A
$\sigma$ -algebra over a set$X$ is a subset$\Sigma\subseteq 2^X$ (that is, a set of subsets of$X$ ), satisfying:
- If
$I$ is some countable set ($0\leq|I|\leq\omega$ ), and$U_i\in\Sigma$ for$i\in I$ , then$\bigcup_{i\in I}U_i \in \Sigma$ .- If
$U\in\Sigma$ , then$X\setminus U\in\Sigma$ .A measurable space is a pair
$(X, \Sigma)$ , where$X$ is some set, and$\Sigma$ is a$\sigma$ -algebra over$X$ .In such a situation, a subset
$S\subseteq X$ is called measurable iff$S\in\Sigma$ .