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Real Analysis

Real Analysis

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11/01/2012

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Real Analysis
Richard F. BassFebruary 2, 2010
1
σ
-algebras
Let
be a set. We will use the notation:
A
c
=
{
x
:
x /
A
}
and
A
B
=
A
B
c
. (The notation
A
\
B
is also commonly used.)
Definition 1.1
An 
algebra 
is a collection 
A
of subsets of 
such that (a)
,
A
;(b) if 
A
A
, then 
A
c
A
;(c) if 
A
1
,...,A
n
A
, then 
ni
=1
A
i
and 
ni
=1
A
i
are in 
A
.
A
is
σ
-
algebra 
(or 
σ
-
field
) if in addition (d) if 
A
1
,A
2
,...
are in 
A
, then 
i
=1
A
i
and 
i
=1
A
i
are in 
A
.
In (d) we allow countable unions and intersections only; we do not allowuncountable unions and intersections.
Example 1.2
Let
=
R
and
A
be the collection of all subsets of 
R
.1
 
Example 1.3
Let
=
R
and let
A
=
{
A
R
:
A
is countable or
A
c
is countable
}
.
Parts (a) and (b) of the definition are easy. Suppose
A
1
,A
2
,...
are all in
A
.If each of the
A
i
are countable, then
i
A
i
is countable, and so in
A
. If 
A
ci
0
is countable for some
i
0
, then(
A
i
)
c
=
i
A
ci
A
ci
0
is countable, and again
i
A
i
is in
A
. Since
A
i
= (
i
A
ci
)
c
, then the countableintersection of sets in
A
is again in
A
.
Example 1.4
Let
= [0
,
1] and
A
=
{∅
,X,
[0
,
12
]
,
(
12
,
1]
}
.
Example 1.5
=
{
1
,
2
,
3
}
and 
A
=
{
X,
,
{
1
}
,
{
2
,
3
}}
.
Example 1.6
Let
= [0
,
1], and
B
1
,...,B
8
subsets of 
which are pairwisedisjoint and whose union is all of 
. Let
A
be the collection of all finite unionsof the
B
i
’s as well as the empty set. (So
A
consists of 2
8
elements.)Note that if we take an intersection of 
σ
-algebras, we get a
σ
-algebra; this is just a matter of checking the definition.If we have a collection
C
of subsets of 
, there is at least one
σ
-algebra containing
C
, namely, the one consisting of all subsets of 
. We can take the intersection of all
σ
-algebras that contain
C
; we denote this intersection by
σ
(
C
). If 
A
is any
σ
-algebra containing
C
,then
A
σ
(
C
).If 
has some additional structure, say, it is a metric space, then we cantalk about open sets. If 
G
is the collection of open subsets of 
, then wecall
σ
(
G
) the Borel
σ
-algebra on
, and this is often denoted
B
. We will seelater that when
is the real line, that
B
is
not
equal to the collection of allsubsets of 
.We end this section with the following proposition.2
 
Proposition 1.7
If 
=
R
, then the Borel 
σ
-algebra is generated by each of the following collection of sets:(1)
C
1
=
{
(
a,b
) :
a,b
R
}
.(2)
C
2
=
{
[
a,b
] :
a,b
R
}
;(3)
C
3
=
{
(
a,b
] :
a,b
R
}
;(4)
C
4
=
{
(
a,
) :
a
R
}
;
Proof.
(1) Let
G
be the collection of open sets. Then
C
1
G ⊂
σ
(
G
).
σ
(
G
)is the Borel
σ
-algebra and contains
C
1
. Since
σ
(
C
1
) is the intersection of all
σ
-algebras containing
C
1
, then
σ
(
C
1
)
σ
(
G
).To get the reverse inclusion, if 
G
is open, it is the countable union of openintervals. So
G
σ
(
C
1
), and hence
G ⊂
σ
(
C
1
).
σ
(
G
) is the intersection of all
σ
-algebras containing
G
;
σ
(
C
1
) is one such, so
σ
(
G
)
σ
(
C
1
).(2) If [
a,b
]
∈ C
2
, then [
a,b
] =
n
=1
(
a
1
n
,b
+
1
n
)
σ
(
G
). So
C
2
σ
(
G
),and by an argument similar to that in (1), we conclude
σ
(
C
2
)
σ
(
G
).If (
a,b
)
C
1
, choose
n
0
2
/
(
b
a
) and note (
a,b
) =
n
=
n
0
[
a
+
1
n
,b
1
n
]
σ
(
C
2
). So the Borel
σ
-algebra, which is equal to
σ
(
C
1
) by part (1), is containedin
σ
(
C
2
).(3) The proof here is similar to (2), using (
a,b
] =
n
=1
(
a,b
+
1
n
) and(
a,b
) =
n
=
n
0
(
a,b
1
n
], provided
n
0
is taken large enough.(4) The proof of this comes from (3), using that (
a,b
] = (
a,
)
(
b,
)and (
a,
) =
n
=1
(
a,a
+
n
].
2 Measures
Definition 2.1
A
measure 
on 
(
X,
A
)
is a function 
µ
:
A
[0
,
]
such that (a)
µ
(
A
)
0
for all 
A
A
;(b)
µ
(
) = 0
;
3

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