Measure Theory (3): set functions

Definitions

μ : C → R + ∪ { ∞ } \mu:\mathcal{C}\to\mathbb{R}_+\cup\{\infty\} μ:C→R+​∪{∞}
DEF

• $\mu$ is continuous from below at E if ∀ { E i } i ≥ 1 , E i ∈ C , E n ↑ E \forall \{E_i\}_{i\ge1},E_i \in\mathcal{C}, E_n\uparrow E ∀{Ei​}i≥1​,Ei​∈C,En​↑E and
  $\mu (E_n)\to \mu (E)$

• $E_n\uparrow E$ means $E_n\subseteq E_{n+1}$ and ${\cup }_{i\ge 1}{E}_i=E$
• $\mu (E_n)\to \mu (E)$ means $\mu (E)={\lim }_{n\to \infty }\mu (E_n)$

• $\mu$ is continuous from above at E if ∀ { E i } i ≥ 1 , E i ∈ C , E n ↓ E ,  and  ∃ n 0 , s . t . μ ( E n 0 ) < ∞ \forall \{E_i\}_{i\ge1},E_i \in\mathcal{C}, E_n\downarrow E, \text{ and } \exists n_0, s.t.\mu(E_{n_0})<\infty ∀{Ei​}i≥1​,Ei​∈C,En​↓E, and ∃n0​,s.t.μ(En0​​)<∞ and
  $\mu (E_n)\to \mu (E)$

• $E_n\downarrow E$ means $E_n\supseteq E_{n+1}$ and ${\cap }_{i\ge 1}{E}_i=E$
• To illustrate the “finiteness starting from some index condition”, consider $E_n:=[n,\infty )$, then $E_n\downarrow \varnothing$ yet $\mu (E_n)\nrightarrow 0$

LEMMA $\mathcal{A}$ is an algebra, $\mu$ is additive
(1) $\mu$ is sigma-additive $\Rightarrow \mu$ is continuous
(2) $\mu$ is continuous from below $\Rightarrow \mu$ is sigma-additive
(3) $\mu$ is continuous from above at $\varnothing \text{ and finite }\Rightarrow \mu$ is sigma-additive

Proof:
(1) sigma-additive $\Rightarrow$ continuous from below: Suppose ∀ { E i } i ≥ 1 , E i ∈ C , E n ↑ E \forall \{E_i\}_{i\ge1},E_i \in\mathcal{C}, E_n\uparrow E ∀{Ei​}i≥1​,Ei​∈C,En​↑E, define $F_n:=E_n\backslash E_{n-1},n\ge 2,F_1:=E_1$,
then $\mu (E)=\mu ({\sum }_{i\ge 1}{F}_i)={\sum }_{i\ge 1}\mu (F_i)={\lim }_{n\to \infty }{\sum }_{i=1}^n\mu (F_i)={\lim }_{n\to \infty }\mu (E_n)$

(1) sigma-additive $\Rightarrow$ continuous from above: Suppose ∀ { E i } i ≥ 1 , E i ∈ C , E n ↓ E , μ ( E n 0 ) < ∞ \forall \{E_i\}_{i\ge1},E_i \in\mathcal{C}, E_n\downarrow E,\mu(E_{n_0})<\infty ∀{Ei​}i≥1​,Ei​∈C,En​↓E,μ(En0​​)<∞
Define $G_1:=E_{n_0}\backslash E_{n_0+1}$
$G_k:=E_{n_0}\backslash E_{n_0+k}$
$\therefore G_k\uparrow E_{n_0}\backslash E$
$\therefore \mu (G_k)\to \mu (E_{n_0}\backslash E)$ by continuous from below
So $\mu (E_{n_0}\backslash E)={\lim }_{k\to \infty }\mu (E_{n_0}\backslash E_{n_0+k})={\lim }_{k\to \infty }\mu (E_{n_0})-\mu (E_{n_0+k})$

