Theorem (Carathéodory Theorem)
Let μ∗ be an Outer Measure on X. Let M={A⊆X:A is μ∗-measurable}then M is a σ-algebra, μ∗∣M is a Measure, and (X,M,μ∗∣M) is a complete measure space.
Proposition (Construction of Outer Measure from Pre-measure)
Let A⊆2X be an Algebra, and let λ:A→[0,+∞] be a Pre-measure. Let μ∗ be defined ∀E⊆X as μ∗(E)=inf{j=1∑∞λ(Aj):A(j)j≥1⊆A s.t. E⊆j=1⋃∞Aj}(which by Lebesgue Outer Measure is an Outer measure). Let M be the σ-algebra of μ∗-measurable sets. Then
- μ∗∣A=λ
- A⊆M
Theorem (Hopf’s Extension)
Let A⊆2X be an Algebra of subsets of X, and let λ:A→[0,+∞] be a Pre-measure on A. Let B be the Smallest σ-algebra of subsets of X containing A (i.e. B is the σ-algebra generated by A). Then,
- There exists a Measure μ on B whose restriction to A equals λ: μ∣A=λ
- Moreover, for each measure ν on B such that ν∣A=λ, we necessarily have that ν(E)≤μ(E)∀E∈Bwith equality whenever μ(E)<∞
- If λ is σ-finite then the extension of λ from A to B is unique.
\begin{proof} of 1: First, using Lebesgue Outer Measure we have that μ∗(E)=inf{j=1∑∞λ(Aj):A(j)j≥1⊆A s.t. E⊆j=1⋃∞Aj}is an Outer measure. Then using we get that M={A⊆X:A is μ∗-measurable}is a σ-algebra and (X,M,μ∗∣M) is a Complete Measure Space. Then using Construction of Outer Measure from Pre-measure we get that μ∗∣A=λ. Then since A⊆M from the second term of that proposition we get that B, which is the Smallest σ-algebra generated by A satisfies the inclusion A⊆B⊆Mand since B⊆M are σ-algebras. then μ∗∣B=:μ is a Measure on B. Then finally since we have A⊆B we have that μ∣A=:λ. \end{proof} >[!thm] (wikipedia) >Let I be a semiring of sets on X and let μ:R→[0,∞] be a pre-measure on R: >1. Then μ has an extension (i.e. a measure μ~) μ~:σ(R)→[0,∞] >2. If X is σ-finite, then μ~ is unique, and μ~ is also σ-finite.