Caratheodorys extension theorem

DBW
February 7, 2011
These notes are meant as introductory notes on Caratheodorys extension theorem. The
presentation is not completely my own work; the presentation heavily relies on the presentation of Noel Vaillant on http://www.probability.net/WEBcaratheodory.pdf.
To make the line of arguments as clear as possible, the starting point is the notion of a
ring on a topological space and not the notion of a semi-ring.

Elementary definitions and properties

We fix a topological space . The power set of is denoted P() and consists of all
subsets of .
Definition 1. A ring on on is a subset R of P(), such that
(i) R
(ii) A, B R A B R
(iii) A, B R A \ B R
Definition 2. A -algebra on is a subset of P() such that
(i)
(ii) (An )nN
(iii) A

n An

Ac

Since AB = A\(A\B) it follows that any ring on is closed under finite intersections;
hence any ring is also a semi-ring. Since n An = (n Ac )c it follows that any -algebra
is closed under arbitrary intersections. And from A \ B = A B c we deduce that any
-algebra is also a ring.
If (Ri )iI is a set of rings on then it is clear that I Ri is also a ring on . Let S be
any subset of P(), then we call the intersection of all rings on containing S the ring
generated by S.
Definition 3. Let A be a subset of P(). A measure on A is a map : A [0, + inf]
such that
(i) () = 0
(ii) If An A are disjoint and A = n An A (A) =

(An ).

If A is a -algebra, we dont need to assume that in addition n An A. By taking all

but finitely many An to be the empty set one sees that (A1 AN ) = (A1 ) +
. . . + (An ). If A B then A (B \ A) = B and hence (B) = (A) + (B \ A) (A).
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Definition 4. We call an outer measure on a map : P() [0, +] with

(i) () = 0
(ii) A B

(A) (B)

(iii) (An )nN P() , (n An )

(An )

By taking all but finitely many An to be the empty set one sees that an outer measure
is subadditive; (A B) (A) + (B).

The interplay between -algebras and (outer) measures

Let be an outer measure on . We define to be the set of all subsets A such

that for any X we have
(X) = (X A) + (X Ac ) .
In other words, consists of all subsets A that cut in two in a good way. Clearly,
and by the very form of the definition of , we have A Ac .
We can now present the following proposition, whose proof is a bit tedious, but which
contains loads of information on the exact interplay.
Proposition 5. Let be an outer measure on and let be as defined above. Then
is a -algebra on .
Proof. After the preliminary remarks preceding the proposition, it only remains to show
that is closed under countable unions. We will first prove that is closed under
finite intersections and unions.
Let A, B and let X be any subset of . We have X Ac = X (A B)c Ac
since (A B)c Ac . On the other hand we have (A B)c = Ac B c and hence
X (A B)c A = (X A B c ) (X A Ac ) = X A B c . Therefore we have
(X (AB)c ) = (X (AB)c A)+(X (AB)c Ac = (X Ac )+(X AB c ).
Now adding (X A B) and using that (X A) = (X A B) + (X A B c )
one obtains (X A B) + (X (A B)c ) = (X). Hence A B .
Since A B = (Ac B c )c and A \ B = A B c we see that is closed under finite
unions and the set-theoretic difference. Thus is a ring on .
If A, B are disjoint and X then (X (A B)) = (X) (X Ac B c ) =
(X) (X Ac ) + (X Ac B) = (X A) + (X B) as Ac B = B. Using
UN
PN
induction we obtain (X n=1 An ) = n=1 (X An ) whenever An are in and
pairwise disjoint.
Now we fix a sequence An in which are pairwise disjoint and we denote the union
n An by A. Furthermore, we fix an arbitrary X and an arbitrary large integer N .
UN
Since X Ac X ( n=1 An )c and is closed under finite unions we have (X
P
UN
U
c
Ac ) + (X ( N
n (X An ) = (X). But N is
n=1 An )) (X ( n=1 An ) ) +
arbitrary in this equation and we can safely let it go to and obtain
X
(X Ac ) +
(X An ) (X) .
(1)
n

On the other hand we have (X) (X Ac ) + (X

P A), which again by the definition
of an outer measure is less or equal (X Ac ) + n (X An ). Hence using (1) we
obtain
X
(X) (X Ac ) + (X A) (X Ac ) +
(X An ) (X) .
n

It follows that we must equality. From this we conclude that

P is indeed closed
under countable unions and, by taking X = A, that (A) = n (An ). Therefore the
restriction of to is a measure on .

