SOLUTION. We first establish that the function f is integrable.For this note that we
can choose N so large that |fN f | < /2 and for any given > 0.Then we have the
following
estimate
:
R
R
R
|f
|d
|f
N f |d + X |fN |d (/2)(X) + M (X) (*) where M < is a
X
X
bound for fN (by assumption fn s are bounded for all n).Since (X) < the right hand
side of (*) is finite,which shows that f is integrable.Now we have N so that |fN f | < /2
the following
estimate for large enough n:
Rfor fixed .Now consider
R
R
|fn f |d X |f fN |d + X |fn fN |d < (/2)(X) R+ (/2)(X).
X
R
Since > 0 is arbitrary and (X) < we have that limn X fn d = X f d.
For a counterexample to the case (X) = ,consider fn = 1/n1[ 0, n) where 1X represents the charactristic function of the set X. Then one can easily checks that
Z
fn d = 1, n
X
but f = 0.Hence the conclusion does not necessarily hold when (X) = .
PROBLEM
R 3. Suppose f1 L1 (X, ).Prove that to each > 0 there exists a > 0
such that E |f |d < whenever (E) < .
SOLUTION.Define fn = |f | n. i.e. fn = |f |, if |f | n and fn = n ,if |f | > n.Then
fn |f | as n . Therefore we can
R use Monotone Convergence Theorem as fn+1 fn
and fn 0.Now choose N so that E |f fN | < /2 for given > 0.Then we have the
following
estimate.
R
R
R
|f
|d
<
|f
f
|d
+
|fN |d < (/2) + N (E) < /2 + N (E) < whenever
N
E
E
E
(E) < < /(2N ).Thus the assertion is proved.
PROBLEM 4. Let X be an uncountable set,let M be the collection of all sets E X
such that either E or E c is at most countable, and define (E) = 0 in the first case,
(E) = 1 in the second case.Prove that M is a -algebra in X and that is a measure
on M .
SOLUTION. The solution is obtained by direct applications of definitions.
M is a -algebra in X: Clearly and X are in M .Also suppose F is a member of M then
we have two cases.Either F is countable , in this case (F c )c = F is countable which shows
that F c is in M or F c is countable which shows that F c is in M . The most interesting
part is to show that M is closed under countable unions.Suppose E1 , E2 , E3 , ... is contable
collection of sets each of which is in M .Then we have to consider the following cases:
1.) Suppose each Ei is countable.In this case the union will be countable and hence it
will lie in M .
2.) Suppose now that there exists Ek for some k such that E is uncountable.Then E c is
countable.And by the De Morgans Law we have (Ei )c Ekc and this shows that the
complement of the union is countable and so the union lies in M .
Therefore M is a -algebra in X.
is a measure on M :We need to show the following assertions.
2
1.)() = 0
2.)Countable additivity.i.e.If E1 , E2 , E3 , ... is contable collection of sets each of which is
in M then (Ei ) = (Ei ).
The first assertion is obvious as is countable.So by definition () = 0.
The interesting part is the second assertion.Suppose first that each of Ei is countable. In
this case the union of these sets is also countable.So we have (Ei ) = 0 by definition.On
the other hand since each Ei is countable (Ei ) = 0 for all i.Thus the second assertion
above holds in this case.
Now suppose that k such that Ek is uncountable.Then Ekc is countable and by the De
Morgans Law used above we again have (Ei )c Ekc which shows that (Ei ) = 1.If
we consider the summation (Ei ) we see that it is equal to 1 since the only term that
is nonzero(1) is (Ek ).So we again have the validity of the second assertion.
Thus defined above is a measure in M .
PROBLEM 5. Let Ek be a sequence of measurable sets in X, such that
k=1
a.)Then show that almost all x X lie in at most finitely many sets Ek .
b.)Is the conclusion still valid if we omit the condition ()?
SOLUTION.This is known as the Borel-Contellis Lemma.There are two ways to do
the part a.)
First Proof:If A is the set of all x which lie in infinitely many Ek , we need to prove that
(A) = 0.Put
X
1Ek (x), (x X)
g(x) =
k=1
where 1K represents the characteristic function of the set K.Observe that for each x,
each term in this series is either 1 or 0.Hence x X if and only if g(x) = .But we
know that the integral of g is equal to the sum in ().Thus g L1 (),and so g(x) <
a.e.
Second Proof:From set theory we see that the set we are looking for is A =
n=1 k=n Ek .
Define Fn =
k=n Ek .Then clearly Fn+1 Fn .Thus
(A) = lim (Fn ) = lim (
k=n Ek ) limn
n
(Ek )()
k=n
But the last term in () is the limit of the remainder term of the series () which is
finite.Hence it goes to 0.Thus the assertion is proved.
b.)As you guess the conclusion is not valid if we omit the finiteness condition in ().Here
is a simple example.Take Ek = (, 1/n).Then the sum in () is equal to .And
A = (, 0] which has measure .
3
b.)If
SOLUTION.
a.)This is known as the Chebyshevs inequality.If A1 = {x : x A, f (x) c}, then
Z
Z
Z
Z
f (x)d =
f (x)d +
f (x)d
f (x)d c(A1 ).
A
A1
AA1
A1
Z
A
f (x)d = 0, n = 1, 2, ....
