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Lectures on Measure Theory

General recommendations.
• These lectures assume that the audience is familiar with measure theory.
• The videos do not replace the books. I suggest to choose one among the
many listed at the end of these notes and to read the corresponding sections
before or after the videos.
• After the statement of a result, interrupt the video and try to prove the
assertion. It is the only way to understand the difficulty of the problem, to
differentiate simple steps from crucial ones, and to appreciate the ingenuity
of the solution. Sometimes you find an alternative proof of the result.
• In all exercises in Taylor’s book, you should replace semi-ring, ring and
σ-ring by semi-algebra, algebra and σ-algebra.
• You can speed-up or slow-down the video. By pressing settings at the
bottom-right corner, you can modify the playback speed.
• Send me an e-mail if you find a mistake which is not reported in these notes.
• If you typed in latex, with no personal definitions nor the use of special
packages, solutions to some exercises proposed below, send the file. Hope-
fully, I’ll create a note with solutions to the exercises, acknowledging the
authors of the solutions.
• A note about the methodology. I ask the students to view the video(s)
before the class. In the first part of the lecture, I recall the content of the
video. Sometimes, I ask one of the students to replace me. Occasionally,
the student is randomly chosen. This is the opportunity for the students to
ask questions on the content of the class. In the second part of the lecture, I
present some of the applications included in the “Further Readings” topic.

August 17, 2020


1
2

Lecture 1: A non-measurable set

Summary. This lecture is based on [Taylor, Section 4.4].


Content and Comments.
0:00 Let P(R) be the family of subsets of R. We prove that it is not possible to
define a function λ : P(R) → R+ ∪ {+∞} such that
– λ( (a, b] ) = b − a for all a < b;
– λ(A + x) = λ(A) P for all A ∈ P(R), x ∈ R;
– λ(∪j≥1 Aj ) = j≥1 λ(AJ ) for all countable family Aj of disjoint sub-
sets of R.
The proof uses the axiom of choice. There are model in set theory without
the axiom of choices in which all subsets of R are measurable. See Solovay,
Robert M. (1970), “A model of set-theory in which every set of reals is
Lebesgue measurable”, Annals of Mathematics, Second Series, 92 (1): 156,
doi:10.2307/1970696.
3

Lecture 2: Classes of subsets and set functions

Summary. This lecture is based on [Taylor, Sections 1.5 and 3.1].


Content and Comments.
0:00 Definition of a semi-algebra S of subsets of a set Ω. Note that Taylor
considers semi-rings. The difference is that in the definition of semi-algebra
one requires the set Ω to belong to the class of sets, while this is not required
in the definition of semi-rings.
4:02 Example of semi-algebras.
9:12 Definition of an algebra A of subsets of a set Ω.
12:12 Definition of a σ-algebra F of subsets of a set Ω. At [12:36], I say semi-
algebra. I meant, of course, σ-algebra.
14:17 Intersections of arbitrary algebras is an algebra. The same holds for σ-
algebras. This is the Lemma of [Taylor, Sections 1.5].
21:20 Algebra generated by a class C of subsets of Ω.
29:29 Lemma: A characterization of the elements of the algebra A = A(S) gen-
erated by a semi-algebra S. [Taylor, Theorem 1.4].
49:18 Definition of additive functions µ : C ⊂ P(Ω) → R+ ∪ {+∞}.
52:34 Let µ : C → R+ ∪ {+∞} be additive function. If there exists A ∈ C such
that µ(A) < ∞, then µ(∅) = 0.
54:39 Let µ : C → R+ ∪ {+∞} be an additive function. It E ⊂ F , then µ(E) ≤
µ(F ).
58:44 Examples of additive functions. Discrete measures.
1:01:04 Definition of σ-additive functions µ : C ⊂ P(Ω) → R+ ∪ {+∞}.
1:03:33 Example of an additive function µ : C ⊂ P((0, 1)) → R+ ∪ {+∞} which is
additive and not σ-additive.

Further Readings.
A. [Billingsley, Section 1.2] has many examples. In contrast with the lectures,
this reference focuses on finite measures.
Recall that in all exercises in Taylor’s book, you should replace semi-ring, ring and
σ-ring by semi-algebra, algebra and σ-algebra.
Recommended exercises.
*a. Prove [Taylor, Theorems 1.3 and 1.6],
b. [Taylor, Section 1.5], exercises 1, 2, 4, 5, 7, 10.
*c. Let S be a semi-algebra of subsets of a set X. Show that ∅ belongs to S.
*d. Fill the details of Examples 1–6 in [Taylor, Section 3.1].
*e. Prove [Taylor, Theorem 3.1].
*f. Check which of the Examples 1–6 are σ-additives.
g. [Taylor, Section 3.1], exercises 5, 6.
Suggested exercises.
a. [Taylor, Section 1.5], exercises 3, 6, 9.
b. [Taylor, Section 3.1], exercises 1, 2, 3, 4.
c. Fill the details of Examples 2 – 6 of [Billingsley, Section 1.2].
d. Prove [Munroe, Theorems 10.2 and 10.3].
4

Lecture 3: Set functions

Summary. This lecture is based on [Taylor, Sections 3.1 and 3.3].


