MEASURE AND INTEGRATION: LECTURE 1

Preliminaries. We need to know how to measure the size or vol-

umeofsubsetsofaspaceX beforewecanintegratefunctionsf : X
R or f : X C.
WerefamiliarwithvolumeinR
n
. Whataboutmoregeneralspaces
X? We need a measure function : {subsets of X} [0, ].
Fortechnicalreasons,ameasurewillnotbedenedonallsubsetsof
X,butinsteadacertaincollectionofsubsetsofX calleda-algebra,a
collectionofsubsetsofX (i.e.,acollectionM P(X)thatisasubset
of the power set of X) satisfying the following:
. (1) X M
c
(2) If A M, then A . X\ A M
(3) If A
i
M (i=1, 2, . . .), then

.
i=1
M
Constrast with a topology P(X), which satises
(1) and X .
n
(2) If U
i
(i=1, . . . , n), then
i=1
U
i
.
(3) If U

( I) is an arbitrary collection in , then

I
U

.
Remarks on -algebras:
(a) By (1), X M, so by (2), M.
c
(b)

A
i
=(

A
i
)
c
countable intersections are in M.
i=1 i=1
(c) A, B M A \ B M (since A \ B =A B
c
).
Let (X,
X
) and (Y,
Y
) be a topological spaces. Then f : X Y is
continuousiff
1
(U)
X
forallU
Y
. Inverseimagesofopensets
are open.
Let(X, M)beameasurespace(i.e.,M isa-algebraforthespace
X). Then f : X Y is measurable if f
1
(U) M for all U
Y
.
Inverse images of open sets are measurable.
Basic properties of measurable functions.
Proposition 0.1. Let X, Y, Z be topological spaces such that
X
f
Y
g
Z.
(1) If f and g are continuous, then g f is continuous.
Proof. (g f)
1
(U)=f
1
(g
1
(U))=f
1
(open)=open.
Date: September 4, 2003.
1

2 MEASURE AND INTEGRATION: LECTURE 1

(2) Iff ismeasurableandg iscontinuous,thengf ismeasurable.
Proof. (g f)
1
(U)=f
1
(g
1
(U))=f
1
(open)=open.
Theorem 0.2. Let u: X R, v: X R, and : R R Y. Set
h(x) = (u(x),v(x)): X Y. If u and v are measurable and is
continuous, then h: X Y is measurable.
Proof. Dene f: X = R
2
by f(x) = u(x) v(x). Then R R
h = f

. We just need to show (NTS) that f is measurable. Let

R R
2
bearectangleoftheformI
1
I
2
whereeachI
i
R(i=1,2)is
anopeninterval. Thenf
1
(R)=u
1
(I
1
)v
1
(I
2
). Letx f
1
(R)so
that f(x) R. Then u(x) I
1
and v(x) I
2
. Since u is measurable,
u
1
(I
1
) M, and since v is measurable, v
1
(I
2
) M. Since M is a
-algebra,u
1
(I
1
)v
1
(I
2
) M. Thusf
1
(R) M foranyrectangle
R. Finally, any open set U =

(rectangle around points with

i=1
R
i
rationalcoordinates). Sof
1
(U)=f
1
(

R
i
)=

f
1
(R
i
). Each
i=1 i=1
termintheunionisinM,sosincecountableunionsofelementsinM
are in M . , f
1
(U) M
Examples.
(a) Let f: X C with f =u+iv and u,v real measurable func-
tions. Then f is complex measurable.
(b) If f = u+iv is complex measurable on X, then u,v, and |f|
are real measurable. Take to be z Rez, z Imz, and
z , respectively. z | |
(c) If f,g are real measurable, then so are f +g and fg. (Also
holds for complex measurable functions.)
(d) If E X is measurable (i.e., E M), then the characteristic
function of E,

E
(x)=
1 if x E;
0 otherwise.
Proposition 0.3. LetF beanycollectionofsubsetsofX. Thenthere
exists a smallest -algebra M

such that F M

. We call M

the
-algebra generated by F.
Proof. Let = the set of all -algebras containing F. The power set
P(X) = the set of all subsets of X is a -algebra, so is not empty.
DeneM

= . SinceF MforallM ,wehaveF M

.
M
M
IfM isa-algebracontainingF,thenM

M bydenition. Claim:

is a -algebra. If A M

, take M . M is a -algebra and M

. Thus,A
c
M,andsoA
c
sinceM

. IfA
i
M

A M M M
3 MEASURE AND INTEGRATION: LECTURE 1
for each i = 1, 2, . . ., then A M, and so
i
A
i
. It follows that M

.
i
A
i
M
Borel Sets. By the previous proposition, if X is a topological space,
thenthereexistsasmallest-algebraB containingtheopensets. Ele-
ments of B are called Borel sets.
If f : (X, B) (Y, ) and f
1
(U) B for all U , then f is
called Borel measurable. In particular, continuous functions are Borel
measurable.
Terminology:
F

(F-sigma) = countable union of closed sets.

G

(G-delta) = countable intersection of open sets.