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

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