1.1. Basics on measure theory
The first year as an M.S. student in Statistics at SNU was the time spent for learning theoretical foundations of statistics. The probability theory was certainly the most emphasized subject of all. I would like to take this vacation as an opportunity to review the course on probability theory. Most of the content is from the book Probability: Theory and Examples, 5th edition (Durrett, 2019), while some others are borrowed from the lecture note and personal communications with colleagues.
The first chapter is devoting to the basics of measure theory. A probability space is defined and essential theorems are introduced.
 Probability space
 Probability measures
 Characterization of a probability measure
 Dynkin’s $\pi$$\lambda$ theorem
Probability space
A probability space is a special kind of a measure space equipped with a positive finite measure. A measure space is defined as a triplet: a set, a $\sigma$field attached to that set, and a measure function. We will define each of the components.
(i) If $A\in \mathcal{F}$, then $A^c \in \mathcal{F}.$
(ii) If $A_i\in\mathcal{F},~ i=1,2,\cdots$, then $\cup_{i=1}^\infty A_i \in \mathcal{F}.$
A $\sigma$field is basically a set of sets. The first condition states that it is closed under complement and the second one states that it is closed under countable unions.
We next define a function that measures sizes of sets inside the $\sigma$field.
(i) $\mu(A) \ge \mu(\phi) = 0,~ \forall A \in \mathcal{F}.$
(ii) $A_i \in \mathcal{F},~ i=1,2,\cdots$ are disjoint. Then $\mu(\cup_{i=1}^\infty A_i) = \sum_{i=1}^\infty \mu(A_i).$
The second condition is sometimes referred to as $\sigma$ subadditivity (countable subadditivity). This is natural if we think of a common notion of a measure: if it is empty, its “size” should be zero and if we add one with another, the resulting size should be the sum. We call $\mu(A)$ the measure of a set $A$.
If there exists a sequence of sets ${A_n} \subset \mathcal{F}$ such that $\mu(A_n) < \infty$ for all $n$ and $\cup_{n=1}^\infty A_n = \Omega$, then $\mu$ is called a $\sigma$finite measure. If the measure of the whole set $\mu(\Omega)$ is finite, we call $\mu$ a finite measure. If $\mu(\Omega) = 1$ in addition, then we call this a probability measure (PM for abbreviation in the following post series). Most of the times, we name a PM with alphabet $P$ or $Q$.
Finally we can define a measure space and in addition a probability space.
If one is familiar with topology, the definition of $\sigma$field might also be quite familiar. In fact, Borel $\sigma$field connects a topological space with a corresponding measurable space.
$\mathcal{B}(\Omega) = \cap_{\tau\subset\mathcal{F}} \mathcal{F}$ is the Borel $\sigma$field of $\Omega$, where $\tau$ is a topology on $\Omega$. An element of $\mathcal{B}(\Omega)$ is called a Borel set.
$\mathcal{B}(\Omega)$ is the smallest $\sigma$field that contains all open sets of $\Omega.$ An important property of $\sigma$fields related to the definition of Borel fields is that arbitrary intersections of $\sigma$fields is a $\sigma$algebra. (This comes directly from the definition.)
For example of a Borel $\sigma$field and a measure space, consider $(\mathbb{R}, \mathcal{B}(\mathbb{R}))$ and the Lebesgue measure $\lambda$. It is not difficult to know that $\mathcal{B}(\mathbb{R})$ is consists of intersections and unions of sets of the form $(a,b),~(a,b],~[a,b)$ or $[a,b]$ where $a,b\in\mathbb{R}$. The Lebesgue measure measures their “size” as $\lambda(a,b]=ba$.
Probability measures
Let’s take a deeper look into the properties of measure and probability measures.
