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REAL ANALYSIS LECTURE NOTES

Contents
1. Introduction and Preliminaries 1
2. The Structure of R 7
3. Lebesgue Measure 11
3.1. Lebesgue Measure and Measurable Sets 11
3.2. Measurable Functions 17
4. Lebesgue Integration 23
5. Dierentiation and Integration 32
5.1. Motivation 32
5.2. Derivatives and Derivates 34
5.3. Vitalis Covering Lemma 37
5.4. Variation and Absolute Continuity 39
5.5. Convexity 46
6. L
p
Spaces 49
7. Metric Spaces 59
7.1. The Basics 59
7.2. Compactness 60
7.3. Continuous Functions 62
7.4. The StoneWeierstrass Theorem 63
8. General Measure and Integration 67
8.1. Introduction 67
8.2. Measurable Functions 70
8.3. Integration 73
8.4. L
p
Spaces 79
8.5. Signed Measures 82
8.6. Radon-Nikodym Theorem 90
9. Outer Measure and Extensions of Measures 92
9.1. Outer Measure 92
9.2. The Extension Theorem 95
9.3. Baire Measures on R 99
9.4. Product Measures 101
9.5. Integral Operators 110
10. The AscoliArzela Theorem 113
Appendix A. Convergence in Measure 116
References 118
Index 119
c _ 2007, Jonathan R. Kish
REAL ANALYSIS LECTURE NOTES 1
1. Introduction and Preliminaries
The following notes are from a year of graduate Real Analysis that I took at the Uni-
versity of Colorado, Boulder. We used Roydens text Real Analysis, 3
rd
edition (see [3]).
There are no proofs in what follows, only statements of Propositions, Theorems, and
Lemmas, as well as many Denitions, Examples and Remarks throughout. I wanted a
list of all results that I could easily and quickly navigate and that was extensively cross-
referenced to itself and the original source. It proved enormously helpful while doing
homework and studying for exams. Since I nd Royden dicult to follow, I originally
intended to eventually ll in all proofs and provide very detailed, careful explanations.
Luckily that has largely been done for me in the very helpful book Measure, Integral
and Probability by Capi nski and Kopp (see [1]). Another good treatment of the subject
is [4]. For an excellent account of the history of the subject (and an easy, delightful
read), see [2]. My primary goal is clarity, which for me involves showing steps, explain-
ing reasons, and justifying answers. Some may nd these notes too verbose and prefer
the terse treatment in [3]. This is a matter of personal preference. Any comments or
suggestions are welcome, as are corrections. Errors are of course mine. We begin with
a brief motivational review of Riemann integration, followed by some elementary set
theory and structure of the real line.
Jonathan Kish
Boulder, Colorado
July, 2007
Jonathan.Kish@colorado.edu
2 REAL ANALYSIS LECTURE NOTES
Denition 1.1. Let a, b R such that a < b. Suppose that f : [a, b] R is bounded
in the sense that
< inf
x[a,b]
f(x) sup
x[a,b]
f(x) < .
Let T = a = x
0
< x
1
< < x
n
= b be a partition of [a, b]. For each i, 1 i n, let
m
i
= inf
x
i1
xx
i
f(x) and M
i
= sup
x
i1
xx
i
f(x).
Dene the lower Riemann sum of f with respect to P by
L
p
(f) =
n

i=1
m
i
(x
i
x
i1
).
Similarly, dene the upper Riemann sum of f with respect to P by
U
p
(f) =
n

i=1
M
i
(x
i
x
i1
).
Note that, by denition,
(1) L
p
(f) U
p
(f).
The lower Riemann integral of f over [a, b], written
_
a
b
f(x)dx,
is dened by
(2)
_
a
b
f(x)dx = sup
1
_
L
p
(f)
_
where sup
1
is the supremum taken over all partitions T of [a, b]. Moreover, note that the
set
_
L
p
(f)
_
is bounded above and so has a supremum. Similarly, the upper Riemann
integral of f over [a, b], written
_
b
a
f(x)dx,
is dened by
(3)
_
b
a
f(x)dx = inf
1
_
U
p
(f)
_
.
We always have that
_
a
b
f(x)dx
_
b
a
f(x)dx.
We say that f is Riemann integrable over [a, b] if
_
a
b
f(x)dx =
_
b
a
f(x)dx =
_
b
a
f(x)dx.
REAL ANALYSIS LECTURE NOTES 3
Remark 1.2. Recall that the Riemann integral has some nice properties:
(i) Every continuous function is Riemann integrable.
(ii) The Fundamental Theorem of Calculus holds: If F is dierentiable on [a, b] and
if f(x) = F
t
(x) is continuous on [a, b], then
_
b
a
f(x)dx = F(b) F(a).
Remark 1.3. There are drawbacks of the Riemann integral, however:
(i) Recall that f has to be bounded. Consider, for example, f : [0, 1] R dened
by
f(x) =
_
0 if x = 0
1

x
if 0 < x 1.
Note that of course we can get around this with improper integrals.
(ii) Many functions that are easy to dene are not Riemann integrable. Consider
f : [0, 1] R dened by
f(x) =
_
0 if x is rational
1 if x is irrational.
For any partition T of [0, 1], we have L
p
(f) = 0 (there is a rational number in
any interval), whereas U
p
(f) = 1. It follows that
_
a
b
f(x)dx = 0 < 1 =
_
b
a
f(x)dx.
(iii) The Riemann integral does not work well with limiting processes. That is, it is
possible to have a sequence of functions f
n

n=1
dened on [a, b], each Riemann
integrable, and lim
n
f
n
(x) = f(x) exists, but f(x) might not be Riemann
integrable over [a, b].
Our main aim is Lebesgue integration theory, in which it is easier to impose conditions
under which
lim
n
_
f
n
(x)dx =
_
lim
n
f
n
(x)
if lim
n
f
n
(x) = f(x) exists.
Remark 1.4. We denote the power set of a set X by 2
X
or T(X). The latter should
cause no confusion with the notation T that stands for a partition, as the meaning of
the symbol T will always be clear from the context.
Denition 1.5. Let A be a subset of the underlying set X. The complement of A in
X,

A, is dened by

A = x X : x / A.
4 REAL ANALYSIS LECTURE NOTES
Similarly, if A X and B X, we dene the relative complement of A in B,
written B A, by
B A = x B : x / A
= B

A.
Denition 1.6. ( is called a collection of subsets of X if ( T(X).
Lemma 1.7 (Generalized DeMorgans Laws). Let ( be a collection of subsets of
X. Then

A(
A =
_
A(

A and

_
A(
A =

A(

A.
See Exercise 13, p. 16 of [3].
Denition 1.8. Let X be a set and suppose A and B are subsets of X. The symmetric
dierence of A and B, written AB, is dened by
AB = (A B) (B A)
= (A

B) (B

A).
Note that AB = BA by properties of unions.
Denition 1.9. Let X be a nonempty set. Assume that / T(X) is a nonempty
collection of subsets of X. We say that / is an algebra of subsets of X if
(i) Whenever A / and B /, then A B / (/ is closed under the union
operation).
(ii) Whenever A /,

A / (/ is closed under taking complements).
Example 1.10. Consider the following examples:
(i) Let X be a set. Then / = T(X) is always an algebra.
(ii) Let X = a, b. Then / =
_
, a, b
_
is an algebra.
Remark 1.11 (Facts about algebras). Let / be an algebra of subsets of X. Then
(i) If A, B /, then A B /.
(ii) , X /.
(iii) If A
1
, . . . , A
n
/, then
n

i=1
A
i
/.
(iv) If A
1
, . . . , A
n
/, then
n

i=1
A
i
/.
REAL ANALYSIS LECTURE NOTES 5
(v) If A, B /, then B

A /.
(vi) If A, B /, then AB /.
Remark 1.12. One way to construct a nontrivial algebra of sets is to let ( be any
nonempty collection of subsets of X and let / be the smallest algebra of sets of X
containing (. See Proposition 1.13.
Proposition 1.13 (Proposition 1, 1.4, p. 17 of [3]). Let X be a nonempty set and let
( be a nonempty collection of subsets of X. Then there is a unique algebra / containing
( that is the smallest such algebra in the sense that if B is any other algebra of subsets
of X containing (, then B also contains the algebra /.
Denition 1.14. The smallest algebra containing ( as in Proposition 1.13 is called the
algebra generated by C.
Proposition 1.15 (Proposition 2, 1.4, p. 17 of [3]). Let X be a nonempty set and let
/ be an algebra of subsets of X. Suppose A
i

i=1
/, that is, A
i
/ for all i 1.
Then there is a collection of subsets B
i

i=1
/ such that
(i) B
m
B
n
= for m ,= n.
(ii) For every n N,
n

i=1
B
i
=
n

i=1
A
i
. (these are in the algebra /)
(iii)

i=1
B
i
=

i=1
A
i
. (these innite unions might not be in /, but as subsets of X
they are equal)
Remark 1.16. Proposition 1.15(iii) motivates the following denition.
Denition 1.17. Let X be a nonempty set and let / be an algebra of subsets of X.
/ is a -algebra of subsets of X if, whenever A
i

i=1
/,

i=1
A
i
/. Thus we are
allowing countably innite unions now, not just nite unions.
Remark 1.18 (Facts about -algebras).
(i) Every -algebra of subsets is an algebra of subsets, but the converse is not true
in general.
(ii) Let A
i

i=1
/ for / a -algebra. Then

i=1
A
i
/.
6 REAL ANALYSIS LECTURE NOTES
Example 1.19. Let X be a nonempty set. Then T(X) is a -algebra of subsets of X.
Proposition 1.20 (Proposition 3, 1.4, p. 19 of [3]). Let X be a nonempty set and let (
be a nonempty collection of subsets of X. Then there is a unique -algebra / containing
( that is the smallest possible in the sense that if B is any other -algebra and ( B,
then / B. Compare to Proposition 1.13, and see Exercise 19, p. 19 of [3].
Denition 1.21. The smallest -algebra containing ( as in Proposition 1.20 is called
the -algebra generated by C.
REAL ANALYSIS LECTURE NOTES 7
2. The Structure of R
Denition 2.1. Let O R. We say O is open in R if for each x O > 0 such
that whenever y R and [y x[ < , y O.
Remark 2.2. Note that is open as there is nothing to verify. Moreoever, all of R is
open. Now, if x (a, b), let = min(x a, x b). Then (x , x + ) (a, b), which
implies that (a, b) is open.
Proposition 2.3 (Properties of open sets).
(i) Let ( be any collection of open subsets of R. Then

C(
O is open (Proposition 7,
2.5, p. 41 of [3]).
(ii) If O
i

n
i=1
is any nite collection of open subsets of R, then
n

i=1
O
i
is open (Corol-
lary 6, 2.5, p. 41 of [3]).
Remark 2.4. If we have a countably innite family of open subsets of R, O
i

i=1
, then

i=1
O
i
need not be open (it could be, if the intersection is empty). For example, let
O
n
=
_

1
n
,
1
n
_
for every n N, each of which is open. Then

n=1
O
n
=

n=1
_

1
n
,
1
n
_
= 0.
This is not open since > 0 such that (0 , 0 +) 0.
Proposition 2.5 (Proposition 8, 2.5, p. 42 of [3]). Any nonempty, open subset O of
R can be written as a countable union of disjoint open intervals.
Denition 2.6. Let E R. We say that x R is a point of closure for E if for
every > 0, (x , x +) E ,= .
Denition 2.7. Let
E = x R : x is a point of closure of E.
E is called the closure of E. Note that E E, for if x E, then > 0, (x , x +
) E ,= . However, E , E in general.
8 REAL ANALYSIS LECTURE NOTES
Example 2.8. Consider a, b R with a < b. Let E = (a, b). It can be shown that
(a, b) = [a, b].
Proposition 2.9 (Properties of closures).
(i) If A, B R, then A B = A B .
(ii) If A B, then A B (Proposition 10, 2.5, p. 43 of [3]).
(iii) Note, however, that in general, A B ,= A B.
(iv) If E R, then E = E (Proposition 11, 2.5, p. 43 of [3]).
Denition 2.10. We say a set F R is closed if F = F.
Proposition 2.11 (Properties of closed sets).
(i) Let ( be any collection of closed subsets of R. Then

F(
F is closed (Proposition
13, 2.5, p. 44 of [3]).
(ii) If F
i

n
i=1
is any nite collection of closed subsets of R, then
n

i=1
F
i
is closed
(Proposition 12, 2.5, p. 44 of [3]).
Compare to Proposition 2.3.
Remark 2.12. If we have a countably innite family of closed subsets of R, F
i

i=1
,
then

i=1
F
i
need not be closed. For example, let F
n
=
_
2 +
1
n
, 3
1
n

for every n N,
each of which is closed. Then

_
n=1
F
n
=

_
n=1
_
2 +
1
n
, 3
1
n
_
= (2, 3),
which is open. Compare to Remark 2.4.
Proposition 2.13 (Proposition 14, 2.5, p. 44 of [3]). The complement of an open set
is closed and the complement of a closed set is open.
Example 2.14. F
1
= a is closed, and

F
1
= (, a) (a, ) is open. Similarly,
F
2
= [a, b] is closed and

F
2
= (, a) (b, ) is open. See Proposition 2.13.
Denition 2.15. Let B(R) (or just B) denote the smallest -algebra containing all the
open intervals, that is, containing ( = (a, b) : a < b . B(R) is called
the -algebra of Borel sets of R. B(R) also contains every open subset of R since
REAL ANALYSIS LECTURE NOTES 9
every open set can be written as a countable union of (disjoint) open intervals (see
Proposition 2.5). Since B(R) is closed under taking complements, B(R) also contains all
closed subsets of R (see Proposition 2.11(iii)).
Denition 2.16. A set A R is said to be a G

-set if we can write


A =

i=1
O
i
,
where each O
i
is open ( is from the d in Durchschnitt, German for intersection).
Note that a G

-set need not be open itself (cf. Remark 2.4)


Denition 2.17. A set B R is said to be an F

-set if we can write


B =

_
i=1
F
i
,
where each F
i
is closed. Note that an F

-set need not be closed (cf. Remark 2.12).


Remark 2.18. Note that G

-sets and F

-sets are all Borel sets. Moreover, we could con-


sider (G

-sets (the countable union of G

-sets) or (F

-sets (the countable intersection


of F

-sets), and so on, all of which are also Borel sets.


Denition 2.19. Let x
k

k=1
be a bounded sequence of real numbers. For each n N,
let

n
= infx
n
, x
n+1
, x
n+2
, . . . and
n
= supx
n
, x
n+1
, x
n+2
, . . . .
Thus we have two new sequences
n

n=1
and
n

n=1
where the
n
s are increasing,
the
n
s are decreasing, and
n

n
for all n.
Dene the lower limit of x
k

k=1
by
lim x
k
= liminf x
k
= sup
n

n=1
= lim
n

n
(the limit of an increasing sequence that is bounded above is its supremum).
Similarly, dene the upper limit of x
k

k=1
by
lim x
k
= limsup x
k
= inf
n

n=1
= lim
n

n
(the limit of a decreasing sequence which is bounded below is its inmum). Note that
lim x
k
= lim
n

n
lim
n

n
= lim x
k
.
10 REAL ANALYSIS LECTURE NOTES
Example 2.20. Consider the sequence
x
1
, x
2
, . . . , x
2n1
, x
2n
, . . . =
_
1, 3,
1
2
,
5
2
, . . . ,
1
n
, 2 +
1
n
, . . .
_
.
Then
lim x
k
= 0 and lim x
k
= 2.
REAL ANALYSIS LECTURE NOTES 11
3. Lebesgue Measure
3.1. Lebesgue Measure and Measurable Sets.
Remark 3.1. Our ideal situation is to generalize the notion of length of intervals to
every subset of R so that, letting

denote this generalized length,
(i) For all A R, 0

(A) . (could have innite length)
(ii) If I is an interval, then

(I) = (I).
(iii) Countable Additivity: If A
i

i=1
is a countable family of pairwise disjoint
subsets of R, we want

_
_
i1
A
i
_
=

i1

(A
i
).
(iv) Translation invariance: If A R and r R, then

(A + r) =

(A), where
A +r = x +r : x A.
We will see that it is possible to dene this generalized length

, which we will denote
m

, on T(R), and m

will satisfy conditions (i), (ii) and (iv), but we wont be able to
get countable additivity in general (condition (iii)). We can satisfy all four conditions
for Borel sets, but not for every subset of R.
Denition 3.2. If A R is any subset of R, the Lebesgue outer measure of A,
denoted m

(A), is given by
m

(A) = inf
_

n1
(I
n
) :
all countable collections
of open intervals
I
n

n1
such
that
A
_
n1
I
n
_
.
Here we allow

n1
(I
n
) to equal as some of the intervals might have innite length.
We also allow, for r [0, ), r + = + r = . Note that it could be the case
that for every countable collection of open intervals I
n

n1
such that A

n1
I
n
,

n1
(I
n
) could be . In this case, m

(A) = (e.g. A = R).


Remark 3.3 (Basic facts about m

).
(i) 0 m

(A) for all A R. (note the sums are nonnegative)


(ii) m

() = 0.
(iii) Monotone Property: If A B R, then m

(A) m

(B).
(iv) m

_
x
_
= 0 for every x R.
Proposition 3.4 (Proposition 1, 3.2, p. 56 of [3]). Let I be an interval in R. Then
m

(I) = (I).
12 REAL ANALYSIS LECTURE NOTES
Proposition 3.5 (Countable Subadditivity - Proposition 2, 3.2, p. 57 of [3]). If
A
n

n1
is a countable collection of subsets of R, then
m

_
_
n1
A
n
_

n1
m

(A
n
).
Corollary 3.6 (Corollary 3, 3.2, p. 58 of [3]). If E is a countable subset of R, then
m

(E) = 0.
Corollary 3.7 (Corollary 4, 3.2, p. 58 of [3]). The set [0, 1] is uncountable.
Corollary 3.8. R is an uncountable set.
Corollary 3.9. m

(Q) = 0.
Corollary 3.10. m

_
[0, 1] Q
_
= 0.
Note that [0, 1] Q is dense in [0, 1], yet m

_
[0, 1] Q
_
= 0 < 1 = m

_
[0, 1]
_
.
Corollary 3.11. RQ is uncountable.
Remark 3.12. Note that we made no assumption of pairwise disjointness of the A
n

n1
in Proposition 3.5. What if they are pairwise disjoint? Do we get equality? Consider
A
1
= [a, b) and A
2
= [b, c]. Then A
1
A
2
= [a, c] where A
1
A
2
= . Moreover,
m

(A
1
A
2
) = c a and m

(A
1
) +m

(A
2
) = b a +c b = c a, so we do get equality
in this particular case. This is not true in general, however. Using the Axiom of
Choice, it is possible to construct A
1
, A
2
R with A
1
A
2
= and m

(A
1
A
2
) <
m

(A
1
) +m

(A
2
).
Remark 3.13. At this point we want to dene a class of subsets / T(R) containing
all the intervals - indeed, containing all the Borel sets: B /. It will turn out that /is
the -algebra of all Lebesgue measurable subsets of R, and m

will be countably additive


when restricted to /. See Denition 3.14, Theorems 3.21 and 3.24, and Proposition
3.26.
REAL ANALYSIS LECTURE NOTES 13
Denition 3.14. Let E R. We say E is Lebesgue measurable, and write E /,
if for every A R,
(4) m

(A) = m

(A E) +m

(A

E).
Remark 3.15. So E R is Lebesgue measurable if E splits any A R into two nice
parts. Note that
A = A R
= A (E

E)
= (A E) (A

E).
Also,
(A E) (A

E) = A (E

E) = A = ,
so AE and A

E are disjoint and their union is A. By Proposition 3.5, we know that
m

(A) = m

_
(A E) (A

E)
_
m

(A E) +m

(A

E).
So in order to show equality in (4) (i.e., that E is Lebesgue measurable), it is enough to
show that, for every A R,
(5) m

(A) m

(A E) +m

(A

E).
Remark 3.16. We want to show that / is a -algebra of subsets of R containing the
Borel sets. Thus, among other things, it must be shown that
(i) , R /. (so / is nonempty)
(ii) If E /, then

E /.
(iii) If E
n

n1
/, then

n1
E
n
/.
This will establish that / is a -algebra of sets.
Proposition 3.17 (Basic Facts About Measurable Sets).
(i) If E R and m

(E) = 0, then E / (see Lemma 6, 3.3, p. 58 of [3]).


(ii) If E R, then E /

E /.
(iii) R /.
Lemma 3.18 (Lemma 7, 3.3, p. 59 of [3]). If E
1
, E
2
/, then E
1
E
2
/.
Corollary 3.19 (Corollary 8, 3.3, p. 59 of [3]). / is an algebra of subsets of R.
Proof. See Remark 3.16 (i), (ii) and Lemma 3.18.
14 REAL ANALYSIS LECTURE NOTES
Lemma 3.20 (Lemma 9, 3.3, p. 59 of [3]). If A R and E
i

n
i=1
is a family of pairwise
disjoint, Lebesgue measurable subsets of R, then
(6) m

_
A
_
n
_
i=1
E
i
__
=
n

i=1
m

(A E
i
).
Theorem 3.21 (Theorem 10, 3.3, p. 60 of [3]). The collection / of Lebesgue measur-
able subsets of R is a -algebra of subsets of R.
Lemma 3.22 (Lemma 11, 3.3, p. 60 of [3]). Fix a R. Then I = (a, ) /.
Corollary 3.23. Every open interval is Lebesgue measurable.
Theorem 3.24 (Theorem 12, 3.3, p. 61 of [3]). Every Borel subset of R is Lebesgue
measurable.
Denition 3.25. We now dene the Lebesgue measure on sets E / by m(E) =
m

(E). Thus m is just m

restricted to /. Note that m has all the properties of m

(see Remark 3.3 and Proposition 3.4) and in addition has the property of countable
additivity (see Proposition 3.26). This is our generalization of length of intervals.
Proposition 3.26 (Countable Additivity - Proposition 13, 3.3, p. 62 of [3]). Let
E
i

i1
be a countable sequence of pairwise disjoint Lebesgue measurable subsets of R.
Then
(7) m
_
_
i1
E
i
_
=

i1
m(E
i
).
Corollary 3.27. Suppose E
i

i=1
is a sequence of Lebesgue measurable subsets of R.
Then
(8) m
_

_
i=1
E
i
_
= lim
N
m
_
N
_
i=1
E
i
_
.
Corollary 3.28. If E
i

i=1
is an increasing sequence of Lebesgue measurable subsets of
R, then
(9) m
_

_
i=1
E
i
_
= lim
N
m(E
N
).
REAL ANALYSIS LECTURE NOTES 15
Proposition 3.29 (Proposition 14, 3.3, p. 62 of [3]). Let E
n

n=1
be a decreasing
sequence of Lebesgue measurable subsets of R such that m(E
1
) < . Then
(10) m
_

n=1
E
n
_
= lim
n
m(E
n
).
Remark 3.30. Note that Proposition 3.29 need not be true if m(E
1
) = . For instance,
let E
n
= [n, ) for every n N. These are certainly decreasing since [n, ) [n+1, )
where m(E
n
) = (E
n
) = . Thus lim
n
m(E
n
) = . On the other hand,
m
_

n=1
E
n
_
= m() = 0
(see Remark 3.3(ii)), which is strictly less than lim
n
m(E
n
). See Exercise 11, p. 64
of [3].
Example 3.31. Let ( denote the Cantor ternary set (cf. Exercises 37-39, p. 46
of [3]). Let F
1
= [0, 1] and let G
1
= (
1
3
,
2
3
). Then F
2
= F
1


G
1
= [0,
1
3
] [
2
3
, 1] is
closed. Let G
2
= (
1
9
,
2
9
) (
7
9
,
8
9
) be the middle thirds of the intervals in F
2
. Then
F
3
= F
2


G
2
is closed. Continue this process. F
n
consists of 2
n1
disjoint, closed
intervals each of length 1/3
n1
. G
n
is dened as above to be the middle thirds of the
intervals in F
n
. Then F
n+1
= F
n


G
n
is still closed and consists of 2
n
intervals. Note
that F
1
F
2
F
3
is a decreasing sequence of Lebesgue measurable subsets of R
where m(F
1
) = m
_
[0, 1]
_
= 1 < . Hence by Proposition 3.29 applied to
( =

n=1
F
n
,
we have
m(() = lim
n
m(F
n
) = lim
n
2
n1

1
3
n1
= lim
n
_
2
3
_
n1
= 0.
Therefore m(() = 0.
The consequence: recall that ( is uncountable. Thus there exists an uncountable set
with Lebesgue measure zero. Furthermore, if A (, then 0 m

(A) m(() = 0, which


implies that m

(A) = 0. Hence every subset of ( is measurable (see Proposition 3.17


(ii)), and there are 2
c
(the cardinality of T(()) such subsets, where c is the cardinality of
the contiuum. Therefore there are more Lebesgue measurable sets than Borel
sets.
16 REAL ANALYSIS LECTURE NOTES
Proposition 3.32 (Proposition 5, 3.2, p. 58 of [3]).
(i) Let A R. Then for every > 0, there exists an open set U A such that
m(U) m

(A) +.
(ii) Given A R, there exists a G

-set G with G A and m(G) = m

(A).
See Exercise 6, p. 58 of [3].
Proposition 3.33 (Proposition 15, 3.3, p. 63 of [3]). Let E R. Then the following
ve conditions are equivalent:
(i) E /.
(ii) For every > 0, there exists an open set U E such that m

(U

E) < .
(iii) For every > 0, there exists a closed set F E such that m

(E

F) < .
(iv) There exists a G

-set G E such that m

(G

E) = 0.
(v) There exists an F

-set F E such that m

(E

F) = 0.
If, in addition, the outer measure of E is nite, all of the conditions (i) (v) are
equivalent to
(vi) For every > 0, there exists a nite collection U
i

N
i=1
of open intervals such that
(11) m

__
N
_
i=1
U
i
_
E
_
< .
See Exercise 13, p. 64 of [3].
Remark 3.34. Part (vi) of Proposition 3.33 is the precise statement of Littlewoods
First Principle: Every Lebesgue measurable set is almost a nite union of open
intervals. In other words, you can approximate any nite, measurable E R with a
nite union of open intervals.
Remark 3.35 (Existence of nonmeasurable sets). Start with E = [0, 1] R,
which is measurable. Dene an equivalence relation on E by x y x y Q.
Let (E) denote the family of equivalence classes of E with respect to . For each
equivalence class (E), choose x

