Analysis III: Measure and Integration Theory of Several Variables (Lecture Notes) - Peter Philip

Analysis III:
Measure and Integration Theory

of Several Variables
Peter Philip∗
Lecture Notes
Originally Created for the Class of Winter Semester 2016/2017 at LMU Munich
Includes Subsequent Corrections and Revisions†
September 17, 2021
Contents
1 Measure Theory 4
1.1 Motivation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4
1.2 Measure Spaces and Generators . . . . . . . . . . . . . . . . . . . . . . . 5
1.3 Extension . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10
1.3.1 Semirings, Rings, Algebras . . . . . . . . . . . . . . . . . . . . . . 11
1.3.2 Contents, Premeasures . . . . . . . . . . . . . . . . . . . . . . . . 14
1.3.3 Lebesgue Premeasure on Rn . . . . . . . . . . . . . . . . . . . . . 22
1.3.4 Outer Measures, Carathéodory Extension Theorem . . . . . . . . 27
1.3.5 Dynkin Systems, Uniqueness of Extensions . . . . . . . . . . . . . 31
1.3.6 Completion . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 36
1.4 Inverse Image, Trace . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 39
1.5 Lebesgue Measure on Rn . . . . . . . . . . . . . . . . . . . . . . . . . . . 41
1.5.1 Intervals and Countable Sets . . . . . . . . . . . . . . . . . . . . . 41
∗
E-Mail: philip@math.lmu.de
†
Resources used in the preparation of this text include [Els07, For17, Kön04].
AMS Open Math Notes: Works in Progress; Reference # OMN:202109.111308; Last Revised: 2021-09-17 11:22:06
CONTENTS 2
1.5.2 Approximation . . . . . . . . . . . . . . . . . . . . . . . . . . . . 42
1.5.3 Cantor Set . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 43
1.6 Measurable Maps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 46
1.6.1 Definition, Composition . . . . . . . . . . . . . . . . . . . . . . . 46
1.6.2 Pushforward Measure . . . . . . . . . . . . . . . . . . . . . . . . . 48
1.6.3 Invariance of Lebesgue Measure under Euclidean Isometries . . . 49
1.6.4 Nonmeasurable Sets . . . . . . . . . . . . . . . . . . . . . . . . . 54
1.6.5 R-Valued Measurable Maps . . . . . . . . . . . . . . . . . . . . . 56
1.6.6 Products, Projections, and Borel Sets . . . . . . . . . . . . . . . . 65
2 Integration 69
2.1 Integration of R-Valued Measurable Maps . . . . . . . . . . . . . . . . . 69
2.1.1 Simple Functions . . . . . . . . . . . . . . . . . . . . . . . . . . . 69
2.1.2 Nonnegative Functions . . . . . . . . . . . . . . . . . . . . . . . . 72
2.1.3 Integrable Functions . . . . . . . . . . . . . . . . . . . . . . . . . 75
2.2 Null Sets, Properties Holding Almost Everywhere . . . . . . . . . . . . . 81
2.3 Convergence Theorems . . . . . . . . . . . . . . . . . . . . . . . . . . . . 82
2.3.1 Fatou’s Lemma and Dominated Convergence . . . . . . . . . . . . 82
2.3.2 Parameter-Dependent Integrals: Continuity, Differentiation . . . . 84
2.4 Riemann versus Lebesgue . . . . . . . . . . . . . . . . . . . . . . . . . . 87
2.5 Products . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 94
2.5.1 Product Measure . . . . . . . . . . . . . . . . . . . . . . . . . . . 94
2.5.2 Theorems of Tonelli and Fubini . . . . . . . . . . . . . . . . . . . 101
2.6 Lp -Spaces . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 108
2.6.1 Definition, Norm, Completeness . . . . . . . . . . . . . . . . . . . 108
2.6.2 Integration with Respect to Pushforward Measures . . . . . . . . 116
2.6.3 Dense Subsets, Separability . . . . . . . . . . . . . . . . . . . . . 117
2.6.4 Convolution and Fourier Transform . . . . . . . . . . . . . . . . . 123
2.7 Change of Variables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 139
CONTENTS 3
3 Integration Over Submanifolds of Rn 146

3.1 Submanifolds of Rn . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 146
3.2 Metric Tensor, Gram Determinant . . . . . . . . . . . . . . . . . . . . . . 153
3.3 Integration Over Submanifolds . . . . . . . . . . . . . . . . . . . . . . . . 154
3.4 Tangent Space and Normal Space . . . . . . . . . . . . . . . . . . . . . . 165
3.5 Gauss-Green Theorem and Green’s Identities . . . . . . . . . . . . . . . . 167
A Order on, Arithmetic in, and Topology of R 177
B Algebraic Structure on Rings of Subsets 179
C Initial and Final σ-Algebras 182
D Riemann Integral on Intervals in Rn 185
E Wallis Product 193
F Improper Riemann Integral of the Sinc Function 194
G Topological and Measure-Theoretic Supplements 197

G.1 Transitivity of Dense Subsets . . . . . . . . . . . . . . . . . . . . . . . . 197
G.2 Inverse Image and Trace for Semirings . . . . . . . . . . . . . . . . . . . 197
G.3 Measurability with Respect to Completions . . . . . . . . . . . . . . . . . 198
G.4 Interchanging Integrals with Uniform Limits . . . . . . . . . . . . . . . . 199
H Polar Coordinates 199
References 200
1 MEASURE THEORY 4
1 Measure Theory
1.1 Motivation
In Analysis I, we have already measured the size of intervals I := [a, b] ⊆ R by defining
|I| := |a−b|. Moreover, we defined the Riemann integral of Riemann-integrable functions
f : I −→ R on such intervals. We R also mentioned that, for a Riemann-integrable f :
+
I −→ R0 , the Riemann integral I f can be interpreted as the size of the area between
the graph of f and the horizontal axis. Major goals of this class include measuring the
size of subsets of Rn and integrating functions over subsets of Rn .
Q
While for n-dimensional intervals I = nj=1 Ij ⊆ Rn Q with one-dimensional intervals
Ij ⊆ R, an obvious choice to assign a volume is |I| := nj=1 |Ij |, for general subsets of
Rn , it is far from obvious what a reasonable volume should be. For certain sets that
have a simple relation with intervals, this relation can be used to assign a volume (e.g.
triangles can be decomposed into halves of rectangles, which leads to the formula for its
area that is taught in high school). Another common sense rule is that the volume v of
the union of N disjoint sets with known volume vj should be the sum of the volumes,
P
v= N j=1 vj . And it makes sense to extend this rule to countable disjoint unions: For
example, if i1 1 i
∀ Ij := j , j−1 ,
j∈N 2 2
then the Ij are clearly disjoint,
∞
[
I := [0, 1] = {0} ∪ Ij ,
j=1
and, due to the formula for the sum of the geometric series,
∞
X ∞
X
1 −j
|I| = 1 = 1 −1=0+ 2 = |[0, 0]| + |Ij |.
1− 2 j=1 j=1
For example, such a rule then allows to compute the area of a circle by decomposing it
into countably many triangles (however, the details are a bit cumbersome and we will
not pursue this here).
Another common sense property that a volume function should satisfy is translation
invariance, i.e. v(A + x) = v(A) should hold for each A ⊆ Rn and each x ∈ Rn , where
A + x := {a + x : a ∈ A}.
Definition 1.1. Let n ∈ N. We call a function v : P(Rn ) −→ [0, ∞] an ideal n-
dimensional volume if, and only if, the following conditions (i) – (iii) are satisfied:
1 MEASURE THEORY 5
(a) If a, b ∈ Rn , a ≤ b, I := [a, b], then

n
Y
v(I) = |bj − aj |.
j=1
(b) v is translation invariant, i.e., for each A ∈ P(Rn ) and each x ∈ Rn ,
v(A + x) = v(A), A + x := {a + x : a ∈ A}.
(c) v satisfies countable additivity, i.e. if A, Aj ∈ P(Rn ), j ∈ N, and if A is the disjoint

union of the Aj , then
X∞
v(A) = v(Aj ).
j=1
Unfortunately, using the axiom of choice, we will be able to show that no ideal volume
exists (see Sec. 1.6.4 and, in particular, Th. 1.74(b)). However, we will see that there
exist volume functions (notably so-called Lebesgue-Borel and Lebesgue measure) that
satisfy Def. 1.1(a)–(c), except that they are not defined on all of P(Rn ) (Lebesgue-Borel
measure is defined on a strictly smaller set than Lebesgue measure and is the restriction
of Lebesgue measure to this set, cf. Ex. 1.47).
1.2 Measure Spaces and Generators

Now that we have discussed some desirable properties of volume functions, which we
will usually call measures µ from now on, we will do the mathematicians’ job and
condense these properties into an abstract definition, then proceeding to studying some
general consequences. As we have already indicated that it would be too restrictive to
require measures to be defined on the entire power set P(X) of a set X, we start by
considering subsets A ⊆ P(X) that are suitable as the domain of a measure. From
our discussion in the previous section, it makes sense to require A to be closed under
countable unions. To be useful, A should at least contain ∅ and X. A finite measure µ
should also have the property µ(X \ A) = µ(X) − µ(A). We will see that this actually
follows from additivity as long as A is also closed under taking complements. With
translation invariance in mind, one might also want A to be closed under translations
(i.e. one might want A + x ∈ A for each A ∈ A and x ∈ X), but, as X might not come
with an addition defined on it, we will not include such a requirement for the domain
of a measure. Altogether, this leads to the following definition:
1 MEASURE THEORY 6
Definition 1.2. Let X be a set. A collection of subsets A ⊆ P(X) is called a σ-algebra

on X if, and only if, it satisfies the following three conditions:
(a) ∅ ∈ A.
(b) If A ∈ A, then Ac = X \ A ∈ A.
S
(c) If (An )n∈N is a sequence of sets in A, then n∈N An ∈ A.
If A is a σ-algebra on X, then the pair (X, A) is called a measurable space. The sets
A ∈ A are called A-measurable (or merely measurable if A is understood).
—
Measures will be defined on σ-algebras (see Def. 1.10 below). Note that there are
similarities between the definition of a σ-algebra and the definition of a topology: For
example, both topologies and σ-algebras are always subsets of the power set of some
given set of interest; they also both contain at least the empty set and the whole space.
Of course, in general, a topology is not a σ-algebra and a σ-algebra is not a topology.
Still, we will notice repeatedly, that similar concepts and techniques are useful for both
measure spaces and topological spaces (there is a branch of mathematics called Category
Theory that systematically investigates such aspects – one finds that the category of
topological spaces has a lot in common with the category of measurable spaces).
Lemma 1.3. Let X be a set and let A ⊆ P(X) be a σ-algebra on X.
(a) A is closed under finite unions: Let n ∈ N. Then

n
[
A1 , . . . , An ∈ A ⇒ Aj ∈ A.
j=1
(b) A is closed under countable (both finite and infinite) intersections: Let I be a
nonempty countable index set and Aj ∈ A, j ∈ I. Then
\
Aj ∈ A.
j∈I
Proof. (a) follows from Def. 1.2(a),(c), as

n
[
Aj = A1 ∪ · · · ∪ An ∪ ∅ ∪ ∅ . . .
j=1
1 MEASURE THEORY 7
(b) follows from Def. 1.2(b),(c) and (a), since

!c
\ [
Aj = Acj ,
j∈I j∈I
completing the proof of the lemma.

Example 1.4. Let X be set.
(a) Clearly, {∅, X} and P(X) are σ-algebras on X, where {∅, X} sometimes called the
trivial σ-algebra on X.
(b) A := {A ⊆ X : A countable or Ac countable} constitutes a σ-algebra S on X
c
(clearly, ∅ ∈ A; if A ∈ A, then A ∈ A; if An ∈ A, n ∈ N,Tthen A := n∈N An ∈ A:
If at least one Acn0 , n0 ∈ N, is countable, then Ac = n∈N Acn ⊆ Acn0 is count-
able; if each Acn is uncountable, then each An must be countable, implying A to be
countable).
The next result will allow us to generate an abundance of σ-algebras:

Proposition 1.5. Arbitrary intersections of σ-algebras yield again σ-algebras: Let X
be a set, let I be a nonempty index set, and let (Ai )i∈I be a family of σ-algebras on X.
Then \
A := Ai
i∈I
is a again a σ-algebra on X.
Proof. Since ∅ is in each Ai , it is also in A. If A ∈ A, then A ∈ Ai for each i ∈ I, i.e.

Ac ∈ Ai for each i ∈ I, implying Ac ∈ A. Similarly, if S An ∈ A for each n ∈ N, then
An ∈ Ai for each i ∈ I and each n ∈ N. Thus, A := n∈N An ∈ Ai for each i ∈ I,
showing A ∈ A.
Caveat 1.6. The union of (even two) σ-algebras is, in general, not a σ-algebra: For
example, let X := {0, 1, 2}, and consider

A1 := ∅, {0}, {1, 2}, X ,

A2 := ∅, {1}, {0, 2}, X ,
B := A1 ∪ A2 .
Then, clearly, A1 and A2 are σ-algebras on X, but B is not (for example {0}, {1} ∈ B,
but {0, 1} ∈
/ B).
1 MEASURE THEORY 8
Definition and Remark 1.7. Let X be a set. If E is a collection of subsets of X, i.e.

E ⊆ P(X), then let σ(E) := σX (E) denote the intersection of all σ-algebras on X that
are supersets of E (i.e. that contain all the sets in E). According to Prop. 1.5, σ(E) is a
σ-algebra on X. Obviously, it is the smallest σ-algebra on X containing E. It is, thus,
called the σ-algebra generated by E; E is called a generator of σ(E).
Example 1.8. Let X be a set.
(a) Both {∅} and {X} are generators of the trivial σ-algebra on X. The set E := {{x} :
x ∈ X} generates the σ-algebra defined in Ex. 1.4(b) above.
(b) Let T be a topology on X. Then B := σ(T ), i.e. the σ-algebra generated by the
open sets of X, is called the Borel σ-algebra on (X, T ) (or on X if the topology T
is understood). The elements of B are called Borel sets.
(c) Let n ∈ N. It is often useful to know that the Borel σ-algebra B n on Rn (with
respect to the norm topology on Rn ) is also generated by each of the following sets
(in each case, it is a simple consequence of the following Lem. 1.9):
Cn := {A ⊆ Rn : A closed},
Kn := {A ⊆ Rn : A compact},
Icn := {[a, b] : a, b ∈ Rn , a ≤ b} ∪ {∅},
n
Ic,Q := {[a, b] : a, b ∈ Qn , a ≤ b} ∪ {∅},
Ion := {]a, b[: a, b ∈ Rn , a ≤ b},
n
Io,Q := {]a, b[: a, b ∈ Qn , a ≤ b},
I n := {]a, b] : a, b ∈ Rn , a ≤ b},
IQn := {]a, b] : a, b ∈ Qn , a ≤ b},
S
IΣn := { N n
k=1 Ik : N ∈ N, I1 , . . . , IN ∈ I disjoint},
S
n
IΣ,Q := { N n
k=1 Ik : N ∈ N, I1 , . . . , IN ∈ IQ disjoint}.
Lemma 1.9. Let (X, T ) be a topological space and let B := σ(T ) be the corresponding
set of Borel sets. Moreover, let C be the set of closed subsets of X, and let K be the set
of compact subsets of X. Then the following holds true:
(a) B = σ(C).
(b) If (X, T ) is Hausdorff (i.e. Sa T2 space) and there exists a sequence (Kn )n∈N of
compact sets such that X = ∞ n=1 Kn , then B = σ(K).
(c) If E ⊆ B is such that every open set O ∈ T is a countable union of sets from E,
then B = σ(E).
1 MEASURE THEORY 9
Proof. (a): Since C = {A ⊆ X : Ac ∈ T }, one has C ⊆ B and, thus, σ(C) ⊆ B (since B

is a σ-algebra). Analogously, one also has T ⊆ σ(C) and B ⊆ σ(C), proving (a).
(b): According to [Phi16b, Prop. 3.9(b)], every compact subset of X is closed, i.e. K ⊆ C,
implying σ(K) ⊆ σ(C) = B. On the other hand, if A ∈ C, then
∞
[ ∞
[
A=A∩X =A∩ Kn = (A ∩ Kn ),
n=1 n=1
i.e. A is a countable union of sets from K, showing C ⊆ σ(K) and B ⊆ σ(K), proving
(b).
(c): The hypothesis of (c) implies T ⊆ σ(E) and B ⊆ σ(E). As E ⊆ B is assumed, this
already proves (c).
Keeping in mind our considerations of the previous section, we are now ready to define
what we mean by a measure:
Definition 1.10. Let (X, A) be a measurable space.
(a) A map µ : A −→ [0, ∞] is called a measure on (X, A) (or on X if A is understood)

if, and only if, µ satisfies the following conditions (i) and (ii):
(i) µ(∅) = 0.
(ii) µ is countably additive (also called σ-additive), i.e., if (Ai )i∈N is a sequence in
A consisting of (pairwise) disjoint sets, then
∞
! ∞
[ X
µ Ai = µ(Ai ). (1.1)
i=1 i=1
If µ is a measure on (X, A), then the triple (X, A, µ) is called a measure space. In
the context of measure spaces, the sets A ∈ A are sometimes called µ-measurable
instead of A-measurable.
(b) Let (X, A, µ) be a measure space. The measure µ is called finite or bounded if, and
only if, µ(X) < ∞ (for µ(X) = 1, µ is called a probability measure, (X, A, µ) is
called a probability space); it S
is called σ-finite if, and only if, there exists a sequence
(Ai )i∈N in A such that X = ∞ i=1 Ai and µ(Ai ) < ∞ for each i ∈ N.
Remark 1.11. In (1.1), we need to extend addition to [0, ∞]. A countable sum of
summands from [0, ∞] is defined to be ∞ if at least one of the summands equals ∞; if
all summands are finite, then the partial sums either converge to some s ∈ R+
0 or they
1 MEASURE THEORY 10
diverge to s = ∞. In both cases, we define s to be the value of the sum. Throughout

the class, we will sometimes need arithmetic in the so-called extended real numbers
R := R ∪ {−∞, ∞}. It is mostly straightforward to extend addition, subtraction, and
multiplication from R to R – the details are provided in Appendix A for future reference.
Example 1.12. Let (X, A) be a measurable space.
(a) The zero measure µ0 : A −→ [0, ∞], µ0 ≡ 0, is clearly a measure, and so is

(
0 if A is countable,
µ∞ : A −→ [0, ∞], µ∞ (A) :=
∞ if A is uncountable.
Then µ∞ is not σ-finite if X is uncountable (if X is countable, then µ∞ = µ0 ). For

X 6= ∅, A = {∅, X}, a variant is the measure µ defined by µ(∅) = 0, µ(X) = ∞,
which is never σ-finite.
(b) Another obvious measure is the so-called counting measure, defined by

(
#A if A is finite,
µc : A −→ [0, ∞], µc (A) :=
∞ if A is infinite.
If A = P(X), then counting measure is σ-finite if, and only if, X is countable.
(c) If X 6= ∅ and a ∈ X, then

(
1 if a ∈ A,
δa : A −→ [0, ∞], δa (A) :=
0 if a ∈
/ A,
is called the Dirac measure concentrated in a (clearly, it is a measure).
(d) Let X be nonempty and finite, #X = n ∈ N. Let m : X −→ R+ 0 be some function.

Then X
µm : P(X) −→ R+ 0 , µ m (A) := m(x),
x∈A
defines a measure on X. Moreover, if M := µm (X) 6= 0, then P := M −1 µm defines

a probability measure on X.
1.3 Extension
The examples at the end of the previous section show that there are many measures that
are simple to define and simple to recognize as measures. However, to accomplish our
1 MEASURE THEORY 11
original goal of defining a measure on the Borel subsets of Rn that yields the expected
geometric size of intervals, is not so simple. We will be able to do this using the technique
of extension, which is also useful beyond the application we have in mind. The idea is
to first define a suitable [0, ∞]-valued function on some set E that is not a σ-algebra
(e.g. the set of intervals) and then to extend this function to a measure on the σ-algebra
generated by E. We will extend our functions from so-called semirings to σ-algebras.
Useful structures in between are rings and algebras.
1.3.1 Semirings, Rings, Algebras
Definition 1.13. Let X be a set, E ⊆ P(X).
(a) E is called a semiring on X if, and only if, it satisfies the following three conditions:
(i) ∅ ∈ E.
(ii) If A, B ∈ E, then A ∩ B ∈ E.
(iii) If A, B ∈ E, then there exist disjoint E1 , . . . , En ∈ E, n ∈ N, such that
n
[
A\B = Ei . (1.2)
i=1
(b) E is called a ring on X if, and only if, it satisfies the following three conditions:
(i) ∅ ∈ E.
(ii) If A, B ∈ E, then A ∪ B ∈ E.
(iii) If A, B ∈ E, then A \ B ∈ E.
(c) E is called an algebra on X if, and only if, E is a ring and X ∈ E.

Remark 1.14. Let X be a set, E ⊆ P(X). Then we have the following implications:
E σ-algebra ⇒ E algebra ⇒ E ring ⇒ E semiring,
where everything is immediate from the respective definitions, except that Def. 1.13(b)
implies Def. 1.13(a)(ii). However, if E is a ring and A, B ∈ E, then
A ∩ B = A \ (A \ B) ∈ E. (1.3)
We also note that E is a ring in the sense of Def. 1.13(b) if, and only if, E is a ring in the
sense of algebra, provided one uses the symmetric difference A ∆ B := (A \ B) ∪ (B \ A)
as addition and ∩ as multiplication (see Appendix B).
1 MEASURE THEORY 12
Remark and Definition 1.15. Analogous to Prop. 1.5, arbitrary intersections of rings
yield again rings, arbitrary intersections of algebras yield again algebras: Let X T
be a set,
let I be a nonempty index set, and let (Ri )i∈I be a family of rings on X, R := i∈I Ri .
Since ∅ is in each Ri , it is also in R. If A, B ∈ R, then A, B ∈ Ri for each i ∈ I, i.e.
A \ B ∈ Ri and A ∪ B ∈ Ri for each i ∈ I, implying A \ B ∈ R and A ∪ BT∈ A, showing
R to be a ring on X. Now let (Ai )i∈I be a family of algebras on X, A := i∈I Ai . Since
X is in each Ai , it is also in A. Since each Ai is a ring on X, so is A, showing A is an
algebra on X. Thus, if X is a set and E ⊆ P(X), then we can let ρ(E) := ρX (E) denote
the intersection of all rings on X that are supersets of E, and we can let α(E) := αX (E)
denote the intersection of all algebras on X that are supersets of E. We then know ρ(E)
to be a ring and α(E) to be an algebra, namely the smallest ring (resp. algebra) on X
containing E. Thus, we call ρ(E) the ring (and α(E) the algebra) generated by E. We
point out that there exists a (rough) conceptual analogy between the way a σ-algebra
can be built from a semiring and the way a topology can be built from a subbase.
Example 1.16. (a) Let X be a set. Then S := {∅} ∪ {{x} : x ∈ X} is a semiring on

X. Moreover, ρ(S) = {A ⊆ X : A finite}, α(S) = {A ⊆ X : A finite or Ac finite},
and σ(S) is the σ-algebra of Ex. 1.4(b).
(b) The sets I 1 = {]a, b] : a, b ∈ R, a ≤ b} and IQ1 = {]a, b] : a, b ∈ Q, a ≤ b} of Ex.

1.8(c) are semirings on R, since, for a, b, c, d ∈ R with a ≤ b and c ≤ d, letting
α := max{a, c}, β := min{b, d}, one has
(
]α, β] if α < β,
]a, b] ∩ ]c, d] =
∅ otherwise,
as well as
]a, b] \ ]c, d] = ]a, c] ∪˙ ]d, b] .
|{z} |{z}
= ∅ for c ≤ a = ∅ for b ≤ d
If n > 1, then I n and IQn are still semirings on Rn :
Proposition 1.17. (a) If X, Y are sets, S is a semiring on X and T is a semiring on

Y , then
U := S ∗ T := {A × B : A ∈ S, B ∈ T }
is a semiring on X × Y .
(b) For each n ∈ N, the sets I n = {]a, b] : a, b ∈ Rn , a ≤ b} and IQn = {]a, b] : a, b ∈

Qn , a ≤ b} of Ex. 1.8(c) are semirings on Rn .
1 MEASURE THEORY 13
Proof. (a): It is ∅ = ∅ × ∅ ∈ U. Now let A1 , A2 ∈ S and B1 , B2 ∈ T . Then
(A1 × B1 ) ∩ (A2 × B2 ) = (A1 ∩ A2 ) × (B1 ∩ B2 ) ∈ U.
Moreover,

(A1 × B1 ) \ (A2 × B2 ) = (A1 \ A2 ) × B1 ∪ A1 × (B1 \ B2 )

= (A1 \ A2 ) × B1 ∪˙ (A1 ∩ A2 ) × (B1 \ B2 ) . (1.4)
As S and T are semirings, there are M, N ∈ N, disjoint C1 , . . . , CM ∈ S, and disjoint

D1 , . . . , DN ∈ T such that
M
[ N
[
A1 \ A2 = Ci , B1 \ B2 = Di .
i=1 i=1
Using this in (1.4), we can write (A1 × B1 ) \ (A2 × B2 ) as a disjoint union of sets in U,
namely
[M [N
˙ ˙
(A1 × B1 ) \ (A2 × B2 ) = (Ci × B1 ) ∪ ˙ (A1 ∩ A2 ) × Di ,
i=1 i=1
which completes the proof that U is a semiring.

(b) follows by induction on n: The base case (n = 1) is given by Ex. 1.16(b), and the
induction step follows from (a), since, for n > 1,
](a1 , . . . , an ), (b1 , . . . , bn )] =](a1 , . . . , an−1 ), (b1 , . . . , bn−1 )] × ]an , bn ]
for each a, b ∈ Rn with a ≤ b.
Proposition 1.18. (a) Let S be a semiring on X and A, B1 , . . . , BN ∈ S, N ∈ N.

Then there exists M ∈ N and disjoint C1 , . . . , CM ∈ S such that
N
[ M
[
A\ Bi = Ci . (1.5)
i=1 i=1
(b) If S is a semiring on X, then

S
ρ(S) = R := { N k=1 Ak : N ∈ N, A1 , . . . , AN ∈ S disjoint}. (1.6)
(c) For each n ∈ N, one has ρ(I n ) = IΣn and ρ(IQn ) = IΣ,Q
n
, where I n , IΣn , IQn , and IΣ,Q
n
are as defined in Ex. 1.8(c).
1 MEASURE THEORY 14
Proof. (a) is proved via induction on N . The base case (N = 1) holds, since S is
a semiring. For the induction step, let N ∈ N, A, B1 , . . . , BN , BN +1 ∈ S. By the
induction hypothesis, there exist disjoint C1 , . . . , CM ∈ S such that (1.5) holds true.
Then
N +1 N
! [M
[ [ ˙ [˙ M
A\ Bi = A \ Bi \ BN +1 = Ci \ BN +1 = (Ci \ BN +1 ).
i=1 i=1
i=1 i=1
Since each of the Ci \ BN +1 is a disjoint finite union of sets from S, the induction is
complete.
(b): Since rings are closed under finite unions, R ⊆ ρ(S) is clear. For the remaining
inclusion, it suffices to show that R is a ring. Since ∅ ∈ S S, ∅ ∈ R. LetSM, N ∈ N,
A1 , . . . , AM ∈ S disjoint, B1 , . . . , BN ∈ S disjoint, A := Mi=1 Ai , B :=
N
i=1 Bi . We
have to show A \ B ∈ R and A ∪ B ∈ R. It is
[ [
˙ M ˙ M
A\B = Ai \ Bj .
i=1 j=1
ṠM
Since, by (a), each of the Ai \ j=1 Bj is a disjoint finite union of sets from S, we have
A \ B ∈ R. We also have
[
˙ M [
˙ N
A∩B = Ai ∩ Bj ∈ R,
i=1 j=1
˙ \A) ∪(A∩B)
since each Ai ∩Bj ∈ S by Def. 1.13(a)(ii). Thus, A∪B = (A\B) ∪(B ˙ ∈ R,
completing the proof that R is a ring and the proof of (b).
(c) follows by combining Prop. 1.17(b) with (b).
1.3.2 Contents, Premeasures
Definition 1.19. Let X be a set and let S be a semiring on X.
(a) A map µ : S −→ [0, ∞] is called a content if, and only if, µ satisfies the following
conditions (i) and (ii):
(i) µ(∅) = 0.
(ii) µ is finitely
S additive, i.e., if n ∈ N and A1 , . . . , An ∈ S are disjoint sets such
that ni=1 Ai ∈ S, then
n
! n
[ X
µ Ai = µ(Ai ). (1.7)
i=1 i=1
1 MEASURE THEORY 15
The content µ is called finite or bounded if, and only if, µ(A) < ∞ for each A ∈ S;
it is called
S σ-finite if, and only if, there exists a sequence (Ai )i∈N in S such that
X= ∞ i=1 i and µ(Ai ) < ∞ for each i ∈ N.
A
(b) A content µ : S −→ [0, ∞] is called a premeasure if, and only if, it is countably
additive (also called σ-additive),
S i.e., if (Ai )i∈N is a sequence in S consisting of
disjoint sets such that ∞ A
i=1 i ∈ S, then
∞
! ∞
[ X
µ Ai = µ(Ai ).
i=1 i=1
Example 1.20. (a) A measure is a premeasure that is defined on a σ-algebra.
(b) Among the most important premeasures is so-called Lebesgue premeasure λn , which,
for n ∈ N, is defined on the semiring I n on Rn from Ex. 1.8(c) by letting
(Q
n n
n n + n j=1 (bj − aj ) for I =]a, b], a, b ∈ R , a < b,
λ : I −→ R0 , λ (I) :=
0 for I = ∅.
We will study it in detail in Sec. 1.3.3 below, where we will show in Th. 1.31 that
it is, indeed, a premeasure.
(c) The following example shows that not every content is a premeasure: Consider
S := {]a, b] : a, b ∈ R, 0 ≤ a ≤ b ≤ 1}. Then S is clearly a semiring on ]0, 1] (cf.
Ex. 1.16(b)). Define


0 for I = ∅,
µ : S −→ [0, ∞], µ(I) := b − a for I =]a, b], 0 < a < b ≤ 1,


∞ for I =]0, b], 0 < b ≤ 1.
Then µ is a content, since

n
X n
X

∀ ∀ µ ]si−1 , si ] = (si − si−1 ) = sn − s0 = µ ]s0 , sn ]
n∈N 0<s0 <s1 <···<sn ≤1
i=1 i=1
and
n
X n
X

µ ]0, s0 ] + µ ]si−1 , si ] = ∞ + (si − si−1 )
∀ ∀ i=1 i=1
n∈N 0<s0 <s1 <···<sn ≤1
= ∞ = µ ]0, sn ] .
1 MEASURE THEORY 16
1
However, µ is not a premeasure, since, letting, for each n ∈ N, In :=] n+1 , n1 ], one
Ṡ∞
has ]0, 1] = n=1 In , but
X∞ X∞
1 1 1
µ(In ) = − = lim 1 − = 1 6= µ ]0, 1] = ∞.
n=1 n=1
n n+1 n→∞ n+1
Before compiling important properties of contents and premeasures in Th. 1.22 and Th.
1.24 below, we show in the following Prop. 1.21 that each content on a semiring extends
in a unique way to a content on the generated ring.
Proposition 1.21. Let S be a semiring on the set X and let µ : S −→ [0, ∞] be a
content. Furthermore, let R := ρ(S). Then there is a unique extension ν : R −→ [0, ∞]
of µ such that ν is a content. Moreover ν is a premeasure if, and only if, µ is a
premeasure.
Proof. Uniqueness: Assume ν is a content on R such that ν ↾S = µ. If AS∈ R, then, by

Prop. 1.18(b), there exist disjoint A1 , . . . , AN ∈ S, N ∈ N, such that A = N i=1 Ai . Thus,
PN
as ν is finitely additive, ν(A) = i=1 µ(Ai ), showing that ν is uniquely determined by
µ.
P
Existence: As we have seen that ν(A) = N i=1 µ(Ai ) must hold if A and A1 , . . . , AN are
as above, we use this formula to define the function ν on R. We now need to verify that
ν is well-defined,
SM i.e.
Pthat,
N PM possibly different, disjoint B1 , . . . , BM ∈ S with
if we pick,
A = i=1 Bi , then i=1 µ(Ai ) = i=1 µ(Bi ). Indeed, we have, since µ is a content on
S,
N N M
! N M
! N XM
X X [ X [ X
µ(Ai ) = µ Ai ∩ Bj = µ (Ai ∩ Bj ) = µ(Ai ∩ Bj )
i=1 i=1 j=1 i=1 j=1 i=1 j=1
M N
! M N
! M
X [ X [ X
= µ (Ai ∩ Bj ) = µ Bj ∩ Ai = µ(Bj ),
j=1 i=1 j=1 i=1 j=1
proving that ν is well-defined. Then ν↾S = µ is also clear. To prove that ν is a content,
we still need to check that it is finitely additive. To this end, let A, B ∈ R be disjoint.
S
Then there are disjoint A1 , . . . , AN , B1 , . . . , BM ∈ S; M, N ∈ N, such that A = Ni=1 Ai
SM
and B = i=1 Bi . In consequence,
N
X M
X
ν(A ∪ B) = µ(Ai ) + µ(Bi ) = ν(A) + ν(B),
i=1 i=1
1 MEASURE THEORY 17
as needed.
Since ν↾S = µ, if ν is a premeasure, so is µ. For the converse, assume µSto be a premeasure
and let (Ai )i∈N be a sequence of disjoint sets in R such that A := ∞ i=1 Ai ∈ R. Then
SN
there are disjoint sets B1 , . . . , BN ∈ S, N ∈ N, with A = i=1 Bi , and, for each i ∈ N,
S i
there are disjoint sets Ci1 , . . . , CiNi ∈ S, Ni ∈ N, with Ai = Nj=1 Cij . Then
[
˙ ∞ ˙ ∞ [
[ ˙ Nj
∀ Bi = Bi ∩ A = (Bi ∩ Aj ) = (Bi ∩ Cjk ).
i∈{1,...,N } j=1 j=1 k=1 | {z }
∈S
Thus, as µ is a premeasure,
Nj
∞ X ∞
X X
∀ µ(Bi ) = µ(Bi ∩ Cjk ) = ν(Bi ∩ Aj ),
i∈{1,...,N }
j=1 k=1 j=1
implying
N
X ∞
N X
X ∞
X ∞
X
ν(A) = µ(Bi ) = ν(Bi ∩ Aj ) = ν(A ∩ Aj ) = ν(Aj ),
i=1 i=1 j=1 j=1 j=1
proving ν to be a premeasure.
During the construction of a content µ, it can be helpful to first define and study it on
a semiring. However, Prop. 1.21 tells us that we may assume µ to be defined on a ring
when considering a content’s general properties, as in the following Th. 1.22 (one still
has to use some care, though, cf. Ex. 1.25(c) below).
Theorem 1.22. Let R be a ring on the set X and let µ : R −→ [0, ∞] be a content.
Then the following rules hold, where we assume A, B ∈ R as well as Ai ∈ R for each
i ∈ N.
(a) Monotonicity: If B ⊆ A, then µ(B) ≤ µ(A).

(b) Subtractivity: If B ⊆ A and µ(B) < ∞, then µ(A \ B) = µ(A) − µ(B).
(c) µ(A) + µ(B) = µ(A ∪ B) + µ(A ∩ B).
S P∞
(d) If the Ai are disjoint and ∞i=1 Ai ⊆ A, then i=1 µ(Ai ) ≤ µ(A).
Sn P
(e) Subadditivity: For each n ∈ N, one has µ( i=1 Ai ) ≤ ni=1 µ(Ai ).
S∞
(f ) If µ is aPpremeasure, then one also has σ-subadditivity: If A ⊆ i=1 Ai , then
µ(A) ≤ ∞ i=1 µ(Ai ).
1 MEASURE THEORY 18
˙
Proof. (a): If B ⊆ A, then A = B ∪(A \ B), implying
µ(A) = µ(B) + µ(A \ B). (1.8)
Since µ(A \ B) ∈ [0, ∞], this shows µ(B) ≤ µ(A).

(b) is immediate from (1.8), as µ(B) is assumed finite.
(c): Finite additivity yields
µ(B) = µ(B \ A) + µ(A ∩ B),

µ(A ∪ B) = µ(A) + µ(B \ A).
If µ(A∪B) < ∞, then we add µ(A) = µ(A∪B)−µ(B \A) to the first equation to obtain
(c). If µ(A ∪ B) = µ(A) = ∞, then (c) also holds. In the remaining case, µ(A ∪ B) = ∞
and µ(A) < ∞, i.e. µ(B \ A) = ∞, implying µ(B) = ∞, i.e. (c) holds once again.
Pn
(d) holds, since, by finite additivity and monotonicity, i=1 µ(Ai ) ≤ µ(A) holds for
each n ∈ N.
S Ṡn Sn−1
(e): Since ni=1 Ai = i=1 (Ai \ j=1 Aj ), we have
n
! n n−1
! n
[ X [ X
µ Ai = µ Ai \ Aj ≤ µ(Ai ).
i=1 i=1 j=1 i=1
Ṡn Sn−1
(f) follows with the same kind of trick as in (e): Since A = i=1 (A ∩ (Ai \ j=1 Aj )),
we have !!
X∞ n−1
[ ∞
X
µ(A) = µ A ∩ Ai \ Aj ≤ µ(Ai ),
i=1 j=1 i=1
completing the proof of (f) and the theorem.

Notation 1.23. Let A and An , n ∈ N, be sets. We introduce the following notation:
∞
!
[
An ↑ A :⇔ A= An ∧ A1 ⊆ A2 ⊆ . . . ,
n=1
∞
!
\
An ↓ A :⇔ A= An ∧ A1 ⊇ A2 ⊇ . . . .
n=1
Theorem 1.24. Let R be a ring on the set X, let µ : R −→ [0, ∞] be a content, and
consider the following statements:
(i) µ is a premeasure.
1 MEASURE THEORY 19
(ii) µ is continuous from below, i.e. if A ∈ R and (An )n∈N is a sequence in R, then
An ↑ A ⇒ lim µ(An ) = µ(A). (1.9)
n→∞
(iii) µ is continuous from above, i.e. if A ∈ R and (An )n∈N is a sequence in R, then

µ(A1 ) < ∞ ∧ An ↓ A ⇒ lim µ(An ) = µ(A). (1.10)
n→∞
(iv) If (An )n∈N is a sequence in R, then

µ(A1 ) < ∞ ∧ An ↓ ∅ ⇒ lim µ(An ) = 0. (1.11)
n→∞
Then the following implications hold:

(i) ⇔ (ii) ⇒ (iii) ⇔ (iv).
Under the additional assumption that µ is finite, (i) – (iv) are equivalent.
Proof. (i) ⇒ (ii): Let A ∈ R and let (An )n∈N be a sequence in R such that An ↑ A.
Ṡ∞
Then A = A1 ∪˙ i=2 (Ai \ Ai−1 ), implying
∞ n
!
X X
µ(A) = µ(A1 ) + µ(Ai \ Ai−1 ) = lim µ(A1 ) + µ(Ai \ Ai−1 ) = lim µ(An ),
n→∞ n→∞
i=2 i=2
as desired.
S∞ ⇒ (i): If A ∈ R and (Bi )i∈N is a sequence

(ii) Sn of disjoint sets in R, satisfying A =
i=1 Bi , then, letting, for each n ∈ N, An := i=1 Bi ∈ R, one has An ↑ A. Then (ii)
yields
n
X X∞
µ(A) = lim µ(An ) = lim µ(Bi ) = µ(Bi ),
n→∞ n→∞
i=1 i=1
showing µ to be a premeasure.
(ii) ⇒ (iii): Let A ∈ R and let (An )n∈N be a sequence in R such that An ↓ A, µ(A1 ) < ∞.
Then µ(A) < ∞ and µ(An ) < ∞ for each n ∈ N. Moreover,
∞
!
\
An ↓ A ⇒ A= An ∧ A1 ⊇ A2 ⊇ . . .
n=1
∞
!
[
⇒ A1 \ A = (A1 \ An ) ∧ A1 \ A1 ⊆ A1 \ A2 ⊆ . . .
n=1
⇒ A1 \ An ↑ A1 \ A.
1 MEASURE THEORY 20
Thus, we can apply Th. 1.22(b) and (ii) to obtain

lim µ(A1 ) − µ(An ) = lim µ(A1 \ An ) = µ(A1 \ A) = µ(A1 ) − µ(A),
n→∞ n→∞
proving (iii).
(iii) ⇒ (iv) is immediate by setting A := ∅.
(iv) ⇒ (iii): Let A ∈ R and let (An )n∈N be a sequence in R such that An ↓ A, µ(A1 ) <
∞. For each n ∈ N, set Bn := An \ A ∈ R. Then Bn ↓ ∅ and µ(B1 ) ≤ µ(A1 ) < ∞, i.e.
we can apply (iv) to obtain

lim µ(An ) − µ(A) = lim µ(Bn ) = 0,
n→∞ n→∞
proving (iii).
Finally, assume µ to be finite and (iv). Let A ∈ R and let (An )n∈N be a sequence in R
such that An ↑ A. Then A \ An ↓ ∅ and, since µ(A \ A1 ) < ∞, (iv) yields

lim µ(A) − µ(An ) = lim µ(A \ An ) = 0,
n→∞ n→∞
proving (ii) and the theorem.
The following Ex. 1.25(a)–(c) provides some counterexamples related to Th. 1.24 above.
Example 1.25. (a) The following example shows that one cannot omit the condition
µ(A1 ) < ∞ in (iii) and (iv) of Th. 1.24: Consider the counting measure of Ex.
1.12(b) with X := N. If, for each n ∈ N, An := {k ∈ N : k ≥ n}. Then An ↓ ∅, but
µ(An ) = ∞ for each n ∈ N.
(b) The following example shows statements (iii) and (iv) of Th. 1.24 are, in general,
not equivalent to statements (i) and (ii): Let X be a countable infinite set (e.g.,
X = N). Then A := {A ⊆ X : A finite or Ac finite} is clearly an algebra on X and
(
0 for A finite,
µ : A −→ [0, ∞], µ(A) :=
∞ for A infinite,
clearly defines a content on A. Moreover, µ satisfies (iii) and (iv) of Th. 1.24, since,
if A ∈ A and (An )n∈N is a sequence in A with An ↓ A, then µ(A1 ) < ∞ implies that
all AnP and A are finite with µ(An ) = µ(A) = 0. However, µ is not a premeasure,
since x∈X µ({x}) = 0 6= ∞ = µ(X) (where we used that X is the countable
disjoint union of the {x}).
1 MEASURE THEORY 21
(c) The following example shows Th. 1.24 does, in general, not hold if the ring R is
replaced with a semiring S: Let X := Q and
S := I 1 |Q := {]a, b] ∩ Q : a, b ∈ R, a ≤ b}.
Then, clearly, S is a semiring on Q. We show

µ : S −→ R+
0, µ ]a, b] ∩ Q := b − a (a ≤ b)
defines a finite content, satisfying Th. 1.24(ii) on S (and, thus, also Th. 1.24(iii),(iv)
on S, since the corresponding proofs of Th. 1.24 remain valid), but (the extension of)
µ does not satisfy Th. 1.24(ii) on R := ρ(S) (in particular, µ is not a premeasure):
Since
n
X n
X

∀ ∀ µ ]si−1 , si ] ∩ Q = (si − si−1 ) = sn − s0 = µ ]s0 , sn ] ∩ Q ,
n∈N s0 <s1 <···<sn
i=1 i=1
µ is a content. We now show µ satisfies Th. 1.24(ii) on S: Let A =]a, b] ∩ Q ∈ S,

a, b ∈ R, a < b, and (An )n∈N a sequence in S with An ↑ A. Then, for each n ∈ N,
An =]an , bn ] ∩ Q, an , bn ∈ R, an < bn , with (an )n∈N decreasing, (bn )n∈N increasing,
limn→∞ an = a, limn→∞ bn = b. Then
lim µ(An ) = lim (bn − an ) = b − a = µ(A),

n→∞ n→∞
showing Th. 1.24(ii) holds on S. Next, we show that (the extension of) µ does
not satisfy Th. 1.24(ii) on R := ρ(S): Let A :=]0, 1] ∩ Q and let q1 , q2 , . . . be
an enumeration of the (countable) set A, 0 < ǫ < 1. We recursively construct a
)n∈N , An =]an , bn ] ∩ Q, of disjoint sets in S, and a sequence (Bn )n∈N
sequence (An S
in R, Bn := ni=1 Ai , by letting a1 := max{0, q1 − ǫ 2−1 }, b1 := q1 (note µ(B1 ) =
µ(A1 ) ≤ ǫ 2−1 ) and, for n > 1, let Nn := min{k ∈ N : qk ∈ / Bn−1 }, bn := qNn ,
an := max {t ∈ Bn−1 : t < bn } ∪ {bn − ǫ 2 } , noting µ(An ) ≤ ǫ 2−n and
−n
n
X ∞
X
µ(Bn ) = µ(Ai ) < ǫ 2−i = ǫ < 1. (1.12)
i=1 i=1
Ṡn−1
We
Pn−1 point out that N n above is well-defined, since, if B n−1 = i=1 Ai = A, then
i=1 µ(Ai ) < ǫ < 1 = µ(A) would mean that µ were not a content. Moreover,
since Bn ↑ A (note that every qk must be in precisely one of the Ai ), (1.12) shows
that µ does not satisfy Th. 1.24(ii) on R.
1 MEASURE THEORY 22
1.3.3 Lebesgue Premeasure on Rn
At this point, we are in a position to perform the first step of the process described
at the beginning of Sec. 1.3: We can define a premeasure on a semiring that, when
extended to all Borel sets in Rn , will satisfy the conditions of Def. 1.1 (cf. Ex. 1.47).
Definition 1.26. Let n ∈ N and recall the definition of the semiring I n on Rn from
Ex. 1.8(c). The function
(Q
n n
j=1 (bj − aj ) for I =]a, b], a, b ∈ R , a < b,
λn : I n −→ R+ 0 , λ n
(I) := (1.13)
0 for I = ∅,
is called the (n-dimensional) Lebesgue premeasure on I n (or, somewhat less precisely,

on Rn , as in the section title above).
—
The main objective of this section is to show that λn is, indeed, a premeasure. It turns
out not to be as easy as one might have thought. We will first prove it to be a content in
Prop. 1.28 and then to be a premeasure in Th. 1.31. We introduce the following notions
that will be useful to prove Prop. 1.28:
Definition 1.27. Let n ∈ N.
(a) Given k ∈ {1, . . . , n}, α ∈ R, we define the following subsets of Rn :
Hk,α := {x ∈ Rn : xk = α}, (1.14a)

+
H k,α := {x ∈ Rn : xk ≥ α}, (1.14b)
−
H k,α := {x ∈ Rn : xk ≤ α}, (1.14c)
+ −
where Hk,α is called the hyperplane and Hk,α (resp. Hk,α ) is called the (closed)
positive (resp. negative) halfspace corresponding to (k, α).
(b) Given a half-open interval I =]a, b] ∈ I n , a, b ∈ Rn with a < b, we call the set
C(I) := {(k, α) ∈ {1, . . . , n} × R : ak = α ∨ bk = α}
the coordinate set of I. We also define C(∅) := ∅.

ṠN
(c) Now let I, I1 , . . . , IN ∈ I n be half-open intervals such that I =]a, b] = j=1 Ij ,
a, b ∈ Rn with a < b. Moreover, let (k1 , α1 ), . . . , (kM , αM ) ∈ {1, . . . , n} × R, M ∈ N.
1 MEASURE THEORY 23
We say that the hyperplanes Hk1 ,α1 , . . . , HkM ,αM cut the interval I into the intervals
I1 , . . . , IN if, and only if, the following two conditions hold:
+ −

∀ ∀ Ii ⊆ H kj ,αj ∨ Ii ⊆ H kj ,αj , (1.15a)
i∈{1,...,N } j∈{1,...,M }
( )
n o [N
(kj , αj ) : j ∈ {1, . . . , M } = (k, α) ∈ C(Ij ) : ak < α < bk (1.15b)
j=1
(condition (1.15a) says that each small interval Ij has to lie on precisely one side of
each of the cutting halfspaces; condition (1.15b) says that all halfspaces intersect
the interior of I and that the cutting halfspaces extend all the faces of the Ij that
intersect the interior of I to the boundary of I).
Proposition 1.28. For each n ∈ N, Lebesgue premeasure λn as defined in Def. 1.26

constitutes a content on the semiring I n .
Proof. We conduct the proof in several steps. First, we consider an interval I =]a, b],
a, b ∈ Rn , a < b, that is cut by a hyperplane Hk,α , k ∈ {1, . . . , n} and α ∈]ak , bk [, into
intervals I1 , I2 ∈ I n in the sense of Def. 1.27. Then, clearly I1 ∪˙ I2 , where I1 =]a1 , b1 ],
I2 =]a2 , b2 ], with
a1 := a, b1 := (b1 , . . . , bk−1 , α, bk+1 , . . . , bn ),

a2 := (a1 , . . . , ak−1 , α, ak+1 , . . . , an ), b2 := b.
Moreover,
n k−1
! n
!
Y Y Y
λn (I) = (bj − aj ) = (bj − aj ) (α − ak ) (bj − aj )
j=1 j=1 j=k+1
k−1
! n
!
Y Y
+ (bj − aj ) (bk − α) (bj − aj ) = λn (I1 ) + λn (I2 ).
j=1 j=k+1
We can now use an induction on M ∈ N to show that, if I ∈ I n is cut by M hy-

perplanes Hk1 ,α1 , . . . , HkM ,αM , (k1 , α1 ), . . . , (kM , αM ) ∈ {1, . . . , n} × R, into intervals
P
I1 , . . . , IN ∈ I n , then λn (I) = N n
i=1 λ (Ii ): The case M = 1 has already been carried
out above. Thus, let M ∈ N. By induction, the M hyperplanes Hk1 ,α1 , . . . , HkM ,αM ,
(k1 , α1 ), . P. . , (kM , αM ) ∈ {1, . . . , n} × R cut I into N intervals I1 , . . . , IN ∈ I n and
λ (I) = N
n n
i=1 λ (Ii ). Now consider (kM +1 , αM +1 ) ∈ {1, . . . , n} × R. Then, using the
case M = 1, HkM +1 ,αM +1 cuts each Ii either not at all or into two intervals I(i,1) , I(i,2) ∈ I n
1 MEASURE THEORY 24
such that λn (Ii ) = λn (I(i,1) ) + λn (I(i,2) ). Letting

J M +1,1 := i ∈ {1, . . . , N } : Ii not cut by HkM +1 ,αM +1 ,

J M +1,2 := i ∈ {1, . . . , N } : Ii cut into I(i,1) , I(i,2) by HkM +1 ,αM +1 ,
Ji := {i} for i ∈ J M +1,1 , Ji := {(i, 1), (i, 2)} for i ∈ J M +1,2 ,
we have
N
X N X
X
n n
λ (I) = λ (Ii ) = λn (Ik ),
i=1 i=1 k∈Ji
completing the induction. Finally, given I =]a, b] ∈ I n (a, b ∈ Rn with a < b), let
ṠK
K ∈ N, and let I1 , . . . , IK ∈ I n be disjoint intervals such that I = j=1 Ij . Set
( K
)
[
J := (k, α) ∈ C(Ij ) : ak < α < bk ,
j=1
We cut I by the M := #J ∈ N hyperplanes in {H(k,α) : (k, α) ∈ J} (i.e. we extend all

the faces of the Ij that intersect the interior of I to the boundary of I). Then we know
that these
PNhyperplanes cut I into N disjoint intervals A1 , . . . , AN ∈ I n , N ∈ N, and
n n
λ (I) = i=1 λ (Ai ). Moreover, we define

∀ Jj := (k, α) ∈ J : Ij cut by H(k,α) .
j∈{1,...,K}
If Jj 6= ∅, then the Mj hyperplanes in {H(k,α) : (k, α) ∈ Jj } (where 1 ≤ Mj := #Jj ∈ N)

PNj n j
cut Ij into Nj disjoint intervals Aj1 , . . . , AjNj ∈ I n , Nj ∈ N, and λn (Ij ) = ι=1 λ (Aι ).
j
For Jj = ∅, set A1 := Ij , Nj := 1. The definition of J yields
∀ ∃ Ai ⊆ Ij
i∈{1,...,N } j∈{1,...,K}
and, thus,
[˙ K j
Ai : i ∈ {1, . . . , N } = Aι : ι ∈ {1, . . . , Nj } .
j=1
In consequence, altogether, we obtain

N Nj
K X K
X X X
n n
λ (I) = λ (Ai ) = λn (Ajι ) = λn (Ij ),
i=1 j=1 ι=1 j=1
completing the proof that λn is a content on I n .
1 MEASURE THEORY 25
To show that λn is a premeasure, it remains to verify it is σ-additive. In the literature,

one finds many different proofs. Here, we choose to use a method that makes use of λn
being regular in the sense of the following Def. 1.29 with respect to the norm topology on
Rn . Regular measures on topological spaces play an important role throughout analysis
and, while we will not have time in this class to study them in depth, this gives us the
opportunity to at least briefly touch on the subject.
Definition 1.29. Let (X, T ) be a topological space, let S be a semiring on X, and let
µ : S −→ R+ 0 be a finite content. Then µ is called inner regular (with respect to T ) if,
and only if,

∀+ ∀ ∃ K compact ∧ K ⊆ A ∧ µ(A) ≤ µ(K) + ǫ . (1.16)
ǫ∈R A∈S K∈S
Proposition 1.30. Let (X, T ) be a topological space, let S be a semiring on X, and let
µ : S −→ R+
0 be an inner regular content. Then the following assertions hold true:
(a) If R := ρ(S) and µ : R −→ R+

0 denotes the extension of µ to a content on R, then
µ is still inner regular.
(b) µ is a premeasure.
Proof. (a): According to Prop. 1.18(b), R consists of disjoint finite unions of sets from
S. Thus, if µ is finite Son S, then µ is also finite on R. Now let A1 , . . . , An ∈ S be
disjoint, n ∈ N, A := ni=1 Ai . Given ǫ ∈ R+ , for each i ∈ {1, . . . , n}, S
let Ki ∈ S be
such that K i is compact, K i ⊆ Ai , and µ(Ai ) ≤ µ(Ki ) + n . Let K := ni=1 Ki . Then
ǫ
S
K ∈ R, K = ni=1 K i is compact, K ⊆ A, and
n
ǫ
n
X X
µ(A) = µ(Ai ) ≤ µ(Ki ) + = µ(K) + ǫ,
i=1 i=1
n
establishing µ to be inner regular on R.

(b): Using (a), it suffices to show that µ on R satisfies Th. 1.24(iv). Proceeding by
contraposition, we let (An )n∈N be a sequence in R such that A1 ⊇ A2 ⊇ . . . and
ǫ := lim µ(An ) > 0,
n→∞
T∞
and show that this implies n=1 An 6= ∅. To this end, for each n ∈ N, let Kn ∈ RTbe such
that K n is compact, K n ⊆ An , and µ(An ) ≤ µ(Kn ) + 2−n ǫ. Also let Hn := ni=1 Kn .
Then Hn ∈ R. Moreover, H n ⊆ K n , i.e. H n is a closed subset of the compact set K n
and, thus, itself compact. If we can show
∀ Hn 6= ∅, (1.17)
n∈N
1 MEASURE THEORY 26
T
then H n = ni=1 H T∞ n ∈ N and, by the finite intersection property of the
Ti∞6= ∅ for each
compact set H 1 , n=1 An ⊇ n=1 H n 6= ∅ as desired. It remains to show (1.17). We
accomplish this via proving, for each n ∈ N,
µ(Hn ) ≥ µ(An ) − ǫ(1 − 2−n ) ≥ ǫ − ǫ + ǫ 2−n = ǫ 2−n > 0 (1.18)
by induction on n. For n = 1, H1 = K1 and (1.18) holds, since µ(A1 ) ≤ µ(K1 ) + 2−1 ǫ
by the choice of K1 . For the induction step, fix n ∈ N and estimate
Th. 1.22(c)
µ(Hn+1 ) = µ(Hn ∩ Kn+1 ) = µ(Kn+1 ) + µ(Hn ) − µ(Hn ∪ Kn+1 )
ind.hyp.
≥ µ(Kn+1 ) + µ(An ) − ǫ(1 − 2−n ) − µ(Hn ∪ Kn+1 ). (1.19)
Due to the choice of Kn+1 , we have µ(Kn+1 ) ≥ µ(An+1 )−2−(n+1) ǫ as well as Kn+1 ∪Hn ⊆
An+1 ∪ An = An and, thus, µ(Kn+1 ∪ Hn ) ≤ µ(An ), which we use in (1.19) to obtain
µ(Hn+1 ) ≥ µ(An+1 ) − 2−(n+1) ǫ − ǫ(1 − 2−n ) = µ(An+1 ) − ǫ(1 − 2−(n+1) ),
completing the induction as well as the proof of the proposition.
Theorem 1.31. For each n ∈ N, Lebesgue premeasure λn as defined in Def. 1.26
constitutes a premeasure on the semiring I n .
Proof. We know λn to be a content from Prop. 1.28. Thus, the assertion will follow from
Prop. 1.30, if we can show λn to be inner regular with respect to the norm topology
on Rn . To this end, let a, b, c ∈ Rn , a < c < b, A =]a, b], K =]c, b]. Then K ⊆ A is
compact and, letting Mn := max{bj − aj : j ∈ {1, . . . , n}},
n
X
n n
λ (A) ≤ λ (K) + Mnn−1 (cj − aj ). (1.20)
j=1
We prove (1.20) by induction on n ∈ N: For n = 1, (1.20) follows from λ1 (A) = b1 −a1 =

b1 − c1 + c1 − a1 = λ1 (K) + M10 (c1 − a1 ). For n ∈ N, we have

λn+1 A×]an+1 , bn+1 ] = (bn+1 − cn+1 + cn+1 − an+1 ) λn (A)
n
!
ind.hyp X
≤ (bn+1 − cn+1 ) λn (K) + Mnn−1 (cj − aj ) + (cn+1 − an+1 ) λn (A)
j=1
n
X
n
≤ λn+1 K×]cn+1 , bn+1 ] + Mn+1 n
(cj − aj ) + Mn+1 (cn+1 − an+1 )
j=1
n+1
X

= λn+1 K×]cn+1 , bn+1 ] + Mn+1
n
(cj − aj ),
j=1
1 MEASURE THEORY 27
as needed to conclude the induction. Now fix n ∈ N, ǫ > 0, and let A and M := Mn
b +a
be as above. For each j ∈ {1, . . . , n}, let cj := min{ j 2 j , aj + nMǫn−1 }, K :=]c, b] (as
before). Then
n
X
(1.20) ǫ
λn (A) ≤ λn (K) + M n−1 (cj − aj ) ≤ λn (K) + M n−1 n n−1
= λn (K) + ǫ,
j=1
nM
proving λn to be inner regular and, thus, a premeasure.
1.3.4 Outer Measures, Carathéodory Extension Theorem
We would now like to extend premeasures to measures. An important tool to accomplish

this, are so-called outer measures.
Definition 1.32. Let X be a set. A map η : P(X) −→ [0, ∞] is called an outer measure
on X if, and only if, η satisfies the following conditions (i) – (iii):
(i) η(∅) = 0.
(ii) Monotonicity:
∀ η(A) ≤ η(B). (1.21)
A⊆B⊆X
(iii) η is countably subadditive (also called σ-subadditive), i.e., if (Ai )i∈N is a sequence
in P(X), then !
∞
[ X∞
η Ai ≤ η(Ai ). (1.22)
i=1 i=1
Remark 1.33. Since we know measures to be monotone and σ-subadditive, every mea-
sure on P(X) is an outer measure. However, the converse is not true in general: For
example, (
0 if A = ∅,
η : P(X) −→ [0, ∞], η(A) :=
1 if A 6= ∅,
defines an outer measure that is not a measure if X has more than one element.
Definition 1.34. Let X be a set and let η : P(X) −→ [0, ∞] be an outer measure on
X. We call A ⊆ X η-measurable if, and only if,
∀ η(Q) ≥ η(Q ∩ A) + η(Q ∩ Ac ). (1.23)

Q⊆X
Lemma 1.35. Let X be a set and let η : P(X) −→ [0, ∞] be an outer measure on X,
A ⊆ X.
1 MEASURE THEORY 28
(a) If η(A) = 0 or η(Ac ) = 0, then A is η-measurable.
(b) A is η-measurable if, and only if,
∀ η(Q) ≥ η(Q ∩ A) + η(Q ∩ Ac ).

