Documenti di Didattica
Documenti di Professioni
Documenti di Cultura
M.Thamban Nair
Department of Mathematics
Indian Institute of Technology Madras
March 2018
.
Preface
The concepts from the theory of measure and integration are vital to any
advanced courses in analysis and its applications, specially in the the ap-
plications of Functional Analysis to other areas such as Harmonic Analysis,
Partial Differential Equations and Integral Equations, and in the theoreti-
cal investigations in applied mathematics. Therefore, an early introduction
to such concepts become essential in the masters program in mathematics.
This book is an attempt towards that goal using minimum background in
mathematical analysis.
It is essentially an updated version of the notes which the author has been
using for teaching courses on measure and integration theory several times
for the last 30 years, during 1987–1995 at Goa University and afterwards at
IIT Madras. The topics covered in this book are standard ones. However,
the reader will definitely find that the presentation of the concepts and
results is different from the standard texts.
It starts by a short introduction on Riemann integration to motivate the
necessity of the concept of integration of functions that are more general than
those allowed in Riemann integration and then introduces the concept of
Lebesgue measurable sets that is more general than the concept of intervals.
Once we have this family of measurable sets, and the concept of a Lebesgue
measure, it becomes almost obvious that one need not restrict the theory
of integration to the subsets of the real line, but can be developed on any
set together with a sigma algebra on it. Thus, the concept of a measure
on a measurable space allows us to have a theory of integration in a very
general setting which has immense potential for application to diverse areas
of mathematics and its applications.
Although the theory of integration is very vast, the attempt in this book
is to introduce the students to this modern subject in a simple and natural
manner so that they can pursue the subject further with confidence, and
also apply the concepts in other branches of mathematics such as those
iii
iv Preface
Preface iii
2 Lebesgue Measure 13
2.1 Lebesgue Outer Measure . . . . . . . . . . . . . . . . . . . . . 13
2.2 Lebesgue Measurable Sets . . . . . . . . . . . . . . . . . . . . 21
2.3 Problems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 33
vi
Contents vii
References 167
Index 168
1
The quantities L(P, f ) and U (P, f ) are called the lower sum and upper sum
associated with (P, f ). We may observe that in the definition of mi and Mi ,
we used the fact that f is a bounded function.
Note that if f (x) ≥ 0 for all x ∈ [a, b], then L(P, f ) is the total area of
the rectangles with lengths mi and widths xi − xi−1 , and U (P, f ) is the total
1
2 Review of Riemann Integral
L(P, f ) ≤ γ ≤ U (P, f )
for all partitions P of [a, b]. With this requirement in mind, we introduce
the following definition.
L(P, f ) ≤ γ ≤ U (P, f )
for all partitions P of [a, b]. If such a γ exists, then it is called the Riemann
integral of f and it is denoted by
Z b
f (x)dx. ♦
a
Note that, for any partition P of [a, b], we have L(P, f ) = 0 and U (P, f ) = 1.
Thus, every number α ∈ [0, 1] satisfies L(P, f ) ≤ α ≤ U (P, f ) for every
partition P of [0, 1]. Hence, f is not Riemann integrable. ♦
Note that, in the definition of Riemann integral, we used the fact that f
is a bounded function.
Let P be the set of all partitions of [a, b]. Clearly
L(P, f ) ≤ U (P, f ) ∀ P ∈ P.
Denoting
and
k
X k
X
U (P, f ) = Mi ∆xi ≤ M ∆xi = M (b − a)
i=1 i=1
so that
m(b − a) ≤ L(P, f ) ≤ U (P, f ) ≤ M (b − a).
Thus, the set {L(P, f ) : P ∈ P} is bounded above by M (b − a), and the set
{U (P, f ) : P ∈ P} is bounded below by m(b − a). Hence,
L(f ) := sup{L(P, f ) : P ∈ P},
U (f ) := inf{U (P, f ) : P ∈ P}
exist as real numbers. Using the quantities L(f ) and U (f ), we have the
following characterization of Riemann integrability.
Theorem 1.1.3 A bounded function f : [a, b] → R is Riemann integrable
on [a, b] if and only if L(f ) = U (f ).
Remark 1.1.4 As you would have observed, the proof of Theorem 1.1.3
was very easy. We gave its proof in detail, mainly because of the fact that
in standard text books, the Riemann integrability of a bounded function
f : [a, b] → R is defined by requiring L(f ) = U (f ). ♦
Given two partitions P1 and P2 of [a, b], we can consider a new partition
P by using all the partition points of P1 and P2 , taking repeated points
only once. Such a partition will be called the partition obtained by
combining P1 and P2 , and is usually denoted by P1 ∪ P2 .
Given any two partitions P and Q of [a, b], it can be shown that
L(P, f ) ≤ L(P ∪ Q, f ) ≤ U (P ∪ Q, f ) ≤ U (Q, f );
consequently, L(f ) ≤ U (f ).
U (Pn , f ) − L(Pn , f ) → 0 as n → ∞,
and in that case the sequences (U (Pn , f )) and (L(Pn , f )) converge to the
Rb
same limit a f (x)dx.
|P | := max{xi − xi−1 : i = 1, . . . , n}
We observe that for a given partition of [a, b], the Riemann sums may
vary as the tag sets vary.
It is obvious that, if f : [a, b] → R is a bounded function, then
for any partition P and tag set T for P . Therefore, by Theorem 1.1.5, we
have the following result.
Theorem 1.1.8 Let f : [a, b] → R be a bounded function. If f is Riemann
integrable, then for every ε > 0, there exists a partition P such that
Z b
S(P, T, f ) − f (x)dx <ε
a
|S(P, T, f ) − γ| < ε
Rb
for every tag set T of P , then f is Riemann integrable and γ = a f (x)dx.
U (P, f ) − ε(b − a) < S(P, T1 , f ) and S(P, T2 , f ) < L(P, f ) + ε(b − a).
In particular,
and
U (P, f ) − L(P, f ) < 2ε[(b − a) + 1].
Hence, by Theorem
R b 1.1.5, it follows that f is Riemann
Rb integrable, and by
the definiton of a f (x)dx (Definition 1.1.1), γ = a f (x)dx.
for any partition P of [a, b] with |P | < δ and for every tag set T for P .
The following results are also true; for their proofs, the reader may refer to
Ghorpade and Limaye [4] or Rudin [10].
Thus, the set of all Riemann integrable functions is very large. In fact
we have the following theorem, known as Lebesgue’s criterion for Riemann
integrability, whose proof depends on some techniques involving the concepts
of oscillation of a function; refer Delninger [2] for its proof.
Here, the concept of a set of measure zero is used in the sense of the following
definition.
Definition 1.2.1 A set E ⊆ R is said to be of measure zero if for every
ε > 0, there exists a countable family {In } of open intervals such that
[ X
E⊆ In and `(In ) < ε,
n n
Then X X
E ⊆ ∪n∈Λ In and `(In ) = (ε/2n ) ≤ ε. ♦
n∈Λ n∈Λ
a1 , a2 , . . . , ak 6∈ Jδ .
In Examples 1.2.5 and 1.2.6, we see that, although the sequence (fn (x))
converges for each x ∈ [0, 1], it is not uniformly bounded, that is, there does
not exist an M > 0 such that |fn (x)| ≤ M for all x ∈ [a, b] and for all n ∈ N.
In fact, in both the examples, the sequence is (fn (1/n)) is unbounded. In
this context, it is worth mentioning the following theorem, known as Arzela’s
dominated convergence theorem.
immediate
Most of the known proofs for the above theorem, in the context of Rie-
mann integration, are quite involved. For a recent elementary proof, one
may refer [5].
Note that, in Arzela’s theorem, we assumed that the f is Riemann inte-
grable. In this course we shall have a new type of integral, which includes
Riemann integral, called the Lebesgue integral, and derive Arzela’s theorem
(see Theorem 5.3.1) as a consequence of a more general result. In fact,
the assumption of Riemann integrability of f is not required, but then, the
integral of f is to be understood in the Lebesgue sense.
(a, ∞), [a, ∞), (−∞, a), (−∞, a] for any a ∈ R. Here, for a ∈ R,
For every a ∈ R,
±∞ if a > 0,
∞ > a, −∞ < a, ±∞±a = ±∞, ±∞×a =
∓∞ if a < 0.
Further,
In the above, addition and multiplication are commutaitve. Also, for any
a ∈ R, we denote
Lebesgue Measure
13
14 Lebesgue Measure
where the infimum is taken over the collection IE of all countable family
{In } of open intervals which covers E, that is, E ⊆ ∪n In . ♦
Note that m∗ (E) ≥ 0, and m∗ (E) can take the value ∞ as well. Thus,
m∗ can be thought of as a function from the family of all subsets of R into
the set [0, ∞].
holds (Exercise). Now, we shall give detaied proofs for some of the properties
of the Lebesgue outer measure.
(ii) m∗ (∅) = 0.
(iii) First let E be a finite set, say E = {a1 , . . . , ak } ⊆ R. Then for every
ε > 0, E ⊆ ∪ki=1 Ii , where Ii = (ai − ε, ai + ε). Hence, m∗ (E) ≤ 2kε. Since
this is true for every ε > 0, m∗ (E) = 0. Next suppose that E is a countably
infinite set, say E = {ai : i ∈ N}. Then taking
Corollary 2.1.4 Let E ⊆ R. For every ε > 0, there exists an open set G
in R such that
E ⊆ G and m∗ (G) ≤ m∗ (E) + ε.
16 Lebesgue Measure
Remark 2.1.5 In view of Corollary 2.1.4, one may ask the following ques-
tion:
We shall see, in Theorem 2.2.19, that the answer to the above question
is in affirmative only if E belongs to a class of subsets, called Lebesgue
measurable sets. ♦
A + B = {x + y : x ∈ A, y ∈ B}.
E + a := {x + a : x ∈ E}.
Note that ∪∞ ∞
k=1 Ak ⊆ ∪k=1 ∪n Ik,n . Therefore,
∞
[ X∞ X ∞
X ∞
X
m∗ Ak ≤ `(Ik,n ) ≤ (m∗ (Ak ) + ε/2k ) = m∗ (Ak ) + ε.
k=1 k=1 n k=1 k=1
This is true for all ε > 0. Hence, m∗ (I) ≤ b − a. Thus, it remains to show
that m∗ (I) ≥ b − a. For this, it is enough to show that
X
b−a≤ `(In ) ∀ {In } ∈ II , (∗)
n
because, in that case we can take infimum over all such {In } ∈ II and obtain
b − a ≤ m∗ (I). So, let {In } ∈ II . If `(In ) = ∞ for some n ∈ N, then (∗)
holds trivially. So, we may assume that each In is of finite length. By the
compactness of I, there exists a finite sub-collection {In1 , , . . . , Ink } of {In }
such that I ⊆ ∪ki=1 Ini . Let Ini := (ai , bi ) for i ∈ {1, . . . , k}. We may assume,
without loss of generality, that
Then
k
X k
X k−1
X
`(Ini ) = (bi − ai ) = bk − a1 + (bi − ai+1 ) ≥ bk − a1 ≥ b − a.
i=1 i=1 i=1
Thus,
k
X X
b−a≤ `(Ini ) ≤ `(In ).
i=1 n
so that by Case 1,
b − a − 2ε ≤ m∗ (I) ≤ b − a + 2ε.
