Measure and Integration

Muhammad Atif Zaheer

Department of Mathematics,
National University of Sciences and Technology (NUST), Islamabad

July 9, 2022
 Contents

Preface ii

Chapter 1. Measure 1
1.1. Jordan Measure . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1

Chapter 2. Measures 7
2.1. Outer Measure on R . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7
2.2. Outer Measure of Closed Bounded Interval . . . . . . . . . . . . . . . . . 8

i
 Preface

These notes are primarily based on the text “Contemporary Abstract Algebra” by Joseph
A. Gallian.

ii
 Chapter 1

Measure

1.1 Jordan Measure

Definition 1.1.1. An interval is a bounded subset of R which has the property that
whenever a, b ∈ I and a < b then [a, b] ∈ I. The length |I| of an interval I is defined to be
sup I − inf I if I ̸= ∅ and 0 if I = ∅. A box in Rd is a Cartesian product B = I1 × · · · × Id
of d intervals I1 , . . . , Id . The volume |B| of a box B is defined as |B| = |I1 | × · · · × |Id |.
An elementary set is any subset of Rd which is a union of a finite number of boxes.
It is easily verified that a subset I of R is an interval if and only if it is of the form
[a, b], [a, b), (a, b], (a, b) where a ≤ b and in this case |I| = b − a. In fact, this is usually
what’s taken as the definition of a bounded interval and then our definition is proved as
its characterization.
Proposition 1.1.2. Let E and F be elementary sets in Rd . Then the union E ∪ F ,
the intersection E ∩ F , the difference E\F , and the symmetric difference E∆F are also
elementary sets. Also, if x ∈ Rd , then the translation of E, E + x is an elementary set.
Proof. Let
E = B1 ∪ · · · ∪ Bk and F = B1′ ∪ · · · ∪ Bk′ ′ ,
where B1 , . . . , Bk , B1′ , . . . , Bk′ ′ are boxes. Then
   
[k [k′ k′
k [
[
′
E ∩ F =  Bi  ∩  Bj  = Bi ∩ Bj′ .
i=1 j=1 i=1 j=1

It now suffices to show that the intersection of two boxes is again a box. Let Bi =
Ii,1 × · · · × Ii,d and Bj′ = Ij,1
′ ′
× · · · × Ij,d then Bi ∩ Bj′ = (Ii,1 ∩ Ij,1
′ ′
) × · · · × (Ii,d ∩ Ij,d ). The
fact that the intersection of two intervals is again an interval follows immediately from
the definition of interval. Thus Bi ∩ Bj′ is also a box and hence E ∩ F is an elementary
set.
We now show that E\F is also an elementary set. Note that
   
[ k [k′ [k \ k′
′
E\F =  Bi  \  Bj  = Bi \Bj′ .
i=1 j=1 i=1 j=1

Since elementary sets are closed under the operations of union and intersection therefore
it suffices to show that Bi \Bj′ is an elementary set. Observe that
d
[
Bi \Bj′ = (Ii,1 × · · · × ′
Ii,d )\(Ij,1 × ··· × ′
Ij,d ) = ′
Ii,1 × · · · × Ii,l \Ij,l × · · · × Ii,d .
l=1

1
 ′ ′
We will now prove that Ii,1 × · · · × Ii,l \Ij,l × · · · × Ii,d is an elementary set. If Ii,l ∩ Ij,l =∅
′ ′ ′
then Ii,l \Ij,l = Ii,l and we are done. On the other hand, if Ii,l ∩ Ij,l ̸= ∅ then Ii,l \Ij,l can be
′
written as a union of two intervals (see Exercise 1.1) and so Ii,1 × · · · × Ii,l \Ij,l × · · · × Ii,d
can be written as a union of two boxes and is thus an elementary set.
Finally, for any x ∈ Rd ,

E + x = (B1 + x) ∪ · · · ∪ (Bk + x).

For any 1 ≤ i ≤ k, we have Bi + x = (Ii,1 + x1 ) × · · · × (Ii,d + xd ). Since Ii,l + xl is again

an interval for any 1 ≤ l ≤ d therefore Bi + x is a box and hence E + x is an elementary
set.

