I am reading Cohn's Measure Theory, here is an exercise from Chapter 1, Section 2.
Let ($X,\mathcal A,\mu$) be a measure space, and define $\mu^{\star}:\mathcal A\rightarrow[0,\infty)$ by \begin{equation} \mu^{\star}(A)=sup\{\mu(B):B\subset A,B\in\mathcal A , and \,\,\mu(B)\leq+\infty\} \end{equation} (a) Show that $\mu^{\star}$ is a measure on ($X,\mathcal A$)
(b) Show that if $\mu$ is $\sigma$-finite, then $\mu^{\star}=\mu$
In terms of the countable additivity of $\mu^{\star}$, here is my approach.
Let $\{A_{k}\}$ be a sequence of disjoint of sets that belong to $\mathcal A$, let $B$ $\subset \bigcup_{k=1}^{\infty} A_{k}$, thus, $B=\bigcup_{k=1}^{\infty}(B\cap A_{k})$, it follows that $\mu (B)=\sum_{k=1}^{\infty}\mu(B\cap A_{k})\leq \mu^{\star}(A_{k})$
My question is:
- How to prove the reverse inequality holds?
- And how to prove (b)?