Hopf's Extension Theorem

Theorem (Carathéodory Theorem)

Let μ\mu^{*} be an Outer Measure on XX. Let M={AX:A is μ-measurable}\mathscr{M}=\{ A\subseteq X:A\text{ is }\mu^{*}\text{-measurable} \}then M\mathscr{M} is a σ-algebra, μM\left.\mu^{*}\right|_{\mathscr{M}} is a Measure, and (X,M,μM)(X,\mathscr{M},\left.\mu^{*}\right|_{\mathscr{M}}) is a complete measure space.

Proposition (Construction of Outer Measure from Pre-measure)

Let A2X\mathscr{A}\subseteq 2^{X} be an Algebra, and let λ:A[0,+]\lambda:\mathscr{A}\to[0,+\infty] be a Pre-measure. Let μ\mu^{*} be defined EX\forall E\subseteq X as μ(E)=inf{j=1λ(Aj):A(j)j1A s.t. Ej=1Aj}\mu^{*}(E)=\inf\left\{ \sum_{j=1}^{\infty}\lambda(A_{j}):A(j)_{j\ge 1}\subseteq \mathscr{A}\text{ s.t. }E\subseteq \bigcup_{j=1}^{\infty}A_{j} \right\}(which by Lebesgue Outer Measure is an Outer measure). Let M\mathscr{M} be the σ-algebra of μ\mu^{*}-measurable sets. Then

  1. μA=λ\left.\mu^{*}\right|_{\mathscr{A}}=\lambda
  2. AM\mathscr{A}\subseteq \mathscr{M}

Theorem (Hopf’s Extension)

Let A2X\mathscr{A}\subseteq 2^{X} be an Algebra of subsets of XX, and let λ:A[0,+]\lambda:\mathscr{A}\to[0,+\infty] be a Pre-measure on A\mathscr{A}. Let B\mathcal{B} be the Smallest σ-algebra of subsets of XX containing A\mathscr{A} (i.e. B\mathcal{B} is the σ-algebra generated by A\mathscr{A}). Then,

  1. There exists a Measure μ\mu on B\mathcal{B} whose restriction to A\mathscr{A} equals λ\lambda: μA=λ\left.\mu\right|_{\mathscr{A}}=\lambda
  2. Moreover, for each measure ν\nu on B\mathcal{B} such that νA=λ\left.\nu\right|_{\mathscr{A}}=\lambda, we necessarily have that ν(E)μ(E)EB\nu(E)\le \mu(E)\quad\forall E\in\mathcal{B}with equality whenever μ(E)<\mu(E)<\infty
  3. If λ\lambda is σ-finite then the extension of λ\lambda from A\mathscr{A} to B\mathcal{B} is unique.

\begin{proof} of 1: First, using Lebesgue Outer Measure we have that μ(E)=inf{j=1λ(Aj):A(j)j1A s.t. Ej=1Aj}\mu^{*}(E)=\inf\left\{ \sum_{j=1}^{\infty}\lambda(A_{j}):A(j)_{j\ge 1}\subseteq \mathscr{A}\text{ s.t. }E\subseteq \bigcup_{j=1}^{\infty}A_{j} \right\}is an Outer measure. Then using we get that M={AX:A is μ-measurable}\mathscr{M}=\{ A\subseteq X:A\text{ is }\mu^{*}\text{-measurable} \}is a σ-algebra and (X,M,μM)(X,\mathscr{M},\left.\mu^{*}\right|_{\mathscr{M}}) is a Complete Measure Space. Then using Construction of Outer Measure from Pre-measure we get that μA=λ\left.\mu^{*}\right|_{\mathscr{A}}=\lambda. Then since AM\mathscr{A}\subseteq \mathscr{M} from the second term of that proposition we get that B\mathcal{B}, which is the Smallest σ-algebra generated by A\mathscr{A} satisfies the inclusion ABM\mathscr{A}\subseteq \mathcal{B}\subseteq \mathscr{M}and since BM\mathcal{B}\subseteq \mathscr{M} are σ-algebras. then μB=:μ\left.\mu^{*}\right|_{\mathcal{B}}=:\mu is a Measure on B\mathcal{B}. Then finally since we have AB\mathscr{A}\subseteq \mathcal{B} we have that μA=:λ\left.\mu\right|_{\mathscr{A}}=:\lambda. \end{proof} >[!thm] (wikipedia) >Let II be a semiring of sets on XX and let μ:R[0,]\mu:R\to[0,\infty] be a pre-measure on RR: >1. Then μ\mu has an extension (i.e. a measure μ~\tilde{\mu}) μ~:σ(R)[0,]\tilde{\mu}:\sigma(R)\to[0,\infty] >2. If XX is σ-finite, then μ~\tilde{\mu} is unique, and μ~\tilde{\mu} is also σ-finite.

Remark

This theorem’s proof makes use of the concept of outer measures to prove it. We use this along with the Carathéodory criterion to construct the Lebesgue Measure.

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