Chapter 5

The Caratheodory
Construction of
Measures
Recall how our construction of Lebesgue measure in Chapter 2 proceeded
from an initial notion of the size of a very restricted class of subsets of R, the
intervals. Using this notion, we dened an outer measure by the process
(2.1) and proceeded from there to obtain a measure.
In general, an outer measure on a set X is a function

: P(X) [0, ]
satisfying the following three conditions:
(5.1)

() = 0,
(5.2) A B =

(A)

(B),
(5.3) A
j
X countable =

_
_
j
A
j
_

(A
j
).
Recall that P(X) is the collection of all subsets of X.
Parallel to (2.1), here is a way to construct outer measures. Let E be
some family of subsets of X, such that E and X =

j1
X
j
for some
countable collection X
j
E. Suppose you have a function
(5.4) : E [0, ], () = 0.
For any S X, set
(5.5)

(S) = inf
_

j1
(E
j
) : E
j
E, S
_
j1
E
j
_
.
Here {E
j
} is a countable cover of S by sets in E.
57
58 5. The Caratheodory Construction of Measures
Proposition 5.1. Under the hypotheses above,

, dened by (5.5), is an
outer measure.
Proof. Property (5.1) follows from () = 0 and (5.2) from the fact that,
when A B, any countable cover of B by elements of E is also a cover of
A. The proof of (5.3) works the same way as the proof of Proposition 2.1;
each A
j
has a countable cover {E
jk
: k 1} by elements of E, such that

(A
j
)

k
(E
jk
) 2
j
. Then {E
jk
: j, k 1} is a countable cover of

j
A
j
by elements of E, and we obtain (5.3) in the limit as 0.
If we have an outer measure

, then, as suggested when we stated

Proposition 2.12, we say that a set A X is

-measurable if and only if

(5.6)

(Y ) =

(Y A) +

(Y \ A), Y X.
(By (5.3), always holds, so the condition to check is .) Denote by M
the class of

-measurable subsets of X. The following result is known as

Caratheodorys Theorem.
Theorem 5.2. If

is an outer measure on X, then the class M of

-
measurable sets is a -algebra, and the restriction of

to M is a measure.
Proof. Clearly M. Also, if A M, then, for all Y X, Y A
c
= Y \A
and Y \ A
c
= Y A, so M is closed under complements.
Next, suppose A
j
M. We want to show that (5.6) holds with A =
A
1
A
2
. Since

is subadditive, it suces to establish that

(5.7)

(Y )

_
Y (A
1
A
2
)
_
+

_
Y (A
1
A
2
)
c
_
,
for all Y X. Note that A
1
A
2
= A
1
(A
2
A
c
1
) is a disjoint union. We
see that the right side of (5.7) is
(5.8)

(Y A
1
) +

(Y A
2
A
c
1
) +

(Y A
c
1
A
c
2
)
=

(Y A
1
) +

(Y A
c
1
)
=

(Y ),
where the last two identities use A
2
M and A
1
M, respectively. This
yields (5.7) and shows that M is an algebra, i.e., M is closed under com-
plements and nite unions.
We next check additivity when A
1
, A
2
M are disjoint. Indeed, if we
set Y = A
1
A
2
, A = A
1
in (5.6), we get
(5.9)

(A
1
A
2
) =

(A
1
) +

(A
2
), A
j
M, disjoint.
5. The Caratheodory Construction of Measures 59
Inductively, we have, for A
j
M, disjoint,
(5.10)

_
N
_
j=1
A
j
_
=
N

j=1

(A
j
).
Taking N and using monotonicity of

yield

_
_
j1
A
j
_

j1

(A
j
),
and since the reverse inequality holds by (5.3), we have for a countable
family A
j
,
(5.11)

_
_
j1
A
j
_
=

j1

(A
j
), A
j
M, disjoint.
Compare the proof of Proposition 2.7, leading to Theorem 2.8.
To nish the proof of Theorem 5.2, we need to show that, if A
j
M
is a countable disjoint family, then A =

j1
A
j
is

-measurable. Let
B
n
=

jn
A
j
. The measurability of A
n
implies

(Y B
n
) =

(Y B
n
A
n
) +

(Y B
n
A
c
n
)
=

(Y A
n
) +

(Y B
n1
),
for any Y X. Inductively, we obtain
(5.12)

