LECTURE NOTES
IN MEASURE THEORY
Christer Borell
Matematik
Chalmers och Gteborgs universitet
412 96 Gteborg
(Version: January 12)
2
PREFACE
These are lecture notes on integration theory for a eightweek course at the
Chalmers University of Technology and the Gteborg University. The parts
dening the course essentially lead to the same results as the rst three
chapters in the Folland book [1] . which is used as a text book on the course.
The proofs in the lecture notes sometimes dier from those given in [1] . Here
is a brief description of the dierences to simplify for the reader.
In Chapter 1 we introduce so called :systems and oadditive classes,
which are substitutes for monotone classes of sets [1]. Besides we prefer to
emphasize metric outer measures instead of so called premeasures. Through
out the course, a variety of important measures are obtained as image mea
sures of the linear measure on the real line. In Section 1.6 positive measures
in R induced by increasing right continuous mappings are constructed in this
way.
Chapter 2 deals with integration and is very similar to [1] and most
other texts.
Chapter 3 starts with some standard facts about metric spaces and relates
the concepts to measure theory. For example Ulams Theorem is included.
The existence of product measures is based on properties of :systems and
oadditive classes.
Chapter 4 deals with dierent modes of convergence and is mostly close
to [1] . Here we include a section about orthogonality since many students
have seen parts of this theory before.
The Lebesgue Decomposition Theorem and RadonNikodym Theorem
in Chapter 5 are proved using the von Neumann beautiful 1
2
proof.
To illustrate the power of abstract integration these notes contain several
sections, which do not belong to the course but may help the student to a
better understanding of measure theory. The corresponding parts are set
between the symbols