E = [0, 1] (using the Axiom of Choice). Let


P =
_
(E)
x

.
We claim that P is nonmeasurable. If it were measurable, then there are two possibilities:
(i) m(P) = 0.
(ii) 0 < m(P) 1 since P [0, 1].
Assuming (i), one can show that m(R) = 0, which is a contradiction. Similarly, assuming
(ii), one can show that m
_
[1, 2]
_
= , which is again a contradiction. Thus P must
be nonmeasurable. See 3.5 of [3] for the full details.
REAL ANALYSIS LECTURE NOTES 17
3.2. Measurable Functions.
Remark 3.36. At this point, we wish to generalize the notion of continuous functions,
which should of course include the continuous functions. See Proposition 3.37, Denition
3.38 and Example 3.39.
Proposition 3.37 (Proposition 18, 3.5, p. 66 of [3]). Let f be an extended real-
valued function whose domain E is measurable. Then the following four conditions are
equivalent:
(i) R x E : f(x) > /.
(ii) R x E : f(x) /.
(iii) R x E : f(x) < /.
(iv) R x E : f(x) /.
All of the conditions (i) (iv) imply
(v) R x E : f(x) = / (actually this is true R, ).
Note that conditions (i) (iv) can be rewritten as
(i
t
) R f
1
_
(, ]
_
/.
(ii
t
) R f
1
_
[, ]
_
/.
(iii
t
) R f
1
_
[, )
_
/.
(iv
t
) R f
1
_
[, ]
_
/.
Denition 3.38. If any of the conditions (i)(iv) in Proposition 3.37 hold, the function
f is said to be Lebesgue measurable.
Example 3.39. Suppose that f : R R is continuous. Fix R. Consider
_
x R : f(x) >
_
= f
1
_
(, )
_
.
Note that (, ) is open. Since f is continuous, f
1
_
(, )
_
is open and hence
f
1
_
(, )
_
/ (see Proposition 18, 2.6, p. 47 of [3]). Thus f satises condi-
tion (i
t
) of Proposition 3.37 and is therefore Lebesgue measurable. It follows that the
Lebesgue measurable functions include the continuous functions, as desired (see Remark
3.36).
Denition 3.40. Let A R. We dene the characteristic function (a.k.a indicator
function)
A
: R R by

A
(x) =
_
1 if x A
0 if x

A
.
Note that if A / , R, then range
A
= 0, 1. If A = , then range
A
= 0 and if
A = R, range
A
= 1.
18 REAL ANALYSIS LECTURE NOTES
Lemma 3.41. Let A R. Then
A
is measurable i A /.
Proposition 3.42. Let E / and suppose that D E is a measurable subset of
E. Let f be a measurable extended real-valued function dened on E. Then f[
D
is
measurable.
Proposition 3.43 (Proposition 19, 3.5, p. 67 of [3]). Let c R and let f and g be
measurable, real-valued functions dened on E /. Then
(i) f +g is measurable.
(ii) c f is measurable.
(iii) g f is measurable.
(iv) gf is measurable (product, not composition).
Denition 3.44. We say that a property P holds almost everywhere (abbreviated
a.e.) on a measurable subset E of R if
m
_
x E : P is not true for x
_
= 0.
Proposition 3.45 (Proposition 21, 3.5, p. 69 of [3]). If f and g are dened on E /
such that f = g a.e. on E and f is measurable, then g is measurable (Note f and g can
be extended real-valued functions).
Theorem 3.46 (Theorem 20, 3.5, p. 68 of [3]). Let f
i

i=1
be a sequence of measurable
extended real-valued functions dened on E /. Then
(i) supf
i

n
i=1
is measurable n N.
(ii) supf
i

i=1
is measurable.
(iii) inff
i

n
i=1
is measurable n N.
(iv) inff
i

i=1
is measurable.
(v) Hence lim f
n
and lim f
n
are measurable extended real-valued functions.
Corollary 3.47. If f
n

n=1
is a sequence of measurable functions dened on E /
and if f(x) = lim
n
f
n
(x) exists in the extended real numbers for every x E, then f is
measurable.
Denition 3.48. Let E /. We say that : E R is simple if is Lebesgue
measurable and the range of is nite. The simple functions are the building-block
functions.
REAL ANALYSIS LECTURE NOTES 19
Proposition 3.49. Let be a simple function dened on E /. Then we can write
(12) (x) =
n

i=1
c
i

A
i
(x)
where the A
i

n
i=1
are pairwise disjoint measurable sets such that
n

i=1
A
i
= E, we have
c
1
< c
2
< < c
n
and range = c
i

n
i=1
.
Remark 3.50 (Converse to Proposition 3.49). If
g(x) =
n

i=1
c
i

A
i
(x)
where the A
i
/ are pairwise disjoint, then g is a simple function dened on R.
Denition 3.51. Equation (12) is called the canonical representation of the simple
function . Note that corresponds one set to each element in the range of .
Remark 3.52. If
1
and
2
are simple functions and c, d R, then c
1
+d
2
, c
1
d
2
and
1

2
(the product) are all simple.
Denition 3.53. Let f
n

n=1
be a sequence of real-valued functions dened on E R,
and let f be a real-valued function dened on E R. We say that f
n
converges
pointwise to f on E if for every x E, lim
n
f
n
(x) = f(x). That is, > 0, N N
(depending on and on x) such that
[f
n
(x) f(x)[ <
whenever n N.
Denition 3.54. Let f
n

n=1
be a sequence of real-valued functions dened on E R,
and let f be a real-valued function dened on E R. We say that f
n
converges
uniformly to f on E if > 0, N N (depending only on and not on x) such that
[f
n
(x) f(x)[ <
for every n N and for every x E (the same N N works for all x E). This means
lim
n
f
n
(x) = f(x) and f
n
(x) f(x) at a rate that can be made independent of x E.
Theorem 3.55. Let f : E [0, ] be a measurable, nonnegative extended real-valued
function dened on E /. Then there is an increasing sequence
n

n=1
of simple
functions with lim
n

n
(x) = f(x) for all x E. If f is bounded, this convergence is
uniform. See Exercise 4, p. 89 of [3].
20 REAL ANALYSIS LECTURE NOTES
Denition 3.56. For a measurable extended real-valued function f dened on E /,
let
P = x E : f(x) 0
and
N = x E : f(x) < 0.
Note that P, N / by Proposition 3.37, P N = and P N = E. Let
(13) f
+
= f
P
=
_
f(x) if x P
0 if x N = E

P
(where we dene 0 = 0) and
(14) f

= f
N
=
_
f(x) if x N
0 if x P = E

N
(where we dene 0 = 0). f
+
and f

are called the positive and negative parts of


f, respectively.
Remark 3.57. Note that,
(15) f(x) = f
+
(x) f

(x)
and
(16) [f(x)[ = f
+
(x) +f

(x).
Furthermore, f
+
and f

are measurable whenever f is (note that


P
and
N
are
measurable, now use Proposition 3.43 with (13) and (14)). Therefore [f[ is measurable
since it is the sum of two measurable functions (see (16) and Proposition 3.43). This
motivates the following corollary.
Corollary 3.58. Let f : E [, ] be a measurable function dened on E
/. Then there exists a sequence
n

n=1
of simple functions dened on E such that
lim
n

n
(x) = f(x) for every x E. If f is bounded, this convergence is uniform.
Remark 3.59. An intuitive way of stating Corollary 3.58 is that Every measurable
function is nearly a simple function. Technically this means that if f is a measurable
function dened on E / with m(E) < , then given > 0 there exists a simple
function such that
m
_
x E : [f(x) (x)[
_
< .
That is, if we let
B = x E : [f(x) (x)[ ,
then for all x E

B, [f(x) (x)[ < . In other words, approximates f very well
on E

B. Related to this is Littlewoods Second Principle: Every measurable
REAL ANALYSIS LECTURE NOTES 21
function is nearly a continuous function. The technical form of this principle is given
in Proposition 3.60.
Proposition 3.60 (Proposition 22, 3.5, p. 69 of [3]). Let f be a measurable function
dened on a closed interval [a, b]. Assume f takes on the values on a set of measure
0. Then given any > 0 there exists a step function g and a continuous function h such
that
m
_
x [a, b] : [f(x) g(x)[
_
<
and
m
_
x [a, b] : [f(x) h(x)[
_
< .
That is,
[f(x) g(x)[ < except on a set of measure less than
and
[f(x) h(x)[ < except on a set of measure less than .
Moreover, if f is bounded, m f(x) M for every x [a, b], then we can choose g and
h such that m g(x) M and m h(x) M for all x [a, b]. See Exercise 23, p. 71
of [3].
Remark 3.61. The intuitive form of Littlewoods Third Principle states that ev-
ery sequence of measurable functions that is pointwise convergent is nearly uniformly
convergent. See Proposition 3.65 for the technical form of this principle.
Proposition 3.62 (Proposition 23, 3.6, p. 72 of [3]). Let E be a measurable subset of
R such that m(E) < . Suppose that f
n

n=1
is a sequence of measurable real-valued
functions dened on E that converges pointwise to some real-valued function f dened
on E. Then given > 0 and > 0 there is a measurable set A E with m(A) < and
N N such that [f
n
(x) f(x)[ < for every x E

A and for every n N.
Remark 3.63. Note that we are not assuming f
n
converges uniformly on E

A. The
set A depends on both and so that as you change and the set A changes.
Corollary 3.64 (Proposition 24, 3.6, p. 73 of [3]). In the statement of Proposition
3.62, it is enough to assume that f
n
(x) f(x) a.e. on E. The conclusion of the
Proposition will still hold.
22 REAL ANALYSIS LECTURE NOTES
Proposition 3.65 (Egoroffs Theorem - See Exercise 30, p. 73 of [3]). Let f
n

n=1
be a sequence of measurable, real-valued functions dened on E / with m(E) < .
Suppose that f
n

n=1
converges pointwise a.e. to the measurable, real-valued function f
dened on E. Then given any > 0 there exists a measurable set A E with m(A) <
and f
n

n=1
converges uniformly to f on E

A.
REAL ANALYSIS LECTURE NOTES 23
4. Lebesgue Integration
Remark 4.1. Recall that if is a simple function, we can write
(17) (x) =
n

i=1
c
i

A
i
(x)
where
A
i
= x R : (x) = c
i

and c
1
< c
2
< < c
n
(see Proposition 3.49). Note that if c
i
0
= 0 for some i
0
,
1 i
0
n, then
c
i
0

A
i
0
(x) = 0
A
i
0
= 0,
so that this term does not contribute to the sum (17). Thus we will henceforth assume
that all the c
i
s are not equal to zero.
Denition 4.2. We say a simple function is zero outside a set of nite measure
or vanishes outside a set of nite measure if
m
_
x R : (x) ,= 0
_
< .
This will happen if and only if
n

i=1
m(A
i
) < .
Denition 4.3. Let be a simple function that is zero outside a set of nite measure.
Then the Lebesgue integral of over R, written
_
or
_
R

is dened by
(18)
_
=
n

i=1
c
i
m(A
i
)
where is given by (17). Similarly, for E /, the Lebesgue integral of over
E R is dened by
(19)
_
E
=
n

i=1
c
i
m(A
i
E)
Lemma 4.4. If E /, then
_
E
=
_

E
.
24 REAL ANALYSIS LECTURE NOTES
Lemma 4.5 (Lemma 1, 4.2, p. 78 of [3]). Let be a simple function that vanishes
outside a set of nite measure. Suppose that we can write
(20) (x) =
m

j=1
b
j

E
j
(x)
where the E
j

m
j=1
are measurable, pairwise disjoint subsets of R. Note that (20) might
not be the canonical representation of (the b
j
s might not be increasing, or they might
repeat if we split an A
i
into two parts). But then
(21)
_
=
m

j=1
b
j
m(E
j
).
So as long as the E
j
s are pairwise disjoint, we may use the same formula for the integral
as in (18).
Proposition 4.6 (Proposition 2, 4.2, p. 78 of [3]). Let and be simple functions
that both vanish outside a set of nite measure. Then
(i) a, b R,
_
(a +b) = a
_
+b
_
.
(ii) If (x) (x) on R, then
_

_
.
Denition 4.7. Let f be a bounded, measurable real-valued function dened on E /
where m(E) < . We dene the Lebesgue integral of f over E, denoted
(22)
_
E
f
by
(23)
_
E
f = inf
__
E
: is simple and (x) f(x) x E
_
.
Remark 4.8. Note that we could have taken
(24) sup
__
E
: is simple and (x) f(x) x E
_
in Denition 4.7. It turns out these two denitions of the integral are the same, but this
will take some work (see Proposition 4.12).
REAL ANALYSIS LECTURE NOTES 25
Lemma 4.9. If f is a measurable, bounded function dened on E / such that
m(E) < , and if A f(x) B for all x E, then
(25) Am(E)
_
E
f Bm(E).
Denition 4.10. Recall Denition 4.7. If f is a bounded measurable function we dene
(26) A = inf
__
E
: is simple and (x) f(x) x E
_
,
called the upper envelope of f over E. Similarly, we dene
(27) B = sup
__
E
: is simple and (x) f(x) x E
_
,
called the lower envelope of f over E.
Remark 4.11. We can always show that B A regardless of whether or not f is
Lebesgue measurable.
Proposition 4.12 (Proposition 3, 4.2, p. 79 of [3]). Let f be a bounded real-valued
function dened on E / with m(E) < . Then
(i) If f is Lebesgue measurable, then
(28)
_
E
f = A = B
(ii) If A = B, then f is Lebesgue measurable,
where A and B are as dened in Denition 4.10. In other words,
A = B if and only if f is Lebesgue measurable.
Corollary 4.13 (Proposition 4, 4.2, p. 81 of [3]). Let f be a bounded function dened
on [a, b], < a < b < . If f is Riemann integrable over [a, b], then f is Lebesgue
measurable on [a, b] and
(29) Riem
__
b
a
f(x)dx
_
= Leb
__
[a,b]
f
_
.
Proposition 4.14 (Properties of the Lebesgue integral coinciding with the
Riemann integral - Proposition 5, 4.2, p. 82 of [3]). Let f, g be bounded Lebesgue
measurable functions dened on E / such that m(E) < . Then
(i) For every a R,
_
E
af = a
_
E
f.
26 REAL ANALYSIS LECTURE NOTES
(i
t
)
_
E
(f +g) =
_
E
f +
_
E
g.
Hence for every a, b R,
_
E
(af +bg) = a
_
E
f +b
_
E
g.
(ii) If f g a.e. on E, then
_
E
f
_
E
g.
(iii) If f = g a.e. on E, then
_
E
f =
_
E
g.
(iv) If M
1
f(x) M
2
a.e. on E, then
M
1
m(E)
_
E
f M
2
m(E).
(v) If A and B are disjoint measurable subsets of E with m(A) < and m(B) < ,
then
_
AB
f =
_
A
f +
_
B
f.
Corollary 4.15 (Corollary to Proposition 4.14 (ii)). If f is a bounded, Lebesgue
measurable function dened on E / with m(E) < , then
(30)

_
E
f


_
E
[f[.
Proposition 4.16 (Bounded Convergence Theorem, or BCT - Proposition 6,
4.2, p. 84 of [3]). Let f
n

n=1
be a sequence of Lebesgue measurable functions dened
on E / with m(E) < . Suppose that there is an M > 0 such that [f
n
(x)[ M for
every n N and for every x E. If there exists an f such that f(x) = lim
n
f
n
(x) a.e.
on E, then
(31)
_
E
f = lim
n
_
E
f
n
(x).
Note that since f(x) = lim
n
f
n
(x), (31) is equivalent to saying that
(32)
_
E
lim
n
f
n
(x) = lim
n
_
E
f
n
(x).
Remark 4.17. Note that, so far, we can compute Lebesgue integrals for Lebesgue
measurable functions over E / when
(i) f is bounded on E and
(ii) m(E) < .
REAL ANALYSIS LECTURE NOTES 27
But is this really that big of an improvement over the Riemann integral? Consider the
following examples:
1.
_
1
0
1

x
dx. This function is not bounded on [0, 1], but you could compute an
improper Riemann integral.
2.
_
[1,)
1
x
2
. Here, if E = [1, ), then m(E) = and we cannot compute the
Lebesgue integral.
In both cases we should be able to compute the Lebesgue integral if it is indeed a
generalization of the Riemann integral. This motivates Denition 4.18.
Denition 4.18. Let f be a nonnegative Lebesgue measurable function dened on
E / (E doesnt have to be nite here). We dene the Lebesgue Integral of f
over E by
(33)
_
E
f = sup
__
E
h : 0 h f
_
,
where h is bounded, Lebesgue measurable and vanishes outside a set of nite measure.
Note that it is possible to have
_
E
f = .
We say that the function f is integrable over E if
_
E
f < ,
that is, if the set
__
E
h : 0 h f
_
in (33) is bounded above. Note that we always have, for f 0,
0
_
E
f .
Proposition 4.19 (Proposition 8, 4.3, p. 85 of [3]). Let f, g be nonnegative Lebesgue
measurable functions dened on E / and let a R such that a > 0. Then
(i)
_
E
af = a
_
E
f
where a = in case f is not integrable.
(ii)
_
E
(f +g) =
_
E
f +
_
E
g.
28 REAL ANALYSIS LECTURE NOTES
(iii) If f(x) g(x) a.e. on E, then
_
E
f
_
E
g.
(iv) If E
1
and E
2
are disjoint measurable subsets of R, then
_
E
1
E
2
f =
_
E
1
f +
_
E
2
f.
We use this Proposition to prove Fatous Lemma (Lemma 4.20).
Theorem 4.20 (Fatous Lemma - Theorem 9, 4.3, p. 86 of [3]). Let f
n

n=1
be a
sequence of nonnegative, Lebesgue measurable functions dened on E /. Suppose
that there is a function f dened on E such that f
n
(x) f(x) a.e. on E (note that f
is thus measurable by Corollary 3.47). Then
(34)
_
E
f lim
_
E
f
n
.
Note that were not saying the RHS of (34) isnt , or that both sides of (34) arent .
Theorem 4.21 (Monotone Convergence Theorem, or MCT- Theorem 10, 4.3,
p. 87 of [3]). Let f
n

n=1
be a sequence of nonnegative, Lebesgue measurable functions
dened on E /. Suppose also that the f
n
s are increasing, that is,
0 f
1
(x) f
2
(x) f
n
(x) f
n+1
(x)
for every n N and for every x E (hence the monotone). Then f(x) = lim
n
f
n
(x)
exists as a measurable, extended real-valued function on E and
(35)
_
E
f = lim
n
_
E
f
n
.
Since f(x) = lim
n
f
n
(x), (35) is the same as
(36)
_
E
lim
n
f
n
= lim
n
_
E
f
n
.
Corollary 4.22 (Corollary 11, 4.3, p. 87 of [3]). Let u
n

n=1
be a sequence of nonneg-
ative, Lebesgue measurable functions dened on E /. Then
(37)
_
E

n=1
u
n
=

n=1
_
E
u
n
.
Note that both sides of the equals sign in (37) might be . Note also that if 0 a b
and u
n
= a
n
x
n
for a
n
0, then a
n
x
n
0 on [a, b].
REAL ANALYSIS LECTURE NOTES 29
Corollary 4.23 (Proposition 12, 4.3, p. 87 of [3]). Let f be a nonnegative integrable
function dened on E /. Let E
i

i=1
be pairwise disjoint measurable subsets of E.
Then
(38)
_

S
i=1
E
i
f =

i=1
_
E
i
f.
Remark 4.24. Note that, up to this point, we have only been able to integrate functions
that are nonnegative. The natural question arises: how do we integrate functions that
are not necessarily nonnegative?
Denition 4.25. Suppose that f is a measurable function dened on E /. We say
that f is Lebesgue integrable over E if f
+
and f

are both integrable over E. In


this case, we dene
(39)
_
E
f =
_
E
f
+

_
E
f

.
See Denition 3.56.
Proposition 4.26. Let f be a measurable function dened on E /. Then f is
integrable over E if and only if [f[ is integrable over E. See Exercise 10(a), p. 93 of [3].
Proposition 4.27 (Proposition 13, 4.3, p. 88 of [3]). Let f and g be nonnegative,
measurable functions dened on E /. Suppose that f is integrable and g(x) f(x)
for every x E. Then g and f g are integrable and
(40)
_
E
(f g) =
_
E
f
_
E
g.
Proposition 4.28 (Proposition 14, 4.3, p. 88 of [3]). Let f be a nonnegative, integrable
extended real-valued function dened on E /. Then for any > 0, > 0 such that
whenever A E is measurable with m(A) < , we have
_
A
f < .
This is sometimes referred to as the continuity of the Lebesgue integral. This
shows that
_
A
f can be as small as you want as long as you take the set A small enough.
30 REAL ANALYSIS LECTURE NOTES
Proposition 4.29 (Proposition 15, 4.4, p. 90 of [3]). Let f and g be integrable functions
over E /. Then
(i) For every c R, cf is integrable over E and
_
E
cf = c
_
E
f.
(ii) f +g is integrable over E and
_
E
(f +g) =
_
E
f +
_
E
g.
(iii) If f(x) g(x) a.e. on E, then
_
E
f
_
E
g.
In particular,
(41)

_
E
f


_
E
[f[.
(iv) If E
1
and E
2
are disjoint measurable subsets of E, then
_
E
1
E
2
f =
_
E
1
f +
_
E
2
f.
Compare Proposition 4.19.
Corollary 4.30 (Corollary to Proposition 4.28 and Proposition 4.29 (iii)).
If f is an integrable function over E /, then > 0, > 0 such that whenever
A E and m(A) < ,
(42)

_
A
f

< .
Theorem 4.31 (Lebesgue Dominating Convergence Theorem, or DCT -
Theorem 16, 4.4, p. 91 of [3]). Let g be a nonnegative, measurable function dened
on E / that is integrable over E. Let f
n

n=1
be a sequence of measurable func-
tions all dened on E such that [f
n
(x)[ g(x) x E and n N. Suppose that
lim
n
f
n
(x) = f(x) a.e. for some function f dened on E. Then f is integrable over E
and
(43)
_
E
f = lim
n
_
E
f
n
.
Since f(x) = lim
n
f
n
(x), (43) is equivalent to
(44)
_
E
lim
n
f
n
= lim
n
_
E
f
n
.
REAL ANALYSIS LECTURE NOTES 31
Remark 4.32. As an application of DCT, recall that MCT (see Theorem 4.21) need
not hold for a decreasing sequence of functions unless we impose some further conditions
(see Exercise 7(b), p. 89 of [3]). This motivates the following corollary.
Corollary 4.33. Let f
n

n=1
be a decreasing sequence of nonnegative, Lebesgue mea-
surable functions dened on E /. Suppose further that f
1
is integrable over E. Then,
letting f = lim
n
f
n
, we have
(45)
_
E
f = lim
n
_
E
f
n
.
Note that, since the f
n
s are decreasing and nonnegative (i.e., bounded below by 0),
lim
n
f
n
exists and is equal to its inmum. See also Assignment 4, Exercise 2(b).
Theorem 4.34 (Generalized Lebesgue Dominating Convergence Theorem,
or GDCT - Theorem 17, 4.4, p. 92 of [3]). Let g
n

n=1
be a sequence of nonnegative,
integrable functions dened on E /. Suppose that
(i) lim
n
g
n
(x) = g(x) a.e. on E, where g is integrable over E.
Now, let f
n

n=1
be a sequence of measurable functions all dened on E such that
(ii) lim
n
f
n
(x) = f(x) a.e. on E.
Suppose also that
(iii) [f
n
(x)[ g
n
(x) x E and n N.
Then, if
(46) lim
n
_
E
g
n
=
_
E
g,
then
(47) lim
n
_
E
f
n
=
_
E
f.
Since f(x) = lim
n
f
n
(x), (47) is equivalent to
(48) lim
n
_
E
f
n
=
_
E
lim
n
f
n
.
Remark 4.35. Note that in Theorem 4.34 each f
n
is dominated by g
n
, which might
change. If all the g
n
s are equal, we get the regular DCT (see Theorem 4.31).
32 REAL ANALYSIS LECTURE NOTES
5. Dierentiation and Integration
5.1. Motivation.
Remark 5.1. Recall the Fundamental Theorem of Calculus: Let f be continuous
on [a, b] and suppose that F : [a, b] R is dierentiable and satises F
t
(x) = f(x) for
every x [a, b]. Then
(49)
_
b
a
f(x)dx = F(b) F(a) or
_
b
a
F
t
(x)dx = F(b) F(a).
If F is measurable on [a, b], can we obtain equalities resembling (49)? There are three
possible roadblocks to answering this question in the armative:
(i) F
t
(x) might not be dened everywhere, that is,
x [a, b] : F is not dierentiable
might have positive measure.
(ii) Suppose that F
t
(x) is dened a.e. on [a, b]. F
t
(x) might not be integrable over
[a, b], which implies that
_
[a,b]
F
t
might not be dened.
(iii) Even if F
t
exists a.e. on [a, b] and is integrable over [a, b], how would we know
that
(50)
_
[a,b]
F
t
= F(b) F(a)
holds? In other words, why would (50) be true for more general functions than
just continuous functions?
Indeed, all three roadblocks above can occur, which we illustrate in the following three
examples.
Example 5.2. (See Remark 5.1(i)) In the late 1800s Karl Weierstrass provided an
example of a function F which is continuous at every x [a, b] but dierentiable at no
point in [a, b].
Example 5.3. (See Remark 5.1(ii)) Note that
F(x) =
_
x
2
sin
_
1
x
2
_
if 0 < x 1
0 if x = 0
REAL ANALYSIS LECTURE NOTES 33
is continuous at every x [0, 1]. Furthermore, one can check that F is dierentiable at
all points in [0, 1] where
F
t
(x) =
_

_
2x sin
_
1
x
2
_

2
x
cos
_
1
x
2
_
if 0 < x 1
0 = lim
x0
+
F(x)F(0)
x0
if x = 0.
This function F
t
is not integrable over [0, 1], however, so the integral
_
[0,1]
F
t
(x)
is not dened and thus we cant dene an analog of the Fundamental Theorem of Cal-
culus.
Example 5.4. (See Remark 5.1(iii)) Let
F(x) =
_
0 if 0 x <
1
2
1 if
1
2
x 1
and note that
F
t
(x) =
_
0 if 0 x <
1
2
0 if
1
2
x 1
Note also that F
t
(x) is not dened at x =
1
2
since F
t
is not continuous there. Still,
F
t
(x) = 0 a.e. on [0, 1]. In this case,
_
[0,1]
F
t
=
_
[0,1]
0 = 0,
but
F(1) F(0) = 1,
so we dont have equality in a Fundamental Theorem of Calculus-like setting.
Remark 5.5. We will be able to dene a class of functions on [a, b], called the abso-
lutely continuous functions, that avoid problems (i), (ii) and (iii) of Remark 5.1 and
satisfy
(i
t
) F
t
is dened a.e. on [a, b],
(ii
t
) F
t
is integrable over [a, b], and
(iii
t
)
_
[a,b]
F
t
= F(b) F(a).
Our goal, therefore, is a version of the Fundamental Theorem of Calculus that holds for
a class of Lebesgue measurable functions.
34 REAL ANALYSIS LECTURE NOTES
5.2. Derivatives and Derivates.
Denition 5.6. Recall that if f is dierentiable at x [a, b], we have
lim
h0
f(x +h) f(x)
h
= f
t
(x) R,
the derivative of f at x. Even if f is not dierentiable at x, we can dene the Dini
derivates: D
+
, read D upper plus, is dened as
(51) D
+
f(x) = lim
h0
h>0
f(x +h) f(x)
h
= inf
t>0
_
sup
0<h<t
_
f(x +h) f(x)
h
__
.
To simplify notation, we will rewrite the limits on the lim as h 0
+
in (51) so that
(52) D
+
f(x) = lim
h0
+
f(x +h) f(x)
h
= inf
t>0
_
sup
0<h<t
_
f(x +h) f(x)
h
__
.
Similarly, D
+
, read D lower plus, is dened as
(53) D
+
f(x) = lim
h0
+
f(x +h) f(x)
h
= sup
t>0
_
inf
0<h<t
_
f(x +h) f(x)
h
__
.
D

, read D upper minus, is dened as


(54) D

f(x) = lim
h0

f(x +h) f(x)


h
= inf
t<0
_
sup
t<h<0
_
f(x +h) f(x)
h
__
.
D

, read D lower minus, is dened as


(55) D

f(x) = lim
h0

f(x +h) f(x)


h
= sup
t<0
_
inf
t<h<0
_
f(x +h) f(x)
h
__
.
Note that (54) and (55) can be rewritten as
(56) D

f(x) = lim
h0
+
f(x) f(x +h)
h
= inf
t>0
_
sup
0<h<t
_
f(x) f(x +h)
h
__
and
(57) D

f(x) = lim
h0
+
f(x) f(x +h)
h
= sup
t>0
_
inf
0<h<t
_
f(x) f(x +h)
h
__
.
Remark 5.7. By the denition of Dini Derivates (see Denition 5.6), the following two
inequalities are immediate:
(58) D
+
f(x) D
+
f(x) Right-hand derivates
REAL ANALYSIS LECTURE NOTES 35
and
(59) D

f(x) D

f(x) Left-hand derivates.