(Y B
n
) =
n

j=1

(Y A
j
).
We know M is an algebra, so B
n
M, and hence, using (5.12), we have
(5.13)

(Y ) =

(Y B
n
) +

(Y B
c
n
)

j=1

(Y A
j
) +

(Y A
c
),
the last inequality holding because B
n
A. Taking n , we have
(5.14)

(Y )

j1

(Y A
j
) +

(Y A
c
)

_
_
j1
(Y A
j
)
_
+

(Y A
c
)
=

(Y A) +

(Y A
c
)

(Y ).
60 5. The Caratheodory Construction of Measures
Thus A M, and Theorem 5.2 is proved.
While the construction (5.4)(5.5) is very general, you need extra struc-
ture to relate

(S) to (S) when S E. The following is a convenient

setting.
Let A be an algebra of subsets of X, i.e., a nonempty collection of subsets
of X, closed under nite unions and under complements, hence under nite
intersections. A function
0
: A [0, ] is called a premeasure if it satises
the following two conditions:
(5.15)
0
() = 0,
(5.16) S
j
A countable, disjoint,
_
j
S
j
= S A =
0
(S) =

0
(S
j
).
As an example, let X = I = [a, b], and let A consist of nite unions
of intervals (open, closed, or half-open) in I. If S =

N
k=1
J
k
is a disjoint
union of intervals, take
0
(S) =

N
k=1
(J
k
), so
0
is the restriction of
Lebesgue (outer) measure to A. In this case, (5.16) can be demonstrated by
an argument similar to that needed for Exercise 1 in Chapter 2.
If
0
is a premeasure on A, it induces an outer measure on X via the
construction (5.4)(5.5), i.e.,
(5.17)

(E) = inf
_

j0

0
(A
j
) : A
j
A, E
_
j0
A
j
_
.
Proposition 5.3. If
0
is a premeasure on A and

is dened by (5.17),
then
(5.18) S A =

(S) =
0
(S),
and every set in A is

-measurable.
Proof. To prove (5.18), rst note that

(S)
0
(S) for S A since
S covers itself. Suppose S A, and S

j1
A
j
, A
j
A. Then let
B
n
= S
_
A
n
\

j<n
A
j
_
, so {B
n
: n 1} is a disjoint family of members
of A, whose union is S. Thus, by (5.16),
(5.19)
0
(S) =

j1

0
(B
j
)

j1

0
(A
j
).
It follows that
0
(S)

(S). This proves (5.18).

5. The Caratheodory Construction of Measures 61
To prove that each A A is

-measurable, if Y X and > 0, there is

a sequence {B
j
: j 1} A with Y

j1
B
j
and

0
(B
j
)

(Y ) +.
Since
0
is additive on A,
(5.20)

(Y ) +

j1

0
(B
j
A) +

j1

0
(B
j
A
c
)

(Y A) +

(Y A
c
),
the latter inequality holding, e.g., because {B
j
A : j 1} is a cover of
Y A by elements of A. Taking 0, we obtain (5.6), so any A A is

-measurable.
When we combine the last result with Theorem 5.2, we obtain an exten-
sion of the premeasure
0
to a measure.
Theorem 5.4. Let A P(X) be an algebra,
0
a premeasure on A, and
M= (A) the -algebra generated by A. Then there exists a measure on
M whose restriction to A is
0
, namely

M
, where

is given by (5.17).
Proof. In fact, the class of

-measurable sets is a -algebra containing A;

hence it contains (A). There is nothing more to prove.
We next examine the extent to which the extension of
0
to (A) is
unique. Suppose is a measure on M = (A), which also agrees with
0
on A. If E M and E

j1
A
j
, A
j
A, then
(5.21) (E)

j1
(A
j
) =

j1

0
(A
j
),
so, by the construction (5.17) of

,
(5.22) (E) (E), E (A).
Also, by the property (3.5),
(5.23) B
j
A, B
j
B =(B) = lim
n
(B
n
) = lim
n
(B
n
) = (B).
Suppose now that E M and (E) < . Fix > 0. Then we can choose
the cover A
j
in (5.17) such that

