On the extremality of measure extensions (Q1114033): Difference between revisions

Main result: Let \(\mu\) denote a finite measure on a \(\sigma\)-algebra \({\mathfrak A}\) of subsets of a set \(\Omega\) and introduce \({\mathfrak A}'\) as the \(\sigma\)-algebra of subsets of \(\Omega\) generated by \({\mathfrak A}\) and a finite decomposition \(A_ 1,A_ 2,...,A_ m\) of \(\Omega\). Then any extension \(\mu\) ' of \(\mu\) to \({\mathfrak A}'\) as a measure can be represented as a mixture of extremal extension of \(\mu\) to \({\mathfrak A}'\), where the mixing probability measure is discrete. It might be interesting to mention, that the existence of a mixing probability measure living on the set of extremal extensions of \(\mu\) to \(\mu\) ' as a measure can also be proved by means of Choquet's theorem under the additional assumption, that \({\mathfrak A}'\) is countably generated. However, the discreteness of the representing probability measure does not follow from Choquet's theorem. Nevertheless, Choquet's theorem admits a finitely additive version, if \({\mathfrak A}\) is replaced by a countable algebra of subsets of \(\Omega\) and \({\mathfrak A}'\) denotes the algebra of subsets of \(\Omega\) generated by \({\mathfrak A}\) and countable many subsets of \(\Omega\).