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Foundations of Quantitative
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Foundations of Quantitative Finance
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Robert R. Reitano
Book II: Probability Spaces and Random Variables
Robert R. Reitano
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Robert R. Reitano
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Book V: General Measure and Integration Theory
Robert R. Reitano
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Foundations of Quantitative
Finance
Book V: General Measure and
Integration Theory
Robert R. Reitano
Brandeis International Business School
Waltham, MA
First edition published 2024
by CRC Press
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Title: Foundations of quantitative finance. Book V, General measure and
integration theory / Robert R. Reitano.
Other titles: General measure and integration theory
Description: First edition. | Boca Raton, FL : CRC Press, 2024. | Series:
Chapman & Hall/CRC financial mathematics series | Includes
bibliographical references and index.
Identifiers: LCCN 2023038707 | ISBN 9781032206516 (hardback ; vol. 5) |
ISBN 9781032206509 (paperback ; vol. 5) | ISBN 9781003264576 (ebook ;
vol. 5)
Subjects: LCSH: Finance--Mathematical models. | Integration, Functional.
Classification: LCC HG106 .R4485 2023 | DDC 332.01/5195--dc23/eng/20230907
LC record available at https://lccn.loc.gov/2023038707
ISBN: 978-1-032-20651-6 (hbk)

ISBN: 978-1-032-20650-9 (pbk)
ISBN: 978-1-003-26457-6 (ebk)
DOI: 10.1201/9781003264576
Typeset in CMR10 font

by KnowledgeWorks Global Ltd.
to Michael, David, and Jeffrey
Taylor & Francis
Taylor & Francis Group
http://taylorandfrancis.com
Contents
Preface xi
Author xiii
Introduction xv
1 Measure Spaces 1
1.1 Lebesgue and Borel Spaces on R . . . . . . . . . . . . . . . . . . . . . . . . 5
1.1.1 Starting Points . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5
1.1.2 Lebesgue Measure Space . . . . . . . . . . . . . . . . . . . . . . . . . 6
1.1.3 Borel Measure Spaces . . . . . . . . . . . . . . . . . . . . . . . . . . 7
1.2 General Extension Theory . . . . . . . . . . . . . . . . . . . . . . . . . . . 8
1.3 Measure Space Constructions . . . . . . . . . . . . . . . . . . . . . . . . . . 11
1.3.1 Finite Products of Measure Spaces . . . . . . . . . . . . . . . . . . . 11
1.3.2 Borel Measures on Rn . . . . . . . . . . . . . . . . . . . . . . . . . . 12
1.3.3 Infinite Products of Probability Spaces . . . . . . . . . . . . . . . . . 14
1.4 Continuity of Measures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15
2 Measurable Functions 17
2.1 Properties of Measurable Functions . . . . . . . . . . . . . . . . . . . . . . 19
2.2 Limits of Measurable Functions . . . . . . . . . . . . . . . . . . . . . . . . 22
2.3 Results on Function Sequences . . . . . . . . . . . . . . . . . . . . . . . . . 24
2.4 Approximating σ(X)-Measurable Functions . . . . . . . . . . . . . . . . . . 26
2.5 Monotone Class Theorems . . . . . . . . . . . . . . . . . . . . . . . . . . . 31
2.5.1 Monotone Class Theorem . . . . . . . . . . . . . . . . . . . . . . . . 32
2.5.2 Functional Monotone Class Theorem . . . . . . . . . . . . . . . . . . 34
3 General Integration Theory 36

3.1 Integrating Simple Functions . . . . . . . . . . . . . . . . . . . . . . . . . . 37
3.2 Integrating Nonnegative Measurable Functions . . . . . . . . . . . . . . . . 41
3.2.1 Fatou’s Lemma . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 46
3.2.2 Lebesgue’s Monotone Convergence Theorem . . . . . . . . . . . . . . 49
3.2.3 Properties of Integrals . . . . . . . . . . . . . . . . . . . . . . . . . . 52
3.2.4 Product Space Measures Revisited . . . . . . . . . . . . . . . . . . . 55
3.3 Integrating General Measurable Functions . . . . . . . . . . . . . . . . . . 57
3.3.1 Properties of Integrals . . . . . . . . . . . . . . . . . . . . . . . . . . 59
3.3.2 Beppo Levi’s Theorem . . . . . . . . . . . . . . . . . . . . . . . . . . 62
3.3.3 Lebesgue’s Dominated Convergence Theorem . . . . . . . . . . . . . 63
3.3.4 Bounded Convergence Theorem . . . . . . . . . . . . . . . . . . . . . 66
3.3.5 Uniform Integrability Convergence Theorem . . . . . . . . . . . . . . 67
3.4 Leibniz Integral Rule . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 69
vii
viii Contents
3.4.1 Riemann Integrals . . . . . . . . . . . . . . . . . . . . . . . . . . . . 70

3.4.2 Lebesgue/Lebesgue-Stieltjes Integrals . . . . . . . . . . . . . . . . . 74
3.5 Lebesgue-Stieltjes vs. Riemann-Stieltjes Integrals . . . . . . . . . . . . . . . 76
3.5.1 Lebesgue-Stieltjes Integrals on R . . . . . . . . . . . . . . . . . . . . 76
3.5.2 Lebesgue-Stieltjes Integrals on Rn . . . . . . . . . . . . . . . . . . . 79
4 Change of Variables 84
4.1 Change of Measure: A Special Case . . . . . . . . . . . . . . . . . . . . . . 85
4.1.1 Measures Defined by Integrals . . . . . . . . . . . . . . . . . . . . . . 85
4.1.2 Integrals and Change of Measure . . . . . . . . . . . . . . . . . . . . 89
4.2 Transformations and Change of Measure . . . . . . . . . . . . . . . . . . . 92
4.2.1 Measures Induced by Transformations . . . . . . . . . . . . . . . . . 92
4.2.2 Change of Variables under Transformations . . . . . . . . . . . . . . 95
4.3 Special Cases of Change of Variables . . . . . . . . . . . . . . . . . . . . . 99
4.3.1 Lebesgue Integrals on R . . . . . . . . . . . . . . . . . . . . . . . . . 99
4.3.2 Linear Transformations on Rn . . . . . . . . . . . . . . . . . . . . . 102
4.3.3 Differentiable Transformations on Rn . . . . . . . . . . . . . . . . . . 106
5 Integrals in Product Spaces 117

5.1 Product Space Sigma Algebras . . . . . . . . . . . . . . . . . . . . . . . . . 117
5.1.1 Sigma Algebra Constructions . . . . . . . . . . . . . . . . . . . . . . 117
5.1.2 Implications for Chapter Results . . . . . . . . . . . . . . . . . . . . 120
5.2 Preliminary Results . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 123
5.2.1 Introduction to Fubini/Tonelli Theorems . . . . . . . . . . . . . . . 123
5.2.2 Integrals of Characteristic Functions . . . . . . . . . . . . . . . . . . 123
5.3 Fubini’s Theorem . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 128
5.3.1 Generalizing Fubini’s Theorem . . . . . . . . . . . . . . . . . . . . . 130
5.3.2 Fubini’s Theorem on σ 0 (X × Y ) . . . . . . . . . . . . . . . . . . . . 131
5.4 Tonelli’s Theorem . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 134
5.4.1 Tonelli’s Theorem on σ 0 (X × Y ) . . . . . . . . . . . . . . . . . . . . 135
5.5 Examples . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 136
6 Two Applications of Fubini/Tonelli 140

6.1 Lebesgue-Stieltjes Integration by Parts . . . . . . . . . . . . . . . . . . . . 140
6.1.1 Functions of Bounded Variation . . . . . . . . . . . . . . . . . . . . . 141
6.1.2 Lebesgue-Stieltjes integration by parts . . . . . . . . . . . . . . . . . 145
6.2 Convolution of Integrable Functions . . . . . . . . . . . . . . . . . . . . . . 147
7 The Fourier Transform 152

7.1 Integration of Complex-Valued Functions . . . . . . . . . . . . . . . . . . . 152
7.2 Fourier Transforms . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 155
7.3 Properties of Fourier Transforms . . . . . . . . . . . . . . . . . . . . . . . . 158
7.4 Fourier-Stieltjes Inversion of φF (t) . . . . . . . . . . . . . . . . . . . . . . . 165
7.5 Fourier Inversion of Integrable φF (t) . . . . . . . . . . . . . . . . . . . . . . 170
7.5.1 Integrability vs. Decay at ±∞ . . . . . . . . . . . . . . . . . . . . . 170
7.5.2 Fourier Inversion: From Integrable φF (t) to f (x) . . . . . . . . . . . 172
7.6 Continuity Theorem for Fourier Transforms . . . . . . . . . . . . . . . . . . 174
Contents ix
8 General Measure Relationships 180

8.1 Decomposition of Borel Measures on (R, B(R), m) . . . . . . . . . . . . . . 180
8.2 Decomposition of σ-Finite Measures . . . . . . . . . . . . . . . . . . . . . . 185
8.2.1 Signed Measures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 186
8.2.2 The Hahn and Jordan Decompositions . . . . . . . . . . . . . . . . . 188
8.2.3 The Radon-Nikodým Theorem . . . . . . . . . . . . . . . . . . . . . 191
8.2.4 The Lebesgue Decomposition Theorem . . . . . . . . . . . . . . . . . 200
9 The Lp Spaces 204

9.1 Introduction to Banach Spaces . . . . . . . . . . . . . . . . . . . . . . . . . 204
9.2 The Lp (X)-Spaces . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 210
9.3 Approximating Lp (X)-Functions . . . . . . . . . . . . . . . . . . . . . . . . 218
9.4 Bounded Linear Functionals on Lp (X)-Spaces . . . . . . . . . . . . . . . . 219
9.5 Hilbert Space: A Special Case of p = 2 . . . . . . . . . . . . . . . . . . . . 225
References 231
Index 235
Taylor & Francis
Preface
The idea for a reference book on the mathematical foundations of quantitative finance has
been with me throughout my professional and academic careers in this field, but the com-
mitment to finally write it didn’t materialize until completing my introductory quantitative
finance book in 2010.
My original academic studies were in pure mathematics in a field of mathematical anal-
ysis, and neither applications generally nor finance in particular were then even on my
mind. But on completion of my degree, I decided to temporarily investigate a career in ap-
plied math, becoming an actuary, and in short order became enamored with mathematical
applications in finance.
One of my first inquiries was into better understanding yield curve risk management, ulti-
mately introducing the notion of partial durations and related immunization strategies. This
experience led me to recognize the power of greater precision in the mathematical specifica-
tion and solution of even an age-old problem. From there my commitment to mathematical
finance was complete, and my temporary investigation into this field became permanent.
In my personal studies, I found that there were a great many books in finance that
focused on markets, instruments, models, and strategies, which typically provided an in-
formal acknowledgment of the background mathematics. There were also many books on
mathematical finance focusing on more advanced mathematical models and methods, and
typically written at a level of mathematical sophistication requiring a reader to have signif-
icant formal training and the time and motivation to derive omitted details.
The challenge of acquiring expertise is compounded by the fact that the field of quanti-
tative finance utilizes advanced mathematical theories and models from a number of fields.
While there are many good references on any of these topics, most are again written at
a level beyond many students, practitioners and even researchers of quantitative finance.
Such books develop materials with an eye to comprehensiveness in the given subject matter,
rather than with an eye toward efficiently curating and developing the theories needed for
applications in quantitative finance.
Thus the overriding goal I have for this collection of books is to provide a complete and
detailed development of the many foundational mathematical theories and results one finds
referenced in popular resources in finance and quantitative finance. The included topics
have been curated from a vast mathematics and finance literature for the express purpose
of supporting applications in quantitative finance.
I originally budgeted 700 pages per book, in two volumes. It soon became obvious
this was too limiting, and two volumes ultimately turned into ten. In the end, each book
was dedicated to a specific area of mathematics or probability theory, with a variety of
applications to finance that are relevant to the needs of financial mathematicians.
My target readers are students, practitioners, and researchers in finance who are quanti-
tatively literate and recognize the need for the materials and formal developments presented.
My hope is that the approach taken in these books will motivate readers to navigate these
details and master these materials.
Most importantly for a reference work, all 10 volumes are extensively self-referenced.
The reader can enter the collection at any point of interest, and then using the references
xi
xii Preface
cited, work backward to prior books to fill in needed details. This approach also works for
a course on a given volume’s subject matter, with earlier books used for reference, and for
both course-based and self-study approaches to sequential studies.
The reader will find that the developments herein are presented at a much greater level
of detail than most advanced quantitative finance books. Such developments are of necessity
typically longer, more meticulously reasoned, and therefore can be more demanding on the
reader. Thus before committing to a detailed line-by-line study of a given result, it can be
more efficient to first scan the derivation once or twice to better understand the overall logic
flow.
I hope the scope of the materials, and the additional details presented, will support your
journey to better understanding.
I am grateful for the support of my family: Lisa, Michael, David, and Jeffrey, as well as
the support of friends and colleagues at Brandeis International Business School.
Robert R. Reitano
Brandeis International Business School
Author
Robert R. Reitano is Professor of the Practice of Finance at the Brandeis International

Business School where he specializes in risk management and quantitative nance. He pre-
viously served as MSF Program Director, and Senior Academic Director. He has a PhD in
mathematics from MIT, is a fellow of the Society of Actuaries, and a Chartered Enterprise
Risk Analyst. Dr. Reitano consults in investment strategy and asset/liability risk manage-
ment, and previously had a 29-year career at John Hancock/Manulife in investment strategy
and asset/liability management, advancing to Executive Vice President & Chief Investment
Strategist. His research papers have appeared in a number of journals and have won an
Annual Prize of the Society of Actuaries and two F.M. Redington Prizes of the Investment
Section of the Society of the Actuaries. Dr. Reitano serves on various not-for-prot boards
and investment committees.
xiii
Taylor & Francis
Introduction
Foundations of Quantitative Finance is structured as follows:

