Tutorials in Probability

Abdel k a der BENHARI
Tut or i a l s i n pr oba bi l i t y
Tutorial 1: Dynkin systems 1
1. Dynkin systems
Denition 1 A dynkin system on a set is a subset D of the
power set P(), with the following properties:
(i) D
(ii) A, B D, A B B \ A D
(iii) A
n
D, A
n
A
n+1
, n 1
+
n=1
A
n
D
Denition 2 A -algebra on a set is a subset F of the power
set P() with the following properties:
(i) F
(ii) A F A
c

= \ A F
(iii) A
n
F, n 1
+
n=1
A
n
F
Exercise 1. Let F be a -algebra on . Show that F, that
if A, B F then A B F and also A B F. Recall that
B \ A = B A
c
and conclude that F is also a dynkin system on .
Exercise 2. Let (D
i
)
iI
be an arbitrary family of dynkin systems
on , with I = . Show that D

=
iI
D
i
is also a dynkin system on
.
Exercise 3. Let (F
i
)
iI
be an arbitrary family of -algebras on ,
with I = . Show that F

=
iI
F
i
is also a -algebra on .
Exercise 4. Let A be a subset of the power set P(). Dene:
D(A)

= {D dynkin system on : A D}
Show that P() is a dynkin system on , and that D(A) is not empty.
Dene:
D(A)

=
DD(A)
D
Show that D(A) is a dynkin system on such that A D(A), and
that it is the smallest dynkin system on with such property, (i.e. if
D is a dynkin system on with A D, then D(A) D).
Denition 3 Let A P(). We call dynkin system generated
by A, the dynkin system on , denoted D(A), equal to the intersection
of all dynkin systems on , which contain A.
Exercise 5. Do exactly as before, but replacing dynkin systems by
-algebras.
Denition 4 Let A P(). We call -algebra generated by
A, the -algebra on , denoted (A), equal to the intersection of all
-algebras on , which contain A.
Denition 5 A subset A of the power set P() is called a -system
on , if and only if it is closed under nite intersection, i.e. if it has
the property:
A, B A A B A
Exercise 6. Let A be a -system on . For all A D(A), we dene:
(A)

= {B D(A) : A B D(A)}
1. If A A, show that A (A)
2. Show that for all A D(A), (A) is a dynkin system on .
3. Show that if A A, then D(A) (A).
4. Show that if B D(A), then A (B).
5. Show that for all B D(A), D(A) (B).
6. Conclude that D(A) is also a -system on .
Exercise 7. Let D be a dynkin system on which is also a -system.
1. Show that if A, B D then A B D.
2. Let A
n
D, n 1. Consider B
n
=
n
i=1
A
i
. Show that
+
n=1
A
n
=
+
n=1
B
n
.
3. Show that D is a -algebra on .
Exercise 8. Let A be a -system on . Explain why D(A) is a
-algebra on , and (A) is a dynkin system on . Conclude that
D(A) = (A). Prove the theorem:
Theorem 1 (dynkin system) Let C be a collection of subsets of
which is closed under pairwise intersection. If D is a dynkin system
containing C then D also contains the -algebra (C) generated by C.
Tutorial 2: Caratheodorys Extension 1
2. Caratheodorys Extension
In the following, is a set. Whenever a union of sets is denoted as
opposed to , it indicates that the sets involved are pairwise disjoint.
Denition 6 A semi-ring on is a subset S of the power set P()
with the following properties:
(i) S
(ii) A, B S A B S
(iii) A, B S n 0, A
i
S : A \ B =
n
i=1
A
i
The last property (iii) says that whenever A, B S, there is n 0
and A
1
, . . . , A
n
in S which are pairwise disjoint, such that A \ B =
A
1
. . . A
n
. If n = 0, it is understood that the corresponding union
is equal to , (in which case A B).
Denition 7 A ring on is a subset R of the power set P() with
the following properties:
(i) R
(ii) A, B R A B R
(iii) A, B R A \ B R
Exercise 1. Show that A B = A \ (A \ B) and therefore that a
ring is closed under pairwise intersection.
Exercise 2.Show that a ring on is also a semi-ring on .
Exercise 3.Suppose that a set can be decomposed as = A
1

A
2
A
3
where A
1
, A
2
and A
3
are distinct from and . Dene
S
1
= {, A
1
, A
2
, A
3
, } and S
2
= {, A
1
, A
2
A
3
, }. Show that S
1
and S
2
are semi-rings on , but that S
1
S
2
fails to be a semi-ring
on .
Exercise 4. Let (R
i
)
iI
be an arbitrary family of rings on , with
I = . Show that R

=
iI
R
i
is also a ring on .
Exercise 5. Let A be a subset of the power set P(). Dene:
R(A)

= {R ring on : A R}
Show that P() is a ring on , and that R(A) is not empty. Dene:
R(A)

=

RR(A)
R
Show that R(A) is a ring on such that A R(A), and that it is
the smallest ring on with such property, (i.e. if R is a ring on
and A R then R(A) R).
Denition 8 Let A P(). We call ring generated by A, the
ring on , denoted R(A), equal to the intersection of all rings on ,
which contain A.
Exercise 6.Let S be a semi-ring on . Dene the set R of all nite
unions of pairwise disjoint elements of S, i.e.
R

= {A : A =
n
i=1
A
i
for some n 0, A
i
S}
(where if n = 0, the corresponding union is empty, i.e. R). Let
A =
n
i=1
A
i
and B =
p
j=1
B
j
R:
1. Show that A B =
i,j
(A
i
B
j
) and that R is closed under
pairwise intersection.
2. Show that if p 1 then A \ B =
p
j=1
(
n
i=1
(A
i
\ B
j
)).
3. Show that R is closed under pairwise dierence.
4. Show that A B = (A \ B) B and conclude that R is a ring
on .
5. Show that R(S) = R.
Exercise 7. Everything being as before, dene:
R

= {A : A =
n
i=1
A
i
for some n 0, A
i
S}
(We do not require the sets involved in the union to be pairwise dis-
joint). Using the fact that R is closed under nite union, show that
R
R, and conclude that R
= R = R(S).
Denition 9 Let A P() with A. We call measure on A,
any map : A [0, +] with the following properties:
(i) () = 0
(ii) A A, A
n
A and A =
+
n=1
A
n
(A) =
+
n=1
(A
n
)
The indicates that we assume the A
n
s to be pairwise disjoint in
the l.h.s. of (ii). It is customary to say in view of condition (ii) that
a measure is countably additive.
Exercise 8.If A is a -algebra on explain why property (ii) can
be replaced by:
(ii)
A
n
A and A =
+
n=1
A
n
(A) =
+
n=1
(A
n
)
Exercise 9. Let A P() with A and : A [0, +] be a
measure on A.
1. Show that if A
1
, . . . , A
n
A are pairwise disjoint and the union
A =
n
i=1
A
i
lies in A, then (A) = (A
1
) +. . . +(A
n
).
2. Show that if A, B A, A B and B\A A then (A) (B).
Exercise 10. Let S be a semi-ring on , and : S [0, +] be a
measure on S. Suppose that there exists an extension of on R(S),
i.e. a measure : R(S) [0, +] such that
|S
= .
1. Let A be an element of R(S) with representation A =
n
i=1
A
i
as a nite union of pairwise disjoint elements of S. Show that
(A) =
n
i=1
(A
i
)
2. Show that if
: R(S) [0, +] is another measure with

|S
= , i.e. another extension of on R(S), then
= .
Exercise 11. Let S be a semi-ring on and : S [0, +] be a
measure. Let A be an element of R(S) with two representations:
A =
n
i=1
A
i
=
p
j=1
B
j
as a nite union of pairwise disjoint elements of S.
1. For i = 1, . . . , n, show that (A
i
) =
p
j=1
(A
i
B
j
)
2. Show that
n
i=1
(A
i
) =
p
j=1
(B
j
)
3. Explain why we can dene a map : R(S) [0, +] as:
(A)

=
n
i=1
(A
i
)
4. Show that () = 0.
Exercise 12. Everything being as before, suppose that (A
n
)
n1
is
a sequence of pairwise disjoint elements of R(S), each A
n
having the
representation:
A
n
=
p
n
k=1
A
k
n
, n 1
as a nite union of disjoint elements of S. Suppose moreover that
A =
+
n=1
A
n
is an element of R(S) with representation A =
p
j=1
B
j
,
as a nite union of pairwise disjoint elements of S.
1. Show that for j = 1, . . . , p, B
j
=
+
n=1

p
n
k=1
(A
k
n
B
j
) and
explain why B
j
is of the form B
j
=
+
m=1
C
m
for some sequence
(C
m
)
m1
of pairwise disjoint elements of S.
2. Show that (B
j
) =
+
n=1
p
n
k=1
(A
k
n
B
j
)
3. Show that for n 1 and k = 1, . . . , p
n
, A
k
n
=
p
j=1
(A
k
n
B
j
)
4. Show that (A
k
n
) =
p
j=1
(A
k
n
B
j
)
5. Recall the denition of of exercise (11) and show that it is a
measure on R(S).
Exercise 13.Prove the following theorem:
Theorem 2 Let S be a semi-ring on . Let : S [0, +] be a
measure on S. There exists a unique measure : R(S) [0, +]
such that
|S
= .
Denition 10 We dene an outer-measure on as being any
map
: P() [0, +] with the following properties:

(i)
() = 0
(ii) A B
(A)
(B)
(iii)
_
+
_
n=1
A
n
_
n=1
(A
n
)
Exercise 14. Show that
(A B)
(A) +
(B), where
is
an outer-measure on and A, B .
Denition 11 Let
be an outer-measure on . We dene:
(
)

= {A :
(T) =
(T A) +
(T A
c
) , T }
We call (
) the -algebra associated with the outer-measure
.
Note that the fact that (
) is indeed a -algebra on , remains to

be proved. This will be your task in the following exercises.
Exercise 15. Let
be an outer-measure on . Let = (
) be
the -algebra associated with
. Let A, B and T
1. Show that and A
c
.
2. Show that
(T A) =
(T A B) +
(T A B
c
)
3. Show that T A
c
= T (A B)
c
A
c
4. Show that T A B
c
= T (A B)
c
A
5. Show that
(T A
c
) +
(T A B
c
) =
(T (A B)
c
)
6. Adding
(T(AB)) on both sides 5., conclude that AB .

7. Show that A B and A \ B belong to .
Exercise 16. Everything being as before, let A
n
, n 1. Dene
B
1
= A
1
and B
n+1
= A
n+1
\ (A
1
. . . A
n
). Show that the B
n
s are
pairwise disjoint elements of and that
+
n=1
A
n
=
+
n=1
B
n
.
Exercise 17. Everything being as before, show that if B, C and
B C = , then
(T (B C)) =
(T B) +
(T C) for any
T .
Exercise 18.Everything being as before, let (B
n
)
n1
be a sequence
of pairwise disjoint elements of , and let B

=
+
n=1
B
n
. Let N 1.
1. Explain why
N
n=1
B
n

2. Show that
(T (
N
n=1
B
n
)) =
N
n=1
(T B
n
)
3. Show that
(T B
c
)
(T (
N
n=1
B
n
)
c
)
4. Show that
(T B
c
) +
+
n=1
(T B
n
)
(T), and:
5.
(T)
(T B
c
)+
(T B)
(T B
c
)+
+
n=1
(T B
n
)
6. Show that B and
(B) =
+
n=1
(B
n
).
7. Show that is a -algebra on , and
|
is a measure on .
Theorem 3 Let
: P() [0, +] be an outer-measure on .

Then (
), the so-called -algebra associated with
, is indeed a
-algebra on and
|(
)
, is a measure on (
).
Exercise 19. Let R be a ring on and : R [0, +] be a
measure on R. For all T , dene:
(T)

= inf
_
+
n=1
(A
n
) , (A
n
) is an R-cover of T
_
where an R-cover of T is dened as any sequence (A
n
)
n1
of elements
of R such that T
+
n=1
A
n
. By convention inf

= +.
1. Show that
() = 0.
2. Show that if A B then
(A)
(B).
3. Let (A
n
)
n1
be a sequence of subsets of , with
(A
n
) < +
for all n 1. Given > 0, show that for all n 1, there exists
an R-cover (A
p
n
)
p1
of A
n
such that:
+
p=1
(A
p
n
) <
(A
n
) +/2
n
Why is it important to assume
(A
n
) < +.
4. Show that there exists an R-cover (R
k
) of
+
n=1
A
n
such that:
+
k=1
(R
k
) =
+
n=1
+
p=1
(A
p
n
)
5. Show that
(
+
n=1
A
n
) +
+
n=1
(A
n
)
6. Show that
is an outer-measure on .
Exercise 20. Everything being as before, Let A R. Let (A
n
)
n1
be an R-cover of A and put B
1
= A
1
A, and:
B
n+1
= (A
n+1
A) \ ((A
1
A) . . . (A
n
A))
1. Show that
(A) (A).
2. Show that (B
n
)
n1
is a sequence of pairwise disjoint elements
of R such that A =
+
n=1
B
n
.
3. Show that (A)
(A) and conclude that
|R
= .
Exercise 21. Everything being as before, Let A R and T .
1. Show that
(T)
(T A) +
(T A
c
).
2. Let (T
n
) be an R-cover of T. Show that (T
n
A) and (T
n
A
c
)
are R-covers of T A and T A
c
respectively.
3. Show that
(T A) +
(T A
c
)
(T).
4. Show that R (
).
5. Conclude that (R) (
).
Theorem 4 (caratheodorys extension) Let R be a ring on
and : R [0, +] be a measure on R. There exists a measure
: (R) [0, +] such that
|R
= .
Exercise 23. Let S be a semi-ring on . Show that (R(S)) = (S).
Theorem 5 Let S be a semi-ring on and : S [0, +] be a
measure on S. There exists a measure
: (S) [0, +] such that
|S
= .
Tutorial 3: Stieltjes-Lebesgue Measure 1
3. Stieltjes-Lebesgue Measure
Denition 12 Let A P() and : A [0, +] be a map. We
say that is nitely additive if and only if, given n 1:
A A, A
i
A, A =
n
i=1
A
i
(A) =
n
i=1
(A
i
)
We say that is nitely sub-additive if and only if, given n 1 :
A A, A
i
A, A
n
i=1
A
i
(A)
n
i=1
(A
i
)
Exercise 1. Let S

= {]a, b] , a, b R} be the set of all intervals
]a, b], dened as ]a, b] = {x R, a < x b}.
1. Show that ]a, b]]c, d] =]a c, b d]
2. Show that ]a, b]\]c, d] =]a, b c]]a d, b]
3. Show that c d b c a d.
4. Show that S is a semi-ring on R.
Exercise 2. Suppose S is a semi-ring in and : S [0, +] is
nitely additive. Show that can be extended to a nitely additive
map : R(S) [0, +], with
|S
= .
Exercise 3. Everything being as before, Let A R(S), A
i
R(S),
A
n
i=1
A
i
where n 1. Dene B
1
= A
1
A and for i = 1, . . . , n1:
B
i+1
= (A
i+1
A) \ ((A
1
A) . . . (A
i
A))
1. Show that B
1
, . . . , B
n
are pairwise disjoint elements of R(S)
such that A =
n
i=1
B
i
.
2. Show that for all i = 1, . . . , n, we have (B
i
) (A
i
).
3. Show that is nitely sub-additive.
4. Show that is nitely sub-additive.
Exercise 4. Let F : R R be a right-continuous, non-decreasing
map. Let S be the semi-ring on R, S = {]a, b] , a, b R}. Dene the
map : S [0, +] by () = 0, and:
a b , (]a, b])

= F(b) F(a) (1)
Let a < b and a
i
< b
i
for i = 1, . . . , n and n 1, with :
]a, b] =
n
i=1
]a
i
, b
i
]
1. Show that there is i
1
{1, . . . , n} such that a
i
1
= a.
2. Show that ]b
i
1
, b] =
i{1,...,n}\{i
1
}
]a
i
, b
i
]
3. Show the existence of a permutation (i
1
, . . . , i
n
) of {1, . . . , n}
such that a = a
i
1
< b
i
1
= a
i
2
< . . . < b
i
n
= b.
4. Show that is nitely additive and nitely sub-additive.
Exercise 5. being dened as before, suppose a < b and a
n
< b
n
for n 1 with:
]a, b] =
+
n=1
]a
n
, b
n
]
Given N 1, let (i
1
, . . . , i
N
) be a permutation of {1, . . . , N} with:
a a
i
1
< b
i
1
a
i
2
< . . . < b
i
N
b
1. Show that
N
k=1
F(b
i
k
) F(a
i
k
) F(b) F(a).
2. Show that
+
n=1
(]a
n
, b
n
]) (]a, b])
3. Given > 0, show that there is ]0, b a[ such that:
0 F(a + ) F(a)
4. For n 1, show that there is
n
> 0 such that:
0 F(b
n
+
n
) F(b
n
)

2
n
5. Show that [a + , b]
+
n=1
]a
n
, b
n
+
n
[.
6. Explain why there exist p 1 and integers n
1
, . . . , n
p
such that:
]a + , b]
p
k=1
]a
n
k
, b
n
k
+
n
k
]
7. Show that F(b) F(a) 2 +
+
n=1
F(b
n
) F(a
n
)
8. Show that : S [0, +] is a measure.
Denition 13 A topology on is a subset T of the power set
P(), with the following properties:
(i) , T
(ii) A, B T A B T
(iii) A
i
T , i I
iI
A
i
T
Property (iii) of denition (13) can be translated as: for any family
(A
i
)
iI
of elements of T , the union
iI
A
i
is still an element of T .
Hence, a topology on , is a set of subsets of containing and
the empty set, which is closed under nite intersection and arbitrary
union.
Denition 14 A topological space is an ordered pair (, T ), where
is a set and T is a topology on .
Denition 15 Let (, T ) be a topological space. We say that A
is an open set in , if and only if it is an element of the topology T .
We say that A is a closed set in , if and only if its complement
A
c
is an open set in .
Denition 16 Let (, T ) be a topological space. We dene the
borel -algebra on , denoted B(), as the -algebra on , gener-
ated by the topology T . In other words, B() = (T )
Denition 17 We dene the usual topology on R, denoted T
R
,
as the set of all U R such that:
x U , > 0 , ]x , x + [ U
Exercise 6.Show that T
R
is indeed a topology on R.
Exercise 7. Consider the semi-ring S

= {]a, b] , a, b R}. Let T
R
be the usual topology on R, and B(R) be the borel -algebra on R.
1. Let a b. Show that ]a, b] =
+
n=1
]a, b + 1/n[.
2. Show that (S) B(R).
3. Let U be an open subset of R. Show that for all x U, there
exist a
x
, b
x
Q such that x ]a
x
, b
x
] U.
4. Show that U =
xU
]a
x
, b
x
].
5. Show that the set I

= {]a
x
, b
x
] , x U} is countable.
6. Show that U can be written U =
iI
A
i
with A
i
S.
7. Show that (S) = B(R).
Theorem 6 Let S be the semi-ring S = {]a, b] , a, b R}. Then,
the borel -algebra B(R) on R, is generated by S, i.e. B(R) = (S).
Denition 18 A measurable space is an ordered pair (, F) where
is a set and F is a -algebra on .
Denition 19 A measure space is a triple (, F, ) where (, F)
is a measurable space and : F [0, +] is a measure on F.
Exercise 8.Let (, F, ) be a measure space. Let (A
n
)
n1
be a
sequence of elements of F such that A
n
A
n+1
for all n 1, and let
A =
+
n=1
A
n
(we write A
n
A). Dene B
1
= A
1
and for all n 1,
B
n+1
= A
n+1
\ A
n
.
1. Show that (B
n
) is a sequence of pairwise disjoint elements of F
such that A =
+
n=1
B
n
.
2. Given N 1 show that A
N
=
N
n=1
B
n
.
3. Show that (A
N
) (A) as N +
4. Show that (A
n
) (A
n+1
) for all n 1.
Theorem 7 Let (, F, ) be a measure space. Then if (A
n
)
n1
is a
sequence of elements of F, such that A
n
A, we have (A
n
) (A)
1
.
1
i.e. the sequence ((A
n
))
n1
is non-decreasing and converges to (A).
Exercise 9.Let (, F, ) be a measure space. Let (A
n
)
n1
be a
sequence of elements of F such that A
n+1
A
n
for all n 1, and let
A =
+
n=1
A
n
(we write A
n
A). We assume that (A
1
) < +.
1. Dene B
n
= A
1
\ A
n
and show that B
n
F, B
n
A
1
\ A.
2. Show that (B
n
) (A
1
\ A)
3. Show that (A
n
) = (A
1
) (A
1
\ A
n
)
4. Show that (A) = (A
1
) (A
1
\ A)
5. Why is (A
1
) < + important in deriving those equalities.
6. Show that (A
n
) (A) as n +
7. Show that (A
n+1
) (A
n
) for all n 1.
Theorem 8 Let (, F, ) be a measure space. Then if (A
n
)
n1
is
a sequence of elements of F, such that A
n
A and (A
1
) < +, we
have (A
n
) (A).
Exercise 10.Take = R and F = B(R). Suppose is a measure
on B(R) such that (]a, b]) = b a, for a < b. Take A
n
=]n, +[.
1. Show that A
n
.
2. Show that (A
n
) = +, for all n 1.
3. Conclude that (A
n
) () fails to be true.
map. Show the existence of a measure : B(R) [0, +] such that:
a, b R , a b , (]a, b]) = F(b) F(a) (2)
Exercise 12.Let
1
,
2
be two measures on B(R) with property (2).
For n 1, we dene:
D
n
= {B B(R) ,
1
(B] n, n]) =
2
(B] n, n])}
1. Show that D
n
is a dynkin system on R.
2. Explain why
1
(] n, n]) < + and
2
(] n, n]) < + is
needed when proving 1.
3. Show that S

= {]a, b] , a, b R} D
n
.
4. Show that B(R) D
n
.
5. Show that
1
=
2
.
6. Prove the following theorem.
Theorem 9 Let F : R R be a right-continuous, non-decreasing
map. There exists a unique measure : B(R) [0, +] such that:
a, b R , a b , (]a, b]) = F(b) F(a)
Denition 20 Let F : R R be a right-continuous, non-decreasing
map. We call stieltjes measure on R associated with F, the unique
measure on B(R), denoted dF, such that:
a, b R , a b , dF(]a, b]) = F(b) F(a)
Denition 21 We call lebesgue measure on R, the unique mea-
sure on B(R), denoted dx, such that:
a, b R , a b , dx(]a, b]) = b a
map. Let x
0
R.
1. Show that the limit F(x
0
) = lim
x<x
0
,xx
0
F(x) exists and is
an element of R.
2. Show that {x
0
} =
+
n=1
]x
0
1/n, x
0
].
3. Show that {x
0
} B(R)
4. Show that dF({x
0
}) = F(x
0
) F(x
0
)
Exercise 14.Let F : R R be a right-continuous, non-decreasing
map. Let a b.
1. Show that ]a, b] B(R) and dF(]a, b]) = F(b) F(a)
2. Show that [a, b] B(R) and dF([a, b]) = F(b) F(a)
3. Show that ]a, b[ B(R) and dF(]a, b[) = F(b) F(a)
4. Show that [a, b[ B(R) and dF([a, b[) = F(b) F(a)
Exercise 15. Let A be a subset of the power set P(). Let
.
Dene:
A
|
= {A
, A A}
1. Show that if A is a topology on , A
|
is a topology on .
2. Show that if A is a -algebra on , A
|
is a -algebra on .
Denition 22 Let be a set, and
. Let A be a subset of
the power set P(). We call trace of A on , the subset A
|
of the
power set P(
) dened by:
A
|
= {A
, A A}
Denition 23 Let (, T ) be a topological space and
. We call
induced topology on , denoted T
|
, the topology on dened
by:
T
|
= {A
, A T }
In other words, the induced topology T
|
is the trace of T on .
Exercise 16.Let A be a subset of the power set P(). Let
,
and A
|
be the trace of A on . Dene:

= {A (A) , A
(A
|
)}
where (A
|
) refers to the -algebra generated by A
|
on .
1. Explain why the notation (A
|
) by itself is ambiguous.
2. Show that A .
3. Show that is a -algebra on .
4. Show that (A
|
) = (A)
|
Theorem 10 Let
and A be a subset of the power set P().

Then, the trace on of the -algebra (A) generated by A, is equal
to the -algebra on generated by the trace of A on . In other
words, (A)
|
= (A
|
).
Exercise 17.Let (, T ) be a topological space and
with its
induced topology T
|
.
1. Show that B()
|
= B(
).
2. Show that if
B() then B(
) B().
3. Show that B(R
+
) = {A R
+
, A B(R)}.
4. Show that B(R
+
) B(R).
Exercise 18.Let (, F, ) be a measure space and

1. Show that (
, F
|
) is a measurable space.
2. If
F, show that F
|
F.
3. If
F, show that (
, F
|
,
|
) is a measure space, where
|
is dened as
|
=
|(F
|
)
.
Exercise 19. Let F : R
+
R be a right-continuous, non-decreasing
map with F(0) 0. Dene:
F(x)

=
0 if x < 0
F(x) if x 0
1. Show that

F : R R is right-continuous and non-decreasing.
2. Show that : B(R
+
) [0, +] dened by = d

F
|B(R
+
)
, is a
measure on B(R
+
) with the properties:
(i) ({0}) = F(0)
(ii) 0 a b , (]a, b]) = F(b) F(a)
Exercise 20. Dene: C = {{0}} {]a, b] , 0 a b}
1. Show that C B(R
+
)
2. Let U be open in R
+
. Show that U is of the form:
U =
iI
(R
+
]a
i
, b
i
])
where I is a countable set and a
i
, b
i
R with a
i
b
i
.
3. For all i I, show that R
+
]a
i
, b
i
] (C).
4. Show that (C) = B(R
+
)
Exercise 21.Let
1
and
2
be two measures on B(R
+
) with:
(i)
1
({0}) =
2
({0}) = F(0)
(ii)
1
(]a, b]) =
2
(]a, b]) = F(b) F(a)
for all 0 a b. For n 1, we dene:
D
n
= {B B(R
+
) ,
1
(B [0, n]) =
2
(B [0, n])}
1. Show that D
n
is a dynkin system on R
+
with C D
n
, where
the set C is dened as in exercise (20).
2. Explain why
1
([0, n]) < + and
2
([0, n]) < + is important
when proving 1.
3. Show that
1
=
2
.
Theorem 11 Let F : R
+
map with F(0) 0. There exists a unique : B(R
+
) [0, +]
measure on B(R
+
) such that:
(i) ({0}) = F(0)
(ii) 0 a b , (]a, b]) = F(b) F(a)
Denition 24 Let F : R
+
map with F(0) 0. We call stieltjes measure on R
+
associated
with F, the unique measure on B(R
+
), denoted dF, such that:
(i) dF({0}) = F(0)
(ii) 0 a b , dF(]a, b]) = F(b) F(a)
Tutorial 4: Measurability 1
4. Measurability
Denition 25 Let A and B be two sets, and f : A B be a map.
Given A
A, we call direct image of A
by f the set denoted f(A
),
and dened by f(A
) = {f(x) : x A
}.
Denition 26 Let A and B be two sets, and f : A B be a map.
Given B
B, we call inverse image of B
by f the set denoted

f
1
(B
), and dened by f
1
(B
) = {x : x A , f(x) B
}.
Exercise 1. Let A and B be two sets, and f : A B be a bijection
from A to B. Let A
A and B
B.
1. Explain why the notation f
1
(B
) is potentially ambiguous.
2. Show that the inverse image of B
by f is in fact equal to the

direct image of B
by f
1
.
3. Show that the direct image of A
by f is in fact equal to the

inverse image of A
by f
1
.
Denition 27 Let (, T ) and (S, T
S
) be two topological spaces. A
map f : S is said to be continuous if and only if:
B T
S
, f
1
(B) T
In other words, if and only if the inverse image of any open set in S
is an open set in .
We Write f : (, T ) (S, T
S
) is continuous, as a way of emphasizing
the two topologies T and T
S
with respect to which f is continuous.
Denition 28 Let E be a set. A map d : E E [0, +[ is said
to be a metric on E, if and only if:
(i) x, y E , d(x, y) = 0 x = y
(ii) x, y E , d(x, y) = d(y, x)
(iii) x, y, z E , d(x, y) d(x, z) + d(z, y)
Denition 29 A metric space is an ordered pair (E, d) where E
is a set, and d is a metric on E.
Denition 30 Let (E, d) be a metric space. For all x E and
> 0, we dene the so-called open ball in E:
B(x, )

= {y : y E , d(x, y) < }
We call metric topology on E, associated with d, the topology T
d
E
dened by:
T
d
E
= {U E , x U, > 0, B(x, ) U}
Exercise 2. Let T
d
E
be the metric topology associated with d, where
(E, d) is a metric space.
1. Show that T
d
E
is indeed a topology on E.
2. Given x E and > 0, show that B(x, ) is an open set in E.
Exercise 3. Show that the usual topology on R is nothing but the
metric topology associated with d(x, y) = |x y|.
Exercise 4. Let (E, d) and (F, ) be two metric spaces. Show that
a map f : E F is continuous, if and only if for all x E and > 0,
there exists > 0 such that for all y E:
d(x, y) < (f(x), f(y)) <
Denition 31 Let (, T ) and (S, T
S
) be two topological spaces. A
map f : S is said to be a homeomorphism, if and only if f is
a continuous bijection, such that f
1
is also continuous.
Denition 32 A topological space (, T ) is said to be metrizable,
if and only if there exists a metric d on , such that the associated
metric topology coincides with T , i.e. T
d
= T .
Denition 33 Let (E, d) be a metric space and F E. We call
induced metric on F, denoted d
|F
, the restriction of the metric d
to F F, i.e. d
|F
= d
|FF
.
Exercise 5.Let (E, d) be a metric space and F E. We dene
T
F
= (T
d
E
)
|F
as the topology on F induced by the metric topology on
E. Let T
F
= T
d
|F
F
be the metric topology on F associated with the
induced metric d
|F
on F.
1. Show that T
F
T
F
.
2. Given A T
F
, show that A = (
xA
B(x,
x
)) F for some
x
> 0, x A, where B(x,
x
) denotes the open ball in E.
3. Show that T
F
T
F
.
Theorem 12 Let (E, d) be a metric space and F E. Then, the
topology on F induced by the metric topology, is equal to the metric
topology on F associated with the induced metric, i.e. (T
d
E
)
|F
= T
d
|F
F
.
Exercise 6. Let : R ] 1, 1[ be the map dened by:
x R , (x)

=
x
|x| + 1
1. Show that [1, 0[ is not open in R.
2. Show that [1, 0[ is open in [1, 1].
3. Show that is a homeomorphism between R and ] 1, 1[.
4. Show that lim
x+
(x) = 1 and lim
x
(x) = 1.
Exercise 7. Let

R = [, +] = R{, +}. Let be dened
as in exercise (6), and

:

R [1, 1] be the map dened by:
(x) =
(x) if x R
1 if x = +
1 if x =
Dene:
T
= {U

R ,

(U) is open in [1, 1]}
1. Show that

is a bijection from

R to [1, 1], and let

=

1
.
2. Show that T
R
is a topology on

R.
3. Show that

is a homeomorphism between

R and [1, 1].
4. Show that [, 2[, ]3, +], ]3, +[ are open in

R.
5. Show that if
:

R [1, 1] is an arbitrary homeomorphism,
then U

R is open, if and only if
(U) is open in [1, 1].

Denition 34 The usual topology on

R is dened as:
T
= {U

R ,

(U) is open in [1, 1]}
where

:

R [1, 1] is dened by

() = 1,

(+) = 1 and:
x R ,

(x)

=
x
|x| + 1
Exercise 8. Let and

be as in exercise (7). Dene:
T

= (T
R
)
|R
= {U R , U T
R
}
1. Recall why T
is a topology on R.
2. Show that for all U

R, (U R) =

(U)] 1, 1[.
3. Explain why if U T
R
, (U R) is open in ] 1, 1[.
4. Show that T
T
R
, (the usual topology on R).
5. Let U T
R
. Show that

(U) is open in ] 1, 1[ and [1, 1].
6. Show that T
R
T
R
7. Show that T
R
= T
, i.e. that the usual topology on

R induces
the usual topology on R.
8. Show that B(R) = B(
R)
|R
= {B R , B B(
R)}
Exercise 9.Let d :

R

R [0, +[ be dened by:
(x, y)

R

R , d(x, y) = |(x) (y)|
where is an arbitrary homeomorphism from

R to [1, 1].
1. Show that d is a metric on

R.
2. Show that if U T
R
, then (U) is open in [1, 1]
3. Show that for all U T
R
and y (U), there exists > 0 such
that:
z [1, 1] , |z y| < z (U)
4. Show that T
R
T
d
R
.
d
R
and x U, there is > 0 such that:
y

R , |(x) (y)| < y U
d
R
, (U) is open in [1, 1].
7. Show that T
d
R
T
R
Theorem 13 The topological space (
R, T
R
) is metrizable.
Denition 35 Let (, F) and (S, ) be two measurable spaces. A
map f : S is said to be measurable with respect to F and , if
and only if:
B , f
1
(B) F
We Write f : (, F) (S, ) is measurable, as a way of emphasizing
the two -algebra F and with respect to which f is measurable.
Exercise 10. Let (, F) and (S, ) be two measurable spaces. Let
S
be a set and f : S be a map such that f() S
S. We
dene
as the trace of on S
, i.e.
=
|S
.
1. Show that for all B , we have f
1
(B) = f
1
(B S
)
2. Show that f : (, F) (S, ) is measurable, if and only if
f : (, F) (S
) is itself measurable.
3. Let f : R
+
. Show that the following are equivalent:
(i) f : (, F) (R
+
, B(R
+
)) is measurable
(ii) f : (, F) (R, B(R)) is measurable
(iii) f : (, F) (
R, B(
R)) is measurable
Exercise 11. Let (, F), (S, ), (S
1
,
1
) be three measurable spaces.
let f : (, F) (S, ) and g : (S, ) (S
1
,
1
) be two measurable
maps.
1. For all B S
1
, show that (g f)
1
(B) = f
1
(g
1
(B))
2. Show that g f : (, F) (S
1
,
1
) is measurable.
Exercise 12.Let (, F) and (S, ) be two measurable spaces. Let
f : S be a map. We dene:

= {B , f
1
(B) F}
1. Show that f
1
(S) = .
2. Show that for all B S, f
1
(B
c
) = (f
1
(B))
c
.
3. Show that if B
n
S, n 1, then f
1
(
+
n=1
B
n
) =
+
n=1
f
1
(B
n
)
4. Show that is a -algebra on S.
Theorem 14 Let (, F) and (S, ) be two measurable spaces, and
A be a set of subsets of S generating , i.e. such that = (A).
Then f : (, F) (S, ) is measurable, if and only if:
B A , f
1
(B) F
Exercise 13. Let (, T ) and (S, T
S
) be two topological spaces. Let
f : S be a map. Show that if f : (, T ) (S, T
S
) is continuous,
then f : (, B()) (S, B(S)) is measurable.
Exercise 14.We dene the following subsets of the power set P(
R):
C
1
= {[, c] , c R}
C
2
= {[, c[ , c R}
C
3
= {[c, +] , c R}
C
4
= {]c, +] , c R}
1. Show that C
2
and C
4
are subsets of T
R
.
2. Show that the elements of C
1
and C
3
are closed in

R.
3. Show that for all i = 1, 2, 3, 4, (C
i
) B(
R).
4. Let U be open in

R. Explain why U R is open in R.
5. Show that any open subset of R is a countable union of open
bounded intervals in R.
6. Let a < b, a, b R. Show that we have:
]a, b[=
+
n=1
]a, b 1/n] =
+
n=1
[a + 1/n, b[
7. Show that for all i = 1, 2, 3, 4, ]a, b[ (C
i
).
8. Show that for all i = 1, 2, 3, 4, {{}, {+}} (C
i
).
9. Show that for all i = 1, 2, 3, 4, (C
i
) = B(
R)
Theorem 15 Let (, F) be a measurable space, and f :

R be
a map. The following are equivalent:
(i) f : (, F) (
R, B(
R)) is measurable
(ii) B B(
R) , {f B} F
(iii) c R , {f c} F
(iv) c R , {f < c} F
(v) c R , {c f} F
(vi) c R , {c < f} F
Exercise 15. Let (, F) be a measurable space. Let (f
n
)
n1
be a
sequence of measurable maps f
n
: (, F) (
R, B(
R)). Let g and h be

the maps dened by g() = inf
n1
f
n
() and h() = sup
n1
f
n
(),
for all .
1. Let c R. Show that {c g} =
+
n=1
{c f
n
}.
2. Let c R. Show that {h c} =
+
n=1
{f
n
c}.
3. Show that g, h : (, F) (
R, B(
R)) are measurable.

Denition 36 Let (v
n
)
n1
be a sequence in

R. We dene:
u

= liminf
n+
v
n
= sup
n1
inf
kn
v
k
and:
w

= limsup
n+
v
n
= inf
n1
sup
kn
v
k
Then, u, w

R are respectively called lower limit and upper limit
of the sequence (v
n
)
n1
.
Exercise 16. Let (v
n
)
n1
be a sequence in

R. for n 1 we dene
u
n
= inf
kn
v
k
and w
n
= sup
kn
v
k
. Let u and w be the lower limit
and upper limit of (v
n
)
n1
, respectively.
1. Show that u
n
u
n+1
u, for all n 1.
2. Show that w w
n+1
w
n
, for all n 1.
3. Show that u
n
u and w
n
w as n +.
4. Show that u
n
v
n
w
n
, for all n 1.
5. Show that u w.
6. Show that if u = w then (v
n
)
n1
converges to a limit v

R,
with u = v = w.
7. Show that if a, b R are such that u < a < b < w then for all
n 1, there exist N
1
, N
2
n such that v
N
1
< a < b < v
N
2
.
8. Show that if a, b R are such that u < a < b < w then there
exist two strictly increasing sequences of integers (n
k
)
k1
and
(m
k
)
k1
such that for all k 1, we have v
n
k
< a < b < v
m
k
.
9. Show that if (v
n
)
n1
converges to some v

R, then u = w.
Theorem 16 Let (v
n
)
n1
be a sequence in

R. Then, the following
are equivalent:
(i) liminf
n+
v
n
= limsup
n+
v
n
(ii) lim
n+
v
n
exists in

R.
in which case:
lim
n+
v
n
= liminf
n+
v
n
= limsup
n+
v
n
Exercise 17. Let f, g : (, F) (
R, B(
R)) be two measurable

maps, where (, F) is a measurable space.
1. Show that {f < g} =
rQ
({f < r} {r < g}).
2. Show that the sets {f < g}, {f > g}, {f = g}, {f g}, {f g}
belong to the -algebra F.
Exercise 18. Let (, F) be a measurable space. Let (f
n
)
n1
be
a sequence of measurable maps f
n
: (, F) (
R, B(
R)). We dene
g = liminf f
n
and h = limsup f
n
in the obvious way:
, g()

= liminf
n+
f
n
()
, h()

= limsup
n+
f
n
()
1. Show that g, h : (, F) (
R, B(
R)) are measurable.

