Measurable Set with Negative Measure has Negative Subset

Theorem
Let $\struct {X, \Sigma}$ be a measurable space.

Let $\mu$ be a signed measure on $\struct {X, \Sigma}$.

Let $A \in \Sigma$ have:


 * $-\infty < \map \mu A < 0$

Then:


 * there exists a negative set $B$ such that $B \subseteq A$ and $\map \mu B \le \map \mu A$.

Proof
Let:


 * $\delta_1 = \sup \set {\map \mu E : E \in \Sigma \text { and } E \subseteq A}$

possibly infinite.

Since $\O \in \Sigma$ and $\O \subseteq A$, we have:


 * $\O \in \set {\map \mu E : E \in \Sigma \text { and } E \subseteq A}$

and so $\delta_1 \ge 0$.

Let $A_1 \in \Sigma$ have:


 * $\ds \map \mu {A_1} \ge \min \set {\frac 1 2 \delta_1, 1} \ge 0$

We now define $\sequence {\delta_n}_{n \in \N}$ and $\sequence {A_n}_{n \in \N}$ recursively.

For $n > 1$, define:


 * $\ds \delta_n = \sup \set {\map \mu E : E \in \Sigma \text { and } E \subseteq A \setminus \bigcup_{i = 1}^{n - 1} A_i}$

and pick $A_n$ so that:


 * $\ds \map \mu {A_n} \ge \min \set {\frac 1 2 \delta_n, 1} \ge 0$

Now define:


 * $\ds A_\infty = \bigcup_{i = 1}^\infty A_i$

and $B = A \setminus A_\infty$.

Note that by construction, each $A_n$ is disjoint.

That is:


 * whenever $i \ne j$, we have $A_i \cap A_j = \O$.

So, since a signed measure is countably additive, we have:


 * $\ds \map \mu {A_\infty} = \sum_{i \mathop = 1}^\infty \map \mu {A_n}$

Since $\map \mu {A_n} \ge 0$ for each $n$, we therefore have:


 * $\map \mu {A_\infty} \ge 0$

We then have:

We now show that $B$ is negative.

Since $\map \mu A$ is finite, we have that:


 * $\map \mu {A_\infty}$ is finite.

So:


 * the series $\ds \sum_{i \mathop = 1}^\infty \map \mu {A_i}$ converges.

So:


 * $\map \mu {A_i} \to 0$ as $n \to \infty$.

Since:


 * $0 \le \delta_n \le 2 \map \mu {A_i}$

we also have:


 * $\delta_n \to 0$ as $n \to \infty$.

Let $E \in \Sigma$ have $E \subseteq B$.

We want to show that $\map \mu E \le 0$.

Recalling that $B = A \setminus A_\infty$, we have:


 * $\ds E \in \set {\map \mu E : E \in \Sigma \text { and } E \subseteq A \setminus \bigcup_{i = 1}^\infty A_i}$

Since we have:


 * $\ds \set {\map \mu E : E \in \Sigma \text { and } E \subseteq A \setminus \bigcup_{i = 1}^\infty A_i} \subseteq \set {\map \mu E : E \in \Sigma \text { and } E \subseteq A \setminus \bigcup_{i = 1}^{n - 1} A_i}$

We obtain that:


 * $E \in \set {\map \mu E : E \in \Sigma \text { and } E \subseteq A \setminus \bigcup_{i = 1}^{n - 1} A_i}$

for each $n$.

So:


 * $\map \mu E \le \delta_n$

for each $n$.

Taking $n \to \infty$, we obtain:


 * $\map \mu E \le 0$

as required.