Advanced Measure Theory

Khalid Naeem 1
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Department of Mathematics and Statistics
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The University of Lahore, Pakistan

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1 khalidnaeem333@gmail.com
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Contents

1 Preliminaries 1

1.1 Preliminaries . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1

2 σ-algebra 4

2.1 em
σ-algebra . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
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2.2 Borel σ-Algebra . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6

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2.3 Measures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9
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2.4 Caratheodory’s Theorem . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14

3 Measurable Functions 17

3.1 Measurable Functions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17

4 Integration 20

4.1 Integration of Non-negative Function . . . . . . . . . . . . . . . . . . . . . . 20

4.2 The Monotone Convergence Theorem . . . . . . . . . . . . . . . . . . . . . . 22

4.3 Fatou’s Lemma . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25

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4.4 Integration of Complex Functions . . . . . . . . . . . . . . . . . . . . . . . . 25

4.5 Dominated Convergence Theorem . . . . . . . . . . . . . . . . . . . . . . . . 27

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Chapter 1

Preliminaries

1.1 Preliminaries

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Definition 1.1.1. A sequence in X is a mapping from the set N of natural numbers to X
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such that f : N → X.
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Definition 1.1.2. If f : N → X is a sequence and g : N → N is a mapping such that

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g(n1 ) < g(n2 ) for n1 < n2 , then the composition gof : N → X is called a subsequence.
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Definition 1.1.3. A mapping f : X → Y is called one-to-one, one-one, 1 − 1 or injective

mapping if different elements of X have different images in Y i.e. if x1 , x2 ∈ X, then

x1 6= x2 ⇒ f (x1 ) 6= f (x2 )

In other words
f (x1 ) = f (x2 ) ⇒ x1 = x2

For example the mapping f : R → R defined by f (x) = x3 is injective whereas f (x) = x2 is

not so.

Definition 1.1.4. A mapping f : X → Y is called into if range of f is not whole of Y i.e.

if Rf $ Y . For example the mapping f : R → R defined by f (x) = x2 is an into mapping.

1
Definition 1.1.5. A mapping f : X → Y is called onto or surjective if range of f is whole
of Y i.e. if Rf = Y . For example the mapping f : R → R defined by f (x) = x is an onto
mapping.

Definition 1.1.6. A mapping f : X → Y which is both one-one and onto is called a bijective
mapping or simply a bijection. For example the mapping f : R → R defined by f (x) = x is
a bijective mapping.

Definition 1.1.7. A set A is called countable or denumerable if there exists a bijection

between A and N.

Definition 1.1.8. Let X be a non-empty set and ≤ be a relation on X. Then ≤ is called a

partial ordering if the following conditions hold:

1) x ≤ x i.e. ≤ is reflexive

2) If x ≤ y and y ≤ x, then x = y i.e. ≤ is anti-symmetric

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3) If x ≤ y and y ≤ z, then x ≤ z i.e. ≤ is transitive
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for all x, y, z ∈ X. The set X with the partial ordering ≤ is called a partially ordered set
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and is shortly written ”poset”. We express it by (X, ≤).

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Example 1.1.9. If X is a non-empty set, then P(X) is a partial ordering under the set
inclusion ⊆.

Definition 1.1.10. Let X be a non-empty set and ≤ be a relation on X. Then ≤ is called

a linear ordering if the following conditions hold:

1) x ≤ x

2) Either x ≤ y or y ≤ x

3) If x ≤ y and y ≤ z, then x ≤ z

for all x, y, z ∈ X.

2
Example 1.1.11. The sets N, Z and R are linearly ordered under the usual relation ≤.

Definition 1.1.12. Let X be partially ordered with the partial ordering ≤, then an element
x ∈ X is called maximum (minimum) if there is an element y ∈ X satisfying x ≤ y (x ≥ y)
is x itself.

Definition 1.1.13. Let X be a partially ordered set and E ⊂ X. An element x ∈ X is

called an upper bound (lower bound ) of E if y ≤ x (x ≤ y), ∀y ∈ E.

Remark.

1) The maximum and minimum elements of a set may or may not exist unless the ordering
is linear.

2) The upper and lower bounds of a partially ordered set exist.

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3) The minimal and lower bounds of a partial ordering may not be equal. However, in
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case of linear order, they are same.

Similar cases are for maximum and upper bound.
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Example 1.1.14. Consider the set N of natural numbers equipped with the order ≤. 1
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is the minimal element and lower bound too, whereas neither maximal element nor upper
bound exist.

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Chapter 2

σ-algebra

2.1 σ-algebra
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Definition 2.1.1. A collection of sets is called an algebra if it is closed under complement
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and finite union i.e. if

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1) E c ∈ A, ∀E ∈ A,
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2) ∪ni=1 Ei ∈ A, ∀Ei ∈ A

Example 2.1.2.

1) If X is a non-empty set, then P(X) and {φ, X} are algebras.

2) If X is an uncountable set, then the collection A = {E ⊆ X : E is countable or E c is countable}

is an algebra.

Definition 2.1.3. Let X be a non-empty set, then the collection A of subsets of X is called
a σ-algebra if A is closed under complement and countable union. Thus A = {Ei ⊆ A : i =
1, 2, 3, ...} is σ-algebra if

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 1) E c ∈ A, ∀E ∈ A,

2) ∪∞
i=1 Ei ∈ A, ∀Ei ∈ A

Example 2.1.4. Let X be a countable set and A = {E ⊆ X : E is countable or E c is countable}.

For the 1st condition, there arise two cases:

i) If E ∈ A is countable, then E c is uncountable and hence E c ∈ A

ii) If E ∈ A is uncountable, then E c is countable and hence E c ∈ A.

