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APPUNTI

LECTURE NOTES

Luigi Ambrosio, Giuseppe Da Prato and Andrea Mennucci

Scuola Normale Superiore

Piazza dei Cavalieri, 7

56126 Pisa, Italy

Luigi Ambrosio, Giuseppe Da Prato

and Andrea Mennucci

Introduction

to Measure Theory

and Integration

c 2011 Scuola Normale Superiore Pisa

ISBN: 978-88-7642-385-7

e-ISBN: 978-88-7642-386-4

Contents

Preface ix

Introduction xi

1 Measure spaces 1

1.1 Notation and preliminaries . . . . . . . . . . . . . . . . 1

1.2 Rings, algebras and σ –algebras . . . . . . . . . . . . . . 2

1.3 Additive and σ –additive functions . . . . . . . . . . . . 4

1.4 Measurable spaces and measure spaces . . . . . . . . . . 7

1.5 The basic extension theorem . . . . . . . . . . . . . . . 8

1.5.1 Dynkin systems . . . . . . . . . . . . . . . . . . 9

1.5.2 The outer measure . . . . . . . . . . . . . . . . 11

1.6 The Lebesgue measure in R . . . . . . . . . . . . . . . 14

1.7 Inner and outer regularity of measures on metric spaces . 18

2 Integration 23

2.1 Inverse image of a function . . . . . . . . . . . . . . . . 23

2.2 Measurable and Borel functions . . . . . . . . . . . . . 24

2.3 Partitions and simple functions . . . . . . . . . . . . . . 25

2.4 Integral of a nonnegative E –measurable function . . . . 27

2.4.1 Integral of simple functions . . . . . . . . . . . 27

2.4.2 The repartition function . . . . . . . . . . . . . 28

2.4.3 The archimedean integral . . . . . . . . . . . . . 31

2.4.4 Integral of a nonnegative measurable function . . 32

2.5 Integral of functions with a variable sign . . . . . . . . . 35

2.6 Convergence of integrals . . . . . . . . . . . . . . . . . 36

2.6.1 Uniform integrability and Vitali convergence

theorem . . . . . . . . . . . . . . . . . . . . . . 38

2.7 A characterization of Riemann integrable functions . . . 39

vi Luigi Ambrosio, Giuseppe Da Prato and Andrea Mennucci

3.1 Spaces L p (X, E , μ) and L p (X, E , μ) . . . . . . . . . . 45

3.2 The L p norm . . . . . . . . . . . . . . . . . . . . . . . 47

3.2.1 Hölder and Minkowski inequalities . . . . . . . 48

3.3 Convergence in L p (X, E , μ) and completeness . . . . . 49

3.4 The space L ∞ (X, E , μ) . . . . . . . . . . . . . . . . . . 52

3.5 Dense subsets of L p (X, E , μ) . . . . . . . . . . . . . . 56

4 Hilbert spaces 61

4.1 Scalar products, pre-Hilbert and Hilbert spaces . . . . . 61

4.2 The projection theorem . . . . . . . . . . . . . . . . . . 63

4.3 Linear continuous functionals . . . . . . . . . . . . . . . 66

4.4 Bessel inequality, Parseval identity and orthonormal

systems . . . . . . . . . . . . . . . . . . . . . . . . . . 67

4.5 Hilbert spaces on C . . . . . . . . . . . . . . . . . . . . 70

5 Fourier series 73

5.1 Pointwise convergence of the Fourier series . . . . . . . 75

5.2 Completeness of the trigonometric system . . . . . . . . 79

5.3 Uniform convergence of the Fourier series . . . . . . . . 80

6 Operations on measures 83

6.1 The product measure and Fubini–Tonelli theorem . . . . 83

6.2 The Lebesgue measure on Rn . . . . . . . . . . . . . . . 87

6.3 Countable products . . . . . . . . . . . . . . . . . . . . 90

6.4 Comparison of measures . . . . . . . . . . . . . . . . . 94

6.5 Signed measures . . . . . . . . . . . . . . . . . . . . . 101

6.6 Measures in R . . . . . . . . . . . . . . . . . . . . . . . 105

6.7 Convergence of measures on R . . . . . . . . . . . . . . 107

6.8 Fourier transform . . . . . . . . . . . . . . . . . . . . . 112

6.8.1 Fourier transform of a measure . . . . . . . . . . 113

8.1 Image measure . . . . . . . . . . . . . . . . . . . . . . 129

8.2 Change of variables in multiple integrals . . . . . . . . . 130

8.3 Image measure of L n by a C 1 diffeomorphism . . . . . 131

A 137

A.1 Continuity and differentiability of functions depending

on a parameter . . . . . . . . . . . . . . . . . . . . . . . 137

vii Introduction to Measure Theory and Integration

References 183

Preface

theory and integration taught by the authors to undergraduate students of

Scuola Normale Superiore in the last 10 years.

The goal of the course was to present, in a quick but rigorous way,

the modern point of view on measure theory and integration, putting Le-

besgues theory in Rn into a more general context and presenting the ba-

sic applications to Fourier series, calculus and real analysis. The text can

also pave the way to more advanced courses in probability, stochastic

processes or geometric measure theory.

Prerequisites for the book are a basic knowledge of calculus in one and

several variables, metric spaces and linear algebra.

All results presented here, as well as their proofs, are classical. We

claim some originality only in the presentation and in the choice of the

exercises. Detailed solutions to the exercises are provided in the final part

of the book.

Pisa, July 2011

Luigi Ambrosio, Giuseppe Da Prato

and Andrea Mennucci

Introduction

and of integration. Historically, this has been motivated by the necessity

to go beyond the classical theory of Riemann’s integration, usually taught

in elementary Calculus courses on the real line. It is therefore useful to

describe the reasons that motivate this extension.

(1) It is not possible to give a simple, handy, characterization of the class

of Riemann’s integrable function, within Riemann’s theory. This is indeed

possible within the stronger theory, due essentially to Lebesgue, that we

are going to introduce.

(2) The extensions of Riemann’s theory to multiple integrals are very

cumbersome. This extension, useful to compute areas, volumes, etc., is

known as Peano–Jordan theory, and it is sometimes taught in elementary

courses of integration in more than one variable. In addition to that, im-

portant heuristic principles like Cavalieri’s one can be proved only under

technical and basically unnecessary regularity assumptions on the do-

mains of integration.

(3) Many constructive processes typical of Analysis (limits, series, in-

tegrals depending on a parameter, etc.) cannot be handled well within

Riemann’s theory of integration. For instance, the following statement is

true (it is a particular case of the so-called dominated convergence the-

orem):

Theorem 1. Let f h : [−1, 1] → R be continuous functions pointwise

converging to a continuous function f . Assume the existence of a con-

stant M satisfying | f h (x)| ≤ M for all x ∈ [−1, 1] and all h ∈ N. Then

1 1

lim f h (x) dx = f (x) dx.

h→∞ −1 −1

Even though this statement makes perfectly sense within Riemann’s the-

ory, any attempt to prove this result within the theory (try, if you don’t

xii Luigi Ambrosio, Giuseppe Da Prato and Andrea Mennucci

believe!) seems to fail, and leads (more or less explicitely, see [2]) to

a larger theory. In addition to that, the continuity assumption on the

limit function f is not natural, because a pointwise limit of continuous

functions need not be continuous, and we would like to give a sense to

1

−1 f (x) dx even without this assumption. This necessity emerges for

instance in the study of the convergence of Fourier series

∞

f (x) = ai cos(iπ x) + bi sin(iπ x) x ∈ [−1, 1].

i=0

implies the

continuity of f as well, is ensured by the condition i |ai | + |bi | <

∞. On the other hand, we will see that the “natural” condition for the

convergence (in a suitable sense) of the series is much weaker:

∞

ai2 + bi2 < ∞.

i=0

Under this condition the limit function f need not be continuous: for

instance, if f (x) = 1 for x ∈ [−1/2, 1/2] and f (x) = 0 otherwise, then

we will see that the coefficients of the Fourier series are given by bi = 0

for all i (because f is even) and by

⎧

⎪ 1

⎪

⎪ if i = 0;

⎨2

ai =

⎪

⎪

⎪

⎩ sin(πi/2) if i > 0.

iπ

(4) The spaces of integrable functions, as for instance

1

H := f : [−1, 1] → R : f 2 (x) dx < ∞

−1

1

f, g := f (x)g(x) dx

−1

are not complete, if we restrict ourselves to Riemann integrable functions

only. In this sense, the path from Riemann’s to Lebesgue’s theory is the

same one that led from the (incomplete) set of rational numbers Q to the

(complete) real line R.

xiii Introduction to Measure Theory and Integration

tions. The first one is concerned, as we already said, with more general

classes of functions, not necessarily continuous or piecewise continuous

(the so-called Borel or measurable functions). The second direction can

be better understood if we remind the very definition of Riemann’s integ-

ral 1

n−1

f (x) dx ∼ (ti+1 − ti ) f (ti )

−1 i=1

parameter supi<n ti+1 − ti tends to 0. More generally, instead of integrat-

ing with respect to the “length” measure, we can integrate with respect to

a generic measure μ and define

1

n

f (x) dμ(x) ∼ μ(Ai ) f (xi ) (1)

−1 i=1

is expected to be better and better as the parameter supi diam(Ai ) tends to

0. We may think, for instance to [−1, 1] as a possibly non-homogeneous

bar, and to μ(A) as the “mass” of the subset A of the bar: because of

non-homogeneity, μ(A) need not be proportional to the length of A.

Once we adopt this viewpoint, we will see that it is not hard to obtain a

theory of integration in general metric spaces, and even in more general

classes of spaces. On the other hand, the approximation (1), that in any

case clarifies the intuitive meaning of the integral, will remain valid for

continuous functions only.

Chapter 1

Measure spaces

adopting the point of view of measures as set functions. The domains

of measures may have different stability properties, and this leads to the

concepts of ring, algebra and σ –algebra. The most basic tool developed

in the chapter is Carathéodory’s theorem, which ensures in many cases

the existence and the uniqueness of a σ –additive measure having some

prescribed values on a set of generators of the σ –algebra. In the final

part of the chapter we will apply these abstract tools to the problem of

constructing a “length” measure on the real line, the so-called Lebesgue

measure, and we will study its main properties.

We denote by N = {0, 1, 2, . . .} the set of natural numbers, and by N∗ the

set of positive natural numbers. Unless otherwise stated, sequences will

always be indexed by natural numbers.

We shall denote by X a non-empty set, by P(X) the set of all parts of

X and by ∅ the empty set. For any subset A of X we shall denote by Ac

its complement Ac := {x ∈ X : x ∈ / A}. If A, B ∈ P (X) we denote

by A \ B the relative complement A ∩ B c , and by AB the symmetric

difference (A \ B) ∪ (B \ A).

Let (An ) be a sequence in P (X). Then the following De Morgan

identity holds, c

∞

∞

An = Acn .

n=0 n=0

(1)

Moreover, we define

∞

∞

∞

∞

lim sup An := Am , lim inf An := Am .

n→∞ n→∞

n=0 m=n n=0 m=n

(1) Notice the analogy with liminf and limsup limits for a sequence (a ) of real numbers. We have

n

lim sup an = inf sup am and lim inf an = sup inf am . This is something more than an analogy,

n→∞ n∈N m≥n n→∞ n∈N m≥n

see Exercise 1.1.

© Scuola Normale Superiore Pisa 2011

2 Luigi Ambrosio, Giuseppe Da Prato and Andrea Mennucci

sists of those elements of X that belong to infinitely many An (respect-

ively that belong to all but finitely many An ).

It easy to check that if (An ) is nondecreasing (i.e. An ⊂ An+1 , n ∈ N),

we have

∞

lim inf An = lim sup An = An ,

n→∞ n→∞ n=0

∞

lim inf An = lim sup An = An .

n→∞ n→∞ n=0

Definition 1.1 (Rings and Algebras). A non empty subset A of P (X)

is said to be a ring if:

(i) ∅ belongs to A ;

(ii) A, B ∈ A ⇒ A ∪ B, A ∩ B ∈ A ;

(iii) A, B ∈ A ⇒ A \ B ∈ A .

We say that a ring is an algebra if X ∈ A .

Notice that rings are stable only with respect to relative complement,

whereas algebras are stable under complement in X.

Let K ⊂ P (X). As the intersection of any family of algebras is still

an algebra, the minimal algebra including K (that is the intersection of all

algebras including K ) is well defined, and called the algebra generated

by K . A constructive characterization of the algebra generated by K can

be easily achieved as follows: set F (0) = K ∪ {∅} and

F (i+1) := A ∪ B, Ac : A, B ∈ F (i) ∀i ≥ 0.

Then, the algebra A generated by K is given by i F (i) . Indeed, it is

immediate to check by induction on i that A ⊃ F (i) , and therefore the

union of the F (i) ’s is contained in A . On the other hand, this union is

easily seen to be an algebra, so the minimality of A provides the opposite

inclusion.

Definition 1.2 (σ –algebras). A non-empty subset E of P (X) is said to

be a σ –algebra if:

(i) E is an algebra;

3 Introduction to Measure Theory and Integration

∞

(ii) if (An ) is a sequence of elements of E then An ∈ E .

n=0

If E is a σ –algebra and (An ) ⊂ E we have n An ∈ E by the De

Morgan identity. Moreover, both sets

n→∞ n→∞

belong to E .

Obviously, {∅, X} and P (X) are σ –algebras, respectively the smal-

lest and the largest ones. Let K be a subset of P (X). As the intersection

of any family of σ –algebras is still a σ -algebra, the minimal σ –algebra

including K (that is the intersection of all σ –algebras including K ) is

well defined, and called the σ –algebra generated by K . It is denoted by

σ (K ).

In contrast with the case of generated algebras, it is quite hard to give

a constructive characterization of the generated σ -algebras: this requires

the transfinite induction and it is illustrated in Exercise 1.18.

Definition 1.3 (Borel σ -algebra). If (E, d) is a metric space, the σ –

algebra generated by all open subsets of E is called the Borel σ –algebra

of E and it is denoted by B (E).

In the case when E = R the Borel σ -algebra has a particularly simple

class of generators.

Example 1.4 (B (R)). Let I be the set of all semi–closed intervals [a,b)

with a ≤ b. Then σ (I ) coincides with B (R). In fact σ (I ) contains all

open intervals (a, b) since

∞

1 1

(a, b) = a + ,b with n 0 > .

n=n 0 n b−a

An analogous argument proves that B (R) is generated by semi-closed

intervals (a, b], by open intervals, by closed intervals and even by open

or closed half-lines.

(2) Indeed, let (a ) be a sequence including all rational numbers of A and denote by I the largest

k k

open interval contained in A and containing ak . We clearly have A ⊃ ∞k=0 Ik , but also the opposite

inclusion holds: it suffices to consider, for any x ∈ A, r > 0 such that (x − r, x + r) ⊂ A, and k

such that ak ∈ (x − r, x + r) to obtain (x − r, x + r) ⊂ Ik , by the maximality of Ik , and then x ∈ Ik .

4 Luigi Ambrosio, Giuseppe Da Prato and Andrea Mennucci

Let A ⊂ P (X) be a ring and let μ be a mapping from A into [0, +∞]

such that μ(∅) = 0. We say that μ is additive if

B), so that μ(A) ≥ μ(B). Therefore any additive function is nondecreas-

ing with respect to set inclusion. Moreover, by applying repeatedly the

additivity property, additive measures satisfy

n n

μ Ak = μ(Ak )

k=1 k=1

A set function μ on A is called σ –additive if μ(∅) = 0 and for any

sequence (An ) ⊂ A of mutually disjoint sets such that n An ∈ A we

have

∞ ∞

μ An = μ(An ).

n=0 n=0

countable unions in which only finitely many An are nonempty.

Another useful concept is the σ –subadditivity: we say that μ is σ –

subadditive if

∞

μ(B) ≤ μ(An ),

n=0

for any B ∈ A and any sequence (An ) ⊂ A such that B ⊂ n An .

Notice that, unlike the definition of σ –additivity, the sets An need not be

disjoint here.

Remark 1.5 (σ –additivity and σ –subadditivity). Let μ be additive

on

a ring A and let (An ) ⊂ A be mutually disjoint and such that n An ∈

A . Then by monotonicity we have

∞

k k

μ An ≥ μ An = μ(An ), for all k ∈ N.

n=0 n=0 n=0

∞

∞

μ An ≥ μ(An ).

n=0 n=0

5 Introduction to Measure Theory and Integration

prove that it is σ –subadditive.

Conversely, it is not difficult to show that σ –additive set functions are

σ –subadditive: indeed,

if B ⊂ ∪n An we can define A0 = B ∩ A0 and

An := B ∩ An \ m<n Am for n ∈ N∗ , so that B is the disjoint union of

the sets An , to obtain

∞

∞

μ(B) = μ(An ) ≤ μ(An ).

n=0 n=0

tinuity of μ in the sense of the following proposition.

Proposition 1.6 (Continuity on nondecreasing sequences). If μ is ad-

ditive on a ring A , then (i) ⇐⇒ (ii), where:

(i) μ is σ –additive;

(ii) (An ) ⊂ A and A ∈ A , An ↑ A ⇒ μ(An ) ↑ μ(A).

Proof. (i)⇒(ii). In the proof of this implication we can assume with no

loss of generality that μ(An ) < ∞ for all n ∈ N. Let (An ) ⊂ A , A ∈ A ,

An ↑ A. Then

∞

A = A0 ∪ (An+1 \ An ),

n=0

the unions being disjoint. Since μ is σ –additive, we deduce that

∞

μ(A) = μ(A0 ) + (μ(An+1 ) − μ(An )) = lim μ(An ),

n→∞

n=0

(ii)⇒(i). Let (An ) ⊂ A be mutually disjoint and such that A :=

n An ∈ A . Set

m

Bm := Ak .

k=0

m

Then Bm ↑ A and μ(Bm ) = μ(Ak ) ↑ μ(A) by the assumption. This

0

implies (i).

σ –additive on a ring A . Then

(An ) ⊂ A and A ∈ A , An ↓ A, μ(A0 ) < ∞ ⇒ μ(An ) ↓ μ(A).

(1.1)

6 Luigi Ambrosio, Giuseppe Da Prato and Andrea Mennucci

previous proposition gives μ(Bn ) ↑ μ(B). As μ(An ) = μ(A0 ) − μ(Bn )

and μ(A) = μ(A0 ) − μ(B) the proof is achieved.

μ be σ –additive on a σ –algebra E and let (An ) ⊂ E . Then we have

μ lim inf An ≤ lim inf μ(An ) (1.2)

n→∞ n→∞

lim sup μ(An ) ≤ μ lim sup An . (1.3)

n→∞ n→∞

∞

∞

L= Bn where Bn := Am . (1.4)

n=0 m=n

μ(L) = lim μ(Bn ) = inf μ(Bn ) ≥ inf sup μ(Am ) = lim sup μ(An ).

n→∞ n∈N n∈N m≥n n→∞

Thus, we have proved (1.3). The inequality (1.2) can be proved similarly

using Proposition 1.6, thus without using the assumption μ(X) < ∞.

The following result is very useful to estimate the measure of a lim sup

of sets.

Lemma 1.9. Let μ be σ –additive on a σ –algebra E and let (An ) ⊂ E .

∞

Assume that μ(An ) < ∞. Then

n=0

μ lim sup An = 0.

n→∞

Proof. Set L = lim sup An and define Bn as in (1.4). Then the inclusion

n→∞

L ⊂ Bn gives

∞

μ(L) ≤ μ(Bn ) ≤ μ(Am ) for all n ∈ N.

m=n

As n → ∞ we find μ(L) = 0.

7 Introduction to Measure Theory and Integration

Let E be a σ –algebra of subsets of X. Then we say that the pair (X, E )

is a measurable space. Let μ : E → [0, +∞] be a σ –additive function.

Then we call μ a measure on (X, E ), and we call the triple (X, E , μ) a

measure space.

The measure μ is said to be finite

if μ(X) < ∞, σ –finite if there exists

a sequence (An ) ⊂ E such that n An = X and μ(An ) < ∞ for all

n ∈ N. Finally, μ is called a probability measure if μ(X) = 1.

The simplest (but fundamental) example of a probability measure is

the Dirac mass δx , defined by

⎧

⎨1 if x ∈ B

δx (B) :=

⎩0 if x ∈ / B.

This example can be generalized as follows, see also Exercise 1.5 and

Exercise 1.23.

Example 1.10 (Discrete measures). Assume that Y ⊂ X is a finite or

countable set. Given c : Y → [0, +∞] we can define a measure on

(X, P (X)) as follows:

μ(B) := c(x) ∀B ⊂ X.

x∈B∩Y

Clearly μ = x∈Y c(x)δx is a finite measure if and only if x∈Y c(x) <

∞, and it is σ –finite if and only if c(x) ∈ [0, +∞) for all x ∈ Y .

More generally, the construction above works even when Y is uncount-

able, by replacing the sum with

sup c(x),

c∈B∩Y

where the supremum is made among the finite subsets Y of Y . The meas-

ures arising in the previous example are called atomic, and clearly if X is

either finite or countable then any measure μ in (X, P (X)) is atomic: it

suffices to notice that

μ= c(x)δx with c(x) := μ({x}).

x∈X

In the next section we will introduce a fundamental tool for the construc-

tion of non-atomic measures.

8 Luigi Ambrosio, Giuseppe Da Prato and Andrea Mennucci

a measure space (X, E , μ), we say that B ∈ E is μ–negligible if μ(B) =

0, and we say that a property P(x) holds μ–almost everywhere if the set

{x ∈ X : P(x) is false}

Notice that the class of μ–negligible sets is stable under finite or count-

able unions. It is sometimes convenient to know that any subset of a

μ–negligible set is still μ–negligible.

Definition 1.12 (μ–completion of aσ–algebra and μ–measurable sets).

Let (X, E , μ) be a measure space. We define

E with respect to μ. The elements of E μ are called μ–measurable sets.

It is also easy to check that μ can be extended to all A ∈ E μ simply

by setting μ(A) = μ(B), where B ∈ E is any set such that AB is

contained in a μ–negligible set of E . This extension is well defined (i.e.

independent of the choice of B), still σ –additive and μ–negligible sets

coincide with those sets that are contained in some B ∈ E with μ(B) =

0. As a consequence, any subset of a μ–negligible set is μ–negligible as

well.

The following result, due to Carathéodory, allows to extend a σ –additive

function on a ring A to a σ –additive function on σ (A ). It is one of the

basic tools in the construction of non-trivial measures in many cases of

interest, as we will see.

be the σ –algebra generated by A . Let μ : A → [0, +∞] be σ –additive.

Then μ can be extended to a measure on E . If μ is σ –finite, i.e. there

exist An ∈ A with An ↑ X and μ(An ) < ∞ for any n, then the extension

is unique.

the Dynkin theorem and for the existence the concepts of outer measure

and additive set.

9 Introduction to Measure Theory and Integration

A non-empty subset K of P (X) is called a π–system if

A, B ∈ K ⇒ A ∩ B ∈ K .

(i) X, ∅ ∈ D ;

(ii) A ∈ D ⇒ Ac ∈ D ;

(iii) (Ai ) ⊂ D mutually disjoint ⇒ i Ai ∈ D .

Dynkin system and a π–system then it is a σ –algebra. In fact, if (Ai ) is

a sequence in D of not necessarily disjoint sets we have

∞

Ai = A0 ∪ (A1 \ A0 ) ∪ ((A2 \ A1 ) \ A0 ) ∪ · · ·

i=0

and so i Ai ∈ D by (ii) and (iii).

Let us prove now the following important result.

Dynkin system. Then σ (K ) ⊂ D .

to show that D 0 is a σ –algebra which will prove the theorem. For this

it is enough to show, as remarked before, that the following implication

holds:

A, B ∈ D 0 ⇒ A ∩ B ∈ D 0 . (1.5)

For any B ∈ D 0 we set

H (B) = {F ∈ D 0 : B ∩ F ∈ D 0 }.

We claim that H (B) is a Dynkin system. In fact properties (i) and (iii)

are clear. It remains to show that if F ∩ B ∈ D 0 then F c ∩ B ∈ D 0 or,

equivalently, F ∪ B c ∈ D 0 . In fact, since F ∪ B c = (F \ B c ) ∪ B c =

(F ∩ B) ∪ B c and F ∩ B and B c are disjoint, we have that F ∪ B c ∈ D 0

as required.

Notice first that if K ∈ K we have K ⊂ H (K ) since K is a

π–system. Therefore H (K ) = D 0 , by the minimality of D 0 . Con-

sequently, the following implication holds

K ∈ K , B ∈ D 0 ⇒ K ∩ B ∈ D 0 ,

10 Luigi Ambrosio, Giuseppe Da Prato and Andrea Mennucci

which implies K ⊂ H (B) for all B ∈ D 0 . Again, the fact that H (B) is

a Dynkin system and the minimality of D 0 give that H (B) = D 0 for all

B ∈ D 0 . By the definition of H (B), this proves (1.5).

The uniqueness part in Caratheodory’s theorem is a direct consequence

of the following coincidence criterion for measures; in turn, the proof of

the criterion relies on Theorem 1.14.

Proposition 1.15 (Coincidence criterion). Let μ1 , μ2 be measures in

(X, E ) and assume that:

(i) the coincidence set

D := {A ∈ E : μ1 (A) = μ2 (A)}

contains a π–system K with σ (K ) = E ;

(ii) there exists a nondecreasing sequence (X i ) ⊂ K with μ1 (X i ) =

μ2 (X i ) < ∞ and X i ↑ X.

Then μ1 = μ2 .

Proof. We first assume that μ1 (X) = μ2 (X) is finite. Under this as-

sumption D is a Dynkin system including the π–system K (stability of

D under complement is ensured precisely by the finiteness assumption).

Thus, by the Dynkin theorem, D = E , which implies that μ1 = μ2 .

Assume now that we are in the general case and let X i be given by

assumption (ii). Fix i ∈ N and define the σ –algebra E i of subsets of X i

by

E i := {A ⊂ X i : A ∈ E } .

We may obviously consider μ1 and μ2 as finite measures in the measur-

able space (X i , E i ). Since these measures coincide on the π–system

K i := {A ⊂ X i : A ∈ K }

we obtain, by the previous step, that μ1 and μ2 coincide on σ (K i ) ⊂

P (X i ).

Now, let us prove the inclusion

{B ∈ E : B ⊂ X i } ⊂ σ (K i ). (1.6)

Indeed

B ⊂ X : B ∩ X i ∈ σ (K i )

is a σ –algebra containing K (here we use the fact that X i ∈ K ), and

therefore contains E . Hence any element of E contained in X i belongs to

σ (K i ).

By (1.6) we obtain μ1 (B ∩ X i ) = μ2 (B ∩ X i ) for all B ∈ E and all

i ∈ N. Passing to the limit as i → ∞, since B is arbitrary we obtain that

μ1 = μ2 .

11 Introduction to Measure Theory and Integration

Let μ be a set function defined on A ⊂ P (X). For any E ∈ P (X) we

define:

∞

∞

μ∗ (E) := inf μ(Ai ) : Ai ∈ A , E ⊂ Ai .

i=0 i=0

μ∗ is a nondecreasing set function, namely μ∗ (E) ≤ μ∗ (F) whenever

E ⊂ F ⊂ X.

We will obtain the proof of the existence part of Carathéodory’s the-

orem by showing in the proposition below that μ∗ extends μ if μ is σ –

subadditive, and that (Theorem 1.17) μ∗ is σ -additive on a σ -algebra

containing σ (A ) if μ is A is a ring and μ is additive on A . In particular

if μ is σ –additive on A we see that μ∗ provides the desired σ –additive

extension to σ (A ).

Proposition 1.16. The set function μ∗ is σ –subadditive on P (X) and

extends μ if μ is σ –subadditive on A and μ(∅) = 0.

Proof. Let (E i ) ⊂ P (X) and set E := i E i . Assume that i μ∗ (E i )

are finite (otherwise the assertion is trivial). Then, since μ∗ (E i ) is finite

for any i ∈ N, for any ε > 0 there exist Ai, j ∈ A such that

∞

ε

∞

∗

μ(Ai, j ) < μ (E i ) + , Ei ⊂ Ai, j , i ∈ N.

j=0

2i+1 j=0

Consequently

∞

∞

μ(Ai, j ) ≤ μ∗ (E i ) + ε.

i, j=0 i=0

∞

Since E ⊂ Ai, j we have

i, j=0

∞

∞

μ∗ (E) ≤ μ(Ai, j ) ≤ μ∗ (E i ) + ε

i, j=0 i=0

and the first part of the statement follows from the arbitrariness of ε.

Now, let us assume that μ is σ -subadditive on A and choose E ∈ A ;

since E ⊂ i Ai then μ(E) ≤ i μ(Ai ), so we deduce μ∗ (E) ≥ μ(E);

but, by choosing A0 = E and An = ∅ for n ≥ 1, we obtain that μ∗ (E) =

μ(E). This proves that μ∗ extends μ.

12 Luigi Ambrosio, Giuseppe Da Prato and Andrea Mennucci

A ∈ P (X) is called additive if

μ∗ (E) = μ∗ (E ∩ A) + μ∗ (E ∩ Ac ) for all E ∈ P (X). (1.7)

We denote by G the family of all additive sets.

Notice that, since μ∗ is subadditive, (1.7) is equivalent to

μ∗ (E) ≥ μ∗ (E ∩ A) + μ∗ (E ∩ Ac ) for all E ∈ P (X). (1.8)

Obviously, the class G of additive sets is stable under complement;

moreover, by taking E = A ∪ B with A ∈ G and A ∩ B = ∅, we

obtain the additivity property

μ∗ (A ∪ B) = μ∗ (A) + μ∗ (B). (1.9)

Other important properties of G are listed in the next proposition.

Theorem 1.17. Assume that A is a ring and that μ is additive. Then G

is a σ –algebra containing A and μ∗ is σ –additive on G .

Proof. We proceed in three steps: we show that G contains A , that G is a

σ –algebra and that μ∗ is additive on G . As pointed in Remark 1.5, if μ∗

is σ –subadditive and additive on the σ –algebra G , then μ∗ is σ –additive.

Step 1. A ⊂ G . Let A ∈ A and E ∈ P (X), we have to show (1.8).

Assume μ∗ (E) < ∞ (otherwise (1.8) trivially holds), fix ε > 0 and

choose (Bi ) ⊂ A such that

∞

∞

E⊂ Bi , μ∗ (E) + ε > μ(Bi ).

i=0 i=0

∞

∞

μ∗ (E) + ε > μ(Bi ) = [μ(Bi ∩ A) + μ(Bi ∩ Ac )]

i=0 i=0

≥ μ∗ (E ∩ A) + μ∗ (E ∩ Ac ).

Since ε is arbitrary we have μ∗ (E) ≥ μ∗ (E ∩ A) + μ∗ (E ∩ Ac ), and (1.8)

follows.

Step 2. G is an algebra and μ∗ is additive on G . We already know

that A ∈ G implies Ac ∈ G . Let us prove now that if A, B ∈ G then

A ∪ B ∈ G . For any E ∈ P (X) we have

μ∗ (E) = μ∗ (E ∩ A) + μ∗ (E ∩ Ac )

= μ∗ (E ∩ A) + μ∗ (E ∩ Ac ∩ B) + μ∗ (E ∩ Ac ∩ B c ) (1.10)

13 Introduction to Measure Theory and Integration

Since

(E ∩ A) ∪ (E ∩ Ac ∩ B) = E ∩ (A ∪ B),

we have by the subadditivity of μ∗ ,

μ∗ (E ∩ A) + μ∗ (E ∩ Ac ∩ B) ≥ μ∗ (E ∩ (A ∪ B)).

So, by (1.10) it follows that

μ∗ (E) ≥ μ∗ (E ∩ (A ∪ B)) + μ∗ (E ∩ (A ∪ B)c ),

and A ∪ B ∈ G as required. The additivity of μ∗ on G follows directly

from (1.9).

Step 3. G is a σ –algebra. Let (An ) ⊂ G . We are going to show that

S := n An ∈ G . Since we know that G is an algebra, it is not

restrictive

to assume that all sets An are mutually disjoint. Set Sn := n0 Ai , for

n ∈ N.

For any n ∈ N, by using the σ –subadditivity of μ∗ and by applying

(1.7) repeatedly, we get

∞

∗ ∗ ∗

μ (E ∩ S ) + μ (E ∩ S) ≤ μ (E ∩ S ) +

c c

μ∗ (E ∩ Ai )

i=0

n

= lim μ∗ (E ∩ S c ) + μ∗ (E ∩ Ai )

n→∞

i=0

= lim μ∗ (E ∩ S c ) + μ∗ (E ∩ Sn ) .

n→∞

μ∗ (E ∩ S c ) + μ∗ (E ∩ S) ≤ lim sup μ∗ (E ∩ Sn ) + μ∗ (E ∩ Snc )

n→∞

∗

= μ (E).

So, S ∈ G and G is a σ –algebra.

Remark 1.18. We have proved that

σ (A ) ⊂ G ⊂ P (X). (1.11)

One can show that the inclusions above are strict in general, for instance

when μ is the Lebesgue measure we shall consider in the next section.

In fact, in the case when X = R and σ (A ) is the Borel σ -algebra, Exer-

cise 1.19 shows that σ (A ) has the cardinality of continuum, while G has

the cardinality of P (R), since it contains all subsets of Cantor’s middle

third set (see Exercise 1.8). An example of a non-additive set will be built

in Remark 1.23, so that also the second inclusion in (1.11) is strict.

14 Luigi Ambrosio, Giuseppe Da Prato and Andrea Mennucci

In this section we build the Lebesgue measure on the real line R. To this

aim, we consider first the set I of all bounded right open intervals of R

I := {(a, b] : a, b ∈ R, a < b}

and the collection A containing ∅ and the finite unions of elements of

I . Our choice of half-open intervals ensures that A is a ring, because

I is stable under intersection and relative complement (the families of

open and closed intervals, instead, do not have this property).

We define

length((a, b]) := b − a.

More generally, any non-empty A ∈ A can be written, possibly in many

ways, as a disjoint finite union of intervals Ii , i = 1, . . . , N ; we define

N

λ(A) := length(Ii ). (1.12)

i=1

is well defined (i.e. λ(A) does not depend on the chosen decomposition)

and additive on A .

In the next definition we introduce the notion of characteristic function,

which can be used to turn set-theoretic operations into algebraic ones:

for instance the intersection corresponds to the product, when seen at the

level of characteristic functions (see also Exercise 1.1).

Definition 1.19 (Characteristic function of a set). Let A ⊂ X. The

characteristic function 1 A : X → {0, 1} is defined by

⎧

⎨1 if x ∈ A;

1 A (x) :=

⎩0 if x ∈ X \ A.

also notice that λ(A) is the Riemann integral of the characteristic function

1 A of A, and deduce the additivity property of λ directly by the additivity

properties of the Riemann integral. In the next theorem we shall rigor-

ously prove these facts, and more. We first state an auxiliary lemma, a

simple consequence of the Bolzano-Weierstrass compactness theorem on

the real line.

Lemma 1.20. Any bounded and closed interval J contained in the union

of a sequence {An }n∈N of open sets is contained in the union of finitely

many of them.

15 Introduction to Measure Theory and Integration

and assume by contradiction that there exist xn ∈ J \ An for all n; by the

Bolzano–Weierstrass theorem there exists a subsequence (xn(k) ) conver-

ging to some x ∈ J . If n̄ is such that x ∈ An̄ , for k large enough xn(k)

belongs to An̄ , because An̄ is open. But this is not possible, as soon as

n(k) ≥ n̄, because xn(k) ∈

/ An(k) and An(k) ⊃ An̄ .

. . . , Jm of A ∈ A , we say that J1 , . . . , Jm is finer than I1 , . . . , In if any

interval Ii is the disjoint union of some of the intervals J j . Obviously,

given any two partitions, there exists a third partition finer than both: it

suffices to take all intersections of elements of the first partition with ele-

ments of the second partition, neglecting the empty intersections. Given

these

remarks, to show that λ is well defined, it suffices to show that

i λ(I i ) = j λ(J j ) if J1 , . . . , Jm isfiner than I1 , . . . , In . This state-

ment reduces to the fact that λ(I ) = k λ(Fk ) if I ∈ I is the disjoint

union of some elements Fk ∈ I ; this last statement can be easily proved,

starting from the identity (a, b] = (a, c] ∪ (c, b], by induction on the

number of the intervals Fk .

(λ is additive) If F, G ∈ A and F ∩ G = ∅, any disjoint decompositions

of F in intervals I1 , . . . , In ∈ I and any disjoint decomposition of G in

intervals J1 , . . . , Jm ∈ I provide a decomposition I1 , . . . , In , J1 , . . . , Jm

of F ∪ G in intervals belonging to I . Using this decomposition to com-

pute λ(F ∪ G) the additivity easily follows.

(λ is σ –additive) Let (Fn ) ⊂ A be a sequence of disjoints sets in A and

assume that

∞

F := Fn (1.13)

n=0

also belongs to A .

We prove the additivity property first in the case when F = (x, y] ∈

I . It is also not restrictive to assume that the series n λ(Fn ) is con-

vergent. As any Fn is a finite union of intervals, say Nn , we can find,

given any ε > 0, a finite union Fn ⊃ Fn of intervals in I such that

λ(Fn ) ≤ λ(Fn ) + ε/2n and the internal part of Fn contains Fn (just shift

the endpoints of each interval in Fn by a small amount, to obtain a lar-

ger interval in I , increasing the length at most by ε/(Nn 2n )). Let also

Fn be the internal part

of Fn , that still includes Fn , and let x ∈ (x, y].

Then, since [x , y] ⊂ n Fn , Lemma 1.20 provides an integer k such

16 Luigi Ambrosio, Giuseppe Da Prato and Andrea Mennucci

k

that [x , y] ⊂ 0 Fn . Hence, the additivity of λ in A gives

k k

y − x ≤ λ Fn ≤ λ(Fn )

n=0 n=0

k

ε ∞

≤ λ(Fn ) + ≤ 2ε + λ(Fn ).

n=0

2n n=0

∞

0 λ(Fn ). The opposite inequality simply follows by the monotonicity

and the additivity of λ, because the finite unions of the sets Fn are con-

tained in F.

In the general case, let

k

F= Ii ,

i=1

we have that Ii is the disjoint union of Ii ∩ Fn , we know by the previous

step that

∞

λ(Ii ) = λ(Ii ∩ Fn ).

n=0

right hand side and eventually using the additivity of λ on A we obtain

k

∞

k

∞

λ(F) = λ(Ii ∩ F) = λ(Ii ∩ Fn ) = λ(Fn ).

i=1 n=0 i=1 n=0

h) = μ(A) for all A ∈ B (R) and h ∈ R (notice that, by Exercise 1.2,

the class of Borel sets is translation invariant as well). We say also that μ

is locally finite if μ(I ) < ∞ for all bounded intervals I ⊂ R.

to multiplication with constants, translation invariant and locally fi-

nite measure λ in (R, B (R)). The unique such measure λ satisfying

λ([0, 1]) = 1 is called Lebesgue measure.

let λ : A → [0, +∞) be the σ –additive set function defined in (1.12).

According to Theorem 1.21 λ admits a unique extension, that we still

denote by λ, to σ (A ) = B (R). Clearly λ is locally finite, and we can use

the uniqueness of the extension to prove translation invariance: indeed,

17 Introduction to Measure Theory and Integration

of λ|A . As a consequence λ(A) = λ(A + h) for all h ∈ R.

(Uniqueness) Let ν be a translation invariant and locally finite measure

in (R, B (R)) and set c := ν([0, 1]). Notice first that the set of atoms of

ν is at most countable (Exercise 1.5), and since R is uncountable there

exists at least one x such that ν({x}) = 0. By translation invariance this

holds for all x, i.e., ν has no atom.

Excluding the trivial case c = 0 (that gives ν ≡ 0 by translation in-

variance and σ –additivity), we are going to show that ν = cλ on the

class A of finite unions of intervals; by the uniqueness of the extension

in Carathéodory theorem this would imply that ν = cλ on B (R).

By finite additivity and translation invariance it suffices to show that

ν([0, t)) = ct for any t ≥ 0 (by the absence of atoms the same holds for

the intervals (0, t), (0, t], [0, t]). Notice first that, for any integer q ≥ 1,

[0, 1) is the union of q disjoint intervals all congruent to [0, 1/q); as a

consequence, additivity and translation invariance give

ν([0, 1)) c

ν [0, 1/q) = = .

q q

Similarly, for any integer p ≥ 1 the interval [0, p/q) is the union of p

disjoint intervals all congruent to [0, 1/q); again additivity and transla-

tion invariance give

p 1 p

ν([0, )) = pν [0, ) = c .

q q q

By approximation we eventually obtain that ν([0, t)) = ct for all

t ≥ 0.

The completion of the Borel σ –algebra with respect to λ is the so-

called σ -algebra of Lebesgue measurable sets. It coincides with the

class C of additive sets with respect to λ∗ considered in the proof of

Carathéodory theorem (see Exercise 1.12).

Remark 1.23 (Outer Lebesgue measure and non-measurable sets).

The measure λ∗ used in the proof of Carathéodory’s theorem is also called

outer Lebesgue measure, and it is defined on all parts of R. The termin-

ology is slightly misleading here, since λ∗ , though σ –subadditive, fails

to be σ –additive. In particular, there exist subsets of R that are not Le-

besgue measurable. To see this, let us consider the equivalence relation

in R defined by x ∼ y if x − y ∈ Q and let us pick a single element

x ∈ [0, 1] in any equivalence class induced by this relation, thus forming

a set A ⊂ [0, 1]. Were this set Lebesgue measurable, all the sets A + h

18 Luigi Ambrosio, Giuseppe Da Prato and Andrea Mennucci

sets {A + h}h∈Q would be a countable and measurable partition of R,

with λ∗ (A + h) = c independent of h ∈ Q. Now, if c = 0 we reach a

contradiction with the fact that λ∗ (R) = ∞, while if c > 0 we consider

all sets A + h with h ∈ Q ∩ [0, 1] to obtain

2 = λ∗ ([0, 2]) ≥ λ∗ (A + h) = ∞,

h∈Q∩[0,1]

Notice that this example is not constructive and strongly requires the

axiom of choice (also the arguments based on cardinality, see Exercise

1.19 and Exercise 1.20, have this limitation). On the other hand, one

can give constructive examples of Lebesgue measurable sets that are not

Borel (see for instance 2.2.11 in [3]).

