opr 196 by We So ‘As eared. Thi ook o any pas thereof ‘Prine inthe United Sioes of America Preface “Tis book was writen to prsat to a reader having only @ mode rmathemaial background te chief rou te moder teeny of (Meta ich was nied hy Uebeege in TOD Lebeseics inept has now besonie one of the cornerstones of atematal nays. This book developed fiom my lstues in coun at the Universiy of Hino and shows ee acessiie wo alarmed won pndune and bopning graduate sade ie prensa a8 ‘toertading othe elementary theory of real nays and th ais ocompiciend "e~ Sarpument-” ARouph iis ey tat reader ‘would ave some fama) wth the Rleoann ines, 1 do oot on itn bere dors not depend on the Riemann ite A slid our in “advanced eae,” o fami with he ist third of 9 book, The Elements af Real Analy, souls provide adeqete ble ‘wins ten my ovmeronce.fath as student and teacher, that mos. students have difcalty in sesng the subject as a whol, and tht Supeingy many have troubles walk some ot fs mayor part T Invention theory, tT Nik thai ma ao be dt the ‘ofthe cent ets Most authors who Wet abstract ease ss ‘art wth ay extensive and dead discussions of measure eon fn ler do Uy an nea, Thib tends tog the impressionthar an elaborate theory of measure i required foram understa ‘of integration. Teel that this is no more true thant study of et theory i required for an understanding of topology: (Other authors prefs to gett the itera and ite proper qi. ‘Such books often sat with sme (pe of “elementary integral” and extend tos larger clas of functions, after which they obtain whatever Trewpue theory they wish Their point of dopartare varies widely. ‘may be the Riemann integral on the continuous functions on an interval ora rectangle; it ay bea linear functional ona colton of ‘continuous functions: may be an absracly defined integral on = ‘tam ealy stage where, in my judgment topology is either needed nor esr ‘Abhough FT also wish to develop convenienly done, T peer to discuss abstract measure spaces 1 ‘gard the convergence theorems asthe razon dé forthe theory and consider set ther), measure theory, and topology ww Ue lags inelevant—they cannot he completely disregarded but ther should rot be given unde prominence at the outst, fo they only complicate the situation. However, once the inital steps nave been taken and the Integra ap boc eablshed the reader should try toconaecttheinteral with other pars of mathematics Tategation theory is mich ike point set topology: i i 2 basic sunject, but Ie snot an end in el My purpose hasbeen to srk Aivetly toward the main results [have not attempted to follow all the avenues which have Been opened. Thus, a reader who completes ‘this book i not throu instead, Lope that he will delve into he many quttions that Ihave purposty Ini aside Ip them aide bes Cause fel that hese questions ae not truly relevant to an introductory evelopment ofthe ies feat: tis dss ot mean that they ar trv x winteetng, Tein nc tha is et fo be done forthe reader but if this book helps seed him on his way, thas acom- plied its purpose. ‘Since his tended a an ntroucton, shal ea with reins functions and with countably addtve meseores Until recently it wa ‘ought that countable additivity was a necessary ingredient of any Proce vi decent” theory of tegration, but I believe thi has been Falls exploded by Chapter Il of the teat of Dunford and Sehware (9) Although various theories of vector-valued integration are availble 1 donot touch upon this subject, but refer the reader to References (2) and [5] andthe papers ted thee. For teatments of the "abstact™ theory of intgiation, I resommand References (5,7, 10, 12,13) For the "elementary integral” approach, I suggest that the reader ist, consul 14 for orientation, and then sample References (4,689, I. 15}. (6,16) both approucher ae developed ad elated Wea bes. In wring this book, I have benefited greatly from my teaches, coleagucsand students. Most of what presen served rom wat F lered from some member of one of there thtes groupe of people 1am paniculaly indebted to my colleague AL. Pressini, who read an calerdraftot thismanuserpt, Professor George Orland made several Suggestions, enabling te wo stengien eta coronal w eutet ‘ther promis; Profesor NT” Hamilton propoued an example (006 Exereie 1058) one Saturday afternoon over coffee. Mrs. Carolya Bloemker ably type the final version ofthe manuscript, nd he waley rool wer hacked by Mr- Charles W. Malin, who caught a number ‘of eros. To all ofthese people, Iam deeply indebed. in addition, I realy appreciate the cooperation ofthe sta at John Wiley and Sons for thet hep and consideration Rowenr G. BannusContents 1. Introduction Reston for the development ofthe Leberg integral, com: 2 Measurable Factions Measurable set, measraie function ae thir combinations 3. Messires Measures, measure spaces, almost very, charges 4 rhe mega ‘Semple funeuons and ther integrals the egal of 8 now repaive extended realvahed meaturable function, the Monotone Convergence Theorem, Fatou's Lema, popes S._Integrable Fenctions htegrabe real-valued fonctions he posi and tinearity of ‘he ime, se Lebesue Dominated Conerpence Theorem, Integra which depend on 2 parameter6 The Lebenene Spaces Ly Normed linear spaces, the Ly soces, He's Inequality Miskowski®’Ineguaiy, the “Complceness Thoin he 1. Modes of Convergence Relations betneen convergence in mean, uniform convernee most uniform convergence, Egorfl's Theorem, the Vita {Convergence Theoren Decomposition of Mensnes “The Hahn Mecompiion Theorem, the Jordan Desomposton ‘Theorems the Radon-ikodym Theorem. the Lebesgue ee Theor the Rs Repmcetation Theorem forty 9. Generation of Meares Measures on aeons oft, he excision of messin the CCorathandery and Han Extension Thorens, Lebesgue and Lebesgue Susie mesure, the Riese Repesentation 1 beorem 10, Produce Measures Rectangle the Product Messe Thorens the Mone Relerences Inder un m7 The Elements of IntegrationCHAPTER | ‘ne theory of tmtegration nas us ancent and honorable root inthe Sqathod af exhuvstion” tha wae inented hy Fadnane aed greatly 0 by Ata) — eve /Vx. Its readily seen thatthe (improper) Riemann interals cist and that lim f(a) = Oforall x > 0. However, since fim f(a) “= 420 foreach n, the convergence of the sequence is certainly not Uuiform for x > 0. AkhoUgh 1 hoped dat we ceaer cas supply the estimates required to show that fmf. = 0. we prefer to obtain {hisconclusio san immediate consequence of the Lebeseve Dominated ‘Convergence Theorem which wile proved ater. Asanotherexampic, omer the function F defined for 1 > 0 by the (improper) Riemann eral no [mene With ttl effort one can show that F is cominous and that is 0, co wreo, Sie treo Ie shouldbe notiond that we donot deine (42) 4 (as) or (=e) + (G+), nor do we define quotients when the denominator is £0CHAPTER 2 Measurable Functions In developing the Lebesgue integral we shall be concerned with clases of eabalbed functions dees onset. In vatious applica tions the set ¥ may he the unit itera 1 = (0. 1} consisting ofall eal rumbers x satifying 0 < x < Us it may be the set N = (1,2,3,...) ‘Of natural numbers it may be the emire ral fine Rs may be all of le plone; ort muy be some ater ont. Since the development ofthe iteral does not depend onthe character ofthe underlying space X, ‘e shall make no assumptions abou its specifi ature. ‘owen the et, we single out + faily of subsets of X whi wcittehaved" in certain technical sense. To be precise, we shal assume that ths family contains the empty set Oand th entire set X. nd thet Xs closed under complementation and countable unions. * 21 Dern. A family X of subsets of set is sid to be # algebra (or 2 e-ld)1 ease o ‘ tox. Gi) 1F(Ax) is sequence of ets in X, then the union longs to X. 1 belong to X. IFA belongs to, then the complement A) = 24 ane 1 Ay bee ‘An ordered pair (1, X) consisting of a set X and a wralgebra X of| fhbets of X's called « measurable space, Any set in X i caled an _Nsmeasucable et, but when the algebra X ised (ass generally the as) the set will usualy be said 10 Be measarabe "Te seeder wil resl the rules of De Mores: an qya)-n Ie flow rom thee thatthe terion a sate fs in X tho belongs X ‘We shall sow gv some examples of ose of ses 2.2 xara a) Let Xb nyse and et X be the aly fal sive of 0) Tet Xe the amy coming of prc to abt of ¥. ely an (@) Let X= (1, 2,3,..-) be the set of natural numbers and let 2X sonst ofthe subsets BIS BAB (©) Let X be an uncountable set and X be the calletion of subset hich ae either countable or bave countable complements. () IPR, and X, are oalebras of subsets of X, let Xy be the inter section of X, and that i, Xy conse ofall subsets of 4 which belong te both X, and Xs In yeadily check ta Xe algebra (0 Let A be a nonempy collection of subsets of X. We observe that there is smallest algebra of subsets of ¥ containing A, To se hi unerve thal the fail ual subsets of X's algebra containing ‘A and the intersection of all the algebras containing A is alo a ‘algebra containing 4. This smallest algebra is sometimes called te catgera generates ny 4. (@) Let Whe the st B of real mimbers, The Ravel alge ie the algebra generated by all open intervals (2,8) in R. Observe that ‘the Bore algbra Bi aleo the algebra generated by all lsed intervals (8) Let X be the st R of extended real numbers. If isa Bore subset of R let 02) B= EU), B= EU, B= EUl-m, 40),The emt of tain an et be the collection of al sets E, Bs. Bo, B28 Tei readily seem that Bis & algebra ad it wil be called the extended Bare algebra, In the following, we shal considera nica measerabie spe (3X. 23 Dernrtios, A function fon 2 10 isd wo be X-men (or simply meanarable) i For every real number e the et ‘ fee ¥ fo >a) eongs 0 “The net fom shows that we could have moved the form of the sets in defining measurably 24 Laws, The following statements are equialent fora faction Jon Xiok: (a) For every @€R, the set Au = (ee X f(a) > 0) belongs 10 X. (0) For eiery 06 Ky tne set ym (eM -fis) einai (@) For ceery wR. the sot Cu = (eH =fla) >) belo 0. (@) For every wR, the set Dy = (xe X: fla) c, then (exis >=, sca if 6 then (exif > a) =X. () EEX, Jen the charactritic Fanci x, defined by alse eB, Ho, x88, (6) 16 is the set of teal numbers, and Xs the Borel algebra then any continuous function fon to is Borel measurable (that i. UBmeasurbley In fat, Ff 9 wots, then xe R: fe) > 4) & It hence ic the union of seouenee of open interval. “Therefore, it belongs to B. (@ k= Rand then any monotone funcuon 1s Hore nasurabe. Ton auppoce that /ie monotone increasing inthe sere that x = 4 implies f(x) ) consists of 1 halflie which either of the form (eR: > a) oF the form Grew sx 30) (Show dat but cases can wu.) ‘Cena simple algebraic wonibinations of measurable functions are ree swe shall nom show 26 Lewes TerSand¢ he measurable rebcalued factions and let be areal number. Then the factions GP. I+ es Mo area manure. ror. (a feed fl) 2 = ee Xfi)» ode (by trac 0 then tre (fa)? > ol» Xie > Os then wer: (ay >a wee rst) > Va UIE Ffl9) < V9. (6) By byothsi iti rato number then Sn (ee Xf) > AM (ee X46) > «=A longs 16:X. Sige it edly see tht (ee: +000) > 6) = UlS retina), i fotiow that 8 measurable te statement is eval Ie» 0, thenFae Bemis of (4) Since fy = CL + 29 ~ (J 8) fllows fom part (0), (0), od (that fis measurable (e) Irae 0 then (2 8: Lf] > 9) ~ Ny where Pw > 0, then (rex: YUN > a) = ORF = IVER “Ths the tunetin [| 1 measur aro. and f~ be the noo IJ is any funeuon on X00 R, ef Cy F109 = em st0).0), M60) = 99 (M09, 0} “The faction f+ i called the ponve part off and f~ called the egatve part off. Iie clear that es Fatah and ef nd it follows rom thes identities that eo PHD, LMI. In view of the preceding lems we infer that fi measurable if and nly if* ana J ae mensrabe "Poe preceding csesion pertained to real-valued functions defined on a rgeasurible space. Howeve, in dealing wih sequences of treasure functions we often wish o form suprema, Um t,x {Rs tecuialip convent allow the extended rea mimes ==, $2 tn be talon as value. Hence we wish to define measuabity for ‘Stcndedeak-vaved functions and we dothsexaty sin Defition23. 