Measure and Integration Theory

Fabio Maccheroni1
Department of Decision Sciences - U. Bocconi - Milano

First version: Agosto 2001,

Current version: September 2010.

1I thank Erio Castagnoli who read these notes over and over again and added punctuation;
I also thank Laura Maspero who helped me to write them and took notes during the Advanced
Analysis course held by Luigi Paganoni at "Università degli Studi di Milano" during the academic
year 1991-1992, notes and course that in‡uenced these notes very much. Finally I thank Giulia
Brancaccio who drafted this …rst English version of them in 2010. I take responsibility of all the
mistakes.
Contents
1 PREREQUISITES 2

2 CLASSES, CLASSES, CLASSES 2

3 SET FUNCTIONS 9

4 EXTENSION OF A MEASURE 12

5 COMPLETIONS 18

6 LEBESGUE-STIELTJES MEASURES ON R 20

7 MEASURABLE FUNCTIONS 23

8 INTEGRATION OF SIMPLE AND MEASURABLE FUNCTIONS WITH

RESPECT TO A FINITE CHARGE 29

9 INTEGRATION OF BOUNDED MEASURABLE FUNCTIONS WITH

RESPECT TO A FINITE CHARGE 32

10 INTEGRATION OF NONNEGATIVE FUNCTIONS WITH RESPECT

TO A MEASURE 34

11 SUMMABLE FUNCTIONS 40

12 PROPERTIES HOLDING ALMOST EVERYWHERE 43

13 RIEMANN (STIELTJES) Vs LEBESGUE (STIELTJES) 46

14 PRODUCT SPACES AND FUBINI TONELLI THEOREM 47

15 SIGNED MEASURES: HAHN AND JORDAN DECOMPOSITIONS 58

16 RADON-NIKODYM THEOREM 62

17 ESSENTIAL BIBLIOGRAPHY 66

1
1 PREREQUISITES
Set operations, topological and order properties of R, ("; ) arguments, properties of series
with nonnegative terms.

2 CLASSES, CLASSES, CLASSES

Let X be a non empty set, and P (X) the power set of X (sometimes denoted 2X ). We call
class a subset of P (X).

Definition. An algebra of subsets of X is a class A P (X) s.t. (= such that)

(a.i) X 2 A,

(a.ii) A 2 A ) Ac 2 A,

(a.iii) A; B 2 A ) A [ B 2 A.

Some trivial algebras are: P (X), f;; Xg, f;; A; Ac ; Xg for ; A X.

Facts. Let A be an algebra.

1. ; 2 A:
[In fact, ; = X c and X 2 A.]
SN
2. A1 ; A2 ; :::; AN 2 A ) j=1 Aj 2 A:
[By induction.]

3. A; B 2 A ) A \ B 2 A.
[In fact, A \ B = (Ac [ B c )c .]
TN
4. A1 ; A2 ; :::; AN 2 A ) j=1 Aj 2 A:
[By induction.]

5. A; B 2 A ) A B 2 A.
[Exercise.]

6. A; B 2 A ) A M B 2 A.
[Exercise.]

2
Proposition. A P (X) is an algebra if and only if (a.i) and (a.ii) hold, and A; B 2
A ) A \ B 2 A.
Proof. It is enough to note that A [ B = (Ac \ B c )c .

Proposition. Let I = f(a; b] : 1 a < b < 1g [ f(b; 1) : 1 < b < 1g [ f;g [ R,

then (N )
[
E= Ij : N 2 N and Ij 2 I for j = 1; 2; :::; N
j=1

is an algebra of subsets of R.
Proof. By assumption, R 2 E.
If I 2 I, then I c is a …nite disjoint union of elements of I. In fact, if I = ;, then I c = R; if
I = R, then I c = ;; if I = (a; b] for a 2 R, then I c = ( 1; a] [ (b; 1); if I = ( 1; b], then
I c = (b; 1); …nally if I = (b; 1), then I c = ( 1; b].
I; J 2 I ) I \ J 2 I. If I = ; or J = ;, and If I = R or J = R, the statement is straight-
forward;
If I = (a; b] and J = (c; d], x 2 I \ J i¤ x > a; x b; x > c; x d i.e. x > max fa; cg and
x min fb; dg i.e. x 2 (max fa; cg ; min fb; dg], that is I \ J = (max fa; cg ; min fb; dg] 2 I.1
If I = (a; b] and J = (c; 1), x 2 I \ J i¤ x > a; x b; x > c i.e. x > max fa; cg and x b
i¤ x 2 (max fa; cg ; b], that is I \ J = (max fa; cg ; b] 2 I.
If I = (a; 1) and J = (c; 1), then I \ J = I or J 2 I.
S SM
E; F 2 E ) E \ F 2 E . In fact, E = N j=1 Ij and F = i with Ij ; Ji 2 I for each j
i=1 Ji
SN SM SN h SM S SM
and i, E \ F = j=1 Ij \ i=1 Ji = j=1 Ij \ i=1 Ji = N j=1 i=1 Ij \ Ji =
SN;M
j=1;i=1 Ij \ Ji 2 E since Ij \ Ji 2 I for each i; j.
T
By induction, E1 ; E2 ; :::; EN 2 E ) N Ej 2 E.
SN j=1 T
E 2 E ) E 2 E . In fact, E = j=1 Ij with Ij 2 I for each j and E c = N
c c c
j=1 Ij , but Ij 2 E
for each j, therefore E c 2 E:

Definition. A semialgebra of subsets of X is a class S P (X) s.t.

(s.i) ;; X 2 S,

(s.ii) A 2 S ) Ac is a …nite disjoint union of elements of S,

(s.iii) A; B 2 S ) A \ B 2 S.

1
With the convention ( ; ] = ; if .

3
 With little abuse, we call the class I de…ned in the previous Proposition: class of real
semi-intervals. I is a semialgebra (why?).

Proposition. Let S be a semialgebra of subsets of X, then

(N )
[
A= Aj : N 2 N and Aj 2 S for j = 1; 2; :::; N
j=1

is an algebra of subsets of X.
Proof. Exercise. Hint: look at the …nal steps of the previous proof.

Definition. A -algebra (or tribu) of subsets of X is a class F P (X) s.t.

( .i) X 2 F,

( .ii) A 2 F ) Ac 2 F,
S1
( .iii) fAn gn2N F) n=1 An 2 F.

Some trivial -algebras are: P (X), f;; Xg, f;; A; Ac ; Xg for ; A X. Each algebra
of subsets of a …nite set is a -algebra. E is not a -algebra (why?).

Facts. Let F be a -algebra.

1. F is an algebra.
[In fact, A; B 2 F ) A [ B = A [ B [ B [ B:::: 2 F.]
T
2. fAn gn2N F ) 1 n=1 An 2 F.
T1 S c c
[In fact, n=1 An = ( 1n=1 An ) .]

T1
Proposition. F P (X) is a -algebra i¤ ( .i), ( .ii) and fAn gn2N F) n=1 An 2 F
hold.
Proof. Exercise.

Let fAn gn2N P (X); if An An+1 for all n 2 N, the sequence fAn gn2N is increasing,
if An An+1 for all n 2 N, the sequence fAn gn2N is decreasing. If fAn g is increasing or
S
decreasing, it is said to be monotone. If fAn gn2N is increasing and A = 1n=1 An , we write
T1
An " A; analogously, if fAn gn2N is decreasing and A = n=1 An , we write An # A.

Definition. A monotone class of subsets of X is a non empty class M P (X) s.t.

4
 (i) fAn gn2N M and An " A ) A 2 M,

(ii) fAn gn2N M and An # A ) A 2 M.

Clearly a -algebra is a monotone class. The reverse is not true (why?), but:

Proposition. If a monotone class is an algebra, then it is a -algebra.

S
Proof. Let fAn gn2N M, then, for each N 2 N, BN = N n=1 An 2 M (since M is an
S1 S
algebra), and BN " n=1 An ; but M is a monotone class, and therefore 1 n=1 An 2 M.

Definition. Let C be a non empty class of subsets of X. We call -algebra (resp. algebra,
resp. monotone class) generated by C the smallest -algebra (resp. algebra, resp.
monotone class) T containing C. Moreover, C is said to be a system of generators of T .

In other words, the -algebra (resp. algebra, resp. monotone class) generated by C is a
-algebra (resp. algebra, resp. monotone class) T s.t.

1. T C,

2. if F is a -algebra (resp. algebra, resp. monotone class) s.t. F C, then F T.

Notice that, if T exists, then it is unique: If it existed T 0 6= T with the same properties, since
T is a -algebra containing C, then T T 0 ; vice-versa, since T 0 is a -algebra containing
C, then T 0 T . Therefore T 0 = T ! (= paradox). Such a -algebra is denoted by
(C) (resp. A (C), resp. M (C)). The next proposition shows that (C) (resp. A (C), resp.
M (C)) always exists.

Proposition. Let C be a non empty class of subsets of X, the -algebra (resp. algebra,
resp. monotone class) generated by C is the intersection of all -algebras (resp. algebras,
resp. monotone classes) containing C.
Proof. We prove the “ -algebra”case: the “algebra”and “monotone class”cases are similar
(verify it). Let fF g 2 be the set of all -algebras F such that F C. P (X) C and
T
it is a -algebra, therefore fF g 2 6= ;. Let T = 2 F . Since, for every , F is a
-algebra, then X 2 F for every and X 2 T . If A 2 T , then A 2 F for every , and
therefore Ac 2 F for every (F is a -algebra), then Ac 2 T . If An 2 T for every n 2 N,
S
then An 2 F for every n 2 N and for every , therefore 1 n=1 An 2 F for every (F is
S1
a -algebra), …nally n=1 An 2 T . Therefore T is a -algebra. If C 2 C, then C 2 F for
every , and C 2 T . Thus, T is a -algebra and contains C and, by de…nition, if F is a
-algebra s.t. F C, then F T.

Facts. Let ; =
6 C K P (X).

5
 1. A (C) (C).
[Exercise.]

2. M (C) (C).
[Exercise.]

3. (C) (K), A (C) A (K) and M (C) M (K) :

[Exercise.]

Proposition. Let S be a semialgebra of subsets of X, then the following equalities hold:

(N )
[
A (S) = Aj : N 2 N and Aj 2 S for j = 1; 2; :::; N
j=1

= f…nite disjoint unions of elements of Sg :

nS o
N
Proof. Let A = j=1 Aj : N 2 N and Aj 2 S for j = 1; 2; :::; N and A0 = f…nite disjoint
unions of elements of Sg. We have already shown that A is an algebra and since A S,
then A A (S). Moreover, being A (S) an algebra that contains S, it also contains all
the …nite unions of elements of S, i.e. A (S) A. Clearly A (S) A0 . It remains to
S
be shown that A0 is an algebra. Of course X 2 A0 . If E; F 2 A0 , E = N j=1 Aj and
SM
F = i=1 Bi with A1 ; A2 ; :::; AN 2 S pairwise disjoint sets and B1 ; B2 ; :::; BM 2 S pairwise
SN SM S
disjoint sets, then E \ F = j=1 Aj \ i=1 Bi = N;M
j=1;i=1 Aj \ Bi . Let (j; i) ; (k; h) 2
f1; 2; :::; N g f1; 2; :::; M g and (j; i) 6= (k; h), then either j 6= k or i 6= h, in the …rst case
Aj \ Ak = ;, in the second Bi \ Bh = ;, in both cases (Aj \ Bi ) \ (Ak \ Bh ) = ;. Thus
S TN
E \ F = N;M 0
j=1;i=1 Aj \ Bi 2 A . By induction, E1 ; E2 ; :::; EN 2 A )
0 0
j=1 Ej 2 A . Let
S TN
E 2 A0 , then E = N j=1 Aj with A1 ; A2 ; :::; AN 2 S pairwise disjoint sets and E =
c c
j=1 Aj ,
but, being S a semialgebra, for each j the Acj is a disjoint union of elements of S, i.e. Acj 2 A0 ,
T
and N c
j=1 Aj 2 A .
0

Monotone Classes Lemma. Let A be an algebra, then

M (A) = (A) :

Proof. Clearly A M (A) (A). It remains to show that M (A) is an algebra, in that
case, since it is also a monotone class, M (A) is a -algebra, and, containing A, it also
contains (A).
For each B X, set DB = fA 2 P (X) : A \ B c ; B \ Ac ; A [ B 2 M (A)g. If fAn gn2N DB

6
and An # A, then An \B c # A\B c , B \Acn " B \Ac , and An [B # A[B (verify it); moreover
fAn \ B c g; fB \ Acn g; fAn [ Bg M (A). It follows that A \ B c ; B \ Ac ; A [ B 2 M (A),
and hence A 2 DB . Analogously, if fAn gn2N DB and An " A, then A 2 DB (verify it).
Thus DB is a monotone class for each B X.
If B 2 A, A DB (in fact, for each A 2 A, A \ B c ; B \ Ac ; A [ B 2 A M (A)), but DB is
a monotone class and therefore M (A) DB . This implies that, if B 2 A and C 2 M (A),
it is true that C \ B c ; B \ C c ; C [ B 2 M (A); that is, if B 2 A and C 2 M (A), then
B \ C c ; C \ B c ; B [ C 2 M (A); that is, if B 2 A and C 2 M (A), then B 2 DC . Thus, if
C 2 M (A), A DC , but DC is a monotone class and M (A) DC .
Finally, if C; D 2 M (A), then D 2 DC , and D \ C c ; C \ Dc ; D [ C 2 M (A); moreover
X 2 A M (A) and if C 2 M (A), then C c = X \ C c 2 M (A).

Definition. A -class of subsets of X is a class H P (X) s.t.

( .i) X 2 H,

( .ii) A; B 2 H, A B)B A 2 H,

( .iii) An 2 H and An " A ) A 2 H.

Observe that a -algebra is a -class. If G is a non empty class of subsets of X, it exists

a smallest -class containing G (why?), that we denote by (G).

Definition. A -class of subsets of X is a class ; =

6 D P (X) s.t.

( .i) A; B 2 D ) A \ B 2 D.

Observe that a semialgebra is also a -class.

Facts. Let H be a -class of subsets of X.

1. If A 2 H, then Ac 2 H.
[Exercise.]

2. If A; B 2 H and A \ B = ;, then A [ B 2 H.
[In fact, A B c , and (A [ B)c = B c \ Ac = B c A.]

3. H is a monotone class.
[Exercise. Hint: if An 2 H and An # A, then Acn 2 H and Acn " Ac .]

7
 4. If H is a -class, then H is a -algebra.
[Exercise. Hint: (A [ B)c = Ac \ B c .]

Dynkin’s lemma. If D is a -class of subsets of X, then (D) = (D).

Proof. It is enough to show that (D) is a -class. Let

G1 = fA X :A\D 2 (D) for each D 2 Dg .

G1 is a -class (why?) and contains D, then G1 (D). It follows that for each A 2 (D)
and each D 2 D, A \ D 2 (D). Let

G2 = fA X :A\E 2 (D) for each E 2 (D)g .