What if theyre all equal? It turns out that
(60) lim
h0
+
f(x +h) f(x)
h
exists and is nite D
+
f(x) = D
+
f(x)
and
(61) lim
h0

f(x +h) f(x)


h
exists and is nite D

f(x) = D

f(x).
Thus
f
t
(x) = lim
h0
f(x +h) f(x)
h
exists and is nite if and
only if D

f(x) = D

f(x) = D
+
f(x) = D
+
f(x)
by (60) and (61). This can be used to determine when a function is not dierentiable.
Remark 5.8. If a measurable function f is dierentiable a.e. on [a, b], put h =
1
n
in the
denition of derivative so that
(62) lim
n
f(x +
1
n
) f(x)
1
n
= lim
n
n
_
f
_
x +
1
n
_
f(x)
_
exists a.e. on [a, b]. Note that f
n
(x) = n
_
f
_
x +
1
n
_
f(x)

is measurable for every


n N, so if the limit in the right-hand side of (62) exists and is nite a.e., the limit
function lim
n
f
n
(x) will be Lebesgue measurable. Thus the derivative is measurable in
this case.
Denition 5.9. A function f : [a, b] R is called monotone increasing if whenever
x
1
, x
2
[a, b] and x
1
< x
2
, then f(x
1
) f(x
2
).
Denition 5.10. A function f : [a, b] R is called monotone decreasing if when-
ever x
1
, x
2
[a, b] and x
1
< x
2
, then f(x
1
) f(x
2
).
Remark 5.11. Note that monotone functions are always bounded since f(a) f(x)
f(b) for all x [a, b] if f is monotone increasing, whereas f(a) f(x) f(b) for all
x [a, b] if f is monotone decreasing.
36 REAL ANALYSIS LECTURE NOTES
Remark 5.12. If f(x) is monotone, then lim
tx
+
f(t) and lim
tx

f(t) exist. For example, if


f is monotone increasing, then
(63) lim
tx
+
f(t) = inf
t>x
f(t) and lim
tx

f(t) = sup
t<x
f(t).
Interchange these in (63) for f monotone decreasing.
Remark 5.13. If f(x) is monotone on [a, b], f can be discontinuous at at most a
countable number of points in [a, b]. Indeed,
(64) f is not continuous at x lim
tx
+
f(t) ,= lim
tx

f(t).
The jump at a discontinuity cannot be too big. Is it possible to have the function
unbounded? We will soon provide an answer to this question.
Proposition 5.14. Let f be monotone. Then f is bounded by Remark 5.11. Let
(65) D = x [a, b] : f is not continuous at x.
Then D is countable.
REAL ANALYSIS LECTURE NOTES 37
5.3. Vitalis Covering Lemma.
Denition 5.15. Let E R. Let 1 be a collection of nondegenerate intervals of R.
We say that 1 is a Vitali cover for E, or that 1 covers E in the sense of Vitali, if
x E and > 0, I 1 such that x I and m(I) = l(I) < .
Example 5.16. Let E = R and let
1 = (a, b) : a < b, a, b R.
This is a Vitali cover for R since if x R and > 0 is given, let
I =
_
x

3
, x +

3
_
.
Then x I and l(I) =
2
3
< .
Example 5.17. Let E = [0, 1] and let
1 = (s, t) : 0 s < t 1, s, t Q.
You should convince yourself that this 1 is a Vitali cover for [0, 1].
Lemma 5.18 (Vitalis Covering Lemma - Lemma 1, 5.1, p. 98 of [3]). Suppose
E R with m

(E) < (E need not be measurable here). Let 1 be a Vitali cover for E.
Then > 0 there exist pairwise disjoint intervals I
n

N
n=1
with I
n

N
n=1
1, I
i
I
j
=
for 1 i j N, i ,= j and such that
(66) m

_
E
N
_
i=1
I
i
_
< .
Theorem 5.19 (Theorem 3, 5.1, p. 100 of [3]). Let f be monotone increasing on [a, b].
Then f is dierentiable a.e. on [a, b]. Moreover, f
t
is measurable (see Exercise ??) and
integrable over [a, b], with
(67) 0
_
[a,b]
f
t
f(b) f(a).
Note that the left-hand inequality in (67) follows from the fact that all the derivatives
are nonnegative.
Corollary 5.20. Let f : [a, b] R be monotone decreasing. Then f
t
exists a.e. on
[a, b], f
t
is integrable over [a, b] and
(68) < f(b) f(a)
_
[a,b]
f
t
.
38 REAL ANALYSIS LECTURE NOTES
Note that f is monotone increasing. The result follows by applying Theorem 5.19 to
the function f.
Remark 5.21. Theorem 5.19 and Corollary 5.20 show that all monotone functions f
are dierentiable a.e. on [a, b] and that f
t
is integrable. Furthermore, these two results
show that all nite linear combinations of monotone functions are dierentiable a.e. on
[a, b] and that their derivatives are integrable.
REAL ANALYSIS LECTURE NOTES 39
5.4. Variation and Absolute Continuity.
Denition 5.22. Let f : [a, b] R. Let
(69) T = a = x
0
< x
1
< x
2
< < x
n
= b
be a partition of [a, b]. Dene the total variation of f with respect to P, T(f, T),
by
(70) T(f, T) =
n

i=1

f(x
i
) f(x
i1
)

<
(note that (70) is nite since its a nite sum). We say that f is of bounded variation
over [a, b], written f BV [a, b], if
(71) sup
1 partitions
of [a,b]
_
T(f, T)
_
< .
If f BV [a, b], let
(72) T
b
a
(f) = sup
1
_
T(f, T)
_
,
T
b
a
(f) is called the total variation of f over [a, b].
Example 5.23. Let
(73) f(x) =
_
sin
1
x
if 0 < x 1
0 if x = 0
What happens when you take the supremum of all of these sums (70) over all possible
partitions T of [0, 1]? Surely f(x) is not of bounded variation as dened above (see
Denition 5.22).
Remark 5.24 (Properties and examples of functions of bounded variation
over [a, b]).
(i) If f is monotone on [a, b], then f BV [a, b].
(ii) There exist examples of functions that are continuous on [a, b] yet are not of
bounded variation over [a, b]. Thus continuity alone is not enough to ensure a
functions is of bounded variation over [a, b]. See Exercise ??.
(iii) If f and g are of bounded variation over [a, b] and c R, then
f +g BV [a, b]
and
cf BV [a, b].
40 REAL ANALYSIS LECTURE NOTES
This implies that the class of functions of bounded variation over [a, b] is a vector
space over R.
(iv) If f
t
exists at all x [a, b], and if f
t
is bounded on [a, b], then f BV [a, b]. See
Exercise ?? and use the Mean Value Theorem.
(v) If f BV [a, b], then f is bounded on [a, b], i.e., M > 0 such that [f(x)[ M.
Remark 5.25. We x a bit of notation. For r R, let
(74) r
+
=
_
r if r 0
0 if r < 0
and
(75) r

=
_
0 if r > 0
r if r 0
.
Note that
(76) r = r
+
r

,
(77) [r[ = r
+
+r

,
(78) 0 r
+
[r[,
and
(79) 0 r

[r[.
Note the similarity to Denition 3.56.
Denition 5.26. Let f : [a, b] R. If T = a = x
0
< x
1
< < x
n
= b is some
partition of [a, b], let the positive variation of f with respect to P be
(80) p(f, T) =
n

i=1
_
f(x
i
) f(x
i1
)

+
.
Similarly, dene the negative variation of f with respect to P by
(81) n(f, T) =
n

i=1
_
f(x
i
) f(x
i1
)

.
Remark 5.27. Note that by (78) and (79) we get that
(82) 0 p(f, T) T(f, T)
and
(83) 0 n(f, T) T(f, T).
REAL ANALYSIS LECTURE NOTES 41
This is true for all partitions T of [a, b]. Note that, using (76), one can easily derive that
(84) p(f, T) n(f, T) = f(b) f(a),
that is,
(85) p(f, T) = f(b) f(a) +n(f, T)
for any partition T of [a, b]. Similarly, using (77), we see that
(86) p(f, T) +n(f, T) = T(f, T)
for every partition T of [a, b].
Denition 5.28. Let f BV [a, b]. We dene the positive variation of f over [a, b]
as
(87) P
b
a
(f) = sup
1
_
p(f, T)
_
.
Similarly, we dene the negative variation of f over [a, b] as
(88) N
b
a
(f) = sup
1
_
n(f, T)
_
.
Remark 5.29. Letting f BV [a, b], since
(89) p(f, T) T(f, T) T
b
a
(f) < ,
(where the last inequality on the right comes from the assumption that f BV [a, b]),
we see that
(90) 0 P
b
a
(f) <
since T
b
a
(f) is an upper bound on p(f, T) for any partition T of [a, b] by (89), hence
there exists a least upper bound on
_
p(f, T)
_
for all partitions T of [a, b], which we
have dened as P
b
a
(f) (see Denition 5.28). Similar to (89) and (90), we see that
(91) 0 N
b
a
(f) T
b
a
(f) <
where again the last inequality on the right follows from the hypothesis that f BV [a, b].
Lemma 5.30 (Lemma 4, 5.2, p. 103 of [3]). Let f : [a, b] R be of bounded variation
over [a, b]. Then
(92) P
b
a
(f) N
b
a
(f) = f(b) f(a)
and
(93) P
b
a
(f) +N
b
a
(f) = T
b
a
(f).
42 REAL ANALYSIS LECTURE NOTES
Denition 5.31. Let f BV [a, b]. For a x b, consider
T
x
a
(f) : [a, b] [0, )
dened by
(94) T
x
a
(f) =
_
0 if x = a
T
x
a
(f) if a < x b
Similarly, dene
P
x
a
(f) : [a, b] [0, )
and
N
x
a
(f) : [a, b] [0, )
in the corresponding way. Note that if f BV [a, b], then f is of bounded variation
over [a, x] for all x (a, b]. Thus, by Lemma 5.30 we have, for every x [a, b],
(95) f(x) f(a) = P
x
a
(f) N
x
a
(f)
and
(96) T
x
a
(f) = P
x
a
(f) +N
x
a
(F).
If x = a, everything is zero.
Proposition 5.32. If f BV [a, b], then T
x
a
(f), P
x
a
(f) and N
x
a
(f) are monotone in-
creasing functions on [a, b].
Theorem 5.33 (Theorem 5, 5.2, p. 103 of [3]). Let f : [a, b] R. Then f is
of bounded variation on [a, b] if and only if f can be written as the dierence of two
monotone increasing (real-valued) functions on [a, b].
Corollary 5.34 (Corollary 6, 5.2, p. 104 of [3]). Suppose that f : [a, b] R and that
f is of bounded variation over [a, b]. Then f
t
exists a.e. on [a, b] and f
t
is integrable
over [a, b]. Note that f
t
integrable over [a, b] implies that f
t
is measurable over [a, b].
Remark 5.35. Note that we still dont have an analogue of the Fundamental Theorem
of Calculus. Recall Exercise 5, 4.3, p. 89 of [3]: If f : [a, b] [0, ], and f is
integrable over [a, b], then
(97) F(x) =
_
[a,x]
f(t)dt or F(x) =
_
[a,x]
f
is continuous on [a, b]. It turns out this is true in more generality. We have the following
Lemma 5.36.
REAL ANALYSIS LECTURE NOTES 43
Lemma 5.36 (Lemma 7, 5.3, p. 105 of [3]). Suppose that f : [a, b] [, ] is
integrable over [a, b]. Then
(98) F(x) =
_
x
a
f(t)dt
is continuous on [a, b] and F BV [a, b].
Remark 5.37. Note that by Theorem 5.33 and its Corollary 5.34, F is dierentiable
a.e. on [a, b] and F
t
is integrable over [a, b] where
F(x) =
_
x
a
f(t)dt.
The natural question arises: What is F
t
(x)? It turns out that F
t
(x) = f(x), but this
is not as easy to show as in the Riemann case. We need to develop some further tools
rst.
Lemma 5.38 (Lemma 8, 5.3, 105 of [3]). Suppose that f : [a, b] [, ] is
integrable over [a, b], and suppose that
(99) F(x) =
_
x
a
f(t)dt = 0
for every x [a, b]. Then f(x) = 0 a.e. on [a, b].
Lemma 5.39 (Lemma 9, 5.3, p. 106 of [3]). Let f : [a, b] R be Lebesgue measurable
and bounded on [a, b] (note that f is then integrable over [a, b]). Suppose that
(100) F(x) = F(a) +
_
x
a
f(t)dt.
Then F
t
(x) = f(x) a.e. on [a, b].
Theorem 5.40 (Theorem 10, 5.3, p. 107 of [3]). Let f be a Lebesgue integrable function
over [a, b] and suppose that
(101) F(x) = F(a) +
_
x
a
f(t)dt
for F(a) R. Then F
t
(x) = f(x) a.e. on [a, b].
Denition 5.41. Let g : [a, b] R. We say that g is absolutely continuous on
[a, b] if > 0, > 0 such that whenever
_
(c
i
, d
i
)
_
n
i=1
is a pairwise disjoint collection
of intervals in [a, b] with
(102)
n

i=1
(d
i
c
i
) < ,
44 REAL ANALYSIS LECTURE NOTES
then
(103)
n

i=1

g(d
i
) g(c
i
)

< .
Remark 5.42. It turns out that g is absolutely continuous on [a, b] if and only if g
t
(x)
exists a.e. on [a, b], g
t
is integrable over [a, b], and
(104) g(x) g(a) =
_
x
a
g
t
(t)dt
for every x [a, b]. We will see shortly how to prove this. This result extends the
Fundamental Theorem of Calculus to the class of absolutely continuous functions. Note
the integrand in (104) need not be continuous as in the Riemann case, it only needs to
be Lebesgue integrable.
Remark 5.43. Note that any absolutely continuous function is uniformly continuous on
[a, b] (take n = 1 in Denition 5.41 and you get the denition of uniformly continuous).
The converse is not true in general, however. We will shortly characterize all absolutely
continuous functions. See Theorem 5.50.
Remark 5.44. If
F(x) =
_
x
a
f(t)dt +F(a)
where f is Lebesgue integrable over [a, b], then F is absolutely continuous over [a, b].
To prove this, use the continuity of the Lebesgue integral (see Proposition 4.28). The
converse of this will turn out to be true, but this is harder to prove. We will show that
any absolutely continuous function is dierentiable rst, and the easiest way to do this
is to show it is of bounded variation over [a, b].
Lemma 5.45 (Lemma 11, 5.4, p. 108 of [3]). Let f : [a, b] R be absolutely
continuous on [a, b]. Then f is of bounded variation over [a, b].
Corollary 5.46. If f is absolutely continuous on [a, b], then f
t
exists a.e. on [a, b] and
f
t
is Lebesgue integrable over [a, b].
Proof. See Corollary 5.34.
Remark 5.47. Linear combinations of absolutely continuous functions are absolutely
continuous, but compositions are not necessarily. See Exercise 17(a), p. 111 of [3] (and
be careful - the Exercise as stated in the book is incorrect. Can you come up with a
counterexample?).
REAL ANALYSIS LECTURE NOTES 45
Lemma 5.48 (Lemma 13, 5.4, p. 109 of [3]). If f is absolutely continuous on [a, b]
and f
t
(x) = 0 a.e., then f(x) = f(a) is constant for every x [a, b].
Remark 5.49. Note that Lemma 5.48 is not true in general for functions of bounded
variation. Consider the Cantor ternary function (see Exercise 48, p. 50 and Exercise 15,
p. 111 of [3]). Call this function f. Then f : [0, 1] [0, 1], f is monotone increasing, f
t
exists a.e. and f
t
(x) = 0 a.e., but f is not constant. The problem is that f is continuous
but not absolutely continuous.
Theorem 5.50 (Characterization of absolutely continuous functions -
Theorem 14, 5.4, p. 110 of [3]). A function F : [a, b] R can be expressed as an
indenite integral of a Lebesgue integrable function over [a, b] if and only if F is absolutely
continuous on [a, b].
Corollary 5.51 (Corollary 15, 5.4, p. 110 of [3]). Every absolutely continuous function
F on [a, b] can be written as the indenite integral of its derivative plus a constant, F(a).
46 REAL ANALYSIS LECTURE NOTES
5.5. Convexity.
Denition 5.52. Suppose that : (a, b) R is a function dened on an open interval
(a, b) in R. We say that is convex if for each x, y (a, b), x < y and for every [0, 1],
(105)
_
x + (1 )y
_
(x) + (1 )(y).
This relates to concave up in the Calc 1 sense of the term (whereas concave means
concave down in Calc 1 language). Consider the chord joining
_
x, (x)
_
and
_
y, (y)
_
.
The point on this chord whose rst coordinate is x + (1 )y has second coordinate
equal to (x) +(1 )(y). Hence is convex i the graph of lies on or below any
chord joining two points on the graph.
Lemma 5.53 ((Lemma 16, 5.5, p. 113 of [3]). Let be convex on (a, b). Suppose
c
1
, d
1
, c
2
, d
2
are points in (a, b) such that c
1
c
2
< d
2
and c
1
< d
1
d
2
, then
(106)
(d
1
) (c
1
)
d
1
c
1

(d
2
) (c
2
)
d
2
c
2
.
The inequality in (106) is equivalent to
(107) (d
2
c
2
)(d
1
) + (d
1
c
1
)(c
2
) (d
1
c
1
)(d
2
) + (d
2
c
2
)(c
1
).
Denition 5.54. Suppose f : (a, b) R and let x
0
(a, b). If D

f(x
0
) = D

f(x
0
)
exist, are nite and equal to each other, we say that f is left dierentiable at x
0
and
write the common value D

f(x
0
) = D

f(x
0
) as f
t
L
(x
0
). Thus
(108) lim
xx

0
f(x) f(x
0
)
x x
0
= f
t
L
(x
0
).
Similarly, if we have D
+
f(x
0
) = D
+
f(x
0
) and both are nite, we say that f is right
dierentiable at x
0
and write the common value D
+
f(x
0
) = D
+
f(x
0
) as f
t
R
(x
0
). Thus
(109) lim
xx
+
0
f(x) f(x
0
)
x x
0
= f
t
R
(x
0
).
Remark 5.55. Note that, if perchance m R is such that
t
L
(x
0
) m
t
R
(x
0
), then
we always have
(110)
(x) (x
0
)
x x
0
m
(y) (x
0
)
y x
0
whenever a < x < x
0
< y < b. We will need this to prove Jensens inequality (see
Proposition 5.61).
REAL ANALYSIS LECTURE NOTES 47
Proposition 5.56 (Proposition 17, 5.5, p. 113 of [3]). Let : (a, b) R be convex.
Then on every closed subinterval of (a, b) is absolutely continuous. Moreover, the right-
and left-hand derivatives
t
L
and
t
R
exist at each point in (a, b) and
t
L
(x) =
t
R
(x)
except on a countable subset of [a, b] (Note that in general if a function is absolutely
continuous then the derivative exists a.e. on its domain. See Corollary 5.46). Further-
more,
t
L
and
t
R
are monotone increasing functions and
t
L
(x)
t
R
(x) at each point
x (a, b).
Proposition 5.57 (Proposition 18, 5.5, p. 114 of [3]). Suppose is continuous on
(a, b) and suppose that one derivate, say D
+
is nite and monotone increasing on
(a, b). Then is convex on [a, b].
Denition 5.58. If is convex on (a, b), m R and x
0
(a, b), we say the line
(111) y = m(x x
0
) +(x
0
)
through the point (x
0
, (x
0
)) is a supporting line for if the graph of is always on
or above the line in (125). This is equivalent to saying that (x) m(x x
0
) + (x
0
)
for every x (a, b). In other words, (125) is a supporting line if
(x) (x
0
)
x x
0
m
for x > x
0
and
(x) (x
0
)
x x
0
m
for x < x
0
. Thus if is dierentiable and m
_

t
L
(x
0
),
t
R
(x
0
)

, then (125) is a
supporting line for . Thus convex functions always have supporting lines (although
this is not true for more general functions). See Proposition 5.56 and Remark 5.55.
Corollary 5.59 (Corollary 19, 5.5, p. 115 of [3]). Let : (a, b) R be twice
dierentiable on (a, b). Then is convex on (a, b) if and only if
tt
(x) 0 for every
x (a, b).
Example 5.60. To illustrate Corollary 5.59, consider
(i) Let (x) = e
x
= exp(x) for every x R. Since
tt
(x) = e
x
> 0 for every x R,
is convex.
(ii) Let (x) = x
2
. Since
t
(x) = 2x and
tt
(x) = 2 > 0 for every x R, is convex.
Proposition 5.61 (Jensens Inequality - Proposition 20, 5.5, p. 115 of [3]). Let
be convex on (, ) = R and suppose that f : [0, 1] R is Lebesgue integrable over
[0, 1]. Suppose that either
48 REAL ANALYSIS LECTURE NOTES
(i) f is integrable over [0, 1], or
(ii) (x) 0 for all x R.
Then
(112)
_
[0,1]

_
f(t)
_
dt
__
[0,1]
f(t)dt
_
.
Corollary 5.62 (Corollary 21, 5.5, p. 116 of [3]). Let f be Lebesgue integrable over
[0, 1]. Then
(113)
_
[0,1]
exp
_
f(t)
_
dt exp
__
[0,1]
f(t)dt
_
.
Remark 5.63. The concave version of Jensens inequality and its corollary (See Propo-
sition 5.61 and Corollary 5.62) are as follows: If is concave and h is Lebesgue integrable
over [0, 1], then
(114)
_
[0,1]

_
h(t)
_
dt
__
[0,1]
h(t)dt
_
.
Otherwise, let h(x) be positive and (x) = ln x. Then
(115)
_
[0,1]
ln
_
h(t)
_
dt ln
__
[0,1]
h(t)dt
_
.
Remark 5.64. Here is a useful fact about convex functions. Let : (a, b) R be
convex. Suppose that t
1
, t
2
, . . . , t
n
[0, 1] satisfy

n
i=1
t
i
= 1. If x
1
, x
2
, . . . , x
n
(a, b),
then

_
n

i=1
t
i
x
i
_

n

i=1
t
i
(x
i
).
REAL ANALYSIS LECTURE NOTES 49
6. L
p
Spaces
Denition 6.1. Let X be either [0, 1] or R. Let f : X [, ] be Lebesgue
measurable. Recall f is said to be integrable over X if f
+
and f

are integrable over


X (see Denition 4.25). This is equivalent to [f[ being integrable over X (see Exercise
10, p. 93 of [3]) and we say in this case that f is in L
1
(X, m), and write
(116) |f|
1
=
_
X
[f(x)[dm.
Remark 6.2. Recall if h : X [, ] is Lebesgue measurable and nite a.e.,
and g : R R is continuous, then g h is Lebesgue measurable. Now, suppose that
f : X [, ] is Lebesgue measurable on X and nite a.e. Then [f[ is Lebesgue
measurable on X and nite a.e. as well. Fix p [1, ). Let g
p
: [0, ) [0, )
be dened by g
p
(t) = t
p
. Note that g
p
is continuous, thus g
p
_
[f[
_
= [f[
p
is Lebesgue
measurable and nite a.e.
Denition 6.3. Let f be Lebesgue measurable on X, f : X [, ]. Fix p
[1, ). We say f is in L
p
(X, m) if
(117)
_
X
[f(x)[
p
dm(x) < ,
and we write
(118) |f|
p
=
__
X
[f(x)[
p
dm(x)
_
1/p
(note that we will need the 1/p in (118) to prove the triangle inequality later).
Example 6.4. Let X = [0, 1] and let
f(x) =
_
if x = 0
1

x
if 0 < x 1.
It can be shown that f is in L
1
_
[0, 1], m
_
. f is not in L
2
_
[0, 1], m
_
, however, since
[f(x)[
2
=
_
if x = 0
1
x
if 0 < x 1
and
_
[0,1]
1
x
dm(x) = .
50 REAL ANALYSIS LECTURE NOTES
Remark 6.5. Example 6.4 shows that, even on [0, 1], just because [f(x)[ < a.e., it
does not necessarily follow that f is in L
p
[0, 1] for all p.
Example 6.6. Let X = R and let
g(x) =
_
0 if < x 1
1
x
if 1 x < .
Recall that g is not integrable over R since
_
R
[g(x)[dm(x) =
_
[1,)
1
x
dx = lim
t
ln x

t
1
= ,
so that g / L
1
(R, m). However,
[g(x)[
2
=
_
0 if < x 1
1
x
2
if 1 x <
and
_
R
[g(x)[
2
dx <
so that g L
2
(R, m).
Remark 6.7. Powers of
1
x
are useful for constructing examples, as in Examples 6.4 and
6.6.
Denition 6.8. We turn to the p = case. Let f : X [, ] and suppose that
f is Lebesgue measurable. We say that f is essentially bounded on X if M 0
such that
[f(x)[ M a.e. on (X, m),
that is,
m
_
x : [f(x)[ > M
_
= 0.
M is called an essential bound for f in this case.
Example 6.9. Let X = R and let
f(x) =
_

_
0 if x = 0
1 if x RQ
1
x
if x Q0.
This function is not bounded since lim
n
f(
1
n
) = lim
n
1
1
n
= . Note, however, that f is
essentially bounded by 1 since [f[ = 1 a.e.
REAL ANALYSIS LECTURE NOTES 51
Denition 6.10. We say that f is in L

(X, m) if f is essentially bounded on (X, m).