Q⊆X,
η(Q)<∞
(c) A is η-measurable if, and only if,
∀ η(Q) = η(Q ∩ A) + η(Q ∩ Ac ). (1.24)

Q⊆X
Proof. (a) If η(A) = 0, then the monotonicity of η implies, for each Q ⊆ X, η(Q∩A) = 0
and, thus η(Q ∩ A) + η(Q ∩ Ac ) = η(Q ∩ Ac ) ≤ η(Q), showing A to be η-measurable.
Analogously, we see A to be η-measurable for η(Ac ) = 0.
(b) is clear, since (1.23) always holds for η(Q) = ∞.
(c) is also clear since ≤ always holds in (1.23) by the subadditivity of η.
Proposition 1.36. Let X be a set and let η : P(X) −→ [0, ∞] be an outer measure on
X. Define
Aη := {A ⊆ X : A is η-measurable}. (1.25)
Then Aη is a σ-algebra and η↾Aη is a measure.
Proof. We first show Aη to be an algebra: Let Q ⊆ X. Since η(Q) = η(Q∩X)+η(Q∩∅),

∅ ∈ Aη and X ∈ Aη . It is immediate from (1.23) that A ∈ Aη implies Ac ∈ Aη . Now
let A, B ∈ Aη . Then
(1.23)
η(Q) ≥ η(Q ∩ A) + η(Q ∩ Ac )
(1.23)
≥ η(Q ∩ A) + η(Q ∩ Ac ∩ B) + η(Q ∩ Ac ∩ B c )
Def. 1.32(iii)
≥ η (Q ∩ A) ∪ (Q ∩ Ac ∩ B) + η Q ∩ (A ∪ B)c

= η Q ∩ (A ∪ B) + η Q ∩ (A ∪ B)c ,
proving A ∪ B ∈ Aη . Now
A \ B = A ∩ B c = (Ac ∪ B)c ∈ Aη , (1.26)
establishing Aη to be an algebra.
1 MEASURE THEORY 29
S∞
Now let (Ai )i∈N be a sequence of disjoint sets in Aη and let A := i=1 Ai . We claim
that A ∈ Aη and
X∞
η(A) = η(Ai ). (1.27)
i=1
To prove the claim, fix Q ∈ P(X). We first show

n
! n
[ X
∀ η Q∩ Ai = η(Q ∩ Ai ) (1.28)
n∈N
i=1 i=1
via induction
S on n: For n = 1, there is nothing to prove. For n >
Sn−1 1, we apply (1.24)
Sn−1
with Q ∩ ni=1 Ai instead of Q and i=1 Ai instead of A (we know i=1 Ai ∈ Aη , as Aη
is an algebra) to obtain
n
! n−1
! n
[ [ ind.hyp.
X
η Q∩ Ai = η Q ∩ Ai + η(Q ∩ An ) = η(Q ∩ Ai )
i=1 i=1 i=1
S
as needed. Now we prove A ∈ Aη and (1.27): For each n ∈ N, since ni=1 Ai ∈ Aη , we
can apply (1.28) to estimate
n
! n
!c ! n
(1.23) [ [ (1.28),Def. 1.32(ii) X
η(Q) ≥ η Q ∩ Ai + η Q ∩ Ai ≥ η(Q ∩ Ai ) + η(Q ∩ Ac )
i=1 i=1 i=1
implying
∞
X Def. 1.32(iii) Def. 1.32(iii)
η(Q) ≥ η(Q∩Ai )+η(Q∩Ac ) ≥ η(Q∩A)+η(Q∩Ac ) ≥ η(Q). (1.29)
i=1
Thus, all terms in (1.29) must be equal, proving A ∈ Aη and, for Q := A, (1.27).
Due to (1.27), η↾Aη is a measure, provided Aη is a σ-algebra. So, finally,
S let (Ai )i∈N be
a sequence in Aη (now the Ai do not have to be disjoint) and let A := ∞ i=1 Ai . Then
i−1
!
[˙ ∞ [
A= Ai \ Ak ∈ Aη
i=1
k=1
| {z }
∈Aη
showing Aη to be a σ-algebra, completing the proof of the proposition.
The following Prop. 1.37 yields a useful construction method for outer measures:
1 MEASURE THEORY 30
Proposition 1.37. Let X be a set, S ⊆ P(X) with ∅ ∈ S, and µ : S −→ [0, ∞] with

µ(∅) = 0. Then
η : P(X) −→ [0, ∞],

(∞ ∞
)
X [
η(A) := inf µ(Ai ) : (Ai )i∈N sequence in S, A ⊆ Ai , inf ∅ := ∞. (1.30)
i=1 i=1
defines an outer measure on X. This outer measure is called the outer measure induced
by µ.
Proof. Setting Ai := ∅ for each i ∈ S N in (1.30) shows η(∅)

S∞ = 0. If A ⊆ B ⊆ X and
∞
(Ai )i∈N is a sequence in S with B ⊆ i=1 Ai , then A ⊆ i=1 Ai , showing η(A) ≤ η(B).
Only the σ-subadditivity
S of η requires slightly more effort: Let (Ai )i∈N be a sequence in
P(X) and A := ∞ A
i=1 i . We need to show
∞
X
η(A) ≤ η(Ai ). (1.31)
i=1
Since (1.31) tivially holds if, for at least one i ∈ N, η(Ai ) = ∞, we may assume
η(Ai ) < ∞ for each i ∈ N. Let ǫ ∈ R+ . Then, for each i ∈ N, there exists a sequence
(Bik )k∈N in S such that
∞
[ ∞
X
Ai ⊆ Bik ∧ µ(Bik ) < η(Ai ) + ǫ · 2−i .
k=1 k=1
S
Since (Bik )(i,k)∈N2 is a countable family (i.e. a sequence) in S with A ⊆ (i,k)∈N2 Bik ,
∞ X
X ∞ ∞
X ∞
X

η(A) ≤ µ(Bik ) ≤ η(Ai ) + ǫ · 2−i = ǫ + η(Ai )
i=1 k=1 i=1 i=1
implies (1.31) and establishes the case.
Theorem 1.38 (Carathéodory Extension Theorem). Let S be a semiring on the set X

and let µ : S −→ [0, ∞] be a content. If η is defined by (1.30), then the following holds:
(a) η is an outer measure and each A ∈ S is η-measurable (i.e. S ⊆ σ(S) ⊆ Aη ).
(b) If µ is a premeasure, then η↾S = µ (thus, in this case, η↾Aη is a measure that extends
the premeasure µ to a σ-algebra containing σ(S)).
1 MEASURE THEORY 31
(c) If µ is not a premeasure, then
∃ η(A) < µ(A). (1.32)

A∈S
Proof. (a): According to Prop. 1.37, η is an outer measure. It remains to show that
each A ∈ S is η-measurable, i.e. we have to verify (1.23), given some A ∈ S. It will be
convenient to extend the content µ to a content on R := ρ(S) via Prop. 1.21 (we still
call the extension µ). Then (1.30) and Prop. 1.18(b) imply
(∞ ∞
)
X [
∀ η(Q) = inf µ(Ai ) : (Ai )i∈N sequence in R, Q ⊆ Ai . (1.33)
Q∈P(X)
i=1 i=1
To verify (1.23), let Q ⊆ X. As (1.23) always

S∞holds if η(Q) = ∞, we assume η(Q) < ∞.
For each sequence (Ai )i∈N in S with Q ⊆ i=1 Ai (where η(Q) < ∞ guarantees such a
sequence exists), the following must hold (using that µ is a content on R):
∞
X ∞
X ∞
X (1.33)
µ(Ai ) = µ(Ai ∩ A) + µ(Ai \ A) ≥ η(Q ∩ A) + η(Q ∩ Ac ). (1.34)
i=1 i=1 i=1
Now taking the infimum in (1.34) over all admissible sequences (Ai )i∈N in S according
to (1.30), we obtain η(Q) ≥ η(Q ∩ A) + η(Q ∩ Ac ), proving S ⊆ Aη as claimed.
(b): The inequality η ↾S ≤ µ is immediate from (1.30). It remains to show µ ≤ η ↾S .
We know from Prop. 1.21 that, if µ is a premeasure on S, then the S extended µ is a
∞
premeasure on R. Thus, if (Ai )i∈N
P∞is a sequence in R such that Q ⊆ i=1 Ai , Q ∈ S,
then, by Th. 1.22(f), µ(Q) ≤ i=1 µ(Ai ). Taking the infimum over all admissible
sequences according to (1.33) yields µ(Q) ≤ η(Q) and µ ≤ η↾S as needed.
(c): If µ is not a premeasure on S, S∞then there exists AP∈∞S and a sequence (Ai )i∈N of
disjoint sets in S suchPthat A = i=1 Ai and µ(A) 6= i=1 µ(Ai ). Due to Th. 1.22(d)
(applied to µ on R), ∞ i=1 µ(Ai ) ≤ µ(A). Thus,
∞
X
η(A) ≤ µ(Ai ) < µ(A),
i=1
which establishes the case.
1.3.5 Dynkin Systems, Uniqueness of Extensions
The following simple Ex. 1.39 shows that, in general, one can not expect the extension
of a premeasure µ on a semiring S to a measure on σ(S) to be unique:
1 MEASURE THEORY 32
Example 1.39. Let X be a nonempty set and R := {∅}. Then R is a semiring (and
even a ring) on X, and µ : R −→ [0, ∞], µ(∅) := 0, defines a premeasure. Then
A := σ(R) = {∅, X} and
(
0 for A = ∅,
∀ µα : A −→ [0, ∞], µα (A) :=
α∈[0,∞] α for A = X,
constitutes an extension of µ to a measure on A.

—
The problem in Ex. 1.39, as it turns out, is that the premeasure µ on the semiring S is
not σ-finite. In preparation for the proof of the uniqueness Th. 1.45, we develop some
additional technical tools that are also of measure-theoretic use beyond the application
in the present section.
Definition 1.40. Let X be a set, E ⊆ P(X).
(a) E is called ∩-stable if, and only if,
∀ A ∩ B ∈ E.
A,B∈E
(b) E is called a monotone class on X if, and only if, it satisfies the following two
conditions:
(i) If A ⊆ X and (En )n∈N is a sequence in E with En ↑ A, then A ∈ E.

(ii) If A ⊆ X and (En )n∈N is a sequence in E with En ↓ A, then A ∈ E.
(c) E is called a Dynkin system on X if, and only if, it satisfies the following three
conditions:
(i) X ∈ E.
(ii) If A ∈ E, then Ac ∈ E.
S
(iii) If (En )n∈N is a sequence of disjoint sets in E, then n∈N En ∈ E.
Remark and Definition 1.41. Arbitrary intersections of monotone classes yield again
monotone classes, arbitrary intersections of Dynkin systems yield again Dynkin systems:
Let X be a set, let I T
be a nonempty index set, and let (Mi )i∈I be a family of monotone
classes on X, M := i∈I Mi . If A ⊆ X and (En )n∈N is a sequence in M with En ↑ A
(resp. En ↓ A), then, for each i ∈ I, (En )n∈N is a sequence in Mi , i.e. A ∈ Mi for each
i ∈ I, proving M to be a monotone class on X. Now let (Di )i∈I be a family of Dynkin
1 MEASURE THEORY 33
T
systems on X, D := i∈I Di . Since X is in each Di , it is also in D. If A ∈ D, then
A ∈ Di for each i ∈ I, i.e. Ac ∈ Di for each i ∈ I, implying Ac ∈ D. If (En )n∈N is
S sets in D then, for each i ∈ I, (En )n∈N is a sequence of disjoint
a sequence of disjoint
sets in Di . Thus, n∈N En ∈ D, showing D is a Dynkin system on X. Thus, if X
is a set and E ⊆ P(X), then we can let µ(E) := µX (E) denote the intersection of all
monotone classes on X that are supersets of E, and we can let δ(E) := δX (E) denote the
intersection of all Dynkin systems on X that are supersets of E. We then know µ(E) to
be a monotone class and δ(E) to be a Dynkin system, namely the smallest monotone
class (resp. Dynkin system) on X containing E. Thus, we call µ(E) the monotone class
(and δ(E) the Dynkin system) generated by E.
Proposition 1.42. Let X be a set, E ⊆ P(X). Then E is a Dynkin system on X if,
and only if, the following conditions (i) – (iii) hold:
(i) X ∈ E.
(ii) For each A, B ∈ E, B ⊆ A implies A \ B ∈ E.
(iii) E is a monotone class.
Proof. Assume (i) – (iii) hold. We have to show E is closed under complements and
under countable unions of disjoint sets. If B ∈ E, then, choosing A := X in (ii) shows
B c = X\B ∈ E. If (Ei )i∈N is a sequence of disjoint sets in E, then E1 ∪E2 = (E1c \E2 )c ∈ E
c c
Snthen E2 ⊆ E1 and E1 \ E2 ∈ E by (ii)). Now
(if E1 , E2 are disjoint, S∞an induction over
n ∈ N shows An := i=1 Ei ∈ E for each n ∈ N. Since An ↑ A := i=1 Ei , (iii) implies
A ∈ E, showing E to be a Dynkin system.
Conversely, assume E to be a Dynkin system. We have to show that (ii) and (iii) hold.
If A, B ∈ E with B ⊆ A, then Ac , B, ∅ are disjoint sets in E, yielding
C := Ac ∪ B ∪ ∅ ∪ · · · ∈ E, A \ B = C c ∈ E,
showing E satisfies (ii). Now let A ⊆ X and let (Ei )i∈N be a sequence of sets in E.
Ṡ∞ S
If Ei ↑ A, then A = E1 ∪˙ i=2 (Ei \ Ei−1 ) ∈ E. If Ei ↓ A, then Ac = ∞ c
i=1 Ei , i.e.
Eic ↑ Ac ∈ E. Thus, A ∈ E as well and E is a monotone class, which completes the
proof.
Proposition 1.43. Let X be a set and let E ⊆ P(X) be a Dynkin system on X. Then
the following statements are equivalent:
(i) E is ∩-stable.
(ii) E is a σ-algebra.
1 MEASURE THEORY 34
Proof. As every σ-algebra is ∩-stable, it only remains to show (i) implies (ii). If A, B ∈ E
and E is ∩-stable, then A ∪ B = (A ∩ B c ) ∪(B˙ ˙
∩ Ac ) ∪(A ∩SB) ∈ E. Let (Ei )i∈N be a
n
sequence of sets in
S∞E. An induction over n ∈ N shows A n := i=1 Ei ∈ E for each n ∈ N.
Since An ↑ A := i=1 Ei and the Dynkin system E is a monotone class, A ∈ E, showing
E to be a σ-algebra.
Proposition 1.44. Let X be a set and let E ⊆ P(X) be ∩-stable. Then δ(E) = σ(E).
Proof. Since every σ-algebra is a Dynkin system, we have D := δ(E) ⊆ σ(E). So it only
remains to show that D is a σ-algebra. Moreover, according to Prop. 1.43, it suffices to
show D is ∩-stable. We will achieve this by showing
∀ D ⊆ D(D) := {A ⊆ X : A ∩ D ∈ D}. (1.35)

D∈D
While this strategy might seem strange at first, in various variants, it turns out to be
quite powerful in measure theory, and we will use it again in the proof of Th. 1.45
below. We note that, for each D ∈ D, D(D) is a Dynkin system: X ∈ D(D), since
X ∩ D = D ∈ D. If A ∈ D(D), then Ac ∈ D(D), as Ac ∩ D = D \ (A ∩ S D) ∈ D by Prop.
1.42(ii). If (Ai )i∈N is a sequence of disjoint sets in D(D), then A := ∞ i=1 Ai ∈ D(D),
since [ ˙ ∞
A∩D = (Ai ∩ D) ∈ D.
i=1
Since E is ∩-stable, we have E ⊆ D(E) for each E ∈ E. Thus, D = δ(E) ⊆ D(E) for each
E ∈ E, since D(E) is a Dynkin system. Thus, if E ∈ E and D ∈ D, then D ∈ D(E), i.e.
D ∩ E ∈ D. But this means also E ∈ D(D), showing E ⊆ D(D), which proves (1.35)
and the proposition.
Theorem 1.45. Let (X, A) be a measurable space and let µ, ν : A −→ [0, ∞] be mea-
sures. Moreover, let E ⊆ P(X) have the following properties:
(i) σ(E) = A.
(ii) µ↾E = ν↾E .
(iii) E is ∩-stable.
(iv) There exists a sequence (Ei )i∈N of sets in E such that

∞
[
∀ µ(Ei ) = ν(Ei ) < ∞ ∧ X= Ei .
i∈N
i=1
Then µ = ν.
1 MEASURE THEORY 35
Proof. For each E ∈ E with µ(E) = ν(E) < ∞, we show
A = D(E) := {A ∈ A : µ(A ∩ E) = ν(A ∩ E)}. (1.36)
First, we note that, for each E ∈ E with µ(E) = ν(E) < ∞, D(E) is a Dynkin system:
X ∈ D(E), since X ∩ E = E ∈ E. If A ∈ D(E), then Ac ∈ D(E), since
(iii)
µ(Ac ∩ E) = µ E \ (A ∩ E) = µ(E) − µ(A ∩ E) = ν(E) − ν(A ∩ E)

= ν E \ (A ∩ E) = ν(Ac ∩ E).
S
If (Ai )i∈N is a sequence of disjoint sets in D(E), then A := ∞ i=1 Ai ∈ D(E), since
[∞ ∞
X ∞
X
˙
µ(A ∩ E) = µ (Ai ∩ E) = µ(Ai ∩ E) = ν(Ai ∩ E)
i=1
i=1 i=1
[∞
˙
=ν (Ai ∩ E) = ν(A ∩ E).
i=1
Moreover, since (iii) implies E ⊆ D(E), one obtains

(iii), Prop. 1.44
A = σ(E) = δ(E) ⊆ D(E),
proving (1.36). Let (Ei )i∈N be as in (iv) and define, F0 := ∅ as well as, for each n ∈ N,
S Ṡn
Fn := ni=1 Ei . Then Fn ↑ X. For each n ∈ N, we have Fn = i=1 (Ei ∩ Fi−1 c
), implying
n
X n
X
c (1.36) c
∀ µ(A ∩ Fn ) = µ(A ∩ Fi−1 ∩Ei ) = ν(A ∩ Fi−1 ∩Ei ) = ν(A ∩ Fn )
n∈N,
i=1
| {z } i=1
| {z }
A∈A ∈A ∈A
and
∀ µ(A) = lim µ(A ∩ Fn ) = lim ν(A ∩ Fn ) = ν(A),
A∈A n→∞ n→∞
which proves the theorem.
Corollary 1.46. Let X be a set and let S be a semiring on X.
(a) If µ : S −→ [0, ∞] is a σ-finite premeasure, then there exists a unique measure

ν : σ(S) −→ [0, ∞] that extends µ.
(b) One can strengthen (a) to the following comparison result: If α, β : σ(S) −→ [0, ∞]
are measures that satisfy α↾S ≤ β↾S , where β↾S is σ-finite, then α ≤ β holds on all
of σ(S).
1 MEASURE THEORY 36
Proof. (a): Existence was shown in Th. 1.38(b), whereas uniqueness is due Th. 1.45,
which applies with E := S, since the semiring S is ∩-stable.
(b): Since β ↾S is σ-finite and α ↾S ≤ β ↾S , α ↾S must be σ-finite as well. Let α∗ , β ∗ :
P(X) −→ [0, ∞] be the outer measures induced by α↾S and β↾S , respectively (as defined
in Prop. 1.37). Then the Carathéodory Extension Th. 1.38 combined with (a) yields
α = α∗ ↾σ(S) and β = β ∗ ↾σ(S) . In consequence, α↾S ≤ β ↾S combined with (1.30) proves
α ≤ β.
Example 1.47. Let n ∈ N. From Th. 1.31, we know the Lebesgue premeasure λn to
be a premeasure on the semiring I n on Rn . Clearly, λn is also σ-finite. Thus, according
to Cor. 1.46(a), λn can be uniquely extended to a measure β n on B n = σ(I n ), called
Lebesgue-Borel measure, where B n denotes the σ-algebra of Borel sets in Rn (see Ex.
1.8(c)). According to the Carathéodory Extension Th. 1.38, one obtains β n by first
extending λn to the induced outer measure λn : P(Rn ) −→ [0, ∞] (also called the
Lebesgue outer measure) and restricting it, first to Ln := Aλn and then to B n . The
measure λn : Ln −→ [0, ∞] is called Lebesgue measure. The notation β n will be used
when it is to be emphasized that λn is considered only on B n . The sets in B n are called
β n -measurable or Borel-measurable, the sets in Ln are called λn -measurable or Lebesgue-
measurable. According to Cor. 1.52 below, Lebesgue measure is the so-called completion
of Lebesgue-Borel measure (see Def. 1.48 and Def. 1.50) and one can show that B n ( Ln ,
where B n has the same cardinality as R and Ln has the same cardinality as P(R) (see
[Els07, Sec. 2.8.3] and the last paragraph of Sec. 1.5.3 below). We will reencounter the
important measures β n and λn throughout this class. In particular, they will be seen to
satisfy Def. 1.1, except that they are not defined on all of P(Rn ).
1.3.6 Completion
Sets of measure zero play a special role in measure theory, giving rise to the following
definitions.
Definition 1.48. Let (X, A, µ) be a measure space.
(a) A set N ∈ A is called a µ-null set (or just a null set if µ is understood) if, and only
if, µ(N ) = 0.
(b) (X, A, µ) and µ are called complete if, and only if, each subset of a µ-null set is
µ-measurable, i.e. if, and only if,

∀ ∀ µ(A) = 0 ⇒ B ∈ A .
A∈A B⊆A
1 MEASURE THEORY 37
If (X, A, µ) is a measure space, then µ can be used as the content of the Carathéodory
Extension Th. 1.38, which yields the extension η↾Aη . According to Lem. 1.35(a), η↾Aη is
complete. Thus, every measure can be extended to a complete measure. This can also
be seen, using a simpler and more natural construction that does not make use of outer
measures, according to the following Th. 1.49. If µ is σ-finite, then both constructions
yield the same complete extension (the so-called completion of µ), see Th. 1.51 below.
Theorem 1.49. Let (X, A, µ) be a measure space. Define N to be the set consisting of
all subsets of µ-null sets, i.e.

N := N ∈ P(X) : ∃ N ⊆ A ∧ µ(A) = 0 . (1.37a)
A∈A
Also define
Ã := {A ∪ N : A ∈ A, N ∈ N }, (1.37b)
µ̃ : Ã −→ [0, ∞], µ̃(A ∪ N ) := µ(A) for A ∈ A, N ∈ N . (1.37c)
Then the following holds:
(a) Ã is a σ-algebra, µ̃ is well-defined by (1.37c), and (X, Ã, µ̃) is complete. Moreover,
µ̃ is the only content on Ã that is an extension of µ.
(b) Each complete measure ν that extends µ must also extend µ̃ (i.e. µ̃ is the “smallest”
complete extension of µ).
Proof. (a): We verify Ã to be a σ-algebra: ∅ = ∅ ∪ ∅ ∈ Ã; if A ∈ A, N ∈ N , then there

exists B ∈ A such that N ⊆ B, µ(B) = 0. Then we compute

(A ∪ N )c = Ac ∩ N c = Ac ∩ C c ∪ (C ∩ N c ) = |Ac {z ∩ C}c ∪ |Ac ∩ C c
{z ∩ N} ∈ Ã,
∈A ⊆C
showing (A ∪ N )c ∈ Ã. If (Ak )k∈N is a sequence in A and (Nk )k∈N is a sequence

in N , then, Sfor each k ∈ N, there S∞exists Bk ∈ A such that Nk ⊆ BS k , µ(Bk ) = 0.
Then A S ∞
:= k=1 Ak ∈ A, B := k=1 Bk ∈ A, µ(B) = 0, and N := ∞ k=1 Nk ⊆ B,
showing ∞ k=1 (A k ∪ N k ) = A ∪ N ∈ Ã, proving Ã to be a σ-algebra. Next, we show
µ̃ to be well-defined: If A1 ∪ N1 = A2 ∪ N2 with A1 , A2 ∈ A and N1 , N2 ∈ N , then
there exists B ∈ A with N2 ⊆ B, µ(B) = 0, implying A1 ⊆ A1 ∪ N1 ⊆ A2 ∪ B
and µ(A1 ) ≤ µ(A2 ) + µ(B) = µ(A2 ). Analogously, one obtains µ(A2 ) ≤ µ(A1 ), i.e.
µ(A1 ) = µ(A2 ) and µ̃ is well-defined. Choosing N := ∅ in (1.37c) proves µ̃ to be an
1 MEASURE THEORY 38
extension of µ. To verify σ-additivity of µ̃, let (Ak )k∈N be a sequence of disjoint sets in
A and (Nk )k∈N a sequence of disjoint sets in N . Then
∞
! ∞
! ∞
!!
[ [ [
µ̃ (Ak ∪ Nk ) = µ̃ Ak ∪ Nk
k=1 k=1 k=1
∞
! ∞ ∞
[ X X
=µ Ak = µ(Ak ) = µ(Ak ∪ Nk ),
k=1 k=1 k=1
i.e. µ̃ is σ-additive and, thus, a measure. To see that µ̃ is complete, let C ⊆ A ∪ N

with A ∈ A, N ∈ N , µ(A) = 0. Then there exits B ∈ A such that µ(B) = 0. Then
C ⊆ A ∪ B ∈ A with µ(A ∪ B) = 0. Thus, C ∈ N ⊆ Ã, proving µ̃ to be complete. Let
ρ be a content on Ã that is an extension of µ. Then ρ(A) = µ(A) for each A ∈ A and,
thus, ρ(N ) = 0 for each N ∈ N . Thus, if A ∈ A and N ∈ N , then, by monotonicity
and subadditivity of ρ, µ(A) = ρ(A) ≤ ρ(A ∪ N ) ≤ ρ(A) ∪ ρ(N ) = µ(A), showing
ρ(A ∪ N ) = µ(A) and ρ = µ̃ as claimed.
(b): Let (X, B, ν) a complete measure space such that A ⊆ B and ν ↾A = µ. As ν is
complete, one has N ⊆ B. As ν extends µ, one has ν(N ) = 0 for each N ∈ N . Then
Ã ⊆ B and ν↾Ã = µ̃ follows from the last part of (a).
Definition 1.50. Let (X, A, µ) be a measure space. Then the measure space (X, Ã, µ̃),
where Ã and µ̃ are defined as in (1.37), is called the completion of (X, A, µ); µ̃ is called
the completion of µ. According to Th. 1.49(a),(b), the completion of µ is the smallest
complete measure that extends µ.
Theorem 1.51. Let S be a semiring on the set X, let µ : S −→ [0, ∞] be a σ-finite
premeasure and η : P(X) −→ [0, ∞] the induced outer measure defined by (1.30). Then
η↾Aη is the completion of η↾σ(S) and, in particular, this is the unique extension of µ to
a measure on Aη .
] To this end,
Proof. As we know η ↾Aη to be complete, it remains to prove Aη ⊆ σ(S).
let B ∈ Aη . First, we assume η(B) <S∞. Then, forPeach n ∈ N, there exists a sequence
(Ank )k∈N of sets in S such that B ⊆ k=1 Ank and ∞
∞ 1
k=1 µ(Ank ) ≤ η(B) + n . Defining
∞ [
\ ∞
A := Ank ,
n=1 k=1
we obtain
1
A ∈ σ(S), B ⊆ A, . ∀ η(A) ≤ η(B) +
n n∈N
Thus, η(A) = η(B). We can now apply what we have just shown to A \ B instead of
B, proving the existence of C ∈ σ(S) such that A \ B ⊆ C and η(C) = η(A \ B) =
1 MEASURE THEORY 39
η(A) − η(B) = 0. Then B = (A \ C) ∪ (B ∩ C) ∈ σ(S), ] since A \ C ∈ σ(S) and

B ∩ C is a subset of the (η ↾σ(S) )-null set C. It remains to consider the case B ∈ Aη
with η(B) = ∞. Since
S∞ µ is assumed to be σ-finite, there exists a sequence (En )n∈N in
S such that X = n=1 En and µ(En ) < ∞ for each n ∈ N. Since, for each n ∈ N,
] we obtain B = S∞ (B ∩ En ) ∈ σ(S)
η(B ∩ En ) < ∞ implies B ∩ En ∈ σ(S), ] as needed.
n=1
According to Th. 1.49(a), η ↾Aη is the only measure on Aη that extends η ↾σ(S) . Since,
by Cor. 1.46(a), η ↾σ(S) is the only measure on σ(S) that extends µ, η ↾Aη is the only
measure on Aη that extends µ.
Corollary 1.52. Let n ∈ N. Then Lebesgue measure λn : Ln −→ [0, ∞] is the comple-

tion of Lebesgue-Borel measure β n : B n −→ [0, ∞]. Moreover, Lebesgue measure is the
unique extension of the premeasure λn : I n −→ [0, ∞] to a measure on Ln .
Proof. Since λn : I n −→ [0, ∞] is a σ-finite premeasure, everything is immediate from

Th. 1.51.
1.4 Inverse Image, Trace

We investigate the behavior of σ-algebras when forming inverse images and subsets.
Notation 1.53. Let X, Y be sets f : X −→ Y . For E ⊆ P(Y ), we introduce the

notation
f −1 (E) := {f −1 (E) : E ∈ E} ⊆ P(X). (1.38)
Definition and Remark 1.54. Let X be a set, and let E ⊆ P(X) be a collection of
subsets. If B ⊆ X, then let E|B := {A ∩ B : A ∈ E} denote the trace of E on B, also
known as the restriction of E to B. Consider the canonical inclusion map f : B −→ X,
f (a) = a. Then,
f −1 (E) = {f −1 (A) : A ∈ E} = {A ∩ B : A ∈ E} = E|B. (1.39)
Proposition 1.55. Consider sets X, Y and a map f : X −→ Y .
(a) If A is a σ-algebra on X, then B := {B ⊆ Y : f −1 (B) ∈ A} is a σ-algebra on Y .
(b) If B is a σ-algebra on Y , then f −1 (B) is a σ-algebra on X.
(c) Consider B ⊆ X. If A is a σ-algebra on X, then the trace A|B is a σ-algebra on

B.
1 MEASURE THEORY 40
Proof. (a): Since ∅ = f −1 (∅) ∈ A, we have ∅ ∈ B. If B ∈ B, then Y \ B ∈ B, since

f −1 (Y \ B) = X \ f −1 (B) ∈ A, due to A being a σ-algebra. If (Bn )n∈N is a sequence of
sets in B, then !
∞
[ [∞
−1
f Bn = f −1 (Bn ) ∈ A,
n=1 n=1
S∞
as A is a σ-algebra. Thus, n=1 Bn ∈ B, which completes the proof that B is a σ-algebra
on Y .
(b): As ∅ = f −1 (∅), ∅ ∈ f −1 (B). If B ∈ B, then X \ f −1 (B) = f −1 (Y \ B) ∈ f −1 (B)
since Y \ B ∈ B due S to B being a σ-algebra. If (Bn )n∈N is a sequence of sets in B, then,
as B is a σ-algebra, ∞ n=1 Bn ∈ B. Then
∞ ∞
!
[ [
f −1 (Bn ) = f −1 Bn ∈ f −1 (B),
n=1 n=1
completing the proof that f −1 (B) is a σ-algebra on X.

(c): Due to (1.39), (c) follows immediately from (b).
The following Th. 1.56 can be seen as a generalization of Prop. 1.55(b),(c).

Theorem 1.56. Consider sets X, Y and a map f : X −→ Y .
(a) The forming of generated σ-algebras commutes with the forming of inverse images:
If E ⊆ P(Y ), then
σX f −1 (E) = f −1 σY (E) . (1.40)
(b) Let A be a σ-algebra on X, B ⊆ X, and E ⊆ A. If A = σX (E), then A|B =

σB (E|B).
(c) Let T be a topology on X and let B denote the corresponding Borel σ-algebra on
X. If B ⊆ X, then B|B is the Borel σ-algebra on B with respect to the relative
topology TB = T |B on B, i.e. B|B = σB (TB ).
Proof. (a): Since E ⊆ σY (E), one has f −1 (E) ⊆ f −1 (σY (E)), which implies the ⊆-part
of (1.40), as f −1 σY (E) is a σ-algebra by Prop. 1.55(b). To prove the ⊇-part of (1.40),
define n o
B := B ⊆ Y : f −1 (B) ∈ σX f −1 (E) .
Then E ⊆ B, B is a σ-algebra by Prop. 1.55(a),
implying σY (E) ⊆ B. This, in turn,
−1 −1 −1
yields f σY (E) ⊆ f (B) ⊆ σX f (E) , which is precisely the ⊇-part of (1.40),
completing the proof.
1 MEASURE THEORY 41
(b): One merely has to apply (a) to the canonical inclusion map f : B −→ X, f (a) = a:
(1.39) (1.40) (1.39)
A|B = f −1 (A) = f −1 σX (E) = σB f −1 (E) = σB (E|B),
establishing the case.

(c): Since B = σX (T ), the statement is a special case of (b).
Please note the analogy between the restriction of a σ-algebra to a subset and the
forming of the relative topology on a subset.
Proposition 1.57. If (X, A, µ) is a measure space and A ∈ A, then the restriction
ν := µ↾A|A is a measure on (A, A|A).
Proof. According to Prop. 1.55(c), A|A is a σ-algebra on A, and A ∈ A implies A|A ⊆ A

such that ν is actually defined for each A′ ∈ A|A. Moreover, ν(∅) = µ(∅) = 0, and, as ν
is the restriction of µ, ν inherits the σ-additivity from µ, proving that ν is a measure.
Example 1.58. Let n ∈ N, A ⊆ Rn . Then we can restrict the σ-algebras B n and Ln
to A to obtain σ-algebras B n |A and Ln |A. According to Prop. 1.57, if A ∈ B n , then
β n ↾Bn |A is a measure and, if A ∈ Ln , then λn ↾Ln |A is a measure. By a slight abuse of
notation, we also write (A, B n , β n ) (for A ∈ B n ) and (A, Ln , λn ) (for A ∈ Ln ) to denote
the measure spaces (A, B n |A, β n ↾Bn |A ) and (A, Ln |A, λn ↾Ln |A ), respectively.
1.5 Lebesgue Measure on Rn

1.5.1 Intervals and Countable Sets
Proposition 1.59. Let n ∈ N.

Qn
(a) If a, b ∈ Rn , a ≤ b, I := [a, b], then λn (I) = β n (I) = j=1 |bj − aj |.
(b) If A ⊆ Rn is countable, then λn (A) = β n (A) = 0.
Proof. First note that the statements make sense, since all intervals and all countable
subsets of Rn are Borel-measurable.
(a): For each k ∈ N, let ak := (a1 − k1 , . . . , an − k1 ), Ik :=]ak , b] ∈ I n . Then Ik ↓ I and
one computes
Yn Y n
n (1.10) n Ex. 1.20(b) 1
λ (I) = lim λ (Ik ) = lim b j − aj + = (bj − aj ),
k→∞ k→∞
j=1
k j=1
1 MEASURE THEORY 42
proving (a).
(b): If a ∈ Rn , then λn ({a}) = λn ([a, a]) = 0 by (a). Then (b) follows due to the
countable additivity of λn .
Thus, λn and β n satisfy Def. 1.1(a)(c). That they also satisfy Def. 1.1(b) will be seen
in Sec. 1.6.3.
1.5.2 Approximation
The Lebesgue measure λn has the benign property of being regular in the sense that,
with respect to λn , each A ∈ Ln can be approximated by open sets from the outside
and by closed and even by compact sets from the inside. Moreover, measurability of
A ⊆ Rn can be characterized by means of open and closed sets:
Theorem 1.60. Let n ∈ N.
(a) For each A ∈ Ln and each ǫ ∈ R+ , there exist O ⊆ Rn open and F ⊆ Rn closed
such that
F ⊆ A ⊆ O ∧ λn (O \ A) < ǫ ∧ λn (A \ F ) < ǫ.
Thus, for each A ∈ Ln ,
λn (A) = inf{λn (O) : A ⊆ O, O open}

= sup{λn (F ) : F ⊆ A, F closed}
= sup{λn (C) : C ⊆ A, C compact}. (1.41)
(b) A set A ⊆ Rn is λn -measurable if, and only if, for each ǫ ∈ R+ , there exist O ⊆ Rn
open and F ⊆ Rn closed such that
F ⊆A⊆O ∧ λn (O \ F ) < ǫ.
Proof. (a): Fix ǫ ∈ R+ . First, assume λnS (A) < ∞. Then,

P∞ due to (1.30), there exists
∞
a sequence (Ik )k∈N in I such that A ⊆ k=1 Ik and k=1 λ (Ik ) < λn (A) + 2ǫ . For
n n
each k ∈ N, we enlarge Ik slightly to S obtain some Jk ∈ I n satisfying Ik ⊆ Jk◦ and

λn (Jk ) ≤ λn (Ik ) + ǫ · 2−k−1 . Then O := ∞ ◦
k=1 Jk is open, A ⊆ O, and
∞
X ∞
X ǫ ǫ
n n
λ (O \ A) = λ (O) − λ (A) ≤ n n
λ (Ik ) + ǫ 2−k−1 − λn (A) < + = ǫ.
k=1 k=1
2 2
1 MEASURE THEORY 43
If λn (A) = ∞, then, for each k ∈ N, set Ak := A ∩ [−k, k]n . Using what we have
already shown, for each k ∈ N, thereSexists an open Ok ⊆ Rn such that Ak ⊆ Ok and
λn (Ok \ Ak ) < ǫ · 2−k . Letting O := ∞
k=1 Ok , we obtain O open with A ⊆ O and
∞
X ∞
X ∞
X
λn (O \ A) ≤ λn (Ok \ A) ≤ λn (Ok \ Ak ) < ǫ 2−k = ǫ,
k=1 k=1 k=1
as desired. One now obtains the closed set F by taking complements: To Ac , there
exists an open set U ⊂ Rn such that Ac ⊆ U and λn (U \ Ac ) < ǫ. Then F := U c is
closed, F ⊆ A, and λn (A \ F ) = λn (A ∩ U ) = λn (U \ Ac ) < ǫ, as needed. The first two
equalities of (1.41) are a direct consequence of what we have proved above. It remains
to show the third equality of (1.41). To this end, let 0 < α < λn (A). Then there exists
a closed F ⊆ A such that λn (F ) > α. For each k ∈ N, the set Ck := F ∩ [−k, k]n is
compact and Ck ↑ F . Thus limk→∞ λn (Ck ) = λn (F ) > α, i.e. λn (Ck ) > α must hold for
almost all of the Ck .
(b): First, assume A ∈ Ln . Given ǫ > 0, choose O and F as in (a), except with ǫ
replaced by ǫ/2. Then
ǫ ǫ
λn (O \ F ) = λn (O \ A) + λn (A \ F ) < + = ǫ
2 2
proves the first implication. For the converse, given A ⊆ Rn , for each k ∈ N, choose
n 1
a closed
S∞Fk and ann open OT k such that Fk ⊆ A ⊆ Ok and λ (Ok \ Fk ) < k . Then
∞ n n
B := k=1 Fk ∈ B , C := k=1 Ok ∈ B , B ⊆ A ⊆ C, and λ (C \ B) = 0. Thus,
A = B ∪ (A \ B) is the union of the Borel set B and the set A \ B, which is a subset of
the β n -null set C \ B. As λn is the completion of β n , A ∈ Ln .
1.5.3 Cantor Set
According to Prop. 1.59(b), λn (A) = 0 for each countable A ⊆ Rn . For n > 1, Prop.
1.59(a) immediately provides examples of uncountable sets A ⊆ Rn with λn (A) = 0.
Finding uncountable subsets of R that are λ1 -null sets is not as simple. The Cantor set
C is an example. The Cantor set occurs frequently in the literature due to its many
interesting (e.g. topological) properties. The Cantor set C is what is left of the unit
interval [0, 1] after removing, in the initial step, the open middle third ] 31 , 32 [ and, then,
in each successive step, the open middle third of each remaining interval (after the first
step, one has left [0, 31 ]∪[ 23 , 1], after the second step, one has left [0, 91 ]∪[ 92 , 39 ]∪[ 96 , 97 ]∪[ 89 , 99 ],
etc.). We now give the precise definition:
Definition and Remark 1.61. Inductively, we define two sequences (In )n∈N0 and
(Kn )n∈N0 of subsets of [0, 1] such that, for each n ∈ N0 , the following statements hold
true:
1 MEASURE THEORY 44
(i) In consists of 2n disjoint open intervals In,1 , . . . , In,2n .
(ii) Kn consists of 2n+1 disjoint compact intervals Kn,1 , . . . , Kn,2n+1 , where

−n−1
∀ n+1 Kn,i = [αn,i , βn,i ], αn,i , βn,i ∈ [0, 1], βn,i = αn,i + 3 .
i∈{1,...,2 }
(iii) λ1 (I) = λ1 (K) = 3−n−1 for each I ∈ In and each K ∈ Kn .

S
(iv) [0, 1] is the disjoint union of all elements of Kn ∪ nm=0 Im , i.e.
[
˙ 2
n+1
[
˙ n [
˙ 2
m
[0, 1] = Kn,i ∪˙ Im,i .

i=1 m=0 i=1
(v) If n > 0, then,

∀ Kn−1,i = Kn,2i−1 ∪˙ In,i ∪˙ Kn,2i .
i∈{1,...,2n }
Initially, we set I0,1 :=] 13 , 23 [, K0,1 := [0, 31 ], K0,2 := [ 32 , 1], clearly satisfying the above
conditions for n = 0. Now let n ∈ N0 and assume I0 , . . . , In as well as K0 , . . . , Kn to be
already defined such that (i) – (v) hold. Define, for each i ∈ {1, . . . , 2n+1 },
In+1,i :=]αn,i + 3−n−2 , αn,i + 2 · 3−n−2 [,

Kn+1,2i−1 := [αn,i , αn,i + 3−n−2 ], Kn+1,2i := [αn,i + 2 · 3−n−2 , αn,i + 3−n−1 ].
Then (ii) and (iii) for n + 1 are immediately clear as well as (v) for n + 1. Together
with (iv) for n, this implies (iv) for n + 1. Finally, (v) for n + 1 together with (ii) for n
implies (i) for n + 1, completing the inductive definition of (In )n∈N0 and (Kn )n∈N0 . We
are now in a position to define the Cantor set as
∞ 2[
\
n+1 ∞
\ [ [ m [ [ m
(iv) ˙ n ˙ 2 ˙ ∞ ˙ 2
C := Kn,i = [0, 1] \ Im,i = [0, 1] \ Im,i . (1.42)
m=0 i=1 m=0 i=1
n=0 i=1 n=0
Proposition 1.62. Let C ⊆ [0, 1] be the Cantor set as defined in (1.42). Then the
following holds:
(a) C is compact.
(b) C does not contain any nontrivial intervals, i.e. no intervals of positive length.
(c) λ1 (C) = 0.
1 MEASURE THEORY 45
Proof. (a): As the intersection of compact subsets of R, C is compact.

S n+1
(b): Using the notation of Def. and Rem. 1.61, define, for each n ∈ N, Kn := 2i=1 Kn,i .
Let I ⊆ R be a nontrivial interval. Then α := λ1 (I) > 0. If n ∈ N is such that
3−n−1 < α, then I 6⊆ Kn (since Kn is the disjoint union of intervals of length 3−n−1 ).
Since C ⊆ Kn , I 6⊆ C.
(c): Due to (1.42), we have
∞ X
2 m ∞
X X 1 1
1
λ (C) = 1 − 1
λ (Im,i ) = 1 − 2m 3−m−1 = 1 − 2 = 0,
m=0 i=1 m=0
3 1− 3
proving (c).
It is not difficult to see directly that all the endpoints αn,i and βn,i of the Kn,i are
elements of C, showing C must be infinite. However, there are only countably many
αn,i and βn,i , and, thus, to see that C is uncountable (Th. 1.64(b) below), we first have
to learn a bit more about the elements of C.
Lemma 1.63. Using the notation of Def. and Rem. 1.61, the left endpoints αn,i of Kn,i ,
n ∈ N0 , i ∈ {1, . . . , 2n+1 }, are precisely the numbers x ∈ R that have a finite triadic
expansion, where all digits are either 0 or 2: Let n ∈ N0 , x ∈ R. Then
n+1
!
X
∃ n+1 x = αn,i ⇔ ∃ x= dk · 3−k .
i∈{1,...,2 } d1 ,...,dn+1 ∈{0,2}
k=1
Similarly, the right endpoints βn,i of Kn,i , n ∈ N0 , i ∈ {1, . . . , 2n+1 }, are precisely the
numbers x ∈ R that have a periodic triadic expansion, where the period is 2 and all
digits are either 0 or 2: Let n ∈ N0 , x ∈ R. Then
n+1 ∞
!
X X
∃ n+1 x = βn,i ⇔ ∃ x= dk · 3−k + 2 · 3−k .
i∈{1,...,2 } d1 ,...,dn+1 ∈{0,2}
k=1 k=n+2
P
Proof. Since βn,i = αn,i + 3−n−1 and ∞ k=n+2 2 · 3
−k
= 2 · 3−n−2 · 32 = 3−n−1 , it suffices
to prove the statement for the αn,i . The statement for the αn,i is proved via induction
on n ∈ N0 : For n = 0, x = α0,1 if, and only if, x = 0 = 0 · 3−1 ; x = α0,2 if, and only if,
x = 32 = 2 · 3−1 . Thus, the statement holds for n = 0. For the induction step, assume
the statement to hold for some fixed n ∈ N0 . Then x = αn+1,2i−1 i ∈ {1, . . . , 2n+1 }, is
P, n+1
equivalent to x = αn,i and, by induction, this is equivalent to x = k=1 dk ·3−k +0·3−(n+2)
, 2n+1 }, is equivalent to
with d1 , . . . , dn+1 ∈ {0, 2}. Similarly, x = αn+1,2i , i ∈ {1, . . .P
x = αn,i + 2 · 3−n−2 and, by induction, this is equivalent to x = n+1 k=1 dk · 3
−k
+ 2 · 3−(n+2)
with d1 , . . . , dn+1 ∈ {0, 2}, completing the induction and the proof of the lemma.
1 MEASURE THEORY 46
Theorem 1.64. Let C be the Cantor set defined in Def. and Rem. 1.61.
(a) C consists of all x ∈ [0, 1] that have a triadic expansion such that all digits are
either 0 or 2.
(b) C has the same cardinality as R; in particular, C is uncountable.
Proof. (a): Let x ∈ [0, 1]. According to the definition of C in (1.42), we have to show
n+1
2[
! ∞
!
X
−k
∀ x∈ Kn,i ⇔ ∃ x= dk · 3 .
n∈N0 (dk )k∈N in {0,2}
i=1 k=1
P∞−k
“⇐”: Suppose x = k=1 dk · 3 with dk ∈ {0, 2} for each k ∈ N. P Fix n ∈ N0 .
According to Lem. 1.63,Pthere exists i ∈ {1, . . . , 2n+1 } such that αn,i = n+1 −k
k=1 dk · 3 .
∞
Then αn,i ≤ x ≤ αn,i + k=n+2 2 · 3−k = βn,i , showing x ∈ Kn,i .
S n+1
“⇒”: Suppose x ∈ 2i=1 Kn,i for each n ∈ N0 . If x is a right endpoint βn,i , then x has
a triadic expansion of the required form by Lem. 1.63. If x is not a right endpoint βn,i ,
then, for each n ∈ N0 , there exists i ∈ {1, . . . , 2n+1 } such that αn,i ≤ x < αn,i + 3−n−1 .
Thus, x − αn,i < 3−n−1 , i.e. the coefficients of 3−1 , . . . , 3−(n+1) in thePtriadic expansions
of αn,i and x must be identical. Then Lem. 1.63 yields that x = ∞ k=1 dk · 3
−k
with
dk ∈ {0, 2} for each k ∈ N.
P
(b): Consider the map φ : {0, 2}N −→ C, φ((dk )k∈N ) := ∞ −k
k=1 dk · 3 . According to
(a), φ is well-defined and surjective. It is also injective by [Phi16a, Th. 7.99], proving
#{0, 2}N = #C. Thus
[Phi16a, Th. F.2]
#C = #{0, 2}N = #{0, 1}N = #R,
completing the proof of (b).
As mentioned at the beginning of this section, for n > 1, Prop. 1.59(a) provides examples
of sets A ⊆ Rn with #A = #R and λn (A) = 0. We have now also seen that the Cantor
set is a set A ⊆ R with #A = #R and λ1 (A) = 0. Since each λn is complete, this
implies #Ln = #P(R) for each n ∈ N. As #B n = #R according to [Els07, Sec. 2.8.3],
this also shows B n ( Ln .
1.6 Measurable Maps

1.6.1 Definition, Composition
Measurable maps are for measure theory what continuous maps are for topology: Recall
that a map f : X −→ Y between topological spaces (X, S) and (Y, T ) is continuous if,
1 MEASURE THEORY 47
and only if, f −1 (B) ∈ S for each B ∈ T . If one replaces each topology with a σ-algebra,
then one obtains the concept of a measurable map:
Definition 1.65. Let (X, A) and (Y, B) be measurable spaces, f : X −→ Y .
(a) f is called A-B-measurable (or often merely measurable) if, and only if, f −1 (B) ∈ A
for each B ∈ B.
(b) If S and T are topologies on X and Y , respectively, then f is called Borel measurable
if, and only if, it is σ(S)-σ(T )-measurable.
According to [Phi16b, Th. 2.7(iii)], to check if a map f : X −→ Y between topological

spaces (X, S) and (Y, T ) is continuous, one only needs to verify if all preimages of sets
in a subbase of T are open in X. The following Prop. 1.66 is the analogous result for
measurable maps:
Proposition 1.66. Let (X, A) and (Y, B) be measurable spaces. If E ⊆ P(Y ) is a

generator of B (i.e. σY (E) = B), then a map f : X −→ Y is A-B-measurable if, and
only if,
f −1 (B) ∈ A for each B ∈ E. (1.43)
Proof. Since E ⊆ B, A-B-measurability implies (1.43). To prove the converse, note that
f −1 (E) ⊆ A implies
Th. 1.56(a)
f −1 (B) = f −1 σY (E) = σX f −1 (E) ⊆ A,
completing the proof that f is A-B-measurable.
Example 1.67. (a) Constant maps are always measurable. More precisely, if (X, A)
and (Y, B) are measurable spaces, f : X −→ Y , f ≡ c, c ∈ Y , then, for each
B ∈ B, there are precisely two possibilities: c ∈ B, implying f −1 (B) = X ∈ A;
c∈/ B, implying f −1 (B) = ∅ ∈ A. Thus, f is A-B-measurable.
(b) Continuous maps are always Borel measurable: Let (X, S) and (Y, T ) be topological
spaces with corresponding Borel σ-algebras σ(S) and σ(T ). If f : X −→ Y is
continuous, then f −1 (U ) ∈ S ⊆ σ(S) for each U ∈ T and Prop. 1.66 implies f is
σ(S)-σ(T ) measurable. In particular, if M ⊆ Rn and f : M −→ Rm is continuous
(n, m ∈ N), then f is Borel measurable, i.e. B n -B m -measurable (cf. Ex. 1.58 and
Th. 1.56(c)).
1 MEASURE THEORY 48
(c) Let X be a set and (Y, B) a measurable space, f : X −→ Y . ThenTA := f −1 (B))

is the smallest σ-algebra on X that makes f measurable (i.e. A = {C ∈ P(X) :
C σ-algebra on X and f C-B-measurable}).
Proposition 1.68. The composition of measurable maps is measurable – more precisely,

if (X, A), (Y, B), and (Z, C) are measurable spaces, f : X −→ Y is A-B-measurable,
and g : Y −→ Z is B-C-measurable, then g ◦ f is A-C-measurable.

Proof. For each C ∈ C, we have A := (g ◦ f )−1 (C) = f −1 g −1 (C) . Then g −1 (C) ∈ B,
since g is B-C-measurable. In consequence, A ∈ A, since f is A-B-measurable, proving
the A-C measurability of g ◦ f .
1.6.2 Pushforward Measure
Theorem 1.69. Let (X, A, µ) be a measure space, let (Y, B) be a measurable space, and
let f : X −→ Y be A-B-measurable.
(a) The function

µf : B −→ [0, ∞], µf (B) := µ f −1 (B) , (1.44)
defines a measure on B, called a pushforward measure – the measure µ is pushed
forward from A to B by f . Alternatively to µf , one also finds the notation f (µ) :=
µf .
(b) The forming of push forward measures commutes with the composition of maps: If
(Z, C) is another measurable space, where g : Y −→ Z is B-C-measurable, then
µg◦f = (µf )g or (g ◦ f )(µ) = g(f (µ)). (1.45)
Proof. (a): One has µf (∅) = µ(∅) = 0 and, if (Bn )n∈N is a sequence of disjoint sets in
B, then (f −1 (Bn ))n∈N is a sequence of disjoint sets in A, implying
∞
! ∞
!! ∞
! ∞
[ [ [ X
−1 −1
µf Bn = µ f Bn =µ f (Bn ) = µ f −1 (Bn )
n=1 n=1 n=1 n=1
∞
X
= µf (Bn ),
n=1
verifying σ-additivity of µf and completing the proof of (a).

(b): First note that the hypotheses imply g ◦ f to be A-C measurable, such that µg◦f
is well-defined by (a). Since (1.45) claims the equality of the two maps µg◦f and (µf )g ,
1 MEASURE THEORY 49
we have to verify µg◦f (C) = (µf )g (C) for each C ∈ C. To this end, for each C ∈ C, one
calculates

µg◦f (C) = µ (g ◦ f )−1 (C) = µ f −1 g −1 (C) = µf g −1 (C) = (µf )g (C),
thereby establishing the case.
Proposition 1.70. Let (X, A, µ) and (Y, B, ν) be measure spaces with completions
(X, Ã, µ̃) and (Y, B̃, ν̃). Moreover, let f : X −→ Y be A-B-measurable.
(a) If µ(f −1 (C)) = 0 for each ν-null set C ∈ B, then f is Ã-B̃-measurable.
(b) If ν = f (µ), then ν̃ = f (µ̃).
Proof. (a): Let B̃ ∈ B̃. Then there exist B, C ∈ B and N ⊆ C such that ν(C) = 0 and
B̃ = B ∪ N . Then
Ã := f −1 (B̃) = f −1 (B) ∪ f −1 (N ),
where f −1 (B) ∈ A and f −1 (N ) ⊆ f −1 (C) with µ(f −1 (C)) = 0, showing Ã ∈ Ã, i.e. f is
Ã-B̃-measurable.
(b): If ν = f (µ), and C ∈ B is a ν-null set, then µ(f −1 (C)) = ν(C) = 0. Thus, (a)
applies such that f is Ã-B̃-measurable and f (µ̃) is well-defined. If B̃, B, C, N are as in
the proof of (a), then

f (µ̃) (B̃) = µ̃ f −1 (B) ∪ f −1 (N ) = µ f −1 (B) = ν(B) = ν̃(B̃),
1.6.3 Invariance of Lebesgue Measure under Euclidean Isometries
In the present section, we will show that the measures β n and λn satisfy Def. 1.1(b), i.e.
they are translation invariant. Indeed, in Th. 1.73 below, we will obtain the change of
β n and λn under arbitrary bijective affine maps, which will include the invariance of β n
and λn under Euclidean isometries, in particular translations, as a special case (also see
the paragraph before the statement of Th. 1.73 for a brief review of the relation between
affine maps, Euclidean isometries, and translations). For A ∈ P(Rn ), x ∈ Rn , n ∈ N,
we recall the notation
A + x = {a + x : a ∈ A}.
Definition 1.71. Let n ∈ N.
1 MEASURE THEORY 50
(a) If a ∈ Rn , then the affine map

Ta : Rn −→ Rn , Ta (x) := x + a,
is called a translation, namely, the translation by a.
(b) Let (Rn , A, µ) be a measure. Then µ is called translation invariant if, and only if,
for each a ∈ Rn , the translation Ta is A-A-measurable and Ta (µ) = µ, i.e. if, and
only if,
−1

∀n ∀ µ(A + a) = µ T−a (A) = T−a (µ) (A) = µ(A). (1.46)
a∈R A∈A
(a) β n (resp. λn ) is translation invariant and, moreover, it is the only translation in-
variant measure µ on B n (resp. Ln ) satisfying µ([0, 1]n ) = 1.
(b) If µ is a translation invariant measure on B n (resp. Ln ) such that µ([0, 1]n ) = α <
∞, then µ = αβ n (resp. µ = αλn ).
Proof. (a): Let a ∈ Rn . Since the translation Ta is continuous, it is B n -B n -measurable.

