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In mathematics, an **inner regular measure** is one for which the measure of a set can be approximated from within by compact subsets.

Let (*X*, *T*) be a Hausdorff topological space and let Σ be a σ-algebra on *X* that contains the topology *T* (so that every open set is a measurable set, and Σ is at least as fine as the Borel σ-algebra on *X*). Then a measure *μ* on the measurable space (*X*, Σ) is called **inner regular** if, for every set *A* in Σ,

This property is sometimes referred to in words as "approximation from within by compact sets."

Some authors^{ [1] }^{ [2] } use the term **tight** as a synonym for inner regular. This use of the term is closely related to tightness of a family of measures, since a finite measure *μ* is inner regular if and only if, for all *ε*> 0, there is some compact subset *K* of *X* such that *μ*(*X* \ *K*) < *ε*. This is precisely the condition that the singleton collection of measures {*μ*} is tight.

When the real line **R** is given its usual Euclidean topology,

- Lebesgue measure on
**R**is inner regular; and - Gaussian measure (the normal distribution on
**R**) is an inner regular probability measure.

However, if the topology on **R** is changed, then these measures can fail to be inner regular. For example, if **R** is given the lower limit topology (which generates the same σ-algebra as the Euclidean topology), then both of the above measures fail to be inner regular, because compact sets in that topology are necessarily countable, and hence of measure zero.

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

In mathematics, a **measure** on a set is a systematic way to assign a number, intuitively interpreted as its size, to some subsets of that set, called **measurable sets**. 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 usual length, area, or volume to subsets of a Euclidean spaces, for which this be defined. For instance, the Lebesgue measure of an interval of real numbers is its usual length.

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 mathematics, the ** L^{p} spaces** are function spaces defined using a natural generalization of the

In mathematics, the **Radon–Nikodym theorem** is a result in measure theory that expresses the relationship between two measures defined on the same measurable space. A *measure* is a set function that assigns a consistent magnitude to the measurable subsets of a measurable space. Examples of a measure include area and volume, where the subsets are sets of points; or the probability of an event, which is a subset of possible outcomes within a wider probability space.

In the mathematical field of measure theory, an **outer measure** or **exterior measure** is a function defined on all subsets of a given set with values in the extended real numbers satisfying some additional technical conditions. The theory of outer measures was first introduced by Constantin Carathéodory to provide an abstract basis for the theory of measurable sets and countably additive measures. Carathéodory's work on outer measures found many applications in measure-theoretic set theory, and was used in an essential way by Hausdorff to define a dimension-like metric invariant now called Hausdorff dimension. Outer measures are commonly used in the field of geometric measure theory.

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 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 probability theory, **random element** is a generalization of the concept of random variable to more complicated spaces than the simple real line. The concept was introduced by Maurice Fréchet (1948) who commented that the “development of probability theory and expansion of area of its applications have led to necessity to pass from schemes where (random) outcomes of experiments can be described by number or a finite set of numbers, to schemes where outcomes of experiments represent, for example, vectors, functions, processes, fields, series, transformations, and also sets or collections of sets.”

In mathematics, **tightness** is a concept in measure theory. The intuitive idea is that a given collection of measures does not "escape to infinity".

In measure theory **Prokhorov's theorem** relates tightness of measures to relative compactness in the space of probability measures. It is credited to the Soviet mathematician Yuri Vasilyevich Prokhorov, who considered probability measures on complete separable metric spaces. The term "Prokhorov’s theorem" is also applied to later generalizations to either the direct or the inverse statements.

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 largest (closed) subset of *X* for which every open neighbourhood of every point of the set has positive measure.

In mathematics, the **Lévy–Prokhorov metric** is a metric on the collection of probability measures on a given metric space. It is named after the French mathematician Paul Lévy and the Soviet mathematician Yuri Vasilyevich Prokhorov; Prokhorov introduced it in 1956 as a generalization of the earlier Lévy metric.

In mathematics, more specifically measure theory, there are various notions of the **convergence of measures**. For an intuitive general sense of what is meant by *convergence in measure*, consider a sequence of measures μ_{n} on a space, sharing a common collection of measurable sets. Such a sequence might represent an attempt to construct 'better and better' approximations to a desired measure μ that is difficult to obtain directly. The meaning of 'better and better' is subject to all the usual caveats for taking limits; for any error tolerance ε > 0 we require there be *N* sufficiently large for *n* ≥ *N* to ensure the 'difference' between μ_{n} and μ is smaller than ε. Various notions of convergence specify precisely what the word 'difference' should mean in that description; these notions are not equivalent to one another, and vary in strength.

In mathematics, an **invariant measure** is a measure that is preserved by some function. Ergodic theory is the study of invariant measures in dynamical systems. The Krylov–Bogolyubov theorem proves the existence of invariant measures under certain conditions on the function and space under consideration.

In mathematics — specifically, in measure theory — a **perfect measure** is one that is “well-behaved” in some sense. Intuitively, a perfect measure *μ* is one for which, if we consider the pushforward measure on the real line **R**, then every measurable set is “*μ*-approximately a Borel set”. The notion of perfectness is closely related to tightness of measures: indeed, in metric spaces, tight measures are always perfect.

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, a **càdlàg**, **RCLL**, or **corlol** function is a function defined on the real numbers that is everywhere right-continuous and has left limits everywhere. Càdlàg functions are important in the study of stochastic processes that admit jumps, unlike Brownian motion, which has continuous sample paths. The collection of càdlàg functions on a given domain is known as **Skorokhod space**.

In measure and probability theory in mathematics, a **convex measure** is a probability measure that — loosely put — does not assign more mass to any intermediate set “between” two measurable sets *A* and *B* than it does to *A* or *B* individually. There are multiple ways in which the comparison between the probabilities of *A* and *B* and the intermediate set can be made, leading to multiple definitions of convexity, such as log-concavity, harmonic convexity, and so on. The mathematician Christer Borell was a pioneer of the detailed study of convex measures on locally convex spaces in the 1970s.

- ↑ Ambrosio, L., Gigli, N. & Savaré, G. (2005).
*Gradient Flows in Metric Spaces and in the Space of Probability Measures*. Basel: ETH Zürich, Birkhäuser Verlag. ISBN 3-7643-2428-7.CS1 maint: multiple names: authors list (link) - ↑ Parthasarathy, K. R. (2005).
*Probability measures on metric spaces*. AMS Chelsea Publishing, Providence, RI. xii+276. ISBN 0-8218-3889-X. MR 2169627

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