In this case we dene
(119) |f|

= M

= infM 0 : M is an essential bound for f.


Note that the set in (119) is nonempty and bounded below by 0, so it has an inmum.
Proposition 6.11. If f L

(X, m), then |f|

= M

is an essential bound for f. In


other words, M

is an element of the set in (119).


Remark 6.12. For 1 p , we want to show that L
p
(X, m) is a normed vector
space. Thus the key elements of the norm we want to show are
(i) For | |
p
: L
p
(X, m) [0, ), |f|
p
= 0 f = 0 (this shows uniqueness of
the zero vector).
(ii) For every R and for all f L
p
(X, m), f L
p
(X, m) and |f|
p
= [[|f|
p
.
(iii) If f
1
, f
2
L
p
(X, m), then f
1
+f
2
L
p
(X, m) and (Minkowskis inequality)
|f
1
+f
2
|
p
|f
1
|
p
+|f
2
|
p
.
The problem that arises is that if f = 0 a.e., then |f|
p
= 0 but f is not identically zero.
To remedy this situation, if |f|
p
< and |g|
p
< , we say f and g are equivalent,
written f g, if
(120) m
_
x : f(x) ,= g(x)
_
= 0,
that is, if f(x) = g(x) a.e. on X. You should check that is an equivalence relation.
We are now ready to give the proper denition of L
p
(X, m).
Denition 6.13. The elements of L
p
(X, m) are equivalence classes of functions
(121)
_
[f] : f : X [, ] is Lebesgue measurable and |f|
p
<
_
,
where the equivalence relation is as dened in Remark 6.12. It can be shown easily that
L
p
(X, m) thus dened is still a vector space. We get a unique zero vector in this case,
xing the problem from Remark 6.12. We will immediately become less formal and use
mostly function notation (i.e. f and g) to denote elements of L
p
(X, m) instead of [f], [g].
This should cause no confusion.
Proposition 6.14 (See 1, 6.2, p. 120 of [3]). Fix p [1, ]. Let f, g L
p
(X, m).
Then f + g L
p
(X, m). Note that this actually works for all p (0, ], but we dont
get a norm for p (0, 1).
52 REAL ANALYSIS LECTURE NOTES
Proposition 6.15. We now show that for 1 p , L
p
(X, m) is a normed vector
space with norm
(122) |f|
p
=
_

_
__
X
[f(x)[
p
dx

1/p
if 1 p <
ess sup [f(x)[ if p = .
That is, | |
p
: L
p
(X, m) [0, ) dened in (122) satises
(i) |f|
p
= 0 f = 0.
(ii) For every R and for every f L
p
(X, m), |f|
p
= [[|f|
p
.
(iii) Minkowskis inequality: If f
1
, f
2
L
p
(X, m), then
|f
1
+f
2
|
p
|f
1
|
p
+|f
2
|
p
.
(See 1, 6.2, p. 120 of [3] and Theorem 6.16).
Theorem 6.16 (Minkowskis Inequality - See 1, 6.2, p. 120 of [3]). This is the
proof of Proposition 6.15(iii). If f, g L
p
(X, m) with 1 p , then
(123) |f +g|
p
|f|
p
+|g|
p
.
Furthermore, if 1 < p < , then equality will hold in (123) if and only if , R
such that f = g.
Remark 6.17. Thus for 1 p , L
p
(X, m) is a normed vector space. In fact, we will
show that L
p
(X, m) is a Banach space for 1 p , that is, L
p
(X, m) is complete in
the metric induced by its norm (see Remark 6.22 and Theorem 6.34). First we establish
the next important inequality for L
p
-spaces, the Holder inequality.
Denition 6.18. If p [1, ], we dened the conjugate exponent q to p as follows:
q =
_

_
if p = 1
p
p1
if 1 < p <
1 if p = .
Note that 1 <
p
p1
< in the middle case above and lim
p1
+
p
p1
= . Furthermore,
lim
p
p
p1
= 1 so our denition is a continuous choice of conjugate exponents. Note that
1
p
+
1
q
=
1
p
+
1
p
p1
=
1
p
+
p 1
p
= 1.
The special case where p = q occurs when p = q = 2.
REAL ANALYSIS LECTURE NOTES 53
Proposition 6.19 (Youngs Inequality - See Exercise 8, p. 123 of [3]). Let a 0,
b 0 and p (1, ). Let q be the conjugate exponent to p. Then
(124) ab
a
p
p
+
b
q
q
with equality holding in (124) if and only if a
p
= b
q
.
Theorem 6.20 (H

olders Inequality - See 4, 6.2, p. 121 of [3]). Let (X, , m)


be
_
[0, 1], /, m
_
or (R, /, m). Let p [1, ] and let q be the conjugate exponent to
p. Let f L
p
(X, m) and g L
q
(X, m). Then fg is Lebesgue integrable over X (i.e.,
fg L
1
(X, m)) and
(125) |fg|
1
|f|
p
|g|
q
,
with equality holding in (125) if and only if ,

0 with

[f(x)[
p
= [g(x)[
q
a.e.
Corollary 6.21 (Cauchy-Schwarz Inequality). If f, g L
2
(X, m), then fg
L
1
(X, m) (i.e., fg is Lebesgue integrable over X) and
|fg|
1
|f|
2
|g|
2
.
This is why L
2
is an important space - we are able to dene an inner product.
Remark 6.22. Note that the norm | |
p
in (122) makes L
p
(X, m) into a metric space
with metric
d
p
_
[f], [g]
_
= |f g|
p
.
Minkowskis inequality can be used to prove that, given [f], [g], [h] L
p
(X, m),
d
p
_
[f], [g]
_
d
p
_
[f], [h]
_
+d
p
_
[h], [g]
_
,
the triangle inequality in the metric space.
Denition 6.23. We say that a sequence f
n

n=1
in a normed linear space is a Cauchy
sequence if for any > 0 there is an N N such that for all n N and all m N,
|f
n
f
m
| < . It is easy to show that every convergent sequence is a Cauchy sequence.
Denition 6.24. Recall a metric space (Y, d) is said to be complete if every Cauchy
sequence y
n

n=1
Y converges to some y Y .
Example 6.25. Note that (R, d = [ [) (i.e. R with the normal absolute value) is
complete, whereas (Q, [ [) is not complete.
54 REAL ANALYSIS LECTURE NOTES
Denition 6.26. Let (Y, | |) be a normed vector space over R. We say that (Y, | |) is
a Banach space over R if (Y, d
||
) is a complete metric space (where d
||
is the metric
induced by the norm. See Remark 6.22 for an example). We will show that L
p
(X, m) is
a Banach space for 1 p .
Remark 6.27. For the record, everything we do from now on will be over R. Our
results generalize to over C, but this is not the focus of our course.
Denition 6.28. Let (Y, | |) be a normed vector space (over R). Let y
k

k=1
Y be
a sequence. We say that

k=1
y
k
is summable in (Y, ) if s Y such that taking
s
n
=

n
k=1
y
k
, then the sequence of partial sums s
n

n=1
converges to s in (Y, | |), that
is,
lim
n
|s s
n
| = 0.
Example 6.29. Consider the following:
(i) Let (Y, | |) = (R, [ [). Let
_
y
k
=
(1)
k
k
_

k=1
R. Then

k=1
(1)
k
k
is summable
(the alternating harmonic series).
(ii)
_
y
k
=
(1)
k
k
2
_

k=1
R is also summable.
Denition 6.30. Let y
k

k=1
be a sequence in (Y, | |), a normed vector space. We
say that the sum

k=1
y
k
is absolutely summable if
(126)

k=1
|y
k
| < ,
that is, if the sum in (126) converges.
Remark 6.31. Absolutely summable does not imply summable in general, although
it does in R. Take (Q, [ [), for example, and let y
1
= 3, y
2
=
1
10
, y
3
=
4
100
, y
4
=
1
1000
,
y
5
=
5
10000
, etc. That is, let
y
n
=
n
th
digit of
10
n
.
Then

k=1
|y
k
| =

k=1
[y
k
[ <
converges to in R but

k=1
y
k
is not summable in (Q, [ [).
REAL ANALYSIS LECTURE NOTES 55
For the converse, i.e. that summability does not imply absolute summability, consider
the sequence from Example 6.29(i),
_
y
k
=
(1)
k
k
_

k=1
(R, [ [). Recall that

k=1
y
k
is
summable, but

k=1
[y
k
[ =

k=1
1
k
=
so the sum is not absolutely summable. Note that the series from Example 6.29(ii) is
absolutely summable.
Theorem 6.32 (Proposition 5, 6.3, p. 124 of [3]). A normed vector space (Y, | |) over
R is a Banach space (in the metric induced by its norm) if and only if every absolutely
summable series in (Y, | |) is summable in (Y, | |).
Remark 6.33. As an application of Theorem 6.32, we will show that L
p
(X, m) is
a Banach space for 1 p . Suppose that y
k

k=1
L
p
(X, m) is such that

k=1
|f
k
|
p
< . It must be shown that there exists an f L
p
(X, m) such that
lim
n
_
_
_
_
_
f
n

k=1
f
k
_
_
_
_
_
p
= 0.
This is not easy, but we prove it in the following Theorem 6.34.
Theorem 6.34 (Riesz-Fischer Theorem - Theorem 6, 6.3, p. 125 of [3]). Let
p [1, ]. Then L
p
(X, m) is a Banach space.
Remark 6.35. Recall that we showed in Section 3 that for f a Lebesgue integrable
function over X, for every > 0 there exists s step function and a continuous function
such that
_
X

f(x) (x)

dm < and
_
X

f(x) (x)

dm <
with [(x)[ < [f(x)[ and [(x)[ < [f(x)[ (see Proposition 3.60). We want to do the same
thing in L
p
(X, m), but we will need p < . We rst do the bounded case.
Lemma 6.36 (Lemma 7, 6.4, p. 127 of [3]). Let 1 p < and let f L
p
(X, m).
Then there exists an M > 0 and a bounded Lebesgue measurable function f
M
L
p
(X, m)
such that [f
M
(x)[ [f(x)[ for every x X and |f f
M
|
p
< for any > 0.
56 REAL ANALYSIS LECTURE NOTES
Proposition 6.37 (Proposition 8, 6.4, p. 128 of [3]). Let f L
p
[0, 1], p [1, ). Given
> 0 there exists a step function L
p
[0, 1] and a continuous function L
p
[0, 1]
such that
|f |
p
< and |f |
p
< .
Note that we already proved this for the p = 1 case (see Proposition 3.60). We prove
this for X = [0, 1] and leave the case X = R as an exercise (Hint: Use DCT).
Denition 6.38. Let (Y, | |) be a normed linear space over R. A map F : Y R is
called a bounded linear functional if:
(i) F(f
1
+f
2
) = F(f
1
) +F(f
2
) for all , R and for all f
1
, f
2
Y (linearity)
(ii) There exists an M > 0 such that [F(f)[ M|f| for every f Y (boundedness).
Proposition 6.39. The bounded linear functionals on (Y, | |) are precisely the contin-
uous linear functionals on Y .
Proof. (=) If F is a bounded linear functional on Y , then M > 0 such that for any
f
1
, f
2
Y , [F(f
1
f
2
)[ M|f
1
f
2
| [F(f
1
) F(f
2
)[ M|f
1
f
2
|, which can
be made arbitrarily small if f
1
and f
2
are close together.
(=) The proof of this direction requires functional analysis and so we will assume it
for now.
Denition 6.40. Given a bounded linear functional F on (Y, | |), we dene the norm
of F, written |F|, by
(127) |F| = sup
_
[F(f)[
|f|
: f Y 0
_
.
Note that, by denition,
[F(f)[
|f|
|F| f Y 0,
which implies that
(128) [F(f)[ |F| |f| f Y
since (128) is also true for f = 0.
Example 6.41 (See Proposition 11, 6.5, p. 131 of [3]). Fix g L
2
[0, 1]. Note that
by Holders inequality, gf L
1
[0, 1] (i.e., gf is Lebesgue integrable over [0, 1]) for all
f L
2
[0, 1] (recall 2 is the conjugate exponent of itself). Dene T
g
: L
2
[0, 1] R by
T
g
(f) =
_
[0,1]
gf dx and note that T
g
is linear (which follows from the linearity of the
integral). T
g
is also bounded:
[T
g
(f)[

_
[0,1]
gf dx


_
[0,1]
[g[[f[ dx
__
[0,1]
[g[
2
dx
_1
2
__
[0,1]
[f[
2
dx
_1
2
REAL ANALYSIS LECTURE NOTES 57
by Holders inequality again, which implies that [T
g
(f)[ |g|
2
|f|
2
. Thus for [f] ,= 0 in
L
2
[0, 1],
[T
g
(f)[
|f|
2
|g|
2
= |T
g
| |g|
2
since |g|
2
is an upper bound on the set in (127), but |T
g
| is the least upper bound on
that set by Denition 6.40, thus |T
g
| |g|
2
.
Remark 6.42. Example 6.41 is true more generally for conjugate exponents p and q.
The same argument shows that for any xed g L
q
(X, m), T
g
: L
p
(X, m) R dened
by
T
g
(f) =
_
X
gf dx
is a bounded linear functional on L
p
(X, m, | |
p
) with
(129) |T
g
| |g|
q
.
It turns out that |T
g
| = |g|
q
, which we now show. First we need a denition.
Denition 6.43. Dene
sgn g(x) =
_

_
1 if g(x) > 0
0 if g(x) = 0
1 if g(x) < 0
Note that sgn g(x) is bounded and measurable (its a simple function). Note also that
g(x) [sgn g(x)] = [g(x)[ and [sgn g(x)] [g(x)[ = g(x).
Proposition 6.44 (Proposition 11, 6.5, p. 131 of [3]). If p and q are conjugate expo-
nents in [1, ], then |T
g
| = |g|
q
.
Remark 6.45. Our main aim of this section is to show that if p [1, ), any bounded
linear functional on L
p
[0, 1] must be of the form T
g
, where g L
q
[0, 1] and q is the
conjugate exponent to p (T
g
is as dened in Remark 6.42). This g is in fact unique,
which establishes a one-to-one correspondence between the bounded linear functionals
on L
p
[0, 1] and the elements of L
q
[0, 1], a result known as the Riesz Representation
Theorem (see Theorem 6.47). This is also true for L
p
(R, m), but this is beyond the
scope of this course.
Lemma 6.46 (Lemma 12, 6.5, p. 131 of [3]). Let p [1, ). Let g be a real-valued,
Lebesgue measurable function on [0, 1] with the following property: M > 0 such that
for every bounded, Lebesgue measurable function f on [0, 1], fg is integrable with

_
[0,1]
fg

M|f|
p
.
58 REAL ANALYSIS LECTURE NOTES
Then g L
q
[0, 1] and |g|
q
M, where q is the conjugate exponent to p.
Theorem 6.47 (Riesz Representation Theorem - Theorem 13, 6.5, p. 132 of
[3]). Let F be a bounded linear functional on L
p
[0, 1], 1 p < . Let q be the conjugate
exponent to p. Then there exists a unique g L
q
[0, 1] (up to equivalence class) such that
F(f) =
_
[0,1]
gf dx
for every f L
p
[0, 1]. Moreover, |F| = |g|
q
.
Corollary 6.48. Let F be a bounded linear functional on L
2
[0, 1]. Then there exists a
unique g L
2
[0, 1] such that
F(f) =
_
[0,1]
f(x)g(x) dx.
Proof. Take p = q = 2 in Theorem 6.47.
REAL ANALYSIS LECTURE NOTES 59
7. Metric Spaces
7.1. The Basics.
Denition 7.1. Let X be a nonempty set. We say that a map d : X X [0, ) is
a metric on X if
(i) d(x, y) = 0 x = y X.
(ii) d(x, y) = d(y, x) for every x, y X (symmetry)
(iii) If x, y, z X, then d(x, z) d(x, y) +d(y, z) (triangle inequality).
In this case, (X, d) is said to be a metric space.
Example 7.2. Examples of metric spaces:
(i) X = R, d(x, y) = [x y[.
(ii) X = L
p
[0, 1], d(f, g) = |f g|
p
, p [1, ].
(iii) X = R
n
, d(x, y) =
_
n

i=1
(x
i
y
i
)
2
_
1/2
, where x = (x
1
, . . . , x
n
) and y = (y
1
, . . . , y
n
)
are in R
n
.
Denition 7.3. Let x
n

n=1
X.
(i) We say x
n

n=1
converges to x
0
X if for every > 0 there exists an N N
such that d(x
0
, x
n
) < whenever n N.
(ii) The sequence x
n

n=1
X is Cauchy if and only if for every > 0 there exists
an N N such that if m > n N, d(x
m
, x
n
) < .
(iii) (X, d) is called a complete metric space if every Cauchy sequence converges to
some x
0
X.
Denition 7.4. Let U X. We say U is open in (X, d) if, given any x U, there
exists a > 0 such that whenever y X and d(x, y) < , then y U.
Remark 7.5 (See Proposition 1, 7.2, p. 142 of [3]). Note that and U = X are both
open subsets of X.
Example 7.6. Let x X, x > 0 and dene B(x, ) = y X : d(x, y) < . Then
B(x, ) is open in X (prove this - it doesnt simply follow from the denition), called
the open ball at x with radius .
60 REAL ANALYSIS LECTURE NOTES
7.2. Compactness.
Denition 7.7. Let (X, d) be a metric space and let K X. We say that U

I
is
an open cover of K if

I
U

K and each U

is open in X.
Example 7.8. Let X = R, d(x, y) = [xy[. Let K = (0, 1) R and U
n
=
_
1
n+1
,
n
n+1
_
.
Each U
n
is open in R and

n=1
U
n
= (0, 1) = K so U
n

n=1
is an open cover of K.
Denition 7.9. Let (X, d) be a metric space and K X. We say that K is compact
in (X, d) if every open cover U

I
of K admits a nite subcover U

1
, . . . , U

N
with
N

j=1
U

j
K. X is said to be a compact metric space if X is compact in (X, d) itself.
Example 7.10. (See Example 7.8) Consider (0, 1) (R, d
[[
). Let U
n
=
_
1
n+1
,
n
n+1
_
.
Then

n=1
= (0, 1) but U
n

n=1
contains no nite subcover since U
1
U
2
U
3

(0, 1) and thus
N
_
i=1
U
i
= U
N
=
_
1
N + 1
,
N
N + 1
_
(0, 1)
for every N N.
Remark 7.11. It turns out that [0, 1] R is compact however (see Example 7.10).
More generally, [a, b] R is compact. In fact, any closed and bounded subset of R
is compact, which follows from the HeineBorel Theorem: a subset K of R
n
with
Euclidean metric (see Example 7.2(iii)) is compact if and only if K is closed and bounded
in R
n
(see Theorem 15, 2.5, p. 44 of [3] for the proof in R). This is not true for more
general metric spaces.
Denition 7.12. Let (X, d) be a metric space. We say that (X, d) is sequentially
compact if for any sequence x
n

n=1
X there is a convergent subsequence x
n
k

k=1

x
n

n=1
(i.e., there exists an x
0
X with lim
k
x
n
k
= x
0
in the d-metric). This will turn
out to be equivalent to a metric space being compact (see Theorem 7.18).
Remark 7.13. [a, b] R are all sequentially compact, which follows from the Bolzano-
Weierstrass Theorem (see Lemmas 16 and 17, 7.7, pp. 153-154 of [3]).
REAL ANALYSIS LECTURE NOTES 61
Denition 7.14. We say that K (X, d) is bounded if there exists an M [0, )
such that for every x, y K, d(x, y) M. Note that [a, b] R is bounded. We say
that (X, d) is bounded if X is bounded as a subset of itself.
Example 7.15. Let > 0. Fix x
0
X and let K = B(x
0
, ) (see Example 7.6). Then
if x, y K,
d(x, y) d(x, x
0
) +d(x
0
, y) by the triangle inequality
= d(x, x
0
) +d(y, x
0
) by symmetry
< +
= 2.
Thus B(x
0
, ) is bounded.
Denition 7.16. We say that K (X, d) is totally bounded if for every > 0 there
exist x
1
, . . . , x
n
X such that
n

i=1
B(x
i
, ) K, that is, we can cover K with a nite
number of -balls.
Remark 7.17. Note that totally bounded implies bounded but not conversely.
Theorem 7.18 (Theorem 21, 7.7, p. 155 and Proposition 25, 7.7, p. 156 of [3]).
Let (X, d) be a metric space. Then the following are equivalent:
(i) (X, d) is compact (open covers have nite subcovers).
(ii) (X, d) is sequentially compact (every sequence has a convergent subsequence).
(iii) (X, d) is complete and totally bounded.
62 REAL ANALYSIS LECTURE NOTES
7.3. Continuous Functions.
Denition 7.19. Let (X, d) be a metric space and let f : X R be a function. We
say f is continuous at x
0
X if for every > 0 there exists a > 0 such that whenever
x X and d(x, x
0
) < , then [f(x) f(x
0
)[ < . We say that f is continuous on X if
f is continuous at each point x X.
Remark 7.20. Let (X, d) be a compact metric space. Let f : X R be continuous
on X. Then the range of f, f(X) = f(x) : x X is a compact subset of R. In
particular, the range of f is bounded. Hence there exists an M > 0 such that [f(x)[ M
for every x X.
Denition 7.21. If (X, d) is a compact metric space, we let C(X) denote the family
of all real-valued continuous functions on X.
Remark 7.22. Note that C(X) is a vector space over R:
(i) C(X) has a zero function f
0
where f
0
(x) = 0 for every x X.
(ii) If R and f C(X), then f C(X) where (f)(x) =
_
f(x)
_
.
(iii) If f, g C(X), then (f +g)(x) = f(x) +g(x) is continuous on X.
Note also that C(X) has a norm, dened by
|f| = sup
xX
[f(x)[ = max
xX
[f(x)[.
Note that this denition makes sense since the supremum exists (the fs are bounded
see Remark 7.20) and continuous functions achieve their maximum. We have the usual
properties of the norm:
(i) |f| = 0 f = f
0
= 0.
(ii) If R and f C(X), then |f| = [[|f|.
(iii) If f, g C(X), then |f +g| |f| +|g| (triangle inequality).
Thus C(X) is a normed vector space.
Proposition 7.23. Let (X, d) be a compact metric space. Let f
n

n=1
C(X) and
f C(X). Then lim
n
|f
n
f| = 0 i f
n
f uniformly on x.
Proof. See Exercise 10, p. 136 of [3], Assignment 1. We can use this result to prove that
C(X) is complete just like L

(see Exercise 11, p. 126 of [3], Assignment 1).