The construction done in the previous remark rules out the existence of

locally finite and translation invariant σ –additive measures defined on all

parts of R. In Rn , with n ≥ 3, the famous Banach–Tarski paradox (see

for instance [6]) shows that it is also impossible to have a locally finite,

invariant under rigid motions and finitely additive measure defined on all

parts of Rn .

Let (E, d) be a metric space and let μ be a finite measure on (E, B (E)).

We shall prove a regularity property of μ.

Proposition 1.24. For any B ∈ B (E) we have

(1.14)

Proof. Let us set

open sets of E. Obviously K contains E and ∅. Moreover, if B ∈ K

then its complement

B c belongs to K. Let us prove now that (Bn ) ⊂ K

implies n Bn ∈ K . Fix ε > 0. We are going to show that there exist a

closed set C and an open set A such that

∞

C⊂ Bn ⊂ A, μ(A \ C) ≤ 2ε. (1.15)

n=0

19 Introduction to Measure Theory and Integration

such that Cn ⊂ Bn ⊂ An and

ε

μ(An \ Cn ) ≤ .

2n+1

Setting A := n An , S := n Cn we have S ⊂ n Bn ⊂ A and μ(A \

S) ≤ ε. However, A is open but S is not necessarily closed. So, we

approximate S by setting Sn := n0 Ck . The set Sn is obviously closed,

Sn ↑ S and consequently μ(Sn ) ↑ μ(S). Therefore there exists nε ∈ N

such that μ(S \ Snε ) < ε. Now, setting C = Sn ε we have C

⊂ n Bn ⊂ A

and μ(A \ C) < μ(A \ S) + μ(S \ C) < 2ε. Therefore n Bn ∈ K . We

have proved that K is a σ –algebra. It remains to show that K contains

the open subsets of E. In fact, let A be open and set

1

Cn = x ∈ E : d(x, A ) ≥ c

,

n

where d(x, Ac ) := inf y∈Ac d(x, y) is the distance function from Ac . Then

Cn are closed subsets of A, and moreover Cn ↑ A, which implies μ(A \

Cn ) ↓ 0. Thus the conclusion follows.

Notice that inner and outer approximation hold for μ–measurable sets

B as well: one has just to notice that there exist Borel sets B1 , B2 such

that B1 ⊂ B ⊂ B2 with μ(B2 \ B1 ) = 0, and apply inner approximation

to B1 and outer approximation to B2 .

Remark 1.25 (Inner and outer approximation for σ-finite measures).

It is possible to extend the inner approximation property to σ -finite meas-

ures: suffices to assume the existence of a sequence of closed sets Cn with

finite measure such that μ(X \∪n Cn ) = 0. Indeed, assuming with no loss

of generality that Cn ⊂ Cn+1 , we know that for any Borel set B and any

n ∈ N it holds

so that

μ(B ∩ Cn ) ≤ sup {μ(C) : C closed, C ⊂ B} .

Letting n ↑ ∞ we recover the inner approximation property.

Analogously, if we assume the existence of a sequence of open sets An

with finite measure satisfying X = ∪n An , we have the outer approxim-

ation property: indeed, for any n and any > 0 we can find (assuming

with no loss of generality μ(B) < +∞) open sets Bn ⊂ An containing

20 Luigi Ambrosio, Giuseppe Da Prato and Andrea Mennucci

B ∩ An and such that μ Bn \ (B ∩ An ) < 2−n . It follows that ∪n Bn

contains B and

μ Bn \ B < 2 .

n∈N

Since Bn are also open in X, the set ∪n Bn is open and since is arbitrary

we get the outer approximation property.

We conclude this chapter with the following result, whose proof is a

straightforward consequence of Proposition 1.24 (alternatively, one can

use Dynkin’s argument, since the class of closed sets is a π-system and

generates the Borel σ -algebra).

Corollary 1.26. Let μ, ν be finite measures in (E, B (E)), such that

μ(C) = ν(C) for any closed subset C of E. Then μ = ν.

Exercises

1.1 Given A ⊂ X, denote by 1 A : X → {0, 1} its characteristic function, equal

to 1 on A and equal to 0 on Ac . Show that

and that

lim sup An = A ⇐⇒ lim sup 1 An = 1 A ,

n→∞ n→∞

lim inf An = A ⇐⇒ lim inf 1 An = 1 A .

n→∞ n→∞

1.2 Let A ⊂ Rn be a Borel set. Show that for h ∈ Rn and t ∈ R the sets

A + h := {a + h : a ∈ A} , t A := {ta : a ∈ A}

1.3 Find an example of a σ –additive measure μ on a σ –algebra A such that

there exist An ∈ A with An ↓ A and infn μ(An ) > μ(A).

1.4 Let μ be additive and finite, on an algebra A . Show that μ is σ –additive if

and only if it is continuous along nonincreasing sequences.

1.5 Let μ be a finite measure on (X, E ). Show that the set of atoms of μ, defined

by

Aμ := {x ∈ X : {x} ∈ E and μ({x}) > 0}

is at most countable. Show that the same is true for σ –finite measures, and

provide an example of a measure space for which this property fails.

1.6 Let (X, E , μ) be a measure space, with μ finite. We say that μ is diffuse if

for all A ∈ E with μ(A) > 0 there exists B ⊂ A with 0 < μ(B) < μ(A). Show

that, if μ is diffuse, then μ(E ) = [0, μ(X)].

1.7 Show that if X is a separable metric space and E is the Borel σ –algebra,

then a σ –additive measure μ : E → [0, +∞) is diffuse if and only if μ has no

atom.

21 Introduction to Measure Theory and Integration

1.8 Let λ be the Lebesgue measure in [0, 1]. Show the existence of a λ–negli-

gible set having the cardinality of the continuum. Hint: consider the classical

Cantor’s middle third set, obtained by removing the interval (1/3, 2/3) from

[0, 1], then by removing the intervals (1/9, 2/9) and (7/9, 8/9), and so on.

1.9 Let λ be the Lebesgue measure in [0, 1]. Show the existence, for any ε > 0,

of a closed set C ⊂ [0, 1] containing no interval and such that λ(C) > 1 − ε.

Hint: remove from [0, 1] a sequence of open intervals, centered on the rational

points of [0, 1].

1.10 Using the previous exercise, write [0, 1] = A ∪ B where A is negligible

in the measure-theoretic sense (i.e. λ(A) = 0) and B is negligible in the Baire

category sense (i.e. it is the union of countably many closed sets with empty

interior). So, the two concepts of negligible should be never used at the same

time.

1.11

Let λ be the Lebesgue measure in [0, 1]. Construct a Borel set E ⊂ (0, 1)

such that

0 < λ(E ∩ I ) < λ(I )

for any open interval I ⊂ (0, 1).

1.12 Let (X, E , μ) be a measure space and let μ∗ : P (X) → [0, +∞] be

the outer measure induced by μ. Show that the completed σ –algebra E μ is

contained in the class C of additive sets with respect to μ∗ .

1.13 Let (X, E , μ) be a measure space and let μ∗ : P (X) → [0, +∞] be the

outer measure induced by μ. Show that for all A ⊂ X there exists B ∈ E

containing A with μ(B) = μ∗ (A).

1.14 Let (X, E , μ) be a measure space. Check the following statements, made

in Definition 1.12:

(i) E μ is a σ –algebra;

(ii) the extension μ(A) := μ(B), where B ∈ E is any set such that AB is

contained in a μ–negligible set of E , is well defined and σ –additive on

E μ;

(iii) μ–negligible sets of E μ are characterized by the property of being coin-

tained in a μ–negligible set of E .

1.15

Let (X, E , μ) be a measure space and let μ∗ : P (X) → [0, +∞] be

the outer measure induced by μ. Show that if μ(X) is finite, the class C of

additive sets with respect to μ∗ coincides with the class of E μ –measurable sets.

Hint: one inclusion is provided by Exercise 1.12. For the other one, given an

additive set A, by applying Exercise 1.13 twice, find first a set B ∈ E with

μ∗ (B \ A) = 0, and then a set C ∈ E with μ(C) = 0 and B \ A ⊂ C.

1.16 Find a σ –algebra E ⊂ P (N) containing infinitely many sets and such that

any B ∈ E different from ∅ has an infinite cardinality.

1.17 Find μ : P(N) → {0, +∞} that is additive, but not σ –additive.

1.18

Let ω be the first uncountable ordinal and, for K ⊂ P (X), define by

transfinite induction a family F (i) , i ∈ ω, as follows: F (0) := K ∪ {∅},

∞

(i) c ( j) ( j)

F := Ak , B : (Ak ) ⊂ F , B ∈ F ,

k=0

22 Luigi Ambrosio, Giuseppe Da Prato and Andrea Mennucci

if i is the successor of j, and F (i) := j∈i F ( j) otherwise.

Show that i∈ω F (i) = σ (K ).

1.19

Show that B (R) has the cardinality of the continuum. Hint: use the con-

struction of the previous exercise, and the fact that ω has at most the cardinality

of continuum.

1.20

Show that the σ –algebra L of Lebesgue measurable sets has the same

cardinality of P(R), thus strictly greater than the continuum. Hint: consider all

subsets of Cantor’s middle third set.

1.21

Show that the cardinality of any σ –algebra is either finite or uncount-

able.

1.22 Let X be a set and let A ⊂ P (X) be an algebra with finite cardinality.

Show that its cardinality is equal to 2n for some integer n ≥ 1.

1.23

Let (X, E , μ) be a a measure space and suppose that X is finite or count-

able. Show the existence of a measure μ̃ on P (X) that extends μ, that is,

μ(A) = μ̃(A) for all A ∈ E .

1.24

Find an example of an additive set function μ : P (N) → {0, 1}, with

μ(N) = 1 and μ({n}) = 0 for all n ∈ N (in particular μ is not σ –additive, the

construction of this example requires Zorn’s lemma).

1.25

Let C ∈ B ([0, 1]) with λ(C) > 0. Without using the continuum hypo-

thesis, show that C has the cardinality of continuum.

1.26

Let (K , d) be a compact metric space and let μ be as in Exercise 1.24.

Let’s say that a sequence (xn ) ⊂ K μ-converges to x ∈ K if

μ {n ∈ N : d(xn , x) > ε} = 0 ∀ε > 0.

Show that any sequence (xn ) ⊂ K is μ-convergent and that the μ-limit is

unique.

Chapter 2

Integration

able functions in general measure spaces (, E , μ), and its main con-

tinuity and lower semicontinuity properties. Having built in the previous

chapter the Lebesgue measure in the real line R, we obtain as a byproduct

the Lebesgue integral on R; in the last section we compare Lebesgue and

Riemann integral.

In the construction of the integral we prefer to empahsize two view-

points: the first, more traditional one

f dμ = zμ({ f = z})

X z∈Im( f )

finite) and useful to show the additivity of the integral with respect to f .

The second one, for nonnegative functions is summarized by the formula

∞

f dμ = μ({ f > t}) dt.

X 0

erties of the integral with respect to f (the integral on the right side can

be elementarily defined, since t → μ({ f > t}) is nonincreasing, see

Section 2.4.3). Of course we show that the two viewpoints are consistent

if we restrict ourselves to the class of simple functions.

Let X be a non empty set. For any function ϕ : X → Y and any I ∈

P (Y ) we set

ϕ −1 (I ) := {x ∈ X : ϕ(x) ∈ I } = {ϕ ∈ I }.

© Scuola Normale Superiore Pisa 2011

24 Luigi Ambrosio, Giuseppe Da Prato and Andrea Mennucci

Let us recall some elementary properties of ϕ −1 (the easy proofs are left

to the reader as an exercise):

(i) ϕ −1 (I c ) = (ϕ −1 (I ))c for all I ∈ P (Y );

(ii) if {Ji }i∈I ⊂ P (Y ) we have

ϕ −1 (Ji ) = ϕ −1 Ji , ϕ −1 (Ji ) = ϕ −1 Ji .

i∈I i∈I i∈I i∈I

E ⊂ P (Y ) and we consider the family ϕ −1 (E ) of subset of X defined

by

ϕ −1 (E ) := ϕ −1 (I ) : I ∈ E , (2.1)

we have that ϕ −1 (E ) is a σ –algebra whenever E is a σ –algebra.

We are given measurable spaces (X, E ) and (Y, F ). We say that a func-

tion ϕ : X → Y is (E , F )–measurable if ϕ −1 (F ) ⊂ E . If (Y, F ) =

(R, B (R)), we say that ϕ is a real valued E –measurable function, and if

(X, d) is a metric space and E is the Borel σ –algebra, we say that ϕ is a

real valued Borel function.

The following simple but useful proposition shows that the measurab-

ility condition needs to be checked only on a class of generators.

Proposition 2.1 (Measurability criterion). Let G ⊂ F be such that

σ (G ) = F . Then ϕ : X → Y is (E , F )–measurable if and only if

ϕ −1 (I ) ∈ E for all I ∈ G (equivalently, iff ϕ −1 (G ) ⊂ E ).

Proof. Consider the family D := {I ∈ F : ϕ −1 (I ) ∈ E }. By the

above-mentioned properties of ϕ −1 as an operator between P (Y ) and

P (X), it follows that D is a σ –algebra including G . So, it coincides

with σ (G ) = F .

A simple consequence of the previous proposition is the fact that any

continuous function is a Borel function: more precisely, assume that ϕ :

X → Y is continuous and that E = B (X) and F = B (Y ). Then, the

σ –algebra

A ⊂ Y : ϕ −1 (A) ∈ B (X)

contains the open subsets of Y (as, by the continuity of ϕ, ϕ −1 (A) is

open in X, and in particular Borel, whenever A is open in Y ), and then it

contains the generated σ –algebra, i.e. B (Y ).

The following proposition, whose proof is straightforward, shows that

the class of measurable functions is stable under composition.

25 Introduction to Measure Theory and Integration

let ϕ : X → Y and ψ : Y → Z be respectively (E , F )–measurable and

(F , G )–measurable. Then ψ ◦ ϕ is (E , G )–measurable.

It is often convenient to consider functions with values in the extended

space R := R ∪ {+∞, −∞}, the so-called extended functions. We say

that a mapping ϕ : X → R is E –measurable if

ϕ −1 ({−∞}), ϕ −1 ({+∞}) ∈ E and ϕ −1 (I ) ∈ E , ∀I ∈ B (R).

(2.2)

This condition can also be interpreted in terms of measurability between

E and a suitable Borel σ –algebra in R, see Exercise 2.3. Analogously,

when (X, d) is a metric space and E is the Borel σ –algebra, we say that

ϕ : X → R is Borel whenever the conditions above hold.

The following proposition shows that extended E –measurable func-

tions are stable under pointwise limits and countable supremum and in-

fimum.

Proposition 2.3. Let (ϕn ) be a sequence of extended E–measurable func-

tions. Then the following functions are E–measurable:

sup ϕn (x), inf ϕn (x), lim sup ϕn (x), lim inf ϕn (x).

n∈N n∈N n→∞ n→∞

Proof. Let us prove that ϕ(x) := supn ϕn (x) is E –measurable (all other

cases can be deduced from this one, or directly proved by similar argu-

ments). For any a ∈ R we have

∞

−1

ϕ ([−∞, a]) = ϕn−1 ([−∞, a]) ∈ E .

n=0

by letting a ↑ ∞ we get ϕ −1 (R) ∈ E . As a consequence, the class

I ∈ B (R) : ϕ −1 (I ) ∈ E

is a σ –algebra containing the intervals of the form (−∞, a] with a ∈ R,

and therefore coincides with B (R). Eventually, {ϕ = +∞} = X \

[ϕ −1 (R) ∪ {ϕ = −∞}] belongs to E as well.

Let (X, E ) be a measurable space. A function ϕ : X → R is said to be

simple if its range ϕ(X) is a finite set. The class of simple functions is

obviously a real vector space, as the range of ϕ + ψ is contained in

{a + b : a ∈ range(ϕ), b ∈ range(ψ)} .

26 Luigi Ambrosio, Giuseppe Da Prato and Andrea Mennucci

i = 1, . . . , n we can canonically represent ϕ as

n

ϕ(x) = ak 1 A k , x ∈ X. (2.3)

k=1

disjoint and their union is equal to X). However, a simple function ϕ has

many representations of the form

N

ϕ(x) = ak 1 Ak , x ∈ X,

k=1

where A1 , . . . , AN need not be mutually disjoint and ak need not be in

the range of ϕ. For instance

It is easy to check that a simple function is E –measurable if, and only if,

all level sets Ak in (2.3) are E –measurable; in this case we shall also say

that {Ak } is a finite E –measurable partition of X.

Now we show that any nonnegative E –measurable function can be ap-

proximated by simple functions; a variant of this result, with a different

construction, is proposed in Exercise 2.8.

Proposition 2.4. Let ϕ be a nonnegative extended E –measurable func-

tion. For any n ∈ N∗ , define

⎧

⎪ i −1 i −1 i

⎨ n if n

≤ ϕ(x) < n , i = 1, 2, . . . , n2n ;

ϕn (x) = 2 2 2 (2.4)

⎪

⎩

n if ϕ(x) ≥ n.

Then ϕn are simple and E –measurable, (ϕn ) is nondecreasing and con-

vergent to ϕ. If in addition ϕ is bounded the convergence is uniform.

Proof. It is not difficult to check that (ϕn ) is nondecreasing. Moreover,

we have

1

0 ≤ ϕ(x) − ϕn (x) ≤ if ϕ(x) < n, x ∈ X,

2n

and

0 ≤ ϕ(x) − ϕn (x) = ϕ(x) − n if ϕ(x) ≥ n, x ∈ X.

So, the conclusion easily follows.

27 Introduction to Measure Theory and Integration

We are given a measure space (X, E , μ). We start to define the integral

for simple nonnegative functions.

Let ϕ be a nonnegative simple E –measurable function, and let us repres-

ent it as

N

ϕ(x) = ak 1 Ak , x ∈ X,

k=1

with N ∈ N, a1 , . . . , a N ≥ 0 and A1 , . . . , A N in E . Then we define

(using the standard convention in the theory of integration that 0·∞ = 0),

N

ϕ dμ := ak μ(Ak ).

X k=1

It is easy to see that the definition does not depend on the choice of the

formula for ϕ. Indeed, let {b1 , . . . , b M } be the range of ϕ

representation

and let ϕ = 1M b j 1 B j , with B j := ϕ −1 (b j ), be the canonical representa-

tion of ϕ. We have to prove that

N

M

ak μ(Ak ) = b j μ(B j ). (2.5)

k=1 j=1

N

ak μ(Ak ∩ B j ) = b j μ(B j ) j = 1, . . . , M. (2.6)

k=1

In order to show (2.6) we fix j and consider, for I ⊂ {1, . . . , N }, the sets

A I := x ∈ B j : x ∈ Ai iff i ∈ I ,

so that {A I } are a E –measurable partition of B j and x ∈ A I iff the set

of i’s for which x ∈ Ai coincides with I . Then, using first the fact that

A I ⊂ Ai if i ∈ I , and Ai ∩ A I = ∅ otherwise,

N and then the fact that

ak = b j whenever A I = ∅ (because 1 ak 1 Ak coincides with b j , the

k∈I

constant value of ϕ on B j ), we have

N

N

N

ak μ(Ak ∩ B j ) = ak μ(Ak ∩ A I ) = ak μ(Ak ∩ A I )

k=1 k=1 I I k=1

= ak μ(A I ) = b j μ(A I ) = b j μ(B j ).

I k∈I I

28 Luigi Ambrosio, Giuseppe Da Prato and Andrea Mennucci

tions on X and let α, β ≥ 0. Then αϕ + βψ is simple, E –measurable

and we have

(αϕ + βψ) dμ = α ϕ dμ + β ψ dμ

X X X

Proof. Let

n

m

ϕ= ak 1 A k , ψ= bh 1 Bh

k=1 h=1

finite E –measurable partition of X and αϕ + βψ is constant (and equal

to αak + βbh ) on any element Ak ∩ Bh of the partition. Therefore the

level sets of αϕ + βψ are finite unions of elements of this partition and

the E –measurability of αϕ + βψ follows (see also Exercise 2.2). Then,

writing

n

m

n

m

ϕ(x) = ak 1 Ak ∩Bh (x), ψ(x) = bh 1 Ak ∩Bh (x), x ∈ X,

k=1 h=1 k=1 h=1

Let ϕ : X → R be E –measurable. The repartition function F of ϕ, relat-

ive to μ, is defined by

lim F(t) = lim F(n) = lim μ({ϕ > −n}) = μ({ϕ > −∞}),

t→−∞ n→−∞ n→∞

and, if μ is finite,

lim F(t) = lim F(n) = lim μ({ϕ > n}) = μ({ϕ = +∞}),

t→+∞ n→∞ n→∞

since

∞

∞

{ϕ > −∞} = {ϕ > −n}, {ϕ = +∞} = {ϕ > n}.

n=1 n=1

29 Introduction to Measure Theory and Integration

partition function.

(i) For any t0 ∈ R we have lim+ F(t) = F(t0 ), that is, F is right con-

t→t0

tinuous.

(ii) If μ is finite, for any t0 ∈ R we have lim− F(t) = μ({ϕ ≥ t0 )}, that

t→t0

(1)

is, F has left limits .

Proof. Let us prove (i). We have

1 1

lim F(t) = lim F t0 + = lim μ ϕ > t0 +

t→t0+ n→+∞ n n→+∞ n

= μ({ϕ > t0 }) = F(t0 ),

since

∞

1 1

{ϕ > t0 } = ϕ > t0 + = lim ϕ > t0 + .

n=1

n n→∞ n

1

lim F(t) = lim F t0 −

t→t0− n→+∞ n

1

= lim μ ϕ > t0 − = μ({ϕ ≥ t0 }),

n→+∞ n

since

∞

1 1

{ϕ ≥ t0 } = ϕ > t0 − = lim ϕ > t0 −

n=1

n n→∞ n

From Proposition 2.6 it follows that, in the case when μ is finite, F is

continuous at t0 iff μ({ϕ = t0 }) = 0.

Now we want to extend the integral operator to nonnegative E –mea-

surable functions. Let ϕ be a nonnegative, simple and E –measurable

function and let

n

ϕ(x) = ak 1 Ak , x ∈ X,

k=0

30 Luigi Ambrosio, Giuseppe Da Prato and Andrea Mennucci

function F of ϕ is given by

⎧

⎪

⎪ μ(A1 ) + μ(A2 ) + · · · + μ(An ) = F(0) if 0 ≤ t < a1

⎪

⎪

⎨ μ(A2 ) + μ(A3 ) + · · · + μ(An ) = F(a1 ) if a1 ≤ t < a2

F(t) = . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

⎪

⎪ μ(An ) = F(an−1 ) if an−1 ≤ t < an

⎪

⎪

⎩ 0 = F(a ) if t ≥ an .

n

n

n

ϕ(x) dμ(x) = ak μ(Ak ) = ak (F(ak−1 ) − F(ak ))

X k=1 k=1

n n

= ak F(ak−1 ) − ak F(ak )

k=1 k=1

(2.7)

n−1

n−1

= ak+1 F(ak ) − ak F(ak )

k=0 k=0

n−1 ∞

= (ak+1 − ak )F(ak ) = F(t) dt.

k=0 0

A1 = [1, 2] ∪ [10, 11], A2 = [2, 3], A3 = [3, 4],

A4 = [4, 6], A5 = [7, 10],

a1 = 5, a2 =, a3 = 10, a4 = 7, a5 = 2

5

and ϕ := k=1 ak 1 Ak to be the simple function shown in Figure 2.1. It is

easy to verify that F has the graph shown in the right picture in Figure 2.1.

ϕ F

10

9

8

7

6

5

4

3

2

1

1 1 2 3 4 5 6 7 8 9 10

31 Introduction to Measure Theory and Integration

The color scheme used for the areas below the two graphs in 2.1 proves

graphically that the areas are identical.

Now, we want to define the integral of any nonnegative extended E –

measurable function by generalizing formula (2.7). For this, we need

first to define the integral of any nonnegative nonincreasing function in

(0, +∞).

We generalize here the (inner) Riemann integral to any nonincreasing

function f : [0, +∞) → [0, +∞]. The strategy is to consider the su-

premum of the areas of piecewise constant minorants of f .

Let be the set of all finite decompositions σ = {t1 , . . . , t N } of

[0, +∞], where N ∈ N∗ and 0 = t0 ≤ t1 < · · · < t N < +∞.

Let now f : [0, +∞) → [0, +∞] be a nonincreasing function. For

any σ = {t0 , t1 , . . . , t N } ∈ we consider the partial sum

N −1

I f (σ ) := f (tk+1 )(tk+1 − tk ). (2.8)

k=0

We define ∞

f (t) dt := sup{I f (σ ) : σ ∈ }. (2.9)

0

∞

The integral 0 f (t) dt is called the archimedean integral of f . It enjoys

the usual properties of the Riemann integral (see Exercise 2.5) but, among

these, we will need only the monotonicity with respect to f in the sequel.

For our purposes the most relevant property of the Archimedean integral

is instead the continuity under monotonically nondecreasing sequences.

Proposition 2.8. Let f n ↑ f , with f n : [0, +∞) → [0, +∞] nonin-

creasing. Then ∞ ∞

f n (t) dt ↑ f (t) dt.

0 0

∞ ∞

f n (t) dt ≤ f (t) dt.

0 0

∞

To prove the converse inequality, fix L < 0 f (t) dt. Then there exists

σ = {t1 , . . . , t N } ∈ such that

N −1

f (tk )(tk+1 − tk ) > L .

k=0

32 Luigi Ambrosio, Giuseppe Da Prato and Andrea Mennucci

∞

N −1

f n (t) dt ≥ f n (tk+1 )(tk+1 − tk ) > L ,

0 k=0

∞

sup f n (t) dt ≥ L .

n∈N 0

This implies

∞ ∞

sup f n (t) dt ≥ f (t) dt

n∈N 0 0

We are given a measure space (X, E , μ) and an extended nonnegative

E –measurable function ϕ. Having the identity (2.7) in mind, we define

∞

ϕ dμ : = μ({ϕ > t}) dt. (2.10)

X 0

Notice that the function t → μ({ϕ > t}) ∈ [0, +∞] is nonnegative and

nonincreasing in [0, +∞), so that its archimedean integral is well defined

and (2.10) extends, by the remarks made at the end of Section 2.4.2, the

integral elementarily defined on simple functions. If the integral is finite

we say that ϕ is μ–integrable.

It follows directly from the analogous properties of the archimedean

integral that the integral so defined is monotone, i.e.

ϕ ≥ ψ ⇒ ϕ dμ ≥ ψ dμ.

X X

Indeed, ϕ ≥ ψ implies {ϕ > t} ⊃ {ψ > t} and μ({ϕ > t}) ≥ μ({ψ >

t}) for all t > 0. Furthermore, the integral is invariant under modifica-

tions of ϕ in μ–negligible sets, that is

ϕ = ψ μ–a.e. in X ⇒ ϕ dμ = ψ dμ.

X X

the sets {ϕ > t} and {ψ > t} differ in a μ–negligible set for all t > 0,

therefore μ({ϕ > t}) = μ({ψ > t}) for all t > 0.

Let us prove the following basic Markov inequality.

33 Introduction to Measure Theory and Integration

1

μ({ϕ ≥ a}) ≤ ϕ(x) dμ(x). (2.11)

a X

Proof. For any a ∈ (0, +∞) we have, recalling the inclusion {ϕ ≥ a} ⊂

{ϕ > t} for any t ∈ (0, a), that μ({ϕ > t}) ≥ μ({ϕ ≥ a}) for all

t ∈ (0, a). The monotonicity of the archimedean integral gives

∞ ∞

ϕ(x) dμ(x) = μ({ϕ > t}) dt ≥ 1(0,a) (t)μ({ϕ > t}) dt

X 0 0

≥ aμ({ϕ ≥ a}).

Proposition 2.10. Let ϕ : X → [0, +∞] be an extended E –measurable

function.

is, ϕ is finite μ–a.e. in X.

(ii) The integral of ϕ vanishes iff ϕ is equal to 0 μ–a.e. in X.

Proof. (i) Since X ϕ dμ < ∞ we deduce from (2.11) that

a→+∞

Since

∞

{ϕ = ∞} = {ϕ > n},

n=1

by applying the continuity along decreasing sequences in the space ({ϕ >

1} (with finite μ measure) we obtain

n→+∞

(ii) If X ϕ dμ = 0 we deduce from (2.11) that μ({ϕ > a}) = 0 for all

a > 0. Since

1

μ({ϕ > 0}) = lim μ({ϕ > }) = 0,

n→+∞ n

the conclusion follows. The other implication follows by the invariance

of the integral.

34 Luigi Ambrosio, Giuseppe Da Prato and Andrea Mennucci

ing sequence of extended nonnegative E –measurable functions and set

ϕ(x) := lim ϕn (x) for any x ∈ X. Then

n→∞

∞ ∞

ϕn (x) dμ(x) ↑ ϕ(x) dμ(x).

0 0

Proof. It suffices to notice that μ({ϕn > t}) ↑ μ({ϕ > t}) for all t > 0,

and then to apply Proposition 2.8.

Now, by Proposition 2.4 we obtain the following important approxim-

ation property.

Proposition 2.12. Let ϕ : X → [0, +∞] be an extended E –measurable

function. Then there exist simple E –measurable functions ϕn : X →

[0, +∞) such that ϕn ↑ ϕ, so that

∞ ∞

ϕn (x) dμ(x) ↑ ϕ(x) dμ(x).

0 0

Remark 2.13 (Construction of Lebesgue and Riemann integrals).

Proposition 2.12 could be used as an alternative, and equivalent, defini-

tion of the Lebesgue integral: we can just define it as the supremum of the

integral of minorant simple functions. This alternative definition is closer

to the definitions of Archimedean integrals and of inner Riemann integ-

ral: the only (fundamental) difference is due to the choice of the family of

“simple” functions. In all cases simple functions take finitely many val-

ues, but within the Lebesgue theory their level sets belong to a σ –algebra,

and so the family of simple function is much richer, in comparison with

the other theories.

We can now prove the additivity property of the integral.

Proposition 2.14. Let ϕ, ψ : X → [0, ∞] be E –measurable functions.

Then

(ϕ + ψ) dμ = ϕ dμ + ψ dμ.

X X X

Proof. Let ϕn , ψn be simple functions with ϕn ↑ ϕ and ψn ↑ ψ. Then,

the additivity of the integral on simple functions gives

(ϕn + ψn ) dμ = ϕn dμ + ψn dμ.

X X X

We conclude passing to the limit as n → ∞ and using the monotone

convergence theorem.

The following Fatou’s lemma, providing a semicontinuity property of

the integral, is of basic importance.

35 Introduction to Measure Theory and Integration

able functions. Then we have

lim inf ϕn (x) dμ(x) ≤ lim inf ϕn (x) dμ(x). (2.12)

X n→∞ n→∞ X

Proof. Setting ϕ(x) := lim infn ϕn (x), and ψn (x) = infm≥n ϕm (x), we

have that ψn (x) ↑ ϕ(x). Consequently, by the monotone convergence

theorem,

ϕ(x) dμ(x) = lim ψn (x) dμ(x).

X n→∞ X

On the other hand

ψn (x) dμ(x) ≤ ϕn (x) dμ(x),

X X

so that

ϕ(x) dμ(x) ≤ lim inf ϕn (x) dμ(x).

X n→∞ X

ϕ(x) dμ(x) ≤ lim inf ϕn (x) dμ(x).

X n→∞ X

Let ϕ : X → R be an extended E –measurable function. We say that ϕ

is μ–integrable if both the positive part ϕ + (x) := max{ϕ(x), 0} and the

negative part ϕ − (x) := max{−ϕ(x), 0} of ϕ are μ–integrable in X. As

ϕ = ϕ + − ϕ − , in this case it is natural to define

ϕ(x) dμ(x) := ϕ + (x) dμ(x) − ϕ − (x) dμ(x).

X X X

ϕ is μ–integrable if and only if |ϕ| dμ < ∞.

X

also

ϕ(x) dμ(x) := 1 A (x)ϕ(x) dμ(x).

A X

In the following proposition we summarize the main properties of the

integral.

36 Luigi Ambrosio, Giuseppe Da Prato and Andrea Mennucci

(i) For any α, β ∈ R we have that αϕ + βψ is μ–integrable and

(αϕ + βψ) dμ = α ϕ dμ + β ψ dμ.

X X X

(ii) If ϕ ≤ ψ in X we have ϕ dμ ≤ ψ dμ.

! ! X X

! !

(iii) ! ϕ dμ!! ≤

! |ϕ| dμ.

X X

+ − − +

(i). Since (−ϕ) = ϕ and (−ϕ) = ϕ , we have X −ϕ dμ =

Proof.

− X ϕ dμ. So, possibly replacing ϕ by −ϕ and ψ by −ψ we can assume

that α ≥ 0 and β ≥ 0. We have

(αϕ + βψ)+ + αϕ − + βψ − = (αϕ + βψ)− + αϕ + + βψ + ,

so that we can integrate both sides and use the additivity on nonnegative

functions to obtain

+ −

(αϕ + βψ) dμ + α ϕ dμ + β ψ − dμ

X

X

X

− +

= (αϕ + βψ) dμ + α ϕ dμ + β ψ + dμ.

X X X

(ii). It follows by the monotonicity of the integral on nonnegative func-

tions and from the inequalities ϕ + ≤ ψ + and ϕ − ≥ ψ − .

(iii). Since −|ϕ| ≤ ϕ ≤ |ϕ| the conclusion follows from (ii).

Another consequence of the additivity property of the integral is the

additivity of the real-valued map

A ∈ E → ϕ dμ

A

consequence of the dominated convergence theorem, this map is even

σ –additive.

In this section we study the problem of commuting limit and integral;

we have already seen that this can be done in some particular cases, as

when the functions are nonnegative and monotonically converge to their

supremum, and now we investigate some more general cases, relevant for

the applications.

37 Introduction to Measure Theory and Integration

(ϕn ) be a sequence of E –measurable functions pointwise converging to

ϕ. Assume that there exists a nonnegative μ–integrable function ψ such

that

|ϕn (x)| ≤ ψ(x) ∀x ∈ X, n ∈ N.

lim ϕn dμ = ϕ dμ.

n→∞ X X

and |ϕ| ≤ ψ in X. In particular ϕ is μ–integrable. Since ϕ + ψ is

nonnegative, by the Fatou lemma we have

(ϕ + ψ) dμ ≤ lim inf (ϕn + ψ) dμ.

X n→∞ X

Consequently,

ϕ dμ ≤ lim inf ϕn dμ. (2.13)

X n→∞ X

(ψ − ϕ) dμ ≤ lim inf (ψ − ϕn ) dμ.

X n→∞ X

Consequently,

ϕ dμ ≥ lim sup ϕn dμ. (2.14)

X n→∞ X

the absolute continuity property of the integral of μ–integrable func-

tions ϕ:

for any ε > 0 there exists δ > 0 such that μ(A) < δ ⇒ |ϕ| dμ < ε.

A

(2.15)

The proof of this property is sketched in Exercise 2.9.

38 Luigi Ambrosio, Giuseppe Da Prato and Andrea Mennucci

In this subsection we assume for simplicity that the measure μ is finite.

A family {ϕi }i∈I of R–valued μ–integrable functions is said to be μ–

uniformly integrable if

lim |ϕi (x)| dμ(x) = 0, uniformly in i ∈ I .

μ(A)→0 A

This means that for any ε > 0 there exists δ > 0 such that

μ(A) < δ ⇒ |ϕi (x)| dμ(x) ≤ ε ∀ i ∈ I.

A

tions the absolute continuity property of the integral.

Notice that any family {ϕi }i∈I dominated by a single μ–integrable

function ϕ (i.e. such that |ϕi | ≤ |ϕ| for any i ∈ I ) is obviously μ–

uniformly integrable. Taking this remark into account, we are going to

to prove the following extension of the dominated convergence theorem,

known as Vitali Theorem.

Theorem 2.18 (Vitali). Assume that μ is a finite measure and let (ϕn ) be

a μ–uniformly integrable sequence of functions pointwise converging to

a real valued function ϕ. Then ϕ is μ–integrable and

lim ϕn dμ = ϕ dμ.

n→∞ X X

Lemma 2.19 (Egorov). Assume that μ is a finite measure and let (ϕn )

be a sequence of E –measurable functions pointwise converging to a real

valued function ϕ. Then for any δ > 0 there exists a set Aδ ∈ E such that

μ(Aδ ) < δ and ϕn → ϕ uniformly in X \ Aδ .

Proof. For any integer m ≥ 1 we write X as the increasing union of the

sets Bn,m , where

1

Bn,m := x ∈ X : |ϕi (x) − ϕ(x)| < ∀i ≥ n .

m

Since μ is finite there exists n(m) such that μ(Bn(m),m ) > μ(X) − 2−m δ.

We denote by Aδ the union of X \ Bn(m),m , so that

∞ ∞

δ

μ(Aδ ) ≤ μ(X \ Bn(m),m ) < = δ.

m=1 m=1

2m

39 Introduction to Measure Theory and Integration

Now, given any ε > 0, we can choose m > 1/ε to obtain that

1

|ϕn (x) − ϕ(x)| ≤ < ε for all x ∈ Bn(m),m , n ≥ n(m).

m

As X \ Aδ ⊂ Bn(m),m , this proves the uniform convergence of ϕn to ϕ on

X \ Aδ .

Proof

of the Vitali Theorem. Fix ε > 0 and find δ > 0 such that

A |ϕn | dμ < ε whenever μ(A) < δ. Again, Fatou’s Lemma yields that

A |ϕ| dμ ≤ ε whenever μ(A) < δ.

Assume now that A is given by Egorov Lemma, so that ϕn → ϕ uni-

formly on X \ A. Then, writing

(ϕ − ϕn ) dμ = (ϕ − ϕn ) dμ + (ϕ − ϕn ) dμ

X X\A A

X\A

! !

! !

! (ϕ − ϕn ) dμ! ≤ 3ε

! !

X

The integrals J f dλ, with J = [a, b] closed interval of the real line and

λ equal to the Lebesgue measure in R, are traditionally denoted with the

b

classical notation a f dx or with J f dx. This is due to the fact that

Riemann’s and Lebesgue’s integral coincide on the class of Riemann’s

integrable functions.

We denote by I∗ ( f ) and I ∗ ( f ) the upper and lower Riemann integral

of

n−1f respectively, the former defined by taking the supremum of the sums

1 ai (ti+1 − ti ) in correspondence of all step functions

n−1

h= ai 1[ti ,ti+1 ) ≤ f a = t1 < · · · < tn = b, (2.16)

i=1

and the latter considering the infimum in correspondence of all step func-

tions h ≥ f . We denote by I ( f ) the Riemann integral, equal to the upper

and lower integral whenever the two integrals coincide.

Asn−1

the Lebesgue integral of the function h in (2.19) coincides with

i ai (ti+1 − ti ), we have

g dλ = I (g) for any step function g : J → R.

J

40 Luigi Ambrosio, Giuseppe Da Prato and Andrea Mennucci

sequence of step functions gh converging pointwise to f (for instance

splitting J into i equal intervals [xi , xi+1 [ and setting ai = min[xi ,xi+1 ] f )

whose Riemann integrals converge to I ( f ). Therefore, passing to the

limit in the identity above with g = gh , and using the dominated conver-

gence theorem we get

f dλ = I ( f ) for any continuous function f : J → R.

J

within the Lebesgue theory, of Riemman’s integrable functions.

f is Riemann integrable if and only if the set of its discontinuity points

is Lebesgue negligible. If this is the case, we have that f is B (J )λ –

measurable and

f dλ = I ( f ). (2.17)

J

Proof. Let

⎧

⎪

⎪ f ∗ (x) := inf lim inf f (xh ) : x h → x

⎪

⎪

⎨ h→∞

(2.18)

⎪

⎪

⎪

⎪ ∗

⎩ f (x) := sup lim sup f (x h ) : x h → x .

h→∞

It is not hard to show (see Exercise 2.6 and Exercise 2.7) that f ∗ is lower

semicontinuous and f ∗ is upper semicontinuous, therefore both f ∗ and

f ∗ are Borel functions.

We are going to show that I∗ ( f ) = J f ∗ dλ and I ∗ ( f ) = J f ∗ dλ.

These two equalities yield the conclusion, as f is continuous at λ–a.e.

point in J iff f ∗ − f ∗ = 0 λ–a.e. in J , and this holds iff (because f ∗ − f ∗ ≥

0)

( f ∗ − f ∗ ) dλ = 0.

J

Borel function f ∗ differs from f only in a λ–negligible set, thus f is

B (J )λ –measurable (because { f > t} differs from the Borel set { f ∗ > t}

a λ–negligible

only in set, see also Exercise 2.4) and its integral coincides

with J f ∗ dλ = J f ∗ dλ; this leads to (2.17).

41 Introduction to Measure Theory and Integration

first of the two equalities, i.e.

f ∗ dλ = I∗ ( f ). (2.19)

J

ing a sequence of continuous functions gh ↑ f ∗ ≤ f and obtaining,

thanks to the monotone convergence theorem,

f ∗ dλ = sup gh dλ = sup I (gh ) = sup I∗ (gh ) ≤ I∗ ( f ).

J h∈N J h∈N h∈N

(2.16) and we notice that f ≥ ai = h in (ti , ti+1 ) implies f ∗ ≥ ai in the

same interval. Hence f ∗ ≥ h in J \ {t1 , . . . , tn } and, being the set of the

ti ’s Lebesgue negligible, we have

f ∗ dλ ≥ h dλ = I (h).

