本讲座介绍了如何将S上的σ-加性测度μ唯一扩展到A(S)，即代数由S生成，进一步将其唯一扩展到F(S)上的σ-加性测度π。定义了外测度π∗，证明了π∗是外测度，且存在包含A的σ-代数M，使得π∗在M上是σ-加性的，同时在A上的π∗等于ν。此外，还讨论了π∗在M上的σ-可加性和其唯一性。
In last lecture, we have shown we have a unique way of extending μ \mu μ, σ \sigma σ-additive defined in a semi-algebra S \mathscr{S} S to ν \nu ν, σ \sigma σ-additive defined in an algebra A ( S ) \mathcal{A}(\mathscr{S}) A(S), algebra generated by S \mathscr{S} S
In this lecture, we will show how this could be extended uniquely to π \pi π, σ \sigma σ-additive defined in a sigma-algebra F ( S ) \mathscr{F}(\mathscr{S}) F(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 ∃ M ⊆ S ( Ω ) \mathscr{M}\subseteq \mathcal{S}(\Omega) M⊆S(Ω) is a σ \sigma σ-algebra and contains algbera A \mathcal{A} A, then π ∗ ∣ M \pi^*|_\mathscr{M} π∗∣M is σ \sigma σ-additive, and π ∗ ∣ A = ν \pi^*|_\mathcal{A}=\nu π∗∣A=ν
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≥1ν(Ei), where E i ∈ A , A ⊆ ∪ i E i E_i\in\mathcal{A},A\subseteq\cup_i E_i Ei∈A,A⊆∪iEi
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
- μ ( ∅ ) = 0 \mu(\empty)=0 μ(∅)=0
- E ⊆ F ∈ C ⇒ μ ( E ) ≤ μ ( F ) E\subseteq F\in\mathcal{C}\Rightarrow \mu(E)\le\mu(F) E⊆F∈C⇒μ(E)≤μ(F)
- E , E i ∈ C , E ⊆ ∪ E i ⇒ μ ( E ) ≤ ∑ i μ ( E i ) E, E_i\in\mathcal{C}, E\subseteq\cup E_i \Rightarrow\mu(E)\le\sum_i\mu(E_i) E,Ei∈C,E⊆∪Ei⇒μ(E)≤∑iμ(Ei)
CLAIM π ∗ \pi^* π∗ is an outer measure.
(1) π ∗ ( ∅ ) = 0 \pi^*(\empty)=0 π∗(∅)=0
Note π ∗ ( ∅ ) ≤ ν ( ∅ ) = 0 \pi^*(\empty)\le\nu(\empty)=0 π∗(∅)≤ν(∅)=0, as ∅ ⊆ ∅ \empty\subseteq\empty ∅⊆∅
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≥1ν(Ei)≥0
(2) E ⊆ F ∈ C ⇒ π ∗ ( E ) ≤ π ∗ ( F ) E\subseteq F\in\mathcal{C}\Rightarrow \pi^*(E)\le\pi^*(F) E⊆F∈C⇒π∗(E)≤π∗(F)
Any covering of F must be an covering of E
(3) E , E i ∈ C , E ⊆ ∪ E i ⇒ π ∗ ( E ) ≤ ∑ i π ∗ ( E i ) E, E_i\in\mathcal{C}, E\subseteq\cup E_i \Rightarrow \pi^*(E)\le\sum_i \pi^*(E_i) E,Ei∈C,E⊆∪Ei⇒π∗(E)≤∑iπ∗(Ei)
- WLOG assume π ∗ ( E i ) < ∞ , ∀ i \pi^*(E_i) < \infty, \forall i π∗(Ei)<∞,∀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≥1ν(Hk)<∞
Fix ϵ > 0 \epsilon > 0 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 ∑ k ≥ 1 ν ( H i , k ) ≤ π ∗ ( E i ) + ϵ / 2 i \sum_{k\ge1} \nu(H_{i,k}) \le \pi^*(E_i)+\epsilon/2^i ∑k≥1ν(Hi,k)≤π∗(Ei)+ϵ/2i
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⊆∪iEi⊆∪i∪k{ Hi,k}, by def π ∗ ( E ) ≤ ∑ i ∑ k ν ( H i , k ) ≤ ∑ i π ∗ ( E i ) + ϵ \pi^*(E) \le \sum_i\sum_k\nu(H_{i,k})\le\sum_i \pi^*(E_i)+\epsilon π∗(E)≤∑i∑kν(Hi,k)≤∑iπ∗(Ei)+ϵ
By arbitrariness of ϵ \epsilon ϵ, we have proved π ∗ ( E ) ≤ ∑ i π ∗ ( E i ) \pi^*(E)\le\sum_i \pi^*(E_i) π∗(E)≤∑iπ∗(Ei)
STEP2 Define M \mathscr{M} M such that, ∀ A ∈
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