Measure Theory (4): Caratheodory theorem

In last lecture, we have shown we have a unique way of extending $\mu$, $\sigma$-additive defined in a semi-algebra $\mathcal{S}$ to $\nu$, $\sigma$-additive defined in an algebra $\mathcal{A}(\mathcal{S})$, algebra generated by $\mathcal{S}$
In this lecture, we will show how this could be extended uniquely to $\pi$, $\sigma$-additive defined in a sigma-algebra $\mathcal{F}(\mathcal{S})$

Will Define π ∗ : S ( Ω ) → R + ∪ { ∞ } \pi^*: \mathcal{S}(\Omega)\to \mathbb{R}_+\cup\{\infty\} π∗:S(Ω)→R+​∪{ ∞}
It is an outer measure: $\exists$ $\mathcal{M}\subseteq \mathcal{S}(\Omega )$ is a $\sigma$-algebra and contains algbera $\mathcal{A}$, then ${\pi }^{\ast }{|}_{\mathcal{M}}$ is $\sigma$-additive, and ${\pi }^{\ast }{|}_{\mathcal{A}}=\nu$

STEP1 DEFINE π ∗ : S ( Ω ) → R + ∪ { ∞ } \pi^*: \mathcal{S}(\Omega)\to \mathbb{R}_+\cup\{\infty\} π∗:S(Ω)→R+​∪{ ∞} such that ∀ A ∈ Ω , π ∗ ( A ) : = inf ⁡ { E i } ∑ i ≥ 1 ν ( E i ) \forall A\in\Omega, \pi^*(A):=\inf_{\{E_i\}}\sum_{i\ge1}\nu(E_i) ∀A∈Ω,π∗(A):=inf{ Ei​}​∑i≥1​ν(Ei​), where $E_i\in \mathcal{A},A\subseteq {\cup }_i{E}_i$

DEF (Outer measure) μ : C ⊆ S ( Ω ) → R + ∪ { ∞ } \mu:\mathcal{C}\subseteq \mathcal{S}(\Omega)\to\mathbb{R}_+\cup \{\infty\} μ:C⊆S(Ω)→R+​∪{ ∞} such that

1. $\mu (\varnothing )=0$
2. $E\subseteq F\in \mathcal{C}\Rightarrow \mu (E)\le \mu (F)$
3. $E,E_i\in \mathcal{C},E\subseteq \cup E_i\Rightarrow \mu (E)\le {\sum }_i\mu (E_i)$

CLAIM ${\pi }^{\ast }$ is an outer measure.

(1) ${\pi }^{\ast }(\varnothing )=0$
Note ${\pi }^{\ast }(\varnothing )\le \nu (\varnothing )=0$, as $\varnothing \subseteq \varnothing$
On the other hand, inf ⁡ { E i } ∑ i ≥ 1 ν ( E i ) ≥ 0 \inf_{\{E_i\}}\sum_{i\ge1}\nu(E_i)\ge0 inf{ Ei​}​∑i≥1​ν(Ei​)≥0
(2) $E\subseteq F\in \mathcal{C}\Rightarrow {\pi }^{\ast }(E)\le {\pi }^{\ast }(F)$
Any covering of F must be an covering of E
(3) $E,E_i\in \mathcal{C},E\subseteq \cup E_i\Rightarrow {\pi }^{\ast }(E)\le {\sum }_i{\pi }^{\ast }(E_i)$

• WLOG assume ${\pi }^{\ast }(E_i)<\infty ,\forall i$
• π ∗ ( E i ) = inf ⁡ { H k } , E i ∑ k ≥ 1 ν ( H k ) < ∞ \pi^*(E_i)=\inf_{\{H_k\}, E_i}\sum_{k\ge1} \nu(H_k) < \infty π∗(Ei​)=inf{ Hk​},Ei​​∑k≥1​ν(Hk​)<∞
  Fix $ϵ>0$, ∀ i , ∃ { H i , k } \forall i, \exists \{H_{i,k}\} ∀i,∃{ Hi,k​} such that ∪ k { H i , k } ⊇ E i \cup_k\{H_{i,k}\}\supseteq E_i ∪k​{ Hi,k​}⊇Ei​ and ${\sum }_{k\ge 1}\nu (H_{i,k})\le {\pi }^{\ast }(E_i)+ϵ/2^i$
  So E ⊆ ∪ i E i ⊆ ∪ i ∪ k { H i , k } E\subseteq \cup_i E_i \subseteq \cup_i\cup_k\{H_{i,k}\} E⊆∪i​Ei​⊆∪i​∪k​{ Hi,k​}, by def ${\pi }^{\ast }(E)\le {\sum }_i{\sum }_k\nu (H_{i,k})\le {\sum }_i{\pi }^{\ast }(E_i)+ϵ$
  By arbitrariness of $ϵ$, we have proved ${\pi }^{\ast }(E)\le {\sum }_i{\pi }^{\ast }(E_i)$

STEP2 Define $\mathcal{M}$ such that, ∀ A ∈