Chapter 5

The Caratheodory
Construction of
Measures

Recall how our construction of Lebesgue measure in Chapter 2 proceeded

from an initial notion of the size of a very restricted class of subsets of R, the
intervals. Using this notion, we defined an “outer measure” by the process
(2.1) and proceeded from there to obtain a measure.
In general, an outer measure on a set X is a function µ ∗ : P(X) → [0, ∞]
satisfying the following three conditions:
(5.1) µ∗ (∅) = 0,
(5.2) A ⊂ B =⇒ µ∗ (A) ≤ µ∗ (B),
[  X
(5.3) Aj ⊂ X countable =⇒ µ∗ Aj ≤ µ∗ (Aj ).
j j
Recall that P(X) is the collection of all subsets of X.
Parallel to (2.1), here is a way to construct outer measures.
S Let E be
some family of subsets of X, such that ∅ ∈ E and X = j≥1 Xj for some
countable collection Xj ∈ E. Suppose you have a function
(5.4) ρ : E −→ [0, ∞], ρ(∅) = 0.
For any S ⊂ X, set
nX [ o
(5.5) µ∗ (S) = inf ρ(Ej ) : Ej ∈ E, S ⊂ Ej .
j≥1 j≥1
Here {Ej } is a countable cover of S by sets in E.

57
58 5. The Caratheodory Construction of Measures

Proposition 5.1. Under the hypotheses above, µ ∗ , defined by (5.5), is an

outer measure.

Proof. Property (5.1) follows from ρ(∅) = 0 and (5.2) from the fact that,
when A ⊂ B, any countable cover of B by elements of E is also a cover of
A. The proof of (5.3) works the same way as the proof of Proposition 2.1;
each Aj has
∗ (A ) ≥
P a countable−jcover {Ejk : k ≥ 1} by elements of E, such that
µ
S j k ρ(Ejk ) − 2 ε. Then {Ejk : j, k ≥ 1} is a countable cover of
j Aj by elements of E, and we obtain (5.3) in the limit as ε → 0.

If we have an outer measure µ∗ , then, as suggested when we stated

Proposition 2.12, we say that a set A ⊂ X is µ ∗ -measurable if and only if

(5.6) µ∗ (Y ) = µ∗ (Y ∩ A) + µ∗ (Y \ A), ∀ Y ⊂ X.

(By (5.3), ≤ always holds, so the condition to check is ≥.) Denote by M

the class of µ∗ -measurable subsets of X. The following result is known as
Caratheodory’s Theorem.

Theorem 5.2. If µ∗ is an outer measure on X, then the class M of µ ∗ -

measurable sets is a σ-algebra, and the restriction of µ ∗ to M is a measure.

Proof. Clearly ∅ ∈ M. Also, if A ∈ M, then, for all Y ⊂ X, Y ∩A c = Y \A

and Y \ Ac = Y ∩ A, so M is closed under complements.
Next, suppose Aj ∈ M. We want to show that (5.6) holds with A =
A1 ∪ A2 . Since µ∗ is subadditive, it suffices to establish that



(5.7) µ∗ (Y ) ≥ µ∗ Y ∩ (A1 ∪ A2 ) + µ∗ Y ∩ (A1 ∪ A2 )c ,

for all Y ⊂ X. Note that A1 ∪ A2 = A1 ∪ (A2 ∩ Ac1 ) is a disjoint union. We

see that the right side of (5.7) is

≤ µ∗ (Y ∩ A1 ) + µ∗ (Y ∩ A2 ∩ Ac1 ) + µ∗ (Y ∩ Ac1 ∩ Ac2 )

(5.8) = µ∗ (Y ∩ A1 ) + µ∗ (Y ∩ Ac1 )
= µ∗ (Y ),

where the last two identities use A2 ∈ M and A1 ∈ M, respectively. This

yields (5.7) and shows that M is an algebra, i.e., M is closed under com-
plements and finite unions.
We next check additivity when A1 , A2 ∈ M are disjoint. Indeed, if we
set Y = A1 ∪ A2 , A = A1 in (5.6), we get

(5.9) µ∗ (A1 ∪ A2 ) = µ∗ (A1 ) + µ∗ (A2 ), Aj ∈ M, disjoint.