For the 2nd condition, there arise three cases:

i) If all Ei ’s are countable, then so is ∪∞ ∞

i=1 Ei and hence ∪i=1 Ei ∈ A

ii) If all Ei ’s are uncountable, then so is ∪∞ ∞

i=1 Ei and hence ∪i=1 Ei ∈ A

iii) If some Ei ’s are countable and some uncountable, then ∪∞

i=1 Ei is uncountable and

hence ∪∞
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i=1 Ei ∈ A.
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Hence, A is a σ-algebra.
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Remark.
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1) Both X and φ must belong to A.

2) Every σ-algebra is an algebra. However, the converse may not hold. For example, if
P(X) is the collection of all subsets of an infinite set X which are finite or have finite
complements. Then, P(X) is an algebra but not a σ-algebra.

Definition 2.1.5. Let X be a non-empty set and ǫ ∈ P(X). Then there exists a σ-algebra
which is intersection of all sets containing ǫ. This algebra is called σ-algebra generated by ǫ
and is denoted by M(ǫ). Thus,

M(ǫ) = ∩∞
i=1 {Ai : ǫ ⊂ Ai , Ai ∈ P(X)}

Proposition 2.1.6. If ǫ ∈ M(F ), then M(ǫ) ⊂ M(F ).

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2.2 Borel σ-Algebra

Definition 2.2.1. If X is any metric space/topological space, then the σ-algebra generated
by open/closed sets is called a Borel σ-algebra and is denoted by BX .

Remark.

1) Borel σ-algebra contains open sets, closed sets, Gδ sets and Fσ sets, where Gδ sets are
the countable intersection of open sets and Fσ sets are countable union of closed sets.
Notice that Fσ and Gδ sets are complements of each other.

2) Countable union of open sets is open.

3) Countable intersection of closed sets is closed.

4) Finite intersection of open sets is open.

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5) Finite union of closed sets is closed.

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Example 2.2.2. If Cn = n , 1 + n , then ∩∞
1 1
n=1 Cn = (0, 1].
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Theorem 2.2.3. Let R be a topological space under usual topology, then Borel σ-algebra is
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generated by one of the following:

1) The open interval ǫ1 = {(a, b) : a < b}.

2) The closed interval ǫ2 = {[a, b] : a < b}.

3) ǫ3 = {(a, b] : a < b}, ǫ4 = {[a, b) : a < b}.

4) Open rays ǫ5 = {(−∞, a)}, ǫ6 = {(a, ∞)}.

5) Closed rays ǫ7 = {(−∞, a]}, ǫ8 = {[a, ∞)}.

Proof:

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1) ǫ1 = {(a, b) : a < b}.
Obviously M(ǫj ) ⊆ BR for j = 1, 2, 3, ..., 6. For converse, suppose that O ∈ BR . Then
O may be written as a countable union of open intervals as O = ∪∞
n=1 In ∈ M(ǫ1 ) i.e.

O ∈ M(ǫ1 ). Hence BR ⊆ M(ǫ1 ). Thus, BR = M(ǫ1 ).

2) ǫ2 = {[a, b] : a < b}.

Let [a, b] ∈ BR , then
 
1 1
[a, b] = ∪∞ a+ ,b−
n=1
n n
⇒ [a, b] ∈ M(ǫ2 )
∴ BR ⊆ M(ǫ2 )
⇒ M(ǫ2 ) = BR

3) ǫ3 = {(a, b] : a < b}, ǫ4 = {[a, b) : a < b}.

 
1
(a, b] = ∪∞
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n=1 a, b −
n
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⇒ (a, b] ∈ M(ǫ3 )
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⇒ BR ⊆ M(ǫ3 )
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and
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1
[a, b) = ∪∞
a + ,b
n=1
n
⇒ [a, b) ∈ M(ǫ4 )
⇒ BR ⊆ M(ǫ4 )

4) ǫ5 = {(−∞, a)}, ǫ6 = {(a, ∞)}.

Let A ∈ ǫ5 , then A is an open set and hence A ∈ BR . Thus, ǫ5 ⊂ BR and so, being
σ(ǫ5 ) the σ-algebra generated by ǫ5 , we have σ(ǫ5 ) ⊂ BR . Notice that
 
∞ 1
(−∞, a] = ∩n=1 − ∞, a + ∈ σ(ǫ5 )
n
so for any a, b ∈ R, we have

(a, b) = (−∞, b) \ (−∞, a] ∈ σ(ǫ5 )

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 Since all open sets in R may be expressed as a countable union of intervals (a, b), then
being τ the set of open sets of R, we have τ ⊂ σ(ǫ5 ). Thus, σ(ǫ5 ) = BR .
Now, consider ǫ6 = {(a, ∞)}. Let A ∈ ǫ6 , then A is an open set and hence A ∈ BR .
Thus, ǫ6 ⊂ BR and so, being σ(ǫ6 ) the σ-algebra generated by ǫ6 , we have σ(ǫ6 ) ⊂ BR .
Notice that  
1
[b, ∞) = ∩∞
n=1 b − , ∞ ∈ σ(ǫ6 )
n
so for any a, b ∈ R, we have

(a, b) = (a, ∞) \ [b, ∞) ∈ σ(ǫ6 )

Since all open sets in R may be expressed as a countable union of intervals (a, b), then
being τ the set of open sets of R, we have BR = σ(τ ) ⊂ σ(ǫ6 ). Thus, σ(ǫ6 ) = BR .

