As emphasized in remark 1.2.4, p. 19, of Terence Tao’s book “An introduction to measure theory”, finite additivity doesn’t hold for Lebesgue outer measure in general, and therefore it doesn’t hold for Lebesgue measure either. So, the Lebesgue outer measure of the union of two disjoint sets in the Euclidean metric space does not necessarily satisfy .
If are both Lebesgue measurable, then it holds that . Moreover, , , which means that the union is also Lebesgue measurable and ultimately finite additivity follows as .
The main point is that if is Lebesgue measurable and , then finite additivity doesn’t follow. Instead, the disjoint set assumption needs to be replaced by the positive distance assumption to ensure finite additivity for the outer measure, as explained and proved in lemma 1.2.5, p. 19, of Tao’s book.
Considering this limitation in the applicability of finite additivity, a reader may feel alarmed when reading lemma 1.9.c, p. 21, of David Williams’ book “Probability with martingales”, which states that if in a measure space , then for . If , then , so finite additivity holds.
Recall that a measure on has the whole σ-algebra on as its domain. This implies that for any the measures exist by assumption, therefore there is no conflict between the aforementioned statements on finite additivity of measure found in Tao’s and Williams’ book.
It becomes clear that operating on a measure space seems to avoid the trouble of having to prove the existence of Lebesgue measure for every set of interest, simply because by definition exists for every . However, there is no free lunch. A follow-up question arises, as one then needs to show that belongs to the defined σ-algebra , which is not always trivial.
For instance, the experiment of tossing a coin infinitely often is presented in p. 24 of Williams’ book by introducing an associated sample space and subsequently a probability triple . An event of possible interest is that the ratio of heads in tosses tends to as . Even for such a seemingly simple experiment, proving that this event , seen as a set, belongs to the σ-algebra on is already not so trivial to prove.
On a final note, lemma 1.2.15, p. 30, in Tao’s book, proves countable additivity for disjoint Lebesgue measurable sets, which subsumes finite additivity. The proof is easy to follow; the claim is proved first for compact, then for bounded and then for unbounded sets. To conclude the present post, a clarification is made in the proof of the bounded case. In particular, it will be explained why for a bounded Lebesgue measurable set there exists a compact set such that .
Since is Lebesgue measurable, it follows from exercise 1.2.7.iv in Tao’s book that for any there exists a closed set such that and . By applying the countable subadditivity of outer measure (see exercise 1.2.3.iii in Tao’s book), leads to . Furthermore, is Lebesgue measurable since it is closed (see lemma 1.2.13.ii in Tao’s book). Thus, Lebesgue outer measure can be replaced by Lebesgue measure to give . Finally, is bounded, as a subset of the bounded set , and closed, so is compact, which completes the proof.