Measures

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.

Additional Terminology

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

• The measure $\mu$ is called finite if $\mu \left(X\right)<+\infty$.
• Let $E\in {\mathcal {M}}$. If there exist $\left\{E_{k}\right\}_{k=1}^{\infty }\subseteq {\mathcal {M}}$ such that $E=\cup _{k=1}^{\infty }E_{k}$ and $\mu \left(E_{k}\right)<+\infty$ (for all $k\in \mathbb {N}$), then $E$ is $\sigma$-finite for $\mu$.
• If $X$ is $\sigma$-finite for $\mu$, then $\mu$ is called $\sigma$-finite.
• Let $S$ be the collection of all the sets in ${\mathcal {M}}$ with infinite $\mu$-measure. The measure $\mu$ is called semifinite if there exists $F\in {\mathcal {M}}$ such that $F\subseteq E$ and $0<\mu (F)<+\infty$, for all $E\in S$.

Properties

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

1. Finite 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

• Let $X$ be a non-empty set and ${\mathcal {M}}=2^{X}$. Let $f$ be any function from $X$ to $[0,+\infty ]$.
• Let $X$ be an uncountable set. Let ${\mathcal {M}}$ be the $\sigma$-algebra of countable or co-cocountable sets of $X$. The function $\mu :0\rightarrow [0,+\infty ]$ defined as $\mu (E)={\begin{cases}0,E{\text{ is countable}}\\1,E{\text{ is co-countable}}\end{cases}}$ is a measure.
• Let $X$ be an infinite set. Let ${\mathcal {M}}=2^{X}$. The function $\mu :0\rightarrow [0,+\infty ]$ defined as $\mu (E)={\begin{cases}0,E{\text{ is finite}}\\+\infty ,E{\text{ is infinite}}\end{cases}}$ is not a measure. To verify that it is not a measure, it is sufficient to take $X=\mathbb {N}$, and note that $\sum _{k=1}^{\infty }\mu \left(\{k\}\right)=0\neq +\infty =\mu \left(\mathbb {N} \right)=\mu \left(\cup _{k=1}^{\infty }\{k\}\right)$. In other words. the countable additivity property is not satisfied. However, $\mu$ does satisfy the finite additivity property.

Complete Measures

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References

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