Lebesgue measure

The Lebesgue measure is the standard way of assigning a volume to subsets of Euclidean space. It is used throughout real analysis, in particular to define Lebesgue integration. Sets which can be assigned a volume are called Lebesgue measurable; the volume or measure of the Lebesgue measurable set A is denoted by λ(A). A Lebesgue measure of ∞ is possible, but even so, not all subsets of Rⁿ are Lebesgue measurable. The "strange" behavior of non-measurable sets gives rise to such statements as the Banach-Tarski paradox.

Properties

The Lebesgue measure has the following properties:

1. If A is a product of intervals of the form I₁ x I₂ x ... x I_n, then A is Lebesgue measurable and λ(A) = |I₁| · ... · |I_n|. Here, |I| denotes the length of the interval I as explained in the article on intervals.
2. If A is a disjoint union of finitely many or countably many disjoint Lebesgue measurable sets, then A is itself Lebesgue measurable and λ(A) is equal to the sum (or infinite series) of the measures of the involved measurable sets.
3. If A is Lebesgue measurable, then so is its complement.
4. λ(A) ≥ 0 for every Lebesgue measurable set A.
5. If A and B are Lebesgue measurable and A is a subset of B, then λ(A) ≤ λ(B). (A consequence of 2, 3 and 4.)
6. Countable unions and intersections of Lebesgue measurable sets are Lebesgue measurable. (A consequence of 2 and 3.)
7. If A is an open or closed subset of Rⁿ (see metric space), then A is Lebesgue measureable.
8. If A is Lebesgue measurable set with λ(A) = 0 (a null set), then every subset of A is also a null set.
9. If A is Lebesgue measurable and x is an element of Rⁿ, then the translation of A by x, defined by A + x = {a + x : a in A}, is also Lebesgue measurable and has the same measure as A.

All the above may be succinctly summarized as follows:

The Lebesgue measurable sets form a sigma algebra containing all products of intervals, and λ is the unique complete translation-invariant measure on that sigma-algebra with λ([0, 1] x [0, 1] x ... x [0, 1]) = 1.

Null sets

A subset of Rⁿ is a null-set if, for every ε > 0, it can be covered with countably many products of n intervals whose total volume is at most ε. All countable sets are null-sets, and so are sets in Rⁿ whose dimension is smaller than n, for instance straight lines or circles in R².

In order to show that a given set A is Lebesgue measurable, one usually tries to find a "nicer" set B which differs from A only by a null set (in the sense that the symmetric difference (A - B) u (B - A) is a null set) and then shows that B can be generated using countable unions and intersections from open or closed sets.

Construction of the Lebesgue measure

The modern construction of the Lebesgue measure, due to Caratheodory?, proceeds as follows. For any subset B of Rⁿ, we can define λ^*(B) = inf { vol(M} : M is a countable union of products of intervals, and M contains B }. Here, vol(M) is sum of the product of the lengths of the involved intervals. We then define the set A to be Lebesgue measurable if

λ^*(B) = λ^*(A ∩ B) + λ^*(B - A)

for all sets B. These Lebesgue measurable sets form a sigma algebra, and the Lebesgue measure is defined by λ(A) = λ^*(A) for any Lebesgue measurable set A.

Relation to other measures

The Borel measure agrees with the Lebesgue measure on those sets for which it is defined; however, there are many more Lebesgue-measureable sets than there are Borel measurable sets. The Borel measure is translation-invariant, but not complete.

The [Haar measure]? can be defined on any [locally compact group]? and is a generalization of the Lebesgue measure (Rⁿ with addition is a locally compact group).

History

[Henry Lebesgue]? described his measure in 1901, followed the next year by his description of the [Lebesgue integral]?. Both were published as part of his dissertation in 1902.

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