Past exam of the mathematics course of the University of Cambridge / 2017 / ii / Paper 4 / 25J / a

For a measurable map, each preimage ${\theta }^{-1}(A)$ lies in $\mathcal{E}$, so ${\mu }_{\theta }$ is well-defined and nonnegative. The preimage of the empty set is empty, and preimages commute with disjoint countable unions, givingfor pairwise disjoint measurable $A_j$. Thus ${\mu }_{\theta }$ is a measure, the pushforward measure ${\theta }_{\ast }\mu$. Its total mass is $\mu (E)$, because ${\theta }^{-1}(E)=E$. Finiteness is not needed for this construction, but is used in the uniqueness argument next.