20 Lebesgue Measure
Note that
C1 ⊃ C2 ⊃ C3 ⊃ · · · .
and m∗ (C1 ) = 2/3, m∗ (C2 ) = (2/3)2 , m∗ (C3 ) = (2/3)3 , etc., and more
generally, 2 n
m∗ (Cn ) = , n ∈ N.
3
Lebesgue Measurable Sets 21
Hence,
k
\ 2 k
m∗ (C) ≤ m∗ Cn = m∗ (Ck ) = ∀ k ∈ N.
3
n=1
1 2 2 2
= 2 + 3 + 4 + ···
3 3 3 3
2
and the number 3 is represented as
2 1 2 2 2
= + 2 + 3 + 4 + ··· .
3 3 3 3 3
Pk aj
More generally, if x = j=1 3j for some k ∈ N with ak 6= 0, then ak ∈ {1, 2},
and we represent a3kk as
∞
ak ak − 1 X 2
k
= +
3 3k 3k+j
j=1
an ∈ {0, 2} ⇐⇒ a 6∈ Jn .
Hence,
∞
n X bn o
C= b= : bn ∈ {0, 2}, n ∈ N .
3n
n=1
Suppose for a moment that (1) is true for any two disjoint sets A1 and
A2 . Then we also have
n
[ n
X
∗
m Ai = m∗ (Ai ) (2)
i=1 i=1
We now show that (3) does not hold for certain denumerable disjoint family
{An }∞
n=1 of subsets of R.
In particular,
∞
[ ∞
X
∗
m En 6= m∗ (En ).
n=1 n=1
x ∼ y ⇐⇒ x − y ∈ Q.
Lebesgue Measurable Sets 23
so that
∞
[
1 ≤ m∗ En ≤ 3.
n=1
By the above theorem, the relation (3), and hence the relation (1) does
not hold for some disjoint family of sets involved. Thus, we have have also
proved the following result.
(i) E ∈ M ⇐⇒ m∗ (A) ≥ m∗ (A ∩ E) + m∗ (A ∩ E c ) ∀ A ⊆ R.
(ii) ∅ ∈ M.
(iii) E ∈ M ⇒ E c ∈ M.
(iv) m∗ (E) = 0 ⇒ E ∈ M.
Since countable sets are of zero outer measure, Theorem 2.2.4 implies:
Since (A1 ∪A2 )∩A1 ) = A1 and (A1 ∪A2 )∩Ac1 ) = A2 , we obtain the result.
The proof of the following theorem is along the same lines as we have
deduced (3) from (2). However, we give its details here as well.
Hence,
∞
[
0 < m(A) ≤ m∗ En ≤ 3(b − a).
n=1
Since ∗ m∗ (E m∗ (E)
for all n ∈ N, it follows that
Sm (En ) = + rn ) =
∞ P∞
m∗ n=1 En
∗
6= n=1 m (En ). In particular E 6∈ M.
Next, suppose that A is not bounded. Then for every α > 0, Aα :=
A∩[−α, α] is a bounded set. Since A = ∪α>0 Aα and m∗ (A) > 0, there exists
β > 0 such that m∗ (Aβ ) > 0. By the arguments in the above paragraph,
there exists Eβ ⊆ Aβ ⊆ A such that Eβ 6∈ M.
This completes the proof.
A1 \ A2 = A1 ∩ Ac2 = (Ac1 ∪ A2 )c ,
By Theorem 2.2.10 we can say that M is closed under finite unions. Next
we show that M is closed under countable unions. For this purpose we shall
make use of the following lemma which is more general than Theorem 2.2.5.
But,
Hence, we have
m∗ (A ∩ (A1 ∪ A2 )) = m∗ (A ∩ A1 ) + m∗ (A ∩ A2 ).
Thus, the result is proved for n = 2. The result for general n follows by
induction.
S
Proof. Let E = En , where En ∈ M for n ∈ N, and let A ⊆ R. We
have to show that
m∗ (A) ≥ m∗ (A ∩ E) + m∗ (A ∩ E c ) . (∗)
28 Lebesgue Measure
S
We write E as a disjoint union E = An where A1 = E1 and for n ≥ 2,
An = En \ ∪n−1
i=1 Ei .
Hence, the result follows from Theorem 2.2.13 together with the fact that
E ∈ M implies E c ∈ M.
Lebesgue Measurable Sets 29
∅ ∈ M;
E ∈ M ⇒ E c ∈ M; [ [ X
{Ei } disjoint family in M ⇒ Ei ∈ M & m∗ ( Ei ) = m∗ (Ei )
i i i
MA := {E ⊆ A : E ∈ M}
(i) For any a ∈ R, the intervals (a, ∞), [a, ∞), (−∞, a) and (−∞, a]
belong to M.
(ii) For any a, b ∈ R with a < b, the intervals (a, b) and [a, b] belong to M.
Proof. We first prove that (a, ∞) ∈ M for any a ∈ R, and then deduce
other results by using some of the properties of m∗ . So, let a ∈ R and
E = (a, ∞). Let A ⊆ R and ε > 0. By Theorem 2.1.3, there exists a
countable family {In } of open intervals such that
[ X
A⊆ In , `(In ) ≤ m∗ (A) + ε.
n n
30 Lebesgue Measure
Note that
[ [
A∩E ⊆ (In ∩ (a, ∞)), A ∩ Ec ⊆ (In ∩ (−∞, a]).
n n
Note that In0 and In00 are intervals such that In0 ∩ In00 = ∅ and In0 ∪ In00 = In so
that
m∗ (In0 ) + m∗ (In00 ) = `(In0 ) + `(In00 ) = `(In ).
Thus, we have proved that
X
m∗ (A ∩ E) + m∗ (A ∩ E c ) ≤ `(In ) ≤ m∗ (A) + ε.
n
Hence, (a, ∞) = E ∈ M.
Next we observe that for any a ∈ R,
∞
\ 1
[a, ∞) = a− ,∞ ,
n
n=1
Thus, we have proved (i) and (ii). Now, using the facts that M is closed
under countable unions, countable intersections and complementation, and
the fact that every open subset of R is a countable union of open intervals,
the results listed in (iii)-(vi) follow.
In view of the results (v) and (vi) in Theorem 2.2.17, we recall the
following definition from Real Analysis.
Lebesgue Measurable Sets 31
(i) E ∈ M.
(ii) For every ε > 0, there exists an open set G in R such that
E ⊆ G and m∗ (G \ E) ≤ ε.
E ⊆ G and m∗ (G \ E) = 0.
G \ E = [∪∞ ∞ ∞
n=1 Gn ] \ [∪n=1 En ] ⊆ ∪n=1 (Gn \ En ).
Therefore,
∞ ∞
X X ε
m∗ (G \ E) ≤ m∗ (Gn \ En ) ≤ = ε.
2n
n=1 n=1
1
m∗ (G \ E) ≤ ∀ n ∈ N.
n
Letting n tend to infinity, we obtain m∗ (G \ E) = 0. Thus, (iii) holds.
(iii)⇒ (i): Assume (iii). Then there exists a Gδ -set set G in R such that
E ⊆ G and m∗ (G \ E) = 0. Therefore, G \ E ∈ M. We know that G ∈ M
so that by Corollary 2.2.11,
E = G \ (G \ E) ∈ M.
F ⊆E⊆G and m∗ (G \ F ) = 0.
F = Hc ⊆ E and E \ F = E \ H c = E ∩ H = H \ E c
Problems 33
so that m∗ (E \ F ) = m∗ (H \ E c ) = 0. Since G \ F = (G \ E) ∪ (E \ F ) we
obtain m∗ (G \ F ) = 0.
Conversely, suppose that there exists a Gδ -set G and an Fσ -set F such
that F ⊆ E ⊆ G and m∗ (G \ F ) = 0. In particular, G \ E ⊆ G \ F so
that m∗ (G \ E) = 0 and hence G \ E ∈ M. Therefore, by Corollary 2.2.11,
E = G \ (G \ E) ∈ M.
(i) E ∈ M.
(ii) For every ε > 0, there exists a closed set F in R such that
F ⊆ E and m∗ (E \ F ) ≤ ε.
F ⊆ E and m∗ (E \ F ) = 0.
2.3 Problems
1. Prove that, in Definition 2.1.1, m∗ (E) remains the same if we take IE to be
the collection of all countable family {In } of intervals where In ’s are intervals
of finite length, not necessary open intervals.
2. Show that, if E ⊆ A and m∗ (E) = 0, then m∗ (A ∪ E) = m∗ (A).
3. Show that, for every a, b ∈ R with a < b, the intervals [a, b), (a, b], [a, b] are
Gδ -sets, and [a, b), (a, b], (a, b) are Fσ -sets .
4. From Theorem 2.1.9, deduce that outer measure of every countable set is 0.
5. Deduce Corollary 2.1.8 from Theorem 2.1.9
6. Justify the statement: There exists a countable disjoint family {En } of sub-
sets of R such that
[∞ X ∞
m∗ En 6= m∗ (En ).
n=1 n=1
11. Justify the statement: There exists a countably infinite disjoint family N of
subsets of R such that N ∩ M = ∅.
12. Deduce Corollary 2.2.6 from Theorem 2.2.7.
13. Show that if E ∈ M, then
1. R ∈ M,
2. E ∈ M implies E c ∈ M,
S
3. En ∈ M for n ∈ N implies n En ∈ M,, and
[ X
4. {En } is a countable disjoint family in M implies m En = m(En ).
n n
35
36 Measure and Measurable Functions
(a) X ∈ A,
(b) A ∈ A implies Ac := X \ A ∈ A,
S
(c) An ∈ A for n ∈ N implies n An ∈ A.
The pair (X, A) is called a measurable space, and members of A are called
measurable sets. ♦
If we replace the countable union in the condition (c) in the above defi-
nition with finite unions, then the resulting family is called an algebra. We
shall use the concept of an algebra in Chapter 6.
Let us first make an easy observation.
(i) A, B ∈ A implies A \ B ∈ A,
T
(ii) An ∈ A for n ∈ N implies n An ∈ A.
Hence the results in (i) and (ii) follow from the definition of the σ-algebra.
• If the σ-algebra A and the measure µ are understood from the context,
then instead of saying that (X, A, µ) is a measure space, we may say
that X is a measure space.
♦
Example 3.1.14 Let X be any set, A be the power set of X, x0 ∈ X, and
µ be defined by
1 if x0 ∈ E
µ(E) =
0 if x0 6∈ E.
Then (X, A, µ) is a measure space, and the measure µ is called the Dirac
measure on X centered at x0 . ♦
Let us assume that the wire costs nothing, but the beads at
x1 , . . . , xk cost rupees w1 , . . . , wk respectively. Then the cost
of a part, say E, of the wire together with the beads on it is
P
i∈∆E wi where ∆E = {i : xi ∈ E}.
40 Measure and Measurable Functions
where the infimum is taken over the collection of all countable family {Rn }
of open rectangles which covers E, that is, E ⊆ ∪n Rn . ♦
1. m∗k (∅) = 0;
3. An ⊆ Rk , n ∈ N ⇒ m∗k ( ∞
S P∞ ∗
n=1 An ) ≤ n=1 mk (An ).
