Measures

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Definition

Let $X$ be a set and let ${\mathcal {M}}\subseteq 2^{X}$ be a $\sigma$-algebra. Tbe structure $\left(X,{\mathcal {M}}\right)$ is called a measurable space and each set in ${\mathcal {M}}$ is called a measurable set. A measure on $(X,{\mathcal {M}})$ (also referred to simply as a measure on $X$ if ${\mathcal {M}}$ is understood) is a function $\mu :{\mathcal {M}}\rightarrow [0,\infty ]$ that satisfies the following criteria:

1. $\mu \left(\emptyset \right)=0$,
2. Let $\left\{E_{k}\right\}_{k=1}^{\infty }$ be a disjoint sequence of sets such that each $E_{k}\in {\mathcal {M}}$. Then, $\mu \left(\cup _{k=1}^{\infty }E_{k}\right)=\sum _{k=1}^{\infty }\mu \left(E_{k}\right)$.

If the previous conditions are satisfied, the structure $\left(X,{\mathcal {M}},\mu \right)$ is called a measure space.

Properties

Let $\left(X,{\mathcal {M}},\mu \right)$ be a measure space.

1. Countable Additivity: Let $\left\{E_{k}\right\}_{k=1}^{n}$ be a finite disjoint sequence of sets such that each $E_{k}\in {\mathcal {M}}$. Then, $\mu \left(\cup _{k=1}^{n}E_{k}\right)=\sum _{k=1}^{n}\mu \left(E_{k}\right)$. This follows directly from the defintion of measures by taking $E_{n+1}=E_{n+2}=...=\emptyset$.
2. Monotonicity: Let $E,F\in {\mathcal {M}}$ such that $E\subseteq F$. Then, $\mu \left(E\right)\leq \mu \left(F\right)$.
3. Subadditivity: Let $\left\{E_{k}\right\}_{k=1}^{\infty }\subseteq {\mathcal {M}}$. Then, $\mu \left(\cup _{k=1}^{\infty }E_{k}\right)\leq \sum _{k=1}^{\infty }\mu \left(E_{k}\right)$.
4. Continuity from Below: Let $\left\{E_{k}\right\}_{k=1}^{\infty }\subseteq {\mathcal {M}}$ such that $E_{1}\subseteq E_{2}\subseteq ...$. Then, $\mu \left(\cup _{k=1}^{\infty }E_{k}\right)=\lim _{k\rightarrow \infty }\mu \left(E_{k}\right)$.
5. Continuity from Above: Let $\left\{E_{k}\right\}_{k=1}^{\infty }\subseteq {\mathcal {M}}$ such that $E_{1}\supseteq E_{2}\supseteq ...$ and $\mu \left(E'\right)<\infty$ for some $E'\in \left\{E_{k}\right\}_{k=1}^{\infty }$. Then, $\mu \left(\cap _{k=1}^{\infty }E_{k}\right)=\lim _{k\rightarrow \infty }\mu \left(E_{k}\right)$.

Examples

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References

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