m-proper measurable ‘mapping measurable fonction « |. REVIEW OF FUNDAMENTAL NOTIONS OF ANALYSIS ‘The conditions are obviously necessary. When P satisfies these two conditions it is said to be m-proper. Every proper (p. 17) continuous mapping is obviously m-proper. Thus every homeomorphism is m-proper. We will use in Chapter VII the fact that every measurable mapping is m-proper if m is finite (bounded). 4. MEASURABLE FUNCTIONS ‘A mapping u from the measurable space (X, «f) to the measurable space CY, @) is called measurable if u"\(B) of for every BE 2. Example 1: If (Y,B,n) is the image of (X, l,m) by the mapping P (p. 37) then P is measurable. Example 2: If X and ¥ are topological spaces and if land @ are the Borel sets of X and ¥ respectively then every continuous mapping from X into ¥ is measurable. If f and g are measurable mappings respectively from (X, f) to (Y, 8) and from (¥,@) to (Z,) then fe g is a measurable mapping from (X, cf) to (Z, €). The measurable spaces are the members of a category whose morphisms are the measurable mappings. A real function on the measure space (X, sf, m) is measurable measurable map from X into R. An equivalent condition is, xja 0 there exists @ compact K, CK and a continuous function g defined on K, such that m(K ~ K,) €)=0 for every €>0. Convergence in measure does not imply point-wise convergence a... but it m(X)=, pointwise “convergence ac. implies convergence in imeasure through a stronger property, uniform convergence a.e. More precisely: Egorov theorem. If a sequence (J,) converges point-wise a.e. in a finite ‘measure m on X to a finite measurable function f, then for every € >0 there exists a subset A of X such that m(X ~ A)=€ and the convergence of (2) t0 fis uniform on A. S. INTEGRABLE FUNCTIONS The following propositions apply to both real valued and complex valued functions. A function on (X, .f, m) is said to be simple! (finitely valued) if it is zero except on a finite number n of disjoint sets A, € sf of finite measure m(A,) where the function is equal to a finite constant k,. AEX =R and ifthe A/s are intervals, a simple function is often called a step function. simple functions step fonctionintegrable function a 1. REVIEW OF FUNDAMENTAL NOTIONS OF ANALYSIS The integral of a simple function is, by definition, [ram=$ man It can be proved that if f is an extended real valued (with values in R={-=}URU(+=}) measurable function defined on X then there exists a sequence (f,) of simple functions converging point-wise to f. If moreover f is positive, then the f, may be chosen positive and the sequence (f.) increasing fe20.fe< feos ‘This property paves the way for the following definition of the integral of a positive function Let f be a positive extended real valued measurable function on the measure space (X, s,m). Then J fdm is the supremum of the integrals Jxo-dm as p ranges over all simple functions with 0 pf. If Sxfidm is finite f is said to be integrable, its integral is fx fdm. Properties of the integral are more easily obtained through the following theorem. Monotone convergence theorem. If an increasing sequence of positive integrable functions (f. = 0) converges a.e. 10 f and if lim Sx f, dm exists, then f is integrable and This theorem is a consequence of the following lemma. Fatou lemma. Let (f,) be a sequence of positive measurable functions which converge almost everywhere to f. Then framstimint [am Recall that lim inf ay An arbitrary real valued function f can always be written f= f*—f- with f° and f~ positive functions. It is said to be integrable if both f° and f- "See a simple construction in (Marl, 2.1151ar integrable ts integra is then Jram= f ram=f ram It is easy to see that f is integrable iff it is measurable and Jy |f|dm is ft hence the flowing there Theorem. A measurable function f is integrable if and only if \f| is integrable, Integration on a subset AG of of X. Let xq be the characteristic function of A. By definition [1am nim If A= Ur, A, with (4) disjoint, then Properties of integrals. 1) An integral is a linear function on the space of integrable functions on A, fort uerdm=af ramen f eam. 2V1f f| =|s|a.c. and if g is integrable and f measurable, then f isintegrable, 3)If fg ae. and if f and g are integrable, then [rams ram Exercise: Use these properties to deduce the following, 1) If f is measurable and |f| bounded on a measurable set A of finite measure, then f is integrable on A and [from] =tmca,—when f (1 If the measure space (X, sf, m) is a product (Mx M’, of @ sl", m @ m')D. INTEGRATION 4s (cf. p. 37) the integral I of a function integrable on M x M' is denoted r= ff paman Fubini theorem. A measurable function f on MXM’ is integrable if and only if one of the integrals Jf iton}om ana f {finan} ane exists (is finite. “| iim =f amfon= | {fom Example: The measurable function on R?: f(x, y)=(07= y IMC? + y's not integrable on the rectangle B=((x, 05x 51,05 y leveco / --3 4 2-20 jog fox f ays.=% It follows from f fim ydx=—St 5 +x and yi By , : AP feresmar=h that fay faxlex.»| is intnt Image measure and integral. Let (Y, Bn) bea measure space, image under the mapping u of the measure space (X, sf, m). It can be proved that a measurable function on Y is integrable on Y if and only if f © u isinduced Lebesgue integral 6 |. REVIEW OF FUNDAMENTAL NOTIONS OF ANALYSIS. fra integrable on X. Then [remem Remark: If f is measurable, it is clear that f° u is measurable. A particular case of the above formula is the change of variables in the Lebesgue integral on R* (see below). Another useful formula, not to be confused with the preceding one, is the integral with respect to an induced measure, which we shall give presently. Let (X, sf.) be a measure space, Y a measurable subset of X. The subsets A= YA, AG are in of and are a a-field of subsets, of Therefore (Y, i), with ri(A) = m(A) is a measure space. The measure (ci, m) is said to be the measure induced by m on Y. Let y» be the characteristic function of Y CX, and i be the inclusion map ¥>X. If f is a measurable function on X, such that xof is measurable and if, moreover, yvf is m-integrable and fei is m-in- tegrable then the integrals are equal farien fssfam from 6. INTEGRATION ON LOCALLY COMPACT SPACES, We have defined a Borel measure on a locally compact space X as a measure (countably additive mapping) on the Borel o-field (the o-field ‘generated by the open sets) which is such that the measure of every ‘compact set is finite. An easy consequence of such a definition is that every continuous function with compact support on a Borel measure space is integrable." Lebesgue integral. A case of special importance for applications is the Lebesgue integral on R". The integral with respect to the Lebesgue measure on R" (p. 38) is called the Lebesgue integral and denoted J fax All the previously given properties of the integral apply to that case. The formula for the integral with respect to an image measure under a "We shall see (p. 53) that these functions are dense in the space of integrable functions.