5. The Caratheodory Construction of Measures 59

Inductively, we have, for Aj ∈ M, disjoint,

[
N  N
X
∗
(5.10) µ Aj = µ∗ (Aj ).
j=1 j=1

Taking N % ∞ and using monotonicity of µ ∗ yield

[  X
µ∗ Aj ≥ µ∗ (Aj ),
j≥1 j≥1

and since the reverse inequality holds by (5.3), we have for a countable
family Aj ,
[  X
(5.11) µ∗ Aj = µ∗ (Aj ), Aj ∈ M, disjoint.
j≥1 j≥1

Compare the proof of Proposition 2.7, leading to Theorem 2.8.

To finish the proof of Theorem 5.2, weSneed to show that, if A j ∈ M
is a countable disjoint family, then A = j≥1 Aj is µ∗ -measurable. Let
S
Bn = j≤n Aj . The measurability of An implies

µ∗ (Y ∩ Bn ) = µ∗ (Y ∩ Bn ∩ An ) + µ∗ (Y ∩ Bn ∩ Acn )
= µ∗ (Y ∩ An ) + µ∗ (Y ∩ Bn−1 ),

for any Y ⊂ X. Inductively, we obtain

n
X
(5.12) µ∗ (Y ∩ Bn ) = µ∗ (Y ∩ Aj ).
j=1

We know M is an algebra, so Bn ∈ M, and hence, using (5.12), we have

µ∗ (Y ) = µ∗ (Y ∩ Bn ) + µ∗ (Y ∩ Bnc )
Xn
(5.13)
≥ µ∗ (Y ∩ Aj ) + µ∗ (Y ∩ Ac ),
j=1

the last inequality holding because B n ⊂ A. Taking n → ∞, we have

X
µ∗ (Y ) ≥ µ∗ (Y ∩ Aj ) + µ∗ (Y ∩ Ac )
j≥1
[ 
(5.14) ≥ µ∗ (Y ∩ Aj ) + µ∗ (Y ∩ Ac )
j≥1
= µ (Y ∩ A) + µ∗ (Y ∩ Ac ) ≥ µ∗ (Y ).
∗
60 5. The Caratheodory Construction of Measures

Thus A ∈ M, and Theorem 5.2 is proved.

While the construction (5.4)–(5.5) is very general, you need extra struc-
ture to relate µ∗ (S) to ρ(S) when S ∈ E. The following is a convenient
setting.
Let A be an algebra of subsets of X, i.e., a nonempty collection of subsets
of X, closed under finite unions and under complements, hence under finite
intersections. A function µ0 : A → [0, ∞] is called a premeasure if it satisfies
the following two conditions:

(5.15) µ0 (∅) = 0,

[ X
(5.16) Sj ∈ A countable, disjoint, Sj = S ∈ A =⇒ µ0 (S) = µ0 (Sj ).
j j

As an example, let X = I = [a, b], and let A consist of finite unions

S
of intervals (open, closed, or half-open) in I. If S = N k=1 Jk is a disjoint
PN
union of intervals, take µ0 (S) = k=1 `(Jk ), so µ0 is the restriction of
Lebesgue (outer) measure to A. In this case, (5.16) can be demonstrated by
an argument similar to that needed for Exercise 1 in Chapter 2.
If µ0 is a premeasure on A, it induces an outer measure on X via the
construction (5.4)–(5.5), i.e.,
nX [ o
(5.17) µ∗ (E) = inf µ0 (Aj ) : Aj ∈ A, E ⊂ Aj .
j≥0 j≥0

Proposition 5.3. If µ0 is a premeasure on A and µ∗ is defined by (5.17),

then

(5.18) S ∈ A =⇒ µ∗ (S) = µ0 (S),

and every set in A is µ∗ -measurable.