Furthermore, if c, d ∈ Rn with c ≤ d, then ]c, d] + a =]c + a, d + a] and
n
Y n
Y
β n (]c, d] + a) = (dj + aj − cj − aj ) = (dj − cj ) = β n (]c, d]).
j=1 j=1
Thus, the σ-finite measures β n and T−a (β n ) agree on the semiring I n . By Cor. 1.46(a),
they must also agree on B n , proving the translation invariance of β n . Then, according
to Prop. 1.70(a), Ta is Ln -Ln -measurable. Now apply Prop. 1.70(b) with µ := β n and
ν := T−a (β n ) = β n and obtain
T−a (λn ) = T−a (µ̃) = ν̃ = µ̃ = λn ,
proving the translation invariance of λn . Conversely, assume µ : B n −→ [0, ∞] to
be a translation invariant measure. In a first step, we assume µ(]0, 1]n ) = 1. Given
n n
n ) ∈ N , we can decompose ]0, 1] into n1 · · · nn translative copies of the
g := (n1 , . . . , nQ
n 1
interval Ig := i=1 ]0, ni ]: If

k1 kn n n
Kg := ,..., ∈ Q : (k1 , . . . , kn ) ∈ (N0 ) , ∀ 0 ≤ ki < ni ,
n1 nn i∈{1,...,n}
then one has the disjoint union

[
˙
]0, 1]n = (Ig + k).
k∈Kg
1 MEASURE THEORY 51
Due to the translation invariance of µ, this yields

1
1 = µ(]0, 1]n ) = n1 · · · nn · µ(Ig ) ⇒ µ(Ig ) = = β n (Ig ).
n1 · · · nn
If ∅ 6= I ∈ IQn , then there exist g := (n1 , . . . , nn ) ∈ Nn and a, b ∈ Zn with a < b, such
that
n i
Y ai b i i [˙
I= , = (Ig + k),
i=1
ni ni k∈Kg,a,b

k1 kn n n
Kg,a,b := ,..., ∈ Q : (k1 , . . . , kn ) ∈ Z , ∀ ai ≤ ki < bi .
n1 nn i∈{1,...,n}
In this case, the translation invariance of µ yields

n
Y b i − ai
µ(I) = = β n (I).
i=1
ni
Thus, the σ-finite measures µ and β n agree on IQn , i.e. they must agree on B n by Cor.
1.46(a). If µ extends to a measure on Ln , then µ = λn by Th. 1.51. It remains to
consider a translation invariant measure µ on B n (resp. on Ln ) with µ([0, 1]n ) = 1. Set
α := µ(]0, 1]n ). As µ is translation invariant, we obtain
1 = µ([0, 1]n ) ≤ µ(] − 1, 1]n ) = 2n · α ⇒ α ≥ 2−n > 0.
Thus, ν := α−1 µ is a translation invariant measure with ν(]0, 1]n ) = 1, implying ν = β n

(resp. ν = λn ). Since α−1 = α−1 µ([0, 1]n ) = ν([0, 1]n ) = β n ([0, 1]n ) = 1, it is µ = β n
(resp. µ = λn ), completing the proof of (a).
(b): If α > 0, then α−1 µ = β n (resp. α−1 µ = λn ) according to (a), proving µ = αβ n
(resp. µ = αλn ). If α = 0, then µ ]0, 1]n = 0 and the translation invariance of µ yields
!
[˙ X
µ(Rn ) = µ ]0, 1]n + a = µ ]0, 1]n = 0,
a∈Zn a∈Zn
showing µ ≡ 0 ≡ 0 · β n (resp. µ ≡ 0 ≡ 0 · λn ).
Note that Th. 1.72(b) does not hold without the condition α < ∞, as counting measure
is a translation invariant measure on both B n and Ln that is not a multiple of β n (resp.
λn ).
In generalization of the above result on the translation invariance of β n and λn , we will
now investigate these measures’ behavior under general bijective affine maps. Recall
1 MEASURE THEORY 52
from Linear Algebra (cf. [Phi19b, Sec. 1.5]) that a map f : Rn −→ Rn is called affine
if, and only if, there exists a linear map L : Rn −→ Rn and a vector a ∈ Rn such that
f (x) = L(x) + a for each x ∈ Rn . Thus, using Def. 1.71(a), f : Rn −→ Rn is affine if,
and only if, f = Ta ◦ L with a linear L and a vector a as above. Clearly, in that case, a
and L are uniquely determined by the affine f (a = f (0), L = f − a), and one defines
det f := det L. In consequence, one has the equivalences
f bijective ⇔ L bijective ⇔ det L 6= 0 ⇔ det f 6= 0.
Theorem 1.73. Let n ∈ N, f : Rn −→ Rn .
(a) If f is affine and bijective, then f is B n -B n -measurable as well as Ln -Ln -measurable

and
f (β n ) = | det f |−1 β n , f (λn ) = | det f |−1 λn . (1.47a)
Furthermore, if A ∈ B n (resp. A ∈ Ln ), then f (A) ∈ B n (resp. f (A) ∈ Ln ) and

β n f (A) = | det f | β n (A), λn f (A) = | det f | λn (A). (1.47b)
(b) If f is a Euclidean isometry (i.e. kf (x) − f (y)k2 = kx − yk2 ), then f is B n -B n -

measurable as well as Ln -Ln -measurable and
f (β n ) = β n , f (λn ) = λn . (1.48a)
Furthermore, if A ∈ B n (resp. A ∈ Ln ), then f (A) ∈ B n (resp. f (A) ∈ Ln ) and

β n f (A) = β n (A), λn f (A) = λn (A). (1.48b)
Proof. Since we know from Linear Algebra that f is a Euclidean isometry if, and only
if, f = L + a with an orthogonal linear map L : Rn −→ Rn and a ∈ Rn (cf. [Phi19b,
Cor. 10.37]), where an orthogonal linear map satisfies | det L| = 1 (cf. [Phi19b, Prop.
10.31(b)]), it suffices to prove (a).
Since the affine map f is continuous, it is B n -B n -measurable. As f is affine and bijective,
there exists a linear map L : Rn −→ Rn with det L 6= 0 and some a ∈ Rn such that
f = Ta ◦ L. The main work consists of showing
L(β n ) = | det L|−1 β n . (1.49)
Let µ : B n −→ [0, ∞] be some arbitrary translation invariant measure on B n . We claim
L(µ) to be translation invariant as well: Indeed, for each A ∈ B n and each v ∈ Rn , using
the linearity of L and the translation invariance of µ,

L(µ) (A + v) = µ L−1 (A + v) = µ L−1 (A) + L−1 (v) = µ L−1 (A) = L(µ) (A).
1 MEASURE THEORY 53
We introduce the abbreviation I := [0, 1]n and, for the rest of the proof, we make the
additional assumption that αµ := µ(I) < ∞. Then µ = αµ β n by Th. 1.72(b), and

αL,µ := L(µ) (I) = µ L−1 (I) = αµ β n L−1 (I) < ∞
(as the continuous image L−1 (I) of the compact set I is compact), implying
L(µ) = αL,µ β n .
We need to show αL,β n = | det L|−1 . Suppose L is orthogonal (i.e. | det L| = 1) and let
B := {x ∈ Rn : kxk2 ≤ 1}. Then, since L is a Euclidean isometry, L−1 (B) = B and,
thus,
αL,µ β n (B) = L(µ) (B) = µ L−1 (B) = µ(B) = αµ β n (B),
implying αL,µ = αµ , thereby proving (1.49) for orthogonal L. Next, assume L is repre-
sented by a diagonal matrix with diagonal entries d1 , . . . , dn ∈ R+ with respect to the
standard basis (e1 , . . . , en ) of Rn . Then
n
Y
−1

α L,β n
n n
= β L (I) = β [(0, . . . , 0), (d−1 −1
1 , . . . , dn )] = d−1 −1
j = | det L| ,
j=1
proving (1.49) also for this case. Now let L be a general linear map with det L 6= 0. We
obtain this general case from the above special cases, using a bit more Linear Algebra:
Suppose the matrix M ∈ M(n, R) represents L with respect to the standard basis of
Rn . According to [Phi19b, Th. 11.7], P := M M t is symmetric and positive definite
(in particular, all eigenvalues of P are in R+ by [Phi19b, Th. 11.3(a)]). Using [Phi19b,
Th. 10.41], there exists an orthogonal matrix U ∈ On (R) such that P can be written
as P = U DU t , where D is a diagonal matrix with diagonal entries d1 , . . . , dn ∈ R+ as
above. With respect to the standard basis of Rn , P , U , and D represent linear maps
LP , LU , and LD , respectively, where LU is orthogonal (cf. [Phi19b, Prop. 10.36]).
√ If√S is
the linear map represented by the diagonal matrix with diagonal entries d1 , . . . , dn ,
then S 2 = LD and K := S −1 (LU )t L is orthogonal:
P L
z}|{
−1
KK = St
(LU ) LLt LU S −1 = S −1 (LU )t LU S 2 (LU )t LU S −1 = Id .
t
| {z } | {z }
Id Id
Moreover, LU SK = LU SS −1 (LU )t L = L and, thus, using [Phi19b, Prop. 10.31(b)],

| det L| = | det LU | · det S · | det K| = 1 · det S · 1 = det S, implying
(1.45)

αL,β n = L(β n ) (I) = (LU ◦ S ◦ K)(β n ) (I) = LU S K(β n ) (I)

= LU S(β n ) (I) = LU (det S)−1 β n (I) = | det L|−1 β n (I) = | det L|−1 ,
1 MEASURE THEORY 54
completing the proof of (1.49). We now come back to our bijective affine map f =
Ta ◦ L. Since L(β n ) is translation invariant by (1.49), f (βn ) = Ta (L(β n )) = L(β n ) =
| det f |−1 β n as claimed. Then Prop. 1.70(b) yield with µ := β n and ν := f (β n ) =
| det f |−1 β n and obtain
(1.37c)
f (λn ) = f (µ̃) = ν̃ = | det f |−1 µ̃ = | det f |−1 λn ,
completing the proof of (1.47a). Finally, (1.47b) follows by applying (1.47a) to f −1 :

∀ n λn f (A) = f −1 (λn ) (A) = | det f | λn (A),
A∈L
finishing the proof of the theorem.
1.6.4 Nonmeasurable Sets
We are now in a position to show the existence of subsets M of Rn that are not λn -
measurable and, more generally, that no ideal n-dimensional volume as defined in Def.
1.1 can exist (see Th. 1.74 below). The proof hinges on the validity of the axiom of
choice AC. Without the axiom of choice the situation becomes subtle and difficult: It
has been shown that there exist models of ZF set theory (without AC), where every
subset of Rn is λn -measurable. However, these constructions assume the existence of
so-called inaccessible cardinals, and if the existence of such cardinals is consistent with
ZF remains unknown (see the comments and references at the end of [Els07, Sec. III.3]).
In preparation for Th. 1.74, let G ⊆ Rn , n ∈ N, be an additive subgroup of Rn and
recall from Linear Algebra (cf. [Phi19a, Def. 4.26]) that the factor group (or quotient
group) Rn /G consists of all cosets
G + a = {g + a : g ∈ G}, a ∈ Rn .
These are precisely the equivalence classes of the equivalence relation defined by x ∼
y :⇔ x − y ∈ G. By AC, there exists a set MG ⊆ Rn of representatives of Rn /G,
containing precisely one element from each coset G + a ∈ Rn /G.
(a) Let (Rn , A, µ) be a measure space such that µ extends β n (i.e. B n ⊆ A and µ↾Bn =
β n ). Moreover, let G := Qn ⊆ Rn . We consider G as an additive subgroup of Rn
and let M := MG be a set of representatives of Rn /G. If µ is translation invariant
with respect to G (i.e. A + g ∈ A and µ(A + g) = µ(A) hold for each A ∈ A and
each g ∈ G), then M ∈ / A and µ(A) = 0 for each A ∈ A with A ⊆ M (in particular,
choosing A := L , µ := λn , yields the existence of a set M ⊆ Rn (by use of AC)
n
that is not λn -measurable).
1 MEASURE THEORY 55
(b) There does not exist an ideal n-dimensional volume as defined in Def. 1.1.
(c) Let η n : P(Rn ) −→ [0, ∞] denote the outer measure induced by λn . Then each
A ⊆ Rn with η n (A) > 0 contains a set B that is not Lebesgue measurable (i.e.
B∈ / Ln ).
Proof. (a): Seeking a contradiction, assume M ∈ A. Define I :=]0, 1]n and

[
M0 := − g + M ∩ (g + I) .
g∈Zn
Clearly, M0 ⊆ I. Moreover, M0 is still a set of representatives of Rn /G (since Rn =

Ṡ
g∈Zn (g + I) and adding the element −g ∈ G to a coset does not change
the coset).
Moreover, the assumed translation invariance of µ yields −g + M ∩(g +I) ∈ A for each
g ∈ Zn and, thus, M0 ∈ A. Using the translation invariance of µ once again together
with the countability of G, we obtain
!
[ X X
∞ = β n (Rn ) = µ(Rn ) = µ (g + M0 ) = µ(g + M0 ) = µ(M0 ),
g∈G g∈G g∈G
implying µ(M0 ) > 0. On the other hand, since G ∩ I is infinite (and countable),
!
X X [
µ(M0 ) = µ(g + M0 ) = µ (g + M0 )
g∈G∩I g∈G∩I g∈G∩I
n

≤ µ ]0, 2] = β n ]0, 2] n
= 2n < ∞,
implying µ(M0 ) = 0, in contradiction to µ(M0 ) > 0. Now, if A ∈ A with A ⊆ M , then

one can P
repeat the above argument with M replaced by A, except that one no longer
obtains g∈G µ(M0 ) = ∞, i.e., one obtains µ(A) = 0 without any contradiction.
(b): An ideal n-dimensional volume µ would satisfy all the hypotheses of (a) with
A = P(Rn ), in contradiction to the existence of some M ∈ P(Rn ) with M ∈
/ A.
S
(c): Let G := Qn and M be as in (a). Then Rn = g∈G (g + M ) and the σ-subadditivity
of η n imply X
η n (A) ≤ η n A ∩ (g + M ) . (1.50)
g∈G
Since, for each g ∈ G, g + M is still a set of representatives of Rn /G, (a) implies
η n A ∩ (g + M ) = λn A ∩ (g + M ) = 0 if A ∩ (g + M ) ∈ Ln . Thus, if A ∩ (g + M ) ∈ Ln
for each g ∈ G, then (1.50) implies η n (A) = 0.
1 MEASURE THEORY 56
1.6.5 R-Valued Measurable Maps
Recall that, in [Phi16b, Ex. 1.52(b)], we extended the total order on R to a total order
on R = R ∪ {−∞, ∞}. Then the resulting order topology T on R also extended the
standard topology on R, where a base for T is given by the set of open intervals

I o := R ∪ ]a, b[: a, b ∈ R, a < b

∪ [−∞, a[: a ∈ R ∪ {∞} ∪ ]a, ∞] : a ∈ R ∪ {−∞} (1.51)
(also see Def. A.2(b) and (A.5) in the Appendix).
Notation 1.75. Let B denote the Borel sets on R, i.e. the Borel sets with respect to
the order topology T on R.
Lemma 1.76. For the Borel sets on R, we have the following identities:

B = B ∪ E : B ∈ B 1 , E ⊆ {−∞, ∞} , (1.52a)
B = σ({[−∞, α[: α ∈ R}) = σ({[−∞, α] : α ∈ R})
= σ({]α, ∞] : α ∈ R}) = σ({[α, ∞] : α ∈ R}), (1.52b)
B|R = B 1 . (1.52c)
Proof. (1.52a): Let A denote the right-hand side of (1.52a). Since {−∞} and {∞} are
closed sets in R, every E ⊆ {−∞, ∞} is a Borel set, implying A ⊆ B. To verify the
remaining inclusion, note σR (I o ) = B, I o ⊆ A, and A is a σ-algebra.
(1.52b): Clearly, all four generator sets are subsets of B. Let E1 := {[−∞, α[: α ∈ R},
E2 := {[−∞, α] : α ∈ R}. We first show σ(E2 ) = B: If α, β ∈ R, then ]α, β] =
[−∞, β] \ [−∞, α]. Thus, I 1 ⊆ σ(ET2 ), implying B 1 ⊆ σ(E2 ). Since also {−∞} =
T
n∈N [−∞, −n] ∈ σ(E2 ) and {∞} = S n∈N
]n, ∞] ∈ σ(E2 ), σ(E2 ) = B now follows from
(1.52a). If α ∈ R, then [−∞, α[= n∈N [−∞, α − n1 ] ∈ σ(E1 ) implies σ(E1 ) = B. Since
the elements of {]α, ∞] : α ∈ R} are precisely the complements of the elements of E2
and the elements of {[α, ∞] : α ∈ R} are precisely the complements of the elements of
E1 , the proof of (1.52b) is complete.
(1.52c): Since the topology on R is the relative topology inherited from R, (1.52c) follows
from Th. 1.56(c). Alternatively, (1.52c) is immediate from (1.52a).
Definition 1.77. Let (X, A) be a measurable space.
(a) A function f : X −→ R is called measurable if, and only if, it is A-B-measurable.
1 MEASURE THEORY 57
(b) A function f : X −→ C is called measurable if, and only if, it is A-B 2 -measurable,
where B 2 are the Borel sets on C with respect to the standard topology on C (the
notation B 2 is reasonable, since C = R2 and B 2 is precisely the set of Borel sets on
R2 ).
(c) A function f : X −→ Rn , n ∈ N, is called measurable if, and only if, it is A-B n -

measurable.
(d) A function f : R −→ R is called measurable if, and only if, it is L1 -B-measurable.
Notation 1.78. In the present context, it is useful to introduce a shorthand notation for
certain subsets of X: Let F := (fi )i∈I be a family of functions defined on X. Let P (F)
denote a sentence (i.e. a sequence of symbols) and let P (F)(x) denote the corresponding
sentence, where each occurrence of fi in P (F) was replaced by fi (x). If P (F) is such
that P (F)(x) constitutes a statement (i.e. is either true or false) for each x ∈ X, then
we define
{P (F)} := {x ∈ X : P (F)(x) holds true}. (1.53)
For example, consider f, g : X −→ R. If F = (f ) and α ∈ R, then, e.g.,
{f < α} = {x ∈ X : f (x) < α} = f −1 ([−∞, α[) (1.54a)

| {z }
P (F )
and, if F = (f, g), then, e.g.,
{f = g } = {x ∈ X : f (x) = g(x)}. (1.54b)

| {z }
P (F )
Theorem 1.79. Let (X, A) be a measurable space and f : X −→ R. Then the following
statements are equivalent:
(i) f is measurable.
(ii) {f < α} ∈ A for each α ∈ R.
(iii) {f ≤ α} ∈ A for each α ∈ R.
(iv) {f > α} ∈ A for each α ∈ R.
(v) {f ≥ α} ∈ A for each α ∈ R.
Proof. One merely has to combine Prop. 1.66 with (1.52b).
1 MEASURE THEORY 58
Notation 1.80. Let X be a set and let (fi )i∈I be a family of functions fi : X −→ R.
Then define

inf fi : X −→ R, inf fi (x) := inf{fi (x) : i ∈ I}, (1.55a)
i∈I i∈I

sup fi : X −→ R, sup fi (x) := sup{fi (x) : i ∈ I}. (1.55b)
i∈I i∈I
For I = N, we also define

lim fi : X −→ R, lim fi (x) := lim inf fi (x), (1.55c)
i→∞ i→∞ i→∞

lim fi : X −→ R, lim fi (x) := lim sup fi (x), (1.55d)
i→∞ i→∞ i→∞

lim fi : X −→ R, lim fi (x) := lim fi (x), (1.55e)
i→∞ i→∞ i→∞
where (1.55e) is defined, provided each limit limi→∞ fi (x) exists in R (of course, this is
the pointwise limit of the fi , which we have already studied previously). The following
notation will also turn out to be useful: If f : X −→ R, then define

fi ↑ f :⇔ f = lim fi ∧ ∀ f1 (x) ≤ f2 (x) ≤ . . . , (1.56a)
i→∞ x∈X

fi ↓ f :⇔ f = lim fi ∧ ∀ f1 (x) ≥ f2 (x) ≥ . . . . (1.56b)
i→∞ x∈X
In the case of (1.55e) (and, in particular, (1.56)), we call the convergence uniform if,
and only if,
∀+ ∃ ∀ ∀ fi (x) − f (x) < ǫ. (1.57)
ǫ∈R N ∈N i≥N x∈X
Lemma 1.81. Let X be a set and let (fk )k∈N be a sequence of functions fk : X −→ R.
Then
\ ∞ \ ∞
!
∀ inf fk ≥ α = {fk ≥ α} ∧ sup fk ≤ α = {fk ≤ α} , (1.58a)
α∈R k∈N k∈N
k=1 k=1

lim fk = sup inf fi ∧ lim fk = inf sup fi . (1.58b)
k→∞ k∈N i≥k k→∞ k∈N i≥k
If limk→∞ fk exists, then also
lim fk = lim fk = lim fk . (1.58c)

k→∞ k→∞ k→∞
1 MEASURE THEORY 59
Proof. Let α ∈ R, x ∈ X. Then the two assertions in (1.58a) are precisely the equiva-
lences
inf{fk (x) : k ∈ N} ≥ α ⇔ ∀ fk (x) ≥ α,

k∈N
sup{fk (x) : k ∈ N} ≤ α ⇔ ∀ fk (x) ≤ α.
k∈N
We prove (1.58b) next. Let x ∈ X. We have to show

n o
α := lim inf fk (x) = sup inf{fi (x) : i ≥ k} : k ∈ N =: β.
k→∞
For each k ∈ N, let rk := inf{fi (x) : i ≥ k}. Then α ≥ rk : If there exists i0 ≥ k such
that α ≥ fi0 (x), then α ≥ fi0 (x) ≥ rk , since rk is a lower bound for the fi (x), i ≥ k.
If α < fi (x) for all i ≥ k, then α < ∞ and α = rk = inf{fi (x) : i ≥ k}, since, for
α > −∞, each ]α, α + ǫ[, ǫ > 0, must contain some fi (x), i ≥ k, and, for α = −∞, each
] − ∞, −n[, n ∈ N, must contain some fi (x) (as α is a cluster point). Now α ≥ rk for
each k ∈ N implies β ≤ α, since β is the smallest upper bound of the rk . It remains to
show α ≤ β. To this end, let γ ∈ R be an arbitrary upper bound of R := {rk : k ∈ N}.
As β is an upper bound of R, it suffices to show α ≤ γ. Seeking a contradiction, assume
γ < α. For each k ∈ N, since rk ≤ γ and rk = inf{fi (x) : i ≥ k}, there exists i ≥ k such
that fi (x) < β, showing that [α, rk [ must contain fj (x) for infinitely many j ∈ N, in
contradiction to α being the smallest cluster point of (fj (x))j∈N . Thus, we have shown
α = β, as desired. One can conclude the second equation of (1.58b) from the first by
applying it to the reversed order on R. Alternatively, one can conduct an analogous
proof as for the first equation: Let x ∈ X. We have to show
n o
α := lim sup fk (x) = inf sup{fi (x) : i ≥ k} : k ∈ N =: β.
k→∞
For each k ∈ N, let rk := sup{fi (x) : i ≥ k}. Then α ≤ rk : If there exists i0 ≥ k such
that α ≤ fi0 (x), then α ≤ fi0 (x) ≤ rk , since rk is an upper bound for the fi (x), i ≥ k.
If α > fi (x) for all i ≥ k, then α > −∞ and α = rk = sup{fi (x) : i ≥ k}, since, for
α < ∞, each ]α − ǫ, α[, ǫ > 0, must contain some fi (x), i ≥ k, and, for α = ∞, each
]n, ∞[, n ∈ N, must contain some fi (x) (as α is a cluster point). Now α ≤ rk for each
k ∈ N implies β ≥ α, since β is the largest lower bound of the rk . It remains to show
α ≥ β. To this end, let γ ∈ R be an arbitrary lower bound of R = {rk : k ∈ N}. As
β is a lower bound of R, it suffices to show α ≥ γ. Seeking a contradiction, assume
γ > α. For each k ∈ N, since rk ≥ γ and rk = sup{fi (x) : i ≥ k}, there exists i ≥ k
such that fi (x) > β, showing that ]rk , α] must contain fj (x) for infinitely many j ∈ N,
in contradiction to α being the largest cluster point of (fj (x))j∈N . Thus, we have shown
α = β, as desired, finishing the proof of (1.58b). If the limit of the sequence (fk (x))k∈N ,
x ∈ X, exists, then it is the only cluster point of the sequence, proving (1.58c).
1 MEASURE THEORY 60
Theorem 1.82. Let (X, A) be a measurable space, let (fk )k∈N be a sequence of measur-
able functions, fk : X −→ R.
(a) Each of the functions inf k∈N fk , supk∈N fk , limk→∞ fk , limk→∞ fk is measurable. If
f = limk→∞ fk , f : X −→ R, then f is measurable as well.
(b) For each n ∈ N, min(f1 , . . . , fn ) and max(f1 , . . . , fn ) are measurable.
Proof. (a): If fk is measurable, then {fk ≥ α} ∈ A for each α ∈ R. Thus, inf k∈N fk
is measurable by (1.58a) and Th. 1.79(v); supk∈N fk is measurable by (1.58a) and Th.
1.79(iii). In consequence, limk→∞ fk and limk→∞ fk are measurable by (1.58b), implying
limk→∞ fk to be measurable by (1.58c).
(b) follows by applying the inf and sup parts of (a) to the sequence of measurable
functions (f1 , . . . , fn , fn , fn , . . . ).
Theorem 1.83. Let (X, A) be a measurable space and n ∈ N.
(a) A function f : X −→ Rn is measurable if, and only if, all coordinate functions
f1 , . . . , fn : X −→ R are measurable.
(b) A function f : X −→ C is measurable if, and only if, the real-valued functions Re f
and Im f are both measurable.
Proof. (a): Each projection πj : Rn −→ R, j ∈ {1, . . . , n}, is continuous and, thus,

B n -B 1 -measurable. Thus, if f is A-B n -measurable, then fj = πj ◦ f is A-B 1 -measurable.
, n}, is measurable, then, for each I :=]a, b] ∈ I n ,
Conversely, if each fj , j ∈ {1, . . .T
a, b ∈ R , a < b, one has f (I) = nj=1 fj−1 (]aj , bj ]) ∈ A. Since σ(I n ) = B n , this proves
n −1
the A-B n -measurability of f .

(b) is an immediate consequence of (a), as C = R2 with Re f = f1 , Im f = f2 .
Theorem 1.84. Let (X, A) be a measurable space.
(a) If f, g : X −→ R are measurable and α ∈ R, then f + g, αf , f g, and |f | are all

measurable, and so is each of the sets {f < g}, {f ≤ g}, {f = g}, {f 6= g}. If
g 6= 0, −∞, ∞, then f /g is measurable as well.
(b) If f, g : X −→ C are measurable and α ∈ C, then f + g, αf , f g, and |f | are all

measurable, and so are the sets {f = g}, {f 6= g}. If g 6= 0, then f /g is measurable
as well.
1 MEASURE THEORY 61
Proof. (a): Let f, g be measurable. Since Q is countable, we obtain

[
{f < g} = {f < q} ∩ {q < g} ∈ A, {f ≤ g} = {g < f }c ∈ A,
q∈Q
{f = g} = {f ≤ g} ∩ {g ≤ f } ∈ A, {f 6= g} = {f = g}c ∈ A.
If α ∈ R, then {f < α} = {−f > −α}, showing −f to be measurable by Th. 1.79.
Now assume f, g to be R-valued. Then h := (f, g) : X −→ R2 is measurable by Th.
1.83(a). Since the continuous functions s, p : R2 −→ R, s(x, y) := x + y, p(x, y) := xy
are B 2 -B 1 -measurable, f + g = s ◦ h and f g = p ◦ h are measurable. If f, g are R-valued,
then we have
A0 := {f + g = 0} = {f = −g} ∈ A,

A1 := {f + g = ∞} = {f = ∞} ∩ {g 6= −∞} ∪ {g = ∞} ∩ {f 6= −∞} ∈ A,

A2 := {f + g = −∞} = {f = −∞} ∩ {g 6= ∞} ∪ {g = −∞} ∩ {f 6= ∞} ∈ A.
Let C := X \ (A0 ∪ A1 ∪ A2 ). Then f ↾C and g↾C are R-valued and A|C-B-measurable.

As C ∈ A, they are also A-B-measurable. Thus, (f + g)↾C is A-B-measurable as well.
Now, if B ∈ B, then
(f + g)−1 (B) = (f + g)−1 (B ∩ {0, −∞, ∞}) ∪ (f + g)−1 (B ∩ {0, −∞, ∞}c ),
where the first set is in A, since A0 , A1 , A2 ∈ A, and the second set is in A, since
(f + g)↾C is A-B-measurable. This shows f + g to be measurable. Now f g follows to
be measurable in an analogous manner, except this time we let
A0 := {f g = 0} = {f = 0} ∪ {g = 0} ∈ A,

A1 := {f g = ∞} = {f = ∞} ∩ {g > 0} ∪ {g = ∞} ∩ {f > 0}

∪ {f = −∞} ∩ {g < 0} ∪ {g = −∞} ∩ {f < 0} ∈ A,

A2 := {f g = −∞} = {f = ∞} ∩ {g < 0} ∪ {g = ∞} ∩ {f < 0}

∪ {f = −∞} ∩ {g > 0} ∪ {g = −∞} ∩ {f > 0} ∈ A.
In particular, αf is measurable, as the constant function with value α is measurable.

Next, we note |f | = max(f, −f ) to be measurable. If g 6= 0, −∞, ∞, then g −1 is well-
defined and measurable (since g −1 = i ◦ g, where i : R \ {0} −→ R, i(x) := x−1 , is
continuous).
(b) now follows from (a) combined with Th. 1.83(b), where, for |f |, one also uses the
continuity of the square root function.
1 MEASURE THEORY 62
Corollary 1.85. Let (X, A) be a measurable space.
(a) f : X −→ R is measurable if, and only if, both f + and f − are measurable.
(b) f : X −→ C is measurable if, and only if, Re f + , Re f − Im f + , Im f − all are

measurable.
Proof. (a): If f is measurable, then f + = max(f, 0) and f − = max(−f, 0) are measur-

able. If f + and f − are measurable, then so is f = f + − f − .
(b) follows by combining (a) with Th. 1.83(b).
Caveat 1.86. One has to use caution with the statement “The composition of measur-
able functions is measurable.”: While it is correct if it is meant in the sense of Prop.
1.68, it is false if applied to functions f, g : R −→ R, that are measurable in the sense
of Def. 1.77(d): If f and g are L1 -B 1 -measurable, then g ◦ f is not necessarily L1 -B 1 -
measurable (see, e.g., [RF10, Sec. 3.1, p. 57] for a counterexample). Of course, g ◦ f is
L1 -B 1 -measurable, if g is B 1 -B 1 -measurable (in particular, if g is continuous).
—
In the rest of the present section, we study so-called simple or step functions (Def. 1.87).
Their importance lies in the fact that every R-valued measurable map is the pointwise
limit of a suitable sequence of simple functions (see Th. 1.89 below). We will make use
of this result, when developing the integration theory of R-valued measurable maps (see
Sections 2.1.1 and 2.1.2).
Definition 1.87. Let (X, A) be a measurable space. Then a real-valued measurable

function f : X −→ R is called an A-simple function or an A-step function (often, A is
understood and f is merely called a simple function or a step function) if, and only if,
f takes only finitely many different values, i.e. if, and only if, #f (X) < ∞. Moreover,
we introduce the following notation:
S := S(A) := {(f : X −→ R) : f is A-simple}, (1.59a)

S + := S + (A) := {f ∈ S : f ≥ 0}, (1.59b)
M := M(A) := {(f : X −→ R) : f is measurable}, (1.59c)
M+ := M+ (A) := {f ∈ M : f ≥ 0}. (1.59d)
Caveat: The functions in S and S + are R-valued, but the functions in M and M+ are
allowed to be R-valued.
—
1 MEASURE THEORY 63
We compile some basic properties of simple functions in the following proposition. In

preparation, recall the notion of the characteristic function χA of a subset A of a set X:
(
1 if x ∈ A,
χA : X −→ R, χA (x) :=
0 if x ∈
/ A.
Proposition 1.88. Let (X, A) be a measurable space.
(a) If f, g ∈ S and α ∈ R, then f + g ∈ S, αf ∈ S (i.e. S is a vector space over R),

f g ∈ S, max(f, g) ∈ S, min(f, g) ∈ S, and |f | ∈ S. Moreover, f /g ∈ S if g 6= 0.
Everything remains true if S is replaced by S + and α ∈ R+0 (of course, S
+
is no
longer a vector space (if X 6= ∅)).
(b) If f : X −→ R is a simple function, then there exist distinct numbers α1 , . . . , αn ∈

R, n ∈ N, and disjoint measurable sets A1 , . . . , An ∈ A such that
n
X
f= αi χAi . (1.60)
i=1
More precisely, if f (X) = {α1 , . . . , αn } with distinct α1 , . . . , αn ∈ R, then one

obtains the representation (1.60) with disjoint A1 , . . . , An ∈ A by setting Ai :=
f −1 ({αi }).
(c) A function f : X −→ R is a simple function if, and only if, it is a linear combina-
tion of characteristic functions of measurable subsets of X.
Proof. (a): If f, g are measurable, then we already know f + g, αf , f g, max(f, g),

min(f, g), |f |, and f /g (for g 6= 0) to be measurable. Moreover, if #f (X) = m,
#g(X) = n, with m, n ∈ N, f (X) = {α1 , . . . , αm }, g(X) = {β1 , . . . , βn }, then

#(f + g)(X) = # αi + βj : i ∈ {1, . . . , m}, j ∈ {1, . . . , n} ≤ m · n < ∞,

#(αf )(X) = # ααi : i ∈ {1, . . . , m} ≤ m < ∞,

#(f g)(X) = # αi βj : i ∈ {1, . . . , m}, j ∈ {1, . . . , n} ≤ m · n < ∞,

# max(f, g)(X) = # max(αi , βj ) : i ∈ {1, . . . , m}, j ∈ {1, . . . , n} ≤ m + n < ∞,

# min(f, g)(X) = # min(αi , βj ) : i ∈ {1, . . . , m}, j ∈ {1, . . . , n} ≤ m + n < ∞,

#|f |(X) = # |αi | : i ∈ {1, . . . , m} ≤ m < ∞.
For β1 , . . . , βn 6= 0, also

#(f /g)(X) = # αi /βj : i ∈ {1, . . . , m}, j ∈ {1, . . . , n} ≤ m · n < ∞.
1 MEASURE THEORY 64
Clearly, if f, g ≥ 0, then f + g ≥ 0, αf ≥ 0 for α ≥ 0, f g ≥ 0, max(f, g) ≥ 0,

min(f, g) ≥ 0, |f | ≥ 0 (holds even without the hypothesis f ≥ 0) and f /g ≥ 0 for g 6= 0.
(b): If f is a simple function, then it takes finitely many distinct values α1 , . . . , αn ∈ R,
n ∈ N. Thus, if we let Ai := f −1 ({αi }) for i ∈ {1, . . . , n}, then each Ai is measurable
(as f is measurable) and the validity of (1.60) is clear.
(c) is an immediate consequence of (a) and (b), since χA ∈ S for A ∈ A.
Theorem 1.89. Let (X, A) be a measurable space and f : X −→ R.
(a) f ∈ M+ if, and only if, there exists a sequence (φk )k∈N in S + with φk ↑ f .
(b) f ∈ M with f bounded from below by α ∈ R (and bounded from above by β ∈ R) if,
and only if, there exists a sequence (φk )k∈N in S with all φk ≥ α (and all φk ≤ β)
and φk ↑ f .
(c) f ∈ M if, and only if, there exists a sequence (φk )k∈N in S with f = limk→∞ φk .
Additionally, in each case, if f is also bounded, then one can obtain the φk to converge
uniformly to f .
Proof. Note that (a) is a special case of (b) (to obtain (a) from (b), choose α := 0 and,
in the bounded case, also choose β ≥ 0 to be some upper bound of f in (b)). We, thus,
proceed to prove (b): If (φk )k∈N is a sequence in S that converges pointwise to f , then,
as the simple functions φk are measurable, f is measurable by Th. 1.82(a). Moreover, if,
for x ∈ X, α ≤ φk (x) (resp. φk (x) ≤ β) for each k ∈ N, then, α ≤ f (x) (resp. f (x) ≤ β)
as well. For the converse, given f , we have to construct suitable simple functions φk .
To this end, we define the A-measurable sets
(
{α + 2jk ≤ f < α + j+1
2k
} for 0 ≤ j ≤ k · 2k − 1,
∀ ∀ Ak,j :=
k∈N j∈{0,1,...,k·2k } {f ≥ α + k} for j = k · 2k
(as f is assumed to be measurable, the Ak,j are A-measurable by Th. 1.79). Clearly, for
each fixed k ∈ N, the Ak,j form a decomposition of X:
[
˙ k·2
k
∀ X= Ak,j . (1.61)
k∈N j=0
For each k ∈ N, we define the simple function

k·2
X
k
j
φk : X −→ R, φk := α+ k χAk,j .
j=0
2
1 MEASURE THEORY 65
Since X is the disjoint union of the Ak,j by (1.61), this immediately implies
∀ α ≤ φ k ≤ α + k · 2k .
k∈N
We next verify that the sequence (φk )k∈N is increasing: Note that, for each k ∈ N, we
have the disjoint unions
Ak,j = Ak+1,2j ∪˙ Ak+1,2j+1 for 0 ≤ j ≤ k · 2k − 1,
[
˙ (k+1)·2
k+1
Ak,k·2k = Ak+1,l .
l=k·2k+1
k
Since 2jk ≤ 2k+1
l
for l ∈ {2j, 2j + 1}, and k·2
2k
l
≤ 2k+1 for l ∈ {k · 2k+1 , . . . , (k + 1) · 2k+1 },
we have φk (x) ≤ φk+1 (x) for each x ∈ X. We now fix x ∈ X and show limk→∞ φk (x) =
f (x): For each k ∈ N, there exists a unique j = j(k, x) such that x ∈ Ak,j . Then
φk (x) = α + 2jk ≤ f (x), showing f (x) to be an upper bound for the φk (x). If f (x) = ∞,
then, for each k ∈ N, φk (x) = α + k → ∞. On the other hand, if f (x) < ∞, then, given
ǫ > 0, we can choose k0 ∈ N such that 2k10 < ǫ and f (x) < α + k0 . If k ≥ k0 , then
f (x) − φk (x) < 2−k ≤ 2−k0 < ǫ,
proving limk→∞ φk (x) = f (x). Under the additional hypothesis f ≤ β ∈ R, one can
choose α + k0 ≥ β, independently of x, showing uniform convergence. Moreover, in this
case, the above observation φk (x) ≤ f (x) for each k ∈ N and each x ∈ X also yields
φk (x) ≤ β for each k ∈ N, x ∈ X.
(c): As before, if f = limk→∞ φk with (φk )k∈N in S, then f ∈ M by Th. 1.82(a). For
the converse, we write f ∈ M as f = f + − f − and, by (a), choose (φk )k∈N in S + with
φk ↑ f + and (ψk )k∈N in S + with ψk ↑ f − (with uniform convergence in each case for f
bounded). Then f = limk→∞ (φk − ψk ) (with uniform convergence for f bounded).
1.6.6 Products, Projections, and Borel Sets
In [Phi16b, Ex. 1.53(a)], we constructed the product topology on a Cartesian product

of topological spaces as the smallest topology that makes all projections continuous.
Analogously, we are now going to construct the product σ-algebra on a Cartesian product
of measurable spaces as the smallest σ-algebra that makes all projections measurable
(cf. Th. 1.93(b) below). As in topology, the construction is a special case of so-called
initial constructions (cf. Sec. C in the Appendix).
Definition 1.90. Let I be a nonempty index set and, for each Qi ∈ I, let (Xi , Ai ) be
a measurable space. We consider the Cartesian product X := i∈I Xi and, for each
j ∈ I, we recall the projection

πj : X −→ Xj , πj (xi )i∈I := xj .
1 MEASURE THEORY 66
Consider the set

( )
Y
Ep := Ai : ∀ Ai ∈ Ai ∧ #{i ∈ I : Ai 6= Xi } ≤ 1
i∈I
i∈I
n o
= πi−1 (Ai ) : i ∈ I, Ai ∈ Ai .
N
Then Ap := i∈I Ai := σ(Ep ) (the σ-algebra on X generated by Ep ), is called the
product σ-algebra on X.
Proposition 1.91. In the situation of Def. 1.90 above, for each i ∈ I, let Ei be a
generator of Ai .
(a) The set

( )
Y
Ep∗ := Ei : ∀ Ei ∈ Ei ∪ {Xi } ∧ #{i ∈ I : Ei 6= Xi } ≤ 1
i∈I
i∈I
n o
= πi−1 (Ei ) : i ∈ I, Ei ∈ Ei ∪ {X}
is a generator of the product σ-algebra on X, i.e. Ap = σ(Ep∗ ).
(b) If I is finite and, for each i ∈ I, there exists a sequence (Ei,k )k∈N in Ei such that
∞
[
Xi = Ei,k , (1.62)
k=1
then the set

( ) ( )
Y \
Fp := Ei : ∀ E i ∈ Ei = πi−1 (Ei ) : ∀ Ei ∈ Ei
i∈I i∈I
i∈I i∈I
is a generator of the product σ-algebra on X, i.e. Ap = σ(Fp ).
Proof. (a): As Ep∗ ⊆ Ep , we have σ(Ep∗ ) ⊆ σ(Ep ). For the remaining inclusion, we note
that, by the definition
of Ep∗ , one
has πi−1 (Ei ) ⊆ Ep∗ for each i ∈ I. Moreover, by Th.
1.56(a), σ πi−1 (Ei ) = πi−1 σ(Ei ) = πi−1 (Ai ), implying σ(Ep ) ⊆ σ(Ep∗ ).
(b): From (a), we know Ap = σ(Ep∗ ). If i ∈ I and Ei ∈ Ei , then πi−1 (Ei ) ∈ Ep∗ by the
T
definition of Ep∗ . Thus, if Ei ∈ Ei for each i ∈ I, then i∈I πi−1 (Ei ) ∈ σ(Ep∗ ), since I is
finite. This already yields σ(Fp ) ⊆ σ(Ep∗ ) (for this inclusion, we actually did not use
1 MEASURE THEORY 67
(1.62)). For the remaining inclusion, we use the finiteness of I together with (1.62) to
write every element of Ep∗ as a countable union of elements from Fp :
 
[ Y
∀ ∀ πi−1 (Ei ) = Ei × Eα,kα  ∈ σ(Fp ).
i∈I Ei ∈Ei ∪{Xi }
(kα )α∈I\{i} ∈NI\{i} α∈I\{i}
Thus, σ(Ep∗ ) ⊆ σ(Fp ), completing the proof of (b).
Example 1.92. Let p, q ∈ N. For the Borel sets on Rp and Rq , we obtain B p+q = B p ⊗B q
(also see Th. 1.94(c) below): We know from Ex. 1.8(c), that the Borel sets are generated
by the compact intervals: B p = σ(Icp ), B q = σ(Icq ), B p+q = σ(Icp+q ). Thus, we can apply
Prop. 1.91(b) with E1 = Icp , E2 = Icq , and Fp = Icp+q to obtain
B p+q = σ(Icp+q ) = σ(Fp ) = B p ⊗ B q .
Theorem 1.93. Let I be a nonempty index set and, for eachQi ∈ I, let (Xi , Ai ) be a
measurable space. We consider the Cartesian product X := i∈I Xi with the product
σ-algebra Ap = σ(Ep ) according to Def. 1.90.
(a) Each projection πi : X −→ Xi , i ∈ I, is Ap -Ai -measurable.
(b) Ap is the smallest σ-algebra A on X such that all projections πi , i ∈ I, are A-Ai -
measurable.
(c) If (Y, B) is a measurable space and f : Y −→ X, then the following statements are
equivalent:
(i) f is B-Ap -measurable.

(ii) For each i ∈ I, the coordinate function fi = πi ◦ f is B-Ai -measurable.
Proof. (a): If i ∈ I and A ∈ Ai , then πi−1 (A) ∈ Ep ⊆ Ap , showing πi to be Ap -Ai -

measurable.
(b) is immediate, since each σ-algebra A on X such that all projections πi , i ∈ I, are
A-Ai -measurable must contain Ep .
(c): If f is B-Ap -measurable, then each fi , i ∈ I, is B-Ai -measurable by (a) and Prop.
1.68. For the converse, assume each fi , i ∈ I, to be B-Ai -measurable. According to
Prop. 1.66, it suffices to show f −1 (πi−1 (A)) ∈ B for each i ∈ I and each A ∈ Ai . Since
f −1 (πi−1 (A)) = fi−1 (A) and fi is measurable, the proof is, thus, complete.
1 MEASURE THEORY 68
When considering the product (X, T ) of topological spaces (Xi , Ti ), i ∈ I, where T is

the corresponding product topology, then one can obtain a σ-algebra AT on X by taking
the Borel sets with respect to T . Alternatively, one can takeN the Borel σ-algebras Ai
on Xi and then form the resulting product σ-algebra Ap := i∈I Ai on X. An obvious
question is, whether the results are the same. Unfortunately, in general, they are not:
While one always has Ap ⊆ AT (see Th. 1.94(a) below), the inclusion can be strict (even
for the product of just two spaces, see, e.g., [Els07, Rem. III.5.16, Problem III.5.3]). A
sufficient condition for Ap = AT will be given in Th. 1.94(b).
Theorem 1.94. Let I be a nonempty index set and, for each i ∈ I, let (Xi , Ti ) be a
Q space. Let Ai denote the corresponding Borel σ-algebra on Xi . Moreover, let
topological
X := i∈I Xi , let T denote the
Nproduct topology on X, let AT be the resulting Borel
σ-algebra on X, and let Ap := i∈I Ai be the product σ-algebra of the Ai .
(a) One always has Ap ⊆ AT .
(b) If I is countable and each (Xi , Ti ) is a C2 space (i.e. each Ti has a countable base),
then Ap = AT .
(c) Let p, q ∈ N, X ⊆ Rp , Y ⊆ Rq . Then
B p |X ⊗ B q |Y = B p+q |(X × Y ). (1.63)
In particular, B p+q = B p ⊗ B q and B p = ⊗pk=1 B 1 .
Proof. (a): Since each projection πi , i ∈ I, is continuous, it is πi−1 (A) ∈ T for each
A ∈ Ti , implying it to be Ai -AT -measurable. Then Ap ⊆ AT follows from Th. 1.93(b).
(b): Due to (a), it remains to show AT ⊆ Ap . For each i ∈ I, let Bi be a countable base
of Ti . According to [Phi16b, Ex. 1.53(a)], a base for T is given by
( )
\
B := πj−1 (Bj ) : J ⊆ I, 0 < #J < ∞, ∀ Bj ∈ Bj .
j∈J
j∈J
Since I and each Bi are countable, so is B. Since Bi ⊆ Ai , we have B ⊆ Ap . Now every

O ∈ T is a countable union of sets from B (since B is countable), showing T ⊆ σ(B) ⊆
Ap and, thus, AT = σ(T ) ⊆ Ap , as desired.
(c): Let Tp , Tq , and T denote the norm topologies on Rp , Rq , and Rp+q , respectively.
2 INTEGRATION 69
As we know the norm topologies to be C2 , we can apply (b) to obtain

Th. 1.56(b)
B p |X ⊗ B q |Y = σ(Tp )|X ⊗ σ(Tq )|Y = σX (Tp |X) ⊗ σY (Tq |Y )
(b)
= σX ((Tp )X ) ⊗ σY ((Tq )Y ) = σX×Y ((Tp )X × (Tq )Y )
Th. 1.56(b)
= σX×Y (TX×Y ) = σX×Y (T |(X × Y )) = σ(T )|(X × Y )
= B p+q |(X × Y ),
as claimed.
Caveat 1.95. While we know from [Phi16b, Ex. 2.12(b)] that every projection is an open
map with respect to the product topology (i.e. projections map open sets to open sets),
the analogous statement is, in general, not true for product σ-algebras: For example, it
can occur that the projection of a Borel set B ⊆ [0, 1]2 is not in B 1 |[0, 1] (projections of
such Borel sets are known as Suslin sets – the construction of a Suslin set that is not a
Borel set needs some work and can be found in [Beh87, Appendix II]).
2 Integration
2.1 Integration of R-Valued Measurable Maps

We define the so-called Lebesgue integral first for nonnegative simple functions in Def.
2.1, then for nonnegative measurable functions in Def. 2.4, and then for so-called inte-
grable functions in Def. 2.11.
2.1.1 Simple Functions
The definition of the Lebesgue integral for nonnegative simple functions makes use of
representations of the integrands, where Lem. 2.2 then states that the value of the
integral does actually not depend on the representation of the integrated function.
Definition 2.1. Let (X, A, µ) be a measure space. Moreover, let f : X −→ R+
0 be a
+
simple function (i.e. f ∈ S (A)), where
N
X
f= αi χAi (2.1)
i=1
with N ∈ N; α1 , . . . , αN ≥ 0; and A1 , . . . , AN ∈ A. Then

Z Z XN
f dµ := f (x) dµ(x) := αi µ(Ai ) ∈ [0, ∞] (2.2)
X X i=1
2 INTEGRATION 70
is called the Lebesgue integral of f over X with respect to µ.
Lemma 2.2. Let (X, A, µ) be a measure space. Then the value of the integral in
(2.2) does not depend on the representation of the simple function f : If M, N ∈ N;
α1 , . . . , αN ≥ 0; β1 , . . . , βM ≥ 0; A1 , . . . , AN ∈ A; and B1 , . . . , BM ∈ A are such that
N
X M
X
f= αi χAi = βi χBi , (2.3a)
i=1 i=1
then
N
X M
X
αi µ(Ai ) = βi µ(Bi ). (2.3b)
i=1 i=1
Proof. We add the list of Bi to the list of Ai by letting AN +1 := B1 , . . . , AN +M := BM ,

and define the set of intersections
(N +M )
\
D := Mi : ∀ Mi ∈ {Ai , Aci } .
i∈{1,...,N +M }
i=1
Note that two distinct elements of D are always disjoint: Indeed, if A, B ∈ D with
A 6= B, then there exists i0 ∈ {1, . . . , N + M } such that A ⊆ Ai0 and B ⊆ Aci0 . Next,
we consider i ∈ {1, . . . , N + M } and x ∈ Ai . Then, for each j ∈ {1, . . . , N + M }, either
x ∈ Aj or x ∈ Acj , implying
(N +M )
[ \
Ai = Mj : Mj = Ai ∧ ∀ Mj ∈ {Aj , Acj } .
j∈{1,...,N +M }
j=1
Thus, if C1 , . . . , CK , K ∈ N, is an enumeration of the distinct elements of D, then we

have the disjoint union
[˙
Ai = Cj ,
j∈{1,...,K}:
Cj ⊆Ai
implying
K
X X X
f= γ i χCi , where γi = αj = βj
i=1 j∈{1,...,N }: j∈{1,...,M }:
Ci ⊆Aj Ci ⊆Bj
2 INTEGRATION 71
and
N
X N
X X K
X
αi µ(Ai ) = αi µ(Cj ) = γj µ(Cj )
i=1 i=1 j∈{1,...,K}: j=1
Cj ⊆Ai
M
X X M
X
= βi µ(Cj ) = βi µ(Bi ),
i=1 j∈{1,...,K}: i=1
Cj ⊆Bi
proving (2.3b).
Lemma 2.3. Let (X, A, µ) be a measure space.
R
(a) For each A ∈ A, one has A χA dµ = µ(A).
(b) For each f, g ∈ S + (A) and each α, β ∈ R+
0 , one has
Z Z Z
(αf + βg) dµ = α f dµ + β g dµ .
X X X
(c) For each f, g ∈ S + (A), one has

Z Z
f ≤g ⇒ f dµ ≤ g dµ .
X X
Proof. (a) is immediate from Def. 2.1.

P PM
(b): If f = N i=1 αi χAi and g = i=1 βi χBi with N, M ∈ N; α1 , . . . , αN , β1 , . . . , βM ≥ 0;
and A1 , . . . , AN , B1 , . . . , BM ∈ A, then
N
X M
X
αf + βg = ααi χAi + ββi χBi ,
i=1 i=1
implying
Z Z N
X M
X Z
α f dµ + β g dµ = ααi µ(Ai ) + ββi µ(Bi ) = (αf + βg) dµ ,
X X i=1 i=1 X
proving (b).
(c): If f ≤ g, then g − f ∈ S + (A). Thus, (b) applies to g = f + (g − f ), yielding
Z Z Z Z
g dµ = f dµ + (g − f ) dµ ≥ f dµ ,
X X X X
as desired.
2 INTEGRATION 72
Note that, so far, we have not used the σ-additivity of the measure µ – it would have
sufficed to take µ to be a content on an algebra. However, this will change in the
following section.
2.1.2 Nonnegative Functions
As for nonnegative simple functions above, the definition of the Lebesgue integral for
nonnegative measurable functions also makes use of representations of the integrand,
where, once again, a subsequent lemma (Lem. 2.5) then states that the value of the
integral does actually not depend on the representation of the integrated function.
Definition 2.4. Let (X, A, µ) be a measure space. Moreover, let f : X −→ [0, ∞] be

measurable (i.e. f ∈ M+ (A)), where (φi )i∈N is a sequence in S + (A) such that φi ↑ f .
Then Z Z Z
f dµ := f (x) dµ(x) := lim φi dµ ∈ [0, ∞] (2.4)
X X i→∞ X
is called theRLebesgue integral

R of f over X with respect to µ (note that the limit in (2.4)
exists, since X φ dµ ≥ X ψ dµ for simple functions φ ≥ ψ due to Lem. 2.3(c)).
(a) If (ui )i∈N is an increasing sequence in S + (A) and v ∈ S + (A), then

Z Z
v ≤ lim ui ⇒ v dµ ≤ lim ui dµ . (2.5)
i→∞ X i→∞ X
(b) The value of the integral in (2.4) does not depend on the representation of the non-
negative measurable function f ∈ M+ (A): If (φi )i∈N and (ψi )i∈N both are sequences
in S + (A) with φi ↑ f and ψi ↑ f , then
Z Z
lim φi dµ = lim ψi dµ . (2.6)
i→∞ X i→∞ X
In particular, (2.2) and (2.4) are consistently defined.

R
Proof. (a): Since (ui )i∈N is increasing, limi→∞ X ui dµ exists in [0, ∞] due to Lem.
2.3(c). Fix β ∈]1, ∞[ and, for each n ∈ N, define Bn := {βun ≥ v}. The measurability
of v and un implies Bn ∈ A. Let x ∈ X. If v(x) = 0, then x ∈ Bn for each n ∈ N.
If v(x) > 0, then v(x) ≤ limi→∞ ui (x) and β > 1 yield the existence of N ∈ N such
that x ∈ Bn for each n ≥ N . Thus, Bn ↑ X (since (ui )i∈N is increasing). We now write
2 INTEGRATION 73
P
v= N +
i=1 αi χAi with αi ∈ R0 , Ai ∈ A, N ∈ N, and use µ being continuous from below
to compute
Z N
X N
X Z
v dµ = αi µ(Ai ) = lim αi µ(Ai ∩ Bn ) = lim v · χBn dµ
X n→∞ n→∞ X
i=1 i=1
Lem. 2.3(c)
Z Lem. 2.3(c)
Z
≤ lim β un · χBn dµ ≤ β lim un dµ . (2.7)
n→∞ X n→∞ X
As (2.7) holds for each β > 1, it must still hold for β = 1, proving (2.5).
(b): For each k ∈ N, we have φk ≤ f = limi→∞ ψi . Thus, by (a),
Z Z
∀ φk dµ ≤ lim ψi dµ ,
k∈N X i→∞ X
implying Z Z
lim φk dµ ≤ lim ψi dµ . (2.8)
k→∞ X i→∞ X
Interchanging the roles of φi and ψi above, yields (2.8) with the inequality reversed,
proving (2.6).
(a) For each f ∈ M+ (A), one has

Z

f dµ = 0 ⇔ µ {f > 0} = 0.
X
(b) For each f, g ∈ M+ (A) and each α, β ∈ [0, ∞], one has
Z Z Z
(αf + βg) dµ = α f dµ + β g dµ .
X X X
(c) For each f, g ∈ M+ (A), one has

Z Z
f ≤g ⇒ f dµ ≤ g dµ .
X X
(d) For each f ∈ M+ (A), one has

Z Z
+
f dµ = sup φ dµ : φ ∈ S (A), φ ≤ f .
X X
2 INTEGRATION 74
Proof. (a): Choose a sequence (φn )n∈N in S + (A) such that φn ↑ f . Set A := {f > 0}.
As f is measurable, we have A ∈ A. If µ(A) > 0, then, letting An := {f > n1 }, we have
An ↑ A and, thus, µ(An0 ) > 0 for some n0 ∈ N. In consequence,
Z Z Z
Lem. 2.5(a) 1 1
f dµ = lim φn dµ ≥ lim χAn dµ ≥ µ(An0 ) > 0.
X n→∞ X n→∞ X n n0
R R
showing ∞ · X f dµ = ∞R = X ∞ · f dµ . IfR µ(A) = 0, then µ({φn > 0}) ≤ µ(A) = 0
for each n ∈ N, implying X f dµ = limn→∞ X φn dµ = 0.
(b): Choose sequences (φi )i∈N and (ψi )i∈N in S + (A) such that φi ↑ f and ψi ↑ f . Then
(φi + ψi ) ↑ (f + g), implying
Z Z Z Z
Lem. 2.3(b)
(f + g) dµ = lim (φi + ψi ) dµ = lim φi dµ + lim ψi dµ
X i→∞ X i→∞ X i→∞ X
Z Z
= f dµ + g dµ .
X X
Similarly, if α ∈ R+ +
0 , then αφi ∈ S (A) for each i ∈ N, (αφi ) ↑ (αf ), and
Z Z Z Z
Lem. 2.3(b)
α f dµ = lim α φi dµ = α lim φi dµ = α f dµ .
X i→∞ X i→∞ X X
It remains to consider the case α = ∞. As in the proof of (a), set A := {f > 0}. Then
n · χA ↑ ∞ · χA , implying
Z (
∞ for µ(A) > 0,
∞ · f dµ = lim (n · µ(A)) =
X n→∞ 0 for µ(A) = 0.
R R R
If µ(A) > 0, then,
R X
f dµ > 0 by (a), showing ∞ · X f dµ
R = ∞ = X∞ R · f dµ . If
µ(A) = 0, then X f dµ = 0 by (a). Thus, using (A.2e), ∞ · X f dµ = 0 = X ∞ · f dµ .
(c): If f ≤ g, then g − f ∈ M+ (A). Thus, (b) applies to g = f + (g − f ), yielding
Z Z Z Z
g dµ = f dµ + (g − f ) dµ ≥ f dµ ,
X X X X
as desired.
(d): While “≤” is immediate from Def. 2.4, “≥” is due to (c).
Theorem 2.7 (Monotone Convergence). If (X, A, µ) is a measure space and (fi )i∈N is
an increasing sequence in M+ (A), then
Z Z
lim fi dµ = lim fi dµ . (2.9)
X i→∞ i→∞ X
2 INTEGRATION 75
Proof. Letting f := limi→∞ fi , we have fi ↑ f and f ∈ M+ (A) by Th. 1.82(a). Now “≥”
in (2.9) is due to Lem. 2.6(c). To prove the remaining inequality, consider φ ∈ S + (A),
φ ≤ f , and β ∈]1, ∞[. Then, for each n ∈ N, we obtain Bn := {βfn ≥ φ} ∈ A and
φn := φ · χBn ∈ S + (A). Also, clearly, Bn ↑ X and φn ↑ φ. Then Lem. 2.5(a) yields
Z Z Z
φ dµ ≤ lim φ · χBn dµ ≤ β lim fn dµ
X n→∞ X n→∞ X
R R
and X φ dµ ≤ limn→∞ X fn dµ , since β > 1 was arbitrary. Now Lem. 2.6(d) yields
“≤” in (2.9) and completes the proof.
Corollary 2.8. If (X, A, µ) is a measure space and (gi )i∈N is a sequence in M+ (A),
then Z !
X∞ X∞ Z
gi dµ = gi dµ . (2.10)
X i=1 i=1 X
Pn
Proof. Letting, for each n ∈ N, fn := i=1 gi , (2.10) is precisely (2.9).
Example 2.9. (a) Theorem 2.7 does, in general, not hold without the monotonicity
assumption of the fn : Consider (X, A, µ) := (R, B 1 , β 1 ) with fn := n1 χ[0,n] . Then
fn → 0 (even uniformly), but
Z Z
1
fn dµ = · n = 1 6→ 0 = 0 dµ .
X n X
(b) Let X := N, A := P(X), and let µ be counting measure. Then M+ (A) =

F(N, [0, ∞]) = [0, ∞]N (all functions are measurable), and we claim that
Z ∞
X
∀+ f dµ = f (n) :
f ∈M (A) X n=1
Indeed, letting gn := f (n) · χ{n} and using Cor. 2.8, we have

Z ∞ Z
X ∞
X ∞
X

f dµ = gn dµ = f (n) · µ({n}) = f (n).
X n=1 X n=1 n=1
2.1.3 Integrable Functions
We are already familiar with the notation K to denote either R or C. Similarly, it will
sometimes be useful to treat R and C in parallel, giving rise to the following notation:
2 INTEGRATION 76
Notation 2.10. We use the symbol K̂ to denote either R or C; we write (K̂, B̂) to
denote either (R, B) or (C, B 2 ).
Definition 2.11. Let (X, A, µ) be a measure space and let f : X −→ K̂ be measurable.
(a) f is called integrable (or, more precisely, µ-integrable) if, and only if,
Z Z
+
(Re f ) dµ < ∞, (Re f )− dµ < ∞,
X X
Z Z (2.11)
(Im f )+ dµ < ∞, (Im f )− dµ < ∞.
X X
For integrable functions f ,

Z Z
f dµ := f (x) dµ(x)
X X
Z Z
:= (Re f ) dµ − (Re f )− dµ
+
X X
Z Z
+i +
(Im f ) dµ − i (Im f )− dµ ∈ K (2.12)
X X
is called the Lebesgue integral of f over X with respect to µ.
(b) Let A ∈ A. If f ∈ M+ (A) or f is integrable, then define

Z Z Z
f dµ := f (x) dµ(x) := f χA dµ . (2.13)
A A X
Remark 2.12. Let (X, A, µ) be a measure space.
(a) A measurable function f : X −→ R is integrable if, and only if, both f + and f −
are integrable and, in that case,
Z Z Z
f dµ = +
f dµ − f − dµ .
X X X
(b) A measurable function f : X −→ C is integrable if, and only if, both Re f and
Im f are integrable and, in that case,
Z Z Z
f dµ = Re f dµ + i Im f dµ ,
X X X
Z Z Z Z
Re f dµ = Re f dµ , Im f dµ = Im f dµ .
X X X X
2 INTEGRATION 77
Lemma 2.13. Let (X, A, µ) be a measure space, let A ∈ A, and let f : X −→ K̂.
(a) f · χA is A-measurable if, and only if, f ↾A is (A|A)-measurable.
(b) It is f · χA ∈ M+ (A) if, and only if, f ↾A ∈ M+ (A|A), and, in that case,
Z Z Z
f dµ = f · χA dµ = f ↾A d(µ↾A|A ) (2.14)
A X A
(note that we can restrict µ to A|A, since A ∈ A).
(c) It is f · χA µ-integrable if, and only if, f ↾A is (µ↾A|A )-integrable, and, in that case,
(2.14) holds.
Proof. As A ∈ A, we have A|A = {C ∈ A : C ⊆ A}.

