In mathematics, and in particular measure theory, a measurable function is a function between the underlying sets of two measurable spaces that preserves the structure of the spaces: the preimage of any measurable set is measurable.
This is in direct analogy to the definition that a continuous function between topological spaces preserves the topological structure: the preimage of any open set is open.
In real analysis, measurable functions are used in the definition of the Lebesgue integral.
In probability theory, a measurable function on a probability space is known as a random variable.
be measurable spaces, meaning that
are sets equipped with respective
σ
A function
is said to be measurable if for every
σ ( f ) ⊆
σ ( f )
is the σ-algebra generated by f. If
is a measurable function, one writes
to emphasize the dependency on the
-algebras in the definition above is sometimes implicit and left up to the context.
or other topological spaces, the Borel algebra (generated by all the open sets) is a common choice.
Some authors define measurable functions as exclusively real-valued ones with respect to the Borel algebra.
[1] If the values of the function lie in an infinite-dimensional vector space, other non-equivalent definitions of measurability, such as weak measurability and Bochner measurability, exist.
Real-valued functions encountered in applications tend to be measurable; however, it is not difficult to prove the existence of non-measurable functions.
Such proofs rely on the axiom of choice in an essential way, in the sense that Zermelo–Fraenkel set theory without the axiom of choice does not prove the existence of such functions.
In any measure space
with a non-measurable set
one can construct a non-measurable indicator function:
is equipped with the usual Borel algebra.
This is a non-measurable function since the preimage of the measurable set
As another example, any non-constant function
is non-measurable with respect to the trivial
since the preimage of any point in the range is some proper, nonempty subset of
which is not an element of the trivial