(2): $\Rightarrow \mu$ continuous from below $\Rightarrow \mu$ is sigma-additive
Let $E={\sum }_{i\ge 1}{E}_i,E,E_k\in \mathcal{A}$
Observe that $\mu ({\sum }_{i=1}^n{E}_i)={\sum }_{i=1}^n\mu (E_i)\le \mu (E)$ so ${\sum }_{i\ge 1}\mu (E_i)\le \mu (E)$ (This holds by additivity)
Let $F_n={\sum }_{k=1}^n{E}_i$, then $F_n\uparrow E$, by continuous from below, $\mu (F_n)\uparrow \mu (E)$.
That is $\mu (E)={\lim }_{n\to \infty }\mu (F_n)={\lim }_{n\to \infty }{\sum }_{i=1}^n\mu (E_i)={\sum }_{i\ge 1}\mu (E_i)$ Thus proved the sigma additivity

(3): $\mu$ is continuous from above at $\varnothing \text{ and finite }\Rightarrow \mu$ is sigma-additive
Proof: $\mu$ continuous from above at $\varnothing$, $\mu (\Omega )<\infty$
Consider $E={\sum }_{i\ge 1}{E}_i,E,E_k\in \mathcal{A}$
Let $F_n={\sum }_{i\ge n}{E}_i\in \mathcal{A}$ as $F_n=E\backslash ({\sum }_{i=1}^{n-1}{E}_i)$
Since $F_n\downarrow \varnothing ,\mu (F_i)<\infty$ So $\mu (F_n)\to 0$
$\mu (E)=\mu ({\sum }_{k=1}^n{E}_k\cup {\sum }_{k>n}{E}_k)={\sum }_{k=1}^n\mu (E_k)+\mu (F_{n+1})$ Take limit we get sigma additivity.

Example: $\Omega =(0,1),\text{ element in alebra is of the form }(a,b],0\le a<b<1$
Define $\mu ((a,b])=\infty \text{ if }a=0\text{ else }b-a$, we have seen $\mu$ is additive yet not sigma-additive.
39:30 这个example想说明什么？
Why NOT sigma-additive? Because it is NOT finite!
It is not continuous from above. Consider $E_n\downarrow \varnothing$, $E_n=(a_{n,1},b_{n,1}]\cup (a_{n,2},b_{n,2}]\cup ...\cup (a_{n,k},b_{n,k}]$ with $a_{n,j}<a_{n,j+1}$. Then if
(1) $a_{m,1}>0,\exists m$ then $\mu$ is sigma-additive;
(2) $a_{m,1}=0,\forall m$

Extension

THM1
S ⊂ S ( Ω ) , μ : S → R + ∪ { ∞ } \mathscr{S}\subset\mathcal{S}(\Omega), \mu:\mathscr{S}\to\mathbb{R}_+\cup\{\infty\} S⊂S(Ω),μ:S→R+​∪{∞} additive
Then ∃ ν : a ( S ) → R + ∪ { ∞ } \exists\nu:a(\mathscr{S})\to\mathbb{R}_+\cup\{\infty\} ∃ν:a(S)→R+​∪{∞}, algebra generated by the semi-algebra, such that $\nu$ is:

1. Additive
2. $\nu (A)=\mu (A),\forall A\in \mathcal{S}$
3. If μ 1 , μ 2 : a ( S ) → R + ∪ { ∞ } \mu_1,\mu_2: a(\mathscr{S})\to\mathbb{R}_+\cup\{\infty\} μ1​,μ2​:a(S)→R+​∪{∞} and ${\mu }_1(A)={\mu }_2(A),\forall A\in \mathcal{S}\text{ and }{\mu }_1,{\mu }_2\text{ additive }\Rightarrow {\mu }_1(A)={\mu }_2(A),\forall A\in a(\mathcal{S})$

Proof: If $A\in a(\mathcal{S})$, algebra generated by semi-algebra, then $A={\sum }_{j=1}^n{E}_j,E_j\in \mathcal{S}$ [Remark: this is a special property of algebra generated by semi-algebra]
Define $\nu (A):={\sum }_{j=1}^n\mu (E_j)$ (Because we want $\nu (A){=}^{add}{\sum }_{j=1}^n\nu (E_j){=}^{extension}{\sum }_{j=1}^n\mu (E_j)$