and
respectively.
3
Finally I would like to express my deep gratitude to the students in
my classes for suggesting a variety of improvements and a special thank
to Jonatan Vasilis who has provided numerous comments and corrections in
my original text.
Gteborg 2006
Christer Borell
4
CONTENT
1 Measures
1.1 oAlgebras and Measures
1.2 Measure Determining Classes
1.3 Lebesgue Measure
1.4 Carathodorys Theorem
1.5 Existence of Linear Measure
2 Integration
2.1 Integration of Functions with Values in [0. ]
2.2 Integration of Functions with Arbitrary Sign
2.3 Comparison of Riemann and Lebesgue Integrals
3 Further Construction Methods of Measures
3.1 Metric Spaces
3.2 Linear Functionals and Measures
3.3 qAdic Expansions of Numbers in the Unit Interval
3.4 Product Measures
3.5 Change of Variables in Volume Integrals
3.6 Independence in Probability
4 Modes of Convergence
4.1 Convergence in Measure, in 1
1
(j). and in 1
2
(j)
4.2 Orthogonality
4.3 The Haar Basis and Wiener Measure
5 Decomposition of Measures
5.1 Complex Measures
5.2 The Lebesgue Decomposition and the RadonNikodym Theorem
5.3 The Wiener Maximal Theorem and Lebesgue Dierentiation Theorem
5
5.4 Absolutely Continuous Functions and Functions of Bounded Variation
5.5 Conditional Expectation
6 Complex Integration
6.1 Complex Integrand
6.2 The Fourier Transform
6.3 Fourier Inversion
6.4 NonDierentiability of Brownian Paths
References
6
CHAPTER 1
MEASURES
Introduction
The Riemann integral, dealt with in calculus courses, is well suited for com
putations but less suited for dealing with limit processes. In this course we
will introduce the so called Lebesgue integral, which keeps the advantages of
the Riemann integral and eliminates its drawbacks. At the same time we will
develop a general measure theory which serves as the basis of contemporary
analysis and probability.
In this introductory chapter we set forth some basic concepts of measure
theory, which will open for abstract Lebesgue integration.
1.1. oAlgebras and Measures
Throughout this course
N = 0. 1. 2. ... (the set of natural numbers)
Z = .... 2. 1. 0. 1. . 2. ... (the set of integers)
Q = the set of rational numbers
R = the set of real numbers
C = the set of complex numbers.
If _ R.
and a
bijection , : 1. .... : . The empty set is denoted by c. A set is said
to be denumerable if there exists a bijection , : N
. A subset of a
denumerable set is said to be at most denumerable.
Let A be a set. For any _ A. the indicator function
of relative
to A is dened by the equation
(r) =
_
1 if r
0 if r
c
.
The indicator function
is sometimes written 1
c = 1
1
= min(
.
1
) =
1
and
'1
= max(
.
1
) =
+
1
1.
Denition 1.1.1. Let A be a set.
a) A collection / of subsets of A is said to be an algebra in A if / has
the following properties:
(i) A /.
(ii) / =
c
/. where
c
is the complement of relative to A.
(iii) If . 1 / then ' 1 /.
(b) A collection / of subsets of A is said to be a oalgebra in A if /
is an algebra with the following property:
If
a
/ for all : N
, then '
o
a=1
a
/.
8
If / is a oalgebra in A. (A. /) is called a measurable space and the
members of / are called measurable sets. The so called power set T(A),
that is the collection of all subsets of A, is a oalgebra in A. It is simple to
prove that the intersection of any family of oalgebras in A is a oalgebra. It
follows that if c is any subset of T(A). there is a unique smallest oalgebra
o(c) containing c. namely the intersection of all oalgebras containing c.
The oalgebra o(c) is called the oalgebra generated by c. The oalgebra
generated by all open intervals in R is denoted by . It is readily seen that
the oalgebra contains every subinterval of R. Before we proceed, recall
that a subset 1 of R is open if to each r 1 there exists an open subinterval
of R contained in 1 and containing r; the complement of an open set is said
to be closed. We claim that contains every open subset l of R. To see
this suppose r l and let r ]c. /[ _ l. where < c < / < . Now
pick :. : Q such that c < : < r < : < /. Then r ]:. :[ _ l and it follows
that l is the union of all bounded open intervals with rational boundary
points contained in l. Since this family of intervals is at most denumberable
we conclude that l . In addition, any closed set belongs to since its
complements is open. It is by no means simple to grasp the denition of at
this stage but the reader will successively see that the oalgebra has very
nice properties. At the very end of Section 1.3, using the so called Axiom of
Choice, we will exemplify a subset of the real line which does not belong to
. In fact, an example of this type can be constructed without the Axiom
of Choice (see Dudleys book [1]).
In measure theory, inevitably one encounters . For example the real
line has innite length. Below [0. ] = [0. [ ' . The inequalities r _
and r < have their usual meanings if r. [0. [. Furthermore, r _
if r [0. ] and r < if r [0. [ . We dene r + = + r = if
r. [0. ] . and
r = r =
_
0 if r = 0
if 0 < r _ .
Sums and multiplications of real numbers are dened in the usual way.
If
a
_ A. : N
, and
I
a
= c if / ,= :, the sequence (
a
)
aN
+
is
called a disjoint denumerable collection. If (A. /) is a measurable space, the
collection is called a denumerable measurable partition of if = '
o
a=1
a
and
a
/ for every : N
a
) =
o
a=1
j(
a
).
If (A. /) is a measurable space and the function j : / [0. ] is a
positive measure, (A. /. j) is called a positive measure space. The quantity
j() is called the jmeasure of or simply the measure of if there is
no ambiguity. Here (A. /. j) is called a probability space if j(A) = 1. a
nite positive measure space if j(A) < . and a onite positive measure
space if A is a denumerable union of measurable sets with nite jmeasure.
The measure j is called a probability measure, nite measure, and onite
measure, if (A. /. j) is a probability space, a nite positive measure space,
and a onite positive measure space, respectively. A probability space is
often denoted by (. T. 1). A member of T is called an event.
As soon as we have a positive measure space (A. /. j), it turns out to
be a fairly simple task to dene a so called jintegral
_
A
,(r)dj(r)
as will be seen in Chapter 2.
10
The class of all nite unions of subintervals of R is an algebra which is
denoted by
0
. If
0
we denote by l() the Riemann integral
_
o
o
(r)dr
and it follows from courses in calculus that the function l :
0
[0. ] is a
content. The algebra
0
is called the Riemann algebra and l the Riemann
content. If 1 is a subinterval of R, l(1) is called the length of 1. Below we
follow the convention that the empty set is an interval.
If T(A), c
A
() equals the number of elements in , when is a
nite set, and c
A
() = otherwise. Clearly, c
A
is a positive measure. The
measure c
A
is called the counting measure on A.
Given c A. the probability measure o
o
dened by the equation o
o
() =
a
.
a
/. and
1
_
2
_
S
_ ... .
(f) j(
a
) j() if =
aN
+
a
.
a
/.
1
_
2
_
S
_ ...
and j(
1
) < .
(g) j is subadditive, that is for any denumerable collection (
a
)
aN
+
of
members of /,
j('
o
a=1
a
) _
o
a=1
j(
a
).
PROOF (a) If
1
. ....
a
are pairwise disjoint members of /.
j('
a
I=1
I
) = j(
1
' ('
a
I=2
I
))
= j(
1
) +j('
a
I=2
I
)
and, by induction, we conclude that j is nitely additive.
(b) Recall that
1 = 1
c
.
Now = ( 1) ' ( 1) and we get
j() = j( 1) +j( 1).
Moreover, since ' 1 = ( 1) ' 1.
j( ' 1) = j( 1) +j(1)
and, if j( 1) < . we have
j( ' 1) = j() +j(1) j( 1).
(c) Part (b) yields j(1) = j(1 ) + j( 1) = j(1 ) + j(). where
the last member does not fall below j().
13
(d) If (
i
)
a
i=1
is a sequence of members of / dene the so called disjunction
(1
I
)
a
I=1
of the sequence (
i
)
a
i=1
as
1
1
=
1
and 1
I
=
I
'
I1
i=1
i
for 2 _ / _ :.
Then 1
I
_
I
. '
I
i=1
i
= '
I
i=1
1
i
. / = 1. ... :. and 1
i
1
)
= c if i ,= ,. Hence,
by Parts (a) and (c),
j('
a
I=1
I
) =
a
I=1
j(1
I
) _
a
I=1
j(
I
).
(e) Set 1
1
=
1
and 1
a
=
a
a1
for : _ 2. Then
a
= 1
1
' .... ' 1
a
.
1
i
1
)
= c if i ,= , and = '
o
I=1
1
I
. Hence
j(
a
) =
a
I=1
j(1
I
)
and
j() =
o
I=1
j(1
I
).
Now e) follows, by the denition of the sum of an innite series.
(f) Put C
a
=
1
a
. : _ 1. Then C
1
_ C
2
_ C
S
_ ....
1
= '
o
a=1
C
a
and j() _ j(
a
) _ j(
1
) < . Thus
j(C
a
) = j(
1
) j(
a
)
and Part (e) shows that
j(
1
) j() = j(
1
) = lim
ao
j(C
a
) = j(
1
) lim
ao
j(
a
).
This proves (f).
(g) The result follows from Parts d) and e).
This completes the proof of Theorem 1.1.2.
14
The hypothesis j(
1
) < in Theorem 1.1.2 ( f) is not superuous. If
c
N
+
is the counting measure on N
and
a
= :. : + 1. ... . then c
N
+
(
a
) =
for all : but
1
_
2
_ .... and c
N
+
(
o
a=1
a
) = 0 since
o
a=1
a
= c.
If . 1 _ A. the symmetric dierence 1 is dened by the equation
1 =
oc)
( 1) ' (1 ).
Note that
.1
=[
1
[ .
Moreover, we have
1 =
c
1
c
and
('
o
i=1
i
)('
o
i=1
1
i
) _ '
o
i=1
(
i
1
i
).
Example 1.1.1. Let j be a nite positive measure on . We claim that
to each set 1 and 0. there exists a set . which is nite union of
intervals (that is, belongs to the Riemann algebra
0
), such that
j(1) < .
To see this let o be the class of all sets 1 for which the conclusion
is true. Clearly c o and, moreover,
0
_ o. If
0
,
c
0
and
therefore 1
c
o if 1 o. Now suppose 1
i
o. i N
. Then to each 0
and i there is a set
i
0
such that j(1
i
i
) < 2
i
. If we set
1 = '
o
i=1
1
i
then
j(1('
o
i=1
i
)) _
o
i=1
j(1
i
i
) < .
Here
1('
o
i=1
i
) = 1 (
o
i=1
c
i
) ' 1
c
('
o
i=1
i
)
and Theorem 1.1.2 (f) gives that
j(1 (
a
i=1
c
i
) ' (1
c
('
o
i=1
i
)) <
if : is large enough (hint:
i1
(1
i
' 1) = (
i1
1
i
) ' 1). But then
j(1'
a
i=1
i
) = j(1 (
a
i=1
c
i
) ' 1
c
('
a
i=1
i
)) <
15
if : is large enough we conclude that the set 1 o. Thus o is a oalgebra
and since
0
_ o _ it follows that o = .
Exercises
1. Prove that the sets NN = (i. ,); i. , N and Q are denumerable.
2. Suppose / is an algebra of subsets of A and j and i two contents on /
such that j _ i and j(A) = i(A) < . Prove that j = i.
3. Suppose / is an algebra of subsets of A and j a content on / with
j(A) < . Show that
j( ' 1 ' C) = j() +j(1) +j(C)
j( 1) j( C) j(1 C) +j( 1 C).
4. (a) A collection ( of subsets of A is an algebra with the following property:
If
a
(. : N
and
I
a
= c if / ,= :, then '
o
a=1
a
(.
Prove that ( is a oalgebra.
(b) Acollection ( of subsets of A is an algebra with the following property:
If 1
a
( and 1
a
_ 1
a1
. : N
. then '
o
1
1
a
( .
Prove that ( is a oalgebra.
5. Let (A. /) be a measurable space and (j
I
)
o
I=1
a sequence of positive
measures on / such that j
1
_ j
2
_ j
S
_ ... . Prove that the set function
j() = lim
Io
j
I
(). /
is a positive measure.
16
6. Let (A. /. j) be a positive measure space. Show that
j(
a
I=1
I
) _
n
_
a
I=1
j(
I
)
for all
1
. ....
a
/.
7. Let (A. /. j) be a onite positive measure space with j(A) = . Show
that for any : [0. [ there is some / with : < j() < .
8. Show that the symmetric dierence of sets is associative:
(1C) = (1)C.
9. (A. /. j) is a nite positive measure space. Prove that
[ j() j(1) [_ j(1).
10. Let 1 = 2N. Prove that
c
N
(1) =
if is a nite union of intervals.
11. Suppose (A. T(A). j) is a nite positive measure space such that j(r)
0 for every r A. Set
d(. 1) = j(1). . 1 T(A).
Prove that
d(. 1) = 0 = = 1.
d(. 1) = d(1. )
17
and
d(. 1) _ d(. C) +d(C. 1).
12. Let (A. /. j) be a nite positive measure space. Prove that
j('
a
i=1
i
) _
a
i=1
j(
i
)
1i<)a
j(
i
)
)
for all
1
. ....
a
/ and integers : _ 2.
13. Let (A. /. j) be a probability space and suppose the sets
1
. ....
a
/
satisfy the inequality
a
1
j(
i
) : 1. Show that j(
a
1
i
) 0.
1.2. Measure Determining Classes
Suppose j and i are probability measures dened on the same oalgebra /,
which is generated by a class c. If j and i agree on c. is it then true that j
and i agree on /? The answer is in general no. To show this, let
A = 1. 2. 3. 4
and
c = 1. 2 . 1. 3 .
Then o(c) = T(A). If j =
1
1
c
A
and
i =
1
6
o
A,1
+
1
3
o
A,2
+
1
3
o
A,S
+
1
6
o
A,1
then j = i on c and j ,= i.
In this section we will prove a basic result on measure determining classes
for onite measures. In this context we will introduce so called :systems
and oadditive classes, which will also be of great value later in connection
with the construction of so called product measures in Chapter 3.
18
Denition 1.2.1. A class ( of subsets of A is a :system if 1 (
for all . 1 (.
The class of all open :cells in R
a
is a :system.
Denition 1.2.2. A class T of subsets of A is called a oadditive class if
the following properties hold:
(a) A T.
(b) If . 1 T and _ 1. then 1 T.
(c) If (
a
)
aN
+
is a disjoint denumerable collection of members of the
class T. then '
o
a=1
a
T.
Theorem 1.2.1. If a oadditive class / is a :system, then / is a o
algebra.
PROOF. If /. then
c
= A / since A / and / is a o
additive class. Moreover, if (
a
)
aN
+
is a denumerable collection of members
of /.
1
' ... '
a
= (
c
1
...
c
a
)
c
/
for each :. since / is a oadditive class and a :system. Let (1
a
)
o
a=1
be the
disjunction of (
a
)
o
a=1
. Then (1
a
)
aN
+
is a disjoint denumerable collection of
members of / and Denition 1.2.2(c) implies that '
o
a=1
a
= '
o
a=1
1
a
/.
Theorem 1.2.2. Let ( be a :system and T a oadditive class such that
( _ T. Then o(() _ T.
PROOF. Let / be the intersection of all oadditive classes containing (.
The class /is a oadditive class and ( _ /_ T. In view of Theorem 1.2.1
/ is a oalgebra, if / is a :system and in that case o(() _ /. Thus the
theorem follows if we show that / is a :system.
Given C _ A. denote by T
C
be the class of all 1 _ A such that 1C
/.
19
CLAIM 1. If C /. then T
C
is a oadditive class.
PROOF OF CLAIM 1. First A T
C
since A C = C /. Moreover, if
. 1 T
C
and _ 1. then C. 1 C / and
(1 ) C = (1 C) ( C) /.
Accordingly from this, 1 T
C
. Finally, if (
a
)
aN
+
is a disjoint denumer
able collection of members of T
C
, then (
a
C)
aN
+
is disjoint denumerable
collection of members of / and
('
aN
+
a
) C = '
aN
+
(
a
C) /.
Thus '
aN
+
a
T
C
.
CLAIM 2. If (. then /_ T
.
PROOF OF CLAIM 2. If 1 (. 1 ( _ /. Thus 1 T
. We
have proved that ( _ T
is a oadditive class.
To complete the proof of Theorem 1.2.2, observe that 1 T
if and only
if T
1
. By Claim 2, if ( and 1 /. then 1 T
that is T
1
.
Thus ( _ T
1
if 1 /. Now the denition of / implies that /_ T
1
if
1 /. The proof is almost nished. In fact, if . 1 / then T
1
that is 1 /. Theorem 1.2.2 now follows from Theorem 1.2.1.
Theorem 1.2.3. Let j and i be positive measures on / = o((), where
( is a :system, and suppose j() = i() for every (.
(a) If j and i are probability measures, then j = i.
(b) Suppose there exist 1
a
(. : N
.
Then j = i.
PROOF. (a) Let
T = /; j() = i() .
It is immediate that T is a oadditive class and Theorem 1.2.2 implies that
/= o(() _ T since ( _ T and ( is a :system.
(b) If j(1
a
) = i(1
a
) = 0 for all all : N
, then
j(A) = lim
ao
j(1
a
) = 0
and, in a similar way, i(A) = 0. Thus j = i. If j(1
a
) = i(1
a
) 0. set
j
a
() =
1
j(1
a
)
j( 1
a
) and i
a
() =
1
i(1
a
)
i( 1
a
)
for each /. By Part (a) j
a
= i
a
and we get
j( 1
a
) = i( 1
a
)
for each /. Theorem 1.1.2(e) now proves that j = i.
Theorem 1.2.3 implies that there is at most one positive measure dened
on
a
such that the measure of any open :cell in R
a
equals its volume.
Next suppose , : A 1 and let _ A and 1 _ 1. The image of
and the inverse image of 1 are
,() = ; = ,(r) for some r
and
,
1
(1) = r; ,(r) 1
21
respectively. Note that
,
1
(1 ) = A
and
,
1
(1 1) = A ,
1
(1).
Moreover, if (
i
)
i1
is a collection of subsets of A and (1
i
)
i1
is a collection
of subsets of 1
,('
i1
i
) = '
i1
,(
i
)
and
,
1
('
i1
1
i
) = '
i1
,
1
(1
i
).
Given a class c of subsets of 1. set
,
1
(c) =
_
,
1
(1); 1 c
_
.
If (1. A) is a measurable space, it follows that the class ,
1
(A) is a oalgebra
in A. If (A. /) is a measurable space
_
1 T(1 ); ,
1
(1) /
_
is a oalgebra in 1 . Thus, given a class c of subsets of 1.
o(,
1
(c)) = ,
1
(o(c)).
Denition 1.2.3. Let (A. /) and (1. A) be measurable spaces. The func
tion , : A 1 is said to be (/. A)measurable if ,
1
(A) _ /. If we say
that , : (A. /) (1. A) is measurable this means that , : A 1 is an
(/. A)measurable function.
Theorem 1.2.4. Let (A. /) and (1. A) be measurable spaces and suppose
c generates A. The function , : A 1 is (/. A)measurable if
,
1
(c)_ /.
PROOF. The assumptions yield
o(,
1
(c))_ /.
22
Since
o(,
1
(c)) = ,
1
(o(c)) = ,
1
(A)
we are done.
Corollary 1.2.1. A function , : A R is (/. )measurable if and only
if the set ,
1
(]c. [) / for all c R.
If , : A 1 is (/. A)measurable and j is a positive measure on /,
the equation
i(1) = j(,
1
(1)), 1 A
denes a positive measure i on A. We will write i = j,
1
. i = ,(j) or
i = j
)
. The measure i is called the image measure of j under , and , is
said to transport j to i. Two (/. A)measurable functions , : A 1 and
q : A 1 are said to be jequimeasurable if ,(j) = q(j).
As an example, let c R
a
and dene ,(r) = r+c if r R
a
. If 1 _ R
a
.
,
1
(1) = r; r +c 1 = 1 c.
Thus ,
1
(1) is an open :cell if 1 is, and Theorem 1.2.4 proves that , is
(
a
.
a
)measurable. Now, granted the existence of volume measure
a
. for
every 1
a
dene
j(1) = ,(
a
)(1) =
a
(1 c).
Then j(1) =
a
(1) if 1 is an open :cell and Theorem 1.2.3 implies that
j =
a
. We have thus proved the following
Theorem 1.2.5. For any
a
and r R
a
+r
a
and
a
( +r) =
a
().
23
Suppose (. T. 1) is a probability space. A measurable function dened
on is called a random variable and the image measure 1
is called the
probability law of . We sometimes write
/() = 1
.
Here are two simple examples.
If the range of a random variable consists of : points o = :
1
. .... :
a
(: _ 1) and 1
=
1
a
c
S
. is said to have a uniform distribution in o. Note
that
1
=
1
:
a
I=1
o
c
k
.
Suppose ` 0 is a constant. If a random variable has its range in N
and
1
=
o
a=0
`
a
:!
c
A
o
a
then is said to have a Poisson distribution with parameter `.
Exercises
1. Let , : A 1 , _ A. and 1 _ 1. Show that
,(,
1
(1)) _ 1 and ,
1
(,()) _ .
2. Let (A. /) be a measurable space and suppose _ A. Show that the
function
a
()
if : _ 0 and
a
.
6. Let j be the counting measure on Z
2
and ,(r. ) = r. (r. ) Z
2
. The
positive measure j is onite. Prove that the image measure ,(j) is not a
onite positive measure.
7. Let j. i : [0. ] be two positive measures such that j(1) = i(1) <
for each open subinterval of R. Prove that j = i.
8. Let , : R
a
R
I
be continuous. Prove that , is (
a
.
I
)measurable.
9. Suppose has a Poisson distribution with parameter `. Showthat 1
[2N] =
c
A
cosh `.
9. Find a oadditive class which is not a oalgebra.
1.3. Lebesgue Measure
Once the problem about the existence of volume measure is solved the exis
tence of the so called Lebesgue measure is simple to establish as will be seen
in this section. We start with some concepts of general interest.
If (A. /. j) is a positive measure space, the zero set ?
j
of j is, by
denition, the set at all / such that j() = 0. An element of ?
j
is
called a null set or jnull set. If
( ?
j
and 1 _ ) =1 /
25
the measure space (A. /. j) is said to be complete. In this case the measure
j is also said to be complete. The positive measure space (A. c. A . j).
where A = 0. 1 and j = 0. is not complete since A ?
j
and 0 , c. A .
Theorem 1.3.1 If (1
a
)
o
a=1
is a denumerable collection of members of ?
j
then '
o
a=1
1
a
?
j
.
PROOF We have
0 _ j('
o
a=1
1
a
) _
o
a=1
j(1
a
) = 0
which proves the result.
Granted the existence of linear measure
1
it follows from Theorem 1.3.1
that Q ?
1
since Q is countable and c ?
1
for each real number c.
Suppose (A. /. j) is an arbitrary positive measure space. It turns out
that j is the restriction to / of a complete measure. To see this suppose
/
is the class of all 1 _ A is such that there exist sets . 1 /such that
_ 1 _ 1 and 1 ?
j
. It is obvious that A /
since /_ /
. If
1 /
. If
(1
i
)
o
i=1
is a denumerable collection of members of /
i
_ '
o
i=1
1
i
_ '
o
i=1
1
i
where '
o
i=1
i
. '
o
i=1
1
i
/. Moreover, ('
o
i=1
1
i
) ('
o
i=1
i
) ?
j
since
('
o
i=1
1
i
) ('
o
i=1
i
) _ '
o
i=1
(1
i
i
).
Thus '
o
i=1
1
i
/
and /
is a oalgebra.
If 1 /. suppose
i
. 1
i
/ are such that
i
_ 1 _ 1
i
and 1
i
i
?
j
for i = 1. 2. Then for each i. (1
1
1
2
)
i
?
j
and
j(1
1
1
2
) = j((1
1
1
2
)
i
) +j(
i
) = j(
i
).
Thus the real numbers j(
1
) and j(
2
) are the same and we dene j(1) to
be equal to this common number. Note also that j(1
1
) = j(1). It is plain
26
that j(c) = 0. If (1
i
)
o
i=1
is a disjoint denumerable collection of members
of /. for each i there exist sets
i
. 1
i
/ such that
i
_ 1
i
_ 1
i
and
1
i
i
?
j
. From the above it follows that
j('
o
i=1
1
i
) = j('
o
i=1
i
) =
o
a=1
j(
i
) =
o
a=1
j(1
i
).
We have proved that j is a positive measure on /
. If 1 ?
j
the
denition of j shows that any set _ 1 belongs to the oalgebra /
. It
follows that the measure j is complete and its restriction to / equals j.
The measure j is called the completion of j and /
a
.
A member of the class
a
is called a Lebesgue measurable set in R
a
or a
Lebesgue set in R
a
. Afunction , : R
a
R is said to be Lebesgue measurable
if it is (
a
. )measurable. Below, :
1
is written : if this notation will not
lead to misunderstanding. Furthermore,
1
is written
.
Theorem 1.3.2. Suppose 1
a
and r R
a
. Then 1 + r
a
and
:
a
(1 +r) = :
a
(1).
PROOF. Choose . 1
a
such that _ 1 _ 1 and 1 ?
n
. Then,
by Theorem 1.2.5, + r. 1 + r
a
.
a
( + r) =
a
() = :
a
(1). and
(1 + r) ( + r) = (1 ) + r ?
n
. Since + r _ 1 + r _ 1 + r the
theorem is proved.
The Lebesgue oalgebra in R
a
is very large and contains each set of
interest in analysis and probability. In fact, in most cases, the oalgebra
a
is
suciently large but there are some exceptions. For example, if , : R
a
R
a
is continuous and
a
, the image set ,() need not belong to the class
a
(see e.g. the Dudley book [D]). To prove the existence of a subset of the
real line, which is not Lebesgue measurable we will use the so called Axiom
of Choice.
27
Axiom of Choice. If (
i
)
i1
is a nonempty collection of nonempty sets,
there exists a function , : 1 '
i1
i
such that ,(i)
i
for every i 1.
Let A and 1 be sets. The set of all ordered pairs (r. ). where r A
and 1 is denoted by A 1. An arbitrary subset 1 of A 1 is called a
relation. If (r. ) 1 , we write r s . A relation is said to be an equivalence
relation on A if A = 1 and
(i) r s r (reexivity)
(ii) r s = s r (symmetry)
(iii) (r s and s .) =r s . (transitivity)
The equivalence class 1(r) =
oc)
; s r . The denition of the equiv
alence relation s implies the following:
(a) r 1(r)
(b) 1(r) 1() ,= c =1(r) = 1()
(c) '
aA
1(r) = A.
An equivalence relation leads to a partition of A into a disjoint collection
of subsets of A.
Let A =
_
1
2
.
1
2
3
2
.
3
2
_
it follows that
3 _ :('
o
i=1
(:
i
+`1)) =
o
a=1
:(`1).
But then `1 ?
n
. which is a contradiction. Thus `1 ,
.
In the early 1970 Solovay [o] proved that it is consistent with the usual
axioms of Set Theory, excluding the Axiom of Choice, that every subset of
R is Lebesgue measurable.
From the above we conclude that the Axiom of Choice implies the exis
tence of a subset of the set of real numbers which does not belong to the class
. Interestingly enough, such an example can be given without any use of
the Axiom of Choice and follows naturally from the theory of analytic sets.
The interested reader may consult the Dudley book [1] .
Exercises
1. (A. /. j) is a positive measure space. Prove or disprove: If _ 1 _ 1
and j() = j(1) then 1 belongs to the domain of the completion j.
2. Prove or disprove: If and 1 are not Lebesgue measurable subsets of
R. then ' 1 is not Lebesgue measurable.
3. Let (A. /. j) be a complete positive measure space and suppose . 1
/, where 1 is a jnull set. Prove that 1 / if _ 1 _ 1 (stated
otherwise /
= /).
29
4. Suppose 1 _ R and 1 ,
such that _ 1 _ 1.
5. Suppose (A. /. j) is a positive measure space and (1. A) a measurable
space. Furthermore, suppose , : A 1 is (/. A)measurable and let
i = j,
1
. that is i(1) = j(,
1
(1)). 1 A. Show that , is (/
. A
)
measurable, where /
a
) _
o
a=1
o(
a
).
30
Since
1 = (1 ) ' (1
c
)
an outer measure o satises the inequality
o(1) _ o(1 ) +o(1
c
).
If o is an outer measure on A we dene /(o) as the set of all _ A
such that
o(1) = o(1 ) +o(1
c
) for all 1 _ A
or, what amounts to the same thing,
o(1) _ o(1 ) +o(1
c
) for all 1 _ A.
The next theorem is one of the most important in measure theory.
Theorem 1.4.1. (Carathodorys Theorem) Suppose o is an outer
measure. The class /(o) is a oalgebra and the restriction of o to /(o) is
a complete measure.
PROOF. Clearly, c /(o) and
c
/(o) if /(o). Moreover, if
. 1 /(o) and 1 _ A.
o(1) = o(1 ) +o(1
c
)
= o(1 1) +o(1 1
c
)
+o(1
c
1) +o(1
c
1
c
).
But
' 1 = ( 1) ' ( 1
c
) ' (
c
1)
and
c
1
c
= ( ' 1)
c
and we get
o(1) _ o(1 ( ' 1)) +o(1 ( ' 1)
c
).
It follows that '1 /(o) and we have proved that the class /(o) is an
algebra. Now if . 1 /(o) are disjoint
o( ' 1) = o(( ' 1) ) +o(( ' 1)
c
) = o() +o(1)
31
and therefore the restriction of o to /(o) is a content.
Next we prove that /(o) is a oalgebra. Let (
i
)
o
i=1
be a disjoint denu
merable collection of members of /(o) and set for each : N
1
a
= '
1ia
i
and 1 = '
o
i=1
i
(here 1
0
= c). Then for any 1 _ A.
o(1 1
a
) = o(1 1
a
a
) +o(1 1
a
c
a
)
= o(1
a
) +o(1 1
a1
)
and, by induction,
o(1 1
a
) =
a
i=1
o(1
i
).
But then
o(1) = o(1 1
a
) +o(1 1
c
a
)
_
a
i=1
o(1
i
) +o(1 1
c
)
and letting : .
o(1) _
o
i=1
o(1
i
) +o(1 1
c
)
_ o('
o
i=1
(1
i
)) +o(1 1
c
)
= o(1 1) +o(1 1
c
) _ o(1).
All the inequalities in the last calculation must be equalities and we conclude
that 1 /(o) and, choosing 1 = 1. results in
o(1) =
o
i=1
o(
i
).
Thus /(o) is a oalgebra and the restriction of o to /(o) is a positive
measure.
Finally we prove that the the restriction of o to /(o) is a complete
measure. Suppose 1 _ /(o) and o() = 0. If 1 _ A.
o(1) _ o(1 1) +o(1 1
c
) _ o(1 1
c
) _ o(1)
and so 1 /(o). The theorem is proved.
32
Exercises
1. Suppose o
i
: T(A) [0. ] . i = 1. 2. are outer measures. Prove that
o = max(o
1
. o
2
) is an outer measure.
2. Suppose c. / R and c ,= /. Set o = max(o
o
. o
b
). Prove that
c . / , /(o).
1.5. Existence of Linear Measure
The purpose of this section is to show the existence of linear measure on R
using the Carathodory Theorem and a minimum of topology.
First let us recall the denition of inmum and supremum of a non
empty subset of the extended real line. Suppose is a nonempty subset
of [. ] = R'. . We dene _ r and r _ for all r
[. ] . An element / [. ] is called a majorant of if r _ / for all
r and a minorant if r _ / for all r . The Supremum Axiom states
that possesses a least majorant, which is denoted by sup . From this
follows that if is nonempty, then possesses a greatest minorant, which
is denoted by inf . (Actually, the Supremum Axiom is a theorem in courses
where time is spent on the denition of real numbers.)
Theorem 1.5.1. (The HeineBorel Theorem; weak form) Let [c. /] be
a closed bounded interval and (l
i
)
i1
a collection of open sets such that
'
i1
l
i
_ [c. /] .
Then
'
iJ
l
i
_ [c. /]
for some nite subset J of 1.
33
PROOF. Let be the set of all r [c. /] such that
'
iJ
l
i
_ [c. r]
for some nite subset J of 1. Clearly, c since c l
i
for some i. Let
c = sup . There exists an i
0
such that c l
i
0
. Let c ]c
0
. /
0
[ _ l
i
0
. where
c
0
< /
0
. Furthermore, by the very denition of least upper bound, there
exists a nite set J such that
'
iJ
l
i
_ [c. (c
0
+c),2] .
Hence
'
iJ'i
0
l
I
_ [c. (c +/
0
),2]
and it follows that c and c = /. The lemma is proved.
A subset 1 of R is called compact if for every family of open subsets l
i
.
i 1. with '
i1
l
i
_ 1 we have '
iJ
l
i
_ 1 for some nite subset J of 1.
The HeineBorel Theorem shows that a closed bounded interval is compact.
If r. R and 1. 1 _ R. let
d(r. ) =[ r [
be the distance between r and . let
d(r. 1) = inf
&1
d(r. n)
be the distance from r to 1. and let
d(1. 1) = inf
&1,1
d(n. )
be the distance between 1 and 1 (here the inmum of the emty set equals
). Note that for any n 1.
d(r. n) _ d(r. ) +d(. n)
and, hence
d(r. 1) _ d(r. ) +d(. n)
34
and
d(r. 1) _ d(r. ) +d(. 1).
By interchanging the roles of r and and assuming that 1 ,= c. we get
[ d(r. 1) d(. 1) [_ d(r. ).
Note that if 1 _ R is closed and r , 1. then d(r. 1) 0.
An outer measure o : T(R) [0. ] is called a metric outer measure if
o( ' 1) = o() +o(1)
for all . 1 T(R) such that d(. 1) 0.
Theorem 1.5.2. If o : T(R) [0. ] is a metric outer measure, then
_ /(o).
PROOF. Let 1 T(R) be closed. It is enough to show that 1 /(o). To
this end we choose 1 _ A with o(1) < and prove that
o(1) _ o(1 1) +o(1 1
c
).
Let : _ 1 be an integer and dene
a
=
_
r 1 1
c
; d(r. 1) _
1
:
_
.
Note that
a
_
a1
and
1 1
c
= '
o
a=1
a
.
Moreover, since o is a metric outer measure
o(1) _ o((1 1) '
a
) = o(1 1) +o(
a
)
and, hence, proving
o(1 1
c
) = lim
ao
o(
a
)
we are done.
35
Let 1
a
=
a1
c
a
. It is readily seen that
d(1
a1
.
a
) _
1
:(: + 1)
since if r 1
a1
and
d(r. ) <
1
:(: + 1)
then
d(. 1) _ d(. r) +d(r. 1) <
1
:(: + 1)
+
1
: + 1
=
1
:
.
Now
o(
2I1
) _ o(1
2I
'
2I1
) = o(1
2I
) +o(
2I1
)
_ ... _
I
i=1
o(1
2i
)
and in a similar way
o(
2I
) _
I
i=1
o(1
2i1
).
But o(
a
) _ o(1) < and we conclude that
o
i=1
o(1
i
) < .
We now use that
1 1
c
=
a
' ('
o
i=a
1
i
)
to obtain
o(1 1
c
) _ o(
a
) +
o
i=a
o(1
i
).
Now, since o(1 1
c
) _ o(
a
),
o(1 1
c
) = lim
ao
o(
a
)
and the theorem is proved.
PROOF OF THEOREM 1.1.1 IN ONE DIMENSION. Suppose o 0. If
_ R. dene
o
c
() = inf
o
I=1
l (1
I
)
the inmum being taken over all open intervals 1
I
with l (1
I
) < o such that
_ '
o
I=1
1
I
.
36
Obviously, o
c
(c) = 0 and o
c
() _ o
c
(1) if _ 1. Suppose (
a
)
o
a=1
is a
denumerable collection of subsets of R and let 0. For each : there exist
open intervals 1
Ia
. / N
. such that l (1
Ia
) < o.
a
_ '
o
I=1
1
Ia
and
o
I=1
l (1
Ia
) _ o
c
(
a
) +2
a
.
Then
=
oc)
'
o
a=1
a
_ '
o
I,a=1
1
Ia
and
o
I,a=1
l (1
Ia
) _
o
a=1
o
c
(
a
) +.
Thus
o
c
() _
o
a=1
o
c
(
a
) +
and, since 0 is arbitrary,
o
c
() _
o
a=1
o
c
(
a
).
It follows that o
c
is an outer measure.
If 1 is an open interval it is simple to see that
o
c
(1) _ l (1).
To prove the reverse inequality, choose a closed bounded interval J _ 1. Now,
if
1 _ '
o
I=1
1
I
where each 1
I
is an open interval of l (1
I
) < o. it follows from the HeineBorel
Theorem that
J _ '
a
I=1
1
I
for some :. Hence
l (J) _
a
I=1
l (1
I
) _
o
I=1
l (1
I
)
and it follows that
l (J) _ o
c
(1)
and, accordingly from this,
l (1) _ o
c
(1).
37
Thus, if 1 is an open interval, then
o
c
(1) = l (1).
Note that o
c
1
_ o
c
2
if 0 < o
1
_ o
2
. We dene
o
0
() = lim
c0
o
c
() if _ R.
It obvious that o
0
is an outer measure such that o
0
(1) =l (1). if 1 is an open
interval.
To complete the proof we show that o
0
is a metric outer measure. To this
end let . 1 _ R and d(. 1) 0. Suppose 0 < o < d(. 1) and
' 1 _ '
o
I=1
1
I
where each 1
I
is an open interval with l (1
I
) < o. Let
c = /; 1
I
,= c
and
, = /; 1
I
1 ,= c .
Then c , = c.
_ '
Ic
1
I
and
1 _ '
Io
1
I
and it follows that
o
I=1
l (1
I
) _
Ic
l (1
I
) +
Io
l (1
I
)
_ o
c
() +o
c
(1).
Thus
o
c
( ' 1) _ o
c
() +o
c
(1)
and by letting o 0 we have
o
0
( ' 1) _ o
0
() +o
0
(1)
and
o
0
( ' 1) = o
0
() +o
0
(1).
38
Finally by applying the Carathodory Theorem and Theorem 1.5.2 it
follows that the restriction of o
0
to equals
1
.
We end this section with some additional results of great interest.
Theorem 1.5.3. For any o 0. o
c
= o
0
. Moreover, if _ R
o
0
() = inf
o
I=1
l(1
I
)
the inmum being taken over all open intervals 1
I
. / N
. such that
'
o
I=1
1
I
_ .
PROOF. It follows from the denition of o
0
that o
c
_ o
0
. To prove the
reverse inequality let _ R and choose open intervals 1
I
. / N
. such that
'
o
I=1
1
I
_ . Then
o
0
() _ o
0
('
o
I=1
1
I
) _
o
I=1
o
0
(1
I
)
=
o
I=1
l(1
I
).
Hence
o
0
() _ inf
o
I=1
l(1
I
)
the inmum being taken over all open intervals 1
I
. / N
. such that
'
o
I=1
1
I
_ . Thus o
0
() _ o
c
(). which completes the proof of Theorem
1.5.3.
Theorem 1.5.4. If _ R.
o
0
() = inf
l
l open
o
0
(l).
Moreover, if /(o
0
).
o
0
() = sup
1
1 closed bounded
o
0
(1).
39
PROOF. If _ l, o
0
() _ o
0
(l). Hence
o
0
() _ inf
l
l open
o
0
(l).
Next let 0 be xed and choose open intervals 1
I
. / N
. such that
'
o
I=1
1
I
_ and
o
I=1
l(1
I
) _ o
0
() +
(here observe that it may happen that o
0
() = ). Then the set l =
oc)
'
o
I=1
1
I
is open and
o
0
(l) _
o
I=1
o
0
(1
I
) =
o
I=1
l(1
I
) _ o
0
() +.
Thus
inf
l
l open
o
0
(l) _ o
0
()
and we have proved that
o
0
() = inf
l
l open
o
0
(l).
If 1 _ . o
0
(1) _ o
0
() and, accordingly from this,
sup
1
1 closed bounded
o
0
(1) _ o
0
().
To prove the reverse inequality we rst assume that /(o
0
) is bounded.
Let 0 be xed and suppose J is a closed bounded interval containing .
Then we know from the rst part of Theorem 1.5.4 already proved that there
exists an open set l _ J r such that
o
0
(l) < o
0
(J r) +.
But then
o
0
(J) _ o
0
(J rl) +o
0
(l) < o
0
(J rl) +o
0
(J r) +
and it follows that
o
0
() < o
0
(J l).
40
Since J rl is a closed bounded set contained in we conclude that
o
0
() _ sup
1
1 closed bounded
o
0
(1).
If /(o
0
) let
a
= [:. :] . : N
. let 1
a
be a closed bounded subset of
a
such that o
0
(1
a
) o
0
(
a
) .
Clearly, there is no loss of generality to assume that 1
1
_ 1
2
_ 1
S
_ ...
and by letting : tend to plus innity we get
lim
ao
o
0
(1
a
) _ o
0
() .
Hence
o
0
() = sup
1
1 compact
o
0
(1).
and Theorem 1.5.4 is completely proved.
Theorem1.5.5. Lebesgue measure :
1
equals the restriction of o
0
to /(o
0
).
PROOF. Recall that linear measure
1
equals the restriction of o
0
to and
:
1
=
1
. First suppose 1
1
. But then o
0
(1r) = 0 and 1 = '(1r) /(o
0
) since
the Carathodory Theorem gives us a complete measure. Hence :
1
(1) =
1
() = o
0
(1).
Conversely suppose 1 /(o
0
). We will prove that 1
and :
1
(1) =
o
0
(1). First assume that 1 is bounded. Then for each positive integer : there
exist open l
a
_ 1 and closed bounded 1
a
_ 1 such that
o
0
(l
a
) < o
0
(1) + 2
a
and
o
0
(1
a
) o
0
(1) 2
a
.
The denitions yield = '
o
1
1
a
. 1 =
o
1
l
a
and
o
0
(1) = o
0
() = o
0
(1) =
1
() =
1
(1) = :
1
(1).
41
It follows that 1
and o
0
(1) = :
1
(1).
In the general case set 1
a
= 1 [:. :] . : N
and o
0
(1
a
) = :
1
(1
a
) for each : and Theorem 1.5.5 follows by
letting : go to innity.
The Carathodory Theorem can be used to show the existence of volume
measure on R
a
but we do not go into this here since its existence follows by
several other means below. By passing, let us note that the Carathodory
Theorem is very ecient to prove the existence of so called Haussdor mea
sures (see e.g. [1]). which are of great interest in Geometric Measure Theory.
Exercises
1. Prove that a subset 1 of R is compact if and only if 1 is closed and
bounded.
2. Suppose
[_
1
S
for innitely many pairs of positive integers j and . Prove that ?
n
.
5. Let 1
1
. .... 1
a
be open subintervals of R such that
Q[0. 1] _ '
a
I=1
1
I
.
Prove that
a
I=1
:(1
I
) _ 1.
42
6. If 1
t
2
2
dt
_
2:
(a Riemann integral)
then j
1
is called the standard Gaussian measure on R.
Exercises
1. Suppose 1 : R R is a right continuous increasing function. Prove that
there is a unique positive measure j on such that
j(]c. r]) = 1(r) 1(c). if c. r R and c < r.
44
2. Suppose 1 : R R is an increasing function. Prove that the set of
all discontinuity points of 1 is at most denumerable. (Hint: Assume rst
that 1 is bounded and prove that the set of all points r R such that
1(r+) 1(r) is nite for every 0.)
3. Suppose j is a onite positive measure on . Prove that the set of all
r R such that j(r) 0 is at most denumerable.
4. Suppose j is a onite positive measure on
a
. Prove that there is an at
most denumerable set of hyperplanes of the type
r
I
= c (/ = 1. .... :. c R)
with positive jmeasure.
5. Construct an increasing function , : R R such that the set of discon
tinuity points of , equals Q.
45
CHAPTER 2
INTEGRATION
Introduction
In this chapter Lebesgue integration in abstract positive measure spaces is
introduced. A series of famous theorems and lemmas will be proved.
2.1. Integration of Functions with Values in [0. ]
Recall that [0. ] = [0. [ ' . A subinterval of [0. ] is dened in the
natural way. We denote by
0,o
the oalgebra generated by all subintervals
of [0. ] . The class of all intervals of the type ]c. ] . 0 _ c < . (or of
the type [c. ] . 0 _ c < ) generates the oalgebra
0,o
and we get the
following
Theorem 2.1.1. Let (A. /) be a measurable space and suppose , : A
[0. ] .
(a) The function , is (/.
0,o
)measurable if ,
1
(]c. ]) / for
every 0 _ c < .
(b) The function , is (/.
0,o
)measurable if ,
1
([c. ]) / for
every 0 _ c < .
Note that the set , c /for all real c if , is (/.
0,o
)measurable.
If ,. q : A [0. ] are (/.
0,o
)measurable, then min(,. q). max(,. q),
and , +q are (/.
0,o
)measurable, since, for each c [0. [ .
min(,. q) _ c =(, _ c and q _ c)
max(,. q) _ c =(, _ c or q _ c)
46
and
, +q c =
_
qQ
(, c q ).
Given functions ,
a
: A [0. ] . : = 1. 2. .... , = sup
a1
,
a
is dened
by the equation
,(r) = sup ,
a
(r); : = 1. 2. ... .
Note that
,
1
(]c. ]) = '
o
a=1
,
1
a
(]c. ])
for every real c _ 0 and, accordingly from this, the function sup
a1
,
a
is
(/.
0,o
)measurable if each ,
a
is (/.
0,o
)measurable. Moreover, , =
inf
a1
,
a
is given by
,(r) = inf ,
a
(r); : = 1. 2. ... .
Since
,
1
([0. c[) = '
o
a=1
,
1
a
([0. c[)
for every real c _ 0 we conclude that the function , = inf
a1
,
a
is (/.
0,o
)
measurable if each ,
a
is (/.
0,o
)measurable.
Below we write
,
a
,
if ,
a
. : = 1. 2. .... and , are functions from A into [0. ] such that ,
a
_ ,
a1
for each : and ,
a
(r) ,(r) for each r A as : .
An (/.
0,o
)measurable function , : A [0. ] is called a simple
measurable function if ,(A) is a nite subset of [0. [ . If it is neccessary to
be more precise, we say that , is a simple /measurable function.
Theorem 2.1.2. Let , : A [0. ] be (/.
0,o
)measurable. There exist
simple measurable functions ,
a
. : N
. on A such that ,
a
, .
PROOF. Given : N
, set
1
ia
= ,
1
(
_
i 1
2
a
.
i
2
a
_
). i N
47
and
j
a
=
o
i=1
i 1
2
a
1
in
+
)
1
(o)
.
It is obvious that j
a
_ , and that j
a
_ j
a1
. Now set ,
a
= min(:. j
a
) and
we are done.
Let (A. /. j) be a positive measure space and , : A [0. [ a simple
measurable function. If c
1
. .... c
a
are the distinct values of the simple function
,, and if 1
i
= ,
1
(c
i
). i = 1. .... :. then
, =
a
i=1
c
i
1
i
.
Furthermore, if / we dene
i() =
_
,dj =
a
i=1
c
i
j(1
i
) =
a
I=1
c
i
j
1
i
().
Note that this formula still holds if (1
i
)
a
1
is a measurable partition of A and
, = c
i
on 1
i
for each i = 1. .... :. Clearly, i is a positive measure since each
term in the right side is a positive measure as a function of . Note that
_
c,dj = c
_
,dj if 0 _ c <
and _
,dj = cj()
if c [0. [ and , is a simple measurable function such that , = c on .
If is another simple measurable function and , _ .
_
,dj _
_
dj.
To see this, let ,
1
. .... ,
j
be the distinct values of and 1
)
=
1
(
_
,
)
_
).
, = 1. .... j. Now, putting 1
i)
= 1
i
1
)
.
_
,dj = i('
i)
( 1
i)
))
=
i)
i( 1
i)
) =
i)
_
1
ij
,dj =
i)
_
1
ij
c
i
dj
48
_
i)
_
1
ij
,
)
dj =
_
dj.
In a similar way one proves that
_
(, +)dj =
_
,dj +
_
dj.
From the above it follows that
_
dj =
_
a
i=1
c
i
1
i
dj
=
a
i=1
c
i
_
1
i
dj =
a
i=1
c
i
j(1
i
)
and _
dj =
_
,dj.
If , : A [0. ] is an (/.
0,o
)measurable function and /, we
dene
_
,dj = sup
__
,dj _
_
qdj.
49
(b)
_
,dj =
_
A
,dj.
(c) If , _ 0 and c [0. [, then
_
c,dj = c
_
,dj.
(d)
_
a
= r A; ,
a
(r) _ o,(r) .
If c
1
. .... c
j
are the distinct values of ,.
a
= '
j
I=1
(r A; ,
a
(r) _ oc
I
, = c
I
)
and it follows that
a
is measurable. Clearly,
1
_
2
_ ... . Moreover, if
,(r) = 0. then r
1
and if ,(r) 0. then o,(r) < ,(r) and r
a
for
all suciently large :. Thus '
o
a=1
a
= A. Now
c _
_
n
,
a
dj _ o
_
n
,dj
and we get
c _ o
_
A
,dj
since the map
_
ndj. /.
Then i is a positive measure and
_
,di =
_
,ndj. /
for every measurable function , : A [0. ] .
PROOF. Clearly, i(c) = 0. Suppose (1
I
)
o
I=1
is a disjoint denumerable col
lection of members of / and set 1 = '
o
I=1
1
I
. Then
i('
o
I=1
1
I
) =
_
1
ndj =
_
A
1
ndj =
_
A
o
I=1
1
k
ndj
53
where, by the Beppo Levi Theorem, the right member equals
o
I=1
_
A
1
k
ndj =
o
I=1
_
1
k
ndj =
o
I=1
i(1
I
).
This proves that i is a positive measure.
Let /. To prove the last part in Theorem 2.1.5 we introduce the
class ( of all measurable functions , : A [0. ] such that
_
,di =
_
,ndj.
The indicator function of a measurable set belongs to ( and from this we
conclude that every simple measurable function belongs to (. Furthermore, if
,
a
(. : N. and ,
a
, . the Monotone Convergence Theorem proves that
, (. Thus in view of Theorem 2.1.2 the class ( contains every measurable
function , : A [0. ] . This completes the proof of Theorem 2.1.5.
The measure i in Theorem 2.1.5 is written
i = nj
or
di = ndj.
Let (c
a
)
o
a=1
be a sequence in [. ] . First put ,
I
= inf c
I
. c
I1
. c
I2
. ...
and = sup ,
1
. ,
2
. ,
S
. .. = lim
ao
,
a
. We call the lower limit of (c
a
)
o
a=1
and write
= liminf
ao
c
a
.
Note that
= lim
ao
c
a
if the limit exists. Nowput ,
I
= sup c
I
. c
I1
. c
I2
. ... and = inf ,
1
. ,
2
. ,
S
. .. =
lim
ao
,
a
. We call the upper limit of (c
a
)
o
a=1
and write
= limsup
ao
c
a
.
Note that
= lim
ao
c
a
54
if the limit exists.
Given measurable functions ,
a
: A [0. ] . : = 1. 2. .... the function
liminf
ao
,
a
is measurable. In particular, if
,(r) = lim
ao
,
a
(r)
exists for every r A. then , is measurable.
Theorem 2.1.6. (Fatous Lemma) If ,
a
: A [0. ] . : = 1. 2. .... are
measurable _
A
liminf
ao
,
a
dj _ liminf
ao
_
A
,
a
dj.
PROOF. Introduce
q
I
= inf
aI
,
a
.
The denition gives that q
I
liminf
ao
,
a
and, moreover,
_
A
q
I
dj _
_
A
,
a
dj. : _ /
and _
A
q
I
dj _ inf
aI
_
A
,
a
dj.
The Fatou Lemma now follows by monotone convergence.
Below we often write _
1
,(r)dj(r)
instead of _
1
,dj.
Example 2.1.3. Suppose c R and , : (R.
) ([0. ] .
0,o
) is
measurable. We claim that
_
R
,(r +c)d:(r) =
_
R
,(r)d:(r).
55
First if , =
. where
,
_
R
,(r +c)d:(r) =
_
R
o
(r)d:(r) = :( c) =
:() =
_
R
,(r)d:(r).
Next it is clear that the relation we want to prove is true for simple mea
surable functions and nally, we use the Monotone Convergence Theorem to
deduce the general case.
Example 2.1.3, Suppose
o
1
c
a
is a positive convergent series and let 1 be
the set of all r [0. 1] such that
min
j0,...,a
[ r
j
:
[<
c
a
:
for innitely many : N
. let 1
a
be the set of all r [0. 1]
such that
min
jN
+
[ r
j
:
[<
c
a
:
.
Then if 1(r. :) = ]r :. r +:[ . r [0. 1] . : 0. we have
1
a
_
a
_
j=0
1(
j
:
.
c
a
:
)
and
:(1
a
) _ (: + 1)
2c
a
:
_ 4c
a
.
Hence
o
1
:(1
a
) <
and by the Beppo Levi theorem
_
1
0
o
1n
d: < .
56
Accordingly from this the set
1 =
_
r [0. 1] ;
o
1n
(r) <
_
is of Lebesgue measure 1. Since 1 _ [0. 1] 1 we have :(1) = 0.
Exercises
1. Suppose ,
a
: A [0. ] . : = 1. 2. .... are measurable and
o
a=1
j(,
a
1) < .
Prove that
_
limsup
ao
,
a
1
_
?
j
.
2. Set ,
a
= :
2
[0,
1
n
]
. : N
. Prove that
_
R
liminf
ao
,
a
d: = 0 < = liminf
ao
_
R
,
a
d:
(the inequality in the Fatou Lemma may be strict).
3. Suppose , : (R.
) ([0. ] .
0,o
) is measurable and set
q(r) =
o
I=1
,(r +/). r R.
Show that _
R
qd: < if and only if , 0 ?
n
.
4. Let (A. /. j) be a positive measure space and , : A [0. ] an
(/.
0,o
)measurable function such that
,(A) _ N
57
and
_
A
,dj < .
For every t _ 0, set
1(t) = j(, t) and G(t) = j(, _ t).
Prove that
_
A
,dj =
o
a=0
1(:) =
o
a=1
G(:).
2.2. Integration of Functions with Arbitrary Sign
As usual suppose (A. /. j) is a positive measure space. In this section when
we speak of a measurable function , : A R it is understood that , is an
(/. )measurable function, if not otherwise stated. If ,. q : A R are
measurable, the sum , +q is measurable since
, +q c =
_
qQ
(, c q )
for each real c. Besides the function , and the dierence , q are mea
surable. It follows that a function , : A R is measurable if and only if
the functions ,
= max(0. ,) and ,
.
We write , /
1
(j) if , : A R is measurable and
_
A
[ , [ dj <
and in this case we dene
_
A
,dj =
_
A
,
dj
_
A
,
dj.
Note that
[
_
A
,dj [_
_
A
[ , [ dj
58
since [ , [= ,
+,
. Moreover, if 1 / we dene
_
1
,dj =
_
1
,
dj
_
1
,
dj
and it follows that
_
1
,dj =
_
A
1
,dj.
Note that
_
1
,dj = 0 if j(1) = 0.
Sometimes we write
_
1
,(r)dj(r)
instead of
_
1
,dj.
If ,. q /
1
(j). setting / = , +q.
_
A
[ / [ dj _
_
A
[ , [ dj +
_
A
[ q [ dj <
and it follows that / +q /
1
(j). Moreover,
/
= ,
+q
+,
+q
= ,
+q
+/
gives
_
A
/
dj +
_
A
,
dj +
_
A
q
dj =
_
A
,
dj +
_
A
q
dj +
_
A
/
dj.
Thus
_
A
/dj =
_
A
,dj +
_
A
qdj.
Moreover,
_
A
c,dj = c
_
A
,dj
59
for each real c. The case c _ 0 follows from (c) in Section 2.1. The case
c = 1 is also simple since (,)
= ,
and (,)
= ,
.
Theorem 2.2.1. (Lebesgues Dominated Convergence Theorem)
Suppose ,
a
: A R. : = 1. 2. .... are measurable and
,(r) = lim
ao
,
a
(r)
exists for every r A. Moreover, suppose there exists a function q /
1
(j)
such that
[ ,
a
(r) [_ q(r). all r A and : N
.
Then , /
1
(j),
lim
ao
_
A
[ ,
a
, [ dj = 0
and
lim
ao
_
A
,
a
dj =
_
A
,dj
Proof. Since [ , [_ q, the function , is realvalued and measurable since
,
and ,
(r) = lim
ao
,
a
(r). all r A.
We now apply the Fatous Lemma to the functions 2q [ ,
a
, [. : =
1. 2. .... and have
_
A
2qdj _ liminf
ao
_
A
(2q [ ,
a
, [)dj
=
_
A
2qdj limsup
ao
_
A
[ ,
a
, [ dj.
But
_
A
2qdj is nite and we get
lim
ao
_
A
[ ,
a
, [ dj = 0.
Since
[
_
A
,
a
dj
_
A
,dj [=[
_
A
(, ,
a
)dj [_
_
A
[ , ,
a
[ dj
60
the last part in Theorem 2.2.1 follows from the rst part. The theorem is
proved.
Example 2.2.1. Suppose , : ]c. /[ A R is a function such that ,(t. )
/
1
(j) for each t ]c. /[ and, moreover, assume
0)
0t
exists and
[
J,
Jt
(t. r) [_ q(r) for all (t. r) ]c. /[ A
where q /
1
(j). Set
1(t) =
_
A
,(t. r)dj(r) if t ]c. /[ .
We claim that 1 is dierentiable and
1
t
(t) =
_
A
J,
Jt
(t. r)dj(r).
To see this let t
+
]c. /[ be xed and choose a sequence (t
a
)
o
a=1
in ]c. /[
t
+
which converges to t
+
. Dene
/
a
(r) =
,(t
a
. r) ,(t
+
. r)
t
a
t
+
if r A.
Here each /
a
is measurable and
lim
ao
/
a
(r) =
J,
Jt
(t
+
. r) for all r A.
Furthermore, for each xed : and r there is a t
a,a
]t
a
. t
+
[ such that /
a
(r) =
0)
0t
(t
a,a
. r) and we conclude that [ /
a
(r) [_ q(r) for every r A. Since
1(t
a
) 1(t
+
)
t
a
t
+
=
_
A
/
a
(r)dj(r)
the claim above now follows from the Lebesgue Dominated Convergence The
orem.
Suppose o(r) is a statement, which depends on r A. We will say that
o(r) holds almost (or jalmost) everywhere if there exists an ` ?
j
such
61
that o(r) holds at every point of A `. In this case we write o holds a.e.
or o holds a.e. [j]. Sometimes we prefer to write o(r) holds a.e.
or o(r) holds a.e. [j]. If the underlying measure space is a probability
space, we often say almost surely instead of almost everywhere. The term
almost surely is abbreviated a.s.
Suppose , : A R. is an (/. )measurable functions and q : A R.
If , = q a.e. [j] there exists an ` ?
j
such that ,(r) = q(r) for every
r A `. We claim that q is (/
and q is (/
. )measurable since c
is an arbitrary real number.
Next suppose ,
a
: A R. : N
. )measurable. To
see this suppose ` ?
j
and
lim
ao
,
a
(r) = ,(r). all r A `.
Then
lim
ao
A\.
(r),
a
(r) =
A\.
(r),(r)
62
and it follows that the function
A\.
, is (/. )measurable. Since , =
A\.
, a.e. [j] it follows that , is (/
(0). /. Set ,
a
=
1,2
. : N
) ([0. ] .
0,o
) is measurable there exists a measur
able function q : (A. /) ([0. ] .
0,o
) such that , = q a.e. [j] .
(b) If , : (A. /
measurable functions ,
a
. : N
. such that 0 _ ,
a
,. For each xed
: suppose c
1a
. .... c
Ina
are the distinct values of ,
a
and choose for each xed
i = 1. .... /
a
a set
ia
_ ,
1
a
(c
ia
) such that
ia
/ and ,
1
a
(c
ia
)
ia
?
j
. Set
a
=
In
i=1
c
ia
in
.
64
Clearly
a
(r) ,(r) if r 1 =
oc)
o
a=1
('
In
i=1
ia
) and j(A 1) = 0. We
now dene q(r) = ,(r). if r 1. and q(r) = 0 if r A 1. The theorem
is proved.
Exercises
1. Suppose , and q are realvalued measurable functions. Prove that ,
2
and
,q are measurable functions.
2. Suppose , 1
1
(j). Prove that
lim
co
_
[)[c
[ , [ dj = 0.
(Here
_
[)[c
means
_
[)[c
.)
3. Suppose , 1
1
(j). Prove that to each 0 there exists a o 0 such
that
_
1
[ , [ dj <
whenever j(1) < o.
4. Let (,
a
)
o
a=1
be a sequence of (/. )measurable functions. Prove that
the set of all r R such that the sequence (,
a
(r))
o
a=1
converges to a real
limit belongs to /.
5. Let (A. /. ) be a positive measure space such that j() = 0 or for
every /. Show that , 1
1
(j) if and only if ,(r) = 0 a.e. [j] .
6. Let (A. /. j) be a positive measure space and suppose , and q are
nonnegative measurable functions such that
_
,dj =
_
qdj. all /.
65
(a) Prove that , = q a.e. [j] if j is onite.
(b) Prove that the conclusion in Part (a) may fail if j is not onite.
7. Let (A. /. j) be a nite positive measure space and suppose the functions
,
a
: A R. : = 1. 2. .... are measurable. Show that there is a sequence
(c
a
)
o
a=1
of positive real numbers such that
lim
ao
c
a
,
a
= 0 a.e. [j] .
8. Let (A. /. j) be a positive measure space and let ,
a
: A R. : = 1. 2. ....
be a sequence in 1
1
(j) which converges to , a.e. [j] as : . Suppose
, 1
1
(j) and
lim
ao
_
A
[ ,
a
[ dj =
_
A
[ , [ dj.
Show that
lim
ao
_
A
[ ,
a
, [ dj = 0.
9. Let (A. /. j) be a nite positive measure space and suppose , 1
1
(j)
is a bounded function such that
_
A
,
2
dj =
_
A
,
S
dj =
_
A
,
1
dj.
Prove that , =
for an appropriate /.
10. Let (A. /. j) be a nite positive measure space and , : A R a
measurable function. Prove that , 1
1
(j) if and only if
o
I=1
j([ , [_ /) < .
11. Suppose , 1
1
(:). Prove that the series
o
I=o
,(r + /) converges for
:almost all r.
66
12. a) Suppose , : R [0. [ is Lebesgue measurable and
_
R
,d: < .
Prove that
lim
co
c:(, _ c) = 0.
b) Find a Lebesgue measurable function , : R [0. [ such that , ,
1
1
(:). :(, 0) < . and
lim
co
c:(, _ c) = 0.
13. (a) Suppose / is an oalgebra of subsets of A and j a positive measure
on / with j(A) < . Let
1
. ....
a
/. Show that
1
'
2
'...'n
= 1 (1
1
) ... (1
n
)
and conclude that
j(
1
'
2
' ... '
a
) =
1ia
j(
i
)
1i
1
<i
2
a
j(
i
1
i
2
)
+
1i
1
<i
2
<i
3
a
j(
i
1
i
2
i
3
) ... + (1)
a1
j(
1
...
a
).
(b) Let A be the set of all permutations (bijections) r : 1. 2. .... :
1. 2. .... : and let j =
1
a!
c
A
. A random variable : A has the uniform
distribution in A or, stated otherwise, the image measure 1
equals j. Find
the probability that has a xed point, that is nd
1 [(i) = i for some i 1. 2. .... :] .
(Hint: Set
i
= r A; r(i) = i . i = 1. .... :. and note that the probability
in question equals j(
1
'
2
' ... '
a
).)
14. Let (A. /. j) be a positive measure space and , : A R an (/,)
measurable function. Moreover, for each t 1. let
c(t) =
o
a=o
t
a
j(t
a
_[ , [< t
a1
).
67
Show that
lim
t1
+
c(t) =
_
A
[ , [ dj.
15. Let (A. /. j) be a positive measure space and ,
a
:A R. : N
. a
sequence of measurable functions such that
limsup
ao
:
2
j([ ,
a
[_ :
2
) < .
Prove that the series
o
a=1
,
a
(r) converges for jalmost all r A.
16. Let (A. /. j) be a positive measure space and ,:A R a measurable
function. Furthermore, suppose there are strictly positive constants 1 and
C such that _
A
c
o)
dj _ 1c
a
2
C
2
if c R.
Prove that
j([ , [_ t) _ 21c
t
2
2C
if t 0.
2.3 Comparison of Riemann and Lebesgue Integrals
In this section we will show that the Lebesgue integral is a natural general
ization of the Riemann integral. For short, the discussion is restricted to a
closed and bounded interval.
Let [c. /] be a closed and bounded interval and suppose , : [c. /] R is
a bounded function. For any partition
: c = r
0
< r
1
< ... < r
a
= /
of [c. /] dene
o
.
, =
a
i=1
( sup
[a
i1
,a
i
[
,)(r
i
r
i1
)
and
:
.
, =
a
i=1
( inf
[a
i1
,a
i
[
,)(r
i
r
i1
).
68
The function , is Riemann integrable if
inf
.
o
.
, = sup
.
:
.
,
and the Riemann integral
_
b
o
,(r)dr is, by denition, equal to this common
value.
Below an ((
)
[o,b[
. )measurable function is simply called Lebesgue
measurable. Furthermore, we write : instead of :
[[o,b[
.
Theorem 2.3.1. A bounded function , : [c. /] R is Riemann integrable
if and only if the set of discontinuity points of , is a Lebesgue null set.
Moreover, if the set of discontinuity points of , is a Lebesgue null set, then
, is Lebesgue measurable and
_
b
o
,(r)dr =
_
[a;b]
,d:.
PROOF. A partition
t
: c = r
t
0
< r
t
1
< ... < r
t
a
0 = / is a renement of a
partition : c = r
0
< r
1
< ... < r
a
= / if each r
I
is equal to some r
t