J J

Exercises

2.1 Show that any of the conditions listed below is equivalent to the E –mea-

surability of ϕ : X → R.

(i) ϕ −1 ((−∞, t]) ⊂ E for all t ∈ R;

(ii) ϕ −1 ((−∞, t)) ⊂ E for all t ∈ R;

(iii) ϕ −1 ([a, b]) ⊂ E for all a, b ∈ R;

(iv) ϕ −1 ([a, b)) ⊂ E for all a, b ∈ R;

(v) ϕ −1 ((a, b)) ⊂ E for all a, b ∈ R.

2.2 Let ϕ, ψ : X → R be E –measurable. Show that ϕ + ψ and ϕψ are E –

measurable. Hint: prove that

{ϕ + ψ < t} = [{ϕ < r} ∩ {ψ < t − r}]

r∈Q

and √ √

{ϕ 2 > a} = {ϕ > a} ∪ {ϕ < − a}, a ≥ 0.

42 Luigi Ambrosio, Giuseppe Da Prato and Andrea Mennucci

(i) Show that (R, d) is a compact metric space (the so-called compactification

of R) and that A ⊂ R is open relative to the Euclidean distance if, and only

if, it is open relative to d;

(ii) use (i) to show that, given a measurable space (X, E ), f : X → R is E –

measurable according to (2.2) if and only if it is measurable between E and

the Borel σ –algebra of (R, d).

2.4 Let (X, E , μ) be a measure space and let E μ be the completion of E induced

by μ. Show that f : X → R is E μ –measurable iff there exists a E –measurable

function g such that { f = g} is contained in a μ–negligible set of E .

2.5 Let us define I f as in (2.8) and let us endow with the usual partial ordering

σ = {t1 , . . . , t N } ≤ ζ = {s1 , . . . , s M } if and only if σ ⊂ ζ . Show that σ →

∞

I f (σ ) is nondecreasing. Use this fact to show that f → 0 f (t) dt is additive.

2.6 Let f : R → R be a function. Show that the functions f ∗ , f ∗ defined in

(2.18) are respectively lower semicontinuous and upper semicontinuous.

2.7 Let f : R → R be a bounded function. Using Exercise 2.6 show that

{ f ∗ ≤ t} and { f ∗ ≥ t} are closed for all t ∈ R. In particular deduce that

= {x ∈ R : f is continuous at x}

belongs to B (R).

2.8 Let (an ) ⊂ (0, ∞) with

∞

ai = ∞, lim ai = 0.

i→∞

i=0

Show that for any ϕ : X → [0, +∞] E –measurable there exist Ai ∈ E such that

ϕ = i ai 1 Ai . Hint: set ϕ0 := ϕ, A0 := {ϕ ≥ a0 } and ϕ1 := ϕ0 − a0 1 A0 ≥ 0.

Then, set A1 := {ϕ1 ≥ a1 } and ϕ2 := ϕ0 − a1 1 A1 and so on.

2.9 Let ϕ : X → R be μ–integrable. Show that the property (2.15) holds. Hint:

−i

by contradiction its failure for some ε > 0 and find Ai with μ(Ai ) < 2

assume

and Ai |ϕ| dμ ≥ ε. Then, notice that B := lim supi Ai is μ–negligible, consider

Bn := Ai \ B ↓ ∅

i≥n

2.10 Prove that if ϕn → ϕ in L 1 (, E , μ), then (ϕn ) is μ–uniformly integrable.

In addition, find a space (X, E , μ) and a sequence (ϕn ) that is μ–uniformly

integrable, for which there is no g ∈ L 1 (X, E , μ) satisfying |ϕn | ≤ g for all

n ∈ N.

2.11 Let (X, d) be a metric space and let g : X → [0, ∞] be lower semicon-

tinuous and not identically equal to ∞. For any λ > 0 define

y∈X

43 Introduction to Measure Theory and Integration

Check that:

(a) |gλ (x) − gλ (x )| ≤ λd(x, x ) for all x, x ∈ X;

(b) gλ ↑ g as λ ↑ ∞.

2.12 Let f : R2 → R be satisfying the following two properties:

(i) x → f (x, y) is continuous in R for all y ∈ R;

(ii) y → f (x, y) is continuous in R for all x ∈ R.

Show that f is a Borel function. Hint: first reduce to the case when f is

bounded. Then, for ε > 0 consider the functions

x+ε

1

f ε (x, y) := f (x , y) dx ,

2ε x−ε

Chapter 3

Spaces of integrable functions

spaces of measurable functions whose p-th power is integrable. Through-

out the chapter a measure space (X, E , μ) will be fixed.

Let Y be a real vector space. We recall that a norm · on Y is a non-

negative map defined on Y satisfying:

(i) y = 0 if and only if y = 0;

(ii) αy = |α| y for all α ∈ R and y ∈ Y ;

(iii) y1 + y2 ≤ y1 + y2 for all y1 , y2 ∈ Y .

The space Y , endowed with the norm · , is called a normed space.

Y is also a metric space when endowed with the distance d(y1 , y2 ) =

y1 − y2 (the triangle inequality is a direct consequence of (iii)). If

(Y, d) is a complete metric space, we say that (Y, · ) is a Banach space.

We denote by L 1 (X, E , μ) the real vector space of all μ–integrable

functions on (X, E ). We define

ϕ1 := |ϕ(x)| dμ(x), ϕ ∈ L 1 (X, E , μ).

X

We have clearly

and

so that conditions (ii) and (iii) in the definition of the norm are fulfilled.

However, · 1 is not a norm in general, since ϕ1 = 0 if and only if

ϕ = 0 μ–a.e. in X, so (i) fails.

© Scuola Normale Superiore Pisa 2011

46 Luigi Ambrosio, Giuseppe Da Prato and Andrea Mennucci

L 1 (X, E , μ),

spect to R . In other words, L 1 (X, E , μ) is the quotient vector space

of L 1 (X, E , μ) with respect to the vector subspace made by functions

vanishing μ–a.e. in X.

For any ϕ ∈ L 1 (X, E , μ) we denote by ϕ̃ the equivalence class de-

termined by ϕ and we set

ϕ̃ + ψ̃ := ϕ

+ ψ, α ϕ̃ := α"

ϕ. (3.2)

resentatives in the equivalence class, and endow L 1 (X, E , μ) with the

structure of a real vector space, whose origin is the equivalence class of

functions vanishing μ–a.e. in X. Furthermore, setting

it is also easy to see that this definition does not depend on the particular

element ϕ chosen in ϕ̃, and that (ii), (iii) still hold. Now, if ϕ̃1 = 0

we have that the integral of |ϕ| is zero, and therefore ϕ̃ = 0. Therefore

L 1 (X, E , μ), endowed with the norm · 1 , is a normed space.

To simplify the notation typically ϕ̃ is identified with ϕ whenever the

formula does not depend on the choice of the function in the equival-

ence class: for instance, quantities as μ({ϕ > t}) or X ϕ dμ have this

independence, as well as most statements and results in Measure Theory

and Probability, so this slight abuse of notation is justified. It should be

noted, however, that formulas like ϕ(x̄) = 0, for some fixed x̄ ∈ X, do

not make sense in L 1 (X, E , μ), since they depend on the representative

chosen (unless μ({x̄}) > 0).

More generally, if an exponent p ∈ (0, ∞) is given, we can apply a

similar construction to the space

L (X, E , μ) := ϕ : ϕ is E –measurable and

p

|ϕ| dμ < ∞ .

p

X

|y| p ) if p ≥ 1, it turns out that L p (X, E , μ) is a vector space, and we

shall denote by L p (X, E , μ) the quotient vector space, with respect to the

equivalence relation (3.1). Still we can define the sum and product by a

47 Introduction to Measure Theory and Integration

real vector space. The case p = 2 is particularly relevant for the theory,

as we will see.

Sometimes we will omit either E or μ, writing L p (X,μ) or even L p (X).

This typically happens when (X, d) is a metric space, and E is the Borel

σ -algebra, or when X ⊂ R and μ is the Lebesgue measure.

For any ϕ ∈ L p (X, E , μ) we define

1/ p

ϕ p := |ϕ| dμ

p

.

X

We are going to show that · p is a norm for any p ∈ [1, +∞). Notice

that we already checked this fact when p = 1, and that the homogen-

eity condition (ii) trivially holds, whatever the value of p is. Further-

more, condition (i) holds precisely because L p (X, E , μ) consists, strictly

speaking, of equivalence classes induced by (3.1). So, the only condi-

tion that needs to be checked is the subadditivity condition (ii), and in the

sequel we can assume p > 1.

The concept of Legendre transform will be useful. Let f : R → R be

a function; we define its Legendre transform f ∗ : R → R ∪ {+∞} by

f ∗ (y) = sup{x y − f (x)}, y ∈ R.

x∈R

x y ≤ f (x) + f ∗ (y) ∀x, y ∈ R, (3.3)

and actually f ∗ could be equivalently defined as the smallest function

with this property.

Example 3.1. Let p > 1 and let

⎧ p

⎪ x

⎪

⎨ p if x ≥ 0,

f (x) =

⎪

⎪

⎩

0 if x < 0.

Then, by an elementary computation, we find that

⎧ q

⎪ y

⎪

⎨q if y ≥ 0,

∗

f (y) =

⎪

⎪

⎩

+∞ if y < 0,

48 Luigi Ambrosio, Giuseppe Da Prato and Andrea Mennucci

following inequality, known as Young inequality, holds:

xp yq

xy ≤ + , x, y ≥ 0. (3.4)

p q

Motivated by the previous example, we say that p and q are dual (or

conjugate) exponents if 1p + q1 = 1, i.e. q = p/( p − 1). The duality

relation is symmetric in (1, +∞), and obviously 2 is self-dual.

Example 3.2. Let f (x) = e x , x ∈ R. Then

⎧

⎪

⎨+∞ if y < 0,

∗

f (y) := sup{x y − e } = 0

x

if y = 0,

x∈R ⎪

⎩

y log y − y if y > 0.

Consequently, the following inequality holds:

x y ≤ e x + y log y − y, x, y ≥ 0. (3.5)

Proposition 3.3 (Hölder inequality). Assume that ϕ ∈ L p (X, E , μ) and

ψ ∈ L q (X, E , μ), with p and q dual exponents in (1, +∞). Then

ϕψ ∈ L 1 (X, E , μ) and

ϕψ1 ≤ ϕ p ψq . (3.6)

Proof. If either ϕ p = 0 or ψq = 0 then one of the two functions

vanishes μ–a.e. in X, hence ϕψ vanishes μ–a.e. and the inequality is

trivial. If both ϕ p and ψq are strictly positive, by the 1–homogeneity

of the both sides in (3.6) with respect to ϕ and ψ, we can assume with no

loss of generality that the two norms are equal to 1.

Now we apply (3.4) to |ϕ(x)| and |ψ(x)| to obtain

|ϕ(x)| p |ψ(x)|q

|ϕ(x)ψ(x)| ≤ + .

p q

Integrating over X with respect to μ yields

1 1

|ϕ(x)ψ(x)| dμ(x) ≤ + = 1.

X p q

A particular case of the Hölder inequality is

! ! 1/2 1/2

! !

! ϕ(x)ψ(x) dμ(x)! ≤ ϕ (x) dμ(x)

2

ψ (x) dμ(x)

2

.

! !

X X X

scalar products.

49 Introduction to Measure Theory and Integration

and ϕ, ψ ∈ L p (X, E , μ). Then ϕ + ψ ∈ L p (X, E , μ) and

have

|ϕ + ψ| p dμ ≤ |ϕ + ψ| p−1 |ϕ| dμ + |ϕ + ψ| p−1 |ψ| dμ.

X X X

inequality we find that

1/q

|ϕ + ψ| dμ ≤

p

|ϕ + ψ| dμ

p

(ϕ p + ψ p ),

X X

By the previous proposition it follows that · p is a norm on L p (X, E , μ).

We have seen in the previous section that L p (X, E , μ) is a normed space

for all p ∈ [1, +∞). In this section we prove some properties of the con-

vergence in these spaces, obtaining as a byproduct the following result.

that provides also a relation between convergence in L p and convergence

μ–a.e. in X.

Proposition 3.6. Let p ∈ [1, +∞) and let (ϕn ) be a Cauchy sequence in

L p (X, E , μ). Then:

in L p (X, E , μ);

(ii) (ϕn ) is converging to ϕ in L p (X, E , μ), so that L p (X, E , μ) is a

Banach space.

sequence (ϕn(k) ) such that

50 Luigi Ambrosio, Giuseppe Da Prato and Andrea Mennucci

Next, set

∞

g(x) := |ϕn(k+1) (x) − ϕn(k) (x)|, x ∈ X.

k=0

norm it follows that

1/ p ! !p 1/ p

!N −1 !

! !

g (x) dμ(x)

p

= lim ! |ϕn(k+1) − ϕn(k) |! dμ

X N →∞ X ! k=0 !

N −1

≤ lim 2−k = 2 < ∞.

N →∞

k=0

Therefore, g is finite μ–a.e., that is, there exists B ∈ E such that μ(B) =

0 and g(x) < ∞ for all x ∈ B c . Set now

∞

ϕ(x) := ϕn(0) (x) + (ϕn(k+1) (x) − ϕn(k) (x)), x ∈ Bc.

k=0

;N moreover, re-

placing the series in the definition of ϕ by the finite sum 0 −1 (ϕn(k+1) (x)

− ϕn(k) (x)) we obtain ϕ(x) = limk ϕn(k) (x). Therefore, if we define (for

instance) ϕ = 0 on the μ–negligible set B, we obtain that ϕn(k) → ϕ

μ–a.e. on X.

The inequality |ϕ| ≤ |ϕn(0) | + g gives that |ϕ| p is μ–integrable, so that

ϕ ∈ L p (X, E , μ). So, (i) is proved.

In order to prove (ii), we first claim that ϕn(k) → ϕ in L p (X, E , μ) as

k → ∞. In fact, since

∞

|ϕ(x) − ϕn(h) (x)| ≤ |ϕn(k+1) (x) − ϕn(k) (x)|, x ∈ X,

k=h

1/ p

|ϕ(x) − ϕn(h) (x)| dμ(x)

p

∞ 1/ p

X

∞

≤ |ϕn(k+1) (x) − ϕn(k) (x)| dμ(x)

p

≤ 2−k ,

k=h X k=h

51 Introduction to Measure Theory and Integration

Since (ϕn ) is Cauchy, for any ε > 0 there exists n ε ∈ N such that

Now choose k ∈ N such that n(k) > n ε and ϕ − ϕn(k) p < ε. For any

n > n ε we have

ment used in the previous proof applies also to converging sequences

(as these sequences are obviously Cauchy), and proves that any sequence

(ϕn ) strongly converging to ϕ in L p (X,E , μ) admits a subsequence (ϕn(k) )

converging μ–a.e. to ϕ: precisely, this happens whenever

∞

ϕn(k+1) − ϕn(k) p < ∞ .

0

a.e.: the functions

⎧

⎪

⎪ ϕ0 = 1[0,1]

⎪

⎨ ϕ1 = 1[0,1/2] , ϕ2 = 1[1/2,1]

⎪

⎪ ϕ3 = 1[0,1/3] , ϕ4 = 1[1/3,2/3] , ϕ5 = 1[2/3,1]

⎪

⎩

...

The previous remark shows that we can expect to infer pointwise con-

vergence from convergence in L p only modulo the extraction of a sub-

sequence. Now, we ask ourselves about the converse implication: given

a sequence (ϕn ) in L p (X, E , μ) pointwise converging to a function ϕ ∈

L p (X, E , μ), we want to find conditions ensuring the convergence of

(ϕn ) to ϕ in L p (X, E , μ). This is not true in general, as the following

example shows.

Example 3.8. Let X = [0, 1], E = B ([0, 1]) and let μ = λ be the

Lebesgue measure. Set

n if x ∈ [0, 1/n],

ϕn (x) =

0 if x ∈ [1/n, 1].

52 Luigi Ambrosio, Giuseppe Da Prato and Andrea Mennucci

defined μ–uniform integrability only for finite measures μ.

vergent to a function ϕ ∈ L p (X, E , μ), with (|ϕn | p ) μ–uniformly integ-

rable. Then ϕn → ϕ in L p (X, E , μ).

because of the inequality

applying Vitali Theorem 2.18 to h n we obtain the conclusion.

Let ϕ : X → R be a E –measurable function. We say that ϕ is μ–

essentially bounded if there exists a real number M > 0 such that

by ϕ∞ , such that

This easily follows from the fact that the function t → μ({|ϕ| > t}) is

right continuous (Proposition 2.6), so the infimum is attained.

Notice also that ϕ∞ is characterized by the property

μ–essentially bounded functions with respect to the equivalence relation

∼ in (3.1), thus identifying functions that coincide μ–a.e. in X.

Several properties of the L p spaces extend up to the case p = ∞: first

of all L ∞ (X, E , μ) is a real vector space and we have the Minkowski

inequality

ϕ + ψ∞ ≤ ϕ∞ + ψ∞ . (3.10)

Indeed, by (3.9) and the triangle inequality, |ϕ(x) + ψ(x)| ≤ ϕ∞ +

ψ∞ μ–a.e. in X, therefore (3.8) provides (3.10). As a consequence,

L ∞ (X, E , μ) endowed with the norm · ∞ , is a normed space.

53 Introduction to Measure Theory and Integration

|ϕψ| dμ ≤ ϕ∞ |ψ| dμ. (3.11)

X X

Indeed, we have just to notice that |ϕ(x)ψ(x)| ≤ ϕ∞ |ψ(x)| for μ–a.e.

x ∈ X, and then integrate with respect to μ. This inequality can be still

written as (3.6), provided we agree that q = 1 is the dual exponent of

p = ∞ (and conversely).

For finite measures we can apply Hölder’s inequality to obtain that the

L spaces are nested; in particular L ∞ is the smaller one and L 1 is the

p

larger one.

Remark 3.10 (Inclusions between L p spaces). Assume that μ is finite.

Then, if 1 ≤ r ≤ s ≤ ∞ we have

inequality (with p = s/r and q = s/(s − r)),

r/s 1−r/s

|ϕ(x)|r dμ(x) ≤ |ϕ(x)|s dμ(x) 1 X dμ(x) ,

X X X

and so

ϕr ≤ (μ(X))(s−r)/rs ϕs . (3.12)

−1/ p

By (3.12) we obtain that p → μ(X) ϕ p is nondecreasing for ϕ in

the intersection of the spaces L (X, E , μ), so that it has a limit as p →

p

finite or infinite. The following proposition characterizes L ∞ (X, E , μ)

and the L ∞ norm in terms of this limit.

Proposition 3.11. Assume that μ is finite and let ϕ be in the intersection

L p (X, E , μ).

p<∞

Then ϕ ∈ L ∞ (X, E , μ) if and only if the limit lim p→∞ ϕ p is finite. If

this is the case, we have that ϕ∞ coincides with the value of the limit.

Proof. If p ≥ 1 we have by the Markov inequality

a whenever μ({ϕ ≥ a}) > 0. So, if the limit is finite, we have ϕ ∈

54 Luigi Ambrosio, Giuseppe Da Prato and Andrea Mennucci

directly from (3.11); the same inequality also proves that if the limit is

/ L ∞ (X, E , μ).

not finite, then ϕ ∈

that L ∞ (X, E , μ) is a Banach space: as a matter of fact, convergence

in L ∞ (X, E , μ) differs from the convergence in supremum norm only

because a μ–negligible set is neglected.

Remark 3.12 (L ∞ (X, E , μ) is a Banach space). Assume that (ϕn ) ⊂

L ∞ (X, E , μ) is a Cauchy sequence, and let us consider the μ–negligible

set

∞

{x ∈ X : |ϕn (x) − ϕm (x)| > ϕn − ϕm ∞ } .

n, m=0

ness of the space of bounded functions defined in B c provides a bounded

function ϕ : B c → R such that ϕn → ϕ uniformly in B c . Extending ϕ

in an arbitrary E –measurable way (for instance with the 0 value) to the

whole of X, we get ϕn → ϕ in L ∞ (X, E , μ).

A similar argument proves that ϕn → ϕ in L ∞ (X, E , μ) if and only if

there exists a μ–negligible set B ∈ E satisfying ϕn → ϕ uniformly in

Bc.

! !

We know that ! X ϕ dμ! does not exceed X |ϕ| dμ. A nice and useful

generalization of this fact is the so-called Jensen inequality.

Recall that, if J ⊂ R is an interval, a continuous function g : J → R

is said to be convex if

x+y g(x) + g(y)

g ≤ ∀x, y ∈ J. (3.13)

2 2

By several approximations (see Exercise 3.7) one can prove that a convex

function f satisfies g(t x +(1−t)y) ≤ tg(x)+(1−t)g(y) for all x, y ∈ J

and t ∈ [0, 1], and even that

n n

n

g ti xi ≤ ti g(xi ) whenever ti ≥ 0, xi ∈ J and ti = 1.

i=1 i=1 i=1

(3.14)

In the proof we use an elementary property of convex functions g : R →

R satisfying g(t) → +∞ as |t| → +∞, namely the existence of a

minimum point t0 ; moreover, the function g is nondecreasing in [t0 , +∞)

and nonincreasing in (−∞, t0 ] (see Exercise 3.8).

55 Introduction to Measure Theory and Integration

g : R → R be convex and bounded from below and let ϕ ∈ L 1 (X, E , μ).

Then we have

g ϕ dμ ≤ g(ϕ) dμ. (3.15)

X X

n

ϕ= αi 1 Ai ,

i=1

disjoint sets in E whose union is X, so that

n

μ(Ai ) = 1.

i=1

n

n

g ϕ dμ = g αi μ(Ai ) ≤ g(αi )μ(Ai ) = g(ϕ) dμ.

X i=1 i=1 X

In the general case, let us first assume that g(t) → +∞ as |t| → +∞.

Then, by Exercise 3.8 we know that g has a minimum point t0 , and that

g is nondecreasing in [t0 , +∞), and nonincreasing in (−∞, t0 ]. We can

assume with no loss of generality (possibly replacing g(t) by g(t − t0 )

ϕ by ϕ + t0 ) that g attains its minimum value at t0 = 0, and that

and

X g(ϕ) dμ is finite. Furthermore, replacing g by g−g(0), we can assume

that the minimum value of g is 0.

Let ϕn± be nonnegative simple functions satisfying ϕn± ↑ ϕ ± ; the simple

functions ϕn+ − ϕn− converge to ϕ + − ϕ − = ϕ in L 1 (X, E , μ). In addition,

since g is monotone in (−∞, 0] and [0, +∞), the monotone convergence

theorem gives

g(ϕn+ ) dμ ↑ g(ϕ + ) dμ, g(−ϕn− ) dμ ↑ g(−ϕ − ) dμ,

X X X

+ − + − + −

= 0, ϕ−n ϕn = 0 and ϕ ϕ = 0)

so that +(since g(0) +

X g(ϕn − ϕn ) dμ

−

=

X g(ϕn ) dμ + X g(−ϕn ) converges to X g(ϕ ) dμ + X g(−ϕ ) =

X g(ϕ) dμ. Passing to the limit as n → ∞ in Jensen’s inequality for the

simple functions ϕn+ − ϕn−

+ −

g (ϕn − ϕn ) dμ ≤ g(ϕn+ − ϕn− ) dμ

X X

we get (3.15).

56 Luigi Ambrosio, Giuseppe Da Prato and Andrea Mennucci

by considering the functions gε (t) := g(t) + ε|t|, which converge to +∞

as |t| → ∞, thanks to the fact that g is bounded from below: we obtain

! !

! !

g !

ϕ dμ + ε ! ϕ dμ! ≤ ! g(ϕ) dμ + ε |ϕ| dμ.

X X X X

An alternative proof of Jensen’s inequality is based on another viewpoint,

namely the representation of g as the supremum of a family {L i }i∈I of

affine functions. Since μ is a probability measure, for all i ∈ I it is easy

to check that L i ( ϕ dμ) = L i (ϕ) dμ, so that

Li ϕ dμ) ≤ L(ϕ) dμ ∀i ∈ I.

X X

Taking the supremum in the right hand side we obtain Jensen’s inequality.

Both viewpoints are important in the theory of convex functions.

To be more precise, Jensen’s inequality holds provided g is convex on

an interval containing the image of ϕ. The next example is very important

in Probability and Information theory.

Example 3.14 (Entropy functional). By applying Jensen’s inequality

with the convex function g(z) = z ln z in [0, +∞) we obtain

ϕ ln ϕ dμ ≥ ϕ dμ ln ϕ dμ (3.16)

X X X

all ϕ ∈ L (X, E , μ) nonnegative. If X ϕ dμ = 1 we obtain that

1

for

X ϕ ln ϕ dμ ≥ 0 even though the function g has a variable sign (it attains

the minimum value −1/e at z = 1/e).

Proposition 3.15. For any p ∈ [1, +∞], the space of all simple μ–

integrable functions is dense in L p (X, E , μ).

Proof. Let f ∈ L p (X, E , μ) with f ≥ 0. Then the conclusion follows

from Proposition 2.12 (by Proposition 2.4 in the case p = ∞) and the

dominated convergence theorem. In the general case we write f as f + −

f − and approximate in L p both parts by simple functions.

We consider now the special situation when X is a metric space, E is

the σ –algebra of all Borel subsets of X and μ is any finite measure on

(X, E ).

We denote by Cb (X) the space of all continuous bounded functions on

X. Clearly, Cb (X) ⊂ L p (X, E , μ) for all p ∈ [1, +∞].

57 Introduction to Measure Theory and Integration

Proposition 3.16. For any p ∈ [1, +∞) and any finite measure μ, Cb (X)

is dense in L p (X, E , μ).

vector space, as Cb (X) is a vector space. In view of Proposition 3.15 it is

enough to show that for any Borel set I ∈ B (X) there exists a sequence

(ϕn ) ⊂ Cb (X) such that ϕn → 1 I in L p (X, E , μ).

Assume first that I is closed. Set

⎧

⎨ 1 − n d(x, I ) if d(x, I ) ≤ n1

ϕn (x) =

⎩

0 if d(x, I ) ≥ n1 ,

where

d(x, I ) := inf{|x − y| : y ∈ I }.

It is easy to see that ϕn are continuous, that 0 ≤ ϕn ≤ 1 and that ϕn (x) →

1 I (x), hence the dominated convergence theorem implies that ϕn → 1 I in

L p (X, E , μ).

Now, let

G := {I ∈ B (X) : 1 I ∈ C }.

It is easy to see that G is a Dynkin system (which includes the π–system

of closed sets), so that by the Dynkin theorem we have G = B (X).

Remark 3.17. Cb (X) (or more precisely, the equivalence classes of con-

tinuous bounded functions) is a closed subspace of L ∞ (X, E , μ), and

therefore it is not dense in general. Indeed, if (ϕn ) ⊂ Cb (X) is Cauchy

in L ∞ (X, E , μ), then it uniformly converges, up to a μ-negligible set

B (just take in Remark 3.12 as B the union of the μ–negligible sets

{|ϕn −ϕm | > ϕn −ϕm }). Therefore (ϕn ) uniformly converges on B c and

on its closure K . Denoting by ϕ ∈ Cb (K ) its uniform limit, by Tietze’s

exension theorem we may extend ϕ to a function, that we still denote by

ϕ, in Cb (X). As X \ K ⊂ B is μ–negligible, it follows that ϕn → ϕ in

L ∞ (X, E , μ).

Exercises

3.1 Assume that μ is σ –finite, but not finite. Provide examples showing that no

inclusion holds between the spaces L p (X, E , μ) in general. Nevertheless, show

that for any E –measurable function ϕ : X → R the set

p ∈ [1, ∞] : ϕ ∈ L p (X, E , μ)

58 Luigi Ambrosio, Giuseppe Da Prato and Andrea Mennucci

3.2 Let 1 ≤ p ≤ q < ∞ and f ∈ L q (X, E , μ). Show that for any δ ∈ (0, 1)

we can write f = g + f˜, with g ∈ L q (X, E , μ), f˜ ∈ L p (X, E , μ) and gq ≤

δ f q (notice that if μ is finite we can take g = 0).

3.3 Let p ∈ (1, ∞), ϕ ∈ L p and ψ ∈ L q , with q = p , be such that ϕψ1 =

ϕ p ψq . Show that either ψ = 0 or there exists a constant λ ∈ [0, +∞) such

that |ϕ| = λ|ψ|q−1 μ–a.e. in X. Hint: first investigate the case of equality in

Young’s inequality.

3.4 Prove the following variant of Hölder’s inequality, known as Young’s in-

equality: if ϕ ∈ L p , ψ ∈ L q and 1p + q1 = r1 , with r ≥ 1, we have that ϕψ ∈ L r

and ϕψr ≤ ϕ p ψq .

3.5 Let (ϕn ) ⊂ L 1 (X, E , μ) be nonnegative and satisfying lim infn ϕn ≥ ϕ μ–

a.e. in X. Show that

ϕn dμ = ϕ dμ = 1 ⇒ |ϕ − ϕn | dμ → 0.

X X X

Hint: notice that the positive part and the negative part of ϕ − ϕn have the same

integral to obtain

|ϕ − ϕn | dμ = 2 (ϕ − ϕn )+ dμ.

X X

3.6 Show that the following extension of Fatou’s lemma: if ϕn ≥ −ψn , with

ψn ∈ L 1 (X) nonnegative, ψn → ψ in L 1 (X), then

lim inf ϕn dμ ≥ lim inf ϕn dμ.

n→∞ X X n→∞

Hint: prove first the statement under the additional assumption that ψn → ψ

μ–a.e. in X.

3.7 Show that (3.13) implies g(t x + (1 − t)y) ≤ g(x) + (1 − t)g(y) for all

x, y ∈ J and t ∈ [0, 1]. Then, deduce from this property (3.14). Hint: it is

useful to consider dyadic numbers t = k/2m , with k ≤ 2m integer.

3.8 Let g : R → R be a convex function such that g(z) → +∞ as |z| → +∞.

Show the existence of z 0 ∈ R where g attains its minimum value. Then, show

that g is nondecreasing in [z 0 , +∞) and nonincreasing in (−∞, z 0 ].

3.9 Let (ϕn ) ⊂ L 1 (X, E , μ) be nonnegative functions. Show that the conditions

lim inf ϕn ≥ ϕ μ–a.e. in X, lim sup ϕn dμ ≤ ϕ dμ < ∞

n→∞ n→∞ X X

3.10 Let {ϕi }i∈I be a family of functions satisfying

sup (|ϕi |) dμ = M < +∞

i∈I X

59 Introduction to Measure Theory and Integration

that {ϕi }i∈I is μ–uniformly integrable. Hint: use the inequalities

(ϕi ) M

|ϕi | dμ ≤ dμ + |ϕi | dμ ≤ + cμ(A),

A A∩{|ϕi |≥c} (c) A∩{|ϕi |<c} (c)

with (c) := (c)/c, and then choose c sufficiently large, such that M/(c) <

ε/2.

3.11

Assuming that (X, d) is a metric space, E = B (X) and μ is finite, prove

Lusin’s theorem: for any ε > 0 and any f ∈ L 1 (X, E , μ), there exists a closed

set C ⊂ X such that μ(X \ C) < ε and f |C is continuous and bounded. Hint:

use the density of Cb (X) in L 1 and Egorov’s theorem.

Chapter 4

Hilbert spaces

In this chapter we recall the basic facts regarding real vector spaces en-

dowed with a scalar product. We introduce the concept of Hilbert space

and show that, even for the infinite-dimensional ones, continuous linear

functionals are induced by the scalar product. Moreover, we see that even

in some classes of infinite dimensional spaces (the so-called separable

ones) there exists a well-defined notion of basis (the so-called complete

orthonormal systems), obtained replacing finite sums with converging

series. Even though the presentation will be self-contained, we assume

that the reader has already some familiarity with these concepts (basis,

scalar product, representation of linear functionals) in finite-dimensional

spaces.

A real pre–Hilbert space is a real vector space H endowed with a map-

ping

H × H → R, (x, y) → x, y,

called scalar product, such that:

(i) x, x ≥ 0 for all x ∈ H and x, x = 0 if and only if x = 0;

(ii) x, y = y, x for all x, y ∈ H ;

(iii) αx + βy, z = αx, z + βy, z for all x, y, z ∈ H and α, β ∈ R.

In the following H represents a real pre–Hilbert space.

The scalar product allows us to introduce the concept of orthogonality.

We say that two elements x and y of H are orthogonal if x, y = 0.

We are going to prove that the function

#

x := x, x, x∈H

equality.

© Scuola Normale Superiore Pisa 2011

62 Luigi Ambrosio, Giuseppe Da Prato and Andrea Mennucci

|x, y| ≤ x y. (4.1)

In (4.1) equality holds if and only if x and y are linearly dependent.

Proof. Set

F(λ) = x + λy2 = λ2 y2 + 2λx, y + x2 , λ ∈ R.

Since F(λ) ≥ 0 for all λ ∈ R we have

|x, y|2 − x2 y2 ≤ 0,

which yields (4.1).

If x and y are linearly dependent, it is clear that |x, y| = x y.

Assume conversely that x, y = ±x y and that y = 0. Then

we have F(λ) = (x ± λy)2 so that, choosing λ = ∓x/y, we

find F(λ) = 0. This implies x + λy = 0, so that x and y are linearly

dependent.

Now we can prove easily that · is a norm in H . In fact, it is clear

that αx = |α|x for all α ∈ R and all x ∈ H . Moreover, taking into

account (4.1), we have for all x, y ∈ H ,

x + y2 = x + y, x + y = x2 + y2 + 2x, y

so that x + y ≤ x + y.

Therefore a pre–Hilbert space H is a normed space and, in particular,

a metric space. If H , endowed with the distance induced by the norm, is

complete we say that H is a Hilbert space.

Example 4.2. (i). Rn is a Hilbert space with the canonical scalar product

n

x, y := xk yk ,

k=1

. . . , yn ) ∈ Rn .

(ii). Let (X, E , μ) be a measure space. Then L 2 (X, E , μ), endowed with

the scalar product

ϕ, ψ := ϕ(x)ψ(x) dμ(x) ϕ, ψ ∈ L 2 (X, E , μ),

X

63 Introduction to Measure Theory and Integration

(iii). Let 2 be the space of all sequences of real numbers x = (xk ) such

∞

that xk2 < ∞. 2 is a vector space with the usual operations,

k=0

The space 2 , endowed with the scalar product

∞

x, y := xk yk , x = (xk ), y = (yk ) ∈ 2

k=0

μ({x}) = 1 for all x ∈ X.

(iv). Let X = C([0, 1]) be the linear space of all real continuous func-

tions on [0, 1]. X is a pre–Hilbert space with the scalar product

f, g := f (t)g(t) dt.

X

However, X is not a Hilbert space: indeed, X is dense, but strictly con-

tained, in L 2 (0, 1).

Finite-dimensional pre-Hilbert spaces H are always Hilbert spaces:

indeed, if {v1 , . . . , vn }, with n = dim H , is a basis of H , the Gram-

Schmidt orthonormalization process (recalled in Exercise 4.3) provides

an orthonormal basis {e1 , . . . , en } of H (i.e. ei = 1 and ei is ortho-

gonal to e j for i = j), and the map

n

x= x, ei ei → (x, e1 , x, e2 , . . . , x, en )

i=1

basis) is easily seen to provide an isometry with Rn : indeed,

n

n

n

x, ei ei 2 = x, ei x, e j ei , e j = (x, ei )2 .

i=1 i, j=1 i=1

n

It is useful to notice that for any x, y ∈ H the following parallelogram

identity holds:

x + y2 + x − y2 = 2x2 + 2y2 , x, y ∈ H. (4.2)

One can show that identity (4.2) characterizes pre-Hilbert spaces among

normed spaces, and Hilbert among Banach spaces, see Exercise 4.1.

64 Luigi Ambrosio, Giuseppe Da Prato and Andrea Mennucci

space and let Y be a closed subspace of H . Then for any x ∈ H there

exists a unique y ∈ Y , called projection of x on Y and denoted by πY (x),

such that

x − y = min x − z.

z∈Y

d. We are going to show that (yn ) is a Cauchy sequence.

For any m, n ∈ N we have, by the parallelogram identity (4.2),

(x −yn )+(x −ym )2 +(x −yn )−(x −ym )2 = 2x −yn 2 +2x −ym 2 .

Consequently

$ $2

$ yn + ym $

2 2 $

yn − ym = 2x − yn + 2x − ym − 4 $x −

2 $ .

2 $

Taking into account that (yn + ym )/2 ∈ Y we find

and, since the space is complete and Y is closed, it is convergent to an

element y ∈ Y. Since x − yn → x − y we find that x − y = d.

Existence is thus proved. Uniqueness follows again by the parallelogram

identity, that gives

$ $2

$ y + y $

2 2

y − y ≤ 2x − y + 2x − y − 4 $x −

2 $ $

2 $

≤ 2d 2 + 2d 2 − 4d 2 = 0

Let us prove (4.3). Define

as claimed.

Conversely, if (4.3) holds for all z ∈ Y , we have

65 Introduction to Measure Theory and Integration

works, with absolutely no modification, to show that for any convex

closed set K ⊂ H and any x ∈ H there exists a unique solution y =

π K (x) to the problem

min x − z.

z∈K

In this case, however, π K (x) is not characterized by (4.3), but by a one-

sided condition, namely x − π K (x), z − π K (x) ≤ 0 for all z ∈ K , see

Exercise 4.2.

Corollary 4.5. Let Y be a closed proper subspace of H . Then there ex-

ists x0 ∈ H \ {0} such that x0 , y = 0 for all y ∈ Y .

Proof. It is enough to choose an element z 0 in H which does not belong

to Y and set x0 = z 0 − πY (z 0 ).

Fix an integer n ≥ 1, a n-dimensional subspace Hn ⊂ H and an

orthonormal basis {e1 , . . . , en } of it. The following result characterizes

the projection on Hn , giving the best approximation of an element x by a

linear combination of {e1 , . . . , en }.

Proposition 4.6. The projection of an element x ∈ H on Hn is given by

n

π Hn (x) = x, ek ek .

k=1

$ $2 $ $2

$ n $ $ n $

$ $ $ $

$x − xk ek $ ≤ $x − yk ek $ , (4.4)

$ k=1

$ $ k=1

$

where xk = x, ek . We have in fact

$ $2

$ n $ n n

$ $

$x − yk ek $ = x2 + yk2 − 2 xk yk

$ k=1

$ k=1 k=1

n

n

= x2 − xk2 + (xk − yk )2 .

k=1 k=1

$ $2

$ n $ n

$ $

$x − xk ek $ = x2 − xk2 . (4.5)

$ k=1

$ k=1

(4.3) of π Hn (x), is proposed in Exercise 4.4.

66 Luigi Ambrosio, Giuseppe Da Prato and Andrea Mennucci

A linear functional F on H is a mapping F : H → R such that

F(αx + βy) = α F(x) + β F(y) ∀x, y ∈ H, ∀α, β ∈ R.

F is said to be bounded if there exists K ≥ 0 such that

|F(x)| ≤ K x for all x ∈ H .

Proposition 4.7. A linear functional F is continuous if, and only if, it is

bounded.

Proof. It is obvious that if F is bounded then it is continuous (even

Lipschitz continuous). Assume conversely that F is continuous and, by

contradiction, that it is not bounded. Then for any n ∈ N there exists

x n ∈ H such that |F(xn )| ≥ n 2 xn . Setting yn = n1 xn /xn we have

yn = n1 → 0, whereas F(yn ) ≥ n, which is a contradiction.

The following basic Riesz theorem, gives an intrinsic representation

formula of all linear continuous functionals.

Proposition 4.8. Let F be a linear continuous functional on H . Then

there exists a unique x0 ∈ H such that

F(x) = x, x0 ∀x ∈ H. (4.6)

Proof. Assume that F = 0 and let Y = F −1 (0) = Ker F. Then Y = H is

closed (because F is continuous) and a vector space (because F is linear),

so that by Corollary 4.5 there exists z 0 ∈ H such that F(z 0 ) = 1 and

z 0 , z = 0 for all z ∈ Ker F.

On the other hand, for any x ∈ H the element z = x − F(x)z 0 belongs

to KerF since F(z) = F(x) − F(x)F(z 0 ) = 0. Therefore

z 0 , x − F(x)z 0 = 0 for all x ∈ H,

so that

x, z 0 − F(x)z 0 2 = 0

and (4.6) follows setting x0 = z 0 /z 0 2 .

It remains to prove the uniqueness. Let y0 ∈ H be such that

F(x) = x, x0 = x, y0 , x ∈ H.

Then, choosing x = x0 − y0 we find that x0 − y0 2 = 0, so that

x0 = y0 .

67 Introduction to Measure Theory and Integration

tems

Let us discuss the concept of basis in a Hilbert space H , assuming with

no loss of generality that the dimension of H is not finite. We use Kro-

necker’s notation δhk , equal to 1 for h = k and equal to 0 if h = k.

Definition 4.9 (Orthonormal system). A sequence (ek )k∈N ⊂ H is call-

ed an orthonormal system if

eh , ek = δh,k , h, k ∈ N.

∞

|x, ek |2 ≤ x2 . (4.7)

k=0

∞

(ii) For any x ∈ H the series x, ek ek is convergent in H (1) .

k=0

(iii) Equality holds in (4.7) holds if and only if

∞

x= x, ek ek . (4.8)

k=0

Inequality (4.7) is called Bessel inequality and when the equality holds,

Parseval identity.

Proof. (i) Let n ∈ N. Then by (4.5) we have

$ $2

$ n $ n

$ $

$x − x, ek ek $ = x −

2

|x, ek |2 , (4.9)

$ k=0

$ k=0

(ii) Let n, p ∈ N and set

n

sn = x, ek ek .

k=0

∞

(1) A series x of vectors in a Banach space E is said to be convergent if the sequence of the

i

k=0

n

finite sums xi is convergent in E

k=0

68 Luigi Ambrosio, Giuseppe Da Prato and Andrea Mennucci

Then

$ $2

$n+ p $

n+ p

$ $

sn+ p − sn 2 = $ x, ek ek $ = |x, ek |2 .