127 Demmanos. An extended reabvalued function on X it measurable acne test 62/2) >) Wong to X for ac el mero. The collation ofall extended real-valued Xeasurable functions on X's denoted by MCX, 2) bev tt i/e MX, ten tee fim 0) = 6 trex: > ah, (rex: sta) = a) = @[ 0, rex se) > -m}, so that both ofthese sets belong to. Mewrale Facto 31 “The following lemma is often vel in testing extended reabvalued Fancins. 28 Lena, An extended reatwatedfancton fw measwable (fend Aa (oe Xfi) = teh Bo fee Nef) = belong 10 Xa he real faction fs dfn by itzeduB, i meaziabe moor. IF fisin M(X,X), it has already been noted that A and 8 belong to X. Let Rand « > 0, then (re Xf) > a) = tees > ah\ 4 Me <0, then (ee Xfi) > @)= wer s7ay> HU. Hence fs measurable (Convery if fs Be X and fe meacrahe, then (ee Xfi) > 9) = (ee Kf) > DUA (re Ne fly) 9) a Ave Ele) > NB Wis consequence of Tamme 26 and 28 that if fis in MCX. 2), then the functions when > 0, GPM IL so belong to M(X 8. “The only comment that need be made is that we adopt the convention that 4c) = Oso that of vibes identically when ¢ = 0. Ifands belong to. ATGX, 4), Men the suis f+ g 1 not welldefinot by he Formule + aa) = fs) + eC on the ets Fale ¥efle) = —w and af = +0), Ea (eeXifis)= +0 and gt) = 2),oth of which belong to X. However, if we define f+ g (0 be 220 tn EU Ey, the resulting function on X is measurable. We sh {eturn tothe measurably uf dhe product afer the next rest 129 LENA. Let (Ji) be sequence fn MUX.) ond defie the 12) = inh f40), FO) = sup fae. 205) = nak fa), FMR) » Hn 20 £0) Then fi Fafa F belong 19 MUS. X), so tat and Fare mesure Pe) = { af a) Fee) = int sup fla. the medsrabity of and F* abo ets ose 2.10 ConOUARs. Ife) agence MUR, X) nck omer defen ¥en} tin MOY. mets) = linia. 08. enone tn thi cae to the measuraility of the product fg when fu selene MORH). Ine Net) bethe "rection off died by 62) =f YL em ie Rom ie fem Let ga be define! similarly TC rendiy com that and ga are measurable (see Exercise 2X0). It follows from Lemma 26 thatthe product fg is measurable, Since IG) fol) = in flO) ala). XE it follows fom Corollary 2.10 that fa belongs to MCX, X). Since (hs) = 0) 0) = inf) gla), xX, another application of Corltary 2 1Oshows that fg helongsto MCX). thas been sen thatthe Limit of sequence of fenctions in MX, X) belongs to MUX, 4). We shall ow prove that a nonnegative function Fin M(X,X) bs the Init of « monotone ineeasing sequence (yo) ia "M(x... Moreover. each o. can be chosen to be nonnegative and to assume only afte aumber of real values 21 Lewvs, If a nomegatve faction nx M(X, X), then there exit a sequence (g) in M(X, X) such that (0) 06 pus) < pel) for xe, meN. 10) JG) = lim ps for eaen 2X. noon. Letabes fixed natural umber. If 0,1,....m*— 1 det ig be the set B= ENA 6 fle) < (b+ ND, andi = n2t let Ba bethe set (ve ¥ f(9) > 9) We sar th the sets (Exe: k = 0, 1,-.., 92) are disjoint, belong to X, and bave tion equal to X._ Ife define to be equal to &2"* on Ei, then belongs to M(H A), Hein readly stablahed thatthe propertir (2) (0. (0 ald. ‘an. 11 is frequently important to consider complex-valued funetions defined on X and to havea notion of measurably for such funetions, We observe that if fi complex-valued function deined on X, then there ens two uniquely, determined real valued fuetions ff, uch that Safir its (indeed, f(x) = Re fle, fle) = Im fl, for x6 X.) We define thecomplen valued fontion Fto be measurable if and only if eal and iaglaay parts f, and fs, respectively, are measurable. Tt s easy to sec that sums, products, and limts of complevaiued menusatic fonction ate aby measurable FUNCTIONS BETWEEN MEASURABLE SPACES nthe sequel we shall require the notion of measuraility oly for real and complecalved function. In some work, however, one shes to Senne measurably for « union from one measurable Tpoce (2) imo another measurable space (YY). In this 856 one ‘ys that [is measurable in case the st PAE) ~ (eX :fla) eB) belongs to for every set £ belonging to Y. Although this denton| lof measurably appear o difer fom Defisition 23, ie not dificult to thow (ze Frersise 2P) that Defition 2.3 is equivalent to this aly ack, LC. Let (dy be a sequence of siete of set XL Fe for me, let and B= (das Fon AaB ‘Show that (E) i monotone increasing sequence of ses and that (F,) {88 disjoint sequence of ses (that is, FF = ifm # m) such that 2D, Let (42) be a sequence of subsets ofa set X. I A consists of alle X which belong to infinitely many ofthe sets 4, show that 4-ALG4) “The set ifn cle th int pero of he ts (4) an dented ty lims0p 2E, Let (dy) bea sequence of subsets of a set X. IPB consists of aul re.x whch belong to all bt Dave number of te sexs ay, Soom 201A) “The set Bis ften called he in air of th tt (4) and dented ty timiar 4 2P. If (E) is & sequence of subsets of a set X which is monotone incresing (hati, Ey S Ea © Ey S), show that emp = 0) imint = Ey 2G. ICR) i a sequence of subsets of a set X which is monotone ecreasing hat is, F, 2 Fy 2 Fy 2+), show that nse = (f= inn AL UP (4) in a sequence of subsets of show that © = timiot 4, = tnoup 4, =X. Give an example of sequence (49) such that Simin Ay = 0, Uimsup Ay ~ Give an crample of & sequence (4d) which ie either” monotone increasing or decreasing, buts suc that lim it A, = tim up Ay16 The Pimento ner aon ‘When this equality hols, the common vale i calle the Umit of (4) and is denoted by lim A. : ‘LL Give an example ofa function fon X to A whi 1 nox A measure ut such thatthe Functions [f|and fare Yomeasirale 3. Ifa, by cate real mombers, let mid (a, By) denote the “value in the middle” "Show that mid (2, b,€) = if foup (2,8), sup (a, ch, sup, 3} uo foofs are Xmeasurablefonetins on X to R and if is defined for se Xby a6) = mid (AC), 09. S80) ten gs Ames “LHL. Show directly (eithout wsng the preceding exercise) that if J is measurable and 4 > 0, then the treatin , defined by She) =f» if WO 1, Then (4) is dso sequence of een X ee that lim oF: Since is countably additive, B= Sta = $s By Lemma 33 (dy) = w(E) ~ p(s) for > 1, 30 the ite series ‘on the right side tlescopes and 2 MA) = ED. Hence equation (3.2 is proved.22 he Emon of arron (0) Let £, =F, Fy that (Eis a increasing sequence of sts ink. Me aply pa) wd Lemna 3.3, we ine hat Hf 6) = ine = im GF) ~ FD = HE) ~ im AF Sie Uses Ea = Fue Fo it follows tat of 0,63) = Fo ~ of 8 Combining thee two equations, we obtain (3.3) ene. 5.9 Denwimon, A memsare space 8 Wiple (XX, ) coming of st ¥.analechrs Nofeuherte of Yanda measure defined on X ‘There isa werminologcal matter that needs to be mentioned and which shal be employed in the following. We shall say that a certain ‘proposition Holds walmost everywhere if there exss a subset eX inth p(X) — 0 each thatthe proposition holde on the complement (OF N.” Thus we say that two function fg are ae almost every= Inbere or that they ae equa or almost all in case /3) = 2) when San was. Inlike manner, we say that a sequence (fof Functions on X comverges| almost everyobere (Or converges for james lls if cere exists & fet We X with (N) = Och that fe) = lim 2) For eg NT thi case we often write Fling, wae. ‘Ofcourse, ifthe measur i understood, we shall ay “almost even lice” ited uf “yralostevenwere.” “There are some instances (sugested by the notion of electrical chacge, for example in which is desirable o discuss functions which Dena lke measures except tat tey take cota postive and neve ‘value In this ent, itis nt co convenient to permit the extended rat numbers +20, 0 to be wales since we wish to avoid expressions of the form (4:2) + (=). Although i is posible to handle "signed rr” wih eon ly ne nes 0, al mer “une as assis wbe tas pean i Tene reo lie eo ae Deven, UF iee eine Yee hee Ne tad ean ene ae ‘oy net necaunyssuur tenn teilteaeeaneat Recast te Aga) Ex [See etn ile indeed fe et and egy (ean a mes ena Caen en a at share Wis ara th an ad ite of ro a a i yup his hr Sabon at cegs ede weet Sst sh ae Miter cee bets awe ese eer iC & sve will characterize those charges which are generated by integrable tions. EXERCISES BALI fen mencure om Yiand 4 ic # ted et io X, then the funetion 2, defined for Ee X'by HE) ~ H(A 7 £), is @ measure on X. BIB Ways pe ate measures on Xand yy... ATE nomneRANe reai numer nen tne funeon s, deine for Be Ay 0) Zant. isa measure on X. SCI (a) is. sequence of measures on X with (X) = Tang if A 4s defined by 146), Bex, ww - S)then Aisa measure on X and 42) MD. Let X = 1 ang let be the algebra ofa subsets of HF HO) = 0; ED = Fam BR then wisameasureon X.- Conversely, every measure on is obtained in this way for some sequence (in . LE Let X be an uncountable set and Jet X be the family ofall chert of X Define yom Fin X hy requiring that 4) ~ 0, if Fs countable, and p(E) = +20, iF Eis uncountable. Show that jis a measure on. SF LeLA = Hang let Abe tne famuy ofan sums of 8. HE Site, et FY = 0:4 Fi infinite, Ut pF) = ae Ke a meacine on? NG, 1FXand X areas in Exercise 3 co forall Fe x. let ME) HF) < +0 s dropped. [ML Let (x, X,4) be a measure space and let (E,) be a sequence in x. Siw inst [See Ereese 26] ° 5. Using the notation of Exercise 2, show that lim sup (E,) < im sup £,) vwhena(LJ) < +20. Show that thisinequaliy may Falify(L) B) = 3M, Let (4) be a measure space and let Z — (EEX: nL) = 0}. IsZacalgebra? Show that if Ee Zand Fe X,then EA Fe Z. ‘Also, if blongs to Z for ne, then U Ex Z. Bs Let X,X, Z be asin Exercise 3K and let X be the Family of all eabeets of ofthe form (EvZ)\Z, Bex, sows 8 hee 2s an 22 by nt fe edge 2. Show imax ngonpaauteene Saibe Cony cris Khe sala ¥en oth rerctton TM, ih enon Eee, Hg be don by me02) =H, wes Ee nd Zina mt 4 2. Sow th Sd onal ne ‘ea cmp ot BN, bet be a mee A et 3 compton nie of xe a8 pp tt is on A ‘Sinuctoaoeon sto shot heen decane tetra gon fin fehch ep snon envi eq Ua Forecaster i = ffs am ie Eva, tee erin Zietaalsaiin dba teeta Fics a ond weyers pe foexed. Too ptember) 30 Stow aumento bacon BP tues chgeon Xs tn fe Boy HE) = nh) 45 Aen. Stow atria on ¥. Ha) < wane > 0k Renvece tah © teed «aide ne) 30. pnctngeon tote te Foxy HE) = 109 5 WA, ‘where the supremum is taken overall ite diointcllesions (4) in X with B= Uses). Show that visa measure on X. (tis called the vriton of.) UR. Let denote Lebesgue measute defied nthe Bore algebra B (of R fee Example 3216]. (a) If E consists of single point, then Ee Band NE) ~ 0. ()if Eis countable, then Ee Band XE) = 0.Be Tae Eee of trait {c) The open interval (8), the half-open intervals (2,6), 2,8), and the closed interval fa) ll have Lebesgue measure b ~ 0 4S. If A denotes Lebesgue measure and & isan upen subset of R, then ME) > 8. Use the Heine-Rove! Theorem (ee Reference (1 45) to show tht if Kis a compact subset AFR, thea MK) < +20 {NT. Show that the Lebesgue measure of the Cantor se (ee Reference (0h pis ze, ‘MU. By vying the construction of the Cantor st, ohnin a set of itive Lebesgue measure which comains no nonwid open intera ‘AV. Suppose that Eis a subset ofa set We X with 4(N) = O but that B¢X" Thesequence (ff. » 0 converges post everywhere tote, Hence the elinost exrehere imi ofa sequence of measurale Fanetions may not be measurable CHAPTER 4 The Imegral In this chapter we shal introduce the intgsl ist for nonnegative ‘ample measuraie functions. and then tor arbirary none the exlebrated Monotone Convergence Theorem, whichis a basic tool for everything that follows. “Thivuglout this pte we ball annie « Gael mee spac (Xion). We shall denote the colton of all X-measurable functions on X to R by M = A(X, X) and the collection ofall non- negative X-messurable functions on X to R by M* = M°(X.A), ‘We shal define the inteyal of any Fartion in M* wih tespxt wo the measure n._ In onde 1 do 50 ve shll id it convenient to introdvce ‘the notion of simple function. Its convenient to requite tht simple Fuetions have values in rather than i R 4.1 Dermemon. A reshvalved function is simple if it has only & Site number of value ‘A simple measurable fonction y can be represented ia the fron ap = Sate here a) €.8 and xy, the characteristic function of a set Ein X. ‘Among these representations for g there isa unique standard repre ‘sencaon charactenze by the fac thatthe a ae dsuinct andthe28 he Element of hrrton are dso, Indeed a, 04,-.