(a): If B ∈ B̂, then
(
−1 −1 −1 Ac ∪ (A ∩ f −1 (B)) if 0 ∈ B,
(f ↾A ) (B) = A ∩ f (B), (f · χA ) (B) =
A ∩ f −1 (B) if 0 ∈
/ B.
Since Ac ∈ A, we obtain (f · χA )−1 (B) ∈ A if, and only if, (f ↾A )−1 (B) ∈ A|A, proving
(a).
(b): Since f · χA ≡ 0 on Ac , the equivalence claimed in (b) is clear. If f · χA ∈ M+ (A),
then let (φn ) be a sequence in S + (A) with φn ↑ (f · χA ). Then (φn ↾A ) ↑ (f ↾A ) (with
φn ↾A ∈ S + (A|A)) and
Z Z Z Z
φn↾Ac ≡0
f dµ = f · χA dµ = lim φn dµ = lim (φn ↾A ) d(µ↾A|A )
A X n→∞ X n→∞ A
Z
= f ↾A d(µ↾A|A ),
A
proving (b).
(c) is a direct consequence of (b).
Theorem 2.14. Let (X, A, µ) be a measure space, f : X −→ K̂. Then the following
(i) f is integrable.
(ii) Re f and Im f are both integrable.
(iii) (Re f )+ , (Re f )− , (Im f )+ , (Im f )− all are integrable.
2 INTEGRATION 78
(iv) There exist integrable functions p, q, r, s ∈ M+ (A) such that f = p − q + i (r − s).
(v) f is measurable and there exists an integrable g ∈ M+ (A) such that |f | ≤ g (i.e.
|f | is dominated by g).
(vi) f is measurable and |f | is integrable.
Proof. The equivalences of (i) – (iii) are immediate from Def. 2.11(a).
(iii) implies (iv) by setting p := (Re f )+ , q := (Re f )− , r := (Im f )+ , s := (Im f )− .
(iv) ⇒ (v): If f = p − q + i (r − s) with integrable p, q, r, s ∈ M+ (A), then |f | ≤ g :=
p + q + r + s, where g is integrable by Lem. 2.6(b).
R R
(v) implies (vi), since X |f | dµ ≤ X g dµ < ∞.
(vi) implies (iii): Let h ∈ {(Re f )+ , (Re f )− , (ImRf )+ , (Im f )R− }. Then h is measurable,
since f is measurable, and h is integrable, since X h dµ ≤ X |f | dµ < ∞.
Example 2.15. It can happen that |f | is integrable, but f is not: Let (X, A, µ) :=
([0, 1], B 1 , β 1 ), A ⊆ X, A ∈
/ B 1 . Then f := χA − χAc is not measurable (in particular,
not integrable), but |f | ≡ 1 is integrable.
Theorem 2.16. Let (X, A, µ) be a measure space, let f, g : X −→ K̂ be integrable, let
A, B ∈ A, and let α, β ∈ K.
(a) If f : X −→ R is integrable, then

µ {|f | = ∞} = 0.
(b) The Lebesgue integral is linear: αf + βg is integrable and

Z Z Z
(αf + βg) dµ = α f dµ + β g dµ . (2.15a)
A A A
(c) If A, B are disjoint, then

Z Z Z
f dµ = f dµ + f dµ (2.15b)
A∪B A B
(this also holds for nonintegrable f ∈ M+ (A)).
(d) The Lebesgue integral is isotone (here, let f, g be R-valued):

Z Z
f ≤g ⇒ f dµ ≤ g dµ . (2.15c)
A A
2 INTEGRATION 79
(e) The Lebesgue integral satisfies the triangle inequality:

Z Z

f dµ ≤ |f | dµ . (2.15d)

A A
(f ) Mean Value Theorem for Integration: Let f be R-valued and assume there exist
numbers m, M ∈ R such that m ≤ f ≤ M on A. Moreover, let p : X −→ [0, ∞] be
such that χA p and χA f p are integrable. Then
Z Z Z
m p dµ ≤ f p dµ ≤ M p dµ . (2.15e)
A A A
In particular, if f (A) = [m, M ] (e.g., if f is R-valued and continuous, A is compact

and connected, m = min f (A), M := max f (A)), then
Z Z
∃ f p dµ = f (ξ) p dµ . (2.15f)
ξ∈A A A
Returning to a general integrable f , if p ≡ 1 and µ(A) < ∞, then we obtain the

theorem’s classical form:
Z
m µ(A) ≤ f dµ ≤ M µ(A), (2.15g)
A
where the theorem’s name comes from the fact that, for 0 < µ(A) < ∞,
Z Z
−1
− f dµ := µ(A) f dµ (2.15h)
A A
is sometimes referred to as the mean value of f on A.
(g) If f, g : X −→ R are integrable, then max(f, g) and min(f, g) are integrable.
Proof. (a): Letting A∞ := {|f | = ∞}, we have A∞ ∈ A and Rh := ∞ · χAR∞ ≤ |f |. Since

h, |f | ∈ M+ (A), we apply Lem. 2.6(c) to obtain ∞·µ(A∞ ) = X h dµ ≤ X |f | dµ < ∞,
implying µ(A∞ ) = 0.
(b): It suffices to consider A = X due to Lem. 2.13. Since |αf + βg| ≤ |α||f | + |β||g|,
αf + βg is integrable by Th. 2.14(v). If f, g are R-valued, then h := f + g = f + − f − +
g + − g − , i.e. h+ + f − + g − = h− + f + + g + . Thus, due to Lem. 2.6(b),
Z Z Z Z Z Z
+ − − − +
h dµ + f dµ + g dµ = h dµ + f dµ + g + dµ . (2.16)
X X X X X X
2 INTEGRATION 80
Due to integrability, all integrals in (2.16) are finite, implying

Z Z Z
(f + g) dµ = +
h dµ − h− dµ
X X X
Z Z Z Z Z Z
+ + − −
= f dµ + g dµ − f dµ − g dµ = f dµ + g dµ .
X X X X X X
R f, g are C-valued,
If R then, since
R Re(f + g) = Re f + Re g and Im(f + g) = Im f + Im g,
X
(f + g) dµ = X
f dµ + X
g dµ R case. If f isR R-valued and
follows from the R-valued
+ + − −
α ≥ 0, then (αf ) = αf , (αf ) = αf and we obtain X αf dµ = α X f dµ due to
Lem. 2.6(b). If α < 0, then (αf )+ = |α|f − , (αf )− = |α|f + , and one computes
Z Z Z Z
− +
αf dµ = |α| f dµ − f dµ = α f dµ .
X X X X
Finally, using the R-valued case, one computes for C-valued f and α ∈ C,
Z Z Z
(αf ) = (Re α Re f − Im α Im f ) dµ + i (Re α Im f + Im α Re f ) dµ
X X X
Z Z Z Z
= Re α Re f dµ − Im α Im f dµ + i Re α Im f dµ + i Im α Re f dµ
X X X X
Z
=α f dµ ,
X
proving (b).
(c): Since f χA∪B = f χA + f χB , the case f ∈ M+ (A) follows from Lem. 2.6(b) and the
integrable case follows from (b).
(d): If f ≤ g, then g − f ≥ 0. Thus, (b) applies to g = f + (g − f ), yielding
Z Z Z Z
g dµ = f dµ + (g − f ) dµ ≥ f dµ ,
A A A A
as desired.
(e) follows from (d): Due to the existence of polar coordinates for complex numbers,
there exists ζ ∈ K with |ζ| = 1 and
Z Z Z

f dµ = ζ f dµ = ζf dµ .

A A A
In the above equality, all terms are real numbers, implying

Z Z Z Z

f dµ = Re ζf dµ = Re(ζf ) dµ ≤ |f | dµ ,

A A A A
2 INTEGRATION 81
proving (e).
(f): Since mp ≤ f p ≤ M p, we compute
Z (d)
Z (d)
Z
m p dµ ≤ f p dµ ≤ M p dµ .
A A A
R R
If A p dµ = 0, then
R (2.15e) implies A
f p dµ = 0 and (2.15f) is immediate. It remains
to consider that
R A
p dµ > 0. If f (A) = [m, M ], then (2.15e) shows there is ξ ∈ A such
f p dµ
that f (ξ) = RA , i.e. (2.15f) holds.
A p dµ
(g) follows from Th. 2.14(v), since max(f, g) and min(f, g) are measurable and both
| max(f, g)| and | min(f, g)| are dominated by |f | + |g|.
2.2 Null Sets, Properties Holding Almost Everywhere

Definition 2.17. Let (X, A, µ) be a measure space. Let P (x) be a predicate (informally,
a property) of x ∈ X, i.e. a sentence that, for each x ∈ X, is either true or false. Then we
say that P holds µ-almost everywhere (abbreviated µ-a.e.) if, and only if, there exists a
µ-null set N ∈ A such that P (x) is true for each x ∈ N c . One writes just a.e. instead
of µ-a.e. if the measure µ is understood.
—
Here are some examples of potentially useful properties that might hold µ-almost ev-
erywhere: Functions f, g : X −→ Y are equal µ-a.e. if, and only if, there exists a µ-null
set N ∈ A such that f ↾N c = g ↾N c . A function f : X −→ R is finite µ-a.e. if, and only
if, there exists a µ-null set N such that f (N c ) ⊆ R. The sequence (fn )n∈N of functions
fn : X −→ K̂ converges a.e. to f : X −→ K̂ if, and only if, there exists a µ-null set N
such that limn→∞ fn ↾N c = f ↾N c .
Note that “P holds µ-a.e.” does not imply that M := {x ∈ X : P (x) is false} ∈ A. It
merely implies that there exists a µ-null set N ∈ A such that M ⊆ N (of course, if µ is
complete, then we do know M ∈ A).
Theorem 2.18. Let (X, A, µ) be a measure space.
(a) If f, g : X −→ R are integrable or nonnegative measurable, then f ≤ g µ-a.e.

implies Z Z
f dµ ≤ g dµ . (2.17a)
X X
In particular, if f = g µ-a.e., then
Z Z
f dµ = g dµ . (2.17b)
X X
2 INTEGRATION 82
(b) If f, g : X −→ K̂ are measurable, g is integrable, and f = g µ-a.e., then f is

integrable and (2.17b) holds.
(c) If f : X −→ K̂ is measurable and there exists an integrable g ∈ M+ (A) such that
|f | ≤ g µ-a.e., then f is integrable.
(d) If f, g : X −→ R are integrable and
Z Z
∀ f dµ ≤ g dµ , (2.18)
A∈A A A
then f ≤ g µ-a.e. In particular, if (2.18) holds with equality, then f = g µ-a.e.
Proof. (a): As f, g are both measurable, we have N := {f > g} ∈ A with µ(N ) = 0.

Thus, Z Z Z Z
+ + +
f dµ = f dµ + f dµ ≤ 0 + g + dµ .
X N N c X
R − R −
Analogously, we obtain X f dµ ≥ X g dµ , proving (a).
(b): One applies (a) to the positive and negative parts of the real andRimaginary parts
+ +
of
R f and+g: If g is integrable, then +(Re g) is integrable, implying X (Re f ) dµ =
X
(Re g) dµ < ∞ by (a), i.e. (Re f ) is integrable etc. Now (2.17b) also follows.
(c): As in the proof of (b), one Robtains (Re f )+ , R(Re f )− , (ImRf )+ , (Im f )− to be inte-
grable: If g is integrable, then X (Re f )+ dµ ≤ X |f | dµ ≤ X g dµ < ∞ by (a), i.e.
(Re f )+ is integrable etc.
(d): The measurability of f, g implies M := {f > g} ∈ A as well as Mn := {f >
g + n1 } ∈ A for each n ∈ N. We estimate
Z Z Z Z
1 µ(Mn ) (2.18) µ(Mn )
f dµ ≥ g+ dµ = g dµ + ≥ f dµ + ,
Mn Mn n Mn n Mn n
implying µ(Mn ) = 0 for each n ∈ N. Since Mn ↑ M , we obtain µ(M ) = 0 as claimed.
2.3 Convergence Theorems

2.3.1 Fatou’s Lemma and Dominated Convergence
Proposition 2.19 (Fatou’s Lemma). Let (X, A, µ) be a measure space. Then, for each
sequence (fn )n∈N in M+ (A), one has
Z Z
lim fn dµ ≤ lim inf fn dµ . (2.19)
X n→∞ n→∞ X
2 INTEGRATION 83
Proof. Letting f := limn→∞ fn and, for each n ∈ N, gn := inf k≥n fk , we obtain f, gn ∈

M+ (A) by Th. 1.82(a). Clearly, gn ↑ f , such that the monotone convergence Th. 2.7
applies, yielding Z Z
f dµ = lim gn dµ .
X n→∞ X
Since Z Z
∀ g n ≤ fk ⇒ gn dµ ≤ inf fk dµ ,
k≥n X k≥n X
we obtain Z Z Z
f dµ ≤ lim inf fk dµ = lim inf fn dµ ,
X n→∞ k≥n X n→∞ X
Theorem 2.20 (Dominated Convergence). Let (X, A, µ) be a measure space. Let f, fn :

X −→ K̂ be measurable functions, n ∈ N, such that f = limn→∞ fn µ-a.e. Moreover,
assume the fn to be dominated by an integrable function, i.e. assume there exists an
integrable g ∈ M+ (A) such that, for each n ∈ N, |fn | ≤ g holds µ-a.e. Then all fn and
f are integrable with Z Z
lim fn dµ = f dµ (2.20a)
n→∞ X X
and Z
lim |fn − f | dµ = 0. (2.20b)
n→∞ X
Proof. The fn are integrable by Th. 2.18(c) and then |f | = limn→∞ |fn | ≤ g µ-a.e.
implies f to be integrable as well. Then we know that outside of a µ-null set N ∈ A,
all the functions g, f, fn , n ∈ N, must be K-valued and limn→∞ fn = f . Since all the
involved integrals over N equal 0, we may assume, without loss of generality, that N = ∅.
Then, for each n ∈ N, gn := |f | + g − |fn − f | ∈ M+ (A), and Fatou (Prop. 2.19) yields
Z Z Z
(|f | + g) dµ = lim gn dµ ≤ lim inf gn dµ
X X n→∞ n→∞ X
Z Z
= (|f | + g) dµ − lim sup |fn − f | dµ .
X n→∞ X
R
Since X
(|f | + g) dµ ∈ R+
0 , we obtain (2.20b). As
Z Z Z

∀ f dµ − f dµ ≤ |fn − f | dµ ,
n∈N n
X X X
(2.20a) is also proved.
2 INTEGRATION 84
Note that we have already seen in Ex. 2.9(a), in the context of the monotone convergence
theorem, that one can not expect (2.20a) to hold without additional hypotheses (such
as monotonicity or domination).
Corollary 2.21. Let (X, A, µ) be a measure space.
P
(a) Let f, fn : X −→ K̂ be measurable functions, n ∈ N, such that f = ∞ n=1 fn µ-a.e.
+
Moreover,
Pn assume there exists an integrable g ∈ M (A) such that, for each n ∈ N,
| k=1 fk | ≤ g holds µ-a.e. Then all fn and f are integrable with
Z ∞ Z
X
f dµ = fn dµ .
X n=1 X
S∞
(b) Let f : X −→ K̂ be integrable and A, An ∈ A such that A = n=1 An and, for
k 6= l, µ(Ak ∩ Al ) = 0. Then
Z ∞ Z
X
f dµ = f dµ .
A n=1 An
P Pn−1
Proof. (a): The integrability of the fn follows since fn = nk=1 fk − k=1 fk , where both
sums
R on the right-hand side are integrable by hypothesis. Now the Pnclaimed formula for
X
f dµ is obtained from applying Th. 2.20 with fn replaced by k=1 fk .
S
(b): Since {|f | = ∞} and (k,l)∈N2 , k6=l (Ak ∩ Al ) are both µ-null sets, we may assume,
without loss of generality,Pthat A is the disjoint
Pn union of the PA n and that f · χA is
∞ n
K-valued. Then f · χA = n=1 f · χAn with | k=1 f · χAk | ≤ k=1 |f | · χAk ≤ |f | · χA ,
i.e. (b) now follows from (a).
2.3.2 Parameter-Dependent Integrals: Continuity, Differentiation
Theorem 2.22. Let (Z, d) be a metric space and let (X, A, µ) be a measure space. Let
f : Z × X −→ K̂. Fix z0 ∈ Z and assume f has the following properties:
(a) For each z ∈ Z, the function x 7→ f (z, x) is integrable.

(b) For µ-a.e. x ∈ X, the function z 7→ f (z, x) is continuous in z0 .
(c) There exists ǫ > 0 and an integrable h : X −→ [0, ∞] such that
∀ |f (z, x)| ≤ h(x) for µ-a.e. x ∈ X (2.21)
z∈Bǫ (z0 )
(i.e. f is uniformly dominated by an integrable h in some neighborhood of z0 ).
2 INTEGRATION 85
Then the function Z

φ : Z −→ K̂, φ(z) := f (z, x) dµ(x) , (2.22)
X
is continuous in z0 .
Proof. Let (zm )m∈N be a sequence in Bǫ (z0 ) such that limm→∞ zm = z0 . According to
(a), this gives rise to a sequence (gm )m∈N of integrable functions
gm : X −→ K̂, gm (x) := f (zm , x),
such that, using (b), limm→∞ gm = g µ-a.e., where
g : X −→ K̂, g(x) := f (z0 , x).
Since, by (c), all gm are dominated by the integrable function h, we can apply the
dominated convergence Th. 2.20 to obtain
Z Z Z
Th. 2.20
lim φ(zm ) = lim f (zm , x) dµ(x) = lim gm (x) dµ(x) = g(x) dµ(x)
m→∞ m→∞ X m→∞ X X
Z
= f (z0 , x) dµ(x) = φ(z0 ),
X
proving φ is continuous at z0 .
Theorem 2.23. Let I ⊆ R be a nontrivial interval and let (X, A, µ) be a measure space.
Let f : I × X −→ K. Fix t0 ∈ I and assume f has the following properties:
(a) For each t ∈ I, the function x 7→ f (t, x) is integrable.

(b) For µ-a.e. x ∈ X, the function fx : I −→ K, fx (t) := f (t, x), is differentiable at t0 .
(c) There exists an integrable h : X −→ [0, ∞] such that

f (t, x) − f (t0 , x)
∀ ≤ h(x) for µ-a.e. x ∈ X. (2.23)
t∈I\{t0 } t − t0
Then the function Z

φ : I −→ K, φ(t) := f (t, x) dµ(x) , (2.24)
X
is differentiable at t0 (this means the existence of the one-sided derivative if t0 ∈ ∂I),
x 7→ f ′ (t0 , x) (with value 0 on the µ-null set N ⊆ X, where f ′ (t0 , x) does not exist), is
integrable, and Z
φ′ (t0 ) = f ′ (t0 , x) dµ(x) . (2.25)
X
2 INTEGRATION 86
Proof. Let (tm )m∈N be a sequence in I \ {t0 } such that limm→∞ tm = t0 . According to
(a), this gives rise to a sequence (gm )m∈N of integrable functions
f (tm , x) − f (t0 , x)
gm : X −→ K, gm (x) := ,
tm − t0
such that, using (b), limm→∞ gm = g µ-a.e., where
(
f ′ (t0 , x) if x 6∈ N ,
g : X −→ K, g(x) :=
0 if x ∈ N .
Since, by (c), all gm are dominated by the integrable function h, we can apply the
dominated convergence Th. 2.20 to obtain the integrability of the gm and g, as well as
Z Z
φ(tm , x) − φ(t0 , x) Th. 2.20
lim = lim gm (x) dµ(x) = g(x) dµ(x)
m→∞ tm − t0 m→∞ X X
Z
= f ′ (t0 , x) dµ(x) ,
X
proving φ is differentiable at t0 with derivative according to (2.25).
Corollary 2.24. The statement of Th. 2.23 remains true if (b) and (c) are replaced by
(b′ ) For µ-a.e. x ∈ X, the function fx : I −→ K, fx (t) := f (t, x), is differentiable on I.
(c′ ) There exists an integrable h : X −→ [0, ∞] such that, for µ-a.e. x ∈ X,
∀ |fx′ (t)| ≤ h(x)

t∈I
(note that, this time, the null set, where the condition does not hold, must not
depend on t).
Proof. Since (b′ ) immediately implies (b), it remains to verify that (c′ ) implies (c). To
this end, let N be a µ-null set such that, for each x ∈ X \ N , |fx′ (t)| ≤ h(x) holds for
each t ∈ I. Then, for each x ∈ X \ N , by the mean value theorem of differential calculus
[Phi16a, Th. 9.18], for each t ∈ I \ {t0 }, there exists τ (t, x) ∈ I such that

f (t, x) − f (t0 , x) ′
= fx τ (t, x) ≤ h(x),
t − t0
implying the validity of (2.23).
2 INTEGRATION 87
2.4 Riemann versus Lebesgue

In the present section, we investigate the obvious question regarding the relationship
between the Riemann integral of [Phi16a, Sec. 10] and the Lebesgue integral for L1 -
measurable functions f : [a, b] −→ K.
Definition 2.25. Let n ∈ N, A ∈ Ln . We call f : A −→ K Lebesgue integrable if, and

only if, f is (λn ↾A )-integrable.
—
We will now see in Th. 2.26(a) that every Riemann integrable function is also Lebesgue
integrable with identical values for the integral. Thus, the Lebesgue integral can be
seen as a generalization of the Riemann integral. In [Phi16a, Sec. 10], we only studied
the Riemann integral for functions on one-dimensional intervals. However, an analogous
construction can be performed for functions on intervals in Rn , n ∈ N. It is provided in
Sec. D of the Appendix. While the following Th. 2.26 is provided for arbitrary n ∈ N,
one can understand its contents and structure already from the case n = 1 (in particular,
without having studied Sec. D). The main difference between n = 1 and n > 1 is that
the notation gets somewhat more complicated.
As a consequence of Th. 2.26(a), for functions on R, one will, in most cases, still compute
Lebesgue integrals as Riemann integrals, using the techniques introduced in [Phi16a,
Sec. 10]. The most important technique for computing integrals on (subsets of) Rn is
the Fubini Th. 2.36(b) below, which, if it applies, allows to compute an integral of a
function on Rn by evaluating n one-dimensional integrals.
Theorem 2.26. Let n ∈ N and I := [a, b] ⊆ Rn , where a, b ∈ Rn with a < b. Moreover,

let f : I −→ C be bounded.
(a) If f is Riemann integrable, then f is Lebesgue integrable and

Z Z
n
f dλ = R- f, (2.26)
I I
R
where R- denotes the Riemann integral.
(b) f is Riemann integrable if, and only if, the set of points where f is discontinuous
is a λn -null set (i.e. if, and only if, f is continuous λn -a.e.).
Proof. We begin with some general preparations: As we may consider Re f and Im f ,

we consider f to be real-valued without loss of generality. For each N ∈ N and each
k ∈ {1, . . . , n}, consider the partition ∆N N N N
k = (xk,0 , . . . , xk,2N ) of [ak , bk ], xk,j := ak +
2 INTEGRATION 88
j · (bk − ak )2−N for each j ∈ {0, . . . , 2N }, into the disjoint intervals Ik,1 N
:= [xN N
k,0 , xk,1 ],
N N N N N N N
Ik,2 :=]xk,1 , xk,2 ], . . . , Ik,2N :=]xk,2N −1 , xk,2N ], and the resulting partition ∆ of I (cf.
Def. D.2). Analogous to Def. D.2, for each (k1 , . . . , kn ) ∈ P (∆N ) = {1, . . . , 2N }n , define
n
Y
I(jN1 ,...,jn ) := N
Ik,j k
,
k=1
which is as in (D.4), except that we are using the (disjoint) halfopen intervals here.
Then, analogous to Rem. D.3, we obtain the (now disjoint) unions
[˙
I= IpN .
p∈P (∆N )
According to Def. D.4, if we let, for each p ∈ P (∆N ),

mN N
p := inf{f (x) : x ∈ cl(Ip )}, MpN := sup{f (x) : x ∈ cl(IpN )},
then we obtain the lower and upper Riemann sums
X X
r(∆N , f ) = mN n N
p · λ (Ip ), R(∆N , f ) = MpN · λn (IpN ).
p∈P (∆N ) p∈P (∆N )
Moreover, defining the simple functions

X
gN : I −→ R, gN := mN
p χIpN ,
p∈P (∆N )
X
hN : I −→ R, hN := MpN χIpN ,
p∈P (∆N )
we obtain Z Z
N n N
r(∆ , f ) = gN dλ , R(∆ , f ) = hN dλn .
I I
Moreover, clearly, gN ≤ f ≤ hN , (gN )N ∈N is increasing, and (hN )N ∈N is decreas-
ing. Thus, the pointwise limits g := limN →∞ gN and h := limN →∞ hN exist, are β n -
measurable, bounded, and, hence, Lebesgue integrable. They also satisfy g ≤ f ≤ h.
(a): Suppose f is Riemann integrable. Since
∀ |gN |, |hN | ≤ |g1 | + |h1 |,
N ∈N
we can apply the dominated convergence Th. 2.20 to compute

Z Z Z
n n N
g dλ = lim gN dλ = lim r(∆ , f ) = R- f
I N →∞ I N →∞
Z Z I
= lim R(∆N , f ) = lim hN dλn = h dλn .
N →∞ N →∞ I I
2 INTEGRATION 89
R
Thus, I (h − g) dλn = 0, such that h = g λn -a.e. on I by Lem. 2.6(a). Since g ≤ f ≤ h,
this also yields f = g λn -a.e. on I. In consequence, there exists a λn -null set M ∈ Ln |I
such that f = g on M c . If B ∈ B 1 , then
f −1 (B) = (f −1 (B) ∩ M c ) ∪(f

˙ −1 (B) ∩ M ) = (g −1 (B) ∩ M c ) ∪(f
˙ −1 (B) ∩ M ) ∈ Ln |I,
since g is measurable and λn is complete. Thus, f is measurable as well. Moreover,

Z Z Z Z Z Z
n n n n n
f dλ = f dλ + f dλ = g dλ + 0 = g dλ = R- f,
I Mc M Mc I I
proving (a).
(b): Let D := {x ∈ I : f not continuous at x} and let
[ [
R := ∂IpN
N ∈N p∈P (∆N )
be the set of boundary points occurring in any of the considered partitions of I, which,
as a countable union of λn -null sets is itself a λn -null set. We show that D ⊆ R∪{g < h}
by proving that (R∪{g < h})c = Rc ∩{g = h} ⊆ Dc : Let x ∈ Rc ∩{g = h} and let ǫ > 0.
Note f (x) = g(x) = h(x). Choose N ∈ N such that f (x)−ǫ < gN (x) < hN (x) < f (x)+ǫ.
Since x ∈/ R, there exists pN ∈ P (∆N ) such that x ∈ int(IpNN ). Set δ := dist(x, ∂IpN ).
Then δ > 0 and, for each y ∈ Rn with ky − xk < δ, one has y ∈ IpNN , implying
f (x) − ǫ < gN (x) = mN N

pN ≤ f (y) ≤ MpN = hN (x) < f (x) + ǫ,
showing |f (y) − f (x)| < ǫ and the continuity of f at x, i.e. x ∈ Dc as claimed. Now,
if f is Riemann integrable, then, as shown in the proof of (a), g = h λn -a.e., i.e.
λn ({g < h}) = 0. Since D ⊆ R ∪ {g < h}, this implies λn (D) = 0. For the converse, we
show {g < h} ⊆ D: Indeed, for x ∈ I with g(x) < h(x) let δ := (h(x) − g(x))/3. Then,
for each ǫ > 0, there exist x1 , x2 ∈ Bǫ (x) such that f (x1 ) ≤ g(x)+δ and f (x2 ) ≥ h(x)−δ,
showing x ∈ D and {g < h} ⊆ D. Thus, if D ∈ Ln with λn (D) = 0, then g = h λn -a.e.,
yielding
Z Z
N
lim r(∆ , f ) = lim gN dλ = g dλn
n
N →∞ N →∞ I
Z Z I
= h dλn = lim hN dλn = lim R(∆N , f ),
I N →∞ I N →∞
thereby proving f to be Riemann integrable by Th. D.11.
2 INTEGRATION 90
Example 2.27. (a) Let I = [a, b] ⊆ Rn be an interval, a, b ∈ Rn , n ∈ N, a < b. The

Dirichlet function
(
0 for x ∈ I \ Qn ,
f : I −→ R, f (x) :=
1 for x ∈ I ∩ Qn ,
is everywhere discontinuous and, thus, not Riemann integrable (cf. Ex. D.7(b) and
[Phi16a, Ex. 10.7(b)]). However, f is the characteristic
R function of the β n -null set
n n
I ∩ Q , i.e. f is Lebesgue integrable with I f dλ = 0. Now let (r1 , r2 , . . . ) be an
enumeration of I ∩ Qn and define
(
1 for x ∈ {r1 , . . . , rk },
∀ φk : I −→ R, φk (x) :=
k∈N 0 otherwise.
Then each φk is Riemann integrable, as it has only finitely many discontinuities.

Since, clearly, φk ↑ f , this shows that there does not exist a “Riemann measure”, i.e.
no measure space (I, A, ρ) such that a function g : I −→ R is Riemann integrable
if, and only if, g is ρ-integrable (otherwise, we had φk ∈ S + (A) for each k ∈ N, and
f had to be ρ-integrable as well).
(b) The following example shows that there exist Riemann integrable functions that
are not Borel measurable: Let C ⊆ I := [0, 1] be the Cantor set of Def. and Rem.
1.61 and let A ⊆ C be such that A ∈/ B 1 (such an A exists since #P(C) = #P(R),
but #B 1 = #R). Then f : I −→ R, f := χA isR continuous on the open set I \ C.
Since λ1 (C) = 0, f is Riemann integrable with I f = 0.
—
While we saw in Th. 2.26(a) that every Riemann integrable function is Lebesgue in-
tegrable, for improperly Riemann integrable functions this only remains true if the
improper Riemann integral converges absolutely:
Theorem 2.28. Let a, b, c ∈ R, a < c < b. Let I ⊆]a, b[ be one of the following three
kinds of intervals: I = [c, b[, I =]a, c], or I =]a, b[. Moreover, assume f : I −→ R to be
locally Riemann integrable, i.e. Riemann integrable over each compact subinterval of I.
Then f is Lebesgue integrable if, and only if, |f | is improperly
R Riemann integrable. In
that case, both integrals agree, i.e. (2.26) holds, where R- now denotes the improper
Riemann integral.
Proof. Let m := inf I, M := sup I. Moreover, let (an )n∈N and (bn )n∈N be sequences in
I such that m < an < bn < M and an ↓ m as well as bn ↑ M . If, for each n ∈ N,
fn := f · χ[an ,bn ] , then fn ↑ f on ]m, M [. Since f is locally Riemann integrable, each
2 INTEGRATION 91
fn is Lebesgue integrable by Th. 2.26(a), implying f to be Lebesgue measurable. Thus,

the monotone convergence Th. 2.7 yields
Z bn Z Z
lim R- |f | = lim |f | dλ = |f | dλ1 .
1
n→∞ an n→∞ [an ,bn ] I
If |f | is improperly Riemann integrable, then the left-hand side is finite, i.e. |f | (and,
thus, f ) is Lebesgue integrable. Conversely, if f is Lebesgue integrable, then so is
|f |, i.e. the right-hand side is finite, implying |f | to be improperly Riemann integrable.
Finally, if |f | is improperly Riemann integrable, then so is f by [Phi16a, Prop. 10.39(b)],
implying, together with Th. 2.26(a) and the dominated convergence Th. 2.20,
Z M Z bn Z Z
R- f = lim R- f = lim f dλ = f dλ1 ,
1
m n→∞ an n→∞ [an ,bn ] I
proving the validity of (2.26).
In [Phi16a, Ex. 10.40(c)], we saw that the function

(
(−1)n+1 for n ≤ t ≤ n + n1 , n ∈ N,
f : [0, ∞[−→ R, f (t) := (2.27)
0 otherwise,
is improperly Riemann integrable, but that the improper Riemann integral does not
converge absolutely. Therefore, by Th. 2.28, this function is not Lebesgue integrable,
even though it is improperly Riemann integrable.
In the next example, we introduce the important gamma function, which can be seen
as a continuous extension of the factorial function (cf. (2.29b) below).
Example 2.29. The gamma function is defined by
Z ∞
+ +
Γ : R −→ R , Γ(x) := e−t tx−1 dt . (2.28)
0
(a) The gamma function is well-defined by (2.28), i.e. the integral exists as an improper
Riemann integral and as a Lebesgue integral with values in R+ : Since, for each
t, x > 0, one has e−t tx−1 > 0, and fx : R+ −→ R+ , fx (t) := e−t tx−1 , is continuous,
it suffices to show fx is dominated by some improperly Riemann integrable function
gx . In anticipation of (c) below, it will actually be useful to estimate fx uniformly
for each x in some bounded interval. Thus, let α, β ∈ R+ such that 0 < α < β.
Then, for each x ∈ [α, β],
∀ 0 < fx (t) ≤ tx−1 ≤ tα−1 ,
0<t≤1
∀ 0 < fx (t) = tx−1 e−t/2 e−t/2 ≤ Mβ e−t/2 ,

t≥1
2 INTEGRATION 92
where Mβ ∈ R+ is an upper bound for the bounded function φ : [1, ∞[−→ R+ ,

φ(t) := tβ−1 e−t/2 (note limt→∞ φ(t) = 0). Thus, the function
(
tα−1 for t ≤ 1,
gα,β : R+ −→ R+ , gα,β (t) := −t/2
Mβ e for t > 1,
dominates
R 1 α−1 fx for each x ∈ [α, β]. It is also improperly Riemann integrable, since
0
t dt = α1 by [Phi16a, Ex. 10.35(a)], and, if (tk )k∈N is a sequence in ]1, ∞[ such
that limk→∞ tk = ∞, then
Z ∞ Z tk
−t/2
e dt = lim e−t/2 dt
1 k→∞ 1
h itk
= lim − 2e−t/2 = lim (2e−1/2 − 2e−tk /2 ) = 2e−1/2 .
k→∞ 1 k→∞
(b) The gamma function satisfies
∀ Γ(x + 1) = x Γ(x), (2.29a)

x∈R+
∀ Γ(n + 1) = n! : (2.29b)
n∈N0
To prove (2.29a), we fix x ∈ R+ and integrate by parts to obtain

Z ∞ Z ∞
−t x −t x ∞
Γ(x + 1) = e t dt = [−e t ]0 + x e−t tx−1 dt = −0 + 0 + xΓ(x),
0 0
establishing (2.29a). Since, using [Phi16a, Ex. 10.35(c)],

Z ∞
Γ(1) = e−t dt = 1, (2.30)
0
(2.29a) implies (2.29b) via induction on n ∈ N0 .
(c) The gamma function is C ∞ and

Z ∞
∀ Γ (k) +
: R −→ R, (k)
Γ (x) = (ln t)k e−t tx−1 dt : (2.31)
k∈N0 0
Using [Phi16a, Ex. 9.5(b)], we differentiate the integrand of (2.28) k times with
respect to x to obtain, for each x ∈ R+ ,
∀ ∂xk (e−t tx−1 ) = (ln t)k e−t tx−1 .

k∈N
2 INTEGRATION 93
Thus, according to Cor. 2.24, (2.31) is proved if we can estimate each integrand of
(2.31) by an integrable function, uniformly for x ∈ [α, β], where 0 < α < β as in
(a). For each k ∈ N and x ∈ [α, β], we estimate
∀ 0 < | ln t|k e−t tx−1 ≤ | ln t|k tα/2 t−α/2 tx−1 ≤ Cα,k tα/2−1 ,
0<t≤1
∀ 0 < | ln t|k e−t tx−1 = | ln t|k tx−1 e−t/2 e−t/2 ≤ Mβ,k e−t/2 ,
t≥1
where Cα,k ∈ R+ is an upper bound for the bounded function ψk : ]0, 1] −→ R+ ,

ψ(t) := | ln t|k tα/2 (note limt→0 ψk (t) = 0), and Mβ,k ∈ R+ is an upper bound for the
bounded function φk : [1, ∞[−→ R+ , φ(t) := | ln t|k tβ−1 e−t/2 (note limt→∞ φk (t) =
0). Thus, the function
(
Cα,k tα/2−1 for t ≤ 1,
hα,β,k : R+ −→ R+ , hα,β,k (t) :=
Mβ,k e−t/2 for t > 1,
dominates | ln t|k e−t tx−1 for each x ∈ [α, β]. That it is improperly Riemann inte-
grable follows analogously to the integrability of gα,β in (a).
(d) One has the identities

Z n n
t x−1 nx n!
∀ Γ(x) = lim 1− t dt = lim (2.32)
x∈R+ n→∞ 0 n n→∞ x(x + 1) · · · (x + n)
and
Z ∞
1 √ −x2
e dx = Γ = π: (2.33)
−∞ 2
P∞ xi x
For each x ∈ R, one has 1 + x ≤ i=0 i! = e . Thus, for each x ∈] − 1, ∞[,
applying ln yields ln(1 + x) ≤ x. If 0 ≤ t < n ∈ N, then −1 < − nt and we can
apply ln(1 + x) ≤ x with x := − nt to obtain (1 − nt )n ≤ e−t . In consequence, we
can apply the dominated convergence Th. 2.20 to obtain, for each x ∈ R+ ,
Z ∞ Z ∞ n
−t x−1 t
Γ(x) = e t dt = lim 1− tx−1 · χ]0,n[ dt
0 n→∞ 0 n
Z n n
t
= lim 1− tx−1 dt ,
n→∞ 0 n
proving the first identity of (2.32). To obtain the second identity of (2.32), for each
2 INTEGRATION 94
n ∈ N, we now use integration by parts n times:

Z n n n x n Z n n−1
t x−1 t t n t
1− t dt = 1− + 1− tx dt
0 n n x 0 nx 0 n
= ...
Z n 0
n! t
=0+ n 1− tx+n−1 dt
n x(x + 1) · · · (x + n − 1) 0 n
n! h in nx n!
= n tx+n = .
n x(x + 1) · · · (x + n) 0 x(x + 1) · · · (x + n)
The first identity in (2.33) can be proved using the change of variables t := x2 :
Z ∞ Z ∞ −t
−x2 e −1/2 1 1
e dx = t dt = Γ .
0 0 2 2 2
The second identity in (2.33) is a consequence of (2.32) and the so-called Wallis
product (see Prop. E.1(c) of the Appendix for an elementary proof of the Wallis
product)
∞ n
π Y 2k 2k Y 2k 2k 2 2 4 4 6 6
= · = lim · = · · · · · ··· :
2 k=1 2k − 1 2k + 1 n→∞
k=1
2k − 1 2k + 1 1 3 3 5 5 7
(2.34)
v
u n
√ u Y 2k 2k
π = lim t2 (2n + 1) ·
n→∞
k=1
2k + 1 2k + 1
r √ !
2 (2n + 1) n n! 2n
= lim ·
n→∞ n 1 · 3 · · · (2n + 1)
√
n n! 2n+1 1
= lim =Γ ,
n→∞ 1 · 3 · · · (2n + 1) 2
where we also used the continuity of the square root function.
2.5 Products
2.5.1 Product Measure
n
Qn 2.30. Let nn ∈ N and let (Xi , Ai , µi )i=1 be a finite family of measure spaces,
Definition
X := i=1 Xi , A := ⊗i=1 Ai . Then a measure µ on (X, A) is called a product measure
2 INTEGRATION 95
if, and only if, !

n
Y n
Y
∀ Qn µ Ai = µi (Ai ). (2.35)
(A1 ,...,An )∈ i=1 Ai
i=1 i=1
Lemma 2.31. QnLet n ∈ N, n ≥ 2, and let (Xi , Ai )ni=1 be a finite family of measurable
n
spaces, X := i=1 Xi , A := ⊗i=1 Ai . Define the sections
( n−1
)
Y
∀ ∀ Mxn := (x1 , . . . , xn−1 ) ∈ Xi : (x1 , . . . , xn ) ∈ M . (2.36)
M ⊆X xn ∈Xn
i=1
(a) Forming sections commutes with set-theoretic rules: Let M ⊆ X and let (Mj )j∈J
be a family of subsets of X, J 6= ∅. Also let Ei ⊆ Xi for i ∈ {1, . . . , n}. Then, for
each xn ∈ Xn ,
!
\ \
Mj = (Mj )xn , (2.37a)
j∈J j∈J
!x n
[ [
Mj = (Mj )xn , (2.37b)
j∈J xn j∈J
(M c )xn = (Mxn )c , (2.37c)

n
! (
Y ∅ if xn ∈
/ En ,
Ei = Qn−1 (2.37d)
i=1 xn i=1 Ei if xn ∈ En .
Qn−1
Moreover, if f : X −→ Y , f (·, xn ) : i=1 Xi −→ Y , and B ⊆ Y , then

f (·, xn )−1 (B) = f −1 (B) xn
. (2.37e)
(b) If M is measurable, then so is each section:

n−1
∀ ∀ M ∈ A ⇒ Mxn ∈ ⊗i=1 Ai .
M ⊆X xn ∈Xn
(c) If (Y, B) is another measurable spaceQand f : X −→ Y is A-B-measurable, then,

n−1 n−1
for each xn ∈ Xn , the map f (·, xn ) : i=1 Xi −→ Y is ⊗i=1 Ai -B-measurable.
Qn−1
Proof. Let Q := i=1 Xi , Q := ⊗ni=1 Ai .
2 INTEGRATION 96
(a): One has

!
\ \
q∈ Mj ⇔ (q, xn ) ∈ Mj ⇔ ∀ (q, xn ) ∈ Mj ⇔ ∀ q ∈ (Mj )xn
j∈J j∈J
j∈J xn j∈J
\
⇔ q∈ (Mj )xn ,
j∈J
proving (2.37a). One has

!
[ [
q∈ Mj ⇔ (q, xn ) ∈ Mj ⇔ ∃ (q, xn ) ∈ Mj ⇔ ∃ q ∈ (Mj )xn
j∈J j∈J
j∈J xn j∈J
[
⇔ q∈ (Mj )xn ,
j∈J
proving (2.37b). One has
q ∈ (M c )xn ⇔ (q, xn ) ∈ M c ⇔ (q, xn ) ∈ X \ M ⇔ q ∈ Q \ Mx n

⇔ q ∈ (Mxn )c ,
proving (2.37c). One has

n
! n−1
!
Y Y
q∈ Ei ⇔ (q, xn ) ∈ Ei × En ,
i=1 xn i=1
proving (2.37d). One has

q ∈ f (·, xn )−1 (B) ⇔ f (q, xn ) ∈ B ⇔ (q, xn ) ∈ f −1 (B) ⇔ q ∈ f −1 (B) xn
,
proving (2.37e).
(b): Let
M := {M ⊆ X : Mxn ∈ Q for each xn ∈ Xn }.
We show M to e a σ-algebra: It is ∅ ∈ Q, since ∅ ∈ An . Let M ∈ M and xn ∈ Xn .
Then, by (2.37c), (M c )xn = (Mxn )c ∈ Q, since MxSn ∈ Q. Thus, S M c ∈ M. Let (Mk )k∈N
be a sequence in M, xn ∈SXn . Then, by (2.37b), ( k∈N Mk )xn = k∈N (Mk )xn ∈ Q, Q since
each (Mk )xn ∈ Q. Thus, k∈N Mk ∈ M, showing M to be a σ-algebra. If M = ni=1 Ai
with each Ai ∈ Ai , then (2.37d) implies M ∈ M. Thus, A ⊆ M, since M is a σ-algebra.
Since A ⊆ M is precisely the claim of (b), the proof is done.

(c): If B ∈ B, then, by (2.37e), f (·, xn )−1 (B) = f −1 (B) xn ∈ Q by (b), since f −1 (B) ∈
A by the measurability of f .
2 INTEGRATION 97
n
Qn 2.32. Let nn∈ N and let (Xi , Ai , µi )i=1 be a finite family of measure spaces,
Theorem
X := i=1 Xi , A := ⊗i=1 Ai .
(a) There always exists at least one product measure on (X, A).
(b) Let n = 2. If µ1 is σ-finite, then, using the notation of (2.36), one has
∀ x2 7→ µ1 (Mx2 ) is A2 -B-measurable (2.38a)

M ∈A
and Z
µ : A −→ [0, ∞], µ(M ) := µ1 (Mx2 ) dµ2 (x2 ), (2.38b)
X2
defines a product measure.
(c) Let n ≥ 2. If each measure µi is σ-finite, then there exists a unique product measure
µ on (X, A), denoted by ⊗ni=1 µi := µ. Moreover, ⊗ni=1 µi is itself σ-finite and, using
the notation of (2.36), one has
n−1

∀ xn 7→ ⊗i=1 µi (Mxn ) is An -B-measurable (2.39a)
M ∈A
and Z
n−1

∀ (⊗ni=1 µi ) (M ) = ⊗i=1 µi (Mxn ) dµn (xn ). (2.39b)
M ∈A Xn
Qn−1 Qn
In terms of the canonical identification ( i=1 Xi ) × Xn ∼
= i=1 Xi , one has
n−1
(⊗i=1 µi ) ⊗ µn = ⊗ni=1 µi . (2.39c)
Proof. (a): For n = 1, there is nothing to prove. We consider the case n = 2, from
which the case n > 2 follows by induction. Let n = 2. We know from Prop. 1.17(a) that
E := A1 ∗ A2 = {A1 × A2 : Ai ∈ Ai , i = 1, 2} is a semiring. We also know A = σ(E).
We now define µ on E by (2.35), i.e. µ(A1 × A2 ) := µ1 (A1 )µ2 (A2 ) for A1 ∈ A1 , A2 ∈ A2 .
We show that this defines a premeasure on E: µ(∅) = 0 is clear. Let A ∈ A1 , B ∈ A2 ,
and let (Ai )i∈N and (Bi )i∈N be sequences in A1 and A2 , respectively, such that A × B is
Ṡ
the disjoint union of the Ai × Bi , i.e. A × B = i∈N (Ai × Bi ). Then
Z Z
(2.37d)
µ(A × B) = µ1 (A) χB (x) dµ2 (x) = µ1 (A × B)x dµ2 (x)
X2 X2
Z ! Z X ∞
(2.37b) [
= µ1 (Ai × Bi )x dµ2 (x) = µ1 (Ai × Bi )x dµ2 (x)
X2 i∈N X2 i=1
∞ Z
X ∞
X
Cor. 2.8
= µ1 (Ai × Bi )x dµ2 (x) = µ(Ai × Bi ),
i=1 X2 i=1
2 INTEGRATION 98
showing µ to be a premeasure. Then, using the Carathéodory extension Th. 1.38, µ

extends to a measure on (X, A) that constitutes a product measure.
(b): For each M ∈ A = A1 ⊗ A2 , we introduce the notation fM : X2 −→ [0, ∞],
fM (x) := µ1 (Mx ), for the map defined in (2.38a). The bulk of the proof will consist of
showing the measurability of fM . Defining
M := {M ∈ A : fM is measurable},
we have to show M = A. If A ∈ A1 , B ∈ A2 , then

(2.37d)
∀ fA×B (x) = µ1 ((A × B)x ) = µ1 (A) χB (x),
x∈X2
showing fA×B to be measurable. Thus, E ⊆ M, where E := A1 ∗ A2 as in the proof of

(a). We now consider the case, where µ1 is finite, i.e. µ1 (X1 ) < ∞. We show M to be
a Dynkin system: X ∈ M, since X ∈ E. If M ∈ M, then, due to µ1 (X1 ) < ∞, we can
use subtractivity of µ1 to obtain
(2.37c)
∀ fM c (x) = µ1 ((M c )x ) = µ1 ((Mx )c ) = µ1 (X1 ) − fM (x),
x∈X2
showing fM c to beSmeasurable and M c ∈ M. Now let (Mk )k∈N be a sequence of disjoint

sets in M, M := k∈N Mk . Then
! ∞ ∞
(2.37b) [ X X
∀ fM (x) = µ1 (Mx ) = µ1 (Mk )x = µ1 ((Mk )x ) = fMk (x),
x∈X2
k∈N k=1 k=1
showing fM to be measurable by Th. 1.82(a), i.e. M ∈ M and M is a Dynkin system.

Since E is ∩-stable (by [Phi16b, (A.1)]), we have δ(E) = σ(E) = A by Prop. 1.44. Since
also δ(E) ⊆ M, we have A ⊆ M ⊆ A, i.e. M = A, as desired. Now let µ1 be σ-finite
and choose a sequence (Ak )k∈N in A1 such that Ak ↑ X1 and µ1 (Ak ) < ∞ for each k ∈ N.
Then, clearly, for each k ∈ N, νk : A1 −→ R+ 0 , νk (A) := µ1 (Ak ∩ A), defines a finite
measure on X1 , and, for each M ∈ A, k ∈ N, we know
fk,M : X2 −→ [0, ∞[, fk,M (x) := νk (Mx ),
to be measurable. Then fM = limk→∞ fk,M must also be measurable. In consequence,

the definition of µ by (2.38b) makes sense and it merely remains to verify µ is a product
S We clearly have µ(∅) = 0 and if (Mk )k∈N is a sequence of disjoint sets in A,
measure.
M := k∈N Mk , then
Z ! ∞ Z ∞
(2.37b) [ Cor. 2.8
X X
µ(M ) = µ1 (Mk )x dµ2 (x) = µ1 (Mk )x dµ2 (x) = µ(Mk ),
X2 k∈N k=1 X2 k=1
2 INTEGRATION 99
showing µ to be a measure. If A ∈ A1 , B ∈ A2 , then

Z Z

µ(A × B) = µ1 (A × B)x dµ2 (x) = µ1 (A) χB (x) dµ2 (x) = µ1 (A) µ2 (B),
X2 X2
showing µ to be a product measure.

(c): It suffices to consider the case n = 2, since, then, the general case n ≥ 2 follows by
induction:
Qn−1For the induction step, one merely applies the case n = 2 to the two measure
n−1 n−1
spaces ( i=1 Xi , ⊗i=1 Ai , ⊗i=1 µi ) (which is uniquely determined and σ-finite by the
induction hypothesis) and (Xn , An , µn ). Thus, let n = 2. It now suffices to show that
the product measure of µ1 and µ2 is unique and σ-finite, since, then, the representation
of (2.39b) is due to (b). In the proof of (a), we defined a premeasure µ on the semiring
E = A1 ∗ A2 by setting µ(A1 × A2 ) := µ1 (A1 )µ2 (A2 ) for A1 ∈ A1 , A2 ∈ A2 . In our
present situation, we have µ1 , µ2 σ-finite and can choose sequences (Ak )k∈N and (Bk )k∈N
in A1 and A2 , respectively, such that Ak ↑ X1 , Bk ↑ X2 , and µ1 (Ak ) < ∞, µ2 (Bk ) < ∞
for each k ∈ N. Then (Ak × Bk ) ↑ X with µ(Ak × Bk ) < ∞, showing µ to be σ-finite on
E. According to Cor. 1.46(a), µ uniquely extends to a measure on σ(E) = A, proving
the existence of a unique product measure. Since X ∈ E, the extension is still σ-finite,
Caveat 2.33. If µ1 in Th. 2.32(b) is not σ-finite, then it can, indeed, occur that the
map of (2.38a) is nonmeasurable so that (2.38b) does not even make sense (see [Beh87,
p. 96] for an example). Even if µ1 is σ-finite (but µ2 is not), there can exist several
different product measures on X: Let X1 := X2 := R, A1 := A2 := B 1 , µ1 := β 1
(which is σ-finite), and let µ2 be counting measure (which is not σ-finite). Let α be the
product measure constructed according to the proof of Th. 2.32(a), i.e. by defining α
on B 1 ∗ B 1 by letting α(A × B) := µ1 (A)µ2 (B) for A, B ∈ B 1 and extending it to B 2 via
Th. 1.38: Then α on B 2 is the restriction of the corresponding outer measure on P(R2 ).
Set D := {(x, x) ∈ R2 : x ∈ [0, 1]}. Then D ∈ B 2 and we claim α(D) = ∞: Seeking a
contradiction, assume S∞α(D) < ∞. ThenPthere ∞
exist sequences
P(A
∞
k )k∈N and (Bk )k∈N in
B such that D ⊆ k=1 (Ak × Bk ) and k=1 α(Ak × Bk ) = k=1 β 1 (Ak )µ2 (Bk ) < ∞.
1
This implies
1
∀ β (Ak ) = 0 ∨ Bk finite .
k∈N
S S
Thus, letting A := {Ak : β 1 (Ak ) = 0}, B := {Bk : Bk finite}, we have D ⊆ (A×R)∪
(R × B). Note π1 (M ) = π2 (M ) for each M ⊆ D. We obtain π1 (D \ (A × R)) = [0, 1] \ A
and π1 (D \ (A × R)) = π2 (D \ (A × R)) ⊆ B. Since β 1 ([0, 1] \ A) = 1, but β 1 (B) = 0,
this is a contradiction, proving α(D) = ∞. Now let β be the product measure given by
Th. 2.32(b). Then
Z Z Z
1 1
β(D) = β (Dx ) dµ2 (x) = β ({x}) dµ2 (x) = 0 dµ2 (x) = 0.
R [0,1] [0,1]
2 INTEGRATION 100
It is shown in [Beh87, pp. 94–96] that, even though µ2 is not σ-finite, in our considered
situation, for each M ∈ B 2 , the map x 7→ µ2 (Mx ), Mx := {y ∈ R : (x, y) ∈ M } is
λ1 -measurable and then
Z
2
γ : B −→ [0, ∞], γ(M ) := µ2 (Mx ) dλ1 (x),
R
again, defines a product measure. Since

Z Z Z
1 1
γ(D) = µ2 (Dx ) dλ (x) = µ2 ({x}) dλ (x) = 1 dλ1 (x) = 1,
R [0,1] [0,1]
we see that the three product measures α, β, γ must all be different.