$k=n+1 $ k=n+1

∞

Since the series |x, ek |2 is convergent by (i), the sequence (sn ) is

k=0

Cauchy and the conclusion follows.

Passing to the limit as n → ∞ in (4.9) we find

$ $2

$ ∞ $ ∞

$ $

$x − x, ek ek $ = x −

2

|x, ek |2 .

$ k=0

$ k=0

tem (ek )k∈N is called complete if

∞

x= x, ek ek ∀x ∈ H.

k=0

that the system (ek ), where

component of the sequence x), so that

n

∞

x − x, ei ei 2 = xk2 → 0.

k=0 k=n+1

bert spaces H , because any choice of an orthonormal basis {v1 , . . . ,vn}

of H induces the linear isometry

n

a → ai ei

i=1

by the parallelogram identity). For similar reasons, 2 is the canonical

69 Introduction to Measure Theory and Integration

this case, the linear map from 2 to H given by

∞

a → ai ei

i=0

system. Then (en ) is complete if and only if the vector space E spanned

by (en ) is dense in H .

finite sums 1N x, ei ei , which all belong to E, therefore E is dense.

Conversely, if E is dense, for any x ∈ H and any ε > 0 we can find a

n

vector z = i=1 ai ei with z − x < ε. By applying Proposition 4.6

twice (first to the vector space spanned by {e1 , . . . , em }, and then to the

vector space spanned by {e1 , . . . , en }) we get

m

n

n

x − x, ei ei ≤ x − x, ei ei ≤ x − ai ei < ε

i=1 i=1 i=1

for m ≥ n. Since ε is arbitrary this proves that the sum of the series is

equal to x.

tion for the existence of a complete orthonormal system. We recall that

a metric space (X, d) is said to be separable if there exists a countable

dense subset D ⊂ X.

tem (ek )k∈N if and only if H , as a metric space, is separable.

arable, because the collection D of finite sums with rational coefficients

of the vectors ek provides a countable dense subset (indeed, the closure

of D contains the finite linear combinations of the vectors ek and then the

whole space).

Conversely, assume that H is separable and let (vn ) be a dense se-

quence. We define e0 = v0 , e1 = vk1 where k1 is the first k > k0 = 0

such that vk is linearly independent from v0 , e2 = vk2 where k2 is the

first k > k1 such that vk is linearly independent from {e0 , e1 }, and so on.

In this way we have built a sequence (ei ) of linearly independent vectors

70 Luigi Ambrosio, Giuseppe Da Prato and Andrea Mennucci

generating the same vector space generated by (vn ). Let S be this vec-

tor space, and let us represent it as ∪n Sn , where Sn is the vector space

generated by {e0 , . . . , en }. Notice that S is dense, as all vn belong to S.

By applying the Gram-Schmidt process to ei , an operation that does not

change the vector spaces Sn generated by the vectors e0 , . . . , en , we can

also assume that (ei ) is an orthonormal system. Then, Proposition 4.13

gives that (ei ) is complete.

In this section we illustrate briefly how the concepts introduced so far

extend to complex vector spaces H . A pre–Hilbert space is a complex

vector space H endowed with a mapping

(ii) x, y = y, x for all x, y ∈ H ;

(iii) αx + βy, z = αx, z + βy, z for all x, y, z ∈ H and α, β ∈ C.

√

It turns out that x := x, x is still a norm, because the Cauchy-

Schwarz inequality still holds. Hence, we can define Hilbert spaces as

those spaces for which the norm induces a complete distance.

The canonical model of n-dimensional Hilbert space is Cn . Given a

measure space (X, F , μ), a basic example of Hilbert space is the space

of F -measurable and square integrable functions f : X → C. In this

context F -measurable means that both the real and the imaginary part of

f are F -measurable. In this space one can define the scalar product

f, g := f (x)g(x) dμ(x)

X

and prove that it induces an Hilbert space structure. The space 2 (C) of

complex-values sequences (z n ) with (|z n |) ∈ 2 (R) is a particular case.

The norm still satisfies the parallelogram identity, so that we can still

prove the existence of orthogonal projections on closed subspaces and its

characterization in terms of

Re x − πY (x), z = 0 ∀z ∈ Y.

Analogously, in Remark 4.4, one has to replace the scalar product by its

real part.

71 Introduction to Measure Theory and Integration

Riesz representation theorem still holds (now for continuous and C-linear

functionals) and the concepts of orthonormal system and complete or-

thonormal system make sense. We have Bessel’s inequality for orthonor-

mal systems and Parseval’s identity for complete orthonormal systems.

Finally, 2 (C) is the canonical model of all separable Hilbert spaces; as

in the real case the correspondence is induced by the choice of a complete

orthonormal system, which provides coordinates of a vector.

We conclude this chapter providing a natural example, considered in

the literature, of non-separable Hilbert space.

Example 4.15 (Quasi-periodic functions). We define the space A P(R)

of almost periodic functions as the closure, with respect to uniform con-

vergence in R, of the vector space generated by complex-valued periodic

functions (of arbitrary period). This space has been extensively studied

by Bochner and Bohr. It is easy to show that the space of almost periodic

functions is not only a vector space (it is a subspace of C(R, C)), but also

an algebra, i.e. f g ∈ A P(R) whenever f, g ∈ A P(R).

If f is almost periodic one can also show (by approximation, taking

into account that this property is linear with respect to f and holds for

periodic functions) that there exists the limit

T

1

M( f ) := lim f (x + t) dt.

T →+∞ 2T −T

The space A P(R) of all almost periodic functions is a pre-Hilbert

space when endowed with the following inner product

f, g A P := M( f ḡ) f, g ∈ A P(R).

eλ (t) = eiλt , t ∈ R.

eλ , eν A P = lim =0 whenever λ = ν,

T →+∞ T i(λ − ν)

of continuum. One can also characterize the (abstract) Hilbert completion

of A P(R) (the so-called Bohr almost periodic functions) and prove that

the system {eλ }λ∈R is complete. For more details see e.g. [4].

72 Luigi Ambrosio, Giuseppe Da Prato and Andrea Mennucci

Exercises

4.1 Let (X, · ) be a normed space, and assume that the norm satisfies the

parallelogram identity (4.2). Set

1 1

x, y := x + y2 − x − y2 , x, y ∈ X.

4 4

Show that ·, · is a scalar product whose induced norm is · . Use this identity

to show that any linear isometry between pre-Hilbert spaces preserves also the

scalar product.

4.2 Show that, in the situation considered in Remark 4.4, π K (x) is characterized

by the property

x − π K (x), z − π K (x) ≤ 0 ∀z ∈ K .

4.3 Let H be a finite dimensional pre-Hilbert space and let {v1 , . . . , vn }, with

n = dim H , be a basis of it. Define

v2 , f 1 v3 , f 1 v3 , f 2

f 1 = v1 , f 2 = v2 − f 1 , f 3 = v3 − f1 − f 2 , ......

f1, f1 f1, f1 f2 , f2

Show that ei = f i / f i is an orthonormal system in H (notice that vk − f k is

the projection of vk on the vector space generated by {v1 , . . . , vk−1 }).

4.4 Let H be a Hilbert space, and let X be an infinite-dimensional separable

subspace. Show that

∞

π X (x) = x, ek ek ∀x ∈ H,

k=0

where(ek ) is any complete orthonormal system of X. Hint: show that the vector

x − k x, ek ek is orthogonal to all vectors of X.

4.5 Let X be the space of functions

f : [0, 1] → R such that f (x) = 0 for at

most countably many x, and x f 2 (x) < +∞. Show that X, endowed with the

scalar product

f, g := f (x)g(x),

x∈[0,1]

is a non-separable Hilbert space.

4.6 Let (ek )k∈N be a complete orthonormal system of H . Show that, for any

x, y ∈ H we have

∞

x, ek y, ek = x, y. (4.10)

k=0

4.7

Show that for any Hilbert space H there exists a family (not necessarily

finite or countable) of vectors {ei }i∈I such that:

(i) ei , e j is equal to 1 if i = j, and to 0 otherwise;

(ii) for any vector x ∈ H there exists a countable set J ⊂ I with

x= x, ei ei .

i∈J

Hint: use Zorn’s lemma.

Chapter 5

Fourier series

function as a superposition, for a suitable choice of the coefficients, of

more “elementary” ones. This problem was first studied by J. Fourier

in the case when the elementary functions are the trigonometric ones

(nowadays we know that many different choices are indeed possible).

Thanks to the theory of L 2 spaces and of Hilbert spaces developed in the

previous chapters, the problem can be formalized by looking for com-

plete orthonormal systems in L 2 made by trigonometric functions.

We shall mostly be concerned with the case of 2π-periodic functions,

but a simple change of scale (see Remark 5.1) easily provides the trans-

lation of the results to arbitrary periods.

We are concerned with the measure space (−π, π), B ((−π, π)), λ ,

where λ is the Lebesgue measure. As usual, we shall write for brev-

ity L 2 (−π, π). We shall denote by ·, · the canonical scalar product

given by

π

f, g := f (x)g(x) dλ = f (x)g(x) dx, f, g ∈ L 2 (−π, π).

(−π,π) −π

system, given by:

1 1 1

√ ; √ cos kx, k ∈ N, k ≥ 1; √ sin kx, k ∈ N, k ≥ 1.

2π π π

(5.1)

It is easy to check with integration by parts that this is an orthonormal sys-

tem in L 2 (−π, π), see Exercise 5.1. Thus, in view of Proposition 4.10,

the series of functions

1 ∞

S(x) = a0 + (ak cos kx + bk sin kx), (5.2)

2 k=1

© Scuola Normale Superiore Pisa 2011

74 Luigi Ambrosio, Giuseppe Da Prato and Andrea Mennucci

π

1

ak := f (y) cos kydy, k ∈ N,

π −π

and π

1

bk := f (y) sin kydy, k ∈ N, k ≥ 1.

π −π

the fact that all terms in the series (5.2) have mean value 0 on (−π, π).

To recognize (5.2) in terms of scalar products, we see that the term a0 /2

corresponds to % &

1 1

f, √ √

2π 2π

and the terms ak cos kx, bk sin kx for k ≥ 1, correspond respectively to

% & % &

1 1 1 1

f, √ cos kx √ cos kx, f, √ sin kx √ sin kx.

π π π π

The Bessel inequality (4.7) reads, in this context, as follows:

1 π

1 2 ∞

| f (x)| dx ≥ a0 +

2

(ak2 + bk2 ). (5.3)

π −π 2 k=1

√

Indeed, it is easily seen that a02 π/2 = ( f, 1/ 2π)2 and, for k ≥ 1,

% &2 % &2

1 1

ak2 π = f, √ cos kx , bk2 π = f, √ sin kx .

π π

vergence of the series S(x) to f (x) in (−π, π). Then, we shall show

that the trigonometric system is complete, so that the inequality above

is actually an equality. As shown in Exercise 5.4 and Exercise 5.5, the

trigonometric system, the trigonometric series and the form of the coef-

ficients become much more nice and symmetric in the complex-valued

Hilbert space L 2 (−π, π); C :

π

1

f (x) = an e inx

where an := f (x)e−inx dx.

n∈Z

2π −π

75 Introduction to Measure Theory and Integration

instead

a0 ∞

π π

f (x) = + ak cos kx + bk sin kx

2 k=1

T T

with

⎧ T

⎪ 1

⎪

⎪ f (x) dx if k = 0;

⎪

⎨ T −T

ak :=

⎪

⎪

⎪

⎪ 1 T π

⎩ f (x) cos kx d x if k > 0,

T −T T

1 T

π

bk := f (x) sin kx dx.

T −T T

For any integer N ≥ 1 we consider the partial sum

1 N

SN (x) := a0 + (ak cos kx + bk sin kx), x ∈ [−π, π).

2 k=1

extend f to the whole of R as a 2π–periodic function '

f , setting

'

f (x + 2πn) = f (x), x ∈ [−π, π), n = ±1, ±2, . . . . (5.4)

l if z ≤ 0;

Hl,r (z) :=

r if z > 0.

'

l +r 1 π

f (x + τ ) − Hl,r (τ ) 1

S N (x) − = sin N + τ dτ.

2 2π −π sin(τ/2) 2

(5.5)

76 Luigi Ambrosio, Giuseppe Da Prato and Andrea Mennucci

Proof. Write

1 N

S N (x) = a0 + (ak cos kx + bk sin kx)

2 k=1

1 π

1 N

= f (y) + (cos kx cos ky + sin kx sin ky) dy

π −π 2 k=1

1 π

1 N

= f (y) + cos k(x − y) dy.

π −π 2 k=1

N

1

2

+ cos kz sin 12 z

k=1

1 1 N

= sin 2 z + sin k + 1

2

z − sin k − 1

2

z

2 k=1

1

= sin N + 12 z .

2

Therefore

1 N

1 sin N + 12 z

+ cos kz = (5.6)

2 k=1 2 sin 12 z

and so,

π

1 sin N + 12 (x − y)

S N (x) = f (y) dy. (5.7)

2π −π sin 12 (x − y)

Now, setting τ = y − x we get

π−x

1 sin N + 12 τ

SN (x) = '

f (x + τ ) dτ

2π −π−x sin 12 τ

π

1 sin N + 12 τ

= '

f (x + τ ) dτ

2π −π sin 12 τ

since the function under the integral is 2π–periodic. Now, integrating

(5.6) over [−π, π] yields

π

1 sin N + 12 τ

1= dτ,

2π −π sin 12 τ

77 Introduction to Measure Theory and Integration

so that

π

1 sin N + 12 τ 1 0 sin N + 12 τ

dτ = 1 = dτ.

π 0 sin 12 τ π −π sin 12 τ

If we multiply both sides by l and r, and subtract the resulting identities

from (5.7), (5.5) follows.

Proposition 5.3 (Dini’s test). Let x, l, r ∈ R be such that

π '

| f (x + τ ) − Hl,r (τ )|

dτ < ∞. (5.8)

−π | sin(τ/2)|

Then the Fourier series of f converges to (l + r)/2 at x.

Dini’s test shows a remarkable property of the Fourier series: while the

specific value of the coefficients ak and bk depends on the behaviour of f

on the whole interval (−π, π), and the same holds for the Fourier series,

the character of the series (convergent or not) at a given point x depends

only on the behaviour of f in the neighbourhood of x: indeed, it is this be-

haviour that influences the integrability of ( '

f (x +τ )− Hl,r (τ ))/ sin(τ/2)

(the only singularity being at τ = 0).

In the next example we provide sufficient conditions for the conver-

gence of the Fourier series.

Example 5.4. Assume that f : [−π, π] → R is L-Lipschitz continuous,

i.e.

| f (x) − f (y)| ≤ L|x − y| ∀ x, y ∈ [−π, π]

for some L ≥ 0. Then Dini’s test is fulfilled at any x ∈ R \ Zπ choosing

l =r = ' f (x), and at any x ∈ Zπ choosing l = ' f (x− ) and r = '

f (x+ ) (1) .

Indeed, with these choices of l and r, the quotient

'

f (x + τ ) − Hl,r (τ )

sin(τ/2)

is bounded in a neighbourhood of 0.

The same conclusions hold when f is α–Hölder continuous for some

α ∈ (0, 1], i.e.

| f (x) − f (y)| ≤ L|x − y|α , ∀ x, y ∈ [−π, π]

for some L ≥ 0: in this case the quotient is bounded from above, near 0,

by the function L|τ |α /| sin(τ/2)| ∼ 2L|τ |α−1 which is integrable.

(1) here we denote by g(x ), g(x ) the left and right limits of g at x

− +

78 Luigi Ambrosio, Giuseppe Da Prato and Andrea Mennucci

show that the Fourier series is pointwise convergent for piecewise C 1

functions f : at continuity points x the series converges to f (x), and at

(jump) discontinuity points x it converges to ( f (x− ) + f (x+ ))/2. How-

ever, the mere continuity of f is not sufficient to ensure pointwise con-

vergence of the Fourier series.

In order to prove Proposition 5.3, we need the following Riemann–

Lebesgue lemma, a tool interesting in itself.

Lemma 5.5. Let (ek ) be an orthonormal system in L 2 (−π, π). Assume

that there exists M > 0 such that ek ∞ ≤ M for all k ∈ N. Then for

any f ∈ L 1 (−π, π) we have

π

lim f (x)ek (x) dx = 0. (5.9)

k→∞ −π

trivial. We have in fact in this case

π

f (x)ek (x) dx = f, ek

−π

and, since by Bessel’s inequality the series ∞ 1 | f, ek | is convergent,

2

we have limk f, ek = 0.

Let us now consider the general case. We know that bounded continu-

ous functions are dense in L 1 (−π, π), hence for any ε > 0 we can find

g ∈ Cb (−π, π) such that f − g1 < ε. As a consequence

| f, ek | = | f − g, ek | + |g, ek | ≤ Mε + |g, ek |

and letting k → ∞ we obtain lim supk | f, ek | ≤ Mε. Since ε is arbit-

rary the proof is achieved.

Proof of Proposition 5.3. Set

'

f (x + τ ) − Hl,r (τ )

g(τ ) := ∈ L 1 (−π, π). (5.10)

sin(τ/2)

Then, writing

1 1 1

sin[(N + )t] = sin N t cos t + cos N t sin t

2 2 2

and applying the Riemann–Lebesgue lemma to g cos t/2 (with e N =

sin N t) and to g sin(t/2) (with e N = cos N t) we obtain from (5.5) that

SN (x) converge to (l + r)/2.

79 Introduction to Measure Theory and Integration

Proposition 5.6. The trigonometric system (5.1) is complete. In particu-

lar equality holds in (5.3) and

π

lim | f (x) − S N f (x)|2 dx = 0 ∀ f ∈ L 2 (−π, π). (5.11)

N →∞ −π

system is dense in L 2 (−π, π). Let H be the closure, in the L 2 (−π, π)

norm, of E, that is easily seen to be still a vector space as well. We will

prove in a series of steps that H contains larger and larger classes of

functions.

Let f : [−π, π] → [0, +∞) be a Lipschitz function, and let us prove

that it belongs to H . Indeed, we know from Example 5.4 that S N → f

pointwise in (−π, π). On the other hand, we already know from Propos-

ition 4.10(ii) that the Fourier series is convergent in L 2 (−π, π) to some

function g (which is indeed, by Exercise 4.4, the orthogonal projection of

f on H ), therefore a subsequence (S N (k) ) is converging λ-almost every-

where to g. It follows that g = f and S N → f in L 2 (−π, π).

If now g : [−π, π] → [0, +∞) is continuous, we know that g can be

monotonically approximated by the Lipschitz functions

gλ (x) := min g(y) + λ|x − y| , x ∈ [−π, π]

y∈[−π,π]

inated convergence theorem. As a consequence also g belongs to H .

Since H is invariant by addition of constants, we proved that all continu-

ous functions in [−π, π] belong to H . We conclude using the density of

this class of functions in L 2 (−π, π).

Remark 5.7. Let f ∈ L 2 (−π, π). Then, the Parseval identity reads as

follows π

1 1 ∞

| f (x)|2 dx = a02 + (ak2 + bk2 ). (5.12)

π −π 2 k=1

For instance, taking f (x) = x one finds the following nice relation

between π and the harmonic series with exponent 2:

∞

1 π2

= .

k=1

k2 6

Notice that (5.11) provides, for any f ∈ L 2 (−π, π), the existence of

a subsequence N (k) such that SN (k) f (x) → f (x) for L 1 –a.e. x ∈

80 Luigi Ambrosio, Giuseppe Da Prato and Andrea Mennucci

This problem, surprisingly difficult, has been solved by L.Carleson only

in 1966, see [1].

Finally, we notice that there exist other important examples of com-

plete orthonormal systems, besides the trigonometric one. Some of them

are illustrated in the exercises.

We conclude by studying ∞ the uniform convergence of the Fourier series.

We recall that a series 0 xn in a Banach

space E is said to be totally

convergent if the numerical series ∞ 0 x n is convergent. Using the

completeness of E it is not difficult to check (see Exercise 5.2) that any

totally convergent series is convergent (as we have seen in the previous

chapter, thismeans that the finite sums 0N xn converge in E to a vector,

denoted by ∞ 0 x n ).

Now we show that the Fourier series of C 1 functions f with f (−π) =

f (π) are uniformly convergent: the proof highlights two important prin-

ciples, whose validity extend to higher order derivatives (see Exercise

5.9) and to Fourier transforms: first, the Fourier coefficients of the deriv-

ative of a function are linked to the Fourier coefficients of the function;

second, higher regularity of f implies a faster decay of the Fourier coef-

ficients, and therefore a convergence in stronger norms of the Fourier

series.

f (π). Then the Fourier series of f converges uniformly to f in [−π, π].

f in (5.4) is Lipschitz continuous, so that by

Proposition 5.3 we have

1 ∞

f (x) = a0 + (ak cos kx + bk sin kx) ∀x ∈ [−π, π].

2 k=1

∞

(ak cos kx + bk sin kx) x ∈ [−π, π],

k=1

π π

1 1

ak = f (y) cos ky dy, bk = f (y) sin ky dy. (5.13)

π −π π −π

81 Introduction to Measure Theory and Integration

Notice that a0 = 0 because f (−π) = f (π) implies that the mean value

of f on (−π, π) is 0. As easily checked through an integration by parts

(using again the fact that f (−π) = f (π)), we have ak = kbk and bk =

−kak . Then, by the Bessel inequality it follows that

∞ ∞ π

2 2 1

k 2

(ak2 + bk2 ) = (ak ) + (bk ) ≤ | f (x)|2 dx < ∞. (5.14)

k=1 k=1

π −π

therefore uniformly convergent. We have indeed

∞

max |ak cos kx + bk sin kx|

x∈[−π,π]

k=1

∞

≤ (|ak | + |bk |)

k=1

1/2 1/2

∞ ∞

≤ k 2 (|ak | + |bk |)2 k −2 < ∞.

k=1 k=1

Exercises

5.1 Check that the trigonometric system (5.1) is orthogonal.

5.2 Let E be a Banach space. Show that any totally convergent series n xn ,

with (xn ) ⊂ E, is convergent. Moreover,

$∞ $ ∞

$ $

$ xn $ ≤ xn . (5.15)

n=0 n=0

N M

Hint: estimate 0 xn − 0 xn with the triangle inequality.

5.3 Prove that the following systems on L 2 (0, π) are orthonormal and complete

(

2

sin kx, k ≥ 1,

π

and (

1 2

√ ; cos kx, k ≥ 1.

π π

5.4 Show that

1

ek (x) := √ eikx , k∈Z

2π

is a complete orthonormal system in L 2 ((−π, π); C). Hint: in order to show

completeness, consider first the cases where f is real-valued or i f is real-valued.

82 Luigi Ambrosio, Giuseppe Da Prato and Andrea Mennucci

5.5 Let (ek ) be as in Exercise 5.4. Using the Parseval identity show that

π 2

π 1

| f (x)|2 dx = f (x)e−ikx dx ∀ f ∈ L 2 ((−π, π); C) .

−π 2π k∈Z −π

N

5.6 Let f ∈ L 2 ((−π, π); C) and let S N f = −N f, ek ek , with N ≥ 1, be the

Fourier sums corresponding to the complete orthonormal system in Exercise 5.4.

Show that

π

f (x) − S N f (x) = G N (x − y)( f (x) − f (y)) dy

−π

with

sin((N + 1/2)z)

G N (z) := .

sin(z/2)

Hint: use the identities 0N eiky = 0N (eiy )k = (ei(N +1)z − 1)/(eiy − 1).

−4

5.7 Arguing as in Remark 5.7, show that ∞ 1 k = π 4 /90. Hint: consider the

function f (x) = x . 2

5.8 Chebyschev polynomials Cn in L 2 (a, b), with (a, b) bounded interval, are

the ones obtained by applying the Gram-Schmidt procedure to the vectors 1, x,

x 2 , x 3 , . . .. They are also called Legendre polynomials when (a, b) = (−1, 1).

(a) Compute explicitly the first three Legendre polynomials.

(b) Show that {Cn }n∈N is a complete orthonormal system. Hint: use the density

of polynomials in C([a, b]).

(c)

Show that the n-th Legendre polynomial Pn is given by

(

2n + 1 1 d n 2

Pn (x) = (x − 1)n .

2 2n n! d n x

5.9 Let f ∈ C m [−π, π]; C with f ( j) (−π) = f ( j) (π) for all j = 0, . . . , m −

1. Show that ck(m) , the k-th Fourier coefficient of f (m) is linked to ck , the k-th

Fourier coefficient of f , by ck(m) = (ik)m ck .

Chapter 6

Operations on measures

that will be widely used in the following chapters. We will study the

product of measures (both finite and countable), the product of measures

by L 1 functions, the Radon–Nikodým theorem, the convergence of meas-

ures on the real line R and the Fourier transform.

Let (X, F ) and (Y, G ) be measurable spaces. Let us consider the product

space X ×Y . A set of the form A× B, where A ∈ F and B ∈ G , is called

a measurable rectangle. We denote by R the family of all measurable

rectangles. R is obviously a π–system. The σ –algebra generated by R

is called the product σ –algebra of F and G . It is denoted by F × G .

Given σ –finite measures μ in (X, F ) and ν in (Y, G ), we are going to

define the product measure μ × ν in (X × Y, F × G ).

First, for any E ∈ F × G we define the sections of E, setting for

x ∈ X and y ∈ Y ,

Then the following statements hold.

(ii) The functions

x → ν(E x ), y → μ(E y ),

ν(E x ) dμ(x) = μ(E y ) dν(y). (6.1)

X Y

© Scuola Normale Superiore Pisa 2011

84 Luigi Ambrosio, Giuseppe Da Prato and Andrea Mennucci

(x, y) ∈ X × Y we have

B if x ∈ A A if y ∈ B

Ex = E =

y

∅ if x ∈ / A, ∅ if y ∈ / B.

Consequently,

Now, let D be the family of all E ∈ F × G such that (i) is fulfilled.

Clearly, D is a Dynkin system including the π–system R . Therefore, (i)

follows from the Dynkin theorem.

Now, if both μ are ν are finite, let D be the family of all E ∈ F ×

G such that (ii) is fulfilled. Clearly, D is a Dynkin system including

the π–system R (stability under complement follows by the identities

ν((E c )x ) = ν(Y ) − ν(E x ) and μ((E c ) y ) = μ(X) − μ(E y )). Therefore,

(ii) follows from the Dynkin theorem as well.

In the general σ –finite case we argue by approximation: if E ∈ F ×G ,

F X h ↑ X and G Yh ↑ Y satisfy μ(X h ) < ∞ and ν(Yh ) < ∞, we

define the finite measures

measurable for all E ∈ E × G . Passing to the limit as h → ∞ in the

identity

νh (E x ) dμ(x) = νh (E x ) dμh (x) = μh (E y ) dνh (y)

Xh X Y

= μh (E y ) dν(y)

Yh

unique measure λ in (X × Y, F × G ) satisfying

is finite (resp. a probability measure) if both μ and ν are finite (resp.

probability measures).

85 Introduction to Measure Theory and Integration

λ(E) = ν(E x ) dμ(x) = μ(E y ) dν(y), E ∈ F × G . (6.2)

X Y

ate to check that λ is a measure on (X ×Y, F ×G ). In the case of σ –finite

measures, uniqueness follows by the the coincidence criterion for posit-

ive measures stated in Proposition 1.15: indeed, the value of the product

measure is uniquely determined on the π–system K made by rectangles

A × B with μ(A) and ν(B) finite, and thanks to the σ –finiteness assump-

tion there exist E n = An × Bn ∈ K with E n ↑ X × Y .

μ(E y ) = 0 for ν–almost all y ∈ Y and ν(E x ) = 0 for μ–almost all

x ∈ X.

Proof. It follows directly from (6.2).

We consider here the measure space (X × Y, F × G , λ), where λ =

μ × ν and μ and ν are σ –finite.

Theorem 6.4 (Fubini–Tonelli). Let F : X ×Y → [0, +∞] be a F ×G –

measurable map. Then the following statements hold.

(i) For any x ∈ X (respectively y ∈ Y ), the function y → F(x, y) (re-

spectively x → F(x, y)) is G –measurable (resp. F –measurable).

(ii) The functions

x → F(x, y) dν(y), y → F(x, y) dμ(x)

Y X

(iii) We have

) *

F(x, y) dλ(x, y) = F(x, y) dν(y) dμ(x)

X×Y X Y

) * (6.3)

= F(x, y) dμ(x) dν(y).

Y X

so (i), (ii) and (iii) follow from Proposition 6.1. Consequently, by lin-

earity, (i)–(iii) hold when F is a simple function. If F is general, it

86 Luigi Ambrosio, Giuseppe Da Prato and Andrea Mennucci

simple functions and then pass to the limit using the monotone conver-

gence theorem.

Remark 6.5 (The definition of integral revisited). We noticed in Re-

mark 2.13 that the integral of nonnegative functions can also be defined

without using the archimedean integral, by considering minorant simple

functions. If we follow this approach, the identity that we used to define

the integral can be derived by applying the Fubini–Tonelli theorem to the

subgraph

E := {(x, t) ∈ X × R : 0 < t < f (x)} ,

with the product measure μ × λ, λ being the Lebesgue measure. Indeed,

it is not difficult to show that E is F × B (R)–measurable whenever f

is F -measurable, so that

∞ ∞

μ({ f > t}) dt = μ(E t ) dt = μ × λ(E) = λ(E x ) dμ(x)

0

0 X

= f (x) dμ(x).

X

extended real valued maps can be considered:

Corollary 6.6. Let F : X × Y → [−∞, +∞] be a F × G –measurable

map. Then F is μ × ν–integrable if and only if:

(i) for μ–a.e. x ∈ X the

function y → F(x, y) is ν–integrable;

(ii) the function x → Y |F(x, y)| dν(y) is μ–integrable.

If these conditions hold, we have

) *

F(x, y) d(μ × ν)(x, y) = F(x, y) dν(y) dμ(x). (6.4)

X×Y X Y

Notice that, strictly speaking, the function in (ii) is defined only out of

a μ–negligible set; by μ–integrability of it we mean μ–integrability of

any F –measurable

extension of it (for instance we may set it equal to 0

wherever Y |F(x, y)| dν(y) is not finite).

Remark 6.7 (Finite products). The previous constructions extend with-

out any difficulty to finite products of measurable spaces (X i ,F i ). Name-

ly, the product σ -algebra F := × n

i F i in the cartesian product X :=

× n

1 X i is generated by the rectangles

{A1 × · · · × An : Ai ∈ F i , 1 ≤ i ≤ n} .

87 Introduction to Measure Theory and Integration

spect to the product measure μ = × n

1 μi are defined by

F(x) dμ(x) = · · · F(x1 , . . . , xn ) dμn (xn ) · · · dμ2 (x2 ) dμ1 (x1 ),

X X1 X2 Xn

and any permutation in the order of the integrals would produce the same

result. Finally, the product measure is uniquely determined, in the σ –

finite case, by the product rule

n

μ (A1 × · · · × An ) = μi (Ai ) Ai ∈ F i , 1 ≤ i ≤ n.

i=1

It is also not hard to show that the product is associative, both at the level

of σ –algebras and measures, see Exercise 6.1.

This section is devoted to the construction, the characterization and the

main properties of the Lebesgue measure in Rn , i.e. the length measure

in R1 , the area measure in R2 , the volume measure in R3 and so on.

Definition 6.8 (Lebesgue measure in Rn ). Let us consider the measure

space (R, B (R), L 1 ), where L 1 is the Lebesgue measure on (R,B (R)).

n

Then, we can define the measure space (Rn , × B(R), L

i=1

n

) with L n :=

× n

1 L 1 . We say that L n is the Lebesgue measure on Rn .

Since (see Exercise 6.2)

n

B (Rn ) = × B (R),

i=1

ting its construction as a product measure (indeed, there exist alternative

and direct constructions of L n independent of the concept of product

measure).

As in the one-dimensional case, we will keep using the classical nota-

tion

f (x) dx := f 1 E dL n E ∈ B (Rn ), f : Rn → R Borel

E Rn

in more than one independent variable).

88 Luigi Ambrosio, Giuseppe Da Prato and Andrea Mennucci

played by the dimensional constant ωn = L n (B(0, 1)) (so that ω1 = 2,

ω2 = π, ω3 = 4π/3,. . . ). A general formula for the computation of ωn

can be given using Euler’s function:

∞

(z) := t z−1 e−t dt z > 0.

0

Indeed, we have

π n/2

ωn = . (6.5)

( n2 + 1)

A proof of this formula, based on the identity (z + 1) = z(z) (which

gives also (n) = (n − 1)! for n ≥ 1 integer) is proposed in Exercise 6.7.

We are going to show that L n is invariant under translations and rota-

tions. For this we need some notation. For any a ∈ Rn and any δ > 0 we

set

Q(a, δ) : = x ∈ Rn : ai ≤ xi < ai + δ, ∀ i = 1, . . . , n

n

= ×[a , a + δ).

i=1

i i

the family

It is also clear that each box in Q N is Borel and that its Lebesgue measure

is 2−n N . Now we set

∞

Q = Q N.

N =0

It is clear that all boxes in Q N are mutually disjoint and that their union

is Rn . Furthermore, if N < M, Q ∈ Q N and Q ∈ Q M , then either

Q ⊂ Q or Q ∩ Q = ∅. If follows that if Q, Q ∈ Q intersect, then

one of the two sets is contained in the other one.

Lemma 6.9. Let U be a non empty open set in Rn . Then U is the disjoint

union of boxes in Q .

Proof. For any x ∈ U , let Q x ∈ Q be the biggest box such that x ∈

Q x ⊂ U . This box is uniquely defined: indeed, fix an x; for any m there

is only one box Q x,m ∈ Q m such that x ∈ Q x,m ; moreover, since U is

open, for m large enough Q x,m ⊂ U ; we can then define Q x = Q x,m̃

where m̃ is the smallest integer m such that Q x,m ⊂ U .

89 Introduction to Measure Theory and Integration

Q x = Q y or Q x ∩ Q y = ∅; indeed, if we suppose that Q x ∩ Q y = ∅,

then one of the two boxes is contained in the other, say Q x ⊂ Q y . This

leads to x ∈ Q x ⊂ Q y ⊂ U , contradicting the definition of Q x unless

Qx = Q y.

From Lemma 6.9 it follows easily that the σ –algebra generated by Q

coincides with B (Rn ).

Proposition 6.10 (Properties of the Lebesgue measure). The follow-

ing statements hold.

(i) (translation invariance) For any E ∈ B (Rn ), x ∈ Rn we have

L n (E + x) = L n (E), where

E + x = {y + x : y ∈ Rn }.

μ(K ) < ∞ for any compact set K , there exists a number Cμ ≥ 0

such that

have

L n (R(E)) = L n (E) ∀ E ∈ B (Rn ).

(iv) For any T ∈ L(Rn ; Rn ) we have

the π–system of boxes; thanks to Lemma 6.9, this π–system generates

the Borel σ –algebra, so that the coincidence criterion for measures stated

in Proposition 1.15 gives that L n (E) = L n (E + x) for all Borel sets E.

Let us prove (ii). Let Q 0 ∈ Q 0 and set Cμ = μ(Q 0 ). Since Q 0 is

included in a compact set, we have Cμ < ∞. Since μ is translation

invariant, all boxes in Q 0 have the same μ measure. Now, let Q N ∈ Q N .

Since Q 0 is the disjoint union of 2−n N boxes in Q N which have all the

same μ measure (again by the translation invariance) we have that

μ(Q N ) = Cμ L n (Q N ).

So, Lemma 6.9 gives that μ(A) = Cμ L n (A) for any open set, and there-

fore for any Borel set.

90 Luigi Ambrosio, Giuseppe Da Prato and Andrea Mennucci

ure μ(E) = L n (R(E)) is easily seen to be translation invariant (because

R(E +z) = R(E)+ R(z)), hence L n (R(E)) = CL n (E) for some cont-

ant C. We can identify the constant C choosing E equal to the unit ball,

finding C = 1.

√ (iv). By polar decomposition we can write T =

Finally, let us prove

R ◦ S with S = T ∗ ◦ T symmetric and nonnegative definite, and R

orthogonal. Notice that on one hand |det T | = det S (because det R ∈

{−1, 1}) and on the other hand, by (iii) we have

L n (T (E)) = L n (R(S(E))) = L n (S(E)).

Hence, it suffices to show that L n (S(E)) = det SL n (E) for any sym-

metric and nonnegative definite matrix S. By the translation invariance of

L n (S(E)) there exists a constant C such that L n (S(E)) = CL n (E) for

any Borel set E. In this case we can identify the constant C choosing as

E a suitable n-dimensional cube: denoting by (ei ) an orthonormal basis

of eigenvectors of S, with eigenvalues αi ≥ 0 (whose product is det S),

choosing

n n

E= ci ei : |ci | ≤ 1 , so that S(E) = αi ci ei : |ci | ≤ 1 ,

i=1 i=1

n n

We are here concerned with a sequence (X i , F i , μi ), i = 1, 2, . . ., of

probability spaces. We denote by X the product space

∞

X := ×X

k=1

k

We are going to define a σ –algebra of subsets of X. Let us first in-

troduce the cylindrical sets in X. A cylindrical set In,A is a set of the

following form

In,A = {x : (x1 , . . . , xn ) ∈ A},

where n ≥ 1 is an integer and A ∈ × n

1 F k . This representation is not

unique; however, since

∞

In,A = A × ×

k=n+1

Xk

91 Introduction to Measure Theory and Integration

c

In,A = In,Ac ,

so that C is stable under complement. If In,A and Im,B belong to C we can

assume by the previous remarks that m = n, so that In,A ∪ In,B = In,A∪B

belongs to C . Therefore C is an algebra.

The σ –algebra generated by C is called the product σ –algebra of the

σ –algebras F i . It is denoted by

∞

×F

k=1

k.

n

μ(In,A ) = ×μ

k=1

k (A), In,A ∈ C . (6.6)

This definition is well posed, again thanks to the fact that In,A = Im,B

with n < m when B = A × X n+1 × · · · × X m . It is easy to check that μ is

additive: indeed, if In,A and Im,B are disjoint, using the previous remark

we can assume with no loss of generality that n = m, and therefore the

equality μ(In,A ∪ In,B ) = μ(In,A ) + μ(In,B ) follows by

n n n

×μ

k=1

k (A ∪ B) = ×μ

k=1

k (A) + ×μ

k=1

k (B).

and therefore, by the Carathéodory theorem, it has a unique extension to

a probability measure on (X, × ∞

1 F k ) that is denoted by

∞

×μ k=1

k

of μ at ∅, or equivalently the implication

∞

(E j ) ⊂ C , (E j ) nonincreasing, μ(E j ) ≥ ε0 > 0 ⇒ E j = ∅.

n=1

(6.7)

In the following we are given a nonincreasing sequence (E j ) on C such

that μ(E j ) ≥ ε0 > 0. To prove (6.7), we need some more notation. We

set

∞

X (n) = ×

k=n+1

Xk

92 Luigi Ambrosio, Giuseppe Da Prato and Andrea Mennucci

sider the sections of E j defined as

E j (x1 ) = x (1) ∈ X (1) : (x1 , x (1) ) ∈ E j , x1 ∈ X 1 .

μ(E j ) = μ(1) (E j (x1 )) dμ1 (x1 ) ≥ ε0 > 0, j ≥ 1. (6.8)

X1

Set now

+ ε0 ,

F j,1 = x1 ∈ X 1 : μ(1) (E j (x1 )) ≥ , j ≥ 1.

2

Then F j,1 is not empty and by (6.8) we have

(1)

μ(E j ) = μ (E j (x1 )) dμ1 (x1 ) + μ(1) (E j (x1 )) dμ1 (x1 )

F j,1 c

F j,1

ε0

≤ μ1 (F j,1 ) + .

2

Therefore μ1 (F j,1 ) ≥ ε0 /2 for all j ≥ 1.

Obviously (F j,1 ) is a nonincreasing sequence of subsets of X 1 . Since

μ

1∞is σ –additive, it is continuous at 0. Therefore, there exists α1 ∈

1 F j,1 and so

ε0

μ(1) (E j (α1 )) ≥ , j ≥ 1. (6.9)

2

Consequently we have

E j (α1 ) = ∅, j ≥ 1. (6.10)

E j (α1 , x2 ) = x (2) ∈ X (2) : (α1 , x2 , x (2) ) ∈ E j , j ≥ 1.

(1)

μ (E j (α1 )) = μ(2) (E j (α1 , x2 )) dμ2 (x2 ). (6.11)

X2

We set

+ ε0 ,

F j,2 = x2 ∈ X 2 : μ(2) (E j (α1 , x2 )) ≥ , j ≥ 1.

4

93 Introduction to Measure Theory and Integration

ε0 (1)

≤ μ (E j (α1 )) = μ(2) (E j (α1 , x2 )) dμ2 (x2 )

2 X2

(2)

= μ (E j (α1 , x2 )) dμ2 (x2 ) + μ(2) (E j (α1 , x2 )) dμ2 (x2 )

F j,2 [F j,2 ]c

ε0

≤ μ2 (F j,2 ) + .

4

Therefore μ2 (F j,2 ) ≥ ε0 /4. Since (F j,2 ) is nonincreasing and μ2 is σ –

additive, there exists α2 ∈ X 2 such that

ε0

μ2 (E j (α1 , α2 )) ≥ , j ≥ 1,

4

and consequently we have

E j ((α1 , α2 )) = ∅. (6.12)

such that

E j (α1 , . . . , αn ) = ∅, for all j, n ≥ 1, (6.13)

where

E j (α1 , . . . , αn ) = x ∈ X (n) : (α1 , . . . , αn , x (n) ) ∈ E j , j, n ≥ 1.