(i) µ∗ (∅) = 0,
µ∗ (A) = µ∗ (A ∩ E) + µ∗ (A ∩ E c )}.
(1) {∅, X} ⊆ T ,
(2) A, B ∈ T ⇒ A ∩ B ∈ T ,
[
(3) S ⊆ T ⇒ A∈T
A∈S
Recall also that, given a topological space (Y, T ), the members of the topol-
ogy T are called open sets in Y , and a set A ⊆ Y is called a closed set if
Restrictions of σ-Algebras and Measures 43
Example 3.5.4 For any set nonempty set X, we know that A = {∅, X} is
a σ-algebra and µ defined by µ(∅) = 0 and µ(X) = 0 is a measure on A.
Then we see that µ is complete if and only if X is a singleton set. ♦
The following theorem shows that every measure space can be completed.
and
à := {A ∪ E : A ∈ A, E ∈ N }.
Then the following are true.
(ii) µ̃ defined on à by
(iii) (X, Ã, µ̃) is the smallest complete measure space containing (X, A, µ),
in the sense that if (X, Â, µ̂) is a complete measure space with A ⊆ Â
and µ̂(A) = µ(A) for every A ∈ A, then à ⊆ Â.
∞
[ ∞ ∞
[ [
(An ∪ En ) = An ∪ En .
n=1 n=1 n=1
Therefore, ∞
S S∞
n=1 En ∈ N so that n=1 (An ∪ En ) ∈ Ã. Thus, we have proved
that à is a σ-algebra on X containing A.
(iv) Suppose that (X, Â, µ̂) is a complete measure space with A ⊆ Â and
µ̂(A) = µ(A) for every A ∈ A. Since A ⊆ Â and µ̂ is a complete measure,
we have N ⊆ Â. Thus, using the fact that  is a σ-algebra, we also obtain
à ⊆ Â.
Definition 3.5.6 The measure space (X, Ã, µ̃) defined in Theorem 3.5.5 is
called the completion of (X, A, µ). ♦
Theorem 3.5.7 The σ-algebra M of Lebesgue measurable sets is the com-
pletion of the Borel σ-algebra B1 .
Proof. Recall from Corollary 2.2.20 that for every E ∈ M, there exist a
Gδ -set G ⊇ E and an Fσ -set F ⊆ E such that m(G \ F ) = 0. We know that
Gδ sets and Fσ sets are Borel sets. Hence,
E = F ∪ (E \ F ), where E \ F ⊆ G \ F with m(G \ F ) = 0.
Thus M is the completion of the Borel σ-algebra B1 .
Proof. We write ∞
S S∞
i=1 Ai as a disjoint union i=1 Ei by taking E1 = A1
and Ei = Ai \ Ai−1 for i = 2, 3, . . .. Then
∞
[ ∞
[ ∞
X n
X n
[
µ Ai = µ Ei = µ(Ei ) = lim µ(Ei ) = lim µ Ei .
n→∞ n→∞
i=1 i=1 i=1 i=1 i=1
Sn
But, i=1 Ei = An . Hence,
∞
[
µ Ai = lim µ(An ).
n→∞
i=1
Proof. Since ∞
T T∞
i=1 Ai = i=k Ai for any k ∈ N, we may assume without
loss of generality that µ(A1 ) < ∞, instead of the assumption µ(Ak ) < ∞
for some k ∈ N. Now, let Bn = A1 \ An , n ∈ N. Then Bn ⊆ Bn+1 for all
n ∈ N, so that by the Theorem 3.6.1,
∞
[
µ Bi = lim µ(Bn ).
n→∞
i=1
But, ∞
S T∞
i=1 Bi = A1 \ i=1 Ai . Therefore, since µ(A1 ) < ∞, by Theorem
3.1.5 (ii), we have
∞
[ ∞
\ ∞
\
µ B i = µ A1 \ Ai = µ(A1 ) − µ Ai ,
i=1 i=1 i=1
50 Measure and Measurable Functions
Since AE contains sets which are not open, the converse of the above state-
ment is not true. In other words, the set
contains more functions than continuous functions. For example, for the
function f : R → R defined by
1, x > 0,
f (x) =
0, x ≤ 0,
we have
(0, ∞), 1 ∈ G, 0 6∈ G,
(−∞, 0], 0 ∈ G, 1 6∈ G,
f −1 (G) =
R, {0, 1} ⊆ G,
{0, 1} ∩ G = ∅.
∅,
for every open set G ⊆ R. Thus, taking E = R, f −1 (G) ∈ B1 for every open
set G ⊆ R, but the function is not continuous.
In view of the above observations, we have the following definition.
Definition 3.7.1 Let (X, A) be a measurable space and let K be either R
or C. Then f : X → K is said to be a measurable function if f −1 (G) ∈ A
for every open set G ⊆ K.
A measurable function f : X → K is said to be a real measurable
function if K = R, and it said to be a complex measurable function if
K = C. ♦
The topological spaces R, C and R̃ have the property stated in the above
box. In the case of Y = R we may take S as the set of all open intervals,
Measurable Functions 55
and if Y = R̃, then we may take S as the set of all intervals of the form
(a, b), (a, ∞] or [−∞, b). In the case of Y = C, we may take S as the set of
all open balls, that is, sets of the form {z ∈ C : |z − α| < ε} for α ∈ C and
ε > 0.
Proof. (i) The fact that S is a σ-algebra on Y follows from the relations
∞
[ ∞
[
f −1 An = f −1 (An )
n=1 n=1
f is measureable ⇐⇒ f −1 (B) ∈ A ∀ B ∈ BY . ♦
The following theorem shows how a measure on one measurable space can
induce a measure on another measurable space using a measurable function
in the sense discussed in Remark 3.7.9. This theorem is important in the
context of probability theory.
Theorem 3.7.10 Let (X1 , A1 ) and (X2 , A2 ) be a measurable spaces and
f : X1 → X2 be such that f −1 (A) ∈ A1 for every A ∈ A2 . Let µ be a
measure on (X1 , A1 ). Then ν : A2 → [0, ∞] defined by
is a measure on (X2 , A2 ).
is called the probability distribution of the random variable f , and the func-
tion F : R → R defined by
(i) f is measurable.
(iii) {x ∈ X : f (x) ≥ a} ∈ A ∀a ∈ R.
(v) {x ∈ X : f (x) ≤ a} ∈ A ∀a ∈ R.
Proof. Recall that for any a ∈ R, (a, ∞] is an open set in R̃. Now, for
a ∈ R, we observe that
For the next theorem, and also for use in the due course, we define a few
notions.
Measurable Functions 59
for x ∈ X. ♦
We may observe the followng.
• If lim supn fn = lim inf n fn , then lim fn (x) exists for every x ∈ X, and
n
for every x ∈ X.
Theorem 3.7.15 Let fn : X → [−∞, ∞] be measurable for each n ∈ N.
Then
sup fn , inf fn , lim sup fn , lim inf fn
n n n n
it also follows that lim supn fn and lim inf n fn are measurable functions.
60 Measure and Measurable Functions
is measurable.
fn → f pointwise on E.
(−1)n if x ∈ Q,
fn (x) =
1 if x 6∈ Q.
Measurable Functions 61
Note that for every x ∈ [0, 1] \ Q, (fn (x)) converges to the constant function
1 and for x ∈ [0, 1]∩Q, (fn (x)) diverges. Since and m(Q) = 0, (fn ) converges
almost everywhere, but it does not converge pointwise.
Next, let fn : [0, 1] → R be defined by
1 if x ∈ Q,
gn (x) =
(−1)n if x 6∈ Q
for each n ∈ N. In this case, (gn ) neither converges pointwise nor converges
a.e. on [0, 1]. ♦
E := {x ∈ E : P holds at x}
[−∞, ∞]. So, let G be an open subset of [−∞, ∞]. Note that
f −1 (G) = {x ∈ E : f (x) ∈ G} ∪ {x ∈ E c : f (x) ∈ G}.
Since fn → f pointwise on E, the set {x ∈ E : f (x) ∈ G} is in AE , and
since {x ∈ E c : f (x) ∈ G} ⊆ E c and µ(E c ) = 0, by the completeness of µ,
{x ∈ E c : f (x) ∈ G} ∈ A. Thus, f −1 (G) ∈ A. is union of two sets in A.
Note that
Fn,k ⊆ Fn,k+1 ∀k ∈ N
so that
µ(Fn,k ) → µ(∪∞
j=1 Fn,j ) = µ(X) as k → ∞.
64 Measure and Measurable Functions
Let E = ∩∞
n=1 Fn,kn . Then
∞
X
µ(X \ E) = µ(∪∞
n=1 (X \ Fn,kn ) ≤ µ(X \ Fn,kn ) < ε.
n=1
Thus fn → f uniformly on E.
is measurable.
Measurable Functions 65
Since f and and g are measurable functions, h−1 (I1 ×I2 ) = f −1 (I1 )∩g −1 (I2 )
is a measurable set.
[Ref ](x) := Ref (x), [Imf ](x) = Imf (x), |f |(x) := |f (x)|,
Remark 3.7.31 From (i) and (iv) in Theorem 3.7.30, it follows that the set
VR of all real measurable functions and the set VC of all complex measurable
functions are vector spaces over R and C, respectively. Sine R ⊆ C, VC is a
vector space over R as well. ♦
Theorem 3.7.32 Suppose (fn ) is a sequence of complex measurable func-
tions which converges pointwise to a function f on X. Then f is measurable.
for x ∈ X. ♦
Simple measurable functions 67
takes only a finite number of values, and hence, it is a simple function. Thus,
The next theorem is one of the most important results in the theory of
measure and integration, and it would help us inferring many properties of
a measurable functions.
(ii) ϕn → f pointwise on X.
In fact, ϕn defined by
n2n
X i−1
ϕn = χEi,n + nχFn , n ∈ N,
2n
i=1
Simple measurable functions 69
where
n i−1 i o
Ei,n := x ∈ X : n ≤ f (x) < n , i = 1, . . . , n2n ,
2 2
Fn := {x ∈ X : f (x) ≥ n},
1
|f (x) − ϕn (x)| ≤ .
2n
Therefore, in this case also, ϕn (x) → f (x) as n → ∞.
Next suppose that x ∈ Ei,n for some n ∈ N and for some i ∈ {1, 2, . . . , n2n }.
Then ϕn (x) = (i − 1)/2n , and
i−1 i−1 1
ϕn+1 (x) ∈ , + n+1 .
2n 2n 2
1
ϕn+1 (x) ∈ {n, n + }.
2n+1
Thus, we get ϕn (x) ≤ ϕn+1 (x) for every x ∈ X and for every n ∈ N.
with ϕn (x) ∈ {0, 1} such that the sequence (ϕn (x)) is not eventually con-
stant. Now, define f : [0, 1] → R by
∞
X 2ϕn (x)
f (x) = , x ∈ [0, 1].