Assertion: 1) $\nu$ is well-defined 2) $\nu$ is additive 3) $\nu$ is unique
For 1): (If A has two representation, does $\nu$ give the same output?)
If $A={\sum }_{j=1}^n{E}_j={\sum }_{k=1}^m{F}_k,E_j,F_k\in \mathcal{S}$
$E_j\subseteq A={\sum }_{k=1}^m{F}_k$ so $E_j=E_j\cap {\sum }_{k=1}^m{F}_k={\sum }_{k=1}^m{E}_j\cap F_k$
So $\mu (E_j)={\sum }_{k=1}^m\mu (E_j\cap F_k)$
Therefore, $\nu (A)={\sum }_{j=1}^n\mu (E_j)={\sum }_{j=1}^n{\sum }_{k=1}^m\mu (E_j\cap F_k){=}^{similarly}{\sum }_{k=1}^m\mu (F_k)$
For 2): If $A={\sum }_{j=1}^m{E}_j,B={\sum }_{k=1}^m{F}_k$, where $E_j,F_k\in \mathcal{S}$ and $A\cap B=\varnothing$ want to show $\nu (A\cup B)=\nu (A)+\nu (B)$ [follows from definition]
Also, need to show $\nu (A)=\mu (A),\forall A\in \mathcal{S}$. [Note $A=A,A\in \mathcal{S}$]
For 3): (Uniqueness) $\forall B\in a(\mathcal{S})$, so $B={\sum }_{j=1}^n{E}_j,E_j\in \mathcal{S}$.
${\mu }_1(B)={\sum }_{j=1}^n{\mu }_1(E_j)={\sum }_{j=1}^n{\mu }_2(E_j)={\mu }_2(B)$

THM2
S ⊂ S ( Ω ) , μ : S → R + ∪ { ∞ } \mathscr{S}\subset\mathcal{S}(\Omega), \mu:\mathscr{S}\to\mathbb{R}_+\cup\{\infty\} S⊂S(Ω),μ:S→R+​∪{∞} $\sigma$-additive
Then ∃ ν : a ( S ) → R + ∪ { ∞ } \exists\nu:a(\mathscr{S})\to\mathbb{R}_+\cup\{\infty\} ∃ν:a(S)→R+​∪{∞}, algebra generated by the semi-algebra, such that $\nu$ is:

1. $\sigma$-additive
2. $\nu (A)=\mu (A),\forall A\in \mathcal{S}$
3. If μ 1 , μ 2 : a ( S ) → R + ∪ { ∞ } \mu_1,\mu_2: a(\mathscr{S})\to\mathbb{R}_+\cup\{\infty\} μ1​,μ2​:a(S)→R+​∪{∞} and ${\mu }_1(A)={\mu }_2(A),\forall A\in \mathcal{S}\text{ and }{\mu }_1,{\mu }_2,\sigma \text{-additive }\Rightarrow {\mu }_1(A)={\mu }_2(A),\forall A\in a(\mathcal{S})$

$A={\sum }_{j\ge 1}{A}_j,A,A_j\in \mathcal{A}(\mathcal{S})$
WTS $\nu (A)={\sum }_{j\ge 1}\nu (A_j)$
By property, $A={\sum }_{j=1}^n{E}_j,E_j\in \mathcal{S}$
Also $A_k={\sum }_{l=1}^{m_k}{E}_{k,l},E_{k,l}\in \mathcal{S}$.
by def $\nu (A)={\sum }_{j=1}^n\mu (E_j)$
$E_j=E_j\cap A=E_j\cap ({\sum }_{k\ge 1}{A}_k)=E_j\cap ({\sum }_{k\ge 1}{\sum }_{l=1}^{m_k}{E}_{k,l})={\sum }_{k\ge 1}{\sum }_{l=1}^{m_k}{E}_j\cap E_{k,l}$
By $\sigma$-additive of $\mu$, $\mu (E_j)={\sum }_{k\ge 1}{\sum }_{l=1}^{m_k}\mu (E_j\cap E_{k,l})$
Therefore, $\nu (A)={\sum }_{j=1}^n\mu (E_j)={\sum }_{j=1}^n{\sum }_{k\ge 1}{\sum }_{l=1}^{m_k}\mu (E_j\cap E_{k,l})$
Note $\nu (A_k)={\sum }_{l=1}^{m_k}\mu (E_{k,l})$
$E_{k,l}=E_{k,l}\cap A={\cup }_{j=1}^n{E}_{k,l}\cap E_j$
So $\mu (E_{k,l})={\cup }_{j=1}^n\mu (E_{k,l}\cap E_j)$
So $\nu (A)={\sum }_{k\ge 1}{\sum }_{l=1}^{m_k}\mu (E_{k,l})={\sum }_{k\ge 1}\nu (A_k)$