User:Boris Tsirelson/sandbox1

Measure algebra may refer to:

• algebra of measures on a topological group with the operation of convolution; see measure algebra (harmonic analysis);
• normed Boolean algebra, either in general or consisting of equivalence classes of measurable sets; see measure algebra (measure theory).

Measure algebra (measure theory)

Category:Classical measure theory

$\newcommand{\Om}{\Omega} \newcommand{\om}{\omega} \newcommand{\F}{\mathcal F} \newcommand{\A}{\mathcal A} \newcommand{\M}{\mathcal M} $ A measure algebra is a pair $(B,\mu)$ where $B$ is a Boolean σ-algebra and $\mu$ is a (strictly) positive measure on $B$. The (strict) positivity means $\mu(x)\ge0$ and $\mu(x)=0\iff x=\bszero_B$ for all $x\in B$. However, about the greatest value $\mu(\bsone_B)$ of $\mu$, assumptions differ: from $\mu(\bsone_B)=1$ (that is, $\mu$ is a probability measure) in [H2, p. 43] and [K, Sect. 17.F] to $\mu(\bsone_B)<\infty$ (that is, $\mu$ is a totally finite measure) in [G, Sect. 2.1] to $\mu(\bsone_B)\le\infty$ in [P, Sect. 1.4C] and [H1, Sect. 40].

A measure algebra of a measure space consists, by definition, of all equivalence classes of measurable sets. (Sets of the original σ-algebra or its completion give the same result.)

This is "a coherent way to ignore the sets of measure $0$ in a measure space" [P, page 15]. "Many of the difficulties of measure theory and all the pathology of the subject arise from the existence of sets of measure zero. The algebraic treatment gets rid of this source of unpleasantness by refusing to consider sets at all; it considers sets modulo sets of measure zero instead." [H2, page 42]

Probability theory without sets of probability zero (in particular, in terms of measure algebras), proposed long ago [S], [D], is "more in agreement with the historical and conceptual development of probability theory" [S, Introduction]. An event is defined here as an element of a $B$ where $(B,\mu)$ is a measure algebra; accordingly, a random variable with values in a measurable space $(X,\A)$ is defined as a σ-homomorphism from $\A$ (treated as a Boolean σ-algebra) to $B$; see [S, p. 727] and [D, p. 273]. "The basic conceptual concern in statistics is not so much with the values of the measurable function $f$ representing a random variable ... as with the sets ... where $f$ takes on certain values (and with the probabilities of those sets)." [S, p. 727]

In spite of elegance and other advantages, the measure algebra approach to probability is not the mainstream. When dealing with random processes, "the equivalence-class formulation just will not work: the 'cleverness' of introducing quotient spaces loses the subtlety which is essential even for formulating the fundamental results on existence of continuous modifications, etc., unless one performs contortions which are hardly elegant. Even if these contortions allow one to formulate results, one would still have to use genuine functions to prove them; so where does the reality lie?!" [W, p. xiii]

References

[P]	Karl Petersen, "Ergodic theory", Cambridge (1983).   MR0833286   Zbl 0507.28010
[H1]	P.R. Halmos, "Measure theory", Van Nostrand (1950).   MR0033869   Zbl 0040.16802
[H2]	P.R. Halmos, "Lectures on ergodic theory", Math. Soc. Japan (1956).   MR0097489   Zbl 0073.09302
[G]	Eli Glasner, "Ergodic theory via joinings", Amer. Math. Soc. (2003).   MR1958753   Zbl 1038.37002
[S]	I.E. Segal, "Abstract probability spaces and a theorem of Kolmogoroff", Amer. J. Math. 76 (1954), 721–732.   MR0063602   Zbl 0056.12301
[D]	L.E. Dubins, "Generalized random variables", Trans. Amer. Math. Soc. 84 (1957), 273–309.   MR0085326   Zbl 0078.31003
[W]	David Williams, "Probability with martingales", Cambridge (1991).
[K]	Alexander S. Kechris, "Classical descriptive set theory", Springer-Verlag (1995).   MR1321597   Zbl 0819.04002
[HN]	P.R. Halmos, J. von Neumann, "Operator methods in classical mechanics, II", Annals of Mathematics (2) 43 (1942), 332–350.   MR0006617   Zbl 0063.01888
[F]	D.H. Fremlin, "Measure theory", Torres Fremlin, Colchester. Vol. 1: 2004   MR2462519   Zbl 1162.28001; Vol. 2: 2003   MR2462280   Zbl 1165.28001; Vol. 3: 2004   MR2459668   Zbl 1165.28002; Vol. 4: 2006   MR2462372   Zbl 1166.28001