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).^{ [1] } Some authors require additional restrictions on the measure, as described below.

Let be a locally compact Hausdorff space, and let be the smallest σ-algebra that contains the open sets of ; this is known as the σ-algebra of Borel sets. A **Borel measure** is any measure defined on the σ-algebra of Borel sets.^{ [2] } A few authors require in addition that is locally finite, meaning that for every compact set . If a Borel measure is both inner regular and outer regular, it is called a **regular Borel measure**. If is both inner regular, outer regular, and locally finite, it is called a Radon measure.

The real line with its usual topology is a locally compact Hausdorff space, hence we can define a Borel measure on it. In this case, is the smallest σ-algebra that contains the open intervals of . While there are many Borel measures *μ*, the choice of Borel measure that assigns for every half-open interval is sometimes called "the" Borel measure on . This measure turns out to be the restriction to the Borel σ-algebra of the Lebesgue measure , which is a complete measure and is defined on the Lebesgue σ-algebra. The Lebesgue σ-algebra is actually the *completion* of the Borel σ-algebra, which means that it is the smallest σ-algebra that contains all the Borel sets and has a complete measure on it. Also, the Borel measure and the Lebesgue measure coincide on the Borel sets (i.e., for every Borel measurable set, where is the Borel measure described above).

If *X* and *Y* are second-countable, Hausdorff topological spaces, then the set of Borel subsets of their product coincides with the product of the sets of Borel subsets of *X* and *Y*.^{ [3] } That is, the Borel functor

from the category of second-countable Hausdorff spaces to the category of measurable spaces preserves finite products.

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.^{ [4] }

One can define the Laplace transform of a finite Borel measure μ on the real line by the Lebesgue integral ^{ [5] }

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

where the lower limit of 0^{−} is shorthand notation for

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.

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

**Lemma:** Let *A* be a Borel subset of **R**^{n}, 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

- holds for all
*x*∈**R**^{n}and*r*> 0.

The Cramér–Wold theorem in measure theory states that a Borel probability measure on is uniquely determined by the totality of its one-dimensional projections.^{ [7] } It is used as a method for proving joint convergence results. The theorem is named after Harald Cramér and Herman Ole Andreas Wold.

In mathematical analysis, a **measure** on a set is a systematic way to assign a number to each suitable subset of that set, intuitively interpreted as its size. In this sense, a measure is a generalization of the concepts of length, area, and volume. A particularly important example is the Lebesgue measure on a Euclidean space, which assigns the conventional length, area, and volume of Euclidean geometry to suitable subsets of the *n*-dimensional Euclidean space **R**^{n}. For instance, the Lebesgue measure of the interval [0, 1] in the real numbers is its length in the everyday sense of the word, specifically, 1.

In mathematical analysis, a **null set** is a set that can be covered by a countable union of intervals of arbitrarily small total length. The notion of null set in set theory anticipates the development of Lebesgue measure since a null set necessarily has **measure zero**. More generally, on a given measure space a null set is a set such that .

In mathematical analysis and in probability theory, a **σ-algebra** on a set *X* is a collection Σ of subsets of *X* that includes *X* itself, is closed under complement, and is closed under countable unions.

In the mathematical field of real analysis, the **monotone convergence theorem** is any of a number of related theorems proving the convergence of monotonic sequences that are also bounded. Informally, the theorems state that if a sequence is increasing and bounded above by a supremum, then the sequence will converge to the supremum; in the same way, if a sequence is decreasing and is bounded below by an infimum, it will converge to the infimum.

In mathematics, **Fatou's lemma** establishes an inequality relating the Lebesgue integral of the limit inferior of a sequence of functions to the limit inferior of integrals of these functions. The lemma is named after Pierre Fatou.

In measure-theoretic analysis and related branches of mathematics, **Lebesgue–Stieltjes integration** generalizes Riemann–Stieltjes and Lebesgue integration, preserving the many advantages of the former in a more general measure-theoretic framework. 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.

In mathematics, a **Radon measure**, named after Johann Radon, is a measure on the σ-algebra of Borel sets of a Hausdorff topological space *X* that is finite on all compact sets, outer regular on all Borel sets, and inner regular on open sets. These conditions guarantee that the measure is "compatible" with the topology of the space, and most measures used in mathematical analysis and in number theory are indeed Radon measures.

In functional analysis, an **abelian von Neumann algebra** is a von Neumann algebra of operators on a Hilbert space in which all elements commute.

In mathematics, a **regular measure** on a topological space is a measure for which every measurable set can be approximated from above by open measurable sets and from below by compact measurable sets.

In measure theory, **Carathéodory's extension theorem** states that any pre-measure defined on a given ring *R* of subsets of a given set *Ω* can be extended to a measure on the σ-algebra generated by *R*, and this extension is unique if the pre-measure is σ-finite. Consequently, any pre-measure on a ring containing all intervals of real numbers can be extended to the Borel algebra of the set of real numbers. This is an extremely powerful result of measure theory, and leads, for example, to the Lebesgue measure.

