TheoremBase

Extension of a Finite Premeasure from an Algebra of Sets to the Generated Sigma-Algebra

A finite, countably additive set function on an algebra of subsets extends to a measure on the generated sigma-algebra, and the extension is unique.

Statement

In the setting of The Real Numbers: Standing Notation and Background, let Ω\Omega be a set and let A\mathcal{A} be a family of subsets of Ω\Omega such that Ω∈A\Omega\in\mathcal{A}, Ω∖A∈A\Omega\setminus A\in\mathcal{A} for every A∈AA\in\mathcal{A}, and A∪B∈AA\cup B\in\mathcal{A} for all A,B∈AA,B\in\mathcal{A}; in particular ∅=Ω∖Ω∈A\varnothing=\Omega\setminus\Omega\in\mathcal{A}. Let σ(A)\sigma(\mathcal{A}) be the σ\sigma-algebra generated by A\mathcal{A}, a σ\sigma-algebra on Ω\Omega by claim 2 of Intersections of Sigma-Algebras and Minimality of the Generated Sigma-Algebra, so that (Ω,σ(A))(\Omega,\sigma(\mathcal{A})) is a measurable space. Let m:A→Rm:\mathcal{A}\to\mathbb{R} be a function with m(A)≥0m(A)\ge0 for every A∈AA\in\mathcal{A} and m(∅)=0m(\varnothing)=0 which is countably additive on A\mathcal{A}: for every sequence (Ai)i∈N(A_{i})_{i\in\mathbb{N}} of pairwise disjoint members of A\mathcal{A} whose union AA belongs to A\mathcal{A}, the series ∑i=1∞m(Ai)\sum_{i=1}^{\infty}m(A_{i}) converges and its sum is m(A)m(A).

1. (Extension) There is a measure mˉ\bar{m} on the measurable space (Ω,σ(A))(\Omega,\sigma(\mathcal{A})) with mˉ(A)=m(A)\bar{m}(A)=m(A) for every A∈AA\in\mathcal{A}; in particular mˉ(Ω)=m(Ω)\bar{m}(\Omega)=m(\Omega) is a real number, so that mˉ\bar{m} is finite.

2. (Uniqueness) If mˉ1\bar{m}_{1} and mˉ2\bar{m}_{2} are measures on (Ω,σ(A))(\Omega,\sigma(\mathcal{A})) with mˉ1(A)=mˉ2(A)=m(A)\bar{m}_{1}(A)=\bar{m}_{2}(A)=m(A) for every A∈AA\in\mathcal{A}, then mˉ1=mˉ2\bar{m}_{1}=\bar{m}_{2}.

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