November 15 – 17, 2021

• A function Γ = Γ(A) that is defined for every subset A of a set S is called

an outer measure if it satisfies the following:
(i) Γ(A) ≥ 0, Γ(∅) = 0.
(ii) Γ(A
S1 ) ≤ Γ(A
P2 ) if A1 ⊂ A2 .
(iii) Γ( Ak ) ≤ Γ(Ak ) for any countable collection of sets {Ak }.
• Given an outer measure Γ, we say that E ⊂ S is Γ-measurable, or simply
measurable, if
Γ(A) = Γ(A ∩ E) + Γ(A \ E)
for every A ⊂ S . Equivalently, E is measurable iff
Γ(A1 ∪ A2 ) = Γ(A1 ) + Γ(A2 ) whenever A1 ⊂ E, A2 ⊂ S \ E.
• A set E is measurable iff its complement Ec = S \ E is measurable.
• Any set Z with Γ(Z) = 0 is measurable.
• If E1 and E2 are measurable, so is E1 \ E2 .

Proof. Let A ⊂ E1 \ E2 and B ⊂ (E1 \ E2 )c . Since B = (B ∩ E2 ) ∪ (B \ E2 ), we

have A∪B = (A ∪ (B \ E2 ))∪(B ∩ E2 ). Since A∪(B\E2 ) ⊂ Ec2 and B∩E2 ⊂ E2 ,
it follows from the measurability of E2 that
Γ(A ∪ B) = Γ(A ∪ (B \ E2 )) + Γ(B ∩ E2 ).
However, A ⊂ E1 and B \ E2 ⊂ (E1 \ E2 )c \ E2 ⊂ Ec1 . Since E1 is measurab le,
Γ(A ∪ (B \ E2 )) = Γ(A) + Γ(B \ E2 ).
Using measurability of E2 , we obtain
Γ(A ∪ B) = Γ(A) + Γ(B \ E2 ) + Γ(B ∩ E2 ) = Γ(A) + Γ(B). 

• Let Γ be an outer measure on the subsets of S .

(i) The family of Γ-measurable sets of S forms an σ-algebra.
{Ek } is aPcountable collections of disjoint Γ-measurable sets, then
(ii) If S
Γ( Ek ) = Γ(Ek ). More generally, for any A, measurable or not,
[ X
Γ(A ∩ Ek ) = Γ(A ∩ Ek ) and
X [
Γ(A) = Γ(A ∩ Ek ) + Γ(A \ Ek ).
Therefore, Γ is a measure on the σ-algebra of Γ-measurable sets.
Sj
Proof. (ii) Let H = ∞k=1 Ek and H j =
S
E . By induction, we have
k=1 k
j
X
Γ(A) = Γ(A ∩ Ek ) + Γ(A \ H j ) for every A.
k=1

Indeed, the formula is true for j = 1 by the measurability of E1 . Assuming

the formula holds for j − 1, we have
Γ(A) = Γ(A ∩ E j ) + Γ(A \ E j )
j−1
X
= Γ(A ∩ E j ) + Γ((A \ E j ) ∩ Ek ) + Γ((A \ E j ) \ H j−1 ).
k=1
1
2

Since H j ⊂ H, we have Γ(A \ H j ) ≥ Γ(A \ H), and thus by letting j → ∞,

∞
X
Γ(A) ≥ Γ(A ∩ Ek ) + Γ(A \ H) ≥ Γ(A ∩ H) + Γ(A \ H).
k=1

Therefore, H is measurable and

∞
X
Γ(A) = Γ(A ∩ Ek ) + Γ(A \ H)
k=1

and replacing A by A ∩ H in this equation, we obtain

∞
X
Γ(A ∩ H) = Γ(A ∩ Ek ).
k=1

(i) Note that we have also shown that a countable union of disjoint measur-
able sets is measurable, and we know that the complement of a measurable
set is measurable. Since E1 ∪ E2 = (Ec1 \ E2 )c , we see that E1 ∪ E2 is mea-
surable if E1 and E2 are. Therefore, any finite union of measurable sets is
measurable. Now, let {Ek } be a countable collection  of measurable sets. If
Sj S
H j = k=1 Ek , then ∞ = ∞
S
k=1 Ek H 1 ∪ j=1 (H j+1 \ H j ) . 

• Let Γ be an outer measure on S , let {Ek } be a collection of measurable sets,

and A be any set.
(i) If Ek %, then Γ(A ∩ lim Ek ) = limk→∞ Γ(A ∩ Ek )
(ii) If Ek & and if Γ(A ∩ Ek0 ) < +∞ for some k0 , then Γ(A ∩ lim Ek ) =
limk→∞ Γ(A ∩ Ek ).
(iii) Γ(A ∩ lim inf Ek ) ≤ lim infk→∞ Γ(A ∩ Ek ).
(iv) Γ(A ∩ lim sup Ek ) ≥ lim supk→∞ Γ(A ∩ Ek ) if Γ(A ∩ ∞ k=k0 Ek ) < +∞ for
S
some k0 .