G2 is a -class (why?) and contains D, then G2 (D). It follows that, if A 2 (D),

A \ E 2 (D) for each E 2 (D).

If Y is a non empty subset of X and C is a non empty class of subsets of X, set C \ Y =

fC \ Y : C 2 Cg.

Facts. Let ; =
6 Y X and ; =
6 C P (X).

1. If C is a semialgebra (resp. algebra, resp. -algebra) of subsets of X, then C \ Y is a

semialgebra (resp. algebra, resp. -algebra) of subsets of Y .
[In fact, ;; X 2 C ) ;\Y = ;; X \Y = Y 2 C \Y . If E 2 C \Y , there exists C 2 C s.t.
E = C \ Y , but C is a semialgebra: therefore there exist C1 ; C2 ; :::; CN 2 C pairwise
S
disjoint, s.t. C c = N j=1 Cj ; it follows that Y E = Y \ E c = Y \ (C \ Y )c =
S S
Y \ (C c [ Y c ) = Y \ C c = Y \ N j=1 Cj =
N
j=1 (Cj \ Y ). Then, if E 2 C \ Y ,
Y E (the complement of E in Y ) is a …nite disjoint union of elements of C \ Y .
Finally, if E; F 2 Y , there exist C; D 2 C s.t. E = C \ Y and F = D \ Y , therefore
E \ F = C \ Y \ D \ Y = (C \ D) \ Y , but C \ D 2 C and E \ F 2 C \ Y . Prove
the similar results when C is an algebra or a -algebra.]

2. (C) \ Y = (C \ Y ) ; A (C) \ Y = A (C \ Y ).
[Exercise.]

Let I be the semialgebra of semi-intervals of R. The -algebra (I) is called the Borel
-algebra of R and it is denoted by B or B (R). The following classes generate B (prove it):

E = A (I).

8
 Closed sets in R.

Open sets in R.

Open intervals in R.

Closed intervals in R.

f( 1; a] : a 2 Rg.

f( 1; a) : a 2 Rg.

f(b; 1) : b 2 Rg.

f[b; 1) : b 2 Rg.

Let ; =
6 I R; the -algebra (I) \ I = (I \ I) is said Borel -algebra of I and it
is denoted by B (I). B (I) is the -algebra generated by open sets in I, or by closed sets in
I,...(prove it).

3 SET FUNCTIONS
If A; B X and A\B = ;, we write AtB instead of A[B, analogously if fAn gn2N P (X)
F S1
and Ai \ Aj = ; for i 6= j, we write 1 n=1 An instead of n=1 An .
Let C P (X) and A X. A …nite partition (resp. countable) of A in C is a set
S
fA1 ; A2 ; ::; AN g (resp. fAn gn2N ) of pairwise disjoint elements of C s.t. A = Nj=1 Aj (resp.
S1
A = n=1 Aj ):

Definition. Let C be a class of subsets of X containing ; and let : C ! [0; 1] be a

function, is called:

set function, if (;) = 0.

monotone, if A B ) (A) (B),

additive, if
X
N
(A) = (Aj ) .
j=1

for each A 2 C and each …nite partition fA1 ; A2 ; ::; AN g of A in C,

9
 -additive, if X
(A) = (Aj )
j2J

for each A 2 C and each countable partition fAj gj2J of A in C.

If C is a semialgebra, an algebra or a -algebra, an additive set function is called charge (or

positive charge), while a -additive set function is called measure (or positive meas-
ure).
A measure (charge) is …nite if (X) < 1, it is -…nite if it exists a sequence fAn gn2N
S
C s.t. X = 1 n=1 An and (An ) < 1 for each n 2 N, …nally a measure (charge) is a
probability measure (charge) if (X) = 1.

Facts. Let C be a class of subsets of X containing ; and let : C ! [0; 1] be a function.

1. A -additive set function is additive. In particular, a measure is also a charge. (Does

the converse hold?)

2. If C is an algebra, then is a charge i¤

(c.i) (;) = 0,
(c.ii) A; B 2 C and A \ B = ; ) (A [ B) = (A) + (B).

[Exercise.]

1. If C is a semialgebra, then is a measure i¤

(m.i) (;) = 0,
S1 S P1
(m.ii) fAn gn2N C, n=1 An 2 C, Ai \ Aj = ; if i 6= j ) ( 1n=1 An ) = n=1 (An ).

[Exercise.]

1. If C is a -algebra, is a measure on C, and F 2 C, then the function F : C ! [0; 1]

de…ned as F (A) = (A \ F ) for each A 2 C is a measure on C. If moreover (F ) < 1,
then F is a …nite measure.
[Exercise.]

Proposition. Let A be an algebra and : A ! [0; 1] be a charge.

1. is monotone.

2. If A; B 2 A, A B, and (A) < 1, then (B A) = (B) (A).

10
 SN PN
3. j=1 Aj j=1 (Aj ) for each A1 ; A2 ; :::; AN 2 A.

Proof. Let A B. Then B = (B A) t A and (B) = (B A) + (A). It follows that

(B) (A) (and 1 holds). If also (A) < 1, then (subtracting (A) from both sides)
(B A) = (B) (A) (and 2 holds).
Let N = 2. Then (A1 [ A2 ) = (A1 t (A2 A1 )) = (A1 ) + (A2 A1 ) (A1 ) +
(A2 ) by monotonicity. Assume the property holds for N M , we show it holds for N =
SM +1 SM SM +1 SM
M + 1. j=1 Aj = j=1 Aj [ AM +1 , then j=1 Aj j=1 Aj + (AM +1 )
PM PM +1
j=1 (Aj ) + (AM +1 ) = j=1 (Aj ).

Proposition. Let A be an algebra and : A ! [0; 1] be a measure.

1. fAn gn2N A, An " A, and A 2 A ) (A) = limn (An ).

2. fAn gn2N A, An # A, A 2 A, and (A1 ) < 1 ) (A) = limn (An ).

S1 S P1
3. fAn gn2N A and n=1 An 2 A ) ( 1n=1 An ) n=1 (An ).

The 3rd property is called -subadditivity.

Sn 1
Proof. 1.) Let B1 = A1 and Bn = An An 1 = An j=1 Aj for each n 2. Notice
that,

for each n 2 N, Bn 2 A,

Bi \ Bj = ; if i 6= j,
F1 S1
n=1 Bn = n=1 An = A,
Fn
for each n 2 N, An = j=1 Bj .

(Verify these statements.) Then

!
X
1 X
n G
n
(A) = (Bn ) = lim (Bj ) = lim Bj = lim (An ) :
n n n
n=1 j=1 j=1

2.) If An # A, then A1 An " A1 A (verify it), then limn (A1 ) (An ) = (A1 ) (A),
or limn (An ) = (A).
Sn 1
3.) Let B1 = A1 and Bn = An j=1 Aj for each n 2. Notice that,

for each n 2 N, Bn 2 A and Bn An ,

Bi \ Bj = ; if i 6= j,

11
 F1 S1
n=1 Bn = n=1 An ,
P1 P1
(Verify these statements.) Therefore (A) = n=1 (Bn ) n=1 (An ) .

Proposition. Let A be an algebra and : A ! [0; 1] a charge. is a measure i¤ at least

one of the following conditions is satis…ed:

(c.iii) fAn gn2N A, An " A, and A 2 A ) (A) = limn (An );

(c.iii’) is -subadditive.

Proof. If is a measure requirements (c.iii) and (c.iii’) are satis…ed. Let fAn gn2N A and
F FN
A= 1 n=1 A n 2 A; for each N 2 N set B N = n=1 An 2 A. Suppose (c.iii) holds, since
Bn " A, it follows that

X
N X
1
(A) = lim (BN ) = lim (An ) = (An ) :
N N
n=1 n=1

FN FN
Suppose (c.iii’) holds, monotonicity implies, as n=1 An A, that n=1 An (A) for
each N 2 N, then
!
X
1 X
N G
N
(An ) = lim (An ) = lim An (A) :
N N
n=1 n=1 n=1
F P1
Finally -subadditivity implies that (A) = ( 1n=1 An ) n=1 (An ).

4 EXTENSION OF A MEASURE
Let C D be two non empty classes of subsets of X, and consider the functions : C ! [0; 1]
and : D ! [0; 1]; is an extension of if jC = .

Proposition. Let S be a semialgebra and a charge on S. There exists a unique charge

~ that extends to A (S). Moreover if is a measure, then ~ is itself a measure.
F
Proof. Each A 2 A (S) can be written as A = N j=1 Aj with Aj 2 S for every j = 1:::N ,
then
X
N
~ (A) = (Aj ) .
j=1

The proof goes through several steps.

Step 0. ~ : A (S) ! R is well-de…ned.

12
 FN FM
Let A = j=1 Aj with Aj 2 S and A = k=1 Bk with Bk 2 S, then
! !
X
N X
N G
M X
N G
M
(Aj ) = Aj \ Bk = (Aj \ Bk ) =
j=1 j=1 k=1 j=1 k=1

X
N X
M X
M X
N
= (Aj \ Bk ) = (Aj \ Bk ) =
j=1 k=1 k=1 j=1
! !
X
M G
N X
M G
N
= (Aj \ Bk ) = Bk \ Aj =
k=1 j=1 k=1 j=1

X
M
= (Bk ) .
k=1

Step 1. A; B 2 A (S) and A \ B = ; ) ~ (A [ B) = ~ (A) + ~ (B).

F FM
A= N j=1 Aj with Aj 2 S and B = k=1 Bk with Bk 2 S, then
! !
G
N G
M
A[B = Aj t Bk ;
j=1 k=1

it follows by the de…nition of ~ that

X
N X
M
~ (A [ B) = (Aj ) + (Bk ) = ~ (A) + ~ (B) .
j=1 k=1

Then ~ is a charge on A (S) . Clearly ~ extends .

Step 2. If is a charge on A (S) and jS = , then = ~. (That is: ~ is the unique exten-
sion of to A (S) :)
F
Let A 2 A (S), then A = N j=1 Aj with Aj 2 S for each j = 1:::N , and

X
N X
N
(A) = (Aj ) = (Aj ) = ~ (A) .
j=1 j=1

Step 3. Assume is -additive, then ~ is -additive itself.

F
Consider A 2 A (S) and fAn g A (S) s.t. A = 1 n=1 An ; let fC1 ; C2 ; :::; CL g be a par-
tition of A in S and Bjn ; Bjn +1 ; :::; Bjn+1 1 (with j1 = 1) a partition of An in S. When
P1 FN PN
n=1 ~ (An ) = 1, then ~ (A) ~ n=1 An = n=1 ~ (An ) for each N 2 N, and, passing

13
 P1
to the limit, ~ (A) = 1. When instead n=1 ~ (An ) converges:

X
1 1 jn+1
X X1 X
1
~ (An ) = (Bj ) = (Bj ) =
n=1 n=1 j=jn j=1

X
1 X
1 X
L
= (A \ Bj ) = (Ck \ Bj ) =
j=1 j=1 k=1

X
L X
1 X
L
= (Ck \ Bj ) = (Ck ) = ~ (A) ,
k=1 j=1 k=1

that is ~ is -additive.

Let A be an algebra of subsets of X and a measure on A. We aim at extending

to a measure on the -algebra (A) generated by A and studying its properties. For each
A 2 P (X) set
(1 )
X [
1
(A) = inf (Bn ) : fBn g A and A Bn ;
n=1 n=1

is called the outer measure induced by (beware! It might fail to be a measure on P (X)).
Clearly, : P (X) ! [0; 1] is a set function (verify it). Notice that, if (A) < 1, then for
S1 P1
each " > 0 there exists fBn g A s.t. A n=1 Bn and n=1 (Bn ) < (A) + " (why?).

Proposition.

1. is monotone.
S P1
2. fAn gn2N P (X) ) ( 1n=1 An ) n=1 (An ).

3. jA = .

S1 S1
Proof. 1.) Let A B X, for each fBn g A s.t. B n=1 Bn , then A n=1 Bn , and
P1
hence (A) n=1 (Bn ), then
(1 )
X [
1
(A) inf (Bn ) : fBn g A and B Bn = (B) :
n=1 n=1
S1 P1
2.) Set A = n=1 An . If n=1 (An ) = 1, the result is trivial. Then suppose (An )
P1
j=1 (Aj ) < 1 for each n 2 N. Let " > 0. For each n 2 N there exists fBn;m g A s.t.
S1 P1 S S S1
An m=1 Bn;m and m=1 (Bn;m ) < (An ) + 2"n . n;m Bn;m = 1 n=1 ( m=1 Bn;m ) A
P P1 P1 P1
(why?). It follows that (A) n;m (Bn;m ) = (Bn;m ) (An ) + 2"n =
P1 P1n=1 m=1 n=1

n=1 (An ) + ". Since " is arbitrary, (A) n=1 (An ).

14
 3.) For each A 2 A, (A) (A) (consider fBn g = fA; ;; ;; ;; ;; ::::g). If fBn g A
S1 S1 P1
and A n=1 Bn , then A = n=1 (Bn \ A) for Bn \A 2 A, then (A) n=1 (Bn \ A)
P1
n=1 (Bn ) and (A) (A).

In particular, for each A; E X, it holds that (E) (E \ A) + (E \ Ac ).

Definition. A subset A of X is -measurable if

(E) = (E \ A) + (E \ Ac )

for each E X.

Let C (A; ) be the class of all -measurable sets.

Caratheodory’s Theorem. C = C (A; ) is a -algebra containing A and ~ = jC is a

measure.
Proof. The proof is developped through several steps.
Step 0. X 2 C.
Let E X,
(E) = (E \ X) + (E \ X c ):
Step 1. If A; B 2 C, then A [ B 2 C.
Let E X, by de…nition

(E) = (E \ B) + (E \ B c ) (1)

Substituting E with E \ A

(E \ A) = (E \ A \ B) + (E \ A \ B c ) (2)

Substituting in (1) E with E \ Ac

(E \ Ac ) = (E \ Ac \ B) + (E \ Ac \ B c ) (3)
Adding (2) and (3):

(E) = (E \ A \ B) + (E \ A \ B c ) + (E \ Ac \ B) + (E \ Ac \ B c ) (4)

Substituting E with E \ (A [ B) in (4)

(E \ (A [ B)) = (E \ (A [ B) \ A \ B) + (E \ (A [ B) \ A \ B c )
+ (E \ (A [ B) \ Ac \ B) + (E \ (A [ B) \ Ac \ B c )
= (E \ A \ B) + (E \ A \ B c ) + (E \ Ac \ B) (5):

15
Substituting (4) in (5),

(E) = (E \ (A [ B)) + (E \ (A [ B)c ).

Step 2. If A 2 C, then Ac 2 C.
Let E X, by de…nition

(E) = (E \ A) + (E \ Ac ) = (E \ Ac ) + (E \ (Ac )c ):

Thus C is an algebra .
Step 3. C is a -algebra.
Let E X, and consider A; B 2 C s.t. A \ B = ;. It follows from (5) that

(E \ (A [ B)) = (E \ A) + (E \ B);

in particular (taking E = X) is a charge on C . By induction, if B1 ; B2 ; :::; BN 2 C are

pairwise disjoint:
[
N X
N
(E \ Bj ) = (E \ Bj ) (6):
j=1 j=1
S S1
Let A = 1 j=1 Aj , with Aj 2 C. We can write A = j=1 Bj , where B1 = A1 and Bj =
Sj 1
Aj i=1 Ai for each n 2, moreover Bi \ Bj = ; if i 6= j. To show that A 2 C it’s
enough to prove that
!! !c !
[1 [
1
(E) E\ Bj + E\ Bj (7):
j=1 j=1
SN
Since C is an algebra, j=1 Bj 2 C for each N 2 N, thus
!! !c !
[N [
N
(E) E\ Bj + E\ Bj (8):
j=1 j=1

SN c S1 c
Since E \ j=1 Bj E\ j=1 Bj = E \ Ac , monotonicity implies:
!!
[
N
(E) E\ Bj + (E \ Ac ) =
j=1

X
N
= (E \ Bj ) + (E \ Ac ) (9):
j=1

Passing to the limit:

X
1
(E) (E \ Bj ) + (E \ Ac ) (10):
j=1

16
 S1 S1 P1
But (E \ A) = E\ j=1 Bj = j=1 (E \ Bj ) j=1 (E \ Bj ), this,
together with (10), implies:

(E) (E \ A) + (E \ Ac ) (10):

Thus A 2 C.
Step 4. jC is a measure. In fact it is -subadditive.
Step 5. C A.
Let A 2 A and E X: It remains to show that

(E) (E \ A) + (E \ Ac ) (11):

If E 2 A, then fE \ A; E \ Ac g is a partition of E 2 A and (E) = (E \ A) + (E \ Ac ),

but and coincide on A and therefore (11) holds; as it does if (E) = 1. If E X,
S1 P1
and (E) < 1, for each " > 0 there exists fEj g A s.t. E j=1 Ej and j=1 (Ej ) <
c
(E) + ". Since Ej = (Ej \ A) [ (Ej \ A ), it follows that

(Ej ) = (Ej \ A) + (Ej \ Ac );

moreover
[
1 [
1
E\A (Ej \ A) and E \ Ac (Ej \ Ac ) .
j=1 j=1

Monotonicity and -subadditivity imply

!
[
1 X
1
(E \ A) (Ej \ A) (Ej \ A) and
j=1 j=1
!
[
1 X
1
(E \ Ac ) (Ej \ Ac ) (Ej \ Ac ) .
j=1 j=1

Thus
X
1
c
(E \ A) + (E \ A ) ( (Ej \ A) + (Ej \ Ac )) =
j=1
X
1
= (Ej ) < (E) + ":
j=1

Since " is arbitrary, the statement follows.

A direct consequence of the previous Theorem is the following:

Corollary. Let S be a semialgebra of subsets of X and a measure on S; then there

exists a -algebra T S and a measure ~ on T s.t. ~jS = .

17
 In particular, a measure on a semialgebra S can be extended to a measure on (S). Next
theorems concern the uniqueness of this extension.

Theorem. Let S be a semialgebra of subsets of X and ; measures on (S). If jS and

jS are -…nite (as measures on S) and jS = jS , then = .
Proof. Since jA and jA extend jS and jS to A = A (S) (S), jA = jA . Let and
be …nite and set
M = fA 2 (A) : (A) = (A)g (A) :
M A. An 2 M and An " A implies (A) = limn (An ) = limn (An ) = (A)
and hence A 2 M. Similarly An 2 M and An # A implies (since and are …nite)
(A) = limn (An ) = limn (An ) = (A) and hence A 2 M. Then M is a monotone
class containing A, and therefore M M (A). According to the Monotone Classes Lemma,
M (A).
If jS and jS are -…nite, then jA and jA are -…nite and there exists fAn gn2N A
S1 Sn
s.t. (An ) < 1 for each n 2 N and n=1 An = X. Replacing An with j=1 Aj , we can
assume that An " X. Let A 2 (A), then An \ A " A, hence (A) = limn (An \ A), and
(A) = limn (An \ A). It remains to show that (An \ A) = (An \ A) for each n 2 N.
In this regard notice that, for each n 2 N, the measures de…ned as n (B) = (An \ B) and
n (B) = (An \ B) for each B 2 (A) coincide on A (if B 2 A, An \ B 2 A) and are
…nite, therefore, according to what we have just proved, they coincide on (A).

Corollary. Let S be a semialgebra of subsets of X and a -…nite measure on S; then

there exists an unique measure that extends to (S). Moreover, denoting by the
outer measure induced by the unique extension of to A (S), it is = j (S) .

Corollary. Let A be an algebra of subsets of X and a -…nite measure on A; then there

exists an unique measure that extends to (A). Moreover, denoting by the outer
measure induced by A, it is = j (A) .

5 COMPLETIONS
Definition. A measure on a -algebra F is complete if A 2 F, (A) = 0 and N A
imply N 2 F (and (N ) = 0).

Proposition. Let A be an algebra and a measure on A. The measure ~ on C (A; ) is

complete.

18
Proof. Let A 2 C (A; ), (A) = 0 and N A; then, by monotonicity, for each E X:

0 (E \ N ) (E \ A) (A) = 0:

Again by monotonicity:

(E) 0+ (E \ N c ) = (E \ N ) + (E \ N c ) .

Thus N 2 C (A; ).

Denote by C (A; ) the class of -measurable sets.

Theorem. Let F be a -algebra, be a measure on F and N be the class de…ned as

fN 2 P (X) : 9B 2 F s.t. N B and (B) = 0g .

Then
F 0 = fA 4 N : A 2 F; N 2 N g
is a -algebra containing F and the set function
0
(A 4 N ) = (A)

is a complete measure on F 0 that extends .

Proof. See Berberian p.29-30.
0
is called completion of , and F 0 is called the -algebra of 0
-measurable sets (or
completion of F with respect to ).

Theorem. Let

A be an algebra of subsets of X,and be a -…nite measure on A,

be the unique extension of to (A),

0
be the completion of and (A)0 be the -algebra of 0
-measurable sets.

~ be the restriction of the outer measure (induced by ) to the -algebra C (A; )

-measurable sets.

Then
(A)0 = C (A; ) and 0
= ~.

Proof. See Berberian p.30-31.

19
6 LEBESGUE-STIELTJES MEASURES ON R
Consider the semialgebra

I = f(a; b] : 1 a < b < 1g [ f(b; 1) : 1 < b < 1g [ f;g [ R

of real semi-intervals, and let F : R ! R be an increasing and right continuous function,

then set

F ( 1) = limt! 1 F (t),

F (1) = limt!1 F (t),

(b; 1] = (b; 1) for each b 2 R,

(b; b] = ; for each b 2 R.

With this notation

I = f(a; b] : 1 a b 1g
then set
F ((a; b]) = F (b) F (a) :
As an example using id (t) = t for each t 2 R, it is id ((a; b]) = b a, which is the length of
(a; b].

Lemma. Let F : R ! R be an increasing and right continuous function; consider (a; b] and
S1
(an ; bn ] 2 I s.t. (a; b] n=1 (an ; bn ], then

X
1
F (b) F (a) (F (bn ) F (an )) :
n=1

Proof. It is based on Heine-Borel theorem: see, as an example, Royden p.301-302.

Proposition. Let F : R ! R be an increasing and right continuous function, the function

F : I ! [0; 1] de…ned as

F ((a; b]) = F (b) F (a)

for each 1 a b 1, is a -…nite measure on I. Moreover, its (unique) extension
F to B (= (I)) is …nite on each bounded set in B. If G : R ! R is increasing and right
continuous, then F = G i¤ there exists c 2 R s.t. F = G + c.
F
Proof. Clearly F (;) = 0 and F ((a; b]) 2 [0; 1]. Let (a; b] = N j=1 (aj ; bj ].
If (aj ; bj ] 6= ; for each j = 1; 2; :::; N it is possible to reorder the intervals in such a way that

20
a = a1 < b1 a2 < b2 :::::bN 1 aN < bN = b, but if bj < aj+1 for some j N 1, (a; b]
wouldn’t be connected, which is absurd. It follows that bj = aj+1 for every j N 1; set
aN +1 = bN obtaining:

X
N X
N X
N

F ((aj ; bj ]) = ((aj ; aj+1 ]) = (F (aj+1 ) F (aj )) =

j=1 j=1 j=1

X
N +1 X
N
= F (aj ) F (aj ) = F (aN +1 ) F (a1 ) = F (b) F (a) =
j=2 j=1

= F ((a; b]) .

If (aj ; bj ] = ; for some j = 1; 2; :::; N , then

G G G
(a; b] = (aj ; bj ] [ (aj ; bj ] = (aj ; bj ]
j:(aj ;bj ]6=; j:(aj ;bj ]=; j:(aj ;bj ]6=;

and as a consequence
X
F ((a; b]) = F ((aj ; bj ]) =
j:(aj ;bj ]6=;

X
N
= F ((aj ; bj ]) .
j=1

Thus F is additive and hence it is a charge.

F
Let (a; b] = 1j=1 (aj ; bj ], for each N 2 N,

X
N

F ((a; b]) F ((aj ; bj ])

j=1

and, passing to the limit,

X
1

F ((a; b]) F ((aj ; bj ]) .

j=1

The reverse inequality is granted by the previous Lemma. Thus F is a measure on the
S
semialgebra I and, as R = 1 n=1 ( n; n], F is -…nite. As a consequence there exists an
unique measure F that extends F to B. Clearly, if B 2 B and B is bounded, then there
exist a; b 2 R s.t. B (a; b] and F (B) F ((a; b]) = F (b) F (a) < 1.
Notice that, if t 0, then:
F (t) = F ((0; t]) + F (0) :
If t < 0, then:
F (t) = F (0) F ((t; 0]) .

21
Let F = G. If t 0, then:

F (t) = F ((0; t]) + F (0) = G ((0; t]) + F (0) =

= G ((0; t]) + G (0) + F (0) G (0) =
= G (t) + F (0) G (0) .

If t < 0, then:

F (t) = F (0) F ((t; 0]) = F (0) G (0) + G (0) G ((t; 0]) =

= F (0) G (0) + G (t) .

Then F (t) = G (t) + F (0) G (0) for each t 2 R. Vice-versa, if F (t) = G (t) + c for each
t 2 R, then F ( 1) = G ( 1) + c, and

F ((a; b]) = F (b) F (a) = G (b) G (a) = G ((a; b])

for each 1 a b 1.

Definition. A measure on B is called Lebesgue-Stieltjes (Baire) measure if it is

…nite on each bounded interval in R.

Let F : R ! R be an increasing and right continuous fnction and let F be the extension
of F to B. We use F instead of F , and we call it Lebesgue-Stieltjes measure induced by
F . The Lebesgue-Stieltjes measure induced by id is called Borel measure, its completion
Lebesgue measure and the -algebra of 0id -measurable sets is called Lebesgue -algebra.
Attention: not every subset of R belong to the Lebesgue -algebra.

Facts. Let F : R ! R be an increasing and right continuous function and F be the induced
Lebesgue-Stieltjes measure. We write F (b ) = limt!b F (t) for each b 2 R, then

1. (fbg) = F (b) F (b ) :
F
[Exercise; in this regards, why fbg 2 B?]

2. F (fbg) = 0 i¤ F is continuous in b:

3. ([a; b]) = F (b)

F F (a ) :
[Exercise.]

4. ((a; b)) = F (b )
F F (a) :
[Exercise.]

22
Proposition. Let be a Lebesgue-Stieltjes measure on B, then there exists a function
F : R ! R increasing and right continuous, s.t. = (F ) .
Proof. If t 0, set
F (t) = ((0; t]) ;
if t < 0,
F (t) = ((t; 0]) .
Prove (as an exercise) that F is increasing and right continuous.

F is called Cumulative Distribution Function of and it is unique up to an additive

constant (why?).

Instead of considering the whole real line R we can consider an interval I, and the -
algebra B (I), the the Lebesgue-Stieltjes measure induced by F on I, is precisely ( F )B(I) .

7 MEASURABLE FUNCTIONS
Let X be a set and F a -algebra of subsets of X. The pair (X; F) is called measurable
space.

Definition. Consider a measurable space (X; F) and a function f : X ! R (or [ 1; 1]).

f is called measurable if fx 2 X : f (x) > ag 2 F for each a 2 R.

1
Notice that fx 2 X : f (x) > ag = f ((a; 1)): it can be simply denoted by ff > ag.

Proposition. Let (X; F) be a measurable space, and consider the function f : X ! R (or
[ 1; 1]). The following are equivalent:

1. f is measurable.

2. fx 2 X : f (x) ag 2 F for each a 2 R.

3. fx 2 X : f (x) < ag 2 F for each a 2 R.

4. fx 2 X : f (x) ag 2 F for each a 2 R.

It follows that

5. fx 2 X : f (x) = ag 2 F for each a 2 R (or [ 1; 1]):

23
Proof. Exercise. Use (after verifying) the following identities

\
1
1
fx 2 X : f (x) ag = x 2 X : f (x) > a ;
n=1
n
fx 2 X : f (x) < ag = X fx 2 X : f (x) ag ;
\
1
1
fx 2 X : f (x) ag = x 2 X : f (x) < a + ;
n=1
n
fx 2 X : f (x) > ag = X fx 2 X : f (x) ag ;
fx 2 X : f (x) = ag = fx 2 X : f (x) ag fx 2 X : f (x) > ag if a 2 R,
\
1
fx 2 X : f (x) = 1g = fx 2 X : f (x) > ng ;
n=1

\
1
fx 2 X : f (x) = 1g = fx 2 X : f (x) < ng :
n=1

Facts. Let (X; F) be a measurable space, consider f : X ! R, ; 6= H P (R), and

f 1 (H) = ff 1 (H) : H 2 Hg.

1
1. The class T = fA R t.c. f (A) 2 Fg is a -algebra.
[Exercise.]
1
2. If H is a -algebra, f (H) is -algebra.
[Exercise.]

3. (f 1 (H)) = f 1 ( (H)).
[In fact, according to 2., f 1 ( (H)) is a -algebra, moreover if H 2 H, H 2 (H),
and f 1 (H) 2 f 1 ( (H)); thus f 1 (H) f 1 ( (H)) and therefore (f 1 (H))
f 1 ( (H)). Vice-versa, we want to show that each -algebra C containing f 1 (H) also
contains f 1 ( (H)). Set G = fA R : f 1 (A) 2 Cg, according to1. G is a -algebra,
since f 1 (H) C, H G, and (H) G, it follows that f 1 ( (H)) C.]

Proposition. Let (X; F) be a measurable space, and consider f : X ! R (or [ 1; 1]).

The following are equivalent:

1. f is measurable.
1
2. f (B) F.

24
 1
3. f (G) F for each G P (R) s.t. B = (G).
1
4. f (G) F for each G P (R) s.t. B (G).

Proof. 2.)3.) If B = (G), G B, and therefore f 1 (G) f 1 (B) F.

3.)4.) Obvious.
4.)2.) f 1 (G) F, therefore (f 1 (G)) F, but (f 1 (G)) = f 1 ( (G)) f 1 (B),
that is f 1 (B) F.
2.)1.) It is obvious, in fact (a; 1) 2 B for each a 2 R, and f 1 ((a; 1)) 2 F for each a 2 R.
1.)4.) Thanks to the measurability of f; f 1 f(a; 1)ga2R F. It is enough to show that
f(a; 1)ga2R = B. f(a; 1)ga2R contains (a; 1), ( 1; b] = (b; 1)c , R, ;, (a; b] =
( 1; b] ( 1; a], for each 1 < a < b < 1. Thus I f(a; 1)ga2R , and B
f(a; 1)ga2R .

Proposition. Let (X; F) be a measurable space and fn : X ! R (or [ 1; 1]) be meas-

urable functions for each n 2 N. Then the functions de…ned for each x 2 X as supn2N fn (x),
inf n2N fn (x), limn fn (x), limn fn (x), and (when it exists) limn fn (x), are measurable.
Proof. Set g (x) = supn2N fn (x), then for each a 2 R

[
1
fx 2 X : g(x) > ag = fx 2 X : fn (x) > ag
n=1

(why?), and hence g is measurable (why?).

Set g = inf n2N fn , then for each a 2 R
[
1
fx 2 X : g(x) < ag = fx 2 X : fn (x) < ag
n=1

(why?), and hence g is measurable (why?).

For each x 2 X, set g (x) = limn fn (x) = inf k2N supn k fn (x) , for each k 2 N, set gk (x) =
supn k fn (x) for each x 2 X, gk is measurable and therefore g is so.
For each x 2 X, set g (x) = limn fn (x) = supk2N (inf n k fn (x)), for each k 2 N, set gk (x) =
inf n k fn (x) for each x 2 X, gk is measurable and therefore g is so.
For each x 2 X, g (x) = limn fn (x) exists, then g (x) = limn fn (x) which is measurable. (If
you want to consider only real valued functions is necessary to also require the existence of
supn2N fn (x), inf n2N fn (x), limn fn (x), limn fn (x) for each x 2 X.)

Remember that f + = max ff; 0g, f = min ff; 0g, and the following equalities hold:
jf j = f + + f , f = f + f .

25
Proposition. Let (X; F) be a measurable space; consider f; g : X ! R (or [ 1; 1]
setting 0 = 1 1 = 1 + 1) measurable functions and c 2 R. Then the functions:
h (x) = c for each x 2 X, f + c, cf , f + g, f g, max ff; gg, min ff; gg, f + , f , and jf j, are
measurable.
Proof. For each a 2 R,

fx 2 X : h(x) > ag = fx 2 X : c > ag = X or ;

then h is measurable. For each a 2 R,

fx 2 X : f (x) + c > ag = fx 2 X : f (x) > a cg

for each a 2 R, then f + c is measurable. For each a 2 R,

n ao
fx 2 X : cf (x) > ag = x 2 X : f (x) > if c > 0,
c
= fx 2 X : 0 > ag if c = 0,
n ao
= x 2 X : f (x) < if c > 0,
c
and therefore cf is measurable.
Let a 2 R, if f (x) + g (x) < a, then f (x) < a g (x), and there exists q 2 Q s.t. f (x) <
q < a g (x), then f (x) < q and g (x) < a q, and hence x 2 fx 2 X : f (x) < qg \
fx 2 X : g (x) < a qg. Thus
[
fx 2 X : f (x) + g (x) < ag = fx 2 X : f (x) < qg \ fx 2 X : g (x) < a qg 2 F
q2Q

and f + g is measurable.
For each a 2 R,

x 2 X : [f (x)]2 > a = X if a < 0

p p
= x 2 X : f (x) > a [ x 2 X : f (x) < a if a > 0

and f 2 is measurable, similarly f g = 12 (f + g)2 f 2 g 2 is measurable. (This discussion,

with some re…nement, can be applied to functions taking values on the extended real line.)
Measurability for max ff; gg, min ff; gg, f + , f , and jf j can be proved following the steps
of the previous proposition (do it).

Definition. A function ' : X ! R is called simple if it takes a …nite number of values.

26
 Let A X, denote by A the characteristic function of A de…ned as
(
1 if x 2 A
A (x) = .
0 if x 2 Ac

Facts. Let (X; F) be a measurable space

1. The sum of simple functions is itself simple.

[Exercise.]

2. A function ' : X ! R is simple i¤ it can be written as

X
N
'= i Ai
j=1

with 1 ; 2 ; :::; N 2 R and A1 ; A2 ; :::; AN X. In general this representation is not

unique, however if we impose 1 > 2 > ::: > N and fA1 ; A2 ; :::; AN g partition of X,
the representation is unique and we call it standard representation of '.
[Exercise. Hint: consider the values 1 ; 2 ; :::; N that ' takes, rename them so that
1
1 > 2 > ::: > N , then set Ai = ' ( i ).]

3. A simple function is measurable i¤ A1 ; A2 ; :::; AN 2 F.

[Exercise.]

Consider gn ; g : X ! R (or [ 1; 1]), then

gn converges pointwise to g (gn ! g) if gn (x) ! g (x) for each x 2 X;

gn is monotone increasing (gn ") if gn (x) gn+1 (x) for each x 2 X and each n 2 N,
if also gn ! g, we write gn " g.
unif:
gn converges uniformly to g (gn ! g) if supx2X jg (x) gn (x)j ! 0 (this de…nition
applies only for real valued functions).

Proposition. Let (X; F) be a measurable space. f : X ! R (or [ 1; 1]) is measurable

i¤ there exists a sequence f'n g of simple and measurable functions s.t. 'n (x) ! f (x) for
each x 2 X. Moreover, if f has a lower bound, it is possible to choose an increasing sequence
f'n g; if f is bounded it is possible to choose a sequence f'n g s.t. it converges uniformly to
f.

27
Proof. Let f 0. For each n 2 N and x 2 X, set
8
>
> n if x 2 f 1 ([n; 1]) i.e. f (x) n
>
<
'n (x) = j :
>
>
> 2n
if x 2 f 1 2jn ; j+1
2n
i.e. 2jn f (x) < j+1
2n
:
for j = 0; 2; :::; n2n 1

Clearly 'n is simple and measurable. If f (x) = 1, then 'n (x) = n ! 1.

If f (x) < 1, then there exists n 2 N s.t. f (x) < n and therefore for each k n, f (x) < k;
thus there exists i 2 0; 2; :::; k2k 1 s.t. 2ik f (x) < i+1
2k
and 'k (x) = 2ik , therefore
jf (x) 'k (x)j < 21k , and 'k (x) ! f (x).
We now prove that 'n is increasing. Fix an arbitrary x 2 X and let m < n.

If n f (x), then 'm (x) = m < n = 'n (x).

If m f (x) < n, then 'm (x) = m and 'n (x) = 2jn . Suppose it were 'm (x) > 'n (x),
that is m > 2jn ; then we would have 2jn < m f (x) < j+1
2n
, and therefore 2jn < m < j+1
2n
,
n
and j < m2 < j + 1 ! .

If 0 f (x) < m, then 'm (x) = 2im and 'n (x) = 2jn , in this case 2im f (x) < 2im + 21m
and 2jn f (x) < 2jn + 21n . Then 2n m i 2n f (x) < 2n m (i + 1) and j 2n f (x) <
j + 1. Suppose it were 'm (x) > 'n (x), i.e. 2im > 2jn , then 2n m i > j j + 1, it would
imply that 2n f (x) 2n m i j + 1 > 2n f (x) ! .

Concluding 'm (x) 'n (x) for each x 2 X and 'n " f .
If f has a lower bound (not necessarily 0) there exists a > 0 s.t. f + a is greater than zero,
therefore there exists a sequence f'n g of simple and measurable functions s.t. 'n " f + a,
then 'n a " f (why?).
Let f 0 and bounded, then there exists n 2 N s.t. f (x) < n for each x 2 X. For
each k n and each x 2 X, f (x) < k, therefore there exists i 2 0; 2; :::; k 2k 1
s.t. 2ik f (x) < i+1
2k
and 'k (x) = 2ik . Thus, for each k n and each x 2 X it is
1
jf (x) 'k (x)j < 2k , then for each k n supx2X jf (x) 'k (x)j < 21k and 'n converges
pointwise to f .
If f is bounded (not necessarily 0), then there exists a > 0 s.t. f + a is greater than zero.
unif:
Then there exists a sequence f'n g of simple and measurable functions s.t. 'n ! f + a,
unif:
and therefore 'n a ! f (why?).
Finally for e generic measurable function f , f = f + f , and there exist two sequences
f'n g,f n g of simple and measurable functions s.t. 'n ! f + and n ! f , then 'n n !
f + f = f (why?). We have already proved that the limit of measurable functions is itself
measurable.

28
8 INTEGRATION OF SIMPLE AND MEASURABLE
FUNCTIONS WITH RESPECT TO A FINITE CHARGE
Let (X; F) be a measurable space and a …nite charge (s.t. (X) < 1) on F, then let
B0 (X; F) denote the set of all simple and measurable functions X.
P
N
Definition. Let ' 2 B0 (X; F), and ' = i Ai be its standard representation. the real
i=1
number
Z X
N
'd = i (Ai )
X i=1

is called integral of ' with respect to .

Facts.

1. For each A 2 F and c 2 R it is

Z
c Ad = c (A) :
X

[Obvious.]

2. For each ' 2 B0 (X; F) and c 2 R it is

Z Z
(' + c) d = 'd + c (X) :
X X

[Exercise.]

Lemma. If B1 ; B2 ; :::; BM 2 F, there exist C1 ; C2 ; :::; CK 2 F pairwise disjoint s.t. for each
F
l = 1; 2; :::; K, there exists j s.t. Cl Bj and Bj = Cl for each j = 1; 2; :::; M .
l:Cl Bj

Proof. For M = 1 it is obvious. Assume the equality holds for M elements of F. Consider
B1 ; B2 ; :::; BM ; BM +1 2 F, by induction, there exist C1 ; C2 ; :::; CK 2 F pairwise disjoint s.t.
S
for each l = 1; 2; :::; K there exist j s.t. Cl Bj and Bj = Cl for each j = 1; 2; :::; M .
l:Cl Bj
C C
Consider the 2K +1 sets C1 \BM +1 ; C1 \BM C2 \BM +1 ; C2 \BM
+1 ; +1 ; :::; CK \BM +1 ; CK \
C
S
M
BM +1 ; BM +1 n Bj 2 F, and rename them D1 ; D2 ; :::; D2K+1 : these are pairwise disjoint and
j=1

29
 S
each of them is contained in Bj for some j. If j < M +1 each Bj = Dh and, moreover:
h:Dh Bj

!
[
M
BM +1 = D2K+1 [ BM +1 \ Bj =
j=1
0 0 11
[
M [
= D2K+1 [ @BM +1 \ @ Dh AA =
j=1 h:Dh Bj
0 0 11
[
M [
= D2K+1 [ @ @ BM +1 \ Dh AA =
j=1 h:Dh Bj
0 0 11
[
M [
= D2K+1 [ @ @ BM +1 \ Dh AA :
j=1 h odd and Dh Bj

S
Then BM +1 = Dh .
h:Dh BM +1

P
M
Proposition. Let ' 2 B0 (X; F), and let ' = j Bj , with Bj 2 F for each j =
j=1
1; 2; :::; M , be a generic representation of '. Then
Z X
M
'd = j (Bj ) .
X j=1

P
N
Proof. Let ' = i Ai be the standard representation of '.
i=1
Let B1 ; B2 ; :::; BM be pairwise disjoint sets. Assume, without loss of generality, that j 6= 0
S
M S
for each j = 1; 2; :::; M . Then Bj = Ai and i (Ai \ Bj ) = j (Ai \ Bj ), for each
j=1 i: i 6=0
j = 1; 2; :::; M and each i s.t. i 6= 0. Then
Z !
X
N X [
M
'd = i (Ai ) = i Ai \ Bj =
X i=1 i: i 6=0 j=1

X X
M X
M X
= i (Ai \ Bj ) = i (Ai \ Bj ) =
i: i 6=0 j=1 j=1 i: i 6=0

X
M X X
M X
= j (Ai \ Bj ) = j (Ai \ Bj ) =
j=1 i: i 6=0 j=1 i: i 6=0

X
M
= j (Bj ) .
j=1

30
If B1 ; B2 ; :::; BM are not pairwise disjoint, then there exist C1 ; C2 ; :::; CK 2 F pairwise disjoint
F
s.t. for each l = 1; 2; :::; K, there exists j s.t. Cl Bj and Bj = Cl for each j =
l:Cl Bj
1; 2; :::; M (it follows from the lemma we have just shown).
Let (
j 1 Cl Bj
l = :
0 else
P
K
j P
K
j
Bj = l Cl and (Bj ) = l (Cl ).
l=1 l=1
Consider the following representation of '

X
M X
M X
K
j
X
M X
K
j
'= j Bj = j l Cl = j l Cl =
j=1 j=1 l=1 j=1 l=1
!
X
K X
M
j
X
K X
M
j
= j l Cl = j l Cl ;
l=1 j=1 l=1 j=1

since C1 ; C2 ; :::; CK are pairwise disjoint,

Z !
X
K X
M
j
X
M X
K
j
'd = j l (Cl ) = j l (Cl ) =
X l=1 j=1 j=1 l=1
!
X
M X
K
j
X
M
= j l (Cl ) = j (Bj ) .
j=1 l=1 j=1

Proposition. Let ' and 2 B0 (X; F), and ; 2 R. Then

Z Z Z
( '+ )d = 'd + d :
X X X

P
N P
M
Proof. Let ' = i Ai , = j Bj :
i=1 j=1

Z Z !
X
N X
M
( '+ )d = i Ai + j Bj : d =
X X i=1 j=1

X
N X
M
= i (Ai ) + j (Bj ) =
i=1 j=1
Z Z
= 'd + d :
X X

31
Proposition. Let ' and 2 B0 (X; F), if ' , then
Z Z
'd d :
X X

P
N
Proof. Clearly ' 0, let i Ai be its standard representation, then i 0 for each
i=1
i = 1; 2; :::; N and
Z Z Z X
N
'd d = (' )d = i (Ai ) 0:
X X X i=1

9 INTEGRATION OF BOUNDED MEASURABLE

FUNCTIONS WITH RESPECT TO A FINITE CHARGE
Let (X; F) be a measurable space and a …nite charge (s.t. (X) < 1) on F. Let B (X; F)
denote the set of all measurable and bounded functions on X.
unif:
Lemma. fn : X ! R. fn ! f i¤ there exists fdn g R+ s.t. dn ! 0 and fn dn f
unif: unif:
fn + dn for each n 2 N. In this case, fn dn ! f and fn + dn ! f .
unif:
Proof. If fn ! f , then supx2X jf (x) fn (x)j ! 0; set dn = supx2X jf (x) fn (x)j, then:

dn jf (x) fn (x)j f (x) fn (x) for each x 2 X, and hence f (x) fn (x) + dn ,

dn jf (x) fn (x)j fn (x) f (x) for each x 2 X, and hence fn (x) dn f (x).

Thus, fn (x) dn f (x) fn (x) + dn .

Vice-versa, if fn (x) dn f (x) fn (x) + dn for each x 2 X and each n 2 N, then
dn f (x) fn (x) dn for each x 2 X and each n 2 N, that is jf (x) fn (x)j dn for
each x 2 X and each n 2 N, thus supx2X jf (x) fn (x)j dn for each n 2 N.
Finally, set gn = fn dn , and d0n = 2dn , then:

gn d0n = fn 3dn fn dn
f fn + dn = gn + d0n ;
unif: unif:
therefore fn dn ! f , similarly, fn dn ! f .

32
Proposition (E). Let f be a measurable and bounded function, then:
8 9 8 9
<Z = <Z =
sup 'd : ' 2 B0 (X; F) ; ' f = inf 'd : ' 2 B0 (X; F) ; ' f .
: ; : ;
X X
unif:
If f'n g is a sequence of simple and measurable functions s.t. 'n ! f , then the common
R
value for the two terms is limn 'n d .
X
Proof. Set: 8 9
<Z =
I (f ) = sup 'd : ' 2 B0 (X; F) ; ' f
: ;
X
and 8 9
<Z =
I (f ) = inf 'd : ' 2 B0 (X; F) ; ' f :
: ;
X
Obviously 1 < I (f ) I (f ) < 1. Let f'n g be a sequence of simple and measurable
unif:
functions s.t. 'n ! f , then there exists fdn g R+ s.t. dn ! 0 and 'n dn f 'n + dn ,
then for each n 2 N;
Z Z
('n dn ) d I (f ) I (f ) ('n + dn ) d
X X

and therefore:
R
dn (X) I (f ) 'n d dn (X) and
X
R
dn (X) I (f ) 'n d dn (X),
X
R
thus I (f ) = limn 'n d = I (f ) :
X

Definition. Let f 2 B (X; F). The real number

8 9
Z <Z =
S f d = sup 'd : ' 2 B0 (X; F) ; ' f
: ;
X X

is called Stieltjes integral of f with respect to .

If f is simple considering the sequence 'n = f for each n it’s easy to obtain
Z Z Z
S f d = lim 'n d = f d .
n
X X X
R
R
Consistently with that, for f 2 B (X; F) we use f d instead of S f d .
X X

Proposition. Let f; fn ,g 2 B (X; F), and ; 2 R. Then:

33
 R R R
1. ( f + g) d = fd + gd :
X X X
R R
2. f g ) fd gd :
X X

unif: R unif: R
3. fn ! f ) fn d ! fd .
X X

Proof. Exercise. Hints: 1.) Notice that if f'n g ; f n g are sequences of simple and measurable
unif: unif: unif:
functions s.t. 'n ! f and n ! g, then 'n ! f for each 2 R (verify it), and
unif:
n + n ! f + g (verify it). 2.) Notice that ' 2 B0 (X; F) and ' f implies ' g. 3.)
Use the Lemma we have shown at the beginning of the section.

Proposition. Let I : B (X; F) ! R s.t for each f; g 2 B (X; F) and each ; 2 R:

1. I ( f + g) = I (f ) + I (g) :

2. f g ) I (f ) I (g) :

Then there exists one and only one …nite charge on F s.t.
Z
I (f ) = f d
X

for each f 2 B (X; F).

Moreover, if for each sequence ffn g in B (X; F) of nonnegative functions s.t. fn " f 2
B (X; F) it holds that I (fn ) ! I (f ), then is a measure.
R
Proof. Exercise. Hint: set (A) = I ( A ) for each A 2 F, show that I (') = 'd for
X
each ' 2 B0 (X; F), then consider a sequence f'n g of simple and measurable functions s.t.
unif:
'n ! f and use the Lemma of the beginning of the section and Proposition (E).

10 INTEGRATION OF NONNEGATIVE FUNCTIONS

WITH RESPECT TO A MEASURE
Let (X; F) be a measurable space and a measure on F (we say (X; F; ) is a measure
space). Let B0+ (X; F) denote the set of all simple, measurable and nonnegative functions
on X.
P
N
Definition. Let ' 2 B0+ (X; F), and let ' = i Ai be its standard representation. The
i=1
extended real number
Z X
N
'd = i (Ai )
X i=1

34
is called integral of ' with respect to .

Facts.

1. For each A 2 F and c 0 it is

Z
c Ad = c (A) :
X

[Obvious.]

2. For each ' 2 B0+ (X; F) and c 0 it is

Z Z
(' + c) d = 'd + c (X) :
X X

[Exercise.]

P
M
Proposition. Let ' 2 B0+ (X; F), and let ' = j Bj , with Bj 2 F for each j =
j=1
1; 2; :::; M be a generic representation for '. Then
Z X
M
'd = j (Bj ) .
X j=1

Proof. Repeat exactly that designed for the case of …nite charge.

Proposition Let '; 2 B0+ (X; F), ; 0. Then:

R R R
1. ( f + g) d = fd + gd :
X X X
R R
2. ' ) 'd d :
X X

Proof. Exercise. Hints: 1.) Repeat exactly that designed for the case with …nite charge.
PN P
M
2.) Let ' = i Ai , = j Bj , and let C1 ; C2 ; :::; CK be a partition for fAi \ Bj g; it
i=1 j=1
P
K P
K
can be written ' = k Ck , = k Ck , moreover ' implies k k for each
k=1 k=1
k = 1; 2; :::; K, then....

Notice that if ' is simple and measurable, then ' E is so ( A B = A\B ).

35
Definition. If ' 2 B0+ (X; F) and E 2 F, set
Z Z
'd = ' Ed :
E X

This extended real number is called Lebesgue integral of ' with respect to over E.

Proposition. Let '; 2 B0+ (X; F), ; 0, Then:

P
N R P
N
1. If ' = i Ai , then 'd = i (Ai \ E) for each E 2 F:
i=1 E i=1
R R R
2. ( '+ )d = 'd + d for each E 2 F:
E E E
R R
3. ' ) 'd d for each E 2 F:
E E
R
4. The function de…ned as ' (E) = 'd for each E 2 F is a measure.
E
R
Proof. Steps 1.,2.,3. are an exercise. Obviously ' (E) = 'd 2 [0; 1] for each E 2 F and
R R R E
' (;) = 'd = ' ; d = 0d = 0: If A; B 2 F and A \ B = ;, then
; X X
Z Z
' (A [ B) = ' AtB d = '( A + B) d =
ZX Z X

= ' Ad + ' Bd = ' (A) + ' (B) .

X X

P
N
Let ' = i Ai and fBn gn2N F, Bn " B. Notice that, for each i = 1; 2; :::; N ,
i=1
fAi \ Bn gn2N F, Ai \ Bn " Ai \ B, and limn (Ai \ Bn ) = (Ai \ B). Then:
Z !
XN
lim ' (Bn ) = lim i Ai Bn d =
n n X i=1
Z X
N Z X
N
= lim i Ai Bn d = lim i Ai \Bn d =
n X i=1 n X i=1

X
N X
N
= lim i (Ai \ Bn ) = i lim (Ai \ Bn ) =
n n
i=1 i=1
X
N
= i (Ai \ B) = ' (B) :
i=1

36
Definition. Consider a measurable function f : X ! [0; 1]. The extended real number
8 9
Z <Z =
+
L f d = sup 'd : ' 2 B0 (X; F) ; ' f
: ;
X X
R R
is called the Lebesgue integral of f with respect to . If E 2 F, we set f d = f Ed :
E X
R R
If f is simple, clearly f d L f d . For the reverse inequality consider that for each
X R X R R R
' 2 B0+ (X; F), ' f implies 'd f d , and therefore L f d f d . If f is bounded
X X X X
R R R
and …nite, by de…nition S f d = sup 'd : ' 2 B0 (X; F) ; ' f L f d ; on
X X X
the other hand, for each ' 2 B0 (X; F), ' f , '+ 2 B0+ (X; F), ' '+ f , then
R R + R R R R
'd ' d L f d and S f d = sup 'd : ' 2 B0 (X; F) ; ' f L fd .
X X X X X R X
Consistently with this, for f 0 measurable function it is possible to write f d instead of
R X
L fd .
X
R R
Proposition. Let f; g : X ! [0; 1] be measurable functions. If f g, then f d gd :
X X

Proof. Notice that ' 2 B0+ (X; F) and ' f implies ' g.

Monotone Convergence Theorem. Let fn : X ! [0; 1] be measurable functions. If

R R
fn " f , then fn d " f d .
X X
R
Proof. According to the previous Proposition, fn d is an increasing sequence, suppose
R RX R
fn d " , since fn f for each n 2 N, f d . It remains to prove that fd .
X X X
Take 0 < c < 1 and ' 2 B0+ (X; F) s.t. ' f . Set

En = fx 2 X : fn (x) c' (x)g

For each n 2 N, En = fx 2 X : fn (x) c' (x) 0g 2 F. En " in fact x 2 En ) fn (x)

c' (x) ) fn+1 (x) fn (x) c' (x) ) x 2 En+1 . If f (x) = 0, then fn (x) = 0 for each
n and ' (x) = 0, and x 2 En ; if f (x) > 0, then c' (x) < f (x) and there exists n 2 N s.t.
S
fn (x) > c' (x), that is x 2 En . It follows X = 1 n=1 En and En " X. Then ( En 1 for
each n) Z Z Z Z Z
fn d fn En d c' En d =c ' En d =c 'd :
X X X X En

Passing to the limit ( ' is a measure):

Z
c 'd :
X

37
The inequality holds for each 0 < c < 1 and ' 2 B0+ (X; F) s.t. ' f . Then if you choose
c = 1 n1 and pass again to the limit,
Z
'd :
X
R
for each ' 2 B0+ (X; F) s.t. ' f . Finally fd :
X

Notice that, if fn # f , the Theorem doesn’t hold (Consider as an example R with the
Lebesgue measure and the sequences fn (x) = n1 or fn (x) = [n;1) ).

Proposition. Let f; g; un : X ! [0; 1] be measurable functions, and take ; 0. Then:

R R R
1. ( f + g) d = fd + fd :
X X X

R P
1 1 R
P
2. un d = un d .
X n=1 n=1X
R
3. The function de…ned as f (E) = f d for each E 2 F is a measure.
E
R
4. If (E) = 0, then f (E) = f d = 0.
E
R
5. If f d = 0, then fx 2 X : f (x) 6= 0g = 0.
X

Proof. 1.) Let f'n g ; f n g be sequences of simple measurable and nonnegative functions s.t.
'n " f , n " g, then 'n + n " f + g (why?), and
Z Z
(f + g) d = lim ('n + n ) d =
n
X X
0 1
Z Z
= lim @ 'n d + nd
A=
n
X X
Z Z
= lim 'n d + lim nd =
n n
X X
Z Z
= fd + gd .
X X
R R
Similarly it is possible to prove that: fd = fd .
X X
P
1 P
N
2.) We can write u = un i¤ un " u, and therefore u : X ! [0; 1] is measurable (why?)
n=1 n=1

38
and
Z Z !
X
N
ud = lim un d =
n
n=1
X X
N Z
X
= lim un d =
n
n=1
X
1 Z
X
= un d .
n=1 X

3.) Exercise. Hint: If Bn " B, then f Bn " f B .

R R
4.) Exercise. Hint: f E 1 E and 1 E d = limn n Ed .
X X
1
5.) Let E = fx 2 X : f (x) 6= 0g = fx 2 X : f (x) > 0g, En = x 2 X : f (x) > n
, En "
E. But for each n 2 N;
Z Z Z
1 1
0 = fd f En d En = (En ) ,
n n
X X X

and therefore (E) = limn (En ) = 0.

Fatou’s Lemma. Consider fn : X ! [0; 1] measurable functions, then

Z Z
limn fn d limn fn d .
X X

Proof. First of all observe that f = limn fn : X ! [0; 1] is measurable (why?). For each
x 2 X, limn fn (x) = supk2N (inf n k fn (x)), then for each k 2 N set gk (x) = inf n k fn (x).
gk " f and fk gk for each k 2 N. By the Monotone Convergence Theorem
Z Z
limn fn d = lim gn d
n
X X
Z Z
= limn gn d limn fn d .
X X

It might be that the previous hold as a strict inequality. Consider, as an example,

A; B 2 F s.t. A \ B = ;, (A) ; (B) > 0, and set
(
A if n is even
fn = :
B if n is odd

39
 R R
It is limn fn d = 0 and limn fn d
= min ( (A) ; (B)) (why?). The same doesn’t
X X R
hold for limn ( as an example, with fn as above it is limn fn d = (A) + (B) >
R X R
max ( (A) ; (B)) = limn fn d ; on the other hand, for fn (x) = n1 , limn fn d = 0 <
R X X
1 = limn fn d ).
X

11 SUMMABLE FUNCTIONS
Let (X; F) be a measurable space and be a measure on F. If we consider a generic
measurable function f : X ! R (or [ 1; 1]), it is f = f + f where f + ; f : X ! [0; 1]
are measurable functions, smart as a fox...

Definition. Let f : X ! R (or [ 1; 1]) be a measurable function. When it exists, the

extended real number Z Z Z
+
L fd = f d f d
X X X
R R
is called the Lebesgue integral of f with respect to . If E 2 F, it is L f d = L f E d .
R R E X
When f + d ; f d < 1, f is said to be summable. If E 2 F, f is said to be summable
X X
on E if f E is summable.

Notice that, if f is bounded and …nite, it is

Z Z Z Z
+
S fd = S f f d = S f +d S f d =
X
ZX Z X
Z X

= f +d f d = L fd .
X X X
R R
Consistently with this, for f measurable we can write (if it exists) f d instead of L f d .
X X

Proposition. Let f : X ! R (or [ 1; 1]) be a measurable function. The function f is

summable i¤ Z
jf j d < 1.
X

40
Proof. As jf j = f + + f then
Z Z Z
+
jf j d < 1 , f d + f d < 1
X
ZX X
Z
+
, f d and f d <1
X X

The set of all summable functions is denoted by L (X; F; ) or, shortly, L.

Facts.

1. If f; g 2 L and ; 2 R, then f + g 2 L.
[Exercise. Hint: j f + gj j j jf j + j j jgj.]
R R R
2. If f; g 2 L, then ( f + g) d = f d + gd .
X X X
[Exercise. Hint: let h = f + g, h = h+ h , then h+ h = f + f + g + g i.e.
h+ + f + g = f + + g + + h , thus
Z Z
+
h +f +g d = f + + g+ + h d ,
X X

and therefore
Z Z Z Z Z Z
+ + +
h d + f d + g d = f d + g d + h d .
X X X X X X
R R R
Reordering we can conclude (f + g) d = fd + gd (verify that each step
X X X
is legitimate thanks to properties of integrals for nonnegative functions). To show
R R
( f) d = f d , verify it for > 0,and for = 0, = 1, then put them
X X
together.]
R R
3. If f; g 2 L and f g, then f d gd .
X X
[Exercise. Hint: f g i¤ f g 0.]
R R
4. If f 2 L, then fd jf j d .
X X
[Exercise. Hint: f; f jf j.]

5. If f is summable on E 2 F and E D 2 F, then f is summable on D.

[Exercise.]

41
 6. If f is summable on A; B 2 F with A \ B = ;, then f is summable on A t B and
Z Z Z
fd = fd + fd :
AtB A B

[Exercise.]
R
7. If f 2 L and f d = 0 for each A 2 F, then (fx 2 X : f (x) 6= 0g) = 0.
A S
[Exercise. Hint: ff > 0g = n f > n1 .]

Dominated Convergence Theorem. Let g; f; fn : X ! R (or [ 1; 1]) be measurable

functions. If fn ! f , jfn j g and g is summable, then fn ; f are summable and
Z
jf fn j d ! 0:
X

R R R R R
In particular, fd fn d jf fn j d ! 0, that is fn d ! f d .
X X X X X

Proof. If jfn j ! jf j, then 0 jfn j ; jf j g, and therefore fn ; jfn j 2 L.

Set gn = 2g jfn f j, gn 0; in fact jfn f j jfn j + jf j 2g.
gn ! 2g. By Fatou’s Lemma,
Z Z Z
(2g) d = limn gn d limn gn d =
X X X
0 1
Z Z Z
= limn 2g jfn f j d = limn @ 2gd jfn fj d A
X X X
0 1 0 1
Z Z Z Z
2gd + limn @ jfn fj d A = 2gd limn @ jfn fj d A .
X X X X
Thus 0 1 0 1
Z Z
0 limn @ jfn f j d A i.e. limn @ jfn fj d A 0,
X X
…nally 0 1 0 1
Z Z
0 limn @ jfn fj d A limn @ jfn fj d A 0,
X X
and 0 1
Z
lim @ jfn f j d A = 0:
n
X

42
12 PROPERTIES HOLDING ALMOST EVERYWHERE
Let (X; F) be a measurable space and be a complete measure on F.

Definition. A property P holds -almost everywhere (brie‡y -a.e. or a.e.) if

fx 2 X : on x P doesn’t holdg 2 F and it has zero measure.

Since is complete it is enough to show that there exists N 2 F s.t. fx 2 X : on x P doesn’t holdg
N and (N ) = 0.

As an example, take fn ; f; g : X ! R (or [ 1; 1]), h : Y ! R (or [ 1; 1]) with

Y X.

f = g a.e. i¤ fx 2 X : f (x) 6= g (x)g 2 F and

(fx 2 X : f (x) 6= g (x)g) = 0.

f g a.e. i¤ fx 2 X : f (x) < g (x)g 2 F and

(fx 2 X : f (x) < g (x)g) = 0.

If X = R, f is continuous a.e. i¤ fx 2 X : f is discontinuous in xg 2 F and

(fx 2 X : f is discontinuous in xg) = 0.
a:e:
fn converges to f a.e. (fn ! f ) i¤ fx 2 X : fn (x) 6! f (x)g 2 F and
(fx 2 X : fn (x) 6! f (x)g) = 0.

h is de…ned a.e. i¤ X Y 2 F (in particular Y 2 F) and (X Y ) = 0.

Proposition. Consider f; g : X ! R (or [ 1; 1]), with f = g a.e.

1. If f is measurable, then g is measurable.

R R
2. If f and g are measurable and nonnegative, then f d = gd .
X X
R R
3. If f 2 L, then g 2 L and f d = gd .
X X

Proof. Set N = fx 2 X : f (x) 6= g (x)g.

1.) Then fx 2 X : g (x) ag = fx 2 X : g (x) ag \ (N [ N c ) = (fx 2 X : g (x) ag \ N ) [
(fx 2 X : g (x) ag \ N c ) = (fx 2 X : g (x) ag \ N ) [ (fx 2 X : f (x) ag \ N c ),
but fx 2 X : f (x) ag \ N c 2 F (why?) and fx 2 X : g (x) ag \ N N is measurable
and with zero measure.

43
 R R R R R R R R
2.) fd = fd + fd = f Ncd and gd = gd + gd = g Ncd , but
X X N N X X X N N X
f Nc = g Nc.
R
3.) Set M = fx 2 X : jf (x)j =6 jg (x)jg N , then jf j = jgj a.e., if f 2 L, then jgj d =
R X
jf j d < 1 and g 2 L. Then setting M + = fx 2 X : f + (x) 6= g + (x)g and M =
X R R
fx 2 X : f (x) 6= g (x)g, it is M + ; M N (why?), and therefore f d = gd (why?).
X X

As a consequence, if f is de…ned almost everywhere, then it has a measurable completion

i¤ all its completions are measurable (why?); moreover all its completions have the same
integral (when it exists, why?). Thus, measurability, summability, the value of the integral
and its properties are concept pertaining functions de…ned almost everywhere. Furthermore:

Facts. Let f; fn ; g; f 0 ; fn0 ; g 0 : X ! R (or [ 1; 1]) s.t. f = f 0 a.e., fn = fn0 and g = g 0 a.e.

1. f + g = f 0 + g 0 a.e. (if they are at least de…ned a.e.).

[Exercise.]

2. f = g a.e. for each 2 R.

[Exercise.]

3. If fn ! f a.e., then fn0 ! f 0 a.e..

[Exercise.]
R
4. If f 0, f is measurable and X f d < 1, then f is …nite a.e..

R
[Set A = fx : f (x) = 1g, f n A for each n 2 N, if (A) > 0, then fd n (A)
R X
for each n 2 N implies X f d = 1 ! .]

1. If f is summable, then f is …nite a.e..

[Exercise.]

Proposition we have proved so far continue to hold, as an example:

Dominated Convergence Theorem (a.e.). Consider g; f; fn : X ! R (or [ 1; 1])

measurable functions which are de…ned a.e.. If fn ! f a.e., jfn j g a.e. and g is summable,
then fn ; f are summable and Z
jf fn j d ! 0:
X

Proof. Let:

44
 N be the set on which g is not de…ned,

M (resp. Mn ) be the set on which f (resp. fn ) is not de…ned,

E be the set in which fn 6! f ,

En be the set in which jfn j > g,

S S
A = [N [ M [ ( n Mn ) [ E [ ( n En )].

(A) = 0. Let g; f ; fn be the functions that coincide with g; f; fn on Ac and are zero on A.
g; f ; fn satisfy the hypothesis of the Dominated Convergence Theorem, therefore
Z
f fn d ! 0;
X
R R
but f fn d = jf fn j d for each n 2 N (why?).
X X

Consider …nite measure and bounded functions, then the following "counterpart" of Pro-
position (E) holds

Proposition (E). Let f : X ! R be a bounded function s.t.

8 9 8 9
<Z = <Z =
sup 'd : ' 2 B0 (X; F) ; ' f = inf 'd : ' 2 B0 (X; F) ; ' f .
: ; : ;
X X

Then f is measurable.
Proof. There exists a sequence f' bn g B0 ( ; F) s.t. ' bn f for each n 2 N, and
R
lim ' bn d = I (f ) (why?). Let 'n = max f' b1 ; '
b2 ; :::; '
bn g for each n 2 N, then f'n g
n!1
R R R
B0 ( ; F), and ' bn 'n 'n+1 f for each n 2 N. Thus ' bn d 'n d 'n+1 d
R X X X
I (f ) for each n 2 N, and hence 'n d " I (f ). Similarly, it is possible to build a sequence
R
f n g B0 ( ; F) s.t. f n+1 n and n d # I (f ). Set f = lim 'n and f = lim n ,
X
then
'n f f f n

for each n 2 N, thus

Z Z Z Z
0 f f d ( n 'n ) d = nd 'n d
X X X X

for each n 2 N, and f f = 0 a.e. (why?), then f = f a.e.. Notice that x 2 X : f (x) 6= f (x)
x 2 X : f (x) 6= f (x) , and therefore f = f a.e.

45
13 RIEMANN (STIELTJES) Vs LEBESGUE (STIELTJES)
Let X = [a; b]. (E) delivers the following:

Corollary. Let be the Lebesgue measure on [a; b], and F be the Lebesgue -algebra. If
the function f : [a; b] ! R is Riemann integrable, then f is summable and, if we denote by
R
R f (x) dx the Riemann integral of f , it is
[a;b]
Z Z
fd = R f (x) dx.
[a;b] [a;b]

R R
Proof. Let R f (x) dx and R f (x) dx be the upper and lower Riemann integral of f . Notice
[a;b] [a;b]
that
8 9
Z <Z =
R f (x) dx sup 'd : ' 2 B0 ([a; b] ; F) ; ' f
: ;
[a;b] X
8 9
<Z =
inf 'd : ' 2 B0 ([a; b] ; F) ; ' f
: ;
X
Z
R f (x) dx (why?),
[a;b]

R R
but R f (x) dx = R f (x) dx.
[a;b] [a;b]

Moreover it holds the following result:

Proposition. Let be the Lebesgue measure on [a; b], F be the Lebesgue -algebra;
consider a bounded function f : [a; b] ! R. Then, f : [a; b] ! R is Riemann integrable i¤ it
is continuous a.e..
Proof. See, as an example, Royden p.85.

Similarly, if F : R ! R is an increasing and right continuous function, F is (the comple-

tion of) the Lebesgue-Stieltjes measure induced by F on B ([a; b]), and FF is the -algebra
of F -measurable sets.

Corollary. If the function f : [a; b] ! R is Riemann-Stieltjes integrable on [a; b] with

R
respect to F , then f is summable and, denoted by R f (x) dF (x) the Riemann-Stieltjes
[a;b]

46
integral of f , it is
Z Z
f d = f (a) F (a) F a +R f (x) dF (x) .
[a;b] [a;b]

R R
Proof. Let R f (x) dF (x) and R f (x) dF (x) the upper and lower Riemann-Stieltjes integ-
[a;b] [a;b]
ral of f . Notice that
8 9
Z <Z =
f (a) F (a) F a +R f (x) dF (x) sup 'd : ' 2 B0 ([a; b] ; F) ; ' f
: ;
[a;b] X
8 9
<Z =
inf 'd : ' 2 B0 ([a; b] ; F) ; ' f
: ;
X
Z
f (a) F (a) F a +R f (x) dF (x) (why?),
[a;b]

R R
but R f (x) dF (x) = R f (x) dF (x).
[a;b] [a;b]

14 PRODUCT SPACES AND FUBINI TONELLI THE-

OREM
Let (X; F; ) and (Y; G; ) be two measure spaces.

Proposition. The class

F G = fA B : A 2 F; B 2 Gg

is a semialgebra of subsets of X Y . Moreover the function

: F G ! [0; 1]
A B 7! (A) (B)

is a measure on F G.
Proof. Since X 2 F and Y 2 G, X Y 2 F G; similarly ; = ; Y 2 F G. If
A B; C D 2 F G, then (A B)\(C D) = (A \ C) (B \ D) 2 F G. Finally, if A
B 2 F G, then (A B)c = (A B c )t(Ac B)t(Ac B c ). Thus F G is a semialgebra.
It can be easily veri…ed that ( ) (;) = 0. Consider the sequence fAn Bn gn2N F G

47
 F
and set A B = 1 n=1 An Bn 2 F G. Then let fAn Bn g = 6 ; for each n 2 N.
Fix x 2 A. Set Nx = fn 2 N : x 2 An g = fn 2 N : An (x) = 1g. For each y 2 B, (x; y) 2
A B, and there exists a unique n s.t. (x; y) 2 An Bn . This implies that for each y 2 B
there exists an unique n s.t. x 2 An and y 2 Bn . It follows that for each y 2 B there exists
S
an unique n 2 Nx s.t. y 2 Bn . Therefore B Bn , vice-versa, if there exists n 2 Nx s.t.
n2Nx S
y 2 Bn , then x 2 An and y 2 Bn , i.e. (x; y) 2 An Bn thus y 2 B and Bn B. If there
n2Nx
existed n; m 2 Nx s.t. y 2 Bn \ Bm , then x 2 An and y 2 Bn , so (x; y) 2 An Bn , but also
F
x 2 Am and y 2 Bm , so (x; y) 2 Am Bm , which is absurd if n 6= m. Thus, B = Bn and
n2Nx
X X
(B) A (x) = (B) = (Bn ) = (Bn ) An (x) .
n2Nx n2N

= A, then An (x) = 0 for each n 2 N (if it were x 2 An for some n, choosing

If we let x 2
y 2 Bn it would be (x; y) 2 An Bn and x 2 A, ! ), and
X
(B) A (x) = (Bn ) An (x) .
n2N
P
Thus (by the Dominated Convergence Theorem), (B) A = (Bn ) An implies
n2N
Z XZ X
(B) (A) = (B) Ad = (Bn ) An d = (Bn ) (An ) :
X n2N X n2N

If instead fAn Bn g = ; for some n 2 N, then either A B = ;, and the result is

F
straightforward, or A B = n:An Bn 6=; An Bn , and it is enough to apply the previous
result to derive the statement.

The extension results guarantee that can be extended to a measure on

(F G), such a -algebra is denoted by F G.

Definition. F G is called the product -algebra of F and G while is called

product measure of and .

If and are -…nite, then is -…nite (why?) and it is the unique extension of
to F G.
From now on we will consider -…nite and .

For each Q X Y , x 2 X and y 2 Y , set

Qx = fy 2 Y : (x; y) 2 Qg and
Qy = fx 2 X : (x; y) 2 Qg .

48
It is straightforward to see that maps Q 7! Qx and Q 7! Qy preserve all the usual operations
between sets.

Proposition. If Q 2 F G then Qx 2 G and Qy 2 F for each x 2 X and each y 2 Y .

Proof. It’s enough to prove that the class

T = fQ 2 F G : Qx 2 G and Qy 2 F 8 (x; y) 2 X Yg

coincides with F G. Clearly T F G:

If Q = A B 2 F G, then A 2 F and B 2 G, and Q 2 F G. Moreover:

if x 2 A, Qx = fy 2 Y : (x; y) 2 A Bg = B 2 G,

if x 2
= A, Qx = fy 2 Y : (x; y) 2 A Bg = ; 2 G,

thus Qx 2 G for each x 2 X, a similar argument can be used for Qy for y 2 Y , then
F G T.
It remain to show that T is a -algebra.
X Y 2F G T.
S
Let fQn g T and Q = 1 n=1 Qn . Then Q 2 F G. Moreover: for each x 2 X,

Qx = fy 2 Y : (x; y) 2 Qg =
= fy 2 Y : 9n s.t. (x; y) 2 Qn g =
= fy 2 Y : 9n s.t. y 2 (Qn )x g =
[1
= (Qn )x 2 G;
n=1
S1
similarly, for each y 2 Y , Q = n=1 (Qn )y 2 F. Then, Q 2 T .
y

Let Q 2 T ; then Qc 2 F G. Moreover: for each x 2 X,

(Qc )x = fy 2 Y : (x; y) 2 Qc g =
= fy 2 Y : (x; y) 2
= Qg =
= (Qx )c 2 G;

analogously, for each y 2 Y , (Qc )y = (Qy )c 2 F. Thus Qc 2 T .

Attention: in general there exist subsets Q X Y s.t. Qx 2 G and Qy 2 F for each

(x; y) 2 X Y , but not belonging to F G.

Let f : X Y ! R (or [ 1; 1]). For each x 2 X and y 2 Y , set

fx (y) = f (x; y) 8y 2 Y and

f y (x) = f (x; y) 8x 2 X.

49
fx is called x-section of f , analogously f y is called y-section of f . It is easy to see that maps
f 7! fx and f 7! f y preserve all the usual operations.

Proposition. Let f : X Y ! R (or [ 1; 1]) be measurable with respect to F G.

Then, for each x 2 X and y 2 Y , fx is measurable with respect to G and f y is measurable
with respect to F.
Proof. If A R (or [ 1; 1]),

fx 1 (A) = fy 2 Y : fx (y) 2 Ag =
= fy 2 Y : f (x; y) 2 Ag =
1
= y 2 Y : (x; y) 2 f (A) =
1
= f (A) x
:

Choosing A = [a; 1) and letting a vary in R, from f 1 ([a; 1)) 2 F G it follows

1 1
fx ([a; 1)) = [f ([a; 1))]x 2 G, thus fx is measurable with respect to G. Analogously, for
each y 2 Y , f y is measurable with respect to F.

Proposition. Let Q 2 F G, and let p : X ! [0; 1], q : Y ! [0; 1] be de…ned as

p (x) = (Qx ) for each x 2 X, and

q (y) = (Qy ) for each y 2 Y .

Then, p and q are measurable (with respect to F and G) and it is

Z Z
pd = ( ) (Q) = qd .
X Y

R R y
Notice that p (x) = Y
( Q )x d and q (y) = X
( Q) d .
Proof. It is enough to show that the class T of subsets of Q 2 F G s.t. p and q are
measurable and s.t. it is Z Z
pd = ( ) (Q) = qd ,
X Y
coincides with F G. The proof is long: we develop it through several steps.
Step 0. F G T .
If Q = A B 2 F G, then A 2 F and B 2 G, and Q 2 F G. Moreover,
(
(B) if x 2 A
p (x) = (Qx ) = = (B) A , and
0 if x 2
=A
(
(A) if y 2 B
q (y) = (Qy ) = = (A) B .
0 if y 2
=B

50
Thus, p and q are measurable and
Z Z
pd = (A) (B) = qd ,
X Y

therefore Q 2 T .
Step 1. If fQn g T , and Qn " Q, then Q 2 T .
(Obviously Q 2 F G.) Let pn (x) = ((Qn )x ) and qn (y) = ((Qn )y ). For each n 2 N, pn
and qn are measurable and
Z Z
pn d = ( ) (Qn ) = qn d .
X Y

We show that pn " p. In fact, for each …xed x 2 X, for each n 2 N

(Qn )x = fy 2 Y : (x; y) 2 Qn g fy 2 Y : (x; y) 2 Qn+1 g = (Qn+1 )x ;

S S1 S1
and (Qn )x " 1 n=1 (Qn )x , but Q = n=1 Qn implies Qx = n=1 (Qn )x , that is (Qn )x " Qx .
Then, pn (x) = ((Qn )x ) " (Qx ) = p. Analogously, qn " q. It follows that p and q are
measurable and
Z Z Z Z
pd = lim pn d = lim ( ) (Qn ) = lim qn d = qd .
X n X n n Y Y

Step 2. Let and be …nite. If Q; R 2 T , Q R, then Q R 2 T .

We use weaker assumption: let Q; R 2 T be s.t. Q R, and Q A B2F G with
(A) ; (B) < 1:
(Obviously Q R 2 F G.) Fix x 2 X, then

(Q R)x = fy 2 Y : (x; y) 2 Q Rg =
= fy 2 Y : (x; y) 2 Q and (x; y) 2 Rc g =
= fy 2 Y : (x; y) 2 Qg \ fy 2 Y : (x; y) 2 Rc g =
= Qx \ (Rc )x = Qx \ (Rx )c = Qx Rx

analogously, (Q R)y = Qy Ry for each y 2 Y . Let:

pQ (x) = (Qx ) 8x 2 X, it is 0 pQ (x) (B) A 8x 2 X, thus pQ (x) 2 L (X; F; ).

pR (x) = (Rx ) 8x 2 X, it is 0 pR (x) (B) A 8x 2 X, thus pR (x) 2 L (X; F; ).

pQ R (x) = ((Q R)x ) 8x 2 X,

qQ (y) = (Qy ) 8y 2 Y , it is 0 qQ (y) (A) B 8x 2 X, thus qQ (y) 2 L (Y; G; ).

qR (y) = (Ry ) 8y 2 Y , it is 0 qR (y) (A) B 8x 2 X, thus qQ (y) 2 L (Y; G; ).

51
 qQ R (x) = ((Q R)y ) 8y 2 Y .

Notice that
pQ R = pQ pR and qQ R = qQ qR ;
but pQ , pR , qQ and qR are summable, thus pQ pR and qQ R = qQ qR are summable, and
it is
Z Z
pQ d = ( ) (Q) = qQ d and
X Y
Z Z
pR d = ( ) (R) = qR d .
X Y

Subtracting in each term it follows Q R 2 T .

Step 3. Let and be …nite. Then T = F G.
By steps 1 and 2 and since T F G 3 X Y , then T is a -class containing the -class
F G, by Dynkin’s Lemma, T (F G) = F G, the reverse inclusion is trivial.
Step 4. T = F G.
Let and be -…nite. There exists a sequence fAn gn2N F s.t. (An ) < 1 for each
S1
n 2 N and X = n=1 An , analogously there exists a sequence fBn gn2N F s.t. (Bn ) < 1
S
for each n 2 N and X = 1 n=1 Bn . We can assume that An " X and Bn " Y , therefore
An Bn " X Y . Set

T 0 = fQ 2 F G : Q \ (An Bn ) 2 T for each n 2 Ng .

If Q 2 F G, then Q = A B, and

Q \ (An Bn ) = (A \ An ) (B \ Bn ) 2 T

thus F G T 0 .
If fQm g T 0 , and Qm " Q, then Q 2 T 0 . Fixing n 2 N, for each m 2 N Qm \(An Bn ) 2 T ,
but (for m ! 1) Qm \ (An Bn ) " Q \ (An Bn ) and by Step 1, Q \ (An Bn ) 2 T .
Since n 2 N is arbitrary, Q 2 T 0 .
If Q; R 2 T 0 , Q R, then Q R 2 T 0 . Fixing n 2 N, Q\(An Bn ) 2 T , R\(An Bn ) 2 T ,
R \ (An Bn ) Q \ (An Bn ) An Bn , by Step 2, Q \ (An Bn ) R \ (An Bn ) 2 T ,
then (Q R) \ (An Bn ) = Q \ (An Bn ) R \ (An Bn ) 2 T . Since n 2 N is arbitrary,
Q R 2 T 0.
Thus T 0 is a -class containing F G and, by Dynkin’s Lemma, T 0 (F G) = F G,
0
the reverse inclusion is trivial, and T = F G. It follows that, for each Q 2 F G,
Q \ (An Bn ) 2 T for each n 2 N, but Q \ (An Bn ) " Q and therefore, by Step 1, Q 2 T .
Then we have F G T ; The reverse inclusion is trivial.

52
 R R
If h : X ! R (or [ 1; 1]) we sometimes write X
h (x) d (x) instead of X
hd .

Tonelli’s Theorem. Let f : X Y ! [0; 1] be measurable with respect to F G. Then

a) the function y 7! f (x; y) is measurable with respect to G for each x 2 X,

b) the function x 7! f (x; y) is measurable with respect to F for each y 2 Y ,

R
c) the function x 7! Y f (x; y) d (y) is measurable with respect to F,
R
d) the function y 7! X f (x; y) d (x) is measurable with respect to G,

e) the following equality holds:

Z Z Z
f (x; y) d (y) d (x) = f (x; y) d ( ) (x; y)
X Y X Y
Z Z
= f (x; y) d (x) d (y) .
Y X

Proof. We can rewrite statements a),b),c),d),e) using the sections of f :

a) the function fx : y 7! f (x; y) is measurable with respect to G for each x 2 X,

b) the function f y : x 7! f (x; y) is measurable with respect to F for each y 2 Y ,

R
c) the function x 7! Y fx (y) d (y) is measurable with respect to F,
R
d) the function y 7! X f y (x) d (x) is measurable with respect to G,

e) the following equality holds:

Z Z Z
fx (y) d (y) d (x) = f (x; y) d ( ) (x; y)
X Y X Y
Z Z
= f y (x) d (x) d (y) .
Y X

Denote M the class of functions f : X Y ! [0; 1] s.t. a),b),c),d),e) are satis…ed. We

want to show that the set of all measurable and nonnegative functions lies in M.
Step 0. If f = Q , Q 2 F G, then f 2 M.
(Since f is measurable, a) and b) hold) Denote p : X ! [0; 1], q : Y ! [0; 1], as

p (x) = (Qx ) for each x 2 X, and

q (y) = (Qy ) for each y 2 Y .

53
Then, p and q are measurable (with respect to F and G) and
Z Z
pd = ( ) (Q) = qd .
X Y

But
Z
p (x) = (Qx ) = Qx (y) d (y) for each x 2 X, and
ZY
q (y) = (Qy ) = Qy (x) d (x) for each y 2 Y ,
X

then
Z Z Z
Qx (y) d (y) d (x) = Q (x; y) d ( ) (x; y)
X Y X Y
Z Z
= Qy (x) d (x) d (y) .
Y X

For each x 2 X and y 2 Y , ( Q )x (y) = Q (x; y) and

(
1 if y 2 Qx i.e. (x; y) 2 Q
Qx (y) = = Q (x; y)
0 if y 2
= Qx i.e. (x; y) 2
=Q

thus ( Q )x = Qx , analogously Qy = ( Q )y .
Therefore, for each Q 2 F G, the functions de…ned as
Z
p (x) = ( Q )x (y) d (y) for each x 2 X, and
ZY

q (y) = ( Q )y d (x) for each y 2 Y .

X

are measurable (with respect to F and G), thus c) and d) holds and the functions are
nonnegative, moreover
Z Z Z
( Q )x (y) d (y) d (x) = Q (x; y) d ( ) (x; y)
X Y X Y
Z Z
= ( Q )y d (x) d (y) ,
Y X

and e) holds as well. It follows that f = Q 2 M.

Step 1. If f; g 2 M and ; 0, then f + g 2 M.
Notice that:

a) fx : y 7! f (x; y) is measurable with respect to G for each x 2 X and gx : y 7! f (x; y)

is measurable with respect to G for each x 2 X. Then, ( f + g)x (y) = fx + gx is
measurable with respect to G for each x 2 X.

54
 b) Analogously the function ( f + g)y = f y + g y is measurable with respect to F for
each y 2 Y .
R R
c) pf (x) = Y fx d is measurable with respect to F and pg (x) = Y gx d is measurable
with respect to F, then is measurable with respect to F the function pf + pg de…ned
as
Z Z
( pf + pg ) (x) = fx d + gx d =
Z Y Y

= ( fx + gx ) d =
Y
Z
= ( f + g)x d
Y
R
or as x 7! Y
( f + g)x d .
R
d) Analogously the function y 7! X
( f + g)y d is measurable with respect to G.

e) The following equalities hold:

Z Z Z Z Z
fx d d (x) = fd ( )= f yd d (y) and
X Y
Z Z ZX Y
Z Y
Z X

gx d d (x) = gd ( )= gy d d (y)
X Y X Y Y X

it follows
Z Z Z
( f + g)x d d (x) = ( pf + pg ) (x) d (x) =
X Y X
Z Z
= pf (x) d (x) + pg (x) d (x) =
X X
Z Z Z Z
= fx d d (x) + gx d d (x) =
X Y X Y
Z Z
= fd ( )+ gd ( )=
X Y X Y
Z
= ( f + g) d ( )=
X Y
Z Z
= ( f + g)y d d (y) .
Y X

Step 2. If fn 2 M and fn " f , then f 2 M.

a) Fixing and arbitrary x 2 X, (fn )x : y 7! fn (x; y) is measurable with respect to G for

each n 2 N, moreover (fn )x (y) = fn (x; y) " f (x; y) = fx (y) for each y 2 Y , and
(fn )x " fx . Thus fx is measurable for each x 2 X.

55
 b) Analogously the function f y is measurable with respect to F for each y 2 Y .
R
c) pfn (x) = Y (fn )x d is measurable with respect to F for each n 2 N. For each x 2 X,
R
(fn )x " fx ; then, by the Monotone Convergence Theorem, pfn (x) = Y (fn )x d "
R R
f d = pf (x), that is pfn " pf , and pf (x) = Y fx d is measurable with respect to
Y x
F.
R
d) Analogously the function y 7! X f y d is measurable with respect to G.

e) The following equalities hold:

Z Z Z Z
fx d d (x) = pf d = lim pfn d =
X Y X n X
Z Z
= lim (fn )x d d (x) =
n X Y
Z
= lim (fn ) d ( )=
n X Y
Z
= fd ( )=
X Y
Z Z
= f y d d (y) .
Y X

Step 3. If f is measurable and nonnegative, then f 2 M.

M contains all the characteristic functions of elements of F G (Step 0), then (Step 1) all
the simple functions which are nonnegative and measurable with respect to F G, (Step 2)
all the functions which are nonnegative and measurable with respect to F G (why?).

Corollary. Let f : X Y ! R (or [ 1; 1]) be measurable with respect to F G. the

following are equivalent:

f is summable,
R R
X Y
jf (x; y)j d (y) d (x) < 1;
R R
X Y
jf (x; y)j d (y) d (x) < 1:

Proof. Exercise.

Fubini’s Theorem. Let and be complete measures, and let f : X Y ! R (or

[ 1; 1]) be summable with respect to . Then

a) the function y 7! f (x; y) is summable with respect to for a.e. every x 2 X,

56
 b) the function x 7! f (x; y) is summable with respect to for a.e. every y 2 Y ,
R
c) the function x 7! Y f (x; y) d (y) is de…ned a.e. and is summable with respect to ,
R
d) the function y 7! X f (x; y) d (x) is de…ned a.e. and is summable with respect to ,

e) it holds the equality:

Z Z Z
f (x; y) d (y) d (x) = f (x; y) d ( ) (x; y)
X Y X Y
Z Z
= f (x; y) d (x) d (y) .
Y X

Proof. We use the notation already introduced for the Proof of Tonelli’s theorem. We only
prove claims a), c), and the …rst line of the equality e) (the others can be obtained in a
similar fashion, using Y instead of X).
Notice that jf jx = jfx j, (f + )x = (fx )+ and (f )x = (fx ) for each x 2 X. f + and f are
summable and nonnegative since 0 f + ; f jf j. The functions de…ned for each x 2 X as
R + R
pf + (x) = Y fx d and pf (x) = Y fx d are F measurable and nonnegative,moreover it is
Z Z Z Z
+
pf + d = fx d d (x) = f +d ( ) < 1 and
X X Y X Y
Z Z
pf d = f d( ) < 1.
X X Y

Thus pf + and pf are summable and …nite a.e.. For each x s.t. pf + (x) ; pf (x) < 1, it
R R R
is Y fx+ d ; Y fx d < 1 (in particular fx is summable for a.e. x 2 X), then Y fx d =
R + R R
f
Y x
d f d
Y x
, is well-de…ned and pf : x 7! Y f (x; y) d (y) is de…ned a.e.. Moreover
it is
Z Z Z Z Z Z
jpf j d = fx d d (x) jfx j d d (x) = jf j d ( ) < 1.
X X Y X Y X Y
R
And x 7! Y f (x; y) d (y) is summable.
R R R
Finally, note that Y fx d = Y fx+ d f d is the same as pf = pf +
Y x
pf , and
Z Z Z
f (x; y) d (y) d (x) = pf d =
X Y X
Z Z
= pf + d pf + d =
X Y
Z Z
+
= f d( ) f d( )=
X Y X Y
Z
= fd ( ):
X Y

57
 If and are not complete, it is always possible to complete them. If and are
complete, in general is not complete but is always possible to complete it. Denoted by
0
( ) the completion of , consider functions f that are measurable with respect to
0
the -algebra (F G) of subsets ( )0 -measurable, then Tonelli ad Fubini theorems still
hold with the following

a) the function y 7! f (x; y) is measurable with respect to G for a.e. every x 2 X,

b) the function x 7! f (x; y) is measurable with respect to F for a.e. every y 2 Y ,

R
c) the function x 7! Y f (x; y) d (y) is de…ned (also is f 0) a.e. and measurable with
respect to F,
R
d) the function y 7! X f (x; y) d (x) is de…ned (also if f 0) a.e. and measurable with
respect to G.

N
When instead of 2, we are facing N measurable spaces f(Xi ; Fi ; i )gi=1 it is straightfor-
ward to extend de…nitions and theorems. (Useful exercise.)

In particular, if Xi = R, Fi = B, and is the Borel measure, then the product -algebra

N
B is called the Borel -algebra of RN and it is denoted by B N , the product measure is
i=1
called the Borel measure on RN , its completion is the Lebesgue measure of RN , and the
completion of B N with respect to the Borel measure is called the Lebesgue -algebra of RN .

15 SIGNED MEASURES: HAHN AND JORDAN DE-

COMPOSITIONS
Let (X; F) be a measurable space.

Proposition. Let be a measure on F and f 2 L (X; F; ). Consider the function

f : F ! R de…ned as Z
f (E) = fd
E

8E 2 F, then:

1. f (;) = 0.

58
 S P1
2. fAn gn2N F and Ai \ Aj = ; for each i 6= j implies f ( 1n=1 A n ) = n=1 f (An ).

3. (E) = 0 implies f (E) = 0.

Proof. 1.) Exercise.

F
2.) Exercise. Hint: set Bn = n1 Aj , then f Bn ! f F1
n=1 An , and the Dominated Conver-
gence Theorem can be applied.
R R R
3.) Exercise. Hint: f d = f + d f d .
E E E

1. Definition. A function : F ! R is called a signed (…nite) measure if

(i) (;) = 0,
S P1
(ii) fAn gn2N F and Ai \ Aj = ; for each i 6= j implies ( 1n=1 An ) = n=1 (An ).

Facts.

1. A signed measure is positive i¤ it is …nite.

[Obvious.]

2. If and are …nite measures, then is a signed measure.

[Exercise.]

3. If is a signed measure, fAn gn2N F and An " A (or An # A), then (A) =
limn (An ).
F1
[Exercise. Hint: set A0 = ; and Bn = An An 1 , A = n=1 Bn .]

Let be a signed measure on F.

Definition. A 2 F is:

positive (with respect to ), if (E) 0 for each E 2 F s.t. E A,

negative (with respect to ), if (E) 0 for each E 2 F s.t. E A,

null (with respect to ), if (E) = 0 for each E 2 F s.t. E A.

59
Lemma. If A is positive, then each E 2 F s.t. E A is positive. If An is positive 8n 2 N,
S
then n An is positive.
Sn 1
Proof. The …rst part is obvious. Let B1 = A1 and Bn = An j=1 Aj for each n 2.
F1 S1 S1
For each n 2 N, Bn is positive and n=1 Bn = n=1 An (why?). 8E 2 F s.t. E n=1 An ,
P1
(E) = n=1 (E \ Bn ) 0 .

Lemma. If E 2 F and (E) > 0, there exists A 2 F s.t. A E, A is positive and

(A) (E).
Proof. Reductio ab absurdum. Suppose there existed E 2 F with (E) > 0 and s.t. for
each positive subset A of E (; is positive) it is (A) < (E).
In particular, E is not positive, let n1 be the smallest positive integer s.t. there exists
F 3 E1 E with
1
(E1 )
n1
1
(show that n1 always exists). With the convention 0
= 1; for each B E E1

1
(B)
n1 1
(why?).
Suppose that for …xed k there existed E1 ; E2 ; :::; Ek 2 F e n1 ; :::; nk 2 N s.t.:
Sj 1
Ej E i=1 Ei for each j = 1; :::; k,
1
(Ej ) nj
for each j = 1; :::; k,
Sj
for each B E i=1 Ei ,
1
(B)
nj 1
for each j = 1; :::; k.
Fk Pk Fk
Then, E i=1 Ei = (E) i=1 (Ei ) > (E), and E i=1 Ei is not positive;
Fk
let nk+1 the smallest integer s.t. it exists F 3 Ek+1 E i=1 Ei with

1
(Ek+1 ) :
nk+1
1 Fk Fk+1
With the convention = 1; for each B E i=1 Ei Ek+1 = E i=1 Ei
0
1
(B) :
nk+1 1

60
 F1 P1
Let A = E k=1 E k , then (A) = (E) k=1 (Ek ) (E) and A is not positive.
P1 1
Since k=1 (Ek ) converges, (Ek ) ! 0 as k ! 1. Thus (Ek ) nk
0 implies n1k ! 0
Sk
for k ! 1, nk ! 1 for k ! 1, and nk1 1 ! 0. If B A, then B E j=1 Ek for
each k 2 N, therefore
1
(B)
nk 1
and, passing to the limit for k ! 1, (B) 0. It follows that A is positive ! .

Analogous results hold for negative sets. It follows that

sup j (A)j < 1:

A2F

(Exercise.)
Hahn’s Decomposition theorem. Let (X; F) be a measurable space and a signed
measure on F, then there exist A; B 2 F s.t. A is positive, B is negative, A \ B = ;,
A[B =X
Proof. Let = supA2F (A). If = 0, X is negative and we are done. Otherwise, consider
a sequence fAn g 2 F s.t. (An ) ! . For n big enough (An ) > 0 and, choosing Bn 2 F
S
with Bn An , Bn positive, (Bn ) (An ); it follows that (Bn ) ! . 1k=1 Bk is positive
S1 S1
and (Bn ) ( k=1 Bk ) for each n 2 N, passing to the limit ( k=1 Bk ) = . Set
S1
A = k=1 Bk . If C A and (C) > 0, then (A t C) > ! . Set B = Ac .
c

Definition. Let be a signed measure. If A; B 2 F, A is positive, B is negative, A\B = ;,

A [ B = X, then fA; Bg is called Hahn decomposition of .

Facts.

1. If fA; Bg and fA0 ; B 0 g are two Hahn decomposition of , then A \ B 0 and B \ A0 are
null sets. Thus
A = A\A0 = A0 and B = B\B 0 = B 0 .

Moreover A and B are (positive) …nite measures and = A + B = A ( B ).

[Exercise.]

2. is a signed measure i¤ there exist two …nite measures and s.t. = .

[Obvious.]

3. Let and be two …nite measures and fA; Bg be a partition of X s.t. (B) = (A) =
0 (we say and are mutually singular), then fA; Bg is an Hahn decomposition of
= . Moreover = A and = B.

61
 [Exercise.]

Definition. Let be a signed measure and fA; Bg an Hahn decomposition of , the

(positive) …nite measures de…ned as

+ +
= A; = B; j j= +

are called upper variation, lower variation and total variation of .

Observations up to now can be summed up in the following:

Jordan Decomposition Theorem. Let (X; F) be a measurable space and a signed

measure on F, then
= +
+
and ( ; ) is the unique pair ( ; ) of mutually singular measures s.t. = .

16 RADON-NIKODYM THEOREM
Let (X; F) be a measurable space.

Definition. Let be a measure on F and a measure or a signed measure on F, is

absolutely continuous with respect to if A 2 F and (A) = 0 implies (A) = 0. It
is written .

Facts.

1. Let f : X ! R (or [ 1; 1]) be a measurable function. If f is nonnegative, the

function f : F ! [0; 1] de…ned as
Z
f (E) = fd
E

8E 2 F, is a measure absolutely continuous with respect to . If f is summable, the

function f : F ! R de…ned as
Z
f (E) = fd
E

8E 2 F, is a signed measure absolutely continuous with respect to .

[It simply follows by formalizing already obtained results.]

62
 2. If is a signed measure and , then + ; ; j j .
[Exercise. Hint: let fA; Bg be an Hahn decomposition of , if E 2 F and (E) = 0,
then + (E) = (E \ A), but (E) = 0 ) (E \ A) = 0.]

Lemma. If and are …nite (positive) measures on F, 6= 0 and , then there exist
1
n 2 N and E 2 F s.t. (E) > 0 and E is positive with respect to n
.
1
Proof. Let X = An t Bn be an Hahn decomposition of n
for each n 2 N (with An
S1 T
positive and Bn negative with respect to 1
n
). Set A = n=1 An and B = 1 n=1 Bn
T1 c c
(= n=1 An = A ). For each n 2 N,
1
(Bn ) (Bn ) ;
n
1 1
then (B) (Bn ) n
(Bn ) n
(X), therefore (B) = 0. Then (A) > 0 ( (A) +
P 1
(B) = (X) > 0), but (A) n=1 (An ), and there exists n s.t. (An ) > 0. An is
1
positive with respect to n
and (An ) > 0 implies (An ) > 0. Set E = An .

Radon-Nikodym Theorem. Let (X; F; ) be a measure space with …nite measure

and let be a signed measure absolutely continuous with respect to . Then there exists
f 2 L (X; F; ) such that Z
(E) = fd
E
for each E 2 F. Moreover,

is a …nite (positive) measure i¤ fx 2 X : f (x) < 0g = 0,

R
if g 2 L (X; F; ) and (E) = gd for each E 2 F, then fx 2 X : f (x) 6= g (x)g =
E
0.

d
Such f is sometimes denoted by and is called the Radon-Nikodym derivative or
d
density of with respect to .
Proof. It is enough to prove the theorem for …nite (positive) measure and 6= 0 (why?).
Set 8 9
< Z =
K = f : X ! [0; 1] measurable : fd (A) 8A 2 F .
: ;
A
R R
K 0 and 8f 2 K, f d (X) < 1 i.e. f 2 L (X; F; ). Let M = supf 2K f d , there
R X X
exists fn 2 K s.t. fn d ! M for n ! 1. For each n 2 N and each x 2 X set
X

gn (x) = max ff1 (x) ; f2 (x) ; :::; fn (x)g

63
and denote by N the set f1; 2; :::; ng. For each E 2 F set
\
E1 = fx 2 E : f1 (x) fj (x) 8j 2 N g = E \ ff1 fj g
j2N
\
E2 = (E E1 ) \ ff2 fj g
j2N

:::
n[1
!
\
En = E E1 \ ffn fj g
j=1 j2N

fE1 ; E2 ; :::; En g is a partition of E in F (if x 2 E and j is the smallest element of N s.t.

fj (x) = max ff1 (x) ; f2 (x) ; :::; fn (x)g, then x 2 Ej ) and gn (x) = fj (x) if x 2 Ej . Thus
Z Xn Z Xn Z Xn
gn d = gn d = fj d (Ej ) = (E) ,
E j=1 E j=1 E j=1
j j

and gn 2 K for each n 2 N. Moreover gn (x) " sup fn (x) for each x 2 X, set f = sup fn .
Applying the Monotone Convergence Theorem, for each E 2 F,
Z Z
f d = lim gn d (E)
n
E E

and f 2 K, moreover Z Z
fn d gn d M
X X
R
implies f d = M .
X R
The set function de…ned as (E) = (E) f d , for each E 2 F, is a …nite (positive)
E
measure and it is absolutely continuous with respect to . If 6= 0, then there exist " > 0
and A 2 F such that (A) > 0 and A is positive with respect to " , that is

(E \ A) " (E \ A)

for each E 2 F. Let h = f + " A , for each E 2 F, it is

Z Z
hd = f d + " (E \ A)
E
ZE Z
f d + (E \ A) fd
E E\A
Z
= f d + (E \ A) (E)
E\Ac

64
and h 2 K, but Z Z
hd = f d + " (A) > M
X X

which is absurd, according to the de…nition of M .

R
Thus = 0, and (E) = f d for each E 2 F. Finally if g 2 L (X; F; ) and (E) =
R R E
gd for each E 2 F, then (f g) d = 0 for each E 2 F and fx 2 X : f (x) g (x) 6= 0g =
E E
0 (why?).
We conclude observing that if there exists f 2 L (X; F; ) such that fx 2 X : f (x) < 0g =
0 and Z
(E) = f d
E

for each E 2 F, then the signed measure is positive (why?).

Corollary. Let (X; F) be a measurable space and let and be -…nite measures on
F with absolutely continuous with respect to . Then there exists a measurable function
f : X ! [0; 1) such that Z
(E) = fd
E

for each E 2 F. Moreover,

if g 2 X ! [0; 1] is measurable,
Z Z
gd = (g f ) d ;
X X

if g 2 L (X; F; ), g f 2 L (X; F; ) and

Z Z
gd = (g f ) d :
X X

Proof. It is an useful exercise. Hint: consider the countable partition fAn g of X in F s.t.
d An
(An ) + (An ) < 1 and set f (x) = (x) if x 2 An .
d An

65
17 ESSENTIAL BIBLIOGRAPHY
Berberian, S.K. (1965), Measure and Integration, The Macmillan Company, New York.

Chow, Y.S., e H. Teicher (1988), Probability Theory, Springer-Verlag, New York.

Kolmogorov, A.N., e S.V. Fomin (1975), Introductory Real Analysis, Dover, New York.
(Translation of Elementy Teorii Funktsij i Funktsional’nogo Analiza, Nauka, Mosca,
1968.)

Royden, H.L. (1988), Real Analysis, Prentice Hall, Englewood Cli¤s.

Rudin, W. (1976), Principles of Mathematical Analysis, McGraw-Hill, New York.

Rudin, W. (1987), Real and Complex Analysis, McGraw-Hill, New York.

66