and in
this case we write 
t
. The denitions give o
.
, _ o
.
0 , and :
.
, _ :
.
0 ,
if 
t
. We dene, mesh() = max
1ia
(r
i
r
i1
).
First suppose , is Riemann integrable. For each partition let
G
.
= ,(c)
o
+
a
i=1
( sup
[a
i1
,a
i
[
,)
[a
i1
,a
i
[
and
q
.
= ,(c)
o
+
a
i=1
( inf
[a
i1
,a
i
[
,)
[a
i1
,a
i
[
and note that
_
[o,b[
G
.
d: = o
.
,
and
_
[o,b[
q
.
d: = :
.
,.
69
Suppose
I
. / = 1. 2. .... is a sequence of partitions such that
I

I1
,
o
.
k
, 
_
b
o
,(r)dr
and
:
.
k
,
_
b
o
,(r)dr
as / . Let G = lim
Io
G
.
k
and q = lim
Io
q
.
k
. Then G and q are
(
[o,b[
. )measurable, q _ , _ G. and by dominated convergence
_
[a;b]
Gd: =
_
[a;b]
qd: =
_
b
o
,(r)dr.
But then _
[a;b]
(Gq)d: = 0
so that G = q a.e. [:] and therefore G = , a.e. [:] . In particular, , is
Lebesgue measurable and
_
b
o
,(r)dr =
_
[a;b]
,d:.
Set
` = r; q(r) < ,(r) or ,(r) < G(r) .
We proved above that :(`) = 0. Let ` be the union of all those points which
belong to some partition
I
. Clearly, :(`) = 0 since ` is denumerable.
We claim that , is continuous o ` ' `. If , is not continuous at a point
c , ` ' `, there is an 0 and a sequence (c
a
)
o
a=1
converging to c such
that
[ ,(c
a
) ,(c) [_ all :.
Since c , `, c is an interior point to exactly one interval of each partition
I
and we get
G
.
k
(c) q
.
k
(c) _
and in the limit
G(c) q(c) _ .
But then c ` which is a contradiction.
70
Conversely, suppose the set of discontinuity points of , is a Lebesgue null
set and let (
I
)
o
I=1
is an arbitrary sequence of partitions of [c. /] such that
I