2. Show that g h, i.e. , g() h().
3. Show that {g = h} F.
4. Show that { : , lim
n+
f
n
() exists in

R} F.
5. Suppose = {g = h}, and let f() = lim
n+
f
n
(), for all
. Show that f : (, F) (
R, B(
R)) is measurable.
Exercise 19. Let f, g : (, F) (
R, B(
R)) be two measurable

maps, where (, F) is a measurable space.
1. Show that f, |f|, f
+
= max(f, 0) and f
= max(f, 0) are
measurable with respect to F and B(
R).
2. Let a

R. Explain why the map a+f may not be well dened.
3. Show that (a+f) : (, F) (
R, B(
R)) is measurable, whenever

a R.
4. Show that (a.f) : (, F) (
R, B(
R)) is measurable, for all

a

R. (Recall the convention 0. = 0).
5. Explain why the map f + g may not be well dened.
6. Suppose that f 0 and g 0, i.e. f() [0, +] and also
g() [0, +]. Show that {f + g < c} = {f < c g}, for all
c R. Show that f + g : (, F) (
R, B(
R)) is measurable.
7. Show that f +g : (, F) (
R, B(
R)) is measurable, in the case

when f and g take values in R.
8. Show that 1/f : (, F) (
R, B(

when f() R\ {0}.
9. Suppose that f is R-valued. Show that

f dened by

f() =
f() if f() = 0 and

f() = 1 if f() = 0, is measurable with
respect to F and B(
R).
10. Suppose f and g take values in R. Let

f be dened as in 9.
Show that for all c R, the set {fg < c} can be expressed as:
({f >0}{g < c/

f})({f <0}{g > c/
f})({f = 0}{f < c})

11. Show that fg : (, F) (
R, B(

when f and g take values in R.
Exercise 20.Let f, g : (, F) (
R, B(
R)) be two measurable maps,

where (, F) is a measurable space. Let

f, g, be dened by:
f()

=
f() if f() {, +}
1 if f() {, +}
g() being dened in a similar way. Consider the partitions of ,
= A
1
A
2
A
3
A
4
A
5
and = B
1
B
2
B
3
B
4
B
5
,
where A
1
= {f ]0, +[}, A
2
= {f ] , 0[}, A
3
= {f = 0},
A
4
= {f = }, A
5
= {f = +} and B
1
, B
2
, B
3
, B
4
, B
5
being
dened in a similar way with g. Recall the conventions 0(+) = 0,
() (+) = (), etc. . .
1. Show that

f and g are measurable with respect to F and B(
R).
2. Show that all A
i
s and B
j
s are elements of F.
3. Show that for all B B(
R):
{fg B} =
5
i,j=1
(A
i
B
j
{fg B})
4. Show that A
i
B
j
{fg B} = A
i
B
j
{
f g B}, in the
case when 1 i 3 and 1 j 3.
5. Show that A
i
B
j
{fg B} is either equal to or A
i
B
j
,
in the case when i 4 or j 4.
6. Show that fg : (, F) (
R, B(
R)) is measurable.
Denition 37 Let (, T ) be a topological space, and A . We
call closure of A in , denoted

A, the set dened by:
A

= {x : x U T U A = }
Exercise 21. Let (E, T ) be a topological space, and A E. Let

A
be the closure of A.
1. Show that A

A and that

A is closed.
2. Show that if B is closed and A B, then

A B.
3. Show that

A is the smallest closed set in E containing A.
4. Show that A is closed if and only if A =

A.
5. Show that if (E, T ) is metrizable, then:
A = {x E : > 0 , B(x, ) A = }
where B(x, ) is relative to any metric d such that T
d
E
= T .
Exercise 22. Let (E, d) be a metric space. Let A E. For all
x E, we dene:
d(x, A)

= inf{d(x, y) : y A}

=
A
(x)
where it is understood that inf = +.
1. Show that for all x E, d(x, A) = d(x,

A).
2. Show that d(x, A) = 0, if and only if x

A.
3. Show that for all x, y E, d(x, A) d(x, y) + d(y, A).
4. Show that if A = , |d(x, A) d(y, A)| d(x, y).
5. Show that
A
: (E, T
d
E
) (
R, T
R
) is continuous.
6. Show that if A is closed, then A =
1
A
({0})
Exercise 23.Let (, F) be a measurable space. Let (f
n
)
n1
be a
n
: (, F) (E, B(E)), where (E, d) is
a metric space. We assume that for all , the sequence (f
n
())
n1
converges to some f() E.
1. Explain why liminf f
n
and limsup f
n
may not be dened in an
arbitrary metric space E.
2. Show that f : (, F) (E, B(E)) is measurable, if and only if
f
1
(A) F for all closed subsets A of E.
3. Show that for all A closed in E, f
1
(A) = (
A
f)
1
({0}),
where the map
A
: E

R is dened as in exercise (22).
4. Show that
A
f
n
: (, F) (
R, B(
R)) is measurable.
5. Show that f : (, F) (E, B(E)) is measurable.
Theorem 17 Let (, F) be a measurable space. Let (f
n
)
n1
be a
n
: (, F) (E, B(E)), where (E, d)
is a metric space. Then, if the limit f = limf
n
exists on , the map
f : (, F) (E, B(E)) is itself measurable.
Denition 38 The usual topology on C, the set of complex num-
bers, is dened as the metric topology associated with d(z, z
) = |zz
|.
Exercise 24. Let f : (, F) (C, B(C)) be a measurable map,
where (, F) is a measurable space. Let u = Re(f) and v = Im(f).
Show that u, v, |f| : (, F) (
R, B(
R)) are all measurable.

Exercise 25. Dene the subset of the power set P(C):
C

= {]a, b[]c, d[ , a, b, c, d R}
where it is understood that:
]a, b[]c, d[

= {z = x + iy C , (x, y) ]a, b[]c, d[}
1. Show that any element of C is open in C.
2. Show that (C) B(C).
3. Let z = x + iy C. Show that if |x| < and |y| < then we
have |z| <
2.
4. Let U be open in C. Show that for all z U, there are rational
numbers a
z
, b
z
, c
z
, d
z
such that z ]a
z
, b
z
[]c
z
, d
z
[ U.
5. Show that U can be written as U =
+
n=1
A
n
where A
n
C.
6. Show that (C) = B(C).
7. Let (, F) be a measurable space, and u, v : (, F) (R, B(R))
be two measurable maps. Show that u+iv : (, F) (C, B(C))
is measurable.
Tutorial 5: Lebesgue Integration 1
5. Lebesgue Integration
In the following, (, F, ) is a measure space.
Denition 39 Let A . We call characteristic function of A,
the map 1
A
: R, dened by:
, 1
A
()

=
_
1 if A
0 if A
Exercise 1. Given A , show that 1
A
: (, F) (
R, B(
R)) is
measurable if and only if A F.
Denition 40 Let (, F) be a measurable space. We say that a map
s : R
+
is a simple function on (, F), if and only if s is of
the form :
s =
n
i=1
i
1
A
i
where n 1,
i
R
+
and A
i
F, for all i = 1, . . . , n.
Exercise 2. Show that s : (, F) (R
+
, B(R
+
)) is measurable,
whenever s is a simple function on (, F).
Exercise 3. Let s be a simple function on (, F) with representation
s =

n
i=1

i
1
A
i
. Consider the map : {0, 1}
n
dened by
() = (1
A
1
(), . . . , 1
A
n
()). For each y s(), pick one
y

such that y = s(
y
). Consider the map : s() {0, 1}
n
dened by
(y) = (
y
).
1. Show that is injective, and that s() is a nite subset of R
+
.
2. Show that s =
s()
1
{s=}
3. Show that any simple function s can be represented as:
s =
n
i=1
i
1
A
i
where n 1,
i
R
+
, A
i
F and = A
1
. . . A
n
.
Denition 41 Let (, F) be a measurable space, and s be a simple
function on (, F). We call partition of the simple function s, any
representation of the form:
s =
n
i=1
i
1
A
i
where n 1,
i
R
+
, A
i
F and = A
1
. . . A
n
.
Exercise 4. Let s be a simple function on (, F) with two partitions:
s =
n
i=1
i
1
A
i
=
m
j=1
j
1
B
j
1. Show that s =
i,j

i
1
A
i
B
j
is a partition of s.
2. Recall the convention 0 (+) = 0 and (+) = +
if > 0. For all a
1
, . . . , a
p
in [0, +], p 1 and x [0, +],
prove the distributive property: x(a
1
+. . .+a
p
) = xa
1
+. . .+xa
p
.
3. Show that

n
i=1

i
(A
i
) =
m
j=1

j
(B
j
).
4. Explain why the following denition is legitimate.
Denition 42 Let (, F, ) be a measure space, and s be a simple
function on (, F). We dene the integral of s with respect to , as
the sum, denoted I
(s), dened by:

I
(s)

=
n
i=1
i
(A
i
) [0, +]
where s =
n
i=1

i
1
A
i
is any partition of s.
Exercise 5. Let s, t be two simple functions on (, F) with partitions
s =
n
i=1

i
1
A
i
and t =
m
j=1

j
1
B
j
. Let R
+
.
1. Show that s + t is a simple function on (, F) with partition:
s + t =
n
i=1
m
j=1
(
i
+
j
)1
A
i
B
j
2. Show that I
(s + t) = I
(s) + I
(t).
3. Show that s is a simple function on (, F).
4. Show that I
(s) = I
(s).
5. Why is the notation I
(s) meaningless if = + or < 0.

6. Show that if s t then I
(s) I
(t).
Exercise 6. Let f : (, F) [0, +] be a non-negative and mea-
surable map. For all n 1, we dene:
s
n
=
n2
n
1
k=0
k
2
n
1
{
k
2
n
f<
k+1
2
n
}
+ n1
{nf}
(1)
1. Show that s
n
is a simple function on (, F), for all n 1.
2. Show that equation (1) is a partition s
n
, for all n 1.
3. Show that s
n
s
n+1
f, for all n 1.
4. Show that s
n
f as n +
1
.
Theorem 18 Let f : (, F) [0, +] be a non-negative and mea-
surable map, where (, F) is a measurable space. There exists a se-
quence (s
n
)
n1
of simple functions on (, F) such that s
n
f.
Denition 43 Let f : (, F) [0, +] be a non-negative and
measurable map, where (, F, ) is a measure space. We dene the
lebesgue integral of f with respect to , denoted
_
fd, as:
_
fd

= sup{I
(s) : s simple function on (, F) , s f}

where, given any simple function s on (, F), I
(s) denotes its inte-

gral with respect to .
1
i.e. for all , the sequence (s
n
())
n1
is non-decreasing and converges
to f() [0, +].
surable map.
1. Show that
_
fd [0, +].
2. Show that
_
fd = I
(f), whenever f is a simple function.

3. Show that
_
gd
_
fd, whenever g : (, F) [0, +] is
non-negative and measurable map with g f.
4. Show that
_
(cf)d = c
_
fd, if 0 < c < +. Explain why
both integrals are well dened. Is the equality still true for
c = 0.
5. For n 1, put A
n
= {f > 1/n}, and s
n
= (1/n)1
A
n
. Show
that s
n
is a simple function on (, F) with s
n
f. Show that
A
n
{f > 0}.
6. Show that
_
fd = 0 ({f > 0}) = 0.
7. Show that if s is a simple function on (, F) with s f, then
({f > 0}) = 0 implies I
(s) = 0.
8. Show that
_
fd = 0 ({f > 0}) = 0.
9. Show that
_
(+)fd = (+)
_
fd. Explain why both inte-
grals are well dened.
10. Show that (+)1
{f=+}
f and:
_
(+)1
{f=+}
d = (+)({f = +})
11. Show that
_
fd < + ({f = +}) = 0.
12. Suppose that () = + and take f = 1. Show that the
converse of the previous implication is not true.
Exercise 8. Let s be a simple function on (, F). let A F.
1. Show that s1
A
is a simple function on (, F).
2. Show that for any partition s =
n
i=1

i
1
A
i
of s, we have:
I
(s1
A
) =
n
i=1
i
(A
i
A)
3. Let : F [0, +] be dened by (A) = I
(s1
A
). Show that
is a measure on F.
4. Suppose A
n
F, A
n
A. Show that I
(s1
A
n
) I
(s1
A
).
Exercise 9. Let (f
n
)
n1
be a sequence of non-negative and measur-
able maps f
n
: (, F) [0, +], such that f
n
f.
1. Recall what the notation f
n
f means.
2. Explain why f : (, F) (
R, B(
R)) is measurable.
3. Let = sup
n1
_
f
n
d. Show that
_
f
n
d .
4. Show that
_
fd.
5. Let s be any simple function on (, F) such that s f. Let
c ]0, 1[. For n 1, dene A
n
= {cs f
n
}. Show that A
n
F
and A
n
.
6. Show that cI
(s1
A
n
)
_
f
n
d, for all n 1.
7. Show that cI
(s) .
8. Show that I
(s) .
9. Show that
_
fd .
10. Conclude that
_
f
n
d
_
fd.
Theorem 19 (Monotone Convergence) Let (, F, ) be a mea-
sure space. Let (f
n
)
n1
be a sequence of non-negative and measurable
maps f
n
: (, F) [0, +] such that f
n
f. Then
_
f
n
d
_
fd.
Exercise 10. Let f, g : (, F) [0, +] be two non-negative and
measurable maps. Let a, b [0, +].
1. Show that if (f
n
)
n1
and (g
n
)
n1
are two sequences of non-
negative and measurable maps such that f
n
f and g
n
g,
then f
n
+ g
n
f + g.
2. Show that
_
(f + g)d =
_
fd +
_
gd.
3. Show that
_
(af + bg)d = a
_
fd + b
_
gd.
Exercise 11. Let (f
n
)
n1
be a sequence of non-negative and mea-
surable maps f
n
: (, F) [0, +]. Dene f =
+
n=1
f
n
.
1. Explain why f : (, F) [0, +] is well dened, non-negative
and measurable.
2. Show that
_
fd =
+
n=1
_
f
n
d.
Denition 44 Let (, F, ) be a measure space and let P() be a
property depending on . We say that the property P() holds
-almost surely, and we write P() -a.s., if and only if:
N F , (N) = 0 , N
c
, P() holds
Exercise 12. Let P() be a property depending on , such that
{ : P() holds} is an element of the -algebra F.
1. Show that P() , -a.s. ({ : P() holds}
c
) = 0.
2. Explain why in general, the right-hand side of this equivalence
cannot be used to dened -almost sure properties.
Exercise 13. Let (, F, ) be a measure space and (A
n
)
n1
be a
sequence of elements of F. Show that (
+
n=1
A
n
)
+
n=1
(A
n
).
Exercise 14. Let (f
n
)
n1
be a sequence of maps f
n
: [0, +].
1. Translate formally the statement f
n
f -a.s.
2. Translate formally f
n
f -a.s. and n, (f
n
f
n+1
-a.s.)
3. Show that the statements 1. and 2. are equivalent.
Exercise 15. Suppose that f, g : (, F) [0, +] are non-negative
and measurable with f = g -a.s.. Let N F, (N) = 0 such that
f = g on N
c
. Explain why
_
fd =
_
(f1
N
)d +
_
(f1
N
c)d, all
integrals being well dened. Show that
_
fd =
_
gd.
Exercise 16. Suppose (f
n
)
n1
is a sequence of non-negative and
measurable maps such that f
n
f -a.s.. Let N F, (N) = 0, such
that f
n
f on N
c
. Dene

f
n
= f
n
1
N
c and

f = f1
N
c.
1. Explain why

f and the

f
n
s are non-negative and measurable.
2. Show that

f
n

f.
3. Show that
_
f
n
d
_
fd.
Exercise 17. Let (f
n
)
n1
be a sequence of non-negative and measur-
able maps f
n
: (, F) [0, +]. For n 1, we dene g
n
= inf
kn
f
k
.
1. Explain why the g
n
s are non-negative and measurable.
2. Show that g
n
liminf f
n
.
3. Show that
_
g
n
d
_
f
n
d, for all n 1.
4. Show that if (u
n
)
n1
and (v
n
)
n1
are two sequences in

R with
u
n
v
n
for all n 1, then liminf u
n
liminf v
n
.
5. Show that
_
(liminf f
n
)d liminf
_
f
n
d, and recall why all
integrals are well dened.
Theorem 20 (Fatou Lemma) Let (, F, ) be a measure space,
and let (f
n
)
n1
be a sequence of non-negative and measurable maps
f
n
: (, F) [0, +]. Then:
_
(liminf
n+
f
n
)d liminf
n+
_
f
n
d
surable map. Let A F.
1. Recall what is meant by the induced measure space (A, F
|A
,
|A
).
Why is it important to have A F. Show that the restriction
of f to A, f
|A
: (A, F
|A
) [0, +] is measurable.
2. We dene the map
A
: F [0, +] by
A
(E) = (AE), for
all E F. Show that (, F,
A
) is a measure space.
3. Consider the equalities:
_
(f1
A
)d =
_
fd
A
=
_
(f
|A
)d
|A
(2)
For each of the above integrals, what is the underlying measure
space on which the integral is considered. What is the map
being integrated. Explain why each integral is well dened.
4. Show that in order to prove (2), it is sucient to consider the
case when f is a simple function on (, F).
5. Show that in order to prove (2), it is sucient to consider the
case when f is of the form f = 1
B
, for some B F.
6. Show that (2) is indeed true.
Denition 45 Let f : (, F) [0, +] be a non-negative and mea-
surable map, where (, F, ) is a measure space. let A F. We call
partial lebesgue integral of f with respect to over A, the integral
denoted
_
A
fd, dened as:
_
A
fd

=
_
(f1
A
)d =
_
fd
A
=
_
(f
|A
)d
|A
where
A
is the measure on (, F),
A
= (A), f
|A
is the restric-
tion of f to A and
|A
is the restriction of to F
|A
, the trace of F
on A.
measurable maps. Let : F [0, +] be dened by (A) =
_
A
fd,
for all A F.
1. Show that is a measure on F.
2. Show that:
_
gd =
_
gfd
Theorem 21 Let f : (, F) [0, +] be a non-negative and mea-
surable map, where (, F, ) is a measure space. Let : F [0, +]
be dened by (A) =
_
A
fd, for all A F. Then, is a measure on
F, and for all g : (, F) [0, +] non-negative and measurable, we
have:
_
gd =
_
gfd
Denition 46 The L
1
-spaces on a measure space (, F, ), are:
L
1
R
(, F, )
=
_
f : (, F) (R, B(R)) measurable,
_
|f|d < +
_
L
1
C
(, F, )
=
_
f : (, F) (C, B(C)) measurable,
_
|f|d < +
_
Exercise 20. Let f : (, F) (C, B(C)) be a measurable map.
1. Explain why the integral
_
|f|d makes sense.
2. Show that f : (, F) (R, B(R)) is measurable, if f() R.
3. Show that L
1
R
(, F, ) L
1
C
(, F, ).
4. Show that L
1
R
(, F, ) = {f L
1
C
(, F, ) , f() R}
5. Show that L
1
R
(, F, ) is closed under R-linear combinations.
6. Show that L
1
C
(, F, ) is closed under C-linear combinations.
Denition 47 Let u : R be a real-valued function dened on a
set . We call positive part and negative part of u the maps u
+
and u
respectively, dened as u
+
= max(u, 0) and u
= max(u, 0).
Exercise 21. Let f L
1
C
(, F, ). Let u = Re(f) and v = Im(f).
1. Show that u = u
+
u
, v = v
+
v
, f = u
+
u
+i(v
+
v
).
2. Show that |u| = u
+
+ u
, |v| = v
+
+ v
3. Show that u
+
, u
, v
+
, v
, |f|, u, v, |u|, |v| all lie in L

1
R
(, F, ).
4. Explain why the integrals
_
u
+
d,
_
u
d,
_
v
+
d,
_
v
d are
all well dened.
5. We dene the integral of f with respect to , denoted
_
fd, as
_
fd =
_
u
+
d
_
u
d+i
__
v
+
d
_
v
d
_
. Explain why
_
fd is a well dened complex number.
6. In the case when f() C [0, +] = R
+
, explain why this
new denition of the integral of f with respect to is consistent
with the one already known (43) for non-negative and measur-
able maps.
7. Show that
_
fd =
_
ud+i
_
vd and explain why all integrals
involved are well dened.
Denition 48 Let f = u + iv L
1
C
(, F, ) where (, F, ) is a
measure space. We dene the lebesgue integral of f with respect to
, denoted
_
fd, as:
_
fd

=
_
u
+
d
_
u
d + i
__
v
+
d
_
v
d
_
Exercise 22. Let f = u + iv L
1
C
(, F, ) and A F.
1. Show that f1
A
L
1
C
(, F, ).
2. Show that f L
1
C
(, F,
A
).
3. Show that f
|A
L
1
C
(A, F
|A
,
|A
)
4. Show that
_
(f1
A
)d =
_
fd
A
=
_
f
|A
d
|A
.
5. Show that 4. is:
_
A
u
+
d
_
A
u
d + i
__
A
v
+
d
_
A
v
d
_
.
Denition 49 Let f L
1
C
(, F, ) , where (, F, ) is a measure
space. let A F. We call partial lebesgue integral of f with
respect to over A, the integral denoted
_
A
fd, dened as:
_
A
fd

=
_
(f1
A
)d =
_
fd
A
=
_
(f
|A
)d
|A
where
A
is the measure on (, F),
A
= (A), f
|A
is the restric-
tion of f to A and
|A
is the restriction of to F
|A
, the trace of F
on A.
Exercise 23. Let f, g L
1
R
(, F, ) and let h = f + g
1. Show that:
_
h
+
d +
_
f
d +
_
g
d =
_
h
d +
_
f
+
d +
_
g
+
d
2. Show that
_
hd =
_
fd +
_
gd.
3. Show that
_
(f)d =
_
fd
4. Show that if R then
_
(f)d =
_
fd.
5. Show that if f g then
_
fd
_
gd
6. Show the following theorem.
Theorem 22 For all f, g L
1
C
(, F, ) and C, we have:
_
(f + g)d =
_
fd +
_
gd
Exercise 24. Let f, g be two maps, and (f
n
)
n1
be a sequence of
measurable maps f
n
: (, F) (C, B(C)), such that:
(i) , lim
n+
f
n
() = f() in C
(ii) n 1 , |f
n
| g
(iii) g L
1
R
(, F, )
Let (u
n
)
n1
be an arbitrary sequence in

R.
1. Show that f L
1
C
(, F, ) and f
n
L
1
C
(, F, ) for all n 1.
2. For n 1, dene h
n
= 2g |f
n
f|. Explain why Fatou
lemma (20) can be applied to the sequence (h
n
)
n1
.
3. Show that liminf(u
n
) = limsup u
n
.
4. Show that if R, then liminf( + u
n
) = + liminf u
n
.
5. Show that u
n
0 as n + if and only if limsup|u
n
| = 0.
6. Show that
_
(2g)d
_
(2g)d limsup
_
|f
n
f|d
7. Show that limsup
_
|f
n
f|d = 0.
8. Conclude that
_
|f
n
f|d 0 as n +.
Theorem 23 (Dominated Convergence) Let (f
n
)
n1
be a se-
quence of measurable maps f
n
: (, F) (C, B(C)) such that f
n
f
in C
2
. Suppose that there exists some g L
1
R
(, F, ) such that
|f
n
| g for all n 1. Then f, f
n
L
1
C
(, F, ) for all n 1, and:
lim
n+
_
|f
n
f|d = 0
1
C
(, F, ) and put z =
_
fd. Let C,
be such that || = 1 and z = |z|. Put u = Re(f).
1. Show that u L
1
R
(, F, )
2. Show that u |f|
2
i.e. for all , the sequence (f
n
())
n1
converges to f() C
3. Show that |
_
fd| =
_
(f)d.
4. Show that
_
(f)d =
_
ud.
Theorem 24 Let f L
1
C
(, F, ) where (, F, ) is a measure
space. We have:

_
fd
_
|f|d
Tutorial 6: Product Spaces 1
6. Product Spaces
In the following, I is a non-empty set.
Denition 50 Let (
i
)
iI
be a family of sets, indexed by a non-
empty set I. We call cartesian product of the family (
i
)
iI
the
set, denoted
iI
i
, and dened by:
iI
= : I
iI
i
, (i)
i
, i I
In other words,
iI
i
is the set of all maps dened on I, with
values in
iI
i
, such that (i)
i
for all i I.
Theorem 25 (Axiom of choice) Let (
i
)
iI
be a family of sets,
indexed by a non-empty set I. Then,
iI
i
is non-empty, if and
only if
i
is non-empty for all i I
1
.
1
When I is nite, this theorem is traditionally derived from other axioms.
Exercise 1.
1. Let be a set and suppose that
i
= , i I. We use the
notation
I
instead of
iI
i
. Show that
I
is the set of all
maps : I .
2. What are the sets R
R
+
, R
N
, [0, 1]
N
,

R
R
?
3. Suppose I = N
. We sometimes use the notation

+
n=1
n
in-
stead of
nN
n
. Let o be the set of all sequences (x
n
)
n1
such that x
n

n
for all n 1. Is o the same thing as the
product
+
n=1
n
?
4. Suppose I = N
n
= 1, . . . , n, n 1. We use the notation
1
. . .
n
instead of
i{1,...,n}
i
. For
1
. . .
n
, it
is customary to write (
1
, . . . ,
n
) instead of , where we have
i
= (i). What is your guess for the denition of sets such as
R
n
,

R
n
, Q
n
, C
n
.
5. Let E, F, G be three sets. Dene E F G.
Denition 51 Let I be a non-empty set. We say that a family of
sets (I
, where ,= , is a partition of I, if and only if:

(i) , I
,=
(ii) ,
, ,=
=
(iii) I =
Exercise 2. Let (
i
)
iI
be a family of sets indexed by I, and (I
be a partition of the set I.

1. For each , recall the denition of
iI
i
.
2. Recall the denition of
(
iI
i
).
3. Dene a natural bijection :
iI
(
iI
i
).
4. Dene a natural bijection : R
p
R
n
R
p+n
, for all n, p 1.
Denition 52 Let (
i
)
iI
be a family of sets, indexed by a non-
empty set I. For all i I, let c
i
be a set of subsets of
i
. We dene
a rectangle of the family (c
i
)
iI
, as any subset A of
iI
i
, of the
form A =
iI
A
i
where A
i
c
i

i
for all i I, and such that
A
i
=
i
except for a nite number of indices i I. Consequently, the
set of all rectangles, denoted H
iI
c
i
, is dened as:
iI
c
i
=
_
iI
A
i
: A
i
c
i

i
, A
i
,=
i
for nitely many i I
_
Exercise 3. (
i
)
iI
and (c
i
)
iI
being as above:
1. Show that if I = N
n
and
i
c
i
for all i = 1, . . . , n, then
c
1
H . . . H c
n
= A
1
. . . A
n
: A
i
c
i
, i I.
2. Let A be a rectangle. Show that there exists a nite subset J
of I such that: A =
iI
i
: (j) A
j
, j J for
some A
j
s such that A
j
c
j
, for all j J.
Denition 53 Let (
i
, T
i
)
iI
be a family of measurable spaces, in-
dexed by a non-empty set I. We call measurable rectangle , any
rectangle of the family (T
i
)
iI
. The set of all measurable rectangles
is given by
2
:
iI
T
i
=
_
iI
A
i
: A
i
T
i
, A
i
,=
i
for nitely many i I
_
Denition 54 Let (
i
, T
i
)
iI
be a family of measurable spaces, in-
dexed by a non-empty set I. We dene the product -algebra of
(T
i
)
iI
, as the -algebra on
iI
i
, denoted
iI
T
i
, and generated
by all measurable rectangles, i.e.
iI
T
i
=
_
iI
T
i
_
2
Note that
i
F
i
for all i I.
Exercise 4.
1. Suppose I = N
n
. Show that T
1
. . . T
n
is generated by all
sets of the form A
1
. . . A
n
, where A
i
T
i
for all i = 1, . . . , n.
2. Show that B(R) B(R) B(R) is generated by sets of the form
AB C where A, B, C B(R).
3. Show that if (, T) is a measurable space, B(R
+
) T is the
-algebra on R
+
generated by sets of the form BF where
B B(R
+
) and F T.
Exercise 5. Let (
i
)
iI
be a family of non-empty sets and c
i
be a
subset of the power set T(
i
) for all i I.
1. Give a generator of the -algebra
iI
(c
i
) on
iI
i
.
2. Show that:
iI
c
i
_
iI
(c
i
)
3. Let A be a rectangle of the family ((c
i
))
iI
. Show that if A is
not empty, then the representation A =
iI
A
i
with A
i
(c
i
)
is unique. Dene J
A
= i I : A
i
,=
i
. Explain why J
A
is a
well-dened nite subset of I.
4. If A H
iI
(c
i
), Show that if A = , or A ,= and J
A
= ,
then A (H
iI
c
i
).
Exercise 6. Everything being as before, Let n 0. We assume that
the following induction hypothesis has been proved:
A
iI
(c
i
), A ,= , cardJ
A
= n A
_
iI
c
i
_
We assume that A is a non empty measurable rectangle of ((c
i
))
iI
with cardJ
A
= n + 1. Let J
A
= i
1
, . . . , i
n+1
be an extension of J
A
.
For all B
i
1
, we dene:
A
B

=
iI
A
i
where each

A
i
is equal to A
i
except

A
i
1
= B. We dene the set:

=
_
B
i
1
: A
B

_
iI
c
i
__
1. Show that A
i
1
,= , cardJ
A
i
1
= n and that A
i
1
H
iI
(c
i
).
2. Show that
i
1
.
3. Show that for all B
i
1
, we have A
i
1
\B
= A
i
1
A
B
.
4. Show that B
i
1
B .
5. Let B
n

i
1
, n 1. Show that A
B
n
=
n1
A
B
n
.
6. Show that is a -algebra on
i
1
.
7. Let B c
i
1
, and for i I dene

B
i
=
i
for all is except
B
i
1
= B. Show that A
B
= A
i
1
(
iI

B
i
).
8. Show that (c
i
1
) .
9. Show that A = A
A
i
1
and A (H
iI
c
i
).
10. Show that H
iI
(c
i
) (H
iI
c
i
).
11. Show that (H
iI
c
i
) =
iI
(c
i
).
Theorem 26 Let (
i
)
iI
be a family of non-empty sets indexed by a
non-empty set I. For all i I, let c
i
be a set of subsets of
i
. Then,
the product -algebra
iI
(c
i
) on the cartesian product
iI
i
is
generated by the rectangles of (c
i
)
iI
, i.e. :
iI
(c
i
) =
_
iI
c
i
_
Exercise 7. Let T
R
denote the usual topology in R. Let n 1.
1. Show that T
R
H . . . H T
R
= A
1
. . . A
n
: A
i
T
R
.
2. Show that B(R) . . . B(R) = (T
R
H . . . H T
R
).
3. Dene (
2
= ]a
1
, b
1
] . . . ]a
n
, b
n
] : a
i
, b
i
R. Show that
(
2
o H . . . H o, where o = ]a, b] : a, b R, but that the
inclusion is strict.
4. Show that o H . . . H o ((
2
).
5. Show that B(R) . . . B(R) = ((
2
).
Exercise 8. Let and
be two non-empty sets. Let A be a subset

of such that ,= A ,= . Let c = A T() and c
= T(
).
1. Show that (c) = , A, A
c
, .
2. Show that (c
) = ,
.
3. Dene ( = E F , E c, F c
and show that ( = .

4. Show that c H c
= A
.
5. Show that (c) (c
) = , A
, A
c
.
6. Conclude that (c) (c
) ,= (() = ,
.
Exercise 9. Let n 1 and p 1 be two positive integers.
1. Dene T = B(R) . . . B(R)
. .
n
, and ( = B(R) . . . B(R)
. .
p
.
Explain why T ( can be viewed as a -algebra on R
n+p
.
2. Show that T( is generated by sets of the form A
1
. . . A
n+p
where A
i
B(R), i = 1, . . . , n +p.
3. Show that:
B(R). . .B(R)
. .
n+p
= (B(R). . .B(R))
. .
n
(B(R). . .B(R))
. .
p
Exercise 10. Let (
i
, T
i
)
iI
be a family of measurable spaces. Let
(I
, where ,= , be a partition of I. Let =

iI
i
and
(
iI
i
).
1. Dene a natural bijection between T() and T(
).
2. Show that through such bijection, A =
iI
A
i
, where
A
i

i
, is identied with A
(
iI
A
i
)
.
3. Show that H
iI
T
i
= H
(H
iI
T
i
).
4. Show that
iI
T
i
=
(
iI
T
i
).
Denition 55 Let be set and / be a set of subsets of . We call
topology generated by /, the topology on , denoted T (/), equal
to the intersection of all topologies on , which contain /.
Exercise 11. Let be a set and / T().
1. Explain why T (/) is indeed a topology on .
2. Show that T (/) is the smallest topology T such that / T .
3. Show that the metric topology on a metric space (E, d) is gen-
erated by the open balls / = B(x, ) : x E, > 0.
Denition 56 Let (
i
, T
i
)
iI
be a family of topological spaces, in-
dexed by a non-empty set I. We dene the product topology of
(T
i
)
iI
, as the topology on
iI
i
, denoted
iI
T
i
, and generated by
all rectangles of (T
i
)
iI
, i.e.
_
iI
T
i
= T
_
iI
T
i
_
Exercise 12. Let (
i
, T
i
)
iI
be a family of topological spaces.
1. Show that U
iI
T
i
, if and only if:
x U , V H
iI
T
i
, x V U
2. Show that H
iI
T
i

iI
T
i
.
3. Show that
iI
B(
i
) = (H
iI
T
i
).
4. Show that
iI
B(
i
) B(
iI
i
).
Exercise 13. Let n 1 be a positive integer. For all x, y R
n
, let:
(x, y)

=
n
i=1
x
i
y
i
and we put |x| =
_
(x, x).
1. Show that for all t R, |x +ty|
2
= |x|
2
+t
2
|y|
2
+ 2t(x, y).
2. From |x +ty|
2
0 for all t, deduce that [(x, y)[ |x|.|y|.
3. Conclude that |x +y| |x| +|y|.
Exercise 14. Let (
1
, T
1
), . . . , (
n
, T
n
), n 1, be metrizable topo-
logical spaces. Let d
1
, . . . , d
n
be metrics on
1
, . . . ,
n
, inducing the
topologies T
1
, . . . , T
n
respectively. Let =
1
. . .
n
and T be
the product topology on . For all x, y , we dene:
d(x, y)

=
_
n
i=1
(d
i
(x
i
, y
i
))
2
1. Show that d : R
+
is a metric on .
2. Show that U is open in , if and only if, for all x U there
are open sets U
1
, . . . , U
n
in
1
, . . . ,
n
respectively, such that:
x U
1
. . . U
n
U
3. Let U T and x U. Show the existence of > 0 such that:
(i = 1, . . . , n d
i
(x
i
, y
i
) < ) y U
4. Show that T T
d
.
5. let U T
d
and x U. Show that existence of > 0 such that:

x B(x
1
, ) . . . B(x
n
, ) U
6. Show that T
d
T .
7. Show that the product topological space (, T ) is metrizable.
8. For all x, y , dene:
d
(x, y)

=
n
i=1
d
i
(x
i
, y
i
)
d
(x, y)

= max
i=1,...,n
d
i
(x
i
, y
i
)
Show that d
, d
are metrics on .
9. Show the existence of
and
> 0, such that we have
and
.
10. Show that d
and d
also induce the product topology on .

Exercise 15. Let (
n
, T
n
)
n1
be a sequence of metrizable topological
spaces. For all n 1, let d
n
be a metric on
n
inducing the topology
T
n
. Let =
+
n=1
n
be the cartesian product and T be the product
topology on . For all x, y , we dene:
d(x, y)

=
+
n=1
1
2
n
(1 d
n
(x
n
, y
n
))
1. Show that for all a, b R
+
, we have 1 (a +b) 1 a +1 b.
2. Show that d is a metric on .
3. Show that U is open in , if and only if, for all x U, there
is an integer N 1 and open sets U
1
, . . . , U
N
in
1
, . . . ,
N
respectively, such that:
x U
1
. . . U
N

+
n=N+1
n
U
4. Show that d(x, y) < 1/2
n
d
n
(x
n
, y
n
) 2
n
d(x, y).
5. Show that for all U T and x U, there exists > 0 such that
d(x, y) < y U.
6. Show that T T
d
.
7. Let U T
d
and x U. Show the existence of > 0 and N 1,

such that:
N
n=1
1
2
n
(1 d
n
(x
n
, y
n
)) < y U
d
and x U, there is > 0 and N 1

such that:
x B(x
1
, ) . . . B(x
N
, )
+
n=N+1
n
U
9. Show that T
d
T .
10. Show that the product topological space (, T ) is metrizable.
Denition 57 Let (, T ) be a topological space. A subset H of T
is called a countable base of (, T ), if and only if H is at most
countable, and has the property:
U T , H
H , U =
_
V H
V
Exercise 16.
1. Show that H = ]r, q[ : r, q Q is a countable base of (R, T
R
).
2. Show that if (, T ) is a topological space with countable base,
and
, then the induced topological space (
, T
|
) also
has a countable base.
3. Show that [1, 1] has a countable base.
4. Show that if (, T ) and (S, T
S
) are homeomorphic, then (, T )
has a countable base if and only if (S, T
S
) has a countable base.
5. Show that (
R, T
R
) has a countable base.
Exercise 17. Let (
n
, T
n
)
n1
be a sequence of topological spaces
with countable base. For n 1, Let V
k
n
: k I
n
be a countable
base of (
n
, T
n
) where I
n
is a nite or countable set. Let =
n=1
n
be the cartesian product and T be the product topology on . For
all p 1, we dene:
H
p

=
_
V
k
1
1
. . . V
k
p
p

+
n=p+1
n
: (k
1
, . . . , k
p
) I
1
. . . I
p
_
and we put H =
p1
H
p
.
1. Show that for all p 1, H
p
T .
2. Show that H T .
3. For all p 1, show the existence of an injection j
p
: H
p
N
p
.
4. Show the existence of a bijection
2
: N
2
N.
5. For p 1, show the existence of an bijection
p
: N
p
N.
6. Show that H
p
is at most countable for all p 1.
7. Show the existence of an injection j : H N
2
.
8. Show that H is a nite or countable set of open sets in .
9. Let U T and x U. Show that there is p 1 and U
1
, . . . , U
p
open sets in
1
, . . . ,
p
such that:
x U
1
. . . U
p
n=p+1
n
U
10. Show the existence of some V
x
H such that x V
x
U.
11. Show that H is a countable base of the topological space (, T ).
12. Show that
+
n=1
B(
n
) B().
13. Show that H
+
n=1
B(
n
).
14. Show that B() =
+
n=1
B(
n
)
Theorem 27 Let (
n
, T
n
)
n1
be a sequence of topological spaces
with countable base. Then, the product space (
+
n=1
n
,
+
n=1
T
n
) has
a countable base and:
B
_
+
n=1
n
_
=
+
n=1
B(
n
)
Exercise 18.
1. Show that if (, T ) has a countable base and n 1:
B(
n
) = B() . . . B()
. .
n
2. Show that B(
R
n
) = B(
R) . . . B(
R).
3. Show that B(C) = B(R) B(R).
Denition 58 We say that a metric space (E, d) is separable, if
and only if there exists a nite or countable dense subset of E, i.e.
a nite or countable subset A of E such that E =

A, where

A is the
closure of A in E.
Exercise 19. Let (E, d) be a metric space.
1. Suppose that (E, d) is separable. Let H = B(x
n
,
1
p
) : n, p 1,
where x
n
: n 1 is a countable dense subset in E. Show that
H is a countable base of the metric topological space (E, T
d
E
).
2. Suppose conversely that (E, T
d
E
) has a countable base H. For
all V H such that V ,= , take x
V
V . Show that the set
x
V
: V H , V ,= is at most countable and dense in E.
3. For all x, y, x
, y
E, show that:
[d(x, y) d(x
, y
)[ d(x, x
) +d(y, y
)
4. Let T
EE
be the product topology on E E. Show that the
map d : (E E, T
EE
) (R
+
, T
R
+) is continuous.
5. Show that d : (E E, B(E E)) (
R, B(
R)) is measurable.
6. Show that d : (EE, B(E)B(E)) (
R, B(
R)) is measurable,
whenever (E, d) is a separable metric space.
7. Let (, T) be a measurable space and f, g : (, T) (E, B(E))
be measurable maps. Show that : (, T) EE dened by
() = (f(), g()) is measurable with respect to the product
-algebra B(E) B(E).
8. Show that if (E, d) is separable, then : (, T) (
R, B(
R))
dened by () = d(f(), g()) is measurable.
9. Show that if (E, d) is separable then f = g T.
10. Let (E
n
, d
n
)
n1
be a sequence of separable metric spaces. Show
that the product space
+
n=1
E
n
is metrizable and separable.
Exercise 20. Prove the following theorem.
Theorem 28 Let (
i
, T
i
)
iI
be a family of measurable spaces and
(, T) be a measurable space. For all i I, let f
i
:
i
be a map,
and dene f :
iI
i
by f() = (f
i
())
iI
. Then, the map:
f : (, T)
_
iI
i
,
iI
T
i
_
is measurable, if and only if each f
i
: (, T) (
i
, T
i
) is measurable.
Exercise 21.
1. Let , : R
2
R with (x, y) = x + y and (x, y) = x.y.
Show that both and are continuous.
2. Show that , : (R
2
, B(R)B(R))(

R, B(
R)) are measurable.

