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Real Analysis J. Yeh

Real Analysis J. Yeh

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We say that a sequence of extended real-valued functions (fn : n € N) converges uniformly
on a set D to a real-valued function / if for every £ > 0 there exists NeN, depending on s
but not on* e D, such that \fn{x) — f(x)\ < s for all* e Dwhenn > N, or equivalently,
for every m € N there exists IVeN such that \fn(x) — f(x)\ < ^ for all x e D when
n>N.

Definition 6.10. Given a measure space (X, 21, p.). Let (/„ : n e N) be a sequence of
extended real-valued %{-measurable functions on a set D
e 21 and let f be a real-valued
%L-measurable function on D. We say that
(/„ : n € N) converges almost uniformly on D
to f if for every r\
> 0 there exists a Wi-measurable subset E of D such that p(E) < r\ and
(fn
: n e N) converges uniformly on D\E to f.

If (/„ : n e N) converges almost uniformly on D to /, then (/„ : n e N) satisfies the
condition in Lemma 6.2 and thus (/„ : n e N) converges to / a.e. oni). Egoroff's Theorem

§6 Convergence a.e. and Convergence in Measure

105

proves that the converse holds provided that /x(D) < oo, that is, convergence a.e. on
D implies almost uniform convergence on D provided that p(D) < oo. We specialize
the necessary and sufficient condition for convergence a.e. in Theorem 6.5 to the case
p(D) < oo in the next Proposition and then derive Egoroff's Theorem from it.

Proposition 6.11. Given a measure space (X, 2t, p). Let (/„ : n e N) be a sequence of
extended real-valued VX-measurable functions on a set D
€ 21 and let f be a real-valued
^-measurable function on D. Suppose

1° (/„:«€ N) converges to f a.e. on D,

ii(D) < oo.

For m e N and n 6 N, let

(1)

Dn(m) =

\J{x€D:\Mx)-f(x)\>±}.

Then we have

(2)

lim p(Dn(m)) =0 for every m e N,

and consequently

(3)

lim p {D : \f„ - f\ > ±} = 0 for every m € N.

Proof. Condition 1° is equivalent to p.(lim sup [D : \fn — /|>^}) = 0 for every m e N

n->oo

by Theorem 6.5, in other words,/x(f|neN Ui>« {& '• \fk~ f\ > ^}) = Ofor every WJ e N.
Thus we have

(4)

p( f~\ Dn(m)\ = 0 for every m e N.

neN

Now Dn(m) c D, Dn(m) e 21, and (Dn(m) : n e N) is a decreasing sequence for
every m e N. Thus PL^N Dn(m) = lim D„(m) for every m € N. Since Dn(m) c £>

"

n-»oo

and At(£>) < oo, we have yU.(n„,M D„(m)) = u( lim D„(m)) = lim p(Dn(m)) by

Theorem 1.26 for every m e N. But according to (4), /"•(DneN Ai(»0) = 0 for every
m e N. Therefore lim p(Dn(m)) = 0 for every m e N. This proves (2). Then since

{D : \fn - /I > jjj-} C Dn(m), (3) follows from (2) by the monotonicity of p.. I

Theorem 6.12. (D. E. Egoroff) Given a measure space (X, 21, p). Let D e 21 and
p(D) <
oo. Let (/„ : n € N) be a sequence of extended real-valued ^.-measurable
functions on D and let f be a real-valued ^-measurable function on D. If(fn
: n e N)
converges to f a.e. on D, then (/„ : n e N) converges to f almost uniformly on D.

106

CHAPTER 1 Measure Spaces

Proof. For m e N and n e N, let

(1)

Dn(m)=\J{xeD:\fk(x)-f(x)\>±}.

k>n

Then by (2) of Proposition 6.11, we have

(2)

lim n(D„(m)) = 0 for every m e N.

Let r\ > 0 be arbitrarily given. By (2), for every m e N there exists A'(m) e N such that

li(DN{m)(m)) < —.

Consider the sequence (DN(m)(m) : m e N) of 2l-measurable subsets of D. Let

E = [J DN{m)(m).

meN

Then £ c D, £ e 21, and

li(E) = M( (J £>/v(m)(w)J < ^ n(DN(m)(m))

= r

l-

meN

meN

meN

Consider D \ E. If x e D \ E, then x g E and thus x e" Du(m)(m) for every meN.
Then by (1), we have |/*(.*) — /(x)| < ^ for A: > N(m) for every meN. This shows that
(/„ : n e N) converges to / uniformly on D \ E. I

Remark 6.13. Theorem 6.12 does not hold without the assumption n(D) < oo.

Example. Consider (R, 9JlL,nL). Let D = [0, oo) with nL(D) = oo. Let fn(x) = \x for
x e D torn e N and let f(x) = 0 for* e D. Then the sequence (/„ : n € N) converges to
/ everywhere on D. To show that (/„ : n e N) does not converge to / almost uniformly on
D, we show that for some r) > 0 there does not exist a 271^-measurable subset E of D with
iU,L (£•) < ?7 such that (/„ : n e N) converges to / uniformly on D \ E. For our example, we
show that actually for any 9JtL-measurable subset E of D with nL (E) < oo, (fn : n € N)
does not converge to / uniformly on D \ E. Let E be a VOlL -measurable subset of D
with /J,L(E) < oo. Let nL(E) < M where M e (0, oo). Let Dk = [(k - 1)M, kM) for
k € N. Then (Dk : k e N) is a disjoint sequence and [JkeN At = D. Since n and nL(Dk) = A/, there exists x* e Dk such that xk $ E for each £ € N. We have
lim Xk = oo. To show that (/„ : n e N) does not converge to / uniformly on the subset

n->oo

{xk : k e N} of D \ E, note that given e > 0 for any N e N, however large, and n > N there
exists teN such that ^xt > £ so that \fn(xk) — /(xi)| = fn(xk) = \*k > £• This shows
that (fn : n € N) does not converge to / uniformly on set {xk : k e N}. Thus (/„ : n e N)
does not converge to / on the set D \ E containing the set {x* : k e N}.

§6 Convergence a.e. and Convergence in Measure

107

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