I1
and mesh(
I
) 0 as / . By assumption,
lim
Io
G
.
k
(r) = lim
Io
q
.
k
(r) = ,(r)
at each point r of continuity of ,. Therefore , is Lebesgue measurable and
dominated convergence yields
lim
Io
_
[o,b[
G
.
k
d: =
_
[o,b[
,d:
and
lim
Io
_
[o,b[
q
.
k
d: =
_
[o,b[
,d:.
Thus , is Riemann integrable and
_
b
o
,(r)dr =
_
[a;b]
,d:.
In the following we sometimes write
_
,(r)dr (
)
instead of
_
,d: (
).
In a similar way we often prefer to write
_
,(r)dr (
a
)
instead of
_
,d:
a
(
a
).
Furthermore,
_
b
o
,d: means
_
[o,b[
,d:. Here, however, a warning is moti
vated. It is simple to nd a realvalued function , on [0. [, which is bounded
71
on each bounded subinterval of [0. [ . such that the generalized Riemann
integral
_
o
0
,(r)dr
is convergent, that is
lim
bo
_
b
0
,(r)dr
exists and the limit is a real number, while the Riemann integral
_
o
0
[ ,(r) [ dr
is divergent (take e.g. ,(r) =
sin a
a
). In this case the function , does not
belong to /
1
with respect to Lebesgue measure on [0. [ since
_
[0,o[
[ , [ d: = lim
bo
_
b
0
[ ,(r) [ dr = .
Example 2.3.1. To compute
lim
ao
_
a
0
(1
a
a
)
a
_
r
dr
suppose : N
[0,a[
(r)(1
r
:
)
a
_ c
a
if r _ 0.
From this
,
a
(r) =
oc)
[0,a[
(r)
(1
a
a
)
a
_
r
_
c
a
_
r
. r _ 0
and, in addition,
lim
ao
,
a
(r) =
c
a
_
r
.
Here
c
x
_
a
1
1
(:
1
on [0. [) since
c
x
_
a
_ 0 and
_
o
0
c
a
_
r
dr = 2
_
o
0
c
a
2
dr =
_
:.
72
Moreover ,
a
_ 0 for every : N
. Compute lim
ao
,
a
and
lim
ao
_
R
,
a
d:.
3. Compute the following limits and justify the calculations:
(a)
lim
ao
_
o
0
sin(c
a
)
1 +:r
2
dr.
(b)
lim
ao
_
a
0
(1 +
r
:
)
a
cos rdr.
(c)
lim
ao
_
a
0
(1 +
r
:
)
a
c
2a
dr.
(d)
lim
ao
_
o
0
(1 +
r
:
)
a
exp((1 +
r
:
)
a
)dr.
(e)
lim
ao
:
_
o
0
sin(
a
a
)
r(1 +r
2
)
dr.
73
(f)
lim
ao
_
a
0
(1
r
:
)
a
1 +:r
: +r
cos rdr
(g)
lim
ao
_
o
0
(1 +
r
:
)
a
2
c
aa
dr.
(h)
lim
ao
_
1
0
1 +:r
2
(1 +r
2
)
a
dr.
(i)
lim
ao
_
:
_
1
1
(1 t
2
)
a
(1 +
_
: [ sin t [)dt.
4. Let (:
a
)
o
a=1
be an enumeration of Q and dene
,(r) =
o
a=1
2
a
,(r :
a
)
where ,(r) = r
1
2
if 0 < r < 1 and ,(r) = 0 if r _ 0 or r _ 1. Show that
a)
_
o
o
,(r)dr = 2.
b)
_
b
o
,
2
(r)dr = if c < /.
c)
, < a.s. [:] .
d)
sup
o<a<b
,(r) = + if c < /.
5. Let : N
and dene ,
a
(r) = c
a
(1
a
2
2a
)
a
. r R. Compute
lim
ao
_
_
2a
_
2a
,
a
(r)dr.
74
6. Suppose j N
and dene ,
a
(r) = :
j
r
j1
(1 r)
a
. 0 _ r _ 1. for every
: N
. Show that
lim
ao
_
1
0
,
a
(r)dr = (j 1)!.
7. Suppose ,:[0. 1] R is a continuous function. Find
lim
ao
:
_
1
0
,(r)c
(anin(a,1a))
2
dr.
2.4. Expectation
Suppose (. T. 1) is a probability space and : (. T) (o. o) a random
variable. Recall that the probability law j of is given by the image measure
1
. By denition,
_
S
1
dj =
_
U
1
()d1
for every 1 o. and, hence
_
S
,dj =
_
U
,()d1
for each simple omeasurable function , on o (we sometimes write , q =
,(q)). By monotone convergence, we get
_
S
,dj =
_
U
,()d1
for every measurable , : o [0. ] . Thus if , : o R is measurable,
, 1
1
(j) if and only if ,() 1
1
(1) and in this case
_
S
,dj =
_
U
,()d1.
In the special case when is realvalued and 1
1
(1).
_
R
rdj(r) =
_
U
d1.
The integral in the righthand side is called the expectation of and is
denoted by 1 [] .
75
CHAPTER 3
Further Construction Methods of Measures
Introduction
In the rst section of this chapter we collect some basic results on metric
spaces, which every mathematician must know about. Section 3.2 gives a
version of the Riesz Representation Theorem, which leads to another and
perhaps simpler approach to Lebesgue measure than the Carathodory The
orem. A reader can skip Section 3.2 without losing the continuity in this
paper. The chapter also treats so called product measures and Stieltjes in
tegrals.
3.1. Metric Spaces
The construction of our most important measures requires topological con
cepts. For our purpose it will be enough to restrict ourselves to so called
metric spaces.
A metric d on a set A is a mapping d : A A [0. [ such that
(a) d(r. ) = 0 if and only if r =
(b) d(r. ) = d(. r) (symmetry)
(c) d(r. ) _ d(r. .) +d(.. ) (triangle inequality).
Here recall, if
1
. ....
a
are sets,
1
...
a
= (r
1
. .... r
a
); r
i
i
for all i = 1. .... :
A set A equipped with a metric d is called a metric space. Sometimes we
write A = (A. d) to emphasize the metric d. If 1 is a subset of the metric
76
space (A. d). the function d
[11
(r. ) = d(r. ). if r. 1. is a metric on
1. Thus (1. d
[11
) is a metric space.
The function ,(t) = min(1. t). t _ 0. satises the inequality
,(: +t) _ ,(:) +,(t).
Therefore, if d is a metric on A, min(1. d) is a metric on A. The metric
min(1. d) is a bounded metric.
The set R equipped with the metric d
1
(r. ) =[ r [ is a metric space.
More generally, R
a
equipped with the metric
d
a
(r. ) = d
a
((r
1
. .... r
a
). (
1
. ....
a
)) = max
1Ia
[ r
I
I
[
is a metric space. If not otherwise stated, it will always be assumed that R
a
is equipped with this metric.
Let C [0. 1] denote the vector space of all realvalued continuous functions
on the interval [0. 1] . where 1 0. Then
d
o
(r. ) = max
0tT
[ r(t) (t) [
is a metric on C [0. 1] .
If (A
I
. c
I
). / = 1. .... :, are metric spaces,
d(r. ) = max
1Ia
c
I
(r
I
.
I
). r = (r
1
. .... r
a
) . = (
1
. ....
a
)
is a metric on A
1
... A
a
. The metric d is called the product metric on
A
1
... A
a
.
If A = (A. d) is a metric space and r A and : 0. the open ball with
centre at r and radius : is the set 1(r. :) = A; d(. r) < : . If 1 _ A
and 1 is contained in an appropriate open ball in A it is said to be bounded.
The diameter of 1 is, by denition,
diam 1 = sup
a,j1
d(r. )
and it follows that 1 is bounded if and only if diam 1 < . A subset of A
which is a union of open balls in A is called open. In particular, an open
ball is an open set. The empty set is open since the union of an empty family
of sets is empty. An arbitrary union of open sets is open. The class of all
77
open subsets of A is called the topology of A. The metrics d and min(1. d)
determine the same topology. A subset 1 of A is said to be closed if its
complement 1
c
relative to A is open. An intersection of closed subsets of
A is closed. If 1 _ A, 1
(or
1) the smallest closed set containing 1. 1
its closure. The oalgebra generated by the open sets in A is called the
Borel oalgebra in A and is denoted by E(A). A positive measure on E(A)
is called a positive Borel measure.
A sequence (r
a
)
o
a=1
in A converges to r A if
lim
ao
d(r
a
. r) = 0.
If, in addition, the sequence (r
a
)
o
a=1
converges to A. the inequalities
0 _ d(r. ) _ d(r
a
. r) +d(r
a
. )
imply that = r and the limit point r is unique.
If 1 _ A and r A. the following properties are equivalent:
(i) r 1
.
(ii) 1(r. :) 1 ,= c. all : 0.
(iii) There is a sequence (r
a
)
o
a=1
in 1 which converges to r.
If 1(r. :) 1 = c, then 1(r. :)
c
is a closed set containing 1 but not r.
Thus r , 1
. since
1
c
is
open there exists an open ball 1(. :) such that r 1(. :) _
1
c
_ 1
c
. Now
choose : = : d(r. ) 0 so that 1(r. :) _ 1(. :). Then 1(r. :) 1 = c.
This proves (ii)=(i).
If (ii) holds choose for each : N
a point r
a
1 with d(r
a
. r) <
1
a
and (iii) follows. If there exists an : 0 such that 1(r. :) 1 = c. then
(iii) cannot hold. Thus (iii)=(ii).
If 1 _ A, the set 1
A
1,.
= max(0. 1
1
d(. 1))
fulls 0 _
A
1,.
_ 1 and
A
1,.
= 1 on 1. Furthermore,
A
1,.
(c) 0 if and only
if c 1
.
=
oc)
r A; d(r. 1) < . Thus
1
_
A
1,.
_
1"
.
Let A = (A. d) be a metric space. A sequence (r
a
)
o
a=1
in A is called
a Cauchy sequence if to each 0 there exists a positive integer j such
that d(r
a
. r
n
) < for all :. : _ j. If a Cauchy sequence (r
a
)
o
a=1
contains a
convergent subsequence (r
a
k
)
o
I=1
it must be convergent. To prove this claim,
suppose the subsequence (r
a
k
)
o
I=1
converges to a point r A. Then
d(r
n
. r) _ d(r
n
. r
a
k
) +d(r
a
k
. r)
can be made arbitrarily small for all suciently large : by choosing / su
ciently large. Thus (r
a
)
o
a=1
converges to r.
A subset 1 of A is said to be complete if every Cauchy sequence in 1
converges to a point in 1. If 1 _ A is closed and A is complete it is clear
that 1 is complete. Conversely, if A is a metric space and a subset 1 of A
is complete, then 1 is closed.
It is important to know that R is complete equipped with its standard
metric. To see this let (r
a
)
o
a=1
be a Cauchy sequence. There exists a positive
integer such that [ r
a
r
n
[< 1 if :. : _ j. Therefore
[ r
a
[_[ r
a
r
j
[ + [ r
j
[_ 1+ [ r
j
[
for all : _ j. We have proved that the sequence (r
a
)
o
a=1
is bounded (the
reader can check that every Cauchy sequence in a metric space has this
property). Now dene
c = sup r R; there are only nitely many : with r
a
_ r .
The denition implies that there exists a subsequence (r
a
k
)
o
I=1
. which con
verges to c (since for any : 0. r
a
1(c. :) for innitely many :). The
81
original sequence is therefore convergent and we conclude that R is complete
(equipped with its standard metric d
1
). It is simple to prove that the product
of : complete spaces is complete and we conclude that R
a
is complete.
Let 1 _ A. A family (\
i
)
i1
of subsets of A is said to be a cover of 1
if '
i1
\
i
_ 1 and 1 is said to be covered by the \
t
i
:. The cover (\
i
)
i1
is
said to be an open cover if each member \
i
is open. The set 1 is said to be
totally bounded if, for every 0. 1 can be covered by nitely many open
balls of radius . A subset of a totally bounded set is totally bounded.
The following denition is especially important.
Denition 3.1.1. A subset 1 of a metric space A is said to be compact if
to every open cover (\
i
)
i1
of 1, there is a nite subcover of 1, which means
there is a nite subset J of 1 such that (\
i
)
iJ
is a cover of 1.
If 1 is closed, 1 _ 1. and 1 is compact, then 1 is compact. To see this,
let (\
i
)
i1
be an open cover of 1. This cover, augmented by the set A 1
is an open cover of 1 and has a nite subcover since 1 is compact. Noting
that 1 (A 1) = c. the assertion follows.
Theorem 3.1.2. The following conditions are equivalent:
(a) 1 is complete and totally bounded.
(b) Every sequence in 1 contains a subsequence which converges to a
point of 1.
(c) 1 is compact.
PROOF. (a)=(b). Suppose (r
a
)
o
a=1
is a sequence in 1. The set 1 can be
covered by nitely many open balls of radius 2
1
and at least one of them
must contain r
a
for innitely many : N
. Suppose r
a
1(c
1
. 2
1
) if
: `
1
_ `
0
=
oc)
N
. where `
1
is innite. Next 1 1(c
1
. 2
1
) can be
covered by nitely many balls of radius 2
2
and at least one of them must
contain r
a
for innitely many : `
1
. Suppose r
a
1(c
2
. 2
1
) if : `
2
.
where `
2
_ `
1
is innite. By induction, we get open balls 1(c
)
. 2
)
) and
innite sets `
)
_ `
)1
such that r
a
1(c
)
. 2
)
) for all : `
)
and , _ 1.
82
Let :
1
< :
2
< ..., where :
I
`
I
. / = 1. 2. ... . The sequence (r
a
k
)
o
I=1
is a
Cauchy sequence, and since 1 is complete it converges to a point of 1 .
(b)=(a). If 1 is not complete there is a Cauchy sequence in 1 with no
limit in 1. Therefore no subsequence can converge in 1. which contradicts
(b). On the other hand if 1 is not totally bounded, there is an 0 such
that 1 cannot be covered by nitely many balls of radius . Let r
1
1
be arbitrary. Having chosen r
1
. .... r
a1
. pick r
a
1 '
a1
i=1
1(r
i
. ). and
so on. The sequence (r
a
)
o
a=1
cannot contain any convergent subsequence as
d(r
a
. r
n
) _ if : ,= :. which contradicts (b).
(a) and (b) =(c). Let (\
i
)
i1
be an open cover of 1. Since 1 is totally
bounded it is enough to show that there is an 0 such that any open
ball of radius which intersects 1 is contained in some \
i
. Suppose on the
contrary that for every : N
. the sequence (r
a
)
o
a=1
cannot contain a convergent subsequence.
Thus 1 is bounded. Since 1 is complete it is closed.
83
Conversely, suppose 1 is closed and bounded. Since R
a
is complete and
1 is closed, 1 is complete. We next prove that a bounded set is totally
bounded. It is enough to prove that any :cell in R
a
is a union of nitely
many :cells 1
1
...1
a
where each interval 1
1
. .... 1
a
has a prescribed positive
length. This is clear and the theorem is proved.
Corollary 3.1.2. Suppose , : A R is continuous and A compact.
(a) There exists an c A such that max
A
, = ,(c) and a / A
such that min
A
, = ,(/).
(b) The function , is uniformly continuous.
PROOF. (a) For each c A. let \
o
= r A : ,(r) < 1 +,(c) . The open
cover (\
o
)
o1
of A has a nite subcover and it follows that , is bounded. Let
(r
a
)
o
a=1
be a sequence in A such that ,(r
a
) sup
1
, as : . Since A is
compact there is a subsequence (r
a
k
)
o
I=1
which converges to a point c A.
Thus, by the continuity of ,. ,(r
a
k
) ,(c) as / .
The existence of a minimum is proved in a similar way.
(b) If , is not uniformly continuous there exist 0 and sequences
(r
a
)
o
a=1
and (
a
)
o
a=1
such that [ ,(r
a
) ,(
a
) [_ and [ r
a
a
[< 2
a
for every : _ 1. Since A is compact there exists a subsequence (r
a
k
)
o
I=1
of
(r
a
)
o
a=1
which converges to a point c A. Clearly the sequence (
a
k
)
o
I=1
converges to c and therefore
[ ,(r
a
k
) ,(
a
k
) [_[ ,(r
a
k
) ,(c) [ + [ ,(c) ,(
a
k
) [0
as / since , is continuous. But [ ,(r
a
k
) ,(
a
k
) [_ and we have got
a contradiction. The corollary is proved.
Example 3.1.2. Suppose A = ]0. 1] and dene j
1
(r. ) = d
1
(r. ) and
j
2
(r. ) =[
1
a
1
j
[. r. A. As in Example 3.1.1 we conclude that the metrics
j
1
and j
2
determine the same topology of subsets of A. The space (A. j
1
)
84
totally bounded but not complete. However, the space (A. j
2
) is not totally
bounded but it is complete. To see this, let (r
a
)
o
a=1
be a Cauchy sequence in
(A. j
2
). As a Cauchy sequence it must be bounded and therefore there exists
an ]0. 1] such that r
a
[. 1] for all :. But then, by Corollary 3.1.1,
(r
a
)
o
a=1
contains a convergent subsequence in (A. j
1
) and, accordingly from
this, the same property holds in (A. j
2
). The space (A. j
2
) is not compact,
since (A. j
1
) is not compact, and we conclude from Theorem 3.1.2 that the
space (A. j
2
) cannot be totally bounded.
Example 3.1.3. Set
R=R'. and
^
d(r. ) =[ arctan r arctan [
if r.
R. Here
arctan =
:
2
and arctan =
:
2
.
Example 3.1.1 shows that the standard metric d
1
and the metric
^
d
[RR
determine the same topology.
We next prove that the metric space
R is compact. To this end, consider
a sequence (r
a
)
o
a=1
in
R. If there exists a real number ` such that [ r
a
[_ `
for innitely many :. the sequence (r
a
)
o
a=1
contains a convergent subsequence
since the interval [`. `] is compact. In the opposite case, for each positive
real number `, either r
a
_ ` for innitely many : or r
a
_ ` for
innitely many :. Suppose r
a
_ ` for innitely many : for every `
N
. Then
^
d(r
a
k
. ) =[ arctan r
a
k
2
[ 0 as / for an appropriate
subsequence (r
a
k
)
o
I=1
.
The space
R= (
R,
^
d) is called a twopoint compactication of R.
It is an immediate consequence of Theorem 3.1.2 that the product of
nitely many compact metric spaces is compact. Thus
^
R
a
equipped with
the product metric is compact.
We will nish this section with several useful approximation theorems.
Theorem 3.1.3. Suppose A is a metric space and j positive Borel measure
in A. Moreover, suppose there is a sequence (l
a
)
o
a=1
of open subsets of A
such that
A = '
o
a=1
l
a
85
and
j(l
a
) < . all : N
.
Then for each E(A) and 0. there are a closed set 1 _ and an
open set \ _ such that
j(\ 1) < .
In particular, for every E(A).
j() = inf
\
\ open
j(\ )
and
j() = sup
1
1 closed
j(1)
If A = R and j() =
o
a=1
o 1
n
() . . then j(0) = 0 and j(\ ) =
for every open set containing 0 . The hypothesis that the sets l
a
. :
N
. are open (and not merely Borel sets) is very important in Theorem 3.1.3.
PROOF. First suppose that j is a nite positive measure.
Let / be the class of all Borel sets in A such that for every 0
there exist a closed 1 _ and an open \ _ such that j(\ 1) < . If 1
is a closed subset of A and \
a
=
_
r; d(r. 1) <
1
a
_
. then \
a
is open and, by
Theorem 1.1.2 (f), j(\
a
)  j(1) as : . Thus 1 / and we conclude
that / contains all closed subsets of A.
Now suppose /. We will prove that
c
/. To this end, we choose
0 and a closed set 1 _ and an open set \ _ such that j(\ 1) < .
Then \
c
_
c
_ 1
c
and, moreover, j(1
c
\
c
) < since
\ 1 = 1
c
\
c
.
If we note that \
c
is closed and 1
c
open it follows that
c
/.
Next let (
i
)
o
i=1
be a denumerable collection of members of /. Choose
0. By denition, for each i N
i
/. This proves that / is a
oalgebra. Since / contains each closed subset of A. / = E(A).
We now prove the general case. Suppose E(A). Since j
ln
is a nite
positive measure the previous theorem gives us an open set \
a
_ l
a
such
that j
ln
(\
a
(l
a
)) < 2
a
. By eventually replacing \
a
by \
a
l
a
we can
assume that \
a
_ l
a
. But then j(\
a
(l
a
)) = j
ln
(\
a
(l
a
)) < 2
a
.
Set \ = '
o
a=1
\
a
and note that \ is open. Moreover,
\ _ '
o
a=1
(\
a
( l
a
))
and we get
j(\ ) _
o
a=1
j(\
a
( l
a
)) < .
By applying the result already proved to the complement
c
we conclude
there exists an open set \ _
c
such that
j( \
c
) = j(\
c
) < .
Thus if 1 =
oc)
\
c
it follows that 1 _ _ \ and j(\ 1) < 2. The
theorem is proved.
If A is a metric space C(A) denotes the vector space of all realvalued
continuous functions , : A R. If , C(A). the closure of the set of
87
all r where ,(r) ,= 0 is called the support of , and is denoted by supp,.
The vector space of all all realvalued continuous functions , : A R with
compact support is denoted by C
c
(A).
Corollary 3.1.3. Suppose j and i are positive Borel measures in R
a
such
that
j(1) < and i(1) <
for every compact subset 1 of R
a
. If
_
R
n
,(r)dj(r) =
_
R
n
,(r)di(r). all , C
c
(R
a
)
then j = i.
PROOF. Let 1 be closed. Clearly j(1(0. i)) < and i(1(0. i)) < for
every positive integer i. Hence, by Theorem 3.1.3 it is enough to show that
j(1) = i(1). Now x a positive integer i and set 1 =
1(0. i) 1. It is
enough to show that j(1) = i(1). But
_
R
n
R
n
1,2
j (r)dj(r) =
_
R
n
R
n
1,2
j (r)di(r)
for each positive integer , and letting , we are done.
A metric space A is called a standard space if it is separable and com
plete. Standard spaces have a series of very nice properties related to measure
theory; an example is furnished by the following
Theorem 3.1.4. (Ulams Theorem) Let A be a standard space and
suppose j is a nite positive Borel measure on A. Then to each E(A)
and 0 there exist a compact 1 _ and an open \ _ such that
j(\ 1) < .
88
PROOF. Let 0. We rst prove that there is a compact subset 1 of A
such that j(1) j(A). To this end, let be a dense denumerable subset
of A and let (c
i
)
o
i=1
be an enumeration of . Now for each positive integer
,. '
o
i=1
1(c
i
. 2
)
) = A. and therefore there is a positive integer :
)
such that
j('
a
j
i=1
1(c
i
. 2
)
)) j(A) 2
)
.
Set
1
)
= '
a
j
i=1
1(c
i
. 2
)
)
and
1 =
o
)=1
1
)
.
The set 1 is totally bounded. Since A is complete and 1 closed, 1 is complete.
Therefore, the set 1 is compact and, moreover
j(1) = j(A) j(1
c
) = j(A) j('
o
)=1
1
c
)
)
_ j(A)
o
)=1
j(1
c
)
) = j(A)
o
)=1
(j(A) j(1
)
))
_ j(A)
o
)=1
2
)
= j(A) .
Depending on Theorem 3.1.3 to each E(A) there exists a closed
1 _ and an open \ _ such that j(\ 1) < . But
\ (1 1) = (\ 1) ' (1 1)
and we get
j(\ (1 1)) _ j(\ 1) +j(A 1) < 2.
Since the set 1 1 is compact Theorem 3.1.4 is proved.
Two Borel sets in R
a
are said to be almost disjoint if their intersection
has volume measure zero.
Theorem 3.1.5. Every open set l in R
a
is the union of an at most denu
merable collection of mutually almost disjoint cubes.
89
Before the proof observe that a cube in R
a
is the same as a closed ball
in R
a
equipped with the metric d
a
.
PROOF. For each, / N
. let Q
I
be the class of all cubes of side length 2
I
whose vertices have coordinates of the form i2
I
. i Z. Let 1
1
be the union
of those cubes in Q
1
which are contained in l. Inductively, for / _ 1. let
1
I
be the union of those cubes in Q
I
which are contained in l and whose
interiors are disjoint from '
I1
)=1
1
)
. Since d(r.R
a
l) 0 for every r l it
follows that l = '
o
)=1
1
)
.
Exercises
1. Suppose , : (A. /) (R
o
.
o
) and q : (A. /) (R
a
.
a
) are measur
able. Set /(r) = (,(r). q(r)) R
oa
if r A. Prove that / : (A. /)
(R
oa
.
oa
) is measurable.
2. Suppose , : (A. /) (R. ) and q : (A. /) (R. ) are measurable.
Prove that ,q is (/. )measurable.
3. The function , : R R is a Borel function. Set q(r. ) = ,(r). (r. )
R
2
. Prove that q : R
2
R is a Borel function.
4. Suppose , : [0. 1] R is a continuous function and q : [0. 1] [0. 1] a
Borel function. Compute the limit
lim
ao
_
1
0
,(q(r)
a
)dr.
5. Suppose A and 1 are metric spaces and , : A 1 a continuous mapping.
Show that ,(1) is compact if 1 is a compact subset of A.
90
6. Suppose A and 1 are metric spaces and , : A 1 a continuous bijection.
Show that the inverse mapping ,
1
is continuous if A is compact.
7. Construct an open bounded subset \ of R such that :(J\ ) 0.
8. The function , : [0. 1] R has a continuous derivative. Prove that the
set ,(1) ?
n
if 1 = (,
t
)
1
(0).
9. Let 1 denote the class of all Borel probability measures on [0. 1] and 1
the class of all functions , : [0. 1] [1. 1] such that
[ ,(r) ,() [_[ r [. r. [0. 1] .
For any j. i 1. dene
j(j. i) = sup
)1
[
_
[0,1[
,dj
_
[0,1[
,di [ .
(a) Show that (1. j) is a metric space. (b) Compute j(j. i) if j is linear
measure on [0. 1] and i =
1
a
a1
I=0
o k
n
. where : N
1
_ , _
\
and supp, _ \
we write
1  ,  \.
Theorem 3.2.2. Let 1 be compact subset A.
(a) Suppose 1 _ \ where \ is open. There exists a function , on A
such that
1  ,  \.
(b) Suppose A is compact and 1 _ \
1
'... '\
a
. where 1 is compact and
\
1
. .... \
a
are open. There exist functions /
1
. .... /
a
on A such that
/
i
 \
i
. i = 1. .... :
and
/
1
+... +/
a
= 1 on 1.
93
PROOF. (a) Suppose =
1
2
min
1
d(. \
c
). By Corollary 3.1.2, 0. The
continuous function , =
A
1,.
satises
1
_ , _
1"
. that is 1  ,  1
.
.
Part (a) follows if we note that the closure (1
.
)
of 1
.
is contained in \.
(b) For each r 1 there exists an :
a
0 such that 1(r. :
a
) _ \
i
for some
i. Let l
a
= 1(r.
1
2
:
a
). It is important to note that (l
a
)
_ \
i
and (l
a
)
which are
contained in \
i
. By Part (a), there exist continuous functions ,
i
such that
1
i
 ,
i
 \
i
. i = 1. .... :. Dene
/
1
= ,
1
/
2
= (1 ,
1
),
2
....
/
a
= (1 ,
1
)...(1 ,
a1
),
a
.
Clearly, /
i
 \
i
. i = 1. .... :. Moreover, by induction, we get
/
1
+... +/
a
= 1 (1 ,
1
)...(1 ,
a1
)(1 ,
a
).
Since '
a
i=1
1
i
_ 1 we are done.
The uniqueness in Theorem 3.2.1 is simple to prove. Suppose j
1
and
j
2
are two measures for which the theorem holds. Fix 0 and compact
1 _ A and choose an open set \ so that j
2
(\ ) _ j
2
(1) +. If 1  ,  \.
j
1
(1) =
_
A
1
dj
1
_
_
A
,dj
1
= 1,
=
_
A
,dj
2
_
_
A
\
dj
2
= j
2
(\ ) _ j
2
(1) +.
Thus j
1
(1) _ j
2
(1). If we interchange the roles of the two measures, the
opposite inequality is obtained, and the uniqueness of j follows.
To prove the existence of the measure j in Theorem 3.2.1. dene for every
open \ in A,
j(\ ) = sup
)\
1,.
94
Here j(c) = 0 since the supremum over the empty set, by convention, equals
0. Note also that j(A) = 11. Moreover, j(\
1
) _ j(\
2
) if \
1
and \
2
are open
and \
1
_ \
2
. Now set
j(1) = inf
\ 1
\ open
j(\ ) if 1 E(A).
Clearly, j(1
1
) _ j(1
2
). if 1
1
_ 1
2
and 1
1,
1
2
E(A). We therefore say
that j is increasing.
Lemma 3.2.1. (a) If \
1
. .... \
a
are open,
j('
a
i=1
\
i
) _
a
i=1
j(\
i
).
(b) If 1
1
. 1
2
. ... E(A).
j('
o
i=1
1
i
) _
o
i=1
j(1
i
).
(c) If 1
1
. .... 1
a
are compact and pairwise disjoint,
j('
a
i=1
1
i
) =
a
i=1
j(1
i
).
PROOF. (a) It is enough to prove (a) for : = 2. To this end rst choose
q  \
1
'\
2
and then /
i
 \
i
, i = 1. 2. such that /
1
+/
2
= 1 on supp q. Then
q = /
1
q +/
2
q
and it follows that
1q = 1(/
1
q) +1(/
2
q) _ j(\
1
) +j(\
2
).
Thus
j(\
1
' \
2
) _ j(\
1
) +j(\
2
).
95
(b) Choose 0 and for each i N
, choose an open \
i
_ 1
i
such j(\
i
) <
j(1
i
) + 2
i
. Set \ = '
o
i=1
\
i
and choose ,  \. Since supp, is compact,
,  \
1
' ... ' \
a
for some :. Thus, by Part (a),
1, _ j(\
1
' ... ' \
a
) _
a
i=1
j(\
i
) _
o
i=1
j(1
i
) +
and we get
j(\ ) _
o
i=1
j(1
i
)
since 0 is arbitrary. But '
o
i=1
1
i
_ \ and it follows that
j('
o
i=1
1
i
) _
o
i=1
j(1
i
).
(c) It is enough to treat the special case : = 2. Choose 0. Set j =
d(1
1
. 1
2
) and \
1
= (1
1
)
j2
and \
2
= (1
2
)
j2
. There is an open set l _
1
1
'1
2
such that j(l) < j(1
1
'1
2
) + and there are functions ,
i
 l \
i
such that 1,
i
j(l \
i
) for i = 1. 2. Now, using that j increases
j(1
1
) +j(1
2
) _ j(l \
1
) +j(l \
2
)
_ 1,
1
+1,
2
+ 2 = 1(,
1
+,
2
) + 2.
Since ,
1
+,
2
 l.
j(1
1
) +j(1
2
) _ j(l) + 2 _ j(1
1
' 1
2
) + 3
and, by letting 0.
j(1
1
) +j(1
2
) _ j(1
1
' 1
2
).
The reverse inequality follows from Part (b). The lemma is proved.
Next we introduce the class
/=
_
_
_
1 E(A); j(1) = sup
11
1 compact
j(1)
_
_
_
96
Since j is increasing / contains every compact set. Recall that a closed
set in A is compact, since A is compact. Especially, note that c and A /.
COMPLETION OF THE PROOF OF THEOREM 3.2.1:
CLAIM 1. / contains every open set.
PROOF OF CLAIM 1. Let \ be open and suppose c < j(\ ). There exists
an ,  \ such that c < 1,. If l is open and l _ 1 =
oc)
supp,. then ,  l.
and hence 1, _ j(l). But then 1, _ j(1). Thus c < j(1) and Claim 1
follows since 1 is compact and 1 _ \.
CLAIM 2. Let (1
i
)
o
i=1
be a disjoint denumerable collection of members of
/ and put 1 = '
o
i=1
1
i
. Then
j(1) =
o
i=1
j(1
i
)
and 1 /.
PROOF OF CLAIM 2. Choose 0 and for each i N
, choose a compact
1
i
_ 1
i
such that j(1
i
) j(1
i
) 2
i
. Set H
a
= 1
1
' ... ' 1
a
. Then, by
Lemma 3.2.1 (c),
j(1) _ j(H
a
) =
a
i=1
j(1
i
)
a
i=1
j(1
i
)
and we get
j(1) _
o
i=1
j(1
i
).
Thus, by Lemma 3.2.1 (b), j(1) =
o
i=1
j(1
i
). To prove that 1 /. let
be as in the very rst part of the proof and choose : such that
j(1) _
a
i=1
j(1
i
) +.
97
Then
j(1) < j(H
a
) + 2
and this shows that 1 /.
CLAIM 3. Suppose 1 / and 0. Then there exist a compact 1 and
an open \ such that 1 _ 1 _ \ and j(\ 1) < .
PROOF OF CLAIM 3. The denitions show that there exist a compact 1
and an open \ such that
j(\ )
2
< j(1) < j(1) +
2
.
The set \ 1 is open and \ 1 / by Claim 1. Thus Claim 2 implies
that
j(1) +j(\ 1) = j(\ ) < j(1) +
and we get j(\ 1) < .
CLAIM 4. If /. then A /.
PROOF OF CLAIM 4. Choose 0. Furthermore, choose compact 1 _
and open \ _ such that j(\ 1) < . Then
A _ (\ 1) ' (A \ ).
Now, by Lemma 3.2.1 (b),
j(A ) _ +j(A \ ).
Since A \ is a compact subset of A . we conclude that A /.
Claims 1, 2 and 4 prove that / is a oalgebra which contains all Borel
sets. Thus /= E(A).
98
We nally prove (a). It is enough to show that
1, _
_
A
,dj
for each , C(A). For once this is known
1, = 1(,) _
_
A
,dj _
_
A
,dj
and (a) follows.
Choose 0. Set ,(A) = [c. /] and choose
0
<
1
< ... <
a
such that
1
= c,
a1
= /. and
i
i1
< . The sets
1
i
= ,
1
([
i1
.
i
[). i = 1. .... :
constitute a disjoint collection of Borel sets with the union A. Now, for each i.
pick an open set \
i
_ 1
i
such that j(\
i
) _ j(1
i
)+
.
a
and \
i
_ ,
1
(].
i
[).
By Theorem 3.2.2 there are functions /
i
 \
i
. i = 1. .... :. such that
a
i=1
/
i
=
1 on supp, and /
i
, 
i
/
i
for all i. From this we get
1, =
a
i=1
1(/
i
,) _
a
i=1
i
1/
i
_
a
i=1
i
j(\
i
)
_
a
i=1
i
j(1
i
) +
a
i=1
:
_
a
i=1
(
i
)j(1
i
) +j(A) + (/ +)
_
a
i=1
_
1
i
,dj +j(A) + (/ +)
=
_
A
,dj +j(A) + (/ +).
Since 0 is arbitrary, we get
1, _
_
A
,dj.
This proves Theorem 3.2.1.
It is now simple to show the existence of volume measure in R
a
. For
pedagogical reasons we rst discuss the so called volume measure in the unit
cube Q = [0. 1]
a
in R
a
.
99
The Riemann integral
_
Q
,(r)dr.
is a positive linear functional as a function of , C(Q). Moreover, 11 = 1
and the Riesz Representation Theorem gives us a Borel probability measure
j in Q such that
_
Q
,(r)dr =
_
Q
,dj.
Suppose _ Q is a closed :cell and i N
. Then
vol() _
_
Q
Q
,2
i
(r)dr _ vol(
2
i )
and
Q
,2
i
(r)
(r) as i
for every r R
a
. Thus
j() = vol().
The measure j is called the volume measure in the unit cube. In the special
case : = 2 it is called the area measure in the unit square and if : = 1 it is
called the linear measure in the unit interval.
PROOF OF THEOREM 1.1.1. Let
R=R'. be the twopoint com
pactication of Rintroduced in Example 3.1.3 and let
^
R
a
denote the product
of : copies of the metric space
^
R. Clearly,
E(R
a
) =
_
R
a
; E(
^
R
a
)
_
.
Moreover, let n : R
a
]0. [ be a continuous map such that
_
R
n
n(r)dr = 1.
Now we dene
1, =
_
R
n
,(r)n(r)dr. , C(
^
R
a
).
100
Note that 11 = 1. The function 1 is a positive linear functional on C(
^
R
a
)
and the Riesz Representation Theorem gives us a Borel probability measure
j on
^
R
a
such that
_
R
n
,(r)n(r)dr =
_
^
R
n
,dj. , C(
^
R
a
).
As above we get
_
n(r)dr = j()
for each compact :cell in R
a
. Thus
j(R
a
) = lim
io
_
[i,i[
n
n(r)dr = 1
and we conclude that j is concentrated on R
a
. Set j
0
() = j().
E(R
a
). and
d:
a
=
1
n
dj
0
.
Then, if , C
c
(R
a
).
_
R
n
,(r)n(r)dr =
_
R
n
,dj
0
and by replacing , by ,,n.
_
R
n
,(r)dr =
_
R
n
,d:
a
.
From this :
a
() =vol() for every compact :cell and it follows that :
a
is the volume measure on R
a
. Theorem 1.1.1 is proved.
_ r <
/ + 1
. / = 0. .... 1.
Furthermore, set for each : N
a
(.) = /(
a1
.). 0 _ . < 1.
Then
1 [
a
= /] =
1
. / = 0. .... 1.
Moreover, if /
1
. .... /
a
0. 1. 2. .... 1 . it becomes obvious on drawing a
gure that
1
_
1
= /
1
. ....
a1
= /
a1
=
q1
i=0
1
_
1
= /
1
. ....
a1
= /
a1
.
a
= i
where each term in the sum in the righthand side has the same value. Thus
1
_
1
= /
1
. ....
a1
= /
a1
= 1
_
1
= /
1
. ....
a1
= /
a1
.
a
= /
a
and
1
_
1
= /
1
. ....
a1
= /
a1
.
a
= /
a
= 1
_
1
= /
1
. ....
a1
= /
a1
1 [
a
= /
a
] .
By repetition,
1
_
1
= /
1
. ...
a1
= /
a1
.
a
= /
a
=
a
i=1
1 [
i
= /
i
] .
From this we get
1
_
1
1
. ...
a1
a1
.
a
a
=
a
i=1
1 [
i
i
]
102
for all
1
. ....
a
_ 0. 1. 2. .... 1 .
Note that each . [0. 1[ has a so called adic expansion
. =
o
i=1
i
(.)
i
.
If necessary, we write
a
=
(q)
a
to indicate explicitly.
Let /
0
0. 1. 2. .... 1 be xed and consider the event that a num
ber in [0. 1[ does not have /
0
in its adic expansion. The probability of
equals
1 [] = 1 [
i
,= /
0
. i = 1. 2. ...] = lim
ao
1 [
i
,= /
0
. i = 1. 2. .... :]
= lim
ao
a
i=1
1 [
i
,= /
0
] = lim
ao
(
1
)
a
= 0.
In particular, if
1
a
=
_
. [0. 1[ ;
(S)
i
,= 1. i = 1. .... :
_
.
then, 1 =
o
a=1
1
a
is a 1zero set.
Set
,(.) =
o
i=1
2
(2)
i
(.)
3
i
. 0 _ . < 1.
We claim that , is onetoone. If 0 _ .. .
t
< 1 and . ,= .
t
let : be the
least i such that
(2)
i
(.) ,=
(2)
i
(.
t
); we may assume that
(2)
a
(.) = 0 and
(2)
a
(.
t
) = 1. Then
,(.
t
) _
a
i=1
2
(2)
i
(.
t
)
3
i
=
a1
i=1
2
(2)
i
(.
t
)
3
i
+
2
3
a
=
a1
i=1
2
(2)
i
(.)
3
i
+
o
i=a1
4
3
i
o
i=1
2
(2)
i
(.)
3
i
= ,(.).
Thus , is onetoone. We next prove that ,() = 1. To this end choose
1. If
(S)
i
() = 2 for all i N
(S)
i
()
2
i
103
and we have ,(.) = .
Let C
a
= 1
a
. : N
. The set C =
o
a=1
C
a
. is called the Cantor set.
The Cantor set is a compact Lebesgue zero set. The construction of the
Cantor set may alternatively be described as follows. First C
0
= [0. 1]. Then
trisect C
0
and remove the middle interval
1
S
.
2
S
_
to obtain C
1
= C
0
1
S
.
2
S
_
=
_
0.
1
S
'
_
2
S
. 1
1
9
.
2
9
_
'
7
9
.
S
9
_
). What is left from C
a1
is C
a
dened above. The
set [0. 1] C
a
is the union of 2
a
1 intervals numbered 1
a
I
. / = 1. .... 2
a
1.
where the interval 1
a
I
is situated to the left of the interval 1
a

