What is the meaning of the support set in game theory? I have seen it, in many papers, however none there explains how did they find it or why did the define it in a specific way. I understand that the support of the mixed strategies contains all the pure strategies that are chosen with positive probability under $\sigma^*$, which denotes the probability distribution of the mixed strategies. In other words $\sigma^*$ serves also as a probability measure. Can we find the support of the set of the pure strategies as well?
I would appreciate it if someone could give an example apart from an intuitive answer.