Example 2.34. (a) Let p, q ∈ N. We already know B p+q = B p ⊗ B q from Th. 1.94(c).
This σ-algebra is generated by the semiring E := I p+q = I p ∗ I q . Since β p ⊗ β q and
p
β p+q agree on E, we obtain β p ⊗β q = β p+q . Now let X ∈ B p , Y ∈ B q , βX := β p ↾Bp |X ,
q q p q p+q
βY := β ↾Bq |Y . We already know B |X ⊗ B |Y = B |(X × Y ) from Th. 1.94(c).
This σ-algebra is generated by the semiring F := B p |X ∗ B q |Y ⊆ B p+q . Since we
p
have (βX ⊗βYq )↾F = (β p ⊗β q )↾F = β p+q ↾F = βX×Y
p+q p
↾F , we also obtain βX ⊗βYq = βX×Y
p+q
.
(b) Let p, q ∈ N. Then

Lp ⊗ Lq ( Lp+q : (2.40)
The inclusion in (2.40) holds: Letting E := Lp ∗ Lq , we have E ⊆ Lp+q : Indeed, if
E ∈ E, then E = (A ∪ M ) × (B ∪ N ) with M ⊆ M1 , N ⊆ N1 , where A, M1 ∈ B p ,
B, N1 ∈ B q , β p (M1 ) = β q (N1 ) = 0. Then E = (A × B) ∪ P , where P = (A ×
N ) ∪ (M × B) ∪ (M × N ) ⊆ P1 := (A × N1 ) ∪ (M1 × B) ∪ (M1 × N1 ) ∈ B p+q with
β p+q (P1 ) = 0, showing E ∈ Lp+q . Thus Lp ⊗ Lq = σ(E) ⊆ Lp+q . The inclusion
in (2.40) is strict: Let M ⊆ [0, 1]p such that M ∈ / Lp (such a set M exists by Th.
1.74(c)). Also let y ∈ Rq . Then N := M × {y} ∈ Lp+q , since N is a subset of
the β p+q -null set [0, 1]p × {y}. However, N ∈
/ Lp ⊗ Lq , since, otherwise, the section
p
Ny = M had to be in L by Lem. 2.31(b). In consequence, the complete measure
λp+q is a strict extension of the incomplete measure λp ⊗ λq .
(c) Let n ∈ N. We compute the volume of n-dimensional balls with respect to the
Euclidean norm: Let x ∈ Rn , r > 0, Br (x) := {y ∈ Rn : ky − xk2 < r}.
π n/2
vol(Br (x)) := β n (Br (x)) = ωn rn , where ωn := β n (B1 (0)) = , (2.41)
Γ( n2 + 1)
where Γ denotes the Gamma function from Ex. 2.29: It suffices to prove the formula
for ωn : Indeed, consider the bijective affine map A : Rn −→ Rn , A(v) := rv + x.
Then A(B1 (0)) = Br (x), det A = rn , and β n (Br (x)) = rn β n (B1 (0)) by (1.47b).
2 INTEGRATION 101
We now prove the formula for √ ωn via induction on n ∈ N: For n = 1, the claim
1 π 3 1 1 1√
is ω1 = β (] − 1, 1[) = 2 = Γ( 3 ) , which holds, as Γ( 2 ) = 2 Γ( 2 ) = 2 π by (2.29a)
2
and (2.33). For the induction step, let n > 1, write Rn = Rn−1 × R and use
β n = β n−1 ⊗ β 1 . For x ∈ R, we obtain the sections
( n−1
) (
X ∅ for |x| ≥ 1,
B1 (0) x = y ∈ Rn−1 : x2 + yi2 < 1 = n−1
i=1
B√1−x2 (0) for −1 < x < 1,
n−1
where B√ 1−x2
(0) denotes a ball in Rn−1 . Thus,
Z 1 Z 1
(2.39b) n−1
1
ωn = β B1 (0) x
dβ (x) = ωn−1 (1 − x2 )(n−1)/2 dx .
−1 −1
As we may consider the last integral as a 1-dimensional Riemann integral, we may

use the change of variables t := arccos x (recall arccos′ (x) = −(1−x2 )−1/2 ) to obtain
Z 0 Z π

2 n/2
ωn = −ωn−1 1 − (cos t) dt = ωn−1 (sin t)n dt .
π 0
Rπ (E.3a)
In particular, for n = 2, ω2 = ω1 0 (sin t)2 dt = 2 · π2 = π = π
Γ(2)
, proving (2.41)
for n = 2. For n > 2,
Z π Z π
n−1
ωn = ωn−2 (sin t) dt (sin t)n dt .
0 0
Finally, using the induction hypothesis and (E.3), we obtain, for n even
n/2−1 n/2
π (n−2)/2 Y 2k Y 2k − 1 2π n/2 (2.29a) π n/2
ωn = 2π = =
Γ( n2 ) k=1
2k + 1 k=1 2k nΓ( n2 ) Γ( n2 + 1)
and, for n odd,

(n−1)/2 (n−1)/2
π (n−2)/2 Y 2k − 1 Y 2k 2π n/2 (2.29a) π n/2
ωn = 2π = = ,
Γ( n2 ) k=1
2k k=1
2k + 1 nΓ( n2 ) Γ( n2 + 1)
completing the induction.
2.5.2 Theorems of Tonelli and Fubini
For the actual computation of higher-dimensional integrals, the theorems of Tonelli and
Fubini, which we provide in Th. 2.36 below, are among the most powerful tools, as they
2 INTEGRATION 102
allow, under suitable hypotheses, to compute an n-dimensional integral as a sequence

of n 1-dimensional integrals.
The literature knows many variants of the theorems of Tonelli and Fubini, where different
variants can have subtle differences, and one has to use some care in applications to
always verify that the variant one desires to use does, indeed, apply. The most natural
variant in our setting is probably the one that considers two σ-finite measure spaces
(X1 , A1 , µ1 ) and (X2 , A2 , µ2 ) and a function f that is (µ1 ⊗ µ2 )-measurable or (µ1 ⊗ µ2 )-
integrable. However, one would also like to apply the theorem to functions that are
λp+q -measurable or λp+q -integrable and, recalling Ex. 2.34(b), Lp ⊗ Lq ( Lp+q . For this
reason, we also provide a version that assumes f to be µ-measurable or µ-integrable,
where µ is the completion of µ1 ⊗ µ2 .
The following convention is sometimes useful, especially in the context of the theorems
of Tonelli and Fubini:
Convention 2.35. Let (X, A, µ) be a measure space, N ∈ A with µ(N ) = 0, f :

N c −→ K̂, z ∈ f (X). Define
(
f (x) for x ∈ N c ,
g : X −→ K̂, g(x) :=
z for x ∈ N .
If f is integrable or nonnegative measurable (with respect to A and µ restricted to N c ),

then, clearly, g is µ-integrable or nonnegative µ-measurable. In this case, one defines
Z Z
f dµ := g dµ
X X
and observes that this definition does not depend on the choice of z ∈ f (X) (since N
is a µ-null set). In practice, one will usually still denote g by f and one often does not
even specify z explicitly.
Theorem 2.36. Let nQ∈ N, n ≥ 2. For each i ∈ {1, . . . , n}, let (Xi , Ai , µi ) be a σ-finite
n
measure space, X := i=1 Xi . We consider two cases:
(i) (X, A, µ) is the corresponding product measure space.
(ii) Each µi is complete and (X, A, µ) is the completion of the corresponding product
measure space.
In both cases, the following holds:
2 INTEGRATION 103
(a) Tonelli’s Theorem: Let f : X −→ [0, ∞] be A-measurable. For n = 2, the function

f (x1 , ·) is A2 -measurable (for every x1 ∈ X1 in Case (i), for µ1 -almost every x1 ∈
X1 in Case (ii)), the function f (·, x2 ) is A1 -measurable (for every x2 ∈ X2 in Case
(i), for µ2 -almost every x2 ∈ X2 in Case (ii)), the functions given by
Z Z
x1 7→ f (x1 , x2 ) dµ2 (x2 ), x2 7→ f (x1 , x2 ) dµ1 (x1 ), (2.42a)
X2 X1
are A1 -measurable and A2 -measurable, respectively (in Case (ii), they are defined
according to Convention 2.35), and
Z
f (x1 , x2 ) dµ(x1 , x2 )
X1 ×X2
Z Z
= f (x1 , x2 ) dµ1 (x1 ) dµ2 (x2 )
X2 X1
Z Z
= f (x1 , x2 ) dµ2 (x2 ) dµ1 (x1 ). (2.42b)
X1 X2
For n ≥ 2, by applying (2.42b) inductively, one obtains

Z Z Z
f dµ = ··· f (x1 , . . . , xn ) dµn (xn ) · · · dµ1 (x1 ) , (2.42c)
X X1 Xn
where one can also arbitrarily permute the order of the inner integrals without
changing the overall value (as above, the inner integrals are defined according to
Convention 2.35 in Case (ii)).
(b) Fubini’s Theorem: Let f : X −→ K̂ be µ-integrable. For n = 2, the function f (x1 , ·)

is µ2 -integrable for µ1 -almost every x1 ∈ X1 (in both cases), the function f (·, x2 )
is µ1 -integrable for µ2 -almost every x2 ∈ X2 (in both cases), the functions given by
(2.42a) are µ1 -integrable and µ2 -integrable, respectively (in the sense of Convention
2.35), and (2.42b) holds. As in (a), for n ≥ 2, by applying (2.42b) inductively, one
obtains the validity of (2.42c), where, once again, one can also arbitrarily permute
the order of the inner integrals without changing the overall value (of course, as
before, the inner integrals are defined according to Convention 2.35).
(c) If f : X −→ K̂ is µ-measurable and one of the integrals

Z
|f | dµ ,
X
Z Z (2.43)
··· |f (x1 , . . . , xn )| dµπ(n) (xπ(n) ) · · · dµπ(1) (xπ(1) ) ,
Xπ(1) Xπ(n)
2 INTEGRATION 104
where π is a permutation of {1, . . . , n}, is finite, then all the integrals (for an
arbitrary permutation π of {1, . . . , n}) are finite, f is µ-integrable and, in particular,
all the assertions of (b) hold true.
Proof. It suffices to prove the case n = 2 – then the case n > 2 follows by induction
(and using that every permutation is a finite composition of transpositions).
(a): Case (i): Let M ∈ A = A1 ⊗ A2 . If x2 ∈ X2 , then, for the section Mx2 ⊆ X1 , one
has Mx2 ∈ A1 by Lem. 2.31(b), and x2 7→ µ1 (Mx2 ) is A2 -B-measurable by Th. 2.32(b).
One computes
Z Z
(2.38b)
χM (x1 , x2 ) dµ(x1 , x2 ) = µ(M ) = µ1 (Mx2 ) dµ2 (x2 )
X X2
Z Z Z Z
= χMx2 (x1 ) dµ1 (x1 ) dµ2 (x2 ) = χM (x1 , x2 ) dµ1 (x1 ) dµ2 (x2 )
X2 X1 X2 X1
proving the first equality of (2.42b) for characteristic

PNfunctions of measurable sets. Now
let f be a simple function f ∈ S (A), i.e. f = k=1 αk χMk with α1 , . . . , αN ∈ R+
+
0;
M1 , . . . , Mn ∈ A; N ∈ N. Then the linearity of the integrals yields
Z N
X Z
f dµ = αk χMk (x1 , x2 ) dµ(x1 , x2 )
X k=1 X
N
X Z Z
= αk χMk (x1 , x2 ) dµ1 (x1 ) dµ2 (x2 )
k=1 X2 X1
Z Z
= f (x1 , x2 ) dµ1 (x1 ) dµ2 (x2 ) , (2.44)
X2 X1
proving the first equality of (2.42b) for nonnegative simple functions. Next, we consider
f ∈ M+ (A) and choose a sequence (φk )k∈N in S + (A) such that φk ↑ f . According to
Lem. 2.31(c), for each x2 ∈ X2 , f (·, x2 ) ∈ M+ (A1 ) and, for each k ∈ N, φk (·, x2 ) ∈
S + (A1 ). Since φk (·, x2 ) ↑ f (·, x2 ), we obtain, according to (2.4)
Z Z
φk (x1 , x2 ) dµ1 (x1 ) ↑ f (x1 , x2 ) dµ1 (x1 ) . (2.45)
X1 X1
R
Moreover, each function x2 7→ X1 φk (x1 , x2 ) dµ1 (x1 ) on the left-hand side of (2.45) is
R
A2 -measurable, implying the function x2 7→ X1 f (x1 , x2 ) dµ1 (x1 ) on the right-hand side
2 INTEGRATION 105
to be A2 -measurable as well. We now compute

Z Z Z Z
(2.4)
f dµ = lim φk dµ = lim φk (x1 , x2 ) dµ1 (x1 ) dµ2 (x2 )
X k→∞ X k→∞ X X1
Z Z 2
MCT
= lim φk (x1 , x2 ) dµ1 (x1 ) dµ2 (x2 )
X2 X1 k→∞
Z Z
(2.4)
= f (x1 , x2 ) dµ1 (x1 ) dµ2 (x2 ) , (2.46)
X2 X1
proving the first equality of (2.42b) for each f ∈ M+ (A) as claimed. To prove the
second equality of (2.42b) as well as all the remaining claims of (a) (in Case (i)), one
merely exchanges the roles of (X1 , A1 , µ1 ) and (X2 , A2 , µ2 ) in the above argument.
Case (ii): Let M ∈ A = (A1 ⊗ A2 )∼ . Then there exist A, C ∈ A1 ⊗ A2 and N ⊆ C, such
that (µ1 ⊗ µ2 )(C) = 0 and M = A ∪ N . If x2 ∈ X2 , then, for the section Mx2 ⊆ X1 , one
has Mx2 = Ax2 ∪ Nx2 , Nx2 ⊆ Cx2 . Since (µ1 ⊗ µ2 )(C) = 0, (2.38b) implies µ1 (Cx2 ) = 0
for µ2 -a.e. x2 ∈ X2 . Thus, since µ1 is complete, Mx2 ∈ A1 and χM (·, x2 ) = χMx2 is
µ1 -measurable for µ2 -a.e. x2 ∈ X2 . Using Convention 2.35, one computes
Z Z
(2.38b)
χM (x1 , x2 ) dµ(x1 , x2 ) = µ(M ) = µ(A) = µ1 (Ax2 ) dµ2 (x2 )
X X2
Z Z Z Z
= χAx2 (x1 ) dµ1 (x1 ) dµ2 (x2 ) = χM (x1 , x2 ) dµ1 (x1 ) dµ2 (x2 ) ,
X2 X1 X2 X1
proving the first equality

PN of (2.42b) for characteristic functions of measurable sets. If
+
f ∈ S (A), f = k=1 αk χMk as in the proof of Case (i), then the linearity of the
integrals, once again, yields the validity of (2.44) proving the first equality of (2.42b)
for f ∈ S + (A). As in Case (i), we now consider f ∈ M+ (A) and choose a sequence
(φk )k∈N in S + (A) such that φk ↑ f . We have already seen above that, if M ∈ A,
then χM (·, x2 ) is µ1 -measurable for µ2 -a.e. x2 ∈ X2 . Since a countable union of µ2 -null
sets is still a µ2 -null set, there exists a µ2 -null N ∈ A2 such that all φk (·, x2 ), k ∈ N,
are µ1 -measurable for each x2 ∈ N c . This shows f (·, x2 ) to be µ1 -measurable for each
x2 ∈ N c (i.e. for µ2 -a.e. x2 ∈ X2 ) as well. Thus, for each x2 ∈ N c , f (·, x2 ) ∈ M+ (A1 ),
φk (·, xR2 ) ∈ S + (A1 ), φk (·, x2 ) ↑ f (·, x2 ), and (2.45) holds. As in Case (i), each function
x2 7→ X1 φk (x1 , x2 ) dµ1 (x1 ) on the left-hand side of (2.45) (extended to N by 0) is A2 -
R
measurable, implying the function x2 7→ X1 f (x1 , x2 ) dµ1 (x1 ) on the right-hand side to
be A2 -measurable as well. Then, in terms of Convention 2.35, (2.46) still holds, proving
the first equality of (2.42b) for each f ∈ M+ (A). Once again, exchanging the roles of
(X1 , A1 , µ1 ) and (X2 , A2 , µ2 ) proves the remaining claims of (a).
(b): If f is µ-integrable, then so is |f | and (a) yields
Z Z Z
|f (x1 , x2 )| dµ1 (x1 ) dµ2 (x2 ) = |f | dµ < ∞,
X2 X1 X
2 INTEGRATION 106
implying Z
|f (x1 , x2 )| dµ1 (x1 ) < ∞ µ2 -a.e.
X1
In other words, f (·, x2 ) is µ1 -integrable for each x2 ∈ N c , where N is a µ2 -null set, i.e.,
letting f1 := (Re f )+ , f2 := −(Re f )− , f3 := i (Im f )+ , f4 := −i (Im f )− ,
Z 4 Z
X
∀ f (x1 , x2 ) dµ1 (x1 ) = fk (x1 , x2 ) dµ1 (x1 ) .
x2 ∈N c X1 X1
k=1
R
Moreover, for each k ∈ {1, 2, 3, 4}, x2 7→ X1 fk (x1 , x2 ) dµ1 (x1 ) (extended to N by 0) is
µ2 -integrable, since
Z Z Z Z
|fk (x1 , x2 )| dµ1 (x1 ) dµ2 (x2 ) ≤ |f (x1 , x2 )| dµ1 (x1 ) dµ2 (x2 ) < ∞.
X2 X1 X2 X1
We apply (a) to each |fk | to obtain

Z Z 4 Z
X Z
f (x1 , x2 ) dµ1 (x1 ) dµ2 (x2 ) = fk (x1 , x2 ) dµ1 (x1 ) dµ2 (x2 )
X2 X1 k=1 X2 X1
X4 Z Z
= fk dµ = f dµ ,
k=1 X X
i.e. the first equality of (2.42b). Exchanging the roles of (X1 , A1 , µ1 ) and (X2 , A2 , µ2 )
completes the proof of (b).
(c) is just (a) combined with (b).
The technique employed in the proof of Th. 2.36 can often be employed to prove an asser-
tion about integrable functions: One first proves the assertion for characteristic functions
of measurable sets, then for simple functions (linear combinations of characteristic func-
tions of measurable sets), then for nonnegative measurable functions (pointwise limits
of simple functions), then, finally, for integrable functions f (whose parts (Re f )± and
(Im f )± are nonnegative measurable).
R (a) RLet I 3:= [1, 2] × [2, 3] × [0, 2]. We use the Fubini theorem to
Example 2.37.
compute I f := I f dλ for
2z
f : I −→ R, f (x, y, z) := :
(x + y)2
2 INTEGRATION 107
Since f is continuous on the compact interval I, it is integrable and Fubini applies,

yielding
Z Z 2Z 3Z 2 Z 2Z 3 z=2
2z z2
f= 2
dz dy dx = dy dx
I 1 2 0 (x + y) 1 2 (x + y)2 z=0
Z 2Z 3 Z 2 y=3
4 4
= 2
dy dx = − dx
1 2 (x + y) 1 x + y y=2
Z 2
4 4
= − + dx
1 x+3 x+2
h i2
1 1 16
= 4 ln(x + 2) − ln(x + 3) = 4 ln 4 · 4 · · = 4 ln .
1 3 5 15
R∞ 2 √
(b) Using the Tonelli theorem, we provide another proof for −∞ e−x dx = π of
(2.33): We let I := [0, ∞[2 and consider
2 )y 2
f : I −→ R+
0, f (x, y) := y e−(1+x .
+
Since f is continuous, it is measurable. It is also nonnegative,
R R i.e.2 f ∈ M and the
Tonelli theorem applies. Thus, we can compute I f := I f dλ in two different
ways, where, for the second way, we also use the change of variable t := xy,
Z Z ∞Z ∞ Z ∞ " −(1+x2 )y2 #y=∞
2 2 e
f= y e−(1+x )y dy dx = − dx
I 0 0 0 2(1 + x2 )
y=0
Z
1 ∞ 1 1 π
= dx = [arctan x]∞ 0 = ,
2 0 1 + x2 2 4
Z Z ∞ Z ∞ Z ∞ Z ∞ Z ∞ 2
−y 2 −x2 y 2 −y 2 −t2 −t2
f= e ye dx dy = e e dt dy = e dt ,
I 0 0 0 0 0
R∞ 2 √
proving −∞
e−x dx = π.
(c) The following example shows that, in general, the Fubini theorem does not hold
for nonintegrable functions: It can happen that all iterated integrals exist, but the
result depends on the order in which they are executed: Consider X1 := X2 :=]0, 1[,
X :=]0, 1[2 , A1 := A2 := B 1 , µ1 := µ2 := β 1 . Consider the continuous function
x2 − y 2
f : X −→ R, f (x, y) := .
(x2 + y 2 )2
We show
Z 1 Z 1 Z 1 Z 1
π π
f (x, y) dy dx = 6= − = f (x, y) dx dy :
0 0 4 4 0 0
2 INTEGRATION 108
Observe that, on X,
x 1 x x
∂y arctan =− 2 · = − ,
y 1 + xy2 y 2 x2 + y 2
x x2 + y 2 − 2x2 x2 − y 2
∂x ∂y arctan = − = 2 ,
y (x2 + y 2 )2 (x + y 2 )2
y y
∂x arctan = − 2 ,
x x + y2
y y 2 − x2
∂y ∂x arctan = 2 .
x (x + y 2 )2
Thus,
Z 1Z 1 Z 1 y=1 Z 1
y 1 π
f (x, y) dy dx = dx = dx = [arctan x]10 = ,
0 0 0 x + y2
2
y=0 0 1+x
2 4
Z 1 Z 1 Z 1 x=1 Z 1
x 1 π
f (x, y) dx dy = − dy = − dy = − .
0 0 0 x2 + y2 x=0 0 1+y
2 4
2
In particular, f cannot be β -integrable over X.
2.6 Lp -Spaces
2.6.1 Definition, Norm, Completeness
Notation 2.38. Let (X, A, µ) be a measure space. Using the convention

∀ ∞p := ∞, (2.47)
p∈R+
we define for every measurable f : X −→ K̂:

Z 1/p
p
∀ + Np (f ) := |f | dµ ∈ [0, ∞] (2.48a)
p∈R X
and

N∞ (f ) := inf sup |f (x)| : x ∈ X \ N : N ∈ A, µ(N ) = 0 ∈ [0, ∞], (2.48b)
where the number N∞ (f ) is also known as the essential supremum of f (in (2.48b), it is
useful to set sup ∅ := inf[0, ∞] = 0 – this setting is only relevant if µ(X) = 0, resulting
in N∞ (f ) = 0). Note that |f | ≤ N∞ (f ) µ-a.e., since, for N∞ (f ) < ∞,

[ 1
|f | > N∞ (f ) = |f | > N∞ (f ) +
n∈N
n
2 INTEGRATION 109
is a µ-null set.
Theorem 2.39 (Hölder Inequality). Let (X, A, µ) be a measure space and p, q ∈ [1, ∞]
such that p1 + 1q = 1 (note 1/∞ = 0). If f, g : X −→ K̂ are measurable, then
N1 (f g) ≤ Np (f ) Nq (g), (2.49)
where (2.49) is known as Hölder inequality. We point out the following special cases:
(a) For p = q = 2, one obtains the Cauchy-Schwarz inequality. (b) If µ is counting
measure on {1, . . . , n}, n ∈ N, then one recovers the Hölder inequality of [Phi16b, Th.
1.12]. (c) If µ is counting measure on N, then one obtains the Hölder (and, in particular,
Cauchy-Schwarz) inequality for series of real (or complex) numbers.
Proof. If p = 1, q = ∞, then
Z Z
N1 (f g) = |f g| dµ ≤ N∞ (g) |f | dµ
X X
proves (2.49), and the case p = ∞, q = 1 is analogous. Thus, let 1 < p, q < ∞. If
Np (f ) = 0 or Nq (g) = 0, then f g = 0 µ-a.e., implying N1 (f g) = 0 and (2.49). As (2.49)
is also immediate for Np (f ) Nq (g) = ∞, it merely remains to consider the case 0 <
Np (f ), Nq (g) < ∞. Recall that, according to [Phi16a, Th. 9.35], if n ∈ N, x1 , . . . , xn ≥ 0
and λ1 , . . . , λn > 0 such that λ1 + · · · + λn = 1, then xλ11 · · · xλnn ≤ λ1 x1 + · · · + λn xn .
p q
Using this with n = 2, λ1 := p1 , λ2 := 1q , x1 := |f |/Np (f ) , x2 := |g|/Nq (g) , yields
p q
|f | |g| 1 |f | 1 |g|
≤ +
Np (f ) Nq (g) p Np (f ) q Nq (g)
(which, trivially, also holds for |f | = ∞ or |g| = ∞). Integrating this inequality over X
proves (2.49).
As in the special case of Kn in Analysis II, we obtain the Minkowski inequality (triangle
inequality for Np ) from the Hölder inequality:
Theorem 2.40. Let (X, A, µ) be a measure space and let f, g : X −→ K̂ be measurable
functions.
(a) Minkowski Inequality: If p ∈ [1, ∞], then

Np (f + g) ≤ Np (f ) + Np (g). (2.50)
We point out the following special cases: (a) If µ is counting measure on {1, . . . , n},
n ∈ N, then one recovers the Minkowski inequality of [Phi16b, Th. 1.13]. (b) If µ
is counting measure on N, then one obtains the Minkowski inequality for series of
real (or complex) numbers.
2 INTEGRATION 110
(b) If p ∈]0, 1], then one has the following inequalities:
Npp (f + g) ≤ Npp (f ) + Npp (g), (2.51a)

1
−1

Np (f + g) ≤ 2 p Np (f ) + Np (g) . (2.51b)
Proof. (a): If Np (f + g) = 0 or Np (f ) = ∞ or Np (g) = ∞, then (2.50) is trivially true.

If p = 1, then
Z Z Z
N1 (f + g) = |f + g| dµ ≤ |f | dµ + |g| dµ = N1 (f ) + N1 (g).
X X X
If p = ∞, then

∀ sup |f (x) + g(x)| : x ∈ A ≤ sup |f (x)| : x ∈ A + sup |g(x)| : x ∈ A ,
A⊆X
proves N∞ (f + g) ≤ N∞ (f ) + N∞ (g). For the remaining case, consider 1 < p < ∞ and
p
f, g such that Np (f + g) > 0 as well as 0 ≤ Np (f ), Np (g) < ∞. Set q := (1 − p1 )−1 = p−1
and apply the Hölder inequality (2.49) to obtain
Z Z Z
p p p−1
Np (f + g) = |f + g| dµ ≤ |f | |f + g| dµ + |g| |f + g|p−1 dµ
X X X
(2.49)
≤ Np (f ) + Np (g) Nq |f + g|p−1
Z 1/q
(p−1)q
= Np (f ) + Np (g) |f + g| dµ
X
(p−1)q=p p/q
= Np (f ) + Np (g) Np (f + g)
p/q=p−1 p−1
= Np (f ) + Np (g) Np (f + g) . (2.52)
Next, we use p
|f + g|p ≤ 2 max(|f |, |g|) ≤ 2p |f |p + |g|p
and Np (f ), Np (g) < ∞ to conclude Np (f + g) ∈ R+ . Thus, we can divide (2.52) by
p−1
Np (f + g) to prove (2.50).
(b): For p = 1, (2.51) is just (2.50). Thus, let 0 < p < 1. Fix a ∈ R+ and consider the
function
φ : R+0 −→ R, φ(t) := ap + tp − (a + t)p ,
which is, clearly, continuous and, for t > 0, differentiable. Moreover,
∀ φ′ (t) = p tp−1 − p (a + t)p−1 > 0

t>0
2 INTEGRATION 111
(since p − 1 < 0, it is tp−1 > (a + t)p−1 ). Thus, φ is strictly increasing and, noting
φ(0) = 0, we have ap + tp − (a + t)p ≥ 0 for each t ≥ 0. We restate our findings as
∀ (a + b)p ≤ ap + bp .
a,b∈R+
0
Applying this with a := |f | and b := |g| yields (2.51a) after an integration over X. To
prove (2.51b), we, once again, fix a ∈ R+ , this time considering the function
ψ : R+
0 −→ R, ψ(t) := (a1/p + t1/p ) (a + t)−1/p ,
which is also, clearly, continuous and, for t > 0, differentiable, where

1 p1 −1 1 1
ψ ′ (t) = t (a + t)−1/p − (a1/p + t1/p ) (a + t)− p −1
p p
− p1 −1
(a + t) 1
∀ = t p −1 (a + t) − (a1/p + t1/p )
t>0 p
1
a (a + t)− p −1 p1 −1 1
= (t − a p −1 ),
p
showing ψ to be strictly decreasing on [0, a] and strictly increasing on [a, ∞[ with a strict
1
global min at t = a, ψ(a) = 2 a1/p 2−1/p a−1/p = 21− p . Taking reciprocals in ψ(b) ≥ ψ(a)
proves
1
∀ (a + b)1/p ≤ 2 p −1 (a1/p + b1/p ).
a,b∈[0,∞]
We apply this with a := Npp (f ) and b := Npp (g) to obtain
(2.51a) 1/p 1
Np (f + g) ≤ Npp (f ) + Npp (g) ≤ 2 p −1 Np (f ) + Np (g) ,
proving (2.51b).
Definition and Remark 2.41. Let (X, A, µ) be a measure space and p ∈]0, ∞].
(a) Let Lp := LpK := LpK (µ) := LpK (X, A, µ) denote the set of all µ-measurable functions
f : X −→ K such that Np (f ) < ∞ (i.e. such that |f |p is µ-integrable (for p < ∞)).
For p ≥ 1, it is common to call Np the p-norm (caveat: on Lp , Np is, in general,
only a seminorm, see below) and to introduce the notation
∀ ∀ kf kp := Np (f ). (2.53a)
p∈[1,∞] f ∈Lp
2 INTEGRATION 112
We also define
∀ dp : Lp × Lp −→ R+
0, dp (f, g) := kf − gkp , (2.53b)
p∈[1,∞]
∀ dp : Lp × Lp −→ R+
0, dp (f, g) := Npp (f − g). (2.53c)
p∈]0,1[
Clearly, each Lp forms a vector space over K (here we use that Lp contains only
K-valued functions and not K̂-valued functions). Moreover, for p ∈ [1, ∞], Np
constitutes a seminorm on Lp (i.e. Np (0) = 0, Np is homogeneous of degree 1, and Np
satisfies the triangle inequality due to the Minkowski inequality (2.50), cf. [Phi16b,
Def. E.2]) and, in consequence, dp forms a pseudometric on Lp (i.e. dp (f, f ) = 0,
dp is symmetric, and dp satisfies the triangle inequality, cf. [Phi16b, Def. E.1]). For
p ∈]0, 1[, dp with the modified definition (2.53c) still forms a pseudometric on Lp :
Indeed, dp (f, f ) = 0 and dp (f, g) = dp (g, f ) are clear,
dp (f, g) = Npp (f − g) = Npp (f − h + h − g)

∀ ∀
p∈]0,1[ f,g,h∈Lp ≤ Npp (f − h) + Npp (h − g) = dp (f, h) + dp (h, g)
is due to (2.51a). As described in [Phi16b, Sec. E], pseudometrics induce topologies

in precisely the same way that metrics do (the open balls Br (x) still form the base
of a topology). However, if the pseudometric d is not a metric (resp., the seminorm
is not a norm), i.e. if it is not positive definite and there are f 6= g such that
d(f, g) = 0, then the induced topology is not Hausdorff (not even T1 , since there
exists no open set separating f and g). In the present case, Np and dp are positive
definite if, and only if, there does not exist a nonempty µ-null set N (otherwise,
f ≡ 0 and g := χN satisfy f 6= g, but dp (f, g) = 0). Due to this reason, one can
not be completely happy with Lp , but needs to proceed to (b):
(b) Let N denote the set of measurable f : X −→ K that vanish µ-almost everywhere.
Clearly, N is a vector space over K, namely a subspace of Lp . Thus, we can define
the factor vector space (a.k.a. quotient vector space):
Lp := LpK := LpK (µ) := LpK (X, A, µ) := LpK (X, A, µ)/N .
If X = N, A = P(N), and µ is counting measure, then it is customary to write

lp := Lp (i.e. lp is the space of p-summable sequences; in this case N = {0} and
lp = Lp = Lp ). Coming back to the general case, the elements of Lp are precisely
the equivalence classes of the equivalence relation defined by
f ∼g :⇔ f −g ∈N ⇔ dp (f, g) = 0,
2 INTEGRATION 113
Lp = {[f ] : f ∈ Lp }. If f, g ∈ Lp represent the same element of Lp , i.e. [f ] = [g] ∈

Lp , then Np (f ) = Np (g). Thus, it makes sense to define
∀ Np : Lp −→ R+
0, Np ([f ]) := Np (f ),
p∈]0,∞]
∀ k · k : Lp −→ R+
0, k[f ]kp := kf kp ,
p∈[1,∞]
∀ dp : Lp × Lp −→ R+
0, dp ([f ], [g]) := dp (f, g).
p∈]0,∞]
It is then straightforward to verify that k · kp constitutes a norm on Lp for each

p ∈ [1, ∞], and dp constitutes a metric on Lp for each p ∈]0, ∞], where the map
ι : Lp −→ Lp , ι(f ) := [f ], is surjective and continuous (see [Phi16b, Th. E.8, Th.
E.9]). In practice, it is very common not to properly distinguish between elements
[f ] ∈ Lp and their representatives f ∈ Lp (subsequently, we will also make use of this
practice, where suitable). In most situations, using representatives of [f ] does not
cause any problems. Some caution is, however, advisable: There are circumstances
(e.g., restricting elements of Lp or Lp to µ-null sets, typically to obtain traces on
boundaries), where one does have to properly distinguish between f and [f ].
An obvious question is if, for p < q, one of the spaces Lp and Lq contains the other?
The answer is “no” in general (e.g., f ≡ 1 is in L∞ (λ1 ), but not in L1 (λ1 ), g with
g(t) := |t|−1/2 · χ]0,1] (t) is in L1 (λ1 ), but not in L∞ (λ1 )), but the answer is affirmative
for spaces with finite measure. The latter result is a simple consequence of the Hölder
inequality (2.49) and is provided as Th. 2.42. The complete answer is then given (with
proof omitted) in Rem. 2.43 below.
Theorem 2.42. Let (X, A, µ) be a finite measure space, i.e. µ(X) < ∞. Then, for each
p, q ∈]0, ∞] with 0 < p < q ≤ ∞, one has Lq ⊆ Lp and
1 1
∀q Np (f ) ≤ µ(X) p − q Nq (f ).
f ∈L
Proof. It suffices to prove the estimate, which, clearly, implies Lq ⊆ Lp . Thus, let
f ∈ Lq . For q = ∞, we compute
Z p1 Z p1
p
p 1
Np (f ) = |f | dµ ≤ N∞ (f ) dµ = N∞ (f ) µ(X) p ,
X X
thereby establishing the case. For q < ∞, set r := pq > 1 and s := (1 − 1r )−1 = r−1r
> 1.
1 1 p r pr q 1 s
Then r + s = 1. Since |f | ∈ L (since |f | = |f | ∈ L ) and 1 ∈ L , we obtain
Z (2.49)
Z r1
1 p
p
Np (f ) = p p
|f | · 1 dµ ≤ Nr (|f | ) Ns (1) = pr
|f | dµ µ(X) s = Nqp (f ) µ(X)1− q ,
X X
2 INTEGRATION 114
which, after taking pth roots, completes the proof.
Remark 2.43. Let (X, A, µ) be a measure space. In generalization of Th. 2.42, one
can show (cf. Problems 6.2.5 and 6.2.6 in [Els07]) the equivalence of the statements
(i) there exist p, q ∈]0, ∞] such that 0 < p < q ≤ ∞ and Lq ⊆ Lp ,

(ii) sup µ(A) : A ∈ A, µ(A) < ∞ < ∞,
(iii) for each p, q ∈]0, ∞] such that 0 < p < q ≤ ∞, one has Lq ⊆ Lp ;
as well as the equivalence of the statements
(i′ ) there exist p, q ∈]0, ∞] such that 0 < p < q ≤ ∞ and Lp ⊆ Lq ,

(ii′ ) inf µ(A) : A ∈ A, µ(A) > 0 > 0,
(iii′ ) for each p, q ∈]0, ∞] such that 0 < p < q ≤ ∞, one has Lp ⊆ Lq .
In particular, a space with µ(X) = ∞ can only have the properties (i) – (iii) if it
is not σ-finite. As a concrete simple example, consider X := {0, 1}, A := P(X),
µ(∅) := µ({0}) := 0, µ({1}) := µ(X) := ∞. Then every function f : X −→ K
is measurable, properties (ii) and (ii′ ) are clearly satisfied and, for each p ∈]0, ∞],
Lp = {(f : X −→ K) : f (1) = 0}.
—
The following Th. 2.44(a), regarding the completeness of the Lp spaces, is sometimes
known as the Riesz-Fischer theorem. However, part of the literature reserves the name
for a different theorem and, thus, we leave Th. 2.44(a) unnamed.
Theorem 2.44. Let (X, A, µ) be a measure space and p ∈]0, ∞].
(a) All the spaces LpK (µ) are complete (with respect to the pseudometric dp ), where the
definition of Cauchy sequence and completeness in pseudometric spaces is precisely
the same as in metric spaces. In particular, all LpK (µ), p ∈ [1, ∞], are Banach
spaces; all LpK (µ), p ∈]0, 1[, are complete metric spaces.
(b) If (fk )k∈N is a sequence in LpK (µ), converging to g ∈ LpK (µ), then (fk )k∈N has a
subsequence that converges to g pointwise µ-almost everywhere. For p = ∞, (fk )k∈N
itself converges to g, even uniformly µ-almost everywhere.
2 INTEGRATION 115
Proof. (a): Let (fk )k∈N be a Cauchy sequence in Lp . First, consider 0 < p < ∞. Then
there exists a subsequence (fkl )l∈N such that
∀ ∀ dp (fm , fkl ) < 2−l .

l∈N m>kl
For each l ∈ N, set gl := fkl − fkl+1 . Then

n
! n n n
X X X X
∀ ∀ Np |gl | ≤ Np (gl ) = dp (fkl , fkl+1 ) < 2−l < 1,
n∈N p≥1
l=1 l=1 l=1 l=1
n
! n n n
X X X X
∀ ∀ Npp |gl | ≤ Npp (gl ) = dp (fkl , fkl+1 ) < 2−l < 1.
n∈N p<1
l=1 l=1 l=1 l=1
TheP monotone convergence Th. 2.7 allows to take the limit for nP→ ∞, resulting in
Np ( ∞l=1 |gl |) ≤ 1. In particular, for µ-a.e. x ∈ X, the series
∞
l=1 gl (x) converges
absolutely and, in consequence, converges to some h(x) ∈ K. However,
n
X
∀ ∀ gl (x) = fk1 (x) − fkn+1 (x),
x∈X n∈N
l=1
showing there exists a µ-null set N such that (fkl )l∈N converges on N c (i.e. µ-a.e.) to
the measurable function
(
fk1 (x) − h(x) for x ∈ N c ,
f : X −→ K, f (x) :=
0 for x ∈ N .
We still need to verify f ∈ Lp and limk→∞ dp (fk , f ) = 0. To this end, let ǫ > 0. Then
there exists k0 ∈ N such that Npp (fk − fm ) < ǫ for each k, m > k0 . Fixing m > k0 and

applying Fatou (Prop. 2.19) to the sequence |fkl − fm |p l∈N yields
Z Z Z
p p p
Np (fm − f ) = |f − fm | dµ = lim |fkl − fm | dµ ≤ lim inf |fkl − fm |p dµ
X X l→∞ l→∞ X
= lim inf Npp (fkl − fm ) ≤ ǫ.

l→∞
Since f = f − fm + fm , this shows both f ∈ Lp and limk→∞ dp (fk , f ) = 0. It remains to

consider the case p = ∞. In this case, we have N ∈ A with µ(N ) = 0 for the set
[
N := |fk − fl | > N∞ (fk − fl ) .
(k,l)∈N2
If x ∈ N c , then (fk (x))k∈N is a Cauchy sequence in K (since (fk )k∈N is a Cauchy sequence
in L∞ ). Thus, there exists f (x) ∈ K such that f (x) = limk→∞ fk (x). On N c , the
2 INTEGRATION 116
convergence fk → f is even uniform: Given ǫ > 0, choose n0 ∈ N such that N∞ (fk −fl ) <
ǫ
2
for each k, l > n0 . Also choose m > n0 such that |fm (x) − f (x)| < 2ǫ . Then, for each
k > n0 (and independently of x ∈ N c ), |fk (x)−f (x)| ≤ |fk (x)−fm (x)|+|fm (x)−f (x)| <
ǫ
2
+ 2ǫ = ǫ. Extending f by 0 to X, we obtain f = limk→∞ fk χN c . In particular, f is
measurable as the pointwise limit of measurable functions. The uniform convergence
fk → f on N c also yields limk→∞ N∞ (fk − f ) = 0 and N∞ (f ) ≤ N∞ (f − fk ) + N∞ (fk ) <
∞, showing f ∈ L∞ .
(b): If (fk )k∈N converges in Lp , then it is a Cauchy sequence in Lp . Thus, the proof
of (a) shows the statement of (b) to be true if g is replaced by the function f ∈ Lp
constructed in the proof of (a). Then dp (f, g) ≤ dp (f, fk ) + dp (fk , g) → 0 for k → ∞,
showing dp (f, g) = 0, i.e. f = g µ-a.e., thereby establishing the case.
In Th. 2.44(b), for p < ∞, one can, in general, not expect for the sequence (fk )k∈∞ to
converge pointwise µ-a.e. to some f ∈ Lp , as is demonstrated by the following example:
Consider the measure space ([0, 1], B 1 , β 1 ) and the sequence of intervals

1 1 1 1 2 2 1
(Ik )k∈N := [0, 1], 0, , , 1 , 0, , , , , 1 , 0, , ... .
2 2 3 3 3 3 4
If, for each k ∈ N, fk := χIk , then, for each p ∈]0, ∞[, limk→∞ dp (fk , 0) = 0: Indeed,
Z 1
1
p
lim Np (fk ) = lim χpIk dβ 1 = lim β 1 (Ik ) = lim = 0.
k→∞ k→∞ 0 k→∞ k→∞ k
However, for no x ∈ [0, 1] does (fk (x))k∈N converge.
2.6.2 Integration with Respect to Pushforward Measures
Given a measure space (X, A, µ), a measurable space (Y, B), and an A-B-measurable
φ : X −→ Y , recall the pushforward measure

µφ : B −→ [0, ∞], µφ (B) = µ φ−1 (B) ,
from Th. 1.69(a).
Theorem 2.45. (a) Let (X, A, µ) be a measure space, (Y, B) a measurable space, φ :
X −→ Y A-B-measurable, and µφ the resulting pushforward measure on (Y, B).
Then, for each f ∈ M+ (B), one has
Z Z
f dµφ = (f ◦ φ) dµ . (2.54)
Y X
Moreover, a B-measurable function f : Y −→ K̂ is µφ -integrable if, and only if,

f ◦ φ is µ-integrable, and then (2.54) holds.
2 INTEGRATION 117
(b) Let n ∈ N and consider (Rn , A, µn ), where (A, µn ) is either (B n , β n ) or (Ln , λn ).

Moreover, let φ : Rn −→ Rn be bijective and affine. If f : Rn −→ K̂ is nonnegative
µn -measurable or µn -integrable, then f ◦ φ has the same property and
Z Z
n
f dµ = | det φ| (f ◦ φ) dµn . (2.55)
Rn Rn
Proof. (a): We note that f ∈ M+ (B) implies f ◦φ ∈ M+ (A) and then use the technique
summarized after the proof of Th. 2.36: First, let f = χB , B ∈ B. Then
Z Z Z
−1

χB dµφ = µφ (B) = µ φ (B) = χφ−1 (B) dµ = (χB ◦ φ) dµ ,
Y X X
such that (2.54) holds. Due to the linearity of the integral, (2.54) then also holds for
each f ∈ S + (B). Now let f ∈ M+ (B) and choose a sequence (uk )k∈N in S + (B) such
that uk ↑ f . Then, clearly, (uk ◦ φ)k∈N is a sequence in S + (A) such that (uk ◦ φ) ↑ (f ◦ φ),
implying
Z Z Z Z
f dµφ = lim uk dµφ = lim (uk ◦ φ) dµ = (f ◦ φ) dµ ,
Y k→∞ Y k→∞ X X
proving (2.54) for each f ∈ M+ (B). The remaining assertion of (a) follows by applying
(2.54) to (Re f )± and (Im f )± .
(b): According to Th. 1.73(a), φ is µn -µn -measurable and (µn )φ = | det φ|−1 µn . Thus,
if f : Rn −→ K̂ is µn -measurable, then so is f ◦ φ. Using (a), if f : Rn −→ K̂ is
nonnegative µn -measurable or µn -integrable, then f ◦ φ has the same property and
Z Z Z
n (2.54) n −1
(f ◦ φ) dµ = f d(µ )φ = | det φ| f dµn ,
Rn Rn Rn
completing the proof of (b).
2.6.3 Dense Subsets, Separability
Below, we provide some dense subsets of Lp -spaces (for p < ∞ – L∞ turns out to
have a less benign structure in most situations). Dense subsets are, e.g., useful, since
continuous functions are already uniquely determined by values on dense subsets. Recall
that a topological space is called separable if, and only if, it has a countable dense subset.
Separable spaces are typically much easier to handle than nonseparable spaces. We will
provide some sufficient conditions for Lp -spaces to be separable.
2 INTEGRATION 118
Remark 2.46. Let (X, A, µ) be a measure space, p ∈]0, ∞], and let N denote the set
of measurable f : X −→ K that vanish µ-almost everywhere. Let ι : LpK (µ) −→ LpK (µ),
ι(f ) := [f ], be the quotient map. Consider F ⊆ Lp and F := ι(F) ⊆ Lp . Then F is
dense in Lp if, and only if, F is dense in Lp (in particular, Lp is separable if, and only if,
Lp is separable): Note that dp (f, g) = dp (ι(f ), ι(g)) for each f, g ∈ Lp . Let F be dense
in Lp . Given ι(g) ∈ Lp and ǫ > 0, choose f ∈ F such that dp (f, g) < ǫ. Then ι(f ) ∈ F
and dp (ι(f ), ι(g)) < ǫ, showing F to be dense in Lp . Conversely, let F be dense in Lp .
Given g ∈ Lp and ǫ > 0, choose f ∈ F such that dp (ι(f ), ι(g)) < ǫ. Then dp (f, g) < ǫ,
showing F to be dense in Lp .
Theorem 2.47. Let (X, A, µ) be a measure space, p ∈]0, ∞[.
(a) The vector space over K, defined by
S0 := S0 (A, µ) := span{χA : A ∈ A, µ(A) < ∞},
i.e. the vector space of simple functions that are 0 outside a set of finite measure,
is dense in Lp : More precisely,

∀p ∀+ ∃ |φ| ≤ |f | ∧ dp (f, φ) < ǫ .
f ∈L ǫ∈R φ∈S0
(b) If S ⊆ A is a semiring on X such that σ(S) = A and µ ↾S is σ-finite, then the

vector space over K, defined by
D := span{χA : A ∈ S, µ(A) < ∞},
is dense in Lp .
(c) If there exists a countable semiring S on X such that A = σ(S) and µ↾S is σ-finite,
then Lp is separable.
(d) If there exists a countable semiring S on X such that E = σ(S), E ⊆ A ⊆ Ẽ, where
(X, Ẽ, α̃) is the completion of (X, E, α), α := µ ↾E , µ = α̃ ↾A , and µ ↾S is σ-finite,
then Lp (µ) is separable.
(e) Let n ∈ N and consider (Rn , B, µn ), where (B, µn ) = (B n , β n ) or (B, µn ) = (Ln , λn ).

If B ∈ B and (X, A, µ) = (B, B|B, µn ↾A ), then Lp (µ) is separable.
Proof. (a): Clearly, S0 (A, µ) ⊆ Lp . Let f ∈ Lp . First, we also assume f ≥ 0. Then

there exists a sequence (φk )k∈N in S + (A) such that φk ↑ f . Then Np (φk ) ≤ Np (f ) < ∞,
2 INTEGRATION 119
showing φk ∈ S0 . Since |f − φk |p ≤ |f |p , we can apply the dominated convergence Th.

2.20 to obtain,
Z
Th. 2.20
lim dp (f, φk ) = lim Np (f − φk ) = lim |f − φk |p dµ = 0,
k→∞ k→∞ k→∞ X
proving the assertion for f ≥ 0. For a general f ∈ Lp , we proceed in the usual way,
letting f1 := (Re f )+ , f2 := (Re f )− , f3 := (Im f )+ , f4 := (Im f )− . Then each fk ∈ Lp
and fk ≥ 0, k = 1, . . . , 4. Given ǫ > 0, choose φk ∈ S0 such that φk ≤ fk and
dp (fk , φk ) < 4ǫ and let φ := φ1 − φ2 + i(φ3 − φ4 ) ∈ S0 . Then
|φ|2 = (φ1 + φ2 )2 + (φ3 + φ4 )2 ≤ (f1 + f2 )2 + (f3 + f4 )2 = |f |2
and, for p ≥ 1,
4
X

Np (f − φ) = Np f1 − φ1 − (f2 − φ2 ) + i((f3 − φ3 ) − (f4 − φ4 )) ≤ Np (fk − φk ) < ǫ.
k=1
For p < 1, one replaces Np by Npp in the above estimate, thereby completing the proof
of (a).
(b): According to (a), it suffices to show that, given E ∈ A with µ(E) < ∞ and ǫ > 0,
there exist disjoint sets A1 , . . . , AN ∈ S, N ∈ N, such that µ(Ak ) < ∞ and
! Z
XN p

Npp χE − χAk = χE − χSNk=1 Ak dµ
k=1 X
N
! N
! !
[ [
=µ E\ Ak +µ Ak \E < ǫ.
k=1 k=1
To obtain the Ak , we use the Carathéodory extension Th. 1.38 together with the unique-
ness result of Cor. 1.46(a) (which holds, since µ↾S is σ-finite) to see that µ on A = σ(S)
must be the restriction of the outer measure on P(X) induced by µ on S. Thus, if
R := ρ(S) is the generated ring, then
(∞ ∞
)
(1.30) X [
µ(E) = inf µ(Ak ) : (Ak )k∈N sequence in S, E ⊆ Ak
( k=1
∞
k=1
∞
)
Prop. 1.18(b) X [
= inf µ(Ak ) : (Ak )k∈N sequence in R, E ⊆ Ak
( k=1
∞
k=1
∞
)
X [
= inf µ(Ak ) : (Ak )k∈N disjoint sequence in R, E ⊆ Ak
k=1 k=1
2 INTEGRATION 120
( ∞ ∞
)
Prop. 1.18(a) X [
= inf µ(Ak ) : (Ak )k∈N disjoint sequence in S, E ⊆ Ak .
k=1 k=1
In consequence,
S sinceSµ(E) < ∞, there exists a sequence of disjoint sets (Ak )k∈N ∈ S,
E⊆ ∞ A
k=1 k and µ ∞ ǫ
k=1 Ak < µ(E) + 2 . Then
N
! N
! ! ∞
!
[ [ [ ǫ
lim µ E \ Ak = 0 and lim µ Ak \ E ≤ µ Ak − µ(E) < .
N →∞
k=1
N →∞
k=1 k=1
2
Thus, there exists N ∈ N such that

N
! N
! !
[ [ ǫ ǫ
µ E\ Ak + µ Ak \E < + = ǫ,
k=1 k=1
2 2
and the proof of (b) is complete.

(c): According to (b), D = spanK {χA : A ∈ S, µ(A) < ∞} is dense in LpK (µ). Since Q
is dense in R and Q(i) := {q + ir : q, r ∈ Q} is dense in C, it follows that the countable
set spanQ {χA : A ∈ S, µ(A) < ∞}, where Q := Q for K = R and Q := Q(i) for K = C,
is dense in LpK (µ).
(d): According to (c), Lp (α) is separable. Let D be a countable dense subset of Lp (α).
If f ∈ Lp (µ), then, by Prop. G.3, there exists g ∈ Lp (α) such that f = g α-a.e. Thus,
given ǫ > 0, there exists φ ∈ D, satisfying dp (f, φ) = dp (g, φ) < ǫ, showing D to be
dense in Lp (µ).
(e): First, consider the case (B, µn ) = (B n , β n ). We know that B n is generated by the
countable semiring IQn : B n = σ(IQn ). If B ⊆ Rn , then S := IQn |B is a countable semiring
on B by Prop. G.2. For B ∈ B n , according to Th. 1.56(b), A = B n |B = σB (S) and,
for µ = β n ↾A , Lp (µ) is separable by (c). The case (B, µn ) = (Ln , λn ) now follows from
(d).
It turns out that, in many respects, L∞ is typically less benign than Lp for p < ∞. For
example, in general, the space S0 of Th. 2.47(a) is not dense in L∞ and, in the situations
of Th. 2.47(c),(d),(e), L∞ is typically not separable (cf. Rem. 2.55 below).
Definition 2.48. (a) Let (X, T ) be a topological space. Given a function f : X −→ K,
we call the set
supp f := {x ∈ X : f (x) 6= 0}
the support of f . Continuous functions whose support is a compact subset of X are
of particular importance, giving rise to the notation

Cc (X) := Cc (X, K) := f ∈ C(X, K) : supp f is compact .
2 INTEGRATION 121
If O ⊆ Rn is open, n ∈ N, then we also define
∀ Cck (O) := Cck (O, K) := Cc (O, K) ∩ C k (O, K).

k∈N0 ∪{∞}
(b) If O ⊆ Rn is open, n ∈ N, then a function f : O −→ K is said to vanish at

infinity if, and only if, for each ǫ ∈ R+ , there exists a compact set K ⊆ O such that
|f (x)| < ǫ for each x ∈ O \ K (for O = Rn , this is, clearly, equivalent to
lim f (x) = 0, (2.56)

x→∞
where (2.56) is defined to mean that, for each sequence (xk )k∈N in Rn such that
limk→∞ kxk k = ∞, one has limk→∞ f (xk ) = 0). Define

C0 (O) := C0 (O, K) := (f ∈ C(O, K) : f vanishes at infinity .
2
Clearly, Cc (O) ( C0 (O) (if O = Rn , then f (x) := e−kxk2 defines f ∈ C0 (O) \ Cc (O);
2
if O 6= Rn , then f (x) := dist(x, Oc ) · e−kxk2 defines f ∈ C0 (O) \ Cc (O)).
Theorem 2.49. Let n ∈ N and let O ⊆ Rn be open and consider (O, A, µn ), where
(A, µn ) is either (B n , β n ) or (Ln , λn ).
(a) For each p ∈]0, ∞[, Cc (O, K) is dense in LpK (µn ).
(b) For each p ∈]0, ∞[ and f ∈ LpK (Rn , A, µn ), one has

Z

lim f (x + t) − f (x)p dµn (x) = 0. (2.57)
t→0 Rn
Proof. (a): It suffices to consider (A, µn ) = (Ln , λn ). Due to Th. 2.47(a), it suffices to
show that, for each A ∈ A with λn (A) < ∞ and each ǫ > 0, there exists g ∈ Cc (O) such
that Npp (χA − g) < ǫ. Let δ := min{ 2ǫ , ( 2ǫ )p }. Choose k ∈ N sufficiently large such that,
for B := A ∩ [−k, k]n , one has λn (A) ≤ λn (B) + δ. Then Npp (χA − χB ) < δ. According to
(1.41), there exists a closed set K ⊆ Rn and an open set V ⊆ Rn such that K ⊆ B ⊆ V
and λn (V \ K) < δ. If we let U := V ∩ O ∩ (] − k − 1, k + 1[)n , then U is still open with
B ⊆ U and λn (U \ K) < δ, but U is also bounded and U ⊆ O. Moreover, since K is a
subset of the bounded set B, K is compact. If K = ∅, then λn (B) < δ and λn (A) < ǫ,
such that we can choose g ≡ 0. Thus, consider K 6= ∅. Then, using the continuity of
dist (cf. [Phi16b, Ex. 2.6(b)]), we observe dist(K, U c ) > 0 and define the continuous
function
dist(x, K)
g : O −→ R, g(x) := 1 − min 1, . (2.58)
dist(K, U c )
2 INTEGRATION 122
Then, clearly, 0 ≤ g ≤ 1, g↾K ≡ 1, and g↾U c ≡ 0. The support of g is a closed subset of

the compact set U , i.e. supp g is compact and g ∈ Cc (O). Moreover, noting
|χB (x) − g(x)| = 1 − 1 = 1 − 1 = |χU (x) − χK (x)| for x ∈ K,

|χB (x) − g(x)| = 1 − g(x) ≤ 1 − 0 = |χU (x) − χK (x)| for x ∈ B \ K,
|χB (x) − g(x)| = |0 − g(x)| ≤ 1 − 0 = |χU (x) − χK (x)| for x ∈ U \ B,
|χB (x) − g(x)| = 0 − 0 = 0 − 0 = |χU (x) − χK (x)| for x ∈ U c,
we obtain Z Z
Npp (χB − g) = p
|χB − g| dλ ≤ n
|χU − χK |p dλn < δ.
O O
Then, for p < 1, Npp (χA
− g) ≤ − χB ) + Npp (χB − g) < 2ǫ + 2ǫ
Npp (χA = ǫ. For p ≥ 1,
Np (χA − g) ≤ Np (χA − χB ) + Np (χB − g) < 2δ 1/p ≤ 2 2ǫ = ǫ, completing the proof of (a).
(b): Seeking a contradiction,
R assume there p exists ǫ > 0 such that for each s > 0, there
exists s > t > 0 with Rn f(x + t) − f (x) dµn (x) ≥ ǫ. Using (a), choose g ∈ Cc (Rn , K)
R p
such that Rn f (x) − g(x) dµn (x) < 3ǫ . Since g is continuous and, thus, bounded on
the compact set supp g, there exists M ∈ R+ such that 2p |g|p ≤ M . Choosing r > 0
such that supp g ⊆ Br (0) and letting B := B r (0), M χB is integrable and dominates
x 7→ |g(x+t)−g(x)|p for all sufficiently small t ≥ 0. Thus, by the dominated convergence
Th. 2.20,
Z Z
p n Th. 2.20 p g cont.
lim
g(x + t) − g(x) dµ (x) = lim g(x + t) − g(x) dµn (x) = 0.
t→0 Rn Rn t→0
In consequence, Z

∃ ∀ g(x + t) − g(x)p dµn (x) < ǫ
s>0 0≤t<s Rn 3
and, for each 0 ≤ t < s,
Z

f (x + t) − f (x)p dµn (x)
Rn
Z Z
p n
≤ f (x + t) − g(x + t) dµ (x) + g(x + t) − g(x)p dµn (x)
Rn Rn
Z

g(x) − f (x)p dµn (x) < ǫ + ǫ + ǫ = ǫ.
(2.55)
+
Rn 3 3 3
This contradiction proves (2.57).
We will see in Th. 2.54(d) below that even Cc∞ (O, K) is dense in LpK (µn ) for p ∈]0, ∞[.
One can actually extend Th. 2.49(a) to measure spaces (X, A, µ), where µ is a suitable
measure on a locally compact Hausdorff space (see, e.g., [Rud87, Th. 3.14]).
2 INTEGRATION 123
2.6.4 Convolution and Fourier Transform
We will now define the so-called convolution of two integrable functions on Rn .
Remark and Definition 2.50. Let n ∈ N and consider (Rn , A, µn ), where (A, µn ) is
either (B n , β n ) or (Ln , λn ). Consider f, g ∈ L1K (µn ). Then
h : R2n −→ K, h(x, y) := f (x − y)g(y),
is µ2n -measurable: Indeed, the function A : R2n −→ R2n , A(x, y) := (x − y, y), is linear
and bijective and, thus, µ2n -µ2n -measurable. The projections π1 , π2 : R2n −→ Rn ,
π1 (x, y) = x, π2 (x, y) = y are µ2n -µn -measurable. Thus, as f, g are µn -measurable, and
h = (f ◦ π1 ◦ A) · (g ◦ π2 ), h is µ2n -measurable. Next, we compute
Z Z Z Z

f (x − y)g(y) dµn (x) dµn (y) = g(y) f (x − y) dµn (x) dµn (y)
Rn Rn Rn Z Rn
(2.55)
= kf k1 g(y) dµn (y) = kf k1 kgk1 < ∞.
Rn
Since h is measurable, we may apply Th. 2.36(c) to conclude that h is µ2n -integrable
and there exists a µn -null set N ⊆ Rn such that y 7→ h(x, y) is µn -integrable for each
x ∈ N c . We now define
(R
n Rn
f (x − y)g(y) dµn (y) for x ∈ N c ,
f ∗ g : R −→ K, (f ∗ g)(x) := (2.59)
0 for x ∈ N ,
and call this function the convolution of f and g. From our considerations above, we
then know f ∗ g ∈ L1K (µn ). If f˜, g̃ ∈ L1K (µn ) with f = f˜ µn -a.e. and g = g̃ µn -a.e.,
then, for each x ∈ Rn , we have f (x − y)g(y) = f˜(x − y)g̃(y) for a.e. y ∈ Rn . Thus,
y 7→ f˜(x − y)g̃(y) is µn -integrable for each x ∈ N c , and f˜ ∗ g̃ = f ∗ g. In particular,
convolution “∗” is well-defined as a map from L1K (µn ) × L1K (µn ) to L1K (µn ).
Proposition 2.51. Let n ∈ N and consider (Rn , A, µn ), where (A, µn ) is either (B n , β n )

or (Ln , λn ). Let
∗ : L1K (µn ) × L1K (µn ) −→ L1K (µn )
be the convolution map as defined in Rem. and Def. 2.50 above.
(a) Convolution is commutative:
∀ f ∗ g = g ∗ f.
f,g∈L1K (µn )
2 INTEGRATION 124
(b) Convolution is distributive:
∀ (f + g) ∗ h = f ∗ h + g ∗ h µn -a.e.
f,g,h∈L1K (µn )
(c) Convolution is associative:
∀ (f ∗ g) ∗ h = f ∗ (g ∗ h) µn -a.e.
f,g,h∈L1K (µn )
(d) supp(f ∗ g) ⊆ supp f + supp g.
Proof. (a): Since, for each x ∈ Rn , the map φx : Rn −→ Rn , φx (y) := x − y, is

affine and bijective with determinant | det φx | = 1, (2.55) implies, for each x ∈ Rn ,
y 7→ f (x − y)g(y) to be µn -integrable if, and only if, y 7→ f (y)g(x − y) is µn -integrable
and, in that case,
Z Z
n
(f ∗ g)(x) = f (x − y)g(y) dµ (y) = f (y)g(x − y) dµn (y) = (g ∗ f )(x).
Rn Rn
(b) is due to the fact that, for each x, y ∈ Rn ,

(f + g)(x − y)h(y) = f (x − y) + g(x − y) h(y) = f (x − y)h(y) + g(x − y)h(y),
which is applied for each x ∈ Rn such that y 7→ (f + g)(x − y)h(y) is µn -integrable.