Proof. To prove (5.18), first note that µ ∗ (S)

S ≤ µ0 (S) for S ∈ A since
S covers itself. Suppose S ∈ A, and S ⊂ j≥1 Aj , Aj ∈ A. Then let
S

Bn = S ∩ An \ j<n Aj , so {Bn : n ≥ 1} is a disjoint family of members
of A, whose union is S. Thus, by (5.16),
X X
(5.19) µ0 (S) = µ0 (Bj ) ≤ µ0 (Aj ).
j≥1 j≥1

It follows that µ0 (S) ≤ µ∗ (S). This proves (5.18).

5. The Caratheodory Construction of Measures 61

To prove that each A ∈ A is µ∗ -measurable,

S if Y ⊂PX and ε > 0,∗ there is
a sequence {Bj : j ≥ 1} ⊂ A with Y ⊂ j≥1 Bj and µ0 (Bj ) ≤ µ (Y ) + ε.
Since µ0 is additive on A,
X X
µ∗ (Y ) + ε ≥ µ0 (Bj ∩ A) + µ0 (Bj ∩ Ac )
(5.20) j≥1 j≥1
∗ ∗
≥ µ (Y ∩ A) + µ (Y ∩ Ac ),
the latter inequality holding, e.g., because {B j ∩ A : j ≥ 1} is a cover of
Y ∩ A by elements of A. Taking ε & 0, we obtain (5.6), so any A ∈ A is
µ∗ -measurable.

When we combine the last result with Theorem 5.2, we obtain an exten-
sion of the premeasure µ0 to a measure.
Theorem 5.4. Let A ⊂ P(X) be an algebra, µ 0 a premeasure on A, and
M = σ(A) the σ-algebra generated by A. Then there exists a measure µ on

M whose restriction to A is µ0 , namely µ M , where µ∗ is given by (5.17).
∗

Proof. In fact, the class of µ∗ -measurable sets is a σ-algebra containing A;

hence it contains σ(A). There is nothing more to prove.

We next examine the extent to which the extension µ of µ 0 to σ(A) is

unique. Suppose ν is a measure
S on M = σ(A), which also agrees with µ 0
on A. If E ∈ M and E ⊂ j≥1 Aj , Aj ∈ A, then
X X
(5.21) ν(E) ≤ ν(Aj ) = µ0 (Aj ),
j≥1 j≥1

so, by the construction (5.17) of µ∗ ,

(5.22) ν(E) ≤ µ(E), ∀E ∈ σ(A).
Also, by the property (3.5),
(5.23) Bj ∈ A, Bj % B =⇒ ν(B) = lim ν(Bn ) = lim µ(Bn ) = µ(B).
n→∞ n→∞
Suppose now that E ∈ M and µ(E) P < ∞. Fix ε > 0. Then we can choose
the cover Aj in (5.17) such that µ(Aj ) < µ(E) + ε. Hence, with
[ [
Bn = Aj % B = Aj ,
j≤n j≥1

we have µ(B) < µ(E)+ε, so µ(B\E) < ε, and hence, by (5.22), ν(B\E) < ε.
Meanwhile, by (5.23), ν(B) = µ(B), so
(5.24) µ(E) ≤ µ(B) = ν(B) = ν(E) + ν(B \ E) ≤ ν(E) + ε.
Taking ε & 0 gives µ(E) ≤ ν(E), as long as µ(E) < ∞. In concert with
(5.22), this yields the following.
62 5. The Caratheodory Construction of Measures

Proposition 5.5. Let A be an algebra of subsets of X, generating the σ-

algebra M = σ(A). Let µ0 be a premeasure on A, and let µ be the measure
on M given by Theorem 5.4, extending µ 0 . If ν is another measure on M
which agrees with µ0 on A, then for all S ∈ M, ν(S) ≤ µ(S), and

(5.25) µ(S) < ∞ =⇒ µ(S) = ν(S).

Furthermore, if there is a countable family A j such that

[
(5.26) X= Aj , Aj ∈ M, µ(Aj ) < ∞,
j≥1

then µ(S) = ν(S) for all S ∈ M.

