Measure and Integration
Appendix A Measure and Integration A.1 Measures and the Carathéodory Extension Let S be a nonempty set. A class F of subsets of S is a field,oranalgebra if (i) ∅∈F, S ∈ F, (ii) A ∈ F implies Ac ∈ F, (iii) A, B ∈ F implies A ∪ B ∈ F. Note that (ii) and (iii) imply that F is closed under finite unions and finite intersections. If (iii) ∈ F ( = , ,...) ∪∞ ∈ F F is replaced by (iii) : An n 1 2 implies n=1 An , then is said to be a σ-field,oraσ-algebra. Note that (iii) implies (iii), and that a σ-field is closed under countable intersections. A function μ : F→[0, ∞] is said to be a measure on a field F if μ(∅) = 0 (∪∞ ) = ∞ ( ) ∈ F and μ n=1 An n=1 μ An for every sequence of pairwise disjoint sets An ( = , ,...) ∪∞ ∈ F n 1 2 such that n=1 An . Note that this property, known as countable additivity, implies finite additivity (by letting An =∅for n ≥ m for some m, say). A measure μ on a field F is σ-finite if there exists a sequence An ∈ F (n = 1, 2,...) ∪∞ = ( )<∞ such that n=1 An S and μ An for every n. F ∈ F ( ≥ ) ⊂∪ , ∈ F If μ is a measure on a field , and An n 1 , A n An A , ( ) ≤ ∞ ( ) = , = c ∩ then μ A n=1 μ An (subadditivity). To see this write B1 A1 Bn A1 ···∩ c ∩ ( ≥ ) ( ≥ ) ∪∞ =∪∞ An−1 An n 2 . ThenBn n 1 are disjoint, n=1 An n=1 Bn, so that ( ) = ( ∩ (∪∞ )) = ∞ ( ∩ ) ≤ ∞ ( ) ⊂ μ A μ A n=1 Bn n=1 μ A Bn n=1 μ An (since Bn An for all n).
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