-» yar the distinct values of and FE, = (ve X gta) = af, the te fy are asomn ane A= UB {Of coun, if we do nt rue theo, the dita, oF the ete E10 besoin then a simple function has many repesetations asa linear combination of characteristic functions) 42 Dermamon. If pit 8 simple function in A(X, X) with the standard representation (1), we deine the integral ofp With espet 10 In the expresion (42) we emsloy the convention that (+0) = 0 0 the integral of the fuetion identically 0 is equal to 0 whether the Space bas fine or snhrte measure, It should be noted thatthe value (the integral f simple Function in Mie wel- deine although t ‘may be +0) since all the are nonnegative, and so we donot encounter meaningless expressions suchas (+20) ~ (+). ‘We alail wee the following clementary properties ofthe integral 43 Linon (8) Uf and 9 are simple fnevons in (XX) and 62 tent Jovts=e foo Jeera fades fou. 0) ified fo Bin Ky 246) = forte then ea maanie on X rnoot. If © 0, then oy vanithe identically and the equality holds IPe > 0, then opi in M* with standard representation ae fan The ier 29 nen nas standats representation (41). Therefore =e feds Jot = $ ant esl) Let p and have standara representations vt42 SS tt teen However, this representation of p+ as a linear combination of sharactristi finetione of the dst sets 8, Fis act neces the standard representation for @ + since the valves a) + may not be distinct. Let c, k= Iy.--p, be the dine numbers in the Het (6, 1 Bef = tyocsymsk = Lecsoom) and It Oy be the union ofall those sets #, 0 F,such that 2, +s = Thos Hed ~ ZotesoF. whete the notation designates summation over all j,k such that y+ be = oy. Sine he standara representation ofp + $i given by rte Sore we ind tat Jorom- Sania = 3% anéinny Ede sueony = SS enoaeinny =SSannane® PME OPss et ro Shee en htt i ies) (hen uen= Seine, AB = Sao) we cpl natn and hang he of emi dam cb ed tn fies ae Sactto+ Smo = fede + [oan ‘To euahish pr (0), we obser that Hence, i follows by induction fom what we ave proved thst 8) = forede = $0 Pryprde = Sor a6s 0 Sine te maping © a)1 Me Element of eatin sothat eX Ay S Ayes at X= Ute Accodingto Lemmas, “ fmm f tae from Sioe the sequence (A 8 moneneseresng wd I won i fates io Lemar #30) ad 3) that Joana ote “Therefore om taking the iii (67) with eget ome btn fra stim fra Sioe his hl for il «wth << 1, wesme tat Joacim [ae andsince pic an arhirary ipefincton nM sets wf we conde hat J f4u = sup fod 0 then ef beones toM* and Jord =e [rém. 0 Whoa belong 0 M*, the f+ @ holmes to M* and Juror [sm fea Tie egret 3 rr0or, (2) H'e-= Othe result is immediate. IP > 0, let (G0) be ss cmsncnons tein squenz osm orsion nA" conve ging to fon X Gee Lemma 211). Then fom) ie 2 monotone cogent converging 10 cf. If we apply Lemma 4.3) and the Monotone Convergence theorem, we obtain Jette = tm fords tin fre =e fe (14) an (are monn eg ete of sie talons orn of cob pein ta es YO toon aint sees aves Wiest Erman £30 td he Manone Coney Tere at Jose tn fins toa tm fea + tn fe [rts fate ors The are th + song of he Monee Cogs “Theorem, is very important for it enables vs 19 handle sequences of fintions that are not monotone. 48 Farov's Leva. 1/ (fp belongs to. M*(X,X), then famine tint fd men. Therefore Joefim. men Ina fasss--} SOUL a < fy Whenever sothat Jest 0 follows that NE) > 0. IF E= 8 then fue vanishes everywhere 40 that MB) = 0. To 26 tat 6 Sounly Tove, (2) be doin segynte of tin X with won Fad Tet he deine the ito tam Cay 470) ct at Jes $ frou 306 Since (fis an sneresing sequence In SC" conversing 60 fe he -Munotone Convergnce Theorem imple that 10 [ft alms cerbere om Xifand ol if ty, wy few acor. If equation (410 hos, let feexsno>? oth 2 Uy) a fom wm = fr> ata eee trex: fl) > = E sso mas measure 0. Comers fla) = Oral everyman IF 0. Leth =e Sie J

i fae aoor. Let We be such that w(¥) = 0 and (f2) comers to f at every point of M= XN. Then (cu) conterges fom om 20 the Monotone Comerpnce Taorem inp tht Jeet = en fiona faedu =. ar.Since p(N) ~ 0, the fancions x and fxs vanish palmost every Suhere follows from Corollary 4.10 that fre Since f= frm + fxn and fe = fata + Suny it follows that fran J rredee tm |foede stn fede 080 413 canny, L(g eee Me WE.) - 3 (Jee) moor, Let f= bs too es and apply the Monotone Con sergence There ae, Jrwaea 1 tei nto a M1 hs (0 ey stig) pono . oo Shaw Joa Sout, Wine, and produc of simple functions are simple fontions. {In other words, the simple functions in M(X.X) form a vestor subspace of MCX, 29] ‘AC. gy and gy ae sumpleruncons is BEX, XD, then People © = wine! are also simple functions ia MUX, NAD. It feat” and ¢ > 0, then the mapping p> = on a va eceeeponnre betwen sme function ¢ in M* with » < J and simple functions ¢ in M* with cf. Use this observation to ‘Bee a arent proof of Corollary 4%). LE, Letfg belong to M'*, let g Bea single function in A> ith © © f, and let w bea simple function in M* with w < f+ g. Pat 8 ~ inf lw.g) and % = Hp fw ~ 9,0). Show that w= 8, +8 and mat 6, < fand 8 & “UP, Enploy Exercise 4 to establish Corollary 47(8) without ling the Monotone Convergence Theorem 4G, Let X = Ny let X be all subsets of Nand let be the counting measure on X. Iisa nonnegative funtion oa N then fe M*(X,X) in = 5 fo 4H, La X = R, X= Band let bbe the Lebesgue measure on. If, = ua then the sequence is monotone mereasng 10 = ye, [Although the factions are uniformly bounded by 1 and the integra ofthe fare all rit, we have Does thé Monotone Conergence Theorem apply? AL Let X= R, X= B, and A be Lebesgue measure on X. It fo~ Win) ain, en then the sequence (ie Bonotone decreasing and ‘converses Uniformly to f= 0, but 0 free tm f= 40 Cine tr isn hem corsgonding 0 te Mentone Com Stereo ceo pan 3) Ta) Ll gues fc. show ta he ene cones nin of a fre sin fa Why does this not contradict the Monotone Convergence Theorem?238 The Elements of nteration Does Fato's Lemma apply? (0) Let gy = Maman = 06 Show tha Joa atin faa ‘Does the sequence (x5) converge uniformly fo x7 Does the Monotone Convergence Theorem apply? Dues Fatou's Lemma apply? AK. MUX, Non) ta ite mensre ep, andi fi teva sequence in MK, X) which converges uniformly to a function then f belongs to M*(X, X), and fri few AL. Let x bea finite lsed interval a, bin , let X be the collection ‘of Bore! ets in X, and let be Lebesgue measure on X. IF fis a sonnei faa ou so ta [ras [roe here therght side denotes the Kuemana integral off. (Hin Pit Thtalch eh euality for nonnegative tepfeeton hat nen Combination of characteristic unetions of intervals) 4M, Let X = [0, +2) let be the Borel subsets of X, and et bbe Lebesgue measure on X, 18a nonnegative continuous tunewon | fren an fre Hence if fis 4 nonnesatve continuous function the Lebesgue and the improper Riemsnn integrals coincide. Tbe next tree exercises gen With ie ategration of functions whic do not belongto M* They canbe omitted until the next chapter has ‘ben ead, However, we include them here Because they illustrat the resteions requied by Fatou's Lemma] 8. = (theese eonernto sofsd oni) Hoeoee jab Istons [fae linht {hab 1 <0 [sa Hence Fata Lemma 48 may not Bold unlesf, > 0, even in the presence of uniform convergence 40. Fatou's Lemma has an extension to a case where the f take fon negauve Waiver. Let A be im A°(X,2), and suppose that fide < $10, WU) i9 «sequence im MCX, X) and if A = fy init nin AP. Why doesn't Enecse 40 apply to Exercise AN? 40. Ife M(x, Xpand frac to, (Wnt: Wy ~ (ee Xf) > me then alee X fis) = 10) then me. 0) 4 aoe nada, tere eX a sequence (Fin Keach that NEL Fan WF) = 422. 48. Ife M(x, X) and Jraesm. fries [rete abt Seppose tat (6) CM (XX), tat (converge to f nd fran frat < 40Prove tha “AU. Show thatthe conlaion of Exercise A:T may fi if the 1s opp CHAPTER 5 Antegrabie Functions In Definition 4.4 we defnnd the integral af exch fenton in M*(,X) with epet to a measie and permed this integral to be “bo.” In this chaper we shal dacs the Inteprtion ‘of memurate futon which may take on Bm postive ad negative real alone Hove te move conenin to requ the vale ofthe funtons and the integral oben el numbers. 51 Deronos. The elton I= 11.) of tntgrtie (or ‘sinmabl factions consis fal eavalued Keneasuabe fonctions {J seined on ¥, such that both the postive and negative pars, ‘Ean fie nels with sespet op In is eae, we tine he Inga fit espe oto be en free free TEE eles Xe dee a Trae Epo fp [ieee firs Although the integral of fis defied tobe the ference of the anders off ts ent see tat =f, fy where ff are ny nonnegative measurable fnctions with ite intent Jt Pre faeee temen of heron in tae snes f° — f° = f= f = fit follows that f° + fe = f+ we apply Corollary 4.2), we infer that, [ites fraden fides [7 a Since all these tems are nite, we obtain fran fire [r= [nae [iat 52 Lena. If belongs 0 and A defined on X to Rby os Wo [pte then hia charge, noor. Since /* and f~ belong to M*, Corllry 4.9 implies that funcuons 4° and A" defined by Mo=[re reef re tiem ad oe integra of f(wit respect tow). Since Aisa ehare, if (is disiint sequezc in Xwith union E, then [re-S frm ‘We efecto this relation by saying that the indefinite itera ofafunetion in Lis countably able, ‘The next resis sometimes referred to atthe property of absoine ‘integrability of the Lebesgue integral. The reader ill reall that, ‘lth the absolut value ofa (proper) Riemann integrable function ik Rienaam integrable, this may no longer be the case for Futian ‘which hes an improper Riemann integral (for example, consider Ja) = 371 sin x on the infinite interval I< x2 42). Ieee Panton #3 53 Thonem. 4 measurable function f Belongs 10 L if and only if telson ease 6) [74] < Jira "OOF. By dfniton blows to Lifand ony it7* and /~ eons to Mand have inte intera Sine [f° = If] = Jo +f and U/l = 0, tne assertion follows from Lemma 4a) and Coraary £10). Moroes, [pral-[fre- fra] <[rar[ru=ling os SA Conotiaoy If is mean, § inet, and I Sloe then fis intr, nd Jide fist. PR00F, This follows fram Femme & i} an ‘We shall now show thatthe integra sien om the space Lin the following sense 55 Throne. conten muliple of and sum f+ of fctons ‘nL oetongs 0 Land fottnefran furnd= frat few. PROOF. Ifa = 0. then af = Ocveryuhore eo that forte = 0m fra Me Ode wes one Jota forte formas (Ir a= fra)afre ‘The cise « < Ois handled simi. whence4 Me Chm of hiertin i ms x ev0mg Ww L, ten LF] ANG |g| DEIONE tO L, Since [Fa © [014 [el flows from Coralanes 47 and $4 that Fig belongs to 2, To establish the desired relation, we ober that S4ea 0 +29- 0 #89. Since /* 4 9° and f° + e° are nonnegative integrable fv folios fom the observation made after Definition 5. that fuson-fer sea fers 11 we apply Crary 410) and erage he ems we obisin Jus eden free fords fr du fer ate = rae fos nn We shall now establish the most important convergence theorem or integrable functions 56 Lenescue Dowiwartd Convencence Tunontn. Let (f) be @ sequence of nerable fancions which concergesalmotteerywhere fo @ ‘eaksahed measurable funtion J. If the over a negro function ch tha f < forall, then fs integrable and oo Jw tim J fae roar ying te otf tf mee On cyan it pe afk Po fom Coa stor Fg See 0 ton Frog Len aed Totem 3516 a Jets fre foe nae 0, another application of Fa 55 yields Je [140 = [14 s tiniat f= du = fot tne fice ‘hm wie ows tat 69 tinsap [ fx.) is continous on (a, 6) Jor each x X, and if there san tnegrabl fncton om X such tha Ute.) < a), thn the amc Fdgined by os n= [ena 1 continous for ¢ na, B. raoor, This is a immediate consequence of Corollary $7. ana. 59 Chnowsasy Suppose thr for some to [0,Bl- the fscion x fle 10 is integrale on X, that eet exits om X » (a, 8] and that ‘ere exists an integrable frcion gam X suck hat Zecn|ena hth con Ff i Coalny 38 fee, and Go= $f rend = [Zena ‘moor. Let be any point of fa, ]- TF (4) iow sequence in fa 8) converging to # with # then Hen= mMBfe0, ser, Therefore, the funtion x > (9x, 1) measurable. IT x€X and Fe[a,8], we can