Measure theory:

σ- algebra :

let S be a non-empty set. A collection of  of subsets of S is said to be

a σ-algebra if

1. ∅,S ∈ 
2. If A ∈ , then Ac ∈ , [  is closed under complementation.]
3. If (An) is a sequence of sets belonging to , then ⋃∞
𝑛=1 𝐴𝑛 ∈ ,
[  is closed under countable union.]

** any set X∈  is called a -measurable set.

Measurable space :

A measurable space is a pair (S, ) consisting of a non-empty set S and

a σ-algebra  over S.

De-Morgan’s Law:

(⋃ 𝐴𝑛 )𝑐 = ∩ (𝐴𝑛 )𝑐 , ∩ (𝐴𝑛 )𝑐 = ⋃(𝐴𝑛 𝑐 )

Hence,  is also closed under countable intersection.

Example:

Let S ≠ ∅, = 2s, the POWERSET of S, is the largest σ-algebra over S.

Let S≠ ∅,  = {∅, S} is the smallest σ-algebra over S.

S= ℕ,  = {∅, {1,3,5,….}, {2,4,6,…..} }.

σ-algebra generated by A: let S be a non-empty set. Let A be a

collection of SOME subset of S. the σ-algebra σ(A) generate by A is
the intersection of all σ-algebras containing A. It is also the
SMALLEST σ-algebra of S containing A.

for example:

i) S = {a,b,c,d,e,f}, A = {a,b}. then

𝛔(A)= { ∅,S, {a, b}, {c,d,e,f}}.
ii) S = {a,b,c,d,e,f}, A = {{a,b},{c}}. Then,
𝛔(A)= { ∅,S, {a, b}, {c},
{a,b,c},{c,d,e,f},{a,b,c,d,e,f},{d,e,f}}.
iii) S= [0,2], A= {[0,1], (1,2)). Then,
𝛔(A)= { ∅,S, [0,1], (1,2), [0,1]∪(1,2), [1,2], [0,1],{1})

Borel σ-algebra:

Let S = ℝ, set of all real numbers,. Then the Borel σ-algebra is the σ-
algebra ℬ generated by all open intervals(a,b) in ℝ. Any set of ℬ is
called a Borel set.

** ℬ can also be generated by set of all closed intervals[a,b] in ℝ.

Example :
1 1
- Every single set in ℝ is Borel, since {a} = ∩(a- , a+ ), a ∈ ℝ.
𝑛 𝑛
- Every countable subset of ℝ is Borel. Therefore, ℚ, the set of all
rational number in ℝ is Borel.
Proof:
Let ℚ = {a1,a2,….}. Then, we can express it as ℚ =∪𝑖 {𝑎𝑖 } and since
countable union of Borel sets is also Borel, we can conclude that ℚ
is Borel.
{5} ∈ ℬ
1 1
{5} = ∩𝑁∈ℝ (5 − , 5 + )
𝑛 𝑛
Measure function :

Is an extended real-valued function µ defined on a σ-algebra  of S

such that:
Length of ∅
i) µ (∅) = 0
ii) µ(E) ≥ 0 , for all E ∈ .
iii) If (En) is disjoint sequence of sets in ( that is En ∩ Em = ∅
whenever n ≠ m), then
µ (⋃∞𝑛=1 𝐸𝑛 ) = µ (E1) + µ (E2) + µ (E3) + ……

Example:

S≠ ∅,  = 2s. we define µ(E) = 0, for all E∈ . Then, µ is a measure.

S≠ ∅,  = 2s. We defined µ (∅)= 0, µ(E) = 1 for all non-empty set
E∈ . Then, µ is not a measure.
S = {a, b, c, d, e, f, g, h, i, j},  =2s. We defined µ (E)= number of
letters in the set E. [Example: µ({d, f, g}）=4]

Borel Measure:

S=ℝ, = ℬ. We define 𝜇𝐵 (𝐼) = 𝑛2 − 𝑛1 , where I can be either of

(n1,n2),[ n1,n2], [n1,n2) ,( n1,n2]. Then, 𝜇𝐵 is called BOREL MEASURE.
𝝁𝑩 ({𝒂}) = 𝝁𝑩 [𝒂, 𝒂] = 𝒍𝒆𝒏𝒈𝒕𝒉 [𝒂, 𝒂] = 𝒂 − 𝒂 = 𝟎
𝝁𝑩 ({𝒂, 𝒃}) = 𝝁𝑩 ({𝒂}) + 𝝁𝑩 ({𝒃}) = 𝟎
𝝁𝑩 (𝒄𝒐𝒖𝒏𝒕𝒂𝒃𝒍𝒆 𝒔𝒆𝒕) = 𝟎.
Example:

Let µ be a finite measure on a σ-algebra . If E and F are two elements

in  and E ⊂ F. Then,

𝝁𝑩 (𝑬) ≤ 𝝁𝑩 (𝑭) and µ(𝑭\𝑬) = µ(𝑭) − µ(𝑬)

Measure space:

A measure space is (S,,µ) consisting of a non-empty set S, a σ-algebra

 and a measure function µ defined on .

Example:

Two functions f and g are equal µ-almost everywhere, if

f(x) = g(x), for all x ∉ N and µ(N) = 0.