1.

The Counting Measure

Given measurable space ( X , F) , the counting measure
assigns, to any set, the cardinality of that set:

{
[ E ] = card [ E ] , if E is finite .
,o.w.
2. Measures on finite space
Given X ={ x 1 , , x N } , then a measure on X is entirely
defined by some function f : X [ 0, ] as
m
{ x k , , x k }= f (x k )
1 m j
j=1
3. Discrete Measures
Given a measure space ( X , F , ) , a subset A F is an atom
of if
[ A ]> 0
, and
[ E ] = [ A ] 0
For every E F s.t. E A .
Then then measure space ( X , F , ) is discrete if the space
X can be written:
X =Z n=1 A n

Where [ Z ] =0 , and { An }1 is a collection of atoms.
A. ( Z , P ( Z ) ,Counting ) is discrete.
B. ( X , F , ) must be discrete if X is a countable set.
C.
4. The Lebesgue measure (The length, area, and volume, etc.)
5. Haar Measures
Let X be a Hausdorff topological space. A measure on
( X , B ( X ) ) is called a Borel measure.
A Borel measure is regular if is finite on each compact
subset,
( A )= inf (U )
U A , A open
, and
(U )= K U , K compact ( K )
Let G be a locally compact group, and be a non-zero
regular Borel measure on G . Then is a left Haar
measure if
( x A )= ( A )
For each x G and A B ( G ) . A right Haar measure is
similarly defined.
A. The Lebesgue measure on Rd is a Haar measure in the
sense:
( E +s )= ( E )
B. If G is a finite group, then the measure
1
{g }
card ( G )
Is a Haar measure.
 C. If G=Z , then the Haar measure under addition is just the
counting measure.
D. If G=R d , then the Haar measure under vector addition is
exactly the Lebesgue measure.
E. If G=S1= { z C :|z|=1 } , then the Haar measure under
complex multiplication is the natural measure of arc-length
on a circle.
b
x
F. Consider [ a ,b ] , then is a Haar measure under
a x
+ ,

R

6. Hausdorff Measures
7. Stieltjes Measures
Given an ordered set X ,< , we define the -algebra F as

F= { ( a , b ] :a , b X }
Let F : X R be a right-continuous, non-decreasing function.
Then the Stieltjes measure, F , w.r.t. the accumulation
function F (or cumulative distribution F ) is defined by:
F ( a , b ] F ( b ) F ( a)

A. F : R R is the identity function F ( x ) x , then F is the

usual Lebesgue measure on R .
B. F : R R is absolutely continuous, then F ' exists and is
absolutely integrable and F [ E]= F ' (x )dx
E
C. H : R R is the Heaviside function H 1 , then H = 0
is the Dirac measure at the origin.
D. F= n c n J n is a jump function, then F is equal to the
linear combination n cn x .
n

E. F is the Cantor function, then F , the Cantor measure,

is a probability measure supported on the middle-thirds

R
Cantor set ( ).
F
8. Radon Measures
Given a locally compact Hausdorff space (X , T ) A Radon
measure on X is a Borel measure that is finite on all
compact sets, outer regular on all Borel sets, and inner regular
on all open sets.
9. Probability Measures ( , F , P ) and Stochastic Processes
10.