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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:

  1. How to prove the reverse inequality holds?
  2. And how to prove (b)?
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  • $\begingroup$ en.wikipedia.org/wiki/Carath%C3%A9odory%27s_extension_theorem $\endgroup$ Commented Apr 26 at 8:57
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    $\begingroup$ In the definition of $\mu^*$, do you want to take the supremum on all measurable subsets or on all measurable subsets with finite measure? That is: are you sure you didn't mean $\mu(B)<\infty$? $\endgroup$
    – Pelota
    Commented Apr 26 at 9:11
  • $\begingroup$ @Pelota Sorry, I make a mistake , it is $\mu(B)<\infty$, do you have any idea about proving the reverse inequality?or part (b) of the question?Please share with me,thank you $\endgroup$
    – Hao Shen
    Commented Apr 26 at 10:26
  • $\begingroup$ @geetha290krm I haven't learned about the concept of Carathéodory's extension theoremyet, could you give me a hint just using the definition?Thank you very much $\endgroup$
    – Hao Shen
    Commented Apr 26 at 10:54

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