(c): We apply Fubini for each x ∈ Rn such that y 7→ (f ∗ g)(x − y)h(y) is µn -integrable
to obtain
Z Z
n (2.55)
(f ∗ g) ∗ h (x) = (f ∗ g)(x − y)h(y) dµ (y) = (f ∗ g)(y)h(x − y) dµn (y)
Rn Rn
Z Z
(a)
= f (z)g(y − z) dµn (z) h(x − y) dµn (y)
Rn Rn
Z Z
Fubini
= f (z) g(y − z)h(x − y) dµn (y) dµn (z)
Rn Rn
Z Z
(2.55)
= f (z) g(x − y − z)h(y) dµn (y) dµn (z)
Rn Rn
Z
(2.55)
= f (z)(g ∗ h)(x − z) dµn (z) = f ∗ (g ∗ h) (x),
Rn
proving associativity.
R
(d): If (f ∗ g)(x) 6= 0, then Rn f (x − y)g(y) dµn (y) 6= 0, i.e. there exists y ∈ supp g such
that x − y ∈ supp f , showing x = y + (x − y) ∈ supp f + supp g and proving (d).
2 INTEGRATION 125
Definition 2.52. Let n ∈ N. We call a sequence (ϕk )k∈N in L1 (β n ) a Dirac sequence if,
and only if, it has the following properties (i) – (iii):
(i) ϕk ≥ 0 for each k ∈ N,
(ii) kϕk k1 = 1 for each k ∈ N,

(iii) limk→∞ diam {0} ∪ supp ϕk = 0.
A Dirac sequence can be seen as an approximation of the Dirac measure δ0 : P(Rn ) −→

[0, ∞] (cf. Ex. 1.12(c)) which, in turn, constitutes a representation of the so-called Dirac
distribution (concentrated at 0).
Example 2.53. Let n ∈ N.
(a) Clearly, (
n (2/k)−n for x ∈ [− k1 , k1 ]n ,
ϕk : R −→ K, ϕk (x) :=
0 otherwise,
defines a (discontinuous) Dirac sequence.
(b) The sequence defined by

n
Y
ϕk : Rn −→ K, ϕk (x) := max{0, k − k 2 |xj |},
j=1
defines a continuous (but not differentiable) Dirac sequence: Clearly, ϕk ≥ 0,

supp ϕk = [− k1 , k1 ]n , and, using Fubini,
! !
Z Yn Z 1/k Yn 2 2 1/k
k x j
kϕk k1 = ϕk = 2 (k − k 2 xj ) dxj = 2 kxj − = 1.
R n
j=1 0 j=1
2 0
(c) We show the sequence defined by

(
1
ck exp − k−2 −kxk2 for kxk2 < k1 ,
ϕk : Rn −→ K, ϕk (x) := 2
0 otherwise,
where
Z −1
1
ck := exp − dx , B := {x ∈ Rn : kxk2 < 1/k},
B k − kxk22
−2
2 INTEGRATION 126
defines a Dirac sequence in Cc∞ (Rn ): Clearly, each ϕk maps into R+ 0 , kϕk k1 = 1
by the definition of ck , and supp ϕk = Bk ,k·k2 (0), showing (ϕk )k∈N to be a Dirac
−1
sequence. It remains to verify that each ϕk is C ∞ . To this end, we show that,

for each p = (p1 , . . . , pm ) ∈ {1, . . . , n}m , m ∈ N, ∂p ϕk exists. Let x ∈ Rn . For
kxk2 > k1 , ∂p ϕk (x) = 0 is immediate from the definition of ϕk . We claim that, for
kxk2 < k1 ,
Np
!
X lp,j Qp,j (x) 1
∂p ϕk (x) = ck j exp − , (2.60)
j=1 α(k, x)
α(k, x)
where α(k, x) := (k −2 − kxk22 ), Np ∈ N, each lp,j ∈ Z, and each Qp,j is a monomial
in x1 , . . . , xn : To prove (2.60) by induction, fix p = (p1 , . . . , pm ) ∈ {1, . . . , n}m ,
m ∈ N, assume (2.60) to hold for this p, and let ν ∈ {1, . . . , n}. Then we have to
differentiate ∂p ϕk with respect to xν using the product rule, resulting in
Np
!
X lp,j ∂ν Qp,j (x) 1
∂ν ∂p ϕk (x) = ck j exp −
j=1 α(k, x) α(k, x)
Np
!
X (−j) (−2xν ) lp,j Qp,j (x) 1
+ ck j+1 exp −
j=1 α(k, x) α(k, x)
Np
! !
X lp,j Qp,j (x) 2xν 1
+ ck j − 2 exp −
j=1 α(k, x) α(k, x) α(k, x)
Nq
!
X lq,j Qq,j (x) 1
= ck j exp − ,
j=1 α(k, x) α(k, x)
where q := (ν, p1 , . . . , pm ), Nq ∈ N, each lq,j ∈ Z, and each Qq,j a monomial in

x1 , . . . , xn , completing the induction. Finally, suppose kxk2 = k −1 . We prove via
induction that, for each p = (p1 , . . . , pm ) ∈ {1, . . . , n}m , m ∈ N, ∂p ϕk (x) = 0: Once
again, we assume the claim for a fixed p and let ν ∈ {1, . . . , n}. Let (tγ )γ∈N be
a sequence in R \ {0} such that, with xγ := x + tγ eν , (xγ )γ∈N is a sequence in
Bk−1 ,k·k2 (0), satisfying limγ→∞ xγ = x. Then, for each γ ∈ N,
α(k, xγ ) = k −2 − kxγ k22 kxk22 − kxγ k22 = x2ν − (xν + tγ )2 = −2xν tγ − t2γ
= |tγ | (2|xν | − |tγ |) > 0
and

1
lim α(k, xγ ) = 0 ⇒ lim exp − =0
γ→∞ γ→∞ α(k, xγ )

−j 1
⇒ ∀ lim α(k, xγ ) exp − = 0.
j∈N γ→∞ α(k, xγ )
2 INTEGRATION 127
−1
This, together with (2.60), t−1
γ = (−2xν − tγ ) α(k, xγ ) , and limγ→∞ Qp,j (xγ ) =
Qp,j (x) ∈ R, implies limγ→∞ t−1γ ∂p ϕk (xγ ) = 0 and, thus,
∂p ϕk (xγ ) − 0
∂ν ∂p ϕk (x) = lim = 0,
γ→∞ tγ
completing the proof that ϕk is C ∞ .
(a) If the sequence (ϕk )k∈N in L1 (β n ) is a Dirac sequence according to Def. 2.52, then
∀ lim kϕk ∗ f − f k1 = 0. (2.61)

f ∈L1 (λn ) k→∞
(b) If f, g ∈ L1 (λn ) and at least one of the functions f, g is bounded, then f ∗ g is

uniformly continuous.
(c) If f ∈ L1 (λn ) and g ∈ Cc∞ (Rn ), then f ∗ g ∈ C ∞ (Rn ), and, for each p =
(p1 , . . . , pk ) ∈ {1, . . . , n}k , k ∈ N,
∂p (f ∗ g) = ∂p1 . . . ∂pk (f ∗ g) = f ∗ (∂p g). (2.62)
(d) If O ⊆ Rn is open, then Cc∞ (O, K) is dense in LpK (O, Ln , λn ) for each p ∈]0, ∞[.
Proof. (a): Let f ∈ L1 (λn ) and ǫ > 0. According to (2.57),

Z

∃ ∀ f (x + t) − f (x) dλn (x) < ǫ.
δ>0 t∈Bδ (0) Rn
Since (ϕk )k∈N is a Dirac sequence, there exists N ∈ N such that, for each k > N ,
supp ϕk ⊆ Bδ (0). Thus, for each k > N ,
Z Z
n
kϕk ∗ f − f k1 = ϕ (x − y)f (y) dλ n
(y) − f (x) dλ (x)
k
Rn Rn
Z Z

= ϕk (y) f (x − y) − f (x) dλn (y) dλn (x)

R n Rn
Z Z
Fubini
≤ ϕk (y) f (x − y) − f (x) dλn (x) dλn (y)
Rn Rn
Z
≤ ϕk (y) ǫ dλn (y) = ǫ,
Rn
2 INTEGRATION 128
proving (a).
(b): Let f, g ∈ L1 (λn ). Since convolution is commutative, it suffices to consider the
case, where g is bounded. If g is bounded, then, for each x ∈ Rn , y 7→ f (y)g(x − y) is
λn -integrable, implying y 7→ f (x − y)g(y) to be λn -integrable as well. If x, h ∈ Rn , then
Z

|(f ∗ g)(x + h) − (f ∗ g)(x)| ≤ f (x + h − y) − f (x − y) g(y) dµn (y)
Rn
Z

= f (y + h) − f (y) g(x − y) dµn (y)
Rn
Z

≤ kgk∞ f (y + h) − f (y) dµn (y) .
Rn
Thus, according to (2.57), for each ǫ > 0, there exists δ > 0 (not depending on x ∈ Rn ),
such that |(f ∗g)(x+h)−(f ∗g)(x)| < ǫ for each h ∈ Bδ (0), proving f ∗g to be uniformly
continuous.
(c): Let f ∈ L1 (λn ), g ∈ Cc∞ (Rn ), j ∈ {1, . . . , n}. Clearly, ∂j g ∈ Cc∞ (Rn ) as well,
and ∂j g is uniformly continuous by [Phi16b, Th. 3.20]. Thus, given ǫ > 0, there exists
δ > 0, such that |∂j g(u) − ∂j g(v)| < ǫ for each u, v ∈ Rn with ku − vk1 < δ. Let ej
denote the jth standard unit vector of Rn . Then, for each x ∈ Rn and each real number
0 6= t ∈] − δ, δ[, one computes

(f ∗ g)(x + tej ) − (f ∗ g)(x)
− f ∗ (∂j g) (x)
t
Z
g(x + te j − y) − g(x − y)
= f (y) − ∂j g(x − y) dλ (y)
n
Rn t
Z Z t
f (y)
= ∂j g(x + sej − y) − ∂j g(x − y) dλ (s) dλ (y)
1 n
Rn t 0
≤ kf k1 ǫ,
proving ∂j (f ∗ g) = f ∗ (∂j g). Now (2.62) follows by induction, implying f ∗ g ∈ C ∞ (Rn )

as well.
(d): According to Th. 2.49(a), Cc (O, K) is dense in LpK (λn ) and it merely remains to
show that Cc∞ (O) is dense in Cc (O). Thus, given f ∈ Cc (O) and ǫ > 0, we need to find
g ∈ Cc∞ (O) such that Np (f − g) < ǫ. If supp f = ∅, then f ≡ 0 and one sets g := f .
Thus, let supp f 6= ∅. Extending f by 0, we regard f as an element of Cc∞ (Rn ). We also
make use of the Dirac sequence (ϕk )k∈N from Ex. 2.53(c), which is in Cc∞ (Rn ). For each
k ∈ N, we have f ∗ ϕk ∈ Cc∞ (Rn ): Indeed, f ∗ ϕk ∈ C ∞ (Rn ) by (c) and, since f and ϕk
2 INTEGRATION 129
both have compact support, so has f ∗ ϕk by Prop. 2.51(d). Let

(
dist(supp f, Oc ) ∈ R+ for Oc =
6 ∅,
α := c
∞ for O = ∅.
Using the uniform continuity of f , we choose δ > 0 such that |f (u) − f (v)| < ǫ ·
(β n (supp f ) + 1))−1/p for each u, v ∈ Rn with ku − vk < δ. As
\
supp f = Kν , Kν := {x ∈ Rn : dist(x, supp f ) ≤ ν −1 },
ν∈N
we can choose ν0 ∈ N such that β n (Kν0 ) < β n (supp f ) + 1 and ν0−1 < α. Since (ϕk )k∈N is
a Dirac sequence,
R we can choose k0 ∈ N, such that supp ϕk0 ⊆ Bβ (0), β := min{δ, ν0−1 }.
Then, using Rn ϕk0 dλn = 1,
Z

(f ∗ ϕk0 )(x) − f (x) ≤ |f (x − y) − f (x)| ϕk0 (y) dλn (y)
ZR
n
∀ = |f (x − y) − f (x)| ϕk0 (y) dλn (y)

x∈Rn
supp ϕk0
≤ ǫ · (β n (supp f ) + 1)−1/p .
We note, using Prop. 2.51(d), supp(f ∗ ϕk0 ) ⊆ supp f + supp ϕk0 ⊆ Kν0 ⊆ O, since
β ≤ ν0−1 < α. Thus, the estimate
Np ((f ∗ ϕk0 ) − f ) ≤ β n (Kν0−1 )1/p · ǫ · (β n (supp f ) + 1)−1/p

< (β n (supp f ) + 1)1/p · ǫ · (β n (supp f ) + 1)−1/p = ǫ
concludes the proof.
Remark 2.55. As mentioned after the proof of Th. 2.47, L∞ is typically less benign
than Lp for p < ∞:
(a) If µ(X) = ∞, then the space S0 of Th. 2.47(a) is not dense in L∞ : If f ∈ S0 , then
there exists A ∈ A such that µ(A) < ∞ and f ↾Ac = 0, i.e. kf −χX k∞ = kf −1k∞ ≥ 1
(note µ(Ac ) = ∞).
(b) Consider (Rn , A, µn ), n ∈ N, where (A, µn ) is either (B n , β n ) or (Ln , λn ). If B ∈ A

is such that µn (B) > 0, then L∞ (B, A|B, µn ↾A|B ) is not separable (see [Alt06, Ex.
2.17h4i]) – whereas the corresponding Lp with p < ∞ is separable according to Th.
2.47(e).
2 INTEGRATION 130
(c) Let O ⊆ Rn be open. In contrast to the case p < ∞ of Th. 2.54(d), Cc (O, K) is
not dense in L∞ n
K (O, A, µ ) (using the same notation as in (b) above): Indeed, the
closure of Cc∞ (O) with respect to k · k∞ turns out to be the space C0 (O) as defined
in Def. 2.48(b) (see [Rud87, Th. 3.17]).
Definition 2.56. Consider (Rn , Ln , λn ), n ∈ N. For each f ∈ L1C (λn ), define
Z
fˆ : R −→ C, fˆ(t) := (2π)
n −n/2
e−i ht,xi f (x) dλn (x) , (2.63a)
Rn
Z
ˇ n ˇ ˆ
f : R −→ C, f (t) := f (−t) = (2π) −n/2
ei ht,xi f (x) dλn (x) , (2.63b)
Rn
where h·, ·i denotes the Euclidean scalar product on Rn (note that, since |e−i ht,xi | =
|ei ht,xi | = 1, the integrability of f implies the integrability of both integrands in (2.63)).
We call fˆ the Fourier transform of f and fˇ the inverse Fourier transform of f (the
name for fˇ is due to Th. 2.59 below). Note that, if f = g λn -a.e., then fˆ = ĝ and fˇ = ǧ,
i.e. fˆ and fˇ are also well-defined for f ∈ L1C (λn ).
Theorem 2.57. Let n ∈ N and let f, g ∈ L1C (λn ).
(a) Both Fourier transform and inverse Fourier transform are linear, i.e. if α, β ∈ C,
then (αf + βg)∧ = αfˆ + βĝ and (αf + βg)∨ = αfˇ + βǧ.
(b) Riemann-Lebesgue Lemma: fˆ ∈ C0 (Rn ), i.e. fˆ is continuous with limt→∞ fˆ(t) = 0.

Moreover fˆ is bounded: |fˆ| ≤ (2π)−n/2 kf k1 .
(c) f[
∗ g = (2π)n/2 fˆ · ĝ.
(d) For each a ∈ Rn and r ∈ R+ , let
f ∗ : Rn −→ C, f ∗ (x) := f (−x),
fa : Rn −→ C, fa (x) := f (a + x),
(Mr f ) : Rn −→ C, (Mr f )(x) := rn f (rx).
Then, for each t ∈ Rn , one has
fc∗ (t) = fˆ(t), (2.64a)

fba (t) = ei ha,ti fˆ(t), (2.64b)

d ˆ t
Mr f (t) = f , (2.64c)
r
(e−i ha,xi f )∧ (t) = (fˆ)a (t). (2.64d)
2 INTEGRATION 131
Q
(e) Let p = (p1 , . . . , pk ) ∈ {1, . . . , n}k , k ∈ N. Using the notation xp := kj=1 xpj for
each x ∈ Rn , and assuming ∂p f exists as well as xq f ∈ L1 for each q = (pα , . . . , pk )
with α ∈ {1, . . . , k}, we have
∂p fˆ = (−i)k (xp f )∧ .
Proof. (a) is immediate from the linearity of the integral.

(b): One has
Z Z

∀ (2π) n/2
|f (t)| =
ˆ e −i ht,xi
f (x) dλ (x) ≤
n
|f (x)| dλn (x) = kf k1 .
t∈Rn Rn Rn
Since, for each t ∈ Rn , the integrands in (2.63a) are dominated by the integrable |f |, fˆ
is continuous by Th. 2.22. We note that, for each t, x ∈ Rn , t 6= 0,

π
t, x + t = ht, xi + π,
ktk22
implying (since e−iπ = −1)
Z Z
n/2 ˆ −i ht,xi n (2.55) −i ht,xi π
(2π) f (t) = e f (x) dλ (x) = − e f x+ 2
t dλn (x)
Rn Rn ktk2
and
Z

2 (2π) n/2
|fˆ(t)| ≤ f (x) − f x + π t dλn (x) → 0 for t → ∞
ktk22
Rn
by (2.57).
(c): For each t ∈ Rn , we compute
Z Z
[
f ∗ g(t) = (2π) −n/2
e −i ht,xi
f (y)g(x − y) dλn (y) dλn (x)
Z R Z R
n n

Fubini −n/2 −i ht,x−yi
= (2π) e g(x − y) dλ (x) e−i ht,yi f (y) dλn (y)
n
Rn Rn
= (2π)n/2 fˆ(t) ĝ(t),

proving (c).
(d): Let t ∈ Rn . Then
Z Z
(2.55)
fc∗ (t) = (2π) −n/2
e −i ht,xi n
f (−x) dλ (x) = (2π) −n/2
ei ht,xi f (x) dλn (x)
Rn Rn
Z
= (2π)−n/2 e−i ht,xi f (x) dλn (x) = fˆ(t),
Rn
2 INTEGRATION 132
proving (2.64a);
Z
(2.55)
fba (t) = (2π)−n/2 e−i ht,xi f (a + x) dλn (x) = ei ha,ti fˆ(t),
Rn
proving (2.64b);
Z
d t
M r f (t) = (2π)
−n/2
e −i ht,xi
r f (rx) dλ (x) = fˆ
n n
,
Rn r
proving (2.64c);
Z
(e −i ha,xi ∧
f ) (t) = (2π) −n/2
e−i ht,xi e−i ha,xi f (x) dλn (x) = fˆ(t + a) = (fˆ)a (t),
Rn
proving (2.64d).
(e): Let j ∈ {1, . . . , n}. According to the hypothesis, |xj f | is integrable and dominates
the corresponding derivative of the integrand of (2.63a) and we can apply Cor. 2.24 to
obtain
Z
ˆ ˆ
∂j f (t) = ∂tj f (t) = (2π) −n/2
(−i) e−i ht,xi xj f (x) dλn (x) = (−i) (xj f )∧ (t).
Rn
From this, the general formula of (e) follows by induction.
Example 2.58. (a) Let a ∈ R+ and consider
f : R −→ C, f := χ]−a,a[ .
Then f ∈ L1 and, for each t ∈ R,

Z a −itx a
e
fˆ(t) = (2π) −1/2
e −itx
dx = (2π) −1/2
−
−a it −a

sin(−ta) sin(ta) sin(ta)
= (2π)−1/2 − + = 2 (2π)−1/2 .
t t t
Note that fˆ ∈
/ L1 , since
Z Z ∞ Z ∞
−1/2 −1 ˆ | sin(ta)| | sin x|
(2 (2π) ) |f | ≥ dt = dx
R 0 t 0 x
X∞ Z kπ ∞
1 2 X1
≥ | sin x| dx = = ∞.
k=1
kπ (k−1)π π k=1
k
2 INTEGRATION 133
(b) Consider
φ : R −→ C, φ(x) := max{0, 1 − |x|}. (2.65a)
1
Then φ ∈ L and we show
2
−1/2 1 − cos t [Phi16a, (I.1c)] −1/2 sin(t/2)
φ̂ : R −→ C, φ̂(t) = (2π) 2 = (2π) .
t2 t/2
(2.65b)
We compute, for each t ∈ R,
Z 1
−1/2
φ̂(t) = (2π) e−itx (1 − |x|) dx .
−1
According to (a) (with a = 1),

Z 1
sin t
e−itx dx = 2 .
−1 t
Moreover,
Z 1 Z 1 Z 1 Z 1
−itx
e |x| dx = |x| cos(tx) dx − i |x| sin(tx) dx = 2 x cos(tx) dx
−1 −1 −1 0
1
cos(tx) x sin(tx) cos t sin t 1
=2 + =2 + − 2 .
t2 t 0 t 2 t t
Putting everything together, we obtain (2.65b). By (2.65b), φ̂ ∈ L1 , since

Z Z 1 Z ∞
1 1
|φ̂| dλ = 2 |φ̂| dλ + 2 |φ̂| dλ1 < ∞ (2.65c)
R 0 1
R ∞|φ̂| is continuous
(the first integral is finite, since on Rthe bounded set [0, 1], the
−1/2 ∞ −2
1
second integral is also finite, as 1 |φ̂| dλ ≤ 4(2π) 1
t dt = 4(2π)−1/2 ). We
now show
(φ̂)∨ = φ : (2.65d)
For each x ∈ R, we obtain
Z 2 Z
∨ 1 sin(t/2)
π (φ̂) (x) = e i tx
dt = t−2 (1 − cos t) cos(tx) dt .
2 R t/2 R
Note
cos(tx + t) + cos(tx − t)
= cos(tx) cos t − sin(tx) sin t + cos(tx) cos t − sin(tx) sin(−t)
= 2 cos(tx) cos t.
2 INTEGRATION 134
Thus,
Z
∨
∞
−2 1
π (φ̂) (x) = 2 t cos(tx) − cos(t(x + 1)) + cos(t(x − 1)) dt
0 2
h i∞
= 2 − t−1 (1 − cos t) cos(tx)
0
Z ∞
−1 1
−2 t x sin(tx) − (x + 1) sin(t(x + 1)) + (x − 1) sin(t(x − 1)) dt .
0 2
We proceed to evaluate each term:
h i∞ ∞
−1 1 − cos t
− t (1 − cos t) cos(tx) = t cos(tx) = 0.
0 t2 0
R∞
For x = 0, we have t−1 x sin(tx) = 0. For x > 0, we have
0
Z ∞ Z ∞
−1 sin u (F.2) π
t x sin(tx) = x du = x .
0 0 u 2
For x < 0, we have
Z ∞ Z −∞
−1 sin u (F.2) π
t x sin(tx) = x du = −x .
0 0 u 2
Altogether, we obtain

∨ π x+1 x−1
∀ π (φ̂) (x) = − −x + + = 0,
x≤−1 2 2 2

∨ x+1 x−1
∀ π (φ̂) (x) = −π −x − + = π (x + 1),
−1≤x≤0 2 2

∨ x+1 x−1
∀ π (φ̂) (x) = −π x − + = π (−x + 1),
0≤x≤1 2 2

∨ π x+1 x−1
∀ π (φ̂) (x) = − x− − = 0,
1≤x 2 2 2
showing (2.65d).
(c) Let n ∈ N. We will use the results of (b) to compute the Fourier transforms of
the members of the Dirac sequence (ϕk )k∈N of Ex. 2.53(b), and we will show that
(2.65d) still holds for φ replaced by ϕk . Recall that
n
Y
n
ϕk : R −→ C, ϕk (x) := max{0, k − k 2 |xj |}.
j=1
2 INTEGRATION 135
Using φ from (2.65a) and the notation from Th. 2.57(d), we define, for each k ∈ N,
φk : R −→ C, φk (x) := (Mk φ)(x) = kφ(kx) = max{0, k − k 2 |x|}.
Then (2.65b) together with (2.64c) yields

2
ck : R −→ C, ck (t) = φ̂ t −1/2 sin(t/(2k))
φ φ = (2π) .
k t/(2k)
ck = k (M1/k φ̂) and we can apply (2.64c) again to obtain, for each
In other words, φ
x ∈ R,
ck )∨ (x) = (d
(φ
b̂
ck )(−x) = k φ(−kx)
φ
(2.65d)
= k(φ̂)∨ (kx) = kφ(kx) = φk (x),
showing
∀ ck )∨ = φk .
(φ
k∈N
Finally, for ϕk , we obtain, for each t ∈ Rn ,

Z
−n/2
ck (t) = (2π)
ϕ e−i ht,xi ϕk (x) dλn (x)
Rn
Z n
Y
= (2π)−n/2 e−i tj xj φk (xj ) dλn (x)
Rn j=1
n
Y n
Y 2
Fubini ck (tj ) = (2π) −n/2 sin(tj /(2k))
= φ , (2.66a)
j=1 j=1
tj /(2k)
and, for each x ∈ Rn ,

Z
∨ −n/2
(c
ϕk ) (x) = (2π) ei ht,xi ϕ
ck (t) dλn (t)
Rn
Z n
Y 2 !
−n/2 i t j xj sin(tj /(2k))
= (2π) e dλn (t)
Rn j=1 tj /(2k)
n
Y n
Y
Fubini ck )∨ (xj ) =
= (φ φk (xj ) = ϕk (x),
j=1 j=1
proving
∀ ϕk ) ∨ = ϕk .
(c (2.66b)
k∈N
2 INTEGRATION 136
Due to Th. 2.57(b), not every function in L1 can be the Fourier transform of an L1
function. On the other hand, we know from Ex. 2.58(a) that the Fourier transform of
an L1 function is not necessarily in L1 . Still one has the following inversion Th. 2.59(a)
for the Fourier transform of L1 functions. But the point is that, due to the mentioned
shortcomings of the Fourier transform for L1 functions, one has to assume fˆ ∈ L1 in Th.
2.59(a). There is a subspace S ( L1 ∩ L2 , the space of so-called Schwartz functions, on
which the Fourier transform is, indeed, bijective, but the details are beyond the scope
of the present class.
Theorem 2.59 (Inversion Theorem). Let n ∈ N.
(a) If f ∈ L1C (λn ) and fˆ ∈ L1C (λn ), then

f = (fˆ)∨ λn -a.e.
(the equality becomes exact for f, fˆ ∈ L1C (λn )).
(b) If f, g ∈ L1C (λn ), then fˆ = ĝ implies f = g λn -a.e. (i.e. the Fourier transform is
injective as a map on L1C (λn )).
Proof. (a): We will make use of the fact that, from (2.66b) of Ex. 2.58(c), we already
know ϕk = (c ϕk )∨ for each member of the Dirac sequence (ϕk )k∈N of Ex. 2.53(b). Since
ck is bounded by Th. 2.57(b) and fˆ ∈ L1 , we have ϕ
ϕ ck fˆ ∈ L1 as well. Thus, we obtain,
n
for each x ∈ R ,
Z
(c ˆ ∨
ϕk f ) (x) = (2π) −n/2
ck (t)fˆ(t) dλn (t)
ei hx,ti ϕ
R n
Z Z
−n/2 −n/2 i hx,ti
= (2π) (2π) e ck (t)
ϕ e−i ht,zi f (z) dλn (z) dλn (t)
ZR R
n n
Z
Fubini −n/2 −n/2 i ht,x−zi
= (2π) (2π) f (z) e ck (t) dλn (t) dλn (z)
ϕ
Rn Rn
Z
= (2π)−n/2 f (z) (c ϕk )∨ (x − z) dλn (z)
ZR
n
(2.66b)
= (2π)−n/2 f (z) ϕk (x − z) dλn (z) = (2π)−n/2 (f ∗ ϕk )(x). (2.67)
Rn
ck (t) = (2π)−n/2 for each t ∈ Rn due to (2.66a), and

Next, we note that limk→∞ ϕ
ϕk k∞ ≤ (2π)−n/2 kϕk k1 = (2π)−n/2
kc
by Th. 2.57(b) and Def. 2.52(ii). Thus, we can apply the dominated convergence Th.
2.20 to obtain
Z
DCT
n/2
lim k(2π) ϕ ˆ ˆ
ck f − f k1 = lim (2π)n/2 ϕ
ck (t)fˆ(t) − fˆ(t) dλn (t) = 0.
k→∞ k→∞ Rn
2 INTEGRATION 137
Recalling that fˇ(t) = fˆ(−t), we can apply Th. 2.57(b) again to conclude

lim (2π)n/2 (cϕk fˆ)∨ − (fˆ)∨ = lim (2π)n/2 (c ϕk fˆ)∧ − (fˆ)∧
k→∞ ∞ k→∞ ∞

≤ (2π)−n/2 lim (2π)n/2 ϕck fˆ − fˆ = 0,
k→∞ 1
i.e. uniform convergence (2π)n/2 (c ϕk fˆ)∨ → (fˆ)∨ . Applying Prop. G.4 of the Appendix
then yields, for each r ∈ R+ ,
Z Z
ˆ n (G.4a)
∨
|(f ) − f | dλ = lim |(2π)n/2 (cϕk fˆ)∨ − f | dλn
Br (0) k→∞ B (0)
Z r
(2.67)
= lim |(f ∗ ϕk ) − f | dλn
k→∞ Br (0)
(2.61)
≤ lim kϕk ∗ f − f k1 = 0,
k→∞
proving (fˆ)∨ = f λn -a.e. as claimed.

(b): If fˆ = ĝ, then (f − g)∧ = 0. Then, according to (a), f − g = 0 λn -a.e., proving
(b).
Theorem 2.60 (Plancherel). Let n ∈ N.
(a) Fourier transform is an L2 -isometry. More precisely, if f ∈ L1C (λn ) ∩ L2C (λn ), then
fˆ ∈ L2C (λn ) and Z Z
2 n
|f | dλ = |fˆ|2 dλn .
Rn Rn
(b) If f, g ∈ L1C (λn ) ∩ L2C (λn ), then

Z Z
f g dλ =n
fˆ ĝ dλn .
Rn Rn
Proof. (a): Consider f ∈ L1 ∩ L2 . According to Th. 2.57(d), if we let f ∗ : Rn −→ C,

f ∗ (x) := f (−x), then fc∗ = fˆ. Since f ∈ L1 , we have f ∗ ∈ L1 , and we can form
g := f ∗ f ∗ ∈ L1 . For a, b ∈ R, we know (a − b)2 = a2 − 2ab + b2 ≥ 0, which we can
apply with a := |f (x − y)|, b := |f (−y)| to obtain
1

∀ f (x − y) f (−y) ≤ |f (x − y)|2 + |f (−y)|2 .
x,y∈Rn 2
2 INTEGRATION 138
Since f ∈ L2 , this implies y 7→ f (x − y) f (−y) to be integrable for each x ∈ Rn and,

thus,
Z Z
n
∀ n g(x) = f (x − y) f (−y) dλ (y) = f (x + y) f (y) dλn (y) .
x∈R Rn Rn
We use this equation for g together with the Cauchy-Schwarz inequality (i.e. (2.49) with
p = q = 2) to estimate, for each x, x′ ∈ Rn ,
Z 2

′ 2
|g(x) − g(x )| ≤ ′ n
f (x + y) − f (x + y) |f (y)| dλ (y)
Rn
Z Z
(2.49) 2 n
≤ f (x + y) − f (x + y) dλ (y) ·
′ 2 n
|f (y)| dλ (y) ,
Rn Rn
where the right-hand side converges to 0 for x → x′ (due to Th. 2.49(b) and f ∈ L2 ).
In other words, the function g is continuous and
∀ ∃ ∀ |g(x) − g(0)| < ǫ.

ǫ∈R+ δ∈R+ x∈Bδ (0)
Once again, we consider the Dirac sequence (ϕk )k∈N of Ex. 2.53(b). We choose N ∈ N
such that supp ϕk ⊆ Bδ (0) for each k ≥ N . Then,
Z
ϕk (−x)=ϕk (x)
∀ |(g ∗ ϕk )(0) − g(0)| = g(x) − g(0) ϕk (x) dλ (x) < ǫ
n
k≥N
Rn
and we have shown Z

lim (g ∗ ϕk )(0) = g(0) = |f |2 dλn .
k→∞ Rn
Since g ∗ ϕk ∈ L1 , we may form its Fourier transform and use Th. 2.57(c) to conclude
g\∗ ϕk = (2π)n/2 ĝ · ϕ
ck ∈ L1 (since ĝ is bounded by Th. 2.57(b) and ϕ
ck ∈ L1 (e.g. due to
(2.65c), (2.66a), and Tonelli)). Thus, according to the inversion Th. 2.59(a),
∨ ∨
(2π)n/2 ĝ · ϕ
ck = g\ ∗ ϕk = g ∗ ϕk ,
where the equality even holds exactly (not merely λn -a.e.), since g ∗ ϕk is continuous by
Th. 2.54(b). Next, we apply Fatou (Prop. 2.19) together with limk→∞ ϕ ck (t) = (2π)−n/2
and ĝ = f\ ∗ f ∗ = (2π)n/2 fˆ fˆ = (2π)n/2 |fˆ|2 to obtain
Z Z Z
ˆ 2 n
|f | dλ = (2π) n/2 ˆ 2 n
ck |f | dλ ≤ lim inf
lim ϕ ck ĝ dλn
ϕ
Rn Rn k→∞ k→∞ Rn
Z
n/2 ∨
= (2π) lim inf (cϕk ĝ) (0) = lim inf (g ∗ ϕk )(0) = |f |2 dλn . (2.68)
k→∞ k→∞ Rn
2 INTEGRATION 139
In (2.68), the right-hand side is finite, showing fˆ ∈ L2 . Since kc ϕk k∞ ≤ 1, this also

shows that, instead of applying Fatou, one can actually use the dominated convergence
Th. 2.20 to obtain (2.68) with limits instead of limit inferiors and with equality instead
of the estimate, thereby proving completing the proof of (a).
(b): Since, for each u, v ∈ C, one has
1
uv = (u + v)(u + v) − (u − v)(u − v) + i (u + iv)(u − iv) − i (u − iv)(u + iv)
4
1
= |u + v|2 − |u − v|2 + i |u + iv|2 − i |u − iv|2 ,
4
(b) is a direct consequence of (a).
Example 2.61. The Plancherel Th. 2.60 can sometimes be used to evaluate integrals
in a simple manner: According to Ex. 2.58(a), for
fa : R −→ C, fa := χ]−a,a[ , a ∈ R+ ,
we have
sin(ta)
fba : R −→ C, fba (t) = 2 (2π)−1/2 .
t
Thus, for each a, b ∈ R+ ,
Z ∞ Z Z
sin(at) sin(bt) 2π Th. 2.60(b) π
2
dt = fba fbb dλ1 = fa fb dλ1 = π min{a, b}.
−∞ t 4 R 2 R
Here fa , fb ∈ L1 ∩ L2 and, even though fba , fbb are not integrable (according to Ex.
2.58(a)), fba fbb turns out to be integrable.
2.7 Change of Variables

Our mail goal in this section is to prove the change of variables theorem for (subsets of)
Rn (Th. 2.66 below). It generalizes Th. 1.73 and (2.55) regarding the transformation of
β n and λn (and corresponding integrals) with respect to affine bijective transformations
φ to general diffeomorphisms φ (see Def. and Rem. 2.64). It also partially general-
izes the one-dimensional version of [Phi16a, Th. 10.25]. The n-dimensional version is
significantly harder to prove and we will need some preparation. Still, for simplicity,
the hypothesis in Th. 2.66 will be stronger than necessary. The hypothesis that the
transformation is a diffeomorphism can be relaxed, see, e.g., [Els07, Th. V.4.10] and
[Rud87, Th. 7.26]. As shown in [Els07], one obtains [Els07, Th. V.4.10] from Th. 2.66
with not too much extra work. However, the version [Rud87, Th. 7.26] makes use of the
Brouwer fixed-point theorem of algebraic topology (see, e.g., [Oss09, 5.6.10]). We begin
our preparations:
2 INTEGRATION 140
Proposition 2.62. If (X, A, µ) is a measure space and f : X −→ [0, ∞] is measurable,

then Z
f µ : A −→ [0, ∞], (f µ)(A) := f dµ , (2.69)
A
defines a measure on (X, A).
R
Proof. We have (f µ)(∅) = ∅ f dµ = 0 and, if (Ai )i∈N is a sequence of disjoint sets in
A, then
∞
! Z ∞
! ∞ Z
[ X Cor. 2.8
X
(f µ) Ai = f χAi dµ = f χAi dµ
i=1 X i=1 i=1 X
∞ Z
X ∞
X
= f dµ = (f µ)(Ai ), (2.70)
i=1 Ai i=1
thereby establishing the case.

Definition 2.63. If µ, ν are measures on the measurable space (X, A), then a measur-
able function f : X −→ [0, ∞] is called a density of ν with respect to µ if, and only if,
ν = f µ with f µ as in (2.69).
Definition and Remark 2.64. Let n ∈ N and let O, U ⊆ Rn be open. A bijective
map φ : O −→ U is called a C 1 -diffeomorphism if, and only if, both φ and φ−1 are
continuously differentiable. If φ and φ−1 are differentiable, then, by the chain rule,

∀ D(φ−1 ) φ(x) ◦ Dφ(x) = Id,
x∈O

showing all Dφ(x) and all D(φ−1 ) φ(x) to be invertible (i.e. they have nonzero de-
terminants). Thus, by the inverse function theorem ([Phi16b, Th. 4.50]), a bijective
continuously differentiable map φ : O −→ U is a C 1 -diffeomorphism if, and only if,
det Dφ has no zeros.
Definition and Remark 2.65. Let n ∈ N. Given a measure space (Rn , A, µ) and
A ∈ A, we introduce the abbreviations
AA := A|A, µA := µ↾AA .
Let O, U ⊆ Rn be open. If φ : O −→ U is a homeomorphism (in particular, if φ is a
C 1 -diffeomorphism), then
BUn = {φ(A) : A ∈ BO
n
}:
Indeed, both φ and φ−1 : U −→ O are continuous and, thus, Borel-measurable. Thus,
if A ∈ BOn
, then φ(A) = (φ−1 )−1 (A) ∈ BUn . On the other hand, if B ∈ BUn , then
−1 n
A := φ (B) ∈ BO , implying B = φ(A).
2 INTEGRATION 141
Theorem 2.66 (Change of Variables). Let n ∈ N. Consider (Rn , A, µn ), n ∈ N, where

(A, µn ) is either (B n , β n ) or (Ln , λn ). Let O, U ⊆ Rn be open and let φ : O −→ U be a
C 1 -diffeomorphism.
(a) |det(Dφ)|−1 is a density of φ(µnO ) with respect to µnU , i.e.
φ(µnO ) = |det(Dφ)|−1 µnU , (2.71a)

Z
−1

∀ n
µ φ (B) = |det(Dφ)|−1 dµn (2.71b)
B∈AU
ZB
n

∀ µ φ(A) = | det(Dφ)| dµn . (2.71c)
A∈AO A
(b) f ∈ M+ (U, AU ) or f : U −→ K̂ is µn -integrable if, and only if, (f ◦ φ)| det(Dφ)|

has the corresponding property with respect to O and, in that case,
Z Z
f dµ = (f ◦ φ)| det(Dφ)| dµn .
n
(2.72)
U O
(c) Let A ∈ AO . If f ∈ M+ (φ(A), Aφ(A) ) or f : φ(A) −→ K̂ is µn -integrable, then

(2.72) holds with (O, U ) replaced by (A, φ(A)).
Proof. We consider the countable semiring

( ∞
)
[
S := ]a, b] : a, b ∈ 2−k Zn , a ≤ b, [a, b] ⊆ O
k=1
(S is countable as the set of admissible interval endpoints is countable; that S is a

semiring follows, for n = 1, in the same manner as in Ex. 1.16(b) and, then, for n > 1,
from Prop. 1.17(a)). Since every open subset of O is the (countable) union of sets from
n
S, we have σ(S) = BO . We divide the proof into several steps: The first step consists
of showing that (2.71c) holds with ≤ for each A ∈ S. This already contains the main
work of the proof.
Claim 1. Z

∀ β φ(I) ≤ | det(Dφ)| dβ n .
n
I∈S I
Proof. Let ǫ > 0. The key idea is to write I ∈ S as the union of sufficiently small
intervals Iν and, on each Iν , to approximate φ by a suitable affine map xν + Lν . It will
be convenient to use the max-norm k·kmax = k·k∞ on Rn . Recalling Dφ(x), D(φ−1 )(x) ∈
2 2
Rn , it would also be convenient to use the corresponding operator norm k · k∞ on Rn ,
2 INTEGRATION 142
2
since it satisfies kT (x)k∞ ≤ kT k∞ kxk∞ for each T ∈ Rn and each x ∈ Rn . But
if one is not familiar with the concept of an operator norm, one can avoid it, one
2
can recall from [Phi16b, Lem. 5.4] that there exists a norm k · kHS on Rn , satisfying
2
kT (x)k2 ≤ kT kHS kxk2 for each T ∈ Rn and each x ∈ Rn . Thus, given an arbitrary
2
norm k · k on Rn , by the equivalence of norms, there exists a constant c0 ∈ R+ such
that
∀ 2 ∀ n kT (x)k∞ ≤ c0 kT k kxk∞ .
T ∈Rn x∈R
In other words, using balls with respect to k · k∞ ,
∀ ∀ T (Bρ (0)) ⊆ Bc0 kT kρ (0). (2.73)

T ∈Rn
2 ρ>0
For a ∈ I, consider the map

ha : O −→ Rn , ha (x) := φ(x) − Dφ(a) (x),
2
Dha : O −→ Rn , Dha (x) := Dφ(x) − Dφ(a).
Due to [Phi16b, Th. 4.38], there exists a constant c1 ∈ R+ such that, given an open
convex set C ⊆ O and α ∈ R+ with

∀ ∀ Dha (x) ≤ α,
a∈I x∈C
each ha is (c1 α)-Lipschitz on C with respect to k · k∞ , i.e.
∀ ∀ kha (x) − ha (y)k∞ ≤ c1 α kx − yk∞ . (2.74)

a∈I x,y∈C
On the compact set I ⊆ O, the continuous map x 7→ k(Dφ(x))−1 k attains its max

M := max k(Dφ(x))−1 k : x ∈ I ∈ R+ . (2.75)
Since I ⊆ O, we have dist(I, Oc ) > 0 and we may choose s > 0 such that

Ks := x ∈ Rn : dist(x, I) ≤ s ⊆ O
(as we compute dist with respect to k · k∞ , Ks is even an interval). Since Ks is a closed

2
and bounded subset of Rn , Ks is compact. Since the continuous map Dφ : O −→ Rn ,
x 7→ Dφ(x), is uniformly continuous on the compact set Ks (cf. [Phi16b, Th. 3.20]),
there exists 0 < r ≤ s such that

∀ ∀ Dφ(x) − Dφ(a) ≤ ǫ . (2.76)
a∈I x∈B r (a) c1 M
2 INTEGRATION 143
Since r ≤ s, we have B r (a) ⊆ Ks for each a ∈ I. According to (2.76),

∀ ∀ Dha (x) ≤ ǫ
a∈I x∈B r (a) c1 M
and (2.74) yields
ǫ
∀ ∀ kha (x) − ha (y)k∞ ≤ kx − yk∞ . (2.77)
a∈I x,y∈Br (a) M
We now choose m ∈ N sufficiently large such that I =]a, b] with a, b ∈ 2−m Zn . We can
then write
[˙ N
I= Iν , N ∈ N,
ν=1
with each Iν ∈ S being a hypercube with side length d := 2−m . Then β n (Iν ) = 2−mn and
β n (I) = N dn . By possibly enlarging m, we may assume diam Iν < r. Since det(Dφ) is
continuous on the compact set I ν , for each ν ∈ {1, . . . , N }, we may choose aν ∈ I ν such
that n o
det(Dφ)(aν ) = min det(Dφ)(x) : x ∈ I ν . (2.78)
We apply (2.77) with y := aν to obtain, for each ν ∈ {1, . . . , N } and each x ∈ Iν (using
Iν ⊆ Br (aν ) due to diam Iν < r)

φ(x) − φ(aν ) − Dφ(aν ) (x − aν ) = khaν (x) − haν (aν )k∞ ≤ ǫ kx − aν k∞ < ǫ d .
∞ M M
Letting Tν := Dφ(aν ) and y := φ(x) − φ(aν ) − Tν (x − aν ) ∈ B ǫ d (0), this shows
M
φ(x) = φ(aν ) + Tν (x − aν ) + y and φ(Iν ) ⊆ φ(aν ) + Tν (Iν − aν ) + B ǫ d (0).

M
Moreover,
(2.73), (2.75)
B ǫ d (0) = Tν Tν−1 (B ǫ d (0)) ⊆ Tν (Bc0 ǫ d (0)),
M M
implying
φ(Iν ) ⊆ φ(aν ) + Tν Iν − aν + Bc0 ǫ d (0) .
Now note that the set Iν − aν + Bc0 ǫ d (0) is contained in a hypercube with side length
d + 2 c0 ǫ d = d(1 + 2 c0 ǫ). In consequence, we obtain
(1.47b)
β n φ(Iν ) ≤ | det Tν | dn (1 + 2 c0 ǫ)n = | det Tν | (1 + 2 c0 ǫ)n β n (Iν )
and
N
X N
X
n n
n
β (φ(I)) = β φ(Iν ) ≤ (1 + 2 c0 ǫ) | det Tν | β n (Iν )
ν=1 ν=1
(2.78)
Z
≤ (1 + 2 c0 ǫ)n | det(Dφ)| dβ n .
I
Since ǫ > 0 was arbitrary, this concludes the proof of Cl. 1. N
2 INTEGRATION 144
Claim 2. Z
n

∀ n
β φ(A) ≤ | det(Dφ)| dβ n .
A∈BO A
Proof. The statement of Cl. 2 is precisely that (β n )φ−1 ≤ | det(Dφ)|β n holds for the two
n
measures on BO . However, from Cl. 1, we already know that the measures’ respective
restrictions to the generating semiring S satisfy the inequality. Since the measures are
also σ-finite on S, the validity of Cl. 2 is due to Cor. 1.46(b). N
Claim 3. Z Z
n
∀ n)
f dβ ≤ (f ◦ φ)| det(Dφ)| dβ n .
f ∈M+ (U,BU U O
Proof. Let f = χB for B ∈ BUn , A := φ−1 (B). Then

Z Z Z
n n n
Cl. 2
χB dβ = β (B) = β φ(A) ≤ | det(Dφ)| dβ = (χB ◦ φ)| det(Dφ)| dβ n ,
n
U A O
proving Cl. 3 for measurable characteristic functions. It then also holds for each simple
function f ∈ S + (U, BUn ) by the linearity of the integral. For a general f ∈ M+ (U, BUn ), we
choose a sequence (fk )k∈N in S + (U, BUn ) with fk ↑ f and use the monotone convergence
Th. 2.7 to estimate
Z Z Z Z
n n n MCT
f dβ = lim fk dβ ≤ lim (fk ◦ φ)| det(Dφ)| dβ = (f ◦ φ)| det(Dφ)| dβ n
U k→∞ U k→∞ O O
concluding the proof of Cl. 3. N

Claim 4. Z Z
n
∀ n)
f dβ = (f ◦ φ)| det(Dφ)| dβ n .
f ∈M+ (U,BU U O
Proof. We apply Cl. 3 with φ−1 instead of φ and (f ◦ φ)| det(Dφ)| instead of f to obtain
Z Z Z
n
−1 −1 n
(f ◦ φ)| det(Dφ)| dβ ≤ (f ◦ φ)| det(Dφ)| ◦ φ | det(Dφ )| dβ = f dβ n ,
O U U
−1

since (Dφ) φ ◦ Dφ−1 = Id by the chain rule. The inequality just proved, together
with the one of Cl. 3, establishes Cl. 4. N
n
Applying Cl. 4 to f = χA with A ∈ BO , we obtain (2.71c) for (A, µn ) = (B n , β n ). In
particular, (2.71c) then says that β n (A) = 0 if, and only if, β n (φ(A)) = 0, showing that
φ provides a bijection between β n -null sets, also implying φ to be λn -measurable. In
consequence, (2.71c) also holds for (A, µn ) = (Ln , λn ). We then obtain (2.71b) (which is
2 INTEGRATION 145
equivalent to (2.71a)) by applying (2.71c) with φ−1 instead of φ, completing the proof of
(a). According to Cl. 4, (b) holds for (A, µn ) = (B n , β n ) and f ≥ 0. If f ∈ M+ (U, LnU ),
then, by Prop. G.3, there exists g ∈ M+ (U, BUn ), such that g = f β n -a.e. Then
Z Z Z Z
n
f dλ = g dβ = (g ◦ φ)| det(Dφ)| dβ = (f ◦ φ)| det(Dφ)| dλn ,
n n
U U O O
where the last equality makes, again, use of the fact that φ maps β n -null sets to β n -null
sets. We have, thus, proved (2.72) for f ∈ M+ (U, LnU ). The µn -integrable case then
also follows, in the usual way, by decomposing f into (Re f )± and (Im f )± , completing
the proof of (b). Finally, (c) is obtained by applying (b) with f replaced by g with
(
f (x) for x ∈ φ(A),
g : U −→ K̂, g(x) :=
0 otherwise.
This concludes the proof of the theorem.
Example 2.67. Let
O := R+ ×]0, 2π[, U := R2 \ {(x, 0) : x ≥ 0}. (2.79)
As shown in Sec. H of the Appendix, the function defining polar coordinates, i.e.
φ : O −→ U, φ(r, ϕ) := (r cos ϕ, r sin ϕ), (2.80)
constitutes a C 1 -diffeomorphism with det Dφ(r, ϕ) = r for each (r, ϕ) ∈ O. Since
{(x, 0) : x ≥ 0}, {0} × [0, 2π], R+ + 2
0 × {0}, and R0 × {2π} all are λ -null sets, we can use
+ 2 2
Th. 2.66(b) to conclude, for each f ∈ M (R , L ),
Z Z
2
f dλ = f (r cos ϕ, r sin ϕ) r dλ2 (r, ϕ) . (2.81)
R2 O
Moreover, f : R2 −→ K̂ is λ2 -integrable if, and only if, (r, ϕ) 7→ r f (r cos ϕ, r sin ϕ) is

λ2 -integrable, and then (2.81) holds. We can use (2.81) in combination with Fubini to
give a third proof of Z ∞
2 √
e−x dx = π : (2.82)
−∞
We compute
Z ∞ 2 Z Z
−x2 −x2 −y 2 (2.81) 2
e dx = e 2
dλ (x, y) = r e−r dλ2 (r, ϕ)
−∞ R2 O
Z ∞ Z 2π Z ∞ ∞
−r 2 −r 2 1 −r2
= r e dϕ dr = 2π r e dr = 2π − e = π,
0 0 0 2 0
proving (2.82).
3 INTEGRATION OVER SUBMANIFOLDS OF RN 146
3 Integration Over Submanifolds of Rn
3.1 Submanifolds of Rn
Roughly speaking, a k-dimensional submanifold of Rn is a subset that, locally, looks
like an open subset of Rk . There are a number of equivalent ways of making this idea
precise, see Def. 3.1 and Th. 3.4 below.
Definition 3.1. Let k, n ∈ N, k < n, α ∈ N ∪ {∞}. A set M ⊆ Rn is called a k-

dimensional submanifold of class C α if, and only if, for each a ∈ M , there exists an open
neighborhood Oa ⊆ Rn of a and a map f a ∈ C α (Oa , Rn−k ), satisfying the following two
conditions
(a) M ∩ Oa = (f a )−1 ({0}),
(b) rk Df a (a) = n − k, i.e. the n − k vectors ∇ f1a (a), . . . , ∇ fn−k

a
(a) are linearly inde-
pendent elements of Rn .
Submanifolds of dimension k = 1 are called paths, curves or lines; submanifolds of

dimension k = 2 are called surfaces, submanifolds of dimension k = n − 1 are called
hypersurfaces.
Example 3.2. Let n ∈ N, n ≥ 2.
(a) Perhaps the most simple submanifolds of Rn are its affine subspaces: Let k ∈ N,
k < n, and let V ⊆ Rn be a k-dimensional vector space over R. Moreover, let
xM ∈ Rn and M := V + xM . Then M is a k-dimensional submanifold of Rn of class
C ∞ : Let {v1 , . . . , vn } be a basis of Rn such that {v1 , . . . , vk } is a basis of V . Let
A : Rn −→ Rn−k be the linear map defined by
(
0 for i ∈ {1, . . . , k},
A(vi ) :=
vi for i ∈ {k + 1, . . . , n},
and
f : Rn −→ Rn−k , f (x) := A(x − xM ).
We can now let, for each a ∈ M , Oa := Rn , f a := f . We verify Def. 3.1(a),(b) to be
satisfied: First note that f is C ∞ , since f is the composition of a translation with
a linear map, f = A ◦ T−xM . Moreover, for each x ∈ Rn ,
f (x) = A(x − xM ) = 0 ⇔ x − xM ∈ V ⇔ x ∈ V + xM = M,
proving Def. 3.1(a); and
rk Df (x) = rk A = n − k,
proving Def. 3.1(b).
(b) Each Euclidean sphere is an (n − 1)-dimensional submanifold of Rn : Let xM ∈ Rn

and r > 0, M := {x ∈ Rn : kx − xM k2 = r}. As in (a), for each a ∈ M , we may
take Oa := Rn and the same f a := f for each a ∈ M , where
n
X
n
f : R −→ R, f (x) := kx − xM k22 −r = 2
(xi − xM,i )2 − r2 .
i=1
Since f is a polynomial, it is C ∞ . Since
M = {x ∈ Rn : f (x) = 0},
Def. 3.1(a) is satisfied. Since

∀n Df (x) = ∇ f (x) = 2 x1 − xM,1 , . . . , xn − xM,n ,
x∈R
Df (x) 6= 0 for each x 6= xM . In particular, rk Df (a) = 1 for each a ∈ M .
Definition 3.3. Let n ∈ N, α ∈ N ∪ {∞}.
(a) Let O, U ⊆ Rn be open. A bijective map F : O −→ U is called a C α -diffeomorphism

if, and only if, F ∈ C α (O, Rn ) and F −1 ∈ C α (U, Rn ).
(b) Let k ∈ N, k ≤ n, and let O ⊆ Rk be open. A map φ ∈ C α (O, Rn ) is called a

C α -immersion if, and only if,
∀ rk Dφ(x) = k (3.1)
x∈O
(i.e., for each x ∈ O, the k vectors ∂1 φ(x), . . . , ∂k φ(x) are linearly independent
elements of Rn ).
(c) Let π ∈ Sn be a permutation of {1, . . . , n}. Then, clearly,
Pπ : Rn −→ Rn , Pπ (x1 , . . . , xn ) := (xπ(1) , . . . , xπ(n) ), (3.2)
the map that reorders the variables according to π, is a linear isomorphism (in
particular, a C ∞ -diffeomorphism).
Theorem 3.4. Given k, n ∈ N with k < n, α ∈ N ∪ {∞}, and M ⊆ Rn , the following

(i) M is a k-dimensional submanifold of class C α .
(ii) M can, locally, be represented as the graph of a C α -function, depending on k vari-

ables, i.e., for each a ∈ M , there exists a permutation π a ∈ Sn and open neigh-
borhoods Aa and Ba of αa and β a , respectively, where αa := (aπa (1) , . . . , aπa (k) ),
β a := (aπa (k+1) , . . . , aπa (n) ), i.e.
αa ∈ Aa ⊆ Rk , β a ∈ Ba ⊆ Rn−k ,
plus a C α -map g a : Aa −→ Ba , satisfying

M ∩ Pτ a (Aa × Ba ) = Pτ a (x, y) ∈ Aa × Ba : y = g a (x) , τ a := (π a )−1 . (3.3)
(iii) For each a ∈ M , there exists an open neighborhood Va ⊆ Rn , an open set Ua ⊆ Rn ,

and a C α -diffeomorphism F a : Va −→ Ua , satisfying
F a (M ∩ Va ) = Ek ∩ Ua , (3.4)
where
Ek := {x ∈ Rn : xk+1 = · · · = xn = 0}. (3.5)
(iv) For each a ∈ M , there exists an M -open neighborhood Ma ⊆ M (open with re-
spect to the relative topology on M ), an open set Wa ⊆ Rk , and a C α -immersion
φa : Wa −→ Rn , such that Ma = φa (Wa ) and φa : Wa −→ Ma is a homeomor-
phism. The maps φa are called (local) charts or (local) parametrizations or (local)
coordinates of M .
Proof. (i) ⇒ (ii): Given a ∈ M , let f a : Oa −→ Rn−k be according to Def. 3.1. Since
rk Df a (a) = n − k, there exists π a ∈ Sn such that
 
∂πa (k+1) f1a · · · ∂πa (n) f1a
 .. .. 
det  . .  (a) 6= 0.
a a
∂πa (k+1) fn−k · · · ∂πa (n) fn−k
Let Ga := Pπa (Oa ). Then Ga ⊆ Rn is open by [Phi16b, Cor. 4.51]. Let τ a := (π a )−1 .
Then Pτ a (Ga ) = Oa , Pτ a (αa , β a ) = a. If we let

ha : Ga −→ Rn−k , ha (x, y) := f a Pτ a (x, y) , x ∈ Rk , y ∈ Rn−k ,
then, by the chain rule,

Dha (αa , β a ) = Df a Pτ a (αa , β a ) Pτ a = Df a (a)Pτ a
 
∂πa (1) f1a · · · ∂πa (k+1) f1a · · · ∂πa (n) f1a
 .. .. .. 
= . . .  (a)
a a a
∂πa (1) fn−k · · · ∂πa (k+1) fn−k · · · ∂πa (n) fn−k
(in matrix form, Pτ a is a permutation matrix that such that right multiplication of A by
Pτ a permutes the columns of A according to (τ a )−1 = π a ). Thus, ha (αa , β a ) = f a (a) = 0,
det Dy ha (αa , β a ) 6= 0, and the implicit function theorem [Phi16b, Th. 4.49] provides open
neighborhoods Aa ⊆ Rk of αa and Ba ⊆ Rn−k of β a , and a C α -map g a : Aa −→ Ba such
that
(Aa × Ba ) ∩ (ha )−1 {0} = (x, y) ∈ Aa × Ba : y = g a (x) .
Then
z ∈ M ∩ Pτ a (Aa × Ba ) ⇔ z ∈ (f a )−1 ({0}) ∩ P(πa )−1 (Aa × Ba )
⇔ Pπa (z) ∈ (ha )−1 ({0}) ∩ (Aa × Ba )

⇔ Pπa (z) ∈ (x, y) ∈ Aa × Ba : y = g a (x)

⇔ z ∈ Pτ a (x, y) ∈ Aa × Ba : y = g a (x) ,
proving (ii).
(ii) ⇒ (iii): Given a ∈ M , let π a ∈ Sn , (αa , β a ) = Pπa (a), Aa ⊆ Rk , Ba ⊆ Rn−k , and
g a : Aa −→ Ba be according to (ii). Define τ a := (π a )−1 , Va := Pτ a (Aa × Ba ). Then Va
is an open neighborhood of a and we define

F a : Va −→ Rn , F a (z) := x, y − g a (x) , where (x, y) := Pπa (z).
Then g a being C α implies F a to be C α . Moreover, det F a ≡ 1, since
 
 Idk 0 
 
 
DF = 
a

 Pπa .

 
 −Dg a Idn−k 
Then Ua := F a (Va ) is open by [Phi16b, Cor. 4.51] and F a : V a −→ Ua constitutes a

C α -diffeomorphism. Finally,

z ∈ F a (M ∩ Va ) ⇔ z ∈ F a M ∩ Pτ a (Aa × Ba )
(3.3)
⇔ z ∈ F a Pτ a (x, y) ∈ Aa × Ba : y = g a (x)
⇔ z ∈ Ek ∩ Ua ,
proving (iii).
(iii) ⇒ (i): For a ∈ M , let F a : Va −→ Ua be given by (iii) such that (3.4) holds. We
set Oa := Va and define
f a : Oa −→ Rn−k , ∀ fja := Fk+j

a
. (3.6)
j∈{1,...,n−k}
Then f a is C α , since F a is C α ; rk Df a (a) = n − k, since rk DF a (a) = n (using that F a

is a diffeomorphism). Moreover, for each x ∈ Rn ,
f a (x) = 0 ⇔ Fk+1
a
(x) = · · · = Fna (x) = 0 ⇔ F (x) ∈ Ek ∩ Ua ⇔ x ∈ M ∩ Oa ,
proving M ∩ Oa = (f a )−1 ({0}) and, therefore, that M is a k-dimensional submanifold

of class C α .
(ii) ⇒ (iv): Given a ∈ M , let π a ∈ Sn , (αa , β a ) = Pπa (a), Aa ⊆ Rk , Ba ⊆ Rn−k , and
g a : Aa −→ Ba be according to (ii). Define τ a := (π a )−1 , Wa := Aa , and
φa : Wa −→ Rn , φa (x) := Pτ a (x, g a (x)).
Then φa is C α , since g a is C α . As, clearly, rk Dφa = k, φa is a C α -immersion. Set

Ma := φa (Wa ). Then φa (αa ) = Pτ a (αa , β a ) = a, shows a ∈ Ma . Due to (3.3), we have

Ma = Pτ a (x, y) ∈ Aa × Ba : y = g a (x) = M ∩ Pτ a (Aa × Ba ),
showing Ma to be M -open. Since
(φa )−1 : Ma −→ Wa , (φa )−1 (z) = x, where (x, y) := Pπa (z),
is, clearly, continuous, φa : Wa −→ M a is a homeomorphism, proving (iv).

(iv) ⇒ (iii): Given a ∈ M , let Wa ⊆ Rk , φa : Wa −→ Rn , Ma = φa (Wa ) be according
to (iv). Since Ma is M -open, there exists Oa ⊆ Rn such that Ma = M ∩ Oa . Let c ∈ Wa
be such that φa (c) = a. Since rk Dφa (c) = k, there exists π a ∈ Sn such that
 
∂1 φaπa (1) · · · ∂k φaπa (1)
 .. .. 
det  . .  (c) 6= 0.
∂1 φaπa (k) · · · ∂k φaπa (k)
According to the inverse function theorem [Phi16b, Th. 4.50] there exist open sets
Aa , Ba ⊆ Rk such that c ∈ Aa ⊆ Wa and

ϕ̃a : Aa −→ Ba , ϕ̃a (x) := φaπa (1) (x), . . . , φaπa (k) (x) ,
is a C α -diffeomorphism. Let Ua := Aa × Rn−k and define, with (x, y) ∈ Aa × Rn−k ,
ϕa : Ua −→ Ba × Rn−k ,
(
φaπa (j) (x) for 1 ≤ j ≤ k,
ϕaj (x, y) := a
φπa (j) (x) + yi for j = k + i, 1 ≤ i ≤ n − k,
τ a := (π a )−1 , and
Ga : Ua −→ Rn , Gaj (z) := ϕaτa (j) (z).
Then Ga is C α , since φa is C α . Moreover, det DGa = det Dϕ̃a 6= 0, since
 
 Dϕ̃a 0 
 
 
DG = Pτ a 
a

.