aply the Mean Value Theorem (ce Reference [page 20) to infer the existence of a betwen yin + such that fet ~Aeinat= Ze. ewe webeve We) 0, snow marine set (ek: [fa 2 1) has finite measure In ation, the wt (ve ¥°fla) 4 0) has ‘finite meatue (that i, the union of a sequence of measurable sets Sith ite measur). SB. 6 an Xsmeasurable real-valued funtion and (2) pales alloin ¥, then Fe A(, Xn) and fio. SC. fe UX, X,») and gis an X-easurable real-valued function such that fe) © g) almost everywhere on X, then g © LOX, X,p) and [ram fess Sw. H Jet, 4m) and > 0, then Mee ens & eanuade sine fino pwc hat Ju-sace SE It feL and g is a bounded measurable function, then the product ls belongs to. SF. IY belongs to L, then t doesnot follow that 7 belongs to. for 56, Sips tts LO 1 a8 nes wee [s, eex ‘Show that NE) > O for all Ee-X if and only if (x) > for almost all EX. Moreover, NE) = Oforall Eifand onlyif (x) = 0 for almost ase, SM. Suppose that /, and f rein LX, %, 4) a Ie Ay andy Be theic indefinite itera Show that A(E) ~ AE) forall EeX if and only if fa) = fe) for almost all xin X. 5, yw a comple-talued funetion on such that Ref and If belong to 20%, X,y), we say that is intgrabe ant define ra foarte frie Let f be a complervalued measurable function, Show that f is Iitegrable if and onli [fs integrable in which case [ral « fina tars [fda ~ ret wir @ cet omsier gs) = 6 fa) S11 Tat Uf) he enquenoe of comple valued measurable Fanetions which converges tof. If thee exists an integrable function g such that [fg show tat ree m tin fade, SK. Let ¥ = 10h be al eabete of NY, sn let be the counting ‘measure on X. Show that belongs 10 (XX, i and only ifthe series 5 fn) is absolutely convergent, in which ease fra Sm SL. (fp) i sequence in LUX, X, 4) whieh converges uniformly fon X toa function f, and if ui) < +0, then fren fice50 The Element of mera 5M, Stow thatthe consi ia the Excise SL aay Fall if the hypothesis u(X) < +00 is dropped DIN. Let fy = moan WOeTE A = Ky X=, and wis a Lebesgue rmencive Show thatthe condition [|< g ent be deopped in the Lebesgue Dominated Convergence Theorem, $0. I feL(X, Xp), andif Jisla cto. then th series 5 f(s) converges almost everywese to funtion LX, X.0). Moreover. Jee S fae SP. Let foeLOXA, wh and suppose that Uy) converges to 8 funetion {Show that tof side 0, aon fies = un fila 5.0, IF > 0, thea Morcovg, if 13 a> 0, then e-* < e-*. Use this and Exercise “4M to justy diferenatng under the integral sign and to obtain 51K. Suppose that fis defined on XX [2,6] 10 Hand that the that fr some fo an tin [a0] the functions ~» fx, ti integrable con X, that (etx, exists, and that there exists an integrable finction gon X such that Peta | Oforatl vey; (w)-M(e) = Oifand only ite = 0; (NW + Oe NG) + NO for ally, ve V. condition i is dropped the Fenton Wis std to bea semaoem or poeodoaor or V.-Apored linea spaces nar space F together Sth norm for. 62 xaurtrs. (3) The asst vale fntion ele & norm for the real numbers. (©) The linear space of mtupes of rel numbers can be normed Nolin, cn) = Il ooo od, lage = lg tooo IPE p> Mal M0) = SUP es > Tre Leen Sper ty 53 Wis easy to check that Nand ere norms and that N, satis (), i), (i). Te sameguence of Minkowsk's Inequality, which wi ‘be proved subseauenty that N, eaten Gu. (©) The linear space fof all reavalued sequences w= (x) such aE NW) 2 Iul < 420 J a notmed linear space under. Sinitey,4€1-< p< my the collection fy ofall sequences such hat No) = (3 Jun" < +0 is normed by (@) The coltion ofall real-valued functions defined on an infinite Set X cannot be normed, bu the eoletion 2) ofall Bounded rea valued functions on i normed hy MP = sup lfte «ve ¥ In particular, the inear space of continuous functions an ¥ ~ fo, 8} ie normed All the preceding examples nave been proper norms on a linear space. There are alia seminnvms an «ne The following ae some examples, 63 Exaurus. (2) On the space Rt, consider th sen-norm lee) sup aay lah Here itand only i (8) On the near space CID, 1 of continuous funtions om 10.1] to 1, deine the semvnorm Med) = sup fl] :0.< x & ete ) = Ot wed ont i J) vanish for 0 Oand {0s = (OF Moreover, i IIIs =O then fiw co f(s) ~ Ofor p almost all x. Hence [/] = (0). Final testy seen that properties i) and i) of Definition 6.1 are stised.There- fore | [elds a norm on Ly. oro. Te should aleay be remembered that the elements of Ly ae actly ‘equivalence clases of functions nL. However. it ie hoth convenient and customary to regard these elements as being functions, and we shall subsequently do so. Thus we shall make relerence 10 the tquivalene clas [/]by refering to “the clement fof fy," and we shall write fin place of Ils. THE SPACES 1,1 < p< +0 We now wish to consider a fay of related normed linea pace of equivalence lasses of measurable Functions. 68 Deron. IF 1

Vand (ip) + (ig) = 1. Then fee Ls and Wels < [Pll le ‘moo. Let « be areal number satisyng 0 < « < 1, and consider the function y defined for 1 > O by wise Wis easy to check that p() < Ofor0 << Land 't) > Ofer > 1 [i follows from the Mean Value Theorem of cleus that x0) > el) and tt g(t) = ol) ifand only ifr = 1. Therefore we have Hemsted, 930 1 a,b are nonnegative, and if we let ¢ = 8 and mliply by by ve obtain the ieauality ab" eat (1-0, ‘where equality hols if and only ifa = 6 Now let p and q satisfy 1 < p < oo and (1/p) + (1g) = Hip. Ie follows tha if 4, B ave any nonnegative real nutes, then 4) anc Se® ro ‘Suppose that fe, and geL,, and that 1/], # 0 and Ugly #0, The product fis measurable and (6.4) with A = [/(e/ fly and = RGM tmplies that eel LN, etaie Since both ofthe terms on the right we inerabl, flows from Corollary $4 and Theorem 5.5 that fei intgrabie Moreover, on integrating we obtain Titel, Sp * ich Hider’ reuaty een 8 function in Lis iepbl when» > | an’ nthe ane {ip + (i) = er esalenty. when p ba py. Toe tone ‘ating hielo ste ald Because teeta {iat = te ol stemne nse Teco in pe 610 Cavor-Buneaxowni-Scnuane equal, Uff end ¢ etn 16, eh fe tea nd 69 (fal < fur cits 511 Moowsr's IexauALY. If and & belong to bys p> Ty then f+ Belongs to La and * 69, M+ A eft + PROOF, ‘The cate 9 = 1 has already en tested, to we suppoxe p> 1, Thesum/+ hisevidently measurabic Since Uf Air < sup MUP < 2A" + 1H) itfollows rom Corollary 54 and Theorem SS that /+ he, More over, (ODL AP + ALL APH UAL + A LL AP, Since f+ he Ly then f+ Alt © La since p= (p ~ Nit follows tatSt The Fame of heaton WMH tye Hence mean sppy MSR Ineualiy oat hat Jr tes de cbf fis ama Us + Ales If we teat the second term on the right in (6.7) similarly, we obtain Us AL < LLL + AIS + ly LF + Hr =e + LI + AL. M A= 1 + hig ~ 0, then equation 6.6) i tiv. 14 #0, we ‘an divide the above inequality by 4; since p ~ ply = 1, we obtain ‘Minkowski Inequality ano iis readily seen hat the sce Lis linear sce and tha ort (63) defines a nom on L,. The only nontrivial thing to be checked ‘cre the inequality 6.19) and this i Minkowski's Inequality. We shall now chow that fe complete under this orm in the Following 6.12 Denwmow. A sequence (in Ly is & Cauchy sequence ia 1 if For every positive number € there exists an 46) such that i BBs ina ia ~fhip <8. sequenee Uy) Ly 1 me ‘ergentto fin Ly if for every postive mumber « there exists am Nl) such that ifm > (9, then [f— fl, < . «A normed liner space is complete i every Cauchy sequence coaverges to some clement of the 613 Leon. te sequence (fe) converses 6 fin yy then i @ Cauchy sequence. PROOF. msm > N(f2), then 0 there existe au Mg) such tat st min > MOQ) then 6) funnnite~venne se Ue a sabe (0 sh at He ~ Ae) ané ks sume large, then Jin-nrace Apply Ftou's Lemie to conclude that Jue whenever > Mle) Thic proves thatthe enone Uf) converge to Fi the norm of Ly, uo, ‘A complete normed linear space is usually called a Banach space ‘Thus the preceding theorem coud be formulated: the space Ly it @ Banach space under the norm given in (3). Fi du 4 for xB, It is abo clear that, "he norm in (6.10) is welldefined on Ly ‘sled a esemtillyboanded tune 626 Tinonen. The spue Le iso complete normed ier space tinder the norm piven by formula (6.10), ‘HOOF. IL i clear that. ie» Tinear space and that fle > 0 LO}. = 0, and fofla = lal fle. IF Lfle = 0, then there exns Set © X with (= Osuch that f(a] < Wikre Ny. Ifwe pat ¥~ Ure Me then NOX, wf) = 0, ana a)] = 0 for x4 9. ‘Therefore, fe} = O for almost ll x WS.geLa, there exist se N,. My in X with p(M) = WN) = 0 Vel < te |e <1 Therefore fl) + a0] < [fle + Hele for x€(N,UN.. from ich i follows tht If + gle < U/l + Del 1 senagim ty prove that Ly 1 complete. Let (R) be a Cavey Sequence in =, and let Mt he eet i X with (M)'~ Oy each that Usd] < Lie for x€M,m = 1,2... and alo suc that fs) — Jl8)) < Ue fale for al 26M, m= Ide. Then the sequence (is uniformly convergent wn '\ Mand we et So) sims, EM, =o. sew follows that fs measurable, an tie eaily seen that Lf, — fo 0. Hence is complet ‘oro. GA. Let C0, 1] be the linear space of continuous functions on 10, 1)10.#. Dehine Ny for fin C0, I} by NAN) =O]. Show that Nie a semi-oorm on CP. 1). 6B, Let CP. 1] he as efor and define Mfr in Cf, 1} 10 be the [Riemann intra of [| over, I]. Show that Nis a semi-norm on 1.1). Jy 8 dened for n 3 1 to be equal to O for O< x (1= tiny, to be equal to 1 for << 1, and to be liner for (1 ~ t)2'< x € 4, show that (7) 6a Cauchy sequence ft that it does not comergereitive to to an element of C10, I.(The Lhe of barton 6. LeL be w mran ow alte spe ¥ ad etd be defied for u.veV by due) = Nu 0). Show that dis a metic on N: that is, () day) > Ofor all, € Vi) d(u,e) = Oif and only fw i) 0) ey); Gi) le 0) & la) + ae. measurable function p such that Uf el, 1.) GH. Let X = Nand let be the measure on which has measure Yaa the poi n. (Mure prey ME) = Ze? sme E).) Show that MX) 7 110. Let fhe defined on ¥ by flo) ~ 7A. Show that ‘Felpitand onlyif

0 Show thet there evista set Ee X with (El) < 4 such that if FeX and FOE =0, 000 Lfarly © 6.Q. Let fetyX.Xin), 1S p O, then there exists a set Ey © X with p(E,) < 0 such that FeXand FOE, = 6, then BAF) < «fo(4 The Ermens ofeteration 6S, Let fa be a8 inthe Exercise &R, and suppose that (is 2 ‘Gaveny sequence. IF e> 0, then tere ext a e) > U such hat Fe and y(F) 9 such that L{G91 > 4 for alle F GU. Ife ly, |

0 there ‘exists @ natural number N() such that ifm > N(@) and x€.X, them ‘The sequence (/)couveres pointwise 10 fi for every «0 and x6 X there isa matral number M(c, x), such that ifn > (2), then Mie) ~ 709) <« “The canennn () comergee tM in X with (M) = O such that for every © > O and ve X\ MEere exss a natural number (1), such mat IE 2 MEE, 9), then Lee) - 0) 8 tis obvious that uniform convergence imple pointwise convergence, that pointwise convergence implies lest everywhere convergence, and itis cay scm that the reverse implications donot hold. (Of eourse, {FX conse of only a finite number of points, then poitwite eon ‘vergence implies uniform convergence; ifthe ony st with measure Zero 16 the empty set, then almost everywhere convergence implies pointite convergence) CONVERGENCE. IN L, We now recall the nouon ot convergence nL, which was introduced in Chaper © Weremark that an element in Ly ean equivalence ease of functions which ae eabvalued and whos th powers are integrable. However, by exercising some caution, we may regard an element of Ly os ling 4 eaiaiued wemurabe fonction, A sequence Ue) in Ly = LX. Xu) eomnergen fa 1 10 fF if foe every e> O there ens a natural mimber (0) such that ifm 3 N(@), then U-Ae= {fis ae}” 0 ‘here exists «natural number Me) sch that mya > NCO), hen {fie firanf” < We have sen in Theorem 61M that if (ff Caushy in Ly the hee cits an fe Latch that (f onverge in tof “The rationhip between conver in Zand the ether modes of omergeue tht we have inoue ot s0 close. Ie posible (see Exercise .A) for a sequence (in cameepe uniformly on ¥ (God therefore pointwise and almost everywhere) to funtion fin Ly, We-Sh but not converge fn by. However, If W(X) < 40, tis cannot be the eae, TA Turon Suppose thar X) < 150 and tht (fi speence ‘nL which concergeswnfrmlyon X tof. Thenf Belo to ond the sequence (f)comerge nL, 10. Prooe, Let « > 0 and let M() be such that f(s) — fl} < « whenever m2 Mana EEX, Mn > Nie). then oy Win she= {ise - sara)” < {fea} = sar, 9th) comer of. ono, ‘is posible (ie Exercise 7.) fora sequence (fin Ly to converge Pointwise (and therefore almos everywhere) toa function fin L, but fot converge in even when w(X) ~ tur. However, te sequenoe 4s dominated by a function in Z,, then the L, cmvergence does tke 12 TheoR Let (Us) be a sequence in Ly which conerees almost ‘scecpwneretamessurabefncionf. If thre exists agin sch that 0) [AG 0) =0 for cash « + 0. The sequeine (Je) is sid 1 be Caney tm measure 3) im, alte X Lite) = £00)» nl) = 0 foreach « > 0. 