5) ǫ7 = {(−∞, a]}, ǫ8 = {[a, ∞)}. Let A ∈ ǫ7 , then A is a closed set and hence A ∈ BR .
Thus, ǫ7 ⊂ BR and so, being σ(ǫ7 ) the σ-algebra generated by ǫ7 , we have σ(ǫ7 ) ⊂ BR .
Notice that  em 
1
(−∞, b) = ∪∞ − ∞, b − ∈ σ(ǫ7 )
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n=1
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So for any a, b ∈ R, we have

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(a, b) = (−∞, b) \ (−∞, a] ∈ σ(ǫ7 )

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Since all open sets in R may be expressed as a countable union of intervals (a, b), then
being τ the set of open sets of R, we have τ ⊂ σ(ǫ7 ). Thus, BR = σ(τ ) ⊂ σ(ǫ7 ). So we
conclude that σ(ǫ7 ) = BR .
Now, consider ǫ8 = {(a, ∞)}. Let A ∈ ǫ8 , then A is a closed set and hence A ∈ BR .
Thus, ǫ8 ⊂ BR and so, being σ(ǫ8 ) the σ-algebra generated by ǫ8 , we have σ(ǫ8 ) ⊂ BR .
Notice that  
1
(a, ∞) = ∪∞
n=1 a+ ,∞ ∈ σ(ǫ8 )
n
so for any a, b ∈ R, we have

(a, b) = (a, ∞) \ [b, ∞) ∈ σ(ǫ8 )

Since all open sets in R may be expressed as a countable union of intervals (a, b), then
being τ the set of open sets of R, we have BR = σ(τ ) ⊂ σ(ǫ8 ). Thus, σ(ǫ8 ) = BR .

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Definition 2.2.4. Let X 6= φ and ǫ ⊆ P(X), then ǫ is called an elementary family of sets if

1) φ ∈ ǫ,

2) E, F ∈ ǫ ⇒ E ∪ F ∈ ǫ, and

3) For each E ∈ ǫ, E c ∈ ǫ may be written as a finite disjoint union of members of ǫ.

2.3 Measures

Definition 2.3.1. Let X 6= φ be equipped with a σ-algebra M. The mapping µ : M →

[0, ∞] is called a measure if

1) µ(φ) = 0

2) µ(∪∞ ∞ ∞
i=1 Ei ) ≤ Σi=1 µ(Ei ), where {Ei }i=1 ∈ M. em
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The measure µ is called a countable measure.

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Remark.
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1) If µ(∪ni=1 Ei ) ≤ Σni=1 µ(Ei ), then µ is called a finite measure.

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2) We can convert {Ei }∞
i=1 into disjoint sets as Fk = Ek \ ∪i=1 Ei so that ∪k Fk = ∪k Ek .

Then condition (2) in definition 2.3.1 becomes µ(∪∞ ∞

i=1 Fi ) = Σi=1 µ(Fi ).

Definition 2.3.2. Let (X, M, µ) be a measure space. If for each E ∈ M with µ(E) = ∞,
there exists F ⊆ E such that µ(F ) < ∞, then µ is called semi-finite measure.

Proposition 2.3.3. If µ1 , µ2 , ..., µn are measures on (X, µ) and a1 , a2 , ..., an ∈ [0, ∞), then
Σn1 ai µi is also a measure on (X, µ), where µ(x) = Σn1 ai µi (x).

Proof:

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 1) Since µ1 , µ2 , ..., µn are measures, so µ1 (φ) = 0, µ2(φ) = 0, ..., µn (φ) = 0 and hence
µ(φ) = Σn1 ai µi (φ) = 0.

2) Let E1 , E2 , ... be a countable collection of disjoint elements of µ, then

µ(∪∞ n ∞
1 Ek ) = Σi=1 ai µ(∪1 Ek )

Since each µ(∪∞

1 Ek ) is a measure, so

µ(∪∞ n ∞ n ∞ n ∞ ∞
1 Ek ) = Σi=1 ai µi (∪1 Ek ) = Σi=1 ai Σk=1 µi (Ek ) = Σi=1 Σk=1 ai µi (Ek ) = Σk=1 µ(Ek )

Hence, µ is a measure.

Proposition 2.3.4. Let (X, M, µ) be a measure space and E ∈ M, then µE (A) = µ(A∩E),
for A ∈ M, is also a measure.

Proof: e em
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1) µE (φ) = µ(φ ∩ E) = µ(φ) = 0, because µ is a measure.

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2) Let A1 , A2 , ... ∈ M and Ai ∩ Aj = φ for i 6= j. Since µ is a measure, so we must have

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µ(∪∞ ∞
i=1 Ai ∩ E) = Σi=1 µ(Ai ∩ E) and hence

µE (∪∞ ∞ ∞ ∞
i=1 Ai ) = µ(∪i=1 Ai ∩ E) = Σi=1 µ(Ai ∩ E) = Σi=1 µE (Ai )

Thus, µE is a measure.

Definition 2.3.5. Let (X, M, µ) be a measure space. If µ(X) < ∞, then µ is called a finite
measure.

Definition 2.3.6. Let (X, M, µ) be a measure space and E1 , E2 , ... ∈ M with Ei ∩ Ej =

φ, i 6= j, then X = ∪∞
i=1 Ei is called a σ-finite measure if µ(Ei ) < ∞ for each i = 1, 2, ...

Definition 2.3.7. Let (X, M, µ) be a measure space. If for each E ∈ M with µ(E) = ∞,
there exists F ⊆ E such that µ(F ) < ∞, then µ is called a semi-finite measure.

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Remark.
Every σ-finite measure is also a semi-finite measure. The converse, however, may not
hold.

Example 2.3.8. Let X 6= φ and f : X → [0, ∞] be a function that defines a measure given
by µ(E) = Σx∈E f (x), M = P(X). If f (x) < ∞, ∀x ∈ E, then the measure µ defined on M
is a semi-finite measure. If f (x) > 0, ∀x ∈ E is countable, then µ is a σ-finite measure.

Example 2.3.9. Let X = R = ∪x∈R {x}, M = P(X) be the discrete σ-algebra and µ be the
counting measure. Then µ is a semi-finite measure because each subset of R having measure
∞ has at least one subset which has finite number of elements. For example, if E = [0, 1],
then µ(E) = ∞. There exists F = [ 21 , 21 ] ⊂ E with µ(F ) = 1.

Theorem 2.3.10. Let (X, M, µ) be a measure space, then

1) µ is monotone i.e. if E ⊂ F , then µ(E) < µ(F ).

