Measure Theory (4): Caratheodory theorem

最新推荐文章于 2023-12-11 12:48:36 发布

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最新推荐文章于 2023-12-11 12:48:36 发布 · 493 阅读

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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 $μ\mu$ , $σ\sigma$ -additive defined in a semi-algebra $S\mathscr{S}$ to $ν\nu$ , $σ\sigma$ -additive defined in an algebra $A(S)\mathcal{A}(\mathscr{S})$ , algebra generated by $S\mathscr{S}$
In this lecture, we will show how this could be extended uniquely to $π\pi$ , $σ\sigma$ -additive defined in a sigma-algebra $F(S)\mathscr{F}(\mathscr{S})$

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

STEP1 DEFINE $∞}\pi^*: \mathcal{S}(\Omega)\to \mathbb{R}_+\cup\{\infty\}$ such that $Ei}∑i≥1ν(Ei)\forall A\in\Omega, \pi^*(A):=\inf_{\{E_i\}}\sum_{i\ge1}\nu(E_i)$ , where $Ei∈A,A⊆∪iEiE_i\in\mathcal{A},A\subseteq\cup_i E_i$

DEF (Outer measure) $∞}\mu:\mathcal{C}\subseteq \mathcal{S}(\Omega)\to\mathbb{R}_+\cup \{\infty\}$ such that

$μ(∅)=0\mu(\empty)=0$
$E⊆F∈C⇒μ(E)≤μ(F)E\subseteq F\in\mathcal{C}\Rightarrow \mu(E)\le\mu(F)$
$E_i\in\mathcal{C}, E\subseteq\cup E_i \Rightarrow\mu(E)\le\sum_i\mu(E_i)$

CLAIM $π∗\pi^*$ is an outer measure.

(1) $π∗(∅)=0\pi^*(\empty)=0$
Note $π∗(∅)≤ν(∅)=0\pi^*(\empty)\le\nu(\empty)=0$ , as $∅⊆∅\empty\subseteq\empty$
On the other hand, $Ei}∑i≥1ν(Ei)≥0\inf_{\{E_i\}}\sum_{i\ge1}\nu(E_i)\ge0$
(2) $E⊆F∈C⇒π∗(E)≤π∗(F)E\subseteq F\in\mathcal{C}\Rightarrow \pi^*(E)\le\pi^*(F)$
Any covering of F must be an covering of E
(3) $E_i\in\mathcal{C}, E\subseteq\cup E_i \Rightarrow \pi^*(E)\le\sum_i \pi^*(E_i)$

WLOG assume $π∗(Ei)<∞,∀i\pi^*(E_i) < \infty, \forall i$

$Hk},Ei∑k≥1ν(Hk)<∞\pi^*(E_i)=\inf_{\{H_k\}, E_i}\sum_{k\ge1} \nu(H_k) < \infty$
Fix $ϵ>0\epsilon > 0$ , $Hi,k}\forall i, \exists \{H_{i,k}\}$ such that $Hi,k}⊇Ei\cup_k\{H_{i,k}\}\supseteq E_i$ and $∑k≥1ν(Hi,k)≤π∗(Ei)+ϵ/2i\sum_{k\ge1} \nu(H_{i,k}) \le \pi^*(E_i)+\epsilon/2^i$
So $Hi,k}E\subseteq \cup_i E_i \subseteq \cup_i\cup_k\{H_{i,k}\}$ , by def $π∗(E)≤∑i∑kν(Hi,k)≤∑iπ∗(Ei)+ϵ\pi^*(E) \le \sum_i\sum_k\nu(H_{i,k})\le\sum_i \pi^*(E_i)+\epsilon$
By arbitrariness of $ϵ\epsilon$ , we have proved $π∗(E)≤∑iπ∗(Ei)\pi^*(E)\le\sum_i \pi^*(E_i)$

STEP2 Define $M\mathscr{M}$ such that, $∀A∈M,∀E∈Ω,π∗(E)=π∗(E∩A)+π∗(E∩Ac)\forall A\in\mathscr{M}, \forall E\in \Omega, \pi^*(E) = \pi^*(E\cap A) + \pi^*(E \cap A^c)$