Proposition 1.1.3 (Measure of an elementary set). Let E ⊂ Rd be an elementary set.

(a) E can be expressed as the finite union of disjoint boxes.

(b) If E is partitioned as the finite union B1 ∪· · ·∪Bk of disjoint boxes, then the quantity
m(E) = |B1 | + · · · + |Bk | is independent of the partition. In other words, given any
other partition B1′ , . . . , Bk′ ′ , one has |B1 | + · · · + |Bk | = |B1′ | + · · · + |Bk′ ′ |.

Proof. We first prove (a) for the case d = 1. Let I1 , . . . , Ik be nonempty intervals which
are not necessarily disjoint. Let ai , bi be the endpoints of the interval Ii . Let c1 , . . . , cn
be the listing of all endpoints a1 , . . . , ak , b1 , . . . , bk in an increasing order. The intervals
{c1 }, . . . , {cn }, (c1 , c2 ), . . . , (cn−1 , cn ) are all disjoint. From this list of disjoint intervals,
we choose only those intervals which have nonempty intersection with some Ii . Let
J1 , . . . , Jk′ be those intervals. It easily follows that if Jj ∩ Ii ̸= ∅ then Jj ⊂ Ii . Thus
J1 , . . . , Jk′ partition I1 ∪ · · · ∪ Ik . To prove the higher dimensional case, we express E as
a union of boxes B1 ∪ · · · ∪ Bk where Bi = Ii,1 × · · · × Ii,d . For each 1 ≤ j ≤ d, we use
the one dimensional argument to express I1,j , . . . , Ik,j as the union of disjoint intervals
J1,j , . . . , Jkj ,j . Note that
d
Y d
Y
E = B1 ∪ · · · ∪ Bk ⊂ I1,j ∪ · · · ∪ Ik,j = J1,j ∪ · · · ∪ Jkj ,j
j=1 j=1

[ d
Y
= Jij ,j .
(i1 ,...,id )∈ j=1
{1,...,k1 }×···×{1,...,kd }

Since Ji1 ,1 × · · · × Jid ,d are all disjoint for 1 ≤ ij ≤ kj , it is only left to show that whenever
(Ji,1 × · · · × Jid ,d ) ∩ E ̸= ∅, it is contained in E but this follows immediately from the fact
that whenever Jij ,j ∩ Ii,j ̸= ∅ we have Jij ,j ⊂ Ii,j .
To prove part (b), we use the discretisation argument. We will show that for any
interval I, we have
1 1
|I| = lim #(I ∩ Z). (1.1)
N →∞ N N
In the degenerate cases, the proof is trivial so we assume that I is of the form [a, b], [a, b),
(a, b], (a, b) where a < b. Let J = (a, b). It suffices to show that (1.1) holds for J as
1 1 1
#(J ∩ Z) ≤ #(I ∩ Z) ≤ #(J ∩ Z) + 2.
N N N
2
It is easy to show that
1
(b − a)N − 2 < [bN ] − [aN ] − 1 ≤ #(J ∩ Z) ≤ [bN ] − [aN ] < (b − a)N + 1
N
for bN − aN > 1 (see Exercise 1.2). It then follows from this that
2 1 1 1
(b − a) − < #(J ∩ Z) < (b − a) + .
N N N N
Letting N tend to ∞, we get the desired result.
Let B = I1 × · · · × Id . Then we get
Y Y 1 1
|B| = |Ij | = #(Ij ∩ Z)
lim
j j
N N →∞ N
1 Y 1
= lim d # Ij ∩ Z
N →∞ N N
j
1 1
= lim d
#(B ∩ Zd )
N →∞ N N
where the product runs over j = 1, . . . , d. Now if B1 , . . . , Bk is the partitioning of E into
disjoint boxes then
X 1 1 d
|B1 | + · · · + |Bk | = lim#(Bi ∩ Z )
N →∞ N d N
i
1 X 1
= lim d #(Bi ∩ Zd )
N →∞ N N
i
 
1 [ 1
= lim d #  (Bi ∩ Zd )
N →∞ N N
i

1 1
= lim d
#(E ∩ Zd ).
N →∞ N N
The last expression indicates that the sum of volumes of boxes partitioning E depends
solely on E and not on the specific partitioning of E.
The concept of measure m(E) extends the notion of volume, that is, m(B) = |B| for
a box B.

