| Measure theory is not about events of probability zero, it is about how to ignore them and prevent them from messing up results. Let's say we play a game, we uniformly pick a random real between 0 and 1 and you win if it is rational, I win if it is not. You can obviously see that it is unfair, but how do you prove it? You need a concept of integration that can easily ignore a dense set of discontinuities, Riemann integration is not going to give you any good results (in this case at the very best it would tell you that you win between 0% and 100% of the times, not very useful) Measure theory and Lebesgue integration are a way to discard this noise. Actually in measure theory you generally use L¹, L², etc spaces where functions are defined modulo null sets; that is the function that is 1 on rational and 0 on irrationals is considered to be the same function as the constant 0. In measure theory on the Reals the value of a function at a specific point is generally considered irrelevant. |