MEASURE THEORY DAY4

DARYL DEFORD

Abstract. Lecture notes day 4. Caratheodory’s theorem. I am taking a few

liberties with the section numbering that she introduced in class in order to
fit the topics better.

1. Caratheodory
Theorem 1 (Caratheodory’s Theorem). Let µ∗ be an outer measure on a set X
and let M be the set of µ∗ measurable sets. Then, M really is a σ−Algebra . Even
better, µ∗ |M is a complete measure on X.
Proof. i) If A, B and A ∪ B ∈ M and A ∩ B = ∅ then
µ∗ (A ∪ B) = µ∗ (A) + µ∗ (B).
This is really easy to show from the properties of M .
ii) We now show that M is a σ−Algebra : Obviously, M is non-empty and ∅ ∈ M ,
closure under complements is easy to see from the symmetry of the condition
for all sets in M ((A ∩ E) + (Ac ∩ E)). Thus, we need to show closure under
countable unions.
We begin with the finite case. Suppose that A, B ∈ M . Let E ⊂ X. We
want to show that µ∗ (E) = µ∗ (A ∩ E) + µ∗ (Ac ∩ E).
Luckily, we can simply follow our noses through an increasingly complex set
of squiggly inequalities:

µ∗ (E) = µ∗ (A ∩ E) + µ∗ (Ac ∩ E) (1.1)

= µ∗ (B ∩ E) + µ∗ (B c ∩ E) (1.2)
≥ µ∗ (E ∩ A) + µ∗ (E ∩ Ac ∩ B) + µ∗ (E ∩ Ac ∩ B) (1.3)
∗ ∗ c
= µ ((A ∪ B) ∩ E) + µ ((A ∪ B) ∩ E) (1.4)
As previously mentioned, the ≤ case follows from the properties of µ∗ . Thus,
we have proved that M is an algebra. To show that it is a σ−Algebra we need
countable unions. For that we need the following lemma.
S∞
Lemma 1. Suppose that A ⊂ P(X)is an algebra and that i=1 Ai ∈ A when-
ever the Ai are mutually disjoint, then A is a σ−Algebra .
Proof. Let {Ei } be any countable collection in A. We want to find a mutually
disjoint set that is equivalent to the union of the Ei . Define An = En ∩ (E1 ∪

Date: September 21, 2013.

1
2 DARYL DEFORD

E2 ∪ · · · En−1 )c . Then An ∈ A since A is an algebra and these are finite

operations. Then, the An are mutually disjoint and
[ [
En = An ∈ A
n n

Now we will show that A is a σ−Algebra . S

Let {Ai } be a disjoint union in M . We want to show that B = j Aj ∈ M .
Sn
Let Bn be the partial unions Bn = j=1 Aj . We now want to show that for
E ⊂ X we have µ∗ (B ∩ E) + µ∗ (B c ∩ E).
Obviously, the Bn ∈ M since it is a finite union. Then,
µ∗ (E) = µ∗ (Bn ∩ E) + µ∗ (Bnc ∩ E)
and
µ∗ (E ∩ Bn ) = µ∗ (E ∩ Bn ∩ An ) + µ∗ (E ∩ An ) + µ∗ (E ∩ Bn−1 )
Continue this process inductively to obtain:
n
X
µ∗ (E) = µ∗ (E ∩ An ) + µ∗ (E ∩ Bnc )
j=1

which is greater than or equal to:

n
X
µ∗ (E ∩ An ) + µ∗ (E ∩ B c )
j=1

B is the countable union of Aj , thus we can replace the sum by:

µ∗ (E) ≥ µ∗ (B ∩ E) + µ∗ (B c ∩ E)
and hence M is a σ−Algebra .
iii) At this point we are essentially done with the proof. The last step also proves
countable additivity by taking E to be the union of the Aj . (think about it)
iv) Completeness. Suppose A ∈ M with µ(A) = 0 and some subset C of A. Let
E be arbitrarily selected. Then,
µ∗ (C ∩ E) + µ∗ (C c ∩ E) ≤ µ∗ (E)
and no more thought is required (monotone everything). We have actually
proved the even stronger statement that any µ∗ null set is measurable under
µ.


2. Premeasures
Fist some notation, recall that the outer measure µ∗ induced by ρ : P(X) →
[0, ∞].
Let (E, ρ) be properly defined. We say that ρ is a premeasure if E is an algebra
and that forPany collection of disjoint sets in E whose union is also in E we have
ρ(∩j Aj ) = j ρ(Aj ).
 MEASURE THEORY NOTES 4 3

These are the reasonable measures that don’t lose relevant informationas we
make the transition towards measurehood. Next time, we will prove a formal char-
acterization of this fact.
Department of Mathematics, Dartmouth College
E-mail address: ddeford@math.dartmouth.edu