Proposition 1.1.4.

(a) If E and F are disjoint elementary sets then m(E ∪ F ) = m(E) + m(F ). More
generally, if E1 , . . . , Ek are disjoint elementary sets then m(E1 ∪· · ·∪Ek ) = m(E1 )+
· · · + m(Ek ).

(b) m(∅) = 0.

(c) If E ⊂ F then m(E) ≤ m(F ).

(d) If E1 , . . . , Ek are elementary sets not necessarily disjoint then m(E1 ∪ · · · ∪ Ek ) ≤

m(E1 ) + · · · + m(Ek ).

3
 (e) If E is an elementary set and x ∈ Rd then m(E + x) = m(E).
Definition 1.1.5 (Jordan Measure). Let E ⊂ Rd be a bounded set. The Jordan inner
measure, m∗ (E) of E is defined as
m∗ (E) = sup m(A).
A⊂E,A elementary

Similarly, the Jordan outer measure, m∗ (E) of E is defined as

m∗ (E) = inf m(B).
E⊂B,B elementary

If m∗ (E) = m∗ (E), then we say that E is Jordan measurable, and call m(E) = m∗ (E) =
m∗ (E), the Jordan measure of E.
Note that every elementary set E is Jordan measurable, and that the Jordan measure
and elementary measure coincide for such sets.
Proposition 1.1.6. Let E ⊂ Rd be bounded. Then E is Jordan measurable if and
only if for every ϵ > 0, there exist elementary sets A ⊂ E ⊂ B such that m(B\A) =
m(B) − m(A) < ϵ.
Proposition 1.1.7. Let E, F ⊂ Rd be Jordan measurable sets. Then
(a) (Boolean closure) E ∪ F , E ∩ F , E\F , and E∆F are Jordan measurable;
(b) (Nonnegativity) m(E) ≥ 0;
(c) (Finite additivity) if E, F are disjoint, then m(E ∪ F ) = m(E) + m(F );
(d) (Monotonicity) if E ⊂ F , then m(E) ≤ m(F );
(e) (Finite subadditivity) m(E ∪ F ) ≤ m(E) + m(F );
(f) (Translation invariance) for any x ∈ Rd , E + x is Jordan measurable, and m(E +
x) = m(E).
Proof. To prove part (a), let ϵ > 0 and A ⊂ E ⊂ B, A′ ⊂ F ⊂ B ′ be elementary sets
such that m(B\A) < ϵ/2 and m(B ′ \A′ ) < ϵ/2. Then we have A ∪ A′ ⊂ E ∪ F ⊂ B ∪ B ′ .
Taking the measure of difference, we get
m((B ∪ B ′ )\(A ∪ A′ )) = m(B\(A ∪ A′ ) ∪ B ′ \(A ∪ A′ ))
≤ m(B\(A ∪ A′ )) + m(B ′ \(A ∪ A′ ))
≤ m(B\A) + m(B ′ \A′ )
ϵ ϵ
< + = ϵ.
2 2
Thus E ∪ F is Jordan measurable. To prove that E ∩ F is Jordan measurable, note that
A ∩ A′ ⊂ E ∩ F ⊂ B ∩ B ′ . Again, taking the measure of difference, we obtain
m((B ∩ B ′ )\(A ∩ A′ )) = m((B ∩ B ′ )\A ∪ (B ∩ B ′ )\A′ )
≤ m((B ∩ B ′ )\A) + m((B ∩ B ′ )\A′ )
≤ m(B\A) + m(B ′ \A′ )
ϵ ϵ
< + = ϵ.
2 2