Proposition 7.24. Let (X, d) be a compact metric space. Then C(X) is complete in
the metric determined by its norm (see Denition 7.21 and Remark 7.22).
REAL ANALYSIS LECTURE NOTES 63
7.4. The StoneWeierstrass Theorem.
Remark 7.25. A natural question to ask is what subspaces are dense in C(X)? This
is the aim of the StoneWeierstrass Theorem (see Theorem 7.35).
Denition 7.26. Let S C(X). We say S separates the points of X if for every
x
1
, x
2
X with x
1
,= x
2
, there exists an f S with f(x
1
) ,= f(x
2
). In other words, f
distinguishes between the points of X.
Example 7.27. Let S = C(X). Then C(X) separates the points of X. See Exercise 2,
Assignment 2.
Denition 7.28. Let / C(X) and suppose / is a subspace (over R) of C(X). We
say that / is an algebra of functions in C(X) if whenever f, g /, then f g /
where (f g)(x) = f(x)g(x).
Remark 7.29. Note that C(X) is not only a normed vector space, but it is also an
algebra: if f and g are continuous, then so is f g.
Example 7.30. Let X = [0, 1]. Let
/ = p : [0, 1] R : p is a polynomial of arbitrary degree with R coecients.
Then / is an algebra of C[0, 1] since / is a subspace and is closed under multiplication.
Denition 7.31. Let L be a nonempty subset of C(X). We say that L is a lattice in
C(X) if whenever f, g L, then fg and fg are in L where fg(x) = maxf(x), g(x)
and f g(x) = minf(x), g(x) for every x X.
Remark 7.32. Note that if L C(X) is a lattice and if f
1
, . . . , f
n
L, it follows
easily by induction that f
1
f
2
f
n
(x) = min
_
f
1
(x), . . . , f
n
(x)
_
and f
1
f
2

f
n
(x) = max
_
f
1
(x), . . . , f
n
(x)
_
dene functions f
1
f
2
f
n
and f
1
f
2
f
n
in L.
Remark 7.33. C(X) is a lattice in itself since if f, g C(X), then
(130) f g(x) = max
_
f(x), g(x)
_
=
f(x) +g(x) +[f(x) g(x)[
2
C(X)
64 REAL ANALYSIS LECTURE NOTES
since the absolute value of a continuous function is continuous (prove (130). There are
two cases: f(x) g(x) and g(x) f(x)). Similarly,
f g(x) = min
_
f(x), g(x)
_
=
f(x) +g(x) [f(x) g(x)[
2
C(X).
Remark 7.34. Not every algebra is a lattice. Consider C
_
[0, 1]
_
and let / denote the
algebra of all polynomials on [0, 1] (see Example 7.30). Take f(x) = x and g(x) = 1 x
on [0, 1]. Then neither f g(x) = max
_
f(x), g(x)
_
nor f g(x) = min
_
f(x), g(x)
_
is
in / since neither is a polynomial (graph it the maximum is the upper V and the
minimum is the lower inverted V).
Theorem 7.35 (StoneWeierstrass Theorem - Theorem 34, 9.9, p. 212 of [3]).
Let (X, d) be a compact metric space. Let / C(X) be an algebra of functions such
that
(i) / separates the points of X and
(ii) / contains the constant functions f
c
(x) = c for every x X and c R (these
are continuous).
Then given any f C(X) and given any > 0 there exists a g / such that [g(x)
f(x)[ < for every x X. This tells you that |g f| < , that is, / is dense in
C(X) in the topology on C(X) induced by its supremum norm. We need to establish
four Lemmas and Propositions before we can prove this. See Remark 7.42 for the proof.
Remark 7.36. Note that the algebra / of all polynomials on X = [0, 1] satises the
conditions of Theorem 7.35 (see Example 7.30). Dene f / by f(x) = x. Thus
if x
1
,= x
2
[0, 1], then f(x
1
) = x
1
,= x
2
= f(x
2
) and / separates the points of
X. / also contains the constant functions (the zero-degree polynomials). Thus / is
dense in C
_
[0, 1]
_
in the supremum norm. This is a special case of the Weierstrass
Approximation Theorem (see Corollary 7.43).
Lemma 7.37 (Lemma 31, 9.9, p. 211 of [3]). Let (X, d) be a compact metric space.
Suppose L is a lattice in C(X) such that
(i) L separates the points of C(X) and
(ii) If f L and c R, then cf L and c +f L.
Then given a, b R and x, y X with x ,= y, there exists an f L such that f(x) = a
and f(y) = b.
Lemma 7.38 (Lemma 32, 9.9, p. 212 of [3]). Let L be as in Lemma 7.37. Let a, b R
with a b. Let F X be a closed subset of X and suppose p X F (which is open).
Then there exists an f L such that f(x) a for every x X, f(p) = a and f(x) > b
for every x F.
REAL ANALYSIS LECTURE NOTES 65
Proposition 7.39 (Proposition 29, 9.9, p. 211 of [3]). Let (X, d) be a compact metric
space. Let L be a lattice in C(X) (any lattice at all will do). Suppose that h C(X)
and suppose in addition h satises h(x) = inf
fL
f(x). Then for every > 0 there exists a
g L such that 0 g(x) h(x) < for every x X. Note that we know we can do this
pointwise, but the consequence is g does it uniformly for every x X.
Proposition 7.40 (Proposition 30, 9.9, p. 211 of [3]). Let (X, d) be a compact metric
space. Let L be a lattice in C(X) satisfying conditions (i) and (ii) of Lemma 7.37. Then
given h C(X), for every > 0 there exists a g L such that 0 g(x) h(x) < for
every x X.
Lemma 7.41 (Lemma 33, 9.9, p. 212 of [3]). Let > 0 be xed. Then there exists a
polynomial p in the variable s such that for every s [1, 1],

p(s) [s[

< , that is,


< p(s) [s[ < . In other words, absolute value can be uniformly approximated by
polynomials on [, 1, 1].
Remark 7.42. We are now ready to prove the StoneWeierstrass Theorem.
Corollary 7.43 (Weierstrass Approximation Theorem - Corollary 35, 9.9, p.
213 of [3]). Let f be continuous and real-valued on [a, b], < a < b < . Then for
every > 0 there is a polynomial p such that [f(x) p(x)[ < for every x [a, b].
Example 7.44. Let X = z C : [z[ = 1, or X = (x, y) R
2
: x
2
+y
2
= 1. Then
(X, d) is a compact metric space by the Heine-Borel theorem (its closed and bounded
in R
2
, see Remark 7.11) with metric d(z, w) = [z w[. Let
T
0
= f C(X) : f(z) = c, c R
and
T
n
=
_
f C(X) : f(z) = a
0
+
n

k=1
a
k
Re(z
k
) +
n

k=1
b
k
Im(z
k
), a
k

n
k=0
, b
k

n
k=1
R
_
.
Recall that if z = e
it
, then Re(z) = cos t, Im(z) = sin t and (cos t + i sin t)
n
= cos nt +
i sin nt for every n N. Were really talking about trigonometric polynomials. Let
T =

n=0
T
n
. Then you can show that T is an algebra of functions that satises conditions
(i) and (ii) of Theorem 7.35 in C(X). See Exercise 42, p. 213 of [3], Assignment 3.
66 REAL ANALYSIS LECTURE NOTES
Remark 7.45 (See Example 7.44). We can also dene

T
n
C[0, 2] by

T
n
=
_
a
0
+
n

k=1
a
k
cos kt +
n

k=1
b
k
sin kt : a
k

n
k=0
, b
k

n
k=1
R
_
and let

T =

_
n=0

T
n
C[0, 2].
Is

T dense in C[0, 2]?
REAL ANALYSIS LECTURE NOTES 67
8. General Measure and Integration
8.1. Introduction.
Denition 8.1. Let X be a nonempty set. Recall B 2
X
is called a -algebra of
subsets of X if
(i) B.
(ii) If A B, then X A =

A B.
(iii) If A
n

n1
B, then

n1
A
n
B.
See also Denition 1.17 and Remark 1.18.
Example 8.2 (Examples of -algebras). (i) Recall that /is a -algebra, where
/ denotes all Lebesgue measurable subsets of R (see Theorem 3.21).
(ii) Recall also that B is a -algebra, where here B denotes the Borel subsets of R.
(iii) Now, take X a topological space and let B
X
denote the smallest -algebra con-
taining all the open sets in X. This is called the Borel subsets of X.
(iv) If X is any nonempty set, then 2
X
and , X are examples of -algebras.
Denition 8.3. If X is a nonempty set and B is a -algebra of subsets of X, we say
the pair (X, B) is a measurable space, and the sets in B are called the measurable
subsets of X.
Example 8.4. (R, /) in Example 8.2(i) is a measurable space.
Denition 8.5. Let (X, B) be a measurable space. Let : B [0, ] be dened on
all measurable subsets of X. We say is a measure on (X, B) if
(i) () = 0.
(ii) If A
i

i1
is a countable collection of pairwise disjoint subsets of B, then

_
_
i1
A
i
_
=

i1
(A
i
),
where + r = r + = for any r R. This property is referred to as
countable additivity.
The triple (X, B, ) is called a measure space.
68 REAL ANALYSIS LECTURE NOTES
Example 8.6 (Examples of Measure Spaces).
(i) (R, /, m) where m denotes Lebesgue measure on /.
(ii) Let X = N and B = 2
N
. Dene : B [0, ] by (E) = #E, the number of
elements in E N. This function is called the counting measure and takes
on values in N 0, .
Proposition 8.7 (Proposition 1, 11.1, p. 254 of [3]). Let (X, B, ) be a measure space.
Let A, B B with A B. Then (A) (B). This property is called monotonicity
of .
Remark 8.8. Note that the monotonicity of in Proposition 8.7 follows automati-
cally from countable additivity, so its helpful to have this as an axiom. Compare to
Proposition 3.26.
Proposition 8.9 (Proposition 2, 11.1, p. 255 of [3]). Let (X, B, ) be a measure
space, and let E
n

n=1
B be a decreasing sequence of measurable subsets of X, i.e.,
E
1
E
2
, with (E
1
) < . Then

n=1
E
n
_
= lim
n
(E
n
).
Proof. The proof is exactly the same as that of Proposition 3.29.
Proposition 8.10. If (X, B, ) is a measure space and E
n

n=1
is an increasing se-
quence of measurable subsets of X, i.e., E
1
E
2
E
3
, then

_

_
n=1
E
n
_
= lim
n
(E
n
).
Proof. The proof is the same as in the Lebesgue measure case. See Corollary 3.28.
Proposition 8.11 (Countable Subadditivity - Proposition 3, 11.1, p. 255 of [3]).
Suppose that (X, B, ) is a measure space, and let E
n

n1
B be a countable family of
measurable subsets of X (the E
n
s are not necessarily pairwise disjoint anymore). Then

_
_
n1
E
n
_

n1
(E
n
).
Remark 8.12. Note that we no longer have translation invariance like we did in the
Lebesgue measure situation (unless we impose further conditions).
REAL ANALYSIS LECTURE NOTES 69
Denition 8.13. Let (X, B, ) be a measure space. We say that (X, B, ) is nite
is (X) < . We say that (X, B, ) is -nite if there exists X
n

n1
B with

n1
X
n
= X and (X
n
) < for all n.
Example 8.14.
(i) (R, /, m) is -nite. Let X
n
= [n, n]. Then m(X
n
) = 2n < and

n1
X
n
=
R.
(ii) Let X be a nonempty set, take B = , X and dene by () = 0 and
(X) = . Then (X, B, ) is not -nite.
Denition 8.15. (X, B, ) is called complete if whenever E B and (E) = 0, then
for any A E, A B.
Example 8.16.
(i) We showed that (R, /, m) is complete (see ??).
(ii) (R, B
R
, m) is not complete (B
R
denotes the Borel subsets of R). Recall, however,
that if A /, we could write A = B Z with B a Borel set, m(Z) = 0 and
Z B
t
B
R
with m(B
t
) = 0 (see ??).
(iii) Let X = 0, 1, 2, B =
_
, 0, 1, 2, 0, 1, 2 = X
_
. You should verify that B
is a -algebra of subsets of X. Dene : B [0, ] by
() = 0,
_
0, 1
_
= 0,
_
2
_
= 1, (X) = 1,
You should also check that (X, B, ) is a measure space. Note that (X, B, ) is
not complete, however, since 1 0, 1 and 0 0, 1, 0, 1 B with

_
0, 1
_
= 0 yet 0, 1 / B.
Proposition 8.17 (Proposition 4, 11.1, p. 257 of [3]). Let (X, B, ) be a measure
space. Then there is a complete measure space (X, B
0
,
0
) such that
(i) B B
0
.
(ii) For every E B,
0
(E) = (E).
(iii) If C B
0
, C can be written as C = AB where A B and B Z where Z B
and (Z) = 0 (compare to Example 8.16(ii)). Then dene
0
(C) =
0
(AB) =
(A).
70 REAL ANALYSIS LECTURE NOTES
8.2. Measurable Functions.
Proposition 8.18 (Proposition 5, 11.2, p. 259 of [3]). Let (X, B) be a measurable
space, and let f be an extended real-valued function dened on X. Then the following
statements are equivalent:
(i) R x E : f(x) > B.
(ii) R x E : f(x) B.
(iii) R x E : f(x) < B.
(iv) R x E : f(x) B.
Proof. The proof is the same as in the Lebesgue measure case. See Proposition 3.37.
Denition 8.19. Let (X, B, ) be a measure space. Let f : X [, ]. We
say that f is measurable if any one (and hence all) of the equivalent conditions in
Proposition 8.18 are satised.
Example 8.20. Characteristic functions. Let E X, E B. Dene the characteris-
tic function

E
(x) =
_
1 if x E
0 if x / E
Recall that
E
is a measurable function with respect to (X, B, ). See Lemma 3.41.
Denition 8.21 (See Denition 3.44). Recall that we say a property P on holds -a.e.
on (X, B, ) if
x X : P does not hold
has -measure zero.
Proposition 8.22 (Proposition 8, 11.2, p. 260 of [3]). Let f, g : X [, ].
Suppose f is measurable and f(x) = g(x) -a.e. Then g is measurable.
Proof. Essentially the same as in the Lebesgue measure case. See Proposition 3.45.
Example 8.23. Let X = 0, 1, 2, B =
_
, 0, 1, 2, 0, 1, 2
_
, and let be as dened
in Example 8.16(iii). Let
f(x) =
2
=
_
0 if x = 0, 1
1 if x = 2.
REAL ANALYSIS LECTURE NOTES 71
Note that f is measurable (see Example 8.20). Let
g(x) =
_

_
1 if x = 0
2 if x = 1
1 if x = 2
Then f(x) = g(x) -a.e. but g is not measurable since
_
x 0, 1, 2 : g(x) <
1
2
_
= 0 / B.
Remark 8.24. Example 8.23 illustrates one reason we want complete measure spaces
in a complete measure space, we can change a function on a set of measure zero and the
function stays measurable. The altered function doesnt go bad, and we can identify
it with the original function.
Theorem 8.25 (Theorem 6, 11.2, p. 259 of [3]). Let (X, B, ) be a complete measure
space. Let c R and suppose that f and g are both real-valued, measurable functions.
Then
(i) c +f,
(ii) c f,
(iii) f +g,
(iv) f g,
(v) f g = maxf, g,
(vi) f v = minf, g, and
(vii) [f[
are all measurable. Moreover, if f
n

n=1
is a sequence of measurable functions, then
(viii) supf
n

n=1
,
(ix) inff
n

n=1
,
(x) lim f
n
, and
(xi) lim f
n

are all measurable.


Proof. Essentially the same as in the Lebesgue measure case. See Proposition 3.43 and
Theorem 3.46.
Corollary 8.26. Let (X, B, ) be a measure space and suppose that E
i

n
i=1
B and

n
i=1
R. Then the simple function
n

i=1

E
i
is measurable.
72 REAL ANALYSIS LECTURE NOTES
Proposition 8.27 (Proposition 7, 11.2, p. 260 of [3]). Let (X, B, ) be a measure space.
Let f : X [0, ) be a nonnegative, real-valued measurable function. Then there
exists an increasing sequence of simple functions
n

n=1
such that lim
n

n
(x) = f(x)
for every x X. If f is bounded, the convergence is uniform. Moreover, if (X, B, ) is
-nite, it is possible to choose the
n
such that

_
x X :
n
(x) ,= 0
_
<
for every n N. See Theorem 3.55.
REAL ANALYSIS LECTURE NOTES 73
8.3. Integration.
Remark 8.28 (Arithmetic in [0, ]). We make the following conventions: If c
[0, ], then c + = + c = . If c > 0, then c = c = . Finally
0 = 0 = 0. Why do we make the last convention? Consider 0
R
= 0. Then
0 =
_
R
0
R
dm(x) = 0 m(R) = 0 ,
so if we want this to work out the way we expect, we must make the convention that
0 = 0 = 0.
Denition 8.29 (Integrating Nonnegative Simple Functions). Let (X, B) be
a measure space. Let E B. If E
i

n
i=1
B is a family of measurable subsets of X and

n
i=1
[0, ] are nonnegative real numbers, and if we consider
=
n

i=1

E
i
,
then we dene
_
E
d =
n

i=1

i
(E E
i
).
It is standard convention to write
_
d for
_
X
d =
n

i=1

i
(E
i
).
Example 8.30 (See Example 8.16(iii) and Example 8.23). Let X = 0, 1, 2, B =
_
, 0, 1, 2, 0, 1, 2
_
. Take = 2
0,1
+ 3
2
. As before () =
_
0, 1
_
= 0,

_
2
_
=
_
0, 1, 2
_
= 1. Then
_
0,1
d = 2
_
0, 1 0, 1
_
+ 3
_
2 0, 1
_
= 2
_
0, 1
_
+ 3() = 0
and
_
2
d = 2
_
2 0, 1
_
+ 3
_
2 2
_
= 2() + 3
_
2
_
= 2 0 + 3 1 = 3.
Also
_
0,1,2
d = 3.
Remark 8.31. One can show (as in the Lebesgue measure case) that
_
E
d is inde-
pendent of the representation chosen for . For example, we could have written from
Example 8.30 as = 2
0,1,2
+
2
.
74 REAL ANALYSIS LECTURE NOTES
Remark 8.32 (Properties of Integrals of Simple Functions). Let (X, B, )
be a measure space with E B. Let and be simple, nonnegative functions.
(i) If c [0, ), then
_
E
cd = c
_
E
d.
(ii) If a, b [0, ), then a +b is simple and nonnegative, and
_
E
(a +b)d = a
_
E
d +b
_
E
d.
(iii) If E, F B with E F = , then
_
EF
d =
_
E
d +
_
F
d.
Compare to Proposition 4.6.
Denition 8.33. Let (X, B, ) be a measure space and let f be a nonnegative measur-
able functions on X. Let E B. We dene the integral of f over E by
(131)
_
E
f d = sup
__
E
d : is simple, nonnegative and 0 (x) f(x) x E
_
.
The set in (131) might not be bounded above so we might get + for the integral,
which is ne. Note that since f 0,
_
E
f d [0, ] since the set in (131) is bounded
below by zero.
Remark 8.34. Recall in the Lebesgue measure case that for f measurable and zero
outside a set of nite measure, we dened
_
e
f dx = inf
__
E
dx : is nonnegative, simple and (x) f(x)
_
.
We could have taken nonnegative simple functions (x) f(x) and used the supremum
instead. See Remark 4.8 and Proposition 4.12.
Remark 8.35 (Basic Facts About Integrals of Nonnegative Measurable
Functions). Let (X, B, ) be a measure space, let f be a nonnegative, measurable
function on (X, B, ), and let E B.
(i) If c [0, ) so that c f is nonnegative and measurable on (X, B, ), then
_
E
c f d = c
_
E
f d.
(ii) If E, F B with E F = , then
_
EF
f d =
_
E
f d +
_
F
f d.
REAL ANALYSIS LECTURE NOTES 75
(iii) If E B and (E) = 0, then
_
E
f d = 0.
(iv) If f and g are nonnegative, measurable functions on (X, B, ) and if f(x) g(x)
for every x X (or for -almost all x X), then
_
E
f d
_
E
g d.
Lemma 8.36 (Fatous Lemma - Theorem 11, 11.3, p. 264 of [3]). Let (X, B, ) be a
measure space, and f
n

n=1
and f are nonnegative, simple functions dened on (X, B, )
such that lim
n
f
n
(x) = f(x) -a.e. on X. Then for every E B,
_
E
f d lim
_
E
f
n
d.
Proof. Note that we dont have BCT to prove it this time. See Theorem 4.20.
Theorem 8.37 (Monotone Convergence Theorem, or MCT - Theorem 12,
11.3, p. 265 of [3]). Let f
n

n=1
be a sequence of nonnegative, increasing measurable
functions on the measure space (X, B, ). Suppose that lim
n
f
n
(x) = f(x) -a.e. on X.
Then for every E B,
lim
n
_
E
f
n
d =
_
E
f d.
Proof. The proof depends on Fatous Lemma the same way as in the Lebesgue measure
case. See Theorem 4.21.
Corollary 8.38 (Proposition 13, 11.3, p. 266 of [3]). Let (X, B, ) be a measure space,
and let f, g be nonnegative measurable functions on X. Let a, b [0, ). Then af +bg
is nonnegative and measurable, and for any E B,
_
E
(af +bg)d = a
_
E
f d +b
_
E
g d.
Corollary 8.39 (Corollary 14, 11.3, p. 266 of [3]). Let (X, B, ) be a measure space,
and let f
n

n=1
be a sequence of nonnegative, measurable functions dened on X. Then
for every E B,
_
E

n=1
f
n
(x) d =

n=1
_
E
f
n
(x) d,
where we could have + on both sides.
Proof. Same as before. See Corollary 4.22.
76 REAL ANALYSIS LECTURE NOTES
Denition 8.40. Let (X, B, ) be a measure space, and let f : X [0, ] be a
measurable function. We say that f is integrable over E B if
_
E
f d < .
Denition 8.41. Suppose that f : X [, ] is measurable. Write
f
+
= maxf, 0 = f 0
f

= maxf, 0 = f 0
Note that if we write
P = x X : f(x) 0 and N = x X : f(x) < 0,
then
f
+
= f
P
and f

= f
N
.
f
+
and f

are called the positive part and negative part of f, respectively. Note
that f
+
and f

are nonnegative and measurable, and


f = f
+
f

and [f[ = f
+
+f

on X. Compare to Denition 3.56.


Denition 8.42. Let (X, B, ) be a measure space, and let f : X [, ] be
measurable. We say that f is integrable over E B if both f
+
and f

are integrable
over E. In this case we dene
_
E
f d =
_
E
f
+
d
_
E
f

d.
Remark 8.43. If f : X [, ] is measurable, then f is integrable over E B if
and only if [f[ integrable over E.
Example 8.44 (See Example 8.6(ii)). Let X = N, B = 2
N
and let be counting
measure, that is,
(E) =
_
#E if E ,=
0 if E =
where (E) could equal + if E has innite cardinality. Note that is -nite since

_
n
_
= 1 < for every n N and N = X =

n=1
n (note that Q with the counting
measure is also a -nite measure space). Now, f : N [, ] corresponds to a
sequence a
n

n=1
with a
n
= f(n) [, ]. Note that any function is measurable
since all subsets of N are measurable by denition. Thus if f = a
n

n=1
is a function, it
REAL ANALYSIS LECTURE NOTES 77
is measurable and will be integrable over N i [f[ = [a
n
[

n=1
is integrable over N. We
use MCT to determine this. Let
[f[
k
=
k

n=1
[a
n
[
n
, [f[
k
: N [0, ].
The sequence corresponding to [f[
k
is
_
[a
1
[, [a
2
[, . . . , [a
k
[, 0, 0, . . .
_
.
Thus
_
N
[f[
k
d =
_
N
k

n=1
[a
n
[
n
d =
k

n=1
[a
n
[
_
n
_
=
k

n=1
[a
n
[.
Note that the
_
[f[
k
_

k=1
is an increasing sequence of nonnegative functions on N with
lim
k
[f[
k
(i) = [f[(i) = [a
i
[. By MCT,
_
N
[f[ d = lim
k
_
N
[f[
k
d = lim
k
k

n=1
[a
n
[ =

n=1
[a
n
[,
which may converge or diverge. Hence f is integrable if and only if
_
f(n) = a
n
_

n=1
is
such that

n=1
[a
n
[ < and
_
N
[f[ d =

n=1
[a
n
[.
Moreover,
_
N
f d =

n=1
a
n
,
which converges if the series is absolutely convergent. Therefore integration on N with
the counting measure is basically just adding and subtracting. For example,
_
1
n
_

n=1
is not integrable in (N, 2
N
, ) but
_
1
n
2
_

n=1
is integrable.
Proposition 8.45 (Proposition 15, 11.3, p. 267 of [3]). Let f, g be integrable over
E B, where (X, B, ) is a measure space. Let c
1
, c
2
R. Then
(i) c
1
f +c
2
g is integrable over E with
_
E
(c
1
f +c
2
g)d = c
1
_
E
f d +c
2
_
E
g d.
(ii) If h : X [, ] is measurable and [h(x)[ [f(x)[ -a.e. on E, then h is
integrable over E.
(iii) If f(x) g(x) -a.e. on E, then
_
E
f d
_
E
g d.
Proof. Same as in the Lebesgue measure case. Prove (iii) rst, then use it to prove (ii).
See Proposition 4.29.
78 REAL ANALYSIS LECTURE NOTES
Theorem 8.46 (Dominating Convergence Theorem, or DCT - Theorem 16,
11.3, p. 267 of [3]). Let (X, B, ) be a measure space and suppose that g is a nonnegative
function which is integrable over E B. Suppose f
n

n=1
is a sequence of measurable
functions on X with [f
n
(x)[ g(x) for every n N and for every x E (we can also
do this -a.e. on E but it doesnt aect the integral). Suppose f is measurable and
lim
n
f
n
(x) = f(x) -a.e. on X (we dont need f measurable if X is complete). Then
lim
n
_
E
f
n
d =
_
E
f d < .
Proof. Same as in the Lebesgue measure case. See Theorem 4.31.
Theorem 8.47 (Generalized Dominating Convergence Theorem, or GDCT
- Proposition 18, 11.4, p. 270 of [3]). Let (X, B, ) be a measure space and
n

n=1
a sequence of measures on B that converge setwise to a measure . Let f
n

n=1
and
g
n

n=1
be two sequences of measurable functions such that lim
n
f
n
(x) = f(x) and
lim
n
g
n
(x) = g(x) for -a.e. x X. Suppose that, for any E B, [f
n
(x)[ g(x)
for all x E and that
lim
n
_
E
g
n
d
n
=
_
E
g d <
for every n N. Then
lim
n
_
E
f
n
d
n
=
_
E
f d.
Proof. Apply Theorem 8.46 to the sequences g
n
+ f
n

n=1
and g
n
f
n

n=1
. See also
Theorem 4.34.
Remark 8.48. Were missing translation invariance. Recall that
_
R
f(x +t)dx =
_
R
f(x)dx
for Lebesgue measure. This is no longer true for general measure.
REAL ANALYSIS LECTURE NOTES 79
8.4. L
p
Spaces.
Denition 8.49. Let p [1, ) and f : X [, ] be measurable. We say that f
is in L
p
() if
_
X
[f(x)[
p
d < .
In this case we dene
|f|
p
=
__
X
[f(x)[
p
d
_1
p
.
Note that |f|
p
= 0 if and only if f(x) = 0 -a.e. on X.
Denition 8.50. If p = and f : X [, ] is measurable, we say M is an
essential bound for [f[ if [f(x)[ M -a.e.
Denition 8.51. The measurable function f is said to be in L

() if [f[ has an
essential bound. We dene
|f|

= infM : M is an essential bound for [f[.