if / < .
Suppose : is xed and let G
a
: [0. 1] [0. 1] be the unique monotone in
creasing continuous function, which satises G
a
(0) = 0. G
a
(1) = 1. G
a
(r) =
/2
a
for r 1
a
I
and which is ane on each interval of C
a.
It is clear that
G
a
= G
a1
on each interval 1
a
I
, / = 1. .... 2
a
1. Moreover, [ G
a
G
a1
[_
2
a1
and thus
[ G
a
G
aI
[_
aI
I=a
[ G
I
G
I1
[_ 2
a
.
Let G(r) = lim
ao
G
a
(r). 0 _ r _ 1. The continuous and increasing func
tion G is constant on each removed interval and it follows that G
t
= 0 a.e.
with respect to linear measure in the unit interval.The function G is called
the Cantor function or CantorLebesgue function.
Next we introduce the following convention, which is standard in Lebesgue
integration. Let (A. /. j) be a positive measure space and suppose /
and j(
c
) = 0. If two functions q. / /
1
(j) agree on .
_
A
qdj =
_
A
/dj.
If a function , : R is the restriction to of a function q /
1
(j) we
dene _
A
,dj =
_
A
qdj.
Now suppose 1 : R R is a right continuous increasing function and
let j be the unique positive Borel such that
j(]c. r]) = 1(r) 1(c) if c. r R and c < r.
If / 1
1
(j) and 1 . the so called Stieltjes integral
_
1
/(r)d1(r)
104
is by denition equal to
_
1
/dj.
If c. / R, c < /. and 1 is continuous at the points c and /. we dene
_
b
o
/(r)d1(r) =
_
1
/dj
where 1 is any interval with boundary points c and /.
The reader should note that the integral
_
R
/(r)d1(r)
in general is dierent from the integral
_
R
/(r)1
t
(r)dr.
For example, if G is the Cantor function and G is extended so that G(r) = 0
for negative r and G(r) = 1 for r larger than 1, clearly
_
R
/(r)G
t
(r)dr = 0
since G
t
(r) = 0 a.e. [:] . On the other hand, if we choose / =
[0,1[
.
_
R
/(r)dG(r) = 1.
3.4. Product Measures
Suppose (A. /) and (1. A) are two measurable spaces. If / and
1 A. the set 1 is called a measurable rectangle in A1. The product
oalgebra /A is, by denition, the oalgebra generated by all measurable
rectangles in A 1. If we introduce the projections
:
A
(r. ) = r. (r. ) A 1
and
:
Y
(r. ) = . (r. ) A 1.
105
the product oalgebra /A is the least oalgebra o of subsets of A 1 ,
which makes the maps :
A
: (A 1. o) (A. /) and :
Y
: (A 1. o)
(1. A) measurable, that is /A = o(:
1
A
(/)':
1
Y
(A))..
Suppose c generates /. where A c. and T generates A. where 1 T.
We claim that the class
c T = 1 1; 1 c and 1 T
generates the oalgebra /A. First it is clear that
o(c T) _ /A.
Moreover, the class
1 /; 1 1 o(c T) = /
_
1 _ A; :
1
A
(1) o(c T)
_
is a oalgebra, which contains c and therefore equals /. Thus 1
o(c T) for all / and, in a similar way, A 1 o(c T) for all
1 A and we conclude that 1 = ( 1 ) (A 1) o(c T) for
all / and all 1 A. This proves that
/A _o(c T)
and it follows that
o(c T) = /A.
Thus
o(c T) = o(c) o(T) if A c and 1 T.
Since the oalgebra
a
is generated by all open :cells in R
a
, we conclude
that
Ia
=
I
a
.
Given 1 _ A 1. dene
1
a
= ; (r. ) 1 if r A
and
1
j
= r; (r. ) 1 if 1.
If , : A 1 2 is a function and r A. 1 , let
,
a
() = ,(r. ). if 1
106
and
,
j
(r) = ,(r. ). if r A.
Theorem 3.4.1 (a) If 1 / A. then 1
a
A and 1
j
/ for every
r A and 1.
(b) If , : (A 1. / A) (2. O) is measurable, then ,
a
is (A. O)
measurable for each r A and ,
j
is (/. O)measurable for each 1.
Proof. (a) Choose 1 and dene , : A A1 by ,(r) = (r. ). Then
/= o(,
1
(/A)) = ,
1
(o(/A)) = ,
1
(/A)
and it follows that 1
j
/. In a similar way 1
a
A for every r A.
(b) For any set \ O.
(,
1
(\ ))
a
= (,
a
)
1
(\ )
and
(,
1
(\ ))
j
= (,
j
)
1
(\ ).
Part (b) now follows from (a).
Belowan (/.
0,o
)measurable or (/. )measurable function is simply
called /measurable.
Theorem 3.4.2. Suppose (A. /. j) and (1. A. i) are positive onite
measurable spaces and suppose 1 /A. If
,(r) = i(1
a
) and q() = j(1
j
)
for every r A and 1. then , is /measurable, q is Ameasurable,
and _
A
,dj =
_
Y
qdi.
Proof. We rst assume that (A. /. j) and (1. A. i) are nite positive
measure spaces.
107
Let T be the class of all sets 1 /A for which the conclusion of
the theorem holds. It is clear that the class ( of all measurable rectangles
in A 1 is a subset of T and ( is a :system. Furthermore, the Beppo
Levi Theorem shows that T is a oadditive class. Therefore, using Theorem
1.2.2, /A = o(() _ T and it follows that T = /A.
In the general case, choose a denumerable disjoint collection (A
I
)
o
I=1
of
members of / and a denumerable disjoint collection (1
a
)
o
a=1
of members of
A such that
'
o
I=1
A
I
= A and '
o
a=1
1
a
= 1.
Set
j
I
=
A
k
j, / = 1. 2. ...
and
i
a
=
Yn
i, : = 1. 2. ... .
Then, by the Beppo Levi Theorem, the function
,(r) =
_
Y
o
a=1
1
(r. )
Yn
()di()
=
o
a=1
_
Y
1
(r. )
Yn
()di() =
o
a=1
i
a
(1
a
)
is /measurable. Again, by the Beppo Levi Theorem,
_
A
,dj =
o
I=1
_
A
,dj
I
and
_
A
,dj =
o
I=1
(
o
a=1
_
A
i
a
(1
a
)dj
I
(r)) =
o
I,a=1
_
A
i
a
(1
a
)dj
I
(r).
In a similar way, the function q is Ameasurable and
_
Y
qdi =
o
a=1
(
o
I=1
_
Y
j
I
(1
j
)di
a
()) =
o
I,a=1
_
Y
j
I
(1
j
)di
a
().
Since the theorem is true for nite positive measure spaces, the general case
follows.
108
Denition 3.4.1. If (A. /. j) and (1. A. i) are positive onite measur
able spaces and 1 /A, dene
(j i)(1) =
_
A
i(1
a
)dj(r) =
_
Y
j(1
j
)di().
The function j i is called the product of the measures j and i.
Note that Beppo Levis Theorem ensures that ji is a positive measure.
Before the next theorem we recall the following convention. Let (A. /. j)
be a positive measure space and suppose / and j(
c
) = 0. If two
functions q. / /
1
(j) agree on .
_
A
qdj =
_
A
/dj.
If a function , : R is the restriction to of a function q /
1
(j) we
dene
_
A
,dj =
_
A
qdj.
Theorem 3.4.3. Let (A. /. j) and (1. A. i) be positive onite measur
able spaces.
(a) (Tonellis Theorem) If / : A 1 [0. ] is (/A)measurable
and
,(r) =
_
Y
/(r. )di() and q() =
_
A
/(r. )dj(r)
for every r A and 1. then , is /measurable, q is Ameasurable,
and
_
A
,dj =
_
AY
/d(j i) =
_
Y
qdi
(b) (Fubinis Theorem)
(i) If / : A 1 R is (/A)measurable and
_
A
(
_
Y
[ /(r. ) [ di())dj(r) <
109
then / 1
1
(j i). Moreover,
_
A
(
_
Y
/(r. )di())dj(r) =
_
AY
/d(j i) =
_
Y
(
_
A
/(r. )dj(r))di()
(ii) If / 1
1
((j i)
). then /
a
1
1
(i) for jalmost all r and
_
AY
/d(j i) =
_
A
(
_
Y
/(r. )di())dj(r)
(iii) If / 1
1
((j i)
). then /
j
1
1
(j) for ialmost all and
_
AY
/d(j i) =
_
Y
(
_
A
/(r. )dj(r))di()
PROOF. (a) The special case when / is a nonnegative (/A)measurable
simple function follows from Theorem 3.4.2. Remembering that any non
negative measurable function is the pointwise limit of an increasing sequence
of simple measurable functions, the Lebesgue Monotone Convergence Theo
rem implies the Tonelli Theorem.
(b) PART (i) : By Part (a)
_
A
(
_
Y
/
(r. )di())dj(r) =
_
AY
/
d(j i)
=
_
Y
(
_
A
/
(r. )dj(r))di()
and
_
A
(
_
Y
/
(r. )di())dj(r) =
_
AY
/
d(j i)
=
_
Y
(
_
A
/
(r. )dj(r))di().
In particular, / = /
1
1
(j i). Let
=
_
r A; (/
)
a
. (/
)
a
1
1
(i)
_
.
110
Then
c
is a jnull set and we get
_
(
_
Y
/
(r. )di())dj(r) =
_
AY
/
d(j i)
and _
(
_
Y
/
(r. )di())dj(r) =
_
AY
/
d(j i).
Thus _
(
_
Y
/(r. )di())dj(r) =
_
AY
/d(j i)
and, hence,
_
A
(
_
Y
/(r. )di())dj(r) =
_
AY
/d(j i).
The other case can be treated in a similar way. The theorem is proved.
PART (ii) : We rst use Theorem 2.2.3 and write / = , + where ,
1
1
(j i). is (/A)
)
a
. (,
)
a
1
1
(i)
_
.
Furthermore, suppose 1 _ (r. ); (r. ) ,= 0 . 1 /A and
(j i)(1) = 0.
Then, by Tonellis Theorem
0 =
_
A
i(1
a
)dj(r).
Let 1 = r A; i(1
a
) ,= 0 and note that 1 /. Moreover j(1) = 0
and if r , 1, then
a
= 0 a.e. [i] that is /
a
= ,
a
a.e. [i] . Now, by Part (i)
_
AY
/d(j i)
=
_
AY
,d(j i) =
_
(
_
Y
,(r. )di())dj(r)
=
_
1
c
(
_
Y
,(r. )di())dj(r) =
_
1
c
(
_
Y
/(r. )di())dj(r)
111
=
_
A
(
_
Y
/(r. )di())dj(r).
Part (iii) is proved in the same manner as Part (ii). This concludes the
proof of the theorem.
If (A
i
. /
i
). i = 1. .... :. are measurable spaces, the product oalgebra
/
1
... /
a
is, by denition, the oalgebra generated by all sets of the
form
1
...
a
where
i
/
i
. i = 1. .... :. Now assume (A
i
. /
i
. j
i
). i = 1. .... :. are onite
positive measure spaces. By induction, we dene i
1
= j
1
and i
I
= i
I1
j
I
.
/ = 1. 2. .... :. The measure, i
a
is called the product of the measures j
1
. .... j
a
and is denoted by j
1
... j
a
. It is readily seen that
a
=
1
...
1
(: factors)
and
a
=
1
...
1
(: factors).
Moreover,
a
_ (
1
)
a
=
oc)
1
...
1
(: factors).
If T(R)
1
. by the Tonelli Theorem, the set 0. .... 0 (: 1
zeros) is an :
a
null set, which, in view of Theorem 3.4.1, cannot belong to
the oalgebra (
1
)
a
. Thus the Axiom of Choice implies that
a
,= (
1
)
a
.
Clearly, the completion of the measure :
1
... :
1
(: factors) equals
:
a
.
Sometimes we prefer to write
_
1
...n
,(r
1
. .... r
a
)dr
1
...dr
a
instead of _
1
...n
,(r)d:
a
(r)
112
or _
1
...n
,(r)dr.
Moreover, the integral
_
n
...
_
1
,(r
1
. .... r
a
)dr
1
...dr
a
is the same as _
1
...n
,(r
1
. .... r
a
)dr
1
...dr
a
.
Denition 3.4.2. (a) The measure
1
() =
_
x
2
2
dr
_
2:
.
is called the standard Gauss measure in R.
(b) The measure
a
=
1
...
1
(: factors)
is called the standard Gauss measure in R
a
. Thus, if
[ r [=
_
r
2
1
+... +r
2
a
. r = (r
1
. .... r
a
) R
a
we have
a
() =
_
jxj
2
2
dr
_
2:
a
.
a
.
(c) A Borel measure j in R is said to be a centred Gaussian measure if
j = ,(
1
) for some linear map , : R R.
(d) A realvalued random variable is said to be a centred Gaussian
random variable if its probability law is a centred Gaussian measure in R.
Stated otherwise, is a realvalued centred Gaussian randomvariable if either
/() = o
0
(abbreviated `(0. 0))
113
or there exists a o 0 such that
/(
o
) =
1
(abbreviated `(0. o)).
(e) A family (
t
)
tT
of realvalued random variables is said to be a centred
realvalued Gaussian process if for all t
1
. .... t
a
1. c
1
. .... c
a
R and every
: N
. the sum
=
a
I=1
c
I
t
k
is a centred Gaussian random variable.
Example 3.4.1 Suppose [ r [ =
_
r
2
1
+... +r
2
a
if r = (r
1
. .... r
a
) R
a
. We
claim that
lim
Io
_
R
n
a
i=1
(1 +
r
i
+r
2
i
4/
)
I
d
a
(r) =
_
2
a
c
n
16
To prove this claim we rst use that c
t
_ 1 + t for every real t and have for
each xed i 1. .... : .
1 +
r
i
+r
2
i
4/
_ c
x
i
+x
2
i
4k
.
Moreover, if / N
. then
1 +
r
i
+r
2
i
4/
=
1
4/
((r
i
+
1
2
)
2
+ 4/
1
4
) _ 0
and we conclude that
(1 +
r
i
+r
2
i
4/
)
I
_ c
x
i
+x
2
i
4
.
Thus, for any / N
.
0 _ ,
I
(r) =
oc)
a
i=1
(1 +
r
i
+r
2
i
4/
)
I
_
a
i=1
c
x
i
+x
2
i
4
=
oc)
q(r)
where q /
1
(
a
) since
_
R
n
q(r)d
a
(r) =
_
R
n
a
i=1
c
x
i
x
2
i
4
dr
_
2:
a
= Tonellis Theorem =
114
a
i=1
_
R
c
x
i
x
2
i
4
dr
i
_
2:
=
_
2
a
c
n
16
.
Moreover,
lim
Io
,
I
(r) = q(r)
and by dominated convergence we get
lim
Io
_
R
n
a
i=1
(1 +
r
i
+r
2
i
4/
)
I
d
a
(r) =
_
R
n
q(r)d
a
(r) =
_
2
a
c
n
16
.
Exercises
1. Let (A. /. j) and (1. A. i) be two onite positive measure spaces. Let
, 1
1
(j) and q 1
1
(i) and dene /(r. ) = ,(r)q(). (r. ) A 1.
Prove that / 1
1
(j i) and
_
AY
/d(j i) =
_
A
,dj
_
Y
qdi.
2. Let (A. /. j) be a onite positive measure space and , : A [0. [ a
measurable function. Prove that
_
A
,dj = (j :)((r. ); 0 < < ,(r). r A).
3. Let (A. /. j) be a onite positive measure space and , : A R a
measurable function. Prove that (j :)((r. ,(r)); r A ) = 0.
4. Let 1
2
and 1 _ [0. 1] [0. 1] . Suppose :(1
a
) _
1
2
for :almost all
r [0. 1] . Show that
:( [0. 1] ; :(1
j
) = 1) _
1
2
.
115
5. Let c be the counting measure on R restricted to and
1 = (r. r); r R .
Dene for every () ' 1 .
j() =
_
R
(
_
R
(r. )d
1
(r))dc()
and
i() =
_
R
(
_
R
(r. )dc())d
1
(r).
(a) Prove that j and i agree on .
(b) Prove that j(1) ,= i(1).
6. Let 1 = ]0. 1[ and
/(r. ) =
r
2
2
(r
2
+
2
)
2
. (r. ) 1 1.
Prove that _
1
(
_
1
/(r. )d)dr =
:
4
.
_
1
(
_
1
/(r. )dr)d =
:
4
and _
11
[ /(r. ) [ drd = .
7. For t 0 and r R let
q(t. r) =
1
_
2:t
c
x
2
2t
and
/(t. r) =
Jq
Jt
.
Given c 0. prove that
_
o
o
(
_
o
o
/(t. r)dt)dr = 1
116
and
_
o
o
(
_
o
o
/(t. r)dr)dt = 0
and conclude that
_
[o,o[R
[ /(t. r) [ dtdr = .
(Hint: First prove that
_
o
o
q(t. r)dr = 1
and
Jq
Jt
=
1
2
J
2
q
Jr
2
.)
8. Given , 1
1
(:). let
q(r) =
1
2
_
a1
a1
,(t)dt. r R.
Prove that
_
R
[ q(r) [ dr _
_
R
[ ,(r) [ dr.
9. Let 1 = [0. 1] and suppose , : 1 R is a Lebesgue measurable function
such that
_
11
[ ,(r) ,() [ drd < .
Prove that
_
1
[ ,(r) [ dr < .
10. Suppose
and , 1
1
(:). Set
q(r) =
_
R
d(. ),()
[ r [
2
d. r R.
Prove that
_
[ q(r) [ dr < .
117
11. Suppose that the functions ,. q : R [0. [ are Lebesgue measurable
and introduce j = ,: and i = q:. Prove that the measures j and i are
onite and
(j i)(1) =
_
1
,(r)q()drd if 1
.
12. Suppose j is a nite positive Borel measure on R
a
and , : R
a
R a
Borel measurable function. Set q(r. ) = ,(r) ,(). r. R
a
. Prove that
, 1
1
(j) if and only if q 1
1
(j j).
13. A random variable is nonnegative and possesses the distribution func
tion 1(r) = 1 [ _ r] . Prove that1 [] =
_
o
0
(1 1(r))dr.
14. Let (A. d) be a metric space and suppose 1 E(A). Then 1 equipped
with the metric d
[Y Y
is a metric space. Prove that
E(1 ) = 1 ; E(A) .
15. The continuous bijection , : (A. d) (1. c) has a continuous inverse.
Prove that ,() E(1 ) if E(A)
16. A realvalued function ,(r. ). r. R. is a Borel function of r for every
xed and a continuous function of for every xed r. Prove that , is a
Borel function. Is the same conclusion true if we only assume that ,(r. ) is
a realvalued Borel function in each variable separately?
17. Suppose c 0 and
j
o
= c
o
o
a=0
c
a
:!
o
a
118
where o
a
() =
a
119
(here 1 is viewed as a linear map of R
a
into R
a
). Remembering Corollary
3.1.3 this means that the following linear change of variables formula holds,
viz. _
R
n
,(1r)dr =
1
[ det 1 [
_
R
n
,(r)dr all , C
c
(R
a
).
The case : = 1 is obvious. Moreover, by Fubinis Theorem the linear change
of variables formula is true for arbitrary : in the following cases:
(a) 1r = (r
(1)
. .... r
(a)
). where : is a permutation of the numbers 1. .... :.
(b) 1r = (cr
1
. r
2
. .... r
a
). where c is a nonzero real number.
(c) 1r = (r
1
+r
2
. r
2
. .... r
a
).
Recall from linear algebra that every nonsingular : by : matrix 1 can be
rowreduced to the identity matrix, that is 1 can by written as the product
of nitely many transformations of the types in (a),(b), and (c). This proves
the above linear change of variables formula.
Our main objective in this section is to prove a more general change
of variable formula. To this end let and be open subsets of R
a
and
G : a C
1
dieomorphism, that is G = (q
1
. .... q
a
) is a bijective
continuously dierentiable map such that the matrix G
t
(r) = (
0j
i
0a
j
(r))
1i,)a
is nonsingular for each r . The inverse function theorem implies that
G
1
: is a C
1
dieomorphism [11] .
Theorem 3.5.1. If , is a nonnegative Borel function in . then
_
,(r)dr =
_
U
,(G(r)) [ det G
t
(r) [ dr.
The proof of Theorem 3.5.1 is based on several lemmas.
Throughout, R
a
is equipped with the metric
d
a
(r. ) = max
1Ia
[ r
I
I
[ .
Let 1 be a compact convex subset of . Then if r. 1 and 1 _ i _ :.
q
i
(r) q
i
() =
_
1
0
d
dt
q
i
( +t(r ))dt
=
_
1
0
a
I=1
Jq
i
Jr
I
( +t(r ))(r
I
I
)dt
120
and we get
d
a
(G(r). G()) _ `(G. 1)d
a
(r. )
where
`(G. 1) = max
1ia
a
I=1
max
:1
[
Jq
i
Jr
I
(.) [ .
Thus if
1(c; :) is a closed ball contained in 1.
G(
1(c; :)) _
1(G(c); `(G. 1):).
Lemma 3.5.1. Let (Q
I
)
o
I=1
be a sequence of closed balls contained in such
that
Q
I1
_ Q
I
and
diam Q
I
0 as / .
Then, there is a unique point c belonging to each Q
I
and
lim sup
ao
a
(G(Q
I
))
a
(Q
I
)
_[ det G
t
(c) [ .
PROOF. The existence of a point c belonging to each Q
I
is an immediate
consequence of Theorem 3.1.2. The uniqueness is also obvious since the
diameter of Q
I
converges to 0 as / . Set 1 = G
t
(c) and 1 = 1
1
G.
Then, if Q
I
=
1(r
I
; :
I
).
a
(G(Q
I
)) =
a
(1(1
1
G(Q
I
))) =[ det 1 [
a
(1
1
G(
1(r
I
; :
I
)))
_[ det 1 [
a
(
1(1
1
G(r
I
); `(1
1
G; Q
I
):
I
) =[ det 1 [ `(1
1
G; Q
I
)
a
a
(Q
I
).
Since
lim
Io
`(1
1
G; Q
I
) = 1
the lemma follows at once.
Lemma 3.5.2. Let Q be a closed ball contained in . Then
a
(G(Q)) _
_
Q
[ det G
t
(r) [ dr.
121
PROOF. Suppose there is a closed ball Q contained in such that
a
(G(Q))
_
Q
[ det G
t
(r) [ dr.
This will lead us to a contradiction as follows.
Choose 0 such that
a
(G(Q)) _ (1 +)
_
Q
[ det G
t
(r) [ dr.
Let Q = '
2
n
1
1
I
where 1
1
. .... 1
2
n are mutually almost disjoint closed balls
with the same volume. If
a
(G(1
I
)) < (1 +)
_
1
k
[ det G
t
(r) [ dr. / = 1. .... 2
a
we get
a
(G(Q)) _
2
n
I=1
a
(G(1
I
))
<
2
n
I=1
(1 +)
_
1
k
[ det G
t
(r) [ dr = (1 +)
_
Q
[ det G
t
(r) [ dr
which is a contradiction. Thus
a
(G(1
I
)) _ (1 +)
_
1
k
[ det G
t
(r) [ dr
for some /. By induction we obtain a sequence (Q
I
)
o
I=1
of closed balls con
tained in such that
Q
I1
_ Q
I
.
diam Q
I
0 as /
and
a
(G(Q
I
)) _ (1 +)
_
Q
k
[ det G
t
(r) [ dr.
But applying Lemma 3.5.1 we get a contradiction.
122
PROOF OF THEOREM 3.5.1. Let l _ be open and write l = '
o
i=1
Q
i
where the Q
t
i
: are almost disjoint cubes as in Theorem 3.1.5. Then
a
(G(l)) _
o
i=1
a
(G(Q
i
)) _
o
i=1
_
Q
i
[ det G
t
(r) [ dr
=
_
l
[ det G
t
(r) [ dr.
Using Theorem 3.1.3 we now have that
a
(G(1)) _
_
1
[ det G
t
(r) [ dr
for each Borel set 1 _ . But then
_
,(r)dr _
_
U
,(G(r)) [ det G
t
(r) [ dr
for each simple Borel measurable function , _ 0 and, accordingly from this
and monotone convergence, the same inequality holds for each nonnegative
Borel function ,. But the same line of reasoning applies to G replaced by
G
1
and , replaced by ,(G) [ det G
t
[, so that
_
U
,(G(r)) [ det G
t
(r) [ dr _
_
,(r) [ det G
t
(G
1
(r)) [[ det(G
1
)
t
(r) [ dr
=
_
,(r)dr.
This proves the theorem.
Example 3.5.1. If , : R
2
[0. ] is (
2
.
0,o
)measurable and 0 < <
1 < , the substitution
G(:. o) = (: cos o. : sin o)
yields
_
.<
_
a
2
1
a
2
2
<1
,(r
1
. r
2
)dr
1
dr
2
= lim
c0
+
_
1
.
_
2
c
,(: cos o. : sin o):dod:
123
=
_
1
.
_
2
0
,(: cos o. : sin o):dod:
and by letting 0 and 1 . we have
_
R
2
,(r
1
. r
2
)dr
1
dr
2
=
_
o
0
_
2
0
,(: cos o. : sin o):dod:.
The purpose of the example is to show an analogue formula for volume
measure in R
a
.
Let o
a1
= r R
a
; [ r [= 1 be the unit sphere in R
a
. We will dene a
so called surface area Borel measure o
a1
on o
a1
such that
_
R
n
,(r)dr =
_
o
0
_
S
n1
,(:.):
a1
do
a1
(.)d:
for any (
a
.
0,o
)measurable function , : R
a
[0. ] . To this end dene
G : R
a
0 ]0. [ o
a1
by setting G(r) = (:. .). where
: =[ r [ and . =
r
[ r [
.
Note that G
1
: ]0. [ o
a1
R
a
0 is given by the equation
G
1
(:. .) = :..
Moreover,
G
1
(]0. c] 1) = cG
1
(]0. 1] 1) if c 0 and 1 _ o
a1
.
If 1 E(o
a1
) we therefore have that
a
(G
1
(]0. c] 1)) = c
a
a
(G
1
(]0. 1] 1)).
We now dene
o
a1
(1) = :
a
(G
1
(]0. 1] 1)) if 1 E(o
a1
)
and
j() =
_
:
a1
d: if E(]0. [).
124
Below, by abuse of language, we write
a[R
n
\0
=
a
. Then, if 0 < c _
/ < and 1 E(o
a1
).
G(
a
)(]0. c] 1) = j(]0. c])o
a1
(1)
and
G(
a
)(]c. /] 1) = j(]c. /])o
a1
(1).
Thus, by Theorem 1.2.3,
G(
a
) = j o
a1
and the claim above is immediate.
To check the normalization constant in the denition of o
a1
. rst note
that
a
([ r [< 1) =
_
1
0
_
S
n1
:
a1
do(.)d: =
1
a
:
o
a1
(o
a1
)
and we get
d
d1
a
([ r [< 1) = 1
a1
o
a1
(o
a1
).
Exercises
1. Extend Theorem 3.5.1 to Lebesgue measurable functions.
2. The function , : R [0. [ is Lebesgue measurable and
_
R
,d: = 1.
Determine all nonzero real numbers c such that
_
R
/d: < . where
/(r) =
o
a=0
,(c
a
r +:). r R.
3. Suppose
j() =
_
[ r [
a
c
[a[
n
dr. E(R
a
).
where [ r [ =
_
r
2
1
+... +r
2
a
if r = (r
1
. .... r
a
) R
a
. Compute the
limit
lim
jo
j
a
ln j(r R
a
; [ r [_ j).
125
4. Compute the :dimensional Lebesgue integral
_
[a[<1
ln(1 [ r [)dr
where [ r [ denotes the Euclidean norm of the vector r R
a
. (Hint:
o(o
a1
) =
2
n=2
(a2)
.)
5. Suppose , 1
1
(:
2
). Show that lim
ao
,(:r) = 0 for :
2
almost all
r R
2
.

3.6. Independence in Probability
Suppose (. T. 1) is a probability space. The random variables
I
: (. 1)
(o
I
. o
I
). / = 1. .... : are said to be independent if
1
(
1
,...,
n
)
=
a
I=1
1
k
.
A family (
i
)
i1
of random variables is said to be independent if
i
1
. ....
in
are independent for any i
1
. ...i
a
1 with i
I
,= i

if / ,= . A family of
events (
i
)
i1
is said to be independent if (
i
)
i1
is a family of independent
random variables. Finally a family (/
i
)
i1
of suboalgebras of T is said to
be independent if, for any
i
/
i
. i 1. the family (
i
)
i1
is a family of
independent events.
Example 3.6.1. Let _ 2 be an integer. A real number . [0. 1[ has a
adic expansion
. =
o
I=1
(q)
I
I
.
The construction of the Cantor set shows that (
(q)
I
)
o
I=1
is a sequence of
independent random variables based on the probability space
([0. 1[ .
1[[0,1[
. E([0. 1[)).
126
Example 3.6.2. Let (A. /. j) be a positive measure space and let
i
/.
i N
. be such that
o
i=1
j(
i
) < .
The rst BorelCantelli Lemma asserts that jalmost all r A lie in
i
for at most nitely many i. This result is an immediate consequence of the
Beppo Levi Theorem since
_
A
o
i=1
i
dj =
o
i=1
_
A
i
dj <
implies that
o
i=1
i
< a.e. [j] .
Suppose (. T. 1) is a probability space and let (
i
)
o
i=1
be independent
events such that
o
i=1
1 [
i
] = .
The second BorelCantelli Lemma asserts that almost surely
i
happens for
innitely many i.
To prove this, we use the inequality
1 +r _ c
a
. r R
to obtain
1
_
Ia
i=I
c
i
=
Ia
i=I
1 [
c
i
]
=
Ia
i=I
(1 1 [
i
]) _
Ia
i=I
c
1[
i
[
= c
Y
k+n
i=k
1[
i
[
.
By letting : .
1 [
o
i=I
c
i
] = 0
or
1 ['
o
i=I
i
] = 1.
But then
1 [
o
I=1
'
o
i=I
i
] = 1
and the second BorelCantelli Lemma is proved.
127
Theorem 3.6.1. Suppose
1
. ....
a
are independent random variables and
I
`(0. 1). / = 1. .... :. If c
1
. .... c
a
1. then
a
I=1
c
I
I
`(0.
a
I=1
c
2
I
)
PROOF. The case c
1
. .... c
a
= 0 is trivial so assume c
I
,= 0 for some /. We
have for each open interval .
1 [
a
I=1
c
I
I
] =
_
Y
n
k=1
c
k
a
k
d
1
(r
1
)...d
1
(r
a
)
_
Y
n
k=1
c
k
a
k
1
_
2:
a
c
1
2
(a
2
1
...a
2
n
)
dr
1
...dr
a
.
Set o =
_
c
2
1
+... +c
2
a
and let = Gr be an orthogonal transformation
such that
1
=
1
o
(c
1
r
1
+... +c
a
r
a
).
Then, since det G = 1.
1 [
o
I=1
c
I
I
] =
_
oj
1
1
_
2:
a
c
1
2
(j
2
1
...j
2
n
)
d
1
...d
a
=
_
oj
1
1
_
2:
c
1
2
j
2
1
d
1
where we used Fubinis theorem in the last step. The theorem is proved.
Finally, in this section, we prove a basic result about the existence of
innite product measures. Let j
I
. / N
. set :
I
(r) = r
I
. The oalgebra
N
+
is the least oalgebra o of subsets of R
N
+
which makes all the projections
:
I
: (R
N
+
. o) (R. ). / N
. measurable. Below, (:
1
. .... :
a
) denotes
the mapping of R
N
+
into R
a
dened by the equation
(:
1
. .... :
a
)(r) = (:
1
(r). .... :
a
(r)).
128
Theorem 3.6.1. There is a unique probability measure j on
N
+
such that
j
(
1
,...,n)
= j
1
... j
a
for every : N
.
The measure j in Theorem 3.6.1 is called the product of the measures
j
I
. / N
o
I=1
j
I
.
PROOF OF THEOREM 3.6.1. Let (. 1. T) = ([0. 1[ .
1[[0,1[
. E([0. 1[) and
set
j(.) =
o
I=1
(2)
I
(.)
2
I
. . .
We already know that 1
j
= 1. Now suppose (/
i
)
o
i=1
is a strictly increasing
sequence of positive integers and introduce
j
t
=
o
i=1
(2)
I
i
(.)
2
i
. . .
Note that for each xed positive integer :. the R
a
valued maps (
(2)
1
. ....
(2)
a
)
and (
(2)
I
1
. ....
(2)
In
) are 1equimeasurable. Thus, if , : R is continuous,
_
U
,(j)d1 = lim
ao
_
U
,(
a
I=1
(2)
I
(.)
2
I
)d1(.)
= lim
ao
_
U
,(
a
i=1
(2)
I
i
(.)
2
i
)d1(.) =
_
U
,(j
t
)d1
and it follows that 1
j
0 = 1
j
= 1.
By induction, we dene for each / N
an innite subset `
I
of the set
N
'
I1
i=1
`
i
such that the set N
'
I
i=1
`
i
contains innitely many elements
and dene
j
I
=
o
i=1
(2)
a
ik
(.)
2
i
where (:
iI
)
o
i=1
is an enumeration of `
I
. The map
(.) = (j
I
(.))
o
I=1
129
is a measurable map of (. T) into (R
N
+
.
N
+
) and
1
+
=
o
I=1
`
i
where `
i
= 1 for each i N
.
For each i N
. This
completes the proof of Theorem 3.6.1.
130
CHAPTER 4
MODES OF CONVERGENCE
Introduction
In this chapter we will treat a variety of dierent sorts of convergence notions
in measure theory. So called 1
2
convergence is of particular importance.
4.1. Convergence in Measure, in 1
1
(j). and in 1
2
(j)
Let (A. /. j) be a positive measure space and denote by T(A) the class of
measurable functions , : (A. /) (R. ). For any , T(A). set
 , 
1
=
_
A
[ ,(r) [ dj(r)
and
 , 
2
=
_
_
A
,
2
(r)dj(r).
The CauchySchwarz inequality states that
_
A
[ ,q [ dj _ , 
2
 q 
2
if ,. q T(A).
To prove this, without loss of generality, it can be assumed that
0 < , 
2
< and 0 < q 
2
< .
We now use the inequality
c, _
1
2
(c
2
+,
2
). c. , R
131
to obtain
_
A
[ , [
 , 
2
[ q [
 q 
2
dj _
_
1
2
(
,
2
 , 
2
2
+
q
2
 q 
2
2
)dj = 1
and the CauchySchwarz inequality is immediate.
If not otherwise stated, in this section j is a number equal to 1 or 2. If it
is important to emphasize the underlying measure  , 
j
is written  , 
j,j
.
We now dene
/
j
(j) = , T(A);  , 
j
< .
The special case j = 1 has been introduced earlier. We claim that the
following so called triangle inequality holds, viz.
 , +q 
j
_ , 
j
+  q 
j
if ,. q /
j
(j).
The case j = 1. follows by jintegration of the relation
[ , +q [_[ , [ + [ q [ .
To prove the case j = 2. we use the CauchySchwarz inequality and have
 , +q 
2
2
_[ , [ + [ q [
2
2
= , 
2
2
+2
_
A
[ ,q [ dj+  q 
2
2
_ , 
2
2
+2  , 
2
 q 
2
+  q 
2
2
= ( , 
2
+  q 
2
)
2
and the triangle inequality is immediate.
Suppose ,. q /
j
(j). The functions , and q are equal almost everywhere
with respect to j if , ,= q ?
j
. This is easily seen to be an equivalence
relation and the set of all equivalence classes is denoted by 1
j
(j). Below
we consider the elements of 1
j
(j) as members of /
j
(j) and two members
of 1
j
(j) are identied if they are equal a.e. [j] . From this convention it is
straightforward to dene , + q and c, for all ,. q 1
j
(j) and c R and
the function d
(j)
(,. q) = , q 
j
is a metric on 1
j
(j). Convergence in the
metric space 1
j
(j) = (1
j
(j),d
(j)
) is called convergence in 1
j
(j). A sequence
(,
I
)
o
I=1
in T(A) converges in measure to a function , T(A) if
lim
Io
j([ ,
I
, [ ) = 0 all 0.
132
If the sequence (,
I
)
o
I=1
in T(A) converges in measure to a function ,
T(A) as well as to a function q T(A). then , = q a.e. [j] since
[ , q [ _
_
[ , ,
I
[
2
_
'
_
[ ,
I
q [
2
_
and
j([ , q [ ) _ j([ , ,
I
[
2
) +j([ ,
I
q [
2
)
for every 0 and positive integer /. A sequence (,
I
)
o
I=1
in T(A) is said
to be Cauchy in measure if for every 0.
j([ ,
I
,
a
[ ) 0 as /. : .
By the Markov inequality, a Cauchy sequence in 1
j
(j) is Cauchy in measure.
Example 4.1.1. (a) If ,
I
=
_
/
[0,
1
k
]
. / N
. then
 ,
I