Book I: Measure Spaces and Measurable Functions
Book II: Probability Spaces and Random Variables
Book III: The Integrals of Riemann, Lebesgue, and (Riemann-)Stieltjes
Book IV: Distribution Functions and Expectations
Book V: General Measure and Integration Theory
Book VI: Densities, Transformed Distributions, and Limit Theorems
Book VII: Brownian Motion and Other Stochastic Processes
Book VIII: Itô Integration and Stochastic Calculus 1
Book IX: Stochastic Calculus 2 and Stochastic Differential Equations
Book X: Classical Models and Applications in Finance
The series is logically sequential. Books I, III, and V develop foundational mathematical
results needed for the probability theory and finance applications of Books II, IV, and
VI, respectively. Books VII, VIII, and IX then develop results in the theory of stochastic
processes. While these latter three books introduce ideas from finance as appropriate, the
final realization of the applications of these stochastic and other models to finance is deferred
to Book X.
This Book V, General Measure and Integration Theory, generalizes the results of Books
I and III on these respective topics. Because the Book I development is so foundational to
the materials of this book, Chapter 1 sets out to review the key ideas and results that will be
needed. Beginning with the definitional framework of measure spaces and the Lebesgue and
Borel measure constructions, the general extension theory is then summarized and applied
to the constructions of finite product measure spaces, general Borel measure spaces on Rn ,
and finally to infinite dimensional product probability spaces.
The study of measurable functions is undertaken in Chapter 2. Following the develop-
ment of a number of basic properties, the measurability of various limits of measurable
functions is established, as is the approximation of measurable functions with simple func-
tion sequences. These approximations will be essential in the development of an integration
theory. As in Book III, deeper properties can be derived from simpler results and appropri-
ate limiting processes. An important tool is developed next, known as the monotone class
theorem. After properties of monotone classes and their relationships to sigma algebras
are developed, the important functional monotone class theorem is derived. This theorem
provides a powerful approach to verify, through a sequence of simpler steps, that a given
statement or identity applies to all bounded measurable functions.
Lebesgue-Steiltjes integration theory is developed in Chapter 3, largely following the
approach and results of the Lebesgue development of Book III in this more abstract set-
ting. Starting with simple functions, the approach is axiomatic in that the integrals of such
functions are defined and shown to be consistent. The sequential approach of the Lebesgue
theory is streamlined somewhat, omitting the development of integrals of bounded measur-
able functions and instead initiating the generalization from simple functions to nonnegative
measurable functions. Key results for bounded functions are instead developed in the exer-
cises and later in the chapter. Important “integration to the limit” results are derived for
xv
xvi Introduction
the integrals of nonnegative functions, including Fatou’s lemma and Lebesgue’s monotone
convergence theorem, which are then instrumental in the development of the properties of
such integrals. As an application of this theory, a Chapter I.7 result is generalized, address-
ing countable additivity of the set function defined on measurable rectangles of product
measure spaces.
This integration theory is then applied to derive integrals of general measurable func-
tions and their properties, along with the integration to the limit results of Beppo-Levi’s
theorem and Lebesgue’s dominated convergence theorem. The bounded convergence theo-
rem is then derived, as is an integration to the limit result not seen in Book III, called the
uniform integrability convergence theorem. The Leibniz integral rule on the derivatives of
parametrically defined integrals is then studied, generalizing the result of the Riemann the-
ory of Book III. The chapter ends with a discussion of when the Lebesgue-Stieltjes integrals
of this chapter agree with the Riemann-Stieltjes integrals of Book III.
Chapter 4 develops various results on change of variables in Lebesgue-Stieltjes integrals.
The first investigation is fundamental in probability theory and addresses integrals whose
measures are defined by integrals of measurable functions with respect to other measures.
In probability theory, for example, this measure would be the Borel measure on R induced
by the density function of a given random variable.
A more general realization of this idea is studied next, related to measurable transfor-
mations and their induced measures on range spaces. Integrals on the domain and range
spaces can then be related using this transformation and related measures. Special cases
of transformations are then studied in detail, beginning with linear transformations on Rn ,
and then turning to continuously differentiable transformations.
Integrals on product spaces are studied in Chapter 5. The key question is, echoing a Rie-
mann result of Book III, when can a multiple integral be evaluated using so-called iterated
integrals, which integrate one variable at a time? Such results prove to be related to the
product space sigma-algebra used, whereby the choices contrasted are the complete sigma
algebra and the smallest sigma algebra that contains the defining algebra. In large measure,
the results look quite similar, but there are details related to the need to qualify certain
statements with “almost everywhere.” The fundamental results here are then Fubini’s the-
orem, applicable to integrable functions, and Tonelli’s theorem, applicable to nonnegative
measurable functions. Examples from earlier books are then used to illustrate the theory,
though the next two chapters find deeper applications.
In Chapter 6, the first application of the Chapter 5 theory is to Lebesgue-Stieltjes
integration by parts. For this, the notion of a “signed measure” is introduced and seen to
possess all the properties of a measure other than nonnegativity. The integration theory is
then developed for such measures when induced by functions of bounded variation, echoing
the Riemann-Stieltjes work of Book III. The second application of the Chapter V theory
is to the study of the integrability of the convolution of integrable functions, proving that
such functions are indeed integrable.
The theory of Fourier transforms is developed in Chapter 7, a theory that will have
its most important applications in Book VI in the guise of characteristic functions. After
introducing the notion of the integral of complex-valued functions, the Fourier transform of
integrable functions and finite Borel measures is defined and various properties developed. In
particular, there are key connections between the decay at infinity of a function (or measure)
and the differentiability of its Fourier transform. Conversely, there are connections between
the existence and integrability of the derivatives of a function and the rate of decay at
infinity of its Fourier transform.
Fourier inversion is then studied, whereby one recovers the measure from its Fourier
transform, or, recovers the integrable function in the case where this transform is integrable.
Finally, a continuity theory is studied, which addresses the connection between the weak
Introduction xvii
convergence of probability measures and the pointwise convergence of their Fourier trans-
forms. An application to Poisson’s limit theorem is made, while the more powerful applica-
tions are deferred to Book VI.
Chapter 8 investigates general measure relationships and various decompositions of mea-
sures vis-a-vis other measures. The chapter begins with an example of the decomposition of
a Borel measure on R into measures that have characteristic properties relative to Lebesgue
measure. These characteristic properties are then generalized, whereby given a measure µ
we identify what it means for other measures to be absolutely continuous, or, mutually sin-
gular, relative to µ. To generalize the Borel decomposition, the signed measures introduced
in Chapter 6 are now studied in some detail. Various results are developed, such as the
Hahn decomposition, which address the positive and negative sets underlying a signed mea-
sure, and the Jordan decomposition, which decomposes a signed measure into a difference
of measures.
Perhaps the most famous and useful result on relationships between measures is the
Radon-Nikodým theorem. It states that if a measure υ is absolutely continuous with re-
spect to a measure µ, then υ is given by the µ-integral of a measurable function. This key
result will have an important application in Chapter 9, and then in the stochastic pro-
cess studies of Books VII–IX. The chapter ends with the Lebesgue decomposition theorem,
which generalizes the chapter’s Borel example to σ-finite measures.
The final Chapter 9 investigates Banach spaces, adding to their introduction in Book
III by studying the so-called Lp spaces of variously integrable or bounded measurable func-
tions, and their properties. Bounded linear functionals on Lp spaces are investigated and
characterized by the Riesz representation theorem, which is proved with the aid of the
Radon-Nikodým theorem. The special space of L2 , which is a Hilbert space, is addressed.
I hope this book and the other books in the collection serve you well.
Notation 0.1 (Referencing within FQF Series) To simplify the referencing of results
from other books in this series, we use the following convention.
A reference to “Proposition I.3.33” is a reference to Proposition 3.33 of Book I, while
“Chapter III.4” is a reference to Chapter 4 of Book III, and “II.(8.5)” is a reference to
formula (8.5) of Book II, and so forth.
Taylor & Francis
1
Measure Spaces
This chapter summarizes some of the more important results from Book I on the various
constructions of a measure space (X, σ(X), µ). The importance of such constructions is
twofold:
• The requirements for a measure space (X, σ(X), µ) are quite demanding and, in fact,
so demanding that it is not immediately clear that such objects even exist.
• Given general existence, a measure space with particular properties will often be re-
quired. What if any restrictions are needed on these properties to ensure existence? For
example, can we create a measure on R so that the measure of any interval [a, b] is given
by f (b) − f (a) for a given function f ?
For existence, the space X is generally a collection of points, sometimes with other
special properties, but any set X can in theory be used. By Definitions I.2.1 and I.2.5, the
sigma algebra σ(X) is a collection of subsets of X with the following properties:
Definition 1.1 (Algebra of sets, sigma algebra) A collection A of sets from a space
X is called a algebra of sets on X:
S
1. If A ∈ A and B ∈ A, then the union A B ∈ A where:
[
A B ≡ {x|x ∈ A or x ∈ B}.
2. If A ∈ A, then A
e ∈ A, where the complement of A is defined:
e ≡ {x ∈ X|x ∈
A / A}.
The complement of A is also denoted Ac .
A collection σ(X) of sets from a space X is called a sigma algebra on X if σ(X) is
an algebra of sets, and:
S∞
3. If {Ai }∞
i=1 ⊂ σ(X), then i=1 Ai ∈ σ(X).
Thus algebras are closed under finite unions and complementation, and also finite inter-
sections by De Morgan’s laws of Exercise I.2.2. A sigma algebra is closed under countable
unions, and thus again countable intersections. In addition, algebras, and hence also sigma
algebras,
Smust contain X and the empty set ∅. For example, A ∈ A implies A e ∈ A and thus
both A A e = X ∈ A and A T A e = ∅ ∈ A.
The existence of algebras and sigma algebras can be demonstrated starting with any
collection of sets. Such a collection then obtains both an algebra and a sigma algebra by
defining A as the smallest algebra that contains this collection, and σ(X) as the smallest
such sigma algebra. This construction works because by Proposition I.2.8, the intersection
of any collection of algebras is an algebra, and similarly for sigma algebras. To ensure that
we do not have a vacuous intersection in this construction, note that the power set P(X),
which contains all subsets of X, is one such algebra and sigma algebra.
An important example of such constructions are the Borel sigma algebras.
DOI: 10.1201/9781003264576-1 1
2 Measure Spaces
Example 1.2 (Borel sigma algebra) By Definition I.2.13, the Borel sigma algebra
n
B(R ) on Rn is the smallest sigma algebra that contains the open sets of Rn . More generally,
if X is a topological space (Definition 1.5), the Borel sigma algebra B(X) is defined as the
smallest sigma algebra on X that contains all the open sets as defined by the topology T
on X.
By De Morgan’s laws, Borel sigma algebras can also be defined as the smallest sigma
algebras that contain the closed sets, but the above formulation is conventional.
Example 1.3 (Semi-algebra, algebra, and sigma algebra generated by E) Gene-

ralizing Example 1.2, if E is any collection of subsets of a space X, then the smallest algebra
A(E) and smallest sigma algebra σ(E) that contain E, are well-defined. The same is true
for the smallest semi-algebra A0 (E). See Definition 1.14.
It is also common to refer to these collections as the semi-algebra, algebra, and sigma
algebra generated by E.
Recall the definition of open and closed sets. For more background on open and closed
sets in various contexts, see Chapter 4 of Reitano (2010) or Section III.4.3.2, and also
Dugundji (1970) or Gemignani (1967).
Definition 1.4 (Open sets in R, Rn , and metric X) A set E ⊂ R is called open if for
any x ∈ E there is an open interval containing x that is also contained in E. In other words,
there exists 1 , 2 > 0 so that (x − 1 , x + 2 ) ⊂ E. There is no loss of generality by requiring
1 = 2 .
A set E ⊂ Rn is called open if for any x ∈ E there is an open ball Br (x) about x of
radius r > 0:
Br (x) ≡ {y| |x − y| < r},
so that Br (x) ⊂ E. Here |x − y| denotes the standard metric on Rn :
hXn i1/2
2
|x − y| ≡ (xi − yi ) .
i=1
More generally, if X is a metric space with metric d, a set E ⊂ X is called open if for
any x ∈ E there is an open ball Br (x) about x of radius r > 0:
Br (x) = {y|d(x, y) < r},
so that Br (x) ⊂ E.
In all cases, a set F is called closed if Fe, the complement of F, is open.
The above notions of an open set reflect the natural metric |·| on R and Rn , where
d(x, y) ≡ |x − y| , or more generally a metric d on a space X. For more on metrics, see the
above references and Section III.4.3.1.
Open sets can also be defined without metrics, and this notion allows one to then define
a continuous function. See Proposition 2.10.
Definition 1.5 (Topology) A topology on a set X is a collection of subsets, denoted by

T and called the “open sets,” so that:
1. ∅, X ∈ T ;
2. If {Aα }α∈I S ⊂ T , where the index set I is arbitrary (finite, countably infinite, uncount-
able), then α∈I Aα ∈ T ;
Tn
3. If {Ai }ni=1 ⊂ T , then i=1 Ai ∈ T .
Measure Spaces 3
Exercise 1.6 (Natural topology on Rn ) Prove that the collection of open sets on R, as
defined in Definition 1.4, is a topology on R, and then generalize to Rn . These topologies are
often referred to as the natural topologies on R and Rn , and also the Euclidean topolo-
gies. The same result is true for the metric space (X, d), and this is called the topology
induced by the metric d. Hint: Recall Definition III.4.39 for definitional properties of
metrics.
Returning to the existence question for a measure space (X, σ(X), µ), since it is relatively
easy to construct various (X, σ(X)) pairs, the real question of existence relates to the
existence of a measure µ on σ(X). Recalling Definition I.2.23:
Definition 1.7 (Measure space) Let X be a set and σ(X) a sigma algebra of subsets of
X. A measure µ on X is a nonnegative set function defined on σ(X), taking values in
+
the nonnegative extended real numbers R ≡ R+ ∪{∞}, and which satisfies the following
properties:
1. µ(∅) = 0;
2. Countable Additivity: If {Ai }∞i=1 is aT
countable collection of pairwise disjoint sets
in the sigma algebra σ(X), meaning Aj Ak = ∅ if j 6= k, then:
[∞ X∞
µ Ai = µ (Ai ) . (1.1)
i=1 i=1
In such a case, the sets in σ(X) are said to be measurable, and sometimes µ-
measurable, and the triplet (X, σ(X), µ) is called a measure space.
Definition 1.8 (Lebesgue, Borel measure spaces) For these special measure spaces, a
third requirement is added:
• For Lebesgue measure µ ≡ m and X = R, Definition I.2.21 also adds the

following requirement:
3. For any interval I ≡ ha, bi , whether open, closed, or semi-closed,
m(I) = |I| = b − a,
the length of I.
By the construction in Section I.7.6, this criterion
Qn generalizes for Lebesgue measure on
Rn , that for any measurable rectangle R ≡ i=1 hai , bi i , whether such intervals are
open, closed, or semi-closed:
Yn
m(R) = |R| = (bi − ai ) ,
i=1
the volume of R.
n
• For a Borel measure µ, X = Rn and σ(X) = B(R ), and Definitions I.5.1 and
I.8.4 add the requirement:
n
3’. For any compact set A ∈ B(R ), µ(A) < ∞.
As noted above, while it is relatively easy to construct a sigma algebra on given set, it
is by no means apparent how one then defines a measure on this sigma algebra.
4 Measure Spaces
Remark 1.9 (Additional properties of measures) A few comments on the above def-
initions:
• Lebesgue translation invariance: For Lebesgue measure, it follows from item 3 that
m is translation invariant on intervals:
m(I) = m(I + x),
where I + x ≡ {x + y|y ∈ I} for any x. This property is then satisfied for all Lebesgue
measurable sets on R by Propositions I.2.28 and I.2.35, and analogously generalizes to
Rn by the construction of Chapter I.7.
• Borel measures: The notion of a Borel measure is not standardized, and it is not
uncommon to see other restrictions added in place of item 3’, such as the inner and
outer regularity properties of Proposition I.5.29. Measure spaces that also satisfy item
3’ are often called Radon measures, after Johann Radon (1887–1956).
• Finite additivity: Setting Ai = ∅ for i > n in (1.1), it follows from this definition that
all measures also satisfy finite additivity for pairwise disjoint sets:
[n Xn
µ Ai = µ (Ai ) . (1.2)
i=1 i=1
• Monotonicity: Measures are monotonic, which means that if A ⊂ B with both mea-
surable, then:
µ (A) ≤ µ (B) . (1.3)
S
This follows from finite additivity since B = A (B − A) as a disjoint union.
• Subadditivity: When {Ai }N i=1 is a finite (N < ∞) or countable (N = ∞) collection of

not necessarily pairwise disjoint sets in the sigma algebra σ(X), then a measure µ is
in general subadditive:
[ X
N N
µ Ai ≤ µ (Ai ) . (1.4)
i=1 i=1
This follows from

Sm Proposition
Sm I.2.20 that there exists pairwise disjoint {A0i }N
i=1 with
0 0
Ai ⊂ Ai and i=1 Ai = i=1 Ai for all m. Thus (1.4) follows from finite/countable
additivity and monotonicity.
The existence of measures is more readily justified when X has a finite or countable
number of points.
Exercise 1.10 (Finite/countable X) Verify that if X is a finite or countable set, then

one can construct a measure space (X, P(X), µ), where P(X) is the power set of X, defined
to contain all subsets of X. Hint: If X = {xi }ni=1 let µ(xi ) = 1/n, if X = {xi }∞
i=1 let
µ(xi ) = 2−n , then µ(X) = 1, and such measures are called probability measures and
(X, σ(X), µ) is called a probability space.
For uncountable sets X, the construction is of necessity more subtle and sometimes ob-
tains surprising results. In the next section, we review the special constructions of Lebesgue
and Borel measure spaces of Chapters I.2 and I.5. We then summarize the general construc-
tion theory of Chapter I.6, and in the following section, recall Book I applications of this
general framework to various special constructions.
Lebesgue and Borel Spaces on R 5
1.1 Lebesgue and Borel Spaces on R

Chapters I.2 and I.5 derived Lebesgue measure on R and then Borel measures on R. Each of
these derivations is summarized below, but suffice to say that they were fairly long, requiring
a number of both detailed and subtle steps toward the final result. While somewhat different
in their starting points and approaches, there was a certain redundancy in their development.
And frankly, that was the point of dedicating two chapters to these important derivations,
to illustrate that even with different starting points and objectives, many of the steps in
the construction of a measure were very similar.
Being the first development of its kind, the Lebesgue construction is really the special
case. Structurally, the Borel constructions introduced the framework that was generalized
and abstracted in Chapter I.6.
1.1.1 Starting Points

Both constructions started with a special collection of sets and a rudimentary definition of
the measure of such sets, and then an extension to the power sigma algebra P (R) of all
subsets of R using the notion of an outer measure.
• Lebesgue: The collection of sets is the open intervals G ≡ {(a, b)}, and the measure of
I = (a, b), denoted |I| , is defined as interval length:
|I| = b − a. (1.5)
If A ∈ P (R) , the Lebesgue outer measure of A, denoted m∗ (A), is defined in I.(2.4):

nX [ o
m∗ (A) = inf |In | A ⊂ In , , (1.6)
n n
where each In is an open interval, and |In | denotes its interval length.
• Borel: The collection of sets is the right semi-closed intervals A0 ≡ {(a, b]}, and the
measure of I = (a, b], denoted |I|F , is defined as the F -length of the interval:
|I|F = F (b) − F (a) , (1.7)
where F (x) is an increasing, right continuous function.

