Measure Theory

Soham Chanda
July 5, 2016

1
1.1
1.1.1

Basics of Fields,Measure and Extension

Fields , -Fields and Measure
Definitions

Field Let F be a collection of subsets of a set . Then F is called a field (or

algebra) if
1. F
2. A F = Ac F
3. A, B F = A B F
-Field A field F is called a sigma field if it is closed under countable union,

S
ie. if A1 , A2 , . . . F then
Ai F
i=1

Measure A measure() on a -field F is a set function such that

1. (A) R+ {} A F
2. If A1 , A2 . . . are disjoint sets in F , then
(

Ai ) =

i=1

(Ai )

i=1

This property is called countable additivity.

A short lemma: Countable additivity implies finite additivity.
Let be a set function which is countably additive. If (A) = for all
A then the lemma follows trivially , otherwise consider the sequence of disjoint
sets A, , , . . . such that (A) is finite.(Ai = for all i > 1 and A1 = A)
As is countably additive,
(A) = (

Ai ) = (A) +

i=1

()

i=1

Since (A) is finite, it follows that () = 0 . Now let A1 , A2 , . . . , An be

disjoint sets, by considering the sequence A1 , A2 , . . . , An , , , . . . (ie. Ai = for
all i > n) we see that
(

n
[

i=1

Ai ) = (

i=1

Ai ) =

n
X

(Ai ) +

i=1

X
i=n+1

() =

n
X
i=1

(Ai )

1.1.2

Examples

Let be any set, and let F consist of all subsets of . Define (A) as the number
of points of A. Thus if A has n members, n = 0, 1, 2, . . . , then (A) = n; if A
is an infinite set, (A) = . The set function is a measure on F, called
counting measure on .
A measure is called a probability measure if () = 1.
We aim at defining length (given by the function ) of sets of R. If the
set is an interval (a, b] it is reasonable to take the length of it as b a. But for
any general A we dont have a clear intuition of the length. Well see in due
time that the conditions ((a, b]) = b a and is a measure defines it on large
class of functions.
Specifically, is determined on the collection of Borel sets of R denoted by
B(R) and defined as the smallest -field of subsets of R containing all intervals
(a, b] a, b R
It is easy to note that all B(R) contains all intervals of R by using the
following points :

S
i=1

T
i=1

T
i=1

(a, b 1i ] = (a, b)
(a 1i , b] = [a, b]
(a 1i , b) = [a, b)

Using a similar argument we can show that Borel sets can also be defined as the
-field consisting of all intervals (a, b) or any other form.
We know that any open set in R can be written as union of countably many
disjoint open intervals , since B(R) is a -field, it consists of all open sets as
well as closed sets. (Because complement of a closed set is closed and a -fi(eld
is closed under complementation.)

1.2

Some theorems on Set functions

Theorem 1. Let be a finitely additive set function on the field F , the following hold :
i. () = 0
ii. (A B) + (A B) = (A) + (B) A, B F
iii. If A, B F and B A, then (A) = (B) + (A B)
iv. (

n
S

Ai )

i=1

n
P

(Ai ) where Ai F

i=1

i. Let A F such that (A) is finite, then

Proof.

(A) = (A ) = (A) + ()
.The theorem follows trivially.
ii. (A) = (A B) + (A B)
(B) = (B A) + (A B)
Adding them , we get
(A) + (B) = (A B) + (B A) + (A B) + (A B)
{z
}
|
=(AB)

iii. B A = A = (A B) B , thus using finite additivity we get

(A) = (B)+(AB) , by rearranging it we get the required expression.
iv.

n
S

Ai = A1 (A2 Ac1 ) (A3 Ac2 Ac1 ) . . .

i=1

Now we know (Ac1 Ac2 . . . Ak ) Ak , thus (Ac1 Ac2 . . . Ak ) (Ak )

Adding them we get the required expression
Putting limits (n ) in part(iv) of the previous theorem gives us
(

Ai )

i=1

(Ai )

i=1

A set function ( on F) is called finite if (A) is not in {, } A nonnegative,

finitely additive set function on the field F is said to be a -finite on F iff

S
can be written as
An where the An belong to F and (An) < for all
n=1

n.We shall see that many properties of finite measures can be extended quickly
to -finite measures.

