Page "Borel measure" Paragraph 1

The real line R with its usual topology is a locally compact Hausdorff space, hence we can define a Borel measure on it.

In this case, is the smallest σ-algebra that contains the open intervals of R. While there are many Borel measures μ, the choice of Borel measure which assigns for every interval is sometimes called " the " Borel measure on R. In practice, even " the " Borel measure is not the most useful measure defined on the σ-algebra of Borel sets ; indeed, the Lebesgue measure is an extension of " the " Borel measure which possesses the crucial property that it is a complete measure ( unlike the Borel measure ).

To clarify, when one says that the Lebesgue measure is an extension of the Borel measure, it means that every Borel measurable set E is also a Lebesgue measurable set, and the Borel measure and the Lebesgue measure coincide on the Borel sets ( i. e., for every Borel measurable set ).