4
Thus E ∩ F is Jordan measurable. To show that E\F is Jordan measurable, observe that
A\B ′ ⊂ E\F ⊂ B\A′ . Once again, taking the measure of difference, we get
m((B\A′ )\(A\B ′ )) = m(B\(A ∪ A′ ) ∪ (B ∩ B ′ )\A′ )
≤ m(B\(A ∪ A′ )) + m((B ∩ B ′ )\A′ )
≤ m(B\A) + m(B ′ \A′ )
ϵ ϵ
< + = ϵ.
2 2
Hence E\F is also Jordan measurable. Using the results we have proved so far it follows
immediately that E∆F = (E\F ) ∪ (F \E) is Jordan measurable.
The part (b) follow readily from the fact that the measure of an elementary set is
nonnegative. For part (c), let A ⊂ E ⊂ B and A′ ⊂ F ⊂ B ′ be elementary sets such that
m(B\A) < ϵ/2 and m(B ′ \A′ ) < ϵ/2. Then A ∪ A′ ⊂ E ∪ F ⊂ B ∪ B ′ . Since E and F
are disjoint therefore A and A′ are also disjoint, and so
m(A) + m(A′ ) = m(A ∪ A′ ) ≤ m(E ∪ F ) ≤ m(B ∪ B ′ ) ≤ m(B) + m(B ′ ). (1.2)
But
m(A) + m(A′ ) ≤ m(E) + m(F ) ≤ m(B) + m(B ′ ). (1.3)
Combining (1.2) and (1.3), we get
|m(E ∪ F ) − m(E) − m(F )| ≤ (m(B) − m(A)) + (m(B ′ ) − m(A′ ))
= m(B\A) + m(B ′ \A′ )
ϵ ϵ
< + = ϵ.
2 2
The parts (d) and (e) follow immediately from parts (b) and (c). Finally, to prove
part (f), let A ⊂ E ⊂ B be elementary sets satisfying m(B\A) < ϵ. Then A + x ⊂
E + x ⊂ B + x. But by the translation property of elementary measure, we have
m((B + x)\(A + x)) = m(B + x) − m(A + x) = m(B) − m(A) = m(B\A) < ϵ.
Thus the translation of E, E + x is Jordan measurable. Furthermore,
m(A) = m(A + x) ≤ m(E + x) ≤ m(B + x) = m(B).
Since m(E) and m(E + x) both lie between m(A) and m(B) therefore
|m(E + x) − m(E)| ≤ m(B) − m(A) = m(B\A) < ϵ.
Hence m(E + x) = m(E); the Jordan measure is translation invariant.
Proposition 1.1.8. Let E ⊂ Rd be a Jordan measurable set then
1 1
m(E) = lim d
#(E ∩ Zd ).
N →∞ N N
Proof. Let A ⊂ E ⊂ B be elementary sets satisfying m(E) − ϵ < m(A) ≤ m(E) and
m(E) ≤ m(B) < m(E) + ϵ. Let N0 be a positive integer such that
1 1 d 1 1 d 1 1 d
m(E) − ϵ < #(A ∩ Z ) ≤ #(E ∩ Z ) ≤ #(B ∩ Z ) < m(E) + ϵ
Nd N Nd N Nd N
for all N ≥ N0 . Thus we get the desired result.

5
 Exercises

Exercise 1.1. Let I and J be intervals in R. Show that if I ∩ J ̸= ∅ then I\J can
be written as a union of two disjoint intervals. (Hint: Let c ∈ I ∩ J and consider sets
{x ∈ I\J : x < c} and {x ∈ I\J : x > c}.)

Exercise 1.2. Let x, y ∈ R satisfying y − x > 1. Then show that the number of integers
n lying between x and y (exclusively) is [y] − [x] if y ̸= [y] and [y] − [x] − 1 if y = [y].

Solution. First note that if a and b are integers and a ≤ b then the integers lying
between a and b (inclusively) are precisely a, a + 1, . . . , a + (b − a). Hence the number of
integers lying between a and b is exactly b − a + 1.
First note that if y − x > 1 then x < [x] + 1 < y; hence the number of integers lying
between x and y is at least 1. Now suppose that y is not an integer, i.e., y ̸= [y] then
x < n < y if and only if [x] + 1 ≤ n ≤ [y]. Hence the number of integers lying between x
and y is exactly [y]−[x]. On the other hand, if y is an integer, i.e., y = [y] then x < n < y
if and only if [x] + 1 ≤ n ≤ [y] − 1. Hence the number of integers lying between x and y
is exactly [y] − [x] − 1.