If A ∈ P (R) , the Borel outer measure of A, denoted µ∗F (A), is defined in I.(5.8):
nX [ o
µ∗A (A) = inf µA (An ) | A ⊂ An , (1.8)
n n
where An ∈ A and µA (An ) is F -length and defined in (1.7).

Here, A is defined as the collection of all finite disjoint unions of sets from A0 , and thus
µ∗A (A) can be equally well defined with all An ∈ A0 . In the next section, it will be seen
that for general constructions, we use the collection A.
The big question now becomes:

Can measures be created which extend the rudimentary notions of measure on G-sets
and A0 -sets to sigma algebras which contain these special sets, and if so, how?
6 Measure Spaces
1.1.2 Lebesgue Measure Space

Henri Lebesgue (1875–1941) wrote a collection of papers in the late 1800s and early 1900s
that collectively created the foundational Lebesgue measure space (R, M (R) , m) and an
associated integration theory.
When studying the Lebesgue development for the first time, many would likely expect
that the final result from the above starting point would be that m∗ is a measure on P (R) .
After all, it seems like the perfect generalization of interval length to more general sets,
defining m∗ (A) as the minimum of the total lengths of all “covers” of A by open intervals.
This is reinforced by the results of Proposition I.2.28 that m∗ is translation invariant, and
for any interval I, whether open, closed, or semi-closed, that m∗ (I) = |I| .
But this proves not to be. Remarkably, a construction was developed in 1905 by
Giuseppe Vitali (1875–1932) using the axiom of choice. Background details on this ax-
iom of set theory and Vitali’s construction can be found in Section I.2.3. He demonstrated
that the interval [0, 1] could be expressed as a countable disjoint union of translations of a
given set A0 : [∞
Aj = [0, 1],
j=0
and then by translation invariance derived that all such sets must have the same outer
measure.
This construction completely crushes any hope that m∗ is countably additive. Indeed,
it follows that depending on whether m∗ (A0 ) = 0 or m∗ (A0 ) > 0:
X∞
m∗ (Aj ) ∈ {0, ∞}.
j=1
∗
But in no case can it be that m ([0, 1]) = 1.
∗
P∞As m∗ is countably subadditive by Proposition I.2.29, it follows that m∗ (A0 ) > 0 and
∗
j=1 m (Aj ) = ∞. It then follows from this that m is not even finitely additive. So, the
problem here is even more serious than it first appears.
We are left with two possibilities:
1. There is a Lebesgue measure on P (R), but it is not m∗ ;

2. The set function m∗ is a Lebesgue measure, but on a smaller sigma algebra than P (R) .
There is no hope for item 1, since any proposal will encounter the Vitali construction.
To pursue item 2, there are two conventional approaches to identify the sets in P (R) on
which m∗ is indeed a measure, and these are discussed in Section I.2.4. The approach used
there was one that generalizes well to other constructions.
In Definition I.2.33, the approach of Constantin Carathéodory (1873–1950) was used,
an approach he developed for the general theory of outer measures.
Definition 1.11 (Lebesgue measurable set) A set A ⊂ R is said to be Lebesgue mea-

surable if it satisfies the Carathéodory criterion, that for any set E ⊂ R :
\ \
m∗ (E) = m∗ A E + m∗ A e E . (1.9)
The collection of Lebesgue measurable sets is denoted ML ≡ ML (R).
Thus by Carathéodory’s criterion, a set A will be deemed to be Lebesgue measurable

if A and its complement A e can be used to split any set E in a way that preserves finite
additivity of m∗ into two subsets. By Proposition I.2.36, the satisfaction of this criterion is
sufficient to ensure finite additivity generally, so m∗ is thus finitely additive on ML (R).
Lebesgue and Borel Spaces on R 7
It was then proved in a series of results culminating in Proposition I.2.39 that ML (R)
is a sigma algebra that contains the intervals and hence the Borel sigma algebra B(R), and
that m∗ is a Lebesgue measure on this sigma algebra. Lebesgue measure m is then defined
on ML (R) by:
m ≡ m∗ ,
and (R, ML (R), m) is a Lebesgue measure space.
It was also proved that ML (R) is a complete sigma algebra, and thus (R, ML (R), m)
is a complete measure space. See Definition 1.16. As noted above, ML (R) contains the
intervals, and m agrees with the specification in (1.5) on this collection.
An important corollary of the definition of the outer measure m∗ in (1.6) is that Lebesgue
measurable sets can be approximated well with open sets, and various classes of sets defined
using open sets. See Propositions I.2.42 for approximations, and I.2.43 for regularity of
Lebesgue measure.
1.1.3 Borel Measure Spaces

Borel measures and the associated measure spaces are named for Émile Borel (1871–1956),
an early pioneer in measure theory and probability theory. In many ways resembling the
Lebesgue construction of Chapter I.2, Borel measures on R are constructed in Chapter
I.5. Beginning with a study of such measures, it is proved in Proposition I.5.7 that every
Borel measure µ on R induces an increasing, right continuous function Fµ (x) on R with the
property that for all right semi-closed intervals (a, b]:
µ [(a, b]] = Fµ (b) − Fµ (a). (1.10)
To create a Borel measure space, it thus makes sense to investigate if any such increasing
and right continuous function F (x) can be used to induce a Borel measure µF . Indeed, the
answer is in the affirmative. Initially defining the set function F -length on right semi-closed
intervals (a, b] by (1.7), which is now compelled by (1.10), a series of results extends this
set function.
The first extension is to a set function µA on the algebra A, constructed as the collection
of all finite disjoint unions of right semi-closed intervals. This extension is defined additively
by disjointness. In Proposition I.5.13, µA proves to be a measure on this algebra.
Definition 1.12 (Measure on an algebra) A measure on an algebra, sometimes

called a pre-measure on an algebra, is a nonnegative, extended real-valued set func-
tion µ defined on an algebra A with the properties that:
1. µ(∅) = 0,
2. Countable Additivity: If {Aj }∞
j=1 is a countable collection of pairwise disjoint sets
S∞
in A with j=1 Aj ∈ A, then:
[ ∞ X∞
µ Aj = µ (Aj ) . (1.11)
j=1 j=1
An outer measure µ∗A is introduced as in (1.8), and as in the Lebesgue case, we utilize
the Carathéodory criterion in Definition I.5.16:
Definition 1.13 (Carathéodory measurability w.r.t. µ∗A ) Let F (x) be an increasing,

right continuous function and µ∗A the outer measure induced by µA as in (1.8). A set A ⊂ R
8 Measure Spaces
is Carathéodory measurable with respect to µ∗A , or simply µ∗A measurable, if for

any set E ⊂ R :
µ∗A (E) = µ∗A (A ∩ E) + µ∗A (A
e ∩ E). (1.12)
The collection of µ∗A measurable sets is denoted MµF (R).
It was proved in a series of results culminating in Proposition I.5.23 that MµF (R) is a
sigma algebra that contains the algebra A and hence the Borel sigma algebra B(R), and
that µ∗A is a Borel measure on this sigma algebra. The Borel measure µF is then defined on
MµF (R) by:
µF ≡ µ∗A ,

and R, MµF (R), µF is a Borel measure space.
It was also proved that MµF (R) is a complete sigma algebra, and thus
R, MµF (R), µF is a complete measure space. See Definition 1.16. Further, A ⊂ MµF (R)
as noted above, and µF agrees with the specification in (1.7) on A.
An important corollary of the definition of the outer measure µ∗A in (1.6) is that sets
in MµF (R) can be approximated well with various classes of sets defined using right semi-
closed intervals. See Proposition I.5.26 and Remark I.5.27 for approximations and why these
appear to differ structurally from the Lebesgue approximations, and Proposition I.5.29 for
regularity of Borel measures.
1.2 General Extension Theory

While the Lebesgue and Borel constructions had a lot of similarities, the latter development
better lends itself to generalization. The Lebesgue approach began with the class of open
intervals, so any generalization to a general set X almost certainly requires X to at least
have a topology so that the notion of “open” makes sense. The Borel approach starts with
the collection of right semi-closed intervals {(a, b]}, which superficially looks quite similar
to the collection of open intervals. However, this collection is different enough that one can
easily create an algebra A, and from this algebra, a sigma algebra is then “just” one step
away.
Chapter I.6 exploits these structures within the Borel development, first identifying the
essential property of the collection {(a, b]}, which allowed the simple step to an associated
algebra A.
Definition 1.14 (Semi-algebra of sets) A collection A0 of sets from a space X is called

a semi-algebra of sets on X:
1. If A01 , A02 ∈ A0 , then A01 A02 ∈ A0 , and thus this holds by induction for all finite
T
intersections.
f0 = Sn A0 .
2. If A0 ∈ A0 , then there exists disjoint {A0j }nj=1 ⊂ A0 so that A j=1 j
The collection A0 = A, an algebra, if in place of item 2 we have:
2’. If A ∈ A then A
e ∈ A.
The collection {(a, b]} is a semi-algebra, and by Exercise I.6.10, every semi-algebra A0
generates an algebra A defined as the collection of all finite disjoint unions of A0 -sets. This
General Extension Theory 9
implies that if we can define a set function on such a semi-algebra A0 , that the extension to
a measure on A will follow additively as in the Borel case.
Next, the notion of an outer measure is introduced. This definition captured the key
properties of the above special definitions that supported the conclusion that the collection
of Carathéodory measurable sets is a sigma algebra, and that µ∗ restricted to this
collection is a measure.
Definition 1.15 (Outer measure) Given a set X, a set function µ∗ defined on the power
sigma algebra σ(P (X)) of all subsets of X is an outer measure if:
1. µ∗ (∅) = 0.
2. Monotonicity: For sets A ⊂ B :
µ∗ (A) ≤ µ∗ (B).
3. Countable Subadditivity: Given a countable collection {Aj }∞

j=1 :
[ ∞ X∞
µ∗ Aj ≤ µ∗ (Aj ).
j=1 j=1
This definition looks nothing like the outer measure definitions in (1.6) and (1.8). But
it can be noted that the first results developed after the Book I introductions of m∗ and
µ∗A were to establish that these outer measures had the above properties. Further, these
properties were essential in the subsequent developments.
The results seen in the Borel development are then completely generalized in a series of
Chapter I.6 results, which worked backward starting with the Carathéodory extension
theorem 1 of Proposition I.6.2 and named for Constantin Carathéodory (1873–1950). It
asserts that outer measures always obtain complete measure spaces by the Carathéodory
criterion.
Definition 1.16 (Complete measure space) A measure space (X, σ(X), µ) is com-
plete if for any A ∈ σ(X) with µ(A) = 0, then B ∈ σ(X) for all B ⊂ A. It then follows by
monotonicity of measures that µ(B) = 0 for all such B.
Equivalently, if A, C ∈ σ(X) with µ(A) = µ(C), then B ∈ σ(X) for all C ⊂ B ⊂ A, and
then µ(B) = µ(A) for all such B.
Proposition 1.17 (Carathéodory extension theorem 1) Let µ∗ be an outer measure

defined on a set X. Denote by C(X) the collection of all subsets of σ(P (X)) that are
Carathéodory measurable with respect to µ∗ . That is, A ∈ C(X) if for all E ∈ σ(P (X)):
µ∗ (E) = µ∗ (A ∩ E) + µ∗ (A
e ∩ E). (1.13)
Then C(X) is a complete sigma algebra.

Further, if µ denotes the restriction of µ∗ to C(X), then µ is a measure, and thus
(X, C(X), µ) is a complete measure space.
The Hahn-Kolmogorov extension theorem of Proposition I.6.4 is named for Hans

Hahn (1879–1934) and Andrey Kolmogorov (1903–1987). It asserts that from a measure
on an algebra, one can always induce an outer measure defined exactly as in (1.8), and thus
a complete measure space by the above Carathéodory result. Specifically, given a measure
µA on an algebra A, we define the associated outer measure µ∗A on A ∈ P (X) by:
nX [ o
µ∗A (A) = inf µA (An ) | A ⊂ An , A n ∈ A . (1.14)
n n
10 Measure Spaces
Proposition 1.18 (Hahn–Kolmogorov extension theorem) Let A be an algebra of

sets on X and µA a measure on A in the sense of Definition 1.12. Then, µA gives rise to
an outer measure µ∗A on σ(P (X)) such that µ∗A (A) = µA (A) for all A ∈ A. In addition,
there exists a complete sigma algebra C(X) with A ⊂ C(X), and µ ≡ µ∗A is a measure on
C(X).
Thus, (X, C(X), µ) is a complete measure space and µ(A) = µA (A) for all A ∈ A.
The Hahn-Kolmogorov extension theorem then obtains approximations of C(X)-sets
by various collections derived from A-sets in Proposition I.6.5, exactly as in the Borel case.
The final step relates to the creation of a measure on an algebra. In the Borel case we
began with the notion of F -length in (1.7) defined on A0 , and generalized this definition to
A additively. Definition I.6.6 introduced the notion of a pre-measure on a collection of sets,
which we restrict here to a pre-measure on a semi-algebra A0 . It is an exercise to check that
F -length satisfies this definition.
Definition 1.19 (Pre-measure on a semi-algebra) Given a semi-algebra of sets A0 , a
set function µ0 : A0 → [0, ∞] is a pre-measure if:
1. Either: ∅ ∈ A0 and µ0 (∅) = 0, or:
Sn
10 . Finite additivity: If {Aj }nj=1 ⊂ A0 is a disjoint finite collection of sets and j=1 Aj ∈
A0 , then: [ n Xn
µ0 Aj = µ0 (Aj );
j=1 j=1
and:
2. Countable additivity: If {An }∞ 0
j=1 ⊂ A is a disjoint countable collection of sets and
S∞ 0
j=1 An ∈ A , then: [ ∞ X∞
µ0 Aj = µ0 (Aj ).
j=1 j=1
The final existence result of Proposition I.6.13 is again attributable to Constantin

Carathéodory (1873–1950).
Proposition 1.20 (Carathéodory extension theorem 2) Let A0 be a semi-algebra
and µ0 a pre-measure on A0 . Then, µ0 can be extended to a measure µA on the algebra
A, defined as the collection of all finite disjoint unions of sets in A0 , including ∅, if neces-
sary.
Beyond the existence theory summarized above, there is an associated uniqueness theory
of Proposition I.6.14 for sigma-finite measure spaces. Recall Definition I.5.34:
Definition 1.21 (σ-finite measure space) The measure space (X, σ(X), µ) is said to be
sigma finite, or σ-finite, if there exists a countable collection {Bj }∞ j=1 ⊂ σ(X) with
S∞
µ (Bj ) < ∞ for all j, and X = j=1 Bj . In this case, it is also said that the measure µ is
σ-finite.
A measure µA on an algebra A is sigma finite if such {Bj }∞j=1 ⊂ A.
It should be noted that there is no loss of generality in assuming that {Bj }∞

j=1 is pairwise
disjoint, recalling Proposition I.2.20 and monotonicity of measures.
The next result addresses the uniqueness of extensions from an algebra A is to σ(A),
the smallest sigma algebra that contains A. For this result, note that both σ(A) ⊂ C(X)
and σ(A) ⊂ σ(X), and thus both µ and µ0 are defined on σ(A).
Originally proved as Proposition I.6.14, see Example 2.40 for an alternative proof using
the monotone class theorem.
Measure Space Constructions 11
Proposition 1.22 (Uniqueness of Extensions to σ(A)) Let µA be a σ-finite measure

on an algebra A, and µ the extension of µA to the sigma algebra C(X) induced by the outer
measure µ∗A . Let µ0 be any other extension of µA from A to a sigma algebra σ(X).
Then for all B ∈ σ(A):
µ(B) = µ0 (B).
More generally, if µ, µ0 are σ-finite measures on a sigma algebra σ (X) , and µ(B) =
µ (B) for all B ∈ A for some algebra A ⊂ σ (X) , then µ = µ0 on σ(A).
0
1.3 Measure Space Constructions

