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Intended as a self-contained introduction to measure theory, this textbook also includes a comprehensive treatment of integration on locally compact Hausdorff spaces, the analytic and Borel subsets of Polish spaces, and Haar measures on locally compact groups. This second edition includes a chapter on measure-theoretic probability theory, plus brief treatments of the Banach-Tarski paradox, the Henstock-Kurzweil integral, the Daniell integral, and the existence of liftings.

Measure Theory provides a solid background for study in both functional analysis and probability theory and is an excellent resource for advanced undergraduate and graduate students in mathematics. The prerequisites for this book are basic courses in point-set topology and in analysis, and the appendices present a thorough review of essential background material.

Measure Theory: Second Edition

1. Measures.- Algebras and sigma-algebras.- Measures.- Outer measures.- Lebesgue measure.- Completeness and regularity.- Dynkin classes.- 2. Functions and Integrals.- Measurable functions.- Properties that hold almost everywhere.- The integral.- Limit theorems.- The Riemann integral.- Measurable functions again, complex-valued functions, and image measures.- 3. Convergence.- Modes of Convergence.- Normed spaces.- Definition of L^p and L^p.- Properties of L^p and L-p.- Dual spaces.- 4. Signed and Complex Measures.- Signed and complex measures.- Absolute continuity.- Singularity.- Functions of bounded variation.- The duals of the L^p spaces.- 5. Product Measures.- Constructions.- Fubini's theorem.- Applications.- 6. Differentiation.- Change of variable in R^d.- Differentiation of measures.- Differentiation of functions.- 7. Measures on Locally Compact Spaces.- Locally compact spaces.- The Riesz representation theorem.- Signed and complex measures; duality.- Additional properties of regular measures.- The µ^*-measurable sets and the dual of L^1.- Products of locally compact spaces.- 8. Polish Spaces and Analytic Sets.- Polish spaces.- Analytic sets.- The separation theorem and its consequences.- The measurability of analytic sets.- Cross sections.- Standard, analytic, Lusin, and Souslin spaces.- 9. Haar Measure.- Topological groups.- The existence and uniqueness of Haar measure.- The algebras L^1 (G) and M (G).- Appendices.- A. Notation and set theory.- B. Algebra.- C. Calculus and topology in R^d.- D. Topological spaces and metric spaces.- E. The Bochner integral.- F Liftings.- G The Banach-Tarski paradox.- H The Henstock-Kurzweil and McShane integralsBibliography.- Index of notation.- Index.