 
 Dx (ϕak+1 , . . . , ϕan ) Idn−k 
In particular, Va := Ga (Ua ) is open by [Phi16b, Cor. 4.51] and Ga : Ua −→ Va is a

C α -diffeomorphism. Then F a := (Ga )−1 : Va −→ Ua is a C α -diffeomorphism as well.
Since Ga (c, 0) = φa (c) = a, it only remains to show (3.4), i.e.
Ga (Ek ∩ Ua ) = M ∩ Va .
To prove this equality, note
z ∈ Ga (Ek ∩ Ua ) ⇔ z ∈ Ga (Aa × {0}) ⇔ z ∈ φa (Wa ) ∩ Va ⇔ z ∈ M ∩ Va ,
showing (iii) and completing the proof of the theorem.
Theorem 3.5 (Chart Transition). Let k, n ∈ N with k < n, α ∈ N ∪ {∞}, and let M ⊆
Rn be a k-dimensional submanifold of class C α . For j ∈ {1, 2}, let φj : Wj −→ Mj ⊆ M
be local charts according to Th. 3.4(iv), i.e. Wj ⊆ Rk open, the Mj are M -open, and
both φj are C α -immersions as well as homeomorphisms. Suppose V := M1 ∩ M2 6= ∅.
Then Oj := φ−1j (V ) ⊆ Wj are open and
τ := φ−1
2 ◦ φ1 : O1 −→ O2 (3.7)
is a C α -diffeomorphism. The map τ is then also called a transition between the charts
φ1 and φ2 (note φ1 = φ2 ◦ τ on O1 ).
Proof. Since V is M -open and φj are continuous, both Oj are open. Clearly, τ is bijective
(injective, since the φj are injective, surjective by the choice of the Oj ). Since φ−1
2 is not
a C α -map defined on an open subset of Rn , we can not directly apply the chain rule,
but have to work slightly harder. Fix an arbitrary c1 ∈ O1 and set
a := φ1 (c1 ), c2 := φ−1
2 (a) = τ (c1 ).
Since V is M -open, there exists Ũ ⊆ Rn open such that V = Ũ ∩ M . Since a ∈ V , by

Th. 3.4(iii), there exist open sets Va , Ua ⊆ Rn such that a ∈ Va ⊆ Ũ and there exists a
C α -diffeomorphism F a : Va −→ Ua , satisfying
F a (M ∩ Va ) = Ek ∩ Ua .
We also have M ∩ Va ⊆ M ∩ Ũ = V . Let W̃j := φ−1

j (M ∩ Va ) and define

g : W̃1 −→ Rk , g(x) := (F a ◦ φ1 )1 , . . . , (F a ◦ φ1 )k (x),

h : W̃2 −→ Rk , h(x) := (F a ◦ φ2 )1 , . . . , (F a ◦ φ2 )k (x).
Now we are in a situation, where the chain rule applies (to g and to h), yielding
∀ Dg(x) = P ◦ DF a (φ1 (x)) ◦ Dφ1 (x),

x∈W̃1
∀ Dh(x) = P ◦ DF a (φ2 (x)) ◦ Dφ2 (x),

x∈W̃2
where P denotes the projection from Rn to Rk . Since rk Dφj (x) = k, Dφj must be
injective. Since F a is a diffeomorphism, D(F a ◦ φj ) must still be injective. Since φj
maps into M ∩ Va and F a maps M ∩ Va into Ek (i.e. the last n − k components of F a ◦ φj
are identically 0 on W̃1 ), both Dg(x) and Dh(x) must be surjective as well as injective,
showing g : W̃1 −→ g(W̃1 ) and h : W̃2 −→ g(W̃2 ) to be C α -diffeomorphisms. Thus,
τ ↾W̃1 = (φ−1
2 ◦ φ1 )↾W̃1 = h
−1
◦g
must be a C α -diffeomorphisms as well. We have shown that, for each c1 ∈ O1 , there

exists an open neighborhood W̃1 of c1 such that τ is a C α -diffeomorphism on W̃1 . Since
τ is also bijective on all of O1 , it must be a C α -diffeomorphism on all of O1 by Def. and
Rem. 2.64 (det Dτ has no zeros on O1 ).
Theorem 3.6. Let k, n ∈ N with k < n and let M ⊆ Rn be a k-dimensional submanifold
of class C 1 . Then the following holds:
(a) M is the union of countably many compact sets.
(b) M ∈ B n , i.e. M is β n -measurable (one can also show that M is even a β n -null set).
Proof. (a): Recall that each open set O ⊆ Rn is the countable union of compact intervals,
n
for example of intervals from the set C := Ic,Q (defined in Ex. 1.8(c)). Let a ∈ M and let
Oa , f a ∈ C 1 (Oa , Rn−kS) be according to Def. 3.1. Then, there exists a sequence (Iia )i∈N
in C such that Oa = i∈N Iia . Thus,
[
M ∩ Oa = M ∩ Oa ∩ Iia .
i∈N
Since C is countable, so is CM := {Iia : a ∈ M, i ∈ N}. Let (Ii )i∈N be an enumeration of

all elements in CM . For each i ∈ N, choose ai ∈ M such that Ii = Iiai . Then
[ [ [ Def. 3.1(a) [

M =M∩ Iiai = (M ∩ Iiai ) = (M ∩ Oai ∩ Iiai ) = (f a )−1 ({0}) ∩ Iiai .
i∈N i∈N i∈N i∈N
Since f a is continuous, (f a )−1 ({0}) is closed. As Iiai is compact, (f a )−1 ({0}) ∩ Iiai is
compact as well, proving (a).
(b) follows from (a), as each compact set is in B n .
3.2 Metric Tensor, Gram Determinant

Before we can integrate over submanifolds, we still need to introduce the metric tensor
and the Gram determinant as technical tools.
Definition 3.7. Let k, n ∈ N with k < n and let M ⊆ Rn be a k-dimensional sub-
manifold of class C 1 . Moreover, let φ : W −→ V ⊆ M be a local chart according to
Th. 3.4(iv), i.e. W ⊆ Rk open, V is M -open, and φ is a C 1 -immersion as well as a
homeomorphism. Then the matrix-valued function
2
G := G(φ) : W −→ Rk , G(x) := (Dφ(x))t Dφ(x), (3.8)
is called the chart’s Gram matrix or its metric tensor. If we denote the columns of Dφ
by ∂i φ, then we can write the components gij of G as follows:
n
X
∀ ∀ gij (x) = h∂i φ(x), ∂j φ(x)i = ∂i φν (x) ∂j φν (x). (3.9)
x∈W i,j∈{1,...,k}
ν=1
The map
γ := γ(φ) : W −→ R, γ(x) := det G(x), (3.10)
is called the chart’s Gram determinant.
Theorem 3.8. Let k, n ∈ N with k < n and let M ⊆ Rn be a k-dimensional submanifold
of class C 1 .
(a) Let φ : W −→ V ⊆ M be a local chart according to Th. 3.4(iv), i.e. W ⊆ Rk

open, V is M -open, and φ is a C 1 -immersion as well as a homeomorphism. Then
2
its Gram matrix G = G(φ) : W −→ Rk is symmetric positive definite and, in
consequence, its Gram determinant γ = γ(φ) : W −→ R is actually R+ -valued.
(b) For j ∈ {1, 2}, let φj : Oj −→ V ⊆ M be local charts, i.e. Oj ⊆ Rk open,
V is M -open, and both φj are C 1 -immersions as well as homeomorphisms. Let
γj := γj (φj ) : Oj −→ R+ be the corresponding Gram determinants. Moreover, let
τ = φ−12 ◦ φ1 : O1 −→ O2 be the corresponding chart transition according to Th.
3.5 (i.e. φ1 = φ2 ◦ τ ). Then the following formula for the transition of the Gram
determinant holds:

∀ γ1 (x) = | det Dτ (x)|2 γ2 τ (x) . (3.11)
x∈O1
Proof. (a): Let x ∈ W and set A := Dφ(x). Then G(x) = At A, i.e. G(x)t = (At A)t =
At A = G(x), showing G(x) to be symmetric. If 0 6= y ∈ Rk , then y t G(x)y = y t At Ay =
kAyk2 > 0, since y 6= 0 and A injective (since rk A = k) imply Ay 6= 0. Thus, G(x) is
positive definite. In particular, γ(x) = det G(x) > 0.
(b): For each x ∈ O1 , we have, by the chain rule,
Dφ1 (x) = Dφ2 (τ (x)) Dτ (x).
Thus,
t t
G(φ1 )(x) = Dφ2 (τ (x)) Dτ (x) Dφ2 (τ (x)) Dτ (x) = Dτ (x) G(φ2 )(τ (x))Dτ (x),
implying (3.11).
3.3 Integration Over Submanifolds

If M ⊆ Rn is a k-dimensional submanifold, then the goal is to integrate f : M −→ K̂
over M . Since, locally, M “looks like” an open set of Rk , we would like to integrate
with respect to a measure that, locally, “looks like” β k (or λk ) on Rk . The natural idea
is to transport the measure from Rk to M via local charts. While this does work, some
subtleties arise: One has to make sure that the measure does not depend on the choice
of local chart. To achieve this, the Gram determinant of the previous section comes
into play. The other issue one has to deal with are overlapping charts (M might not
be coverable with just one chart), and here one makes use of a so-called partition of
unity, see Def. 3.9(b) below. For simplicity, we will only consider submanifolds that are
coverable by finitely many local charts. The treatment in [Kön04, Sec. 11.4, 11.5] shows
that this assumption is not really necessary.
Definition 3.9. Let k, n ∈ N with k < n and let M ⊆ Rn be a k-dimensional subman-

ifold of class C 1 .
S charts φi : Wi −→ Mi ⊆ M is called a (finite) cover of M

(a) A family (φi )i∈I of local
if, and only if, M = i∈I Mi (with I finite). Moreover, M is called finitely coverable
if, and only if, there exists a finite cover of local charts for M .
(b) Given a finite cover C := (φ1 , . . . , φN ), N ∈ N, of local charts for M , a family of

functions (η1 , . . . , ηN ), ηi : M −→ R, is called a partition of unity subordinate to C
if, and only if, the following conditions are satisfied:
(i) 0 ≤ ηi ≤ 1 for each i ∈ {1, . . . , N }.

(ii) ηi ↾M \Mi ≡ 0 for each i ∈ {1, . . . , N }.
PN
(iii) i=1 ηi ≡ 1.
We call the partition of unity measurable if, and only if, each function ηi ◦ φi is
λk -measurable.
(c) Let C := (φ1 , . . . , φN ), N ∈ N, be a finite cover of M via local charts. A function

f : M −→ K̂ is called σ-measurable (or merely measurable if the context is clear) if,
and only if, (f ◦ φi ) is λk -measurable for each i ∈ {1, . . . , N }. If f : M −→ [0, ∞] is
measurable and (η1 , . . . , ηN ) constitutes a measurable partition of unity subordinate
to C, then we define the integral
Z N Z
X p
f dσ := ((ηi f ) ◦ φi ) γ(φi ) dλk , (3.12)
M i=1 Wi
where γ(φi ) denotes the Gram determinant of φi (recall that γ(φi ) is R+ -valued).
If A ⊆ M and χA is σ-measurable, then we call A σ-measurable and define
Z
σ(A) := χA dσ . (3.13)
M
R
We call f : M −→ K̂ σ-integrable if, and only if, f is σ-measurable and M g dσ <
∞ for each g ∈ {(Re f )+ , (Re f )− , (Im f )+ , (Im f − )}. In that case, we define
Z Z Z Z Z
−
f dσ := +
(Re f ) dσ − (Re f ) dσ + i +
(Im f ) dσ − i (Im f )− dσ .
M M M M M
(3.14)
Example 3.10. Let k, n ∈ N with k < n and let M ⊆ Rn be a k-dimensional subman-
ifold of class C 1 .
(a) If M is the homeomorphic image of a C 1 -immersion φ : W −→ M , W ⊆ Rk , then

M is finitely coverable (coverable by the single local chart φ). Special cases are now
considered in (b) and (c).
(b) Let I ⊆ R be a nonempty open interval and let φ : I −→ Rn , n ≥ 2, be C 1 with

Dφ(x) 6= 0 for each x ∈ I. If φ : I −→ φ(I) = M is a homeomorphism, then M is a
1-dimensional submanifold (i.e. a curve) coverable by the single local chart φ. Here,
since Dφ(x) is represented by a column vector, the corresponding Gram matrix is
1 × 1 and its entry as well as its determinant is given by the squared Euclidean
norm of Dφ(x):
n
2 ′ 2 X
γ(φ) : I −→ R , +
γ(φ)(x) = Dφ(x) 2 = φ (x) 2 = |φ′i (x)|2 . (3.15)
i=1
(c) Graphs of C 1 -functions are submanifolds coverable by a single local chart: Let
A ⊆ Rk be open and let g : A −→ Rn−k be C 1 . Then the k-dimensional submanifold
M = {(x, y) ∈ A × Rn−k : y = g(x)}
is coverable by the single local chart
φ : A −→ M, φ(x) := (x, g(x)).
Thus, the Gram matrix is

2
G(φ) : A −→ Rk , G(φ)(x) = Idk +(Dg(x))t Dg(x).
For k = n − 1, this simplifies to

2
G(φ) : A −→ Rk , G(φ)(x) = Idk +(∇ g(x))t ∇ g(x),
and one can show (exercise) that, in this case, the Gram determinant is
n−1
X
+
γ(φ) : A −→ R , γ(φ)(x) = 1 + k ∇ g(x)k22 =1+ |∂i g(x)|2 . (3.16)
i=1
(d) If M is compact, then M is finitely coverable: Indeed, for each a ∈ M , let φa :

Wa −→ Rn be a local chart according to Th. 3.4(iv). Then (Ma )a∈M is an open
cover of M . As M is compact, it must have a finite subcover, showing M to be
finitely coverable.
Theorem 3.11. Let k, n ∈ N with k < n and let M ⊆ Rn be a k-dimensional subman-
ifold of class C 1 . Assume M to be finitely coverable.
(a) Given a finite cover C := (φ1 , . . . , φN ), N ∈ N, of local charts for M , there exists a
measurable partition of unity subordinate to C.
(b) The measurability of f : M −→ K̂, as defined in Def. 3.9(c), does not depend on the
chosen local charts covering M . The integral defined in Def. 3.9(c) is well-defined,
i.e.
R the integrals on the right-hand side of (3.12) all make sense and the value of
M
f dσ does neither depend on the choice of covering local charts nor on the choice
of partition of unity. In consequence, the integral defined in (3.14) is well-defined
as well.
(c) The set Aσ := {A ⊆ M : A σ-measurable} constitutes a σ-algebra on M ; σ :

A −→ [0, ∞] defined by (3.13) constitutes a measure on M , called the surface mea-
sure. Then σ-measurability (resp. σ-integrability) as defined in Def. 3.9(c) coincides
with the usual measurability (resp. integrability) with respect to the measure σ; the
integral defined in Def. 3.9(c) is the usual integral with respect to the measure σ.
Proof. (a): If φi : Wi −→ Mi , i ∈ {1, . . . , N }, then define

i−1
[
∀ ηi : M −→ R, ηi := χBi , Bi := Mi \ Mj . (3.17)
i∈{1,...,N }
j=1
S
Then Def. 3.9(b)(i)–(iii) are, clearly, satisfied ((iii), since M = Ni=1 Mi ). It remains
to show that the ηi are measurable, i.e. that the Bi are measurable. As the Mi are
M -open, there exists Oi ⊆ Rn open such that Mi = M ∩ Oi . Since M ∈ B n by Th.
3.6(b), Mi ∈ B n , showing Bi ∈ B n as well.
(b): If f : M −→ [0, ∞], then all integrands on the right-hand side of (3.12) are
nonnegative. If f is σ-measurable, then the integrands are λk -measurable p as they are
the product of the λk -measurable functions f ◦ φi , ηi ◦ φi , and x 7→ γ(φi )(x), the
last function even being continuous. It remains to show the independence of the chosen
charts and partition of unity. Thus, in addition to the chart cover C = (φ1 , . . . , φN ),
φi : Wi −→ Mi and the ηi , let D := (ψ1 , . . . , ψM ), M ∈ N, also be a finite cover of M
via local charts, ψi : Ui −→ Ni , where (α1 , . . . , αM ) constitutes a measurable partition
of unity subordinate to D. Let Vij := Mi ∩ Nj and K := {(i, j) : Vij 6= ∅}. According to
Th. 3.5, for each (i, j) ∈ K, there exists a C 1 -diffeomorphism τij : Uij −→ Wij such that
ψj = φi ◦τij on Uij , where Uij := ψj−1 (Vij ), Wij := φ−1
j (Vij ). Then, for each f : M −→ K̂
and j ∈ {1, . . . , M },
N
X X
f ◦ ψj = (ηi f ) ◦ ψj = (ηi f ) ◦ φi ◦ τij .
i=1 i: (i,j)∈K
Since each τij is λk -measurable, if f is σ-measurable, then each summand is λk -measur-

able, showing f ◦ ψj to be λk -measurable as well. In consequence, the σ-measurability
of f does not depend on the chosen charts. Now let f : M −→ [0, ∞] be σ-measurable.
One computes
M Z
X q N Z
M X
X q
k
((αj f ) ◦ ψj ) γ(ψj ) dλ = ((ηi αj f ) ◦ ψj ) γ(ψj ) dλk
j=1 Uj j=1 i=1 Uj
X Z q
= ((ηi αj f ) ◦ ψj ) γ(ψj ) dλk
(i,j)∈K Uij
(3.11) X Z q
= ((ηi αj f ) ◦ φi ◦ τij ) | det Dτij | γ(φi ) ◦ τij dλk
(i,j)∈K Uij
(2.72) X Z p
= ((ηi αj f ) ◦ φi ) γ(φi ) dλk
(i,j)∈K Wij
M Z
N X
X N Z
X
p k
p
= ((ηi αj f ) ◦ φi ) γ(φi ) dλ = ((ηi f ) ◦ φi ) γ(φi ) dλk ,
i=1 j=1 Wi i=1 Wi
showing the integral in (3.12) to be well-defined.

(c): Let φ1 , . . . , φN be as in the proof of (b). Let A ⊆ M . Then A ∈ Aσ if, and only if,
φ−1 k
i (A) ∈ L for each i ∈ {1, . . . , N }. Thus,
N
\
Aσ = Bi , Bi := {B ∈ M : φ−1 k
i (B) ∈ L }. (3.18)
i=1
Since each Bi is a σ-algebra by Prop. 1.55(a), Aσ is a σ-algebra as well. We show σ to

be a measure Son Aσ : Clearly, σ(∅) = 0. Let (Ai )i∈N be a sequence of disjoint sets in Aσ
and let A := j∈N Aj . Then, for each i ∈ {1, . . . , N },
Z p Z p
k
((ηi χA ) ◦ φi ) γ(φi ) dλ = (ηi φi ) γ(φi ) dλk
Wi φ−1
i (A)
∞ Z
X X∞ Z
p p
= (ηi φi ) γ(φi ) dλk = ((ηi χAj ) ◦ φi ) γ(φi ) dλk ,
j=1 φ−1
i (Aj ) j=1 Wi
implying
∞
X
σ(A) = σ(Aj ),
j=1
i.e. σ is σ-additive and a measure. Next, we show f : M −→ K̂ to be σ-measurable as

defined in Def. 3.9(c) if, and only if, f is Aσ -measurable, i.e. if, and only if, f −1 (B) ∈ Aσ
for each B ∈ B̂:
f σ-measurable ⇔ ∀ f ◦ φi λk -measurable
i∈{1,...,N }
⇔ ∀ ∀ (f ◦ φi )−1 (B) = φ−1

i (f
−1
(B)) ∈ Lk
B∈B̂ i∈{1,...,N }
(3.18)
⇔ ∀ f −1 (B) ∈ Aσ ⇔ f Aσ -measurable.
B∈B̂
It is then immediate from Def. 3.9(c) that the respective notions of integrability are also
identical. It remains to show that the integral defined in Def. 3.9(c) is the usual integral
with respect to the measure σ. To this end, for the remainder of the proof, denote the
measure σ by λk (to notationally distinguish the two integrals – the notation is also
reasonable as one may interpret the measure σ as a k-dimensional Lebesgue measure
on M ). Let f ∈ S + (Aσ ) be a simple
Pm function. Then there exist A1 , . . . , Am ∈ Aσ and
+
s1 , . . . , sm ∈ R0 such that f = j=1 sj χAj . Thus,
Z N Z
X p N X
X m Z p
k
f dσ = ((ηi f ) ◦ φi ) γ(φi ) dλ = sj ((ηi χAj ) ◦ φi ) γ(φi ) dλk
M i=1 Wi i=1 j=1 Wi
Xm Z m
X Xm Z
(3.13) k
= sj χAj dσ = sj σ(Aj ) = sj λ (Aj ) = f dλk .
j=1 M j=1 j=1 M
Now let f ∈ M+ (Aσ ) and let (fj )j∈N be a sequence in S + (Aσ ) such that fj ↑ f . Then,
using the monotone convergence Th. 2.7,
Z N Z
X p N Z
X p
k MCT
f dσ = ((ηi f ) ◦ φi ) γ(φi ) dλ = lim ((ηi fj ) ◦ φi ) γ(φi ) dλk
M Wi j→∞ Wi
i=1 i=1
Z Z
= lim fj dλk = f dλk .
j→∞ M M
R R
Finally, M f dσ = M f dλk for integrable f : M −→ K̂ follows in the usual way by
decomposing f into (Re f )± , (Im f )± .
Remark
R 3.12. The main benefit of Th. 3.11(c) is that we have identified the integrals
M
f dσ as measure-theoretic integrals in the sense of Sec. 2. In consequence all the
abstract results of Sec. 2 regarding such integrals must hold and are available for integrals
over submanifolds.
Example 3.13. (a) As in Ex. 3.10(b), let I ⊆ R be a nonempty open interval and
let φ : I −→ Rn , n ≥ 2, be C 1 with Dφ(x) 6= 0 for each x ∈ I and such that
φ : I −→ φ(I) is a homeomorphism. We know from Ex. 3.10(b) that M := φ(I) is
a 1-dimensional submanifold covered by the single chart φ and that
2
γ(φ) : I −→ R+ , γ(φ)(x) = φ′ (x) 2 .
Thus, if f : M −→ K̂ is nonnegative measurable or integrable, then

Z Z

f dσ = f (φ(x)) φ′ (x) 2 dλ1 (x). (3.19)
M I
In particular, Z Z
′
l(φ) := σ(M ) = 1 dσ = φ (x) dλ1 (x) (3.20)
2
M I
is called the arc length of φ (or M ). Moreover, φ and M are called rectifiable if,
and only if, l(φ) < ∞. We also extend these notions to C 1 -paths φ : I −→ Rn
on general (not necessarily open) intervals by setting l(φ) := l(φ ↾I ◦ ) (where I ◦
denotes the interval’s interior). It is then clear from (3.20) that C 1 -paths defined
on compact intervals are always rectifiable.
(b) Let x0 ∈ [0, 2π] and consider
φ : [0, x0 ] −→ R2 , φ(x) := (cos x, sin x),
φ′ : [0, x0 ] −→ R2 , φ′ (x) = (− sin x, cos x) 6= (0, 0).
p
Then kφ′ (x)k2 = (sin x)2 + (cos x)2 = 1, implying
Z Z x0
′
l(φ) = 1
φ (x) 2 dλ (x) = 1 dx = x0 .
[0,x0 ] 0
This finally proves that the definition of sine and cosine as given in [Phi16a, Def.
and Rem. 8.21] is the same as the high school definition, where cos x and sin x are
defined to be the coordinates of the point p = (p1 , p2 ) ∈ R2 on the unit circle, such
that x is the angle measured in radian (i.e. the arc length of the corresponding circle
section as computed above) between the line segment between (0, 0) and (1, 0) and
the line segment between (0, 0) and p (cf. remarks at the beginning of [Phi16a, Sec.
8.4]).
Example 3.14. (a) Let n ∈ N, n ≥ 2. As in Ex. 3.10(c) (with k := n − 1) let
A ⊆ Rn−1 be open and let g : A −→ R be C 1 . We know from Ex. 3.10(c) that the
(n − 1)-dimensional submanifold
M := {(x, y) ∈ A × R : y = g(x)}
is coverable by the single local chart

φ : A −→ M, φ(x) := (x, g(x))
and that
n−1
X
+
γ(φ) : A −→ R , γ(φ)(x) = 1 + k ∇ g(x)k22 =1+ |∂i g(x)|2 .
i=1
Thus, if f : M −→ K̂ is nonnegative measurable or integrable, then

Z Z
q
f dσ = f x, g(x) 1 + k ∇ g(x)k22 dλn−1 (x). (3.21)
M A
In particular,
Z Z q
σ(M ) = 1 dσ = 1 + k ∇ g(x)k22 dλn−1 (x). (3.22)
M A
(b) Let n ∈ N, n ≥ 2. As a concrete example of the situation in (a), we consider the

(n − 1)-dimensional upper hemisphere with center 0 and radius r > 0:
M := {x ∈ Rn : kxk2 = r, xn > 0}. (3.23)
Letting A := {x ∈ Rn−1 : kxk2 < r}, we obtain M as the graph of the C 1 -function
q
g : A −→ R, g(x1 , . . . , xn−1 ) := r2 − x21 − · · · − x2n−1 , (3.24)
where
−xi
. ∀ (3.25)
∂i g(x) =
i∈{1,...,n−1} g(x)
We have M = φ(A) if φ is defined as in (a). Thus, computing γ(φ) according to
(a) yields
n−1
X
+ x2i kxk22 r2
γ(φ) : A −→ R , γ(φ)(x) = 1 + = 1 + =
i=1
(g(x))2 (g(x))2 (g(x))2
and, if f : M −→ K̂ is nonnegative measurable or integrable, then, using balls

with respect to the 2-norm and the (linear) change of variables T : Rn−1 −→ Rn−1 ,
t := T (x) := rx with det T ≡ rn−1 ,
Z Z
q
f dσ = f x, g(x) 1 + k ∇ g(x)k22 dλn−1 (x)
M A
Z q
r
= f x, r − kxk2 p
2 2
dλn−1 (x)
r 2 − kxk2
Br (0) 2
Z q n−1
r
= f rt, r 1 − ktk22 p 2
dλn−1 (t). (3.26)
B1 (0) 1 − ktk2
Theorem 3.15. Let k, n ∈ N with k < n, α ∈ N ∪ {∞}, and let M ⊆ Rn be a

k-dimensional submanifold of class C α . Given r ∈ R+ , consider the linear isomorphism
Tr : Rn −→ Rn , Tr (x) := rx. (3.27)
Then Tr (M ) is also a k-dimensional submanifold of class C α . If M is finitely coverable,
then so is Tr (M ), and f : Tr (M ) −→ K̂ is nonnegative σ-measurable (resp. σ-integrable)
if, and only if, (f ◦ Tr ) : M −→ K̂ has the corresponding property. In that case,
Z Z
f dσ = (f ◦ Tr ) rk dσ . (3.28)
Tr (M ) M
Proof. If the C α -immersion φ : W −→ Rn , W ⊆ Rk , is a local chart for M , then

the C α -immersion ψ := Tr ◦ φ : W −→ Rn is a local chart for Tr (M ). Moreover,
if C := (φ1 , . . . , φN ), N ∈ N, is a finite cover of M via local charts and (η1 , . . . , ηN ),
ηi : M −→ R, is a measurable partition of unity subordinate to C, then D := (Tr ◦
φ1 , . . . , Tr ◦ φN ), is a finite cover via local charts of Tr (M ), (η1 ◦ Tr−1 , . . . , ηN ◦ Tr−1 ),
ηi ◦ Tr−1 : Tr (M ) −→ R, is a measurable partition of unity subordinate to D. The
σ-measurability of both f and f ◦ Tr is then equivalent to the λk -measurability of each
f ◦Tr ◦φi . Let gνij and g̃νij denote the entries of the Gram matrices G(φν ) and G(Tr ◦φν ),
respectively. If φν : Wν −→ Rn , then
∀ g̃νij = h∂i (Tr ◦ φν )(x), ∂j (Tr ◦ φν )(x)i = hr ∂i φν (x), r ∂j φν (x)i = r2 gνij ,
x∈Wν
showing
∀ γ(Tr ◦ φν )(x) = r2k γ(φν )(x).
x∈Wν
Thus, if f is nonnegative σ-measurable, then

Z XN Z
p
f dσ = (ηi ◦ Tr−1 )f ◦ Tr ◦ φi γ(Tr ◦ φi ) dλk
Tr (M ) i=1 Wi
XN Z Z
p k k
= ηi (f ◦ Tr ) ◦ φi r γ(φi ) dλ = (f ◦ Tr ) rk dσ ,
i=1 Wi M
proving (3.28). The integrable case now follows in the usual way by decomposition of f
into (Re f )± and (Im f )± .
Theorem 3.16. Let n ∈ N, n ≥ 2. Let f : Rn −→ K̂ be λn -integrable. Then, for
λ1 -a.e. r ∈ R+ , f is σ-integrable over the sphere Sr (0) = {x ∈ Rn : kxk2 = r} and
Z Z ∞Z Z ∞ Z
n 1 (3.28)
f dλ = f (x) dσ (x) dλ (r) = f (rt) dσ (t) rn−1 dλ1 (r).
Rn 0 Sr (0) 0 S1 (0)
(3.29)
This formula is sometimes called the coarea formula. It is actually a special case of the
more general coarea formula of geometric measure theory.
Proof. Denote the (open) upper and lower half spaces by H± := {x ∈ Rn : ±xn > 0}
and U := {x ∈ Rn−1 : kxk2 < 1}. We will apply the change of variables given by the
C 1 -diffeomorphism
q
+
φ : U × R −→ H+ , 2
φ(x1 , . . . , xn−1 , r) := rx1 , . . . , rxn−1 , r 1 − kxk2 ,

−1 + −1 x1 xn−1
φ : H+ −→ U × R , φ (x1 , . . . , xn ) := , ..., , kxk2 ,
kxk2 kxk2
Dφ : U × R+ −→ H+ ,
 
r 0 ··· 0 x1
 
 0 r ··· 0 x2 
 
 .. ... .. 
Dφ(x1 , . . . , xn−1 , r) := 

. . .

 0 ··· 0 r xn−1 
 
 p 
− √ rx1 − √ rx2 · · · − √rxn−1 1 − kxk22
1−kxk22 1−kxk22 1−kxk22
We compute det Dφ(x, r) via eliminating the nondiagonal elements of the last row by
successively adding, for i = 1, . . . , n − 1, the i-th row multiplied by − √ xi 2 to the
1−kxk2
last row, ending up with an upper triangular matrix, where the upper n − 1 diagonal
elements are r and the last diagonal element is
q n−1
X q
x2i kxk22 1
1 − kxk22 − p = 1 − kxk22 − p = p .
i=1 1 − kxk22 1 − kxk22 1 − kxk22
Thus,
rn−1
det Dφ : U × R+ −→ R+ , det Dφ(x, r) = p .
1 − kxk22
We now apply the change of variables formula (2.72) followed by Fubini to the integrable
function f to obtain
Z Z ∞Z q
n rn−1
f dλ = 2
f rx, r 1 − kxk2 p 2
dλn−1 (x) dλ1 (r)
H+ 0 U 1 − kxk2
Z ∞Z
(3.26)
= f dσ dλ1 (r). (3.30)
0 H+ ∩Sr (0)
As f is integrable, Fubini also yields that the inner integral must be finite λ1 -a.e. as
claimed. Next, we note that the result of (3.30) still holds with H+ replaced by H− : For
H− , one merely puts a negative sign in front of the last component of φ, then | det Dφ|
remains the same as before and in the middle term of (3.30), one has a “−” in the
second argument of f , which is consistent with what one obtains if one does Ex. 3.14(b)
for the lower hemisphere (i.e. with g replaced by −g). Since Sr (0) ∩ {x ∈ Rn : xn = 0}
is a σ-null set (exercise), the proof is complete.
Example 3.17. Let n ∈ N, n ≥ 2. We would like to compute the surface measure of

the Euclidean sphere Sr (0) = {x ∈ Rn : kxk2 = r}, r ∈ R+ . We recall the formula for
the corresponding Euclidean ball Br (0) from Ex. 2.34(c):
n n n π n/2
β (Br (0)) = ωn r , ωn = β (B1 (0)) = n .
Γ( 2 + 1)
Applying (3.29) to f := χB1 (0) yields

Z Z 1 Z
n n (3.29) σ(S1 (0))
ωn = β (B1 (0)) = χB1 (0) dλ = 1 dσ rn−1 dλ1 (r) = ,
Rn 0 S1 (0) n
implying
n π n/2 2 π n/2
σn := σ(S1 (0)) = n ωn = = . (3.31)
Γ( n2 + 1) Γ( n2 )
An application of Th. 3.15 now yields the formula for σ(Sr (0)) = σ(Tr (S1 (0))):
Z Z
(3.28)
σ(Sr (0)) = 1 dσ = rn−1 dσ = σn rn−1 . (3.32)
Tr (S1 (0)) S1 (0)
Example 3.18. We apply Th. 3.16 to rotationally symmetric functions: Let f : R+

0 −→
K̂ be such that
g : Rn −→ K̂, g(x) := f (kxk2 ),
is nonnegative measurable or integrable. Then
Z Z Z ∞ Z
n n
g dλ = f (kxk2 ) dλ (x) = f (r) dσ (t) rn−1 dλ1 (r)
Rn Rn 0 S1 (0)
Z ∞
(3.31)
= σn f (r) rn−1 dλ1 (r). (3.33)
0
3.4 Tangent Space and Normal Space

A tangent vector to a submanifold M is a vector that is tangent to a curve in M . At each
point a ∈ M , the set of all tangent vectors forms a vector space, the so-called tangent
space Ta M . Normal vectors at a are vectors that are perpendicular to the tangent space
Ta M :
Definition 3.19. Let k, n ∈ N with k < n, and let M ⊆ Rn be a k-dimensional

submanifold of class C 1 , a ∈ M .
(a) A vector τ ∈ Rn is called a tangent vector to M at a if, and only if, there exists
ǫ ∈ R+ and a C 1 -function
ψ : ] − ǫ, ǫ[−→ M,
such that
ψ(0) = a and ψ ′ (0) = τ. (3.34)
The set (we will see in the next theorem it is, indeed, a k-dimensional vector space
over R)
Ta M := {τ ∈ Rn : τ is tangent vector to M at a} (3.35)
is called the tangent space to M at a.
(b) A vector ν ∈ Rn is called a normal vector to M at a if, and only if, it is perpendicular
to all tangent vectors at a (with respect to the Euclidean scalar product), i.e. if,
and only if,
∀ hτ, νi = 0. (3.36)
τ ∈Ta M
We also define
Na M := {ν ∈ Rn : ν is normal vector to M at a} (3.37)
to be the normal space to M at a.
Definition and Remark 3.20. Let n, k ∈ N0 and let V ⊆ Rn be a vector subspace of

Rn , dim V = k. Then
V ⊥ := {x ∈ Rn : hx, vi = 0 for each v ∈ V } (3.38)
is the space perpendicular to V . We then know from Linear Algebra that V ⊥ is a vector
subspace of Rn , Rn = V + V ⊥ , V ∩ V ⊥ = {0}, and, in particular, dim V ⊥ = n − k.
Theorem 3.21. Let k, n ∈ N with k < n, and let M ⊆ Rn be a k-dimensional subman-

ifold of class C 1 , a ∈ M .
(a) The tangent space Ta M is a k-dimensional vector space over R. Moreover, if φ :

W −→ V ⊆ M , W ⊆ Rk open, V M -open, is a local chart for M with φ(c) = a,
c ∈ W , then
∂1 φ(c), . . . , ∂k φ(c) ⊆ Rn
forms a basis of Ta M .
(b) The normal space Na M is a (n − k)-dimensional vector space over R. Moreover,
if f ∈ C 1 (O, Rn−k ) with a ∈ O, O ⊆ Rn open, according to Def. 3.1, i.e. such that
M ∩ O = f −1 ({0}) and rk Df a (a) = n − k, then

∇ f1 (a), . . . , ∇ fn−k (a) ⊆ Rn
forms a basis of Na M .
(c) Ta M ⊥ Na M , i.e. if τ ∈ Ta M and ν ∈ Na M , then hτ, νi = 0.
Proof. Set

V1 := span ∂1 φ(c), . . . , ∂k φ(c) ,

U := span ∇ f1 (a), . . . , ∇ fn−k (a) ,
V2 := U ⊥ .
Then V1 , U, V2 all are vector subspaces of Rn . Since ∂1 φ(c), . . . , ∂k φ(c) are linearly in-
dependent, we have dim V1 = k. Since ∇ f1 (a), . . . , ∇ fn−k (a) are linearly independent,
we have dim U = n − k. Then we know from Def. and Rem. 3.20 that dim V2 = k. We
will show
V1 ⊆ Ta M ⊆ V2 . (3.39)
Then dim V1 = dim V2 implies V1 = V2 and V1 = Ta M = V2 , proving (a). Then
Na M = V2⊥ = (Ta M )⊥ , proving (b) and (c). It remains to show (3.39).
“V1 ⊆ Ta M ”: Let τ ∈ V1 . Then
k
X
∃ τ= αi ∂i φ(c).
α1 ,...,αk ∈R
i=1
Since c ∈ W with W open, there exists ǫ ∈ R+ such that

k
x∈R : ∀ |xi − ci | < ǫ |αi | ⊆ W.
i∈{1,...,k}
We consider the C 1 -function
ψ : ] − ǫ, ǫ[−→ M, ψ(s) := φ(c1 + sα1 , . . . , ck + sαk ).
Then ψ(0) = φ(c) = a and, by the chain rule,

 
α1 k
′  ..  X
ψ (0) = Dφ(c)  .  = αi ∂i φ(c) = τ,
αk i=1
showing τ ∈ Ta M .
“Ta M ⊆ V2 ”: Let τ ∈ Ta M . Then there exists ǫ > 0 and a C 1 -function ψ : ] − ǫ, ǫ[−→ M
such that a = ψ(0) and τ = ψ ′ (0). Since a ∈ O, O open, we may actually assume that
ψ maps into M ∩ O = f −1 ({0}). Thus,
∀ fi ◦ ψ ≡ 0,
i∈{1,...,n−k}
implying, for each i ∈ {1, . . . , n − k},

0 = (fi ◦ ψ)′ (0) = ∇ fi (ψ(0)) ψ ′ (0) = ∇ fi (a), τ ,
showing τ ∈ U ⊥ = V2 .
3.5 Gauss-Green Theorem and Green’s Identities

The Gauss-Green Th. 3.30 allows, under suitable hypotheses, to transform an integral
over an open subset Ω of Rn into an integral over the boundary M := ∂Ω, where M is
an (n − 1)-dimensional submanifold. The Gauss-Green Th. 3.30 can be seen as an n-
dimensional generalization of the fundamental theorem of calculus, [Phi16a, Th. 10.20].
Before we can state and prove Th. 3.30, we still need some preparation.
Definition 3.22. Let n ∈ N, n ≥ 2, and let Ω ⊆ Rn be open. We define Ω to have a
C 1 -boundary if, and only if, for each a ∈ M := ∂Ω, there exists an open neighborhood
Oa ⊆ Rn of a and a map f a ∈ C 1 (Oa , R), satisfying the following two conditions
(a) Ω ∩ Oa = {x ∈ Oa : f a (x) ≤ 0},

(b) ∇ f a (x) 6= 0 for each x ∈ Oa .
Theorem 3.23. Let n ∈ N, n ≥ 2, and let Ω ⊆ Rn be open, having a C 1 -boundary. If
a ∈ M := ∂Ω and f a ∈ C 1 (Oa , R) is according to Def. 3.22, then
M ∩ Oa = (f a )−1 ({0}). (3.40)
In particular, ∂Ω is an (n − 1)-dimensional submanifold of class C 1 .
Moreover, there exists ǫ ∈ R+ such that
∀ a + s ∇ f a (a) ∈
/ Ω. (3.41)
s∈]0,ǫ[
Proof. “⊆ of (3.40)”: Recall Ω = Ω∪∂Ω, where the union is disjoint, as Ω is open. Thus,
according to Def. 3.22(a), we have to show that f a (x) < 0 implies x ∈ / ∂Ω. However,
if x ∈ Ω ∩ Oa with f a (x) < 0, then, by the continuity of f a , there exists an open set
U ⊆ Oa such that f a < 0 on U , showing x ∈/ ∂Ω.
“⊇ of (3.40)”: Let x ∈ Oa with f a (x) = 0. We need to verify x ∈ M . Consider the
auxiliary function

ψ : ] − ǫ, ǫ[−→ R, ψ(s) := f a x + s ∇ f a (x) ,
which, as x ∈ Oa , Oa open, is defined for sufficiently small ǫ > 0. Moreover, ψ is C 1 ,

since f a is C 1 . We obtain

ψ ′ : ] − ǫ, ǫ[−→ R, ψ ′ (s) = ∇ f a x + s ∇ f a (x) · ∇ f a (x).
In particular, ψ ′ (0) = k ∇ f a (x)k22 > 0. Thus, as ψ ′ is continuous, ψ is strictly increasing

in an entire neighborhood of 0. Since ψ(0) = f a (x) = 0, this shows every neighborhood
of x contains points from Ω and points from Ωc , showing x ∈ M . Setting x = a, we
have also shown (3.41).
That M = ∂Ω is an (n − 1)-dimensional submanifold of class C 1 is now immediate from
Def. 3.1.
Corollary 3.24 (Existence of Outer Unit Normal). Let n ∈ N, n ≥ 2, and let Ω ⊆ Rn

be open, having a C 1 -boundary. Then, for each a ∈ ∂Ω, there exists a unique normal
vector ν(a) ∈ Na ∂Ω, satisfying the following two conditions:
(i) kν(a)k2 = 1.
(ii) There exists ǫ ∈ R+ such that
∀ a + s ν(a) ∈
/ Ω.
s∈]0,ǫ[
The vector ν(a) is called the outer unit normal to ∂Ω at a. Moreover, the function
ν : ∂Ω −→ Rn , a 7→ ν(a),
is continuous.
Proof. Let a ∈ ∂Ω and let f a ∈ C 1 (Oa , R) be according to Def. 3.22. Then ∇ f a 6= 0

and we may define
∇ f a (a)
ν(a) := . (3.42)
k ∇ f a (a)k2
Then kν(a)k2 is clear, condition (ii) holds according to (3.41), and ν(a) ∈ Na ∂Ω by Th.
3.21(b). To show ν as a function on ∂Ω is continuous, it suffices to show ν is continuous
at each a ∈ ∂Ω. aHowever, given a ∈ ∂Ω, on Oa ∩ ∂Ω, ν is given by the continuous
function x 7→ k ∇∇ffa (x)k
(x)
2
.
Example 3.25. Let n ∈ N, n ≥ 2. For xM ∈ Rn and r > 0, consider the Euclidean ball
Ω := Br (xM ). Then ∂Ω = {x ∈ Rn : kx − xM k2 = r} and, according to Ex. 3.2(b), for
each a ∈ ∂Ω, we may choose f a := f with
n
X
f : Rn −→ R, f (x) := kx − xM k22 − r2 = (xi − xM,i )2 − r2 ,
i=1
n n

∇ f : R −→ R , ∇ f (x) = 2 x1 − xM,1 , . . . , xn − xM,n .
Thus,
∇ f (a) a − xM
∀ ν(a) = = . (3.43)
a∈∂Ω k ∇ f (a)k2 r
Proposition 3.26. Let n ∈ N, n ≥ 2, and let Ω ⊆ Rn be open, having a C 1 -boundary.
Then, for each a ∈ M := ∂Ω, there exists a permutation π a ∈ Sn and open intervals
Aa ⊆ Rn−1 and Ia ⊆ R, such that
αa ∈ Aa ⊆ Rn−1 , β a ∈ Ia ⊆ R,
where αa := (aπa (1) , . . . , aπa (n−1) ), β a := aπa (n) , and there exists a C 1 -map g a : Aa −→
Ia , satisfying

M ∩ Pτ a (Aa × Ia ) = Pτ a (x, y) ∈ Aa × Ia : y = g a (x) , τ a := (π a )−1 , (3.44a)
and either

Ω ∩ Pτ a (Aa × Ia ) = Pτ a (x, y) ∈ Aa × Ia : y < g a (x) (3.44b)
or

Ω ∩ Pτ a (Aa × Ia ) = Pτ a (x, y) ∈ Aa × Ia : y > g a (x) . (3.44c)
Then the outer unit normal ν(a) is given by

− ∇ g(αa ), 1 Pπa
ν(a) = ± p , (αa , β a ) := Pπa (a) (3.45)
1 + k ∇ g(αa )k22
(with “+” for (3.44b) and “−” for (3.44c)).
Proof. Let f a ∈ C 1 (Oa , R), a ∈ Oa ⊆ Rn open, be according to Def. 3.22. Then, by

Def. 3.22 and Th. 3.23, f a satisfies the conditions of Def. 3.1. In particular, M = ∂Ω
is an (n − 1)-dimensional submanifold of class C 1 , and we can then choose π a , Aa ,
Ia := Ba , and g a according to Th. 3.4(ii). If necessary, we make the sets Aa and Ba
of Th. 3.4(ii) smaller to obtain them to be open intervals and we make Oa smaller
to have Oa = Pτ a (Aa × Ia ). By possibly shrinking Aa again, we may assume that
dist(g a (Aa ), (Ia )c ) := ǫ > 0 (i.e. g a maps Aa into a compact subinterval of Ia ). We may
also assume g a to be obtained from ha := f a ◦ Pτ a via the implicit function theorem as
in the proof of “(i) ⇒ (ii)” of Th. 3.4(ii). Then, for in := τa (n), we have ∂in f a (a) 6= 0.
By the continuity of ∂in f a , we may assume that ∂in f a has only one sign (everywhere
positive or everywhere negative) on Oa = Pτ a (Aa × Ia ) (i.e., on Oa , f a is either strictly
increasing or strictly decreasing with respect to the in -th variable). Now (3.44a) holds
due to Th. 3.4(ii) and, by Def. 3.22 and Th. 3.23, we have
M ∩ Oa = (f a )−1 ({0}),
Ω ∩ Oa = {x ∈ Oa : f a (x) < 0}.
We consider the open sets

U+ := Pτ a (x, y) ∈ Aa × Ia : 0 < g a (x) − y ,

U− := Pτ a (x, y) ∈ Aa × Ia : 0 > g a (x) − y ,
Oa = U+ ∪˙ U− ∪(M
˙ ∩ Oa ).
Then Ω∩Oa ⊆ U+ ∪U− . However Ω∩Oa cannot have nonempty intersection with both U+
and U− : Suppose z1 ∈ Ω∩Oa ∩U+ and z2 ∈ Ω∩Oa ∩U− . Let (x1 , y1 ) := Pπa (z1 ) ∈ Aa ×Ia ,
(x2 , y2 ) := Pπa (z2 ) ∈ Aa × Ia . Then g a (x1 ) > y1 , g a (x2 ) < y2 . Since ha is continuous,
ha (x1 , y1 ) = f a (z1 ) < 0, and ha does not have a zero on {(x1 , y) : y1 ≤ y < g a (x1 )}, we
can assume ǫ > c := g a (x1 ) − y1 > 0. Then, since Aa is convex, the map

ψ1 : [0, 1] −→ Aa × Ia , ψ1 (s) := x1 + s(x2 − x1 ), g a (x1 + s(x2 − x1 )) − c
is well-defined with ψ1 (0) = (x1 , y1 ), ψ1 (1) = (x2 , g a (x2 )−c). Since ha ◦ψ1 is continuous,
(ha ◦ψ1 )(0) < 0 and ha ◦ψ1 does not have any zeros on [0, 1] (since c > 0), (ha ◦ψ1 )(1) < 0,
i.e. ha (x2 , g a (x2 ) − c) < 0. However, due to the choice of in above, the map
ψ2 : [g a (x2 ) − c, y2 ] −→ R, ψ2 (s) := ha (x2 , s),
either strictly increasing or strictly decreasing. Since ψ2 (g a (x2 )−c) = ha (x2 , g a (x2 )−c) <
0, ψ2 (g a (x2 )) = ha (x2 , g a (x2 )) = 0, ψ2 (y2 ) = ha (x2 , y2 ) = f a (z2 ) < 0, we obtain a
contradiction, proving Ω ∩ Oa ⊆ U+ (i.e. (3.44b)) or Ω ∩ Oa ⊆ U− (i.e. (3.44c)). For
(3.44b), we now consider
f a : Pτ a (Aa × Ia ) −→ R, f a (z) := xn − g(x1 , . . . , xn−1 ), x := Pπa (z)
(this might not be the same f a as before, but it also satisfies Def. 3.22). We then obtain

∇ f a (a) − ∇ g(αa ), 1 Pπa
ν(a) = a
= p , (αa , β a ) := Pπa (a),
k ∇ f (a)k2 a
1 + k ∇ g(α )k2 2
proving (3.45). For (3.44c), one uses f a (z) := xn + g(x1 , . . . , xn−1 ), x := Pπa (z), again
proving (3.45).
Lemma 3.27. Let n ∈ N, O ⊆ Rn open, and η ∈ Cc1 (O, R). Then

Z
∀ ∂i η dλn = 0. (3.46)
i∈{1,...,n} O
Proof. Extending η by 0, we may assume O = Rn . Then there exists r ∈ R+ such that

supp η ⊆ [−r, r]n . Then, using Fubini,
Z Z
n
∂i η dλ = ∂i η dλn
O [−r,r]n
Z
= (η(x1 , . . . , xi = r, . . . , xn )
[−r,r]n−1

− η(x1 , . . . , xi = −r, . . . , xn ) dλn−1 (x1 , . . . , x̂i , . . . , xn ) = 0,
where x̂i means that xi is omitted.
In preparation for the proof of the Gauss-Green Th. 3.30, we prove a special case in the
following lemma:
Lemma 3.28. Let n ∈ N, n ≥ 2. Let A ⊆ Rn−1 be open and let I :=]α, β[ with α, β ∈ R,
α < β, be an open interval. Given a C 1 -function
g : A −→ I,
set
Ω := {(x̃, xn ) ∈ A × I : xn < g(x̃)},

M := {(x̃, xn ) ∈ A × I : xn = g(x̃)} ⊆ ∂Ω.
Then, for each f ∈ Cc1 (A × I, R), one has

Z Z
n
∀ ∂i f dλ = f νi dσ , (3.47)
i∈{1,...,n} Ω M
where
− ∇ g(x̃), 1
ν : M −→ Rn , ν(x̃, xn ) := p . (3.48)
1 + k ∇ g(x̃)k22
Moreover, (3.47) still holds if one has “>” instead of “<” in the definition of Ω and a
“−” in front of the right-hand side of (3.48).
Proof. First, let 1 ≤ i ≤ n − 1. We define the auxiliary function

Z xn
F : A × I −→ R, F (x̃, xn ) := f (x̃, s) ds .
α
Then
Z xn
∀ ∂n F (x̃, xn ) = f (x̃, xn ), ∂i F (x̃, xn ) = ∂i f (x̃, s) ds
(x̃,xn )∈A×I α
and the chain rule yields, for each (x̃, xn ) ∈ A × I,

Z g(x̃) Z g(x̃)
∂i f (x̃, s) ds = ∂i F (x̃, g(x̃)) = ∂i f (x̃, s) ds + f (x̃, g(x̃)) ∂i g(x̃). (3.49)
α α
R g(x̃)
The function x̃ 7→ α
f (x̃, s) ds is in Cc1 (A, R) and, thus, Lem. 3.27 yields
Z Z !
g(x̃)
∂i f (x̃, s) ds dλn−1 (x̃) = 0. (3.50)
A α
Using Fubini, we obtain

Z Z Z g(x̃)
n
∂i f dλ = ∂i f (x̃, s) ds dλn−1 (x̃)
Ω A α
Z Z ! Z
g(x̃)
(3.49) n−1
= ∂i f (x̃, s) ds dλ (x̃) − f (x̃, g(x̃)) ∂i g(x̃) dλn−1 (x̃)
A α A
Z q
(3.50) ∂i g(x̃)
= − f (x̃, g(x̃)) p 1 + k ∇ g(x̃)k22 dλn−1 (x̃)
A 1 + k ∇ g(x̃)k22
Z
(3.48), (3.21)
= f νi dσ .
M
It remains to consider the case i = n. For each x̃ ∈ A, the function s 7→ f (x̃, s) is in

Cc1 (I, R), implying
Z g(x̃)
∂n f (x̃, s) ds = f (x̃, g(x̃)) − 0 = f (x̃, g(x̃))
α
and, thus,
Z Z Z g(x̃) Z
∂n f dλn = ∂n f (x̃, s) ds dλ n−1
(x̃) = f (x̃, g(x̃)) dλn−1 (x̃)
Ω A
Zα A
(3.48), (3.21)
= = f νi dσ ,
M
thereby completing the proof of the first case. One now obtains the second case by
applying the first to −Ω, −M , −g : −A −→ −I, followed by a change of variables
x 7→ −x.
As a last preparation for the proof of the Gauss-Green Th. 3.30, we construct a C ∞
partition of unity. Here, the partition of unity is subordinate to an open cover of Rn ,
not to an open cover of a submanifold. For ǫ > 0, we consider the cover given by
(B2ǫ (ǫ p))p∈Zn ,
where the balls are defined with respect to the ∞-norm on Rn (i.e. they are open intervals
of side length 4ǫ).
Proposition 3.29. Let n ∈ N, ǫ ∈ R+ . Then there exists a family (ηp )p∈Zn of functions
in Cc∞ (Rn , R), satisfying the following conditions (i) – (iii) (the balls are defined with
respect to the ∞-norm):
(i) 0 ≤ ηp ≤ 1 for each p ∈ Zn .

(ii) supp ηp = B ǫ (ǫ p) for each p ∈ Zn .
P
(iii) p∈Zn ηp ≡ 1.
Proof. According to Ex. 2.53(c), the function

(
1
exp − ǫ2 −t 2 for |t| < ǫ,
ϕ : R −→ [0, 1], ϕ(t) :=
0 otherwise,
is in Cc∞ (R, R), supp ϕ = [−ǫ, ǫ]. Define

X
G : R −→ R+ , G(t) := ϕ(t − ǫ p). (3.51)
p∈Z
Since the support of t 7→ ϕ(t − ǫ p) is [ǫ p − ǫ, ǫ p + ǫ], for each t ∈ R, at least one and at
most two summands in (3.51) are nonzero. In particular, G is well-defined as a function
into R+ . Thus,
ϕ(t)
g : R −→ [0, 1], g(t) := ,
G(t)
is well-defined, g ∈ Cc∞ (R, R), supp g = [−ǫ, ǫ]. We claim that letting
∀ ηp : R −→ [0, 1], ηp (t) := g(t − ǫ p),
p∈Z
proves the proposition for n = 1: Clearly, (i) and (ii) are satisfied. Since, for each t ∈ R,
X X ϕ(t − ǫ p) X ϕ(t − ǫ p)
ηp (t) = = = 1,
p∈Z p∈Z
G(t − ǫ p) p∈Z
G(t)
(iii) holds as well. Now, for an arbitrary n ∈ N, define

n
Y
n
∀ ηp : R −→ [0, 1], ηp (x) := g(xi − ǫ pi ).
p∈Zn
i=1
As before, ηp ∈ Cc∞ (Rn , R) and (i) and (ii) are immediate consequences of the properties
of g. To obtain (iii), we carry out and induction, assuming the case n − 1 by induction
hypothesis, obtaining, for each x ∈ Rn ,
X X X n−1
Y
ηp (x) = g(xn − ǫ k) g(xi − ǫ qi )
p∈Zn k∈Z q∈Zn−1 i=1
X X n−1
Y
= g(xn − ǫ k) g(xi − ǫ qi )
k∈Z q∈Zn−1 i=1
X
= g(xn − ǫ k) = 1,
k∈Z
The following version of the Gauss-Green theorem is certainly not the most general. For
example, it still holds if, instead of a C 1 -boundary, one just has a so-called Lipschitz
boundary (which, e.g., allows corners if they are sufficiently benign, including polyhedral
sets), see [Kön64].
Theorem 3.30 (Gauss-Green). Let n ∈ N, n ≥ 2. Let Ω ⊆ Rn be open and bounded,
having a C 1 -boundary (then Ω and ∂Ω are compact; in particular, ∂Ω is a finitely cov-
erable (n − 1)-dimensional submanifold of class C 1 ). If Ω ⊆ U ⊆ Rn with U open and
F ∈ C 1 (U, Rn ) (in this context, F is often called a vector field), then
Z Z
n
div F dλ = hF, νi dσ (3.52)
Ω ∂Ω
n
Pn before, ν : ∂Ω −→ R denotes the outer unit normal to Ω, also recall that div F =
(as
i=1 ∂i Fi ).
Proof. Without loss of generality, we may assume U to be bounded, i.e. U to be compact.

For each a ∈ ∂Ω, we let g a : Aa −→ Ia , and π a , τ a ∈ Sn be as in Prop. 3.26. Then
(Pτ a (Aa × Ia ))a∈∂Ω together with Ω provide an open cover O := (Uj )j∈J of the compact
S by making the Aa , Ia smaller if necessary, we may also assume Uj ⊆ U ,
set Ω, where,
i.e. V := j∈J Uj is open and bounded, α := dist(Ω, V c ) > 0 (here, and in the following,
we consider Rn with the ∞-norm). Moreover, O still constitutes an open cover of the
compact set C := {x ∈ Rn : dist(x, Ω ≤ α2 }. According to [Phi16b, Th. 3.21], we can
choose a Lebesgue number δ > 0 for this cover. As we choose it with respect to the
∞-norm on Rn , then each hypercube I with side length < δ, we have I ∩ ∂Ω is contained
in one of the open sets of the cover. We choose ǫ > 0 such that 2ǫ < δ, 2ǫ < α2 , and we
let (ηp )p∈Zn be the corresponding family of functions in Cc∞ (Rn , R) given by Prop. 3.29.
Since, for each p ∈ Zn , supp ηp = B ǫ (ǫ p), if supp ηp ∩ Ω 6= ∅, then supp ηp ⊆ C and, by
the choice of δ, there exists j ∈ J such that supp ηp ⊆ Uj . If supp ηp ⊆ Ω, then
Z Z
n (3.46)
div(ηp F ) dλ = 0 = hηp F, νi dσ .
Ω ∂Ω
If supp ηp ⊆ Pτ a (Aa × Ia ), then we apply Lem. 3.28 to obtain, for each i ∈ {1, . . . , n},
Z Z Z
n n
∂i (ηp Fi ) dλ = ∂i (ηp Fi ) dλ = ∂i (ηp Fi ) ◦ Pτ a dλn
Ω
ZΩ∩Pτ (Aa ×Ia ) (Pπa Ω)∩(Aa ×Ia )
a
(3.47)
= (ηp Fi ) ◦ Pτ a νi dσ
(Pπa ∂Ω)∩(Aa ×Ia )
Z Z
(3.45)
= ηp Fi νi dσ = ηp Fi νi dσ .
∂Ω∩Pτ a (Aa ×Ia ) ∂Ω
Now let
Z := {p ∈ Zn : supp ηp ∩ Ω 6= ∅}.
Then
Z XZ XZ XZ
n n n
div F dλ = div(ηp F ) dλ = div(ηp F ) dλ = hηp F, νi dσ
Ω p∈Zn Ω p∈Z Ω p∈Z ∂Ω
XZ Z
= hηp F, νi dσ = hF, νi dσ ,
p∈Zn ∂Ω ∂Ω
establishing the theorem.

