Measure Theory

These are some brief notes on measure theory, concentrating on Lebesgue measure on Rn. Some missing topics I would have liked to have included had time permitted are: the change of variable formula for the Lebesgue integral on Rn; absolutely continuous functions and functions of bounded variation of a single variable and their connection with Lebesgue-Stieltjes measures on R; Radon measures on Rn, and other locally compact Hausdorff topological spaces, and the Riesz representation theorem for bounded linear functionals on spaces of continuous functions; and other examples of measures, including k-dimensional Hausdorff measure in Rn, Wiener measure and Brownian motion, and Haar measure on topological groups. All these topics can be found in the references. c © John K. Hunter, 2011