# Caratheodory extension theorem

In the branch of mathematics known as measure theory, the Caratheodory extension theorem states that a countably additive non-negative set function on an algebra of subsets of a set can be extended to be a measure on the sigma algebra generated by that algebra. Measure in this context specifically refers to a non-negative measure.

## Statement of the theorem

(Caratheodory extension theorem) Let X be a set and  be an algebra of subsets of X. Let  be a countably additive non-negative set function on . Then there exists a measure  on the -algebra  (i.e., the smallest sigma algebra containing ) such that  for all . Furthermore, if  then the extension is unique.

 is also referred to as the sigma algebra generated by . The term "algebra of subsets" in the theorem refers to a collection of subsets of a set X which contains X itself, is closed under the operation of taking complements, finite unions and finite intersections in X. That is, any algebra  of subsets of X satisfies the following requirements:

1. 
2. If  then 
3. For any positive integer n, if  then 

The last two properties imply that  is also closed under the operation of taking finite intersections of elements of .

## References

1. D. Williams, Probability with Martingales, Cambridge : Cambridge University Press, 1991.