(A
j
) < (E) +. Hence, with
B
n
=
_
jn
A
j
B =
_
j1
A
j
,
we have (B) < (E)+, so (B\E) < , and hence, by (5.22), (B\E) < .
Meanwhile, by (5.23), (B) = (B), so
(5.24) (E) (B) = (B) = (E) +(B \ E) (E) +.
Taking 0 gives (E) (E), as long as (E) < . In concert with
(5.22), this yields the following.
62 5. The Caratheodory Construction of Measures
Proposition 5.5. Let A be an algebra of subsets of X, generating the -
algebra M = (A). Let
0
be a premeasure on A, and let be the measure
on M given by Theorem 5.4, extending
0
. If is another measure on M
which agrees with
0
on A, then for all S M, (S) (S), and
(5.25) (S) < =(S) = (S).
Furthermore, if there is a countable family A
j
such that
(5.26) X =
_
j1
A
j
, A
j
M, (A
j
) < ,
then (S) = (S) for all S M.
Proof. The implication (5.25) was established above. If (5.26) holds, we
can assume the A
j
are disjoint. If S M, we have the disjoint union
S =

S
j
, S
j
= S A
j
. By (5.25), (S
j
) = (S
j
), and then (S) = (S)
follows by countable additivity.
If (5.26) holds, we say (X, M, ) is a -nite measure space. See Exercise
15 for another proof of Proposition 5.5.
If Theorem 5.4 is applied to the example mentioned after (5.16), it yields
the fact that nite unions of intervals in I = [a, b] are Lebesgue measurable
and hence so are sets in the -algebra (A) generated by this algebra of
subsets of I. In particular, all open sets in I are measurable, since they are
countable unions of open intervals. Hence all closed sets in I are measurable.
Of course, this recaptures results obtained in Chapter 2.
Recall that, in our treatment of Lebesgue measure on an interval, we
gave a denition of measurability dierent from (5.6) and then showed in
Proposition 2.12 that the denition of measurability given there implied
(5.6). We now give a result in counterpoint to Proposition 2.12.
Proposition 5.6. Suppose we are given an algebra A of subsets of X and
a premeasure
0
on A, with associated outer measure

, dened by (5.17).
Assume Z X is

-measurable and

(Z) < . Then a set S Z is

-measurable if and only if

(5.27)

(S) +

(Z \ S) =

(Z).
Proof. We need to show that, if (5.27) holds, then, for any Y X,
(5.28)

(Y ) =

(Y S) +

(Y S
c
).
5. The Caratheodory Construction of Measures 63
Only the part needs to be established, so we can assume

(Y ) < .
Write Y = Y
0
Y
1
, a disjoint union, where Y
0
= Y Z, Y
1
= Y Z
c
. Using
the measurability of Z, we have
(5.29)

(Y ) =

(Y Z) +

(Y Z
c
) =

(Y
0
) +

(Y
1
)
and
(5.30)

(Y S
c
) =

(Y S
c
Z)+

(Y S
c
Z
c
) =

(Y
0
S
c
)+

(Y
1
),
provided S Z, while
(5.31)

(Y S) =

(Y
0
S).
Consequently it suces to prove (5.28) for Y = Y
0
, i.e., for Y Z. For that,
we bring in a lemma
Lemma 5.7. Let

arise from a premeasure on an algebra A. Let A

consist of countable unions of sets in A. Then

(5.32) S X =

(S) = inf{

(E) : E A

, S E}.
Proof. We leave this to the reader; see Exercise 3 at the end of this chapter.
We continue the proof of Proposition 5.6. Given > 0, there exists

A A

such that

A Y and

A)

(Y ) + . Set A =

A Z. Then
A M (the -algebra of

-measurable sets), A Y (if Y Z), and

(A)

(Y ) +. We claim that
(5.33)

(A) =

(A S) +

(A S
c
).
Suppose this is known. Then we have
(5.34)

(Y ) +

(Y S) +

(Y S
c
),
for all > 0. In the limit 0, we obtain the part of (5.28), and the
problem is solved.
Thus it remains to establish (5.32), given A M, A Z,

(Z) < ,
and given the hypothesis (5.27). Using the measurability of A, we have
(5.35)