With the powerful tools of Chapter I.6, one can create a complete measure space without
investigating all of the details seen in the Lebesgue and Borel developments.
The construction process is as follows:
1. Required Step (Choose a or b):
(a) Define a set function µ0 on a semi-algebra A0 which can be proved to be a pre-

measure.
(b) Define a set function µA on an algebra A which can be proved to be a measure.
The algebra A in 1.b can be the algebra generated by a given semi-algebra A0 or defined
independently of a semi-algebra.
2. “Free” Steps:
(a) From 1.a, if µ0 is a pre-measure on a semi-algebra A0 , then µ0 can be extended to

a measure µA on A, the algebra generated by A0 , by the Carathéodory extension
theorem 2. Alternatively from 1.b, we start with a measure µA on an algebra A.
(b) In either case from step 2.a, µA and A then generate an outer measure µ∗A
on σ(P (X)), the power set sigma algebra on X. This follows from the Hahn-
Kolmogorov extension theorem with µ∗A as defined in (1.14), and this outer measure
then satisfies the conditions specified in the Carathéodory extension theorem 1.
(c) The collection of sets that are Carathéodory measurable with respect to µ∗A , as
defined in (1.13), is then a complete sigma algebra C(X), and the restriction of µ∗A
to C(X) is a measure µ. Hence, (X, C(X), µ) is a complete measure space. Moreover,
A ⊂ C(X) and µ extends µA in the sense that µ(A) = µA (A) for all A ∈ A.
This framework was applied in Chapters I.7–I.9 to obtain measure spaces in three im-
portant contexts. While still requiring a certain amount of effort to obtain the required step,
both the reader and the author were likely equally pleased to not have to then explicitly
derive all the results obtained in the free steps.
1.3.1 Finite Products of Measure Spaces

Given measure spaces {(Xi , σ(Xi ), µi )}ni=1 , the goal of Chapter I.7 was to create a product
space and product measure. See Section 5.1 for more on product spaces.
12 Measure Spaces
Definition 1.23 (Product space and set function) Given measure spaces {(Xi , σ(Xi ),
µi )}ni=1 , the product space:
Yn
X= Xi ,
i=1
is defined as:
X = {x ≡ (x1 , x2 , ..., xn )|xi ∈ Xi }. (1.15)
A measurable rectangle in X is a set A:
Yn
A= Ai = {x ∈ X|xi ∈ Ai }, (1.16)
i=1
0
where Ai ∈ σ(Xi ). We denote the collection of measurable
Qn rectangles in X by A .
The product set function µ0 is defined on A = i=1 Ai ∈ A0 by:
Yn
µ0 (A) = µi (Ai ), (1.17)
i=1
where we explicitly define 0 · ∞ = 0.
Unsurprisingly given the notation, the collection A0 proves to be a semi-algebra, and the
set function µ0 can be extended additively to a set function µA on the associated algebra
A of finite disjoint unions of A0 -sets. The derivation that µA so defined is a measure on
this algebra is subtle. This is in part due to the complexity of A-sets, and also that the
necessary results must be derived with (1.17) and properties of the measures {µi }ni=1 .
While generalized in Section 3.2.4, the Book I proof of countable additivity of µA required
that {µi }ni=1 be σ-finite measures. This obtained σ-finiteness of µA on A and of the resulting
measure µX on the complete sigma algebra, there denoted σ(X). The product measure space
of Proposition I.7.20 is then denoted (X, σ(X), µX ) . Qn
As noted in Notation I.7.21, it is common to express µX = i=1 µi . This notation also
reflects the fact that µX Q is an extension of µA from A to σ(X) and thus extends µ0 from
n
A0 to σ(X). So, for A = i=1 Ai ∈ A0 , (1.17) can be expressed:
Yn
µX (A) = µi (Ai ). (1.18)
i=1
When {(Xi , σ(Xi ), µi )}ni=1 = {(R, MFi (R), µFi )}ni=1 are Borel measure spaces, which
n Qn
are sigma finite by item 30 of Definition 1.8,Q
the final measure space (Rn , M(R ), i=1 µFi )
n n n n
contains a Borel measure space (Rn , B(R ), i=1 µFi ) since B(R ) ⊂ M(R ), and µX proves
to be a Borel measure.
However, there are Borel measures on Rn other than these product measures, and this
is the subject we discuss next.
1.3.2 Borel Measures on Rn

Following the development of Chapter I.7, the next application of the Chapter I.6 ex-
n
tension theory is to general Borel measure spaces denoted (Rn , B(R ), µ). Generalizing the
1-dimensional case of Chapter I.5, any such Borel measure µ induces a multivariate function
Fµ : Rn → R, which is continuous from above, and n-increasing. This is seen in Proposition
I.8.10 for finite Borel measures, and Proposition I.8.12 in the general case, where:
Definition 1.24 (Continuous from above; n-increasing ) Given a function Fµ :

Rn → R:
Measure Space Constructions 13
1. Fµ is continuous from above at x = (x1 , ..., xn ) if given a sequence x(m) =

(m) (m) (m)
(x1 , ..., xn ) with xi ≥ xi for all i and m, and x(m) → x as m → ∞, then:
Fµ (x) = limm→∞ Fµ (x(m) ). (1.19)
We say that Fµ is continuous from above if the above property is true for all x.
2. Fµ satisfies
Qnthe n-increasing condition if given any bounded right semi-closed rect-
angle A = i=1 (ai , bi ] : X
sgn(x)Fµ (x) ≥ 0. (1.20)
x
Each x = (x1 , ..., xn ) in the summation is one of the 2n vertices of A, so xi = ai or
xi = bi , and sgn(x) equals −1 if the number of ai -components of x is odd, and equals
+1 otherwise.
It was derived in Propositions

Qn I.8.9 (finite Borel measures) and I.8.12 (general Borel
measures) that the measure µ [ i=1 (ai , bi ]] of a bounded right semi-closed rectangle can be
expressed in terms of this induced function:
hYn i X
µ (ai , bi ] = sgn(x)Fµ (x), (1.21)
i=1 x
where this summation is defined above.

n
Exercise 1.25 (Product functions and measures) Qn If {Fi (xi )}i=1 are increasing and
right continuous functions on R, show that F (x) ≡ i=1 Fi (xi ) is continuous from above
and n-increasing. Hint: Prove that the expression in (1.21) can be rewritten:
hYn i Yn
µ (ai , bi ] = (Fi (bi ) − Fi (ai )) .
i=1 i=1
Qn
Note that when all Fi (xi ) = xi , that µ [ i=1 (ai , bi ]] reduces to the Lebesgue measure of this
rectangle: hYn i Yn
µ (ai , bi ] = (bi − ai ) .
i=1 i=1
Given the insights of this study of general Borel measures, the Chapter I.6 extension
n
theory is then applied to investigate if a Borel measure space (Rn , B(R ), µF ) can be con-
structed from a continuous from above and n-increasing function F : Rn → R. Given such
F (x), we begin by defining the class of bounded right semi-closed rectangles:
n
n
Yn o
A0B ≡ A ∈ B(R )|A = (ai , bi ], with − ∞ < ai ≤ bi < ∞ ,
i=1
and on A0B define the set function µ0 as in (1.21). It can be checked that A0B is not a
semi-algebra (Hint: consider A),
e so this will need to be addressed later in the development.
It is then proved in Proposition I.8.13 that µ0 is finitely additive and countably subad-
ditive on A0B . Since A0B is not a semi-algebra, Carathéodory’s extension theorem 2 cannot
be directly applied. Instead, the set function µ∗F is defined on A ⊂ Rn by:
nX [ o
µ∗F (A) = inf µ0 (An ) | A ⊂ An , An ∈ A0B , (1.22)
n
and proved in Proposition I.8.14 to be an outer measure by Definition 1.15.

Carathéodory’s extension theorem 1 now assures the existence of a complete measure space
n
(Rn ,MF (R ), µF ), and in Proposition I.8.15, it is proved that µF extends the set function
n
µ0 defined on A0B by showing that A0B ⊂MF (R ) and µ∗F (A) = µ0 (A) for all A ∈ A0B .
14 Measure Spaces
Example 1.26 (Borel measures as Borel/Lebesgue product measures) When F (x)

n
is the product function of Exercise 1.25, then (Rn ,MF (R ), µF ) here is the product
n
measure space obtained from {(R, MµFi (R), µFi )}i=1 , while when all Fi (xi ) = xi , then
n
(Rn ,MF (R ), µF ) is the Lebesgue product space obtained from {(R, ML (R), mi )}ni=1 where
mi = m for all i. See Section I.7.6 for Lebesgue and Borel product spaces, and Proposition
I.8.16, for uniqueness of extensions.
1.3.3 Infinite Products of Probability Spaces

For infinite products of measure spaces, the theory essentially requires that these measure
spaces be probability spaces. And while a somewhat more general derivation is possible,
Chapter I.9 ultimately assumes that these probability spaces are defined on R, the applica-
tion of greatest interest.
Definition 1.27 (Infinite product space and set function) Given probability spaces:
{(Xi , σ(Xi ), µi )}∞

i=1 ,
Q∞
define the product space X = i=1 Xi by:
X = {(x1 , x2 , ...)|xi ∈ Xi }. (1.23)
A finite dimensional measurable rectangle A in X, also called a cylinder set, is

defined for any n and n-tuple of positive integers J = (j(1), j(2), ..., j(n)) by:
A = {x ∈ X|xj(i) ∈ Aj(i) }, (1.24)
where
Qn Aj(i) ∈ σ(Xj(i) ). The cylinder set in (1.24) is said to be defined by J and
0
i=1 j(i) , and the collection of cylinder sets in X is denoted by A .
A
0 0
Qn product set function µ0 is defined on A as follows. If A ∈ A is defined by J
The
and i=1 Aj(i) , then:
Yn
µ0 (A) = µj(i) (Aj(i) ). (1.25)
i=1
The above restriction to probability spaces stems from the need to have µ0 (A) in (1.25)
well defined. For example, if J = (1, 2, ..., n) then:
A = {xi ∈ Ai } = {xi ∈ Ai , xn+1 ∈ Xn+1 }.
For µ0 (A) to be well defined requires that:

Yn Yn
µi (Ai ) = µn+1 (Xn+1 ) µi (Ai ),
i=1 i=1
and so µn+1 (Xn+1 ) = 1 is derived unless one of these sets has infinite or zero measure.
As the notation suggests, A0 so defined is a semi-algebra. Further, µ0 extends additively
to µA on the associated algebra A, and µA proves to be finitely additive and countably
subadditive. For countable additivity, the algebra A needed to be enlarged to A+ , and all
Xi were then restricted to R.
Definition 1.28 (Product space; general cylinder sets: A+ ) Given probability spaces
∞
{(R,
Q∞ B(R), µi )}i=1 , where B(R) denotes the Borel sigma algebra, the product space R =
N
i=1 Ri is defined by:

RN = {(x1 , x2 , ...)|xi ∈ R}.
Continuity of Measures 15
A general finite dimensional measurable rectangle or general cylinder set

A ⊂ RQN
is defined
for any n-tuple of positive integers J = (j(1), j(2), ..., j(n)) and
n
H∈B i=1 j(i) by:
R
A = {x ∈ RN |(xj(1) , xj(2) , ...xj(n) ) ∈ H}. (1.26)

Qn n
Here, B i=1 Rj(i) = B (R ) denotes the finite dimensional product space Borel sigma
algebra associated with {(R, B(R), µj(i) )}ni=1 , a sigma subalgebra of the above denoted σ(X).
The cylinder set in (1.26) will be said to be defined by H and J, and the collection of
general cylinder sets in RN is denoted by A+ .
The cylinder set A can also be characterized in terms of the projection mapping:
Yn Yn
πJ ≡ π j(i) : RN → Rj(i) ,
i=1 i=1
by:
A = π −1
J (H). (1.27)
+
For A ∈ A defined by H and J, the product set function µ0 is defined by:
µ0 (A) = µJ (H), (1.28)
where µJ denotes the finite dimensional product space probability measure associated with
{(R, B(R), µj(i) )}ni=1 .
Then A+ again proves to be an algebra in Proposition I.9.17, and µ0 is a measure on the

algebra by this result and Proposition I.9.19. The Hahn-Kolmogorov extension theorem is
applied to obtain the complete probability space (RN , σ(RN ), µN ). Further, A+ ⊂ σ(RN ) and
µN (A) = µ0 (A) for all A ∈ A+ .
1.4 Continuity of Measures

One of the most important properties of all measures used in various proofs is continuity,
and specifically, continuity from above and continuity from below. These properties
identify conclusions that can be drawn on the measures of a collection of nested measurable
sets. By nested is meant that the collection {Ai }∞
i=1 satisfies:
Ai ⊂ Ai+1 , for all i,
or
Ai+1 ⊂ Ai , for all i.
In the former case, we are interested in the measure of the union, and in the latter, the
measure of the intersection.
The properties identified in this proposition are often referred to in terms of the “conti-
nuity” of measures and understood in the following sense. Given a collection of measurable
sets {Bj }∞
j=1 , define Ai by:
Si
1. Ai = j=1 Bj , or,
Ti
2. Ai = j=1 Bj , where it is assumed that µ(A1 ) < ∞.
16 Measure Spaces
Proposition 1.29 states that in both cases:

µ lim Ai = lim µ(Ai ).
i→∞ i→∞
In the first case, {Ai }∞

i=1 is an increasing sequence of sets and the result is called
continuity from below, whereas in the second case, the sequence is decreasing sequence
of sets and the result is called continuity from above.
Proposition 1.29 (Continuity of all measures) Given the measure space (X, σ (X) , µ)
and {Ai }∞
i=1 ⊂ σ (X):
1. Continuity from Below: If Ai ⊂ Ai+1 for all i:

[∞
µ Ai = lim µ(Ai ), (1.29)
i=1 i→∞
where the limit on the right may be finite or infinite.
2. Continuity from Above: If Ai+1 ⊂ Ai for all i and µ(A1 ) < ∞:

\∞
µ Ai = lim µ(Ai ). (1.30)
i=1 i→∞
Proof. To prove item 1, note that Ai ⊂ Ai+1 implies that µ(Ai ) ≤ µ(Ai+1 ) by monotonicity
of µ. Define B1 = A1 , and for i ≥ 2, let Bi = Ai − Ai−1 . Then {Bi }∞
i=1 ⊂ σ (X) are disjoint
sets, and: [∞ [∞
Ai = Bi .
i=1 i=1
By countable additivity of µ:
[∞ X∞
µ Ai = µ(Bi )
i=1 i=1
Xi
= µ(A1 ) + lim µ(Aj − Aj−1 ).
i→∞ j=2
Since Aj−1 and Aj − Aj−1 are disjoint with union Aj , finite additivity assures that:
µ(Aj − Aj−1 ) = µ(Aj ) − µ(Aj−1 ).
Thus cancellation in this telescoping summation obtains (1.29):

[∞
µ Ai = lim µ(Ai ).
i=1 i→∞
Ti
For item 2, j=1 Aj = Ai by the nesting property, while monotonicity and the assump-
tion that µ(A1 ) < ∞ yields for all i :
\
i
µ Aj = µ(Ai ) < µ(A1 ).
j=1
Again by monotonicity, {µ(Ai )}∞i=1 is a bounded, nonincreasing sequence, and thus has a
well-defined limit as i → ∞, which proves (1.30).
2
Measurable Functions
We begin with a discussion of the definition and properties of a µ-measurable function

defined on a measure space (X, σ(X), µ). For this definition, recall that for f : X → R, with
range in the extended real numbers of Definition I.3.1, the inverse f −1 is defined as a set
function on any set A ⊂ R by:
f −1 (A) ≡ {x ∈ X|f (x) ∈ A}. (2.1)
While f −1 is always defined as a set function, it is only defined pointwise if f is one-to-one.

In Book I, Lebesgue measurability of a function defined on (R, ML (R) , m) could be
characterized in Definition I.3.9 by various equivalent properties on the set function f −1 .
The ultimate goal of such measurability was derived in Proposition I.3.26, and the following
definition of a measurable function f on (X, σ(X), µ) focuses on this goal. Following this,
we investigate equivalent formulations.
Definition 2.1 (Measurable function; transformation) An extended real-valued

function f : X → R defined on the measure space (X, σ(X), µ) is said to be measur-
able, or µ-measurable, or σ(X)-measurable, if for every Borel set A ∈ B(R):
f −1 (A) ∈ σ(X).
n
An extended real-valued transformation f : X → R defined on the measure space
(X, σ(X), µ) is said to be measurable, etc., if f −1 (A) ∈ σ(X) for every Borel set A ∈
n
B(R ).
More generally, a mapping f (x) between measure spaces (X, σ(X), µX ) and (Y, σ(Y ), µY )
is measurable or σ(X)/σ(Y )-measurable, if for all A ∈ σ(Y ):
f −1 (A) ∈ σ(X).
If D ⊂ X and f (x) is defined on D, then the criterion for measurability is the same as
above, and thus of necessity, D = f −1 (R) ∈ σ(X).
n
Remark 2.2 (On A ∈ B(R) or A ∈ B(R )) With f (x) an extended real-valued function,
n
f : X → R or f : X → R , it may seem odd that the measurability criterion only addresses
Borel sets in R and Rn . But note that if f is measurable by the above definition, then:
f −1 (∞) = X − f −1 (R/Rn ),
and so f −1 (∞) ∈ σ(X). Thus f −1 (A {∞}) ∈ σ(X) for all such A.