3n
n=1
Note that f is an injective function and its range is contained in the Cantor
set C. We observe that, for each n ∈ N, ϕn = χEn , where En is a finite
union of subintervals of [0, 1]. Hence, each ϕn is a Lebesgue measurable
function. Therefore, by Theorem 3.8.4, f is also a Lebesgue measurable
function. Now, let E0 ⊆ [0, 1] be a non-Lebesgue measurable set, and let
F0 = f (E0 ). Thus, F0 ⊆ C and m(C) = 0 so that F0 ∈ M. Now, if F0 ∈ B1 ,
then by the Lebesgue measurability of f (see Theorem 3.7.8),
E0 = f −1 (F0 ) ∈ M;
3.9 Problems
1. Show that the condition (a) in Definition 3.1.3 can be replaced by “∃ A0 ∈ A
such that µ(A0 ) < ∞.”
2. Let (X, A, µ) be a measure space. Prove that for every A, B ∈ A,
3. Let m∗k and Mk be as in Section 3.2. Prove that Mk is a σ-algebra and m∗k
restrired to Mk is a measure.
rem-gen-meas
4. Let X be a set. Let A, µ∗ and µ be as in Remark 3.2.2. Prove the following:
{E ⊆ X0 : E ∈ A} = {E ∩ X0 : E ∈ A}.
10. Prove that the σ-algebra generated by the family of all closed subsets of a
topological space Y is the Borel σ-algebra on Y .
11. Let (An ) and (Bn ) are sequences of subsets of a set X such that there exists
k ∈ N with An = Bn for all n ≥ k. Show that
74
Integral of Simple Measurable Functions 75
R
(c) If αi > 0 and µ(Ai ) = ∞ for some i ∈ {1, . . . , n}, then X ϕ dµ = ∞.
For example, if ϕ = χ[0,∞) , then
Z
ϕ dm = µ([0, ∞) = ∞. ♦
R
Example 4.1.5 Let X = [a, b], A = M[a,b] , the Lebesgue σ-algebra re-
stricted to [a, b], and let µ is the Lebesgue measure. Let A = [0, 1] ∩ Q and
B = [a, b] ∩ Qc . Then we have
Z Z
χA dµ = µ(A) = 0 and χB dµ = µ(B) = b − a.
X X
In the due course, we shall use the following properties of the character-
istic functions:
In the above (1) and (2) can be seen easily; (3) follows from (1) by observing
that B = A ∪ (B \ A), and (4) is a consequence of (1) and (2), since
A ∪ B = (A \ A ∩ B) ∪ (A ∩ B) ∪ (B \ A ∩ B).
Z k
X
ψ dµ = βi µ(Bi ).
X i=1
Integral of Simple Measurable Functions 77
Example 4.1.8 Let X = [a, b], A = M[a,b] , the Lebesgue σ-algebra re-
stricted to [a, b],
P and let µ is the Lebesgue measure. Let ϕ be a step func-
tion, say ϕ = ni=1 αi χIi with αi ≥ 0 for i = 1, . . . , n, where I1 , . . . , In are
disjoint intervals whose union is [a, b] and α1 , . . . , αn be non-negative real
numbers. Then we have
Z X n
ϕ dµ = αi `(Ii ).
X i=1
Example 4.1.10 Using the result in Example 4.1.9, every finite sum of
non-negative real numbers can be represented as an integral. This can be
seen as follows: Let a1 , . . . , an be in [0, ∞), X = {1, . . . , n}, A = 2X and µ
be the counting measure on X. Define f : X → R by
Hence,
Z n
X
f dµ = aj .
X j=1
We shall see, in the due course, that every countable sum of non-negative
real numbers can also be represented as an integral. ♦
Since ni=1 Ai = X = m
S S
j=1 Bj , we have
m
[ [m
Ai = Ai ∩ Bj = (Ai ∩ Bj ), i ∈ {1, . . . , n},
j=1 j=1
n
[ [n
Bj = Bj ∩ Ai = (Ai ∩ Bj ), j ∈ {1, . . . , m}.
i=1 i=1
Integral of Simple Measurable Functions 79
Thus,
n
X n
X m
X n X
X m
ϕ= αi χAi = αi χAi ∩Bj = αi χAi ∩Bj ,
i=1 i=1 j=1 i=1 j=1
m
X m
X n
X m X
X n
ψ= αi χBj = βj χAi ∩Bj = βj χAi ∩Bj ,
j=1 j=1 i=1 j=1 i=1
n X
X m n X
X m
ϕ+ψ = (αi + βj )χAi ∩Bj , cϕ = cαi χAi ∩Bj .
i=1 j=1 i=1 j=1
and
Z n X
X m n X
X m Z
cϕ dµ = cαi µ(Ai ∩ Bj ) = c αi µ(Ai ∩ Bj ) = c ϕ dµ.
X i=1 j=1 i=1 j=1 X
k
Z X k
X
βi χBi dµ = βi µ(Bi ).
X i=1 i=1
R
Proof. In view of Corollary 4.1.14, the sequence X ϕn dµ is mono-
tonically increasing, and hence it converges in [0, ∞].
defines a measure on A.
Integral of Positive Measurable Functions 81
k
X k
X
χE ϕ = αi χE χAi = αi χE∩Ai .
i=1 i=1
Then,
Z Z k
X
ν(E) = ϕ dµ = χE ϕ dµ = αi µ(E ∩ Ai ). (1)
E X i=1
But,
h [ i [ X
µ(E ∩ Ai ) = µ En ∩ Ai = µ (En ∩ Ai ) = µ(En ∩ Ai ), (2)
n n n
To show the other way inequality, let ϕ ∈ Sf . We are going to show that
Z Z
r ϕdµ ≤ lim ϕn dµ ∀ r ∈ (0, 1), (∗)
X n→∞ X
so that by letting r → 1, the result will follow. For this, let r ∈ (0, 1) and
for each n ∈ N, let
En = {x ∈ X : rϕ(x) ≤ ϕn (x)}.
Then we have
Z Z Z
r ν(En ) = rϕdµ ≤ ϕn dµ ≤ ϕn dµ.
En En X
Integral of Positive Measurable Functions 83
f (j) = aj , j ∈ N.
n
X
f = lim aj χ{j} = lim ϕn ,
n→∞ n→∞
j=1
84 Integral of Positive Measurable Functions
and Z Z Z Z
c f dµ = lim cϕn dµ = lim c ϕn dµ = c f dµ.
X n→∞ X n→∞ X X
Notation:
R OnceR the measure
R µ under
R consideration
R is understood, we may
write E f dµ as E f and X f dµ as X f or f .
In the following theorem, we list some of the properties of the integral.
Integral of Positive Measurable Functions 85
R R
(v) If f (x) = 0 for all x ∈ E, then χE f = 0. Hence, E f= X χE f = 0.
(vi) Suppose µ(E) = 0 and ϕ ∈ SχE f . Then we have
Z Z
ϕ = χE ϕ and ϕ = χE ϕ = 0.
X
Hence, Z Z Z
f= χE f = sup ϕ = 0.
E X ϕ∈Sχ f X
E
R R
(vii) Let ϕ R∈ Sf . Then,
R χ E ϕ ≤ χ E f so that by (i), χ E ϕ ≤ X χE f .
Thus, supϕ∈Sf E ϕ ≤ E f . To show the reverse inequality, let ϕ ∈ SχE f .
Then ϕ ∈ Sf and ϕ = χE ϕ. Hence,
Z Z Z Z Z Z
f= χE f = sup ϕ = sup χE ϕ ≤ sup χE ϕ = sup ϕ.
E X ϕ∈Sχ f X ϕ∈Sχ f X ϕ∈Sf X ϕ∈Sf E
E E
as n → ∞, where L(Pn , f ) and U (Pn , f ) denote the lower sum and upper
sum corresponding to the partition Pn . Note that if
(n) (n) (n)
Pn : a = x0 < x1 . . . < xkn = b,
for i = 1, . . . , kn , then
kn Z
(n) (n) (n)
X
L(Pn , f ) := mi (xi − xi−1 ) = ϕn dm
i=1 [a,b]
and
kn Z
(n) (n) (n)
X
U (Pn , f ) := Mi (xi − xi−1 ) = ψn dm,
i=1 [a,b]
where
kn kn
(n) (n)
X X
ϕn = mi χ (n) , and ψn = Mi χ (n)
I I
i i
i=1 i=1
for i = 1, . . . , kn . Thus,
Z Z b Z Z b
ϕn dm → f (x)dx and ψn dm → f (x)dx
[a,b] a [a,b] a
as n → ∞. Let
ϕ = sup ϕn , ψ = inf ψn .
n∈N n∈N
88 Integral of Positive Measurable Functions
ϕn ≤ ϕn+1 ≤ ϕ ≤ f ≤ ψ ≤ ψn+1 ≤ ψn ∀ n ∈ N.
ϕn → ϕ and ψn → ψ pointwise.
Following the same lines of arguments as in the proof of Theorem 4.2.1 with
the sequence (fn ) in place of (ϕn ) we obtain
Z Z Z
f := sup ϕdµ ≤ lim fn .
X ϕ∈Sf X n→∞ X
For the sake of completion, let us imitate the arguments here briefly:
Let ϕ ∈ Sf , and for 0 < r < 1 and n ∈ N, let
En = {x ∈ X : rϕ(x) ≤ fn (x)}.
Then (En ) is an increasing sequence in A and X = ∞
S
n=1 En . Consider the
measure induced by ϕ, that is,
Z
ν(E) = ϕdµ, E ∈ A.
E
Then we have
Z Z Z
r ν(En ) = rϕdµ ≤ fn dµ ≤ fn dµ.
En En X
Taking limit,
Z Z
r ϕdµ = r ν(X) = lim r ν(En ) ≤ lim fn dµ.
X n→∞ n→∞ X
Remark 4.4.2 Traditionally, MCT (Theorem 4.4.1) is proved first and then
the result in Theorem 4.2.1 is observed. We followed the reverse path as it
is felt that Theorem 4.2.1 is a good motivation for defining the integral. ♦
Corollary 4.4.3 Let (fn ) be a sequence
P of extended real valued non-negative
measurable functions on X and f := ∞ n=1 fn . Then for every E ∈ A,
Z X∞ Z
f= fn .
E n=1 E
Thus,
[ ∞
X
ν Ei = ν(Ei ).
i i=1
and Z Z Z
gf dµ = χE f dµ = f dµ
X X E
Proof. For each k ∈ N, let gk = inf n≥k fn . Then gk ≤ gk+1 for all k ∈ N,
and lim gk = f := lim inf fn . Hence, by MCT (Theorem 4.4.1),
k→∞ n
Z Z
lim gk = f.
k→∞ X X
R R
But, since gk ≤ fk for all k ∈ N, we have X gk ≤ X fk so that
Z Z Z Z
f = lim gk = lim inf gk ≤ lim inf fk .
X k→∞ X k X k X
Strict inequality can hold in Fatou’s lemma. To see this, consider the
following two examples.
92 Integral of Positive Measurable Functions
fn := χ[n,∞) , n ∈ N.
R
Then, we have lim fn (x) = 0 for every x ∈ R and X fn = ∞ for all n ∈ N.
n→∞
Hence, Z Z
(lim inf fn ) dµ = ( lim fn ) dµ = 0,
X n X n→∞
Z
lim inf fn dµ = ∞.
n X
In MCT we assumed that fn ≤ fn+1 for every n ∈ N, that is, for each
x ∈ X, fn (x) ≤ fn+1 (x) for every n ∈ N. A natural question is whether the
conclusion of MCT holds if the above condition is replaced by
Hence, Z Z Z Z
f dµ = gdµ = lim fn dµ = lim fn dµ.
