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According to Wikipedia, the constructed measure on $\sigma(R)$ is a unique extension. However, in most situations, the $\sigma$-algebra of Caratheodory-measurable sets $M$ is larger than $\sigma(R)$. So is the constructed measure also a unique extension on $M$ and is there an easy way to see this having done the hard work for $\sigma(R)$?

[Or is the actual theorem uniqueness for $M$ and there is an easy way to see uniqueness of extension for $\sigma(R)$?]

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I think, you may find interesting Folland's "Real Analysis", (1.10-1.14) in the "Outer measures" section. Let $\mu_0$ be a pre-measure on $R\subseteq 2^X$, and suppose for simplicity that $\mu_0$ is $\sigma$-finite. Denote a corresponding outer measure on $2^X$ as $\mu^*$. Then (1.10) says that the family of $\mu^*$-measurable $M\supseteq R$ is a $\sigma$-algebra, and $\mu:=\mu^*|_M$ is a complete measure. Furthermore, (1.14) says that the extension $\mu'$ of $\mu_0$ to $\sigma(R)$ is unique. As far as I understand, $M$ is a $\mu'$-completion of $\sigma(R)$ and so $\mu$ is a unique extension of $\mu'$ to $M$.

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  • $\begingroup$ So $M$ is the $\mu'$-completion of $\sigma(R)$ in the sense of this? Is the proof in Folland too? (or somewhere?) If that is so, I agree that uniqueness of extension over $\sigma(R)$ also gives uniqueness of extension over $M$. Thanks for resolving my query $\endgroup$ – suncup224 Jul 20 '14 at 8:59
  • $\begingroup$ Yes, that's the completion I meant. The proofs are in Folland $\endgroup$ – Ilya Jul 20 '14 at 10:23
  • $\begingroup$ Thanks! I also realized that I should have studied from Folland right from the beginning of time... $\endgroup$ – suncup224 Jul 20 '14 at 10:25
  • $\begingroup$ @suncup yes, it was really reader-friendly when I was relearning measure theory $\endgroup$ – Ilya Jul 20 '14 at 12:16

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