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Letting $\mu$ and $\mu^*$ be the Lebesgue and outer Lebesgue measure repsectively, the inner Lebesgue measure can defined as $$\mu_*:S\mapsto \sup\left\{\mu(K) : \text{$K$ is a compact subset of $S$}\right\}$$ or, on bounded sets, as $$S\mapsto \mu(A)-\mu^*(A\setminus S)$$ for any elementary set $A$ containing $S$.

Neither Williams' Probabilities with Martingles, nor Hunter's Measure Theory, nor Tao's An Introduction to Measure Theory define inner measures in general. Why are inner measures skipped when studying introductory measure theory?

A definition of an inner measure may be found in Wikipedia, yet it's not clear at all why such a definition is adopted i.e. having the defined the Lebesgue inner measure, why are those properties in particular chosen when characterizing general inner measures? (see also the edit at the bottom of the post)

The outer measure is used in the construction of measures through -what I shall call- Carathéodory's Restriction Lemma (see below). Is there a version of this theorem which utilizes inner, as opposed to outer, measures?


Carathéodory's Restriction Lemma: let $\mu^*:2^X\to [0,\infty]$ be an outer measure on the power set $2^X$ of $X$. Then $\mu^*$ can be restricted to a measure $$\mu:\Sigma\to[0,\infty]$$ where $\Sigma := \Big\{ C \in 2^X : C \text{ is Caratheodory measurable} \Big\}$ and $\mu := \mu^*|_{\Sigma}$.


Edit: in Halmos' Measure Theory (where I was directed to by Dave L. Renfro below), an inner measure $\mu_*$ induced by a measure $\mu:\Sigma\to[0,\infty]$ is defined by \begin{equation} \tag{1} \mu_*(E):=\sup\left\{\mu(F):E\supseteq F \text{ for } F\in \Sigma\right\} \end{equation} and is proven to have the following two properties: \begin{equation} \begin{split} & a) \ \mu_*(\varnothing)=0.\\ & b) \ \mu_*(E)\le \mu_*(F) \text{ whenever } E\subseteq F.\\ & c) \ \text{For a disjoint sequence of sets } E_1, E_2, \ldots \text{ we have}\\ & \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \mu_*\left(\bigcup_{n=1}^{\infty}E_n\right) \ge \sum_{n=1}^{\infty}\mu_*(E_n) \end{split} \end{equation} (all sets in questions are subsets of $X$, where $\Sigma$ is a $\sigma$-algebra on $X$). Both $(1)$ or the combination of $a), b)$, and $c)$ are symmetrical to a characterization of the outer measure, which adds more weight to the question of why inner measures are defined instead so assymetrically (relative to outer measures) in Wikipedia.

Sam
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  • I don't know why inner measure is not treated more often (it is in some real analysis texts), but probably this is due to space restrictions. Personally, I like having inner measure available because it allows for more precise results when something is not measurable, such as here. This is analogous to using liminf and limsup for sequences (or for limits of functions) when the limit does not exist, using upper and lower box dimension when the box dimension does not exist, etc. – Dave L. Renfro Nov 27 '22 at 08:12
  • I haven't delved into measure theory issues for several years, so off-hand I don't know the answer to your question (at the end), but maybe something of interest to you is in this 5 February 2006 sci.math post (slight correction given here). – Dave L. Renfro Nov 27 '22 at 08:17
  • @DaveL.Renfro could you point me to one of such real analysis texts (that treat inner measures)? – Sam Nov 27 '22 at 11:10
  • Inner measure is not actually needed to develop the basic Measure Theory. That is why it is skipped in several introductory books.

  • Although inner measure is kind of "symmetric" to outer measure, working with inner measure is trickier in some points. It does not extend so well to abstract measurable space, which requires a trickier definition. See, for instance,

  • https://en.wikipedia.org/wiki/Inner_measure#Definition

    – Ramiro Nov 27 '22 at 14:21
  • From my bookshelves, in no particular order, books that seem to have the most about inner measure are: Volume and Integral by Rogosinski (1962, 2nd edition; pp. 58-63 and scattered places thereafter); An Introduction to the Theory of Functional Equations and Inequalities by Kuczma (1985; many results on inner measure in Chapter III; I don’t know if better or worse in the 2008 2nd edition); Integration by McShane (continued) – Dave L. Renfro Nov 27 '22 at 22:02
  • (1944; see pp. 110-118); Basic Real and Abstract Analysis by Randolph (1968; many results are stated as problems on pp. 278-279); Measure Theory by Halmos (1950; pp. 58-62); Modern Theories of Integration (1937 & 1960, 1st & 2nd edition; see pp. 80-87 in either edition—the editions only vary in that the 2nd edition has 33 pages of exercises at the back of the book, but inner measure is hardly represented in the exercises, if at all). – Dave L. Renfro Nov 27 '22 at 22:03
  • Regarding my first comment, here's an inner/outer measure version of Fatou's Lemma for characteristic functions. For subsets $E_1,$ $E_2,$ $E_3,,\ldots$ of ${\mathbb R}^n$ we have: [1] ${\lambda}^* (\liminf E_n) \leq \liminf ,( {\lambda}^* E_n ).$ [2] ${\lambda}* (\limsup E_n) \geq \limsup ,( {\lambda}* E_n )$ if $\lambda_* \left( ,\bigcup_{n=k}^{\infty} E_n \right) < \infty$ for some $k.$ Note that the liminf/limsup are of two kinds here (should be clear by context), namely for sets and for sequences of extended real numbers. – Dave L. Renfro Nov 27 '22 at 22:05
  • @DaveL.Renfro this is of much help. Thank you! I'm currently going through the appropriate section in Halmos. – Sam Nov 28 '22 at 00:49
  • @Ramiro thank you for the comment. Regarding (2), I understand that the definition is trickier, but not why it is trickier. The reason for asking (2) is so as to get an explanation as to why inner measures are generalized as explained in the Wiki article. – Sam Nov 28 '22 at 00:53
  • In what way are "inner measures are defined instead so assymetrically (relative to outer measures)"? The wikipedia definition is quite symmetrical to an equivalent characterization of outer measures: 0 on empty set, finite subadditivity, and limits of increasing towers (it is not hard to show this is equivalent to the standard definition of outer measure, namely 0 on empty set, monotone, and countably subadditive). There are so many equivalent definitions; chances are, if you come up with any intuitive definition of inner measure in analogy with outer measure, it will likely be equivalent. – D.R. Dec 04 '22 at 06:51