1 (fp converges uniformly tof then the set (ex the) fel 2) pty for slisictly tage n. enc, unifirm convergence implies ‘convergence in measure. is not dificult to show (ore Frere 7D) ‘that pointwise convergence (and therefore almost everywhere con ‘evgsie) need not unply convergence in mesure, unles the space ‘convergence in Ly does imply convergence ia measure. Indeed if Ele) = (we :[ile) ~ fe), then Fintan mas eaten Sine « > 0, fows tat Lf ‘The reader can readily verifvthat Exarnle 74 aka shows th sequence can converge in mare to a function but ol converge at ‘ny point Despite that fact, we shall now prove a result due to IF. Rie that impie tha if sequence (f) converge in weasute tf, then some subsequence converges almost everwhere 10. Actually ‘we shall prove somewhat more than tha, 16 Thome, Let (f) be a sequence of meanrable rea-ecued Frctons which is Cauhy in measre. Then there ts 2 subsequmce which conerres almost ecervihere and in mesere to 2 meanable eaknalued faction. hy O implies that (£0) +0120 The emt of negrion rug. Selet a suncyuence (gs) of Uy) Such that the set = GEN: lesesG) — asl) > 2-4) ie such that W(F) 2 2-* Le Fo= Ufixbs0 that Fre X and (fi) < 20°" ITD J > and xf tten (7.8) 863) ~ £421 < Lae) ~ guste 4-04 [pal ~ ae] Jus given i Tollows that (converges on XFL If we dene f by ‘then (g) converges almost everywhere to the measurable reab-valued Tuntion f- Passing w the fit fn 0.6) at 4», We tMer that Ht 33 kand x6 Fy then U0) = eh < ia

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ky the above estimate shows that (£0 X50) ~ gh] 99) (eX [M) — ef > 8M) sh, Thertore wre X= Ie) 0), 9) < lh) <4 for aj 0 that (g) converges in measure tf ono, 77 Conousany. Let (i) be 2 sequence of measurable rescued faxctons which is Cauchy in measure. Then there isa measrale ral. ‘ealued funtion {10 which the sequence converges im measire. ‘Ths fasion fs uniuely deveined aimee everywhere reoor. We have sen that there ita subseauence(f,) whieh com verges in messure to a function f- To see thatthe ene sequence ‘enrenge in measure, Ober tat nee 7) ~ 1 1809 0 + Ll) — fae i fatwa tat Gre: Ute) —Hla) 2 os {re x: a) ~ Agent > $} Ulver veer fiot> ‘The convergent in measute of (J, {0 1oUo¥s from the relation. ‘SuoD0ie thatthe sequence) am Since 17) ~ x60 = 109) = 101 + Late) ~ at. it Fits that Grex: I0) ~ a0] 9 0) s {re x: 19 - 1401 > $} so tat Ure x: Inte) ~ ato» 3, More X17) ~ at] > a) orale > 0. Takinge = Un, nN, we infer that f= g, 20. ae. 1s been remarked that convergence in , implies convergence in measure In perl, convergence in measure dues wt in come Yergence in ly Ge Exercise 7). However, this implication does hold nen the convergence is dominated, 1.8 Thome, Let) be a Sequence of fnctions in Ly which com erase be meas 10 fad let gb be 0h that Wool <4), ae. Then feb, and) sonmergsin Ly tof. mone If does to fs xi subsequence (es) off) and ane > 0 such that an In-/>© for ken.12 The Emon of bertion Since (isa subsequence of (it follows ee Exercise 7.6) that it converge in memure 10 /. By Theorem 7.6 thete isa subsequence {h) of (a) which converses almost everwhere and in measure to & function h. From the uniqueness part of Corollary 7. it follows that ‘n= Jae. Sioce(h) converges almost everywhere to Jand is dominates by g, Theorem 72 implies that 1h, fl, +0. However, thie contradict the elation (7.7) een ALMOST UNIFORM CONVERGENCE Inthe proof of Theorem 76 we contre a sequence (g) of imeturble rabvelued Tenens which was wifermly somerset on {be complement of ses which have aitariy small measure AL Sst mention th Sounds equivalent to uniform convergence outside a set of 22f0 measure, Outs not equivalent (ee Exes 14) 79 Dunn A seucine (of weasel fos to be almost ifr convereat (0 measurable anton Ff for each 85 Other isa set yin wih (Zs) <8 such that (/)comergs ‘unoriyto,fon X\ Bs The sequence Ua) std foe an almost switormtyCaccy sequence if for every 5~ O there exits 2 at Ein Y vith o) <8 such that (is uniformly convergent on ‘The reader i warned thatthe terminology (ination to ting pleasant) shy at varias withthe eater we ofthe moder almost” Is elear tht almost uiform convergence ie impnd uniform converpence, but it i nt batd tose tha almost eriform convergence doesnot imply this stronger mede. 140 Lev, Let (J) be am abestaniformly Couhy sequence. siformiy ed lst ecerehere tf. moor. IF 6, ft Ee Be sch that (E) < 2° and (fy i uniformly convergent on XE. Let Fy = Un, s0 that eX fod) < 2-9". Nota (9 cones wifonly on KF, = Y\ Band dee by le) limite, 6 Bs =a rok Moder of Comerrnce 7 ‘We observe thatthe sequence (Fis decreasing and hat if F = (VF, then Pe Nand xf) = 0. Ih A, then aye) = RCs FOF a Fy “Therefore. the seauence(e.) converges on all of tn a mescirahe limit fonction which we shall denote by f. If ¢ Fy then f(3) M(x) = lm jx). It olows that converges to fon X\F, so that Ui) converges tof almort everywhere on “To see that the convergence is almost uniform, le > 0, and let bbe so large that 2-0" ce. Them (fy) ) ‘must be contained in fy. This snows tat (/,) converges in measure tof from Theorem 7.6 that there i a subsequence (g,) of (h) which eo ‘verges in measure oa function g and the proof of Theorem 7. actually shows that the convergence is slit uniform. Since (ga) sonvengee Jn measure to both hand g, it follows fom Corolary 7.7 that h = wae ‘Therefore the subsequence.) of) converges alos uniformly o/h ED. 1 floms eo the Theorem 7.11 thi sequence comverges i Ly, then it has a subsequence which converge almost uniformly. Cat versely, it may be seen (see Exercise 7.K) that almost uniform oon vergence doesnot imply convergence in Zin general, although it does ube convergence is dominated bya fuetion in apply Theorem 7.2), ‘One of the consequences of Lemma 710 is that almost uniform convergence imple almost everywhere convergene. In general the2A Mh Smet of ation important fact tha if the functions ae reabvalved andif wk) < + ‘hen almost everywhere convergence doer imply almost uniform 7.12 Gonos THEOREM. Suppose that W(X) < +20 and that (f) i sequen of measurable rel clued fanctlans which omerges aes cexeryuhere on X10 a meanurable reakealued futon f. Then the sequence (f) conserges mest wiformly and in measure tof n0oF. We suppose without loss of generality that (/,) converges at every point of L107. em nen let Elm = O {rex ies) - foal > Lh, 40 tha Fn Bones to Wand Fm) © Elo). Sine fe) + fs) forall re X, i follows that, Aeon = Sine HX) < 40, we infer that p(E(n))-+0 a8 ne to. If 2 > Osbt de seh that (Em) < 82" andl E, = Uses Eat, so thd Bye Nand p(Ei) =. Olnrve haitx9 Ethene En, so that, ve0 -p0- for all > kx. Thereore (f.) is uniformly convergent on the ccompemeat of , eee, tis comenica t have tbl indieaiog the slain between the various modes of convergence we have been dtcusing Moding {he den in Reference (1), we present three diagrams relating almost ‘everywiere convergence (denoted by AB), almost uniform com vernence (enoted by 41), eonergence in ly (denoted by Z,) end convergence in measure (Benoted by Af). tix understood that in cussing L, convergenc, its assumed thatthe functions belong to Ep. Disgrars 7.1 pertains tothe cae of «geal meabue spar. A lean 7.1 Geral ease solid arrow signifies implication; dashed arrow signifies that «sabe, Sequence converges inthe indicated mode. The absence ofa atvw indicates tat 2 countereample can be constructed Disgram 72 felntes to the care of a ite measure nace. In vow of Egorat’s ‘Thevtcat two inpations are aged, In Diagram 73, we assume thatthe sequence (fi dominated hy Fiction gin Ly. Here thee impcation are added, ‘We lave it as an exercise to verify that al the implications indicated in these dingrame hold, and that a0 tit anes ee valid Without additional hypotheses,6 The Element of negation We concude this chapter with a set of necessary and sufficient ondiions for Ly convergence, The sealer will observe that tte second and third condions are automatically fullled when the sequence is dominated by a function in 113 Viraus Convincence Taonen. Let (f,) be @ sequence in EAM, Xshe 1p <0, Then the flloning three condiins ae necessary and suficien forthe Ly convergence af Uta © p)concerges to fin mesure (a) for each e> O here sa st Ee X with ol E,) < $20 such tha UPeN and FO Ey 8, then L Ui) For each €°> 0 thre 1 0 He) > 0, such thor f Ee X and HE) < 4), then Jara co fratnem, dee foralinen. ‘roof. It was sen after Defition 7.3 tha L, convergence implies comerpence in measure. The fact tht Ly comverpence of the (1) ples (i) an (i) isnot diel andi ff the reader (Se Execs 6 and 65). We all now show that these thece conditions imply hat (1) converges in to f. IP > 0, let E, be asin i) and lt F = ¥ LF, I the Minkowski Inequality i applied to f.~ fa = Us —Fedta + Saxe ~ faxes we bE Ue {f ion sara oe form,meN, Now let « = du(E,))-™ and let Haw = (x € Efex) Lin, ove spores ta a ae Bah is sh ti Inyo oh Ss when nom > K(@). On combining this withthe earlier ineguality, se infer that the sequence () i Cauehy ang hence convergent iL, Sine we already how that (je) i convergent In measure to J, 1 follows from the uniqueness in Corollary 77 that (.) converges to Fin Ly. an. EXERCISES In these exercises (RB, 2) denotes the rea line with Lebesgue ‘measure defined on the Borel subsets of R. Moreover, 1

0, then its uniformly convereaton the complement of18 The tienen of gration he se(0, However, show that there doesnot exist ast of measure ro, on the complement of whih fe uniformly convergent 7K. Show that the seauence in Exercive 78 converee aloe tniformly bat not in Ly. ‘LL: Show thatthe sequence in Exercise 7.D converges everyeher, ot mot alist uniformly TM, Let f= mye Show that the hypothesis thatthe tii {enction be fit (atleast almost everywhere) cannot be dropped in Eporot’s Theorem, TN. Show that Fatou's Lem lolds if almost everywhere cone ‘erence i replaced by conve 70. Show that the Lebesgue Dominated. Converence Theotem bods if almost everywhere convergence is replaced by convergence in Vili Convergence Theorem 7.13 ae satise. 10, LeU, Xs pDbeafine mesrespacefisanXneaurable ‘ction : = rein Sow tat a sequence Ud) of Xesurbe factions cones in neautetofifand nie ee ae sequence of menial fain emer inst wert to 4 mete enon fan yncontnooe ee tee then te equate (7) comergs inet ere toeel Con ves if not cotnsusateve pam the hee ex a eqns (wb cones tant rye oft uh thal oo) ees bot comets eee ing 18. swift continuo RoR, and if (2) comers vaio" especie, nat ur, nme tof ee {esi ena peas wen tea) Uo pef. Comer if» an any cominaen tee ei Ie space and a tune) comeing uno fad fae it woriy a a tenn to at uh at abet comer in meas (a ene oily o nn sxe topes. 7 1 Mt 14.0) Bea Site menor space a kt 1 ¢ p<, Latte comtianuson Rs Ran aye coat) ee aes Koons tt io) < Kili > K. Shown eae Lalreach fet,” Cones do not wi 0) enh Acne te ene ace chit Flos, ou 2. MU comets 6 fn on te mene pn itp 1 coins sd sats conan) af ace ts i) sss in pr. Comer eon) hea ther is afi meer a setuens Upon ints o/tat uch at ge fdas antcomege el ea UV, tet 1.39) bea arbiry mest ace Le 9 ben io) tere ets K 30 ah tht In) < Kil frareR. Wel nen Fecmrg occa se» docs ot satay oe es « mete ee ss Econ 0 sch a pant Bang oe ity scaminoar and aii Favomeretoy fn Coney dows ot sity) asa ene ssvens Uo) stcrcontren 0 ae ag eek cower ate inastCHAPTER 8 Decomposition of Measures In this chapter we shall consider the possibilty of decomposing measures and charges in vanous ways and shall obtin some very fl rele. Ft we shall consider charges and show thats eharge ‘an be writen asthe diference of two finite measures. We real from Definition 3.6 that a charge on a measurable space (4X) in a reabvali felon 4 dein on the evlgea 2 al 1uQ) = O and whichis countably adtve inthe sense that -de forany disjoint sequence (E,) of sets in X.