Remark 8.52. Just as before (see Proposition 6.11), it can be shown that |f|

is an
essential bound for [f[, and it is the least such bound. Again, |f|

= 0 if and only if
f = 0 -a.e. As before,
L
p
() =
_
[f] : f is measurable on X, |f|
p
<
_
,
where f
1
f
2
if f
1
(x) = f
2
(x) -a.e.
Theorem 8.53 (Theorem 25, 11.7, p. 282 of [3]). Let (X, B, ) be a measure space.
Let p [1, ] and let q be the conjugate exponent to p (see Denition 6.18). If
f
1
, f
2
L
p
(), then f
1
+f
2
L
p
() and
(i) |f
1
+f
2
|
p
|f
1
|
p
+|f
2
|
p
(Minkowskis inequality)
(ii) If f L
p
() and g L
q
(), then fg is integrable, that is, fg L
1
(), and
_
X
[fg[d = |fg|
1
|f|
p
|g|
q
(Holders inequality)
(iii) L
p
() is a normed vector space which is a Banach space, that is, L
p
() is complete
in the metric induced by its norm | |
p
. More specically
p
: L
p
() L
p
()
[0, ) dened by
p
(f, g) = |f g|
p
is a metric.
80 REAL ANALYSIS LECTURE NOTES
Example 8.54. Let (X, B, ) = (N, 2
N
, ). What does L
p
() look like? For 1 p < ,
L
p
() =
_
f : N [, ] :

n=1
[f(n)[
p
<
_

p
=
_
Real-valued sequences a
n
= f(n)

n=1
:

n=1
[a
n
[
p
<
_
For p = ,

=
_
Real-valued sequences which are bounded, i.e., a
n

n=1
: sup [a
n
[ <
_
.
Moreover,
_
_
a
n

n=1
_
_
p
=
_

_
_

n=1
[a
n
[
p
_1
p
if 1 p <
sup [a
n
[ if p =
Remark 8.55. We also have Minkowskis inequality for sequence spaces, which is
what we call the
p
. If a
n

n=1
and b
n

n=1
are in
p
, where p [1, ] is xed, then
a
n
+b
n

n=1

p
and
_
_
a
n
+b
n

n=1
_
_
p

_
_
a
n

n=1
_
_
p
+
_
_
b
n

n=1
_
_
p
.
Remark 8.56. We also have Holders inequality for sequence spaces. If p, q [1, ]
are conjugate exponents and a
n

n=1

p
and b
n

n=1

q
, then a
n
b
n

n=1

1
(is an
absolutely convergent series) and

n=1
a
n
b
n

n=1
[a
n
b
n
[
_
_
a
n

n=1
_
_
p

_
_
b
n

n=1
_
_
q
This follows directly from Holders inequality for general L
p
spaces.
Remark 8.57. Fix p [1, ]. Then

p
=
_

_
_
a
n

n=1
:

n=1
[a
n
[
p
<
_
if p [1, )
_
a
n

n=1
: sup [a
n
[ <
_
if p =
is a Banach space, i.e., is a normed vector space which is complete in the metric induced
by its norm.
REAL ANALYSIS LECTURE NOTES 81
Denition 8.58. Let (X, B, ) be a measure space. Let F : L
p
() R. We say
that F is a bounded linear functional on L
p
() if for all a, b R and for every
f
1
, f
2
L
p
(), F(af
1
+ bf
2
) = aF(f
1
) + bF(f
2
). In addition, F is a bounded linear
functional if
|F| = sup
fL
p
()
[f],=0
[F(f)[
|f|
p
< .
If F is bounded, the nite quantity |F| is called the norm of F.
Example 8.59. Consider L
p
() for p [1, ]. Fix a g L
q
(), where q is the conjugate
exponent to p. Dene F
g
: L
p
() R by
F
g
(f) =
_
X
gf d.
Note that this integral is dened by Holders inequality. We also have by Holders
inequality that
[F
g
(f)[ =

_
X
f(x)g(x) d

|f|
p
|g|
q
,
hence if [f] ,= 0, then
[F
g
(f)[
|f|
p
|g|
q
.
Therefore F
g
is a bounded linear functional (linearity follows from the integral) and
|F
g
| |g|
q
. It is possible to show that, in fact, |F
g
| = |g|
q
. (see Proposition 6.44).
Theorem 8.60 (Riesz Representation Theorem - Theorem 29, 11.7, p. 284 of
[3]). Let (X, B, ) be a -nite measure space. Fix p [1, ) and let q be the conjugate
exponent to p. If F is a bounded linear functional on L
p
(), then there exists a unique
g L
q
() such that F = F
g
, that is,
F(f) =
_
X
fg d
for every f L
p
(). See Theorem 6.47.
Remark 8.61. If p = , Theorem 8.60 does not hold. The bounded linear functionals
on L

() can be more complicated.


82 REAL ANALYSIS LECTURE NOTES
8.5. Signed Measures.
Remark 8.62. Let (X, B) be a measurable space. Recall a measure on (X, B) is a
set-valued function : B [0, ] such that
(i) () = 0 and
(ii) If E
n

n1
B is a countable collection of pairwise disjoint measurable subsets
of X, then
_

n1
E
n
_
=

n1
(E
n
).
Could take on possibly negative values? What would this mean for condition (ii)
above? In other words, how could condition (II) hold when we dont know what +
is? Do we need other restrictions to avoid this possibility? We now extend the concept
of measure with : B R , to obtain signed measures.
Denition 8.63. Let (X, B) be a measurable space. A signed measure on (X, B)
is a function : B [, ] such that
(i) takes on at most one of the values or .
(ii) () = 0.
(iii) If E
n

n1
B is a countable family of pairwise disjoint measurable subsets of
X, then
_

n1
E
n
_
=

n1
(E
n
) where the sum on the right-hand side either
converges absolutely or properly diverges (goes to or ).
Remark 8.64. Note that condition (i) in Denition 8.63 remedies the potential prob-
lem mentioned in Remark 8.62. Moreover, condition (iii) eliminates possibilities such
as

n=1
(1)
n
n
and

n=1
(1)
n
, which does not properly diverge. Note also that ordinary
measures are a special case of signed measures since they satisfy all three conditions in
Denition 8.63.
Example 8.65 (Examples of signed measures).
(i) We can construct signed measures out of ordinary measures. Let (X, B, ) be a
regular measure space. Let g L
1
() so that g : X [, ] and
_
X
[g[ d <
(g is allowed to take on negative values). Dene
g
: B R by

g
(E) =
_
E
g d.
We might get a negative value for this integral, but it doesnt matter. Note that

g
takes on only real values, hence condition (i) in Denition 8.63 is satised.
Note also that

g
() =
_

g d = 0
REAL ANALYSIS LECTURE NOTES 83
so (ii) is satised in Denition 8.63. As for (iii), if E
n

n1
is a countable
collection of pairwise disjoint measurable sets, then

g
_
_
n1
E
n
_
=
_
S
n1
E
n
g d =
_
X
g
S
n1
E
n
d
=
_
X
g

n1

E
n
d
=

n1
_
E
n
g d (132)
=

n1

g
(E
n
).
If the number of sets in the collection is nite, then step (132) is justied simply
by interchanging the sum and integral signs. If the number of sets in the col-
lection is countably innite, then we can use DCT to interchange the sum and
integral signs (prove this see Theorem 8.46).
(ii) (X, B, ) =
_
[0, 1], /, m). Let g(x) = x
1
2
, 0 x 1. By part (i),
g
(E) =
_
E
g d is a signed measure. For example, note that

g
__
0,
1
2
__
=
_
_
0,
1
2

_
x
1
2
_
dx =
x
2
2

x
2
_1
2
0
=
1
8

1
4
=
1
4
.
In this example, if g(x) 0 for every x X, then the measure
g
is an ordinary
measure since then
g
(E) =
_
E
g(x) d 0. We will come back to this idea later
(see Example 8.67 and Remark 8.68).
(iii) Consider (R, /). Let
g(x) =
_

1
x
2
if < x < 1
1 if 1 x 1
1
x
if 1 x <
Note that g(x) is integrable for < x 1 but is not integrable for x 1. To
makes sure that
g
makes sense as dened in part (i), we dene

g
(E) =
_
E(,1]
g d
. .
nite
+
_
E
g d
. .
either + or nite
84 REAL ANALYSIS LECTURE NOTES
Denition 8.66. Let be a signed measure on a measurable space (X, B). Let A B.
(i) We say that A is a positive set for if (B) 0 whenever B A and B B.
In particular, since A A, (A) 0 if A is positive. Note that restricted to
A and its subsets is an ordinary measure.
(ii) We say that A is a negative set for if (B) 0 whenever B A and
B B. In particular, (A) 0 if A is negative for since A A. Note that
restricted to A and its subsets in this case is minus an ordinary measure. In
other words, negative sets are sets on which we take on minus the value of an
ordinary measure.
Example 8.67. Consider
g
for g(x) as dened in Example 8.65(iii). Let
P = x R : g(x) 0 = [1, ).
Note that P is measurable since g(x) is measurable. Furthermore, P is a positive set for

g
since for B P with B B,

g
(B) =
_
B
g(x) dx 0
since g(x) 0 on B. Similarly, dene
N = x R : g(x) 0 = (, 1].
Hence if B
t
N and B
t
B, then

g
(B
t
) =
_
B

g(x) dx 0
since g(x) 0 on B
t
.
Remark 8.68. The ideas in Example 8.67 work in general for measures of the form
g
where g L
1
(), (X, B, ) is an ordinary measure space and
g
: B R is dened by

g
(E) =
_
E
g d.
Let
P = x X : g(x) > 0 B
N = x X : g(x) < 0 B
Z = x X : g(x) = 0 B.
P is a positive set for
g
by the same argument as in Example 8.67. Similarly, N is a
negative set for
g
. Note that Z is both positive and negative, however, for if B Z
and B B, then

g
(B) =
_
B
g d =
_
B
0 d = 0,
so
g
(B) = 0 0 and
g
(B) = 0 0. Thus Z is both a positive and a negative set for

g
. Sets with this property are called null sets.
REAL ANALYSIS LECTURE NOTES 85
Denition 8.69. Let be a signed measure on the measurable space (X, B). We say
A B is a null set for if A is both a positive set and a negative set for .
Remark 8.70. Note that if A is a null set for , then (A) 0 (since A is positive) and
(A) 0 (since A is negative). Thus (A) = 0 for any null set. The converse need not
be true: If A B and (A) = 0, A need not be a null set for (see Example 8.71). For
a set A to be a null set of , we need that for every subset B A that is measurable,
(B) = 0.
Example 8.71. See Example 8.65(ii). Let (X, B) =
_
[0, 1], /
_
. Let g(x) = x
1
2
. Let
A = [0, 1] and dene
g
(E) =
_
E
g dm(x) for E [0, 1], E /. Then

g
(A) =
_
[0,1]
_
x
1
2
_
dm(x) =
_
1
0
_
x
1
2
_
dx =
x
2
2

x
2
_
1
0
= 0.
But A is not a null set for
g
(neither is it a positive or a negative set for
g
). Look at
_
0,
1
2

[0, 1], which is measurable, but

g
__
0,
1
2
__
=
1
4
< 0.
Note also that

g
__
1
2
, 1
__
=
1
4
> 0
where
_
1
2
, 1

[0, 1] (look at the graph).


Remark 8.72 (Be Careful!). Signed measures lack the monotone property in general.
If B A, A, B B, it need not be true that (B) (A). Consider the previous
Example 8.71:
_
1
2
, 1

[0, 1] but

g
__
1
2
, 1
__
=
1
4
> 0 =
g
_
[0, 1]
_
.
Lemma 8.73 (Lemma 19, 11.5, p. 272 of [3]). Let be a signed measure on the
measurable space (X, B).
(i) Let A be a positive set for and suppose that A
t
A and A
t
B. Then A
t
is a
positive set for .
(ii) Let A
n

n1
be a countable collection of positive sets for . Then

n1
A
n
is also
a positive set for .
Note that a similar result holds for negative sets.
86 REAL ANALYSIS LECTURE NOTES
Lemma 8.74 (Lemma 20, 11.5, p. 272 of [3]). Let be a signed measure on the
measurable space (X, B). Suppose there exists some E B with 0 < (E) < (this
doesnt mean E is positive). Then there exists an A E, A B such that A is positive
for and (A) > 0.
Theorem 8.75 (Hahn Decomposition Theorem - Proposition 21, 11.5, p. 273 of
[3]). Let be a signed measure on the measurable space (X, B). Then there exist sets
A, B B such that AB = X, AB = , A is a positive set for and B is a negative
set for . The pair (A, B) is called a Hahn decomposition for (X, B, ).
Remark 8.76. Note that were not saying the Hahn decomposition is unique, but it is
unique up to null sets. See Exercise 27, p. 275 of [3] and also Exercise 3, Assignment 3.
Denition 8.77. Let be a signed measure on the measurable space (X, B). Let
(A, B) be any Hahn decomposition for . Dene set functions
+
: B [0, ] and

: B [0, ] on B as

+
(E) = (E A) and

(E) = (E B)
for any E B. Note that these functions do not depend on the Hahn decomposition by
Remark 8.76. In fact,
+
and

dene ordinary measures on (X, B) (convince yourself


of this). Furthermore, since is a signed measure, at most one of the measures
+
and

can take on the value + (we wont get if we try and subtract them, for
instance). Now, for any E B,
(133) E = E X = E (A B) = (E A) (E B)
In addition, the union in (133) is disjoint since
(E A) (E B) = E (A B) = E =
since (A, B) is a Hahn decomposition for . Thus
(E) =
_
(E A) (E B)
_
= (E A) +(E B)
=
+
(E)

(E)
by the denitions of
+
and

. This decomposition of the signed measure into the


dierence of two ordinary measures that are supported on disjoint sets is called the
Jordan decomposition of (see Denition 8.78 for the denition of supported).
This decomposition is unique (see Exercise 28, p. 275 of [3]).
Denition 8.78. Let (X, B) be a measurable space, and let
1
and
2
be ordinary
measures on (X, B). We say that
1
and
2
are mutually singular if there exist sets
A, B B with A B = , A B = X and
2
(A) =
1
(B) = 0. In other words,
1
REAL ANALYSIS LECTURE NOTES 87
is supported entirely on A and
2
is supported entirely on B with A B = . (
1
supported on A means that
1
(E) = 0 for any E B with A E = ). We usually
write
1

2
if
1
and
2
are mutually singular (obviously
1
and
2
have to be dened
on the same measurable space).
Remark 8.79. Note that if (X, B, ) is a signed measure space, the measures
+
and

are mutually singular since if (A, B) is any Hahn decomposition for (X, B, ), then

+
(B) = (B A) = () = 0 = (A B) =

(A).
Remark 8.80. Note also that we can interchange the order of
1
and
2
in Denition
8.78 so that
1

2

2

1
.
Proposition 8.81 (Proposition 22, 11.5, p. 274 of [3]). Let be a signed measure
on the measurable space (X, B). Then there exists a pair of mutually singular ordinary
measures
+
and

with =
+

on B. Moreover there is only one such pair (hence


we may call it the Jordan decomposition of ).
Denition 8.82. The measure
+
is called the positive variation of and

is
called the negative variation of (see Denition 8.77 and Proposition 8.81). We
will see this is similar to work we did on absolutely continuous functions. Now, dene
[[ : B [0, ] by [[(E) =
+
+

for any E B. This is an ordinary measure on


(X, B) called the total variation of .
Example 8.83. Let (X, B, ) be an ordinary measure space. Take g integrable (not
necessarily nonnegative). Dene in the usual way
g
: B R by
v
(E) =
_
E
g d for
any E B. Recall
g
is a signed measure on (X, B) (see Remark 8.68). Let
A = x X : g(x) 0
B = x X : g(x) < 0.
Note that A B = , A B = X. Let E B with E A. Then

g
(E) =
_
E
g(x) d 0
since g(x) 0 on E A. Thus A is a positive set for
g
. Similarly, if E
t
B, E
t
B,
then
g
(E
t
) 0 so that B is a negative set for
g
. It follows that (A, B) is a Hahn
88 REAL ANALYSIS LECTURE NOTES
decomposition for (X, B,
g
). Now, let E B. Then
(
g
)
+
(E) =
g
(E A)
=
_
EA
g d
=
_
EA
g
+
d since g
+
= g on A
=
_
EA
g
+
d +
_
EA
g
+
d since g
+
= 0 on E A
=
_
E
g
+
d.
Thus
(
g
)
+
(E) =
_
E
g
+
d =
(g
+
)
= (
g
)
+
.
Similarly,
(
g
)

(E) =
g
(E B)
=
_
EB
g d
=
_
EB
g

d since g

= g on A
=
_
EB
g

d +
_
EB
g

d since g

= 0 on E B
=
_
E
g

d.
Thus
(
g
)

=
(g

)
.
Finally,
[
g
[(E) = (
g
)
+
(E) + (
g
)

(E)
=
_
E
g
+
d +
_
E
g

d
=
_
E
(g
+
+g

) d
=
_
E
[g[ d
=
[g[
(E) (134)
using the same notation. Thus
[
g
[ =
[g[
.
Go back and look at T
x
a
(g).
REAL ANALYSIS LECTURE NOTES 89
Denition 8.84. Let (X, B) be a measurable space. Let , be ordinary measures on
(X, B). We say that is absolutely continuous with respect to , and write
if for every E B such that (E) = 0, (E) = 0 as well.
Example 8.85. Let g : X [0, ] be integrable on X with respect to . Dene

g
: B [0, ) by
g
(E) =
_
E
g d. Then
g
since if E B with (E) = 0, then

g
(E) is the supremum of simple functions f over E, which is always 0.
Denition 8.86. For signed measures and on the measurable space (X, B), we say
that is absolutely continuous with respect to if [[ [[. So null sets of are
null sets of since [[ =
+
+

and [[ =
+
+

. Thus [[(Z) = 0 Z is a null


set for since
+
(Z) and

(Z) are both zero.


Denition 8.87. If and are signed measures on a measurable space (X, B), we say
that is mutually singular with respect to , denoted , if [[ [[.
Remark 8.88. Unlike mutually singular ( , see Remark 8.80),
absolute continuity of measures is not a symmetric property. That is, does not
imply in general. Consider (X, B) = ([0, 1], /
[0,1]
). Let be m, Lebesgue
measure. Let (E) =
_
E

[
1
2
,1]
dm for every E /
[0,1]
. Then m by Example 8.85
with g =
[
1
2
,1]
. But m , since

__
0,
1
2
__
=
_
[0,
1
2
)

[
1
2
,1]
dm =
_
[0,1]

[0,
1
2
)

[
1
2
,1]
dm = 0
since
[0,
1
2
)

[
1
2
,1]
=
[0,
1
2
)[
1
2
,1]
=

= 0 whereas m
_
[0,
1
2
)
_
=
1
2
.
90 REAL ANALYSIS LECTURE NOTES
8.6. Radon-Nikodym Theorem.
Proposition 8.89 (Proposition 10, 11.1, p. 261 of [3]). Let (X, B, ) be a complete
measure space. Let D be a countable dense subset of R and suppose there exists a map
from D to B, B

, such that for each xed D, whenever D and > ,


(B

) = 0. Then there exists a measurable function f : X [, ] such that


whenever x B

, f(x) and f(x) for all x X B

.
Example 8.90. Consider (R, /, m) and let D = Q. Let B

= x R : x .
Then X B

= R B

= x R : x > . For > , B

= and m() = 0,
so the conditions of Proposition 8.89 are satised. What is the function f? Note that
f(x) = x works.
Theorem 8.91 (Radon-Nikodym Theorem - Theorem 23, 11.6, p. 276 of [3]).
Let (X, B) be a measurable space, and let , be measures on (X, B) such that (X, B, )
is -nite, complete, and . Then there exists a nonnegative, measurable function
f : X [0, ] such that for every E B,
(E) =
_
E
f d,
that is, =
f
in the notation from Remark 8.68. Moreover, f is unique in the sense
that if there exists another such function g : X [0, ] (measurable, nonnegative with
=
g
), then f = g -a.e. on X. [f] is called the Radon-Nikodym derivative of
with respect to , written
[f] =
d
d
.
Think f d = d to try and remember this.
Remark 8.92. We need (X, B, ) to be -nite to get the previous result. Take X =
1, B =
_
, 1
_
. Let () = 0 and (1) = +. This is not -nite. Dene
: B [0, ) such that () = 0 and (1) = 1. Then since () = 0 = (),
but there does not exist a function f : X [0, ] such that (E) =
_
E
f d. If there
were such a function,
1 = (1) =
_
1
f d =
_
if f is positive
0 if f = 0,
which is ridiculous. On the other hand, is nite and hence -nite and . Apply-
ing the Radon-Nikodym theorem to we nd a g : X [0, ] such that (E) =
_
E
g d,
g =
d
d
and g(1) = .
REAL ANALYSIS LECTURE NOTES 91
Remark 8.93. The following theorem investigates how to compare two measures on
the same measurable space.
Theorem 8.94 (Lebesgue Decomposition Theorem - Proposition 24, 11.6, p.
278 of [3]). Let (X, B) be a measurable space, and let and be -nite (ordinary)
measures on (X, B). Then there exist -nite measures
0
and
1
on (X, B) such that
=
0
+
1
,
0
and
1
. This is called the Lebesgue decomposition of with
respect to . This decomposition is unique in that if there is another decomposition
=
t
0
+
t
1
with
t
0
and
t
1
, then
0
=
t
0
and
1
=
t
1
.
92 REAL ANALYSIS LECTURE NOTES
9. Outer Measure and Extensions of Measures
9.1. Outer Measure.
Remark 9.1. Suppose f : [0, 1] R is a continuous, monotone increasing function
with f(0) = 0. Consider C 2
[0,1]
where C =
_
(a, b] : 0 a < b 1
_
. Note
that C B
[0,1]
, the Borel subsets of [0, 1]. Dene a set function
f
: C [0, )
by
f
_
a, b]
_
= f(b) f(a) 0. It turns out that
f
can be extended to a measure

f
: B [0, ] on [0, 1]. If f is an absolutely continuous, monotone increasing
function on [0, 1] with f(0) = 0, consider the corresponding function
f
,

f
_
(a, b]
_
= f(b) f(a) =
_
b
a
f
t
(t) d(t)
where recall f
t
exists -a.e. on [0, 1], f
t
0, and f
t
L
1
[0, 1] by our characterization of
absolutely continuous functions (see Section 5.4). In this case
f
obviously extends to
E B by

f
(E) =
_
E
f
t
(t) d(t)
and
f
is absolutely continuous with respect to Lebesgue measure, i.e.,
f
m on [0, 1]
(see Example 8.85).
Example 9.2. Recall the Cantor ternary set, ( =

n=1
F
n
, where F
n
is closed in [0, 1],
F
n
= [0, 1] G
n
and G
1
=
_
1
3
,
2
3
_
, G
2
=
_
1
9
,
2
9
_

_
7
9
,
8
9
_
, . . . , G
n
=
2
n1

k=1
_
a
k
3
n
,
b
k
3
n
_
. On
_
a
k
3
n
,
b
k
3
n

, let f(x) =
a
k
3
n
, 1 k 2
n1
. The function f so obtained, called the Cantor
ternary function, is monotone increasing and continuous (prove this). Consider
f
:
C [0, ) (where C =
_
(a, b] : 0 a < b 1
_
) dened by
f
_
(a, b]
_
= f(b) f(a).
Then

f
__
a
k
3
n
,
b
k
3
n
__
= f
_
a
k
3
n
_
f
_
b
k
3
n
_
=
a
k
3
n

a
k
3
n
= 0.
Thus
f
(G
n
) = 0 for every n N if we extend this to a measure on B
[0,1]
since

f
(G
n
) =
f
_
2
n1
_
k=1
_
a
k
3
n
,
b
k
3
n
_
_
=
2
n1

k=1

f
__
a
k
3
n
,
b
k
3
n
__

2
n1

k=1

f
__
a
k
3
n
,
b
k
3
n
__
= 0
where we have used the fact that the
_
a
k
3
n
,
b
k
3
n
_
are all disjoint. Now,
f
_
[0, 1]
_
= 0 so
that
f
(F
n
) =
f
_
[0, 1] G
n
_
=
f
_
[0, 1]
_

f
(G
n
) = 1 0 = 1 for every n N. Thus

f
(() =
f
_

n=1
F
n
_
= lim
n

f
(F
n
) = 1
and

f
_
[0, 1] (
_
=
f
_

_
n=1
G
n
_
= 0.
REAL ANALYSIS LECTURE NOTES 93
How does
f
compare to m, Lebesgue measure? Recall m(() = 0 and m
_
[0, 1] (
_
=
m
_

n=1
G
n
_
= 1. Therefore m and
f
and mutually singular,
f
m. This
f
gives
information about subsets of ( whereas m misses it since its always zero.
Remark 9.3. If f is any arbitrary monotone increasing continuous function on [0, 1]
with f(0) = 0, we can write f as f
0
+f
1
, where f
0
and f
1
are both monotone increasing,
f
t
0
= 0 ma.e., f
1
is absolutely continuous and
f
=
f
0
+
f
1
with
f
0
m and

f
1
m. In other words,
f
0
+
f
1
is the Lebesgue decomposition for
f
(which is
unique) with respect to Lebesgue measure m on [0, 1].
Remark 9.4. If f is a continuous, monotone increasing function on [0, 1] with f(0) = 0
and ( =
_
(a, b] : 0 a < b 1
_
, the big claim is that
f
: ( [0, ) dened by

f
_
(a, b]
_
= f(b) f(a) extends to a measure on the Borel subsets of [0, 1].
Denition 9.5. Let X be a nonempty set, let / be a family of subsets of X, i.e.,
/ 2
X
. Recall that / is called an algebra of subsets of X if
(i) /
(ii) If A /,, then X A /
(iii) If A
1
, A
2
/, then A
1
A
2
/.
Remark 9.6. Suppose we have a set function : / [0, ] that satises
(i) () = 0 and
(ii) If A
i

i1
/ is a countable family of pairwise disjoint subsets of X,

i1
A
i
/
(which is guaranteed if the family is nite), and

_
_
i1
A
i
_
=

i1
(A
i
).
Let B be the smallest -algebra containing /. The big question is: does there exist
a measure : B [0, ] on (X, B) such that

,
= ? This is the extension
problem. It turns out the answer to this question is yes, but need not be unique
unless is -nite restricted to /. This construction, known as the Caratheodory
Extension Procedure, requires the notion of outer measure. The process will look
like the construction of Lebesgue measure.
Denition 9.7. If X is a nonempty set, we say a function

: 2
X
[0, ] is an outer
measure if
(i)

() = 0
94 REAL ANALYSIS LECTURE NOTES
(ii) If A B X, then

(A)

(B) (monotonicity)
(iii) If A
i

i1
is a countable family of subsets of X, then

_
_
i1
A
i
_

i1

(A
i
) (countable subadditivity)
Example 9.8. Lebesgue outer measure m

on R is an outer measure. See Denition


3.2.
Remark 9.9. Suppose / is an algebra of subsets of X and : / [0, ] is a measure
on the algebra, i.e., () = 0 and

i1
A
i
_
=

i1

(A
i
) if A
i

i1
are pairwise
disjoint and

i1
A
i
/. How do we extend to an outer measure

on all of X? See
the following Denition.
Denition 9.10. Given the situation in Remark 9.9, dene

: 2
X
[0, ] by

(E) = inf
_

i1
(A
i
) : A
i

i1
/ and E
_
i1
A
i
_
.
This is our outer measure.
Remark 9.11. We will show that

satises (i), (ii) and (iii) of Denition 9.7 and that

determines a -algebra B of measurable subsets of X given by


E B B X,

(B) =

(B E) +

(B E),
that is, E splits up B into two disjoint pieces on which

is additive. Furthermore, if we
restrict

to B, we obtain a complete measure space (X, B,

B
= ) with (A) = (A)
for every A / (well need / B). This is called the Caratheodory Extension
Procedure.
REAL ANALYSIS LECTURE NOTES 95
9.2. The Extension Theorem.
Lemma 9.12 (Lemma 2, 12.2, p. 292 of [3]). Let be a measure on the algebra / of
subsets of a nonempty set X. Suppose that A / and A
i

i1
/ satises A

i1
A
i
.
Then
(A)

i1
(A
i
).
Consequently (A)

(A) be denition of

as an inmum.
Corollary 9.13 (Corollary 3, 12.2, p. 292 of [3]). For every A /,

(A) = (A).
Proof. Note that all we need is

(A) (A) since we already have that (A)

(A)
by Lemma 9.12.
Lemma 9.14 (Lemma 4, 12.2, p. 292 of [3]). Let be a measure on an algebra / of
subsets of a nonempty set X. Dene

in the standard way (see Denition 9.10). Then

satises the properties of an outer measure. See Denition 9.7.