Proof. The implication (5.25) was established above. If (5.26) holds, we

can assume
S the Aj are disjoint. If S ∈ M, we have the disjoint union
S = Sj , Sj = S ∩ Aj . By (5.25), µ(Sj ) = ν(Sj ), and then µ(S) = ν(S)
follows by countable additivity.

If (5.26) holds, we say (X, M, µ) is a σ-finite measure space. See Exercise

15 for another proof of Proposition 5.5.
If Theorem 5.4 is applied to the example mentioned after (5.16), it yields
the fact that finite unions of intervals in I = [a, b] are Lebesgue measurable
and hence so are sets in the σ-algebra σ(A) generated by this algebra of
subsets of I. In particular, all open sets in I are measurable, since they are
countable unions of open intervals. Hence all closed sets in I are measurable.
Of course, this recaptures results obtained in Chapter 2.
Recall that, in our treatment of Lebesgue measure on an interval, we
gave a definition of measurability different from (5.6) and then showed in
Proposition 2.12 that the definition of measurability given there implied
(5.6). We now give a result in counterpoint to Proposition 2.12.

Proposition 5.6. Suppose we are given an algebra A of subsets of X and

a premeasure µ0 on A, with associated outer measure µ ∗ , defined by (5.17).
Assume Z ⊂ X is µ∗ -measurable and µ∗ (Z) < ∞. Then a set S ⊂ Z is
µ∗ -measurable if and only if

(5.27) µ∗ (S) + µ∗ (Z \ S) = µ∗ (Z).

Proof. We need to show that, if (5.27) holds, then, for any Y ⊂ X,

(5.28) µ∗ (Y ) = µ∗ (Y ∩ S) + µ∗ (Y ∩ S c ).
5. The Caratheodory Construction of Measures 63

Only the “≥” part needs to be established, so we can assume µ ∗ (Y ) < ∞.

Write Y = Y0 ∪ Y1 , a disjoint union, where Y0 = Y ∩ Z, Y1 = Y ∩ Z c . Using
the measurability of Z, we have

(5.29) µ∗ (Y ) = µ∗ (Y ∩ Z) + µ∗ (Y ∩ Z c ) = µ∗ (Y0 ) + µ∗ (Y1 )

and

(5.30) µ∗ (Y ∩S c ) = µ∗ (Y ∩S c ∩Z)+µ∗ (Y ∩S c ∩Z c ) = µ∗ (Y0 ∩S c )+µ∗ (Y1 ),

provided S ⊂ Z, while

(5.31) µ∗ (Y ∩ S) = µ∗ (Y0 ∩ S).

Consequently it suffices to prove (5.28) for Y = Y 0 , i.e., for Y ⊂ Z. For that,

we bring in a lemma

Lemma 5.7. Let µ∗ arise from a premeasure on an algebra A. Let A σ

consist of countable unions of sets in A. Then

(5.32) S ⊂ X =⇒ µ∗ (S) = inf{µ∗ (E) : E ∈ Aσ , S ⊂ E}.

Proof. We leave this to the reader; see Exercise 3 at the end of this chapter.

We continue the proof of Proposition 5.6. Given ε > 0, there exists

e
A ∈ Aσ such that A e ⊃ Y and µ∗ (A)
e ≤ µ∗ (Y ) + ε. Set A = A
e ∩ Z. Then
∗
A ∈ M (the σ-algebra of µ -measurable sets), A ⊃ Y (if Y ⊂ Z), and
µ∗ (A) ≤ µ∗ (Y ) + ε. We claim that

(5.33) µ∗ (A) = µ∗ (A ∩ S) + µ∗ (A ∩ S c ).

Suppose this is known. Then we have

(5.34) µ∗ (Y ) + ε ≥ µ∗ (Y ∩ S) + µ∗ (Y ∩ S c ),

for all ε > 0. In the limit ε → 0, we obtain the ≥ part of (5.28), and the
problem is solved.
Thus it remains to establish (5.32), given A ∈ M, A ⊂ Z, µ ∗ (Z) < ∞,
and given the hypothesis (5.27). Using the measurability of A, we have

(5.35) µ∗ (Z) = µ∗ (A) + µ∗ (Z ∩ Ac ).

