Measure and Integration

Anil Kumar V.
Department of Mathematics
University of Calicut
Malappuram
Kerala, India 673 635

. . . .... .... .... . . . . .

Measurable functions

Theorem
Let E be a measurable set and {fn } be a sequence of measurable functions. Then
1 sup fi is measurable.
1≤i≤n
2 inf fi is measurable.
1≤i≤n
3 sup fn is measurable.
n
4 inf fn is measurable.
n
5 lim sup fn is measurable.
6 lim inf fn is measurable.

. . . .... .... .... . . . . .

Measurable functions
sup fi is measurable.
1≤i≤n

Let f (x) = sup fi (x), x ∈ E

1≤i≤n
We want to show that f −1 (α, ∞] is measurable.
S
n
Claim: f −1 (α, ∞] = fi−1 (α, ∞]).
i=1
Note that

x ∈ f −1 (α, ∞] = x ∈ {x ∈ E : f (x) > α} ⇐⇒ f (x) > α

⇐⇒ fi (x) > α, for some i
⇐⇒ x ∈ {x ∈ E : fi (x) > α}, for some i
[
n
⇐⇒ x ∈ {x ∈ E : fi (x) > α}
i=1 . . . .... .... .... . . . . .
Measurable functions

Hence
[
n [
n
f −1
(α, ∞] = {x ∈ E : fi (x) > α} = fi−1 (α, ∞] ∈ M .
i=1 i=1
| {z }
∈M
inf fi is measurable.
1≤i≤n

Let g(x) = inf fi (x), x ∈ E

1≤≤n
We want to show that g −1 (α, ∞] is measurable.

. . . .... .... .... . . . . .

Measurable functions

T
n
Claim: g −1 (α, ∞] = fi−1 (α, ∞]).
i=1
Note that

x ∈ g −1 (α, ∞] = x ∈ {x ∈ E : g(x) > α} ⇐⇒ g(x) > α

⇐⇒ fi (x) > α, for all i
⇐⇒ x ∈ {x ∈ E : fi (x) > α}, for all i
\
n
⇐⇒ x ∈ {x ∈ E : fi (x) > α}
i=1

Hence
\
n \
n
g −1 (α, ∞] = {x ∈ E : fi (x) > α} = fn−1 (α, ∞] ∈ M .
| {z }
i=1 i=1
∈M

. . . .... .... .... . . . . .

Measurable functions
sup fi is measurable.
n

Let f (x) = sup fi

n
Then
∞
[
f −1 (α, ∞] = fi−1 (α, ∞] ∈ M
n=1
| {z }
∈M
sup fi is measurable.
n

Let g(x) = inf fi

n
Then
∞
\
g −1 (α, ∞] = fn−1 (α, ∞] ∈ M
| {z }
n=1
∈M . . . .... .... .... . . . . .
Limit superior of a sequence

Let {xn } be a sequence.

Define

y1 = sup{x1 , x2 , x3 , . . .} = sup xk
k≥1
y2 = sup{x2 , x3 , . . .} = sup xk
k≥2
..
.
yn = sup{xn , xn+1 , . . .} = sup xk
k≥n

The limit superior of {xn } is defined as:

!
lim sup xn = inf sup xk
n k≥n
. . . .... .... .... . . . . .
Limit superior of a sequence

Let {xn } be a sequence.

Define

z1 = inf{x1 , x2 , x3 , . . .} = sup xk
k≥1
z2 = inf{x2 , x3 , . . .} = sup xk
k≥2
..
.
zn = inf{xn , xn+1 , . . .} = sup xk
k≥n

The limit inferior of {xn } is defined as:

 
lim inf xn = sup inf xk
n k≥n

. . . .... .... .... . . . . .

Measurable functions

Claim: lim sup fn is measurable

Recall that !
lim sup fn = inf sup fk
n k≥n

Let
gn (x) = sup fk (x)
k≥n

Then gn is measurable for each n ∈ N.

This implies that inf gn is measurable.
n
That is lim inf fn is measurable.

. . . .... .... .... . . . . .

Measurable functions

Claim: lim inf fn is measurable

Recall that  
lim inf fn = sup inf fk
n k≥n

Let
gn (x) = inf fk (x)
k≥n

Then gn is measurable for each n ∈ N.

This implies that sup gn is measurable.
n
That is lim inf fn is measurable.

. . . .... .... .... . . . . .

Measurable functions

Remark
A property is said to hold almost everywhere (abbreviated a.e.) if the set of points where
it fails to hold is a set of measure zero.

Thus in particular we say that f = g a.e. if f and g have the same domain and
m{x : f (x) ̸= g(x)} = 0.
(
1 x∈Q
Consider the functions f : R → R defined by f (x) = and g : R → R
0 x ∈ Q∼
defined by g(x) = 0 for all x ∈ R. Then f = g a.e.
Similarly, we say that fn converges to g almost everywhere on E if

m{x ∈ E : fn (x) ̸→ f (x)} = 0.

. . . .... .... .... . . . . .

Measurable functions

Theorem
Let E be a measurable subset of R. Let f, g : E → [−∞, ∞] such that f is measurable
and g = f a.e on E. Then g is measurable.

Let
A = {x ∈ E : f (x) ̸= g(x)}
Then m∗ (A) = 0. Since m∗ (A) = 0, we have A ∈ M
Let α ∈ R. Then

{x ∈ E : g(x) > α} = {x ∈ E : g(x) > α} ∩ E

= {x ∈ E : g(x) > α} ∩ (A ∪ A∼ )
= ({x ∈ E : g(x) > α} ∩ A) ∪ ({x ∈ E : g(x) > α} ∩ A∼ )
= ({x ∈ E : g(x) > α} ∩ A) ∪ ({x ∈ E : f (x) > α} ∩ A∼ ) (1)
. . . .... .... .... . . . . .
Measurable functions

Note that
({x ∈ E : g(x) > α} ∩ A) ⊆ A
Therefore,
m{({x ∈ E : g(x) > α} ∩ A)} ≤ m(A) = 0
This implies that
({x ∈ E : g(x) > α} ∩ A) ∈ M

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