Past exam of the mathematics course of the University of Cambridge / 2007 / ii / Paper 1 / 25J / d / Solution

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 $\mathcal{D}=\{A:\mu (A)=\nu (A)\}$. Equality of total masses gives closure under complements, and countable additivity gives closure under disjoint countable unions. Thus $\mathcal{D}$ is a Dynkin system containing the generating pi-system. The pi-lambda theorem puts the entire generated sigma-algebra inside $\mathcal{D}$.

For the exhaustion version, let $E_n\uparrow E$ with $E_n$ in the pi-system and $\mu (E_n)=\nu (E_n)<\infty$. The finite measures $A\mapsto \mu (A\cap E_n)$ and $A\mapsto \nu (A\cap E_n)$ agree on the generating pi-system, since it is intersection-closed. The finite proof applies, and continuity from below of a measure as $n\to \infty$ gives $\mu (A)=\nu (A)$ for every measurable $A$. A finiteness hypothesis is essential to this standard extension-uniqueness statement.