(Z) =

(A) +

(Z A
c
).
64 5. The Caratheodory Construction of Measures
Now the left side of (5.35) is equal to

(S) +

(Z \ S), by hypothesis. By
subadditivity of outer measure, the right side of (5.35) is
(5.36)

(A S) +

(A S
c
) +

_
(Z \ A) S
_
+

_
(Z \ A) S
c
_
=

(S A) +

_
(Z \ S) A
_
+

(S \ A) +

_
(Z \ S) \ A
_
=

(S) +

(Z \ S),
the last identity following by grouping together the odd terms and the even
terms on the second line of (5.36) and using measurability of A. Since the
bottom line of (5.36) is equal to the left side of (5.35), the in (5.36) must
be equality. That inequality arose from the sum of two inequalities, and so
both of them must be equalities. One of them is the desired result (5.33).
This nishes the proof of Proposition 5.6.
We next describe an important class of outer measures on metric spaces,
for which all open sets and all closed sets can be shown to be measurable.
This result will play an important role in Chapter 12, on Hausdor measures,
and in Chapter 13, on Radon measures.
Let X be a metric space, with distance function d(x, y). An outer mea-
sure

on X is called a metric outer measure provided

(5.37)
(S
1
, S
2
) = inf {d(x
1
, x
2
) : x
j
S
j
} > 0
=

(S
1
S
2
) =

(S
1
) +

(S
2
).
Note that the part (2.15)(2.16) of Lemma 2.4 is the statement that Lebesgue
outer measure is a metric outer measure on I = [a, b]. The following is an-
other result of Caratheodory:
Proposition 5.8. If

is a metric outer measure on a metric space X,

then every closed subset of X is

-measurable.
Proof. We must show that if F X is closed and Y X satises

(Y ) <
, then
(5.38)

(Y )

(Y F) +

(Y \ F).
Consider
B
n
=
_
x Y \ F : (x, F)
1
n
_
.
Note that B
n
Y \ F. Also (B
n
, F) 1/n, so, by (5.37),
(5.39)

(Y F) +

(B
n
) =

_
(Y F) B
n
_

(Y ).
5. The Caratheodory Construction of Measures 65
Thus it will suce to show that
(5.40)

(B
n
)

(Y \ F).
Let C
n
= B
n+1
\ B
n
. Note that
|j k| 2 =(C
j
, C
k
) > 0.
Hence, for any N, one obtains inductively (using (5.37)) that
(5.41)
N

j=1

(C
2j
) =

_
N
_
j=1
C
2j
_

(Y ),
N

j=1

(C
2j+1
) =

_
N
_
j=1
C
2j+1
_

(Y ),
and consequently

j1

(C
j
) < . Now countable subadditivity implies
(5.42)

(Y \ F)

(B
n
) +

jn

(C
j
),
so as n , the last sum tends to zero, and we obtain
(5.43)

(Y \ F) liminf
n

(B
n
) limsup
n

(B
n
)

(Y \ F),
the last inequality by monotonicity. This implies (5.40) and nishes the
proof.
As one may have noticed, at several points in this chapter and previous
chapters, we have considered a class of sets with certain desirable properties
and have wanted to prove it was a -algebra. The following result, called
the Monotone Class Lemma, sometimes furnishes a convenient tool for doing
this. We dene a monotone class on a set X to be a collection C P(X)
having the properties
(5.44)
E
j
C, E
j
E =E C,
E
j
C, E
j
E =E C.
The smallest monotone class containing a collection E P(X) is called the
monotone class generated by E.
Proposition 5.9. If A is an algebra of subsets of X and C is the monotone
class generated by A, then C = (A).
66 5. The Caratheodory Construction of Measures
Proof. Clearly C (A). We will show that C is a -algebra. If E C, let
(5.45) C(E) = {F C : E \ F, F \ E, E F C}.
Clearly , E C(E), and C(E) is easily veried to be a monotone class.
Also, E C(F) F C(E). Since A is an algebra, we have
(5.46) E, F A =F C(E).
In other words, if E A, then A C(E); hence C C(E). Thus, if F C,
then F C(E) for all E A. This implies
(5.47) E C(F), E A, F C.
Thus A C(F) and hence C C(F), for all F C. In other words,
(5.48) E, F C =E \ F, E F C.
Since X A C, it follows that C is an algebra of sets. We nally note
that C must be a -algebra. Indeed, if E
j
C, then F
j
=