3. Let (, T) be a measurable space, and f, g : (, T) (R, B(R))
be measurable maps. Using the previous results, show that f +g
and f.g are measurable with respect to T and B(R).
Tutorial 7: Fubini Theorem 1
7. Fubini Theorem
Denition 59 Let (
1
, F
1
) and (
2
, F
2
) be two measurable spaces.
Let E
1

2
. For all
1

1
, we call
1
-section of E in
2
,
the set:
E
1

= {
2

2
: (
1
,
2
) E}
Exercise 1. Let (
1
, F
1
) and (
2
, F
2
) be two measurable spaces.
Given
1

1
, dene:
1

= {E
1
2
, E
1
F
2
}
1. Show that for all
1

1
,
1
is a -algebra on
1

2
.
1

1
, F
1
F
2

1
.
1

1
and E F
1
F
2
, we have E
1
F
2
.
4. Show that the map 1
E
(
1
, ) is measurable with respect
to F
2
and B(
R), for all

1

1
and E F
1
F
2
.
5. Let s be a simple function on (
1
2
, F
1
F
2
). Show that for
all
1

1
, the map s(
1
, ) is measurable with respect
to F
2
and B(
R).
6. Let f : (
1

2
, F
1
F
2
) [0, +] be a non-negative, mea-
surable map. Show that for all
1

1
, the map f(
1
, )
is measurable with respect to F
2
and B(
R).
7. Let f : (
1

2
, F
1
F
2
) (
R, B(
R)) be a measurable map.

Show that for all
1

1
, the map f(
1
, ) is measurable
with respect to F
2
and B(
R).
8. Show the following theorem:
Theorem 29 Let (E, d) be a metric space, and (
1
, F
1
), (
2
, F
2
)
be two measurable spaces. Let f : (
1
2
, F
1
F
2
) (E, B(E)) be
a measurable map . Then for all
1

1
, the map f(
1
, ) is
measurable with respect to F
2
and B(E).
Exercise 2. Let (
i
, F
i
)
iI
be a family of measurable spaces with
cardI 2. Let f : (
iI
i
,
iI
F
i
) (E, B(E)) be a measurable
map, where (E, d) be a metric space. Let i
1
I. Put E
1
=
i
1
,
E
1
= F
i
1
, E
2
=
iI\{i
1
}
i
, E
2
=
iI\{i
1
}
F
i
.
1. Explain why f can be viewed as a map dened on E
1
E
2
.
2. Show that f : (E
1
E
2
, E
1
E
2
) (E, B(E)) is measurable.
3. For all
i
1

i
1
, show that the map f(
i
1
, ) dened on
iI\{i
1
}
i
is measurable w.r. to
iI\{i
1
}
F
i
and B(E).
Denition 60 Let (, F, ) be a measure space. (, F, ) is said to
be a nite measure space, or we say that is a nite measure,
if and only if () < +.
Denition 61 Let (, F, ) be a measure space. (, F, ) is said
to be a -nite measure space, or a -nite measure, if and
only if there exists a sequence (
n
)
n1
in F such that
n
and
(
n
) < +, for all n 1.
Exercise 3. Let (, F, ) be a measure space.
1. Show that (, F, ) is -nite if and only if there exists a se-
quence (
n
)
n1
in F such that =
+
n=1
n
, and (
n
) < +
for all n 1.
2. Show that if (, F, ) is nite, then has values in R
+
.
3. Show that if (, F, ) is nite, then it is -nite.
4. Let F : R R be a right-continuous, non-decreasing map.
Show that the measure space (R, B(R), dF) is -nite, where
dF is the stieltjes measure associated with F.
Exercise 4. Let (
1
, F
1
) be a measurable space, and (
2
, F
2
,
2
) be
a -nite measure space. For all E F
1
F
2
and
1

1
, dene:
E
(
1
)

=
2
1
E
(
1
, x)d
2
(x)
Let D be the set of subsets of
1
2
, dened by:
D

= {E F
1
F
2
:
E
: (
1
, F
1
) (
R, B(
R)) is measurable}
1. Explain why for all E F
1
F
2
, the map
E
is well dened.
2. Show that F
1
F
2
D.
3. Show that if
2
is nite, A, B D and A B, then B \ A D.
4. Show that if E
n
F
1
F
2
, n 1 and E
n
E, then
E
n

E
.
5. Show that if
2
is nite then D is a dynkin system on
1
2
.
6. Show that if
2
is nite, then the map
E
: (
1
, F
1
)(
R, B(
R))
is measurable, for all E F
1
F
2
.
7. Let (
n
2
)
n1
in F
2
be such that
n
2

2
and
2
(
n
2
) < +.
Dene
n
2
=
n
2
2
=
2
(
n
2
). For E F
1
F
2
, we put:
n
E
(
1
)

=
2
1
E
(
1
, x)d
n
2
(x)
Show that
n
E
: (
1
, F
1
) (
R, B(
R)) is measurable, and:
n
E
(
1
) =
2
1
n
2
(x)1
E
(
1
, x)d
2
(x)
Deduce that
n
E

E
.
8. Show that the map
E
: (
1
, F
1
) (
R, B(
R)) is measurable,
for all E F
1
F
2
.
1

2
, F
1
F
2
). Show that
the map
2
s(, x)d
2
(x) is well dened and measurable
with respect to F
1
and B(
R).
10. Show the following theorem:
Theorem 30 Let (
1
, F
1
) be a measurable space, and (
2
, F
2
,
2
)
be a -nite measure space. Then for all non-negative and measurable
map f : (
1

2
, F
1
F
2
) [0, +], the map:

2
f(, x)d
2
(x)
is measurable with respect to F
1
and B(
R).
Exercise 5. Let (
i
, F
i
)
iI
be a family of measurable spaces, with
cardI 2. Let i
0
I, and suppose that
0
is a -nite measure
on (
i
0
, F
i
0
). Show that if f : (
iI
i
,
iI
F
i
) [0, +] is a non-
negative and measurable map, then:

i
0
f(, x)d
0
(x)
dened on
iI\{i
0
}
i
, is measurable w.r. to
iI\{i
0
}
F
i
and B(
R).
Exercise 6. Let (
1
, F
1
,
1
) and (
2
, F
2
,
2
) be two -nite measure
spaces. For all E F
1
F
2
, we dene:
1

2
(E)

=
2
1
E
(x, y)d
2
(y)
d
1
(x)
1. Explain why
1
2
: F
1
F
2
[0, +] is well dened.
2. Show that
1
2
is a measure on F
1
F
2
.
3. Show that if AB F
1
F
2
, then:
1

2
(A B) =
1
(A)
2
(B)
Exercise 7. Further to ex. (6), suppose that : F
1
F
2
[0, +]
is another measure on F
1
F
2
with (A B) =
1
(A)
2
(B), for all
measurable rectangle AB. Let (
n
1
)
n1
and (
n
2
)
n1
be sequences
in F
1
and F
2
respectively, such that
n
1

1
,
n
2

2
,
1
(
n
1
) < +
and
2
(
n
2
) < +. Dene, for all n 1:
D
n
= {E F
1
F
2
: (E (
n
1

n
2
)) =
1
2
(E (
n
1

n
2
))}
1. Show that for all n 1, F
1
F
2
D
n
.
2. Show that for all n 1, D
n
is a dynkin system on
1
2
.
3. Show that =
1

2
.
4. Show that (
1
2
, F
1
F
2
,
1
2
) is a -nite measure space.
5. Show that for all E F
1
F
2
, we have:
1

2
(E) =
1
1
E
(x, y)d
1
(x)
d
2
(y)
Exercise 8. Let (
1
, F
1
,
1
), . . . , (
n
, F
n
,
n
) be n -nite measure
spaces, n 2. Let i
0
{1, . . . , n} and put E
1
=
i
0
, E
2
=
i=i
0
i
,
E
1
= F
i
0
and E
2
=
i=i
0
F
i
. Put
1
=
i
0
, and suppose that
2
is
a -nite measure on (E
2
, E
2
) such that for all measurable rectangle
i=i
0
A
i

i=i
0
F
i
, we have
2
(
i=i
0
A
i
) =
i=i
0
i
(A
i
).
1. Show that
1

2
is a -nite measure on the measure space
(
1
. . .
n
, F
1
. . . F
n
) such that for all measurable
rectangles A
1
. . . A
n
, we have:
1

2
(A
1
. . . A
n
) =
1
(A
1
) . . .
n
(A
n
)
2. Show by induction the existence of a measure on F
1
. . .F
n
,
such that for all measurable rectangles A
1
. . . A
n
, we have:
(A
1
. . . A
n
) =
1
(A
1
) . . .
n
(A
n
)
3. Show the uniqueness of such measure, denoted
1
. . .
n
.
4. Show that
1
. . .
n
is -nite.
5. Let i
0
{1, . . . , n}. Show that
i
0
(
i=i
0
i
) =
1
. . .
n
.
Denition 62 Let (
1
, F
1
,
1
), . . . , (
n
, F
n
,
n
) be n -nite mea-
sure spaces, with n 2. We call product measure of
1
, . . . ,
n
,
the unique measure on F
1
. . . F
n
, denoted
1
. . .
n
, such that
for all measurable rectangles A
1
. . . A
n
in F
1
. . . F
n
, we have:
1
. . .
n
(A
1
. . . A
n
) =
1
(A
1
) . . .
n
(A
n
)
This measure is itself -nite.
Exercise 9. Prove that the following denition is legitimate:
Denition 63 We call lebesgue measure in R
n
, n 1, the
unique measure on (R
n
, B(R
n
)), denoted dx, dx
n
or dx
1
. . . dx
n
, such
that for all a
i
b
i
, i = 1, . . . , n, we have:
dx([a
1
, b
1
] . . . [a
n
, b
n
]) =
n
i=1
(b
i
a
i
)
Exercise 10.
1. Show that (R
n
, B(R
n
), dx
n
) is a -nite measure space.
2. For n, p 1, show that dx
n+p
= dx
n
dx
p
.
Exercise 11. Let (
1
, F
1
,
1
) and (
2
, F
2
,
2
) be -nite.
1
2
, F
1
F
2
). Show that:
2
sd
1

2
=
2
sd
2
d
1
=
1
sd
1
d
2
2. Show the following:
Theorem 31 (Fubini) Let (
1
, F
1
,
1
) and (
2
, F
2
,
2
) be two -
nite measure spaces. Let f : (
1

2
, F
1
F
2
) [0, +] be a
non-negative and measurable map. Then:
2
fd
1

2
=
2
fd
2
d
1
=
1
fd
1
d
2
Exercise 12. Let (
1
, F
1
,
1
), . . . , (
n
, F
n
,
n
spaces, n 2. Let f : (
1
. . .
n
, F
1
. . . F
n
) [0, +] be a
non-negative, measurable map. Let be a permutation of N
n
, i.e. a
bijection from N
n
to itself.
1. For all
i=(1)
i
, dene:
J
1
()

=
(1)
f(, x)d
(1)
(x)
Explain why J
1
: (
i=(1)
i
,
i=(1)
F
i
) [0, +] is a well
dened, non-negative and measurable map.
2. Suppose J
k
: (
i{(1),...,(k)}
i
,
i{(1),...,(k)}
F
i
) [0, +]
is a non-negative, measurable map, for 1 k < n 2. Dene:
J
k+1
()

=
(k+1)
J
k
(, x)d
(k+1)
(x)
and show that:
J
k+1
: (
i{(1),...,(k+1)}
i
,
i{(1),...,(k+1)}
F
i
) [0, +]
is also well-dened, non-negative and measurable.
3. Propose a rigorous denition for the following notation:
(n)
. . .
(1)
fd
(1)
. . . d
(n)
Exercise 13. Further to ex. (12), Let (f
p
)
p1
be a sequence of non-
negative and measurable maps:
f
p
: (
1
. . .
n
, F
1
. . . F
n
) [0, +]
such that f
p
f. Dene similarly:
J
p
1
()

=
(1)
f
p
(, x)d
(1)
(x)
J
p
k+1
()

=
(k+1)
J
p
k
(, x)d
(k+1)
(x) , 1 k < n 2
1. Show that J
p
1
J
1
.
2. Show that if J
p
k
J
k
, then J
p
k+1
J
k+1
, 1 k < n 2.
3. Show that:
(n)
. . .
(1)
f
p
d
(1)
. . . d
(n)

(n)
. . .
(1)
fd
(1)
. . . d
(n)
4. Show that the map : F
1
. . . F
n
[0, +], dened by:
(E) =
(n)
. . .
(1)
1
E
d
(1)
. . . d
(n)
is a measure on F
1
. . . F
n
.
5. Show that for all E F
1
. . . F
n
, we have:
1
. . .
n
(E) =
(n)
. . .
(1)
1
E
d
(1)
. . . d
(n)
Theorem 32 Let (
1
, F
1
,
1
), . . . , (
n
, F
n
,
n
) be n -nite mea-
sure spaces, with n 2. Let f : (
1
. . .
n
, F
1
. . .F
n
) [0, +]
be a non-negative and measurable map. let be a permutation of N
n
.
Then:
1
...
n
fd
1
. . .
n
=
(n)
. . .
(1)
fd
(1)
. . . d
(n)
Exercise 14. Let (, F, ) be a measure space. Dene:
L
1

= {f :

R , g L
1
R
(, F, ) , f = g -a.s.}
1. Show that if f L
1
, then |f| < +, -a.s.
2. Suppose there exists A , such that A F and A N for
some N F with (N) = 0. Show that 1
A
L
1
and 1
A
is not
measurable with respect to F and B(
R).
3. Explain why if f L
1
, the integrals
|f|d and

fd may not
be well dened.
4. Suppose that f : (, F) (
R, B(
R)) is a measurable map with
|f|d < +. Show that f L

1
.
5. Show that if f L
1
and f = f
1
-a.s. then f
1
L
1
.
6. Suppose that f L
1
and g
1
, g
2
L
1
R
(, F, ) are such that
f = g
1
-a.s. and f = g
2
-a.s.. Show that

g
1
d =
g
2
d.
7. Propose a denition of the integral

fd for f L
1
which
extends the integral dened on L
1
R
(, F, ).
Exercise 15. Further to ex. (14), Let (f
n
)
n1
be a sequence in L
1
,
and f, h L
1
, with f
n
f -a.s. and for all n 1, |f
n
| h -a.s..
1. Show the existence of N
1
F, (N
1
) = 0, such that for all
N
c
1
, f
n
() f(), and for all n 1, |f
n
()| h().
2. Show the existence of g
n
, g, h
1
L
1
R
(, F, ) and N
2
F,
(N
2
) = 0, such that for all N
c
2
, g() = f(), h() = h
1
(),
and for all n 1, g
n
() = f
n
().
3. Show the existence of N F, (N) = 0, such that for all
N
c
, g
n
() g(), and for all n 1, |g
n
()| h
1
().
4. Show that the Dominated Convergence Theorem can be applied
to g
n
1
N
c, g1
N
c and h
1
1
N
c.
5. Recall the denition of

|f
n
f|d when f, f
n
L
1
.
6. Show that

|f
n
f|d 0.
Exercise 16. Let (
1
, F
1
,
1
) and (
2
, F
2
,
2
) be two -nite mea-
sure spaces. let f be an element of L
1
R
(
1

2
, F
1
F
2
,
1

2
).
1. Let A = {
1

1
:

2
|f(
1
, x)|d
2
(x) < +}. Show that
A F
1
and
1
(A
c
) = 0.
2. Show that f(
1
, .) L
1
R
(
2
, F
2
,
2
) for all
1
A.
3. Show that

I(
1
) =

2
f(
1
, x)d
2
(x) is well dened for all
1
A. Let I be an arbitrary extension of

I, on
1
.
4. Dene J = I1
A
. Show that:
J() = 1
A
()
2
f
+
(, x)d
2
(x) 1
A
()
2
f
(, x)d
2
(x)
5. Show that J is F
1
-measurable and R-valued.
6. Show that J L
1
R
(
1
, F
1
,
1
) and that J = I
1
-a.s.
7. Propose a denition for the integral:
2
f(x, y)d
2
(y)
d
1
(x)
8. Show that

1
(1
A
2
f
+
d
2
)d
1
=
2
f
+
d
1

2
.
9. Show that:
2
f(x, y)d
2
(y)
d
1
(x) =
2
fd
1

2
10. Prove the following:
Theorem 33 Let (
1
, F
1
,
1
) and (
2
, F
2
,
2
) be two -nite mea-
sure spaces. Let f L
1
C
(
1

2
, F
1
F
2
,
1

2
). Then, the map:
2
f(
1
, x)d
2
(x)
is
1
-almost surely equal to an element of L
1
C
(
1
, F
1
,
1
) and:
2
f(x, y)d
2
(y)
d
1
(x) =
2
fd
1
2
Exercise 17. Let (
1
, F
1
,
1
),. . . ,(
n
, F
n
,
n
spaces, n 2. Let f L
1
C
(
1
. . .
n
, F
1
. . . F
n
,
1
. . .
n
).
Let be a permutation of N
n
.
1. For all
i=(1)
i
, dene:
J
1
()

=
(1)
f(, x)d
(1)
(x)
Explain why J
1
is well dened and equal to an element of
L
1
C
(
i=(1)
i
,
i=(1)
F
i
,
i=(1)
i
),
i=(1)
i
-almost surely.
2. Suppose 1 k < n 2 and that

J
k
is well dened and equal to
an element of:
L
1
C
(
i{(1),...,(k)}
i
,
i{(1),...,(k)}
F
i
,
i{(1),...,(k)}
i
)
i{(1),...,(k)}
i
-almost surely. Dene:
J
k+1
()

=
(k+1)
J
k
(, x)d
(k+1)
(x)
What can you say about J
k+1
.
3. Show that:
(n)
. . .
(1)
fd
(1)
. . . d
(n)
is a well dened complex number. (Propose a denition for it).
4. Show that:
(n)
. . .
(1)
fd
(1)
. . . d
(n)
=
1
...
n
fd
1
. . .
n
Tutorial 8: Jensen inequality 1
8. Jensen inequality
Denition 64 Let a, b

R, with a < b. Let : ]a, b[ R be an
R-valued function. We say that is a convex function, if and only
if, for all x, y ]a, b[ and t [0, 1], we have:
(tx + (1 t)y) t(x) + (1 t)(y)
Exercise 1. Let a, b

R, with a < b. Let : ]a, b[ R be a map.
1. Show that : ]a, b[ R is convex, if and only if for all x
1
, . . . , x
n
in ]a, b[ and
1
, . . . ,
n
in R
+
with
1
+. . . +
n
= 1, n 1, we
have:
(
1
x
1
+. . . +
n
x
n
)
1
(x
1
) +. . .
n
(x
n
)
2. Show that : ]a, b[ R is convex, if and only if for all x, y, z
with a < x < y < z < b we have:
(y)
z y
z x
(x) +
y x
z x
(z)
3. Show that : ]a, b[ R is convex if and only if for all x, y, z
with a < x < y < z < b, we have:
(y) (x)
y x

(z) (y)
z y
4. Let : ]a, b[R be convex. Let x
0
]a, b[, and u, u
, v, v
]a, b[
be such that u < u
< x
0
< v < v
. Show that for all x ]x

0
, v[:
(u
) (u)
u
u

(x) (x
0
)
x x
0
(v
) (v)
v
v
and deduce that lim
xx
0
(x) = (x
0
)
5. Show that if : ]a, b[ R is convex, then is continuous.
6. Dene : [0, 1] R by (0) = 1 and (x) = 0 for all x ]0, 1].
Show that (tx+(1 t)y) t(x) +(1t)(y), x, y, t [0, 1],
but that fails to be continuous on [0, 1].
Denition 65 Let (, T ) be a topological space. We say that (, T )
is a compact topological space if and only if, for all family (V
i
)
iI
of open sets in , such that =
iI
V
i
, there exists a nite subset
{i
1
, . . . , i
n
} of I such that = V
i
1
. . . V
i
n
.
In short, we say that (, T ) is compact if and only if, from any open
covering of , one can extract a nite sub-covering.
Denition 66 Let (, T ) be a topological space, and K . We
say that K is a compact subset of , if and only if the induced
topological space (K, T
|K
) is a compact topological space.
Exercise 2. Let (, T ) be a topological space.
1. Show that if (, T ) is compact, it is a compact subset of itself.
2. Show that is a compact subset of .
3. Show that if
and K is a compact subset of
, then K
is also a compact subset of .
4. Show that if (V
i
)
iI
is a family of open sets in such that
K
iI
V
i
, then K =
iI
(V
i
K) and V
i
K is open in K
for all i I.
5. Show that K is a compact subset of , if and only if for any
family (V
i
)
iI
of open sets in such that K
iI
V
i
, there is
a nite subset {i
1
, . . . , i
n
} of I such that K V
i
1
. . . V
i
n
.
6. Show that if (, T ) is compact and K is closed in , then K is
a compact subset of .
Exercise 3. Let a, b R, a < b. Let (V
i
)
iI
be a family of open
sets in R such that [a, b]
iI
V
i
. We dene A as the set of all
x [a, b] such that [a, x] can be covered by a nite number of V
i
s.
Let c = sup A.
1. Show that a A.
2. Show that there is > 0 such that a + A.
3. Show that a < c b.
4. Show the existence of i
0
I and c
, c
with a < c
< c < c
,
such that ]c
, c
] V
i
0
.
5. Show that [a, c
] can be covered by a nite number of V

i
s.
6. Show that [a, c
] can be covered by a nite number of V

i
s.
7. Show that b c
c and conclude that c = b.

8. Show that [a, b] is a compact subset of R.
Theorem 34 Let a, b R, a < b. The closed interval [a, b] is a
compact subset of R.
Denition 67 Let (, T ) be a topological space. We say that (, T )
is a hausdor topological space, if and only if for all x, y
with x = y, there exists open sets U and V in , such that:
x U , y V , U V =
1. Show that if (, T ) is hausdor and
, then the induced

topological space (
, T
|
) is itself hausdor.
2. Show that if (, T ) is metrizable, then it is hausdor.
3. Show that any subset of

R is hausdor.
4. Let (
i
, T
i
)
iI
be a family of hausdor topological spaces. Show
that the product topological space
iI
i
is hausdor.
Exercise 5. Let (, T ) be a hausdor topological space. Let K be
a compact subset of and suppose there exists y K
c
.
1. Show that for all x K, there are open sets V
x
, W
x
in , such
that y V
x
, x W
x
and V
x
W
x
= .
2. Show that there exists a nite subset {x
1
, . . . , x
n
} of K such
that K W
y
where W
y
= W
x
1
. . . W
x
n
.
3. Let V
y
= V
x
1
. . .V
x
n
. Show that V
y
is open and V
y
W
y
= .
4. Show that y V
y
K
c
.
5. Show that K
c
=
yK
cV
y
6. Show that K is closed in .
Theorem 35 Let (, T ) be a hausdor topological space. For all
K , if K is a compact subset, then it is closed.
Denition 68 Let (E, d) be a metric space. For all A E, we
call diameter of A with respect to d, the element of

R denoted (A),
dened as (A) = sup{d(x, y) : x, y A}, with the convention that
() = .
Denition 69 Let (E, d) be a metric space, and A E. We say that
A is bounded, if and only if its diameter is nite, i.e. (A) < +.
Exercise 6. Let (E, d) be a metric space. Let A E.
1. Show that (A) = 0 if and only if A = {x} for some x E.
2. Let :

R [1, 1] be an increasing homeomorphism. Dene
d
(x, y) = |x y| and d
(x, y) = |(x) (y)|, for all x, y R.

Show that d
is a metric on R inducing the usual topology on

R. Show that R is bounded with respect to d
but not with

respect to d
.
3. Show that if K E is a compact subset of E, for all > 0,
there is a nite subset {x
1
, . . . , x
n
} of K such that:
K B(x
1
, ) . . . B(x
n
, )
4. Show that any compact subset of any metrizable topological
space (, T ), is bounded with respect to any metric inducing
the topology T .
Exercise 7. Suppose K is a closed subset of R which is bounded
with respect to the usual metric on R.
1. Show that there exists M R
+
such that K [M, M].
2. Show that K is also closed in [M, M].
3. Show that K is a compact subset of [M, M].
4. Show that K is a compact subset of R.
5. Show that any compact subset of R is closed and bounded.
Theorem 36 A subset of R is compact if and only if it is closed,
and bounded with respect to the usual metric on R.
Exercise 8. Let (, T ) and (S, T
S
) be two topological spaces. Let
f : (, T ) (S, T
S
) be a continuous map.
1. Show that if (W
i
)
iI
is an open covering of f(), then the family
(f
1
(W
i
))
iI
is an open covering of .
2. Show that if (, T ) is a compact topological space, then f()
is a compact subset of (S, T
S
).
Exercise 9.
1. Show that (
R, T
R
2. Show that any compact subset of R is a compact subset of

R.
3. Show that a subset of

R is compact if and only if it is closed.
4. Let A be a non-empty subset of

R, and let = sup A. Show
that if = , then for all U T
R
with U, there exists
R with < and ], ] U. Conclude that

A.
5. Show that if A is a non-empty closed subset of

R, then we have
supA A and inf A A.
6. Consider A = {x R , sin(x) = 0}. Show that A is closed in
R, but that supA A and inf A A.
7. Show that if A is a non-empty, closed and bounded subset of R,
then supA A and inf A A.
Exercise 10. Let (, T ) be a compact, non-empty topological space.
Let f : (, T ) (
R, T
R
) be a continuous map.
1. Show that if f() R, the continuity of f with respect to T
R
is equivalent to the continuity of f with respect to T
R
.
Theorem 37 Let f : (, T ) (
R, T
R
) be a continuous map, where
(, T ) is a non-empty topological space. Then, if (, T ) is compact,
f attains its maximum and minimum, i.e. there exist x
m
, x
M
,
such that:
f(x
m
) = inf
x
f(x) , f(x
M
) = sup
x
f(x)
Exercise 11. Let a, b R, a < b. Let f : [a, b] R be continuous
on [a, b], and dierentiable on ]a, b[, with f(a) = f(b).
1. Show that if c ]a, b[ and f(c) = sup
x[a,b]
f(x), then f
(c) = 0.
Theorem 38 (Rolle) Let a, b R, a < b. Let f : [a, b] R be
continuous on [a, b], and dierentiable on ]a, b[, with f(a) = f(b).
Then, there exists c ]a, b[ such that f
(c) = 0.
Exercise 12. Let a, b R, a < b. Let f : [a, b] R be continuous
on [a, b] and dierentiable on ]a, b[. Dene:
h(x)

= f(x) (x a)
f(b) f(a)
b a
1. Show that h is continuous on [a, b] and dierentiable on ]a, b[.
2. Show the existence of c ]a, b[ such that:
f(b) f(a) = (b a)f
(c)
Exercise 13. Let a, b R, a < b. Let f : [a, b] R be a map.
Let n 0. We assume that f is of class C
n
on [a, b], and that f
(n+1)
exists on ]a, b[. Dene:
h(x)

= f(b) f(x)
n
k=1
(b x)
k
k!
f
(k)
(x)
(b x)
n+1
(n + 1)!
where is chosen such that h(a) = 0.
1. Show that h is continuous on [a, b] and dierentiable on ]a, b[.
2. Show that for all x ]a, b[:
h
(x) =
(b x)
n
n!
( f
(n+1)
(x))
Theorem 39 (Taylor-Lagrange) Let a, b R, a < b, and n 0.
Let f : [a, b] R be a map of class C
n
on [a, b] such that f
(n+1)
exists on ]a, b[. Then, there exists c ]a, b[ such that:
f(b) f(a) =
n
k=1
(b a)
k
k!
f
(k)
(a) +
(b a)
n+1
(n + 1)!
f
(n+1)
(c)

R, a < b and : ]a, b[ R be dierentiable.
1. Show that if is convex, then for all x, y ]a, b[, x < y, we have:
(x)
(y)
2. Show that if x, y, z ]a, b[ with x < y < z, there are c
1
, c
2
]a, b[,
with c
1
< c
2
and:
(y) (x) =
(c
1
)(y x)
(z) (y) =
(c
2
)(z y)
3. Show conversely that if
is non-decreasing, then is convex.

4. Show that x e
x
is convex on R.
5. Show that x ln(x) is convex on ]0, +[.
Denition 70 we say that a nite measure space (, F, P) is a
probability space, if and only if P() = 1.
Denition 71 Let (, F, P) be a probability space, and (S, ) be
a measurable space. We call random variable w.r. to (S, ), any
measurable map X : (, F) (S, ).
Denition 72 Let (, F, P) be a probability space. Let X be a non-
negative random variable, or an element of L
1
C
(, F, P). We call
expectation of X, denoted E[X], the integral:
E[X]

=
XdP

R, a < b and : ]a, b[R be a convex map.
Let (, F, P) be a probability space and X L
1
R
(, F, P) be such
that X() ]a, b[.
1. Show that X : (, F) (R, B(R)) is measurable.
2. Show that X L
1
R
(, F, P), if and only if E[| X|] < +.
3. Show that if E[X] = a, then a R and X = a P-a.s.
4. Show that if E[X] = b, then b R and X = b P-a.s.
5. Let m = E[X]. Show that m ]a, b[.
6. Dene:

= sup
x]a,m[
(m) (x)
mx
Show that R and that for all z ]m, b[, we have:

(z) (m)
z m
7. Show that for all x ]a, b[, we have (m) +(x m) (x).
8. Show that for all , (m) +(X() m) (X()).
9. Show that if X L
1
R
(, F, P) then (m) E[ X].
Theorem 40 (Jensen inequality) Let (, F, P) be a probability
space. Let a, b

R, a < b and : ]a, b[ R be a convex map.
Suppose that X L
1
R
(, F, P) is such that X() ]a, b[ and such
that X L
1
R
(, F, P). Then:
(E[X]) E[ X]
Tutorial 9: L
p
-spaces, p [1, +] 1
9. L
p
-spaces, p [1, +]
In the following, (, F, ) is a measure space.
Exercise 1. Let f, g : (, F) [0, +] be non-negative and mea-
surable maps. Let p, q R
+
, such that 1/p + 1/q = 1.
1. Show that 1 < p < + and 1 < q < +.
2. For all ]0, +[, we dene
: [0, +] [0, +] by:
(x)

=
_
x
if x R
+
+ if x = +
Show that
is a continuous map.
3. Dene A = (
_
f
p
d)
1/p
, B = (
_
g
q
d)
1/q
and C =
_
fgd.
Explain why A, B and C are well dened elements of [0, +].
4. Show that if A = 0 or B = 0 then C AB.
5. Show that if A = + or B = + then C AB.
Tutorial 9: L
p
-spaces, p [1, +] 2
6. We assume from now on that 0 < A < + and 0 < B < +.
Dene F = f/A and G = g/B. Show that:
_
F
p
d =
_
G
p
d = 1
7. Let a, b ]0, +[. Show that:
ln(a) + ln(b) ln
_
1
p
a
p
+
1
q
b
q
_
and:
ab
1
p
a
p
+
1
q
b
q
Prove this last inequality for all a, b [0, +].
8. Show that for all , we have:
F()G()
1
p
(F())
p
+
1
q
(G())
q
Tutorial 9: L
p
-spaces, p [1, +] 3
9. Show that C AB.
Theorem 41 (Holders inequality) Let (, F, ) be a measure
space and f, g : (, F) [0, +] be two non-negative and measurable
maps. Let p, q R
+
be such that 1/p + 1/q = 1. Then:
_
fgd
__
f
p
d
_
1
p
__
g
q
d
_
1
q
Theorem 42 (Cauchy-Schwarzs inequality:rst)
Let (, F, ) be a measure space and f, g : (, F) [0, +] be two
non-negative and measurable maps. Then:
_
fgd
__
f
2
d
_
1
2
__
g
2
d
_
1
2
Tutorial 9: L
p
-spaces, p [1, +] 4
measurable maps. Let p ]1, +[. Dene A = (
_
f
p
d)
1/p
and
B = (
_
g
p
d)
1/p
and C = (
_
(f +g)
p
d)
1/p
.
1. Explain why A, B and C are well dened elements of [0, +].
2. Show that for all a, b ]0, +[, we have:
(a +b)
p
2
p1
(a
p
+b
p
)
Prove this inequality for all a, b [0, +].
3. Show that if A = + or B = + or C = 0 then C A+B.
4. Show that if A < + and B < + then C < +.
5. We assume from now that A, B [0, +[ and C ]0, +[.
Show the existence of some q R
+
such that 1/p + 1/q = 1.
6. Show that for all a, b [0, +], we have:
(a +b)
p
= (a +b).(a +b)
p1
Tutorial 9: L
p
-spaces, p [1, +] 5
7. Show that:
_
f.(f +g)
p1
d AC
p
q
_
g.(f +g)
p1
d BC
p
q
8. Show that:
_
(f +g)
p
d C
p
q
(A +B)
9. Show that C A +B.
10. Show that the inequality still holds if we assume that p = 1.
Theorem 43 (Minkowskis inequality) Let (, F, ) be a mea-
sure space and f, g : (, F) [0, +] be two non-negative and mea-
surable maps. Let p [1, +[. Then:
__
(f +g)
p
d
_
1
p
__
f
p
d
_
1
p
+
__
g
p
d
_
1
p
Tutorial 9: L
p
-spaces, p [1, +] 6
Denition 73 The L
p
-spaces, p [1, +[, on (, F, ), are:
L
p
R
(, F, )
=
_
f : (, F)(R, B(R)) measurable,
_
|f|
p
d <+
_
L
p
C
(, F, )
=
_
f : (, F)(C, B(C)) measurable,
_
|f|
p
d <+
_
For all f L
p
C
(, F, ), we put:
f
p
=
__
|f|
p
d
_
1
p
Exercise 3. Let p [1, +[. Let f, g L
p
C
(, F, ).
1. Show that L
p
R
(, F, ) = {f L
p
C
(, F, ) , f() R}.
2. Show that L
p
R
3. Show that L
p
C
Tutorial 9: L
p
-spaces, p [1, +] 7
4. Show that f +g
p
f
p
+g
p
.
5. Show that f
p
= 0 f = 0 -a.s.
6. Show that for all C, f
p
= ||.f
p
.
7. Explain why (f, g) f g
p
is not a metric on L
p
C
(, F, )
Denition 74 For all f : (, F) (C, B(C)) measurable, Let:
f
= inf{M R
+
, |f| M -a.s.}
The L
-spaces on a measure space (, F, ) are:

L
R
(, F, )

= {f : (, F) (R, B(R)) measurable, f
< +}
L
C
(, F, )

= {f : (, F) (C, B(C)) measurable, f
< +}
Tutorial 9: L
p
-spaces, p [1, +] 8
Exercise 4. Let f, g L
C
(, F, ).
1. Show that L
R
(, F, ) = {f L
C
(, F, ) , f() R}.
2. Show that |f| f
-a.s.
3. Show that f +g
+g
.
4. Show that L
R
5. Show that L
C
6. Show that f
= 0 f = 0 -a.s..
7. Show that for all C, f
= ||.f
.
8. Explain why (f, g) f g
is not a metric on L
C
(, F, )
Tutorial 9: L
p
-spaces, p [1, +] 9
Denition 75 Let p [1, +]. Let K = R or C. For all > 0 and
f L
p
K
(, F, ), we dene the so-called open ball in L
p
K
(, F, ):
B(f, )

= {g : g L
p
K
(, F, ), f g
p
< }
We call usual topology in L
p
K
(, F, ), the set T dened by:
T

= {U : U L
p
K
(, F, ), f U, > 0, B(f, ) U}
Note that if (f, g) f g
p
was a metric, the usual topology in
L
p
K
(, F, ), would be nothing but the metric topology.
Exercise 5. Let p [1, +]. Suppose there exists N F with
(N) = 0 and N = . Put f = 1
N
and g = 0
1. Show that f, g L
p
C
(, F, ) and f = g.
2. Show that any open set containing f also contains g.
3. Show that L
p
C
(, F, ) and L
p
R
(, F, ) are not Hausdor.
Tutorial 9: L
p
-spaces, p [1, +] 10
Exercise 6. Show that the usual topology on L
p
R
(, F, ) is induced
by the usual topology on L
p
C
(, F, ), where p [1, +].
Denition 76 Let (E, T ) be a topological space. A sequence (x
n
)
n1
in E is said to converge to x E, and we write x
n
T
x, if and only
if, for all U T such that x U, there exists n
0
1 such that:
n n
0
x
n
U
When E = L
p
C
(, F, ) or E = L
p
R
(, F, ), we write x
n
L
p
x.
Exercise 7. Let (E, T ) be a topological space and E
E. Let
T
= T
|E
be the induced topology on E
. Show that if (x
n
)
n1
is a
sequence in E
and x E
, then x
n
T
x is equivalent to x
n
T
x.
Exercise 8. Let f, g, (f
n
)
n1
be in L
p
C
(, F, ) and p [1, +].
1. Recall what the notation f
n
f means.
2. Show that f
n
L
p
f is equivalent to f
n
f
p
0.
Tutorial 9: L
p
-spaces, p [1, +] 11
3. Show that if f
n
L
p
f and f
n
L
p
g then f = g -a.s.
Exercise 9. Let p [1, +]. Suppose there exists some N F such
that (N) = 0 and N = . Find a sequence (f
n
)
n1
in L
p
C
(, F, )
and f, g in L
p
C
(, F, ), f = g such that f
n
L
p
f and f
n
L
p
g.
Denition 77 Let (f
n
)
n1
be a sequence in L
p
C
(, F, ), where
(, F, ) is a measure space and p [1, +]. We say that (f
n
)
n1
is
a cauchy sequence, if and only if, for all > 0, there exists n
0
1
such that:
n, m n
0
f
n
f
m
p

Exercise 10. Let f, (f
n
)
n1
be in L
p
C
(, F, ) and p [1, +].
Show that if f
n
L
p
f, then (f
n
)
n1
is a cauchy sequence.
Tutorial 9: L
p
-spaces, p [1, +] 12
Exercise 11. Let p [1, +], and (f
n
)
n1
be cauchy in L
p
C
(, F, ).
1. Show the existence of n
1
1 such that:
n n
1
f
n
f
n
1
p

1
2
2. Suppose we have found n
1
< n
2
< . . . < n
k
, k 1, such that:
j {1, . . . , k} , n n
j
f
n
f
n
j
p

1
2
j
Show the existence of n
k+1
, n
k
< n
k+1
such that:
n n
k+1
f
n
f
n
k+1
p

1
2
k+1
3. Show that there exists a subsequence (f
n
k
)
k1
of (f
n
)
n1
with:
+
k=1
f
n
k+1
f
n
k
p
< +
Tutorial 9: L
p
-spaces, p [1, +] 13
n
)
n1
be in L
p
C
(, F, ), with:
+
n=1
f
n+1
f
n
p
< +
We dene:
g

=
+
n=1
|f
n+1
f
n
|
1. Show that g : (, F) [0, +] is non-negative and measurable.
2. If p = +, show that g
+
n=1
f
n+1
f
n
-a.s.
3. If p [1, +[, show that for all N 1, we have:
_
_
_
_
_
N
n=1
|f
n+1
f
n
|
_
_
_
_
_
p
n=1
f
n+1
f
n
p
Tutorial 9: L
p
-spaces, p [1, +] 14
4. If p [1, +[, show that:
_
_
g
p
d
_
1
p
n=1
f
n+1
f
n
p
5. Show that for p [1, +], we have g < + -a.s.
6. Dene A = {g < +}. Show that for all A, (f
n
())
n1
is
a cauchy sequence in C. We denote z() its limit.
7. Dene f : (, F) (C, B(C)), by:
f()

=
_
z() if A
0 if A
Show that f is measurable and f
n
f -a.s.
8. if p = +, show that for all n 1, |f
n
| |f
1
| +g and conclude
that f L
C
(, F, ).
Tutorial 9: L
p
-spaces, p [1, +] 15
9. If p [1, +[, show the existence of n
0
1, such that:
n n
0

_
|f
n
f
n
0
|
p
d 1
Deduce from Fatous lemma that f f
n
0
L
p
C
(, F, ).
10. Show that for p [1, +], f L
p
C
(, F, ).
11. Suppose that f
n
L
p
R
(, F, ), for all n 1. Show the exis-
tence of f L
p
R
(, F, ), such that f
n
f -a.s.
n
)
n1
be in L
p
C
(, F, ), with:
+
n=1
f
n+1
f
n
p
< +
1. Does there exist f L
p
C
(, F, ) such that f
n
f -a.s.
Tutorial 9: L
p
-spaces, p [1, +] 16
2. Suppose p = +. Show that for all n < m, we have:
|f
m+1
f
n
|
m
k=n
f
k+1
f
k
-a.s.
3. Suppose p = +. Show that for all n 1, we have:
f f
n
k=n
f
k+1
f
k
4. Suppose p [1, +[. Show that for all n < m, we have:

__
|f
m+1
f
n
|
p
d
_
1
p
k=n
f
k+1
f
k
p
5. Suppose p [1, +[. Show that for all n 1, we have:
f f
n
p

+
k=n
f
k+1
f
k
p
Tutorial 9: L
p
-spaces, p [1, +] 17
6. Show that for p [1, +], we also have f
n
L
p
f.
7. Suppose conversely that g L
p
C
(, F, ) is such that f
n
L
p
g.
Show that f = g -a.s.. Conclude that f
n
g -a.s..
Theorem 44 Let (, F, ) be a measure space. Let p [1, +],
and (f
n
)
n1
be a sequence in L
p
C
(, F, ) such that:
+
n=1
f
n+1
f
n
p
< +
Then, there exists f L
p
C
(, F, ) such that f
n
f -a.s. Moreover,
for all g L
p
C
(, F, ), the convergence f
n
g -a.s. and f
n
L
p
g
are equivalent.
Tutorial 9: L
p
-spaces, p [1, +] 18
Exercise 14. Let f, (f
n
)
n1
be in L
p
C
(, F, ) such that f
n
L
p
f,
where p [1, +].
1. Show that there exists a sub-sequence (f
n
k
)
k1
of (f
n
)
n1
, with:
+
k=1
f
n
k+1
f
n
k
p
< +
2. Show that there exists g L
p
C
(, F, ) such that f
n
k
g -a.s.
3. Show that f
n
k
L
p
g and g = f -a.s.
4. Conclude with the following:
Theorem 45 Let (f
n
)
n1
be in L
p
C
(, F, ) and f L
p
C
(, F, )
such that f
n
L
p
f, where p [1, +]. Then, we can extract a sub-
sequence (f
n
k
)
k1
of (f
n
)
n1
such that f
n
k
f -a.s.
Tutorial 9: L
p
-spaces, p [1, +] 19
Exercise 15. Prove the last theorem for L
p
R
(, F, ).
n
)
n1
be cauchy in L
p
C
(, F, ).
1. Show that there exists a subsequence (f
n
k
)
k1
of (f
n
)
n1
and
f belonging to L
p
C
(, F, ), such that f
n
k
L
p
f.
2. Using the fact that (f
n
)
n1
is cauchy, show that f
n
L
p
f.
Theorem 46 Let p [1, +]. Let (f
n
)
n1
be a cauchy sequence in
L
p
C
(, F, ). Then, there exists f L
p
C
(, F, ) such that f
n
L
p
f.
Exercise 17. Prove the last theorem for L
p
R
(, F, ).
Tutorial 10: Bounded Linear Functionals in L
2
1
10. Bounded Linear Functionals in L
2
In the following, (, T, ) is a measure space.
Denition 78 Let (x
n
)
n1
be a sequence in an arbitrary set. We
call subsequence of (x
n
)
n1
, any sequence of the form (x
(n)
)
n1
,
where : N
is a strictly increasing map.