S
Notation 2.3 (σ(X)-measurable) Given the variety of labels used above to declare mea-
surability, σ(X)-measurable is the most accurate for extended real-valued functions and
transformations because the criterion f −1 (A) ∈ σ(X) for all Borel A is a sigma algebra
restriction. Measurability has nothing to do with the measure µ since there can be many
DOI: 10.1201/9781003264576-2 17
18 Measurable Functions
measures defined on a sigma algebra, and these do not affect which functions are measur-
able and which are not. Nonetheless, the use of µ-measurable is fairly common and rarely
causes confusion when there is one sigma algebra on the space.
However, there will be instances in coming studies where we will encounter measure
spaces (X, σ i (X), µ) with various sigma-algebras σ i (X). In other words, the space X is
fixed as is the measure µ, but there can be various sigma algebras on which µ satisfies
the definition of measure. A simple example but a common one is when (X, σ(X), µ) is a
measure space and σ i (X) ⊂ σ(X) is a sigma subalgebra, then (X, σ i (X), µ) is again a
measure space. But there can also be multiple sigma algebras with no such inclusions.
In these situations, the notion of a measurable function can become ambiguous, as
can the notion of a µ-measurable function. Thus when there is more than one sigma
algebra on X, it is necessary to say that f is σ(X)-measurable, identifying the defining
sigma algebra.
When f (x) is a mapping between general measure spaces (X, σ(X), µX ) and
(Y, σ(Y ), µY ), we will always say that f is σ(X)/σ(Y )-measurable as noted above.
Although a σ(X)-measurable function or transformation could be called σ(X)/B(R)-
n
measurable, or σ(X)/B(R )-measurable, this level of formality is rarely needed.
Exercise 2.4 (Composition of measurable functions) Show that if f (x) is σ(X)/

σ(Y )-measurable between measure spaces (X, σ(X), µX ) and (Y, σ(Y ), µY ), and g(y)
is σ(Y )/σ(Z)-measurable between measure spaces (Y, σ(Y ), µY ) and (Z, σ(Z), µZ ), then
f (g(x)) is σ(X)/σ(Z)-measurable between measure spaces (X, σ(X), µX ) and (Z, σ(Z), µZ ).
Although measurability of f −1 (A) for all A in the range space sigma algebra is the
requirement, it is not necessary to verify this condition for all such A to establish measura-
bility. This was seen in Proposition I.3.4 for Lebesgue or Borel measurability, meaning where
the respective domain space was (R, ML (R) , m) or (R, B (R) , m). Then, measurability for
all y of f −1 ((−∞, y)) is equivalent to this statement for all f −1 ([y, ∞)), all f −1 ((y, ∞)), or
all f −1 ((−∞, y]). Using the same ideas, this is equivalent to measurability of all f −1 ((a, b)).
In any of these cases, Proposition I.3.26 obtains that this is equivalent to measurability of
f −1 (A) for all A ∈ B (R) .
Exercise 2.5 Generalize the prior paragraph to Lebesgue or Borel measurability Qn of transfor-
mations defined on (Rn , ML (Rn ) , m) or (Rn , B (Rn ) , m). Show that if f −1 ( i=1 (−∞, yi ))
is measurable forQall y = (y1 , ...,
Qnyn ), then this
Qnis equivalent toQmeasurability of all f −1 (A)
n n
for A defined as i=1 [yi , ∞), i=1 (yi , ∞), i=1 (−∞, yi ] or i=1 (ai , bi ).
What is clear from the Book I development and the results of Exercise 2.5 is that these
collections of sets, and there are many others, have the property that they generate the Borel
sigma algebras B (R) or B (Rn ) , the sigma algebras of the range spaces. This generalizes as
might be expected.
In the following result, we specify this special collection as A0 , which is our standard
notation for a semi-algebra. This result is true for any collection of sets that generate σ(Y ),
not just semi-algebras. But we use this notation because it will often be the case that there
is an apparent semi-algebra A0 that generates an algebra A, which in turn generates the
range space sigma algebra σ(Y ). For example, this applies when (Y, σ(Y ), µY ) is a measure
space created by the extension theory of the prior chapter.
Example 2.6 (Sigma algebras generated by collections) If A0 is a semi-algebra and

µ0 a pre-measure on A0 , then µ0 can be extended to a measure µA on the associated algebra
A of finite disjoint unions of A0 -sets by the second Carathéodory extension theorem of
Proposition 1.20.
Properties of Measurable Functions 19
Then, by the Hahn-Kolmogorov extension theorem of Proposition 1.18 (with notation

changed), if A is an algebra of sets on Y and µA a measure on A, then µA gives rise to an
outer measure µ∗A on σ(P (Y )) such that µ∗A (A) = µA (A) for all A ∈ A. In addition, there
exists a complete sigma algebra C(Y ) with A ⊂ C(Y ), and µ ≡ µ∗A is a measure on C(Y ).
Thus if σ (A) denotes the smallest sigma algebra generated by A, then (Y, σ(A), µ) is
an example of a measure space where the sigma algebra σ(Y ) ≡ σ(A) is generated by the
semi-algebra A0 , or by the algebra A.
Proposition 2.7 (Measurability test: Generating collections) If f (x) is a mapping
between measure spaces (X, σ(X), µX ) and (Y, σ(Y ), µY ), and A0 is a collection of sets that
generates σ(Y ), then f (x) is σ(X)/σ(Y )-measurable if and only if f −1 (A) ∈ σ(X) for all
A ∈ A0 .
−1 0
0 −1 0
“if ” direction, note that if f (A ) ⊂ σ(X),
Proof. “Only if” is true by definition. For the
−1
then σ f (A ) ⊂ σ(X), where σ f (A ) denotes the smallest sigma algebra generated
by this collection of sets.
It is an exercise to check that:
• f −1 (A)
e = f^−1 (A) for all A ∈ A0 , where A −1 (A) ≡ X − f −1 (A) denote
e ≡ Y − A and f^
the complements of these sets.
Sn Sn
• f −1 ( i=1 Ai ) = i=1 f −1 (Ai ) for all {Ai }ni=1 ⊂ A0 .
Thus if A ∈ σ(A0 ), the smallest sigma algebra that contains A0 , then f −1 (A) ∈
σ f −1 (A0 ) , and the proof is complete.
The final definitional result relates the notions of measurable functions and measurable
n
transformations. If f (x) : X → R is defined on the measure space (X, σ(X), µ), then f (x) =
(f1 (x), ..., f (xn )), and it is logical to inquire into the measurability of f (x) vs. measurability
of the component functions {fi (x)}ni=1 . The reader may recall a similar discussion related
to random variables and random vectors that was summarized in Proposition II.3.32.
Proposition 2.8 (Measurability test: Transformations and functions) If f (x) :
n
X → R is defined on the measure space (X, σ(X), µ) with f (x) = (f1 (x), ..., f (xn )), then
f (x) is a σ(X)-measurable transformation if and only if fi (x) is σ(X)-measurable for all i.
Proof. If f (x) is σ(X)-measurable, then f −1 (A) ∈ σ(X) for all A ∈ B (Rn ) . Fixing i and
taking A = (ai , bi ) × Rn−1 with apparent notation obtains that f −1 (A) = fi−1 ((ai , bi )) ∈
σ(X) for all (ai , bi ). Since such sets generate B (R) , fi (x) is σ(X)-measurable by Proposition
2.7.
Conversely, fi−1 ((ai , bi )) ∈ σ(X) for all i and (ai , bi ) implies that:
Yn \n
f −1 (ai , bi ) = f −1 ((ai , bi )) ∈ σ(X),
i=1 i=1
and again Proposition 2.7 completes the proof.
2.1 Properties of Measurable Functions

Recall Example 1.2 that if the measure space (X, σ(X), µ) also has a topology T , the Borel
sigma algebra on X, denoted B(X), is the smallest sigma algebra that contains the open
sets of X. A topology on X also allows one to define the notion of a continuous function.
To set the stage, we document the definition of continuous function in the more familiar
settings.
Definition 2.9 (Continuous function on metric space) The function f : R → R is

continuous at x0 if:
lim f (x) = f (x0 ). (2.2)
x→x0
That is, given > 0 there is a δ ≡ δ (x0 , ) > 0 so that:
|f (x) − f (x0 )| < if |x − x0 | < δ.
A function is said to be continuous on an interval [a, b] if it is continuous at each

x0 ∈ (a, b), and also continuous at a and b where the limit in (2.2) is understood as one-
sided, meaning for x < b or x > a. A function is said to be continuous if it is continuous
everywhere on its domain.
The same definition in (2.2) applies to a function f : Rn → R, but where |x − x0 | ≡
d(x, x0 ) is interpreted in terms of the standard metric on Rn :
hXn i1/2
2
d(x, y) = (xi − yi ) . (2.3)
i=1
More generally, this definition applies to a function f : (X1 , d1 ) → (X2 , d2 ), where Xj

is a metric space with metric dj . The limit in (2.2) then means that given > 0 there is a
δ ≡ δ (x0 , ) > 0 , so that:
d2 (f (x), f (x0 )) < if d1 (x, x0 ) < δ.
The following result is also true for f : (X1 , d1 ) → (X2 , d2 ) where, recalling Exercise 1.6,
open sets in X1 and X2 are those induced by these metrics. Details are left as an exercise
in changing notation.
Proposition 2.10 (Continuity and open sets) Let f : Rn → R be a given function.

Then, f is continuous if and only if for any open set G ⊂ R, the set f −1 (G) is open in Rn
where:
f −1 (G) ≡ {x|f (x) ∈ G}.
Proof. Assume that f is continuous, that G ⊂ R is open, and that x0 ∈ f −1 (G). To prove
that f −1 (G) is open by Definition 1.4, it must be shown that there exists r > 0 and an
open ball Br (x0 ) ⊂ Rn with Br (x0 ) ⊂ f −1 (G). As G is open there exists > 0 so that the
open ball B (y0 ) ⊂ G, where y0 = f (x0 ). Thus |y − y0 | < for y ∈ B (y0 ). By definition of
continuity, there exists δ so that |f (x) − y0 | < if |x − x0 | < δ. Translating these statements
obtains f (Bδ (x0 )) ⊂ B (y0 ), and so with r = δ:
Br (x0 ) ⊂ f −1 (B (y0 )) ⊂ f −1 (G).
Conversely, assume f −1 (G) is open for all open G ⊂ R. Let x0 ∈ Rn be given and
y0 = f (x0 ) ∈ R. Choose any open set G ⊂ R that contains y0 , for example, we could
choose G = R. By definition of open, there exists > 0 so that B (y0 ) ⊂ G. By assump-
tion f −1 (B (y0 )) is open in Rn and contains x0 . Again by definition of open, there exists
Bδ (x0 ) ⊂ f −1 (B (y0 )) and thus f (Bδ (x0 )) ⊂ B (y0 ). This now translates to the − δ
definition for continuity and the proof is complete.
This result now provides an immediate extension of the notion of continuity to functions
on topological spaces.
Definition 2.11 (Continuous function on a topological space) Given a topological

space X, a real-valued function f : X → R is continuous if f −1 (G) is open for any open
G ⊂ R.
Properties of Measurable Functions 21
It now follows from this characterization of continuity that continuous functions are
σ(X)-measurable.
Proposition 2.12 (Continuous ⇒ µ-measurable) Given a measure space (X, σ(X), µ),
assume that X is also a topological space and that σ(X) contains the open sets of X, and
hence contains the Borel sigma algebra B(X). If f : X → R is continuous, then f is σ(X)-
measurable.
Proof. Consider the open set G ≡ (a, b). Since continuous, f −1 ((a, b)) is open in X, and
thus by definition:
f −1 ((a, b)) ∈ B(X) ⊂ σ(X).
The proof is complete by Proposition 2.7.
The next result summarizes that measurability is preserved under simple arithmetic
operations. We restrict to real-valued functions with range in R. The reader is referred to
Remark I.3.34 for a discussion on generalizing to extended real-valued functions with range
in R. Furthermore, items 1 and 2 remain true for measurable real-valued transformations
and this is left as an exercise.
Proposition 2.13 Let f (x) and g(x) be real-valued σ(X)-measurable functions defined on
a measure space (X, σ(X), µ), and let a, b ∈ R. Then, the following are σ(X)-measurable:
1. af (x) + b,
2. f (x) ± g(x),
3. f (x)g(x),
4. f (x)/g(x) on {x|g(x) 6= 0}.
Proof. To simplify notation, the set {x|f (x) < r} is denoted by {f (x) < r}, and so forth.
Also, by Proposition 2.7, it is sufficient to prove that h−1 (A) ∈ σ(X) for any collection of
sets that generates B (R) , where h(x) denotes any function under consideration.
1. If a = 0, the function g(x) = b is σ(X)-measurable since g −1 (A) ∈ {∅, X} for all A. For
a > 0,
{af (x) + b < y} = {f (x) < (y − b)/a},
which is measurable since f (x) is σ(X)-measurable. A similar result applies to a < 0.
2. Consider the sum since then by part 1, −g(x) is measurable and this implies the result
for f (x) − g(x). For rational r, if f (x) < r and g(x) < y − r, then f (x) + g(x) < y.
Taking a union over all rational r:
[ h \ i
{f (x) < r} {g(x) < y − r} ⊂ {f (x) + g(x) < y}.
r
On the other hand, if f (x) + g(x) < y then f (x) < y − g(x), and by density of the
rationals, there exists rational r so that f (x) < r < y − g(x). This implies f (x) < r and
g(x) < y − r.
Hence, [ h \ i
{f (x) + g(x) < y} = {f (x) < r} {g(x) < y − r} ,
r
and this set is measurable as a countable union of intersections of measurable sets.

3. First note that both f 2 (x) and g 2 (x) are measurable. For f 2 (x), for example:
√ T √
{f (x) < y} {f (x) > − y}, y ≥ 0,
{f 2 (x) < y} =
∅, y < 0.
By parts 1 and 2, so too is [f (x) + g(x)]2 measurable, as is:
f (x)g(x) = 0.5 [f (x) + g(x)]2 − f 2 (x) − g 2 (x) .