‘The reader can easly check the proof of Lemmas 3.3 aud 34 to show that f (Esa atoning sequence of ses in X, thea en (0%) = tae, nat (5 2 decreasing Sequence ost in X, then 62 (GF) = Hin a. 81 Denon, IfAisa charge on X, then a set Pin Xis sid tobe pve with respect to Aif MEA P) > 0 for any Bin X. Aset Nin Xe said tobe negative with rept to AF(E A N) < O for any Ein X. A set M in Xis sid to be a ell set for Aif MEM M) = 0 for ‘any Bin X, Deconpston of Meances 8) tis anexerie to show that a measurable subset of a positive sets Postve and shat the union of two postive set 3 poutine ret 8.2 Haun Deconrostmon Tionen, 172 & a charge on X, then there exit ste P and Nin X wih X= PUN, PAN = 0, and such ‘that Pi postice and W i negate with respect fo nooF. The cass P ofall postive ses isnot empty singe it must contain at least. Leta = sup (Ad) Ae P) let (4) be a sequence sm Psuen nat hm 44) = «and et P = Ute, qe Since the union fof two potiive sre postive, the sequence (4) ean be ehosen to be ‘monotone increasing, and we shall assume hat this hat been done. (Clearly Pi a postive set for, since ae F) = EOL) A) =A() 64g) = tn HE AD > 0 Moreover, « ~ fm Ate) ~ MP) < 2. ‘We shall now show that the set W = X'\ Pisa negative set. fact, there isa measurable subset £ of N with ME) > 0.” The set Ecannot ‘bea positive se, fortien PU & would bea postiveset with APU E) > contrary ta the definition fa Henor Fsntaine sete with negative charge: let m be the smallest natural number such tht E contains et in X, such hat ME) < =H. Now ME\ E) = ME) ~ ME) > ME) > 0; however, EE; cannot be a postive st, for then P, = PU(E\E) ‘would be positive set with P)) > a. Therefore EE; contains sets with nepativ charge. Let be the smallest natural number such that EE, contains a set Ein X such that ME,) < Ing. AS before E\(,v £4) isnot a pose set, and welt m5 be the salt natal umber auch that (EU F,) canine 2 tt Ein ¥ such that YE) < —Hiny. Repeating this argument, we obtain a disjoint sequence (E,)afsets of X sch that ME) < wn $aee-$ ‘which shows that I.» 0. IF Gis a measurable subet of E\ Fand(The Bement of eeration AG) <0, then AG) < — tly = 1) for eaciently large ene leading the fat that my i the smallest natural number such that E\(E,U--"U E,) contains a et wth charge ls than ~I/ne. Hence, ‘very measurable bse G of £\ Femur hake NG) > 0, 20 hat BF fs 4 otve set for 2. Since ME\ F) = ME) — (FY > 0, we infer that PU CE £) isa postive set with charge exceeding a, which is a “Therefore, it fllows that the st N'— XP ta negatives for 3, and the dsied decomposition of Xis obtained ato, A paie PLN of meacurahle sets stisving the conclusions of the preceding theorem i sid to form 2 Hahn decomportion of X with respect (0A, In general, thee il be no unique Hahn decomposition In fot if P,N ib Hab decomposition for 3, and if Mea all et for 3, then PUM, N'\M and PM, NU Mare abo Hahn decom: postions for A. This lack of uniqueness not an important mater ‘or mos purposes, however 83 Lown. P.M; and Pas Ny are Hah decompositions for, MEO KY) MEDP MEON) = MEDND. ‘oor. Since £7 (P\ is conned inthe postive se, an in the neane set Ny then (EM (P|) = 050 tat MENP) = MEO POPD. son ncn Wenn) -aen ews ts bapa tt name nti alee er 69 MGA MEND, 9 (8) MEOW, ‘The total aration of i he measur i defied for Zin X by IME) = arte) — ae. in « comequeise of Lemma 83 thatthe pone and negative variations are welldtined and donot depend am the Haba decompo tion. Its ako clear that (84) NE) = MEAP) + NEON) = 4B) — ‘We shall stat this result formally AS Jonoan Decowrosmox Tueonim, If isa charge on X. ti the difernce of two Fite measures on X. In particular, \ i the Sifrence of 4° ana A. Moreover, y A= 4» where Kyw are finite measures on ¥, thon as WE) > CE), ME > UE forall Ein X. raoor. The fepieseutation A — A*—A~ ay aleady bee clade lided. Since w and» have nonneeative vale. then A) = MEAP) = MEO P)- HEMP) SHED?) < HE) 2°(B) HE) forany Bin X. azo. We have sees, in Lemma $2, that ia function fs integrable with respect toa measure wom X, and if is define for Ein X by an 1) = [44 then A i a chars, We now identify the postive and negative sation of 86 Twonam. ffbelongs to LX, Xn), and is defined by euaton then A", A", nd | re piven fr 1 in X by ae fi pre, WUE) = faa, Me) ~ [ie @The Bnet of nterton rroor Let Py = {ee ¥=fle) > 0) and Ny ~ (eX: fl0) <0} Then X= P,UN; and FON, = 9. Ee X, then it lar that MEM P) > 0 and MECN) <0. Hence PH isa Habn decon- Poston for A. The statement now fll. gun, was seen in Covllary 49 Wat ifs « nonnegative extended rea ‘valued measurable function an isa measure on X. then the function A defined by equation (Be) is a measure on X. There is very Important converse to this which gives conditions under which one can express ¢ measure as an integral with respect 10 p of 2 non negative extended seabvalued measurable function. Tt was seen in Corollary 4.11 that a necessary conliton for this representation is that ME) = 0 for any set £m Tor which ie) = 0. It turns out fie 87 Dernwmon. A measure on Xis sid tobe aboltelyconinoous respect to a measure pon X it EEX and lB) = O umply that YE) = 0. To thi caze we write Hep. A charge 2 in abuately ‘oatinwous with respect to a charge «in ease te total variation [i of| 2s absolutly continuous with respect ofa The following lemma is useful and adds to our intuitive under. sande of absolute continuity. 88 Lota, Let A ond pe frie meaner on X. Then AS pf ond ony if for every « > O there exit @ Xe) > O such thar EX ond HE) < imply hat ME) < R008. I ths condition is satisfed and p{E) = 0, then XE) < € Conversely, suppose that there exist an « > O and sets EX with

© Let Fy =Ursa Fe 90 that ED < 3 Ay) > €. Since (Fi) decreasing sequence of metsurable al st a(R) = i Menge Ais not absolutely continuous with respect to aso, 9 RADONNTKODYN THEOREM, Let A and u be finite measures Then there exist a fantion f in M*(X, X) sch th 8 ME)= f fam, ed Moreoe, te fnctonf is wiuely deine alos everywhere. "oF. We shal int prove Theorem 89 unde he hypotess that 200) 20 pl) at faite, We > 0,1 (0, Nl) be a Haha ecomposon of for he charge d= an WKEN, comider the measurable set ARN cm mle a ny eis ear tat he set A, ae ola and that 809 = Ua, Ie follows that v= MONT NUS = Nok FY Pe. Hence if £is a measurable subet of 4, then ES Nike) and B= Pk — 1) so at en (= Deal) < NE) & ke. DebneB by B= So that 8 PUke) forall ke N. This imple that 0-6 bel) nad obs tat [ame nes [ners mar [pt ets € fates et, Me for al Fin XI we let E be the sts wheve the integrand i pone and negative and combine, we deduce that Jin maceuan Jal 62-*90, whenever m > n. Thus the sequence (f) converges in mean to a funtion, Since the f beh Co M's cleat from Uheotem 1.6 that we may require that fe M™. Moreover, [poe fra s fin-siae « fin sien soa we cod on (8) a apy etm fae fra win fae | for a 2 X. ‘This completes the prof ofthe existence asetionof| the theorem inthe ete where both Nand rw Bnitemeasutes Inde spo hat fe ad tat May fs foe fora Ein X. Let E, = (x: te) > Mat) and Ey = le: fs) < Ke), nd apply Corollary 410 infer that fi) = 3) almost everyuon ‘We shall now supmine that A and are eine and let (2) te oe increasing sequence af ete in ¥soch that AOD 0), fothat 40.B~ 0,and ¥ = AUB. Define 4, andy for Ein X by ME) = MENA), ME) = MEN). Since w(4) ~ 0 it follows that 4p. To see that Ay « py observe that if 6) = 0, then freeo. $0 that gs) = Ofor malmost all x in #, Hence 47 8) = 0; sine Aen AE) = MF ny =. (Clealy = 3, + 20 the exicene ofthis decomposition i firmed ‘Tocstablish the uniquenes ofthe decomposition, we the observation mat eisa measure such that a-« py and jy thene = 0. QED. RIESZ REPRESENTATION THEOREM ‘Ax another application of the Radur-Nikodjm Theorem, we shal Prevent theorems concerning the reprewntation of bounded. near functionals on the spaces Ly. 1

0 for allfeL, for which > 0) 4413 Leow. Let G be a handed timer fnctional om bys Then there exist two positive bounded linear functionals G* > sack thot 8) = GY) ~ FU) forall feb, fmoor. IF £0 deine G*UN) = sup (G8) :£6Ly, O68 ands 30. 0 es ef He) + Ole) = Ge + 5 OK +19. ral and Hider’ 9 = pip ~ 1)Ihe Bement of segration te suprema ove al such yn Ly We obtain G*Uf) + "Uf < GUL + I). Comenely, £0 Ck Sf. t fork ge — pth f0) ang, = inf (hf). Wfollowsthatg, +, = handthat < g,< f, ‘Therefore Gth) = Glas) + Gs) < G°Cf) + Ga): sine this hols focal sh re Ly, if that OR + CU) +oU) for af Ero that f, > 0. fis an arbitrary element of Ly, define ON =O) G0), It is an clmentary exercise to show that G* ia bounded linear funcional nL. Further, we define G~ for f¢ Ly by “ON= 6-60), so that Gi evidently a bounded neat functional, From the defini tion of G* it ie andy sen that 2" is pone line Functional and itis obvious that G = G* ~ G~. oan. 4.14 Riese Remasunranon Taowes If (X,X.1) is @ oie meatre space and G is abounded linear factional en L(X,X,p), then hse ext gin Ln y X, 1) such hat equation (10) hos or al} La. Morgover. Gi = [el ands 2 0G na posite linear feo rrcor. We shall fest suppose that '¥) < anand that ie postive Defined on X to R by ME) = Gly); early 4®)= 0. If (Eis an Increasing Sequence X and & = J Ey, thea (ys) converges pointwise ae Since (X) < ci fllows fom Corollary. thatthis sequence comers in, t0 x1. Sine 0 NE) ~ NE) = Glen) ~ Gh.) = Glee ~ x5.) < 161 baa ~ xed Ie follows that Ais a measure, Moreover if Me X and p(M) = 0, ‘hen AA) = 0,40 that 4 ‘On applying the Radon.Nikadfm Theorem we obtain «nonnegative measurable function on X to R such that tu) = 8 = fuses Deconosiion of Meaners 91 For all Ee X. 1 follows by linearity that e)= fords forall Xeaarabe simple fanctions fica nonnegative anction in ,, et (pd) Bes monotone inteasing sequence of simple functions converging most everywhere and in Le to, From the boundedness of G iti sen tht G() ~ lim ip). 1 biome Convergence tneoren at Gin= ip fnat~ fas ‘This relation holde for aehitrary fe, by liner. ‘We now tura to the nite case. If X'= JF, where (F.) is an Increasing sequence of sets in X with finite mesure, the precling Argument yields the exteee of nonneplive ution g SoC that GU tn) = [farsede for allfin Le. fm < m tis read seen that es) = (0 for slmost alli F,. In this way we obtain a function g which represents G If @ i a arttary doundes tinear functional on Lemna 813, shows that we ean write ~ G* — G, where G* and Gate bouided pottve linea functionals. Ifwe apply the preceding considerations to G* and G", we obtain nonnegative measurable funciont ¢* = hich represent G*,0". we set gg" — 6, we ObtaN the representation eu) ain free for alle Ly. 1 will be left san exercise to show that 1G] = Lele 4:15 Russe REPRESENTATION ThmoREM, If (X,X,5) 6 on arbirary ensure space and G is 0 bounded licorfanctinal om EX. Xn),

