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Measure

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Definition
MeasureTheory

Let (X,A)(X,\mathcal{A}) be a measurable space, a measure on A\mathcal{A} is a map μ:AR+\mu:\mathcal{A}\to\overline{\mathbb{R}}^{+} such that 1. EM\exists E\in\mathscr{M} such that μ(E)<\mu(E)<\infty 2. Countable Additivity: μ(j=1Aj)=j=1μ(Aj)\mu\left(\bigsqcup_{j=1}^{\infty}A_{j}\right)=\sum\limits_{j=1}^{\infty}\mu(A_{j}) for every countable family (Aj)jN(A_{j})_{j\in\mathbb{N}} of pairwise disjoint sets from A\mathcal{A}.

Let (X,M,μ)(X,\mathcal{M},\mu) be a Measure Space, then 1. μ()=0\mu(\emptyset)=0 2. Finite Additivity: μ(i=1nAi)=i=1nμ(Ai)    AiAj=, ij, i.e. pairwise disjoint\mu\left(\bigsqcup_{i=1}^{n}A_{i}\right)=\sum_{i=1}^{n}\mu(A_{i})\iff A_{i}\cap A_{j}=\emptyset,\ \forall i\not=j\text{, i.e. pairwise disjoint} 3. Monotonicity: For A,BMA,B\in\mathcal{M} AB    μ(A)μ(B)A\subseteq B\implies \mu(A)\le\mu(B) 4. If (An)nNM(A_{n})_{n\in\mathbb{N}}\subset \mathcal{M}, A1A2A_{1}\subseteq A_{2}\subseteq\dots then μ(n=1An)=limnμ(An)\mu\left( \bigcup_{n=1}^{\infty}A_{n} \right)=\lim_{ n \to \infty } \mu(A_{n}) 5. If (An)nNM(A_{n})_{n\in\mathbb{N}}\subset \mathcal{M}, A1A2A_{1}\supseteq A_{2}\supseteq\dots and k1\exists k\ge 1 s.t. μ(Ak)<\mu(A_{k})<\infty then μ(n=1An)=limnμ(An)\mu\left( \bigcap_{n=1}^{\infty}A_{n} \right)=\lim_{ n \to \infty } \mu(A_{n})

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