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Studies Mathematics

26

Heinz Bauer

Measure and

Integration Theory

1 Riemannian Geometry, 2nd rev. ed., Wlhelm R A. Klingenberg

2 Semimartingales, Michel M6tivier

3 Holomorphic Functions of Several Variables, Ludger Kaup and Burchard Kaup

4 Spaces of Measures, Corneliu Constantinescu

6 Ergodic Theorems, Ulrich Krengel

7 Mathematical Theory of Statistics, Helmut Strasser

8 Transformation Groups, Tammo tom Dieck

9 Gibbs Measures and Phase Transitions, Hans-Otto Georgii

10 Analyticity in Infinite Dimensional Spaces, Michel Hervt

11 Elementary Geometry in Hyperbolic Space, Werner Fenchel

12 Transcendental Numbers, Andrei B. Shidlovskii

13 Ordinary Differential Equations, Herbert Amann

14 Dirichlet Forms and Analysis on Wiener Space, Nrcolas Bouleau and

Francis Hirsch

15 Nevanlinna Theory and Complex Differential Equations, Apo Laine

16 Rational Iteration, Norbert Steinmetz

17 Korovkin-type Approximation Theory and its Applications, Francesco Altomare

and Michele Campiti

18 Quantum Invariants of Knots and 3-Manifolds, Vladimir G. Turaev

19 Dirichlet Forms and Symmetric Markov Processes, Masatoshi Fukushima,

Yoichi Oshima, Masayoshi Takeda

20 Harmonic Analysis of Probability Measures on Hypergroups, Walter R. Bloom

and Herbert Heyer

21 Potential Theory on Infinite-Dimensional Abelian Groups, Alexander Bendikov

22 Methods of Noncommutative Analysis, Vladimir E. Nazaikinskii,

Victor E. Shatalov, Boris Yu. Sternin

23 Probability Theory, Heinz Bauer

24 Variational Methods for Potential Operator Equations, Jan Chabrowski

25 The Structure of Compact Groups, Karl H. Hofmann and Sidney A. Morris

Heinz Bauer

Translated from the German by Robert B. Burckel

W Walter de Gruyter

Berlin New York 2001

Author

Heinz Bauer

Mathematisches Institut

der Universit t Erlangen-Numberg

Bismarckstral3e 1 1/2

91054 Erlangen

Germany

Translator

Robert B. Burckel

Department of Mathematics

Kansas State University

137 Cardwell Hall

Manhattan, K ansas 66506-2602

USA

Series Editors

Carlos E. Kenig

Department of Mathematics

University of Chicago

Andrew Ranicki

Michael Rockner

Fakultit fiir Mathematik

Universitiit Bielefeld

Department of Mathematics

University of Edinburgh

Mayfield Road

Chicago, IL 60637

USA

Scotland

UniversitiitsstraBe 25

33615 Bielefeld

Germany

Keywonts: Product measures, measures on topological spaces, topological measure theory, introduction

to measures and integration theory

Ptimod on acid-free papa which fans widen the guidelines of the ANSI to errawe permanence and dwability.

Bauer, Heinz, 1928[Mass- and Integrationstheorie. English]

Measure and integration theory / Heinz Bauer ; translated from the

German by Robert B. Burckel.

p.

ISBN 3110167190 (acid-free paper)

QC20.7.M43 84813 2001

530.8'0 1 - dc2l

I. Title.

It. Series.

2001028235

Bauer, Heinz:

Measure and integration theory / Heinz Bauer. Trans[. from the German

Robert B. Burckel. - Berlin ; New York : de Gruyter, 2001

(De Gruyter studies in mathematics ; 26)

Einheitssacht.: Mass- and Integrationstheorie (engl.)

ISBN 3-11-016719-0

Copyright 2001 by Walter de Gruyter GmbH & Co. KG, 10785 Berlin, Germany.

All rights reserved including those of translation into foreign languages. No part of this book may be

reproduced in any form or by any means, electronic or mechanical, including photocopy, recording, or

any information storage and retrieval system, without permission in writing from the publisher.

Printed in Germany.

Typesetting: Oldlich Uhych, Prague, Czech Republic.

Printing and binding: Hubert & Co. GmbH & Co. KG, GBttingen.

Cover design: Rudolf Hubler, Berlin.

In memoriam

Orro HAUPT

(5.3.1887 -10.11.1988)

former Professor of Mathematics

Preface

der Maf3theorie was published for the first time. It contained three introductory

chapters on measure and integration as well as a chapter on measure in topological spaces, which was embedded in the probabilistic developments. Over the years

these parts of the book were made the basis for lectures on measure and integration at various universities. Generations of students used the measure theory part

for self-study and for examination preparations, even if their interests often did

not extend as far as the probability theory.

When the decision was made to rewrite and extend the parts devoted to probability theory, it was also decided to publish the part on measure and integration

theory as a separate volume. This volume had to serve two purposes. As before

it had to provide the measure-theoretic background for my book on probability

theory. Secondly, it should be a self-contained introduction into the field. The German edition of this book was published in 1990 (with a second edition in 1992),

followed in 1992 by the rewritten book on probability theory. The latter was translated into English and the translation was published in 1995 as Probability Theory

(Volume 23) in this series.

we have two aims: To provide the reader of my book on probability theory with

the necessary auxiliary results and, secondly, to serve as a secure entry into a

theory which to an ever-increasing extent is significant not only for many areas

within mathematics, but also for applications in physics, economics and computer

science.

However, once again this book is much more than a pure translation of the

German original and the following quotation of the preface of my book Probability

Theory, applies a further time: "It is in fact a revised and improved version of

that book. A translator, in the sense of the word, could never do this job. This

explains why I have to express my deep gratitude to my very special translator, to

my American colleague Professor Robert B. Burckel from Kansas State University.

He had gotten to know my book by reading its very first German edition. I owe

our friendship to his early interest in it. He expended great energy, especially on

this new book, using his extensive acquaintance with the literature to make many

knowledgeable suggestions, pressing for greater clarity and giving intensive support

in bringing this enterprise to a good conclusion."

In addition I want to thank Dr. Oldfich Ulrych from Prague for his skill and patience in preparing the book manuscript in TJ( for final processing. Many thanks

are due to my family and Professor Niels Jacob, University of Swansea, for reasons

viii

Preface

they will know. Finally, I thank my publisher Walter de Gruyter & Co., and, above

all, Dr. Manfred Karbe for publishing the translation of my book.

Erlangen, March 2001

Heinz Bauer

Introduction

Measure theory and integration are closely interwoven theories, both content-wise

and in their historical developments. They form a unit. The development of analysis in the 19th century - here one is thinking especially about the theory of Fourier

series and classical function theory - compelled the creation of a sufficiently general concept of the integral that discontinuous functions could also be integrated.

The jump function of P. G. LEJEUNE DIRICHLET should be seen in this light. At

that time only an integration theory due to CAUCHY, a precursor of Riemann's,

was known. And it was not until B. RIEMANN's Habilitation in 1854 (text published posthumously in 1867) that Cauchy's ideas were made sufficiently precise

to integrate (certain) discontinuous functions. For the first time the need was felt

for integrability criteria. Parallel to this a "theory of content" was evolving - primarily at the hands of G. PEANO and C. JORDAN - to measure the areas of plane

and the volumes of spatial "figures".

But the decisive breakthrough occurred at the turn of the century, thanks to

the French mathematicians EMILE BOREL and HENRI LEBESGUE. In 1898 Borel -

coming from the direction of function theory - described the "a-algebra" of sets

that today bear his name, the Borel sets, and showed how to construct a "measure"

on this a-algebra that satisfactorily resolved the problems of measuring content.

In particular, he recognized the significance of the "a-additivity" of the measure.

In his thesis (1902) LEBESGUE presented the integral concept, subsequently named

after him, that proved decisive for the development of a general theory. At the same

time he furnished the tools needed to make Borel's ideas more precise. From then

on Lebesgue-Borel measure on the a-algebra of Borel sets and Lebesgue measure

on a somewhat larger a-algebra - consisting of the sets which are "measurable" in

Lebesgue's sense became standard methods of analysis.

What was new about Lebesgue's integral concept was not just the way it was

defined, but also - and this was the real reason for its fame - its great versatility as

manifested in the way it behaved with respect to limit operations. Consequently

the convergence theorems are at the center of the integration theory developed by

Lebesgue and his intellectual progeny.

Subsequent developments are characterized by increasing recognition of the

versatility of Lebesgue's concepts in dealing with new demands from mathematics

and its applications. In the course of time (up to 1930) the general (abstract) measure concept crystallized, and a theory of integration built on it - after Lebesgue's

model.

far enough that from the platform so erected the reader can easily press ahead to

deeper questions and the manifold applications. Areas in which measure and integration play a key role are, for example, ergodic theory, spectral theory, harmonic

Introduction

analysis on locally compact groups, and mathematical economics. But the foremost example is probability theory, which uses measure and integration as an

indispensable tool and whose own specific kinds of questions and methods have

in turn helped to shape the former. Even today the development of measure and

integration theory is far from finished.

The book is comprised of four chapters. The first is devoted to the measure

concept and in particular to the Lebesgue-Borel measure and its interplay with

geometry. In the second chapter the integral determined by a measure, and in

particular the Lebesgue integral, the one determined by Lebesgue-Borel measure,

will be introduced and investigated. The short third chapter deals with the product

of measures and the associated integration. An application of this which is very

important in Fourier analysis is the convolution of measures. In the fourth and

last chapter the abstract concept of measure is made more concrete in the form

of Radon measures. As in the original example of Lebesgue-Borel measure, here

the relation of the measure to a topology on the underlying set moves into the

foreground. Essentially two kinds of spaces are allowed: Polish spaces and locally

compact spaces. The topological tools needed for this will mostly be developed in

the text, with the reader occasionally being given only a reference (very specific)

to the standard textbook literature.

The examples accompanying the exposition of a theme have an important function. They are supposed to illuminate the concepts and illustrate the limitations

of the theory. The reader should therefore work through them with care. Exercises also accompany the exposition. They are not essential to understanding later

developments and, in particular, proofs are not superficially shortened by consigning parts to the exercises. But the exercises do serve to deepen the reader's

understanding of the material treated in the text, and working them is strongly

recommended.

Notations

Here we assemble some of the notation and phraseology which will be used in the

text without further comment and which - with but a few exceptions - are in

general use.

whole numbers, of rational numbers and of real numbers, respectively. We always

think of the field R as equipped with its usual (euclidean) metric and the topology

x, y E R. We also speak of the number line R.

Via the adjunction of (+)oo and -oo to R, the extended or compactified number

line K is produced. Addition with the improper numbers +oo and -oo is performed

(+oo) = +oo and (-oo) + (-oo) = -oo. On the other hand +oo + (-oo) and

-00 + (+oo) are not defined.

As usual too we set a (too) = oo for all real a > 0, including a = +oo, and

a (oo) = Too for all real a < 0, including a = -oo. Not so general but typical

in measure theory are the additional conventions

The notation A := B or B =: A means that this equation is the definition of A

in terms of B.

The < (resp., <) relation in R is extended to R via the decree -oo < a < +oo

for all a E R. A plus sign affixed to Z, Q, R or K as a subscript means the sets

Z+, Q+, R+, R+ of all non-negative whole, rational, real numbers, or - in the last

Intervals in R are designated as usual by [a, b], ]a, b[, ]a, b] and [a, b[. However,

(a, b) will never be used for an open interval, but only for the ordered pair with

first element a, second element b.

For every pair of elements a, b E R

aVb:=max{a,b},

aAb:=min{a,b}

a+ := a V 0

xii

Notations

Of course, a+ > 0 and a- > 0 for all a. For finitely many a1, ... , an E It the

corresponding expressions a1 V ... V an and al A ... A an stand for max{a1i... , an }

For the set-theoretic operations we use the usual symbols: U or U for union,

n or n for intersection, and the prefix C to signify complementation. The settheoretic relation of inclusion is written A C B, and equality of the sets is not

thereby excluded. For the difference set A fl CB, the set of all x E A such that

x B, we also write A \ B. Sets A and B which have an empty intersection, that

is, for which A fl B = 0, are said to be disjoint.

The power set _9(Q) of a set f2 is the set of all subsets of f2, including the

empty set 0. A set A will be called countable if it is either finite or denumerably

infinite. In other words, we will be using "countable" in lieu of the equally popular

expression "at most countable". Obviously the empty set is to be understood as

a finite set. A set will be called non-denumerable or uncountable if it is neither

finite nor denumerable.

mapping prescription x y f (x) (with x E A). In case B = R we speak of a real

function or a real-valued function on A. Not universal, but useful for our purposes,

extended number line. The restriction of a mapping f : A -+ B to a subset A'

of A will be denoted by f I A'. The composition of f with a mapping g : B - C

will be denoted g o f and the pre-image or inverse-image of a set B' C B under

the mapping f will be denoted f -1(B').

A sequence in a set A is a mapping f : N -* A of the set N of natural numbers into A. Designating the image element f (n) by an, we also write

or simply

for the mapping f. If other index sets, e.g., Z+ =

{0, 1... .}, come up, this notation is appropriately modified to, e.g., (an)nEZ+ or

(an)n=o.1.... In the same way finite sets are often exhibited as

with

n E N. Even more generally, we write mappings f : I -+ A of a set I into the

set A as (a,),EI. understanding by ai the element f (i) of A. And we then speak of

a family in A (with index set I).

If the terms of a sequence (an)fES in a set A from some index no E N onwards

possess a certain property, that is, if there are but finitely many exceptional indices,

we say that ultimately all terms of the sequence have the property. The popular

phrasing "almost all terms of the sequence possess the property" has to be avoided

in measure theory because there the concept "almost all" is employed in another

sense.

real functions x H f (x) +g(x), x H f (x)g(x), etc., on X. Numerical functions are

combined analogously, as long as f (x) +g(x) is defined for every x E X, there being

no problem with f (x)g(x) in this regard, thanks to the preceding conventions. If

00

n=1

Notations

xiii

co

n=1

00

function x H E fn (x). Also, functions like sup fn, inf In, Urnn-+oo

sup fn, lim

inf fn,

n-*oo

nEN

nEN

n=1

lim fn are defined "pointwise" via x '-+ sup fn (x), x H inf f (x), etc.; whereby,

nEN

nEN

n +00

of course, use of lim fn presupposes the convergence in IIt of the sequence (fn(x))

For numerical functions f1,..., fn on a set X

A V...Vfn

and

f1 A...Afn

and

xH fi(x)A...Afn(x).

At each point x E X they assume, respectively, the largest and smallest of the

function values f, (x),fi(x),.. . , f (x). These two functions are called, respectively, the

upper and the lower envelopes of f1, ... , f, . Correspondingly, sup fn and inf fn are

nEN

called the upper and lower envelopes of the sequence (fn) of numerical functions

on X.

A numerical function defined on a subset of IR is called isotope, resp., antitone, if

it is weakly increasing, reap., decreasing. We use this terminology also for numerical

functions f : A -> R when A is a (partially) ordered set. That is, if from x, y E A

and x < y always follows f (x) < f (y), reap., f (x) > f (y), then f is called isotone,

reap., antitone. If from x < y always follows f (x) < f (y), reap., f (x) > f (y), then

f is called strictly isotone, reap., strictly antitone.

For sequences (an) in R the symbolisms

anTa ,

an .l.a

express that the sequence is isotone, reap., antitone, and that a E IIP is its supremum, reap., its infimum.

The end of a proof is signaled by the symbol O.

References of the form "RADON [1913]" are to the bibliography at the end of

the book.

Section 18, labelled with *, can be skipped over in a first reading.

Table of Contents

PrefRee

Introduction

Notations

1.

2.

3.

Dynkin systems

Contents, premeasures, measures

4.

Lebesgue premeasure

5.

6.

7.

8.

Lebesgue-Borel measure and measures on the number line

Measurable mappings and image measures

Mapping properties of the Lebesgue-Borel measure

9. Measurable numerical functions

10. Elementary functions and their integral

11. The integral of non-negative measurable functions

12. Integrability

13. Almost everywhere prevailing properties

14. The spaces 2P()

15. Convergence theorems

16. Applications of the convergence theorems

17. Measures with densities: the Radon-Nikodym theorem

18.' Signed measures

19. Integration with respect to an image measure

20. Stochastic convergence

21. Egui-integrability

22.

23.

24.

Product measures and Fubini's theorem

Convolution of finite Borel measures

25.

26.

27.

428.

429.

Radon measures on Polish spaces

Properties of locally compact spaces

Construction of Radon measures on locally compact spaces

Riesz representation theorem

vii

ix

xi

1

2

5

8

14

18

26

34

38

49

49

53

57

64

70

74

79

88

96

107

110

112

121

132

132

135

147

152

152

157

166

170

177

xvi

30.

31.

Table of Contents

Vague compactness and metrizability questions

Bibliography

Symbol Index

Name Index

Subiect Index

188

204

217

221

223

225

Chapter I

Measure Theory

To geometrically simple subsets of the line, the plane, and 3-dimensional space,

elementary geometry assigns "numerical measures" called length, area and volume.

At first all that is intuitively clear is how the length of a segment, the area of

a rectangle and the volume of a box should be defined. Proceeding from these we

can determine by elementary geometric methods the lengths, areas, and volumes

of more complicated sets if we accept certain calculational rules for dealing with

such numerical measures.

If one thinks for example about the elementary determination of the area of

a (topologically) open triangle, one begins by decomposing it via one of its altitudes

into two open right triangles and the altitude itself. One further recalls that every

right triangle arises from insertion of a diagonal into an appropriate rectangle.

Every line segment is assigned numerical measure 0 when considered as a surface.

The following two rules of calculation therefore lead to the determination of the

areas of triangles:

(A) If the set A has numerical measure a, and B is congruent to A, then B also

has numerical measure a.

(B) If A and B are disjoint sets with numerical measures a and p, reap., then

A U B has numerical measure a +)3.

The limits of such elementary geometric considerations are already reached in

defining the area of an open disk K, to which end one proceeds thus: A sequence of

open 3.2"-1-goes En (n E N) is inscribed in K, with El being an open equilateral

triangle, and the vertices of En+1 being those of En together with the intersections

of the circle with the radii perpendicular to the sides of En. Thus En+1 consists

of En together with its

3.2n-1 edges and the open isosceles triangles which have

these edges as hypotenuses and vertices on the circle. Since K is the union of all

the En, it looks like a "mosaic of triangles", that is, like a union of disjoint open

triangles and segments (namely, common sides of various triangles). The following

broader formulation of (B) therefore leads to a definition of the area of the disk K:

(C) If (An) is a sequence of pairwise disjoint sets, and An has numerical mean

00

0. An has numerical measure E an.

n=1

n=1

If we replace K and every En by its topological closure, this method would not

lead to a plausible definition of the area of a closed disk K, because K is not the

union of the closures En of the above constructed polygons En. A peculiarity and

disadvantage of the elementary geometric procedure is precisely the necessity of

I. Measure Theory

in order to arrive at a numerical measure.

The question of a general method by means of which as many subsets of Rd (for

arbitrary d E N) "as possible" could in a natural way be assigned a d -dimensional

volume as numerical measure is what finally led to the mathematical discipline

called measure theory. The primary content of this chapter is an exposition of the

answer which measure theory furnished to this question. It will be seen that the key

to the answer lies in rule (C), and that this rule is obeyed by much more general

"numerical measures" which arise in situations quite remote from the original

intuitive geometric one. It is just the latter reason that explains the variety of

opportunities for applying measure theory in analysis, geometry and stochastics.

Let SI be an arbitrary set, .9(SI) its power set, that is, the set of all subsets of Q.

Then along with every family (A1)iEI of sets from Y(f2), its union U Ai and its

iEI

iEI

subsystems d C Y(fl) which have the corresponding properties, at least for

countable index sets I. According to the conventions set out in the introduction,

such index sets are those that are either finite or denumerably infinite.

1.1 Definition. A system si of subsets of a set iI is called a o-algebra (in SI) if

it has the following properties:

SIEa/;

(1.1)

(1.2)

A E .a0

(1.3)

CAE sat ;

(Af),EN C .as'

U An E d.

nEN

2.

For any set SI the system of all its subsets which are either countable or

co-countable, that is, the A C SI such either A of CA is countable, constitute a aalgebra. Property (1.3) is confirmed as follows: If each An is countable, then so

is the union tJ An. If some An, is not countable, then its complement is, and

nEN

C U An = n CAn C

nEN

3.

is likewise countable.

nEN

(1.4)

f2'nal:={SI'nA:AEsr}

is a a-algebra in S2', called the trace of .sad in ff. In case S2' E of, 0' nod consists

simply of all the subsets of 12' which are elements of 0.

Let S2, S2' be sets, 0' a a-algebra in Cl', and T : Cl -> 12' a mapping. Then the

system of sets

4.

(1.5)

is a a-algebra in Cl, as follows from the known behavior of the set-theoretic operations under inverse mappings (like T-1 here).

OE.srd

(1.6)

(1.7)

n An E W.

(an)nEN C d

nEN

These follow from (1.1)-(1.3) and the identities 0 = C11 and nAn = C(UCAn).

Moreover,

A,u...UAn =A,u...UAnuOuOu...

and

Therefore, along with any finite number of sets which 0 contains, it also contains

their union and their intersection. From this observation and (1.2) follows as well:

(1.8)

A\B=AnCBEd.

A,BEd

iEI

Its proof is just a routine check of properties (1.1)-(1.3). It follows that for every

system 9 of subsets of Cl there is a smallest a-algebra a(8) which contains 9; that

is, a(8) is a a-algebra in 0 with the defining properties

(i) 9 C a(9),

(ii) for every o-algebra .sd in Cl with 8 C 0, a(8) C.W.

For a proof, consider the system E of all a-algebras nd in S2 with 9 C nd;

for example, . (S2) is an element of E. Then o(e) is the intersection of all the

0 E E, which according to 1.2 possesses all the desired properties.

Q(8) is called the a-algebra generated by 8 (in Cl) and .9 is called a generator

of a(8).

Examples. 5. If 9 itself is a a-algebra in S2, then 9 = a(8).

6.

1. Measure Theory

7.

of Q.

Several systems of sets possessing some of the properties of a-algebras frequently occur as generators. Of special interest are rings of sets.

O E R;

(1.9)

(1.10)

(1.11)

A,BE.J

A,BER

A\BE-4;

AuBEF.

If in addition

(1.12)

SZ E R

A ring contains with each two of its sets (and so, with each finite collection of

its sets) not only their union, but also their intersection. This is because An B =

A \ (A \ B).

properties (1.1), (1.2) and (1.11).

Proof. By definition an algebra has properties (1.1) and (1.11) and (1.10), and from

the latter follows (1.2). The converse follows from the fact that 0 = Co, together

with the set-theoretic identity

A\B=AnCB=C(BuCA). 0

Examples. 8. Every a-algebra is an algebra.

For any set 0 the system of all sets A C 0 which are either finite or co-finite

(i.e., have finite complement in i2) is an algebra, but is a a-algebra only if fl is

9.

finite.

10.

The system of all finite subsets of a set 0 is a ring, but is an algebra only

if fl itself is finite.

11.

Exercises.

1. For every system 8 of subsets of a set n there exists a smallest ring p(8)

in 0 which contains if. It is called the ring generated by 8. Prove this existence

assertion. Determine p(8) and a(8) in the case where f consists of two subsets

A, B of Q. When does p(8) = a(e) hold in this latter case; when does it hold for

general 8?

2. Dynkin systems

AL.B:=(A\B)U(B\A)

is called their symmetric difference. Prove that it obeys the following rules of

calculation (in which A, B, C are arbitrary sets):

ADB=BAA;

(AAB)ACAA(BAC);

(a)

(b)

(c)

(d)

(e)

CA A CB =ADB ;

(A 6 B) n C = (A n C) A (B n C);

(f)

AAA=0;

nEN

AA0=A;

nEN

nEN

3. Deduce from exercise 2 that -4 C .9(Q) is a ring in a set Q if and only if with

respect to the operation A (as addition) and n (as multiplication) -4 constitutes

a commutative ring in the sense that the algebraists use that term.

4. A subset V of a ring -4 in a set Q is called an ideal if it satisfies

(a)

(b)

(c)

0EN;

NE.A',ME, ,MCN

ME.X;

M,N E.N => MUN E.N.

.

an ideal in the algebraists' sense in the commutative ring -4. Every ideal in . ' is

itself a ring in Q.

5. Let Q := N and for each n E N, do denote the a-algebra in 12 generated by

the system do comprised of the singletons {1}, {2},..., {n}. Show that do consists of all subsets of Q which are either contained in (1, 2,. . ., n} or contain the

complement of this set. Obviously stI'n C .s4 for every n E N. Why is U stn

nEN

nevertheless not a a-algebra in 0 = N?

[Hint: It is generally true of any isotope sequence (.4n)nEN of rings in a set Q

that the union of all of them constitutes a a-algebra if and only if they are equal

from some index onward. Cf. OVERDIJK, SIMONS and THIEMANN [1979] and, for

the special case of a-algebras, BROUGHTON and HUFF [1977].1

2. Dynkin systems

It is often difficult to directly determine whether a given system of sets is a a-algebra. The following concept, which goes back to DYNKIN [1961] but in inchoate

form even to SIERPINSKI (1928], helps to get around some of these difficulties.

I. Measure Theory

if it has the following properties:

S2 E 9;

(2.1)

(2.2)

(2.3)

DE9

CDE9;

U D E 9.

D pairwise disjoint E 9 (n E N)

nEN

Every Dynkin system 9 thus contains the empty set 0 = CA, and then (2.3)

also insures that 9 contains the union of every finite, pairwise disjoint collection

of its sets.

Examples. 1. Every a-algebra is obviously a Dynkin system.

Let A be a finite set with an even number 2n of elements (n E N). Then the

system 9 of all D C A which contain an even number of elements is a Dynkin

system. In case n > 1, 9 is not an algebra, hence certainly not a a-algebra.

2.

The precise connection between the concepts of or-algebra and Dynkin system

is elucidated in the following considerations:

2.2 Lemma. Every Dynkin system 9 is closed with respect to the formation of

proper complements, meaning that

(2.2')

D,EE9, DcE

E\DE9.

Proof. According to what was noted right after definition 2.1, the set D U CE,

being the union of the disjoint sets D and CE from 9, lies in 9. But then the

complement of this set with respect to 0, that is, E f1 CD = E \ D, lies in 9.

Consequently, Dynkin systems can also be defined via properties (2.1), (2.2')

and (2.3).

of any two of its sets.

Proof. What needs to be shown is that every Dynkin system .9 which is closed

under finite intersections is a a-algebra. Of the defining properties of a a-algebra,

only (1.3) needs to be confirmed and we do that thus: According to (2.2') and

the closure hypothesis, A \ B = A \ (A fl B) lies in 9 whenever A, B E 9. Since

(A \ B) fl B = 0 and A U B = (A \ B) U B, 9 contains the union of any two, hence

the union of any finitely many, of its elements. For any sequence (Da)nEN C 9,

we have

00

00

U Dn=U(D'n+1\D,)

n=1

n=e

2. Dynkin systems

in which D' := 0 and D;, := Dl U ... U D for each n E N. The sets D;+i \ D;, are

pairwise disjoint and, thanks to (2.2') and what has already been proved, they lie

in 2. According to (2.3) then the union of the sets D lies in 2. 0

Just as for a-algebras, algebras and rings, every system Cr C .9(Q) lies in

a smallest Dynkin system. It is, of course, called the Dynkin system generated

by 8, and is denoted 6(8).

The significance of Dynkin systems lies primarily in the following fact:

2.4 Theorem. Every 9 C .9(Q) which is closed with respect to finite intersection

satisfies

(2.4)

6(8) = 0(6) .

Proof. Since every a-algebra is a Dynkin system, o(8) is a Dynkin system containing 9' and consequently 6(8) C o((fl. If conversely, 6(8) were known to be

a a-algebra, the dual relation o(8) C 6(8) would also follow. In view of 2.3 therefore it suffices to show that 6(8) is closed under intersection. To prove this, we

introduce for every D E 6(8) the system

1D:={QE.9(st):QnDE6(8)}.

A routine check confirms that 9D is a Dynkin system. For every E E 8 the

hypothesis on 8 insures that 8 C 2E and therewith that 6(8) C 2E. Thus for

consequently 6(8) C 9D, holding for every D E 6(8). But this is just the property

of d(eb) that had to be confirmed. 0

Systems of subsets which are closed under intersections (respectively, unions)

of two, hence of any finite number, of their sets will from now on be described as

r)-stable (respectively, U-stable).

Exercise.

Determine the Dynkin system generated by the system consisting of just two

subsets A, B of fl. Show that 6(&) and o(8) coincide just in case one of the sets

A n B, A n CB, B n CA of CA n CB is empty.

1. Measure Theory

Combining the concepts of ring and or-algebra with the properties (B) and (C) of

lengths, areas and volumes that we encountered in the introduction leads to the

basic concepts of measure theory.

10, +oo]. It is called a premeasure on 9 if

p(0) = 0

(3.1)

and for every sequence (An) of pairwise disjoint sets from R whose union lies in 1B

00

00

(3.2)

(a-additivity)

n=1

n=1

n

tt

It (U

(3.3)

A;) = F p(A;)

(finite additivity)

(for every two and therewith) for every finitely many pairwise disjoint sets A,,. .. ,

A,, E R_

Due to (3.1) every premeasure is evidently a content. To see this, you have only

to take An+1 = An+2 = ... = 0 in (3.2).

defined on .

s,,,

by

if U) EA

if1.r0A

is a premeasure. It is called the premeasure defined by unit mass at W.

say for S2 =1R. Set p(A) := 0 or 1 according as A of CA is countable. Since of two

disjoint subsets of f? at most one can have a countable complement, property (3.2)

is easily confirmed; thus p is a premeasure on d.

2.

3.

a premeasure. The first assertion has a proof analogous to that in the preceding

example, the second follows from the fact that f) is the disjoint union of countably

many 1-element sets.

a 1, 02, ... be a sequence of non-negative real numbers, Then

4.

00

p

n=1

Every content on a ring R enjoys the following further properties (in which

A, B, A1, B1, ... E R):

(3.5)

(3.6)

(3.7)

(A) < (B)

ACB

.

(B \ A) = (B) - (A)

A C B, (A) < +oo

n

(U Ai)

(3.8)

(isotoneity);

(subtractivity);

i=1

,p(Ai)

(subadditivity);

i=1

for every sequence (An) of pairwise disjoint sets from R whose union lies in R

00

"D

L(An)<(UAn).

n=1

n=1

AUB=AU(B\A)

B=(AnB)u(B\A).

and

(A U B) = (A) +(B \ A)

and

(AUB)+(AnB)+(B\A) =(A)+(B)+(B\A).

In case (B \ A) is finite, (3.5) follows from this. In case (B \ A) = +oo, the

formulas for (A U B), (B) show that each of them must also equal +oo, and

(3.5) consequently holds in this case too. If A C B, the preceding formula for (B)

reads

which, thanks to > 0, delivers both (3.6) and (3.7). If we set B1 := A1, B2

A2 \ A1,... ,Bn := A. \ (A1 u ... u A,-,), then B1,..., Bn are pairwise disjoint

sets from R, which entails that

n

(U B,) =Ej(Bi)

n

i=1

i=1

now follows (3.8). To prove (3.9) we only have to observe that for every sequence (An)nEN of pairwise disjoint sets from R with A := u An E R

nEN

and let m -+ oo.

(m E N)

10

1. Measure Theory

Finally, if it is a premeasure on .4, then for any sets A0, A1, ... E 9

0

(3.10)

Ao C U A.

n=1

n=1

Because of AO = U(Ao n An) and (3.6), we can assume, in verifying (3.10), that

Ao = U An. Then set B1 := Al, B2 := A2 \ Al,... ,Bn := An \ (A1 U ... U An-1)

and proceed as in the proof of (3.8).

In particular, we now have

,u(UAn) <Ep(Aa)

(3.10')

n=1

n=1

The following theorem characterizes premeasures via other properties related

to the a-additivity. Its formulation is facilitated by the notations:

En T E

(3.11)

and

En J. E

which mean that the sets E1 C E2 C ... satisfy E = U En, or that the sets

El ) E2 D ... satisfy E= n En. In other words, the sequence (En) either

increases isotonically to E or decreases antitonically to E.

(a) p is a premeasure.

(b) A,,, A E 9 with An T A =; limn_, , p(An) = p(A) (continuity from below).

(c) An, A E .4 with An 1 A and p(An) < +oc for all n

n400

(continuity at 0).

1imn p(An) = 0

n-+oo

(a) a (b)

(c) a (d).

If it is finite on R, that is, p(A) < +oc for all A E .9, then all four statements

(a)-(d) are equivalent.

disjoint, lie in .9 and satisfy

A= U Bn,

Yd=1

An=B1U...UB,,.

11

n

00

J (Bi) = lim p(An)

+oo

n=1

i=1

(b)=(a): Let (An) be a sequence of pairwise disjoint sets from R whose union

A:= U An also is in R. If we set Bn := Al U ... u An, then Bn E 9 and Bn T A;

therefore (A) = lim(Bn). As a result of the finite additivity of

and therefore p(A) = F_(An). Thus is a-additive, and consequently is a premeasure.

From An 1 A follows Al \ An T Al \ A, and all the sets appearing here are in R.

From (b) therefore

(A1 \ A) _ imo(A1 \ An) = (A1) - im0p(An).

From this follows (c), because A C An means that also (A) < +oo and so

(A1 \ A) = (A1) - (A).

(c) .(d): Here there is nothing to prove!

From An 1. A follows An \A 10. Since An\A C An, the isotoneity of

means that along with p(An), (An\A) is finite too. Hence by (d), lim(An\A) =

0. But then (c) follows because p(A) < (An) < +oo, causing (An \ A) to equal

p(A.) - p(A)

To finish off, let us consider the case that is finite, and show that then

(d) =*- (b): If (An) is a sequence of sets from .9 and A. T A E.9, then A\An 10.

Taking account of the finiteness of , it therefore follows that 0 = lim (A \ An) _

Remark. If one modifies Example 3 of this section by making (A) := 0 for all

finite sets and p(A) := +oo for all cofinite sets, then he gets a content that is

continuous at 0 but is not a premeasure. Thus without the finiteness hypothesis

in the preceding theorem, statements (a)-(d) are not generally equivalent. On the

other hand, in (c) and (d) it is enough to explicitly hypothesize (An) < +oo for

some n E N, as then u(A,n) < +oo for all m > n (isotoneity).

The concepts of content and premeasure are preliminary to the central concept

of this book, that of a measure.

called a measure (on ark). The function value (A) of at an A E d is called the

(p-)measure or the (p-)mass of A. If p(S1) < +oo (and consequently (A) < +oo

for every A E 4), the measure is called finite.

Thus a measure is a non-negative, numerical function p defined on a a-algebra .0 and enjoying properties (3.1) and (3.2). The constant function = 0

is a measure on every a-algebra, the so-called zero-measure. The examples that

1. Measure Theory

12

follow are still of a rather formal nature. But as early as 6 and then quite a bit

later we will become acquainted with an abundance of important examples.

then e, is a measure on d, called the measure defined by a unit point mass

at w, or more briefly the unit mass at w, and also the Dirac measure at w. These

designations derive from interpreting a measure p on a a-algebra in f as a mass

distribution over Q. Accordingly for A E 0, p(A) is viewed as the mass that has

been "smeared" over A. The Dirac measure at w has, in so far as the one-element

set {w} lies in d, all of its (unit) mass concentrated at the point w: e({w}) = 1,

eW(C{w}) = 0.

6. Let SZ be an arbitrary set. For every A E .(12) let JAI denote the number

of elements in A in case A is finite, and otherwise +oo. Then r;(A) :_ IAI defines

a measure on :x(11), called the counting measure on ft (or on .9(1)). Its restriction

to a o-algebra W in i is called counting measure on W.

7.

Next we derive a not-so-obvious consequence of the a-additivity of measures.

sets from 0. Suppose there is a k E N such that the sets A,n and An are disjoint

whenever their indices satisfy Im - nl > k. Then

00

00

(3.12)

n=1

n=1

a measure.

Proof. Designate the union of all the An as C. For each r = 1,.. . , k the sets

(Ar+rnk)mENo are pairwise disjoint. So if we set

00

Fr

U Ar+mk

rn=0

then

00

M=0

of the ordering of the terms, it follows that

00

E p(A,) = E u(Fr)

n=1

r=1

13

From this equality and the preceding inequality the asserted inequality can be read

off.

Exercises.

1. Let 12 be a finite, non-empty set. Show that the counting measure ( on Y(O)

coincides with E e,,. Show further that every measure p on :x(1l) has the form

cEn

p=

WE n

generalizing equality (3.5): For all n E Nl, A,, ... , An E M

n

i=1

i=1

1<i<j<n

p(AinAjnAk)

1<i<j<k<n

- +...+(-1)n-1(A1n...nAn).

3. For a premeasure p on a ring. in 12 define

(A) := sup{p(R) : R C A, R E-4}, for A E i.

Show that .9' is an algebra in 12 which contains .?, and that is a premeasure

on 8 which extends p.

4. Suppose that (A- )-EN is a sequence of premeasures on a common ring 9 which

is isotone, that is, satisfies n (A) < pn+1(A) for all A E R, n E N. Show that via

p(A) := sup An (A) a premeasure is defined on R.

nEN

5. Let p be a measure on a a-algebra .sat in 0, and denote by .N,, the set of all

p-null (or -negligible) sets, that is, the N E .szd for which (N) = 0. Check that

.M,,, has the following properties:

(a)

0 E t',,;

(b)

NE.Y,,,MEd,MCN

(c)

(Nn)nEN C ,N,,

ME.A;

U Nn E ,4,.

nEN

Subsets of .sat with these properties are called a-ideals in d. Thus Y is always

a a-ideal. (Cf. Exercise 4 of 1.)

6. Every a-ideal .N in a a-algebra d is the a-ideal .N,, of p-null sets of an appropriate measure p on d. To get such a p, define

0

if AEa

_ I+oo ifAEd\-,Y.

'L(A)'As a special case, on the power set .9(12) of any set SZ there is a measure p such

that p(A) = 0 precisely if A is a countable subset of Q.

14

I. Measure Theory

di,(A, B) := p(A A B)

(A, B E.9)

defines a pseudometric on M, that is, d,, has all the properties of a metric on .9 with

one possible exception: d,, (A, B) = 0 can happen without A = B. (Cf. Exercise 3

of 15.)

4. Lebesgue premeasure

Now we specialize Sl to be the d-dimensional number-line Rd (d E N). For every

two points a = (al, .. , ad) and b =

E Rd we write a:5 b (reap., a 4 b)

if a, < Qi f o r all i = 1 , ... , d (resp., ai < ,Q; for all i = I,-, d). Every set of the

form

(4.1)

described, these are parallelepiped "open on the right" and having sides parallel

to the coordinate axes. Clearly [a, b[ is nonempty if and only if a < b, and in this

case the interval [a, b[ uniquely determines the points a, b.

For every such interval [a, b[ the real number

(4.2)

is called its d- dimensional elementary content. It equals 0 just when [a, b[ = 0, that

is, when a < b fails (although a < b holds, a prerequisite to employing interval

notation).

From now on, #d shall designate the set of all right half-open intervals in Rd,

and 9d the system of all finite unions of such intervals, so ,.Od C .91d. The elements

of fd are called d- dimensional figures.

In JE fd

and

J\IE.Pd.

Every figure is a union of finitely many pairwise disjoint intervals from ,ld.

Proof. Let I = [a, b[, J = [a', b'[ with a < b, a' < b', and let the corresponding

coordinates of these points be ai, 3i, a;, 3,. If we let a and f denote those points

in Rd whose coordinates are max{ai, a' j) and min{13i, $ } (i = 1, ... , d), respectively, then I n J = [e, f [ in case e < f and otherwise I fl J = 0. Consequently,

in proving the second claim we may assume that 196 0 and I C J. Then I and J

determine the points a, 6, a', 6' uniquely and they satisfy a' < a ci b < Y.

Create new points from a = (al , ... , ad) and b =

Ad) by replacing

4. Lebesgue premeasure

15

possible ways. More precisely, make such replacements for the i coming from each

non-empty subset of { 1, ... , d}. The points so created give rise to at most 3d - 1

and is representable as a finite union of pairwise disjoint sets from _0d. That this

obtains as well for every figure F = Il U ... U I,, E _4rd with Ii, ... , I E .0d can

now be seen as follows:

F=I1U(I2\I1)U(13\IlUI2)U...U(In\IIU...UIn-1)

exhibits F as a union of n pairwise disjoint sets, each of the form I \ J1 U ... U Jm

with I, J1, ... , J. intervals from jd. Thus it suffices to show that every set of this

form is the union of finitely many pairwise disjoint intervals from mod. But this

follows from

I\J1U...UJm=n(1\Ji)

i=1

when, using what has already been proved, we write each I \ Ji as a union of

finitely many pairwise disjoint intervals from j0d and distribute the intersection

through these unions. 0

Proof. The only thing that is not obvious is property (1.10) of a ring, according to

which along with any sets F, G E .$d their difference F \ G must also be in `$d.

By definition there exist intervals Ii, ... , I,,,, Ii , ... , I;; E pd such that

m

F=UI;

G= U1 .

and

j=1

i=1

But then

F\G(nvi,\Ijn)

i=1 j=1

and so it only has to be shown that each set n (I; \ I) is a figure. According to 4.1

j=1

of two (whence, of any finite number of) figures is itself a figure. If however F

and G are two figures represented as above, then thanks to distributivity F fl G

is just the union of the sets I; fl I , " (i = 1, ... , m; j = 1, ... , n), which by another

By definition every figure is a union of finitely many intervals from 5d. Consequently, .mod C 9 for every ring 9 in Rd such that fd C R. So theorem 4.2 really

says that .Ird is the ring generated by fd.

Our geometric intuition now suggests the validity of the following theorem:

16

1. Measure Theory

4.3 Theorem. There exists exactly one content A on 911 with the property that

A(I) coincides with the d-dimensional elementary content of I, for each I E .fad.

This content is real-valued.

as a union of finitely many pairwise disjoint intervals from 9d. Every content A

on 9' therefore satisfies

A(F) = A(11) + ...

necessarily real-valued. Thus all we have to do is settle the existence question. To

this end we first define A only on .d as it must be defined, namely A(I) shall be

the d-dimensional elementary content of I for each I E fad. Then we have.

I3d) and y a real

(a) Let I = [a, b[ E .>fd, a = ( a l , ... , ad) and b =

number satisfying ai < -t < /3i for a fixed i E {1,.. . , d}. The hyperplane with

equation t;; = y divides I into two disjoint intervals 11 := [a', b[ and 12 := [a, b'[,

a' being a with its its' coordinate replaced by -y, and b' being b with its ith coordinate replaced by ry. From (4.2) then follows that .1(1) = A(I1) + A(12). Induction

therefore yields

described in (a) into pairwise disjoint intervals Ii,. .. , I E .fad, then \(I) _

,\(11) +... + A(I ). More generally:

(c) For any finitely many, pairwise disjoint 11, ... , In E Yd with to := I1 U

U In E sad, A(Io) = A(I1) + ... + A(In). In proving this we can obviously

assume that each Ij is not empty. Then there are points aj = (ail, ... , a jd) and

bj = (ris 1, ... , J3jd) from Rd with aj d bj and Ij = [aj, bj [, j = 0,1, ... , n. The

hyperplanes whose respective equations are 1;; = aj; or & =,3j, for i E {1,...,d},

j E (1, ... , n) decompose Io into pairwise disjoint intervals 11.... ,1,, E frd. Each

of I1.... , In also decomposes into certain of these Ii.... ,1 . The claimed equality

therefore follows from (n + 1) citations of (b).

(d) If now

F=I1U...UIn=J1U...UJnj

are two representations of the figure F E .>5d, each a union of pairwise disjoint

intervals, then

A(I1) + ... + A(In) = A(J1) + ... + A(Jm)

m

1=1

A(Ij)=>A(IjnJ=)

i=1

(j=1,...,n).

4. Lebesgue premeasure

17

n

(i = 1,...,m).

j=1

Together these last two equations entail the equality E A(Ij) = E A(JJ).

(e) Thus for every F E .'d the number F_ A(Ij) is independent of the special

representation

F=I1u...UI,

of F as a union of finitely many pairwise disjoint 11, ... , In E fd. Therefore the

decree

well defines an extension, to be denoted still by A, of the original function on .fd to

one on gd. This function is real-valued, non-negative, and according to (d) finitely-

additive. Since 0 E j0d and A(0) = 0, a content with the sought-for properties is

at hand.

Proof. Because A is finite, 3.2 says that we only need to prove the continuity of A

at 0. To this end, let (Fn) be an antitone sequence of figures from d. We will

show that from the assumption that

follows

nFn #0.

Each Fn being a union of finitely many pairwise disjoint intervals from .>Id, it

should be clear that by a slight leftward shift of the right endpoints of each of

these intervals a new figure an E .fin is created, whose topological closure Gn is

still a subset of Fn, and

A(Fn) - A(Gn) < 2-"6.

Hn Hn+1+ Fn C Gn C Fn for all n. Because Fn is bounded its closed subset H,,

is compact. As soon as we succeed in showing that each Hn is not empty, it will

follow from the finite-intersection property of compacts (WILLARD [1970), p. 118,

nEN

(*)

nEN

and by choice of G1, A(F1) - A(G1) < 2-16. Suppose the inequality valid for

18

1. Measure Theory

some n. Since

A(H,,+1) = A(Gn+1) + A(HH) - A(Gn+1 U Hn)

From the induction hypothesis A(H,,) > A(F,) - (1 - 2-")b; from the choice

of G,.+1, A(Gn+1) > A (Fn+1) - 2-"-'b and G.+1 U Hn C F.+1 U Fn = Fn, so that

Combining these observations completes the inductive

U

step in the confirmation of (*):

Recalling that A(F,) > S by definition of b, we infer from (*) the inequality

A(H") > 2`5 > 0 and therewith the fact that Hn 0 0, the last link that had to

be accounted for in the logical chain. 0

4.5 Definition. The premeasure A on the ring Jrd of d-dimensional figures in Rd

is called Lebesgue premeasure in Rd or d-dimensional Lebesgue premeasure. From

now on it will be denoted by Ad.

Here we encounter for the first time the name of the French mathematician

H. LEBESGUE (1875-1941), the inventor of the measure and integration concepts that today are named after him. The development of the theory of measure and integration was spurred above all by his investigations and those of his

countryman E. BOREL (1871-1956). For the history of Lebesgue integration see

DIEUDONNE [1978] and HAWKINS [1970].

Exercises.

1. Show that on 91 there is exactly one content p that assigns to the right halfopen interval [a,,3[, a, f3 E R, the following values

ifa<0<$

Is a-additive?

2. Two intervals 1o, J E jrd with 1o C J are given. Prove the existence of k < 2d

intervals I1, ... , Ik E Od with the following two properties: (i) 10 U ... U 1j E 'Od

for each j E {0, ... , k}; (ii) J = lo U ... U Ik. [Hint: Proceed by induction on the

dimension d.]

Lebesgue premeasure is not a measure because its domain of definition, the ring

not in .$'d, every d-dimensional figure being a bounded subset of Rd.

The elementary geometric considerations sketched at the beginning of this chapter however suggest that the domain of the premeasure Al be so enlarged that

19

a "numerical measure" gets assigned also to more complicated subsets of Rd. The

most satisfactory such result would say that Ad can be extended in exactly one

way to a measure on an appropriate or-algebra W in Rd with g d C a0.

a content p on -4 are given. Under what conditions does there exist a o-algebra 0

in fl and a measure on at such that p is the restriction of j to -IV An obvious

"premeasure" will turn out to be justified if we can show the converse: For every

premeasure p on a ring . there exists a or-algebra ark in Il with -4 C at, and

a measure on ark satisfying i I .? = p. It suffices to take for 0 the o-algebra o(3) generated in fI by .M.

be extended in at least one way to a measure Ti on the or-algebra or(R) generated

by E in Q.

Proof. For each subset Q C S1 designate by 'W (Q) the set of all sequences (An)nEN

QC UAn.

nEN

W

(Q)

in case *'(Q) = 0.

+oo,

A* (0) = 0;

(5.2)

(5.3)

Q1 C Q2

(5.4)

(Qn)nEN C -60(1l)

A WO < P*(Q2);

00

(U Qn)

n=1

00

E u*(Qn)

n=1

Equality (5.2) follows from the observation that the constant sequence 0, 0, ... is

in W (O). The observation that 1(Q2) C V (Q0 follows from Q1 C Q2, serves to

confirm (5.3). For the proof of (5.4) it can evidently be assumed that p (Qn) is

finite and so in particular 0&(Qn) # 0, for every n E N. For an arbitrary e > 0

then, each 0&(Qn) contains a sequence (Anm)mEN such that

00

M=1

1. Measure Theory

20

The double sequence (A,nm)n,mEN lies in 11 ('J Qn) and as a consequence the

n=1

00

00

n=1

n,mEN

L, '(Qn) +

n=1

and (5.4) follows from this and the arbitrariness of > 0. It is immediate from the

definition that

i >0.