64 5. The Caratheodory Construction of Measures

Now the left side of (5.35) is equal to µ ∗ (S) + µ∗ (Z \ S), by hypothesis. By

subadditivity of outer measure, the right side of (5.35) is



≤ µ∗ (A ∩ S) + µ∗ (A ∩ S c ) + µ∗ (Z \ A) ∩ S + µ∗ (Z \ A) ∩ S c



(5.36) = µ∗ (S ∩ A) + µ∗ (Z \ S) ∩ A + µ∗ (S \ A) + µ∗ (Z \ S) \ A
= µ∗ (S) + µ∗ (Z \ S),

the last identity following by grouping together the odd terms and the even
terms on the second line of (5.36) and using measurability of A. Since the
bottom line of (5.36) is equal to the left side of (5.35), the ≤ in (5.36) must
be equality. That inequality arose from the sum of two inequalities, and so
both of them must be equalities. One of them is the desired result (5.33).
This finishes the proof of Proposition 5.6.

We next describe an important class of outer measures on metric spaces,

for which all open sets and all closed sets can be shown to be measurable.
This result will play an important role in Chapter 12, on Hausdorff measures,
and in Chapter 13, on Radon measures.
Let X be a metric space, with distance function d(x, y). An outer mea-
sure µ∗ on X is called a metric outer measure provided

ρ(S1 , S2 ) = inf {d(x1 , x2 ) : xj ∈ Sj } > 0

(5.37)
=⇒ µ∗ (S1 ∪ S2 ) = µ∗ (S1 ) + µ∗ (S2 ).

Note that the part (2.15)–(2.16) of Lemma 2.4 is the statement that Lebesgue
outer measure is a metric outer measure on I = [a, b]. The following is an-
other result of Caratheodory:

Proposition 5.8. If µ∗ is a metric outer measure on a metric space X,

then every closed subset of X is µ∗ -measurable.

Proof. We must show that if F ⊂ X is closed and Y ⊂ X satisfies µ ∗ (Y ) <

∞, then

(5.38) µ∗ (Y ) ≥ µ∗ (Y ∩ F ) + µ∗ (Y \ F ).

Consider n 1o
Bn = x ∈ Y \ F : ρ(x, F ) ≥ .
n
Note that Bn % Y \ F . Also ρ(Bn , F ) ≥ 1/n, so, by (5.37),


(5.39) µ∗ (Y ∩ F ) + µ∗ (Bn ) = µ∗ (Y ∩ F ) ∪ Bn ≤ µ∗ (Y ).
5. The Caratheodory Construction of Measures 65

Thus it will suffice to show that

(5.40) µ∗ (Bn ) −→ µ∗ (Y \ F ).

Let Cn = Bn+1 \ Bn . Note that

|j − k| ≥ 2 =⇒ ρ(Cj , Ck ) > 0.

Hence, for any N , one obtains inductively (using (5.37)) that

N
X [
N 
µ∗ (C2j ) = µ∗ C2j ≤ µ∗ (Y ),
j=1 j=1
(5.41)
N
X [
N 
µ∗ (C2j+1 ) = µ∗ C2j+1 ≤ µ∗ (Y ),
j=1 j=1
P ∗ (C
and consequently j≥1 µ j) < ∞. Now countable subadditivity implies
X
(5.42) µ∗ (Y \ F ) ≤ µ∗ (Bn ) + µ∗ (Cj ),
j≥n

so as n → ∞, the last sum tends to zero, and we obtain

(5.43) µ∗ (Y \ F ) ≤ lim inf µ∗ (Bn ) ≤ lim sup µ∗ (Bn ) ≤ µ∗ (Y \ F ),

n→∞ n→∞

the last inequality by monotonicity. This implies (5.40) and finishes the
proof.