4. First, D ≡ {g(x) 6= 0} ∈ σ(X), since:
D = g −1 (−∞, 0) g −1 (0, ∞),

S
and so 1/g(x) is real-valued and well-defined on D. Measurability of 1/g(x) on D then

follows since:
• y > 0: [
{1/g(x) < y} = {g(x) > 1/y} {g(x) < 0}.
• y = 0:
{1/g(x) < 0} = {g(x) < 0}.
• y < 0: \
{1/g(x) < y} = {g(x) > 1/y} {g(x) < 0}.
Thus 1/g(x) is measurable as is f (x)/g(x) by item 3.
The next result is a good example of when a measurability conclusion requires complete-
ness of the measure space (X, σ(X), µ). Recall that when f (x) = g(x), except on a set of
µ-measure 0, this is often written as f (x) = g(x) µ-a.e., and read, “µ almost everywhere.”
Proposition 2.14 (f (x) = g(x), µ-a.e.) Let f (x) be a σ(X)-measurable function on a

complete measure space (X, σ(X), µ), and g(x) a function with f (x) = g(x), µ-a.e.
Then, g(x) is σ(X)-measurable.
Proof. If E ∈ σ(X) is the set of µ-measure zero on which f (x) 6= g(x), then:
[
{x|g(x) < y} = {x ∈ E|g(x) < y} {x ∈ / E|g(x) < y}
[
= {x ∈ E|g(x) < y} {x ∈ / E|f (x) < y}.
The first set is a subset of a set of µ-measure zero and is hence σ(X)-measurable by com-
pleteness, wheras the second set is the intersection of measurable E,
e the complement of E,
and σ(X)-measurable {x|f (x) < y}.
2.2 Limits of Measurable Functions

In this section, we investigate various limits of measurable functions and begin by recalling
some definitions. The reader is referred to Section I.3.4.2 for a discussion of these limiting
functions.
Limits of Measurable Functions 23
Definition 2.15 (Infimum/supremum) Given a finite or countable sequence of func-

tions {fn (x)}∞ n=1 , the infimum and supremum of the sequence are defined pointwise as
follows. T∞
For each x ∈ D ≡ n=1 Dmn{fn }, where Dmn{fn } denotes the domain of the function
fn :
{fn (x)}∞

−∞, n=1 unbounded below,
inf n fn (x) = (2.4)
max{y|y ≤ fn (x) all n}, {fn (x)}∞
n=1 bounded below.
{fn (x)}∞

∞, n=1 unbounded above,
supn fn (x) = (2.5)
min{y|y ≥ fn (x) all n}, {fn (x)}∞
n=1 bounded above.
When {fn (x)}N

n=1 is a finite collection, inf n fn (x) is often denoted:
inf n fn (x) ≡ min{f1 (x), ..., fN (x)},
and supn fn (x) is denoted:
supn fn (x) ≡ max{f1 (x), ..., fN (x)}.
Definition 2.16 (Limits inferior/superior) Given a sequence of functions {fn (x)}∞ n=1 ,
the limit inferior and
T∞limit superior of the sequence are defined pointwise as follows.
For each x ∈ D ≡ n=1 Dmn{fn }:
lim inf fn (x) = supn inf fk (x), (2.6)

n→∞ k≥n
lim sup fn (x) = inf n sup fk (x). (2.7)

n→∞ k≥n
When clear from the context, the subscript n → ∞ is often dropped from the lim inf and
lim sup notation.
Notation 2.17 The limit superior of a function sequence is alternatively denoted limfn (x),
and the limit inferior denoted limfn (x), but we will use the above notation throughout these
books.
Exercise 2.18 (The lim in lim inf and lim sup) From Definition 2.16, it may not be ap-
parent where the notion of limit appears. Prove that:
lim inf fn (x) = lim inf fk (x),

n→∞ n→∞ k≥n
lim sup fn (x) = lim sup fk (x).

n→∞ n→∞ k≥n
In other words, the limit inferior is the limit of infima, wheras the limit superior is the limit
of suprema. Hint: Consider how inf k≥n fk (x) and supk≥n fk (x) vary with n.
As anticipated, these limiting functions are σ(X)-measurable when the functions in the
sequence are σ(X)-measurable. For item 7, we recall Corollary I.3.46 that lim fn (x) exists
at x if and only if:
−∞ < lim inf fn (x) = lim sup fn (x) < ∞. (2.8)
Proposition 2.19 (Measurability of functions derived from {fn (x)}∞ n=1 ) Given a se-
quence of σ(X)-measurable functions {fn (x)}∞ n=1 defined on measurable domains
{Dn }∞
n=1 of the measure space
T∞ (X, σ(X), µ), the following functions are also σ(X)-
measurable as defined on D ≡ n=1 Dn :
1. minn≤N {fn (x)}, for all N ;

2. maxn≤N {fn (x)}, for all N ;
3. inf fn (x);
4. sup fn (x);
5. lim inf fn (x);
6. lim sup fn (x);
7. If h(x) ≡ lim fn (x) exists on D0 ⊂ D, then h(x) is σ(X)-measurable on D0 .
Proof. By Proposition 2.7, it is sufficient to prove that h−1 (A) ∈ σ(X) for any collection
of sets that generate B (R) where h(x) denotes any function under consideration.
Item 1 follows from item 3, and 2 from 4, by defining fn (x) = fN (x) for n ≥ N.
For item 3, if h(x) is defined by h(x) = inf fn (x), then by (2.4):
h(x) > y ⇐⇒ fn (x) > y for all n.
Thus: \∞
{x|h(x) > y} = {x|fn (x) > y},
n=1
and is measurable as the intersection of measurable sets.
Similarly, with g(x) = sup fn (x):
\∞
{x|g(x) < y} = {x|fn (x) < y},
n=1
and this set is again measurable as the intersection of measurable sets.

Now let h(x) = lim inf fn (x), which by (2.6) means h(x) = supn inf k≥n fk (x). Then for
each n, Fn (x) ≡ inf k≥n fk (x) is measurable by 3, and hence h(x) = sup Fn (x) is measurable
by 4. The same approach proves that lim sup fn (x) is measurable using (2.7).
0
If lim fn (x) exists everywhere, then σ(X)-measurability
T −1 follows from (2.8). If D is the set
0 −1
on which lim fn (x) exists, then D = k (−∞, 0] k [0, ∞) where k(x) = lim sup fn (x) −
lim inf fn (x), and so D0 ∈ σ(X). Thus lim fn (x) = χD0 (x) lim sup fn (x) is σ(X)-measurable
on D0 by item 6 and Definition 2.1, where σ(X)-measurable χD0 (x) equals 1 on D0 and 0
elsewhere.
Corollary 2.20 (Measurability on complete (X, σ(X), µ)) Given a sequence of σ(X)-
measurable functions {fn (x)}∞ ∞
n=1 defined on σ(X)-measurable domains {Dn }n=1 of the com-
plete measure space (X, σ(X), µ), if h(x) denotes any of the functions identified in Propo-
sition 2.19, and g(x) = h(x) µ-a.e., then g(x) is σ(X)-measurable.
Proof. This is Proposition 2.14.
2.3 Results on Function Sequences

In this section, we investigate a few implications of the convergence of σ(X)-measurable
functions. The first states that pointwise convergence of measurable functions assures some-
thing more outside arbitrarily small sets. This “something more” initially resembles a uni-
form convergence result. However, as discussed below, this result does not assure uniform
convergence outside a set of measure 0, nor even outside an arbitrarily small set.
Results on Function Sequences 25
Proposition 2.21 Given (X, σ(X), µ), let {fn (x)}∞ n=1 be a sequence of real-valued σ(X)-
measurable functions defined on a measurable set D with µ(D) < ∞, and let f (x) be a
real-valued function so that fn (x) → f (x) pointwise for x ∈ D. Then given > 0 and δ > 0,
there is a measurable set A ⊂ D and an integer N , so that µ(A) < δ, and for all x ∈ D − A
and all n ≥ N :
|fn (x) − f (x)| < .
Proof. Given > 0, define:
Gn = {x| |fn (x) − f (x)| ≥ },

[∞
and DN = Gn :
n=N
DN = {x| |fn (x) − f (x)| ≥ for some n ≥ N }.
Then, {DN }∞ N =1 is a nested sequence, DN +1 ⊂ DN ⊂ D.

Since fn (x) →T∞f (x) for each x ∈ D, it follows that for every such x there is a DN with
x∈/ DN . Hence, N =1 DN = ∅, and since µ(D) < ∞, it follows from continuity from above
of µ by Proposition 1.29 that limN →∞ µ[DN ] → 0. Thus given δ > 0, there is an N with
µ[DN ] < δ.
Defining A ≡ DN , then µ(A) < δ and if x ∈ / A, then |fn (x) − f (x)| < for all n ≥ N .
Corollary 2.22 If (X, σ(X), µ) is complete, the conclusion of the above proposition re-
mains valid if fn (x) → f (x) for each x ∈ D outside a set of µ-measure 0.
Proof. Everything in the above proof remains the same, except that we can now only con-
clude that for every xT∈ D outside an exceptional set of measure 0, that there exists DN with
x∈ / DN , and hence N DN equals this set of measure 0. But then, limN →∞ µ[ DN ] → 0
again by Proposition 1.29, and the proof follows as above, with a final application of Corol-
lary 2.20.
This proposition does not imply that fn (x) converges uniformly to f (x) on D − A
because the set A depends on the given and δ. This result is close to but not equivalent to
Littlewood’s third principle of Chapter I.4, named for J. E. Littlewood (1885–1977).
To improve this result to Littlewood’s conclusion of “nearly uniform convergence,” it
must be shown that A can be chosen so that fn (x) → f (x) uniformly on D − A. That is,
we need to find a fixed set A with µ(A) < δ, so that for any > 0, there is an N, such that
|fn (x) − f (x)| < for all x ∈ D − A and all n ≥ N. See the introduction to Chapter I.4 for
more on Littlewood’s principles.
This next result formalizes Littlewood’s third principle and is known as Egorov’s the-
orem, named for Dmitri Fyodorovich Egorov (1869–1931), and sometimes phonetically
translated to Egoroff. It is also known as the Severini–Egorov theorem in recognition
of the somewhat earlier and independent proof by Carlo Severini (1872–1951).
Proposition 2.23 (Severini-Egorov theorem ) Given (X, σ(X), µ), let {fn (x)}∞ n=1 be
a sequence of σ(X)-measurable functions defined on a measurable set D with µ(D) < ∞,
and let f (x) be a σ(X)-measurable function so that fn (x) → f (x) pointwise for x ∈ D.
Then given δ > 0, there is a measurable set A ⊂ D with µ(A) < δ, so that fn (x) → f (x)
uniformly on D − A.
That is, for > 0, there is an N , so that |fn (x) − f (x)| < for all x ∈ D − A and
n ≥ N.
Proof. Given δ > 0, for each m define m = 1/m and δ m = δ/2m and apply Proposition
2.21. The result is a set Am with µ(Am ) < δ m , and
S∞an integer Nm , so that |fn (x) − f (x)| <
m for nP≥ Nm and all x ∈ D − Am . With A ≡ m=1 Am , countable subadditivity obtains
∞
µ(A) ≤ m=1 µ(Am ) = δ. We now claim that fn (x) → f (x) uniformly on D − A.
Given there is an m so that m < , and hence an Nm so that |fn (x) − f (x)| < m <
for n ≥ Nm and all x ∈ D − Am . But then this statement is also true for x ∈ D − A since
Am ⊂ A.
Corollary 2.24 (Severini–Egorov theorem) If (X, σ(X), µ) is complete, the above re-
sult remains valid if fn (x) → f (x) µ-a.e. for x ∈ D.
Proof. Left as an exercise.
Remark 2.25 (On µ(D) < ∞) To perhaps state the obvious, the above results apply with-
out the explicit need for the restriction of µ(D) < ∞ in finite measure spaces, and in par-
ticular, in probability spaces. In such a space, we can conclude that pointwise convergence
on any measurable set assures nearly uniform convergence.
2.4 Approximating σ(X)-Measurable Functions

In this section, we investigate various approximations of measurable functions with simple
functions. We begin by re-introducing the notion of a simple function, as originally seen in
Books I and III, but generalized somewhat and framed in the current context. The reader
should confirm that simple functions are σ(X)-measurable.
Definition 2.26 (Simple function) A simple function ϕ : X → R on a measure space

(X, σ(X), µ) is defined by:
Xn
ϕ(x) = ai χAi (x), (2.9)
i=1
where:
1. {Ai }ni=1 ⊂ σ(X) are disjoint measurable sets;

2. χAi (x) is the characteristic function or indicator function for Ai , defined as
χAi (x) = 1 for x ∈ Ai and χAi (x) = 0 otherwise;
3. {ai }ni=1 ⊂ R and ai ≥ 0 for all i.
A vector-valued simple function ϕ : X → Rm on a measure space (X, σ(X), µ) is

defined by:
ϕ(x) = (ϕ1 (x), ..., ϕm (x)),
where {ϕi }m
i=1 are given as in (2.9). Equivalently (see the proof of Corollary 2.30):
Xn
ϕ(x) = ai χAi (x),
i=1
where items 1 and 2 apply, with ai = (ai,1 , ..., ai,m ):
3 0. {ai }ni=1 ⊂ Rm and ai,j ≥ 0 for all i and j.

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Gilles shrugged his shoulders. 'Oh! a title, Madame...!' he said lightly.
'I know! I know!' she riposted, with the volubility of intense excitement.
'I know your proud device: "Roy ne suys, ne Prince, ne Duc, ne Comte. Je
suys Sire de Froide Monte." Ah, Messire Gilles! you were fated to belie that
device! Prince de Froidmont—'tis no mean title.'
'I prefer that of Friend of the Queen of Navarre,' he said simply.
'You are that indeed, Messire, and more,' she rejoined solemnly. 'Ah! if
my brother were only like you, what glorious destiny would have been his!'
'Our destinies are of our own making, Madame,' he retorted.
'You have started to carve them out for yourself now, Messire Gilles, on
the tablets of my memory.'
'Then may God and the Fates favour me!'
'The Fates?' she cried gaily. 'Why, you and I have conquered the Fates,
Messire. Will you deny that they are our handmaidens now?'
CHAPTER VI
WHAT MONSEIGNEUR D'INCHY AND MESSIRE

GILLES DE
CROHIN MUTUALLY THOUGHT OF ONE
ANOTHER
I
And three days later, an' it please you, Messire Gilles presented himself,
his safe-conduct and his faithful Jehan at the Porte de Cantimpré.
The safe-conduct being made out in the name of Monseigneur le Prince

de Froidmont, his equerry, Messire Gilles de Crohin, and his serving-man,
the absence of one of the three personages was casually commented on by
the Captain of the Guard.
'My equerry hath fallen sick on the way,' explained Gilles airily. 'He lies
at a village inn close by and will come as soon as may be.'
It was at once arranged that whenever the equerry did present himself at
the gate, Monseigneur le Prince de Froidmont was immediately to be
apprised of his arrival so that he might at once stand guarantee for the man's
identity. Needless to say that no such equerry existed, nor does the Captain
of the Guard appear to have worried his head over so small a matter. But,
anyway, Gilles now was inside Cambray, the scene of his coming
adventure, and I can assure you that on this first occasion—it was late
evening then and a cold, drizzling rain was blurring every outline of the
picturesque city—Gilles did not stride about the streets with that careless
jauntiness which characterized his usual demeanour.
After some searchings and many wanderings through the most

unfrequented portions of the city, Messire did finally espy the Rue aux
Juifs, at one end of which there dangled on a ricketty iron bracket a half-
obliterated sign that still bore the legend 'Les Trois Rois' in black paint on a
crimson ground and three dabs of pink paint, surmounted by dabs of
yellowish paint, which might still pass muster as kingly faces surmounted
by their crowns. Now, if you remember, the Rue aux Juifs in Cambray is a
narrow street which runs behind the Place aux Bois, and links the latter with
the Porte Notre Dame. Owing to the elaborate corbelling of the old houses
on either side, it appeared far narrower in the year 1581 than it does to-day,
[1] and the hostelry so pretentiously styled 'Les Trois Rois' was of the
humblest description.
[1] In the spring of 1914.

Gilles was satisfied to find it so. He liked its seclusion and had never
been difficile in the matter of his creature comforts. Secrecy and mutual
confidence were the greatest desiderata for the moment in the pursuit of his
adventure, and he knew enough about the exquisite Queen of Navarre that if
any male creature who dwelt within 'Les Trois Rois' had come within the
magic circle of her fascination, that man would go through fire and water,
torture and hell itself, in order to serve her.
So he knocked boldly at the ricketty front door of the humble hostelry. A

young man, thin and pale, wearing a long doublet of dark woollen stuff and
a black cap above his scanty yellow hair, opened the door and bade him
welcome. He had a lanthorn in his hand and held it high above his head,
surveying the stranger with that pathetic air, half-fear, half-entreaty,
wherewith the very poor are wont to regard those who might bring about a
small measure of change in their misery.
Gilles at once presented the letter which Madame la Reyne de Navarre

had given him for his prospective host. The young man glanced at the latter,
recognized the signature, and at once his almost cadaverous-looking face
became transfigured. His hollow eyes took on a glow of joy, his cheeks
assumed a warm hue, his long, bony hands clutched the welcome missive as
an idolater might clutch the relic which he worshipped.
There was no doubt that Messire Gilles would be made welcome—and

right welcome—in the humble hostelry. Not only would discretion be
assured him, but also unswerving devotion, of which indeed he might
presently stand in sore need.
'My mother,' stammered the youth, after he had recovered from his
primary emotion, 'is bedridden now, alas! but I will do my best to serve you,
Messire, and your henchman, to the best of my ability. I will tend you and
wait on you, and whatever this humble abode hath to offer is entirely at
your disposal. My liege lady commands,' he added, drawing up his spare
frame with the air of a devotee in the presence of his hero. 'I will obey her
in all things!'
We will not say that Gilles was exactly gratified to hear that the hostess
of 'Les Trois Rois' was bedridden and would be unable to attend on him, but
it is certain that he was not grieved. With this young enthusiast alone to
attend on him and to share the secret of his adventure, he was as secure
from untimely discovery as it was possible under the circumstances to be.
II
At eleven o'clock the next morning, Gilles sent word round to

Monseigneur the governor of the Cambrésis that he would wait on him
within the hour. Together with this message he sent the sealed letter wherein
the Queen of Navarre commended her dear brother François, Duc d'Anjou,
to the good graces of Monseigneur the governor.
At the hour when the messenger arrived, M. le Comte de Lalain, who

was governor of Flanders and one of d'Inchy's closest associates, was
closeted with the latter in one of the stately rooms of the Archiepiscopal
Palace where M. d'Inchy had taken up his abode after he had dispossessed
the Archbishop and taken possession of the city. D'Inchy, obviously nervy
and anxious, quickly dismissed the messenger; then he turned to de Lalain
and, throwing the Queen's letter across the table to him, he said briefly:
'Well, he has come!'
De Lalain in his turn read the letter through. Then he sighed.
'Yes,' he said. 'He, at any rate, seems determined to carry the adventure
through.'
'I hope to God that we have done right,' rejoined d'Inchy. 'The whole
thing, now that it is upon us, appears to me more foolish than ever it did
before.'
'And there is no drawing back now, unfortunately.'
'The whole affair is in God's hands,' quoth d'Inchy sententiously.