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2) µ is sub-additive i.e. if E1 , E2 , ... ∈ M with µ(Ei ) < ∞, ∀i, then µ(∪∞
e
i=1 Ei ) <
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Σ∞
i=1 µ(Ei ).
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3) µ is continuous from below i.e. if E1 ⊂ E2 ⊂ ..., then µ(∪∞

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i=1 Ei ) = limn→∞ µ(En ),

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where E1 , E2 , ... ∈ M with µ(Ei ) < ∞, ∀i.

4) µ is continuous from above i.e. if E1 ⊃ E2 ⊃ ..., then µ(∩∞

i=1 Ei ) = limn→∞ µ(En ),

where E1 , E2 , ... ∈ M with µ(E1 ) < ∞.

Proof:

1) Since E ⊂ F , so we may write F = E ∪ (F \ E). This in turn leads to µ(F ) =

µ(E) + µ(F \ E) > µ(E) i.e. µ(F ) > µ(E).

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2) Let Fk = Ek \ ∪i=1 Ei , so that ∪∞ ∞ ∞ ∞
k=1 Fk = ∪k=1 Ek . Thus, µ(∪k=1 Fk ) = µ(∪k=1 Ek ) =

Σ∞ ∞
k=1 µ(Fk ) ≤ Σk=1 µ(Ek ), because Fk ⊆ Ek ⇒ µ(Fk ) ≤ µ(Ek ).

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 3) Since E1 ⊂ E2 ⊂ ..., so ∪∞ ∞ ∞ ∞
k=1 Ek = ∪k=1 (Ek \ Ek−1 ). Thus, µ(∪k=1 Ek ) = µ(∪k=1 (Ek \

Ek−1 )) = Σ∞ ∞
k=1 µ(Ek \ Ek−1 ) = limn→∞ Σk=1 (µ(Ek ) − µ(Ek−1 )) = limn→∞ µ(En ).

4) Let Fk = E1 \Ek , then F1 ⊂ F2 ⊂ F3 ⊂ .... Thus, by (3) µ(∪∞

k=1 Fk ) = limn→∞ µ(Fn ) i.e.

µ(∪∞ ∞
k=1 (E1 \ Ek )) = limn→∞ µ(E1 \ En ). This leads to µ(E1 \ ∩k=1 Ek ) = limn→∞ µ(E1 \

En ). Therefore, µ(E1 ) − µ(∩∞

k=1 Ek ) = limn→∞ (µ(E1 ) − µ(En )) which in turn yields

µ(∩∞
k=1 Ek ) = limn→∞ µ(En ).

Definition 2.3.11. Let X 6= φ and f : X → [0, ∞], M = P(X) and µ(E) = Σx∈E f (x). If
f (x) = 1, ∀x ∈ E, then µ is called a counting measure.

Definition 2.3.12. Let X 6= φ and f : X → [0, ∞], M = P(X). If for some x0 ∈ X

(
1, if x = x0
µ (x) =
0, if x 6= x0

then µ is called a dirac measure.

Definition 2.3.13. Let (X, M, µ) be a dirac measure space. If for some E ∈ M, µ(E) = 0,
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then E is called a null set.
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Definition 2.3.14. A statement about a point x ∈ X is said to hold almost everywhere if

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it holds for all x except at the points which has measure 0.

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Definition 2.3.15. A measure µ is called a complete measure if the domain of µ includes

all subsets of null sets.

Example 2.3.16. Let X be an uncountable set and M be the σ-algebra of countable and
co-countable sets. Then the function µ defined on M as
(
0, if E is countable
µ (E) =
1, if E is uncountable

then µ is a measure.

Example 2.3.17. Let X be an infinite set and M = 2X . Define

(
0, if E is finite
µ (E) =
1, if E is infinite

then µ is a measure.

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Definition 2.3.18. A non-negative extended real-valued set function µ∗ defined on 2X is
called an outer measure if

1) µ∗ (φ) = 0;

2) µ∗ is monotone i.e. if A ⊆ B, then µ∗ (A) ≤ µ∗ (B); and

3) µ∗ is countably sub-additive i.e. µ∗ (∪∞ ∞ ∗

i=1 Ei ) ≤ Σi=1 µ (Ei ).

Proposition 2.3.19. Let ǫ ∈ P(X), φ, X ∈ ǫ and µ : E → [0, ∞]. Then for any A ∈ ǫ,
µ∗ (A) = inf{Σ∞ ∞
i=1 µ(Ei ) : A ⊂ ∪i=1 Ei } is an outer measure.

Proof:

1) Clearly µ∗ (φ) = 0.

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2) Let A ⊆ B. Since a cover of A is the smaller set than the cover of B, so the infimum
e
over both covers will satisfy the inequality µ∗ (A) ≤ µ∗ (B).
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3) Let {Ai }∞ ∞ k
i=1 ∈ ǫ and Ai ⊂ ∪k=1 Ei , then
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µ∗ (Ai ) = inf{Σ∞ k ∞ k
k=1 µ(Ei ) : Ai ⊆ ∪k=1 Ei }
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ǫ
Thus, there exists 2
such that
ǫ
Σ∞ k ∗
k=1 µ(Ei ) ≤ µ (Ai ) +
2i
Assume that A = ∪∞ ∞ k
i=1 Ai , then A ⊆ ∪i=1 Ei . Thus

µ∗ (A) ≤ µ∗ (∪∞ k ∞ ∗ k ∞ ∗
i=1 Ei ) = Σi,k=1 µ (Ei ) ≤ Σi=1 µ (Ai ) + ǫ

This in turn yields

µ∗ (A) ≤ Σ∞ ∗
i=1 µ (Ai )

i.e. µ∗ (∪∞ ∞ ∗
i=1 Ai ) ≤ Σi=1 µ (Ai ).