Exercise 1. Let (E, d) be a metric space, with metric topology T .
Let (x
n
)
n1
be a sequence in E. For all n 1, let F
n
be the closure
of the set x
k
: k n.
1. Show that for all x E, x
n
J
x is equivalent to:
> 0 , n
0
1 , n n
0
d(x
n
, x)
2. Show that (F
n
)
n1
is a decreasing sequence of closed sets in E.
3. Show that if F
n
, then (F
c
n
)
n1
is an open covering of E.
2
2
4. Show that if (E, T ) is compact then
+
n=1
F
n
,= .
5. Show that if (E, T ) is compact, there exists x E such that for
all n 1 and > 0, we have B(x, ) x
k
, k n ,= .
6. By induction, construct a subsequence (x
n
p
)
p1
of (x
n
)
n1
such
that x
n
p
B(x, 1/p) for all p 1.
7. Conclude that if (E, T ) is compact, any sequence (x
n
)
n1
in E
has a convergent subsequence.
We assume that any sequence (x
n
)
n1
in E has a convergent subse-
quence. Let (V
i
)
iI
be an open covering of E. For x E, let:
r(x)
Z
= supr > 0 : B(x, r) V
i
, for some i I
1. Show that x E, i I, r > 0, such that B(x, r) V
i
.
2. Show that x E, r(x) > 0.
2
3
Exercise 3. Further to ex. (2), suppose inf
xE
r(x) = 0.
1. Show that for all n 1, there is x
n
E such that r(x
n
) < 1/n.
2. Extract a subsequence (x
n
k
)
k1
of (x
n
)
n1
converging to some
x
E. Let r
> 0 and i I be such that B(x
, r
) V
i
. Show
that we can nd some k
0
1, such that d(x
, x
n
k
0
) < r
/2 and
r(x
n
k
0
) r
/4.
3. Show that d(x
, x
n
k
0
) < r
/2 implies that B(x

n
k
0
, r
/2) V
i
.
Show that this contradicts r(x
n
k
0
) r
/4, and conclude that

inf
xE
r(x) > 0.
Exercise 4. Further to ex. (3), Let r
0
with 0 < r
0
< inf
xE
r(x).
Suppose that E cannot be covered by a nite number of open balls
with radius r
0
.
1. Show the existence of a sequence (x
n
)
n1
in E, such that for all
n 1, x
n+1
, B(x
1
, r
0
) . . . B(x
n
, r
0
).
2
4
2. Show that for all n > m we have d(x
n
, x
m
) r
0
.
3. Show that (x
n
)
n1
cannot have a convergent subsequence.
4. Conclude that there exists a nite subset x
1
, . . . , x
n
of E such
that E = B(x
1
, r
0
) . . . B(x
n
, r
0
).
5. Show that for all x E, we have B(x, r
0
) V
i
for some i I.
6. Conclude that (E, T ) is compact.
Theorem 47 Let (E, T ) be a metrizable topological space. Then
(E, T ) is compact, if and only if for every sequence (x
n
)
n1
in E,
there exists a subsequence (x
n
k
)
k1
of (x
n
)
n1
, and some x E,
such that x
n
k
J
x.
2
5
Exercise 5. Let a, b R , a < b and (x
n
)
n1
be a sequence in ]a, b[.
1. Show that (x
n
)
n1
has a convergent subsequence.
2. Can we conclude that ]a, b[ is a compact subset of R?
Exercise 6. Let E = [M, M] . . . [M, M] R
n
, where n 1
and M R
+
. Let T
R
n be the usual product topology on R
n
, and
T
E
= (T
R
n)
]E
be the induced topology on E.
1. Let (x
p
)
p1
be a sequence in E. Let x E. Show that x
p
J
E
x
is equivalent to x
p
J
R
n
x.
2. Propose a metric on R
n
, inducing the topology T
R
n.
3. Let (x
p
)
p1
be a sequence in R
n
. Let x R
n
. Show that
x
p
J
R
n
x if and only if, x
i
p
J
R
x
i
for all i N
n
.
2
6
Exercise 7. Further to ex. (6), suppose (x
p
)
p1
is a sequence in E.
1. Show the existence of a subsequence (x
(p)
)
p1
of (x
p
)
p1
, such
that x
1
(p)
J
[M,M]
x
1
for some x
1
[M, M].
2. Explain why the above convergence is equivalent to x
1
(p)
J
R
x
1
.
3. Suppose that 1 k n 1 and (y
p
)
p1
= (x
(p)
)
p1
is a
subsequence of (x
p
)
p1
such that:
j = 1, . . . , k , x
j
(p)
J
R
x
j
for some x
j
[M, M]
Show the existence of a subsequence (y
(p)
)
p1
of (y
p
)
p1
such
that y
k+1
(p)
J
R
x
k+1
for some x
k+1
[M, M].
4. Show that : N
is strictly increasing.
5. Show that (x
(p)
)
p1
is a subsequence of (x
p
)
p1
such that:
j = 1, . . . , k + 1 , x
j
(p)
J
R
x
j
[M, M]
2
7
6. Show the existence of a subsequence (x
(p)
)
p1
of (x
p
)
p1
, and
x E, such that x
(p)
J
E
x
7. Show that (E, T
E
Exercise 8. Let A be a closed subset of R
n
, n 1, which is bounded
with respect to the usual metric of R
n
.
1. Show that A E = [M, M]. . .[M, M], for some M R
+
.
2. Show from E A = E A
c
that A is closed in E.
3. Show (A, (T
R
n)
]A
4. Conversely, let A is a compact subset of R
n
. Show that A is
closed and bounded.
Theorem 48 A subset of R
n
, n 1, is compact if and only if it is
closed and bounded (with respect to the usual metric).
2
8
Exercise 9. Let n 1. Consider the map:
:
_
C
n
R
2n
(a
1
+ ib
1
, . . . , a
n
+ ib
n
) (a
1
, b
1
, . . . , a
n
, b
n
)
1. Recall the expressions of the usual metrics d
C
n
and d
R
2n of C
n
and R
2n
respectively.
2. Show that for all z, z
t
C
n
, d
C
n(z, z
t
) = d
R
2n((z), (z
t
)).
3. Show that is a homeomorphism from C
n
to R
2n
.
4. Show that a subset K of C
n
is compact, if and only if (K) is
a compact subset of R
2n
.
5. Show that K is closed, if and only if (K) is closed.
6. Show that K is bounded, if and only if (K) is bounded.
7. Show that a subset K of C
n
is compact, if and only if it is closed
and bounded (with respect to the usual metric).
2
9
Denition 79 Let (E, d) be a metric space. A sequence (x
n
)
n1
in
E, is said to be a cauchy sequence (relative to the metric d), if and
only if, for all > 0, there exists n
0
1 such that:
n, m n
0
d(x
n
, x
m
)
Denition 80 We say that a metric space (E, d) is complete, if
and only if, for all (x
n
)
n1
cauchy sequence in E, there exists x E
such that (x
n
)
n1
converges to x.
Exercise 10.
1. Explain why strictly speaking, given p [1, +], denition (77)
of Cauchy sequences in L
p
C
(, T, ) is not a covered by deni-
tion (79).
2. Explain why L
p
C
(, T, ) is not a complete metric space, despite
theorem (46) and denition (80).
2
10
Exercise 11. Let (z
k
)
k1
be a Cauchy sequence in C
n
, n 1, with
respect to the usual metric d(z, z
t
) = |z z
t
|, where:
|z|
Z
=
_
n
i=1
[z
i
[
2
1. Show that the sequence (z
k
)
k1
is bounded, i.e. that there exists
M R
+
such that |z
k
| M, for all k 1.
2. Dene B = z C
n
, |z| M. Show that (B) < +, and
that B is closed in C
n
.
3. Show the existence of a subsequence (z
k
p
)
p1
of (z
k
)
k1
such
that z
k
p
J
C
n
z for some z B.
4. Show that for all > 0, there exists p
0
1 and n
0
1 such
that d(z, z
k
p
0
) /2 and:
k n
0
d(z
k
, z
k
p
0
) /2
2
11
5. Show that z
k
J
C
n
z.
6. Conclude that C
n
is complete with respect to its usual metric.
7. For which theorem of Tutorial 9 was the completeness of Cused?
Exercise 12. Let (x
k
)
k1
be a sequence in R
n
such that x
k
J
C
n
z,
for some z C
n
.
1. Show that z R
n
.
2. Show that R
n
is complete with respect to its usual metric.
Theorem 49 For all n 1, C
n
and R
n
are complete with respect
to their usual metrics.
2
12
Let F E, and

F denote the closure of F.
1. Explain why, for all x

F and n 1, we have FB(x, 1/n) ,= .
2. Show that for all x

F, there exists a sequence (x
n
)
n1
in F,
such that x
n
J
x.
3. Show conversely that if there is a sequence (x
n
)
n1
in F with
x
n
J
x, then x

F.
4. Show that F is closed if and only if for all sequence (x
n
)
n1
in
F such that x
n
J
x for some x E, we have x F.
5. Explain why (F, T
]F
) is metrizable.
6. Show that if F is complete with respect to the metric d
]FF
,
then F is closed in E.
2
13
7. Let d
R
be a metric on

R, inducing the usual topology T
R
. Show
that d
t
= (d
R
)
]RR
is a metric on R, inducing the topology T
R
.
8. Find a metric on [1, 1] which induces its usual topology.
9. Show that 1, 1 is not open in [1, 1].
10. Show that , + is not open in

R.
11. Show that R is not closed in

R.
12. Let d
R
be the usual metric of R. Show that d
t
= (d
R
)
]RR
and d
R
induce the same topology on R, but that however, R
is complete with respect to d
R
, whereas it cannot be complete
with respect to d
t
.
2
14
Denition 81 Let H be a K-vector space, where K = R or C. We
call inner-product on H, any map , ) : H H K with the
following properties:
(i) x, y H , x, y) = y, x)
(ii) x, y, z H , x + z, y) = x, y) +z, y)
(iii) x, y H, K , x, y) = x, y)
(iv) x H , x, x) 0
(v) x H , (x, x) = 0 x = 0)
where for all z C, z denotes the complex conjugate of z. For all
x H, we call norm of x, denoted |x|, the number dened by:
|x|
Z
=
_
x, x)
Exercise 14. Let , ) be an inner-product on a K-vector space H.
1. Show that for all y H, the map x x, y) is linear.
2
15
2. Show that for all x H, the map y x, y) is linear if K = R,
and conjugate-linear if K = C.
Exercise 15. Let , ) be an inner-product on a K-vector space H.
Let x, y H. Let A = |x|
2
, B = [x, y)[ and C = |y|
2
. let K
be such that [[ = 1 and:
B = x, y)
1. Show that A, B, C R
+
.
2. For all t R, show that x ty, x ty) = A 2tB + t
2
C.
3. Show that if C = 0 then B
2
AC.
4. Suppose that C ,= 0. Show that P(t) = A 2tB + t
2
C has a
minimal value which is in R
+
, and conclude that B
2
AC.
2
16
Theorem 50 (Cauchy-Schwarzs inequality:second) Let H be
a K-vector space, where K = R or C, and , ) be an inner-product
on H. Then, for all x, y H, we have:
[x, y)[ |x|.|y|
Exercise 16. For all f, g L
2
C
(, T, ), we dene:
f, g)
Z
=
_
f gd
1. Use the rst cauchy-schwarz inequality (42) to prove that for all
f, g L
2
C
(, T, ), we have f g L
1
C
(, T, ). Conclude that
f, g) is a well-dened complex number.
2. Show that for all f L
2
C
(, T, ), we have |f|
2
=
_
f, f).
3. Make another use of the rst cauchy-schwarz inequality to show
that for all f, g L
2
C
(, T, ), we have:
[f, g)[ |f|
2
.|g|
2
(1)
2
17
4. Go through denition (81), and indicate which of the proper-
ties (i) (v) fails to be satised by , ). Conclude that , )
is not an inner-product on L
2
C
(, T, ), and therefore that in-
equality (*) is not a particular case of the second cauchy-schwarz
inequality (50).
5. Let f, g L
2
C
(, T, ). By considering
_
([f[+t[g[)
2
d for t R,
imitate the proof of the second cauchy-schwarz inequality to
show that:
_
[fg[d
__
[f[
2
d
_
1
2
__
[g[
2
d
_
1
2
6. Let f, g : (, T) [0, +] non-negative and measurable. Show
that if
_
f
2
d and
_
g
2
d are nite, then f and g are -almost
surely equal to elements of L
2
C
(, T, ). Deduce from 5. a new
proof of the rst Cauchy-Schwarz inequality:
_
fgd
__
f
2
d
_
1
2
__
g
2
d
_
1
2
2
18
Exercise 17. Let , ) be an inner product on a K-vector space H.
1. Show that for all x, y H, we have:
|x + y|
2
= |x|
2
+|y|
2
+x, y) +x, y)
2. Using the second cauchy-schwarz inequality (50), show that:
|x + y| |x| +|y|
3. Show that d
,)
(x, y) = |x y| denes a metric on H.
Denition 82 Let H be a K-vector space, where K = R or C,
and , ) be an inner-product on H. We call norm topology on H,
denoted T
,)
, the metric topology associated with d
,)
(x, y) = |xy|.
Denition 83 We call hilbert space (over K), where K = R
or C, any ordered pair (H, , )), where H is a K-vector space, and
, ) is an inner product on H for which the metric space (H, d
,)
) is
complete, where d
,)
(x, y) = |x y|.
2
19
Exercise 18. Let (H, , )) be a hilbert space over K and let /
be a closed linear subspace of H, (closed with respect to the norm
topology T
,)
). Dene [, ] = , )
],,
.
1. Show that [, ] is an inner-product on the K-vector space /.
2. With obvious notations, show that d
[,]
= (d
,)
)
],,
.
3. Deduce that T
[,]
= (T
,)
)
],
.
Exercise 19. Further to ex. (18), Let (x
n
)
n1
be a cauchy sequence
in /, with respect to the metric d
[,]
.
1. Show that (x
n
)
n1
is a cauchy sequence in H.
2. Explain why there exists x H such that x
n
J
,
x.
3. Explain why x /.
4. Explain why we also have x
n
J
[,]
x.
2
20
5. Explain why (/, , )
],,
) is a hilbert space over K.
Exercise 20. For all z, z
t
C
n
, n 1, we dene:
z, z
t
)
Z
=
n
i=1
z
i
z
i
t
1. Show that , ) is an inner-product on C
n
.
2. Show that the metric d
,)
is equal to the usual metric of C
n
.
3. Conclude that (C
n
, , )) is a hilbert space over C.
4. Show that R
n
is a closed subset of C
n
.
5. Show however that R
n
is not a linear subspace of C
n
.
6. Show that (R
n
, , )
]R
n
R
n) is a hilbert space over R.
2
21
Denition 84 Let K = R or C. The usual inner-product in
K
n
, denoted , ), is dened as:
x, y K
n
, x, y) =
n
i=1
x
i
y
i
Theorem 51 The spaces C
n
and R
n
, n 1, together with their
usual inner-products, are hilbert spaces over C and R respectively.
Denition 85 Let H be a K-vector space, where K = R or C. Let
( H. We say that ( is a convex subset or H, if and only if, for
all x, y ( and t [0, 1], we have tx + (1 t)y (.
2
22
Exercise 21. Let (H, , )) be a hilbert space over K. Let ( H be
a non-empty closed convex subset of H. Let x
0
H. Dene:
min
Z
= inf|x x
0
| : x (
1. Show the existence of a sequence (x
n
)
n1
in ( such that
|x
n
x
0
|
min
.
2. Show that for all x, y H, we have:
|x y|
2
= 2|x|
2
+ 2|y|
2
4
_
_
_
_
x + y
2
_
_
_
_
2
3. Explain why for all n, m 1, we have:
min

_
_
_
_
x
n
+ x
m
2
x
0
_
_
_
_
4. Show that for all n, m 1, we have:
|x
n
x
m
|
2
2|x
n
x
0
|
2
+ 2|x
m
x
0
|
2
4
2
min
2
23
5. Show the existence of some x
H, such that x
n
J
,
x
.
6. Explain why x
(
7. Show that for all x, y H, we have [ |x| |y| [ |x y|.
8. Show that |x
n
x
0
| |x
x
0
|.
9. Conclude that we have found x
( such that:
|x
x
0
| = inf|x x
0
| : x (
10. Let y
be another element of ( with such property. Show that:

|x
|
2
2|x
x
0
|
2
+ 2|y
x
0
|
2
4
2
min
11. Conclude that x
= y
.
2
24
Theorem 52 Let (H, , )) be a hilbert space over K, where K = R
or C. Let ( be a non-empty, closed and convex subset of H. For all
x
0
H, there exists a unique x
( such that:
|x
x
0
| = inf|x x
0
| : x (
Denition 86 Let (H, , )) be a hilbert space over K, where K = R
or C. Let ( H. We call orthogonal of (, the subset of H denoted
(
and dened by:

(
Z
= x H : x, y) = 0 , y (
Exercise 22. Let (H, , )) be a hilbert space over K and ( H.
1. Show that (
is a linear subspace of H, even if ( isnt.

2. Show that
y
: H K dened by
y
(x) = x, y) is continuous.
3. Show that (
=
y
1
y
(0).
2
25
4. Show that (
is a closed subset of H, even if ( isnt.

5. Show that
= 0
= H.
6. Show that H
= 0.
Exercise 23. Let (H, , )) be a hilbert space over K. Let / be a
closed linear subspace of H, and x
0
H.
1. Explain why there exists x
/ such that:
|x
x
0
| = inf |x x
0
| : x /
2. Dene y
= x
0
x
H. Show that for all y / and K:

|y
|
2
|y
y|
2
3. Show that for all y / and K, we have:
0 y, y
) y, y
) +[[
2
.|y|
2
2
26
4. For all y / 0, taking = y, y
)/|y|
2
, show that:
0
[y, y
)[
2
|y|
2
5. Conclude that x
/, y
and x
0
= x
+ y
.
6. Show that / /
= 0
7. Show that x
/ and y
with x
0
= x
+y
, are unique.
or C. Let / be a closed linear subspace of H. Then, for all x
0
H,
there is a unique decomposition:
x
0
= x
+ y
where x
/ and y
.
2
27
Denition 87 Let H be a K-vector space, where K = R or C.
We call linear functional, any map : H K, such that for all
x, y H and K:
(x + y) = (x) + (y)
Exercise 24. Let be a linear functional on a K-hilbert
1
space H.
1. Suppose that is continuous at some point x
0
H. Show the
existence of > 0 such that:
x H , |x x
0
| [(x) (x
0
)[ 1
Show that for all x H with x ,= 0, we have [(x/|x|)[ 1.
2. Show that if is continuous at x
0
, there exits M R
+
, with:
x H , [(x)[ M|x| (2)
1
Norm vector spaces are introduced later in these tutorials.
2
28
3. Show conversely that if (2) holds, is continuous everywhere.
Denition 88 Let (H, , )) be a hilbert
2
space over K = R or C.
Let be a linear functional on H. Then, the following are equivalent:
(i) : (H, T
,)
) (K, T
K
) is continuous
(ii) M R
+
, x H , [(x)[ M.|x|
In which case, we say that is a bounded linear functional.
Exercise 25. Let (H, , )) be a hilbert space over K. Let be a
bounded linear functional on H, such that (x) ,= 0 for some x H,
and dene / =
1
(0).
1. Show the existence of x
0
H, such that x
0
, /.
/ and y
with x
0
= x
+y
.
2
Norm vector spaces are introduced later in these tutorials.
2
29
3. Deduce the existence of some z /
such that |z| = 1.

4. Show that for all K 0 and x H, we have:
(x)

z, z) = (x)
5. Show that in order to have:
x H , (x) = x, z)
it is sucient to choose K 0 such that:
x H ,
(x)z

x /
6. Show the existence of y H such that:
x H , (x) = x, y)
7. Show the uniqueness of such y H.
2
30
or C. Let be a bounded linear functional on H. Then, there exists
a unique y H such that: x H , (x) = x, y).
Denition 89 Let K = R or C. We call K-vector space, any set
H, together with operators and for which there exits an element
0
1
H such that for all x, y, z H and , K, we have:
(i) 0
1
x = x
(ii) (x) H , (x) x = 0
1
(iii) x (y z) = (x y) z
(iv) x y = y x
(v) 1 x = x
(vi) ( x) = () x
(vii) ( + ) x = ( x) ( x)
(viii) (x y) = ( x) ( y)
2
31
Exercise 26. For all f L
2
K
(, T, ), dene:
H
Z
= [f] : f L
2
K
(, T, )
where [f] = g L
2
K
(, T, ) : g = f, -a.s.. Let 0
1
= [0], and for
all [f], [g] H, and K, we dene:
[f] [g]
Z
= [f + g]
[f]
Z
= [f]
We assume f, f
t
, g and g
t
are elements of L
2
K
(, T, ).
1. Show that for f = g -a.s. is equivalent to [f] = [g].
2. Show that if [f] = [f
t
] and [g] = [g
t
], then [f + g] = [f
t
+ g
t
].
3. Conclude that is well-dened.
4. Show that is also well-dened.
5. Show that (H, , ) is a K-vector space.
2
32
Exercise 27. Further to ex. (26), we dene for all [f], [g] H:
[f], [g])
1
Z
=
_
f gd
1. Show that , )
1
is well-dened.
2. Show that , )
1
is an inner-product on H.
3. Show that (H, , )
1
) is a hilbert space over K.
4. Why is f, g)
Z
=
_
f gd not an inner-product on L
2
K
(, T, )?
Exercise 28. Further to ex. (27), Let : L
2
K
(, T, ) K be a
continuous linear functional
3
. Dene : H K by ([f]) = (f).
3
As dened in these tutorials, L
2
K
(, F, ) is not a hilbert space (not even a
norm vector space). However, both L
2
K
(, F, ) and K have natural topologies
and it is therefore meaningful to speak of continuous linear functional. Note
however that we are slightly outside the framework of denition (88).
2
33
1. Show the existence of M R
+
such that:
f L
2
K
(, T, ) , [(f)[ M.|f|
2
2. Show that if [f] = [g] then (f) = (g).
3. Show that is a well dened bounded linear functional on H.
Theorem 55 Let : L
2
K
(, T, ) K be a continuous linear func-
tional, where K = R or C. Then, there exists g L
2
K
(, T, ) such
that:
f L
2
K
(, T, ) , (f) =
_
f gd
Tutorial 11: Complex Measures 1
11. Complex Measures
In the following, (, T) denotes an arbitrary measurable space.
Denition 90 Let (a
n
)
n1
be a sequence of complex numbers. We
say that (a
n
)
n1
has the permutation property if and only if, for
all bijections : N
, the series

+
k=1
a
(k)
converges in C
1
Exercise 1. Let (a
n
)
n1
be a sequence of complex numbers.
1. Show that if (a
n
)
n1
has the permutation property, then the
same is true of (Re(a
n
))
n1
and (Im(a
n
))
n1
.
2. Suppose a
n
R for all n 1. Show that if

+
k=1
a
k
converges:
+
k=1
[a
k
[ = +
+
k=1
a
+
k
=
+
k=1
a
k
= +
1
which excludes as limit.
Exercise 2. Let (a
n
)
n1
be a sequence in R, such that the series
+
k=1
a
k
converges, and

+
k=1
[a
k
[ = +. Let A > 0. We dene:
N
+

= k 1 : a
k
0 , N

= k 1 : a
k
< 0
1. Show that N
+
and N
are innite.
2. Let
+
: N
N
+
and
: N
be two bijections. Show

the existence of k
1
1 such that:
k
1
k=1
a
+
(k)
A
3. Show the existence of an increasing sequence (k
p
)
p1
such that:
k
p
k=k
p1
+1
a
+
(k)
A
for all p 1, where k
0
= 0.
4. Consider the permutation : N
dened informally by:

(
(1),
+
(1), . . . ,
+
(k
1
)
. .
,
(2),
+
(k
1
+ 1), . . . ,
+
(k
2
)
. .
, . . .)
representing ((1), (2), . . .). More specically, dene k
0
= 0
and k
p
= k
p
+p for all p 1. For all n N
and p 1 with:
2
k
p1
< n k
p
(1)
we dene:
(n) =
_

(p) if n = k
p1
+ 1
+
(n p) if n > k
p1
+ 1
(2)
Show that : N
is indeed a bijection.
5. Show that if

+
k=1
a
(k)
converges, there is N 1, such that:
n N , p 1
n+p
k=n+1
a
(k)
< A
2
Given an integer n 1, there exists a unique p 1 such that (1) holds.
6. Explain why (a
n
)
n1
cannot have the permutation property.
7. Prove the following theorem:
Theorem 56 Let (a
n
)
n1
be a sequence of complex numbers such
that for all bijections : N
, the series

+
k=1
a
(k)
converges.
Then, the series

+
k=1
a
k
converges absolutely, i.e.
+
k=1
[a
k
[ < +
Denition 91 Let (, T) be a measurable space and E T. We
call measurable partition of E, any sequence (E
n
)
n1
of pairwise
disjoint elements of T, such that E =
n1
E
n
.
Denition 92 We call complex measure on a measurable space
(, T) any map : T C, such that for all E T and (E
n
)
n1
measurable partition of E, the series

+
n=1
(E
n
) converges to (E).
The set of all complex measures on (, T) is denoted M
1
(, T).
Denition 93 We call signed measure on a measurable space
(, T), any complex measure on (, T) with values in R.
3
Exercise 3.
1. Show that a measure on (, T) may not be a complex measure.
2. Show that for all M
1
(, T) , () = 0.
3. Show that a nite measure on (, T) is a complex measure with
values in R
+
, and conversely.
3
In these tutorials, signed measure may not have values in {, +}.
4. Let M
1
(, T). Let E T and (E
n
)
n1
be a measurable
partition of E. Show that:
+
n=1
[(E
n
)[ < +
5. Let be a measure on (, T) and f L
1
C
(, T, ). Dene:
E T , (E)

=
_
E
fd
Show that is a complex measure on (, T).
Denition 94 Let be a complex measure on a measurable space
(, T). We call total variation of , the map [[ : T [0, +],
dened by:
E T , [[(E)

= sup
+
n=1
[(E
n
)[
where the sup is taken over all measurable partitions (E
n
)
n1
of E.
Exercise 4. Let be a complex measure on (, T).
1. Show that for all E T, [(E)[ [[(E).
2. Show that [[() = 0.
Exercise 5. Let be a complex measure on (, T). Let E T and
(E
n
)
n1
be a measurable partition of E.
1. Show that there exists (t
n
)
n1
in R, with t
n
< [[(E
n
) for all n.
2. Show that for all n 1, there exists a measurable partition
(E
p
n
)
p1
of E
n
such that:
t
n
<
+
p=1
[(E
p
n
)[
3. Show that (E
p
n
)
n,p1
is a measurable partition of E.
4. Show that for all N 1, we have

N
n=1
t
n
[[(E).
5. Show that for all N 1, we have:
N
n=1
[[(E
n
) [[(E)
6. Suppose that (A
p
)
p1
is another arbitrary measurable partition
of E. Show that for all p 1:
[(A
p
)[
+
n=1
[(A
p
E
n
)[
7. Show that for all n 1:
+
p=1
[(A
p
E
n
)[ [[(E
n
)
8. Show that:
+
p=1
[(A
p
)[
+
n=1
[[(E
n
)
9. Show that [[ : T [0, +] is a measure on (, T).
Exercise 6. Let a, b R, a < b. Let F C
1
([a, b]; R), and dene:
x [a, b] , H(x)

=
_
x
a
F
(t)dt
1. Show that H C
1
([a, b]; R) and H
= F
.
2. Show that:
F(b) F(a) =
_
b
a
F
(t)dt
3. Show that:
1
2
_
+/2
/2
cos d =
1
4. Let u R
n
and
u
: R
n
R
n
be the translation
u
(x) = x+u.
Show that the Lebesgue measure dx on (R
n
, B(R
n
)) is invariant
by translation
u
, i.e. dx(
u
B) = dx(B) for all B B(R
n
).
1
C
(R
n
, B(R
n
), dx), and u R
n
:
_
R
n
f(x +u)dx =
_
R
n
f(x)dx
6. Show that for all R, we have:
_
+
cos
+
( )d =
_
+
cos
+
d
7. Let R and k Z such that k /2 < k + 1. Show:
2k < 2k +
8. Show that:
_
2k
cos
+
d =
_
2k+
cos
+
d
9. Show that:
_
+
cos
+
d =
_
2k+
2k
cos
+
d =
_
+
cos
+
d
10. Show that for all R:
1
2
_
+
cos
+
( )d =
1
Exercise 7. Let z
1
, . . . , z
N
be N complex numbers. Let
k
R be
such that z
k
= [z
k
[e
i
k
, for all k = 1, . . . , N. For all [, +], we
dene S() = k = 1, . . . , N : cos(
k
) > 0.
1. Show that for all [, +], we have:
kS()
z
k
kS()
z
k
e
i
kS()
[z
k
[ cos(
k
)
2. Dene : [, +] R by () =

N
k=1
[z
k
[ cos
+
(
k
).
Show the existence of
0
[, +] such that:
(
0
) = sup
[,+]
()
3. Show that:
1
2
_
+
()d =
1
k=1
[z
k
[
4. Conclude that:
1
k=1
[z
k
[
kS(
0
)
z
k

Exercise 8. Let M
1
(, T). Suppose that [[(E) = + for
some E T. Dene t = (1 +[(E)[) R
+
.
1. Show that there is a measurable partition (E
n
)
n1
of E, with:
t <
+
n=1
[(E
n
)[
2. Show the existence of N 1 such that:
t <
N
n=1
[(E
n
)[
3. Show the existence of S 1, . . . , N such that:
N
n=1
[(E
n
)[
nS
(E
n
)
4. Show that [(A)[ > t/, where A =

nS
E
n
.
5. Let B = E A. Show that [(B)[ [(A)[ [(E)[.
6. Show that E = A B with [(A)[ > 1 and [(B)[ > 1.
7. Show that [[(A) = + or [[(B) = +.
Exercise 9. Let M
1
(, T). Suppose that [[() = +.
1. Show the existence of A
1
, B
1
T, such that = A
1
B
1
,
[(A
1
)[ > 1 and [[(B
1
) = +.
2. Show the existence of a sequence (A
n
)
n1
of pairwise disjoint
elements of T, such that [(A
n
)[ > 1 for all n 1.
3. Show that the series

+
n=1
(A
n
) does not converge to (A)
where A =
+
n=1
A
n
.
4. Conclude that [[() < +.
Theorem 57 Let be a complex measure on a measurable space
(, T). Then, its total variation [[ is a nite measure on (, T).
Exercise 10. Show that M
1
(, T) is a C-vector space, with:
( +)(E)

= (E) +(E)
()(E)

= .(E)
where , M
1
(, T), C, and E T.
Denition 95 Let H be a K-vector space, where K = R or C. We
call norm on H, any map N : H R
+
, with the following properties:
(i) x H , (N(x) = 0 x = 0)
(ii) x H, K , N(x) = [[N(x)
(iii) x, y H , N(x +y) N(x) +N(y)
Exercise 11.
1. Explain why |.|
p
may not be a norm on L
p
K
(, T, ).
2. Show that || =
_
, ) is a norm, when , ) is an inner-product.
3. Show that ||

= [[() denes a norm on M
1
(, T).
Exercise 12. Let M
1
(, T) be a signed measure. Show that:
+

=
1
2
([[ +)

=
1
2
([[ )
are nite measures such that:
=
+
, [[ =
+
+

Exercise 13. Let M
1
(, T) and l : R
2
R be a linear map.
1. Show that l is continuous.
2. Show that l is a signed measure on (, T).
4
3. Show that all M
1
(, T) can be decomposed as:
=
1
2
+i(
3

4
)
where
1
,
2
,
3
,
4
are nite measures.
4
l refers strictly speaking to l(Re(), Im()).
Tutorial 12: Radon-Nikodym Theorem 1
12. Radon-Nikodym Theorem
In the following, (, T) is an arbitrary measurable space.
Denition 96 Let and be two (possibly complex) measures on
(, T). We say that is absolutely continuous with respect to ,
and we write << , if and only if, for all E T:
(E) = 0 (E) = 0
Exercise 1. Let be a measure on (, T) and M
1
(, T). Show
that << is equivalent to [[ << .
1
(, T). Let
> 0. Suppose there exists a sequence (E
n
)
n1
in T such that:
n 1 , (E
n
)
1
2
n
, [(E
n
)[
Dene:
E

= limsup
n1
E
n
n1
_
kn
E
k
1. Show that:
(E) = lim
n+
_
_
_
kn
E
k
_
_
= 0
2. Show that:
[[(E) = lim
n+
[[
_
_
_
kn
E
k
_
_

3. Let be a measure on (, T). Can we conclude in general that:
(E) = lim
n+
_
_
_
kn
E
k
_
_
Theorem 58 Let be a measure on (, T) and be a complex
measure on (, T). The following are equivalent:
(i) <<
(ii) [[ <<
(iii) > 0, > 0, E T, (E) [(E)[ <
1
(, T) such
that << . Let
1
= Re() and
2
= Im().
1. Show that
1
<< and
2
<< .
2. Show that
+
1
,
1
,
+
2
,
2
are absolutely continuous w.r. to .
Exercise 4. Let be a nite measure on (, T) and f L
1
C
(, T, ).
Let S be a closed subset of C. We assume that for all E T such
that (E) > 0, we have:
1
(E)
_
E
fd S
1. Show the existence of a sequence (D
n
) of closed discs in C with:
S
c
=
+
_
n=1
D
n
Let
n
C, r
n
> 0 be such that D
n
= z C : [z
n
[ r
n
.
2. Suppose (E
n
) > 0 for some n 1, where E
n
= f D
n
.
Show that:
1
(E
n
)
_
E
n
fd
n
1
(E
n
)
_
E
n
[f
n
[d r
n
3. Show that for all n 1, (f D
n
) = 0.
Theorem 59 Let be a nite measure on (, T), f L
1
C
(, T, ).
Let S be a closed subset of C such that for all E T with (E) > 0,
we have:
1
(E)
_
E
fd S
Then, f S -a.s.
Exercise 5. Let be a -nite measure on (, T). Let (E
n
)
n1
be
a sequence in T such that E
n
and (E
n
) < + for all n 1.
Dene w : (, T) (R, B(R)) as:
w

=
+
n=1
1
2
n
1
1 +(E
n
)
1
E
n
1. Show that for all , 0 < w() 1.
2. Show that w L
1
R
(, T, ).
Exercise 6. Let be a -nite measure on (, T) and be a nite
measure on (, T), such that << . Let w L
1
R
(, T, ) be such
that 0 < w 1. We dene =
_
wd, i.e.
E T , (E)

=
_
E
wd
1. Show that is a nite measure on (, T).
2. Show that = + is also a nite measure on (, T).
1
C
(, T, ), we have f L
1
C
(, T, ),
fw L
1
C
(, T, ), and:
_
fd =
_
fd +
_
fwd
2
C
(, T, ), we have:
_
[f[d
_
[f[d
__
[f[
2
d
_
1
2
(())
1
2
5. Show that L
2
C
(, T, ) L
1
C
(, T, ), and for f L
2
C
(, T, ):
fd
_
().|f|
2
6. Show the existence of g L
2
C
(, T, ) such that:
f L
2
C
(, T, ) ,
_
fd =
_
fgd (1)
7. Show that for all E T such that (E) > 0, we have:
1
(E)
_
E
gd [0, 1]
8. Show the existence of g L
2
C
(, T, ) such that g() [0, 1]
for all , and (1) still holds.
2
C
(, T, ), we have:
_
f(1 g)d =
_
fgwd
10. Show that for all n 1 and E T,
f

= (1 +g +. . . +g
n
)1
E
L
2
C
(, T, )
11. Show that for all n 1 and E T,
_
E
(1 g
n+1
)d =
_
E
g(1 +g +. . . +g
n
)wd
12. Dene:
h

= gw
_
+
n=0
g
n
_
Show that if A = 0 g < 1, then for all E T:
(E A) =
_
E
hd
13. Show that h = + = A
c
and conclude that (A
c
) = 0.
14. Show that for all E T, we have (E) =
_
E
hd.
15. Show that if is -nite on (, T), and is a nite measure
on (, T) such that << , there exists h L
1
R
(, T, ), such
that h 0 and:
E T , (E) =
_
E
hd
Theorem 60 (Radon-Nikodym:1) Let be a -nite measure on
(, T). let be a complex measure on (, T) such that << . Then,
there exists some h L
1
C
(, T, ) such that:
E T , (E) =
_
E
hd
If is a signed measure on (, T), we can assume h L
1
R
(, T, ).
If is a nite measure on (, T), we can assume h 0.
Exercise 7. Let f = u +iv L
1
C
(, T, ), such that:
E T ,
_
E
fd = 0
where is a measure on (, T).
1. Show that:
_
u
+
d =
_
{u0}
ud
2. Show that f = 0 -a.s.
3. State and prove some uniqueness property in theorem (60).
Exercise 8. Let and be two -nite measures on (, T) such
that << . Let (E
n
)
n1
be a sequence in T such that E
n
and
(E
n
) < + for all n 1. We dene:
n 1 ,
n
=
E
n