nj
E
j
C, and
(5.44) implies F
j
F =

j1
E
j
C. This nishes the proof.
The proof of Proposition 6.2 in the next chapter will provide a nice
application of the Monotone Class Lemma.
Exercises
1. Let I = [a, b] and let A be the algebra of subsets of I consisting of nite
unions of intervals, as in the example after (5.16). Let : I R be
a monotonically increasing function, i.e., assume that x < y (x)
(y). Set
(5.49)

(x) = lim
ux
(u),
+
(x) = lim
ux
(u),
with the convention that

(0) = (0) and

+
(1) = (1). Dene

0
: A R
+
as follows. If S =

N
k=1
J
k
is a union of mutually disjoint
intervals, set
0
(S) =

N
k=1

0
(J
k
), where
0
is dened on a single
interval J I as follows:
(5.50)

0
_
[x, y]
_
=
+
(y)

(x),

0
_
[x, y)
_
=

(y)

(x),

0
_
(x, y]
_
=
+
(y)
+
(x),

0
_
(x, y)
_
=

(y)
+
(x).
5. The Caratheodory Construction of Measures 67
Also, set
0
() = 0. Show that
0
is a premeasure. The measure then
produced via Theorem 5.4 is called Lebesgue-Stieltjes measure.
Hint. Say J is a closed interval and J =

k1
J
k
, with disjoint intervals
J
k
. First show that

m
k=1

0
(J
k
)
0
(J) for each m, so
0
(J)

k1

0
(J
k
). For the reverse inequality, one can argue as follows. Pick
> 0. Say the endpoints of J
k
are a
k
and b
j
, so (a
k
, b
k
) J
k
[a
k
, b
k
].
If a
k
J
k
, pick a
k
< a
k
such that 0

(a
k
)
+
( a
k
) < 2
k
. If
a
k
/ J
k
, let a
k
= a
k
. Make an appropriate analogous choice of

b
k
,
and let

J
k
= ( a
k
,

b
k
). Note that
0
(

J
k
) <
0
(J
k
) + 2
k+1
. Now
J

k1

J
k
, and this is an open cover. Take a nite subcover.
For Exercises 26, suppose we are given an algebra A of subsets of X
and a premeasure
0
on A, with associated outer measure

, dened
by (5.17). Let A

consist of countable unions of sets in A.

2. Show that
(5.51) E A

(E) = sup {
0
(A) : A A, A E}.
3. Show that
(5.52) S X =

(S) = inf {

(E) : E A

, S E}.
4. Let A

consist of countable intersections of sets in A, and set

(5.53)

(S) = sup {

(E) : E A

, E S}, S X.
Show that

(S)

(S). If

(S) < , show that S is

-measurable
if and only if

(S) =

(S).
Hint. Show that, if S Z A

(Z) < , then

(Z) =

(S) +

(Z \ S). Then use Proposition 5.6.

5. Given S X, show that there exist S
0
A

and S
1
A

such that
(5.54) S
0
S S
1
, (S
1
) =

(S), (S
0
) =

(S).
Show that, if

(S) < , then S is

-measurable if and only if (S

1
\
S
0
) = 0. Here, is the measure on (A) given by Theorem 5.4.
6. Let
#
be the outer measure on X obtained via (5.17), with (A,
0
)
replaced by ((A), ). Equivalently,
(5.55)
#
(S) = inf {(A) : S A (A)}.
68 5. The Caratheodory Construction of Measures
Clearly
#
(S)

(S) for all S X. Show that

#
=

.
Hint. If S A (A), show that, for any > 0, there exists B A

such that A B and (B) (A) +.

