Let $f$ be a non-negative, measurable, and integrable over every compact set in $\Omega$, where $\Omega$ is an open set $\subset \mathbb{R}^d$.
For every Lebesgue measurable set $E$ (abbreviated as $\mu$-measurable from now on), define $$\nu(E) = \int_{E} f d\mu$$ where $\mu$ is Lebesgue measure, and $\int d\mu$ is Lebesgue integral.
For $E$ that is not $\mu$-measurable, define $$\nu(E) = \inf_{\mu-\text{measurable } F \supset E } \nu(F) \quad (\$)$$
Show that if $E$ is $\mu$-measurable in Caratheodory sense, that is $$ \forall S \subset \Omega \quad \mu(S) = \mu(S \cap E) + \mu(S \setminus E) \quad (*)$$ Then $E$ is also $\nu$-measurable in Caratheodory sense, that is $$ \forall S \subset \Omega \quad \nu(S) = \nu(S \cap E) + \nu(S \setminus E) \quad (\#)$$
My observation so far:
- $\nu$ is an outer measure on $\Omega$.
- if $\mu(E) = 0$, then $\nu(E) = 0$.
- all open sets $\subset \Omega$ are $\nu$-measurable.
- if $S$ in (#) is $\mu$-measurable, then (#) is true.
Edit: (extracted from the answer below): to extend (4) to all $S \subset \Omega$, use definition $(\$)$ to approximate $S$ with a $\mu$-measurable set $A_{\epsilon}$ with error $\epsilon$, then apply (4) to $A_{\epsilon}$ and let $\epsilon \to 0$: $$ \nu(S) - \epsilon \geq \nu(A_{\epsilon}) = \nu(A_{\epsilon} \cap E) + \nu(A_{\epsilon} \setminus E) \geq \nu(S \cap E) + \nu(S \setminus E) \quad \forall \epsilon > 0 $$