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Real Analysis J. Yeh

Real Analysis J. Yeh

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Let (/„ : n € N) be a sequence of extended real-valued functions on a subset D of a set
X. For each x e D, (/«(•*) : n e N) is a sequence of extended real numbers. Thus
liminf fn(x) = lim { inf fk{x)} and limsup/„(x) = lim { sup fk(x)} always exist in

n-*oo

n->oo jfc>n

n->oo

n->oo

k>n

R. lim /„(*) exists in R if and only if liminf fn(x) = lim sup fn(x).

«->oo

n^oo

n^oo

We say that (fn(x) : n 6 N) converges if lim /«(x) exists and lim fn{x) e R.

We say that (/„ : n e N) is a monotone sequence if (fn(x) : rc e N) is a monotone
sequence of extended real numbers for every x e D.
The functions min /„, max /„, inf /„, sup/„, liminf/„, limsup/„, and

n=l

N

n=\,...,N

neN

n6pj

«eN

„6|5j

lim /„ are defined pointwise. Thus

min fn)(x)=

min

fn(x),

n=l,... ,/v

n=l,... ,N

_max /„)(x) : max

fn(x),

n=\

A'

inf/„)(*) = inf f„(x),

sup/„)(x) = sup/„(x),

neN

neN

liminf fn)(x) = liminf fn(x),

neN

neN

Hmsup/„)(jc) = lim sup/„(*),

neN

neN

lim fn)(x) = lim fn(x).

Theorem 4.21. Let (X, 21) be a measurable space and let (/„ : n e N) be a monotone
sequence of extended real-valued 'Si-measurable functions on a set D
G 21. Then lim /„

n-»oo

exists on D and is Si-measurable on D.

Proof. If (/„ : n £ N) is a monotone sequence on D, then (fn(x) : n e N) is a monotone
sequence of extended real numbers so that lim fn(x) exists in R for every x e D. Thus

n—>oo

lim /„ exists on D.

n—>oo

Let us show the 2l-measurability of lim /„ on D. If (/„ : n £ N) is an increasing

n—>oo

sequence, then for any aelwe have lim fn(x) > a if and only if fn(x) > a for some

80

CHAPTER 1 Measure Spaces

neN. Thus [D : lim /„ > a} - M„,N \D : fn > a) e 21. This shows that lim /„ is
2l-measurable on D by (ii) of Lemma 4.4. If (fn:ne

N) is a decreasing sequence, then
(—/„ : n e N) is an increasing sequence and thus lim (—/„) is Qt-measurable on D by

n—»oo

our result above. But lim (-/„) = - lim /„. Thus - lim /„ is 2l-measurable on D.

n—>oo

n—>oo

n—»oo

Then lim /„ is 2l-measurable on D by Theorem 4.11. •

n—»oo

In the proof above of the 2l-measurability of the limit function lim /„ of an increasing

n—>-oo

sequence (/,:neN), we applied criterion (ii) of Lemma 4.4 for 2l-measurability. Let us
comment that criterion (iii) of Lemma 4.4 for 2l-measurability is not applicable here. For
an increasing sequence (/„ : n 6 N) and an arbitrary a € R, we have lim fn{x) > a if
and only if fn(x) > a for some n e N. However

lim f„(x) > a $> fn(x) > a for some n e N.

n->oo

Consider for instance a strictly increasing sequence (fn(x) : n e N) such that fn(x) < a
for every n € N and lim fn{x) = a. We have lim fn(x) > a but /„(*) < a for every

n->oo

n->oo

« € N.

Theorem 4.22. Let (X, 21) be a measurable space and let (/„ : n e N) be a sequence of
extended real-valued ^.-measurable functions on a set D
€ 21.
(a) The functions min /„, max /„, inf/„, sup /„, lim inf /„, and lim sup /„

n=l,...,N

n=l,...,N

nefi

nspj

«eN

„ej^

are ^-measurable on D.
(b) Let De = \D : lim /„ £ R}. 77ien £><, € 21 <2/x ^.-measurable on De.