As one may have noticed, at several points in this chapter and previous
chapters, we have considered a class of sets with certain desirable properties
and have wanted to prove it was a σ-algebra. The following result, called
the Monotone Class Lemma, sometimes furnishes a convenient tool for doing
this. We define a monotone class on a set X to be a collection C ⊂ P(X)
having the properties
Ej ∈ C, Ej % E =⇒ E ∈ C,
(5.44)
Ej ∈ C, Ej & E =⇒ E ∈ C.

The smallest monotone class containing a collection E ⊂ P(X) is called the

monotone class generated by E.

Proposition 5.9. If A is an algebra of subsets of X and C is the monotone

class generated by A, then C = σ(A).
66 5. The Caratheodory Construction of Measures

Proof. Clearly C ⊂ σ(A). We will show that C is a σ-algebra. If E ∈ C, let

(5.45) C(E) = {F ∈ C : E \ F, F \ E, E ∩ F ∈ C}.
Clearly ∅, E ∈ C(E), and C(E) is easily verified to be a monotone class.
Also, E ∈ C(F ) ⇔ F ∈ C(E). Since A is an algebra, we have
(5.46) E, F ∈ A =⇒ F ∈ C(E).
In other words, if E ∈ A, then A ⊂ C(E); hence C ⊂ C(E). Thus, if F ∈ C,
then F ∈ C(E) for all E ∈ A. This implies
(5.47) E ∈ C(F ), ∀ E ∈ A, F ∈ C.
Thus A ⊂ C(F ) and hence C ⊂ C(F ), for all F ∈ C. In other words,
(5.48) E, F ∈ C =⇒ E \ F, E ∩ F ∈ C.
Since X ∈ A ⊂ C, it follows that C is an algebra of sets.SWe finally note
that C must be a σ-algebra. Indeed, if E j ∈ C, then Fj = n≤j Ej ∈ C, and
S
(5.44) implies Fj % F = j≥1 Ej ∈ C. This finishes the proof.

The proof of Proposition 6.2 in the next chapter will provide a nice
application of the Monotone Class Lemma.

Exercises
1. Let I = [a, b] and let A be the algebra of subsets of I consisting of finite
unions of intervals, as in the example after (5.16). Let ϕ : I → R be
a monotonically increasing function, i.e., assume that x < y ⇒ ϕ(x) ≤
ϕ(y). Set
(5.49) ϕ− (x) = lim ϕ(u), ϕ+ (x) = lim ϕ(u),
u%x u&x

with the convention that ϕ− (0) = ϕ(0) and ϕ+ (1) = ϕ(1). Define
S
µ0 : A → R+ as follows. If S = N k=1 Jk is a union of mutually disjoint
PN
intervals, set µ0 (S) = k=1 µ0 (Jk ), where µ0 is defined on a single
interval J ⊂ I as follows:


µ0 [x, y] = ϕ+ (y) − ϕ− (x),


µ0 [x, y) = ϕ− (y) − ϕ− (x),
(5.50)

µ0 (x, y] = ϕ+ (y) − ϕ+ (x),


µ0 (x, y) = ϕ− (y) − ϕ+ (x).
5. The Caratheodory Construction of Measures 67

Also, set µ0 (∅) = 0. Show that µ0 is a premeasure. The measure then

produced via Theorem 5.4 is called “Lebesgue-Stieltjes
S measure.”
Hint. Say J is a closed interval and J = k≥1 Jk , with disjoint intervals
Pm
J
P k . First show that k=1 µ0 (Jk ) ≤ µ0 (J) for each m, so µ0 (J) ≥
k≥1 µ0 (Jk ). For the reverse inequality, one can argue as follows. Pick
ε > 0. Say the endpoints of Jk are ak and bj , so (ak , bk ) ⊂ Jk ⊂ [ak , bk ].
If ak ∈ Jk , pick ãk < ak such that 0 ≤ ϕ− (ak ) − ϕ+ (ãk ) < ε2−k . If
ak ∈ / Jk , let ãk = ak . Make an appropriate analogous choice of b̃k ,
and let J̃k = (ãk , b̃k ). Note that µ0 (J̃k ) < µ0 (Jk ) + ε2−k+1 . Now
S
J ⊂ k≥1 J̃k , and this is an open cover. Take a finite subcover.