(5.5)

p (Q) > ' (Q fl A) + ' (An CA)

(5.6)

as well as

p*(A) =;&(A).

(5.7)

In proving (5.6) we can again assume '(Q) < +oo, so that P(Q) 34 0. First of

all we have

00

00

00

n=1

n=1

n=1

for every sequence (An) from 1!(A), due to the finite additivity of p. Moreover,

the sequence (AnflA) lies in 9l(QnA) and the sequence (An \A) lies in P!(Q\A).

Consequently,

00

n=1

for every such sequence (An), and from this fact (5.6) is immediate. Equality (5.7)

follows on the one hand from (3.10), according to which u(A) < p*(A), and on

the other hand from consideration of the sequence A, 0, 0.... which lies in P (A).

The significance of what has been proven lies in the fact, which we will establish,

that the system d' of all sets A E .9(1) satisfying (5.6) is a a-algebra in 52 and the

restriction of ' to af' is a measure. Now (5.6) as just proved says that .' C d',

C W*. Then according to (5.7) ji := ' I a (R) is an

and so we shall have

extension of it to a measure on o(ff). The definition and theorem which follow

will therefore complete the present proof. 0

5.2 Definition. A numerical function ' on the power set .9(St) having properties

(5.2)-(5.4) is called an outer measure on the set fl. A subset A of 0 is called u-measurable if it satisfies (5.6).

Notice that ' > 0 always prevails, an immediate consequence of (5.2) and (5.3)

together.

The idea in the proof of the measure-extension theorem, which goes back to

C. CARATHFODORY (1873-1950), consists in associating via definition (5.1) an

outer measure to the premeasure p on.' and then invoking the following theorem.

21

5.3 Theorem (Caratheodory). Let ' be an outer measure on a set f). Then the

system 0' of all '-measurable sets A C fl is a o-algebra in fl. Moreover, the

restriction of ' to dA' is a measure.

Proof. First let us note that the requirement (5.6) for a subset A of St to lie in d'

is equivalent to

'(Q)='(QnA)+'(Q\A)

(5.6')

for allQE9(1),

because from (5.4) applied to the sequence Q n A, Q \ A, 0, 0.... follows the reverse

of inequality (5.6), for every Q E 9(S1). From either (5.6) or (5.6') it is immediate

that S2 E d', and because of their symmetry in A and CA, whenever A lies in d',

so does CA. The following considerations will show that with each two of its sets A

entails that

' (Q) = ' (Q n B) +.u* (Q \ B)

get two new equalities (valid for all Q E 9(1)) which, when inserted into (5.6'),

lead to

Replacing Q here by Q n (A U B) gives

which in conjunction with the preceding equality yields

This being valid for all Q E Y(n) affirms that A U BE d'.

Now let (An) be a sequence of pairwise disjoint sets from W' and A be their

union. The choice of A := A1, B:= A2 in (5.8) produces

An induction argument generalizes this to

n

, (Q n

U A) = E(Q n Ai)

i=1

i=1

n

i=1

to be in Af ', and that Q \ Bn D Q \ A, so that ' (Q \ Bn) > ' (Q \ A), we obtain

n

i=1

22

I. Measure Theory

00

n=1

and consequently, as noted at the beginning of the proof, we actually have equality

throughout:

n=1

holding for all Q E 9x(1l). Thus A lies in d'. After all this we recognize that the

algebra sad' is an r)-stable Dynkin system and therefore by Theorem 2.3 a o-algebra. If in the last pair of equalities we take Q := A, we get

00

p'(A) _ E (An),

n=1

It can be further shown that in many important cases the measure from

Theorem 5.1 is uniquely determined. As a preliminary we give a proof that is

a typical application of the technique of Dynkin systems. (Cf. also Exercise 9.)

5.4 Theorem (Uniqueness theorem). Let 9 be an n-stable generator of a a-algebria d in 1 and suppose that (En) is a sequence in 9 with U En = n. Then

nEN

(i)

p1(E) = p2(E)

for all E E c9

p1(En)=p2(En)<+oo

for olin EN

and

(ii)

Proof. Denote by 8f the system of all sets E E.9 satisfying 1(E) =p2(E) < +oo.

For a given E E of consider the system

9E :_ {D E sV: p1(E n D) = p2(E n D)).

We will show that it is a Dynkin system. Obviously Sl E E. If D E 9E, then

p1(E n D) = 2(E n D) < +oo (since E E 8j), and so (3.7) shows that

which says that CD E 9E. The remaining property of Dynkin systems (2.3) follows

at once from the a-additivity of the measures p1, p2. Because 8 is n-stable,

8 C 9E follows from (i) and the definition of 9E. But then S(td) C 9E because

6(8) is the smallest Dynkin system which contains 8. From Theorem 2.4 however,

23

(5.9)

1(E n A) = 2(E n A)

holds for all E E -ff and A E d. On account of (ii) then in particular

1(EnnA)=2(E,,nA)

(5.9')

(nEN, AEsd).

and get a sequence (F,,) of pairwise disjoint sets from dd satisfying F,, C En for

nEN

nEN

1(FnnA)=l(EnnF,,nA)=p2(EnnF,,nA)=2(FnnA)

for all A E al and all n E N. But then the fact that

A= U(FnnA)

nEN

00

00

1(A)=E1(FnnA)=>2(FnnA)=2(A)

n=1

n=1

for every A E .W, which says that the measures 1A1, 2 are identical. O

For finite measures some other natural stability properties of the generator c9

(e.g., its closure under set-differences) also insure uniqueness. See, for example,

ROBERTSON [1967].

of the measure ,& from Theorem 5.1, we make the

(An)nEN of sets from .9 exists such that U An = fl and (A,,) < +oo for ev-

ery nEN.

nEN

Examples. 1. Suppose that the content p on the ring .4 in f is finite, that is,

p(A) < +oo for every A E R. The a-finiteness of u is the equivalent to the existence

not automatically hold, as the trivial example Sl 54 0, .9 := {0} illustrates.

In general, the a-finiteness of a content p on a ring .4 is equivalent to the

existence of a sequence (A;,) of sets in .4 with (A',) < +oo for all n and A', T Q.

In fact, if (An) is merely a covering of S2 by sets in -4 having finite -measure,

then the sets An := Al U ... U An, n E N, furnish a sequence of the desired kind.

2.

interval from 'Od, Ad(I,,) < +00 (n E N), and In t Rd.

24

I. Measure Theory

finite) just when S2 is countable (resp., finite).

3.

In summary we have

5.6 Theorem. Every or -finite premeasure p on a ring ' in a set 1 can be extended

in exactly one way to a measure it on a(M).

Proof. Only the uniqueness of it has to be proved. But this follows immediately

from 5.4: thanks to the o-finiteness of it, the ring. has all the properties required

of the generator 6' in the hypothesis of 5.4.

Remark. The hypothesis of a-finiteness of lc on 5.6 can not be dispensed with. It

suffices to look, as in Example 1, at a non-empty set ft and to take for . the ring

consisting just of the empty set. On a(R) = {0, 1} two different measures having

the same restriction to9 are defined byp(0) = v(0) := 0 and p(S2) := 0 =: 1-v(1l).

The uniqueness of the measure a which extends the or-finite premeasure 1A in

5.6 is expressed more dramatically by the following approximation property. For

simplicity we formulate it only for finite measures on an algebra.

5.7 Theorem (Approximation property). Let p be a finite measure on a v-algebra d inn which is generated by an algebra do in fI. Then for each A E d there

is a sequence (Cn)nEN in .moo satisfying

lim u(ALCn)=0.

(5.10)

n- 00

Here A designates the symmetric difference defined in Exercise 2 of 1. Exercise 7 of 3 is the real justification for the terminology "approximation property".

(A 0 C) < e. According to 5.1 and 5.6, especially the equation (5.1) which

extends pl do to 0, there exists a sequence (Af)1EN in .00 which covers A and

satisfies

00

(5.11}

11=1

If we set Cn

i=1

U An satisfies

nEN

C n f A'

and

A' \ Cn y. 0.

(5.12)

25

<p(A'\C)+p(An)-p(A)

00

n=1

E/2 + e/2,

It should also be noted that

n

(5.14)

(n E N)

make this obvious: For C, D E ef, C C D U (C \ D), so that u(C) -,u(D) <

(C \ D) < (C A D). As C and D may be interchanged here, (5.14) is confirmed.

11

Exercises.

1. Let = E,,, be the premeasure on a ring .R in Sl defined by putting unit mass at

the point w E fl. Under the hypothesis that {w} can be realized as the intersection

of a sequence from .s and fl as the union of such a sequence, prove that: (a) The

outer measure ' defined from via (5.1) assigns to every set A E .9(11) the

value 1 or 0, according as w E A or w E CA. (b) Every subset of Sl is p'-measurable.

(c) ' is the measure E,,, on .9(11).

that: (a) The outer measure ' defined from p via (5.1) assigns to every set

A E .9(fl) the value 0 or 1, according as A is countable or not. (b) is not

a measure on .9(11), not even a content. (c) The only '-measurable sets are

those in the a-algebra sd on which u is defined.

measures on 0. Show that the validity of u(A) < v(A) for all A E . need not

imply its validity for all A E d. [Hint: do := 91, v counting measure, p := 2v.]

Find supplemental hypotheses that will render such an implication true.

4. Show that the sequence required in Definition 5.5 of the a-finiteness of the

content p on the ring 9' in fl, can always be chosen to be a sequence of pairwise

disjoint sets from ,R which cover Cl and each have finite measure.

5. Let be a a-finite measure on a a-algebra sF in fl, and ' the outer measure

a measurable hull of Q, with the properties that Q C A, ' (Q) = p(A), and

(B) = 0 for all B E d such that B C A \ Q. [Hint: In case ' (Q) < +oo, show

that there exists a sequence (A,,) in at with Q C A,, and (A,) < '(A) + n'

for every n E N. Then A := n A,, has the desired properties.]

nEN

26

I. Measure Theory

set (cf. Exercise 5, 3) belongs to W, and consequently is itself a it-null set. Show

that:

(a) The measure ,t f dd' from Theorem 5.3 is complete.

(b) The measure in Examples 2 and 7 of 3 is complete.

(c) If dd is a a-algebra in a set U, w E 0 and {w} E V, then the Dirac measure e,,,

on dd is complete just when dd = f1a(St).

7. (a) Show that every measure it on a a-algebra AV in a set U can be completed.

dd C ddo, in such a way that every complete measure p' on a a-algebra 0' in U,

dad C a(', which extends p is also an extension of po. The (obviously unique)

a-algebra ddo is called the p-completion of d; the triple (U, 4, PO) is called the

completion of (0, dd, p). [For such triples the term measure space will be introduced

in 7.]

(c) Show that the p-completion do of a or-algebra dd in U consists of all sets AUN

with A E d and N a subset of a it-mill set. For every such set, po(A U N) = p(A).

(d) Characterize the sets in olo as follows: A set Ae C U lies in 0e just if sets

AI, A2 E dQ exist such that A, C Ao C A2 and p(A2 \ Al) = 0.

determines via (5.1), and dd' the or-algebra of all p'-measurable subsets of Q.

With the help of Exercises 5 and 7, show that (U,dd5, p' Id') is the completion

of (f2, dd, p).

9. The proof of Theorem 5.4 only uses condition (i) for sets A E c' which satisfy pi(E) = p2(E) < +oo. Clarify this observation by showing that under the

hypotheses of Theorem 5.4 the system tj of all sets E E if satisfying pl(E) _

2(E) < +oo is likewise an ft-stable generator of dd.

line

We are going to pursue further the investigations in 4. So as before jd will be

the set of all right half-open intervals in Rd, gd the ring of all d-dimensional

figures, and Ad the Lebesgue premeasure on .,mod. We have already noted that Ad

is a-finite. According to 5.6, ad can be extended in exactly one way to a measure

on 0.(,d), which measure will also be denoted by ad from now on. Since every

figure is a union of finitely many intervals I E .1d, we have

a(.

d)

= o(5d) .

6.1 Definition. The elements of the a-algebra generated in ltd by the system 5d

of half-open intervals are called the Bored subsets of the space Rd. Correspond-

27

ingly o(.Fd) is called the a-algebm of Borel subsets of Rd; it will henceforth be

denoted .mod.

The results reviewed in the introduction can, following 4.3, be expressed thus:

6.2 Theorem. There is exactly one measure Ad on ,mod which assigns to every

right half-open interval in Rd its d-dimensional elementary content.

measure (L-B measure, for short) on Rd. For every Borel set B E .mod, Ad(B) will

also be called the d-dimensional Lebesgue measure of B.

It is expedient to expand this definition: For every set C E 0 the trace aalgebra C fl 0 consists of all Borel subsets of C (cf. (1.4)). The restriction Ac

of Ad to C fl 0 is a measure. It will also be called the L-B measure on C.

Like the Lebesgue premeasure of which it is an extension, the L-B measure Ad

is a-finite (cf. Example 2 of 5). More generally

Ad(B) < +oo

(6.2)

for every bounded set B E .mod, since such a B lies in an interval in 0d; e.g.,

excepting finitely many n, B lies in each interval I from Example 2, 5, with the

result that Ad(B) < Ad(In) < +00.

Let us recall the question formulated in the introduction to Chapter I of finding

a unified method for assigning a numerical measure of d-dimensional volume to

as many subsets of Rd as possible. Step by step we will come to recognize that

Theorem 6.2 answers this question in a most satisfactory way: for every Borel

set B in Rd its d-dimensional measure in the number we were seeking.

First of all it seems desirable to get a deeper insight into the a-algebra gd of

Borel sets. In particular, the question naturally comes up whether topologically

interesting sets, like the open, closed, or compact ones are Borel. The characterization of .mod via such sets in the next theorem is often taken as the definition of

the a-algebra 0.

6.4 Theorem. Let 0d, `ed,

(6.3)

,Wd

d)

Proof ..lt'd C `E'd C 0,((2d), so o(Xd) C o(('d). Every set C E'd is the union of

a sequence of sets C E ..1C'd; for example, if K. are the compact balls with a fixed

center and radii n E N, then the sets C,, := C fl Kn furnish such a sequence. Thus

by (1.3), Wd C o(..lE'd), whence o(Wd) C o(..iE'd) and so finally the equality of

these two a-algebras. Since the open sets are the complements of the closed ones,

the equality o(6d) = o(( d) is obvious; therewith the last two equalities in (6.3)

are confirmed.

28

I. Measure Theory

We finish up by showing that o,(d) =mod. We will, as usual, use the term

bounded open interval in Rd for every set of the form

(6.4)

Ja,b[:={xERd:a.x4b},

intersection of a sequence of bounded open intervals, namely, for

and

(n E AI)

we have

Jan, b[ .l. ]a, b[ .

o(.fd) C a(&). Every

open set in Rd can be exhibited as the union of countably many bounded open

intervals (e.g., all those which it contains whose endpoints have only rational coordinates). Moreover, every bounded open interval ]a, b[ is the union of a sequence

of intervals from .fd, namely

(6.5)

[an, b[ T ]a, b[

if we set

(6.5')

(n E N),

being the coordinates of a and b, respectively. Every

open set is therefore the union of a sequence of intervals from jd, and so 6d C

0,(.f d) = .jd. It thus follows that o(eld) C .mod and, as the reverse inequality has

already been established, equality Rd = o,((l'd) is confirmed. O

We will become acquainted with some deeper properties of L-B measure in 8.

In particular, there the existence of non-Borel sets, that is, the assertion

Rd #-'P(fltd)

will be proved. For the moment we content ourselves with computing the Lebesgue

measure ,d(B) of some geometrically simple Borel sets B.

is an L-B-null set, i.e., a Borel set with Ad(H) = 0. Let, say H be orthogonal to

the ih coordinate axis, i E { 1, ... , d}, that is, be of the form

(6.6)

H:={x=(l:l,...,ed)ERd: F.=a}

let x,,, yn be those points in Rd whose coordinates are -n or n, respectively,

at every index except i and whose ith coordinates are a or a + 2-"(2n)1-de,

respectively, where e > 0. Evidently

HC U [x",yn[

neeN

29

and

Ad([xn,yn[) = 2-ne,

n E N.

00

n=1

Due to the isotoneity of measures, we consequently also have Ad(B) = 0 for

every Borel subset B of such a hyperplane H.

measures, it suffices to treat the case of one-point sets {x} C Rd. Being a closed

set, it is Borel; moreover for an appropriate hyperplane H of the form (6.6) we

have {x} C H.

3. For points a, b E Rd with a < b consider besides the intervals [a, b[ and ]a, b[

already defined, the compact interval

[a,b]:={xE1Rd:a<x<b}

and, in contrast to [a, b[, the left half-open interval

]a,b]:=Ix ERd:aax<b}.

Then

(6.7)

First of all the intervals [a, b[, ]a, b[ and [a, b) are Borel sets by Theorem 6.4. As in

its proof, we can show that

(6.8)

]a, bn [ .. ]a, b]

and

[a, bn [ 1 [a, b]

for appropriate sequences (bn) in Rd converging to b. Again from 6.4 we then get

that ]a, b] is Borel. From (6.5) follows

Ad(]a,b[) = lim Ad([a,,,b[) = Ad([a,b[)

n-,ao

the first equality using the continuity from below of a measure, and the second

using lim an = a (from (6.5')) and the continuous dependence on c and d of the

n-aoo

elementary content of the interval [c, d[. Analogously, with the help of (6.8), we

conclude that

Ad(]a, b]) = Ad([a, b]),

this time citing the continuity of measures from above. Thus finally from the

inclusions ]a, b[ C ]a, b] C [a, b] the remaining equality in (6.7) follows.

The choice of right half-open intervals for the construction of Ad is now seen

to have been due solely to the fact that the ring .ld they generate is so simple to

describe.

30

I. Measure Theory

of the line will now be presented. These are the Borel measures. In general for

d E N, a measure p defined on .mod is called a Borel measure on Rd if

or, equivalently, if p(B) < +oo for every bounded set B E Rd. I.-B measure Ad is

such a measure, according to (6.2).

The point of departure for defining A' is the determination of AI([a,b[) for

intervals [a, b[ E 51, namely as b - a. It suggests itself that this opening move

conditions on it which guarantee the existence of a measure p on 0 with the

property

,u([a, b[) = F(b) - F(a)

(6.9)

Thanks to the uniqueness theorem 5.4 such a measure is already thereby, i.e.,

by its values on 5', uniquely specified. Since p([a, b[) > 0, (6.9) entails that the

function F must be isotone. Moreover, F has to be left-continuous. This is because

for every x E R and every sequence (x,,) in R with x,, 1 x, the corresponding

interval behavior is

t [x1,x[, and since p must be continuous from below,

it follows that

n-+oo

n-1oo

Functions F : R -+ R which are isotone and left-continuous will be called

measure-generating (or measure-defining) functions (on R). Of course, whenever F

is such a function, so is aF + b for any a E R+, b E R. The designation "measuregenerating" is justified by the next theorem, which answers completely the earlier

question of what are the appropriate conditions on F.

exactly one measure OF on 91 having property (6.9), that is, satisfying

pp([a,b[) = F(b) - F(a)

pp if and only if G = F + c for some constant c E R. Every pF is a Borel measure

on R, and every Borel measure on R is a pp for an appropriate F.

Proof The techniques employed in the proof of Theorem 4.3 can be repeated

to show that corresponding to F there is a unique content p on the ring Jr'

of 1-dimensional figures which has property (6.9). That part of the proof used

only the isotoneity of F. From the left-continuity of F it follows that for every

IA(1) - p(J) = p([c, b[) = F(b) - F(c) < e.

31

But then the technique employed in the proof of Theorem 4.4 shows that it is

a a-finite (as well as finite) premeasure on .071.

This measure does what is wanted, is a pF. Its uniqueness with respect to its

prescription on .1 via F was settled in the deliberations preceding the present

theorem. From pF = pc we get G(b) - G(a) = F(b) - F(a) whenever a < b. Upon

applying this with a = 0 < b as well as with a < 0 = b, we learn that G = F + c,

with c := G(O) - F(0). Every AF is a Borel measure, because every bounded

B E 91 is contained in [-n,n[ for some n E N and so pF(B) < IAF([-n,n[) _

If conversely, p is an arbitrary Borel measure on R, we can define

F(x) .=

p([0, x[)

if x > 0

and get a function on R having property (6.9) and therewith, in light of the

discussion preceding this proof, measure-generating. In fact, for real numbers 0!5

a < b the subtractivity (3.7) of measures entails that

p([a, b[) = p([0, b[ \ [0, a[) = F(b) - F(a)

and (6.9) is confirmed analogously when a < b < 0. In the remaining case a < 0 < b

we get (6.9) from [a, b[ = [a, 0[ U 10, b[ and the additivity of it. The uniqueness

already proved leads finally to the equality of p with the measure AF derived

from F.

Notice that L-B measure )' has the form PF, with F the identity map x H x

on R.

measure on R. Because 0 < p(B) < p(R) < +oo for all B E 91, a finite Borel

measure p on R is either the zero measure p = 0, or 0 < p(R) < +co and

v:=

p(R)

a fundamental role in probability theory. This explains the following vocabulary:

A measure p on a a-algebra .sad in a set Q is called a probability measure (abbreviated to p-measure) if p(1l) = 1. Because of the isotoneity property every

p-measure satisfies

(6.10)

for all A E W.

Consider now a p-measure p on 0. The open interval [-co, x[ lies in 91 for each

x E R, so a real function F. with values in [0,1] is defined by

(6.11)

(x E R).

Dirac measure eo equals 0 throughout ] - oo, 0] and 1 throughout ]0, +oo(.

Since ] - coo, b[ \ ] - oo, a[ = [a, b[ whenever a < b,

32

I. Measure Theory

satisfies

(6.12)

F,. = A

in the notation introduced in Theorem 6.5. Among the infinitely many measuregenerating functions F that satisfy pF = for a given p-measure p the distribution

function F. is characterized as follows:

6.6 Theorem. A real function F on J is the distribution function of a -- necessarily uniquely determined -p-measure p on 4' if and only if it is measure-generating

(that is, isotone and left-continuous) and satisfies

lira F(x) = 0

_cc

(6.13)

and

lira F(x) = 1.

X-++oo

Proof. The distribution function F of a p-measure it on 91 is always measuregenerating, as (6.12) shows. Properties (6.13) follow from the continuity at 0

and the continuity from below of every finite measure, respectively, since for sequences (x,2) in R with x,, , -oo, resp., xn t +oo we have ] - oo,xn[ .. 0, reap.,

]-oo,x,, [TR.

If conversely F is a measure-generating function satisfying (6.13), then according to 6.5F is the only Borel measure on R with property (6.9), in particular, with

pp([-n, n[) = F(n)-F(-n) for all n E N. When n - +oo here, the normalization

condition u(R) = 1 follows from (6.13). Thus F is a probability measure. F is

then the distribution function of pp, because for x E R and all n E N fl [-x,+00[

so that

lira F(-n) = u(] - oo,x[) = F,,, (x) .

Via p +-> F,, the set of p-measures on 91 is thus bijectively mapped onto the

set of measure-generating functions F on JR having property (6.13). This is the

significance of the preceding theorem.

Remarks. 1. Measure-generating functions are also called "Stieltjes measure func-

tions". This is because, even before the invention of the measure concept,

T.J. STIELTJES (1856-1894) had used such functions to extend the ideas behind

the Riemann integral (cf. Remark 2 in 12).

2. Measure-generating functions (and distribution functions) also make sense

in Rd. But they are difficult to deal with and that is not the least reason why they

are of less significance. A function F : Rd -* R is called measure-generating if in

each of its d variables 1;1.... , l d, when the others are held fixed, it is left-continuous

and satisfies the additional condition

A$'...AQ,F>0

33

Here ak, (3k (k = 1,. .. , d) are the coordinates of a, b, resp., and ,aI F is the

function defined on Rd-1 via (t1, ... , d) '-4 F2 (6, , G) := F(01,6, -,td) F(a1, t2, ... , d). Then Da2F2 = AJ &3, F is defined and the further "difference

operators" Dak are inductively brought into play. There is a theorem analogous

to 6.5: To every measure-generating function F on Rd corresponds a unique Borel

measure AF on Rd which satisfies the iterated difference condition

(6.14)

CC

(Qd - ad)

This function is consequently measure-generating, and generates the L-B measure Ad in the sense that uF0 = Ad. Details can be found in RICHTER [1966],

TUCKER [1967) and GNEDENKO [1988.

Exercises.

1. Prove that a Borel set B E .mod is an L-B-null set if and only if one of the

two following conditions (which are hence equivalent) is satisfied: (a) For every

e > 0 there is a covering of B by countably many open intervals In C Rd such

00

that E Ad(In) < c. (b) There is a covering of B by countably many open intern=1

00

vals In such that E Ad(II) < +oo and every point of B lies in In for infinitely

n=1

or compact, instead of open. [Hint for (a): Utilize (5.1).]

2. Write Rd in the form Rd = Rp X RQ with p, q E N, p + q = d, by grouping the

first p coordinates of a point x E Rd into a point in RP and the last q coordinates

into a point in R. Denoting by 0 the zero of the vector space R9, show that for

a set A C RP, A x {O} E .mod precisely when A E

P.

continuous at the point x E R just if p({x}) = 0.

4. Determine the p-measure on .r which has x -+ 0 V (x A 1) as distribution

function, and answer anew the question in Exercise 1 of 4.

00

n=1

supplemental condition that for every bounded set B E Rd, pn(B) -A 0 for only

finitely many n E N can be imposed if and only if y is a Borel measure.

I. Measure Theory

34

The following considerations can be more simply formulated if we introduce some

shorthand terminology. If 11 is a set and d9 a a-algebra in fl, the pair (12, mot) will

a measure p is defined on the a-algebra d, then the triple (Cl, d, la) arising from

the measurable space (12, a) is called a measure space (cf. Exercise 7 of 5). If p is

a p-measure, the measure space (Sl, .a(, pC) is called a probability space (p-space for

short). Correspondingly, one speaks of a a-finite measure space

p) if the

measure p is a-finite.

The measurable space (ltd, .4d) will henceforth be called the d-dimensional

Borel measurable space. The measure space (ltd, .mod, Ad) will correspondingly be

called the d-dimensional Lebesgue-Bored measure space abbreviated to L-B measure space).

The concept measurable space exhibits a formal analogy to that of topological

space. For a topological space is also a pair, consisting of a set and a system of its

subsets, namely, the open ones. In the sense of this analogy the next concept, that

of a measurable mapping, corresponds to the concept of continuity in topology.

be measurable spaces, and T : fl -, Cl'

a mapping of 11 into Cl'. T is called W-d'_measurable if

(7.1)

T-'(A') E.off

and speak of a measurable mapping of the first measurable space into the second.

Using the notation introduced in (1.5), (7.1) can be written as

(7.1')

T-'(,W') Cd.

2.

briefly put, Borel measurable. According to 6.4 the system /P' of all open subsets

for every 0 E Od'. The asserted measurability of T therefore follows from the next

theorem.

7.2 Theorem. Let (12, d) and (Q', W') be measurable spaces; further, let 9' be

a generator of 0'. A mapping T : Cl - 12' is measurable just if

(7.2)

T-1(E') E R1

35

Proof. The system .l' of all sets Q E 9(S2') for which T-1(Q') E d is a a-algebra

in 11'. Consequently, 0' C . ' holds just if 8' C 2' does. sZf' C .l' is equivalent

to the measurability of T, while 8' c 2' is equivalent to (7.2).

Concerning the composition of measurable mappings, what the earlier analogy

with topology suggests, prevails:

7.3 Theorem. If Ti

: (c', .s+'j) -> (Sl2, a/2) and T2 : (S22, saI2) -* (S13, s71/3) are

measurable mappings, then the composite mapping T2 o T, is sari-d -measurable.

Proof. The claim follows from the validity of the equation (T2 o T,)-1(A) =

Ti 1(TZ 1(A)) for all A E 9(SZ3), in particular, from its validity for all A E saf3.

Next consider a family of measurable spaces ((c,, sO ))iEI and a family (Ti)iE1 of

mappings Ti : S2 -> S2i of some fixed set S2 into the individual sets 11,. Obviously the

to which every Ti is 0-sfi-measurable. We designate this a-algebra o(T, : i E I),

that is, we define

(7.3)

iEI

and call it the a-algebra generated by the mappings Ti (and the measurable spaces

n}, we also use the notation

(Sti, r!)). In the case of the finite index set I

a set S1 is given, then a mapping T, : S2 -> S1, being d- s i(i -measurable is equivalent

to

(7.4)

a(T,)C0.

Cf. (7.1').

measurable spaces (Sli, s ). Further, let S : Slo -> fl be a mapping of a measurable

space (Slo, sto) into Sl. The mapping S is then solo-o(Ti : i E I) -measurable if and

only if each mapping Ti o S (i E I) is sago-d-measurable.

Proof. According to Theorem 7.3 the condition is necessary. The following considerations show that it is also sufficient. By (7.3) the system

8:=UT,'(s )

iE1

is a generator of o(TT : i E I). Each set E E 8 has the form E = Ti 1(Ai) for some

i E I, A, E .sad . Thus S-1(E) = (Ti o S) -1(Ai) E s to because of the hypothesized

measurability of Ti o S. From 7.2 therefore, S is sio-o(Ti : i E I)-measurable.

I. Measure Theory

36

7.5 Theorem. Let T : (I ,.d) -+ (0', 0') be a measurable mapping. Then for

every measure p on a+f,

(7.5)

defines a measure

p' on af'.

Proof. We only have to observe that for every sequence (An)nEN of pairwise disjoint

sets from al', (T-1(A'n))nEN is a sequence of pairwise disjoint sets from W, and

that

T-1(UA')=UT-'(Art).

nEN

nEN

7.6 Definition. In the situation described in 7.5, the measure p' is called the

image of p under the mapping T and is denoted by T(p).

Thus according to this definition

(7.5')

T(p)(A') := p(T-1(A'))

(7.6)

whenever we are in the situation of 7.3 and U is a measure on .aft: For every A E aft,

T := T2oT1 satisfies T -'(A) = Ti ' (T;" (A)), and T;" (A) E .aft. Therefore, setting

for all A E W3i showing that T(p) = p" and confirming (7.6).

measurable space and p := Ad the associated L-B measure. For every point a E Rd,

the translation mapping T. : Rd -a Rd is defined by

Ta(x) := a + x

x E Rd.

A' := Ta(Ad).

jd, Ta 1([b, c[) = (b - a, c - a[, whence A'([b, c[) = Ad([b - a, c - a[) = Ad([b, c[).

Both measures Ad and A' thus assign to every interval from . pd its d-dimensional

elementary content. According to 6.2 therefore Ad = A', that is,

(7.7)

Ta(Ad) = Ad

(7.8)

a+A=A+a:=Ta(A)={a+x:xEA)

37

for sets A E .9(Rd) and points a E Rd, then TQ(Ad)(A) = ad(-a+A) for arbitrary

A E Rd. Property (7.7) can therefore also be expressed as

(7.7')

4.

Ad(a + A) = Ad(A)

which assigns to the point x = (x1, ... , xd) E Rd the image point x' E Rd having

coordinates x; := ax;, and x' = xj for all j 0 i, a dilation of x. It satisfies

(7.9)

For, every open interval ]a, b[ C Rd has D.()-pre-image equal to ]a', b'[, where the

coordinates of a', b' except the ith are those of a, b, the ith being a-1 times those

of a, b if a > 0, and a-1 times those of b, a if of < 0. Hence

Ad((DR'i)-'Qa,b[)) = IaI-' Ad(]a,b[)

DQ'i(ad) and IaI-l Ad are therefore measures on .mod which coincide on all bounded

open intervals. Thanks to 6.4 such intervals constitute a generator of 9d, which

obviously has with respect to each of these measures all the properties of the

generator 8 in the uniqueness Theorem 5.4. From that theorem (7.9) therefore

follows.

5.

If we set Hr := Dr1) o ... o D(rd) for real r 96 0, we obtain the linear mapping

measures, it follows from (7.9) that

(7.10)

Hr(Ad) =

Iri-dad

this property is called the reflection-invariance of Ad.

Exercises.

1. For fl := R, let (Sl, dA, p) be the measure space of Example 2, 3. For SY := {0,1 }

T(w) := 1 if w is irrational. Show that T is d-d'-measurable and determine the

image measure T().

2. Show that for any sets fl, Sl', any mapping T : 11 - fl', and any system of sets

and .sad'

3. Let K be a compact subset of Rd with the property that the intersection HH(K)fl

Hr, (K) of every two homothetic images of K with 0 < r < r' < 1 is an L-B-null

set. (This property is enjoyed by every sphere S,,(0) of radius a > 0 and center

0 := (0,. .. , 0), that is, the set of x E Rd having euclidean distance a from 0.) Show

which is a compact set. Hence Ad (k) < +oo.)

I. Measure Theory

38

4. Let T:= {(x, y) E R2 : x2 + y2 = 1} denote the unit circle, that is, the sphere

S1 (0) in R2. Prove the existence of a finite non-zero measure v on the a-algebra

,4(T) : _ T n 0 which is invariant under all rotations of T. [Hint: Take for v an

image of Ac for an appropriate interval C C R.]

L-B measure Ad on ,Rd is, as was shown in Example 3 of the preceding section,

translation-invariant. Of the greatest significance is the fact that Ad is uniquely

determined by this invariance property, together with a simple normalization. For

the d'-dimensional unit cube, defined by

(8.1)

where 0 = (0, ... , 0) E Rd and 1 :_ (1, ... ,1) E Rd, 6.2 insures that

Ad(W) = 1.

(8.2)

converse of this also holds, and contains the aforementioned characterization of Ad

as a special case.

8.1 Theorem. Every measure on .mod which is translation-invariant, i.e., satisfies T. (p) = for every translation x - Tp (x) := a + x of Rd, and which assigns

finite measure

(8.3)

(8.4)

p = aAd.

Proof. Let an := n'l, the point in W' all of whose coordinates are 1/n. Then

W := [0,

a cube with

.u(Wn) = a/nd

In fact: The interval [0,1 [ E .01 is the union of the pairwise disjoint intervals

[!,-_![

(Bl,

... , Pd) E Rd whose coordinates all come from the set { v/n : v = 0,...,n- 1},

then

rEG.

39

a union of nd pairwise disjoint intervals. Because [r, r+an[ = T,.([0, a,,[) = Tr(Wn)

and because of the translation-invariance of , it follows from this representation

of W that a = nd(Wn).

A repetition of these considerations will show that

([a, b[) = aAd([a, b[)

holds for every interval [a, b[ E fd in which the points a, b have only rational

coordinates. Obviously in proving this we can assume that a 4 b, and due to

the translation-invariance of both measures we can further assume that a = 0.

Then b = (ml /n, ... , and/n) for appropriate ml,..., md, n E N, and therefore

[0, b[ is the union of the ml ... and pairwise disjoint intervals [r, r + an[ with

r = (Bl /n, , Pd/n) and Pi E 10,..., m; - 1) for each i. As before, this yields

m1 ...

=([0,b[), hence

((0,b[) = a

nl

...

nd = aAd([O, b[)

Now the set ee of all intervals [a, b[ E f d for which a, b have only rational

coordinates is an fl-stable system. The technique used in the proof of Theorem 6.4

shows that ac is, just like 5d, a generator of.. Because the measures p and aAd

coincide on ee and for n:= (n,. .. , n) with n E N the intervals [-n, n[ lie in 8e

and increase to Rd, our claim (8.4) follows from the uniqueness theorem 5.4.

For a = 1 we immediately get from 8.1.

8.2 Corollary. Lebesgue-Borel measure Ad is the only translation-invariant mea-

(8.2')

(W) = 1.

This corollary says that Ad is, in the theory of locally-compact groups, a Haar

measure on the additive group Rd. That theory provides an analogous non-zero

invariant measure on every locally compact abelian group G; it is unique to within

a positive scalar factor and is called Haar measure on G. The reader interested in

its theory should consult NACHBIN [1965]. (Cf. also Exercise 4 of 7 and Exercise 8

of 17.)

The conclusion of the theorem and its corollary remain valid if in the normalization (8.2) and (8.2') the unit cube W is replaced by its open interior ]0,1[ or

its compact closure [0,1]. This is immediate from (6.7). However, if p(W) = +oo

is allowed, p need not be a multiple of Ad. See HENLE and WAGON [1983].

Example. 1. Besides the DO(') of Example 4, 7 there is another basic class of linear

mappings in Rd, those that skew one coordinate by means of another. Specifically,

for each i, k E { 1, ... , d} with i -A k we define

S(i,k)(x 1,..., ad) :_ (xl,...,Xi-l,xi +2k,Xi+1,.... 2d).

40

I. Measure Theory

may therefore be formed. We want to show that Ad is also invariant under these

mappings, that is, that

S(i,k)(Ad) = Ad

Fix such a pair (i, k) and write simply S for S(i,k) Since this is a linear mapping,

S(Ad) is a translation-invariant measure on 0, so (8.5) will follow from 8.2 if we

succeed in showing that S(Ad)(W) = 1, that is, Ad(S-1(W)) = 1. In view of (7.9)

and the equality S' = D(kl o S o D(ki, it suffices to show instead that

Ad(S(W)) = 1.

(8.5')

Let a denote the vector in Rd whose only non-zero coordinate is the ith one, it

being -1. Introduce

Wit :={(xl,...,xd):0<x,<1for j 0i,I+xk<xi<2}.

Notice that

Ta(W") _ { (xl, ... , xd) : 0 < xj < I for j 96 i., xk < xi < 1} .

Clearly

(8.6)

W' is the intersection of W with the open set {(X1, ... , xd) E Rd : xi < xk }, so

W' is a Borel set. Similarly Ta(W") is the intersection of W with the closed set

{(xl, ... , xd) E Rd : xk < xi}, so it is a Borel set. Thus W", its preimage under Ta,

is also a Borel set. Since S is a homeomorphism, S(W) is a Borel set. Next notice

that

(8.7)

For the conditions on the ith coordinate that define each set in (8.7) are obviously

incompatible with those that define the other two sets. Moreover,

(8.8)

Here the inclusion "C" is obvious from the coordinate inequalities defining the

sets. A typical point x of D(i)(W) has j`h coordinate xx E [0,1[ if j 96 i and ith

coordinate t E [0, 2[ = [0, xk[ U [xk,1 +xk[ u [1 +xk, 2[. If t lies in the first (third)

interval, then x E W' (x E W"). Otherwise, xi := t - xk E 10, 1[, and

x = (XI.... , xi-1, t, xi+1, .... xd) = (x1, ... , xi-1, xi + xk, xi+1, ... , xd) E S(W ).

41

This confirms (8.8). Combining all that we have learned gives the desired (8.5') as

follows:

=Ad W)

Ad(W"i)

by (7.9)

= Ad(W) +,d(S(W)) by (8.6)

= 1 + Ad(S(W)) by (8.2).

One usually thinks of the space Rd as equipped with the euclidean scalarproduct

d

(x, y) E cn,

i=1

P(x,y):=

y :=

(x-y,x-y)

where x

Every mapping T : Rd -a Rd which

leaves this metric invariant, that is, satisfies

(8.9)

P(T(x),T(y)) = Lo(x,y)

measurable.

Suppose in addition that T fixes 0, that is,

T(0) = 0.

Using the linearity of (,) in each of its positions, we get

_ (T(x), T(x)) - 2 (T(x), T(y)) + (T(y), T(y))

p2(x, y) = e2(x, 0) - 2 (T(x),T(y)) + p2 (y, 0) .

Replacing T with the identity mapping here shows that (8.9) may be supplemented with

(8.9')

(T(x),T(y)) = (x,y)

properties of (,) once more we expand

(*)

Equation (8.9') allows T to be replaced by the identity mapping in every such

42

1. Measure Theory

expression. Upon doing so and re-assembling the terms, we get back a single expression like (*) but with the identity mapping in place of T. That is, we get 0. In

other words,

T(Ax + y) = AT(x) + T(y),

holding for all A E It, x, y E Rd. This says that T is a linear mapping. It is

immediate from (8.9) that T is then injective. The dimension of T(Rd) C Rd is

therefore d, so T(Rd) = Rd, and T is surjective. A motion T that is also a linear

mapping, and the preceding deliberations show that this is equivalent to T(0) = 0,

is called an orthogonal transformation.

T_a o T is a motion that fixes 0. Therefore by the above, every motion T is

a composite Ta o U of a translation and an orthogonal transformation, and is

consequently a bijection of ltd. From this and (8.9) it is clear that the mapping

inverse to a motion is itself a motion, and that the set of motions is a group under

composition, the motion group Mot(Itd) of

Rd.

The translation-invariance of All derived in 8.1 not only characterizes L-B measure but renders excellent service in the derivation of further invariance properties.

We begin with the motion-invariance of Ad, that is, with the proof that

(8.10)

T(Ad) = Ad

case.

Proof. Let a motion T of lRd, about which we initially assume that T(O) = 0, be

given. Thus T is an orthogonal, linear transformation. Via the following considerations, we will quickly convince ourselves that T(Ad) is a translation-invariant

measure on 4d: Denoting as before by T,, the translation x H x + c, for each

e E ltd, we consider any a E Rd, set b:= T`(a), and observe that

(8.11)

T. oT =T oTb.

For every x E Rd, T. oT(x) = T(x) +a = T(x)+T(b) = T(x+b) = ToTb(x), confirming (8.11). From this and the translation-invariance of Ad we get T.(T(Ad)) =

T(Tb(Ad)) = T(Ad). As a E ltd is arbitrary, this says that it:= T(Ad) is a translation-invariant measure on.*'. For the unit cube W = (0,1( we have a :=.u(W) =

Ad(T-I(W)) < +oo by (6.2), since T is an isometry and therefore along with W

the set T(W) is also bounded. Now Theorem 8.1 comes into action and guar-

this end we look at the compact ball K := {x E ltd : p(0, x) < 1} of radius 1 and

center 0. Since T and T- i are orthogonal transformations, they fix 0 and leave

43

distances invariant (8.9). Hence T-I(K) = K, and from T(ad) = aAd follows

Ad(K) = Ad(T-I (K)) = T(Ad)(K) = aad(K)

From this follows the desired a = 1, because on the one hand Ad(K) < +oo

by (6.2) and on the other hand Ad(K) > 0 because K contains a non-empty

interval I E jd, namely I := [-t, t[ with t := (d-1/2, _ .. , d-1/2)_ [In Exercise 6

of 23 we will compute Ad(K) explicitly.]

getting a motion that fixes 0, for which Ad = S(Ad) by what was first proved. It

follows finally from transitivity and T = TaoS that T(Ad) = T'(S(Ad)) =To(ad) _

Ad. Thus the theorem is proved.

Since with every motion T of Rd its inverse T-' is also one, the motioninvariance can also be recorded in the following form: For every motion T of Rd

and every Borel set A E pfd

(8.12)

Ad(T(A)) _.d(A)

In this form Theorem 8.3 just says that any two congruent Borel sets in Rd have

the same d-dimensional Lebesgue measure. This however is the measure-theoretic

formulation and refinement of the elementary geometric principle (A) enunciated

in the introduction to the chapter. Via it L-B measure is seen in the final analysis

to be a concept from euclidean geometry.

Examples. 2. Every hyperplane H C Rd is an L-B-nullset. This follows from Example 1 of 6 and the fact that there is a motion T which transforms a hyperplane

of the kind considered in that example, say the hyperplane with equation td = 0,

into H.

Every closed or open box (meaning a parallelepiped with pairwise orthogonal

edges) Q C Rd whose edge-lengths are 11, ... , ld has Lebesgue measure Ad(Q) _

11 ... 1d. This follows analogously from Example 3 of 6.

3.

into itself - and then too with respect to arbitrary affine mappings - can also be

clarified using a slight modification of the preceding method of proof.

Linear mappings T : Rd -a Rd are just those that with respect to the canonical

basis in Rd (or indeed any basis) can be represented in the form T(x) = Cx, with

C a d x d matrix and x E Rd interpreted as a column vector. The determinant

of T, in symbols det T, is by definition that of C (and is independent of the choice

of basis).

We will restrict ourselves to the case where T is non-singular, that is, det T 34 0,

and consequently bijective. These are elements of the group GL(d, R) known as the

general linear group. The mappings T E GL(d, R) with det T = 1 form a subgroup

of GL(d, R), the special linear group SL(d, R). It is in fact the commutator subgroup

of GL(d, R) and this fact is used by DIEROLF and SCHMIDT [1998] to give an

44

I. Measure Theory

alternative proof of our next theorem. (The behavior of Ad with respect to linear

mappings T with det T = 0 is elucidated in Exercise 2 below.)

(8.13)

T (Ad)

1 T) Ad

I det

or, equivalently

Ad(T(A)) = IdetTIAd(A)

(8.14)

Proof. Consider first the elementary mappings Dam) defined in Example 4 of 7

and S(") defined in Example 1 of this section. It is obvious that det D') = a

1. Therefore (7.9) and (8.5) confirm (8.13) in the special case that

and det

T lies in the set

(8.15)

{0}, it follows from this and (7.6) that in fact (8.13) holds for all T in the subgroup

of GL(d, R) generated by the set (8.15). The proof of Theorem 8.4 is therefore

completed by recalling the key fact, proved in every linear algebra text, that this

subgroup is the whole group GL(d, R). Actually what is usually proved (see, e.g.,

BIRKHOFF and MACLANE [19651, p. 217) is that GL(d, R) is generated by (8.15)

together with the transformations j(',k) which send every vector x = (xl,... , xd)

to the vector whose coordinates are those of x but with xf and xk interchanged.

However, every such transformation is already in the group generated by (8.15), for

it is routine to confirm, by watching the behavior of the ith and the kth coordinates

j(',k) = D(i o S(lc) o D(k) o SO-0 o D(ki o S(k,*).

Theorems 8.3 and 8.4 taken together confirm an elementary fact from linear

algebra, namely that det T = 1 for every orthogonal transformation T. And this

means that 8.3 is contained in the following immediate consequence of 8.4:

GL(d, R) with I det T j = 1, in particular, under mappings T E SL(d, R).

Remark. 1. As is known from the differential calculus in Rd, a Cl-dif'eomorphism

V : G -, G' between two open subsets C and G' of Rd is approorimable near each

point x E G by a mapping Tx E GL(d, R), namely by the derivative Ti := DV(x). It

should now not come as a surprise that the following transformation, involving the

density concept from 17.2, relates the image of L-B measure on G to L-.B measure

on G':

(8.16)

,P (Ao)

45

or equivalently

(8.16')

IdetDcpIAd .

We will not go into this any further, but refer the reader to the textbook literature,

e.g., STROMBERG [1981], or to VARBERG [1971].

of Rd. A different approach is indicated in the prologue to Theorem 26.6.

Proof. Let Qd denote the set of points in Rd each of whose d coordinates is rational.

This is a subgroup of the additive group Rd, so congruence x - y of points x, y E Rd

modulo Qd is an equivalence relation; it is defined by x - y if and only if x-y E Qd.

The space Rd decomposes into disjoint equivalence classes, each a set x+Qd with

Since to every real number 77 corresponds an integer n such that n < r) < n + 1,

that is, such that q - n E [0,1 [, every equivalence class contains a point x E [0,1 [.

Consequently, there is a set K C [0, 1[ which contains exactly one element from

each equivalence class. (On the role of the Axiom of Choice from set theory in this

existence claim see SOLOVAY [1970] and HALMOS [1974].) We have then

(8.17)

Rd =

U (k + Qd) = U (y + K)

kEK

VEQd

and

(8.18)

t 1 0 y2

y1, y2 E Qd,

(y1 + K) fl (y2 + K) = 0 .

(Otherwise there are k, k' E K with y1 + k = y2 + k', that is, with k - k', which

by definition of K means that k = k' and consequently also y1 = y2.) Let us now

suppose that K E .mod. Since Q and therewith Qd is countable, it follows from

(8.17), (8.18) and the o-additivity of Ad that

(8.19)

yEQd

Ad(y + K) = Ad(K)

(8.20)

for all y E Qd

yE[o,l[ Qd

2 being the point in Rd each of whose coordinates equals 2. From this fact and

(8.18) follows, again via Q-additivity of Ad, that

yE io,l [nQd

46

I. Measure Theory

But then (8.20) means that we must have Ad(K) = 0, contradicting (8.19). The

assumption K E Yd is what led to this contradiction, so we conclude that K is,

after all, not a Borel set.