Example 3.31. (a) Let n ∈ N, n ≥ 2, and consider
F : Rn −→ Rn , F (x) := x,
Xn
div F : Rn −→ R, div F (x) = ∂i Fi (x) = n.
i=1
Thus, for each Ω ⊆ Rn be open and bounded, having a C 1 -boundary, Th. 3.30
yields Z Z
n n
n β (Ω) = div F dλ = hx, ν(x)i dσ (x). (3.53)
Ω ∂Ω
In particular, for the Euclidean ball Br (0), r > 0, we obtain (writing ωn = β n (B1 (0))
as before)
Z Z
n n (3.43) kxk22
n ωn r = n β (Br (0)) = hx, ν(x)i dσ (x) = dσ (x) = r σ(Sr (0)),
Sr (0) Sr (0) r
recovering (3.31) and (3.32), i.e. σ(S1 (0)) = n ωn and σ(Sr (0)) = σ(S1 (0)) rn−1 .
R
(b) To evaluate the integral S1 (0) (x4 + y 4 ) dσ (x, y), we apply (3.52) with
F : R2 −→ R2 , F (x, y) = (x3 , y 3 ),
div F : R2 −→ R, div F (x, y) = 3x2 + 3y 2 .
Since S1 (0) = ∂B1 (0), we can use (3.43) to obtain ν(x, y) = (x, y) for (x, y) ∈ S1 (0).
Thus,
Z Z D E
4 4
(x + y ) dσ (x, y) = (x3 , y 3 ), (x, y) dσ (x, y)
S1 (0) S (0)
Z 1
(3.52)
= (3x2 + 3y 2 ) dλ2 (x, y)
B1 (0)
Z 1 Z 2π
3 · 2π 3π
= 3 r3 dϕ dr = = ,
0 0 4 2
where we used polar coordinates to evaluate the integral over B1 (0).
—
Finally, as another application of Th. 3.30, we will prove Green’s identities, which, for
example, are of use in the theory of partial differential equations.
Theorem 3.32 (Green’s Identities). Let n ∈ N, n ≥ 2. Let Ω ⊆ Rn be open and
bounded, having a C 1 -boundary (then Ω and ∂Ω are compact; in particular, ∂Ω is a
finitely coverable (n − 1)-dimensional submanifold of class C 1 ). If Ω ⊆ U ⊆ Rn with U
open and f, g ∈ C 2 (U, R), then the following identities hold:
Z Z Z
n
h∇ f, ∇ gi dλ = f h∇ g, νi dσ − f ∆g dλn , (3.54a)
Ω ∂Ω Ω
Z Z
n
(f ∆g − g ∆f ) dλ = f h∇ g, νi − g h∇ f, νi dσ , (3.54b)
Ω ∂Ω
Pn
recalling ∆f = i=1 ∂i ∂i f .
A ORDER ON, ARITHMETIC IN, AND TOPOLOGY OF R 177
Proof. To prove (3.54a), apply Th. 3.30 to
F : U −→ Rn , F (x) := f (x) ∇ g(x) :
One has
div F : U −→ R, div F (x) = h∇ f (x), ∇ g(x)i + f (x) ∆g(x) : (3.55)
Indeed,
n
X n
X

h∇ f, ∇ gi + f ∆g = ∂i f ∂i g + f ∂i ∂i g = ∂i f ∂i g = div F (x).
i=1 i=1
Thus,
Z Z Z Z
n n (3.52)
h∇ f, ∇ gi + f ∆g dλ = div F dλ = hF, νi dσ = f h∇ g, νi dσ ,
Ω Ω ∂Ω ∂Ω
proving (3.54a).
If one interchanges the roles of f and g in (3.54a) and subtracts the resulting equation
from the original one, then one obtains (3.54b).
A Order on, Arithmetic in, and Topology of R

Notation A.1. By R := R ∪ {−∞, ∞}, we denote the set of extended real numbers.
—
One defines the order on, arithmetic in, and topology on R such that they, as far as
possible, constitute extensions of the respective (standard) definitions on R. In [Phi16b,
Ex. 1.52(b)], we had actually already considered the order and (resulting order) topology
on R. Here, we include it again for convenience.
Definition A.2. (a) The (total) order on R is extended to R by setting −∞ < a < ∞
for each a ∈ R. The absolute value function is extended from R to R by defining
|∞| := | − ∞| := ∞.
(b) The set of open intervals I o in R is defined to consist of R plus all open intervals
in R plus all intervals of the form [−∞, a[ or ]a, ∞], a ∈ R:

I o := R ∪ ]a, b[: a, b ∈ R, a < b

∪ [−∞, a[: a ∈ R ∪ {∞} ∪ ]a, ∞] : a ∈ R ∪ {−∞} . (A.1)
A ORDER ON, ARITHMETIC IN, AND TOPOLOGY OF R 178
Then the (standard) topology on R is defined by calling a set O ⊆ R open if, and
only if, each element x ∈ O is contained in an open interval I ∈ I o that is contained
in O, i.e. x ∈ I ⊆ O. In other words, I o is defined to be a base for the topology on
R.
(c) Addition, subtraction, and multiplication are extended from R to R by defining:
∀ a + (±∞) := (±∞) + a := ±∞, (A.2a)

a∈R
∀ a − (±∞) := −(±∞) + a := ∓∞, (A.2b)
a∈R
∞ + ∞ := ∞, −∞ + (−∞) := −∞, −(±∞) := ∓∞, (A.2c)
(
±∞ for a ∈]0, ∞],
∀ a · (±∞) := (±∞) · a := (A.2d)
a∈R ∓∞ for a ∈ [−∞, 0[,
0 · (±∞) := (±∞) · 0 := 0, (A.2e)
∞ − ∞ := −∞ + ∞ := 0. (A.2f)
Caveat A.3. Addition is not associative on R:
(−∞ + ∞) + 1 = 0 + 1 = 1 6= 0 = −∞ + ∞ = −∞ + (∞ + 1). (A.3)
Addition and multiplication are not distributive on R:
(−1 + 2) · ∞ = 1 · ∞ = ∞ 6= 0 = −∞ + ∞ = (−1) · ∞ + 2 · ∞. (A.4)
However, the following Lem. A.4 shows that commutativity of addition and multiplica-
tion hold on R as well as associativity of multiplication; associativity of addition also
holds if one removes one of the infinities. Moreover, (R, +) is not a group, as + is not
associative; (R \ {0}, ·) is not a group, as the infinities do not have multiplicative in-
verses; (R \ {∞}, +) and (R \ {−∞}, +) are not groups, as, in both cases, the remaining
infinity does not have an additive inverse.
Lemma A.4. Consider R with addition and multiplication as defined in Def. A.2(c).
(a) Addition is associative on ] − ∞, ∞] and on [−∞, ∞[: If a, b, c ∈] − ∞, ∞] or

a, b, c ∈ [−∞, ∞[, then
(a + b) + c = a + (b + c). (A.5)
(b) Addition is commutative on R: If a, b ∈ R, then
a + b = b + a. (A.6)
B ALGEBRAIC STRUCTURE ON RINGS OF SUBSETS 179
(c) Multiplication is associative on R: If a, b, c ∈ R, then

(ab)c = a(bc). (A.7)
(d) Multiplication is commutative on R. If a, b ∈ R, then

ab = ba. (A.8)
Proof. (a): If a, b, c ∈] − ∞, ∞], then both sides of (A.5) equal ∞ if, and only if,
∞ ∈ {a, b, c}; if a, b, c ∈ [−∞, ∞[, then both sides of (A.5) equal −∞ if, and only if,
−∞ ∈ {a, b, c}, proving (a).
(b): Commutativity of addition is immediate from (A.2a) and (A.2f).
(c): If 0 ∈ {a, b, c}, then (A.7) holds, since both sides are 0. If a, b, c ∈ R, then (A.7)
holds, since · is associative on R. If 0 ∈ / {a, b, c}, but {−∞, ∞} ∩ {a, b, c} 6= ∅, then
(ab)c = ±∞ and a(bc) = ±∞. However, letting
sgn(±∞) := ±1, (A.9)
due to (A.2d), we obtain

(ab)c = (sgn a · sgn b) · sgn c · ∞ = sgn a · (sgn b · sgn c · ∞ = a(bc),
proving (c).
(d): Commutativity of multiplication is immediate from (A.2d) and (A.2e).
Remark A.5. R with the topology defined in Def. A.2(b) constitutes a so-called com-
pactification of R, i.e. it is a compact topological space such that the topology on R is
recovered as the relative topology when considering R as a subset of R. Actually, it is
straightforward to verify R is homeomorphic to [−1, 1], where

−1
 for x = −∞,
x
φ : R −→ [−1, 1], φ(x) := |x|+1 for x ∈ R, (A.10)


1 for x = ∞,
provides a homeomorphism.
B Algebraic Structure on Rings of Subsets

Notation B.1. For sets A, B, we let
A ∆ B := (A \ B) ∪ (B \ A) = (A ∪ B) \ (A ∩ B) (B.1)
denote the symmetric difference of A and B.

—
Let X be a set. Recall that, for A ⊆ X, we have the characteristic function

(
1 if x ∈ A,
χA : X −→ {0, 1}, χA (x) := (B.2)
0 if x ∈/ A.
Moreover, we know from [Phi16b, Prop. 2.18] that
χ : P(X) −→ {0, 1}X , χ(A) := χA , (B.3)
is bijective. Also recall from Linear Algebra that, with addition and multiplication
modulo 2, Z2 = {0, 1} constitutes a field.
Proposition B.2. If X 6= ∅, then ({0, 1}X , +, ·) constitutes a commutative ring with

unity, if + and · denote pointwise addition and multiplication, respectively.
Proof. First note that + and · are associative, commutative, and distributive on {0, 1}X ,
as they are associative, commutative, and distributive on {0, 1}. The neutral element
of addition is χ∅ ≡ 0; the neutral element of multiplication is χX ≡ 1. If f ∈ {0, 1}X ,
then f is its own additive inverse:
(
0 + 0 = 0 if f (x) = 0,
∀ (f + f )(x) =
x∈X 1 + 1 = 0 if f (x) = 1,
completing the proof that ({0, 1}X , +, ·) constitutes a commutative ring with unity.
Proposition B.3. Let X 6= ∅ and A, B ⊆ X. Then the following holds:
(a) χA + χB = χA ∆ B .
(b) χA · χB = χA∩B .
Proof. (a): Let x ∈ X. Then
(χA + χB )(x) = 0 ⇔ (χA (x) = 0 ∧ χB (x) = 0) ∨ (χA (x) = 1 ∧ χB (x) = 1)

⇔ (x ∈
/A ∧ x∈ / B) ∨ (x ∈ A ∧ x ∈ B)
⇔ x∈/ A∪B ∨x∈A∩B
⇔ x∈/ A ∆ B ⇔ χA ∆ B (x) = 0.
(b): Let x ∈ X. Then
(χA · χB )(x) = 0 ⇔ χA (x) = 0 ∨ χB (x) = 0 ⇔ x ∈

/A ∨ x∈
/B
⇔ x∈/ A ∩ B ⇔ χA∩B (x) = 0,

Lemma B.4. Let A, B, C be sets. Then one has the following rules:
(a) The symmetric difference is commutative: A ∆ B = B ∆ A.

(b) The symmetric difference is associative: (A ∆ B) ∆ C = A ∆(B ∆ C).
(c) The following law of distributivity holds: (A ∆ B) ∩ C = (A ∩ C) ∆(B ∩ C).
(d) A ∪ B = (A ∆ B) ∆(A ∩ B).
(e) A \ B = A ∆(A ∩ B).
Proof. (a) is immediate from (B.1), since ∪ is commutative. Rules (b) – (d) can be
proved concisely by making use of Prop. B.2 and Prop. B.3: If we let X := A ∪ B ∪ C
then A, B, C ∈ P(X) and we are in the situation of the propositions. Let x ∈ X. For
(b), we compute
x ∈ (A ∆ B) ∆ C ⇔ χ(A ∆ B) ∆ C (x) = 1 ⇔ ((χA + χB ) + χC )(x) = 1

⇔ (χA + (χB + χC ))(x) = 1 ⇔ χA ∆(B ∆ C) (x) = 1
⇔ x ∈ A ∆(B ∆ C).
For (c), we compute
x ∈ (A ∆ B) ∩ C ⇔ χ(A ∆ B)∩C (x) = 1 ⇔ ((χA + χB ) · χC )(x) = 1

⇔ ((χA · χC ) + (χB · χC ))(x) = 1 ⇔ χ(A∩C) ∆(B∩C) (x) = 1
⇔ x ∈ (A ∩ C) ∆(B ∩ C).
For (d), we compute
x ∈ (A ∆ B) ∆(A ∩ B) ⇔ χ(A ∆ B) ∆(A∩B) (x) = 1 ⇔ ((χA + χB ) + χA · χB )(x) = 1

⇔ χA (x) = 1 ∨ χB (x) = 1 ⇔ x ∈ A ∪ B.
Finally, (e) holds, since
A ∆(A ∩ B) = (A \ (A ∩ B)) ∪ ((A ∩ B) \ A) = (A \ B) ∪ ∅ = A \ B,
which completes the proof.
C INITIAL AND FINAL σ-ALGEBRAS 182
Proposition B.5. Let X be a set, E ⊆ P(X). Then (E, ∆, ∩) is a ring in the sense
of Def. 1.13(b) if, and only if, it is a ring in the sense of algebra (i.e. in the sense of
[Phi16a, Def. C.7]).
Proof. Let (E, ∆, ∩) be a ring in the sense of Def. 1.13(b). If A, B ∈ E, then A ∆ B ∈ E

and A ∩ B ∈ E. By Lem. B.4(a),(b), ∆ is commutative and associative. The empty set
is neutral for ∆, and A ∆ A = ∅ shows that every set is inverse to itself with respect
to ∆. Thus, (E, ∆) is a commutative group. Since ∩ is also associative and the law of
distributivity holds by Lem. B.4(c), (E, ∆, ∩) is a ring in the sense of algebra. Conversely,
let (E, ∆, ∩) be a ring in the sense of algebra. Then E 6= ∅, i.e. there is A ∈ E. Then
∅ = A ∆ A ∈ E. If A, B ∈ E, then A ∪ B = (A ∆ B) ∆(A ∩ B) ∈ E by Lem. B.4(d) and
A \ B = A ∆(A ∩ B) by Lem. B.4(e), showing (E, ∆, ∩) to be a ring in the sense of Def.
1.13(b).
Remark B.6. The reason that one can not replace ∆ by ∪ in Prop. B.5 lies in the fact
of missing inverse elements: While ∅ is still neutral for ∪, if A 6= ∅, then there does not
exist a set B such that A ∪ B = ∅.
C Initial and Final σ-Algebras

In [Phi16b, Sec. F], the construction of initial and final topological spaces was intro-
duced. Analogous constructions exist for measurable spaces and we will briefly study
them in the present section (analogous to topology, initial σ-algebras include the con-
struction of product σ-algebras and trace σ-algebras (cf. Ex. C.4(a),(b) below)).
Definition C.1. Let X be a set and let (Xi , Ai )i∈I be a family of measurable spaces,
I 6= ∅.
(a) Given a family of functions (fi )i∈I , fi : X −→ Xi , the initial σ-algebra on X with
respect to the family (fi )i∈I is the smallest σ-algebra A on X that makes all fi
A-Ai -measurable (i.e. A is the intersection of all σ-algebras on X that make all
fi measurable – this intersection is well-defined, since the σ-algebra P(X) on X
always makes all fi measurable).
(b) Given a family of functions (fi )i∈I , fi : Xi −→ X, the final σ-algebra on X with
respect to the family (fi )i∈I is

−1
A := A ⊆ X : ∀ fi (A) ∈ Ai . (C.1)
i∈I
We will see in Lem. C.2(b) below (in generalization of Prop. 1.55(a)) that A is,
indeed, a σ-algebra, and that it is the largest σ-algebra on X that makes all fi
measurable.1
Lemma C.2. Let X be a set and let (Xi , Ai )i∈I be a family of measurable spaces, I 6= ∅.
(a) Given a family of functions (fi )i∈I , fi : X −→ Xi , the set

E := fi−1 (Ai ) : Ai ∈ Ai , i ∈ I (C.2)
is a generator of the initial σ-algebra A on X with respect to the family (fi )i∈I .
(b) Given a family of functions (fi )i∈I , fi : Xi −→ X, the final σ-algebra A on X with
respect to the family (fi )i∈I as defined in (C.1) is, indeed, a σ-algebra on X, and it
is the largest σ-algebra on X that makes all fi measurable.
Proof. (a) is immediate, since each σ-algebra A on X such that all fi , i ∈ I, are A-Ai -
measurable must contain E.
(b): For each i ∈ I, since ∅ = fi−1 (∅) ∈ Ai , one has ∅ ∈ A. If A ∈ A, then X \ A ∈ A,
since, for each i ∈ I, fi−1 (X \ A) = Xi \ fi−1 (A) ∈ Ai , due to Ai being a σ-algebra. If
(An )n∈N is a sequence of sets in A, then, for each i ∈ I,
∞
! ∞
[ [
−1
fi An = fi−1 (An ) ∈ Ai ,
n=1 n=1
S∞
as Ai is a σ-algebra. Thus, n=1 An ∈ A, which completes the proof that A is a
σ-algebra on X. It is immediate from the definition of A that each fi , i ∈ I, is Ai -A-
measurable. To see that A is the largest σ-algebra on X with this property, we still
need to show that every σ-algebra B on X making all fi Ai -B-measurable is contained
in A. To this end, let B be such a σ-algebra on X. If B ∈ B, then, for each i ∈ I,
fi−1 (B) ∈ Ai , i.e. B ∈ A, showing B ⊆ A.
Proposition C.3. Let X be a set and let (Xi , Ai )i∈I be a family of measurable spaces,
I 6= ∅.
(a) Given a family of functions (fi )i∈I , fi : X −→ Xi , let A denote the initial σ-
algebra on X with respect to the family (fi )i∈I . Then A has the property that each
map g : Z −→ X from a measurable space (Z, AZ ) into X is measurable if, and
only if, each map (fi ◦ g) : Z −→ Xi is measurable. Moreover, A is the only
σ-algebra on X with this property.
1
In the language of so-called Category Theory, we can say that the category of measurable spaces
(analogous to the category of topological spaces) has initial and final objects.
(b) Given a family of functions (fi )i∈I , fi : Xi −→ X, let A denote the final σ-algebra
on X with respect to the family (fi )i∈I . Then A has the property that each map
g : X −→ Z from X into a measurable space (Z, AZ ) is measurable if, and only if,
each map (g ◦ fi ) : Xi −→ Z is measurable. Moreover, A is the only σ-algebra on
X with this property.
Proof. (a): If g is AZ -A-measurable, then each composition fi ◦ g, i ∈ I, is AZ -Ai -

measurable. For the converse, assume each fi ◦ g, i ∈ I, to be AZ -Ai -measurable.
According to Lem. C.2(a), it suffices to show g −1 (fi−1 (A)) ∈ AZ for each i ∈ I and each
A ∈ Ai . Since g −1 (fi−1 (A)) = (fi ◦ g)−1 (A) and fi ◦ g is measurable, the proof is, thus,
complete. Now let B be an arbitrary σ-algebra on X with the property stated in the
hypothesis. Letting (Z, AZ ) := (X, B) and g := IdX , we see that each fi = fi ◦ g is
B-Ai -measurable, implying A ⊆ B. Now let A′ be an arbitrary σ-algebra on X that
makes all fi A′ -Ai -measurable. Letting (Z, AZ ) := (X, A′ ), we see that g := IdX is
A′ -B-measurable (since each fi = IdX ◦fi is A′ -Ai -measurable) i.e., for each B ∈ B,
we have g −1 (B) = B ∈ A′ , showing B ⊆ A′ and B ⊆ A, also completing the proof of
B = A.
(b): If g is A-AZ -measurable, then each composition g ◦ fi , i ∈ I, is Ai -AZ -measurable.
For the converse, assume each g ◦ fi , i ∈ I, to be Ai -AZ -measurable. If A ∈ AZ , then,
for each i ∈ I, fi−1 (g −1 (A)) ∈ Ai , showing g −1 (A) ∈ A according to (C.1). Thus, g is
A-AZ -measurable. Now let B be an arbitrary σ-algebra on X with the property stated
in the hypothesis. Letting (Z, AZ ) := (X, B) and g := IdX , we see that each fi = g ◦ fi
is Ai -AZ -measurable, implying B ⊆ A. Now let A′ be an arbitrary topology on X that
makes all fi Ai -A′ -measurable. Letting (Z, AZ ) := (X, A′ ), we see that g := IdX is
B-A′ -measurable (since each fi = fi ◦ IdX is Ai -A′ -measurable) i.e., for each A ∈ A′ ,
we have g −1 (A) = A ∈ B, showing A′ ⊆ B and A ⊆ B, also completing the proof of
B = A.
Q
Example C.4. (a) The product σ-algebra on X = i∈I Xi (cf. Def. 1.90) is the initial
σ-algebra with respect to the projections (πi )i∈I , πi : X −→ Xi (as is clear from
Lem. C.2(a)).
(b) The trace σ-algebra A|B on B ⊆ X, where (X, A) is a measurable space (cf.
Prop. 1.55(c)), is the initial σ-algebra with respect to the identity inclusion map
ι : B −→ X, ι(x) := x: This is also clear from Lem. C.2(a), since

A|B = A ∩ B : A ∈ A = ι−1 (A) : A ∈ A .
(c) In [Phi16b, Ex. F.4(c)], we considered the quotient topology as an example for a
final topology. Analogously, we consider the quotient σ-algebra as an example for
a final σ-algebra (however, in contrast to quotient topologies, quotient σ-algebras
D RIEMANN INTEGRAL ON INTERVALS IN RN 185
do not seem to play a particularly important role in the literature): Let (X, A)
be a measurable space and let ∼ be an equivalence relation on X. Moreover, let
Y := X/ ∼= {[x] : x ∈ X} be the corresponding quotient set (i.e. the set of
corresponding equivalence classes). Then the quotient σ-algebra on Y with respect
to ∼, denoted A/ ∼, is defined as the final σ-algebra with respect to the canonical
projection
π : X −→ Y, π(x) := [x].
Thus, by (C.1),
A/ ∼= A ⊆ Y : π −1 (A) ∈ A .
D Riemann Integral on Intervals in Rn

In generalization of [Phi16a, Sec. 10], we will define Riemann integrals for suitable
functions f : I −→ R, where I = [a, b] is a subset of Rn , a, b ∈ Rn , a ≤ b.
In generalization of [Phi16a, Sec. 10], given a nonnegative R function f : I −→ R+ 0 , we
aim to compute the (n + 1)-dimensional volume I f of the set “under the graph” of f ,
i.e. of the set

(x1 , . . . , xn , xn+1 ) ∈ Rn+1 : (x1 , . . . , xn ) ∈ I and 0 ≤ xn+1 ≤ f (x1 , . . . , xn ) . (D.1)
Moreover, for functions f : I −→ R that are not necessarily nonnegative, we would like
to count volumes
of sets of the form (D.1) (which are below the graph of f and above
the set I ∼
= (x1 , . . . , xn , 0) ∈ Rn+1 : (x1 , . . . , xn ) ∈ I ⊆ Rn+1 ) with a positive sign,
whereas we would like to count volumes of sets above the graph of f and below the set
I with a negative sign. In other words, making use of the positive and negative parts
f + = max(f, 0) and f − = max(−f, 0) of f = f + − f − , the integral needs to satisfy
Z Z Z
f = f − f −.
+
(D.2)
I I I
As in [Phi16a, Sec. 10], we restrict ourselves to bounded functions f : I −→ R.
R
As in [Phi16a, Sec. 10.1], the basic idea for the definition of the Riemann integral
R I
f is
to decompose the interval I into small intervals I1 , . . . , IN and approximate I f by the
P
finite sum N j=1 f (xj )|Ij |, where xj ∈ Ij and |Ij | denotes the volume of the interval Ij .
R
Define I f as the limit of such sums as the size of the Ij tends to zero (if the limit exists).
However, to carry out this idea precisely and rigorously is somewhat cumbersome, for
example due to the required notation.
As each n-dimensional interval I is a product of one-dimensional intervals, we will obtain
our decompositions of I from decompositions of one-dimensional intervals (the sides of
I).
Notation D.1. In generalization of [Phi16a, Def. 10.2], if a, b ∈ Rn , n ∈ N, a ≤ b, and

I := [a, b] = [a1 , b1 ] × · · · × [an , bn ], then we define
n
Y n
Y n
Y
|I| := (bj − aj ) = |aj − bj | = |Ij | (Ij := [aj , bj ]). (D.3)
j=1 j=1 j=1
Definition D.2. Recall the notion of partition for a 1-dimensional interval [a, b] ⊆ R
from [Phi16a, Def. 10.3]. We now generalize this notion to n-dimensional intervals,
n ∈ N: Given an interval I := [a, b] ⊆ Rn , a, b ∈ Rn , a < b, i.e. I = [a, b] = [a1 , b1 ]×· · ·×
[an , bn ], a partition ∆ of I is given by (1-dimensional) partitions ∆k = (xk,0 , . . . , xk,Nk )
of [ak , bk ],Qk ∈ {1, . . . , n}, Nk ∈ N. Given such a partition ∆ of I, for each (k1 , . . . , kn ) ∈
P (∆) := nk=1 {1, . . . , Nk }, define
n
Y
I(j1 ,...,jn ) := [xk,jk −1 , xk,jk ] = [x1,j1 −1 , x1,j1 ] × · · · × [xn,jn −1 , xn,jn ]. (D.4)
k=1
The number

|∆| := max |∆k | : k ∈ {1, . . . , n}

= max xk,l − xk,l−1 : k ∈ {1, . . . , n}, l ∈ {1, . . . , Nk } , (D.5)
is called the mesh size of ∆.

Moreover, if each ∆k is tagged by (tk,1 , . . . , tk,Nk ) ∈ RNk such that tk,j ∈ [xk,j−1 , xk,j ] for
each j ∈ {1, . . . , Nj }, then ∆ is tagged by (tp )p∈P (∆) , where
t(j1 ,...,jn ) := (t1,j1 , . . . , tn,jn ) ∈ I(j1 ,...,jn ) for each (j1 , . . . , jn ) ∈ P (∆). (D.6)
Remark D.3. If ∆ is a partition of I = [a, b] ⊆ Rn , n ∈ N, a, b ∈ Rn , a < b, as in Def.

D.2 above, then [
I= Ip (D.7)
p∈P (∆)
and
|Ip ∩ Iq | = 0 for each p, q ∈ P (∆) such that p 6= q, (D.8)
since, for p 6= q, Ip ∩ Iq is either empty or it is an interval such that one side consists of
precisely one point. Moreover, as a consequence of (D.7) and (D.8):
X
|I| = |Ip |. (D.9)
p∈P (∆)
Definition D.4. Consider an interval I := [a, b] ⊆ Rn , n ∈ N, a, b ∈ Rn , a < b, with a

partition ∆ of I as in Def. D.2. In generalization of [Phi16a, Def. 10.4], given a function
f : I −→ R that is bounded, define, for each p ∈ P (∆),
mp := mp (f ) := inf{f (x) : x ∈ Ip }, Mp := Mp (f ) := sup{f (x) : x ∈ Ip }, (D.10)
and
X
r(∆, f ) := mp |Ip |, (D.11a)
p∈P (∆)
X
R(∆, f ) := Mp |Ip |, (D.11b)
p∈P (∆)
where r(∆, f ) is called the lower Riemann sum and R(∆, f ) is called the upper Riemann
sum associated with ∆ and f . If ∆ is tagged by τ := (tp )p∈P (∆) , then we also define the
intermediate Riemann sum
X
ρ(∆, f ) := f (tp )|Ip |. (D.11c)
p∈P (∆)
Definition D.5. Let I = [a, b] ⊆ Rn be an interval, a, b ∈ Rn , n ∈ N, a < b, and

suppose f : I −→ R is bounded.
(a) Define

J∗ (f, I) := sup r(∆, f ) : ∆ is a partition of I , (D.12a)

J ∗ (f, I) := inf R(∆, f ) : ∆ is a partition of I . (D.12b)
We call J∗ (f, I) the lower Riemann integral of f over I and J ∗ (f, I) the upper
Riemann integral of f over I.
(b) The function f is called Riemann integrable over I if, and only if, J∗ (f, I) = J ∗ (f, I).
If f is Riemann integrable over I, then
Z Z
f (x) dx := f := J∗ (f, I) = J ∗ (f, I) (D.13)
I I
is called the Riemann integral of f over I. The set of all functions f : I −→ R that
are Riemann integrable over I is denoted by R(I, R) or just by R(I).
(c) The function g : I −→ C is called Riemann integrable over I if, and only if, both
Re g and Im g are Riemann integrable. The set of all Riemann integrable functions
g : I −→ C is denoted by R(I, C). If g ∈ R(I, C), then
Z Z Z Z Z
g := Re g, Im g = Re g + i Im g ∈ C (D.14)
I I I I I
is called the Riemann integral of g over I.
Remark D.6. If I and f are as before, then (D.10) implies
mp (f ) = −Mp (−f ) and mp (−f ) = −Mp (f ), (D.15a)
(D.11) implies
r(∆, f ) = −R(∆, −f ) and r(∆, −f ) = −R(∆, f ), (D.15b)
and (D.12) implies
J∗ (f, I) = −J ∗ (−f, I) and J∗ (−f, I) = −J ∗ (f, I). (D.15c)
Example D.7. Let I = [a, b] ⊆ Rn be an interval, a, b ∈ Rn , n ∈ N, a < b.
(a) Analogous to [Phi16a, Ex. 10.7(a)], if f : I −→ R is constant, i.e. f ≡ c with c ∈ R,

then f ∈ R(I) and Z
f = c |I| : (D.16)
I
We have, for each partition ∆ of I,
X X (D.9) X
r(∆, f ) = mp |Ip | = c |Ip | = c |I| = Mp |Ip | = R(∆, f ), (D.17)
p∈P (∆) p∈P (∆) p∈P (∆)
proving J∗ (f, I) = c |I| = J ∗ (f, I).
(b) An example of a function that is not Riemann integrable is given by the n-dimen-
sional version of the Dirichlet function of [Phi16a, Ex. 10.7(b)], i.e. by
(
0 for x ∈ I \ Qn ,
f : I −→ R, f (x) := (D.18)
1 for x ∈ I ∩ Qn .
P
Since r(∆, f ) = 0 and R(∆, f ) = p∈P (∆) |Ip | = |I| for every partition ∆ of I, one
obtains J∗ (f, I) = 0 6= |I| = J ∗ (f, I), showing that f ∈
/ R(I).
For a general characterization of Riemann integrable functions, see Th. 2.26(b).
Definition D.8. Recall the notions of refinement and superposition of partitions of

a 1-dimensional interval [a, b] ⊆ R from [Phi16a, Def. 10.8]. We now generalize both
notions to partitions of n-dimensional intervals, n ∈ N:
(a) If ∆ is a partition of [a, b] ⊆ Rn , n ∈ N, a, b ∈ Rn , a < b, as in Def. D.2, then another

partition ∆′ of [a, b] given by partitions ∆′k of [ak , bk ], k ∈ {1, . . . , n}, respectively,
is called a refinement of ∆ if, and only if, each ∆′k is a (1-dimensional) refinement
of ∆k in the sense of [Phi16a, Def. 10.8(a)].
(b) If ∆ and ∆′ are partitions of [a, b] ⊆ Rn , n ∈ N, a, b ∈ Rn , a < b, then the
superposition ∆ + ∆′ is given by the (1-dimensional) superpositions ∆k + ∆′k of the
[ak , bk ] in the sense of [Phi16a, Def. 10.8(b)]. Note that the superposition of ∆ and
∆′ is always a common refinement of ∆ and ∆′ .
Lemma D.9. Let n ∈ N, a, b ∈ Rn , a < b, I := [a, b], and suppose f : I −→ R is
bounded with M := kf ksup ∈ R+ ′
0 . Let ∆ be a partition of I and define
n
X
α := # ν(∆′k ) \ {ak , bk } (D.19)
k=1
i.e. α is the number of interior nodes that occur in the ∆′k . Then, for each partition ∆
of I, the following holds:
r(∆, f ) ≤ r(∆ + ∆′ , f ) ≤ r(∆, f ) + 2 α M φ(I)|∆|, (D.20a)

R(∆, f ) ≥ R(∆ + ∆′ , f ) ≥ R(∆, f ) − 2 α M φ(I)|∆|, (D.20b)
where
|I|
φ(I) := max : k ∈ {1, . . . , n} (D.21)
b k − ak
is the maximal volume of the (n − 1)-dimensional faces of I.
Proof. We carry out the proof of (D.20a) – the proof of (D.20b) can be conducted
completely analogous. Consider the case α = 1. Then there is a unique k0 ∈ {1, . . . , n}
such that there exists ξ ∈ ν(∆′k0 )\{ak0 , bk0 }. If ξ ∈ ν(∆k0 ), then ∆+∆′ = ∆, and (D.20a)
is trivially true. If ξ ∈
/ ν(∆k0 ), then xk0 ,l−1 < ξ < xk0 ,l for a suitable l ∈ {1, . . . , Nk0 }.
Recalling the notation from Def. D.2, we let

Pl (∆) := (j1 , . . . , jn ) ∈ P (∆) : jk0 = l , (D.22)
and define, for each (j1 , . . . , jn ) ∈ Pl (∆),

0 −1
kY n
Y
Ij′1 ,...,jn := [xk,jk −1 , xk,jk ] × [xk0 ,l−1 , ξ] × [xk,jk −1 , xk,jk ], (D.23a)
k=1 k=k0 +1
0 −1
kY n
Y
Ij′′1 ,...,jn := [xk,jk −1 , xk,jk ] × [ξ, xk0 ,l ] × [xk,jk −1 , xk,jk ], (D.23b)
k=1 k=k0 +1
and
m′p := inf{f (x) : x ∈ Ip′ }, m′′p := inf{f (x) : x ∈ Ip′′ } for each p ∈ Pl (∆). (D.24)
Then we obtain
X
r(∆ + ∆′ , f ) − r(∆, f ) = m′p |Ip′ | + m′′p |Ip′′ | − mp |Ip |
p∈Pl (∆)
X
= (m′p − mp ) |Ip′ | + (m′′p − mp ) |Ip′′ | . (D.25)
p∈Pl (∆)
Together with the observation

0 ≤ m′p − mp ≤ 2M, 0 ≤ m′′p − mp ≤ 2M, (D.26)
(D.25) implies
X |I|
0 ≤ r(∆ + ∆′ , f ) − r(∆, f ) ≤ 2M |Ip | = 2M (xk0 ,l − xk0 ,l−1 )
b k0 − ak 0
p∈Pl (∆)
≤ 2M |∆k0 | φ(I) ≤ 2M |∆| φ(I). (D.27)

The general form of (D.20a) now follows by an induction on α.
Theorem D.10. Let n ∈ N, a, b ∈ Rn , a < b, I := [a, b], and let f : I −→ R be
bounded.
(a) Suppose ∆ and ∆′ are partitions of I such that ∆′ is a refinement of ∆. Then

r(∆, f ) ≤ r(∆′ , f ), R(∆, f ) ≥ R(∆′ , f ). (D.28)
(b) For arbitrary partitions ∆ and ∆′ , the following holds:

r(∆, f ) ≤ R(∆′ , f ). (D.29)
(c) J∗ (f, I) ≤ J ∗ (f, I).

(d) For each sequence of partitions (∆k )k∈N of I such that limk→∞ |∆k | = 0, one has
lim r(∆k , f ) = J∗ (f, I), lim R(∆k , f ) = J ∗ (f, I). (D.30)
k→∞ k→∞
In particular, if f ∈ R(I), then

Z
k k
lim r(∆ , f ) = lim R(∆ , f ) = f, (D.31a)
k→∞ k→∞ I
and if f ∈ R(I) and the ∆k are tagged, then also

Z
k
lim ρ(∆ , f ) = f. (D.31b)
k→∞ I
(e) If there exists α ∈ R such that
α = lim ρ(∆k , f ) (D.32)

k→∞
for each sequence ofR tagged partitions (∆k )k∈N of I such that limk→∞ |∆k | = 0, then
f ∈ R(I) and α = I f .
Proof. (a): If ∆′ is a refinement of ∆, then ∆′ = ∆ + ∆′ . Thus, (D.28) is immediate

from (D.20).
(b): This also follows from (D.20):
(D.20a) (D.11) (D.20b)
r(∆, f ) ≤ r(∆ + ∆′ , f ) ≤ R(∆ + ∆′ , f ) ≤ R(∆′ , f ). (D.33)
(c): One just combines (D.12) with (b).

(d): Let (∆k )k∈N be a sequence of partitions of I such that limk→∞ |∆k | = 0, and let
∆′ be an arbitrary partition of I with numbers α, M , and φ(I) defined as in Lem. D.9.
Then, according to (D.20a):
r(∆k , f ) ≤ r(∆k + ∆′ , f ) ≤ r(∆k , f ) + 2 α M φ(I)|∆k | for each k ∈ N. (D.34)

From (b), we conclude the sequence r(∆k , f ) k∈N is bounded. Recall from [Phi16a,
Th. 7.27] that each bounded sequence (tk )k∈N in R has a smallest cluster point t∗ ∈ R,
and a largest cluster point t∗ ∈ R. Moreover, by [Phi16a, Prop. 7.26], there exists at
least one subsequence converging to t∗ and at least one subsequence converging to t∗ ,
and, in particular, the sequence converges if, and only if, t∗ = t∗ = limk→∞ tk . We can
apply this to the present situation: Suppose (r(∆kl , f ))l∈N is a converging subsequence
of (r(∆k , f ))k∈N with
β := lim r(∆kl , f ). (D.35)
l→∞
First note β ≤ J∗ (f, I) due to the definition of J∗ (f, I). Moreover, (D.34) implies
liml→∞ r(∆kl + ∆′ , f ) = β. Since r(∆′ , f ) ≤ r(∆kl + ∆′ , f ) and ∆′ is arbitrary, we
obtain J∗ (f, I) ≤ β, i.e. J∗ (f, I) = β. Thus, we have shown that every subsequence of
(r(∆k , f ))k∈N converges to β, showing
J∗ (f, I) = β = lim r(∆k , f ) (D.36)

k→∞
as claimed. In the same manner, one conducts the proof of J ∗ (f, I) = limk→∞ R(∆k , f ).
Then (D.31a) is immediate from the definition of Riemann integrability, and (D.31b)
follows from (D.31a), since (D.11) implies
r(∆, f ) ≤ ρ(∆, f ) ≤ R(∆, f ) (D.37)
for each tagged partition ∆ of I.

(e): Due to the definition of inf and sup,
∀ ∀ ∃ f (t∗ ) < inf{f (x) : x ∈ A} + ǫ, (D.38a)

∅6=A⊆I ǫ>0 t∗ ∈A
∀ ∀ ∃ f (t∗ ) > sup{f (x) : x ∈ A} − ǫ. (D.38b)

∅6=A⊆I ǫ>0 t∗ ∈A
In consequence, for each partition ∆ of I and each ǫ > 0, there are tags τ∗ := (tp,∗ )p∈P (∆)
and τ ∗ := (t∗p )p∈P (∆) such that
ρ(∆, τ∗ , f ) < r(∆, f ) + ǫ ∧ ρ(∆, τ ∗ , f ) > R(∆, f ) − ǫ. (D.39)
Now let (∆k )k∈N be a sequence of partitions of I such that limk→∞ |∆k | = 0. According
to the above, for each ∆k , there are tags τ∗k := (tkp,∗ )p∈P (∆k ) and τ k,∗ := (tk,∗
p )p∈P (∆k ) such
that

k k k 1 k k,∗ k 1
∀ ρ(∆ , τ∗ , f ) < r(∆ , f ) + ∧ ρ(∆ , τ , f ) > R(∆ , f ) − . (D.40)
k∈N k k
Thus,
(D.30) (∗)
J∗ (f, I) = lim r(∆k , f ) = lim ρ(∆k , τ∗k , f ) = α = lim ρ(∆k , τ k,∗ , f )
k→∞ k→∞ k→∞
(∗∗) (D.30)
= lim R(∆k , f ) = J ∗ (f, I), (D.41)
k→∞
where, at (∗) and (∗∗), we used (D.37), (D.40), and the RSandwich theorem [Phi16a, Th.
7.16]. Since (D.41) establishes both f ∈ R(I) and α = I f , the proof is complete.
Theorem D.11 (Riemann’s Integrability Criterion). Let I = [a, b] ⊆ Rn be an interval,

a, b ∈ Rn , n ∈ N, a < b, and suppose f : I −→ R is bounded. Then f is Riemann
integrable over I if, and only if, for each ǫ > 0, there exists a partition ∆ of I such that
R(∆, f ) − r(∆, f ) < ǫ. (D.42)
Proof. Suppose, for each ǫ > 0, there exists a partition ∆ of I such that (D.42) is
satisfied. Then
J ∗ (f, I) − J∗ (f, I) ≤ R(∆, f ) − r(∆, f ) < ǫ, (D.43)
showing J ∗ (f, I) ≤ J∗ (f, I). As the opposite inequality always holds, we have J ∗ (f, I) =
J∗ (f, I), i.e. f ∈ R(I) as claimed. Conversely, if f ∈ R(I) and (∆k )k∈N is a sequence of
partitions of I with limk→∞ |∆k | = 0, then (D.31a) implies that, for each ǫ > 0, there is
N ∈ N such that R(∆k , f ) − r(∆k , f ) < ǫ for each k > N .
E WALLIS PRODUCT 193
E Wallis Product
Proposition E.1. For each n ∈ N0 , consider the integral
Z π
I(n) := (sin x)n dx . (E.1)
0
(a) The integrals of (E.1) satisfy the following recursion:

n−1
∀ I(n) = I(n − 2). (E.2)
n≥2 n
(b) The integrals of (E.1) have the following product representations for each n ∈ N0 :
Z π n
Y
2n 2k − 1
I(2n) = (sin x) dx = π , (E.3a)
0 k=1
2k
Z π Yn
2k
I(2n + 1) = (sin x)2n+1 dx = 2 . (E.3b)
0 k=1
2k + 1
(c) One has the following representation of π as an infinite product, known as the Wallis
product:
∞ n
π Y 2k 2k Y 2k 2k 2 2 4 4 6 6
= · = lim · = · · · · · ··· .
2 k=1 2k − 1 2k + 1 n→∞
k=1
2k − 1 2k + 1 1 3 3 5 5 7
(E.4)
Proof. (a): We let n ≥ 2 and integrate by parts to obtain

Z π h iπ Z π
n n−1
I(n) = (sin x) dx = − (sin x) cos x + (n − 1) cos x (sin x)n−2 cos x dx
0 0 0
Z π

= 0 + (n − 1) 1 − (sin x)2 (sin x)n−2 dx
0
= (n − 1) I(n − 2) − (n − 1) I(n), (E.5)
implying n I(n) = (n − 1) I(n − 2) and (E.2).

(b): We use (a) to prove (E.3) via induction on n ∈ N0 : For (E.3a), we have
Y 2k − 1
I(0) = π = π (E.6)
2k
k∈∅
F IMPROPER RIEMANN INTEGRAL OF THE SINC FUNCTION 194
and, for each n ∈ N,

n−1
Y 2k − 1 Yn
n−1
(E.2) ind.hyp. 2n − 1 2k − 1
I(2n) = I(2n − 2) = π =π , (E.7)
n 2n k=1
2k k=1
2k
as needed. Similarly, for (E.3b), we have

Z π Y 2k
I(1) = sin x dx = [− cos x]π0 = −(−1) − (−1) = 2 = 2 (E.8)
0 2k + 1
k∈∅
and, for each n ∈ N,

n−1
Y 2k Yn
2n + 1 − 1
(E.2) ind.hyp. 2n 2k
I(2n + 1) = I(2n − 1) = 2 =2 , (E.9)
2n + 1 2n + 1 k=1 2k + 1 k=1
2k + 1
completing the induction and the proof of (b).

(c): For each x ∈ [0, 1], we have 0 ≤ sin x ≤ 1, implying
∀ ∀ 1 ≥ (sin x)n ≥ (sin x)n+1 ≥ 0 (E.10)
x∈[0,1] n∈N0
and
∀ I(n) ≥ I(n + 1) ≥ 0. (E.11)
n∈N0
Thus,
I(2n) I(2n − 1) 2n + 1
∀ 1≤ ≤ = , (E.12)
n∈N I(2n + 1) I(2n + 1) 2n
implying
n
Y
2n + 1 I(2n) (E.3) π 2k − 1 2k + 1
1 = lim = lim = lim · , (E.13)
n→∞ 2n n→∞ I(2n + 1) 2 n→∞ k=1 2k 2k
proving (c).
F Improper Riemann Integral of the Sinc Function

Definition F.1. The function
(
sin x
for x 6= 0,
f : R −→ R, f (x) := x
(F.1)
1 for x = 0,
is called the sinc function.
—
The sinc function is, clearly, continuous. We have seen in Ex. 2.58(a) that sinc is not
Lebesgue integrable. The goal of this section is to show that sinc is still improperly
Riemann integrable with Z ∞
sin x π
dx = . (F.2)
0 x 2
To this end, consider the function
Z ∞
sin x
+
g : R −→ R, g(t) := e−tx dx . (F.3)
0 x
For each t ∈ R+ , the integrand and its derivative with respect to t are Lebesgue inte-
grable, since they are dominated by the Lebesgue integrable function
(
| sin x|
x
for x < 1,
x 7→ −tx
(F.4)
xe for x ≥ 1.
For each ǫ > 0 and each t ≥ ǫ the integrand in (F.3) is uniformly dominated by
(
| sin x|
x
for x < 1,
x 7→ −ǫx
(F.5)
xe for x ≥ 1.
This shows that Cor. 2.24 applies on [ǫ, ∞[, implying g to be differentiable (even on R+ ,
since ǫ > 0 was arbitrary),
Z ∞ Z ∞
′ ′ −tx sin x
+
g : R −→ R, g (t) := − xe dx = − e−tx sin x dx . (F.6)
0 x 0
To compute the integral in (F.6) explicitly, we claim that an antiderivative of h(x) :=

−e−tx sin x is given by
cos x + t sin x
H(x) := tx . (F.7)
e (1 + t2 )
Indeed,
etx (t cos x − sin x) − tetx (cos x + t sin x)
H ′ (x) =
e2tx (1 + t2 )
− sin x − t2 sin x
= 2tx 2
= −e−tx sin x = h(x). (F.8)
e (1 + t )
Thus, for each t ∈ R+ ,

x=∞
′ cos x + t sin x 1 1
g (t) = =0− =− . (F.9)
etx (1 + t2 ) x=0 1+t 2 1 + t2
In consequence, both g and (− arctan) are antiderivatives of g ′ , implying
∃ ∀ g(t) = C − arctan(t). (F.10)

C∈R t∈R+
Using dominated convergence, we obtain

Z ∞
sin x DCT
lim g(t) = lim e−tx dx = 0 (F.11)
t→∞ t→∞ 0 x
and π π
C = lim g(t) + arctan(t) = 0 + = , (F.12)
t→∞ 2 2
that means
π
∀+
− arctan(t). g(t) = (F.13)
t∈R 2
For each r > 0, we can apply dominated convergence once again to yield
Z r Z r
sin x DCT sin x
dx = lim e−tx dx . (F.14)
0 x t→0 0 x
R kπ
For each t ≥ 0 and each k ∈ N, let at,k := (k−1)π e−tx sinx x dx . According to the Leibniz
criterion [Phi16a, Th. 7.85],
∞
X ∞ X

∀ g(t) = at,k , ∀ at,k < |at,j+1 | ≤ |a0,j+1 |. (F.15)
t>0 j∈N
k=1 k=j+1
and Z ∞
∞
sin x X ∞ X

dx = a0,k , ∀ a0,k < |a0,j+1 |. (F.16)
0 x j∈N
k=1 k=j+1
Thus, given ǫ > 0, we can choose R > 0, such that

Z r Z ∞
sin x sin x ǫ
∀ ∀ g(t) − e −tx
dx = e −tx
dx < (F.17)
r≥R t>0 0 x r x 4
and Z Z Z ∞
∞
sin x r
sin x sin x ǫ
∀ dx −
dx = dx < . (F.18)
r≥R x x x 4
0 0 r
Now let r ≥ R. Using (F.13) and (F.14), we choose δ > 0 such that
Z ∞
π sin x π ǫ
∀ > e−tx dx = g(t) > − (F.19)
0<t<δ 2 0 x 2 4
G TOPOLOGICAL AND MEASURE-THEORETIC SUPPLEMENTS 197
and Z Z
r
sin x r
sin x ǫ
∀ dx − e −tx
dx < . (F.20)
0<t<δ x x 4
0 0
Altogether, we then obtain, for 0 < t < δ,

Z ∞ Z r
π sin x π sin x
− dx ≤ − g(t) + g(t) − e −tx
dx
2 x 2 x
0 0
Z r Z r
sin x sin x
+ e−tx dx − dx
x x
Z0 r Z ∞ 0
sin x sin x ǫ
+ dx − dx < 4 · = ǫ. (F.21)
0 x 0 x 4
As ǫ > 0 was arbitrary, this proves (F.2).
G Topological and Measure-Theoretic Supplements
G.1 Transitivity of Dense Subsets

Proposition G.1. Let (X, T ) be a topological space, B ⊆ A ⊆ X. If B is dense in A
and A is dense in X, then B is dense in X.
Proof. Let ∅ 6= O ∈ T . Since A is dense in X, O ∩ A 6= ∅. Since O ∩ A ∈ TA and B is

dense in A, O ∩ A ∩ B 6= ∅. Thus, O ∩ B = 6 ∅, showing B to be dense in X.
G.2 Inverse Image and Trace for Semirings

Proposition G.2. Consider sets X, Y and a map f : X −→ Y .
(a) If S is a semiring on Y , then f −1 (S) is a semiring on X.
(b) Consider B ⊆ X. If S is a semiring on X, then the trace S|B is a semiring on B.
Proof. (a): As ∅ = f −1 (∅), ∅ ∈ f −1 (S). If R, S ∈ S, then
f −1 (R) ∩ f −1 (S) = f −1 (R ∩ S) ∈ f −1 (S),
since R ∩ S ∈ S due to S being a semiring. Moreover, as S is a semiring, for R, S ∈ S,

there are finitely many disjoint sets T1 , . . . , Tn , n ∈ N, such that Ti ∈ S for each
G TOPOLOGICAL AND MEASURE-THEORETIC SUPPLEMENTS 198
Ṡn
i ∈ {1, . . . , n}, and R \ S = i=1 Ti . Then
[n [
−1 −1 −1 −1 ˙ ˙ n
f (R) \ f (S) = f (R \ S) = f Ti = f −1 (Ti ),
i=1 i=1
completing the proof that f −1 (S) is a semiring.

(b): Due to (1.39), (b) follows immediately from (a).
G.3 Measurability with Respect to Completions

Proposition G.3. Let (X, A, µ), (X, B, ν) be measure spaces such that A ⊆ B ⊆ Ã,
µ = ν ↾A , ν = µ̃↾B , where (X, Ã, µ̃) is the completion of (X, A, µ). If f : X −→ K̂ is
B-measurable, then there exists an A-measurable function g : X −→ K̂ such that f = g
µ-almost everywhere.
Proof. First, assume f ≥ 0 (i.e. f ∈ M+ (B)) and choose a sequence (φk )k∈N in S + (B)
such that φk ↑ f . Then
N
!
X
f = lim φN = lim φ1 + (φk − φk−1 ) . (G.1)
N →∞ N →∞
k=2
Since φ1 ∈ S + (B) and each (φP + +

k −φk−1 ) ∈ S (B), there exist sequences (αk )k∈N in R and
∞
(Bk )k∈N in B such that f = k=1 αk χBk . Since Bk ∈ B ⊆ Ã, there exist Ak , Nk ∈ A,
Mk ⊆ Nk , such that Bk = Ak ∪ Mk , µ(Nk ) = 0. Define
∞
X
g := αk χAk . (G.2)
k=1
S
Then g ∈ M+ (A). T We claim f = g µ-a.e.: Indeed, if x ∈ / ∞ k=1 (Bk \ Ak ), then
/ ∞
f (x) = g(x) (if x ∈ B
k=1 Pk , then f (x) = g(x) = 0; if x ∈ B k implies x ∈ Ak for each
∞
k ∈ N, then f (x) = g(x) = k: x∈Bk αk ). Since, for each k ∈ N, Bk \ Ak ⊆ Mk ⊆ Nk ,
∞
! ∞
[ X
µ (Bk \ Ak ) ≤ µ(Nk ) = 0, (G.3)
k=1 k=1
we have shown f = g µ-a.e. For a general B-measurable f : X −→ K̂, we decompose f

into (Re f )± and (Im f )± in the usual way, and apply the case f ≥ 0 to the functions
(Re f )± , (Im f )± .
H POLAR COORDINATES 199
G.4 Interchanging Integrals with Uniform Limits

Proposition G.4. Let (X, A, µ) be a measure space with µ(X) < ∞. Let f, fn : X −→
K be measurable functions, n ∈ N, such that each fn is µ-integrable and f = limn→∞ fn
uniformly µ-a.e. (i.e. there exists a µ-null set N ∈ A such that f = limn→∞ fn uniformly
on N c ). Then f is µ-integrable with
Z Z
lim fn dµ = f dµ (G.4a)
n→∞ X X
and Z
lim |fn − f | dµ = 0. (G.4b)
n→∞ X
Proof. If µ(X) = 0, there is nothing to prove. Otherwise, given ǫ > 0, there exists
N ∈ N such that, for each n > N , kfn − f k∞ < ǫ/µ(X). Thus, for each n > N ,
Z
ǫ
|fn − f | dµ ≤ · µ(X) = ǫ,
X µ(X)
proving (G.4b). As
Z Z Z

∀ fn dµ − f dµ ≤ |fn − f | dµ ,
n∈N
X X X
(G.4a) is also proved. Since kf k1 ≤ kf − fn k1 + kfn k < ∞, f is µ-integrable.
H Polar Coordinates
Let
O := R+ ×]0, 2π[, U := R2 \ {(x, 0) : x ≥ 0}. (H.1)
We verify that the function defining polar coordinates, i.e.
φ : O −→ U, φ(r, ϕ) := (r cos ϕ, r sin ϕ), (H.2)
constitutes a C 1 -diffeomorphism:
We first show φ to be bijective with inverse map

φ−1 : U −→ O, φ−1 (x, y) = φ−1 −1
1 (x, y), φ2 (x, y) , (H.3a)
H POLAR COORDINATES 200
where, recalling the definition of arccot from [Phi16a, Def. and Rem. 8.27],
p
φ−1
1 (x, y) := x2 + y 2 , (H.3b)


arccot(x/y) for y > 0,
−1
φ2 (x, y) := π for y = 0, (H.3c)


π + arccot(x/y) for y < 0.
One verifies φ−1 ◦ φ = IdO :
∀ (φ−1 ◦ φ)(r, ϕ) = φ−1 (r cos ϕ, r sin ϕ) = (r, ϕ),
(r,ϕ)∈O
since
q
φ−1
1 (r cos ϕ, r sin ϕ) = r2 (cos2 ϕ + sin2 ϕ) = r,


arccot(cot ϕ) = ϕ for 0 < ϕ < π,
−1
φ2 (r cos ϕ, r sin ϕ) = π = ϕ for ϕ = π,


π + arccot(cot ϕ) = π + ϕ − π = ϕ for π < ϕ < 2π;
and φ ◦ φ−1 = IdU :
p p
−1
(φ ◦ φ )(x, y) = x2 + y2 cos φ−1
2 (x, y),
2 2 −1
x + y sin φ2 (x, y)
∀
(x,y)∈U
= (x, y),
since


 √ 1
= q 1 y2 = √ x2 2 for x > 0 (⇒ y 6= 0),

 1+(cot arccot(x/y)) −2
1+ 2 x +y

 x

 cos(π/2) = 0 = √ 2 2 x
for x = 0, y > 0,


 x +y
cos φ−1
2 (x, y) = cos(3π/2) = 0 = √ x2 2 for x = 0, y < 0,

 x +y

 −1

 √ = √ x2 2 for x < 0, y 6= 0,

 1+(cot arccot(x/y))−2 x +y


cos π = −1 = √ x2 2 for y = 0 (⇒ x < 0),
x +y


 √ 1
= r 1 2 = √ 2y 2 for y > 0,

 1+cot 2 arccot(x/y)
1+ x2 x +y
 y
sin φ−1
2 (x, y) = sin π = 0 = √ 2y 2 for y = 0,

 x +y

√
 −1
=√ y for y < 0.
1+cot2 arccot(x/y) x2 +y 2
Next, we note that φ has continuous first partials, where

cos ϕ −r sin ϕ
∀ Dφ(r, ϕ) = , det Dφ(r, ϕ) = r > 0. (H.4)
(r,ϕ)∈O sin ϕ r cos ϕ
Thus, φ is a C 1 -diffeomorphism by Def. and Rem. 2.64.
REFERENCES 201
References
[Alt06] Hans Wilhelm Alt. Lineare Funktionalanalysis, 5th ed. Springer-Verlag,
Berlin, 2006 (German).
[Beh87] E. Behrends. Maß- und Integrationstheorie. Springer-Verlag, Berlin, 1987
(German).
[Els07] Jürgen Elstrodt. Maß- und Integrationstheorie, 5th ed. Grundwissen
Mathematik, Springer-Verlag, Berlin, 2007 (German).
[For17] Otto Forster. Analysis 3, 8th ed. Springer Spektrum, Wiesbaden, Ger-
many, 2017 (German).
[Kön64] H. König. Ein einfacher Beweis des Integralsatzes von Gauß. Jahrestagung
der Deutschen Mathematischen Vereinigung. Vol. 66, 1964 (German).
[Kön04] Konrad Königsberger. Analysis 2, 5th ed. Springer-Verlag, Berlin, 2004
(German).
[Oss09] E. Ossa. Topologie. Vieweg+Teubner, Wiesbaden, Germany, 2009 (German).
[Phi16a] P. Philip. Analysis I: Calculus of One Real Variable. Lecture Notes, LMU Mu-
nich, 2015/2016, AMS Open Math Notes Ref. # OMN:202109.111306, avail-
able in PDF format at
https://www.ams.org/open-math-notes/omn-view-listing?listingId=111306.
[Phi16b] P. Philip. Analysis II: Topology and Differential Calculus of Several Vari-
ables. Lecture Notes, LMU Munich, 2016, AMS Open Math Notes Ref. #
OMN:202109.111307, available in PDF format at
https://www.ams.org/open-math-notes/omn-view-listing?listingId=111307.
[Phi19a] P. Philip. Linear Algebra I. Lecture Notes, Ludwig-Maximilians-Universität,

Germany, 2018/2019, available in PDF format at
http://www.math.lmu.de/~philip/publications/lectureNotes/philipPeter_LinearAlgebra1.pdf.
[Phi19b] P. Philip. Linear Algebra II. Lecture Notes, Ludwig-Maximilians-Universität,

Germany, 2019, available in PDF format at
http://www.math.lmu.de/~philip/publications/lectureNotes/philipPeter_LinearAlgebra2.pdf.
[RF10] Halsey Royden and Patrick Fitzpatrick. Real Analysis, 4th ed. Pearson
Education, Boston, USA, 2010.
[Rud87] W. Rudin. Real and Complex Analysis, 3rd ed. McGraw-Hill Book Company,
New York, 1987.

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Analysis III:

Measure and Integration Theory

September 17, 2021

3 Integration Over Submanifolds of Rn 146

A Order on, Arithmetic in, and Topology of R 177

B Algebraic Structure on Rings of Subsets 179

C Initial and Final σ-Algebras 182

D Riemann Integral on Intervals in Rn 185

E Wallis Product 193

F Improper Riemann Integral of the Sinc Function 194

G Topological and Measure-Theoretic Supplements 197

H Polar Coordinates 199

(a) If a, b ∈ Rn , a ≤ b, I := [a, b], then

(b) v is translation invariant, i.e., for each A ∈ P(Rn ) and each x ∈ Rn ,

v(A + x) = v(A), A + x := {a + x : a ∈ A}.

(c) v satisfies countable additivity, i.e. if A, Aj ∈ P(Rn ), j ∈ N, and if A is the disjoint

1.2 Measure Spaces and Generators

Definition 1.2. Let X be a set. A collection of subsets A ⊆ P(X) is called a σ-algebra

Lemma 1.3. Let X be a set and let A ⊆ P(X) be a σ-algebra on X.

(a) A is closed under finite unions: Let n ∈ N. Then

Proof. (a) follows from Def. 1.2(a),(c), as

(b) follows from Def. 1.2(b),(c) and (a), since

completing the proof of the lemma.

The next result will allow us to generate an abundance of σ-algebras:

Proof. Since ∅ is in each Ai , it is also in A. If A ∈ A, then A ∈ Ai for each i ∈ I, i.e.

Definition and Remark 1.7. Let X be a set. If E is a collection of subsets of X, i.e.

Proof. (a): Since C = {A ⊆ X : Ac ∈ T }, one has C ⊆ B and, thus, σ(C) ⊆ B (since B

Definition 1.10. Let (X, A) be a measurable space.

(a) A map µ : A −→ [0, ∞] is called a measure on (X, A) (or on X if A is understood)

diverge to s = ∞. In both cases, we define s to be the value of the sum. Throughout

(a) The zero measure µ0 : A −→ [0, ∞], µ0 ≡ 0, is clearly a measure, and so is

Then µ∞ is not σ-finite if X is uncountable (if X is countable, then µ∞ = µ0 ). For

(b) Another obvious measure is the so-called counting measure, defined by

(c) If X 6= ∅ and a ∈ X, then

is called the Dirac measure concentrated in a (clearly, it is a measure).

(d) Let X be nonempty and finite, #X = n ∈ N. Let m : X −→ R+ 0 be some function.

defines a measure on X. Moreover, if M := µm (X) 6= 0, then P := M −1 µm defines

1.3.1 Semirings, Rings, Algebras

Definition 1.13. Let X be a set, E ⊆ P(X).

(c) E is called an algebra on X if, and only if, E is a ring and X ∈ E.

E σ-algebra ⇒ E algebra ⇒ E ring ⇒ E semiring,

Example 1.16. (a) Let X be a set. Then S := {∅} ∪ {{x} : x ∈ X} is a semiring on

(b) The sets I 1 = {]a, b] : a, b ∈ R, a ≤ b} and IQ1 = {]a, b] : a, b ∈ Q, a ≤ b} of Ex.

If n > 1, then I n and IQn are still semirings on Rn :

Proposition 1.17. (a) If X, Y are sets, S is a semiring on X and T is a semiring on

(b) For each n ∈ N, the sets I n = {]a, b] : a, b ∈ Rn , a ≤ b} and IQn = {]a, b] : a, b ∈

Proof. (a): It is ∅ = ∅ × ∅ ∈ U. Now let A1 , A2 ∈ S and B1 , B2 ∈ T . Then

(A1 × B1 ) ∩ (A2 × B2 ) = (A1 ∩ A2 ) × (B1 ∩ B2 ) ∈ U.

As S and T are semirings, there are M, N ∈ N, disjoint C1 , . . . , CM ∈ S, and disjoint

which completes the proof that U is a semiring.

](a1 , . . . , an ), (b1 , . . . , bn )] =](a1 , . . . , an−1 ), (b1 , . . . , bn−1 )] × ]an , bn ]

for each a, b ∈ Rn with a ≤ b.

Proposition 1.18. (a) Let S be a semiring on X and A, B1 , . . . , BN ∈ S, N ∈ N.

(b) If S is a semiring on X, then

are as defined in Ex. 1.8(c).

1.3.2 Contents, Premeasures

Definition 1.19. Let X be a set and let S be a semiring on X.

Example 1.20. (a) A measure is a premeasure that is defined on a σ-algebra.

Then µ is a content, since

Proof. Uniqueness: Assume ν is a content on R such that ν ↾S = µ. If AS∈ R, then, by

(a) Monotonicity: If B ⊆ A, then µ(B) ≤ µ(A).

µ(A) = µ(B) + µ(A \ B). (1.8)

Since µ(A \ B) ∈ [0, ∞], this shows µ(B) ≤ µ(A).

µ(B) = µ(B \ A) + µ(A ∩ B),