Theorem 9.15 (Carath

eodory - Theorem 1, 12.1, p. 289 of [3]). Let be a measure


on an algebra / of subsets of a nonempty set X. Let
B = E X :

(B) =

(B E) +

(B E) B X.
Then B is a -algebra of subsets of X.
Proof. Same as in the Lebesgue measure case. See Theorem 3.21.
Lemma 9.16 (Lemma 5, 12.2, p. 293 of [3]). Let / be an algebra of subsets of a
nonempty set X, let be a measure on / and let

and B be the outer measure on X


and the -algebra of measurable sets with respect to

discussed in Theorem 9.15. Then


/ B.
Remark 9.17. So far we have X a nonempty set, / an algebra of subsets of X,
: / [0, ] a measure on /,

an outer measure dened on every subset of X


determined by , B a -algebra of measurable subsets of X with respect to

, and
/ B with

(A) = (A) for every A /. One can show that

B
gives a measure on
the -algebra B (do this), which we denote by (dont confuse this with the conjugate).
So (X, B, ) is a measure space which extends the measure on /.
96 REAL ANALYSIS LECTURE NOTES
But what about uniqueness? When the measure on / is -nite, we will show that
this extension of is unique. Recall a measure is -nite if we can write X =

n1
X
n
,
X
n
/, and (X
n
) < for all n. Without loss of generality we can assume the X
n
are pairwise disjoint. Hence -nite is as good as nite. Let o(/) denote the smallest
-algebra of subsets of X that contains /:
o(/) =

/ a -algebra
/A
/.
Note that / o(/) B but we might not have equality. We will show that if is
another measure on o(/) such that (A) = (A) for every A / (in the case that is
-nite of course), then (B) = (B) for all B o(/).
Proposition 9.18 (Proposition 6, 12.2, p. 293 of [3]). Let be a measure on an algebra
/ of subsets of a nonempty set X. Let
/

=
_
_
i1
A
i
: A
i
/
_
o(/).
Let
/

= (/

=
_

n1
B
n
: B
n
/

_
o(/).
Let E X be any set. Then for every > 0 there exists an A /

with E A
and

(A)

(E) + . Furthermore, there exists a B /

such that E B and

(B) =

(E). This is reminiscent of Littlewoods First Principle. See Remark


3.34.
Remark 9.19. If E is in addition measurable and if (E) < , then for the B in
the Proposition 9.18 we can write

(B) =

(B E) +

(B E). But E B,
which implies that

(B E) =

(E) so that

(B) =

(E) +

(B E) and hence
0 =

(B E) since

(B) =

(E). Therefore if E is measurable, (E) < , then


there exists a Z = B E with (Z) = 0 and E Z /

.
Proposition 9.20 (Proposition 7, 12.2, p. 294 of [3]). Let be a -nite measure
dened on an algebra / of subsets of a nonempty set X. Let

be the outer measure


determined by . Then E X is measurable with respect to

if and only if E can be


written E = B Z with B /

and Z X with

(Z) = 0. Furthermore, any such


Z is contained in

Z /

with (

Z) = 0.
REAL ANALYSIS LECTURE NOTES 97
Theorem 9.21 (Carath

eodory Extension Theorem - Theorem 8, 12.2, p. 295


of [3]). Let be a measure on an algebra / of subsets of a nonempty set X. Let

and
be the outer measure on X and the measure on B constructed previously. Then is
an extension of to a -algebra B containing /. Moreover, (X, B, ) is complete. If
is -nite (or nite) so is and is the unique measure on o(/) that is an extension
of .
Denition 9.22. Let X be a nonempty set and suppose ( 2
X
. We say ( is a
semialgebra of subsets of X if
(i) C
1
C
2
( whenever C
1
, C
2
(
(ii) For C (, X C =
n

i=1
C
i
, where each C
i
( and C
i
C
j
= whenever i ,= j.
Note that the complement X C doesnt have to be in (.
Example 9.23. Let X = R and let
( = R(, ] : R(, ) : R(, ] : < < < .
Is this a semialgebra? Note that
(
1
,
1
] (
2
,
2
] =
_
if max
1
,
2
min
1
,
2

_
max
1
,
2
, min
1
,
2

if min
1
,
2
> max
1
,
2
,
so that condition (i) in Denition 9.22 is satised. For condition (ii), note that, for
instance,
R (, ] = (, ] (, )
and these sets are disjoint and each in the semialgebra. Similarly, if we let X = [a, b],
( =
_
[a, b]
_

_
a
_
(, ] : a < b
_
is a semialgebra (prove this).
Remark 9.24. If we have a semialgebra ( of subsets of X, ( determines an algebra
/((), the smallest algebra containing (:
/(() = X
_
n
_
i=1
C
i
: n N, C
i
(
_
.
The natural question arises: Given a semialgebra ( of subsets of a nonempty set X,
when does a mapping : ( [0, ] extend to a measure on /(()? See the following
Proposition.
98 REAL ANALYSIS LECTURE NOTES
Proposition 9.25 (Proposition 9, 12.2, p. 297 of [3]). Let ( be a semialgebra of subsets
of X. Let : ( [0, ] satisfy
(i) () = 0
(ii) If C ( and C can be written as the nite disjoint union C =
n

i=1
C
i
with C
i
(,
then
(C) =
n

i=1
(C
i
) (nite additivity)
(iii) If C ( and C

i=1
C
i
where C
i
( and C
i
C
j
= whenever i ,= j, then
(C)

i=1
(C
i
).
Then can be extended to a measure on /(().
Theorem 9.26. Let F : R [0, ) be right continuous and monotone increasing.
Suppose in addition that lim
x
F(x) = 0. Let ( be the semialgebra on R given in Example
9.23. Dene
F
: ( [0, ] by

F
_
(, ]
_
= F() F()
F
() = 0
F
(R) = lim
x
F(x)

F
_
(, ]
_
= F()
F
_
, )
_
= lim
x
F(x) F()
Then
F
satises the conditions of Proposition 9.25 and hence determines a measure on
/(().
Remark 9.27. Now, by the Caratheodory Extension Theorem (see Theorem 9.21),

F
can be uniquely extended to a measure on the smallest -algebra containing (,
which is the Borel sets. So such a function determines a Borel measure. Conversely,
Borel measures determine functions of this type (these measures have to have certain
properties though, in fact they have to be Baire measures, the subject to which we now
turn).
REAL ANALYSIS LECTURE NOTES 99
9.3. Baire Measures on R.
Denition 9.28. Let be a measure on (R, B), where B is the -algebra of Borel sets.
We say is a Baire measure if (E) < whenever E B and E is bounded.
Denition 9.29. Let be a nite Baire measure on (R, B) (that is, (R) < , a
probability measure). Dene F

: R [0, ) by F

(x) =
_
(, x]
_
. F

is called a
cumulative distribution function associated to .
Example 9.30. Let f(t) = e
t
2
, where weve chosen > 0 so that
_
R
f(t) dt = 1.
Dene (E) =
_
E
f(t) dt. Then
F

(x) =
_
(, x]
_
=
_
x

f(t) dt.
What can we say about F

? Well, F
t

= f and it turns out that F

is right continuous.
Lemma 9.31 (Lemma 10, 12.3, p. 300 of [3]). Let be a nite Baire measure on
(R, B). Let F

be the cumulative distribution function associated to . Then F

is
monotone increasing, right continuous (i.e., lim
xb
+
F

(x) = F

(b) for all b R) and


lim
x
F

(x) = 0. Furthermore, F

is continuous at a R if and only if


_
a
_
= 0.
Lemma 9.32 (Lemma 11, 12.3, p. 301 of [3]). If F is a bounded, monotone increasing
function on R, and if (a, b]

i=1
(a
i
, b
i
], then
F(b) F(a)

i=1
F(b
i
) F(a
i
).
Proposition 9.33 (Proposition 12, 12.3, p. 301 of [3]). Let F : R [0, ) be a mono-
tone increasing, right-continuous function such that lim
x
F(x) = 0 and lim
x+
F(x) =
M < . Then there is a unique nite Baire measure
F
on (R, B) such that
F
_
(a, b]
_
=
F(b) F(a) whenever a, b R and a < b. In fact, F is the cumulative distribution func-
tion associated to .
Example 9.34. Given X a real random variable and given an expectation E(X )
for R, this determines a function F
E
: R [0, 1]. Our theory tells us that E, F
E
determines a measure, a probability measure.
100 REAL ANALYSIS LECTURE NOTES
Denition 9.35. Let be a bounded Borel measurable function on R and let F be
a monotone increasing function satisfying the conditions of Proposition 9.33. Then we
dene the LebesgueStieltjes integral of with respect to F by
_
R
dF =
_
R
d
F
,
where
F
is the nite Baire measure constructed in Proposition 9.33. If is unbounded
but Borel, we say that is integrable with respect to F if L
1
(
F
), that is, if
_
R
[[ d
F
< .
REAL ANALYSIS LECTURE NOTES 101
9.4. Product Measures.
Remark 9.36. Let (X, /, ) and (Y, B, ) be two measure spaces. We want to dene a
measure on the Cartesian product space X Y = (x, y) : x X, y Y in order to
integrate certain appropriate functions (to be determined later).
Example 9.37. Consider an example from Calculus 3. Let X = Y = [0, 1], / = B =
/, = = m (Lebesgue measure on [0, 1]) and dene
T = (x, y) : x, y [0, 1], 0 y x 1.
Then
__
T
f dA =
_
1
0
_
x
0
_
f(x, y) dy

dx =
_
1
0
_
1
y
_
f(x, y) dx

dy.
When f is continuous (or piecewise continuous), we can do this iterated integration.
How can we generalize this? We will dene a semialgebra of subsets of X Y , nd a
measure and extend it to a complete measure on a -algebra.
Denition 9.38. Let (X, /, ) and (Y, B, ) be measure spaces. Let
1 = A B : A /, B B
where
A B = (a, b) : a A X, b B Y .
1 is called the family of measurable rectangles of X Y . This will turn out to
be our semialgebra (see Proposition 9.40).
Remark 9.39. Be aware that, even in the case where X = Y = R and = = m,
A B need not be a geometric rectangle. Consider
A =
_
0,
1
3
_

_
2
3
, 1
_
R = X and B =
_
0,
1
2
_
R = Y.
Then A B is the union of two geometric rectangles, which is not a rectangle itself.
Proposition 9.40. Let (X, /, ) and (Y, B, ) be measure spaces. Let 1 be the collection
of measurable rectangles of X Y . Then 1 is a semialgebra of subsets of X Y .
Denition 9.41. We now dene a function = : 1 [0, ] given by
(A B) = (A) (B).
102 REAL ANALYSIS LECTURE NOTES
In case one of (A) or (B) is innite, recall that zero overrides in our arithmetic
(see Remark 8.28) so that
(135) r = r =
_
if 0 < r
0 if r = 0
Remark 9.42. Our aim: We want to show that dened in Denition 9.41 satises
conditions (i) and (ii) of Proposition 9.25. It will then follow that extends to a measure,
denoted by again, on the algebra /(1), the smallest algebra containing 1. Then by
Theorem 9.21 (Caratheodory), we can extend from /(1) to a complete measure,
denoted , on the -algebra o to obtain a complete measure space (X Y, o, ), where
1 o and (A B) = (A B) = (A) (B) for every A B 1. As far as
uniqueness is concerned, if (X, /, ) and (Y, B, ) are -nite, so is the product measure
space (X Y, o, ). Moreover, is the unique extension of to the smallest -algebra
o containing the measurable rectangles 1.
Lemma 9.43 (Lemma 14, 12.4, p. 304 of [3]). Let (X, /, ) and (Y, B, ) be measure
spaces, let 1 be the family of measurable rectangles of XY , and suppose A
i
B
i

i1
is
a countable collection of pairwise disjoint measurable rectangles in 1 with

i1
A
i
B
i
=
A B 1 (here

siginies the disjoint union). Then


(A B) =

i1
(A
i
B
i
).
Remark 9.44. If (A
i
B
i
) (A
j
B
j
) = , it need not be true that A
i
A
j
= . For
example, consider X = Y = [0, 1], = = m, A
1
= A
3
=
_
0,
1
2
_
, B
1
= B
2
=
_
0,
1
2
_
,
A
2
= A
4
=
_
1
2
, 1

, and B
3
= B
4
=
_
1
2
, 1

. Then
A
1
B
1
=
_
0,
1
2
_

_
0,
1
2
_
= R
1
A
2
B
2
=
_
1
2
, 1

_
0,
1
2
_
= R
2
A
3
B
3
=
_
0,
1
2
_

_
1
2
, 1

= R
3
A
4
B
4
=
_
1
2
, 1

_
1
2
, 1

= R
4
_

_
these are pairwise disjoint
but A
1
= A
3
, not A
1
A
3
= . Thus some care is needed when dealing with measurable
rectangles.
Example 9.45. Suppose that (X, /, ) = (Y, B, ) = (R, /, m). Then (R, /, m) is
-nite and we can construct (R R, o, = m m). This measure is invariant under
translation of vectors and is called the Lebesgue measure on R
2
, where o contains
all open subsets of R
2
and hence all Borel subsets of R
2
. The same thing can be done
on X = Y = [0, 1] to obtain the Lebesgue measure on the unit square.
REAL ANALYSIS LECTURE NOTES 103
Remark 9.46. Returning to the general case, consider E X Y , E o with
(E) < . Then
(136) (E) =
_
XY

E
(x, y) d.
Is it true that iterated integration works here? We do it in Calculus 3, as remarked
above (see Example 9.37), so it had better. In other words, is
(E) =
_
X
__
Y

E
(x, y) d(y)
_
d(x)
alright to do? And do we get the same real number as in (136)? Similarly, does
(E) =
_
Y
__
X

E
(x, y) d(x)
_
d(y)?
If this is true, we move on to simple functions and then integrable functions. But we
need to ask, is
E
(x, y) measurable? And once we integrate with respect to either (x)
or (y), is the resulting function integrable? Is the resulting function even measurable?
We will answer these questions by rst introducing the notion of cross sections. See
the following Denition.
Denition 9.47. Fix E X Y and x x inX. Dene E
x
Y by
E
x
= y Y : (x, y) E.
We note that E
x
could be empty. Similarly, for y Y xed, dene E
y
X by
E
y
= x X : (x, y) E.
Again, E
y
could be empty, but its still in X in this case. E
x
and E
y
are called cross
sections to E.
Remark 9.48. If E X Y and x X is xed, then
E
x
(y) =
E
(x, y) for every
y Y . Moreover, if y Y is xed, then
E
y
(x) =
E
(x, y) for every x X.
Proof.
E
x
(y) = 1 y E
x
(x, y) E
E
(x, y) = 1. Similarly for

E
x
(y) = 0. The proof of the second assertion is identical.
Proposition 9.49 (Elementary Facts About Cross Sections). Let E
i
XY
for i 1. Then
(i) E
1
E
2
= (E
1
)
x
(E
2
)
x
Y for every x X and (E
1
)
y
(E
2
)
y
X for
every y Y .
(ii)
_

i1
E
i
_
x
=

i1
(E
1
)
x
Y for every x X and
_

i1
E
i
_
y
=

i1
(E
1
)
y
X for
every y Y .
104 REAL ANALYSIS LECTURE NOTES
(iii)
_

i1
E
i
_
x
=

i1
(E
1
)
x
Y for every x X and
_

i1
E
i
_
y
=

i1
(E
1
)
y
X for
every y Y .
Thus cross sections preserve containment, unions and intersections.
Denition 9.50. Let 1 be the semialgebra of measurable rectangles of X Y , and
let /(1) be the algebra of sets generated by 1. Let A(R)

be the collection of all


countable unions of elements of /(1). Note that /(1)

= 1

, the collection of all


countable unions of elements from 1 (prove this). Similarly, let R

= (1

denote the
collection of all countable intersections of elements from 1

. Compare to Denitions
2.16 and 2.17
Lemma 9.51 (Lemma 15, 12.4, p. 305 of [3]). Let E R

. Suppose that x X so
that E
x
Y . Then E
x
B, that is, E
x
is a measurable subset of Y .
Remark 9.52. Lemma 9.51 tells us that if E 1

, then for every x X, E


x
B so
that
E
x
is a measurable function dened on Y . Thus
(137) (E) =
_
XY

E
(x, y) d =
_
XY

E
x
(y) d.
In other words, in this case the integration in (137) is alright, but we still dont know if
we can do this by iterated integration. This is what the following Lemma is for.
Lemma 9.53 (Lemma 16, 12.4, p. 305 of [3]). Let E 1

with (E) < . Dene


g : X [0, ] by g(x) = (E
x
) (recall E
x
Y ). Then g is measurable on X, g is
integrable and
_
X
g(x) d(x) = (E).
Note that
_
X
g(x) d(x) =
_
X
(E
x
) d(x) =
_
X
__
Y

E
x
(y) d(y)
_
d(x)
=
_
X
__
Y

E
(x, y) d(y)
_
d(x)
= (E)
=
_
XY

E
(x, y) d.
Hence once we establish this lemma, we know that iterated integration of characteristic
functions of sets of this type (E 1

) is ne. We can then interchange x and y to


obtain iterated integration in the other order.
REAL ANALYSIS LECTURE NOTES 105
Lemma 9.54 (Lemma 17, 12.4, p. 306 of [3]). Let (X, /, ) and (Y, B, ) be complete
measure spaces. Form the complete product measure space (X Y, o, ). Suppose that
E o and (E) = 0. Then for -almost all x X, E
x
B with (E
x
) = 0. Thus
setting g(x) = (E
x
), g is a measurable function dened -a.e. on X with
_
X
g(x) d =
(E) = 0.
Proposition 9.55 (Proposition 18, 12.4, p. 307 of [3]). Let E X Y , E o and
(E) < . Then for -almost all x X, E
x
B. Furthermore, dening
g(x) =
_
(E
x
) if E
x
B
0 otherwise,
g is measurable and g L
1
() with
_
X
g(x) d(x) = (E).
Proposition 9.56. If : X Y R is simple with

_
(x, y) X Y : (x, y) ,= 0
_
< ,
then for -almost all x X,
x
: Y [0, ] dened by
x
(y) = (x, y) is in L
1
().
Moreover, dening g : X [0, ] by
g(x) =
_
Y

x
(y) d(y),
g L
1
() and
_
X
g d(x) =
_
XY
(x, y) d.
Theorem 9.57 (Fubinis Theorem) - Theorem 19, 12.4, p. 307 of [3]).
Let (X, /, ) and (Y, B, ) be complete measure spaces. Suppose that f : X Y
[, ] is integrable with respect to the product measure . Then
(i) For -almost all x X, the extended real-valued function f
x
(y) = f(x, y) is a
-integrable function of Y .
(i
t
) For -almost all y Y , the extended real-valued function f
y
(x) = f(x, y) is a
-integrable function of X.
(ii) For -almost all x X,
_
Y
f
x
(y) d(y) =
_
Y
f(x, y) d(y) is nite, and dening
g(x) =
_
Y
f
x
(y) d(y), g L
1
().
(ii
t
) For -almost all y Y ,
_
X
f
y
(x) d(x) =
_
X
f(x, y) d(x) is nite, and dening
h(y) =
_
X
f
y
(x) d(x), h L
1
().
106 REAL ANALYSIS LECTURE NOTES
(iii) Iterated integrals work and we get the same real number:
_
X
__
Y
f
x
(y) d(y)
_
d(x) =
_
XY
f(x, y)d =
_
Y
__
X
f
y
(x) d(x)
_
d(y).
Remark 9.58. In order to apply Fubinis Theorem, we need to know our function is
integrable with respect to . This is hard to determine in general. Sometimes we can
use Fubinis Theorem to show a function is not integrable by computing both iterated
integrals and getting a dierent answer for each (see Example 9.59). If one wants to
prove that a function is integrable, we have Tonellis Theorem (see Theorem 9.60).
Example 9.59. Let (X, /, ) =
_
[0, 1], /, m
_
and (Y, B, ) =
_
[0, 1], /,
_
where is
counting measure: For E Y , (E) is the number of elements in E. Note that most
Es will have -measure . Note also that (Y, B, ) is not -nite (if it were, this would
imply that [0, 1] is countable, which it is not). Form
_
[0, 1] [0, 1], o,
_
. Let f =

,
where = (t, t) : 0 t 1 (so is the diagonal of the unit square starting at the
origin). We will show that
(138)
_
X
__
Y
(

)
x
(y) d(y)
_
dm(x) ,=
_
Y
__
X
(

)
y
(x) dm(x)
_
d(y).
First of all, to evaluate the LHS of (138), x x
0
[0, 1]. Then
_
Y
(

)
x
0
(y) d(y) = (
x
0
) =
_
y [0, 1] : (x
0
, y)
_
=
_
y = x
0

_
= 1.
This is true for every x
0
X, and thus
(139)
_
X
__
Y
(

)
x
(y) d(y)
_
dm(x) =
_
[0,1]
1 dm(x) = 1.
Now, to evaluate the RHS of (138), x y
0
[0, 1]. Then
_
X
(

)
y
0
(x) dm(x) = m
_
x [0, 1] : (x, y
0
)
_
= m
_
x = y
0

_
= 0.
Since this is true for every y Y , we have
(140)
_
Y
__
X
(

)
y
(x) dm(x)
_
d(y) =
_
Y
0 d(y) = 0.
Combining (139) and (140), since 1 ,= 0,

cannot be integrable lest we contradict


Fubinis Theorem, which we just proved. Hence () = .
REAL ANALYSIS LECTURE NOTES 107
Theorem 9.60 (Tonellis Theorem- Theorem 20, 12.4, p. 309 of [3]). Let (X, /, )
and (Y, B, ) be complete and -nite measure spaces. Form (XY, o, ), which is also
complete and -nite. Let f : X Y [0, ] be a measurable, nonnegative extended
real-valued function. Then
(i) For -almost all x X, f
x
is a measurable function on Y .
(i
t
) For -almost all y Y , f
y
is a measurable function on X.
(ii) g(x) =
_
Y
f
x
(y) d(y) is a measurable function on X.
(ii
t
) h(y) =
_
X
f
y
(x) d(x) is a measurable function on Y .
(iii)
(141)
_
X
__
Y
f
x
(y) d(y)
_
d(x) =
_
XY
f(x, y) d =
_
Y
__
X
f
y
(x) d(x)
_
d(y).
Thus in the nonnegative, -nite case you can do an iterated integral (either the LHS or
the RHS of (141)) to determine whether the function f is integrable with respect to .
Remark 9.61. Given a measurable function f : XY [, ], where (XY, o, )
is -nite, in order to determine whether or not f is integrable, apply Tonellis Theorem
to [f(x, y)[, which is nonnegative and measurable. Recall that f is integrable if and only
if [f[ is integrable.
Example 9.62 (Applications of Tonellis Theorem).
(i) We rst prove that
_

0
e
x
2
dx =

2
.
Suppose that
_
[0,]
e
x
2
dx = c, where c could be . Then
_
[0,]
e
y
2
dy = c by a
change of variables. Thus
__
[0,]
e
y
2
dy
___
[0,]
e
x
2
dx
_
= c
2
.
Since
_
[0, ], /, m
_
is -nite, so is
_
[0, ] [0, ], o, m m
_
, so Tonellis
Theorem gives
__
[0,]
e
y
2
dy
___
[0,]
e
x
2
dx
_
=
_
[0,][0,]
_
e
x
2
__
e
y
2
_
d
=
_
[0,][0,]
e
(x
2
+y
2
)
d (142)
where = m m. Now, use the change of variables x = r cos and y = r sin
so that r
2
= x
2
+y
2
and = arctan(
y
x
). Then
(x, y) : 0 < x, y < =
_
(r, ) : 0 < r < , 0 < <

2
_
108 REAL ANALYSIS LECTURE NOTES
and (142) becomes
=
_
(0,)(0,

2
)
e
r
2
r drd
=
_

0
_
2
0
e
r
2
r drd by Tonellis Theorem again
=
_

0

2
e
r
2
r dr
=

2
lim
t
_
t
0
e
r
2
r dr
=

2
lim
t
e
r
2
2

t
0
=

2
lim
t
1 e
t
2
2
=

2

1
2
=

4
. (143)
Thus c
2
=

4
= c =

2
as claimed.
(ii) We show that
f(x, y) =
_
x
1y
2
if y ,= 1
0 if y = 1
is not integrable over
_
[0, 1] [0, 1], o, ) where = m m. This function is
nonnegative, and it is measurable since it is continuous on an increasing sequence
of rectangles going to y = 1 (Fill in the details. Let
f
n
(x, y) =
x
1 y
2

[0,1][0,11/n]
,
REAL ANALYSIS LECTURE NOTES 109
which is measurable for every n N). Thus lim
n
f
n
(x, y) = f(x, y) and
_
[0,1][0,1]
x
1 y
2
d =
__
[0,1]
1
1 y
2
dy
___
[0,1]
x dx
_
=
_
[0,1]
1
1 y
2
dy
x
2
2