The following remarks serve to round out the foregoing and to provide a glimpse

of some closely related issues.

chapter, namely the problem of determining a d-dimensional volume for as large

a class of subsets of Rd as possible, is quite satisfactorily solved by the LebesgueBorel measure Ad, especially in view of its motion-invariance. More satisfactory

still for a reader without preconceived notions would be a proof of the existence

of a measure to on the whole power set 9(Rd) which assigns mass 1 to the unit

cube [0,1 [ and is invariant under all motions of Rd. According to Corollary 8.2 such

a p would have to be an extension of the Lebesgue-Borel measure Ad. But it was

shown by F. Hausdorff (1868-1942), cf. HAUSDORFF [1914J, pp. 401-402, that no

such measure p on .9(Rd) exists, for any dimension d > 1; in fact, there is not even

of Rd. For this result the reader is referred to the exposition in AUMANN [1969],

pp. 275-276, which further exploits the ideas in the preceding proof of Theorem 8.6

and will consequently be mathematically accessible to him.

HAUSDORFF [1914], p. 469 further showed that the content-problem for bounded

is only required to be finitely additive, and d > 3. The reader is referred for this to

the presentation by STROMBERG [1979] or WAGON [1985] (in each of which a cen-

and to the subsequent investigations of VON NEUMANN [1929] that introduced the

idea of amenable groups.

S. Banach (1892-1945), cf. BANACH [1923], discovered that the finitely-additive

But such an rt is not uniquely determined by the normalization rt([0,1[) = 1 and

for this very reason its further study has not seemed worthwhile. A remarkable

generalization of Banach's result will be found on pp. 242-245 of HEwrrr and

Ross [1979].

isotoneity every subset of A that belongs to W is itself ft-null; nevertheless, not

every subset of A need belong to d. This phenomenon even occurs with the LB measure, as the second part of Remark 4 will show. If .i contains all subsets of

each p-null set, then p is called a complete measure.

Exercise 7 of 5 describes how an arbitrary measure p can be extended in

a natural way to a complete measure by passage to its so-called completion po.

The completion of the Lebesgue-Borel measure in Rd is called Lebesgue measure

in Rd; the sets in the a-algebra on which it is defined are called Lebesgue measurable

and those of them having measure zero are called Lebesgue-null sets in Rd.

47

In passing from Borel sets to Lebesgue measurable sets the important property

of the former that they are determined only by the topology of Rd is lost. Because

d is the defining or-algebra for so many other important measures (for d = 1

Theorem 6.5 already attests to this), we will not dwell in detail on the transition

from Lebesgue-Borel to Lebesgue measure; only the former will be employed in

the sequel.

4. There exists a Borel set B E 0 whose image 7r1(B) under the first projection

map irl : R2 -* R (which sends every point (xi, x2) E R2 to its first coordinate xi)

is not a Borel subset of R. A proof of this will be found in SRIVASTAVA [1998],

p. 130. Such a B can even be found which is G6-set, that is, the intersection of

countably many open subsets of R2; see p. 36 of CHRISTENSEN [1974]. In particular,

the continuous image of a Borel set need not be a Borel set. The system of all sets

7r, (B) with B E 92 comprises rather the so-called Souslin or analytic subsets of R.

See SRIVASTAVA [1998] and CHOQUET [1969].

subset of the A2-null set R x {0}.

5. Examples 4 and 5 of 7 as well as Theorem 8.4 illustrate that the L-B measure Ad is not invariant with respect to all homeomorphisms T : Rd -3 Rd of Rd

with itself. For such a homeomorphism T however, p := T(ad) is always a mea-

sure on .mod with the following properties: (i) p(K) < +oo for every compact

K C Rd; (ii) p({x}) = 0 for every x E Rd; (iii) u(U) > 0 for every non-empty open

U C Rd; (iv) p(Rd) _ +o0. OXTOBY and ULAM [1941] showed that, conversely,

every measure p on 0 enjoying properties (i)-(iv) has the form it = T(ad) for

some homeomorphism T : Rd

Exercises.

1. Let T : (fl, .ad) -4 (fl', d') be a measurable mapping, p a measure on the or-algebra 0, and p' := T (p) its image under this mapping. (1l, .Wo, po) and (S2', 00, IA')

will denote the completions of these measure spaces (Exercise 7, 5). Show that the

mapping T is also do-.olo-measurable and that T(po) = o. From this it follows

that Lebesgue measure in Rd is also motion-invariant.

2. Let T be a linear mapping of Rd into itself with det T = 0. Show that for every

A E .9d, T(A), although it may fail to be a Borel set (as noted in Remark 4) is

at least a Lebesgue-null set, thus a subset of an L-B-null set, namely the linear

subspace T(Rd) of Rd. In this sense equality (8.14) retains its validity for linear

transformation T : Rd -+ Rd with det T = 0, i.e., (8.14) is valid for every linear

transformation T of Rd into itself.

3. Show that the set K constructed in the proof of Theorem 8.6 is not even

Lebesgue measurable.

4. In the section entitled "Fallacies, Flaws and Flimflam", p. 39, vol. 22, no. 1

(1991) of the College Mathematics Journal the following short "proof" of Theorem 8.6 is offered: Suppose that A1(X) is defined for every subset X of 10, 11. By

48

1. Measure Theory

6'([O.1)), A' (X) % X}. It is a subset of 10,1] and upon testing the number A '(B)

for membership in B we find that the statements A'(B) E B and Al(B) 0 B are

equivalent, a contradiction. What is the error in this reasoning, or is it perhaps

a legitimate proof of Theorem 8.6?

Chapter II

Integration Theory

function on S2 from as large a class as possible an integral, that is, a "mean value"

measurability, which is fundamental, this problem will be resolved step by step

in 10-12. The later sections of this chapter are devoted to erecting the theory

and exploring the applications of the integration procedure thus defined.

On the number line R we have defined the a-algebra 91 of Borel sets. If we

compactify R to R in the customary way by adjoining the "ideal" points -oo

and +oo, the sets A C R for which AnR E -41 are called Borel in R. Constructively,

the Borel sets in R are precisely all sets B, B U {-oo }, B U {+oo}, B U { -oo, +oo}

with B E .61. The system 41 of these sets is obviously a a-algebra in IIt whose

trace in R is 0:

(9.1)

R n R1 = -41 .

f : S2 -+ R is defined. Such functions will henceforth be called (sad-)measurable numerical functions on Q. Real functions f : S2 -+ R are special numerical functions;

in view of (9.1) the af-. '-measurability of such a function is just the same as its

sat-RI-measurability.

(9.2)

1A(w) := { 0

if w E A

ifwEi2\A

This real function on S2 is d-measurable just if A E 0, because for every B C R

the set (1A)-1(B) must be one of the four fl, A, SZ \ A, 0.

Thus sets and their indicator functions correspond biuniquely. The following

calculation rules, in which A, B C 0 and A; C S2 for i E I, are often used, and

their validity is immediately perceived:

ACB

1A<1B;

50

1U,eIAc = SUP IA, ,

111,e,A,

inf IA, .

2. For an arbitrary subset Q of Rd consider the measurable space (Q, Qn9d). The

corresponding measurable numerical functions on Q will be called Borel measurable

is such a Borel measurable function. Indeed, for every a E R the set Q. of all

x E Q with f (x) > a is a relatively closed subset of Q, that is, of the form Q fl F

for a set F which is closed in Rd. (Such an F would be, e.g., the closure of Q.

in Rd.) Since F E .mod, this intersection lies in the trace a-algebra Q fl .mod. The

claim therefore follows from the next theorem. (Cf. also Example 2 of 7.)

9.1 Theorem. A numerical function f on St is sad-measurable if and only if

forallaER.

{wEfi: f(w)>a}EAf

(9.3)

Proof. According to 7.2 we have only to show that the system 7 of all inter91

vals [a, +oo] with a E R generates the a-algebra Y in K. Since [a, +oo] E

.1 for the a-algebra 22 generated

for every a E R, we have at any rate that al C

by d. Because [a, J3[ _ [a, +oo( \ [/3, +oo[, the intervals (a, /3[ with a,,3 E R and

a < /3 all lie in R f :N. From 6.1 therefore follows that M1 C R ft :N. Now the

single-element sets

nEN

nEN

both lie in :9. Consequently, along with each Q E :N, the set R fl Q is also in :9.

In other words, R n

C :9 and therewith 91 C .2. This fact together with

(-oo), {+oo} E and the remarks preceding (9.1) make it clear that 91 C :N,

so that finally we have _'l = .1.

We now introduce some popular short-hand notation: For numerical functions

f and g on

(9.4)

and the sets (f < g}, (f = g}, (f # g}, etc., are defined analogously. Condition (9.3) in this language reads: (f > a} E ii for all a E R.

That we can just as well employ the sets If > a}, f f < a}, etc., in the

preceding characterization is the content of

9.2 Theorem. Each of the following conditions is equivalent to the d-measunability of the numerical function f on St:

(a)

if >a}Ed

(b)

if >a}E01

forallaER;

(c)

If <a}ES/

(d)

{f <a} E.0'

51

forallaER;

forallaER.

Prof. All that has to be shown is the equivalence of these four assertions, and

that results from the validity, for all a E R, of the equations

nEN

If >a}=C{f <a}.

nEN

It may be noted that the four related assertions in which quantification is over

all a E R are also equivalent.

A plethora of assertions about calculating with measurable numerical functions

now presents itself.

9.3 Theorem. For any 0-measurable functions f,g : fl - Ilt the sets If < g},

If < g}, If = g} and If & g} lie in W.

Prof. Because the set Q of rational numbers is countable, the claims follow (with

the help of 9.2) from the equalities

FEQ

{fog}=C{f=g}.

9.4 Theorem. Along with f, g : 11 -> R, the function f g and, if everywhere

defined, the functions f + g and f - g are also d-measurable.

Prof. First of all, along with g, a + rg is measurable for all a, ,r E R. This follows

from 9.2 because {o + rg > a} is {g > (a - a)/r} if -r > 0 and is {g < (a - a)/r}

if r < 0, the case r = 0 being trivial. This preliminary remark takes care of the

passage from g to -g and reduces the case f - g to the case f + g. Furthermore,

together with the remark following 9.2 and the equalities

{f+g>-a}={f>a-g}

(aER)

In investigating f g we will first suppose both functions are real-valued. Then

the identity

4

a < 0 and

reduces the product question

to the case g = f. But (f2 > la)if is

is If > V a-1 U { f < - f } if a > 0, which shows that the measurability of f2

1 1. Integration Theory

52

{ fg = -oo}, 123 := { fg = 0} and 124 := C(121 U U2 U f13). Using 9.3 and the

measurability of constant functions we check that these four pairwise disjoint sets

lie in al'. The restrictions f', g' of f, g to 124 are U4 nd-measurable and real-valued.

The product f'g' is therefore f24 fl at-measurable. From this follows immediately

the ti-measurability of f g. 0

A useful special case of 9.4, isolated already in the course of its proof, is that of

9.5 Theorem. Let (fn)nEN be a sequence of ti-measurable numerical functions

on ft. Then each of the following numerical functions is i-measurable:

inf f n ,

nEN

nEN

nEN

lim sup f .

nEN

nEN

Due to 9.4, inf fn = - sup(- fn) is then also measurable. By definition we have

lim inf fn = sup inf fn ,

ra- 00

nEN m>n

n-,oc

nEN m>n

fl,..., fn on ft, their lower and upper envelopes

fl A...Af,

and

fl V...Vfn

are .W-measurable.

fn, fn .... 0

pointwise throughout 12, that is, if lim fn(w) exists on R for every w E 52, then

the limit function lim fn is 0-measurable.

n-+m

lim f = limn-+00

inf f" = liznn-400

sup fn

n-+oo

To every numerical function f : ft -4 R three other functions on U are associated (cf. the section "Notations"): the absolute value

(9.5)

!fl := f V (-f),

53

f+ := f V 0,

(9.6)

(9.7)

Thus f+ (w) = f (w) in case f (w) > 0 and f+(w) = 0 in case f (w) < 0. Observe

that not only f + > 0, but also f - > 0. The important equalities

(9.8)

f=f+-fand Ifl=f++f-

are immediate.

From 9.4 and 9.6 we effortlessly infer our concluding result:

its positive part f + and its negative part f - are each d-measurable. Furthermore,

along with f, its absolute value If I is always saf -measurable.

Exercises.

1. Let (Q, a() be a measurable space, D a dense subset of llt (e.g., Q). Show that

a numerical function f on fl is af-measurable if the analog for all a E D of one of

(a)-(d) in Theorem 9.2 holds.

2. Let (fn)nEN be a sequence of as -measurable numerical functions on a measurable

space (0,W). Why is the set of all w E f2 for which the sequence (fn(w))fEN

converges in R, and that for which it converges in R, xf-measurable?

3. The real function f : Sl -> R is measurable on the measurable space (0, sd). Are

exp f and sin f , that is, the function w H of (1) and w - sin f (w), 0-measurable?

4. With the aid of Theorem 9.1 show that the real function defined on R2 by

(x, y) +-> max{x, y} is 6#2-measurable. Deduce from this another proof of Corollary 9.6.

always a consequence of the measurability of if I.

Our path to the integral proceeds via the set

E = E(1,0)

of sag-elementary functions on ft, which we define as follows:

a non-negative step function) if it is non-negative, sad-measurable, and assumes

only finitely many different values.

54

If {a1, ... , a,, } is the set of distinct values of a function u E E, then the sets

Ai := u-1(a; ), i = 1,..., n, are pairwise disjoint, and as pre-images of the Borel

sets {ai} they each lie in d. Using the notation for indicator functions introduced

in (9.2), we have then

n

(10.1)

u = E ailA,.

i=1

and we define u via (10.1), then u is an elementary function, because by 9.4 it is

measurable. Thus E is the set of all functions having a representation of the form

(10.1), with n E N, coefficients ai in It+ and sets Ai from W.

From Definition 10.1 and the results of 9 the following further properties of E

are immediate:

(10.2)

uVv, uAvEE.

au, u+v,

14,11 EE,aER+

The derivation of (10.1) shows moreover that every function u E E has a rep-

resentation of the form (10.1) in which the sets Ai E d are pairwise disjoint

and cover Il, that is, constitute a decomposition of 0. Such representations will

henceforth be called normal representations of u.

It is easy to see that generally functions u E E can have several different normal

representations. However, for u 96 0 there is only one representation in which the

coefficients are the distinct non-zero values taken by u. Anyway, for purposes of

integration non-uniqueness of normal representations is not an issue, as the next

lemma shows.

10.2 Lemma. Let (it, d,,u) be a measure space. For any normal representations

m

q

=fl,1B'

j=1

i=1

m

tol

L,Q1(Bj)

j=1

Proof. From

i1=AlU...UAm=B1U...UBn

follows

n

j=1

i=1

55

in which the sets Ai n Bj are pairwise disjoint. The finite additivity of A therefore

supplies the equalities

n

ns

j=1

i=1

the first for all i E { 1, ... , m}, the second for all j E

After further

summation

i=1

i,j

j=1

From these two equalities the claim follows when we observe the following fact:

pair (i, j) such that Ai n Aj 0 0, in particular, for every pair (i, j) such that

p(AinAj)j4 0. o

Thanks to the preceding our next definition is sound:

(10.3)

Judo :_

i=1

U

it

= E ailA,

i=1

Thus u H f u dp defines a mapping from E into R+. Clearly it is a mapping in R+ just if p is finite. The most important properties of this mapping are

summarized in:

r

(10.5)

for all A E 0;

J IA dpi = p(A)

(10.4)

(10.6)

f(u+v)dp=J udp+Jv dp

(10.7)

u<v

for all u, v E E.

Properties (10.4) and (10.5) are immediate from 10.3. The next property in the

list is confirmed thus: Start with normal representations

in

i=1

j=1

56

1 1. Integration Theory

m

j=1

i=1

and because the sets Ai n Bj are pairwise disjoint, these equations entail

m

1A, = E 1A,nB,

and

1A,nB1

1Bf

j=1

i=1

the first for all i E { 1, ... , m}, the second for all j E { 1, ... , n}, from which in turn

new normal representations

ij

ij

ij

u dii =

aA(A; n Bj)fvdiz=>/3iIL(AinBi).

ij

ij

J(u+v)dii=J(ai+Qj)p(AinBj)

ij

These deliberations have shown that every u, v E E admit normal representations

k

u=

E,yi1c,

and v = Ebilc,

i=1

i=1

involving the same sets C1, ... , Ck E d. In case u < v, it then follows that ryi < bi

for each i E { 1, ... , k} such that Ci 34 0, and from this we have (10.7).

n

i=1

u E E with coefficients ai E R.4. and sets Ai E .op, but not necessarily a normal

representation. From (10.4)-(10.6) it follows that

n

Jud =

aiu(Ai)

i=1

For normal representations this equation served as the definition of f u du. Its

validity without this restriction, which we now perceive, indicates that the introduction of normal representations was simply a technique of proof.

Exercises.

1. Let (S2,

p) be a measure space and (Sl, sVo, po) its completion. Prove that

for every moo-elementary function u there are d-elementary functions u1i u2 such

that u1 < u < u2 and ji({u1 # u2}) = 0. For every such pair, f u1 dp = f u2 du =

f udpo. (Cf. Exercise 7(d) in 5.)

57

2. The function 1Q on IIt has long been known as Dirichlet's jump function. Is it

a -41-elementary function?

Further progress hinges on the following result:

11.1 Theorem. For every isotone sequence (un)neN of functions from E and

every u E E

(11.1)

JUd/L<sUPfUndIL.

u < sup un

nEN

nEN

m

U = 1aj1Aj

j=1

of u with sets Aj E af and coefficients aj E R+, and let a be any number in 10,1[.

Then because of measurability the set

B,,:={un>au}

lies in 0 for each n E N. From this definition follows on the one hand that un >

au1B and consequently by (10.5) and (10.7)

undp>a J

for every n E N. Since the sequence (un) is isotone and u < supun, it follows on

the other hand that Bn T St, and so Aj n Bn T Aj for each j E {1, ... , m} and

consequently, because p is continuous from below

m

na

r

f

j=1=1

sup

nEN

un d > sup a J u 1 B dp

nEN

= a n-oo

lim J u1s dp = a

ud .

where the first step follows from f un d > a f ul B d. Since a E 10,1 [ is arbitrary

here, the claim follows.

58

1 1. Integration Theory

sup un = sup vn

(11.2)

nEN

nEN J

nEN

nEN J

Proof. For every m E N, vn, < supun and u,,, < sup vn, from which inequalities

n

sup J un dp and

J vn, dp < nEN

nEN

J vn du.

Claim (11.2) is immediate from the validity of these inequalities for all m E N.

Now let

E- = E'(0,a)

(11.3)

isotone sequence

sup un = f .

nEN

sup J U. dp E Ft+

nEN

depends only on f and not on the special representating sequence (u,,) of f used

to compute it. We're in a position similar to that of 10.3. Therefore we make the

f = supun of an isotone sequence (un)nEN for elementary functions. Then the

number

(11.4)

fdp:=sup J undpEk+,

neN

(p-)integrnl of f (over f1).

sequence un := u. Moreover, using this sequence (as we may) in (11.4), we see

that in case f = u E E, that definition of the integral coincides with the earlier

one. The mapping f i-+ f f dp initially defined only on E is thereby extended to

a mapping of E' into It+. That in this extension process the known properties of

the integral persist, will now be confirmed.

The analogs of (10.2) and of (10.5)-(10.7) are

(11.5)

(11.6)

f,gEE',aElt+

(11.7)

J(f+9)dii=Jfd+fgdi.i

Jfd/iJgdlz

for allf,gEE'.

f <g

(11.8)

59

Proof. From the definition of E* and from (10.2) follows (11.5). One only has

to note that sup un = lim un for isotone sequences (un). The earlier proofs carry

n

over almost verbatim to (11.6) and (11.7). We'll do (11.7) and leave (11.6) for the

n

elementary

isotone sequences of

n d and

d = sup

n

g d = supvn d ,

n

jI

n

sup J (un + v,,) d = l nm

(Jun d + J vn dIL)

r

.

J f d., +Jgd

If in addition we assume that f < g, then urn < sup vn for every m E N.

n

Properties (11.6)-(11.8) say that the integral is a positively-homogeneous, additive and isotope function on E*.

Finally, it turns out that Theorem 11.1, which is so critical for our program, is

valid also in E. This is the content of a theorem which goes back to B. LEVI (18751961):

11.4 Theorem (on monotone convergence). For every isotone sequence (fn)nEN

of functions from E'

nEN

nEN

nEN

Proof. Set f := sup fn. It suffices to find an isotone sequence (vn) of functions

n

from E which satisfy

sup vn = f and vn < fn

for every n E N.

nEN

For then f E E' and f f d = sup f vn d by definition of the integral in E', while

f vn d < f fn d by (11.8). Consequently, f f d < sup f fn d and therewith the

equality claimed by the theorem follows, since the other inequality sup f fn dp <

n

f f d is immediate from (11.8) and the fact that fn < f for all n.

60

The sequence (vn) is gotten thus: For each fn there is by definition an isotone

sequence (umn)mEN of functions from E with sup urn = fn According to (10.2)

mEN

the functions

Cm:=um1 V...Vumm

be in E (for each m E N). The isotoneity of each sequence (umn)mEN clearly entails

that of the sequence (Vm)mEN. From the isotoneity of (fm) n,EN follows v n < fm

for all m, and thus sup um < f . For all m > n we have u,nn < vm and so

m

for every n E N.

mEN

mEN

Together with the preceding this gives finally sup vm = f . Therefore (vn) is a sen

00

00

fn E E'

nn=1

00

and J(f)d$t=JfdIL.

n=1

n=1

Proof. Apply 11.4 to the sequence U t + ... + fn)nEN and recall (11.7). 0

In analogy with the device of writing An T A, An 4. A for sets, introduced in 3,

we will from now on write

fn t f, fn 4.p

for numerical function f, 11, f2,... on the set S2 to signal that fn(w) T f (w) for

every w E S2, or fn(w) 4. f (w) for every w E Q; that is, the notations mean (fn) is

an isotone sequence and f is its upper envelope, or (fn) is an antitone sequence

and f is its lower envelope. Obviously for a sequence (An) of subsets of 12

ABTA a

1 A T lA

and An J. A q 1A 4.'A

Examples. 1. Let (S2, 0) be an arbitrary measurable space and c,, the measure

defined on d by unit mass at the point w E S2 (cf. Example 5 in 3). Then

f fde.=f(w)

for every f E E. Due to 11.3 we can at once assume that f E E.

If, however, f = E ai 1 A, is a normal representation of f, then w lies in exactly

one of the sets A;, say in Aj0. Then f f den, = E ajc,,(Aj) = a;. = f (w).

Consider 0 := N and .d :_ ,90(N). The o-additivity requirement means that

a measure p on V is uniquely defined whenever numbers do = p({n}) E R+ are

specified for each n E N. E` consists of all numerical function f > 0 on Q. Indeed,

one sets fn := f (n) It,,) for each n E N and then fn E E`, and in case f (n) < +oo,

2.

61

fn E E. Since

00

f=I:fn,

n=1

f du =

J

3.

f (n)pn .

n=1

00

n=1

fidp

->fidpn.

This is evidently true of indicator functions f, so the claimed equality holds for

all elementary functions. Transition to an arbitrary f E E' is accomplished thus:

Let (un) be a sequence in E with un t f. Then the double sequence

amn = >2

i=1

,,n

*n E N)

dpi

satisfies

mEN nEN

nEN mEN

(= sup amn) ,

m.nEN

workable characterization of it. A surprisingly simple one exists which brings us

back to the measurability concept in 9.

an 11.

in E', by 9.5. Suppose conversely that f is a non-negative, measurable, numerical

function on 11. The sets

A3n

I {If

}, n) n

if < (

-E 1)2-n},

i = n, 1 ..., n2n - 1

all lie in W, and for each fixed n E N the n211 sets are a decomposition of I.

Consequently, for each n

n2n

i2-n1A,,,

un

i=1

62

I l. Integration Theory

is a normal representation of a function in E. On the set Air the function un+1 can

1)2-"-1 if i E {O... , n2" -1}, and only

(2i)2'n-1 and (2i +

take only the values

values > n when i = n2". Therefore the sequence (un) is isotone. It satisfies

sup un = f , because for any w E 11 either f (w) = +oo, in which case un (w) = n

n

for every n, or f (w) < +oo, in which case u. (w) < f(w) < un(w) + 2'n for all

Example. 4. Let fi be an uncountable set, dd the a-algebra in fZ comprised of

all sets which are either countable or have countable complement (introduced

in Example 2 of 1). We claim that a numerical function f on 0 is daf-measurable

just if there is a countable set A in the complement of which f is constant. This

constant a(f) does not depend on the particular set A, because if B is another

such, CA n CB, being the complement in uncountable ft of the countable set Au B,

is not empty. That this condition really implies the si-measurability of f follows

from Theorem 9.1, because for every a E R either if > a} C A or CA C (f > a}.

In proving the converse we can, thanks to (9.8), assume that f > 0. The claim

is then true for elementary functions f E E(fl, dd), because among finitely many

pairwise disjoint sets whose union is 1, exactly one has a countable complement.

For arbitrary f E E'(11,d) let (un) be a sequence of elementary functions with

it, T f . Each function un is constantly a(un) in the complement of some countable

set A. But then f (w) has the constant value

for all w E n CA. =

n

nEN

C( U An). As the set U An is countable, this proves that f has the asserted

nEN

nEN

If now p is the measure defined in Examples 2 and 7 of 3 which takes only the

values 0 and 1, then it follows from the preceding deliberations that

f f dp = a(f)

J.L. Doob, which is interesting in its own right and quite important for its applications in probability theory.

11.7 Factorization lemma. Let T : St -> W be a mapping of a set 12 into a measurable space (n', dd') and f : 11 - Ft a numerical function on i2. The function f

is measurable with respect to the a-algebra o(T) = T-1(4d') in D generated by T

if and only if there exists a measurable numerical function g on (f2', s') such that

(11.9)

f =goT.

such a g which is real (reap., non-negative) -valued.

63

a Q(T)-sad'-measurable with an a('-21 -measurable mapping, making it a(T)41measurable. For the proof of the converse we distinguish three cases:

n

=1

i = 1, ... , n. For each Ai there is a set A; E 0' with Ai = T-1 (A;), by definition

of o(T). Therefore the function g :=

of o(T)-elementary functions with f = sup u,,, and by the proof just given, there

n

n

then does what is wanted in this case.

3. An arbitrary r(T)-measurable f : 0 -* Ilk decomposes into its positive part f+

and its negative part f -. From 2. we get d'-measurable go > 0 and go > 0 on Sl'

for which f + = go o T and f - = g, "o T. For w' in the set U' := {g'o = +oo} fl {go =

+oo} the difference go(w') - go(w') is not defined. But the set T(Sl) is disjoint

from U', because go' (T(w)) = +oo always entails that 9o(T(w)) = f (w) = 0.

Therefore if we set

1Cu'9o

and g"

1Cu'9o

4. If f is real, 3. supplies a numerical d'-measurable function go on SW such that

f = go oT. If we set U := {IgoI = +oo}, then U fl T(f2) = 0 since f takes only real

values, and so the real function g := 1Cu9o does what is wanted. 0

Specifically, for each w' E T(0), g(w') = f(w) for every w E T`(w'). On T(fl)

one therefore has no other choice than to set g(T(w)) := f (w). In case T(1) E at,

in particular when T(11) = fl', the existence of g can thus be secured without

recourse to 11.7 - cf. Exercise 3 below.

The factorization lemma is therefore noteworthy only in so far as it allows the

measurability of T(f)) to be dispensed with. And in doing that the special structure

of (1, 91) is critical. Remark 4 in 8 shows how we are sometimes forced to do

without the measurability of T(Q).

Exercises.

1. Show that every bounded, 0-measurable, non-negative real-valued function

on a measurable space (fl, d) is the uniform limit of an isotone sequence of dmeasurable elementary functions.

2. Let (Sl, .r9, ) be a measurable space with a finite measure . Further, let

f, f1, f2.... be measurable numerical functions on 11. Prove the equivalence of

64

lim( U{f,,,>f+E))=0

(i)

m>n

(ii) for every 6 > 0 there exists an A6 E .& with (A6) < 6 such that for every

e > 0, f,, (w) < f (w) + E holds for all w E CA6 and all sufficiently large n E N.

[Hints: Note that (i) is also equivalent to the statement that for every e > 0 and

6 > 0 there exists an A6,, E 0 with (A6,,) < 6 and an N6,,. E N such that

f,, (w) < f (w) + e for all w E CA6,, and n > N6,e.] Why does (i) hold, given the

sequence (fn)nN, for every measurable function f which satisfies f > lim sup fn?

n-4oo

3. With the hypotheses and notation of the factorization lemma, show that for

any w1, w2 E 12 with T(wi) = T(w2), and every C E a,(T), either wl,w2 E C or

w1, w2 E CC. (That is, w1 and w2 cannot be "separated" by any set in o(T).)

From this fact infer that a Q(T)-measurable f satisfies f(wl) = f(w2) whenever

T(wl) = T(u)2). In case T(S1) E d', deduce the existence of a er(T)-measurable

mapping g : SY -4 fR with f = g o T. [Hint: Consider the system `B of all C C Sl

which have this two-point property and conclude that o(T) C W. Further, take

note of the equality T(T'1(A')) = A' fl T(1) for A' C W.]

12. Integrability

By now the integral f f d;i is defined for all non-negative d-measurable numerical

functions on 11, as a result of 11.4 and 11.6 together. In a third and final step f f du

will now be defined for certain numerical functions f which are not of constant

sign.

According to Theorem 9.8, f is measurable just if both its positive part f+ and

its negative part f - are measurable. This remark prompts the following definition:

(p-) integrable if it is s/-measurable and the integrals f f + d, f f " d are real

numbers. Then

J fdu := f f+d- f f d

is called the (-)integral of f (over Sl).

If for some reason one wants to put the variable w E Sl into evidence, he also

writes

f f (w),u(dw)

or

f (w) dit(ty) .

one of f +, f - has a real integral. One says that then f is quasi-integrable or that

12. Integrability

65

the integral off exists and one uses (12.1) to define f f d E R. Only occasionally

will we be concerned with this obvious generalization.

2. In the special case = ad we speak of Lebesgue integrable functions (on Rd)

and of their Lebesgue integrals. If a Borel measure F on Rd is described with the

help of a measure-generating function F on Rd (cf. 6), the F-integrable functions f on Rd are called Lebesgue-Stieltjes integrable (or Stieltjes integrable) with

instead of f f dtF. The general theory of measure and integration has however

displaced this terminology and the notation f f dF, despite their historical significance.

Let us now summarize the most important properties of the conceptual edifice

just built:

12.2 Theorem. Each of the following four statements is equivalent to the integrability of the measurable numerical function f on S2:

(b) There are integrable functions u > 0, v > 0 such that f = u - v. (Note that the

last equality entails that u(w) - v(w) is defined (in R) for every w E 11.)

(c) There is an integrable function g with if I < g.

(d) If I is integrable.

Proof. What has to be shown is the equivalence of (a) through (d), since (a) constitutes the definition of f being integrable.

(a)=:-(b): According to (9.8), u := f+ and v := f- do the job required in (b).

Because the integral is additive on E', along with u and v, u + v is

also integrable. Since f = u - v < u < u + v and -f = v - u < v < u + v, the

function g := u + v is as required.

(c)=*(d): This follows from the isotoneity of the integral on E* and the fact

that If I E E' (Theorems 11.6 and 9.8): f If I d < f gd < +oo.

(d)=:;-(a): Upon recalling that f+ < IfI and f- If I, this too follows from the

isotoneity of the integral on E*.

v + f +, which via (11.7)

In (b), f = u - v = f + - f - and so u + f

yields f u d + f f - d = f v d + f f + d and therewith the last assertion of the

theorem, since all the integrals here are finite. 0

the functions of and, if it is everywhere defined on 11, f + g are integrable, and

satisfy

(12.2)

f(af)d=aJfdtz

and

J(f+)dit=Jfdii+Jgdt.

66

1 1. Integration Theory

are integrable.

(of)+=of+,

(af)-=of-

ifa>0,and

(af) = lalf+

ifa < 0.

f+g=f++g+-(f +g ).(11.7) insures that u:=f++g+ and v:=f- +gare integrable. Then the claims about f + g follow from the equality f +g = u - v

via 12.2. Finally, If V gI < If I + I9I and If A 91 <_ IfI + IgI, and we know that

If I + IgI is integrable. The integrability of the measurable functions f V g and f A g

follows then from these inequalities and part (c) of 12.2.

(12.3)

(12.4)

f <9

Jfd

fiji d.

Proof. From f < g follows f+ < g+ and f - > g-, and from these inequalities and

the isotoneity of the integral on E' follows (12.3). Because f < IfI and -f: If 1,

(12.4) follows from the first equality in (12.2) and from (12.3), with If I in the role

of g there.

only real-valued integrable functions. To aid in that we define

(12.5)

Using this widespread notation it follows immediately from Theorem 12.3 and

from (12.3) that: With respect to the operations

(f + g)(w) := f (w) + g(w) and (a f)(w) := of (w)

w E Cl

Examples. 1. Let (Cl, d) be any measurable space, e,,, the measure on ii defined

by unit mass at w E Cl. According to Example I of 11, the e,,-integrable functions

are just the W-measurable numerical function f on Cl with I f (w) I < +oo. For them

f fde,,=f(w)

Let

be the measure space defined in Example 2 of 11, ({n}) = an

for n E N. From what was shown there it follows that the -integrable functions

2.

12. Integrability

67

ao

>1f(m)Ian <+00

n=1

fdf(n)an

n=1

Let (0, d, ) be the measure space defined in Examples 2 and 1 of 3. A function f : S2 -* R is then -integrable if and only if it is equal to a real constant a

3.

Let (9, 0,,u) be a measure space with (f2) < +oo. Then every constant real

function, and consequently after 12.2, every bounded, measurable real function

4.

on 12 is -integrable.

is ( + v)-integrable if and only if it is both - and v-integrable, and in this case

5.

fd(+v)=Jfd+Jfdv.

f g du + f gdv holds by Example 3 in 11. Applied tog := If I this and 12.2 prove

the integrability claim, and applied to g := f + and g := f - it implies the claimed

equality. In particular

2'(+v)=21(i)n21(v)

is valid.

We can now free ourselves of the restriction that functions always be integrated

over the whole 1. (11.5) insures that along with any pair of functions from E' =

E*(S2, s9) their product is also in E. So from f E E' and A E d follows lA f E E.

If f is an integrable numerical function on S2, then so is lA f, for every A E srd:

Because of the trivial inequality I lAf 15 If I, this is immediate from 12.2 (and 9.4).

In the light of this the following seems natural:

belongs to E' or is p-integrable, we set

(12.6)

jfdiu =f lAfd

:

As a special case of this notation

(12.7)

jfdIi=Jfd,i.

68

The following rules of calculation are evident, for all f, g which either lie in E'

or are integrable:

fAUBf1P+IAflBf=JAf+LfL forallA,BEd

(12.8)

(12.8')

AuB

Afdj<_f gd

One merely has to reflect on the definitions involved. Moreover, pursuant to the

discussion after (12.5).

f - j fd

(12.10)

But we can get at integrals over sets in ad in a different way, namely by considering the restriction A of the given measure to the trace a-algebra A n a+d.

That one is thereby led to the same result is the content of

12.5 Lemma. Let A E .d and for every function f on IZ which either lies in E*

or is -integrable let f denote the restriction of f to A, and A the restriction

of to A n .W. Then

ff'dPA= J fd.

(12.11)

Proof. First consider f E E' (St, at). Then f' E E' (A, A n W) since

(f')-'(B) = An f-'(B)

holds for all Bore] sets B in R (cf. 11.6). For the function lA f E E' there is

a sequence (un) of a/-elementary functions satisfying it,, f IA f . The sequence (u;,)

of restrictions to A obviously consists of A n ad-elementary functions that satisfy

u',, t f', from all of which follows that

(12.12)

f fd = sup

,,

nENJndii

and

nEN

Un =

a;1A,

i=1

appropriate (also n-dependent) real coefficients a; > 0, and k,, E N. It follows

12. Integrability

that

69

k

ai1'qi

Un =

i=1

(Notice that for Q C A, the restriction 1Q coincides with the indicator function

with respect to A of Q.) From the last two equalities we see that

JufldP=JudPA

k.,

for all n E N,

i=1

If f is p-integrable the preceding can be applied to both f + and f -. All integrals

are finite and it is obvious that (f')+ = (f+)', (f')- = (f-)', so (12.11) follows

from linearity of the integral.

from an A E al and a function f on A which either lies in E' (A, A n sV) or is

pA-integrable to define the -integral of f over A via

(12.13)

and in the second case to say that f is also p-integrable over A. With the aid of

Lemma 12.5 we thereby get:

over A if the function defined on the whole of St by

fA(w)

f 0(w) ifwEA

if w E St \ A

'

fAfd=

f fAd= JfdPA.

other than a A-integral over the new base space A. It can also be thought of as

a p-integral over SZ employing the integrands fA.

Exercises.

1. Characterize the functions u E E(12, d) which are p-integrable.

2. Let (12, d, p) be a measure space. The indicator function IA of a set A E at

is p-integrable just when (A) < +oo. Such sets are called p-integrable, and 9

will denote their totality. Show that R is an ideal in the ring 0 (cf. Exercise 4

A n R E R. For a or-finite measure p

in 1); in particular, R E .S and A E 0

a converse also holds: A C St and A n R E 9 for all R E R implies A E W.

70

4. Consider the measurable space (S2, d) from Example 4 of 11. On it is defined

the measure p which assigns countable sets the value 0, uncountable sets (from il)

the value +oc. Determine all the -integrable functions and their integrals.

5. Let (Sl, 0, p) he any measure space, (An) a sequence of pairwise disjoint sets

from W, A their union, f a numerical function on A. Show that f is -integrable

M

over A if and only if it is -integrable over each A. and E fA.. If I d < +oo.

n=1

6. Let (S2, r9, p) be a measure space with p finite. Show that every real function f on St which is the uniform limit of a sequence (f,,) in 2l () itself belongs

to 2l (). Why does this conclusion fail for every non-finite which is or-finite?

(Hint: Construct a sequence (gn) in 2l() with 0 < gn < 1 and f gn d > n2 for

each n E N and then consider fn := F j-2g1.j

j=t

For the further construction of the theory the concept of a negligible set, already

frequently mentioned in Chapter I, will now play an important role. We recall:

sequence of p-nullsets is again one (3.10), as is every set in W which is contained

in a p-nullset, thanks to isotoneity (cf. Exercise 5 in 3).

property fl or does not. We say that "(-)almost all points of Cl have property 17"

or "rl prevails (-)almost everywhere in St" if there is a -nullset N such that all

points of CN enjoy property il.

Be careful: It is not required that the set N,, of all w E Cl which enjoy property rl

a subset of S2 which does not belong to ii and q is the property "w is a point

of A", then N,, = CA is not in sir.

Examples of properties q which will come up in the sequel are: Equality of the

values at a point w E Cl of two functions f and g which are defined on fl, finiteness

of the value at w E Cl of a function f, etc. Corresponding to these we have the

following modes of speaking: f and g are (-) almost everywhere equal on Cl, in

symbols

f=9

(-)almost everywhere;

If ( < +oo

(p-)almost everywhere;

71

If < a

(-)almost everywhere,

etc.

The theorems that follow explicate the significance that this new concept has

for integration theory:

13.2 Theorem. For every f E E'(0, d), that is, (cf. 11.6) for every +dmeasur-able, non-negative numerical function f

Ji d = 0 a f = 0

p-almost everywhere.

N:={f54 0}={f>0}

lies in sat. What has to be shown is that

f f dy = 0 q (N)=0.

Suppose f f dp = 0. For each n E N the set A. := If > n-1) also lies in af and

An T N, so that (N) = limo(A,,) and it is enough to show that p(An) = 0 for

every n. But obviously f > n-11A,,, entailing that 0 = f f dp > n-1p(An) > 0,

that is, p(An) = 0, as wanted.

Suppose conversely that p(N) = 0. Each of the functions un := n1N (n E N)

lies in E(1l, 0) and satisfies fun d = 0. Setting g := sup un gives a function

n

n

13.3 Corollary. Every W-measurable numerical function f on fl is integrable

over every -nullset N, and

fdp=0.

IN

Proof. If f > 0, this claim follows from the theorem, because each function 1N f

lies in E' (12, sd) and is almost everywhere 0. In turn, application of this to f +

13.4 Theorem. Let f, g be sat-measurable numerical functions on Sl which are

-almost everywhere equal on Sl. Then

(a)

(b)

f>0,g>0

f integrable

Jfd=J9d;

= g integrable and

fi d = J g d .

72

f Nfd= f Ngd=0.

On the other hand, for M = CN we have lM f = 1Mg due to the definition of N,

and so by (12.6)

JM

d_IM

d.

g- almost everywhere.

f f+d= J g+d

and

If-dA= f g-d.

Because f is integrable, what we have here are non-negative real numbers, showing

that g is integrable (part (a) of 12.2) and, upon subtracting the second equality

from the first, we get the equality claimed in (b).

Since, roughly speaking, all this shows that integrability and the integral of

a function are insensitive to (measurable) changes of the function on nullsets,

results proved earlier can easily be reformulated somewhat more sharply. For example:

13.5 Corollary. Let the l-measurable numerical functions f and g on 11 satisfy If I <_ g -almost everywhere. Then along with g, the function f will also be

-integrable.

and If I < g'. From 13.4 part (b) we see first of all that g' is integrable, and then

from 12.2 f is as well.

Of special importance is the realization that integrability imposes limitations

on how often a function can assume the values oo, or indeed any non-zero value.

This is made precise in

13.6 Theorem. Every -integrable numerical function f on Il is -almost everywhere real-valued. Moreover, the set { f 0 0} is of a -finite measure.

a sequence of sets in of each of which has finite measure. This means nothing

other than that the restriction of to A fl d is a or-finite measure.

Proof. The set N := (If I = +oo} lies in a( and for every real a > 0 satisfies

alN < if 1. Consequently, a(N) < f If I d < +oo, from which follows the first

73

claim, (N) = 0. To prove the second claim we pass over to If I and thereby assume

nEN

(An) :5 n

,f d < +00.

f

This holds for all n E N, confirming the a-finiteness claim. 0

Theorem 13.6 has yet another consequence: Let N be a p-nullset and f a numerical function which is defined on M := CN and is M fl ad-measurable. Such

a function is described as being a (p-)almost everywhere defined (d)-measurable

function. The function fm introduced in 12.6 extends it to an &d-measurable function on 11. Any other extension of f to SZ must agree with fm almost everywhere.

According to 13.4 therefore either every such extension is integrable or none is. In

the first case moreover all extensions have the same -integral. These observations

justify the following definition:

13.7 Definition. Let f be a -almost everywhere defined, std-measurable numerical function on 0. It will be called (-)integrable if it can be extended to

a (p-)integrable function f' defined on the whole of ft f f' d will then be called

the (p-)integral of f and denoted f f d.

We will only occasionally be concerned with this extension of the integral concept, but its utility is already shown by the following

to 13.6 each is almost everywhere finite. Because the union of two nullsets is itself

a nullset, there is a nullset N such that both If (w) I < +oo and Ig(w) I < +oo for

all w E CN. But then

w H f (w) + g(w)

(w E CN)

with what was shown above, shows that the explicit hypothesis made in 12.3 that

f + g be everywhere defined is of little significance. For two integrable numerical

functions f and g on 11 the sum f + g is almost everywhere defined, and in the

sense of 13.7 integrable. The equality

J(f+o)d=ffd+J9d

prevails unrestrictedly.

Exercises.

1. The numerical functions f and g on the measure space (St, s(, ) satisfy f = g

,u-almost everywhere. Show via an example that in general the sat-measurability

74

1 1. Integration Theory

of g does not follow from that off . Show however that in case (52, d, p) is complete,

2. Let (S2, .od, p) be a measure space, (1, x 1o', po) its completion. Prove that f :

Q -* R is wo-measurable just if .vd-measurable numerical functions fl, f2 on fl

everywhere. If f is po-integrable, then any functions fl, f2 with these properties

are p-integrable, and f fl dp = f f2 dp = f f dpo. (This supplements Exercise 7

in 5 and generalizes Exercise 1 in 10.)

3. Even if the f in the preceding exercise is real-valued, the functions fl, f2 which

were proved to exist there cannot always be chosen to be real-valued. Prove this

for the case where 11 is any infinite set, Ad := {Q1, S2} and p := 0.

According to 9.4 the product of two measurable functions is again measurable. By

contrast however the product of two integrable functions is not generally integrable,

as the next example shows:

Example 2 of 11, with a,, := n_P-1 for each n E N, where 1 < p < +oo. The

identity function, f (n) := n for all n E N, is integrable, but its p-th power is not.

Thus for p = 2, f2 = f f is not integrable.

on I for which if IP is integrable.

In what follows p will designate a real number, p > 1. For every od-measurable

function f on fI, If I and then also If Ip is measurable, because (adopting the usual

convention that (+oo)P := oo) for every real a

Q

ifa<0

For such an f

(14.1)

Np(f)

(f Iflp di )

1/p

(14.2)

Np(af)=IaINp(f)

75

14.1 Theorem. p > 1 is a real number and q > 1 is defined by the equation

-+-=1.

P

q

1

(14.3)

(HOLDER'S inequality).

Proof. It is clear from definition (14.1) that we may assume f > 0 and g > 0.

Setting

we can also assume that both these numbers are positive. For if, say a = 0, then

by 13.2 f P, whence also f , is almost everywhere equal to 0. The same is then true

of f g (remember that 0 (+oo) = 0), so that again by 13.2 we have NI (f g) = 0,

and (14.3) holds. Once a, ,r are each positive, no loss of generality is incurred by

assuming that each is also finite, which we now do.

Applying the mean-value theorem of the differential calculus to the function

q 1- (1 + rl)l/D, there follows at once the well-known Bernoulli inequality

(1+71)I/p<2+1

_p

for all11ER+

or

If now x and y are positive real numbers, then one of xy-1 and x-Iy is such

a l;. Inserting this t into the last inequality (and reversing the roles of p and q if

necessary), gives

P

function - holds as well for all x, y E R+. If finally we take x := (o-I f (w))P and

y := (rr-lg(w))q for an w E If < +oo} fl {g < +oo}, we get

1

OT fg

< app fP +

rgg,

gq

valid throughout fI, since it trivially prevails as well in the complementary set

If= +oo} U {g = +oo}. Integration of this inequality leads at once to (14.3). 0

14.2 Theorem. For all measurable numerical functions f and g on l whose sum

f + g is defined throughout fI, and for every p E [1, +oo[

(14.4)

(MINKOWSKI's inequality).

76

1 1. Integration Theory

which shows that we may assume f > 0 and g > 0. In case p = 1 there is then

even equality in (14.4), by (11.7). Therefore, for the rest we can assume that

1 < p < +oo, and then again define q by p-1 + q 1 = I. We may further assume

that both NN(f) and NN(g) are finite, that is, that if and gp are integrable.

12.2(c) and the estimates

(f + g)P <- [2(f V g)J" = 2P[fP v gPJ < 2P(fP + gP)

then insure the integrability of (f + g)P, that is, Np(f + g) < +oo. Now write

1(1 + g)p dp =

1(f +

g)P-1 f d + J(f +

g)"-'g dp

which thanks to the fact (p - 1)q = p reads

(Np(f + g))P < (Np(f + g))P-1 [Np(f) + Np(g)J

The desired inequality (14.4) follows from this and the finiteness of Np(f + g). 0

integrable of order p or pth-power integrable, for some p E [1, +oo[, if f is measurable and If I p is p-integrable; that is, f is measurable and NN(f) < +oo.

According to 12.2, 1-fold integrable functions are indeed just the integrable

functions. In the case p = 2 we also speak of square-integrability.

It is immediate from the definition that a measurable function f is p-fold integrable if and only if if I is p-fold integrable; equivalently, if and only if there is

a p-fold integrable function g > 0 with IfI < g. Further properties, already known

to hold when p = 1, are codified in:

14.4 Theorem. Consider p E [1, +oc[ and p -fold integrable functions f and g.

Then for every a E R

of, f Vg and f Ag

are p -fold integrable, and in case it is defined throughout St, the function f + g is

p-fold integrable.

finite, the claims about a f and f + g follow from (14.2) and (14.4). The p-fold

integrability off V g and f A g then follow as in the case p = 1 from the estimates

If V gI <- IfI + Igl

and

If A gI <- If I + IgI.

14.5 Corollary. For 1 < p < +oo a numerical function f on Il is p-fold integrable

just if its positive part f + and its negative part f - are both p -fold integr able.

77

of f, by 14.4. The converse also follows from 14.4, and the equalities

Now for each p E (1, +oo[ we define

(14.5)

(14.6)

In view of (14.5) real-valued p-fold integrable functions are also known as .functions.

From (14.3) we immediately get:

14.6 Theorem. The product of a p-fold and a q -fold integrable numerical function

is integrable (where 1 < p < +oo and 1 + a = 1).

In particular, the product of two square-integrable functions is always integrable.

