What does it mean to say that a theory is more expressive than another?

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Mathematicians sometimes say, "ZFC set theory is more expressive than Peano Arithmetic". But what does this mean, rigorously? After all, ZFC set theory has only one binary relation symbol $\in$ besides equality, while Peano Arithmetic has the constants $0$ and $1$, the unary operation $S$ of successor, and the binary operations $+$ and $\cdot$. So, on the face of it, it would seem that Peano Arithmetic is more expressive than ZFC. Anyway, what is the real definition of a theory being more expressive than another?

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First of all, note that we have an obvious way to "translate" a sentence $\sigma$ in the language of arithmetic into a sentence $\hat{\sigma}$ in the language of set theory ("replace $\mathbb{N}$ with $\omega$," essentially). We then have the following:

Whenever $\mathsf{PA}\vdash\sigma$ we have $\mathsf{ZFC}\vdash\hat{\sigma}$ but not conversely.

But of course this is contingent on the specific translation used. The real power of $\mathsf{ZFC}$ over $\mathsf{PA}$ is seen when we consider all possible translations of an appropriately "structurally meaningful" type: these are the interpretations. The idea of interpreting one theory $T$ inside another theory $S$ is an extremely important one. The definition of an interpretation is a bit tedious, but basically an interpretation of $T$ in $S$ consists of

  • a "domain formula" $\delta(x_1,...,x_n)$;

  • an "equivalence formula" $\eta(x_1,...,x_{2n})$; and

  • for each $k$-ary relation symbol $R$ in the language of $T$, a $kn$-ary formula $\varphi_R(x_1,...,x_{kn})$ (WLOG the language of $T$ is relational),

such that

  • $S$ proves that $\eta$ defines an equivalence relation on (the set picked out by) $\delta$ and each $\varphi_R$ is well-defined up to $\eta$, and

  • $S$ proves the translation of $T$ into $S$ provided by the tuple of formulas above (replace each "$\forall x$" with "$\forall x_1,...,x_n\in\delta$," each "$=$" with "$\eta$," and each "$R$" with "$\varphi_R$" appropriately).

For example, the usual "implementation" of the rationals as equivalence classes of ordered pairs of integers with second coordinate nonzero corresponds to an interpretation of $Th(\mathbb{Q};+,\times)$ into $Th(\mathbb{Z};+,\times)$ with domain formula $\delta(x_1,x_2)\equiv \neg x_2=0$ and equivalence formula $\eta(x_1,x_2,x_3,x_4)\equiv x_1\times x_4=x_3\times x_2$.

(Note that there's also a notion of a single structure being interpretable in another structure; I'm guilty of this usage here. Additionally, the word "interpretation" gets used to describe the assignment of relations/functions to symbols in the definition of a structure. Logic has serious terminology problems.)

The connection to your question is the following:

$\mathsf{PA}$ is interpretable in $\mathsf{ZFC}$ but not conversely.

The map $\sigma\rightarrow\hat{\sigma}$ does in fact come from an interpretation (namely the usual interpretation of $\mathbb{N}$ as $\omega$), so this point strictly refines the previous one. Of course at a very coarse level $\mathsf{PA}$ and $\mathsf{ZFC}$ are computationally equivalent, in the sense that the deductive closure of each has Turing degree ${\bf 0'}$, but this is so coarse as to be basically useless; by contrast, interpretability strength is extremely interesting and well-studied.