Proof. 1. Let us show the 2l-measurability of min /„ on D. Let a e R and x e D.

n=\,...,N

Then min {/i(x),... , /#(*)} < a

if and only if fn(x) < a for somen = 1,... , N. Thus

N

{D : min /„ < a] = [j {D : fn < a} e 2t

n=\

by (iv) of Lemma 4.4. This proves the 2l-measurability of min /„ on D. Similarly

n=l

N

max{/i(jc),... , fhiix)} > a if and only if f„(x) > a for some n = 1,... , N so that

N

[D: max /„ > a) = (J {D : /„ > a] e 21

by (ii) of Lemma 4.4. This proves the 2l-measurability of max /„ on D.

n=\

N

2. Let us show that inf /„ is 2l-measurable on D. Let a € R and x e D. Now
inf fn(x) is the greatest lower bound of [f„(x) : n e N}. If the greatest lower bound of
{fn(x) : n e N} is less than a then a is not a lower bound of {/«(-«) : n € N} so that
fn(x) < aforsomen e N. Conversely if fn(x) < a for somen e N then since the greatest

§4 Measurable Functions

81

lower bound of {/„ (x) : n N] does not exceed fn(x), it is less than a. Therefore we have
inf fn(x) < a if and only if fn(x) < a for some n e N. Thus we have

{D : inf /„ < a} = \J {D : f„ < a} e 21

weN

by (iv) of Lemma 4.4. This proves the 2l-measurability of inf /„ on D.

3. To prove the Qt-measurability of sup /„ on D, let us note that for sequence of extended

neN

real numbers {/„(*) : n e N] for x e D we have sup/„(x) = — inf ( — fn(x)). Now

nsN

«sN

the 2l-measurability of /„ on D implies that of —/„ by Theorem 4.11. Then inf ( — /„) is

2l-measurable on D by our result above. Then — inf (— fn(x)) is 2l-measurable on D by

Theorem 4.11. This shows that sup /„ is 2l-measurable on D.

nen
4. Recall that lim inf /„ = lim {inf k>n fk \ where (inft>n fa : n e N) is an increasing

n->oo

n->oo '

-

'

\

-

'

sequence. By our result above, inf k>n fk is 2l-measurable on D for every n e N. Then by
Theorem 4.21, lim {inf^>„ fk) is 2l-measurable on D. This proves the 2l-measurability
of lim inf fn on D. The 2l-measurability of lim sup /„ on D is proved likewise.

n

^-°°

n-xx>

5. To prove (b), note that since De = {D : lim inf /„ = lim sup /„} and since lim inf /„

n-»oo

«->

n->oo

and lim sup /„ are two 2l-measurable functions on D, we have De € 21 by (1) of Theorem

4.16. The 2l-measurability of lim inf /„ on D implies its 2l-measurability on De by (a) of

Lemma 4.7. Then since lim /„ = lim inf /„ on De, lim /„ is 2l-measurable on De.

n—»oo

n—>oo

n—>-oo

Theorem 4.23. Let (X, 21) be a measurable space and let (/„ : n € N) &e a sequence of
extended real-valued Ql-measurable functions on a set D
€ 21. Le?

0)

£>, = {£>: lim

fneR),

(2)

Dc = {D : lim /„ e R),

(3)

£>oo = {#: lim /„ = co},

1

«->00

'

(4)

D-oo = \D : lim /„ = -co},

(5)

D„e = \D: lim fn does not exist],

1

n->oo

'

.so fnaf Df and Dne are disjoint and De U Dne = D; Dc, Doo, and D_oo are disjoint and
Dc
U Z)oo U D_oo = D<,. 77ien De, Dc, Doo, D_oo, D„e e 21 and lim /„ is ^-measurable

n—>oo

on eacn of De, Dc, Doo, and D_oo-

Proof. By (b) of Theorem 4.22, De e 21 and lim /*„ is 2l-measurable on De. Then

n^-oo

Dc e 21 and Doo, £>_oo e 21 by (b) and (a) of Corollary 4.5 respectively. By (a) of Lemma