2,n
= 1 and  ,
I

1,n
=
1
_
/
.
Thus ,
I
0 in 1
1
(:) as / but ,
I
9 0 in 1
2
(:) as / .
(b) 1
1
(:) * 1
2
(:) since
[1,o[
(r)
1
[ r [
1
2
(:) 1
1
(:)
and 1
2
(:) * 1
1
(:) since
[0,1[
(r)
1
_
[ r [
1
1
(:) 1
2
(:).
Theorem 4.1.1. Suppose j = 1 or 2.
(a) Convergence in 1
j
(j) implies convergence in measure.
133
(b) If j(A) < . then 1
2
(j) _ 1
1
(j) and convergence in 1
2
(j) implies
convergence in 1
1
(j).
Proof. (a) Suppose the sequence (,
a
)
o
a=1
converges to , in 1
j
(j) and let
0. Then, by the Markov inequality,
j([ ,
a
, [_ ) _
1
j
_
A
[ ,
a
, [
j
dj =
1
j
 ,
a
, 
j
j
and (a) follows at once.
(b) The CauchySchwarz inequality gives for any , T(A).
(
_
A
[ , [ 1dj)
2
_
_
A
,
2
dj
_
A
1dj
or
 , 
1
_ , 
2
_
j(A)
and Part (b) is immediate.
Theorem 4.1.2. Suppose ,
a
T(A). : N
.
(a) If (,
a
)
o
a=1
is Cauchy in measure, there is a measurable function , :
A R such that ,
a
, in measure as : and a strictly increasing
sequence of positive integers (:
)
)
o
)=1
such that ,
a
j
, a.e. [j] as , .
(b) If j is a nite positive measure and ,
a
, T(A) a.e. [j] as
: . then ,
a
, in measure.
(c) (Egoros Theorem) If j is a nite positive measure and ,
a
, T(A) a.e. [j] as : . then for every 0 there exists 1 / such
that j(1) < and
sup
Ia
a1
c
[ ,
I
(r) ,(r) [0 as : .
PROOF. (a) For each positive integer ,. there is a positive integer :
)
such
that
j([ ,
I
,

[ 2
)
) < 2
)
. all /.  _ :
)
.
134
There is no loss of generality to assume that :
1
< :
2
< ... . Set
1
)
=
_
[ ,
a
j
,
a
j+1
[ 2
)
_
and
1
I
= '
o
)=I
1
)
.
If r 1
c
I
and i _ , _ /
[ ,
a
i
(r) ,
a
j
(r) [_
)<i
[ ,
a
l+1
(r) ,
a
l
(r) [
_
)<i
2

< 2
)1
and we conclude that (,
a
j
(r))
o
)=1
is a Cauchy sequence for every r 1
c
I
. Let
G = '
o
I=1
1
c
I
and note that for every xed positive integer /.
j(G
c
) _ j(1
I
) <
o
)=I
2
)
= 2
I1
.
Thus G
c
is a jnull set. We now dene ,(r) = lim
)o
,
a
j
(r) if r G and
,(r) = 0 if r , G.
We next prove that the sequence (,
a
)
o
a=1
converges to , in measure. If
r 1
c
I
and , _ / we get
[ ,(r) ,
a
j
(r) [_ 2
)1
.
Thus, if , _ /
j([ , ,
a
j
[ 2
)1
) _ j(1
I
) < 2
I1
.
Since
j([ ,
a
, [ ) _ j([ ,
a
,
a
j
[
2
) +j([ ,
a
j
, [
2
)
if 0. Part (a) follows at once.
(b) For each 0.
j([ ,
a
, [ ) =
_
A
[.,o[
([ ,
a
, [)dj
135
and Part (c) follows from the Lebesgue Dominated Convergence Theorem.
(c) Set for xed /. : N
.
1
Ia
= '
o
)=a
_
[ ,
)
, [
1
/
_
.
We have
o
a=1
1
Ia
2
j
and since j is a nite measure
j(1
Ia
) 0 as : .
Given 0 pick :
I
N
. and
a
in 1
2
(1) as
: . Then is a centred Gaussian random variable.
136
PROOF. We have that 
a

2
=
_
1
_
2
a
= o
a
and 
a

2
 
2
=
oc)
o
as : .
Suppose , is a bounded continuous function on R. Then, by dominated
convergence,
1 [,(
a
)] =
_
R
,(o
a
r)d
1
(r)
_
R
,(or)d
1
(r)
as : . Moreover, there exists a subsequence (
a
k
)
o
I=1
which converges
to a.s. Hence, by dominated convergence
1
_
,(
a
k
)
1 [,()]
as / and it follows that
1 [,()] =
_
R
,(or)d
1
(r).
By using Corollary 3.1.3 the theorem follows at once.
Theorem 4.1.3. Suppose A is a standard space and j a positive onite
Borel measure on A. Then the spaces 1
1
(j) and 1
2
(j) are separable.
PROOF. Let (1
I
)
o
I=1
be a denumerable collection of Borel sets with nite
jmeasures and such that 1
I
_ 1
I1
and '
o
I=1
1
I
= A. Set j
I
=
1
k
j and
rst suppose that the set 1
I
is at most denumerable and dense in 1
j
(j
I
)
for every / N
\
j

j
<
Now it is simple to nd a / such that  , 
j
< . From this we
deduce that the set
/ / =q /; q. / /
is at most denumerable and dense in 1
j
(j).
138
The set of all realvalued and innitely many times dierentiable functions
dened on R
a
is denoted by C
(o)
(R
a
) and
C
(o)
c
(R
a
) =
_
, C
(o)
(R
a
); supp, compact
_
.
Recall that the support supp, of a realvalued continuous function , dened
on R
a
is the closure of the set of all r where ,(r) ,= 0. If
,(r) =
a
I=1
,(1 +r
I
),(1 r
I
) . r = (r
1
. .... r
a
) R
a
where ,(t) = exp(t
1
). if t 0. and ,(t) = 0. if t _ 0. then , C
o
c
(R
a
) .
The proof of the previous theorem also gives Part (a) of the following
Theorem 4.1.4. Suppose j is a positive Borel measure in R
a
such that
j(1) < for every compact subset 1 of R
a
. The following sets are dense
in 1
1
(j). and 1
2
(j) :
(a) the linear span of the functions
1
. 1 open bounded :cell in R
a
.
(b) C
(o)
c
(R
a
).
PROOF. a) The proof is almost the same as the proof of Theorem 4.1.3.
First the 1
I
:: can be chosen to be open balls with their centres at the origin
since each bounded set in R
a
has nite jmeasure. Moreover, as in the proof
of Theorem 4.1.3 we can assume that j is a nite measure. Now let be an
at most denumerable dense subset of R
a
and for each c let
1(c) = : 0; j(r A; [ r
I
c
I
[= :) 0 for some / = 1. .... : .
Then '
o
1(c) is at most denumerable and there is a subset :
a
; : N
of ]0. [ '
o
1(c) which is dense in ]0. [ . Finally, let  denote the class
of all open sets which are nite unions of open balls of the type 1(c. :
a
).
c . : N
1
_ , _
l
and supp, _ l.
PROOF. Suppose j C
o
c
(R
a
) is nonnegative, supp j _ 1(0. 1). and
_
R
n
jd:
a
= 1.
Moreover, let 0 be xed. For any q 1
1
(
a
) we dene
,
.
(r) =
a
_
R
n
q()j(
1
(r ))d.
Since
[ q [ max
R
n
[
J
I
1
...In
j
Jr
I
1
1
...Jr
In
a
[ 1
1
(
a
). all /
1
. .... /
a
N
the Lebesgue Dominated Convergent Theorem shows that ,
.
C
o
(R
a
).
Here ,
.
C
o
c
(R
a
) if q vanishes o a bounded subset of R
a
. In fact,
supp ,
.
_ (supp q)
.
.
Now choose a positive number _
1
2
d(1. l
c
) and dene q =
1"
. Since
,
.
(r) =
_
R
n
q(r )j()d
we also have that ,
.
(r) = 1 if r 1. The lemma is proved.
140
Example 4.1.2. Suppose , 1
1
(:
a
) and let q : R
a
R be a bounded
Lebesgue measurable function. Set
/(r) =
_
R
n
,(r )q()d. r R
a
.
We claim that / is continuous.
To see this rst note that
/(r + r) /(r) =
_
R
n
(,(r + r ) ,(r ))q()d
and
[ /(r + r) /(r) [_ 1
_
R
n
[ ,(r + r ) ,(r ) [ d
= 1
_
R
n
[ ,(r +) ,() [ d
if [ q(r) [_ 1 for every r R
a
. Now rst choose 0 and then , C
c
(R
a
)
such that
 , , 
1
< .
Using the triangle inequality, we get
[ /(r + r) /(r) [_ 1(2  , , 
1
+
_
R
n
[ ,(r +) ,() [ d)
_ 1(2 +
_
R
n
[ ,(r +) ,() [ d)
where the right hand side is smaller than 31 if [ r [ is suciently small.
This proves that / is continuous.
Example 4.1.3. Suppose
a
and :
a
() 0. We claim that the set
= r r; r
contains a neighbourhood of the origin.
To show this there is no loss of generality to assume that :
a
() < .
Set
,(r) = :
a
( ( +r)). r R
a
.
141
Note that
,(r) =
_
R
n
()
( r)d
and Example 4.1.2 proves that , is continuous. Since ,(0) 0 there exists a
o 0 such that ,(r) 0 if [ r [< o. In particular, (+r) ,= c if [ r [< o.
which proves that
1(0. o) _ .
The following three examples are based on the Axiom of Choice.
Example 4.1.4. Let `1 be the nonLebesgue measurable set constructed
in Section 1.3. Furthermore, assume _ R is Lebesgue measurable and
_ `1. We claim that :() = 0. If not, there exists a o 0 such that
1(0. o) _ _ `1 `1. If 0 < : < o and : Q, there exist c. / `1
such that
c = / +:.
But then c ,= / and at the same time c and / belong to the same equivalence
class, which is a contradiction. Accordingly from this, :() = 0.
Example 4.1.5. Suppose _
_
1
2
.
1
2
1
S
.
2
S
_
=
_
0.
1
S
'
_
2
S
. 1
. At the second
stage subdivide each of the closed intervals of C
1
into thirds and remove
from each one the middle open thirds. Then C
2
= C
1
(
1
9
.
2
9
_
'
7
9
.
S
9
_
). We
repeat the process and what is left from C
a1
is C
a
. The set [0. 1] C
a
is the
union of 2
a
1 intervals numbered 1
a
I
. / = 1. .... 2
a
1. where the interval 1
a
I
is situated to the left of the interval 1
a

if / < . The Cantor set C =
o
a=1
C
a
.
Suppose : is xed and let G
a
: [0. 1] [0. 1] be the unique the monotone
increasing continuous function, which satises G
a
(0) = 0. G
a
(1) = 1. G
a
(r) =
/2
a
for r 1
a
I
and which is linear on each interval of C
a.
It is clear that
G
a
= G
a1
on each interval 1
a
I
, / = 1. .... 2
a
1. The Cantor function is
dened by the limit G(r) = lim
ao
G
a
(r). 0 _ r _ 1.
Now dene
/(r) =
1
2
(r +G(r)). r 1
where G is the Cantor function. Since / : 1 1 is a strictly increasing and
continuous bijection, the inverse function , = /
1
is a continuous bijection
from 1 onto 1. Set
= /(1 C)
and
1 = /(C).
Recall from the denition of G that G is constant on each removed interval
1
a
I
and that / takes each removed interval onto an interval of half its length.
Thus :() =
1
2
and :(1) = 1 :() =
1
2
.
By the previous example there exists a nonLebesgue measurable subset
` of 1. Put 1 = /
1
(`). The set 1 is Lebesgue measurable since 1 _ C
and C is a Lebesgue null set. However, the set ` = ,
1
(1) is not Lebesgue
measurable.
Exercises
143
1. Let (A. /. j) be a nite positive measure space and suppose ,(t) =
min(t. 1). t _ 0. Prove that ,
a
, in measure if and only if ,([ ,
a
, [) 0
in 1
1
(j).
2. Let j = :
[[0,1[
. Find measurable functions ,
a
: [0. 1] [0. 1] . : N
.
such that ,
a
0 in 1
2
(j) as : .
liminf
ao
,
a
(r) = 0 all r [0. 1]
and
limsup
ao
,
a
(r) = 1 all r [0. 1] .
3. If , T(A) set
 , 
0
= inf c [0. ] ; j([ , [ c) _ c .
Let
1
0
(j) = , T(A);  , 
0
<
and identify functions in 1
0
(j) which agree a.e. [j] .
(a) Prove that d
(0)
= , q 
0
is a metric on 1
0
(j) and that the corre
sponding metric space is complete.
(b) Show that T(A) = 1
0
(j) if j is a nite positive measure.
4. Suppose 1
j
(A. /. j) is separable, where j = 1 or 2. Showthat 1
j
(A. /
. j)
is separable.
5. Suppose q is a realvalued, Lebesgue measurable, and bounded function
of period one. Prove that
lim
ao
_
o
o
,(r)q(:r)dr =
_
o
o
,(r)dr
_
1
0
q(r)dr
144
for every , 1
1
(:).
6. Let /
a
(t) = 2 + sin :t. 0 _ t _ 1. and : N
. set c
I
(r) =
a
i=1
sin /
i
r
i
. r = (r
1
. .... r
a
) R
a
.
and [ / [= (
a
i=1
/
2
i
)
1
2
. Prove that
lim
[I[o
_
R
n
,c
I
d:
a
= 0
for every , 1
1
(:
a
).
8. Suppose , 1
1
(:
a
). where :
a
denotes Lebesgue measure on R
a
. Com
pute the following limit and justify the calculations:
lim
[I[o
_
R
n
[ ,(r +/) ,(r) [ dr.
9. The set _ R has positive Lebesgue measure and
+Q =r +; r and Q
where Q stands for the set of all rational numbers. Show that the set
R( +Q)
is a Lebesgue null set. (Hint: The function ,(r) = :((r)). r R. is
continuous.)
145
4.2 Orthogonality
Suppose (A. /. j) is a positive measure space. If ,. q 1
2
(j). let
,. q =
oc)
_
A
,qdj
be the so called scalar product of , and q. The CauchySchwarz inequality
[ ,. q [_ , 
2
 q 
2
shows that the map , ,. q of 1
2
(j) into R is continuous. Observe that
 , +q 
2
2
= , 
2
2
+2,. q+  q 
2
2
and from this we get the so called Parallelogram Law
 , +q 
2
2
+  , q 
2
2
= 2( , 
2
2
+  q 
2
2
).
We will say that , and q are orthogonal (abbr. , l q) if ,. q = 0. Note
that
 , +q 
2
2
= , 
2
2
+  q 
2
2
if and only if , l q.
Since , l q implies q l ,. the relation l is symmetric. Moreover, if
, l / and q l / then (c, + ,q) l / for all c. , R. Thus /
l
=
oc)
, 1
2
(j); , l / is a subspace of 1
2
(j). which is closed since the map
, ,. /. , 1
2
(j) is continuous. If ` is a subspace of 1
2
(j). the set
`
l
=
oc)
IA
/
l
is a closed subspace of 1
2
(j). The function , = 0 if and only if , l ,.
If ` is a subspace of 1
2
(j) and , 1
2
(j) there exists at most one point
q ` such that , q `
l
. To see this, let q
0
. q
1
` be such that
, q
I
`
l
. / = 0. 1. Then q
1
q
0
= (, q
0
) (, q
1
) `
l
and hence
q
1
q
0
l q
1
q
0
that is q
0
= q
1
.
Theorem 4.2.1. Let ` be a closed subspace in 1
2
(j) and suppose ,
1
2
(j). Then there exists a unique point q ` such that
 , q 
2
_ , / 
2
all / `.
146
Moreover,
, q `
l
.
The function q in Theorem 4.2.1 is called the projection of , on ` and
is denoted by Proj
A
,.
PROOF OF THEOREM 4.2.1. Set
d =
oc)
d
(2)
(,. `) = inf
jA
 , q 
2
.
and let (q
a
)
o
a=1
be a sequence in ` such that
d = lim
ao
 , q
a

2
.
Then, by the Parallelogram Law
 (, q
I
)+(, q
a
) 
2
2
+  (, q
I
)(, q
a
) 
2
2
= 2( , q
I

2
2
+  , q
a

2
2
)
that is
4  ,
1
2
(q
I
+q
a
) 
2
2
+  q
a
q
I

2
2
= 2( , q
I

2
2
+  , q
a

2
2
)
and, since
1
2
(q
I
+q
a
) `. we get
4d
2
+  q
a
q
I

2
2
_ 2( , q
I

2
2
+  , q
a

2
2
).
Here the right hand converges to 4d
2
as / and : go to innity and we conclude
that (q
a
)
o
a=1
is a Cauchy sequence. Since 1
2
(j) is complete and ` closed
there exists a q ` such that q
a
q as : . Moreover,
d = , q 
2
.
We claim that , q `
l
. To prove this choose / ` and c 0
arbitrarily and use the inequality
 (, q) +c/ 
2
2
_ , q 
2
2
to obtain
 , q 
2
2
+2c, q. / +c
2
 / 
2
2
_ , q 
2
2
147
and
2, q. / +c  / 
2
2
_ 0.
By letting c 0. , q. / _ 0 and replacing / by /. , q. / _ 0. Thus
, q /
l
and it follows that , q `
l
.
The uniqueness in Theorem 4.2.1 follows from the remark just before the
formulation of Theorem 4.2.1. The theorem is proved.
A linear mapping 1 : 1
2
(j) R is called a linear functional on 1
2
(j).
If / 1
2
(j). the map / ,. / of 1
2
(j) into R is a continuous linear
functional on 1
2
(j). It is a very important fact that every continuous linear
functional on 1
2
(j) is of this type.
Theorem 4.2.2. Suppose 1 is a continuous linear functional on 1
2
(j).
Then there exists a unique n 1
2
(j) such that
1, = ,. n all , 1
2
(j).
PROOF. Uniqueness: If n. n
t
1
2
(j) and ,. n = ,. n
t
for all , 1
2
(j).
then ,. nn
t
= 0 for all , 1
2
(j). By choosing , = nn
t
we get , l ,
that is n = n
t
.
Existence: The set ` =
oc)
1
1
(0) is closed since 1 is continuous and
` is a linear subspace of 1
2
(j) since 1 is linear. If ` = 1
2
(j) we choose
n = 0. Otherwise, pick a q 1
2
(j) `. Without loss of generality it can be
assumed that 1q = 1 by eventually multiplying q by a scalar. The previous
theorem gives us a vector / ` such that n =
oc)
q / `
l
. Note that
0 < n 
2
2
= n. q / = n. q.
To conclude the proof, let xed , 1
2
(j) be xed. and use that (1,)q
, ` to obtain
(1,)q ,. n = 0
or
(1,)q. n = ,. n.
148
By setting
n =
1
 n 
2
2
n
we are done.

4.3. The Haar Basis and Wiener Measure
In this section we will show the existence of Brownian motion with continu
ous paths as a consequence of the existence of linear measure ` in the unit
interval. The so called Wiener measure is the probability law on C [0. 1] of
realvalued Brownian motion in the time interval [0. 1] . The Brownian mo
tion process is named after the British botanist Robert Brown (17731858).
It was suggested by Lous Bachelier in 1900 as a model of stock price uctua
tions and later by Albert Einstein in 1905 as a model of the physical phenom
enon Brownian motion. The existence of the mathematical Brownian motion
process was rst established by Norbert Wiener in the twenties. Wiener also
proved that the model can be chosen such that the path t \(t). 0 _ t _ 1.
is continuous a.s. Today Brownian motion is a very important concept in
probability, nancial mathematics, partial dierential equations and in many
other elds in pure and applied mathematics.
Suppose : is a nonnegative integer and set 1
a
= 0. .... : . A sequence
(c
i
)
i1n
in 1
2
(j) is said to be orthonormal if c
i
l c
)
for all i ,= ,. i. , 1
a
and  c
i
= 1 for each i 1
a
. If (c
i
)
i1n
is orthonormal and , 1
2
(j).
,
i1n
,. c
i
c
i
l c
)
all , 1
and Theorem 4.2.1 shows that
 ,
i1n
,. c
i
c
i

2
_ ,
i1n
c
i
c
i

2
all real c
1
. .... c
a
.
Moreover
 , 
2
2
= ,
i1n
,. c
i
c
i

2
2
+ 
i1n
,. c
i
c
i

2
2
and we get
i1n
,. c
i
2
_ , 
2
2
.
149
We say that (c
a
)
a1n
is an orthonormal basis in 1
2
(j) if it is orthonormal
and
, =
i1n
,. c
i
c
i
all , 1
2
(j).
A sequence (c
i
)
o
i=0
in 1
2
(j) is said to be orthonormal if (c
i
)
a
i=0
is ortho
normal for each nonnegative integer :. In this case, for each , 1
2
(j).
o
i=0
,. c
i
2
_ , 
2
2
and the series
o
i=0
,. c
i
c
i
converges since the sequence
(
a
i=0
,. c
i
c
i
)
o
a=0
of partial sums is a Cauchy sequence in 1
2
(j). We say that (c
i
)
o
i=0
is an
orthonormal basis in 1
2
(j) if it is orthonormal and
, =
o
i=0
,. c
i
c
i
for all , 1
2
(j).
Theorem 4.3.1. An orthonormal sequence (c
i
)
o
i=0
in 1
2
(j) is a basis of
1
2
(j) if
(,. c
i
= 0 all i N) =, = 0
Proof. Let , 1
2
(j) and set
q = ,
o
i=0
,. c
i
c
i
.
Then, for any , N.
q. c
)
= ,
o
i=0
,. c
i
c
i
. c
)
= ,. c
)
o
i=0
,. c
i
c
i
. c
)
= ,. c
)
,. c
)
= 0.
Thus q = 0 or
, =
o
i=0
,. c
i
c
i
.
The theorem is proved.
150
As an example of an application of Theorem 4.3.1 we next construct an
orthonormal basis of 1
2
(`), where ` is linear measure in the unit interval.
Set
H(t) =
[0,
1
2
[
(t)
[
1
2
,1]
(t). t R
Moreover, dene /
00
(t) = 1. 0 _ t _ 1. and for each : _ 1 and , = 1. .... 2
a1
,
/
)a
(t) = 2
n1
2
H(2
a1
t , + 1). 0 _ t _ 1.
Stated otherwise, we have for each : _ 1 and , = 1. .... 2
a1
/
)a
(t) =
_
_
2
n1
2
.
)1
2
n1
_ t <
)
1
2
2
n1
.
2
n1
2
.
)
1
2
2
n1
_ t _
)
2
n1
.
0. elsewhere in [0. 1] .
It is simple to show that the sequence /
00,
/
)a
. , = 1. .... 2
a1
. : _ 1. is
orthonormal in 1
2
(`). We will prove that the same sequence constitute an
orthonormal basis of 1
2
(`). Therefore, suppose , 1
2
(`) is orthogonal to
each of the functions /
00,
/
)a
. , = 1. .... 2
a1
. : _ 1. Then for each : _ 1 and
, = 1. .... 2
a1
_
j
1
2
2
n1
j1
2
n1
,d` =
_ j
2
n1
j
1
2
2
n1
,d`
and, hence,
_ j
2
n1
j1
2
n1
,d` =
1
2
a1
_
1
0
,d` = 0
since
_
1
0
,d` =
_
1
0
,/
00
d` = 0.
Thus
_ k
2
n1
j
2
n1
,d` = 0. 1 _ , _ / _ 2
a1
and we conclude that
_
1
0
1
[o,b[
,d` =
_
b
o
,d` = 0. 0 _ c _ / _ 1.
151
Accordingly from this, , = 0 and we are done.
The above basis (/
I
)
o
I=0
= (/
00,
/
11
. /
12
. /
22
. /
1S
. /
2S
. /
SS
. /
1S
. ...) of 1
2
(`)
is called the Haar basis.
Let 0 _ t _ 1 and dene for xed / N
c
I
(t) =
_
1
0
[0,t[
(r)/
I
(r)dr =
_
t
0
/
I
d`
so that
[0,t[
=
o
I=0
c
I
(t)/
I
in 1
2
(`).
Then, if 0 _ :. t _ 1.
min(:. t) =
_
1
0
[0,c[
(r)
[0,t[
(r)dr =
o
I=1
c
I
(:)/
I
.
[0,t[
=
o
I=0
c
I
(:)/
I
.
[0,t[
=
o
I=0
c
I
(:)c
I
(t).
Note that
t =
o
I=0
c
2
I
(t).
If (G
I
)
o
I=0
is a sequence of `(0. 1) distributed random variables based on
a probability space (. T. 1) the series
o
I=0
c
I
(t)G
I
converges in 1
2
(1) and denes a Gaussian random variable which we denote
by \(t). From the above it follows that (\(t))
0t1
is a realvalued centred
Gaussian stochastic process with the covariance
1 [\(:)\(t)] = min(:. t).
Such a process is called a realvalued Brownian motion in the time interval
[0. 1] .
Recall that
(/
00,
/
11
. /
12
. /
22
. /
1S
. /
2S
. /
SS
. /
1S
. ...) = (/
I
)
o
I=0
.
We dene
(c
00,
c
11
. c
12
. c
22
. c
1S
. c
2S
. c
SS
. c
1S
. ...) = (c
I
)
o
I=0
and
(G
00,
G
11
. G
12
. G
22
. G
1S
. G
2S
. G
SS
. G
1S
. ...) = (G
I
)
o
I=0
.
152
It is important to note that for xed :.
c
)a
(t) =
_
t
0
[0,t[
(r)/
)a
(r)dr ,= 0 for at most one ,.
Set
l
0
(t) = c
00
(t)G
00
and
l
a
(t) =
2
n1
)=1
c
)a
(t)G
)a
. : N
.
We know that
\(t) =
o
a=0
l
a
(t) in 1
2
(1)
for xed t.
The space C [0. 1] will from now on be equipped with the metric
d(r. ) = r 
o
where  r 
o
= max
0t1
[ r(t) [ . Recall that every r C [0. 1] is uniformly
continuous. From this, remembering that R is separable, it follows that the
space C [0. 1] is separable. Since R is complete it is also simple to show that
the metric space C [0. 1] is complete. Finally, if r
a
C [0. 1] . : N. and
o
a=0
 r
a

o
<
the series
o
a=0
r
a
converges since the partial sums
:
a
=
a
I=0
r
I
. / N
forms a Cauchy sequence.
We now dene
= . ;
o
a=0
 l
a

o
< .
Here T since
 l
a

o
= sup
0t1
tQ
[ l
a
(t) [
for each :. Next we prove that is a null set.
153
To this end let : _ 1 and note that
1
_
 l
a

o
2
n
4
_ 1
_
max
1)2
n1
( c
)a

o
[ G
)a
[) 2
n
4
_
.
But
 c
)a

o
=
1
2
n+1
2
and, hence,
1
_
 l
a

o
2
n
4
_ 2
a1
1
_
[ G
00
[ 2
n
4
1
2
_
.
Since
r _ 1 =1 [[ G
00
[_ r] _ 2
_
o
a
c
j
2
2
d
r
_
2:
_ c
a
2
2
we get
1
_
 l
a

