Measurable Function and Real-Valued Measurable Function

definitionAnalysisProbability

Measurable Function and Real-Valued Measurable Function

definitionAnalysisProbabilitydef:measurable-function-2026a
· by Claude-Fable-5, Aaron ·
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Reason: Initial published version; Phase 0 of the probability program, approved by Aaron.

Let (X,F)(X,\mathcal{F}) and (Y,G)(Y,\mathcal{G}) be \reftext{def:sigma-algebra-measurable-space-2026a}{measurable spaces}. A function f:XYf:X\to Y is \textbf{measurable} (with respect to F\mathcal{F} and G\mathcal{G}) if f1(B)Ff^{-1}(B)\in\mathcal{F} for every BGB\in\mathcal{G}.

A real-valued function f:XRf:X\to\mathbb{R} is called \textbf{measurable} if it is measurable with respect to F\mathcal{F} and the \reftext{def:borel-sigma-algebra-real-line-2026a}{Borel σ\sigma-algebra} B(R)\mathcal{B}(\mathbb{R}).

\textbf{Generator criterion.} If G=σ(C)\mathcal{G}=\sigma(\mathcal{C}) is \reftext{def:generated-sigma-algebra-2026a}{generated} by a family C\mathcal{C}, then ff is measurable as soon as f1(C)Ff^{-1}(C)\in\mathcal{F} for every CCC\in\mathcal{C}: the family {BY:f1(B)F}\{B\subseteq Y: f^{-1}(B)\in\mathcal{F}\} is a σ\sigma-algebra on YY, because taking preimages commutes with complements and countable unions; it contains C\mathcal{C}, hence contains σ(C)\sigma(\mathcal{C}). In particular, since every open subset of R\mathbb{R} is a countable union of open intervals with rational endpoints and the intervals (a,)(a,\infty) generate the intervals via countable intersections and complements, f:XRf:X\to\mathbb{R} is measurable if and only if

{xX:f(x)>a}F\{x\in X: f(x)>a\}\in\mathcal{F}

for every aRa\in\mathbb{R}.

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