(i) (monotonicity) $A\subset B \implies P(A) \le P(B).$
(ii) ($\sigma$ subadditivity) $A \subset \cup_{i=1}^\infty A_i \implies P(A) \sum_{i=1}^\infty P(A_i).$
(iii) (continuity from below) $A_1 \subset A_2 \subset \cdots,~ \bigcup_{i=1}^\infty A_i = A \implies \lim_n P(A_n) = P(A).$
(iv) (continuity from above) $B_1 \supset B_2 \supset \cdots,~ \bigcap_{i=1}^\infty B_i = B \implies \lim_n P(B_n) = P(B).$
expand proof
(i) $B = BA + A$, $B \ne \phi$. Thus $P(B) = P(BA) + P(A) \ge P(A).$
(ii) Let $A_n' = A_n \cap A$, $B_n = A_n' \setminus \cup_{i=1}^{n1}A_i$. Then $B_n$'s are disjoint and $\cup_{n=1}^\infty B_n = A$, $B_n \subset A_n$. Hence $P(A) = \sum_{n=1}^\infty P(B_n) \le \sum_{n=1}^\infty P(A_n).$
(iii) Let $B_n = A_n \setminus A_{n1},~ A_0=\phi$ so that $B_n$'s be disjoint. Then $$\begin{align} P(\cup_n A_n) &= P(\cup_n B_n) = \sum_n P(B_n) \\ &= \lim_n P(\cup_{i=1}^n B_i) \\ &= \lim_n P(\cup_{i=1}^n A_i) \\ &= \lim_n P(A_n) \end{align}$$
(iv) Let $B_n' = B_1 \setminus B_n$ and use (iii).
Characterization of a probability measure
Until now, we defined measures only on $\sigma$fields. Measures in other set of subsets can be defined similarly. Furthermore, we can characterize each measure as an extension of the function similar to the measure defiend above. For this, we first define collections of sets that can be viewed as generalizations of $\sigma$fields.
(i) For all $S \in \mathcal{S}$, $S^c$ is a finite disjoint unions of $S_i \in \mathcal{S}.$
(ii) $S,T\in\mathcal{S} \implies S\cap T \in \mathcal{S}.$
It is not necessary for a semialgebra to contain $\phi$. However in many cases it is convenient to make it do so.
(i) $A \in \mathcal{A} \implies A^c \in \mathcal{A}.$
(ii) $S,T\in\mathcal{S} \implies S\cap T \in \mathcal{S}.$
Note that the strengthened condition on the definition of algrebra allows it to be closed on both the finite intersection and union.
For example, $\mathcal{S}_1 = \{\phi\} \cup \{(a,b]:~\infty\le a<b\le \infty\}$ is a semialgebra on $\mathbb{R}$. $\mathcal{A} = \{A\in\mathbb{Z}:~ A \text{ or } A^c \text{ is finite}\}$ is an algebra on $\mathbb{Z}$. They are trivial so I will leave it as exercises.
An algebra can be generated by semialgebra. $\overline{\mathcal{S}} := \{\text{finite disjoint unions of sets in }\mathcal{S}\}$ is an algebra generated by a semialgebra $\mathcal{S}$. Sometimes we call $\mathcal{S}$ a generator of $\overline{\mathcal{S}}$. Like Borel $\sigma$field, it is the smallest algebra that contains $\mathcal{S}$.
Similarly, a $\sigma$field can be generated by (semi)algebra. $\sigma(\mathcal{S}) = \sigma(\overline{\mathcal{S}})$ is the smallest $\sigma$field that contains $\mathcal{S}$.
Now we define “measures” on these structures.
(i) $\mu(A) \ge \mu(\phi) = 0,~ \forall A \in \mathcal{A}.$
(ii) $A_i\in A,~ i=1,2,\cdots$ are disjoint and $A=\cup_{i=1}^\infty A_i \in \mathcal{A}$, then $\mu(\cup_{i=1}^\infty A_i) = \sum_{i=1}^\infty \mu(A_i).$
$\sigma$finiteness is defined as in the $\sigma$field case.