o
2
n
4
_ 2
a
c
2
n=2
and conclude that
1
_
o
a=0
1
[ln12
n
4
]
_
=
o
a=0
1
_
 l
a

o
2
n
4
< .
From this and the Beppo Levi Theorem (or the rst BorelCantelli Lemma)
1 [] = 1.
The trajectory t \(t. .). 0 _ t _ 1. is continuous for every . .
Without loss of generality, from now on we can therefore assume that all
trajectories of Brownian motion are continuous (by eventually replacing
by ).
Suppose
0 _ t
1
< ... < t
a
_ 1
and let 1
1
. .... 1
a
be open subintervals of the real line. The set
o(t
1
. .... t
a
; 1
1
. .... 1
a
) = r C [0. 1] ; r(t
I
) 1
I
. / = 1. .... :
is called an open :cell in C [0. 1] . A set in C [0. 1] is called an open cell if
there exists an : N
155
CHAPTER 5
DECOMPOSITION OF MEASURES
Introduction
In this section a version of the fundamental theorem of calculus for Lebesgue
integrals will be proved. Moreover, the concept of dierentiating a measure
with respect to another measure will be developped. A very important result
in this chapter is the so called RadonNikodym Theorem.
5.1. Complex Measures
Let (A. /) be a measurable space. Recall that if
a
_ A. : N
, and
)
= c if i ,= ,, the sequence (
a
)
aN
+
is called a disjoint denumerable
collection. The collection is called a measurable partition of if = '
o
a=1
a
and
a
/ for every : N
.
A complex function j on / is called a complex measure if
j() =
o
a=1
j(
a
)
for every /and measurable partition (
a
)
o
a=1
of . Note that j(c) = 0
if j is a complex measure. A complex measure is said to be a real measure
if it is a real function. The reader should note that a positive measure need
not be a real measure since innity is not a real number. If j is a complex
measure j = j
Re
+ij
Im
, where j
Re
=Re j and j
Im
=Im j are real measures.
If (A. /. j) is a positive measure and , 1
1
(j) it follows that
`() =
_
,dj. /
is a real measure and we write d` = ,dj.
156
A function j : /[. ] is called a signed measure measure if
(a) j : /]. ] or j : /[. [
(b) j(c) = 0
and
(c) for every / and measurable partition (
a
)
o
a=1
of .
j() =
o
a=1
j(
a
)
where the latter sum converges absolutely if j() R.
Here = and + r = if r R. The sum of a
positive measure and a real measure and the dierence of a real measure and
a positive measure are examples of signed measures and it can be proved that
there are no other signed measures (see Folland [1]). Below we concentrate
on positive, real, and complex measures and will not say more about signed
measures here.
Suppose j is a complex measure on / and dene for every /
[ j [ () = sup
o
a=1
[ j(
a
) [.
where the supremum is taken over all measurable partitions (
a
)
o
a=1
of .
Note that [ j [ (c) = 0 and
[ j [ () _[ j(1) [ if . 1 / and _ 1.
The set function [ j [ is called the total variation of j or the total variation
measure of j. It turns out that [ j [ is a positive measure. In fact, as will
shortly be seen, [ j [ is a nite positive measure.
Theorem 5.1.1. The total variation [ j [ of a complex measure is a positive
measure.
PROOF. Let (
a
)
o
a=1
be a measurable partition of .
157
For each :. suppose c
a
<[ j [ (
a
) and let (1
Ia
)
o
I=1
be a measurable
partition of
a
such that
c
a
<
o
I=1
[ j(1
Ia
) [ .
Since (1
Ia
)
o
I,a=1
is a partition of it follows that
o
a=1
c
a
<
o
I,a=1
[ j(1
Ia
) [_[ j [ ().
Thus
o
a=1
[ j [ (
a
) _[ j [ ().
To prove the opposite inequality, let (1
I
)
o
I=1
be a measurable partition of
. Then, since (
a
1
I
)
o
a=1
is a measurable partition of 1
I
and (
a
1
I
)
o
I=1
a measurable partition of
a
.
o
I=1
[ j(1
I
) [=
o
I=1
[
o
a=1
j(
a
1
I
) [
_
o
I,a=1
[ j(
a
1
I
) [_
o
a=1
[ j [ (
a
)
and we get
[ j [ () _
o
a=1
[ j [ (
a
).
Thus
[ j [ () =
o
a=1
[ j [ (
a
).
Since [ j [ (c) = 0, the theorem is proved.
Theorem 5.1.2. The total variation [ j [ of a complex measure j is a nite
positive measure.
PROOF. Since
[ j [_[ j
Re
[ + [ j
Im
[
there is no loss of generality to assume that j is a real measure.
Suppose [ j [ (1) = for some 1 /. We rst prove that there exist
disjoint sets . 1 / such that
' 1 = 1
158
and
[ j() [ 1 and [ j [ (1) = .
To this end let c = 2(1+ [ j(1) [) and let (1
I
)
o
I=1
be a measurable partition
of 1 such that
a
I=1
[ j(1
I
) [ c
for some suciently large :. There exists a subset ` of 1. .... : such that
[
I.
j(1
I
) [
c
2
.
Set = '
I.
1
I
and 1 = 1 . Then [ j() [
c
2
_ 1 and
[ j(1) [=[ j(1) j() [
_[ j() [ [ j(1) [
c
2
[ j(1) [= 1.
Since =[ j [ (1) =[ j [ ()+ [ j [ (1) we have [ j [ () = or
[ j [ (1) = . If [ j [ (1) < we interchange and 1 and have
[ j() [ 1 and [ j [ (1) = .
Suppose [ j [ (A) = . Set 1
0
= A and choose disjoint sets
0
. 1
0
/
such that
0
' 1
0
= 1
0
and
[ j(
0
) [ 1 and [ j [ (1
0
) = .
Set 1
1
= 1
0
and choose disjoint sets
1
. 1
1
/ such that
1
' 1
1
= 1
1
and
[ j(
1
) [ 1 and [ j [ (1
1
) = .
By induction, we nd a measurable partition (
a
)
o
a=0
of the set =
oc)
'
o
a=0
a
such that [ j(
a
) [ 1 for every :. Now, since j is a complex
measure,
j() =
o
a=0
j(
a
).
But this series cannot converge, since the general term does not tend to zero
as : . This contradiction shows that [ j [ is a nite positive measure.
159
If j is a real measure we dene
j
=
1
2
([ j [ +j)
and
j
=
1
2
([ j [ j).
The measures j
and j
. then j(
a
) 0 as : but `(
a
) =
for each :.
PROOF. (a)=(b). If (b) is wrong there exist an 0 and sets 1
a
/,
: N
a
= '
o
I=a
1
I
and =
o
a=1
a
.
Since
a
_
a1
_ and j(
a
) < 2
a1
, it follows that j() = 0 and
using that [ ` [ (
a
) _[ `(1
a
) [. Theorem 1.1.2 (f) implies that
[ ` [ () = lim
ao
[ ` [ (
a
) _ .
This contradicts that [ ` [<< j.
(b)=(a). If 1 / and j(1) = 0 then to each 0. [ `(1) [< . and we
conclude that `(1) = 0. The theorem is proved.
162
Theorem 5.2.3. Let j be a onite positive measure and ` a real measure
on /.
(a) (The Lebesgue Decomposition of `) There exists a unique pair
of real measures `
o
and `
c
on/ such that
` = `
o
+`
c
. `
o
<< j. and `
c
l j.
If ` is a nite positive measure, `
o
and `
c
are nite positive measures.
(b) (The RadonNikodym Theorem) There exits a unique q 1
1
(j)
such that
d`
o
= qdj.
If ` is a nite positive measure, q _ 0 a.e. [j] .
The proof of Theorem 5.2.3 is based on the following
Lemma 5.2.1. Let (A. `. j) be a nite positive measure space and suppose
, 1
1
(j).
(a) If c R and
_
1
,dj _ cj(1). all 1 /
then , _ c a.e. [j].
(b) If / R and
_
1
,dj _ /j(1). all 1 /
then , _ / a.e. [j].
PROOF. (a) Set q = , c so that
_
1
qdj _ 0. all 1 /.
Now choose 1 = q 0 to obtain
0 _
_
1
qdj =
_
A
1
qdj _ 0
163
as
1
q _ 0 a.e. [j] . But then Example 2.1.2 yields
1
q = 0 a.e. [j] and we
get 1 2
j
. Thus q _ 0 a.e. [j] or , _ c a.e. [j] .
Part (b) follows in a similar way as Part (a) and the proof is omitted
here.
PROOF. Uniqueness: (a) Suppose `
(I)
o
and `
(I)
c
are real measures on /such
that
` = `
(I)
o
+`
(I)
c
. `
(I)
o
<< j. and `
(I)
c
l j
for / = 1. 2. Then
`
(1)
o
`
(2)
o
= `
(2)
c
`
(1)
c
and
`
(1)
o
`
(2)
o
<< j and `
(1)
o
`
(2)
o
l j.
Thus by applying Theorem 5.2.1, `
(1)
o
`
(2)
o
= 0 and `
(1)
o
= `
(2)
o
. From this
we conclude that `
(1)
c
= `
(2)
c
.
(b) Suppose q
I
1
1
(j). / = 1. 2. and
d`
o
= q
1
dj = q
2
dj.
Then /dj = 0 where / = q
1
q
2
. But then
_
I0
/dj = 0
and it follows that / _ 0 a.e. [j] . In a similar way we prove that / _ 0 a.e.
[j]. Thus / = 0 in 1
1
(j). that is q
1
= q
2
in 1
1
(j).
Existence: The beautiful proof that follows is due to von Neumann.
First suppose that j and ` are nite positive measures and set i = `+j.
Clearly, 1
1
(`) _ 1
1
(i) _ 1
2
(i). Moreover, if , : A R is measurable
_
A
[ , [ d` _
_
A
[ , [ di _
_
_
A
,
2
di
_
i(A)
and from this we conclude that the map
,
_
A
,d`
164
is a continuous linear functional on 1
2
(i). Therefore, in view of Theorem
4.2.2, there exists a q 1
2
(i) such that
_
A
,d` =
_
A
,qdi all , 1
2
(i).
Suppose 1 / and put , =
1
to obtain
0 _ `(1) =
_
1
qdi
and, since i _ `.
0 _
_
1
qdi _ i(1).
But then Lemma 5.2.1 implies that 0 _ q _ 1 a.e. [i] . Therefore, without
loss of generality we can assume that 0 _ q(r) _ 1 for all r A and, in
addition, as above
_
A
,d` =
_
A
,qdi all , 1
2
(i)
that is _
A
,(1 q)d` =
_
A
,qdj all , 1
2
(i).
Put = 0 _ q < 1, o = q = 1 . `
o
= `
. and `
c
= `
S
. Note that
` = `
+`
S
. The choice , =
S
gives j(o) = 0 and hence `
c
l j. Moreover,
the choice
, = (1 +... +q
a
)
1
where 1 /. gives
_
1
(1 q
a1
)d` =
_
1
(1 +... +q
a
)qdj.
By letting : and using monotone convergence
`(1 ) =
_
1
/dj.
where
/ = lim
ao
(1 +... +q
a
)q.
165
Since / is nonnegative and
`() =
_
A
/dj
it follows that / 1
1
(j). Moreover, the construction above shows that ` =
`
o
+`
c
.
In the next step we assume that j is a onite positive measure and `
a nite positive measure. Let (A
a
)
o
a=1
be a measurable partition of A such
that j(A
a
) < for every :. Let : be xed and apply Part (a) to the pair
j
An
and `
An
to obtain nite positive measures (`
An
)
o
and (`
An
)
c
such that
`
An
= (`
An
)
o
+ (`
An
)
c
. (`
An
)
o
<< j
An
. and (`
An
)
c
l j
An
and
d(`
An
)
o
= /
a
dj
An
(or (`
An
)
o
= /
a
j
An
)
where 0 _ /
a
1
1
(j
An
). Without loss of generality we can assume that
/
a
= 0 o A
a
and that (`
An
)
c
is concentrated on
a
_ A
a
where
a
?
j
.
In particular, (`
An
)
o
= /
a
j. Now
` = /j +
o
a=1
(`
An
)
c
where
/ =
o
a=1
/
a
and
_
A
/dj _ `(A) < .
Thus / 1
1
(j). Moreover, `
c
=
oc)
o
a=1
(`
An
)
c
is concentrated on '
o
a=1
a
?
j
. Hence `
c
l j.
Finally if ` is a real measure we apply what we have already proved to
the positive and negative variations of ` and we are done.
Example 5.2.1. Let ` be Lebesgue measure in the unit interval and j the
counting measure in the unit interval restricted to the class of all Lebesgue
measurable subsets of the unit interval. Clearly, ` << j. Suppose there is an
166
/ 1
1
(j) such that d` = /dj. We can assume that / _ 0 and the Markov
inequality implies that the set / _ is nite for every 0. But then
`(/ ]0. 1]) = lim
ao
`(/ _ 2
a
) = 0
and it follows that 1 = `(/ = 0) =
_
I=0
/dj = 0. which is a contradiction.
Corollary 5.2.1. Suppose j is a real measure. Then there exists
/ 1
1
([ j [)
such that [ /(r) [= 1 for all r A and
dj = /d [ j [ .
PROOF. Since [ j() [_[ j [ () for every /, the RadonNikodym
Theorem implies that dj = /d [ j [ for an appropriate / 1
1
([ j [). But
then d [ j [=[ / [ d [ j [ (see Exercise 1 in Chapter 5.1). Thus
[ j [ (1) =
_
1
[ / [ d [ j [. all 1 /
and Lemma 5.2.1 yields / = 1 a.e. [[ j [] . From this the theorem follows at
once.
Theorem 5.2.4. (Hahns Decomposition Theorem) Suppose j is a
real measure. There exists an / such that
j
= j
and j
= j
c
.
PROOF. Let dj = /d [ j [ where [ / [= 1. Note that /dj = d [ j [ . Set
= / = 1 . Then
dj
=
1
2
(d [ j [ +dj) =
1
2
(/ + 1)dj =
dj
167
and
dj
= dj
dj = (
1)dj =
cdj.
The theorem is proved.
If a real measure ` is absolutely continuous with respect to a onite
positive measure j, the RadonNikodym Theorem says that d` = ,dj for an
approprite , 1
1
(j). We sometimes write
, =
d`
dj
and call , the RadonNikodym derivate of ` with respect to j.
Exercises
1. Let j be a onite positive measure on (A. /) and (,
a
)
aN
a sequence of
measurable functions which converges in jmeasure to a measurable function
,. Moreover, suppose i is a nite positive measure on (A. /) such that
i << j. Prove that ,
a
, in imeasure.
2. Suppose j and i
a
. : N, are positive measures dened on the same
oalgebra and set o =
o
a=0
i
a
. Prove that
a) o l j if i
a
l j. all : N.
b) o << j if i
a
<< j. all : N.
3. Suppose j is a real measure and j = `
1
`
2
. where `
1
and `
2
are nite
positive measures. Prove that `
1
_ j
and `
2
_ j
.
4. Let `
1
and `
2
be mutually singular complex measures on the same o
algebra. Show that [ `
1
[l[ `
2
[ .
168
5. Let (A. /. j) be a onite positive measure space and suppose ` and t
are two probability measures dened on the oalgebra / such that ` << j
and t << j. Prove that
sup
/
[ `() t() [=
1
2
_
A
[
d`
dj
dt
dj
[ dj.
6. Let (A. /) be a measurable space and suppose j. i:/R and are real
measures. Prove that
(j +i)
_ j
+i
.
5.3. The Wiener Maximal Theorem and the Lebesgue Dierentia
tion Theorem
We say that a Lebesgue measurable function , in R
a
is locally Lebesgue in
tegrable and belongs to the class 1
1
cc
(:
a
) if ,
1
1
1
(:
a
) for each compact
subset 1 of R
a
. In a similar way , 1
1
cc
(
a
) if , is a Borel function such
that ,
1
1
1
(
a
) for each compact subset 1 of R
a
. If , 1
1
cc
(:
a
). we
dene the average
v
,(r) of , on the open ball 1(r. :) as
v
,(r) =
1
:
a
(1(r. :))
_
1(a,v)
,()d.
It follows from dominated convergence that the map (r. :)
v
,(r) of
R
a
]0. [ into R is continuous. The HardyLittlewood maximal function
,
+
is, by denition, ,
+
= sup
v0
v
[ , [ or, stated more explicitly,
,
+
(r) = sup
v0
1
:
a
(1(r. :))
_
1(a,v)
[ ,() [ d. r R
a
.
The function ,
+
: (R
a
. E(R
a
)) ([0. ] .
0,o
) is measurable since
,
+
= sup
v0
vQ
v
[ , [ .
169
Theorem 5.3.1. (Wieners Maximal Theorem) There exists a positive
constant C = C
a
< such that for all , 1
1
(:
a
).
:
a
(,
+
c) _
C
c
 , 
1
if c 0.
The proof of the Wiener Maximal Theorem is based on the following
remarkable result.
Lemma 5.3.1. Let ( be a collection of open balls in R
a
and set \ = '
1t
1.
If c < :
a
(\ ) there exist pairwise disjoint 1
1
. .... 1
I
( such that
I
i=1
:
a
(1
i
) 3
a
c.
PROOF. Let 1 _ \ be compact with :
a
(1) c. and suppose
1
. ....
j
(
cover 1. Let 1
1
be the largest of the
t
i
: (that is, 1
1
has maximal radius),
let 1
2
be the largest of the
t
i
: which are disjoint from 1
1
. let 1
S
be the
largest of the
t
i
: which are disjoint from 1
1
'1
2
. and so on until the process
stops after / steps. If 1
i
= 1(r
i
. :
i
) put 1
+
i
= 1(r
i
. 3:
i
). Then '
I
i=1
1
+
i
_ 1
and
c <
I
i=1
:
a
(1
+
i
) = 3
a
I
i=1
:
a
(1
i
).
The lemma is proved.
PROOF OF THEOREM 5.3.1. Set
1
c
= ,
+
c .
For each r 1
c
choose an :
a
0 such that
vx
[ , [ (r) c. If c < :
a
(1
c
).
by Lemma 5.3.1 there exist r
1
. .... r
I
1
c
such that the balls 1
i
= 1(r
i
. :
a
i
).
i = 1. .... /. are mutually disjoint and
I
i=1
:
a
(1
i
) 3
a
c.
But then
c < 3
a
I
i=1
:
a
(1
i
) <
3
a
c
I
i=1
_
1
i
[ ,() [ d _
3
a
c
_
R
n
[ ,() [ d.
170
The theorem is proved.
Theorem 5.3.2. If , 1
1
cc
(:
a
).
lim
v0
1
:
a
(1(r. :))
_
1(a,v)
,()d = ,(r) a.e. [:
a
] .
PROOF. Clearly, there is no loss of generality to assume that , 1
1
(:
a
).
Suppose q C
c
(R
a
) =
oc)
, C(R
a
); ,(r) = 0 if [ r [ large enough. Then
lim
v0
v
q(r) = q(r) all r R
a
.
Since
v
, , =
v
(, q) (, q) +
v
q q.
lim
v0
[
v
, , [_ (, q)
+
+ [ , q [ .
Now, for xed c 0.
:
a
(lim
v0
[
v
, , [ c)
_ :
a
((, q)
+
c
2
) +:
a
([ , q [
c
2
)
and the Wiener Maximal Theorem and the Markov Inequality give
:
a
(lim
v0
[
v
, , [ c)
_ (
2C
c
+
2
c
)  , q 
1
.
Remembering that C
c
(R
a
) is dense in 1
1
(:
a
). the theorem follows at once.
If , 1
1
cc
(:
a
) we dene the so called Lebesgue set 1
)
to be
1
)
=
_
r; lim
v0
1
:
a
(1(r. :))
_
1(a,v)
[ ,() ,(r) [ d = 0
_
.
Note that if is real and
1
q
=
_
r; lim
v0
1
:
a
(1(r. :))
_
1(a,v)
[ ,() [ d =[ ,(r) [
_
171
then :
a
('
qQ
1
c
q
) = 0. If r
qQ
1
q
.
lim
v0
1
:
a
(1(r. :))
_
1(a,v)
[ ,() ,(r) [ d _ 2 [ ,(r) [
for all rational numbers and it follows that :
a
(1
c
)
) = 0.
A family c
a
= (1
a,v
)
v0
of Borel sets in R
a
is said to shrink nicely to a
point r in R
a
if 1
a,v
_ 1(r. :) for each : and there is a positive constant c.
independent of :. such that :
a
(1
a,v
) _ c:
a
(1(r. :)).
Theorem 5.3.3. (The Lebesgue Dierentiation Theorem) Suppose
, 1
1
cc
(:
a
) and r 1
)
. Then
lim
v0
1
:
a
(1
a,v
)
_
1x;r
[ ,() ,(r) [ d = 0
and
lim
v0
1
:
a
(1
a,v
)
_
1x;r
,()d = ,(r).
PROOF. The result follows from the inequality
1
:
a
(1
a,v
)
_
1x;r
[ ,() ,(r) [ d _
1
c:
a
(1(r. :))
_
1(a,v)
[ ,() ,(r) [ d.
Theorem 5.3.4. Suppose ` is a real or positive measure on
a
and suppose
` l
a
. If ` is a positive measure it is assumed that `(1) < for every
compact subset of R
a
. Then
lim
v0
`(1
a,v
)
a
(1
a,v
)
= 0 a.e. [
a
]
If 1
a,v
= 1(r. :) and ` is the counting measure c
Q
n restricted to
a
then
` l
a
but the limit in Theorem 5.3.4 equals plus innity for all r R
a
. The
hypothesis "`(1) < for every compact subset of R
a
" in Theorem 5.3.4 is
not superous.
172
PROOF. Since [ `(1) [_[ ` [ (1) if 1
a
. there is no restriction to assume
that ` is a positive measure (cf. Theorem 3.1.4). Moreover, since
`(1
a,v
)
a
(1
a,v
)
_
`(1(r. :))
c
a
(1(r. :))
it can be assumed that 1
a,v
= 1(r. :). Note that the function `(1(. :))
is Borel measurable for xed : 0 and `(1(r. )) left continuous for xed
r R
a
.
Suppose ?
A
and
a
= (
a
)
I
i=1
a
(1
a
i
) < 3
a
o
1
I
i=1
`(1
a
i
)
_ 3
a
o
1
`(l) < 3
a
o
1
.
Thus
a
(\ ) _ 3
a
o
1
. Since \ _ 1
a
and 0 is arbitrary,
a
(1) = 0
and the theorem is proved.
Corollary 5.3.1. Suppose 1 : R R is an increasing function. Then 1
t
(r)
exists for almost all r with respect to linear measure.
PROOF. Let 1 be the set of all points of discontinuity of 1. Suppose <
c < / < and 0. If c < r
1
< ... < r
a
< /. where r
1
. .... r
a
1 and
1(r
I
+) 1(r
I
) _ . / = 1. .... :
173
then
: _
a
I=1
(1(r
I
+) 1(r
I
)) _ 1(/) 1(c).
Thus 1 [c. /] is at most denumerable and it follows that 1 is at most
denumerable. Set H(r) = 1(r+) 1(r). r R. and let (r
)
)
.
)=0
be an
enumeration of the members of the set H 0 . Moreover, for any c 0.
[a
j
[<o
H(r
)
) _
[a
j
[<o
(1(r
)
+) 1(r
)
))
_ 1(c) 1(c) < .
Now, if we introduce
i() =
.
)=0
H(r
)
)o
a
j
().
then i is a positive measure such that i(1) < for each compact subset
1 of R. Furthermore, if / is a nonzero real number.
[
1
/
(H(r +/) H(r) [_
1
[ / [
(H(r +/) +H(r)) _ 4
1
4 [ / [
i(1(r. 2 [ / [)
and Theorem 5.3.4 implies that H
t
(r) = 0 a.e. [
1
]. Therefore, without loss
of generality it may be assumed that 1 is right continuous and, in addition,
there is no restriction to assume that 1(+) 1() < .
By Section 1.6 1 induces a nite positive Borel measure j such that
j(]r. ]) = 1() 1(r) if r < .
Now consider the Lebesgue decomposition
dj = ,d
1
+d`
where , 1
1
(
1
) and ` l
1
. If r < .
1() 1(r) =
_
j
a
,(t)dt +`(]r. ])
and the previous two theorems imply that
lim
ja
1() 1(r)
r
= ,(r) a.e. [
1
]
174
If < r.
1(r) 1() =
_
a
j
,(t)dt +`(]. r])
and we get
lim
ja
1() 1(r)
r
= ,(r) a.e. [
1
] .
The theorem is proved.
Exercises
1. Suppose 1 : R R is increasing and let , 1
1
cc
(
1
) be such that
1
t
(r) = ,(r) a.e. [
1
] . Prove that
_
j
a
,(t)dt _ 1() 1(r) if < r _ < .
5.4. Absolutely Continuous Functions and Functions of Bounded
Variation
Throughout this section c and / are reals with c < / and to simplify notation
we set :
o,b
= :
[[o,b[
. If , 1
1
(:
o,b
) we know from the previous section that
the function
(1,)(r) =
oc)
_
a
o
,(t)dt. c _ r _ /
has the derivative ,(r) a.e. [:
o,b
] . that is
d
dr
_
a
o
,(t)dt = ,(r) a.e. [:
o,b
] .
Our next main task will be to describe the range of the linear map 1.
A function 1 : [c. /] R is said to be absolutely continuous if to every
0 there exists a o 0 such that
a
i=1
[ /
i
c
i
[< o implies
a
i=1
[ 1(/
i
) 1(c
i
) [<
175
whenever ]c
1
. /
1
[ . .... ]c
a
. /
a
[ are disjoint open subintervals of [c. /]. It is ob
vious that an absolutely continuous function is continuous. It can be proved
that the Cantor function is not absolutely continuous.1.
Theorem 5.4.1. If , 1
1
(:
o,b
). then 1, is absolutely continuous.
PROOF. There is no restriction to assume , _ 0. Set
d` = ,d:
o,b
.
By Theorem 5.2.2, to every 0 there exists a o 0 such that `() <
for each Lebesgue set in [c. /] such that :
o,b
() < o. Now restricting to
be a nite disjoint union of open intervals, the theorem follows.
Suppose _ c < , _ and 1 : ]c. ,[ R. For every r ]c. ,[ we
dene
1
1
(r) = sup
a
i=1
[ 1(r
i
) 1(r
i1
) [
where the supremum is taken over all positive integers : and all choices
(r
i
)
a
i=0
such that
c < r
0
< r
1
< ... < r
a
= r < ,.
The function 1
1
: ]c. ,[ [0. ] is called the total variation of 1. Note that
1
1
is increasing. If 1
1
is a bounded function, 1 is said to be of bounded varia
tion. A bounded increasing function on R is of bounded variation. Therefore
the dierence of two bounded increasing functions on R is of bounded vari
ation. Interestingly enough, the converse is true. In the special case ]c. ,[ =
R we write 1 1\ if 1 is of bounded variation.
Example 5.4.1. Let ,:RR be a Lebesgue integrable function and dene
q(r) =
_
o
o
c
[j[
,(r )d if r R.
176
We claim that q is a continuous function of bounded variation.
To prov this claim put /(r) = c
[a[
if r R so that
q(r) =
_
o
o
/(r ),()d.
We rst prove that the function / is continuous. To this end suppose
(c
a
)
aN
+
is a sequence of real numbers which converges to a real number c.
Then
[ /(c
a
),()) [[ ,()) [ if : N
and R
and since , /
1
(:) by dominated convergence,
lim
ao
q(c
a
) =
_
o
o
lim
ao
/(c
a
),()d =
_
o
o
/(c ),()d = q(c)
and it follows that q is continuous.
We next prove that the function / is of bounded variation. Recall that
the total variation function 1
I
(r) of / at the point r is the supremum of all
sums of the type
a
i=1
[ /(r
i
) /(r
i1
) [
where
< r
0
< r
1
< ... < r
a
= r < .
We claim that / is the dierence of two bounded increasing functions. Setting
(r) = c
nin(0,a)
and observing that
/(r) = (r) +(r) 1
the claim above is obvious and
C =
oc)
sup 1
I
< .
Moreover, if < r
0
< r
1
< ... < r
a
< .
a
i=1
[ q(r
i
) q(r
i1
) [=
177
a
i=1
[
_
o
o
/(r
i
),()d
_
o
o
/(r
i1
),()d [
_
a
i=1
_
o
o
[ /(r
i
) /(r
i1
) [[ ,() [ d
_
o
o
_
a
i=1
[ /(r
i
) /(r
i1
) [
_
[ ,() [ d
_
_
o
o
C [ ,() [ d = C
_
o
o
[ ,() [ d < .
Hence q is of bounded variation.
Theorem 5.4.2. Suppose 1 1\.
(a) The functions 1
1
+1 and 1
1
1 are increasing and
1 =
1
2
(1
1
+1)
1
2
(1
1
1).
In particular, 1 is dierentiable almost everywhere with respect to linear
measure.
(b) If 1 is right continuous, then so is 1
1
.
PROOF. (a) Let r < and 0. Choose r
0
< r
1
< ... < r
a
= r such that
a
i=1
[ 1(r
i
) 1(r
i1
) [_ 1
)
(r) .
Then
1
1
() +1()
_
a
i=1
[ 1(r
i
) 1(r
i1
) [ + [ 1() 1(r) [ +(1() 1(r)) +1(r)
_ 1
1
(r) +1(r)
and, since 0 is arbitrary, 1
1
() +1() _ 1
1
(r) +1(r). Hence 1
1
+1 is
increasing. Finally, replacing 1 by 1 it follows that the function 1
1
1
is increasing.
178
(b) If c R and r c.
1
)
(r) = 1
1
(c) + sup
a
i=1
[ 1(r
i
) 1(r
i1
) [
where the supremum is taken over all positive integers : and all choices
(r
i
)
a
i=0
such that
c = r
0
< r
1
< ... < r
a
= r.
Suppose 1
1
(c+) 1
1
(c) where c R. Then there is an 0 such that
1
1
(r) 1
1
(c)
for all r c. Now, since 1 is right continuous at the point c, for xed r c
there exists a partition
c < r
11
< ... < r
1a
1
= r
such that
a
1
i=2
[ 1(r
1i
) 1(r
1i1
) [ .
But
1
1
(r
11
) 1
1
(c)
and we get a partition
c < r
21
< ... < r
2a
2
= r
11
such that
a
2
i=2
[ 1(r
2i
) 1(r
2i1
) [ .
Summing up we have got a partition of the interval [r
21
. r] with
a
2
i=2
[ 1(r
2i
) 1(r
2i1
) [ +
a
1
i=2
[ 1(r
1i
) 1(r
1i1
) [ 2.
By repeating the process the total variation of 1 becomes innite, which is
a contradiction. The theorem is proved.
Theorem 5.4.3. Suppose 1 : [c. /] R is absolutely continuous. Then
there exists a unique , 1
1
(:
o,b
) such that
1(r) = 1(c) +
_
a
o
,(t)dt. c _ r _ /.
179
In particular, the range of the map 1 equals the set of all realvalued absolutely
continuous maps on [c. /] which vanish at the point c.
PROOF. Set 1(r) = 1(c) if r < c and 1(r) = 1(/) if r /. There exists a
o 0 such that
a
i=1
[ /
i
c
i
[< o implies
a
i=1
[ 1(/
i
) 1(c
i
) [< 1
whenever ]c
1
. /
1
[ . .... ]c
a
. /
a
[ are disjoint subintervals of [c. /] . Let j be the
least positive integer such that c + jo _ /. Then 1
1
_ j and 1 1\. Let
1 = G H. where G =
1
2
(1
1
+ 1) and H =
1
2
(1
1
1). There exist nite
positive Borel measures `
G
and `
1
such that
`
G
(]r. ]) = G() G(r). r _
and
`
1
(]r. ]) = H() H(r). r _ .
If we dene ` = `
G
`
1
.
`(]r. ]) = 1() 1(r). r _ .
Clearly,
`(]r. [) = 1() 1(r). r _
since 1 is continuous.
Our next task will be to prove that ` <<
1
. To this end, suppose
and
1
() = 0. Now choose 0 and let o 0 be as in the denition of the
absolute continuity of 1 on [c. /] . For each / N
a
i=1
[ /
i
c
i
[< o
for every : and, accordingly from this,
o
i=1
[ 1(/
i
) 1(c
i
) [_
and
[ `(\
I
) [_
o
i=1
[ `(]c
i
. /
i
[) [_ .
180
Thus [ `() [_ and since 0 is arbitrary, `() = 0. From this ` <<
1
and the theorem follows at once.
Suppose (A. /. j) is a positive measure space. From now on we write
, 1
1
(j) if there exist a q /
1
(j) and an / such that
c
?
j
and
,(r) = q(r) for all r . Furthermore, we dene
_
A
,dj =
_
A
qdj
(cf the discussion in Section 2). Note that ,(r) need not be dened for every
r A.
Corollary 5.4.1. A function , : [c. /] R is absolutely continuous if and
only if the following conditions are true:
(i) ,
t
(r) exists for :
o,b
almost all r [c. /]
(ii) ,
t
1
1
(:
o,b
)
(iii) ,(r) = ,(c) +
_
a
o
,
t
(t)dt. all r [c. /] .
Exercises
1. Suppose , : [0. 1] R satises ,(0) = 0 and
,(r) = r
2
sin
1
r
2
if 0 < r _ 1.
Prove that , is dierentiable everywhere but , is not absolutely continuous.
2. Suppose c is a positive real number and , a function on [0. 1] such that
,(0) = 0 and ,(r) = r
c
sin
1
a
. 0 < r _ 1. Prove that , is absolutely
continuous if and only if c 1.
181
3. Suppose ,(r) = r cos(:,r) if 0 < r < 2 and ,(r) = 0 if r R ]0. 2[ .
Prove that , is not of bounded variation on R.
4 A function , : [c. /] R is a Lipschitz function, that is there exists a
positive real number C such that
[ ,(r) ,() [_ C [ r [
for all r. [c. /] . Show that , is absolutely continuous and [ ,
t
(r) [_ C
a.e. [:
o,b
] .
5. Suppose , : [c. /] R is absolutely continuous. Prove that
1
j
(r) =
_
a
o
[ ,
t
(t) [ dt. c < r < /
if q is the restriction of , to the open interval ]c. /[ .
6. Suppose , and q are realvalued absolutely continuous functions on the
compact interval [c. /]. Show that the function / = max(,. q) is absolutely
continuous and /
t
_ max(,
t
. q
t
) a.e. [:
o,b
].
7. Suppose (A. /. j) is a nite positive measure space and , 1
1
(j). Dene
q(t) =
_
A
[ ,(r) t [ dj(r). t R.
Prove that q is absolutely continuous and
q(t) = q(c) +
_
t
o
(j(, _ :) j(, _ :))d: if c. t R.
8. Let j and i be probability measures on (A. /) such that [ ji [ (A) = 2.
Show that j l i.

