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Let be a measurable space, a measure on is a map such that 1. such that 2. Countable Additivity: for every countable family of pairwise disjoint sets from .
Let be a Measure Space, then 1. 2. Finite Additivity: 3. Monotonicity: For 4. If , then 5. If , and s.t. then
A Summary of MATH 891
Borel measure
Concentrated
Law
Lebesgue-Stieltjes Measure
Mutually Singular
Radon-Nikodym Theorem
Lebesgue Integral
Lebesgue Integral is a Measure
Measure Space
σ-finite
Every Measure Space has a Completion
Lebesgue Measurable σ-algebra
Carathéodory Theorem
Hopf's Extension Theorem
Lebesgue Outer Measure
Absolute Continuity
Atomic Measure
Counting measure
Dirac Measure
Lebesgue Measure
Total Variation Measure
Hahn-Jordan Theorem
Fubini Theorem (For indicator functions)
Product Measure
Wasserstein metric
Controlled Markov Chain
Portmanteau's Theorem
Scheffé's Theorem
Probability Measure
Continuity of Probability
Doléans Measure
Semimartingale Properties
Filtration
Irreducible
(n-μ)-small
Petite Set
Kolmogorov Extension Theorem