## Measures

From this point in, I will define a “set function” as a function whose domain is some collection of subsets . It’s important to note here that is not defined on points of the set , but on *subsets* of . For some reason, a lot of people find that confusing at first.

We’re primarily concerned with set functions which take their values in the “extended real numbers” . That is, the value of is either a real number, or , or , with the latter two being greater than all real numbers and less than all real numbers, respectively.

We say that such a set function is “additive” if whenever we have disjoint sets and in with disjoint union also in , then we have

Similarly, we say that is finitely additive if for every finite, pairwise disjoint collection whose union is also in we have

And we say that is countably additive of for every pairwise-disjoint sequence of sets in whose union is also in , we have

Now we can define a “measure” as an extended real-valued, non-negative, countably additive set function defined on an algebra , and satisfying . With this last assumption, we can show that a measure is also finitely additive. Indeed, given a collection , just define for to get a sequence. Then we find

If is a measure on , we say a set has finite measure if . We say that has “-finite” measure if there is a sequence of sets of finite measure () so that . If every set in has finite (or -finite) measure, we say that is finite (or -finite) on .

Finally, we say that a measure is “complete” if for every set of measure zero, also contains all subsets of . That is, if , , and , then . At first, this might seem to be more a condition on the algebra than on the measure , but it really isn’t. It says that to be complete, a measure can only assign to a set if all of its subsets are also in .

This stuff is SO important, and so rarely done well. I’m confident that you can make it delightful.

Comment by Jonathan Vos Post | March 20, 2010 |

thanks for these excellent posts, i been trying to teach my self measure theory i’m finding these posts very useful.

looking forward to the rest

Comment by learningToMeasure | March 20, 2010 |

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