1i(t-2) Here fiat KX oie of wih al he fan, Let EeX with £7 Xy = 8 then [fe A taely = (E+ er ED" bon 13.0. Moreover, since OU) ~ 4 tae) < 10h 8 Hale tae tna «wt + ey =~ dh fet +0 and hen dive by «+ 0, ge forall in N. er afey = 1 Noten < joy LP HME” = ‘we appiy UHopiars mae a 1-0, wer tat Gas) = 0, for any Fe inthe omplemen a he who et en Thereof is any fection in, suc hat Kym ve ¥ 1/00) #0} = 8. flows tat Gy) = 0. on Xy whic represent, nd extnd eto al of by reauting that fvansh onthe compen ff ahi ay we en he eed function, ‘azo, EXERCISES 8.8. ICP is a positive set with respect to charge A, and if Ee snd E = P, then £15 postive with respet to 8B. IEP, an Mate postive sets fOr & charge A, thea Py UP is positive for 2. SC. Aset Min Xisanullsetforacharne Aitand onlvit (My ~ 0, 8D. IFAs charge on X, then the values of 4 are bounded and AE) = sp (UA): Fs E, Fe), 2) = =n HE): Fs E,FeX) SE Let pasa and be measures on (XX), Show that 1. Let E,= (x: eC) 3 clGIl, and define (0) tm he il when als) > el] and to be 0 when 14 E.. Then IGE) < OU) < IoIE), {EAI 4 sommaicton unless (E) = 0, Infer that [| < FG) 8.U. I satises (10) forall fe, show that ey and that 161 = isle 'S¥, Ihe Riesz Representation Theorem forp = 2 canbe proved by some elmentary Hilbert pace geometry (se [3h p. 249-50, Wena show that this result can be uted to prove the Radon Nikon ‘Theorem. We shal limit our atetion to finite measures vu with hem Lee at wand show that Gy) = [fa defines postive tinea functional on LX, X.») with norm at most ge LAX, X,») i such that, C= fee, setcxn. then we see by taking fv xe, FX, that O.¢ (2) « 1 for manos all, Moreover, p(x: g(0) = 1} = 0, Sincer'= Ag. we have froma frase for all noaveyaive he La(X,%,¥) and hence for all nonnegative measurable. Now take bn. sy woCHAPTER 9 Generation of Measures Inept ie eft st tet reyes tem sooo Mens steerer pus wags oar ons Sora ite so as Fee eage on Tran en hg apn ine ee evainamarh ad ehroprofonsae( eh eee Poh tnd sta) Skene st on Fah wb sel inte We di age wt ‘Srey tT han Yenst » See ree et tite ‘ign i a ee ete ea al Pfs ch ne oie ne Cath (asbh tva), cata, Monet te ce in mae nan et Fs ‘occa otha Fumstsoatsn trae ob = 21 Done fey da et i ea seer tn : 3 med Ter sont dee te tn et oa Inger om en pieelsatncnntetionetrta wcren Tin cen a eS Soro cormnee sma dtl dank Shomer ee Jc eee 8 0,4) = 5 en mom asm rt eas care emmy de 23 tau so a fe oft of form obec mel hfe mls fat of sata ent aescnapntnee mia oomaaTe Suonorianiaccgemyae im, eee Gite Sima Weal cern aceite a carp as Me fe om 93 (o.t= fhe. Where the intra fo, ace Becca fene dd be ny fit collection of such intervals and suppose tha ees ere rs (This may cequite a renumbering ofthe indices, but it cam always be suum) Now . Zoo = 5-9 0 be arbitrary, and let (6) be a sequence of postive numbers with Se) < e. By renumbering, if necetary, we "Now consider the open intervals (3 ~ sind +40), N= Cub te, />2, In view of (22) follows that the open sts: ¢N} form a covering i, Taser, is inert covered 0 finite amber ofthe intervals sav by the interval To, Iu. RY ‘renumbering and discarding some exta intervals we may ase that Ce ee ee ee 1 follows from this chain of inequalities that boacbe red ae Sty ea- on 0. for Bs X. (9 YAS B, then (A) & 4B) () BEA, ten eB) = He), (2) UR) it a mquonce of bse of Ky then Oa) 0 Be sciary and foreach m choo 2 sequene (Eq) of Stn Asch at ashe ant Sut 0 be arbitrary and let) be erence in A soch that 4 I F and = is wfmeasurable, On Saocwmte Since 4.9 £ SU (F,0 B) and A\E SU (FE), it follows from Lemma 9.) that mons Suhne. aa\es Safi 6. mune +a\n < Shon Wien ern of Measures 10 Since es arbrary, the desired inequality i exabished andthe set & belong tot aro “The Carathéodory Extention Theorem shows that mesure 09 algebra 4 can always be extended fo a measure yon 2 algebra 14° containing A. The ealgebea 4° obtained in this way is auto- BEF, then Re A* and gH) = 0. To prove thi. kt A be an arbitrary subset of X and employ Lemma 95) to observe that H(A) = BE) + mC) > wd OB) + wCA\ BD: and, as before, the inequality HO) #A.B) + HALA) follows from Lemma 9.0). Hence Bis u*-measurable and 06 2) < HME) <0. ‘We shall now show that in the case that is a ite measur it has 4 unigue extension to a measure on A*. 9.8 Haws EXrESion Ttsonen. Suppose that pisa finite measure lon an algebra A. Ther there exists @ unique extension of 10 @ measure noon, The fact that j# ghes = meature on 4¥ wat proved ia “Theorem 9:7 even without the -fnitenes assumption. To establish the uniqueness, let» bea measure on 4 which agrees with» 00 "Fst suppose that ye and therefore both and» ae finite measures Let be any set im A* and let (E.) be a Sequence in A such that ESUEs. Since» isa measure and agres wth «on A we have ae) <0.) <5 ara = § aro ‘Therefore HE) < #%E) for any Ee". Since p* and var aditve, °C) + AYE) — AB) 1 AE) Sie the terms on the right bhand side are rite and ot greater than the coespanding terms on| theft side weinfer that *(E) = 4E)forall Be A. Thisestablises ‘ne unguesess wnen is annie measureYOU The Element of tert Suppose that etme and let (4) be an inreasing sequence of Sets m4 with E,) < 40 and X=U Fy. From the preceding Paraaraph, MEN Fy) = HE 7) foc exch Ein A. Therefore BCE) = tim 9 otha and » agree on 4 gen. ‘We now return to the considerations that prompted the foregoing ‘stemsion procedure, namely, to the generation of & mesure on the Teal lie Rtn Lami Q2 we enw the the at Foal it wns ot Sets ofthe form (01, (0.8), (0, 420). (-20, 42, was an algebra of subsets of B and thet the length funtion / gives a measure on this alpebra F. If we apply the extension procedure to and F, we generate a measure space (R, FP, I"). ‘The ealgebra F* obtained in this construction i vabed the wllsion of Lebesgue Imeasrable kts andthe measure /* on F* ie caledLabexpte mencre Although we sometimes wich to work with (Ry. ‘more convenient o deal wath the smallest ealgeba containing F than with alt of Fn ie enily seem that ee sales «aca scanty the colletion of Borel ses, The eetiction of Lebesgue measure 10 the Borel sets is called either Borel or Lebague measure Lest the ‘ader fs that rcstritng to B weakens the theory by substantially Fesening the collection of measurahle ete and fantins, we call tention to Exercise 9.K where itis een that every Lebesgue measurable Sets contained ina Borel measurable set with the same measure, and very Labegue measurable funtion i almost everywee eal br Borel measurable function. {mah te tout nat vr sue of the el we aha ate bat thi notte ee." For the eosin of ey whch oes Lebages ‘everest Boone P36 Sometimes it ¢ more cnmveniet te ee mon af the magitde ofan interval ether than length. This canbe treated a follows, Let {bea monotone increasing function on R to R so that x < y implies that g(s) < 4G). In addition, we stall snsine that gis entinaous ‘on the right at every oint. so that Ho 1 ae he Sins mene ab flows at im na) both exist, although they may be ~00 or +00. For such a fenton we define lb) = 6) — 0), sn((-2,0) = 8) ~ im ste, We farther dese ny on the algebra F of Bite disjoit waione of sec sets 10 be the enesponding sums. Ite reader wil check the detail Of the proof of Lemma 93, he wll ee that it can be easily modifed to show that. Besa nite measure onthe algebra F. ‘Therefore, thie mance hae nique extenion, which was denote by algebra ofall Borel subsets of R. This extension ie often refered to as the Boreh Stes mensare generated by g. (Of course, by applying ‘Theorem 9.7, py has an extension to a complete o-lgcha which contains the Borel sets. This extension i called the Lebeseve Steltis measure generated by #.) LINEAR FUNCTIONALS ON © ‘We shall conclude this chapter by showing that there san intimate correspondence between Borel-Stckjes measures on a finite closed Imtervat J = [2,0] and boundea postive linear functoaas on the‘Banach spce C() of al continuous futons on. Jt R wth the noe 6 Ll = sp foo) sxe}. ‘This result, due to F. Riesz, hasbeen considerably extended in many ietions. Indeed, ts taken asthe point of departure forthe develop Sf nun uf inieoaion by many wuthor wn preter regard de integral as a fnear Funetinal on eqacee of otis Functions ‘We choose to take avery concrete appreuch to this theorem and offer 4 proof which is eosely parallel to the Riemann-Steljes integral ‘veri presented in Reference I}, pp. 290 294, 99 Ruse RereasenrAnON IEOREM. If U Us @ Bounded postive linear Sarena om CL), then there exit a mesure dain om the Borel abet of Ruch that on an [ye seat me). More hem Gof Gea PROG. I ic such that a < 1 band w isa sulisionty large natural npmbe, let be the faction in Cd) which equals fon (a, wich eqUals 0 on (FF lfm, 6], and which s near on (4+ a. Ir nm and xed, then O'< qyalt) Spal) b, we sete) = Glo) where sa) ='Hforall J, Tes ead seen that gieamonotone increasing ‘We claim that gis continuous fom the Waht. This is clea itt < a ‘ort > b. Sappose that rea, 8) and e > O and It n> sp@2,101e-9 beso large tat 10 < GH.) <0) +e Gomrtinnof Meas 1 este runcion In CL) whit equals 1 oe (ay + 9-7 whic sale om (4 9°! — 9°.) and whic sina on mirth mt, tnen an exercise in anatyle geomeuy shows hat [4 — caso < Gina + (B61 2x01 3 sothat 0) < a(t + 9-9 <8) + ‘Actoring othe Hat Extension Theorem there exists @ mesure y fom dhe Boned sulnets of R sia that 7((oAl) ~ £0) 400). Tn particular this show that {F) = 0, FAT =O, that alesd) = Xe = 1A) = 0% and that 1G] = [G6n)1 = (8) = 0). Ie remains o show that eyation 9.9) hkl fox fia CU). The = 0, fol enatinnae an tere ic 2) > O auch that if JO) for alm. Show that a subset E of Ris Lebeigue measurable if and only if Er Jy is Lebesgue measurable foreach m 9.6. 1781s Lebgue mesuns there exists an apen set @, > A sch that, 144) < IMO) < 184) + 9H. AFH i Lebeogue memunabie subset of Ry iF 2 0, and if Re I= (an + Hen there exists a compact set KB such that 11) < INS) 0, there exists an‘open set whic is the union of a hme numberof open intervals such lea ~ nels IMA) — MOI <« Monover i> Othe it into fh at teeth tsa 9K. Let A be a Lebesgue measurable subset of R. Show that there exists a Borel measurable subset of R such that 4 = B and such that (BA) = 0. (Hint: Comiderthecatewneres"(A) < 40 first) Show that every Lehecpue mencrahle eet i the ion of = Bore! measurable st (withthe same measure) and a set of Lebesgue 3, this asserts that Bore algebea. Ave consequence of Exercise 3.N, we infer that every Lebesgue measurable funtion is almost everywhere equal to Borel measurable function, ‘iL A g belongs to L{R, 8,2) and « > 0, then there exists a con- ‘inuows function f euch that le-fii= fief ce. 9M. If Bis the Borel alacbra and Ais Lebesgue menare on show that () (G) > Ofor every open set G, (i) MK) < +0 for every compact set K, and (ut) Ax +) = AE) for all Be. (Here va Fo (et ysyed}) DIN, Let X bea st, A an algebra of subsets of X. and wa messire fon A. If Bis an arbitary subset of X, lt (B) be defined to be HB) = inf WA): BS AeA) ‘Show that '(E) = W{E) forall eA and that w§(B) < (8). Moree lover, u* = pin ease isthe countable union of sets with finite pris. “tay! swuniabiy sive de sense OF 9.46)? 90, Tat Yhe an uncountahe st snd let 4 be the collection oft E which are either fnite or have finite complement. Inthe former ‘ase let (E) =O: inthe latter, let p(E) = 420. Show that pis measure on 4. Calculate me ower measure 4 coresponding to Definition 94 Calculate the st fiction "defined in Esercie 9.8 ‘Are they the same? 9P. Let X'be a set and let be defined for arbitrary subsets of to Fm gob) KEVF CE) + AE, when Eand Fate subsets of X. Let S'be the collection ofall subsets Eof X such that oA) = OB) 4 AED forall 4 =X, IS #0 itisanaleina and wis adive on S 9. Trey haem that the collection $ in Frese 9 i empty. For exampl let (2) = 1 forall Es X. AR. Let Xand A be sin Exercise 9.D, and let 4, be the algebra geverued by A. Let be the couning measure on 4) and et amin Show that p= yy on A hit not on 4, (Hence the -fniteness hypothesis in Theorem 9.8 cannot be dropped.) 95. Letg bea monotone increasing and right continuous function eek iw. Mpyisdeined wt ead Of is section, how th yo teatro the sehen F. 9. Consider the following functions defined for x R by’ (a) 2s) = 25, 0) eae) = Arctans, 849 =0,4<0, Ogle) 0,x<0, stan, or Desctibe the DoxelSicjes measuics determined by ese functions, Which of these measures are absolutely continuous wih respect Borel measure?” What are their Radon-Nikodym derivatives? ‘nich ofthese measures are singular with respect to Hore measure? Which of these mensures are fie? With respect to which of these measures is Boel measure absolutely continuous? 