14.7 Corollary. If 1 < p < +oo and the measure is finite, then every p -fold

integrable function is integrable.

Proof. Because (S2) < +oo, the constant function 1 is q-fold integrable on 0, for

each q E (1,+00[. So the present claim follows from 14.6 upon writing any p-fold

integrable f as f 1.

Remark. 1. Without the hypothesis (S2) < +oo the conclusion of 14.7 may fail.

For example, in Example 2 of 12 choose the measure it by requiring a = n-1/2

for all n. Then the function f defined on S2 = N by f (n) := an for all n E N lies

More generally when is finite, from p-fold integrability follows p'-fold integrability for every p' E [1, p] - cf. Exercise 3 below.

Related to 14.6 we have:

a measurable almost-everywhere bounded function. Then the product f g is p -fold

integrable.

that IgI < a almost everywhere. Then of course Ifgl 5 a If I almost everywhere.

Because of the p-fold integrability of a If I, the claim follows from this inequality

via 13.5.

in LP(p).

78

end we define

the set of all real, d-measurable, p-almost everywhere bounded functions on S1.

One immediately perceives that 2'1(14) is also a vector apace over R. The union

of Theorems 14.6 and 14.8 results in the assertion

(14.7)

(14.8)

f E-"(),9E-2(),1 <p<+oo, P

1+q-1=1

= f9E21(F+),

where of course the convention

are (-)almost everywhere bounded are also called (-)essentially bounded.

(+oo)-1

... , n }, (14.3) and (14.4) go over into discrete versions of the Holder and

Minkowski inequalities. When p = 2 we get the Cauchy-Schwarz inequality and

the triangle inequality for the euclidean norm, familiar from linear algebra and

{ I,

analytic geometry.

Remark. 2. Definition (14.1) of Np obviously makes sense for every real p >

0, thus also for those 0 < p < 1 heretofore excluded from consideration. For

these p, however, the fundamental properties (14.3) and (14.4) are lost and the q

determined by p` l+q-1 = 1 is negative. (On this point, compare Exercise 5 below.)

Remark 3. at the end of 15 will show that pathologies occur when 0 < p < 1. All

subsequent work will therefore be restricted to the case p > 1.

Exercises.

1. Let (S2, d, ) be a finite measure space, 1 < p < +oo. Show that every function f

on fl which is the uniform limit of a sequence (fn) from VP(IA) itself lies in .'(p).

2. For an arbitrary measure space (S1, rd, p) and 1 < p < +oo, show that a real

function f on 9 is p-fold integrable if and only if f If I" is Integrable. (In the "if"

direction, measurability of f itself is not part of the hypothesis.)

3. Let (11, 0,;t) be a finite measure space, 1 < p' < p < +oo, and f a measurable

numerical function on Q. Then

Np'(f) < Np(f) .1 (01/P -1/P and 2'(p) C -2v'().

4. For any finite number of measurable numerical functions fl,..., fn on a measure

n

j=1

Nl(fl-

fn):5Np,(fl).....NP"(f.)

5. Let (52,. 9, p) be a measure space, p E J0,1 [ and q < 0 be defined by p`1 +q-1 =

1. Consider non-negative f E .P() and a measurable g : S1 -a 10, +oo[ satisfying

79

Infer that

Np(f + g) >Np(f ) + Np(g)

and find an example to show that generally equality does not prevail here.

Again consider 1 < p < +oo and a measure space (12, .sa', p). The function Np is

real-valued on the vector space 2P(p), and in fact a semi-norm, that is, a mapping

Np :.2 (p) - R+

having properties (14.2) and (14.4). From the second of those properties, the

Minkowski inequality, it follows that the function

dp(f,9):= Np(f - 9)

f,9 E 2P(p),

dp(f, 9) S dp(f, h) + dp(h, g)

Evidently dp thus has all the properties of a metric on 2"(p), with one exception:

According to 13.2 and 13.3

dp(f, 9) = 0

f = g p-almost everywhere.

Distance-like functions without the property that "distance between two elements

equal zero entails equality of the elements", are usually called pseudometrics.

Np and d,, are called the .P-semi-norm and the Pp-pseudometric, also the seminorm or the pseudometric of convergence in the pth mean or in 2'-convergence.

To elaborate: If (f,,) is a sequence in YP(i), then it is said to converge in eh

mean to f E 2'P(p), or to be 2P-convergent if

dp(fn,f)=0.

n-ioo

(15.1)

n +oo

By virtue of what was noted above, the limit function f is only almost everywhere

uniquely determined. (14.2) and (14.4) insure that linear computations with convergent sequences are like those we are accustomed to involving real numbers. In

immediately apprehensible symbolic form these say:

A - f,

for any a, 0 E R.

9n -1 9

a fn + f3gn -4 of + 09

80

(15.2)

simply because

Np(-g) = NN(g), and the roles of f and g can be interchanged throughout.

In case p = 1 we speak of simply convergence in mean, and when p = 2 of

mean-square convergence.

Taking note of the inequalities

(15.3)

[ffdfi_f9diijIf-i dp<_N,(f-g),

(15.4)

15.1 Theorem. Every sequence (fn) in 21(u) (reap., in 2 (1i)) which converges

in mean (resp.. in pth mean) to a function f from 21(p) (reap., from -gy(p)) also

satisfies

(15.5)

f

=

J

fd

f

fn

d

n- oo A

lim

for every A E d

(p.,

(15.6)

Jim

Ifnlp dp = f If I' dp

Proof. (15.5) follows from (15.3). Correspondingly (15.6) follows from (15.4), which

gives Np(lAfn) = Np(lAf), upon taking pth powers in this last limit and

(15.5) and (15.6) say nothing other than that for each A E d the mappings

f Hf fd and f HJ Iflpdp

A

and 2"-convergence, respectively.

Further developments require a lemma which is fundamental for the whole of

integration theory as well as its applications in probability theory and which goes

back to P. FATOU (1878-1929):

81

15.2 Lemma (of Fatou). Every sequence (fn)fEN in E*(fl,ii), that is consisting

of 0-measurable numerical functions fn > 0, satisfies

f fndp.

f limonf fndp<liminf

Proof. According to 9.5 and 11.6 the functions

f := lim inf fm

inf fn

and gn

for all n E N

lim

f If dp = sup gn dp = n-+00

nEN

9n dp.

gn dp

infra J fm d!L

of indicator functions of measurable

An c 11, then lim inf IA,, is the indicator function of the set

n-+00

(15.7)

lim inf An :=

n-+oo

A-.

nEN m>n

This is the set of w E Il which lie in ultimately all of the sets An. Dual to it one

defines

(15.8)

lim sup An := n U U Am ,

n-pm

nEN m>n

the set of w E fl which lie in infinitely many of the sets An, more correctly, the w

which he in An for infinitely many n. Evidently

lim sup A,) = lim inf CAn .

n-+oo

n-+oo

(15.10)

n-+oo

n-4oo

(15.11)

holds as well.

n-oc

n-+oo

82

1 1. Integration Theory

the sequence (CAn) and use (15.9), we get

(S2) - (limsup

n-+oc

n-+oo

n-+oo

n-,oo

n-4oo

confirming (15.11).

convergence in p'l' mean from almost everywhere convergence. The result itself

goes back to F. RIEsz (1880-1956); cf. RIESz (1911].

15.4 Theorem (of F. Riesz). Suppose 1 < p < +oo and the sequence (fn)nEN

in 2P(S1) converges almost everywhere in 11 to a function f E 2P(51). Then the

condition

(15.12)

Proof. The necessity of (15.12) follows (even without the hypothesis of almosteverywhere convergence) immediately from 15.1. The proof of sufficiency proceeds

from the inequality

(a +/3)P < 2P (aP +,6P)

(a, /3 E R+)

which has already been used in the proof of (14.4). Since Ia - 0I < a + /3 this

inequality yields

(a,$ E R).

9n:=2P(IffIP+VIP) -Ifn-fl",

nEN,

are non-negative functions. They lie in .2o1() and by hypothesis they converge

almost everywhere to 2P+1 If IP. In particular, 2P+1 If I = lim inf gn almost everywhere. Therefore Fatou's lemma in conjunction with (15.12) delivers the relations

21+1 J If IP d = J lim inf gn dp < Jim inf J

n-+oo

n-+OC

g. du

Since 2P+ f if I ' d < +oo, we infer by subtracting it that

which asserts the claimed 2P-convergence.

83

In preparation for the proof of the next convergence theorem we extend Minkowski's inequality to series of non-negative functions.

00

00

(15.13)

n=1

n=1

00

i=1

i=1

00

The sequence (s,) is isotone and E fn is its upper envelope; the same holds for

n=1

the pth powers. Therefore from the monotone convergence theorem 11.4 follows

00

Np(Efn) =suPNp(9n)

n=1

nEN

We come now to a second convergence theorem. It goes back to H. Lebesgue

and is therefore frequently called Lebesgue's convergence theorem.

15.6 Theorem (on dominated convergence). Let 1 < p < +oo and (fn)nEN be

a sequence from .'P(p) which converges almost everywhere on Q. Suppose there

exists a p-integrable numerical function g > 0 on fI such that

for all n E N.

(15.14)

almost everywhere. Every such f lies in 21'(p) and the sequence (fn) converges

to f in pth mean.

Proof. By assumption there is a nullset M1 such that lim f,, (w) exists (in 1[1) for

every w E CM1. Because of the integrability of gp there is, according to 13.6,

another nullset M2 with g(w) < +oo for every w E CM2. If we set

f (w)

w E M1 U M2,

{ 0,

then f is real-valued and aaf-measurable, and the sequence (fn) converges almost

everywhere to f. Consider now any function f with these properties. Then If I < g

almost everywhere, so along with gp the function If Ip is also integrable, that is,

f E 2p(), by 13.5. We set, for each n E N

9n:=Ifn-fIp

84

and then what has to be shown is that lim f gn d = 0. From the definition of gn,

Since the fimction h :_ (g + If I )P is integrable, so is each gn (by 14.4 and 12.2).

Fatou's lemma applies to the sequence (h - gn) and says that

Since (fn) converges almost everywhere to f, (h-g.) converges almost everywhere

to h. In particular,

lim inf(h - g,,) = h

almost everywhere

n-4oc

and so

=J hdp.

inf

The preceding inequality therefore yields lim sup f g,, du < 0. Since all 9,,, are

non-negative, this is equivalent to the desired lim f g,, du = 0.

The concept of a Cauchy sequence makes sense in any pseudometric space, in

particular therefore in 2p(). A sequence (fn) of functions from

(t) is said to

be a Cauchy sequence in _49P(p) if for every e > 0

dp(fm, fn) = NP(fm - fn) < E

holds for ultimately all m, n. Every .2P()-convergent sequence is a Cauchy sequence, as Minkowski's inequality shows. That the converse of this is also true,

that, in other words, the space 2P(14) is (metrically) complete, is the content of

the third convergence theorem. Its special case p = 2 goes back to F. RIESZ and

E. FISCHER (1875-1956).

15.7 Theorem. For each 1 < p < +oo, every Cauchy sequence (fn)nEN en

'(k)

converges in pt' mean to an f E 2P(p). Some subsequence of (fn) converges

almost everywhere to f.

Proof. Straight from the definition of Cauchy sequence we can construct 1 < n1 <

n2 < ... such that Np(fnk+, - fnk) < 2-k for all k E N. We define

00

9k *= fnk+, - fnk

k=1

00

00

NP(9)<_ENP(9k)<E2-k=1.

k=1

k=1

integrable and therefore (by 13.6) it is almost everywhere real-valued, that is, the

series F,gk is absolutely convergent almost everywhere. The kte partial sum of

85

this series is f,,k+, - fn so we see that the sequence (fnk)kEN converges almost

everywhere in Q. Moreover,

Ifnk+,I = 191 +... +9k + fn,I <- 9+ Ifn,I

and by 14.4 the sum g + I fn, I is pth-power integrable. Thus the sequence (fn. )W

satisfies all the hypotheses of the dominated convergence theorem, according to

lim fnk = f

k-woo

almost everywhere.

Since (fn) is a Cauchy sequence, this subsequence behavior entails the convergence

in eh mean of the whole sequence: Given c > 0 there is an mE E N such that

Np(fn-fn)<E

NP(fnk - f) < E.

The triangle inequality then insures that

Np(fn - f) < Np(fn - fnk) + Np(fnk - f) < 2E

Passage to a subsequence cannot generally be circumvented if one wants almost

everywhere convergence, as the next example illustrates.

Example. Consider fl := (0, 1[, d := Clf1.1 and a := an. Every natural number n

k < 2h. Set An := [k2-h, (k + 1)2-h[ and let fn denote its indicator function.

Then f fn d = f fn du = (An) = 2-4 < 2/n, so (fn) converges to 0 in eh mean

(for any 1 < p < +oo) and is therefore certainly a Cauchy sequence in 2p(14).

But the sequence (fn(w))fEN in {0, 11 is not convergent for any w E Cl. Indeed,

w E [k2-h, (k + 1)2-h[, that is, w E A2k+k. In case k < 2h - 1, w AZk+k+I. In

case k = 2h -1 and h> 1, w A2h+, .

We record the following simple corollary to 15.7:

15.8 Corollary. If the Cauchy sequence (fn) in 2p() converges almost everywhere to an d-measurable real function f on Cl, then f lies in 20P(A) and the

sequence converges to it in eh mean.

eh mean and to which a subsequence of (fn) converges almost everywhere. Outside

the union of this exceptional nullset and that in the hypothesis the two limits f

and f * must agree. Hence f = f * almost everywhere. 0

86

1 1. Integration Theory

Corresponding to Theorem 14.6 and its corollary we have finally the following

two convergence assertions:

15.9 Theorem. The sequence (fn) in .4D(p) converges in pth mean to a function

f E 2'(p) and the sequence (gn) in 29(p) converges in qth mean to g E

If I < p < +oo and p-' +q-1 = 1, then the sequence (fn9n) of products converges

in mean to f g.

Proof. The triangle inequality in IR yields

(nEN)

(fn9n-f9l<Ifn-fII9.I+If II9n-9I

which the Holder inequality (14.3) transforms into

(n E N).

Our claim follows from this when we recall from (15.2) or (15.6) that the sequence

(Nq(gn))neN is convergent, hence bounded.

15.10 Corollary. If the measure p is finite, then every sequence (fn),,EN in 2'(p)

which converges in pth mean to an f E YP(p) for some 1 < p < +oo, also

converges to f in mean.

Proof. For p = 1 there is nothing to prove. For 1 < p < +oo the claim follows from

the theorem upon taking every function gn there to be the constant function 1;

because of the finiteness of p the constant functions lie in 29(p) for every q E

(1, +oo(.

The reader should convince himself via an example like that in the remark after 14.7 that the converse of the assertion in this corollary is not true. However, the

conclusion of the corollary can be refined somewhat; namely, under its hypotheses

there is 2'V-convergence of (fn) to f for every p' E (1,p). Cf. Exercise 2 below.

Remarks. 1. Because

Np : 2'(p) - R+

is a semi-norm, the set

.N := N;'(0)

is a linear subspace of .gy(p). It is independent of p because it consists of all

measurable real functions on Sl which are almost everywhere equal to 0. The

quotient vector space

mapping of .2'p(p) onto LP(p), we define

IIf IIp = Np(f)

87

One checks effortlessly that f H 1If IIP is thereby well defined and provides a norm

on LP(p). Theorem 15.7 says that LP(p) is complete with respect to this norm,

that is, it is a Banach space (for 1 < p < +oo).

L2() is even a Hilbert space. For the product fg of two functions f,g E 22(p)

is integrable, by 14.6, and it is clear that the integral f f g dp depends only on the

canonical images f , g of these functions, which means that

(f, 9) -ffdp

is a well-defined mapping. A short calculation suffices to confirm that it provides

a scalar product in L2(p).

2. f E 2(p) means that the set W J of all a E R+ such that If I < a almost

everywhere is not empty. We can set

N00(f):=infWj

and show easily that N,,, :2(p) -r R+ is a semi-norm on 2(p). Also in this

case N ' (0) coincides with the space .At described in 1. In the quotient space

LO(,u) := Y(p)1_41

can be defined via N,,. just as before. One checks that L (p)

thus also becomes a Banach space.

a norm f H II f I I

3. For every measure space (SI, dry, p) and every p E ]0,1[ the set 2P(p) (cf.

Remark 2 in 14) turns out to be a vector space. NP is generally not a semi-norm

(cf. Exercise 5, 14), but 4(f, g) := Ny (f - g) is a complete pseudometric - with,

however, strange properties: The unit "ball" centered at 0 is generally not convex.

For L-B measure on (0, 1], every f E .2P is actually a convex combination of

functions in this ball. See BoURBAKI [1965], chap. 4, 6, exer. 13.

Exercises.

(11, 0, p). Under the hypothesis that a p-integrable function g satisfying Ifn l S 9

for every n E N exists, show that lim inf fn and lim sup fn are p-integrable functions and satisfy

f fndp <

f liminf

fndp <liminff

n-4o

n-4oo

n-*oo

f limsup fndp.

Show by an explicit example that this chain of inequalities can fail if there is no

such majorizing function g. (To this end, cf. Exercise 6 in 21.)

2. Let p be a finite measure, 1 < p' < p < +oo. Show that if a sequence in 2P(p)

converges in pth mean to a function f E 2%p), then it also converges in p`h mean

to f. (Cf. Exercise 3 in 14.)

3. Let (f',

d(A, B) := p(AAB) = f IlA - 1BI dp introduced in Exercise 7 of 3. Show that

the pseudometric space (d, dN) is complete.

88

H. Integration Theory

00

n=1

5. Show that the conclusion of Theorem 15.9 remains valid for p = 1 and q = +oo.

We will now demonstrate the applicability of the convergence theorems by means

of three examples which will be important in the sequel. The first concerns the

behavior of parameter-dependent integrals, the second the connection between the

Riemann and the Lebesgue integral, and the third the calculation of the (Gaussian)

integral

G:=

(16.1)

J_2)1()

1. Parameter-dependent Integrals. The question of the continuity and differentiability of functions which are defined by integrals will be answered in the

following lemmas and corollary. Throughout, (fl, srd, p) is an arbitrary measure

space.

a function with the properties

(a) w H f (x, w) is p-integrable for every x E E;

(b) x 1-4 f (x, w) is continuous at xo E E for every w E 1l;

(c) them is a -integrable function h >_ 0 on fl such that

If (x, w)I < h(w)

O(x):=

J f(x,w)(dw)

is continuous at xo.

Proof. The continuity of V at xo is proved if we show that for every sequence (xn)

in E with lim xn = xo,

holds. To accomplish this, we introduce the sequence (fn) by

fn (w) := f (xn, w)

(n E Z+, w E 0).

By hypothesis these are integrable functions, each satisfies IfnJ < h, and for every

fixed w E 11, lieu fn(w) = fo(w). From the theorem on dominated convergence

n--+oo

89

I/

fn du =

fo du

.f (xo, w)p(dw)

In the following applications of this lemma the space E will frequently be an

interval in R or, more generally, a subset of Rd.

16.2 Lemma (Differentiation lemma). Let I be a non-degenerate (meaning, containing more than one point) interval in R, and f : I x 11 - R be a function with

the properties

(a) w '- f (x, w) is p-integrable for each x E I;

(b) x ,-a f(x,w) is differentiable on I for each w E 1?, the derivative at x being

denoted by f'(x,w);

(c) there is a p-integmble function h > 0 on f? such that

Jf'(x,w)I < h(w)

(16.2)

ca(x)

Jf(xw)li(dw)

(16.3)

VP (x) = Jfl(xw)tz(dw)

for every x E I.

In short, under the stated conditions (16.2) can be differentiated under the

integral sign.

Proof. Fix xo E I and consider any sequence (xn)nEN C I \ {xo} which converges

to xo. Then the function defined on S2 by

gn(w)

f (xn,w) - f(xo,w)

xn - xo

n-+oo

for all w E Q.

suffices to apply the mean-value theorem of differential calculus. According to it,

for each x E I \ {xo} and each fixed w E fl there is a point t, in the open interval

whose endpoints are x and xo, such that

x - xo

90

Ign(w)I <h(w)

Now the dominated convergence theorem comes into play to insure that the function w H f'(xo, w) to which the gn converge is tc-integrable and

im

4oo

gdp=forallnEN.

xn -xe

11

and f : U x f -i R

16.3 Corollary. Let U be an open subset of Rd, i E

a function with the properties

(a) w H f (x, w) is i-integrable for each x E U;

(b) x H f (x, w) has an ill' partial derivative at each point of U, for every w E S2;

(c) there is a -integrable function h > 0 on S2 such that

8f

(x, w) < h(w)

8xi

w(x) := ff(x.w)i(d)

has an ith partial derivative at every x E U, the function w

'-

8f (x, w) is -

8x,

integrable, and

axj

for every x E U.

This follows at once from the differentiation lemma: Given T = (T,, ... ,Td) E

point (zl , ... , T,- j , t, Ti+i .... 7d) lies in U, and we can apply 16.2 to the function

(t,w),_, f(xl,...,xi-1,

.Td,w).

II. Comparison of the R.iemann and Lebesgue Integrals. For every ddimensional Borel set B E .mod and suitable Borel measurable numerical functions f on B the integral fa f dad was defined in 12 and identified with f f dAB.

This integral is called for short the Lebesgue integral of f over B. A frequently

encountered alternative way of writing it is

(16.4)

ff(x)dx= Jfda5.

91

In case d = 1 and B = [a, a], or ] - oo, a], or R, etc. the notations fa f (x) dx, or

f . f (x) dx, or f ' f (x) dx, etc., are also common.

Since in basic analysis courses it is frequently only the Riemann integral that

is dealt with, the following remarks relating it to what has been done here may be

useful.

interval I := [a,)31 in R. If f is Riemann integrable (which in particular means it

is bounded), then it is also Lebesgue integrable, and the values of the two integrals

off coincide.

Proof. To every finite subdivision

J:={a=ao<al <...<an=p}

of I the Riemann theory associates the lower and upper sums

n

i_1

i=1

in which

and

ri :=supf([ai-l,ai]), i = 1,...,n.

n

are -integrable functions on II for which

Riemann integrability of f means, by definition, that there is a sequence (.4n) of

subdivisions of I such that each .,i,,+1 refines its predecessor an and the sequences

and (Uk) tend to the same real limit value, the Riemann integral p of f

over I.

Because of the refinement feature of the sequence (en), (14) is an isotone and

(u4) is an antitone sequence. Hence

0:5

n-+oo

and so by 13.2, q = 0 p-almost everywhere. Since in addition for every n,1.4 < f <

uj holds p-almost everywhere (everywhere except possibly at the points of in),

92

lim 1 j = f

p-almost everywhere on I.

n-+oo

As has been noted, f is bounded, say If 1 <_ M E R. The sequence ([1.4. [) is therefore

dominated convergence delivers the 1s-integrability of f as well as the convergence

of (1k) to f in mean. From 15.1 finally follows

I fdp=lim J

which finishes the proof. 0

Remarks. 1. Consider once again Dirichlet's jump function f on the unit interval

(cf. Exercise 2 of 10). Being the indicator function of Q fl 10, 11, it is Borel measurable and almost everywhere 0 with respect to L-B measure .1011. Consequently

it is Lebesgue integrable and fo f (x) dx = 0. But f is not Riemann integrable. So

the roles of Riemann and Lebesgue integration cannot be reversed in 16.4.

2. Borel measurability of f need not be hypothesized: the above proof shows,

even without it, that lim 1.4. = f p-almost everywhere and so f is -almost everywhere equal to the Borel function lim lj, . However, in this case it can well happen

that f itself is not Borel measurable.

3. The ideas in the proof of Theorem 16.4 can be amplified into a non-trivial

criterion for Riemann integrability. Namely, f : [a, 0] -+ R is Riemann integrable

if and only if it is bounded and is continuous at V-almost every point of [a, fiJ.

See Theorem 2.5.1 of COHN [1980] or the multi-part Exercise 12.51 of HEwITT

and STROMBERG [1965].

Riemann integrable over every compact interval. Then f is Lebesgue integrable

over R if and only if the improper Riemann integral

r+n

,0:= lim J

f (x) dx

n

Proof. Denote by pn the Riemann integral of f over An := [-n, +n] for each n E N.

According to the theorem just proved

pn=IA

From 11.4 and the fact that IA f T f we get

sup p

JfdA'.

93

The improper Riemann integral exists, by definition, just if this supremum is finite

and in that case its value g is that supremum. From these observations and the

monotone convergence theorem our present result follows. 0

follows from 12.2 and 16.5 that every Borel measurable real function f on R with

absolutely convergent improper Riemann integral is also Lebesgue integrable and

f f dal coincides with the improper Riemann integral of f. Obviously too, any

open or half-open interval I C iR can take over the role of R in 16.5.

By contrast, from the existence of the improper Riemann integral off does not

follow the Lebesgue integrability of f, even for continuous functions. Consider, for

example, the function f : R -+ 1R defined by f (x) :_ (sin x) Ix when x 54 0 and

f (0) := 1 m (sin x)/x = sin'(0) = 1. Of course, it is continuous. If for each k E N

we set

ak

I(k+l)w

:=

sinx

dx = (-l)k I

sin

t

dt,

we see that the signs of the ak alternate, their moduli decrease as k increases, and

r(k+1)n

Jakl < J

(k + 1)a

kir

1 dx = log

k+r

= log (I +

0 as k -> oo.

00

Therefore the series > ak converges. Using this it is very easy to confirm that the

k=1

JrR sin x

lim

R ++oo 0

dx

k +1)R

IsinxJ

If I d,\' >

J fa,(n+1)w)

at.

(k + 1)lr

J0

=

JR+

sin t

sin t

If ( dA'

(k+1)n

E

k=lJka

dx >

E k+1

k=11

Since the harmonic series diverges, these inequalities show that fR+ If I dA' = +oo,

and so by 12.2 f is not Lebesgue integrable over R+.

integrals which the reader may already have encountered as Riemann integrals

can, in the stated circumstances, be immediately interpreted as Lebesgue integrals.

Known formulas and computational rules for the Riemann integral thereby become

available to the Lebesgue theory as well.

94

H. Integration Theory

e-x(1+m2 )

f (x, w) :_

(16.5)

(x,w)ER x1R.

1 + w2

Both f and the function (x, w) t-+ f'(x, w) := -e-:(1+w2) are continuous. For fixed

xo > 0 form the auxiliary functions

ho(w) := e-220Iwl

w E It.

Their A'-integrability (over R) follows from Corollary 16.5 and the fundamental

theorem of calculus. For example,

r+

J/

(1 + W2)-1

hm [arctan(W)]"n = r.

n-too

Obviously f (x, w) < h(w) for all (x, w) E HI+ x R. It follows from 12.2 that for each

x E It+ the function w H f (x, w) is A'-integrable. And the real function defined

by

(16.6)

V(x) := Jf(z)dw

x E IR+

is continuous by the continuity lemma 16.1. Note that p(O) = r. Since 2 JWJ < 1+w2

for all w E R, we have I f'(x,w)J < ho(w) for all (x, w) E [xo,+oo[x]R. Consequently

the differentiation lemma 16.2 insures that <p is differentiable in ]xo, +oo[, for every

(16.7)

(x) = -

e_2(1+")).1(dw)

for x > 0

(16.8)

cp'(x) = -Gx-1"2e-z

forx>0

where G designates the integral (16.1) that we are trying to explicitly compute. Its

existence is already fart of the preceding analysis, but can also be inferred from

the majorization a-' < e-t, which holds for t > 1. From (16.6), (16.8) and the

95

for x > 0 and a > 0. Upon letting a run to +oo, we will get

(16.9)

p(x) = 2G

+oo a-", dw

inequalities

+w2)-1A1(dw) = p(O)e-0

it = p(0) = 2G

r+ e-"'2 dw = G2,

J0

using the obvious (on grounds of symmetry) fact that f . a-"'' dw = f0+00 e' dw.

G = . That is,

Since G > 0, it follows finally thatfe2

dx = r

(16.10)

2a.

(16.10')

This derivation goes back to ANONYME [1889J and VAN YZEREN [1979]. A par-

ticularly short alternative one is made possible by Tonelli's theorem (cf. Exercise 4

in 23).

Exercises.

1. Which of the two functions below are integrable, which are square-integrable

with respect to Lebesgue-Borel measure on the indicated intervals?

(a)

(b)

f (x) := x-1,

f (x) := x-1/2,

x E I:= 10,1] .

2. Show that for every real number a > 0 the function x H e" is A1-integrable

over R+.

x

J

96

1 1. Integration Theory

rsinx13 A1(dx)

x J

Jo

is continuous Oil 10, +00[.

Again let (12, dd, p) be an arbitrary measure space and E' = E'(f2, sd) the set of

all W-measurable, non-negative numerical fimctions on 12. In 12.4 we defined the

integral of every function f E E* over every set A E id'. We are interested here in

how this integral behaves with respect to A.

17.1 Theorem. For each function f E E`JA the equation

v(A) :=

(17.1)

f du

Proof v(0) = 0 and v > 0. For every sequence (An)nEN of pairwise disjoint sets

nEN

IAf =

IA, f

n=1

and so by 11.5

v(An),

v(A)

n=1

then the pleasure v defined on .0' by (17.1) is called the measure having density f

with respect top. It will be denoted by

v=fiz.

(17.2)

(17.3)

97

Jd(f,i) = f Wf d -

(17.3')

An id-measurable function V : fl - R is v-integrable if and only if ,pf is integrable. In this case (17.3) is again valid.

Proof. First suppose p =

holds because

n

f ,pdvaiv(A1)a;f lA,fd=Jcof d .

For an arbitrary p E E' there is a sequence (un) in E such that U. T V. Since then

un f T W f as well, (17.3) follows from 11.4. Finally, consider any id-measurable

numerical function p on Sl. By now we know that

W- dv = f V f du = f(f ) dp.

From these equations and the definition of integrability follows the second part of

the theorem. 0

It now follows that the formation of measures with densities is transitive:

17.4 Corollary. Let f, g E E', v := fit and P := gv. Then B = (gf ), that is,

9(f) = (9f)

(17.4)

g(A) = f gdv =

A

lAgdv

f lA9dv=

lA9fd= f(9f)dii.

(17.5)

f =g

-almost everywhere

= f p = g .

98

IL . Integration Theory

Proof. If f and g coincide p-almost everywhere, then so do 1A f and 'Ag for each

A E a(, whence

JALgdp

for allAEd,

Now suppose that f is p-integrable and that fit = gp. Since g > 0 and f gdp =

f f dp < +oc, g is also p-integrable. Let us show that the set

N:={f>g},

which lies in 0 by 9.3, is a p-nullset. For every w E N, f (w) - g(w) is defined and

is positive, which means that the definition

makes sense. The functions 1N f, 1Ng, being majorized by the p-integrable func-

tions f, g, are themselves integrable. Because fit = gp, they have the same itintegral. From this we getr that

hdp=

r

Ir fdp- /Ngdp=0.

Since N = {h > 0}, this equality and 13.2 tell us that p(N) = 0. With the roles

of f and g reversed, this conclusion reads u(N') = 0, where N' := {g > f }. Since

if 54 g} = N U N', the desired conclusion, namely that If 34 g} is a p-nullset, is

obtained. 0

The converse of implication (17.5) is not valid without some additional hypothesis on the densities f and g. The next example illustrates this.

Example. 1. As in Example 2 of 3 let fl be an uncountable set, 0 the a-algebra of countable and co-countable subsets of (1 (see Example 2 in 1). But the

measure p will be defined on 0 by p(A) := 0 or +oo, according as A or CA is

countable. If f and g are the constant functions on ft with the respective values 1

and 2, then indeed f p = gp, yet f (w) = g(w) holds for no w E ft. Of course, it

then follows from 17.5 that neither f nor g is p-integrable.

Before turning to the principal problem of this section, we will examine another

characterization of a-finite measures which is important for what follows and is of

interest in its own right.

17.6 Lemma. Let (fl,.ad,p) be a measure space. The measure is a -finite if and

only if there exists a p-integrable function h on Cl which satisfies

(17.6)

0<h(w)<+oo

forevery wEf2.

in a0 such that p(An) < +oo for

each n E N and A7, fi Cl. Choose positive real numbers gn satisfying both r) < 2-n

99

00

h := L?In1A

n=1

does what is wanted. It is measurable, 0 < h(w) < 1 for each m E 0, and f h dp < 1.

of 13.6.

In the light of 13.2 this lemma has another formulation: For each or-finite measure R there exists a real, measurable function h > 0 such that the measure hp is

finite and has the same nullsets as A.

We come now to the main problem, already alluded to: On the v-algebra sF of

the measurable space (S2, 0) two measures v and p are given. We pose the question

of how to decide whether v has a density with respect to , that is, whether there

is an .W-measurable, non-negative, numerical function f on St satisfying v = f p,

satisfying in other words

v(A)=J fdp

for allAE.d.

For an affirmative answer it is necessary, as 13.3 shows, that every p-null set in a

be a v-null set as well.

17.7 Definition. A measure v on W is called continuous with respect to a measure it on 0, for short, p-continuous, if every p-nullset from 0 is also a v-nullset.

In the case of a finite measure v there is a condition equivalent to p-continuity

which clarifies and justifies the terminology:

17.8 Theorem. A finite measure v on jzf is p-continuous if and only if for every

c > 0 there exists d > 0 such that

v(A) < e.

(17.7)

.

A E O and u(A)<b

Proof. From (17.7) it follows that v(A) < e holds for every E > 0 if A is a p-nullset.

Hence v(A) = 0 and v is thus a p-continuous measure, even without the finiteness

hypothesis. For the converse we will show that if (17.7) fails, then v is not continuous. Thus, for some c > 0 there is no 6, which means there is a sequence

with the properties

(An)nEN in

p(An) < 2_n and v(An) > E

for each n E N.

We set

A := 41.s .up An := n U An

nEN m>n

00

m>n

m=n

00

m=n

2-m = 2-n+1

for every n E N,

100

whence p(A) = 0, and on the other hand, due to the finiteness of v and 15.3,

satisfies

E > 0,

nix

Examples. 2. Let 12 be an uncountable set, W the or-algebra of countable and cocountable subsets of .W (Example 2 in 1). As in the preceding Example, consider

the measure v on .i which assigns to a set the value 0 or +oo according as the set

or its complement is countable. Let is denote the counting measure C on at (from

Example 6, 3). Since 0 is the only p-nullset, v is trivially -continuous. However,

v cannot have a density with respect to p. For from v = f p with f E E* it would

follow that

W}

for every w E S2, making f = 0 and therefore v = fit = 0, which is not the case

because Sl is uncountable.

Let (R, 0, It) be the 1-dimensional Lebesgue-Borel measure space (so p = 'V)

and denote by A" the system of all p-nullsets. Then

is an example of a or-ideal

in W1: The union of any sequence of its sets is another, as are the intersections of

its sets with those of ,5d1 (cf. Exercise 5, 3). These properties insure that

3.

v(A)

10

+oo

ifAE-4

if AEJO\.X

defines a measure on 1 (cf. Exercise 6, 3). From its definition it is clear that v

is p-continuous. Here however (17.7) falls, since for every b > 0

Thus the finiteness hypothesis on v in 17.8 is not superfluous. Example 2 shows

that for the existence of a density f E E' with v = fit, the -continuity of v, while

necessary, is not sufficient. All the more noteworthy is the theorem of Radon and

Nikodym which we will prove, after a preparatory lemma.

and let a := r - a denote their difference. Then there is a set S2o E W with the

properties

(17.8)

(17.9)

@(A) >0

(*) For every, e > 0 there exists 0e E 0 with the properties

(17.8')

(17.9')

g(A) > -E

101

We may obviously suppose that p(l) > 0, since otherwise SlE := 0 does what is

wanted. If then e(A) > -e for all A E .sad, it suffices to choose 1 := Q. So we

consider the case that some Al E ad satisfies e(A1) < -e. From the definition of e

and the subtractivity of the finite measures a and T,

e(CA1) = e(fl) - e(A1) ? e(1) + e > e(11) .

Therefore, if e(A) > -e for all A E (CAI) fl 0, we can set S1E := CA1 and be done.

In the contrary case there is a set A2 E (CAI) flsat with e(A2) < -e. Then because

A1, A2 are disjoint

and the preceding dichotomy presents itself anew. If after finitely many repetitions of this procedure we have not reached our goal, then we will have generated

a sequence (An)nEN of pairwise disjoint sets in gd with

e(Sl \ (A1 U ... U An)) > e(Sl)

for every n E N.

Because of the finite additivity of a and r, this would have the consequence that

n

e(A1U...UAn)=Ee(A,) <-ne

for every n E N

i=1

00

and entail the divergence of the series 1 e(An). But the latter is untenable,

n=1

because when the a-additivity of a and r is applied to the disjoint union A

U An it shows this series to be convergent:

nEN

00

00

n=1

n=1

This contradiction proves that the construction procedure must terminate after

some finite number n of steps, with the set QE := C(A1 U ... U An) then satisfying (17.8') and (17.9').

We now take e = 1/n in (*) for successive n E N. The sets (1 can be chosen with

the additional property of isotoneity. For if Sll D 121/2 3 ... 3 Sll/n has already

been realized, we simply apply (*) to fll/n as a new base space in the role of Sl,

that is, we consider the restriction of the measures or and T to S21/n fl dd. Finally,

the set Slo := n Sll/n will be seen to do the desired job. For since 01/n j Sla,

nEN

(17.8) follows from (17.8'), and (17.9) follows from (17.9'), which insures that

e(A)>-1/nforallnENandeveryAESlofl.od. O

As indicated, this puts us in a position to answer the important question we

posed earlier.

in a set Q. If is a-finite, the following two assertions are equivalent:

I l. Integration Theory

102

(ii) v is 14-continuous.

(i)

Proof. Only the implication (ii)=(i) is still in need of proof. To that end we

distinguish three cases.

First Case: The measures and v are each finite. Form the set 9 of all d measurable numerical functions g > 0 on Sl which satisfy g < v, that is, which

satisfy

for allAEd.

The constant function g = 0 lies in 9, so 9 is not empty. 9 is moreover sup-stable,

that is, g V h E 9 whenever g, h E W. Indeed, setting Al := {g > h}, A2 := CAI,

every A E d satisfiees

gvhd= 1

Ana,

gd+J

ArA,

ry:=suP{ f 9d:gE9)

is finite and there is a sequence (g;,) in 9 such that lim f gn d = -y. Due to supstability the functions gn := gi V ... V gn lie in 9, and consequently ry > f gn d >

f gn d (since g,, > gn) for all n E N. Which shows that lim f gn d = ry. As

the sequence (gn) is isotone, the monotone convergence theorem can be applied,

assuring that f := supgn is a function in 9 and that f f d = ry. All this proves

that the function g H f g d on 9 assumes its maximum value at f.

Now we prove that v = f . In any case we have f < v, since f E 9, and so

T:= V- f A

is a finite measure on sat, evidently -continuous since v is by hypothesis. We have

to show that r = 0. So let us assume contrariwise that r(Sl) > 0. Due to the

-continuity of r, this entails that (11) > 0 as well, and we may form the real

number

Q:=2

(M}>0,

which satisfies r(Sl) = 20(Sl) > Q(St). The preceding lemma applied to r and

a:= Q3 supplies a set flo E 0 which satisfies

r(flo) - l(ilo) > r(1) - $(!l) > 0 and r(A) > Q(A) for all A E f o n 0.

The .sat-measurable, non-negative function fo := f +,81n. therefore has the property

ffodiz=jfdii+I3(QonA)

jfd+r(A)=v(A)

103

r(S2o) > Q(S2o), we must have (S20) > 0, leading to

fod= ffd+ap(no)=7+i3(Slo)>7,

an inequality which is incompatible with the definition of -f and the fact that

fo E 9. The assumption r(S1) > 0 is therefore untenable, and r = 0, as desired.

Second Case: The measure is finite and the measure v is infinite. We will produce

00

following properties

(a) A E 1o fl at

(b)

n=0

v(S1n) < +0o

for all n E N.

To this end let 2 denote the system of all Q E 0 with v(Q) < +oo and define

a:= sup{(Q) : Q E _l} .

This is a real number because the measure is finite. There is a sequence (Qm)mEN

U Q,n is then a set from std satisfying

may be assumed to be isotone. Qo

mEN

(Qo) = a. We will show that 52o := CQo satisfies (a). So consider A E Stood with

v(A) < +oo. We need to see that p(A) = v(A) = 0, and since v is -continuous

we really only need to confirm that p(A) = 0. Since v(A) < +oo and, as noted

already, . is closed under union, each Q,n U A lies in 2, so that p(Q,, U A) < a,

and consequently

(Qo U A) = lim p(Qm U A) < a.

"t-400

Since A is disjoint from 1o, u(Qo U A) = a + (A). Conjoined with the preceding

inequality and the finiteness of a this says that indeed p(A) must be 0. Finally, to

take care of (b) we merely define S21 := Ql, and u n := Qm \Q,n_1 for all integers

m > 2 in order to get a decomposition of S2 with the desired properties.

Now let An, vn denote the restrictions of , v to the trace a-algebra On fl 8d,

for n = 0, 1.... and note that each vn is a n-continuous measure. Moreover, for

all n > 1 both An and vn are finite. Case 1 therefore supplies Cl,, n 0-measurable

functions fn > 0 on Cl,, with vn = fnn Taking fo to be the constant function +oo

on Sto, vo = foo also holds, thanks to (a). Finally, "putting all the pieces together"

gives our result in this second case. Namely, the function f on Cl defined to coincide

on each Cl,, with fn (n = 0, 1, ...) is non-negative, sad-measurable and satisfies

v=fp.

Third Case: This is the general case: only the a-finiteness of it is demanded. There

therefore finite and possesses exactly the same nullsets as does A. Consequently

104

has the density f h with respect to A. 0

The question arises whether, in the situation of Theorem 17.10 the density f

of v is p-almost everywhere uniquely determined. From 17.5 we at least get a positive answer when f is p-integrable, that is, when v is a finite measure. But more

is true:

a a-finite measure p on 0. Then f is p-almost everywhere uniquely determined.

The measure v is or-finite exactly when f is p-almost everywhere real-valued.

Proof. First we show that f is -almost everywhere uniquely determined if the measure p is finite. In proving this we may assume that v(St) = +oo, since its truth is

otherwise a consequence of the second part of 17.5. Furthermore, as we now find

ourselves in case 2 of the preceding proof, the decomposition of St into %J11,...

employed there lets us confine our attention to Sto, as 17.5 takes care of the remaining Stn (n E N). So it suffices to treat the case ft = Sto, that is, to assume

that p and v are linked by the alternative:

A E srp

The constant function +oo is then a density for v with respect to p and what has

to be shown for uniqueness is that f = +oo holds p-almost everywhere. And for

that it suffices to show that

({ f < n}) = 0

for each n E N,

which in turn is a consequence of the above alternative and the inequalities

v({f

<n})=J

f<n}

fdp<np({f <n})<+oo

We will use 17.6 to reduce the general case of or-finite p to the case just treated.

h(fp) = f (hp) has the density f with respect to the finite measure hp, so f is

(h)-almost everywhere uniquely determined. Since the measures p and hp have

the same nullsets, f is therefore also uniquely determined p-almost everywhere.

Next, suppose v is a-finite. From 17.6 once again we get a strictly positive

function k E 21(v). Then kv = (f k) is a finite measure, that is, f k is integrable, consequently also p-almost everywhere real-valued. Because k takes

only non-zero real values, this means that f itself is real p-almost everywhere.

Conversely, suppose that f is p-almost everywhere real-valued. We want to

00

n=0

into a sequence of pairwise disjoint sets from 0 each of finite p-measure. Set

105

00

i.J=o

into a (doubly-indexed) sequence of pairwise disjoint sets from sat. If each has finite

v-measure, this proves that v is a-finite. Consider any i E Z+. Because p(Ao) = 0

and v = f, we have v(1l, n Ao) < v(Ao) = 0. Because v = fit and f < j in AJ,

we have v(12i n AJ) < jp(ni) < +oo for all j E N as well. Thus all is proven. 0

In the generality presented here Theorem 17.10 was proved in 1930 by O.M. NIKODYtM (1888-1974). H. Lebesgue proved the theorem in 1910 for the case where

At is the L-B measure A1. J. RADON (1887-1956) pushed things further in a fundamental work which appeared in 1913. So 17.10 is often also called the theorem of

Lebesgue-Radon-Nikodym. The uniquely determined density f in 17.11 is called

the Radon-Nikodym density or the Radon-Nikodym integrand (of v with respect

top). A beautiful proof of 17.10 by elementary Hilbert-space methods was discovered in 1940 by J. VON NEUMANN (1903-1957) and appears in many textbooks,

e.g., in RUDIN [19871, p. 130-131.

theorem, runs somewhat parallel, Radon and Nikodym having also made significant contributions. We need a concept complementary to p-continuity, namely

p-singularity:

17.12 Definition. Let (Sly, sat) be a measurable space, and v measures defined

on sat. Let us write v << p if v is p-continuous. v is said to be singular with respect

It is obvious that the relation v J p is symmetric in and v, so it is also expressed as p and v are singular to each other (or mutually singular). The definition

(17.10)

v(A) = v(A n N)

for all A E d,

as follows from v(A) = v(A n N) + v(A n CN) and v(CN) = 0. The condition

that v J it thus says that the measure v is "carried by a p-nullset". From v << p

concepts p-continuity and p-singularity are diametral or antipodal. Relative to

L-B measure Ad every Dirac measure ex on

measures on a a-algebra sat in a set 12, then v can be decomposed in just one way

as v = v, + v, with measures vv, v, on sat that satisfy v, << p and v. J p.

v, is called the continuous part of v with respect to p, v, the singular part. The

Radon-Nikodym theorem is applicable to the part vc.

Proof. We will carry out the proof in detail only for finite p and v and indicate in

Exercise 4 how the reader can then handle the general case himself.

106

1 1. Integration Theory

in W. Since v(A) < v(Q) < +oo for every A E Of,

a := sup{v(A) : A E X}

(17.11)

is a real number. Since .X,, is closed under countable unions, there exists an isotone

sequence (An) in .A', with v(An) T a. Since v is continuous from below, it follows

that

v(N) = a

for the set N := U A E .A',,. We will show that via

nEN

two measures are defined on W that do what is wanted. Evidently v = Me + v8,

and V. 1 p since N E .NN. To prove that ve 4 it, it must be shown that v(A') = 0

whenever A E -A;, and A:= A n CN. As a subset of A E X, the set A' and then

also the set A' U N, is p-null. Therefore v(A' U N) < a by definition of a. But

A' n N = 0 and v(N) = a. Hence

from which follows v(A') = 0 as desired, since a is finite.

Uniqueness of the decomposition: Suppose

(17.12)

v=VC +v,=vC'+v,'

are two decompositions of the kind described in the theorem. The measures v v,

are carried by p-nullsets N, N' in the sense of (17.10); which means that

(17.13)

v,,(AnNO)

=0

= v.(A n N) = v,(A),

A return to (17.12), recalling that all measures are finite, gives v,; = v'' as well. 0

There is a short, elementary proof of 17.13 that does not make use of the

Radon-Nikodym theorem; see Woo [1971).

Exercises.

1. Show that the Dirac measure e., on Rd has no density with respect to .1d,

for any x E W'. (Physicists occasionally work with such a "symbolic" density d5,

calling it the Dirac. function at the point x. The correct mathematical object is

nevertheless the Dirac measure es.)

107

2. Show that the relation << on the set of measures on a a-algebra d is reflexive

equivalence relation. Two measures p and v stand in this relation just when they

have the same nullsets. For a-finite measures p and v on d show that p - v is

equivalent to v = f 1L for a density f which satisfies 0 < f (w) < +oo for p-almost

all (or even for all) w E Q.

3. On a a-algebra 0 in a set 11 two measures a and v are related by v < A. Show

that if further it is a-finite, then there is an d-measurable function f satisfying

4. Lebesgue's decomposition theorem was proved for finite measures p and v. Show

how to infer its validity for a-finite measures from this. [Hint: For the existence

proof use 17.6. For the uniqueness proof choose a sequence (An) in 0 with An T Sl

and a(An), v(An) finite for each n, and consider the measures vn(A) := v(Af1An),

AEd,nEN.]

respect to a a-finite measure p. The singular part V. has the form v,(A) = v(AfN)

for all A E 0 and a suitable p-nullset N E d. Show that if N' is any other pnullset with this property, then u(N 0 N') = v(N A N') = 0.

6. Let (S2, .mot, p) be a measure space, v = f 1A a a-finite measure on d having

density f with respect to p. Show that this density function is p-almost everywhere uniquely determined and is p-almost everywhere real-valued. Show that if f

is strictly positive, then p itself is a-finite.