Therefore,
({x : x A, f (x) 6= 0})
n=1
b.)Now suppose that X is locally compact Hausdorff space, that Br is the Borel algebra,
and that is finite, positive, finitely additive measure on Br.Suppose moreover that
is regular, that is for each B Br we have,
(B) = sup{(K) : K B, K compact}
K
(
n=1 Bn ) = lim {(i=1 Bi ) + (i=n+1 Bi )}
n
= lim {
n
(Bi ) + (An )} =
i=1
(Bi ).
i=1
Then
(An
ni=1 Ki )
n
X
i=1
B
.So
we
have,
n=1 n
m(
n=1 Bn )
m(
n=1 An )
m(An )
n=1
m(Bn ),
n=1
where the second equality follows from the countable additivity of m and the last inequlity follows from the fact that each term in the sum on the left is less than or equal
to the corresponding term on the right.i.e.An Bn , n hence by part a.), m(An )
m(Bn ), n. So the result follows.
PROBLEM 13. a.)Let (En ) be an infinite decreasing sequence of Lebesgue measurable
sets, that is, a sequence with En+1 En for each n. Let m(E1 ) be finite, where m is the
Lebesgue meausre.Then show that m(
i=1 Ei ) = limn m(En ).
b.)Show by acounterexample that we can not omit the condition m(E1 ) is finite.
SOLUTION.
a.) Let E =
i=1 Ei , and let Fi = Ei Ei+1 .Then E1 E = i=1 Fi , and the sets Fi are
pairwise disjoint.Hence,
m(E1 E) =
m(Fi ) =
i=1
X
i=1
m(Ei Ei+1 ).
But m(E1 ) = m(E1 ) + m(E1 E), and m(Ei ) = m(Ei+1 ) + m(Ei Ei+1 ),since E E1
and Ei+1 Ei . Since m(Ei ) m(E1 ) < , we have m(E1 E) = m(E1 ) m(E) and
m(Ei Ei+1 ) = m(Ei ) m(Ei+1 ).Thus
m(E1 ) m(E) =
(m(Ei ) m(Ei+1 )
i=1
= lim
n
X
(m(Ei ) m(Ei+1 )
i=1
and m(U ) < m(A (n, n + 1)) + ,where < m(A (n, n + 1)).
There are at most countably many disjoint intervals (aj , bj )0 s such that U = j (aj , bj ).
Then A (n, n + 1) = A (aj , bj ).We have
X
X
m(A(n, n+1)) =
m(A(aj , bj )
(bj aj )/2 = 1/2m(U ) < 1/2(m(A(n, n+1))+)
j
k
X
(1 )i1 ) = (1 )k .
i=1
(1 )n1 = 0.
n=1
PROBLEM 18. Let A [0, 1] measurable set of positive measure.Show that there
exist two points x0 6= x00 in A with x0 x00 rational.
SOLUTION.Denote all rational numbers in [1, 1] by r1 , r2 , ..., rn , ...Denote An = {x+
rn : x A}.Then m(An ) = m(A) > 0. An [1, 2].Thus,
n=1
which contradics m(A) > 0. Therefore there must be some n, m such that An Am 6= .
Take z An Am . Then we can find x0 , x00 A such that
z = x0 + rn = x00 + rm .
8
Thus x0 x00 = rm rn .
PROBLEM 19. Let f : Rn R be an arbitrary function having the property that for
each > 0, there is an open set U with (U ) < such that f is continuous on Rn U (in
the relative topology).Prove that f is measurable.
SOLUTION.Let Uk be an open set such that (Uk ) < 1/k and f is continuous on
Rn Uk .Let fk = f 1Rn Uk (where 1A represents the characteristic function of the set
A), thenfk is measurable.For any > 0,
m ({x : |fk f |(x) }) = m ({x Uk : |f (x)| }) 1/k.
It follows that (fk ) converges to f in measure.Since Lebesgue measure is complete f is
measurable.
PROBLEM 20. Prove or disprove that composition of two Lebesgue integrable functions with compact support f, g : R R is still integable.
SOLUTION.It is not true.For example, letf (x) = 1{0} (x) and g(x) = 1{0,1} (x), where
1A represents the characteristic function of the set A.Then f and g are integrable functions with compact support. But,since g f 1, the function g f is not integrable.
PROBLEM 21. Let (X, M, ) be a positive measure space with (X)
R < . Show
that a measurable function f : X [0, ) is integrable (i.e. one has X f d < ) if
and only if the series
X
({x : f (x) n})
n=0
converges.
SOLUTION. Suppose f is integrable. Then
n=0
X
m
X
m=0
m=0 n=0
n=0 m=n
m=0
m=0
Z
X
m=0
f (x)d(x) + (X) =
{x:mf (x)<m+1}
Conversely,
Z
X
f d =
(f + 1)d <
X
Z
X
m=0
f (x)d(x)
{x:mf (x)<m+1}
m=0
n=0
and
lim ((t)et/n )0 |t=0 = lim (et/n /n)|t=0 = 0.
X
sup
|fk+1 fk |dt
(1/(k + 1)2 + 1/k 2 ) <
n
k=1
k=1
by Levis theorem there is a measurable set E of measure 0 such that for any t R E,
sup
n
N
X
k=1
10
n
X
k=2
lim sup |
n
lim sup |
n
fn gdm| + |
fn (1A g)dm|
fn gdm| + |
h1U K dm|
R
It follows that limn A fn dm = 0.