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Definition 2.3.20. A set A ⊆ X is called outer measurable if for all E ⊆ X,

µ∗ (A) = µ∗ (E ∩ A) + µ∗ (E ∩ Ac )

The inequality
µ∗ (A) ≤ µ∗ (E ∩ A) + µ∗ (E ∩ Ac )

is obvious. Thus, in order to show that A is outer measurable, we just need to show that

µ∗ (A) ≥ µ∗ (E ∩ A) + µ∗ (E ∩ Ac )

Lemma 2.3.21. Let (X, M, µ) be a measure space and N = {N ⊂ M : µ(N) = 0} and

M = {E ∪ F : F ⊂ Nfor some N ∈ N }, then the measure µ can be extended to µ whose
σ-algebra is M.

2.4 Caratheodory’s Theorem e em

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Theorem 2.4.1. A collection M of all µ∗ -measurable sets is a σ-algebra and the restriction
of µ∗ to M is a complete measure.
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Proof:

1) Let A ∈ M. Since A is µ∗ -measurable, so for all E ⊆ X we have

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

It shows that Ac is µ∗ -measurable i.e. Ac ∈ M.

2) Let A, B ∈ M. Then for all E ⊆ X, we have

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

14
 Now,
A ∪ B = (Ac ∩ B) ∪ (A ∩ B c ) ∪ (A ∩ B)

So for all E ⊆ X we have

E ∩ (A ∪ B) = (E ∩ (Ac ∩ B)) ∪ (E ∩ (A ∩ B c )) ∪ (E ∩ (A ∩ B))

∴ µ∗ (E ∩ (A ∪ B)) ≤ µ∗ (E ∩ (Ac ∩ B)) + µ∗ (E ∩ (A ∩ B c )) + µ∗ (E ∩ (A ∩ B))

Hence, above equation becomes

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

which shows that A ∪ B is µ∗ -measurable i.e. A ∪ B ∈ M.

3) Let {Ai }∞ ∞
i=1 be a disjoint collection of measurable sets. Let A = ∪i=1 Ai and Bn =

∪ni=1 Ai . Since E ∩ Bn ⊂ X and An is measurable, so

µ∗ (E ∩ Bn ) = µ∗ (E ∩ Bn ∩ An ) + µ∗ (E ∩ Bn ∩ Acn )
e em
= µ∗ (E ∩ An ) + µ∗ (E ∩ Bn−1 ){∵ Bn ∩ An = An and Bn ∩ Acn = Bn−1 = ∪i=1
n−1
Ai }
Na

= µ∗ (E ∩ An ) + µ∗ (E ∩ An−1 ) + µ∗ (E ∩ An−1 ) (By induction)

lid

= µ∗ (E ∩ An ) + µ∗ (E ∩ An−1 ) + ... + µ∗ (E ∩ A1 )
ha

= Σni=1 µ∗ (E ∩ An )
K

Notice that

Ai ) ∪ (∪∞ Ai ) ∪ (∪∞
 n−1  n−1
= (∪ni=1 Ai ) ∩ (∪i=1

Bn ∩ (∪i=1 i=n+1 Ai ) i=n+1 Ai )
n−1
= (∪i=1 Ai ) ∪ φ
n−1
= ∪i=1 Ai
= Bn−1

Now, since Bn is measurable, so

µ∗ (E) = µ∗ (E ∩ Bn ) + µ∗ (E ∩ Bnc )
≥ µ∗ (E ∩ An ) + µ∗ (E ∩ Ac )

{∵ Bn ⊆ A ⇒ Ac ⊆ Bnc ∴ µ∗ (A ∩ Ac ) ≤ µ∗ (A ∩ Bnc )}

15
Now taking limit n → ∞, we obtain

µ∗ (E) ≥ Σ∞ ∗ ∗ c
n=1 µ (E ∩ An ) + µ (E ∩ A )

≥ Σ∞ ∗ ∞ ∗ c
n=1 µ (E ∩ (∪n=1 An )) + µ (E ∩ A )

≥ Σ∞ ∗ ∗ c
n=1 µ (E ∩ A) + µ (E ∩ A )

Thus, A = ∪∞
i=1 Ai ∈ M and hence M is a σ-algebra.

Now, if µ∗ (A) = 0, then for any E ⊂ X we have

µ∗ (E) ≤ µ∗ (E ∩ A) + µ∗ (E ∩ Ac )
= µ∗ (E ∩ Ac )
≤ µ∗ (E)

so that A ∈ M and hence µ∗ |M is a complete measure.

e em
Na
lid
ha
K

16
Chapter 3

Measurable Functions

3.1 Measurable Functions

em
Definition 3.1.1. Let X, Y be metric/topological spaces.
e If for every open E ⊂ Y ,
f −1 (E) ⊂ X is open, then f : X → Y is called a continuous function.
Na

Definition 3.1.2. Let (X, M) and (Y, N ) be measurable spaces. Then the function f :
lid

X → Y is called measurable function if for every E ∈ N , we have f −1 (E) ∈ M. We say

ha
K

that f is (M, N )-measurable.

Remark.

1) Every measurable function is continuous. The converse, however, may not hold.

2) Lebesgue σ-algebra is the completion of Borel σ-algebra.

Theorem 3.1.3. Let (X, M) be a measurable space and f : X → R be a function. Then

the following statements are equivalent:

1) f is M-measurable.

2) f −1 (a, ∞) ∈ M, ∀a ∈ R.

17
 3) f −1 [a, ∞) ∈ M, ∀a ∈ R.

4) f −1 (−∞, a) ∈ M, ∀a ∈ R.

5) f −1 (−∞, a] ∈ M, ∀a ∈ R.

Proof:
(1) ⇒ (2)
Let f be measurable, then for each E ∈ BR we have f −1 (E) ∈ M. In particular, if
E = (a, ∞) ∈ BR then f −1 (a, ∞) ∈ M.
(2) ⇒ (3)
Since [a, ∞) = ∩∞ 1
n=1 (a − n , ∞), so we have

1
f −1 [a, ∞) = f −1 (∩∞
n=1 (a − , ∞))
n
1
= ∩∞
n=1 f −1 (a − , ∞)
n
Since f −1 (a − n1 , ∞) ∈ M, ∀n, so ∩∞
n=1 f
−1 em
(a − n1 , ∞) ∈ M and hence f −1 [a, ∞) ∈ M.
e
(3) ⇒ (4)
Na

Since (−∞, a) = ([a, ∞))c , so

lid
ha

f −1 (−∞, a) = f −1 ([a, ∞))c = (f −1 [a, ∞))c ∈ M

K

because M is a σ-algebra, so f −1 [a, ∞) ∈ M ⇒ (f −1 [a, ∞))c ∈ M.

