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Exercise 8.2.7
For let if , otherwise. Show that is a -additive measure on .
Answers
Proof. Let , which we know is the largest -algebra of subsets of . We must show that as defined above satisfies the properties of -additive measure on :
For i) we clearly have by definition and since is nonempty, which follows from the fact that is a -algebra of subsets of .
Regarding ii), suppose that is a collection of disjoint sets in .
Case: . Then by definition , and it also has to be that for all so that . Therefore
Case: . Then by definition . It also follows that for at least one so that . We then have
since each for all natural .
Thus ii) is shown in both cases so that is indeed a -additive measure on as desired. □