X E n→∞ E n→∞ X
The answer to the above question is in affirmative, and this result is called
the Radon-Nikodym theorem.
by Z
ν0 (E) = f dµ, E ∈ A0 .
E
Then ν0 is a measure on A0 and ν0 << µ0 , where µ0 is the restriction of the
measure µ to A0 . Hence, by Radon-Nikodym theorem (Theorem 4.4.10),
there exists a function g : X → [0, ∞], measurable respect to A0 , such that
Z Z
ν0 (E) = g dµ0 = g dµ, E ∈ A0 .
E E
4.5 Problems
In the following it is assumed that a measure space (X, A, µ) is given.
Z
(a) If f dµ < ∞, then µ(An ) → 0 as n → ∞.
X
∞
X
(b) If µ is a finite measure, then µ(An ) < ∞.
n=1
P∞ P∞
(Hint: For (b), observe nµ(An \ An+1 ) = n=1 µ(An ).)
n=1
14. Let (X, A, µ) be a measure space with µ(X) < ∞ and f be a non-negative
measurable function on X. Let g(t) := µ({x ∈ X : f (x) ≤ t}), t ∈ R.
Prove that there exists a measure ν on the Borel σ-algebra on R such that
ν((−∞, t]) = g(t) for all t ∈ R.
4.6 Appendix
Proof of Theorem 4.4.10: Radon-Nikodym theorem. We first prove
the existence part of the theorem when µ and ν are finite measures, and then
use this part for proving the existence part when µ and ν are σ-finite mea-
sures. Finally uniqueness part is proved.
Step (1): Suppose µ and ν be finite measures on (X, A) such that ν << µ.
In this case, we prove following:
There
R exists a non-negaive measurable function f such that ν(E) =
E f dµ for all E ∈ A.
is a measure.
(iv) If λ is not the zero measure, then observation in (c) contradicts (a).
f, g ∈ F ⇒
max{f, g} ∈ F.
R
Let (fn ) be a sequence in F such that X fn dµ → α. For each n ∈ N, let
gn := max{f1 , . . . , fn } ∈ F.
Thus, Z
f dµ = α.
X
Since µ and ν are finite measures, it can be easily shown that λ is a finite
measure on (X, A).
Proof of (iii): Suppose λ is not the zero measure. Then there exsits A ∈ A
such that λ(A) > 0. In particular, there exists A0 ∈ A and k ∈ N such that
1
λ(A0 ) > µ(A0 ).
k
Let
1
S := {A ∈ A : λ(A) > µ(A)}
k
and
G := {A ∈ S : B ⊆ A ⇒ B ∈ S}.
We show that G 6= ∅. Clearly A0 ∈ S. Let
1
β0 := inf{λ(B) − µ(B) : B ∈ A, B ⊆ A0 }.
k
If β0 ≥ 0, then A0 ∈ G and we are done.
Suppose β0 < 0. Since µ and ν are finite measures, β0 6= −∞. Hence,
−∞ < β0 < 0. Let B0 ∈ A be such that B0 ⊆ A0 and
1 β0
λ(B0 ) − µ(B0 ) < .
k 2
Let A1 := A0 \ B0 . Then we see that λ(A1 ) − k1 µ(A1 ) > 0. We may observe
that, if B ∈ A is such that B ⊆ A1 , then λ(B)− k1 µ(B) ≥ β20 . (For, otherwise
B ∪ B0 would violate the definition of β0 .)
If A1 ∈ G, then we are done. Otherwise, we may repeat the above
procedure with A1 in place of A0 to obtain a B1 and then to get A2 :=
A1 \ B1 . Thus, we get either a finite number of sets A1 , . . . , An , B1 , . . . , Bn
in A and numbers β1 , . . . , βn , βn+1 such that
1
Ai ∈ S, Bi ⊆ Ai , βi := inf{λ(B) − µ(B) : B ∈ A, B ⊆ Ai }
k
100 Integral of Positive Measurable Functions
and Z Z
B ⊆ X \ Â ⇒ hdµ = f dµ ≤ ν(B).
B B
Hence,
Z Z Z
hdµ = hdµ + hdµ ≤ ν(B ∩ A) + ν(B \ A) = ν(B).
B B∩A0 B\A0
Step (2): Suppose µ and ν are σ-finite measures, not necessarily finite,
on (X, A) such that ν << µ.
By this assumption, there exists a countable
S mutually disjoint collection
{Xn } of measurable sets such that X = n∈N Xn , and µ(Xn ) < ∞ and
ν(Xn ) < ∞ for each n ∈ N. For each n ∈ N, consider the finite measures µn
and νn on (X, A) defined by
Since the integrals on both sides of the above equations are finite, we have
Z Z
χXn (f − g) dµ = (f − g) dµ = 0 ∀ n ∈ N. (∗)
E E∩Xn
103
104 Integral of Complex Measurable Functions
Z Z Z
f + dµ and f − dµ are finite if and only if |f | dµ is finite,
X XZ Z Z X
and in that case f dµ = f + dµ − f − dµ.
X X X
R
Note that X |f | dµ is defined in the case of complex measurable functions
f as well. Hence, we introduce the following definition.
Definition 5.1.2 A real orZ complex measurable function f on X is said to
be integrable (over X) if |f |dµ < ∞. ♦
X
Hence,
f ∈ L(µ) ⇐⇒ Ref ∈ L(µ) and Imf ∈ L(µ).
Since each integral on both the sides of the above equation is finite, we
obtain,
Z Z Z Z Z Z
− −
+
(f + g) − (f + g) = +
f − f + +
g − g−.
X X X X X X
Thus, Z Z Z
(f + g) = f+ g.
X X X
Next, note that
so that
(cf )+ − (cf )− = (c+ f + + c− f − ) − (c+ f − + c− f + )
and hence
Since each integral on both the sides of the above equation is finite, we
obtain,
Z Z Z
cf = (cf )+ − (cf )−
X ZX ZX Z Z
= + +
c f − c+ f − + c− f − − c− f +
X Z X
Z X Z XZ
h i h i
− −
= c + +
f − f −c +
f − f−
X X X X
hZ Z i
= (c+ − c− ) f+ − f−
Z X X
= c f.
X
= f+ g.
X X
= c f.
X
Z Z Z Z
+ − + −
= f − f + g − g
Z Z
= f + g.
Z Z Z
From the above, can you conclude (f + g) = f+ g? ♦
108 Integral of Complex Measurable Functions
Since the first term above is real, we must have X Im (e−iθ f ) = 0, and
R
hence,
Z Z
Re(e−iθ f )
f =
X
ZX Z
−iθ
= [Re(e f )] − +
[Re(e−iθ f )]−
ZX X
≤ [Re(e−iθ f )]+
ZX
≤ |f |.
X
(ii) First observe that it is enough to prove for the case of a real valued f .
So, let f be a real valued measurable function. Let E = {x ∈ X : f (x) ≥ 0}.
By hypothesis, Z Z
f+ = f =0
X E
Remark 5.1.9 Theorem 5.1.4 shows that L(µ) is a vector space over C and
the map Z
f 7→ f dµ
X
is a linear functional on L(µ). Further, the map
Z
f 7→ |f |dµ
X
is a seminorm on L(µ).
for all u, v ∈ V and for all scalar α. It can be easily shown that
if p is a seminorm on a vector space V , then
To have an example of a seminorm other than the one given above, let
us consider the vector space B(Ω), the vector space of all bounded real or
complex valued functions defined on a set Ω. Then, for each ω ∈ Ω, the
map f 7→ f (ω) is a linear functional on B(Ω) and the map f 7→ |f (ω)| is a
seminorm on B(Ω).
Now, in view of Theorem 4.2.7 and Theorem 5.1.8, we have
Z
|f |dµ = 0 ⇐⇒ f = 0 a.e.
X
So, let
Z := {f ∈ L(µ) : f = 0 a.e}.
110 Integral of Complex Measurable Functions
L(µ) := L(µ)/Z.
v ∈ V, p(v) = 0 ⇒ v = 0.
As another example of a norm other than the one given above, let us con-
sider the vector space B(Ω) of all bounded real or complex valued functions
defined on a set Ω. Then, the map
f 7→ kf k := sup |f (x)|
x∈Ω
is a norm on B(Ω). In later sections, we shall deal with some other spaces
with norms. ♦
Now, we show that this result still holds if f is a real valued Riemann
integrable function.
So, suppose that f : [a, b] → R is a Riemann integrable function. Then,
we may recall from the theory of Rieman integration that |f | is also Riemann
integrable and Z b Z b
f (x)dx ≤ |f (x)|dx.
a a
Riemann Integral as Lebesgue Integral 111
Now, we would like to relax the conditions in Theorem 5.3.1 on (fn ) and
X. The resulting theorem is the Dominated Convergence Theorem, one of
the most important one in the theory of integration.
Proof. Since |fn | ≤ |g| for some g ∈ L(µ) and (fn (x)) converges for every
x ∈ X, it follows that |f | ≤ |g| so that fn ∈ L(µ) and f ∈ L(µ). Also, we
have
|fn − f | ≤ |fn | + |f | ≤ 2|g| ∀ n ∈ N.
Thus, 2|g| − |fn − f | ≥ 0 for all n ∈ N, and 2|g| − |fn − f | → 2|g| as n → ∞.
Hence, by Fatou’s lemma,
Z Z
2|g| = lim inf (2|g| − |fn − f |)
X X n
Z
≤ lim inf (2|g| − |fn − f |)
n X
Z Z
= 2|g| − lim sup |fn − f |.
X n X
Thus, Z Z
0 ≤ lim inf |fn − f | ≤ lim sup |fn − f | ≤ 0.
n X n X
Z
Consequently, lim |fn − f | exists and it is equal to 0.
n→∞ X
114 Integral of Complex Measurable Functions
The following example shows that the condition (b) in the Dominated
Convergence Theorem cannot be dropped.
Example 5.3.3 For each n ∈ N, let fn : R → R be defined by
1/n if 0 < x < n,
fn (x) =
0 otherwise.
R
Then, (fn ) converges to the zero function uniformly. But R fn dm = 1 for
every n ∈ N. Note that, (fn ) is not dominated by an integrable function. ♦
Note that the convergence of (fn ) to the zero function is not uniform, and
hence, Theorem 5.3.1 cannot be applied. ♦
For the next consequence of the DCT, we shall make use of the following
lemma.
Z
Lemma 5.3.7 Suppose f : X → [0, ∞] is such that f is finite. Then
X
µ({x : f (x) > n}) → 0 as n → ∞ and f is real valued almost everywhere,
i.e., µ({x : f (x) = ∞}) = 0.
Proof. By assumption
∞
Z X ∞ Z
X
|fn | = |fn | < ∞.
X n=1 n=1 X
116 Integral of Complex Measurable Functions
P∞ P∞
Hence, by Lemma 5.3.7, n=1 |fn | is finite a.e. In particular, n=1 fn
converges a.e. Let
n
X ∞
X
gn := fj and h = |fn |.
j=1 n=1
P∞
Thus, (gn ) converges to g := n=1 fn a.e. and |gn | ≤ h for all n ∈ N with
h ∈ L(µ). Hence, by DCT (Theorem 5.3.4),
Z Z ∞
Z X
lim gn dµ = g dµ = fn .
n→∞ X X X n=1
But,
Z n
Z X n Z
X ∞ Z
X
lim gn = lim fj = lim fj = fj .
n→∞ X n→∞ X n→∞ X X
j=1 j=1 j=1
R P∞ P
∞ R
Thus, X n=1 n =
f j=1 X fj and the proof is completed.
