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Measure Theory Notes

This document defines key concepts in measure theory, including σ-algebras, measures, outer measures, and the construction of measures from outer measures. It specifically defines the Lebesgue outer measure and Lebesgue measure on RN, and proves Carathéodory's theorem which establishes that the class of measurable sets forms a σ-algebra and the restriction of the outer measure to this σ-algebra is a measure.

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81 views4 pages

Measure Theory Notes

This document defines key concepts in measure theory, including σ-algebras, measures, outer measures, and the construction of measures from outer measures. It specifically defines the Lebesgue outer measure and Lebesgue measure on RN, and proves Carathéodory's theorem which establishes that the class of measurable sets forms a σ-algebra and the restriction of the outer measure to this σ-algebra is a measure.

Uploaded by

Quazar001
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as PDF, TXT or read online on Scribd
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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 .

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