'In the hands of an irresponsible and dissolute prince,' said the other
moodily. 'I blame de Montigny for having consented so readily.'
'Then you must blame yourself too, my friend,' retorted d'Inchy dryly.
'You, too, consented, and so did I....'
'I know that well enough! Like yourself, de Montigny and I acted for the
best, though I for one could even now with zest strike that Valois Prince in
the face for this insult upon our ward.'
But d'Inchy apparently was all for a conciliating attitude and a cheerful
view of the situation.
'Do not,' he said lightly, 'let us use grandiloquent words, my dear de

Lalain. There is no insult in a man's desire to see the woman whom he is
asked to wed. For the time being Jacqueline will hold herself aloof. She will
appear little in public, and then only wearing a mask. After a few days, if
affairs seem to be shaping to our satisfaction, we can always allow a certain
degree of intimacy. Jacqueline is so beautiful that we really run no risk of
refusal. And,' he added with a quick sign of finality, 'in any case we had no
choice.'
'Alas, no!' rejoined de Lalain ruefully. 'For of a truth I cannot bring

myself to believe in Orange as the saviour of the Netherlands. He thinks
that he can rally the burghers and the mass of the people to his standard. But
I doubt it. And if he fails in his present campaign we shall all fall into a
veritable abyss of humiliation and dependence on those abominable
Spaniards—far worse than ever before.'
'And all our friends think the same, as you well know, my good de
Lalain,' continued d'Inchy firmly. 'An alliance with a prince of the House of
France is safer than a submission to the leadership of Orange. We want the
help of France; we want her well-trained armies, her capable generals, the
weight of her wealth and influence to drive the Spaniards out of our
provinces. Elizabeth of England promises much but holds little. She is on
the side of Orange. I am on the side of France.'
'So am I, my good d'Inchy,' rejoined de Lalain; 'else I had never
consented to the Queen of Navarre's madcap scheme.'
'Nor I,' concluded d'Inchy with the solemn earnestness of political

fanaticism. 'So why all these misgivings, my good friend?'
'Was it fair to the girl?' murmured the other almost involuntarily.

'Monsieur is as fickle as he is unprincipled. Had we the right to toy with a
woman's heart—a young girl's—our kinswoman——?'
'You wrong Jacqueline by such doubts, my friend. She is not a child nor
yet an irresponsible girl. She knows that her person and her fortune are
powerful assets in the future of her country. She is a patriot, and will never
allow sentiment to overrule her duty.'
Perhaps de Lalain would have liked to continue the argument. Obviously

his conscience was smiting him a little now that the curtain had actually
rung up on the first act of the foolish adventure. The ill-fame of the Valois
prince had preceded him long ago. De Lalain knew—and so did d'Inchy, so
did de Montigny—that Monsieur was both profligate and faithless. He, like
the others, had entered into a bargain with one whom they could never trust.
Was it fair? Was it just? Would God's blessing descend upon the proposed
Kingdom of the Netherlands if its foundations rested on so infamous a
base? And yet de Lalain, though conscious of that vague feeling of remorse,
had no thought of turning back. Even now, as a tall, masked figure appeared
under the lintel of the door in the wake of the usher, and then stepped boldly
into the room, he made a great effort to control his resentment. Though his
hand ached to drag the mask away from the man's face, to try and read him
eye to eye, his reason re-asserted itself, re-adjusted his thoughts and his
sentiments. 'This,' it whispered insistently, 'this man who has come to
Cambray masked and disguised, is a prince of the House of France. If he
approve of the beautiful Flemish heiress and consents to take her for wife,
the future of the Netherlands is assured, even though he were twenty times
as base as he is depicted.'
And reason gained the victory. D'Inchy already had gone a few steps
forward in order to greet his exalted visitor. De Lalain composed himself
too, even paid an involuntary tribute of admiration to that tall and martial-
looking figure which enshrined, so rumour had it, a soul that was both weak
and false.
III
And Messire Gilles de Crohin, the penniless soldier of fortune, the

mountebank set to play an unworthy part, was greeted by these two proud
Flemish nobles with all the respect due to a prince of the House of France.
And indeed there was nothing mean or humble about his appearance even
though he had come to Cambray with only one man to serve him, and that
man a rough and uncouth soldier with a ludicrous stutter which would at
once have provoked the gibes of Monseigneur, the governor's servants, but
for the fact that Maître Jehan's fists appeared as hard and harder than their
heads, and that his temper was so hot that he had already put the first
scoffers to flight by the mere rolling of his eyes. He was standing at this
precise moment immediately behind his master, and as soon as the usher
had withdrawn and the door been closed, he slipped quite unostentatiously
into the nearest corner and remained there, with his eyes fixed on Messire
like a faithful watch-dog, silent and keen.
The two Flemish lords had also waited until the usher had disappeared;
then only did they make obeisance, with all the ceremonious empressment
which the presence of a Royal personage demanded.
Let us admit at once that Gilles looked magnificent in Monsieur le Duc

d'Anjou's splendid clothes—doublet and trunks of fine satin, slashed and
puffed after the latest fashion; hose of Italian silk and short mantle of Genoa
velvet, exquisitely embroidered in dull silver and gold, the whole of that
sombre bottle-green hue specially affected by Monsieur and a miracle of the
dyer's subtle art. He had ruffles at neck and wrist of delicate Mechlin lace,
wore a mask with a frill of black lace pendant from it, which effectually hid
the whole of his face, and at his side a rapier which obviously hailed from
Toledo. Altogether a splendid prince! And it was difficult indeed to credit
the rumours which averred that he had undermined his constitution by high
living and drinking and a life of profligacy and excess.
He received the greetings of the Flemish lords with just the necessary
measure of gracious condescension, and through the slits of his mask he
was studying with keen anxiety what might be hidden behind those stolid
and stern faces and the frowning glances wherewith two pairs of eyes were
steadfastly regarding him.
D'Inchy waited in dutiful respect till Monsieur, Duc d'Anjou, was

pleased to be seated; then he said:
'Monseigneur understood, I hope, how it was that we did not present our
respects to you in person. Such a ceremony would have set the tongues of
our town gossips wagging more furiously than before.'
Already, it seemed that the presence of the stranger inside Cambray had
created some comment. In these days, when the Spanish armies swarmed all
over the province, when plots and counter-plots were being constantly
hatched in favour of one political side or another, strangers were none too
welcome inside the city. There was the constant fear of spies or of traitors,
of emissaries from Spain or France or England, of treason brewed or
brewing, which might end in greater miseries yet for any unfortunate
province which was striving for its own independence and the overthrow of
Spanish tyranny. Gilles, listening with half an ear to Monseigneur d'Inchy's
elaborate compliments, was inwardly marvelling whether spies had not
already come upon his track and would upset the Queen of Navarre's plans
even before they had come to maturity. He had a curious and exceedingly
uncomfortable sensation of unreality, as if these two stern-looking Flemings
were not actual personages but puppets moved by an unseen hand for the
peopling of his dreams. He answered the elaborate flummeries of the
governor with a vague: 'I thank you, Messire.' Then he added a little more
coherently: 'I understood everything, believe me, and must again thank you
for acceding to my wishes and to those of my sister, the Queen of Navarre.'
'Our one desire, Monseigneur,' continued d'Inchy stiffly, and still

speaking very deferentially, 'our one desire is to see the sovereignty of the
Netherlands secure in your keeping.'
Gilles roused himself. It was no use and ill policy to boot to allow that
feeling of unreality to dominate his mood so utterly. If he let himself drift
upon these waves of somnolence he might, with one unguarded word,
betray the grave interests which had been committed to his care.
'That is understood, Messire,' he said dryly. 'Messire de Montigny put the

whole matter before me and before my sister of Navarre. We both fell in
readily with your schemes. As for me, you know my feelings in the matter. I
only asked for delay and consideration ere I pledged myself irrevocably to
so grave an affair.'
'And we, equally readily, Monseigneur,' asserted de Lalain, 'do place

ourselves entirely at your service.'
After which preliminary exchange of compliments, the Flemings were

ready to discuss the matter in all its bearings. All the arguments which had
been adduced by de Montigny when the proposed marriage was being
discussed before the Queen of Navarre, were once more dished up for the
benefit of Monsieur. Gilles played his part with as much ease as his want of
experience would allow; but he was a soldier and not a courtier, ill-versed
too in the art of guarded speeches. He fumed and fretted over all these
pourparlers quite as much and more than Monsieur would have done, and
once or twice he caught sight through the slits of his mask of certain
glances of puzzled wonderment which passed between the two men at a
more than usually rough retort which had escaped his lips.
Half an hour drew its weary length along while the discussion
proceeded, and it was at the very end of that time that M. le Baron d'Inchy
said quite casually:
'Of course, you, Monseigneur, will understand that since you choose to
do your wooing under a mask, our ward, Madame Jacqueline de Broyart,
Dame de Morchipont, Duchesse et Princesse de Ramèse, will not appear in
public either, save also with a mask covering her face.'
Now Madame la Reyne de Navarre had not thought of this eventuality,

and indeed if it had truly been Monsieur Duc d'Anjou who had received this
ultimatum, he would undoubtedly have then and there turned on his heel
and left these mulish Flemings to settle their own affairs as they wished.
But Gilles had sworn to see the business through. Left to himself in this
difficulty, he was for the moment puzzled, but never tempted to give up the
game. The two Flemish lords appeared so determined, and with it all so
pleased, with their counter-stroke, that any kind of argument would only
have ended either in humiliating acquiescence or in the breaking off of the
negotiations then and there. The latter being of course unthinkable, Gilles
thought it best to take this part of the adventure as lightly as he had taken
the rest.
''Tis hard for a man to woo a maid whose face he is not allowed to see,'
he said, by way of protest.
'Oh, Monseigneur is pleased to jest!' was d'Inchy's calm rejoinder. 'It was
agreed that you should come to Cambray and see the noble lady who holds
in her dainty hand the sovereignty of the Netherlands for her future lord;
but, as Messire de Montigny had the honour to tell you, Madame Jacqueline
de Broyart is not going to be trotted out for any man's inspection—be he
King or Emperor, or Prince—like a filly that is put up for sale.'
'But man——' retorted Gilles, nettled by the Flemish lord's coolness.
'I crave Monseigneur's pardon,' broke in d'Inchy with perfect outward

deference; 'but we must remember that Monseigneur also is here for
inspection. If Madame Jacqueline refuses the alliance, neither I nor my co-
guardian would dream of forcing her choice.'
'That is understood, Messire,' rejoined Gilles coldly. 'And I have set

myself the task of wooing the lady with ardour, so as to win her affection as
well as her hand.'
'Oh, Monseigneur....' protested the Fleming with a deprecating smile.

'That is hardly the position, is it? You have reserved unto yourself the right
to withdraw. Well, we arrogate that same right for our ward.'
'A just arrogation, Messire,' riposted Gilles. 'But why the mask?' he
added blandly.
'If Monseigneur will woo Madame definitely and openly,' replied d'Inchy
firmly, 'she will not wear a mask either. But then there can be no question of
withdrawal if she consents.'
Now, to woo Madame Jacqueline definitely and openly was just the one
thing Gilles could not do. So there was the difficulty and there the cunning
and subtlety of these Flemish lords, who had very cleverly succeeded in
getting Monsieur into a corner and in safeguarding at the same time the
pride and dignity of the greatest heiress in Flanders. Gilles would have
given all the worlds which he did not possess for the power to consult with
Madame la Reyne de Navarre over this new move on the part of the
Flemings. But, alas! she was far away now, flying across France after her
faithless brother, hoping soon to catch him by the tails of his satin doublet
and to drag him back to the feet of the rich heiress whom that unfortunate
Gilles was deputed to woo and win for him. And Gilles was left to decide
for himself, which he did with a 'Very well, Messire, it shall be as you
wish!' and as gracious a nod and bow to these two obstinate men as he
could bring himself to perform; for, of a truth, he would gladly have given
each a broken head.
Thus the actual discussion of the affair was ended. After that, there were
only a few minor details to talk over.
'You two gentlemen,' Gilles said after a slight pause, during which he
had been wondering whether it were a princely thing to do to rise and take
his leave. 'You two gentlemen are alone in the secret of this enterprise?'
'For the moment, yes,' replied d'Inchy guardedly. 'But others will have to
know ... some might even guess. I shall have to explain the matter to my
private secretary, and one or two members of my Privy Council have certain
rights which we could not disregard.'
'And what about Messire de Montigny?' queried Gilles warily.
'He hath gone to Utrecht to join the Prince of Orange.'
'When doth he return?'
'Not before the summer.'

A short, quick sigh of relief escaped Gilles' lips. At the back of his mind
there had always lurked the ever-present fear of one who wilfully deceives
his fellow-men—the fear of being found out. In this, Montigny was the
greatest, nay! the only danger. With him out of the way, the chances of
discovery became remote.
'To every one else, then, Messire,' he continued more firmly, 'I shall pass
as the Prince de Froidmont.'
'To every one else, Monseigneur,' replied d'Inchy.
'To Madame Jacqueline de Broyart?'
'Certainly, Monseigneur.'
'She hath no suspicions?'
'None.'
'Doth she know that it is your desire she should become the wife of the
Duc d'Anjou ... that she should become my wife, I mean?'
'No, Monseigneur; she does not.'
'Then I have a clear field before me!' he exclaimed gaily.
'A clear field, Monseigneur,' broke in de Lalain firmly, 'for two weeks.'
'Two weeks?' retorted Gilles with a quick frown. 'Why only two weeks?'
'Because,' said the other with solemn earnestness, 'because the Duke of
Parma's armies are already swarming over our province. If they should
invest Cambray we could not hold out alone. Monseigneur must be ready
by then to support us with influence, with men and with money. If you
turned your back on us and on the proposed alliance with a Flemish heiress,
we should have to look once more to Orange as our future Lord.'
'I understand,' rejoined Gilles dryly. ''Tis an "either—or" that you place
before me.'
Then, as d'Inchy remained respectfully silent, M. de Lalain broke in
abruptly:
'Think you, Monseigneur, that the people of the Netherlands, after all
that they have suffered in intolerance and religious persecution, would
accept a Catholic sovereign unless his wife, at least, were of their nation
and of their faith?'
A sharp retort hovered on Gilles' lips; already a curt 'Pardi, Messire——'

had escaped him, when suddenly he paused, listening. A loud ripple of
laughter, merry, sunny, girlish, rang out clearly from beyond the
monumental doors, rising in its joyous cadence above the oppressive silence
and solemnity of this gloomy Palace and the grave colloquy of Monsieur
d'Inchy and his colleagues. Only for a moment, and the laughter died away
again, making the silence and solemnity seem more gloomy than before. It
seemed to Gilles as if it all were part of that same dream, that it was really
intangible and non-existent, just like these sober seigneurs, like himself,
like the whole situation which had landed him—Gilles de Crohin—into the
midst of this mad adventure.
He threw back his head and laughed in hearty echo. The whole humour
of the situation suddenly struck him with the full force of its irresistible
appeal. Life had been so dull, so drab, so uneventful of late! Here was
romance and excitement and gaiety; a beautiful maid—Gilles had become
suddenly convinced that she was beautiful—some blows; some knocks; a
master to serve; a beautiful, sorrowing Queen to console; spurs to be won
and a fortune to be made!
'And, by Heaven, Messire!' he exclaimed lightly, 'The God of Love shall

favour me. Your ward is exquisite and I am very susceptible. What are two
weeks? 'Tis but two seconds a man requires for losing his heart to a
beautiful wench. And if the fickle god fails me,' he added with a careless
shrug of the shoulders, 'well, where's the harm? After this—this romantic
episode, shall we say?—Madame Jacqueline will either be Duchesse
d'Anjou et d'Alençon, a happy and worshipped bride, or the Prince de
Froidmont will disappear from her ken as unobtrusively as he came. And
you, Messeigneurs,' he concluded lightly, 'will have to offer the sovereignty
of the Netherlands to one who is worthier than I.'
Neither d'Inchy nor de Lalain appeared to have anything to say after that.
They were both looking moody—even forbidding—for the moment, though
they bowed their heads in humble respect before this prince whose light-
heartedness jarred upon their gravity.
And here the matter ended for the nonce. Gilles took leave of his stiff-
necked hosts and returned to 'Les Trois Rois,' having declared most
solemnly that he must have time to prepare himself for so strange a wooing.
A masked wench; think on it! It changed the whole aspect of the situation!
A respite of four days was, however, all that was respectfully but firmly
granted to him for this preparation, and Messire Gilles spent the next few
hours in trying to devise some means whereby he could outwit the Flemish
lords and catch sight of Madame Jacqueline ere he formally set out to woo
her. Of a truth, the dull-witted and stodgy Flemings whom Monsieur
affected to despise, had not much to learn in the matter of finesse and
diplomacy from the wily Valois! This counter-stroke on their part was a real
slap-in-the-face to the arrogant prince who was condescending to an
alliance, of which every other reigning house in Europe would have been
proud.
CHAPTER VII
WHY MADAME JACQUELINE WAS SO LATE IN