Recall
R that if f is a measurable function and E ∈ A with µ(E) = 0,
Rthen E |f |dµ = 0. Suppose µ(E) 6= 0, but µ(E) is small. Can we say that
E |f | dµ small? Not necessarily, as the following example shows.
so that Z
ε
µ(A) < ⇒ |f |dµ < ε.
M0 A
Now, let us consider the general case of f ∈ L(µ).R In this case, by Theorem
5.3.9, there exists a bounded g ∈ L(µ) such that X |f − g|dµ < ε/2. Hence,
for A ∈ A,
Z Z Z Z
ε
|f |dµ ≤ |g|dµ + |f − g|dµ ≤ |g|dµ + .
A A A A 2
Let M > 0 be such that |g| ≤ M . Then we have
Z Z
ε ε
|f |dµ ≤ |g|dµ + ≤ M µ(A) + .
A A 2 2
R
Thus, µ(A) < ε/2M implies A |f |dµ < ε.
118 Integral of Complex Measurable Functions
µ(An ) < δ ∀ n ≥ N.
R
Hence, by (∗) above, An |f |dµ < ε for all n ≥ N .
Corollary
R 5.3.15 Let f ∈ L(µ) and An = {x ∈ X : |f (x)| > n} for n ∈ N.
Then An |f |dµ → 0 as n → ∞.
5.4 Lp Spaces
Let (X, A, µ) be a measure space. For 1 ≤ p < ∞, we denote by Lp (X, A, µ)
the set of all complex measurable functions f on X such that |f |p is inte-
grable. In short, we may denote this set by Lp (µ) or by Lp (X). Thus,
Z
p
f ∈ L (µ) ⇐⇒ |f |p dµ < ∞.
X
120 Integral of Complex Measurable Functions
Lp (µ) := Lp (µ)/Zp .
Note that the spaces L(µ) and L(µ) introduced earlier are the spaces
L1 (µ) and L1 (µ), respectively.
ap bq
ab ≤ + .
p q
ϕ(x) = ex , x ∈ R,
for all a ∈ I with a < b. The above relations can also be written as
g(b) − g(a) g(b) − g(c)
≤β≤ , (6)
b−a b−c
which is also true for all c ∈ I with b < c. The relations in (5) and (6) show
that
g(b) − g(t) ≤ β(b − t) ∀ t ∈ I.
R
Now, taking b = X f dµ and t = f (x) for x ∈ X, we obtain
Z Z
g f dµ − g(f (x)) ≤ β f dµ − f (x) .
X X
aλ1 1 · · · aλnn ≤ λ1 a1 + · · · λn an .
2
Taking n = 2, p = 1/λ1 , q = 1/λ2 , a = aλ1 1 , b = aλ2 we obtain the Young’s
inequality in Lemma 5.4.3.
Recall the notation
Z 1/p
p
kf kp := |f | dµ for 1 ≤ p < ∞,
X
124 Integral of Complex Measurable Functions
1 1
+ =1
p q
1 1
where q is such that p + q = 1.
Proof. For the case p = 1 and p = ∞, it is easy to see that the inequality
holds. Hence, assume that 1 < p < ∞. Then 1 < q < ∞. First we observe
that if one of kf kp and kgkq is zero or infinity, then the inequality holds.
Hence, we assume that 0 < kf kp < ∞ and 0 < kgkq < ∞. For x ∈ X,
taking a = |f (x)|/kf kp and b = |g(x)|/kgkq in the Young’s inequality, we
have
|f (x)g(x)| |f (x)|p |g(x)|q
≤ + .
kf kp kgkq pkf kpp qkgkqq
Now, taking integrals over X, we get
p |g|q
R R
|f |
Z
1
|f g| ≤ X p + X q = 1.
kf kp kgkq X pkf kp qkgkq
Z
Hence, |f g| ≤ kf kp kgkq , which completes the proof.
X
kf + gkp ≤ kf kp + kgkp .
Now, let ε > 0 be given. Since (fn ) is a Cauchy sequence in Lp (µ), there
exists N ∈ N be such that kfnk − fn kp < ε for all n, k ≥ N . Thus,
Z Z
p
|f − fn | ≤ lim inf |fnk − fn |p < εp ∀ n ≥ N,
X n X
is a complete metric on B(Ω), the space of all bounded complex valued func-
tions on Ω.
Proof. Let (fn ) be a Cauchy sequence in B(Ω). Then for every t ∈ Ω, the
sequence (fn (t)) is a Cauchy sequence of complex numbers. Hence, (fn (t))
converges for every t ∈ Ω. Let
Z 1/p k
gkp
X
= kgk kp ≤ kfni − fni−1 kp ≤ 1.
X i=1
gp
R
Hence, X < ∞. Therefore, by Lemma 5.3.7, g(x) < ∞ a.e. on X. Thus
P ∞
i=1 (fni+1 − fni ) converges a.e. on X, completing the proof for the case
1 ≤ p < ∞.
128 Integral of Complex Measurable Functions
and
Bm,n := {x ∈ X : |fn (x) − fm (x)| > kfn − fm k∞ }
are of measure zero for every k, m, n ∈ N. Hence, the set
[ [
E := Ak ∪ Bm,n
k m,n
is of measure zero, and for each x ∈ Ω := E c , |fk (x)| ≤ kfk k∞ for all k ∈ N,
and
|fn (x) − fm (x)| ≤ kfn − fm k∞ ∀ m, n ∈ N.
Since (fn ) is cauchy in L∞ (µ), it follows that (f˜n ) with f˜n = fn |Ω is a
Cauchy sequence in B(Ω) with respect to k · k∞ . By Theorem 5.4.11, B(Ω)
is complete with respect to k · k∞ . Hence, there exists f˜ ∈ B(Ω) such that
kf˜n − f˜k∞ → 0 as n → ∞. Defining f (x) = f˜(x) for x ∈ Ω and f (x) = 0
for x 6∈ Ω, it follows that f ∈ L∞ (µ), and kfn − f k∞ → 0 as n → ∞.
Note that, as part of the proof of the above theorem, we have proved
the following.
Proposition 5.4.13 If 1 ≤ p < ∞, then every Cauchy sequence in Lp (µ)
has a subsequence which converges almost everywhere.
In particular, if (fn ) is a sequence in Lp (µ) which converges to f in
Lp (µ), then (fn ) has a subsequence which converges to f a.e.
Lr (µ) ⊆ Lp (µ).
In particular,
L∞ (µ) ⊆ Lp (µ) for every p ∈ [1, ∞).
1 1
Also, for p, q ∈ (1, ∞) with + = 1, by Hölder’s inequality,
p q
Z Z 1/p
|f | dµ ≤ |f |p dµ [µ(X)]1/q .
X X
Thus,
Lp (µ) ⊆ L1 (µ) for every p ∈ [1, ∞).
Next, let 1 < p < r < ∞ and f ∈ Lr (µ). Then, again by Hölder’s inequality,
we have Z Z 1/s
|f |p dµ ≤ |f |ps dµ [µ(X)]1/t ,
X X
where s = r/p and t > 1 is such that 1s + 1t = 1. Thus,
Z Z p/r
p
|f | dµ ≤ |f |r dµ [µ(X)]1−p/r
X X
so that
f ∈ Lp (µ) and kf kp ≤ kf kr [µ(X)]1/p−1/r .
Hence Lr (µ) ⊆ Lp (µ).
`p (N) ⊆ `r (N).
This shows that `p (N) ⊆ `r (N). To see the last part, let 1 ≤ p < r < ∞,
1
and consider the sequence (1/n p ). Since ∞
P 1 P∞ 1
n=1 n diverges and n=1 nr/p
converges, we have (1/n1/p ) ∈ `r (N) \ `p (N). Also, if an = 1 for all n ∈ N,
then (an ) ∈ `∞ (N) \ `p (N) for any p ∈ [1, ∞).
It can be easily shown that C[a, b] is not complete with respect to the metric
Z b
dp (f, g) := |f (x) − g(x)|p dx, f, g ∈ C[a, b],
a
for 1 ≤ p < ∞. Note that C[a, b] ⊆ Lp [a, b]. So, it is natural to ask whether
C[a.b] is dense in Lp [a, b]. We shall answer this affirmatively in a slightly
more general context.
Let Ω be a (Lebesgue) measurable subset of R. By Cc (Ω) we mean the
vector space of all continuous functions f : Ω → C such that there exists a
compact subset K of Ω with f (x) = 0 for all x 6∈ K. Clearly, if Ω itself is
compact, then Cc (Ω) is C(Ω), the space of all continuous functions on Ω.
132 Integral of Complex Measurable Functions
Proof. Let a and b be the end points of J with a < b. Let δ > 0 be such
that a + 4δ < b so that a + 2δ < b − 2δ and [a + δ, b − δ] ⊆ J. Let gδ : R → R
be defined by
1 if x ∈ [a + 2δ, b − 2δ],
1
gδ (x) = δ (x − a − δ) if x ∈ [a + δ, a + 2δ],
1
(b − δ − x) if x ∈ [b − 2δ, b − δ].
δ
0 if x 6∈ [a + δ, b − δ].
Then we see that gδ ∈ Cc (Ω) with gδ (x) = 0 for all x 6∈ [a + δ, b − δ]. Hence,
Z Z a+2δ
p 1
|χJ (x) − gδ (x)| dx = 2 [1 − (x − a − δ)]p dx
J a+δ δ
Z 1
= 2δ y p dy
0
= 2δ/(p + 1).
2δ
Take δ > 0 be such that p+1 < ε and define fε on Ω by
gδ (x), x ∈ J,
fε (x) =
0, x∈6 J.
− fε |p dm < ε.
R
Then we have fε ∈ Cc (Ω) and Ω |χJ
Lp Spaces 133
Proof. Let f ∈ Lp (Ω) and ε > 0. It is enough to prove for the case when
f is a non-negative real valued function. In that case, we know that there
is an increasing sequence (ϕn ) of non-negative simple measurable functions
on Ω such that ϕn → f pointwise. We observe that, for each n ∈ N,
ϕn ∈ Lp (Ω), |f − ϕn |p ≤ 2p |f |p , f − ϕn → 0 pointwise.
Hence, by DCT,
Z Z
p
|f − ϕn | dm = (f − ϕn )p dm → 0.
Ω J
so that
Z Z
kχG0 − χE kpp = |χG0 − χE |p dm = χ(G0 \E) dm = m(G0 \ E) < ε.
Ω Ω
P∞ Sk
Let k ∈ N be such that i=k+1 `(Jn ) < ε and Gk = n=1 In . Then
∞
X
Gk ⊆ G, m(G0 \ Gk ) = `(In ) < ε.
i=k+1
Hence,
Z Z
kχG0 − χGk kpp = p
|χG0 − χGk | dm = χ(G0 \G ) dm = m(G0 \ Gk ) < ε.
k
Ω J
Thus, by Minkowski inequality,
kχE − χGk kp ≤ kχE − χG0 kp + kχG0 − χGk kp < 2ε1/p .