In mathematics, a positive measure *μ* defined on a *σ*-algebra Σ of subsets of a set *X* is called a finite measure if *μ*(*X*) is a finite real number, and a set *A* in Σ is of finite measure if *μ*(*A*) < ∞*.* The measure *μ* is called **σ-finite** if *X* is the countable union of measurable sets with finite measure. A set in a measure space is said to have ** σ-finite measure** if it is a countable union of measurable sets with finite measure. A measure being σ-finite is a weaker condition than being finite, i.e. all finite measures are σ-finite but there are (many) σ-finite measures that are not finite.

In measure theory, a branch of mathematics, a **finite measure** or **totally finite measure** is a special measure that always takes on finite values. Among finite measures are probability measures. The finite measures are often easier to handle than more general measures and show a variety of different properties depending on the sets they are defined on.

In mathematics, **Gaussian measure** is a Borel measure on finite-dimensional Euclidean space **R**^{n}, closely related to the normal distribution in statistics. There is also a generalization to infinite-dimensional spaces. Gaussian measures are named after the German mathematician Carl Friedrich Gauss. One reason why Gaussian measures are so ubiquitous in probability theory is the central limit theorem. Loosely speaking, it states that if a random variable *X* is obtained by summing a large number *N* of independent random variables of order 1, then *X* is of order and its law is approximately Gaussian.

In mathematics, the **support** of a measure *μ* on a measurable topological space is a precise notion of where in the space *X* the measure "lives". It is defined to be the smallest (closed) subset of *X* for which every open neighbourhood of every point of the set has positive measure.

In mathematics, a **locally finite measure** is a measure for which every point of the measure space has a neighbourhood of finite measure.

In probability theory, a **standard probability space**, also called **Lebesgue–Rokhlin probability space** or just **Lebesgue space** is a probability space satisfying certain assumptions introduced by Vladimir Rokhlin in 1940. Informally, it is a probability space consisting of an interval and/or a finite or countable number of atoms.

In mathematics, **lifting theory** was first introduced by John von Neumann in a pioneering paper from 1931, in which he answered a question raised by Alfréd Haar. The theory was further developed by Dorothy Maharam (1958) and by Alexandra Ionescu Tulcea and Cassius Ionescu Tulcea (1961). Lifting theory was motivated to a large extent by its striking applications. Its development up to 1969 was described in a monograph of the Ionescu Tulceas. Lifting theory continued to develop since then, yielding new results and applications.

In mathematics, the integral of a non-negative function of a single variable can be regarded, in the simplest case, as the area between the graph of that function and the *x*-axis. The **Lebesgue integral** extends the integral to a larger class of functions. It also extends the domains on which these functions can be defined.

In mathematics, the **Riesz–Markov–Kakutani representation theorem** relates linear functionals on spaces of continuous functions on a locally compact space to measures in measure theory. The theorem is named for Frigyes Riesz (1909) who introduced it for continuous functions on the unit interval, Andrey Markov (1938) who extended the result to some non-compact spaces, and Shizuo Kakutani (1941) who extended the result to compact Hausdorff spaces.

In mathematics, a **distribution function** is a real function in measure theory. From every measure on the algebra of Borel sets of real numbers, a distribution function can be constructed, which reflects some of the properties of this measure. Distribution functions are a generalization of distribution functions.

- ↑ D. H. Fremlin, 2000.
*Measure Theory Archived 2010-11-01 at the Wayback Machine*. Torres Fremlin. - ↑ Alan J. Weir (1974).
*General integration and measure*. Cambridge University Press. pp. 158–184. ISBN 0-521-29715-X. - ↑ Vladimir I. Bogachev. Measure Theory, Volume 1. Springer Science & Business Media, Jan 15, 2007
- ↑ Halmos, Paul R. (1974),
*Measure Theory*, Berlin, New York: Springer-Verlag, ISBN 978-0-387-90088-9 - ↑ Feller 1971 , §XIII.1
- ↑ Rogers, C. A. (1998).
*Hausdorff measures*. Cambridge Mathematical Library (Third ed.). Cambridge: Cambridge University Press. pp. xxx+195. ISBN 0-521-62491-6. - ↑ K. Stromberg, 1994.
*Probability Theory for Analysts*. Chapman and Hall.

- Gaussian measure, a finite-dimensional Borel measure
- Feller, William (1971),
*An introduction to probability theory and its applications. Vol. II.*, Second edition, New York: John Wiley & Sons, MR 0270403 . - J. D. Pryce (1973).
*Basic methods of functional analysis*. Hutchinson University Library. Hutchinson. p. 217. ISBN 0-09-113411-0. - Ransford, Thomas (1995).
*Potential theory in the complex plane*. London Mathematical Society Student Texts.**28**. Cambridge: Cambridge University Press. pp. 209–218. ISBN 0-521-46654-7. Zbl 0828.31001. - Teschl, Gerald,
*Topics in Real and Functional Analysis*, (lecture notes) - Wiener's lemma related

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