7. Let (11, d) be a measurable space. For every measure on s0 let .M,,, denote

the a-ideal of its nullsets. Show that for any sequence (Pn)nEN of a-finite measures

nEN

8. The set n := 10, +oo[ is a group with respect to multiplication. Show that the

measure on SZ f1.1 defined by p := han with density function h(x) := 1/x is

measure of the group f2 in the sense of the remark immediately following 8.2.

It is worthwhile turning our attention back to Lemma 17.9. The measure concept

in this book is that formulated in Definition 3.3: Measures are premeasures p on

a a-algebra sad, and so are non-negative a-additive functions on d satisfying the

additional condition u(0) = 0. In Lemma 17.9 we encountered a real-valued, aadditive function p which is the difference of two finite measures. Similarly for any

f E 2' (p) the function A H fA f dp on W is the difference of two finite measures,

for example f + p, and f -.

We will call a real function p : sr' - R on a a-algebra a finite signed measure

if it is a-additive in the sense of (3.2), non-negativity not being required. From

108

I l. Integration Theory

(3.1) is also satisfied, that is, g(0) = 0, because g is only allowed to take real

values. A second pass through the proof of Lemma 17.9 will convince the reader

that this lemma is in fact valid for every finite signed measure. As a corollary

we immediately get the following theorem on the existence a Hahn decomposition

of g, a theorem that goes back to H. HAHN (1879-1934).

18.1 Theorem. Let g be a finite signed measure on a a-algebra and in a set Cl.

Then there are sets Sl+, St- E of with Cl = Sl+ U fl-, Sl+ n fl- = 0, and g(A) > 0

for all A in the trace a-algebra Sl+ n 0, and g(A) < 0 for all A E Sl- n dd.

Proof. Set

-y:= sup{g(A) : A E 0}

restriction of g to An nad, we may replace An by a set Pn E 0 satisfying g(Pn) >

g(An) and g(A) > 0 for all A E Pn n 0. We will then have

y=sup{g(Pn):nEN).

(18.1)

Sl+ := U Pn,

S2- := S2 \ Q+ .

nEN

Indeed, all A E H+ n .ad satisfy g(A) > 0 because such an A has the form

A = U Bn

nEN

in the verification of (3.10)). From this representation of A and the a-additivity

follows g(A) _

n=1

on Sl+ n .sad, that is, the restriction of g to Sl+ n 0 is a finite measure. Moreover,

because @(P.):5 g(Sl+) < y and (18.1) this measure satisfies

y=Q(sl+)

In particular, y < +oo since p assumes only real values. g(A) > 0 cannot hold for

any A E Sl- n .sat, for otherwise g(C+ U A) = g(Sl+) + g(A) > y. Thus, g(A) < 0

for allAESl-n0.

Measures (in the sense of Definition 3.3) have occasionally been interpreted

as mass distributions on the underlying set Cl. A finite signed measure can be

analogously interpreted as an (electric) charge distribution smeared over Cl. The

foregoing theorem justifies this metaphor by showing that as with charge in electrostatics, there are two disjoint sets, one carrying all the positive charge, the other

all the negative charge.

109

From this theorem another important feature of signed measures becomes evident: The difference p in Lemma 17.9 is more than an illustrative example of

a signed measure - it is the typical signed measure:

difference of two finite measures on sat.

Proof. Let fl = S2+ U S2- be a Hahn decomposition in the sense of 18.1. Then

evidently

p+(A)

p(A n St+)

A E sat

define measures on d, which satisfy p = p+ - p-, since each A E sat is the disjoint

union (AnS2+)u(Ancl-). 0

With this result the circle closes: finite signed measures are nothing more than

the differences of finite measures. It is however possible to dispense with the finite-

ness hypothesis if a-additivity is handled with sufficient care, but we will not go

into this further.

In the final analysis it is because of the preceding corollary that we only consider

measures with non-negative values in this book. Often to emphasize the distinction

with signed measures, what we call simply measures are called positive measures.

Exercises.

1. Show that every finite signed measure on a a-algebra is bounded and assumes

a largest and a smallest value.

fl = fl2 Uci be two Hahn decompositions for it. Show that ii LSl2 and Sti OS22

are totally p-nulsets, meaning that p(N) = 0 for every N E 0 which is subset of

either of them. Conclude that to within such totally p-nullsets there is only one

Hahn decomposition for p.

3. Let p be a finite signed measure on a a-algebra sat in Q. Show that the specific

representation p = p+ - p- of p as the difference of the two measures on sat which

was produced in the proof of 18.2 is characterized by the following minimality

property: In every representation p = pl - p2 as the difference of measures pl, p2

and indeed if 11 = Sl+ U S2- is any Hahn decomposition of S2 corresponding to p,

on sat generates in this way a different representation of p.) Infer that the only

measure v on sat which satisfies v(A) < min{p+(A), p-(A)} for every A E sat is

the identically 0 measure. [Remark: The representation p = p+ - p uniquely

determined by this minimality condition is called the Jordan decomposition of the

finite signed measure p. As with functions, p+ and p- are called the positive part

and the negative part of p.]

110

1 1. Integration Theory

Along with the measure space (it, .0', i) a measurable space (W,01) and an

jW-d'-measurable mapping

are given. Then the image measure

p` := T(p)

is defined in (7.5). The connection between p-integrals and '-integrals is elucidated by:

19.1 Theorem. For every s/'-measurable numerical function f' > 0 on 0'

(19.1)

the right-band side of (19.1) is therefore defined. To prove the equality there we

first consider only d'-elementary f':

n

ailA s

i=1

f'oTa;lAi

e=1

T(p)(Ai) = p(Ai)

(i = 1,...,n)

holds by definition of image measures, (19.1) follows in this case. For an arbitrary

s9'-measurable f > 0 there is an isotone sequence (un) of d'-elementary functions

for which u;, T f'. Then (un o T) is a sequence of s(-elementary functions for which

u;, o T T f o T. From the validity of (19.1) for the u;, and Definition 11.3 of the

integral in general, we get (19.1) for f'.

the T()-integrability of f' entails the p-integrubility of f' oT, and conversely. In

case of integrability

(19.2)

111

f (f')+dT(p)=J(f')+

o Tdp and

J(f')_dT(P) = f

(f')- oT d1 z,

and of course

(f'oT)+=(f')+oT

and

(f'oT)-=(f')-oT.

Both claims therefore follow from the definition of the integral 12.1.

Then the T(p)-integrability of f' is equivalent to the p-integrability of f' o T, and

in its presence equality (19.2) prevails.

One has only to note that the integrability of f' o T entails the measurability

of f' o T and therewith that off'= f' o T o T -1.

The content of 19.1-19.3 constitutes what is called the "general transformation

theorem for integrals".

known from (8.16'), the transformation theorem for Lebesgue integrals follows at

once:

19.4 Theorem. Let G. G' be open subsets of W', cp : G -> G' a C1-diffeomorphisrn

of G onto G'. A numerical function f' on G' is Ad-integrable if and only if the

function f' o cp I det DWI is Ad-integrable over G, and in this case

(19.3)

Proof. The Ad-integrability of f' over G' and that of f' o W I (let DWI over G means

the AG,-integrability and the AC-integrability of those functions, respectively. According to (8.16')

' (Ac) = I det DWI Ad ;

to 17.3 therefore f'otip is integrable with respect to the measure y:= I (let DWI AG if

and only if f'o(p I det DcpI is integrable with respect to A. Consequently the present

claim follows from Corollary 19.3 applied to T := W-1, because f' = f' o W o and

f f'dAc,_f

f

f'o,pIdctDWIdAd,.

Because of Theorem 19.1, equality (19.3) holds as well for all non-negative,

Borel measurable, numerical functions on G'.

112

1 1. Integration Theory

Exercises.

1. Let (0, dal, p) be a measure space, T : fZ -+ f 1 a mapping which together with

its inverse is an d-d-measurable bijection. Show that for every f E E (St, .ad) the

image measure T(f p) has a density with respect to T(p), namely f o T-1.

mapping such that T-1(A) is a p-nullset whenever A is. Prove the existence of

a measurable function q > 0 such that

fA-'(A) f oTdp

fqdu

-TJ

for all dat-measurable numerical functions f > 0 on fl, and all A E d.

Let us return to the study of p-fold integrable functions begun in 14. Our goal will

be to replace the almost-everywhere convergence concept that underlies the theorems proved there with a weaker convergence concept. It is suggested by a simple

but very useful inequality.

20.1 Lemma. For every measurable numerical function f on 0 and every pair of

real numbers p > 0 and a > 0 the Chebyshev-Markov inequality

p({IfI >- a}) <-

(20.1)

af

Iflp dp

holds.

fd

integrable, it follows from (20.1) that

(20.2)

a-r+co

One can also study the dependence on it E N of the measures of the sets

{ I fn - f I > a} when f, fl, f2.... are measurable real functions. That leads to

the aforementioned new convergence concept.

113

be (-)stochastically convergent (or to be convergent in p-measure) to a measurable

real function f on S2, if for each real number a > 0 and each A E d of finite

measure

(20.3)

+oo

- lim fn = f

(20.4)

Remarks. 1. For a finite measure p we may take A = 52 in (20.3) and in this case

stochastic convergence of (fn) to f is equivalent to the requirement

(20.5)

The more complicated condition (20.3) is dictated by the desire to treat infinite,

and especially a-finite, measures as well as finite ones.

2. For a-finite measures p the stochastic convergence of a sequence (fn) to f is

generally not equivalent to (20.5), as the next example illustrates.

on sad by the equations

({n}) = n

for every n E N

and the requirement of o-additivity. With An := {n, n + 1,.. .} and In := 1A., for

each n E N, the sequence (fn) converges stochastically to 0: For every a E 10, 1[,

{ jn > a} = An, and since An ,. 0, it follows from 3.2 that lim (An n A) = 0

for every A E Af having finite measure. On the other hand, u(A.) = +oo for

every nEN.

measurable real function f' on 11. If f' = f p-almost everywhere in every A E d

which has finite measure, then f' is also a stochastic limit of the sequence (fn).

This is because the sets

differ from each other only in an (n-independent) nullset.

The converse of this is important:

20.3 Theorem. For every o-finite measure p, any two stochastic limits of a sequence of measurable real functions are -almost everywhere equal to each other.

114

1 1. Integration Theory

Proof. If f and f* are stochastic limits of the sequence (fn), then from the triangle

inequality in R

whence

p({If-f*I >a}nA)<p({Ifn-fl>a/2}nA)+p({Ifn-f*I2:a/2}n A)

for every n E N and every A E d. Letting n -3 oo shows that

for every a > 0 and every A E ii of finite measure. Then however, f = f* "-almost

everywhere in every such set A, since

kEN

is a p-nullset. Upon taking for A the sets in a sequence (An) in 41 which satisfies

p(An) < +oo for all n and An t 0, the p-almost everywhere equality of f and f

follows. D

To supplement this fact we mention:

Remark. 4. Stochastic limits f and f* of the same sequence (fn) are almost

everywhere equal without any hypotheses on the measure itself if both functions

are p-fold integrable for some p E [1, +oo[. This is because for every real a > 0 the

set (if - f* I > a} has finite measure, by (20.1), and so f = f * p-almost everywhere in this set, whence { If - f * I > 0} = U {If - f* I > 1/n} is a countable

nEN

union of p-nullsets. This just says that f = f* p-almost everywhere in Sl. But the

next example shows that it may fail if one of the functions is not in any 2P-space.

Example. 2. Consider the measure space (fl, Y(fl), p), where 11 consists of exactly

two elements wo,wl and p({wo}) = 0, p({wl}) = +oo, fn = f = 0 for every n E N.

These functions lie in every .2'P(p) and the sequence (fn) converges stochastically

non-zero at wl, however, lies in no 2"(p) with 1 < p < +00 and fails to coincide

p-almost everywhere in 11 with f.

The considerations with which we began this section lead to an important class

of stochastically convergent sequences:

20.4 Theorem. If the sequence (fn) in 2P(p) converges in e" mean to a function

f E 2P(p) for some 1 < p < +oo, then it also converges to f p-stochastically.

Proof. The Chebyshev-Markov inequality tells us that

115

holds for every n E N, every a > 0 and every A E s+d. The claimed stochastic

convergence, that is, the convergence to 0 of the left end of this chain as n -+ oo,

follows because f I fn - f I' d -+ 0 as n -+ oo is the definition of convergence

in pth mean. 0

The proof shows that convergence in eh mean actually entails the stronger

form of stochastic convergence in (20.5). The situation is different when the given

sequence is almost everywhere convergent. (On this point cf. also Remark 5.)

20.5 Theorem. If a sequence (fn)nEN of measurable real functions on fl converges

-almost everywhere in Sl - or even just p-almost everywhere in each set A E st

of finite measure - to a measurable malfunction f on 1l, then this sequence also

converges p-stochastically to f.

1a}

and so

m>n

for every A E d. The present claim therefore follows from our next lemma, applied

20.6 Lemma. If the measure p is finite, then each of the following three conditions

on a sequence (fn)nEN of measurable real functions is equivalent to (fn) converging

p-almost everywhere to 0:

(20.6)

(20.6')

p(limsap{Ifnl>a})=0

lim A

n-rao

(20.7)

m>n

m>n

Proof. To prove the equivalence of (20.6) with the almost everywhere convergence

of (fn) to 0, we set, for each a > 0 and each n E N

An :_ { sup IN > a} .

m>n

isotone on N. If we also set

op

1 1. Integration Theory

116

then these lie in W. either by appeal to 9.5 or by noticing that each A; E W and

A= n U

kEN nEN

Passing to complements,

CA= U nAnk

kEN nEN

and so

n A ;/k r CA as k -+ oo,

and Al/k

n 1

fI' dl

"m

as n -00.

mEN

nEH

Consequently,

(20.8)

kEN

kEN 'nEN

nEN

because the finite measure is both continuous from above and continuous from

below, by 3.2. Thus (fn) converges almost everywhere to 0 just when the number

defined by (20.8) is 0. In turn, the latter occurs exactly in case

nEN

n-+oo

for every k E N. The first equivalence follows from this. The equivalence of (20.6)

with (20.6') follows from the observation that for any numerical function g on S2

{g>a}C{g>a}C{g>a'}

whenever 0 < a' < a.

Finally, the equivalence of (20.6') with (20.7) follows from the validity, for every

(20.9)

m> n

m>n

On the one hand, Bn I B and consequently tim p(Bn) = (B). On the other hand,

however,

rn>n

m>n

The conditions involved in Theorems 20.4 and 20.5 are indeed sufficient to

insure stochastic convergence, but they are not necessary for it, as the following

examples show.

117

converges to 0 at every point of Q

An :_ JO, 1/n[ E a, the sequence

and so, either by appeal to 20.4 or by virtue of

= n"p(An) = np-1

shows that the sequence does not converge to 0 in pth mean for any p > 1.

4.

Let (fl, 0, ) be the measure space of the preceding example. Write each n E N

uniquely determines them) and set

In

n E N.

lAn,

It was shown in the example in 15 that the sequence (fn(w))nEN converges for

no w E S1. Nevertheless the sequence (fn) does converge stochastically to 0, since

for every a > 0 and n E N

In this example stochastic convergence can also be inferred from 20.4, since the

example in 15 showed that (fn) converges to 0 in pth mean for every p E [1, +oo[.

The connection between stochastic convergence and almost-everywhere convergence is nevertheless closer than one would be led to suspect on the basis of the

last example.

,u-stochastically to a measurable real function f, then for every A E 0 of finite

p-measure some subsequence of (fn) converges to f -almost everywhere in A.

Proof. For A E sa( with (A) < +oo, the measure A, which is the restriction of p

to A n.ad, is finite. It therefore suffices to deal with the case of a finite measure u;

moreover, in that case we can simply take A to be St itself.

For a > 0 and m, n E N the triangle inequality shows that

a/2);

thus by hypothesis ({I fn, - fnl > a}) can be made arbitrarily small by taking m

and n sufficiently large. If therefore (rlk)kEN is a sequence of positive real numbers

with

00

k=1

118

I l. Integration Theory

forallm>nk.

{t({Ifm-fnkl?nk})<-nk

Clearly the sequence (nk)kEN can be chosen strictly isotone: nk < nk+1 for every

k E N. If now we set

k E N,

{Ifnk+t - fnk l llk},

Ak

then

00

00

>

k=1

k=1

and consequently,

p(Ak) = 0.

lira

n-oo

k=n

n-,00

p(A) = 0,

00

because A C U Ak for every n E N, entailing that p(A) < E p(Ak) for every n.

k=n

k>n

Ifnk+. (w) - fnk (w) I ? rlk

prevails for at most finitely many k E N. Therefore, along with the series E Ilk,

the series

00

1: lfnk+l(w) - A. (w)1

k=1

converges (absolutely); that is, the sequence Y n& (w))kEN converges in R. In summary, the sequence (fnk) converges almost everywhere to a measurable real func-

tion f' on !l. By 20.5 f' is also a stochastic limit of (fnk )kEN. But, as a subthat sequence converges stochastically to f as well. Hence

sequence of

by 20.3, f = f " almost everywhere. We have shown therefore that (fnk )kEN con-

In terms of almost-everywhere convergence we can now even characterize stochastic convergence by a subsequence principle.

20.8 Corollary. A sequence (fn) of measurable real functions on 11 converges pstochastically to a measurable real function f on ) if and only if for each A E of of

finite measure, each subsequence (fnk )kEN of (fn) contains a further subsequence

which converges to f p-almost everywhere in A.

Proof. The preceding theorem establishes that the subsequence condition is necessary for the stochastic convergence of (fn) to f, since every subsequence of (fn)

119

likewise converges stochastically to f. Let us now assume that the subsequence condition is fulfilled, and fix an A E W of finite measure. Since every subsequence (f,,.)

latter subsequence must also converge (in A) stochastically to f, we see that in

the sequence of numbers

(kEN),

p({Ifnk - fI -a}nA)

easy argument confirms, a sequence of real numbers whose subsequences, have this

property must itself converge to 0. That is, the sequence of real numbers

>a}nA)

(nEN)

converges to 0. As this is true of every A E d having finite measure and every a > 0, the stochastic convergence of

to f is thereby confirmed. 0

Remarks. 5. It is not to be expected that in 20.7 and 20.8 the reference to the

finite-measure set A E W can be stricken. This is already illustrated by Example 2

if one replaces the sequence (fn) there with the sequence (f) defined by f,, :_

nl(,,,, ), n E N. This new sequence also converges stochastically to f := 0. See

however Exercise 5.

6. The second part of the proof of 20.7 shows that for finite measures u there is

a Cauchy criterion for the stochastic convergence of a sequence (f.): Necessary

to a measurable

and sufficient for the stochastic convergence of a sequence

real function on S1 is the condition

for every a > 0.

litre

m.n-ix

7.

The sequence formed by alternately taking terms from each of two stochasti-

cally convergent sequences whose limit functions do not coincide almost everywhere

shows that in Corollary 20.8 it does not suffice to demand that in each A some

sub sequence of the full sequence (fn) converge almost everywhere.

A particularly useful consequence of 20.8 is:

20.9 Theorem. If the sequence (f,,) ,EN of measurable rral functions on 11 converges stochastically to a measurable real function f on. Q. and yo : R -4 R is

continuous, then the sequence (y^ o f )nEN converges stochastically to V o f.

Proof. One exploits both directions of 20.8, noting that from the almost everyto f on an A E 41 follows the almost

everywhere convergence of (,p o

f on A. 0

sense that (o o f,

inherits the kind of convergence (f,,)iE14 has, is investigated

by BARTLE and Jo1CH1 (1961]. They show how Theorem 20.9 can fail if the more

restrictive definition (20.5) is adopted for stochastic convergence.

120

Exercises.

are stochastically convergent sequences of measurable real func1. (fn) and

tions, having limit functions f and g, respectively. Show that for all a,,8 E R

the sequence (af,, + 13g,,) converges stochastically to of + fg, and the sequences

(fn A gn), (f V g,,) converge stochastically to f A.9, f V g, respectively.

2. For a measure space (Si, d,,u) with finite measure p let d, be the pseudomet-

d,,-convergent to A E 0 if and only if the sequence (NAB) of indicator functions

converges stochastically to the indicator function IA.

3. For every pair of measurable real functions f and g on a measure space (Cl, sA, )

with finite measure define

and then prove that

(a) DP is a pseudometric on the set M(d) of all measurable real functions.

(b) A sequence (fn) in M(W) converges stochastically to f E M(d) if and only if

lim D, (f,,, f) = 0.

n +00

(c) M(se) is D,,-complete, that is, every D Cauchy sequence in M(d) converges

with respect to Da to some function in M(Ao ).

What is the relation of D,, to the d of Exercise 2?

4. In the context of Exercise 3 define

If - gi

dp,

for every pair of functions f, g E M(ss). Show that D also enjoys the properties

(a)-(c) proved for D$, in the preceding exercise.

be a or-finite measure space. Show that a sequence (fn) of measur5. Let

able real functions on Cl converges stochastically to a measurable real function f

on Cl if and only if from every subsequence (fk) of (fn) a further subsequence can

be extracted which converges almost everywhere in 0 to f. [Hints: Suppose (fn) is

stochastically convergent. Choose a sequence (Ak) from d with p(Ak) < +oo for

each k and Ak 1 11, and consider the finite measures pk(A) := (A fl At,) on sW.

The claim is true of each measure Pk. Given a subsequence 4 of (fn), there is for

each k E N a subsequence of (g;,k))nEN of 4' which converges pk-almost everywhere

the diagonal subsequence (g;,ni ), EN does what is wanted.]

6. Give an "elementary" proof of 20.9 based directly on the relevant definition 20.2.

To this end, show that for each E E 10, 1[ there exists 6 > 0 such that fl f I <

7. (Theorem of D.F. Ecoaov (1869-1931)) Let (S2,srd,A) be a measure space

with finite measure p. Show that: For every sequence (fn)nEN of measurable real

functions on Cl its convergence almost everywhere to a measurable real function f

is equivalent to its so-called almost-uniform convergence to f. The latter means

21. Equi-integrability

121

that for every 6 > 0 there exists an A6 E W such that p(A6) < b and (fn) converges

to f uniformly on CA6. [Hint: Exercise 2 of 11.]

21. Equi-integrability

The sufficient condition for convergence in eh mean which is set out in Lebesgue's

dominated convergence theorem can be transformed into a necessary as well as sufficient condition with the help of stochastic convergence. But we need the concept

of equi-integrability, which is of fundamental significance.

In the following (S2, sz4, p) will again be an arbitrary measure space, and p is

always a real number satisfying 1 < p < +oo.

The point of departure is a simple observation. A measurable numerical function f on S2 is integrable if and only if for every e > 0 there is a non-negative

integrable function g = ge such that

(21.1)

{ f = 0} U { If I = +oo} and thanks to 13.6 the integral in (21.1) is actually equal

to 0. Conversely, if we have (21.1) even for just one real e > 0, then

f IfI dp=

{IfI?9}

IfI dp+

{III<9}

This observation induces us to make

(p-)equi-integrable if for every e > 0 there exists a p-integrable function g = ge > 0

on 0 such that every f E M satisfies

(21.2)

f I dp< e.

III_9}

called equi-integrable if the set { fi : i E I) is equi-integrable. Equi-integrable sets

and families are sometimes also called "uniformly integrable".

From now on, any function ge as described in Definition 21.1 will be called an

e-bound for the given set of functions. Obviously, along with an a-bound g for a set

of functions, any integrable g' 2 g is also an e-bound.

functions on S2, then their union is also p-equi-integrable, because whenever gj is

an a-bound for MM (j = 1, ... , n), then gl V... Vg,, is an a-bound for Ml U... U Mn.

122

2.

1 1. Integration Theory

Example 1 and the fact, demonstrated in the course of proving (21.1), that any

set consisting of just one integrable function f is equi-integrable, the function 2 If I

being an a-bound for every e > 0.

Suppose M is a set of measurable numerical functions on fl, 1 < p < +oo, and

there is a p-fold -integrable majorant g for M, that is, every f E M satisfies

3.

-almost everywhere.

If1 < g

M":={IfIP:fEM}

is equi-integrable. Indeed, as in Example 2, the single integrable function h := 2gP

is an --bound for every e > 0, since by 13.6

fId < J

gP d = J

d = 0

{g=too}

{gP>h}

1f1P>h}

about an equi-integrable set of functions. Of course, one cannot expect that conversely from the equi-integrability of a subset of .`" (t) there should follow the

existence of a single integrable majorant for the set. The following example confirms this.

Consider the probability space (N, .(N), ), the finite measure being specified by ({n}) = 2-n for each n E N. The sequence of functions fn := 2"n-11{n)

(n E N) is equi-integrable: For the constant function 1 E .2o1() the inequality

4.

fn d <

function n i-- 2nn-1 on N.

5. Let (St, d, ) be the measure space of Example 3, 20, and (fn)nEN the sequence

of functions considered there: An := [0, [ and fn := n1A, for each n E N. This

sequence is not equi-integrable, which wensee as follows: for every integrable g > 0

and every n E N

JIf-I>g}

If,.Id=J

nd=J nd-J

A

nd>1-J

From the finiteness of the measure g and the fact that An 1 {0}, it follows that

liminf

J

n_+00

Ifnl d> 1,

{If..I>g}

Here is a useful characterization of equi-integrability, which, for o-finite measures, will be improved upon in 21.8.

21. Equi-integrability

123

if and only if the following two conditions are satisfied:

sup

(21.3)

fEM

f If I d < oo .

(21.4) For every e > 0 there exists a p-integrable function h > 0 and a number

3 > 0 such that

Proof. For every A E &/, every measurable numerical function f on 0, and every

integrable function g > 0

f AIfI du=

An{IfI>g}

IfI du+ f

An{III<g}

IfI du<_

{IfI?g}

IfI

du+f gdu

A

f IfI du <_ f

IfI d+

{IfI>_g}

f gdu.

Assuming that the set M is equi-integrable, let us choose for g an E-bound for it

and then set h := g, d

2. Then conditions (21.3) and (21.4) follow from the

preceding inequalities.

Conversely, assume the two conditions are fulfilled and let e > 0 be given. Let

h and b > 0 be as furnished by (21.4). For each f E M and real a > 0, consider

the obviously valid inequality

f IfI du

4IfI?ah}

Ifl du > f

{If

(If I>_-h}

or its equivalent

1

If I dM.

a > 0 can be chosen so large that

hd < b

for all f E M.

{IfIiah}

(21.4) then insures that g := ah is an c-bound for M, which proves that this set

is equi-integrable. 0

21.3 Corollary. Let M C 2P and the set MP :_ { If I P : f E MI be equiintegrable, where 1 < p < +oo. Then the set

M;:={laf+,0glP:f,gEM,a,,0ER,Ial:_1,1,01<_1}

is equi-integrable.

124

Proof. For every f E 2P(p) and every A E dd, I lA f l <- If I shows that 1A f E

2'(p) too, and so for all fl, f2 E 2P(p) Minkowski's inequality (14.4) gives

Np(lAfl + lAf2) :5 Np(lAfl)+Np(lAf2),

whence

///'

JA

If,Ip dp)

1/v

1/1 p

ICI < 1, and hearing in mind that 21.2 is (by hypothesis) valid for the set MP,

one realizes that conditions (21.3) and (21.4) are fulfilled by M: as well as by MP,

with the same function h in both cases. 0

We are now in a position to deliver the sharpened version of the dominated

convergence theorem mentioned in the introduction to this section. That we really

and Theorem 20.4, according to which stochastic convergence follows from almosteverywhere convergence, and on the other by Example 4 of 20, which shows that

there are situations in which the dominated convergence theorem is not applicable

but the following theorem is.

21.4 Theorem. For every sequence. (fn)nEN of p -fold, p-integrable real functions

on a measure space (1l, sd, p) the following two assertions are equivalent:

(i) The sequence (fn) converges in p`h mean.

(ii) The sequence (fn) converges p-stochastically, and the sequence (Ifnlp) is pequi-integrable.

lim Np(fn-f)=0.

n+oo

In the light of 20.4 only the equi-integrability of the sequence (I fnI") has to be

proved. By (15.2) the sequence (Np(fn))nEN converges to Np(f) and is therefore

bounded, so the set M := (If,, 1' : n E N} satisfies (21.3).

(fA

If,.Idt) "<-Np(fn-f)+(JA

If1Pd\1/

J

To every e > 0 corresponds an nE E N such that Np(fn - f) < 2-eel/p for all

h:=If1IPV...VIfn,IPVIfIP,

condition (21.4) is also satisfied by M.

(ii) .(i): From the stochastic convergence of the sequence (fn) and Remark 6

in 20 it follows that

(21.5)

lim p({I fm -

n,m- .

a} n A) = 0

21. Equi-integrability

125

for every A E W of finite measure and every real a > 0. We have to show that

is a Cauchy sequence in 2P(), that is, that the doubly-indexed sequence of

functions frnn := frn - fn satisfies

rrr

= 0.

lim fIfrnfll' do

According to 21.3, along with the set {IfnIP : it E N} the set 1190 :_ {lfnrnI

m, n E N} is also equi-integrable. Hence to every e > 0 corresponds an integrable

function gE > 0 such that f{f _g. } f d < e holds for all f E Mo. If we set g := 9E1 /P

then g is p-fold integrable and the preceding inequality can be written

fnrnIPdu<<e

for allm,nEN.

Because

f If,.. I" d =

frn lP d

Ifnrn IP d < 3E

(21.6)

{Ifm I<g}

holds for all sufficiently large m, n E N. Now gP, being a finite measure on so',

is continuous from above. Since n {g < k-1 } = {g = 0), i'l > 0 can therefore be

kEN

chosen small enough that

fwnl

g" (11,<E.

(21.7)

fId J

g }

gP d <

for all m, n E N.

The Chebyshev-Markov inequality insures that the set {g > Y}} has finite r

measure. According to (21.5) therefore the doubly-indexed sequence of sets

Ann :_ {I fnrnl > a} fl {g > 7)}

lim

m.n-4Q0

(A,,,n) = 0.

()PJgpd1j

< E,

in,nEN

1 1. Integration Theory

126

The p-continuity of the finite measure gPp and 17.8 provide for an no E N such

that

gP dp < e

,,

Hence

(21.8)

Ifmn IP dp <

gP du < e

(21.9)

JIfrnnV' dp<&A({g>r)})<()"f?d

<efor allm,nE14,

17

{Ifmk9}fAm.,

confirmation was the last outstanding claim in the proof that (ii) implies (i).

Remark. 1. Theorem 21.4 does not claim that from the stochastic convergence of

a sequence (fn) to a measurable real function f, the p-fold integrability of f and the

convergence of (fn) to f in pth mean follow as soon as the sequence (if. JP) is equiintegrable. Rather the theorem guarantees the existence of a p-fold integrable function among the possible stochastic limits of the sequence (fe). The sequence (fn)

does converge in eh mean to every such stochastic limit, as follows from the proof

of the theorem in the light of Remark 4 of 20, according to which any two p-fold

integrable stochastic limits must in fact coincide almost everywhere.

But stochastic limits that are not p-fold integrable do exist, a fact that can be

demonstrated with the aid of the Example in 20: For the sequence (fn) there,

(If,, 1") is equi-integrable. But among the stochastic limits f' that occur there,

f' E .`BP(p) for some p E I1,+oo[ if and only if f'(wi) = 0.

However, the phenomenon discussed above does not occur for a-finite measures. By 20.3 in that case any two stochastic limits are almost everywhere equal.

Therefore we have

21.5 Corollary. Suppose the measure p is a -finite. If a sequence (fn) from. "P(p)

converges stochastically to a (measurable, real) function f, and if the sequence

(IfnIP) is equi-integrable, then f E 2P(p) and (fn) converges in pth mean to I.

to (i) and (ii) which is suggested by F. Riesz' Theorem 15.3. En route to this

sharpening the following lemma plays a key role. On the other hand, from the

sharpening that we are aiming for, the lemma can in turn be deduced, as can

the theorem of F. Riesz, even with its almost-everywhere convergence hypothesis

weakened to stochastic convergence.

21. Equi-integrability

127

21.6 Lemma. Suppose the sequence of functions f > 0 from 2' (p) converges

stochastically to a function f > 0 from 2'(It). If in addition

lien

then the

sequence

f f dit = If dp,

J

converges to f in mean.

0< fA

and Example 3 show that it is equi-integrable. Since

05f-fAfn<-Ifn-fI

(forallnEN),

this new sequence then converges to f in mean. We therefore also have

(21.10)

lim

n>z

hypothesis follows the companion result

(21.10')

lim

If V f dp =

f du.

shows that the claimed mean convergence ensues upon subtracting (21.10) from

(21.10').

Now we can get the sharpening of Theorems 21.4 and 15.4 mentioned earlier:

21.7 Theorem. For every sequence (fn) in 2P(t) which converges p-stochastically

to a function f E 2P(,u) the following three assertions are equivalent:

The sequence (fn) converges in p'h mean to f .

(1)

(ii) The sequence (If,, 1") is equi-integrable.

(iii) lim f If,, I' d;i = f If I' dp.

n-, x.

Proof. The equivalence of (i) and (ii) is contained in Theorem 21.4. We need

therefore establish only two implications:

(i) .(iii): Assertion (15.6) in Theorem 15.1 affirms this.

(iii)=,>(ii): From the hypothesized stochastic convergence of the sequence (f,,)

to f follows that of (I f I') to If 11, via 20.9. And then from the preceding lemma

it further follows that the sequence (If P) converges to I fI' in mean. Finally,

Theorem 21.4 - with the p there chosen to be I - shows that the convergence in

mean of this sequence entails its equi-integrability.

128

1 1. Integration Theory

particularly convenient for applications. The a-finiteness will be exploited in the

form expressed by 17.6, that there is a strictly positive function h in Y' (it).

21.8 Theorem. Let (S2, dd, p) be a o-finite measure space and h a strictly positive

function from 2'(p). Then for any set M of dd-measurable numerical functions

on Sl the following three assertions are equivalent:

(i) M is equi-integrable.

(ii) For every e > 0 some scalar multiple of h is an a-bound for M.

(iii) M satisfies

sup

(21.11)

JEM

as well as the following: Given e > 0 there exists 6 > 0 such that

fhd6=JIfIdlA<c

(21.12)

for allAEdd,fEM.

s lim

(21.13)

JIfI>ah} If I du = 0

holds uniformly for f E M. Condition (21.12) is for obvious reasons (cf. 17.8)

called the equi-(hit)-continuity of the measures If I , f E M.

Proof. (i) .(ii): Let g be an E-bound for M. Then for all f E M and all a > 0

{IfI>-hh}

IfI d=

{IfI>oh}n{IfI>g}

< fj IfI>_g} I fI d+

IfI d+

{(fI>h)n{(fI<9)

gdla < E +

IfI d

9d

fig >cth}

According to 13.6, ({g = +oo}) = 0. Since g is a finite measure on dd, it is

{g>ah}

a>o

nEN

k>ah)

g d < 2

for all sufficiently large a. Coupled with the preceding inequality this shows that

indeed ah is an a-bound for all sufficiently large a, that is, (ii) holds.

21. Equi-integrability

129

the proof of 21.2, ah being now eligible for the function g there:

hd/1

Theorem 21.8 is of special significance for finite measures p. Then it is often

expedient to choose for h the constant function 1. When one does, (21.13) assumes

the equivalent form

(21.13')

lim

a-++oo

J IfI?a} IfI dp = 0

uniformly for f E M.

This condition is thus - just as (21.13) for a-finite measures - necessary and

sufficient for equi-integrability of M.

by (21.11) cannot in general be dropped from the hypotheses. It suffices to consider

the measure space ({a}, Y({ a}), Ca) consisting of a single point and the sequence

e > 0 and every strictly positive h, (21.12) holds whenever 0 < 6 < h(a).

Let us close by deriving a sufficient condition for equi-integrability in the finitemeasure case which generalizes the introductory Example 3.

21.9 Lemma. Let p be a finite measure and M C Y' (y). Suppose that there is

a p-integrable function g > 0 such that

(21.14)

J{Ift?a}

IfI dp <

J{IJI>a}

9dp

Proof. The case a:= 0 of (21.14) says that f If I dp < f g dp < +oo for all f E M.

Then Chebyshev's inequality tells us that

p({IfI ? a}) <_

(21.15)

a-4+oo

uniformly in f E M.

fdize.

130

Jim

n++0oJ(Ill>o)

IfI dp = 0

uniformly for f E M,

Exercises.

1. Show that for any measure space (0, a, p) a set M of measurable numerical

functions is equi-integrable if and only if for every e > 0 there is an integrable

function h = hr > 0 such that f (If I - h)+ < e for all f E M. [Hint: For sufficiently

large q > 0, g := r)h will be a 2e-bound for M.]

2. Let (S2, d,14) be an arbitrary measure space, 1 < p < +oo. Suppose the se((t) converges almost everywhere on 12 to a measurable real

quence (f,,) in

function f. Show that f lies in 2P(p) and (fn) converges to fin pth mean if the

sequence (If,, I P) is equi-integrable.

follows the 21-convergence of the sequence (I fn IP) to If I, for any 1 < p < +oo.

4. Consider a finite measure .t and an M C Y1(). For each n E N, f E M set

an(f):=n({n<_IfI<n+1}).

00

Show that M is equi-integrable if and only the series E an(f) converges uniformly

na

in f E M. [Cf. Theorem 3.4 and its proof in BAUER [1996].]

5. Consider a finite measure p and an M C 2 (z). Show that M is equi-integrable

lilri q(t)

t0+00 t

_ +oo and

spu

J q If I du < +oo.

(In fact we have to do here with a necessary as well as a sufficient condition, which

goes back to CH. DE LA VALLEE POUSSIN (1866-1962). Moreover, q can always

be chosen to be convex and isotone. Cf. MEYER [1976], p. 19 or DELLACHERIE

and MEYER [1975], p. 38.)

6. Let (fl,.ad,p) be a measure space with (S2) < +oo, (fn)nEN a sequence of

measurable numerical functions fn > 0, and set f* := lira .supoofn. Show that:

n

(a) If the sequence (fn) is equi-integrable (or at least satisfies condition (21.12)),

then the following "dual version" of Fatou's lemma is valid:

(*)

How does the corresponding result in Exercise I of 15 fit in? [Hint: Exercise 2

of 11.]

(b) Under the hypothesis f f' du < +oc, the sequence (f,,) is equi-integrable if

and only if (*) holds. [In proving the "if" direction, argue indirectly.]

21. Equi-integrability

131

(c) Result (b) can fail in case f f ` d = +oo. Try to corroborate this with a se-

quence (an

derived by appropriate choice of (sufficiently large) numbers

a,, > 0 from the sequence (f,,) in the Example from 15.

7. Let (f), .x, ) be a measurable space with (S2) < +oo, and let (v;)iE f be a family

of finite and it-continuous measures on 0. Suppose this family is equi-continuous

at 0, meaning that to every sequence (An)nEN in iA with A,, J. 0 and to every

that then this family is equi--continuous in the following sense (cf. (21.12)): To

every E > 0 there corresponds a 6 = 6e > 0 such that

and (A)<6

vi(A)<eforalliEI.

What does this result say in view of Theorem 21.8? (Hint: Review the proof of

Theorem 17.8.1

Chapter III

Product Measures

In this short chapter we will investigate whether and how one can associate a product with finitely many measure spaces. And for the product measures thus gotten

we will want to see about how to integrate with respect to them in terms of their

factors. We will recognize the L-B measure Ad as being a special product measure

of the concept of convolution for measures and functions.

j = 1, ... , n E N are given. We consider

Q:= X11j=Q1x...xQ,t

j=1

Pj : 52 -> S2y

which assigns to each point (w1, ,w,) E I its jth coordinate wj. The a-algebra

in Q generated by the mappings pa,. , pn is designated

n

j=1

and called the product of the a-algebrns d1 r ... , d,,. According to (7.3) we have to

do here with the smallest a-algebra s in ft such that each pj is d-safj-measurable.

The reader may recall that the product of finitely many topological spaces is

defined in a very similar way.

An important principle of generation for such products is immediately at hand:

22.1 Theorem. For each j = 1, ... , it let Ag be a generator of the a-algebra salj

in SZj which contains a sequence (Ejk)kEN of sets with Ejk T Q j. Then the a-algebra

.n is generated by the system of all sets

A(i 0

E1x...xEn

with E., E 9, for each j = 1, ... , n.

133

Proof. Let 0 be any a-algebra in Q. What we have to show is that the mappings p,

are all d-Oj-measurable (j = 1,.. . , n) if and only if s+d contains each of the

sets El x ... x En described above. According to 7.2 pj is .V-Afj-measurable just

exactly if p 1(E3) E 0 for every E3 E 8 . If this condition is fulfilled for each

j E {1,.. . , n}, then the sets

El x ... x En =p11(El)n...npnl(En)

all lie in 0. If conversely, E, x ... x En E s+1 for every possible choice of E3 E 4

and j E {1,. .. , n }, then upon fixing E3 E 8j, the sets

Fk:=Elkx...xEj-1.kxEi xEj+1,kx...xEnk,

kEN,

this set too lies in d, for each j. The claim is therewith proven.

13

dispensed with. Take, for example, n := 2, sail

in which .QF2 contains at least four sets.

A particular case of this theorem is the fact that the product dj ... srdn is

generated by all the sets Al x ... x An with each A3 E . . Our further course will

be guided by the following example:

system of all sets E1 x ... x En with each E? E Jr' is evidently just the system .5n

of all right half-open intervals in Rn. According to 6.1, fn generates the a-algebra R" of n-dimensional Borel sets. Taken together with 22.1 - whose hypotheses

are clearly satisfied here - this reveals that

,qn = a1

(22.2)

(& R1

for all I, i ... , In E .01. This remark and the example preceding it leads to the

following question.

Measure spaces (f13, O j, pi) are given, 1 < j < n with n > 2, and for each dj

010 .. . (9 On satisfying

(22.3)

zr(E1

be proven?

The accompanying uniqueness question can be settled at once:

134

22.2 Theorem. Suppose that for each j = 1, ... , n irj is an n-stable generator

of ao which contains a sequence (Ejk)kEN of sets of finite pj-measure satisfying Ejk f 11j. Then there is at most one measure rr on alt ... x/ erljjoying

property (22.3).

Proof. Let 8 denote the system of all sets El x ... x E,,, where Ej E ej for each j.

According to 22.1, 8 generates the a-algebra dj (9 ... 04. Since each Bj is

f-)-stable, so is 8, as the identity

?I

9=1

j=1

J=1

evidently satisfies

EkTf1,x...xf1,,.

Recalling that j (Ejk) < +oe for all (relevant) j and k, we see that the uniqueness

claim therefore follows from 5.4. (Obviously it would suffice if U Ejk = f1j instead

kEN

Under the hypotheses of 22.2, which obviously entail the a-finiteness of each

measure uj, the existence of the desired measure it can also be proven. This proof

will be carried out in the next section, first for it = 2, then for arbitrary n > 2.

f:S2o-4 SZlx..-xSZ

of a measurable space (11o, ado) into a product of measurable spaces (0j, Afj) is

measurable with respect to the a-algebra all ... as' if and only if each component mapping fj := pj o f off is d0-Oj-measurable - a fact which is immediate

from Theorem 7.4.

Exercise.

Finitely many measurable spaces (flj,.Wj) are given, j = 1,. .. , n. Show that the

algebra in S21 x ... x S2 generated by all sets Al x ... x A,, with each Aj E .rrdj

consists of all finite unions of such product sets.

135

Initially measure spaces (521, .sdl, pj ), (522, sd2, 2) are given. For every Q C ill x 112

the sets

(23.1)

{w1 E ili : (w1,w2) E Q}

Q111

Q,,,.,

are called, respectively, the w1-section of Q (w1 E ill) and the w2-section of Q

(w2 E p2)

This notation is chosen for typographic simplicity and will see us through 23,

after which it is not needed. In case ill = il2i however, it presents obvious problems, to circumvent which, alternative notations like,,,, Q or Q4 for Q,,1 are also

popular in the literature.

About these sets we claim:

23.1 Lemma. If Q E sd1 sd2i then its w1-section lies in ad2 for every w1 E 01,

and its w2-section lies in sd1 for every w2 E i12.

Proof. For arbitrary subsets Q, Q1 i Q2.... Of fl :=121 x 522i and points w1 E ill

(!\Q)w, =!2\Q.1

and

(U Qn)

= U (Qn)., .

nEN

nEN

Furthermore 52, = 112, and more generally for Al C 111, A2 C ill we have

(A1 x A2),1 =

j A2

0

if w1 E Al

if w1 E ill \ A1.

For each w1 E 121, therefore, the system of all sets Q C fl having section Q,,, E .ode

A2 E ode. But according to 22.1 01 (& ad2 is the smallest a-algebra which contains

all such product sets. This proves the part of the lemma dealing with w1-sections.

Of course, w2-sections are treated the same way. 0

Since now 2(QW1) and

make sense for all Q E 01 .02, wl E ill and

w2 E S12, we are in a position to take the next step:

23.2 Lemma. Suppose the measures p1 and 2 are or-finite. Then for every Q E

sd1 . 9 the functions

w1 H 2(Q.,)

and w2 H A, (Q..)

136

Proof. The function wl H P2(Qw,) will be denoted by sq. We will establish the

d1-measurability of sq, for each Q E d1 sal2. The other function can be treated

analogously.

First suppose that 2(1Z2) < +oo. In this case the set ) of all D E .01 sal2

whose sD function is.call-measurable constitutes a Dynkin system in C := 111 x 11.2.

This involves the following easily checked assertions:

811 = /12(122);

Furthermore 9 contains Al x A2 for every Al E salli A2 E sale, since

SA, xA2 =112(A2) - lA,

The system if of all such Al x A2 is fl-stable and generates sale sd2, by 22.1.

Therefore 2.4 insures that 01 ad2 is the Dynkin system generated by it. From

9 C -9 C Wl ,42 therefore follows that .9 = .call .v i which is what is being

claimed.

If 162 is only a-finite, then there is a sequence

finite 162-measure, with Bn T 112. For each n, A2 H u2(A2f B.) is therefore a finite

measure 162,, on sate, to which the already proven result can be applied, showing

is .aft-measurable for each Q E Of, 02. Now

that wl H

112(Q,,,) = auP112,,(Qw,)

nEN

because of the continuity from below of the measure 162. From Theorem 9.5 then

the mapping wl -r 162(Q,,,) is indeed

al-measurable.

23.3 Theorem. Let (f1j, dj, pp) be o-finite measure spaces, j = 1, 2. Then there

is exactly one measure.. it on all .sate which satisfies

(23.2)

(23.3)

it(Q) =

and is a-finite.

Proof. As before, for each Q E sate e s12 let sq denote the Wi-measurable function

on 121; it is of course non-negative. Consequently via

w1

ir(Q) :=

JSQdILI

a non-negative function it is well defined on 010 sate. For every sequence (Q,)nEH

of pairwise disjoint sets from sat 0 szt2 the equality sUq = E sq, and 11.5 insure

that

137

00

7r U Qn) _ F, n(Qn)

n=1

nEN

It has property (23.2) because

SA, XA2 = p2(A2)IA,, whence integration yields

7r(A1 x A2) = pl(A1)a2(A2)

ir'(Q) :=

fi(Qw2)iz2(dw2)

also defines a measure on s1 d2 having this property. But when Theorem 22.2

measure. Thus 7r = 7r' and (23.3) is confirmed. There is a sequence (Ajn)nEN of

sets from ,rarj, each of finite pj-measure, with Ajn T 52j, for j = 1 and j = 2. Using

these as the A1, A2, respectively, in (23.2) proves the a-finiteness of IT because

is applied to 9d1

23.4 Definition. The measure IT on 010 .W2 which is uniquely specified by (23.2)

whenever (521,911,p1) and (122,d2ip2) are a-finite measure spaces is called the

product of the measures p1 and 02 and is denoted by

Thus also the question posed in 22 is answered for a-finite measures p1, P2.

Theorem 22.2, then according to 22.2 and 23.3, Al p2 is the only measure IT on

01 02 which satisfies (22.3).

The Example in 22 therefore entails that A2 = a1 a1. Similar considerations

lead to the validity of

Am+n = '\ )n

been made.

We turn now to integrating with respect to the product measure 141 p2. Our

notation for sections can be usefully extended to functions for this purpose. If

f : S21 X 122 -+ 12o is any mapping, we define its sections f, for each w1 E 521 and

f,, for each w2 E 92 as mappings of 121 and f12, respectively, into 11o by

(23.4)

f., (w2)

f (w1,w2)

f,.,2 (wi)

f (wi, w2)

Notice that if Q C 121 x 122 and f := 1Q, then these functions satisfy

(23.5)

(IQ),,, = IQ.,,

and

(IQ),,,2 = IQ,

138

Note, of course, that these indicator functions have different domains, and, just as

with (23.1), further caution is called for with (23.4) in case ill = f12. Equations

(23.4), and (23.5) lead us to call the mapping f,,,, the wj-section of f. It enjoys

the expected properties:

23.5 Lemma. For every measurable space (W, d') and every measurable mapping

f: (11 x122,4110A)-(11',d')

is sate -d' -measurable and f,,, is .11-d'-measurable for every wl E 11 i w2 E S12.

fJ,'(A') = {w2 E 122 : (w1, w2) E

f-1(A')}

_ (f -'(A')),,,

(f-1(A'))w,,

so the measurability claims follow from Lemma 23.1.

