Cylinder premeasure from a positive functional
ID: cylinder-premeasure-from-a-positive-functional
A normalized positive linear functional on for Cantor space gives a finitely additive set function on the algebra of clopen sets. If a countable disjoint union of such sets is itself clopen, compactness gives a finite subcover; all other terms are empty. Finite additivity therefore gives the required countable additivity, making a premeasure. The Caratheodory extension theorem produces a unique Borel probability measure.
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