(4) ⇒ (5)
Since (−∞, a] = ∩∞ 1
n=1 (−∞, a + n ), so we have
 !
1
f −1 (−∞, a] = f −1 ∩∞ n=1 − ∞, a +
n
 
1
= ∩∞ n=1 f
−1
− ∞, a +
n
Since f −1 (−∞, a + n1 ) ∈ M, ∀n, so ∩∞
n=1 f
−1
(−∞, a + n1 ) ∈ M and hence f −1 (−∞, a] ∈ M.
(5) ⇒ (1)
Since (−∞, a] may be expressed as countable intersection of open sets as
 
∞ 1
(−∞, a] = ∩n=1 − ∞, a +
n

18
so (−∞, a] is a Gδ set and hence (−∞, a] ∈ BR . But f −1 (−∞, a] ∈ M, so proved.

Theorem 3.1.4. Let X1 , X2 , ..., Xn be metric spaces and X = ni=1 Xi be equipped with the
Q

product metric. Then ni=1 BXi ⊆ BX . If Xi ’s are separable, then ni=1 BXi = BX .
N N

Theorem 3.1.5. Let (X, M) and (Yα , Nα ), α ∈ A, be measurable spaces. Assume further
Q N
that Y = α∈A Yα , N = α∈A Nα and πα : Y → Yα is a continuous map. Then f : X → Y
is (M, N )-measurable if and only if fα = πα of is (M, Nα)-measurable for all α.

Definition 3.1.6. Let (X, M) be a measurable space and E ⊆ X. The characteristic or

indicator function χE of E ⊆ X is defined as
(
1, if x ∈ E
χE (X) =
0, if x ∈
/E

Definition 3.1.7. A function f defined on X is called simple function if it can be written

as finite linear combination of characteristic function with complete complex coefficients i.e.
em
f = Σni=1 ai χEi
e
Na

where ai ∈ C and Ei = f −1 (ai ), ∀i = 1, 2, 3, ..., n. Thus, a function whose range is finite is

lid

called simple function.

ha
K

Theorem 3.1.8. Let (X, M) be a measure space. If f : X → [0, ∞] is measurable, then

there is a sequence {φn } of simple functions such that 0 ≤ φ1 ≤ φ2 ≤ ... ≤ f , φn → f
pointwise and uniformly on any set on which f is bounded.

Remark. The space of all measurable functions whose range is set of positive real numbers,
is denoted by L+ .

19
Chapter 4

Integration

4.1 Integration of Non-negative Function

em
Remark. The space of all measurable functions whose range is set of positive real numbers,
e
Na

is denoted by L+ .
lid

Definition 4.1.1. Let (X, M, µ) be a measurable space and f be a function defined on X.

ha

R
Then X f dµ is defined as
K

1) If f is a simple function such that f = Σni=1 ai χEi , then

R R R
f dµ = Σni=1 ai χEi dµ i.e. f dµ = Σni=1 ai µ(Ei )
R
because χE dµ = µ(E).

2) If f is not a simple function, then

R R
f = sup{ φ : 0 ≤ φ ≤ f, where φ is a simple function}.

Proposition 4.1.2. Let φ and ψ be simple functions.

R R
1) If c ≥ 0, then cφ = c φ.
R R R
2) (φ + ψ) = φ+ ψ.

20
 R R
3) If φ ≤ ψ, then φ≤ ψ.
R
4) The map A 7→ A
dµ is a measure on M.

Proof:

1) Since φ is a simple function, so it may be written as a finite linear combination of

characteristic function as
φ = Σni=1 ai χEi , where Ei ⊆ X and ∪ni=1 Ei = X
Thus,
cφ = Σni=1 cai χEi

and hence
Z Z
cφ = Σni=1 cai χEi
em
= Σni=1 cai µEi
e
Na

= cΣni=1 ai µEi
Z
lid

= c Σni=1 ai χEi
ha

Z
K

= c φ

2) Since φ and ψ are simple functions, so both may be written as linear combinations of
characteristic functions as
φ = Σni=1 ai χEi , and
ψ = Σm
j=1 bj χFj ,

where Ei , Fj ⊆ X, and ∪ni=1 Ei = X = ∪m

j=1 Fj .

Now, φ + ψ = Σni=1 ai χEi + Σm

j=1 bj χFj , therefore
Z Z Z
φ+ ψ = (Σni=1 ai χEi + Σm
j=1 bj χFj )
Z Z
n m
= Σi=1 ai χEi + Σj=1 bj χFj
= Σni=1 ai µ(Ei ) + Σm
j=1 bj µ(Fj )

21
 Since ∪m m
j=1 (Ei ∩ Fj ) = Ei ∩ (cupj=1 Fj = Ei ∩ X = Ei , so

Ei = ∪m n
j=1 (Ei ∩ Fj ) and Fj = ∪i=1 (Ei ∩ Fj )

Thus,
Z Z
φ+ ψ = Σni=1 ai Σm m n
j=1 µ(Ei ∩ Fj ) + Σj=1 bj Σi=1 µ(Ei ∩ Fj )

= Σni=1 Σm
j=1 (ai + bj ) µ(Ei ∩ Fj )

= Σn,m (ai + bj ) µ(Ei ∩ Fj )

Z i,j=1
= (φ + ψ)

3) If φ ≤ ψ, then obviously ai ≤ bj for i = 1, 2, ..., n, j = 1, 2, ..., m. Thus,

Z Z
φ = Σni=1 ai χEi
= Σni=1 ai µ(Ei )
≤ Σni=1 bj Σm
j=1 µ(Ei ∩ Fj )
em
= Σm n
j=1 bj Σi=1 µ(Ei ∩ Fj )
e
Na

= Σm
j=1 bj µ(Fj )
lid

= ψ
ha

Z Z
⇒ φ ≤ ψ
K

4) Let {Ak } be a disjoint sequence in M and A = ∪∞ k=1 Ak , then

Z Z
φ = Σi ai µ(A ∩ Ei ) = Σi,k ai µ(Ak ∩ Ei ) = Σk φ
A Ak
R
which shows that the map A 7→ A
dµ is a measure on M.