= (E
n
)
1. Show that there exists h
n
L
1
R
(, T, ) with h
n
0 and:
E T ,
n
(E) =
_
E
h
n
d (2)
for all n 1.
2. Show that for all E T,
_
E
h
n
d
_
E
h
n+1
d
3. Show that for all n, p 1,
(h
n
h
n+1
>
1
p
) = 0
4. Show that h
n
h
n+1
-a.s.
5. Show the existence of a sequence (h
n
)
n1
in L
1
R
(, T, ) such
that 0 h
n
h
n+1
for all n 1 and with (2) still holding.
6. Let h = sup
n1
h
n
. Show that:
E T , (E) =
_
E
hd (3)
7. Show that for all n 1,
_
E
n
hd < +.
8. Show that h < + -a.s.
9. Show there exists h : (, T) R
+
measurable, while (3) holds.
10. Show that for all n 1, h L
1
R
(, T,
E
n
).
Theorem 61 (Radon-Nikodym:2) Let and be two -nite
measures on (, T) such that << . There exists a measurable
map h : (, T) (R
+
, B(R
+
)) such that:
E T , (E) =
_
E
hd
Exercise 9. Let h, h
: (, T) [0, +] be two non-negative and

measurable maps. Let be a -nite measure on (, T). We assume:
E T ,
_
E
hd =
_
E
h
d
Let (E
n
)
n1
be a sequence in T with E
n
and (E
n
) < + for
all n 1. We dene F
n
= E
n
h n for all n 1.
1. Show that for all n and E T,
_
E
hd
F
n
=
_
E
h
d
F
n
< +.
2. Show that for all n, p 1, (F
n
h > h
+ 1/p) = 0.
3. Show that for all n 1, (F
n
h ,= h
) = 0.
4. Show that (h ,= h
h < +) = 0.
5. Show that h = h
-a.s.
6. State and prove some uniqueness property in theorem (61).
Exercise 10. Take = and T = T() = , . Let be
the measure on (, T) dened by () = 0 and () = +. Let
h, h
: (, T) [0, +] be dened by h() = 1 ,= 2 = h
(). Show
that we have:
E T ,
_
E
hd =
_
E
h
d
Explain why this does not contradict the previous exercise.
1. Show that << [[.
2. Show the existence of some h L
1
C
(, T, [[) such that:
E T , (E) =
_
E
hd[[
3. If is a signed measure, can we assume h L
1
R
(, T, [[)?
Exercise 12. Further to ex. (11), dene A
r
= [h[ < r for all r > 0.
1. Show that for all measurable partition (E
n
)
n1
of A
r
:
+
n=1
[(E
n
)[ r[[(A
r
)
2. Show that [[(A
r
) = 0 for all 0 < r < 1.
3. Show that [h[ 1 [[-a.s.
4. Suppose that E T is such that [[(E) > 0. Show that:
1
[[(E)
_
E
hd[[
1
5. Show that [h[ 1 [[-a.s.
Theorem 62 For all complex measure on (, T), there exists h
belonging to L
1
C
(, T, [[) such that [h[ = 1 and:
E T , (E) =
_
E
hd[[
If is a signed measure on (, T), we can assume h L
1
R
(, T, [[).
Exercise 13. Let A T, and (A
n
)
n1
be a sequence in T.
1. Show that if A
n
A then 1
A
n
1
A
.
2. Show that if A
n
A then 1
A
n
1
A
.
3. Show that if 1
A
n
1
A
, then for all M
1
(, T):
(A) = lim
n+
(A
n
)
Exercise 14. Let be a measure on (, T) and f L
1
C
(, T, ).
1. Show that =
_
fd M
1
(, T).
2. Let h L
1
C
(, T, [[) be such that [h[ = 1 and =
_
hd[[.
Show that for all E, F T:
_
E
f1
F
d =
_
E
h1
F
d[[
3. Show that if g : (, T) (C, B(C)) is bounded and measurable:
E T ,
_
E
fgd =
_
E
hgd[[
4. Show that:
E T , [[(E) =
_
E
f
hd
_
E
Re(f
h)d 0 ,
_
E
Im(f
h)d = 0
6. Show that f
h R
+
-a.s.
7. Show that f
h = [f[ -a.s.
Theorem 63 Let be a measure on (, T) and f L
1
C
(, T, ).
Then, =
_
fd dened by:
E T , (E)

=
_
E
fd
is a complex measure on (, T) with total variation:
E T , [[(E) =
_
E
[f[d
Exercise 15. Let M
1
(, T) be a signed measure. Suppose that
h L
1
R
(, T, [[) is such that [h[ = 1 and =
_
hd[[. Dene
A = h = 1 and B = h = 1.
+
(E) =
_
E
1
2
(1 +h)d[[.
(E) =
_
E
1
2
(1 h)d[[.
3. Show that
+
=
A
= (A ).
4. Show that
=
B
= (B ).
Theorem 64 (Hahn Decomposition) Let be a signed measure
on (, T). There exist A, B T, such that A B = , = A B
and for all E T,
+
(E) = (A E) and
(E) = (B E).
Denition 97 Let be a complex measure on (, T). We dene:
L
1
C
(, T, )

= L
1
C
(, T, [[)
and for all f L
1
C
(, T, ), the lebesgue integral of f with respect
to , is dened as:
_
fd

=
_
fhd[[
where h L
1
C
(, T, [[) is such that [h[ = 1 and =
_
hd[[.
1. Show that for all f : (, T) (C, B(C)) measurable:
f L
1
C
(, T, )
_
[f[d[[ < +
2. Show that for f L
1
C
(, T, ),
_
fd is unambiguously dened.
3. Show that for all E T, 1
E
L
1
C
(, T, ) and
_
1
E
d = (E).
4. Show that if is a nite measure, then [[ = .
5. Show that if is a nite measure, denition (97) of integral
and space L
1
C
(, T, ) is consistent with that already known
for measures.
6. Show that L
1
C
(, T, ) is a C-vector space and that:
_
(f +g)d =
_
fd +
_
gd
for all f, g L
1
C
(, T, ) and C.
1
C
(, T, ), we have:
_
fd
_
[f[d[[
Exercise 17. Let , M
1
(, T), let C.
1. Show that [[ = [[.[[
2. Show that [ +[ [[ +[[
3. Show that L
1
C
(, T, ) L
1
C
(, T, ) L
1
C
(, T, +)
4. Show that for all E T:
_
1
E
d( +) =
_
1
E
d +
_
1
E
d
1
C
(, T, ) L
1
C
(, T, ):
_
fd( +) =
_
fd +
_
fd
Exercise 18. Let =
1
+i
2
M
1
(, T).
1. Show that [
1
[ [[ and [
2
[ [[.
2. Show that [[ [
1
[ +[
2
[.
3. Show that L
1
C
(, T, ) = L
1
C
(, T,
1
) L
1
C
(, T,
2
).
4. Show that:
L
1
C
(, T,
1
) = L
1
C
(, T,
+
1
) L
1
C
(, T,
1
)
L
1
C
(, T,
2
) = L
1
C
(, T,
+
2
) L
1
C
(, T,
2
)
1
C
(, T, ):
_
fd =
_
fd
+
1

_
fd
1
+i
__
fd
+
2

_
fd
2
_
Exercise 19. Let M
1
(, T). Let A T. Let h L
1
C
(, T, [[)
be such that [h[ = 1 and =
_
hd[[. Recall that
A
= (A ) and
|A
=
|(F
|A
)
where T
|A
= A E , E T T.
1. Show that we also have T
|A
= E : E T , E A.
2. Show that
A
M
1
(, T) and
|A
M
1
(A, T
|A
).
3. Let E T and (E
n
)
n1
be a measurable partition of E. Show:
+
n=1
[
A
(E
n
)[ [[
A
(E)
4. Show that we have [
A
[ [[
A
.
5. Let E T and (E
n
)
n1
be a measurable partition of A E.
Show that:
+
n=1
[(E
n
)[ [
A
[(A E)
6. Show that [
A
[(A
c
) = 0.
7. Show that [
A
[ = [[
A
.
8. Let E T
|A
and (E
n
)
n1
be an T
|A
-measurable partition of E.
Show that:
+
n=1
[
|A
(E
n
)[ [[
|A
(E)
9. Show that [
|A
[ [[
|A
.
10. Let E T
|A
T and (E
n
)
n1
be a measurable partition of E.
Show that (E
n
)
n1
is also an T
|A
-measurable partition of E,
and conclude:
+
n=1
[(E
n
)[ [
|A
[(E)
11. Show that [
|A
[ = [[
|A
.
12. Show that
A
=
_
hd[
A
[.
13. Show that h
|A
L
1
C
(A, T
|A
, [
|A
[) and
|A
=
_
h
|A
d[
|A
[.
1
C
(, T, ), we have:
f1
A
L
1
C
(, T, ) , f L
1
C
(, T,
A
) , f
|A
L
1
C
(A, T
|A
,
|A
)
and:
_
f1
A
d =
_
fd
A
=
_
f
|A
d
|A
Denition 98 Let f L
1
C
(, T, ) , where is a complex measure
on (, T). let A T. We call partial lebesgue integral of f with
respect to over A, the integral denoted
_
A
fd, dened as:
_
A
fd

=
_
(f1
A
)d =
_
fd
A
=
_
(f
|A
)d
|A
where
A
is the complex measure on (, T),
A
= (A ), f
|A
is
the restriction of f to A and
|A
is the restriction of to T
|A
, the
trace of T on A.
Exercise 20. Prove the following:
Theorem 65 Let f L
1
C
(, T, ), where is a complex measure
on (, T). Then, =
_
fd dened as:
E T , (E)

=
_
E
fd
is a complex measure on (, T), with total variation:
E T , [[(E) =
_
E
[f[d[[
Moreover, for all measurable map g : (, T) (C, B(C)), we have:
g L
1
C
(, T, ) gf L
1
C
(, T, )
and when such condition is satised:
_
gd =
_
gfd
Exercise 21. Let (
1
, T
1
), . . . , (
n
, T
n
) be n measurable spaces,
where n 2. Let
1
M
1
(
1
, T
1
), . . .,
n
M
1
(
n
, T
n
). For
all i N
n
, let h
i
belonging to L
1
C
(
i
, T
i
, [
i
[) be such that [h
i
[ = 1
and
i
=
_
h
i
d[
i
[. For all E T
1
. . . T
n
, we dene:
(E)

=
_
E
h
1
. . . h
n
d[
1
[ . . . [
n
[
1. Show that M
1
(
1
. . .
n
, T
1
. . . T
n
)
2. Show that for all measurable rectangle A
1
. . . A
n
:
(A
1
. . . A
n
) =
1
(A
1
) . . .
n
(A
n
)
Theorem 66 Let
1
, . . . ,
n
be n complex measures on measurable
spaces (
1
, T
1
), . . . , (
n
, T
n
) respectively, where n 2. There exists
a unique complex measure
1
. . .
n
on (
1
. . .
n
, T
1
. . .T
n
)
such that for all measurable rectangle A
1
. . . A
n
, we have:
1
. . .
n
(A
1
. . . A
n
) =
1
(A
1
) . . .
n
(A
n
)
Exercise 22. Further to theorem (66),
1. Show that [
1
. . .
n
[ = [
1
[ . . . [
n
[.
2. Show that |
1
. . .
n
| = |
1
| . . . |
n
|.
3. Show that for all E T
1
. . . T
n
:
1
. . .
n
(E) =
_
E
h
1
. . . h
n
d[
1
. . .
n
[
4. Let f L
1
C
(
1
. . .
n
, T
1
. . . T
n
,
1
. . .
n
). Show:
_
fd
1
. . .
n
=
_
fh
1
. . . h
n
d[
1
[ . . . [
n
[
5. let be a permutation of 1, . . . , n. Show that:
_
fd
1
. . .
n
=
_
(n)
. . .
_
(1)
fd
(1)
. . . d
(n)
Tutorial 13: Regular Measure 1
13. Regular Measure
In the following, K denotes R or C.
Denition 99 Let (, T) be a measurable space. We say that a map
s : C is a complex simple function on (, T), if and only if
it is of the form:
s =
n
i=1
i
1
A
i
where n 1,
i
C and A
i
T for all i N
n
. The set of all
complex simple functions on (, T) is denoted S
C
(, T). The set of
all R-valued complex simple functions in (, T) is denoted S
R
(, T).
Recall that a simple function on (, T), as dened in (40), is just a
non-negative element of S
R
(, T).
Exercise 1. Let (, T, ) be a measure space and p [1, +[.
1. Suppose s : C is of the form
s =
n
i=1
i
1
A
i
where n 1,
i
C, A
i
T and (A
i
) < + for all i N
n
.
Show that s L
p
C
(, T, ) S
C
(, T).
2. Show that any s S
C
(, T) can be written as:
s =
n
i=1
i
1
A
i
where n 1,
i
C 0, A
i
T and A
i
A
j
= for i ,= j.
3. Show that any s L
p
C
(, T, ) S
C
(, T) is of the form:
s =
n
i=1
i
1
A
i
where n 1,
i
C, A
i
T and (A
i
) < +, for all i N
n
.
4. Show that L
C
(, T, ) S
C
(, T) = S
C
(, T).
Exercise 2. Let (, T, ) be a measure space and p [1, +[. Let
f be a non-negative element of L
p
R
(, T, ).
1. Show the existence of a sequence (s
n
)
n1
of non-negative func-
tions in L
p
R
(, T, ) S
R
(, T) such that s
n
f.
2. Show that:
lim
n+
[s
n
f[
p
d = 0
3. Show that there exists s L
p
R
(, T, ) S
R
(, T) such that
|f s|
p
, for all > 0.
4. Show that L
p
K
(, T, ) S
K
(, T) is dense in L
p
K
(, T, ).
Exercise 3. Let (, T, ) be a measure space. Let f be a non-
negative element of L
R
(, T, ). For all n 1, we dene:
s
n
=
n2
n
1
k=0
k
2
n
1
{k/2
n
f<(k+1)/2
n
}
+n1
{nf}
1. Show that for all n 1, s
n
is a simple function.
2. Show there exists n
0
1 and N T with (N) = 0, such that:
N
c
, 0 f() < n
0
3. Show that for all n n
0
and N
c
, we have:
0 f() s
n
() <
1
2
n
4. Conclude that:
lim
n+
|f s
n
|
= 0
Theorem 67 Let (, T, ) be a measure space and p [1, +].
Then, L
p
K
(, T, ) S
K
(, T) is dense in L
p
K
(, T, ).
Exercise 4. Let (, T ) be a metrizable topological space, and be
a nite measure on (, B()). We dene as the set of all B B()
such that for all > 0, there exist F closed and G open in , with:
F B G , (G F)
Given a metric d on (, T ) inducing the topology T , we dene:
d(x, A)

= infd(x, y) : y A
for all A and x .
1. Show that x d(x, A) from to

R is continuous for all A .
2. Show that if F is closed in , x F is equivalent to d(x, F) = 0.
Exercise 5. Further to exercise (4), we assume that F is a closed
subset of . For all n 1, we dene:
G
n
= x : d(x, F) <
1
n
1. Show that G
n
is open for all n 1.
2. Show that G
n
F.
3. Show that F .
4. Was it important to assume that is nite?
5. Show that .
6. Show that if B , then B
c
.
Exercise 6. Further to exercise (5), let (B
n
)
n1
be a sequence in .
Dene B =
+
n=1
B
n
and let > 0.
1. Show that for all n, there is F
n
closed and G
n
open in , with:
F
n
B
n
G
n
, (G
n
F
n
)

2
n
2. Show the existence of some N 1 such that:
n=1
F
n
n=1
F
n

3. Dene G =
+
n=1
G
n
and F =
N
n=1
F
n
. Show that F is closed,
G is open and F B G.
4. Show that:
G F G
n=1
F
n
n=1
F
n
F
5. Show that:
G
n=1
F
n
n=1
G
n
F
n
6. Show that (G F) 2.
7. Show that is a -algebra on , and conclude that = B().
Theorem 68 Let (, T ) be a metrizable topological space, and be
a nite measure on (, B()). Then, for all B B() and > 0,
there exist F closed and G open in such that:
F B G , (G F)
Denition 100 Let (, T ) be a topological space. We denote C
b
K
()
the K-vector space of all continuous, bounded maps : K,
where K = R or K = C.
Exercise 7. Let (, T ) be a metrizable topological space with some
metric d. Let be a nite measure on (, B()) and F be a closed
subset of . For all n 1, we dene
n
: R by:
x ,
n
(x)

= 1 1 (nd(x, F))
1. Show that for all p [1, +], we have C
b
K
() L
p
K
(, B(), ).
2. Show that for all n 1,
n
C
b
R
().
3. Show that
n
1
F
.
4. Show that for all p [1, +[, we have:
lim
n+
[
n
1
F
[
p
d = 0
5. Show that for all p [1, +[ and > 0, there exists C
b
R
()
such that | 1
F
|
p
.
6. Let M
1
(, B()). Show that C
b
C
() L
1
C
(, B(), ) and:
(F) = lim
n+

n
d
Theorem 69 Let (, T ) be a metrizable topological space and ,
be two complex measures on (, B()) such that:
C
b
R
() ,
d =
d
Then = .
Exercise 8. Let (, T ) be a metrizable topological space and be
a nite measure on (, B()). Let s S
C
(, B()) be a complex
simple function:
s =
n
i=1
i
1
A
i
where n 1,
i
C, A
i
B() for all i N
n
. Let p [1, +[.
1. Show that given > 0, for all i N
n
there is a closed subset F
i
of such that F
i
A
i
and (A
i
F
i
) . Let:
s

=
n
i=1
i
1
F
i
2. Show that:
|s s
|
p

i=1
[
i
[
1
p
3. Conclude that given > 0, there exists C
b
C
() such that:
| s|
p

Theorem 70 Let (, T ) be a metrizable topological space and be
a nite measure on (, B()). Then, for all p [1, +[, C
b
K
() is
dense in L
p
K
(, B(), ).
Denition 101 A topological space (, T ) is said to be -compact
if and only if, there exists a sequence (K
n
)
n1
of compact subsets of
such that K
n
.
Exercise 9. Let (, T ) be a metrizable and -compact topological
space, with metric d. Let
be open in . For all n 1, we dene:

F
n
= x : d(x, (
)
c
) 1/n
Let (K
n
)
n1
be a sequence of compact subsets of such that K
n
.
1. Show that for all n 1, F
n
is closed in .
2. Show that F
n

.
3. Show that F
n
K
n

.
4. Show that F
n
K
n
is closed in K
n
for all n 1.
5. Show that F
n
K
n
is a compact subset of
for all n 1
Theorem 71 Let (, T ) be a metrizable and -compact topological
space. Then, for all
open subset of , the induced topological space

(
, T
|
) is itself metrizable and -compact.
Denition 102 Let (, T ) be a topological space and be a measure
on (, B()). We say that is locally nite, if and only if, every
x has an open neighborhood of nite -measure, i.e.
x , U T , x U , (U) < +
Denition 103 Let be a measure on a topological space (, T ).
We say that is inner-regular, if and only if, for all B B():
(B) = sup(K) : K B , K compact
We say that is outer-regular, if and only if, for all B B():
(B) = inf(G) : B G , G open
We say that is regular if it is both inner and outer-regular.
Exercise 10. Let (, T ) be a topological space and be a locally
nite measure on (, B()). Let K be a compact subset of .
1. Show the existence of open sets V
1
, . . . , V
n
with (V
i
) < + for
all i N
n
and K V
1
. . . V
n
, where n 1.
2. Conclude that (K) < +.
space. Let be a nite measure on (, B()). Let (K
n
)
n1
be a
sequence of compact subsets of such that K
n
. Let B B().
We dene = sup(K) : K B , K compact.
1. Show that given > 0, there exists F closed in such that
F B and (B F) .
2. Show that F (K
n
F) .
3. Show that K
n
F is closed in K
n
.
4. Show that K
n
F is compact.
5. Conclude that given > 0, there exists K compact subset of
such that K F and (F K) .
6. Show that (B) (K) + 2.
7. Show that (B) and conclude that is inner-regular.
space. Let be a locally nite measure on (, B()). Let (K
n
)
n1
be
a sequence of compact subsets of such that K
n
. Let B B(),
and R be such that < (B).
1. Show that (K
n
B) (B).
2. Show the existence of K compact, with < (K B).
3. Let
K
= (K ). Show that
K
is a nite measure, and
conclude that
K
(B) = sup
K
(K
) : K
B , K
compact.
4. Show the existence of a compact subset K
of , such that
K
B and < (K K
).
5. Show that K
is closed in .
6. Show that K K
is closed in K.
7. Show that K K
is compact.
8. Show that < sup(K
) : K
B , K
compact.
9. Show that (B) sup(K
) : K
B , K
compact.
10. Conclude that is inner-regular.
Exercise 13. Let (, T ) be a metrizable topological space.
1. Show that (, T ) is separable if and only if it has a countable
base.
2. Show that if (, T ) is compact, for all n 1, can be covered
by a nite number of open balls with radius 1/n.
3. Show that if (, T ) is compact, then it is separable.
space with metric d. Let (K
n
)
n1
be a sequence of compact subsets
of such that K
n
.
1. For all n 1, give a metric on K
n
inducing the topology T
|K
n
.
2. Show that (K
n
, T
|K
n
) is separable. Let (x
p
n
)
p1
be a countable
dense family of (K
n
, T
|K
n
).
3. Show that (x
p
n
)
n,p1
is a countable dense family of (, T ), and
conclude with the following:
Theorem 72 Let (, T ) be a metrizable and -compact topological
space. Then, (, T ) is separable and has a countable base.
space. Let be a locally nite measure on (, B()). Let H be a
countable base of (, T ). We dene H
= V H : (V ) < +.
1. Show that for all U open in and x U, there is U
x
open in
such that x U
x
U and (U
x
) < +.
2. Show the existence of V
x
H such that x V
x
U
x
.
3. Conclude that H
is a countable base of (, T ).
4. Show the existence of a sequence (V
n
)
n1
of open sets in with:
=
+
n=1
V
n
, (V
n
) < + , n 1
space. Let be a locally nite measure on (, B()). Let (V
n
)
n1
a
sequence of open subsets of such that:
=
+
n=1
V
n
, (V
n
) < + , n 1
Let B B() and = inf(G) : B G , G open.
1. Given > 0, show that there exists G
n
open in such that
B G
n
and
V
n
(G
n
B) /2
n
, where
V
n
= (V
n
).
2. Let G =
+
n=1
(V
n
G
n
). Show that G is open in , and B G.
3. Show that G B =
+
n=1
V
n
(G
n
B).
4. Show that (G) (B) +.
5. Show that (B).
6. Conclude that is outer-regular.
Theorem 73 Let be a locally nite measure on a metrizable and
-compact topological space (, T ). Then, is regular, i.e.:
(B) = sup(K) : K B , K compact
= inf(G) : B G , G open
for all B B().
Exercise 17. Show the following:
Theorem 74 Let be an open subset of R
n
, where n 1. Any
locally nite measure on (, B()) is regular.
Denition 104 We call strongly -compact topological space, a
topological space (, T ), for which there exists a sequence (V
n
)
n1
of
open sets with compact closure, such that V
n
.
Denition 105 We call locally compact topological space, a topo-
logical space (, T ), for which every x has an open neighborhood
with compact closure, i.e. such that:
x , U T : x U ,

U is compact
Exercise 18. Let (, T ) be a -compact and locally compact topo-
logical space. Let (K
n
)
n1
be a sequence of compact subsets of
such that K
n
.
1. Show that for all n 1, there are open sets V
n
1
, . . . , V
n
p
n
, p
n
1,
such that K
n
V
n
1
. . . V
n
p
n
and

V
n
1
, . . . ,

V
n
p
n
are compact
subsets of .
2. Dene W
n
= V
n
1
. . . V
n
p
n
and V
n
=
n
k=1
W
k
, for n 1. Show
that (V
n
)
n1
is a sequence of open sets in with V
n
.
3. Show that

W
n
=

V
n
1
. . .

V
n
p
n
for all n 1.
4. Show that

W
n
is compact for all n 1.
5. Show that

V
n
is compact for all n 1
Theorem 75 A topological space (, T ) is strongly -compact, if
and only if it is -compact and locally compact.
Exercise 19. Let (, T ) be a topological space and
be an open
subset of . Let A
. We denote

A
the closure of A in the

induced topological space (
, T
|
), and

A its closure in .
1. Show that A

A.
2. Show that

A is closed in
.
3. Show that

A

A.
4. Let x

A. Show that if x U
T
|
, then A U
,= .
5. Show that

A

A.
Exercise 20. Let (, d) be a metric space.
1. Show that for all x and > 0, we have:
B(x, ) y : d(x, y)
2. Take = [0, 1/2[1. Show that B(0, 1) = [0, 1/2[.
3. Show that [0, 1/2[ is closed in .
4. Show that B(0, 1) = [0, 1/2[.
5. Conclude that B(0, 1) ,= y : [y[ 1 = .
Exercise 21. Let (, d) be a locally compact metric space. Let
be an open subset of . Let x
.
1. Show there exists U open with compact closure, such that x U.
2. Show the existence of > 0 such that B(x, ) U
.
3. Show that B(x, /2)

U.
4. Show that B(x, /2) is closed in

U.
5. Show that B(x, /2) is a compact subset of .
6. Show that B(x, /2)
.
7. Let U
= B(x, /2)
= B(x, /2). Show x U
T
|
, and:
= B(x, /2)
8. Show that the induced topological space
is locally compact.
Theorem 76 Let (, T ) be a metrizable and strongly -compact
topological space. Then, for all
open subset of , the induced topo-

logical space (
, T
|
) is itself metrizable and strongly -compact.
Denition 106 Let (, T ) be a topological space, and : C be
a map. We call support of , the closure of the set ,= 0, i.e.:
supp()

= : () ,= 0
Denition 107 Let (, T ) be a topological space. We denote C
c
K
()
the K-vector space of all continuous map with compact support
: K, where K = R or K = C.
1. Show that 0 C
c
K
().
2. Show that C
c
K
() is indeed a K-vector space.
3. Show that C
c
K
() C
b
K
().
Exercise 23. let (, d) be a locally compact metric space. let K be
a compact subset of , and G be open in , with K G.
1. Show the existence of open sets V
1
, . . . , V
n
such that:
K V
1
. . . V
n
and

V
1
, . . . ,

V
n
are compact subsets of .
2. Show that V = (V
1
. . . V
n
)G is open in , and K V G.
3. Show that

V

V
1
. . .

V
n
.
4. Show that

V is compact.
5. We assume K ,= and V ,= , and we dene : R by:
x , (x)

=
d(x, V
c
)
d(x, V
c
) +d(x, K)
6. Show that is well-dened and continuous.
7. Show that ,= 0 = V .
8. Show that C
c
R
().
9. Show that 1
K
1
G
.
10. Show that if K = , there is C
c
R
() with 1
K
1
G
.
11. Show that if V = then is compact.
12. Show that if V = , there C
c
R
() with 1
K
1
G
.
Theorem 77 Let (, T ) be a metrizable and locally compact topolog-
ical space. Let K be a compact subset of , and G be an open subset
of such that K G. Then, there exists C
c
R
(), real-valued
continuous map with compact support, such that:
1
K
1
G
Exercise 24. Let (, T ) be a metrizable and strongly -compact
topological space. Let be a locally nite measure on (, B()). Let
B B() be such that (B) < +. Let p [1, +[.
1. Show that C
c
K
() L
p
K
(, B(), ).
2. Let > 0. Show the existence of K compact and G open, with:
K B G , (G K)
3. Where did you use the fact that (B) < +?
4. Show the existence of C
c
R
() with 1
K
1
G
.
5. Show that:

[ 1
B
[
p
d (G K)
6. Conclude that for all > 0, there exists C
c
R
() such that:
| 1
B
|
p

7. Let s S
C
(, B()) L
p
C
(, B(), ). Show that for all > 0,
there exists C
c
C
() such that | s|
p
.
Theorem 78 Let (, T ) be a metrizable and strongly -compact
topological space
1
. Let be a locally nite measure on (, B()).
Then, for all p [1, +[, the space C
c
K
() of K-valued, continuous
maps with compact support, is dense in L
p
K
(, B(), ).
Theorem 79 Let be an open subset of R
n
, where n 1. Then,
for any locally nite measure on (, B()) and p [1, +[, C
c
K
()
is dense in L
p
K
(, B(), ).
1
i.e. a metrizable topological space for which there exists a sequence (V
n
)
n1
of open sets with compact closure, such that V
n
.
Tutorial 14: Maps of Finite Variation 1
14. Maps of Finite Variation
Denition 108 We call total variation of a map b : R
+
C the
map |b| : R
+
[0, +] dened as:
t R
+
, |b|(t)

= |b(0)| + sup
n
i=1
|b(t
i
) b(t
i1
)|
where the sup is taken over all nite t
0
. . . t
n
in [0, t], n 1.
We say that b is of nite variation, if and only if:
t R
+
, |b|(t) < +
We say that b is of bounded variation, if and only if:
sup
tR
+
|b|(t) < +
Warning: The notation |b| can be misleading: it can refer to the map
t |b(t)|(modulus), or to the map t |b|(t) (total variation).
Exercise 1. Let a : R
+
R
+
be non-decreasing with a(0) 0.
1. Show that |a| = a and a is of nite variation.
2. Show that the limit a() = lim
t+
a(t) exists in

R.
3. Show that a is of bounded variation if and only if a() < +.
Exercise 2. Let b = b
1
+ ib
2
: R
+
C be a map.
1. Show that |b
1
| |b| and |b
2
| |b|.
2. Show that |b| |b
1
| +|b
2
|.
3. Show that b is of nite variation if and only if b
1
, b
2
are.
4. Show that b is of bounded variation if and only if b
1
, b
2
are.
5. Show that |b|(0) = |b(0)|.
Exercise 3. Let b : R
+
R be continuous and dierentiable, such
that b
is bounded on each compact interval. Show that b is of nite

variation.
Exercise 4. Show that if b : R
+
C is of class C
1
, i.e. continu-
ous and dierentiable with continuous derivative, then b is of nite
variation.
Exercise 5. Let f : (R
+
, B(R
+
)) (C, B(C)) be a measurable map,
with

t
0
|f(s)|ds < + for all t R
+
. Let b : R
+
C dened by:
t R
+
, b(t)

=
R
+
f1
[0,t]
ds
1. Show that b is of nite variation and:
t R
+
, |b|(t)
t
0
|f(s)|ds
2. Show that f L
1
C
(R
+
, B(R
+
), ds) b is of bounded variation.
Exercise 6. Show that if b, b
: R
+
C are maps of nite variation,
and C, then b + b
is also a map of nite variation. Prove the

same result when the word nite is replaced by bounded.
+
C be a map. For all t R
+
, let S(t)
be the set of all nite subsets A of [0, t], with cardA 2. For all
A S(t), we dene:
S(A)

=
n
i=1
|b(t
i
) b(t
i1
)|
where it is understood that t
0
, . . . , t
n
are such that:
t
0
< t
1
< . . . < t
n
and A = {t
0
, . . . , t
n
} [0, t]
1. Show that for all t R
+
, if s
0
. . . s
p
(p 1) is a nite
sequence in [0, t], then if:
S

=
p
j=1
|b(s
j
) b(s
j1
)|
either S = 0 or S = S(A) for some A S(t).
2. Conclude that:
t R
+
, |b|(t) = |b(0)| + sup{S(A) : A S(t)}
3. Let A S(t) and s [0, t]. Show that S(A) S(A {s}).
4. Let A, B S(t). Show that:
A B S(A) S(B)
5. Show that if t
0
. . . t
n
, n 1, and s
0
. . . s
p
, p 1, are
nite sequence in [0, t] such that:
{t
0
, . . . , t
n
} {s
0
, . . . , s
p
}
then:
n
i=1
|b(t
i
) b(t
i1
)|
p
j=1
|b(s
j
) b(s
j1
)|
+
C be of nite variation. Let s, t R
+
,
with s t. We dene:

= sup
n
i=1
|b(t
i
) b(t
i1
)|
0
. . . t
n
, n 1, in [s, t].
1. let s
0
. . . s
p
and t
0
. . . t
n
be nite sequences in [0, s]
and [s, t] respectively, where n, p 1. Show that:
p
j=1
|b(s
j
) b(s
j1
)| +|b(t
0
) b(s
p
)| +
n
i=1
|b(t
i
) b(t
i1
)|
is less or equal than |b|(t) |b(0)|.
2. Show that |b|(t) |b|(s).
3. Let t
0
. . . t
n
be a nite sequence in [0, t], where n 1, and
suppose that s = t
j
for some 0 < j < n. Show that:
n
i=1
|b(t
i
) b(t
i1
)| |b|(s) |b(0)| + (1)
4. Show that inequality (1) holds, for all t
0
. . . t
n
in [0, t].
Theorem 80 Let b : R
+
C be a map of nite variation. Then,
for all s, t R
+
, s t, we have:
|b|(t) |b|(s) = sup
n
i=1
|b(t
i
) b(t
i1
)|
0
. . . t
n
, n 1, in [s, t].
+
C be a map of nite variation. Show that
|b| is non-decreasing with |b|(0) 0, and ||b|| = |b|.
Denition 109 Let b : R
+
R be a map of nite variation. Let:
|b|
+

=
1
2
(|b| + b)
|b|

=
1
2
(|b| b)
|b|
+
, |b|
are respectively the positive, negative variation of b.

+
R be a map of nite variation.
1. Show that |b| = |b|
+
+|b|
and b = |b|
+
|b|
.
2. Show that |b|
+
(0) = b
+
(0) 0 and |b|
(0) = b
(0) 0.
3. Show that for all s, t R
+
, s t, we have:
|b(t) b(s)| |b|(t) |b|(s)
4. Show that |b|
+
and |b|
are non-decreasing.
+
C be of nite variation. Show the
existence of b
1
, b
2
, b
3
, b
4
: R
+
R
+
, non-decreasing with b
i
(0) 0,
such that b = b
1
b
2
+i(b
3
b
4
). Show conversely that if b : R
+
C
is a map with such decomposition, then it is of nite variation.
+
C be a right-continuous map of nite
variation, and x
0
R
+
.
1. Show that |b|(x
0
+) = lim
tx
0
|b|(t) = inf
x
0
<t
|b|(t) R.
2. Show that |b|(x
0
) |b|(x
0
+).
3. Given > 0, show the existence of y
0
R
+
, x
0
< y
0
, such that:
u ]x
0
, y
0
] |b(u) b(x
0
)| /2
u ]x
0
, y
0
] |b|(y
0
) |b|(u) /2
Exercise 13. Further to exercise (12), let t
0
. . . t
n
, n 1, be
a nite sequence in [0, y
0
], such that x
0
= t
j
for some 0 < j < n 1.
We choose j to be the maximum index satisfying this condition, so
that x
0
< t
j+1
y
0
.
1. Show that

j
i=1
|b(t
i
) b(t
i1
)| |b|(x
0
) |b(0)|.
2. Show that |b(t
j+1
) b(t
j
)| /2.
3. Show that

n
i=j+2
|b(t
i
) b(t
i1
)| |b|(y
0
) |b|(t
j+1
) /2.
4. Show that for all nite sequence t
0
. . . t
n
, n 1, in [0, y
0
]:
n
i=1
|b(t
i
) b(t
i1
)| |b|(x
0
) |b(0)| +
5. Show that |b|(y
0
) |b|(x
0
) + .
6. Show that |b|(x
0
+) |b|(x
0
) and that |b| is right-continuous.
+
C be a left-continuous map of nite
variation, and let x
0
R
+
\ {0}.
1. Show that |b|(x
0
) = lim
tx
0
|b|(t) = sup
t<x
0
|b|(t) R.
2. Show that |b|(x
0
) |b|(x
0
).
3. Given > 0, show the existence of y
0
]0, x
0
[, such that:
u [y
0
, x
0
[ |b(x
0
) b(u)| /2
u [y
0
, x
0
[ |b|(u) |b|(y
0
) /2
0
. . . t
n
, n 1, be
a nite sequence in [0, x
0
], such that y
0
= t
j
for some 0 < j < n 1,
and x
0
= t
n
. We denote k = max{i : j i , t
i
< x
0
}.
1. Show that j k n 1 and t
k
[y
0
, x
0
[.
2. Show that

j
i=1
|b(t
i
) b(t
i1
)| |b|(y
0
) |b(0)|.
3. Show that

k
i=j+1
|b(t
i
) b(t
i1
)| |b|(t
k
) |b|(y
0
) /2,
where if j = k, the corresponding sum is zero.
4. Show that

n
i=k+1
|b(t
i
) b(t
i1
)| = |b(x
0
) b(t
k
)| /2.
5. Show that for all nite sequence t
0
. . . t
n
, n 1, in [0, x
0
]:
n
i=1
|b(t
i
) b(t
i1
)| |b|(y
0
) |b(0)| +
6. Show that |b|(x
0
) |b|(y
0
) + .
7. Show that |b|(x
0
) |b|(x
0
) and that |b| is left-continuous.
+
C be a map of nite variation. Then:
b is right-continuous |b| is right-continuous
b is left-continuous |b| is left-continuous
b is continuous |b| is continuous
+
R be an R-valued map of nite variation.
1. Show that if b is right-continuous, then so are |b|
+
and |b|
.
2. State and prove similar results for left-continuity and continuity.
+
variation. Show the existence of b
1
, b
2
, b
3
, b
4
: R
+
R
+
, right-
continuous and non-decreasing maps with b
i
(0) 0, such that:
b = b
1
b
2
+ i(b
3
b
4
)
+
C be a right-continuous map. Let
t R
+
. For all p 1, we dene:
S
p
= |b(0)| +
2
p
k=1
|b(kt/2
p
) b((k 1)t/2
p
)|
1. Show that for all p 1, S
p
S
p+1
and dene S = sup
p1
S
p
.
2. Show that S |b|(t).
0
< . . . < t
n
be a nite
sequence of distinct elements of [0, t]. Let > 0.
1. Show that for all i = 0, . . . , n, there exists p
i
1 and
q
i
{0, 1, . . . , 2
p
i
} such that:
0 t
0

q
0
t
2
p
0
< t
1

q
1
t
2
p
1
< . . . < t
n

q
n
t
2
p
n
t
and:
|b(t
i
) b(q
i
t/2
p
i
)| , i = 0, . . . , n
2. Show the existence of p 1, and k
0
, . . . , k
n
{0, . . . , 2
p
} with:
0 t
0

k
0
t
2
p
< t
1

k
1
t
2
p
< . . . < t
n

k
n
t
2
p
t
and:
|b(t
i
) b(k
i
t/2
p
)| , i = 0, . . . , n
3. Show that:
n
i=1
|b(k
i
t/2
p
) b(k
i1
t/2
p
)| S
p
|b(0)|
4. Show that:
n
i=1
|b(t
i
) b(t
i1
)| S |b(0)| + 2n
5. Show that:
n
i=1
|b(t
i
) b(t
i1
)| S |b(0)|
6. Conclude that |b|(t) S.
+
C be right-continuous or left-continuous.
Then, for all t R
+
:
|b|(t) = |b(0)| + lim
n+
2
n
k=1
|b(kt/2
n
) b((k 1)t/2
n
)|
+
R
+
be dened by b = 1
Q
+. Show that:
+ = |b|(1) = lim
n+
2
n
k=1
|b(k/2
n
) b((k 1)/2
n
)| = 0
Exercise 21. b : R
+
C is right-continuous of bounded variation.
1. Let b = b
1
+ ib
2
. Explain why d|b
1
|
+
, d|b
1
|
, d|b
2
|
+
and d|b
2
|
are all well-dened measures on (R

+
, B(R
+
)).
2. Is this still true, if b is right-continuous of nite variation?
3. Show that d|b
1
|
+
, d|b
1
|
, d|b
2
|
+
and d|b
2
|
are nite measures.

