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