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Measure Theory - Liskevich

# Measure Theory - Liskevich

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Measure theory notes from V. Liskevich, 1998. Forty pages.
Measure theory notes from V. Liskevich, 1998. Forty pages.

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06/26/2014

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Measure Theory
V. Liskevich1998
1 Introduction
We always denote by
our
universe
, i.e. all the sets we shall consider are subsets of
.Recall some standard notation. 2
X
everywhere denotes the set of all subsets of a givenset
. If
A
B
=
then we often write
A
B
rather than
A
B
, to underline thedisjointness. The complement (in
) of a set
A
is denoted by
A
c
. By
A
B
the
symmetricdiﬀerence
of
A
and
B
is denoted, i.e.
A
B
= (
A
\
B
)
(
B
\
A
). Letters
i, j, k
alwaysdenote positive integers. The sign
is used for restriction of a function (operator etc.) toa subset (subspace).
1.1 The Riemann integral
Recall how to construct the Riemannian integral. Let
: [
a,b
]
R
.
Consider a partition
π
of [
a,b
]:
a
=
x
0
< x
1
< x
2
< ... < x
n
1
< x
n
=
b
and set ∆
x
k
=
x
k
+1
x
k
,
|
π
|
= max
{
x
k
:
k
= 0
,
1
,...,n
1
}
,
m
k
= inf
{
(
x
) :
x
[
x
k
,x
k
+1
]
}
,
k
= sup
{
(
x
) :
x
[
x
k
,x
k
+1
]
}
.
Deﬁne the upper and lower Riemann—Darboux sums
s
(
f,π
) =
n
1
k
=0
m
k
x
k
,
¯
s
(
f,π
) =
n
1
k
=0
k
x
k
.
One can show (the Darboux theorem) that the following limits existlim
|
π
|→
0
s
(
f,π
) = sup
π
s
(
f,π
) =

ba
fdx
lim
|
π
|→
0
¯
s
(
f,π
) = inf
π
¯
s
(
f,π
) =

ba
fdx.
1

Clearly,
s
(
f,π
)

ba
fdx

ba
fdx
¯
s
(
f,π
)for any partition
π
.The function
is said to be Riemann integrable on [
a,b
] if the upper and lower integralsare equal. The common value is called Riemann integral of
on [
a,b
].The functions cannot have a large set of points of discontinuity. More presicely thiswill be stated further.
1.2 The Lebesgue integral
It allows to integrate functions from a much more general class. First, consider a veryuseful example. For
f,g
[
a,b
], two continuous functions on the segment [
a,b
] =
{
x
R
:
a
x
b
}
put
ρ
1
(
f,g
) = max
a
x
b
|
(
x
)
g
(
x
)
|
,ρ
2
(
f,g
) =

ba
|
(
x
)
g
(
x
)
|
d
x.
Then (
[
a,b
]
,ρ
1
) is a complete metric space, when (
[
a,b
]
,ρ
2
) is not. To prove the latterstatement, consider a family of functions
{
ϕ
n
}
n
=1
as drawn on Fig.1. This is a Cauchysequence with respect to
ρ
2
. However, the limit does not belong to
[
a,b
].2

E T
                    L  L  L  L  L  L  L  L  L
12
+
1
n
12
1
n
1212
Figure 1: The function
ϕ
n
.
2 Systems of Sets
Deﬁnition 2.1
A ring of sets
is a non-empty subset in
2
X
which is closed with respect to the operations
and
\
.
Proposition.
Let
be a ring of sets. Then
.
Proof.
Since
=
, there exists
A
. Since
contains the diﬀerence of every twoits elements, one has
A
\
A
=
.
Examples.
1. The two extreme cases are
=
{
}
and
= 2
X
.2. Let
=
R
and denote by
all ﬁnite unions of semi-segments [
a,b
).
Deﬁnition 2.2
A semi-ring
is a collection of sets
P
2
X
with the following properties:1. If
A,B
P
then
A
B
P
;
3