6
 Chapter 2

Measures

2.1 Outer Measure on R

Definition 2.1.1. The length |I| of an open interval I is defined by




 b − a if I = (a, b) for some a, b ∈ R with a < b,

0 if I = ∅,
|I| =


 ∞ if I = (a, ∞) or I = (−∞, a) for some a ∈ R,
∞

if I = (−∞, ∞).

Definition 2.1.2. The outer measure |A| of a set A ⊂ R is defined by

∞
X ∞
[ 
|A| = inf |Ik | : I1 , I2 , . . . are open intervals such that A ⊂ Ik .
k=1 k=1

Example 2.1.3 (Finite sets have outer measure 0). Let A = {a1 , . . . , an } be a finite set.
Suppose ϵ > 0. Define a sequence I1 , I2 , . . . of open intervals by
(
(ak − ϵ, ak + ϵ) if k ≤ n,
Ik =
∅ if k > n.

Then
P∞ I1 , I2 , . . . is a sequence of open intervals whose union contains A. Clearly, we have
k=1 |Ik | = 2ϵn. Hence |A| ≤ 2ϵn. Because ϵ is an arbitrary positive number, this implies
that |A| = 0.

Proposition 2.1.4. Every countable subset of R has outer measure 0.

Proof. Suppose A = {a1 , a2 , . . . } is a countable subset of R. Let ϵ > 0. For every k ∈ Z+ ,

let  
ϵ ϵ
Ik = ak − k , ak + k .
2 2
Then I1 , I2 , . . . is a sequence of open intervals whose union contains A. Because
∞
X
|Ik | = 2ϵ,
k=1

we have |A| ≤ 2ϵ. Because ϵ is an arbitrary positive number, this implies that |A| = 0.

7
Proposition 2.1.5 (Outer measure preserves order). Suppose A and B are subset of R
with A ⊂ B. Then |A| ≤ |B|.
Proposition 2.1.6 (Outer measure is translation invariant). Suppose t ∈ R and A is a
subset of R. Then |t + A| = |A|.
Proposition 2.1.7 (Countable subadditivity of outer measure). Suppose A1 , A2 , . . . is
a sequence of subsets of R. Then
 ∞  ∞
[  X

 Ak  ≤
 |Ak |.
k=1 k=1
P∞
P∞ If k=1 |Ak | = ∞, then the inequality+ above clearly holds.
Proof.
+
Now assume that
k=1 |Ak | < ∞. Then |Ak | < ∞ for all k ∈ Z . For each k ∈ Z , let Ik,1 , Ik,2 , . . . be a
sequence of open intervals whose union contains Ak such that
∞
X ϵ
|Ik,j | ≤ |Ak | + .
j=1
2k

Thus ∞
∞ X ∞
X X
|Ik,j | ≤ ϵ + |Ak |.
k=1 j=1 k=1

Let f : Z → Z × Z be a bijection. Let N ∈ Z+ be fixed and let f (n) = (kn , jn ). Let

+ + +

K and J be the maximum of k1 , . . . , kN and j1 , . . . , jN respectively. Then we have

N
X K X
X J ∞
X
|If (n) | ≤ |Ik,j | ≤ ϵ + |Ak |.
n=1 k=1 j=1 k=1

Hence, we obtain
∞
X ∞
X
|If (n) | ≤ ϵ + |Ak |.
n=1 k=1
S∞
Since the union of the sequence If (1) , If (2) , . . . of open intervals contain k=1 Ak , we get
| S∞
S P∞
A
k=1 k | ≤ ϵ +
P∞ k=1 k |A | Because ϵ is an arbitrary positive number, this implies that
∞
| k=1 Ak | ≤ k=1 |Ak |.

2.2 Outer Measure of Closed Bounded Interval

Definition 2.2.1 (Open cover). Let A ⊂ R. Then a collection C of open sets is called
an open cover of A if A is contained in the union of all the sets in C. An open cover C is
said to have a finite subcover if there exists a finite subcollection F of C which covers A.
Example 2.2.2. The S collection {(0, 2 − 1/n) : n ∈ Z+ } is an open cover of the open
interval (0, 2) because n∈Z+ (0, 2 − 1/n) = (0, 2). This open cover does not have a finite
subcover because there do not exist finitely many sets of the form (0, 2 − 1/n) whose
union contains (0, 2).
Theorem 2.2.3 (Heine-Borel Theorem). Every open cover of a closed bounded subset of
R has a finite subcover.