GETTING TO BED
Old Nicolle, restless and cross, was fidgeting about the room, fingering
with fussy inconsequence the beautiful clothes which her mistress had taken
off half an hour ago preparatory to going to bed—clothes of great value and
of vast beauty, which had cost more money to acquire than good Nicolle
had ever handled in all her life. There was the beautiful gown which
Madame had worn this evening at supper, fashioned of black satin and all
slashed with white and embroidered with pearls. There was the underdress
of rich crimson silk, worked with gold and silver braid; there were the
stockings of crimson silk, the high-pattened shoes of velvet, the delicately
wrought fan, the gloves of fine chamois skin, the wide collarette edged with
priceless lace. There was also the hideous monstrosity called the farthingale
—huge hoops constructed of whalebone and of iron which, with the no less
abominable corset of wood and steel, was intended to beautify and to refine
the outline of the female figure and only succeeded in making it look
ludicrous and ungainly. There were, in fact, the numberless and costly
accessories which go to the completion of a wealthy lady's toilet.
Madame had divested herself of them all and had allowed Nicolle to
wrap a woollen petticoat round her slender hips and to throw a shawl over
her shoulders. Then, with her fair hair hanging in heavy masses down her
back, she had curled herself up in the high-backed chair beside the open
window—the open window, an it please you! and the evening, though mild,
still one of early March! Old Nicolle had mumbled and grumbled. It was
ten o' the clock and long past bedtime. For awhile she had idled away the
hour by fingering the exquisite satin of the gown which lay in all its rich
glory upon the carved dowry chest. Nicolle loved all these things. She loved
to see her young mistress decked out in all the finery which could possibly
be heaped up on a girlish and slender body. She never thought the silks and
satins heavy when Jacqueline wore them; she never thought the farthingale
unsightly when Jacqueline's dainty bust and shoulders emerged above it like
the handle of a huge bell.
But gradually her patience wore out. She was sleepy, was poor old
Nicolle! And Madame still sat squatting in the tall chair by the open
window, doing nothing apparently save to gaze over the courtyard wall to
the distance beyond, where the graceful steeple of St. Géry stood outlined
like delicate lace-work against the evening sky.
''Tis time Madame got to bed,' reiterated the old woman for the twentieth
time. 'The cathedral tower hath chimed the quarter now. Whoever heard of
young people not being abed at this hour! And Madame sitting there,' she
added, muttering to herself, 'not clothed enough to look decent!'
Jacqueline de Broyart looked round to old Nicolle with amusement

dancing in her merry blue eyes.
'Not decent?' she exclaimed with a laugh. 'Why, my dear Colle, nobody
sees me but you!'
'People passing across the courtyard might catch sight of Madame,' said
Nicolle crossly.
'People?' retorted Jacqueline gaily. 'What people?'
'Monseigneur had company to-night.'
'They all went away an hour ago.'
'Then there are the varlets and maids——'
'E'en so,' rejoined Jacqueline lightly, 'my attire, meseems, is not lacking
in modesty. I am muffled up to my nose in a shawl and—— Oh!' she added
with a quick sigh of impatience, 'I am so comfortable in this soft woollen
petticoat. I feel like a human being in it and not like a cathedral bell. How I
wish my guardian would not insist on my wearing all these modish clothes
from Paris! I was so much more comfortable when I could don what I most
fancied.'
'Monseigneur le Baron d'Inchy,' said Nicolle sententiously, 'knows what

is due to your rank, Madame, and to your wealth.'
'Oh! a murrain upon my rank and upon my wealth!' cried the young girl
hotly. 'My dear mother rendered me a great disservice when she bare me to
this world. She should have deputed some simple, comfortable soul for the
work, who could have let me roam freely about the town when I liked, run
about the streets barefooted, with a short woollen kirtle tied round my waist
and my hair flying loose about my shoulders. I could have been so happy as
a humble burgher's daughter or a peasant wench. I do so loathe all the
stiffness and the ceremony and the starched ruffles and high-heeled shoes.
What I want is to be free—free!—Oh!——'
And Jacqueline de Broyart stretched out her arms and sighed again, half-
longingly, half-impatiently.
'You want to be free, Madame,' muttered old Nicolle through her

toothless gums, 'so that you might go and meet that masked gallant who has
been haunting the street with his music of late. You never used to sigh like
this after freedom and ugly gowns before he appeared upon the scene.'
'Don't scold, old Colle!' pleaded the girl softly. And now her arms were
stretched towards the old waiting-woman.
Nicolle resisted the blandishment. She was really cross just now. She
turned her back resolutely upon the lovely pleader, avoiding to look into
those luminous blue eyes, which had so oft been compared by amorous
swains to the wild hyacinths that grow in the woods above Marcoing.
'Come and kiss me, Colle,' whispered the young charmer, 'I feel so
lonely somehow to-night. I feel as if—as if——'
And the young voice broke in a quaint little gasp which was almost like
a sob.
In a moment Nicolle—both forgiving and repentant—was kneeling

beside the high-backed chair, and with loving, wrinkled hands holding a
delicate lace handkerchief, she wiped the tears which had gathered on
Jacqueline's long, dark lashes.
'My precious lamb, my dove, my little cabbage!' she murmured lovingly.

'What ails thee? Why dost thou cry? Surely, my pigeon, thou hast no cause
to be tearful. All the world is at thy feet; every one loves thee, and M. de
Landas—surely the finest gentleman that ever walked the earth!—simply
worships the ground thy little foot treads on. And—and'—added the old
woman pitiably—'thy old Colle would allow herself to be cut into a
thousand pieces if it would please thee.'
Whereupon Jacqueline broke into a sudden, gay and rippling laugh, even
though the tears still glistened on her lashes.
'I shouldn't at all enjoy,' she said lightly, 'seeing my dear old Colle cut
into a thousand pieces.'
'Then what is it, my beloved?'
Jacqueline made no reply. For a few seconds she remained quite silent,
her eyes fixed into nothingness above old Colle's head. One would almost
have thought that she was listening to something which the old woman
could not hear, for the expression on her face was curiously tense, with eyes
glowing and lips parted, while the poise of her girlish figure was almost
rigidly still. The flame of the wax candles in the tall sconces flickered
gently in the draught, for the casement-window was wide open and a soft
breeze blew in from the west.
'Come, my cabbage,' pleaded Nicolle as she struggled painfully to her

feet. 'Come and let thy old Colle put thee to bed. Thou must be tired after
that long supper party and listening to so much talking and music. And to-
morrow yet another banquet awaits thee. Monseigneur hath already desired
thy presence——'
'I don't want to go to another banquet to-morrow, Colle,' sighed the

young girl dolefully. 'And I am sick of company and of scrapings and
bowings and kissing of hands—stupid flummery wherewith men regale me
because I am rich and because they think that I am a brainless nincompoop.
I would far rather have supper quietly in my room every night—quite alone
——'
But old Colle evidently thought that she knew better than that. 'Heu!
heu!' she muttered with a shrug of the shoulders, accompanied by a
knowing wink. 'What chance wouldst thou have then of seeing M. de
Landas?'
'I hardly can speak with M. de Landas during those interminable
banquets,' rejoined Jacqueline with a sigh. 'My guardian or else M. de
Lalain always seem in the way now whenever he tries to come nigh me.'
'I'll warrant though that M. de Landas knows how to circumvent

Monseigneur,' riposted the old woman slyly. Like so many of her sex who
have had little or no romance in a dull and monotonous life, there was
nothing that old Colle enjoyed more than to help forward a love intrigue or
a love adventure. M. de Landas she had, as it were, taken under her special
protection. He was very handsome and liberal with money, and in his love-
making he had all the ardour of his Southern blood, all of which attributes
vastly appealed to old Colle. The fact that Monseigneur le Baron d'Inchy
did not altogether favour the young man's suit—especially of late—lent
additional zest to Nicolle's championship of his claims.
'Even so,' said Jacqueline with sudden irrelevance, 'there are moments
when one likes to be alone. There is so much to think about—to dream of
——'
'I know, I know,' murmured the old woman crossly. 'Thy desire is to sit
here half the evening now by the open window, and catch a deathly ague
while listening to that impudent minstrel who dares to serenade so great a
lady.'
She went on muttering and grumbling and fidgeting about the room,
unmindful of the fact that at her words Jacqueline had suddenly jumped to
her feet; eyes blazing, small fists clenched, cheeks crimson, she suddenly
faced the garrulous old woman.
'Nicolle, be silent!' she commanded. 'At once! Dost hear?'
'Silent? Silent?' grumbled the woman. 'I have been silent quite long
enough, and if Monseigneur were to hear of these doings 'tis old Nicolle
who would get the blame. As for M. de Landas, I do verily believe that he
would run his sword right through the body of the rogue for his impudence!
I know.... I know,' she added, with a tone of spite in her gruff voice. 'But let
me tell thee that if that rascally singer dares to raise his voice again to-night
——'
She paused, a little frightened at the fierce wrath which literally blazed
out of her mistress's eyes.
'Well?' said Jacqueline peremptorily, but in a very husky voice. 'Why

dost thou not finish? What will happen if the minstrel, whose singing hath
given me exquisite joy these three nights past, were to raise his heavenly
voice again?'
'Pierre will make it unpleasant for him, that's all!' replied the old woman
curtly.
'Pierre?'
'Yes; Pierre! M. de Landas' serving-man. I told him to be on the look-out,

outside the postern gate, and—well!—Pierre has a strong fist and a heavy
staff, and...'
In a moment Jacqueline was by Nicolle's side. She seized the old woman
by the wrist so that poor Colle cried out with pain, and it was as the very
living image of a goddess of wrath that the young girl now confronted her
terrified serving-maid.
'Thou hast dared to do that, Nicolle?' she demanded in a choked and

quivering voice. 'Thou wicked, interfering old hag! I hate thee!' she went on
remorselessly, not heeding the looks of terror and of abject repentance
wherewith Colle received this floodgate of vituperation. 'I hate thee, dost
hear? And if Pierre doth but dare to lay hands on that exquisite singer I'll
ask M. de Landas to have him flogged—yes, flogged! And I'll never wish to
see thy face again—thou wicked, wicked Colle!'
Mastered by her own emotion and her passionate resentment, Jacqueline

sank back into a chair, her voice broken with sobs, and tears of genuine rage
streaming down her cheeks. Nicolle, quite bewildered, had stood perfectly
still, paralysed in fact, whilst this storm of wrathful indignation burst over
her devoted head. In spite of her terror and of her remorse, there had
lingered round her wrinkled lips a line or two of mulish obstinacy. The
matter of the unknown singer, who had not only ventured to serenade the
great and noble Dame Jacqueline, Duchesse et Princesse de Ramèse and of

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Foundations of Quantitative Finance.

Book V: General Measure and

Foundations of Quantitative Finance. Book IV:

Foundations of Finance (Pearson Series in Finance)

Foundations of Finance John D. Martin

Foundations of Antenna Radiation Theory: Eigenmode

Foundations of Finance, Global Edition 9th Edition,

General Surgery Examination and Board Review 1st

Chemistry in Quantitative Language: Fundamentals of

Integration of Mechanical and Manufacturing Engineering

Financial Mathematics: A Comprehensive Treatment in Discrete Time

and by CRC Press

CRC Press is an imprint of Taylor & Francis Group, LLC

© 2024 Robert R. Reitano

Library of Congress Cataloging-in-Publication Data

Names: Reitano, Robert R., 1950- author.

ISBN: 978-1-032-20651-6 (hbk)

Typeset in CMR10 font

3 General Integration Theory 36

3.4.1 Riemann Integrals . . . . . . . . . . . . . . . . . . . . . . . . . . . . 70

5 Integrals in Product Spaces 117

6 Two Applications of Fubini/Tonelli 140

7 The Fourier Transform 152

8 General Measure Relationships 180

9 The Lp Spaces 204

Robert R. Reitano is Professor of the Practice of Finance at the Brandeis International

Foundations of Quantitative Finance is structured as follows:

Example 1.3 (Semi-algebra, algebra, and sigma algebra generated by E) Gene-

Br (x) = {y|d(x, y) < r},

Definition 1.5 (Topology) A topology on a set X is a collection of subsets, denoted by

• For Lebesgue measure µ ≡ m and X = R, Definition I.2.21 also adds the

m(I) = m(I + x),

• Subadditivity: When {Ai }N i=1 is a finite (N < ∞) or countable (N = ∞) collection of

This follows from

Exercise 1.10 (Finite/countable X) Verify that if X is a finite or countable set, then

1.1 Lebesgue and Borel Spaces on R

1.1.1 Starting Points

If A ∈ P (R) , the Lebesgue outer measure of A, denoted m∗ (A), is defined in I.(2.4):

|I|F = F (b) − F (a) , (1.7)

where F (x) is an increasing, right continuous function.

where An ∈ A and µA (An ) is F -length and defined in (1.7).

The big question now becomes:

1.1.2 Lebesgue Measure Space

1. There is a Lebesgue measure on P (R), but it is not m∗ ;

Definition 1.11 (Lebesgue measurable set) A set A ⊂ R is said to be Lebesgue mea-

The collection of Lebesgue measurable sets is denoted ML ≡ ML (R).

Thus by Carathéodory’s criterion, a set A will be deemed to be Lebesgue measurable

1.1.3 Borel Measure Spaces

µ [(a, b]] = Fµ (b) − Fµ (a). (1.10)

Definition 1.12 (Measure on an algebra) A measure on an algebra, sometimes

Definition 1.13 (Carathéodory measurability w.r.t. µ∗A ) Let F (x) be an increasing,

is Carathéodory measurable with respect to µ∗A , or simply µ∗A measurable, if for

1.2 General Extension Theory

Definition 1.14 (Semi-algebra of sets) A collection A0 of sets from a space X is called

The collection A0 = A, an algebra, if in place of item 2 we have:

3. Countable Subadditivity: Given a countable collection {Aj }∞

Proposition 1.17 (Carathéodory extension theorem 1) Let µ∗ be an outer measure

Then C(X) is a complete sigma algebra.

The Hahn-Kolmogorov extension theorem of Proposition I.6.4 is named for Hans

Proposition 1.18 (Hahn–Kolmogorov extension theorem) Let A be an algebra of

The final existence result of Proposition I.6.13 is again attributable to Constantin

It should be noted that there is no loss of generality in assuming that {Bj }∞

Proposition 1.22 (Uniqueness of Extensions to σ(A)) Let µA be a σ-finite measure

1.3 Measure Space Constructions

That is, given > 0 there is a δ ≡ δ (x0 , ) > 0 so that:

|f (x) − f (x0 )| < if |x − x0 | < δ.

d2 (f (x), f (x0 )) < if d1 (x, x0 ) < δ.

Br (x0 ) ⊂ f −1 (B (y0 )) ⊂ f −1 (G).