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| :''See also [[Carathéodory's theorem]] for other meanings.''
| | Specialist Medical practitioner (General Medication ) Frank Brzozowski from Gjoa Haven, has interests for example aeromodeling, [http://ganhardinheiro.comoganhardinheiro101.com como ganhar dinheiro na internet] and keep. Has been a travel maniac and recently made a journey to Archaeological Sites of Bat. |
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| In [[measure theory]], '''Carathéodory's extension theorem''' (named after the [[Greeks|Greek]] [[mathematician]] [[Constantin Carathéodory]]) states that any [[measure (mathematics)|measure]] defined on a given [[ring of sets|ring]] ''R'' of subsets of a given set ''Ω'' can be extended to the [[σ-algebra]] generated by ''R'', and this extension is unique if the measure is [[σ-finite]]. Consequently, any measure on a space containing all [[interval (mathematics)|interval]]s of [[real number]]s can be extended to the [[Borel algebra]] of the set of real numbers. This is an extremely powerful result of measure theory, and proves, for example, the existence of the [[Lebesgue measure]].
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| == Semi-ring and ring ==
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| === Definitions ===
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| For a given set Ω, we may define a [[Semi-ring of sets|semi-ring]] as a subset ''S'' of <math>\mathcal{P}(\Omega)</math>, the [[power set]] of Ω, which has the following properties:
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| * {{nowrap|∅ ∈ ''S''}}
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| * For all {{nowrap|''A'', ''B'' ∈ ''S''}}, we have {{nowrap|''A''∩''B'' ∈ ''S''}} (closed under pairwise intersections)
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| * For all {{nowrap|''A'', ''B'' ∈ ''S''}}, there exist disjoint sets {{nowrap|''K<sub>i</sub>'' ∈ ''S''}}, with {{nowrap|''i'' {{=}} 1, 2, …, ''n''}}, such that <math> A\setminus B = \bigsqcup_{i = 1}^n K_i</math> ([[Complement (set theory)|relative complements]] can be written as finite [[disjoint union]]s).
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| With the same notation, we define a ring ''R'' as a subset of the power set of Ω which has the following properties:
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| * {{nowrap|∅ ∈ ''R''}}
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| * For all {{nowrap|''A'', ''B'' ∈ ''R''}}, we have {{nowrap|''A''∪''B'' ∈ ''R''}} (closed under pairwise unions)
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| * For all {{nowrap|''A'', ''B'' ∈ ''R''}}, we have {{nowrap|''A''\''B'' ∈ ''R''}} (closed under relative complements).
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| Thus any ring on Ω is also a semi-ring.
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| Sometimes, the following constraint is added in the measure theory context:
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| * Ω is the disjoint union of a [[countable]] family of sets in ''S''.
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| === Properties ===
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| * Arbitrary (possibly [[uncountable]]) intersections of rings on Ω are still rings on Ω.
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| * If ''A'' is a non-empty subset of <math>\mathcal{P}(\Omega)</math>, then we define the ring generated by ''A'' (noted ''R(A)'') as the smallest ring containing ''A''. It is straightfoward to see that the ring generated by ''A'' is equivalent to the intersection of all rings containing ''A''.
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| * For a semi-ring ''S'', the set containing all finite disjoint union of sets of ''S'' is the ring generated by ''S'':
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| :<math>R(S) = \{ A: A = \bigsqcup_{i=1}^{n}{A_i}, A_i \in S \}</math>
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| (''R(S)'' is simply the set containing all finite unions of sets in S).
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| * A [[Content (measure theory)|content]] ''μ'' defined on a semi-ring ''S'' can be extended on the ring generated by ''S''. Such an extension is unique. The extended content can be written:
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| :<math>\mu(A) = \sum_{i=1}^{n}{\mu(A_i)} </math> for <math>A = \bigsqcup_{i=1}^{n}{A_i}</math>, with the ''A<sub>i</sub>'' in ''S''.
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| In addition, it can be proved that ''μ'' is a [[pre-measure]] if and only if the extended content is also a pre-measure, and that any pre-measure on ''R(S)'' that extends the pre-measure on ''S'' is necessarily of this form.