Content and Comments.
0:00 Definition of continuous set functions (from below and from above).
5:41 Comment on the hypothesis that µ(En ) < ∞ in the definition of continuity
from above.
7:17 Lemma: A algebra of sets, µ : A → R+ ∪ {+∞}. If µ is σ-additive then
it is continuous. If µ is continuous from below, then it is σ-additive. If
µ is finite and continuous from above at ∅, then it is σ-additive. [Taylor,
Theorem 3.2].
35:21 Comment on the hypothesis that µ is finite in the lemma above.
40:26 Theorem: Let S ⊂ P(Ω) be a semi-algebra of subsets of Ω and µ : S →
R+ ∪ {+∞} an additive set function. There exists a unique extension of
µ to the algebra A(S) generated by the semi-algebra S. [Taylor, Theorem
3.4].
1:00:43 In the previous theorem, if the set function µ : S → R+ ∪ {+∞} is σ-
additive, then the extension is also σ-additive. [Taylor, Theorem 3.4].

Further Readings.
A. [Billingsley, Section 10.1] has many examples.
Recommended exercises.
a. [Taylor, Section 3.1], exercises 10, 11, 14.
b. [Taylor, Section 3.3], exercises 3, 4.
c. Fill the details of examples 2, 3 and 4 in [Billingsley, Section 10.1].
Suggested exercises.
a. [Taylor, Section 3.1], exercises 7, 8, 9.
b. [Taylor, Section 3.3], exercises 1, 2.
c. [Billingsley, Section 10.1], exercises 1, 2.
5

Lecture 4: Carathéodory theorem

Summary. This lecture is based on on [Taylor, Sections 4.1].


Content and Comments.
0:00 Summary of the lecture. How to extend a measure ν defined on an algebra
A to the σ-algebra generated by this algebra.
5:26 Definition of the set function (which will be shown to be an outer measure)
π ∗ : P(Ω) → R+ ∪ {+∞}.
8:04 Definition of an outer measures.
10:26 Proof that π ∗ is an outer measure.
22:07 definition of the measurable sets M.
24:08 The class M is a σ-algebra which contains the algebra A. In particular
it contains F(A), the σ-algebra generated by A. This is part of [Taylor,
Theorem 4.1].
1:00:51 π ∗ restricted to M is σ-additive. This is part of [Taylor, Theorem 4.1].
1:14:41 Uniqueness of the extension on F(A) provided ν is σ-finite. [Taylor, The-
orem 4.2].
1:20:12 Definition of monotone classes.
1:23:00 Intersection of monotone classes is a monotone class. The monotone class
generated by a family of sets.
1:26:19 The monotone class generated by an algebra coincides with the σ-algebra
generated by the algebra. In particular, a monotone class which contains
an algebra also contains the σ-algebra generated by the algebra. This is
how this result will be applied.
1:27:21 Proof of the uniqueness of the extension on F(A).
1:41:31 Remarks on Carathéodory theorem.

Further Readings.
A. [Taylor, Sections 4.1] introduces the concept of regular outer measures and
inner measures. It apllies the construction to the case of the Lebesgue
measure.
Recommended exercises.
a. [Taylor, Section 4.1], exercises 4, 7, 8, 10,
*b. [Taylor, Section 4.1], exercise 5, 11 (This exercise shows that the hypothesis
that ν is σ-finite is needed for the uniqueness of the extension, 12.
c. [Billingsley, Section 3], exercise 5
Suggested exercises.
a. [Taylor, Section 4.1], exercises 1, 2, 3, 6, 9. (exercises 2 and 9 need the
concept of regular outer measure, not yet seen)
b. [Billingsley, Section 3], exercise 2.
6

Lecture

Summary. This lecture is based on


Content and Comments.
0:00

Further Readings.
A.
Recommended exercises.
a.
Suggested exercises.
a.
7

Lecture

Summary. This lecture is based on


Content and Comments.
0:00

Further Readings.
A.
Recommended exercises.
a.
Suggested exercises.
a.

References
[Billingsley] P. Billingsley, Probability and measure. Third edition. Wiley Series in Probability
and Mathematical Statistics. A Wiley-Interscience Publication. John Wiley & Sons, Inc.,
New York, 1995. ISBN: 0-471-00710-2
[Fernandez] Pedro Jesus Fernandez, Medida e integrao. IMPA, 2007
[Halmos] P. R. Halmos, Measure Theory, Graduate Text in Mathematics, volume 18 Springer,
1974
[Munroe] M. E. Munroe, Measure and Integration, second edition Addison-Wesley, 1971
[Royden] H. L. Royden Real Analysis. Third edition. Macmillan Publishing Company, New York,
1988. xx+444 pp. ISBN: 0-02-404151-3
[Rudin] W. Rudin, Principles of Mathematical Analysis. Third edition. McGraw-Hill, Inc. New
York 1964.
[Taylor] S. J. Taylor, Introduction to Measure and Integration, Cambridge University Press, 1973.
ISBN 978-0-521-09804-5

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