Proof. (i) We may assumeSΓ(A ∩ Ek ) < +∞ for all k; otherwise the result
is trivial. Since lim Ek = ∞
S∞
=


E
k=1 k E 1 ∪ (E
k=1 k+1 \ Ek ) and the sets E1 ,
E2 \ E1 , . . . are disjoint and measurable, we have
∞
X
Γ(A ∩ lim Ek ) = Γ(A ∩ E1 ) + Γ(A ∩ (Ek+1 \ Ek )).
k=1

Moreover, Ek and Ek+1 \ Ek are disjoint and measurable, we have

Γ(A ∩ Ek+1 ) = Γ(A ∩ (Ek+1 \ Ek )) + Γ(A ∩ Ek ).
Therefore,
∞
X
Γ(A ∩ lim Ek ) = Γ(A ∩ E1 ) + (Γ(A ∩ Ek+1 ) − Γ(A ∩ Ek ))
k=1
= lim Γ(A ∩ Ek+1 ).
k→∞
T∞
(iii) Let X j = k= j Ek . Then X j % lim inf Ek , so that by (i)

Γ(A ∩ lim inf Ek ) = lim Γ(A ∩ X j ).

j→∞

But since A ∩ X j ⊂ A ∩ E j , we have RHS ≤ lim inf j→∞ Γ(A ∩ E j ). 

 3

• Let (S , d) be a metric space. An outer measure Γ on S is called a metric

outer measure, or an outer measure in the sense of Carathéodory, if
Γ(A1 ∪ A2 ) = Γ(A1 ) + Γ(A2 ) whenever d(A1 , A2 ) > 0,
where d(A1 , A2 ) = inf{d(x, y) : x ∈ A1 , y ∈ A2 }.
• Let Γ be a metric outer measure on a metric space S . Then every Borel
subset of S is Γ-measurable.
Proof. It is enough to prove that every closed set is Γ-measurable. Let
F be any closed set. For A ⊂ Fc , let Ak = {x ∈ A : d(x, F) ≥ 1/k}. If
B ⊂ F, then d(Ak , B) ≥ 1/k, so that Γ(Ak ∪ B) = Γ(Ak ) + Γ(B). Therefore,
Γ(A ∪ B) ≥ Γ(Ak ) + Γ(B). By Lemma 11.6, we have limk→∞ Γ(Ak ) = Γ(A). 
• (Lemma 11.6) limk→∞ Γ(Ak ) = Γ(A).
Proof. Since Fc is open, we have Ak % A. Clearly, limk→∞ Γ(Ak ) ≤ Γ(A). Let
Dk = Ak+1 \ Ak . Then d(Dk+1 , Ak ) ≥ 1k − k+1
1
> 0 since if x ∈ Ak and y ∈ Dk+1 ,
then
k ≤ d(x, F) ≤ d(x, y) + d(y, F) < d(x, y) + k+1 .
1 1

We also have
A = Ak ∪ Dk ∪ Dk+1 ∪ · · · , Γ(A) ≤ Γ(Ak ) + Γ(Dk ) + Γ(Dk+1 ) + · · · .
If Γ(D j ) < +∞, then j≥k Γ(D j ) tends to zero ad k → ∞, and it follows
P P

that Γ(A) ≤ limk→∞ Γ(Ak ). If Γ(D j ) = +∞, then at least one of Γ(D2j ) and
P P
Γ(D2j+1 ) is infinite. Choose N so that Γ(DN ) + Γ(DN−2 ) + Γ(DN−4 ) + · · · is
P

arbitrarily large. However, when k ≥ 2, the fact that k−1

S
j=1 D j ⊂ Ak implies
Sk−1
that d(Dk+1 , j=1 D j ) > 0. Therefore,
Γ(DN ∪ DN−2 ∪ DN−4 ∪ · · · ) = Γ(DN ) + Γ(DN−2 ) + Γ(DN−4 ) + · · · .
Since AN+1 contains DN ∪ DN−2 ∪ DN−4 ∪ · · · , it follows that lim Γ(Ak ) = +∞
and thus limk→∞ Γ(Ak ) ≥ Γ(A). 
• A real-valued function f is said to be upper semi-continuous at x0 if
lim sup f (x) ≤ f (x0 ).
x→x0

• Let Γ be a metric outer measure on S . Then every semi-continuous function

on S is Γ-measurable.
Proof. f is usc at every point of S iff { f ≥ a} is closed for every a. 
• Let f be finite and monotone increasing on R1 . For each half-open finite
interval of the form (a, b], let
λ(a, b] = λ f ((a, b]) = f (b) − f (a).
Note that λ ≥ 0 since f is increasing. If A is a nonempty subset of R1 , let
X
Λ∗ (A) = Λ∗f (A) = inf λ(ak , bk ],
where the inf is taken over all countable collections {(ak , bk ]} such that A ⊂
(ak , bk ]. Further define Λ∗ (∅) = 0.
S
• Λ∗ is a Carathéodry outer measure on R1 . Therefore, every Borel set is
Λ∗ -measurable.
4

