Borel measure

In mathematics, specifically in measure theory, a Borel measure on a topological space is a measure that is defined on all open sets (and thus on all Borel sets). Some authors require additional restrictions on the measure, as described below.

Formal Definition

Let X be a locally compact Hausdorff space, and let ${\mathfrak {B}}(X)$ be the smallest σ-algebra that contains the open sets of X; this is known as the σ-algebra of Borel sets. Any measure μ defined on the σ-algebra of Borel sets is called a Borel measure. Some authors require in addition that μ(C) < ∞ for every compact set C. If a Borel measure μ is both inner regular and outer regular, it is called a regular Borel measure (some authors also require it to be tight). If μ is both inner regular and locally finite, it is called a Radon measure. Note that a locally finite Borel measure automatically satisfies μ(C) < ∞ for every compact set C.

On the real line

The real line $\mathbb {R}$ with its usual topology is a locally compact Hausdorff space, hence we can define a Borel measure on it. In this case, ${\mathfrak {B}}(\mathbb {R} )$ is the smallest σ-algebra that contains the open intervals of $\mathbb {R}$. While there are many Borel measures μ, the choice of Borel measure which assigns $\mu ([a,b])=b-a$ for every interval $[a,b]$ is sometimes called "the" Borel measure on $\mathbb {R}$. In practice, even "the" Borel measure is not the most useful measure defined on the σ-algebra of Borel sets; indeed, the Lebesgue measure $\lambda$ is an extension of "the" Borel measure which possesses the crucial property that it is a complete measure (unlike the Borel measure). To clarify, when one says that the Lebesgue measure $\lambda$ is an extension of the Borel measure $\mu$, it means that every Borel-measurable set E is also a Lebesgue-measurable set, and the Borel measure and the Lebesgue measure coincide on the Borel sets (i.e., $\lambda (E)=\mu (E)$ for every Borel measurable set).

Applications

Lebesgue-Stieltjes integral

{{#invoke:main|main}} The Lebesgue–Stieltjes integral is the ordinary Lebesgue integral with respect to a measure known as the Lebesgue–Stieltjes measure, which may be associated to any function of bounded variation on the real line. The Lebesgue–Stieltjes measure is a regular Borel measure, and conversely every regular Borel measure on the real line is of this kind.

Laplace transform

{{#invoke:main|main}} One can define the Laplace transform of a finite Borel measure μ on the real line by the Lebesgue integral

$({\mathcal {L}}\mu )(s)=\int _{[0,\infty )}e^{-st}d\mu (t).$

An important special case is where μ is a probability measure or, even more specifically, the Dirac delta function. In operational calculus, the Laplace transform of a measure is often treated as though the measure came from a distribution function f. In that case, to avoid potential confusion, one often writes

$({\mathcal {L}}f)(s)=\int _{0^{-}}^{\infty }e^{-st}f(t)\,dt$

where the lower limit of 0⁻ is shorthand notation for

$\lim _{\varepsilon \downarrow 0}\int _{-\varepsilon }^{\infty }.$

This limit emphasizes that any point mass located at 0 is entirely captured by the Laplace transform. Although with the Lebesgue integral, it is not necessary to take such a limit, it does appear more naturally in connection with the Laplace–Stieltjes transform.

Hausdorff dimension and Frostman's lemma

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Given a Borel measure μ on a metric space X such that μ(X) > 0 and μ(B(x, r)) ≤ r^s holds for some constant s > 0 and for every ball B(x, r) in X, then the Hausdorff dimension dim_Haus(X) ≥ s. A partial converse is provided by Frostman's lemma:

Lemma: Let A be a Borel subset of Rⁿ, and let s > 0. Then the following are equivalent:

• H^s(A) > 0, where H^s denotes the s-dimensional Hausdorff measure.
• There is an (unsigned) Borel measure μ satisfying μ(A) > 0, and such that

$\mu (B(x,r))\leq r^{s}$

holds for all x ∈ Rⁿ and r>0.

Cramér–Wold theorem

{{#invoke:main|main}} The Cramér–Wold theorem in measure theory states that a Borel probability measure on $R^{k}$ is uniquely determined by the totality of its one-dimensional projections. It is used as a method for proving joint convergence results. The theorem is named after Harald Cramér and Herman Ole Andreas Wold.

Further reading

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External links

• Borel measure at Encyclopedia of Mathematics