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| === Motivation ===
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| In measure theory, we are not interested in semi-rings and rings themselves, but rather in [[sigma-algebra|σ-algebras]] generated by them. The idea is that it is possible to build a pre-measure on a semi-ring ''S'' (for example [[Stieltjes measures]]), which can then be extended to a pre-measure on ''R(S)'', which can finally be extended to a [[Measure (mathematics)|measure]] on a σ-algebra through Caratheodory's extension theorem. As σ-algebras generated by semi rings and rings are the same, the difference does not really matter (in the measure theory context at least). Actually, the '''Carathéodory's extension theorem''' can be slightly generalized by replacing ring by semi-ring.
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| The definition of semi-ring may seem a bit convoluted, but the following example shows why it is useful.
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| === Example ===
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| Think about the subset of <math>\mathcal{P}(\Bbb{R})</math> defined by the set of all half-open intervals [a, b) for a and b reals. This is a semi-ring, but not a ring. [[Stieltjes measures]] are defined on intervals; the countable additivity on the semi ring is not too difficult to prove because we only consider countable unions of intervals which are intervals themselves. Proving it for arbitrary countably union of intervals is proved using Caratheodory's theorem.
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| ==Statement of the theorem==
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| Let ''R'' be a ring on Ω and {{nowrap|''μ'': ''R'' → [0, + ∞]}} be a [[pre-measure]] on ''R''.
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| The Carathéodory's extension theorem states that<ref>Vaillant, ''Theorem 4''</ref> there exists a measure {{nowrap|''μ′'': ''σ''(''R'') → [0, + ∞]}} such that {{nowrap|''μ′''}} is an extension of ''μ''. (That is, {{nowrap|''μ′'' {{!}}<sub>''R''</sub> {{=}} ''μ''</sub>}}).
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| Here ''σ''(''R'') is the [[Sigma-algebra|''σ''-algebra]] generated by ''R''.
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| If ''μ'' is [[Sigma-finite|''σ''-finite]] then the extension {{nowrap|''μ′''}} is unique (and also ''σ''-finite).<ref>Ash, ''p19''</ref>
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| ==Examples==
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| ===Non-uniqueness of extension===
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| Here is some examples where there is more than one extension of a pre-measure to the σ-algebra generated by it.
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| For the first example, take the algebra generated by all half-open intervals [''a'',''b'') on the real, and give such intervals measure infinity if they are non-empty. The Caratheodory extension gives all non-empty sets measure infinity. Another extension is given by counting measure.
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| Here is a second example, closely related to the failure of some forms of [[Fubini's theorem]] for spaces that are not σ-finite.
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| Suppose that ''X'' is the unit interval with Lebesgue measure and ''Y'' is the unit interval with the discrete counting measure. Let the ring ''R'' be generated by products ''A''×''B'' where ''A'' is Lebesgue measurable and ''B'' is any subset, and give this set the measure μ(''A'')card(''B''). This has a very large number of different extensions to a measure; for example:
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| *The measure of a subset is the sum of the measures of its horizontal sections. This is the smallest possible extension. Here the diagonal has measure 0.
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| *The measure of a subset is <math>\int_0^1n(x)dx</math> where ''n''(''x'') is the number of points of the subset with given ''x''-coordinate. The diagonal has measure 1.
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| *The Caratheodory extension, which is the largest possible extension. All subsets of finite measure are contained in the union of a countable number of horizontal lines and a set whose projection to the ''x''-axis has measure 0. In particular the diagonal has measure infinity.
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| == See also ==
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| * [[Outer measure]]: the proof of Carathéodory's extension theorem is based upon the outer measure concept.
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| * [[Hahn-Kolmogorov theorem]]
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| * [[Loeb measure]]s, constructed using Carathéodory's extension theorem.
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| ==References==
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| <references/>
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| * Noel Vaillant, ''[http://www.probability.net/WEBcaratheodory.pdf Caratheodory's Extension]'', on probability.net. A clear demonstration of the theorem through exercises.
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| * {{cite book | author=Robert B. Ash | title=Probability and Measure theory | publisher=Academic Press; 2 edition | year=1999 | isbn=0-12-065202-1}}
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| {{DEFAULTSORT:Caratheodory's Extension Theorem}}
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| [[Category:Theorems in measure theory]]
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Specialist Medical practitioner (General Medication ) Frank Brzozowski from Gjoa Haven, has interests for example aeromodeling, como ganhar dinheiro na internet and keep. Has been a travel maniac and recently made a journey to Archaeological Sites of Bat.