Outer Measure of Limit of Increasing Sequence of Sets

Theorem

Let $\mu^*$ be an outer measure on a set $X$.

Let $\sequence {S_n}$ be an increasing sequence of $\mu^*$-measurable sets, and let $S_n \uparrow S$ (as $n \to \infty$).

Then for any subset $A \subseteq X$:

$\ds \map {\mu^*} {A \cap S} = \lim_{n \mathop \to \infty} \map {\mu^*} {A \cap S_n}$

Proof

By the monotonicity of $\mu^*$, it suffices to prove that:

$\ds \map {\mu^*} {A \cap S} \le \lim_{n \mathop \to \infty} \map {\mu^*} {A \cap S_n}$

Assume that $\map {\mu^*} {A \cap S_n}$ is finite for all $n \in \N$, otherwise the statement is trivial by the monotonicity of $\mu^*$.

Let $S_0 = \O$.

Then $x \in S$ if and only if there exists an integer $n \ge 0$ such that $x \in S_{n + 1}$.

Taking the least possible $n$, it follows that $x \notin S_n$, and so:

$x \in S_{n + 1} \setminus S_n$

Therefore:

$\ds S = \bigcup_{n \mathop = 0}^\infty \paren {S_{n + 1} \setminus S_n}$

From Intersection Distributes over Union:

$\ds A \cap S = A \cap \bigcup_{n \mathop = 0}^\infty \paren {S_{n + 1} \setminus S_n} = \bigcup_{n \mathop = 0}^\infty \paren {A \cap \paren {S_{n + 1} \setminus S_n} }$

Therefore:

\(\ds \map {\mu^*} {A \cap S}\)

\(\le\)

\(\ds \sum_{n \mathop = 0}^\infty \map {\mu^*} {A \cap \paren {S_{n + 1} \setminus S_n} }\)

Definition of Countably Subadditive Function

\(\ds \)

\(=\)

\(\ds \sum_{n \mathop = 0}^\infty \paren {\map {\mu^*} {A \cap S_{n + 1} } - \map {\mu^*} {A \cap S_{n + 1} \cap S_n} }\)

Definition of Measurable Set of Arbitrary Outer Measure

\(\ds \)

\(=\)

\(\ds \sum_{n \mathop = 0}^\infty \paren {\map {\mu^*} {A \cap S_{n + 1} } - \map {\mu^*} {A \cap S_n} }\)

Intersection with Subset is Subset

\(\ds \)

\(=\)

\(\ds \lim_{n \mathop \to \infty} \map {\mu^*} {A \cap S_n} - \map {\mu^*} {A \cap \O}\)

Telescoping Series

\(\ds \)

\(=\)

\(\ds \lim_{n \mathop \to \infty} \map {\mu^*} {A \cap S_n}\)

Intersection with Empty Set and Definition of Outer Measure

$\blacksquare$