9.U. Let u be a fsite measure on the Borel sets B of R and let #2) = H{(~2, 3) for £6.R, Show that gis monotone increasing fan right continue, sd Ua H4@.0) = £0) ~Worn ~0 ay ILis Zmeasurble, then fie Yeeasurabe, Similaly, > ix Xe neasrable ano. We interpolate an important result, which soften useful in measure snd prolly theory, and which wil be used below. We recall ce Exercite 2V) tha» manatone clas ix nonempty ealestion M of ste Which contains the union ofeach increasing sequence in M and the mersetion of each decreasing sequence in M.Itis easy (ee Exercise then the algebra $ generated by A contains the monotone clase MF sroerated by A. Wernow show that if Ais an algebe, then = M. 10.7 Monotone CiAss Lows, If Aiton algebra of sets, then the algebra generated by A coincides with the monotone class M generated hp "R008. We have temathal that Me $, To obtain the opposite incision it suffice to prove that i an alas. I EeM, define M(E) to be the collection of FeM such that E\E,E0F, F\ Ell belong to A. Evidently 9, Be ME) and itis Proc Mesures M1 readily sen that MIE) is monotone cas. Moreover, Fe ME) if fad only if £e AAT) 1 E belongs tothe aleebra. A, then itis clear that A= MCE) But since Ms the smallest monotone class containing A, we must ave M(E) = MiorEinA. Taerefor, if Aand Fe af then Fe MUE). any FeM. Using the minimality of M once more we concise tht (M(F) = M for any Fe M. ‘Thus M is closed under inersctions and folate complements. But since 6 Mit pin that M isan algrbres since tis 2 monotone cass, is indeed 2 algebra ero, Te follows from the Monotone Cass Lemma that fa monotone class contains an algebra A, then it consis the algebra generated by 4 108 Less. Ler (X,.X,p) and (YY, 0 be exinite measure space. bez Kha kpc (02) fda 0 = HE se nc oa [reno [oe ‘roof. First we shal suppose that the measure spaces ae finite and It M be tne coecuon ofall £€Z for which the above assercion| ie teve We shall chow that MT = Z hy demonstrating that Mis a ‘monotone clas containing the algebra Zp. In fact, if E= A x B with 4eXand Be ¥, then 9) = 1404), £0) = DHA). [fa piony~ [ra Since an arbitrary element of 2 can he writen ata Bite disjoint union of rectangles it follows that Zp © M. "We now show that Mis a monotone class. Indeed, tet (Es) be a monotone increasing eguanee in M with non K Theefore Lo) = 4(Ee)» 8600 = WCE")[ea ea [a eis ear thatthe monotone increasing sequences (/) and (g) converge lw Ue fancions fad g defined by JO) = ME), sty) = ED, | we apply the ac that 1 measure andthe Monotone Convergence — [rene fat so that EeM. Since «is fnite measure, it can be proved in the same way that if (Fina monotone decreasing sequence in M, then F= (Fy belongs to M. Therefore M isa monotone class, and it follows fom ‘the Monotone Class Lerma that A= ee measure spaces are etinte, let be the mereasing union of @ sequence of rectangle (7) with o(Z.) ~ + and apply the previous argument and the Monotone Convergence Theorem to the sequence (NZ). ‘oxo. 109 Towsuu's Tutones. Let (X,%,4) and (Ys 2) be ofirite measure spbces and let F be a nonnegative measurable faction on 7m Xe Via Thon the fmctons dened on ¥ and ¥ by cvs) Far fades ata) J Pra, are mean nd any [ie [re few Incther symbols cog (fr) acm fra f (Lea) ‘oor, I Fis the characteristic Function o st in Z, the asetion follows rom the Lemma 108. By nett, the rset thetein bol for a measurable simple tuncuon. It isan aronrary nonnegauve canusabie function on Z to R, Lemna 2.11 imple shat thee ie 2 Seauence (®,) of nonnegative measurable simple functions which convergesina monotore increasing fashion on Zio F. Ifpyand yy are ‘tine by (oy wi fad, Wor [ (ora, sce meteurahle and manntone inn Ry the Montane ‘Convergence Theorem, (ps) converges on X tof and (,) converges on tog. Another appiaton of the Monotone Convergence Theorem Supls chat Jj 44 = tm voce = ti foot win sare fea “The same theorem aio shows that [rent [oa from which (105 follows eee. 1 wil be Seen in the exercises that Toneli's Theorem may fail if we 4rop the Aypotness nat # is nonnegative, o if we drop the hyp “Tonel's Theorem deals with « nonnegative function on Z and alms the equality ofthe integral over Z andthe two erated integrals iece Aheve integrals are finite or equal (20. The final result considers the ease where the function i allowed to take both postive fad negative values, buts assumed tobe integrable 10410 Fumrw’s Taonea. Let (X,X,p) ond (Y, ¥,2) be efinite space and et the meaure on Z = X'% ¥oetheproduc of wands. If The fncion Fon Z = Ye, Ya Bis iiegrabl with respect 19°. ther ‘the extended reab-ealued functions defied ames everywhere by won a= [ am ann re120 The Elemento Iteration hac te ind «109 [rae [rim [em Inter symbos, wow [ff rae fran f [fra] Proor. Since F is integrable with rapes t0 x, its potive and egatve parts F* and Fave itegabi. Apply Lonel’s theorem {o F* and F to deduce that the corresponding f* and f~ have ite imtegrals with respect to w. Hence f° and f~ are finite-valued peamost everywhere, so thei deren fis defined yealmost every: where and the ist par of (108) cles. ‘The send patty sn Since we have chosen in Chapter 5 to restrict the use f the word “integrable” to real-valued functions, we cannot coneude that the Functions fx dened in (108) ae anegable, However, they are Alnor evérytere env tn intern fureions 1t wll be sen in an exercise that Fubin's Theorem may fli he ypotnets that Fis integrable is dropped EXERCISES TOA, Let d's Nand BS Y. td ur Bivempryinen a x # = 9. Conversely if A x B= 0, then citer 4 = @or R= 0 VOB. Let Ay 5 X and BS Y,j= 1,2. IAs x B= Ae x Ry then 4, = Ay and B, = By IOC. Let dy © and B= Yj 1,2. Then (ds % BYU (As Be) = [Ay a) = Bi) UAL AD) x (BU BAU Ug A) Ba and the sets on the right side are tually disjoint. Pract Meares 21 NOD. Let (X,X) and (Y, ¥) be measurable spaces. If Ay eX and Qe canbe wen ste db in ofa it nb of eangin7 TOE Letty and Be.) =.2, Then (ds BO\ (da Ba) = Cds An) (BBE UUs) 2) (Ay BY Ay B= (A AD) HUB OF. 1 (R,B) denotes the measurable space consisting of real rumbers together withthe Borel vet, show that every open abet of Boe R belongs to Bx B. In fact. this algebra is the oalaebra ‘sterated by the open subset of RR. (In other words, Bx Bit ‘he Bore algeea oF » K.) 10. Let fand g be real valued farations on X and ¥,rerpectvey: suppose that fis Xemeasurable and that gis Yemeasurable. I it ened for (x,y) in X x Y by Hex») = fle) (9), show that his 2x Fmenwre OM. 1 Sie sabest of Ret (8) ~ ((m JER «Rex ye Hh Ee B, show that (E)¢ B x B, Use this to prove tha if fis Borel measurable fneton on R to , the the funtion F defined by Flay) = fia ~ 7s weasutae with tespxt to BB. OI. Lat Fand Fe subsets of 7 = ¥ x Y, and let ve ¥ Show that (E\ Fle = E\ Fe. WCE) are subsets of 2, then (UE. =U Ede 104, Let (X.X.1d be the measure space on the natural numbers X= N with the counting measure defined on all subsets of X= N. Let Yo ean abr ene space Stow A et ‘belongs to YT tis case there isa unique product measure =, and mey= ney, fez.1 The Elona of Iron [A function f on AX Yto Ris measurable if and only if each seston fais Fmcanuable, Moreover fis integrable with respect to» itand only if he sree § fine Lee Sil se]- [1 3a) 1K, Let Xand Ye the unit intent, 1] and et Xan ¥ be he Sorel abs of (I). Let be Lebesgue measure on Xan let be tne couningmessice on ¥. “.D = (2.9) = show that Dist Ineeorbe suet gf 2 = 8» Youth Jao a # fiona, ‘Hence Lemma 10.8 may fil unless both of the factors are required to be oii, "ul, If #18 te characteristic onetion ofthe set D inthe Exercise OAK. show that Tonall's Theor may fail lee both of de fects ae required 1 be e-iite ‘Show thatthe example considered in Exercise 10.) demon: cates st Tonel's Theorem holds for arbitrary (Y, Y,») whea (XX. ais the st No natal asmbere with the counting measure on arbitrary subsets of W. TON, If ag, > O for m, 6%, then 100, Let aes De detned for m, me N by requiing that oye = 41, Aa 40 the hypoth of integrability in Fabs Theorem eannat he rope Proc Mesures 12 10P. Letfbeintegrabeon(X, X,n),letgbeintegableon(Y, ¥.0, and deine on Zby Mx, 9) = J0) 8G). Meriva product of and», hom that in inte [aee=[f sallf 04] 10Q. Swppine dat (4, Xs4) and (75 Ys) we erie, an E,FoelongtoX x Y. IME.) = 4F forall xe X.then-(E) = nF). JOR. Let fand g be Lebesgue integrable Functions on (R, B) 10. From Exerese 10 it follows that the funtion mapping (x, 9) in Slo yx) b wcasuabic wilh expect wo Bx B. If 2 denies ‘Lebesgue measure on Bute Tonll'« Theorem andthe Ft thet fue aie = f seoi aes) tosow tate ao eed fr Ry no)= [so ne0000) is inte almost everywhere. Moreover, Jone « [fina [fier] ‘The function h defined above is called the conolton of fandg and is vs denoted by fg. 1S. Let X= R, Xe the algebra ofall subsets of R and let 1 be dened by p(4) — 016 ie countable, and pla) — 4 IFA is ue countable. "We shall construct dstint products ofp with itself (@) If Ee Z =X « X, define n(E) = O in cae E can be writen se tne union Z = GU #1 of oo SES IZ soca that Une x-PrO.TUON Of fcnuntahle and the preiction of Hie countahle. Otherwe, define m(E) = $00. Mis evident that w i a meature on Z. If (E) = 0, the union ofa countable st of ines in the plane.PA The ements of Inearation © HEC Z, define 42) ~ On exe Lean be mii a the union £ = GUMUK of three ses in Z such thatthe soroection of ‘countable, the y-projction of H is countable and the projection of K fon the line with equation y= x is countable. Otherwise, define ME) = m0. Now pie n meine of Z, and if {E) ~ 0, then Eis ‘contained in the uaion of # countable set of linc Show that 4% B) = MA) AB) forall A, Be X; ence pis «product of with (@ Let B= esx 4 900); show thet Fez However, HE) = 0, whereas (E) = 420, References Bare, RG The Element of Rel Anais, John Wily and Sons 164, ‘atice, Vo. 1 (958. sun 7 ourbak, N Eldmens de MarRémare, Liste Vi, Indgrain, 1952, 1956, 1959, 1963. a - ‘Dunford, N, and. 1 Schwarz, Lier Operator, ar scence, New York, 1956 Graves, L Ma Theory of Function of Ral Variables, Second edition, ‘MoGra iti New York, 1986 Halmos, PR. Measre Theory, D. Van Nostrand, New York, 1950. Meshare, Ei, ntepraton,Pieeton University Pes, New Jee, Munroe, MLE. Inroduction 10 Meeure ond Integration, Addison: "Westy, Cambridge, Mass, 195. [Naimark M.A Narmed Rings Trait rom Rusia) Noord, ‘Groinge, 1959 3. Royden Real Anda Maclay New York 1963. Saks, 8, Theory of the Inegra, Second edtion, Monopaie Mat ‘name, Vol 7, Wars, 1937 Reprinted by Her, New Sctute, HH, “A Ble Introduction to the Lebesgue Stein13 Me Cements of rion Inari Vol. 31585, ones Kea and Complee Analy LT Winchman, Jt, ‘editor. Pubited by the Mathematia Asoition of Americ. 15. Stone,/M.H. "Note om tniegration.” Precedigs Rat, dea Sei S.A. Vols 34 (1548) and 35 (1949), 16, Taylan AE Groeral Teor of Paton and eration, Bll, ‘ew York, 96s 1. Tuchman, E'C. The Theory of Function, Secood edition, Oxford 18. Zaanen, A. C., An Introduction 10 the Theory of Integration, lnter- Compliant"? mesarble su, ‘Ata Bor of Boe mess, 10 ot es, 96 ‘Compler valued functions, integral of ‘nod evermore 22 i Amos everyere comertoe, 22, meaty of 13 a comet nes ‘Archimedes, 1 * Convergence, almost everyabere, 2, arch spe 60 ies nem, 724 Be ego ‘omautea a3 eee, 104 int sh cae. county aie. 9 (Carathéodory Exession Theorem, 101 Counting measure. 20 schy"BungatovaeSenware tn. De Moree ews 7 ‘aly 5 ecompntion of meses, 0-95 cua foci, 3.9 Dominated Comoran een Ak Sie 38 "8 Compe acmed tinct pace 58 Egualerce of foro 54 ™seta dd etn, Extended rea umber, $ main port oe seg ate part of 10 alparet opie feo Sms, 1 ‘pepo of 9, 106 ata F108 ‘Hate Decomposition Theorem, 81-82 Esteon Teoren, 103 older regan 36 oe se Pd Ste “Fase fen are Joi 1.3.78-99 Leese {beste Decomposition Tee. 8 League Dominate” Conese Tone @ We Lene fa itera 30 Eves ‘mes ‘ete ner freon 9,106 Mean comerene. 6 Metta estan 810 ‘tei See en ferried by 4 mentne fenton tebe 20.105 eerste 105 ete 20 mene Minhowsts regal, 57 “Cus teone,tie Screen 3 Nonmesuabe et 106 “Toeorem of. 85.54.95 Reorecniin teens or tee le Fy 9,69, 90.92, 106-108 Rice RepsetaonThesrem on, Setar oeuaiy 57 aerated by fay of 57 fie mee. 20 Singular messare, 8 sre mente Step foci 38 compress. 99 por 74 Fob 118 Hie Ec 108 fori Deompeton 2 Lesser Decomposition 88 ‘Tete Demat Conereee. Les Mentone Convergence 32 Mentos Cas 6 Redon Nod 88 ‘ics Representation, 90, 91,106 Too ie “onuisToarem 118 ‘ronan 16 ‘Vitali Convergence Theorem, 118