182
5.5. Conditional Expectation
Let (. T. 1) be a probability space and suppose 1
1
(1). Moreover,
suppose ( _ T is a oalgebra and set
j() = 1 [] . (
and
`() =
_
d1. (.
It is trivial that ?
j
= ?
1
( _ ?
A
and the RadonNikodym Theorem shows
there exists a unique j 1
1
(j) such that
`() =
_
jdj all (
or, what amounts to the same thing,
_
d1 =
_
jd1 all (.
Note that j is ((. )measurable. The random variable j is called the con
ditional expectation of given ( and it is standard to write j = 1 [ [ (] .
A sequence of oalgebras (T
a
)
o
a=1
is called a ltration if
T
a
_ T
a1
_ T.
If (T
a
)
o
a=1
is a ltration and (
a
)
o
a=1
is a sequence of real valued random
variables such that for each :.
(a)
a
1
1
(1)
(b)
a
is (T
a
. )measurable
(c) 1
_
a1
[ T
a
=
a
then (
a
. T
a
)
o
a=1
is called a martingale. There are very nice connections
between martingales and the theory of dierentiation (see e.g Billingsley [1]
and Malliavin [`]).
183
CHAPTER 6
COMPLEX INTEGRATION
Introduction
In this section, in order to illustrate the power of Lebesgue integration, we
collect a few results, which often appear with uncomplete proofs at the un
dergraduate level.
6.1. Complex Integrand
So far we have only treated integration of functions with their values in R or
[0. ] and it is the purpose of this section to discuss integration of complex
valued functions.
Suppose (A. /. j) is a positive measure. Let ,. q 1
1
(j). We dene
_
A
(, +iq)dj =
_
A
,dj +i
_
A
qdj.
If c and , are real numbers,
_
A
(c +i,)(, +iq)dj =
_
A
((c, ,q) +i(cq +,,))dj
=
_
A
(c, ,q)dj +i
_
A
(cq +,,)dj
= c
_
A
,dj ,
_
A
qdj +ic
_
A
qdj +i,
_
A
,dj
= (c +i,)(
_
A
,dj +i
_
A
qdj)
= (c +i,)
_
A
(, +iq)dj.
184
We write , 1
1
(j; C) if Re ,. Im , 1
1
(j) and have, for every , 1
1
(j; C)
and complex c.
_
A
c,dj = c
_
A
,dj.
Clearly, if ,. q 1
1
(j; C). then
_
A
(, +q)dj =
_
A
,dj +
_
A
qdj.
Now suppose j is a complex measure on /. If
, 1
1
(j; C) =
oc)
1
1
(j
Re
; C) 1
1
(j
Im
; C)
we dene
_
A
,dj =
_
A
,dj
Re
+i
_
A
,dj
Im
.
It follows for every ,. q 1
1
(j; C) and c C that
_
A
c,dj = c
_
A
,dj.
and
_
A
(, +q)dj =
_
A
,dj +
_
A
qdj.

6.2. The Fourier Transform
Below, if r = (r
1
. .... r
a
) and = (
1
. ....
a
) R
a
. we let
r. =
a
I=1
r
I
I
.
and
[ r [=
_
r. .
If j is a complex measure on
a
(or
a
) the Fourier transform ^ j of j is
dened by
^ j() =
_
R
n
c
ia,j)
dj(r). R
a
.
185
Note that
^ j(0) = j(R
a
).
The Fourier transform of a function , 1
1
(:
a
; C) is dened by
^
,() = ^ j() where dj = ,d:
a
.
Theorem 6.2.1. The canonical Gaussian measure
a
in R
a
has the Fourier
transform
^
a
() = c
jyj
2
2
.
PROOF. Since
a
=
1
...
1
(: factors)
it is enough to consider the special case : = 1. Set
q() = ^
1
() =
1
_
2:
_
R
c
x
2
2
cos rdr.
Note that q(0) = 1. Since
[
cos r( +/) cos r
/
[_[ r [
the Lebesgue Dominated Convergence Theorem yields
q
t
() =
1
_
2:
_
R
rc
x
2
2
sin rdr
(Exercise: Prove this by using Example 2.2.1). Now, by partial integration,
q
t
() =
1
_
2:
_
c
x
2
2
sin r
_
a=o
a=o
_
2:
_
R
c
x
2
2
cos rdr
that is
q
t
() +q() = 0
and we get
q() = c
y
2
2
.
186
If = (
1
. ....
a
) is an R
a
valued random variable with
I
1
1
(1).
/ = 1. .... :. the characteristic function c
of is dened by
c
() = 1
_
c
i,j)
=
^
1
(). R
a
.
For example, if `(0. o). then = oG. where G `(0. 1). and we get
c
() = 1
_
c
iG,oj)
= ^
1
(o)
= c
2
y
2
2
.
Choosing = 1 results in
1
_
c
i
= c
1
2
1[
2
]
if `(0. o).
Thus if (
I
)
a
I=1
is a centred realvalued Gaussian process
1
_
c
iY
n
k=1
j
k
= exp(
1
2
1
_
(
a
I=1
I
)
2
= exp(
1
2
a
I=1
2
I
1
_
2
I
1)<Ia
I
1
_
).
In particular, if
1
_
= 0. , ,= /
we see that
1
_
c
iY
n
k=1
j
k
=
a
I=1
c
y
2
k
2
1[
2
k
]
or
1
_
c
iY
n
k=1
j
k
=
a
I=1
1
_
c
ij
k
.
Stated otherwise, the Fourier tranforms of the measures 1
(
1
,...,
n
)
and
a
I=1
1
k
agree. Below we will show that complex measures in R
a
with the same
Fourier transforms are equal and we get the following
Theorem 6.2.2. Let (
I
)
a
I=1
be a centred realvalued Gaussian process with
uncorrelated components, that is
1
_
= 0. , ,= /.
187
Then the random variables
1
. ....
a
are independent.
6.3 Fourier Inversion
Theorem 6.3.1. Suppose , 1
1
(:
a
). If
^
, 1
1
(:
a
) and f is bounded
and continuous
,(r) =
_
R
d
c
ij,a)
^
,()
d
(2:)
a
. r R
a
.
PROOF. Choose 0. We have
_
R
n
c
ij,a)
c
"
2
2
[j[
2
^
,()
d
(2:)
a
=
_
R
n
,(n)
__
R
n
c
ij,a&)
c
"
2
2
[j[
2 d
(2:)
a
_
dn
where the right side equals
_
R
n
,(n)
__
R
n
c
i,
xu
"
)
c
1
2
[[
2 d
_
2:
a
_
dn
_
2:
a
a
=
_
R
n
,(n)c
1
2"
2
[&a[
2 dn
_
2:
a
a
=
_
R
n
,(r +.)c
1
2
[:[
2 d.
_
2:
a
.
Thus
_
R
n
c
ij,a)
c
"
2
2
[j[
2
^
,()
d
(2:)
a
=
_
R
n
,(r +.)c
1
2
[:[
2 d.
_
2:
a
.
By letting 0 and using the Lebesgue Dominated Convergence Theorem,
Theorem 6.3.1 follows at once.
Recall that C
o
c
(R
a
) denotes the class of all functions , : R
a
R
with compact support which are innitely many times dierentiable. If ,
C
o
c
(R
a
) then
^
, 1
1
(:
a
). To see this, suppose
I
,= 0 and use partial
integration to obtain
^
,() =
_
R
d
c
ia,j)
,(r)dr =
1
i
I
_
R
d
c
ia,j)
,
t
a
k
(r)dr
and
^
,() =
1
(i
I
)

_
R
d
c
ia,j)
,
()
a
k
(r)dr.  N.
188
Thus
[
I
[

[
^
,() [_
_
R
n
[ ,
()
a
k
(r) [ dr.  N
and we conclude that
sup
jR
n
(1+ [ [)
a1
[
^
,() [< .
and, hence,
^
, 1
1
(:
a
).
Corollary 6.3.1. If , C
o
c
(R
a
). then
^
, 1
1
(:
a
) and
,(r) =
_
R
n
c
ij,a)
^
,()
d
(2:)
a
. r R
a
.
Corollary 6.3.2 If j is a complex Borel measure in R
a
and ^ j = 0. then
j = 0.
PROOF. Choose , C
o
c
(R
a
). We multiply the equation ^ j() = 0 by
`
)(j)
(2)
n
and integrate over R
a
with respect to Lebesgue measure to obtain
_
R
n
,(r)dj(r) = 0.
Since , C
o
c
(R
a
) is arbitrary it follows that j = 0. The theorem is proved.
6.4. NonDierentiability of Brownian Paths
Let `1 denote the set of all realvalued continuous function dened on the
unit interval which are not dierentiable at any point. It is well known that
`1 is nonempty. In fact, if i is Wiener measure on C [0. 1], r `1
a.e. [i] . The purpose of this section is to prove this important property of
Brownian motion.
189
Let \ = (\(t))
0t1
be a realvalued Brownian motion in the time
interval [0. 1] such that every path t \(t). 0 _ t _ 1 is continuous. Recall
that
1 [\(t)] = 0
and
1 [\(:)\(t)] = min(:. t).
If
0 _ t
0
_ ... _ t
a
_ 1
and 1 _ , < / _ :
1 [(\(t
I
) \(t
I1
))(\(t
)
) \(t
)1
)]
= 1 [(\(t
I
)\(t
)
)]1 [\(t
I
)\(t
)1
)]1 [\(t
I1
)\(t
)
)]+1 [\(t
I1
)\(t
)1
)]
= t
)
t
)1
t
)
+t
)1
= 0.
From the previous section we now infer that the random variables
\(t
1
) \(t
0
). .... \(t
a
) \(t
a1
)
are independent.
Theorem 7. The function t \(t). 0 _ t _ 1 is not dierentiable at
any point t [0. 1] a.s. [1] .
PROOF. Without loss of generality we assume the underlying probability
space is complete. Let c. 0 and denote by 1(c. ) the set of all .
such that
[ \(t) \(:) [< c [ t : [ if t [: . : +] [0. 1]
for some : [0. 1] . It is enough to prove that the set
o
_
)=1
o
_
I=1
1(,.
1
/
).
is of probability zero. From now on let c. 0 be xed. It is enough to
prove 1 [1(c. )] = 0 .
190
Set
A
a,I
= max
I)<IS
[ \(
, + 1
:
) \(
,
:
) [
for each integer : 3 and / 0. .... : 3 .
Let : 3 be so large that
3
:
_ .
We claim that
1(c. ) _
_
min
0IaS
A
a,I
_
6c
:
_
.
If . 1(c. ) there exists an : [0. 1] such that
[ \(t) \(:) [_ c [ t : [ if t [: . : +] [0. 1] .
Now choose / 0. .... : 3 such that
:
_
/
:
.
/
:
+
3
:
_
.
If / _ , < / + 3.
[ \(
, + 1
:
) \(
,
:
) [_[ \(
, + 1
:
) \(:) [ + [ \(:) \(
,
:
) [
_
6c
:
and, hence, A
a,I
_
6c
a
. Now
1(c. ) _
_
min
0IaS
A
a,I
_
6c
:
_
and it is enough to prove that
lim
ao
1
_
min
0IaS
A
a,I
_
6c
:
_
= 0.
But
1
_
min
0IaS
A
a,I
_
6c
:
_
_
aS
I=0
1
_
A
a,I
_
6c
:
_
191
= (: 2)1
_
A
a,0
_
6c
:
_
_ :1
_
A
a,0
_
6c
:
_
= :(1
_
[ \(
1
:
) [_
6c
:
_
)
S
= :(1([ \(1) [_
6c
_
:
)
S
_ :(
12c
_
2::
)
S
.
where the right side converges to zero as : . The theorem is proved.
Recall that a function of bounded variation possesses a derivative a.e.
with respect to Lebesgue measure. Therefore, with probability one, a Brown
ian path is not of bounded variation. In view of this an integral of the type
_
1
0
,(t)d\(t)
cannot be interpreted as an ordinary Stieltjes integral. Nevertheless, such
an integral can be dened by completely dierent means and is basic in, for
example, nancial mathematics.
192
CHAPTER 6
COMPLEX INTEGRATION
Introduction
In this section, in order to illustrate the power of Lebesgue integration, we
collect a few results, which often appear with uncomplete proofs at the un
dergraduate level.
6.1. Complex Integrand
So far we have only treated integration of functions with their values in R or
[0. ] and it is the purpose of this section to discuss integration of complex
valued functions.
Suppose (A. /. j) is a positive measure. Let ,. q 1
1
(j). We dene
_
A
(, +iq)dj =
_
A
,dj +i
_
A
qdj.
If c and , are real numbers,
_
A
(c +i,)(, +iq)dj =
_
A
((c, ,q) +i(cq +,,))dj
=
_
A
(c, ,q)dj +i
_
A
(cq +,,)dj
= c
_
A
,dj ,
_
A
qdj +ic
_
A
qdj +i,
_
A
,dj
= (c +i,)(
_
A
,dj +i
_
A
qdj)
= (c +i,)
_
A
(, +iq)dj.
193
We write , 1
1
(j; C) if Re ,. Im , 1
1
(j) and have, for every , 1
1
(j; C)
and complex c.
_
A
c,dj = c
_
A
,dj.
Clearly, if ,. q 1
1
(j; C). then
_
A
(, +q)dj =
_
A
,dj +
_
A
qdj.
Now suppose j is a complex measure on /. If
, 1
1
(j; C) =
oc)
1
1
(j
Re
; C) 1
1
(j
Im
; C)
we dene
_
A
,dj =
_
A
,dj
Re
+i
_
A
,dj
Im
.
It follows for every ,. q 1
1
(j; C) and c C that
_
A
c,dj = c
_
A
,dj.
and
_
A
(, +q)dj =
_
A
,dj +
_
A
qdj.

6.2. The Fourier Transform
Below, if r = (r
1
. .... r
a
) and = (
1
. ....
a
) R
a
. we let
r. =
a
I=1
r
I
I
.
and
[ r [=
_
r. .
If j is a complex measure on
a
(or
a
) the Fourier transform ^ j of j is
dened by
^ j() =
_
R
n
c
ia,j)
dj(r). R
a
.
194
Note that
^ j(0) = j(R
a
).
The Fourier transform of a function , 1
1
(:
a
; C) is dened by
^
,() = ^ j() where dj = ,d:
a
.
Theorem 6.2.1. The canonical Gaussian measure
a
in R
a
has the Fourier
transform
^
a
() = c
jyj
2
2
.
PROOF. Since
a
=
1
...
1
(: factors)
it is enough to consider the special case : = 1. Set
q() = ^
1
() =
1
_
2:
_
R
c
x
2
2
cos rdr.
Note that q(0) = 1. Since
[
cos r( +/) cos r
/
[_[ r [
the Lebesgue Dominated Convergence Theorem yields
q
t
() =
1
_
2:
_
R
rc
x
2
2
sin rdr
(Exercise: Prove this by using Example 2.2.1). Now, by partial integration,
q
t
() =
1
_
2:
_
c
x
2
2
sin r
_
a=o
a=o
_
2:
_
R
c
x
2
2
cos rdr
that is
q
t
() +q() = 0
and we get
q() = c
y
2
2
.
195
If = (
1
. ....
a
) is an R
a
valued random variable with
I
1
1
(1).
/ = 1. .... :. the characteristic function c
of is dened by
c
() = 1
_
c
i,j)
=
^
1
(). R
a
.
For example, if `(0. o). then = oG. where G `(0. 1). and we get
c
() = 1
_
c
iG,oj)
= ^
1
(o)
= c
2
y
2
2
.
Choosing = 1 results in
1
_
c
i
= c
1
2
1[
2
]
if `(0. o).
Thus if (
I
)
a
I=1
is a centred realvalued Gaussian process
1
_
c
iY
n
k=1
j
k
= exp(
1
2
1
_
(
a
I=1
I
)
2
= exp(
1
2
a
I=1
2
I
1
_
2
I
1)<Ia
I
1
_
).
In particular, if
1
_
= 0. , ,= /
we see that
1
_
c
iY
n
k=1
j
k
=
a
I=1
c
y
2
k
2
1[
2
k
]
or
1
_
c
iY
n
k=1
j
k
=
a
I=1
1
_
c
ij
k
.
Stated otherwise, the Fourier tranforms of the measures 1
(
1
,...,
n
)
and
a
I=1
1
k
agree. Below we will show that complex measures in R
a
with the same
Fourier transforms are equal and we get the following
Theorem 6.2.2. Let (
I
)
a
I=1
be a centred realvalued Gaussian process with
uncorrelated components, that is
1
_
= 0. , ,= /.
196
Then the random variables
1
. ....
a
are independent.
6.3 Fourier Inversion
Theorem 6.3.1. Suppose , 1
1
(:
a
). If
^
, 1
1
(:
a
) and f is bounded
and continuous
,(r) =
_
R
d
c
ij,a)
^
,()
d
(2:)
a
. r R
a
.
PROOF. Choose 0. We have
_
R
n
c
ij,a)
c
"
2
2
[j[
2
^
,()
d
(2:)
a
=
_
R
n
,(n)
__
R
n
c
ij,a&)
c
"
2
2
[j[
2 d
(2:)
a
_
dn
where the right side equals
_
R
n
,(n)
__
R
n
c
i,
xu
"
)
c
1
2
[[
2 d
_
2:
a
_
dn
_
2:
a
a
=
_
R
n
,(n)c
1
2"
2
[&a[
2 dn
_
2:
a
a
=
_
R
n
,(r +.)c
1
2
[:[
2 d.
_
2:
a
.
Thus
_
R
n
c
ij,a)
c
"
2
2
[j[
2
^
,()
d
(2:)
a
=
_
R
n
,(r +.)c
1
2
[:[
2 d.
_
2:
a
.
By letting 0 and using the Lebesgue Dominated Convergence Theorem,
Theorem 6.3.1 follows at once.
Recall that C
o
c
(R
a
) denotes the class of all functions , : R
a
R
with compact support which are innitely many times dierentiable. If ,
C
o
c
(R
a
) then
^
, 1
1
(:
a
). To see this, suppose
I
,= 0 and use partial
integration to obtain
^
,() =
_
R
d
c
ia,j)
,(r)dr =
1
i
I
_
R
d
c
ia,j)
,
t
a
k
(r)dr
and
^
,() =
1
(i
I
)

_
R
d
c
ia,j)
,
()
a
k
(r)dr.  N.
197
Thus
[
I
[

[
^
,() [_
_
R
n
[ ,
()
a
k
(r) [ dr.  N
and we conclude that
sup
jR
n
(1+ [ [)
a1
[
^
,() [< .
and, hence,
^
, 1
1
(:
a
).
Corollary 6.3.1. If , C
o
c
(R
a
). then
^
, 1
1
(:
a
) and
,(r) =
_
R
n
c
ij,a)
^
,()
d
(2:)
a
. r R
a
.
Corollary 6.3.2 If j is a complex Borel measure in R
a
and ^ j = 0. then
j = 0.
PROOF. Choose , C
o
c
(R
a
). We multiply the equation ^ j() = 0 by
`
)(j)
(2)
n
and integrate over R
a
with respect to Lebesgue measure to obtain
_
R
n
,(r)dj(r) = 0.
Since , C
o
c
(R
a
) is arbitrary it follows that j = 0. The theorem is proved.
6.4. NonDierentiability of Brownian Paths
Let `1 denote the set of all realvalued continuous function dened on the
unit interval which are not dierentiable at any point. It is well known that
`1 is nonempty. In fact, if i is Wiener measure on C [0. 1], r `1
a.e. [i] . The purpose of this section is to prove this important property of
Brownian motion.
198
Let \ = (\(t))
0t1
be a realvalued Brownian motion in the time
interval [0. 1] such that every path t \(t). 0 _ t _ 1 is continuous. Recall
that
1 [\(t)] = 0
and
1 [\(:)\(t)] = min(:. t).
If
0 _ t
0
_ ... _ t
a
_ 1
and 1 _ , < / _ :
1 [(\(t
I
) \(t
I1
))(\(t
)
) \(t
)1
)]
= 1 [(\(t
I
)\(t
)
)]1 [\(t
I
)\(t
)1
)]1 [\(t
I1
)\(t
)
)]+1 [\(t
I1
)\(t
)1
)]
= t
)
t
)1
t
)
+t
)1
= 0.
From the previous section we now infer that the random variables
\(t
1
) \(t
0
). .... \(t
a
) \(t
a1
)
are independent.
Theorem 7. The function t \(t). 0 _ t _ 1 is not dierentiable at
any point t [0. 1] a.s. [1] .
PROOF. Without loss of generality we assume the underlying probability
space is complete. Let c. 0 and denote by 1(c. ) the set of all .
such that
[ \(t) \(:) [< c [ t : [ if t [: . : +] [0. 1]
for some : [0. 1] . It is enough to prove that the set
o
_
)=1
o
_
I=1
1(,.
1
/
).
is of probability zero. From now on let c. 0 be xed. It is enough to
prove 1 [1(c. )] = 0 .
199
Set
A
a,I
= max
I)<IS
[ \(
, + 1
:
) \(
,
:
) [
for each integer : 3 and / 0. .... : 3 .
Let : 3 be so large that
3
:
_ .
We claim that
1(c. ) _
_
min
0IaS
A
a,I
_
6c
:
_
.
If . 1(c. ) there exists an : [0. 1] such that
[ \(t) \(:) [_ c [ t : [ if t [: . : +] [0. 1] .
Now choose / 0. .... : 3 such that
:
_
/
:
.
/
:
+
3
:
_
.
If / _ , < / + 3.
[ \(
, + 1
:
) \(
,
:
) [_[ \(
, + 1
:
) \(:) [ + [ \(:) \(
,
:
) [
_
6c
:
and, hence, A
a,I
_
6c
a
. Now
1(c. ) _
_
min
0IaS
A
a,I
_
6c
:
_
and it is enough to prove that
lim
ao
1
_
min
0IaS
A
a,I
_
6c
:
_
= 0.
But
1
_
min
0IaS
A
a,I
_
6c
:
_
_
aS
I=0
1
_
A
a,I
_
6c
:
_
200
= (: 2)1
_
A
a,0
_
6c
:
_
_ :1
_
A
a,0
_
6c
:
_
= :(1
_
[ \(
1
:
) [_
6c
:
_
)
S
= :(1([ \(1) [_
6c
_
:
)
S
_ :(
12c
_
2::
)
S
.
where the right side converges to zero as : . The theorem is proved.
Recall that a function of bounded variation possesses a derivative a.e.
with respect to Lebesgue measure. Therefore, with probability one, a Brown
ian path is not of bounded variation. In view of this an integral of the type
_
1
0
,(t)d\(t)
cannot be interpreted as an ordinary Stieltjes integral. Nevertheless, such
an integral can be dened by completely dierent means and is basic in, for
example, nancial mathematics.
201
REFERENCES
[1] Billingsley, P. (1995) Probability and Measure. Wiley&Sons.
[1C] Bogachev, V. I. (2007) Measure Theory, Springer.
[1] Dudley, R. M. (1989) Real Analysis and Probability. Wadsworth&Brooks.
[11] Diedonn, J. (1960) Foundations of Modern Analysis. Academic Press.
[1] Folland, G. B. (1999) Real Analysis; Modern Techniques and Their Ap
plications. Second Edition. Wiley&Sons.
[`] Malliavin, P. (1995) Integration and Probability. Springer.
[1] Rudin, W. (1966) Real and Complex Analysis. McGrawHill.
[o] Solovay R. M. (1970) A model of set theory in which every set of reals
is Lebesgue measurable. Annals of Mathematics 92, 156.