Decisive is the following theorem which extends formula (23.3) from indicator

functions to non-negative measurable functions. It goes back to L. TONELLI (18851946), its corollary to G. FUBINI (1879-1943). Both statements are often combined

under the single designation the theorem of Fubini.

23.6 Theorem (of Tonelli). Let (111,41z) be o-finite measure spaces (j = 1, 2),

and let

f: 121x122 R+

be s1 0 .sat2-measurable. Then the functions

r

d2

(23.6)

ffd(i0u2)=

J(ffW2dul),02(dw2)=J(ff1due)l(dw1)

at-elementary function f :

n

f:_Eaj1Qj

(ai>O,QjEa,nEN).

j=1

f"

Eaj1il040,

d,u1=

j=1

aj14IL2 and so

139

an iA2-measurable function on l2 thanks to 23.2. Its integration is therefore accomplished by (23.3) thus:

f(ff2d1) _

aj7r(Q7) =

j=1

f d7r,

For an arbitrary d-measurable numerical function f > 0 let (u(')) be a sequence of .say-elementary functions such that uini T f. Then, as was noted in the

first part of the proof,

is a sequence of dl-elementary functions, which

obviously satisfy u) T fw2 (for each w2 E 112). Consequently, the functions

Ji4)dir

V(n)(w2)

which are

w2 E 112,

w2H

f)2dp1,

by 11.3. This function is therefore also a02-measurable and the monotone convergence theorem 11.4 says that

ff

w(') d'2

nEN

f ep(n) dM2 = J u(n) d7r

for each n E N.

f f d7r = sup I

u(n) d7r.

nEN

J(ffdi)P2(dw2) =

f f dir,

and wholly analogous arguments establish the claims about the functions f", . 0

Having disposed of non-negative functions, the next step in integration theory

is to pass over to integrable functions. For them we get

23.7 Corollary (Theorem of Fubini). For j = 1, 2 let (llj, a4j, 14j) be a-finite

measure spaces, f a k1 0 p2-integrable numerical function on !l x 02. Then for

l-almost every w1 the function f,, is 142-integrable and for 2-almost every w2

the function f,,,2 is 1-integrable. The functions

140

thus defined p,-almost everywhere on fl, and P2-almost everywhere on f12, respectively, are pl-integrable and 2-integrable, respectively, and equations (23.6) are

valid.

IfIWj - I fWjI,

(f.,)-

(f

so we will employ parenthesis-free notation. According to (23.6) the product measure it := , 2 satisfies

+10-

In particular, the ddb,-measurable numerical function w, H f Iff,I d2 is lintegrable and so by 13.6 it is ,-almost everywhere finite. That is (by 12.1),

for ,-almost every w, the section f, is 2-integrable. Consequently,

w1 14

f L. d2 = f f.+,

d112 -

f,;, d02

is assured of each integral on the right by Theorem 23.6. In turn each of these

integrals is ,-integrable by 23.6. So our pi-almost everywhere defined function

w1 H f fW, dp2 is ,-integrable and

=

f + dir -

f - dir =

f dir.

thereby secure the rest of what is being claimed.

The theorems of Tonelli and Fubini insure, in particular, that under the stated

hypotheses the order of repeated integrations is immaterial. We can emphasize this

by writing the equation (23.6) in the form

(23 6')

f f d(1(9 2) = f f f(W1,W2)111(dW0112(dw2)

= Jff(wiw2)2(dw2)i(dwi).

That exceptional sets of measure zero cannot generally be ignored in the conclusions of Fubini's theorem is illustrated by the following example.

Example. 1. Consider L-B measure A2 = A' A' on R2, the set A := Q x R E R',

and its indicator function f := 1,1. According to 23.3 or 23.6 we have A2(A) =

f f dA2 = 0, so f is A2-integrable. Nevertheless, for every w1 E Q, the section

f,,,, = la is not A'-integrable.

141

Remark. 1. For certain measures 1,P2 which are not or-finite the existence but

usually not the uniqueness of a product measure can be proved by other methods.

See, e.g., BERBEIUAN [1962]. Even if just one of p' or 112 fails to be a-finite, the

second equality in (23.3) can fail. Cf. Exercise 1, p. 145 of HALMOS [1974], as

well as chapter IV, 16 of HAHN and ROSENTHAL [1948]. Moreover, there exist

f : 91 x f12 - R+ which are not sail (9 02-measurable yet the "iterated integrals"

on the right side of (23.6) make sense (and are finite). For an abundance of illuminating but elementary counterexamples related to this famous theorem, see

CHATTERJI [1985-86] and MATTNER [1999].

that it permits p-integrals to be expressed by means of A1-integrals.

23.8 Theorem. Let (S2, d, p) be a a -finite measure space and f : Il - R+ a measurable, non-negative, real function. Further, let W : R+ -+ 11 P+ be a continuous

isotone function which is continuously differentiable at least on R+ :_ ]0,+00[

and satisfies w(0) = 0. Then

(23.7)

+00

co o f dp = fit ,

J0

Proof. Consider the L-B measure A' := AR+ on the o-algebra R' := R+ fl9l. The

function F : 0 x R+ -+ R2 defined by

F(w, t) :_ (f (w), t)

is, according to Remark 2 in 22, 0 .4'-measurable, because each of its component functions is. Therefore the F-preimage of the closed half-plane {(x, y) E R2 :

x > y}, namely

E:={(w,t)ESZxR+: f(w)>t},

lies in sad.. Theorem 23.6 for the product measure pA' consequently supplies

the equalities

JJ

(23.8)

(t)IE(w,t)A'(dt)p(dw) = f f V(t)1E(w,t)(dw)X'(dt)

= Jw'(t)iz(Ei)A(dt) =

since the t-section of E is just the set of all w E 1 which satisfy f (w) > t. As V

is isotone, W'(t) > 0 for all t > 0. The continuous function gyp' is integrable over

[1/n, a] whenever 1/n < a < +oo, and since [1/n, a] t ]0, a], and

oal

(t)A'(dt) = limo J

142

(cp(0) = 0 and Sp is continuous on R+), we see that V is also integrable over 10, a]

for every a > 0. It follows from f > 0 and the preceding calculation that

p'(t)a(dt) = (f(w))

for every

E S1,

o,f(W)l

o f d =

f (Jlo,f(W)l

= J f o'(t)llo,nw)d(t)A*(dt)(&)

=

IV

V(t) := t' with p > 0. Thus for every a(-measurable real function f > 0 on S1

(23.9)

fl'd=p

+

0

(23.10)

f f du =

t})dt.

The reader should not overlook the geometric significance of this, which is that

the integral f f d is formed "vertically", while the integral on the right-hand side

of (23.10) is formed "horizontally".

Now at last we turn back to the general case of 22 and consider finitely many

o-finite measure spaces (S1i, di,,a ), j = 1, ... , n and n > 2.

The two product sets (f21 x ... x 1li_1) x On and SZ1 x ... x Sln_1 x Stn will

be identified via the bijection

((w1,...,W,y_1),wn) H (L11,...,wn-l,wn)

The agreed-upon equality of these sets leads at once to the equality of the corresponding products of v-algebras:

(23.11)

(Wi...An-1)-Wn=010...An-1dd/n.

In fact, by 22.1 the sets Al x ... x An- l with each Ai E jz(j generate rote...OAfn-1,

143

formation of products of a-algebras:

m

j=1

j=m+1

(23.12)

-'10

= j=1

0j

(1<m<nEN).

The convention (23.11) opens up the possibility of proving the existence of product

measures on any finite number n > 2 of factors via induction on n.

23.9 Theorem. or-finite measures l, ... , n on a-algebras .d1, ... , jVn uniquely

determine a measure 7r on safe ... 0 do such that

(23.13)

l, ... , n and is denoted by

n

j l...n.

j=1

Proof. In 22.2 take for the various generators 8j the o-algebra .dj itself, and learn

that there is at most one measure 7r which satisfies (23.13). The existence question

has already been settled for n = 2, in 23.3. We make the inductive assumption

that 7r' := 1 ... n-1 exists for some n > 2 and show how that leads to the

existence of l ... n. Evidently the a-finiteness of l, ... , n_1 entails that

of 7r', as in the proof of Theorem 23.3. That theorem therefore supplies us with

a measure 7r := 7r' n on (.W1 ... .dn_ 1) .dn which satisfies

7r(Q' x An) = 7r'(Q')n(An)

for all Q' E .d1 ... .dn-1 and all An E dd4n. Because of (23.11) this measure

does what is wanted at level n, completing the induction. Again, a-finiteness of 7r

is confirmed exactly as in the proof of 23.3. 0

This inductive construction of the n-fold product measure builds in the equality

(23.14)

By now familiar considerations show that in fact a general associativity prevails

in the formation of product measures:

m

(23.15)

In particular

(j)(

j)=

j

j=1

j=m+1

j=1

xd

V,

(1<m<nEN).

with d factors.

144

In view of (23.15) induction can also be used to extend the theorems of Tonelli

and Fubini to multiple factors. We will formulate only the analog of 23.6:

Let f _> 0 be an s91... .c 4-measurable numerical function on 01 x... x Stn.

Then for every permutation j1, ... , j,, of 1, ... , n

Jfd(ii...in)

(23.16)

= f(... (f (f f(w1i...,wn)j,(dwj,))j.(dwjs))...)jr(dwj.)'

Every integral that occurs on the right-hand side is measurable with respect to

the product of the appropriate Oj, namely those corresponding to the coordinates

in which integration has not yet occurred. This right-hand side is often written in

the shorter fashion

J ... J

The simple proof of this theorem (involving induction), as well as the formula,

tion and proof of the analog of 23.7, will be left to the reader.

One more piece of notation is convenient:

23.10 Definition. For finitely many a-finite measure spaces (SZj, Wj, j), 1 < j <

+,

1l

1!

n, the triple ()( SZj, .Wj, j) is called the product of these measure spaces

7=1

j=1

j=1

and is denoted by

j,

14Y

j=1

Remark. 2. Throughout the preceding the index set was finite. But there is

also a theory of products of (finite) measures indexed by arbitrary sets, which

is particularly important in probability theory; it is treated in detail by BAUER

[1996], and somewhat more extensively in HEw rr and STROMBERG [1965]. For

p-measures SAF,KI [1996] gives a short, elementary proof that uses only 5.1.

In closing we will consider the case where each measure j comes with a real

density f j > 0. According to Theorem 17.11, vj := f jj is then a a-finite measure

too.

andfj>0real-

vj = fjj,

Then the product of these measures is defined and satisfies

(23.17)

j=1

j=1

vj = F. (j)

j = 1,...,n.

145

n

[ffj(wj),

F(wl,...,wn)

(23.18)

j=1

Proof. As already noted, 17.11 insures that each measure vj is a-finite, guarantee-

ing that their product is defined. It suffices to treat the case n = 2 and refer the

general case to induction. For sets Al E

and A2 E s12

vl(A1)v2(A2) =

(jfid14i)(j12d142)

z

Jf

I ._

lA,(w1)fl(wl)lA2(w2)f2(w2)141(dwl)112(dw2)

= Jf lA,xA2(wl,w2)F(wl,w2)1L1(dwl)122(dw2)

From 23.6 therefore

Fd(141 1L2),

v1(A1)v2(A2) = J

, x A2

But then according to 23.3, v1 v2 coincides with the measure F (141 14z). 0

Exercises.

1. Consider 521 = 522 :=1R, 01 = 02 := ,41, it, := Al and 142

the non-a-finite

counting measure on .41 (cf. Example 3, 5). Show that equality (23.3) fails to

hold for Q := D, the diagonal {(w,w) : w E R} in 121 x 522. Why does D lie in

jV1 002 =W2?

2. Show that the function

(x, y) H 2e2xv - exv

is not A2-integrable over the set [1, +oo[x [0, 1].

3. With the aid of Tonelli's theorem find a new proof of Theorem 8.1 along the

following lines: Up is a translation-invariant measure on mod, 14([O,1[) = 1, and f >

0, g > 0 are Borel measurable numerical functions on Rd, compare the integrals

f()f(x + y)14(dx)Ad(dy)

and, finally, take f to be any indicator function, g the indicator function of [0, 1[.

4. Compute

00

0

and thereby evaluate anew the important integral G = 21 in (16.1), in the folye_y2V2

lowing simple way: fo a-e2 dt = fo

dx for every y > 0 and therefore

146

yP-v2(1+z2).

Applying Tonelli's theorem leads to I = 2Vr7r.

5. Let IxI := (x + ... + xd)112 denote the usual euclidean norm of the vector

x := (x1,. .. , xd) E Rd. Show that the function x H e-Iz1 is ad-integrable for

every a > 0. (Recall Exercise 2 of 16.) In case a = 2, show that the Ad-integral

of this function is Gd.

6. KL(xo) will denote the closed ball in Rd with center xo and radius r > 0. Set

ad :_

and prove that

,\d(K*(xo)) = adrd .

a2q = 4 9rq,

2q(2q

and a2q- i = 1 3

- 1)

a-1

(q E Dl).

[Hint: Use (7.10) and note that every xd-section of K,.(0) is either empty or is

a (d-1)-dimensional closed ball. Tone1G's theorem then leads to a recursion formula

for the ad. Here, of course, 7r has its customary geometric meaning.]

How do these relations change if we replace K,.(xo) by the open ball Kr(xo)

in Rd of radius r and center xo? [Cf. Exercise 3 in 7.]

7. For every compact interval [a, ,Q] C R+ designate by R(a, Q) the spherical shell

Show that for every continuous real function h on such an interval (a, /3] C R+

h(Jxj)Ad(dx) = d ad f

R(a,p)

h(t)td-1

dt,

ad being the number ad(KI (0)) from the preceding exercise. [Hint: The function H

defined on [a, p) by

H(t) := f

h(IxI)J1d(dx),

8. Apply the result of Exercise 7 to the case d = 2 and h(t) :=

show, using Exercise 5, once again that G = f.

tE

a-t2

in order to

the set of all t > 0 such that u({f = t}) # 0, as well as the set of all t > 0 such

that ({ f > t}) # ({ f > t}) is countable. Therefore in the equalities (23.8),

(23.9) and (23.10), p({ f > t}) can always be replaced by ({ f > t}).

147

Consider the d-dimensional Borel measurable space (Rd,.gd). Every finite measure on Rd will be called a finite or also a bounded Borel measure, and the set

of all of them will be designated by.,&+' (lR'). For every such the number

(24.1)

lI,II := IA(Rd)

Making critical use of the group structure of (Rd, +) a so-called convolution

product can be assigned to any finitely many measures Al, ... , An E .K+ (Rd);

the original o-algebra Vd, even an element of .,of' (Rd). What we do below can

be carried out in every (abelian) locally compact group. We cannot, however, go

into this generalization, but must instead refer interested readers to the excellent

monographs of HEwIrr and Ross [1979] and RUDIN [1962]. Initially we consider

this measure is an element of .,W+b (Rod) The mapping A. : R"d -3 Rd defined by

is continuous, and so Vnd-.mod-measurable. The following definition accordingly

makes sense:

24.1 Definition. The image under the mapping An of the product measure

-IC/+b(Rd),

plo. .Idn is called the convolution product of the measures pl,... , An E

in symbols

(24.2)

The theorems on product and image measures combine to yield the most important properties of the convolution operation *. First of all, At * ... *An is again

an element of .0+1 (Rd) and

l*...*n(R")=l...p,(R"d)=1111I ...

IIJUnII

so that in fact

(24.3)

(24.4)

for every n + 1 measures from .4 (Rd). To see this, introduce the continuous

mapping Bn+1 : R(n+l)d _+ Red by

148

Bn+1(p1 ... OA. 0 pn+1) = A. (j AI ... pn) pn+1,

Al * ... * pn * n+1 = A2(Bn+l (JAI ... pn pn+i ))

= A2((1.t1 * ... * A.) 0 pn+1),

which confirms (24.4). Henceforth therefore n = 2.

For any measures p, v E .4f+' (Rd) and any 0-measurable numerical function

f > 0 it follows from T19.1 and 23.6 that

fd(E.e*v)

=J foA2d(pv)

= ff f(x + y)p(dx)v(dy)

(24.5)

= f f f(x + y)v(dy)(dn)

As this holds for f := 1B, they indicator function of any set B E fed, we have

(24.6)

also an associative operation in .1/+(R.d)

Due to 19.2 and 23.7, (24.5) are valid as well for every p*v-integrable numerical

function f on Rd. Equality (24.6) is frequently taken as the definition of p * v.

Evidently .,W+6 (Rd) is closed with respect to addition and under multiplication

by numbers in R+. From (24.6) we immediately see the relation of convolution to

these two operations: For all p, v, v1i v2 E .41+(Rd), a E 11 Y+

p*(vl+v2)=p*v1+p*v2,

p*(av)=(ap)*v=a(p*v).

(24.7)

(24.8)

The distributive law (24.7) even holds in the following generality: For every

sequence

n=1

00

E vn is also a measure in .4f+1 (Rd) (cf. Example 4 of 3). Taking account of 11.5,

n=1

00

(24.9)

14 *(E14t

n=1

00

Ep*vn

n=1

149

a E Rd, and by ea the (Dirac-)measure on Md defined by unit mass at the point a.

Of course, Ea E -f+(Rd) and IIEa1I = 1. From (24.6) follows that Ea * (B) _

(B - a) = (T; ' (B)) for all B E mod, and so

(24.10)

E. * = Ta(p)

Now To is the identity mapping, so co is a - and obviously the only - unit with

respect to convolution. If, namely, E were also a unit, meaning that p = E *,U for

every E 4. (Rd), then it would follow that Eo = E * co = E.

For the special choice p := Eb, (24.10) says that

(24.10')

Ea * Eb = Ea+b

IIII = f f dAd < +oo, p also lies in W+ (Rd). Let us compute p*v for an arbitrary

v E .,4+(Rd). From 17.3 using the translation-invariance of Ad and the general

transformation theorem 19.1, we get

= f f 1B(x +

y)f(x)T-v(Ad)(dx)v(dy)

= f f 1B(x)f(x

- y)Ad(dx)v(dy)

for every B E .mod. With the help of Tonelli's theorem it further follows that

B

function is also Ad-integrable, since f q dAd = Ilp * vfl < +oo. Thus whenever p has

a density with respect to Ad, so does p * v. We set f * v := q, that is, we make the

definition

(24.11)

f * v(x) := f f (x - y)v(dy)

for x E Rd.

(24.12)

(/Ad) * v = (f * v)Ad.

3. Besides p = f Ad, let now v = gAd also have a Ad-integrable density g > 0.

According to 17.3 and the preceding

f * (gAd)(x) = f f(x - y)g(y)Ad(dy)

(x E Rd)

150

is a density for u * v with respect to Ad. We denote this function by f * g, that is,

we set

(24.13)

f * g(x)

f f(x - y)g(y).d(dy)

(x E Rd)

and get

(f Ad)*(gAd)_(f*g)Ad-

(24.14)

Here too f *g is called the convolution off and g. It is defined for every pair of nonnegative Ad-integrable functions and is itself such a function. Nevertheless, it might

not be real-valued, even if f and g each are (cf. Remark 1 below). Ftom (24.13)

and the translation- and reflection-invariance of Ad it follows that for every x E Rd

=

(24.15)

f * g = g * f.

(24.16)

(f*g)*h=f*(g*h)

The distributive law

(24.17)

f*(g+h)=f*g+f*h

(24.18)

(aER.F.)

for such functions hold as well and follow immediately from (24.13).

4. For arbitrary functions f, g E 2' (Ad) decomposition into their positive and

negative parts and appeal to the resusecured in 3. show that

x +

ff(x - y)g(y)Ad(dy),

while possibly defined only Ad-almost everywhere (see Remark 1 below), is always

Ad-integrable. One can therefore define f * g by

f * g(x):= f f(x - y)g(y)Ad(dy)

but generally only for Ad-almost all x E Rd. Once again the expression convolution

is used for this f * g.

151

Remarks. 1. For real-valued, non-negative functions f, g E pl (Ad) the function f * g need not be finite everywhere. It suffices to consider any real-valued,

non-negative, even function f which lies in Y1 (A") but not in 22(Ad) and to take

g = f. Then f * g(0) = +oo. In case d = 1, such a function is

f(x) :=

forlxI>Iorx=0

10

1

IXI-112

above with the definition of f * g disappear. Indeed, let f H f be the canonical

mapping of .1 (Ad) onto Ll (Ad). One defines f * g for arbitrary f , E Ll (Ad) as

the image h of a function h E 21 (Ad) which coincides Ad-almost everywhere with

f * g. This definition is independent of the special choice of representing functions

f, g and h from 21 (Ad). The new operation * renders the vector space Ll (Ad) an

algebra over R.

Exercises.

1. Show that for any it, v E dii (Rd) and any linear mapping T : Rd - Rd,

T( * v) = T(p) * T(v). To this end, first observe that T o A2 = A2 o (T (& T),

where T 0 T denotes the mapping (x, y) -+ (T (x), T (y)) of Rd x Rd into itself.

2. Compute the nlh convolution power of the function f defined on R by f (x)

ethat is, the convolution f * ... * f with n(E N) factors. Is it true that for

every n E N, f has an "nth convolution root"? That is, is f the nth convolution

power of some A'-integrable function g > 0?

3. If we set N1(f)

f I f I dAd (this is (14.1) for it := Ad), then

N, (f *g) <N,(f)N,(g)

holds for all f, g E 21(Ad), and for non-negative functions equality prevails.

4. Write out the details of Remark 2 and show that

III*9II1 5 II/II,

119111

holds for all elements f and g of the Banach space L1(Ad). The latter is therefore

a Banach algebra.

Chapter N

out to be unavoidable to subject the Borel measures on Rd to more precise analysis. These measures possess a host of remarkable properties involving the topology

of Rd. Up to this point topology has only entered the picture in the generation

of the Borel sets. We will see that the completeness of the euclidean metric, respectively, the local compactness of Rd were responsible for the aforementioned

properties. But there are more general topological spaces, important in their own

right, which share these properties with Rd.

Therefore from the start we will set our exposition in an essentially more general framework: Instead of Borel measures on Rd we will study Radon measures

on Polish and locally compact spaces. In the process new facts, even in the Rd

environment, about the nature of the integral and the measurability concept will

emerge. A natural and useful convergence concept will play a role.

In what follows some simple things from general (point-set) topology will be

pre-supposed. The textbooks of KELLEY [1955] and WILLARD [1970] are good

sources for these, and explicit references to them will be given at the appropriate

points in the text.

Initially E will be an arbitrary topological space. The system of its open subsets

which defines the topology will be denoted B. In the case of Rd we had determined (cf. 6.4) that the o-algebra of Borel sets is generated by the open sets.

Consonant with this we now make the general

called the Borel or-algebra in E:

(25.1)

.l

(E) := Q(6) .

The closed sets being the complements of the open ones, _V(E) is also generated

by the system of all closed subsets of E. In this respect the analogy with 6.4 extends

a bit farther. The intersection of a sequence of open sets is called a G6-set, and

the dual, the union of a sequence of closed sets is called an Fa-set. All such sets

are clearly Borel.

153

closed, hence Borel. The second example below will show, however, that generally

the a-algebra generated by the class Xfof all compact subsets of E is strictly

smaller that _4(E). So at this point the analogy with 6.4 falters.

Examples. 1. From 6.4, as has already been mentioned,

-4 (Rd) = .Vd,

(25.2)

2.

' of

compact sets consists just of the finite subsets of E. Consequently (cf. Examples 2

and 7 in 1) o(..iE') is the countable and co-countable a-algebra, comprised of all

countable subsets of E and their complements, and so o ,(X) = -V(E) if and only

if E is countable.

R(E) on Q:

-v(Q) = Q n 9(E).

3.

contains this system, it follows that 9(Q) C Q n . f(E). On the other hand, the

system {A C E : Q n A E .9(Q)} is obviously a a-algebra in E which contains all

the open subsets of E, a generating system for .V(Q). Hence Q n M(E) C SR(Q).

If Q itself is a Borel set in E, then ..(Q) just consists of all the Borel sets in E

which are subsets of Q.

4.

.9(i) = R1

In fact, R n..(i) = ..(R) = V1 by Examples 1 and 3 above. The subsets {-oo}

(25.3)

and {+oo} are closed in R and the subset R is open in R, hence all three are Borel

sets in K. Equality (25.3) therefore follows from the definition of R1, given in 9.

In the sequel we will be studying measures on R(E) for two important classes

of spaces E. In preparation for which we make

is called:

(i)

a Borel measure on E if

(ii) locally finite if every point of E has an open neighborhood of finite -measure;

(25.4)

154

(25.5)

Note that a Borel measure is more than just a measure defined on 69(E): in

addition finiteness on the system of compact sets is demanded. The inner and

outer regularity conditions say that the measure is determined on every Borel set

by its values on the compact, resp., the open sets. The Borel measures on E = Rd

are already familiar to us from 6.

Every finite measure on M(E) is obviously a Borel measure; as in 24 where

E = Rd, we naturally call it a finite Borel measure on E. The notation introduced

there for the total mass of a finite Borel measure will be carried over to this more

general setting: For every finite Borel measure i on a Hausdorff space E

(25.6)

IIiII := p(E)

Already at this point we can observe that every locally finite measure p on R(E)

is a Borel measure, that is, that

(25.7)

(ii)

(i) .

Indeed, each point x in the compact set K has an open neighborhood V,, with

p(Vr) < +oo, and compactness means that finitely many of these, say those corresponding to x, , .... x,,, cover K. Then

n

p(Vxf) < + 0 C .

The converse of (25.7) is, however, not generally valid. Exercise 2 below furnishes

eui example.

on 1(E), we will henceforth say simply locally finite Bore! measures.

For the moment we will be content to illustrate the regularity concept with

some examples.

Examples. 5. Let E be an arbitrary Hausdorff space, a a point in E. The measure eq on .(E) defined by unit mass at a:

(25.8)

e .(A) = 1A(a)

for A E R (E)

is both inner and outer regular on E. Henceforth it will be called the Dirac measure

on Eat a.

As in Example 2, let E be a discrete space, so that t9 = .9p(E). The compact

sets are just the finite ones. The measure defined on .9(E) by

if A is countable

J0

p(A)

1 +oo otherwise

6.

155

is a locally finite Borel measure which is obviously outer regular. It is, however,

inner regular if and only if the set E is countable.

7. On -41 = .a(R) consider the counting measure. It is not a Borel measure, is

however inner regular, but not outer regular. In fact, equality (25.5) fails even for

one-point sets B.

will see that it - and indeed every Borel measure on Rd - is regular.

8.

space those Borel measures which are locally finite and inner regular play a distinguished role. Such measures are nowadays named after J. RADON (1887-1956).

A work of his from the year 1913 (cf. the bibliography), which has since become

classical, set this development in motion.

25.3 Definition. A measure defined on the Borel a-algebra . (E) of a Hausdorff

space E is called a Radon measure on E if it is both locally finite and inner regular.

More precisely the term used is "positive" Radon measure, but in this book

we dispense with that adjective because non-negativity is built into our definition

of measure, that is, we consider only measures with values in [0, +oo]. Example 5

says that the Dirac measure at any point a E E is always a Radon measure on E.

We have already noted that Borel measures are not automatically locally finite.

Nevertheless for many spaces Radon measures can be defined simply as the inner

regular Borel measures. That is the import of

neighborhood basis, every inner regular Borel measure p on E is also locally finite

and hence a Radon measure.

Prof. We argue by contradiction: Suppose that it is not locally finite, which means

there is a point x E E such that u(V) = +oo for every open neighborhood V of x.

By hypothesis x has a neighborhood basis consisting of a sequence (Vn) of open

sets, and by replacing each V. with V1 fl ... fl V,,, we may suppose that V. 1. {x}.

Since p(Vn) = +oo and p is inner regular, there exists a compact subset Kn C V.

such that p(K,,) > n, and this is true of each n E N. Now the set

K := {x} U U Kn

nEN

since (Vn) is a neighborhood basis at x, Vno C U for some no E N. It follows that

C U for all n > no. Since Kl U ... U Kno is a compact subset of K,

K, C Vn C

it is covered by finitely many sets in 9l. These together with U then furnish the

desired finite covering of K. On the one hand then p(K) < +oo, since p is a Borel

156

This is the contradiction sought. O

for allnEN.

Exercises.

1. Let (Q, .W) be a measurable space, 8 a generator of &V and ! ' a subset of Q.

Consider the traces a' and d" of a' and 8, reap., on S2' and show that e' is

a generator of the a-algebra .rah' in ff. Example 3 above is a special case.

2. Equip the set R with the so-called right-sided topology (which is also sometimes

named after SORGENFREY [1947) whose system 0, of open sets is defined as

follows: A subset U C R lies in r if and only if for each x E U there is an e > 0

such that [x, x + E[ C U. The topological space thus created will be denoted R,.

Establish, one after another, the following claims:

(a) Every right half-open interval [a, b[ is both open and closed in R,.. The rightsided topology on R is strictly finer than the usual topology. In particular,

R, is a Hausdorff space.

(c) Suppose (x,e) is a strictly isotone sequence of real numbers possessing the

supremum b E R. Then the set {z : n E N} U {b} is closed but not compact

in R,. By contrast, if (y,,) is a strictly antitone sequence of real numbers

possessing the infimum a E R, then {a} U {y : n E N} is compact in R,..

(d) Let K be compact in R,. Then there exists (from the first part of (c)) for every

x E Kay E Q with y < x and [y, x[f1K = 0. If for each x E K, p(x) designates

such a rational number y, then a mapping B : K -+ Q materializes which is

strictly isotone, and hence injective.

(e) Every compact subset of R, is countable. (But (c) shows that the converse is

not true.)

(f) Consider on .W(R,) = . 1 the measure p which assigns to every countable set

the value 0 and to every uncountable set the value +oo (cf. Example 6). Then

p is a Borel measure on R, for which no point of R, has a neighborhood of

finite measure. In particular, the measure p is not locally finite and is neither

inner regular nor outer regular.

f(x) := x-'

llo,+ool(x)

(x E R)

respect to its inner and outer regularity.

157

For two extensive classes of Hausdorff spaces Borel measures come up very naturally. The first of these classes will be discussed in this section, beginning of course

with its

26.1 Definition. A topological space E is called Polish when its topology has

a countable base and can be defined by a complete metric.

The terminology is due to N. BouRBAKI and commemorates the achievements

of Polish topologists in the development of general topology.

A metric is called complete when the associated metric space is complete: every

Cauchy subsequence in it converges. A countable base or basis for the topology is

a countable system of open sets such that every open set is the union of those from

the system which are subsets of it. For a metrizable space E the existence of such

a basis is equivalent to the existence of a countable dense subset.

Examples. 1. The euclidean spaces Rd of every dimension d > 1 are Polish, the

ordinary euclidean metric being complete.

The product E' x E" of two Polish spaces is another, when given the product

topology. For if d, d" are complete metrics generating the topologies of E' and E",

reap., then the product topology of E' x E" is generated by the metric

2.

which moreover is complete. If 9',9" are countable bases for E', E", resp., then

{G' x G" : G' E 91, G" E 9") is a countable basis for E' x E".

Every closed subspace F of a Polish space E is Polish. Just restrict to F any

complete metric that generates the topology of E.

3.

4.

metric giving the topology of E, and consider the set F of all (A, x) E R x E

E\G) = 1. Here, as usual, for 0 0 A C E. d(x., A) := inf{d(x, a)

a E A} is the distance from the point x E E to A. The mapping x H d(x, A) is

continuous on E, in fact., as the reader can easily check, ld(x, A) - d(y, A)l <

satisfying

function on R x E, and F is a closed subset of R x E, hence itself a Polish space,

by 3. Finally, (A, x) H .r. maps F homeomorphically onto G. To see surjectivity,

we only have to notice that, because E \ G is closed, G coincides with the set {x E

E : d(x, E \ G) > 0}.

5.

More generally it is true (cf. COHN [1980], Theorem 8.1.4 or WILLARI) [1970],

in E, that is. A is the intersection of a sequence of open subsets of E. Thus, for

158

example, the set J of all irrational numbers with its topology as a subspace of R

is Polish, since

J= n (R \ {x}) .

2E'Q

Every compact space E with a countable basis is Polish. For a famous theorem

of P.S. URYSOHN (1889-1924) (cf. KELLEY [1955], p. 125 or WILLARD [1970],

6.

even give a proof of this. The compactness of E easily entails that every metric

defining its topology is complete.

The key to the further discussion is the following lemma, which is here just

a preliminary to the big theorem that follows it, but nevertheless is significant in

its own right. In it we encounter our first extensive class of Radon measures.

26.2 Lemma. Every finite Borel measure it on a Polish space E is regular.

Proof. We consider the system .9 of all B E -W(E) which satisfy both

(26.1)

and

The goal of course is to show that .9 = M(E). We block off the work into five

sections. Let d be a complete metric defining the topology of E.

1. E E 9: Only (26.1) needs proof when B = E. Let (X,,)-EN be a sequence which

is dense in E, and for x E E, real r > 0 let Kr(x) denote the open ball of center x

and d-radius r. For every r then E _ U K,.(xn), because in every ball Kr(x) lies

(26.2)

nEN

k

j=1

-F2'

j=1

kp

Each set Bn

nEN

j=1

and we have

u(E)-(K)=(E\K)=p(U (E\B,)) 5

nEN

p(E\Bn)<_

n=1

Ee2-n=e.

00

n=1

This will prove (26.1) if we can confirm that the closed set K is actually compact.

For every n E N

K C B. E l l , ,

159

and each set in this union has diameter no greater than 2/n. This shows that K is

pre-compact (=totally bounded) and in a complete metric space that is equivalent

to compactness, by very easy arguments (cf. WILLARD [1970], Theorem 39.9 or

KELLEY [1955], p. 198).

2. Every closed set C lies in 9: Let F > 0 be given. We already know that there is

a compact set K with

(E) - IA(K) < e.

According to 3.5 however

and this proves (26.1) for B :

of a metric space, C is a G6-set, that is, there are open sets G. J. C. To see

this we may assume C 9& 0, so that G := E \ C is an open proper subset of E.

Consequently, x H d(x, C) is a continuous mapping whose zero-set is C, as was

therefore open and decrease to C. From the finiteness of and 3.2(c) we then

have that (G.) 4. (C), showing that (26.2) is also satisfied by B := C.

3. Whenever B lies in 9 so does CB: First note that for every compact K C B

and so CB satisfies (26.2) whenever B satisfies (26.1). Moreover, if G is an open

superset of B, then CG is a closed subset of CB with

(CB) -,u(CG) = (G) - (B) ,

by "closed". But then application of step 2 to these closed sets gives us the

full (26.1) for CB.

4. Whenever pairwise disjoint sets Dn lie in 9 (n E N), their union D also lies

in 9: First of all

(D.)

(D) _

n=1

n,

(26.3)

n=1

(7 = 1, ... , ne)

2nE

D which satisfies

( n,

n,

j=1

j=1

160

e/2"

for each n E N.

nEN

00

n=2

nEN

In summary, we have shown that (26.1) and (26.2) hold for B := D = U D,,.

5. The result of the first four steps is that 9 is a Dynkin system which contains

the system .$ of all closed sets. The claim, namely that -9 = R(E), now follows

9 c(E) follows . (E) = J(9) c9 c . (E), and thus the equality sought. o

We come now to the principal result of this section. It generalizes the foregoing

lemma.

26.3 Theorem. On a Polish space E every locally finite Borel measure p is a ofenite Radon measure.

finite u-measure. The family (U:)XEE is an open cover of E. Because the topology

of E has a countable basis, a theorem of E. LINDEt.oF (1879-1946) insures that

this cover contains a countable subcover. That is, there is a sequence (xn)fEN in E

already covers E. [It is easy enough to prove

such that the sequence

Lindeldf's result right here: Let V be any open cover of E, 0 a countable basis

for the topology of E, and define d' to be the system of all A E d such that A C U

for some U E 9l and let U(A) be one such member of 'Pl. The subset 0' of at,

and therewith the system of all these U(A), is countable. This system covers E.

For if x E E, then there is some U E Pl that contains x, and since d is a basis

The system of sets Gn := U,z, U ... U US,,, n E N, satisfies

(26.4)

Via

A E R(E)

inner regular by the preceding lemma. It follows that for each A E SR(E)

nEN

nEN

nEN KEA

161

KEr

KEr nEN

KCA

KCA

proving the inner regularity of tt. The a-finiteness of it is affirmed by (26.4), so the

proof is complete.

The question now suggests itself whether - in analogy with 26.2 - the outer

regularity of p can be proved. This is in fact the case.

26.4 Corollary. Every Radon measure on a Polish space is outer regular.

Proof. We have to show that every B E 4(E) satisfies (25.5). So let B E .4(E)

and e > 0 be given. Consider the open sets G. and the finite measures tt created

in the preceding proof. Lemma 26.2 furnishes open sets U. J B such that

ti((U,, \ B) n

(26.5)

Let U

for each n E N.

nEN

B = B n E = B n UG,, U BnC,,,

nEN

nEN

of B shows that

nEN

nEN

nEN

nEN

and consequently

x,

n=1

n=1

e/2" =E.

tt(U\B) <

by (26.5). It follows finally that

which confirms (25.5).

The regularity conditions (25.4), (25.5) make sense for outer measures px and

together with one other minimal demand on p* they assure that all Borel sets are

,W-measurable. In fact, these conditions on an outer measure come up naturally in

the course of proving the famous Riesz representation theorem in 29; cf. also 28.3.

26.5 Lemma. Let E be a Hausdorf space and tt' an outer measure on E with

the following three properties:

(i) for every set A C E

162

(iii) for any two disjoint compact sets K1, K2 C E

JL*(Kl UK2) = p*(Kl) +{l*(K2)

Then the restriction of * to R (E) is a measure.

Proof. We consider the a-algebra d* of all *-measurable sets, that is, according

to (5.6) the set of all A E .9(E) which satisfy

(26.6)

First note that it suffices that this hold for all open sets Q in order that it hold

for all Q whatsoever. In other words, what we need to check for an A to be in d*

is that

(26.6')

for all U E 0.

p*(U) > p*(Q f1 A) + p*(Q \ A)

whenever U is an open set containing Q; then (26.6) itself follows by taking the

infimum over such U and invoking (i). So now let A = G be an open set; we will

use criterion (26.6) to show that G lies in W*. To this end consider any open

U C E; further, consider any compact Kl C U n G and any compact K2 C U \ K1.

Since then K1 n K2 = 0 and Kl U K2 C U, it follows from (iii) that

y* (U) > {b' (K1 UK2) =A* (KI) +Ft*(K2)

The set U\Kl is open, so if we take the supremum over all such K2 in the preceding

inequality and appeal to (ii), we get

the last inequality because U\Kl D U\G. This holds for all compact Kl C UnG,

and so after a second appeal to (ii) it yields

holding for all U E 0. That is, (26.6') holds for A = G, and consequently G E d9*.

the latter

This all proves that B C W*. But then .9(E) = a() C j W*

is a a-algebra, by Theorem 5.3. That theorem further affirms that the restriction

of u* to W* is a measure.

The foregoing Theorem 26.3 and its corollary show in particular that the

L-B measure Ad is a regular Bored measure on Re in e a c h dimension d = 1, 2, ... .

In fact every Bore] measure on Rd is regular (cf. also Theorem 29.12). Following

STROMBERG [19721 we derive from the regularity of Ad a purely topological result

of H. STEINHAUS (1887-1972). It shows, incidentally, that every set of positive

L-B measure has the cardinality of R.

163

26.6 Theorem (of Steinhaus). Let A E Rd be a Borel set in Rd of positive ddimensional Lebesgue measure. Then 0 is an interior point of the set A - A of

differences of elements of A.

with Ad(K) positive. It suffices to prove the claim with K in place of A. Outer

regularity furnishes an open set U D K with Ad(U) < 2Ad(K). There is an open

ball V centered at 0 of positive radius such that the sum set satisfies K + V C U.

One only has to choose the radius less than the (positive) distance between the

compact set K and the closed set CU from which it is disjoint. We will show that

V C K - K, which makes 0 an interior point of this difference set. Consider any

v E V. The translated set v + K cannot be disjoint from K, for otherwise from

K U (v + K) C K + V C U and translation-invariance of Ad would follow that

2Ad(K) = Ad(K) + Ad(v + K) = \d (K U (v + K)) < Ad(U),

x = v + y; which says that the given point v = x - y lies in K - K. 0

In closing we turn to a remarkable consequence of Theorem 26.3 and its Corollary 26.4. It concerns the analogy, pointed out in 7 as measurable mappings were

being introduced, between the notions of measurability and continuity. Initially

this analogy is merely an analogy. Namely, if f : E -+ E' is a mapping of one topo-

logical space into another, then f is Borel measurable (i.e., .(E)-.(E')-measurable) just if the pre-image f - i (G') of every open set G' C E' is a Borel set in E.

This follows from Theorem 7.2 and the fact that the Borel o-algebra M (E") is

generated by the open subsets of E'. By contrast, f is continuous just if f-1(G')

is open in E for every open set G' C E. What is quite remarkable is that for

Polish spaces E a much closer connection between those two concepts exists.

This is brought out by the following theorem, discovered in its definitive form

by N. LUSIN (1883-1950).

26.7 Theorem (of Lusin). Let ,a be a locally finite Borel measure, thus a Radon

measure, on a Polish space E, and E' be a topological space with a countable basis.

Then for every mapping f : E -+ E' the following are equivalent:

(a) f coincides p-almost everywhere with a Borel measurable mapping of E into E'.

(b) There is a decomposition of E into a p-nullset N E R(E) and a sequence

(K,.)nEN of compact sets, such that the restriction off to each K is continuous.

If the measure is finite, (a) and (b) are further equivalent to:

(c) For every e > 0 there is a compact subset KK C E such that p(CKE) < e and

the restriction off to K, is continuous.

Proof. Let us first suppose that p is finite. Let 9' be a countable base for the topology of E' and (Gn)nEN a sequential arrangement of its elements. Notice that 9' is

a generator of the Borel o-algebra because every open subset of E' is a (countable)

union of sets from s'.

164

p-nullset N E .(E) with

f (x) = g(x)

(26.7)

For every set Gn, g-1(Gn) E . (E). Because every Radon measure on E is regular,

given E > 0, there exist compact sets Kn and open sets Un such that

(26.8)

The set A

for each n E N.

U (Un \ Kn) is open, being a union of open sets. For its measure

nEN

00

n=1

Using once more the (inner) regularity of 1S, we find a compact K C C(A U N) _

CA n CN such that

p(CAnCNnCK) <e-p(A),

thus (since A U N C CK and A U N U (CA n CN = E) such that

p(CK) = p(A U N U [CA n CN n CKI) < p(A) + p(N) + E - p(A) = E .

This set K does what is wanted in (c), because by (26.7) f and g coincide in K

and because the restriction go of g to CA is continuous, as we now confirm. For

each set Gn,

go 1(Gn) = g-1(Gn) n CA;

which means that

goI(Gn)=UnnCA =KnnCA,

showing that the go-pre-image of G;, is open (as well as closed) in CA. Since

(Gn)nEN is a base for the topology of E', this is enough to guarantee the continuity

of go=gICA.

(c)=(b): It suffices to find pairwise disjoint compact subsets Kn of E such that

f I Kn is continuous and

K3) <

p(C ?=1

U

J

n

=

N:=CUKn= nCKn

nEN

nEN

is a Borel set disjoint from each Kn and satisfying p(N) < 1/n for every n E N, i.e.,

p(N) = 0. The sequence (Kn) is gotten inductively from (c) as follows: To start

off, there is a compact K1 C E such that u(CKI) < 1 and f I K1 is continuous.

165

If Ks,. .. , Kn have been defined having the desired properties, we will get K"+1

from (c) and the inner regularity of p. By (c) there is a compact K' C E such that

and f I K' is continuous. With L := K, U... UKn the inner regularity of p supplies

a compact Kn+1 C K' \ L such that

Because

with this set Kn+, the inductive construction is complete.

(b)=(a): If E = N U K, U K2 U ... is the given decomposition, one defines

a mapping g : E -* E' as follows. In case N = 0, let g := f. In case N 96 0, choose

yo E f (N) arbitrarily and set

g(x) := yo for x E N.

What has to be shown is that g is Borel measurable, which is done as follows: For

every open G' C E'

9_1(G')

nEN

nEN

as yo E G' or yo V G'. Moreover, gn coincides with the restriction of f to Kn, so

that by hypothesis gn 1(G') is open in Kn, that is, of the form Kn n Un for some

open subset U,, of E. Therefore only Borel sets occur in the above decomposition

of g-1(G') and we conclude that g-1(G') is a Borel set. This being true of every

open G' C E', the Borel measurability of g follows from 7.2.

Now consider an arbitrary locally finite measure p on R(E). According to 26.3,

p is a-finite. Lemma 17.6 therefore furnishes a strictly positive p-integrable real

function h on E. The measure v := hp is then a finite Borel measure on E which

has exactly the same nullsets as p. The proven equivalence of (a) and (b) for the

measure v therefore entails the validity of this equivalence for the measure it. Thus

the whole theorem is proved.

Remarks. 1. The equivalence of (a) and (b) in Lusin's theorem may be lost if (a) is

compact set [0,1] x [0,1] and for p the L-B measure .X E. As was noted in the

second part of Remark 4, 8, E contains a p-nullset N which contains a non-Borel

subset. If M is such a set, its indicator function f = l,w is not Borel measurable,

although f is p-almost everywhere equal to the Borel measurable function 1N On

the other hand, if f is . (E)-. (E')-measurable, there is a Polish topology r on E,

stronger than the original but generating exactly the same Borel sets, such that f

is r-continuous. See 3.2.6 of SRIVASTAVA [1998] for the proof, which is not difficult.

166

of its domain of definition 10, 1], yet it is Borel measurable. This shows that in assertion (c) of Lusin's theorem one cannot hope to be able to replace the continuity

Exercises.

1. Show that every inner regular finite Borel measure on a Hausdorff space is outer

regular.

2. Show that in a Polish space E the Dirac measures are the only non-zero Borel

measures it which take only the values 0 and 1. [Hint: Show that the system of all

compact K C E such that tt(K) = I is fl-stable and investigate the intersection

of all itssets.]

3. Show that AE x E') _ i(E) M(E') for any Polish spaces E,E'.

4. Consider K compact C U open C Rd, and for each n E N let V denote the

open ball of radius 1/n and center 0. Show that K + V C U for some n. [Hint:

n CU # 0 for every it E N, find xn E K, vn E V,,, zn E CU such that

If (K +

x + v = z,,, for every n E N. Some subsequence of (xn) converges to a point

xo E K and because CU is closed we even have x0 E K fl CU, which contradicts

the fact that K C U.]

a mapping into a topological space E' with a countable base. Show that assertions (a) and (b) in Lusin's theorem are equivalent to (c'): For every e > 0 and

every compact K C E there is a further compact Kf C K such that p(K\Kf) < c

and f I KE is continuous.

A topological space is called locally compact if it is Hausdorff and if each of its

points has at least one compact neighborhood. Examples of such spaces are the

euclidean space Rd, every manifold (i.e., every locally euclidean Hausdorff space),

every discrete space, and every compact space.

When an arbitrary point is removed from a compact space the remainder is

a locally compact space. Actually every locally compact space is of this form. For

if is the system of all open subsets of the locally compact space E and wo is any

(so-called ideal) point not in E, then a topology can be defined on E' := EU {WO}

as follows: The system d' of open sets in E' shall consist of together with the sets

E' \ K for all the compact subsets K of E. This defines a compact topology on E',

E is an open subset of E' and the topology that E inherits from t9' is its original

topology. E was compact to start with if and only if wo is an isolated point in E'. If

E is not compact, then it is dense in E'. These claims are easily confirmed, or the

reader can consult KELLEY [1955], p. 150, or WILLARD [1970], 19.2. The space E'

167

one-point compactification of E and wo its infinitely remote point.

We will pursue the further theory of locally compact spaces via this compactification. First we study some distinguished continuous functions in this environment.

For an arbitrary topological space E we denote by

C(E) and

Ct(E)

the vector space of all, respectively all bounded, continuous real functions on E.

set

(27.1)

supp(f) := If 34 0}

is called the support of f.

The complement of supp(f) is thus the largest open set at every point of

which f takes the value zero. If E is locally compact. we will designate by

CA(E)

the set of all f E C(E) with compact support supp(f). A function f E C(E) lies

in CA(E) just if there is some compact subset of E in the complement of which f is

identically zero.

Clearly

(27.2)

C,.(E) is a vector subspace of Cb(E). More generally for any n E N, E C(1R")

with V(O) = 0 and fl,.. .