For Exercises 2–6, suppose we are given an algebra A of subsets of X

and a premeasure µ0 on A, with associated outer measure µ ∗ , defined
by (5.17). Let Aσ consist of countable unions of sets in A.

2. Show that

(5.51) E ∈ Aσ =⇒ µ∗ (E) = sup {µ0 (A) : A ∈ A, A ⊂ E}.

3. Show that

(5.52) S ⊂ X =⇒ µ∗ (S) = inf {µ∗ (E) : E ∈ Aσ , S ⊂ E}.

4. Let Aδ consist of countable intersections of sets in A, and set

(5.53) µ∗ (S) = sup {µ∗ (E) : E ∈ Aδ , E ⊂ S}, S ⊂ X.

Show that µ∗ (S) ≤ µ∗ (S). If µ∗ (S) < ∞, show that S is µ∗ -measurable

if and only if µ∗ (S) = µ∗ (S).
Hint. Show that, if S ⊂ Z ∈ Aσ , µ∗ (Z) < ∞, then µ∗ (Z) = µ∗ (S) +
µ∗ (Z \ S). Then use Proposition 5.6.

5. Given S ⊂ X, show that there exist S 0 ∈ Aσδ and S1 ∈ Aδσ such that

(5.54) S 0 ⊂ S ⊂ S1 , µ(S1 ) = µ∗ (S), µ(S0 ) = µ∗ (S).

Show that, if µ∗ (S) < ∞, then S is µ∗ -measurable if and only if µ(S1 \

S0 ) = 0. Here, µ is the measure on σ(A) given by Theorem 5.4.

6. Let µ# be the outer measure on X obtained via (5.17), with (A, µ 0 )

replaced by (σ(A), µ). Equivalently,

(5.55) µ# (S) = inf {µ(A) : S ⊂ A ∈ σ(A)}.

68 5. The Caratheodory Construction of Measures

Clearly µ# (S) ≤ µ∗ (S) for all S ⊂ X. Show that µ# = µ∗ .

Hint. If S ⊂ A ∈ σ(A), show that, for any ε > 0, there exists B ∈ A σ
such that A ⊂ B and µ(B) ≤ µ(A) + ε.

7. If µ∗ is an outer measure on X, then clearly

(5.56) S1 ⊂ S2 ⊂ S3 ⊂ · · · % S =⇒ µ∗ (Sj ) % M ≤ µ∗ (S).
If µ∗ arises from a premeasure, via (5.17), show that M = µ ∗ (S).
Hint. First note that An ∈ σ(A), An % A ⇒ µ∗ (An ) % µ∗ (A).
Then show that, for any ε > 0, there exist Z n ∈ σ(A) such that
Zn ⊃ Sn , Zn %, and µ∗ (Zn ) = µ∗ (Sn ). Make use of (5.54).

8. As in Exercise 5 of Chapter 3, a measure µ on (X, M) is said to be

complete provided
(5.57) A ∈ M, µ(A) = 0, S ⊂ A =⇒ S ∈ M, and µ(S) = 0.
Show that the measures provided by Theorem 5.2, from outer measures,
are all complete. In particular, Lebesgue measure is complete.

9. If µ is a measure on (X, F) that is not complete, form the outer measure

µ∗ by (5.17), with A replaced by F. Let M be the σ-algebra of µ ∗ -
measurable sets. Show that Theorem 5.2 produces a measure µ on
(X, M) which is complete and such that F ⊂ M and µ = µ on F. Show
that M = F, given by Exercise 5 of Chapter 3, and that µ coincides
with the measure produced there, the “completion” of µ.

