Thus, there exists an element α ∈ [0, ∞] such that

Z Z
α = lim fn dµ ≤ f dµ.
n→∞ X X

Let φ be any simple function on (X, S) such that 0 ≤ φ ≤ f . Fix c ∈ (0, 1) for the
time being and define

En := {x ∈ X : fn (x) ≥ cφ(x)}, n ∈ IN.

Each En is measurable. For n ∈ IN, we have

Z Z Z Z
fn dµ ≥ fn dµ ≥ (cφ) dµ = c φ dµ.
X En En En

But En ⊆ En+1 for n ∈ IN and X = ∪∞

R R
n=1 En . Hence, limn→∞ En φ dµ = X φ dµ. It
follows that Z Z Z
α = lim fn dµ ≥ lim c φ dµ = c φ dµ.
n→∞ X n→∞ En X
R R
Thus, α ≥ c X φ dµ for every c ∈ (0, 1). Consequently, α ≥ X
φ dµ for every simple
R
function satisfying 0 ≤ φ ≤ f . Therefore, α ≥ X f dµ and
Z Z Z
f dµ ≤ α = lim fn dµ ≤ f dµ.
X n→∞ X X

This completes the proof.

The monotone convergence theorem is still valid if the conditions fn (x) ≤ fn+1 (x)
for all n ∈ IN and limn→∞ fn (x) = f (x) hold for almost every x ∈ X. Indeed, under the
stated conditions, there exists a null set N such that for every x ∈ X \ N , fn (x) ≤ fn+1 (x)
and limn→∞ fn (x) = f (x). Note that N g dµ = 0 for all g ∈ L+ . With E := X \ N we
R

have Z Z Z Z
f dµ = f χE dµ = lim fn χE dµ = lim fn dµ.
X X n→∞ X n→∞ X

The hypothesis that the sequence (fn )n=1,2,... be increasing almost everywhere is es-
sential for the monotone convergence theorem. For example, let µ be the Lebesgue measure
on X = IR, and let fn := χ(n,n+1) for n ∈ IN. Then (fn )n=1,2,... converges to 0 pointwise,
R
but IR fn dµ = 1 for every n ∈ IN.

3
Theorem 1.2. Let f, g ∈ L+ and c ≥ 0. Then
Z Z Z Z Z
(cf ) dµ = c f dµ and (f + g) dµ = f dµ + g dµ.
X X X X X

Proof. For f, g ∈ L+ , we can find increasing sequences (fn )n=1,2,... and (gn )n=1,2,... of
simple functions in L+ such that f = limn→∞ fn and g = limn→∞ gn . By the monotone
convergence theorem we have
Z Z Z Z
(cf ) dµ = lim (cfn ) dµ = lim c fn dµ = c f dµ
X n→∞ X n→∞ X X

and
Z Z Z Z Z Z
(f + g) dµ = lim (fn + gn ) dµ = lim fn dµ + lim gn dµ = f dµ + g dµ.
X n→∞ X n→∞ X n→∞ X X X
P∞
Theorem 1.3. If (fk )k=1,2,... is a sequence of functions in L+ and f = k=1 fk , then
Z ∞ Z
X
f dµ = fk dµ.
X k=1 X

Pn
Proof. For n ∈ IN, let gn := k=1 fk . Then (gn )n=1,2,... is an increasing sequence of
+
functions in L such that limn→∞ gn = f . By the monotone convergence theorem we have
Z Z n
Z X ∞ Z
X
f dµ = lim gn dµ = lim gk dµ = fn dµ.
X n→∞ X n→∞ X k=1 X
k=1

Theorem 1.4. Let f be a function in L+ , and let ν be the function from S to [0, ∞] given
R
by ν(A) := A f dµ, A ∈ S. Then ν is a measure on S.

Proof. Clearly, ν(∅) = 0. Suppose that (En )n=1,2,... is a sequence of disjoint sets in S and
P∞
E = ∪∞
n=1 En . Then we have f χE = n=1 f χEn . By Theorem 1.3 we obtain

Z Z ∞ Z
X ∞ Z
X
f dµ = f χE dµ = f χEn dµ = f dµ.
E X n=1 X n=1 En

This proves that ν is σ-additive.

Theorem 1.5. Let (fn )n=1,2,... be a sequence in L+ . Then

Z Z
lim inf fn dµ ≤ lim inf fn dµ.
X n→∞ n→∞ X