But, χGk = ki=1 χIn . Hence, it is enough to prove that for each interval
P
J ⊆ Ω of finite length, there exists g ∈ Cc (Ω) such that kχJ − gkp < ε. This
is proved in Proposition 5.4.18.
Then g is continuous.
Thus, g 0 ∈ L[a, b]. Now, we show that g 0 = f a.e. We split the proof into
two cases:
Case (1): f is bounded. Let M > 0 be such that |f (x)| ≤ M for all
x ∈ (a, b). Let (tn ) be a sequence real numbers in (0, 1] such that tn → 0 as
n → ∞. By We know that
g(x + tn ) − g(x)
→ g 0 (x) a.e.
tn
Let us extend the function f to [a, b+1] by defining its value as 0 on (b, b+1]
and designate the extended function by the same notation f . Note that for
x ∈ (a, b), and for all n ∈ N such that x + tn ∈ [x, b],
x+tn
g(x + tn ) − g(x)
Z
1
fn (x) := = f dm.
tn tn x
Note that, for y ∈ [a, b], using the translation invariant property of the
138 Integral of Complex Measurable Functions
Lebesgue measure,
Z y
1 y
Z
fn dm = [g(x + tn ) − g(x)] dm
a tn a
Z y+hn Z y
1
= g(x) dm − g(x) dm
tn a+tn a
Z y+tn Z a+tn Z y
1
= g(x) dm − g(x)dm − g(x) dm
tn y y a
Z y+tn Z a+tn
1
= g(x) dm − g(x) dm .
tn y a
1 y+tn 1 a+tn
Z Z
g(x) dm → g(y), g(x) dm → g(a) = 0.
tn y tn a
Hence,
Z y Z y Z y
0
g dm = lim fn dm = g(y) = f dm ∀ y ∈ [a, b].
a n→∞ a a
Thus, Z y
(g 0 − f )dm = 0 ∀ y ∈ [a, b].
a
Therefore, by Theorem 5.3.16, g 0 = f a.e.
Case (2): f not necessarily bounded. Without loss of generality,
assume that f is non-negative. For n ∈ N, let fn be as in Theorem 5.3.9,
that is,
f (x), f (x) ≤ n,
fn (x) =
n, f (x) > n.
Then fn → f pointwise and f − fn ≥ 0 for all n ∈ N. Let
Z x Z x
gn (x) := fn dm and hn (x) := (f − fn )dm, x ∈ [a, b],
a a
g = gn + hn
Indefinite Integral and its Derivative 139
Well, it is too much to expect, in view of the fact that an indefinite integral
of an integrable function is continuous, in fact, absolutely continuous. For
instance, consider the function g := χ[a,c] : [a, b] → R for c = (a + b)/2. Then
g is differentiable almost everywhere with g 0 = 0. Note that
Z x
g(a) + g 0 dm = 1 ∀ x ∈ [a, b] whereas g(x) = 0 ∀ x ∈ [c, b].
a
However, if we assume that the function g is also absolutely continuous, then
we do have the affirmative answer, which is also known as a fundamental
theorem of Lebesgue integration.
Theorem 5.5.7 (Fundamental theorem of Lebesgue integration)
Suppose g : [a, b] → K is absolutely continuous and g is differentibale almost
everywhere with g 0 ∈ L[a, b]. Then
Z x
g(x) = g(a) + g 0 dm.
a
140 Integral of Complex Measurable Functions
For its proof, we make use of the following property of absolutely con-
tinuous functions.
Lemma 5.5.8 Suppose ϕ : [a, b] → K be absolutely continuous. If ϕ0 = 0
a.e., then ϕ is a constant function.
for every partition P : a = x0 < x1 < · · · < xn = b of [a, b]. The quantity
n
X
V[a,b] (ϕ) := sup |ϕ(xi ) − ϕ(xi−1 )|
P i=1
Indefinite Integral and its Derivative 141
is called the total variation of ϕ, where supremum is taken over all parti-
tions P of [a, b]. ♦
Remark 5.5.11 Suppose γ : [a, b] → C is a continuous function. If γ is of
bounded variation, then one may define the length of the curve γ as its
total variation. ♦
It can be easily seen that
Then it can be shown that (Problem 26) f ∈ C[0, 1] but not of bounded
variation. However,
m
X `
X
|ϕ(ti ) − ϕ(ti−1 | ≤ |ϕ(si ) − ϕ(si−1 )|.
i=1 i=1
For each i ∈ {1, . . . , k}, let si,1 , . . . , si,ni be the points from {si }`i=0 that lie
in [ai−1 , ai ]. Then we have
ni
X
|ϕ(si,j ) − ϕ(si,j−1 )| < ε
j=1
Indefinite Integral and its Derivative 143
and hence m
P
i=1 |ϕ(ti ) − ϕ(ti−1 | ≤ kε. Note that the number kε is inde-
pendent of the partition P . Thus, we have proved that ϕ is of bounded
variation.
also holds.
Equivalently,
5.6 Problems
R R R
1. If f ∈ L(µ) such that X
f ≥ 0, then show that X
f= X
Ref.
2. Suppose f is a real measurable function. Prove the following.
(a) If f ≥ 0 a.e., then X f dµ is well defined and X f dµ = X f + dµ.
R R R
R
5. Show that L(µ) is a vector space over C, and f 7→ X f is a linear functional
on L(µ).
R
6. Show that the set N := {f ∈ L(µ)R : X |f | = 0} is subspace of the vector
space L(µ), and the map [f ] 7→ X |f | is a norm on the quotient space
L(µ)/N .
7. For f ∈ L(R, m), showR that the integral R f (x)e−itx dx exists for each t ∈ R
R
11. Prove that, if µ(X) < ∞ and 1 ≤ p < r ≤ ∞, then Lr (µ) ⊆ Lp (µ).
12. Prove that for 1 ≤ p < r ≤ ∞, the inclusion `p (N) ⊆ `r (N) is proper.
13. Let
1
1
, x ∈ [1, ∞),
√ ,
x ∈ (0, 1),
x x
f (x) = and g(x) =
0, x 6∈ [1, ∞)
0, x 6∈ (0, 1)
20. Prove that for 1 ≤ p < ∞ and k ∈ N, the space C k [a, b] is dense in Lp [a, b].
21. Suppose Ω is a subset of Ω such that the topology induced by the usual
metric on R is the discrete topology. Prove the following:
5.7 Appendix
Definition 5.7.1 Let E ⊆ R. A family I of intervals is called a Vitali
cover of E, if for every x ∈ E and for every ε > 0, there exists I ∈ I such
that
x ∈ I and `(I) < ε.
♦
Appendix 147
Lemma 5.7.2 (Vitali covering lemma) Let E ⊆ R be such that m∗ (E) <
∞. If I is a Vitali cover of E, then for every ε > 0, there exist pairwise
disjoint intervals I1 , . . . , In in I such that
m∗ (E \ ∪ni=1 Ii ) < ε.
Proof. Let ε > 0 be given and let G be an open set such that E ⊆ G and
m∗ (G) < m∗ (E) + ε. Without loss of generality assume that intervals in I
are closed. Since I is a Vitali cover of E, we can also assume that I ⊆ G
for every I ∈ I.
For some n ∈ N, consider pairwise disjoint intervals I1 , . . . , In in I. If
m∗ (E \∪ni=1 Ii ) < ε, then we are done. Otherwise, choose In+1 ∈ I as follows:
Let
κn := sup{`(I) : I ∈ I, I ∩ Ij 6= ∅, j = 1, . . . , n}.
Choose In+1 ∈ I such that `(In ) ≥ `(In+1 ) > κn /2. Sine {In } is a disjoint
family of intervals and since their union is contained in G, we have
∞
X
`(In ) = µ∗ (∪∞ ∗
n=1 ) ≤ m (G) < ∞.
n=1
We show that m∗ (E \ ∪N N N
i=1 Ii ) < ε. Let x ∈ E \ ∪i=1 Ii . Since E \ ∪i=1 Ii ⊆
N N
G \ ∪i=1 Ii , there exists Ix ∈ I such that Ix ⊆ G \ ∪i=1 Ii . In particular,
Ix ∩Ij = ∅, j = 1, . . . , N . Also, there exists some n > N such that Ix ∩In 6= ∅.
For, otherwise, κn > `(Ix ) for all n > N which is not possible, since κn → 0
as n → ∞. Note that
Therefore,
Ix ⊆ In + 2`(In )[−1, 1] = Jn , say.
Thus,
∞
E \ ∪N
i=1 Ii ⊆ ∪n=N +1 Jn ,
P∞
where `(Jn ) ≤ 5`(In ), so that m∗ (E \ ∪N
i=1 Ii ) ≤ 5 n=N +1 `(In ) < ε.
148 Integral of Complex Measurable Functions
so that
D− f (x) ≤ D− f (x) ≤ D+ f (x) ≤ D+ f (x) ≤ D− f (x)
which implies that all the four quantities D− f (x), D− f (x), D+ f (x), D+ f (x)
are the same, and hence f is differentiable at x. In other words, f is differ-
entiable on [a, b] \ A ∪ B. Hence, it is enough to show that A and b are sets
of measure zero.
Observe that,
Hence,
[
A= As,t where As,t := {x ∈ [a, b] : D+ f (x) > s > t > D− f (x)}.
s,t∈Q
Also, by the definition of D− f , for each x ∈ As,t , there exists hx > 0 such
that
[x − h, x] ⊆ V and f (x) − f (x − h) < th ∀ h ∈ (0, hx ].
Let
IV := {[x − h, x] : h ∈ (0, hx ], x ∈ As,t }.
We observe that I is a Vitali cover of As,t . Hence, there exist disjoint
intervals I1 , . . . , In in IV such that
m∗ (As,t \ ∪nj=1 Ij ) < ε.
Writing Ij := [xj − hj , xj ], j = 1, . . . , n, we have
n
X n
X
[f (xj ) − f (xj − hj )] ≤ t hj ≤ tm∗ (V ) < t[m∗ (As,t ) + ε].
j=1 j=1
Now, let
G = As,t ∩ (∪nj=1 Ij◦ ).
Then for every y ∈ G, there exists ky > 0 and jy ∈ {1, . . . , n} such that
[y, y + k] ⊆ Ijy and f (y + k) − f (y) > sk ∀k ∈ (0, ky ].
We observe that
IG := {[y, y + k] : k ∈ (0, ky ], y ∈ G}
is a Vitali cover of As,t . Hence, there exist disjoint intervals J1 , . . . , Jm in
IG such that
m∗ (G \ ∪mi=1 Ji ) < ε.
Let Ji = [yi , yi + ki ], i = 1, . . . , m. Then we have
m
X m
X
[f (yi + ki ) − f (yi )] > s ki .
i=1 i=1
Thus,
m
X m
X
s ki < [f (yi + ki ) − f (yi )] < t[m∗ (As,t ) + ε]. (∗)
i=1 i=1
Since m∗ (G \ m
∪i=1 Ji ) < ε, we have
m∗ (G) ≤ m∗ (∪m ∗ m ∗ m
i=1 Ji ) + m (G \ ∪i=1 Ji ) < m (∪i=1 Ji ) + ε.