In Exercises 10–14, suppose X is a compact metric space, B the σ-

algebra of Borel subsets of X, and µ a finite measure on (X, B). Con-
struct the outer measure µ∗ via (5.17), with A replaced by B. (Note
that Proposition 5.3 applies in this case.)

10. Show that µ∗ must be a metric outer measure.

Hint. If S1 , S2 satisfy (5.37), construct compact K ⊂ X such that
S1 ⊂ K ⊂ X \ S2 . Apply (5.6) with A = K, Y = S1 ∪ S2 .

11. We know that B = σ(A) where A is the algebra generated by the

compact sets in X. Show that A consists of sets of the form
[ M`
N` \ N1 M
[ \1
(5.58) ··· Eαβ ,
α` =1 β` =1 α1 =1 β1 =1
5. The Caratheodory Construction of Measures 69

where each Eαβ ⊂ X is either open or closed.

12. Show that

(5.59) S ⊂ X =⇒ µ∗ (S) = inf {µ∗ (O) : S ⊂ O, O open}.

Hint. By Exercise 6, µ∗ (S) is given by (5.52) or, equivalently, by (5.17)

(with some changes in notation). Show that, given A j ∈ A, ε > 0, there
exist open sets Oj such that Aj ⊂ Oj and µ(Oj ) ≤ µ(Aj ) + 2−j ε. It
suffices to make such a construction for each E αβ in (5.58), and we need
worry only about the case when Eαβ is compact; i.e., we need to verify
(5.59) when S is compact. For this, keep in mind that X is a metric
space.

13. Show that

(5.60) S ∈ B =⇒ µ(S) = sup {µ(K) : K ⊂ S, K compact}.

14. If f ∈ L1 (X, µ) and ε > 0, show

 that there exists a compact K ⊂ X
such that µ(X \ K) < ε and f K is continuous.
Hint. Using Proposition 4.5 (or otherwise), produce f ν ∈ C(X) such
that fν → f, µ-a.e. Then use Egoroff’s Theorem. Then use (5.60).
This result is Lusin’s Theorem. A special case was stated in Exercise
16 of Chapter 3.

15. Use the Monotone Class Lemma to give another proof of Proposition
5.5. Furthermore, establish the following variant of Proposition 5.5.

Proposition 5.5A. Let A be an algebra of subsets of X, generating the

σ-algebra M = σ(A). Let µ and ν be measures on M. Assume there
exist Aj such that
[
X= Aj , Aj ∈ A, µ(Aj ) < ∞.
j≥1

If µ = ν on A, then µ = ν on M.

How do these two propositions differ?

16. Suppose E is a collection of subsets of X having the following properties:

(1) The intersection of any two elements of E belongs to E.
(2) The collection of finite disjoint unions of elements of E is an algebra
A.
70 5. The Caratheodory Construction of Measures

Let µb : E → [0, ∞] satisfy

(a) µb (∅) = 0, S P
(b) Ej ∈ E countable, disjoint, j Ej = E ∈ E ⇒ µb (E) = j µb (Ej ).
Show that µb extends to a premeasure µ0 on A, satisfying
K
X
E1 , . . . , EK ∈ E disjoint ⇒ µ0 (E1 ∪ · · · ∪ EK ) = µb (Ej ).
j=1

Show that if µ∗ is defined by (5.17), then also, for E ⊂ X,

nX [ o
µ∗ (E) = inf µb (Aj ) : Aj ∈ E, E ⊂ Aj .
j≥0 j≥0

Hint.
SL StartSwith uniqueness; if also S F 1 , . . . , FL ∈ E are disjoint and
K
`=1 F ` = k=1 E k , write this set as k,` (Ek ∩ F` ) to show µ0 is well
defined.
Note. An example is X = [0, 1], E = the collection of intervals in
[0, 1], µb (J) = `(J), the length. Another family of examples arises at
the beginning of Chapter 6.

17. Suppose E is a collection of subsets of X satisfying property (1) in

Exercise 16 and also satisfying
(20 ) E ∈ E ⇒ X \ E is a finite disjoint union of elements of E.
Show that E satisfies property (2) in Exercise 16.