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.
Let X be a locally compact Hausdorff space, and let 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 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 which assigns for every interval is sometimes called "the" Borel measure on . In practice, even "the" Borel measure is not the most useful measure defined on the σ-algebra of Borel sets; indeed, the Lebesgue measure 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 is an extension of the Borel measure , 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., for every Borel measurable set).
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.
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.
Hausdorff dimension and Frostman's lemma
Given a Borel measure μ on a metric space X such that μ(X) > 0 and μ(B(x, r)) ≤ rs holds for some constant s > 0 and for every ball B(x, r) in X, then the Hausdorff dimension dimHaus(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:
- Hs(A) > 0, where Hs denotes the s-dimensional Hausdorff measure.
- There is an (unsigned) Borel measure μ satisfying μ(A) > 0, and such that
- holds for all x ∈ Rn 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. It is used as a method for proving joint convergence results. The theorem is named after Harald Cramér and Herman Ole Andreas Wold.
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