E C,.(E), the composition

f,,) lies in CA(E),

rr

j=1

C,.(E) the functions Jul, u V zv. u A v, and therewith u+ and u.-, all lie in C'(E).

The needed continuity of y,(x, y) := r V y on 1R2 follows from the identity r V y =

(.x+y+I.e-yI)

In the special case of a compact space E, all three function spaces in (27.2)

coincide.

27.2 Theorem (on partitions of unity). Suppose that the compact subset K of

the locally compact space E is covered by the n open sets U1, ... , U,,. n E N. Then

(27.3)

fj>0

(27.4)

supp(fj) C Uj

for j = 1.....n;

for j = 1,....n:

r4

f(x) < 1

(27.5)

j=1

for all r E E;

168

n

rfj(x)

(27.6)

forallXEK.

j=1

given open sets together with Uo := E' \ K constitute an open cover of E'. Because compact spaces are normal topological spaces (cf. KELLEY [1955], p. 141

Or WILLARD [1970], Theorem 17.10), this covering can be "shrunk" to an open

covering Ui, ... , Un of E' satisfying

UUCUj

for each j =0,...,n,

where of course the bar denotes closure in E'. The theorem on partitions of unity in

normal spaces (KELLEY [1955], p. 171 Or WILLARD [1970], 20 C) provides functions

fj' > 0,

(i)

supp(f f) C Uj,

for j = 0,..., n;

Ef,(x)=1

(ii)

j=o

f,i lie in C(E) and it will be easy to show

that they have all the properties wanted. From (i) and (ii) properties (27.3)-(27.5)

follow almost immediately. One only has to notice that for each j = 1,.. . , n

supp(fj)=supp(ff)flECUUflE=UUCUj

since UU C Uj C E. In particular, Uf being a closed subset of the compact space E',

of this support. Thus f I, ... , f,, all lie in CA(E). The remaining property (27.6)

likewise follows from (ii) because supp(fo) C Uo = E \ K entails that fo(x) = 0

for all x E K. 0

Two consequences of the foregoing will turn out to be especially useful. The

first - known as Urysohn's lemma - often serves as the starting point for inductive

constructions of partitions of unity (see, e.g., RUDIx[1987J, p. 39). The second can

also be proven directly, as indicated in Exercise 1 below.

the compact subset K. Then CA(E) contains a function f which satisfies

(27.7)

0:5f:51, f(K)=fl),

and

supp(f) C U .

Proof. We have only to apply 27.2 for n = 1. Since K C (f, > 0} C supp(f3), the

fact that (f, > 0) is open means that supp(f 1) is indeed a neighborhood of K. 0

27.4 Corollary 2. In the locally compact space E the compact subset K is covered

... U Kn with Kj a compact subset of Uj for each j = 1, ... , n.

169

K; := K n supp(f3 ),

j = 1, ... , n

do what is wanted; for if x E K, then 1 = f i (x) +... + f n (x) means that f, (x) j4 0

for some j, and therefore x E K3.

For a locally compact space E there is another function space besides CC(E)

that is of importance. To define it we assign to every bounded real function f on

an arbitrary space E its supremum norm, also called its uniform norm, via

Ilf11

sup If W1

sEE

The mapping (f, g) -+ If -gIi makes Cb(E) - more generally even the vector

space of all bounded real functions on E - into a metric space. One speaks of the

metric of uniform convergence (on E). A sequence (fn) of bounded real functions

on E converges uniformly on E to a bounded function f just means that

lim Ilfn - f 1l = 0 .

nloo

said to vanish at infinity if it lies in the closure Co(E) of CC(E) in Cb(E) with

respect to the metric of uniform convergence. Denoting closure in this metric by

bar, we thus have

Co(E) := CC(E) C Cb(E).

The terminology "vanishing at infinity" is both clarified and justified by

27.6 Theorem. For a real function f on a locally compact space E the following

statements are equivalent:

(a) f E Co(E);

(b) f E C(E) and {If I > e} is compact for each e > 0;

(c) the function

for x = wo

0,

is continuous on the one-point compactification E' of E.

Proof. (a)=(b): Given e > 0, there is by definition off E Co(E) a g E Cc(E) with

Ilf - gfl S e/2. Every x E E satisfies If (x)I - Ig(x)I <- If (x) - g(x)I S Ilf - gAI, so

we see that

(If 1> e} C {IgI > E/2} C supp(g).

This shows that (If 12: c} is a relatively compact set. But, due to the continuity

of f, it is also closed. Hence it is compact.

(b)*(c): Since the subspace topology of E in E' is its original topology and E is

an open subset of E', continuity of f' at each point of E is assured by f E C(E). As

to continuity at the ideal point wo, given e > 0, we have I f'(x) - f'(wo) I = l f'(x) I <

170

e for all x in the set E' \ {If I > E}, which by definition of E' is a neighborhood

of wo, since (If I > e} is a compact subset of E.

(c)=:>(a): Continuity of f' at wo and the definition of the topology in E' mean

that for each e > 0 there is a compact K C E such that If (x)I = If'(x) - f'(wo)I <

E for all x E E \ K. 27.3 supplies a g E CA(E) with 0 < 9< I and g(K) = {1}.

Then fg E CA(E) and satisfies

If

for all x E E, so Ilfg - f II < E. As e > 0 is arbitrary, this proves that f E CA(E).

Exercises.

1. Without resort to partitions of unity, prove Corollary 27.4 directly. [Hint for

the case n = 2: Separate the disjoint compacta K \ U1, K \ U2 with disjoint open

neighborhoods V1, V2 and set Kl := K \ V1, K2 := K \ V2.]

2. Let E' = E U {wo } be the one-point compactification of a locally compact

space E. Describe the Borel sets in E' by means of the Borel sets in E. In particular,

see how your description fits into the following general picture: For a measure

space (E,.o), a point wo it E and the set EWO := E U {wo}, the a-algebra d"'O

in E"' generated by d and {wo} consists of all A' C El- such that All fl E E St.

spaces

In what follows E will be a locally compact space. We consider a Borel measure p

(defined on R(E)). Here the requirement (K) < +oo for every compact set K

is the same as the local finiteness requirement, because every point of E has

a compact neighborhood and the implication (25.7) holds in general. So in the

present context the concepts of Borel measure and locally finite measure on .W(E)

coincide. The Radon measures on E are thus (cf. 25.3) those Borel measures which

are inner regular.

For a Borel measure it every u E CA(E) turns out to be p-integrable. For, being

continuous, u is Borel measurable. Denoting by K the compact support of u, we

have 1111 5 IIuII 1K. Since It is a Borel measure, 1K is p-integrable, and the pintegrability of u follows. Therefore corresponding to the Borel measure is a linear

form 1,, on C,;(E) defined by

(28.1)

lu(u) := Judy.

This is an isotope linear form in the sense of (12.3): From u < v follows I,,(u) <

I,,(v). Because of the linearity of I,, this is equivalent to

0<uEC,(E)

1,,(u)>0,

171

This brings us to a key question for our further work: Is every positive linear

form on C,.(E) an I,, for some Borel measure p on E, or are there possibly positive

linear forms of a completely different kind? Even for compact intervals J := [a, b]

on the number line, answering this question is by no means a trivial task. In this

case however, as early as 1909 F. Riesz showed (cf. RIEsz (1911]) that besides the

linear forms I,, arising from Borel measures it on J, there are no other positive

linear forms on Q,,(J) = C(J). One of our goals is to show that every locally

compact space E shares this property with J. The result in question will, in view

of this pioneering work, be called the Riesz representation theorem. En route to it

we will naturally be led to the construction of Radon measures on E.

Besides the locally compact space E. let now a positive linear form

I : Cr(E) -+ R

be given. What follows will prepare the way for the proof of the Riesz representation theorem.

For every compact K C E we set

(28.2)

(28.3)

Moreover, the mapping K ' p.(K) is obviously isotone on the system ..l' of all

compact, sets. For an arbitrary A E -1P(E) we set

(28.4)

Because of the above noted isotoneity of it. on ..it', this new definition is consistent

with (28.2). Finally, for A E .9(E) we define

(28.5)

(28.6)

as follows from the obvious fact that it.(A) < p.(U) for every open U D A; and

(28.7)

which follows from (28.5) and the isotoneit.v of it.. Somewhat more effort is required

to check that

(28.8)

p.(K) = p`(K)

for all K E X.

For every e > 0 definition (28.2) supplies a u E C,.(E) with to > 1K and

172

1Ue <

U.

If therefore Lisa compact subset of Ua, then 1y < u and so from (28.2) P. (L) <

a 1(u). From definition (28.4) therefore

and so, since K C Ua,

0<1 s(Ua)-ps(K)

=(a-l)p.(K)+a.

As a 1 1 this majorant converges to e, which shows that

holds for every e > 0; that is,

This confirms (28.8), the reverse inequality being part of (28.6).

Of critical importance is the following result:

Proof. Obviously p*(0) = 0, so what we have to prove is that

00

(28.9)

nEN

n=1

First step: For any two compact sets K1, K2

Consider any uj E CA(E) with uj > 1K, for j = 1, 2. Then IK,UK2

so (28.2) says that

/L.(K1 U K2) < I(u1 + U2) = I(u1) + I(u2) .

The claimed inequality now follows from (28.2) and (28.8).

Second step: For any finitely many open sets U1,.. . , U.

A*(U1U...UUn)

ps(U1)+...+AV.).

U1 + U2,

173

It suffices to settle the case n = 2, as induction then takes care of the rest. If K is

a compact subset of Ul U U2, then 27.4 provides compact Kj C Uj, j = I, 2, such

that K = Kl U K2. Then by the result of our first step

The claimed inequality (with n = 2) then follows from (28.8), (28.4) and (28.7).

Third step: Now we will prove (28.9). In doing so we may obviously assume that

p'(Q,,) < +oo for every n. E N. Given e > 0, there then exist open U. J Q,, such

that

for every n E N.

2-11e

nEN

"EN

of U, then K C U1 U ... U U for sufficiently large n.. From this it follows that

:,

p.(K)_p*(K)<p'(UiU...UUn)<Ep'(Uj)<Ep`(Qj)+E.

j=t

j=1

where we used the second step. As this last inequality is satisfied by every compact

subset K of U, definition (28.4) and equation (28.7) give

a

it. (U) = Et'(U) <- E; (Qj) +e,

j=t

and since Q C U we will then have as well

00

j=

The next corollary sharpens the inequality proved in the first step above.

Proof. Consider any u E C,(E) satisfying

u.>1K,uK2=1K,+1Ks.

I}, and

According to 27.3 there is a v E C,(E) with 0 < v < 1, v(K1)

supp(v) C CK2, hence with v(K2) = {0}. The functions vu and (1 - v)u lie

in CA(E) and satisfy

vu > 1K,

and

Therefore

174

In view of (28.8) this inequality is half of the equality being claimed. The other

half is simply the subadditivity of the outer measure '.

The first important consequence of all this is:

The proof is immediate from Lemma 26.5 and the facts accumulated to this

point. Notice that (28.7) and (28.5) say that hypothesis (1) of 26.5 is fulfilled, while

(28.7), (28.8) and (28.4) insure that hypothesis (ii) of 26.5 is fulfilled.

The Borel measure ' I ..(E) has a series of further remarkable properties:

28.4 Theorem. Every Borel subset A C E with '(A) < +oo satisfies

.(A) = `(A)

Proof. Given e > 0, there is an open U D A such that

which, due to ' (A) < +oo and ' being a measure on 9(E), can be written as

From (28.4) we get compact L C U such that

The set

Q:=(U\A)U(U\L)

then satisfies p* (Q) < e. Hence there is an open G Q such that

'(G) < C.

K C A and A\ K C G.

(28.10)

K = L \ G C L \ Q C L \ (U \ A) = L n A,

since L C U, and on the other hand

A\K=A\(L\G)=(AnG)U(A\L)CGu(U\L)=G,

since U \ L C Q C G. From (28.10) we get

175

and so u* (A) < '(K) + e <- .(A) + e. As e > 0 was arbitrary, this says that

'(A) < .(A), which with (28.6) finishes the proof.

The finiteness hypothesis in the preceding theorem can be weakened. In doing so

we make use of the terminology introduced just before the proof of Theorem 13.6.

28.5 Corollary. The equality p. (A) = u* (A) also holds for every A E -V(E)

which has o'-finite '-measure.

Proof. The terminology means that there exist An E R (E) (n E N), each of finite

'-measure, such that An T A. The preceding theorem and the isotoneity yield

from which and the continuity of ' from below on R (E) follows

'(A) = sup p* (An) <_ p. (A).

n

Another central result, analogous to 28.3, emerges:

Proof. Since all compact K satisfy .(K) = p'(K) < +oo, all that has to be

proved is that p. I M(E) is a measure, i.e., that p. is countably additive on M (E).

To that end, let (An) be a sequence of pairwise disjoint sets from R(E), whose

union is A. For every compact K C A, K = U (K n An), so from 28.3 and 28.4

nEN

we get

00

00

00

n=1

n=1

n=1

00

n=1

In proving the reverse inequality we may assume that . (A) < +oo, and therefore

P. (An) < +oo for every n E N. There is then, given e > 0, a compact Kn C A.

satisfying

for each n E N.

UKj)=*\UKj/IL_(Kj)A.(Kj)

j=1

j=1

j=1

n

> Ep.(Aj) - E

j=1

j=1

j=1

j=1

for every n E N.

176

00

00

holding for every c > 0. That is, . (A) > E . (A,,), the complementary inequality

we needed to finish the proof.

We now set

(28.11)

o := . I .4(E) a n d := * I R(E)

and, inspired by COURREGE [19621, call these the essential measure determined

measure (28.3 and 28.6).

on E. By contrast the principal measure is outer regular. It turns out that

is the more important of the two.

Thus to the given positive linear form I on CA(E) we have associated two Borel

measures. The further relation of these measures to I and the questions of whether

and when they coincide will be clarified in the next section. The closing lemma

of this section recasts definition (28.4), when A is open, into a equivalent form. It

has a preparatory character.

(28.12)

Proof. The first equality is just (28.7). Denote the right side of (28.12) by y, and

consider any compact K C U. Corollary 27.3 provides a function u E CA(E) with

0 < u < 1, u(K) = {1} and supp(u) C U. In particular, 1K < u and so by (28.2)

.(K) < I(u) < y, that is, .(K) < y for every such K. It follows that (U) =

`(U) = .(U) < y, by (28.4). The reverse inequality y < (U) is derived as

follows: Let u E CA(E) be a typical function involved in the definition of y. Set

L := supp(u) and consider a typical v E C0(E) involved in the definition (28.2)

of .(L). Evidently then u < v, so 1(u) < I(v); that is, I(u) < .(L) = 0(L) =

(L) < (U). Taking the supremum over eligible u gives finally the desired

complementary inequality -y:5 (U).

special case U = E of lemma 28.7 furnishes the following useful description of the

total masses of it. and :

(28.13)

177

Exercises.

1. For a locally compact space E and a measure p defined on ..(E), show that it

is a Borel measure if and only if Cc(E) C 21(p).

2. Let p be a Radon measure on a locally compact space E and (Gi)1EI a family

of open sets which is upward filtering, that is, for any i, j E I there is a k E I such

that Gi U G; C Gk. Show that C := U Gi satisfies

iEI

p(G) = sup{p(Gi) : i E I} .

3. Using the preceding exercise, show that for any Radon measure p on a locally

compact space E:

(a) There exists a largest open set G with p(G) = 0. The set CG is called the

support of the measure p and is denoted supp(p).

(b) A point x E E lies in supp(p) if and only if every open neighborhood of x has

positive p-measure.

supp(p).

Determine supp(Ad) for L-B measure Ad on Rd, and supp(E) for every Dirac

measure ea on E.

4. Let p be a Borel measure on a locally compact space E. Show that every set A

from the a-ring p0(X) generated by the system ..iE' of compact subsets of E is

a Borel set which satisfies p.(A) = p(A). Here a ring .4 in a set 0 is called a aring if the union of every sequence of sets in .9 is itself a set in R. In complete

analogy with a-algebras, every subset of .9(0) is contained in a smallest a-ring.

Sometimes it is only the sets in pe(a') which get called "Borel sets"; this is the

case, e.g., in the classic exposition of HALMOS [1974]. Why is it generally the case

that po(..1E') 3 .9(E)?

Again let E be a locally compact space. Every Borel measure p on E defines

a positive linear form

I,,(u) := fudp

on CA(E). The question posed in 28 was: Is it true that for every positive linear

form I on CA(E) there is a Borel measure p on E such that I = I, that is, such

that

I(u) = Judp

foralluECC(E)?

Any such Borel measure p will be called a representing measure for I. The answer,

leaked earlier, to this question reads:

178

positive linear form I on CA(E) has at least one representing measure. In fact, both

the essential measure Po determined by I and the principal measure p determined

by I are representing measures for I.

(29.1)

and because of linearity and the fact that the positive and negative parts of each

u E CA(E) also lie in C(E), it suffices to show this for non-negative u. So let such

be given and let the real number b > 0 be an upper bound for u. Fbr

auE

a given e > 0 choose real numbers yp,... , y,, with

0=yo<yt<...<yn=b

and

yj-yj-1< C

We set

(j = 1,...,n)

and get non-negative continuous functions, each having its support in supp(u),

which satisfy

n

(29.2)

u=Euj,

j=1

for each j = 1, ... , n. If x E E and u(x) > 0, then there is a unique j E {1,...,n}

such that yj-1 < u(x) < yj. In that case uj(x) = u(x)-yj-1 and uk(x) = yk-yk-1

for k < j and uk(x) = 0 for k > j. Equality (29.2) follows. Next we set

Ko := supp(u) and Kj := {u > yj }

for j = 1, ... , n

and have

(29.3)

-yj-1)1K1_,,

for j = 1,...,n,

(29.4)

O!5 uj :5 yj-yj-1,

(29.5)

(29.6)

Kj c {uj = yj - yj_1},

(29.7')

179

(29.7")

valid for all j E {1, ... , n}. The left half of (29.7") follows from the left half of (29.3)

when account is taken of (28.2) and the fact that u.(Kj) = U*(Kj) = (Kj).

From (29.5) we have supp(uj) C Kj_1. For every open U i Kj_1, the function

v :_ (yj - yyj_1)-luj is therefore an element of Cc(E) with supp(v) C U and

satisfying, by (29.4), 0 < v < 1. From Lemma 28.7 then 1(v) < p(U) and hence

According to (28.7) p(U) = p.(U) and therefore from (28.5) and the arbitrariness

of U we have confirmation of the right-hand side of (29.7"). Upon adding up the

inequalities in (29.7') and those in (29.7") and recalling (29.2), we find that both

of the numbers f u d and I (u) lie between

n

E(yj - yi-1)(Kj)

E(yj - yj-1)1(Kj-1)

and

j=1

j=1

and consequently

5 n

E( yj - yj -1)Fz(Kj-1 \ Kj),

if

j=1

since Kn C Kn_1 C ... C Ko. Due to the choice of the yj it follows that

Jud1L0-

Eu(KK-1\K3)-F(Ko\K.)<EIp(Ko)

I(u)I <_F,

j=1

The extreme inequality being valid for every e > 0 and p(Ko) being finite, the

desired equality

(29.8)

I(u) =

ud

emerges.

The measures of the compact sets Kj, j = 0, ... , n do not change, thanks

to (28.8), when is replaced by p ,. Another pass through the preceding derivation

therefore leads to the conclusion that O is also a representing measure for 1. O

for all compact subsets K and all open subsets U of E.

180

Proof. Given K and U, consider functions u,v E CA(E) with iK < v, 0 < u < 1,

and supp(u) C U. Integrating these inequalities,

From (28.2) and Lemma 28.7 therefore the claimed inequalities follow. 0

After this preparation we can enhance the statement of the Riesz representation

theorem by characterizing the measures p and , thereby putting into relief the

role of Radon measures.

29.3 Theorem. For every positive linear form I on CA(E) the associated essential

measure F4 is the unique Radon measure among the representing measures of 1.

Proof. Let p he a representing measure for I which is inner regular, thus a Radon

measure. Since 1I is also inner regular, it follows from the first part of the preceding

lemma that

In particular then all open U C E satisfy (U) < p0(U) < p(U) and when this

is combined with the second part of 29.2 we have

p(U) = {I(U)

(29.9)

of K, then U \ K is open, so that (29.9) is applicable and

Another appeal to (29.9), remembering that p0(U) < +oo, gives the equality

p(K) = po(K) ,

valid for every compact K C E. This fact and the inner regularity of both measures

29.4 Theorem. Among all representing measures for a positive linear form I

on CA(E) the principal representing measure 1 is characterized by each of the

following two properties:

(i) p is the smallest among all outer regular representing measures.

(ii) p is the unique outer regular representing measure p which is inner regular

(29.10)

Proof. Let p be an outer regular representing measure. By Lemma 29.2, p(U) <

p(U) holds for all open sets U. Since, however, is also outer regular, that

inequality passes over to Borel sets generally:

181

by Lemma 29.2 and (28.8), so by what has already been proven equality prevails

here. That is, k and coincide on the system .X' of all compact sets. Now p satisfies the inner regularity condition for open sets in (29.10), as we know from (28.4),

(28.7) and (28.8). If p also satisfies these conditions, then for every open set U

an equality which passes over to all Borel sets via the outer regularity of both

measures; i.e., p = on M(E).

Remark. 1. Some authors (cf. HEWITT and STROMBERG [1965] and COHN [1980])

employ the adjective "regular" for just those outer regular Borel measures p that

have property (29.10), in contrast to our usage.

The following example shows that in general uO is not the only outer regular

representing measure.

Example. 1. Let E be an uncountable set and equip it with the discrete topology.

For I take the identically 0 form. Then from the last two theorems it follows that

= = 0. However the measure it from Example 6 of 25 is an outer regular

representing measure which is not identically 0.

whether the essential and the principal measures coincide in general, or under

appropriate supplemental conditions. Although according to 28.5 (A) = (A)

for all A E M (E) having a-finite p-measure, generally A. 96 A. An example due

to C.H. DOWKER (cf. the reference in EDWARDS [1953], p. 160) will be presented

in Exercise 7 below. Nevertheless in many important situations these measures do

coincide and we are going to look into this now.

We will encounter two types of supplemental hypotheses which will entail the

equality p = p on M(E). The first imposes conditions on the space E, but none

on the linear form I.

We already know, for example, that for a compact space E the representing

measures p. and p determined by a given positive linear form I on CC(E) coincide.

This follows immediately from Theorem 28.4. The reasons that underlie this need

to be examined more closely.

sometimes o-compact) when it can be covered by a sequence of compact subsets.

(i) every compact space;

(ii) the euclidean spaces Rd, d E N: The closed balls with any fixed center and

integer radii provide a countable covering by compact sets.

182

9, G relatively compact} is a countable system of compact sets which covers E. Indeed, each x E E possesses by definition a compact neighborhood V, and since 9 is

3.

by a sequence of compact subsets of E, so from 28.5 we immediately get:

29.6 Theorem. If the locally compact space E is countable at infinity, then the

representing measures ii and p determined by any positive linear form I on CA(E)

coincide.

A simple consequence is:

Radon measure (inner regular by definition) is also outer regular.

of which it is a representing measure. According to 29.3 p must coincide with

the essential measure pO determined by I. Since O = p and the latter is outer

regular, so must be A. 0

condition featuring in Definition 29.5.

Then E can be covered by a sequence (Ln)nEN of compact subsets each contained

in the interior of its successor. Every compact subset of E is therefore a subset of

some (hence of all but finitely many) L.

Proof. First of all there is a sequence (Kn) of compact sets K such that Kn t E.

Using Corollary 27.3 we find 0:5 u,, E CA(E) with u, t 1E. But then the sets

Ln:={un>1/n},

nEN,

(zun) is isotone

is an open covering of E, so finitely many of its sets suffice to cover any given

compact subset of E. 0

A simple interpretation of countability at infinity now emerges: A locally compact space E is countable at infinity if and only if the infinitely remote point wo

183

a countable neighborhood basis is furnished by the complements E' \ Ln of any

sequence (L,,) with the properties described in 29.8.

arbitrary locally compact space and conditions will be imposed on the positive

linear form I on Cc(E).

a real number M such that

II(u)1 < M IIuII

(29.11)

Here IIf II denotes the supremum norm of any bounded real function f on E.

The requirement (29.11) means that I is continuous with respect to the metric (of

uniform convergence) in CA(E) derived from this norm.

Remark. 2. If the space E is compact, then every positive linear form I on Cc(E)

Therefore from - Dull 1 < u < IIuII . 1 and the positivity of I we infer that

- Hull 1(1) < I(u) <_ Hull 10),

The next theorem - like its predecessor - covers compact spaces as a special

case.

space E, then its principal representing measure is finite and coincides with the

essential measure O.

Proof. According to (28.13)

Il,0Il=sup{I(u):0<u<1,uECc(E)}.

Since 0:5 u < 1 entails Dull < 1, (29.11) says that 0:5 1(u) < M IIuII < M, and so

IW II <- M < +oo .

Proceeding via I as before (cf. 29.7) yields

also outer regular.

184

M := Ilicll < +00:

I,,(-)I = if

<

Remarks. 3. From the proof of Theorem 29.10 it also follows that the total

maw [l;tII of u is the smallest real number M > 0 that can serve in Definition 29.9.

countable at infinity every positive linear form on CA(E) will have exactly one

representing measure with no further qualification. Still less is unqualified uniqueness of representing measures for bounded positive linear forms on C(E), when E

is only a locally compact space, to be expected. There is a counterexample to

both in HALMOS [1974), p. 231 - DIEUDONNIi [1939) is also cited there - in which

the space E is even compact: It is the interval [1, Q] of all ordinal numbers not

greater than the first uncountable ordinal f2, equipped with the order topology.

The positive linear form IEn on C([1,52]) defined by the Dirac measure en has

a representing measure it which is neither inner regular nor outer regular. Thus

f f den = f f dp for all f E C([1,1z]) although It 96 eS2. Details can be found in

PFEFFER [1977], p. 116.

well as useful:

29.12 Theorem. If the locally compact space E has a countable base for its topology, then every Borel measure on E is regular, hence in particular a Radon measure.

Proof. Let It be a Borel measure, I, the associated positive linear form on CA(E)

and p the principal representing measure for I. Along with E each of its open

subspaces U also has a countable base. From Example 2 therefore U is countable

at infinity; there exists a sequence

of compact sets such that K 1' U. Since

the measures It, p are continuous from below, it follows that

But u(K,,) <

u(U) < u(U), from which and a second appeal to 29.2

(29.12)

u(U) = u(U),

For an arbitrary Borel set A and open U D A we then have u(A) < u(U) = u(U)

and so, on account of the outer regularity of u,

(29.13)

185

neighborhood U of A and apply the last inequality to U \ A, getting

Subtracting (29.12) from this gives us the reverse inequality to (29.13). In summary,

tt(A) = p(A),

(29.14)

of

compact sets which increase to E. (29.14) is applicable to B n L for any Borel

set B and any n. E N. We therefore get

u(B) = 'x-+x

lim u(B n Lg) = n-x

lim u(B n L,) = u(B).

That is, u and u coincide throughout .W(E). Since the essential measure u is

a representing measure for I,,, this fact insures (as does Theorem 29.6, for that

matter) that u = u. From the double equality it = u = p follows finally the

regularity of u. 0

In this situation the Riesz representation theorem can therefore be expressed

thus:

29.13 Corollary. For a locally compact space E whose topology has a countable

base, every positive linear form I on CA(E) can be represented as

1(u) = Judprt E

by exactly one Borel rrteasur p on E.

Example. 4. For cacti u E CS(R) choose real numbers a < 13 such that supp(u) C

(a,131 and define

L(u) :=

j a u(x) dx,

a

the integral being the usual Riemann integral: it is independent of the specific

numbers a and,3 used. Evidently L is a positive linear form on CS(R). According

to 16.4 L-B measure A' represents L, and by 29.13 it is the only representing

measure.

Remark. 5. It is also possible to deduce Theorem 29.12 from Theorem 26.3 and its

Corollary 26.4 because every locally compact space E whose topology has a countable basis is Polish. In fact along with E, its one-point compactification E' also has

a countable base, as follows from Lenima 29.8 and the commentary after it. It will

be shown in Remark 3 of 31 that E' is consequently ntetrizable, and completeness

of the metric follows easily from compactness (cf. Example 6, 26). Thus E' is

Polish and E is an open subset of it. Therefore according to Example 4, 26 E

itself is Polish.

186

Summarizing, we can say that for every locally compact space E, the mapping

that associates to each Radon measure p on E the positive linear form 1. on Cc(E)

is a bijection between the set of Radon measures on E and the set of positive linear

forms on CA(E). That is the reason why in BOURBAKI [1965) the positive linear

forms on CA(E) are themselves designated as (positive) Radon measures.

all outer regular. If moreover the topology of E has a countable base, the Radon

measures and the Borel measures on E coincide.

We give now an application to integration that is of fundamental importance.

29.14 Theorem. For any regular Borel measure p on a locally compact space E

and any p E [1, +oo[, the vector space CA(E) is dense in 2P(p) with respect to

convergence in pen mean.

Proof. First of all, CA(E) C .`(p), because CA(E) C .2"(p) by (28.1) and Iulp E

CA(E) whenever u E CA(E). The denseness claim requires that for each f E gy(p)

and each number e > 0, a function u E CA(E) be produced with

Np(f -u):=

We accomplish this by a stepwise simplification of the function f to be approximated. Since along with f , both f+ and f - are in .`gy(p), and Np is a semi-norm,

we can assume that f > 0. By 11.3 and 11.6 there is an isotone sequence (fn) of

SR(E)-elementary functions such that f,, t f. All these functions also lie in "(p),

due to 0 < fn < f, Therefore from the dominated convergence theorem

lim

nioo

Np(f - f,,) = 0.

by CA(E), and because of the semi-norm properties of Np the matter even comes

down to approximating the indicator functions 1A of Borel sets A having p(A) =

(Np(lA)Jp < +oo. For such an A the outer regularity of p supplies an open U J A

such that

[p(U) - p(A)J1/p = Np(lu\A) = Np(lU - 1A) < e/2.

In particular, p(U) < +oo. Therefore the inner regularity of p insures that for

some compact K C U

that is,

Finally, we use 27.3 to select u E CA(E) satisfying 1K < u:5 1U, whence

0<1u-u<1u-1K

187

and so

For the function f = 1 A to be approximated we now have

completing the proof. 0

The proof actually uses the inner regularity of only on open sets. So what is

involved here are conditions which according to 29.4(ii) characterize the principal

representing measure. We will not pursue this any further but interested readers

can in BOURBAKI [1965) and BAUER [1984), where this remark is placed in a more

general framework.

Exercises.

1. Let E be an uncountable discrete space. Using the Borel measure from Example 6 in 25, show that every positive linear form on CA(E) has at least two

different representing measures. This sharpens Example 1 of this section.

2. Let E be a locally compact space and I a positive linear form on CA(E). With

the help of the R.iesz representation theorem prove the following refinement of

equality (28.12): For every open U C E

space in which every open set is a Ks-set, every Borel measure is regular. (Hint:

Re-examine the proof of Theorem 29.12.)

4. Show that a locally compact space E is countable at infinity if and only if there

exists a strictly positive function in Co(E).

5. Prove that for an arbitrary Borel measure on a locally compact space E the

following two assertions are equivalent: (a) it is finite. (b) Cb(E) C 2l(). Show

that if is a Radon measure, the assertion C0(E) C 2l() is equivalent to each

of (a) and (b).

6. Let E be a locally compact space, I a positive linear form on Co(E). Show

that there is exactly one finite Radon measure on E such that 1(f) = f f d

for every f E Co(E). (Hints: Indirect proof. Or: For every e > 0 and non-negative

f E Co(E) there is a u E CA(E) with If - uI 5

7. Let El, E2 be the interval [0, 1) equipped with the discrete topology, respectively,

the usual euclidean topology, and consider the product space E = El x E2. Show

that

(a) E is locally compact.

(b) Every product

xE:_{x}x[0,1),

is a compact subspace of E, which is also open in E.

0<x<1,

188

(c) A set U C E is open if and only if U fl xE is open for each x E 10111(d) Every compact subset of E is covered by finitely many of the sets xE.

Now consider u E CA(E). By (d) u vanishes in the complement of the union of

finitely many xE sets, and for each fixed x, y u-+ u(x, y) is a continuous function

on the compact interval Ea = [0, 1]. Therefore

I (u)

II

u(x, y) dy

O<x<I 0

is a well defined finite sum, evidently a positive linear form on Cc(E). Show that

(e) The essential and the principal representing measures for I do not coincide.

[Hint: Show that the set A := El x {0} is closed and that s(A) = 0, while

u(A) = +oo.]

(f) In passing from u to the Borel measure 1B for B E M(E) outer regularity

may be lost. [It suffices to consider B := E \ A, for the set A in the preceding

hint.]

For locally compact spaces E we will henceforth use the notation .4'.. (E) for the set

of all (positive) Radon measures on E. The Riesz representation theorem furnishes

a canonical bijection of fl+(E) onto the set of all positive linear forms on CA(E).

With p, v E 4+ (E) and real numbers a > 0, i3 > 0 the measure a +)3v also lies

in .ill+(E), as is easily checked. That is, .0+(E) is what is called a convex cone.

Besides . W+ (E) we often consider the following subsets

the set of all finite (or bounded) Radon measures and the set of all Radon pmeasures on E, respectively. Evidently

In .f+1 (E) are to found all the Dirac measures on E. And 4 (E) is a convex

subcone of 4f+ (E).

In the special case E = Rd the set ..W+b (W') is the set of all finite Borel measures

on Rd, already familiar to us from 24. That the definition there is equivalent to

the present one is due to Theorem 29.12, according to which every Borel measure

on Rd is a Radon measure.

Depending on whether one thinks of the elements of . W+(E) as measures

on -V(E) or as positive linear forms on CA(E), two notions of convergence suggest themselves: One can define the convergence of a sequence (ta,,) in 4'+(E) to

pE

189

lim An (A) = p(A)

n-+oo

or

lim

n-+oo

f dp = J f dp

J

We will forthwith show that the first of these is of limited interest, while the second

is of considerable significance.

vaguely convergent to a Radon measure y if

(30.1)

lim

-oo

real numbers (f f dpn) converges in R for every f E CA(E). For in this case

f H lim f f dpn evidently defines a positive linear form on CA(E), so by the Riesz

n

representation theorem together with Theorem 29.3 there is a unique Radon measure p to which (An) vaguely converges. At the same time we see that a sequence

in . K+(E) can have at most one vague limit.

(e2 ) converges vaguely to eZ, for the latter just amounts to lim f (xn) = f(X)In general however lime= (A) = ex(A) does not hold for all A E -V(E); in fact,

if all xn are distinct from x, A := {x} is such a set. Conversely, if (es,) vaguely

converges to ey, then (xn) converges to x. For if this were not so, there would

be a subsequence of (xn) which remains outside of some neighborhood U of x.

27.3 furnishes an f E CA(E) with f (x) = 1 and supp(f) C U. Evidently the

(f (xn)) does not converge to f f de,.

sequence (f f

Let (an) be an arbitrary sequence of non-negative real numbers and (xn) a sequence in E with the property that {n E N : xn E K} is finite for every compact

K C E. (In other words, E is not compact and limxn = wo E E'.) Then the sequence of measures An := ane: (n E N) is vaguely convergent to the zero measure

p := 0. For f f dpn = an f (xn) = 0 for all n except the finitely many for which

xn E supp(f), whenever f E Cc(E).

2.

does not generally entail the convergence of (pn(A)) to p(A) for each A E . (E),

while, as 30.2 will show, the converse is true, seems to indicate that the first mode

of convergence mentioned above is too restrictive to be of much use. Actually,

vague convergence of (An) to p follows just from knowing that (An (A)) converges

to p(A) for certain special sets A E R(E). Even more:

190

converges vaguely to a Radon measure p if and only if the following condition is

fulfilled:

(30.2)

and

converges vaguely top and that K and G are any compact and

open sets, respectively. Consider functions u,v E CC(E) with u > 1K, 0 < v < 1

and supp(v) C G. Then for all n E N

Proof. Suppose

whence

udp and

vd < liimianfn(G).

From these inequalities (30.2) follows via (28.2) and (28.12). One only has to recall

that the Radon measure p coincides, thanks to Theorem 29.3, with the essential

measure po determined by the linear form I.

Now suppose conversely that condition (30.2) is fulfilled and that an f E CA(E)

has been given. Since our goal is to confirm (30.1), we lose no generality by assuming that f > 0. For a pre-assigned e > 0 we choose finitely many numbers

0=yo<y1<...<yk

with yk > IIfII and yj - yj_1 = e for each j = 1,...,k. Set

j = 1,...,k.

Ko = K), we have K, -I D Kj and

(j=1,...,k).

A =Kj-1\Kj

Because of the obvious inequalities

k

j=1

j=1

k

j=1

j=1

yjv(A,),

191

from which and a simple calculation using the facts v(A,) = v(Ki_1) -v(K,) and

yi - yi _ 1 = e, we get

k

i=

i=o

i=o

k

Jfd/<EJL(Kj)

for all n E M,

i=o

limsopJ fdn<eE(K1)

i=o

But this right-hand side can be estimated by using the left end of the earlier chain

of inequalities, with v:= . We thereby get

lim sup

f f dn < r f d + e(K),

lira sup

Jfd n <

ffd.

f fd<liminf f fdn

and we get it by an analogous procedure, using the second half of hypothesis (30.2).

One sets Gi := If > yi }, j = 0, ... , k, which are open, relatively compact subsets

of K with

These sets take over the role of the Ki. 0

The second example above (for the case in which, say, all the an equal 1) shows

that a vaguely convergent sequence of measures from .41+(E) need not converge

to a measure in .,W+l (E): mass can be lost. This illustrates the following general

phenomenon:

30.3 Lemma. If the sequence (n)nEN of Radon measures on the locally compact

then the associated total

space E converges vaguely to the measure E

masses satisfy

(30.3)

192

<u<1

Proof. For every u E CA(E) with 0JudlLn

< -IIunhI

J

n-00

Take the supremum of these integrals over all such u and you get, according

to (28.13), the total mass p(E) = IIpII of p. The inequality persists after this

operation

Vague convergence of sequences in .4'+(E) is convergence in a certain topology on ..ff+(E), called, naturally, the vague topology. It is defined as the coarsest

topology on .4f+ (E) with respect to which all the mappings

p y J f dp

(30.4)

(f E CA(E))

consists of all sets of the form

(30.5) Vi...... t..:E(WJ)

J fi

in which n E N, 0 < E E R and fl,..fn E CA(E) are all arbitrary. The vague

topology is Hausdorff because the uniqueness aspect of Riesz's theorem says that

if p, v are different Radon measures, then I, 36 It,., which just means that f f du 34

In this context it is now clear too what should be understood by the vague

convergence of a mapping t i-+ p of a subset A of a topological space T into W+ (E)

convergence

lim

t =

10

tE A

(30.6)

forevery f E C(E).

tEA

with f K dAd = I (for example, the indicator function of the unit cube [0,1] ). For

every real r > 0 set

K,.(x) := rdK(rx)

(x E Rd).

Then K, is also non-negative and Ad-integrable, and f K, dAd = 1 as well. To see

this we only have to recall (7.10), according to which the homothety H,(x) := rx

on Rd transforms L-B measure thus: Hr(Ad) = r-dAd. For from that it follows

193

that

Now r -+ Kr)1d is a mapping of JO,+oo[ into dl. (Rd), and in the sense of the

vague topology it satisfies

lim KrAd = e0

(30.7)

r-a+oC

.F

= f(f oHH')KdAd= ff(f_1x)K(x)Ad((fr)

this and the Lebesgue dominated convergence theorem the claim (30.7) follows upon checking that, on the one hand

r-++oo

and on the other hand for all real r > 0 and all x E Rd

so that 11111 K is an integrable majoraut for all functions. The "approximation of

the identity" co expressed by (30.7) plays an important role in Fourier analysis (cf.

the exercises in 23 of BAUER [1996] ). For the algebra L' (ad) (cf. Remark 2, 24)

has no identity element with respect to convolution, but it is not hard to show

that II Kr * f - f 11 -+ 0 as r -+ +oo for each f E L' (Ad), and in many situations

this is almost as useful as having an identity.

To .,W+b (E) belong in particular all discrete Radon measures on E. These are

the measures 6 which can be represented in the form

k

5 = E aic",

7=1

f o r some finite number of points x1, ... , xk E E and non-negative real numbers

at, ... , ak. Every 5 admits many such representations. Every Radon measure can

be approximated, in the sense of the vague topology, by such 5, as we next show.

30.4 Theorem. For every locally compact space E the set of discrete Radon measures on E is dense in .4f+ (E) in the vague topology.

Proof. Let a measure tso E .W+(E) and a vague neighborhood V of be given. As

noted after (30.5), we can suppose V is Vj, ,....I,, :1(0) for some non-zero Ii..... f E

,,(E). We have to find a discrete measure 6 in V. To that end, consider the com-

194

pact set

K := U supp(fi)

i=1

and g > 0 such that npo(K) < 1. Every y E K has an open neighborhood U. in E

such that 1 fi (y') - fi (y") I < q for all y', y" E U. and all j E {1, ... , n}. Finitely

many Us,, say Uy...... Uy,, suffice to cover K. Set

Al :=KnU,,, A2:=(KnU,,)\Al,...,Ak:=(KnUYk)\(ALU...UAk_1).

These are pairwise disjoint, relatively compact Borel sets whose union is K, and for

all j E { 1, ... , n}, i E { 1, ... , k} and y', y" E A. the inequality I f i (y') - fi (y") 15 rl

holds. Since only these properties of the A; are used in the sequel, we can discard

those that are empty (not all are because 0 0 K = Al U ... U Ak), and re-index the

others. That is, we can suppose all the A; are non-empty and then select a point

xi E A, for each i. The discrete measure

k

i=1

(notice that po(A;) is finite because A; is relatively compact) will be shown to lie

in V and that will complete the proof-

i=1

f fi dpo +

po(A:)fi(xi)

i=1

fA,

iel

using the fact that Ifi(x) - fi(xi)I < 17 for all x E A;, all i E {1,...,k}. This

holds for each j E { 1, ... , n}, and gpo(K) < 1 by choice of q. Therefore b E

V1,,..., f,,;1(po) = V, as was to be shown. 0

30.5 Corollary. The discrete p-measures on E are dense in di. (E) in the vague

topology.

Proof. We take over the notation of the preceding proof. Now po is a measure

in 4+' (E), but the discrete measure 6 = F, po(A;)ez, may not be a p-measure,

so more work is required. Set a; := po(A1), i = 1, ... , k. If K = E (in which case

E had to be a compact space), then a1 +... + ak = po(K) = 1 and b actually is

a p-measure. In general what we have is

195

ak+l

which is non-negative. Then

is a discrete p-measure with f fj dd = f fj db' for each j = 1, ... , n, since xk+l lies

outside the supports of all these functions. Consequently, 6 E V = Vf...... f,,;I(P0)

Next we will investigate whether the equality (30.1) and the continuity assertion (30.4) remain valid for classes of continuous functions more general than C..(E).

Recall in this connection that for a measure E .,&+' (E), every f E Cb(E) is uintegrable: it is g(E)-measurable and its modulus is majorized by a real constant,

hence p-integrable, function. We will formulate the relevant results for sequences

only; their extensions to mappings t u-+ pt are routine.

.1/+(E) and if the sequence (IInII)fEN of total masses is bounded, then along with

all the pn the measure is also finite, and for every f E Co(E)

lim

f dn =

Jfd.

so is a finite measure. Definition 27.5 says that for each e > 0 there is a g =

gf E CA(E) such that 11f - g11 5 e. Therefore

for each n E N

if

and

if f du

< ae,

if f dn - f f d

- jgd.Uj

for all n E N.

1

valid for every e > 0. That is, the limit exists and is 0. 0

Remarks. 1. If one considers measures pn and E .-W+6 (E) without the hypothesis

sup 11n 11 < +oo, the above conclusion can fail. The special case of Example 2 in

196

defined by

for x # 0, f(0) := 1

lies in C0(R). But f f dpn = 1 for every n E N, while f f d = 0, because here the

vague limit p is the 0-measure.

2. Example 2, again with E := R and xn := n for all n, considered earlier, but

this time with the constant sequence a := 1, shows that indeed lim f f dey =

f f d for the measure p := 0 and all f E Co(R), but this equality is already false

for the constant function f := 1E in Cb(R).

The passage from Co(E) to Cb(E) therefore calls for a special investigation,

which we stress by introducing a new definition:

is said to be weakly convergent to p if

lim

(30.8)

n-+00

JfdP=Jfdp

the measure it E .W+ (E). Then the following statements are equivalent:

(i) The sequence

converges weakly to it.

11m

IIpnll

=

IIEiII

(ii)

(iii) For every e > 0 there exists a compact subset K = K, of E such that

(E\K)<e

forallnEN.

Let c > 0 be given. The inner regularity and finiteness of p yield

that there is a compact subset L of E such that p(E \ L) < e. According to 27.3,

L has a compact neighborhood KO, so there is an open set G with L C G C Ko.

By (30.2)

,l-+00

for all it > no. Moreover, in view of (ii) this no may be supposed large enough

that IIpnII < a+e for all n > no. Consequently, pn(Ko) > pn(G) > a > IIII -e,

so that p.n (E \ KO) < e, for all n > no. For each n E { 1, ... , no) inner regularity

and finiteness of pn give us a compact K C E such that pn(E \ Kn) < e. The

compact set K := Ko U K1 U ... U Kn0 then satisfies (iii).

Given e > 0, let K = K, be as described. Again from (30.2) we have

K) < e. There is a function u E C,:(E) with 0 < u < 1

and u(K) _ { I). It satisfies 0 < 1 - it < 1CK and so for each f E Cb(E)

forallnEN

197

J(i- u)fd/)

<- If 11.

if

Jfdl

<2IIfIIE+11ufd/Ln- Juid l

converges to f u f d, so the preceding inequality yields

limsup if f dILf

-1 f dl s 2IIf1I e,

valid for every e > 0. That is, this limit exists and equals 0, for every f E Cb(E).

Which proves (i). 0

4' (E) if and only if it is weakly convergent to p.

tight, whether or not any convergence is going on. If a tight sequence from _f+1 (E)

vaguely converges to a measure E .ill+(E), then first of all, IIII S 1 by (30.3), so

that E _&+6 (E). The preceding theorem then guarantees the weak convergence

of (n) to p and therewith E _W+' (E). In particular, with vaguely convergent tight

sequences in ..f+ (E) no mass is lost (cf. the remark preliminary to Lemma 30.3).

Consequences like these constitute the real significance of the tightness concept.

At this point it is worth returning once more to Theorem 30.2. If the measures

,n there are all finite and of the same total mass, e.g., if they are all p-measures,

then the two components of the compound condition (30.2) become equivalent. The

result is the following portmanteau-theorem:

30.10 Theorem. Let ,l,2, ... be measures in &+' (E). Then the following

three assertions are equivalent:

(i) The sequence (n)nEN converges vaguely (and therefore also weakly) to p.

(ii) For every closed F C E

(30.9)

(30.9')

Proof. The first paragraph of the proof of 30.2 actually established that (i)=(iii),

under the less restrictive hypotheses prevailing there. Since that theorem further

shows that the conjunction of (ii) and (iii) implies (i), it only remains to establish

198

the equivalence of (ii) and (iii). That follows from the trivial observation that

holds for all A E -4(E) and all v E _W+1(E).

Example 1 in this section shows that the weak convergence of a sequence (n)

in .4/+(E) to a It E 4' (E) does not imply the convergence of (f f d,+) to f f d

for every bounded Borel measurable function f . Nevertheless the continuity of the

functions f which define weak convergence can be relaxed somewhat. To this end,

we consider bounded, real-valued, Borel measurable functions f on E which are

p-almost everywhere continuous for a p E .A"+(E): After excision of a p-nullset

N E .3(E), f is continuous at each point of E \ N. Important examples of such

are the indicator functions of boundaryless Borel sets. The latter are defined as

follows:

30.11 Definition. A Borel subset Q of a locally compact space E is called boundaryless with respect to a measure p E .AY+(E), p-boundaryless (or p-quadrable)

for short, if the boundary Q'

\ $ of Q is Eo-mill:

(Q') = 0.

(30.10)

5.

only if a E E \ Q*. Look back at Example 1 with this observation and the following

theorem in mind.

it E J4 (E). Then

(30.11)

lim

n-,00

JfdPn=JfdP

holds for every bounded Borel measurable function f that is p-almost everywhere

continuous on E. In particular,

(30.12)

n-,OC

f is continuous at the each point of E0. Let e > 0 be given. Since p is a Radon

measure, there is a compact K C Eo with

p(Eo\K)<e.

Every x E K has an open neighborhood Ux on which the oscillation of f is at

most e, meaning that

for all y1, y2EUx.