4.7, lim /„ is 2t-measurable on Dc, Doo, and D_oo. Finally Dne = D \ De e 21. I

82

CHAPTER 1 Measure Spaces

Proposition 4.24. Let (X, 21) be a measurable space and let (fn:ne N) be a sequence of
extended real-valued ^-measurable functions on a set D
e 21. Let Dc be the subset of D
on which the sequence converges and let Doo and
D_oo be the subsets of D on which the
limit of the sequence is equal to
oo and —oo respectively. Then

(D

Dc= p| (J f|{D: \fN+p-fN\ <£},

meNWeNpeN

(2)

Doo=n u p)iD:

/W+P ^«}.

meN WeN peN

(3)

D_oo = P| U f| {D : fN+p < -m}.

meH WeN peN

Proof. 1. A sequence of real numbers (an : n e K) converges if and only if it is a Cauchy
sequence, that is, it satisfies the condition that for every £ > 0 there exists N e N such
that \a„ — a'n\ < s for n, n' > N. If a sequence of extended real numbers (a„ : n e N)
converges then an e R for all but finitely many n e N so that there exists N e N such that
an — a'n is defined for n,n' > N. Thus a sequence of extended real numbers converges if
and only if it is a Cauchy sequence, that is, for every s > 0 there exists JVeN such that for
n,n' > N the difference an — a'n is defined and |a„ — a'n\ < s.
Now for each x e D we have a sequence of extended real numbers (fn(x) : n e N) and
(fn(x) : n e N) converges if and only if it is a Cauchy sequence. Thus we have

(fn(x) : n € N) converges

Ve > 0, 3N € N such that |/„(JE) - /^(x)| < e forn, n' > N

<3>Ve > 0, 3N € N such that |/AM-P(.X) - /JvOOl < e for all p e N

<^Vm e N, 3iV e N such that \fN+P(x) - fN(x)\ < ±for all p e N

The expression (1) for Dc follows from this.
(Let us note that the set [x e D : \fN+p(x) — fN(x)\ < ^} in (1) is the subset of D
consisting of all points x e D at which \fN+p(x) — fN(x)\ exists and is less than —. It
may be an empty set. This is the case when f^+P{x) = fnix) = oo for every x e D
so that \fN+p(x) — /N(X)\ does not exist for any x D. However if (f„(x) : n g N)
converges at some x D, then there exists NEM such that f„(x) € R for all n > N and
{x e D : I/AM.,00 - /w(x)| < £} ^ 0 for all p e N.)

2. Now lim fn(x) = oo if and only if for every m e N there exists N e N such that

«-»oo

/«(•*) >; m for every n > N, that is, fN+P(x) > m for every p e N. From this we have

(2). Similarly for (3). I

Notations. For two extended real-valued functions / and g defined on a set D, we write
/ A g = min {/, g) and / v g = max {/, g], that is, (/ A g)(x) = min {f(x), g(x)} and
(/ v g)(x) = max {f(x), g(x)} for x D.

§4 Measurable Functions

83

Definition 4.25. Let f be an extended real-valued function on a set D. The positive part
f+

, the negative part f~, and the absolute |/| of f are nonnegative extended real-valued
functions on D defined for x € D by setting

/+(*) = (/vO)(x) = max{/(x),0},

/"(*) = -(/A 0)(JC) = -min{/(jt),0},

|/|(x) = |/(x)|.

Note that at any x D, at least one of f+

(x) and f~(x) is equal to 0 so that the

difference f+

(x) f~(x) is always defined and moreover

f+

(x) - f~(x) = max{/(x), 0} + min{/(x), 0} = /(*).

We have also

f+

(x) + f~(x) = max{/(x), 0} - min{/(x), 0} = |/(x)| = |/|(x).

Proposition 4.26. Let f be an extended real-valued ^.-measurable function on a set D e 2t
where 21 is a a-algebra of subsets of set X. Then f+

, f~, and |/| are ^.-measurable

functions on D.

Proof. The 2l-measurability of /+

and /~ is from Theorem 4.22. The 2t-measurability of

|/| is from Theorem 4.12. •

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