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.
In the setting of The Real Numbers: Standing Notation and Background, let be a set and let be a family of subsets of such that , for every , and for all ; in particular . Let be the -algebra generated by , a -algebra on by claim 2 of Intersections of Sigma-Algebras and Minimality of the Generated Sigma-Algebra, so that is a measurable space. Let be a function with for every and which is countably additive on : for every sequence of pairwise disjoint members of whose union belongs to , the series converges and its sum is .
1. (Extension) There is a measure on the measurable space with for every ; in particular is a real number, so that is finite.
2. (Uniqueness) If and are measures on with for every , then .
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