4. Let db = d|b
1
|
+
d|b
1
|
+ i(d|b
2
|
+
d|b
2
|
). Show that db is a
well-dened complex measure on (R
+
, B(R
+
)).
5. Show that db({0}) = b(0).
+
, s t, db(]s, t]) = b(t) b(s).
7. Show that lim
t+
b(t) exists in C. We denote b() this limit.
8. Show that db(R
+
) = b().
9. Proving the uniqueness of db, justify the following:
+
C be a right-continuous map of
bounded variation. There exists a unique complex measure db on
(R
+
, B(R
+
)), such that:
(i) db({0}) = b(0)
(ii) s, t R
+
s t , db(]s, t]) = b(t) b(s)
db is called the complex stieltjes measure associated with b.
Exercise 22. Show that if a : R
+
R
+
is right-continuous, non-
decreasing with a(0) 0 and a() < +, then denition (110) of
da coincide with the already known denition (24).
Exercise 23. b : R
+
C is right-continuous of nite variation.
1. Let b = b
1
+ ib
2
. Explain why d|b
1
|
+
, d|b
1
|
, d|b
2
|
+
and d|b
2
|
are all well-dened measures on (R

+
, B(R
+
)).
2. Why is it in general impossible to dene:
db

= d|b
1
|
+
d|b
1
|
+ i(d|b
2
|
+
d|b
2
|
)
Warning: it does not make sense to write something like db, unless
b is either right-continuous, non-decreasing and b(0) 0, or b is a
right-continuous map of bounded variation.
+
C be a map. For all T R
+
, we dene
b
T
: R
+
C as b
T
(t) = b(T t) for all t R
+
.
1. Show that for all T R
+
, |b
T
| = |b|
T
.
2. Show that if b is of nite variation, then for all T R
+
, b
T
is
of bounded variation, and we have |b
T
|() = |b|(T) < +.
3. Show that if b is right-continuous and of nite variation, for all
T R
+
, db
T
is the unique complex measure on R
+
, with:
(i) db
T
({0}) = b(0)
(ii) s, t R
+
, s t , db
T
(]s, t]) = b(T t) b(T s)
4. Show that if b is R-valued and of nite variation, for all T R
+
,
we have |b
T
|
+
= (|b|
+
)
T
and |b
T
|
= (|b|
)
T
.
5. Show that if b is right-continuous and of bounded variation, for
all T R
+
, we have db
T
= db
[0,T]
= db([0, T] )
6. Show that if b is right-continuous, non-decreasing with b(0) 0,
for all T R
+
, we have db
T
= db
[0,T]
= db([0, T] )
Exercise 25. Let , be two nite measures on R
+
, such that:
(i) ({0}) ({0})
(ii) s, t R
+
, s t , (]s, t]) (]s, t])
We dene a, c : R
+
R
+
by a(t) = ([0, t]) and c(t) = ([0, t]).
1. Show that a and c are right-continuous, non-decreasing with
a(0) 0 and c(0) 0.
2. Show that da = and dc = .
3. Show that a c.
4. Dene b : R
+
R
+
by b = c a. Show that b is right-
continuous, non-decreasing with b(0) 0.
5. Show that da + db = dc.
Theorem 83 Let , be two nite measures on (R
+
, B(R
+
)) with:
(i) ({0}) ({0})
(ii) s, t R
+
, s t , (]s, t]) (]s, t])
Then , i.e. for all B B(R
+
), (B) (B).
Exercise 26. b : R
+
C is right-continuous of bounded variation.
1. Show that |db|({0}) = |b(0)| = d|b|({0}). Let s, t R
+
, s t.
2. Let t
0
. . . t
n
be a nite sequence in [s, t]. Show:
n
i=1
|b(t
i
) b(t
i1
)| |db|(]s, t])
3. Show that |b|(t) |b|(s) |db|(]s, t]).
4. Show that d|b| |db|.
5. Show that L
1
C
(R
+
, B(R
+
), |db|) L
1
C
(R
+
, B(R
+
), d|b|).
6. Show that R
+
is metrizable and strongly -compact.
7. Show that C
c
C
(R
+
), C
b
C
(R
+
) are dense in L
1
C
(R
+
, B(R
+
), |db|).
8. Let h L
1
C
(R
+
, B(R
+
), |db|). Given > 0, show the existence
of C
b
C
(R
+
) such that

| h||db| .
9. Show that |
hdb| |
db| + .
10. Show that:
||d|b|
|h|d|b|
| h|d|b|
| h||db|
11. Show that

||d|b|
|h|d|b| + .
12. For all n 1, we dene:
= (0)1
{0}
+
n2
n
1
k=0
(k/2
n
)1
]k/2
n
,(k+1)/2
n
]
Show there is M R
+
, such that |
n
(x)| M for all x and n.
13. Using the continuity of , show that
n
.
14. Show that lim

n
db =

db.
15. Show that lim
|
n
|d|b| =

||d|b|.
16. Show that for all n 1:

n
db = (0)b(0) +
n2
n
1
k=0
(k/2
n
)(b((k + 1)/2
n
) b(k/2
n
))
17. Show that |

n
db|
|
n
|d|b| for all n 1.
18. Show that |
db|
||d|b|.
19. Show that |
hdb|
|h|d|b| + 2.
20. Show that |
hdb|
|h|d|b| for all h L

1
C
(R
+
, B(R
+
), |db|).
21. Let B B(R
+
) and h L
1
C
(R
+
, B(R
+
), |db|) be such that
|h| = 1 and db =

h|db|. Show that |db|(B) =

B
hdb.
22. Conclude that |db| d|b|.
Exercise 27. b : R
+
+
, |db
T
| = d|b
T
| and d|b
T
| = d|b|
T
.
2. Show that d|b|
T
= d|b|
[0,T]
= d|b|([0, T] ), and conclude:
Theorem 84 If b : R
+
C is right-continuous of bounded varia-
tion, the total variation of its associated complex stieltjes measure, is
equal to the stieltjes measure associated with its total variation, i.e.
|db| = d|b|
If b : R
+
C is right-continuous of nite variation, then for all
T R
+
, b
T
dened by b
T
(t) = b(T t), is right-continuous of bounded
variation, and we have |db
T
| = d|b|([0, T] ).
+
E be a map, where E is a topological
space. We say that b is cadlag with respect to E, if and only if b is
right-continuous, and the limit:
b(t) = lim
st
b(s)
exists in E, for all t R
+
\ {0}. In the case when E = C, given b
cadlag, we dene b(0) = 0, and for all t R
+
:
b(t)

= b(t) b(t)
+
E be cadlag, where E is a topological
space. Suppose b has values in E
E.
1. Explain why b may not be cadlag with respect to E
.
2. Show that b is cadlag with respect to

E
.
3. Show that b : R
+
R is cadlag it is cadlag w.r. to C.
Exercise 29.
1. Show that if b : R
+
C is cadlag, then b is continuous with
b(0) = 0 if and only if b(t) = 0 for all t R
+
.
2. Show that if a : R
+
R
+
is right-continuous, non-decreasing
with a(0) 0, then a is cadlag (w.r. to R) with a 0.
3. Show that any linear combination of cadlag maps is itself cadlag.
4. Show that if b : R
+
C is a right-continuous map of nite
variation, then b is cadlag.
5. Let a : R
+
R
+
be right-continuous, non-decreasing with
a(0) 0. Show that da({t}) = a(t) for all t R
+
.
6. Let b : R
+
C be a right-continuous map of bounded varia-
tion. Show that db({t}) = b(t) for all t R
+
.
7. Let b : R
+
C be a right-continuous map of nite variation.
Let T R
+
. Show that:
t R
+
, b
T
(t) =
b(t) if t T
b(T) if T < t
Show that b
T
= (b)1
[0,T]
, and db
T
({t}) = b(t)1
[0,T]
(t).
+
C be a cadlag map and T R
+
.
1. Show that if t b(t) is not bounded on [0, T], there exists a
sequence (t
n
)
n1
in [0, T] such that |b(t
n
)| +.
2. Suppose from now on that b is not bounded on [0, T]. Show the
existence of a sequence (t
n
)
n1
in [0, T], such that t
n
t for
some t [0, T], and |b(t
n
)| +.
3. Dene R = {n 1 : t t
n
} and L = {n 1 : t
n
< t}. Show
that R and L cannot be both nite.
4. Suppose that R is innite. Show the existence of n
1
1, with:
t
n
1
[t, t + 1[[0, T]
5. If R is innite, show there is n
1
< n
2
< . . . such that:
t
n
k
[t, t +
1
k
[[0, T] , k 1
6. Show that |b(t
n
k
)| +.
7. Show that if L is innite, then t > 0 and there is an increasing
sequence n
1
< n
2
< . . ., such that:
t
n
k
]t
1
k
, t[[0, T] , k 1
8. Show that: |b(t
n
k
)| +.
+
C be a cadlag map. Let T R
+
. Then
b and t b(t) are bounded on [0, T], i.e. there exists M R
+
such
that:
|b(t)| |b(t)| M , t [0, T]
Tutorial 15: Stieltjes Integration 1
15. Stieltjes Integration
Denition 112 b : R
+
The stieltjes L
1
-spaces associated with b are dened as:
L
1
C
(b)

=
_
f : R
+
C measurable,
_
|f|d|b| < +
_
L
1,loc
C
(b)

=
_
f : R
+
C measurable,
_
t
0
|f|d|b| < +, t R
+
_
Warning : In these tutorials,
_
t
0
. . . refers to
_
[0,t]
. . ., i.e. the domain
of integration is always [0, t], not ]0, t], [0, t[, or ]0, t[.
Exercise 1. b : R
+
1. Propose a denition for L
1
R
(b) and L
1,loc
R
(b).
2. Is L
1
C
(b) the same thing as L
1
C
(R
+
, B(R
+
), d|b|)?
3. Is it meaningful to speak of L
1
C
(R
+
, B(R
+
), |db|)?
4. Show that L
1
C
(b) = L
1
C
(|b|) and L
1,loc
C
(b) = L
1,loc
C
(|b|).
5. Show that L
1
C
(b) L
1,loc
C
(b).
+
R
+
be right-continuous, non-decreasing
with a(0) 0. For all f L
1,loc
C
(a), we dene f.a : R
+
C as:
f.a(t)

=
_
t
0
fda , t R
+
1. Explain why f.a : R
+
C is a well-dened map.
2. Let t R
+
, (t
n
)
n1
be a sequence in R
+
with t
n
t. Show:
lim
n+
_
f1
[0,t
n
]
da =
_
f1
[0,t]
da
3. Show that f.a is right-continuous.
4. Let t R
+
and t
0
. . . t
n
be a nite sequence in [0, t]. Show:
n
i=1
|f.a(t
i
) f.a(t
i1
)|
_
]0,t]
|f|da
5. Show that f.a is a map of nite variation with:
|f.a|(t)
_
t
0
|f|da , t R
+
+
R
+
with a(0) 0. Let f L
1
C
(a).
1. Show that f.a is a right-continuous map of bounded variation.
2. Show d(f.a)([0, t]) = ([0, t]), for all t R
+
, where =
_
fda.
Theorem 86 Let a : R
+
R
+
1
C
(a). The map f.a : R
+
C dened by:
f.a(t)

=
_
t
0
fda , t R
+
is a right-continuous map of bounded variation, and its associated
complex stieltjes measure is given by d(f.a) =
_
fda, i.e.
d(f.a)(B) =
_
B
fda , B B(R
+
)
+
R
+
1,loc
R
(a), f 0.
1. Show f.a is right-continuous, non-decreasing with f.a(0) 0.
2. Show d(f.a)([0, t]) = ([0, t]), for all t R
+
, where =
_
fda.
3. Prove that d(f.a)([0, T] ) = ([0, T] ), for all T R
+
.
4. Prove with the following:
+
R
+
1,loc
R
(a), f 0. The map f.a : R
+
R
+
dened by:
f.a(t)

=
_
t
0
fda , t R
+
is right-continuous, non-decreasing with (f.a)(0) 0, and its associ-
ated stieltjes measure is given by d(f.a) =
_
fda, i.e.
d(f.a)(B) =
_
B
fda , B B(R
+
)
+
R
+
1,loc
C
(a) and T R
+
.
1. Show that
_
|f|1
[0,T]
da =
_
|f|da
[0,T]
=
_
|f|da
T
.
2. Show that f1
[0,T]
L
1
C
(a) and f L
1
C
(a
T
).
3. Show that (f.a)
T
= f.(a
T
) = (f1
[0,T]
).a.
4. Show that for all B B(R
+
):
d(f.a)
T
(B) =
_
B
fda
T
=
_
B
f1
[0,T]
da
5. Explain why it does not in general make sense to write:
d(f.a)
T
= d(f.a)([0, T] )
+
):
|d(f.a)
T
|(B) =
_
B
|f|1
[0,T]
da , B B(R
+
)
7. Show that |d(f.a)
T
| = d|f.a|([0, T] )
8. Show that for all t R
+
|f.a|(t) = (|f|.a)(t) =
_
t
0
|f|da
9. Show that f.a is of bounded variation if and only if f L
1
C
(a).
10. Show that (f.a)(0) = f(0)a(0).
11. Let t > 0, (t
n
)
n1
be a sequence in R
+
with t
n
t. Show:
lim
n+
_
f1
[0,t
n
]
da =
_
f1
[0,t[
da
12. Show that (f.a)(t) = f(t)a(t) for all t R
+
.
13. Show that if a is continuous with a(0) = 0, then f.a is itself
continuous with (f.a)(0) = 0.
14. Prove with the following:
+
R
+
1,loc
C
(a). The map f.a : R
+
C dened by:
f.a(t)

=
_
t
0
fda , t R
+
is right-continuous of nite variation, and we have |f.a| = |f|.a, i.e.
|f.a|(t) =
_
t
0
|f|da , t R
+
In particular, f.a is of bounded variation if and only if f L
1
C
(a).
Furthermore, we have (f.a) = fa.
+
R
+
with a(0) 0. Let b : R
+
C be right-continuous of nite variation.
1. Prove the equivalence between the following:
(i) d|b| << da
(ii) |db
T
| << da , T R
+
(iii) db
T
<< da , T R
+
2. Does it make sense in general to write db << da?
Denition 113 Let a: R
+
R
+
+
We say that b is absolutely continuous with respect to a, and we
write b << a, if and only if, one of the following holds:
(i) d|b| << da
(ii) |db
T
| << da , T R
+
(iii) db
T
<< da , T R
+
In other words, b is absolutely continuous w.r. to a, if and only if the
stieltjes measure associated with the total variation of b is absolutely
continuous w.r. to the stieltjes measure associated with a.
+
R
+
+
C be right-continuous of nite variation,
absolutely continuous w.r. to a, i.e. with b << a.
+
, there exits f
T
L
1
C
(a) such that:
db
T
(B) =
_
B
f
T
da , B B(R
+
)
2. Suppose that T, T
R
+
and T T
. Show that:
_
B
f
T
da =
_
B[0,T]
f
T
da , B B(R
+
)
3. Show that f
T
= f
T
1
[0,T]
da-a.s.
4. Show the existence of a sequence (f
n
)
n1
in L
1
C
(a), such that
for all 1 n p, f
n
= f
p
1
[0,n]
and:
n 1 , db
n
(B) =
_
B
f
n
da , B B(R
+
)
5. We dene f : (R
+
, B(R
+
)) (C, B(C)) by:
t R
+
, f(t)

= f
n
(t) for any n 1 : t [0, n]
Explain why f is unambiguously dened.
6. Show that for all B B(C), {f B} =
+
n=1
[0, n] {f
n
B}.
7. Show that f : (R
+
, B(R
+
)) (C, B(C)) is measurable.
8. Show that f L
1,loc
C
(a) and that we have:
b(t) =
_
t
0
fda , t R
+
+
R
+
+
variation. Then, b is absolutely continuous w.r. to a, i.e. d|b| << da,
if and only if there exists f L
1,loc
C
(a) such that b = f.a, i.e.
b(t) =
_
t
0
fda , t R
+
If b is R-valued, we can assume that f L
1,loc
R
(a).
If b is non-decreasing with b(0) 0, we can assume that f 0.
+
R
+
with a(0) 0. Let f, g L
1,loc
C
(a) be such that f.a = g.a, i.e.:
_
t
0
fda =
_
t
0
gda , t R
+
+
and B B(R
+
):
d(f.a)
T
(B) =
_
B
f1
[0,T]
da =
_
B
g1
[0,T]
da
+
, f1
[0,T]
= g1
[0,T]
da-a.s.
3. Show that f = g da-a.s.
Exercise 9. b : R
+
1. Show the existence of h L
1,loc
C
(|b|) such that b = h.|b|.
+
) and T R
+
:
db
T
(B) =
_
B
hd|b|
T
=
_
B
h|db
T
|
3. Show that |h| = 1 |db
T
|-a.s. for all T R
+
.
+
, d|b|([0, T] {|h| = 1}) = 0.
5. Show that |h| = 1 d|b|-a.s.
+
There exists h L
1,loc
C
(|b|) such that |h| = 1 and b = h.|b|, i.e.
b(t) =
_
t
0
hd|b| , t R
+
Denition 114 b : R
+
For all f L
1
C
(b), the stieltjes integral of f with respect to b, is
dened as:
_
fdb

=
_
fhd|b|
where h L
1,loc
C
(|b|) is such that |h| = 1 and b = h.|b|.
Warning : the notation
_
fdb of denition (114) is controversial and
potentially confusing: db is not in general a complex measure on R
+
,
unless b is of bounded variation.
Exercise 10. b : R
+
1. Show that if f L
1
C
(b), then
_
fhd|b| is well-dened.
2. Explain why, given f L
1
C
(b),
_
fdb is unambiguously dened.
3. Show that if b is right-continuous, non-decreasing with b(0) 0,
denition (114) of
_
fdb coincides with that of an integral w.r.
to the stieltjes measure db.
4. Show that if b is a right-continuous map of bounded variation,
denition (114) of
_
fdb coincides with that of an integral w.r.
to the complex stieltjes measure db.
+
variation. For all f L
1,loc
C
(b), we dene f.b : R
+
C as:
f.b(t)

=
_
t
0
fdb , t R
+
1. Explain why f.b : R
+
C is a well-dened map.
2. If b is right-continuous, non-decreasing with b(0) 0, show this
denition of f.b coincides with that of theorem (88).
3. Show f.b = (fh).|b|, where h L
1,loc
C
(|b|), |h| = 1, b = h.|b|.
4. Show that f.b : R
+
C is right-continuous of nite variation,
with |f.b| = |f|.|b|, i.e.
|f.b|(t) =
_
t
0
|f|d|b| , t R
+
5. Show that f.b is of bounded variation if and only if f L
1
C
(b).
6. Let t > 0, (t
n
)
n1
be a sequence in R
+
such that t
n
t. Show:
lim
n+
_
fh1
[0,t
n
]
d|b| =
_
fh1
[0,t[
d|b|
7. Show that (f.b) = fb.
8. Show that if b is continuous with b(0) = 0, then f.b is itself
continuous with (f.b)(0) = 0.
+
For all f L
1,loc
C
(b), the map f.b : R
+
C dened by:
f.b(t)

=
_
t
0
fdb , t R
+
is right-continuous of nite variation, and we have |f.b| = |f|.|b|, i.e.
|f.b|(t) =
_
t
0
|f|d|b| , t R
+
In particular, f.b is of bounded variation if and only if f L
1
C
(b).
Furthermore, we have (f.b) = fb.
+
Let f L
1,loc
C
(b) and T R
+
.
1. Show that
_
|f|1
[0,T]
d|b| =
_
|f|d|b|
[0,T]
=
_
|f|d|b
T
|.
2. Show that f1
[0,T]
L
1
C
(b) and f L
1
C
(b
T
).
3. Show b
T
= h.|b
T
|, where h L
1,loc
C
(|b|), |h| = 1, b = h.|b|.
4. Show that (f.b)
T
= f.(b
T
) = (f1
[0,T]
).b
5. Show that d|f.b|(B) =
_
B
|f|d|b| for all B B(R
+
).
6. Let g : R
+
C be a measurable map. Show the equivalence:
g L
1,loc
C
(f.b) gf L
1,loc
C
(b)
7. Show that d(f.b)
T
(B) =
_
B
fhd|b
T
| for all B B(R
+
).
8. Show that db
T
=
_
hd|b
T
| and conclude that:
d(f.b)
T
(B) =
_
B
fdb
T
, B B(R
+
)
9. Let g L
1,loc
C
(f.b). Show that g L
1
C
((f.b)
T
) and:
_
g1
[0,t]
d(f.b)
T
=
_
gf1
[0,t]
db
T
, t R
+
10. Show that g.
_
(f.b)
T
_
= (gf).(b
T
).
11. Show that (g.(f.b))
T
= ((gf).b)
T
.
12. Show that g.(f.b) = (gf).b
+
For all f L
1,loc
C
(b) and g : (R
+
, B(R
+
)) (C, B(C)) measurable
map, we have the equivalence:
g L
1,loc
C
(f.b) gf L
1,loc
C
(b)
and when such condition is satised, g.(f.b) = (fg).b, i.e.
_
t
0
gd(f.b) =
_
t
0
gfdb , t R
+
+
let f, g L
1,loc
C
(b) and C. Show that f + g L
1,loc
C
(b), and:
(f + g).b = f.b + g.b
Exercise 14. Let b, c : R
+
C be two right-continuous maps of
nite variations. Let f L
1,loc
C
(b) L
1,loc
C
(c) and C.
+
, d(b + c)
T
= db
T
+ dc
T
.
+
, d|b + c|
T
d|b|
T
+||d|c|
T
.
3. Show that d|b + c| d|b| +||d|c|.
4. Show that f L
1,loc
C
(b + c).
5. Show d(f.(b + c))
T
(B) =
_
B
fd(b + c)
T
for all B B(R
+
).
6. Show that d(f.(b + c))
T
= d(f.b)
T
+ d(f.c)
T
.
7. Show that (f.(b + c))
T
= (f.b)
T
+ (f.c)
T
8. Show that f.(b + c) = f.b + (f.c).
+
1. Show that d|b| d|b
1
| + d|b
2
|, where b = b
1
+ ib
2
.
2. Show that d|b
1
| d|b| and d|b
2
| d|b|.
3. Show that f L
1,loc
C
(b), if and only if:
f L
1,loc
C
(|b
1
|
+
) L
1,loc
C
(|b
1
|
) L
1,loc
C
(|b
2
|
+
) L
1,loc
C
(|b
2
|
)
4. Show that if f L
1,loc
C
(b), for all t R
+
:
_
t
0
fdb =
_
t
0
fd|b
1
|
+
_
t
0
fd|b
1
|
+i
__
t
0
fd|b
2
|
+
_
t
0
fd|b
2
|
_
+
R
+
with a(0) 0. We dene c : R
+
[0, +] as:
c(t)

= inf{s R
+
: t < a(s)} , t R
+
where it is understood that inf = +. Let s, t R
+
.
1. Show that t < a(s) c(t) s.
2. Show that c(t) < s t < a(s).
3. Show that c(t) s t < a(s + ) , > 0.
4. Show that c(t) s t a(s).
5. Show that c(t) < + t < a().
6. Show that c is non-decreasing.
7. Show that if t
0
[a(), +[, c is right-continuous at t
0
.
8. Suppose t
0
[0, a()[. Given > 0, show the existence of
s R
+
, such that c(t
0
) s < c(t
0
) + and t
0
< a(s).
9. Show that t [t
0
, a(s)[ c(t
0
) c(t) c(t
0
) + .
10. Show that c is right-continuous.
11. Show that if a() = +, then c is a map c : R
+
R
+
which
is right-continuous, non-decreasing with c(0) 0.
12. We dene a(s) = inf{t R
+
: s < c(t)} for all s R
+
. Show
that for all s, t R
+
, s < c(t) a(s) t.
13. Show that a a.
+
and > 0:
a(s + ) t s < s + c(t)
+
and > 0, a(s +) t a(s) t.
16. Show that a a and conclude that:
a(s) = inf{t R
+
: s < c(t)}
Exercise 17. Let f : R
+

R be a non-decreasing map. Let R.
We dene:
x
0
= sup{x R
+
: f(x) }
1. Explain why x
0
= if and only if {f } = .
2. Show that x
0
= + if and only if {f } = R
+
.
3. We assume from now on that x
0
= . Show that x
0
R
+
.
4. Show that if f(x
0
) then {f } = [0, x
0
].
5. Show that if < f(x
0
) then {f } = [0, x
0
[.
6. Conclude that f : (R
+
, B(R
+
)) (
R, B(
R)) is measurable.
+
R
+
+
[0, +] as:
c(t)

= inf{s R
+
: t < a(s)} , t R
+
1. Let f : R
+
[0, +] be non-negative and measurable. Show
(f c)1
{c<+}
is well-dened, non-negative and measurable.
2. Let t, u R
+
, and ds be the lebesgue measure on R
+
. Show:
_
a(t)
0
(1
[0,u]
c)1
{c<+}
ds
_
1
[0,a(tu)]
1
{c<+}
ds
3. Show that:
_
a(t)
0
(1
[0,u]
c)1
{c<+}
ds a(t u)
4. Show that:
a(t u) =
_
a(t)
0
1
[0,a(u)[
ds =
_
a(t)
0
1
[0,a(u)[
1
{c<+}
ds
5. Show that:
a(t u)
_
a(t)
0
(1
[0,u]
c)1
{c<+}
ds
6. Show that:
_
t
0
1
[0,u]
da =
_
a(t)
0
(1
[0,u]
c)1
{c<+}
ds
7. Dene:
D
t
=
_
B B(R
+
) :
_
t
0
1
B
da =
_
a(t)
0
(1
B
c)1
{c<+}
ds
_
Show that D
t
is a dynkin system on R
+
, and D
t
= B(R
+
).
8. Show that if f : R
+
[0, +] is non-negative measurable:
_
t
0
fda =
_
a(t)
0
(f c)1
{c<+}
ds , t R
+
9. Let f : R
+
C be measurable. Show that (f c)1
{c<+}
is
itself well-dened and measurable.
10. Show that if f L
1,loc
C
(a), then for all t R
+
, we have:
(f c)1
{c<+}
1
[0,a(t)]
L
1
C
(R
+
, B(R
+
), ds)
and furthermore:
_
t
0
fda =
_
a(t)
0
(f c)1
{c<+}
ds
11. Show that we also have:
_
t
0
fda =
_
(f c)1
[0,a(t)[
ds
+
R
+
+
[0, +] as:
c(t)

= inf{s R
+
: t < a(s)} , t R
+
Then, for all f L
1,loc
C
(a), we have:
_
t
0
fda =
_
a(t)
0
(f c)1
{c<+}
ds , t R
+
where ds is the lebesgue measure on R
+
.
Tutorial 16: Dierentiation 1
16. Dierentiation
Denition 115 Let (, T ) be a topological space. A map f :

R
is said to be lower-semi-continuous (l.s.c), if and only if:
R , { < f} is open
We say that f is upper-semi-continuous (u.s.c), if and only if:
R , {f < } is open
Exercise 1. Let f :

R be a map, where is a topological space.
1. Show that f is l.s.c if and only if { < f} is open for all

R.
2. Show that f is u.s.c if and only if {f < } is open for all

R.
3. Show that every open set U in

R can be written:
U = V
+
V
iI
]
i
,
i
[
for some index set I,
i
,
i
R, V
+
= or V
+
=], +],
( R) and V
= or V
= [, [, ( R).
4. Show that f is continuous if and only if it is both l.s.c and u.s.c.
5. Let u : R and v :

R. Let R. Show that:
{ < u +v} =
(
1
,
2
) R
2
1
+
2
=
{
1
< u} {
2
< v}
6. Show that if both u and v are l.s.c, then u +v is also l.s.c.
7. Show that if both u and v are u.s.c, then u + v is also u.s.c.
8. Show that if f is l.s.c, then f is l.s.c, for all R
+
.
9. Show that if f is u.s.c, then f is u.s.c, for all R
+
.
10. Show that if f is l.s.c, then f is u.s.c.
11. Show that if f is u.s.c, then f is l.s.c.
12. Show that if V is open in , then f = 1
V
is l.s.c.
13. Show that if F is closed in , then f = 1
F
is u.s.c.
Exercise 2. Let (f
i
)
iI
be an arbitrary family of maps f
i
:

R,
dened on a topological space .
1. Show that if all f
i
s are l.s.c, then f = sup
iI
f
i
is l.s.c.
2. Show that if all f
i
s are u.s.c, then f = inf
iI
f
i
is u.s.c.
space. Let be a locally nite measure on (, B()). Let f be an
element of L
1
R
(, B(), ), such that f 0.
1. Let (s
n
)
n1
be a sequence of simple functions on (, B()) such
that s
n
f. Dene t
1
= s
1
and t
n
= s
n
s
n1
for all n 2.
Show that t
n
is a simple function on (, B()), for all n 1.
2. Show that f can be written as:
f =
+
n=1
n
1
A
n
where
n
R
+
\ {0} and A
n
B(), for all n 1.
3. Show that (A
n
) < +, for all n 1.
4. Show that there exist K
n
compact and V
n
open in such that:
K
n
A
n
V
n
, (V
n
\ K
n
)

n
2
n+1
for all > 0 and n 1.
5. Show the existence of N 1 such that:
+
n=N+1
n
(A
n
)

2
6. Dene u =
N
n=1
n
1
K
n
. Show that u is u.s.c.
7. Dene v =
+
n=1
n
1
V
n
. Show that v is l.s.c.
8. Show that we have 0 u f v.
9. Show that we have:
v = u +
+
n=N+1
n
1
K
n
+
+
n=1
n
1
V
n
\K
n
10. Show that

vd
ud + < +.
11. Show that u L
1
R
(, B(), ).
12. Explain why v may fail to be in L
1
R
(, B(), ).
13. Show that v is -a.s. equal to an element of L
1
R
(, B(), ).
14. Show that

(v u)d .
Theorem 94 (Vitali-Caratheodory) Let (, T ) be a metrizable
and -compact topological space. Let be a locally nite measure
on (, B()) and f be an element of L
1
R
(, B(), ). Then, for all
> 0, there exist maps u, v :

R, which are -a.s. equal to
elements of L
1
R
(, B(), ), such that u f v, u is u.s.c, v is l.s.c,
and furthermore:

(v u)d
Denition 116 We call connected topological space, a topolog-
ical space (, T ), for which the only subsets of which are both open
and closed, are and .
1. Show that (, T ) is connected if and only if whenever = AB
where A, B are disjoint open sets, we have A = or B = .
2. Show that (, T ) is connected if and only if whenever = AB
where A, B are disjoint closed sets, we have A = or B = .
Denition 117 Let (, T ) be a topological space, and A . We
say that A is a connected subset of , if and only if the induced
topological space (A, T
|A
) is connected.
Exercise 5. Let A be open and closed in R, with A = and A
c
= .
1. Let x A
c
. Show that A[x, +[ or A] , x] is non-empty.
2. Suppose B = A [x, +[= . Show that B is closed and that
we have B = A]x, +[. Conclude that B is also open.
3. Let b = inf B. Show that b B (and in particular b R).
4. Show the existence of > 0 such that ]b , b +[ B.
Theorem 95 The topological space (R, T
R
) is connected.
Exercise 6. Let (, T ) be a topological space and A be a
connected subset of . Let B be a subset of such that A B

A.
We assume that B = V
1
V
2
where V
1
, V
2
are disjoint open sets in B.
1. Show there is U
1
, U
2
open in , with V
1
= BU
1
, V
2
= BU
2
.
2. Show that A U
1
= or A U
2
= .
3. Suppose that A U
1
= . Show that

A U
c
1
.
4. Show then that V
1
= B U
1
= .
5. Conclude that B and

A are both connected subsets of .
Theorem 96 Let (, T ), (
, T
) be two topological spaces, and f

be a continuous map, f :
. If (, T ) is connected, then f()

is a connected subset of
.
Denition 118 Let A

R. We say that A is an interval, if and
only if for all x, y A with x y, we have [x, y] A, where:
[x, y]

= {z

R : x z y}
Exercise 8. Let A

R.
1. If A is an interval, and = inf A, = sup A, show that:
], [ A [, ]
2. Show that A is an interval if and only if, it is of the form [, ],
[, [, ], ] or ], [, for some ,

R.
3. Show that an interval of the form ] , [, where R, is
homeomorphic to ] 1,
[, for some
R.
4. Show that an interval of the form ], +[, where R, is
homeomorphic to ]
, 1[, for some
R.
5. Show that an interval of the form ], [, where , R and
< , is homeomorphic to ] 1, 1[.
6. Show that ] 1, 1[ is homeomorphic to R.
7. Show an non-empty open interval in R, is homeomorphic to R.
8. Show that an open interval in R, is a connected subset of R.
9. Show that an interval in R, is a connected subset of R.
Exercise 9. Let A R be a non-empty connected subset of R, and
= inf A, = sup A. We assume there exists x
0
A
c
], [.
1. Show that A]x
0
, +[ or A] , x
0
[ is empty.
2. Show that if A]x
0
, +[= , then cannot be sup A.
3. Show that ], [ A [, ].
Theorem 97 For all A R, A is a connected subset of R , if and
only if A is an interval.
Theorem 98 Let f : R be a continuous map, where (, T )
is a connected topological space. Let a, b such that f(a) f(b).
Then, for all z [f(a), f(b)], there exists x such that z = f(x).
Exercise 11. Let a, b R, a < b, and f : [a, b] R be a map such
that f
(x) exists for all x [a, b].

1. Show that f
: ([a, b], B([a, b])) (R, B(R)) is measurable.

2. Show that f
L
1
R
([a, b], B([a, b]), dx) is equivalent to:
b
a
|f
(t)|dt < +
3. We assume from now on that f
L
1
R
([a, b], B([a, b]), dx). Given
> 0, show the existence of g : [a, b]

R, almost surely equal
to an element of L
1
R
([a, b], B([a, b]), dx), such that f
g and g
is l.s.c, with:
b
a
g(t)dt
b
a
f
(t)dt +
4. By considering g + for some > 0, show that without loss of
generality, we can assume that f
< g with the above inequality

still holding.
5. We dene the complex measure =
gdx M
1
([a, b], B([a, b])).
Show that:
> 0 , > 0 , E B([a, b]) , dx(E) |(E)| <
6. For all > 0 and x [a, b], we dene:

F
(x)

=
x
a
g(t)dt f(x) +f(a) +(x a)
Show that F
: [a, b] R is a continuous map.

7. being xed, let x = sup F
1
({0}). Show that x [a, b] and

F
(x) = 0.
8. We assume that x [a, b[. Show the existence of > 0 such
that for all t ]x, x +[[a, b], we have:
f
(x) < g(t) and

f(t) f(x)
t x
< f
(x) +
9. Show that for all t ]x, x+[[a, b], we have F
(t) > F
(x) = 0.
10. Show that there exists t
0
such that x < t
0
< b and F
(t
0
) > 0.
11. Show that if F
(b) < 0 then x cannot be sup F

1
({0}).
12. Conclude that F
(b) 0, even if x = b.
13. Show that f(b) f(a)
b
a
f
(t)dt, and conclude:

Theorem 99 (Fundamental Calculus) Let a, b R, a < b, and
f : [a, b] R be a map which is dierentiable at every point of [a, b],
and such that:
b
a
|f
(t)|dt < +
Then, we have:
f(b) f(a) =
b
a
f
(t)dt
Exercise 12. Let > 0, and k
: R
n
R
n
dened by k
(x) = x.
1. Show that k
: (R
n
, B(R
n
)) (R
n
, B(R
n
)) is measurable.
n
), we have:
dx({k
B}) =
1
n
dx(B)
3. Show that for all > 0 and x R
n
:
dx(B(x, )) =
n
dx(B(0, 1))
Denition 119 Let be a complex measure on (R
n
, B(R
n
)), n 1,
with total variation ||. We call maximal function of , the map
M : R
n
[0, +], dened by:
x R
n
, (M)(x)

= sup
>0
||(B(x, ))
dx(B(x, ))
where B(x, ) is the open ball in R
n
, of center x and radius , with
respect to the usual metric of R
n
.
Exercise 13. Let be a complex measure on (R
n
, B(R
n
)).
1. Let R. Show that if < 0, then { < M} = R
n
.
2. Show that if = 0, then { < M} = R
n
if = 0, and
{ < M} is the empty set if = 0.
3. Suppose > 0. Let x { < M}. Show the existence of > 0
such that ||(B(x, )) = tdx(B(x, )), for some t > .
4. Show the existence of > 0 such that ( +)
n
<
n
t/.
5. Show that if y B(x, ), then B(x, ) B(y, +).
6. Show that if y B(x, ), then:
||(B(y, +))

n
t
( +)
n
dx(B(y, +)) > dx(B(y, +))
7. Conclude that B(x, ) { < M}, and that the maximal
function M : R
n
[0, +] is l.s.c, and therefore measurable.
Exercise 14. Let B
i
= B(x
i
,
i
), i = 1, . . . , N, N 1, be a nite
collection of open balls in R
n
. Assume without loss of generality that
N
. . .
1
. We dene a sequence (J
k
) of sets by J
0
= {1, . . . , N}
and for all k 1:
J
k
J
k1
{j : j > i
k
, B
j
B
i
k
= } if J
k1
=
if J
k1
=
where we have put i
k
= min J
k1
, whenever J
k1
= .
1. Show that if J
k1
= then J
k
J
k1
(strict inclusion), k 1.
2. Let p = min{k 1 : J
k
= }. Show that p is well-dened.
3. Let S = {i
1
, . . . , i
p
}. Explain why S is well dened.
4. Suppose that 1 k < k
p. Show that i
k
J
k
.
5. Show that (B
i
)
iS
is a family of pairwise disjoint open balls.
6. Let i {1, . . . , N} \ S, and dene k
0
to be the minimum of the
set {k N
p
: i J
k
}. Explain why k
0
is well-dened.
7. Show that i J
k
0
1
and i
k
0
i.
8. Show that B
i
B
i
k
0
= .
9. Show that B
i
B(x
i
k
0
, 3
i
k
0
).
10. Conclude that there exists a subset S of {1, . . . , N} such that
(B
i
)
iS
is a family of pairwise disjoint balls, and:
N
i=1
B(x
i
,
i
)
iS
B(x
i
, 3
i
)
11. Show that:
dx
i=1
B(x
i
,
i
)
3
n
iS
dx(B(x
i
,
i
))
Exercise 15. Let be a complex measure on R
n
. Let > 0 and K
be a non-empty compact subset of { < M}.
1. Show that K can be covered by a nite collection B
i
= B(x
i
,
i
),
i = 1, . . . , N of open balls, such that:
i = 1, . . . , N , dx(B
i
) < ||(B
i
)
2. Show the existence of S {1, . . . , N} such that:
dx(K) 3
n
1
||
iS
B(x
i
,
i
)
3. Show that dx(K) 3

n

Theorem 100 Let be a complex measure on (R
n
, B(R
n
)), n 1,
with maximal function M. Then, for all R
+
\ {0}, we have:
dx({ < M}) 3
n

Denition 120 Let f L
1
C
(R
n
, B(R
n
), dx), and be the complex
measure =
fdx on R
n
, n 1. We call maximal function of f,
denoted Mf, the maximal function M of .
1
C
(R
n
, B(R
n
), dx), n 1.
1. Show that for all x R
n
:
(Mf)(x) = sup
>0
1
dx(B(x, ))
B(x,)
|f|dx
2. Show that for all > 0, dx({ < Mf}) 3
n
1
f
1
.
Denition 121 Let f L
1
C
(R
n
, B(R
n
), dx), n 1. We say that
x R
n
is a lebesgue point of f, if and only if we have:
lim
0
1
dx(B(x, ))
B(x,)
|f(y) f(x)|dy = 0
1
C
(R
n
, B(R
n
), dx), n 1.
1. Show that if f is continuous at x R
n
, then x is a Lebesgue
point of f.
2. Show that if x R
n
is a Lebesgue point of f, then:
f(x) = lim
0
1
dx(B(x, ))
B(x,)
f(y)dy
Exercise 18. Let n 1 and f L
1
C
(R
n
, B(R
n
), dx). For all > 0
and x R
n
, we dene:
(T
f)(x)

=
1
dx(B(x, ))
B(x,)
|f(y) f(x)|dy
and we put, for all x R
n
:
(Tf)(x)

= limsup
0
(T
f)(x)

= inf
>0
sup
u]0,[
(T
u
f)(x)
1. Given > 0, show the existence of g C
c
C
(R
n
) such that:
f g
1

2. Let h = f g. Show that for all > 0 and x R
n
:
(T
h)(x)
1
dx(B(x, ))
B(x,)
|h|dx +|h(x)|
3. Show that Th Mh +|h|.
4. Show that for all > 0, we have T
f T
g +T
h.
5. Show that Tf Tg +Th.
6. Using the continuity of g, show that Tg = 0.
7. Show that Tf Mh +|h|.
8. Show that for all > 0, {2 < Tf} { < Mh} { < |h|}.
9. Show that dx({ < |h|})
1
h
1
.
10. Conclude that for all > 0 and > 0, there is N
,
B(R
n
)
such that {2 < Tf} N
,
and dx(N
,
) .
11. Show that for all > 0, there exists N
B(R
n
) such that
{2 < Tf} N
and dx(N
) = 0.
12. Show there is N B(R
n
), dx(N) = 0, such that {Tf > 0} N.
13. Conclude that Tf = 0 , dxa.s.
Theorem 101 Let f L
1
C
(R
n
, B(R
n
), dx), n 1. Then, dx-almost
surely, any x R
n
is a lebesgue points of f, i.e.
dx-a.s. , lim
0
1
dx(B(x, ))
B(x,)
|f(y) f(x)|dy = 0
Exercise 19. Let (, F, ) be a measure space and
F. We
dene F
= F
|
and
=
|F
. For all map f :
[0, +] (or C),

we dene

f : [0, +] (or C), by:
f()

=
f() if
0 if
1. Show that F
F and conclude that
is therefore a well-
dened measure on (
, F
).
2. Let A F
and 1
A
be the characteristic function of A dened
on
. Let 1
A
be the characteristic function of A dened on .
Show that

1
A
= 1
A
.
3. Let f : (
, F
) [0, +] be a non-negative and measurable

map. Show that

f : (, F) [0, +] is also non-negative and
measurable, and that we have:
fd
fd
4. Let f L
1
C
(
, F
). Show that

f L
1
C
(, F, ), and:
fd
fd
+
variation. We say that b is absolutely continuous, if and only if it
is absolutely continuous with respect to a(t) = t.
+
1. Show that b is absolutely continuous, if and only if there is
f L
1,loc
C
(t) such that b(t) =
t
0
f(s)ds, for all t R
+
.
2. Show that b absolutely continuous b continuous with b(0) = 0.
+
C be an absolutely continuous map.
Let f L
1,loc
C
(t) be such that b = f.t. For all n 1, we dene
f
n
: R C by:
f
n
(t)

=
f(t)1
[0,n]
(t) if t R
+
0 if t < 0
1. Let n 1. Show f
n
L
1
C
(R, B(R), dx) and for all t [0, n]:
b(t) =
t
0
f
n
dx
2. Show the existence of N
n
B(R) such that dx(N
n
) = 0, and
for all t N
c
n
, t is a Lebesgue point of f
n
.
3. Show that for all t R, and > 0:
1
t+
t
|f
n
(s) f
n
(t)|ds
2
dx(B(t, ))
B(t,)
|f
n
(s) f
n
(t)|ds
4. Show that for all t N
c
n
, we have:
lim
0
1
t+
t
f
n
(s)ds = f
n
(t)
5. Show similarly that for all t N
c
n
, we have:
lim
0
1
t
t
f
n
(s)ds = f
n
(t)
6. Show that for all t N
c
n
[0, n[, b
(t) exists and b
(t) = f(t).
1
7. Show the existence of N B(R
+
), such that dx(N) = 0, and:
t N
c
, b
(t) exists with b
(t) = f(t)
1
b
(0) being a r.h.s derivative only.