N OT E : Here 1B represents the characteristic function of the set B.
PROBLEM 25.
a.)Prove the Lebesgue Dominated Convergence Theorem.
b.)Here is a version of Lebesgue Dominated Convergence Theorem which is some kind
of extension of it.Prove this.
Let (gn ) be asequence of integrable functions which converges a.e. to an integarble
function g.Let (fn ) beRasequence
functions
such that |fn | gn and (fn )
R of measurable
R
R
converges to f a.e. If g = lim gn , then f = lim fn .R
c.) Show that under hypotheses of the part b.) we have |fn f | 0 as n .
d.)Let (fn ) be asequence of integrable functions such that fn f a.e. with f is integrable.Then
show that
R
R
R
|f fn | 0 as n if and only if |fn | |f | as n .
SOLUTION.
a.) First let us state the theorem properly.
Let g be integrable over E and let (fn ) be a sequence of measurable functions such that
11
|fn | g on E and for almost all x in E we have f (x) = lim fn (x). Then
Z
Z
f = lim fn .
E
whence
f lim sup
fn .
Z
0
n 2x
dx =
ex dx = 1.
PROBLEM 27.
a.) Let (an ) be a sequence of nonnegative real numbers. Set ()
P = 0, and for every
nonempty subset A of N (set of natural numbers) set (A) = nA an .Show that the
set function : P (N ) [0, ] is a measure.
b.) LetP
X be a nonempty set and let f : X [0, ] be a function.Define by
(A) = aA f (x) if A 6= and is at most countable, (A) = if A is uncountable,
and () = 0.Show that is a measure.
SOLUTION.
a.) If (An ) is a sequence of pairwise disjoint subsets of N and A =
n=1 An , then note
that
X
X
X
X
(A) =
ak =
(
ak ) =
(An ).
kAn
n=1 kAn
n=1
X
X
X
X
(An )
f (x)] =
[
f (x) =
(A) =
xA
n=1 aAn
n=1
n=1
X
(A) inf{
f (An ) : (An ) F, and, B
n=1 An } = (B).
n=1
13
k=1
n
Clearly, E
n=1 k=1 Ak holds, and so
(E)
f (Ank )
n=1 k=1
<
[(En ) + /2 ] =
n=1
(En ) + .
n=1
(
n=1 En )
(En ).
n=1
Therefore is an outermeasure.
PROBLEM 29. Let f : R R be a Lebesgue integrable function.Show that
Z
Z
lim f (x)cos(xt)d(x) = lim f (x)sin(xt)d(x) = 0
t
lim inf An =
n=1 i=n Ai and lim sup An = n=1 i=n Ai
Now let (X, S, ) be a measure space and let (En ) be a sequence of measurable sets.Show
the following:
a.) (lim inf En ) lim inf (En )
b.) If (
n=1 En ) < , then (lim sup En ) lim inf (En )
SOLUTION.
14
b.) Note that
i=n Ei & lim sup En . Hence,since (n=1 En ) <
PROBLEM 31.
a.) Let X be a nonempty set and let be the Dirac measure on
R X with respect to a point.
Show that every function f : X R is integrable and that f d = f (a)(a) = f (a).
b.) Let be the counting measure on NP
(set of natural numbers). Show that a function
fR : N P
R is integrable if and only if
n=1 |f (n)| < . Also, show that in this case
f d = n=1 f (n).
SOLUTION.
a.)
R Note that f = f (a)1{a} a.e. holds. Therefore, the function f is integrable and
f d = f (a)({a}) = f (a).
b.) Let f : N R. Since every function is measurable, f is integrable if and only if
both f +P
and f are integrable. So, we can assume that f (k) 0 holds for each k.
If n = nk=1 f (k)1{k} , then (n ) is a sequence of step functions such that n % f (k) as
n for each k, and
Z
n
X
X
n d =
f (k) %
f (k)
k=1
k=1
as n R . This
P shows that f is integrable if and only if
case f g =
k=1 f (k).
k=1
f
a.e.
and
lim
fn d = f d. If E is a measurable
R n
R
set, then show that limn E fn d = E f d.
SOLUTION. By assumptions the functions f1 1E , f2 1E , f3 1E , ...are nonnegative and
integrable (because 0 fn 1E fn ) and fn 1E f 1E holds. Using Fatous lemma we
get
Z
Z
Z
Z
fn d.()
f d = lim inf fn 1E d lim inf fn 1E d = lim inf
E
Similarly, we have
Z
f d lim inf
Ec
fn d.()
Ec
Therefore,
Z
f d =
f d +
f d lim inf
Ec
lim inf(
Z
E
fn d +
fn d + lim inf
fn d) = lim inf(
Ec
15
fn d
Ec
fn d) =
f d,
It follows that
Z
f d +
f d = lim inf
Ec
fn d + lim inf
fn d,
Ec
fn d =
f d.
R
and
so
there
exists
a
subsequence
(g
)
of
the
sequence
(g
)
such
that
lim
g d =
kn
k
E kn
R
f
d.
In
other
words,
we
have
shown
that
every
subsequence
of
a
sequence
of real
E
R
R
numbersR ( E fn d) Rhas a convergent subsequence converging to E f d.This means that
limn E fn d = E f d holds.
PROBLEM 33. Let f : [0, ) R be a continuous function such that f (x+1) = f (x)
holds for all x 0. If g : [0, 1] R is an arbitrary continuous function, then show that
Z 1
Z 1
Z 1
lim
g(x)f (nx)dx = (
g(x)dx)(
f (x)dx).
n
SOLUTION. Observe that by induction f (x + k) = f (x) holds for all x 0 and for
all nonnegative integers k.
The change of variables u = nx yields
Z n
Z 1
n Z i
X
g(u/n)f (u)du = 1/n
g(u/n)f (u)du.
g(x)f (nx)dx = 1/n
0
i1
i=1
Letting t = u i + 1, we get
Z i
Z 1
Z
g(u/n)f (u)du =
g((t + i 1)/n)f (t + i 1)dt =
i1
Consequently,
Z 1X
Z 1
Z
n
g(x)f (nx)dx =
[
1/ng((t + i 1)/n)]f (t)dt =
0
hn (t)dt()
i=1
P
where hn (t) = [ ni=1 1/ng((t + i 1)/n)]f (t) . Clearly, hn is a continuous function
defined on [0, 1]. In addition, note that if |g(x)| K and |f (x)| K hold for each
16
x [0, 1], then hn (t) K 2 for all t [0, 1].i.e. the sequence (hn ) is uniformly bounded
on [0, 1]. Now, note that if 0 t 1 then (i 1)/n (t + i 1)/n i/n.Thus, if mni
and Min denote the minimum and maximum values of g, respectively, on the interval
[(i 1)/n,
mni g((t
+ i 1)/n) Min holds for each 0 t 1. Let
Pn i/n], then
P
n
Rn = i=1 1/nmni and Sn = i=1 1/nMin ,
and note that Rn and Sn are two Riemann sums(the smallest and the largest ones)
for the function g corresponding
to the partition {0, 1/n, 2/n, ..., (n 1)/n, 1}. Hence,
R1
limn Rn = limn Sn = 0 g(x)dx.From,
n
X
|hn (t) Rn .f (t)| = |[
1/ng((t + i 1)/n)]f (t) Rn .f (t)|
i=1
n
X
= |([
1/ng((t + i 1)/n)] Rn ).f (t)| (Sn Rn )|f (t)|,
i=1
R1
we see that limn hn (t) = f (t) 0 g(x)dx and in fact hn converges uniformly. Now, by
(*) and the Lebesgue Dominated Convergence Theorem we obtain
Z 1
Z 1
lim
g(x)f (nx)dx = lim
hn (t)dt
n
Z
0
[ lim hn (t)]dt =
n
[f (t)
R
0
g(x)dx]dt = (
sin2 (x)
dx
x2
Z
g(x)dx)(
f (x)dx).
= 2 .
+
dx.
r
x
2
Thus, we see that
Z
0
sin(x)
dx = r
lim
x2
0+
Z
sin2 (x)
dx =
x2
17
Z
0
sin(x)
dx = .
x
2
PROBLEM 35.
a.)Let (fn ) be a sequence of measurable functions and let f : X R. Assume that
lim ({x : |fn (x) f (x)| }) = 0()
let E :=
n=1 k=n Ek .Then,
(E) (
k=n Ek )
(Ek ) 21n
k=n
holds for all n, and this shows that (E) = 0. Also, if x is not in E, then there exists some
n such that x is not in
k=n Ek , and so |fkm f | 1/m holds for each m n.Therefore,
lim fkn (x) = f (x) for each x E c , and so fkn f a.e. holds. Thus, f is measurable as
limit of a sequence of measurable functions is itself measurable.
b.)By part a.) there exists a subsequence fnk which converges to f a.e. Since fn , it
easily follows that fn f .Now apply the Monotone Convergence Theorem to deduce the
result.
c.) Again by part a.) there exists a subsequence fnk which converges to f a.e. Thus, we
must have f 0 a.e.
PROBLEM 36. Let g be an integrable function and let (fn ) be a sequence of integrable
functions such that |fn | g a.e. holds for all n. Suppose that fnR f (i.e.fn goes to f
in measure), then show that f is an integrable function and lim |fn f |d = 0.
SOLUTION. By the above exercise we know that if fn converges to f in measure then
there exists a subsequence fnk of fn which converges to f a.e.Thus, |f | g a.e. And
application of the Lebesgue Dminated Convergence
Theorem gives that f is integrable.
R
Now, assume on the contrary that lim |fn f |d 6= R0.Thus, assume that for some
> 0 there exists a subsequence (gn ) of (fn ) such that |gn f |d . But we know
that there exists a subsequence (hn ) of (gn ) with hn f a.e. Now Lebesgue Dominated
18
R
Convergence Theorem implies
)
<
SOLUTION.
Let Ei := {x X : 2i1 < f (x) 2i }, i = 0, + 1, + 2, ...Set n =
Pn
i
i=n 2 1Ei for n = 1, 2, 3, ... Then there exists some function g with n g a.e.Clearly,
g is a measurable function and 0 f g a.e.
Assume that f is integrable. Then, each n is a step function, and by n 2f , it follows
that
Z
Z
X
i
2 mi = lim
n d 2 f d <
i=
P
i
On the other hand, if
2 mi < , then each n is a step function, and so g is
integrable. Since 0 f g, f it follows that f is also integrable.
PROBLEM 38.
a.) Let f L1 ()(i.e. f is integrable) and let > 0. Show that
Z
1
({x X : |f (x)| })
|f |d
b.) If fn f in L1 () then show that fn f in measure.
SOLUTION.
a.) Consider the measurable set E = {x X : |f (x)| }.Then,the follwing estimate
gives the result.
Z
Z
Z
|f |d |f |1E d 1E d = (E).
b.) From part a.) we have the follwing inequality,
({x X : |fn (x) f (x)| })
|fn f |d.
But if fn f in L1 () holds then the right hand side of this inequality goes to 0 and
that shows that fn f in measure.
PROBLEM 39. Suppose f is integrable on a set A. Then, show that given > 0 there
exists a > 0 such that
Z
| f (x)d| <
E
|f (x)|dx =
P R
n=0
An
An
n=N +1
.
2(N +1)
CN
|f (x)|d < .
2
f (x)d| =
|f (x)|d =
|f (x)|d =
|f (x)|d +
EBN
(N + 1)(E) +
|f (x)|d
ECN
|f (x)d <
CN
+ = .
2 2
SOLUTION. Note that the result is immediate when f is a step function. Now let f
be an arbitrary integrable function and let > 0. If f f1 + f2 + f3 + ...(approximate
f by a step function which can be done as step functions are dense in L1 ), then there
exists n0 N such that
Z
X
|fn |dx < .
3
n=n +1
0
We have
Z
|f (x + t) f (x)|dx
n0
X
fn (x + t)
n=1
|fn (x + t)|dx +
n=n0 +1
fn (x)|dx
n=1
n=n0 +1
20
n0
X
|fn (x)|dx
n0
X
fn (x + t)
n=1
+2
n0
X
fn (x)|dx
n=1
|fn (x)|dx
n=n0 +1
<
n0
X
fn (x + t)
n=1
Since
Pn0
n=1
n0
X
fn (x)|dx + 2
n=1
3
Consequently,
n0
X
fn (x + t)
n=1
n0
X
fn (x)|dx = 0.
n=1
PROBLEM 41. Show that every extended real valued measurable function f is the
limit of a sequence (fn ) of simple functions.
SOLUTION. Suppose first that f 0. For every n = 1, 2, 3, ..., and for every x X,
write
fn (x) = (i 1)/2 if (i 1)/2 f (x) < i/2, for i = 1, 2, ...2n n
fn (x) = n if f (x) n.
Clearly fn is a nonnegative simple function, and the sequence (fn ) is increasing. If
f (x) < , then, for some n,
0 f (x) fn (x) 2n ;
if f (x) = , then fn (x) = n for every n.Recalling that the difference of two simple
functions is a simple function, application of the procedure above to f + and f separately
proves the result for arbitrary f .
PROBLEM 42. Suppose is a probability
Pn measure on X i.e.(X) = 1.Let An1 , A2 , A3 , ...
U be sets in the algebra U such that i=1 (Ai ) > n 1. Show that (k=1 Ak ) > 0.
P
P
SOLUTION. Since (Aci ) = 1 (Ai ), we have ni=1 (Aci ) = n ni=1 (Ai ) < 1.By
the semi-additivity of the measure we have,
(
n
[
Aci )
i=1
n
X
(Aci ) < 1.
i=1
Therefore,
(
n
\
i=1
Ai ) = 1 ((
n
\
Ai )c ) = 1 (
i=1
n
[
i=1
21
Aci ) > 0.
lim
(E)0
SOLUTION.
i)We can assume that f 0. Consider the following sets
A0 := {x : f (x) = 0}, An := {x : 1/n f (x) n}, A := {x : f (x) = }.
T
Clearly, A1 A2 A3 ... and also
n=1 (X An ) = A0 A . Note that (A ) = 0
as f is integragle. Thus, we have
Z
Z
Z
lim
f d =
f d +
f d = 0
n
(XAn )
A0
Z
(XA)
f d +
(XA)
f d <
(EA)
(EA)
+ M (E) < + M = .
2
2
2
PROBLEM 44.
i) Show that an algebra A is a algebra if and only if it is closed
Sunder countable
increasing unions(i.e. If (Ej )
A
and
E
...,
then
1
2
3
j=1
j=1 Ej A.)
ii)
PnSuppose 1 , 2 , 3 , ... are measures on (X, M ) and a1 , a2 , a3 , ... [0, ). Show that
1 aj j is a measure on (X, M ).
SOLUTION.
i) We just need to show that A is closed under all countable unions since the other
direction is obvious. For that, let (Ej ) be any sequence of sets in A. Let F1 = E1 and
Fn = nj=1 Ej for n > 1. Since A is an algebra, Fn A. Note that Fn Fn+1 , so
j=1
Ej =
Fj A.
j=1
P
P
ii) Let m(E) = n1 aj j (E). It is clear that m() = 0 as m() = n1 aj j () = 0.It
is also obvious that m(E) 0.For the countable additivity, recall the fact that series
22
of nonnegative terms can be added and multiplied termwise and rearrenged arbitrarily
without changing the sum. Thus, m is a measure.
PROBLEM 45.
i) Let (X, M, ) be a measure space and E, F M. Show that
(E) + (F ) = (E F ) + (E F ).
ii) Given a measure space (X, M, ) and E M , define E (F ) = (A E). Show that
E is a measure.
SOLUTION.
i) Write the set as a disjoint union of two sets as follows E = (E F ) (E F ).Now
write F as the disjoint union F = (F E) (E F ) and E F as the disjoint union
(E F ) (F E) (E F ). Then we have,
(E F ) + (E F ) = (E F ) + (F E) + 2(E F )
= (E F ) + (E F ) + (F E) + (E F )
= (E) + (F )
ii) Clearly, E (A) 0 and E () = 0. Countable additivity is also very easy to verify.
Suppose An Am = when m 6= n, then
E (
An ) = (E
n=1
An ) =
n=1
(E An ) =
n=1
E (An ).
n=1
j=1
Ej ) = (
n=1
n
X
j=1
23
(Ej ) =
X
j=1
(Ej ).
Ej ) = (X
j=1
Ejc )
= (X) (
j=1
Ejc )
j=1
Hence is continuous from below and by the previous part it is therefore countaly
additive.
PROBLEM 47. Let be an outer measure on X and let (Aj )
of
j=1 be a sequence
S
disjoint
P measurable sets(in the sense of Carethedory). Show that (E ( 1 Aj )) =
1 (E Aj ) for any E X.
SOLUTION. First we prove that for each finite n,
(E
n
[
Aj ) =
j=1
n
X
(E Aj )
j=1
For this we use induction on n. This statement is obvious when n = 1. Suppose that it
is true for n = k.Let n = k + 1 and note that
(E
k+1
[
Aj ) (E
j=1
k+1
[
Aj ) Ak+1 + (E
j=1
= (E Ak+1 ) + (E
k
[
k+1
[
j=1
Aj ) = (E Ak+1 ) +
j=1
Aj ) Ack+1 .
k
X
(E Aj )
j=1
(E
Aj ) (E
j=1
n
[
Aj ) =
j=1
n
X
(E Aj ).
j=1
(E
Aj )
j=1
(E Aj )
j=1
The other inequality follows from the countable subadditivity.Hence equality holds.
24
c
, t > 0.
t2
Prove that there exists a constant C1 such that for any Borel set E Rn of finite and
positive measure
Z
p
|f (x)|dx C1 m(E).
E
SOLUTION.
|f |dm =
E
c
|E|
c
|E|
Z
r
c
p
c
c
c
dt
=
c |E| +
|E|
+
2
c t
|E|
|E|
t
|E|
p
p
p
c
= c |E| + q
= 2 c |E| = C1 |E|.
c
|E|
PROBLEM 49. Let B(m, 1) be mdimensional ball of radius 1 centered at the origin
in Rm .
a.) Show that there exists a function f : R [0, 1] such that
Z
m(B(n + 1, 1)) = m(B(n, 1)) [f (t)]n dt.
Here m denotesR the Lebesgue measure.
b.) Show that [f (t)]n dt 0 as n .
c.) Show that for any positive number A, An m(B(n, 1)) 0 as n .
SOLUTION.
a.) Let B(n + 1, r) = x Rn : x21 + ...x2n+1 = r .Integrate over t = xn+1 to determine
the volume of B(n + 1, 1). Then we get,
Z 1
m(B(n + 1, 1)) =
m(B(n, 1 t2 ))dt
1
=2
m(B(n, 1))
t2
n
dt = m(B(n, 1))
f (t)dt
where f (t) = 1[1,1] 1 t2 , here 1A represents the characteristic function of the set A.
The first equality follows from the F ubini0 s theorem, and the second equality follows
25
from the fact that m(B(n, r)) = rn m(B(n, 1)). This fcat follows from a linear change of
variables.
b.) Note that [f (t)]n 0 pointwise if t 6= 0 and define fn := f n , then f1 f2
...
R 0,nf1 is integrable and fn 0 almost everywhere, so by the first question we have
[f (t)] dt 0.
c.)
Z
An m(B(n, 1)) = An m(B(n 1, 1) [f (t)n1 dt
Z
Z
n2
n
= A m(B(n 2, 1)) [f (t)] dt [f (t)]n1 dt
Z
Z
n
0
= ... = A m(B(0, 1)) [f (t)] dt... [f (t)]n1 dt
Z
Z
0
n1
A [f (t)] dt ... A [f (t)] dt .
Here
R we kused the fact that m(B(0, 1)) = 1. By part b.), for k nsufficiently large,
A [f (t)] dt < s < 1 for some fixes s with 0 s < 1. But this shows A m(B(n, 1)) & 0.
PROBLEM
50. Let
f be
R an integrable function. Show that
1
i) ( x : |f (x)| a ) a |f |d.
ii) ( x : |f (x)| a ) = o( a1 ) as a .
SOLUTION.
i)
Z
( x : |f (x)| a ) =
x:|f (x)|a
Z
d
|f |
1
d
a
a
x:|f (x)|a
|f |d.
ii) From part i) if a then ( x : |f (x)| a ) 0. This clearly proves the result.
R
PROBLEM 51. Let X, M be a measure space. If f L+R, let (E)
= E f d, for
R
E M . Show that is a measure on M , and for any g L+ , gd = f gd.
R
SOLUTION. Since f 0, (E) = E f d 0, and () = 0. If A is a disjoint union
of (An )
n=1 , then
Z
Z
Z X
XZ
XZ
X
(A) =
f d = 1A .f d =
1An .f d =
1An .f d =
f d =
(An ).
A
An
Therefore, is a measure on P
M.
If g L+ is simple, and g = n1 ak .1Ek , then
Z
gd =
n
X
1
ak .(Ek ) =
n
X
1
ak .
f d =
Ek
26
Z X
n
1
ak .1Ek .f d =
gf d.
fn dm =
f dm =
1/n,1]
1
x1/2 dx = 2 2.( )1/2 .
n
1/n
|g|dm
|f (x rn )|dm =
n=1
2n .2 = 2 < .
n=1
a.e.
Fix
any
interval
a,
b
for some
a < b, there is rn a, b Q since Q is dense in R. There exists M N such that
when m M , rn + m1 (a, b). Then
1(a,b) g 2 (x) 22n 1[rn + 1 ,rn + 1 ] f (x rn )2
m
for m M . Therefore,
Z
g dm 2
(a,b)
2n
=2
2n
1
rn + M
]
1
[rn + m
1
1
[rn + m
,rn + M
f (x rn )2 dm
]
2n
(x rn ) dm = 2
27
ln(m) ln(M ) ,
R
Rb
for all m M , so a,b) g 2 dm = a g 2 dm can only be , and this clearly shows that g 2
can not be integrable.
R
c.) If g = h a.e., we also have (a,b) |h|2 dm = for any interval (a, b). Thus, h can not
be bounded on (a, b). Moreover, h is discontinuous at any point x, since otherwise h
would be bounded on some interval containing x.
PROBLEM
the following limits and justify the calculations:
R 53. Compute
x n
a.) limn 0 1 + n
sin( nx )dx ;
n
R1
b.) limn R 0 1 + nx2 1 + x2
dx;
x
2 1
c.) limn R0 nsin( n ) x(1 + x )] dx;
1 + x n sin( x ) 1 + x 2 .
n
n
2
2
is integrable over [0, ). Thus, by the Dominated
Note also that the function 1 + x2
Convergence Theorem ,we have
Z
Z
x n
x
x n
x
sin( )dx =
lim 1 +
sin( )dx = 0.
lim
1+
n
n 0
n
n
n
n
0
n
R
1, and 1 1dx = 1. Thus by the Dominated Convergence
b.) 1 + nx2 1 + x2
0
Theorem, we have
Z 1
Z 1
n
2
2 n
lim
1 + nx 1 + x
dx =
lim 1 + nx2 1 + x2
dx = 0.
n
0 n
c.) nsin( nx ) x(1 + x2 )]1 (1 + x2 )1 and note that (1 + x2 )1 is integrable over
[0, ).Hence, again by the Dominated Convergence Theorem, we have,
Z
Z
Z
x
x
2 1
2 1
lim nsin( ) x(1+x )] dx =
(1+x2 )1 = .
lim
nsin( ) x(1+x )] dx =
n 0
n
n
n
2
0
0
R
R
if a > 0; = 2 if a = 0; = if a < 0.
PROBLEM 54. Suppose fn and f are measurable complex-valued functions and :
C C.
a.) If is continuous and fn f a.e., then show that fn f a.e.
b.) Show that if is uniformly continuous and fn f uniformly, almost uniformly, or
in measure, then fn f , uniformly, almost uniformly, or in measure, respectively.
c.) Give counterexamples when the continuity assumptions on are not satisfied.
SOLUTION.
a.) Since is continuous by assumption, fn f implies that fn f , and
28
so {x : fn 9 f } {x : fn 9 f }. Thus, ({x : fn 9 f }) = 0 as
({x : fn 9 f }) = 0.Therefore, fn f a.e.
b.) Since is uniformly continuous, for any > 0, there exists a () > 0 such that
|x y| < () implies that |(x) (y)| < . Now, if fn f uniformly, > 0, there
is M N such that when n M , for all x X, |fn (x) f (x)| < (), and so that
| fn (x) f | < . But this shows that fn f , uniformly.
If fn f almost uniformly, then for any 1 , 2 > 0, there is a set E F ( algebra)
and a natural number M N , such that (E) < 1 , and when nj M for x
X E, |fn (x) f (x)| < (2 ), and so | fn f | < 2 . This clearly shows that
fn f almost uniformly.
If fn f in measure, then > 0, ({x : |fn (x) f (x)| > ()}) ). Since
{x : | fn f | > } {x : |fn f | > ()},
we have ({x : | fn f | > }) 0. But this means that fn f , in measure.
c.) A counterexample for a.) is fn (x) = n1 , f (x) = 0, and = 1{0} .
A counterexample for b.) is X = R, fn (x) = x + n1 , f (x) = x and (x) = x2 .
PROBLEM 55. Suppose fn f almost uniformly, then show that fn f a.e. and
in measure.
SOLUTION.First let us recall what it means to converge almost uniformly: It means,
for all 1 , 2 > 0, there is a set E such that (E) < 1 and x (X E) implies
|fn (x) f (x)| < 2 .
Since fn f almost uniformly, for any n T
N , there is En M (-algebra such that
1
c
(En ) < n and fn f on EN . Let E =
1 En , then (E) = 0 and fn f on
S
c
c
1 En = E . Thus, fn f a.e.
Since fn f almost uniformly, for every 1 , 2 > 0, there is E M and n1 N
such that (E) < 2 and when n > n1 , |fn (x) f (x)| < 1 for x is not in E, and so
({x : |fn (x) f (x)| 1 }) (E) < 2 . Thus,
({x : |fn (x) f (x)| 1 }) 0.
Therefore, fn f in measure as 1 and 2 are arbitrary.
PROBLEM 56. Show that if f : [a, b] C is Lebesgue measurable and > 0, then
there is a set E [a, b] such that m(E c ) < and f |E is continuous. Moreover, E may
be taken to be compact.
T
SOLUTION. Since
n=1 {x : |f (x)| > n} = , there is M N such that m({x :
|f (x)| > M }) < 2 . Let E1 = {x : |f (x)| M }, and define h(x) = 1E1 f (x). Now
h L1 [a, b], so we can find a subsequence of a sequence of continuous functions (gn )
which tends to f a.e.Without loss of generality we assume that gn h a.e. Applying
Egoroffs Theorem, we have E2 M such that m(E2c ) < 2 and gn h uniformly on
E2 . Then, we have that h is continuous on E2 and so f is continuous on E1 E2 for f
29
differs from h only on E1 . Now, m((E1 E2 )c ) = m(E1c E2c ) < , there is an open set
O containing E1c E2c and m(O) < . Let E = Oc , then E is compact, m(E c ) < and
E E! E2 , so f is continuous on E.
PROBLEM 57. A measure is called semi-finite if every set of infinite measure
contains a subset of finite, nonzero measure. Show that every finite measure is semifinite.
SOLUTION. Since is finite, we know that
X=
Ej , (Ej ) < .
j=1
Without loss of generality we may assume that Ej are disjoint. Let A be an arbitrary
set with (A) = . Then,
X
(A) =
(A Ej ).
j=1
Each A Ej has finite measure as it is a subset of Ej . Since the sum is , at least some
of the sets A Ej must have nonzero measure(actually, infinitely many). Pick any of
them.
PROBLEM 58. Let be the counting measure on N . Prove that fn f in measure
if and only if fn f uniformly.
SOLUTION. Assume fn f in measure. This means that for any > 0
({x : |fn (x) f (x)| > }) 0 as n . Since only takes integer values, this
is equivalent to : N so that ({x : |fn (x) f (x)| > }) = 0 for n > N. This says,
|fn (x) f (x)| for n > N and for all x. But this says fn f uniformly. The converse
is obvious.
PROBLEM 59. Prove that for a > 0,
Z
a2
2
ex cos(ax)dx = e 4 .
SOLUTION. Define,
x2
fn (x) = e
n
X
j=0
and
x2
g(x) = e
X
j=0
(1)j
(1)j
(ax)2j
,
(2j)!
ax
(ax)2j
+ eax
2
2e
= ex cosh(ax) = ex
.
(2j)!
2
30
Then, g L1 , and |fn (x)| g(x). Thus, we can use Dominated Convergence Theorem
and integrate the series for f term by term. A simple calculation yields,
Z
2n
x2 (ax)
2n
e
dx = a n .
(2n)!
4 n!
Thus,
Z
x2
cos(ax)dx =
X
n=0
n 2n
(1) a
(a2 /4)n a2 /4
=
= e
.
4n n!
n!
n=0
PROBLEM 60. Let (qn ) be an enumeration of rationals in [0, 1]. Define the function
f on [0, 1] by,
X
f (x) =
2n .
n,so,qn <x
X
2n < .
n=N
Now, choose > 0 so small that the interval (x , x + ) does not contain any of
the qn with n < N. Then for y (x , x + ),
X
|f (x) f (y)| <
2n < .
n>N
31
(c.) Yes. It is Lebesgue integrable. For this we can use a theorem which says if f is
properly Riemann integrable, then it is Lebesgue integrable.
Or we can try to do it directly. The partial sums
X
fN (x) =
2n
nN,qn <x
are non-negative, increasing and bounded above. So either by the Monotone Convergence Theorem or by the Dominated Convergence Theorem f is Lebesgue integrable.
PROBLEM 61. If f and g are two continuous functions on a common open set in Rn
that agree everywhere on the complement of a set of zero Lebesgue measure,then, show
that in fact f and g agree everywhere.
SOLUTION. Let f and g be two continuous functions such that f (x) = g(x), for
all x Ac and m(A) = 0. Consider any point a A. Consider also the open ball
B(a, r) = {y : |y a| < r}. Since m(A) = 0 and m(B(a, r)) > 0 it is not possible to have
B(a, r) A for any r > 0. Therefore, for all r > 0, B(a, r) contains points in Ac . Thus,
there exists a sequence of points each lying in Ac and converging to a.i.e. There exists
c
(an )
n=1 such that an A for all n and an a. But, then limn f (an ) = limn g(an )
since f (an ) = g(an ) for all n. Since f and g are continuous on Ac the above equality
gives,
f ( lim an ) = g( lim an )
n
Since, a A is arbitrary we have g(a) = f (a) for all a A. Since also f (b) = g(b) for
all b Ac we have f (x) = g(x) for any x Rn .
32
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