Existence and Uniqueness of Lebesgue Measure
Theorem
Let $\lambda^n$ be the Lebesgue pre-measure on the half-open $n$-rectangles $\JJ_{ho}^n$.
Then Lebesgue measure, the extension of $\lambda^n$ to the Borel $\sigma$-algebra $\BB \left({\R^n}\right)$, exists and is unique.
Proof
From Lebesgue Pre-Measure is Pre-Measure, $\lambda^n$ is a pre-measure on $\JJ_{ho}^n$.
By Half-Open Rectangles form Semiring of Sets, $\JJ_{ho}^n$ is a semiring of sets.
Also, from Characterization of Euclidean Borel Sigma-Algebra, $\map \BB {\R^n} = \map \sigma {\JJ_{ho}^n}$.
Now observe that the half-open $n$-rectangles $\horectr {-n} n$ form an increasing sequence of sets with limit $\R^n$.
Also, by definition of $\lambda^n$, have:
- $\map {\lambda^n} {\horectr {-n} n} = \ds \prod_{i \mathop = 1}^n n - \paren {-n} = \paren {2 n}^n < +\infty$
Hence, Carathéodory's Theorem and its corollary apply.
These yield existence and uniqueness of Lebesgue measure, the extension of $\lambda^n$ to $\map \BB {\R^n}$.
$\blacksquare$
Sources
- 2005: René L. Schilling: Measures, Integrals and Martingales ... (previous) ... (next): $4.9$
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