The Hahn-Kolmogorov theorem (which is sometimes called the Carathéodory extension theorem) is used to construct various kind of measures. We provide an intuitive proof of this theorem which avoids using Carathéodory’s (rather) unintuitive criterion for measurability.

# Tag Archives: Analysis

## Eight Ways to Derive the Characteristic Function of the Normal Distribution

We present eight proofs of where is a standard normal random variable. This fact is more or less equivalent to saying that the Gaussian is its own Fourier transform. We start with proofs that are rather elementary, and move on to more sophisticated proofs.

## A Proof of Hölder’s Inequality Using the Layer Cake Representation

We prove Hölder’s inequality using the so-called layer cake representation and the tensor power trick. The heart of the proof is the following one line:

## Borel’s Proof of the Heine-Borel Theorem

We present a polished version of Borel’s proof based on Cantor’s theory of sets. More specifically, we use transfinite recursion and the fact that any strictly decreasing sequence in a well-ordered set is finite in length.