7. If

is an outer measure on X, then clearly

(5.56) S
1
S
2
S
3
S =

(S
j
) M

(S).
If

arises from a premeasure, via (5.17), show that M =

(S).
Hint. First note that A
n
(A), A
n
A

(A
n
)

(A).
Then show that, for any > 0, there exist Z
n
(A) such that
Z
n
S
n
, Z
n
, and

(Z
n
) =

(S
n
). Make use of (5.54).
8. As in Exercise 5 of Chapter 3, a measure on (X, M) is said to be
complete provided
(5.57) A M, (A) = 0, S A =S M, and (S) = 0.
Show that the measures provided by Theorem 5.2, from outer measures,
are all complete. In particular, Lebesgue measure is complete.
9. If is a measure on (X, F) that is not complete, form the outer measure

by (5.17), with A replaced by F. Let M be the -algebra of

-
measurable sets. Show that Theorem 5.2 produces a measure on
(X, M) which is complete and such that F M and = on F. Show
that M = F, given by Exercise 5 of Chapter 3, and that coincides
with the measure produced there, the completion of .
In Exercises 1014, suppose X is a compact metric space, B the -
algebra of Borel subsets of X, and a nite measure on (X, B). Con-
struct the outer measure

via (5.17), with A replaced by B. (Note

that Proposition 5.3 applies in this case.)
10. Show that

must be a metric outer measure.

Hint. If S
1
, S
2
satisfy (5.37), construct compact K X such that
S
1
K X \ S
2
. Apply (5.6) with A = K, Y = S
1
S
2
.
11. We know that B = (A) where A is the algebra generated by the
compact sets in X. Show that A consists of sets of the form
(5.58)
N

=1
M

=1

N
1
_

1
=1
M
1

1
=1
E

,
5. The Caratheodory Construction of Measures 69
where each E

X is either open or closed.

12. Show that
(5.59) S X =

(S) = inf {

(O) : S O, O open}.
Hint. By Exercise 6,

(S) is given by (5.52) or, equivalently, by (5.17)

(with some changes in notation). Show that, given A
j
A, > 0, there
exist open sets O
j
such that A
j
O
j
and (O
j
) (A
j
) + 2
j
. It
suces to make such a construction for each E

in (5.58), and we need

worry only about the case when E

is compact; i.e., we need to verify

(5.59) when S is compact. For this, keep in mind that X is a metric
space.
13. Show that
(5.60) S B =(S) = sup {(K) : K S, K compact}.
14. If f L
1
(X, ) and > 0, show that there exists a compact K X
such that (X \ K) < and f

K
is continuous.
Hint. Using Proposition 4.5 (or otherwise), produce f

C(X) such
that f

f, -a.e. Then use Egoros Theorem. Then use (5.60).

This result is Lusins Theorem. A special case was stated in Exercise
16 of Chapter 3.
15. Use the Monotone Class Lemma to give another proof of Proposition
5.5. Furthermore, establish the following variant of Proposition 5.5.
Proposition 5.5A. Let A be an algebra of subsets of X, generating the
-algebra M = (A). Let and be measures on M. Assume there
exist A
j
such that
X =
_
j1
A
j
, A
j
A, (A
j
) < .
If = on A, then = on M.
How do these two propositions dier?
16. Suppose E is a collection of subsets of X having the following properties:
(1) The intersection of any two elements of E belongs to E.
(2) The collection of nite disjoint unions of elements of E is an algebra
A.
70 5. The Caratheodory Construction of Measures
Let
b
: E [0, ] satisfy
(a)
b
() = 0,
(b) E
j
E countable, disjoint,

j
E
j
= E E
b
(E) =

j

b
(E
j
).
Show that
b
extends to a premeasure
0
on A, satisfying
E
1
, . . . , E
K
E disjoint
0
(E
1
E
K
) =
K

j=1

b
(E
j
).
Show that if

is dened by (5.17), then also, for E X,

(E) = inf
_

j0

b
(A
j
) : A
j
E, E
_
j0
A
j
_
.
Hint. Start with uniqueness; if also F
1
, . . . , F
L
E are disjoint and

L
=1
F

=

K
k=1
E
k
, write this set as

k,
(E
k
F

) to show
0
is well
dened.
Note. An example is X = [0, 1], E = the collection of intervals in
[0, 1],
b
(J) = (J), the length. Another family of examples arises at
the beginning of Chapter 6.
17. Suppose E is a collection of subsets of X satisfying property (1) in
Exercise 16 and also satisfying
(2

) E E X \ E is a nite disjoint union of elements of E.

Show that E satises property (2) in Exercise 16.