1
0
=
1
2
_
[0,1]
1
1 y
2
dy
=
1
2
__
[0,1]
_
1
2

1
1 y
+
1
2

1
1 +y
_
dy
_
=
1
4
_
[0,1]
1
1 y
dy +
1
4
_
[0,1]
1
1 +y
dy
=
1
4
lim
t1

ln

1 y

t
0
+
1
4
ln

1 +y

1
0
=
1
4
lim
t1

_
ln [1 t[
_
+
ln 2
4
= +.
Thus f(x, y) is not integrable over
_
[0, 1] [0, 1], o,
_
by Tonellis Theorem, as
claimed.
110 REAL ANALYSIS LECTURE NOTES
9.5. Integral Operators.
Remark 9.63. Recall that a normed linear space is a Banach space if it is complete in
the metric induced by its norm, d
||
(v, w) = |v w|. Recall also that if (X, B, ) is a
measure space, then L
p
(X, B, ) is a Banach space for 1 p . Let (X
1
, | |
1
) and
(X
2
, | |
2
) be Banach spaces.
(i) We say that T : X
1
X
2
is linear if T(a
1
x
1
+ a
2
x
2
) = a
1
T(x
1
) + a
2
T(x
2
) for
every x
1
, x
2
X
1
and for every a
1
, a
2
R.
(ii) If T : X
1
X
2
is linear, we say that T is bounded if there exists an M > 0
such that |T(x)| M|x| for every x X
1
. In this case we dene
|T| = infM > 0 : |T(x)| M|x| for every x X
1
.
Example 9.64. Let X = Y = L
1
(R). Fix g L
1
(R). For f L
1
(R) dene
T
g
(f)(x) =
_
R
g(y)f(x y) dm(y)
if this integral exists and is nite. We claim that T
g
(f)(x) is dened for almost all
x R, T
g
(f) is a measurable function of x and T
g
(f) L
1
(R).
(i) First we claim that F : RR [, ] dened by F(x, y) = g(y)f(x y) is
measurable in (R R, o, mm). To see this, show that each separate piece is
measurable. Surely g(y) is measurable, and to show that f(x y) is measurable
approximate it by continuous functions. We leave the details as an exercise.
(ii) Now we use Tonellis Theorem on (R R, o, mm) applied to [F[, which is
nonnegative and measurable. Then
_
RR

F(x, y)

dmm =
_
R
__
R

F(x, y)

dm(x)
_
dm(y) by Tonelli
=
_
R
__
R
[g(y)[ [f(x y)[ dm(x)
_
dm(y)
=
_
R
[g(y)[
__
R
[f(x y)[ dm(x)
_
dm(y) since g does not depend on x
=
_
R
[g(y)[
__
R
[f(x)[ dm(x)
_
dm(y) since m is translation invariant (144)
=
__
R
[g(y)[ dm(y)
___
R
[f(x)[ dm(x)
_
since f does not depend on y
= |g|
1
|f|
1
<
(see Exercise ?? for step (144) above). Thus F is Lebesgue integrable over
(R R, o, mm).
REAL ANALYSIS LECTURE NOTES 111
(ii) Next, by Fubinis Theorem applied to F(x, y), we see that T
g
(f)(x) =
_
R
g(y)f(x
y) dm(y) is dened for m-almost all x R. Moreover T
g
(f) is measurable and
T
g
(f) is integrable over R, i.e.,
_
R

T
g
(f)(x)

dm(x) < .
Thus T
g
(f) L
1
(R).
(iii) Lastly, T
g
: L
1
(R) L
1
(R) is linear, i.e., T
g
(f
1
+ f
2
) = t
g
(f
1
) + T
g
(f
2
) and
T
g
(f
1
) = T
g
(f
1
) for all f
1
, f
2
L
1
(R) and all R simply by the linearity of
the integral. Is it bounded? Fix an f L
1
(R). Then
|T
g
(f)|
L
1
(R)
=
_
R

T
g
(f)(x)

dm(x)
=
_
R

_
R
g(y)f(x y) dm(y)

dm(x)

_
R
__
R

g(y)f(x y) dm(y)
_
dm(x)
=
_
R
__
R

g(y)f(x y)

dm(x)
_
dm(y) by Tonellis Theorem
= |g|
1
|f|
1
by the same steps as in (i) above. Thus |T
g
(f)|
1
|g|
1
|f|
1
for every f L
1
(R),
which means that T
g
(f) is a bounded linear transformation from L
1
(R) to itself
with |T
g
| |g|
1
. It is standard convention to write T
g
(f) = g f, called the
convolution of g and f.
Proposition 9.65. Let X
1
= X
2
= L
2
_
[0, 1], m
_
. Suppose that k : [0, 1] [0, 1]
[, ] is in L
2
_
[0, 1] [0, 1], o, mm
_
. Dene K : L
2
_
[0, 1], m
_
L
2
_
[0, 1], m
_
by
K(f)(x) =
_
[0,1]
k(x, y)f(y) dm(y).
Then K(f) is dened for m-almost all x [0, 1], K(f) L
2
_
[0, 1], m
_
and K is a
bounded linear operator with |K|
L
2
[0,1]
|k|
L
2
([0,1][0,1],mm)
|f|
L
2
[0,1]
.
Remark 9.66. The process involved in Proposition 9.65 is called integrating against
the kernel, where one function space is mapped to another by means of integration.
This can be thought of as a generalization of matrix multiplication, where K is the
matrix and f is the vector. The natural question is can every transformation be
represented in this way? The function K(x, y) in Proposition 9.65 is called a kernel.
Note that
_
1
0
K(x, y)f(y) dy is a function of x. Is it continuous? Is it in L
p
[0, 1]? Consider
the following examples:
112 REAL ANALYSIS LECTURE NOTES
(i) Let V = L
1
[0, 1] and let N denote the indenite integral transformation, i.e.,
N(f) =
_
x
0
f(y) dy. Let K(x, y) be the characteristic function of the lower trian-
gle T = (x, y) : 0 y x. Then
_

T
(x, y)f(y) dy =
_
x
0
f(y) dy.
(ii) The identity operator, I(f) = f for all f L
1
[0, 1], does not have a kernel. To
see this, suppose to the contrary that it does have a kernel. Then
(145) I(f) = f(x) =
_
1
0
K(x, y)f(y) dy
for every f L
1
[0, 1]. Multiplying (145) on both sides by g(x) and integrating
yields
(146)
_
1
0
f(x)g(x) dx =
__
K(x, y)f(y)g(x) dydx,
which holds for every f, g L
1
[0, 1]. Now, make f and g characteristic functions,
f =
E
and g =
F
. Then (146) becomes
(147)
_

EF
dx =
_
EF
K(x, y) d.
Consider the case when E and F are disjoint the left hand side of (147) is zero.
Thus
_
EF
K(x, y) d = 0.
Thus K integrates to zero over all such rectangles R = E F where E F = .
Hence R does not touch the diagonal: E F = E F misses the
diagonal. Geometrically, K integrates to zero over any rectangle that doesnt
touch the diagonal. Recall that rectangles generate the -algebra for product
measures. So
_
E
K(x, y) d = 0 for any measurable E in the lower triangle,
which implies that k = 0 a.e. on the lower triangle. Similarly, K = 0 a.e. on the
upper triangle. The diagonal is a set of measure zero, so K = 0 a.e. on the unit
square. Where is the contradiction? By Fubinis Theorem, for almost all x its
true that for almost all y, K(x, y) = 0. Thus
_
1
0
K(x, y)f(y) dy =
_
1
0
0 f(y) dy = 0
for almost all x. But this is supposed to be f(x), which is a contradiction.
REAL ANALYSIS LECTURE NOTES 113
10. The AscoliArzela Theorem
Remark 10.1. Let X be a compact metric space. Often times were given f
n

n=1

C(X), and we would like conditions under which we can nd a subsequence f
n
k

k=1
of
f
n

n=1
such that f
n
k

k=1
converges uniformly to some f C(X), i.e., converges in the
sup norm on C(X): |f
n
k
f| 0 as k (see Remark 7.22). Basically this amounts
to showing that f
n
k

k=1
is a Cauchy sequence since C(X) is a complete normed linear
space. We will determine precisely when this is possible.
Denition 10.2. Let F be a subset of C(X), the real-valued continuous functions on the
compact metric space X. We say F is equicontinuous if given > 0 and x X, there
exists a (, x) (depending on both and x) such that whenever y X and d(x, y) < ,
then [f(x)f(y)[ < for all f F. Note that F equicontinuous implies that F C(X)
since every f F is continuous at x for all x X. The dierence here is that the same
works for every f in the family.
Remark 10.3. When X is compact it is possible to show that the in Denition 10.2
can be chosen independent of x, that is, so it only depends on . Prove this, or see
Proposition 10.14.
Example 10.4. Let X = [0, 1] and x M > 0. Let
F = f C[0, 1] : f is dierentiable on [0, 1] and [f
t
(x)[ M.
Then F is equicontinuous since xing > 0, take =

M
. If x, y [0, 1] and [x y[ <
=

M
, then by the Mean Value Theorem there is some c between x and y such that
[f(x) f(y)[ = [f
t
(c)(x y)[
= [f
t
(c)[[x y[
M[x y[
< M

M
= .
Denition 10.5. Let F C(X) where X is a compact metric space. Recall that for
every f C(X), there exists an M
f
> 0 such that [f(x)[ M
f
for every x X (this is
because X is compact). We say the family F is bounded if there exists an M > 0 such
that [f(x)[ M for every x X and for every f F.
Example 10.6. Let X = [0, 2] and F = cos nx : n N. Then [ cos nx[ 1 for
every x [0, 2] and for every n N. Thus F is bounded.
114 REAL ANALYSIS LECTURE NOTES
Lemma 10.7 (Lemma 37, 7.10, p. 167 of [3]). Let D be a countable set (in the future
D will be a countable dense subset of a compact metric space X). Let f
n

n=1
be a
sequence of functions, each of them mapping D R. Suppose that for every x D
the sequence f
n
(x)

n=1
is bounded in R. Then there exists a subsequence f
n
k

k=1
of
f
n

n=1
such that f
n
k
(x)

k=1
converges for every x D.
Lemma 10.8 (Lemma 38, 7.10, p. 167 of [3]). Let X be a compact metric space and
suppose f
n

n=1
is an equicontinuous family of real-valued functions on X. Suppose
there exists a countable dense set D X such that lim
n
f
n
(x) exists for every x D.
Then for every y X, lim
n
f
n
(y) exists, and writing f(y) = lim
n
f
n
(y), f : X R is
continuous.
Lemma 10.9 (Lemma 39, 7.10, p. 168 of [3]). Let X be a compact metric space.
Suppose that f
n

n=1
is an equicontinuous family of real-valued functions on X such that
lim
n
f
n
(x) = f(x) for every x X and for some function f (note that f is continuous
by Lemma 10.8). Then f
n
f uniformly on X, that is, lim
n
|f
n
f| = 0 where | |
is the sup norm from Remark 7.22.
Theorem 10.10 (AscoliArzela Theorem - Theorem 40, 7.10, p. 169 of [3]). Let
F be an equicontinuous family of real-valued functions on the compact metric space X.
Let f
n

n=1
be a sequence of functions from F such that for every x X, f
n
(x)

n=1
is
a bounded subset of R. Then there exists a subsequence f
n
k

k=1
of f
n

n=1
such that
f
n
k

k=1
converges uniformly on X to a continuous function f.
Remark 10.11. Which subsets of C(X) are compact? The following Corollary investi-
gates this question.
Corollary 10.12 (Corollary 41, 7.10, p. 169 of [3]). Let F be an equicontinuous family
of real-valued functions in C(X) that is closed in the supremum norm | |. Suppose
that for every x X, f(x) : f F is a bounded subset of R. Then F is a compact
subset of the metric space C(X) (under the metric determined by its supremum norm,
d
||
(f, g) = |f g| = sup
xX
[f(x) g(x)[.
Example 10.13. Let F C
_
[a, b]
_
(recall [a, b] is compact). Suppose there exists an
M
1
> 0 such that [f(x)[ M
1
for every x [a, b]. Suppose also that each f F is
dierentiable and there exists an M
2
> 0 such that [f
t
(x)[ M
2
for every x [a, b].
Suppose further that F is closed. Then by Corollary 10.12 F is compact in C
_
[a, b]
_
.
REAL ANALYSIS LECTURE NOTES 115
Proposition 10.14. Let (X, d) be a compact metric space and let F be an equicontinuous
family of real-valued functions on X. Fix some > 0. Then there exists a , depending
only on and not on x, such that whenever x, y X with d(x, y) < , [f(x) f(y)[ <
for every f F.
Proposition 10.15. Let (X, d) be a compact metric space. Let F be an equicontinuous
family of real-valued functions dened on X. Suppose that for every x X, f(x) :
f F is bounded, i.e. there exists an M
x
> 0 such that [f(x)[ M
x
for every x X.
Then there exists an M > 0 such that [f(x)[ M for every f F and for every x X.
Remark 10.16. What Proposition 10.15 is really saying is that pointwise boundedness
of the family F implies uniform boundedness of the family on a compact metric space.
Hence were not saying anything stronger if we assume our equicontinuous family of
functions on a compact metric space is uniformly bounded.
Remark 10.17. The following theorem is sometimes also called the AscoliArzela
Theorem. Let (X, d) be a compact metric space. Recall once again that C(X) is
a complete normed linear space, i.e., a Banach space, in the metric induced by its
supremum norm (see Remark 7.22).
Theorem 10.18. Let (X, d) be a compact metric space and let F C(X). Then F
itself is a compact subset of C(X) if and only if F is equicontinuous, closed in the norm
and bounded in the norm, i.e., there exists an M > 0 such that [f(x)[ M for every
f F and for all x X.
Example 10.19. Let X = [0, 1]. Consider
B(0, 1) = f C[0, 1] : |f| 1,
where 0 denotes the zero function. This set is certainly closed and bounded. Is it
compact? This is the same as is it equicontinuous? No. For each n N, let f
n
(x) = x
n
.
Then |f
n
| = 1 since f
n
(1) = 1. But f
n
(x)

n=1
has no convergent subsequence. Suppose
that f
n
k
(x) = x
n
k

k=1
converges uniformly on [0, 1]. Then, letting f(x) = lim
k
f
n
k
(x),
this should be continuous on [0, 1] (why?). But
f(x) =
_
0 if 0 x < 1
1 if x = 1.
Thus f is not continuous at x = 1, a contradiction. It follows that f
n

n=1
has no
convergent subsequence, so its not compact by Theorem 10.18. Note that the derivatives
are not uniformly bounded.
116 REAL ANALYSIS LECTURE NOTES
Appendix A. Convergence in Measure
Denition A.1. Let f
n
(x)

n=1
be a sequence of measurable functions dened on E
/. Suppose that f is a measurable function dened on E /. We say that the
sequence f
n
(x)

n=1
converges in measure to the limit function f if for every > 0
there exists an N N such that whenever n N,
m
_
x E : [f
n
(x) f(x)[
_
< .
Remark A.2. Convergence in measure is a weaker notion than pointwise convergence.
If m(E) < and f
n
converges pointwise to f, then f
n
(x)

n=1
converges to f in
measure on E (use Egoros Theorem). On the other hand, if f
n
(x)

n=1
converges to
f in measure on E with m(E) < , it need not be true that f
n
f pointwise on E.
See the following Example.
Example A.3. Let E = [0, 1]. For n N, nd k N 0 such that 2
k
n < 2
k+1
,
and let j = 2
k+1
n, 0 j < 2
k
. Dene f
n
on [0, 1] by
f
n
(x) =
_
1 if
j
2
k
x
j+1
2
k
0 otherwise
We claim that f
n
0 in measure. Given n, k, j,
m
_
x [0, 1] : f
n
(x) ,= 0
_
= m
__
j
2
k
,
j + 1
2
k
__
=
1
2
k
,
but n < 2
k+1
= 2(2
k
) =
n
2
< 2
k
=
2
n
>
1
2
k
, hence as n ,
m
_
x [0, 1] : f
n
(x) ,= 0
_
=
1
2
k
<
2
n
0.
Thus f
n
0 in measure. Yet the f
n
s do not converge pointwise for any x [0, 1].
If x [0, 1] is given, as are k, j such that 0 j < 2
k
, then
j
2
k
x
j+1
2
k
. Let k .
Taking n = 2
k
+j, f
2
k
+j
(x) = 1. But then for either j 1 or j 1 (call it j
t
), we would
have f
2
k
+j
(x) = 0. So as n , f
n
(x) goes between the values of 0 and 1, most of the
time 0, but once in a while equal to 1. Thus for xed x, the sequence f
n
(x)

n=1
does
not converge.
Remark A.4. In Example A.3, the sequence f
n

n=1
has a subsequence f
n
k

k=1
that converges to 0 almost everywhere on [0, 1]. Which subsequence? Take f
n
k
(x) =
f
2
k
+2
k
1
(x). Then for n = 2
k
+ 2
k
1, j = 2
k
1 and
f
2
k
+2
k
1
(x) =
_
0 if 0 x
2
k
1
2
k
= 1
1
2
k
1 if
2
k
1
2
k
x
2
k
2
k
= 1
REAL ANALYSIS LECTURE NOTES 117
Now,
lim
k
f
n
k
(x) =
_
0 if 0 x < 1
1 if x = 1
Since m
_
1
_
= 0, we get that f
n
k
0 a.e. on [0, 1]. This is not the only subsequence
that converges, and this is true in general.
Proposition A.5 (Proposition 18, 4.5, p. 95 of [3]). Let E / and let f
n

n=1
be
a sequence of measurable functions. Let f be measurable and suppose that f
n
f in
measure. Then f
n
has a subsequence f
n
k
such that f
n
k
(x) f(x) a.e. on E.
Corollary A.6 (Corollary 19, 4.5, p. 96 of [3]). Let f
n
be a sequence of measurable
functions dened on E / with m(E) < . Suppose f is a measurable function
dened on E. Then f
n
f in measure if and only if every subsequence f
n
k
= g
k

itself has a subsequence f


n
k
j
= g
k
j
such that f
n
k
j
= g
k
j
converges to f pointwise a.e.
on E.
Remark A.7 (Proposition 20, 4.5, p. 96 of [3]). Fatous Lemma and the convergence
theorems (MCT, DCT and GDCT) remain true if convergence a.e. is replaced by
convergence in measure. See Exercise 21, p. 96 of [3].
118 REAL ANALYSIS LECTURE NOTES
References
1. M. Capi nski and E. Kopp, Measure, Integral and Probability, 2
nd
edition, Springer Verlag, 2004.
2. T. Hawkins, Lebesgues Theory of Integration: Its Origins and Developments, Chelsea Publishing
Co., 1975.
3. H.L. Royden, Real Analysis, 3
rd
edition, Prentice Hall, 1988.
4. R. L. Wheeden and A. Zygmund, Measure and Integral: An Introduction to Real Analysis, Marcel
Dekker, Inc., 1977.
Index
|f|

, 51
(X, B), 67
2
X
, 3
AB, 4
B A, 4
B(x, ), 59
BV [a, b], 39
C(X), 62
is a normed vector space, 62
D
+
, 34
D

, 34
D
+
, 34
D

, 34
E
x
, 103
E
y
, 103
F

, 99
F

-set, 9
F
g
, 81
G

-set, 9
L, 63
L
1
(X, m), 49
L

(X, m), 51
L

(), 79
L
p
(X, m), 49, 51
is a Banach space for 1 p , 55
is a metric space, 53
L
p
(
is a Banach space, 79
L
p
(), 79
L
p
(), 80
M

, 51
N, 20, 76, 84
N
b
a
(f), 41
N
x
a
(f), 42
P, 20, 76, 84
P
b
a
(f), 41
P
x
a
(f), 42
T(f, T), 39
T
b
a
(f), 39
T
x
a
(f), 42
T
g
, 56, 57, 110
Z, 84
/, 63
/((), 97
/(1), 104
/

, 96
/

, 96
|F|, 56, 81
|T|, 110
|f|

, 79
|f|
p
, 79
|f|
1
, 49
|f|
p
, 49

A, 3
B, 8, 67
B(R), 8
(, 97
E, 7
/, 13
T, 3
T(X), 3
1, 104
o(/), 96
_
_
a
n

n=1
_
_
p
, 80

, 102

, 80

p
, 80
is a Banach space, 80
d
d
, 90
lim , 9
lim , 9
, 89
-a.e., 70
, 89
, 68

1

2
, 87

F
, 98

g
, 82
-algebra
generated by, 6
of subsets, 5, 67
-nite, 96
-nite measure space, 69
sgng(x), 57
f g, 63
f g, 63
f
+
, 20, 76
f

, 20, 76
g f, 111
m, 14
m

, 11
n(f, T), 40
n
+
, 86
n

, 86
p(f, T), 40
r
+
, 40
r

, 40
a.e., 18
-, 70
absolutely continuous, 33, 43
measures, 89
signed measures, 89
absolutely summable, 54
119
120 REAL ANALYSIS LECTURE NOTES
algebra
generated by, 5
of functions in C(X), 63
of subsets, 4, 93
almost everywhere, 18
arithmetic in [0, ], 73
AscoliArzela Theorem, 114, 115
Baire measure, 99
Banach space, 52, 55, 79, 80, 110
over R, 54
BCT, see also Bounded Convergence Theorem
BolzanoWeierstrass Theorem, 60
Borel sets
-algebra of, 8, 67
bounded, 110
family of functions, 113
metric space, 61
subset of a metric space, 61
Bounded Convergence Theorem, 26
bounded linear functional, 56
are the continuous linear functionals, 56
norm of, 56
on L
p
(), 81
bounded variation, 39
canonical representation
of a simple function, 19
Cantor ternary function, 92
Cantor ternary set, 15, 92
Caratheodory Extension Procedure, 93
Caratheodory Extension Theorem, 97
Caratheodory xtension Procedure, 94
Cauchy sequence, 53, 59
Cauchy-Schwarz inequality, 53
characteristic function, 17, 70
closed set, 8
closure, 7
collection of subsets, 4
compact, 60
compact metric space, 60
complement, 3
of open and closed sets, 8
complete
measure space, 69
metric space, 59
complete metric space, 53
concave, 46
up, 46
conjugate exponent, 79
conjugate exponent q to p, 52
continuity
of the Lebesgue integral, 29
continuous function, 62
convergent sequence, 59
converges
in measure, 116
convex function, 46
convolution, 111
countable additivity, 11, 67
of m, 14
countable subadditivity, 68
of m

, 12
of outer measure, 94
counting measure, 68
cross section, 103
cumulative distribution function, 99
DCT, see also Lebesgue Dominating
Convergence Theorem, see also
Dominating Convergence Theorem
DeMorgans Laws, generalized, 4
dense, 64
derivative, 34
dierentiable, 34
Dini derivates, 34
Dominating Convergence Theorem, 78
Egoros Theorem, 22
equicontinuous, 113
essential bound, 79
essential bound for f, 50
essentially bounded on X, 50
extension problem, 93
Fatous Lemma, 28, 75
nite additivity
of a function on a semialgebra, 98
nite measure space, 69
Fubinis Theorem, 105
Fundamental Theorem of Calculus, 32
for Riemann integrals, 3
GDCT, see also Lebesgue Dominating
Convergence Theorem, see also
Generalized Dominating Convergence
Theorem
Generalized Dominating Convergence
Theorem, 78
Generalized Lebesgue Dominating
Convergence Theorem, 31
Holders inequality, 52, 53, 79
for sequence spaces, 80
Hahn decomposition, 86
Hahn Decomposition Theorem, 86
HeineBorel Theorem, 60
indicator function, 17
integrable, 100
Lebesgue, 27
REAL ANALYSIS LECTURE NOTES 121
over E, 76
Riemann, 2
integral
of a measurable function, 76
of a nonnegative simple function, 73
of a nonnegative, measurable function, 74
Jensens inequality, 47
Jordan decomposition
of a signed measure, 86
kernel, 111
kernel, integrating against, 111
lattice
in C(X), 63
Lebesgue decomposition, 91
Lebesgue Decomposition Theorem, 91
Lebesgue Dominating Convergence Theorem,
30
Lebesgue integral
continuity of, 29
of a bounded, measurable, real-valued
function, 24
of a measurable function, 29
of a nonnegative, measurable function, 27
of a simple function, 23
Lebesgue measurable
function, 17
set, 13
Lebesgue measure, 14
on R
2
, 102
on the unit square, 102
Lebesgue outer measure, 11
LebesgueStieltjes integral, 100
left dierentiable, 46
linear, 110
Littlewoods First Principle, 16, 96
Littlewoods Second Principle, 20
Littlewoods Third Principle, 21
lower envelope of f over E, 25
lower limit, 9
MCT, see also Monotone Convergence
Theorem
measurable
function, 70
space, 67
subsets, 67
measurable rectangles, family of, 101
measure, 67
on an algebra of sets, 94
measure space, 67
-nite, 69
complete, 69
nite, 69
metric, 59
metric space, 59
bounded, 61
compact, 60
complete, 53, 59
Minkowskis inequality, 51, 52, 79
and the triangle inequality, 53
for sequence spaces, 80
Monotone Convergence Theorem, 28, 75
monotone decreasing function, 35
monotone increasing function, 35
monotone property
of m

, 11
monotonicity, 68
of outer measure, 94
mutually singular, 86
signed measures, 89
negative part of a function, 20, 76
negative set
for a signed measure, 84
negative variation
of a signed measure, 87
over [a, b], 41
with respect to T, 40
nonmeasurable sets, 16
norm
of a bounded linear functional, 56, 81
normed vector space, 51, 52, 79, 80
is a Banach space, 55
null set
for a signed measure, 85
open ball at x with radius , 59
open cover, 60
open set, 7
in a metric space (X, d), 59
outer measure, 93, 94
partition, 3
point of closure, 7
pointwise convergence
of a sequence of functions, 19
positive part of a function, 20, 76
positive set
for a signed measure, 84
positive variation
of a signed measure, 87
over [a, b], 41
with respect to T, 40
power set, 3
probability measure, 99
Radon-Nikodym derivative, 90
Radon-Nikodym Theorem, 90
relative complement, 4
122 REAL ANALYSIS LECTURE NOTES
Riemann integrable, 2
Riemann integral, 23
lower, 2
upper, 2
Riemann sum
lower, 2
upper, 2
Riesz Representation Theorem, 57, 58, 81
Riesz-Fischer Theorem, 55
right dierentiable, 46
semialgebra
of subsets, 97
separates the points of X, 63
sequence spaces, 80
sequentially compact, 60
signed measure, 82
simple function, 18
StoneWeierstrass Theorem, 63, 64
the proof, 65
summable, 54
absolutely, 54
supported, 87
supporting line, 47
symmetric dierence, 4
Tonellis Theorem, 107
total variation
of a signed measure, 87
over [a, b], 39
with respect to T, 39
totally bounded
subset of a metric space, 61
translation invariance, 11, 78
triangle inequality, 62
uniform convergence
of a sequence of functions, 19
upper envelope of f over E, 25
upper limit, 9
vanishes outside a set of nite measure, 23
Vitali cover, 37
Weierstrass Approximation Theorem, 64, 65
Youngs inequality, 53
zero outside a set of nite measure, 23