In: Advanced Math
Let ? be a ?−algebra in ? and ?:? ⟶[0,∞] a measure on ?. Show that ?(?∪?) = ?(?)+?(?)−?(?∩?) where ?,? ∈?.
Proof:
Let  
be a 
algebra in 
 and  
a measure on 
.
Given that  
and  
are measurable sets.
If either 
 or 
 have infinite measure then the inequality trivially hold.
Assume that 
 and 
 have finite measure.
Write 
 as disjoint union.

By finite additivity and excision property we get