SinceE j are cylindrical, this easily implies that (αn ) ∈ ∞ 1 E j . There-

fore ∞ 1 E j is not empty, as required.

Exercises

6.1 Let (X 1 , F 1 ), (X 2 , F 2 ), (X 3 , F 3 ) be measurable spaces. Show that

(F 1 × F 2 ) × F 3 = F 1 × (F 2 × F 3 ).

μ1 × (μ2 × μ3 ).

6.2 Let us consider the measurable spaces (R, B (R)), (Rn , B (Rn )). Show that

n

B (Rn ) = × B (R).

i=1

6.3 Let L n be the σ –algebra of Lebesgue measurable sets in Rn . Show that

L 1 × L 1 L 2.

94 Luigi Ambrosio, Giuseppe Da Prato and Andrea Mennucci

Hint: to show the strict inclusion, consider the set E = F × {0}, where F ⊂ R

is not Lebesgue measurable.

6.4 Show that the product σ –algebra is also generated by the family of products

× ∞

1 Ai where Ai ∈ F i and Ai = X i only for finitely many i.

6.5 Writing properly L 3 as a product measure, compute L 3 (T ), where

+ ,

T = (x, y, z) : x 2 + y 2 < r 2 and y 2 + z 2 < r 2 .

it to show that ω2k = π k /k! and ω2k+1 = 2k+1 π k /(2k + 1)!!, where (2k + 1)!!

is the product of all odd integers between 1 and 2k + 1. Hint: use the Fubini–

Tonelli theorem.

√

6.7 Use Exercise 6.6 and the identities (1) = 1, (1/2) = π and (z + 1) =

z(z) to show (6.5).

6.8 Let μ and ν be σ –finite measures on (X, F ) and (Y, G ) respectively and let

λ = μ × ν. Let E = (F × G )λ , as defined in Definition 1.12, and let ζ be

the extension of λ to E . Show this version of the Fubini–Tonelli Theorem 6.4:

for any E –measurable function F : X × Y → [0, +∞] the following statements

hold:

(i) for μ–a.e. x ∈ X thefunction y → F(x, y) is ν–measurable;

(ii) the function x → F(x, y) dν(y), set to zero at all points x such that

Y

y →

F(x, y) is not ν–integrable,

is μ–measurable;

(iii) X Y F(x, y) dμ(x) dμ(y) = X×Y F(x, y) dζ(x, y).

6.9 Using the notation of the Fubini-Tonelli theorem, let X = Y = [0, 1],

F = G = B ([0, 1]), let μ be the Lebesgue measure and let ν be the counting

measure.

Let D = {(x,

x) y: x ∈ [0, 1]} be the diagonal in X × Y ; check that

X ν(D x ) dμ(x) = Y μ(D ) dν(y).

6.10

Let ( f h ) be converging to f in L 1 (X × Y, μ × ν). Show the existence

of a subsequence h(k) such that f h(k) (x, ·) converge to f (x, ·) in L 1 (Y, ν) for

μ–a.e. x ∈ X. Show by an example that, in general, this property is not true for

the whole sequence.

In this section we study some relations between measures in a measurable

space (X, F ).

The first (immediate) one is the order relation: viewing measures as

set functions, we say that μ ≤ ν if μ(B) ≤ ν(B) for all B ∈ F . It is not

hard to see that the space of measures endowed with this order relation is

a complete lattice (see Exercise 6.13): in particular

95 Introduction to Measure Theory and Integration

and

a function by a measure.

Definition 6.12. Let μ be a measure in (X, F ) and let f ∈ L 1 (X, F , μ)

be nonnegative. We set

f μ(B) := f dμ ∀B ∈ F . (6.14)

B

of the integral, that f μ is a finite measure. Furthermore, the following

simple rule provides a way for the computation of integrals with respect

to f μ:

h d( f μ) = h f dμ, (6.15)

X X

whenever h is F –measurable and nonnegative (or h f is μ–integrable,

see Exercise 6.11). It suffices to check the identity (6.15) on character-

istic functions h = 1 B (and in this case it reduces to (6.14)), and then

for simple functions. The monotone convergence theorem then gives the

general result.

Notice also that, by definition, f μ(B) = 0 whenever μ(B) = 0. We

formalize this relation between measures in the next definition.

Definition 6.13 (Absolute continuity). Let μ, ν be measures in F . We

say that ν is absolutely continuous with respect to μ, and write ν # μ, if

all μ–negligible sets are ν–negligible, i.e.

μ(A) = 0 ⇒ ν(A) = 0.

For finite measures, the absolute continuity property can also be given in

a (seemingly) stronger way, see Exercise 6.14.

The following theorem shows that absolute continuity of ν with respect

to μ is not only necessary, but also sufficient to ensure the representation

ν = f μ.

Theorem 6.14 (Radon–Nikodým). Let μ and ν be finite measures on

(X, F ) such that ν # μ. Then there exists a unique nonnegative ρ ∈

L 1 (X, F , μ) such that

ν(E) = ρ(x) dμ(x) ∀E ∈ F . (6.16)

E

96 Luigi Ambrosio, Giuseppe Da Prato and Andrea Mennucci

We are going to show a more general result, whose statement needs two

more definitions. We say that a measure μ is concentrated on a F –

measurable set A if μ(X \ A) = 0. For instance, the Dirac measure δa

is concentrated on {a}, and the Lebesgue measure in R is concentrated

on the irrational numbers, and f μ is concentrated (whatever μ is) on

{ f = 0}.

Definition 6.15 (Singular measures). Let μ, ν be measures in (X, F ).

We say that μ is singular with respect to ν, and write μ ⊥ ν, if there exist

disjoint F –measurable sets A, B such that μ is concentrated on A and

ν is concentrated on B.

The relation of singularity, as stated, is clearly symmetric. However, it

can also be stated in a (seemingly) asymmetric way, by saying that μ ⊥ ν

if μ is concentrated on a ν–negligible set A (just take B = Ac to see the

equivalence with the previous definition).

Example 6.16. Let X = R, F = B (R), μ the Lebesgue measure on

(X, F ) and ν = δx0 the Dirac measure at x0 ∈ R. Then μ is concentrated

on A := R \ {x0 }, whereas ν is concentrated on B := {x0 }. So, μ and ν

are singular.

Theorem 6.17 (Lebesgue). Let μ and ν be measures on (X, F ), with μ

σ –finite and ν finite. Then the following assertions hold.

(i) There exist two unique finite measures νa and νs on (X, F ) such that

ν = νa + νs , νa # μ, νs ⊥ μ. (6.17)

(6.17) is called the Lebesgue decomposition of ν with respect to μ. The

function ρ in (ii) is called the density of ν with respect to μ and it is

sometimes denoted by

dν

ρ: = .

dμ

Radon–Nikodým theorem simply follows by the Lebesgue theorem noti-

cing that, in the case when ν # μ the uniqueness of the decomposition

gives νa = ν and νs = 0, so that ν = νa = ρμ.

Proof of Theorem 6.17. . We assume first that also μ is finite. Set

λ = μ + ν and notice that, obviously, μ # λ and ν # λ. Define a linear

functional F on L 2 (X, F , λ) setting

F(ϕ) := ϕ(x) dν(x), ϕ ∈ L 2 (X, F , λ).

X

97 Introduction to Measure Theory and Integration

tinuous) since, in view of the Hölder inequality, we have

|F(ϕ)| ≤ |ϕ(x)| dν(x) ≤ |ϕ(x)| dλ(x) ≤ [λ(X)]1/2 ϕ L 2 (X,F ,λ) .

X X

L 2 (X, F , λ) such that

ϕ(x) dν(x) = f (x)ϕ(x) dλ(x) ∀ϕ ∈ L 2 (X, F , λ). (6.18)

X X

ν(E) = f (x) dλ(x) ≥ 0,

E

ticular, both μ–a.e. and ν–a.e. In the sequel we shall assume, possibly

modifying f in a λ–negligible set, and preserving the validity of (6.18),

that f ≥ 0 everywhere. By (6.18) it follows

ϕ(x)(1− f (x)) dν(x) = f (x)ϕ(x) dμ(x) ∀ϕ ∈ L 2 (X, F , λ).

X X

(6.19)

Setting ϕ = 1 E , with E ∈ F , yields

(1 − f (x)) dν(x) = f (x) dμ(x) ≥ 0

E E

ν–a.e. x ∈ X. Set now

and ν = νa + νs .

Then, setting in (6.19) ϕ = 1 B , we see that

μ(B) ≤ f dμ = (1 − f ) dν = 0

B B

98 Luigi Ambrosio, Giuseppe Da Prato and Andrea Mennucci

μ.

We show now that the existence of ρ such that νa = ρμ. Heuristically,

this can be obtained choosing in (6.19) the function ϕ = (1 − f )−1 1 E∩A ,

but since this function need not to be in L 2 (X, F , λ) we argue by ap-

proximation: set in (6.19)

(1− f n+1

(x)) dν(x) = [ f (x)+ f 2 (x)+· · ·+ f n+1 (x)] dμ(x).

E∩A E∩A

f (x)

ρ(x) := lim [ f (x) + f 2 (x) + · · · + f n+1 (x)] = , x ∈ A.

n→∞ 1 − f (x)

νa (E) = ν(E ∩ A) = ρ(x) dμ(x) = ρ(x) dμ(x).

E∩A E

gives that νa = ρμ.

Now we consider the case when μ is σ –finite. In this case there exists

a sequence of pairwise disjoint sets (X n ) ⊂ F such that

∞

X= Xn with μ(X n ) < ∞.

n=0

For any n ∈ N let νn = (νn )a + (νn )s = ρn μn + (νn )s be the Lebesgue

decomposition of νn with respect to μn . Now, set

∞

∞

∞

νa := (νn )a , νs := (νn )s , ρ := ρn 1 X n .

n=0 n=0 n=0

Since

k

k

(νn )a + (νn )s = νn = 1∪k X n ν,

0

n=0 n=0

99 Introduction to Measure Theory and Integration

measures, and ν = νa + νs . Moreover, for any E ∈ F we have, using

the monotone convergence theorem,

∞ ∞

νa (E) = (νn )a (E) = ρn (x) dμn (x)

n=0 n=0 E

∞

= ρn (x)1 X n dμ(x) = ρ(x) dμ(x).

E n=0 E

to μ. Finally, it is easy to see that νs ⊥ μ, because if we denote by

Bn ∈ F μ–negligible sets where (νn )s are concentrated, we have that νs

is concentrated on the μ–negligible set ∪n Bn .

Finally, let us prove the uniqueness of νa and νs : assume that

ν = νa + νs = νa + νs

and let B, B be μ–negligible sets where νs and νs are respectively con-

centrated. Then, as B ∪ B is μ–negligible and both νs and νs are con-

centrated on B ∪ B , for any set E ∈ F we have

The interested reader can have a look at a different proof of The-

orem 6.17 independent of Hilbert space theory, and based on three aux-

iliary variational principles; it turns out that the density f of ν a is the

maximizer in the problem

sup f dμ : f μ ≤ ν . (6.20)

X

Remark 6.18. If μ is not σ –finite then the Lebesgue decomposition does

not hold in general. Consider for instance the case when X = [0, 1],

F = B ([0, 1]), μ is the counting measure and ν = L 1 . Then ν # μ

(as the only μ–negligible set is the empty set) but there is no ρ : [0, 1] →

[0, ∞] satisfying

ν(E) = ρ dμ.

E

Indeed, this function should be μ-integrable and therefore it can be non-

zero only in a set at most countable.

100 Luigi Ambrosio, Giuseppe Da Prato and Andrea Mennucci

Exercises

6.11 Show that a F –measurable function h is f μ–integrable if and only if f h

is μ–integrable.

6.12 Show that ( f μ)∨(gμ) = ( f ∨g)μ and ( f μ)∧(gμ) = ( f ∧g)μ whenever

f, g ∈ L 1 (X, F , μ) are nonnegative.

6.13 Let {μi }i∈I be a family of measures in (X, F ). Show that

∞

μ(B) := inf μi(k) (Bk ) : i : N → I,

k=0

(Bk ) countable F –measurable partition of B

is the greatest lower bound of the family {μi }i∈I , i.e. μ ≤ μi for all i ∈ I and it

is the largest measure with this property. Show also that

∞

μ(B) := sup μi(k) (Bk ) : i : N → I,

k=0

(Bk ) countable F –measurable partition of B

is the smallest upper bound of the family {μi }i∈I , i.e. μ ≥ μi for all i ∈ I and

it is the smallest measure with this property.

6.14 Let μ, ν be measures in (X, F ) with ν finite. Then ν # μ if and only if

for all ε > 0 there exists δ > 0 such that

6.16 Assume that σ ≤ μ + ν and that σ ⊥ ν. Show that σ ≤ μ.

6.17

Prove Theorem 6.14 in the following two steps:

(1) Show that a maximizer f in (6.20) exists.

(2) Setting σ = ν − f μ ≥ 0, σ satisfies

6.18

Let μ, σ be nonnegative finite measures satisfying (6.21). Show that

σ ⊥ μ. Hint: first show that

done), show that

101 Introduction to Measure Theory and Integration

+ ,

ξh := sup μ(B) : F B ⊆ A, 1 B μ ≥ 2h 1 B σ

Finally choose t = 2−h , with h sufficiently large so that ξh < μ(A) and B =

A \ Bh , to get a contradiction with (6.21).

Let (X, F ) be a measurable space. In this section we see how the concept

of measure, still viewed as a set function, can be extended dropping the

nonnegativity assumption on A → μ(A).

∞ We recall that sequence (E i ) ⊂ F of pairwise disjoint sets such that

0 E i = E is called a countable F –measurable partition of E.

Definition 6.19 (Signed measures and total variation). A signed mea-

sure μ in (X, F ) is a map μ : F → R such that

∞

μ(E) = μ(E i )

i=0

Notice that the series above is absolutely convergent by the arbitrari-

ness of (E i ): indeed, if σ : N → N is a permutation, then (E σ (i) ) is still

a partition of E, hence

∞

∞

μ(E i ) = μ(E σ (i) ).

i=0 i=0

Let μ be a signed measure. Then we define the total variation |μ| of μ

as follows:

∞

|μ|(E) = sup |μ(E i )| : (E i ) F –measurable partition of E ,

i=0

E ∈ F.

Proposition 6.20. Let μ be a signed measure and let |μ| be its total vari-

ation. Then |μ| is a finite measure on (X, F ).

102 Luigi Ambrosio, Giuseppe Da Prato and Andrea Mennucci

Step 1. If A, B ∈ F are disjoint, we have

tion of E. Set

Aj = A ∩ E j, Bj = B ∩ E j, j ∈ N.

able F –measurable partition of B and we have E j = A j ∪ B j . Moreover,

∞

∞

∞

|μ(E j )| ≤ |μ(A j )| + |μ(B j )| ≤ |μ|(A) + |μ|(B),

j=0 j=1 j=0

Let us prove the converse inequality, assuming with no loss of gener-

ality that |μ|(A ∪ B) < ∞. Since both |μ|(A) and |μ|(B) are finite, for

any ε > 0 there exist countable F –measurable partitions (Aεk ) of A and

(Bkε ) of B such that

∞

ε

∞

ε

|μ(Aεk )| ≥ |μ|(A) − , |μ(Bkε )| ≥ |μ|(B) − .

k=0

2 k=0

2

that

∞

|μ|(A ∪ B) ≥ (|μ(Aεk )| + |μ(Bkε )|) ≥ |μ|(A) + |μ|(B) − ε.

k=1

Step 2. |μ| is σ –additive. Since |μ| is additive by Step 1, it is enough

to show that |μ| is σ –subadditive, i.e. |μ(A)| ≤ ∞ 0 |μ|(Ai ) whenever

(Ai ) ⊂ F is a partition of A. This can be proved arguing as in the first

part of Step 1, i.e. building from a partition (E j ) of A partitions (E j ∩ Ai )

of all sets Ai .

Step 3. |μ|(X) < ∞. Assume by contradiction that |μ|(X) = ∞. Then

we claim that

(6.24)

|μ(A)| ≥ 1 and |μ|(B) = ∞.

103 Introduction to Measure Theory and Integration

recurrence (replacing X with B and so on), a disjoint sequence (An ) ⊂ F

such that |μ(An )| ≥ 1. Assume, to fix the ideas, that μ(An ) ≥ 1 for

infinitely many n, and denote by E the union of these sets: then, the

σ –additivity of μ forces μ(E) = +∞, a contradiction. Analogously, if

μ(An ) ≤ −1 for infinitely many n, we find a set E such that μ(E) =

−∞.

Let us prove (6.24). By the assumption |μ|(X) = ∞ it follows the

existence of a partition (X n ) of X such that

∞

|μ(X n )| > 2(1 + |μ(X)|).

n=0

Then either the sum of those μ(X n ) which are nonnegative or the absolute

value of the sum of those μ(X n ) which are nonpositive is greater than

1 + |μ(X)|. To fix the ideas, assume that for a subsequence (X n(k) ) we

have μ(X n(k) ) ≥ 0 and

∞

μ(X n(k) ) > 1 + |μ(X)|.

k=0

∞

Set A = 0 X n(k) and B = Ac . Then we have |μ(A)| > 1 + |μ(X)| and

Since

|μ|(X) = |μ|(A) + |μ|(B) = ∞,

either |μ|(B) = +∞ or |μ|(A) = +∞. In the first case we are done, in

the second one we exchange A and B. So, the claim is proved and the

proof is complete.

1 1

μ+ := (|μ| + μ), μ− := (|μ| − μ),

2 2

so that

μ = μ+ − μ− and |μ| = μ+ + μ− . (6.25)

The measure μ+ (respectively μ− ) is called the positive part (respectively

negative part) of μ and the first equation in (6.25) is called the Jordan

representation of μ.

104 Luigi Ambrosio, Giuseppe Da Prato and Andrea Mennucci

Remark 6.21. It is easy to check that Theorems 6.17 and 6.14 hold when

ν is a signed measure: it suffices to split it into its positive and negative

part, see also Exercise 6.19.

The following theorem proves also that μ+ and μ− are singular, and

provides a canonical representation of μ± as suitable restrictions of ±μ.

(X, F ) and let μ+ and μ− be its positive and negative parts. Then there

exists a F –measurable partition (A, B) of X such that

theorem, there exists h ∈ L 1 (X, F , |μ|) such that

μ(E) = h d|μ| ∀E ∈ F . (6.27)

E

|μ|(E 1 ) ≥ μ(E 1 ) = h d|μ| ≥ |μ|(E 1 ),

E1

and the second inequality is strict if |μ|(E 1 ) > 0, we have that |μ|(E 1 ) =

0. In a similar way one can prove that |μ|(F1 ) = 0, so that |h| ≤ 1 |μ|–

a.e. in X. Now, let r ∈ (0, 1) and set

! !

! !

|μ(G r,k )| = !! h d|μ|!! ≤ |h| d|μ| ≤ r|μ|(G r,k ).

G r,k G r,k

Therefore

∞

|μ(G r,k )| ≤ r|μ|(G r ),

k=0

r|μ|(G r ). Thus |μ|(G r ) = 0 and letting r ↑ 1 we obtain that |μ|({|h| <

105 Introduction to Measure Theory and Integration

sume with no loss of generality that h takes its values in {−1, 1}.

Now, to conclude the proof, we set

A := {x ∈ X : h(x) = 1}, B := {x ∈ X : h(x) = −1}.

Then for any E ∈ F we have

+ 1 1

μ (E) = (|μ|(E) + μ(E)) = (1 + h)d|μ|

2 2

E

E∩A

and

− 1 1

μ (E) = (|μ|(E) − μ(E)) = (1 − h)d|μ|

2 2 E

=− hd|μ| = −μ(E ∩ B).

E∩B

Exercises

6.19 Using the decomposition of ν in positive and negative part, show that Le-

besgue decomposition is still possible when μ is σ –finite and ν is a signed meas-

ure. Using the Hahn decomposition extend this result to the case when even μ

is a signed measure. Are these decompositions unique?

6.20 Show that | f μ| = | f |μ for any f ∈ L 1 (X, E , μ).

6.6. Measures in R

In this section we estabilish a 1-1 correspondence between finite Borel

measures in R and a suitable class of nondecreasing functions. In one

direction this correspondence is elementary, and based on the concept of

repartition function.

Given a finite measure μ in (R, B (R)), we call repartition function of

μ the function F : R → [0, +∞) defined by

F(x) := μ ((−∞, x]) x ∈ R.

Notice that obviously (1) F is nondecreasing, right continuous, and satis-

fies

lim F(x) = 0, lim F(x) ∈ [0, +∞). (6.28)

x→−∞ x→+∞

Moreover, F is continuous at x if and only if x is not an atom of μ.

(1) The arguments are similar to those used in Section 2.4.2, in connection with the properties of the

function t → μ({ϕ > t})

106 Luigi Ambrosio, Giuseppe Da Prato and Andrea Mennucci

The following result shows that this list of properties characterizes the

functions that are repartition functions of some finite measure μ; in addi-

tion the measure is uniquely determined by its repartition function.

Theorem 6.23. Let F : R → [0, +∞) be a nondecreasing and right

continuous function satisfying (6.28). Then there exists a unique finite

measure μ in (R, B (R)) such that F is the repartition function of μ.

Proof. The proof follows the same lines of the construction of the Le-

besgue measure in Section 1.6, with a simplification due to the fact that

we can also consider unbounded intervals (because we are dealing with

finite measures). We set

I := {(a, b] : a ∈ [−∞, +∞), b ∈ R, a < b}

and denote by A the ring generated by I : it consists, as it can be easily

checked, of all finite disjoint unions of intervals in I . We define, with

the convention F(−∞) = 0,

μ((a, b]) := F(b) − F(a) ∀(a, b] ∈ I . (6.29)

This definition is justified by the fact that, if μ were a measure and F

were its repartition function, (6.29) would be valid, because (a, b] =

(−∞, b] \ (−∞, a]. Then we extend μ to A with the same mechan-

ism used in the proof of Theorem 1.21, and check that μ is additive on

A . Also, the same argument used in that proof shows that μ is even σ –

additive: in order to prove that μ(F) = i μ(Fi ) whenever F and all Fi

belong to A one first reduces to the case when F = (a, b] belongs to I ;

then, one enlarges Fi to Fi ∈ A with μ(Fi ) < μ(Fi ) + δ2−i and, using

the fact that all intervals [a , b] with a > a are contained in a finite union

of the sets Fi , obtains

∞

∞

μ((a , b]) ≤ μ(Fi ) ≤ 2δ + μ(Fi ).

i=0 i=0

δ ↓ 0 and then a ↓ a we obtain the σ –subadditivity property

Letting first

μ(F) ≤ i μ(Fi ), and the opposite inequality follows by monotonicity.

By the Carathéodory theorem μ has a unique extension, that we still

denote by μ, to B (R) = σ (A ). Setting a = −∞ and letting b tend to

+∞ in the identity (6.29) we obtain that μ(R) = F(+∞) ∈ R. From

(6.29) with a = −∞ we obtain that the repartition function of μ is F.

Given a nondecreasing and right continuous function F satisfying (6.28),

the Stieltjes integral

f dF

R

107 Introduction to Measure Theory and Integration

is defined as f dμ F , where μ F is the finite measure built in the pre-

theorem. The notation d F is justified by the fact that, when f =

vious

i z i 1(ai ,bi ] , we have (by the very definition of μ F )

f dF = f dμ F = z i (F(bi ) − F(ai )).

R R i

This approximation of the Stieltjes integral will play a role in the proof

of Theorem 6.28.

In this section we study a notion of convergence for measures on the

real line that is quite useful, both from the analytic and the probabilistic

viewpoints.

Definition 6.24 (Weak convergence). Let (μh ) be a sequence of finite

measures on R. We say that (μh ) weakly converges to a finite measure μ

on R if the repartition functions Fh of μh are pointwise converging to the

repartition function F of μ on a co-countable set, i.e. if

lim μh (−∞, x]) = μ ((−∞, x]) with at most countably many exceptions.

h→∞

(6.30)

Since the repartition function is right continuous, it is uniquely determ-

ined by (6.30). Then, since the measure is uniquely determined by its

repartition function, we obtain that the weak limit, if exists, is unique.

The following fundamental example shows why we admit at most count-

ably many exceptions in the convergence of the repartition functions.

Example 6.25. [Convergence tothe Dirac mass] Let ρ ∈ C ∞ (R) be

a nonnegative function such that R ρ dx = 1 (an important example is

2

the Gauss function (2π)−1/2 e−x /2 ). We consider the rescaled functions

ρh (x) = hρ(hx) and the induced measures μh = ρh L 1 , all probability

measures. Then, it is immediate to check that μh weakly converge to δ0 :

for x > 0 we have indeed

x hx

μh ((−∞, x]) = ρh (y) dy = ρ(y) dy → 1

−∞ −∞

μh ((−∞, x]) → 0 for any x < 0. If ρ is even, at x = 0 we don’t

have pointwise convergence of the repartition functions: all the reparti-

tion functions Fh satisfy Fh (0) = 1/2, while F(0) = 1.

108 Luigi Ambrosio, Giuseppe Da Prato and Andrea Mennucci

posite behaviour, the approximation of continuous measures (i.e. with no

atom) by purely atomic ones, see for instance Exercise 6.21.

From now on we will consider only, for the sake of simplicity, the

case of weak convergence of probability measures. Before stating a com-

pactness theorem for the weak convergence of probability measures, we

introduce the following terminology.

Definition 6.26 (Tightness). We say that a family of probability meas-

ures {μi }i∈I in R is tight if for any ε > 0 there exists a closed interval

J ⊂ R such that

μi (R \ J ) ≤ ε ∀i ∈ I.

Clearly any finite family of probability measures is tight. One can also

check (see Exercise 6.24) that {μi }i∈I is tight if and only if

x→−∞ x→+∞

(6.31)

where Fi are the repartition functions of μi . Furthermore, (see Exer-

cise 6.25) any weakly converging sequence is tight. Conversely, we have

the following compactness result for tight sequences:

ability measures on R. Then there exists a subsequence (μh(k) ) weakly

converging to a probability measure μ.

argument we can find a subsequence (Fh(k) ) pointwise converging on Q.

We denote by G the pointwise limit, obviously a nondecreasing function.

We extend G by monotonicity setting

Let us check that Fh(k) is pointwise converging to G on R \ E: for

x∈/ E we have indeed

lim sup Fh(k) (x) ≤ inf lim sup Fh(k) (q) = inf G(q) = G(x),

k→∞ q∈Q, q>x k→∞ q∈Q, q>x

and analogously

lim inf Fh(k) (x) ≥ sup lim inf Fh(k) (q) = sup G(q) = G(x).

k→∞ q∈Q, q<x k→∞ q∈Q, q<x

109 Introduction to Measure Theory and Integration

x→−∞ x→+∞

Notice now that the nondecreasing function

y↓x

therefore (according to Theorem 6.23) F is the repartition function of a

probability measure μ. Since F = G on R \ E, we have Fh(k) → F

pointwise on R \ E, and this proves the weak convergence of μh(k) to μ.

gence in terms of convergence of the integrals of continuous and bounded

functions.

converge to μ if and only if

lim g dμh = g dμ ∀g ∈ Cb (R). (6.32)

h→∞ R R

responding repartition functions and fix g ∈ Cb (R). Let M = sup |g|

and ε > 0. By Exercise 6.25 the sequence (μh ) is tight, so that we can

find t > 0 satisfying μh (R \ (−t, t]) < ε for any h ∈ N; we may as-

sume (possibly choosing a larger t) that also μ (R \ (−t, t]) < ε and that

both −t and t are points where the repartition functions are converging.

Thanks to the uniform continuity of g in [−t, t] we can find δ > 0 such

that

there is convergence of the repartition functions in all points ti , and ti+1 −

ti < δ for i = 1, . . . , n −1. By (6.33) it follows that sup(−t,t] |g − f | < ε,

where

n−1

f := g(ti )1(ti ,ti+1 ] .

i=1

110 Luigi Ambrosio, Giuseppe Da Prato and Andrea Mennucci

integral on (−t, t]c we have

! !

! !

! g dμh − f dμh !! ≤ Mε + ε = (M + 1)ε ∀h ∈ N, (6.34)

!

R (−t,t]

and analogously

! !

! !

! g dμ −

! f dμ!! ≤ Mε + ε = (M + 1)ε. (6.35)

R (−t,t]

Since

n−1

f dμh = g(ti ) [Fh (ti+1 ) − Fh (ti )]

(−t,t] i=1

n−1

→ g(ti ) [F(ti+1 ) − F(ti )] = f dμ,

i=1 (−t,t]

adding and subtracting (−t,t] f dμh , and using (6.34) and (6.35), we con-

clude that

! !

! !

lim sup !! g dμh − g dμ!! ≤ (M + 1)ε.

h→∞ R R

Conversely, assume that (6.32) holds. Given x ∈ R, define the open

set A = (−∞, x); we can easily find (gk ) ⊆ Cb (R) monotonically con-

verging to 1 A and deduce from (6.32) the inequality

lim inf μh (A) ≥ sup lim inf gk dμh = sup gk dμ = μ(A).

h→∞ k∈N h→∞ R k∈N R

C = (−∞, x], we deduce from (6.32) the inequality

lim sup μh (C) ≤ inf lim sup gk dμh = inf gk dμ = μ(C).

h→∞ k∈N h→∞ R k∈N R

such that μ(A) = μ(C), i.e. for any x that is not an atom of μ. We

conclude thanks to Exercise 1.5.

Notice that in (6.32) there is no mention to the order structure of R,

and only the metric structure (i.e. the space Cb (R)) comes into play. In

111 Introduction to Measure Theory and Integration

dowed with the Borel σ –algebra B (X), we say that μh weakly converge

to μ if

lim g dμh = g dμ for any function g ∈ Cb (X).

h→∞ X X

Exercises

6.21 Show that the probability measures

1 h

μh := δi

h i=1 h

6.22 Let Fh : R → R be nondecreasing functions pointwise converging to

a nondecreasing function F : R → R on a dense set D ⊂ R. Show that

Fh (x) → F(x) at all points x where F is continuous.

6.23 Consider all atomic measures of the form

h2

ai δ i ,

i=−h 2 h

where h ∈ N and a−h , . . . , ah ≥ 0. Show that for any finite Borel measure μ

in R there exists a sequence of measures (μh ) of the previous form that weakly

converges to μ.

6.24 Show that a family {μi }i∈I of probability measures in R is tight if and only

if (6.31) holds.

6.25 Show that any sequence (μh ) of probability measures weakly convergent

to a probability measure is tight. Hint: if μ is the weak limit and ε > 0 is

given, choose an integer n ≥ 1 such that μ([1 − n, n − 1]) > 1 − ε and points

x ∈ (−n, 1 − n) and y ∈ (n − 1, n) where the repartition functions of μh are

converging to the repartition function of μ.

6.26 We want to extend what was shown in this section from the realm of prob-

ability measures to that of finite measures. Let (μh ), μ be finite positive Borel

measures on R, and let Fh , F be their repartition functions. Consider the fol-

lowing implications:

(a) limh R g dμh = R g dμ ∀g ∈ Cb (R) (that is, (6.32));

(b) limh R g dμh = R g dμ ∀g ∈ Cc (R);

(c) Fh converge to F at all points where F is continuous;

(d) Fh converge to F on a dense subset of R;

(e) limh μh (R) = μ(R);

(f) (μh ) is tight.

Find an example where (b) holds but (a), (c), (e) do not hold and prove the

following implications: a ⇒ b, e, a ⇒ c, d ⇔ c, b ∧ e ⇒ c, d ∧ e ⇒ f ,

d ∧ f ⇒ e, d ∧ f ⇒ a. As a corollary, if (e) holds (as it happens in the case when

all μh and μ are probability measures) we obtain that a ⇔ b ⇔ c ⇔ d ⇒ f .

112 Luigi Ambrosio, Giuseppe Da Prato and Andrea Mennucci

The Fourier transform is a basic tool in Pure and Applied Mathematics,

Physics and Engineering. Here we just mention a few basic facts, focus-

sing on the use of this transform in Measure Theory and Probability.

Definition 6.29 (Fourier transform of a function). Let f ∈ L 1 (R, C).

We set

ˆ

f (ξ ) := f (x)e−i xξ dx ∀ξ ∈ R.

R

Since the map ξ → f (x)e−iξ x is continuous, and bounded by | f (x)|,

the dominated convergence theorem gives that fˆ(ξ ) is continuous. The

same upper bound also shows that fˆ is bounded, and sup | fˆ| ≤ f 1 .

More generally, the following result holds:

Theorem 6.30. Let k ∈ N be such that R |x|k | f |(x) dx < ∞. Then

fˆ ∈ C k (R, C) and

D p fˆ(ξ ) = (−i) p x-

p f (ξ ) ∀ p = 0, . . . , k.

The proof of Theorem 6.30 is a straightforward consequence of the

differentiation theorem for integrals depending on a parameter (in this

case, the ξ variable, see the Appendix):

−i xξ p

Dξ f (x)e−i xξ dx

p

Dξ f (x)e dx =

R R

= (−i) p x p f (x)e−i xξ dx.

R

form differentiations (in the ξ variable) into multiplications (in the x

variable), thus allowing an algebraic solution of many linear differential

equations.

In the sequel we need an explicit expression of the Fourier transform

of a Gaussian function. For σ > 0, let

2 2

e−|x| /(2σ )

ρσ (x) := (6.36)

(2πσ 2 )1/2

be the rescaled Gaussian functions, already considered in Example 6.25.

Then

2 2

ρσ (x)e−iξ x dx = e−ξ σ /2 ∀ξ ∈ R. (6.37)

R

The proof of this identity is sketched in Exercise 6.27.

113 Introduction to Measure Theory and Integration

periodic function, then we can write the Fourier series (corresponding,

up to a linear change of variables, to those considered in Chapter 5 for

2π-periodic functions)

π

f = an ein T x , in L 2 ((−T, T ); C), (6.38)

n∈Z

with

1 T π π π π

an = f (x)e−in T x dx, ein T x = cos n x + i sin n x.

2T −T T T

(6.39)

Remark 6.32. (Inverse Fourier transform) For g ∈ L 1 (R, C) we de-

fine inverse Fourier transform of f the function

1

g̃(x) := g(ξ )ei xξ dξ x ∈ R.

2π R

It can be shown (see for instance Chapter VI.1 in [7]) that the maps f →

fˆ and g → g̃ are each the inverse of the other in the so-called Schwarz

space S(R, C) of smooth and rapidly decreasing functions at infinity:

∞

S(R, C) := f ∈ C (R, C) : lim |x| |D f |(x) = 0 ∀k, i ∈ N .

k i

|x|→∞

In particular we have

f

f (x) = 2π (x) = aξ ei xξ dξ with

2π R

1

aξ : = f (x)e−iξ x dx.

2π R

These formulas can be viewed as the continuous counterpart of the dis-

crete Fourier transform (6.38), (6.39). In this sense, aξ are generalized

Fourier coefficients, corresponding to the “frequency” ξ . The difference

with Fourier series is that any frequency is allowed, not only the integer

multiples nπ/T of a given one.

In this section we are concerned in particular with the concept of Fourier

transform of a measure.

114 Luigi Ambrosio, Giuseppe Da Prato and Andrea Mennucci

measure on R. We set

μ̂(ξ ) := e−i xξ dμ(x) ∀ξ ∈ R.

R

The function μ̂ : R → C is called Fourier transform of μ.

Notice that Definition 6.29 is consistent with Definition 6.33, because

μ̂ = fˆ whenever μ = f L 1 . Notice also that, by the dominated con-

vergence theorem, the function μ̂ is continuous. Moreover μ̂(0) = μ(R)

and, by estimating from above the modulus of the integral with the integ-

ral of the modulus (see also Exercise 6.29), we obtain that |μ̂(ξ )| ≤ μ(R)

for all ξ ∈ R. Still using the differentiation theorems under the integral

sign, one can check that for k ∈ N the following implications hold:

|x|k dμ(x) < ∞ ⇒ μ̂ ∈ C k (R, C) and

R (6.40)

D p μ̂(ξ ) = (−i) p x-

p μ(ξ ) ∀ p = 0, . . . , k.

sures:

Example 6.34. (1) If μ = δx0 then μ̂(ξ ) = e−i x0 ξ .

(2) If μ = pδ1 + qδ0 (with p + q = 1) is the Bernoulli measure with

parameter p, then μ̂(ξ ) = q + pe−iξ .

(3) If

n

n

μ= pi q n−i δi

i=0

i

is the binomial measure with parameters n, p then

μ̂(ξ ) = (q + pe−iξ )n ∀ξ ∈ R.

(4) If μ = e−x 1(0,∞) (x)L 1 is the exponential measure, then

1

μ̂(ξ ) = ∀ξ ∈ R.

1 + iξ

(5) If μ = (2a)−1 1(−a,a) L 1 is the uniform measure in [−a, a], then

sin(aξ )

μ̂(ξ ) = ∀ξ ∈ R \ {0}.

aξ

(6) If μ = [π(1 + x 2 )]−1 L 1 is the Cauchy measure, then (2)

μ̂(ξ ) = e−|ξ | ∀ξ ∈ R.

(2) This computation can be done using the residue theorem in complex analysis

115 Introduction to Measure Theory and Integration

Fourier transform μ̂.

Proof. For σ > 0 we denote by ρσ the rescaled Gaussian functions in

(6.36). According to Exercise 6.27 we have

2 2

e−z σ /2 = ρσ (w)e−i zw dw.

R

2

1 2

ρσ (x − y) = ρσ (w)e−iw(x−y)/σ dw.

(2πσ )2 1/2

R

1 −iw(x−y)/σ 2

ρσ (x − y)dμ(x) = ρσ (w)e dw dμ(x)

R (2πσ )

2 1/2

R R

w

ρσ (w) 2

= μ̂ eiyw/σ dy.

R (2πσ 2 )1/2 σ 2

(6.41)

As a consequence, the integrals h σ (y) = R ρσ (y−x) dμ(x) are uniquely

determined by μ̂. But, still using the Fubini-Tonelli theorem, one can

check the identity

g(y)ρσ (x − y) dy dμ(x) = h σ (y)g(y) dy ∀g ∈ Cb (R).

R R R

(6.42)

Passing to the limit as σ ↓ 0 and noticing that (by Example 6.25, that

provides the weak convergence of ρσ λ to δ0 as σ ↓ 0, or a direct verific-

ation)

g(y)ρσ (x − y) dy = g(x − z)ρσ (z) dz → g(x) ∀x ∈ R

R R

from

the dominated convergence theorem we obtain that all integrals

R g dμ, for g ∈ Cb (R), are uniquely determined. Hence μ is uniquely

determined by its Fourier transform.

Remark 6.36. It is also possible to show an explicit inversion formula

for the Fourier transform. Indeed, (6.42) holds not only for continuous

functions, but also for bounded Borel functions;

choosing a < b that are

not atoms of μ and g = 1(a,b) , we have that R g(x)ρσ (x − y) dy → g(x)

for μ–a.e. x (precisely for x ∈/ {a, b}), so that (6.42) and (6.41) give

b b −w2 /2σ 2

e w 2

μ((a, b)) = lim h σ (y) dy = lim μ̂( 2 )eiyw/σ dwdy.

σ ↓0 a σ ↓0 a R 2πσ 2 σ

116 Luigi Ambrosio, Giuseppe Da Prato and Andrea Mennucci

1 2 2 eitb − eita

μ((a, b)) = lim e−t σ /2 μ̂(t) dt, (6.43)

σ ↓0 2π R it

for all points a < b that are not atoms of μ.

According to Theorem 6.28 we have the implication:

The following theorem, due to Lévy, gives essentially the converse im-

plication, allowing to deduce the weak convergence from the convergence

of the Fourier transforms.

Theorem 6.37 (Lévy). Let (μh ) be probability measures in R. If f h =

μ̂h pointwise converge in R to some function f , and if f is continuous at

0, then f = μ̂ for some probability measure μ in R and μh → μ weakly.

Proof. Let us show first that (μh ) is tight. Fixed a > 0, taking into

account that sin ξ is an odd function and using the Fubini theorem we get

a a a

−i xξ

σ̂ (ξ ) dξ = e dσ (x)dξ = cos(xξ ) dξ dσ (x)

−a −a R R −a

2

= sin(ax) dσ (x)

R x

for any probability measure σ . Hence, using the inequalities | sin t| ≤ |t|

for all t and | sin t| ≤ |t|/2 for |t| ≥ 2, we get

1 a sin(ax)

1 − σ̂ (ξ ) dξ = 2 − 2 dσ (x)

a −a R ax

sin(ax)

=2 1− dσ (x) (6.45)

R ax

) *

2 2

≥ σ R\ − , .

a a

For ε > 0 we can find, by the continuity of f at 0, a > 0 such that

a

(1 − f (ξ )) dξ < εa.

−a

a

1 − μ̂h (ξ ) dξ < εa ∀h ≥ h 0 . (6.46)

−a

117 Introduction to Measure Theory and Integration

a

As a −1 −a (1 − μ̂h (ξ )) dξ → 0 as a ↓ 0 for any fixed h, we infer that

we can find b ∈ (0, a] such that (6.46) holds with b replacing a for all

h ∈ N. From (6.45) we get μh (R \ [−n, n]) < ε for all h ∈ N, as soon

as n > 2/b.

Being the sequence tight, we can extract a subsequence (μh(k) ) weakly

converging to a probability measure μ and deduce from (6.44) that f =

μ̂. It remains to show that the whole sequence (μh ) weakly converges to

μ: if this is not the case there exist ε > 0, g ∈ Cb (R) and a subsequence

h (k) such that

! !

! !

! g dμh (k) − g dμ!! ≥ ε ∀k ∈ N.

!

R R

But, possibly extracting one more subsequence, we can assume that μh (k)

weakly converge to a probability measure σ ; in particular

! !

! !

! g dσ − g dμ! ≥ ε > 0. (6.47)

! !

