Analysis I - Autumn Quarter 2015:

Lecture Notes by Tom Hen

September 28, 2015

CONTENTS

CONTENTS

Contents
1 Measure Theory:

1 MEASURE THEORY:

Analysis for Graduate Student - Richard Bass

Measure Theory:

Definition 1. Given a non-empty set X a -Algebra A P (X) is a collection of subsets such that:
1. X, ; 2 A
2. if A 2 A then X\A 2 A
3. if A1 , A2 2 A then A1 [ A2 2 A and A1 \ A2 2 A
S1
T1
4. if A1 , A2 , ... 2 A then i=1 Ai 2 A and i=1 Ai 2 A

An Algebra of sets is a collection of subsects A P (X) satisfying 1,2,3.

Remark 2. A union of sigma-algebras isnt necessarily a sigma algebra but it is an algebra.
Definition 3. Given a collection of sets A0 P (X) we denote by (A0 ) P (X) the minimal
-algebra containing A0 , this is called the -Algebra generated by A0
Definition 4. Let (X, T ) be a topological space, the Borel -algebra on X is B (X) :=

(T ) .

Definition 5. Given a -algebra A P (X) a -Additive Measure : A ! [0, +1] is a real valued
set function such that:
1. (;) = 0
S1
P1
2. If A1 , A2 , ... 2 A are pairwise disjoint then ( i=1 Ai ) = i=1 (Ai )

We would say is finitely-countable if condition 2 applies only to finite disjoint unions.

Example 6. Given any non-empty set X and A = P (X) we have the counting measure define by
(A) = #of elements in A.
Example 7. The most important example is the Lebesgue-Measure on the real line which will
present later.
Definition 8. A Measure Space is a triplet (X, A, ) such that A is a -Algebra on X and : A !
[0, +1] is a -additive measure, the pair (X, A) is called a Measurable Space.
Definition 9. Given X 6= ; a set function : P (X) ! [0, +1] is called an outer-measure if:
1. (;) = 0
2. If A B then (A) (B).
S1
P
3. If A1 , A2 , ... 2 P (X) then ( i=1 Ai ) i=1 (Ai ) (Countable Sub-additivity)

Furthermore, a set A 2 P (X) is called -measurable if 8E 2 X (E) = (E \ A) + (E\A).

Theorem 10. The collection of -measurable sets forms a
(X, F).

-algebra F and is a measure on

1 MEASURE THEORY:

Proof. Partial Proof: It is fairly easy to show that the collection of -measurable sets is an Algebra.
For example if A, B are -measurable then
(E) (E \ (A \ B)) + (E\ (A \ B)) = (E \ A \ B) + ((E \ Ac ) [ (E \ B c ))
= ((E \ Ac )) (E \ A \ B) + ((E \ Ac ) [ (E \ B c \ A))
(E \ A \ B) + ((E \ Ac )) + ((E \ B c \ A))

B is measurable
A is measurable
z}|{
z}|{
=
(E \ A) + ((E \ Ac ))
=
(E)

This shows closure to finite intersections. Similarly it can be shown that there is closure for finite
unions and also for countable unions and intersections.
Theorem 11. Caratheodory Extension Theorem:
If is a -additive measure on an algebra of sets A0 P (X) then there is an extension of to a
-Algebra A containing A0 .
Proof. Outline: Start by proving the following defined on P (X) is an outer-measure
(1
)
1
X
[

(E) = inf
(Ai ) | E
Ai , Ai 2 A0
i=1

i=1

Thus by the previous theorem the collection A P (X) of -measurable sets is -algebra.
Claim 12. Every A 2 A0 is -measurable and thus A0 A
Proving this claim concludes the proof.

Given Caratheodorys Extension Theorem it is easy to define the Lebesgue Measure on R as follows:
Show that the collection A0 of finite unions of half-open intervals [ai , bi ) ai , bi 2 R is an Algebra.
Define a measure on A0 by ([a, b)) = b

a and show it is -additive.

Apply Caratheodorys Theorem.