Theorem 2. Let be a countably additive set function on the sigma-field F.

i. If A1 , A2 , . . . F and An A, then (An) (A) as n .
ii. If A1 , A2 , . . . F and An A and (A1 ) is finite then (An) (A) as
n .
Proof.
i. The case where (An ) is infinite is trivial. Since Ai is an increasing
sequence ,
A = A1 (A2 A1) (A3 A2 ) . . .
By invoking the countable additivity property of and Theorem 1.(iii),
we get (A) = (A1 ) + (A2 ) (A1 ) + (A3 ) (A2 ) + . . .
Thus we arrive at (A) = limn (An )
ii. Ai A = A1 Ai A1 A.By applying the first part we get the
required relation.
Theorem 3. Let be a finitely additive set function on the field F
Assume
S that is continuous from below at each A F, that is, if A1 , A2, . . .
F, A = An F, and An A, then (An ) (A). It follows that is countably additive on F
Proof. Let A1 , A2 , . . . be disjoint sets in F whose union A belongs to F If Bn =
n
n
S
P
Ai then Bn A, hence (Bn) )(A) by hypothesis. But (Bn) = (Ai )
i=1

by finite additivity, hence (A) = lim

n 1

(Ai ) the desired result.

There is a slight variation of Theorem 3 where Ai = the function is

countably additive. The proof goes more or less along the lines of the version
presented with the exception of the need of the relation (A) = (Bn ) + (A
Bn )

1.3

Extension of Measure

Weve talked in 1.1.2 about our aim to define the length of a class set of
real numbers.The problem was to extend the set function given on intervals
by (a, b] = b a to a larger class of sets. If F0 is the field of finite disjoint
unions of right-semiclosed intervals, there is no problem extending
P
to F0 if
S
A1 , . . . , An are disjoint right-semiclosed intervals, we set ( i A; ) = i (Ai ).
The resulting set function on F0 is finitely additive, but countable additivity
is not clear at this point. Even if we can prove countable additivity, we still
have the problem of extending to the minimal -field over F0 , namely, the
Borel sets.
We are going to consider a generalization of the above problem. Instead
of working only with length, we shall examine set functions given by (a, b] =
F (b)F (a) where F is an increasing right-continuous function from R to R. The
extension technique to be developed is not restricted to set functions defined
on subsets of R; we shall prove a general result concerning the extension of a
measure from a field Yo to the minimal -field over F0 .
It will be convenient to consider finite measures at first, and nothing is lost
if we normalize and work with probability measures.
1.3.1 Lemma: Let F0 be a field of subsets of a set , and let P be a
probability measure on F0 .
Suppose that the sets A1 , A2 , . . . belong to F0 and increase to a limit A, and
that the sets A01 , A02 , . . . belong to F0 and increase to A0 . (A and A need not
belong to F0 ) If A A0 , then
lim P (Am ) lim P (A0n )
m

as m , n
Thus if An and A0n both increase to the same limit A, then
lim P (An ) = lim P (A0n )
.
Proof. If m is fixed, Am A0n Am nA0 = Am as n goes to infinity, hence
P (Am A0n ) P (Am )
using theorem 2.i.But P (Am A0n ) P (A0n ) thus we get P (Am ) limn P (A0n ).
By letting m we get the required lemma.
1.3.2 Lemma: Let P be a probability measure on the field F0 . Let G be
the collection of all limits of increasing sequences of sets in F0 , that is, A G
iff there are sets An F0 , n = 1, 2, ... , such that An A.
Define on G as follows. If An F0 , n = 1, 2, ... , An A( G), set
(A) = lim (An)( is well defined by 1.3.1, and = P on F0 .Then
n

i. (A) [0, 1] for all A G

ii. G1 G2 and G1 G2 G and (G1 G2 ) + (G1 G2 ) = (G1 ) +
(G2 ) G1 , G2 G
iii. G1 G2 , both in G implies that (G1 ) (G2 )
5

iv. Gn G = G G and (Gn ) (G)

Proof.
i. is equal to P on F0 .Thus (A) [0, 1] for all A F0 .Therefore
lim (Ai ) [0, 1] when Ai F0 . Thus we arrive at the conclusion (A)
[0, 1]
ii.