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Probability and Measure, Lecture 7: Lebesgue-Stieltjes Measure and Monotone Classes
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In the first half of this lecture, we construct Lebesgue-Stieltjes measure and briefly discuss Radon measures. In the second half, we begin our discussion on product measure. Before proving existence and uniqueness of product measure (lecture 8), we state and prove the Monotone Class theorem, which is a tool similar to that of Dynkin's pi-lambda theorem.
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