Remark. The same results hold for non-simple functions.

4.2 The Monotone Convergence Theorem

Theorem 4.2.1. If {fn } is a sequence in L+ such that fj < fj+1 , ∀j, and f = limn→∞ fn (=
R R
supn fn ), then f = limn→∞ fn .

22
 R
Proof: Since { fn } is an increasing sequence of numbers, so its limit exits and is possibly
R R R R
equal to ∞. Furthermore, fn ≤ f for all n, so lim fn ≤ f . Hence,
R R R
limn→∞ fn = supn fn ≤ f
R R
i.e. limn→∞ fn ≤ f (1)
In order to prove the reverse inequality, let α ∈ (0, 1) and φ be a simple function
such that 0 ≤ φ ≤ f . Let En = {x : fn (x) ≥ αφ(x)}, then obviously {En } is an increasing
sequence of measurable sets whose union is X. Now,
Z Z Z
fn ≥ fn ≥ αφ(x)
En En
Z Z Z
∴ lim fn ≥ αφ(x) = α φ(x)
n→∞ En

This inequality holds for all 0 < α < 1, it remains true for α = 1 too. Also,
Z Z Z Z
lim fn ≥ φ ≥ sup φ = f
n→∞

i.e. limn→∞
R
fn ≥
R
f
e em (2)
Combining (1) and (2), we get the desired result.
Na
lid

R
Theorem 4.2.2. If {fn } is a finite or infinite sequence in L+ and f = Σn fn , then f =
ha

R
Σn fn .
K

Proof: We employ induction. Let f1 and f2 be two functions in L+ . Then by Theorem

3.1.8, there exist sequences of simple functions φi and ψj such that 0 ≤ φ1 ≤ φ2 ≤ ... ≤ f1
with limn→∞ φn = f1 , and 0 ≤ ψ1 ≤ ψ2 ≤ ... ≤ f2 with limn→∞ ψn = f2 .
By Monotone Convergence Theorem, we have
Z Z Z Z
f1 = lim φn , f2 = lim ψn
n→∞ n→∞

Moreover,
0 ≤ φ1 + ψ1 ≤ φ2 + ψ2 ≤ ... ≤ f1 + f2

so that
Z Z Z Z Z Z
(f1 + f2 ) = lim (φn + ψn ) = lim φn + lim ψn = f1 + f2
n→∞ n→∞ n→∞

23
 Now, assume that Z Z
ΣN
1 fn = ΣN
1 fn

so that Z Z
lim ΣN
1 fn = lim ΣN
1 fn
N →∞ N →∞
Z Z
⇒ Σ∞
1 fn = Σ∞
1 fn
R
Proposition 4.2.3. If f ∈ L+ , then f = 0 ⇔ f = 0 a.e.

Proof: There arise two cases:

Case-I: If f is a simple function, then we may write f = Σni=1 ai χEi . Now,

Z
f = 0
Z
⇔ Σni=1 ai χEi = 0
Z em
⇔ Σni=1 ai χEi = 0
e
Na

⇔ Σni=1 ai µ(Ei ) = 0
lid

⇔ ai = 0 or µ(Ei ) = 0
ha

⇔f = 0
K

Case-II: If f is not a simple function. Let f = 0 a.e. and 0 ≤ φ ≤ f , where φ is a simple

R R R
function. Then φ = 0 a.e. Thus, φ = 0. So sup φ = 0 and hence f = 0.
R
Conversely, suppose that f = 0. We have to show that f = 0 a.e. For this, suppose
1
on the contrary that f 6= 0 a.e. So there exists En = {x : f (x) > n
} such that
{x : f (x) > 0} = ∪∞
n=1 En . Notice that since En ’s are intervals and measure of an

interval is its length, so it follows that µ(En ) > 0. Since

1 1
f (x) > ≥ χEn
n n
so
1 1
Z Z
f (x) ≥ χEn > µ(En ) > 0
n n
which leads to a contradiction.

24
 R
Corollary 4.2.4. If {fn } ⊆ L+ , f ∈ L+ and fn (x) increases to f (x) a.e., then f = lim fn .

Proof: If fn (x) increases to f (x) for x ∈ E where µ(E c ) = 0, then f − f χE = 0 a.e. and
fn − fn χE = 0 a.e. So by Monotone Convergence Theorem,
Z Z Z Z
f = f χE = lim fn χE = lim fn

4.3 Fatou’s Lemma

R R
Lemma 4.3.1. If {fn } is any sequence in L+ , then lim inf fn ≤ lim inf fn .

R R
Proof: For each k ≥ 1, we have inf n≥k fn ≤ fj for j ≥ k. Thus, inf n≥k fn ≤ fj for j ≥ k
R R
and hence inf n≥k fn ≤ inf j≥k fj . Letting k → ∞ and employing Monotone Convergence
Theorem, we get Z Z Z
lim inf fn = lim
k→∞
e em
inf fn ≤ lim inf
n≥k
fn
R R
Corollary 4.3.2. If {fn } ⊆ L+ , f ∈ L+ and fn → f a.e., then f ≤ lim inf fn .
Na
lid

Proof: The result follows immediately from Fatou’s Lemma if fn → f everywhere, and
ha

this can be achieved by modifying fn and f on a null set without affecting the integrals, by
K

Proposition 4.2.3.
R
Proposition 4.3.3. If f ∈ L+ and f < ∞, then {x : f (x) = ∞} is a null set and
{x : f (x) > 0} is σ-finite.