Hence,
m
X
ki = m∗ (∪m ∗
i=1 Ji ) > m (G) − ε.
i=1
Also, we have
Thus,
m
X
ki = m∗ (∪m ∗ ∗
i=1 Ji ) > m (G) − ε > m (As,t ) − 2ε.
i=1
Applying this on (∗), we obtain
m
X
∗
s[m (As,t ) − 2ε] < s ki < t[m∗ (As,t ) + ε].
i=1
Hence, s[m∗ (As,t )−2ε] < t[m∗ (As,t )+ε] for every ε > 0 so that s m∗ (As,t ) ≤
t m∗ (As,t ). Since t < s, it follows that m∗ (As,t ) = 0.
We have shown that m∗ (A) = 0. Following analogues arguments, we
obtain m∗ (B) = 0. This completes the proof.
For both the theorems above, we did not use any measure theoretic argu-
ments except the fact that if {In } is a countable disjoint family of intervals,
then
X∞
∗ ∞
m (∪n=1 In ) = `(In ).
n=1
In the next theorem we require Fatou’s lemma, though the statement of the
theorem is quite measure-theoretic-free.
Theorem 5.7.4 Let ϕ : [a, b] → R be a monotonically increasing function.
Then ϕ0 exists a.e., f 0 is measurable and
Z b
ϕ0 dm ≤ ϕ(b) − ϕ(a).
a
Appendix 151
• A1 ⊗ A2 ⊇ {A × B : A ∈ A1 , B ∈ A2 }.
152
Product Measure 153
We would also like to have the above results for a complex valued measurable
function f , whenever f is integrable with respect to the product measure.
We shall show the existence of a measure µ1 × µ2 with the required
properties will be guaranteed whenever µ1 and µ2 are σ-finite measures. In
fact, it is known that such a product measure is unique for σ-finite measures
µ1 and µ2 .
To proceed further we consider a few definitions:
Definition 6.1.1 Sets of the form A × B with A ∈ A1 and B ∈ A2 are
called measurable rectangles, and the σ-algebra generated by the family
of all measurable rectangles is called the product σ-algebra. We denote
the product σ-algebra by A1 ⊗ A2 . ♦
Definition 6.1.2 For any set E ⊆ X1 × X2 and (x, y) ∈ X1 × X2 , let
E⊆F ⇒ Ex ⊆ Fx and E y ⊆ F y .
The results in the above lemma prompt us to ask whether for every
E ∈ A1 ⊗ A2 the following are true or not:
Z
3. E 7→ µ2 (Ex )dµ1 is a measure on A1 ⊗ A2 .
X1
Our first attempt in this chapter is to prove that the above results are
true provided µ1 and µ2 are σ-finite. For this, we shall make use of another
easily verifiable proposition.
(E c )x = Exc , (E c )y = (E y )c
and for En ⊆ X1 × X2 , n ∈ N,
[ [ [ y [
En = (En )x , En = (En )y .
x
x 7→ µ2 (Ex ), y 7→ µ1 (E y )
For the proof of the above theorem we shall also make use of a lemma
(Lemma 6.1.9) whose statement requires two more definitions.
Definition 6.1.7 A subset of X1 × X2 is called an elementary set if it is
a disjoint union of a finite number of measurable rectangles. ♦
Now, we state the required lemma; its proof is given at the end of this
subsection.
156 Integration on Product Spaces
x 7→ µ1 (En,x ), y 7→ µ2 (Eny )
Also we have
y
En,x ⊆ En+1,x , Eny ⊆ En+1 ∀n ∈ N
so that
µ2 (En,x ) → µ2 (∪En,x ) = µ2 ((∪En )x ),
x 7→ µ2 ((∪En )x ), y 7→ µ1 ((∪En )y )
Therefore, ∪En ∈ S.
Proof of (ii): Let {En } be a disjoint family in S. Then ∪En = ∪Fn where
Fn = ∪ni=1 Ei , n ∈ N. Since each Fn is a finite disjoint union of members
of S, we have Fn ∈ S for every n ∈ N. Also, Fn ⊆ Fn+1 for every n ∈ N.
Hence, by (i), ∪En = ∪Fn ∈ S.
Proof of (iii): As in (i),
x 7→ µ1 (En,x ), y 7→ µ2 (Eny )
Since A × B ⊇ E1 , we have
imply
µ2 (En,x ) → µ2 (∩En,x ) = µ2 ((∩En )x ),
µ1 (Eny ) → µ1 (∩Eny ) = µ1 ((∩En )y ).
158 Integration on Product Spaces
x 7→ µ2 ((∩En )x ), y 7→ µ1 ((∩En )y )
Z Z
lim µ1 (Eny )dµ2 = µ1 ((∩En )y )dµ2 .
n→∞ X X2
2
Therefore, ∩En ∈ S.
Now, since µ1 and µ2 are σ-finite measures, there exist disjoint families
(n) (n)
{X1 : n ∈ N} and {X2 : n ∈ N} of measurable subsets of X1 and X2 ,
respectively, such that
∞ ∞
(n) (m)
[ [
X1 = X1 , X2 = X2
n=1 m=1
(n) (m)
with µ1 (X1 ) < ∞ and µ2 (X2 ) < ∞ for all n, m ∈ N. For E ∈ A1 ⊗ A2 ,
let
(n) (m)
En,m := E ∩ (X1 × X2 ), n, m ∈ N.
Clearly, E is a disjoint union of {En,m : n, m ∈ N}. Let
A := {E ∈ A1 ⊗ A2 : En,m ∈ S ∀ n, m ∈ N}.
By (i), (ii) (iii), it can be seen (verify) that A is a monotone class containing
all elementary sets. Hence, by Lemma 6.1.9, A = A1 ⊗ A2 . Thus, E ∈ A1 ⊗
A2 implies En,m ∈ S for all n, m ∈ N. Again by (ii) above, E = ∪En,m ∈ S.
That is, for every E ∈ A1 ⊗ A2 , the conclusions of the theorem hold. Thus,
we have proved that S = A1 ⊗ A2 , which completes the prof.
Product Measure 159
Now, the following theorem will lead to the definition of the product
measure.
Then µ is a measure on A1 ⊗ A2 .
Now, using the fact that {En,x : n ∈ N} is a disjoint family in A2 and the
monotone convergence theorem, we have
Z ∞
X ∞ Z
X ∞
X
µ(∪En ) = µ2 (En,x )dµ1 = µ2 (En,x )dµ1 = µ(En ).
X1 n=1 n=1 X1 n=1
Let M
f := {A : Ac
∈ MF }. Then it can be seen that M
f is a monotone class
containing F. Hence, MF ⊆ M. Thus,
f
A ∈ MF ⇒ Ac ∈ MF .
b := {B ∈ MF : A ∪ B ∈ MF }.
A
A ∈ MF ⇒ A∈C
b ⇒ C∈A
b
A ∈ MF ⇒ F ⊆ A.
b
Now, if A, B ∈ E, then
A ∪ B = (A \ B) ∪ B = (A ∩ B c ) ∪ B,
Since
Z Z Z
gn dµ1 = hn dµ2 = fn d(µ1 × µ2 ) ∀ n ∈ N,
X1 X2 X1 ×X2
we have Z Z Z
gdµ1 = hdµ2 = f d(µ1 × µ2 ).
X1 X2 X1 ×X2
This completes the proof.
Fubini’s Theorem 163
(ii) x 7→ X2 f (x, y)dµ2 (y) and y 7→ X1 f (x, y)dµ1 (x) belong to L1 (µ1 )
R R
are equal. Hence, if one of these integrals is finite, all of these integrals are
finite. In particular, results in (i) hold.
To prove (ii) and (iii), first we assume that f ∈ L1 (µ1 ×µ2 ) is real valued.
Note that
Z Z
f + d(µ1 × µ2 ) ≤ |f |d(µ1 × µ2 ) < ∞.
X1 ×X2 X1 ×X2
belong to L1 (µ1 ) and L1 (µ2 ) respectively. Hence, (ii) and (iii) hold with f +
in place of f . Similarly, we have the conclusions in (ii) and (iii) with f − in
place of f . Therefore, we have (ii) and (iii) for f as well.
The case for complex valued f follows by writing f as f = Re(f )+iIm(f )
and applying the results for the real valued functions Re(f ) and Im(f ), and
observing the facts that |Re(f )| ≤ |f |, |Im(f )| ≤ |f |, and the linearity of
taking intgrals.
so that Z Z
µ2 (Dx )dµ1 = µ1 (X1 ) = 1, µ1 (Dy )dµ2 = 0.
X1 X2
Hence, the integrals involved in the definition of product measure are not
equal for the measurable set D.
Also, taking f = χD , the characteristic function of D, we have
Z Z Z Z Z
fx dµ2 dµ1 = χDx dµ2 dµ1 = µ2 (Dx )dµ1 = 1,
X1 X2 X1 X2 X1
Z Z Z Z Z
y
f dµ1 dµ2 = χDy dµ1 dµ2 = µ1 (Dy )dµ2 = 0.
X2 X1 X2 X1 X2
Thus, the iterated integrals in Fubini’s theorem are not equal for f = χD .
Note that µ2 is not σ-finite.
Problems 165
6.4 Problems
1. Prove Lemma 6.1.3.
2. Prove Proposition 6.1.4.
3. Let (X1 , A1 , µ1 ) and (X2 , A2 , µ2 ) be σ-finite measure spaces and let S be
the family of all E ∈ A1 ⊗ A2 such that the functions x 7→ µ2 (Ex ) and
yZ 7→ µ1 (E y ) are measurable
Z with respect to A1 and A2 , respectively, and
µ2 (Ex )dµ1 = µ1 (E y )dµ2 . Show that
X1 X2
(Hint: Observe: Every open set in Rm+n is a countable union of sets of the
form A × B where A and B are rectangles in Rm and Rn , respectively, and
prove: BRm+n contains sets of the form A × Rn and Rm × B where A ∈ BRm
and B ∈ BRn . )
5. Let (X1 , A1 , µ1 ) and (X2 , A2 , µ2 ) be σ-finite measure spaces, and f1 : X1 →
R and f2 : X2 → R are measurable functions. Let
f (x, y) = f1 (x)f2 (y), (x, y) ∈ X1 × X2 .
Prove the following:
166 Integration on Product Spaces
xy
6. Let I = [−1, 1] and f (x, y) = for (x, y) ∈ I × I \ {(0, 0)} and
(x2 + y 2 )2
f (0, 0) = 0. Show that the integrals
Z Z Z Z
f (x, y)dm(x) dm(y), f (x, y)dm(x) dm(y)
I I I I
Z
exist and are equal, but f (x, y)d(m × m)(x, y) does not exist.
I×I
167
Index
168
Index 169
Integral, 87
Riemann integrable, 110, 111
Riemann sum, 5
seminorm, 109
simple function, 67
simple measurable functions, 66
step function, 68
subadditivity, 18
supremum, 59
symmetric difference, 72
tag set, 5
Tonelli’s theorem, 162
topological space, 42
total variation, 141
translation invariance, 17
unbounded intervals, 12
upper sum, 1
Vitali
cover, 146
covering lemma, 147
zero measure, 38