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Measure (mathematics)

Generalization of mass, length, area and volume

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The intuition behind this concept dates back to Ancient Greece, when Archimedes tried to calculate the area of a circle. But it was not until the late 19th and early 20th centuries that measure theory became a branch of mathematics. The foundations of modern measure theory were laid in the works of Émile Borel, Henri Lebesgue, Nikolai Luzin, Johann Radon, Constantin Carathéodory, and Maurice Fréchet, among others. According to Thomas W. Hawkins Jr., "It was primarily through the theory of multiple integrals and, in particular the work of Camille Jordan that the importance of the notion of measurability was first recognized."

Definition

Let X be a set and Σ a σ-algebra over X, defining subsets of X that are "measurable". A set function μ from Σ to the interval [0,+∞], that is, the non-negative real number line together with new (so-called infinite) value +∞, used to denote elements greater than all other (so-called finite) elements, is called a measure if the following conditions hold:

  • μ(∅)=0
  • Countable additivity (or σ-additivity): For all countable collections {Ek}k=1∞ of pairwise disjoint sets in Σ,μ(⋃k=1∞Ek)=∑k=1∞μ(Ek)

If at least one set E has finite measure, then the requirement μ(∅)=0 is met automatically due to countable additivity:μ(E)=μ(E∪∅)=μ(E)+μ(∅),and therefore μ(∅)=0.

Note that any sum involving +∞ will equal +∞, that is, a+∞=+∞ for all a in the extended reals.

If the condition of non-negativity is dropped, and μ(E) only ever equals one of +∞, −∞, i.e. no two distinct sets have measures +∞, −∞, respectively, then μ is called a signed measure.

The pair (X,Σ) is called a measurable space, and the members of Σ are called measurable sets.

A triple (X,Σ,μ) is called a measure space. A probability measure is a measure with total measure one – that is, μ(X)=1. A probability space is a measure space with a probability measure.

For measure spaces that are also topological spaces various compatibility conditions can be placed for the measure and the topology. Most measures met in practice in analysis (and in many cases also in probability theory) are Radon measures (usually defined on Hausdorff spaces). When working with locally compact Hausdorff spaces, Radon measures have an alternative, equivalent definition in terms of linear functionals on the locally convex topological vector space of continuous functions with compact support. This approach is taken by Bourbaki (2004) and a number of other sources. For more details, see the article on Radon measures.

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