through its superlevel sets
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If << then is actually the integral of a function wrt . Idea of proof: Create the function through its superlevel sets Consider the set function (this is actually a signed measure)
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Choose
be the largest set such that for all (You must prove such an A exists.)
and let
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Choose
be the largest set such that for all (You must prove such an A exists.) Then is the -superlevel set of g.
and let
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Choose
be the largest set such that for all (You must prove such an A exists.) Then is the -superlevel set of g.
and let
Now, given superlevel sets, we can construct a function by:
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The Riesz Representation Theorem:
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All continuous linear functionals on Lp are given by integration against a function with
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All continuous linear functionals on Lp are given by integration against a function with That is, let Then: be a cts. linear functional.
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All continuous linear functionals on Lp are given by integration against a function with That is, let Then: Note, in L2 this becomes: be a cts. linear functional.
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All continuous linear functionals on Lp are given by integration against a function with What is the idea behind the proof:
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All continuous linear functionals on Lp are given by integration against a function with What is the idea behind the proof: Linearity allows you to break things into building blocks, operate on them, then add them all together.
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All continuous linear functionals on Lp are given by integration against a function with What is the idea behind the proof: Linearity allows you to break things into building blocks, operate on them, then add them all together. What are the building blocks of measurable functions.
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All continuous linear functionals on Lp are given by integration against a function with What is the idea behind the proof: Linearity allows you to break things into building blocks, operate on them, then add them all together. What are the building blocks of measurable functions. Indicator functions! Of course!
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All continuous linear functionals on Lp are given by integration against a function with What is the idea behind the proof: Linearity allows you to break things into building blocks, operate on them, then add them all together. What are the building blocks of measurable functions. Indicator functions! Of course! Lets define a set valued function from indicator functions:
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All continuous linear functionals on Lp are given by integration against a function with A set valued function
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All continuous linear functionals on Lp are given by integration against a function with A set valued function How does L operate on simple functions
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This looks like an integral with the measure!
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This looks like an integral with the measure! But, it is not too hard to show that is a (signed) measure. (countable additivity follows from continuity). Furthermore, <<. Radon-Nikodym then says d=gd.
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This looks like an integral with the measure! But, it is not too hard to show that is a (signed) measure. (countable additivity follows from continuity). Furthermore, <<. Radon-Nikodym then says d=gd.
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This looks like an integral with the measure!
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This looks like an integral with the measure! For measurable functions it follows from limits and continuity.
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This looks like an integral with the measure! For measurable functions it follows from limits and continuity.
The details are left as an easy exercise for the reader...

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The Riesz Representation Theorem and the RadonNikodym Theorem are basically equivalent. You can prove one from the other and vice-versa.
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The Riesz Representation Theorem and the RadonNikodym Theorem are basically equivalent. You can prove one from the other and vice-versa. We will see the interplay between them in finance...
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The Riesz Representation Theorem and the RadonNikodym Theorem are basically equivalent. You can prove one from the other and vice-versa. We will see the interplay between them in finance...
How does any of this relate to probability theory...
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A probability measure P is a measure that satisfies That is, the measure of the whole space is 1.
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A probability measure P is a measure that satisfies That is, the measure of the whole space is 1. A random variable is a measurable function.
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The expectation of a random variable is its integral:
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The expectation of a random variable is its integral:
A density function is the Radon-Nikodym derivative wrt Lebesgue measure:
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A probability measure P is a measure that satisfies That is, the measure of the whole space is 1.
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A probability measure P is a measure that satisfies That is, the measure of the whole space is 1. In finance we will talk about expectations with respect to different measures.
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And write expectations in terms of the different measures:
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where
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MeasureTheory Demystified

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Measure Theory in a Lecture

Monday, March 19, 2012

Monday, March 19, 2012

Monday, March 19, 2012

Monday, March 19, 2012

A little perspective: Riemann did this...

Monday, March 19, 2012

A little perspective: Riemann did this...

Monday, March 19, 2012

Monday, March 19, 2012

A little perspective: Lebesgue did this...

Monday, March 19, 2012

A little perspective: Lebesgue did this...

Monday, March 19, 2012

A little perspective: Lebesgue did this...

Monday, March 19, 2012

A little perspective: Lebesgue did this...

Monday, March 19, 2012

A little perspective: Lebesgue did this...

Monday, March 19, 2012

A little perspective: Lebesgue did this...

Monday, March 19, 2012

A little perspective: Lebesgue did this...

Monday, March 19, 2012

A little perspective: Lebesgue did this... Why is this better????

Monday, March 19, 2012

A little perspective: Lebesgue did this... Why is this better????

Monday, March 19, 2012

A little perspective: Lebesgue did this... Why is this better????

Monday, March 19, 2012

A little perspective: Lebesgue did this... Why is this better????

Monday, March 19, 2012

A little perspective: Lebesgue did this... Why is this better????

(Height) x (width of irrationals) = 1 x (measure of irrationals)

Monday, March 19, 2012

A little perspective: Lebesgue did this... Why is this better????

(Height) x (width of irrationals) = 1 x (measure of irrationals)

Monday, March 19, 2012

Monday, March 19, 2012

Measure Theory begins from this simple motivation.

Monday, March 19, 2012

Measure Theory begins from this simple motivation.

Monday, March 19, 2012

Measure Theory begins from this simple motivation.

Monday, March 19, 2012

Measure Theory begins from this simple motivation.

Monday, March 19, 2012

Monday, March 19, 2012

Monday, March 19, 2012

Monday, March 19, 2012

Measure theory is about measuring the size of things.

Monday, March 19, 2012

Monday, March 19, 2012

How big is the set A?

Monday, March 19, 2012

Monday, March 19, 2012

Size should have the following property:

Monday, March 19, 2012

Size should have the following property:

Monday, March 19, 2012

Size should have the following property:

Monday, March 19, 2012

Size should have the following property: