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Medidas - Bartle PDF
Medidas - Bartle PDF
October 8, 2013
www.MATHVN.com - Anh Quang Le, PhD
1
NOTATIONS
A(X): The -algebra of subsets of X.
(X, A(X), ) : The measure space on X.
B(X): The -algebra of Borel sets in a topological space X.
ML : The -algebra of Lebesgue measurable sets in R.
(R, ML , L ): The Lebesgue measure space on R.
L : The Lebesgue measure on R.
L : The Lebesgue outer measure on R.
1E or E : The characteristic function of the set E.
Contents
Contents 1
2 Lebesgue Measure on R 21
3 Measurable Functions 33
10 Lp Spaces 121
Chapter 1
2. -algebra of sets
Definition 3 (-algebra)
Let X be an arbitrary set. A collection A of subsets of X is called an algebra if it satisfies the
following conditions:
1. X A.
2. A A Ac A.
3. A, B A A B A.
An algebra A of a set X is called a -algebra if it satisfies the additional condition:
S
4. An A, n N nN An n N.
It is evident that open sets and closed sets in X are Borel sets.
3. Measure on a -algebra
Definition 5 (Measure)
Let A be a -algebra of subsets of X. A set function defined on A is called a measure if it
satisfies the following conditions:
Notice that if E A such that (E) = 0, then E is called a null set. If any subset E0 of a null set
E is also a null set, then the measure space (X, A, ) is called complete.
4. Outer measures
Proposition 3 (Properties of )
(a) If E1 , E2 M( ), then E1 E2 M( ).
(b) is additive on M( ), that is,
Problem 1
Let A be a collection of subsets of a set X with the following properties:
1. X A.
2. A, B A A \ B A.
Solution
(i) X A.
(ii) A A Ac = X \ A A (by 2).
(iii) A, B A A B = A \ B c A since B c A (by (ii)).
Since Ac , B c A, (A B)c = Ac B c A. Thus, A B A.
Problem 2
(a) ShowSthat if (An )nN is an increasing sequence of algebras of subsets of a set
X, then nN An is an algebra of subsets of X.
(b) Show by example that even if An in (a) is a -algebra for every n N, the
union still may not be a -algebra.
Solution S
(a) Let A = nN An . We show that A is an algebra.
(i) Since X An , n N, so X A.
(b) Let X = N, An = the family of all subsets of {1, 2, ...,Sn} and their complements.
Clearly, An is a -algebra and A1 A2 .... However, nN An is the family of all
finite and co-finite subsets of N, which is not a -algebra.
Problem 3
Let X be an arbitrary infinite set. We say that a subset A of X is co-finite if its
complement Ac is a finite subset of X. Let A consists of all the finite and the
co-finite subsets of a set X.
(a) Show that A is an algebra of subsets of X.
(b) Show that A is a -algebra if and only if X is a finite set.
Solution
(a)
A A Ac A.
A, B A A B A.
Note:
For an arbitrary collection C of subsets of a set X, we write (C) for the smallest
-algebra of subsets of X containing C and call it the -algebra generated by C.
Problem 4
Let C be an arbitrary collection of subsets of a set X. Show that for a given
A (C), there exists a countable sub-collection CA of C depending on A such
that A (CA ). (We say that every member of (C) is countable generated).
Solution
Denote by B the family of all subsets A of X for which there exists a countable
sub-collection CA of C such that A (CA ). We claim that B is a -algebra and
that C B.
The second claim is clear, since A ({A}) for any A C. To prove the first one,
we have to verify that B satisfies the definition of a -algebra.
(i) Clearly, X B.
(ii) If A B then A (CA ) for some countable family CA (C). Then
Ac (CA ), so Ac B.
(iii) Suppose S{An }nN B. Then An (CAn ) for some countable family CAn C.
Let E = nN CAn then E isS countable and E C andSAn (E) for all n N.
By definition of -algebra, nN An (E), and so nN An B.
Problem 5
Let a set function defined on a -algebra A of subsets of X. Show that it is
additive and countably subadditive on A, then it is countably additive on A.
Solution
We first show that the additivity of implies its monotonicity. Indeed, let A, B A
with A B. Then
B = A (B \ A) and A (B \ A) = .
Since is additive, we get
(B) = (A) + (B \ A) (A).
Now let (En ) be a disjoint sequence in A. For every N N, by the monotonicity
and the additivity of , we have
! N ! N
[ [ X
En En = (En ).
nN n=1 n=1
Problem 6
Let X be an infinite set and A be the algebra consisting of the finite and co-finite
subsets of X (cf. Prob.3). Define a set function on A by setting for every
A A:
0 if A is finite
(A) =
1 if A is co-finite.
(a) Show that is additive.
(b) Show that when X is countably infinite, is not additive.
(c) Show that when X is countably infinite, then X is the limit of an increasing
sequence {An : n N} in A with (An ) = 0 for every n N, but (X) = 1.
(d) Show that when X is uncountably, the is countably additive.
Solution
(a) Suppose A, B A and A B = (i.e., A B c and B Ac ).
If A is co-finite then B is finite (since B Ac ). So A B is co-finite. We have
(A B) = 1, (A) = 1 and (B) = 0. Hence, (A B) = (A) + (B).
If B is co-finite then A is finite (since A B c ). So A B is co-finite, and we have
the same result. Thus, is additive.
(b) Suppose X is countably infinite. We can then put X under this form: X =
{x1 , x2 , ...}, xi 6= xj if i 6= j. Let AP
n = {xn }. Then the family {An }nN is disjoint
and (An ) = 0 for every n N. So nN (An ) = 0. On the other hand, we have
(d) Suppose XS is uncountably. Consider the family of disjoint sets {Cn }nN in A.
Suppose C = nN Cn A. We first claim: At most one of the Cn s can be co-finite.
Indeed, assume there are two elements Cn and Cm of the family are co-finite. Since
Cm Cnc , so Cm must be finite: a contradiction.
Suppose Cn0 is the co-finite set. Then since C Cn0 , C is also co-finite. Therefore,
!
[
(C) = Cn = 1.
nN
Thus, !
[ X
Cn = (Cn ).
nN nN
S
If all Cn are finite then Cn is finite, so we have
nN
!
[ X
0= Cn = (Cn ).
nN nN
Problem 7
Let (X, A, ) be a measure space. Show that for any A, B A, we have the
equality:
(A B) + (A B) = (A) + (B).
Solution
If (A) = or (B) = , then the equality is clear. Suppose (A) and (B) are
finite. We have
A B = (A \ B) (A B) (B \ A),
A = (A \ B) (A B)
B = (B \ A) (A B).
(1.1) (A B) = (A \ B) + (A B) + (B \ A),
(1.2) (A) + (B) = 2(A B) + (A \ B) + (B \ A).
Problem 8
The symmetry difference of A, B P(X) is defined by
A 4 B = (A \ B) (B \ A).
A, B, C P(X), A 4 B (A 4 C) (C 4 B).
A, B, C A, (A 4 B) (A 4 C) + (C 4 B).
Solution
(a) Let x A 4 B. Suppose x A \ B. If x C then x C \ B so x C 4 B. If
x/ C, then x A \ C, so x A 4 C. In both cases, we have
x A 4 B x (A 4 C) (C 4 B).
Problem 9
Let X be an infinite set and the counting measure on the -algebra A = P(X).
Show that there exists a decreasing sequence (En )nN in A such that
Solution
Since X is a infinite set, we can find an countably infinite set {x1 , x2 , ...} X with
xi 6= xj if i 6= j. Let En = {xn , xn+1 , ...}. Then (En )nN is a decreasing sequence in
A with
lim En = and lim (En ) = 0.
n n
Solution S
Recall that if (En ) is increasing
T then lim n E n = nN En A, and if (En ) is
decreasing then limn E =
n E
nN n A. Note also that if (En ) is a monotone
sequence in A, then (En ) is a monotone sequence in [0, ] by the monotonicity
of , so that limn (En ) exists in [0, ].
(a) Suppose (En ) is increasing. Then the sequence (En ) is also increasing.
Consider the first case where (En0 ) = for some En0 . In this case we have
limn (En ) = . On the other hand,
[
En0 En = lim En = lim En (En0 ) = .
n n
nN
Thus
lim En = = lim (En ).
n n
Consider the next case where (En ) < for all n N. Let E0 = , then consider
the disjoint sequence (Fn ) in A defined by Fn = En \En1 for all n N. It is evident
that [ [
En = Fn .
nN nN
Then we have
! !
[ [
lim En = En = Fn
n
nN nN
X X
= (Fn ) = (En \ En1 )
nN nN
X
= (En ) (En1 )
nN
n
X
= lim (Ek ) (Ek1 )
n
k=1
= lim (En ) (E0 ) = lim (En ).
n n
(b) Suppose (En ) is decreasing and assume the existence of a containing set A with
finite measure. Define a disjoint sequence (Gn ) in A by setting Gn = En \ En+1 for
all n N. We claim that
\ [
(1) E1 \ En = Gn .
nN nN
T T
To show this, let x E1 \ nN En . Then x E1 and x / nN En . Since the
sequence (En ) is decreasing, there exists the first set En0 +1 in the sequence not
containing x. Then
[
x En0 \ En0 +1 = Gn0 = x Gn .
nN
S
Conversely, if x nN Gn , then x Gn0 = ET n0 \ En0 +1 for some n0 T
N. Now
x En0 E1 . Since x / En0 +1 , we have x
/ nN En . Thus x E1 \ nN En .
Hence (1) is proved.
Now by (1) we have
! !
\ [
(2) E1 \ En = Gn .
nN nN
(b) If there exists A A with En A and (A) < for every n N, then
show that
lim sup En lim sup (En ).
n n
Solution
(a) Recall that [ \ \
lim inf En = Ek = lim Ek ,
n n
nN kn kn
T
by the fact that kn Ek nN
is an increasing sequence in A. Then by Problem 9a
we have
! !
\ \
() lim inf En = lim Ek = lim inf Ek ,
n n n
kn kn
since the
T limit of a sequence, if it exists,
T is equal to the limit inferior of the sequence.
Since kn Ek En , we have kn Ek (En ) for every n N. This implies
that !
\
lim inf Ek lim inf (En ).
n n
kn
Thus by () we obtain
lim inf En lim inf (En ).
n n
(b) Now \ [ [
lim sup En = Ek = lim Ek ,
n n
nN kn kn
S
by the fact that Ek nN is an decreasing sequence in A. Since En A for all
S kn
n N, we have kn Ek A for all n N. Thus by Problem 9b we have
! !
[ [
lim sup En = lim Ek = lim Ek .
n n n
kn kn
Now ! !
[ [
lim Ek = lim sup Ek ,
n n
kn kn
since the S
limit of a sequence, if it exists, is equal to the limit superior of the sequence.
Then by kn Ek En we have
!
[
Ek (En ).
kn
Thus !
[
lim sup Ek lim sup (En ).
n n
kn
It follows that
lim sup En lim sup (En ).
n n
Problem 12
Let be an outer measure on a set X. Show that the following two conditions
are equivalent:
(i) is additive on P(X).
(ii) Every element of P(X) is -measurable, that is, M( ) = P(X).
Solution
Suppose is additive on P(X). Let E P(X). Then for any A P(X),
A = (A E) (A E c ) and (A E) (A E c ) = .
(A) = (A E) + (A E c ).
M( ) = P(X).
Problem 13
Let be an outer measure on a set X.
(a) Show that the restriction of on the -algebra M( ) is a measure on
M( ).
(b) Show that if is additive on P(X), then it is countably additive on P(X).
Solution
(a) By definition, is countably subadditive on P(X). Its restriction on M( )
is countably subadditive on M( ). By Proposition 3b, is additive on M( ).
Therefore, by Problem 5, is countably additive on M( ). Thus, is a measure
on M( ). But is the restriction of on M( ), so we can say that is a
measure on M( ).
(b) If is additive on P(X), then by Problem 11, M( ) = P(X). So is a
measure on P(X) (Problem 5). In particular, is countably additive on P(X).
Chapter 2
Lebesgue Measure on R
Proposition 4 (Properties of L )
L (A) L (A E) + L (A E c ).
The family of all measurable sets is denoted by ML . We can see that ML is a -algebra. The
restriction of L on ML is denoted by L and is called Lebesgue measure.
Proposition 5 (Properties of L )
Problem 14
If E is a null set in (R, ML , L ), prove that E c is dense in R.
Solution
For every open interval I in R, L (I) > 0 (property of Lebesgue measure). If
L (E) = 0, then by the monotonicity of L , E cannot contain any open interval as
a subset. This implies that
Ec I =
for any open interval I in R. Thus E c is dense in R.
Problem 15
Prove that for every E R, there exists a G -set G R such that
Solution
We use the regularity property of L (Property 7).
For = n1 , n N, there exists an open set On R such that
1
On E and L (E) L (On ) L (E) + .
n
T
Let G = nN On . Then G is a G -set and G E. Since G On for every n N,
we have
1
L (E) L (G) L (On ) L (E) + .
n
This holds for every n N, so we have
Therefore
(G) = (E).
Problem 16
Let E R. Prove that the following statements are equivalent:
(i) E is (Lebesgue) measurable.
(ii) For every > 0, there exists an open set O E with L (O \ E) .
(iii) There exists a G -set G E with L (G \ E) = 0.
Solution
(i) (ii) Suppose that E is measurable. Then
Then we have
!
[ X
L (O \ E) L (On \ En ) L (On \ E)
nZ nZ
X1 1 X1
. |n| = + 2 . n
nZ
3 2 3 nN
3 2
1 2
= + = .
3 3
This shows that (ii) satisfies.
(ii) (iii) Assume that E satisfies (ii). Then for = n1 , n N, there is an open
set On such that
1
On En and L (On \ En ) , n N.
n
T
Let G = nN On . Then G is a G -set containing E. Now
1
G O = L (G \ E) L (On \ E) , n N.
n
Problem 18
Let Q be the set of all rational numbers in R. For any > 0, construct an open
set O R such that
O Q and L (O) .
Solution
Since Q is countable, we can write Q = {r1 , r2 , ...}. For any > 0, let
In = rn n+1 , rn + n+1 , n N.
2 2
S
Then In is open and O = n=1 In is also open. We have, for every n N, rn In .
Therefore O Q.
Moreover,
!
[ X
L (O) = L In L (In )
n=1 n=1
X
2
=
n=1
2n+1
X
1
= n
= .
n=1
2
Problem 19
Let Q be the set of all rational numbers in R.
(a) Show that Q is a null set in (R, BR , L ).
(b) Show that Q is a F -set.
(c) Show that there exists a G -set G such that G Q and L (G) = 0.
(d) Show that the set of all irrational numbers in R is a G -set.
Solution
(a) Since Q is countable, we can write Q = {r1 , r2 , ...}. Each {rn }, n N is closed,
so {rn } BR . Since BR is a -algebra,
[
Q= {rn } BR .
n=1
Problem 20
Let E ML with L (E) > 0. Prove that for every (0, 1), there exists a
finite open interval I such that
L (I) L (E I) L (I).
Solution
Consider first the case where 0 < L (E) < . For any (0, 1), set 1 = 1 + a.
Since a > 0, 0 < = aL (E) < . By the regularity property of L (Property 7),
there exists an open set O E such that1
1
L (O) L (E) + aL (E) = (1 + a)L (E) = L (E) < . (i)
Since E O, we have
!
[ X
L (E) = L (E O) = L E In = L (E In ). (iii)
nN nN
Note that all terms in this inequality are positive, so that there exists at least one
n0 N such that
1
L (In0 ) L (E In0 ).
Since L (O) is finite, all intervals In are finite intervals in R. Let I := In0 , then I is
a finite open interval satisfying conditions:
L (I) L (E I) L (I).
Now consider that case L (E) = . By the -finiteness of the Lebesgue measure
space, there exists a measurable subset E0 of E such that 0 < L (E0 ) < . Then
using the first part of the solution, we obtain
1
Recall that for (Lebesgue) measurable set A, L (A) = L (A).
Problem 21
Let f be a real-valued function on (a, b) such that f 0 exists and satisfies
L (f (E)) M L (E).
Solution
If M = 0 then f 0 (x) = 0, x (a, b). Hence, f (x) = y0 , x (a, b). Thus, for any
E (a, b) we have
L (f (E)) = 0.
The inequality holds. Suppose M > 0. For all x, y (a, b), by the Mean Value
Theorem, we have
Problem 22
(a) Let E R. Show that F = {, E, E c , R} is the -algebra of subsets of R
generated by {E}
(b) If S and T are collections of subsets of R, then
(S T ) = (S) (T ).
Solution
(a)It is easy to check that F is a -algebra.
Note first that {E} F . Hence
({E}) F . (i)
On the other hand, since ({E}) is a -algebra, so , R ({E}). Also, since
E ({E}), so E c ({E}). Hence
F ({E}). (ii)
From (i) and (ii) it follows that
F = ({E}).
(b) No. Here is why.
Take S = {(, 1]} and T = {(1, 2]}. Then, by part (a),
(S) = {, (0, 1], (0, 1]c , R} and (T ) = {, (1, 2], (1, 2]c , R}.
Therefore
(S) (T ) = {, (0, 1], (0, 1]c , (1, 2], (1, 2]c , R}.
We have
(0, 1] (1, 2] = (0, 2]
/ (S) (T ).
Hence (S) (T ) is not a -algebra. But, by definition, (S T ) is a -algebra.
And hence it cannot be equal to (S) (T ).
Problem 23
Consider F = {E R : either E is countable or E c is countable}.
(a) Show that F is a -algebra and F is a proper sub--algebra of the -algebra
BR .
(b) Show that F is the -algebra generated by {x} : x R .
(c) Find a measure : F [0, ] such that the only -null set is .
Solution
(a) We check conditions of a -algebra:
It is clear that is countable, so F.
Suppose E F . Then E R and E is countable or E c is countable. This is
equivalent to E c R and E c is countable or E is countable. Thus,
E F E c F.
S
Suppose
S E 1 , E 2 , ... F. Either all En s are countable, so n=1 En is countable.
Hence E
n=1 n F . Or there exists some E n0 F which is not countable. By
c
definition, En0 must be countable. Now
!c
[ \
En = Enc En0 .
n=1 n=1
S c
This implies that ( n=1 En ) is countable. Thus
[
En F.
n=1
Finally, F is a -algebra.
Recall that BR is the -algebra generated by the family of open sets in R. It is also
generated by the family of closed sets in R. Now suppose E F . If E is countable
then we can write
[
E = {x1 , x2 , ...} = {xn }.
n=1
F BR .
(S) F .
Hence
F (S).
Thus
(S) = F.
(c) Define the set function : F [0, ] by
(
|E| if E is finite
(E) =
otherwise.
Problem 24
For E ML with L (E) < , define a real-valued function E on R by setting
Solution
(a) Let x, y R. Suppose x < y. It is clear that (, x] (, y]. Hence,
E (, x] E (, y] for E ML . By the monoticity of L we have
Thus E is increasing on R.
(b) Suppose x0 < x00 we have
It follows that
Problem 25
Let E be a Lebesgue measurable subset of R with L (E) = 1. Show that there
exists a Lebesgue measurable set A E such that L (A) = 12 .
Solution
Define the function f : R [0, 1] by
f (x) = L E (, x] , x R.
Chapter 3
Measurable Functions
Remark:
From now on, measurable means Lebesgue measurable. Also measure means Lebesgue measure,
and we write instead of L for Lebesgue measure.
1. Definition, basic properties
Proposition 7 (Operations)
Let f, g be two measurable real-valued functions defined on the same domain and c a constant.
Then the functions f + c, cf, f + g, and f g are also measurable.
Note:
A function f is said to be Borel measurable if for each R the set {x : f (x) > } is a Borel set.
Every Borel measurable function is Lebesgue measurable.
2. Equality almost everywhere
A property is said to hold almost everywhere (abbreviated a.e.) if the set of points where it fails
to hold is a set of measure zero.
We say that f = g a.e. if f and g have the same domain and {x D : f (x) 6= g(x)} = 0.
Also we say that the sequence (fn ) converges to f a.e. if the set {x : fn (x) 9 f (x)} is a null set.
Proposition 10 Let (fn ) be a sequence of extended real-valued measurable functions on the same
measurable domain D. Then max{f1 , ..., fn }, min{f1 , ..., fn }, lim supn fn , lim inf n fn , supnN , inf nN
are all measurable.
Problem 26
Let D be a dense set in R. Let f be an extended real-valued function on R such
that {x : f (x) > } is measurable for each D. Show that f is measurable.
Solution
Let be an arbitrary real number. For each n N, there exists n D such that
< n < + n1 by the density of D. Now
[
[
1
{x : f (x) > } = x : f (x) + = {x : f (x) > n }.
n=1
n n=1
S
Since n=1 {x : f (x) > n } is measurable (as countable union of measurable sets),
{x : f (x) > } is measurable. Thus, f is measurable.
Problem 27
Let f be an extended real-valued measurable function on R. Prove that {x :
f (x) = } is measurable for any R.
Solution
For R, we have
Problem 28
(a). Let D and E be measurable sets and f a function with domain D E. Show
that f is measurable if and only if its restriction to D and E are measurable.
(b). Let f be a function with measurable domain D. Show that f is measurable
if and only if the function g defined by
(
f (x) for x D
g(x) =
0 for x
/D
is measurable.
Solution
(a) Suppose that f is measurable. Since D and E are measurable subsets of D E,
the restrictions f |D and f |E are measurable.
Conversely, suppose f |D and f |E are measurable. For any R, we have
Each set on the right hand side is measurable, so {x : f (x) > } is measurable.
Thus, f is measurable.
Problem 29
Let f be measurable and B a Borel set. Then f 1 (B) is a measurable set.
Solution
Let C be the collection of all sets E such that f 1 (E) is measurable. We show that
C is a -algebra. Suppose E C. Since
c
f 1 (E c ) = f 1 (E) ,
(a, b) = (, b) (a, ),
Problem 30
Show that if f is measurable real-valued function and g a continuous function
defined on R, then g f is measurable.
Solution
For any R,
{x : (g f )(x) > } = (g f )1 ((, )) = f 1 g 1 (, ) .
Problem 31
Let f be an extended real-valued function defined on a measurable set D R.
(a) Show that if {x D : f (x) < r} is measurable in R for every r Q, then
f is measurable on D.
(b) What subsets of R other than Q have this property?
(c) Show that if f is measurable on D, then there exists a countable sub-collection
C ML , depending on f , such that f is (C)-measurable on D.
(Note: (C) is the -algebra generated by C.)
Solution
(a) To show that f is measurable on D, we show that {x D : f (x) < a} is
measurable for every a R. Let I = {r Q : r < a}. Then I is countable , and
we have [
{x D : f (x) < a} = {x D : f (x) < r}.
rI
S
Since {x D : f (x) < r} is measurable, rI {x D : f (x) < r} is measurable.
Thus, {x D : f (x) < a} is measurable.
(b) Here is the answer to the question:
Claim 1 : If E R is dense in R, then E has the property in (a), that is, if
{x D : f (x) < r} is measurable for every r E then f is measurable on D.
Proof.
Given any a R, the interval (a 1, a) intersects E since E is dense. Pick some
r1 E (a 1, a). Now the interval (r1 , a) intersects E for the same reason. Pick
some r2 E (r1 , a). Repeating this process, we obtain an increasing sequence (rn )
in E which converges to a.
By assumption, {x D : f (x) < rn } is measurable, so we have
[
{x D : f (x) < a} = {x D : f (x) < rn } is measurable .
nN
Thus, f is measurable on D.
Claim 2 : If E R is not dense in R, then E does not have the property in (a).
Proof.
Since E is not dense in R, there exists an interval [a, b] E. Let F be a non
Since F is non measurable, F c is also non measurable. Through the above observa-
tion, we see that
a+b
x D : f (x) < non measurable.
2
Thus, f is not measurable.
Conclusion : Only subsets of R which are dense in R have the property in (a).
(c) Let C = {Cr }rQ where Cr = {x D : f (x) < r} for every r Q. Clearly, C is
a countable family of subsets of R. Since f is measurable, Cr is measurable. Hence,
C ML . Since ML is a -algebra, by definition, we must have (C) ML . Let
a R. Then
[ [
{x D : f (x) < a} = {x D : f (x) < r} = Cr .
r<a r<a
Problem 32
Show that the following functions defined on R are all Borel measurable, and
hence Lebesgue measurable also on R:
( (
0 if x is rational x if x is rational
(a) f (x) = (b) g(x) =
1 if x is irrational. x if x is irrational.
(
sin x if x is rational
(c) h(x) =
cos x if x is irrational.
Solution
(a) For any a R, let E = {x D : f (x) < a}.
Problem 33
Let f be a real-valued increasing function on R. Show that f is Borel measurable,
and hence Lebesgue measurable also on R.
Solution
For any a R, let E = {x D : f (x) a}. Let = inf E. Since f is increasing,
if Im(f ) (, a) then E = .
if Im(f ) * (, a) then E is either (, ) or [, ).
Problem 34
If (fn ) is a sequence of measurable functions on D R, then show that
Solution
Recall that if fn s are measurable, then lim supn fn , lim inf n fn and g(x) =
lim supn fn lim inf n fn are also measurable, and if h is measurable then
{x D : h(x) = } is measurable (Problem 22).
Now we have
E = {x D : lim fn (x) exists} = {x D : g(x) = 0}.
n
Thus, E is measurable.
Problem 35
(a) If g : R R is continuous and f : R R is measurable then g f is
measurable.
(b) If f is measurable then |f | is measurable. Does the converse hold?
Solution
(a) For any a R, then
E = {x : (g f )(x) < a} = (g f )1 (, a)
= f 1 g 1 (, a) .
Since g is continuous, g 1 (, a) is open.SThen there is a family of open disjoint
intervals {In }nN such that g 1 (, a) = nN In . Hence,
!
[ [
E = f 1 In = f 1 (In ).
nN nN
Problem 36
Let (fn : n N) and f be an extended real-valued measurable functions on a
measurable set D R such that limn fn = f on D. Then for every R
prove that:
Solution
Recall that, for any sequence (En )nN of measurable sets,
(lim inf En ) lim inf (En ), ()
n n
[ \ \
lim inf En = Ek = lim Ek .
n n
nN kn kn
Simple functions
Problem 37
(a). Show that
AB = A B
AB = A + B A B
Ac = 1 A .
(b). Show that the sum and product of two simple functions are simple functions.
Solution
(a). We have
AB (x) = 1 x A and x B
A (x) = 1 = B (x).
Thus,
AB = A B .
We have
AB (x) = 1 x A B.
Ac = 1 A .
Similarly, we have
n
[
Bj = Cij .
i=1
Since the Cij s are disjoint, this means that (see part (a))
m
X n
X
Ai = Cij and Bj = Cij .
j=1 i=1
Thus n X
m n X
m
X X
= ai Cij and = bj Cij .
i=1 j=1 i=1 j=1
Hence n X
m n X
m
X X
+ = (ai + bj )Cij and = ai bj Cij .
i=1 j=1 i=1 j=1
Problem 38
Let : R R be a simple function defined by
n
X
ai Ai where Ai = {x R : (x) = ai }.
i=1
Solution
Assume that Ai is measurable for all i = 1, ..., n. Then for any c R, we have
[
{x : (x) > c} = Ai .
ai >c
S
Since every Ai is measurable, ai >c Ai is measurable. Thus {x : (x) > c} is
measurable. By definition, is measurable.
Conversely, suppose is measurable. We can suppose a1 < a2 < ... < an . Given
j {1, 2, ..., n}, choose c1 and c2 such that aj1 < c1 < aj < c2 < aj+1 . (If j = 1 or
j = n, part of this requirement is empty.) Then
! !
[ [
Aj = Ai \ Ai
ai >c1 ai >c2
= {x : (x) > c1 } \ {x : (x) > c2 } .
| {z } | {z }
measurable measurable
Chapter 4
Proposition 12 (Uniqueness)
Let (fn ) be a sequence extended real-valued measurable functions on a measurable set D R. Let
g1 and g2 be two extended real-valued measurable functions on D. Then
h i
lim fn = g1 a.e. on D and lim fn = g2 a.e. on D = g1 = g2 a.e. on D.
n n
Theorem 2 (Egoroff )
Let D be a measurable set with (D) < . Let (fn ) be a sequence extended real-valued measurable
functions on D and f a real-valued measurable functions on D. If (fn ) converges to f a.e. on D,
then (fn ) converges to f a.u. on D.
2. Convergence in measure
That is,
Proposition 13 (Uniqueness)
Let (fn ) be a sequence extended real-valued measurable functions on a measurable set D R. Let
f and g be two real-valued measurable functions on D. Then
[fn
f on D and fn
g on D] = f = g a.e. on D.
(1) [fn
f on D] > 0, N () N : {D : |fn f | } < for n N ().
n 1o 1
(2) [fn
f on D] m N, N (m) : D : |fn f | < for m N (m).
m m
Theorem 3 (Lebesgue)
Let (fn ) be a sequence extended real-valued measurable functions on a measurable set D R. Let
f be a real-valued measurable functions on D. Suppose
1. fn f a.e. on D,
2. (D) < .
Then fn f on D.
Theorem 4 (Riesz)
Let (fn ) be a sequence extended real-valued measurable functions on a measurable set D R. Let
f be a real-valued measurable functions on D. If fn f on D, then there exists a subsequence
(fnk ) which converges to f a.e. on D.
(Note: A is the characteristic function of the set A. Try to write your solution.)
Problem 40
Let (fn ) be a sequence of extended real-valued measurable functions on X and
let f be an extended real-valued function which is finite a.e. on X. Suppose
limn fn = f a.e. on X. Let [0, (X)) be arbitrarily chosen. Show that
for every > 0 there exists N N such that {X : |fn f | < } for
n N.
Solution
Let Z be a null set such that f is finite on X \ Z. Since fn f a.e. on X, fn f
a.e. on X \ Z. For every > 0 we have1
(lim sup{X \ Z : |fn f | }) = 0
n
lim sup {X \ Z : |fn f | } = 0
n
lim {X \ Z : |fn f | } = 0
n
Problem 41
(a) Show that the condition
implies that fn f on D.
(b) Show that the converse is not true.
(c) Show that the condition in (a) implies that for a.e. x D we have fn (x) =
f (x) for infinitely many n N.
Solution
(a) Given any > 0, for every n N, let
En = {x D : |fn (x) f (x)| > }; Fn = {x D : |fn (x) f (x)| > 0}.
Then we have for all n N
x En |fn (x) f (x)| >
|fn (x) f (x)| > 0
x Fn .
Consequently, En Fn and (En ) (Fn ) for all n N. By hypothesis, we have
that limn (Fn ) = 0. This implies that limn (En ) = 0. Thus, fn
f.
(b) The converse of (a) is false.
Consider functions:
1
fn (x) = , x [0, 1] n N.
n
f (x) = 0, x [0, 1].
Then fn f (pointwise) on [0, 1]. By Lebesgue Theorem fn f on [0, 1]. But for
every n N
1
|fn (x) f (x)| = > 0, x [0, 1].
n
In other words,
{x D : |fn (x) f (x)| > 0} = [0, 1].
Thus,
lim {x D : |fn (x) f (x)| > 0} = 1 6= 0.
n
Hence, x / E whenever x Enc for infinitely many ns, that is fn (x) = f (x) a.e. in
D for infinitely many ns.
Problem 42
Suppose fn (x) fn+1 (x) for all n N and x D \ Z with (Z) = 0. If fn
f
on D , then prove that fn f a.e. on D.
Solution
Let B = D \ Z. Since fn f on D, fn f on B. Then, By Riesz theorem, there
exists a sub-sequence (fnk ) of (fn ) such that fnk f a.e. on B.
Let C = {x B : fnk 9 f }. Then (C) = 0 and fnk f on B \ C.
From fn (x) fn+1 (x) for all n N, and since nk k, we get fk fnk for all k N.
Therefore
|fk f | |fnk f |.
This implies that fk f on B \ C. Since B \ C = D \ (Z C) and (Z C) = 0,
it follows that fn f a.e. on D .
Problem 43
Show that if fn
f on D and gn
g on D then fn + gn
f + g on D.
Solution
Since fn
f and gn
g on D, for every > 0,
(4.1) lim {D : |fn f | } = 0
n 2
(4.2) lim {D : |gn g| } = 0.
n 2
Now
|(fn + gn ) (f + g)| |fn f | + |gn g|.
That is, by definition, fn + gn
f + g on D.
Problem 44
Show that if fn
f on D and gn
g on D and (D) < , then fn gn
fg
on D.
(Assume that both fn and gn are real-valued for every n N so that the multiplication fn gn
is possible.)
Solution
For every > 0 and > 0, we want {|fn gn f g| } < for n large enough.
Notice that
It follows that, we can take N large enough to get, for every > 0,
() < 1 and (EN ) < .
2N 3
Observe that
n o
{D : |gn | > N + 1} D : |gn g| EN
2N
(since |gn | |gn g| + |g|). Now if we have
|fn f | ; |gn | > N + 1; |gn g| , and |f | > N,
2(N + 1) 2N
then (*) implies
n o
{D : |fn gn f g| } D : |fn f | EN
2(N + 1)
n o
D : |gn g| {D : |gn | > N + 1}.
2N
By assumption, given > 0, > 0, for n > N , we have
n o
D : |fn f | <
2(N + 1) 3
n o
D : |gn g| < .
2N 3
From these results, from (*), and (**) we get
{D : |fn gn f g| } < + + = .
3 3 3
Problem 45
(a) Definition of Almost uniform convergence (a.u).
(b) Show that if fn f a.u on D then fn
f on D.
(c) Show that if fn f a.u on D then fn f a.e. on D.
Solution
(a) > 0, E D such that (E) < and fn f uniformly on D \ E.
(b) Suppose that fn f a.u on D and fn does not converges to f in measure on
D. Then there exists an 0 > 0 such that
Thus,
C (D \ E)c = E.
Hence,
r
0 < r (C) (E) < .
2
This is a contradiction.
(c) Since fn f a.u. on D, for every n N, there exists
T En D such that
(En ) < n1 and fn f uniformly on D \ En . Let E = nN En , then (E) = 0.
Since fn f on D \ En for every n N, fn f on
[ \
(D \ En ) = D \ En = D \ E.
nN nN
Chapter 5
R
1. (D) = 0 D
d = 0.
R R
2. 0, E D E d D d.
R R
3. D
cd = c D d.
R Pn R
4. D
d = i=1 Di d.
R R
5. D
cd = c D d (c is a constant).
R R R
6. D
(1 + 2 )d = D 1 d + D 2 d.
R R
7. 1 = 2 a.e. on D D 1 d = D 2 d.
R
If D
f d < , then we say that f is integrable on D.
R R
1. D
cf d = c f d.
D
R R R
2. D
(f + g)d = D f d + D gd.
R R
3. f = g a.e. on D D f d = D gd.
R R
4. f g on D D f d D gd.
R R
5. |f | M on D D f d D |f |d M (D).
R
6. f 0 a.e. on D and D f d = 0 f = 0 a.e. on D.
S
7. If (Dn ) be a disjoint sequence of measurable subset Dn D with nN Dn = D then
Z XZ
fd = f d.
D nN Dn
In particular,
Z Z
lim fn d = f d.
n D D
Problem 46
Let f be an extended real-valued measurable function on a measurable set D. For
M1 , M2 R, M1 < M2 , let the truncation of f at M1 and M2 be defined by
M1 if f (x) < M1
g(x) = f (x) if M1 f (x) M2
M2 if f (x) > M2 .
Solution
Let a R. We need to show that the set E = {x D : g(x) > a} is measurable.
There are three cases to consider:
Problem 47
Given a measure space (X, A, ). Let f be a bounded real-valued A-measurable
function on D A with (D) < . Suppose |f (x)| M, x D for some
constant M > 0. R
(a) Show that if D f d = M (D), then f = M a.e. on D.R
(b) Show that if f < M a.e. on D and if (D) > 0, then D f d < M (D).
Solution
(a) For every n N, let En = {x D : f (x) < M n1 }. Then, since f M on
D \ En , we have
Z Z Z
f d = f d + f d
D En D\En
1
M (En ) + M (D \ En ).
n
Since En D, we have
(D \ En ) = (D) (En ).
Therefore,
Z
1
f d M (En ) + M (D) M (En )
D n
1
= M (D) (En ).
n
R
By assumption D f d = M (D), it follows that
1
0 (En ) 0, n N,
n
which implies (E
S n ) = 0, n N.
Now let E = n=1 En then E = {x D : f (x) < M }. We want to show that
(E) = 0. We have
X
0 (E) (En ) = 0.
n=1
Thus, (E) = 0. Since |f | M , the last result implies f = M a.e. on D.
R
(b)
R First we note that |f | M on D implies that D
f d M (D). Assume that
D
f d = M (D). By part (a)
R we have f = M a.e. on D. This contradicts the fact
that f < M a.e. on D. Thus D f d < M (D).
Problem 48
Consider a sequence of functions (fn )nN defined on [0, 1] by
nx
fn (x) = for x [0, 1].
1 + n 2 x2
(a) Show that (fn ) is uniformly bounded on [0, 1] and evaluate
Z
nx
lim d.
n [0,1] 1 + n2 x2
(b) Show that (fn ) does not converge uniformly on [0, 1].
Solution
(a) For all n N, for all x [0, 1], we have 1 + n2 x2 2nx 0 and 1 + n2 x2 > 0,
hence
nx 1
0 fn (x) = 2 2
.
1+n x 2
1
lim fn (xn ) = 6= f (0) = 0.
n 2
Problem 49
Let (fn )nN and f be extended real-valued measurable functions on D ML with
(D) < and assume that f is real-valued a.e. on D. Show that fn f on D
if and only if Z
|fn f |
lim d = 0.
n D 1 + |fn f |
Solution
Suppose fn f on D. By definition of convergence in measure, for any > 0,
there exists an N N such that for n N ,
En D : (En ) < and |fn f | < on D \ En .
2 2(D)
For n N we have
Z Z Z
|fn f | |fn f | |fn f |
() d = d + d.
D 1 + |fn f | En 1 + |fn f | D\En 1 + |fn f |
|fn f |
Note that for all n N, we have 0 1+|fn f |
1 on En and
|fn f | 1
0 = |fn f | |fn f | on D \ En .
1 + |fn f | 1 + |fn f | 2(D)
So for n N , we can write (*) as
Z Z Z
|fn f |
0 d 1 d + d
D 1 + |fn f | En D\En 2(D)
= (En ) + (D \ En )
2(D)
(En ) + < + = .
2 2 2
R |fn f |
Thus, limn D 1+|fn f | (dx) = 0.
R |fn f |
Conversely, suppose limn D 1+|f n f |
d = 0. We show fn f on D. For any
> 0, for n N, let En = {x D : |fn f | }. We have
|fn f |
|fn f |
1 + |fn f | 1+
x
( since the function (x) = 1+x , x > 0 is increasing).
It follows that
Z Z Z
|fn f | |fn f |
0 d d d.
En 1 + En 1 + |fn f | D 1 + |fn f |
Hence, Z
|fn f |
0 (En ) d.
1+ D 1 + |fn f |
R |fn f |
Since limn D 1+|fn f |
d = 0, limn (En ) = 0. Thus, fn
f on D.
Problem 50
Let (X, A, ) be a finite measure space. Let be the set of all extended real-
valued A-measurable function on X where we identify functions that are equal
a.e. on X. Let
Z
|f g|
(f, g) = d for f, g .
X 1 + |f g|
Solution
|f g|
(a) Note that (X) is finite and 0 1+|f g|
< 1, so 0 < .
R |f g|
(f, g) = 0 X 1+|f g|
d = 0 f g = 0 f = g. (We identify
functions that are equal a.e. on X.)
|f h| |f g| + |g h|
1 + |f h| 1 + |f g| + |g h|
|f g| |g h|
= +
1 + |f g| + |g h| 1 + |f g| + |g h|
|f g| |g h|
+ .
1 + |f g| 1 + |g h|
That is
(f, g) (f, h) + (h, g).
Thus, is a metric on .
(b) Let (fn ) be a Cauchy sequence in . We show that there exists an f such
that (fn , f ) 0 as n .
First we claim that (fn ) is a Cauchy sequence w.r.t. convergence in measure. Let
> 0. For n, m N, define Am,n = {X : |fn fm | }. For every > 0, there
exists an N N such that
() n, m N (fn , fm ) < .
1+
Solution
We will use this fact:
Let (an ) be a sequence of real numbers. If there exists a real number a such that
every subsequence (ank ) has a subsequence (ankl ) converging to a, then the sequence
(an ) converges to a.
Consider the sequence of real numbers
Z
an = |fn f |d, n N.
D
Take an arbitrary subsequence (ank ). Consider the sequence (fnk ). Since (fn ) con-
verges to f in measure on D, the subsequence (fnk ) converges to f in measure on
D too. By Riesz theorem, there exists a subsequence (fnkl ) converging to f a.e. on
D. Thus by the bounded convergence theorem, we have
Z
lim |fnkl f |d = 0.
n D
That is, the subsequence (ankl ) of the arbitrary subsequence (ank ) of (an ) converges
to 0. Therefore the sequence (an ) converges to 0. Thus
Z
lim |fn f |d = 0.
n D
Chapter 6
Integration of Nonnegative
Functions
Proposition 17 (Properties)
Let f, f1 and f2 be nonnegative extended real-valued measurable functions on D. Then
R
1. D
f d < f < a.e. on D.
R
2. D
f d = 0 f = 0 a.e. on D.
R R
3. D0 D D0 f d D f d.
R
4. f > 0 a.e. on D and D f d = 0 (D) = 0.
R R
5. f1 f2 on D D f1 d D f2 d.
R R
6. f1 = f2 a.e. on D D f1 d D f2 d.
Problem 52
Let f1 and f2 be nonnegative extended real-valued measurable functions on a
measurable set D R. Suppose f1 f2 and f1 is integrable on D. Prove that
f2 f1 is defined a.e. on D and
Z Z Z
(f2 f1 )d = f2 d f1 d.
D D D
Solution
Since f1 is integrable on D, f1 is real-valued a.e. on D. Thus there exists a null set
N D such that 0 f1 (x) < , x D \ N . Then f2 f1 is defined on D \ N .
That is f2 f1 is defined a.e. on D. On the other hand, since f2 = f1 + (f2 f1 ),
we have
Z Z Z Z
f2 d = f1 + (f2 f1 ) d = f1 d + (f2 f1 )d.
D D D D
R R R
Remark: If D
f1 d = , D
f2 d D
f1 d may have the form .
Problem 53
Let f be a non-negativeR real-valued measurable function on a measure space
(X, A, ). Suppose that E f d = 0 for every E A. Show that f = 0 a.e.
Solution
Since f 0, A = {x X : f (x) > 0} = {x X : f (x) 6= 0}. We shall show that
(A) = 0. S
Let An = {x X : f (x) n1 } for every n N. Then A = nN An . Now on An we
have
Z
1 1
f f d (An )
n An n
Z
(An ) n f d = 0 (by assumption)
An
(An ) = 0 for every n N.
P
Thus, 0 (A) nN (An ) = 0. Hence, (A) = 0. This tells us that f = 0
a.e.
Problem 54
Let (fn : n N) be a sequence of non-negative real-valued measurable functions
on R such that fnR f a.e. on
R R.
Suppose limn R fn d = R f d < . Show that for each measurable set
E R we have Z Z
lim fn d = f d.
n E E
Solution
Problem 55
Given a measure space (X, A, ). Let (fn ) and f be extended real-valued A-
measurable functions on D A and assume that f is real-valued a.e. on D.
Suppose there exists a sequence of positive numbers (n ) such that
P
1. nN n < .
R
2. D
|fn f |p d < n for every n N for some fixed p (0, ).
Show that the sequence (fn ) converges to f a.e. on D. (Note that no integrability
of fn , f, |f |p on D is assumed).
Solution P
N
Since |fn f |p is non-negative measurable for every n N, the sequence |f
n=1 n f | p
N N
is an increasing sequence of non-negative measurable functions. By the Monotone
Convergence Theorem, we have
Z N ! Z X N
X
p
lim |fn f | d = lim |fn f |p d.
D N n=1
N D n=1
X
n < .
n=1
This means that the function under the integral symbol in the left hand side is finite
a.e. on D. We have
X
|fn f |p < a.e. on D lim |fn f |p = 0 a.e. on D
n
n=1
lim |fn f | = 0 a.e. on D
n
fn f a.e. on D. .
Problem 56
Given a measure space (X, A, ). Let (fn ) and f be extended real-valued mea-
surable functions
R on D A and assume that f is real-valued a.e. on D. Suppose
limn D |fn f |p d = 0 for some fixed p (0, ). Show that
fn
f on D.
Solution
Given any > 0. For every n N, let An = {D : |fn f | }. Then
Z Z Z
p p
|fn f | d = |fn f | d + |fn f |p d
D A D\An
Z n
|fn f |p d
An
p (An ).
R
Since limn D
|fn f |p d = 0, limn (An ) = 0. This means that
fn
f on D.
Problem 57
Let (X, A, ) be a measure space and
R letp f be an extended real-valued A-
measurable function on X such that X |f | d < for some fixed p (0, ).
Show that
lim p {X : |f | } = 0.
Solution
For n = 0, 1, 2, ..., let En S
= {D : n |f | < n + 1}. Then En A and the En s are
disjoint. Moreover, X = n=0 En . We have
Z X Z
X
p p
> |f | d = |f | d np (En ).
X n=0 En n=0
P
Since n=0 np (En ) < , for any > 0, there exists N N such that for n N
we have
X
np (En ) < .
n=N
p p
Note that n N since p > 0. So we have
X
p
N (En ) < .
n=N
S
But n=N En = {X : |f | N }. So with the above N , we have
!
[
N p En = N p {X : |f | N } < .
n=N
Thus,
lim p {X : |f | } = 0.
Problem 58
Let (X, A, ) be a -finite measure space. Let f be an extended real-valued A-
measurable function on X. Show that for every p (0, ) we have
Z Z
p
|f | d = pp1 {X : |f | > }L (d). ()
X [0,)
Solution
We may suppose f 0 (otherwise we set g = |f | 0).
1. If f = E , E A, then
Z Z
p
f d = (E )p d = (E).
ZX X
Z 1
p1
p {X : E > }L (d) = pp1 (E)d = (E).
[0,) 0
Notes:
Problem 59
Given a measure space (X, A, ). Let f be a non-negative extended real-valued
A-measurable function on D A with (D) < .
Let Dn = {x D : f (x) n} for n N. Show that
Z X
f d < (Dn ) < .
D nN
Solution
From the expression Dn = {x D : f (x) n} with f A-measurable, we deduce
that Dn A and
D := D0 D1 D2 ... Dn Dn+1 ...
Moreover, all the sets Dn \ Dn+1 = {D : n f < n + 1, n N} are disjoint and
[
D= (Dn \ Dn+1 ).
nN
It follows that
Z
n(Dn \ Dn+1 ) f d (n + 1)(Dn \ Dn+1 )
Dn \Dn+1
X Z
X
n(Dn \ Dn+1 ) S
f d (n + 1)(Dn \ Dn+1 )
n=0 nN (Dn \Dn+1 ) n=0
X Z
X
n[(Dn ) (Dn+1 )] f d (n + 1)[(Dn ) (Dn+1 )]. (i)
n=0 D n=0
and
X
(n + 1)[(Dn ) (Dn+1 )] = 1[(D0 ) (D1 )] + 2[(D1 ) (D2 )] + ...
n=0
X
= (D) + (Dn ).
n=1
Problem 60
Given a measure space (X, A, ) with (X) < . Let f be a non-negative
extended real-valued A-measurable function on X. Show that f is -integrable
on X if and only if
X
2n {x X : f (x) > 2n } < .
n=0
Solution
Let En = {X : f > 2n } for each n = 0, 1, 2, ... Then it is clear that
Now we have
Z Z Z
f d = f d + S
f d
X X\E0 n=0 (En \En+1 )
Z Z
X
= f d + f d.
X\E0 n=0 En \En+1
Therefore,
X Z
X
X
n
2 (En \ En+1 ) f d 2n+1 (En \ En+1 ).
n=0 n=0 En \En+1 n=0
Since Z
0 f d (X \ E0 ) (X) < ,
X\E0
we get
X Z
X
n
(6.4) 2 (En \ En+1 ) f d 2n+1 (En \ En+1 ) + (X).
n=0 X n=0
X
X
n
2 (En \ En+1 ) = 2n [(En ) (En+1 )]
n=0 n=0
= (E0 ) (E1 ) + 2[(E1 ) (E2 )] + 4[(E2 ) (E3 )] + ...
= (E0 ) + (E1 ) + 2(E2 ) + 4(E3 ) + ...
1 1X n
= (E0 ) + 2 (En ),
2 2 n=0
and
X
X
n+1
2 (En \ En+1 ) = 2n+1 [(En ) (En+1 )]
n=0 n=0
= 2[(E0 ) (E1 )] + 4[(E1 ) (E2 )] + 8[(E2 ) (E3 )] + ...
= (E0 ) + [(E0 ) + 2(E1 ) + 4(E2 ) + 8(E3 ) + ...]
X
= (E0 ) + 2n (En ).
n=0
Problem 61
(a) Let {cn,i : n, i N} be an array of non-negative extended real numbers.
Show that X X
lim inf cn,i lim inf cn,i .
n n
iN iN
Solution
(a) Let : N [0, ] denote the counting measure. Consider the space (N, P(N), ).
It is a measure space in which every A N is measurable. Let i 7 b(i) be any
function on N. Then Z X
bd = b(i).
N iN
For the array {cn,i }, for each i N, we can write cn,i = cn (i), n N. Then cn is a
non-negative -measurable function defined on N. By Fatous lemma,
Z Z
lim inf cn d lim inf cn d,
N n n N
that is X X
lim inf cn,i lim inf cn,i .
n n
iN iN
Chapter 7
Integration of Measurable
Functions
Given a measure space (X, A, ). Let f be a measurable function on a set D A. We define the
positive and negative parts of f by
f + := max{f, 0} and f := max{f, 0}.
Then we have
f = f + f and |f | = f + + f .
Proposition 20 (Properties)
S
f d = f d.
n
i=1 Di i=1 Di
Problem 62
Prove this statement:
Let f be extended real-valued measurable function on a measurable set D. If f
is integrable on D, then the set {D : f 6= 0} is a -finite set.
Solution
For every n N set n 1o
Dn = x D : |f (x)| .
n
Then we have
[
{x D : f (x) 6= 0} = {x D : |f (x)| > 0} = Dn .
nN
Thus
(Dn ) = < , n N,
that is, the set {x D : f (x) 6= 0} is -finite.
Problem 63
Let f be extended real-valued measurable function on a measurable set D. If (En )
is an increasing sequence of measurable sets such that limn En = D, then
Z Z
f d = lim f d.
D n En
Solution
Since (En ) is an increasing sequence with limit D, so by definition, we have
[
D= En .
n=1
Let
D1 = E1 and Dn = En \ En+1 , n 2.
Then {D1 , D2 , ...} is a disjoint collection of measurable sets, and we have
n
[
[
[
Di = En and Dn = En = D.
i=1 n=1 n=1
Hence
Z Z
X n Z
X
f d = f d = lim f d
D Dn n Di
n=1 i=1
Z Z
= lim Sn
f d = lim f d.
n n
i=1 Di En
Problem 64
Let (X, A, ) be a measure space. Let f and g be extended real-valued
R measurable
R
functions on X. Suppose that f and g are integrable on X and E f d = E gd
for every E A. Show that f = g a.e. on X.
Solution
Case 1: f and g are two real-valued integrable functions on X.
Assume that the statement f = g a.e. on X is false. Then at least one of the two
f = g a.e. on X.
Problem 65
Let (X, A, ) be a -finite measure space
R and let Rf, g be extended real-valued
measurable functions on X. Show that if E f d = E gd for every E A then
f = g a.e. on X. (Note that the integrability of f and g is not assumed.)
Solution
The space (X, A, ) is -finite :
[
X= Xn , (Xn ) < , n N and {Xn : n N} are disjoint.
nN
Since (E) > 0, at least one of these sets has a positive measure.
(1) 1
Em,k,l = {Xn : m f ; f + g ; g l}.
k
Then [ [[ (1)
E (1) = Em,k,l .
nN kN lN
This is a contradiction.
Problem 66
Given a measure space (X, A, ). Let f be extended real-valued measurable and
integrable function on X.
1. Show that for any > 0 there exists > 0 such that if A A with (A) <
then Z
f d < .
A
Solution
1. For every n N, set
(
f (x) if f (x) n
fn (x) =
n otherwise.
Problem 67
Given a measure space (X, A, ). Let f be extended real-valued A-measurable
and integrable function on X. Let En = {x X : |f (x)| n} for n N. Show
that limn (En ) = 0.
Solution
First we note that X = E0 . For each n N, we have
X
X
n(En \ En+1 ) = n[(En ) (En+1 )]
n=0 n=0
= (E1 ) (E2 ) + 2[(E2 ) (E3 )] + 3[(E3 ) (E4 )] + ...
X
= (En ) < .
n=1
P
Since the series n=1 (En ) converges, limn (En ) = 0.
Problem 68
Let (X, A, ) be a measure space.
(a) Let {En : n N} be a disjoint collection
S in A. Let f be an extended real-
valued A-measurableR function defined on nN En . If f is integrable on En for
every n N, does S En f d exist?
nN
(b) Let (Fn : n N) be an increasing sequence
S in A. Let f be an extended real-
valued A-measurable function defined on R nN Fn . Suppose f is integrable
R on En
for every n N and moreover limn Fn f d exists in R. Does S Fn f d
nN
exist?
Solution
(a) NO.
(b) NO.
S
f d = f d = (1)d + 1d does not exist.
nN Fn R (,0) (0,)
Problem 69
Let f is a real-valued uniformly continuous function on [0, ). Show that if f
is Lebesgue integrable on [0, ), then
lim f (x) = 0.
x
Solution
Suppose NOT. Then there exists > 0 such that for each n N, there is xn > n
such that |f (xn )| . W.L.O.G. we may choose (xn ) such that
lim f (x) = 0.
x
Problem 70
Let (X, A, ) be a measure space and let (fn )nN , and f, g be extended real-valued
A-measurable and integrable functions on D A. Suppose that
1. limn fn = f a.e. on D.
R R
2. limn D fn d = D f d.
Solution
(a) First we solve the problem in the case the condition 3. is replaced by fn 0 on
D for all n N.
Let hn = fn fn E for every E A and E D. Then hn 0 and A-measurable
Next we are coming back to the problem. Assume fn g on D for all n N. Let
n = fn g. Using the above result for n 0 we get
Z Z
lim n d = d.
n E E
That is
Z Z
lim (fn g)d = (f g)d
n
ZE Z E Z Z
lim fn d gd = f d gd.
n E E E E
R
Since g is integrable on E, E
gd < . Thus, we have
Z Z
lim fn d = f d.
n E E
Solution
Consider the sequence (gn fn ). Since |fn | gn , and (fn ) and (gn ) are sequences
of measurable functions, the sequence (gn fn ) consists of non-negative measurable
functions. Using the Fatous lemma we have
Z Z
lim inf (gn fn )d lim inf (gn fn )d
D n n D
Z Z Z
lim (gn fn )d lim gn d lim sup fn d
D n n D n D
Z Z Z Z
gd f d gd lim sup fn d
n
ZD D
Z D D
Z
f d lim sup fn d. () (since gd < ).
D n D D
f d < .
D
Problem 72
Given a measure space (X, A, ). Let (fn )nN and f be extended real-valued
A-measurable and integrabe functions on D A. Suppose that
lim fn = f a.e. on D.
n
R R R R
(a) Show that if limn D |fn |d = D |f |d, then limn D fn d = D f d.
(b) Show that the converse of (a) is false by constructing a counter example.
Solution
(a) We will use Problem 71 for
We have
hn 0 a.e. on D,
gn 4|f | a.e. on D,
|hn | = hn 2|fn | gn ,
Z Z Z Z
lim gn d = 2 lim |fn |d + 2 |f |d = 4|f |d.
n D n D D D
while Z
|fn |d = 2 2 6= 0.
[0,1]
Problem 73
Given a measure space (X, A, ).
(a) Show that an extended real-valued integrable function is finite a.e. on X.
(b)
P If R(fn )nN is a sequence of measurable
P functions defined on X such that
nN X |f n |d < , then show that nN fn converges a.e. to an integrable
function f and Z X Z XZ
fn d = f d = fn d.
X nN X nN X
Solution
(a) Let E = {X : |f | = }. We want to show that (E) = 0. Assume that
(E) > 0. Since f is integrable
Z Z
> |f |d |f |d = .
X E
By assumption,
Z
X
|fn |d < ,
n=1 X
hence,
Z X
|fn |d < .
X n=1
P
Since n=1 |fn | is integrable on X, by part (a), it is finite a.e. on X. Define a
function f as follows:
(P P
n=1 fn where n=1 |fn | <
f (x) =
0 otherwise.
P
So f is everywhere defined and f = limN N n=1 fn a.e. Hence, f is measurable
on X. Moreover,
Z Z Z X
Z X
f d |f |d = f n d |fn |d < .
X X X n=1 X n=1
PN
Thus, f is integrable and hN = n=1 fn converges to f a.e. and
N
X
X
|hN | |fn | |fn |
n=1 n=1
Problem 74
Let f be a real-valued Lebesgue measurable function on [0, ) such that
2. limx f (x) = c R.
Show that Z
1
lim f dL = c.
a a [0,a]
Solution
By assumption 2. we can write
By (*) we have
x [N, a] |f (x) c| < .
Therefore,
Z Z
1 1 (a N )
() f dL c |f c|dL + .
a a [0,N ] a
[0,a]
It is evident that
(a N )
lim = .
a a
R
By assumption 1., |f c| is integrable on [0, N ], so [0,N ] |f c|dL is finite and does
not depend on a. Hence
Z
1
lim |f c|dL = 0.
a a [0,N ]
Problem 75
Let
P f be a non-negative real-valued Lebesgue measurable on R. Show that if
n=1 f (x + n) is Lebesgue integrable on R, then f = 0 a.e. on R.
Solution
Recall these two facts:
P R P R
1. If fn 0 is measurable on D then D
( n=1 f n ) d = n=1 D fn d.
R R
2. If f is defined and measurable on R then R f (x + h)d = R f (x)d.
P
Since n=1 f (x + n) is Lebesgue integrable on R,
Z X
!
f (x + n) dL < .
R n=1
Therefore,
Z
X
() f (x)dL < .
n=1 R
R R
Since R
f (x)dL 0, (*) implies that R
f (x)dL = 0. Thus, f = 0 a.e. on R.
Problem 76
Show that the Lebesgue Dominated Convergence Theorem holds if
a.e. convergence is replaced by convergence in measure.
Solution
We state the theorem:
Given a measure space (X, A, ). Let (fn : n N) be a sequence of extended real-
valued A-measurable functions on D A such that |fn | g on D for every n N
for some integrable non-negative extended real-valued A-measurable function g on
D. If fn
f on D, then f is integrable on D and
Z Z
lim fn d = f d.
n D D
Proof:
Let (fnk ) be any subsequence of (fn ). Then fnk f since fn f . By Riesz
theorem, there exists a subsequence (fnkl ) of (fnk ) such that fnkl f a.e. on D.
And we have also |fnkl | g on D. By the Lebesgue D.C.T. we have
Z Z
() f d = lim fnkl d.
D l D
R R
Let an = D
fn d and a = D
f d. Then (*) can be written as
lim ankl = a.
l
Hence we can say that any subsequence (ank ) of (an ) has a subsequence (ankl )
converging to a. Thus, the original sequence, namely (an ), converges to the same
limit (See Problem 51): limn an = a. That is,
Z Z
lim fn d = f d.
n D D
Problem 77
Given a measure space (X, A, ). Let (fn )nN and f be extended real-valued
measurable and integrable
R functions on D A.
Suppose that limn D |fn f |d = 0. Show that
(a) fn
f Ron D. R
(b) limn D |fn |d = D |f |d.
Solution
(a) Given any > 0, for each n N, let En = {D : |fn f | }. Then
Z Z
|fn f |d |fn f |d (En ).
D En
R
Since limn D
|fn f |d = 0, limn (En ) = 0. That is fn
f on D.
(b) Since fn and f are integrable
Z Z Z Z
(|fn | |f |)d = |fn |d |f |d |fn f |d.
D D D D
This implies Z Z
lim |fn |d = |f |d.
n D D
Problem 78
Given a measure space (X, A, ). Let (fn )nN and f be extended real-valued
measurable and
R integrableR functions on D A. Assume that fn f a.e. on D
and limn D |fn |d = D |f |d. Show that
Z
lim |fn f |d = 0.
n D
Solution
For each n N, let hn = |fn | + |f | |fn f |. Then hn 0 for all n N.
Since fn f a.e. on D, hn 2|f | a.e on D. By Fatous lemma,
Z Z Z
2 |f |d lim inf (|fn | + |f |)d lim sup |fn f |d
D n D n D
Z Z Z
= lim |fn |d + lim |f |d lim sup |fn f |d
n D n D n D
Z Z
= 2 |f |d lim sup |fn f |d.
D n D
Now for each n N, let gn = |fn f | (|fn | |f |). Then hn 0 for all n N.
Since fn f a.e. on D, gn 0 a.e on D. By Fatous lemma,
Z Z Z
0 = lim gn d lim inf |fn f |d lim sup (|fn | |f |)d
n D n D n
Z Z D Z
lim inf |fn f |d lim |fn |d + lim |f |d) .
n D n D n D
| {z }
=0
Hence Z
lim inf |fn f |d 0. (ii)
n D
Problem 79
Let (R, ML , L ) be the Lebesgue space. Let f be an extended real-valued Lebesgue
measurable function on R. Show that if f is integrable on R then
Z
lim |f (x + h) f (x)|dx = 0.
h0 R
Solution
Since f is integrable,
Z M Z
lim |f |dx + |f |dx = 0 for M R.
M M
Since Cc (R) is dense in L1 (R), we can find a continuous function vanishing outside
[M, M ] such that
Z M
|f |dx < .
M 4
Then we have
Z
kf k1 := |f |dx
R
Z M Z M Z
= |f |dx + |f |dx + |f |dx
M M
< + = .
4 4 2
(Recall: = 0 outside [M, M ] ). Now for any h R we have
It follows that
Chapter 8
1. Signed measure
Proposition 21 (Continuity)
Let (X, A, ) be a signed measure space.
1. If (En )nN A is an increasing sequence then
!
[
lim (En ) = lim En = lim En .
n n n
nN
Definition 23 (Singularity)
Two signed measure 1 and 2 on a measurable space (X, A) are said to be mutually singular and
we write 1 2 if there exist two set E, F A such that E F = , E F = X, E is a null set
for 1 and F is a null set for 2 .
and = ,
d
then f is called a Radon-Nikodym derivative of with respect to , and we write d for it.
Proposition 23 (Uniqueness)
Let be a -finite positive measure and be a signed measure on a measurable space (X, A). If
two extended real-valued A-measurable functions f and g are Radon-Nikodym derivatives of with
respect to , then f = g -a.e. on X.
a , s and = a + s ,
Problem 80
Given a signed measure space (X, A, ). Suppose that {, } is a Jordan de-
composition of , and E and F are two measurable subsets of X such that
E F = , E F = X, E is a null set for and F is a null set for .Show
that {E, F } is a Hahn decomposition for (X, A, ).
Solution
We show that E is a positive set for and F is a negative set for . Since {, } is
a Jordan decomposition of , we have
Let E0 A, E0 E. Since E is a null set for , E0 is also a null set for . Thus
(E0 ) = 0. Consequently, (E0 ) = (E0 ) 0. This shows that E is a positive set
for .
Similarly, let F0 A, F0 E. Since F is a null set for , F0 is also a null set for
. Thus (F0 ) = 0. Consequently, (F0 ) = (F0 ) 0. This shows that F is a
negative set for .
We conclude that {E, F } is a Hahn decomposition for (X, A, ).
Problem 81
Consider a measure space ([0, 2], ML [0, 2], L ). Define a signed measure
on this space by setting
Z
(E) = sin xdL , for E ML [0, 2].
E
Solution
Let X = [0, 2], f (x) = sin x. Then f is continuous on X, so f is Lebesgue
(=Riemann) integrable on X. Given > 0, let = min{ 2 , 3 }. Let C 0 = [ 34 , 43 +],
then
C 0 C and f (x) = sin x < 0, x C 0 .
We have Z Z
0
(C ) = sin xdL sin xdL = (C).
C0 C
Now for any E C 0 and E ML [0, 2], since (E) (C 0 ) and f (x) 0 on
C 0 , we have
Z Z Z
(E) = sin xdL sin xdL (1)dL = (C 0 ) = .
E C0 C0
Problem 82
Given a signed measure space (X, A, ).
(a) Show that if E A and (E) > 0, then there exists a subset E0 E which
is a positive set for with (E0 ) (E).
(b) Show that if E A and (E) < 0, then there exists a subset E0 E which
is a negative set for with (E0 ) (E).
Solution
(a) If E is a positive set for then were done (just take E0 = E).
Suppose E is a not positive set for . Let {A, B} be a Hahn decomposition of
(X, A, ). Let E0 = E A. Since A is a positive set, so E0 is also a positive set (for
E0 A). Moreover,
Problem 83
Let and two positive measures on a measurable space (X, A). Suppose for
every > 0, there exists E A such that (E) < and (E c ) < . Show that
.
Solution
Recall: For positive measures and
Problem 84
Consider the Lebesgue measure space (R, ML , L ). Let be the counting measure
on ML , that is, is defined by setting (E) to be equal to the numbers of elements
in E ML if E is a finite set and (E) = if E is infinite set.
(a) Show that L but d d
L
does not exist.
(b) Show that does not have a Lebesgue decomposition with respect to L .
Solution
(a) Let E R with (E) = 0. Since be the counting measure, E = . Then
L (E) = L () = 0. Thus,
E R, (E) = 0 L (E) = 0.
Hence, L .
Suppose there exists a measurable function f such that
Z
mL (E) = f d for every E ML .
E
This is impossible.
(b) Assume that have a Lebesgue decomposition with respect to L . Then, for
every E R and some measurable function f ,
Z
= a + s , a L , s L , and a (E) = f dL .
E
Since s L , there exists A ML such that L (Ac ) = 0 and A is a null set for s .
Pick a A then s ({a}) = 0. On the other hand,
Z
a ({a}) = f dL and L ({a}) = 0.
{a}
Problem 85
Let and be two positive measures on a measurable space (X, A).
(a) Show that if for every > 0 there exists > 0 such that (E) < for every
E A with (E) < , then .
(b) Show that if is a finite positive measure, then the converse of (a) holds.
Solution
(a) Suppose this statement is true: (*):= for every > 0 there exists > 0 such
In particular,
h 1 i
> 0 st n N, En A st {(En ) < 2 and (En ) }
n
P P
Since nN (En ) nN n12 < , by Borel-Catelli lemma, we have
(lim sup En ) = 0.
n
Problem 86
d
Let and be two positive measures on a measurable space (X, A). Suppose d
exists so that .
d
(a) Show that if d > 0, -a.e. on X, then and thus, .
(b) Show that if d > 0, -a.e. on X and if and are -finite, then d
d
d
exists
and 1
d d
= , a.e. and a.e. on X.
d d
Solution
(a) For every E A, by definition, we have
Z
d
(E) = d.
E d
d
Suppose (E) = 0. Since d
> 0, -a.e. on X, we have
Z
d
d = 0.
E d
d
> 0, a.e. on X.
d
By the chain rule,
d d d
. = = 1, a.e. on X.
d d d
d d d
. = = 1, a.e. on X.
d d d
Thus,
1
d d
= , a.e. and a.e. on X.
d d
Problem 87
Let (X, A, ) be a measure space. Assume that there exists a measurable function
f : X (0, ) satisfying the condition that {x X : f (x) n} < for
every n N.
(a) Show that the existence of such a function f implies that is a -finite
measure.
(b) Define a positive measure on A by setting
Z
(E) = f d for E A.
E
d 1
= , a.e. and a.e. on X.
d f
Solution
(a)By
S assumption, {x X : f (x) n} < for every n N. Since 0 < f < ,
so n=1 {X : f n} = X. Hence is a -finite measure.
R
(b) Let (E) = E f d for E A.
Since f > 0, is a positive measure and if (E) = 0 then (E) = 0. Hence .
Conversely, if (E) = 0, since f > 0, (E) = 0. So . Thus, . Since is
-finite ( by (a)), is also -finite.
d d
(c) Since is -finite, d
exists. By part (b), f = d
. By chain rule,
d d
. = 1, a.e. and a.e. on X.
d d
Thus,
d 1
= , a.e. and a.e. on X.
d f
Problem 88
Let and be -finite positive measures on (X, A). Show that there exist A, B
A such that
Solution
Define a -finite measure = + . Then and . By the Radon-
Nikodym theorem there exist non-negative A-measurable functions f and g such
that for every E A,
Z Z
(E) = f d and (E) = gd.
E E
Problem 89
Let and be -finite positive measures on (X, A). Show that there exists
a non-negative extended real-valued A-measurable function on X and a set
A0 A with (A0 ) = 0 such that
Z
(E) = d + (E A0 ) for every E A.
E
Solution
By the Lebesgue decomposition theorem,
Z
= a + s , a , s and a (E) = d for any E A,
E
Hence
a and (A0 ) = 0 = a (A0 ) = 0. ()
On the other hand, since s (E) = s (E A0 ) for every E A, so we have
(E A0 ) = a (E A0 ) +s (E A0 ) = s (E A0 ) = s (E).
| {z }
=0 by ()
Finally,
Z
(E) = a (E) + s (E) = d + (E A0 ) for every E A.
E
Chapter 9
The measure space in this chapter is the space (R, ML , L ). Therefore, we write
instead of L for the Lebesgue measure. Also, we say f is integrable (derivable)
instead of f is L -integrable (derivable).
Definition 28 (Variation of f )
Let [a, b] R with a < b. A partition of [a, b] is a finite ordered set P = {a = x0 < x1 < ... < xn =
b}. For a real-valued function f on [a, b] we define the variation of f corresponding to a partition
P by
Xn
Vab (f, P) := |f (xk ) f (xk1 )| [0, ).
k=1
where the supremum is taken over all partitions of [a, b]. We say that f is a function of bounded
variation on [a, b], or simply a BV function, if Vab (f ) < .
We write BV ([a, b]) for the collection of all BV functions on [a, b].
for every finite collection {[ak , bk ]}1kn of non-overlapping intervals contained in [a, b] with
n
X
|bk ak | < .
k=1
Theorem 16 (Properties)
If f is an absolutely continuous on [a, b] then
1. f is uniformly continuous on [a, b],
2. f is a BV function on [a, b],
3. f 0 exists a.e. on [a, b],
4. f is integrable on [a, b].
Problem 90
Let f BV ([a, b]). Show that if f c on [a, b] for some constant c > 0, then
1
f
BV ([a, b]).
Solution
Let P = {a = x0 < x1 < ... < xn = b} be a partition of [a, b]. Then
X n n
b 1
1 1 X |f (xk ) f (xk1 )|
Va ,P = = .
f f (x k) f (x k1 )
|f (x k )f (xk1 )|
k=1 k=1
Since f c > 0,
|f (xk ) f (xk1 )| |f (xk ) f (xk1 )|
.
|f (xk )f (xk1 |) c2
It follows that
1 X
n
b 1 1 1
Va ,P 2 |f (xk ) f (xk1 )| = 2 Vab (f, P) 2 Vab (f ).
f c k=1 c c
Since Vab (f ) < , Vab f1 < .
Problem 91
Let f, g BV ([a, b]). Show that f g BV ([a, b]) and
Solution
Note first that f, g BV ([a, b]) implies that f and g are bounded on [a, b]. There
are some 0 < M < and 0 < N < such that
M = sup |f | and N = sup |g|.
[a,b] [a,b]
where the supremum is taken over all partitions of [a, b]. Thus,
Vab (f g) sup |f |.Vab (g) + sup |g|.Vab (f ).
[a,b] [a,b]
Problem 92
Let f be a real-valued function on [a, b]. Suppose f is continuous on [a, b] and
satisfying the Lipschitz condition, that is, there exists a constant M > 0 such
that
|f (x0 ) f (x00 )| M |x0 x00 |, x0 , x00 [a, b].
Show that f BV ([a, b]) and Vab (f ) M (b a).
Solution
Let P = {a = x0 < x1 < ... < xn = b} be any partition of [a, b]. Then
n
X
Vab (f, P) = |f (xk ) f (xk1 )|
k=1
n
X
M (xk xk1 )
k=1
M (xn x0 ) = M (b a).
This implies that
Vab (f ) = sup Vab (f, P) M (b a) < .
P
Problem 93
Let f be a real-valued function on [a, b]. Suppose f is continuous on [a, b] and
is differentiable on (a, b) with |f 0 | M for some constant M > 0. Show that
f BV ([a, b]) and Vab (f ) M (b a).
Hint:
Show that f satisfies the Lipschitz condition.
Problem 94
Let f be a real-valued function on [0, 2 ] defined by
(
sin x1 for x (0, 2 ]
f (x) =
0 for x = 0.
/ BV ([0, 2 ]).
Show that f
Solution
Let us choose a particular partition of [0, 2 ]:
2 2 2
x1 = > x2 = > ... > x2n1 = > x2n = 0.
+ 2 + 2n.2
Then we have
2
V0 (f, P) = |f (x1 ) f (x2 )| + |f (x2 ) f (x3 )| + ... + |f (x2n1 ) f (x2n )|
= 2| + 2 +{z... + 2} +1 = (2n 1)2 + 1.
2n1
Therefore,
2
sup V0 (f, P) = ,
P
where the supremum is taken over all partitions of [0, 2 ]. Thus, f is not a BV
function.
Problem 95
Let f be a real-valued continuous and BV function on [0, 1]. Show that
n
X 2
i i 1
lim
n f n f n = 0.
i=1
Solution
Since f is continuous on [0, 1], which is compact, f is uniformly continuous on [0, 1].
Hence,
1
> 0, N > 0 : |x y| |f (x) f (y)| , x, y [0, 1].
N
Partition of [0, 1]:
1 2 n
x0 = 0 < x 1 = < x2 = < ... < xn = = 1.
n n n
1
For n N we have ni i1
n
= 1 . Hence,
n N
i i 1
f f , i = 1, 2, ...
n n
and so
n
X 2 n
X
f i f i 1 f i f i 1 V01 (f ).
n n n n
i=1 i=1
Problem 96
Let (fi : i N) and f be real-valued functions on an interval [a, b] such that
limi fi (x) = f (x) for x [a, b]. Show that
Solution
Let Pn = {a = x0 < x1 < ... < xn = b} be a partition of [a, b]. Then
n
X
Vab (f, Pn ) = |f (xk ) f (xk1 )|,
k=1
Xn
Vab (fi , Pn ) = |fi (xk ) fi (xk1 )| for each i N.
k=1
Consider the counting measure space (N, P(N), ) where is the counting measure.
Let D = {1, 2, ..., n}. Then D P(N). Define
By Fatous lemma,
Z Z Z
g(k)d = lim gi (k)d lim inf gi (k)d. ()
D D i i D
Fn
Since D = k=1 {k} (union of disjoint sets), we have
Z X n Z
g(k)d = g(k)d
D k=1 {k}
Xn
= g(k)
k=1
Xn
= |f (xk ) f (xk1 )|
k=1
= Vab (f, Pn ).
Similarly, we get Z
gi (k)d = Vab (fi , Pn ) for each i N.
D
With these, we can rewrite (*) as follows:
Problem 97
Let f be a real-valued absolutely continuous function on [a, b]. If f is never zero,
show that f1 is also absolutely continuous on [a, b].
Solution
The function f is continuous on [a, b], which is compact, so f has a minimum on it.
Since f is non-zero, there is some m (0, ) such that
min |f (x)| = m.
x[a,b]
Given any > 0 there exists > 0 such that for any finite family of non-overlapping
closed
Pn intervals {[ai , bi ] : i P = 1, ..., n} in [a, b] such that
n
i=1 (bi ai ) < we have i=1 |f (ai ) f (bi )| < . Now,
Xn
Xn
1 1 |f (ai ) f (bi )|
=
f (ai ) f (bi ) |f (ai )f (bi )|
i=1 i=1
n
1 X
|f (ai ) f (bi )|
m2 i=1
.
m2
Problem 98
Let f be a real-valued function on [a, b] satisfying the Lipschitz condition on [a, b].
Show that f is absolutely continuous on [a, b].
Solution
The Lipschitz condition on [a, b]:
K > 0 : x, y [a, b], |f (x) f (y)| K|x y|.
Given any > 0, let = K . Let {[c Pi ,ndi ] : i = 1, ..., n} be a family of non-
overlapping subintervals of [a, b] with i=1 (di ci ) < , then, by the Lipschitz
condition, we have
n
X n
X
|f (ck ) f (dk )| K(dk ck )
i=1 i=1
n
X
K (dk ck )
i=1
< K = .
K
Thus f is absolutely continuous on [a, b].
Problem 99
Show that if f is continuous on [a, b] and f 0 exists on (a, b) and satisfies
|f 0 (x)| M for x (a, b) with some M > 0, then f satisfies the Lipschitz
condition and thus absolutely continuous on [a, b].
Problem 100
Let f be a continuous function on [a, b]. Suppose f 0 exists on (a, b) and satisfies
|f 0 (x)| M for x (a, b) with some M > 0. Show that for every E [a, b] we
have
L f (E) M L (E).
Solution
Recall:
(
)
X [
L (E) = inf `(In ) : In are open intervals and In E .
n=1 n=1
Let E [a, b]. Let {In = (a0n , b0n )} be a covering of E, where each (a0n , b0n ) [a, b].
Then [ [
E (a0n , b0n ) f (E) f (a0n , b0n ) .
n n
Since f is continuous, f (a0n , b0n ) must be an interval. So
f (a0n , b0n ) = f (an ), f (bn ) for an , bn (a0n , b0n ).
Hence, [
f (E) f (an ), f (bn ) .
n
Therefore { f (an ), f (bn ) } is a covering of f (E). By the Mean Value Theorem,
` f (an ), f (bn ) = |f (bn ) f (an )|
= |f 0 (x)||bn an |, x (an , bn )
M |bn an |.
It follows that
X X X
` f (an ), f (bn ) M |bn an | M |b0n a0n |
n n n
X
M ` (a0n , b0n ) .
n
Thus, X X
inf ` f (an ), f (bn ) M inf ` (a0n , b0n ) .
n n
The infimum is taken over coverings of f (E) and E respectively. By definition (at
the very first of the proof) we have
L f (E) M L (E).
Problem 101
Let f be a real-valued function on [a, b] such that f is absolutely continuous on
[a + , b] for every (0, b a). Show that if f is continuous and of bounded
variation on [a, b], then f is absolutely continuous on [a, b].
Solution
Using the Banach-Zaracki theorem, to show that f is absolutely continuous on [a, b],
we need to show that f has property (N) on [a, b]. Suppose E [a, b] such that
L (E) = 0. Given any > 0, since f is continuous at a+ , there exists (0, b a)
such that
a x a + |f (x) f (a)| < . ()
2
Let E1 = E [a, a + ] and E2 = E \ E1 . Then E = E1 E2 and so f (E) =
f (E1 ) f (E2 ). But E2 [a + , b) and f is absolutely continuous on [a + , b], so f
has property (N) on this interval. Since E2 E, we have L (E2 ) = 0. Therefore,
x E1 x [a, a + )
f (a) f (x) f (a) + by ()
2 2
f (E1 ) [ f (a) , f (a) + ]
2 2
L (f (E1 )) .
Thus,
L (f (E)) L (f (E1 )) + L (f (E2 )) .
Since > 0 is arbitrary, L (f (E)) = 0 and so L (f (E)) = 0.
Problem 102
Let f be a real-valued integrable function on [a, b]. Let
Z
F (x) = f dL , x [a, b].
[a,x]
Solution
The continuity follows from Theorem 18 (absolute continuity implies continuity).
To show that F is of BV on [a, b], let a = x0 < x1 < ... < xn = b be any partition
of [a, b]. Then
n
X n Z
X
|F (xi xi1 | = f dL
i=1 i=1 [xi1 ,xi ]
Xn Z
|f |dL
[xi1 ,xi ]
Zi=1
= |f |dL .
[a,b]
Chapter 10
Lp Spaces
1. Norms
For 0 < p < :
Z 1/p
kf kp = |f |p d .
X
For p = :
kf k = inf M [0, ) : {x X : |f (x)| > M } = 0 .
Theorem 22 Let (X, A, ) be a measure space. Then the linear space Lp (X) is a Banach space
with respect to the norm k.kp for 1 p < or the norm k.k for p = .
3. Convergence
Theorem 23 Let (fn ) be a sequence in Lp (X) and f an element in Lp (X) with 1 p < . If
fn f in Lp (X), i.e., kfn f kp 0, then
(1) kfn kp kf kp ,
(2) fn
f on X,
(3) There exists a subsequence (fnk ) such that fnk f a.e. on X.
Theorem 24 Let (fn ) be a sequence in Lp (X) and f an element in Lp (X) with 1 p < . If
fn f a.e. on X and kfn kp kf kp , then kfn f kp 0.
Theorem 25 Let (fn ) be a sequence in Lp (X) and f an element in Lp (X) with 1 p < . If
fn
f on X and kfn kp kf kp , then kfn f kp 0.
Theorem 26 Let (fn ) be a sequence in Lp (X) and f an element in Lp (X) with 1 p < . If
kfn f k 0, then
(1) kfn k kf k ,
(2) fn f uniformly on X \ E where E is a null set.
(3) fn
f on X.
Problem 103
Let f be a Lebesgue measurable function on [0, 1]. Suppose 0 < f (x) < for all
x [0, 1]. Show that
Z Z
1
f d d 1.
[0,1] [0,1] f
Solution
The functions f and 1f are Lebesgue measurable since f is Lebesgue measurable
and 0 < f < . By Schwarzs inequality, we have
Z Z !1/2
Z Z p 1 p 2 1/2
1
2
1= 1d = f d f d d
[0,1] [0,1] f [0,1] [0,1] f
Z 1/2 Z 1/2
1
f d d .
[0,1] [0,1] f
Problem 104
Let (X, A, ) be a finite measure space. Let f Lp (X) with p (1, ) and q its
conjugate. Show that
Z Z p1
1
p
|f |d (X) q |f | d .
X X
Hint:
Write
f = f 1X
where 1X is the characteristic function of X, then apply the Holders inequality.
Problem 105
Let (X, A, ) be a finite measure space.
(1) If 1 p < show that L (X) Lp (X).
(2) If 1 p1 < p2 < show that Lp2 (X) Lp1 (X).
Solution
(1) Take any f L (X). Then kf k < . By definition, we have |f | kf k a.e.
on X. So we have
Z Z
p
|f | d kf kp d = (X)kf kp .
X X
R
By assumption, (X) < . Thus X
|f |p d < . That is f Lp (X).
(2) Consider the case 1 p1 < p2 < . Take any f Lp2 (X). Let := pp21 . Then
1 < < . Let (1, ) be the conjugate of , that is, 1 + 1 = 1. By the
Holders inequality, we have
Z Z
p1
p2 1/
|f | d = |f | 1X d
X X
Z 1/ Z 1/
p2
|f | d |1X | d
X X
= kf kpp22 / (X) < ,
Hint:
Proof by induction. For n = 2 we have already the Holders inequality.
Assume that () holds for n 2. Let
1
1 1
q= + ... + .
p1 pn
Then
1 1
q, pn+1 (0, ) and + = 1.
q pn+1
Keep going this way.
Problem 107
Let (X, A, ) be an arbitrary measure space. Let f1 , ..., fn be extended complex-
valued measurable functions on X such that |f1 |, ..., |fn | < a.e. on X. Let
p1 , ..., pn and r be real numbers such that
1 1 1
p1 , ..., pn , r (1, ) and + ... + = . (i)
p1 pn r
Prove that
kf1 ...fn kr kf1 kp1 ...kfn kpn .
Solution
We can write (i) as follows:
1 1
+ ... + = 1.
p1 /r pn /r
Now we have Z
|f1 ...fn |r = |f1 ...fn |r d = kf1 ...fn krr ,
1
X
Taking the r-th roots both sides of the above inequality we obtain (i).
Problem 108
Let (X, A, ) be a measure space. Let (0, 1) and let p, q, r 1 with p, q r
be related by
1 1
= + .
r p q
Show that for every extended complex-valued measurable function on X we have
kf kr kf kp kf k1
q .
Solution
Recall: (Extension of Holders inequality)
1 1 1
= + ... + kf1 ...fn kr kf kp1 ...kfn kpn .
r p1 pn
For n = 2 we have
1 1 1
= + kf gkr kf kp kgkq .
r p q
Now, we have
1 1 1 1
= + = + .
r p q p/ q/(1 )
Problem 109
Let (X, A, ) be a measure space. Let p, q [1, ] be conjugate. Let (fn )nN
Lp (X) and f Lp (X) and similarly (gn )nN Lq (X) and g Lq (X). Show
that
h i
lim kfn f kp = 0 and lim kgn gkq = 0 lim kfn gn f gk1 = 0.
n n n
Solution
We use Holders inequality:
Z
kfn gn f gk1 = |fn gn f g|d
X
Z
(|fn gn fn g| + |fn g f g|)d
X
Z Z
|fn ||gn g|d + |g||fn f |d
X X
kfn kp .kgn gkq + kgkq .kfn f kp . ()
kfn kp kf kp + kfn f kp .
Since kf kp and kfn f kp are bounded (why?), kfn kp is bounded for every n N.
From assumptions we deduce that limn kfn kp .kgn gkq = 0.
Since kgkq is bounded, from assumptions we get limn kgkq .kfn f kp = 0. There-
fore, from (*) we obtain
Problem 110
Let (X, A, ) be a measure space and let p [1, ). Let (fn )nN Lp (X) and
f Lp (X) be such that limn kfn f kp = 0. Let (gn )nN be a sequence of
complex-valued measurable functions on X such that |gn | M for every n N
and let g be a complex-valued measurable function on X such that limn gn = g
a.e. on X. Show that
lim kfn gn f gkp = 0.
n
Solution
We first note that |g| M a.e. on X. Indeed, we have for all n N,
Problem 111
RLet f bep an extended real-valued Lebesgue measurable function on [0, 1] such that
[0,1]
|f | d < for some p [1, ). Let q (1, ] be the conjugate of p. Let
a (0, 1]. Show that Z
1
lim |f |d = 0.
a0 a1/q [0,a]
Solution
p=1
Since q = , we have to show
Z a
lim |f (s)|ds = 0 (Lebesgue integral = Riemann integral).
a0 0
Ra
This is true since f is integrable so 0
|f (s)|ds is continuous with respect to a.
1<p<
Then 1 < q < . We have
Z a Z a
|f (s)|ds = |f (s)|.1 ds
0 0
Z a 1/p
1/q
([0, a]) |f (s)|ds (Problem 104)
0
Z a 1/p
1/q
= a |f (s)|ds .
0
Hence,
Z a Z a 1/p
1
|f (s)|ds |f (s)|ds ()
a1/q 0 0
Equivalently,
Z a 1/p
> 0, > 0 : 0 < a < |f (s)|ds < . ()
0
That is, Z a
1
lim |f (s)|ds = 0.
a0 a1/q 0
Problem 112
Let (X, A, ) be a finite measure space. Let fn , f L2 (X) for all n N such
that limn fn = f a.e. on X and kfn k2 M for all n N.
Show that limn kfn f k1 = 0.
Solution
We first claim: kf k2 M . Indeed, y Fatous lemma, we have
Z Z
2 2
kf k2 = |f | d lim inf |fn |2 d M 2 .
X n X
1
This is called the uniform continuity of the integral with respect to the measure .
Problem 113
Let (X, A, ) be a finite measure space and let p, q (1, ) be conjugates. Let
fn , f Lp (X) for all n N such that limn fn = f a.e. on X and kfn kp M
for all n N. Show that
(a) kf kp M .
(b) limn kf R n f kp =R0.
(c) limn RX fn gd =R X f gd for every g Lq (X).
(d) limn E fn d = E f d for every E A.
Hint:
(a) and (b): See Problem 112.
(c) Show kfn g f gk1 kfn f kp kgkq . Then use (b).
(d) Write Z Z Z
fn g = fn g1E = fn (g1E ).
E X X
Then use (c).
Problem 114
Let (X, A, ) be a measure space. Let f be a real-valued measurable function on
X such that f L1 (X) L (X). Show that f Lp (X) for every p [1, ].
Hint:
If p = 1 or p = , there is nothing to prove.
Suppose p (1, ). Let f L1 (X) L (X). Write
Integrate over X, then use the fact that kf k1 and kf k are finite.
Problem 115
Let (X, A, ) be a measure space and let 0 < p1 < p < p2 . Show that
that is, if f Lp (X) then f = g +h for some g Lp1 (X) and some h Lp2 (X).
Solution
For any f Lp (X), let D = {X : |f | 1}. Let g = f 1D and h = f 1Dc . Then
Problem 116
Given a measure space (X, A, ). For 0 < p < r < q , show that
Hint:
Let D = {X : |f | 1}. On D we have |f |r |f |q , and on X \ D we have |f |r |f |p .
Problem 117
Suppose f L4 ([0, 1]), kf k4 = C 1 and kf k2 = 1. Show that
1
kf k4/3 1.
C
Solution
First we note that 4 and 4/3 are conjugate. By assumption and by Holders inequal-
ity we have
Z Z
2 2
1 = kf k2 = |f | d = |f |.|f |d
[0,1] [0,1]
kf k4 .kf k4/3
C.kf k4/3 .
This implies that kf k4/3 C1 . ().
By Schwrarzs inequality we have
Z Z
4/3 4/3
kf k4/3 = |f | d = |f |.|f |1/3 d
[0,1] [0,1]
1/3
kf k2 .kf k2 = 1 since kf k2 = 1.
Hence, kf k4/3 1. ()
From (*) and (**) we obtain
1
kf k4/3 1.
C
Problem 118
Let (X,
R A, ) be a measure space with (X) (0, ). Let f L (X) and let
n = X |f |n d for n N. Show that
n+1
lim = kf k .
n n
Solution
We first note that if kf k = 0, the problem does not make sense. Indeed,
kf k = 0 f 0 a.e. on X
n = 0, n N.
n+1
n+1 =
n+1
(|f | )d
X
Z n+1
1
(|f |n+1 )d
E
1
> (E) n+1 .(kf k ).
It follows that
1
n+1 (E) n+1
(kf k ). .
n (X)
n+1
lim inf kf k , > 0
n n
n+1
lim inf kf k . ()
n n
Problem 119
Let (X, A, ) be a measure space and p [1, ).
Let f Lp (X) and (fn : n N) Lp (X). Suppose limn kfn f kp = 0.
Show that for every > 0, there exists > 0 such that for all n N we have
Z
|fn |p d < for every E A such that (E) < .
E
Solution
By assumption we have limn kfn f kpp = 0. Equivalently,
> 0, N N : n N kfn f kpp < . (1)
2p+1
From triangle inequality we have2
|fn | |fn f | + |f |,
|fn |p (|fn f | + |f |)p 2p |fn f |p + 2p |f |p .
2p kfn f kpp + 2p |f |p d
Z E
2p . p+1 + 2p |f |p d
2 E
Z
= + 2p |f |p d. (2)
2 E
2
In fact, for a, b 0 and 1 p < we have
Let = min{0 , 1 , .., N 1 }. From (3) and (4) we get for every n N,
Z
> 0 : (E) < |fn |p d < .
E
Problem 120
Let
R f be a bounded real-valued integrable function on [0, 1]. Suppose
[0,1]
xn f d = 0 for n = 0, 1, 2, .... Show that f = 0 a.e. on [0, 1].
Solution
Fix an arbitrary function C[0, 1]. By the Stone-Weierstrass theorem, there is a
sequence (pn ) of polynomials such that k pn k 0 as n . Then
Z Z
f d = f ( p + p )d
n n
[0,1] [0,1]
Z Z
|f | | pn |d + f pn d
[0,1]
Z [0,1]
kf k1 k pn k + f pn d
[0,1]
| {z }
=0 by hypothesis
= kf k1 k pn k .
Now, since C[0, 1] is dense in L1 [0, 1], there exists a sequence (n ) C[0, 1] such
that kn f k1 0 as n . Then
Z Z
0 f 2 d = f (f n + n )d
[0,1]
Z [0,1] Z
|f | |f n |d + f n d
[0,1] [0,1]
| {z }
=0 by (*)
kf k kf n k1 .
Problem 121
Let (X, A, ) be a -finite measure space with (X) = .
(a)
S Show that there exists a disjoint sequence (En : n N) in A such that
nN En = X and (En ) [1, ) for every n N.
(b) Show that there exists an extended real-valued measurable function f on X
/ L1 (X) and f Lp (X) for all p (1, ].
such that f
Solution
(a) Since (X, A, ) is a -finite measure space, there exists a sequence (An : n N)
of disjoint sets in A such that
[
X= An and (An ) < , n N.
nN
It follows that
k1
X
k1 N : 1 (An ) = (A1 ... Ak1 ) < .
n=1
X
1
=
n=1
np (An )p1
X
1
< . since (An )p1 1.
n=1
np
p
Thus, f L (X).
Problem 122
Consider the space Lp ([0, 1]) where p (1, ].
(a) Prove that kf kp is increasing in p for any bounded measurable function f .
(b) Prove that kf kp kf k when p .
Solution
(a)
Suppose 1 < p < . We want to show kf kp kf k .
By definition, we have
|f | kf k a.e. on [0, 1].
Therefore,
|f |p kf kp a.e. on [0, 1].
Z Z
p
|f | d kf kp d
[0,1] [0,1]
That is kf kp is increasing in p.
(b) By part (a) we get kf kp kf k . Then
lim kf kp = kf k .
p
APPENDIX
The Lp Spaces for 0 < p < 1
Let (X, A, ) be a measure space and p (0, 1). It is easy to check that Lp (X) is a linear space.
R 1/p
Exercise 1. If kf kp := X |f |p d and 0 < p < 1, then k.kp is not a norm on X.
Hint:
Show that k.kp does not satisfy the triangle inequality:
Take X = [0, 1] with the Lebesgue measure on it. Let f = 1[0, 12 ) and g = 1[ 12 ,1) . Then show that
kf + gkp = 1.
and that 1 1
kf kp = 2 p and kgkp = 2 p .
It follows that
kf + gkp > kf kp + kgkp .
| + |p ||p + ||p .
Hint:
Consider the real-valued function (t) = (1 + t)p 1 tp , t [0, ). Show that it is strictly
||
decreasing on [0, ). Then take t = || > 0.
is a metric on Lp (X).
Proof.
We prove only the triangle inequality. For f, g, h Lp (X), we have
Z
p (f, g) = |f g|p d
ZX
= |(f h) + (h g)|p d
X
Z
(|f h| + |h g|)p d
X
Z Z
|f h|p d + |h g|p d (by Exercise 2)
X X
= p (f, h) + p (h, g).
Chapter 11
2. Integration
Definition
33 (Sections and section functions)
Let X Y, (A B), be the product of two -finite measure spaces (X, A, ) and (Y, B, ).
Let E X Y , and f be an extended real-valued function on E.
(a) For x X, the set E(x, .) := {y Y : (x, y) E} is called the x-section of E.
For y Y , the set E(., y) := {x X : (x, y) E} is called the y-section of E.
(b) For x X, the function f (x, .) defined on E(x, .) is called the x-section of f .
For y Y , the function f (., y) defined on E(., y) is called the y-section of f .
Proposition 24 Let XY, (AB), be the product of two -finite measure spaces (X, A, )
and
(Y, B,
). For every E (A B), E(x, .) is a A-measurable function of x X and
E(., y) is a B-measurable function of y Y . Furthermore, we have
Z Z
( )(E) = E(x, .) (dx) = E(., y) (dy).
X Y
(a) The B-measurable function f (x, .) is -integrable on Y for -a.e. x X and the A-
measurable function f (., y) is -integrable on X for -a.e. y Y .
R
(b) The function F 1 (x) := Y f (x, .)d is defined for -a.e. x X, A-measurable and -
integrable on X. R
The function F 2 (y) := X f (., y)d is defined for -a.e. y X, B-measurable and -
integrable on Y .
R R R
(c) We have the equalities: XY f d( ) = X F 1 d = Y F 2 d, that is,
Z Z Z Z Z
f d( ) = f (x, .)d d = f (., y)d d.
XY X Y Y X
Problem 123
Consider the product measure space R R, (BR BR ), L L .
Let D = {(x, y) R R : x = y}. Show that
Solution
Let = L L . Let D0 = {(x, y) [0, 1] [0, 1] : x = y}. For each n Z let
And we have
2n
X
(Sn ) = (In,k In,k )
k=1
X2n
1 1 n 1 1
= . = 2 . = .
k=1
2n 2n 22n 2n
It follows that
1
(D0 ) (Sn ) = , n N.
2n
Thus, (D0 ) = 0.
Problem 124
Consider the product measure space (R R, (BR BR ), L L ). Let f be a
real-valued function of bounded variation on [a, b]. Consider the graph of f :
Hint:
Partition of [a, b]:
P = {a = x0 < x1 < ... < xn = b}.
Elementary rectangles:
Rn,k = [xk1 , xk ] [mk , Mk ], k = 1, ..., n,
where
mk = inf f (x) and Mk = sup f (x).
x[xk1 ,xk ] x[xk1 ,xk ]
Let
n
[
Rn = Rn,k and kP k = max (xk xk1 ).
1kn
k=1
Let = L L . Show that
n
X
(Rn ) kP k (Mk mk ) kP kVab (f ),
k=1
Problem 125
Let (X, A, ) and (Y, B, ) be the measure spaces given
X = Y = [0, 1]
A = B = B[0,1] , the -algebra of the Borel sets in [0, 1],
= L and is the counting measure.
Consider the product measurable space X Y, (A B) and a subset in it
defined by E = {(x, y) X Y : x = y}. Show that
(a) E (A B),
Z Z Z Z
(b) E d d 6= E d d.
X Y Y X
Solution
(a) For each n N, divide [0, 1] into 2n equal subintervals as follows:
n
1 1 2 2 1
In,1 = 0, n , In,2 = n , n , ..., In,2n = ,1 .
2 2 2 2n
Sn
Let Sn = 2k=1 (In,k In,k ). It is clear that (Sn ) is decreasing, so
\
E = lim Sn = Sn .
n
n=1
Hence,
Z Z Z
1E d d = 1d = 1. ()
X Y [0,1]
Hence,
Z Z Z
1E d d = 0d = 0. ()
Y X [0,1]
Tonellis theorem requires that the two measures must be -finite. Here, the counting
measure is not -finite, so Tonellis theorem is not applicable.
Problem 126
Suppose g is a Lebesgue measurable real-valued function on [0, 1] such that the
function f (x, y) = 2g(x) 3g(y) is Lebesgue integrable over [0, 1] [0, 1]. Show
that g is Lebesgue integrable over [0, 1].
Solution
By Fubinis theorem we have
Z Z 1 Z 1
f (x, y)d(L (x) L (y)) = f (x, y)dxdy
[0,1][0,1] 0 0
Z 1 Z 1
= [2g(x) 3g(y)]dxdy
0 0
Z 1Z 1 Z 1Z 1
= 2g(x)dxdy 3g(y)dxdy
0 0 0 0
Z 1 Z 1 Z 1 Z 1
= 2 g(x) 1.dy dx 3 g(y) 1.dx dy
0 0 0 0
Z 1 Z 1
= 2 g(x).1.dx 3 g(y).1.dy
0 0
Z 1 Z 1
= 2 g(x)dx 3 g(y)dy
0 0
Z 1
= g(x)dx.
0
Since f (x, y) is Lebesgue integrable over [0, 1] [0, 1]:
Z
f (x, y)d(L (x) L (y)) < .
[0,1][0,1]
Therefore, Z
1
g(x)dx < .
0
That is g is Lebesgue (Riemann) integrable over [0, 1].
Problem 127
Let (X, M, ) be a complete measure space and let f be a non-negative integrable
function on X. Let b(t) = {x X : f (x) t}. Show that
Z Z
f d = b(t)dt.
X 0
Solution
Define F : [0, ) X R by
(
1 if 0 t f (x)
F (t, x) =
0 if t > f (x).
Problem 128
Consider the function u : [0, 1] [0, 1] R defined by
( 2 2
x y
(x2 +y 2 )2
for (x, y) 6= (0, 0),
u(x, y) =
0 for (x, y) = (0, 0).
(a) Calculate
Z 1 Z 1 Z 1 Z 1
u(x, y)dy dx and u(x, y)dx dy.
0 0 0 0
Observation?
(b) Check your observation by using polar coordinates to show that
ZZ
|u(x, y)|dxdy = ,
D
Answer.
(a) 4 and 4 .
Problem 129
Let
Solution
(a) It is clear that g is continuous on R3 , so measurable. Using Tonellis theorem on
R+ I I we have
Z Z
A = f (x, t)f (y, t)dxdy dt
R+ II
Z Z Z
= f (x, t) f (y, t)dy dx dt
R+ I I
Z Z Z
1 1
= 2 2
dx 2 2
dy dt
R+ I 1+x t I 1+y t
Z Z 2
1
= 2 2
dx dt
R+ I 1+x t
Z 2
arctan t
= dt.
R+ t
Note that for all t R+ , 0 < arctan t < 2 and arctan t t as t 0, so
Z 2
arctan t
A= dt < .
R+ t
Thus g is integrable on J.
(b) We first decompose g(x, y, t) = f (x, t)f (y, t) into simple elements:
1 1
g(x, y, t) = f (x, t)f (y, t) = .
1 + x t 1 + y 2 t2
2 2
1 x2 y2
= 2 .
x y 2 1 + x2 t2 1 + y 2 t2
Chapter 12
Problem 130
Let (X, M, ) be a measure space where the measure is positive. Consider a
sequence (An )nN in M such that
X
(An ) < .
n=1
Prove that !
[
\
Ak = 0.
n=1 kn
Hint: S
Let Bn = kn Ak . Then (Bn ) is a decreasing sequence in M with
X
(B1 ) = (An ) < .
n=1
Problem 131
Let (X, M, ) be a measure space where the measure is positive.
Prove that (X, M, ) is -finite if and only if there exists a function f L1 (X)
and f (x) > 0, x X.
Hint:
Consider the function
X 1 (x)
f (x) = Xn .
2 n (X ) + 1
n=1 n
Problem 132
Let (X, M, ) be a measure space whereR the measure is positive. Let f : X
R+ be a measurable function such that X f d < .
(a) Let N = {x X : f (x) = }. Show that N M and (N ) = 0.
(b) Given any > 0, show that there exists > 0 such that
Z
f d < for any E M with (E) .
E
Hint:
(a) N = f 1 ({}) and {} is closed.
For every n N, n1N f .
(b) Write Z Z
0 f d = f d.
E EN c
For every n N set gn := f 1f >n f 1N c . Show that gn (x) 0 for all x X.
Problem 133
Let > 0 be arbitrary. Construct an open set R which is dense in R and
such that L () < .
Hint:
Write Q = {x1 , x2 , ...}. For each n N let
In := xn , xn + .
2n+2 2n+2
S
Then the In s are open and := n=1 In Q.
Problem 134
Let (X, M, ) be a measure space. Suppose is positive and (X) = 1 (so
(X, M, ) is a probability space). Consider the family
Hint: S
Let (An )nN M. Let A = nN An .
If (A) = 0, then A T .
If (An0 ) = 1 for some n0 N, then
Problem 135
For every n N, consider the functions fn and gn defined on R by
n
fn (x) = where , R and > 1
(|x| + n)
gn (x) = n en|x| where R.
Hint:
(a)
For 1 p < we have
1 1 1
kfn kp = 2 p (p 1) p n+ p .
For p = we have
kfn k = lim kfn kp = n .
p
(b)
For p = we have
kgn k = n .
Find an example which shows that the above assumption is not true. For example:
1
n = n+ q gn .
Problem 136
(a) Show that any non-empty open set in Rn has strictly positive Lebesgue mea-
sure.
(b) Is the assertion in (a) true for closed sets in Rn ?
Hint:
(a) For any > 0, consider the open ball in Rn
B2 (0) = x = (x1 , .., xn ) : x21 + ... + x2n < 42 .
h
For each n R, let In (0) := n , k . Show that
(b) No.
Problem 137
(a) Construct an open and unbounded set in R with finite and strictly positive Lebesgue mea-
sure.
(b) Construct an open, unbounded and connected set in R2 with finite and strictly positive
Lebesgue measure.
(c) Can we find an open, unbounded and connected set in R with finite and strictly positive
Lebesgue measure?
Hint:
(a) For each k = 0, 1, 2, ... let
1 1
Ik = k k , k + k .
2 2
S
Then show that I = k=0 Ik satisfies the question.
(b) For each k = 1, 2, ... let
1 1
Bk = k , k (k, k).
2 2
S
Then show that B = k=0 Bk satisfies the question.
(c) No. Why?
Problem 138
Given a measure space (X, A, ). A sequence (fn ) of real-valued measurable
functions on a set D A is said to be a Cauchy sequence in measure if given
any > 0, there is an N such that for all n, m N we have
Hint:
(a) For any > 0, there exists N > 0 such that for n, m N we have
{D : |fm fn | } D : |fm f | + D : |fn f | .
2 2
(b) By definition,
1 n 1o 1
for = , n1 N : D : |fn1 +p fn1 | < for all p N.
2 2 2
In general,
1 n 1o 1
for = k
, n k N, n k > n k1 : D : |f nk +p fn k
| k
< k for all p N.
2 2 2
Since nk+1 = nk + p for some p N, so we have
n 1o 1
D : |fnk+1 fnk | k < k for k N.
2 2
Let gk = fnk . Show that (gk ) converges a.e. on D. Let Dc := {x D : limk gk (x) R}.
Define f by f (x) = limk gk (x) for x Dc and f (x) = 0 for x D \ Dc . Then show that gk
f
on D. Finally show that fn f on D.
Problem 139
Check whether the following functions are Lebesgue integrable :
(a) u(x) = x1 , x [1, ).
(b) v(x) = 1x , x (0, 1].
Hint:
(a) u(x) is NOT Lebesgue integrable on [1, ).
Z Z Z n
1 1
u(x)dL (x) = lim 1[1,n) (x)dL (x) = lim dx.
[1,) n x n 1 x
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