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Let $(X, \mathcal A, \mu)$ be a finite measure space. We define a pseudometric $d_\mu$ by $d_{\mu}(A, B) := \mu(A \triangle B)$. Then $d_\mu$ becomes a metric when $\mathcal A$ is considered modulo the equivalence relation $\sim$ defined by $$ A \sim B \iff \mu(A \triangle B) = 0 \quad \forall A,B \in \mathcal A. $$

I'm trying to fill in the details in this answer.

Theorem: If the $\sigma$-algebra $\mathcal A$ is generated by a countable collection $\mathcal B \subset \mathcal A$, then $d_\mu$ is separable.

Could you have a check on my proof?


My attempt: Let $\mathcal C$ be the smallest algebra (over $X$) containing $\mathcal B$. Because $\mathcal B$ is countable, so is $\mathcal C$. Next we prove that $\overline{\mathcal C} = \mathcal A$, i.e., $\mathcal C$ is dense in $\mathcal A$. Because $\mathcal B \subset \mathcal C$, it is enough to prove that $\overline{\mathcal C}$ is a $\sigma$-algebra over $X$.

Assume $A \in \overline{\mathcal C}$, i.e., there is a sequence $(A_n) \subset \mathcal C$ such that $d_\mu (A_n, A) < 1/n$. Then $(A_n^c) \subset \mathcal C$ and $$ d_\mu (A^c_n, A^c) = \int |1_{A^c_n} - 1_{A^c}| = \int |(1-1_{A_n}) - (1-1_{A})| = \int |1_{A_n} - 1_{A}| = d_\mu (A_n, A) < 1/n. $$

Hence $A^c \in \overline{\mathcal C}$, i.e., $\overline{\mathcal C}$ is closed under taking complement.

Let $(A_n) \subset \overline{\mathcal C}$. We will prove that $A :=\bigcup_n A_n \in \overline{\mathcal C}$. Fix $\varepsilon>0$. There is a sequence $(B_n) \subset \mathcal C$ such that $d_\mu (B_n, A_n) < \varepsilon 2^{-n}$. From this Wikipedia page, we have

$$ \left(\bigcup_{\alpha \in \mathcal{I}} A_{\alpha}\right) \triangle\left(\bigcup_{\alpha \in \mathcal{I}} B_{\alpha}\right) \subseteq \bigcup_{\alpha \in \mathcal{I}}\left(A_{\alpha} \triangle B_{\alpha}\right), $$ where $\mathcal{I}$ is an arbitrary non-empty index set.

It follows that $$ d_\mu \left ( \bigcup_{i=1}^n B_i, \bigcup_{i=1}^n A_i \right ) \le \sum_{i=1}^n d_\mu (B_i, A_i) \le \varepsilon \quad \forall n \in \mathbb N. $$

By continuity of measure from below, we have $$ \lim_n \mu \left ( \bigcup_{i=1}^n A_i \right ) = \mu (A) < \infty. $$

It follows that there is $N$ such that $$ d_\mu \left ( \bigcup_{i=1}^N A_i, A \right ) = \mu \left (A \setminus \left ( \bigcup_{i=1}^N A_i \right ) \right ) < \varepsilon. $$

Hence $$ d_\mu \left ( \bigcup_{i=1}^N B_i, A \right ) \le d_\mu \left ( \bigcup_{i=1}^N B_i, \bigcup_{i=1}^N A_i \right ) + d_\mu \left ( \bigcup_{i=1}^N A_i, A \right ) < 2 \varepsilon. $$

This completes the proof.

Akira
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  • "Because $\mathcal{B}$ is countable, so is $\mathcal{C}$." This is not true. Consider the $\sigma$-algebra generated by the collection of sets $\left{\left[0, t\right) \mid t \in \mathbb{Q}\right}$. Also, you then set out to prove $\overline{\mathcal{C}} = \mathcal{A}$. But by assumption, $\mathcal{C} = \mathcal{A}$. – Anthony Ter Aug 16 '22 at 03:13
  • @AnthonyTer I define $\mathcal B$ as "the smallest algebra...". – Akira Aug 16 '22 at 03:14
  • ah I see, sorry about that. – Anthony Ter Aug 16 '22 at 03:17
  • Looking at the proof, it looks right to me. Just to verify, do you need the finiteness of the measure to say that measure being close is equivalent to the symmetric difference has small measure? – Keen-ameteur Aug 16 '22 at 08:24
  • @Keen-ameteur If $\mu(A)<\infty = \mu(B)$ then $d_\mu (A, B) = \infty$. Please see this question. It seems $\sigma$-finiteness is enough. Please see this related question. – Akira Aug 16 '22 at 08:31
  • I meant more when you concluded from $\mu(\cup^n A_i)\to \mu(A)$ that $\mu\Big(A \Delta \cup^N A_i \Big)<\epsilon$. I don't think this is true when the measure is $\sigma$-finite. – Keen-ameteur Aug 16 '22 at 08:41
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    @Keen-ameteur yess, I think finiteness is necessary for that to hold. – Akira Aug 16 '22 at 08:45
  • It seems a similar proof can be found here. – Akira Aug 16 '22 at 10:08

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