R R

obtain that σ̂ = limk μ̂h (k) = μ̂, hence μ̂ = σ̂ . From Theorem 6.35 we

obtain that μ = σ , contradicting (6.47).

Notice that just pointwise convergences of the Fourier transforms is

not enough to conclude the weak convergence, unless we know that the

limit function is continuous: let us consider, for instance, the rescaled

Gaussian kernels used in the proof of Theorem 6.35 and let us consider

the behaviour of the Gaussian measures μσ = ρσ L 1 as σ ↑ ∞; in this

case, from Exercise 6.27 we infer that the Fourier transforms are point-

wise converging in R to the discontinuous function equal to 1 at ξ = 0

and equal to 0 elsewhere. In this case we don’t have weak convergence of

the measures: we have, instead, the so-called phenomenon of dispersion

of the whole mass at infinity

n n

lim μσ (R \ [−n, n]) = lim μ1 R \ [− , ] = μ1 (R \ {0}) = 1

σ ↑∞ σ ↑∞ σ σ

∀n ∈ N

Exercises

6.27 Check the identity (6.37).

6.28

Show that μ̂ is uniformly continuous in R for any finite measure μ.

118 Luigi Ambrosio, Giuseppe Da Prato and Andrea Mennucci

6.29 Let μ be a probability measure in R. Show that if |μ̂| attains its maximum

at ξ0 = 0, then there exist x0 ∈ R and cn ∈ [0, ∞) such that

2nπ

μ= cn δxn with xn = x0 + .

n∈Z

ξ0

Use this fact to show that |μ̂| ≡ 1 in R if and only if μ is a Dirac mass.

Chapter 7

The fundamental theorem of the integral

calculus

In this section we give a closer look at a classical theme, namely the fun-

damental theorem of the integral calculus, looking for optimal conditions

on f ensuring the validity of the formula

x

f (x) − f (y) = f (s) ds.

y

Notice indeed that in the classical theory of the Riemann integration there

is agap between the conditions imposed to give a meaning to the integ-

x

ral a g(s) ds (i.e. Riemann integrability of g) and those that ensure its

differentiability as a function of x (for instance, typically one requires

the continuity of g). We will see that this gap basically disappears in Le-

besgue’s theory, and that there is aprecise characterization of the class

x

of functions representable as c + a g(s) ds for a suitable (Lebesgue)

integrable function g and for some constant c.

The following definition is due to Vitali.

Definition 7.1 (Absolutely continuous functions). Let I ⊂ R be an in-

terval. We say that f : I → R is absolutely continuous if for any ε > 0

there exists δ > 0 for which the implication

n

n

(bi − ai ) < δ ⇒ | f (bi ) − f (ai )| < ε (7.1)

i=1 i=1

holds for any finite family {(ai , bi )}1≤i≤n of pairwise disjoint intervals

contained in I .

An absolutely continuous function is obviously uniformly continuous,

but the converse is not true, see Example 7.7.

Let f : [a, b] → R be absolutely continuous. For any x ∈ [a, b] define

n

F(x) = sup | f (xi ) − f (xi−1 )|,

σ ∈a,x i=1

© Scuola Normale Superiore Pisa 2011

120 Luigi Ambrosio, Giuseppe Da Prato and Andrea Mennucci

xn = x} of [a, x]. F is called the total variation of f . Let us check that

F is finite: let δ > 0 be satisfying the implication (7.1) with ε = 1 and

let us estimate from above a sum in the definition of F. Without loss of

generality we can assume that |xi − xi−1 | < δ/2 for all i = 1, . . . , n − 1,

possibly adding more points (which increases the sum). Then, we can

split the sum in families of intervals with total length larger than δ/2 and

less than δ (just keep adding a new interval to a family if the total length

does not exceed δ and notice that if it exceeds δ, the total length is at

least δ/2); the number of these families is less than 2δ (x − a) and, as a

consequence, (7.1) gives

2

F(x) ≤ (x − a) + 1.

δ

We set

1 1

f + (x) = (F(x) + f (x)), f − (x) = (F(x) − f (x)),

2 2

so that

its total variation. Then F, f + , f − are nondecreasing and absolutely

continuous.

x}. Then we have

n

F(y) ≥ | f (y) − f (x)| + | f (xi ) − f (xi−1 )|.

i=1

that F is absolutely continuous. Let ε > 0 and let δ = δ(ε) > 0 be such

holds for all finite families (ai , bi ) of pairwise

that the implication (7.1)

disjoint intervals with i (bi − ai ) < δ. Let now (ai , bi ) bea family of

disjoint intervals with i (bi − ai ) < δ and let us prove that i |F(bi ) −

121 Introduction to Measure Theory and Integration

F(ai )| < 2ε. For any i = 1, . . . , n we can find σi = {ai = x0,i < x1,i <

· · · < xni ,i = bi } such that

ε ni

F(bi ) − F(ai ) < + | f (xk,i ) − f (xk−1,i )|, 1 ≤ i ≤ n. (7.2)

n k=1

ε mi

F(bi ) < + | f (yk ) − f (yk−1 )|

n k=1

the partition if necessary) that yk = ai for some k; then, it suffices to

estimate the first k terms of the above sum with F(ai ), and to call x0,i =

yk , . . . , xm i −k+1,i = ym i to obtain (7.2) with n i = m i − k + 1. Adding

the inequalities (7.2) and taking into account that the union of the disjoint

intervals (xk,i−1 , xk,i ) (for 1 ≤ i ≤ n, 0 ≤ k ≤ n i ) has length less than δ,

from the absolute continuity property of f we get

n

(F(bi ) − F(ai )) < ε + ε = 2ε.

i=1

The absolute continuity property characterizes integral functions, as

the following theorem shows.

able as x

f (x) = f (a) + g(t) dt ∀x ∈ I (7.3)

a

y

| f (x) − f (y)| ≤ |g(s)| ds ∀x, y ∈ I, x ≤ y.

x

by the implication

L 1 (A) < δ ⇒ |g| ds < ε.

A

122 Luigi Ambrosio, Giuseppe Da Prato and Andrea Mennucci

Exercise 6.14 (with μ = L 1 and ν = gL 1 ).

(Necessity) According to Lemma 7.2, we can write f as the difference

of two nonincreasing absolutely continuous functions. Hence, we can

assume with no loss of generality that f is nonincreasing, and possibly

adding to f a constant we shall assume that f (a) = 0. We extend f to the

whole of R setting f ≡ 0 in (−∞, a) and f ≡ f (b) in (b, ∞). It is clear

that this extension, that we still denote by f , retains the monotonicity and

absolute continuity properties.

By Theorem 6.23 we obtain a unique finite measure ν on (R, B (R))

without atoms (because f is continuous) such that f is the repartition

function of ν. Since f is constant on (−∞, a) and on (b, +∞), we

obtain that ν is concentrated on I , so that

theorem we would find g ∈ L 1 (I ) such that ν = gL 1 , so that (7.4)

would give x

f (x) = g(s) ds ∀x ∈ I.

a

identity ν((a, b)) = f (b) − f (a), the absolute continuity property can

be rewritten as follows: for any ε > 0 there exists δ > 0 such that

the same implication holds for all open sets, because any such set is the

countable union of open intervals. By Proposition 1.24, ensuring an ap-

proximation from above with open sets, the same implication holds for

Borel sets B ⊂ I as well. This proves that ν # 1 I L 1 and concludes the

proof.

We will need the following nice and elementary covering theorem.

Theorem 7.4 (Vitali covering theorem). Let {Bri (xi )}i∈I be a finite

family of balls in a metric space (X, d). Then there exists J ⊂ I such

that the balls {Bri (xi )}i∈J are pairwise disjoint, and

Bri (xi ) ⊂ B3ri (xi ). (7.5)

i∈I i∈J

123 Introduction to Measure Theory and Integration

then we remove all balls that intersect the first chosen ball and choose

a second ball of largest radius among the remaining ones. We continue

removing all balls that intersect the second chosen ball and picking a

third ball of largest radius among the remaining ones, and so on. The

process stops when either there is no ball left, i.e. when the remaining

balls intersect at least one of the already chosen balls. The family of

chosen balls is disjoint by construction. If x ∈ Bri (xi ) and the ball Bri (xi )

has not been chosen, then there is a chosen ball Br j (x j ) intersecting it, so

that d(xi , x j ) < ri + r j . Moreover, if Br j (x j ) is the first chosen ball with

this property, then r j ≥ ri (otherwise, if ri > r j , either the ball Bri (xi ) or

a ball with larger radius would have been chosen, instead of Br j (x j )), so

that d(xi , x j ) < 2r j . It follows that

It is natural to think that the function g in (7.3) is, as in the classical

fundamental theorem of integral calculus, the derivative of f . This is

true, but far from being trivial, and it follows by the following weak con-

tinuity result (due to Lebesgue) of integrable functions. We state the

result even in more then one variable, as the proof in this case does not

require any extra difficulty.

a.e. x ∈ Rn we have

1

lim | f (y) − f (x)| dy = 0.

r↓0 ωn r n Br (x)

easy to show that the integral means

1

f (y) dy

ωn r n Br (x)

because they belong to the interval

[min f, max f ].

B r (x) B r (x)

The previous theorem tells us that the same convergence occurs, for L n –

a.e. x ∈ Rn , for any integrable function f . This simply follows by the

124 Luigi Ambrosio, Giuseppe Da Prato and Andrea Mennucci

inequality

! ! ! !

! 1 ! ! !

! f (y) dy − f (x)!= 1 ! f (y) − f (x) dy !

!ω rn ! ωn r n ! !

n Br (x) Br (x)

1

≤ | f (y) − f (x)| dy.

ωn r n Br (x)

By the local nature of this statement, the same property holds for locally

integrable functions.

Proof of Theorem 7.5. Given ε, δ > 0 and an open ball B = B R (0), it

suffices to check that the set

1

A := x ∈ B : lim sup | f (y) − f (x)| dy > 2ε

r↓0 ωn r n Br (x)

has Lebesgue measure less than (3n + 1)δ. To this aim, we write f as the

sum of a “good” part g and a “bad”, but small, part h, i.e. f = g + h

with g : B → R bounded and continuous, and h L 1 (B ) < εδ, with

B = B R+1 (0); this decomposition is possible, because Proposition 3.16

ensures the density of bounded continuous functions in L 1 (B).

The continuity of g gives

1

lim |g(y) − g(x)| dy = 0 ∀x ∈ B.

r↓0 ωn r n B (x)

r

1

A1 := x ∈ B : lim sup |h(y) − h(x)| dy > 2ε .

r↓0 ωn r n Br (x)

inequality, we have also A1 ⊂ A2 ∪ A3 with

A2 := {x ∈ B : |h(x)| > ε}

and

1

A3 := x ∈ B : sup |h(y)| dy > ε .

r∈(0,1) ωn r

n

Br (x)

that L (A3 ) ≤ 3 δ.

n n

need only to show

Since x → Br (x) |h(y)| dy is continuous, we have that

1

x → sup |h(y)| dy

r∈(0,1) ωn r

n

Br (x)

125 Introduction to Measure Theory and Integration

is lower semi continuous, hence A3 is open. Notice also that for any

x ∈ A3 there exists r ∈ (0, 1), depending on x, such that

|h(y)| dy > εωn r n .

Br (x)

these balls whose union covers K . By applying Vitali’s covering theorem

to this family of balls, we can find a disjoint subfamily {Bri (xi )}i∈J such

that the union of the enlarged balls B3ri (xi ) still covers K . Adding the

previous inequalities with x = xi and r = ri and summing in i ∈ J ,

since all balls Bri (xi ) are contained in B we get

3n

L (K ) ≤

n

ωn (3ri ) ≤

n

|h(y)| dy

i∈J

ε i∈J Bri (xi )

3n

≤ |h(y)| dy ≤ 3n δ.

ε B

As K is arbitrary we obtain that L n (A3 ) ≤ 3n δ.

Since the continuity in mean is a local property, it is not difficult to

extend the previous result to locally integrable functions. By applying

this extended theorem to a characteristic function f = 1 E we get

⎧

⎪ L n (E ∩ Br (x))

⎪

⎨lim = 1 for L n –a.e. x ∈ E

r↓0 ω rn

n

⎪

⎪ L n (E ∩ Br (x))

⎩lim = 0 for L n –a.e. x ∈ Rn \ E

r↓0 ωn r n

for any E ∈ B (Rn ); points of the first type are called density points,

whereas points of the second type are called rarefaction points.

Using the continuity in mean of integrable functions we obtain the

fundamental theorem of calculus within the (natural) class of absolutely

continuous functions.

Theorem 7.6. Let I ⊂ R be an interval and let f : I → R be absolutely

continuous. Then f is differentiable at L 1 –a.e. point of I . In addition

f is Lebesgue integrable in I and

x

f (x) = f (a) + f (s) ds ∀x ∈ I. (7.6)

a

1 x0 +r

lim |g(s) − g(x0 )| ds = 0 (7.7)

r↓0 r x −r

0

126 Luigi Ambrosio, Giuseppe Da Prato and Andrea Mennucci

x0 +r

f (x0 + r) − f (x0 ) 1

= g(s) ds

r r x0

x0 +r

1

= g(x0 ) + g(s) − g(x0 ) ds

r x0

f + (x0 ) = g(x0 ); a similar argument shows that f − (x0 ) = g(x0 ). As,

according to the previous theorem, L 1 –a.e. point x0 satisfies (7.7), we

obtain that f is differentiable, with derivative equal to g, L 1 –a.e. in I .

It suffices to replace g with f in (7.3) to obtain (7.6).

One might think that differentiability L 1 –a.e. and integrability of the

derivative are sufficient for the validity of (7.6) (these are the minimal

requirements to give a meaning to the formula). However, this is not

true, as the Heaviside function 1(0,∞) fulfils these conditions but fails to be

(absolutely) continuous. Then, one might think that one should require

also the continuity of f to have (7.6). It turns out that not even this

is enough: we build in the next example the Cantor-Vitali function, also

called devil’s staircase: a continuous function having derivative equal to 0

L 1 –a.e., but not constant. This example shows why a stronger condition,

namely the absolute continuity, is needed.

Example 7.7 (Cantor–Vitali function). Let

This is a closed subspace of the complete metric space C([0, 1]), hence

X is complete as well. For any f : [0, 1] → R we set

⎧

⎪

⎨ f (3x)/2 if 0 ≤ 3x ≤ 1,

T f (x) := 1/2 if 1 < 3x < 2, (7.8)

⎪

⎩

1/2 + f (3x − 2)/2 if 2 ≤ 3x ≤ 3.

Lipschitz constant equal to 1/2). Hence, by the contraction principle,

there is a unique f ∈ X such that T f = f .

Let us check that f has zero derivative L 1 –a.e. in [0, 1]. As f = T f ,

f is constant, and equal to 1/2, in (1/3, 2/3). Inserting this information

again in the identity f = T f we obtain that f is locally constant (equal

to 1/4 and to 3/4) on (1/9, 2/9) ∪ (7/9, 8/9). Continuing in this way,

one finds that f is locally constant on the union of 2n−1 intervals, each

of length 3−n , n ≥ 1. The complement C = [0, 1] \ A of the union A

127 Introduction to Measure Theory and Integration

of these intervals is Cantor’s middle third set (see also Exercise 1.8), and

since

∞ n

∞

2n−1 1 2

L 1 (A) = n

= =1

n=1

3 2 n=1

3

obviously 0.

In connection with the previous example, notice also that f maps A,

a set of full Lebesgue measure in [0, 1], into the countable set {2−n }n≥1 .

On the other hand, it maps C, a Lebesgue negligible set, into [0, 1], a set

with strictly positive Lebesgue measure.

Exercises

7.1 Let H : R → R be satisfying the Lipschitz condition

is absolutely continuous in [a, b].

7.2

Let E ⊆ R be a Borel set and assume that any t ∈ R is either a point

of density or a point of rarefaction of E. Show that either L 1 (E) = 0 or

L 1 (R \ E) = 0. (Remark: the same result is true in Rn , but with a much harder

proof, see [3], 4.5.11).

7.3[Lipschitz change of variables]

Let f : I = [a, b] → R be absolutely

continuous (resp. Lipschitz). Show that

f (b) b

ϕ(y) dy = ϕ( f (x)) f (x) dx

f (a) a

7.4 Use the previous exercise to show that, for any Lipschitz function f : R →

R and any L 1 –negligible set N ∈ B (R), the derivative f vanishes L 1 –a.e.

on f −1 (N ).

Chapter 8

Measurable transformations

in the integral from a new viewpoint. We will compute how the Lebesgue

measure in Rn changes under a sufficiently regular transformation, gen-

eralizing what we have already seen for linear, or affine, maps. As a

byproduct we obtain a quite general change of variables formula for in-

tegrals with respect to the Lebesgue measure.

We are given two measurable spaces (X, E ) and (Y, F ), a measure μ

on (X, E ) and a (E , F )–measurable mapping F : X → Y . We define a

measure F# μ in (Y, F ) by setting

F# μ(I ) := μ(F −1 (I )), I ∈ F. (8.1)

It is easy to see that F# μ is well defined, by the measurability assumption

on F, and σ -additive on F . F# μ is called the image measure of μ by F.

The following change of variable formula is simple, but of a basic

importance.

Proposition 8.1. Let ϕ : Y → [0, ∞] be a F –measurable function. Then

we have

ϕ(F(x)) dμ(x) = ϕ(y) d F# μ(y). (8.2)

X Y

Proof. By monotone approximation it is enough to prove (8.2) when ϕ

is a simple function. By linearity of both sides we need only to consider

functions ϕ of the form ϕ = 1 I , where I ∈ F . In this case we have

ϕ ◦ F = 1 F −1 (I ) , hence (8.2) reduces to (8.1).

In the following example we discuss the relation between the change of

variables formula (8.2), that even on the real line involves no derivative,

and the classical one. The difference is due to the fact that in (8.2) we are

not using the density of F# μ with respect to L 1 . It is precisely in this

density that the derivative of F shows up.

© Scuola Normale Superiore Pisa 2011

130 Luigi Ambrosio, Giuseppe Da Prato and Andrea Mennucci

Example 8.2. Let F : R → R be of class C 1 and such that F (t) > 0 for

all t ∈ R. Let A be the image of F (an open interval, by the assumptions

made on F) and let ψ : A → R be continuous. Then for any interval

[a, b] ⊂ A the following elementary formula of change of variables holds

(just put y = F(x) in the right integral):

F −1 (b) b

1

ψ(F(x)) dx = ψ(y) −1 dy.

F −1 (a) a F (F (y))

On the other hand, choosing ϕ = ψ 1 I with I = [a, b] in (8.2), we have

F −1 (b) b

ψ(F(x)) dx = ψ(y) d F# L 1 .

F −1 (a) a

b b

1

ψ(y) −1 dy = ψ(y) d F# L 1 . (8.3)

a F (F (y)) a

F# L 1 # L 1 and

1

F# L 1 = L 1.

F ◦ F −1

In the next section, we shall generalize this formula to Rn , and even in one

space dimension we will see that the assumption that F > 0 everywhere

can be weakened (see also Exercise 8.3).

We consider here the measure space (Rn , B (Rn ), L n ), where L n is the

Lebesgue measure.

We recall a few basic facts from calculus with several variables: given

an open set U ⊂ Rn and a mapping F : U → Rn , F is said to be differ-

entiable at x ∈ U if there exists a linear operator D F(x) ∈ L(Rn ; Rn ) (1)

such that

|F(x + h) − F(x) − D F(x)h|

lim = 0.

|h|→0 |h|

The operator D F(x) if exists is unique, and is called the differential of F

at x. If F is affine, i.e. F(x) = T x + a for some T ∈ L(Rn ; Rn ) and

a ∈ Rn , we have D F(x) = T for all x ∈ U .

(1) L(Rn ; Rm ) is the Banach space of all linear mappings T : Rn → Rm endowed with the sup norm

T = sup{|T x| : x ∈ Rn , |x| = 1}

131 Introduction to Measure Theory and Integration

of F at x by setting

JF (x) = det D F(x).

If F is differentiable at any x ∈ U and if the mapping D F : U →

L(Rn ; Rn ) is continuous, we say that F is of class C 1 . If, in addition,

F is bijective between U and an open domain A and F −1 is of class C 1

in A, we say that F is a C 1 diffeomorphism of U onto A. In this case we

have that D F(x) is invertible and

In this section we study how the Lebesgue measure changes under the

action of a C 1 map F. The relevant quantity will be the function |JF |,

which really corresponds to the distorsion factor of the measure.

Let U ⊂ Rn be open. The critical set C F of F ∈ C 1 (U ; Rn ) is defined

by

C F := {x ∈ U : JF (x) = 0} .

Lemma 8.3. The image F(C F ) of the critical set is Lebesgue negligible.

Proof. Let K ⊂ C F be a compact set and ε > 0; for any x ∈ K the set

D F(x)(B 1 (0)) is Lebesgue negligible (because D F is singular at x, so

that D F(x)(Rn ) is contained in a (n − 1)-dimensional subspace of Rn ),

hence we can find δ = δ(ε, x) > 0 such that

L n {z ∈ Rn : dist (z − F(x), D F(x)(B 1 (0))) < δ} < ε.

L n {z ∈ Rn : dist (z − F(x), D F(x)(B r (0))) < δr} < εr n ∀r > 0.

On the other hand, since |F(y) − F(x) − D F(x)(y − x)| < δr in Br (x),

provided r is small enough, we get

F(Br (x)) ⊂ z ∈ Rn : dist (z − F(x), D F(x)(B r (0)) < δr .

It follows that Br (x) ⊂ U and L n (F(Br (x))) < εr n for r > 0 small

enough, depending on x.

132 Luigi Ambrosio, Giuseppe Da Prato and Andrea Mennucci

Since the family of balls {Br/3 (x)}x∈K covers the compact set K , we can

find a finite family {Bri /3 (xi )}i∈I whose union still covers K and extract

from it, thanks to Vitali’s covering theorem, a subfamily {Bri /3 (xi )}i∈J

made by pairwise disjoint balls such that the union of the enlarged balls

{Bri (xi )}i∈J covers K . In particular, covering F(K ) by the union of

F(Bri (xi )) for i ∈ J , we get

3n ε ri n 3n ε n

L n (F(K )) ≤ εrin = ωn ≤ L (U ).

i∈J

ωn i∈J 3 ωn

by approximation (recall that C F , being a closed subset of U , can be

written as the countable union of compact subsets of U ) we obtain that

L n (F(C F )) = 0.

The following theorem provides a necessary and sufficient condition

for the absolute continuity of F# L n with respect to L n , assuming a C 1

regularity of F.

Theorem 8.4. Let U ⊂ Rn be an open set and let F : U → Rn be of

class C 1 , whose restriction to U \ C F is injective. Then:

(i) F# (1U L n ) is absolutely continuous with respect to L n if and only if

C F is Lebesgue negligible.

(ii) If F# (1U L n ) # L n we have

1

F# (1U L n ) = 1 L n. (8.5)

|JF |(F −1 ) F(U \C F )

Proof. (i) If L n (C F ) > 0, we have F# (1U L n )(F(C F )) ≥ L n (C F ) >

0 and F# (1U L n ) fails to be absolutely continuous with respect to L n ,

because we proved in Lemma 8.3 that F(C F ) is Lebesgue negligible.

Let G be the inverse of the restriction of F to the open set U \ C F . The

local invertibility theorem ensures that the domain A = F(U \C F ) of G is

an open set, that G is of class C 1 in A and that DG(y) = (D F)−1 (G(y))

for all y ∈ A. Let us assume now that C F is Lebesgue negligible and

let us show that F −1 (E) is Lebesgue negligible whenever E ⊂ F(U ) is

Lebesgue negligible. Since we already know that C F is L n –negligible

set, we can assume with no loss of generality that E ⊂ A and show that

G(E) is Lebesgue negligible. Let A M be the open sets

A M := {y ∈ A : DG(y) < M} .

We will prove that

L n (G(K )) ≤ (3M)n L n (K ) (8.6)

133 Introduction to Measure Theory and Integration

sets of A M and therefore on the Borel sets; in particular

L n (G(E ∩ A M )) ≤ (3M)n L n (E ∩ A M ) = 0,

and letting M ↑ ∞ we obtain that L n (G(E)) = 0, because E ⊂ A.

In order to show (8.6) we consider a bounded open set B contained in

A M and containing K , and the family of balls Br (y) ⊂ B with y ∈ K

and r > 0. For any of these balls the mean value theorem gives (with

t = t (y, z) ∈ (0, 1))

|G(z)−G(y)| = |DG((1−t)y +t z)(z − y)| ≤ M|z − y| ∀z ∈ Br (y),

therefore G(Br (y)) ⊂ B Mr (G(y)) for any of these balls. Since the family

of balls {Br/3 (y)} y∈F covers K , we can find a finite family {Bri /3 (yi )}i∈I

whose union still covers K and extract from it, thanks to Vitali’s covering

theorem, a subfamily {Bri /3 (yi )}i∈J made by pairwise disjoint balls such

that the union of the enlarged balls {Bri (yi )}i∈J covers K . In particular,

by our choice of the radii of the balls, the family {B Mri (G(yi ))}i∈J covers

G(K ). We have then

ri n

L n (G(K )) ≤ ωn (Mri )n = (3M)n ωn ≤ (3M)n L n (B).

i∈J i∈J

3

Letting B ↓ K we obtain (8.6).

Let us prove (ii). We denote by h the Radon–Nikodym derivative of

F# (1U L n ) with respect to L n ; by Theorem 7.5 we have that

1 L n (G(Br (y)))

h(y) = lim h(z) dz = lim ,

r↓0 ωn r n Br (y) r↓0 ωn r n

for L n –a.e. y ∈ A.

Taking into account that F# (1U L n ) is concentrated on A, and that

1/|JF | ◦ F −1 = |JG |, it remains to prove that for all y0 ∈ A we have

L n (G(Br (y0 )))

lim = |JG |(y0 ). (8.7)

r↓0 ωn r n

For the sake of simplicity we only consider the case when y0 = 0 and

G(0) = 0 (this is not restrictive, up to a translation in the domain and in

the codomain). We divide the rest of the proof in two steps.

Step 1. We assume in addition that DG(0) = I and show that

L n (G(Br (0)))

lim = 1, (8.8)

r↓0 ωn r n

which is equivalent to (8.7) in this case.

134 Luigi Ambrosio, Giuseppe Da Prato and Andrea Mennucci

|F(x) − x| |G(y) − y|

lim = 0, lim =0

|y|→0 |x| |y|→0 |y|

So, for any ε ∈ (0, 1) there exists δε > 0 such that if |x| < δε we have

x ∈ U \C F and |F(x)−x| < ε|x| and if |y| < δε we have y ∈ F(U \C F )

and |G(y) − y| < ε|y|. It follows that r < δε implies

(8.9)

In particular

L n (G(Br (0)))

(1 − ε)n ≤ ≤ (1 + ε)n ,

ωn r n

provided r < δε , and this proves that (8.8) holds.

Step 2. Set T = DG(0) and H (x) = T −1 G(x), so that D H (0) = I .

Then we have G(Br (0)) = T (H (Br (0))) and so, thanks to (8.4),

which implies

lim = | det T | lim = | det T |.

r↓0 ωn r n r↓0 ωn r n

The proof is complete.

Example 8.5 (Polar and spherical coordinates). Let us consider the

polar coordinates

(ρ, θ) → (ρ cos θ, ρ sin θ).

Here U = (0, ∞) × (0, 2π) and the critical set is empty, because the

modulus of the Jacobian determinant is ρ.

In the case of the spherical coordinates

we have U = (0, ∞) × (0, 2π) × (0, π) and the critical set is empty,

because the modulus of the Jacobian determinant is −ρ 2 sin φ.

135 Introduction to Measure Theory and Integration

set and let F : U → Rn of class C 1 , injective on U \ C F . Then

ϕ(y) dy = ϕ(F(x))|JF |(x) dx (8.11)

F(U ) U

F(C F ) is Lebegue negligible and so images of points in C F do not affect

the left hand side, while obviously points in C F do not affect the right

hand side. So, possibly replacing U with U \ C F , we can assume that

C F = ∅.

By (8.2) and (8.5) we have

ψ(y)

dy = ψ(F(x)) dx.

F(U ) |J F |(F (y))

−1

U

ϕ(y)|JF |(F −1 (y)).

Exercises

8.1 Let (X, F ), (Y, G ) and (Z , H ) be measurable spaces and let f : X → Y ,

g : Y → Z be measurable maps. Show that

g# ( f # μ) = (g ◦ f )# μ

N → [0, 1] be the map associating to a sequence (a ) ⊂ {0, 1}

8.2 Let f : {0, 1} i

the real number i ai 2−i−1 ∈ [0, 1]. Show that

∞

f# × 1 1

( δ0 + δ1 ) = 1[0,1] L 1 .

i=0 2 2

8.3

Show the existence of a strictly increasing and C 1 function F : R → R

such that F# L 1 is not absolutely continuous with respect to L 1 .

8.4

Remove the injectivity assumption in Theorem 8.4, showing that

1

F# (1U L n ) = 1 L n.

|J F|(x) F(U \C F )

x∈F −1 (y)\C F

Appendix A

on a parameter

In this section we consider the following problem: we are given a metric

space (X, d) and a measure space (Y, F , μ). Given f : X × Y → R, we

assume that for all x ∈ X the function f (x, ·) is μ–integrable, so that the

function F : X → R given by

F(x) := f (x, y) dμ(y) x∈X

Y

an integral depending on the parameter x, is continuous. When X is an

open subset of Rn endowed with the Euclidean distance, it is also natural

to investigate the differentiability properties of F.

Theorem A.1 (Continuity of F). Assume that f (·, y) is continuous in

X for μ-almost all y ∈ Y and that there exists m ∈ L 1 (Y, μ) satisfying

x∈X

Proof. It is clear that |F(x)| ≤ m1 for all x ∈ X. Continuity is a

simple consequence of the dominated convergence theorem: indeed, if

xn ∈ X converge to x, then f (xn , y) converge to f (x, y) for μ-almost

every y and the convergence is dominated because of (A.1). It follows

that F(xn ) → F(x).

A more expressive way to state the continuity of F is to say that limit

and integral commute, namely

lim f (x h , y) dμ(y) = lim f (x h , y) dμ(y).

h→∞ Y Y h→∞

138 Luigi Ambrosio, Giuseppe Da Prato and Andrea Mennucci

on f , then continuity might fail:

Example A.2. Let X = Y = R, μ = L 1 and

⎧

⎪

⎨|x|(1 − |y||x|) if |y||x| < 1;

f (x, y) :=

⎪

⎩

0 if |y||x| ≥ 1.

Then F(x) = 1 for all x = 0, while F(0) = 0. In this case the smallest

possible function satisfying (A.1) is |y|−1 which is not integrable.

Next, we assume that X is an open set of Rn endowed with the Euc-

lidean distance and we investigate the differentiability of F. Under suit-

able assumption, we can commute derivative and integral, namely

∂ ∂f

f (x, y) dμ(y) = (x, y) dμ(y) ∀x ∈ X, i = 1, . . . , n.

∂ xi Y Y ∂ xi

(A.2)

Theorem A.3 (Differentiability of F). Assume that for μ-almost all y ∈

Y the function f (·, y) is differentiable in X with a continuous gradient

∇x f (x, y) and that, for any ball Br (x0 ) ⊂ X, there exists m ∈ L 1 (Y, μ)

satisfying

x∈Br (x0 )

Proof. We fix x0 ∈ X, i ∈ {1, . . . , n} and xi = x + ti ei with ti = 0 and

ti → 0. The mean value theorem, applied for any y such that f (·, y) ∈

C 1 (X), gives θi (y) ∈ (0, 1) satisfying

F(x0 + ti ei ) − F(x0 ) ∂f

= (x0 + θi (y)ti ei , y) dμ(y)

ti Y ∂ xi

For i large enough (as soon as |ti | < r) the functions of y inside the

integral are dominated by the function m in (A.3), hence we can pass to

the limit with the dominated convergence theorem to get (notice that the

measurability of ∂ f /∂ xi (x0 , ·) follows by the same limiting process)

∂F ∂f

(x0 ) = (x0 , y) dμ(y).

∂ xi Y ∂ xi

previous theorem.

139 Introduction to Measure Theory and Integration

provided f (·, y) is k times differentiable and, for any ball Br (x0 ) ⊂ Rn

there exists m ∈ L 1 (Y, μ) satisfying

x∈Br (x0 ) | p|≤k

one obtains that

D p

f (x, y) dμ(y) = Dxp f (x, y) dμ(y) whenever | p| ≤ k.

Y Y

In this section we want to characterize the space (C(X))∗ , dual space of

C(X), with (X, d) compact metric space. Recall that C(X) is a Banach

space, when endowed with the sup norm, regardless of any assumption

on (X, d). Some knowledge of the basic terminology of Banach spaces

(dual space, dual norm) is needed for this section.

We start with some notation: we shall denote by M (X) the space of

signed measures μ, i.e. the real-valued and σ -additive set functions μ,

defined on B (X), of the form μ = μ+ − μ− with μ± positive and finite

Borel measures satisfying μ+ ⊥ μ− .

This orthogonality condition ensures uniqueness of the decomposition

of μ, as we will see in a moment; existence, instead, is just a consequence

of the σ -additivity (see Section 6.5), but we shall not use this fact in the

sequel.

For μ ∈ M (X) we denote |μ| = μ+ + μ− its total variation measure,

as in Section 6.5, and set

is unique, so that (A.4) is well posed, and that M (X) is a normed space.

The completeness of M (X) will be a consequence of Theorem A.6, since

any dual space is complete.

Proposition A.4. For any μ ∈ M (X) the decomposition μ = μ+ − μ−

is unique. In addition M (X), endowed with the norm (A.4), is a normed

space.

Proof. Assume that μ = μ+ − μ− = μ̃+ − μ̃− , with orthogonal decom-

positions. Let A be a Borel set where μ+ is concentrated, so that μ− is

concentrated on X \ A, and let Ã be an analogous Borel set for μ̃± . Since

140 Luigi Ambrosio, Giuseppe Da Prato and Andrea Mennucci

and the same property holds for Ã, we obtain that μ (and therefore μ±

and μ̃± ) vanishes on subsets of A \ Ã and of Ã \ A. On the other hand, if

B ⊂ A ∩ Ã we have μ− (B) = μ̃− (B) = 0 and

and μ− (B) = μ̃− (B). This proves that μ± = μ̃± .

Now, stability of M (X) under multiplication with real constants and

1-homogeneity of the norm are obvious. Let us prove stability under

addition and subadditivity of the norm: if μ = μ+ −μ− and ν = ν + −ν −

we can write as before μ = f |μ| and ν = g|ν| with f, g : X → [−1, 1].

Then, setting σ = |μ|+|ν|, the Radon–Nikodým theorem gives |μ| = aσ

and |ν| = bσ for suitable a, b : X → [0, 1], so that

We obtain also

μ + ν = | f a + gb| dσ ≤ |a| + |b| dσ = μ + ν.

X X

We shall also denote by A (X) the collection of open subsets of X

and use the following characterization of set functions defined on A (X)

which are restrictions of σ -additive measures defined on the Borel σ -

algebra.

Proposition A.5. Let (X, d) be a compact metric space and let α :

A (X) → [0, +∞] be a nondecreasing set function satisfying α(∅) = 0

and:

(i) (continuity) if An ∈ A (X), n ∈ N, monotonically converge from

below to A, then α(An ) ↑ α(A);

(ii) (subadditivity) α(A1 ∪ A2 ) ≤ α(A1 ) + α(A2 ) for all A1 , A2 ∈

A (X);

(iii) (additivity on disjoint sets) α(A1 ∪ A2 ) = α(A1 ) + α(A2 ) whenever

A1 ∈ A (X) and A2 ∈ A (X) are disjoint.

Then

α̃(B) := inf {α(A) : A ∈ A (X), A ⊃ B} (A.5)

is a σ -additive extension of α to B (X).

141 Introduction to Measure Theory and Integration

and B is an open set with compact closure in A, then B is contained in

the union of finitely many Ai ’s, so that (ii) gives

∞

α(B) ≤ α(Ai ).

i=1

Since B is arbitrary, (i) gives α(A) ≤ i α(Ai ).

Now, if we take (A.5) as the definition of α̃ for all subsets of X, Pro-

position 1.16 gives that α̃ extends α and is σ –subadditive. Then, The-

orem 1.17 gives that α is σ –additive on the Borel σ –algebra, provided

we are able to show that any Borel set is α̃–additive. Since the class of

additive sets is a σ –algebra, suffices to show that any closed set is α̃–

additive.

To this aim, we first show that α̃ is additive on distant sets, namely

(recall that dist(U, V ) is the infimum of the distances d(x, y) for x ∈ U

and y ∈ V )

A2 := {x ∈ A : dist(x, B2 ) < dist(x, B2 )}

one is a consequence of subadditivity.

Let F ⊂ X be closed, B ⊂ X and let us prove that α̃(B ∩ F) + α̃(B \

F) ≤ α̃(B) (the opposite inequality follows by subadditivity). Assuming

with no loss of generality α̃(B) < ∞ and setting

Bh := x ∈ B : 2h > dist(x, F) ≥ 2h−1 h∈Z

α̃(B2h ) ≤ α̃(B) < ∞, α̃(B2h+1 ) ≤ α̃(B) < ∞

h∈Z h∈Z

142 Luigi Ambrosio, Giuseppe Da Prato and Andrea Mennucci

sums are made on distant sets, all contained in B. We

have then that h∈Z α̃(Bh ) is convergent and, since the sets Bh are a

partition of B \ F, using once more the additivity on distant sets we get

N

∞

α̃(B ∩ F) + α̃(B \ F) ≤ α̃(B ∩ F) + α̃ Bh + α̃(Bh )

h=−∞ h=N +1

N

∞

= α̃ (B ∩ F) ∪ Bh + α̃(Bh )

h=−∞ h=N +1

∞

≤ α̃(B) + α̃(Bh )

h=N +1

For g ∈ C(X) we can define

g dμ := g dμ+ − g dμ− .

X X X

In this way g dμ is linear w.r.t. g; in addition, since

∞ ∞

+

hμ= μ ({h > t}) dt − μ− ({h > t}) dt

X

0 ∞ 0

0

obtain that X g dμ is also linear w.r.t. to μ. Since

! !

! !

! g dμ! ≤ +

|g| dμ + |g| dμ− ≤ max |g|μ = gμ

! !

X X X

∀g ∈ C(X)

the functional

L μ (g) := g dμ g ∈ C(X) (A.7)

X

is that any element in the dual is representable in this form, and that

equality holds. This will also prove that M (X) is a Banach space (with

the definition of M (X) given above, independent of Section 6.5, it is not

even totally obvious that it is a linear space!).

143 Introduction to Measure Theory and Integration

Theorem A.6 (Riesz). Let (X, d) be a compact metric space. The space

(C(X))∗ is, via (A.7), isomorphic and isometric to M(K ). That is: all

functionals L μ belong to (C(X))∗ and, for any L ∈ (C(X))∗ , there exists

a unique μ ∈ M(K ) satisfying L = L μ . Finally, L μ = μ.

Proof. The proof will be achieved in three steps. In the first one we build

an auxiliary positive finite measure μ∗ and prove in the second one that

μ∗ provides the desired representation of L when L is nondecreasing.

In the last one we achieve the general case and provide equality of the

norms.

Step 1. Let α ∗ : A (X) → [0, +∞) be defined by

Notice that α ∗ (X) ≤ L and that α ∗ (∅) = 0. Notice also that we can

equivalently replace |L(g)| with L(g) inside the supremum and that a

simple approximation argument gives

convergent to g and with support contained in A. In addition, if L is

monotone we have also

if g ∈ C(X) has support contained in A, since the support is compact

we have K ⊂ Ai for i large enough; it follows that L(g) ≤ α ∗ (Ai ) ≤

sup j α ∗ (A j ) and since g is arbitrary the continuity follows. In order to

prove the subadditivity, given a continuous g : X → [−1, 1] with support

K contained in A1 ∩ A2 , we can consider the disjoint compact sets K \

A1 and K \ A2 and a continuous function χ : X → [0, 1] identically

equal to 1 in a neighbourhood of K \ A1 and identically equal to 0 in a

neighbourhood of K \ A2 . It follows that (1 − χ)g has support contained

in A1 and χg has support contained in A2 , hence

additivity on disjoint sets it suffices to notice that, given gi with support

in Ai and |gi | ≤ 1, the function g = g1 + g2 has support in A1 ∪ A2 and

satisfies L(g) = L(g1 ) + L(g2 ) and |g| ≤ 1.

144 Luigi Ambrosio, Giuseppe Da Prato and Andrea Mennucci

positive measure μ∗ . Notice also that μ∗ is finite, since

μ∗ (X) = α ∗ (X) = L. (A.10)

Step 2. Now we claim that L μ∗ ≥ |L|, namely L μ∗ (g) ≥ |L(g)| for any

nonnegative g ∈ C(X). Also, we shall prove that if L is nondecreasing,

namely L(g) ≥ 0 whenever g ∈ C(X) is nonnegative, then L μ∗ coincides

with L. This proves already Riesz theorem for positive functionals.

By homogeneity, in the proof of the inequality L μ∗ (g) ≥ |L(g)|, it is

not restrictive to assume 0 ≤ g ≤ 1. Given an integer N ≥ 1, let us

consider the open sets Ai := {g > i/N }, i = 0, . . . , N − 1, and notice

that

1

N −1

1

N −1

+ 1 Ai ≥ g ≥ 1 Ai . (A.11)

N i=1

N i=1

1 Ai−1 , i = 1, . . . , N , we can use (A.8) to estimate

N −1

N −1 ! 1 N !

1 ∗ 1 ! !

L μ∗ (g) ≥ μ (Ai ) ≥ |L(χi+1 )| ≥ ! L χi !.

i=1

N i=1

N N i=2

But, since

1

N −1

1

N −1

1

+ χi ≥ g ≥ χi+1 (A.12)

N i=1

N i=1

N

we can let N → ∞ and use the continuity of L to get L μ∗ (g) ≥ |L(g)|.