4.4 Integration of Complex Functions

We begin our discussion by defining positive and negative parts of a function f as follows:

Definition 4.4.1. Let f : X → R∞ be an extended real-valued function, then the positive

and negative parts of f are defined as

f + = max f (x), 0

25
 f − = max − f (x), 0

∀x ∈ X, respectively.
Notice that
• f = f + − f −.
• If f is measurable, then so are f + and f − .
• |f | = f + + f − .

Definition 4.4.2. Let f : X → C be a complex-valued function, then polar decomposition

of f is defined as
f = sgn(f ).|f |

where (
z
|z|
, if z 6= 0
sgn (z) =
0, if z = 0
is the signature function.
We may also write |f | = sgn(f ).f , where sgn(f ) denotes the conjugate of sgn(f ).
e em
R
Definition 4.4.3. A complex-valued function f is called integrable if |f | < ∞. In partic-
Na

R
ular, a function f is integrable on E ∈ M, where M is a σ-algebra on X, if E |f | < ∞.
lid
ha

Theorem 4.4.4. The set of integrable real-valued functions on X is a real vector space, and
K

the integral is a linear functional.

R
Proof: Let S = {f : f is integrable such that |f | < ∞}. Let α, β ∈ R and f, g ∈ S, then
Z Z Z
|αf + βg| ≤ |α| |f | + |β| |g| < ∞

which shows that αf + βg is integrable i.e. αf + βg ∈ S. Hence, S is a subspace of R and

hence a vector space over the field R of real numbers.
Now,

R R
1) αf = α f.

26
 2) Let h = f + g, then h+ = f + + g + and h− = f − + g − so that

h+ − h− = f + + g + − f − − g −
⇒ h+ + f − + g − = h− + f + + g +
Z
Z Z Z Z Z
⇒ h +
f + g−
−
= −
h + f + g+ +

Z Z Z Z Z Z
⇒ h + f + g−
+ −
= −
h + f + g+ +

Z Z Z
⇒ (h+ − h− ) = (f − f ) + (g + − g − )
+ −

Z Z Z
⇒ h = f+ g

Remark. The space of complex-valued integrable functions is a complex vector space and
the integral is is a complex linear functional on it. We denote this space by L1 (µ), L1 (X, µ),
L1 (X) or simply by L1 .
R R
Proposition 4.4.5. If f ∈ L1 , then | f | ≤ |f |.
e em
Na

Proof: There arise three cases:

lid

R R
Case-I: If f = 0 a.e., then | f | = 0 = |f |.
ha
K

Case-II: If f is real-valued, then f = f + − f − , so that

Z  Z  Z  Z  Z Z Z Z
 f  =  (f + − f − ) ≤  f +  +  f −  ≤ |f + | + |f − | ≤ (f + + f − ) = |f |
       
       

R R R R R
Case-III: If f is complex-valued and 6 0. Let α = sgn( f ), then | f | = α f = αf .
f =
R
For our convenience, let’s take αf to be real such that
Z  Z Z Z Z
 
 f  = Re αf = Re(αf ) ≤ |αf | = |f |
 

4.5 Dominated Convergence Theorem

Theorem 4.5.1. Let {fn } be a sequence in L1 such that

27
 1) fn → f a.e.,

2) There exists a non-negative g ∈ L1 such that |fn | ≤ g a.e. for all n.

R R
Then f ∈ L1 and f = limn→∞ fn .

Proof: We know that if {fn } is measurable and L1 is complete. Also fn → f a.e., so f is

measurable and |f | ≤ g, so f ∈ L1 . For convenience, we assume that both fn and g are
real-valued. So,
|fn | ≤ g
⇒ −fn ≤ g, fn ≤ g
⇒ fn + g ≥ 0, g − fn ≥ 0
Thus, by Fatou’s Lemma
Z Z
lim inf(fn + g) ≤ lim inf (fn + g)
Z
⇒ (f + g)
em Z
≤ lim inf fn + g
e Z
Na

Z Z Z Z
⇒ f+ g ≤ lim inf fn + g
lid

Z Z
ha

⇒ f ≤ lim inf fn
K

and
Z Z
lim inf(g − fn ) ≤ lim inf (g − fn )
Z Z Z
⇒ (g − lim sup fn ) ≤ g − lim sup fn
Z Z
⇒ − lim sup fn ≤ − lim sup fn
Z Z
⇒ − f ≤ − lim sup fn
Z Z
⇒ f ≥ lim sup fn

Combining above two inequalities, we have

Z Z Z
lim sup fn ≤ f ≤ lim inf fn

28
We know that lim fn exists if lim inf fn = lim sup fn = lim fn , so last inequality may be recast
as Z Z Z
lim fn ≤ f ≤ lim fn
Z Z
⇒ lim fn = f

Theorem 4.5.2. Suppose that {fj } is a sequence in L1 such that Σ∞

R
1 |fj | < ∞, then
∞
R 1
R ∞ ∞
R
Σ1 fj converges a.e. to a function in L , and Σ1 fj = Σ1 fj .

Proof: Since Z Z
Σ∞
1 |fj | = Σ∞
1 |fj | < ∞

Therefore, g = Σ∞ |fj | is integrable. Hence, {x : g(x) > 0} is σ-finite and Σ∞

R
1 1 |fj (x)| is

finite a.e. Thus, Σ∞

1 fj (x) is convergent. Also,

|Sn | = |Σn1 fj (x)| ≤ Σn1 |fj (x)| = g

Therefore, em
|Sn | = |Σn1 fj (x)| ≤ g
e
Na

So by Dominated Convergence Theorem, we have

lid

Z Z
lim Sn = lim Σn1 fj
ha

n→∞ n→∞
K

Z Z
⇒ lim Σn1 fj = lim Σ1n
fj
n→∞ n→∞
Z Z
⇒ Σ∞ 1 fj = Σ1∞
fj

29