We can define similar functions in semialgebra. Let $\mu: \mathcal{S} \to \mathbb{R}^+ \cup {0}$ be a function on a semialgebra $\mathcal{S}$ that satisfies
(i) $\mu(\phi)=0 \text{ and } \mu(S) \ge 0,~ \forall S \in \mathcal{S}.$
(ii) $S_i \in \mathcal{S},~ i=1,\cdots,n \implies \mu(\cup_{i=1}^n S_i) = \sum_{i=1}^n \mu(S_i).$
(iii) $S_i \in \mathcal{S},~ i=1,2,\cdots \implies \mu(\cup_{i=1}^\infty S_i) \le \sum_{i=1}^\infty \mu(S_i).$
I will call such functions semimeasures^{1}.
The following theorem states that a semimeasure can be uniquely extended to a measure on algebra. If the extended measure on algebra is $\sigma$finite, it can be further extended to a measure on $\sigma$field.
$\mu: \mathcal{S} \to \mathbb{R}^+\cup\{0\}$ is a semimeasure.
$\Rightarrow \exists!$ a positive measure $\overline{\mu}$ in $\overline{\mathcal{S}}$ that is an extension of $\mu$.
In addition, if $\overline{\mu}$ is $\sigma$finite, $\exists!$ a measure $\nu$ on $\sigma(\mathcal{S})$ that is an extension of $\overline{\mu}$.
Our major interest is in probability measure on $\mathbb{R}$. In undergraduate statistics, we learned that (cumulative) distribution functions uniquely determine probability distributions while densities cannot. Caratheodory’s extension theorem leads us the that conclution.
We say a realvalued function on $\mathbb{R}$ is a Stieltjes measure function if it is nondecreasing and rightcontinuous.
Let $\mathcal{S} = \{0\} \cup \{(a,b]:~ \infty\le a < b \le \infty\}$ and $\nu(\phi)=0$, $\nu(a,b] = F(b)  F(a)$. Then $\mathcal{S}$ is a semialgebra and $\nu$ is a semimeasure. Let $S_n = (n, n] \in \overline{\mathcal{S}}$, then it is easy to show $\sigma$finiteness. By Caratheodory's theorem, there is a unique extension of $\nu$.
Since a distribution function $F$ is a special case of Stieltjes measure function, it follows directly from the theorem that $F$ uniquely determines a probability measure^{2}.
On $\mathbb{R}^d,~ d>1$, we define functions similar to Stieltjes measure function: $F:\mathbb{R}^d \to \mathbb{R}^+ \cup {0}$ such that $F$ is nondecreasing, rightcontinuous and $\Delta_A F \ge 0$ for all $A = (a_1,b_1] \times \cdots \times (a_d,b_d]$, where $\Delta_A F = \sum_{v\in V}\text{sgn}(v)F(v)$, $V=\{a_1, b_1\} \times \cdots \times \{a_d, b_d\}$. Similar to the above, such $F$ can be uniquely extended to a measure $\mu$ such that $\mu(A) = \Delta_A F$ forall finite rectable $A$.
Dynkin’s $\pi$$\lambda$ theorem
I will end this subsection by stating the theorem that will be used throughout the course.
(i) $\Omega \in \mathcal{L}$
(ii) $A \in \mathcal{L} \Rightarrow A^c \in \mathcal{L}$
(iii) $A_i \in \mathcal{L}, i=1,2,\cdots$, where $A_i$'s are disjoint. $\Rightarrow$ $\uplus_{i=1}^\infty A_i \in \mathcal{L}$
The theorem implies in order to show that some property holds in a $\sigma$field, we only need to prove that it holds in a $\lambda$system and the generator $\pi$system of the $\sigma$field is contained in our $\lambda$system. A simple but useful corollary is about equivalent probability measures.
Other examples can be found here. We will get on it in this post series one at a time.
Acknowledgement
This post is based on the textbook Probability: Theory and Examples, 5th edition (Durrett, 2019) and the lecture at Seoul National University, Republic of Korea (instructor: Prof. Johan Lim).

I named this “semimeasure” just for the convenience. This might be different to the actual definition of semimeasure. ↩

Why does this mean that $F$ uniquely determines a probability distribution? Because probability distribution is defined as a probability measure generated by a special kind of functions. This will be discussed in subsection 1.2. ↩