If L is also monotone we can use the inequality (A.9) to get

1

N −1

1 ∗

N −1

1 1 N −1

L μ∗ (g) − ≤ μ (Ai ) ≤ L(χi ) = L χi .

N i=1

N i=1

N N i=1

Step 3. Now we define linear continuous functionals L ± : C(X) → R

by

L μ∗ (g) + L(g) L μ∗ (g) − L(g)

L + (g) := , L − (g) := .

2 2

We have L + + L − = L μ∗ and L + − L − = L. In addition, by Step 2, L ±

are monotone.

Now we can apply the construction of Step 1 and use monotonicity in

Step 2 to find positive finite measures μ± such that L ± = L μ± . It follows

that

L = L + − L − = L μ+ − L μ− = L μ

145 Introduction to Measure Theory and Integration

L μ∗ = L + + L − = L μ+ + L μ− = L μ+ +μ−

that μ+ and μ− are orthogonal. The bound on μ follows by (A.10):

μ∗ = μ+ + μ− to get a + + a − = 1 μ∗ –a.e. in X. On the other hand

the density of C(X) in L 2 (X, μ∗ ) and a truncation argument provide

a sequence of continuous functions gn : X → [−1, 1] convergent in

L 2 (X, μ∗ ) to the sign of a + − a − , so that

! !

! !

L = sup |L μ (g)| = sup !! (a − a )g dμ !! =

+ − ∗

|a + − a − | dμ∗ .

|g|≤1 |g|≤1 X

Hence

(1 − |a + − a − |) dμ∗ = μ∗ (X) − L ≤ 0.

X

a ± ∈ [0, 1] μ–a.e., this can only happen if a + a − = 0 μ∗ –a.e. in X,

which means that μ+ is orthogonal to μ− .

Remark A.7. A similar result holds, with minor changes in the proof,

if (X, d) is locally compact and separable, namely there exists an non-

decreasing sequence of open sets with compact closure whose union is

the whole of X. In this case C(X) has to be replaced by C0 (X), namely

the closure in C(X) of the space Cc (X) of compactly supported func-

tions, while M (X) remains unchanged.

Solutions of some exercises

text, and in particular of those marked with one or two

.

Chapter 1

Exercise 1.1. All verifications are very simple and we omit them.

Exercise 1.2. We prove the statement for the translations, the proof for

the dilations being similar. Fix h ∈ R and consider the class

F := {A ∈ B (R) : A + h ∈ B (R)} .

intervals is invariant under translations. Therefore F ⊃ σ (I ) = B (R).

This proves that A + h is Borel whenever A is Borel.

Exercise 1.3. Set X = N and μ := n δn . Then the sets An := {n, n +

1, . . .} satisfy μ(An ) = +∞, but their intersection is empty.

Exercise 1.4. Let An ↑ A with An , A ∈ A . Then the sets Bn := A \ An

satisfy Bn ↓ ∅, so that by assumption μ(Bn ) ↓ μ(∅) = 0. Since μ is

finite, μ(Bn ) = μ(A) − μ(An ), so that μ(An ) ↑ μ(A).

Exercise 1.5. For any n ∈ N∗ the set An of all atoms x such that μ({x}) ≥

1/n has at most cardinality nμ(X): indeed, if we choose k elements

x1 , . . . , xk in this sets, adding the inequalities μ({xi }) ≥ 1/n we find

k/n ≤ μ(X), whence the upper bound on the cardinality of An follows.

If μ is σ –finite, we choose X i ↑ X with X i ∈ E and μ(X i ) < ∞

and repeat the previous argument with the sets Ai,n := {x ∈ Aμ ∩ X i :

μ({x}) ≥ 1/n}, whose union gives Aμ . If not finiteness assumption is

made, the statement fails: take X = R, E = P (R) and μ(A) = 0 if

A = ∅ and μ(A) = +∞ otherwise.

Exercise 1.6. Let μ be diffuse. First we prove that for all τ ∈ (0, 1) and

all A ∈ E there exists a subset B ∈ E with 0 < μ(B) < τ μ(A). Indeed,

148 Luigi Ambrosio, Giuseppe Da Prato and Andrea Mennucci

if this property fails for some τ and A, for all subsets B either μ(B) = 0

or μ(B) ≥ τ μ(A). Now, choose B1 ⊂ A with μ(B1 ) ∈ (0, μ(A)) (this is

possible by assumption), then B2 ⊂ A \ B1 with μ(B2 ) ∈ (0, μ(B1 )) and

so on. Since all these sets are contained in A, we have μ(Bi ) ≥ τ μ(A),

and this contradicts the fact that they are disjoint.

Now, given t ∈ (0, μ(X)) we define a sequence of pairwise disjoint

sets Bi and numbers si as follows: first set

and then choose B1 with t ≥ μ(B1 ) > s1 /2; then recursively set

sn+1 := sup μ(B) : B ⊂ Bnc , μ(B) ≤ t − μ(Bn )

and choose Bn+1 ⊂ Bnc with t − μ(Bn ) ≥ μ(Bn+1 ) > sn+1 /2. We now

claim that μ(∪i Bi ) = t. If this property fails, then i μ(Bi ) < t and the

convergence of the series implies that si → 0. On the other hand

si ≥ sup μ(B) : B ⊂ X \ Bi , μ(B) ≤ t − μ(Bi )

i i

The previous property with A = X \ ∪i Bi and τ = (t − i μ(Bi ))/μ(A)

shows that the supremum in the right hand side (independent of i) is

positive, contradicting the fact that si → 0.

Exercise 1.7. Let X be a separable metric space and let E = B (X). If

μ({x}) > 0 for some x ∈ X, obviously μ is not diffuse. Conversely,

if A ∈ B (X) is given, with μ(A) > 0 and μ(B) ∈ {0, μ(A)} for all

B ⊂ A, we can fix a countable dense set (xi ) ⊂ X and define

r0 := sup r ≥ 0 : μ(A ∩ B r (x0 )) = 0 .

implies that μ(A ∩ B r0 (x0 )) > 0, and therefore μ(A ∩ B r0 (x0 )) = μ(A).

Now we iterate this construction, setting A1 := A ∩ B r0 (x0 ), defining

r1 := sup r ≥ 0 : μ(A1 ∩ B r (x1 )) = 0 ,

have a nonincreasing

family of sets (Ai ) with μ(Ai ) = μ(A); it follows

that μ( i Ai ) = μ(A) > 0. On the other hand, any point x ∈ i Ai

satisfies

d(x, xi ) = ri ∀i ∈ N.

149 Introduction to Measure Theory and Integration

By the density of the family (xi ), this intersection contains at most one

point (and at least one, because the measure is positive). It follows that

this point is an atom of μ.

Exercise 1.8. Cantor’s middle third set can be obtained as follows: let

C0 = [0, 1], let C1 the set obtained from C0 by removing the interval

(1/3, 2/3), let C2 be the set obtained from C1 by removing the intervals

(1/9, 2/9) and (7/9, 8/9), and so on. Each set Cn consists of 2n disjoint

closed intervals with length 3−n , so that λ(Cn ) = (2/3)n → 0. If follows

that the intersection C of all sets Cn is a closed and λ–negligible set.

In order to show that C has the cardinality of continuum (at this stage

it is not even obvious that C = ∅!) we recall that numbers x ∈ [0, 1]

can be represented with a ternary, instead of a decimal, expansion: this

means that we can write

x= ai 3−i = 0, a1 a2 a3 . . .

i≥1

with the ternary digits ai ∈ {0, 1, 2}. As for decimal expansions, this

representation is not unique; for instance 1/3 can be written either as 0.1

or as 0.0222 . . ., and 2/3 can be written either as 0.2 or as 0.1222 . . ..

It is easy to check that C1 corresponds to the set of numbers that can

be expressed by a ternary representation not having 1 as first digit, C2

corresponds to the set of numbers that admit a representation not having

1 as a first or second digit, and so on. It follows that C is the set of

numbers that admit a ternary representation not using the digit 1: since

the map

∗

∞

(a1 , a2 , . . .) ∈ {0, 2}N → x = ai 3−i

i=1

∗ ∗

provides a bijection of {0, 2}N with C, and the cardinality of {0, 2}N is

the continuum, this proves that C has the cardinality of continuum.

Exercise 1.9. Let {qn }n∈N be an enumeration of the rational numbers in

[0, 1], and set

∞

ε ε

A := (qn − 2−n , qn + 2−n ).

n=0

4 4

Then A ⊂ R is open and λ(A) < n ε2−n−1 = ε (why is the inequality

strict ?). Therefore [0, 1] \ A has Lebesgue measure strictly less than ε

and an empty interior, because [0, 1] \ A does not intersect Q.

Exercise 1.11 Let {In }n∈N be an enumeration of the open intervals with

rational endpoints of (0, 1). By the construction in Exercise (1.9), for any

150 Luigi Ambrosio, Giuseppe Da Prato and Andrea Mennucci

interval I and any δ ∈ (0, λ(I )) we can find a compact set C ⊂ I with

an empty interior such that 0 < λ(C) < δ. We will define

∞

E := Ci

i=0

where Cn ⊂ In are compact sets with an empty interior, λ(Cn ) > 0 and

λ(Cn ) < δn . The choice of Cn and δn will be done recursively. Notice

first that

λ(E ∩ In ) ≥ λ(Cn ) > 0 ∀n ∈ N,

so we have only to take care of the condition λ(E ∩ In ) < λ(In ). Set

βn = λ(In \ ∪n0 Ci ) and notice that βn > 0 because all Ci have an empty

interior. Since

n

∞

∞

λ(In ∩ E) ≤ λ(In ∩ Ci ) + δi = λ(In ) − βn + δi

0 i=n+1 i=n+1

it suffices to choose δn (and Cn ) in such a way that ∞n+1 δi < βn . This

is possible, choosing for instance δn+1 > 0 satisfying

1 1 1

δn+1 < max βn , βn−1 , . . . , n+1 β0 ,

2 4 2

Exercise 1.12. Let A be μ–measurable and let B, C ∈ E be satisfying

AB ⊂ C and μ(C) = 0. For any set D ⊂ X we have, by monotonicity

of μ∗ ,

of μ∗ and then the additivity of B we get

μ∗ (D ∩ A) + μ∗ (D \ A) ≤ μ∗ (D ∩ B) + μ∗ (D \ B) = μ∗ (D).

Exercise 1.13. The statement is trivial if μ∗ (A) = ∞. If not, for any

n ∈ N∗ we can find, by the definition of μ∗ , a countable union An of

sets ofN such that An ⊃ A and μ(An ) ≤ μ∗ (A) + 1/n. Then, setting

B := n An we have B ⊃ A and μ(B) ≤ infn μ∗ (A) + 1/n = μ∗ (A).

The inequality μ(B) ≥ μ∗ (B) follows by the monotonicity of μ∗ , taking

into account that μ∗ (B) = μ(B).

151 Introduction to Measure Theory and Integration

isimmedi-

ate,

because A c

B c

= AB; if A i B i ⊂ C i , then ( i A i )( i Bi ) ⊂

i C i , and since μ–negligible sets are stable under countable unions, this

proves that E μ is stable under countable unions.

The extension μ(A) := μ(B), where B ∈ E is any set such that AB

is contained in a μ–negligible set of E , is well defined and σ –additive on

E μ : if AB ⊂ C and AB ⊂ C , then BB ⊂ C ∪ C ; consequently,

if μ(C) = μ(C ) = 0 it must be μ(B) = μ(B ). The σ –additivity can be

proven with an argument analogous to the one used to show that E μ is a

σ –algebra.

μ–negligible sets of E μ are characterized by the property of being con-

tained in a μ–negligible set of E : if A ∈ E μ is μ–negligible, there exist

μ–negligible sets B, C ∈ E with AB ⊂ C; as a consequence A is

contained in the μ–negligible set B ∪ C ∈ E . Conversely, if A ⊂ X is

contained in a μ–negligible set C ∈ E we may take B = ∅ to conclude

that A ∈ E μ and μ(A) = 0.

Exercise 1.15. Let A be additive; by Exercise 1.13 we can find a set

B ∈ E containing A with μ(B) = μ∗ (A). The additivity of A and the

equality μ∗ (B) = μ(B) give

find a μ–negligible set C ∈ E containing A \ B. It follows that AB is

contained in C, and therefore A is μ–measurable.

{Ai }i∈I

Exercise 1.16. Let us first build a family of pairwise disjoints sets

⊂ P (N), with I and all sets Ai having an infinite cardinality and i Ai =

N (the construction of the σ –algebra will be more clear if we keep I and

N distinct). The family {Ai } can be obtained, for instance, through a

bijective correspondence S between N × N and N, setting Ai := S({i} ×

N). Then, we define π : N → I by

F := π −1 (J ) : J ⊂ I .

and that any nonempty set in F contains one of the sets Ai . Therefore

F contains infinitely many sets, and all of them except ∅ have an infinite

cardinality.

152 Luigi Ambrosio, Giuseppe Da Prato and Andrea Mennucci

and +∞ otherwise. A finite union of sets has an infinite cardinality if and

only if at least one of the sets has an infinite cardinality, and this shows

that μ is additive.

The solutions of the next exercises require a more advanced knowledge

of set theory, and in particular the theory of ordinals, the transfinite in-

duction, the behavior of cardinality under unions and products, and Zorn

lemma. We shall denote by ω the smallest uncountable ordinal and by χ

the cardinality of continuum.

Exercise 1.18. Notice that F ( j) ⊂ σ (K ) implies

∞

( j) ( j)

Ak , B : (Ak ) ⊂ F , B ∈ F

c

⊂ σ (K ).

k=0

ously,

if i has no predecessor, and F ( j) ⊂ σ (K ) for all j ∈ i, then

j∈i F

( j)

, namely F (i) , is contained in σ (K ). Using these two facts,

one obtains by transfinite induction that F (i) ⊂ σ (K ) for all i ∈ ω. An

analogous induction argument shows that F (i) ⊂ F ( j) whenever i ∈ j.

So, the union U := i∈ω F (i) is contained in σ (K ) and, to prove

that equality holds, it suffices to show that this union is a σ –algebra. Let

(Bk ) ⊂ U and let i k ∈ ω be such thatBk ∈ F (ik ) . Since i k are countable

and ω is uncountable we have i := k i k ∈ ω and all sets Bk belong to

F (i) . It follows that their union belongs to F ( j) , where j is the successor

of i, and therefore to U . An analogous (and simpler) argument proves

that U is stable under complement.

Exercise 1.19. Obviously B (R) has at least the cardinality of continuum,

so we need only to show an upper bound on the cardinality of B (R). The

proof is based on the fact that a union i∈J X i and a product × i∈J X i

have cardinality not greater than χ if the index set J and all sets X i have

cardinality not greater than χ. Let F (i) be defined as in Exercise 1.19,

with K having at most the cardinality of continuum. Using the previous

property of products, with J even countable, one can prove by transfinite

induction that, for all i ∈ ω, F (i) has at most cardinality χ. If we choose

as K the class of intervals, whose cardinality is (at most) χ, we find

B (R) = σ (K ) = F (i) .

i∈ω

X i = F (i) , to conclude that B (R) has at most the cardinality of con-

tinuum.

153 Introduction to Measure Theory and Integration

Exercise 1.20. Obviously L has a cardinality not greater than the car-

dinality of P (R); by Bernstein theorem (1) it suffices to show that the

cardinality of P (R) is not greater than the cardinality of L : if C is the

Cantor set of Exercise 1.8, we know that P (R) is in one-to-one corres-

pondence of P (C), because C has the cardinality of continuum; on the

other hand, any subset of C obviously belongs to L , because C has null

Lebesgue measure.

Exercise 1.21. Let E ⊂ P (X) be a σ –algebra. Assume by contradiction

that E is infinite and countable. We define the equivalence relation

F ⊂ E . Indeed, let F ∈ F , fix f ∈ F, for any x ∈ / F we have f ∼ x

so there must be B ∈ E such that f ∈ B and x ∈ B (or the opposite, but

then we may consider B c ); given this set B, for any g ∈ F we have that

g ∼ f implies g ∈ B, so that F ⊂ B. Since x is arbitrary we conclude

that

F= B.

B∈E ,F⊂B

that any set in E is union of sets in F : but then, if F were finite then E

would be finite, whereas if F were infinite then E would be uncountable.

Exercise 1.22 We define F as in the solution of the previous exercise, in

this case it has finite cardinality, say n; consequently, there are 2n sets in

E.

Exercise 1.23 We define F as in the solution of Exercise 1.21; we also

adapt the above argument to show again that F ⊂ E . Indeed, let F ∈ F ,

/ F we have f ∼ x so there must be B = B F,x ∈ E

fix f ∈ F, for any x ∈

such that f ∈ B and x ∈ B; and again F ⊂ B F,x . Hence

F= B F,x

x∈X, x ∈ F

a function φ : F → X such that φ(F) ∈ F,

Axiom of Choice to define

and eventually define μ̃ = F∈F μ(F)δφ(x) .

(1) If A has cardinality not greater than B, and B has cardinality not greater than A, then there exists

a bijection between A and B

154 Luigi Ambrosio, Giuseppe Da Prato and Andrea Mennucci

and μ0 : τ0 → {0, 1} which is additive but not σ –additive. For instance

we may take as τ0 the algebra generated by singletons {x} with x ∈ N

(i.e. the sets A ⊂ N such that either A or Ac are finite) and set

0 if A is finite;

μ0 (A) :=

1 if Ac is finite.

defined on the whole of P (N). If such an extension exists, it can’t be

σ –additive, because μ0 ({n}) = 0 for all n ∈ N, while μ0 (N) = 1.

In the class C of pairs (τ, μ) with τ algebra and μ : τ → {0, 1}

additive, we define the partial order relation (τ, μ) ≤ (τ , μ ) by τ ⊂

τ and μ|τ = μ; then we consider the class C 0 of all (τ, μ) satisfying

(τ, μ) ≥ (τ0 , μ0 ). By Zorn lemma, we can find a maximal (τ̄ , μ̄) in this

class: indeed, it is easy to check that any totally ordered chain I ⊂ C 0

has an upper bound (τ , μ ), defined by

τ := τ and μ (A) := μ(A) where A ∈ τ, (τ, μ) ∈ I.

(τ,μ)∈I

We will show that the maximality of (τ̄ , μ̄) forces τ̄ to coincide with

P (N), so that μ̄ will be the desired extension of μ0 .

Let us assume by contradiction that τ̄ P (N) and choose Z ⊂ N

with Z ∈

/ τ̄ . We notice that

(A1 ∩ Z ) ∪ (A2 ∩ Z c ) : A1 , A2 ∈ τ̄

following property

and μ̄(A1 ) = μ̄(A2 ) = 1, so that A1 and A2 would be disjoint and

μ̄(A1 ∪ A2 ) = 2, contradicting the fact that μ̄ maps τ̄ into {0, 1}. Possibly

replacing Z by its complement we shall assume that Z fulfils (A.13).

Now we extend μ̄ to the algebra generated by τ̄ ∪ {Z }, as follows:

(A.14)

Let us check that μ̃ is well defined and additive.

155 Introduction to Measure Theory and Integration

1. μ̃ is well defined: if

two numbers, say μ̄(A1 ), equals 1, while μ̄(A3 ) = 0. Defining A :=

A1 \ A3 we have μ̄(A) = 1 and A ∩ Z = ∅, contradicting (A.13).

2. Suppose B, B ∈ τ̄ are disjoint. Let B = (A1 ∩ Z ) ∪ (A2 ∩ Z c )

and B = (A1 ∩ Z ) ∪ (A2 ∩ Z c ). Then A1 ∩ A1 ∩ Z = ∅. Setting

A1 := A1 \ A1 we still have B = (A1 ∩ Z ) ∪ (A2 ∩ Z c ), and then we

can use the additivity of μ̄ to conclude that

μ̄(B), so that μ̃ extends μ̄ to the algebra generated by τ̄ ∪ {Z }. This

violates the maximality of (τ̄ , μ̄).

Exercise 1.25 We obviously need only to show that the cardinality of

C is at least equal to the continuum. By the inner regularity of λ we

can assume with no loss of generality that C is closed. Now, we define

A = (0, 1) \ C and

g(t) := λ [0, t] ∩ C t ∈ [0, 1].

This continuous function maps continuously [0, 1] onto [0, λ(C)], and

it is constant in any connected component of A, so that g(A) is at most

countable. Since g(C) contains [0, λ(C)] \ g(A) we obtain that C has

cardinality at least equal to the continuum (one can actually see that

g(C) = g([0, 1])).

Exercise 1.26 Since K is totally bounded, for all > 0 there exist fi-

nitely many balls B1 , . . . , B N with radius whose union covers K . The

properties of μ imply the existence of an index i such that μ({n : xn ∈

Bi }) = 1. Now we start with = 1 and find a closed ball B (1) with

radius 1 such that μ({n : xn ∈ B (1) }) = 1. Repeating this construction

in B (1) we find a closed ball B (2) with radius 1/2 contained in B (1) with

μ({n : xn ∈ B (2) }) = 1. Continuing in this way, if z is the common point

of the balls B (i) , we find xn μ-converges to z.

Chapter 2

Exercise 2.1 The verification is straightforward and is omitted.

156 Luigi Ambrosio, Giuseppe Da Prato and Andrea Mennucci

we can find a rational number r such that ϕ(x) < r and ψ(x) < t − r,

hence

{ϕ + ψ < t} = [{ϕ < r} ∩ {ψ < t − r}] .

r∈Q

√ √

{ϕ 2 > a} = {ϕ > a} ∪ {ϕ < − a}, a ≥ 0

(ϕ − ψ)2 we obtain that ϕψ is E –measurable.

Exercise 2.3. (i) The verification of the axioms of distance is immediate.

In order to prove the compactness of R, let us consider a sequence (xn ) ⊂

R. If supn xn = +∞ we can find for any k an index n(k) such that

xn(k) ≥ k; it follows that d(xnk , +∞) = | arctan xn(k) − π/2| tends to

0, so that xn(k) → +∞ in the metric space. Analogously, if infn xn =

−∞ we can find a subsequence converging to −∞ in (R, d). Finally, if

both supn xn and infn xn are finite, the sequence (xn ) is bounded and we

can extract, thanks to the Bolzano–Weierstrass theorem, a subsequence

xn(k) converging to x ∈ R. The continuity of z → arctan z implies that

xn(k) → x in (R, d). To prove the equivalence of the two topologies,

let us work with closed sets: if C ⊂ R is closed with respect to the

(R, d) topology, then it is closed with respect to the Euclidean topology,

because |xn − x| → 0 implies | arctan xn − arctan x| → 0. On the other

hand, if | arctan xn − arctan x| → 0 then for n large enough arctan xn

belongs to an interval I := (arctan x − ε, arctan x + ε) ⊂ (−π/2, π/2);

the continuity of y → tan y in I implies that xn → x. This proves the

converse implication, and the equivalence of the two topologies.

(ii) We notice first that, according to (i), B (R) and {−∞}, {+∞} belong

to B (R). Therefore, if f is measurable between E and the Borel σ –

algebra of (R, d), then it is E –measurable according to (2.2). According

to the measurability criterion, in order to prove the converse implication

it suffices to show that B (R) is generated by B (R) ∪ {−∞} ∪ {+∞}:

this follows by the fact that if C ⊂ R is closed, then

C = (C ∩ R) ∪ (C ∩ {−∞}) ∪ (C ∩ {+∞})

therefore the σ –algebra generated by this family of sets contains B (R).

Exercise 2.4. If { f = g} is contained in a μ–negligible set C of E ,

for some E –measurable function g, then { f > t}{g > t} ⊂ C for all

t ∈ R, and since {g > t} ∈ E it follows that { f > t} ∈ E μ ; this means

157 Introduction to Measure Theory and Integration

and find for all q ∈ Q a set Bq ∈ E and a μ–negligible set Cq ∈ E with

{ f > q}Bq ⊂ Cq . We define

g(x) := sup q ∈ Q : x ∈ Bq , C := Cq .

q∈Q

Since {g ≤ t} = q≤t Bq we have that g is E –measurable. Let us prove

that f (x) = g(x) for all x ∈ / C: for any such x we have x ∈ Bq for

all q < f (x), therefore g(x) ≥ f (x); if the inequality were strict, there

would exist q ∈ Q with x ∈ Bq and q > f (x), therefore x would be in

Bq \ { f > q} ⊂ Cq ⊂ C.

Exercise 2.5. If σ ≤ τ we can find a nondecreasing family of partitions

σ1 , . . . , σn with σ1 = σ , σn = τ and σi+1 \ σi containing just one point.

Therefore, in the proof of the monotonicity of σ → Iσ ( f ) we need only

to show that Iσ ( f ) ≤ Iσ ∪{t} ( f ) whenever t ∈ (0, ∞) \ σ . Let σ =

{t0 , . . . , t N } and let i be the last index such that ti < t. If i < N we use

the inequality

(ti+1 − ti ) f (ti+1 ) = (ti+1 − t) f (ti+1 ) + (t − ti ) f (ti+1 )

≤ (ti+1 − t) f (ti+1 ) + (t − ti ) f (t)

adding to both sides j=i (t j+1 −t j ) f (t j+1 ) we obtain Iσ ( f ) ≤ Iσ ∪{t} ( f ).

If i = N the argument is even easier, because the difference Iσ ∪{t} ( f ) −

Iσ ( f ) is given by (t − t N ) f (t).

Now, let f, g : (0, +∞) → [0, +∞) ∞ Iσ ( f + g) =

∞ be given; since

Iσ ( f ) + Iσ (g) we get Iσ ( f + g) ≤ 0 f (t) dt + 0 g(t) dt. Since

σ ∈ is arbitrary, this proves that

∞ ∞ ∞

f (t) + g(t) dt ≤ f (t) dt + g(t) dt.

0 0 0

∞

In

∞ order to prove the converse inequality, fix L < 0 f (t) dt, M <

0 g(t) dt and find σ, η ∈ with Iσ ( f ) > L and Iη (g) > M; then

∞

f (t) + g(t) dt ≥ Iσ ∪η ( f + g) = Iσ ∪η ( f ) + Iσ ∪η (g)

0

≥ Iσ ( f ) + Iη (g) > L + M.

∞ ∞

Letting L ↑ 0 f (t) dt and M ↑ 0 g(t) dt the inequality is proved.

Exercise 2.6. We will prove that f ∗ is lower semicontinuous, the proof

of the upper semicontinuity of f ∗ being analogous. Let (xn ) ⊂ R be

converging to x and use the definition of f ∗ (xn ) to find yn ∈ R such that

1 1

|xn − yn | < and f (yn ) ≤ f ∗ (xn ) + .

n n

158 Luigi Ambrosio, Giuseppe Da Prato and Andrea Mennucci

1

f ∗ (x) ≤ lim inf f (yn ) ≤ lim inf f ∗ (xn ) + = lim inf f ∗ (xn ).

n→∞ n→∞ n n→∞

Then, the lower semicontinuity of f ∗ gives

n→∞

is similar. Since the Borel σ –algebra is generated by halflines, it follows

that f ∗ and f ∗ are Borel, and the same is true for the set { f ∗ = f ∗ }, that

coincides with .

Exercise 2.8. Set ϕ0 := ϕ, A0 := {ϕ0 ≥ a0 } and ϕ1 := ϕ − a0 1 A0 ≥

0. Then, set A1 := {ϕ1 ≥ a1 } and ϕ2 := ϕ1 − a1 1 A1 and so on. If

ϕ(x) = +∞ then ϕn (x) = +∞ for all n, so that x belongs to all sets

n

Ai and i=0 ai 1 Ai (x) = +∞. We then assume that ϕ(x) < +∞ in the

following. By construction we have that 0 ≤ ϕi+1 ≤ ϕi ≤ · · · ≤ ϕ0 = ϕ,

hence

n n

ϕ = ϕn+1 + (ϕi − ϕi+1 ) = ϕn+1 + ai 1 Ai .

i=0 i=0

This proves that ϕ ≥ i ai 1 Ai . If the inequality were strict for some

x ∈ X with ϕ(x) < +∞, we could find ε > 0 such that ϕi (x) ≥ ε for

all i ∈ N, and since ai < ε for i large enough, we would get x ∈ Ai for i

large enough. But since the series i ai is not convergent, we would get

a 1

i i Ai (x) = ∞, a contradiction.

Exercise 2.9. Assume by contradiction that the absolute continuity prop-

−i

erty fails. Then, for some ε > 0 we can find Ai with μ(Ai ) < 2 and

Ai |ϕ| dμ ≥ ε. It follows that the set B := lim supi Ai is μ–negligible,

and

Bn := Ai \ B ↓ ∅.

i≥n

Since Bn |ϕ| dμ ≥ An |ϕ| dμ ≥ ε we find a contradiction with the dom-

inated convergence theorem applied to the functions 1 Bn |ϕ|, pointwise

converging to 0.

Exercise 2.10. Let ε > 0 be given and let δ > 0 be such that A |ϕ| dμ <

ε/2 whenever A ∈ E and μ(A) < δ. The triangle inequality gives,

with the same choice of A, A |ϕn | dμ < ε for n > n 0 , provided ϕn −

ϕ1 < ε/2 for n > n 0 . Since ϕ1 , . . . , ϕn 0 are integrable, we can find

δi > 0 such that A |ϕi | dμ < ε whenever A ∈ E and μ(A) < δi . If

159 Introduction to Measure Theory and Integration

δ0 = min{δ, mini δi }, we have A |ϕn | dμ < ε/2 whenever n ∈ N, A ∈ E

and μ(A) < δ.

A possible example for the second question is = [0, 1], μ = λ the

n

Lebesgue measure, and ϕn = 2n 1[2−n ,21−n ) . The uniform integrability is a

direct consequence of the convergence of ϕn to 0 in L 1 . If ϕn ≤ g, then

∞ ∞

ϕn = ϕn ≤ g

n=1 n=1

∞ ∞

but n=1 ϕn = 1 1/n = +∞.

Exercise 2.11. (a) For any y ∈ X we have

gλ (x) ≤ g(y) + λd(x, y) ≤ g(y) + λd(x , y) + λd(x, x ).

Since y is arbitrary we get gλ (x) ≤ gλ (x ) + λd(x, x ). Reversing the

roles of x and x the inequality is achieved.

(b) Clearly the family (gλ ) is monotone with respect to λ, and since we

can always choose y = x in the minimization problem we have gλ (x) ≤

g(x). Assume that supλ gλ (x) is finite (otherwise the statement is trivial)

and let xλ such that gλ (x) + λ−1 ≥ g(xλ ) + λd(x, xλ ). This inequality

implies that xλ → x as λ → ∞ and, now neglecting the term λd(x, xλ ),

that

1

gλ (x) + ≥ g(xλ ).

λ

Passing to the limit in this inequality as λ → ∞ and using the lower

semicontinuity of g we get supλ gλ (x) ≥ g(x).

Exercise 2.12. Let us first assume that f is bounded. For ε > 0 we

consider the functions

x+ε

1

f ε (x, y) := f (x , y) dx .

2ε x−ε

Since x → f (x, y) is continuous, we can apply the mean value theorem

to obtain that f ε (x, y) → f (x, y) as ε ↓ 0. So, in order to show that f

is a Borel function, we need only to show that f ε are Borel.

We will prove indeed that f ε are continuous: let xn → x and yn → y;

since f (x , yn ) → f (x , y) for all x ∈ R, we have

1[xn −ε,xn +ε] (x ) f (x , yn ) → 1[x−ε,x+ε] (x ) f (x , y)

for all x ∈ R \ {x − ε, x + ε}. Therefore, since f is bounded, the

dominated convergence theorem yields

1

f ε (x, y) = 1 (x ) f (x , y) dx

2ε R [x−ε,x+ε]

1

= lim 1 (x ) f (x , yn ) dx = lim f ε (xn , yn ).

2ε n→∞ R [xn −ε,xn +ε] n→∞

160 Luigi Ambrosio, Giuseppe Da Prato and Andrea Mennucci

bounded functions f h (x) := max{−h, min{ f (x), h}}, with h ∈ N, that

are still separately continuous, and therefore Borel.

Chapter 3

Exercise 3.1. On the real line, endowed with the Lebesgue measure,

the function (1 + |x|)−1 belongs to L 2 , but not to L 1 , and the function

|x|−1/2 1(0,1) (x) belongs to L 1 , but not to L 2 . Turning back to the general

case, if ϕ ∈ L p1 ∩ L p2 with p1 ≤ p2 , from the inequality

(that can be verified considering separately the cases |ϕ| ≤ 1 and |ϕ| > 1)

we get that ϕ ∈ L p for all p ∈ [ p1 , p2 ].

Exercise 3.2. The statement is trivial if f q = 0, so we assume that

f q > 0. For > 0 the set X := {| f | > } has finite μ–measure, by

the Markov inequality, hence the inclusion between L r spaces for finite

measures gives that | f |1 X ∈ L p (X, E , μ). Since the dominated conver-

gence theorem gives

lim | f − f 1 X |q dμ = lim | f |q dμ = 0

↓0 X ↓0 X\X

Exercise 3.3. By homogeneity we can assume that ϕ p = 1 and ψq =

1. Since

p

|ϕ| |ψ|q ϕ p ψq

+ − |ϕ||ψ| dμ = + −1=0

X p q p q

ishes μ–a.e. In particular, for μ–a.e. x, |ϕ(x)| is a minimizer of

yq

y → − |ψ(x)|y

q

in [0, +∞). But this problem has a unique minimizer, given by |ψ(x)|q−1,

and we conclude.

Exercise 3.4. It suffices to apply Hölder’s inequality to the functions |ϕ|r

and |ψ|r , with the dual exponents p/r and q/r, to obtain

161 Introduction to Measure Theory and Integration

Exercise 3.5. The positive part and the negative part of ϕ − ϕn have the

same integral, hence

|ϕ − ϕn | dμ = 2 (ϕ − ϕn )+ dμ.

X X

gent to 0; in addition, since ϕn are nonnegative, the functions are dom-

inated by ϕ + . Therefore the dominated convergence theorem gives the

result.

Exercise 3.6. If ψn → ψ μ–a.e. we apply Fatou’s lemma to the functions

ψn + ϕn to obtain

lim inf ψn + ϕn dμ ≥ ψ + ϕ dμ.

n→∞ X X

Therefore

lim sup ψn dμ + lim inf ϕn dμ ≥ ϕ dμ + ψ dμ.

n→∞ X n→∞ X X X

Subtracting ψ dμ from both sides the statement is achieved. In the

general case, let n(k) be a subsequence such that limk ϕn(k) dμ =

lim infn X ϕn , and let n(k(s)) be a further subsequence converging to

ϕ μ–a.e. Then

lim inf ϕn dμ = lim ϕn(k(s)) dμ ≥ lim inf ϕn(k(s)) dμ

n→∞ s→∞ X n

X

X

X n→∞

tg(x) + (1 − t)g(y) for all x, y ∈ J and t ∈ [0, 1]. We prove first, by

induction on m, that

m

2

1 2m

1

g m

xi ≤ g(xi )

i=1

2 i=1

2m

for all x1 , . . . , x2m ∈ J . The case m = 1 is (3.13) and the induction step

can be achieved grouping the terms as follows:

m−1

2m

1 1 2 1 2m−1

1

xi = xi + x2m−1 +i .

i=1

2m 2 i=1 2m−1 i=1

2m−1

162 Luigi Ambrosio, Giuseppe Da Prato and Andrea Mennucci

otherwise, we get

k

g(t x + (1 − t)y) ≤ tg(x) + (1 − t)g(y) with t = .

2m

Since g is continuous, by approximation we get g(t x + (1 − t)y) ≤

tg(x) + (1 − t)g(y) for all x, y ∈ J and t ∈ [0, 1].

Exercise 3.8. Let us first show the existence of z 0 . Let A = g(R) and

let u n = g(z n ) with u n ↓ inf A. Since u n is uniformly bounded from

above, our assumption on g ensures that (z n ) is bounded. By the Bolzano-

Weierstrass theorem we can find a subsequence z n(k) convergent to z ∈

R. The continuity of g gives that u n(k) = g(z n(k) ) converge to g(z). It

follows that inf A is finite and coincides with g(z). Now, by applying the

convexity inequality of the previous exercise with x = z 2 , y = z 0 and

t = (z 1 − z 0 )/(z 2 − z 0 ), we get

g(z 2 ) − g(z 1 ) g(z 1 ) − g(z 0 )

≥ ≥0

z2 − z1 z1 − z0

for z 0 < z 1 < z 2 , proving the monotonicity of g in [z 0 , +∞). The

argument in (−∞, z 0 ] is analogous.

Exercise

3.9. Fatou’s lemma gives lim infn ϕn dμ ≥ lim infn ϕn dμ ≥

ϕ dμ. Therefore tn := ϕn dμ → t := ϕ dμ; we can apply Exer-

cise 3.5 to the functions ϕn /tn to obtain that ϕn /tn → ϕ/t in L 1 . From

this, taking into account that tn → t, the convergence of ϕn to ϕ in L 1

follows.

Exercise 3.10. Let (c) := (c)/c and notice that |ϕi | ≤ c(|ϕi |)/(c)

= (|ϕi |)/(c) on {|ϕi | ≥ c}. Therefore

(|ϕi |) M

|ϕi | dμ ≤ dμ+ |ϕi | dμ ≤ +cμ(A).

A A∩{|ϕi |≥c} (c) A∩{|ϕi |<c} (c)

Let us choose c sufficiently large, such that M/(c) < ε/2, and then

δ > 0 such that cδ < ε/2. The inequality above yields A |ϕi | dμ < ε

whenever μ(A) < δ.

Exercise 3.11. Let ( f n ) ⊂ Cb (X) be converging in L 1 to f , and let f n(k)

be a subsequence pointwise convergent μ–a.e. to f . Then, given any

ε > 0, by Egorov theorem we can find a Borel set B ⊂ X with μ(B) < ε

and f n(k) → f uniformly on B c . By the inner regularity of the measure

we can find a closed set C ⊂ B c such that μ(X \ C) < ε. The function f

restricted to C, being the uniform limit of bounded continuous functions,

is bounded and continuous.

163 Introduction to Measure Theory and Integration

Chapter 4

Exercise 4.1. Notice that ·, · is obviously symmetric, that x, −y =

−x, y = −x, y and that x, x = x2 ≥ 0, with equality only if

x = 0. Notice that the parallelogram identity gives

= 8x, y + 8x , y − 2x − y2 − 2x − y2

and

x + x − 2y2 + x − x 2 = 2x − y2 + 2x − y2

= 8x, −y + 8x , −y − 2x + y2 − 2x + y2 .

So, we proved that x + x , 2y = 2x, y + 2x , y. Using the relation

u, 2v = 4u/2, v (due to the definition of ·, · and the homogeneity

of · ), we get

% &

x + x 1 1

, y = x, y + x , y.

2 2 2

Setting x = t1 v, x = t2 v, and defining the continuous function φ(t) =

tv, y, we get

t1 + t2 1 1

φ = φ(t1 ) + φ(t2 ).

2 2 2

This means that φ and −φ are convex in R, so that φ is an affine function,

and since φ(0) = 0 we get φ(t) = tφ(0), i.e. tu, y = tu, y. Coming

back to the identity above, we get x + x , y = x, y + x , y.

Exercise 4.2. Assume that y = π K (x). For all z ∈ K and t ∈ [0, 1] we

have y + t (z − y) belongs to K , so that

y + t (z − y) − x2 ≥ y − z2 .

or computing the right derivative at t = 0) that z − y, x − y ≤ 0.

Conversely, if for some y ∈ K this condition holds for all z ∈ K , the

164 Luigi Ambrosio, Giuseppe Da Prato and Andrea Mennucci

all t ≥ 0. Choosing t = 1 we get z − x ≥ y − x, proving that

y = π K (x).

Exercise 4.3. Let Yk be the vector space spanned by { f 1 , . . . , f k } and

let us prove by induction on k ≥ 1 that f i is orthogonal to f j whenever

1 ≤ i < j ≤ k. First we observe that if this property holds for some k,

then Yk is k-dimensional and coincides with the vector space spanned by

{v1 , . . . , vk } (being contained in it, and with the same dimension).

The orthogonality of the vectors f i can be obtained just noticing that

k−1

f k = vk − vk , ei ei .

i=1

that ek , ei = 0 for all i < k.

Exercise 4.4. Let y = x− k x, ek ek ; we know that the series converges

in H by Bessel’s inequality. In order to show that k x, ek ek = π X (x)

it suffices to prove that y is orthogonal to all vectors in X. But since

any vector v ∈ X can be represented as a series, it suffices to show that

v, ei = 0 for all i. The continuity and linearity of the scalar product

give

∞

y, ei = x, ei − x, ek x, ei = x, ei − x, ei = 0.

k=0

Exercise 4.5 Since X and its scalar product coincide with L 2 ([0, 1],

P ([0, 1]), μ), where μ is the counting measure in [0, 1], we obtain

that X is an Hilbert space. Let us prove by contradiction that X is not

separable. If S = { f n }n≥1 were a dense subset, it could be possible to

find a countable set D ⊂ [0, 1] such that f n (x) = 0 for all n and all

x ∈ [0, 1] \ D. Since [0, 1] is not countable we can find x0 ∈ [0, 1] \ D

and define g0 (x) equal to 1 if x = x0 and equal to 0 if x = x0 . We

claim that g0 does not belong to the closure of S. If this property fails,

we can find a sequence ( f n(k) ) ⊂ S convergent to g0 μ–a.e. in [0, 1];

but, convergence μ–a.e. corresponds to pointwise convergence and since

g0 (x0 ) = 0, while f n(k) (x0 ) = 0 for all k, we obtain a contradiction.

Exercise 4.6. By Parseval identity we know that x → (x, ei )) is a

linear isometry from H to 2 . As a consequence, taking the parallelogram

identity into account, the scalar product is preserved.

