# Lebesgue Pre-Measure is Pre-Measure

## Theorem

The Lebesgue pre-measure $\lambda^n$ on the half-open $n$-rectangles $\mathcal{J}_{ho}^n$ is a pre-measure.

## Proof

We employ Characterization of Pre-Measures.

It is known that $\lambda^n \left({\varnothing}\right) = 0$ by definition of Lebesgue pre-measure.

The only possibility for two disjoint half-open $n$-rectangles to constitute a single, large half-open $n$-rectangle is when they are of the form:

- $\left[[{\mathbf a \,.\,.\, \mathbf b}\right)) \quad \left[[{\mathbf a' \,.\,.\, \mathbf b'}\right))$

such that we have for some $i$ with $1 \le i \le n$:

- $i \ne j \implies a_j = a'_j$
- $i \ne j \implies b_j = b'_j$
- $i = j \implies a'_j = b_j$

which intuitively can be visualised as two cubes that together form one large bar, namely $\left[[{\mathbf a \,.\,.\, \mathbf b'}\right))$.

In this situation, we have:

\(\displaystyle \lambda^n \left({\left[\left[{\mathbf a \,.\,.\, \mathbf b}\right)\right)}\right) + \lambda^n \left({\left[\left[{\mathbf a' \,.\,.\, \mathbf b'}\right)\right)}\right)\) | \(=\) | \(\displaystyle \prod_{j \mathop = 1}^n \left({b_j - a_j}\right) + \prod_{j \mathop = 1}^n \left({b'_j - a'_j}\right)\) | By definition of Lebesgue pre-measure | ||||||||||

\(\displaystyle \) | \(=\) | \(\displaystyle \left({b_i - a_i + b'_i - a'_i}\right) \prod_{\substack{j \mathop = 1 \\ j \mathop \ne i} } \left({b_j - a_j}\right)\) | By the noted properties of $a_j, b_j, a'_j, b'_j$ | ||||||||||

\(\displaystyle \) | \(=\) | \(\displaystyle \lambda^n \left({\left[\left[{\mathbf a \,.\,.\, \mathbf b'}\right)\right)}\right)\) | By definition of Lebesgue pre-measure |

Thus it is verified that $\lambda^n$ is finitely additive.

Finally, suppose that $\left[[{\mathbf a_m \,.\,.\, \mathbf b_m}\right)) \downarrow \varnothing$ is a decreasing sequence of sets, with limit $\varnothing$.

Then there exists at least one $j$ with $1 \le j \le n$ such that:

- $\displaystyle \lim_{m \to \infty} a_{m,j} = \lim_{m \to \infty} b_{m,j}$

which by Combination Theorem for Sequences is equivalent to:

- $\displaystyle \lim_{m \to \infty} b_{m,j} - a_{m,j} = 0$

The fact that the sequence is decreasing means that, from Cartesian Product of Subsets, for all $m \in \N$, for all $1 \le i \le n$:

- $\left[{a_{m,i} \,.,\,.\, b_{m,i}}\right) \subseteq \left[{a_{1,i} \,.\,.\, b_{1,i} }\right)$

and whence $b_{m,i} - a_{m,i} \le b_{1,i} - a_{m,1}$.

Hence we have:

\(\displaystyle \lim_{m \to \infty} \lambda^n \left({\left[\left[{\mathbf a_m \,.\,.\, \mathbf b_m}\right)\right)}\right)\) | \(=\) | \(\displaystyle \lim_{m \to \infty} \prod_{i \mathop = 1}^n \left({b_{m,i} - a_{m,i} }\right)\) | By definition of Lebesgue pre-measure | ||||||||||

\(\displaystyle \) | \(\le\) | \(\displaystyle \lim_{m \to \infty} \left({b_{m,j} - a_{m,j} }\right) \prod_{\substack{i \mathop = 1 \\ i \mathop \ne j} } \left({b_{1,i} - a_{1,i} }\right)\) | By the above discussion | ||||||||||

\(\displaystyle \) | \(=\) | \(\displaystyle 0\) | Combination Theorem for Sequences |

This verifies the last condition for Characterization of Pre-Measures, since $\lambda^n$ only takes finite values.

Hence $\lambda^n$ is a pre-measure.

$\blacksquare$

## Sources

- 2005: René L. Schilling:
*Measures, Integrals and Martingales*... (previous) ... (next): $6.5$