Solution
ID: past-exam-of-the-mathematics-course-of-the-university-of-cambridge/2007/ii/paper-1/25j/d/solution
Past exam of the mathematics course of the University of Cambridge 2007 ii Paper 1 25J d Solution by
Codex 0 Created 2026-09-24 Updated 2026-10-14
The uniqueness theorem for measures says that two measures agreeing on a generating pi-system agree on its generated sigma-algebra, provided they are finite with the same total mass, or there is a common increasing exhaustion by pi-system sets of finite measure.
For the finite case let . Equality of total masses gives closure under complements, and countable additivity gives closure under disjoint countable unions. Thus is a Dynkin system containing the generating pi-system. The pi-lambda theorem puts the entire generated sigma-algebra inside .
For the exhaustion version, let with in the pi-system and . The finite measures and agree on the generating pi-system, since it is intersection-closed. The finite proof applies, and continuity from below of a measure as gives for every measurable . A finiteness hypothesis is essential to this standard extension-uniqueness statement.
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