Proof. It is easy to verify that Λ∗ is an outer measure. To show that Λ∗ is a

Carathéodry outer measure, observe that a = a0 ≤ a1 < · · · < aN = b, then
N
X N
X
λ(a, b] = f (b) − f (a) = [ f (ak ) − f (ak−1 )] = λ(ak−1 , ak ].
k=1 k=1
It follows that in defining Λ , we can always work with arbitrarily short
∗

intervals (ak , bk ]. If d(A1 , A2 ) > 0, then given  > 0, we can choose {(ak , bk ]}
such that each (ak , bk ] has length less than d(A1 , A2 ) and
[ X
A1 ∪ A2 ⊂ (ak , bk ], λ(ak , bk ] ≤ Λ∗ (A1 ∪ A2 ) + .
Therefore, Λ∗ (A1 ) + Λ∗ (A2 ) ≤ λ(ak , bk ] ≤ Λ∗ (A1 ∪ A2 ) + .
P

• Λ∗f is called the Lebesgue-Stieltjes outer measure corresponding to f , and
its restriction to those sets that are Λ∗f -measurable is called the Lebesgue-
Stieltjes measure corresponding to f and denoted by Λ f or simply Λ. Since
(a, b] is a Borel set Λ∗f ((a, b]) = Λ f ((a, b]) for every (a, b].
• An outer measure Γ is said to be regular if for every A ⊂ S there is a
Γ-measurable set E such that A ⊂ E and Γ(A) = Γ(E).
• Let Λ∗ be a Lebesgue-Stieltjes outer measure. If A is a subset of R1 , there is
a Borel set B containing A such that Λ∗ (A) = Λ(B).
j j
Proof. Given j ∈ N, choose {(ak , bk ]} such that
[ X
j j j j
A⊂ (ak , bk ], λ(ak , bk ] ≤ Λ∗ (A) + 1/ j.
k k
j j
Let B j = k (ak , bk ]
and B = B j . Then A ⊂ B and B is a Borel set.
S T
X   X
j j j j
Λ(B) ≤ Λ(B j ) ≤ Λ (ak , bk ] ≤ λ(ak , bk ] ≤ Λ∗ (A) + 1/ j. 
k k

• If f is an increasing function that is continuous from the right, then its

Lebesgue-Stieltjes measure Λ satisfies
Λ((a, b]) = f (b) − f (a).
In particular, Λ({a}) = f (a) − f (a−).

S itself, we have Γ((a, b]) = Γ0 ((a, b]) ≤ f (b) − f (a).

∗
Proof. Since (a, b] covers
Suppose that (a, b] ⊂ (ak , bk ]. Given  > 0, choose {bk } with
f (bk ) > f (b0k ) − 2−k .
bk < b0k ,
If a < a0 < b, then [a0 , b] ⊂ N k=1 (ak , bk ) for some N. By discarding and
0
S
reindexing, we may assume ak+1 < bk . Also, a1 < a0 and b < b0N .
0

X N
X X N−1
λ(ak , bk ] ≥ f (bk ) − f (ak ) = f (bN ) − f (a1 ) + f (bk ) − f (ak+1 ) .



k k=1 k=1

Since f is increasing, we have

f (bN ) − f (a1 ) = f (bN ) − f (b0N ) + f (b0N ) − f (a1 ) ≥ −2−N + f (b) − f (a0 ),
f (bk ) − f (ak+1 ) = f (bk ) − f (b0k ) + f (b0k ) − f (ak+1 ) ≥ −2−k + 0.
 5

λ(ak , bk ] ≥ − + f (b) − f (a0 ). Let  → 0 and a0 → a.

P
Combining, k 
• Let f be an increasing function that is right continuous on [a, b], and let g
be a bounded Borel measurable function on [a, b]. If the Riemann-Stieltjes
Rb
integral a gd f exists, then
Z Z b
g dΛ f = g d f.
(a,b] a

Proof. Let Γ = {x j } be a partition of [a, b], and let m j and M j be the inf and
sup of g in [x j−1 , x j ]. Let
X   X  
LΓ = m j f (x j ) − f (x j−1 ) , UΓ = M j f (x j ) − f (x j−1 ) .
Define g1 and g2 by setting g1 = m j and g1 = M j in (x j−1 , x j ]. Since f is right
continuous, we have
Z Z
g1 dΛ = LΓ , g1 dΛ = UΓ .
(a,b] (a,b]
R
Since g1 ≤ g ≤ g2 , we obtain LΓ ≤ (a,b]
g dΛ ≤ UΓ .