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Assignment 1
Filippo Bianchi
16/10/2020
Exercise (1). Consider the measurable space ([0, 1], B|[0,1] ), where B|[0,1] de-
notes the Borel σ-algebra on [0, 1]. Define T : [0, 1] → [0, 1] by
if x ∈ 0, 21
2x
T (x) :=
x − 1 if x ∈ 1 , 1 .
2 2
1
If 0 ≤ a ≤ b ≤ 1/2 we have (a/2, b/2) ⊂ [0, 1/2] and (a + 1/2, b + 1/2) ⊂ (1/2, 1],
so
Z b
4 4 b a 2 1 1
µ (a, b) = g(x) dx = (b − a) = − + b+ −a− =
a 3 3 2 2 3 2 2
Z b/2 Z b+1/2
g(x) dx = µ T −1 ((a, b)) .
= g(x) dx +
a/2 a+1/2
If 0 ≤ a < 1/2 < b ≤ 1, we have (a/2, b/2) ⊂ [0, 1/2] and (a + 1/2, 1] ⊂ (1/2, 1],
so
Z b
4 1 2 1 4 b a 2 1
µ (a, b) = g(x) dx = −a + b− = − + 1−a− =
a 3 2 3 2 3 2 2 3 2
Z b/2 Z 1
g(x) dx = µ T −1 ((a, b)) .
= g(x) dx +
a/2 a+1/2
Since the algebra of finite unions of intervals generates B|[0,1] , this proves that
µ is T -invariant.
Exercise (2). Let (M, B, µ) be a probability measure space, B ∈ B with µ(B) >
0 and T : M → M incompressible with respect to µ. A transformation T is
incompressible if T −1 B ⊂ B implies µ(T −1 B) = µ(B). Note that if T preserves
µ, then it is incompressible. Show that under this setting for almost every x ∈ B
there exist infinitely many n ∈ N such that T n (x) ∈ B.
S∞ T∞
Proof. Define BN := n=N T −n B and let F := B ∩ N =0 BN . Clearly, F is
the set of points in B which return to B infinitely often. In fact, if x ∈ F
then x ∈ B and for every N ∈ N we have x ∈ T −n B for some n ≥ N , that
is, T n (x) ∈ B. We can construct a strictly increasing sequence (nk )k∈N ⊂ NN
inductively by setting n1 := 1 and taking nk ≥ nk−1 + 1 such that x ∈ T −nk (B)
for every k > 1; so x returns to B infinitely often. Supposing that x ∈ B and
T n (x) ∈ B for infinitely many n ∈ N, we get that for every N ∈ N there exists
n ≥ N such that x ∈ T −n B, so x ∈ BN for every N ∈ N and x ∈ F .
We must prove that µ(F ) = µ(B). Since F ⊂ B, obviously µ(F ) ≤ µ(B).
For the converse, observe that for every N ∈ N we have
∞
[ ∞
[ ∞
[
T −1 BN = T −1 T −n B = T −(n+1) B = T −n B = BN +1 ⊂ BN .
n=N n=N n=N +1
2
Putting together these facts, we obtain
0
T∞
T∞the fact that B = T B ⊂ B0 and µ(B ∪ B0 ) ≥ µ(B ∪
where we used N =0 BN )
since B0 ⊃ N =0 BN .
Exercise (3). Let M be a metric space and (µn )n∈N ∈ M1 (M )N with M1 (M )
the space of probability measures on M . Show that the following conditions are
all equivalent:
(i) (µn )n∈N converges to a probability measure µ in the weak* topology;
(ii) lim supn→∞ µn (F ) ≤ µ(F ), for every closed set F ⊂ M ;
(iii) lim inf n→∞ µn (A) ≥ µ(A), for every open set A ⊂ M ;
(iv) limn→∞ µ R n (B) = µ(B),
R for every continuity set B of µ;
(v) limn→∞ ψ dµn = ψ dµ, for every bounded Lipschitz map ψ : M → R.
Proof. (i) ⇒ (ii) Let F ⊂ M be a closed set, fix ε > 0 and set F := { F }. By
Portmanteau’s Theorem, if (µn )n∈N converges to µ in the weak* topology
there exists N ∈ N such that µn ∈ Vf (µ, F , ε) for every n ≥ N , i.e.
µn (F ) < µ(F ) + ε. Hence lim supn→∞ µn (F ) ≤ µ(F ) + ε; since this holds
for any ε > 0, we have lim supn→∞ µn (F ) ≤ µ(F ).
(ii) ⇒ (iii) Let A ⊂ M be an open set. Since F := M \ A is closed, we have
lim inf µn (A) = lim inf 1−µn (F ) = 1−lim sup µn (F ) ≥ 1−µ(F ) = µ(A).
n→+∞ n→+∞ n→+∞
(iii) ⇒ (ii) We mimick the preceding step: let F ⊂ M be a closed set and let
A := M \ F , which is open; hence
lim sup µn (F ) = lim sup 1−µn (A) = 1−lim inf µn (A) ≤ 1−µ(A) = µ(F ).
n→+∞ n→+∞ n→+∞
◦
(ii)&(iii) ⇒ (iv) Let B ⊂ M be a continuity set of µ, and set F := B, A := B;
hence F is closed and A is open, so
3
R R
Since this holds for any ε > 0, we have limn→∞ ψ dµn = ψ dµ.
(v) ⇒ (i) Let ψ : M → R be a bounded Lipschitz map, and set Ψ := { ψ }.
Fix ε > 0; then there exists N ∈ N such that µn ∈ V (µ, Ψ, ε) for every
n ≥ N , and by Portmanteau’s Theorem (µn )n∈N converges to µ in the
weak* topology.
Exercise (4). Prove that the Lévy-Prohorov distance D for two measures µ and
ν on a metric space M given by
D(µ, ν) := min δ > 0 : µ(B) < ν(B δ ) + δ and ν(B) < µ(B δ ) + δ
for all measurable sets B ⊂ M =: inf Aµ,ν ,
µ(B) < ν(B δ ) + δ < ν(B δ ) + δ and ν(B) < µ(B δ ) + δ < µ(B δ ) + δ
and δ ∈ Aµ,ν .
Since D(µ, ν) = inf Aµ,ν ⊂ (0, +∞), we have D(µ, ν) ∈ [0, +∞) for every
measures µ, ν on M . Moreover, if D(µ, ν) = 0 we have µ(B) < ν(B δ ) + δ
and ν(B) < µ(B δ ) + δ for every δ > 0. Taking the limit for δ → 0+ , we get
µ(B) ≤ ν(B) and ν(B) ≤ µ(B), since
\ \
Bδ = { x ∈ M : d(x, B) < δ } = { x ∈ M : d(x, B) = 0 } = B;
δ>0 δ>0
It is enough to prove that for every δ 0 ∈ Aµ,η and δ 00 ∈ Aη,ν we have that
δ := δ 0 + δ 00 ∈ Aµ,ν (we are using the fact that these sets are all half-lines). We
have
0 0 00
µ(B) < η(B δ ) + δ 0 < ν (B δ )δ ) + δ 0 + δ 00 ≤ ν(B δ ) + δ and
00 00 0
ν(B) < η(B δ ) + δ 00 < µ (B δ )δ ) + δ 00 + δ 0 ≤ µ(B δ ) + δ,
4
Exercise (5). We have the following variant of the continued fraction expan-
sion. Each x ∈ [−1/2, 1/2] \ Q can be written in the following way:
e1
x= = [0; e1 b1 , e2 b2 , e3 b3 , . . . ],
e2
b1 +
e3
b2 +
.
b3 + . .
where en = ±1, bn ∈ Z and en+1 + bn ≥ 2 for all n ∈ N. The numbers en and
bn can be generated similarly to the classical continued fraction expansion: we
have the transformation T : [−1/2, 1/2] → [−1/2, 1/2] given by
1 − 1
if x 6= 0
T (x) = x x
2
0 if x = 0,
where bxc2 gives back the integer which is closest to x, i.e. bxc2 = n ∈ N if
x ∈ [n − 1/2, n + 1/2). Furthermore, we set
n−1
1
en (x) = sgn T (x) and bn (x) = n−1
.
T (x) 2
Proof. First of all, we prove an elementary equality which will help us in many
circumstances:
√ !2 √ √
2 5 + 1 5+2 5+1 5+3
G = = = = G + 1.
2 4 2
5
The hardest part is to show that γ2 is T -invariant. Again by Lemma 1.3.1
from Viana & Oliveira, it is enough to show that γ2 is T -invariant on intervals.
The preimage T −1 (a, b) equals
∞ [ ∞
1 [ 1 1 1
− ,− ∪ ,
n=2
n+a n+b n=2
n+b n+a
[ ∞ [ ∞
1 1 1 1 1 1 1 1
− ,− ∪ − ,− ∪ , ∪ ,
2 2+b n=3
n+a n+b n=3
n+b n+a 2+b 2
∞ ∞
[ 1 1 [ 1 1
− ,− ∪ ,
n=3
n + a n + b n=3
n + b n + a
We will omit the normalizing factor 1/ log G in the following. We start from
the case (a, b) ∈ [0, 1/2]:
∞ Z −1/(n+b) ∞ Z 1/(n+a)
X dx X dx
γ2 T −1 ((a, b)) = + =
n=2 −1/(n+a) x + G + 1 n=2 1/(n+b) x+G
∞ h
X −1/(n+b) 1/(n+a) i
= log(x + G + 1) + log(x + G) =
−1/(n+a) 1/(n+b)
n=2
∞
X (G + 1)(n + b) − 1 (G + 1)(n + a) − 1
= log − log +
n=2
n+b n+a
G(n + a) + 1 G(n + b) + 1
+ log − log =
n+a n+b
N h
X
= lim log (G + 1)(n + b) − 1 − log G(n + b) + 1 −
N →∞
n=2
i
− log (G + 1)(n + a) − 1 + log G(n + a) + 1 =
N h
X
log bG2 + (n − 1)G2 + G − log bG + nG + 1 −
= lim
N →∞
n=2
i
− log aG2 + (n − 1)G2 + G + log aG + nG + 1 =
h
= lim log bG2 + G2 + G + (N − 2) log(G) − log bG + N G + 1 −
N →∞
i
− log aG2 + G2 + G − (N − 2) log(G) + log aG + N G + 1 =
2
bG + G2 + G
aG + N G + 1
= log + log lim =
aG2 + G2 + G N →∞ bG + N G + 1
bG + G2
bG + G + 1
= log = log =
aG + G + 1 aG + G2
Z b
b+G dx
= log = = γ2 (a, b) .
a+G a x+G
6
We have repeatedly used the properties of G to get
The other cases do not require any other idea, so we present them omitting
a few passages of calculations.
If (a, b) ∈ [−1/2, 0], we have
∞ Z −1/(n+b) ∞ Z 1/(n+a)
−1
X dx X dx
γ2 T ((a, b)) = + =
n=3 −1/(n+a) x + G + 1 n=3 1/(n+b) x+G
N h
X
= lim log (G + 1)(n + b) − 1 − log G(n + b) + 1 −
N →∞
n=3
i
− log (G + 1)(n + a) − 1 + log G(n + a) + 1 =
h
= lim log bG2 + 2G2 + G + (N − 1) log(G)−
N →∞
− log bG + N G + 1 − log aG2 + 2G2 + G −
i
− (N − 1) log(G) + log aG + N G + 1 =
2
bG + 2G2 + G
aG + N G + 1
= log + log lim =
aG2 + 2G2 + G N →∞ bG + N G + 1
bG + G2 + G
bG + 2G + 1
= log = log =
aG + 2G + 1 aG + G2 + G
Z b
b+G+1 dx
= log = = γ2 (a, b) .
a+G+1 a x + G + 1
7
the last calculation, by noting that if T : [a, b] → [a, b] is of the form
(
T1 (x) if a ≤ x ≤ c
T (x) =
T2 (x) if c < x ≤ b
and we know that T is µ-preserving on intervals contained in [a, c] or (c, b], for
every interval (a0 , b0 ) with a ≤ a0 < c < b0 ≤ b we have