Theorem 102 A map b : R
+
C is absolutely continuous, if and
only if there exists f L
1,loc
C
(t) such that:
t R
+
, b(t) =
t
0
f(s)ds
in which case, b is almost surely dierentiable with b
= f dx-a.s.
Tutorial 17: Image Measure 1
17. Image Measure
In the following, K denotes R or C. We denote /
n
(K), n 1,
the set of all n n-matrices with K-valued entries. We recall that
for all M = (m
ij
) /
n
(K), M is identied with the linear map
M : K
n
K
n
uniquely determined by:
j = 1, . . . , n , Me
j
=
n
i=1
m
ij
e
i
where (e
1
, . . . , e
n
) is the canonical basis of K
n
, i.e. e
i
= (0, .,
i
1 , ., 0).
Exercise 1. For all K, let H
/
n
(K) be dened by:
H
1 0
0
.
.
.
1

i.e. by H
e
1
= e
1
, H
e
j
= e
j
, for all j 2. For k, l 1, . . . , n,
we dene the matrix
kl
/
n
(K) by
kl
e
k
= e
l
,
kl
e
l
= e
k
and
kl
e
j
= e
j
, for all j 1, . . . , n k, l. If n 2, we dene the
matrix U /
n
(K) by:
U

=
1 0
1 1 0
0
.
.
.
1
i.e. by Ue
1
= e
1
+e
2
, Ue
j
= e
j
for all j 2. If n = 1, we put U = 1.
We dene ^
n
(K) = H
: K
kl
: k, l = 1, . . . , n U,
and /
n
(K) to be the set of all nite products of elements of ^
n
(K):
/
n
(K)

= M/
n
(K): M = Q
1
. . . . .Q
p
, p 1 , Q
j
^
n
(K) , j
We shall prove that /
n
(K) = /
n
(K).
1. Show that if K 0, H
is non-singular with H
1
= H
1/
2. Show that if k, l = 1, . . . , n,
kl
is non-singular with
1
kl
=
kl
.
3. Show that U is non-singular, and that for n 2:
U
1
=
1 0
1 1 0
0
.
.
.
1
4. Let M = (m
ij
) /
n
(K). Let R
1
, . . . , R
n
be the rows of M:
M

=
R
1
R
2
.
.
.
R
n

Show that for all K:
H
.M =
R
1
R
2
.
.
.
R
n
Conclude that multiplying M by H
from the left, amounts to

multiplying the rst row of M by .
5. Show that multiplying M by H
from the right, amounts to

multiplying the rst column of M by .
6. Show that multiplying M by
kl
from the left, amounts to swap-
ping the rows R
l
and R
k
.
7. Show that multiplying M by
kl
from the right, amounts to
swapping the columns C
l
and C
k
.
8. Show that multiplying M by U
1
from the left ( n 2), amounts
to subtracting R
1
to R
2
, i.e.:
U
1
.
R
1
R
2
.
.
.
R
n
R
1
R
2
R
1
.
.
.
R
n
9. Show that multiplying M by U

1
from the right (for n 2),
amounts to subtracting C
2
to C
1
.
10. Dene U
=
12
.U
1
.
12
, (n 2). Show that multiplying M
by U
from the right, amounts to subtracting C

1
to C
2
.
11. Show that if n = 1, then indeed we have /
1
(K) = /
1
(K).
Exercise 2. Further to exercise (1), we now assume that n 2, and
make the induction hypothesis that /
n1
(K) = /
n1
(K).
1. Let O
n
/
n
(K) be the matrix with all entries equal to zero.
Show the existence of Q
1
, . . . , Q
p
^
n1
(K), p 1, such that:
O
n1
= Q
1
. . . . .Q
p
2. For k = 1, . . . , p, we dene Q
k
/
n
(K), by:
Q
k
0
Q
k
.
.
.
0
0 . . . 0 1

Show that Q
k
^
n
(K), and that we have:
1n
.Q
1
. . . . .Q
p
.
1n
=
1 0 . . . 0
0
.
.
. O
n1
0
3. Conclude that O
n
/
n
(K).
4. We now consider M = (m
ij
) /
n
(K), M ,= O
n
. We want to
show that M /
n
(K). Show that for some k, l 1, . . . , n:
H
1
m
kl
.
1k
.M.
1l
=
1 . . .
.
.
.
5. Show that if H
1
m
kl
.
1k
.M.
1l
/
n
(K), then M /
n
(K).
Conclude that without loss of generality, in order to prove that
M lies in /
n
(K) we can assume that m
11
= 1.
6. Let i = 2, . . . , n. Show that if m
i1
,= 0, we have:
H
1
m
i1
.
2i
.U
1
.
2i
.H
1
1/m
i1
.M =
1 . . .
0 i
7. Conclude that without loss of generality, we can assume that

m
i1
= 0 for all i 2, i.e. that M is of the form:
M =
1 . . .
0
.
.
.
0
8. Show that in order to prove that M /
n
(K), without loss of
generality, we can assume that M is of the form:
M =
1 0 . . . 0
0
.
.
. M
9. Prove that M /
n
(K) and conclude with the following:
Theorem 103 Given n 2, any n n-matrix with values in K is
a nite product of matrices Q of the following types:
(i) Qe
1
= e
1
, Qe
j
= e
j
, j = 2, . . . , n , ( K)
(ii) Qe
l
= e
k
, Qe
k
= e
l
, Qe
j
= e
j
, j ,= k, l , (k, l N
n
)
(iii) Qe
1
= e
1
+e
2
, Qe
j
= e
j
, j = 2, . . . , n
where (e
1
, . . . , e
n
) is the canonical basis of K
n
.
Denition 123 Let X : (, T) (
, T
) be a measurable map,
where (, T) and (
, T
) are two measurable spaces. Given a measure

(possibly complex) on (, T), we call distribution of X under ,
or law of X under , or image measure of by X, the measure
(possibly complex) denoted
X
or X() on (
, T
), dened by:
B T
,
X
(B)

= (X B) = (X
1
(B))
Exercise 3. Let X : (, T) (
, T
) be a measurable map, where

(, T) and (
, T
) are two measurable spaces.

1. Show that if is a measure on (, T),
X
is a well-dened
measure on (
, T
).
2. Show that if is a complex measure on (, T),
X
is a well-
dened complex measure on (
, T
).
3. Let B T
. Show that if (E
n
)
n1
is a measurable partition of
B, then (X
1
(E
n
))
n1
is a measurable partition of X
1
(B).
4. Show that if is a complex measure on (, T), then [
X
[ [[
X
.
5. Let Y : (
, T
) (
, T
) be a measurable map, where

(
, T
) is another measurable space. Show that for all (possi-

bly complex) measure on (, T), we have:
Y (X()) = (Y X)() = (
X
)
Y
=
(Y X)
Denition 124 Let be a measure (possibly complex) on R
n
, n 1.
We say that is invariant by translation, if and only if for all
a R
n
, and associated translation mapping
a
: R
n
R
n
dened by
a
(x) = a +x, we have
a
() = .
Exercise 4. Let be a measure (possibly complex) on (R
n
, B(R
n
)).
1. Show that
a
: (R
n
, B(R
n
)) (R
n
, B(R
n
)) is measurable.
2. Show
a
() is therefore a well-dened (possibly complex) mea-
sure on (R
n
, B(R
n
)), for all a R
n
.
3. Show that
a
(dx) = dx for all a R
n
.
4. Show the lebesgue measure on R
n
is invariant by translation.
Exercise 5. Let k
: R
n
R
n
be dened by k
(x) = x, > 0.
1. Show that k
: (R
n
, B(R
n
)) (R
n
, B(R
n
)) is measurable.
2. Show that k
(dx) =
n
dx.
Theorem 104 (Integral Projection 1) Let X: (, T) (
, T
)
be a measurable map, where (, T), (
, T
) are measurable spaces.

Let be a measure on (, T). Then, for all f : (
, T
) [0, +]
non-negative and measurable, we have:
f Xd =
fdX()
, T
)
, T

Let be a measure on (, T). Then, for all f : (
, T
) (C, B(C))
measurable, we have the equivalence:
f X L
1
C
(, T, ) f L
1
C
(
, T
, X())
in which case, we have:
f Xd =
fdX()
Exercise 8. Further to theorem (105), suppose is in fact a complex
measure on (, T). Show that:
[f[d[X()[
[f X[d[[ (1)
Conclude with the following:
, T
)
, T

Let be a complex measure on (, T). Then, for all measurable map
f : (
, T
) (C, B(C)), we have:

f X L
1
C
(, T, ) f L
1
C
(
, T
, X())
and when the left-hand side of this implication is satised:
f Xd =
fdX()
Exercise 9. Let X : (, T) (R
n
, B(R
n
)) be a measurable map
with distribution = X(P), where (, T, P) is a probability space.
1. Show that X is integrable, if and only if:
[x[d(x) < +
2. Show that if X is integrable, then:
E[X] =
xd(x)
3. Show that:
E[X
2
] =
x
2
d(x)
Exercise 10. Let be a locally nite measure on (R
n
, B(R
n
)), which
is invariant by translation. For all a = (a
1
, . . . , a
n
) (R
+
)
n
, we dene
Q
a
= [0, a
1
[. . . [0, a
n
[, and in particular Q = Q
(1,...,1)
= [0, 1[
n
.
1. Show that (Q
a
) < + for all a (R
+
)
n
, and (Q) < +.
2. Let p = (p
1
, . . . , p
n
) where p
i
1 is an integer for all is. Show:
Q
p
=
k = (k
1
, . . . , k
n
)
0 k
i
< p
i
[k
1
, k
1
+ 1[. . . [k
n
, k
n
+ 1[
3. Show that (Q
p
) = p
1
. . . p
n
(Q).
4. Let q
1
, . . . , q
n
1 be n positive integers. Show that:
Q
p
=

k = (k
1
, . . . , k
n
)
0 k
i
< q
i
[
k
1
p
1
q
1
,
(k
1
+ 1)p
1
q
1
[. . . [
k
n
p
n
q
n
,
(k
n
+ 1)p
n
q
n
[
5. Show that (Q
p
) = q
1
. . . q
n
(Q
(p
1
/q
1
,...,p
n
/q
n
)
)
6. Show that (Q
r
) = r
1
. . . r
n
(Q), for all r (Q
+
)
n
.
7. Show that (Q
a
) = a
1
. . . a
n
(Q), for all a (R
+
)
n
.
8. Show that (B) = (Q)dx(B), for all B (, where:
(

= [a
1
, b
1
[. . . [a
n
, b
n
[ , a
i
, b
i
R , a
i
b
i
, i N
n
9. Show that B(R

n
) = (().
10. Show that = (Q)dx, and conclude with the following:
Theorem 107 Let be a locally nite measure on (R
n
, B(R
n
)). If
is invariant by translation, then there exists R
+
such that:
= dx
Exercise 11. Let T : R
n
R
n
be a linear bijection.
1. Show that T and T
1
are continuous.
2. Show that for all B R
n
, the inverse image T
1
(B) = T B
coincides with the direct image:
T
1
(B)

= y : y = T
1
(x) for some x B
3. Show that for all B R
n
, the direct image T(B) coincides with
the inverse image (T
1
)
1
(B) = T
1
B.
4. Let K R
n
be compact. Show that T K is compact.
5. Show that T(dx) is a locally nite measure on (R
n
, B(R
n
)).
6. Let
a
be the translation of vector a R
n
. Show that:
T
T
1
(a)
=
a
T
7. Show that T(dx) is invariant by translation.
8. Show the existence of R
+
, such that T(dx) = dx. Show
that such constant is unique, and denote it by (T).
9. Show that Q = T([0, 1]
n
) B(R
n
) and that we have:
(T)dx(Q) = T(dx)(Q) = 1
10. Show that (T) ,= 0.
11. Let T
1
, T
2
: R
n
R
n
be two linear bijections. Show that:
(T
1
T
2
)(dx) = (T
1
)(T
2
)dx
and conclude that (T
1
T
2
) = (T
1
)(T
2
).
Exercise 12. Let R 0. Let H
: R
n
R
n
be the linear
bijection uniquely dened by H
(e
1
) = e
1
, H
(e
j
) = e
j
for j 2.
1. Show that H
(dx)([0, 1]
n
) = [[
1
.
2. Conclude that (H
) = [ det H
[
1
.
Exercise 13. Let k, l N
n
and : R
n
R
n
be the linear bijection
uniquely dened by (e
k
) = e
l
, (e
l
) = e
k
, (e
j
) = e
j
, for j ,= k, l.
1. Show that (dx)([0, 1]
n
) = 1.
2. Show that . = I
n
. (Identity mapping on R
n
).
3. Show that [ det [ = 1.
4. Conclude that () = [ det [
1
.
Exercise 14. Let n 2 and U : R
n
R
n
be the linear bijection
uniquely dened by U(e
1
) = e
1
+ e
2
and U(e
j
) = e
j
for j 2. Let
Q = [0, 1[
n
.
1. Show that:
U
1
(Q) = x R
n
: 0 x
1
+x
2
< 1 , 0 x
i
< 1 , i ,= 2
2. Dene:
= U
1
(Q) x R
n
: x
2
0
= U
1
(Q) x R
n
: x
2
< 0
Show that
1
,
2
B(R
n
).
3. Let
e
2
be the translation of vector e
2
. Draw a picture of Q,
1
,
2
and
e
2
(
2
) in the case when n = 2.
4. Show that if x
1
, then 0 x
2
< 1.
5. Show that
1
Q.
6. Show that if x
e
2
(
2
), then 0 x
2
< 1.
7. Show that
e
2
(
2
) Q.
8. Show that if x Q and x
1
+x
2
< 1 then x
1
.
9. Show that if x Q and x
1
+x
2
1 then x
e
2
(
2
).
10. Show that if x
e
2
(
2
) then x
1
+x
2
1.
11. Show that
e
2
(
2
)
1
= .
12. Show that Q =
1

e
2
(
2
).
13. Show that dx(Q) = dx(U
1
(Q)).
14. Show that (U) = 1.
15. Show that (U) = [ det U[
1
.
n
R
n
be a linear bijection, (n 1).
1. Show the existence of linear bijections Q
1
, . . . , Q
p
: R
n
R
n
,
p 1, with T = Q
1
. . . Q
p
, (Q
i
) = [ det Q
i
[
1
for all i N
p
.
2. Show that (T) = [ det T[
1
.
Theorem 108 Let n 1 and T : R
n
R
n
be a linear bijection.
Then, the image measure T(dx) of the lebesgue measure on R
n
is:
T(dx) = [ det T[
1
dx
Exercise 16. Let f : (R
2
, B(R
2
)) [0, +] be a non-negative and
measurable map. Let a, b, c, d R such that ad bc ,= 0. Show that:
R
2
f(ax +by, cx +dy)dxdy = [ad bc[
1
R
2
f(x, y)dxdy
n
R
n
be a linear bijection. Show that for
all B B(R
n
), we have T(B) B(R
n
) and:
dx(T(B)) = [ det T[dx(B)
Exercise 18. Let V be a linear subspace of R
n
and p = dimV . We
assume that 1 p n1. Let u
1
, . . . , u
p
be an orthonormal basis of
V , and u
p+1
, . . . , u
n
be such that u
1
, . . . , u
n
is an orthonormal basis
of R
n
. For i N
n
, Let
i
: R
n
R be dened by
i
(x) = u
i
, x).
1. Show that all
i
s are continuous.
2. Show that V =
n
j=p+1
1
j
(0).
3. Show that V is a closed subset of R
n
.
4. Let Q = (q
ij
) /
n
(R) be the matrix uniquely dened by
Qe
j
= u
j
for all j N
n
, where (e
1
, . . . , e
n
) is the canonical
basis of R
n
. Show that for all i, j N
n
:
u
i
, u
j
) =
n
k=1
q
ki
q
kj
5. Show that Q
T
.Q = Q.Q
T
= I
n
and conclude that [ det Q[ = 1.
6. Show that dx(Q V ) = dx(V ).
7. Show that Q V = span(e
1
, . . . , e
p
).
1
8. For all m 1, we dene:
E
m
=
n1

[m, m] . . . [m, m] 0
Show that dx(E
m
) = 0 for all m 1.
9. Show that dx(span(e
1
, . . . , e
n1
)) = 0.
Theorem 109 Let n 1. Any linear subspace V of R
n
is a closed
subset of R
n
. Moreover, if dimV n 1, then dx(V ) = 0.
1
i.e. the linear subspace of R
n
generated by e
1
, . . . , e
p
.
Tutorial 18: The Jacobian Formula 1
18. The Jacobian Formula
In the following, K denotes R or C.
Denition 125 We call K-normed space, an ordered pair (E, N),
where E is a K-vector space, and N : E R
+
is a norm on E.
See denition (89) for vector space, and denition (95) for norm.
Exercise 1. Let (H, , )) be a K-hilbert space, and | | =
_
, ).
1. Show that | | is a norm on H.
2. Show that (H, | |) is a K-normed space.
Exercise 2. Let (E, | |) be a K-normed space:
1. Show that d(x, y) = |x y| denes a metric on E.
2. Show that for all x, y E, we have [ |x| |y| [ |x y|.
Denition 126 Let (E, | |) be a K-normed space, and d be the
metric dened by d(x, y) = |x y|. We call norm topology on E,
denoted T
, the topology on E associated with d.

Exercise 3. Let E, F be two K-normed spaces, and l : E F be a
linear map. Show that the following are equivalent:
(i) l is continuous (w.r. to the norm topologies)
(ii) l is continuous at x = 0.
(iii) K R
+
, x E , |l(x)| K|x|
(iv) sup|l(x)| : x E , |x| = 1 < +
Denition 127 Let E, F be K-normed spaces. The K-vector space
of all continuous linear maps l : E F is denoted L
K
(E, F).
Exercise 4. Show that L
K
(E, F) is indeed a K-vector space.
Exercise 5. Let E, F be K-normed spaces. Given l L
K
(E, F), let:
|l|

= sup|l(x)| : x E , |x| = 1 < +
1. Show that:
|l| = sup|l(x)| : x E , |x| 1
2. Show that:
|l| = sup
_
|l(x)|
|x|
: x E , x ,= 0
_
3. Show that |l(x)| |l|.|x|, for all x E.
4. Show that |l| is the smallest K R
+
, such that:
x E , |l(x)| K|x|
5. Show that l |l| is a norm on L
K
(E, F).
6. Show that (L
K
(E, F), | |) is a K-normed space.
Denition 128 Let E, F be R-normed spaces and U be an open
subset of E. We say that a map : U F is dierentiable at
some a U, if and only if there exists l L
R
(E, F) such that, for all
> 0, there exists > 0, such that for all h E:
|h| a + h U and |(a + h) (a) l(h)| |h|
Exercise 6. Let E, F be two R-normed spaces, and U be open in E.
Let : U F be a map and a U.
1. Suppose that : U F is dierentiable at a U, and that
l
1
, l
2
L
R
(E, F) satisfy the requirement of denition (128).
Show that for all > 0, there exists > 0 such that:
h E , |h| |l
1
(h) l
2
(h)| |h|
2. Conclude that |l
1
l
2
| = 0 and nally that l
1
= l
2
.
subset of E. Let : U F be a map and a U. If is dierentiable
at a, we call dierential of at a, the unique element of L
R
(E, F),
denoted d(a), satisfying the requirement of denition (128). If is
dierentiable at all points of U, the map d : U L
R
(E, F) is also
called the dierential of .
subset of E. A map : U F is said to be of class C
1
, if and only
if d(a) exists for all a U, and the dierential d : U L
R
(E, F)
is a continuous map.
Exercise 7. Let E, F be two R-normed spaces and U be open in E.
Let : U F be a map, and a U.
1. Show that dierentiable at a continuous at a.
2. If is of class C
1
, explain with respect to which topologies the
dierential d : U L
R
(E, F) is said to be continuous.
3. Show that if is of class C
1
, then is continuous.
4. Suppose that E = R. Show that for all a U, is dierentiable
at a U, if and only if the derivative:
(a)

= lim
t=0,t0
(a + t) (a)
t
exists in F, in which case d(a) L
R
(R, F) is given by:
t R , d(a)(t) = t.
(a)
In particular,
(a) = d(a)(1).
Exercise 8. Let E, F, G be three R-normed spaces. Let U be open
in E and V be open in F. Let : U F and : V G be two maps
such that (U) V . We assume that is dierentiable at a U,
and we put:
l
1
= d(a) L
R
(E, F)
We assume that is dierentiable at (a) V , and we put:
l
2
= d((a)) L
R
(F, G)
1. Explain why : U G is a well-dened map.
2. Given > 0, show the existence of > 0 such that:
( +|l
1
| +|l
2
|)
2
> 0 such that for all h
2
F with
|h
2
|
2
, we have (a) + h
2
V and:
|((a) + h
2
) (a) l
2
(h
2
)| |h
2
|
4. Show that if h
2
F and |h
2
|
2
, then for all h E, we have:
|((a) +h
2
) (a) l
2
l
1
(h)| |h
2
|+|l
2
|.|h
2
l
1
(h)|
5. Show the existence of > 0 such that for all h E with |h| ,
we have a+h U and |(a+h)(a)l
1
(h)| |h|, together
with |(a + h) (a)|
2
.
6. Show that if h E is such that |h| , then a + h U and:
| (a+h) (a)l
2
l
1
(h)||(a+h)(a)|+|l
2
|.|h|
( +|l
1
| +|l
2
|)|h|
|h|
7. Show that l
2
l
1
L
R
(E, G)
Theorem 110 Let E, F, G be three R-normed spaces, U be open in
E and V be open in F. Let : U F and : V G be two maps
such that (U) V . Let a U. Then, if is dierentiable at a U,
and is dierentiable at (a) V , then is dierentiable at
a U, and furthermore:
d( )(a) = d((a)) d(a)
Exercise 9. Let E, F, G be three R-normed spaces. Let U be open
in E and V be open in F. Let : U F and : V G be two
maps of class C
1
such that (U) V .
1. For all (l
1
, l
2
) L
R
(F, G) L
R
(E, F), we dene:
N
1
(l
1
, l
2
)

= |l
1
| +|l
2
|
N
2
(l
1
, l
2
)

=
_
|l
1
|
2
+|l
2
|
2
N
(l
1
, l
2
)

= max(|l
1
|, |l
2
|)
Show that N
1
, N
2
, N
are all norms on L

R
(F, G) L
R
(E, F).
2. Show they induce the product topology on L
R
(F, G)L
R
(E, F).
3. We dene the map H : L
R
(F, G) L
R
(E, F) L
R
(E, G) by:
(l
1
, l
2
) L
R
(F, G) L
R
(E, F) , H(l
1
, l
2
)

= l
1
l
2
Show that |H(l
1
, l
2
)| |l
1
|.|l
2
|, for all l
1
, l
2
.
4. Show that H is continuous.
5. We dene K : U L
R
(F, G) L
R
(E, F) by:
a U , K(a)

= (d((a)), d(a))
Show that K is continuous.
6. Show that is dierentiable on U.
7. Show that d( ) = H K.
Theorem 111 Let E, F, G be three R-normed spaces, U be open in
E and V be open in F. Let : U F and : V G be two maps
of class C
1
such that (U) V . Then, : U G is of class C
1
.
Exercise 10. Let E be an R-normed space. Let a, b R, a < b.
Let f : [a, b] E and g : [a, b] R be two continuous maps which
are dierentiable at every points of ]a, b[. We assume that:
t ]a, b[ , |f
(t)| g
(t)
1. Given > 0, we dene
: [a, b] R by:
(t)

= |f(t) f(a)| g(t) + g(a) (t a)
for all t [a, b]. Show that
is continuous.
2. Dene E
= t [a, b] :
(t) , and c = sup E
. Show that:
c [a, b] and
(c)
3. Show the existence of h > 0, such that:
t [a, a + h[[a, b] ,
(t)
4. Show that c ]a, b].
5. Suppose that c ]a, b[. Show the existence of t
0
]c, b] such that:
_
_
_
_
f(t
0
) f(c)
t
0
c
_
_
_
_
|f
(c)| + /2 and g
(c)
g(t
0
) g(c)
t
0
c
+ /2
6. Show that |f(t
0
) f(c)| g(t
0
) g(c) + (t
0
c).
7. Show that |f(c) f(a)| g(c) g(a) + (c a) + .
8. Show that |f(t
0
) f(a)| g(t
0
) g(a) + (t
0
a) + .
9. Show that c cannot be the supremum of E
unless c = b.
10. Show that |f(b) f(a)| g(b) g(a) + (b a) + .
Theorem 112 Let E be an R-normed space. Let a, b R, a < b.
Let f : [a, b] E and g : [a, b] R be two continuous maps which
are dierentiable at every point of ]a, b[, and such that:
t ]a, b[ , |f
(t)| g
(t)
Then:
|f(b) f(a)| g(b) g(a)
Denition 131 Let n 1 and U be open in R
n
. Let : U E
be a map, where E is an R-normed space. For all i = 1, . . . , n, we
say that has an ith partial derivative at a U, if and only if the
limit:
x
i
(a)

= lim
h=0,h0
(a + he
i
) (a)
h
exists in E, where (e
1
, . . . , e
n
) is the canonical basis of R
n
.
Exercise 11. Let n 1 and U be open in R
n
. Let : U E be a
map, where E is an R-normed space.
1. Suppose is dierentiable at a U. Show that for all i N
n
:
lim
h=0,h0
1
|he
i
|
|(a + he
i
) (a) d(a)(he
i
)| = 0
2. Show that for all i N
n
,

x
i
(a) exists, and:
x
i
(a) = d(a)(e
i
)
Theorem 113 Let n 1 and U be open in R
n
. Let : U E be
a map, where E is an R-normed space. Then, if is dierentiable at
a U, for all i = 1, . . . , n,

x
i
(a) exists and we have:
h

= (h
1
, . . . , h
n
) R
n
, d(a)(h) =
n
i=1
x
i
(a)h
i
n
. Let : U E be a
map, where E is an R-normed space.
1. Show that if is dierentiable at a, b U, then for all i N
n
:
_
_
_
_
x
i
(b)

x
i
(a)
_
_
_
_
|d(b) d(a)|
2. Conclude that if is of class C
1
on U, then

x
i
exists and is
continuous on U, for all i N
n
.
n
. Let : U E be a
map, where E is an R-normed space. We assume that

x
i
exists on
U, and is continuous at a U, for all i N
n
. We dene l : R
n
E
by:
h

= (h
1
, . . . , h
n
) R
n
, l(h)

=
n
i=1
x
i
(a)h
i
1. Show that l L
R
(R
n
, E).
2. Given > 0, show the existence of > 0 such that for all h R
n
with |h| < , we have a + h U, and:
i = 1, . . . , n ,
_
_
_
_
x
i
(a + h)

x
i
(a)
_
_
_
_

3. Let h = (h
1
, . . . , h
n
) R
n
be such that |h| < . (e
1
, . . . , e
n
)
being the canonical basis of R
n
, we dene k
0
= a and for i N
n
:
k
i
= a +
i
j=1
h
i
e
i
Show that k
0
, . . . , k
n
U, and that we have:
(a+h)(a)l(h)=
n
i=1
_
(k
i1
+ h
i
e
i
)(k
i1
)h
i
x
i
(a)
_
4. Let i N
n
. Assume that h
i
> 0. We dene f
i
: [0, h
i
] E by:
t [0, h
i
] , f
i
(t)

= (k
i1
+ te
i
) (k
i1
) t

x
i
(a)
Show f
i
is well-dened, f
i
(t) exists for all t [0, h
i
], and:
t [0, h
i
] , f
i
(t) =

x
i
(k
i1
+ te
i
)

x
i
(a)
5. Show f
i
is continuous on [0, h
i
], dierentiable on ]0, h
i
[, with:
t ]0, h
i
[ , |f
i
(t)|
6. Show that:
_
_
_
_
(k
i1
+ h
i
e
i
) (k
i1
) h
i
x
i
(a)
_
_
_
_
[h
i
[
7. Show that the previous inequality still holds if h
i
0.
8. Conclude that for all h R
n
with |h| < , we have:
|(a + h) (a) l(h)|
n|h|
n
. Let : U E be
a map, where E is an R-normed space. If, for all i N
n
x
i
exists
on U and is continuous at a U, then is dierentiable at a U.
n
. Let : U E be a
map, where E is an R-normed space. We assume that for all i N
n
,
x
i
exists and is continuous on U.
1. Show that is dierentiable on U.
2. Show that for all a, b U and h R
n
:
|(d(b) d(a))(h)|
_
n
i=1
_
_
_
_
x
i
(b)

x
i
(a)
_
_
_
_
2
_
1/2
|h|
3. Show that for all a, b U:
|d(b) d(a)|
_
n
i=1
_
_
_
_
x
i
(b)

x
i
(a)
_
_
_
_
2
_
1/2
4. Show that d : U L
R
(R
n
, E) is continuous.
n
. Let : U E be
a map, where E is an R-normed space. Then, is of class C
1
on U,
if and only if for all i = 1, . . . , n,

x
i
Exercise 15. Let E, F be two R-normed spaces and l L
R
(E, F).
Let U be open in E and l
|U
be the restriction of l to U. Show that
l
|U
is of class C
1
on U, and that we have:
x U , d(l
|U
)(x) = l
Exercise 16. Let E
1
, . . . , E
p
, (p 1), be p R-normed spaces. Let
E = E
1
. . . E
p
. For all x = (x
1
, . . . , x
p
) E, we dene:
|x|
1
=
p
i=1
|x
i
|
|x|
2
_
p
i=1
|x
i
|
2
|x|
= max
i=1,...,p
|x
i
|
1. Show that |.|
1
, |.|
2
and |.|
are all norms on E.

2. Show |.|
1
, |.|
2
and |.|
induce the product topology on E.

3. Conclude that E is also an R-normed space, and that the norm
topology on E is exactly the product topology on E.
Exercise 17. Let E, F
1
, . . . , F
p
, (p 1) be p + 1 R-normed spaces,
U be open in E, F = F
1
. . . F
p
and : U F be a map.
1. For i = 1, . . . , p, let p
i
: F F
i
be the canonical projection.
Show that p
i
L
R
(F, F
i
). We put
i
= p
i
.
2. For i = 1, . . . , p, let u
i
: F
i
F be dened by:
x
i
F
i
, u
i
(x
i
)

= (0, . . . ,
i
..
x
i
, . . . , 0)
Show that u
i
L
R
(F
i
, F) and =
p
i=1
u
i

i
.
3. Show that if is dierentiable at a U, then for all i = 1, . . . , p,
i
: U F
i
is dierentiable at a U and d
i
(a) = p
i
d(a).
4. Show that if for all i = 1, . . . , p,
i
is dierentiable at a U,
then is dierentiable at a U and:
d(a) =
p
i=1
u
i
d
i
(a)
5. Suppose that is dierentiable at a, b U. We assume that F
is given the norm |(x
1
, . . . , x
p
)|
2
=
_
p
i=1
|x
i
|
2
. Show that
for all i N
p
:
|d
i
(b) d
i
(a)| |d(b) d(a)|
6. Show that:
|d(b) d(a)|
_
p
i=1
|d
i
(b) d
i
(a)|
2
7. Show that is of class C
1

i
is of class C
1
for all i N
p
.
8. Explain why this conclusion would still hold, if F were given the
norm |.|
1
or |.|
instead of |.|
2
.
9. Conclude with theorem (116)
Theorem 116 Let E, F
1
, . . . , F
p
, (p 1), be p+1 R-normed spaces
and U be open in E. Let F be the R-normed space F = F
1
. . . F
p
and = (
1
, . . . ,
p
) : U F be a map. Then, is dierentiable at
a U, if and only if d
i
(a) exists for all i N
p
, in which case:
h E , d(a)(h) = (d
1
(a)(h), . . . , d
p
(a)(h))
Also, is of class C
1
on U
i
is of class C
1
on U, for all i N
p
.
Theorem 117 Let = (
1
, . . . ,
n
) : U R
n
be a map, where
n 1 and U is open in R
n
. We assume that is dierentiable at
a U. Then, for all i, j = 1, . . . , n,

i
x
j
(a) exists, and we have:
d(a) =
_
_
_
1
x
1
(a) . . .

1
x
n
(a)
.
.
.
.
.
.
n
x
1
(a) . . .

n
x
n
(a)
_
_
_
Moreover, is of class C
1
on U, if and only if for all i, j = 1, . . . , n,
i
x
j
Exercise 18. Prove theorem (117)
Denition 132 Let = (
1
, . . . ,
n
) : U R
n
be a map, where
n 1 and U is open in R
n
. We assume that is dierentiable at
a U. We call jacobian of at a, denoted J()(a), the determinant
of the dierential d(a) at a, i.e.
J()(a) = det
_
_
_
1
x
1
(a) . . .

1
x
n
(a)
.
.
.
.
.
.
n
x
1
(a) . . .

n
x
n
(a)
_
_
_
Denition 133 Let n 1 and ,
be open in R
n
. A bijection
:
is called a C
1
-dieomorphism between and
, if and
only if : R
n
and
1
:
R
n
are both of class C
1
.
Exercise 19. Let and
be open in R
n
. Let :
be a
C
1
-dieomorphism, =
1
, and I
n
be the identity mapping of R
n
.
1. Explain why J() :
R and J() : R are continuous.

2. Show that d((x)) d(x) = I
n
, for all x
.
3. Show that d((x)) d(x) = I
n
, for all x .
4. Show that J()(x) ,= 0 for all x
.
5. Show that J()(x) ,= 0 for all x .
6. Show that J() = 1/(J() ) and J() = 1/(J() ).
Denition 134 Let n 1 and B(R
n
), be a borel set in R
n
. We
dene the lebesgue measure on , denoted dx
|
, as the restriction
to B() of the lebesgue measure on R
n
, i.e the measure on (, B())
dened by:
B B() , dx
|
(B)

= dx(B)
Exercise 20. Show that dx
|
is a well-dened measure on (, B()).
Exercise 21. Let n 1 and ,
be open in R
n
. Let :
be a C
1
-dieomorphism and =
1
. Let a
. We assume that
d(a) = I
n
, (identity mapping on R
n
), and given > 0, we denote:
B(a, )

= x R
n
: |a x| <
where |.| is the usual norm in R
n
.
1. Why are dx
|
, (dx
|
) well-dened measures on (
, B(
)).
2. Show that for > 0 suciently small, B(a, ) B(
).
3. Show that it makes sense to investigate whether the limit:
lim
0
(dx
|
)(B(a, ))
dx
|
(B(a, ))
does exists in R.
4. Given r > 0, show the existence of
1
> 0 such that for all
h R
n
with |h|
1
, we have a + h
, and:
|(a + h) (a) h| r|h|
5. Show for all h R
n
with |h|
1
, we have a + h
, and:
|(a + h) (a)| (1 + r)|h|
6. Show that for all ]0,
1
[, we have B(a, )
, and:
(B(a, )) B((a), (1 + r))
7. Show that d((a)) = I
n
.
2
> 0 such that for all k R
n
with
|k|
2
, we have (a) + k , and:
|((a) + k) a k| r|k|
9. Show for all k R
n
with |k|
2
, we have (a) +k , and:
|((a) + k) a| (1 + r)|k|
10. Show for all ]0,
2
(1 + r)[, we have B((a),

1+r
) , and:
B((a),

1 + r
) B(a, )
11. Show that if B(a, )
, then (B(a, )) = B(a, ).

