The Unapologetic Mathematician

Mathematics for the interested outsider

Lebesgue Measure

So we’ve identified a measure on the ring \mathcal{R} of finite disjoint unions of semiclosed intervals. Now we want to apply our extension and completion theorems.

The smallest \sigma-ring \mathcal{S} containing \mathcal{R} is also the smallest one containing the collection \mathcal{P} of semiclosed intervals. As it turns out, it’s also a \sigma-algebra. Indeed, we can write the whole real line \mathbb{R} as the countable disjoint union of elements of \mathcal{P}.


and so \mathbb{R} itself must be in \mathcal{S}. We call \mathcal{S} the \sigma-algebra of “Borel sets” of the real line.

Our measure \mu — defined on elements of \mathcal{P} by \mu(\left[b,a\right))=b-a — is not just \sigma-finite, but actually finite on \mathcal{R}. And thus its extension to \mathcal{S} will still be \sigma-finite. The above decomposition of \mathbb{R} into a countable collection of sets of finite \mu-measure shows us that the extended measure is, in fact, totally \sigma-finite.

But our measure might not be complete. As the smallest \sigma-algebra containing \mathcal{P}, \mathcal{S} might not contain all subsets of sets of \mu-measure zero. And thus we form the completions \overline{\mathcal{S}} of our \sigma-algebra and \bar{\mu} of our measure. We call \overline{\mathcal{S}} the \sigma-algebra of “Lebesgue measurable sets”, and \bar{\mu} is “Lebesgue measure” (remember, it’s pronounced “luh-BAYG”). In fact, the incomplete measure \mu on Borel sets is also often called Lebesgue measure.

April 19, 2010 Posted by | Analysis, Measure Theory | 9 Comments