On The Real Line
The real line R with its usual topology is a locally compact Hausdorff space, hence we can define a Borel measure on it. In this case, is the smallest σ-algebra that contains the open intervals of R. While there are many Borel measures μ, the choice of Borel measure which assigns for every interval is sometimes called "the" Borel measure on R. In practice, even "the" Borel measure is not the most useful measure defined on the σ-algebra of Borel sets; indeed, the Lebesgue measure is an extension of "the" Borel measure which possesses the crucial property that it is a complete measure (unlike the Borel measure). To clarify, when one says that the Lebesgue measure is an extension of the Borel measure, it means that every Borel measurable set E is also a Lebesgue measurable set, and the Borel measure and the Lebesgue measure coincide on the Borel sets (i.e., for every Borel measurable set).
Read more about this topic: Borel Measure
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