We will call the -algebra related to .

Now we come to a critical step; we want to associate an outer measure to a given
measure on some ring R. Of course, we want the restriction of the outer measure
to the ring to coincide with the measure .
Let R be a ring on and let be a measure on R. If X is any subset we can
cover X with sets from R to approximate X inside R - we call an R-cover of X a
countable subset (An )n of R with X n An . This leads
P to the following definition; for
any X we (X) to be the infimum of all sums n (An ) where (An )nN is any
countable cover of X with An in R. We need to check that this is an outer measure.
Proposition 6. The map : P() [0, +] defined in the above paragraph defines
an outer measure on .
Proof. Since R we have () = 0. If X Y are two subsets of , then any cover
of Y with sets from R also covers X and hence (X) (Y ).
Now let Xn be any sequence of subsets of subsets. By the definition of the infimum
we can find for each > 0 and for each n an R-cover (An,m )m of Xn such that
P

m (An,m ) < (X) + 2n . The sets An,m form a countable cover of X = n Xn ;

we can for example set B1 = A1,1 , B2 = A2,1 , B3 = A1,2 , B4 = A3,1 and so on,
similar
to Cantors
of Q. But then (X) = (n Xn )
P
P proof of the countability
P
(A
)
<
(
(X
)
+
)
=

(X
n,mP
n
n ) + . But was arbitrary and hence
n,m
n
n
2n
(n Xn ) n (Xn ).
Proposition 7. The restriction of to R is .
Proof. For any A R the set A itself forms a cover and hence (A) (A).
On the other hand, let (An ) be an R-cover of A. We define B1 = A1 A and Bn+1 =
(An A)\kn (Ak A) for n 1. Then clearly Bn R, the Bn P
are disjoint, n Bn = A
and (Bn ) (A
).
Since

is
a
measure
on
R
we
have
(A)
=
n (Bn ) which is less
Pn
than or equal to n (An ). Since this holds for any R-cover of A we have (A) (A).
Therefore equality holds and the proposition is proved.

We will call the outer measure associated to .

So we now have two constructions; given a ring and a measure on it we can construct
an outer measure. Given an outer measure we can construct a -algebra such that the
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restriction of the outer measure to the -algebra is a measure on the -algebra. So

it seems feasible that we can construct a measure on a -algebra starting from a ring
with a measure on it. That this really works and that all things work out nicely is the
content of Caratheodorys theorem.

Caratheodorys theorem: Statement and Proof

Lemma 8. Let R be a ring on and let be a measure on R. Let be the outer

measure associated to . Let be the -algebra related to . Then R .
Proof. Let A be an element of R and let X be any subset of . Since is an outer
measure on we have (X) = ((X A) (X Ac )) (X A) + (X Ac ).
Now let (An )nN be any R-cover of X. Then the An A form an R-cover of X A and
the An Ac formP
an R-cover of XP
Ac . Hence we have that (X A) + (X Ac )
P
c
n (An A) +
n (An A ) =
n (An ), where the last step follows from the fact
that is a measure and hence (C D) = (C) + (D). Since the inequality holds for
any R-cover of X we need (X A) + (X Ac ) (X). We thus need equality; for
any X we have (X) = (X A) + (X Ac ), or in other words A and since
A was an arbitrary element of R the lemma is proved.
Remark 9. Any ring generates a -algebra; one simply enlarges the ring with countable
unions. Or, the -algeba generated by the ring R is the intersection of all -algebras
that contain R. Therefore the above lemma shows that the -algebra generated by R is
contained in .
Now we come to Caratheodorys theorem:
Theorem 10. Let R be a ring on and let be a measure on R. Then there exists a
measure on the -algebra generated by R such that the restriction of to R coincides
with .
Proof. Let be the outer measure on associated to . Let be the -algebra
associated to . Then by lemma 8 the -algebra generated by R is contained in .
Hence restricts to a measure on the -algebra generated by R. By proposition 7 this
restriction of to R coincides with .

Example 11. Let be the real line. Then the open intervals generate a -algebra
. For any open interval (a, b) with a < b we can put ((a, b)) = b a. Then there
exists a measure on such that ((a, b)) = bP
a. Indeed, for countable unions of
disjoint intervals we can define (n (an , bn )) = n (bn an ). Hence does give rise
to a measure on the ring generated by all intervals.