12. Show if 0 < <
0
=
1

2
(1 + r), then B(a, )
, and:
B((a),

1 + r
) B(a, ) B((a), (1 + r))
0
[:
(i) dx(B((a),

1 + r
)) = (1 + r)
n
dx
|
(B(a, ))
(ii) dx(B((a), (1 + r))) = (1 + r)
n
dx
|
(B(a, ))
(iii) dx( B(a, )) = (dx
|
)(B(a, ))
0
[, B(a, )
, and:
(1 + r)
n
(dx
|
)(B(a, ))
dx
|
(B(a, ))
(1 + r)
n
15. Conclude that:
lim
0
(dx
|
)(B(a, ))
dx
|
(B(a, ))
= 1
be open in R
n
. Let :
be
a C
1
-dieomorphism and =
1
. Let a
. We put A = d(a).
1. Show that A : R
n
R
n
is a linear bijection.
2. Dene
= A
1
(). Show that this denition does not depend
on whether A
1
() is viewed as inverse , or direct image.
3. Show that
is an open subset of R
n
.
4. We dene

:
by

(x) = A(x). Show that

is a
C
1
-dieomorphism with

=

1
= A
1
.
5. Show that d
(a) = I
n
.
6. Show that:
lim
0
(dx
|
)(B(a, ))
dx
|
(B(a, ))
= 1
7. Let > 0 with B(a, )
. Justify each of the following steps:
(dx
|
)(B(a, )) = dx
|
(
B(a, )) (1)
= dx(
B(a, )) (2)
= dx(x
: A(x) B(a, )) (3)

= dx(x
: A(x)
1
(B(a, ))) (4)
= dx(x R
n
: A(x)
1
(B(a, )))(5)
= A(dx)( B(a, )) (6)
= [ det A[
1
dx( B(a, )) (7)
= [ det A[
1
dx
|
( B(a, )) (8)
= [ det A[
1
(dx
|
)(B(a, )) (9)
8. Show that:
lim
0
(dx
|
)(B(a, ))
dx
|
(B(a, ))
= [ det A[
Theorem 118 Let n 1 and ,
be open in R
n
. Let :
be a C
1
-dieomorphism and =
1
. Then, for all a
, we have:
lim
0
(dx
|
)(B(a, ))
dx
|
(B(a, ))
= [J()(a)[
where J()(a) is the jacobian of at a, B(a, ) is the open ball in R
n
,
and dx
|
, dx
|
are the lebesgue measures on and
respectively.
be open in R
n
. Let :
be a C
1
-dieomorphism and =
1
.
1. Let K
be a compact subset of
such that dx
|
(K) = 0.
Given > 0, show the existence of V open in
, such that
K V
, and dx
|
(V ) .
2. Explain why V is also open in R
n
.
3. Show that M = sup
xK
|d(x)| < +.
4. For all x K, show there is
x
> 0 such that B(x,
x
) V , and
for all h R
n
with |h| 3
x
, we have x + h
, and:
|(x + h) (x)| (M + 1)|h|
5. Show that for all x K, B(x, 3
x
)
, and:
(B(x, 3
x
)) B((x), 3(M + 1)
x
)
6. Show that (B(x, 3
x
)) = B(x, 3
x
), for all x K.
1
, . . . , x
p
K, (p 0), such that:
K B(x
1
,
x
1
) . . . B(x
p
,
x
p
)
8. Show the existence of S 1, . . . , p such that the B(x
i
,
x
i
)s
are pairwise disjoint for i S, and:
K
_
iS
B(x
i
, 3
x
i
)
9. Show that K
iS
B((x
i
), 3(M + 1)
x
i
).
10. Show that (dx
|
)(K)
iS
3
n
(M + 1)
n
dx(B(x
i
,
x
i
)).
11. Show that (dx
|
)(K) 3
n
(M + 1)
n
dx(V ).
12. Show that (dx
|
)(K) 3
n
(M + 1)
n
.
13. Conclude that (dx
|
)(K) = 0.
14. Show that (dx
|
) is a locally nite measure on (
, B(
)).
15. Let B B(
) be such that dx
|
(B) = 0. Show that:
(dx
|
)(B) = sup(dx
|
)(K) : K B , K compact
16. Show that (dx
|
)(B) = 0.
Theorem 119 Let n 1, ,
be open in R
n
, and :
be
a C
1
-dieomorphism. Then, the image measure (dx
|
), by of the
lebesgue measure on , is absolutely continuous with respect to dx
|
,
the lebesgue measure on
, i.e.:
(dx
|
) << dx
|

be open in R
n
. Let :
be a C
1
-dieomorphism and =
1
.
1. Explain why there exists a sequence (V
p
)
p1
of open sets in
,
such that V
p

and for all p 1, the closure of V

p
in
, i.e.
p
, is compact.
2. Show that each V
p
is also open in R
n
, and that

V

p
=

V
p
.
3. Show that (dx
|
)(V
p
) < +, for all p 1.
4. Show that dx
|
and (dx
|
) are two -nite measures on
.
5. Show there is h : (
, B(
)) (R
+
, B(R
+
)) measurable, with:
B B(
) , (dx
|
)(B) =
_
B
hdx
|
6. For all p 1, we dene h

p
= h1
V
p
, and we put:
x R
n
,

h
p
(x)

=
_
h
p
(x) if x
0 if x ,

Show that:
_
R
n
h
p
dx =
_
h
p
dx
|
= (dx
|
)(V
p
) < +
and conclude that

h
p
L
1
R
(R
n
, B(R
n
), dx).
7. Show the existence of some N B(R
n
), such that dx(N) = 0
and for all x N
c
and p 1, we have:
h
p
(x) = lim
0
1
dx(B(x, ))
_
B(x,)
h
p
dx
8. Put N
= N
. Show that N
B(
) and dx
|
(N
) = 0.
9. Let x
and p 1 be such that x V

p
. Show that if > 0 is
such that B(x, ) V
p
, then dx(B(x, )) = dx
|
(B(x, )), and:
_
B(x,)
h
p
dx =
_
R
n
1
B(x,)
h
p
dx =
_
1
B(x,)
h
p
dx
|

10. Show that:
_
1
B(x,)
h
p
dx
|
=
_
1
B(x,)
hdx
|
= (dx
|
)(B(x, ))
11. Show that for all x
, we have:
h(x) = lim
0
(dx
|
)(B(x, ))
dx
|
(B(x, ))
12. Show that h = [J()[ dx
|
-a.s. and conclude with the following:
Theorem 120 Let n 1 and ,
be open in R
n
. Let :
be a C
1
-dieomorphism and =
1
. Then, the image measure by
of the lebesgue measure on , is equal to the measure on (
, B(
))
with density [J()[ with respect to the lebesgue measure on
, i.e.:
(dx
|
) =
_
[J()[dx
|

Theorem 121 (Jacobian Formula 1) Let n 1 and :
be a C
1
-dieomorphism where ,
are open in R
n
. Let =
1
.
Then, for all f : (
, B(
)) [0, +] non-negative and measurable:

_
f dx
|
=
_
f[J()[dx
|
and:
_
(f )[J()[dx
|
=
_
fdx
|

Theorem 122 (Jacobian Formula 2) Let n 1 and :
be a C
1
-dieomorphism where ,
are open in R
n
. Let =
1
.
Then, for all measurable map f : (
, B(
)) (C, B(C)), we have

the equivalence:
f L
1
C
(, B(), dx
|
) f[J()[ L
1
C
(
, B(
), dx
|
)
in which case:
_
f dx
|
=
_
f[J()[dx
|
and, furthermore:
(f )[J()[ L
1
C
(, B(), dx
|
) f L
1
C
(
, B(
), dx
|
)
in which case:
_
(f )[J()[dx
|
=
_
fdx
|

Exercise 27. Let f : R
2
[0, +], with f(x, y) = exp((x
2
+y
2
)/2).
1. Show that:
_
R
2
f(x, y)dxdy =
__
+
e
u
2
/2
du
_
2
2. Dene:
= (x, y) R
2
: x > 0 , y > 0
= (x, y) R
2
: x < 0 , y > 0
and let
3
and
4
be the other two open quarters of R
2
. Show:
_
R
2
f(x, y)dxdy =
_
1
...
4
f(x, y)dxdy
3. Let Q : R
2
R
2
be dened by Q(x, y) = (x, y). Show that:
_
1
f(x, y)dxdy =
_
2
f Q
1
(x, y)dxdy
4. Show that:
_
R
2
f(x, y)dxdy = 4
_
1
f(x, y)dxdy
5. Let D
1
=]0, +[]0, /2[ R
2
, and dene : D
1

1
by:
(r, ) D
1
, (r, )

= (r cos , r sin )
Show that is a bijection and that =
1
is given by:
(x, y)
1
, (x, y) = (
_
x
2
+ y
2
, arctan(y/x))
6. Show that is a C
1
-dieomorphism, with:
(r, ) D
1
, d(r, ) =
_
cos r sin
sin r cos
_
and:
(x, y)
1
, d(x, y) =
_
x
x
2
+y
2
y
x
2
+y
2
y
x
2
+y
2
x
x
2
+y
2
_
7. Show that J()(r, ) = r, for all (r, ) D
1
.
8. Show that J()(x, y) = 1/(
_
x
2
+ y
2
), for all (x, y)
1
.
9. Show that:
_
1
f(x, y)dxdy =

2
Theorem 123 We have:
1
2
_
+
e
u
2
/2
du = 1
Tutorial 19: Fourier Transform 1
19. Fourier Transform
Exercise 1. We dene the maps : R
2
C and : R C:
(u, x) R
2
, (u, x)

= e
iuxx
2
/2
u R , (u)

=
(u, x)dx
1. Show that for all u R, the map x (u, x) is measurable.
2. Show that for all u R, we have:
[(u, x)[dx =

2 < +
and conclude that is well dened.
3. Let u R and (u
n
)
n1
be a sequence in R converging to u.
Show that (u
n
) (u) and conclude that is continuous.
4. Show that:

+
0
xe
x
2
/2
dx = 1
5. Show that for all u R, we have:
u
(u, x)
dx = 2 < +
6. Let a, b R, a < b. Show that:
e
ib
e
ia
=
b
a
ie
ix
dx
7. Let a, b R, a < b. Show that:
[e
ib
e
ia
[ [b a[
8. Let a, b R, a ,= b. Show that for all x R:
(b, x) (a, x)
b a
[x[e
x
2
/2
9. Let u R and (u
n
)
n1
be a sequence in R converging to u,
with u
n
,= u for all n. Show that:
lim
n+
(u
n
) (u)
u
n
u
=
u
(u, x)dx
10. Show that is dierentiable with:
u R ,
(u) =
u
(u, x)dx
11. Show that is of class C
1
.
12. Show that for all (u, x) R
2
, we have:
u
(u, x) = u(u, x) i
x
(u, x)
13. Show that for all u R:
x
(u, x)
dx < +
14. Let a, b R, a < b. Show that for all u R:
(u, b) (u, a) =
b
a
x
(u, x)dx
x
(u, x)dx = 0
(u) = u(u)
Exercise 2. Let o be the set of functions dened by:
o

= h : h C
1
(R, R) , u R , h
(u) = uh(u)
1. Let be as in ex. (1). Show that Re() and Im() lie in o.
2. Given h o, we dene g : R R, by:
u R , g(u)

= h(u)e
u
2
/2
Show that g is of class C
1
with g
= 0.
3. Let a, b R, a < b. Show the existence of c ]a, b[, such that:
g(b) g(a) = g
(c)(b a)
4. Conclude that for all h o, we have:
u R , h(u) = h(0)e
u
2
/2
Theorem 124 For all u R, we have:
1
e
iuxx
2
/2
dx = e
u
2
/2
Denition 135 Let
1
, . . . ,
p
be complex measures on R
n
,
1
where
n, p 1. We call convolution of
1
, . . . ,
p
, denoted
1
. . .
p
, the
image measure of the product measure
1
. . .
p
by the measurable
map S : (R
n
)
p
R
n
dened by:
S(x
1
, . . . , x
p
)

= x
1
+. . . +x
p
In other words,
1
. . .
p
is the complex measure on R
n
, dened by:
1
. . .
p
= S(
1
. . .
p
)
Exercise 3. Let , be complex measures on R
n
.
n
):
(B) =
R
n
R
n
1
B
(x +y)d (x, y)
1
An obvious shortcut to saying complex measures on (R
n
, B(R
n
)).
n
):
(B) =
R
n
R
n
1
B
(x +y)d(x)
d(y)
n
):
(B) =
R
n
R
n
1
B
(x +y)d(x)
d(y)
4. Show that = .
5. Let f : R
n
C be bounded and measurable. Show that:
R
n
fd =
R
n
R
n
f(x + y)d (x, y)
Exercise 4. Let , be complex measures on R
n
. Given B R
n
and x R
n
, we dene B x = y R
n
, y +x B.
n
) and x R
n
, B x B(R
n
).
2. Show x (Bx) is measurable and bounded, for B B(R
n
).
n
):
(B) =
R
n
(B x)d(x)
n
):
(B) =
R
n
(B x)d(x)
Exercise 5. Let
1
,
2
,
3
n
.
n
):
1
(
2

3
)(B) =
R
n
R
n
1
B
(x +y)d
1
(
2

3
)(x, y)
n
) and x R
n
:
R
n
1
B
(x +y)d
2

3
(y) =
R
n
R
n
1
B
(x +y +z)d
2

3
(y, z)
n
):
1
(
2

3
)(B) =
R
n
R
n
R
n
1
B
(x +y +z)d
1
3
(x, y, z)
4. Show that
1
(
2

3
) =
1

2

3
= (
1

2
)
3
Denition 136 Let n 1 and a R
n
. We dene
a
: B(R
n
)R
+
:
B B(R
n
) ,
a
(B)

= 1
B
(a)
a
is called the dirac probability measure on R
n
, centered in a.
Exercise 6. Let n 1 and a R
n
.
1. Show that
a
is indeed a probability measure on R
n
.
2. Show for all f : R
n
[0, +] non-negative and measurable:
R
n
fd
a
= f(a)
3. Show if f : R
n
C is measurable, f L
1
C
(R
n
, B(R
n
),
a
) and:
R
n
fd
a
= f(a)
4. Show that for any complex measure on R
n
:

0
=
0
=
5. Let
a
(x) = a+x dene the translation of vector a in R
n
. Show
that for any complex measure on R
n
:

a
=
a
=
a
()
Exercise 7. Let n 1 and , be complex measures on R
n
. We
assume that << dx, i.e. that is absolutely continuous with respect
to the lebesgue measure on R
n
.
1. Show there is f L
1
C
(R
n
, B(R
n
), dx), such that =

fdx.
n
), we have:
(B) =
R
n
(B x)d(x)
n
) and x R
n
:
(B x) =
R
n
1
B
(y)f(y x)dy
n
) the map:
(x, y) 1
B
(y)f(y x)
lies in L
1
C
(R
n
R
n
, B(R
n
) B(R
n
), dy).
n
), we have:
(B) =
R
n
f(y x)d(x)
dy
6. Given y R
n
, we dene:
g(y)

=
R
n
f(y x)d(x)
Show that g(y) is well-dened for dy-almost all y R
n
.
7. Dene an element g of L
1
C
(R
n
, B(R
n
), dx), with g = g dxa.s.
8. Show that is absolutely continuous w.r. to the lebesgue
measure on R
n
, with density g.
Theorem 125 Let , be two complex measures on R
n
, n 1. If
<< dx, i.e. is absolutely continuous with respect to the lebesgue
measure on R
n
, with density f L
1
C
(R
n
, B(R
n
), dx), then the convo-
lution = is itself absolutely continuous with respect to the
lebesgue measure on R
n
, with density:
g(y) =
R
n
f(y x)d(x) , dy a.s.
In other words, = =

gdx.
Exercise 8. Further to theorem (125), show that if =

hdx for
some h L
1
C
(R
n
, B(R
n
), dx), then:
g(y) =
R
n
f(y x)h(x)dx , dy a.s.
Denition 137 Let be a complex measure on (R
n
, B(R
n
)), n 1.
We call fourier transform of , the map T : R
n
C dened by:
u R
n
, T(u)

=
R
n
e
iu,x
d(x)
where , ) is the usual inner-product in R
n
.
Exercise 9. Further to denition (137):
1. Show that T is well-dened.
2. Show that T C
b
C
(R
n
), i.e T is continuous and bounded.
3. Show that for all a, u R
n
, we have u R
n
, T
a
(u) = e
iu,a
.
4. Let be the probability measure on (R, B(R)) dened by:
B B(R) , (B)

=
1
B
e
x
2
/2
dx
Show that T(u) = e
u
2
/2
, for all u R.
Exercise 10. Let
1
, . . . ,
p
n
, n, p 1.
1. Show that for all u R
n
, we have:
T(
1
. . .
p
)(u) =
(R
n
)
p
e
iu,x
1
+...+x
p
d
1
. . .
p
(x
1
, . . . , x
p
)
2. Show that T(
1
. . .
p
) =
p
j=1
T
j
.
Exercise 11. Let n 1, > 0 and g
: R
n
R
+
dened by:
x R
n
, g
(x)

=
1
(2)
n
2
n
e
x
2
/2
2
1. Show that:

R
n
g
(x)dx = 1
n
, we have:
R
n
g
(x)e
iu,x
dx = e
2
u
2
/2
3. Show that P
=

g
dx is a probability on R
n
with fourier
transform:
u R
n
, TP
(u) = e
2
u
2
/2
4. Show that for all x R
n
, we have:
g
(x) =
1
(2)
n
R
n
e
ix,u
2
u
2
/2
du
Exercise 12. Further to ex. (11), let be a complex measure on R
n
.
1. Show that P
dx where:
(x) =
R
n
g
(x y)d(y) , dx a.s.
2. Show that we also have:
(x) =
R
n
g
(y x)d(y) , dx a.s.
3. Show that:
(x) =
1
(2)
n
R
n
R
n
e
iyx,u
2
u
2
/2
du
d(y) , dx a.s.
4. Show that:
(x) =
1
(2)
n
R
n
e
ix,u
2
u
2
/2
(T)(u)du
5. Show that if , are two complex measures on R
n
such that
T = T, then for all > 0, we have P
= P
.
Denition 138 Let (, T ) be a topological space. Let (
k
)
k1
be a
sequence of complex measures on (, B()). We say that the sequence
(
k
)
k1
narrowly converges to a complex measure on (, B()),
and we write
k
narrowly, if and only if:
f C
b
R
() , lim
k+
fd
k
=
fd
1. Show that
k
narrowly, is equivalent to:
f C
b
C
() , lim
k+
fd
k
=
fd
2. Show that if (, T ) is metrizable and is a complex measure on
(, B()) such that
k
and
k
narrowly, then = .
Theorem 126 On a metrizable topological space, the narrow limit
when it exists, of any sequence of complex measures, is unique.
Exercise 14.
1. Show that on (R, B(R)), we have
1/n

0
narrowly.
2. Show there is B B(R), such that
1/n
(B) ,
0
(B).
Exercise 15. Let n 1. Given > 0, let P
be the probability
measure on (R
n
, B(R
n
)) dened as in ex. (11). Let (
k
)
k1
be a
sequence in R
+
such that
k
> 0 and
k
0.
1. Show that for all f C
b
R
(R
n
), we have:
R
n
f(x)g
k
(x)dx =
1
(2)
n
2
R
n
f(
k
x)e
x
2
/2
dx
2. Show that for all f C
b
R
(R
n
), we have:
lim
k+
R
n
f(x)g
k
(x)dx = f(0)
3. Show that P
k

0
narrowly.
Exercise 16. Let , be two complex measures on R
n
. Let (
k
)
k1
be a sequence of complex measures on R
n
, which narrowly converges
to . Let f C
b
R
(R
n
), and : R
n
R be dened by:
y R
n
, (y)

=
R
n
f(x +y)d(x)
1. Show that:
R
n
fd
k
=
R
n
R
n
f(x + y)d
k
(x, y)
2. Show that:

R
n
fd
k
=
R
n
d
k
3. Show that C
b
C
(R
n
).
4. Show that:
lim
k+
R
n
d
k
=
R
n
d
5. Show that:
lim
k+
R
n
fd
k
=
R
n
fd
6. Show that
k
narrowly.
n
, n 1. Let
(
k
)
k1
be a sequence of complex measures on R
n
. Then:
k
narrowly
k
narrowly
Exercise 17. Let , be two complex measures on R
n
, such that
T = T. For all > 0, let P
be the probability measure on

(R
n
, B(R
n
)) as dened in ex. (11). Let (
k
)
k1
be a sequence in R
+
such that
k
> 0 and
k
0.
1. Show that P
k
= P
k
, for all k 1.
2. Show that P
k

0
narrowly.
3. Show that ( P
k
)
k1
narrowly converges to both and .
n
. Then:
T = T =
i.e. the fourier transform is an injective mapping on M
1
(R
n
, B(R
n
)).
Denition 139 Let (, T, P) be a probability space. Given n 1,
and a measurable map X : (, T) (R
n
, B(R
n
)), the mapping
X
dened as:
u R
n
,
X
(u)

= E[e
iu,X
]
is called the characteristic function
2
of the random variable X.
2
Do not confuse with the characteristic function 1
A
of a set A, denition (39).
1. Show that
X
is well-dened, bounded and continuous.
2. Show that we have:
u R
n
,
X
(u) =
R
n
e
iu,x
dX(P)(x)
3. Show
X
is the fourier transform of the image measure X(P).
Theorem 129 Let X, Y : (, T) (R
n
, B(R
n
)), n 1, be two
random variables on a probability space (, T, P). If X and Y have
the same characteristic functions, i.e.
u R
n
, E[e
iu,X
] = E[e
iu,Y
]
then X and Y have the same distributions, i.e.
B B(R
n
) , P(X B) = P(Y B)
Denition 140 Let n 1. Given = (
1
, . . . ,
n
) N
n
, we dene
the modulus of , denoted [[, by [[ =
1
+. . . +
n
. Given x R
n
and N
n
, we put:
x

= x
1
1
. . . x
n
n
where it is understood that x
j
j
= 1 whenever
j
= 0. Given a map
f : U C, where U is an open subset of R
n
, we denote
f the
[[-th partial derivative, when it exists:
f

=

||
f
x
1
1
. . . x
n
n
Note that
f = f, whenever [[ = 0. Given k 0, we say that f is

of class C
k
, if and only if for all N
n
with [[ k,
f exists
and is continuous on U.
Exercise 19. Explain why def. (140) is consistent with def. (130).
n
, and N
n
, with:
R
n
[x
[d[[(x) < + (1)

Let x
the complex measure on R

n
dened by x
=

x
d.
1. Explain why the above integral (1) is well-dened.
2. Show that x
is a well-dened complex measure on R

n
.
3. Show that the total variation of x
is given by:
B B(R
n
) , [x
[(B) =
B
[x
[d[[(x)
4. Show that the fourier transform of x
is given by:
u R
n
, T(x
)(u) =
R
n
x
e
iu,x
d(x)
n
. Let N
n
with
[[ = 1, and:
R
n
[x
[d[[(x) < +
Let x
be the complex measure on R

n
dened as in ex. (20).
1. Show that there is j N
n
with x
= x
j
for all x R
n
.
n
,
F
u
j
(u) exists and that we have:
T
u
j
(u) = i
R
n
x
j
e
iu,x
d(x)
3. Conclude that
T exists and that we have:
T = iT(x
)
4. Explain why
T is continuous.
n
. Let k 0 be an
integer. We assume that for all N
n
, we have:
[[ k
R
n
[x
[d[[(x) < + (2)

In particular, if [[ k, the measure x
of ex. (20) is well-dened.

We claim that for all N
n
with [[ k,
T exists, and:
T = i
||
T(x
)
1. Show that if k = 0, then the property is obviously true. We
assume the property is true for some k 0, and that the above
integrability condition (2) holds for k + 1.
2. Let
N
n
be such that [
[ k + 1. Explain why if [
[ k,
then
T exists, with:
T = i
|
|
T(x
)
3. We assume that [
[ = k + 1. Show the existence of , N

n
such that + =
, [[ = k and [[ = 1.
4. Explain why
T exists, and:
T = i
||
T(x
)
5. Show that:

R
n
[x
[d[x
[(x) < +
6. Show that
T(x
) exists, with:
T(x
) = iT(x
(x
))
7. Show that
T) exists, with:
T) = i
||+1
T(x
(x
))
8. Show that x
(x
) = x
.
9. Conclude that the property is true for k + 1.
Theorem 130 Let be a complex measure on R
n
, n 1. Let k 0
be an integer such that for all N
n
with [[ k, we have:
R
n
[x
[d[[(x) < +
Then, the fourier transform T is of class C
k
on R
n
, and for all
N
n
with [[ k, we have:
u R
n
,
T(u) = i
||
R
n
x
e
iu,x
d(x)
In particular:

R
n
x
d(x) = i
||
T(0)
Tutorial 20: Gaussian Measures 1
20. Gaussian Measures
/
n
(R) is the set of all n n-matrices with real entries, n 1.
Denition 141 A matrix M /
n
(R) is said to be symmetric,
if and only if M = M
t
. M is orthogonal, if and only if M is
non-singular and M
1
= M
t
. If M is symmetric, we say that M is
non-negative, if and only if:
u R
n
, u, Mu) 0
Theorem 131 Let /
n
(R), n 1, be a symmetric and non-
negative real matrix. There exist
1
, . . . ,
n
R
+
and P /
n
(R)
orthogonal matrix, such that:
= P.
1
0
.
.
.
0
n
. P
t
In particular, there exists A /
n
(R) such that = A.A
t
.
As a rare exception, theorem (131) is given without proof.
Exercise 1. Given n 1 and M /
n
(R), show that we have:
u, v R
n
, u, Mv) = M
t
u, v)
Exercise 2. Let n 1 and m R
n
. Let /
n
(R) be a symmetric
and non-negative matrix. Let
1
be the probability measure on R:
B B(R) ,
1
(B) =
1
B
e
x
2
/2
dx
Let =
1
. . .
1
be the product measure on R
n
. Let A /
n
(R)
be such that = A.A
t
. We dene the map : R
n
R
n
by:
x R
n
, (x)

= Ax +m
1. Show that is a probability measure on (R
n
, B(R
n
)).
2. Explain why the image measure P = () is well-dened.
3. Show that P is a probability measure on (R
n
, B(R
n
)).
n
:
TP(u) =
R
n
e
iu,(x)
d(x)
5. Let v = A
t
u. Show that for all u R
n
:
TP(u) = e
iu,mv
2
/2
Theorem 132 Let n 1 and m R
n
. Let /
n
(R) be a sym-
metric and non-negative real matrix. There exists a unique complex
measure on R
n
, denoted N
n
(m, ), with fourier transform:
TN
n
(m, )(u)

=
R
n
e
iu,x
dN
n
(m, )(x) = e
iu,m
1
2
u,u
for all u R
n
. Furthermore, N
n
(m, ) is a probability measure.
Denition 142 Let n 1 and m R
n
. Let /
n
(R) be
a symmetric and non-negative real matrix. The probability measure
N
n
(m, ) on R
n
dened in theorem (132) is called the n-dimensional
gaussian measure or normal distribution, with mean m R
n
and covariance matrix .
n
. Show that N
n
(m, 0) =
m
.
Exercise 4. Let m R
n
. Let /
n
(R) be a symmetric and
non-negative real matrix. Let A /
n
(R) be such that = A.A
t
.
A map p : R
n
C is said to be a polynomial, if and only if, it is a
nite linear complex combination of maps x x
,
1
for N
n
.
1. Show that for all B B(R), we have:
N
1
(0, 1)(B) =
1
B
e
x
2
/2
dx
1
See denition (140).
2. Show that:

+
[x[dN
1
(0, 1)(x) < +
3. Show that for all integer k 1:
1
+
0
x
k+1
e
x
2
/2
dx =
k
+
0
x
k1
e
x
2
/2
dx
4. Show that for all integer k 0:
[x[
k
dN
1
(0, 1)(x) < +
5. Show that for all N
n
:
R
n
[x
[dN
1
(0, 1) . . . N
1
(0, 1)(x) < +
6. Let p : R
n
C be a polynomial. Show that:
R
n
[p(x)[dN
1
(0, 1) . . . N
1
(0, 1)(x) < +
7. Let : R
n
R
n
be dened by (x) = Ax + m. Explain why
the image measure (N
1
(0, 1) . . . N
1
(0, 1)) is well-dened.
8. Show that (N
1
(0, 1) . . . N
1
(0, 1)) = N
n
(m, ).
9. Show if N
n
and [[ = 1, then x (x)
is a polynomial.
10. Show that if
N
n
and [
[ = k+1, then (x)
= (x)
(x)
for some , N
n
such that [[ = k and [[ = 1.
11. Show that the product of two polynomials is a polynomial.
n
, x (x)
is a polynomial.
n
:
R
n
[(x)
[dN
1
(0, 1) . . . N
1
(0, 1)(x) < +
n
. Let /
n
(R) be a sym-
metric and non-negative real matrix. Then, for all N
n
, the map
x x
is integrable with respect to the gaussian measure N

n
(m, ):
R
n
[x
[dN
n
(m, )(x) < +
Exercise 5. Let m R
n
. Let = (
ij
) /
n
(R) be a symmetric
and non-negative real matrix. Let j, k N
n
. Let be the fourier
transform of the gaussian measure N
n
(m, ), i.e.:
u R
n
, (u)

= e
iu,m
1
2
u,u
1. Show that:
R
n
x
j
dN
n
(m, )(x) = i
1

u
j
(0)
2. Show that:

R
n
x
j
dN
n
(m, )(x) = m
j
3. Show that:
R
n
x
j
x
k
dN
n
(m, )(x) = i
2

2
u
j
u
k
(0)
4. Show that:
R
n
x
j
x
k
dN
n
(m, )(x) =
jk
m
j
m
k
5. Show that:
R
n
(x
j
m
j
)(x
k
m
k
)dN
n
(m, )(x) =
jk
n
. Let = (
ij
) /
n
(R)
be a symmetric and non-negative real matrix. Let N
n
(m, ) be the
gaussian measure with mean m and covariance matrix . Then, for
all j, k N
n
, we have:
R
n
x
j
dN
n
(m, )(x) = m
j
and:

R
n
(x
j
m
j
)(x
k
m
k
)dN
n
(m, )(x) =
jk
Denition 143 Let n 1. Let (, T, P) be a probability space. Let
X : (, T) (R
n
, B(R
n
)) be a measurable map. We say that X
is an n-dimensional gaussian or normal vector, if and only if its
distribution is a gaussian measure, i.e. X(P) = N
n
(m, ) for some
m R
n
and /
n
(R) symmetric and non-negative real matrix.
Theorem 135 Let n 1. Let (, T, P) be a probability space. Let
X : (, T) R
n
be a measurable map. Then X is a gaussian vector,
if and only if there exist m R
n
and /
n
(R) symmetric and
non-negative real matrix, such that:
u R
n
, E[e
iu,X
] = e
iu,m
1
2
u,u
where , ) is the usual inner-product on R
n
.
Denition 144 Let X : (, T)

R (or C) be a random variable
on a probability space (, T, P). We say that X is integrable, if and
only if we have E[[X[] < +. We say that X is square-integrable,
if and only if we have E[[X[
2
] < +.
Exercise 7. Further to denition (144), suppose X is C-valued.
1. Show X is integrable if and only if X L
1
C
(, T, P).
2. Show X is square-integrable, if and only if X L
2
C
(, T, P).
Exercise 8. Further to denition (144), suppose X is

R-valued.
1. Show that X is integrable, if and only if X is P-almost surely
equal to an element of L
1
R
(, T, P).
2. Show that X is square-integrable, if and only if X is P-almost
surely equal to an element of L
2
R
(, T, P).
Exercise 9. Let X, Y : (, T) (R, B(R)) be two square-integrable
random variables on a probability space (, T, P).
1. Show that both X and Y are integrable.
2. Show that XY is integrable
3. Show that (XE[X])(Y E[Y ]) is a well-dened and integrable.
Denition 145 Let X, Y : (, T) (R, B(R)) be two square-
integrable random variables on a probability space (, T, P). We de-
ne the covariance between X and Y , denoted cov(X, Y ), as:
cov(X, Y )

= E[(X E[X])(Y E[Y ])]
We say that X and Y are uncorrelated if and only if cov(X, Y ) = 0.
If X = Y , cov(X, Y ) is called the variance of X, denoted var(X).
Exercise 10. Let X, Y be two square integrable, real random variable
on a probability space (, T, P).
1. Show that cov(X, Y ) = E[XY ] E[X]E[Y ].
2. Show that var(X) = E[X
2
] E[X]
2
.
3. Show that var(X +Y ) = var(X) + 2cov(X, Y ) +var(Y )
4. Show that X and Y are uncorrelated, if and only if:
var(X +Y ) = var(X) +var(Y )
Exercise 11. Let X be an n-dimensional normal vector on some
probability space (, T, P), with law N
n
(m, ), where m R
n
and
= (
ij
) /
n
(R) is a symmetric and non-negative real matrix.
1. Show that each coordinate X
j
: (, T) R is measurable.
2. Show that E[[X
[] < + for all N

n
.
3. Show that for all j = 1, . . . , n, we have E[X
j
] = m
j
.
4. Show that for all j, k = 1, . . . , n, we have cov(X
j
, X
k
) =
jk
.
Theorem 136 Let X be an n-dimensional normal vector on a prob-
ability space (, T, P), with law N
n
(m, ). Then, for all N
n
, X
is integrable. Moreover, for all j, k N

n
, we have:
E[X
j
] = m
j
and:
cov(X
j
, X
k
) =
jk
where (
ij
) = .
Theorem 137 Let X : (, T) (R, B(R)) be a real random vari-
able on a probability space (, T, P). Then, X is a normal random
variable, if and only if it is square integrable, and:
u R , E[e
iuX
] = e
iuE[X]
1
2
u
2
var(X)
Exercise 13. Let X be an n-dimensional normal vector on a prob-
ability space (, T, P), with law N
n
(m, ). Let A /
d,n
(R) be an
d n real matrix, (n, d 1). Let b R
n
and Y = AX +b.
1. Show that Y : (, T) (R
d
, B(R
d
)) is measurable.
2. Show that the law of Y is N
d
(Am +b, A..A
t
)
3. Conclude that Y is an R
d
-valued normal random vector.
Theorem 138 Let X be an n-dimensional normal vector with law
N
n
(m, ) on a probability space (, T, P), (n 1). Let d 1 and
A /
d,n
(R) be an dn real matrix. Let b R
d
. Then, Y = AX+b
is an d-dimensional normal vector, with law:
Y (P) = N
d
(Am +b, A..A
t
)
n
, B(R
n
)) be a measurable map,
where (, T, P) is a probability space. Show that if X is a gaussian
vector, then for all u R
n
, u, X) is a normal random variable.
n
, B(R
n
)) be a measurable map,
where (, T, P) is a probability space. We assume that for all u R
n
,
u, X) is a normal random variable.
1. Show that for all j = 1, . . . , n, X
j
is integrable.
2. Show that for all j = 1, . . . , n, X
j
is square integrable.
3. Explain why given j, k = 1, . . . , n, cov(X
j
, X
k
) is well-dened.
4. Let m R
n
be dened by m
j
= E[X
j
], and u R
n
. Show:
E[u, X)] = u, m)
5. Let = (cov(X
i
, X
j
)). Show that for all u R
n
, we have:
var(u, X)) = u, u)
6. Show that is a symmetric and non-negative nn real matrix.
n
:
E[e
iu,X
] = e
iE[u,X]
1
2
var(u,X)
n
:
E[e
iu,X
] = e
iu,m
1
2
u,u
9. Show that X is a normal vector.
Theorem 139 Let X : (, T) (R
n
, B(R
n
)) be a measurable map
on a probability space (, T, P). Then, X is an n-dimensional normal
vector, if and only if, any linear combination of its coordinates is itself
normal, or in other words u, X) is normal for all u R
n
.
Exercise 16. Let (, T) = (R
2
, B(R
2
)) and be the probability
on (R, B(R)) dened by =
1
2
(
0
+
1
). Let P = N
1
(0, 1) , and
X, Y : (, T) (R, B(R)) be the canonical projections dened by
X(x, y) = x and Y (x, y) = y.
1. Show that P is a probability measure on (, T).
2. Explain why X and Y are measurable.
3. Show that X has the distribution N
1
(0, 1).
4. Show that P(Y = 0) = P(Y = 1) =
1
2
.
5. Show that P
(X,Y )
= P.
6. Show for all : (R
2
, B(R
2
)) C measurable and bounded:
E[(X, Y )] =
1
2
(E[(X, 0)] +E[(X, 1)])
7. Let X
1
= X and X
2
be dened as:
X
2
= X1
{Y =0}
X1
{Y =1}
Show that E[e
iuX
2
] = e
u
2
/2
for all u R.
8. Show that X
1
(P) = X
2
(P) = N
1
(0, 1).
9. Explain why cov(X
1
, X
2
) is well-dened.
10. Show that X
1
and X
2
are uncorrelated.
11. Let Z =
1
2
(X
1
+X
2
). Show that:
u R , E[e
iuZ
] =
1
2
(1 +e
u
2
/2
)
12. Show that Z cannot be gaussian.
13. Conclude that although X
1
, X
2
are normally distributed, (and
even uncorrelated), (X
1
, X
2
) is not a gaussian vector.
n
. Let /
n
(R) be a
symmetric and non-negative real matrix. Let A /
n
(R) be such
that = A.A
t
. We assume that is non-singular. We dene
p
m,
: R
n
R
+
by:
x R
n
, p
m,
(x)

=
1
(2)
n
2
det()
e
1
2
xm,
1
(xm)
1. Explain why det() > 0.
2. Explain why
det() = [ det(A)[.
3. Explain why A is non-singular.
4. Let : R
n
R
n
be dened by:
x R
n
, (x)

= A
1
(x m)
Show that for all x R
n
, x m,
1
(x m)) = |(x)|
2
.
5. Show that is a C
1
-dieomorphism.
6. Show that (dx) = [ det(A)[dx.
7. Show that:

R
n
p
m,
(x)dx = 1
8. Let =
p
m,
dx. Show that:
u R
n
, T(u) =
1
(2)
n
2
R
n
e
iu,Ax+mx
2
/2
dx
9. Show that the fourier transform of is therefore given by:
u R
n
, T(u) = e
iu,m
1
2
u,u
10. Show that = N
n
(m, ).
11. Show that N
n
(m, ) << dx, i.e. that N
n
(m, ) is absolutely
continuous w.r. to the lebesgue measure on R
n
.
n
. Let /
n
(R) be a sym-
metric and non-negative real matrix. We assume that is singular.
Let u R
n
be such that u = 0 and u ,= 0. We dene:
B

= x R
n
, u, x) = u, m)
Given a R
n
, let
a
: R
n
R
n
be the translation of vector a.
1. Show B =
1
m
(u
), where u
is the orthogonal of u in R
n
.
2. Show that B B(R
n
).
3. Explain why dx(u
) = 0. Is it important to have u ,= 0?
4. Show that dx(B) = 0.
5. Show that : R
n
R dened by (x) = u, x), is measurable.
6. Explain why (N
n
(m, )) is a well-dened probability on R.
7. Show that for all R, we have:
T(N
n
(m, ))() =
R
n
e
iu,x
dN
n
(m, )(x)
8. Show that (N
n
(m, )) is the dirac distribution on (R, B(R))
centered on u, m), i.e. (N
n
(m, )) =
u,m
.
9. Show that N
n
(m, )(B) = 1.
10. Conclude that N
n
(m, ) cannot be absolutely continuous with
respect to the lebesgue measure on (R
n
, B(R
n
)).
n
. Let /
n
(R) be a
symmetric and non-negative real matrix. Then, the gaussian measure
N
n
(m, ) is absolutely continuous with respect to the lebesgue measure
on (R
n
, B(R
n
)), if and only if is non-singular, in which case for
all B B(R
n
), we have:
N
n
(m, )(B) =
1
(2)
n
2
det()
B
e
1
2
xm,
1
(xm)
dx
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[24] D. Williams. Probability with Martingales. Cambridge University Press, Cambridge, 1991.
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Abdel k a der BENHARI

R, and conclude that R

: R(S) [0, +] is another measure with

: P() [0, +] with the following properties:

) the -algebra associated with the outer-measure

) is indeed a -algebra on , remains to

(T(AB)) on both sides 5., conclude that AB .

: P() [0, +] be an outer-measure on .

), the so-called -algebra associated with

(A) and conclude that

: (R) [0, +] such that

: (S) [0, +] such that

and A be a subset of the power set P().

A, we call direct image of A

by f the set denoted f(A

B, we call inverse image of B

by f the set denoted

by f is in fact equal to the

by f is in fact equal to the

(U) is open in [1, 1].

, i.e. that the usual topology on

be a set and f : S be a map such that f() S

R)). Let g and h be

R)) are measurable.

R)) be two measurable

R)) are measurable.

R)) be two measurable

R)) is measurable, whenever

R)) is measurable, for all

R)) is measurable, in the case

R)) is measurable, in the case

f})({f = 0}{f < c})

R)) is measurable, in the case

R)) be two measurable maps,

R)) are all measurable.

(s), dened by:

(s) meaningless if = + or < 0.

(s) : s simple function on (, F) , s f}

(s) denotes its inte-

(f), whenever f is a simple function.

, |f|, u, v, |u|, |v| all lie in L

. We sometimes use the notation

, where ,= , is a partition of I, if and only if:

be a partition of the set I.

be two non-empty sets. Let A be a subset

and show that ( = .

, where ,= , be a partition of I. Let =

and x U. Show that existence of > 0 such that:

> 0, such that we have

also induce the product topology on .

and x U. Show the existence of > 0 and N 1,

and x U, there is > 0 and N 1

, then the induced topological space (

R)) are measurable.

R), for all

R)) be a measurable map.

R)) is measurable, and:

R)) is a measurable map with

|f|d < +. Show that f L

. Show that for all x ]x

and K is a compact subset of

] can be covered by a nite number of V

] can be covered by a nite number of V

c and conclude that c = b.