8
Proof. We first prove the theorem for closed and bounded intervals. Let C be an open
cover of the closed interval [a, b] where a < b.1 Let

D = {d ∈ [a, b] : [a, d] has a finite subcover from C}

Note that a ∈ D (because a ∈ G for some G ∈ C). Thus D is nonempty. Let

s = sup D.

Thus s ∈ [a, b]. Hence there exists an open set G ∈ C such that s ∈ G. Let δ > 0 be such
that (s − δ, s + δ) ⊂ G. Because s = sup D, there exists d ∈ (s − δ, s] and n ∈ Z+ and
G1 , . . . , Gn ∈ C such that
[a, d] ⊂ G1 ∪ · · · ∪ Gn .
Now
[a, d′ ] ⊂ G ∪ G1 ∪ · · · ∪ Gn (2.1)
for all d′ ∈ [s, s − δ). Thus d′ ∈ D for all d′ ∈ [s, s + δ) ∪ [a, b]. This implies that s = b.
Furthermore, (2.1) with d′ = b shows that [a, b] has a finite subcover from C.
Now we prove the general case. Let F be a closed and bounded set and let C be an
open cover of F . Then F can be enclosed inside a closed interval [a, b] for some a, b ∈ R.
Now C ∪ {R\F } is an open cover of [a, b]. By our first case, there exist G1 , . . . , Gn ∈ C
such that
[a, b] ⊂ G1 ∪ · · · ∪ Gn ∪ (R\F ).
Then
F ⊂ G1 ∪ · · · ∪ Gn ,
completing the proof.

Lemma 2.2.4. Let I1 , . . . , In be a finite sequence of open intervals whose union contains
the closed interval [a, b], where a < b. Then
n
X
|In | ≥ b − a.
k=1

Proof. Let [a, b] be a fixed closed interval. We proceed via induction. The case n = 1
is trivial. Now suppose that for some Sn+1n ∈ Z+ , the lemma holds. Let I1 , . . . , In , In+1
be open intervals such that [a, b] ⊂ k=1 Ik . Then b is in at least one of the intervals
I1 , . . . , In , In+1 . Without loss of generality, assume that b ∈ In+1 . Suppose I = (c, d). If
c ≤ a then |In+1 | ≥ b − a and there is nothing further to prove; thus we can assume that
a < c < b < d. Hence
[a, c] ⊂ I1 ∪ · · · ∪ In .
By our induction hypothesis, we have nk=1 |Ik | ≥ c − a. Thus
P

n+1
X
|Ik | ≥ (c − a) + |In+1 | = (c − a) + (d − c) = d − a ≥ b − c,
k=1

completing the proof.

1
The degenerate case a = b is trivial.

9
Theorem 2.2.5. Suppose a, b ∈ R, with a < b. Then |[a, b]| = b − a.

Proof. We first show that |[b − a]| ≤ b − a. Indeed, if ϵ > 0, then (a − ϵ, b + ϵ), ∅, ∅, . . .
is a sequence of open intervals whose union contains [a, b]. Thus |[a, b]| ≤ (b − a) + 2ϵ.
Because the inequality holds for all ϵ > 0, we conclude that |[a, b]| ≤ b −Sa.
Now let I1 , I2 , . . . be a sequence of open intervals such that [a, b] ⊂ ∞
k=1 Ik . By the
+
Heine-Borel Theorem 2.2.3, there exists n ∈ Z such that

[a, b] ⊂ I1 ∪ · · · ∪ In .

By the Lemma 2.2.4, we have

n
X ∞
X
b−a≤ |Ik | ≤ |Ik |,
k=1 k=1

completing the proof that |[a, b]| ≥ b − a. Hence the theorem follows.

Corollary 2.2.6. Every interval in R that contains at least two distinct elements is
uncountable.

10