Definition:Measure of Finite Stieltjes Function

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Definition

Let $f: \R \to \R$ be a finite Stieltjes function.

Let $\mu_f$ be the pre-measure of $f$.


Let $\mu$ be the unique measure extending $\mu_f$ provided on Pre-Measure of Finite Stieltjes Function Extends to Unique Measure.

Then $\mu$ is called the measure of $f$.


This definition makes $\mu$ a measure on $\mathcal B \left({\R}\right)$, the Borel $\sigma$-algebra of $\R$.


Also see