Exercise 4.7. We consider the class of orthonormal systems {ei }i∈I of H ,

ordered by inclusion. Zorn’s lemma ensures the existence of a maximal

165 Introduction to Measure Theory and Integration

system {ei }i∈I . Let V be the subspace spanned by ei , let Y be its closure

(still a subspace) and let us prove that Y = H . Indeed, if Y were a proper

subspace of H , we would be able to find, thanks to Corollary 4.5, a unit

vector e orthogonal to all vectors in Y , and in particular to all vectors

ei . Adding e to the family {ei }i∈I the maximality of the family would be

violated. Now, by the just proved density of V in H , given any x ∈ H

we can find a sequence of vectors (vn ), finite combinations of vectors ei ,

such that x − vn → 0. If we denote by Jn ⊂ I the set of indexes used

to build the vectors {v1 , . . . , vn }, and by Hn the vector space spanned by

{ei }i∈Jn , we know by Proposition 4.6 that

x − x, ei ei ≤ x − vn → 0.

i∈Jn

As a consequence, setting J = ∪n Jn , we have x = i∈J x, ei ei .

Chapter 5

Exercise 5.1. The functions sin mx cos lx are odd, therefore their integral

on (−π, π) vanishes. To show that sin mx is orthogonal to sin lx when

l = m, we integrate twice by parts to get

π

m π

sin mx sin lx dx = cos mx cos lx dx

−π l −π

m2 π

= 2 sin mx sin lx dx.

l −π

Exercise 5.2. Since for N < M we have

N

M

M

∞

xn − xn ≤ xi ≤ xi

n=0 n=0 i=N +1 i=N +1

we obtain that ( 0N xi ) is a Cauchy sequence in E. Therefore the com-

pleteness of E provides the convergence of the series. Passing to the

limit as N → ∞ in the inequality 0N xi ≤ 0N xi and using the

continuity of the norm we obtain (5.15).

√

Exercise 5.3. We consider only the first system gk = 2/π sin kx, the

proof for the second one being analogous. The fact that (gk ) is orthonor-

mal can be easily checked noticing that gk are restrictions to (0, π) of

odd functions, and using the orthogonality of sin kx in L 2 (−π, π). Ana-

logously, if f ∈ L 2 (0, π) let us consider its extension f˜ to (−π, π) as an

166 Luigi Ambrosio, Giuseppe Da Prato and Andrea Mennucci

odd function and its Fourier series, which obviously contains no cosinus.

In (0, π) we have

N

N

bk sin kx = f, gk gk ,

k=1 k=1

where the scalar products are understood in L 2 (0, π). Therefore, from

the convergence of the Fourier series in L 2 (−π, π) to f˜, which implies

convergence in L 2 (0, π) to f , the completeness follows.

Exercise 5.4. Clearly ek , ek = 1, while

π ) *π

ikx −ilx 1

e e dx = e i(k−l)x

dx =0 whenever k = l.

−π i(k − l) −π

N system.

Since the Fourier series SN f = −N f, ek ek of f depends linearly on

f , in order to show completeness we need only to show S N f → f when

f is real-valued and when f is imaginary-valued (i.e. i f is real-valued).

We consider only the first case, the second one being analogous. Setting

ck = f, ek , we have

π

1

ck = √ f (x) cos kx − i f (x) sin kx d x.

2π π

√

As a consequence, for k ≥ 1 we have 2/πck = ak − ibk , where ak and

√ k ≤ −1 we

bk are√the coefficients of the real Fourier series of f , and for

have 2/πck = a−k + ib−k . For k = 0, instead, we have 2/πc0 = a0 .

Taking into account these relations and setting b0 = 0, we have

N

N

eikx 1

ck √ = (cos kx + i sin kx)(ak − ibk )

k=−N 2π 2 k=1

−1

+ (cos kx + i sin kx)(a−k − ib−k )

k=−N

N

a0

= + Re (cos kx + i sin kx)(ak − ibk )

2 k=1

a0 N

= + ak cos kx + bk sin kx,

2 k=1

valued case.

167 Introduction to Measure Theory and Integration

π 2

1 −ikx

f (x)e dx = ( f, ek )2 ,

2π −π

where (ek ) is the orthonormal system of Exercise 5.4 and to use its com-

pleteness.

2N ikz

Exercise 5.6. From the identity i=0 e = (ei(2N +1)z − 1)/(ei z − 1),

we get

N

2N

ei(2N +1)z − 1

eikz = e−i N z eikz = e−i N z =

k=−N k=0

ei z − 1

i(N +1/2)z

e − e−i(N +1/2)z sin((N + 1/2)z)

= = (A.15)

e i z/2 −e −i z/2 sin(z/2)

N

1 π

S N f (x) = f (y)e−iky dy eikx

k=−N

2π −π

N π

1

= f (y)eik(x−y) dy

k=−N

2π −π

π

1

= f (y)G N (x − y) dy.

2π −π

Using the fact that sin((N + 1/2)z)/ sin(z/2) has, still because of (A.15),

mean value 1 on (−π, π), we get

π

1

f (x) − S N f (x) = ( f (x) − f (y))G N (x − y) dy.

2π −π

x 2 , whose Fouries series contains no sinus. It is simple to check, by

integration by parts, that a0 = 2π 2 /3 and that ak = 4k −2 cos kx for

k ≥ 1. We have then

1 π

2 a2 ∞

4 ∞

16

x 4 dx = π 4 = 0 + ak2 = π 4 + .

π −π 5 2 k=1

18 k=1

k4

∞

Rearranging terms, we get 1 k −4 = π 4 /90.

168 Luigi Ambrosio, Giuseppe Da Prato and Andrea Mennucci

are recursively defined by Q 0 = 1 and

n−1

x n , Q k

n−1

Q n (x) := x n − Q k (x) = x n − x n , Pk Pk (x) ∀n ≥ 1.

k=0

Q k , Q k k=0

√

(a) Since Q 0 = 1, P0 = 1/ 2 and Q 1 = √ x − x, P0 P0 = x, because

x, P0 = 0. As a consequence P1 (x) = 3/2x. Since x 2 , P1 = 0, we

have also

1

Q 2 (x) = x 2 − x 2 , P0 P0 − x 2 , P1 P1 = x 2 −

3

√

and this leads, with simple calculations, to P2 (x) = 45/8(x 2 − 1/3).

(b) Let H be the closure of the vector space spanned by Cn . This space

contains all monomials x n , and therefore all polynomials. Since the poly-

nomials are dense in C([a, b]), for the sup norm, they are also dense in

L 2 (a, b). It follows that H = L 2 (a, b). By Proposition 4.13 we conclude

that (Cn ) is complete.

(c) Set

(

2n + 1 1 dn 2

z n := , P̃n (x) := z n n (x − 1)

n

2 2n n! d x

Clearly the polynomial P̃n has degree n. So, in order to show that P̃n =

Pn , we have to show that P̃n is orthogonal to all monomials x k , k =

0, . . . , n −1, and that P̃n 2 = 1. Since P̃n has zeros at ±1 with multipli-

city n, all its derivatives at ±1 with order less than n are zero. Therefore,

for k < n we have

) *1 1

d n−1 d n−1

P̃n , x k = z n x k n−1 (x 2 − 1)n − k x k−1 n−1 (x 2 − 1)n dx

d x −1 −1 d x

= ···

) n−k *1

d

= (−1) k!z n n−k (x − 1)

k 2 n

= 0.

d x −1

1

d n−1 2 n d

n+1

P̃n , P̃n = −z n2 n−1 x

(x − 1) n+1 x

(x 2 − 1)n dx = · · ·

−1 d d

1 2n

(A.16)

2 n d

= zn

2

(1 − x ) 2n (x − 1) dx.

2 n

−1 d x

169 Introduction to Measure Theory and Integration

1 1

(1 − x ) dx = 2n

2 n

(1 − x 2 )n−1 x 2 dx

−1 −1

1 1

= −2n (1 − x ) dx + 2n

2 n

(1 − x 2 )n−1 dx,

−1 −1

so that

1 1

2n

(1 − x ) dx =

2 n

(1 − x 2 )n−1 dx = · · ·

−1 2n + 1 −1

1

(2n)!! 2(2n)!!

= (1 − x 2 )0 dx = .

(2n + 1)!! −1 (2n + 1)!!

d 2n 2

(x − 1)n = (2n)! = (2n)!!(2n − 1)!! = 2n n!(2n − 1)!!

d 2n x

from (A.16) we get

2n + 1 1 2(2n)!! n

P̃n , P̃n = 2 n!(2n − 1)!! = 1.

2 22n (n!)2 (2n + 1)!!

π

1

ck = f (x)e−ikx dx.

2π −π

π

1 1

ck = f (x)e−ikx dx.

ik 2π −π

π

1 1

ck = f (m) (x)e−ikx dx.

(ik)m 2π −π

Chapter 6

Exercise 6.1. Let us prove the inclusion

(F 1 × F 2 ) × F 3 ⊂ F 1 × (F 2 × F 3 ),

170 Luigi Ambrosio, Giuseppe Da Prato and Andrea Mennucci

the proof of the converse one being analogous. We have to show that all

products A × B, with A ∈ F 1 × F 2 and B ∈ F 3 belong to F 1 ×

(F 2 × F 3 ). Keeping B fixed, the class of sets A for which this property

holds is a σ –algebra that contains the π–system of measurable rectangles

A = A1 × A2 (because A × B = A1 ×(A2 × B) and A2 × B ∈ F 2 ×F 3 ),

and therefore the whole product σ –algebra F 1 × F 2 .

For all A in the product σ –algebra we have

(μ1 × μ2 ) × μ3 (A) = μ3 (A x1 x2 ) dμ1 × μ2 (x1 , x2 )

X 1 ×X

2

= μ3 (A x1 x2 ) dμ2 (x2 ) dμ1 (x1 )

X1 X2

= μ2 × μ3 (A x1 ) dμ1 (x1 ) = μ1 × (μ2 × μ3 )(A).

X1

1 B (R), and thanks to

Lemma 6.9 the same is true for the open sets. It follows that B (Rn ) is

contained in × n

1 B (R). Let us consider the class

M := B ⊂ R : B × R × · · · × R ∈ B (Rn ) .

This class contains the open sets (because the product of open sets is

open) and it is a σ –algebra, so it contains B (R). We have thus proved

that all rectangles B1 × R × · · · × R, with B1 Borel belong to B (Rn ). By

a similar argument we can show that all rectangles

R × · · · × R × Bi × R × · · · × R

rectangles with Borel sides belong to B (Rn ) and we conclude.

Exercise 6.3. Assume that A, B ∈ L 1 ; then there exist Borel sets

A , B and Borel Lebesgue negligible sets N A , N B with AA ⊂ N A

and BB ⊂ N B . Since A × B ∈ B (R2 ), by the previous exercise,

(A × B)(A × B ) ⊂ (N A × R) ∪ (R × N B )

This proves that L 2 contains the generators of L 1 × L 1 , and therefore

the whole σ –algebra. In order to show the strict inclusion, we consider

the set E = F × {0}, where F ⊂ R is not Lebesgue measurable. Since

E is L 2 –negligible we have E ∈ L 2 . On the other hand, since the 0

171 Introduction to Measure Theory and Integration

set E can’t belong to the product of the two σ –algebras.

Exercise 6.4. Let A be the σ –algebra generated by these sets; since these

sets are obviously cylindrical, A is contained in the product σ –algebra.

The class of sets B ⊂ × n

1 X i such that B × X n+1 × X n+2 × · · · ∈ A

is a σ –algebra containing the measurable rectangles A1 × · · · × An , and

therefore contains the product σ –algebra × n

1 F i . Therefore A contains

the cylindrical sets and, by definition, the whole product σ –algebra.

Exercise 6.5. The#sections Ty := {(x, z) : (x, y, z) ∈ T } are squares

with length side 2 r 2 − |y|2 for 0 ≤ |y| ≤ r, hence

r r

1 16

L (T ) =

3

L (Ty ) dy = 8

2

(r 2 − y 2 ) dy = 8(r 3 − r 3 ) = r 3 .

−r 0 3 3

r := (x12 + x22 )1/2 , Ar := (x3 , . . . , xn ) : (x32 + · · · + xn2 ) < 1 − r 2 .

1

ωn = L n−2 (Ar ) dx1 dx2 = 2πωn−2 r(1 − r 2 )(n−2)/2 dr

{r<1} 0

2π

= ωn−2 .

n

Therefore

2k−1 π k−1 πk

ω2k = ω2 =

2k(2k − 2) · · · 4 k!

and an analogous argument gives ω2k+1 = 2k+1 π k /(2k + 1)!!.

π n/2

Exercise 6.7. In order to show that ωn = n we show that the right

( +1)

2

hand side satisfies the same recursion formula of the previous

√ exercise.

Since (thanks to the identities (1) = 1, (1/2) = π) the formula

holds when n = 1, 2, this will prove that the identity holds for all n. For

n ≥ 2 we have

π n/2 π · π (n−2)/2 2π π (n−2)/2

= = .

( n2 + 1) n

2

( n2 ) n ( (n−2)

2

+ 1)

set N ∈ F ×G and a F ×G –measurable function F̃ : X ×Y → [0, +∞]

such that {F = F̃} is contained in N . By applying the Fubini–Tonelli

172 Luigi Ambrosio, Giuseppe Da Prato and Andrea Mennucci

Since {F(x, ·) = F̃(x, ·)} ⊂ N x , still Exercise 2.4 gives that F(x, ·) is

ν–measurable for μ–a.e. x ∈ X. This proves statement (i). Since, still for

μ–a.e. x ∈ X, the integral on Y (with respect to ν) of F(x, ·) coincides

with the integral of F̃(x, ·), statements (ii) and (iii) follow by applying

the Fubini–Tonelli theorem to F̃.

Exercise 6.9. Indeed, μ(D y ) = μ({y}) = 0 for all y ∈ Y , so that

Y μ(D y ) dν(y)

= 0. On the other hand, ν(Dx ) = ν({x}) = 1 for all

x ∈ X, so that X ν(Dx ) dμ(x) = 1.

Exercise 6.10. Let (h(k)) be a subsequence such that k f h(k) − f 1 is

convergent. Then the Fubini–Tonelli theorem gives

∞

| f h(k) (x, y) − f (x, y)| dν(y) dμ(x)

X k=0 Y

∞

= | f h(k) (x, y) − f (x, y)| dμ × ν < ∞.

k=0 X×Y

It follows that k f h(k) (x, ·) − f (x, ·) L 1 (ν) is finite for μ–a.e. x ∈

X, and for any such x the functions f h(k) (x, ·) converge to f in L 1 (ν).

Choosing Y = { ȳ} and ν = δ ȳ , to provide a counterexample it is suffi-

cient to consider any example (see Remark 3.7) of a sequence converging

in L 1 but not μ–almost everywhere.

Exercise 6.11. It suffices

to apply (6.15) to |h| to show that |h| d f μ is

finite if and only if |h| f dμ is finite.

Exercise 6.12. We prove the property for the sup, the property for the inf

being analogous. If A = B1 ∪ B2 with B1 ∈ F and B2 ∈ F disjoint, we

have

f μ(B1 ) + gμ(B2 ) = f dμ + g dμ

B1 B2

≤ f ∨ g dμ + f ∨ g dμ

B1 B2

= f ∨ g dμ.

A

( f ∨g)μ(A). The converse inequality can be obtained noticing that, in the

chain of equalities-inequality above, the inequality becomes an equality

if we choose B1 = A ∩ { f ≥ g} and B2 = A ∩ { f > g}.

Exercise 6.13. It is easy to check that μ ≤ μi (respectively, μ ≥ μi ) for

all i ∈ I , and that any measure ν with this property is less than μ (resp.

173 Introduction to Measure Theory and Integration

than μ): just write ν(B) =

greater k ν(Bk ) ≤ k μi(k) (Bk ) (resp.

≥ k μi(k) (Bk ). So, it remains to show that μ and μ are σ -additive.

For any map i : N → I , A1 , A2 ∈ F disjoint and any countable F –

measurable partition of A1 ∪ A2 we have

∞

∞

∞

μi(k) (Bk ) = μi(k) (Bk ∩ A1 ) + μi(k) (Bk ∩ A2 ).

k=0 k=0 k=0

Estimating the right hand side from below with μ(A1 ) + μ(A2 ) we get

(because (Bk ) is arbitrary) that μ is superadditive, i.e. μ(A1 ∪ A2 ) ≥

μ(A1 ) + μ(A2 ). With a similar argument one can prove not only that μ

is subadditive, but also that μ is σ –subadditive (it suffices to consider a

countable F –measurable family, instead of 2 sets).

Now, let us prove that μ is subadditive and μ is superadditive. Let

A1 , A2 ∈ F be disjoint and let Bk1 , Bk2 be countable F –measurable

partitions of A1 and A2 respectively. If i 1 , i 2 : N → I we define i(2k) =

i 1 (k), B2k = Bk1 and i(2n + 1) = i 2 (n), B2k+1 = Bk2 , so that

∞

∞

∞

μ(A1 ∪ A2 ) ≤ μi(k) (Bk ) = μi1 (k) (Bk1 ) + μi2 (k) (Bk2 ).

k=0 k=0 k=0

μ(A1 ) + μ(A2 ). With a similar argument one can prove that μ is even

σ –subadditive (one has to use a bijection between N × N and N) and that

μ is superadditive.

Exercise 6.14. If for all ε > 0 there exists δ > 0 satisfying

ε > 0, hence ν(A) = 0. If ν is finite, to prove the converse we argue by

contradiction. Assume that, for some ε0 , we can find sets An ∈ F with

μ(An ) < 2−n and ν(An ) ≥ ε0 . Then, by the Borel–Cantelli lemma the

set A := lim supn An is μ–negligible. On the other hand, we have

∞

ν Am ≥ ν(An ) ≥ ε0

m=n

contradicting the absolute continuity of ν with respect to μ.

Exercise 6.15. Let B ∈ F be a μ–negligible set where ν is concentrated.

Then ν(E) = ν(E ∩ B) for all E ∈ F . But, by the absolute continuity

174 Luigi Ambrosio, Giuseppe Da Prato and Andrea Mennucci

μ–negligible.

Exercise 6.16. Let B ∈ F be a ν–negligible set where σ is concentrated.

Then

negligible.

Exercise 6.17. It is easy to check that the class of functions f satisfying

f μ ≤ ν is a lattice. Hence, given a maximizing sequence ( f h ) in (6.20),

possibly replacing f h by maxi≤n f i , we can assume that f h ↑ f . The

monotone convergence theorem gives that f is a maximizer.

In order to show that ν = f μ we set σ = ν − f μ ≥ 0 and notice that

σ satisfies the following property:

Indeed, the integrals X ( f + t 1 B ) dμ and X f dμ have to coincide, be-

cause ( f + tχ B )μ ≤ ν.

Exercise 6.18. We have to prove that any measure σ satisfying (A.17)

is concentrated on a μ-negligible set. To this aim, let us consider the

problem

that also this problem has a solution A; we have to show that μ( A) = 0.

By the minimality of A, the implication

ξh := sup μ(B) : F B ⊂ A, χ B μ ≥ 2h 1 B σ

whose existence

is easy to check, we have μ(Bh ) ≥ 2h σ (Bh ) and in

particular h σ (Bh ) < ∞. Hence

σ lim sup Bh = 0

h→∞

175 Introduction to Measure Theory and Integration

0 = μ lim sup Bh ≥ lim sup μ(Bh ).

h→∞ h→∞

Let us show now that the maximality of Bh implies that μ(C) ≤ 2h σ (C)

for any set C ⊂ A \ Bh , i.e. t 1 A\Bh μ ≤ σ . Indeed, if there is C0 ⊂ A \ Bh

with μ(C0 ) > 2h σ (C0 ), the maximality of Bh provides a minimal integer

h 1 ≥ 1 and C1 ⊂ C0 satisfying μ(C1 ) ≤ 2h σ (C1 ) − 1/ h 1 . Let us

consider C0 \ C1 ; we still have μ(C0 \ C1 ) > 2h σ (C0 \ C1 ) and the

maximality of Bh provide a minimal integer h 2 ≥ h 1 and C2 ⊂ C0 \

C1 satisfying μ(C2 ) ≤ 2h σ (C2 ) − 1/ h 2 . Continuing in this way we

have a nondecreasing sequence (h i ) of integers and (Ci ) ⊂ F such that

μ(Ci ) ≤ 2h σ (Ci ) − 1/ h i and Ci ⊂ C0 \ ∪i−1 j=1 C j for all i ≥ 2; moreover

h i is the least integer for which there is such Ci . Now limi h i = ∞, since

the Ci are pairwise disjoint. Setting C = C0 \ ∪∞ 1 Ci , for all F ∈ F

contained in C, since F ⊂ C0 \ ∪1 C j for all i ≥ 2, we have μ(F) ≥

i−1

is an admissible set for the maximum problem defining ξh , against the

maximality of Bh .

We choose h in such a way that ξh < μ(A) and set t = 2−h , B = A\ Bh

in (A.17). From (A.17) we conclude that μ(B) = 0, contradicting the fact

that μ(B) = μ(A) − ξh > 0.

Exercise 6.19. Let ν = ν + − ν − and let ν + = νa+ + νs+ , ν − = νa− + νs− be

the Lebesgue decompositions with respect to μ of ν + and ν − respectively.

Then, νa := νa+ − νa− and νs := νs+ − νs− provide a decomposition ν =

νa + νs with νa , νs signed, |νa | # μ and |νs | ⊥ μ.

If μ is signed and A provides a Hahn decomposition of μ (i.e. μ+(E) =

μ(E ∩ A) and μ− (E) = −μ(E ∩ Ac )), we repeat the decomposition above

in A, relative to ν and μ+ , and in B = Ac , relative to ν and μ− . Denoting

by νaA + νsA and νaB + νsB the two decompositions obtained,

νa (E) := νaA (E ∩ A)+νaB (E ∩ B), νs (E) := νsA (E ∩ A)+νsB (E ∩ B)

provides the desired decomposition ν = νa + νs with |νa | # |μ| and

|νs | ⊥ |μ|.

The uniqueness of these decompositions can be proved with the same

argument used in the case of nonnegative measures.

Exercise 6.20. Let B ∈ F and let (Bi ) be a F –measurable partition of

B; since

∞ ∞ !!

!

! ∞

| f μ(Bi )| = ! f dμ!≤ | f | dμ = | f | dμ,

! !

i=0 i=0 Bi i=0 Bi B

176 Luigi Ambrosio, Giuseppe Da Prato and Andrea Mennucci

ε > 0 and define Bi = B ∩ f −1 (Ii ), where Ii = ε[i, i + 1), i ∈ Z. Since

the oscillation of | f − εi| and || f | − ε|i|| in f −i (Ii ) are less than , we

get

! ! ! !

! ! ! !

! f dμ−εiμ(Bi )!! ≤ εμ(Bi ), ! | f | dμ−ε|i|μ(Bi )! ≤ εμ(Bi ),

! ! !

Bi Bi

hence ! !

! ! !!

! | f | dμ − ! !

f dμ !! ≤ 2εμ(Bi ).

!

Bi Bi

It follows that

!! !

!

| f μ(Bi )| = ! f dμ!≥ | f | dμ − 2εμ(Bi )

! !

i∈Z i∈Z B i i∈Z Bi

= | f | dμ − 2εμ(B).

B

Exercise 6.21. If x < 0 or x ≥ 1 all repartition functions are respectively

equal to 0 or 1, so we need to consider only the case x ∈ [0, 1). The

repartition function of 1[0,1] L 1 obviously is equal to x, while

#{i ∈ [1, h] : i ≤ hx} [hx]

μh ((−∞, x]) = = ,

h h

where [s] denotes the integer part of s. Using the inequalities s − 1 <

[s] ≤ s with s = hx we obtain that μh ((−∞, x]) → x.

Exercise 6.22. The argument is similar to the one used in the proof of

Theorem 6.27: if y < x < y and y, y ∈ D we have

F(y) = lim Fh (y) ≤ lim inf Fh (x) ≤ lim sup Fh (x)

h→∞ h→∞ h→∞

≤ lim Fh (y ) = F(y ).

h→∞

Exercise 6.23. We define a−h 2 = μ((−∞, −h]) and, for −h 2 < i ≤ h 2 ,

ai = μ((i − 1)/ h, i/ h]). Let us denote by μh the measure obtained in

this way. If x ∈ (−h, h] and i is the smallest integer in (−h 2 , h 2 ] such

that x ≤ i/ h, we have

* *

i−1

1 i −1

μ −∞, x − ≤μ −∞, = ai ≤ μh ((−∞, x]).

h h j=−h 2

177 Introduction to Measure Theory and Integration

h

Analogously

* * i

1 i

μ −∞, x + ≥μ −∞, = ai ≥ μh ((−∞, x]).

h h j=−h 2

h

+∞ uniformly in i ∈ I , for any ε > 0 we can find x such that 1−Fi (x) <

ε/2 for all i ∈ I . Analogously, we can find y < x such that Fi (y) < ε/2

for all i ∈ I . Then, the interval I = (y, x] satisfies μi (I ) > 1 − ε for all

i ∈ I , because I c = (−∞, y] ∪ (x, +∞).

Exercise 6.25. If μ is the weak limit and ε > 0 is given, let us choose

an integer n ≥ 1 such that μ([1 − n, n − 1]) > 1 − ε and points

x ∈ (−n, 1 − n) and y ∈ (n − 1, n) where the repartition functions of μh

are converging to the repartition function of μ. Then, since μ((∞, x]) +

1 − μ((−∞, y]) = μ(R \ (x, y)) < ε, there exists n ε ∈ N such that

supn≥nε μn ((∞, x]) + 1 − μn ((−∞, y]) < ε. Let now x and y be satis-

fying

1 − ε.

Exercise 6.26.

(a) limh R g dμh = R g dμ ∀g ∈ Cb (R) (that is, (6.32));

(b) limh R g dμh = R g dμ ∀g ∈ Cc (R);

(c) Fh converge to F on all points where F is continuous;

(d) Fh converge to F on a dense subset of R;

(e) limh μh (R) = μ(R);

(f) (μh ) is tight.

1 x2

We consider the functions ρh (x) := ρ(x +h), where ρ(x) = (2π)− 2 e− 2

is the Gaussian, and μh = ρh λ (λ being the Lebesgue measure), μ = 0.

178 Luigi Ambrosio, Giuseppe Da Prato and Andrea Mennucci

In this case (c), (d), do not hold, because Fh (x) → 1 = 0 = F(x) for all

x ∈ R, (e) does not hold and (b) holds.

a ⇒ b, e. This is easy, because Cc (R) ⊂ Cb (R) and 1R ∈ Cb (R).

a ⇒ c. This follows by second part of the proof of Theorem 6.28.

d ⇔ c. This is Exercise 6.22.

b∧e ⇒ c. This follows by the same argument used in the proof of second

part of Theorem 6.28: the sequence (gk ) monotonically convergent to 1 A

can be chosen in Cc (R), and this shows that lim infh μh (A) ≥ μ(A) for

all A ⊂ R open. Using (e) and passing to the complementary sets, we

obtain lim suph μh (C) ≤ μ(C) for all C ⊂ R closed.

d ⇒ f . This follows by the same argument used in the solution of

Exercise 6.25.

d ∧ f ⇒ e. For all x ∈ D, with D dense, we have limh μh ((−∞, x]) =

μ((−∞, x]). Since μh ((−∞, x]) → μh (R) as x → +∞ uniformly in

h, we can pass to the limit as x ∈ D → +∞ to obtain limh μh (R) =

limx→+∞ μ((−∞, x]) = μ(R).

d ∧ f ⇒ a. This follows by the same argument used in the first part of

the proof of Theorem 6.28, choosing the points ti in the partitions to be

in the dense set where convergence occurs.

Exercise 6.27. Set

1 2 2

g(ξ ) := √ eiξ x e−x /(2σ ) dx.

2πσ R2

Notice that g(0) = 1, and that differentiation theorems under the integral

sign (2) and an integration by parts give

1 2 2

g (ξ ) = √ ieiξ x (xe−x /(2σ ) ) dx

2

2πσ R

σ2 d 2 2

= √ i eiξ x e−x /(2σ ) dx

2πσ R dx

2

ξσ2 2 2

= −√ eiξ x e−x /(2σ ) dx.

2πσ R2

2 2

whose general solution is g(ξ ) = ce−σ ξ /2 . Taking into account that

g(0) = 1, c = 1.

(2) In this case, the application of the theorem is justified by the fact that sup d iξ x e−x 2 /(2σ 2 ) |

ξ ∈I | dξ e

is Lebesgue integrable for all bounded intervals I

179 Introduction to Measure Theory and Integration

equality

|eiξ x − eiηx | ≤ |x||ξ − η| x, ξ, η ∈ R

we obtain that

|μ̂n (ξ ) − μ̂n (η)| ≤ |ξ − η| |x| dμn (x) ≤ n|ξ − η|,

R

[−n, n]), we have that μ̂n → μ̂ uniformly as n → ∞, therefore μ̂ is

uniformly continuous (indeed, given ε > 0, find n such that sup |μ̂n −

μ̂| < ε/2 and δ = ε/(2n) to obtain |μ̂n (ξ ) − μ̂n (η)| ≤ ε/2 whenever

|ξ − η| < δ, and then |μ̂(ξ ) − μ̂(η)| < ε).

Exercise 6.29. Obviously |μ̂(ξ0 )| = 1, and we set c = μ̂(ξ0 ) = eiθ for

some θ ∈ R. Since

|1 − c̄ei xξ0 |2 dμ(x) = 2 − c̄c − cc̄ = 0,

R

2πZ for μ–a.e. x ∈ R, so that μ is concentrated on the set of points

{(2nπ + θ)/ξ0 }n∈N , and it suffices to set x0 = θ/ξ0 to obtain the stated

representation of μ as a sum of Dirac masses.

Obviously |μ̂| ≡ 1 if μ is a Dirac mass. Conversely, if |μ̂| ≡ 1, we find x0

with μ({x0 }) > 0 and ξ0 , ξ0 ∈ R \ {0} with ξ0 /ξ0 ∈/ Q to obtain that μ is

concentrated on the set {2nπ/ξ0 +x0 }n∈N and on the set {2nπ/ξ0 +x0 }n∈N .

By our choice of ξ0 and ξ0 , the intersection of the two sets is the singleton

{x0 }, and this proves that μ = δx0 .

Chapter 7

Exercise 7.1. Let C > 0 be such that |H (x) − H (y)| ≤ C|x − y| for all

x, y ∈ R. Let ε > 0 and let δ > 0 be such that i | f (bi )− f (ai )| < ε/C

whenever

i (bi − ai ) < δ. We

have i |H ( f (bi )) − H ( f (ai ))| ≤

C i | f (bi ) − f (ai )| whenever i (bi − ai ) < δ. In particular, choosing

f (t) = t, we see that Lipschitz functions are absolutely continuous.

Exercise 7.2. We assume that both L 1 (E) > 0 and L 1 (R \ E) > 0. Let

a ∈ R be such that L 1 ((a, ∞) ∩ E) > 0 and L 1 ((a, ∞) \ E) > 0, and

define F(t) = L 1 (E ∩(a, t)). By our choice of a, F(t) and (t −a)− F(t)

are not identically 0 in (a, +∞).

If t > a is a rarefaction point of E, we have

F(t + h) − F(t) L 1 ((t, t + h) ∩ E)

F+ (t) = lim = lim = 0.

h↓0 h h↓0 h

180 Luigi Ambrosio, Giuseppe Da Prato and Andrea Mennucci

points. A similar argument proves that F = 1 at all density points. Let

now t0 ∈ (a, ∞) where 0 < F(t0 ) < (t0 − a) and apply the mean value

theorem to obtain t0 ∈ (a, t0 ) such that

cause either t0 is a density point or a rarefaction point).

Exercise 7.3. Assume first that ϕ is continuous and bounded. Let H (z):=

z

f (a) ϕ(y) dy. By the (classical) fundamental theorem of the integral cal-

culus, H is differentiable and H (z) = ϕ(z) for all z ∈ f (I ). By the

chain rule and Exercise 7.1, the function

f (t)

F(t) := ϕ(y) dy = H ( f (t))

f (a)

ϕ( f (t)) f (t) at all points t where f is differentiable. On the other hand,

still by the fundamental theorem of the integral calculus, the function

t

G(t) := ϕ( f (x)) f (x) dx

a

vanish at t = a, they coincide.

By the dominated convergence theorem, the identity of the two func-

tions persists if ϕ = 1 A , with A open (because 1 A is the pointwise limit of

continuous functions). By applying Dynkin’s theorem to the class M of

f (t) t

the sets E ∈ B ( f (I )) such that f (a) 1 E (y) dy = a 1 E ( f (x)) f (x) dx

we obtain that the formula holds for all ϕ = 1 E with E Borel. Eventu-

ally we obtain it for simple functions and, by uniform approximation, for

bounded Borel functions.

b

Exercise 7.4. Choosing g = 1 N , by Exercise 7.3 we get a 1 f −1 (N ) f dx =

0, because 1 N ◦ f = 1 f −1 (N ) . Let h + and h − be respectively the positive

and negative part of f 1 f −1 (N ) . Since

b b b

h + dx − h − dx = f 1 f −1 (N ) dx = 0

a a a

consequence, f = 0 L 1 –a.e. in f −1 (N ).

181 Introduction to Measure Theory and Integration

Chapter 8

Exercise 8.1. Both are measures in (Z , H ). If B ∈ H then g◦ f # μ(B) =

μ( f −1 (g −1 (B))), because (g ◦ f )−1 = f −1 ◦ g −1 . On the other hand,

interval I = [k/2n , (k + 1)/2n ). Then, f −1 (I ) is the cylindrical set of all

binary sequences a0 a1 · · · such that a0 · · · an−1 is the binary expression

of k. It follows that

∞

−1

×i=0

1

2

1

δ0 + δ1

2

f (I ) = L 1 (I ).

because their common value is 2−n . On the other hand, f −1 ({1}) consists

of a single point and therefore the identity above holds for I = {1}, the

common value being 0. By additivity the identity holds for finite unions

of sets of this type, a family stable under finite intersections. By the

coincidence criterion the two measures coincide.

Exercise 8.3. Let A ⊂ R be a dense open set whose complement C has

strictly positive Lebesgue measure (Exercise 1.9), and let

1, and vanishes precisely on C. Then, set

⎧ t

⎪

⎪

⎨ ϕ(s) ds if t ≥ 0;

F(t) := 0

0

⎪

⎪

⎩− ϕ(s) ds if t < 0.

t

Lebesgue measure. It follows that F# L 1 is not absolutely continuous

b

with respect to L 1 . Finally, since a ϕ dt > 0 whenever a < b (because

A ∩ (a, b) = ∅) we obtain that F is strictly increasing.

Exercise 8.4. Recall that F(C F ) is always Lebesgue negligible, regard-

less of any injectivity assumption on U . Hence, possibly replacing U by

U \C F we can assume with no loss of generality that C F = ∅, i.e. D F(x)

is nonsingular at any x ∈ U . Recall that, according to the local invert-

ibility theorem, for any x ∈ U there exists a ball Br (x) contained in U

such that the restriction to F is injective. Now, following the strategy of

182 Luigi Ambrosio, Giuseppe Da Prato and Andrea Mennucci

pairwise disjoint, such that the restriction of F to a neighbourhood of

Q i is injective (we keep dividing a cube until this property is achieved).

Let Q i = × n

i=1 [ai , ai + δ); for bi < ai sufficiently close to ai and

Q̃ i =× n

i=1 (bi , bi + δ) we have (by injectivity of F on Q̃ i )

1

F# (1 Q̃ i L n ) = 1 Ln

|JF | ◦ F −1 F( Q̃ i )

and therefore we can pass to the limit to get

1

F# (1 Q i L n ) = 1 L n.

|JF | ◦ F −1 (y) F(Q i )

If we add both sides with respect to i ∈ I we get

1 1

F# (1U L n ) = 1 F(Q ) L n

= 1 F(U ) L n .

i∈I

|JF | ◦ F (y)

−1 i

x∈F −1 (y)

|J F |(x)

References

Acta Math. 116 (1966), 135–157.

[2] W. F. E BERLEIN, Notes on Integration I: The Underlying Conver-

gence Theorem, Comm. Pure Appl. Math. X (1957), 357–360.

[3] H. F EDERER, “Geometric Measure Theory”, Springer, 1969.

[4] F. R IESZ and B. NAGY, “Functional Analysis”, Dover, 1990.

[5] W. RUDIN, “Real and Complex Analysis”, McGraw-Hill, 1987.

[6] S. WAGON, “The Banach-Tarski Paradox”, Cambridge University

Press, 1985.

[7] K. YOSIDA, “Functional Analysis”, Springer, 1980.

LECTURE NOTES

This series publishes polished notes dealing with topics of current re-

search and originating from lectures and seminars held at the Scuola Nor-

male Superiore in Pisa.

Published volumes

1. M. T OSI , P. V IGNOLO, Statistical Mechanics and the Physics of Flu-

ids, 2005 (second edition). ISBN 978-88-7642-144-0

2. M. G IAQUINTA , L. M ARTINAZZI , An Introduction to the Regularity

Theory for Elliptic Systems, Harmonic Maps and Minimal Graphs,

2005. ISBN 978-88-7642-168-8

3. G. D ELLA S ALA , A. S ARACCO , A. S IMIONIUC , G. T OMASSINI ,

Lectures on Complex Analysis and Analytic Geometry, 2006.

ISBN 978-88-7642-199-8

4. M. P OLINI , M. T OSI , Many-Body Physics in Condensed Matter Sys-

tems, 2006. ISBN 978-88-7642-192-0

P. A ZZURRI, Problemi di Meccanica, 2007. ISBN 978-88-7642-223-2

5. R. BARBIERI, Lectures on the ElectroWeak Interactions, 2007. ISBN

978-88-7642-311-6

6. G. DA P RATO, Introduction to Stochastic Analysis and Malliavin Cal-

culus, 2007. ISBN 978-88-7642-313-0

P. A ZZURRI, Problemi di meccanica, 2008 (second edition). ISBN 978-

88-7642-317-8

A. C. G. M ENNUCCI , S. K. M ITTER , Probabilità e informazione,

2008 (second edition). ISBN 978-88-7642-324-6

7. G. DA P RATO, Introduction to Stochastic Analysis and Malliavin Cal-

culus, 2008 (second edition). ISBN 978-88-7642-337-6

8. U. Z ANNIER, Lecture Notes on Diophantine Analysis, 2009.

ISBN 978-88-7642-341-3

9. A. L UNARDI, Interpolation Theory, 2009 (second edition).

ISBN 978-88-7642-342-0

186 Lecture notes

ure Theory and Integration, 2011.

ISBN 978-88-7642-385-7, e-ISBN: 978-88-7642-386-4

G. DA P RATO, Introduction to Differential Stochastic Equations, 1995

(second edition 1998). ISBN 978-88-7642-259-1

L. A MBROSIO, Corso introduttivo alla Teoria Geometrica della Misura

ed alle Superfici Minime, 1996 (reprint 2000).

E. V ESENTINI, Introduction to Continuous Semigroups, 1996 (second

edition 2002). ISBN 978-88-7642-258-4

C. P ETRONIO, A Theorem of Eliashberg and Thurston on Foliations and

Contact Structures, 1997. ISBN 978-88-7642-286-7

Quantum cohomology at the Mittag-Leffler Institute, a cura di Paolo Aluf-

fi, 1998. ISBN 978-88-7642-257-7

G. B INI , C. DE C ONCINI , M. P OLITO , C. P ROCESI, On the Work of

Givental Relative to Mirror Symmetry, 1998. ISBN 978-88-7642-240-9

H. P HAM, Imperfections de Marchés et Méthodes d’Evaluation et Couver-

ture d’Options, 1998. ISBN 978-88-7642-291-1

H. C LEMENS, Introduction to Hodge Theory, 1998. ISBN 978-88-7642-268-3

Seminari di Geometria Algebrica 1998-1999, 1999.

A. L UNARDI, Interpolation Theory, 1999. ISBN 978-88-7642-296-6

R. S COGNAMILLO, Rappresentazioni dei gruppi finiti e loro caratteri,

1999.

S. RODRIGUEZ, Symmetry in Physics, 1999. ISBN 978-88-7642-254-6

F. S TROCCHI, Symmetry Breaking in Classical Systems, 1999 (2000).

ISBN 978-88-7642-262-1

L. A MBROSIO , P. T ILLI, Selected Topics on “Analysis in Metric Spaces”,

2000. ISBN 978-88-7642-265-2

A. C. G. M ENNUCCI , S. K. M ITTER, Probabilità ed Informazione, 2000.

S. V. B ULANOV, Lectures on Nonlinear Physics, 2000 (2001).

ISBN 978-88-7642-267-6

Lectures on Analysis in Metric Spaces, a cura di Luigi Ambrosio e Fran-

cesco Serra Cassano, 2000 (2001). ISBN 978-88-7642-255-3

L. C IOTTI, Lectures Notes on Stellar Dynamics, 2000 (2001).

ISBN 978-88-7642-266-9

S. RODRIGUEZ, The Scattering of Light by Matter, 2001.

ISBN 978-88-7642-298-0

G. DA P RATO, An Introduction to Infinite Dimensional Analysis, 2001.

ISBN 978-88-7642-309-3

S. S UCCI, An Introduction to Computational Physics: – Part I: Grid

Methods, 2002. ISBN 978-88-7642-263-8

D. B UCUR , G. B UTTAZZO, Variational Methods in Some Shape Optim-

ization Problems, 2002. ISBN 978-88-7642-297-3

187 Lecture notes

tems, 2002.

S. S UCCI, An Introduction to Computational Physics: – Part II: Particle

Methods, 2003. ISBN 978-88-7642-264-5

A. M INGUZZI , S. S UCCI , F. T OSCHI , M. T OSI , P. V IGNOLO, Numer-

ical Methods for Atomic Quantum Gases, 2004. ISBN 978-88-7642-130-0

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