If(yi)-f(Y2)I <_e

199

Choose a compact neighborhood V= of x with VV C Ux and then use the compactness of K to find finitely many points x 1, ... , x, E K such that V=, , ... , V=,,

cover K. If we now set

a := inf f (E),

13 := sup f (E),

Q3 := sup f (U , )

for j = 1, . . . , n, then for each such j there exist functions gj, h3 E Cb(E) satisfying

9i( x) _

(aj

a

as well as

if x E Vx

ifxECUU,

and h (x) =

{ ,Qi

[3

if x E Vj

ifxECUU,

a<g;<a;</3;<h;<0.

This follows at the once from 27.3 and the application of an appropriate affine

transformation in the range space R. From these properties and definitions it

follows in particular that gi S f < hj for all j. Therefore if we set

then both these functions lie in Cb(E) and they satisfy a < g < f < h < ,0.

Moreover,

0<h(x)-g(x)<e

forallxEK.

For each x E K lies in some V1, C Us, and because of the way Ux; was chosen

with respect to the oscillation of f, it follows that h(x) - g(x) < h,(x) - gj(x) _

/31 - aj < E. We are now in a position to finish the proof, as follows:

d+JE\K-g)dit

J(h-g)di=IK-g)

<

and, because g < f < h and g, h E Cb(E), the weak convergence hypothesis gives

g dp = n-too

lim

< lim

-n +00 J

nloo J

h dn =

n-+00

h du.

Of course we also have f g d < f f d < f h d. Putting all this together shows

that any pair of the numbers f f d, lim inf f f dn and lim sup f f dn differ by

at most e((E) +,3-a). Since e > 0 is arbitrary, (30.11) holds. 0

Let us now look at an application of this theorem which relates the vague

convergence of p-measures on the number line to their Theorem 6.6 description

in terms of distribution functions. This is the way that weak (and hence vague)

convergence made its original historical appearance.

30.13 Theorem. Let , Al, A2.... be measures in 4+1(R), that is, probability measures on .41, and F, F1, F2 ... their distribution functions. If the sequence (n)nEN

200

(30.13)

n +0

then this convergence is uniform on R.

Proof. According to Theorem 30.12, 1im p.,, (Q) = p(Q) for every p-boundaryless

set Q E .1 and thus, after (6.11), lim F,,(x) = F(x) for every x E R such that the

oo, x( is p-bounda.ryless. We have

interval Qx

] - oo, x] = Qx = n

Q=+1 /k

kEN

and therefore

Consequently, Q, is L-boundaryless just if the (isotone) function F is right-continuous at x, that is (since distribution functions are everywhere left-continuous),

just if x is a point of continuity of F. This proves the first assertion.

Let us now hypothesize that F is continuous on the whole line, and let e > 0

be given. First of all, (6.13) supplies numbers a < b such that F(a) < e and

1 - F(b) < c. The uniform continuity of F on the compact interval [a,b] insures

that points a = xo < x1 < ... < xk = b exist such that

F(xj)-F(xj_1)<e

forj=1,...,k.

From what has already been proven we know that there exists nE E N such that

But then, as we will show, the inequality (Fo(x) - F(x)] < 2e prevails for every

x E R and all n > ne1 which proves the uniform convergence of (Fn) to F. For if

x < x0, then

0 < F(x) < F(xo) < e and 0 < Fn(x) < Fn(xo) < F(xo) +e < 2e,

that is, I F,,(x) - F(x)j < 2e. And a similar argument works if x > xk. The remaining x fall into [x j _ 1, x j [ for an appropriate j E {1,...,k}, so

and

F(xj_1) - c < Fn.(xj_1) < Fn(x) < F,,(xj) < F(xi) +e < F(xj_1) +2e,

confirming that in this case too IFn(x) - F(x)I < 2E.

Remarks. 4. At a point x E R of discontinuity of F limit relation (30.13) generally

fails, as the example Ee :=

n E N, confirms.

201

for the weak convergence of the sequence

to p (cf. Exercise 6 below). The

same is true of condition (30.13) (cf. Exercise 7).

The concept of weak convergence (with the same definition) is also meaningful

if E is a Polish space (or even just a metric space) if the measures involved in

Definition 30.7 are all finite Borel measure on E. Only the uniqueness of limits

calls for discussion:

30.14 Lemma. Finite Borel measures p and v on a metric space E are equal if

f f dp = f f dv for all f E Cb(E).

Proof. Let d be a metric giving the topology of E and consider closed subsets

F C E. Suppose we can always find a sequence (fn) in Cb(E) with fn .1. 1F. Then

it would follow from the hypothesis and from Lebesgue's dominated convergence

generator of the Borel a-algebra R(E) and it contains the whole space E. The

equality = v would thus follow from the uniqueness theorem 5.4.

can suppose F 0 0. For this purpose we use the (uniformly) continuous antitone function h : R -+ R which is constantly 1 on ] - oo, 01, constantly 0

on [1, +oo[ and defined by h(t) := 1 - t on [0, 1], together with the function

x H d(x, F) := inf{d(x, y) : y E F}. The latter is a (uniformly) continuous function on E, as we showed in the proof of Example 4, 26. Moreover, its zero-set

is exactly F, because F is closed. Apparently then the sequence of (uniformly)

continuous functions

fn(x) := h(n d(x, fl),

x E E, n E N

Remarks. 6. The concept of p-boundaryless sets is also meaningful for finite Borel

measures p on Polish spaces. One easily convinces himself that Theorem 30.12

remains valid in this new situation. In the proof one merely has to secure the

existence of the needed functions g3 and h2 somewhat differently: To this end one

engages Urysohn's lemma (WILLARD [1970], p. 102 or KELLEY [1955], p. 115).

7. Weak convergence in the set of finite Radon measures on a Polish or a locally

compact space E derives from a topology in the same way that vague convergence

does. It is called, naturally, the weak topology and it is defined by letting Cb(E)

take over the role of CC(E) in (30.4).

Weak convergence in (non-locally compact) Polish spaces plays only a marginal

role in this book, but is thoroughly investigated in BILLINGSLEY [1968] and PARTHASARATHY [1967].

202

Exercises.

1. Let E be a locally compact space, (n)fEN a sequence in ..Wb(E) which is

vaguely convergent to E . +(E). If 11I.11 !5 1 for every n E N, then R

o.D

exists and equals 1.

be a convergent sequence of real numbers, with slim an = a E

2. Let

+00

be a sequence of non-negative real numbers such that al > 0

Further, let (a

and the series E a,,, is divergent. Then

lim

n-+no

alai +...'+'anon =a

a,

the case in which all an = 1 being the best known instance. Here is an outline for

a measure-theoretic proof: The equations

/tn :=

n E N,

al+...Ian

according to 30.6, line f f dt. = 0 holds for every f E Ca(lm). The relevant f is

the one defined by f (n) := a - a.

3. Let E be a locally compact space and T a subset of C0(E) with the following

properties: Each compact K C E has a relatively compact neighborhood U such

that every f E C0(E) with supp(f) C K is uniformly approximable on E by

functions t E T whose supports He in U; and further, there exists a t E T with

0 < t < I and t(K) _ {1}. Show that:

(a) A sequence (n) in .1+(E) is vaguely convergent if and only if the sequence

(f t dp) is convergent in R for every t E T.

(b) For E := R, the set of all continuously differentiable real-valued functions with

compact support is a T with the above properties.

4. With the help of Exercise 3 show that for the functions f, (x) := I - sin(nx)

on R, the sequence (f .\'),,EN converges vaguely to A1, and deduce from this the

Riemann-Lebesgue lemma:

Elm

n -r00

f (x) sin(nx) dx = 0

for every f E

(a) The system . of all p-boundaryless sets is an algebra in E.

(b) For every f E Cb(E) there is a countable set Al C R such that { f > a) E .

for every a E R \ A f. [Hint: For every finite set {al , .... an ) of real numbers

n

i=1

6. ,1,z, ... are finite Radon measures on the locally compact space E. Show

that condition (30.12) is also sufficient for weak convergence; that is, from

limA.(Q) = (Q) for every p-boiundaryless set Q C E follows the weak convergence of

to it. This is also true if E is a Polish space. [Hints: Imitate the proof

203

of Theorem 11.6 and show with the help of Exercise 5 that every 0 < f E Cb(E)

is the uniform limit on E of an isotone sequence (un) in the vector space spanned

by the indicator functions of the sets in -90-1

7. As an application of Exercise 6 show that in the context of Theorem 30.13

condition (30.13) there is also sufficient for the weak convergence of (n) to p.

8. Let (an)nEN be a sequence of real numbers in J0, 1[. From [0,1] delete the open

interval Ill centered at 1/2 having length al. There remain two disjoint closed

intervals J11, J12. From J1j delete the open interval I2j of length a2A1(J13) whose

midpoint is that of J13 (j = 1,2). Then there remain four pairwise disjoint closed

intervals J21, J22, J23, J24. From J2, delete the open interval I3j of length a3.' (J23)

disjoint closed intervals J3j, j = 1, ... , 8. Continuing in this way one gets for each

n E N pairwise disjoint closed intervals Jnj, j = 1, ... , 2n. The set

C:= n(Jn1U...UJn2n)

nEN

the Cantor discontinuum. Prove that:

(a) C is compact and non-void, but C has void interior.

iim fln

I(,_ a,).

cc

n=1

[Hint: Recall the inequalities 1 + a < (1 - a)-1 and 1 - a < e_a for 0 < a < 1.]

00

an < +00, U :=]0,1[ \C is an open subset of R whose boundary

(d) In case

n=1

9. Construct an open subset of ]0,1[x]0, 1 [ whose boundary has positive

\2-measure.

10. Let E be a metric space, with metric d, and let , 1,p2, ... be p-measures

on .R(E). Show that each of the following is necessary and sufficient for the weak

convergence of the sequence (n) to p:

(a) lim f f dn = f f d for all bounded functions f which are uniformly continuous on E.

(c) lim inf n (G) > (G) for all open G C E.

[Hints for (a) .(b): Re-examine the proof of 30.14. There it was shown how,

for a closed non-empty F C E, to construct uniformly continuous functions fn

satisfying fn 1F.1

204

We again consider a locally compact space E along with its space &+ = .,a'+(E)

of Radon measures, equipped with the vague topology. Our interest here is in the

subsets of ..41+ which are compact or relatively compact in this topology. They are

naturally called vaguely compact, resp., vaguely relatively compact.

A necessary condition for the vague relative compactness of a set H C -W+

can be inferred at once from the very definition of the vague topology. According

Therefore the image of any relatively compact H under each such mapping must

be a relatively compact subset of R, that is, a bounded set. This observation leads

to the following definition:

31.1 Definition. A set H C ..&+(E) is called vaguely bounded (sometimes simply

bounded) if

(31.1)

sup

ffd l

< +00

Thus vague boundedness of a set H C -4'+ is a necessary condition for its vague

relative compactness. We want to show that it is also sufficient:

is vaguely bounded.

Proof. In view of the preceding, all that has to be shown in that vague relative

compactness follows from the vague boundedness of H. To this end, let of denote the real number in (31.1), for each f E Cc(E), and Jf the compact interval

(-a f, a fJ in R. Also denote the (vague) closure of H in W+ by H. First observe

that

fid AEJf

for all f E CA(E) and all p E H. In fact, if f E CA(E) and e > 0 are given

is a vague neighborhood of p, so if p E H then H fl Vf;e(p) 34 0. For any v in this

intersection, f f dv E Jf and therefore

ifll

As the extreme inequality holds for every e > 0, we see that If f dpi < a f, that

is, f f d. E Jf.

205

P:= RC = X Rl

IEC,

a factor. The product

J:= X JI

I EC

famous Tychonoff theorem (KELLEY [1955], p. 139 or WRIGHT [1994]). To each

is a point in P. In this way a mapping

4':.l+-4P

is defined which is injective by the Riesz representation theorem. On the basis of

what was shown in the opening campaign

4;(H) C J.

Our goal will be realized if we can show that

(a) 4' maps .4f+ homeomorphically onto

and

is also closed in P. From 4)(H) lyFor then 4)(H), as a closed subset of

ing in the compact set J it therefore follows that 4'(H) is compact, hence too its

homeomorphic image H.

As to (a): Continuity of a mapping 4> into a product means continuity of every

"component" of 4), that is, of each mapping It P- f f dp (f E CA(E)). But this is

true right from the definition of the vague topology. Continuity of the mapping 4'

inverse to 4' means continuity of each mapping

4'(u)'-Jfd(4i(4'()))

Jfdt

of 4>(.q'!.+) into R (f E C'(E)). But this mapping is just the restriction to 4)(..C/+)

of the projection of P = RC, onto its coordinate specified by f.

a positive linear form on CA(E). To see its additivity, for example, let f, g E CA(E)

for u E (f, g, f + g}

I' is thus the positive linear form

206

=II(f+g)-I'(f+g)I+II'(f)-I(f)+I'(g)-I(g)I

<e+II'(f)-I(f)I+II'(g)-I(g)I <3c,

and because e > 0 is arbitrary, the extreme inequality means that its left-hand

side must be 0. In a completely analogous way one proves that I (a f) = aI (f) for

every a E R, f E CA(E), and I(g) > 0 for every non-negative g E CA(E). With

the linearity of I confirmed, the Riesz representation theorem supplies a Radon

I. That is, I lies in

confirming that

measure v E + such that

the latter is closed in P. lJ

31.3 Corollary. For every real number a > 0 the set

9a:={pE..t+(E):IItzII<a)

is vaguely compact.

Proof. For every f E CC(E) and p E 4, if f dpi < f If I du <_ a IIf 11. Consequently, tf,, is vaguely bounded, hence vaguely relatively compact. What therefore

remains to be confirmed is the closedness of via in .4W+. According to (28.13)

6 is just the set of all Is E W+ such that f u d < a holds for all [0,1]-valued

u c- CA(E). Because the mapping p '-+ f u dtp of .'+ into R is continuous, the

set { E - ' + : f u du < a} is closed, for each u E CA(E), and by the preceding

observation 4 is an intersection of such sets, those for which u(E) C [0, 11. Thus

.9a is indeed (vaguely) closed. 0

Remark. 1. The set of all measures u E 4' (E) with IIpQ equal to a fixed positive

number a is vaguely closed if E is compact (because in that case 1E E CA(E)).

Example 2 of 30, with all the a there equal to a, illustrates this.

the vague topology of 4+(E) is metrizable. One reason is that sequences suffice

for dealing with metric topologies, but generally not for non-metric ones. The

following remark will prove useful in answering this question.

Remark. 2. For every locally compact space E the, obviously injective, mapping

(31.2)

V : E -+ .4f+ (E)

every point x E E the (open) sets

Mf...... f..:n(x) = {y E E : If,(x) - f;(y)I < 17,,7 = 1,...,n}

form a neighborhood basis at x as the fj run through all finite subsets of CA(E)

and 17 through all positive real numbers. In fact, if U is a neighborhood of some

207

which implies that

C U. Using the notation (30.5) it is obvious that

= V(E) n Vf...... J..;,&.)

for all relevant functions, q E R+ and x E E. Together with the injectivity this

clearly shows that cp is a homeomorphism.

clearly a necessary condition for the metrizability of the vague topology on .41+(E).

For the former the existence of a countable basis in E is sufficient, as was noted

in Remark 5 of 29. It is useful to formulate this in terms of CA(E):

31.4 Lemma. For any locally compact space E the following assertions are equivalent:

(b) There is a countable subset of CA(E) which is dense with respect to uniform

convergence.

Proof. (a)=::-(b): Let 9 be a countable base for (the topology of) E,.? the set of

all open intervals in R with rational endpoints. For every natural number n let

us say that an n-tuple (C1,... , Gn) E 1n and an n-tuple (II, ... , In) E Mn are

compatible with each other if a function f E CA(E) exists such that f(G,) C II

for each j = 1,...,n and supp(f) C Gl U ... U Gn. Any such f will be called

a compatibility function for the pair of n-tuples. Obviously, the set

U(9" x,1n)

nEN

is countable; there are therefore only countably many such pairs of n-tuples (n E N)

that are compatible with each other. We choose a compatibility function for each

such pair and designate by F the set of functions chosen. It suffices to prove that

F is a countable dense subset of CA(E). To prove its denseness, let u E CA(E)

and e > 0 be given. Denote the support of u by K. Every x E K lies in an open

neighborhood from 9 each point y of which satisfies Iu(x) - u(y) I < E. The compact set K is covered by finitely many such neighborhoods, say by C1,.. . , Gn.

The diameter of each image set u(G,) is at most 2E. Consequently there are intervals I j E 9 of length less that & such that u(G3) C II, f o r j = 1, ... , n. Thus

u is a compatibility function f o r the pair of n-tuples (G 1 i ... , G"), (I1, ... , In ).

Hence there must also be such a compatibility function f in the representative

set F. Every X E Gj therefore satisfies Iu(x) - f(x)I < .A'(Ij) < 3e; that is,

Iu(x) - f (x)I < 3e for all x E G1 U ... U Gn. But this latter inequality prevails as

well for all x E E \ (G1 U ... U Gn) for the simple reason that both f and u vanish

identically in this complement. In summary, llu - f II < 3F. This proves that F is

dense in CA(E).

(b)=*(a): Let D be a dense subset of Cc(E). We will show that the system 9

of all sets {u > 1/2} with u E D is a base for the topology of E. For every open

U C E and every point x E U Corollary 27.3 furnishes an f E CA(E) with f (x) = 1

208

and supp(f) C U. Since D is dense, there is a u E D with 1$u - f O < 1/2. Then

xE{u>1/2}C{f> 0) C supp(f) C U.

If D is countable, so is If.

To this end, let D be a countable dense subset of Ce(E). Now (cf. Corollary 27.3)

CA(E) separates the points of E, so D must also; that is, for any two distinct

points x, y E E there is a u E D with u(x) 96 u(y). The functions in D \ {0} may

be organized into a sequence ul, u2.... and we may then define

(31.3)

1un(x) -'uw(y)1

d(x, y) :_

n=1

X, Y E E.

2" 11un11

Point-separation by D means that d(x, y) > 0 whenever x # y. All the other properties of a metric on E are obvious for d. This function d on E x E is a uniform

limit of continuous functions and is consequently continuous. Therefore the topology generated by d, which we will call the d-topology, is coarser than the original

topology of E. For any given point x E E and neighborhood U of x in the original

topology of E there is, as was shown in the "(b)=(a)" part of the preceding proof,

a u E D with

zEV:={u>1/2}CU.

the two topologies in fact coincide.

Now we can provide the final answer to the question posed after Remark 1.

31.5 Theorem. The following assertions about a locally compact space E are

equivalent:

(b) The vague topology of 4+(E) is metrizable and has a countable base.

(c) The topology of E has a countable base.

(d) E is a Polish space.

Proof. (a)=>(b): This follows from Definition 26.1 of a Polish space.

In Remark 2 we learned that x o-4 ey is a homeomorphic mapping of E

onto the subspace {e. : x E E} of all Dirac measures in .4'+(E). Since the property

of having a countable basis clearly passes to subspaces, (c) follows.

(c) .(d): This was shown in Remark 5 of 29.

(d)*(a): Lemma 31.4 provides a countable Do C CC(E) which is dense in CA(E)

with respect to uniform convergence. Furthermore, according to Example 2 of 29,

E is countable at infinity, so that by 29.8 there is a sequence

of compact

sets such that L. 1 E and every compact subset K of E satisfies K C L. for all

but finitely many n. For each n E N choose an e,, E CA(E) satisfying 0 < e,, < 1,

209

D:=Do

EDo,nEN}Ufen: nE N}

of CA(E) is still only countable and, of course, is dense in CA(E). Let d1, d2,... be

an enumeration of its elements:

D={d,,:nEN}.

Using this enumeration we define a mapping

e:

+x-&+-+ R+

by

(31.4)

, v E

n=1

All the properties of a metric save perhaps one are obvious for p. What needs

checking is that = v follows from g(, v) = 0. In view of the uniqueness part of

the Riesz representation theoremr this amounts to showing that from

J dodp=J dodo

f f dp =

fdv

supp(f)CLkC{ek=1}.

Further, given e > 0 there is u E Do with Ilf - ull < c, whence, since f = fek,

(31.5)

Integration yields

(31.6)

if

(31.61)

I ffdv_Juekdv l < F

J ek dv.

As the functions ek and uek are in D, the assumption that p(p, v) = 0 entails that

their p- and the v-integrals coincide, and it follows that

Jfdi_Jfdu

2e

l

<

J ek d,",

holding for every e > 0. That is, the desired equality f f dp = f f dv must hold.

The next step is to show that the topology determined by P is none other

than the vague topology. We will, to that end, make use of the fact that the sets

defined in (30.5) are a neighborhood base at v E ..&+ in the vague

210

topology, when all possible finite subsets {fl,..., fn} of C0(E) and all numbers

e > 0 are considered. We will denote by Ue (v) the open ball of center v and radius e

1. Given e > 0 there exists m E N such that

Vd,..... dm;e/2(V) C UU(V)

(31.7)

00

n=m+1

in

E2-n

p(, V) <

+<e

n=1

2. For finitely many f1,..., fn E CC(E), for every number e > 0 and every

v E 4'+, there is a number i > 0 such that

(31.8)

Un(v) C V11,---.fn;-(V)

n

U supp(fj) C Lk C {ek = 1}.

j=1

For each j there is a function uj E Do with II fj - uj II < 6, hence with

Ifj - ujekl !5 bet,

(j=1,...,n).

(31.9)

Jf)dL_Juiekd1zl<SJekd,

fjdv-

(31.9')

if

show

for j = 1, ... , n. Choosem so large) that all the functions ek, u1ek....

up among the first m functions dl,..., d,,, in the enumeration of D, to which they

,7] ._ d2-m

211

if

for i = 1, ... , m.

(31.10)

for j=1,...,n

if

and

Jekd/L_fekdP<o.

(31.10')

From (31.9) and (31.9'), as well as from (31.10) it follows, via the triangle inequality

that

while from (31.10')

J

Jfid_ffidv<82+(1+2 J edv)S<eAs

this holds for every j E{ 1, ... , n}, it asserts that p E V11 ,... j,,, (v) and confirms (31.8). Together (31.7) and (31.8) assert the equality of the vague and the

p-topologies.

The next step will be to prove the completeness of the metric p, and we can

do that via slight modifications in the foregoing arguments. Let (pn)nEN be a pCauchy sequence in W+. Instead of the functions fl,..., fn and the number e > 0

in 2. above, let an f E CA(E) and a number b E ]0, 1[ be given. We aim first

to prove that the numerical sequence (f f dpn)nEN converges in R. Choose k E N

with supp(f) C {ek = 1) and u E Do with Ilf - It < b. Then choose m E N large

enough that the two functions ek and uek are among dl, ... , d,n and set 17:= 62-1.

Since (n) is a p-Cauchy sequence, there is a natural number N, dependent on 'q,

thus on f and S, such that

for all r, s > N.

p(pr, ps) < 77

Just as in the earlier deduction scheme, we get that for such r, 8

which contains in particular the inequalities

(31.11)

if

< 6 and

JekdPr_JekdPa < 6.

if

212

Of course we also have the f-analogs of (31.9) and (31.9'), so that reasoning similar

if

The second of the (valid for all r,s > N) inequalities in (31.11) shows that the

numerical sequence (f ek d

forallnEN.

The earlier inequality therefore yields

Jfdpr_JfdP8<62+(1+2M)

on b and f. Therefore this last inequality affirms that (f f dpn)nEN is a Cauchy

sequence in R. According to the remark following Definition 30.1 the sequence (tin)

is therefore vaguely convergent to some p0 E .4'... Since the vague topology coincides with the p-topology, as we have already confirmed, this means that the

sequence (pn) converges to po in the p-metric.

We finally need to prove that, like the topology of E, the vague topology of ..k+

has a countable base. Since the vague topology is generated by the metric p, it

is enough to find a countable set 9o which is dense in . W+; because it is obvious

that the set of all open balls with respect to the metric p centered at points of 9o

and having rational radii is then a countable base for the p-topology of . '... Our

candidate for 9o is the set of all discrete measures

k

b :_

aifx,

with positive rational ai and points ai drawn from a countable set Eo which

is dense in E. We get such a set Eo simply by taking a point from each set

in a countable base for the topology of E. Evidently, this 90 is countable. We

have to show that for every p E . fl+, every real e > 0, and every finite set

F :_ {fl,..., fn} C CA(E), the basic vague neighborhood Vj,,...

contains

a measure from 90. At least, according to 30.4, this neighborhood contains a

(31.12)

<e

i=1

213

if fdIt-Jfd.6l<

fdlt -

k

fd,,- ffdal+Ea;If(=i)-f(xj)I+FI-;-ailIlfII

EHJfd,1

-ffdbl

set E o sufficiently close to T, (i = 1, ... , k ), then because of the continuity of the

(finitely many) functions f, we can obviously see to it that the two sums in (31.13)

together are less than this, so that the right side of inequality (31.13) is less than e,

for each f E F. But that means that b E 9o n V1..... f,,;, (It).

Remarks. 4. The reader should recall the rather elementary fact that for a metric space compactness and sequential compactness are equivalent (see (6.37) in

HEwrrr and STROMBERG [19651). In view of this, a very useful consequence of

Theorems 31.2 and 31.5 for a locally compact space E with a countable base is

that every vaguely bounded sequence in _J!+(E) contains a vaguely convergent

subsequence..

In particular, for such E every sequence (p,,) in ..#+(E), that is, every sequence

of p-measures, contains a vaguely convergent subsequence. Moreover, in case all

convergent subsequences have the same limit e, the original sequence (p,,) itself

converges vaguely to /t: Otherwise there would be an f E CA(E) for which (f f dlt )

sloes not converge to f f dlt, and so an e > 0 and integers I < n1 < n2 < ... such

a vaguely convergent subsequence and its vague limit could not be iz. If we further

that it is tight, then with the aid of Remark 3 in 30 we can

hypothesize of

even converges weakly to it.

conclude that it E .W+(E) as well, and that

base) that tight sequences in &+'(E) always contain weakly convergent subsequences. Explicitly formulated this says: A set H C .,i.+ (E) is relatively compact

(= relatively sequentially compact) in the weak topology if it is tight, meaning

that for every e > 0 a compact Kf C E exists such that p(E \ KE) < e for every it E H. A theorem of Yu.V. PROHOROV asserts that the lightness of H is

even equivalent to its weak relative compactness. More is true: This equivalence

prevails as well whenever E is any Polish space. For details the reader can consult

BILLINGSLEY [1968[.

214

The ideas employed in the proofs of Theorems 31.4 and 31.5, slightly modified,

lead to a further interesting result. It concerns the space

C := C(R+, E)

of all continuous mappings f of R+ := [0, +oo into a Polish space E, for example, Rd. We endow C with the topology of uniform convergence on compact subsets

of R+.

Proof. Consider any complete metric B which generates the topology of E. Another

such metric is given by (x,y) H min{1, p(x,y)}, and using it if need be, we can

simply assume that L< 1. This lets us define do in C for each n E N by

dn(f,g) := sup{p(f(x),g(x)) : x E [0, n]),

f,g E C;

and

(31.14)

d(f,g) :_

00

E2-ndn(f,g),

f,g E C.

n=1

Just as earlier (cf. (31.3) and (31.4)), one easily confirms that d is a metric

on C (with all its values in [0,1]) which satisfies

(31.15)

2-nd(f,g)<d(f,g)<dn(f,g)+2'n

for allnEIN,

the right-most inequality following from the fact that d< < d,+1 for all i E N,

resulting in

n

00

i=1

i=n+1

It follows from (31.15) via by-now-familiar reasoning that the d-topology coincides

with the original topology of C, and moreover that d is a complete metric.

As we showed in the very last phase of the proof of Theorem 31.5, the Polish

space E contains a countable dense subset E0. The system 9 of all open balls with

respect to the metric o with centers in Eo and with positive rational radii is then

a countable base for E. Together with it we consider a countable base 0 for R+.

Thus n-tuples (01, ... , On) E 0n and (G,,.. -,

E [9n are called compatible if

there is a function f E C such that f (O,) C G,, for each j = 1, ... , n. And, as

before, any such f will be called a compatibility function. Because

U(n

nEN

for each pair of compatible n-tuples, for each n E N. The open d-balls having

centers in F and rational radii are a countable set, and it is easy to see that they

constitute a base for the d-topology of C once we confirm that F is dense in C.

215

c:= 2-N-2. Since f is continuous, every x E [0, NJ lies in a set 0 E 6' such that

for all y E 0.

Finitely many such sets 0 suffice to cover [0, NJ, say 01,..., 0,,. By the triangle

inequality

Q(fo(y),.fo(x)) < e

p(fo(x),fo(.., j))<e

for allxEOj.jE

The open Lo-ball of radius c centered at fo(xj) meets the dense set E0, say in the

point zj. As E is rational, the open p-ball of center zj and radius 2e is a set G j E I.

Then every x E Oj satisfies

which means that fo(Oj) C G j, all this for each j E { 1, ... , n}. This shows that

Consequently,

f(0j)CGj

forj=1,....n.

e(f (x), fo(x)) < 4c.

As the Oj cover [0, NJ, this inequality holds for every x E [0, NJ. It affirms that

dN(f, fo) < 4E, and so thanks to (31.15) and the definition of e, d(f, fo) < 4E +

2-N = 2-N+'. As N E N is arbitrary, this shows that F is d-dense in C, which,

as noted earlier, completes the proof.

The significance of Theorem 31.5 lies partly in the fact that for a locally compact space E whose topology has a countable base the space .41+(E) of all (positive) Radon measures - which according to 29.12 is the set of all Borel measures

on E - being also a Polish space, is itself an environment in which measure theory

can be pursued. And this happens in convex analysis, in integral geometry, and

in stochastic geometry, a meeting point between geometry and probability theory.

in a Polish space E (Theorem 31.6) plays a fundamental role in the theory of

stochastic processes. For example, the Polish space C(R+, Rd) carries the famous

Wiener measure; it is the steering mechanism of the Brownian motion in Rd (cf.

BAUER [1996]).

Exercises.

1. Let E be a locally compact space, v E ..#+(E). Show that the set of all p E

..#+(E) which satisfy 0 <_ f u. d,u < f udv for every non-negative u E CA(E) is

vaguely compact.

216

2. Let E be a locally compact space with a countable base. Prove that there is

a countable subset of C0(E) that has the properties of the set T in Exercise 3, 30.

[Hint: Try the set D that featured in the proof of Theorem 31.5.]

3. (Selection theorem of E. HELIX (1884-1943)). Prove the original form of Corollary 31.3: To every sequence (Fn)nEN of distribution functions on R corresponds

a measure-generating function F : R -+ R and a subsequence (Fn,, )kEN of the

original sequence such that lim Fnk (x) = F(x) for every continuity point x of F.

k-roo

Why is F generally not a distribution function? How does one recover 31.3 (for

the case E := R) from Helly's theorem?

4. For a Polish space E consider the topology (introduced in Remark 7 of 30) of

weak convergence on the set of finite Borel measures (the finite Radon measures

- cf. 26.2) on E. By adapting the ideas in the proof of Theorem 31.5, show that

this topology is metrizable.

5. For what more general spaces taking over the role of R+ in the definition

of C(R+, E) does Theorem 31.6 remain valid?

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Symbol Index

The numbers beside the symbols refer to the pages where the symbol in question

is defined.

C, u,n u, n, c, \, xii

0,33

-00, (+)oo, xi

measure), 149

If >g}, If > 0, 50

IR, xi

N, Z, Q, R, xi,

Z+, Q+, R+, R+, xi

f u d, 55 58 64

R+, 141

f f dF, 65

fA f d, fB f

R,., 156

Qd, 45.

(X)

dx, fa f dAd, f f d4

67 90

f If, 6D

fnTf,

00

F fn, E fn, xiii

n=1

a<b,a<b,14

[a, b1, a, b , a& a, b , xi, 14 28, 29

avb, aA xi

a-, a+, xi

n-+00

n-4o0

lim fn, xiii

n--,oo

n = (n,.. . , n) E Rd (usually n E Z),

23,32

an I a, an T a, xiii

91

(ai)iEJ, Xli

d(x, A), 157, 201

supp(f) (support of a function), 167

det T, 43

f I A' (restriction of a mapping), xii

f-1(B') (pre-image), xii

fA, 62

8Q, 1,36

177

(x, y) (euclidean scalar product), 41

f";, 137

F,, 31

u 12

A* (topological boundary), 198

f, 86

fog (composition of mappings), xii

f = g (ti-)almost everywhere, 70

f * g (convolution of functions), 150

A (topological closure), 17

An, 147

1A (indicator function), 49

a+A, A+a, 36

A:= B, B =: A, xi

AC B, xii

A\ B, xii

222

Symbol Index

AD B,5

Y(), 78

C(R+, E), 214

Dye, 44

Radon measures), 188

E = E(1l, sd), 53

.N,, 13,106, 107

E`(1,d), 58

E, 10

E. T E.

G:= f e-` )'(dx), 88. 93, 145. 146

Dai), 31

GL(d,R), 43

H,. (homothety), 37

Ij,,171,

K,.(xo) (closed ball), 146

K,.(xo) (open ball), 158

L'(Ad), 151, 123

L(), LP(), 86, 81

L3 (lower sum), 91

M(sd), 120

Mot(] d), 42

N,(f),Np(f),87,74

Q., Q.,, 135

S(i'k) (skewing transformation), 30

S,,(0) (euclidean sphere), 37

SL(d, R), 43

Ta (translation), 36. 149

T() (image measure), 36

T-'(sd), 3

(x,27

o(cia), 7

Odd

Qa

...

5:,

F, 32

(counting measure), 12, 13

Ad (d-dimensional L-B measure), 18,

26, 27

Ad (d-dimensional L-B measure on C),

27

., 171

9 171

(principal measure), 176

O (essential measure), 176

A (restriction of ), 68

F, 30

- lim (stochastic limit), 113

U3 (upper sum), 91

-v,1.0Z

IKv,P Lv,1455

Sv-, 170

1 2, 1M

n 11+j, 143

v convolution of measures), 147

a(-s.P-measurable, 34

i=1

a-algebras), 132

.Vd (Borel a-algebra in Rd), 27

4'

(systems of closed, open,

compact subsets of Rd), 27

`6'd, Cd,

9,,, 206

jd

14

.2'(), 6fi

**n,147

P(S), 4

P."W ), 171

P+,r, M2

o'(8), Q(T), a(T1,... ,T,),

o(Ti:iEI),3 35 62

(S1,.,, ) (measure space), 34

0 7-119,*,i), 1.44

Name Index

(1896-1982),167

Anonyme, U., 25

Aumann, Georg (1906-1980), 46

Banach, Stefan (1892-1945), 46

Bartle, R.G., 119

Bauer, Heinz, 130, 144. 187, 193, 215

Berberian, S.K., 141

Billingsley, P., 201, 213

Birkhoff, Garrett (1911-1996), 44

Borel, Emile (1871-1956), ix, 18

Bourbaki, Nicholas, 87, 157, 186, 187

Broughton, A., 5

Caratheodory, Constantin

(1873-1950), 20

Cauchy, Augustin Louis (1789-1857),

ix

Choquet, G., 47

Christensen, J.P.R., 47

Cohn, D.L., 92,157, 181

Courrisge, P., 116

Dellacherie, C., 130

Dieroif, P., 43

Dieudonn6, Jean (1906-1992), 18 1.84

(1805-1859), ix

Doob J.L., 62

Dowker, Clifford Hugh (1912-1982),

181

Dynkin, E.B., 5

(1926-2000), 181

Fischer, Ernst (1875-1956), 84

Fubini, Guido (1879-1943), 138

Gnedenko, Boris W. (1912-1995), 33

Goffman, C., 4Z

Hahn, Hans (1879-1934), 108, 141

Halmos, Paul R., 45 141. 177. 184

Hausdorff, Felix (1868-1942), 46

Hawkins, T., 18

Helly, Eduard (1884-1943), 216

Henle, J., 39

Hewitt, Edwin (1920-1999), 46, 92,

144, 147, 181, 213

Holder, Otto (1859-1939), 75, 78

Huff, B.W., 5

Jordan, Camille (1838-1922), ix

Kelley, John Leroy (1916-1999), 1Z,

152, 158, 159, 166, 168, 201., 205

(1866-1962), 130

Lebesgue, Henri Loon (1875-1941), ix,

18.

Lindelof, Ernst Leonhard (1870-1946),

160

(1883-1950),163

MacLane, Saunders, 44

Mattner, L., L41

Meyer, P: A., 130

Minkowski, Hermann (1864-1909),75

83

(1869-1931), 120

224

Name Index

105

105

Novinger, W.P., 82

Overdijk, D.A., 5

Oxtoby, John Corning (1910-1991), 4Z

Peano, Giuseppe (1858-1932), ix

Pedrick, G., 47

Pfeffer, W.F., 184

Prohorov, Yurii Vasil'evich, 213

Solovay, R.M., 45

(1915-1996), 156

Srivastava, S.M., 47. 165

Steinhaus, Hugo (1887-1972), 162

Stieltjes, Thomas Jan (1856-1894), 32

Stromberg, Karl R. (1931-1994),

46.92 144162, 181, 213

Thiemann, J.G.F., 5

Tonelli, Leonida (1885-1946), 95 138,

144

Tucker, H.G., 33

Ulam, Stanislaw Marcin (1909-1984),

Richter, Hv 33

Riemann, Georg Friedrich Bernhard

(1826-1866), ix

Riesz, Frigyes (1880-1956), 82. 81171

Robertson, J.B., 23

Rosenthal, Arthur (1887-1959), 141

Ross, Kenneth A., 46, 147

Rudin, Walter, 105, 147, 168

Sacki, S., L44

Schmidt, V., 43

Sierpinski, Waclaw (1882-1969), 5

Simons, F.H., 5

47

(1898-1924),158

Varberg, D.E., 45

Wagon, S., 39, 46

Willard, S., 17 152, 157-159, 166, 168,

201

Wright, D.G., 205

Yzeren, J. van, 95

Subject Index

fl-stable system, 7

U-stable system, 2

p-fold (p-)integrable, 7f

p-measure, 31

p-space, 34

pth-power integrable, 76

p -measurable, 20

a-additivity, 8

a-algebra, 2

a-algebra of Borel sets in Rd, 27

-R 42

a-algebra generated by mappings, 35

Cl-diffeomorphism, 44 111

F,-set, 152

Ga-set, 47 152, 157, 1.59

K,-set, 187

29-convergence, 72

."P-functions, 77

.`gyp-pseudometric, 79

2-semi-norm, 79

e-bound, 121

p-almost everywhere, 70

- continuous, 128

- defined measurable function, 73

p-boundaryless, 19-8

p-completion, 26

p-continuous measure, 99

p-essentially bounded, 78

p-integrable function, 64

p-integrable set, 68

p-integral of function, 55, 5$, 64

-- by a set, 3

a-compact, 181

a-finite content, 23

a-finite measure, 23 72 28

a-finite measure space, 34

a-ideal, 13, 100, 1117

a-ring, 177

-- generated, 177

absolutely continuous (see p-continuous)

additivity, finite, 8

-,a-,8

- , sub-, 9

Alexandroff compaetification (see onepoint compactification)

algebra, 1512 193

-,a-,2

- of sets, 4

almost everywhere, 70

- bounded,71

- defined function, 73

p-negligible, 13

p-nullset, 13, 70

p-quadrable, 198

p-singular, 105

p-stochastically convergent, 113

- equal, 70

- finite, 74

analytic set, 47

antitone, xiii

strictly, xiii

226

Subject Index

193, 194

property, 24

99

convergence almost everywhere, 70

almost uniform, 120

Banach space, 87

basis, base (topological), 157

Bernoulli inequality, 75

Borel Q-algebra, 27, 152

Borel (measurable) function, 50 1523

Borel measure, 311, 153

- , mean square, 80

convolution of functions, 151

functions and measures, 150

locally-finite, 154

bounded, 147

Borel set in Rd, 26

in mean, 80

in measure, 113

- , stochastic, 113

- , vague, 189

- measures, 147

boundaryless, 198

bounded

Borel measure, 147

- root, 151

(z)-essentially, 78

- , generalized 2113

carried by a set, 105

Cauchy criterion for stochastic convergence, 114

Cauchy sequence in Y P, 84 85

Cauchy-Schwarz inequality, 78

characteristic function, 44

charge distribution, 108

Chebyshev-Markov inequality, 112

Chebyshev inequality, 112

compatibility function, 207

complete measure, 26, 46

completeness of LP, 82

completion of a measure, 24 56

composition of functions, xii

- measurable mappings, 35

content, 8

content-problem, 411

continuity at

111

continuity from above, 10

- from below, 10

continuity lemma, 88

unit, 142

countable additivity (see Q-additivity)

countable at infinity, 181

countable and co-countable o'-algebra,

2

countable set, xii

counting measure, 12

density of a measure, 96

denseness of C, in 2, 186

denseness of discrete measures, 1194

diffeomorphism, 44, 111

difference

set-theoretic, xii

- , symmetric, 5, 14 24, 87

differentiation lemma, 82

Dirac function, 146

Dirac measure, 12. 154

Dirichlet jump function, 57, 92, 166

disjoint sets, xii

distribution function, 31, 201

dominated convergence theorem, 83

--- , sharpened version, 124

Doob's factorization lemma, 62

Dynkin system, 6

--- generated by ', 7

Subject Index

16,27

elementary function, 53

envelope, lower, xiii

- , upper, xiii

equi-(h)-continuity, 128

equi-p-continuous, 131

equi-continuous at 0, 131

equi-integrable, 121 if.

essential measure, 176

extension theorem, 19

Factorization lemma, 62

family, xii

Fatou's lemma, 81

figure, d-dimensional, 14

188

finite additivity, 8

finite Borel measure, 3 147, 154

finite signed measure, 101

finite-co-finite algebra, 4 8 U

Fubini's theorem, 13(1

function, additive, 59

- , antitone, xiii

- , integrable of order p, 76

- , isotone, xiii

- , Lebesgue integrable, 65

- , Lebesgue-Stieltjes integrable, 65

- , measurable, 34, 49

- , measure-generating, Q. 32

- , numerical, 49

- , positively homogeneous, 59

- , real, xii

- , Riemann integrable, 91, 92

- , step, 53

- , with compact support, 167

Gaussian integral, 88, 93

general linear group, 43

generator, of a a-algebra, 3

-- , of a product a-algebra, 132

Haar measure, 39, 107

227

Hilbert space, 87

Holder inequality, 75

- - , generalized, 78

- , reversed, 72

homothety, 37

hull, measurable, 25

ideal, 5

-- of 1A-null sets (see a-ideal)

image measure, 3366 110

indicator function, 49

input-output formula, 13

integrable, 64

, equi-, 121

- , Lebesgue, 65

- , Lebesgue-Stieltjes, 65

-- quasi-, 64

- of order p, 76

- over a set, 69

integral of f exists, 65

integral over a set, 67

intervals in Rd, 14

isotone, xiii, 59 170

-- , strictly, xiii

isotoneity, 9

Jordan decomposition, 109

L-B measure, 27

L-B measure space, 34

L-B-nullset, 28, 29, 33

Lebesgue decomposition, 105

Lebesgue integrable function, 65

Lebesgue integral, 65

Lebesgue measure, 46

Lebesgue-Borel measure (see L-B

measure)

Lebesgue-Stieltjes integral, 65

Lebesgue's convergence theorem, 83

Lebesgue's decomposition theorem,

105,143

left half-open interval, 29

left-continuous, 30

lemma of Doob, 62

228

Subject Index

- Fatou's, 81

- Urysohn's, 168

- - , reversed, 79

--- on differentiation of integrals, 89

linear form, 66, 68

Lusin's theorem, 10

mapping, xii

mass distribution, 12, 108

measurable mapping, 34

measurable numerical function, 49

measurable sets, 34

measurable space, 34

measurable, Borel, 34, 103

- , Lebesgue, 46

with respect to an outer measure,

21)

- of a signed measure, 109

non-Borel set, 45 47

non-denumerable, xii

norm of uniform convergence, 169

normal representation, 54

nullset, 13

- , L-B, 28 20 33, 43

- , Lebesgue, 46

totally, 1119

number line, xi

- , compactified, xi

- , extended, xi

measure, 11

Borel, 31L 153

outer measure, 20

finite, U

finite signed, 11)2

inner regular, 1.54

point, infinitely remote, 167

point mass (see Dirac measure)

Polish space, 157, 208, 214

portmanteau-theorem, 197

positive part of a function, 53

L-B,27

motion, 41

motion group, 42

motion-invariance of ad, 42

motion-invariant content, 46

mutually singular (measures), 1.05

, Lebesgue, 46

-, of a set, 11

outer regular, 153

positive, 1519

- , regular, 15.4

- , u-continuous, 99

- , a-finite, 23, 72, 98

- , signed, 102

positively-homogeneous function, 59

power set, xii, 2

pre-image, xii

premeasure, 8

with density, 96

measuue-defining function, 311

measure-extension theorem, Q. 21

measure-generating function, Q. 32

measure space, 26. 34

- , a-finite, 34

metric of uniform convergence, 169

metrizability of locally compact spaces,

- , Lebesgue, 18

principal measure, 176

probability measure, 31

probability space, 34

product measure, 137, 143

product of measure spaces, 144

pseudometric, 79

208

Minkowski inequality,

70 83

--- , bounded, 188

Subject Index

- , finite, 188

- , p-measure, 188

- , regularity of, 156, 161, 183

Radon-Nikodym density, 105

- integrand, 105

- theorem, 101

singular part of a measure, 105

singular, mutually, 103

Sorgenfrey topology, 156

- integral, 91

space, locally compact, 186

- , Polish, 157, 208, 214

special linear group, 43

square-integrability, 76

Steinhaus' theorem, 163

step function, 53

Stieltjes integrable, 65

Stieltjes measure function, 32

stochastic convergence, 113

stochastic limit, 112

subadditivity, 9

subsequence principle, 118, 120

subtractivity, 9

support of a function, 167

- - , improper, 92

- of a measure, 173

Riesz representation theorem, 171,

symmetric difference, , 14, 24 87

reflection-invariance, 37

regular, inner, 183

regularity of Borel measures, 184

relatively compact, vaguely, 204

- , weakly, 213

representing measure, 173

- , essential 176

- , principal, L76

restriction of p, 19, 68

restriction of f, xii

Riemann integrable, 91, 92

229

178, 185

ring (of sets), 4

- generated by intervals, 14

theorem of Caratheodory on outer

measures 21

- Egorov, 120

- Fubini, 139

- of a set, 135

-Helly,218

semi-norm, 79

- Lebesgue-Radon-Nikodym, 1125

- Levi, 59

- Lusin, 183

-,2'-,79

sequence, xii

sequentially compact, 213

- , relatively, 213

set, analytic, 47

- , Borel, 26, 49, 152, 172

- , difference, 183

- , Lebesgue measurable, 47

- , non-Borel, 45, 47

- of a-finite measure, 72, 175

- , (partially) ordered, xiii

- , quadrable, 198

Souslin, 47

- Prohorov, 21.3

Radon-Nikodym, 194

F. Riesz, 82

- Riesz-Fischer, 84

- Steinhaus, 163

Tonelli, 13$

theorem on dominated convergence 83

- monotone convergence, 59

- partitions of unity, 167

tight, 197, 213

topological basis (base), 157

230

Subject Index

topology, right sided, 157

vague, 192

weak, 211

total mass, 147. 154, L41

in vague convergence, 191, 195,19%

trace, 3

integrals, 111

for Lebesguc integrals, 111

transitivity of image measures, 36

translation-invariance of Ad, 36

translation-invariant measure, 4 39

ultimately all, xii

uncountable, xii

uniformly integrable, 122

uniqueness theorem, 22

unit mass at w, 8. 12 (see also Dirac

measure)

193, 194

vague topology, 192

vaguely bounded, 204

vaguely compact, 204

vaguely convergent, 189

vanish at infinity, 10

vector space, 66,7,778

Z8

weak convergence, 196, 211

--- and distribution functions, 2(111

weak relative compactness, 213

weak topology, 201

Wiener measure, 216

zero-measure, 11

nowadays required in many branches of amtlysis and especially in

probability theory. The flrst three chapters Measure Theory.

Integration Theory. Product Measures) basically Follow the clear

and approved exposition given in the authors earlier book on

Probability Theory and Measure Theory'. Special emphasis is

laid on a complete discussion of the transformation of measures

anti integration with respect to the product measure, convergence

theorems, parameter depending integrals, as well as the Radon

Nikodym theorem.

The final chapter. essentially new and written in a clear and concise

style, deals with the theory of Radon measures on Polish or locally

compact spaces. With the main results being Luzin's theorem. the

characterization ol locally compact spaces which are Polish, this

Riesz

Fundamentals in measure and integration theory as netded in

modern analysis and probability theory. It will also bc an important

source for anyone teaching such a course.

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