2

2.1

Measure theory

Classes of sets

Let Q be an "abstract space", namely a nonempty set of elements to be

called "points" and denoted generically by (j). Some of the usual operations and relations between sets, together with the usual notation, are given
below.
Union

EUF,

UEn

Intersection
11

Complement
Difference
Symmetric difference
Singleton

E\F =En Fe
(E\,....Jf') U

(Jf'\
.... '\ E)

{{j) }

Containing (for subsets of Q as well as for collections thereof):

ECF,
.c/

.13,

F :) E
.J) :)

.0/

= F)
(not excluding ,c/ = ~:f:3)

(not excluding E

2.1

CLASSES OF SETS

17

Belonging (for elements as well as for sets):

(j)

E E,

Empty set: 0
The reader is supposed to be familiar with the elementary properties of these
operations.
A nonempty collection sl of subsets of Q may have certain "closure
properties". Let us list some of those used below; note that j is always an
index for a countable set and that commas as well as semicolons are used to
denote "conjunctions" of premises.
(i) E E .sI

=}

E C E .sI.

(li) El E d,E2 E.sI

=}

El UE 2 E.sI.

(iii) El E ,91, E2 E ,91 =? El 0 E2 E ,9/

(iv) Vn > 2 : E j E d, 1 < j < n

(v) Vn > 2 : E JEd, 1 < j <

(vi) E J E d; E j C Ej+l, 1 < j <

(viii) E j E .sI, 1 < j <

oJ

(x) El E

00 =?

L91,

E2 E sl, El

=}

l Jj

1 E j E d.

=}

OJ

1 E jEd,

00 =}

Uj 1 E j
)

E2

Uj 1 EJ

d.

.sI.

=}

E2\El E LQ/.

It follows from simple set algebra that under (i). (ii) and (iii) are equivalent; (vi) and (vii) are equivalent; (viii) and (ix) are equivalent. Also, (ii)
implies (iv) and (iii) implies (v) by induction. It is trivial that (viii) implies
(ii) and (vi); (ix) implies (iii) and (vii).
A nonempty collectIOn !/r of subsets of Sl IS called a field Iff
(i) and (ii) hold. It is called a monotone class (M.C.) iff (vi) and (vii) hold. It
is called a Borel field (B.F.) iff (i) and (viii) hold.
DEFINITION.

Theorem 2.1.1.

A field is a B.F. if and only if it is also an M.e.

The "only if" part is trivial; to prove the "if" part we show that
(iv) and (vi) imply (viii). Let E j E Lel for 1 ~ j < 00, then
PROOF.

18

MEASURE THEORY

Fn

UEj

E ,0/

j=l

by (iv), which holds in a field, F n C Fn+l and

00

00

UEj=UF j;
j=l

j=l

hence U~l E j E ,C/ by (vi).

The collection J of all subsets of Q is a B.P. called the total B.F.; the
collection of the two sets {0, Q} is a B.P. called the trivial B.F. If A is any
index set and if for every ex E A, :--':fra is a B.P. (or M.C.) then the intersection
.':"fa of all these B.F.'s (or M.C.'s), namely the collection of sets each
of which belongs to all .:J+a , is also a B.F. (or M.C.). Given any nonempty
collection (if of sets, there is a ,ninilnal B.P. (or field, or M.e.) containing it;
this is just the intersection of all B.F.'s (or fields, or M.C.'s) containing {f,
of which there is at least one, namely the J mentioned above. This minimal
B F (or field, or Me) is also said to be generated by In particular if 'JIo
is a field there is a minimal B.P. (or M.C.) containing stj.

naEA

Theorem 2.1.2. Let jib be a field, {j' the minimal M.C. containing jIb,.:J+ the
minimal B.P. containing jib, then q; = fl.

Since a B.P. is an M.e., we have ~ ::) fl. To prove.:J+ C {j it is

sufficient to show that {j is a B.F. Hence by Theorem 2.1.1 it is sufficient to
show that is a field. We shall show that it is closed under intersection and
complementation. Define two classes of subsets of as follows:
PROOF.

(} =
&-2 =

{E E (/' : E

nF

{E E V : En F E

{j

for all F E .':"/t)},

for all F E v}.

The identities
00

- UCFn E;)
J

show that both {I and (/2 are M.C.' s. Since :1"t) is closed under intersection and
contained in /j, it is clear that .J~ C (,'i. Hence .<7 C ?l by the minimality of .r;

2.1

CLASSES OF SETS

19

and so i/ = t6i. This means for any F E ::"Ju and E E {l we have F nEE i/,
which in tum means ~ C -02. Hence {/ = 02 and this means (/ is closed under
intersection.
Next, define another class of subsets of {/ as follows:

-03 =

{E E : E C E }

The (DeMorgan) identities

show that

-03

means

is closed under complementation. The proof is complete.

is aM C Since ~

-t&), it fo11o",, a before that fl-

43, which

Corollary. Let 8i be a field, P7 the minimal B F containing -%; tf' a class

of sets containing 9ti and having the closure properties (vi) and (vii), then -(ff'
contains

;j4 .

The theorem above is one of a type called monotone class theorems. They
are among the most useful tools of measure theory, and serve to extend eertain
relations which are easily verified for a special class of sets or functions to a
larger class. Many versions of such theorems are known; see Exercise 10, 11,
and 12 below
EXERCISES

(UjAj)\(UjB j ) C U/Aj\Bj).(njAj)\(njBj)
i there equality?

U/Aj\B j ). When

*2. The best way to define the symmetric difference is through indicators
of sets as follows:
(mod 2)
where we have arithmetical addition modulo 2 on the right side. All properties
of t,. follow easily from this definition, some of which are rather tedious to
verify otherwise. As examples: