Theory of Measure and Integration

J
Yeh

REAL ANALYSIS
Theory of Measure and Integration
2nd Edition

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2nd Edition

REAL ANALYSIS
Theory of Measure and Integration J Yeh
University of California, Irvine

\jJ5 World Scientific
NEW JERSEY • LONDON • SINGAPORE • BEIJING • SHANGHAI • HONG KONG • TAIPEI • CHENNAI

Published by World Scientific Publishing Co. Pte. Ltd. 5 Toh Tuck Link, Singapore 596224 USA office: 27 Warren Street, Suite 401-402, Hackensack, NJ 07601 UK office: 57 Shelton Street, Covent Garden, London WC2H 9HE

Library of Congress Cataloging-in-Publication Data Yeh, J. Real analysis: theory of measure and integration / J. Yeh. -- 2nd ed. p. cm. Rev. ed. of: Lectures on real analysis. 1st ed. c2000. ISBN 981-256-653-8 (alk. paper) - ISBN 981-256-654-6 (pbk.: alk. paper) 1. Measure theory. 2. Lebesgue integral. 3. Integrals, Generalized. 4. Mathematical analysis. 5. Lp spaces. I. Yeh, J. Lectures on real analysis. II. Title. QA312.Y44 2006 515'.42-dc22 2006045274

British Library Cataloguing-in-Publication Data A catalogue record for this book is available from the British Library.

Copyright © 2006 by World Scientific Publishing Co. Pte. Ltd. All rights reserved. This book, or parts thereof, may not be reproduced in any form or by any means, electronic or mechanical, including photocopying, recording or any information storage and retrieval system now known or to be invented, without written permission from the Publisher.

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To Betty

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Contents
Preface to the First Edition Preface to the Second Edition Notations 1 Measure Spaces §0 Introduction §1 Measure on a a -algebra of Sets [I] a -algebra of Sets [II] Limits of Sequences of Sets [III] Generation of a -algebras [IV] Borel CT-algebras [V] Measure on a <j-algebra [VI] Measures of a Sequence of Sets [VII] Measurable Space and Measure Space [Vni] Measurable Mapping [IX] Induction of Measure by Measurable Mapping §2 Outer Measures [I] Construction of Measure by Means of Outer Measure [II] Regular Outer Measures [III] Metric Outer Measures [IV] Construction of Outer Measures §3 Lebesgue Measure on R [I] Lebesgue Outer Measure on R [II] Some Properties of the Lebesgue Measure Space [III] Existence of Non Lebesgue Measurable Sets [IV] Regularity of Lebesgue Outer Measure [V] Lebesgue Inner Measure on R §4 Measurable Functions [I] Measurability of Functions [II] Operations with Measurable Functions [III] Equality Almost Everywhere [IV] Sequence of Measurable Functions [V] Continuity and Borel and Lebesgue Measurability of Functions on R vii xiii xvii xix 1 1 3 3 4 6 9 11 14 17 19 22 28 28 32 34 37 41 41 45 49 51 57 70 70 74 78 79 83

viii

Contents [VI] Cantor Ternary Set and Cantor-Lebesgue Function Completion of Measure Space [I] Complete Extension and Completion of a Measure Space [II] Completion of the Borel Measure Space to the Lebesgue Measure Space Convergence a.e. and Convergence in Measure [I] Convergence a.e [II] Almost Uniform Convergence [III] Convergence in Measure [IV] Cauchy Sequences in Convergence in Measure [V] Approximation by Step Functions and Continuous Functions . . . . 85 95 95 98 100 100 104 107 112 115 127 127 127 131 140 152 152 154 162 169 169 178 182 183 189 193 202 202 208 217 224 224 225 236 245 245 245 251 261 270 270

§5

§6

2

The Lebesgue Integral §7 Integration of Bounded Functions on Sets of Finite Measure [I] Integration of Simple Functions [II] Integration of Bounded Functions on Sets of Finite Measure [III] Riemann Integrability §8 Integration of Nonnegative Functions [I] Lebesgue Integral of Nonnegative Functions [II] Monotone Convergence Theorem [III] Approximation of the Integral by Truncation §9 Integration of Measurable Functions [I] Lebesgue Integral of Measurable Functions [II] Convergence Theorems [III] Convergence Theorems under Convergence in Measure [IV] Approximation of the Integral by Truncation [V] Translation and Linear Transformation in the Lebesgue Integral on R [VI] Integration by Image Measure §10 Signed Measures [I] Signed Measure Spaces [II] Decomposition of Signed Measures [III] Integration on a Signed Measure Space § 11 Absolute Continuity of a Measure [I] The Radon-Nikodym Derivative [II] Absolute Continuity of a Signed Measure Relative to a Positive Measure [III] Properties of the Radon-Nikodym Derivative Differentiation and Integration §12 Monotone Functions and Functions of Bounded Variation [I] The Derivative [II] Differentiability of Monotone Functions [III] Functions of Bounded Variation §13 Absolutely Continuous Functions [I] Absolute Continuity

3

Contents

IX

§14

[II] Banach-Zarecki Criterion for Absolute Continuity 273 [III] Singular Functions 276 [IV] Indefinite Integrals 276 [V] Calculation of the Lebesgue Integral by Means of the Derivative . . 287 [VI] Length of Rectifiable Curves 298 Convex Functions 308 [I] Continuity and Differentiability of a Convex Function 308 [II] Monotonicity and Absolute Continuity of a Convex Function . . . .317 [III] Jensen's Inequality 320 323 323 323 326 329 331 333 334 344 347 350 357 370 376 376 379 384 393 401 406 412 412 414 417 422 429 429 432 434 437 445 . . . 445 450 455 463

4

The Classical Banach Spaces §15 Normed Linear Spaces [I] Banach Spaces [II] Banach Spaces on R* [III] The Space of Continuous Functions C([a, b]) [IV] A Criterion for Completeness of a Normed Linear Space [V] Hilbert Spaces [VI] Bounded Linear Mappings of Normed Linear Spaces [VII] Baire Category Theorem [VIII] Uniform Boundedness Theorems [IX] Open Mapping Theorem [X] Hahn-Banach Extension Theorems [XI] Semicontinuous Functions §16 The LP Spaces [I] The LP Spaces for p e (0, oo) [II] The Linear Spaces Lp for p e [l,oo) [III] The LP Spaces for p e [1, oo) [IV] The Space L00 [V] The LP Spaces for p e (0, 1) [VI] Extensions of Holder's Inequality §17 Relation among the Lp Spaces [I] The Modified LP Norms for Lp Spaces with p € [1, oo] [II] Approximation by Continuous Functions [III] LP Spaces with p e (0, 1] [IV] The £P Spaces §18 Bounded Linear Functionals on the Lp Spaces [I] Bounded Linear Functionals Arising from Integration [II] Approximation by Simple Functions [III] A Converse of Holder's Inequality [IV] Riesz Representation Theorem on the Lp Spaces §19 Integration on Locally Compact Hausdorff Space [I] Continuous Functions on a Locally Compact Hausdorff Space [II] Borel and Radon Measures [III] Positive Linear Functionals on CC(X) [IV] Approximation by Continuous Functions

x

Contents [V] Signed Radon Measures [VI] The Dual Space of C(X) 467 471

5 Extension of Additive Set Functions to Measures 481 §20 Extension of Additive Set Functions on an Algebra 481 [I] Additive Set Function on an Algebra 481 [II] Extension of an Additive Set Function on an Algebra to a Measure . 486 [III] Regularity of an Outer Measure Derived from a Countably Additive Set Function on an Algebra 486 [IV] Uniqueness of Extension of a Countably Additive Set Function on an Algebra to a Measure 489 [V] Approximation to a tr-algebra Generated by an Algebra 491 [VI] Outer Measure Based on a Measure 494 §21 Extension of Additive Set Functions on a Semialgebra 496 [I] Semialgebras of Sets 496 [II] Additive Set Function on a Semialgebra 498 [III] Outer Measures Based on Additive Set Functions on a Semialgebra . 502 §22 Lebesgue-Stieltjes Measure Spaces 505 [I] Lebesgue-Stieltjes Outer Measures 505 [II] Regularity of the Lebesgue-Stieltjes Outer Measures 509 [III] Absolute Continuity and Singularity of a Lebesgue-Stieltjes Measure 511 [IV] Decomposition of an Increasing Function 519 §23 Product Measure Spaces 527 [I] Existence and Uniqueness of Product Measure Spaces 527 [II] Integration on Product Measure Space 531 [III] Completion of Product Measure Space 543 [IV] Convolution of Functions 547 [V] Some Related Theorems 587 6 Measure and Integration on the Euclidean Space §24 Lebesgue Measure Space on the Euclidean Space [I] Lebesgue Outer Measure on the Euclidean Space [II] Regularity Properties of Lebesgue Measure Space on R" [III] Approximation by Continuous Functions [IV] Lebesgue Measure Space on R" as the Completion of a Product Measure Space [V] Translation of the Lebesgue Integral on R" [VI] Linear Transformation of the Lebesgue Integral on W §25 Differentiation on the Euclidean Space [I] The Lebesgue Differentiation Theorem on R" [II] Differentiation of Set Functions with Respect to the Lebesgue Measure [III] Differentiation of the Indefinite Integral [IV] Density of Lebesgue Measurable Sets Relative to the Lebesgue Measure 597 597 597 602 605 609 610 612 620 620 632 634 635

Contents [V] Signed Borel Measures on R" [VI] Differentiation of Borel Measures with Respect to the Lebesgue Measure §26 Change of Variable of Integration on the Euclidean Space [I] Change of Variable of Integration by Differentiable Transformations [II] Spherical Coordinates in R" [HI] Integration by Image Measure on Spherical Surfaces 7 Hausdorff Measures on the Euclidean Space §27 Hausdorff Measures [I] Hausdorff Measures on R" [II] Equivalent Definitions of Hausdorff Measure [III] Regularity of Hausdorff Measure [IV] Hausdorff Dimension §28 Transformations of Hausdorff Measures [I] Hausdorff Measure of Transformed Sets [II] 1 -dimensional Hausdorff Measure [III] Hausdorff Measure of Jordan Curves §29 Hausdorff Measures of Integral and Fractional Dimensions [I] Hausdorff Measure of Integral Dimension and Lebesgue Measure . [II] Calculation of thera-dimensionalHausdorff Measure of a Unit Cube in R" [III] Transformation of Hausdorff Measure of Integral Dimension [IV] Hausdorff Measure of Fractional Dimension Bibliography Index

XI

641 643 649 649 661 667 675 675 675 680 686 689 694 694 699 700 705 . 705 707 713 718 727 729

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Preface to the First Edition
This monograph evolved from a set of lecture notes for a course entitled Real Analysis that I taught at the University of California, Irvine. The subject of this course is the theory of measure and integration. Its prerequisite is advanced calculus. All of the necessary background material can be found, for example, in R. C. Buck's Advanced Calculus. The course is primarily for beginning graduate students in mathematics but the audience usually includes students from other disciplines too. The first five chapters of this book contain enough material for a one-year course. The remaining two chapters take an academic quarter to cover. Measure is a fundamental concept in mathematics. Measures are introduced to estimate sizes of sets. Then measures are used to define integrals. Here is an outline of the book. Chapter 1 introduces the concepts of measure and measurable function. §1 defines measure as a nonnegative countably additive set function on a cr-algebra of subsets of an arbitrary set. Measurable mapping from a measure space into another is then defined. §2 presents construction of a measure space by means of an outer measure. To have a concrete example of a measure space early on, the Lebesgue measure space on the real line R is introduced in §3. Subsequent developments in the rest of Chapter 1 and Chapter 2 are in the setting of a general measure space. (This is from the consideration that in the definition of a measure and an integral with respect to a measure the algebraic and topological structure of the underlying space is irrelevant and indeed unnecessary. Topology of the space on which a measure is defined becomes relevant when one considers the regularity of the measure, that is, approximation of measurable sets by Borel sets.) §4 treats measurable functions, in particular algebraic operations on measurable functions and pointwise limits of sequences of measurable functions. §5 shows that every measure space can be completed. §6 compares two modes of convergence of a sequence of measurable functions: convergence almost everywhere and convergence in measure. The Borel-Cantelli Lemma and its applications are presented. A unifying theorem (Theorem 6.5) is introduced from which many other convergence theorems relating the two modes of convergence are derived subsequently. These include Egoroff 's theorem on almost uniform convergence, Lebesgue's and Riesz's theorems. Chapter 2 treats integration of functions on an arbitrary measure space. In §7 the Lebesgue integral, that is, an integral with respect to a measure, is defined for a bounded real-valued measurable function on a set of finite measure. The Bounded Convergence Theorem on the commutation of integration and limiting process for a uniformly bounded xm

XIV

Preface

sequence of measurable functions which converges almost everywhere on a set of finite measure is proved here. The proof is based on Egoroff's theorem. On the Lebesgue measure space on R, comparison of the Lebesgue integral and the Riemann integral is made. §8 contains the fundamental idea of integration with respect to a measure. It is shown here that for every nonnegative extended real-valued measurable function on a measurable set the integral with respect to the measure always exists even though it may not be finite. The Monotone Convergence Theorem for an increasing sequence of nonnegative measurable functions, the most fundamental of all convergence theorems regarding commutation of integration and convergence of the sequence of integrands, is proved here. Fatou's Lemma concerning the limit inferior of a sequence of nonnegative measurable functions is derived from the Monotone Convergence Theorem. In §9 the integral of an extended real-valued measurable function on a measurable set is then defined as the difference of the integrals of the positive and negative parts of the function provided the difference exists in the extended real number system. The generalized monotone convergence theorem for a monotone sequence of extended real-valued measurable functions, generalized Fatou's lemma for the limit inferior and the limit superior of a sequence of extended real-valued measurable functions, and Lebesgue's Dominated Convergence Theorem are proved here. Fatou's Lemma and Lebesgue's Dominated Convergence Theorem under convergence in measure are included. In §10 a signed measure is defined as an extended real-valued countably additive set function on a a -algebra and then shown to be the difference of two positive measures. In §11 the Radon-Nikodym derivative of a signed measure with respect to a positive measure is defined as a function which we integrate with respect to the latter to obtain the former. The existence of the Radon-Nikodym derivative is then proved under the assumption that the former is absolutely continuous with respect to the latter and that both are a -finite. (The fact that the Radon-Nikodym derivative is a derivative not only in name but in fact it is the derivative of a measure with respect to another is shown for Borel measures on the Euclidean space in §25.) Chapter 3 treats the interplay between integration and differentiation on the Lebesgue measure space on R. §12 presents Lebesgue's theorem that every real-valued increasing function on R is differentiable almost everywhere on R. The proof is based on a Vitali covering theorem. This is followed by Lebesgue's theorem on the integral of the derivative of a real-valued increasing function on a finite closed interval in R. Functions of bounded variation are included here. §13 defines absolute continuity of a real-valued function on a finite closed interval in R and then shows that a function is absolutely continuous if and only if it is an indefinite integral of a Lebesgue integrable function. This is followed by Lebesgue's decomposition of a real-valued increasing function as the sum of an absolutely continuous function and a singular function. Such methods of calculating a Riemann integral in calculus as the Fundamental Theorem of Calculus, integration by parts, and change of variable of integration find their counterparts in the Lebesgue integral here. §14 treats convex functions and in particular their differentiability and absolute continuity property. Jensen's inequality is included here. Chapter 4 treats the Lp spaces of measurable functions / with integrable \f\p for p e (0, oo) and the space L 0 0 of essentially bounded measurable functions on a general measure

Preface

xv

space. Here Holder's inequality and Minkowski's inequality are proved for/? € (0, oo]. §15 introduces the Banach space and its dual. §16 treats Lp spaces for p € [1, oo] as well as for p € (0,1). § 17 treats relation among the Lp spaces for different values of p. The £p spaces of sequences of numbers (an : n e N) with JZneN l a « \p < ° ° ' s treated as a particular case of V spaces in which the underlying measure space is the counting measure space on the set N of natural numbers. The Riesz representation theorem on the Lp spaces is proved in §18. §19 treats integration on a locally compact Hausdorff space. Urysohn's Lemma on the existence of a continuous function with compact support and partition of unity, Borel and Radon measures, the Riesz representation theorem on the space of continuous functions with compact support as well as Lusin's theorem on approximation of a measurable function by continuous functions are included here. (The placement of §19 in Chapter 4 is somewhat arbitrary.) Chapter 5 treats extension of additive set functions to measures. It starts with extension of an additive set function on an algebra to a measure in §20 and completes the theory with extension of an additive set function on a semialgebra to a measure in §21. (Semialgebra of sets is an abstraction of the aggregate of left-open and right-closed boxes in the Euclidean space R". Its importance lies in the fact that the Cartesian product of finitely many algebras and in particular cr-algebras is in general not an algebra, but only a semialgebra.) As an example of extending an additive set function on a semialgebra to a measure, the Lebesgue-Stieltjes measure determined by a real-valued increasing function on R is treated in §22. Theorems establishing the equivalence of the absolute continuity and singularity of a Lebesgue-Stieltjes measure with respect to the Lebesgue measure with the absolute continuity and singularity of the increasing function that determines the Lebesgue-Stieltjes measure are proved. As a second example of extending an additive set function on a semialgebra to a measure, the product measure on the product of finitely many measure spaces is included in §23. Tonelli's theorem and Fubini's theorem on the reduction of a multiple integral to iterated integrals are found here. Chapter 6 specializes in integration in the Lebesgue measure space on R". In §24 the Lebesgue measure on R" is constructed as an extension of the notion of volumes of boxes in R" to Lebesgue measurable subsets of R". Then it is shown that the Lebesgue measure space on R" is the completion of the n-fold product of the Lebesgue measure space on R. Regularity of the Lebesgue measure and in particular approximation of Lebesgue measurable sets by open sets leads to approximation of the integral of a measurable function by that of a continuous function. Translation invariance of the Lebesgue measure and integral and linear transformation of the Lebesgue measure and integral are treated. §25 begins with the study of the average function of a locally integrable function. Hardy-Littlewood maximal theorem and Lebesgue differentiation theorem are presented. These are followed by differentiation of a set function with respect to the Lebesgue measure, in particular differentiation of a signed Borel measure with respect to the Lebesgue measure, and density of a Lebesgue measurable set with respect to the Lebesgue measure. §26 treats change of variable of integration by differentiable transformations. Chapter 7 is an introduction to Hausdorff measures on R". §27 defines s-dimensional Hausdorff measures on R" for 5 6 [0, oo) and the Hausdorff dimension of a subset of R".

XVI

Preface

§28 studies transformations of Hausdorff measures. §29 shows that a Hausdorff measure of integral dimension is a constant multiple of the Lebesgue measure of the same dimension. Every concept is defined precisely and every theorem is presented with a detailed and complete proof. I endeavored to present proofs that are natural and inevitable. Counterexamples are presented to show that certain conditions in the hypothesis of a theorem can not be simply dropped. References to earlier results within the text are made extensively so that the relation among the theorems as well as the line of development of the theory can be traced easily. On these grounds this book is suitable for self-study for anyone who has a good background in advanced calculus. In writing this book I am indebted to the works that I consulted. These are listed in the Bibliography. I made no attempt to give the origin of the theory and the theorems. To be consistent, I make no mention of the improvements that I made on some of the theorems. I take this opportunity to thank all the readers who found errors and suggested improvements in the various versions of the lecture notes on which this book is based.

J.Yeh Corona del Mar, California January, 2000

Preface to the Second Edition
In this new edition all chapters have been revised and additional material have been incorporated although the framework and organization of the book are unchanged. Specifically the following sections have been added: §13 [VI] Length of Rectifiable Curves § 15 [VII] Baire Category Theorem [VIII] Uniform Boundedness Theorem [IX] Open Mapping Theorem [X] Hahn-Banach Extension Theorems §16 weak convergence in Lp spaces in [III] and [IV] of §16 the complete metric spaces Lp for p e (0,1) in [V] of §16 §19 [V] Signed Radon Measures [VI] Dual Space of C(X) §23 [IV.2] Convolution of LP Functions [IV.3] Approximate Identity in Convolution Product [IV.4] Approximate Identity Relative to Pointwise Convergence Besides these topics there are additional theorems in sections: §1, §4, §5, §8, §10, §11, §13, §15, §16, §17, §19, §20, §21, §23, §24, §25, and §27. Also 64 problems have been added. To use this book as a textbook, selection of the following sections for instance makes a possible one-year course at the graduate level: §1 to §13, §15([I] to [VI]), §16 to §21, §23([I] to [III]) It is my pleasure to thank Abel Klein for his helpful comments on the first edition of this book.

J. Yen Corona del Mar, California March, 2006

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List of Notations
N Z Z+ R C K R C R" ^3(X) *&x «8R «8R« (*B H ") fe 9JiL QJl^ a(<E) CT((£) SPT(/x*) 21 ® «8 30, 3 0 C , 3 c o , 3 C T0,3noc,3nco,3nc 2)(/) £H(/) [D : f <a) fi*L [iL (M") finL (R,97t L ,^, L ) (Rn,fJJVlL,finL) (R,£TJT(^*), fig) £P(X,2l,HA) LP(X,2t,/x) £,°°(X, 2t,/x) L°°(X,21,AO £/ o c (R",0)t" fil) the natural numbers the integers the nonnegative integers the real numbers the complex numbers R or C the extended real number system {—oo} U R U {oo} the set of £ = £ + ir) where £,?? € I the n-dimensional Euclidean space the collection of all subsets of a set X the a -algebra of Borel sets in a topological space X the a-algebra of Borel sets in R the a-algebra of Borel sets in R " the collection of bounded Borel sets in R " the cr-algebra of Lebesgue measurable sets in R the a-algebra of Lebesgue measurable sets in R" algebra generated by <£. cr-algebra generated by <E or-algebra of n* -measurable sets product a-algebra a(21 x 33) classes of intervals in R classes of intervals in R" domain of definition of a function / range of a function / abbreviation of [x € D : f(x) < a] Lebesgue outer measure on R Lebesgue measure on R Lebesgue outer measure on R" Lebesgue measure on R" Lebesgue measure space on R Lebesgue measure space on R" Lebesgue-Stieltjes measure space p.3 p.3 p.3 p.l p.323 p.323 p.l 1 p.376 p.597 p.4 D1.16, p.10 D1.16, p.10 D l . 1 6 , p.10 D25.19, p.632 D3.1,p.41 D24.8, p.600 D1.12,p.7 D1.12, p.7 D2.2, p.28 D23.3, p.528 D3.1, p.41 D24.2, p.597 p.19 p.19 p.70 D3.1,p.41 D3.1,p.41 D24.5, p.598 D24.8, p.600 D3.1,p.41 D24.8, p.600 D22.5, p.507 D16.8,p.378 D16.22, p.385 D16.38,p.394 D16.42, p.395 D25.1,p.620

xix

Notations LF(R,DJtL,iiL) S(X,2l,/x) So(X, 21, M)
5O(X,21,M)

D23.29,p.547 L18.2,p.432 L18.2, p.432
T18.3,p.433

C(X) C+(X) CC(X) Cb(X) C0(X) C(R),C C (R) C"(R), CC"(R) C°°(R), CC°°(R) Cb(R),C0(R) := Ec, E°, E,dE \E\ Br(x), B(x, r) Br(x), B(x,r) Sr(x), S(x, r) /+, /~ 91/ 3/ /(«+)> f(a~) supp{/} dT(p; •) JT(P) X+,X~ | A. | X <K M X ± fji || • ||„
up

D19.48, p.471 D19.48,p.471 D19.9, p.447 D23.45,p.564 D23.45, p.564 D23.38,p. 555 D23.38, p. 555 D23.38, p. 555 D23.45, p. 564 equal by definition complement, interior, closure, boundary of E diameter of £ open ball with center x and radius r closed ball with center x and radius r spherical (hyper)surface with center x and radius r positive and negative parts of a function / real part of a function / imaginary part of a function / l i m ^ f{x), lirn^a f(x) support o f / differential of a mapping T at a point p Jacobian matrix of a mapping T at a point p positive and negative parts of a signed measure X total variation of a signed measure A absolute continuity of X with respect to /x singularity of X and /J. uniform norm L^ norm essential supremum norm of a bounded linear mapping L of V into W nrom of a bounded linear functional / Hausdorff measure %S{E) as a function of s e [0, oo)

lloo II v, w H/ll* "HI •Ks "Km{E) Sa-^.Sf.S* SJ.S'.EJ.B* C^e- 5 X^,DC5 dim„

Hausdorff dimension

D27.1,p.675 D15.33, p.338 D15.33, p.338 D15.33, p.338 D4.25, p.83 p.376 p.376 p.251 D19.7, p.447 p.649 p.650 D10.22, p.213 D10.22, p.213 D l 1.4 , p.225 D10.16,p.211 T19.50, p.471 D16.8, p.378 D16.36, p.393 D15.29, p.337 D15.39,p344 D27.3, p.675 D27.7, p.677 p.688 T27.13,p.680 P27.14,p.681 T27.24,p.684 C27.25,p.685 D27.34, p.691

Notations Euler Fraktur and Script

xxi

Here is a list of the capital Roman letters, each followed by its corresponding Euler Fraktur and Script letters: A,m,A 1,7, J Q,0,Q S,«8,B C, C,e J,3,8 K,R,X R,<R,3l S,<5,S D,2>,D £,<£,£ L,£,L M,Wt,M T,%,7 U,ii,U F, 5,3" N,^,^ V,9J,V G, <S,S 0,0,0 W,QB,W H,Sj,M P,¥,T X,X,X

Chapter 1 Measure Spaces
§0 Introduction
Let us consider the problem of measuring an arbitrary subset of the real line R. For a finite open interval / = (a, b) in R, we define the length of / by setting 1(1) = b — a, and for an infinite open interval / in R, we set 1(1) = oo. Let ^3(R) be the collection of all subsets of R. To extend the notion of length to an arbitrary E € ^P(R), let (/„ : n e N) be an arbitrary sequence of open intervals in R such that UneN ^« ^ F, t a ^ e m e s u m ° f m e lengths of the intervals J2neN ^(W> a n d define n*(E) as the infimum of all such sums, that is, (1) n*(E) = inf { E „ £ N l(In) : (In : n e N) such that (J„eN / » = > £ [ •

The set function JX* thus defined on ^3(R) is nonnegative extended real-valued, that is, 0 < ji* (E) < oo for every E € ^J(R), with n*(0) = 0; monotone in the sense that M*(E) < li* (F) for any £ , F e qj(R) such that E c F; and ti*(l) = 1(1) for every open interval / in R so that /x* is an extension of the notion of length to an arbitrary subset of R. The set function /x* also has the property that (2) M*(£i U E2) < ti*(Ex) + tx*(E2)

for any two sets E\,E2 e $P(R). We call this property the subadditivity of /a* on $P(R). We say that a set function v on a collection £ of subsets of R is additive on £ if we have v(E\ U E2) = v(E\) + v(E2) whenever E\, E2 e £, E\ n E2 = 0 and Ei U £2 e £• Our set function ii* is not additive on ^J(R), that is, there exist subsets E\ and E2 of R which are disjoint but not separated enough, as far as /x* is concerned, to have {i*(E\ U E2) = H*(E\) + (i*(E2). Examples of such sets are constructed in §3 and §4. Let us show that it is possible to restrict /x* to a subcollection of ^P(R) so that 11* is additive on the subcollection. Let E e $J(R) be arbitrarily chosen. Then for every A e ^J(R), ADE and A DEC, where Ec is the complement of E, are two disjoint members of 93(R) whose union is A. We say that the set E satisfies the /x*-measurability condition and E is a /immeasurable set if (3) /x*(A) = n*(AtlE) + n*(AnEc) 1 forevery A e «p(R).

2

CHAPTER 1 Measure Spaces

It is clear that if E satisfies condition (3), then so does Ec. Note also that 0 and R are two examples of members of Vp(R) satisfying condition (3). Now let 9Jt(ix*) be the subcollection of ^J(R) consisting of all ^-measurable sets in ^3(R). Let us show that 9Jl(fx*) is closed under unions. LetEi, E 2 € SPt(/x*). Then we have/z*( A) = fi*(AC\Ei) + n*(AC\Ecx) for an arbitrary A e <P(R) by (3). With A n E\ as a testing set for our £ 2 e ffft(fi*) replacing A in condition (3), we have /x*(A n E\) = M*(A n E\ n £ 2 ) + /"*(A n £J n ££). Thus

/x*(A) = ^*(A n £0 + /x*(A n £J n E 2 ) + / A A n E\ n £5).
For the union of the first two sets on the right side of the last equality, we have ( A n £ i ) U ( A n ( £ f n £ 2 ) ) = An(EiU(EcinE2)) = An(£iU(£2\£i)) = An(EiU£2).

Then /x*(A n E\) + n*(A D (Ef n E 2 )) > M*(A n (Ei U £ 2 )) by the subadditivity of ix* on <P(R). Thus we have fi*(A) > /x*(A n (Ei U E2)) + fi*(A 0 (E, U £ 2 ) e ). ° n the other hand by the subadditivity of /x* on ^P(R), the reverse of this inequality holds. Thus E\ U E2 satisfies condition (3) and is therefore a member of 9Jt(fx*). This shows that 9DT(/ii*) is closed under unions. We show in §2 that 9Jl(fx*) is closed under countable unions. A collection of subsets of a nonempty set X is called a a -algebra of subsets of X if it includes X as a member, is closed under complementations and countable unions. Thus our 9Jl(/it*) is a a -algebra of subsets of R. Let us show next that pu* is additive on the cr-algebra OJtO*) of subsets of R. Thus let Ei, £ 2 e SOTO*) and assume that £ ] n E2 = 0. Now with E\ U £ 2 as the testing set A in the /u,*-measurability condition (3) which is satisfied by Ei, we have M*(£i U E 2 ) = n*((Ei U £ 2 ) n E,) + n*((Ei U E 2 ) D Ecx). But (Ei U E 2 ) n Ei = Ei and (Ei U £ 2 ) (1£J = E 2 . Thus the last equality reduces to
(4) /A£,U£
2

) = M*(£I) + /X*(£2).

This shows that fx*, though not additive on tp(R), is additive on the subcollection 9Jt(fi*) of ?P(R). Now ix* is additive on £DT(/z*) so that we may regard it as the extension of the notion of length to sets which are members of DJl(p*). For this extension (i* to be interesting, the collection VJl(fx*) must be large enough to include subsets of R that occur regularly in analysis. In §3, we show that 9Jt(/x*) includes all open sets in R and all subsets of R that are the results of a sequence of such set theoretic operations as union, intersection, and complementation, on the open sets.

§1 Measure on a a -algebra of Sets

3

§ 1 Measure on a a -algebra of Sets
[I] a-algebra of Sets
Notations. We write N for both the sequence (1, 2, 3 , . . . ) and the set {1, 2, 3 , . . . ) . Whether a sequence or a set is meant by N should be clear from the context. Similarly we write Z for both (0, 1, - 1 , 2, - 2 , . . . ) and {0,1, - 1 , 2, - 2 , . . . } and Z+ for both ( 0 , 1 , 2 , . . . ) and {0,1, 2 , . . . } . Definition 1.1. Let X be an arbitrary set. A collection 21 of subsets ofX is called an algebra (or a field) of subsets ofX if it satisfies the following conditions: 1° X e 2t, 2° A € 21 =» Ac e 21, 3° A, B € 21 => A U B e 21. Lemma 1.2. //"21 is arc algebra of subsets of a set X, then (1) 0e2t, (2) A i , . . . ,A„ € 21 =• U L i Ak e 21, (3) A, 5
G

21 => A n B G 21,

(4) A i , . . . ,A„ G 21 =*• f l L i A* € 21, (5) A, S
G

21 =>• A \ S G 21.

Proof. (1) follows from 1° and 2° of Definition 1.1. (2) is by repeated application of 3°. Since A n B = (Ac U Bc)c, (3) follows from 2° and 3°. (4) is by repeated application of (3). For (5) note that A \ B = A D Bc G 21 by 2° and (3). • Definition 1.3. An algebra 21 of subsets of a set X is called a a-algebra (or a a-field) if it satisfies the additional condition: 4° (A„ : n e N) C 21 =• U„eN A « £
a

-

Note that applying condition 4° to the sequence (A, B, 0, 0, . . . ) , we obtain condition 3° in Definition 1.1. Thus 3° is implied by 4°. Observe also that if an algebra 2t is a finite collection, then it is a a-algebra. This follows from the fact that when 2! is a finite collection then a countable union of members of 21 is actually a finite union of members of 21 and this finite union is a member of 21 by (2) of Lemma 1.2. Lemma 1.4. //'21 is a a-algebra of subsets of a set X, then (6) (An : n e N) C 21 =• f\eN An
G

2t. By 2°, Ac„ G 21 and by 4°, U „ e N K e 21.

Proof. Note that H n e N An = ( U e N AnYThus by 2°, we have (|J n e N Acn)c e 21. •

4

CHAPTER 1 Measure Spaces

Notations. For an arbitrary set X, let Vp(X) be the collection of all subsets of X. Thus A e %$(X) is equivalent to A C X. Example 1. For an arbitrary set X, %S(X) satisfies conditions 1° - 3° of Definition 1.1 and condition 4° of Definition 1.3 and therefore a a-algebra of subsets of X. It is the greatest a-algebra of subsets of X in the sense that if 21 is a a-algebra of subsets of X and if *P(X) C 21 then 21 = <P(X). Example 2. For an arbitrary set X, {0, X) is a a-algebra of subsets of X, It is the smallest ff-algebra of subsets of X in the sense that if 21 is a <T-algebra of subsets of X and if 2t C {0, X) then 21 = {0, X}. Example 3. In R 2 , let SH be the collection of all rectangles of the type (a\,b\\ x (02, 62] where —00 < a,- < b\ < 00 for i = 1, 2 with the understanding that (a,-, 00] = (a,-, 00). Let 2( be the collection of all finite unions of members of *H. We have *R C 21 since every A e fH is the union of finitely many, actually one, members of 5H so that A € 21. We regard 0 as the union of 0 members of !H so that 0 € 21. It is easily verified that 21 is an algebra of subsets of R 2 . However 21 is not a a -algebra. Consider for instance, An = (n — j , n] x (0, 1] € 5H C 21 for n e N. Then UneN ^" is not a finite union of members of fH and is thus not a member of 21.

[II] Limits of Sequences of Sets
Definition 1.5. Let (A„ : n e N) be a sequence of subsets of a set X. We say that (A„ : n € N) is an increasing sequence and write An f if A„ C An+\ for n e N. We say that (A„ : n 6 N) is a decreasing sequence and write A„ \, if An D An+\ for n 6 N. A sequence (A„ : n e N) is called a monotone sequence if it is either an increasing sequence or a decreasing sequence. For an increasing sequence (An : n € N), we define (1) lim A„ = I J A„ = \x € X : x e An for some n € N}.
neN

For a decreasing sequence (A„ : n e N), we define (2) lim A„ = f~) A„ = \x € X : x e A„ for every n e N}.
n-*oo I I neN I •

For a monotone sequence (A„ : « 6 N), lim A„ always exists although it may be 0. If An f, then lim An = 0 if and only if A„ = 0 for every n e N. If A„ 4-. we may
n-xx>

have lim A„ = 0 even if A„ ^ 0 for every n e N . Consider for example X = R and
n—*-oo

A„ = (0, i ) for n e N . Then lim A„ = 0. On the other hand if A„ = [0, ±) for n e N
\ n/ n-j-oo
n_>0o

L

n/

then A„ 4- and lim An = {0}. In order to define a limit for an arbitrary sequence (A„ : n e N) of subsets of a set X we define first the limit inferior and the limit superior of a sequence.

§1 Measure on a a -algebra of Sets

5

Definition 1.6. We define the limit inferior and the limit superior of a sequence {An : n e N) of subsets of a set X by setting (1) liminfA„ = v H Ak, M
«->oo -' I • neN *>n

(2) lim supAn = P | ( J At.

Note that (P|<:>n At : « € N) is a increasing sequence of subsets of X and this implies that lirr^ f \ > « At = L U N Di> B A *
exists

- Similarly (U t >„ A* : n e N) is a decreas-

ing sequence of subsets of X and thus lim \Jk>„ A* = ( \ 6 N U*>n A * exists. Thus lim inf A„ and lim sup A„ always exist although they may be 0.
n-s-oo n^oo

Lemma 1.7. Lef (A„ : n €H) be a sequence of subsets of a set X. Then (1) liminf An = \x e X : x e An for all butfinitely many n e N}. (2) lim sup An = {x e X : x e A„ /or infinitely many n e N } ,
n->oo "->0° n->oo

(3) liminf A„ C lim sup A„. Proof. 1. Let x e X. If x e A„ for all but finitely many n e N , then there exists no e N such that x e Ak for all k > no. Then x e C\k>no Ac c UneN fltsn Ak = liminf A„. Conversely if x e liminf A„ = UneN C\k>n Ajfc. then x € ( \ > n 0 A * f ° r some no e N and thus x e Ak for all A > no, that is, x e A„ for all but finitely many n e N . This proves (1). : 2. If x e A„ for infinitely many n e N , then for every n e N we have x e \Jk>n Ak and thus x e f|„eN U*> n A * = l i m SUP A « • Conversely if x e lim sup A„ = f]neN \Jk>n Ak,
n—>oo n—>-oo

then JC e \Jk>n Ak for every n e N . Thus for every n € N, x e Ak for some k > n. This shows that x e A , for infinitely many n e N . This proves (2). 3. (1) and (2) imply (3). I Definition 1.8. Let (A„ : n e N) be an arbitrary sequence of subsets of a set X. If lim inf A„ = lim sup A„, then we say that the sequence converges and define lim An by
n->cx> n-*oo n->-oo n->oo „_>„<, n->-oo
n_+00

n-*oo „->.oo

setting lim A„ = liminf A„ = lim sup A„. //"liminf An ^ lim sup A„, then lim A„ does nof erisf. Note that this definition of lim A„ contains the definition of lim A„ for monotone
n->oo n—yoo

sequences in Definition 1.5 as particular cases and thus the two definitions are consistent. Indeed if A„ f then f \ > „ At = A, for every n e N and U „ e N f \ > „ Ak = L L N A « and therefore liminf A„ = UneN A «- O" m e other hand, \Jk>n Ak =\jkeN Ak for every n e N and f)„€N Ut>« At = U<teN At a n d thus lim sup A„ = ( J n e N A„. Similarly for A„ | . Note also that if (A„ : n e N) is such that liminf A„ = 0 and lim sup A„ = 0 also

6 then lim A„ = 0.
n->oo

CHAPTER 1 Measure Spaces

Example. Let X = R and let a sequence (A„ : n e N) of subsets of R be defined by Ai = [0, 1], A3 = [0, ±] , A5 = [0, ± ] , . . . , and A2 = [0, 2], A4 = [0, 4], A6 = [0, 6], — Then lim inf A„ = {x e X : x e A„ for all but finitely many n e N ) = {0} and lim sup A„ = {x € X : x e A„ for infinitely many n € N} = [0, oo). Thus lim A„ does
n->oo n-»oo

not exist. The subsequence (A„k : k e N) = (A\, AT, , As,...) is a decreasing sequence with lim A„k = (0} and the subsequence (A„t : k e N) = (A2, A4, A 6 , . . . ) is an
k—»oo

increasing sequence with lim A„t = [0, 00).
k—»-oo

Theorem 1.9. Lc? 21 be a a-algebra of subsets of a set X. For every sequence (A„ : n e N) in 21, fne fwo sets lim inf A„ ana" lim supA„ are in 21. So is lim A„ i/zf exwri.
n—roo n—•oo n-^-oo

Proof. For every n € N, f)t> n At e 21 by Lemma 1.4. Then U „ £ N flt> n At e 21 by 4° of Definition 1.3. This shows that liminf A„ € 21. Similarly I J.. Ak e 21 by 4° of Definition 1.3. Then DneN U*> n At
«—>oo n—>-oo n—>-oo
e

21 by Lemma 1.4. Thus lim sup A„ e 21. If
n->oo

lim A„ exists, then lim A„ = lim inf An e 21. •

[III] Generation of cr-algebras
Let A be an arbitrary set. If we select a set Ea corresponding to each a e A, then we call {£0; : a € A] a collection of sets indexed by A. Usual examples of indexing set A are for instance N = (1,2, 3 , . . . } , Z = {0, 1, - 1 , 2, - 2 , . . . }, and Z+ = {0, 1 , 2 , . . . } . An arbitrary set A can serve as an indexing set. Lemma 1.10. Let {2l a : a G A] be a collection of a -algebras of subsets of a set X where A is an arbitrary indexing set. Then C\a€A 2l a is a a-algebra of subsets ofX. Similarly if {2la : a € A] is an arbitrary collection of algebras of subsets of X, then f^\a€A 2l a is an algebra of subsets ofX. Proof. Let {2l a : a e A} be an arbitrary collection of o-algebras of subsets of X. Then DaeA %la is a collection of subsets of X. To show that it is a cr-algebra we verify 1°, 2°, and 3° in Definition 1.1 and 4° in Definition 1.3. Now X e 2l a for every a e A so that X e f]a€A <Ua verifying 1°. To verify 2°, note that if E e f]a€A 2l a , then E e 2l« so that Ec e 2l a for every a e A and then Ec e f^aeA 2t a . 3° is implied by 4°. To verify 4°, let (En : n € N) C C\aeA a « - T n e n f o r e v e r v a e A w e h a v e (E„ : n e N) C 2l a so that (J„ e N £« 6 21a. Then U „ e N En e f)aeA * « • • Theorem 1.11. Lef £ fee an arbitrary collection of subsets of a set X. There exists the smallest a-algebra 2lo of subsets of X containing <£., smallest in the sense that if 21 is a a-algebra of subsets ofX containing <£ then 2lo C 21. Similarly there exists the smallest algebra of subsets ofX containing <£.

§1 Measure on a cr-algebra of Sets

7

Proof. There exists at least one a -algebra of subsets of X containing (£, namely ^J(X). Let {2la : a 6 A} be the collection of all cr-algebras of subsets of X containing <£. Then Hae/t 2l a contains <E and it is a a -algebra according to Lemma 1.10. It is indeed the smallest cr-algebra containing < since any cr-algebra 21 containing <£ is a member of {2la : a e A} E so that 21 D HaeA^oc- I Definition 1.12. For an arbitrary collection <E of subsets of a set X, we write a ((B) for the smallest a -algebra of subsets ofX containing <£ and call it the a-algebra generated by <E. Similarly we write a(<£)for the smallest algebra of subsets ofX containing <£ and call it the algebra generated by <£. It follows immediately from the definition above that if <t\ and £2 are two collections of subsets of a set X and (Si c £2, then cr(<£i) C cr(<£2). If 21 is a cr-algebra of subsets of X, then a (21) = 2(. In particular for an arbitrary collection <£ of subsets of X, we have
<T(cr(<E))=cr(<£).

Let / be a mapping of a set X into a set Y, that is, / is a F-valued function defined on X. The image of X by / , f(X), is a subset of Y. Let E be an arbitrary subset ofY.E need not be a subset of f(X) and indeed E may be disjoint from f(X). The preimage of E under the mapping / is a subset of X defined by f~l(E) = {x € X : f(x) e E], that is, the collection of every x e X such that f(x) e E. Thus if E n f(X) = 0 then f~x{E) = 0. For an arbitrary subset E of Y we have / ( / - 1 (£)) C £ . Note also that

f~\Y) f-\Ec) 1

= X, = f~\Y \ E) = f'\Y) 1 a A \ f~\E) = X \ /"'(£) = (f-\E))c,

r ({J*€AE°) = u e r (E«)>
For an arbitrary collection € of subsets of Y, let / _ 1 (<£) := {/ _1 (E) : E e <£}. Proposition 1.13. Let f be a mapping of a set X into a set Y. IfV& is a a-algebra of subsets ofY then / _ 1 ( 5 B ) is a cr-algebra of subsets ofX. Proof. Let us show that 21 is a cr-algebra of subsets of X by showing that X e f~](*B), -1 -1 / ( 9 3 ) is closed under complementations in X, and / ( 2 $ ) is closed under countable unions. 1. We have X = f~l{Y) € / _ 1 ( 5 8 ) since Y e 58. 2. Let A e / ~ ' ( 5 B ) . Then A = / _ 1 ( S ) for some B e «8. Since Bc e <B, we have f~\Bc) € / _ 1 ( « 8 ) . On the other hand, f~\Bc) = (f-\B))c = Ac. Thus we have c A e /"•(SB). 3. Let (A, : » e N) be an arbitrary sequence in / - 1 ( 5 8 ) . Then A„ = f~l(Bn) for

8 some Bn e 25 for each n e N. Thus we have

CHAPTER 1 Measure Spaces

U A« = U f~1^ = / _ I ( U B " ) e / _1 (^)
neN
s

neN
1

«eN

since U„ e N n e 25. This verifies that f

(25) is a a-algebra of subsets of X.

Theorem 1.14. Lef f bea mapping of a set X into a set Y. Then for an arbitrary collection <E of subsets ofY, we have a (f~\€)) = f-l(ff(<£)). Proof. Since (E C a(<*), we have / _ 1 (<£) C / - 1 ( a ( ( E ) ) and consequently cr(/ _1 (<£)) C a ( / - 1 (a (<£))). Since a(<£) is a a-algebra of subsets of Y, / - 1 (a(<E)) is a a-algebra of subsets of X by Proposition 1.13 so that a ( / _ 1 ( a ( < £ ) ) ) = / _ 1 ( a ( e ) ) . Thus we have

cr(f-l(€))cf-l(a(.e)).
To prove the reverse inclusion, let 2li be an arbitrary a-algebra of subsets of X and let 2t2={Acy:/-1(A)e2li}. Toshow that 2l 2 is a a-algebra of subsets of Y, note first of all that f~l(Y) = X e 2li so that Y € 2l 2 . Secondly, for every A e 2l 2 we have / _ 1 ( A C ) = ( / _ 1 ( A ) ) C € 2li so that Ac e 2l 2 . Finally for any (A„ : n e N) c St 2 , we have / - 1 ( U „ s N A„) = U „ e N / _ 1 ( A „ ) € 2li so that U«eN An e ^ 2 and thus 2l 2 is a a-algebra of subsets of Y. In particular, if we let 2 l = { A c r : / - ' ( A ) € a ( / - 1 (<£))}, then 21 is a a-algebra of subsets of 7. Clearly 21 D £ and thus 21 3 a ( £ ) and then / _ 1 ( 2 l ) 3 / _ 1 (a(C:))- But f-\W) C <r(/ -1 (<E)) by the definition of 21. Thus we have * ( / - ' ( < £ ) ) Z / - ' ( ^ ( C ) ) - Therefore a (/-'((E)) = / - ' ( a ( < £ ) ) . 1 > Notations. For an arbitrary collection <2 of subsets of a set X and an arbitrary subset A of X, let us write <£ f l A = {£ D A : £ € (£}. We write oA(<£ 0 A) for the a-algebra of ~ subsets of A generated by the collection < n A of subsets of A. Note that the subscript A E in a,4 indicates that it is a a-algebra of subsets of A, not a a-algebra of subsets of X. Theorem 1.15. Let <£. be an arbitrary collection of subsets of a set X and let A C X. Then a A (<£nA) = a ( C ) n A . Proof. SinceC C a ( £ ) wehaveiEnA c a(<£)nA. From the fact that a ((£) is a a-algebra of subsets of X and A C X it follows that a((£) n A is a a-algebra of subsets of A. Thus (1) aA(<£r\A) Ca(£)nA.

Therefore, to prove the theorem it remains to show (2) a(£)nAcaA(<£nA).

§1 Measure on a a -algebra of Sets Let £ be the collection of subsets K of X of the type (3) K = (C n Ac) U B,

9

where C e <x(<E) and B € CTA(<£ n A). Observe that since B C A, the union in (3) is a disjoint union. By (3), X e ^ and £ is closed under countable unions. To show that & is also closed under complementations, let K e fi be as given by (3). Then Kc = X \ K = [(X n A c ) U A] \ [(C n A c ) U B] = [{X n A c ) \ ( C f l A c )] U (A \ B) since X n Ac 3 C n Ac and A D B. But (X f l A c ) \ ( C H A e ) = C c n A c . Therefore ~ Kc = (Cc n A c ) U (A \ B) e £ . Thus ^ is closed under complementations and is therefore a cr-algebra of subsets of X. Next, observe that for any K e 8, as given by (3) we have K n A = B € CM(<£ n A) so that £ D A C CTA(<£ n A). Thus to show (2) it suffices to show that <r(<E) n A C 8. n A. Since ^ is a cr-algebra of subsets of X, it remains only to show that € C ^ . Let E e <t and write £ = ( £ n A c ) U ( £ T l A). Since E D A e cr^(€ D A), £ is a subset of X of the type (3). Thus E e R and therefore <£ C ^ . This completes the proof. I

[IV] Borel a -algebras
To fix our terminology let us review definitions of some topological concepts. Let X be a set. A collection O of subsets of X is called a topology on X if it satisfies the following axioms: I 0e£>, II X e D, III {Ea : a e A] c D => \Ja€A Ea € D, IV EuE2e£> => Ei(~)E2eD. The pair (X, O) is called a topological space. The members of D are called the open sets of the topological space. A subset E of X is called a closed set if its complement Ec is an open set. Thus X is both an open set and a closed and so is 0. An arbitrary union of open sets is an open set and a finite intersection of open sets is an open set. An arbitrary intersection of closed sets is a closed set and a finite union of closed sets is a closed set. The interior E° of a subset £ of X is defined as the union of all open sets contained in E. Thus it is the greatest open set contained in E. The closure E of E is defined as the intersection of all closed sets containing E. It is the smallest closed set containing E. The boundary dE of E is defined by dE = (E° U (£ c )°) c . A subset E of X is called a compact set if for every collection 9J of open sets such that E C Uveaj y t n e r e exists a finite subcollection [V\,... , VN] such that E C U^=i Vn-

10

CHAPTER 1 Measure Spaces

Let X be an arbitrary set. A function p on X x X is called a metric on X if it satisfies the following conditions: 1° p(x,y) e [0, oo) for ;c,;y e X, 2° p(x,y) = 0^x = y, 3° p(x, y) = p{y, x) forx, y e X, 4° triangle inequality: p(x, y) < p(x, z) + p(z, y) for x, y,z e X. The pair (X, p) is called a metric space. In R», if we define p(x, y) = \x - y\ = { £ t = i ( * * - ^ ) 2 } ' / 2 for * = ( * i , . . . , xn) and y = ( y i , . . . , yn) in R", then p satisfies conditions 1°, 2°, 3°, and 4° above and is thus a metric. This metric on R" is called the Euclidean metric. In a metric space (X, p), if XQ e Z a n d r > 0 the set B(xo, r) = {x e X : p(x,xo) < r] is called an open ball with center XQ and radius r. A subset £ of X is called an open set if for each x e E there exists r > 0 such that B(x, r) c E. An open ball is indeed an open set in the sense defined above. The collection of all open sets in a metric space satisfies the axioms I, II, III, and IV and is thus a topology. We call this topology the metric topology of X by the metric p. A set E in a metric space {X, p) is said to be bounded if there exist XQ G X and r > 0 such that E C B{XQ, r). A set E in R" is a compact set if and only if £ is a bounded and closed set. Definition 1.16. Let O be the collection of all open sets in a topological space X. We call the a -algebra a (£)) the Borel a -algebra of subsets of the topological space X and we write 25 x or *B(X) for it. We call its members the Borel sets of the topological space. Lemma 1.17. Let £ be the collection of all closed sets in a topological space (X, £)). Then Proof. Let E e <£. Then Ec e £> C c(£)). Now since cr(O) is a a -algebra, we have E = (Ec)c € a ( D ) . Thus £ C a(Q) and consequently <x(£) C a(a(D)) = <r(D). By the same sort of argument as above we have a{£)) C <r(<£). Therefore <r(<£) = cr(0). I Definition 1.18. Let (X, D) be a topological space. A subset EofX is called a G$-set if it is the intersection of countably many open sets. A subset EofX is called an Ea-set if it is the union of countably many closed sets. Thus, if £ is a G^-set, then Ec is an £ a -set, and if £ is an iv-set then £ e is a G^-set. Note that every G^-set is a member of 2$x- So is every £CT-set. Indeed if £ is a G^-set, then £ = HneN °" where On e £> for n e N. Now On e O C a(O) = *&x for every n e N. Since 9 3 * is a cr-algebra, we have £ = H«eN ^« e ® x Let us note also that if £ is a Ga-set, then there exists a sequence (On : n e N) of open sets such that £ = HneN On- ^ w e ' e t Gn = D/Li Ok, then (G„ : n e N) is a decreasing sequence of open sets and f\eN ^« ~ HneN ^« = ^- Thus a Ga-set is always the limit of a decreasing sequence of open sets. Similarly if £ is an FCT-set, then there exists

§1 Measure on a or-algebra of Sets

11

a sequence (C„ : n e N) of closed sets such that E = UneN *--»• ^ w e ' e t ^n = U£=i Ck, then (F„ : re e N) is an increasing sequence of closed sets and UnsN En = UneN *--" = EThus an FCT-set is always the limit of an increasing sequence of closed sets.

[V] Measure on a a -algebra
Notations. Let R = {—00} U R U {00} and call it the extended real number system. We use the alternate notation [—00, 00] for R also. Definition 1.19. Let <£bea collection of subsets of a set X. Let y bea nonnegative extended real-valued set function on <£. We say that (a) y is monotone on (£ ify(E\) < y(E2)for E\, Ei € <£ such that E\ C £2. (b) y is additive on <E ify(E\ U E-i) = y(E\) + y(E2) for E\, E2 € <£ such that Ei n E2 = 0 and E\ U E2 € <£, (c) y is finitely additive on <£ ify (Ut=i Ek) = E t = i Y(Ek) for every disjoint finite sequence (Ek : k = 1 , . . . , re) in <£ such that 1J£ =1 Ek e C:, (d) y is countably additive on <£ ify (UnsN En) = 5Z«eN Y(En) for every disjoint sequence (En :re€ N) rre £ .SMCW freaf (J„ £ ^ F« G <£, (e) y w subadditive on (£ ify{E\ U £2) < y ( £ i ) + Y(E2)for E\, E2 e <£ ™cre fnaf £1 u £ 2 e e , (f) y is finitely subadditive on <£ ify (U*=i ^ t ) £ X!fc=l Y (Ek) for every finite sequence (Ek : & = 1, • • • , re) in (S suc/t that \J"k=1 Ek e <£, (g) y is countably subadditive on <£ ify (UngN En) < zCneN Y (E„) for every sequence (En : n e N) in <£ SMC/I rrear U«eN ^« s <E. Note that in (c) while IJ/Li £/t G <£ is required, it is not required that any of [Jk=l Ek, Ujt=i Ek, • • • , U<c=i Ek be in <£. Note also that (c) implies (b) and (f) implies (e). Observation 1.20. Let y be a nonnegative extended real-valued set function on a collection t of subsets of a set X. Assume that 0 e (E and y (0) = 0. (a) If y is countably additive on <£, then it is finitely additive on <£. (b) If y is countably subadditive on <£, then it is finitely subadditive on <£.. Proof. Suppose y is countably additive on (£. To show that it is finitely additive on <£, let (Ek : k = 1 , . . . , re) be a disjoint finite sequence in (£ such that | J £ = I £> e C Consider the infinite sequence (F* : i e N) in 2 defined by Ft = Ek for k = 1 , . . . , re and Ft = 0 for & > n + 1. Since 0 e (E, (Ft : fc 6 N) is a disjoint sequence in <£ with UjteN ^* = U!t=i Ek € <£. Thus by the countable additivity of y on £ and by the fact that y(0) = 0, we have y ( U L i Ek) = y (U* 6 N **) = E * 6 N /(**) = E*=i Y(Ek). This proves the finite additivity of y on £ . We show similarly that if y is countably subadditive on <E, then it is finitely subadditive on (£. • Lemma 1.21. Let (En : re e N) foe are arbitrary sequence in an algebra 21 of subsets of a set X. Then there exists a disjoint sequence (Fn : re e N) in 21OTC/Jr/iar

12
N N

CHAPTER 1 Measure Spaces

(1) and

( J £„ = | J Fn far every N e N,
n=\ n=l

(2)

( J En = ( J F„.
neN neN
=

In particular, ;/2l ;'s a a-algebra, then UneN ^"

U«eN £ «

G

21-

Proof. Let £i = E\ and F„ = E„ \ (£i U . . . U £„_i) for n > 2. Since 21 is an algebra, F„ e 2( for n e N. Let us prove (1) and (2) and then the disjointness of (Fn : n e N). Let us prove (1) by induction. To start with, (1) is valid when N = 1 since F\ = E\. Next, assume that (1) is valid for some JV e N, that is, U^Li En = Un=i Fn- Then we have
N+\ N N N N+l

U F" = ( U F")u F^+i = ( U E")u ( £ *+i \ U E") = U E"'
n=\ n=\ n=\ n=\ n=\

that is, (1) holds for N + 1. Thus by induction, (1) holds for every N e N. To prove (2), let x s LJnepj En. Then x G £„ for some n G N and thus we have x e U L i Ek = UA=I F * C U n€ N F « b y (!)• W e s h o w s i m i 'arly that if x e U n £ N F" t n en
x €

UneN

£

«-

T h u s

w e

h a v e

U„eN

£

« = L L NF«-

T h i s

Proves (2).

Finally let us show that (£„ : n € N) is a disjoint sequence. Consider Fn and F m where n ^ m, say n < m. We have Fm = £ m \ {E\ U • • • U £ m _ i ) . By (1) and by the fact that n < m, we have £1 U • • • U £ m _i = £1 U • • • U F m _i D Fn. Thus we have £„ f| £ m = 0. This prove the disjointness of (£„ : n e N). I Lemma 1.22. Let y be a nonnegative extended real-valued set function on an algebra 21 of subsets of a set X. (a) Ify is additive on 21, it is finitely additive, monotone, and finitely subadditive on 21. (b) Ify is countably additive on 21, then it is countably subadditive on 21. Proof. 1. Suppose y is additive on 21. Let (£t : k = 1 , . . . , n) be a disjoint finite sequence in 21. Since 21 is an algebra, we have |J;=i E' S 2t for A = 1 , . . . , n. By the disjointness : of Ut=i £ * anc * £ " a n c l by the additivity of y on 21, we have
n k=\ n—i *=1

'(\jEk)=y(\jEk)+y{En).
Repeating the argument, we have y (U£=i £*) = YH=\ Y(Ek)- This proves the finite additivity of y on 21. To prove the monotonicity of y on 21, let E\, £2 e 2C and £1 C £2. Then £1, £ 2 \ £1 e 21, £ i n (£2 \ £1) = 0 , and £1 U ( £ 2 \ £1) = £ 2 e 2t so that by the additivity of y on 21, we have y (£1) + y(£2 \ £1) = Y(£2)- Then since y (£2 \ £1) > 0, we have y (£1) < y (£2). This proves the monotonicity of y on 21. To show the finite subadditivity of y on 2t, let (£* :fc= 1 , . . . , n) be a finite sequence in 21. If we let F\ = £ ! and F* = Ek \ (£1 U • • • U Ek-\) for k = 2 , . . . , n, then as we showed in the Proof of Lemma 1.21, (Fk : k = 1 , . . . , n) is a disjoint finite sequence in

§1 Measure on a a -algebra of Sets

13

21 with U*=i Fie = (Jt=i Ek so that by the finite additivity and the monotonicity of y on 21, we have y ( | J L i £*) = Y ( U L i F<0 = E L i Y(Fk) < E L i / ( £ * ) • This proves the finite subadditivity of y on 2C. 2. Suppose y is countably additive on 21. To show that it is countable subadditive on 21, let (F„ : n € N) be a sequence in 21 such that UneN £« e ^l- L ^ Fi = E\ and F„ = F„ \ (Ei U . . . F„_i) for n > 2. Then by Lemma 1.21, (F„ : n e N) is a disjoint sequence in 21 and UneN En = UneN ^«- Thus by the countable additivity and the monotonicity of y on 21, we have y ( U „ € N En) = y (U„ € N F„) = £ n e N X(F„) < £ „ € N Y(En). This proves the countable subadditivity of y on 2t. I Proposition 1.23. Let y be a nonnegative extended real-valued set function on an algebra 21 of subsets of a set X. Ify is additive and countably subadditive on 21 then y is countably additive on 21. Proof. Suppose y is additive and countably subadditive on 21. To show that y is countably additive on 21, let (En : n e N) be a disjoint sequence in 21 such that UneN En e 21. The additivity of y on 21 implies its monotonicity and finite additivity on 21 by (a) of Lemma E 1.22. Thus for every N e N, w e h a v e y ( ( J n e N En) > Y{\JLI ») = E j L i Y(E„). Since E this holds for every T e N, we have y(UneN ") - EneN Y(E„). On the other hand, V by the countable subadditivity of y on 21, we have y(U«eN ^«) — EneN Y(E„). Thus y (UneN En) ~ EneN Y(En)- This proves the countable additivity of y on 21. I Definition 1.24. Let f&bea a-algebra of subsets of a set X. A set function /x defined on 2t is called a measure if it satisfies the following conditions: 1° nonnegative extended real-valued: xt(F) s [0, oo] for every E e 21, 2° /x(0) = 0, 3° countable additivity: (E„ : n e N) C 21, disjoint => /x (UneN ^«)
=

EneN At(Fn)-

Lemma 1.25. A measure [i on a a-algebra 21 of subsets of a set X has the following properties: (1) ./zm'te additivity: ( F i , . . . , F„) C 21, disjoint =>• /ix ( U L i £ * ) = E*=i M(F<0. (2) monotonicity: E\, F2 e 2(, £1 C £2 => /"•(Fi) < /x(F 2 ), (3) F i , F 2 e 21, Fj c F 2 , /x(Fi) < co => ^,(F 2 \ Fi) = /x(F 2 ) - xx(Fi), (4) countable subadditivity: (F„ : w € N) C 21 => /x ( U „ S N £ « ) - EneN A*-(F„), and m particular (5) yinife subadditivity: ( F i , . . . , F„) C 21 =*• it ( U L i £ * ) < E L i /*(£*)• Proof. The countable additivity of /x on 21 implies its finite additivity on 21 by (a) of Observation 1.20. The finite additivity of /x on 21 implies its additivity on 21 and then its monotonicity on 21 by (a) of Lemma 1.22. To prove (3), let F i , F 2 € 21 and E\ C F 2 . Then Fi and F 2 \ E\ are two disjoint

14

CHAPTER 1 Measure Spaces

members of 21 whose union is equal to £2. Thus by the additivity of /x on 21, we have H-(Ei) = n(E\) + /z(£ 2 \ Ei). If ti{E\) < 00, then subtracting M ( £ I ) for both sides of the last equality, we have /x(£2) - li(E\) = ^ ( £ 2 \ E\). This proves (3). The countable additivity of \x on 21 implies its countable subadditivity on 21 by (b) of Lemma 1.22. This then implies the finite subadditivity of /u, on 21 by (b) of Observation 1.20. I Regarding (3) of Lemma 1.25, let us note that if PL(E\) = 00 then by the monotonicity of JJL we have ^(£2) = 00 also so that ^(£2) — Ai(£i) is not defined.

[VI] Measures of a Sequence of Sets
Let fi be a measure on a a-algebra 21 of subsets of a set X. Let (£„ : n e N) be a sequence in 21. If lim En exists, does lim /u.(£„) exist? If it does, do we have
n—»oo n—>oo

/A( lim En) =
v

lim [i(En)7 The next theorem addresses this question for monotone sen->oo

n->oo

'

quences of measurable sets. It is based on the countable additivity of a measure. It is a fundamental theorem in that a subsequent theorem regarding the limit inferior and the limit superior of the measures of an arbitrary sequence of measurable sets as well as the monotone convergence theorem for the Lebesgue integral, Fatou's lemma, and Lebesgue's dominated convergence theorem are ultimately based on this theorem. Theorem 1.26. (Monotone Convergence Theorem for Sequences of Measurable Sets) Let [i be a measure on a a-algebra 21 of subsets of a set X and let (En : n € N) be a monotone sequence in 21. (&)IfEn f, then lim //,(£„) = /x( lim En). (b) If En \,, then lim fJ,(E„) = fJ-( lim En), provided that there exists a set A e 21 with fi(A) < 00 such that E\ C A. Proof. If En t , then lim E» = \JneN En e 21. If E„ 4, then lim E„ = C\nen E„ € 21. Note also that if (En : n e N) is a monotone sequence in 2t, then (/u,(£„) : n e N) is a monotone sequence in [0, 00] by the monotonicity of /J, so that lim /u,(£„) exists in [0, 00].
n—>-oo

1. Suppose £„ f. Then we have/x(£„) f. Consider first the case where /u(£„ 0 ) = 00 for some no e N. In this case we have lim u(En) = 00. Since £„„ C I J„CM £« = lim £„,
n-s-oo
u

"c"

n->-oo

we have //,( lim £„) > ii{Ena) = 00. Thus /ti( lim £„) = 00 = lim fi(En). Consider next the case where n(En) < 00 for every n e N. Let £0 = 0 and consider a disjoint sequence (Fn : n e N) in 21 defined by Fn = En\ £„_i for n e N. We have lX=i ^n = l X = i F" f or every T e N and hence | J „ 6 N £„ = U n € N F„. Then we have V

neN

neN

neN

= ^/i(£„\£„_l) =^{/x(£„)-M(£n-l)},
«€N

§1 Measure on a <r-algebra of Sets

15

where the third equality is by the countable additivity of pt, and the fifth equality is by (3) of Lemma 1.25. Since the sum of a series is the limit of the sequence of partial sums we have
n

Y, {fJ-(En) - n(En-i)}
neN

= V^ J2 \v-(Ek) " k=\

KEk-\)}

= lim \fi(En)

- fi(E0)} = lim fi(En).

fi(En).

Thus we have/x( lim En) = lim
K

n-*oo

'

n->oo

2. Suppose En \. and assume the existence of a containing set A with finite measure. Define a disjoint sequence (Fn : n e N) in 21 by setting Fn = E„\ En+\ for n e N. Then

(1)

£i\n£»=UFneN neN

To show this, let x e E\ \ f\eN En- Then x e E\ and x is not in every En. Since En J,, there exists the first set Eno+\ in the sequence not containing x. Then x e E„Q \ Ena+\ = F na C L L N F"- T h i s s h o w s t h a t £ i \ fl„eN £ « C L L N F «- Conversely if x e U„ e N F « ' then ;c e F„0 = Eno \ Eno+i for some «o s N. Now x e £„ 0 C iii. Since x g Eno+\, we have x & P|neN £ « - T h u s x € £ l \ HneN £ « - T h i s s h o w s t h a t UneN Fn C Ei\ n „ e N EnTherefore (1) holds. Now by (1), we have

(2)

/*(£-! \ p| £•„) = /*( U ^OneN neN
nave

Since \x ( f \ e N ^ " ) — M ^ i ) — M-(^) < °°> w e
(3) IL{EX \ p | EH) neN = KE\)

by (3) of Lemma 1.25
= ^£l) - ^l™,
£

- M( H £») neN

")'

By the countable additivity of /x, we have

(4)

M(
= Y
neN

| J F ») = & ( F B )
neN neN

=

D
neN n

\^{En)

- /x(E„+i)} = liv^ ^
" ~ > ° ° k=\

{^(Ek) - U.(Ek+\)} lim /Lt(E n+1 ).
n—>oo

= lim \IA(E\)
n—>-oo l

- n(En+\)\

= ti{E\) -

Substituting (3) and (4) in (2), we have fi(Ei) - /u,( lim £1) = ti(Ei) v

lim /A(E„+I) = fi(Ei) - lim
n—>oo n—»oc

ix(En). •

n—>oo

Subtracting ix{E\) e R from both sides we have /LI( lim E„) =

lim fi(En).

16

CHAPTER 1 Measure Spaces

Remark 1.27. (b) of Theorem 1.26 has the following particular cases. Let (En : n G N) be a decreasing sequence in 21. Then lim u(En) = u( lim En) if any one of the following
n->oo
v

n->oo

'

conditions is satisfied: (a) /x(X) < oo, (b) n(Ei) < oo, (c) ii(EnQ) < oo for some no e N. Proof, (a) and (b) are particular cases of (b)ofTheorem 1.26 in which X and E\ respectively are the containing set A G 21 with /x.(A) < oo. To prove (c), suppose fi(Eno) < oo for some no G N. Let (F„ : n e N) be a decreasing sequence in 21 obtained by dropping the first no terms from (En : n e N), that is, we set for n e N. Lemma 1.7 implies that lim inf Fn = lim inf En and lim sup F„ = lim sup £„ and thus lim Fn = lim £„. Now since (Fn : n e N) is a decreasing sequence
n_>.00

n—»oo

n—*oo

and F„ C £«„ for n G N and since ^(Eno) < oo, (b) of Theorem 1.26 applies so that lim fi(Fn) = /x( lim Fn) = n( lim En). Since (/x(F„) : « G N) is a sequence obtained by dropping the first no terms of iii{En) : n G N), we have lim ii(Fn) = lim i^(En).
n—*-oo n—KX>

Therefore we have lim fj,(En) =/J.( lim £•„).

Let jt6 be a measure on a er-algebra 2( of subsets of a set X. Then for an arbitrary sequence (En : n e N) in 2(, lim inf £,, and lim sup £,, exist in 21 by Theorem 1.9 and thus /iflim inf £„)andM(lim sup £„)are defined. Now(/n(£„) : n e N) is a sequence in [0, oo] and thus lim inf /*(£„) = lim inf (J,(Ek) and limsupAt(£„) = lim sup/x(E,t) exist in
n->oo
v

n^-oo k>n n-+oo ' n^oo

n->oo

n

~*°° k>n n-yco

[0, oo]. How are /^(liminf £„) and / ^ ( l i m s u p ^ ) related respectively to lim inf fi(E„) and lim sup /zCE,,)? The next theorem addresses this question. Theorem 1.28. Let fi be a measure on a a-algebra 21 of subsets of a set X. (a) For an arbitrary sequence (En : n G N) in 21, we have (1) u(liminf En) < liminf [i(En).
v

n->oo

'

n-+oo

(b) If there exists A e 21 wifft /z(A) < oo MC/J ?/ia? En C Aforn (2) /x( lim sup En) > lim sup ii(En).
n—too n—>co

e N, r«en

(c) If both lim £„ and lim /J.(E„) exist, then (3) At( lim En) < lim ;*(£„). e N,

(d) / / lim En exist and if there exists A e 21 vw'f/i ^(A) < oo such that En C Aforn then lim fi(En) exists and
n->oo

(4)

/ 4v lim £„) = lim
n^-oo

n-»oo

fi(En)-

§1 Measure on a a -algebra of Sets Proof. 1. Recall that lim inf En = \JnpU f\>n
n-*oo
:
c

17 Ek = lim f)t>n
n-*oo —

Ek by the fact that

(f\>n £* « £ N) is an increasing sequence in 21. Then by (a) of Theorem 1.26, we have p,( lim inf En) = lim n(C\k>„ Ek) = liminfu (C\k>n Ek) since the limit of a
v

n->oo

'

n-»-oo

v

-

'

n->oo

-

'

sequence, if it exists, is equal to the limit inferior of the sequence. Since (\>n Ek C En, we have p, (f)k>n Ek) < p(E„) for n e N by the monotonicity of p. This then implies lim inf p (C\ i > n Ek) < lim inf p{En). Continuing the chain of equalities above with this
n->oo
v

'

n->oo

inequality, we have (1). 2. Assume that there exists A e 21 with n(A) < oo such that En C A for n e N. Now lim sup En = n„ € N U*>„ £* = l i m Ufc>„ Ek by the fact that (|J*>„ £* : n e N) is a
n-»oo ~ ~ n->oo

decreasing sequence in 2C. Since En c A for all w e N, we have [Jk>n Ek C A for all n € N. Thus we have ttOimsupi:,,) = p( lim Ujt>« Ek) = lim M (U*>« £*) bY ( b ) of Theorem 1.26. Now lim p ({Jk>n Ek) = lim sup p(\Jk>n Ek) since the limit of a sen-too n->oo ~

quence,ifit exists, is equal to the limit superior of the sequence. ThenbylJ A : > n Ek D £„,we have fj, (U*>„ Ek) > p(En). Thus lim sup p (\J k > n Ek) > lim sup p(E„). Continuing
n—»oo n—>-oo

the chain of equalities above with this inequality, we have (2). 3. If lim E„ and lim p(En) exist, then lim En = lim inf En and lim p(E„) =
n—*oo n->oo n—>oo n—»oo n—>oo «—>oo

lim inf fJ-(En) so that (1) reduces to (3). 4. If lim £ n exists, then lim sup En = lim £„ = lim inf En. If there exists A e 21
n—*oo «—>oo n—>oo n—>oo

with p(A) < oo such that E„ C A for n e N, then by (2) and (1) we have (5) lim sup p(E„) < ^(limsupisn) = p( lim £„)
n—>oo
v

n—»oo n-*oo '

rc-+oo

= yu,(liminf £„) < liminf
n->oo

p(En).

Since liminf p(En) < limsup/x(£„) the inequalities (5) imply liminf p(E„) = /x( n m £ « ) = lim sup/x (£•„).
n-»oo n-*oo n-*oo
y

«->oo
x

Thus lim At(/Y„) exists and then by (5) we have p( lim En) = lim p(En).
n-»-oo n-*oo

This proves

(4).

I

[VII] Measurable Space and Measure Space
Definition 1.29. Let 21 be a a-algebra of subsets of a set X. The pair (X, 21) is called a measurable space. A subset E ofX is said to be Ql-measurable if E e 21. Definition 1.30. (a) If p is a measure on a a-algebra 21 of subsets of a set X, we call the triple (X, 21, it) a measure space. (b) A measure p. on a a-algebra 2t of subsets of a set X is called a finite measure if

18

CHAPTER 1 Measure Spaces

p(X) < oo. In this case, (X, 21, /x) is called a finite measure space. (c) A measure \xonaa -algebra 21 of subsets of a set X is called a a -finite measure if there exists a sequence (En : n e N) in 21 such that UneN En = X and n(En) < ex for every n € N. In this case (X, 21, fj,) is called a a-finite measure space. (d) A set D € 21 in an arbitrary measure space (X, 21, p,) is called a a-finite set if there exists a sequence (Dn : n e N) in 2( such that U«eN Dn = D and fi(Dn) < oo for every n € N. Lemma 1.31. (a) Let (X, 21, p) be a measure space. If D e 21 is a a-finite set, then there exists an increasing sequence (Fn : n e N) in 21 such that lim F„ = D and /x(Fn) < oofor
n—>oo

every n e N and there exists a disjoint sequence (Gn : n e N) in 21 such that UneN G„ = D and (j,(Gn) < oo for every n e N. (b) If(X, 21, /i) is a a-finite measure space then every D e 21 is a a-finite set. Proof. 1. Let (X, 21, p) be a measure space. Suppose D e 21 is a CT-finite set. Then there exists a sequence (Dn : n e N) in 21 such that UneN Dn = D and p{Dn) < oo for every n e N. For each n e N, let Fn = UJt=i ^*- Then (Fn : n e N) is an increasing sequence in 2i such that ^ Fn = U „ e N fl. = UneN D" = D a n d M^«) = /*(U5U D *) < 121=1 A*(-D*-) < ° ° for every « e N. Let Gi = Fi and G„ = Fn \ \Jlz\ Fk for n > 2. Then (Gn : n e N) is a disjoint sequence in 21 such that UneN *^" = UneN Fn = D as in the Proof of Lemma 1.21, Ai(Gi) = /x(Fi) < oo and /x(G„) = /x(F„ \ (J!fe=i F 0 < M(^») < oo for « > 2. This proves (a). 2. Let (X, 21, /x) be aCT-finitemeasure space. Then there exists a sequence (F„ : n e N) in 21 such that | J n £ N E„ = X and /U,(F„) < oo for every n € N. Let D € 21. For each w e N, let D„ = D n En. Then (£>„ : n e N) is a sequence in 2t such that |J„ e N Dn = D and ix(Dn) < fi(En) < oo for every n e N. Thus D is a er-finite set. This proves (b). I Definition 1.32. Given a measure /x on a a-algebra 21 of subsets of a set X. A subset E of X is called a null set with respect to the measure \x if E e 21 and ix(E) = 0. In this case we say also that E is a null set in the measure space (X, 21, it). (Note that 0 is a null set in any measure space but a null set in a measure space need not be 0.) Observation 1.33. A countable union of null sets in a measure space is a null set of the measure space. Proof. Let (En : n G N) be a sequence of null sets in a measure space (X, 21, fi). Let E = UneN ^«- Since 21 is closed under countable unions, we have E e 21. By the countable subadditivity of p. on 21, we have p-(E) < X!neN ViEn) = 0- Thus /x(F) = 0. This shows that E is a null set in (X, 21, //,). • Definition 1.34. Given a measure fiona a-algebra 21 of subsets of a set X. We say that the a-algebra 21 is complete with respect to the measure \JL if an arbitrary subset EQ of a null set

§1 Measure on a cr-algebra of Sets

19

E with respect to p is a member o/2l (andconsequently has p(Eo) = 0 by the monotonicity of p). When 21 is complete with respect to p, we say that (X, 21, p) is a complete measure space. Example. Let X = {a, b, c}. Then 21 = {0, {a}, {b, c), X\ is a cr-algebra of subsets of X. If we define a set function p on 21 by setting p(&) = 0, p({a}) = 1, p({b, c}) = 0, and p(X) = 1, then p is a measure on 21. The set {b, c] is a null set in the measure space (X, 21, p), but its subset {b} is not a member of 21. Therefore (X, 21, /it) is not a complete measure space. Definition 1.35. (a) Given a measurable space (X, 21). An SH-measurable set E is called an atom of the measurable space if® and E are the only %L-measurable subsets of E. (b) Given a measure space (X, 21, p). An ^-measurable set E is called an atom of the measure space if it satisfies the following conditions :

p(E)

> 0,

E0 C E, E0 6 21 => p(E0) = 0 or p(E0) = p(E). Observe that if E is an atom of (X, 2t) and p(E) > 0, then E is an atom of (X, 21, p).

Example. In a measurable space (X, 21) where X = {a, b, c) and 21 = {0, (a), {b, c}, X], if we define a set function p on 21 by setting /x(0) = 0, /•'({a}) = 1, p({b, c}) = 2, and p(X) = 3, then p is a measure on 21. The set {&, c} is an atom of the measure space (X,St,At).

[VIII] Measurable Mapping
Let / be a mapping of a subset D of a set X into a set y. We write S ) ( / ) and £H(/) for the domain of definition and the range of / respectively. Thus 2>(/) = DCX,

<R(/) = {y e y : y = /(JC) for some x € 2>(/)} C Y. For the image of £ ) ( / ) by / we have / ( © ( / ) ) = JH(/). For an arbitrary subset E of y we define the preimage of E under the mapping / by f~\E) := {* s X : f(x) e E) = {x e © ( / ) : fix) e E}.

Note that E is an arbitrary subset of Y and need not be a subset of 9 t ( / ) . Indeed E may be disjoint from 9 t ( / ) , in which case f~l(E) = 0. In general we have / ( / " ' ( £ ) ) C £ . For an arbitrary collection <£ of subsets of Y, we let /~'(<E) := \f~](E) : E € <£}. Observation 1.36. Given sets X and Y. Let / be a mapping with 2>(/) C X and

2 0
9 t ( / ) C Y. Let E and Ea be arbitrary subsets of Y. Then (1) (2) / - 1 ( 7 ) = S)(/), f~\Ec) = f~\Y \ E) = f-\Y) \ f-\E)

CHAPTER 1 Measure Spaces

= S>(/) \ / - * ( £ ) ,

(3)

/-1(U«A£«) = IU/-'(*«).

(4)

r'in.E^^n.^r'W-

Proposition 1.37. Given sets XandY. Let f be a mapping with 55(f) C XandV>\{f) C F. 7^23 is a a-algebra of subsets ofY then / _ 1 ( 2 3 ) w a a-algebra of subsets of the sefD(f). In particular, ifZ>(f) = X then / - 1 ( 2 3 ) is a a-algebra of subsets of the set X. Proof. Let 23 be a cr-algebra of subsets of the set Y. To show that / _ 1 ( 2 3 ) is a cralgebra of subsets of the set 2>(/) we show that £>(/) s / _ 1 ( 2 5 ) ; if A e / _ 1 ( 2 3 ) then 2 ? ( / ) \ A e / - 1 ( 2 3 ) ; and for any sequence (A„ : n 6 N) in / _ 1 ( 2 3 ) we have 1. By (1) of Observation 1.36, we have £>(/) = f~x(Y) e / _ 1 ( 2 3 ) since Y e 93. 2. Let A e / - 1 ( 3 3 ) . Then A = / _ 1 ( £ ) for some B e 23. Since Bc e 23 we have l c f~ (B ) e / _ 1 ( 2 3 ) - On the other hand by (2) of Observation 1.36, we have f~l(Bc) = » ( / ) \ / " ' ( B ) = S ) ( / ) \ A. Thus £>(/) \ A e / " ' ( S B ) . 3. Let (A„ : n s N) be a sequence in / _ 1 (23). Then An = f~1(Bn) for some B„ e 23 for each n e N. Then by (3) of Observation 1.36, we have

U A" = U f'l(Bn) = / " ' ( U B n ) €
neN neN neN

f~l(*^

since \Jn€n Bn e 23.

Definition 1.38. Given two measurable spaces (X, 21) and (F, 23). Let f bea mapping with 2>(/) C X and 9 t ( / ) C Y. We say that f is a 21/23 -measurable mapping iff'1 (B) e VL for every B e 23, r/zar is, / _ 1 ( 2 3 ) c 21. According to Proposition 1.37 for an arbitrary mapping / of £>(/) C X into y, / - 1 (23) is a cr -algebra of subsets of the set 2) ( / ) . 21/23 -measurability of the mapping / requires that the cr-algebra f"1 (23) of subsets ofD(f) be a subcollection of the cr-algebra 21 of subsets of X. Note also that the 2l/23-measurability of / implies that £>(/) = f~l(Y) e 21. Observation 1.39. Given two measurable spaces (X, 21) and (Y, 23). Let / be a 21/23measurable mapping. (a) If 2li is a cr-algebra of subsets of X such that 2ti D 21, then / is 2li/23-measurable. (b) If 23o is a cr-algebra of subsets of Y such that 23o C 23, then / is 2t/23o-measurable. Proof, (a) follows from / _ 1 ( 2 3 ) C 21 C 2ti and (b) from / " 1 ( 2 3 0 ) C / " ' ( » ) C 21. I Composition of two measurable mappings is a measurable mapping provided that the two measurable mappings form a chain. To be precise, we have the following:

§1 Measure on a a -algebra of Sets

21

Theorem 1.40. (Chain Rule for Measurable Mappings) Given measurable spaces (X, 21), (Y, 23), and (Z, €). Let f be a mapping with £>(/) C X, 9 t ( / ) C K, g fee a mapping with 2>(g) C F, IH(g) C Z SMC/J f/iaf $H(/) C 2>(g) so r/zar ffte composite mapping g o / w defined with 1>(g o f) C X and 9\(g o / ) c Z. /f / is 21 /'33-measurable and g is *B/<£.-measurable, then g o / is %l/<Z-measurable. Proof. By the 2l/23-measurability of / , we have / _ 1 ( 2 3 ) c 21, and by the 2 3 / £ measurability of g, we have g~l(€) C 23. Thus (g o / ) _ 1 ( £ ) = f (g~l(£)) C / - » ( » ) C 5». I The 2l/23-measurability condition can be reduced when 23 is the a -algebra generated by a collection <£ of subsets of Y. Thus we have the following: Theorem 1.41. Given two measurable spaces (X, 21) and (Y, 23), where 23 = o(<£) and <£. is an arbitrary collection of subsets of Y. Let f be a mapping with 2 ) ( / ) € 21 and 9 t ( / ) C K. 77ien / w a 21 /'23-measurable mapping o / 3 ? ( / ) info F if and only if

/-'(Oca.
Proof. If / is a 2l/23-measurable mapping of £>(/) into y, then / _ 1 (23) c 2t so that f-\<£) C 21. Conversely if / _1 (<E) C 21, then cr(/- 1 ((*)) c a (21) = 2t. Now by Theorem 1.14, or(/ -1 (<E)) = f~x{o-(<£)) = / _ 1 ( 2 3 ) . Thus / " ' ( 2 3 ) C 21 and / is a 2l/23-measurable mapping of 3 ? ( / ) . I Proposition 1.42. Given two measurable spaces (X, 21) and (Y, 23 y), where Y is a topological space and 23 y is the Borel a-algebra of subsets of Y. Let f be a mapping with 2 ) ( / ) e 21 and $H(/) C Y. Let Dy and <£y be respectively the collection of all open sets and the collection of all closed sets in Y. (a) / is a %L/*By-measurable mapping ofS)(f) into Y if and only if f~1(Oy) C 21. (b) / is a 21 /23y -measurable mapping ofX){f) into Y if and only if f~l(<£y) C 2t. Proof. Since 23 y = a(Oy) 1.41. • = a(<L.y), the Proposition is a particular case of Theorem

Theorem 1.43. Given two measurable spaces (X, 23^) and (Y, 23y) where X and Y are topological spaces and 23 x and 23 y are the Borel a-algebras of subsets of X and Y respectively. If f is a continuous mapping defined on a set D e 2 3 A-, then f is a 23x/23y -measurable mapping of D into Y. Proof. Let V be an open set in Y. The continuity of / on D implies that f~l (V) = UHD where U is an open set in X so that f~l(V) e 2 3 ^ . Since this holds for every open set V in y, / is a 23xl23y-measurable mapping of D into Y by (a) of Proposition 1.42. • A particular case of Theorem 1.43 is when we have a real-valued continuous function / defined on a set D € 23 x where 23 x is the Borel a-algebra of subsets of a topological space X. In this case we have (Y, 23y) = (K, 23R). By Theorem 1.43, / is a 2 3 X / 2 3 R -

22 measurable mapping of D into R.

CHAPTER 1 Measure Spaces

[IX] Induction of Measure by Measurable Mapping
Let /x be a measure on a cr-algebra 21 of subsets of a set X. We show next that a measurable mapping of the measurable space (X, 21) into another measurable space (Y, 58) induces a measure on the cr-algebra 58. The induced measure on 58 is called the image measure induced by the measurable mapping. Theorem 1.44. (Image Measure) Given two measurable spaces {X, 21) and (7,58). Let f be a 21/58 -measurable mapping ofX into Y. Let (M be a measure on 21. The set function definedby v = p. o f~l on 58, that is, v{B) = p (f~l(B))for B e 58, is a measure on 58. Proof. Since / is a 2t/5B-measurable mapping of X into Y, we have / _ 1 (5) € 21 for every B e 58 and then v(B) = p ( / " ' ( S ) ) e [0, oo]. Also v(0) = ^ ( / - ' ( 0 ) ) = /x(0) = 0. Let (Bn : n e N) be a disjoint sequence in 58. Then ( / _ 1 ( B „ ) : n e N) is a disjoint sequence in 21 and f~l (\Jnen Bn) = U„ e N / _ 1 ( A ) e 21. Thus we have the equality K U „ £ N 5 « ) = M C T H I L N * " ) ) = E „ 6 N / * ( / " ' ( * » ) ) = £ „ e N v ( f l n ) . This shows that u is countably additive on 21. Therefore v is a measure on 58. I

Problems
Prob. 1.1. Given two sequences of subsets (En : n e N) and (F„ : n e N) of a set X. (a) Show that lim inf En U lim inf Fn C lim inf {E„ U F „ ) c lim inf En U lim sup F„
n—*oo n—>oo n—>oo n-±oo «—>oo

C lim sup(£„ U F„) C lim sup En U lim sup F„. (b) State and prove a similar chain of inclusions for intersections. (c) Show that if lim En and lim Fn exist, then lim (£' n UF n )and lim (£„flF„) exist. Prob. 1.2. (a) Let (An : n e N) be a sequence of subsets of a set X. Let (B„ : n e N) be a sequence obtained by dropping finitely many entries in the sequence (A„ : n e N). Show that lim inf B„ = lim inf An and lim sup Bn = lim sup An. Show that lim Bn exists if
«^oo n->oo n^-oo n^oo n^.^ n^-00

and only if lim An exists and when they exist they are equal. (b) Let (A„ : n e N) and (Bn : n G N) be two sequences of subsets of a set X such that A„ = S„ for all but finitely many n e N. Show that lim inf Bn = lim inf An and
n->00 n->-oo

lim sup B„ = lim sup A„. Show that lim Bn exists if and only if lim An exists and when they exist they are equal. Prob. 1.3. (a) Let a e R and let (xn : n e N) be a sequence of points in R, all distinct from a, such that lim xn = a. Show that lim {xn} ^ {a}.
n—>oo n—tea

(b) Let E C R. For t e R let E + t = {x + t : x e E], that is, the translate of E by t.

§1 Measure on a a-algebra of Sets

23

Let (tn : n e N) be a sequence in R such that lim tn = 0 and let En = E + tn for n e N.
n-»oo

Construct a set £ C K such that lim E„ ^ E. Prob. 1.4. The characteristic function \& of a subset A of a set X is a function on X defined by 1 for* e A,
1A(*)- I o f0TxeAc

Let (A„ : n e N) be a sequence of subsets of X and A be a subset of X. (a) Show that if lim An = A then lim 1& = 1^ on X. (b) Show that if lim \*
n—>-oo

= 1A on X then lim A„ = A.
n-*oo

Prob. 1.5. Let 21 be a a-algebra of subsets of a set X and let 7 be an arbitrary subset of X. Let 23 = {A n Y : A e 21}. Show that 23 is a a -algebra of subsets of Y. Prob. 1.6. Let 21 be a collection of subsets of a set X with the following properties: 1°. X e 2 l , 2°. A, fi € 21 => A \ B = A n S c e 21. Show that 21 is an algebra of subsets of the set X. Prob. 1.7. Let 21 be an algebra of subsets of a set X. Suppose 21 has the property that for every increasing sequence (A„ : n e N) in 21, we have UneN -A„ e 2 1 . Show that 21 is a CT-algebra of subsets of the set X. (Hint: For an arbitrary sequence (Bn : n e N) in 21, we have (J«eN ^« = UneN ^« where (A„ : n € N) is an increasing sequence in 21 defined by A„ = U*=i ^* f ° r w e ^-) Prob. 1.8. (a) Show that if (2l„ : n e N) is an increasing sequence of algebras of subsets of a set X, then UneN ^t« is an algebra of subsets of X. (b) Show by example that even if 2l„ in (a) is a a -algebra for every n e N, the union still may not be a a -algebra. Prob. 1.9. Let (X, 21) be a measurable space and let (En : n e N) be an increasing sequence in 21 such that UneN En = X(a) Let 2t„ = 21 n En, that is, 2l„ = {A n E„ : A e 2l}. Show that 2l„ is a a-algebra of subsets of En for each n e N. (b) Does U„eN ^ = 21 hold? Prob. 1.10. Let X be an arbitrary infinite set. We say that a subset A of X is co-finite if Ac is a finite set. Let 21 consist of all the finite and the co-finite subsets of a set X. (a) Show that 21 is an algebra of subsets of X. (b) Show that 21 is a cr-algebra if and only if X is a finite set. Prob. 1.11. Let X be an arbitrary uncountable set. We say that a subset A of X is cocountable if Ac is a countable set. Let 21 consist of all the countable and the co-countable subsets of a set X. Show that 21 is a a -algebra. (This offers an example where an uncountable union of members of a er-algebra is not a member of the a-algebra. Indeed, let X be an uncountable set and let A be a subset of

24

CHAPTER 1 Measure Spaces

X such that neither A nor Ac is a countable set so that A, Ac g 21. Let A be given as A = \xy e X : y e r] where T in an uncountable set. Then {xy} e 21 for every y e V, but{Jyer{xr) = A<?W.) Prob. 1.12. For an arbitrary collection (B of subsets of a set X, let a((£) be the algebra generated by <£, that is, the smallest algebra of subsets of X containing <£, and let a(<£) be the a-algebra generated by <£. Prove the following statements: (a) «(«(<£)) = «(<*),
(b)ff(or(C)) = ff(C),

(c)ar(g) C<r(C), (d) if £ is a finite collection, then a((B) = <J(<B), (e)ff(a(C)) = <r(€). (Hint for (d): Use Prob. 1.13 below.) Prob. 1.13. Let <B — {E\, • • • , En} be a finite collection of distinct, but not necessarily disjoint, subsets of a set X. Let 2> be the collection of all subsets of X which have expressions of the type F\ O • • • n Fn where F, is either Zs, or Ect for each ;' = 1, • • • , n. Let 21 be the collection of all finite unions of members of 2). (a) Show that 2) has at most 2" distinct members. (b) Show that 21 = a(<£). (c) Show that a(<B) has at most 22" distinct members. (d) Show that a((B) = a((B). Remark. For an arbitrary collection (B of subsets of a set X, the smallest a -algebra of subsets of X containing <E, a((B), always exists according to Theorem 1.11. Prob. 1.13 presents a method of constructing a ((B) for the case that (B is a finite collection. Prob. 1.14. Let (2t„ : n e N) be a monotone sequence of algebras of subsets of a set X and let 21 = lim 2l„. Show that 21 is an algebra. Prob. 1.15. Let (2l„ : n 6 N) be a monotone sequence of er-algebras of subsets of a set X and let 2 1 = lim 2( n .
n->oo

(a) Show that if (2t„ : n 6 N) is a decreasing sequence then 21 is a a-algebra. (b) Show that if (2t„ : n e N) is an increasing sequence then 21 need not be a a-algebra by constructing an example. Prob. 1.16. Let {A; : i = 1 , . . . , n) be a disjoint collection of nonempty subsets of a set X such that U"=i A; = X. (a) Show that the collection of all finite unions of members of {A; : i = 1 , . . . , « } is equal to a({A; : i = 1 , . . . ,n}). (b) Show that a ({A,- : i = 1 , . . . ,«}) is a finite set. Prob. 1.17. Let {A„ : n e N} be a disjoint collection of nonempty subsets of a set X such

that L L N A" = x(a) Show that the collection of all countable unions of members of {A„ : n e N} is equal to a({A„:n€N}). (b) Show that a({A„ : n € N}) is an uncountable set.

§1 Measure on a cr-algebra of Sets

25

Prob. 1.18. Show that a a-algebra of subsets of a set cannot be a countably infinite collection, that is, its cardinality is either finite or else it is at least that of the continuum. Prob. 1.19. Let <£ be an arbitrary collection of subsets of a set X. Show that for every A € a(<£) there exists a finite subcollection {E\, • • • , En] of C depending on A such that A € « ( { £ , , • • • ,£„}). (Hint: Show that the collection of all sets A with this property is an algebra and then show that this algebra contains (£.) Prob. 1.20. Let (£ be an arbitrary collection of subsets of a set X. Show that for every A € er((E) there exists a countable subcollection <£A of <£ depending on A such that A e CT((EA)- (We say that every member of cr(<8) is countably generated.) Prob. 1.21. Let X be a countably infinite set and let 21 be the cr-algebra of all subsets of X. Define a set function [i on 21 by defining for every E e 21 . _. f 0 if E is a finite set /x(£) = oo otherwise. (a) Show that /x is additive but not countably additive on 21. (b) Show that X is the limit of an increasing sequence (En : n e N) in 21 with n(En) = 0 for all «, but fJ-(X) — oo. Prob. 1.22. Let X be an infinite set and let 21 be the algebra consisting of the finite and the co-finite subsets of X (cf. Prob. 1.10). Define a set function ^ on 21 by setting for every Ae2l: , 0 if A is finite, 1 if A is co-finite. (Note that since X is an infinite set, no subset A of X can be both finite and co-finite although it can be neither.) (a) Show that fi is additive on the algebra 2(. (b) Show that when X is countably infinite, \x is not countably additive on the algebra 21. (c) Show that when X is countably infinite, then X is the limit of an increasing sequence {A„ :n € N} in 21 with ix(An) = 0 for every n e N, but n(X) = 1. (d) Show that when X is uncountable, then n is countably additive on the algebra 2(. Prob. 1.23. Let X be an uncountable set and let 21 be the cr-algebra consisting of the countable and the co-countable subsets of X (cf. Prob. 1.11). Define a set function /x on 21 by setting for every A e 21: ... f 0 if A is countable, /x(A) 1 if A is co-countable. (Note that since X is an uncountable set, no subset A of X can be both countable and co-countable although it can be neither.) Show that /x is countably additive on 2C. Prob. 1.24. Let X = (0, oo) and let 2 be the collection of intervals of the type in — 1, n] for n € N. Let 21 be the collection of all arbitrary unions of members of J . For every A e 21 let us define /x(A) to be the number of elements of 3 that constitute A. (a) Show that 2( is a cr-algebra of subsets of X. (b) Show that \x, is a measure on the cr-algebra 21.

26

CHAPTER 1 Measure Spaces

(c) Let (A„ : n e N) C 21 where A„ = (n, oo) for n e N. Show that for the decreasing sequence (A„ : n e N) we have lim xt(A„) ^ xx( lim A„). Prob. 1.25. Let (X, 21, /x) be a finite measure space. Let <£ = {Ex : k e A} be a disjoint collection of members of 21 such that fi(Ex) > 0 for every X s A. Show that £ is at most a countable collection. Prob. 1.26. Given a measure space (X, 21, /x). We say that a sequence (A„ : rc 6 N) in 21 is almost disjoint if ti(Aj C\ Aj) = 0 for y 7^ fc. (a) Show that if (A„ : n e N) C 21 is almost disjoint, then /x ( ( J n e N A„) = X!„eN MOM(b) Show that if (A„ : « e N) C 21 is such that /x (U n e N ^«) = 5ZneN A ^ n ) < o 0 - t n e n (A„ : n 6 N) is almost disjoint. (c) If we remove the condition J^nen MO^n) < ° ° m (b)> then the conclusion is not valid. Show this by constructing an example. Prob. 1.27. Let /x be a measure on a a -algebra 21 of subsets of a set X and let 2(o be a sub-cr-algebra of 21, that is, 2lo is a a-algebra of subsets of X and 2lo C 21. Show that the restriction of xt to 2to is a measure on 2loProb. 1.28. Let /xi and /X2 be measures on a u-algebra 21 of subsets of a set X and let «i. «2 > 0. Show that the set function a\/xi + a2/X2 on 21 defined for £ € 21 by setting (a\n\ + a2/J-2){E) = ot\iJ,i(E) + aj^iiE) is a measure on 21. Prob. 1.29. Let (X, 21, /x) be a cr-finite measure space so that there exists a sequence (£„ : « e N) in 2t such that U«eN En = X and /x(£„) < 00 for every n e N. Show that there exists a disjoint sequence (£„ : n e N) in 21 such that U n e N En = X and xx(£„) < 00 for every n 6 N. Prob. 1.30. Let (X, 2(, xx) be a measure space. Show that for any E\, £2 e 21 we have the equality: xi(£i U £2) + M(£l n £2) = /x(£i) + /x(#2)Prob. 1.31. The symmetric difference of two subsets A and S of a set X is defined by tx(AAfl) = (A\B)U(B\A). (a) Prove the triangle inequality for the symmetric difference of sets, that is, for any three subsets A, B, C of a set X we have AAB c (AAC) U (CAS). (b) Let (X, 21, fi) be a measure space. Show that /x(AA#) < if(AAC)+/x(CAS) for any A, fl.C G2t. Remark. Let (X, 21, ti) be a finite measure space. Then a function p on 21 x 21 defined by p(A, B) = jix(AAB) for A, S € 21 has the following properties: 1° p(A, B) e [0, ii(X)], 2° p(A, S) = p(B,A), 3° p(A,fi) < p ( A , C ) + p ( C , 5 ) . However p need not be a metric on the set 21 since p(A, B) = 0 does not imply A = B. Prob. 1.32. Let (X, 21, /x) be a finite measure space. Let a relation ~ among the members of 21 be defined by writing A ~ B when /x(AAB) = 0. (a) Show that ~ is an equivalence relation, that is,

§1 Measure on a a -algebra of Sets

27

A~A,

2° A ~ fl => B~ A, 3° A~ B,B ~C ^> A~ C. (b) Let [A] be the equivalence class to which A belongs and let [21] be the collection of all the equivalence classes with respect to the equivalence relation ~ . Define a function p* on [21] x [21] by setting p*([A], [B]) = fi(AAB) for [A], [B] € [21]. (c) Show that p* is well defined in the sense that its definition as given above does not depend on the particular representative A and B of the equivalence classes [A] and [B]; in other words, A' e [A], B' e [B] => n(A'AB') = n(AAB). (d) Show that p* is a metric on the set [21].

28

CHAPTER 1 Measure Spaces

§2

Outer Measures

[I] Construction of Measure by Means of Outer Measure
Definition 2.1. Let X be an arbitrary set. A set function /x* definedonthe a-algebra^fi(X) of all subsets ofX is called an outer measure on X if it satisfies the following conditions : 1° 2° 3°

nonnegative extended real-valued : /u,*(£) G [0, oo] for every E € ?f$(X), /x*(0)=O, monotonicity: Eu E2 G V(X),
countablesubadditivity:

E\ C E2 => /x*(£i) < /x*(£ 2 ),
E

( £ „ : n e N ) C ^ J ( X ) =S> M-*(U«eN

») ^ EneN ^*(£n)-

By definition an outer measure /i* is a countably subadditive set function on the aalgebra ^J(X). If it is also additive on Vp(X), that is, if it satisfies the condition that M*(Ei U E2) = M*(£i) + fi*(.E2) whenever EUE2 e $P(X) and £ i n £ 2 = 0, then according to Proposition 1.23, //.* is countably additive on $P(X) so that it is a measure on ^P(X). In general an outer measure /x* does not satisfy the additivity condition on 9p(X). We shall show that there exists a a-algebra 21 of subsets of X, 21 C 9p(X), such that when /x* is restricted to 21 it is additive on 21. Then ii* is countably additive on 21 by Proposition 1.23 and is thus a measure on 21. Let £ € $P(X). For an arbitrary A e $P(X), we have (A n £ ) n (A n £ c ) = 0 and (A n £ ) U (A n Ec) = A. Definition 2.2. Let /x* £>e a« outer measure on a set X. We say that a set E € 9fi(X) is measurable with respect to fi* (or fi*-measurable) if it satisfies the following Caratheodory condition : M*(A) = ji*(A n E) + n*(A n Ec) for every A € *£(X).

77ie jef A is called a testing set in the Caratheodory condition. We write VJl{jJ.*) for the collection of all fi*-measurable E € 9p(X). Observation 2.3. The countable subadditivity of fi* implies its finite subadditivity on ^J(X) by Observation 1.20. Thus fi*(A) < fi*(A n E) + n*(A n Ec) for any E, A e ^J(X). Therefore to verify the Caratheodory condition for E e %$(X), it suffices to verify that /x*(A) > n*(A HE) + n*(A n Ec) for every A e *P(X). Lemma 2.4. Ler /x* fee an outer measure on a set X. Consider the collection 9Jt(/x*) o/a// /x*-measurable E e ^3(X). (a)If Ei, E2 e SDT(ii*), fnew £ i U E2 e S0t(/x*). (b) The set function /x* is additive on 9Jt(/x*), ?«a? «, M*(£i U £2) = A**(£i) + /x*(£ 2 ) for EuE2e SDT(/x*) swc/i f t o £1 n £ 2 = 0-

§2 Outer Measures Proof. 1. Suppose £ i , £ 2 e Vtttbi*). Let A e qJ(X). Since £ i € SDT(At*) we have (1)
fj,*(A)=n*(AnE])

29

+

n*(AnEcl).

With A n £ { as a testing set for £2 6 9Jt(/x*), we have (2) n*(A fl Ef) = fi*(A DEln E2) + fi*(A D E\ n ££).

Substituting (2) into (1) we have (3) fi*(A) = / / ( A n Ei) + pi*{A n E\ f l £ 2 ) + M*(A n £^ (1 ££). ~

Regarding the first two terms on the right-hand side of (3) note that

(A n Ei) u (A n E\ n E2) = A n (£1 u (Ef n E 2 ) )
=A

n (£1 u (£ 2 \ £1)) = A n (£1 u £ 2 ).

Then by the subadditivity of n* we have

(4)
(5)

/z*(A n £ 0 +11*(A n E\ n £ 2 ) > /x*((A n £1) u (A n £ j n £ 2 ))
=M*(An(£1U£2)).

We have also it* (A n E\ n ££) = l u*(An (£] U £ 2 ) c ). Substituting this and (4) in (3), we have / A A ) > n*(A n (£1 U £ 2 )) + n*(A n (E, U £ 2 ) c ) . By Observation 2.3 this shows that £1 U £2 satisfies the Caratheodory condition. Hence £1 U £ 2 6 S0t(/A*). 2. To prove the additivity of it* on 9Jt(£i*), let £1, £ 2 € 9Jt(M*) and £1 fl £ 2 = 0. Since £1 6 Ort(/x*), we have n*(A) = n*(A n £1) + /x*(A n E\) for every A € «P(X). In particular, with A = £1 U £2 we have /x*(£i U £ 2 ) == /z*((£i U £ 2 ) n £1) + ii*((Ei U £ 2 ) n El). Nowthedisjointnessof£iand£2impliesthat(£iU£2)n£i = £1 a n d ( £ i U £ 2 ) n £ | = E 2 . Thus it* (£1 U £ 2 ) = ii* (£1) +11* (£2). I The next theorem shows that for an arbitrary outer measure 11* on a set X, there exists a non tt*-measurable subset of X if and only if 11* is not additive on 9p(X). Theorem 2.5. Let pu* be an outer measure on a set X. Then the following two conditions are equivalent: (i) (i* is additive on 9p(X). (ii) Every member of^(X) is fx*-measurable, that is, VJl(p*) = ^P(X). Thus there exist non /i*-measurable sets in X if and only if /x* is not additive on 9p(X).

30

CHAPTER 1 Measure Spaces

Proof. 1. Suppose n* is additive on Vji(X). Let E € %$(X). Then for an arbitrary A e Vp(X), the two sets AD E and A n Ec are disjoint members of <$(X) whose union is equaltoAsothatbytheadditivityof/z*on«P(X)wehave/u,*(A) = /J,*(AnE)+n*(AnEc). This shows that every E € *P(X) satisfies the Caratheodory condition. Thus E s £DT(/x*) and then %S(X) C 50t(/x*). On the other hand, since %S(X) is the collection of all subsets of X we have 9JI(AI*) C ^P(X). Therefore we have Wl(fi*) = ^P(X). 2. Conversely suppose ^J(X) = 9Jl(/x*). Then since fi* is additive on VDt([i*) by Lemma 2.4,/A* is additive on qj(X). • Example. Let X be an arbitrary set and for every E e ^J(X) let //.*(£) be equal to the number of elements in E. Then /z* satisfies conditions 1° - 4° in Definition 2.1 and is thus an outer measure on X. Moreover fi* is additive on ^3(X). Lemma 2.6. Let it* be an outer measure on a set X. If E e ^J(X) and fJ-*(E) = 0, then every subset EQ of E, and in particular E itself, is a member ofVJt([i*). Proof. If^t*(£') = 0, then for any subset £b of E, we have /x*(£o) = 0 by the monotonicity of/x*. ThenforeveryA e <$(X), wehave/x*(An£o) + /"*(An££) < /i*(£ 0 ) + M*(A) = /x*(A) by the monotonicity of AA*. This shows that £o satisfies the Caratheodory condition by Observation 2.3. Hence E0 € 9JtO*). • Lemma 2.7. Ler /x* fee an outer measure on a set X. IfE, F e 9p(X) and /x*(F) = 0, thenfj.*(EUF) =/x*(£). Proof. By the subadditivity of /x*, we have /J.*(E U F) < /x*(£) + /x*(F) = /x*(£)- On the other hand by the monotonicity of /x*, we have ^*(E) < n*(E U F). Therefore we havetx*(£UF) = n*(E). • Theorem 2.8. Let IA* be an outer measure on a set X. Then the collection 9H(/x*) of all fi*-measurable subsets ofX is a a-algebra of subsets ofX. Proof. 1. ForanyA e <P(X), wehave/x*(AnX)+/x*(AnX c ) = /x*(A)+/x*(0) = A** (A). This shows that X satisfies the Caratheodory condition so that X s 9Jl(fi*). 2. Let E e £DT(it*). Then for every A e qj(X) we have fi*(A) = ix*{A HE) + /x*(A n E c ) = AX*(A n (Ec)c) + /x*(A n £ c ) . This shows that Zsc satisfies the Caratheodory condition so that Ec e DJt(fi*). 3. Let (E„ : n e N) c SDT(/x*)- By Observation 2.3, to show that U „ € N En € SDT(/x*), it suffices to show that for every A € SP(X), we have

A**(A)

> M * ( A n [ | J £„]) + M + (A n [ ( J £„] e ).

§2 Outer Measures Let us show first that for every k e N, we have *
J l

31

~

c

k

(l)

/i*(A) = J^H*(A n [ [J £,] n Ej) + M*(A n [ (J E J )
7=1 1=1 j=l

c

with the understanding that (J? = 1 £/ = 0. Let us prove (1) by induction on k e N. Now for k = 1, since £ i e £DT(^*), we have ,u*(A) = /z*(A D Ei) + (i*(A n E\). Thus (1) is valid for k = 1. Next assume that (1) is valid for some t e N . Let us show that (1) is valid for k + 1. Now with A n U;=i £ / as a testing set for Ek+\ € SDt(jLi*), we have
k k k

/Z*(A n [ | J EjJ) = IX*{A n [ (J £,-]' n Ek+l) + M*(A n [ (J £,-]' n ££+1)
;=i j=\ * ;=i jt+i

= M*(A n [ (J EjJ n £ t+1 ) + M*(A n [ | J EjJ).
7= 1 y= l

Substituting this equality into (1) which is valid for k by our assumption, we have
k 7-1

^*(A) = £ > * ( A [ U ]
7=1 k+\ i=l j - \ i= l

n

E

c

k

k+\

nE

J)+^*(

An

[U J]
7=1 k+\

E

CnEk

+ )+^*(

i

An

[U E J
7=1

= E ^ ( A n [ l > < ] n£;) + M*(An[(J^])7= 1 7=1

This shows that (1) is valid for k + 1 under the assumption that it is valid for k. Thus by induction, (1) is valid for every k e N. Since (J* = 1 £, C (JyeN Eh w e h a v e [U*=i #iT D [UjeN £ ./T> a n d t h e n b v t n e monotonicity of ,w*, we have M*(A D [ U;=i • E '] C ) — M*(A n [ (J/eN ^ v ' D - Using this in (1), we have
i 7-1

/**(A) > X>*( A n [ U E'J n Ei) + ^ ( A n [ U EjJ)7=1 (=1 7'eN

Since this holds for every k e N, we have

lf{A) > £ > * (AO [ U E]Cf] Ei) + ^ ( A n [ U ^ T )
7€N 1=1 jm

>^(u( An [U £ -T n ^)) + ' 4 *( An [u^T)
7'eN i=l 7'eN

=^( U([u^T ^))+^( [u^T)7€N (= 1 7'eP

An

n

An

32

CHAPTER 1 Measure Spaces

where the second inequality is by the countable subadditivity of \x*. Now by Lemma 1.21

U([U4 n ^) = U(^\[U^) = U^
Therefore we have

H*(A)>n*(An[\jEj])+v*(An[\jEj]C).
y'eN ;eN
e

Thus (J/eN Ej satisfies the Caratheodory condition. Then we have U ; € N Ej

^(A 1 *)-

We have just shown that if [i* is an outer measure on a set X, then the collection 9Jt(^*) of all ^""-measurable subsets of X is a a-algebra of subsets of X. For an arbitrary measurable space (X, 21), by Definition 1.29 we say that a subset of X is 2l-measurable if it is a member of 21. Since 97l(/i*) is the collection of all /^-measurable subsets of X by Definition 2.2, /u,*-measurability and £DT(/x*)-measurability of a subset of X are equivalent. Theorem 2.9. Let /x* be an outer measure on a set X. If we let ju, be the restriction of JX* to the a-algebra OT(/LI*)> then /J, is a measure on VOl{^.*) andfurthermore [X, 99?(/x*)> /x) is a complete measure space. Proof. Since /x* is countably subadditive on 9p(X), its restriction on 97t(/x*) is countably subadditive on 9Jt(/ii*). By Lemma 2.4, fi* is additive on £D?(/i,*). Therefore by Proposition 1.23, /i* is countably additive on the cr-algebra 97tO*) and is therefore a measure on 9Jt(/j,*). If we write fj, for the restriction of /x* to 9JI(^t*), then we have a measure space (X, 9Jt(jii*), fi). According to Lemma 2.6, if £ e Wl(fi*) a.ndfi(E) = 0, then every subset of E is a member of DJl(fx*). Thus (X, VJt(n*), fi) is a complete measure space. •

[II] Regular Outer Measures
Definition 2.10. An outer measure //,* on a set X is called a regular outer measure if every subset ofX is contained in a /i* -measurable set with equal outer measure, that is, for every E 6 %$(X), there exists F e 9tt(/x*) such that F D E and /**(F) = /x*(E). In a measure space (X, 21, fj,), if (En : n e N) is an increasing sequence in 2(, then lim n(En) = fi( lim En). This is a consequence of the countable additivity of JJ, on 2(. (See the Proof of Theorem 1.26.) If n* is an outer measure on a set X, then for an increasing sequence (E„ : n e N) in QJ(X) we may not have lim ii*(En) = ^*( lim £„). We show
n->oo
v

n->oo

'

next that if fi* is a regular outer measure then the equality holds. Theorem 2.11. Let fj,* be an outer measure on a set X andlet (En :neK)bean sequence of subsets of X. Then (1) lim fi*(E„) < /x*( lim E„). increasing

§2 Outer Measures If' jj.* is a regular outer measure then (2) lim /**(£„) = fi*( lim E„).

33

Proof. 1. Let (F„ : n e N) be an increasing sequence of subsets of X. By the monotonicity of /x*, (fM*(En) : n e N) is an increasing sequence of extended real numbers so that lim n*(En) exists. Also by the monotonicity of fx* we have ix*(En) < /x* ( | L e N ^«) f° r every n e N so that lim ix*(En) < it* ( U„=M En) = /x*( lim En). This proves (1). 2. Assume that /x* is a regular outer measure. Then for every n e N, there exists F„ € 9JIO*) such that F„ c F„ and A<*(F„) = /x*(Fn) = /x(F„), where /x is the restriction of ix* to£DT(u*). Now En c F„ forn e N implies that lim infF„ C liminfF n . Then
n-»oo n->oo

w*( lim F„) = u*(fiminf En) < /x*(liminf Fn)
x

n-*oo

'

v

n—too

'

v

n->oo

'

=it(liminf F„) < liminf/x(F„) = liminf /x*(F„) = liminf ii*(F„) = lim
n—>cc n-+oo
n—>OQ

fx*(En),

where the second equality is by the fact that lim inf Fn G 9Jt(/U,*), the second inequality is by (a) of Theorem 1.28, and the last equality is by the existence of lim /x*(F„). This and (1) imply (2). •

Definition 2.12. Let fx* be an outer measure on a set X. We say that \x* is a-finite on ^{X) if there exists a sequence (An : n 6 N) in 9p(X) such that UneN An = X and fx*(An) < oo for every n € N. Let us note that the sequence (A„ : n e N) in Definition 2.12 can be chosen to be a disjoint sequence. In fact if we let B\ = A\ and Bn = A„ \ U d At for n > 2, then (Bn : n e N) is a disjoint sequence in *P(X), UneN ^« = UneN ^" = ^> anc* At*(S„) < At*(^n) < oo for every n e N by the monotonicity of /x* on ^J(X). In a measure space (X, 21, /x), if F , F € 21, £ C F, and /x(F) = xi(F) < oo, then H(F\E) = fi(F) — fi(E) = 0 . This follows from the additivity of /x on 21. The assumption /u,(F) < oo is to ensure that the difference /x(F) — /x(F) is defined. If /x* is an outer measure on a set X, and if E G ^J(X), F € 9Jt(/x*), F C F , and xx*(F) = ix*(F) < oo, do we have /x*(F \ F) = 0? In the next theorem, we show that for an outer measure JX* which is regular and er-finite, this question is equivalent to the question as to whether /x* is additive on Vfi(X), or equivalently according to Theorem 2.5, the question of non-existence of non /x*-measurable sets in X. Theorem 2.13. Let /x* be a regular and a-finite outer measure on a set X. Then the following two conditions are equivalent:

34 (i) 97T(/i*) = «p(X).

CHAPTER 1 Measure Spaces

(ii) F e qj(X), F e £OT(AI*), F C F, / X * ( F ) = /x*(F) < oo => ^ * ( F \ E) = 0.

Proof. 1. To show that (i) implies (ii), assume 97t(/x*) = 9p(X). Suppose E and F satisfy the hypothesis of (ii). Then E and F are members of 9Jft>*). Since /x* is a measure on the a -algebra SDT(/**), it is additive on 9Jt(/x*). This implies that /x*(F) = / x * ( F \ £ ) + /i*(£). Subtracting /u.*(F) € R from both sides, we have p.*(F \ E) = p*(F) - n*(E) = 0. This shows that (i) implies (ii). 2. To show that (ii) implies (i), let us assume (ii). Let F be an arbitrary member of ^P(X). Since ix* is a-finite on ^P(X), there exists a sequence (An : n e N) in 9p(X) such that UneN Ai — x a n d M*(Ai) < ° ° for every n e N. Let En = E n A„ for n e N. Then (F„ : n € N) is a sequence in Vfi(X) with (JneN En = E and ix*(En) < ix*{An) < oo for every n e N by the monotonicity of p* on ^J(X). Now since p* is a regular outer measure, there exists F„ e 9Jt(/x*) such that F„ 3 F„ and p*(Fn) = //*(F„) for every « e N. By (ii), we have p*(Fn \ F„) = 0. This implies that Fn\E„ e Wt(p.*) by Lemma 2.6. Since \ (F„ \ En) and F„ and F„ \ F„ are members of the a-algebra VJt(/x*), E„ is a member of £DT(M*) for every « e N. Then F = UneN £ « 6 SDTCM*)- This shows that every member of Vp(X) is a member of 9Jt(/x*). Thus (ii) implies (i). • Definition 2.14. An outer measure /x* on a topological space X is called a Borel outer measure ifS&xC V0l(p*). Definition 2.15. An outer measure p* on a topological space X is called a Borel regular outer measure if it is a Borel outer measure on X and iffor every E e ^P(X) there exists F e 23 * such that F D F andfJ,*(F) = fi*(E). Remark 2.16. A Borel regular outer measure p* on a topological space X is a regular outer measure on X in the sense of Definition 2.10. This follows from the fact that 23 x C 9Jl(ix*).

[Ill] Metric Outer Measures
Given a metric space (X, d). Let the topology on X be the metric topology by the metric d. The distance between a point x e X and a set F g 9fi(X) is defined by d(x, F ) = infy€E d(;c, y). If x e F then d(x, F ) = 0 but the converse is false. If F is a closed set then d{x, F) = 0 if and only if x e F . The distance between two sets E,F e %$(X) is defined by d{E,F) = Mx€EtyeF d(x,y). If EOF ^ 0 then d(E, F) = 0. If F n F = 0, d(F, F ) may still be equal to 0 even if F and F are closed sets. If F is a closed set and F is a compact set, then d(E, F) = 0 if and only if F fl F 7^ 0. Definition 2.17. Given a metric space (X, d). (a) Two sets E\, F2 e ^P(X) are •wna"to£>e positively separated if d(E\, F2) > 0. (b) AM outer measure p* on X is called a metric outer measure if for every pair of positively separated sets EuE2e 23(X), we have (i*(E\ U F 2 ) = /x*(Ei) + (x*(E2).

§2 Outer Measures

35

Lemma 2.18. Let p* be a metric outer measure on a metric space (X,d). Let (A„ : n e N) be an increasing sequence in %S(X) and let A = lim An. IfA„ and A\An+\ are positively
n—>-oo

separated for every n e N, then p.* {A) = lim
n->oo

p*(A„).

Proof. Since A„ f, we have p*(An) f a s n -> oo by the monotonicity of the outer measure p*. Since An C A we have /x*(A„) < M*(A) for every n e N. Thus we have lim p*(An) < p*(A). It remains to show
n->oo

(1)

P*(A) < lim
n->oo

p*{A„).

Let Ao = 0 and define a sequence (Z?„ : n e N) in ^3(X) by setting £„ = An \ An-\ for n e N . Let us show (2)
(3)

y > * ( * 2 * - i ) < lim ii*{An),
y > * ( B 2 * ) < lim M * ( A „ ) .
*eN

To prove (2), let us consider ^""(UitJi #2*-i) f° r an arbitrary W 6 N. Let us write Uf=V B 2*-i = (UfcLi s 2 * - i ) U B2N+X. Now we have | j f = i B2k-\ C A 2A r-i and 52/v+i = A2w+i \ A2w C A \ A2/V. This implies /v

d{\jB2k-\,B2N+\)

>d(A2N-uA\A2N)

>0

by our assumption on the sequence (An : n e N). Then since p* is a metric outer measure, we have
N+l

M*( | J B2k-X) = P*([ ( J Bat-i] U B2w+i)
*=1
jt=i t=l N

:/i*(|jB2*-l)+Al*(B2JV+l)k=\

Repeating the argument to p*{ (JitLi #2*-i) and iterating the process N times, we obtain
N+\
£=1
+

N+l
i=l

/x*((Js 2 ,_ 1 )= ^ M *(B2*-i).
Since Uf = i' *2*-i C A 2 w+i, we have £ £ + ' /x*(B2*-i) < M * ( A 2 W + I ) . Thus
N+l

V/ti*(S2*-i)=
jfceN

lim V]p*(B 2 k -i)
*=1

< lim /A*(A 2 AH-I) = lim /x*(A„).

36

CHAPTER 1 Measure Spaces

This proves (2). We prove (3) likewise by starting with U ^ j 1 B2k for N e N. If at least one of the two series in (2) and (3) diverges, then lim /x*(A„) = oo and (1) holds. Suppose that both series converge. Then we have

(4)

J2 ^ B " ) = E V*(B2k-i) + J2 ^*(B2k) < oo.
neN
A

jteN

keN

Now A = Hir^ An - U „ £ N n = A„Q U (U„>„ 0+ i Bn) for an arbitrary n 0 € N. Thus by the countable subadditivity of the outer measure /x*, we have (5) By (4) we have ii*(A) < M*(Ano) + £ /i*(fl„). by letting

lirn^ £ „ > „ 0 + 1 M*(»n) = 0. Then fi*{A) < Jim^ (i*(A^)

no — oo in (5). This proves (1). • > Theorem 2.19. An outer measure /x* on a metric space (X, d) is a Borel outer measure, that is, V&x C SDT(/x*), if and only if \i* is a metric outer measure. Proof. 1. Suppose /x* is a metric outer measure. The Borel a -algebra 25 x of subsets of X is the smallest cr-algebra of subsets of X containing all open sets in X and is thus also the smallest cr-algebra of subsets of X containing all closed sets in X by Lemma 1.17. Therefore to show that *8 x C 9Jt(/x*) it suffices to show that every closed set in X is a member of 9Jl(/x*). Let £ be a closed set in X. To show that E e fM(fi*), according to Observation 2.3 it suffices to show that for every A e 9p(X) (1) n*(A) >ii*(AnE) + fi*(AnEc).

Let B = A n Ec. Let (Bn : n e N) be an increasing sequence of subsets of B defined by (2) Bn = [xeB:d{x,E)>\}.

Let us show that the sequence satisfies the conditions (3) (4) lim B„ = M Bn = B,
n-*oo ^s

d(Bn, B \ Bn+i) > - —1—>0. ' n n+1 Now since Bn C B for every n € N, we have | J n e N B„ C B. To prove the reverse inclusion, let x € B. Then x g E. Since £ is a closed set, we have d(x, E) > 0. Thus there exists n G N such that d(x, E) > £. Then by (2) we have x e B„. This shows that B c U « £ N S « and proves (3). To prove (4), let x G Bn and y e B \ Bn+i- Since j e B and y g B„+i, we have d(y, E) < -^ by (2). Then there exists z e E such that d(y, z) < ^ y - Since x e Bn and z € £ , we have rf(x, z) > £ by (2). The triangle inequality of the metric d(x, z) < d(x, y) + d(y, z) implies d(x, y) > d(x, z) - d(y, z) > ± - ^ . Since this holds for arbitrary x € S„ and y G S \ B„+i, (4) holds.

§2 Outer Measures Now (3) and (4) imply by Lemma 2.18 that (5) lim /i*(fiB) = n*(B) = ti*{A n Ec).
n->oo

37

Since A n E C E, we have d(A D E, B„) > d(E, B„) > £ by (2). Thus A D E and £„ are positively separated. Then the fact that (i* is a metric outer measure implies that we have /x*{A fl £ ) + jx*{Bn) = fi*((A n E) U B„) < /x*(A) by the fact that Bn C B C A. Letting n — oo and applying (5), we have (1). > 2. Conversely suppose it* is a Borel outer measure on X, that is, 2 5 * c £D?(ii*). To show that jit* is a metric outer measure, let £ i , £2 e ^J(X) be such that c := d(Ei, £2) > 0. For each * e E\, let G* = [y e X : d(x, y) < §} and let G = \Jx€Et Gx- Then G is an open set, Ex c G, and E2r\G = 0. Since G e 23 * C SOT(A6*), we have ^,*(£i U £ 2 ) = fi*((Ei U E2) r\G) + fi* ({Ei U £ 2 ) n G c ). Since £1 C G and £ 2 n G = 0, we have
(£1 U £ 2 ) n G = £1 and (£1 U £ 2 ) n Gc = £2. Thus AI*(£I U £ 2 ) = M * ( £ I ) + M*(£ 2 ).

This shows that fi* is a metric outer measure.

[IV] Construction of Outer Measures
Definition 2.20. A collection 23 of subsets of a set X is called a covering class if it satisfies the following conditions: 1° 2° there exists {V„ : n e N) C 23 such that | J „ e N V„ = X, 0 e 9£

£ o r £ 6 V${X), a sequence {Vn : n e N) C 23 such f/iaf UneN ^" - 1 E is called a covering sequence for E. Theorem 2.21. Let 23 be a covering class of subsets of a set X. Let y be an arbitrary set function on 93 such that 1° nonnegative extended real-valued: y{V) 6 [0, 00] for every V e 23, 2° y(0)=O. Le? us *fe//ne a set function /x* on £?(X) fry setting for every E € $P(X) M*(£) = inf { E „ e N X(V„) : (V„ : n e N) C 23, U „ e N Vn D £ j 77ien it* is an owfer measure on X. We call tt* the outer measure based on y. Proof. Let us show that our fi* satisfies conditions 1°, 2°, 3°, and 4° of Definition 2.1. Clearly /i*(£) € [0, 00] for every £ e 2^(X). Since 0 € 23, (0) is a one term covering sequence in 23 for 0 and thus ii*(0) < y (0) = 0. To show the monotonicity of /x* on 2*(X), let £ 1 , £2 € 23(X) and E\ C E2. Then every covering sequence in 23 for £2 is also a covering sequence for E\. This implies that the collection of extended nonnegative numbers on which we take the infimum to obtain ti*(£i) is greater than the collection on which we take infimum to obtain fi*(E2). Now if A and B are two collections of extended real numbers and AD B then inf A < inf B. Thus H*{E\) < ii*{E2). This proves the monotonicity of it*.

38

CHAPTER 1 Measure Spaces

To show the countable subadditivity of [i* on 93(X), let (E„ : n e N) C %i(X). Let e > 0. For each n € N, by the definition of fi*(E„) as an infimum there exists a sequence (V„,t : * e N) C 93 such that U t e N V»,* D £„ and £ * e N y ( K a ) ^ M*(£«) + Jr- Then L L N ( L L N ^n,*) =5 L L N £ « - T h i s implies

M*(U„6N^)<

£ [ £ y ( v B , * ) ] <£{/**(£«> + £} = £>*(£»)+*.
n€N *eN «€N
£

n€N
Tnis

By the arbitrariness of e > 0, we have ft* ( L L N « ) - X L N /"*(£«)• countable subadditivity of fi*. I

proves the

Remark 2.22. The nonnegative extended real-valued set function y on the covering class 93 on which the outer measure /A* is based in Theorem 2.21 satisfies no conditions other than that y (0) = 0. In particular, y is not required to be monotone on 93. Thus it is possible that we have V, W e 93 such that W C V but y (W) > y(V). The existence of such a set W in 93 has no effect on the definition of /x*. If such a set W is a member of a covering sequence (Vn : n e N) for a set £ € ^J(X), then by replacing W with V we have a covering sequence of E with a possibly smaller, but never greater, sum J2nen Y(Yn)- Thus in taking infimum of YlnzH Y (V„) on the collection of all covering sequences of E, a sequence with W a s a member has no effect. Remark 2.23. Further regarding the set functions y and /J,* in Theorem 2.21, we have: (a) For V e 93, (V) is a one term covering sequence in 93 for V and thus ii*(V) = inf j E „ e N YiYn) • (Vn : n e N) C 93, U „ e N ^ = ^ | < Y(.V). > However fJ.*(V) = y(V) may not hold. In fact if there exist W, V e 93 such that W c V and y(W0 > y(V), then since (V) is a one term covering sequence in 93 for W, we have fi*(W) < y(V) < y(W). (b) In general 93 C 27l(/x*) does not hold. See §20 for an example. In §20 we show that if 93 is an algebra of subsets of X and y is additive on 93, then 93 C 9Jl(/u,*), and if y is countably additive on 93, then y = JX* on 93. These results are extended in §21 to the case where 93 is a semialgebra (see Definition 21.1) of subsets of X. In §20 we show also that an outer measure based on a countably additive set function on an algebra is a regular outer measure. For an outer measure (i* based on an extended nonnegative valued function y with y (0) = 0 on a covering class 93 of a set X as in Theorem 2.21, the scope of the testing sets in the Caratheodory condition for ii*-measurability is reduced as we show in the next theorem. Theorem 2.24. Let 93 be a covering class for a set X and let y be a set function on 93 such that y(V) e [0, oo] for every V e 93 and y(0) = 0. Define an outer measure /x* on X by setting for every E € 9p(X) H*(E) = inf j E „ e N Y(Vn) • (Vn : n e N) C 93, L L N Vn 3 E\.

§2 Outer Measures

39

Then the following two conditions, the first of which is the Caratheodory condition for the (i*- measurability of E, are equivalent: (i) (ii) tx*(A) = ii*{A n E) + /x*(A n Ec) for every A € q3(X) 11*(V) = n*(V 0 E) + ii*(V n Ec) for every V e 9J.

Proof. Since (i) implies (ii), it remains to show that (ii) implies (i). Let us assume (ii). Let E e $P(X). For an arbitrary A e 9p(X), let (V„ : n € N) be an arbitrary sequence in 23 such that U n 6 N V„ D A. By (ii) we have ii*(Vn) = /x*(V„ n E) + /x*(V„ n E c ) for every n e N. Summing over w e N, we have

£>*(v„) = £>*(V„ n E) + £>*(v„n £C)
neN neN neN

> M*( IJ (v„ n E)) + / * (|J (yn n E C ) ) x
neN neN

= »*{{ U ") )+/**((
neN

v

nE

U y » ) n £C )
neN
c

> ii*(AnE) + n*(AnE ), where the first inequality is by the countable subadditivity of the outer measure /x* and the second inequality is by the monotonicity of <x*. According to (a) of Remark 2.23, M*(V„) < y(V„). T h u s £ „ e N y ( V „ ) > /x*(AD£) + xi*(An£ c ). This shows that /x* (An E) + ft* (A n £ c ) is a lower bound for the collection of nonnegative extended real numbers {E„ e N Y(Vn) : (V„ : n e N) c 2J, U„eN V„ D A). Since /x*(A) is the infimum, that is, the greatest lower bound, of this collection, we have /x*(A) > ix*(A D £ ) + fi*(A H E c ). The reverse inequality holds by the monotonicity of /x*. Thus (i) holds. •

Problems
Prob. 2.1. For an arbitrary set X let us define a set function /x* on Vf$(X) by ., s number of elements of £ if £ is a finite set, /x*(£) = \ I oo if E is an infinite set. (a) Show that fi* is an outer measure on X. (b) Show that /A* is additive on <$(X), that is, /x*(£i U E 2 ) = M*(£i) + M*(£2) for any Ei, £2 e *P(X) such that Ei n E 2 = 0. (c) Show that 11* is a measure on the cr-algebra ^p(X). (This measure is called the counting measure.) (d) Show that 9Jt(/x*) = 95(X), that is, every E e <P(X) is /x*-measurable. Prob. 2.2. Let X be an infinite set and let fi be the counting measure on the CT-algebra 21 of all subsets of X. Show that there exists a decreasing sequence (E„ : n e N) in 21 such that En I 0, that is, lim E„ = 0, with lim /x(£„) 7^ 0.
n—>-oo n—>-oo

Prob. 2.3. Let /x* be an outer measure on a set X. Show that if fi* is additive on ^P(X), then it is countably additive on VQ(X).

40

CHAPTER 1 Measure Spaces

Prob. 2.4. Let [M* be an outer measure on a set X. Show that a non ^-measurable subset of X exists if and only if fj,* is not countably additive on 9p(X).

§3 Lebesgue Measure on R

41

§3 Lebesgue Measure on R
[I] Lebesgue Outer Measure on R
Definition 3.1. Let 30 be the collection of@ andall open intervals in R, 30C be the collection of0 and all intervals of the type (a, b] in R, 3C0 be the collection of0 and all intervals of the type [a, b) in R, and 3C be the collection of0 and all closed intervals in R, with the understanding that (a, oo] = (a, oo)and[—oo, b) = (—oo,b). Let3 = 30U30c[J3coU3c, that is, the collection of 0 and all intervals in R. For an interval I in R with endpoints a,b € R, a < b,we define 1(1) — b — a. For an infinite interval I in R we define 1(1) = oo. We set £(0) = 0 . For a countable disjoint collection {In : n e N} in 3, we define ^(UneN 7«) = With the nonnegative extended real-valued set function I on the covering class 30 let us define a set function on ?P(R) by setting for every E e ^P(R) p*L(E) = inf j £ n e N ^ ( / n ) : (/„ : n € N) C 30, U „ e N / » = > £ ) • By Theorem 2.21, p*L is an outer measure on R. We call p.* the Lebesgue outer measure on R. We write VOlL for the a-algebra 9Jt(/n*) of ^-measurable sets E e Vp(R) and call it the Lebesgue a-algebra of subsets ofR. Members of the a-algebra 9JlL are called DJtL-measurable or Lebesgue measurable sets. We call (R, 97tL) the Lebesgue measurable space. We write pL for the restriction of p.* to 9JlL and call it the Lebesgue measure on R. We call (R, 97T L , p-L) the Lebesgue measure space on R. For some E e ^3(R), we have J2nzN ^(7«)
7 =

ofR,

° ° f° r a n v (In '• n € N) c 30, such that

L L N « = £ so that we have inf j £ n e N £ ( / „ ) : ( / « : » e N) c 30, L L N 7« ^ E\ = °°> Observation 3.2. Each of the four collections 30, 3oc, 3co, 3C, is a covering class of R in the sense of Definition 2.20, and £ is an extended nonnegative valued set function with £(0) = 0 on each of these four collections. Thus if we define four set functions m*0, m*oc, m*co, and m* on *P(R) by setting for every E e $J(R) IM*0(E) = inf { £ „ g N t(In) : ( / „ : « € N) C 30, U „ e N h D E\ , p,*oc(E) = inf { £ „ e N Wn) : (/„ : fi € N) C 30C, \J „€N In D E j , p*C0(E) = inf { E „ e N IVn) : ( / „ : « € N) C 3C0, U „ e N /„ D E) , = inf { E „ e N *('») : (In • n € N) c 3C, \J «€N InO E\ , then each of these set functions is an outer measure on R by Theorem 2.21. Among these four, p.* is the Lebesgue outer measure p*L. Actually for every E e Vp(R) we have the equalities p*0(E) = p*0C(E) = p*co(E) = p*{E). Proof. Let us show that p*(E) = p*(E) for every E e ^J(R). The same kind of argument can be used to show that p*0(E) = p*c(E) and p*0(E) = n*co(E). p*(E)

42

CHAPTER 1 Measure Spaces

Let £ > 0 be arbitrarily given. Let (7„ : n 6 N) be a sequence in 30 such that L L N 7« ^ E- Let 7« = (a«- bn) and /„ = [a„ - e/2n+1, fc„ + e/2"+1] for « e N. Then (Jn:ne N) is a sequence in 3C, U „ e N •/„ D E, and £ „ e N ^(-A>) = E« e N ^(7«) + e - The last equality implies by the definition of ^*(E) as an infimum that n-*(E) < J2nefi ^(7«) + £ Since this holds for an arbitrary sequence (7„ : n e N) in 30 such that (J«eN 7« ^ £> w e have JU.*(£) < A*,*(7i) + £. Then by the arbitrariness of £ > 0, we have /J,*(E) < £i*(£)Conversely starting with an arbitrary sequence (7„ : n e N) in 3C given by 7„ = [an, bn] for n € N such that IJneN 7« ^ ^> anc * defining a sequence (Jn : n e N) in 3 C by setting Jn = (an — s/2n+l, bn + e/2"+l) for n e N, we show by the same argument as above that lx*0{E) < /x*(7±). Thus M*(7i) = n*(E). I Lemma 3.3. (a) For every x e E we have {x} e VJlL and yu,* ({A:}) = 0. (b) Every countable subset o/R is a null set in (R, 93tL, £iL). Proof. 1. Let x € R. For every £ > 0, we have x € (x — £, x + s) e 30 and thus the sequence (7n : n e N) = ((x — e, JC + e), 0, 0 , . . . ) in 3 0 is a covering sequence for {x}. This implies that [i*L([x}) < J2ne^£(In) = 2s. By the arbitrariness of £ > 0, we have li*L({x}) = 0. By Lemma 2.6, this implies {x} e OT(/x*) = 0JCL. 2. A singleton in R is a null set in (R, 9JtL, /xL) by (a). A countable subset of R is then a countable union of null sets and is therefore a null set by Observation 1.33. • Lemma 3.4. /x* = £ on 3, that is, M*(7) = 1(1) for every interval 1 in R. Proof. 1. Consider the case where 7 is a finite closed interval given by 7 = [a, b] where a, b e R, a < b. For an arbitrary £ > 0, we have I = [a, b] c (a — £, b + e) e 30. Thus ((a — £, b + e), 0, 0 , . . . ) is a covering sequence in 3 0 for 7. This implies that we have IJ-IU) < £{(a -e,b + s))+ 1(0) + 1(0) + ••• = 1(1) + 2e. Since this holds for every £ > 0, we have (1) ^ ( 7 ) <£(/).

Next let we show that for every covering sequence (I„ : n e N) in 30 for 7, we have

(2)

£«(/»)>*(/)•
«€N

Now if a member 7„ in a covering sequence is an infinite interval, then £(In) = oo so that XmsN ^(7«) — ° ° — ^( 7 ) a °d (2) holds. Thus consider the case where every member in the covering sequence is a finite interval. Let us drop any member in the covering sequence that is disjoint from 7 and drop also any member that is contained in another member of the sequence. The resulting sequence (/„ : n € N) is a covering sequence for 7 with E n c N ^ ^ ) - 5Z«eN^(7")- Since(7„ : n e N) is an open cover of the compact set 7, it has a finite subcover. Renumber the members of the sequence if necessary so that 7 c U*=i ^ where Jk = (ak, bk) for k = 1,... , N and a\ < ai < • • • < a^. Now if a, = aj for some i ^ j , then either J, C Jj or Jj C J, which contradicts the fact that none in the sequence (Jk • k = 1 , . . . , N) is contained in another in the sequence. Thus we have

§3 Lebesgue Measure on R

43

a\ < ct2 < • • • < aN- Let us show that 02 < b\. Assume the contrary, that is, b\ < 02Since J\ and J2 are not disjoint from 7, there exist x\ e (a\,b\)n I and ^2 € (a2, bi) n I. Then a\ < x\ < b\ < a.2 < X2 < ft2- Since x\,x2 € / and 7 is an interval we have [JCI, JC2] C 7. Since b\ < 02, there is at least one point in [xi, X2] that is not covered by (J\,... , JN)- Indeed if b\ = 02 then this point is not covered by (J* : k = 1 , . . . , N) and if b\ < 02 then (b\, 02) is not covered by ( / * : & = 1 , . . . , N). This is a contradiction. Thus we have a2 <b\. Similarly we show that a\ < a.2 < b\, a2 < ai < b2,
UN-l < ON < aN < bti.
N o w

bN-\,

Unefi Wn)
N

> Efc=l ^ ^

and

^£(Jk)
k=i

= {b\ - a\) + (b2 - a2) H > (a2 - fli) + («3 - «2) H = bN - a\ >b-a = 1(1).

h (ft/v-1 - a/v-i) + (ft/v - aN) h (aw - a/v-i) + (6/v - a/v)

Thus E«eN Wn) > ^(/)- This proves (2). According to (2), £(/) is a lower bound for {E„eN ^(7«) : (7« : n e N ) c 3 0 , L U N 7« ^ 7 } - S i n c e M*(7) is the infimum of this collection of nonnegative extended real numbers, we have A . (7) > 1(1). Therefore ** fM*L(I)=l(I). 2. If 7 is a finite open interval given by / = (a, b), then by the monotonicity and finite subadditivity of £i* and by (a) of Lemma 3.3, we have Ai* ((a, b)) < M* ([a, b]) < /z* ({a}) + M» ((a, ft)) + ^* ({ft}) = ^ ((a, b)). Thus /** ((a, ft)) =/x*([a, ft]) =£([a,ft]) = £((a, ft)), where the second equality is by our result in 1. 3. If 7 is a finite interval of the type 7 = (a, ft], then since (a, ft] = (a, ft) U {ft} and li*L ({ft}) = 0 by (a) of Lemma 3.3, we have fi*L ((a, ft]) = /z* ((a, ft)) by Lemma 2.7. Thus /i*L ((a, ft]) = £((a, ft)) = £((<z, ft]). Similarly for a finite interval / of the type I = [a, ft). 4. Let I be an infinite interval. Consider for instance 1 = (a, 00) where a e R. For any n e N such that w > a, we have (a, 00) D (a, «) and /A* ((a, 00)) > /x* ((a, «)) = n - a, by the monotonicity of /z* and by our result in 2. Since this holds for every n > a, we have /z* ((a, 00)) = 00 = l((a, 00)). Similar arguments apply to infinite intervals of other types. • Proposition 3.5. The Caratheodory condition for the 11*-measurability for E e $P(R) (i) /** (A) = //* (A n E) + n*L (A n Ec) for every A e «P(R)

44 is equivalent to the condition (ii) ti*L(I) = ti*L(inE) + fx*L(I n Ec) for every I e 30.

CHAPTER 1 Measure Spaces

Proof. Since /x* is an outer measure based on the set function I on the covering class 30 of subsets of R, the equivalence of (i) and (ii) is a particular case of Theorem 2.24. • Lemma 3.6. 3 C OTL, that is, every interval in R is a DJtL-measurable set. Proof. 1. Let us show first that every open interval in R is 2D?L-measurable. By Definition 3.1, 9Jt t -measurability and SDTL-measurability of a subset E of R are synonymous. Thus according to Proposition 3.5, a subset E of R is 97tt-measurable if and only if it satisfies the condition (1) M*(/) = M * ( / n £ ) + Ai*(/riE c ) for e v e r y / e : J 0 .

Consider an infinite open interval (a, oo) in R where a G R. Then for an arbitrary / G 30 we have / = / f l i = / n {(a, oo) U (a, oo) c } = {/ n (a, oo)} U {/ n (a, oo) c }. Now I n (a, oo) is either an interval or 0 and similarly {/ n (a, oo) c } is either an interval or 0. Since / n (a, oo) and {/ n (a, oo) e } are disjoint and their union is equal to / , we have (2) 1(1) = i(l n (a, oo)) + 1(1 n (a, oo) c ).

According to Lemma 3.4, we have 1(1) = fiL(I), l(l n (a, oo)) = fiL(l n (a, oo)), and l(l n (a, oo) c ) = fiL(l n (a, oo) c ). Substituting these into (2), we have (3) ixL(I) = fiL(in(a, oo)) + fiL(ir\(a,oo)c) forevery / e 30.

This verifies condition (1) for (a, oo) and shows that (a, oo) is DJlL-measurable. By similar argument, we show that an infinite open interval (—oo, b), where b € R, is VJlL-measurable. If a, b e R and a < b, then R = (—oo, b) U (a, oo). Then since ( - o o , b) e 9Jl L ,(a, oo) e QJt^andOT^ isacr-algebraof subsets of R, we have R s 9JtL. This shows that every infinite open interval in R is 9JlL -measurable. An arbitrary finite open interval is given by (a, b) where a,b e R and a < b. Then (a, b) = (—oo, b) n (a, oo). Since (—oo, b) € 97t t , (a, oo) e SPt^, and 9JtL is a cr-algebra of subsets of R, we have (a, £>) e 9Jl t . Thus we have shown that every open interval in R is VOlL-measurable. 2. Let J be an interval in R which is not an open interval. Then J = {a} U / , J = I*J{b}, or J = (a) U / U {6}, where / is an open interval, a, b e R, a < ft, and {/, (a}, {ft}} is a disjoint collection. Now I € £DTL by our result above and [a], {ft) 6 VJtL by Lemma 3.3. Then since fXftL is a a-algebra of subsets of R, we have J € 97tL. • A set E in a topological space X is said to be dense in X if for every non-empty open set O in X we have E n O 7^ 0. In particular if £ is a dense subset of R then every open interval (a, /8) in R contains infinitely many points of E. Indeed the denseness of E in R

§3 Lebesgue Measure on R

45

implies that (a, fi) contains a point x\ € E. Then the subinterval (a, x\) of (a, /J) contains a point X2 6 E and the subinterval (a, X2) of (a, x\) contains a point X3 e £ and so on. Thus (a, /3) contains an infinite sequence (x„ : n e N) of distinct points in E. Observation 3.7. If £ is a null set in (R, SPtL, [iL), then £ e is a dense subset of R. Proof. For every open interval/ in R, we have \iL{I) > 0. Thus if £ € 9JlL and/J.L(E) = 0, then by the monotonicity of nL on 9JtL, E cannot contain any open interval as a subset. This implies that Ec O / ^ 0 for every open interval I and therefore Ec is dense in R. • Examples, (a) If Q is the set of all rational numbers and P is the set of all irrational numbers, then Q is anullset in (R, 2Jl i? fiL) and P e DJlL with nL(P) = 00. (b) For every interval / in R, we have I n P € SDTL with fiL(I n P) = £(/). Proof. 1. The set Q of all rational numbers is a countable set and thus a null set in (R, WtL, /nL) by (b) of Lemma 3.3. The set P of all irrational numbers, being the complement of Q in R, is a member of %JtL. By the additivity of \iL on 9JlL, we have

liL(P) + /x t (0 = MR)fiL(P) = 00.

Since

MC) = °

and

M

R

) = £ ( R ) = °°> w e

have

2. Let / be an interval in R. By Lemma 3.6, / is a member of 93lL. This implies that / fl P and / n Q are members of %SiL. Since P and Q are disjoint and their union is R, I D P and / n Q are disjoint and their union is / . By the additivity of /LtL on 9JlL, we have HL(I n P) + fiL(I n 2 ) = M L (/) = •£(/) by Lemma 3.4. Since (iL(Q) = 0, we have Mi (J n 0 = 0 by t n e monotonicity of ^ on SDT^. Thus fiL (I D P) = 1(1). I

[II] Some Properties of the Lebesgue Measure Space
We show that the Lebesgue measure (R, WlL, (iL) has the following properties: (i) (ii) (iii) (iv) (v) (vi) (vii) (viii) (ix) (R, yjlL, /z.t) is a complete measure space. (R, 93lL, /xL) is a <r-finite (but not finite) measure space. SRcOTr ML ( 0 > 0 for every nonempty open set O in R. (R, 9JtL, p,L) has no atoms. (R, 9JtL, /z^) is translation invariant. (R, 27tL , fj,L) is positively homogeneous. Non 9J?L-measurable sets exist. The Lebesgue outer measure /u,* is a Borel regular outer measure.

Property (i) is immediate. Indeed since the measure space (R, 9JtL, /zL) is constructed by means of an outer measure /u,* it is a complete measure space according to Theorem 2.9. We prove the rest of the properties below. Theorem 3.8. The Lebesgue measure space (R, 9JtL, fiL) is a a-finite, but not finite, measure space.

46

CHAPTER 1 Measure Spaces

Proof. Note that fiL(R) = £(R) = oo by Lemma 3.4. This shows that (R, £DTL, p.L) is not a finite measure space. Let us show that (R, 9Jtt, /xL) is a cr-finite measure space. Let En = (-n,n) for n e N. Then En e 97tt for n e N and | J „ € N En = R with [iL(En) = £(£•«) = 2n < oo. Thus (R, 97^, AI L ) is a cr-finite measure space. • Theorem 3.9. *8R C 9JlL, that is, every Borel set in R is a Lebesgue measurable set. Proof. Every interval in R is a member of the cr-algebra 9JtL by Lemma 3.6. Since every open set in R is a countable union of open intervals, it is a member of SDTL. Thus if we let D be the collection of all open sets in R, then D C 97t t . From this, it follows that <x(Q) C <r(SDTL) = VJtL. Since «8R = a(D), we have <8 R C VXL. I Observation 3.10. For every nonempty open set O in R, we have fiL(0) > 0.

Proof. Every nonempty open set O in R contains an open interval / . Then we have

nL(0)>iiLV)

= iV)>o.

Proposition 3.11. Regarding atoms in (R, 97^) and atoms in (R, 97tL, /J.L), we have: (a) In the Lebesgue measurable space (R, 97t t ), the only atoms are the singletons. (b) The Lebesgue measure space (R, DJlL, p-L) has no atoms. Indeed if'E e 97tL and fiL (E) > 0, thenfor every e > 0 there exists EQ C E, EQ e DJlL, with \iL (EQ) G (0, e]. Proof. 1. For every x e R, we have {x} e DJtL by (a) of Lemma 3.3. The only subsets of {JC} are 0 and {x}. Thus {x} is an atom. Now let E € 97tL and suppose E contains at least two points. Let x e E. Then [x] e 97tL. But {x} / 0 and {x} =£ E. Thus E is not an atom of the measurable space ( R , 9 7 t J . This proves (a). 2. For e > 0 arbitrarily given, let /„ = ((n — l)e, «e] for n G Z. Then (/„ : n e Z) is a disjoint sequence in 30C with [J«eZ ^> = ^- Let E„ = EC\I„ for« e Z. Then (£„ : n s Z) is a disjoint sequence in 97tL and | J n e Z En = £ . By the countable additivity of ^ L on27TLwe have J2nez ^i.( £ n) = PL (U« e z £ « ) = Mt^) > °- T n u s t n e r e exists some no e Z such that tiL(Em) > 0. Since Eno = E n /„„ C /„„, we have /J,L(Eno) < /x t (/„ 0 ) = e by the monotonicity of / ^ . Thus we have fiL(Eno) e (0, e]. This proves (b). I Definition 3.12. Lef X be a linear space over the field ofscalars R. (a) Fcr £ C X and XQ e X, we write E + xo = {x + xo : x € E} = {y £ X : y = x + xofor some x e E] and call the set the xa-translate of E. (b) For a e R, we write aE = [ax : x € E] = [y € X : y = ax for some x € E\ and call it the dilation of E by factor a. (c) For a collection <£ ofsubsets ofX,x e X.anda anda<& = {aE : E e «£}. e R we write <£+x = {E+x : E e (£}

§3 Lebesgue Measure on K Observation 3.13. For translates of sets the following equalities hold: (E + x\) + X2 = E + (xi + xi), (E+x)c EiC = Ec +x, CE2 + x.

47

E2=$ Ex+x

For translates of collections of sets we have

{C\aeA Ea)+X For dilations of sets we have

= f]asA(Ea

+ X).

P(aE) = (aP)E, (aEf = aEc.

Definition 3.14. Given a measure space (X, 21, p) where X is a linear space. (a) We say that a-algebra 21 is translation invariant if for every E e 21 andx e X we have E + x e 2(. (b) We say that the measure p is translation invariant if% is translation invariant and if for every E e 21 andx & X we have p(E + x) = p(E). (c) We call (X, 21, p.) a translation invariant measure space if both 21 and p are translation invariant. Example. As an example of a er-algebra of subsets of R that is not translation invariant, let In = (n — 1, n] for n e Z and let 21 be the collection of 0 and all countable unions of members of the collection {/„ : n € Z}. It is easily verified that 21 is a a -algebra of subsets of R. 21 is not translation invariant since In e 21 but /„ + \ = (n — j , n + 5] is not a member of 2t. Lemma 3.15. (Translation Invariance of the Lebesgue Outer Measure) For every E € <#{W)andx e R, we have p*L(E + x) = / * * ( £ ) . Proof. Note that for every I e 30 and x e R, we have / + x e 30 and 1(1 + x) = 1(1). Let E e ^P(R). Take an arbitrary sequence (/„ : n e N) in 3 0 such that IJ«eN ^« ^ E. For an arbitrary x e R, (/„ + x : n € N) is a sequence in 3 0 with l(I„ + x) = l(I„) and ( J n € N ( / n + * ) = ( L L N ' « ) + * ^ £ + * • T h u s E ^ N ^ W = E „ e N ^ ( / « + ^ ) > H*L(E+x) by the fact that (/„ + x : n e N) is a covering sequence for £ + x and by the definition of p*L (E + x) as an infimum. Since this holds for an arbitrary covering sequence (/„ : n e N) for E and since p*L (E) is the infimum of 5ZneN ^( W . we have p*L (E) > P*L(E + x) for any E eqj(R)andx e l . Applying this result to E + x and its translate (E + x) — x = £ , w e have the reverse inequality p.*(E + x) > p.*(E.). Therefore p,*(E + x) = P*L(E). I

48

CHAPTER 1 Measure Spaces

Theorem 3.16. (Translation Invariance of the Lebesgue Measure Space) The Lebesgue measure space (R, VJtL, /xL) is translation invariant, that is, for every E e DJlL and x e R we have E +x e DJZL and nL(E + x) = nL{E). LetDJtL + x := {E + x : E e QTtJ. Then 9JlL + x = 9JlL for every x e R. Proof. Let E e £PtL and x e R. To show that E + x e DJtL, we show that for every A e $P(R), we have /x*(A n (E + x)) + /x*(A n ( £ + x) c ) = /x* (A). By Lemma 3.15 ML (A n (E + x)) + /i* (A n ( £ + x)c) = fi*L ({A n (E + x)} - x) + n*L ({A n (E + x)c) - x) = ix*L((A -x)DE) + ix*L((A -x) + Ec)

= M * ( A - x ) = /x*(A), where the second equality is by Observation 3.13, the third equality is by the Caratheodory condition satisfied by our E e 9JT£ with A — x as a testing set, and the last equality is by Lemma 3.15. Thus E + x e VKL. T h e n ^ L ( £ + x) = /x*(E + x) = /**(£) = nL(E), where the second equality is by Lemma 3.15. For every E e £DtL and x e R we have E + x e VJlL as we showed above. Thus WtL + x C mL. Now WtL = TtL + 0 = VJtL + ( - x ) + x for any x e R. Since - x e R we have £DTL + ( - x ) C OT£. Then 9JtL + (-x) + x C 9JTL + x, that is, SJJt^ C £D?£ + x. Therefore we have SD?L + x = OTL. • Lemma 3.17. For E e ^J(R) and a e R, let aE = [y e R : y = ax for some x e E). Then /x*(a£) = |a|/**(E). Proof. Consider the collection 30 of 0 and all open intervals in R. Let S = (In : n e N) be a sequence in 3 0 and let S be the collection of all sequences in 30. For a e R, a ^ 0, let us define a mapping Ma of S into S by setting Ma(S) = (a/„ : « e N) for S = (/„ : n e N). Clearly M a is a one-to-one mapping of S onto S with inverse mapping given by M\/a- For an arbitrary E e ^J(R), let S £ be the subcollection of § consisting of sequences S = (/„ : n e N) such that [ J n e N /„ D £ . Note that [J„ e N 4 D E if and only if U „ £ N a / « ^ a £ Thus Ma($E) = §aE and in fact Ma is a one-to-one mapping of S £ onto SaE. Let A. be a nonnegative extended real-valued set function on § defined by X(S) = 5ZneN ^ « ) f ° r S = ( / „ : « e N). Then (1) X(Ma(S)) = £ * ( « / „ ) = |a| £ £ ( / „ ) =
neN nsN

\a\k(S).

We have /u*(E) = inf5 e s X(S) and fi*(a£) = infreS a£ ^CH- BY the one-to-one correspondence between S £ and S a £ by Ma and by (1), we have
TeSaE

inf X(T)=

Se$E

inf X(Ma(S))=

SeS £

inf |a|A.(5) =

\a\fi*(E).

This shows that fi*(aE) = |a|/x*(£) when a ^ 0. When a = 0, we have a E = (0) with H*L({0}) = 0 so that /x*(a£) = |a|/x*(£) holds trivially. I

§3 Lebesgue Measure on R

49

Theorem 3.18. (Positive Homogeneity of the Lebesgue Measure Space) For every set E € VJtL and a e R, we have aE € DJlL and nL{aE) = \a\nL(E). For every a e R, let aWlL := {aE : E e 9JlL). Then aDJlL = %flLfor every a e l such that a ^ 0. Proof. The Theorem is trivially true when a = 0. In what follows we assume a ^ 0. Let E eSDt^.ToshowthataE € WiL, we show that fi*L(A) = [i*L(Ar\aE) + At*(An (aE)c) for every A € ^P(R). With ^A as a testing set for E e 9JtL, we have (i)
M

*(iA)=^(iAnz?) + ^ ( i A n ^ ) .

By Lemma 3.17, we have

K (£A) = ^ * . ( A ) , K (hA nE) = K (iA n i<*E) = v\i**M n «*>•
^ tiA
n £C

) = ^ (hA n ±a£ c ) = ^ * (A 0 (a£) c ).

Substituting these equalities in (1) and multiplying the resulting equation by \a\, we have A** (A) = /n*L(A n aE) + /j.*L(An (aE)c). This shows that aE € OTL. Then we have liL(aE) = ix*(aE) = \a\fx*\E) = \a\piL{E) by Lemma 3.17. For every E e 97tL and a e R we have aE e VOlL as we showed above. Thus aWtL C 9JtL. Let a € R and a ^ 0. Then £DtL = 19JtL = a^VJtL c aSDTL. Thus we haveaOJ^ = OJt^. I

[III] Existence of Non Lebesgue Measurable Sets
Consider the interval [0,1) in R. Define addition modulo 1 of x, y e [0,1) by x +y if^+j><l,

x + y — 1 if JC + y > 1.
o

The operation + takes a pair of numbers in [0, 1) to a number in [0, 1). It is commutative,
o o o o o o

that is, x + y = y + x, and associative, that is, (x + y) + z — x + (y + z). For E c [0,1) and y e [0,1), let E + y = [z e [0,1) : z = x + y for some x e E), and call this set the y-translate of E modulo 1. Lemma3.19. Let E C [0, 1). IfE e 9JlL, thenfor every y e [0, 1), wehave E + y e 9JtL
O

and nL(E + y) — fiL(E). Proof. Let E e 3RL and y e [0, 1). Then [0, 1 - y) and [1 - y, 1) are two disjoint subsets of [0, 1) whose union is [0, 1). Define two disjoint subsets of E by E\ = E n [0, 1 — y) and E2 = Er\[l-y,l). Then E\ U E2 = E . Also Ei, E2 e VJlL. Thus (1) fiL(E) = nL(Ey) + /J,L(E2).

50
o

CHAPTER 1 Measure Spaces

Now E\ + y = Ei + y e 97tt by the translation invariance of (R, SDtt, /J,L) and we have (2)
o

HL(El+y)

= tiL(Ei+y)

=

nL(Ei).

On the other hand, £ 2 + y = E2+y-l and we have (3) Now (4)
lJLL{E2

e VKL by the translation invariance of (R, 9JtL, nL) = p,L(E2).

+ y) = liL(E2 + y-l)

E + y = (Eil)E2)+y

= (Ei + y)U (E2 + y).
0 0 O O

The disjointness of E\ and E2 implies that of E\ + y and E2 + y. Since E\ + y and E2 + y
o

are members of VJtL as we showed above, we have E + y e 97tL. Then by (4), (2), (3), and (1), we have nL(E + y) = ixL{Ei + y)+liL(E2 + y) = ixL(Ex) + fiL{E2) = iiL{E). I

Theorem 3.20. The interval [0, 1) in R contains a non Lebesgue measurable set. Proof. For*, y e [0, 1), let us say that* and y are equivalent and write x ~ y if x — y is a rational number. Then x ~ x x ~ y =$• y ~ x, x ~ y,y ~ z=> x ~ zThus ~ is an equivalence relation among elements of [0,1). Let {Ea} be the collection of the equivalence classes with respect to this equivalence relation. [Ea] is a disjoint collection and ( J a Ea = [0, 1). Any two elements of [0, 1) which are in one equivalence class differ by a rational number and any two elements of [0,1) which are not in the same equivalence class differ by an irrational number. Let P be a subset of [0, 1) constructed by picking an element from each Ea. (According to the Axiom of Choice, given a nonempty collection of nonempty sets it is possible to select an element from each set.) Let \rn : n e Z + ) be an enumeration of the rational numbers in [0, 1) with r0 = 0. Let Pn = P + rn for«eZ+.

Note that P0 = P + ro = P + 0 = P. Let us show first that [Pn : n e Z+} is a disjoint collection, that is, (1)
o

m, n e Z+, m ^ n => Pm n Pn = 0.
o

Assume the contrary. Then Pm D Pn ^= 0 and there exists x e Pm f) P„. Since x € Pm we have x = pm + rm for some pm e P. Similarly since x € Pn we have x = pn + rn O O O for some p„ e P. Then pm + rm = pn + r„. Since pm + rm is either pm + rm or Pm + rm - 1 and pn + rn is either pn + rn or p„ + rn - 1, the difference pm - pn is a
o

§3 Lebesgue Measure on R

51

rational number. Then pm, pn e Ea for some a s A. But P contains only one element of
o o o o

Ea. Thus pm = pn- Then the equality pm + rm = pn + r„, which we established above, is reduced to pm + rm = pm + r„ . This implies rm = r„ and then m = n, a contradiction. This proves (1). Let us show next that

(2)

U Pn = [0, 1).

Since Pn C [0,1) for n e Z+ we have UneZ ^" c f, !)• ^ ° P r o v e m e reverse inclusion we show that if x e [0, 1) then x € P„ for some n € Z+. Now if x € [0, 1), then x e Ea for some a. Since P contains one element from each equivalent class, there exists p € P such that p e Ea. Thus x and p differ by a rational number. Since both x and p are in [0,1), their difference is a rational number in [0, 1), that is, their difference is rn for some n € Z+. Now if x > p, then x = p + rn so that x € P„. On the other hand, if x < p, then p = x + rn so that x = p — rn. Let rm = 1 — r„, a rational number in [0,1). Then
o

x = p + rm — I = p + rm so that x e P m . Thus in any case x is in P„ for some n e Z + . This shows that [0, 1) C U«sZ Pn a n c ' P r o v e s (2). Finally to show that P g 9Jl L , assume the contrary, that is, P e SDT^. Then by Lemma 3.19, Pn = P + r„ e VJlL and ^L(Pn) = P-L{P). BY ( 2 ) a n d (!) we have

(3)

1 = nL{[0, 1)) = ^ ( [J Pn) = J2 VL(Pn) = J2 M^)neZ + neZ + neZ
+

SinceP e 97tL, AtL(P) is defined and ^ L ( P ) > 0. I f ^ J P ) = 0, then £ „ e Z + M p ) = ° so that (3) reduces to 1 = 0, a contradiction. If \iL(P) > 0, then X^ez A4/. (P) = cc so that (3) reduces to 1 = oo, a contradiction. This shows that P is not in 97tL. I

[IV] Regularity of Lebesgue Outer Measure
Lemma 3.21. (Borel Regularity of the Lebesgue Outer Measure) The Lebesgue outer measure p.* on R has the following properties: (a) For every E e ?P(R) and e > 0, there exists an open set O in R such that O D E and M* ( £ ) < / x * ( 0 ) < /i* (£) + £. (Wore f/iar f/ie ifn'cr inequalities /x*L(E) < P*L(0) andp*(0) < (A* (E) + e may not hold.)

(b) For every E e $P(R), there exists a Gg-set G in R such that G D E and M*(G) = ^ * ( £ ) . (c) The Lebesgue outer measure fi* is a Borel regular outer measure. Proof. 1. Let E € qj(R) and let e > 0. If //*(£) = oo then with the open set R D E we have M*(£) < M* W = co = oo + £ = /**(£) + e. Thus (a) is trivially true in this case. Now consider the case p*L(E) < oo. By the definition of p,*(E) as an infimum there

52

CHAPTER 1 Measure Spaces

exists a sequence (/„ : n e N) in 30 such that U „ € N In 3 E and fi*L(E) < £ „ e N £(/„) < /x* (£) + £. If we let O = U n e N / „ , t h e n O is an open set, O D E, and by the monotonicity and the countable subadditivity of it*, we have

H*L(.E) < M*(0) = ,x*( |J /„) < £>*,(/,,) = X>(/„) < /<(£) + e.
neN n€N neN

(Note that for E e $P(R) such that ii* (£) = oo, it is impossible to have an open set O in K such that O D E and the strict inequality /x* (E) < /x* ( 0 ) < /x* (£) + e, that is, oo < oo.) 2. Let E e ^J(R). For e = £ for n e N , there exists an open set On D E such that /x*(£) < Ax*(On) < / x * ( £ ) + i b y ( a ) . L e t G = n « e N C ' ' « - T n e n G i s a G 5 - s e t a n d G D £. Since G C 0„ for every « e N, we have fi* (£) < xi* (G) < M*(0«) < M* (£) + £. by the monotonicity of/x*. Since this holds for every n e N, we have fi*(E) < /x*(G) < /x*(£) and therefore /x* (£) = /x*(G). 3. Since 2$R C 93TL = SDT(/x*) by Theorem 3.9, /x* is a Borel outer measure on R. A G^-set is a member of 2$R. Thus /x* is a Borel regular outer measure by (b). • Theorem 3.22. For E e ^J(R), the following conditions are all equivalent:
(i) E e SDTL.

(ii) (iii) (iv) (v)

For every e > 0, rnere ex«to arc open set O D E with it* ( 0 \ £ ) < e. 77iere ex/it? a G$-set G D E with it* (G\ E) = 0. For every e > 0, fnere arista a closed set C C E with ti* (E \C) < e. T/iere ex/sto an Fa-set F C E with £<•*(£ \ F) = 0.

Proof. We show that (i) =>• (ii), (ii) =>• (iii), and (iii) => (i). This establishes (i)o(ii)<3>(iii). We then show that (i) => (iv) and (iv) => (i). Finally we show that (iv)=> (v) and (v) =*> (i). (Note that proving (iv) => (i) is actually superfluous.) 1. (i) =>• (ii). Assume that E satisfies (i). According to Lemma 3.21, for every £ > 0 there exists an open set 0 D E with /x*(£) < /x*(0) < /x*(E) + e. Since £ e SDT^, with 0 as a testing set in the Caratheodory condition satisfied by E, we have /x* (£) + s > fi*(0) = it*(0 DE) + /x*(0 n EC) = /x*(E) + /x*(0 \ E). If it*(£) < oo, then subtracting /x*(£) from the last inequality we have it*(0 \ E) < e. If /x*(£) = oo, let En = E n (n — 1, n] for n e Z. Then (£„ : re € Z) is a disjoint sequence in 9JtL with UneZ En = E and tt i (£„) < fiL ((re — 1, re]) = 1 . Applying the result above to En for each n e Z, for every £ > 0 we have an open set On D En such that/x L (0„ \ En) < 3 _1 2~'"'£. If we let 0 = (JneZ On, then 0 is an open set, O D E, and

o\£ = (U 0 «)\(U £ «) = (U°«) n (U £ ") c
neZ neZ neZ neZ

= U|MU*»)>U(<>»\(U*»)I
neZ «eZ «€Z neZ neZ

c|J(0„\£B).

§3 Lebesgue Measure on R Then we have

53

/t*(0 \ £) < iSL(\J(0„
neZ

\ £„)) < £ > * L ( 0 „ \ £ )
neZ

E 3 2l»l
n€Z = £.

l £

1 3

v^l£ ^ 3 2"
neN

1 3

2 3

This shows that E satisfies (ii). 2. (ii) =>• (iii). Assume that £ satisfies (ii). Then for £ = - , n e N, there exists an open set On D E with At* (On \ £ ) < £. Let G = f\eN ^n> a Ga-set containing E. Now G c O , implies /x*(G \ E) < /x*(0„ \ E) < ± for every n e N . Thus At*(G \ £ ) = 0. This shows that E satisfies (iii). 3. (iii) =>• (i). Assume that E satisfies (iii). Then there exists a G^-set G D E with At*(G \ E) = 0. Now n*L{G \ E) = 0 implies that G\E € 90T(At*) = VJlL according to Lemma 2.6. Since E c G, we have £ = G \ (G \ £ ) . Then the fact that G and G \ E are in 9JlL implies that E is in DJtL. 4. (i) => (iv). Assume that E satisfies (i). Then E e £DTL and hence Ec e 9Jl L . As we showed in 1, 2, and 3, (i), (ii), and (iii) are all equivalent. Thus applying (ii) to our Ec 6 VOlL, for every £ > 0 we have an open set O D Ec with fi*(0\ EC) < s. Now for any two sets A and B, we have A\B = AnBc = Bcn (Ac)c = Bc \AC. Thus O \ Ec = E \ Oc and then /x*(E \ Oc) < s. Now Oc is a closed set and Oc C E since O D Ec. If we let C = O c , then we have (iv) for E. 5. (iv) => (i). Assume that E satisfies (iv). Then for every £ > 0, there exists a closed set C C E with n*L(E \ C) < £. Now £ \ C = C e \ Ec so that /x*(Cc \ Ec) < s . Also C cE implies C c D £ c . Let O = Cc. Then O is an open set, O D E c and /x*(0 \ £ c ) < £. This shows that Ec satisfies (ii). Since (ii) is equivalent to (i), we have Ec e 0JtL. Then E e %yiL- Thus E satisfies (i). 6. (iv) => (v). Assume that £ satisfies (iv). Then for every n e N , there exists a closed set Cn C £ with M * ( £ \ C„) < i . Let C = U „ € N C n , an Tv-set contained in £ . Now £ D C 3 C„ so that £ \ C c £ \ C„ and /a*(£ \ C) < /x*(£ \ C„) < \ for every n e N . Thus M*(£ \ C) = 0. This shows that £ satisfies (v). 7. (v) = > (i). Assume that £ satisfies (v). Then there exists an £CT-set £ C £ with * At* ( £ \ £ ) = 0. Now At* ( £ \ £) = 0 implies that £ \ £ e S0t(/z*) = SDTL by Lemma 2.6. Since £ C £ , we have £ = £ U ( £ \ £ ) . Since £ is an £CT-set, £ e *BR C OTL. Thus £ e DJtL. This shows that £ satisfies (i). • Remark 3.23. According to (b) of Lemma 3.21, for every £ e ^J(R) there exists a Ga-set G D £ with At* (G) = At* (£). This does not imply At* ( G \ £ ) = 0 . SinceG = £ U ( G \ £ ) , we have M*(G) < H*L(E) + fJ-*L(G \ £ ) by the subadditivity of the outer measure At*. If At*(G) = M*(£) < oo, then subtracting this real number from the last inequality we have 0 < M*(G \ £ ) . On the other hand, as we showed in 3 in the Proof of Theorem 3.22, the equality At*(G \ £ ) = 0 implies the 97tL-measurability of £ . Thus for any non dKL-measurable set £ , we have A^CG \ £ ) > 0. Theorem 2.13 is relevant here.

54

CHAPTER 1 Measure Spaces

Next we derive from Theorem 3.22 some approximation theorems for Lebesgue measurable sets by open sets in terms of symmetric differences. The symmetric difference of two sets A and B is defined by AAB = (A \ B) U (B \ A). Theorem 3.24. Let E € ^J(R). Then E e 9JlL if and only if for every e > 0 there exists an open set V with p.*L(EAV) < s. Proof. 1. If £ e WlL, then by (ii) of Theorem 3.22 for every e > 0 there exists an open set V D Ewithfi*L(V\E) < s. Since V D E, we have V \ E = EAV. Thus/x*(£AV) < e. 2. Conversely suppose for every e > 0, there exists an open set V with p.* (EAV) < e. To show that E e S0tL, we show that E satisfies (ii) of Theorem 3.22. Let s > 0 be arbitrarily given. By our assumption there exists an open set V with /x*(EAV) < | . Consider the set E \ V C EAV. By Lemma 3.21, there exists an open set W D E \ V with/A* (WO < n*L(E\V) + f < /i*(EAV) + § < lB- If we let 0 = W U V, then O is an open set containing E and 0\E so that li*L{0 \ E) < p*L(W) + fi*L(EAV) < 2-e + ±e = e. Thus £ satisfies (ii) of Theorem 3.22 and therefore E e 9Jl t . I = (WUV)\EcWU(V\E)cWU (EAV)

Theorem 3.25. Let E e SDt^. If pL(E) < oo, then for every E > 0, there exist finitely many disjoint finite open intervals J\,... , Jm such that \xL {EA (JJJLI 7«) < e. Proof. If E e SDTL, then by (ii) of Theorem 3.22 for an arbitrary e > 0 there exists an open set 0 D E such that (1) nL(0\E)<£-.

If pL (£) < oo, then by the additivity of p,L on 9JtL, we have (2) fiL(0)=(ML(E) + pL(0\E)<oo.

Now /it*(0) = p-L(0) < oo. Thus by the definition of P*L(0) as an infimum, there exists a sequence (In : n € N) in 30 such that U«<EN ^« ^ 0 and

(3)

£]£(/„) </i*(0) + ^<oo.
neN

The convergence of the series £ „ e N £(In) implies that there exists N e N such that

(4)

£*(/n)<f.

§3 Lebesgue Measure on R

55

By the triangle inequality for symmetric differences, that is, AAS c (AAC) U (CAS) for any three sets A, B, and C, we have
N N

EA (J /„ C (EAO) U (OAJ (J /„}) U (j \J
n=l neN neN

7„)A{

[j /„}).
n=\

By the monotonicity and finite subadditivity of fiL we have
N

(5)

IIL(^EA\JI^<IIL{EAO)
n=l

+

IIL(OA\JI^

«€N

+^({U'-WuM)neN n=l

Since £ c O , w e have E A O = 0\E (6) Since 0 C U«€N 7 «' w e (7)
have

and then by (1) we have = nL(0\E)<^.
7

nL(EAO)

° A U«eN 7« = ( L L N
M t ((

«) \ ° -

Then w e have

IML(0A |J /„) =
nsN

(J /„} \ o) = /* t ( (J /„) - ILL(0)
neN neN

neN

neN

where the second equality is by (3) of Lemma 1.25 which is applicable since fiL(0) by (2) and the last equality is by (3). Finally since U^Li 7« C U«eN 7» w e n a v e

< oo

|UMAIUM = IUMMUMCU'n€N n=l ngN n=\ n>N

and then

(8)

^ ( ( IJ Z «) A I U 7»)) ^ ^ ( U 7«) ^ E ^(/n) = E £ ( / « } < f •
neN n=l n>W n>W n>W

Using(6)-(8)in(5),wehave/x L (£A|J^ = 1 /„) < e. Note that £ „ € N l(I„) < oo according to (3) and this implies that /„ is a finite interval for every n e N. Let us note that since {/„ : n = I,... , N) is a finite collection of finite open intervals, (Jn=i 7 " ' s t n e u n i ° n of finitely many disjoint finite open intervals J\,... , Jm. • Remark 3.26. Theorem 3.25 is not valid without the assumption that IJLL{E) < oo. For example, let E = (J„ e N E„ where E„ = (n - j , n) for n e N. Then E e DJlL and

56

CHAPTER 1 Measure Spaces

HL(E) = oo. Let {/i,..., IN} be an arbitrary finite disjoint collection of finite open intervals in R. Then there exists No e N such that (Jnt=i I" C (—No, No). This implies
N N

EA\JlnDE\\Jln^E\(-No,No)=
n=\ n=\

\J
n>N0 + l

En.

Thus we have
N

,

tiL(EA\Jln)>fiL(
n=\

| J En)=
n>N0 + l

£
n>N0 + l

^(En)=

J2 2 = ° ° - *
n>Na + l

Since every open interval in R has a positive Lebesgue measure, every Lebesgue measurable set containing an open interval has a positive Lebesgue measure. The converse is false, that is, a Lebesgue measurable set with a positive Lebesgue measure need not contain an open interval. For instance the set of all irrational numbers contained in (0,1) has Lebesgue measure equal to 1 but this set contains no open interval. The next theorem shows that if E € DJtL and nL(E) > 0, then there exists a finite open interval / such that ixL(E n I) is as close to nL(I) as we wish. Theorem 3.27. Let E € 9JtL with fiL(E) > 0. Then for every a e (0, 1) there exists a finite open interval I such that a fiL(I) < fiL(E t~\ I) < [iL(I). Proof. Consider first the case where iiL(E) e (0, oo). Let a € (0,1). Then £ = 1 + r} with r) > 0. Since fiL(E) € (0, oo), we have r\ fiL(E) e (0, oo). By Lemma 3.21, there exists an open set O D E such that (1) fiL(0) < nL(E) + r,fML(E) = (1 + TI)IIL{E) = -nL(E) < oo.

Now since O is an open set in R, it is the union of a disjoint sequence (7„ : n € N) of open intervals in R. Then /xL(0) — J2neN M t (W- Since E C O, we have

nL(E) = fiL{En o) = IIL(E n | J /„) = ] T M £
neN ngN

n

*»)•

Using these expressions for fiL(0)

and fiL(E) in (1), we have

(2)

XX(/«) <-£>.(£ n «neN
a

neN

Therefore there exists at least one no e N such that fiL(Im) < ^L(E n /„„). Since lx,L{0) < oo, /„ is a finite open interval for every n e N . Let I = 7„0. Then / is a finite open interval with a/x t (7) < / i L ( £ n / ) <HLU). Now consider the case \iL (E) = oo. By the a-finiteness of the Lebesgue measure space (R, 2JtL, fiL), there exists a 97tt-measurable subset Eo of E with /J,L(EQ) e (0, oo). Then

§3 Lebesgue Measure on R

57

by our result above for E e QJtL with fJ.L(E) e (0, oo) , there exists a finite open interval 7 such that a /J,L(I) < nL(E0ni) <fiL(EfM)< /x t (7). I Definition 3.28. For every E e ^J(R), let the difference set ofE, A(7s), be defined by A(7s) = { z e R : z = x — yfor some x, y e E\. Note that for every E e 9J(R), we have 0 e A (is). Theorem 3.29. 7/7f e VJtL and nL(E) > 0, then A(E) contains an open interval.

Proof. If nL{E) > 0, then by Theorem 3.27 for every a 6 (0, 1) there exists a finite open interval Ia such that (1) a/it(/a)</it(En/a).

Let Ja = ( — | [iL(Ia), | fiL(Ia))- Let us show that for sufficiently large a g (0,1) we have Ja C A ^ ) . Let z € Ja be arbitrarily chosen. We show that z e A (7s) by showing that z = x - y for some i j e £ . Now (7s n i„) U [(7s n /„) + z] C 7« U (/„ + z). Since z e 7 a . the set Ia U (7ff + z) is an open interval with jiL [la U (Ia + z)) < {1 + j}l^L (Ia)Thus we have (2) ^L((Enia)u[(Enia) + z\) <iiL(laU(Ia + zj) < j l + ^ } / x t ( 7 a ) .

By the translation invariance of (R, S5tL, /ii t ), we have /J-L((E D 7a) + z) = /xL(7s n 7 a ). Now if we assume that E n Ia and (7s n 7a) + z are disjoint, then

(3)

nL((E n ia) u [(£• n /„) + z]) = nL(En ia) + ^L((E n /«) + z)

= 2AiL(7in7a) > 2 a f i t ( U
by (1). Thus, if we assume that E CMa and (7s n 7a) + z are disjoint then by (2) and (3) (4) 2a < 1 + - .

Now as a f 1, we have 2a f 2 and 1 + | f l j - Thus for sufficiently large a e (0,1), (4) is impossible. Indeed (4) is impossible for a = | . Therefore with the choice a — \, E n Ia and (7s n /„) + z cannot be disjoint. Let x e (E n 7a) n [(£ n 7„) + z]. Then we have x e E n 7a as well as x e (7s n 7a) + z. Thus x = y + z for some y e E Ci Ia. Then z = x — y where x, y e 7s so that z e A(7s). This shows that with a = | , we have /« C A(7s). •

[V] Lebesgue Inner Measure on IR
As we show next, the regularity of the Lebesgue outer measure /x* on R implies that for every 7s 6 ^J(R), it* (7s) is the infimum of the Lebesgue measures of all the open sets that

58

CHAPTER 1 Measure Spaces

contain E. We then define the Lebesgue inner measure fj,*L(E) of E as the supremum of the Lebesgue measures of all the closed sets that are contained in E. We show that if E €«P(R)andAt*(£) < oo, then E eWlL if and only if fJ.*lL(E) = /**(£). Notations. We write D R , (£R, and £ R for the collections of the open sets, the closed sets, and the compact sets in R respectively. Proposition 3.30. For E € <P(R), we have /x*(£) = inf {/iL(0) : O D E,0 e DR}.

Proof. Let E e Vp(R). If O e D R and ODE, then by the monotonicity of \x\ and by the fact that O G 9JtL we have /x*(E) < M*(0) = fiL{0). Thus we have /**(£) < inf {Mi(O) : O D E,0 e D R } . To prove the reverse inequality, let e > 0 be arbitrarily given. According to Lemma 3.21, there exists O € D R such that O D E and fiL(0) < H*L(E) + E. Thus inf {/^(O) : 0 D £ , 0 G D R } < /x*(£")+e. From the arbitrariness of e > 0, we have inf 1/J.L(0) : O D E, O G D R } < n*(E). • Definition 3.31. The Lebesgue inner measure of E G ^3(R) is defined by li*,L(E) = sup {/^(C) : C C E, C G £ R } . (Note that 0 C E and 0 G <£R SO that the collection of all closed sets contained in E is nonempty.) Observation 3.32. For every C e <£R, we have/z*iL (C) = /iL(C).

Proof. This is an immediate consequence of Definition 3.31. I We say that a topological space X is a cr-compact space if there exists a sequence (Kn : n G N) of compact sets in X such that IJneN ^« = ^- Since a finite union of compact sets is a compact set, if we let K'n = U"_j Ki for n G N then (K'n : n e N) is an increasing sequence of compact sets in X with lim K'n = IJneN Kn = U« e N Kn = ^The intersection of a closed set and a compact set in a Hausdorff space is a compact set. Thus if X is a cr-compact Hausdorff space, then for every closed set C in X there exists an increasing sequence (C„ : n G N) of compact sets in X such that lim Cn = C. Indeed if
n~>-oo

we let Cn = C n K'n, then the sequence (C„ : « G N) is such a sequence. Consider the Hausdorff space R. If we let 7„ = [—«,«] then (/„ : n € N) is an increasing sequence of compact sets in R and IJneN ^" = ^- Thus R is a a-compact Hausdorff space. Then for every closed set C G R there exists an increasing sequence (C„ : n G N) of compact sets in R such that C = lim Cn. From this fact we derive the following expression for the
n-*oo

Lebesgue inner measure on R. Proposition 3.33. For every E 6 q3(R), /A*, L (£) = sup \fiL(K) : K C E, K G . % } .

Proof. Leta = sup {/xt(C) : C C £ , C € £ R } and/S = sup { M L ( ^ ) : K C E, K e Siu} for brevity. Since <£R D ^ R we have a > /!. It remains to prove a < p.

§3 Lebesgue Measure on R

59

Consider first the case a < oo. In this case, for every e > 0 there exists Co € C R such that Co C E and /"/.(Co) > a - e. Let {Kn : n € N) be an increasing sequence in .SR such that lim Kn = IJnsN ^n = ^oWe have lim p,,{K„) = p*. (Co). Then
n—>oo

P > sup pL {K„) = lim fiL{Kn) = nL{Co) > a
„€N n^oo

-e.

Then by the arbitrariness of e > 0, we have /S > a. Next consider the case a — oo. In this case, for every M > 0 there exists CM e <£R such that CM C £ and PL{CM) > M. Let (AT„ : « e N) be an increasing sequence in MR such that lim Kn = M„,™ Kn = CM- Then lim /u,, (^Tn) = /x {CM) SO that
n->oo "t" n-*oo

M < p,L{CM) = lim /x t (K„) = s u p M i ^ n ) < p. By the arbitrariness of M > 0, we have /3 = oo = a. •

Theorem 3.34. 77ie Lebesgue inner measure p,^L era R /tas the following properties: 1° nonnegative extended real-valued : p*iL(E) e [0, oo]/or every £ e ^P(R),
2° /i», L (0) = O,

3° 4°

monotonicity: E\, E2 € q?(R), Ei C E2=> p*,L{E\) countable superadditivity :

<

p*iL{E2), H*AEn), p*iL{E),

{En : n € N) C ^J(R), dis/owf =>• /**,,.( L L N £ » ) ^ E«eN 5° translation invariance: E € ^3(R) aradx e R = > P*,L{E +x) =

6° positive homogeneity: E e fP(R) ami a e R =» /x*?i (aE) = |a|M*,£ (£)• Proof. Properties 1° - 3° are immediate from Definition 3.31. Property 5° follows from the translation invariance of (R, VJlL, /x t ) applied to the closed sets C in Definition 3.31. Similarly 6° follows from the positive homogeneity of (R, 9JlL, pL). To prove 4°, let {En : n e N) be a disjoint sequence in ^J(R). If p*,L {En(j) = oo for some «o £ N, then we have At*,i.(UneN ^«) — A1*,*. (£«<>) = oo by 3° so that M*,z. (UneN £ " ) = °o = Z!neN^*.t( £ n)- T n u s consider the case where ju, +ii (£„) < oo for every n e N. Let T s N be arbitrarily fixed. Let e > 0. Now for every n e N, since V p*,L{En) < oo there exists C„ e <£R such that C„ C £ n and pL{Cn) > p*tL{En) — j ^ by Definition 3.31. Since {E„ : n e N) is a disjoint sequence, (C„ : n e N) is a disjoint sequence. For the closed set U«=i Cn contained in U«=i E", w e have by 3° , Observation 3.32, and the finite additivity of pL
N N n=l N n=l

V*.L ([JEn)>
n=l

P*,L ( | J C„) = PL ( | J C„)

«=1

n=l

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CHAPTER 1 Measure Spaces

By the arbitrariness of e > 0, we have fJ-*,L(\Jn=i E") - T,n=i V-*,L(En)- Then by 3°, we have /z*^ (IJneN En) — S n L i ^*,L (En)- Since this holds for every T € N, we have V E ^.L(LLN n) > E«€N ^*,L(En)- This proves 4°. I Remark 3.35. (a) Needless to say condition 4° in Theorem 3.34 does not hold without the assumption of the disjointness of (En : n e N). For instance if we let E\ = £2 = [0, 1] and £3 = 0 for n > 3, then /Lt*,L (\J n € n En) = /z*jL (£1) = 1, but Y,neH V*,L (En) = 2. (b) Let us observe also that the superadditivity of ^tL on ^P(R) implies its finite superadditivity on ^P(R), that is, if (En : n = 1 , . . . , N) is disjoint finite sequence in ?P(R) then

^AUn=iEn)>En=l^,L(En)Observation3.36. For every £ e 9p(R), we have fi^L(E) < /z*(£).

Proof. Let £ € ^J(R). Let Co be an arbitrary closed set in R such that Co C £ and let OQ be an arbitrary open set in R such that OQ D E. Then Co C Go so that fJ.L(Co) < /J.L(OO). Since this holds for an arbitrary Oo s O R such that Co 3 £ , we have

M C o ) < inf {v-L(0) :ODE,Oe0m}=

/**(£)

by Proposition 3.30. Since this holds for an arbitrary Co € <£R such that Co C £ , we have sup ( M O ; C C E,C e £ R ] < /x*(£), that is, /x*,,(E) < /i*(E). I The next theorem is a criterion for the Lebesgue measurability of a subset of R in terms of the Lebesgue inner measure. Theorem 3.37. Let E e qj(R). (a) IfE s 9JlL, then n*tL(E) = M*(£). (b) Ifn*,L(E) = fi*L(E), then E e 2JtL provided that M*(£) < 00.

Proof. 1. Suppose £ e 9Jt L . Let 7„ = in — 1,«] and £„ = £ n /„ for n e Z. Consider the disjoint sequence (£„ : n e Z) in 97t t with /LiL (£„) < 00 for every n e Z and U n gZ ^« = £ . By (iv) of Theorem 3.22, for an arbitrary s > 0 there exists C„ e £ R such that C„ C £„ and £<-;.(£« \ C„) < 3 _ 1 2~ | n | e for every n € Z. Since nL(Cn) < nL(E„) < 00, we have /i L (£„) - (J-L(C„) = fiL(En \ C„) so that 1 e -y^

fiL(En)

<HL(Cn)

+

<suV{nL(C) : C c £ „ , C e f f i i ) + 1 e

~

§3 Lebesgue Measure on R Then we have

61

ix*(£) = iiL(E) = nL[ (J £„) = £>,(£«)
«eZ «eZ

<I]JM*,J£») + 3 ^ }
= M*, t (£) + £

<M*, i (U £ ") + e

where the second inequality is by 4° of Theorem 3.34 (countable superadditivity of ti*). Thus by the arbitrariness of e > 0, we have M*(£) < IA*, L (£). On the other hand, M*(£) > fi*,L(E) by Observation 3.36. Therefore (i*tL(E) = fi*L(E). This proves (a). 2. Conversely suppose ti* t i (£) = /".*(£) and £<*(£) < oo. To show that £ e 27t t , it suffices to show that for every e > 0 there exists 0 e £ ) R such that O 2> E and fi*(0\E) < s according to (ii) of Theorem 3.22. Now according to Proposition 3.30 we have /**(£) = inf fju L (0) : O D EtO e D R ) . Thus there exists O e D R such that O D £ and ^ ( O ) < /**(£) + f. Since fi*,L(E) = sup (ti L (C) : C c £ , C s £ R } and since fJ-*,L(E) < H*L(E) < oo there exists C € <£R such that C C E and fi*iL(E) — § < nL(C). Since C c £ and thus O \ E C O \ C, we have
M*(0\£)</x*(0\C)

=Ml(0\C) = M O ) - M i ( Q

<{//*(£) + §}-{//*,,(£)-§} = £,
where the second equality is valid by the fact that txt (C) = /x* (C) < fi* (E) < oo. • Remark 3.38. Without the assumption fi*AE) < oo, (b) of Theorem 3.37 is false, that is, ifE €^(R)andiffi*L(E) = oo, then fi*tL(E) = fi*L(E) does not imply E e WlL. This is shown by the existence of a set E e ^ 3 ( R ) , £ &9JlL, with fi^L(E) = M*(£) = ° ° . Example. By Theorem 3.20, there exists So C [0, 1) such that EQ & 9JtL. Consider the set £ = £ o U [1, oo). Since /x* iL ([l, oo)) = oo, we have /x*, L (£) = oo by the monotonicity of /x*,L. Thus by Observation 3.36, we have fi*iL(E) = /x*(£) = oo. To show that E g £DTL, note first that since EQ and [1, oo) are disjoint we have EQ = E \ [1, oo). Since (1, oo) e 9JtL, if E e VJtL, then we would have EQ e 9JlL. This is a contradiction. This shows that £ £9Jt L . The Lebesgue inner measure on R has the following regularity properties. Compare these properties with the regularity properties of the Lebesgue outer measure on R in Lemma 3.21. Lemma 3.39. Let E e «P(R) with /x*(£) < oo. (a) For every e > 0 there exists C € <tR such that C C E and H*,L(E) s

< M O < ***,/.(£)•

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CHAPTER 1 Measure Spaces

(b) There exists an Fa-set F in R such that F C E and puL (F) = /x*iL (E). Proof. 1. We have n*iL(E) < fi*L(E) < oo by Observation 3.36. It follows then from the definition of /x* ]L (£) that for every e > 0 there exists C € <£R such that C C E and lii,iL(E) — E < (iL(C). By Observation 3.32 and by the monotonicity of ii*iL, we have /xL(C) = M*,z.(C) < M*,z.(£)- This proves (a). 2. For every n e N there exists C„ € <£R such that Cn C E and fi*tL(E) — - < H-L{Cn) < fi*iL(E) by (a). If we let F = U „ S N C " ' t n e n ^ i s a n fff-set a n d C» C F C £ for every n e N. Since F e DJtL we have fi*,L(F) = /x L (F) by (a) of Theorem 3.37. Thus ii* vL (£) —A < nL(Cn) < (J.L(F) = jit*iL(F) < /n* )L (£). Since this holds for every re e N, we have nL(F) = iu,*tL(E). • As an outer measure the Lebesgue outer measure /x* is subadditive on ?P(R). As we showed in Theorem 3.34, the Lebesgue inner measure /x*]L is superadditive on ^3(R). We show next some mixed inequalities. Proposition3.40. Let E\, E2 e ^J(R) and/z*(£i U E2) < oo.

(a) We have /x*, L (£i U £ 2 ) < /x*, L (£i) + /x*(£ 2 ). ( b ) / / £ i f l £ 2 = 0, rfcen /x*,,(£i) + /ij(^2) < M J ( ^ I U E2). Proof. 1. Since H*L(E\ U E2) < oo, there exists an FCT-set E such that F C £ i U E2 and /x L (F) = /x*,,. (Ei U £2) by Lemma 3.39. By Lemma 3.21, there exists a G^-set G D £2 such that nL'(G) = fi*L(E2). Now F C (F \ G) U G and F \ G C (£1 U E2) \ G C £1. Thus we have M*lt (£1 U £ 2 ) = /x, (£) < ^ ( ( £ \ G ) U G ) </* t (F \ G) + ^ (G) = /*t (F \ G) + /*J (£2) =M*,,(F \ G) + /x*(£ 2 ) < A**,,(£i) + A I * ( £ 2 ) , where the third equality is by (a) of Theorem 3.37 and the last inequality is by the monotonicity of fi*iL. This proves (a). 2. Assume that E\ D E2 = 0. Since /x*(£i) < /x*(£i U £2) < 00, there exists an F a -set F C E\ such that [iL (F) = pi* iL (£i) by Lemma 3.39. By Lemma 3.21, there exists a Ga-set G D £1 U £ 2 such that fiL(G) = fi*L(E1 U £2). Since G D (£1 U £ 2 ) D F , we have G = F U (G \ F). Since £1 n £ 2 = 0 and F c £ 1 , we have G\F D E2. Thus /x* (£j U £ 2 ) = fiL (G) = /x, (F) + /x, (G \ F) = / i * l i ( £ i ) + M * ( G \ F) > M*,z.(£i) + lfL{E2). I

The next theorem says that if £ is a Lebesgue measurable set in R with finite Lebesgue measure and if we decompose the set into two parts in an arbitrary way, then the sum of the Lebesgue inner measure of one part and the Lebesgue outer measure of the other part is always equal to the Lebesgue measure of the set.

§3 Lebesgue Measure on R Theorem 3.41. Let E e *P(R). If E e DJtL and nL(E) we W e /i*,L (A n E) + n*L (Ac nE) = nL (E).

63 < oo, then for every A e ^J(R),

Proof. For an arbitrary A e ^3(R), A n E and Ac H E are two disjoint sets whose union is E so that /x*((A l~l £ ) U (Ae n £ ) ) = AA*(E) < oo. Thus by (a) and (b) of Proposition 3.40, we have n*,L(E) < M*,L(An E) + ,u*(Ac n E) < At*(E). But E e 2KL and this implies /J,*tL(E) = /x*(£) = Mz,(£) according to (a) of Theorem 3.37. Thus fi^L{Ar)E) + n*L(AcnE) = fiL(E). • Lemma 3.42. Lef £ € (0, 1) fee an irrational number and let A = [n + mi; : m, n e Z}, B = {n + mf : m, n e Z, n even}, C = {n + mf : m, n e Z, « odd}. Then A = flUC, B n C = 0, C = B + l (ffotf is, the translate of B by 1 e R), 0 e S, and A, B, and C are all countable dense subsets ofR. Proof. Clearly A, B, and C are all countable subsets of R. It remains to show that they are dense in R. Let us observe that if m', m", n', n" 6 Z and («', m') ^ («", m") then (1) n' + m'^n" + m"^.

To prove this, suppose (n', m') / («", m") but n' + m't, = n" + m"f, that is, (2) n — n = (m — m )£.

Now since («', m') 7^ (rc", m") we have either m! =fr m" or n' =£ n" or both. If m' ^ m" then by (2) we have £ = («' — n")/(m" — m!) which is a rational number. This contradicts the fact that £ is an irrational number. On the other hand if n' ^ n" then n' — n" / 0 and then by (2) we have m" — m! ^ 0 so that £ = («' — n")/(m" — m'), contradicting the fact that £ is an irrational number. This proves (1). To show that A is dense in R, we show that every open interval / in R contains at least one point of A. Now for every i e N, there exists a unique n; € Z such that n,- + if e [0, 1). Let xt = ni + if € A for i e N. Let k e N be so large that \ < i^L(I). Consider the collection {*,• : i = 1 , . . . , k + 1} c A. Note that x\,... , *A:+I are all distinct by (1). Let Xi,i = 1 , . . . , k + 1, be enumerated in increasing order and let the result be labeled as 0 < y\ < • • • < y^+x < 1. Now if yj+i — yj > £ for all 7 = 1 , . . . , k, then j/jfc+i — y\ > k • £ = I which is impossible since both 71 and y^+i are in [0, 1). Thus yj+i — yj < £ for at least one 7 = 1 , . . . , k. In other words, in the collection [xi; : i = 1 , . . . , k + 1}, there exists at least one pair xp and * 9 such that 0 < xp — xq < j . Consider all the integral multiples of xp — xq, that is, the collection [n(xp — xq) : n e Z}. This is a subcollection of A since n(xp - xq) = n{(np + p§) - (nq + <??)} = n(np - nq) + n(p - q)$ e A.

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CHAPTER 1 Measure Spaces

The distance between two adjacent points in the collection {n(xp — xq) : n £ Z) is less than j . Since the length of the open interval / is greater than £, I must contain at least one point in the collection. Thus / contains at least one point of A. This proves the denseness of A inR. The proof for the denseness of B is similar. We need only to replace [0,1) in the argument above for the denseness of A by [0, 2). The proof for the denseness of C follows from the fact that C = B + 1, that is, C is a translate of B by 1. I Proposition 3.43. Let% e (0, 1) be an irrational number and let A = {n + m% : m,n e Z}. Forx, y e l , let us write x ~ y ifx — y £ A. Then ~ is an equivalence relation, and if we let EQ be a set consisting of an element from each of the equivalence classes with respect to the equivalence relation ~, then EQ e" 97tL. Proof. 1. For every x € R, we have x ~ x since x — x = 0 e A. Secondly for any x, y e R, x ~ y implies y ~ x since a £ A implies —a e A. Finally for any x,y,z el, if x ~ y and y ~ z then x ~ z since a\,ai e A implies a\ + ai e A. Therefore ~ is an equivalence relation. Let R be decomposed into the equivalence classes with respect to ~ . By the Axiom of Choice we can select one element from each of the equivalence classes. Let EQ be the set of points thus selected. Let the elements of the countable set A be enumerated as [an : n £ Z + } with ao = 0. Consider the collection of sets {Eo + an : n £ Z + } . To show that Eo + am and Eo + an are disjoint when m =£ n, suppose (Eo + am) n (Eo + a„) 7^ 0. This implies that there exist x\, X2 e Eo such that x\+am = X2 + an. Then x\ — xi = an — am e A. But am ^ a„ so that x\ ^ X2- Thus we have two distinct elements x\ and X2 from £o such that x\ — X2 e A, that is, xi ~ xi, a contradiction to the definition of EoNext we show that IJneZ (^o + an) = R. Every y e R is in one of the equivalence classes with respect to ~ . Let x be the element in that equivalence class that has been selected to be an element of EQ- Then y — x e A, say y — x = a„ e A for some n € Z + . Thus y = x + an € £ 0 + ««• Therefore L L z + ( £ o + a„) = R, that is, E0 + A = R. 2. To show that Eo & 9Jt t , let us show first that the assumption Eo e 9Jt t leads to HL(Eo) = 0 . Consider the difference set A (£o) of Eo as in Definition 3.28. Letz e A(Zio). Thenz = x — y wherex, y 6 £o- Now ifx = y,thenz = 0 e A. If on the other hand x ^ y, then since x, y 6 £o, Jf and y do not belong to the same equivalence class with respect to the equivalence relation ~ and thus z = x — y & A. Therefore we have A (Eo) n A = {0}, or 0. Now if Eo € 9JlL and fiL (Eo) > 0 then A(EQ) contains an open interval I by Theorem 3.29. Then since A is a dense subset of R the open interval / contains infinitely many points of A so that A(Eo) n A D / n A contains infinitely many points of A. This contradicts A(Eo) DA = {0}, or 0. Thus if E0 € 2JtL then nL (E0) = 0. 3. Suppose Eo e 9Jl L . Then /^ t (£o) = 0 as we showed in 2. By the translation invariance of (R, 9JtL,iJ.L), we have Eo + a„ £ ^33lL and ^ L ( £ o + a„) = pL(Eo) = 0 for n £ Z+. Since \Jn€Z (Eo + a„) = R and (£o + fl»:ne Z + } is a disjoint collection, we have /x L (R) = M i (Un€Z + ( £ o + an)) = EneZ+^C^O + «») = 0, a contradiction. Therefore £ 0 ^93t L . •

§3 Lebesgue Measure on R

65

By means of the non 2Jtt-measurable set Fo in Proposition 3.43 above, we construct next a set M € $$(R) such that both /x* ;i (M) = 0 and /i* j i (M c ) = 0. Then we have fi*tL(M) + fi*iL(Mc) = 0 ^ /x* it (R). This shows in particular that the Lebesgue inner measure n*:L, though superadditive, is not an additive set function on $P(R). Theorem 3.44. There exists a set M € ^J(R) with the following properties: (1) (2) (3) n*,L(M) = n*,L(Mc) ii*,L(MC\E) = 0, for every E e <P(R),

= tx^L{Mcr\E)=Q

fi*L(M D E) = fz*L (Mc n E) = piL(E) for every E € VJtL with fj,L(F) < oo.

Proof. 1. Let A, B, and C be the three subsets of R defined in Lemma 3.42 and let Eo be the non £DTL-measurable subset of R defined in Proposition 3.43. Let M = Eo + B. By the definition of ti*,L, to show that /x* L (M) = 0, it suffices to show that for every closed set F c M w e have p.L(F) = 0. We show that actually for every F e 9JtL such that F <z M, we have HL(F) = 0. Let A(F) be the difference set of F as in Definition 3.28. Since F G $ytL, to show that fiL (F) — 0 it suffices to show that A(F) contains no open intervals in R according to Theorem 3.29. Since C is a dense subset of R by Lemma 3.42, every open interval in R contains some points of C. Thus to show that A (F) contains no open intervals, it suffices to show that A ( F ) n C = 0. Toshow A ( F ) n C = 0,letz e A(F). Thenz = z\-zi wherezi,z2 e F c M = Fo + B s o f h a t z = {x\ + b\) - (X2 +bi) = (x\ -X2) + (b\ —bj) with x\,X2 G EQ and b\, b2 e B. Now if x\ = X2, then z = b\ — b2 £ B and thus z & C. On the other hand if JCI ^ X2, then by the definition of Fo in Proposition 3.43, we have x\ — X2 & A. Nowxi — X2 = z + (i»2 — b\). Since b\,b2 e S, we have ^2 — b\ e B <z A. If Z G A, then since A is closed under addition, we have x\ — X2 G A, a contradiction. Thus z & A. Then since C C A, we have z & C. Thus in any case, if z G A(F) then z & C. This shows that A(F) n C = 0 and proves ju,*,L(M) = 0. Toshow that pi*iL(Mc) = 0, recall that we showed in 1 of the Proof of Proposition 3.43 that Fo + A = R. Thus we have Mc = R \ M = (E0 + A) \ (F 0 + B) =Eo + C = (E0 + B+l) = M+l.

By the translation invariance of fi*iL on ?P(R) by 5° of Theorem 3.34, we have the equalities p,*,L(Mc) = fi*tL(M + 1) = p.*,L(M) = 0. This completes the proof of (1). 2. (2) follows from (1) by the monotonicity of /J,*IL on ^J(R). 3. Let F G VfJlL and fiL(E) < oo. According to Theorem 3.41, for every A e «P(R), we have n*,L(A n E) + ^*(A C D F) = /x L (F). With the choice A = AT we have 0 + (i*(M fl £ ) = fiL(F) by (2) and similarly with the choice A = M we have 0 + /x* (M c n £ ) = (*t (F) by (b). This proves (3). I Theorem 3.45. Every 9JtL-measurable set E with fiL(E) measurable set. > 0 contains a non 97t t -

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CHAPTER 1 Measure Spaces

Proof. Let M be as in Theorem 3.44. Then by (2) and (3) of Theorem 3.44, we have fi^L(MDE) = 0 and /i*(MHE) = nL(E) > 0 and therefore f i , , t ( M f l £ ) ^ / x * ( M n £ ) . This shows that M n E & 9JtL by (a) of Theorem 3 . 3 7 . 1

Problems
Prob. 3.1. Let a decreasing sequence (E„ : n € N) C VOlL in the Lebesgue measure space (R, 9Jt L , nL) be given by E„ = [n, oo) for n € N. (a) Find lim £'„and / u,,( lim En). (b)Find lim a, (En).
n->oo

Prob. 3.2. Consider a sequence (£„ : n € N) C 2Jt t defined by £„ = [0, 1) U [n, n + 1) when n is odd and £„ = [0,1) U [n, n + 2) when n is even. (a) Show that lim En exists and find lim E„.
n—>oo
«->oo

n—>oo

(b) Show that lim /u,, (En) does not exist. Prob. 3.3. For each of the following sequences (En : n e N) C 9Jt t , (a) show that lim En exists and find lim En,
n—*-oo n—»oo

(b) show that lim /J,. (En) exists and lim fi, (En) =£ \x, ( lim En). (1) (2) (3) En = [0, l ) U [ n , n + l ) f o r n € N, £ n = [0, 1) U [n, In) for n e N , £„ = [n,n + l ) f o r n 6 N.

Prob. 3.4. Let 3 be the collection of 0 and all finite open intervals in R. Define an outer measure \x* on R by setting for each E e ^P(R) ix*(E) = inf { E „ e N <(/») : ( / „ : « € N) C CT, (J n e N '« 3 £ } Show that fi* = n*0 defined in Observation 3.2. Prob. 3.5. Let € be a disjoint collection of members of DJlL in the Lebesgue measure space (R, 9Jl L , jxL). Show that if nL(E) > 0 for every E e <£, then the collection (E is at most countable. Prob. 3.6. For E e DJlL with fiL (E) < oo, define a real-valued function q>E on R by setting
<P£(JC) = HL(E n (—oo, x]) for* e R.

(a) Show that cpE is an increasing function on R. (b) Show that lim i p „ ( x ) = 0 a n d lim i^OO = jit, (E).
^->-00 X->00

(c) Show that <pE satisfies the Lipschitz condition on R, that is, \(pE(x') - <pE(x")\ < \x' -x"\ forx',x" e R. (d) Show that <pE is uniformly continuous on R. Prob. 3.7. Let E e £DTL with ^ L ( £ ) < oo. Show that for every a e (0, 1), there exists a subset Ea of E such that £« e SPTL and nL(Ea) = a/j,L(E). (Hint: Use the continuity of the function <p in Prob. 3.6.)

§3 Lebesgue Measure on R

67

(Thus the Lebesgue measure space (R, V3lL, nL) not only does not have any atoms but in fact every Lebesgue-measurable set with finite measure has a measurable subset with an arbitrarily designated fraction of the measure. See Prob. 3.8 for E e VJlL with \xL (E) = oo.) Prob. 3.8. Let E e 9JtL with /J,L(E) = oo. Show that for every A. e [0, oo), there exists a subset Ex of E such that Ex e 97tL and f^L (Ex) = A.. Prob. 3.9. Let E c R and H*L(E) = 0. Show that Ec is a dense subset of R, that is, every open interval in R contains some points of Ec, in other words no open interval can be disjoint from Ec. Prob. 3.10. For E C R, define — E, called the reflexion of E with respect to the origin, by setting — E = {y € R : y = — x for some x e E).

(a) Show/**(-£) = /*£(£).
(b) Show that if E e STJtL, then -E e VJtL and iiL{-E) = tiL(E). Prob. 3.11. For £ c R and a e R, define aE, called the dilation of E by the factor a, by setting a £ = {y e R : y = ax for some * € E) . (a) Show £i*(a£) = |a|/x*(E). (b) Show that if E e VfJlL, then a £ e 97^ and ^ L ( a £ ) = \a\(iL (E). Prob. 3.12. Consider the measure space (R, 2SR, JJLL). (a) Show that if E e 93R and r e R, then E + t e * 8 R and ^ ( E + t) = /J-L(E). (a) Show that if E € 25R and a e R , t h e n a £ e *BR and/ti^CaE) = \a\iu.L(E). Prob. 3.13. Let / be a real-valued function on (a, &) such that / ' exists and satisfies \f'(x)\ < M for x e (a, b) for some M > 0. Show that for every subset E of (a, b) we have^(/(£))<MM*(E). Prob. 3.14. From the interval [0, 1] remove the open middle third (5, | ) . Remove the open middle third from each of the two remaining intervals [0, j ] and [|, l ] . This leaves us four closed intervals. Remove the open middle third from each of the four. Continue this process of removal indefinitely. The resulting set T is called the Cantor ternary set. (a) Show that T is a Borel set. (b) Show that T is a compact set. (A set in R is compact if and only if it is bounded, that is, contained in a finite interval, and closed.) (c) Show that T is nowhere dense. (A set A in a topological space (X, £>) is called nowhere dense, or non-dense, if the interior of its closure is empty, that is, (A)° = 0.) (d) Show that T is a perfect set. (A set A in a topological space (X, £>) is called perfect if A = A' where A' is the derived set of A, that is, the set consisting of all the limit points of the set A. A point in a set A is called an isolated point of A if it is contained in an open set which contains no other point of A. Thus a set A is perfect if and only if it is closed and has no isolated point in it.) (e) Show that T is an uncountable set and in fact a one-to-one correspondence between T and [0, 1] can be established. (Flint: Express every number in [0, 1] as a ternary number, that is, 0.a\a2a^ • • • where a,- = 0 , 1 , or 2 for each ;'. Then T consists of those ternary numbers in which the numeral

68

CHAPTER 1 Measure Spaces

1 never appears as a,- for any i. To establish a one-to-one correspondence between T and [0, 1], express every number in [0, 1] as a binary number.) (f)ShowthatAti(r) = 0. (Thus the Cantor ternary set is an example of a null set in (R, 97cL, fiL) which is an uncountable set.) Prob. 3.15. Let Q be the set of all rational numbers in R. For an arbitrary e > 0, construct an open set O in R such that O D Q and M*(0) < e. Prob. 3.16. Let Q be the set of all rational numbers in R. (a) Show that Q is a null set in (R, «8R, / x j . (b) Show that Q is a FCT-set. (c) Show that there exists a Ga-set G such that G D Q and \xL (G) = 0. (d) Show that the set of all irrational numbers in R is a Ga-set. Prob. 3.17. Consider the measure space (R, 97cL, /J,L) . (a) Show that every null set in (R, £DTL, ixL) is a subset of a G& set G which is itself a null set in (R,*mL,iiL) • (b) Show that every E € 9JtL can be written as E = G \ N where G is a Gj set and T is a V null set in (R, 9Jt L , AI L ) contained in G. (c) Show that every E e DJlL can be written as E = F U N where F is an Fa set and T is V a null set in (R, VOlL, /xL) disjoint from F. Prob. 3.18. Show that for every increasing sequence ( £ „ : « € N) of subsets of R, we have lim ii*AEn) = M*( lim £„). Prob. 3.19. (a) Show that the fi*-measurability condition on E 6 ^P(R): (1) n*L(A) = M*(A n E) + n*L(A n Ec) for every A e qj(R), is equivalent to the following condition: (2) n*L(I) = M * ( / n £ ) + /x*(7 n £ c ) for every 7 e 3 0 . (b) Let 5 be the collection of all open intervals in R with rational endpoints. This is a countable subcollection of 30- Show that condition (2) is equivalent to the following apparently, and only apparently, weaker condition : (3) fi*L (J) = fi*L (J n E) + /x* (J n Ec) for every J e 3Prob. 3.20. Let E be the set of all irrational numbers in the interval (0, 1). Show that for every e € (0,1) there exists a closed set C in R such that C C E and /J.L(C) > 1 — e. Prob. 3.21. (a) Let A C R. If there exists e € (0,1) such that /n* (A n 7) < e£(7) for every open interval 7 then M*(A) = 0. (b) Let E € VOlL with fiL(E) > 0. Then there exist ? € (0,1) and an open interval 7 such y that (E n 7 + /i) n (E n 7) / 0 for every ft e R with \h\ < r)t(l). (c) For A € R let AA = {z e R : z = x - y for some x, y e A}. If £ € 0JcL and HL(E) > 0 then A7i contains an open interval. Prob. 3.22. Consider the measure space (R, 9JtL,nL). Show that if £ e 27cL and/x L (7i) >

§3 Lebesgue Measure on R 0 then the set E + E contains an open interval.

69

Prob. 3.23. Let Q be the set of all rational numbers in R. Show that for any l e l w e have lim ln+t{x) ^ 1O(JC) and indeed lim ln+t(x) does not exist. t->o r-*o Prob. 3.24. Consider a measure space (R, 58K, £*)• Suppose for every E e 25R we have lim lE+t(x) = lE(x) for fi-a.e. x e R. Show that /x(R) = 0.
r->0

70

CHAPTER 1 Measure Spaces

§4 Measurable Functions
[I] Measurability of Functions
Notations. For a set D we write {x e D : • • •} for the subset of D consisting of those points x in D satisfying one or more conditions represented by • • •. Note that [x e D : • • • ) = 0 when the defining conditions • a r e not satisfied by any x e D. We also abbreviate {x e £>:•••} as {D : • • •) when there is no ambiguity. Thus for example, if / is an extended real-valued function defined on a subset D of a set X and a € R, then {x e D : f(x) < a] is the subset of D consisting of all x e D at which f(x) < a holds. We also use the abbreviation {D : f < a}. Definition 4.1. Let (X, 21) be an arbitrary measurable space and let D e 21. An extended real-valued function f defined on D is said to be %l-measurable on D if it satisfies the condition that [x e D : fix) < a) e 21, that is, f~l ([—oo, a]) € 21, for every a e R. In particular, when (X, 21) = (R, £DTL), D e 2)t L , and f is VBlL-measurable on D, we say that f is Lebesgue measurable. Similarly when (X, 21) = (R, 2$R), D e 2$R, and f is *B]&-measurable on D, we say that f is Borel measurable. Observation 4.2. (a) If 2li and 2I2 are two a -algebras of subsets of a set X such that 2li C 2I2, then every 2(i-measurable function is also a 2l2-measurable function. (b) Let 2lo be the smallest a-algebra of subsets of a set X, that is, 2to = {0, X). Then an extended real-valued function / defined on X is 2lo-measurable on X if and only if / is a constant function on X. (c) With y$(X), the greatest a -algebra of subsets of a set X consisting of all subsets of X, every extended real-valued function on an arbitrary E 6 ^P(X) is SP(X)-measurable on E. As an intermediate case to the two extreme cases (b) and (c) above, we have Example. Let <£ = {[«, n + 1) : n e Z}. The a-algebra generated by (£, cr(C), is the collection of all countable unions of members of <E. An extended real-valued function defined on R is a((£)-measurable if and only if it is a right-continuous step function with jump discontinuity occurring at integers in R only. For an arbitrary subset £ of a set X, the identity function (or the characteristic function) of E is a function defined on X by 1 if x € E,

U(x) =

0 if x € Ec.

Observation 4.3. Let (X, 21) be a measurable space and let E e ^J(X). Then l g is a 2l-measurable function on X if and only if E e 21.

§4 Measurable Functions

71

Proof. Let £ € Vp(X). Note that the domain of definition of 1E is X e 21. If E e 21 then {x e X : 1E(X) <a\ 0G21 fora<0, Ec e 21 forO <a < 1, XG21 fora>l.

Thus {x e X : l £ (jt) < a} G 21 for every a e R a n d l g is 2t-measurable on X. Conversely if I f is 2l-measurable on X, then we have [x € X : 1E(X) < a} G 21 for every a G R so that in particular Ec = [x e X : 1E(X) < 5} e 21 and then £ e 2t. I Lemma 4.4. Let (X, 21) be a measurable space and f be an extended real-valued function defined on D e 21. Then the following conditions are all equivalent: x (i) x e D fix) < a G 21, that is, f~ ([—00, a]) G 21, /or every a G 1 x (ii) xeD / ( x ) > a G 21, f/iaf is, f~ ((a, 00]) e 21, /or every a G R, _1 (iii) x e D / ( * ) > a G 21, f/iar w, / ([a, 00]) G 21, for every a G R, (iv) x G D fix) < a G 21, r/jaf ii, / _ 1 ([—00, a)) G 21, /or every a G Proof. 1. (i) •£> (ii). Let a G R be fixed. Let D\ and D2 be the two sets in (i) and (ii) respectively. Then D\ n D2 = 0 and D\ U D 2 = D G 2t so that £>i = D \ D2 and D2 = D\ D\. Thus Di G 2t if and only if D 2 e 2t. 2. (iii) O (iv) by the same argument as in 1. 3. (iv) = > (i). Note that for every x € D and a G R, we have fix) < a if and only if ^ fix) < a + i for every n G N. Thus we have {D : f < a} = f \ e N {^ : / < a + " } • If / satisfies (iv), then every set in the intersection is in 21 and then so is the countable intersection. This shows that / satisfies (i). 4. (ii) =>• (iii). Note that we have f(x) > a if and only if fix) > a for every n G N. Then by the same argument as in 3, (ii) implies (iii). • Corollary 4.5. Let (X, 21) be a measurable space and let f be an extended real-valued ^i-measurable function defined on D G 21 Then (a) Ix e D : f(x) = a} e 21 for every a G R. fa (b) \x G D : / ( J C ) G R ] G 21. Proof. For o; G R, we have [D : f = a} = {D : / < a) \ {D : f < a} e 21 by (i) and (iv) of Lemma 4.4. We have also {D : / = 00} = D \ {D : f < 00} = D \ \J {D : f < n) G 21
«€N

and [D : / = - 0 0 } = D \ {D : / > - 0 0 } = D \ \J {D : / > - « } G 2t. neN This proves (a). For (b), note that [D: f €R} = D\({D: / = 00} U {D : / = - 0 0 } ) G 21

72 by (a). •

CHAPTER 1 Measure Spaces

Let us note that condition (a) in Corollary 4.5 is a necessary but not sufficient condition for the 2l-measurability of / on D, that is, an extended real-valued / on D e 21 satisfying condition (a) need not be 2t-measurable on D. Below is an example. Example. Consider the measurable space (R, 9JlL). By Theorem 3.20 there exists a non 9JtL-measurable set E c (0,1). Let / be a function defined on (0,1) € 27lL by x for* e E, for* e ( 0 , 1 ) \ E .

fix) =
[ -x For every a e R, the set {x e (0, 1) : f(x) = a] is either 0 or a singleton. In any case it is a 9JtL-measurable set. Thus / satisfies condition (a) of Corollary 4.5. But / is a non 9JtL-measurable function since [x e (0,1) : f(x) > 0} = E g VOlL. Let (X, 21) and (Y, 2$) be measurable spaces. By Definition 1.38, a mapping / of a set DcX into Y is 2t/58-measurable if / _ 1 ( 9 3 ) C 21. This implies that D = f~l(Y) e 21. Let us relate this definition of measurable mapping to 2l-measurability of a real-valued function / on a set D e 21 in a measurable space (X, 2() as in Definition 4.1. Theorem 4.6. Let (X, 2C) be a measure space and let f be a real-valued function on a set D € 21. Let £>R and <£R be the collections of the open sets and the closed sets in R respectively. (a) / is Hi-measurable on D if and only if f is a tyL/V&^-measurable mapping of D into R,
that is, / - 1 ( 3 3 R ) C 21.

(b) / is "^.-measurable on D if and only I / / _ 1 ( £ ) R ) C 21. (c) / is ^.-measurable on D if and only iff~x(<£&i) C 21. Proof. 1. Let Z be the collection of all open intervals in R. Since every open set O in R is a countable union of open intervals, we have O € CT(3) and thus D R C crQ) and then CT(DH) C er(CJ)- On the other hand, since 3 C 0M, we have a(3) C cr(Dm)- Therefore a (3) = a (DM) = 5BRNow suppose / is a real-valued 2l-measurable function defined on D e 21. For an arbitrary finite open interval (a, ft) in R, we have / - ' ( ( a , pj) = / - ' ( ( - c o , p) \ ( - c o , a]) = / " ' ( ( - c o , 0)) \ f~l((-oo, a]) e 2i

by (iv) and (i) of Lemma 4.4. Similarly for an infinite open interval / in R, we have f~l(I) e 21 by (ii) and (iv) of Lemma 4.4 and Corollary 4.5. This shows t h a t / ~ ' ( 3 ) C 21. Then since <r(3) = 9SR, we have / _ 1 ( B R ) = / " ' H 3 ) ) = " ( / _ 1 a ) ) C or (SI) = 21 by Theorem 1.14. This shows that / is a 2C/2$R-measurable mapping of D into R.

§4 Measurable Functions

73

Conversely if / is a 2l/2$R-measurable mapping of D into R, then we have / ~ (S) 6 21 for every B e 2 3 R and in particular for every a € R we have / - 1 ( ( — o o , a]) e 21. This shows that / is a 2l-measurable function on D. This proves (a). 2. To prove (b), note t h a t / _ 1 ( £ ) R ) C 21 if and only i f / " ' ( Q ^ R ) C 21. (Indeed since we
have £>R c *BR, / _ 1 ( 5 8 R ) C 21 implies / ^ ( D R ) C 21. Conversely if / " ' ( D R ) C 21, then we have / _ 1 ( © H ) = /-1(<T(£>R)) = ff(/_1(£>R)) C a(2t) = 21 by Theorem

1.14.) Then (b) follows from (a). 3. (c) is proved in the same way as (b) using the fact that a (<£R) = 2$R. I

According to Theorem 4.6, among all the cr-algebras of subsets of R, the Borel a-algebra 5BR has the special property that every real-valued function / on a set D e 21 in an arbitrary measurable space (X, 21) is 2C-measurable on D if and only if / is a 2l/5BR-measurable mapping of D into R. This is a consequence of Definition 4.1 for 2l-measurability of a realvalued function in terms of the Borel sets ( - c o , a] for a e R. In particular, a real-valued function / on a set D e 9JtL in the measurable space (R, 9JtL) is SD?L-measurable on D if and only if / is a 9DTL/*8R-measurable mapping of D into R, and similarly a real-valued function / on a set D e 2$K in the measurable space (R, £8K) is SB^-measurable on D if and only if / is a 2$R/58R-measurable mapping of D into R. Let us note that Theorem 4.6 is applicable to extended real-valued functions. Let / be an extended real-valued 2t-measurable function on a set D e 21 in a measurable space (X, 21). By (b) of Corollary 4.5, Do = {D : / e R} is a 2l-measurable set. Then by Theorem 4.6, the restriction /o of / to Do is a 2l/58R-measurable mapping of Do into R.

Lemma 4.7. Let (X, 21) be a measurable space. (a) If f is an extended real-valued Vi-measurable function on a set D e 21, then for every Do C D such that Do e 21, the restriction of f to Do is a %l-measurable function on Do. (b) Let (Dn : n e N) be a sequence in 21 and let D = IJneN ^«- Let f be an extended real-valuedfunction on D. If the restriction off to Dn is ^-measurable on D„ forevery n € N, then f is ^-measurable on D. Proof. 1. To prove (a), note that {D 0 : / < a) = [D : / < a] n D 0 for every a € R. If / is 2l-measurable on D, then [D : f < a] € 21 so that {Do : / < a } € 2t. 2. To prove (b), note that {D : / < a) = { U „ e N Dn : f < a} = U n e N {D„ : / < a} for every a e R. If / is 2l-measurable on Dn for every n e N, then {D„ : / < a j e 21 for every n € N so that {D : / < or} e 21. I

Observation 4.8. Let (X, 21) be a measurable space and let D e 21. Then every constant function on D is 2l-measurable on D, that is, if f(x) — y for every x e D for some y e l , then / is 2l-measurable on D.

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CHAPTER 1 Measure Spaces

Proof. If f(x) = y for every x e D, then for every a e R, we have D : f <a\ = \D : y < a | = Thus / is 2t-measurable on D. • D e2t ~ e 21 if a > y if a < y.

Observation 4.9. Let (X, 2C) be a measurable space and let / be an extended real-valued function on a set D e 21. Let us decompose D into three subsets Do = {D : / e R}, Di = [D : / = - c o } , and D 2 = {D : / = oo}. Then we have , Do, DUD2 € 2 1 , / is 2l-measurable onD<s> , / is 2l-measurable on each ofDo, D\, D 2 . Proof. If / is 2l-measurable on D then Do, Di, D 2 e 21 by (a) and (b) of Corollary 4.5 and / is 2l-measurable on each of DQ,D\ , and D 2 by (a) of Lemma 4.7. Conversely if Do, D\, D2 e 21 and / is 2l-measurable on each of Do,Di, and D 2 then / is 2t-measurable on D by (b) of Lemma 4.7. I Observation 4.10. Let (X, 21) be a measurable space and let / be an extended real-valued function on a set D € 21 assuming at most countably many values y„ 6 R for n e N. Let D„ = {D : f = Yn} for n e N. Then / is 2l-measurable on D if and only if D„ e 2t for every n e N. Proof. If / is 2l-measurable on D, then Dn e 21 for every n e N by (a) of Corollary 4.5. Conversely suppose Dn e 21 for every n e N. Then since / is constant on D„ € 21, / is 2l-measurable on D„ by Observation 4.8 for every n e N. Since D = UneN ^n> / ' s 2l-measurable on D by (b) of Lemma 4.7. I

[II] Operations with Measurable Functions
Addition, multiplication and product of extended real-valued functions entails addition and multiplication of extended real numbers. Convention. For addition and multiplication in the extended real number system R let us adopt the convention that ^j = -^ — 0 for any c e R. Such expressions as 00 — 00, —00 + 00, (±00) • 0, 0 • (±00), and j ^ remain undefined. Theorem 4.11. Let (X, 21) be a measurable space and let f be an extended real-valued Qi-measurable function on a set D E 21. Then for every c e R, we have the domain of definition of the function cf, 2)(c/) £ 21 and cf is a ^-measurable function on 33(c/). Proof. Clearly 2)(c/) c 2 ) ( / ) = D. Let us find 2)(c/) and show that it is a 2l-measurable set. If c e R and c ^ 0, then 2>(c/) = D e 21. If c = 0, then (cf)(x) = cf(x) is defined

§4 Measurable Functions

75

only if f(x) e R. so that 2) (c/) = J D : / e l ) e 21 by (b) of Corollary 4.5. This shows that 2>(c/) e 21 for every c e R. Let us show that cf is 2l-measurable on S)(c/) e 21. If c = 0, then (c/)(x) = 0 for every x e 2)(c/) and thus c / is 2t-measurable on 2)(c/) by Observation 4.8. If c > 0, then for every a € R, we have {2>(c/) : c / < a} = {D : f < §} € 21 by Lemma 4.4 so that c / is 2(-measurable on T>(cf). Similarly if c < 0, then we have {l)(cf) : c / < a) = {D : f > ^} e 21 by Lemma 4.4 so that cf is 2l-measurable on 2>(e/). • Theorem 4.12. Let (X, 21) be a measurable space and let f and g be two extended real-valued "XL-measurable function on a set D s 21. Then the domain of definition of the function f + g, £ > ( / + g) e 21 and f + g is a ^.-measurable function on £ > ( / + g). Proof. To find 1>(f + g) which is a subset of D let us recall that oo — oo and —oo + oo are undefined. Thus let D0 = {D /eljnjfl :,geR}e2l,

Di = {D / = - o o } n {D: g < oo} e 21, D2={D / = o o } n { D : g > - c o } e 21, / < oo} n (D : g = - o o } € 21, DA = \D / > - o o } fl \D : g = oo} € 21, D5 = {D / = oo} n \D : g = - o o } D6={D
G

21,

/ = - o o } n { D : g = oo} e 21.

Then {D* : & = 0 , . . . , 6} is a disjoint collection of subsets of D and U/t=o ^ = ^*Since / ( x ) + g(x) is defined on each of D o , . . . , D4 and undefined on D$ and D§, we have £>(/ + g) = | J ^ = 0 D* e 2t. To show the 2t-measurability of / + g on £>(/ + g), it suffices to show that / + g is 2l-measurable on D* for k = 0 , . . . , 4 according to (b) of Lemma 4.7. Since / + g has the constant value —00, 00, —00, and 00 on D\, D2, D3, and D4 respectively, / + g is 2l-measurable on each of these four sets by Observation 4.8. Regarding Do, we have {Do : / + g < a} = {Do : / < a — g} for every a e R. Let [r„ : n e N} be the collection of all rational numbers in R. Now if f(x) < a — g(x) then there exists a rational number r„ such that f(x) < r„ < a — g(x). Conversely if f(x) < rn < a — g(x) for some rational number r„, then f{x) < a — g(x). Thus {Do : / < a - g) = [ J {Do : / < r„ < a - g}
«€N

(J[{D0:/<r„}n{Do:r„
«€N

<a-g}] rn)]

= | J [{Do : f <rn}n{D0:g<aeSt.

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CHAPTER 1 Measure Spaces

(Regarding the first of the equalities above, note that for a rational number r„ such that f(x) < r„ < a - g(x) does not hold for any x e £>o we have {Z>0 : f < r„ < a-g] = 0.) This shows that / + g is 2l-measurable on Do. I Theorem 4.13. Let (X, 21) be a measurable space and let f and g be two extended real-valued Ql-measurable functions on a set D e 21. Then the domain of definition of the function fg, 2>(/g) e 21 and fg is a ^-measurable function on 2>(/g). Proof. Let us determine 3?(/g) c D. Recall that ±oo • 0 and 0 • ±oo are undefined. Let Dl = [{D:f = oo}u{D:f = - o o } ] n [D : g = 0} e 21,

D2 = [{D : g = oo} U [D : g = - o o } ] n {D : / = 0} e 2t. Then £>(/g) = D \ (D\ U D 2 ) e 21. To show the 2l-measurability of fg on 2 ) ( / g ) , note that 23 (/g) is the union of the following three sets: Eo = {£>(/£) : g = 0} e 21, £ i = {2>(/g) : g > 0} e 2t, £2 = (2>(/g) : g < 0} e 2L Now fg = 0 on £0 so that fg is 2l-measurable on £0 by Observation 4.8. Let [rn : n e N} be the collection of all rational numbers. Let a € R be fixed. Then for x € E\ we have / ( x ) g ( x ) < a, that is, f(x) < -^y,if andonlyif thereexistsr„ such that f(x) < rn < -j^. Thus we have

{£, : fg < a) = {£, : / < f} = U„€N {£1 : / < r„ < f}

= U [ l £ i : / < r « l n ( £ i : r «s < « } ] € 2tneN

where {Ei : r„g < a} e 21 since rng is 2l-measurable on £1 by Theorem 4.11. This proves the 2l-measurability of fg on E\. The 2l-measurability of fg on £2 is shown likewise. Then fg is 2l-measurable on 25 (/g) by (b) of Lemma 4.7. • Lemma 4.14. Let (X, 21) be a measurable space and let f be an extended real-valued fli-measurable function on a set D e 21. Then the domain of definition of the function i 4, 23(4) e 21 and 4 is a ^-measurable function on 2>(4) e 21. Proof. Let us note that 23 (y) = D \ {D : f = 0} € 21. To show the 2l-measurability of 4 on 2 ) ( 4 ) , we show that {23(4) : 4 > a} e 21 for every a e l , Let us observe that (1) (2) (3) 0<a <b=>±
l

>l

a<b<0^ ->l a < 0 < b =• i < i

§4 Measurable Functions 1. If a = 0, then {£>(}) : 4 > 0} = (2>(4) : / > 0} \ (2>(4) : / = oo} e 21. 2. If a > 0, then {2>(4) • j > a} = {2>(4) : 0 < / < ±} e 21. 3. If a < 0 , t h e n
yjl {*>(}) . f > a} = {£>(}) : 4 > a, f > 0} U {&(}) : j > a, f <

77

Since a < 0, we have (2>(4) : 1 > a, f > 0} = {2>(4) : / > 0} € 21. On the other hand a < 0 implies {£>(!) : 1 > «, / < 0} = {©(4) : / < I , / < 0} = {2>(4) : / < 1} e 2t. This shows that {2>(4) : 4 > a} e 21 for the case a < 0 and completes the proof of the 2l-measurability of 4 on 35 (4). •

Theorem 4.15. Lef (X, 21) fee a measurable space and let f and g be two extended real-valued %i-measurable function on a set D e 21. Then the domain of definition of the function 4, 3?(4) e 21 and 4 w a Ql-measurable function on 2 ) ( 4 ) . Proof. Let

D 0 - { D : / = 0},
£>i = { £ ) : / = oo} n {D : g = oo}, D 2 = {D : f = oo} n {D : g = - o o } , £>3 = { £ > : / = - o o } n { D : g = oo}, D4 = {D : f = - o o } n {D : g = - o o } . By (a) of Corollary 4.5, D, e 2C for i = 0 , . . . , 4. Then 2)(4) = D \ ( Uf=o D<) e a Since 4 = (4) • g, the 2l-measurability of 4 on 2 ) ( 4 ) follows from Lemma 4.14 and Theorem 4.13. • Theorem 4.16. Let (X, 21) be a measurable space and let f and g be two extended realvalued %l-measurable functions on a set D e 21. Then (1) (2) (3) (4)

[D f =

g}em

[D / < g } € 2 l [D / < s } e 2 l

{» / ^ g } e 2 t

Proof. To prove (1), note that the set [D : f — g\ is the union of the three disjoint sets [D : f = g = - o o } , [D : f = g = oo}, and {D : f = g e R). Now by (a) of

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CHAPTER 1 Measure Spaces

Corollary 4.5, [D : f = g = - c o } = {D : f = - c o } n [D : g = - o o } e 21. Similarly D : f = g = co! e 21. Finally, since / ( * ) = g(x) e R if and only if f(x) - g(jc) = 0, D : f = g eR} = {D: f - g = 0} = { © ( / - g) : / - g = 0} e 2t by Theorem 4.11, Theorem 4.12 and (a) of Corollary 4.5. Thus [D : f = g} is the union of three 2l-measurable sets and is therefore 2l-measurable. To prove (2), let {/"n : n e N} be the collection of all rational numbers in R. Then we have {D:f< g} = U n e N {D:f<rn<g} = U „ e N [{D : / < rn\ n {D : rn < g}] e 2t. Next by (1) and (2), we have {D : f < g} = {D : / = g} U {D : f < g} 6 21. This proves (3). Finally we have {D : f ± g\ = D \ [D : / = g) e 21 by (1). This proves (4). I

[III] Equality Almost Everywhere
Definition 4.17. Given a measure space (X, 21, /J,). We say that two extended real-valued fH-measurable functions f and g defined on a set D e 21 are equal almost everywhere and we write f = g a.e. on D if there exists a null set N in (X, 21, /x) such that N C D and f(x) = g(x)forxeD\N. Remark 4.18. In the definition above, f = g a.e. on D if / = g outside of a null set N of the measure space contained in D. This does not exclude the possibility that f(x) = g(x) for some, and indeed for every, x e N. If / and g are 2t-measurable on D, then the set Do = \D : f ^ g} is 2l-measurable by Theorem 4.16. If / = g a.e. on D, that is, / = g outside of a null set N, then Do C N and thus by the monotonicity of \x we have fJ-(Do) = 0. Remark 4.19. Almost everywhere equality of two functions are defined with respect to a given measure jiiona given cr-algebra of subsets of a set X. If more than one measures on a given cr-algebra 21 are under consideration, or more than one cr-algebras of subsets of X are under consideration, we say that f = g, //,-a.e. on D, or even f = g, (21, /n)-a.e. on D to indicate the measure fj, and the cr-algebra 21 to which the null set belongs. Observation 4.20. Let (X, 21, fi) be a complete measure space. (a) Every extended real-valued function / defined on a null set N in (X, 21, yu.) is 2l-measurable on iV. (b) Let / and g be two extended real-valued functions defined on a set D € 21 such that f = g a.e. on D. If / is 2l-measurable on D then so is g. Proof. 1. Let / be an arbitrary extended real-valued function defined on a null set N. Now N e 2(. To show that / is 2l-measurable on N, we show that for every a e R, the set {N : / < a} is a 2l-measurable set. But (X, 21, /x) is a complete measure space and this implies that every subset of the null set N is a 2(-measurable set. Thus our set { V : / < a) T is a 2l-measurable set. 2. Suppose f = g a.e. on D. Then there exists a null set N in the measure space (X, 21, /x) such that N C D and / = g on D \ N. If / is 2t-measurable on D, then / is

§4 Measurable Functions

79

2l-measurable on the 2l-measurable subset D \ N of D by (a) of Lemma 4.7. Since f = g on D \ N, g is 2l-measurable on D \ N. On the other hand since N is a null set in a complete measure space, g is 2l-measurable on N by (a). Thus g is 2l-measurable on D \ N and on N and therefore 2l-measurable on (D \ N) U N = D by (b) of Lemma 4.7. I

[IV] Sequence of Measurable Functions
Let (/„ : n € N) be a sequence of extended real-valued functions on a subset D of a set X. For each x e D, (/«(•*) : n e N) is a sequence of extended real numbers. Thus liminf fn(x) = lim { inf fk{x)} and limsup/„(x) = lim { sup fk(x)} always exist in
n-*oo «->oo n->oo jfc>n n->oo n^oo n->oo n^oo
k>n

R. lim /„(*) exists in R if and only if liminf fn(x) = lim sup We say that (fn(x)

fn(x).

: n 6 N) converges if lim /«(x) exists and lim fn{x) e R.

We say that (/„ : n e N) is a monotone sequence if (fn(x) : rc e N) is a monotone sequence of extended real numbers for every x e D. The functions min / „ , max / „ , inf /„, sup/„, liminf/„, limsup/„, and
n=l N n=\,...,N neN
n 6 pj

«eN

„6|5j

lim /„ are defined pointwise. Thus min
n=l,... ,/v

fn)(x)= /„)(x) :

min
n=l,... ,N

fn(x), fn(x),
A'

_max

max
n=\

inf/„)(*) = inf

f„(x),

sup/„)(x) = sup/„(x),
neN neN

liminf fn)(x)
neN

= liminf
neN

fn(x),

Hmsup/„)(jc) = lim sup/„(*),
neN neN

lim fn)(x)

= lim

fn(x).

Theorem 4.21. Let (X, 21) be a measurable space and let (/„ : n e N) be a monotone sequence of extended real-valued 'Si-measurable functions on a set D G 21. Then lim /„
n-»oo

exists on D and is Si-measurable on D. Proof. If (/„ : n £ N) is a monotone sequence on D, then (fn(x) : n e N) is a monotone sequence of extended real numbers so that lim fn(x) exists in R for every x e D. Thus
n—>oo

lim /„ exists on D.
n—>oo

Let us show the 2l-measurability of lim /„ on D. If (/„ : n £ N) is an increasing
n—>oo

sequence, then for any a e l w e have lim fn(x) > a if and only if fn(x)

> a for some

80

CHAPTER 1 Measure Spaces

n e N . Thus [D : lim /„ > a} - M„, N \D : fn > a) e 21. This shows that lim /„ is 2l-measurable on D by (ii) of Lemma 4.4. If (fn:ne N) is a decreasing sequence, then (—/„ : n e N) is an increasing sequence and thus lim (—/„) is Qt-measurable on D by
n—»oo

our result above. But lim ( - / „ ) = - lim /„. Thus - lim /„ is 2l-measurable on D.
n—>oo n—»oo n—>oo n—»oo

Then lim /„ is 2l-measurable on D by Theorem 4.11.


n—>-oo

In the proof above of the 2l-measurability of the limit function lim /„ of an increasing sequence ( / , : n e N ) , we applied criterion (ii) of Lemma 4.4 for 2l-measurability. Let us comment that criterion (iii) of Lemma 4.4 for 2l-measurability is not applicable here. For an increasing sequence (/„ : n 6 N) and an arbitrary a € R, we have lim fn{x) > a if and only if fn(x) > a for some n e N. However lim f„(x) > a $> fn(x) > a for some n e N.
n->oo

Consider for instance a strictly increasing sequence (fn(x) : n e N) such that fn(x) < a for every n € N and lim fn{x) = a. We have lim fn(x) > a but /„(*) < a for every
n->oo n->oo

« € N. Theorem 4.22. Let (X, 21) be a measurable space and let (/„ : n e N) be a sequence of extended real-valued ^.-measurable functions on a set D € 21. (a) The functions min /„, max /„, inf/„, sup /„, lim inf /„, and lim sup /„
n=l,...,N n=l,...,N nefi
nspj

«eN

„ej^

are ^-measurable on D. (b) Let De = \D : lim /„ £ R}. 77ien £><, € 21 < / < lim /„ is ^.-measurable on De. 2x f Proof. 1. Let us show the 2l-measurability of Then min {/i(x),... , /#(*)} < {D : min
a

min
n=\,...,N

/„ on D. Let a e R and x e D.

if and only if fn(x) < a for somen = 1 , . . . , N. Thus
N

/„ < a] = [j {D : fn < a} e 2t
n=\

by (iv) of Lemma 4.4. This proves the 2l-measurability of

min
n=l N

/„ on D. Similarly

max{/i(jc),... , fhiix)} > a if and only if f„(x) > a for some n = 1 , . . . , N so that
N

[D:

max

/„ > a) = ( J {D : /„ > a] e 21 max
n=\ N

by (ii) of Lemma 4.4. This proves the 2l-measurability of

/„ on D.

2. Let us show that inf /„ is 2l-measurable on D. Let a € R and x e D. Now inf fn(x) is the greatest lower bound of [f„(x) : n e N}. If the greatest lower bound of {fn(x) : n e N} is less than a then a is not a lower bound of {/«(-«) : n € N} so that fn(x) < aforsomen e N. Conversely if fn(x) < a for somen e N then since the greatest

§4 Measurable Functions

81

lower bound of {/„ (x) : n € N] does not exceed fn(x), it is less than a. Therefore we have inf fn(x) < a if and only if fn(x) < a for some n e N. Thus we have {D : inf /„ < a} = \J {D : f„ < a} e 21
weN

by (iv) of Lemma 4.4. This proves the 2l-measurability of inf /„ on D. 3. To prove the Qt-measurability of sup /„ on D, let us note that for sequence of extended
neN

real numbers {/„(*) : n e N] for x e D we have sup/„(x) = — inf ( — fn(x)).
nsN «sN

Now

the 2l-measurability of /„ on D implies that of —/„ by Theorem 4.11. Then inf ( — /„) is 2l-measurable on D by our result above. Then — inf (— fn(x)) is 2l-measurable on D by

Theorem 4.11. This shows that sup /„ is 2l-measurable on D. nen 4. Recall that lim inf /„ = lim {inf k>n fk \ where (inft> n fa : n e N) is an increasing
n->oo n->oo ' ' \ '

sequence. By our result above, inf k>n fk is 2l-measurable on D for every n e N. Then by Theorem 4.21, lim {inf^>„ fk) is 2l-measurable on D. This proves the 2l-measurability of lim inf fn on D. The 2l-measurability of lim sup /„ on D is proved likewise.
n

^-°°

n-xx> n-»oo «-><x> n->oo

5. To prove (b), note that since De = {D : lim inf /„ = lim sup /„} and since lim inf /„ and lim sup /„ are two 2l-measurable functions on D, we have De € 21 by (1) of Theorem 4.16. The 2l-measurability of lim inf /„ on D implies its 2l-measurability on De by (a) of Lemma 4.7. Then since lim /„ = lim inf /„ on De, lim /„ is 2l-measurable on De.
n—»oo n—>oo n—>-oo

Theorem 4.23. Let (X, 21) be a measurable space and let (/„ : n € N) &e a sequence of extended real-valued Ql-measurable functions on a set D € 21. Le? 0) (2) (3) (4) (5) £>, = {£>: lim fneR),

Dc = {D : lim /„ e R), £>oo = { # : lim /„ = co},
1

«->00

'

D-oo = \D : lim /„ = - c o } , D„e = \D:
1

lim fn does not exist],
n->oo '

.so fnaf D f and Dne are disjoint and De U Dne = D; Dc, Doo, and D_oo are disjoint and Dc U Z)oo U D_oo = D<,. 77ien De, D c , Doo, D_oo, D„e e 21 and lim /„ is ^-measurable
n—>oo

on eacn of De, Dc, Doo, and D_ooProof. By (b) of Theorem 4.22, De e 21 and lim /*„ is 2l-measurable on De. Then
n^-oo

D c e 21 and Doo, £>_oo e 21 by (b) and (a) of Corollary 4.5 respectively. By (a) of Lemma 4.7, lim /„ is 2t-measurable on D c , Doo, and D_oo. Finally Dne = D \ De e 21. I

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CHAPTER 1 Measure Spaces

Proposition 4.24. Let (X, 21) be a measurable space and let (fn:ne N) be a sequence of extended real-valued ^-measurable functions on a set D e 21. Let Dc be the subset of D on which the sequence converges and let Doo and D_oo be the subsets of D on which the limit of the sequence is equal to oo and —oo respectively. Then

(D

Dc= p | (J f | { D : \fN+p-fN\ < £ } ,

(2)
(3)

Doo=n u p)i D : /W+P ^«}.
meN WeN peN

meNWeNpeN

D_oo = P | U f| {D : fN+p < -m}.
meH WeN peN

Proof. 1. A sequence of real numbers (an : n e K) converges if and only if it is a Cauchy sequence, that is, it satisfies the condition that for every £ > 0 there exists N e N such that \a„ — a'n\ < s for n, n' > N. If a sequence of extended real numbers (a„ : n e N) converges then an e R for all but finitely many n e N so that there exists N e N such that an — a'n is defined for n,n' > N. Thus a sequence of extended real numbers converges if and only if it is a Cauchy sequence, that is, for every s > 0 there exists J V e N such that for n,n' > N the difference an — a'n is defined and |a„ — a'n\ < s. Now for each x e D we have a sequence of extended real numbers (fn(x) : n e N) and (fn(x) : n e N) converges if and only if it is a Cauchy sequence. Thus we have (fn(x) : n € N) converges

<S>Ve > 0, 3N € N such that |/„(JE) - /^(x)| < e forn, n' > N <3>Ve > 0, 3N € N such that |/AM- P (.X) - /JvOOl < e for all p e N <^Vm e N, 3iV e N such that \fN+P(x) - fN(x)\ < ± for all p e N

The expression (1) for Dc follows from this. (Let us note that the set [x e D : \fN+p(x) — fN(x)\ < ^} in (1) is the subset of D consisting of all points x e D at which \fN+p(x) — fN(x)\ exists and is less than —. It may be an empty set. This is the case when f^+P{x) = fnix) = oo for every x e D so that \fN+p(x) — /N(X)\ does not exist for any x € D. However if (f„(x) : n g N) converges at some x € D, then there exists N E M such that f„(x) € R for all n > N and
{x e D : I / A M . , 0 0 - / w ( x ) | < £ } ^ 0 for all p e N.)

2. Now lim fn(x) = oo if and only if for every m e N there exists N e N such that
«-»oo

/«(•*) >; m for every n > N, that is, fN+P(x) (2). Similarly for (3). I

> m for every p e N. From this we have

Notations. For two extended real-valued functions / and g defined on a set D, we write / A g = min {/, g) and / v g = max {/, g], that is, ( / A g)(x) = min {f(x), g(x)} and ( / v g)(x) = max {f(x), g(x)} for x € D.

§4 Measurable Functions

83

Definition 4.25. Let f be an extended real-valued function on a set D. The positive part f+, the negative part f~, and the absolute | / | of f are nonnegative extended real-valued functions on D definedfor x € D by setting / + ( * ) = ( / v O ) ( x ) = max{/(x),0},
/ " ( * ) = - ( / A 0)(JC) = - m i n { / ( j t ) , 0 } ,

|/|(x) = |/(x)|. Note that at any x € D, at least one of f+(x) and f~(x) difference f+(x) — f~(x) is always defined and moreover f+(x) We have also f+(x) + f~(x) = max{/(x), 0} - min{/(x), 0} = | / ( x ) | = | / | ( x ) . is equal to 0 so that the

- f~(x) = max{/(x), 0} + min{/(x), 0} = / ( * ) .

Proposition 4.26. Let f be an extended real-valued ^.-measurable function on a set D e 2t where 21 is a a-algebra of subsets of set X. Then f+, f~, and | / | are ^.-measurable functions on D. Proof. The 2l-measurability of / | / | is from Theorem 4.12. •
+

and / ~ is from Theorem 4.22. The 2t-measurability of

[V] Continuity and Borel and Lebesgue Measurability of Functions on R
An extended real-valued function / on a subset D of R is said to be continuous at x$ e D if f(xo) € K and if for every e > 0 there exists S > 0 such that | / ( x ) — /(xo)| < e for every x e (XQ — S, xo + &) n D. We say that / is continuous on D if / is continuous at every x e D. It follows then that if / is continuous on D, then its restriction to a subset Do of D is continuous on DoLet D\ and Di be two disjoint subsets of R. Let f\ and fi be continuous on D\ and D2 respectively. If we define a function / on D\ U D2 by setting

(

fi(x) /2O)

forx e D\, forx e D2,

then / may not be continuous on D\ U D2 and in fact it may be discontinuous at every x € D\ U Z>2- (Thus if we merge two continuous functions, the result may not be a continuous function. Compare this with (b) of Lemma 4.7 according to which the result of merging countably many measurable functions is a measurable function.) Example. Let Q and P be respectively the set of all rational numbers and the set of all irrational numbers in R. We have Q n P = 0 and Q U P = R. Let /1 be defined on Q

84

CHAPTER 1 Measure Spaces

by setting fa (x) = 1 for every x € Q, and let fa be defined on P by setting f2(x) = 0 for every x € P. Since / i is constant on Q, it is continuous on Q. Similarly fa is continuous on P. If we define a function / on Q U P = R by setting

/(*) =

/i(x)=l
f2(x) = 0

forxe Q,
fOTX 6 P ,

then / is discontinuous at every x e R. Since fa is constant on Q € 95R, / I is ?BR-measurable on g by Observation 4.8 and similarly fa is *BR-measurable on P. Then / is 25R-measurable on Q U P = R by (b) of Lemma 4.7. Actually the 2iR-measurability of / on R can be shown directly by observing that for every a e R w e have 0 € *8R R e 25R for a e ( - o o , 0 ) , for a e [1, oo). •

{x € R : /(*) < a} = P e «BR for a e [0,1),
Recall that a real-valued function / on a subset D of R is continuous on D if and only if for every open set O in R we have / _ 1 ( 0 ) = D D V where V is an open set in R. Theorem 4.27. Let f be a real-valued continuous function on a subset D o/R. (a) If D e 2SR, then f is V&^-measurable, and hence VUlL-measurable also, on D. (b) If D e 97l t , then f is WlL-measurable on D. Proof. 1. Suppose D e 2SR. TO show that / is 2$R-measurable on D, it suffices to show that f~x (O) € 25R for every open set O in R by (b) of Theorem 4.6. Now the continuity of / on D implies that / - 1 (O) = D n V where V is an open set in R so that f~l (O) e *8R. Thus / is 2$R-measurable on D. Since 2$R C 9Jt L , / is also QJl^-measurable on D by (a) of Observation 4.2. 2. If D e VJlL, then / _ 1 ( 0 ) = D n V € VJlL so that / is VJlL-measurable on D by (b) of Theorem 4.6. I Theorem 4.28. Let f be a real-valued 9JlL-measurable function on a set D e VUlL and let g be a real-valued *&-^-measurable function on a set E € 2 3 R such that E D f(D). Then the composite function g o / is a real-valued VOlL-measurable function on D. Proof. If / is a real-valued 9JlL-measurable function on D € VUlL then / is a SOT L /25Rmeasurable mapping of D into R by Theorem 4.6. Similarly if g is a real-valued 23Rmeasurable function on E e 33R then g is a *8R/2$R-measurable mapping of E into R by Theorem 4.6. Since f(D) C E the composite function g o / is defined on £> and then by Theorem 1.40 (Chain Rule of Measurable Mappings) the mapping g o f is a 9 J I L / 2 5 R measurable mapping of D into R, that is, the function g o f is a real-valued 2Jt t -measurable function on D. • Corollary 4.29. Let f be a real-valued %JlL-measurable function on a set D e 9PtL and let g be a real-valued continuous function on a set E € 25R such that E D f(D). Then the composite function g o / is a real-valued VUlL-measurable function on D.

§4 Measurable Functions

85

Proof. A real-valued continuous function g on a set E € 23R is a 2$R-measurable function on E by (a) of Theorem 4.27. Thus the Corollary is a particular case of Theorem 4.28. I Definition 4.30. Given a measure space (R, 21, )i). Let f be an extended real-valued function on a set D e 21. We say that f is continuous a.e. on D (or to be more precise, (21, [i)-a.e. on D), if there exists a null set N in (R, 21, ix) such that N C D and f is continuous at every x e D \ N. Theorem 4.31. Let f be an extended real-valued function on a set D e 9Jl L . / / / is continuous (9DTt, p.L)-a.e. on D, then f is $JlL-measurable on D. Proof. Since / is continuous a.e. on D, there exists a null set N in (R, VOlL, p,L) such that N C D and / is continuous at every x e D\N. The restriction f\ of / to D \ N is continuous at every x e D \ N and thus VOlL -measurable on D \ N by (b) of Theorem 4.27. On the other hand the restriction fa of / to N is 271^-measurable on N since every function on a null set of a complete measure space is measurable on the null set by (a) of Observation 4.20. The 9JTL-measurability of f\ on D \ N and the £D?L-measurability of fa on N imply the 9JlL -measurability of / on (D \ N) U N = D by (b) of Lemma 4.7. • In general if D e 58K or D e 2JlL and / is a continuous function on D, the image of D by / , / ( D ) , may not be in 5BR or VJtL. However we have the following special case. Proposition 4.32. Let f be a real-valued function with both £ ) ( / ) and SH(/) in 23R. Suppose f is a homeomorphism (that is, f is continuous and one-to-one and its inverse function is also continuous). Then for every V&a-measurable subset B ofCD(f), we have f(B) e *8 R . Proof. Let g be the inverse function of / . Then we have 33(g) = SH(/) 6 2 3 R and 91(g) = 33(/) e 2 5 R . Since g is continuous on 23(g) e 2$R, g is a 23R-measurable function on 23(g) by (a) of Theorem 4.27. Then g is a 23R/2$R-measurable mapping from R to R. Let B c 23(/) and B e 2 5 R . Since / and g are one-to-one, we have f(B) = g~l(B). Since g is a 2iR/2$R-measurable mapping, we have g - 1 ( 5 ) £ 2 3 R . This shows that f(B) e <8 R . I

[VI] Cantor Ternary Set and Cantor-Lebesgue Function
[VI.l] Construction of Cantor Ternary Set Let To = [0, 1]. Let 7i,i = ( i , | ) , the open middle third of T0. Let G\ = / u and let T\ = TQ\G\. Let h,\ and fa2 be the open middle thirds of the two closed intervals constituting T\. Let Gi be the union of I\\\ fa\, h,2 and let 7/2 = To \ G2. Let ^3,1, h,2, 733, and ^3,4 be the open middle thirds of the four closed intervals constituting 7/2- Let G3 be the union of I\i; fai, h,T, h,i, h,2< h,?>, h,A a n d 73 = To \ G3, and so on. In general let Ik, 1, . . . , h,2k-1 D e m e open middle thirds of the 2k~' closed intervals constituting Tk-\. Let Gk be the union of 7i,i; . . . ; / * , ! , . . . , /j. 2*-i and T^ = To\Gk- Gk

86

CHAPTER 1 Measure Spaces

is the union of 2° + 2 1 + 2 2 H h 2k~l = 2k - 1 disjoint open intervals contained in 7b and (Gk : k e N) is an increasing sequence of open sets contained in To. Tk is the union of 2k disjoint closed intervals contained in 7b and (7* : k e N) is a decreasing sequence of closed sets contained in 7b. Let G = lim Gk = I I Gk
k—nx ^-s ken

and T =

T0\G.

We call T the Cantor ternary set. Note that T n G = 0, T U G = [0,1] and T = To \ G = T0 n Gc = T0 n ( \J G^
JteN

= 7b n ( p | Gck)
iteN

= n ( 7 b n G £ ) = p|(7b\G*) = p | 7 * = lim Tk.
iteN jteN ifceN

Theorem 4.33. 77ie Cantor ternary set T has the following properties: (a) T is a null set in the Borel measure space (R, 2$R, p,L). (b) G = [0, 1] \ T is a union ofcountably many disjoint open intervals in R; G is dense in [0,1], andnL(G) = 1. (c) T is an uncountable set. Indeed the cardinality of T is equal to c, the continuum. (d) T is a compact set in R. (e) T is a perfect set in R, that is, T is identical with the set of all its limit points. (f) T is nowhere dense in R, that is, the interior of its closure, Cr) , is an empty set. Proof. 1. Since T is a closed set, T e 58R. Since (Tk : n e N) is a decreasing sequence contained in [0,1] and lim Tk = T, we have p.L(T) — IJLA lim 7*) = lim \xL (Tk).
&-»oo k—>oo k-+co

Now p.L(To) — 1, fiL(T\) = \, p-L(T2) = ( | ) , and so on and in general nL(Tk)

= (|)

for i e N . Thus (iL(T) = lim (§)* = 0. This shows that T is a null set in (R, *8R, fiL). 2. G = [0,1] \ T is a union of countably many disjoint open intervals in R. Being a null set in (R, 25R, /Lit) by (a), T is a null set in (R, VSKh, nL). Then by Observation 3.6, Tc is dense in R. Since G = [0,1] n Tc, the denseness of Tc in R implies the denseness of G in [0, 1]. Since G U r = [0, 1] and p.L(T) = 0, the additivity of p,L on * 8 R implies that/x L (G) = /xL([0, 1]) - fiL(T) = 1. 3. r is the result of indefinitely iterated process of deleting open intervals from [0, 1]. In the first step an open interval is deleted from [0, 1], leaving 2 disjoint closed intervals. In the second step an open interval is deleted from each of the 2 disjoint closed intervals, leaving 2 2 disjoint closed intervals. In the third step an open interval is deleted from each of the 2 2 disjoint closed intervals, leaving 2 3 disjoint closed intervals and so on indefinitely. The two endpoints of each of the 2k disjoint closed intervals in the fc-th step of deletion are never deleted in subsequent steps of deletion and are thus elements of T. Thus the cardinality of T is at least equal to 2^° = c, the continuum. Since T C [0, 1] and the cardinality of [0,1] is equal to c, the cardinality of T is equal to c. 4. T is a bounded closed set and is thus a compact set in R.

§4 Measurable Functions

87

5. Let T be the set of all limit points of T. Since T is a closed set, we have T D 7". It remains to show that T C T'. To show that every xo € T is a limit point of T, we show that (xo — S, xo + <$) contains at least one point of T other than xo itself for every S > 0. Now since XQ € T and T = f\eN Fk, w e n a v e *<> e 7* for every A: e N. Given S > 0, let fc e N be so large that A < <5. Since xo 6 7* and since 7* is the disjoint union of 2k closed intervals each with length A, the one closed interval among the 2k constituting T that contains xo is contained in (xo — <5, xo + 8). Thus (xo — S, xo + S) contains points of T other than xo. Thus T C T'. This shows that T = T'.

6. Since T is a closed set, we have T = T and then (T) = T°. To show that T° = 0, assume the contrary. Then T° is a non-empty open set in R so that fiL{T°) > 0 by Observation 3.10. This contradicts the fact that nL(T) = 0. Therefore T° = 0 and then (T)° = 0. .

If I is an open interval in R then £iL(7) > 0. A set £ e 9JlL with IJ-L(E) > 0 need not contain an open interval. The set of all irrational numbers in an interval is such a set. Below we present a closed set F in R with IJ-L(F) > 0 and containing no open interval. Its construction resembles that of the Cantor ternary set.

Example. Let a e (0, 1). We have J^neN ^a = a- F r o m t n e closed interval [0, 1] delete an open interval in the center with length j a . From each of the two resulting closed intervals delete an open interval in the center with length \ ^a. From each of the resulting closed intervals delete an open interval in the center with length \hct and so on. If we let G be the union of all the deleted open intervals, then G is an open set contained in [0, 1] and nL(G) = ^a + ^a + j^a + • • • = a. The set F = [0, 1] \ G is a closed set and /J.L(F) — 1 — a > 0. The fact that F contains no open intervals can be shown as follows. After tt-th step in the process of deleting open intervals, we have deleted an open set Gn with nL(G„) = {j + j j + • • • + ^ r } a = {l — F)"- ^ e a r e 1 ^ w ' t n a c l° s e < i s e t Fn consisting of 2" disjoint closed intervals each with length ^r[l — {1 — j r } a ] < ^r- Note that F = [0, 1] \ G = [0, 1] n ( U „ £ N Gn)c = [0, 1] n ( n „ e N Fn) = n n e N Fn- Now let / be an open interval. Then fi := ^L(I) > 0. Let n e N be so large that ^ < /3. Since Fn is the union of disjoint closed intervals of length less than ^r, / cannot be contained in Fn. Then / cannot be contained in F = f\eN Fn •

[VI.2] Cantor-Lebesgue Function The open set G, defined in the construction of the Cantor set, is the union of the disjoint open intervals: /i,i; Ii,\, h,2\ h,\, h,2, h,3, h,4> • • • ! h,\, • • • . h,2k~1' • • • • w ' m length £(Ikj) = 1/3* for j = 1 , . . . , 2k~l and k e N. Let us define a real-valued function TQ on

CHAPTER 1 Measure Spaces G by setting for x in jr> ^ x0(x) 2T- 2^' 2^' ? I\\,

for^ in/2,i, 72,2 respectively, for x in 72,1,
for

*

in

^ . l . 73,2, /3,3, h,4 respectively,

2*, • • • , - j j - for x in 7jt,i,... , 7tj2*-i respectively,

Thus defined, to is an increasing function on G. If x' and x" are two points in G and if the distance between the two is less than p , then the difference between r(jt') and x(x") does not exceed A. Thus for every e > 0, if k e N is so large that A < e, then
, x " € G,

|*' - x"\ < Jf => |r 0 (x') - r 0 (x")| < ^ < s.

Thus to is uniformly continuous on G. This implies that to has a unique continuous extension to G. Since G is dense in [0, 1] we have G = [0, 1]. Let r be the continuous extension of ro to [0,1]. We call this function the Cantor-Lebesgue function on [0,1]. Theorem 4.34. The Cantor-Lebesgue function x on [0, 1] has the following properties: (a) x is continuous on [0, 1]. (b) x is increasing on [0, 1].
(C)T(0) = 0 and r ( l ) = 1.

Proof. By its definition, r is continuous on [0, 1]. To show that r is increasing on [0, 1], let x', x" e [0, 1] and x' < x". Now since G is dense in [0, 1], we can select two sequences (a„ : n e N) and (bn : n e N) in G such that an < bn for every n e N and an | x' and bn t x". By the continuity of r on [0,1], we have lim x(an) = x(x') and lim x(bn) = x (x"). Since T is increasing on G and since an, bn e G and a„ < &„, we have r(a„) < r(i>„) for n e N. Thus lim x(an) < lim r(fe„), that is, x(x') < x(x"). This shows that x is
n—>-oo n—*-oo

increasing on [0, 1]. To show that r (0) = 0, consider the following sequence of intervals in the construction o f T : 7 U = ( | , f ) , 7 2 , 1 = ( ^ , ^ ) , / 3 , i = ( ^ , ^ ) , . . . , / t , i = ( £ . £ ) . • • • Letoc* be the midpoint of 7^,i, that is, xk = I A, for A € N. Then lim Xk = 0. From our ; definition of x on G, we have x(xk) = i . Then by the continuity of r at x = 0, we have r(0) = T ( lim x^) = lim r ( ^ ) = lim A = 0. We show similarly that T ( 1 ) = 1. I
£-•00 /t->oo k->oo
z

We use the Cantor ternary set and the Cantor-Lebesgue function to construct: (a) a strictly increasing continuous function transforming a null set with Lebesgue measure 0 into a set with positive Lebesgue measure, (Proposition 4.37), (b) a continuous function transforming a Lebesgue measurable set into a non Lebesgue measurable set, (Proposition 4.38),

§4 Measurable Functions

89

(c) a 97tL-measurable function / and a 9JtL -measurable set E such that f (E) is not SDTL -measurable, (Proposition 4.39), (d) a Lebesgue measurable set which is not Borel measurable, (Proposition 4.40). Proposition 4.35. Let X be an arbitrary topological space and Y be a Hausdorjjspace. Let fbe a continuous mapping of a compact set K in X into Y. If f is a one-to-one mapping, then f is a homeomorphism ofKtof(K). Proof. The compactness of K and the continuity of / imply that f(K) is a compact set in Y. Consider the relative topology on K derived from the topology of X and the relative topology on f(K) derived from the topology of Y. If C is a closed set in K then C is a compact set in K so that / ( C ) is a compact set in f(K). Since Y is a Hausdorff space, f(K) is a Hausdorff space and this implies that the compact set / ( C ) in f(K) is a closed set in f(K). Thus / ( C ) is a closed set in f(K) for every closed set C in K. This implies that f(V) is an open set in f(K) for every open set V in K. Now since / is a one-to-one mapping, an inverse mapping g exists. For every open set V in K, g~l(V) = f(V) which is an open set in f(K). This shows that g is a continuous mapping of f(X) to K. Therefore / is a homeomorphism of K to f(K). • Lemma 4.36. Let <p = r + ( where x is the Cantor-Lebesgue function on [0, 1] and i is the identity mapping o/[0, 1], that is, i(x) = x for x e [0, 1]. Then (p is a homeomorphism of[Q, 1] onto [0, 2]. Furthermore both cp and its inverse function \)r are strictly increasing functions on their respective domains of definition. Proof. Since both x and i are real-valued, continuous, and increasing on [0, 1], so is <p = T + 1 . Since r(0) = 0, r ( l ) = 1, ((0) = 0, and ((1) = 1, we have <p(0) = 0 and <p{\) = 2. By the Intermediate Value Theorem for continuous functions, for every a e (0,2) there exists x e (0,1) such that cp(x) = a. Thus <p([0,1]) = [0, 2]. Since x is increasing and i is strictly increasing on [0,1], cp = x +1 is strictly increasing on [0, 1]. Thus <p maps [0, 1] one-to-one onto [0, 2]. Then by Proposition 4.35, ip is a homeomorphism of [0, 1] to [0, 2]. The inverse function \js of <p is defined on [0, 2] and maps [0, 2] one-to-one onto [0,1]. Since <p is increasing on [0,1], ij/ is increasing on [0, 2]. Since i/r is one-to-one, it is strictly increasing. I Proposition 4.37. There exists a strictly increasing continuous function f on [0, 1] and a compact set K C [0, 1] such that K is a null set in (R, 23R, /XL) and /J,L (f(K)) = 1. Proof. We show that the function <p = x + i in Lemma 4.36 and the Cantor ternary set T are such function and set. Let G be the open set defined in the construction of T. G is the union of countably many disjoint open intervals. Let (Jn : n e N) be an enumeration of the open intervals constituting G. Let c„ be the value of the Cantor-Lebesgue function on Jn for n e N. Then <p(Jn) = (t + x)(Jn) = Jn + c„, the c„-translate of Jn. Thus <p(G) = ip(UneN Jn) = LLEN (Jn + c„) e ?BR. Form ^ n, if the open interval J„ is to the left of the open interval Jm, then c„ < cm since x is an increasing function. Thus Jn + cn and Jm + cm remain disjoint. Then by the countable additivity of p,L and by the translation

90 invariance of (R, WlL, fiL), we have

CHAPTER 1 Measure Spaces

HL{<p{G)) = Y/fiL(J„
neN

+ c„) = J2^L(Jn)
«€N

= /i t (G) = 1.

Now <p(T) = <p([0,1] \ G) = tp([0, 1]) \ <p(G) = [0, 2] \ <p(G) e 5BR and hence ^ (ip{T)) = ixL ([0, 2]) - \iL ((p(G)) = 2 - 1 = 1. Thus for the Cantor ternary set 7", which is a compact set in Rand a null set in (R, <8R, /J,L) and for the strictly increasing continuous function <p on [0, 1], we have \iL (cp(T)) = 1. | Proposition 4.38. There exist a set E e DJlL and a continuous function f on an interval containing E such that f(E) g OT^. Proof. Let T be the Cantor ternary set and let the function <p and \jr be as in Lemma 4.36. We showed in the Proof of Proposition 4.37 that <p(T) e *8R and \iL (<p(T)) > 0. Then by Theorem 3.45, there exists a set A c <p(r)suchthatA $VRL. Nowf(A) C i/(<p(T)) = T. Since T is a null set in the complete measure space (R, 9JtL, fiL), its subset ty(A) is a null set in (R, mL,fiL). Let E = f(A) and / = <p. Then E C [0,1], E e DJlL, f is a continuous function on [0, 1] and f(E) — (<p o i/f)(A) = A ^ SDTL. I I f / is a real-valued 90?L-measurable function on a set D e SDT^, then / is aSXJt^/SJRmeasurable mapping by (a) of Theorem 4.6 so that f~l(B) e 9JlL for every B e 23R. However for E € DJt^, we may not have f~l(E) e 97t t . An example is given in the next Proposition. Proposition 4.39. There exists a real-valued %ytL -measurable function f for which we have f-\E) &DJlL for some E € WlL. Proof. Let T, A, <p and iff be as in Proposition 4.38. We have A c (p(T), A g 9JiL and V'(A) e 9JI L . Now ^ is a real-valued continuous function on [0, 2] and hence a SDT^measurable function on [0, 2]. Since t/r is a one-to-one mapping, we have i ^ - 1 (^(A)) — A g 9JtL. Let / = ijr and E = f{A). Then / is a real-valued 93?t-measurable function

on [0,2], E€tmL

and f~l(E)

= f~x (f(A)) =A £97t L . I

Proposition 4.40. 77iere exists E e £D?L SMC/I that E g *8R. Proof. Let T, A, < and \fr be as in Proposition 4.38. We have A c (p(T), A & 9JtL p and ir(A) 6 971^. Let us show that ir(A) g 2$R. NOW since <p is a homeomorphism of [0, 1] onto [0, 2], for every 2$R-measurable subset B of [0, 1] we have <p(B) e 2$R by Proposition 4.32. Thus if f{A) e «8 K , then ^ ( A ) ) e *8R. But p(^(A)) = A £ 0Jt t and consequently <pi^jf (A)) ^ 33R. This shows that ^r(A) £ 2 J R . •

§4 Measurable Functions

91

Problems
Prob. 4.1. Given a measurable space (X, 21). Let / be an extended real-valued function on a set D € 21. Let Q be the collection of all rational numbers. (a) Show that if {x e D : f(x) < r] e 21 for every r e Q then / is 2l-measurable on D. (b) What subsets of R other than Q have this property? (c) Show that if / is 2l-measurable on D, then there exists a countable subcollection <£ of 21, depending on / , such that / is a(<£)-measurable on D. Prob. 4.2. Let < be a collection of subsets of a set X. Consider a((E), the smallest aE algebra of subsets of X containing <E. Let / be an extended real-valued a (<E)-measurable function on X. Show that there exists a countable subcollection <£ of <£ such that / is <x(<£)-measurable on X. Prob. 4.3. Show that the following functions defined on R are all Borel measurable, and hence Lebesgue measurable also, on R : (a) f(x) = 0 if x is rational and f(x) = 1 if x is irrational. (b) f(x) = x if x is rational and f(x) = — x if x is irrational. (c) f(x) ~ sinx if x is rational and f(x) = cosx if x is irrational. Prob. 4.4. Let fix) be a real-valued increasing function on R. Show that / is Borel measurable, and hence Lebesgue measurable also, on its domain of definition. Prob. 4.5. Let / be an extended real-valued Borel measurable function on a set D e 33R. Show that if we redefine / arbitrarily on a countable subset Do of D the resulting function is still Borel measurable on D. Prob. 4.6. Let D be a countable subset of R. Show that every extended real-valued function / on D is Borel measurable on D. Prob. 4.7. Let / be an extended real-valued function defined on an interval / in R. Let Q be an arbitrary countable subset of R. Show that if / is continuous at every x e I\Q, then / is Borel measurable on / . Note that the countable set Q may be dense in / . For instance Q may be the set of all rational numbers in / . Below are some examples of functions of the type being considered. (a) Let (c* : k e N) be an arbitrary sequence of real numbers. Let / be a real-valued function on R defined by I tanx for* ^ (2fc + l ) f for £ e Z, fix) = I [ ck forx = (2k+ 1 ) | fork e Z. (b) / is a right-continuous step function on R defined as follows. Let {xk : k e Z) be a sequence in R such thatx^ < Xk+\ for k e Z with lim Xk = - c o and lim xt = oo. k-*—oo t->oo Let ( Q : k 6 Z) be a sequence of real numbers. Define / by f(x) = Ck for x 6 [x^, x^+i) for it e Z . (c) Let Q be the collection of all rational numbers in (0, oo). Let each x e Q be expressed as %• where p and q are positive integers without common factors. Define a function / on (0, oo) by setting

92 \ j- if JC € Qandx [ 0
X € (0, 00).

CHAPTER 1 Measure Spaces = £,

if x

G

(0, oo) \ 2-

Show that / is discontinuous at every rational x e (0, oo) and continuous at every irrational

Prob. 4.8. Let / be an extended real-valued 97tL-measurable function on a set D e DJlL. Show that ( V l / I ) is a WlL-measurable function on D. Prob. 4.9. Consider the Lebesgue measure space (R, £DtL, /x L ). Let / be an extended real-valued function defined on R. Consider the following two concepts: (i) / is continuous a.e. on R, that is, there exists a null set N in (R, 9JlL, ixL) such that / is continuous at every x eR\N, (ii) / is equal to a continuous function a.e. on R, that is, there exist a continuous function g on R and a null set N in (R, WtL, nL) such that f(x) = g(x) for every x eR\N. To show that these are two different concepts: (a) Construct a function which satisfies condition (ii) but not (i), (b) Construct a function which satisfies condition (i) but not (ii). Prob. 4.10. Let (fn : n e N) and / be extended real-valued functions on a set D. Show that if lim fn(x) = f(x) at some x <= D, then we have both lim /„ + (x) = f+(x) and
n->oo lim / " ( * ) = / " ( j c ) .
It—t-OO

n->oo

Prob. 4.11. Let / and g be two real-valued functions on R. (a) Show that if / and g are 25R-measurable on R, then so is g o / . (b) Show that if / is 971^-measurable on R and g is 2$R-measurable on R, then g o / is £DTt-measurable on R. Prob. 4.12. Let X be a set and let (J, &) be a measurable space. Let T be a mapping from X to Y. Show that T~l(&) is a cr-algebra of subsets of the set 3?(7"), and in particular, if S ) ( r ) = X then T~l(&) is a cr-algebra of subsets of the set X. Prob. 4.13. Given two topological spaces (X, Dx) and (F, £>y). Let tBx = cr(Dx), that is, the Borel cr-algebra in X, and similarly let 25y = o^Dy). Show that if T is a homeomorphism of (X, D x ) onto (Y, Or), then r _ 1 ( « 8 r ) = <8 X and 7(23*) = &Y(Hint: Show first that the fact that 2Sy is a tr-algebra of subsets of Y implies that T~x (58^) is a cr-algebra of subsets of X.) Prologue to Prob. 4.14 to 4.19. Note that the infimum and the supremum of uncountably many QJtL-measurable functions may not be DJtL -measurable. To construct an example, let E be a non fXHL -measurable set contained in (0,1) and define a real-valued function F on (0,1) x (0,1) by for (x,y) e (0,1) x (0,1) with x = y e E, F x ( > y) - l n otherwise on (0,1) x (0, 1). Foreachv e (0, lXdefmeafunction/yOntO, 1) by setting fy(x) = F(x,y)forx e (0, 1). Consider the uncountable collection of functions [fy : y e (0,1)). For each y e E,

(S

§4 Measurable Functions 1 when* = y, 0 when* e (0,1) \ {y}. ! and for each y e (0,1) \ E, we have fy(x) = 0when;c e (0,1).

93

/,(*)

Thus fy is a 9PTt-measurable function on (0,1) for each y e (0, 1). But _ I 1 when* € F , sup, 6( o,i) / > W - | 0 w h e n x e (0> 1 } x E Since £ £ 97tL, the function s u p ^ g ^ fy is not 2JtL-measurable on (0,1). Prob. 4.14. Let g be a continuous function on an interval / in R. Let (rn : n e N) be the collection of the rational numbers in / . Show that inf {g(y) :yel} = inf [g{r„) : n e N},

sup{g(y) : y € /} = sup{g(r„) : n e N ) . Prob. 4.15. Let D e %JlL and let F be a real-valued function on D x (c, rf) satisfying the conditions: 1°. For each y £ (c, rf), F(-, y) is a 93?^-measurable function on D. 2°. For each x e D, F(x, •) is a continuous function on (c, d). Show that ^ and •f defined by tp(x) = mfye(Ctd) F(x,y) and\l/(x) = s u p ^ ^ F(jc,y)for x £ D are 9JtL -measurable on D. Prob. 4.16. Let F be as in Prob. 4.15. Show that for if yo = c or d, then liminf F(-, y) and lim sup F(-, y) are DJlL-measurable functions on D.
y-»yo

Prob. 4.17. Let F be as in Prob. 4.15. Show that if yo = c or d, the subset of D on which the function lim F(-, y) exists is a OT,-measurable set and the function lim F(-, y) is DJiL -measurable on the subset. Prob. 4.18. Let / be a real-valued continuous function on R. For x e R, let

if the limit exists in 1 . (We say the / is differentiable at x e R only if (j£) (x) e R.) Show that S ) ( ^ ) € 23R and g£ is *8R-measurable on 3 > ( ^ ) . Prob. 4.19. Let F be a real-valued continuous function on [a, b] x [c, </]• Show that the function / defined on [a, b\ by f(x) = / c F(x, y) rfy for x G [a, b] is a 97^-measurable function on [a,b]. Prob. 4.20. Let (X, 21, /it) be a measure space and let / be an extended real-valued 21measurable function on X. Let Ex = {X : \f\ > X] and <p(X) = ^i(Ei) for X e [0, oo). (a) Show that <p is a nonnegative extended real-valued decreasing function on [0, oo). (b) Show that if y>(Xo) < oo for some Xo e [0, oo), then <p is right-continuous on [Ao, oo). Prob. 4.21. Let (X, 21, fi) be a measure space. Let (/„ : n e N) be an increasing sequence of nonnegative extended real-valued 2l-measurable functions on X and let / = lim /„ on
n—>oo

94

CHAPTER 1 Measure Spaces

X. For X e [0, oo) let En = {X : fn > A}for n € N and let E = [X : f > X}. Show that
lim En = E and lim MC^VI) = /"-(£)•

Prob. 4.22. Let us call a sequence (an : n e N) of extended real numbers eventually monotone if there exists «o € N such that (an : n > no) is monotone, that is, either increasing or decreasing. Let (X, 21, /x) be a measure space. Let ( / „ : « € N) be a sequence of extended realvalued 2l-measurable functions on X such that (fn(x) : n € N) is eventually monotone for every x e X. Let / = lim /„ on X.
n—>oo

For A € [0,oo) let E„ = {X : | / „ | > X} for n e N and let E = [X : | / | > X). (a) Show that lim En = E.
n—>oo

(b) Show that if (X, 21, /x) is a finite measure space then lim /J-(En) = [i(E).
«->oo

Prob. 4.23. Let (X, 21, /x) be a measure space. Let (/„ : n e N) and / be extended real-valued 2l-measurable functions on a set D e 21 such that lim /„ = / on D. Then
n—>oo

for every o f g l w e have (1) ix\D : f >a\
1

<liminf n{D : /„ > a]
' «—>oo
l

'

(2)

n{D : / < a } <liminf n\D : /„ < « } .

§5 Completion of Measure Space

95

§5 Completion of Measure Space
[I] Complete Extension and Completion of a Measure Space
By Definition 1.34 a measure space (X, 21, p) is called a complete measure space if every subset of a null set in (X, 21, p) is a member of 21. According to Theorem 2.9, a measure space constructed by means of an outer measure is always a complete measure space. In particular the Lebesgue measure space (R, 9JtL, pL) on R is a complete measure space. Definition 5.1. Given a measure space (X, 21, p). If there exists a complete measure space (X, S, v) such that 5 D 21 and v = p on 21, then We say that (X, S, v) is a complete extension of {X, 21, p). If there exists a complete extension (X, So> ^o) of(X, 21, p) such that for any complete extension (X, S, v) of (X, 21, p) we have S D So and v = VQ on So> tlien we call (X, So> yo) a completion of (X, 21, p). A completion is thus a smallest complete extension. For an arbitrary measure space (X, 21, p), if a completion exists then it is unique. Indeed if(X, S i , D])and(X, §2. ^2) are two completions of (X, 2t, ju,), then S i C S2andS2 C Si so that S i = S2 and since V2 = v\ on S i and v\ = V2 on S2 we have vi = i>2 on S i = §2We show below that every measure space has a completion by constructing it. Definition 5.2. Given a measure space (X, 21, p). Let 91 be the collection of all null sets in (X, 21, p) and 9 t be the collection of all subsets of the members o/9t. Let 21 be the collection of all subsets ofX of the type E = A U C where A e 21 and C e *Tl. We call 21 the completion of the a-algebra 21 with respect to the measure p. Lemma 5.3. Let (X, 21, p) be an arbitrary measure space. The completion 21 of the aalgebra 21 with respect to the measure p is a a-algebra of subsets of X. Indeed we have 27 = <r(2lU9l). Proof. Let us show that 2t is a 0-algebra of subsets of X. First of all, since 0 e 9 t C 91, we have X = X U 0 € 21. To show that 21 is closed under complementations, let E e 21. Then E = AUC where A e 21 and C C B e 9t. Now Ec = (AU C)c = Ac n Cc. Since C = B\(B\C) = BD(B\C)c,wehaveCc = BCU(B\C). T h e n £ e = ACD[BCU{B\C)} = c c c (A n B ) U [A n (B \ C)]. Since A, B e 21, we have Ac n flc 6 2L_ On the other hand, Ac n (B \ C) C B \ C C B so that Ac n ^ B \ C) e 91. Thus £ c e 21. To show that 21 is closed under countable unions, let En e 21 be given by En = A„ U C„ where A„ e 21 and Cn C B„ e 91 for« e N. Then U „ e N £« = U B 6 N ( A . UC„) = ( U „ e N An) U ( U „ e N c «)Now UneN ^« e ^l- Also UngN *-"« c UneN ^«- Since a countable union of null sets is a null set in any measure space, l J n € N Bn € 91 and thus U n 6 N C„ e 91. Thus UnsN E" e ^ This completes the proof that 21 is a a -algebra of subsets of X. If A e SI, then A = A U 0. Since 0 e_9t, we have A €_SJ. Thus 21 C 2T^_If C_e 91, then since 0 6 21, we have C_= 0 U C e 21. Thus 91 C 21. Therefore 21 U 91 C 21 and then a(2t U 9t) C a(2t) = 21.

96

CHAPTER 1 Measure Spaces

To show that 21 is the smallest cr-algebra of subsets of X containing 21U 9 1 note that if 5 is a ff-algebra of subsets of X containing 21U 01, then it contains any set of the type ADC where A e 21 and C G 9 1 T h u ^ g contains 21. Therefore 21 is the smallest a -algebra of subsets of X containing 21 and 9 1 I Theorem 5.4. (Existence of the Completion of a Measure Space) Let (X, 21, p) be an arbitrary measure space. Let 9 t be the collection of all null sets in (X, 21, p) and 9 t be the collection of all subsets of the members o/9t. Let 21 be the completion of the a-algebra 2( with respect to the measure p, that is, 2( = <r(2l U 9t). Let us extend the domain of definition of the set function pfrom 21 to 21 by setting (1) p(E) = p(A),

for E G 21 given as E = A U C with A G 2t and C e 9 1 Then it is a measure on 21 and the measure space (X, 21, ix) is the completion of(X, 21, p). Proof. 1. Let us show that the set function p. on the cr-algebra 21 is well-defined, that is, p(E) defined by (1) does not depend on the representation of E as the union of a set in 21 and a set in 91. Thus let E = A\ U C\ and E = A2 U C 2 where A\, A2 € 21 and C\,Ci e 9 1 Since C\, C 2 € 9 1 we have Ci c B\ and C2 C B 2 where Bi, B 2 G 91. Then byAiUCi = A 2 U C 2 , w e h a v e A i U C i U 5 i U S 2 = A 2 UC 2 UBiUB 2 . Since Ci C Si and C2 C S 2 ,thelastequalityreducestoAiUBiUS 2 = A 2 UBiUB 2 and thus tt(AiUBiUB 2 ) = /x(A 2 UBiUB 2 ). Now/x(Ai) < xx(Ai UBiUB 2 ) < ix(Ai) + /x(Bi) + AA(B2) = xi(A])and therefore p(A\) = p{A\ U Si U B 2 ). Similarly we have p(A2) = p(A2 U B\ U B 2 ). This shows that /x(Ai) = /x(A 2 ), proving the independence of /x(£) from the representation £ = A U C. _ 2. Let us show that p is a measure on the cr-algebra 21. First of all, we have /x(£) G [0, 00] for any E e 2t by (1). Secondly, since 0 = 0 U 0 where 0 e_2t and 0 G 91 C 91, we have ix(0) = 0 by (1). To show the countable additivity of p on 21, let (£„ : n G N) be a disjoint sequence in 21. Let £„ = A„ U C„ where A„ e 21 and C„ C B„ G 91 for n e N. The disjointness of (En : n G N) implies that of (A„ : « e N) and that of (C„ : n e N). Let A = L L N A„ G 2 1 B = U „ e N B„ G 91 and C = (J„ e N c « - T h e n c C B so that C G 9 1
Now U „ e N En = I L N ( A «
U c

n) = ( U „ £ N An)

u

( I L N C„) = A U C. Thus by (1), we

have/x (U„ e N En) = xx(AUC) = p(A) = M _ ( L L N A « ) = E«eN v(An) = £ „ e N M(£«)This proves the countable additivity of p on 21 and completes the proof that p is a measure

on2T.

_

3. To show that the measure space [X, 21, tt) is a complete measure space, we show that if E is a null set in (X, 21, pt), that is, £ G 21 and p(E) = 0, then every subset £0 of £ is a member of 21. Now £ = A U C where A G 21 and C C B G 91. By (1), we have /x(A) = /x(£) = 0 . Since B G 9 1 wehave/x(B) = 0. Thus/x(AUB) < xt(A)+/x(B) = 0 so that /x(A U B) = 0. Then since A U B G 21 andjx(A l^B) = 0, we have A U B G 91. Now £ 0 C £ = AJJ C C_A U B G 91. Thus £ 0 G 91 C 2t. 4. Since 21 C 2t, (X, 21, ix) is a complete extension of (X, 21, /x). 5. To show that (X, 21, xx) is the completion of (X, 21, p), let (X, 5 , v) be an arbitrary complete extension of (X, 21, /x). Then the 0 -algebra g contains 21 and 91. This implies

§5 Completion of Measure Space

97

that 5 D c r ( 2 l U 9 t ) = 2 l b y Lemma 5.3. Next let us show that v = \i on 2t. For any E e 21 given by £ = A U C where A € 2C and C C B € 9t, let us use the representation E = A U (C \ A). Note that C \ A c C c f i e 9 1 s o that C \ A E 91 and A n (C \ A) = 0. Then we have v(E) = v(A U (C \ A)) = v(A) + v(C \ A). Since A £ 21 we have v(A) = /x(A) = /x(£). On the other hand, since C \ A C B € 9 t and v(C \ A) < v(B) = /x(B) = 0, w<e have v(C \ A) = 0. Thus v(E) = /x(£). This shows that v = ju, on 21. Therefore (X, 2t, /A) is the smallest complete extension of (X, 21, /x). • For an arbitrary measure space (X, 21, /x), a completion exists by Theorem 5.4. With 21, the completion of 21 with respect to /x as in Definition 5.2 and with /x extended to 21 by (1) of Theorem 5.4, (X, 21, /u.) is a completion of (X, 21, /x). The completion of a measure space is unique as we noted above. This justifies representation of the completion of (X, 21, /x) by our construction (X, 21, ix). Observation 5.5. Consider the completion (X, 21, £i) of a measure space (X, 21, /x). (a) Every null set in (X, 2(, /x) is a subset of a null set in (X, 2t, /x). (b) Let 21 be the completion of the a -algebra 21 with respect to the measure /x on 21. Then we have 21 = 21. Proof. 1. Let E be a null set in (X, 2t, /x). Then E € 2t so that £ = A U C with A e 21 and C c B where B is a null set in (X, 21, /x) and [i(E) = /x(A). Since /x(£) = 0 we have /x(A) = 0 and then A U B is a null set in (X, 21, /x). Thus E = AUC CAUB which is a null set in (X, 21, tx). This proves (a). 2. By Definition 5.2, 21 is the collection of all subsets E of X of the type E = A U C where A E 21 and C is a subset of a null set in (X, 21, ti). Since (X, 21, /x) is a complete measure space, C E 21. Thus £ E 21. This shows that 21 C 2i. On the other hand since 21 is the completion of 21 with respect to fi, we have 21 D 2t. Therefore 21 = 2J. •

Let (X, 21, /x) be the completion of a measure space (X, 21, /x). Since 21 c 21, a 21measurable function / on a set D 6 21 C 21 may not be 2t-measurable on D. The following theorem shows that there exists a null set T in (X, 21, fx) such that / is 2l-measurable on V D\N. Theorem 5.6. Let (X, 21, /x) be the completion of a measure space (X, 21, (U,). Let f be an extended real-valued ^.-measurable function on a set D £ 01 C 21. Tftew ?/z<?r<? sort a ««// set N in (X, 21, /x) arad ara extended real-valued 'Hi-measurable function g on D such that f = g on D\ N. (In other words, if f is an extended real-valued ^-measurable function on a set D e 21, then there exists a null set N in (X, 21, /x) such that f is Ql-measurable on D\N.) Proof. Let [rn : n e N) be the collection of all rational numbers. For every n E N, let En = [D : f < rn\. By the 2l-measurability of / on D, we have En e 21. Then En = A„ U C„ where An € 21 and C„ is a subset of a null set Bn in (X, 21, /x). If we let

98

CHAPTER 1 Measure Spaces

N = U „ e N Bn, then A' is a null set in (X, 21, ix). Define an extended real-valued function g on D by setting [ f(x) for* e D\N, [ 0 for x eN.

It remains to show that g is 2l-measurable on D. Now for every n e N, we have (1) {D : g < r„} = {D\N : g < rn}u {N : g < rn}.

Note that {N : g < r„} = 0 or JV according as rn < 0 or r„ > 0. In any case we have (2) On the other hand we have (3) [D \ N : g < rn\ = [D \ N : f < rn\ = (D \ N) n [D : f < rn\ = (D \ JV) n {An U Cn) = {D\N)r\Ane2l, {JV:g</-„}e2l.

where the last equality is by the fact that C„ C Bn c JV. By (1), (2), and (3) we have (4) {D : g < r„} e 21 for every « e N.

Now let a e R. There exists an increasing sequence of rational numbers in : k e N) such that rk \ a. Then [D : g < a] = UteN {D '• 8 < rk} 6 21 by (4). This proves the 2l-measurability of g on D. •

[II] Completion of the Borel Measure Space to the Lebesgue Measure Space
The Borel measure space (R, 2$R, fiL) on R is obtained by restricting the Lebesgue measure IJ,L on the Lebesgue a -algebra VUlL to the Borel a -algebra S8R C %JlL. Thus (R,SDTL, /J.L) is a complete extension of (R, 2$R, yit^). We show next that (R, 9Jl L , fj,L) is actually the completion of (R, *8R, fiL). Theorem 5.7. Consider the Lebesgue a-algebra VUlL and the Borel a-algebra 23R on R. (a) Let E e qj(R). Then E e VJtL if and only ifE = AUC where A e *BR and C is a subset of a set B e 23R with fiL {B) = 0. (b) The Lebesgue measure space (R, DJlL, /u.L) is the completion of the Borel measure space (R,!8R,A* t ). Proof. 1. If £ e fmL then by Theorem 3.22, there exists a Ga-setG D E with /xL (G \ E) = 0 and there exists an FCT-set F C E with />L(ii \ F) = 0 . Then F C F C G and
ML(G

\F)

= HL{G\E)

+ HL{E \ F) = 0. Now F = F U ( F \ F) where F e *BR,

F \ F C G \ F, and G \ F e «8R with nL{G \ F) = 0. Conversely suppose F = A U C where A 6 *BR and C is a subset of a set B 6 25R with /A (B) = 0. Now A, S € 5 8 R C SDTL. Since C is a subset of S € 97^ with /J.L{B) = 0,

§5 Completion of Measure Space

99

we have C € 9RL by the completeness of the measure space (R, VHlL , p.L). Thus E e 9JtL. This completes the proof of (a). 2. To prove (b) let (R, «8 K , p.L) be the completion of (R, «8R, / i j . By Definition 5.2, 25R consists of subsets of R of the type E = A U C where A € 25R and C is a subset of a set B G *8R with \iL (B) = 0. Thens by (a) we have *BR = QJtL. • Corollary 5.8. The Borel measure space (R, 95R, /i^) w nor a complete measure space. Proof. If (R, 2$R, /u.^) were a complete measure space, then it would be equal to its completion which is the Lebesgue measure space (R, 9Jt L , p,L) by Theorem 5.7. But according to Proposition 4.40 we have VRlL ^ 58R. I Proposition 5.9. Let f be an extended real-valued DJlL -measurable function on a set D e 58R. Then there exist a null set N in (R, 2$R, /xL) and an extended real-valued *8Rmeasurable function g on D such that g = f on D \ N so that f is ^&^-measurable on D\N. Proof. According to Theorem 5.7, (R, DRL, /J,L) is the completion of (R, 2$R, p,L). Then the Proposition is a particular case of Theorem 5.6. •

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CHAPTER 1 Measure Spaces

§6 Convergence a.e. and Convergence in Measure
[I] Convergence a.e.
Definition 6.1. Given a measure space (X, 21, p). Let (/„ : n € N) be a sequence of extended real-valued ^XL-measurable functions on a set D G 21. We say that lim /„ exists
n-+oo

a.e. on D if there exists a null set N in (X, 21, p) such that N C D and lim fn{x) exists
n->oo

for every x € D\N.
n-*oo

We say that (/„ : n e N) converges a.e. on D if lim fn(x)
n-+oo

exists

and lim fn(x) e Rforeveryx

D\N.

Note that in the definition above for the existence of lim /„ a.e. on D, it is possible that lim f„(x) exists at some, and indeed at every, x e N. If we let De be the subset
n-KX

of D consisting of only those points x e D for which lim fn(x) exists, then De e 21
n—>-oo

by Theorem 4.22 and we have D\N C De and D \ De C N. The extended real-valued function lim /„ is 2l-measurable on De by Theorem 4.22.
n->oo

Lemma 6.2. Given a measure space (X, 21, pi). Let (/„ : n € N) be a sequence of extended real-valued ^-measurable functions on a set D € 21. If for every r\ > 0 there exists a %i-measurable subset E of D with p(E) < r\ such that lim f„(x) exists (resp. fn(x)
n—*oo

converges) for every x € D\E,then

lim fn(x) exists (resp. f„(x) converges) a.e. on D.
n-±oc

Proof. Under the assumption of the condition in the Lemma, for every t e N there exists a 2l-measurable subset Ek of D with p(Ek) < r such that lim f„(x) exists (resp. /„(*)
n-»oo

converges) for every x € D \ Ek. Let E = DneN ^*- Then £ C D, £ e 21, and /x(£) = p (fl/teN ^*) 5 /•*•(£*) < \ f ° r every £ € N. This implies that p(E) = 0 so that E is a null set in (X, 21, /x). Let us show that lim f„(x) exists (resp. fn(x) converges) for every x e D\ E. Now

D\E = DnE< = Dn{r\kmEk)c = Dn{UkenEi) = U e N (Dnsp = UkeH(D\Ek).
Thus if * € D \ E then * € D \ Ek for some fc e N. Then lim fn(x) exists (resp. JL(x) converges). I Proposition 6.3. (Uniqueness of Limit a.e.) Given a measure space (X, 21, p). Let (fn : n e N) fee a sequence of extended real-valued ^-measurable functions on a set D € 21. Lef gi and g2 be two extended real-valued ^.-measurable functions on D. If lim /„ = g\ a.e. on D and lim /„ = g2 a.e. on D also, then g\ = g2 a.e. on D. Proof. Under the assumption of the Proposition, there exist two null sets iVi and N2 of (X, 21, p) such that NUN2 C D, lim /„ = g\ on D \ TVi, and lim /„ = g2 on D \ N2.
n->oo n->oo

n—*oo

LetJV = N\UN2. Then A? is a subset of D and a null set of (X, 21, /x)andgi =

lim /„ = g2
rt-*0O

on D\N.

I

§6 Convergence a.e. and Convergence in Measure

101

Proposition 6.4. Given a measure space (X, 21, p). Let (/„ : n e N) be a sequence of extended real-valued '^-measurable functions on a set D e 21 and let f be a real-valued ^-measurable function on D. Then (1) and (2)

{D:BUm /„ = / ) = H U
men Nen peN

fMD--\f^p-f\<hh

P • in A /}=u n u {^: I/*** - /i ^ £}•
msNWeNpsN

Proof. The set (D : lim / „ = / } consists of every x e D for which the sequence of extended real numbers (/«(*) : n e N) converges to f(x). Now for each x e D, (fn(x):ne N) converges to f(x) if and only if for every m e N there exists N e N such that |/Af+p(jc) — / 0 ) | < ^ for every p € N. Equation (1) is a set theoretic statement of this fact. To prove (2), note that the set {x e D : fn(x) -/> f(x)} consists of every x € D for which either lim fn(x) does not exist or lim fn(x) exists but is not equal to f(x).
n—>oc n—*-oo

Now we have [D:fn^f} = D\{D: lim /„ = / }

=D\fi u n i f l : ^ - / i < i )
meN WeNpeN

=Dfl

nunii):
'-/neN/VeNpeN

IJ + - /i /V P

=Dn

unu{D:i/^-/i<^r

men /VeN peN

=unui°:i^-/i^)'i
men Nen pen

The following theorem is a criterion for convergence a.e. of a sequence of measurable functions. It is fundamental in that several convergence theorems will be derived from it. Theorem 6.5. Given a measure space (X, 21, p.). Let (/„ : n e N) be a sequence of extended real-valued ^-measurable functions on a set D e 21 and let f be a real-valued ^.-measurable function on D. Then (/„ : n € N) converges to f a.e. on D <£•//. (lim sup {£> : |/„ - f\> £ } ) =0 for every m e N.

102

CHAPTER 1 Measure Spaces

Proof. ( / n : n e N) converges to / a.e. on D if and only if fi{D : /„ -/> / } = 0. By (2) of Proposition 6.4, this last condition is equivalent to

a)

M(U

n U{° :

I/^P-/I>

£i)=o.

meN W€N peN

By the monotonicity of //. and by the fact that a countable union of null sets is always a null set, (1) is equivalent to the condition that (2) ,*( p | ( J {D : \fN+p - f\ > 1 } ) = 0 for every m e N .
N€M peN

Condition (2) is equivalent to the condition that (3) /*( P | | J {D: | / „ - / | > £ } ) = 0
NeNn>N

foreverymeN I

that is, /x(limsup{Z) : |/„ — f\ > ^ } ) = 0 for every m e N.
n->oo

The necessary and sufficient condition in Theorem 6.5 for convergence almost everywhere of a sequence of measurable functions leads to the question as to when the equality /x( lim sup An) = 0 holds for a sequence (A„ : n e N) of 2l-measurable sets in a measure
n—>-oo

space (X, 21, /x). Recall that according to Lemma 1.7, lim sup An consists of every x in X
n->oo

at which infinitely many A„ intersect. If we make each A„ smaller, the set of infinite intersections becomes smaller. How small must the sets An be to ensure ^(limsup A„) = 0 ? The Borel-Cantelli Lemma gives a sufficient condition for this to take place. Theorem 6.6. (Borel-Cantelli Lemma) Given a measure space (X, 21, /x). For any sequence (A„ : n 6 N) in 21 w/r/i XineN At(^«) < ° ° > we nave /•*( lim sup A„) = 0. Proof. By definition, lim sup A„ = HneN U*>« Atn->oo
If w e

l e t En — Uk>n Ak

for

« e N,

then (£„ : n e N) is a decreasing sequence in 21 and lim sup A„ = lim En. Now for i = U*>i A<t, wehave/z(£i) = M ( L L N A « ) - EneN M(A„) < oo. Thus (E„ : n e N) is a decreasing sequence in 21 and n.{E\) < oo. Then /LI( lim En) = lim fJ.(En) by Theorem 1.26. Thus we have //,(lim sup A„ ) = fi( lim En) = lim fi(E„) = lim (U,( I J A^ ) < lim ^ / / . ( A * ) .
" k>n k>n
£

Since £ „ € N M(A„) < oo implies lim Y.k>n M(Afc) = 0, we have n( lim sup A„) = 0.

I

Combining Theorem 6.5 with the Borel-Cantelli Lemma, we obtain the following sufficient conditions for a.e. convergence of a sequence:

§6 Convergence a.e. and Convergence in Measure

103

Theorem 6.7. Given a measure space (X, 21, n). Let (/„ : n e N) be a sequence of extended real-valued ^-measurable functions on a set D G 21 and let f be a real-valued Ql-measurable function on D. Suppose there exists a sequence (e„ : n e N) of positive numbers such that
1° lim e„ = 0, n—>-oo

T/ien (/„ : n e N) converge5 to / a.e. on D. Proof. If we let A„ = {D : \fn - f\ > £„} f o r n e N, then £ n e N /*(A„) < oo by 2°. Thus by the Borel-Cantelli Lemma (Theorem 6.6), we have £<.( lim sup A„) = 0 , that is,
n-*oo

(1)

/^(limsupfDil^-Zl^en^O.

Let m e N be arbitrarily given. By 1°, there exists N e N such that en < ^ for n > TV. This implies that (D : |/„ - f\ > en] D {D : \f„ - f\ > ±) forn > N. Then we have limsupfD : |/„ - f\ > en\ D limsup {D : |/„ - / | > £ } , by applying Lemma 1.7 for the limit superior of a sequence of sets. Then we have (2) M(hmsup{D
:

|/„ _ f\ > e „}) >

M (limsup{L>

: \f„ - f\ > £ } ) .

By (1) and (2) we have /^(limsup [D : \f„ — f\> ^ } ) = 0 for every m e N. •

By Theorem 6.5 this shows that (/„ : n € N) converges to / a.e. on D.

Remark 6.8. Conditions 1° and 2° are sufficient conditions for (/„ : n G N) to converge to / a.e. on D but they are not necessary. Below is such an example. Example. In (K, mL,iiL), let D = (0,1) and let fn(x) = 1 for* e (0, ±) and /„(*) = 0 for x e [£, l) for n e N and let / ( x ) = 0 for x e (0,1). Then (/„ : n e N) converges to / everywhere on D. Let (e„ : n G N) be an arbitrary sequence of positive numbers such that lim £„ = 0. Let us show that J2nefi A^KO, 1) : \fn - / | > £n} = oo. Let T e N be V so large that £„ < 1 for n > TV. Then

X> t {(0,1) : |/„ - / | > £„} > Y, M(0.1) = l/» " /I > e«}
neN n>/V
s

1

n

104

CHAPTER 1 Measure Spaces

Theorem 6.9. Given a measure space (X, 21, p). Let (gn : n e N) be a sequence of real-valued ^.-measurable functions on a set D e 21. Suppose there exists a sequence (r/„ : n e N) of positive numbers such that 1° 2° ^2 In < oo. neN £ > { * e D : |g„(x)| > n „} < O O . neN

77ien fne senes X!«eN £« converges absolutely a.e. on D and hence converges a.e. on D. Proof. Let A„ = [x e D : \gn(x)\ > n„} for n e N. By 2° we have X!«eN M ^ n ) < °° and thus by Theorem 6.6 we have /x( lim sup An) = 0. Let £ = lim sup An. Then £ is a
n—>oo n—>oo

subset of D and is also a null set in (X, 21, /x). Also, for every x e D, we have x € £ if and only if x € An for infinitely many n e N . Then x € D \ E <s> x € A„ for at most finitely many n e N •O- there exists N(x) e N such that x g An for n > N O ) < > there exists N(x) e N such that |g n (x)| < n„ for n > £ Thus forx 6 / ) \ £ , we have
N(x) J2\8n(x)\=J2\8n(x)\+ neN n=l J2 n>N(x)+l N(x) \gn(.x)\>J2\gnM\+ «=1 J^ ^nn>N(x)+\

N(x).

Since gn is real-valued for every n e N, we have X!n=i l£« W l < °°- By 1° we have E»>Afw+i ^ - £«eN ^ < ° ° a l s o - T h u s forx e D \ E, we have £ „ e N IS«WI < ° ° . that is, the series Ylnen Sn (x) converges absolutely and hence converges for every x e D \ E, that is, a.e. on D. •

[II] Almost Uniform Convergence
We say that a sequence of extended real-valued functions (fn : n € N) converges uniformly on a set D to a real-valued function / if for every £ > 0 there exists NeN, depending on s but not on* e D, such that \fn{x) — f(x)\ < s for all* e D w h e n n > N, or equivalently, for every m € N there exists I V e N such that \fn(x) — f(x)\ < ^ for all x e D when n>N. Definition 6.10. Given a measure space (X, 21, p.). Let (/„ : n e N) be a sequence of extended real-valued %{-measurable functions on a set D e 21 and let f be a real-valued %L-measurable function on D. We say that (/„ : n € N) converges almost uniformly on D to f if for every r\ > 0 there exists a Wi-measurable subset E of D such that p(E) < r\ and (fn : n e N) converges uniformly on D\E to f. If (/„ : n e N) converges almost uniformly on D to / , then (/„ : n e N) satisfies the condition in Lemma 6.2 and thus (/„ : n e N) converges to / a.e. o n i ) . Egoroff's Theorem

§6 Convergence a.e. and Convergence in Measure

105

proves that the converse holds provided that /x(D) < oo, that is, convergence a.e. on D implies almost uniform convergence on D provided that p(D) < oo. We specialize the necessary and sufficient condition for convergence a.e. in Theorem 6.5 to the case p(D) < oo in the next Proposition and then derive Egoroff's Theorem from it. Proposition 6.11. Given a measure space (X, 2t, p). Let (/„ : n e N) be a sequence of extended real-valued VX-measurable functions on a set D € 21 and let f be a real-valued ^-measurable function on D. Suppose 1°

( / „ : « € N) converges to f a.e. on D,
ii(D)
< oo.

For m e N and n 6 N, let (1) Dn(m) = \J{x€D:\Mx)-f(x)\>±}.

Then we have (2) and consequently (3) lim p {D : \f„ - f\ > ±} = 0 for every m € N. lim p(Dn(m)) = 0 for every m e N,

Proof. Condition 1° is equivalent to p.(lim sup [D : \fn — / | > ^ } ) = 0 for every m e N
n->oo

by Theorem 6.5, in other words,/x(f| n e N Ui>« {& '• \fk~ f\ > ^}) = Ofor every WJ e N. Thus we have (4) p( f~\ Dn(m)\
neN

= 0 for every m e N.

Now Dn(m) c D, Dn(m) e 21, and (Dn(m) : n e N) is a decreasing sequence for every m e N. Thus P L ^ N Dn(m) = lim D„(m) for every m € N. Since Dn(m) c £>
" n-»oo

and At(£>) < oo, we have yU.(n„,M D„(m)) = u( lim D„(m)) = lim p(Dn(m)) by Theorem 1.26 for every m e N. But according to (4), /"•(DneN Ai(»0) = 0 for every m e N. Therefore lim p(Dn(m)) = 0 for every m e N. This proves (2). Then since {D : \fn - / I > jjj-} C Dn(m), (3) follows from (2) by the monotonicity of p.. I

Theorem 6.12. (D. E. Egoroff) Given a measure space (X, 21, p). Let D e 21 and p(D) < oo. Let (/„ : n € N) be a sequence of extended real-valued ^.-measurable functions on D and let f be a real-valued ^-measurable function on D. If(fn : n e N) converges to f a.e. on D, then (/„ : n e N) converges to f almost uniformly on D.

106 Proof. For m e N and n e N, let (1)
k>n

CHAPTER 1 Measure Spaces

Dn(m)=\J{xeD:\fk(x)-f(x)\>±}.

Then by (2) of Proposition 6.11, we have (2) lim n(D„(m)) = 0 for every m e N.

Let r\ > 0 be arbitrarily given. By (2), for every m e N there exists A'(m) e N such that li(DN{m)(m)) < —.

Consider the sequence (DN(m)(m) : m e N) of 2l-measurable subsets of D. Let

E = [J
meN

DN{m)(m).

Then £ c D, £ e 21, and li(E) = M ( ( J £>/v(m)(w)J < ^
meN meN

n(DN(m)(m))

<Yl^L
meN

= r

l-

Consider D \ E. If x e D \ E, then x g E and thus x e" Du(m)(m) for every m e N . Then by (1), we have |/*(.*) — / ( x ) | < ^ for A > N(m) for every m e N . This shows that : (/„ : n e N) converges to / uniformly on D \ E. I Remark 6.13. Theorem 6.12 does not hold without the assumption n(D) < oo. Example. Consider (R, 9JlL,nL). Let D = [0, oo) with nL(D) = oo. Let fn(x) = \x for x e D torn e N and let f(x) = 0 for* e D. Then the sequence (/„ : n € N) converges to / everywhere on D. To show that (/„ : n e N) does not converge to / almost uniformly on D, we show that for some r) > 0 there does not exist a 271^-measurable subset E of D with iU,L (£•) < ? such that (/„ : n e N) converges to / uniformly on D \ E. For our example, we 7 show that actually for any 9JtL-measurable subset E of D with nL (E) < oo, (fn : n € N) does not converge to / uniformly on D \ E. Let E be a VOlL -measurable subset of D with /J,L(E) < oo. Let nL(E) < M where M e (0, oo). Let Dk = [(k - 1)M, kM) for k € N. Then (Dk : k e N) is a disjoint sequence and [JkeN At = D. Since n<L(E) < M and nL(Dk) = A/, there exists x* e Dk such that xk $ E for each £ € N. We have lim Xk = oo. To show that (/„ : n e N) does not converge to / uniformly on the subset
n->oo

{xk : k e N} of D \ E, note that given e > 0 for any N e N, however large, and n > N there exists t e N such that ^xt > £ so that \fn(xk) — / ( x i ) | = fn(xk) = \*k > £• This shows that (fn : n € N) does not converge to / uniformly on set {xk : k e N}. Thus (/„ : n e N) does not converge to / on the set D \ E containing the set {x* : k e N}.

§6 Convergence a.e. and Convergence in Measure

107

[III] Convergence in Measure
Definition 6.14. Given a measure space (X, 21, fi). Let (/„ : n e N) be a sequence of extended real-valued ^-measurable functions on a set D e 21. We say that (/„ : n e N) converges in measure \x on D if there exists a real-valued %-measurable function f on D such that for every E > Owe have (1) lim n{D:\f„-f\>e}=0,

that is, for every e > 0 and r\ > 0 there exists Ns<r] e N such that (2) We write fn^fonD l*{D : \f„ - f\ > e] <r) for this convergence. forn>Ne,,.

Remark 6.15. (a) If (1) of Definition 6.14 holds for every e e (0, so] for some eo > 0, then (1) holds for every e > 0. This follows from the fact that for e > £o, we have {D : \fn-f\ >s}c{D: \f„-f\ > £0} sothat/x{D : | / „ - / | > s} < p[D : \fn-f\ > e 0 ) and then lim n{D : |/„ - f\ > s) < lim ^\D : \fn - f\ > s0) = 0. (b) It is clear from (2) of Definition 6.14 that a sequence obtained by dropping finitely many terms from (/„ : n e N) or by adding finitely many terms to (/„ : n e N) converges in measure if and only if ( / „ : « € N) converges in measure. Observation 6.16. Condition (1) in Definition 6.14 is equivalent to the following condition (3) lim jx\D : |/„ - f\ > -U = 0 for every m e N.

Proof. Clearly if (1) holds then (3) holds. Conversely assume that (3) holds. Given e > 0, let m € N be such that £ < s. Then {D : \fn - f\ > s] c [D : |/„ - f\ > ^ } and (x{D : \fn — f\ >e} < n{D : \fn — f\ > ^} by the monotonicity of ji. Thus (3) implies (1). Therefore (1) and (3) are equivalent. • Example 1. In (R, 9JlL, fiL), let (fn : n e N) be a sequence of functions on D = [0, oo) defined by

I
lim liL{D:\fn-f\>e}=

n for x e (n — -, n\, 0 forx e D\(ni,n],

for n e N. Let / = 0 on D. For s e (0, 1], we have lim HL{(n - x-,n\) = lim 1 = 0.

This shows that (/„ : n e N) converges to / on D in measure /zL by (a) of Remark 6.15.

108 Example 2. In (R, VOlL, nL), let D = [0, oo) and let

CHAPTER 1 Measure Spaces

1 for* e (n — l , n ] ,
fn(x) •

0 forx € for n € N and let / = 0 on D. For e e (0,1], we have lim nL{D: \fn-

D\(n-I,n]

f\ >e} = nL((n-l,n])=

lim 1 = 1.

Thus (/„ : n e N) does not converge to / on D in measure fiL . Proposition 6.17. Given a measure space (X, 2C, /JL). Let (/„ : n e N) fee a sequence of extended real-valued ^.-measurable functions on a set D e 21 and /ef f be a real-valued ^.-measurable function on D. Then fn -*• f on D if and only if for every 8 > 0, there exists N$ € N swcn ?nar (4) li{D:\fn-f\>&) <S forn>Ns.

Proof. Let us show that (4) is equivalent to (2) of Definition 1.14. Clearly (2) implies (4). To show that (4) implies (2) let e > 0 and n > 0 be arbitrarily given and let 8 = s A r\. By (4) there exists N& e N such that/A{D : \f„- f\ > 8} < Sforn > Ng. Nowe > 8 implies [D : \fn - f\ > e) C {D : \fn - f\ > 5} and then we have n{D:\fn-f\>B]<n[D:\f„-f\>8} This shows that (4) implies (2). I Corollary 6.18. f„-^fonD that if and only iffor every m e N, there exists Nm € N such < 8 < r, for n>Ns.

(5)

AD-\fn-f\>h)<h

fom>Nm.

Proof. Let us show that (5) is equivalent to (4) of Proposition 6.17. Clearly (4) implies (5). To show that (5) implies (4), let 8 > 0 be arbitrarily given. Let m(8) e N be such that ^ y < 8. Then [D : |/„ - f\ > 8} C [D : |/„ - f\ > ^ j . By (5) there exists Nmtf) € N such that /j. I D : |/„ - f\ > ^ [i{D:\fn-f\>8}<n{D:\fn-f\>^} This shows that (5) implies (4). • j < ^jy for n > Nm(S) • Then we have <^<S for n > Nm(S).

Corollary 6.19. Given a measure space (X, 21, /i). Let ( / „ : « € N) fee a sequence of extended real-valued 2l-measurable functions on a set D 6 21 and let f be a realvaluedWi-measurable function on D. Suppose there exist two sequences ofpositive numbers

§6 Convergence a.e. and Convergence in Measure
(an : n e N) and (/3„ : n € N) SMC/Z that

109

lim a n = 0 and lim /3„ = 0,
n—>oo n—*oo

2° /i{D : |/„ - / | > a„} < $n for all every n € N. r/ien (/„ : n e N) converges to f on D in measure /J,. Proof. Assume 1° and 2°. Let £ > 0 be arbitrarily given. Let A/ € N be so large that for n > N we have a„ < e and fi„ < e. Then {D : \fn — f\ > s] C {D : |/„ — f\ > a n } so that n{D : |/„ - / | > e} < /x{l> : \f„ - f\ > a n } < fi„ < e for n > A7. This shows that (/„ : n e N) converges to / on D in measure /x according to Proposition 6.17. I Lemma 6.20. Given a measure space (X, 21, fi). Let f and g be two real-valued 21measurable functions on a set D e 21. Let e, ei, anrf £2 be positive numbers such that £ = £1 + g2. Then for an arbitrary extended real-valued ^.-measurable function h on D, we have (1) and (2) n{D :\f-g\>e}<ix{D:\f-h\>sl}+
M {D

{D : | / - g\ > e} C {D : | / - A| > £,} U {D : \h - g\ > £ 2 },

: \h - g\ > £ 2 }.

Proof. Let the three sets in (1) be denoted by A, A\, and A 2 . If JC e D and x g A\ U A2, then JC ^ Aj and x & A2 so that | / ( x ) — /J(*)I < £1 and \h(x) — g(x)\ < £2 and then l / t o - s t o l < l / t o " Hx)\ + \h(x) - g(x)\ < £1 + £2 = £ so that x g A. Thus if x € D \ (Ai U A 2 ) then x e D \ A. This shows that D \ {A\ U A 2 ) C D \ A , thatis, Ai UA2 D A. This proves (1). Then (2) follows from (1) by the monotonicity and subadditivity of /x. I Theorem 6.21. (Uniqueness of Limit of Convergence in Measure) Given a measure space (X, 21, (J.). Let ( / „ : « € N) be a sequence of extended real-valued ^.-measurable functions on a set D e 21 and let f and g be two real-valued ^{-measurable functions on D. If fn -¥ f on D and f„^*gonD also, then f = g a.e. on D. Proof. Suppose /„ —• / on D and /„ — g on D also. Then for every e > 0, we have > > lim^{D:|/„-/|>£}=0, (i) limM{D:|/n-g|>£}=0. To show that f = g a.e. on D, let us assume the contrary, that is, /x{ D : f ^ g} > 0. Then since f(x) ^ g(x) if and only if \f(x) — g(x)\ > 0, we have (2)

lx{D:\f-g\>0\

>0.

110

CHAPTER 1 Measure Spaces

Now since {D : \f - g\ > 0} = \JkeH [D : \f - g\ > I } , we have (3) M£:|/-gl>0}<]>>{D:|/-g|>I}.

By (2), the left side of (3) is positive. Then not all of the summands on the right side are equal to 0. Thus there exists some ^ e N such that

(4)

/*{o:|/-*|>£}>0.
n{D:\f-g\>±;}<n{D:\f-f„\>J-}+v\D:\fn-g\>±}.

By Lemma 6.20, for every n € N we have

Letting n -> oo on the right side of the last inequality, we have /x | Z : \f — g\ > r-1 = 0 > by (1). This contradicts (4). • Theorem 6.22. (H. Lebesgue) Given a measure space (X, 21, (i). Let (/„ : n e N) be a sequence of extended real-valued ^-measurable functions on a set D e 21 and let f be a real-valued Si-measurable function on D. Suppose 1° 2° (/„ : n e N) converges to f a.e. on D, p(D) < oo.

Then (/„ : n € N) converges to f in measure \i on D. Proof. According to Proposition 6.11, conditions 1° and 2° imply that for every m e N we have lim p,\D : ]/„ - f\ > -M = 0. But this is convergence of (f„ : n e N) to f on D
n-»oo i mi

in measure by Observation 6.16.

Remark 6.23. Theorem 6.22 does not hold without the condition fi(D) < oo. Example. In (R, WlL, p,L), let D = [0, oo) with p,L(D) - oo. Let fn(x) = \x for x € D and n e N and let / = 0 on D. Then (/„ : n e N) converges to / everywhere on D but (/« : n 6 N) does not converge to / on D in measure pL since for every e > Owe have p.L{D : \fn- f\ >£} = HL{D : fn >e} = nL([ne,oo)) = oo for every n e N. Theorem 6.24. (F. Riesz) Given a measure space (X, 21, fj.). Let (/„ : n e N) be a sequence of extended real-valued ^-measurable functions on a set D € 21 and let f be a real-valued ^.-measurable function on D. If(fn '• n e N) converges to f in measure /x on D, then there exists a subsequence (f„t : k e N) which converges to f, /x-a.e. on D. Proof. If (/„ : n e N) converges to / on D in measure, then by Proposition 6.17, for every £ > 0 there exists Ns eN such that fi{D : \fn — f\ > e} < e forn > Ne. Then for £ = j , there exists n\ € N such that

/*{0:|/Bl-/|>i}<£,

§6 Convergence a.e. and Convergence in Measure and for e = ^ , there exists «2 e N, ni > n\, such that

111

^{D:|/„2-/|>£}<^,
and so on. In general for every k e N, there exists rik e N , n i > rik~\, such that

Then since lim A = 0 and since £ t € N (M{D : \fnt - f\ > A} < £ i e N F = * < °°the sequence (/„ t : k e N) converges to / a.e. on D by Theorem 6.7. I Example. (A Sequence Converging in Measure but Diverging Everywhere) 1. Consider the Lebesgue measure space (R, DJtL, nL). For a e R, let [a] be the greatest integer not exceeding a and let (oi)mod I = a — [a]. Thus (a)mod l e [0,1) for every a e R and {a)mod i = 0 if and only if a is an integer. Let us define a sequence (an : n e N) in D = [0,1) by setting for every n e N a„=
\

1 + - + - + ••• + - )
2 3 n'modX

For instance, we have ai = (l)modi = 0 ,
<*2

= H ) "(I)

_ 1

' mod 1

«3

and so on. Define a sequence of subsets of D, (Dn : n e N), by setting [an,a„+i) ifa„ < an+\, \fa„>an+i.

A,=
[an, l)U[0,or n + i) Note that fxL(Dn) = ^ j - f o r n e N. Since YlneN n = °°> t n e endpointa„ + i of D„ traverses D = [0,1) infinitely many times as n -*• oo. Define a sequence of functions (/„ : n e N) on D = [0, 1) by setting /„(*) = 1 for x e Dn and /„(*) = 0 for x € D\ Dn, and let /(jc) = 0 f o r x e D. 2. For e e (0, 1], we have
lim / ^ { D : |/„ -f\>e}=
«->oo
l

lim M L (Z>„) =
' n->oo

lim
n->-oo n + 1

= 0.

This shows that (f„ : n e N) converges to / on D in measure fiL .

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CHAPTER 1 Measure Spaces

3. Let us show that (fn(x) : n e N) diverges for every x e D. For each x € D, we have x e D„ for infinitely many n e N and x g Dn for infinitely many n € N also. Thus fn(x) = 1 for infinitely many n e N and fn(x) = 0 for infinitely many n e N also. This shows (fn(x) : n € N) diverges. 4. To select a subsequence (/„ t : n e N) of (/„ : n e N) which converges to / a.e. on D, let us decompose D into a disjoint sequence of subintervals (Am : m e N) of the type [a, b) with yu,L(Am) = j ^ . Thus Ax = [0, I ) , A2 = [I, I + £ ) , A3 = [ i + £ , i + £ + £ ) , . . . . Since lim u,(Dn)
«->oo

= lim —^r = 0, we can select ni e N such that D„, c At. Then
n->-oo
ni_i

'

select «2 e N, «2 > ni, such that D„2 c A2 and so on. Consider the subsequence (fnk : k e N) of (/„ : n € N). For each x e D,we have x e Am for some m e N. Then for £ > m we have f„k (x) = 0 and thus lim fnt (x) = 0 = / ( x ) . Thus our subsequence (/„£ : t E N ) converges to / everywhere on D. 5. Note also that the sequence (/„ : n e N) not only converges to / on D in measure but it satisfies the stronger condition lim fi, {D : |/„ — f\ > 0} = 0. Indeed we have [D : |/„ - / | > 0} = D„ and ^ ( D „ ) = ^ - .

[IV] Cauchy Sequences in Convergence in Measure
Definition 6.25. Given a measure space (X, 21, fj,). Let ( / „ : « € N) be a sequence of real-valued ^L-measurable functions on a set D € 21. We say that the sequence is a Cauchy sequence with respect to convergence in measure fi on D if for every e > 0 and r\ > 0 there exists Ne^n 6 N such that (1) fi{x e D : \fm{x) - fn(x)\ > e} < n form, n > Ne,n,

or equivalently, for every S > 0 there exists Ns G N such that (2) ix,{x € D : \fm(x) - fn{x)\ > 8} < S form,n> Ns.

(The equivalence of (1) and (2) can be proved by the same argument as in Proposition 6.17.) Observation 6.26. If (/„ : n € N) is a sequence of real-valued 2t-measurable functions and if /„ —• / on D, then (/„ : n € N) is a Cauchy sequence with respect to convergence > in measure p, on D. Proof. If / „ -*• f on D, then by Proposition 6.17 for every e > 0 there exists Ne > 0 such that p. [D : \f„ - f\ > | } < § forrc > Ne. Then by Lemma 6.20 we have H{D : \fm - fn\ > e) < p {D : \fm - f\ > §} + p{D : |/„ - / | > f} s e < — I — = e for m, « > A^e.

§6 Convergence a.e. and Convergence in Measure

113

This shows that (/„ : n e N) is a Cauchy sequence with respect to convergence in measure ftonD. • Theorem 6.27. Given a measure space (X, 21, p). Let (/„ : n e N) be a sequence of realvalued fU-measurable functions on a set D e 21. Ififn : n € N) is a Cauchy sequence with respect to convergence in measure p. on D, then there exists a real-valued ^-measurable function on D such that f„ —*• f on D. Proof. 1. If (fn : n € N) is a Cauchy sequence with respect to convergence in measure on D, then by (2) of Definition 6.25 for every S > 0 there exists i V j e l such that p{D : \fm - fn\ > 8} < 8 form, n > Ns. Then for S = \, there exists n\ e N such that we have p{D : \fni+p — fni I > \\ < \ for all p € N. Next for S — •&, there exists ni e N, ni > n\, such that we have p\D : \fn2+p — fn2\ — ji\ < p- for all p e N, and so on. In general for 8 = -k there exists n£ e N, n^ > n/c-i, such that
(1) ^D:|/*+P-/«*!>£}<£ for all p s N .

Thus for the subsequence {f„k : n € N) of (/„ : n € N), since n* + i = n* + p for some p e N, we have (2) ^{D:\fnM-fnt\>^}<^ forfeeN.

For brevity, let us write gk = f„k for k N , Let us show that the sequence (gk : k e N) converges a.e. on D. According to Lemma 6.2, it suffices to show that for every r\ > 0 there exists a 2t-measurable subset E of D with p(E) < n such that (gk(x) : k eN) converges for every x e D \ E. Let Dj = {D : \gJ+i - gj\ > jj) for j e N and let £,- = \Je^ De for ;' € N. By (2), we have p(Dj) < i and then

e>j

i>j

im

For ^ > 0 arbitrarily given, let j e N be so large that ^ r < n so that ^ ( £ / ) < 77. Let us show that (gk(x) : k € N) converges for every JC € D\Ej. Let e > 0 be arbitrarily given. Let N 6 N be so large that ^ r r < e and N > j also. If x € D \ £ ; , then JC £ Di iovl > j so that by (2) we have N+p-l

(3)
<

l£Ar+p(x)-gjv(*)| < E
i=N / -7 < „ • > —T =

l^+iW-^WI
., , < £ for p 6 N.

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CHAPTER 1 Measure Spaces

This shows that (gk(x) : k e N) is a Cauchy sequence of real numbers and hence it is a convergent sequence. Therefore we have shown that for the arbitrarily given r] > 0, we have a 2l-measurable subset Ej of D such that fi(Ej) < r\ and (gk(x) : k e N) converges forx 6 D \ Ej. Thus by Lemma 6.2, (gk : k e N) converges a.e. on D. Let Dc = \x € D : lim gk(x) e Kl. Then D c e 21 by Theorem 4.23 and ^ ( D \ Dc) = 0
jt->oo

since (gk : k e N) converges a.e. on D. Let us define a real-valued 2l-measurable function / on D by setting f(x) = lim g*(x) for x € £>c and f(x) = 0 forx 6 D \ Dc.
k—t-oo

2. Let us show next that gk — f on D. (Note that Theorem 6.22 is not applicable here > since we do not assume fi(D) < oo.) In (3) we showed that for every j e N w e have \gN+P(x) - gN(x)\ < jyrr for N > j , p e N and* e D \ Ej.

Letting p -^ oo and recalling lim gk(x) = f(x) for x in Dc D D \ E,-, we have \f(x) - gN(x)\ <^h forN>jandxeD\ Ej.

This implies that {D : \gN — f\ > j^i}

C Ej for N > j and then we have <^ for N > j .

H{D : \gN - / | > - J ^ } < n(Ej)

For an arbitrary e > 0, let j e N be so large that -rp^ < £• Then for N > j , we have ^{£> : Igjv - / I > e} < M{*> : Igw ~ / I > J F J } < M{£> : Igw - / I > 57^}

< n{D : \gN -f\>

ji^r]

< _ < _ < £ .

This shows that gk -*• f on D by Proposition 6.17. 3. Finally to show that /„ — / on D, note that for every e > 0 and every f„k we have >

^{£> : \fn ~ f\ > *} < II {D : \fn - fnk\ > §} + II { # = l/« t - / ! > § } •
by Lemma 6.20. Now since (/„ : n e N) is a Cauchy sequence with respect to convergence in measure, there exists A^ e N such that \x {D : | fn — fnk I > §} < | for n, «t > N'e. On the other hand since / „ t ->• / on D, there exists A'" € N such that 11 {D : \f„k — f\ > § ( < f for n* > A^'. If we let Ns = max{N'e, N'/}, then [i{D : \f„ - f\ > s} < | + f = £ for n > Ns. This shows that /„ —• / on D by Proposition 6.17. > I

Remark 6.28. (a) Let (/„ : n € N) be a sequence of real-valued 2l-measurable functions on a set D e 21 in a measure space (X, 21, yu,). By Observation 6.26 and Theorem 6.27, the sequence converges to a real-valued 2l-measurable function on D in measure /J, if and only if it is a Cauchy sequence with respect to convergence in measure £i. (b) Referring to Definition 6.25, the definition of Cauchy sequence for convergence in measure is restricted to sequences of real-valued (but not extended real-valued) measurable functions. The reason for this restriction is as follows. For given e > 0 and r? > 0, consider

§6 Convergence a.e. and Convergence in Measure

115

the set £>„,,« — {D : \fm - fn\ > £}• If fn(x) = co for all x e D and n e N, then the difference fm(x) — fn(x) is undefined for any m, n e N and x e D. Then Dmn = 0 since by definition DmA is the set of all points in D at which \fm(x) — fn(x)\ is defined and is not less than £. Thus we have /x(Dm,„) = 0 < n for all m, n e N. Yet the sequence (/„ : n e N) does not converge in measure on D to a real-valued measurable function. (c) If /„ is real-valued a.e. on D for every n e N, that is, there exists a subset En of D which is a null set in (X, 21, /x) such that /„ is real-valued on D \ En, then E = U n e N En is a null set contained in D and by restricting /„ to D \ E for every n e N, we have a sequence of real-valued measurable functions on D \ E to which we can apply Theorem 6.27.

[V] Approximation by Step Functions and Continuous Functions
[V.l] Approximation of Lebesgue Measurable Functions by Step Functions Definition 6.29. By a right-continuous step function on a finite interval [a, b) € 3C0, we mean a function f on [a, b) of the form f = YL1=\ ck ' 1/* where (Ik : k = 1, . . . ,n) is a finite disjoint sequence in 3co with Ujj = 1 h = [a, b). By a right-continuous step function on R or on an infinite interval [a, oo) e 3co, we mean a function f on M. or [a, co) such that its restriction to any finite subinterval of the class 3co is a right-continuous step function on the finite subinterval. Let us note that the set of the endpoints of the intervals in the domain of definition of a right-continuous step function on R or on [a, co) has no limit points in R. In particular the set of points of discontinuity of a right-continuous step function is a countable set having no limit points in R. Let us note also that a right-continuous step function on an infinite interval may be an unbounded function and its range is a countable subset of R. Observation 6.30. If f \ , . . . , /„ are right-continuous step functions on a common domain of definition, then ci\f\ + • • • + anfn with a\,.,. , an e R is a right-continuous step function. If f\ and fz are right-continuous step functions on the same domain of definition, then / i V fi and f\ A fz are right-continuous step functions. Lemma 6.31. Given a measure space (X, 21, /x). Let f be an extended real-valued 21measurable function on a set D € 21 with fi(D) < oo. If f is real-valued a.e. on D, then for every s > 0 there exist a %-measurable subset E of D with /J.(E) < e and a constant B > 0 such that \f\ < B on D\ E. Proof. Let D„ = [D : | / | < «} = / " ' ( [ - « , « ] ) for n 6 N. Then (D„ : n e N) is an increasing sequence in 21 with lim Dn = UneN Dn = {D : \f\ < co} so that lim n{Dn) = p.{D : | / | < co) = fj,(D) < oo since n{D : \ f\ = oo) = 0. Thus for an arbitrarily given s > 0, there exists N eN such that £i(Z) \ DN) = n(D) — II(DN) < e. LetE-D\ DN. Then /J.(E) < e mdfor x € D \ E = DN we have | / ( x ) | < N. Let B = N. I Remark 6.32. Lemma 6.31 does not hold without the condition p.(D) < oo.

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CHAPTER 1 Measure Spaces

Example 1. In (R, 9XL, fiL), let D = [0, oo) and let f(x) = x for x e D. We have liL{D) = oo. Let us show that not only for some s > 0 but in fact for every e > 0 it is impossible to have a OJlL-measurable subset E of D with p-L(E) < s such that / is bounded on D \ E. Let E be a 27lL-measurable subset of D with nL(E) = c > 0. Let /„ = [2(n — l)c, 2nc) for ra G N. Then (/„ : n e N) is a disjoint sequence of intervals and UneN ^« = D- Now since fiL(I„) = 2c and A^CE) = c, I„ is not a subset of E and therefore there exists xn € /„ \ E for every « e N. Consider the subset {xn : n G N} of D\E. Since JC„ e /„, we have f(xn) > 2(n — l)c for n G N and thus for any constant B > 0, we have f(xn) > B for sufficiently large n G N. Thus / is not bounded on D \ E. Example 2. In (R, VJlL, fiL), let D = R \ {kn : k e Z] and let f(x) = |cscx| for x & D. We have /J,L(D) = oo. Let us show that for any constant B > 0 however large, it is impossible to have a VJtL -measurable subset E of D with finite measure such that | /1 < 5 on D\E. Letc e (0, f ) be such that esc c = B. Then{D : | / | > B} = \Jk^z{kn-c,kn+c) sothat/u,L{£> : | / | > B] = oo. Thus any QJt^-measurable subset E of D with fiL(E) < oo cannot have the set {D : \f\ > B] as a subset and / cannot satisfy the condition | / | < B on D\E. Theorem 6.33. Let f be an extended real-valued 2JlL-measurable function on D = [a, b). Suppose f is real-valued a.e. on D. Then for every e > 0 there exist a 991 L-measurable subset E of D with \xL (E) < e and a right-continuous step function s on D such that ] / — s\ < s on D \ E. Moreover if Mi < f < Mi on D for two constants M\, Mi G R such that M\ < M2, then s can be so chosen that M\ < s < M2 on D. Proof. 1. Consider first the case where / is nonnegative extended real-valued on D. Since HL(D) < 00, according to Lemma 6.31 for an arbitrary e > 0 there exists a VJtL -measurable subset D„b of D with nL(Dui,) < | and there exists B > 0 such that f(x) e [0, B) for x € D \ Dub. Let Db = D \ Dub. Then (1) M A , ) = HL(D) - HL{Dub) > HL(D) - f.

Let N e N be so large that ^ < £. Let (2) Dn = {Db:fe[n%,(„ + l)%)} for n = 0 , . . . , N - 1. = Dub.

Note that Dn = / " ' ([n§, (n + l ) f ))r\Db e WlL forn = 0 , . . . ,N-l.hetDN Then {DQ, ... , DN] is a disjoint collection and
N-l
N

(3)

[JDn
n=0

= Db and \J D„ = D.
n=0

Foreachn = 0 , . . . , N,wehave iu,L(D„) < 00 so that by Theorem 3.25 there exists a union V„ of finitely many finite open intervals such that (4) n,(DnAVn)< ^.

§6 Convergence a.e. and Convergence in Measure

117

To each open interval in the union V„ adjoin its left endpoint so that V„ is a union of intervals of the class 3C0. This does not affect the inequality (4). For n = 0 , . . . , N, let us define a function sn on D by (5) sn(x) = f n 4 for* e V„r\D, * ( 0 forx € D\ Vn.

Thus defined, sn is a right-continuous step function on D. Let
AT

(6)

s(x) = yjs«(jc) forx € D.
«=o

Then 5 is a right-continuous step function on D by Observation 6.30. By (6), we have (7) s(x) = sn(x) if x € V„ n D and* ^ Vjt for& ^ n.

For each w = 0 , . . . , N, let (8) £>„* = (V„ n D„) \ ( J K*

= (v„ n D„) \ ( J [(vt \ Dk) u (vt n Dk)]
k^n

= (v„ n D„) \ [ (J(V t \ DO u |J(Vt n Dt)]

=

(VnnDn)\\J(Vk\Dk),
kjin

where the last equality is from the fact that if k ^ n, then Dn and Dk are disjoint so that V„ n D„ and Vjt n Dk are disjoint. Now we have (9) nL (D*) > txL (V„ n D„) - nL ( ( J (Vt \ D*))
k^n

>HL(VnnDn)-J^HL(Vk\Dk)
k^n

> IXL(Dn) - nL(V„AD„) N

Y,V-L(Vk&Dk)
kjin

=
> Li, (L>„)

/iL(Dn)-^vL(VkADk)
k=0

s
,

118 where the last inequality is by (4). Let
N-l

CHAPTER 1 Measure Spaces

(10)

D*={J
n=0

D* and E = D\ D*.

Since {D„ : n = 0 , . . . , N) is a disjoint collection and D* C Dn for n = 0 , . . . , N, [D* : n = 0,... , N} is a disjoint collection. Thus we have
N-l N-l

nL(D*) = £ nL(D*) > £ MA,) n=0 „=0
+ X

s

-—T

> liL{Db)-

e - >

fiL(D)-e,

where the first inequality is by (9), the second inequality is by (3) and the last inequality is by (1). Thus we have fiL(E) = nL(D) — fiL(D*) < e. Let us show that \f - s\ < e on D \ E. If x e D \ E = D*, then x e D* for some n = 1 , . . . , N — 1. Then since x e D* c D„ by (8) and rc < T — 1, we have V f(x) e \tijj, (n + l)jj) by (2). On the other hand, since x e £>*, we have x e Vn n Dn and x gVkfork^n according to (8). Thus s(x) = sn(x) = rijj by (7) and (5). Therefore \f(x) — s(x)\ < JJ < e. This proves that \f — s\ < s on D \ E. 2. If 0 < / < M on D for some constant M > 0, let s' = s A M. Then s' is a right-continuous step function on D such that 0 < s' < M and | / — s'\ < s on D \ E. 3. Let / be extended real-valued on D and let f = f+ — f~. By our result in 1, for e > 0 there exists a VHlL-measurable subset E\ of D with /z L (Ei) < | and there exists a right-continuous step function s\ on D such that | / + — *i | < f on D \ E\ and similarly there exists a 27tL -measurable subset £2 of £) with fiL (E2) < § and there exists a right-continuous step function S2 on D such that | / ~ — 5-21 < | on D \ £2- If we let E = E\ U £2 and 5 = *i — ^2, then £ is a SDIL-measurable subset of D with nL(E) < /u,L(E\) + [iL(Ei) < s and s is a right-continuous step function on D. For x e D \ E we have |/(X) - 5(*)| = | { / + ( ^ ) - fix)) <|/+(x) Sl(x)\

- {SX(X) -

S2(X)}\

+ \f~(x)

- S2(x)\ < E- + E- = s.

4. Suppose M\ < f < M2 on D for two constants Mi, M2 e K such that Mi < M2. Consider the function g = f — M\ on D. Now 0 < g < M2 — M\ on £>. For every s > 0, by our result in 2 there exists a Sf/tL-measurable subset £ of D with ^ (£) < e and there exists a right-continuous step function t on D such that 0 < t < M2 — Mi on D and |g — t\ < e on D\ E. Let 5 = t + M\ on D. Then s is a right-continuous step function on D such that M\ < s < M2 on D, and \f - s\ = \{g + Mi} - {t + M\}\ = \g - t\ < e on D\E. I In Theorem 6.33 the domain of definition of the SDtL-measurable function / is assumed to be a finite interval so that it has a finite Lebesgue measure. With this assumption, Lemma 6.31 and Theorem 3.25 are applicable in constructing a step function approximating / .

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119

Once the existence of such a step function is proved for a 97tL-measurable function defined on a finite interval, we can use this result to show that a 9JlL-measurable function defined on an infinite interval can be approximated by a step function. This is done in the next Corollary. Corollary 6.34. Let f be an extended real-valued9JlL-measurablefunction on D = [a, oo) or R. Suppose f is real-valued a.e. on D. Then for every e > 0 there exist a fXftLmeasurable subset E of D with fiL(E) < e and a right-continuous step function s on D such that \f — s\ < s on D \ E. Moreover if M\ < f < M2 on D for two constants M\, M2 € R such that M\ < Mj, then s can be so chosen that M\ < s < M2 on D. Proof. The Corollary can be proved in the same way for the two cases D = [a, oo) and D = R. Let us consider the case D = R. Let £ > 0 be arbitrarily given. Let /„ = [n — 1, n) for n 6 Z. Then {/„ : n € Z} is a disjoint collection of finite intervals of the class 3 c o with (J«eZ ^1 = K. By Theorem 6.33 there exist a VOlL-measurable subset En of /„ with HL (En) < 2 - ' " ' I and a right-continuous step function sn on /„ such that \f — sn\ < 2~'"' | on In \ En for every n € Z. If Mi < / < M2 on D, then sn can be so chosen that M\ < s„ < M2 on /„ according to Theorem 6.33. If we let E = UngZ E" m e n E is a WlL -measurable subset of D with

neX

neZ

n£%

Let s be the right-continuous step function on R defined by setting s = sn on /„ for n e Z. Then \f - s\ = \f - sn\ < s on /„ \ En for n e 1 so that \f - s\ < e on R \ E. If M\ < f < M2 on R, then as noted above sn can be so chosen that Mj < sn < M2 on /„ for n € Z and consequently Mi < s < M2 on R. I Theorem 6.35. Let f be an extended real-valued SDtL-measurable function on D = [a, b), [a,oo),<?rR. Suppose f is real-valued a.e. onD. Then there exists a sequence (sn : n e N) of right-continuous step functions on D which converges to f on D in measure /iL and also converges to f a.e. on D. Moreover if Mi < f < M2 on Dfor two constants Mi, M2 e R such that Mi < M2, then the sequence (s„ : n e N) can be so chosen that Mi < s„ < M2 on Dfor every n e N. Proof. By Theorem 6.33 and Corollary 6.34, for every i e N there exists a WlL -measurable subset Ek of D with iiL (E^) < £ and there exists a right-continuous step function st on D such that |s* - / | < j o n D \ Ek- This implies {D : \sk - f\ > \) C Ek so that we have p.L\D : \sk — f\ > \] < \ for every fc € N. According to Corollary 6.18, this shows that the sequence (sk : k G N) converges to / on D in measure. Then by Theorem 6.24 (Riesz), there exists a subsequence (skt : I e N) which converges to / a.e. on D. As a subsequence of (sk : k e N), the sequence (s^ : £ e N) also converges to / on D in measure. If Mi < / < M2 on D, then st can be so chosen that M\ < Sk < M2 on D for every k eN according to Theorem 6.33 and Corollary 6.34 and thus Mi < Ske < M2 on D.

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CHAPTER 1 Measure Spaces

[V.2] Approximation of Lebesgue Measurable Functions by Continuous Functions Theorem 6.36. (E. Borel) Let f be an extended real-valued %JlL-measurable function on R which is real-valued a.e. on R. Then for every s > 0 there exist a 9JlL-measurable subset E o/R with HL{E) < e and a continuous real-valued function g onW. such that \ f — g | < e on R \ E. Moreover if M\ < / < M2 on R for two constants M\, M2 e R such that M\ < M2, then g can be so chosen that M\ < g < M2 on R. Proof. Let e > 0 be arbitrarily given. According to Corollary 6.34, there exist a 9JlLmeasurable subset EQ of R with fj,L (Eo) < § and a right-continuous step function 5 on R such that \f — s\ < § on R \ Eo. Let s be given by s = J^neZ c « ' l/« where c„ e M. for n € Z and {/„ : n e Z} is a disjoint collection of finite intervals of the class 3C0 with UneZ 1» = R- We number the intervals 7„ in such a way that 7„ is to the left of 7„+i on the real line R for every n e Z. This is possible since the set of the endpoints of the intervals in the domain of definition of a right-continuous step functions on R does not have any limit points in R as we noted following Definition 6.29. Let 7„ = [an, an+\) where an < an+\ for n s Z. The set {an : n € Z} contains all the points of discontinuity of the step function s in R. Now for every n e Z, an is the right endpoint of the interval 7„_i = [a„_i, an) and the left endpoint of the interval l„ = [an, an+\). Let us define

«„ = imin{^||,€(7 B _i),€(/ I ,)|,
^n = fa« + ^"' a «+l

^n+ll C /«,

Jn = [a„ - &n,a„ + &„]•

Then R = • • • U 7„_i U /*_, U Jn U I* U y„+i U 7*+1 U • • •, where 7„_ [ is to the left of I*_v I*_x is to the left of Jn, Jn is to the left of I* and so on. We define a continuous real-valued function g on R by setting g be equal to 5 on 7* and letting g to be linear on Jn assuming the value of i at the two endpoints of 7„ for every n e Z. Thus for x € 7* we define g (x) = c„ and forx e /„ we define gOO by g(x) - c„_i _ c„ - c„-i x - (a„ - 5„) (a„ + S„) - (a„ - Sn)' that is,

sW=
Let £ = £0 U (U« € z ^«)- T n e n

" ,,"~ {^-(a»-^)} + c»-i£ is a

SD^-measurable subset of R with

neZ

neZ

neZ

andg = i o n R \ 7 i . T h e n | / - g | < \f - s\ + \s - g\ = | / - *| < s on R \ £ . If Mi < / < M2 on R, then 5 can be so chosen that M\ < s < M2 on R according to Corollary 6.34. Then for the continuous real-valued function g defined above, we have M\ < g < M2 on R. •

§6 Convergence a.e. and Convergence in Measure

121

Theorem 6.37. Let f be an extended real-valued '^Immeasurable function on R. Suppose f is real-valued a.e. on R. Then there exists a sequence (gn : n e N) of continuous realvalued functions on R which converges to f on R in measure \iL and also converges to f a.e. on R. Moreover if M\ < / < M2 on Rfor two constants M\, M2 e R such that M\ < Mi, then the sequence (gn : n € N) can be so chosen that M\ < gn < M2 on Rfor every n e N. Proof. This Theorem can be proved in the same way as Theorem 6.35. I

(Let us remark that if / is a 9JtL -measurable but not *8R-measurable real-valued function on R then there does not exist any sequence (gn : n e N) of continuous functions on R which converges to / everywhere on R since the existence of such a sequence implies that / is *BR-measurable on R by (b) of Theorem 4.22.) A continuous real-valued function / defined on an open set G in a topological space X may not have a continuous extension to X, that is, there may not be any continuous real-valued function g on X such that g = / on G. For example, if X = R and G = (—00,0) U (0, 00) and / is defined by f(x) = x~l for x e G, then / is continuous on G but has no continuous extension to X. On the other hand, if / is a continuous real-valued function defined on a closed set F in a metric space X, or more generally in a normal topological space, then / has a continuous extension to X. In the next Proposition, we prove this for the particular case X = R by an elementary construction. Proposition 6.38. Let F be a closed set in R. If f is a continuous real-valued function defined on F, then f has a continuous extension to R, that is, there exists a continuous real-valued function g onM. such that g = f on F. Proof. 1. Let G = Fc. Then G is an open set in R so that G = \Jk€N h where (Ik : k € N) is a countable collection of disjoint open intervals in R. Let Ik = (ak, bk) for k € N. Let us define a real-valued function g on R by setting g = f on F and setting f(bk) - f(ak) —— (x - ak) + f{ak) for x e [ak, bk] for k e N, bk - ak that is, g is linear on the closed interval [ak, bk] D Ik. Note that ak and bk are in F so that f(ak) and f(bk) are defined and g(ak) = f(ak) and g(bk) = f(bk). Let us show that g is continuous at every xo e R. Now G n F = 0 and G U F = R and every xo e R is either in G or in F . 2. If XQ e G, then xo e (ak, bk) for some k e N. Since g is linear on (ak, bk), g is continuous at *o- Suppose xo e F. To show that g is continuous at xo, we show that g is both left-continuous at XQ and right-continuous at xo- Let us prove the right-continuity of g at xo. There are three cases to be considered regarding the position of xo in F: (a) There exists n > 0 such that [xo, xo + n) C F . (b) There exists r\ > 0 such that (xo, xo + r}) C G. (c) For every r\ > 0, (xo, XQ + n) contains points from both F and G. Case (a). Since / is continuous on F , it is continuous on [xo, XQ + 77) and in particular right-continuous at XQ. Then since g = f on [XQ, XQ + n), g is right-continuous at XQ.
g(x)

=

122

CHAPTER 1 Measure Spaces

Case (b). The fact that xo e F and (xo, -*o + v) C G implies that there exists t e N such that (XQ, XQ + n) c {ak, bk) and XQ = ak. Then since g is linear on [ak, bk], g is right-continuous at XQ = ak. Case (c). By the continuity of / at XQ, for every e > 0 there exists & > 0 such that (1) \f{x) - f(x0)\ < B- forxe[x0,x0 + 5)r\F.

Now since (xo, xo + n) n F ^ 0 for every r\ > 0, there exists xi e (xo, xo + 6) n F. Let us write x\ = XQ + So with <o e (0, 6). By (1) and by the fact that g = f on F, we have 5 (2) |g(x) - g(x 0 )| < forx € [x0, xo + <50] 0 F.

Consider [xo, xo + So] D G. If x e [xo, xo + So] f l G, then since xo, xo + So $ G and ~ x € G, there exists t e N such that x € (a*, &*) C [xo, xo + <5o] C [xo, xo + 8). Since ak,bt e [x 0 .*o + * ) n F , ( l ) implies that | / ( a t ) - / ( * o ) l < f and \f(bk) - f(x0)\ < f. Since g is linear on [ak, bk], for our x e (a*, &*) we have either f(ak) < g(x) < fibk) or /(«*) > g(x) > /(£\t) and in any case we have |#(x) - f(ak)\ Then \g(x) - g(x 0 )| = \g(x) - /(xo)| < \g(x) - / ( a t ) | + | / ( a t ) - /(xo)| < y + E-s = e. Thus we have shown (3) \g(x) - g(xo)\ < £ forx e [x 0 ,x 0 + So] DG. < | / ( a t ) - f(bk)\ < \f(ak) - / ( x 0 ) | + | / ( x 0 ) - f(bk)\ < y.

Since F U G = R, (2) and (3) imply that |g(x) - g(x 0 )| < e for x e [x0, x 0 + 5 0 ]. This proves the right-continuity of g at xo. The left-continuity of g at xo is proved likewise. • Theorem 6.39. (N. N. Lusin) Let f be an extended real-valued 9DTL-measurable function on R which is real-valued a.e. on R. Then for every e > 0 there exist an open set G in R with fiL(G) < e and a continuous real-valued function g onR such that g = / onR\G. Proof. Let e > 0. According to Theorem 6.36 (Borel), for every n e N there exist a VfJlL-measurable subset En of R with [iL (£„) < § jr a n u a continuous real-valued function /„ on R such that |/„ - / | < §^r on R \ £„. Let £ = U n e N £ « - T n e n w e h a v e l/»-/l<|^T onR\£forevery«£N.

This shows that the sequence (/„ : n e N) of continuous functions converges to / uniformly on R \ E. The continuity of /„ and the uniform convergence of /„ to / on R \ E implies that / is continuous on R \ E. Now

M*) =^{\jEn)<

£>,(£«) < E \kn = 'I

§6 Convergence a.e. and Convergence in Measure

123

According to (a) of Lemma 3.21, there exists an open set G in R such that G D E and i^L (G) < fiL (E) + | < e. Since / is continuous on R \ E, it is continuous on the closed set R \ G. Then by Proposition 6.38 there exists a continuous real-valued function g on R such that g = f on R \ G. I

Problems
Assumptions. For problems in this section, unless otherwise stated, it is assumed that ( / „ : « £ N) is a sequence of extended real-valued 2l-measurable functions on a set D e 21 in a measure space (X, 21, fi) and / is a real-valued 2t-measurable function on D. Similarly for (gn : n e N) and g. Prob. 6.1. Let (X, 21, /x) be a measure space and let D € 21. Let (/„ : n e N) and / be extended real-valued 2(-measurable functions on D and let / be a real-valued on D. For an arbitrary £ > 0 let De „ = \D : \f„— f\ > e} for n e N. Then lim fn = f a.e. on D
'
7l->00
l

'

n->oo

if and only if /x( lim sup DS)n) = 0 for every e > 0. Prob. 6.2. Let (X, 21, /x) be a measure space. Let ( / „ : « € N) be a sequence of extended real-valued 2l-measurable functions on X and let / be an extended real-valued 2l-measurable function which is finite a.e. on X. Suppose lim /« = / a.e. on X. Let
n—>oo

a e [0, fJ.(X)) be arbitrarily chosen. Show that for every s > 0 there exists N e N such thatyu,{X : |/„ - / | < e } > a f o r n > N. Prob. 6.3. Let (/„ : n e N) be a sequence of real-valued continuous functions on R. Let E be the set of all x e R such that the sequence (fn(x) : n 6 N) of real numbers converges. Show that E is an F^a-set, that is, the intersection of countably many f ff -sets. (Hint: Use the expression E = f|meN LUeN H U N j " l : 1/W+pW ~ /N(X)\ < ±}.) Prob. 6.4. Conditions 1° and 2° in Theorem 6.7 are sufficient for (/„ : n e N) to converge to / a.e. on D, but they are not necessary. To show this, consider the following example: In (R, VJlL, tiL), let D = (0,1) and let /„(*) = 1 for x € (0, ±) and / ( * ) = 0 for x e [£, l) for n e N and let f(x) = 0 for x e (0,1). Then (/„ : n e N) converges to / everywhere on D. Show that for any sequence of positive numbers (e„ : n e N) such that
}^oSn
=

°'

W e haVe

£ » e N ^L{X

(°. !)

:

\fn(x)

- / M l

£ £«} = <X>.

Prob. 6.5. To show that Egoroff's Theorem holds only on sets with finite measures, we have the following example: Consider (R, WlL,nL). Let D = [0, co) with nL(D) = oo. Let f„(x) = ± for x e D for n e N and let f(x) = 0 for x e D. Then the sequence (/„ : n e N) converges to / everywhere on D. To show that (/„ : n e N) does not converge to / almost uniformly on D, we show that for some r\ > 0 there does not exist a 9JtL-measurable subset E of D with fiL(E) < r\ such that (/„ : n € N) converges to / uniformly on D\E. Show that actually for any 9JlL-measurable subset E of D with fJ-L(E) < oo, (/„ : n e N ) does not converge to / uniformly on D \ E.

124
a,

CHAPTER 1 Measure Spaces

Prob. 6.6. By definition, /„ -*• f on D if for every e > 0 lim n{xeD: \fn(x) - f(x)\ > e} = 0. Show that this condition is equivalent to the condition that for every £ > 0 lim n{x e D : \fn(x) - f{x)\ > e} = 0. Prob. 6.7. (a) Show that the condition lim (j,{x € D : \fn(x) - f(x)\

> 0} = 0

implies that /„ —• / on D. > (b) Show by example that the converse of (a) is false. (c) Show that the condition in (a) implies that for a.e. x e D we have fn(x) infinitely many n e N.

= f(x)

for

Prob. 6.8. Let(a„ : n e N) be a sequence of extended real numbers. Show that the sequence converges to a real number a if and only if every subsequence (ank : k e N) of the sequence (an : n € N) has a subsequence (anic : I e N) converging to a. Prob. 6.9. (a) Show that if every subsequence (/„,. : t e N ) of a sequence (/„ : n e N) has a subsequence (f„k : I € N) which converges to / on D in measure, then the sequence ( / „ : « € N) itself converges to / on D in measure. (b) Show that if /x(D) < oo and if every subsequence (/„,. : k € N) of the sequence ( / „ : « € N) has a subsequence (/„,. : I g N) which converges to / a.e. on D, then the sequence ( / „ : « € N) itself converges in measure to / on D. Prob. 6.10. Show that if /„ — f on D, then c/„ —• cf on Z) for every c e R. > > (Assume that /„ is real-valued for every n e N to make multiplication cfn(x) of fn(x) by c e R including c = 0 possible at every x e D. Alternately, consider only c ^ 0 and permit /„ to be extended real-valued.) Prob. 6.11. Show that if /„ -> f on D and gn ->• g on D, then /„ + g„ ->• / + g on D. (Assume that /„ andg„ are real-valued for every n e N to make the addition fn(x) + gn(x) possible at every x e D.) Prob. 6.12. Show that if /„ -> f on D and g„ ->• g on D and if M C ^ ) < co, then /ng« —• / g on D. (Assume that both /„ and g„ are real-valued for every n e N so that the > multiplication /«(x)g„(x) is possible at every x e D.) Prob. 6.13. Show that if /„ -» f on D and if /A(D) < oo, then for every real-valued continuous function F on R we have F o fn —*• F o / on D. (Assume that /„ is real-valued foreveryn e N to make the composition ( F o / „ ) ( x ) = F ( / „ ( x ) ) possible at every x € D.) Prob. 6.14. The following are two modifications of Prob. 6.13: (a) Show that if we remove the condition IJ,(D) < oo, we still have F o f„ -*• F o / o n D if we assume that F is uniformly continuous on R. (b) Show that if we remove the condition fi(D) < oo, we still have F o /„ -> F o / on D

§6 Convergence a.e. and Convergence in Measure if we assume that the sequence (/„ : n e N) is uniformly bounded.

125

Prob. 6.15. Referring to Prob. 1.32, show that ([21], p*) is a complete metric space, that is, if a sequence {[A„] : n e N} in [21] is a Cauchy sequence with respect to the metric p* then there exists [A] e [21] to which the sequence converges with respect the metric p*. Prob. 6.16. An extended real valued function / on R is said to be left-continuous at xo e R if f(xo) s R and lim^-f^ f(x) = f(xo). Similarly / is said to be right-continuous at xo e R if f(x0) e R and l i m ^ f(x) = f(x0). (a) Show that if / is left-continuous everywhere on R, then / is 2$R-measurable on R. (b) Prove a parallel statement for a right-continuous function. (Hint: For (a), construct a sequence of right-continuous step functions which converges to / everywhere on R.) Prob. 6.17. Let / be an extended real valued function on R. (a) Show that if limx-|-Xo f(x) exists in R for every xo e R, then the collection of points xo € R at which Hm^-t.xo f(x) ^ f(xo) is a countable collection. (b) Prove a parallel statement for lim^j,Xo f(x). Prob. 6.18. Let / be an extended real valued function on R. (a)Showthatif lim^fjco /(x) exists in R for every xo € R,then / is 58K-measurable on R. (b) Prove a parallel statement for lim^,, f(x). Prob. 6.19. Let (X, 21, fi) be afinitemeasure space. Let ( / „ : « € N) be an arbitrary sequence of real-valued 2l-measurable functions on X, Show that for every e > 0 there exist E € 21 with n(E) < s and a sequence of positive real numbers (an : n e N) such that lim anfn = 0 on X \ E.
n—voo

Prob. 6.20. Let (X, 21, fi) be a finite measure space. Let (/„ : n € N) be an arbitrary sequence of real-valued 2l-measurable functions on X. Show there exists a sequence of positive real numbers (a„ : n £ N) such that lim anfn = 0, /x-a.e. on X.

This page is intentionally left blank

Chapter 2 The Lebesgue Integral
§7 Integration of Bounded Functions on Sets of Finite Measure
[I] Integration of Simple Functions
Definition 7.1. Given a measure space (X, 21, p.). A function <p is called a simple function if it satisfies the following conditions: 1° 2>0p) € 21, 2° (p is ^.-measurable on 3}(<p), 3° <p assumes only finitely many real values, that is, 9t(<p) is a finite subset o/R. (Note that /u,(2)(<p)) = oo is permissible but oo and —oo are not permissible values for a simple function (p.) Lemma 7.2. If tp\ and q>2 are simple functions on a set D e 21 and if c\, ci e R, then c\ <p\ + C2 (f2 is a simple function on D. Proof. The 2l-measurability of c\ (p\ +C2 q>2 on D follows from that of <p\ and % by Theorem 4.12. Since cp\ and < 2 each assume only finitely many real values, c\ <p\ + C2 <P2 assumes P only finitely many real values. In fact if {a, : i = 1 , . . . , m) and {bj : j = 1 , . . . , n) are the values of <p\ and <P2 respectively, then the values of c\ <p\ + C2 <pi are given by \c\a-i + C2bj : i = 1 , . . . , m; j = 1 , . . . , n) which is a finite set in R. Thus c\ cp\ + C2 <P2 is a simple function on D. | Definition 7.3. Let ip be a simple function on a set D € 21 in a measure space (X, 21, /x). Let {a, : i = 1 , . . . , « } be the set of the distinct values assumed by (p on D and let Di = [x e D : cp(x) = a{\ for i = 1 , . . . , n. {D; : i: = 1 , . . . , n\ is a disjoint collection in 21 and (J" = 1 A' = D. The expression <p(x) = Y^l=\ a i l D , M for x e D, or briefly, <p = 2^i=i ai'lD,-. is called the canonical representation of (p. Note that if Dt e 21 and a,- e R for /' = 1 , . . . , n and if we let D = \J"=, £>, and define <p = YH=\ ai^Di on D then <p is a simple function on D. However Yll=\ ai^-Di may not be 127

128

CHAPTER 2 The Lebesgue Integral

the canonical representation of <p since (D, : i = 1, . . . n) may not be a disjoint collection and since {a, : i = 1 , . . . , n] may not be a collection of distinct real numbers. Convention. We adopt the convention that 0 • ±oo = ±oo • 0 = 0 if one the two factors is the constant value of a measurable function on a measurable set and the other is the measure of the set. Let f = J21-1 ai 1 D,be the canonical representation of a simple function on a set D e 21 of a measure space (X, 21, p,). By our convention above, a,/x(D,) is defined and exists in the extended real number system R for £ = 1 , . . . , n but YH=\ A/MCA) may not exist since oo — oo is undefined. Definition 7.4. Let <p = Y11=\ ai^Dj be the canonical representation of a simple function on a set D G 21 in a measure space (X, 21, p). The Lebesgue integral oftp on D with respect to p, is defined by / <P(x)p(dx) = Y \ / z ( D , ) ,
JD

7=T

provided that the sum exists in R. In this case we say that <p is Lebesgue semi-integrable on D with respect to p, or simply, p semi-integrable on D. We say that (p is Lebesgue integrable on D with respect to p., or simply p-integrable on D, only when fD ip{x) /x(dx) is a real number. The notation fD <p dp. is an abbreviation for fD(p(x) p(dx). LetD e 2landlet{D,- : £ = 1 , . . . ,n) be a disjoint collection in 21 such that U?=i A' = D. Let a\,... , an € R. If we define a function <p on D by setting cp = YM=\ a ' 1D« o n D t n e n <p is a simple function on D. However Y11=\ ai^Di may not be the canonical representation of cp since ai,... ,an are not assumed to be distinct. Nevertheless Definition 7.4 implies that if fD <p dfx exists then it is given by I <pdn =
JD

y^aip(Dj).
,-=I

To show this, consider for instance the case that a\,... , a„, are distinct and an-\ = an. In this case we let £ = Dn-\UDn. T h e n ^ " ~ j a,-lD,+fl„_il£ is the canonical representation of (p so that by Definition 7.4 we have

/ (pdfi = J2aip(Di) JD

.

n-2
,-=I

n-2

+

an-ip(E)

^aip(Di)
1=1

+ an-ip(Dn-i)

+ a„-ip.(Dn)

Y^aip{Di).
;=1

Examples. Consider (R, 25R, tiL). Let Q and P be respectively the sets of all rational numbers and irrational numbers in R. We have P D Q = 0, P U Q = R and P, Qe *8R. Let us define a simple function <pi on [0,1] e 23R by setting (pi(x) = 0 forx G [0,1] n Q

§7 Bounded Function on Set of Finite Measure

129

and <pi(x) = 1 for* e [0,1] n P. With pL([0,1] D Q) = 0 and pL([0, 1] n P) = 1, we have / r o j , <pi rf/xL = 0 - 0 + 1 - 1 = 1 and thus < ? is /ii-integrable on [0,1]. Next let us yi define a simple function <pi on R by setting <pi(x) = 0 forx G Q and <P2(-0 = 1 for x € P . In this case we have pL(Q) = 0 and pL(P) = oo so that fR<p2dpL = 0 • 0 + 1 • oo = oo and thus <pi is p semi-integrable on R. As another example, if we define a simple function <p^ on [0, oo) € 2 $ R by setting (pz(x) = —1 for* € U*eZ + [ 2 ^ + 1 . 2 * + 2) and <Pi(x) = 1 for JC G U/fc<EZ [2fc, 2k + 1), then since pL ( | J * e z [2* + 1, 2k + 2)) = oo and MtdJjteZ+t 2 ^ 2 * + 1)) = oo also, and since - 1 • oo + 1 • oo is undefined, Jjo.oo) does not exist. Observation7.5. Let <p be a simple function on a set D 6 21 in a measure space (X, 21, /x). 1° If p(D) = 0, then | D < d/x = 0. p 2 ° If^^Oon D,thenfD<pdp = 0. 3° If ^ > Oon D, then fD<pdp e [0, oo]. 4 ° If (? < Oon D,then jD<pdp e [-oo,0]. 5° If M O ) < oo, t h e n / D < d/x e R. p
6° <p is ^t-integrable on D if and only if p{D : cp ^ 0} < oo.

7° If < > 0 on D, then fD <p dn = 0 if and only if it{jc G D : <p(x) # 0} = 0. p 8° If (p > 0 on D, E c £>, and £ e 2t, then jE<pdp< fD<pdp. Observation 7.6. Let 9) be a simple function on a set D G 21 in a measure space (X, 21, it). Let {Ei,... , £&} be a disjoint collection in 21 such that U / = i Ej = D. Then < is a simple p function on Ej for j = 1,... ,k and if (p is /x semi-integrable on D then so is < on Ej for p j = 1 , . . . , k and furthermore fDcpdp = Yl ;=i J^. V ^MProof. Since £ ; G 21 and Ej c D, the 2l-measurability of <p on D implies the 21measurability of the restriction of cp to Ej by Lemma 4.7. Since <p assumes only finitely many real values on D, its restriction to Ej assumes only finitely many real values on Ej. Thus the restriction of cp to Ej is a simple function on Ej for every j = 1 , . . . , k. Now let <p = J21=\ ai^Di be the canonical representation of cp. Consider the disjoint collection {Dt n Ej : i = 1 , . . . , n; j = 1 , . . . , k) in 21 with U* = 1 ( A n Ej) = D,- for i = 1 , . . . , n and U" = 1 U,-_j(Z>,- n £ j ) = D. The canonical representation of <p on £y- is given by <P = E"=i ailD,nEj- Now
,, n n 1- £ -1

•/D

;=I
k
1n

;=i

Ly-=1
-• &

J

= X1 ^a/MA-nE;) = £ ] / ^ - •
j;_1 <- , =1 = \ L ;_

J

Ei j;_, JlJEJ =

Lemma 7.7. Let <p\, (pi, and cp be simple functions on a set D G 21 in a measure space (X, 21, p.). Assume that (p\, cp2, and cp are p semi-integrable on D.

130

CHAPTER 2 The Lebesgue Integral

(a) If<p\ = <p2 a.e. on D, then fD <p\ dfi = fD <p2 dfi. (b) lfip\ < cp2 on D, then fD <p\ dfi < fD <p2 dfi. (c)If<p(x) e [Mi,M2]forx € D, thenfD<pdfi e [Mifi(D), M2fi(D)]. (d) ccp is fi semi-integrable on D for every e e l . If c ^ 0 then we have JD cip dfi = c fDcp dfi. Ifc = 0 then fD c<p dfi = 0 but c fDcp dfi is undefined in case fD ip dfi = ±oo. (e) Ifcp is fi-integrable on D, then so is ccp for every c € R and moreover we have fD c(pd/j, = cfDcp dfi. (f) If<p\ > 0 and <p2 > 0 on D, then <p\ + <p>2 is fi semi-integrable on D and moreover jDW\ + (p2}dfi- fD <px dfi + fD <P2 dfi. (g) If at least one of<p\ and <p2 is fi-integrable on D, then <p\ + tp2 is fi semi-integrable on D and moreover we have fD{<P\ + <p2} dfi = fD tp\ dfi + fD <p2 dfi. In particular, if both <p\ and <p2 are fi-integrable on D, then so is ip\ + (p2. (h)IfDuD2 €21, DXDD2 = 0andDiUD2 = D.then fD<pdfi = fDi<pd(i+fD2<pdfi.

Proof. 1. To prove (a), suppose <p\ = tp2 on D \ E where £ is a subset of D which is a null set in (X, 21, fi). By Observation 7.6, we have fD <pi dfi = JD.E ip\ dfi + fE <p\ dfi and JD <P2 dfi = fD<E <p2 dfi + fE <P2 dfi. On D \ E we have <p\ = <p2 so that we have ID\E fl ^ = ID\E V2 dn- Since fi(E) = 0, we have fE ip\ dfi = 0 and fE <p2 dfi = 0 by 1° of Observation 7.5. Thus we have fD <p\ dfi = fD cp2 dfi. 2. (b), (c), (d), and (e) are immediate from Definition 7.4. 3. To prove (f), let (p\ = Yi?=\ ai^Et and (p2 = YL"j=\ bj^Fj be the canonical representations of ip\ and <p2 respectively. If we let G, j = £; n Fj, then we have a disjoint collection [Gtj : i = 1 , . . . , m\ j = 1 , . . . , n) in 21 with \JJLX \Jnj=x Gtj = D. We have <P\dfi = Y^atfiiEi) = ^a;
i=l

^2fi(Gij)
<-j=l -1

/,
and similarly

= ^^a,/M.(G;,;)
i=\ j=\

«= 1

/,

<p2dfi = YJbj^Fj)
y=i

= Y,bj
;=i

£>(G,-, y ) = £ £ > ; / x ( G , j ) .
1=1
J

i=i j=\

On the other hand since <p\ + q>2 assumes the value a,- + bj on the set G,j for i = 1, . . . , m and j = 1 , . . . ,n, we have fD{<p\ + <p2)dfi = YA=\ Y!)=i(ai + bj)fi(Gij). Thus we have fD{<pi + (p2)dfi = fD ip\ dfi + JD <p2dfi. 4. To prove (g), let cpi — Y1T=\ ai^Ei and <P2 = YTi=\ bj^Fj be the canonical representations of <p\ and <p2 respectively. Let Gtj = E, n Fj as in 3. We have the equalities fD<p} dfi = J2T=i E " = i aifi(Gi,j) and fD<p2dfi = JJ=l E " = i bjfi(Gij). Let us show that if at least one of tp\ and tp2 is /^-integrable on D, then the simple function <p\ + cp2 is fi semi-integrable on D. Let us assume that cp2 is /x-integrable on D. Since cp\ + tp2 assumes the value a,- + bj on Gij, to show that <p\ + <p2 is fi semi-integrable on D we show that E i = i Yl"i=\(ai + bj)fi(Gij) exists in R. Suppose among the m x n summands in YA=I YTj=iiai + bj)fi(Gij), we have (a,- + bj)fi(Gij) = oo for some (/, ;')

§7 Bounded Function on Set of Finite Measure

131

and (ak + be)fi(Gk,e) = — oo for some (k, I). Now since (p2 is /Lt-integrable on D and thus bjfi(Gij) and btfi(Gk,t) are finite, we have aifx(Gij) = oo and ak/x(Gk,t) = —°° and then anx(Ei) = oo and ak/x(Ek) = —oo. This is impossible since cp\ is p. semiintegrable on D and Y17=\ a 'A t (^<) exists in R. This shows that it is impossible that one of the m x n summands assumes the value oo and another the value — oo. Therefore E"=i £}=i( f l i + bj)n(Gij) exists in I . 5. (h) is a particular case of Observation 7.6. I

[II] Integration of Bounded Functions on Sets of Finite Measure
Given a measure space (X, 21, p). Let D be a 2l-measurable set with fx(D) < oo. Then every simple function on D is /x-integrable on D with respect to p.. Let / be a bounded real-valued function on D, say \f(x)\ <Mforx e D for some constant M > 0. Let <p and i/f be simple functions on D such that <p(.x) < f(x) and / ( x ) < i/r(x) for x e D. (Such simple functions always exist. For instance (p(x) = —M and ^/(x) — M for x e D will do.) Now since <p < ijr on D, we have fD(pdix < fDir dfi. Observation 7.8. Let / be a bounded real-valued function on a set D e Stwith/x(D) < oo in a measure space (X, 21, yu,). Suppose f(x)e [M\, M2] for some constants M\, M2 € R such that Mi < M2. Then we have M\fx(D) < sup / (pd\i< <p<fJD inf I fd^ f^Js < M2fJ.(D),

where sup^<y- is the supremum on the collection of all simple functions <p on D such that <P < / on D and inf /<^, is the infimum on the collection of all simple functions i/r on D such that / < xjs on D. Proof. For every cp and r/r, we have <p < f < iff and thus fD<pdfx < JDij/ d/x by (b) of Lemma 7.7. Then with an arbitrarily fixed cp, we have fD <p dfx < inf fD\j/dix. Since this holds for every cp, we have sup fn(pd/x
•P<f

< inf fnip-d/x.
f ^

I

Theorem 7.9. Let f be a bounded real-valued function on a set D e 21 vv/f/i /x(D) < 00 in a measure space (X, 21, /x). (a) If f is ^.-measurable on D, then (1) sup / <pdix= inf / -ty djx.
<P</JD f<fJD

(b) Conversely if(l) holds, then f is ^-measurable on D provided that (X, 21, /x) is a complete measure space. Proof. 1. Let us assume that / is 2l-measurable on D. Since / is bounded on D, there exists M > 0 such that f(x) € (—M, M] for x 6 D. For each n e N, let us divide the

132

CHAPTER 2 The Lebesgue Integral

interval (-M, M] into In equal subintervals of length ^ given by I„yk = ((k - 1 ) ^ , k —] for k = -n + 1 , . . . , n. Let D„ik = {D : f e /„,*} = f~l (/„,*). Since / is"a realvalued 2l-measurable function, it is a 2l/23R-measurable mapping by Theorem 4.6. Then since /„,* e $BR, we have / " ' (/„,*) € 21. Thus {Dn,k : k = -n+ 1,... , n} is a disjoint collection in 21 and U t = - n + i D » a = D - For each n e N, let us define two simple functions cpn and i/f„ on D by setting M <Pn(x) = (k - 1)— for x € Dn,k for £ = - « + 1 , . . . , n, n M isn(x) = k— forx e D„ k for k = -n + 1,... ,n. n We have cp„(x) < f(x) < ^„(x) for* e D. Now by Observation 7.8, we have 0 < inf / \j/ d/j, - sup / <pdfi < I fndfifSfJD <P<fJD JD JD

<pn dfx

= \ blfn- <Pn)dlU. =

V Mi

/

[fn- <pn}dfi

E
*=-«+1 = V
k=-n+l

I

M

k — - ( f c - i ) — /i(A.,t) I n n J

A M

M

— MD„,k) = — n.{D)

for an arbitrary n € N. Letting n -> oo, we have inf JDf dfx— sup fD<pdfj, = 0. This proves (1). 2. Conversely suppose (1) holds. Assume also that (X, 21, n) is a complete measure space. Let us show that / is 2C-measurable. Now for every n € N, there exist a simple function <p„ < / and a simple function tjfn > f such that sup I < rf/u, < / <p„ dfi p
<p<f JD
n

JD

and f<* JD n JD ID Subtracting the first inequality from the second and applying (1) we have (2) / fndfiJD JD

inf

/ ^rd[i-\—>

/

i/ndfi.

(p„dfi < -. n

If we define two functions g and h on D by setting g = sup n s N <pn and h = infneN irn, then g and h are 2l-measurable on D by Theorem 4.22. Also from <pn < f < i}rn on D for every n € N, we have g < f < h on D. If we show that g = h a.e. on D, then we have / = g a.e. on D. Then the fact that g is 2l-measurable on D and (X, 21, /n) is a complete measure

§7 Bounded Function on Set of Finite Measure

133

space implies that / is 2l-measurable on D according to (b) of Observation 4.20. Thus it remains to show that g — h a.e. on D. Now

[D : g # h} = {D : h - g > 0} = | J {D : h - g > {}
so that

lx{D : g ^ h} <J2^{D • h - g > l).
ken If we show that (3) n{D : h - g > j } = 0 for every keN,

then fi{D : g ^ h] = 0 and g = h a.e. on D. To prove (3), let k e N be fixed. Since Vn < g < f < h < \jr„ for n e N, we have [D : h — g > 1} <Z {D : \/fn — <p„ > \] and then p{D : h — g > £} < /x{D : i\rn — <p„ > £}. Thus we have

^(D:*-«>J)<^(D:^-W.>J)

< I Wn- <Pn])d/j.<
JD

2 -, n

where the second inequality is from the fact that \ < ^n — % on {D : ^/n — <pn > | } so that (b) of Lemma 7.7 is applicable, the third inequality is by 8° of Observation 7.5, and the last inequality is by (2). Since this holds for every n € N, we have \p~{D : h — g > £} = 0 and then multiplying by k we have p,{D : h — g > £} = 0. This proves (3). I If / is a bounded real-valued 2C-measurable function on a set D e 21 with p.(D) < oo in a measure space (X, 21, /x), then s u p ^ y fDcpdp = inff<^, fD tjrd\x € R by Theorem 7.9 and Observation 7.8. This is the basis of the following definition. Definition 7.10. Given a measure space (X, 21, /it). Let f be a bounded real-valued 21measurable function on a set D e 21 with [i{D) < oo. We define the Lebesgue integral of f on D with respect to fi by I f(x)p(dx)
JD

= sup I <pdn= inf /
<P<fJD f^fjD

^dp-eR.

In other words, with the collection < of all simple functions <p on D such that cp < / we let t > / f(x)[i(dx) = sup | / (fidp : cp e <t>j.

We say that f is Lebesgue integrable on D with respect to ft or simply p-integrable on D.

134

CHAPTER 2 The Lebesgue Integral

If D e 21 with p(D) < oo then a simple function / defined on D is also a bounded real-valued 2l-measurable function on a set with finite measure so that fD f dp is defined by both Definitions 7.4 and 7.10. Thus we need to verify that the two definitions of fD f dp are consistent for such a function. Let us write / ( / ) for the integral of / on D in Definition 7.10, reserving the notation fD f dp for the integral of a simple function / as in Definition 7.4. Thus / ( / ) = sup {fD<pdfi:<p€<&}. Now if / is itself a simple function on D, then / e $ and moreover for every cp € <> we have <p < f so that fD<pdp < fD f dp by (b) of J Lemma 7.7. T h u s / ( / ) = sup [fD<p dp : <p e <t>} = fD f dp. This shows the consistency of Definitions 7.10 and 7.4. Lemma 7.11. Given a measure space (X, 21, p). Let f\ and fi be bounded real-valued ^.-measurable functions on a set D e 21 with p(D) < oo. If f\ = fi a.e. on D, then fDfidp = fDf2dp. Proof. For i = 1 and 2, let <J>, be the collection of all simple functions <pi on D such that <Pi 5 /;• By Definition 7.10, we have (1) fdp = sup | / <pi dp : <pi e <D; J.

Let us show that corresponding to every <pi e <t>i there exists < 2 s <S>2 such that fD cp\ dp = p fD (p2 dp. Now since f\ = fi a.e. on D, there exists a subset Do of D which is a null set in (X, 21, p) such that f\ — fi on D \ Do. Since f\ and fi are bounded on D, there exists M > 0 such that f\(x), fc{x) e [—M, M] for* e D. Let us define a simple function <p2 on D by setting <P2(x) = <pi(x) forxeD\Do and (p2(x) = — M for* € Do. Then < 2 < fi p on D so that cp2 e $2- By (h) of Lemma 7.7 and 1° of Observation 7.5, we have I <P2dp= I
JD JD\D0

<p2dp + I
JD0

cp2dp = I
JD\D0

<p\dp + 0

=
JD\D0

cp\dp+

cp\ dp = / q>\ dp.
JDO JD

Thus corresponding to every <p\ e <t>i there exists (p2 e <t>2 such that fD y>\ dp = fD tp2 dp. Thenthecollectionofrealnumbers{/ D <pi dp : (p\ e $1} is a subcollection of the collection { fD <pi dp : <p2 € <t>2} a n d therefore we have (2) sup I / <p\ dp : <pi € $ i j < sup I / <p2 dp : <P2 e *2 J •

By (1) and (2), we have fD f\ dp < fD fi dp. Interchanging the roles of f\ and fi in the argument above we have fD fi dp < fD f\ dp. Therefore fD f\ dp = JD fz dp. • Lemma 7.12. Given a measure space (X, 21, p). Let f, f\, and fi be bounded real-valued Vi-measurable functions on a set D e 21 with p(D) < oo. Then (1) f cfdp = c f fdp
JD JD

forceR,

§7 Bounded Function on Set of Finite Measure and (2) / {/i + f2}d/x
JD

135

= f fidn+
JD

f
JD

f2dii.

Proof. 1. To prove (1), note that if c = 0, then cf = 0 on D and thus fD cf d/j. = 0. On the other hand since fD f dfi e R, if c = 0 then c fD f d\x = 0. This proves (1) for the case c = 0. Next consider the case c > 0. Now (3) / cfd[i=
JD

sup / (pd/x = c sup I<p<cf JD

<p<cf [c JD

I

(pd[i\
J

= c sup / —<p dfi = c sup / —<p d/x <p<cf JD C <p/c<f JD C = c sup / (pdfi = c j <fi<fJD JD fd/x.

This proves (1) for the case c > 0. When c — — 1, we have (4) / (—f)dfi= JD sup / q>d\x = — inf <— / ipd/xj <f<-fJo v<-f I JD J = — inf
/<-VJD

/ (—(p)djx = — inf / <pd\i
H<PJD

= - f fdn,
JD

where the last equality is by Definition 7.10. This proves (1) for the case c = —1. When c < 0, recalling the results above for the cases c = — 1 and c > 0, we have (5) f cfdtx=
JD

f (-\c\)fdn
JD

= - f \c\fdn
JD

= -\c\ f fdii
JD

= c [
JD

fdfi.

This proves (1) for the case c < 0. With (3), (4), and (5), we have (1). 2. To prove (2), let <p\ and <p2 be simple functions on D such that <p\ < f\ and (pi < fifty (g) of Lemma 7.7, we have / <pidfj,+ I (P2d/J, — / [<pi +<p2}dfj, < sup / (pdfj,, JD JD JD v<fi+h JD since cpi + <p2 is one simple function on D such that cp\ + (p2 < f\ + f2. Then we have / <pidfi+ sup / ^dfi
JD <P2<h.JD

<

sup

/ <pdfi,

V<f\+h.JD

and sup / (p\dn+
<p\<hJo

sup / (pidix <
ipi<hJD

sup

/ <pd\i,

<p<fi+fiJD

136 that is, (6) f fid/i+
JD

CHAPTER 2 The Lebesgue Integral

[ f2dn<
JD

f {/i +
JD

f2}d/i.

Similarly for simple functions i/q and ir2 on D such that f\ < ty\ and f2 < ^2 we have f\ + f2<i'\+ fi so that / fid/x+ JD and then
hi h<^\jD

I f2dfi= JD / i(ridfi+

JD

{fi + if2}dij,>

inf / f dp. h+hsi'JD

inf

inf / f2dtx> fl<t2jD

inf / ^jrdp,, fl+fl<fJD

that is, (7) [ fidn+
JD

[ f2dp
JD

> f {/1 +
JD

f2}dp.

By (6) and (7), we have (2).

Lemma 7.13. Given a measure space (X, 21, fi). Let f and g be bounded real-valued ^-measurable functions on a set D € 21 with p(D) < 00. Then (1) If\f\ (2) f<gonD^[fdp<
JD

[
JD

gdii.

<M on D where M > 0, then \f
\JD

fdp\< I

f
JD

\f\d(i<Mn(D).

Proof. 1. Suppose / < g on D. If cp is a simple function on D such that <p < f then <p < g also. Thus we have sup^<y fDcpdp < sup^<g / D < rf/x,that is, fD f dfj, < fDg dp,. This p proves (1). 2. S i n c e / < | / | a n d — / < | / | also, we have fD f dp < fD | / | dfi by (1) and similarly fD(—f) dfj, < fD l/l <f/j,, that is, — JD f dfi < fD \f\dp by Lemma 7.12. Therefore we have \fDfdfi\ < fD \f\dfi. Also if | / [ < M, then fD \f\dp <fDMdp = Mfx(D) by (1). • Lemma 7.14. Given a measure space (X, 21, p). Let f and g be bounded real-valued Wi-measurable functions on a set D € 21 with IJ.(D) < 00. (a) If f > 0 a.e. on D and JD f dp = 0, then / = 0 a.e. on D. (b) If f < g a.e. on D and fD f d/j, = fDg dp., then f — g a.e. on D. Proof. 1. Consider first the special case that / > 0 on D. Let Do = {x e D : f(x) = 0} and D\ = {x e D : f(x) > 0}. Then we have D 0 , D\ e 2(, D 0 n D] = 0 and Do U D\ - D. Let us show that (1) / = 0 a.e. o n D « . p(Dx) = 0.

§7 Bounded Function on Set of Finite Measure

137

Suppose/ = Oa.e. on D. Then by Definition 4.17 there exists a null set E in (X, 21, /u.) such that£ c D a n d / = Oor\D\E. Then by our definition of D0 we have D\E C D0 = D\D\. Thus D\ C E and consequently n(D\) < (i(E) = 0 so that /ii(Di) = 0. Conversely suppose ii{D\) — 0. Then D\ is a null set in (X, 21, ju.) and D\ c D. Now / = 0 on Do = D\D\. Thus / = 0 a.e. on D. This completes the proof of (1). Let us note that if p,{D) = 0, that is, D is a null set in (X, 21, /i),then/x(Di) < /x(D) = 0 so that / = 0 a.e. on D by (1). Now let us show that if / > 0 a.e. on D and fD f dfi = 0, then / = 0 a.e. on D. By our remark above we need only to consider the case /J.(D) e (0, oo). To show that / = 0 a.e. on D, assume the contrary, that is, the statement"/ = 0 a.e. on D" is false. By (1) this implies that n-{D\) > 0. Now

DX = {D : / > 0} = ( J { £ > : / > ±)
ken and then

0<M(Di) < £ > { £ > : / > i } .
Thus there exist ko e N such that / x { l ) : / > ^ - } > 0 . Let us define a simple function cp on D by setting

1
0 Then cp < f on D. Thus we have

for*e{D:/>i},
forx eD\{D:f>±}.

[ fdn> f <pd>i = 1 J D : / > 1 ] > o.
This contradicts the assumption that fD f d\x = 0. Therefore we have / = 0 a.e. on D. Finally consider the general case that / > 0 a.e. on D and fDfdfx = 0. Then there exists a null set E in (X, 21, fi) such that £ c D and / > 0 on D \ E. By Lemma 7.15

0= f fdn= f fdfM+ [
JD JE

fdn=(
JD\E

fdn.

JD\E

Thus / > 0 on D \ E and fD^E fd[i = 0. By our result above this implies that / = 0 a.e. on D \ E. Thus there exists a null set F in (X, 2t, n) such that F C D \ E and / = 0 on (D \ E) \ F = D \ (E U F). As the union of two null sets, E U F is a null set in (X, 21, /u). Thus / = 0 a.e. on Z>. 2. To prove (b), note that if / < g a.e. on D then g - f > 0 a.e. on D. If in addition we have fDfdn = fDgdfj,, then fD{g - f)dfx = 0 by Lemma 7.12. Then by (a), we have g — f = 0 a.e. on D, that is, / = g a.e. on D. • Lemma 7.15. G/verc a measure space (X, 2t, /it). Ler f be a bounded real-valued immeasurable functions on a set D e 2t wfrfc AI(Z)) < oo. Let (Dn : n e N) be a disjoint sequence in 21 such that U«<=N D" = 0 - Tnen ID f d\i — IZ„ € N fD f d/x.

138

CHAPTER 2 The Lebesgue Integral

Proof. Let <p be an arbitrary simple function on D such that <p < f. Let <p = Y1P=\ ai^Ei be its canonical representation. Let (pn be the simple function on Dn which is the restriction of <p to Dn. Its canonical representation is given by cpn = X]f=i ai^E,nD„- Note that for each (' = 1 , . . . , p, [Ei n Dn : n e N} is a disjoint collection in 21 with U n e N ^ ' n A J ) = E, so that /A(E,-) = £ n e N /x(£/ n L>„). Now

f

P

P

I (pdp = 'S\ai fJ-(Ei) = y^ai 1 JD j-f ~i,

J2^(EinDn)
L«eN

= E^aifffi-nfl.)
neN

d/x
neN ^ D "

/dp,

where the third equality is by € N , / fact that if J2neN ai-n' ••• > XlneN ap<n a r e convergent n the L series of real numbers then £ n e N {ahn + •••+ aPi„} = £ „ € N «i,« + ••• + £ n e N ap,„, and the last inequality is from the fact that <p„ is just one simple function on Dn such that <Pn < f so that fD cpn dp < sup^<y fD <pdp = fD f dp for every n e N. Thus we have / fdp
JD

= sup / cpdp < Y]
<P<fJD
neVS

J

/
D„

/d^.

Similarly by starting with a simple function i/r on D such that / < tfr we obtain / Therefore we have fDfdp f dp = inf I \lr dp > > = £ „ £ N fDn fdp. I / f<iu.

Theorem 7.16. (Bounded Convergence Theorem) G/vera a measure space (X, 21, /x). Lef (/„ : rc e N) be a uniformly bounded sequence of real-valued ^-measurable functions on a set D e 21 w/rt /x(D) < oo. Let f be a bounded real-valued ^.-measurable function on D. If{fn : n e N ) converges to f a.e. on D, then f\dp
n—>OQ

= Q,

and in particular (2) lim / fndp =
n—»-oc

fdp.
JD

JD

Proof. By the uniform boundedness of (/„ : n e N) on D, there exists M > 0 such that |/„(jt)| < M for all JC e Z) and n e N . Since / is also bounded on D, we assume M > 0 has been so chosen that \f(x)\ < M for all x e D. Now since (/„ : n e N) converges to /

§7 Bounded Function on Set of Finite Measure

139

a.e. on D and since fi(D) < oo, according to Theorem 6.12(Egoroff), for every rj > Othere exists a 2l-measurable subset E of D with /J.(E) < n such that (fn:ne N) converges to / uniformly on D \ E, that is, for every e > 0 there exists J V e N such that | /„ (x) — f(x) | < e for all x e D \ E when n > N. Then for n > N, we have by Lemma 7.15 [ \fn-f\dn=
JD

[
JD\E

\fn-f\dfi+ sdji+ \
JE

[
JE

\f„-f\dn

<
JD\E

2Md/i

< e fi(D \ E) + 2M ME) < sn(D) + 2Mr). Since this holds for all n > N, we have lim sup fD\fn
n—>oo

— f\d/J-<
n-»oo

sn(D) + 2Mr\. Then — f\ dji = 0. Now

since this holds for every r) > 0 and £ > 0, we have lim sup fD\fn

fo \fn — f\ dii > 0 for every n e N so that liminf fD |/„ — f\ d/x > 0. Then we have 0 < l i m i n f [ | / „ - / | d / i < l i m s u p [ \fn-f\d/x
n^-oo «^°° n->oo
J u

=0

JD n-xx>

n->oo

JD

so that lim inf fn |/„ — f\ d/j, = lim sup fn \f„ — f\ d\x = 0. This equality implies that we have lim fn \fn — f\ d\i ~ 0. This proves (1). To derive (2) from (1), note that by Lemmas 7.12 and 7.13, we have (3) \[ fndfl[ fdfl\ = \[ {fn-f)dn\ < [ \fn~f\dfl.
'JD JD ' 'JD ' JD

Applying (1) to the last member of (3), we have lim I fn fn dn — fn f d[x\ = 0. Now for a sequence (an : n € N) of real numbers lim \an \ = 0 implies lim an = 0. Thus we
n—>oo n—>oo

have lim [jD fn dpi — fD f d\x} = 0. This implies (2). I Given a sequence of extended real numbers (a„ : n € N). If there exists a real number a such that every subsequence (a„k : k e N) has a subsequence (anil : £ e N) converging to a, then the sequence (a„ : n e N) converges to a. Using this fact we can replace the convergence a.e. condition on the sequence of functions in Theorem 7.16 by the weaker condition of convergence in measure. Recall that since fi(D) < oo, convergence a.e. on D implies convergence on D in measure according to Theorem 6.22 (Lebesgue). Corollary 7.17. (Bounded Convergence Theorem under Convergence in Measure) / / the condition that (/„ : n € N) converges to f a.e. on D in Theorem 7.16 is replaced by the weaker condition that (/„ : n e N) converges to f on D in measure, the conclusions (1) and (2) are still valid.

140

CHAPTER 2 The Lebesgue Integral

Proof. Assume that (/„ : n e N) converges to / on D in measure. We are to show that lim JD \fn — f\ dpi = 0. Consider the sequence of real numbers (an : n e N) defined by an = fD | /„ — /1 dp, for n e N. Take an arbitrary subsequence (a„k : k e N). Consider the sequence of functions (fnk : k € N). Since (/„ : n e N) converges to / on D in measure, the subsequence (fnk : k € N) converges to / on D in measure too. Then by Theorem 6.23 (Riesz), there exists a subsequence {fnt, '• (• e N) which converges to / a.e. on D. Thus by Theorem 7.16, we have lim fD \f„k[ — f\dp, = 0, that is, the subsequence (ank : I e N) of the arbitrary subsequence (a„k : k e N) of (an : n 6 N) converges to 0. Therefore the sequence (a„ : n € N) converges to 0, that is, lim fn |/„ — f\ da = 0. •

[III] Riemann Integrability
Let I = [a, b] C R. Let T = {^0i • • • > x„} where a = XQ < • • • < xn = b and consider a partition of / into subintervals h = [xk-\, Xk] for k = 1 , . . . , n. We call x o , . . . , x„ the partition points in 7. The mesh of T is defined by |CP| = max{^(4) : k = 1 , . . . , n). Let ^J be the collection of all partitions of / . If 9\, ?2 e $J and Ti C ?2, then we say that ?2 is a refinement of Ti. Definition 7.18. Let f be a bounded real-valued function on I. For 7 e fp given by y = [xo,... , x„}, /ef ft = [jcjt-i, JC*] and ^ € ft foe arbitrarily chosen for k = 1 , . . . , n. 77ie Riemann sum of f corresponding to 7 and the selection l- = fa : k = 1,... , n) is defined by
n

s(f,?,$) = Y,f(b)Wk)k=l

We say that f is Riemann integrable on I if there exists J e t such that for every e > 0 there exists & > 0 such that \s(f, 9,$)-j\<e for every 7 € qj with \7\ < 8. J.

In this case, J is called the Riemann integral of f on I and we write Ja f(x) dxfor

Definition 7.19. Let f be a bounded real-valuedfunction on I — [a,b]andlet\f(x)\ <M for x € I for some M > 0. With 7 e ^3 given by 7 = {xo, • • • ,xn], let Ik = [xk-i, Xk], mic = inftg/,. f(x) and Aft = sup^g^ f(x) for k = 1 , . . . , n. The lower and upper Darboux sums of f corresponding to a partition 7 are defined by
n n

(1)
Note that (2)

S(f, 7) = £>*£(ft) and S(f, 7) = J^Mke(Ik).

-M(I)

< S(f 7) < S(f, 7) <

Mt{I),

§7 Bounded Function on Set of Finite Measure and (3) Le? (4) 5 ( / ) = sup S(f T) and S(f) = inf S ( / , T). 3>! C T 2 =>• 5 ( / , ? i ) < 5 ( / , 72) andS(f, 0>i) > S ( / , T 2 ).

141

We call S_(f) and S(f) the lower and upper Darboux integrals of f on I. Clearly (5) -Ml{I) < S(f) < S(f) < Mt(l).

Lemma 7.20. Let f be a bounded real-valued function on I = [a, b]. Then S_(f) = S ( / ) if and only if for every e > 0 there exists To e 93 such that (1) S(/,T0)-S(/,T0)<£.

Proof. 1. Suppose for every £ > 0 there exists To e tp such that (1) holds. Then 5 ( / ) = urf S ( / , T) < 5 ( / , To) = 5 ( / , To) - S(f, T 0 ) + S ( / , T 0 ) <e + S(f, To) < £ + sup S ( / , T) = e + S ( / ) . By the arbitrariness of £ > 0, we have S ( / ) < S ( / ) . On the other hand, S ( / ) > S(f) for any bounded real-valued function / on / . Therefore S ( / ) = S(f). 2. Conversely suppose S ( / ) = S ( / ) . Since S ( / ) = sup;pe<p S ( / , T), for every e > 0 there exists Ti e fp such that 5(/,T!)>5(/)-§, and similarly there exists T 2 € ^P such that

5(/,T2) <!(/) + §.
If we let To = Ti U T 2 € «p, then S ( / , Ti) < S ( / , T 0 ) and l(f, Definition 7.19 so that T 2 ) > S ( / , T 0 ) by (3) in

S(f, To) - S{f To) < 5 ( / , T 2 ) - 5 ( / , 3>i) < [S{f) + §} - { $ ( / ) - § } = £ • • Proposition 7.21. Let f be a bounded real-valued function on I = [a, b]. Then we have jS(/) = S(f) if and only if for every s > 0 there exists S > 0 such that (1) 5 ( / , T) - S(f, T) < £ /or every ? e <p wii/i |T| < 5.

142

CHAPTER 2 The Lebesgue Integral

Proof. 1. Suppose for every e > 0 there exists S > 0 such that (1) holds. Take any To s 9j$ such that |Pol < S. Then S ( / , To) - S(f, T 0 ) < e so that S(f) = 1(f) by Lemma 7.20. 2. Conversely suppose S ( / ) = S ( / ) . Let e > 0 be arbitrarily given. Then by Lemma 7.20, there exists T* e «p such that

(2)

S(/, T*) - S(/, ?*) < §.

Let T* = {ao,... , ajv} where a = ao < • • • < ON = &. Since / is bounded on 7, there exists M > 0 such that | / ( * ) | 5 A/ for x € I. Let 5 = g ^ g . To verify that our S satisfies (1), let T 6 Vp be such that |T| < S. Let T = {xo,... , xn} where a = *o < • • • < xn = b. Consider To, T i , . . . , T/v € $3 defined by T 0 = T, Ti = T U { a i } , T 2 = T u {ai,a 2 }>... , T w = T U { a i , . . . , a w } = T u T * . Comparing To and Ti, we have a\ e [xk-\, xk] for some k = 1 , . . . , n. Thus we have S(f, T,) - S(f, To) = { inf / } £ ( [ x t _ i , a i ] ) + { inf f)t([ax,xk}) xk-\) - { inf /}^([jcjfc_i, JC*])

<M{(ai - j c t _ i ) + (^t - a i ) } + M{xk =2M(xk - xk-\) <2M|T|.

By the same argument as above, we obtain S ( / , 7k) ~ S ( / . P t - i ) < 2M|T| for each k = 1 , . . . , n. Therefore we have
N

S(f TN) ~ S(f To) = J2 U(/. ?*) - £(/. y*_i)}
ifc=l

< 2NM\?\

< 2NM—^— = - . SNM 4

Since T w = T U T* D T*, we have S(f 7N) > 5 ( / , T*) by (3) in Definition 7.19. Thus S(f T) - S(f, T) < S(f ?N) - S(f To) < §. By similar argument we have S ( / , T) — 5 ( / , T*) < | . By these two inequalities, we have l(f 7) - S(f, T) < [l(f T) + §} - {s(f T) - §}

= l(f T) - S(f T*) + f
< e by (2). This verifies (1) for our S. •

Theorem 7.22. A bounded real-valued function f on I = [a, b] cR is Riemann integrable on I if and only ifS.(f) = S(f). In this case we have fa f(x) dx = S_(f) = S(f).

§7 Bounded Function on Set of Finite Measure

143

Proof. 1. Suppose S ( / ) = 5 ( / ) . To show that / is Riemann integrable on I and moreover fb f(x) dx = S_(f), we show that for every e > 0 there exists 5 > 0 such that (1) \s{f,y,$)-S.(f)\<£ for every T e q3 with |CP| < S.

Now since S ( / ) = S ( / ) , by Proposition 7.21 for an arbitrary e > 0 there exists & > 0 such that (2) \S(f, 7) - S(f, 7) | < e for every 7 e *P with \?\ < 8.

Let 7 e qj with |CP[ < 5 be given by 7 = {xo, • • • ,x„) where a = *o < • • • < *« = b. Let ?i G [x*_i,x t ]forfc = 1 , . . . ,n. Since inf t e _,,^] / < / ( & ) < sup [ j c t l x t ] / , we have

(3)
By (2) we have (4)

s{f,y)<s{f,•?,!•)

< s (/,?).

5 ( / , 3>) < 5 ( / , D>) + e < S(f) + e,

and similarly by (2) we have (5) S(f, 7) > S(f, 7)-e> S{f) - e.

By (3), (4), and (5) and by the fact that S(f) S(f)

= S ( / ) , we have

- £ < S(f, 7, £) < S(f) + s.

This proves (1). 2. Conversely suppose / is Riemann integrable on / . Then there exists J eR such that for every £ > 0 there exists S > 0 such that (6) \s(f,7,$)-j\<e for every 7 e <p with |CP| < S

and in this case f f(x)dx = J. Let e > 0 be arbitrarily given. Let 7 e ^3 with |CP| < < be 5 given by 7 = [XQ, ... ,xn) where a = xo < • • • < xn = b. Now there exists £* e [**-i, **] such that / ( & ) < inf[xt_llJCt] f + e. With this choice of £* for* = 1 , . . . , n, we have (7) Then by (7) and (6), we have S{f) > S(f, 7) > S(f, 7,%) - s(b - a) > J - e - e(b - a). By the arbitrariness of £ > 0, we have S ( / ) > J. By similar argument we have S(f) < J also. Thus S(f) < J < S(f). Since S(f) < S(f), we have S(f) = ~S(f) = J = jbaf(x)dx. I S(/,r.{)<l(/,T)+8(i-a).

144

CHAPTER 2 The Lebesgue Integral S(f)

Theorem 7.23. If f is a continuous real-valued function on I = [a, b], then S ( / ) = and consequently f is Riemann integrable on I.

Proof. If / is continuous on the compact set / , then it is uniformly continuous on / . Thus for every £ > 0 there exists S > 0 such that I / O ' ) - f(x")\ < -?— for any x', x" € [a, b] such that \x' - x"\ < 8. b—a

Let To e ^3 be such that |3>ol < <5. Let To = {*o, • • • ,xn) where a = xo < • • • < x„ = b. Then S(f,To)-S(f?0) = T\
k=\

sup / ' Uk-\,Xk\

inf

j\(xk-xk-X)

(b — a) = s. b—a From this it follows that 'S(f) ~ S{f) = inf S(f, T) - sup S(f, ?) < s. Since this holds for every e > 0, we have 5 ( / ) = S(f). Then / is Riemann integrable on / by Theorem 7.22. I To relate the Riemann integral to the Lebesgue integral, we show in Theorem 7.27 below that if a bounded real-valued function / on / = [a, b] is Riemann integrable on / , then it is Lebesgue integrable on / with respect to \xL in the sense of Definition 7.10 and moreover we have the equality fa f(x) dx = j . M / d/xL. Regarding the Riemann integrability of a bounded real-valued function / o n I = [a, b], we show in Theorem 7.28 that / is Riemann integrable if and only if JX* (E) = 0 where E is the set of all points of discontinuity of / in / . In preparation for these results, let us review the limit inferior and the limit superior of a function and then introduce the lower envelope and the upper envelope of a function.
FOTXO € R and 8 > 0, let U(XQ, S) = (xo — <5, XQ + S) and Uo(xo, S) = U(XQ, &) \ {XQ},

that is, U(x0, S) = {x e R : \x - x0\ < 8} and U0(x0, 8) = {x e R : 0 < \x -_x0\ < 8}. Let / be an extended real-valued function on a set D e R and let xo e D. The limit inferior and limit superior of / as x approaches XQ are defined by liminf f(x) = lim
x^x0

inf

/

and lim sup f(x) = lim
x-txo
s

sup

/.

8^0U0(.x0,S)nD

~>° U0(x0,S)r\D

Note that inf Uo(xo,&)nD f
x->jro

t and supUo{XOtS)nD f
x-*xo

4- as 8 4, 0 so that lim inf f(x) and
X^-XQ

lim sup f(x) always exist in R and liminf f(x) < lim sup f(x). We have lim f(x) exists in R o liminf f(x) = lim sup f(x)
x-*x0 x^x0
x-+xa

§7 Bounded Function on Set of Finite Measure and f /(xo) e R, f is continuous at x 0 ^
[
hm m f f(x) = ] j m s u p f(x) = /(XQ)

145

x-*xo

X^-XQ

Definition 7.24. Let f be an extended real-valued function on a set D C R. Let xo e D. We define the lower envelope and upper envelope of f at xo by f*(xo) = lim inf / and /*(xo) = lim
s

sup

/

8-*OU(xo,&)nD

~+°U(x0,S)nD

(Note that C/o(xo, <5) in the definition of lim inf / ( x ) and lim sup / ( x ) is now replaced by
x x

x^x0

[/(xo, S). Note also that since mfu(xo,&)nD f t and svnpu{XQS)nD / 4- as 5 4- 0, /*(xo) and /*(xo) always exist in R.) Observation 7.25. For an extended real-valued function / on a set D C R and forxo e D, we have (1) /*(xo) < lim inf / ( x ) < lim sup / ( x ) < /*(x 0 )
x-+*o x^xa

(2)

Mxo) < /(xo) < /*(x 0 ) /(xo) e R,

(3)

/ is continuous at xo € D <& ' f*(xo) = /*(xo)-

Proof. (1) and (2) are immediate from the definitions. Let us prove (3). Suppose / is continuous at xo e D. Then for every £ > 0 there exists n > 0 such that /(xo) — s < f(x) < /(xo) + s forx e U(XQ, rf) n D. Since inf'U(X0,S)DD / f as 5 4- 0, we have /(xo)-£< inf
U(x0,ri)riD

/ < lim

inf

/ =/*(x0).

S-*0U(x0,S)nD

Similarly we have /*(xo) < /(xo) 4- £• Thus we have /*(xo) — /*(xo) < 2e. By the arbitrariness of £ > 0, we have /*(xo) = /*(xo). Conversely if/(xo) € Rand/*(xo) = /*(xo), then we have /*(xo) = /*(xo) = /(xo) by (2). Then by (1) we have l i m i n f / ( x ) = lim s u p / ( x ) = /(xo) and this proves the continuity of / at xoI

We show next that whether / is *BlL -measurable or not, its lower envelope /* and upper envelope / * are always fBR-measurable. Moreover the Lebesgue integrals of /* and / * on 7 with respect to fiL are equal to the lower and upper Darboux sums jS(/) and S(f) respectively. Lemma 7.26. Let f be a bounded real-valued function on I — [a, b\. (a) The lower envelope /* and the upper envelope f* of f are bounded real-valued

146 fBR-measurable functions on I. (b) / , /* dfiL = S{f) and f, f* d^L =

CHAPTER 2 The Lebesgue Integral

S(f).

Proof. 1. Since / is a bounded real-valued function on 7, /* and / * are bounded realvalued functions on 7. Let us prove the 2$R-measurability of / * on / . Consider the upper Darboux integral S(f) = inf>p ~S(f, ?) of / on 7. For every m € N, there exists T m e ^J such that

CD

S(/)<S(/,!Pm)<S(/) + l .

Then for the sequence of partitions (7m : m e N), we have (2) lim S(f,9m) = S(f). lim \7m\ = 0.
m-»oo

Let us add partition points to ?m if necessary so that \7m\ < -J-. Then
m

Since adding partition points to 7m does not increase S(f, I'm), (1) remains valid and so does (2). Let ?m be given by Tm = {xm,o, * m , i , • • • - xm,n(m)} and let lm^ = [xm,k-\, xmtk] for k = 1 , . . . ,n(m). For each m € N, let us define a function \jrm on 7 by
n(m)

(3)

^ m = ^ S U p / -l/mJl.

Since intervals are 25R-measurable sets, i/rm is a simple function on (R, 25K). However the expression (3) is not its canonical representation since the intervals Imik are not disjoint. Rather, (3) is the sum of m («) simple functions each in its canonical representation sup/;n / • 1/Mit. Let E be the countable set consisting of all the partition points in (T m : m e N). Let us show (4) lim *„{x) = f*{x)
m—>oo

forxeI\E.

Let xo e 7 \ E. Then for each m e N, there exists a subinterval in the partition Tm which contains XQ in its interior, that is, there exists k(m) e N, 1 < k(m) < n(m), such that xo e 7 ^ ( m ) . Let 5m > 0 be so small that U(x0, Sm) C CMm)- Then (5) /*(*o) = J™ sup / <
8->o U(x0,S)

sup
U(x0,Sm)

/ < sup / < sup / =

fm(x0),

where the last inequality is from the definition of \{/m by (3) and the fact that xo is an interior point in a subinterval in the partition and is not a point common to two adjacent subintervals. Since s u p y ^ s^nI f J, f*(xo) as 8 I 0, for an arbitrary e > 0 there exists S > 0 such that (6) /*(*<>)< sup
£/(xo,«)n/

/</*(*o)+c

Since lim l^ml = 0 and since XQ e 7° K > for some fc(m) e N for every m e N, there exists M > 0 such that for m > M we have

(7)

/m,*(m) C 17 (*o. 5) n 7.

§7 Bounded Function on Set of Finite Measure By (5), (7), and (6), we have for m > M f*(xo) < fm(xo) = sup / < sup / < f*(x0) + s.

147

This proves (4). Being a countable set, E e SBR and then I \E e 58R. Since \jrm is a 2$R-measurable function on 7, it is 5BR-measurable on 7 \ E by (a) of Lemma 4.7. Then (4) implies that / * is a 2$R-measurable function on 7 \ E by Theorem 4.22. Since £ is a countable set, any extended real-valued function on E is 5BR-measurable on E. (If g is an extended realvalued function on a countable set E in R, then for any a e R the set {x e E : g(x) < a } , being a subset of E, is a countable set and is therefore a 58R-measurable set. This shows that g is a 2$R-measurable function on E.) In particular / * is 2$R-measurable on E. The 2iR-measurability of / * on 7 \ E and on E implies the 2$R-measurability of / * on 7 by (b) of Lemma 4.7. The 5BR-measurability of /* on 7 is proved likewise. 2. Let us prove f{ f* dpL = S(f). As we showed above, / * is a bounded real-valued 2$R-measurable function on 7 e 58K. Thus J[ f* d^L exists by Definition 7.10. Consider the sequence of simple functions (\p-m : m e N) on (R, 2$R) defined by (3). Then
n(m) n(m)

tm dp,L = ^2 sup / ' !/„,* dfiL = ^ sup / • t{Imtk) = 5 ( / , 7m), which is the upper Darboux sum of / corresponding to the partition 7m. Then by (2) (8) lim / fm dp.L = lim S(f, 7m) = S(f).

/

On the other hand, s i n c e / i s bounded on 7 we have | / ( x ) | < M f o r x e 7forsomeA7 > 0. Then by (3), we have \i/rm(x)\ < 2M for x e I and m € N. According to (4), we have lim ip-m = f* on I \ E, that is, a.e. on I. Thus by Theorem 7.16 (Bounded Convergence Theorem), we have (9) lim / irmdfj,L= = / . Vm d[iL f*dnL.

With (8) and (9) we have / ; / * d/xL = 's(f). similarly. I

The equality J, /* rf/x^ = 5 ( / ) is proved

Theorem 7.27. Let f be a bounded real-valued function on I = [a, b]. If f is Riemann integrable on I, then f is %JtL-measurable andLebesgue integrable on I with respect to p„L and moreover f f(x) dx = ft f dpL. Proof. If / is Riemann integrable on 7, then the lower and upper Darboux integrals of / on 7 are equal, that is, 5 ( / ) = 1(f), by Theorem 7.22. Then by Lemma 7.26, we have fj /* d[xL = fj f* dpL. Since /* and / * are *8R-measurable on 7, they are i m measurable on 7. Since /* < / * on 7, the equality of the Lebesgue integrals of /* and / *

148

CHAPTER 2 The Lebesgue Integral

implies that /* = / * , (OJtL, /u,L)-a.e. on / by (b)of Lemma 7.14. Then since/* < f < f* on / by Observation 7.25, we have / = /* = / * , (fXftL, fiL)-a.e. on / . The completeness of the measure space (R, SDTL, \xL) then implies that / is 9JtL -measurable on / according to (b) of Observation 4.20. Now that / is VUlL -measurable on / and / = / * , (9Jt L , AiJ-a.e. on 7, we h a v e / / / ^ = / , / * < / M L by Lemma 7.11. But j , f* dfiL = S(f) = f* f(x)dx by Lemma 7.26 and Theorem 7.22. Thus §ba f(x) dx = f, f d\xL. • Theorem 7.28. Let fbea bounded real-valued function on I = [a,b] and let E be the set of all points of discontinuity of f in I. Then f is Riemann integrable on I <$•/* = / * . (fXflL, fiL)-a.e. on I

Proof. 1. If / is Riemann integrable on 7, then as we saw in the Proof of Theorem 7.27, /* = / * , (£DTL,Ati)-a.e. on 7. Conversely if /* = f*,(pJtL, /xL)-a.e. on 7, then f, f*dfiL = J j f*dfiL by Lemma 7.11. Then we have 5 ( / ) = S(f) by Lemma 7.26. But this implies the Riemann integrability of / on 7 by Theorem 7.22. 2. By Observation 7.25, / is continuous atxo € 7 if and only if /*(xo) = /*Oo)- Thus /* = / * , (VJlL, fj,L)-a.e. on 7 if and only if \xL (E) = 0 . 1 Example. Let Q be the set of all rational numbers and P be the set of all irrational numbers in R. Let / be a bounded real-valued function on [0, 1] defined by f{x) = 0 if x e [0,1] fl Q and f(x) = 1 if x € [0,1] n P. The set E of all points of discontinuity of / in [0, 1]. Then E = [0, 1] and /xL(E) = 1. Thus by Theorem 7.28, / is not Riemann integrable on [0,1]. On the other hand since [0,1] D Q, [0,1] n P e 93R, / is a simple function on (R, 2SR) and its Lebesgue integral with respect to JXL is given by

fm]fdnL Problems

= o • /it([o, i] n Q) +1 • ^([o. l] n p) = i.

Prob. 7.1. Let / be an extended real-valued 2l-measurable function on a set D e 21 in a measure space (X, 21, fi). For Mi, M2 6 R, M\ < M2, let the truncation of / at M\ and M2 be defined by

g(x)=

Mi f(x) M2

if f{x) < Mi, iffix)e[Mi,M2], if fix) >M2.

Show that g is 2l-measurable on D. Prob. 7.2. Let / be a bounded real-valued 2l-measurable function on a set D e 21 in a measure space (X, 21, fj,). (a) Show that there exists an increasing sequence of simple functions on D, (<p„ : n e N), such that (pn t / uniformly on D.

§7 Bounded Function on Set of Finite Measure

149

(b) Show that there exists a decreasing sequence of simple functions on D, (\frn : n e N), such that irn i f uniformly on D. Prob. 7.3. Let / be a real-valued 2l-measurable function on a set D e 21 in a measure space (X, 21, fi). Suppose / is not bounded on D. (a) Show that it is not possible that for an arbitrary e > 0 there exists a simple function <p on D such that \cp(x) — f(x)\ < s for all x e D. (b) Show that there may not be any sequence of simple function which converges to / uniformly on D. Prob. 7.4. Given a measure space (X, 21, /*). Let us call a function <p an elementary function if it satisfies the following conditions: 1° £>(<?) € 21, 2° <p is2l-measurableonlD(<p), 3° <p assumes only countably many real values, that is, SH(<p) is a countable subset of R. Let / be a real-valued 2(-measurable function on a set D € 21. (a) Show that there exists an increasing sequence of elementary functions on D,((pn : n € N), such that (pn f / uniformly on D. (b) Show that there exists a decreasing sequence of elementary functions on D,{^n '• n e N), such that i/r„ I f uniformly on D. Prob. 7.5. Given a measure space (X, 21, /x). Let / be a nonnegative real-valued function on a set D e 21. Let $ be the collection of all nonnegative elementary functions <p such that 0 < cp < f on D and let * be the collection of all nonnegative elementary functions <p such that 0 < / < \jr on D. (a) Show that sup fDcpdn < inf Jn\jfdjx. (b) Show that in / is a measurable on D then fD f d/x = sup JDcpdiJ, = inf fD \j/ d\i. (c) Show that if sup fn(pd/x = inf fn ijf dfA, then / is 2l-measurable on D, provided

that (X, 21, n) is a complete measure space. Prob. 7.6. Given a measure space (X, 21, /x). Let / be a bounded real-valued 2l-measurable function on a set D € 2lwith/x(D) < oo. Suppose|/(x)| < Af forx € D for some constant M > 0. (a) Show that if JDfd^ = M[i(D), then / = M a.e. on D. (b) Show that if / < M a.e. on D and if //,(£>) > 0, then / D / dfi < M/J.(D). Prologue to Prob. 7.7 and Prob. 7.8. Recall that for a bounded real-valued 2l-measurable function on a set D € 21 with /x(D) < oo in a measure space (X, 21, /u,), the Lebesgue integral of / on D is defined by fDfdfj. = suptp<j- JDcpdix = inf y,>/ J D i/f e?/x, where < p and i/f are simple functions on D. The integral of / thus defined can be computed as the limit of a sequence of integrals of simple functions. Prob. 7.7. Let / be a bounded real-valued 2l-measurable function on a set D e 21 with /x(D) < oo satisfying f(x) € (-M, M] forjt e D for some M > 0. For each n e N , let

150

CHAPTER 2 The Lebesgue Integral

D„,k = {xeD: f{x) e ((* - l ) f , * £ ] } for k = -n + 1, • • • , n. Define simple functions <p„ and ip-n on D by setting

¥fc = EZ=- B + i(*-i)£-K t
and Show that lim fD <pn d/x = fD f dp, and lim fD fn dfi = fD f dp. Prob. 7.8. Let / be a bounded real-valued 2l-measurable function on a set D e 21 with p(D) < oo satisfying f(x) e (-M, M] forx e D for some M > 0. Let y = (yo,... , yp) be a partition of [-M, M], that is, - M = yo < • • • < yp = M. Let /* = [^_i, yk] for £ = 1 , . . . , p and let |3>| = max A= i p £ ( 4 ) . Let £* = {x e £> : f(x) e (yk-uyk]} fork = 1 , . . . , p. Let <p(IP) and ^ ( P ) be simple functions on D defined by cpC?) = J2k=\ >*-i ' ^Ek and Let (^n : « e N) be a sequence of partitions such that lim \Tn\ = 0 .
fl->00

Show that lim fn <p(T„) dpi = f„ fd/i. and lim fnf(7n)dp,=
n-yoo
u u

n-*oo

w

fnfdLi.
"

Prob. 7.9. Consider a sequence of functions (/„ : n € N) defined on [0, 1] by setting nx f„(x) = ——5-=- for* € [0, 1]. 1 + nzxz (a) Show that (/„ : n e N) is a uniformly bounded sequence on [0, 1] and evaluate ( nx 'J [0,1] 1 +n2x2 (b) Show that (/„ : n e N) does not converge uniformly on [0,1]. (This makes justification of lim f,Q j , f„(x) dx = f,0 j , lim fn(x)dx by uniform convergence inapplicable.) Prob. 7.10. Given a measure space (X, 21, /x). Let / „ , n e N, and / be extended real-valued 2l-measurable functions on a set D e 21 with /x(Z)) < oo and assume that / is real-valued a.e. on D. Show that /„ —• / on D if and only if >
lim / 7TT7 77 ^ * ) = °' «^oo JD 1 + |/„ - / | Prob. 7.11. Let (X, 21, /x) be a finite measure space. Let <> be the set of all extended J real-valued 2t-measurable functions on X where we identify functions that are equal /x-a.e. on X. Let

I ,l_f~8] .dn for/,g€<D. Jxl + \f-g\ (a) Show that p is a metric on <1>. (b) Show that <> is complete with respect to the metric p. t P(f,g)= Prob. 7.12. Given a measure space (X, 21, /x). Let (/„ : n e N) be a uniformly bounded sequence of real-valued 2t-measurable functions and let / be a bounded real-valued 21measurable function on D e 21 with p(D) < oo. Show that if /„ 4 - / on D then lim fD \fn~f\dp = Oand lim fD fndn = fD f dfi. This is the Bounded Convergence Theorem under Convergence in Measure. Construct a

§7 Bounded Function on Set of Finite Measure direct proof without using the subsequence argument as in Corollary 7.17.

151

Prob. 7.13. Let Q be the collection of all rational numbers in (0, oo). Let each x e Q be expressed as ^ where p and q are positive integers without common factors. Define a function / on [0, 1] by setting f p if x 6 [0,1] n Qandx = p£, \

/(*)=

I 0 ifx e [0,1]\QShow that / is Riemann integrable on [0, 1] and evaluate f0 f(x) dx. Prob. 7.14. Let / be an extended real-valued function on R. Define two extended realvalued functions <p and \j/ on R by letting (p(x) = lim inf fiy) and \jr{x) = lim sup f(y)
y^x
y^x

for x e R. Show that <p and i^ are 25R-measurable on R. (Note that / itself is not assumed to be *8R-measurable on R.) Prob. 7.15. Let / be a real-valued function on R. Assume that / is locally bounded on R in the sense that for every x £ R there exists r\ > 0 such that / is bounded on U(x, rf) = (x — r\, x + rf). Then at every x e R, supy^^j / — inf u(x,5) f is a nonnegative real number for sufficiently small S > 0 and decreases as S I 0. The nonnegative realvalued function u>(x) = lim { supy^ « / — inf u(x,s) / } for x e R is call the oscillation o f / atx. (a) Show that / is continuous at x e R if and only if co(x) = 0. (b) Show that for every £ > 0, a) _1 ([e, oo)) = {x e R : w(x) > s) is a closed set in R. (c) Show that u> need not be continuous on R. (Consider the function / defined by f(x) = 0 for* e (—oo, 0) and f{x) = 1 forx e [0, oo).) (d) Show that the set of all points of continuity of / is a G^-set and the set of all points of discontinuity of / is an FCT-set.

152

CHAPTER 2 The Lebesgue Integral

§8 Integration of Nonnegative Functions
[I] Lebesgue Integral of Nonnegative Functions
Definition 8.1. Given a measure space (X, 21, p.). Let f be a nonnegative extended real-valued ^-measurable function on a set D e 21. We define the Lebesgue integral of f on D with respect to p by

I fdp
JD

=

sup

/ pd/ie[0,oo],

0<tp<f JD

where the supremum is on the collection of all nonnegative simple functions (p on D such that 0 < <p < f. Thus fD f dp exists for every nonnegative extended real-valued measurable function and we say that every nonnegative extended real-valued measurable function is Lebesgue semi-integrable on D with respect to p, or simply p semi-integrable on D. We say that the function is Lebesgue integrable with respect to p, or simply p-integrable, only when fD f dp e R, that is, fD f dp < oo. The definition given above for a nonnegative extended real-valued 2t-measurable function / is consistent with the definition fD f dp = sup^<y fD <p dp in Definition 7.10 for a bounded real-valued 2l-measurable function / defined on D € 21 with p(D) < oo. Since a simple function assumes only finitely many real values, a simple function is necessarily a bounded function on its domain of definition. A nonnegative extended real-valued function need not be bounded and therefore there may not be any simple function ifr such that ijf > / . Thus the equality fD f dp, = sup^<^ fD ip dp for a bounded real-valued 21measurable function / does not exist for a nonnegative extended real-valued 2l-measurable function / . This fact has the consequence that while the integral of a nonnegative extended real-valued function can be approximated by integrals of simple functions from below (see Lemma 8.6), it cannot be so approximated from above. Lemma 8.2. Given a measure space (X, 21, p). Let f, f\, and fa be nonnegative extended real-valued ^-measurable functions on a set D e 21. (a) If fD f dp < oo, then / < oo a.e. on D. (b) IffD fdp = 0, then / = 0 a.e. on D. (c) If Do is a QL-measurable subset of D, then fD f dp < fD f dp. (d) Iff > 0 a.e. on D and fD f dp = 0, then p(D) = 0. (e) If f\ < fa on D, then fD fa dp < fD fa dp. (f) If fa = fa a.e. on D, then fD fa dp = fD fa dp. Proof. 1. To prove (a), suppose fD f dp < oo but the statement that / < oo for a.e. on D is false. Then we have p(E) > 0 where E = { D : / = oo} e 2 l . For each n € N, define a nonnegative simple function cpn on D by <pn = n • l g + 0 • 1D\E- Then <pn < / on E and <Pn < / on D\E also so that ipn < f on D. Since [<pn : n e N} is a subcollection of the

§8 Integration of Nonnegative Functions

153

collection of all nonnegative simple functions <p on D such that 0 < <p < / , we have / fd[i—
JD

sup

/ <pd/j,>swpl
nzNJD

fndfi

= swp nfx(E) = oo
neN

0<ip<fJD

since n(E) > 0. This contradicts the assumption fD fd/x < oo. 2. We say that / = 0 a.e. on D if there exists a subset E of D such that £ is a null set in (X, 21, /x) and / = 0 on D \ E. Consider the case [i(D) = 0. Let / be an arbitrary nonnegative extended real-valued 2l-measurable function on D and let E = {D : f ^ 0}. Then E € 21 and n(E) = 0 since E C D. Now / = 0 on D \ E so that / = 0 a.e. on D. Thus to prove (b), we need only to consider the case fi(D) > 0. Suppose fDfdfi — 0 but the statement that / = 0 a.e. on D is false. Then for the set E = {D : f > 0}, we have /x(£) > 0. Now since / > 0 on E, we have E = IJneN ^« w n e r e En = {D : / > £}. The sequence (£„ : n e N) is an increasing sequence in 21 so that lim En = (JneN ^« = £• By Theorem 1.26, we have lim n(En) = fi(E) > 0. This implies that there exists
n->oo

no G N such that n(Eno) I fdfi=
JO

> 0. Let us define a nonnegative simple function <po on D by

< o = ;^1E„ 0 + 0 • 1D\E„0 • Then 0 < <p0 < / on D and P

sup

I <pdfj,>
JD

<podn = —At(E„0) > 0,
n

0<ip<fJD

0

which contradicts the assumption j D f dfx = 0. 3. To prove (c), let A) be a 2l-measurable subset of D. Corresponding to each nonnegative simple function <po on A) such that 0 < <po < f on Do, let us define a nonnegative simple function <p\ on D by <Poix) forx e Do,

nix)

0

for x e D \ D 0 .

Then 0 < ^>i < / on D and / D ^>o c?At = fD n d[i. Thus we have sup / <podn= sup / <p\dn< sup / <pd/^,

0<i/>o<f JD0

0<(p\<fJD

0<<p<fJD

that is, fDofdn

<fDfdn.

4. To prove (d), let D0 = {x e D : f(x) = 0} and Dk = {x e D : f(x) > }} for k e N. Now /^(Do) > 0 would contradict our assumption that / > 0 a.e. on D. Thus /M(D 0 ) = 0. Now Do U Dk t D so that lim /x(D 0 U D*) = /x(D). If fi(D) > 0, then
Ic-t-oo

there exists £o € N such that II{DQ U D^) > 0. Since JX{DQ) = 0, we have /^(D^) > 0. Then by (c) we have fDfdfj.>fD fdfi> J-H(DI^) > 0. This is a contradiction. Thus fi{D) = 0 . 5. Let us prove (e). For (' = 1 and 2, let <t>, be the collection of all nonnegative simple functions <p on D such that 0 <<p < /,-. Since f\ < fi on D, if a simple function <p is such that 0 < <p < f\ on D, then 0 < < < /2 on D also. Thus <J>i C <t>2- Then p I / <^rf/Li : tp e $ i | c I / (pd/j, : (p e $2

154 so that

CHAPTER 2 The Lebesgue Integral

/ f\ dp = sup I / <pdp : cp e 4>i| < sup 1 / cpdp: cp e *2J = / fa dp. 6. If fa = fa a.e. on D, then by the same argument as in the Proof of Lemma 7.11 for bounded real-valued measurable functions on a set with finite measure we have

fDfadp = fDfadp.

I

Lemma 8.3. Given a measure space (X, 2t, /J.). Let f be a nonnegative extended realvalued fH-measurable function on a set D € 21. Then for every c > 0, we have / cfdfi
JD

=c
JD

f dp.

If f is nonnegative real-valued, then for c = 0 we have cf = 0 on D and fD cf dp = 0 but c fD f dp does not exist when fD f dp = oo. Proof. For c > 0, the equality is proved in the same way as in Lemma 7.12 for bounded real-valued measurable functions on a set of finite measure. I In Lemma 7.12, we proved the equality fD{fa + fa} dp = fD f\ dp + fD fa dpi for two bounded real-valued measurable functions fa and fa on a set D with p(D) < oo. By using the fact that fD f dp = suplp<f fDcpdp = inf/<f fD \j/ dp for a bounded realvalued measurable function / . The argument used there is no longer available when fa and fa are nonnegative extended real-valued measurable functions since for an unbounded nonnegative function / no simple function yjr such that / S iff exists. Instead, we derive the equality fD{fa + fa] dp = fD fa dp + fD fa dp in Proposition 8.7 below by applying the Monotone Convergence Theorem.

[II] Monotone Convergence Theorem
Proposition 8.4. Given a measure space (X, 21, p). Letcp be a nonnegative simple function on X. If we define a set function v on 21 by setting v(A) = fA cp dp for A e 21, then v is a measure on 21. Proof. Let cp = Y1T=1 a>' ^D< ^ e t n e canonical representation of cp. Since cp is defined on X, {£>, : i = 1 , . . . ,m] is a disjoint collection in 21 with U£Li £>, = X. The restriction of cp to A is given by cp = J2T=\ a>' 1DinA- Thus v(A) = fA<pdp = YA=\ aH^iDi H A) e [0, oo]. Since /x(0) = 0, we have v(0) = fe <pdp = 0 by 1° of Observation 7.5. Thus it remains to show that v is countably additive on 21. Let (A„ : n e N) be a disjoint sequence in 21. Then

U

(U A ")= /
r-

<pd^ = f2ai^(Din\JAn)
-i
r m

= J2oiJ\J(DinAn)\
C

m

~\

= J2a> ^ A t ( A n A „ )
=1 neN

=J2
neN

J^ajpiDiHAn)

=J2
neN
n

(pdp =
" neN

^v(An),

§8 Integration of Nonnegative Functions

155

where the fifth equality is by the fact that for series of nonnegative extended real numbers
E „ € N «1,«- • • • • E n e N aP,"
W e haVe

E n e N {ahn

+ •••+

<Xp,n } = E n e N «1,» + ' " ' +

E«eN ap,n- This proves the countable additivity of v on 21 and completes the proof that v is a measure on 21. I Theorem 8.5. (Monotone Convergence Theorem) Given a measure space (X, 21, fx). Ler (/ n : n € N) be an increasing sequence of nonnegative extended real-valued ^.-measurable functions on a set D e 21 and let f = lim /„ on D. Then lim fn /„ d/x = fn f dfx.
n->oo n-*oo
u u

Proof. 1. Since (/„ : n e N) is an increasing sequence of nonnegative functions on D, lim fn(x) exists in [0, oo] for every x e D and thus / = lim /„ is a nonnegative
n—>oo n—>oo

extended real-valued function on D. f is 2l-measurable on D by Theorem 4.22. Since fn < / on D, we have fD fn d/x < fD f d[i for every n 6 N by (e) of Lemma 8.2. Also fn < fn+i implies JD fn d\x < JD fn+\ d\x and thus (/ D / n d/x : / i e f f ) is an increasing sequence of nonnegative extended real numbers bounded above by } D f d/x and consequently 2. Let us prove the reverse inequality lim fD fn d\x > fD f d\x. Let cp be an arbitrary nonnegative simple function on D such that 0 < <p < / . With a € (0, 1) arbitrarily fixed, we have 0 < a<p < <p < f on D. Let us define a sequence (£„ : n e N) of subsets of D by (1) £„ = [x e D : /„(x) > a^(x)} forn £ N.

Since /„ and a<p are 2l-measurable on D, we have En e 21 by Theorem 4.16. Now /« < fn+i implies En C £ n +i for every n e N so that ( £ n : n 6 N) is an increasing sequence in 21. Since En C D for every n e N, we have U n e N ^« c ^- Le' u s s n o w t n a t actually IJneN ^« = D. To show this, we show that if x e D then x e En for some n e N. Let x e D. If / ( x ) = 0, then since 0 < (p < f we have (fix) = 0 also. Since 0 < /„ < / , we have /„(*) = 0 for every n € N. Thus fn(x) = 0 = aip(;t) for every n e N so that x e En for every n e N. On the other hand, if f(x) > 0 then since 0 < <p < f and a € (0, 1) we have f(x) > acp(x). Since f„(x) f f(x), there exists N(x) e N such that fN(x)(x) > a<p(x). Thus x e EN(X)- This completes the proof that if x e D then * £ En for some w € N. Therefore D C U«eN £ « s o t h a t D = U«eN £ « Let us define a set function v on 21 by setting v(A) = fA<pd/x for A e 21. Then by Proposition 8.4, u is a measure on (X, 21). Now (2) JD fndfi>
JE„

fnd/x>
JE„

a<pdix = a
JE„

cpd/x =

av(En),

where the second inequality is from (1). Since (En : n £ N) is an increasing sequence, we have lim En = U«<=N En = D. Then by Theorem 1.26 (Monotone Convergence), we have lim v(En) = v( lim En) = v(D). Letting n -*• oo in (2), we have lim I fn / fndfj,>a
>JD

lim v(£„) = av(D).

156

CHAPTER 2 The Lebesgue Integral

Since this holds for every a e (0,1), letting a f 1 we have lim / fndp,>v(D)
^°°JD

n

= I <pdp.
JD

Since this holds for an arbitrary nonnegative simple function cp on D such that 0 < cp < f, we have
n

lim / fndfj,>
^-°°jD

sup I

/ <pdp — I f dp.
JD

O<<P</JD

This proves the required reverse inequality.

Theorem 8.5 is not valid for a decreasing sequence. As a counter example in the measure space (R, f)ytL, pL), let (/„ : n e N) be a decreasing sequence of nonnegative real-valued %JiL -measurable functions on R defined by /„ = l[n,oo) for n e N. Then for every n e N we have J R /„ dpL = oo so that lim J"R /„ dpL = oo but lirr^ /„ = 0 on R and thus
n-»oo

Lemma 8.6. Given a measure space (X, 21, /x). Let f be a nonnegative extended realvalued iH-measurable function on X. Then there exists an increasing sequence of nonnegative simple functions (<pn : n € N) on X such that 1° <pnf f on X, 2° fn t / uniformly on an arbitrary subset EofXon which f is bounded, 3° lim fD <pn dp = fD f dp, for every D e 21. Moreover if(X, 21, p) is a a-finite measure space then the nonnegative simple function <pn can be chosen to be p-integrable for every n E N. Proof. 1. The range of / is contained in [0, oo]. For every n € N, decompose the interval [0, n) inton2" subintervals of equal length -^ given by /„_£ = [^ir, ^r) for£ = 1 , . . . , «2", and let Jn = [n, oo]. Thus we have a decomposition of [0, oo] into a class of sets (1) Let En<k = f~x{In,k) of subsets of X: (2) 3n = {ln,k,k for k = I,... = l,...,n2",J„}. Consider the collection

, n2n, and let Fn = f~1(Jn)= l,...,nr,Fn}.

iBn = {En,k,k

By the 2l-measurability of / on X, <£„ is a collection in 21. The disjointness of the collection 3„ implies the disjointness of the collection <£„. Since the union of the members of 3n is equal to [0, oo], the union of members of <£„ is equal to X. Thus <£„ is a decomposition of X into disjoint 2l-measurable subsets of X. Let us define a nonnegative simple function q>„ on X by setting "2" k - 1 <Pn = Y^ —^T • l£ ».*
k=\
z

(3)

+n-lF„-

§8 Integration of Nonnegative Functions

157

Clearly we have 0 < <p„ < f on X for every n e N. 2. Let us show that (<pn : n € N) is an increasing sequence of functions on X, that is, for every x e X, we have (pn(x) < <pn+\ (x) for every n e N. Consider the transition from the decomposition 3n to the decomposition 3 n +i of [0, oo] and the resulting transition from the decomposition <£„ to the decomposition <£n+\ of X. The interval ln,k = [^r, | r ) in 3„ is decomposed into two intervals In+i,2k-\ = [^rf. ^ r ) and I„+i,2k = [ ^ f . # r ) in 3f„+1. Thus £„,* = / " ' ( / „ , * ) in <£„ is decomposed into two sets En+\,2k-i = f~l(h+\,2k-\) and £n+i,2jt = / _ 1 (/ n +i,2*) in <£«+iOn the other hand, the set /„ = [n, oo] in 3„ is decomposed into 4+i,n2"+'+i> • • • . / n + l i ( n + i)2"+i,and7„+i = [n+ 1, oo], a total of 2" + 1 + 1 sets in 3n+\. Thus F„ = f~\jn) in <£„ is decomposed into En+in2n+i+\, • • • > £«+i,(n+i)2"+1 • an<^ ^7n+1 ' n ^«+i • Let x e X. Since the union of the members of the disjoint collection <£„ is equal to X, either x € En,k for some £ = 1 , . . . , nl" oxx e F„. If x € £„,£, then ^„(JC) = *jir. Also, if x e £„,*, then either x e £ n +i,2t-i s o m a t <Pn+\(x) = ^ r f = ^ ~ ^ n M " o r ; i : G En+i,2k sothat<p„ + i(x) = ^ f > ~=r = ^r = ¥>n(x). On the other hand, if x 6 F„,then <p„(x) = n. Nowifx e F„, then either x e En+itk for some k = «2" + 1 + l , . . . , ( « + l ) 2 n + 1 orx e F n + 1 . If x e E n + i,*, then <p„+i(x) = | ^ - > ^ ^ r = n = <P«(x)- If * e F„+i, then <P«+i(x) = n + 1 > w = <p„(x). Thus we have verified that for every x € X, we have <p„ (x) < <p„+i (x) for every n e N. 3. Let us show that lim cpn(x) = f(x) for every x e X. Let x e X Consider first the case / ( x ) = oo. Then for every n e N, we have / ( x ) e [n, oo] = J„ so that x e f~1(Jn) = F„. Then by (3), we have (pn{x) = n so that lim <p„(x) = oo = f(x). Next consider the case / ( x ) € [0, oo). In this case there exists N € N such that / ( x ) e [0, A?). Then for any n > N, we have / ( x ) e [0, n). Since the intervals IKik for k = 1 , . . . , «2" are disjoint and their union is equal to [0, n), we have f(x) e /„,* = [^§r, j r ) f ° r some k= 1 , . . . , n2". Then x e f~l(In,k) = En,k so that <pn(x) = *=± by (3). Thus we have 0 < / ( x ) — <p„(x) < 4-. Since this holds for every n > Af, we have lim <pn(x) = / ( x ) . 4. Suppose / is bounded on a subset E of X. Then there exists N € N such that / ( x ) e [0, AT) for every x e E. Then for every n > N, we have / ( x ) ^ [«, oo] = Jn so thatx ^ f~l(Jn) = Fn. Since <E„ is a disjoint collection of sets whose union is equal to X,x is contained in En^ = f~X (h,k) for some k = 1 , . . . ,n2". T h e n / ( x ) e /„,,(.• = [ ^ - , | r ) . Now x € £„_* implies cpn(x) = ^ by (3). Thus we have 0 < / ( x ) — (pn(x) < ^ for every x e £ when n > N. This shows that lim (p„(x) = f(x) uniformly on E. 5. 3° follows from 1° and Theorem 8.5 (Monotone Convergence). 6. Suppose (X, 21, /x) is a a-finite measure space. Then there exists an increasing sequence (A„ : n e N) in 21 such that lim A„ = ILpM A„ = X and u(An) < oo for « 6 N. If we let fn = <Pn\An for n e N then (i/r„ : n e N) is an increasing sequence of /x-integrable nonnegative simple functions on X. Let us show that fn t f on X. Let x e X. Since (A„ : w € N) is an increasing sequence in 21 with lim An = X, there exists
n—>oo

N e N such thatx e A„ for n > N. Then i/'nCx) = <pn(x)lA„(x) = (pn(x) for n > N. Since (p„(x) | / ( x ) we have f„{x) \ f(x). This shows that \j/n f / on X. •

15 8

CHAPTER 2 The Lebesgue Integral

Proposition 8.7. Given a measure space (X, 21, ii). Let D € 21. (a)Iff\,... , fy are nonnegative extended real-valued %1-measurable functions defined on D, then we have
N N

/j£/«W = E|/ D W
«=i «=i

(b)If(fn : n € N) is a sequence of nonnegative extended real-valued ^.-measurable functions defined on D, then we have

Proof. Let f\ and fj be two nonnegative extended real-valued 2l-measurable functions defined on D. By Lemma 8.6, there exist two increasing sequences of nonnegative simple functions (<p\in : « e N ) and (<p2,« : n e N) on X such that <p\jn t / i and <p2,„ f / i - Then for the increasing sequence of nonnegative simple functions (<pi,n + <P2,n '• n e N), we have <P\,n + <P2,n t f\ + h- Thus by Theorem 8.5 (Monotone Convergence), we have (1) Now (2) lim / W\.n+<P2,n}dn= lim / <piMdn+ / f\dii+
JD JD

lim / {<P\.n+<P2,n}dfl= /
"-*°°JD JD

{fi+f2}dll.

I

(p2.ndfi\ fid^i

= lim / <pi.„dfi+ lim / (pi.nd[i=
n^ooJD "^ooJD

where the first equality is by (f) of Lemma 7.7 and the last equality is by Theorem 8.5. By (1) and (2) we have

(3)

JD

f {/i + f2}dfi = [ fidn+
JD

[
JD

f2d/i.

If f \ , . . . , fn are nonnegative extended real-valued 2l-measurable functions defined on D, then by iterated application of (3), we have

(4)

JD

/n(E/»W = E(//«'4
n=\ n=l
JD

If (/„ : n e N) is a sequence of nonnegative extended real-valued 2l-measurable functions defined on D, then for every N € N, (4) holds. Now the sum of the series JZneN /» ^s t n e limit of the sequence of partial sums (J2n=i /« : N € N ) - S i n c e /« i s nonnegative for every n e N, the sequence of partial sums is an increasing sequence. Thus by Theorem 8.5

§8 Integration of Nonnegative Functions and (4), we have

159

/ \j2fn}d(M= / ( Jim £ / „ W = Jim / J £ / „ W

= J I E / /»<*/*} = £ ( / /»^l- •
Definition 8.8. Given a measure space (X, 21, p). Let f be a nonnegative extended realvalued ^{-measurable function defined only on D\N where D, N € 21, N C D and N is a null set in (X, 2(, p). We write fD f dp for fD f dp where f is a nonnegative extended real-valued ^{-measurable function defined on D by setting f{x) forxeD\N, forx € N.

im

N

.

.

/(*)

0

(The fact that fD fdp = fD\N f d[i+fN f d[i = L ^ / rf/x will follow from Proposition 8.11 below. The definition of fD f dp, for a function / which is defined only a.e. on D is for the convenience of not having to write fD\N f d[i.) Corollary 8.9. Given a measure space (X, 21, p). Let f\ and fa be nonnegative extended real-valued %L-measurable functions on a set D e 21. If fa < fa on D and if we assume that fa is p-integrable on D, then fa — fa is defined a.e. on D and moreover we have

JD{fl ~ f\) dp = JD fa dp - fD fa dp.
Proof. If fa is ^i-integrable on D, then fa is real-valued a.e. on D by (a) of Lemma 8.2. Thus there exists a null set T in (X, 21, p) such that N C D and fix) e [0, oo) for V x e D\N. Then fa — fa is defined on D\N and fa + {fa - fa} is defined on D\N and fa + {fa ~ fa) = h- For the integrals fD{fa - fa} dp and fD {fa + {fa - fa}} dp in the sense of Definition 8.8 we have [
JD

fadp=

f {fa + {fa - fa}} dp=
JD

f
JD

fadn+

[ {fa JD

fa}dp,

by (f) of Lemma 8.2 and by (a) of Proposition 8.7. Subtracting the real number fD fa dp from both sides, we have fD fa dp - fD fa dp = fD{fa - fa} dp. I Remark 8.10. Corollary 8.9 may not hold if fa is not /x-integrable. In this case we have fD fa dp = oo and consequently fD fadp = oo also so that fD fadp—fD fa dp = oo—oo which is undefined. Proposition 8.11. Given a measure space (X, 21, p). Let f be a nonnegative extended real-valued ^-measurable function on a set D € 21. (a) If{D\,... , DN} is a disjoint collection in 21 such that U n = 1 Dn = D, then we have

f fdp = Y[
JD

fdp.

„ = 1 JD„

160

CHAPTER 2 The Lebesgue Integral

(b) If(Dn : n e N) is a disjoint sequence in 21 such that IJneN Dn = D, then we have

f fd^ = J^[
JD

fdii.

neNjD"

(c) If(En : n e N) is an increasing sequence in 21 such that lim En = D, then we have I fdfi=
JD

n

lim /
^°°
JE„ En

f d\i.

Proof. 1. Let g be a nonnegative extended real-valued 2l-measurable function on a set D e 21. Suppose A, B e 21, A n B = 0, A U B = D, and g = 0 on fl. Then we have (1) / gd\x,=
JD

\ gdn. JA

This can be proved as follows. According to Lemma 8.6, there exists an increasing sequence ((pn : n e N) of nonnegative simple functions such that <pn f g on D. Since 0 < cpn < g on D and since g = 0 on B, we have <p„ = 0 on B so that fB <pn d\i = 0 for every n e N. Then by Observation 7.6, we have / <pndfA= I <pndfl+ I <p„dfl= I (findjX. JA JB JA

JD

Now (pn f g on D and in particular <pn f g on A. Thus by Theorem 8.5, we have / gdn= JD lim / <p„diJ,= lim / (p„d/j,= / grfju. "^ooJD "^°°JA JA

This proves (1). 2. To prove (a), let / be a nonnegative extended real-valued 2l-measurable function on D e 21 and let [D\,... , D^} be a disjoint collection in 21 with (J n =i ^ " = ^*- ^ o r n— 1 , . . . , N, let us definition a function on D by setting f /(*) for* € D„,

(2)

/D W

- =jo

te,.D\A.

Then / o , , . . . , / D N are nonnegative extended real-valued 2t-measurable functions on D and 5Z^_i /D„ = / on D. Thus by Proposition 8.7 and by (1), we have

r
JD

N

f

N

r
J

t^Jo n=\"u

„^ « = 1 ' Dn

3. Let us prove (c) next. Thus let (E„ : n e N) be an increasing sequence in 21 with lim En = D. For each n e N, let us define a nonnegative extended real-valued
n—>-oo

§8 Integration of Nonnegative Functions

161

2t-measurable function / E „ by (2). Then (/E„ : n 6 N) is an increasing sequence and IE„ t / on D. Thus by Theorem 8.5 and by (1), we have / fdp = lim / fE„dp = lim / fdp,.

4. Finally to prove (b), let (Dn : n e N) be a sequence of disjoint members of 21 such that UneN D" = &• ^et E" = U*=i Dk for n e N. Then (£„ : n e N) is an increasing sequence in 21 and lim En = ILI=N £« = D. Then by (c) and (a), we have / f dp = lim / f dp = lim / / djLi n Jo -*°°JEn " ^ °° JUL i At

= lim Y* / fdp = J2
k=\JD« n<=NJD»

fdp.t

Proposition 8.12. Given a measure space (X, 21, p). Let f be a nonnegative extended real-valued ^-measurable function on X. If we define a set function v on 21 by setting v(E) = fE f dp for E s 21, then v is a measure on (X, 21). Proof. Clearly v(E) e [0, oo] for every E e 21 and v(0) = 0. The countable additivity of v on 21 follows from (b) of Proposition 8.11. I Theorem 8.13. (Fatou's Lemma) Given a measure space (X, 21, p). Then for every sequence (/„ : n e N) of nonnegative extended real-valued ^-measurable functions on a set D e 21, we have (1) In particular if f = (2) / lim inf /„ dp < lim inf / "-*°° "^°° JD lim /„ exists a.e. on D, then
JD n—»oo

fndp.

JD

/ / dp < lim inf / n ^°° JD
v

fndp.

Proof. By definition, lim inf /„ = lim inf fk- Since (inf^>„ h : n e N) is an increasing
n-s-oo n->OOjt>n
_

'

sequence of nonnegative extended real-valued 21 -measurable functions on D, Theorem 8.5 implies that / lim inf /„ dp = I
JD n->-oo

lim inf fk dp = lim / inf fk dp
n-»oo JD k>n

JDn-*ook>n

= lim inf / k inf fk dp < lim inf / n n ^°° Jo ^n ^°° JD

fndp,

where the third equality is from the fact that (/ D infk>n fkdp: n e N) is an increasing sequence in R so that its limit exists and the limit is equal to the limit inferior and the last

162

CHAPTER 2 The Lebesgue Integral lim /„ exists a.e.
n~>-oo

inequality is from the fact that inf^>„ fk < /„. This proves (1). If / =
n—>-oo

on D, then / = lim inf /„ a.e. on D and thus (2) follows from (1) by Definition 8.8.

Theorem 8.14. Let (X, 21, p) be a measure space and let (/„ : n e N) be a sequence of nonnegative extended real-valued 'Si-measurable functions on a set D e 21. Suppose lim /„ = / exists p-a.e. on D and moreover /„ < / , p-a.e. on D for all n € N. Then
n->oo

/ fdp = lim /

fndp.

Proof. By the hypothesis of the theorem there exists a null set T in the measure space V (X, 21, p) such that N C D, lim /„ = / , and /„ < / for all n E N on D \ N. Then / is a nonnegative extended real-valued 2l-measurable function on D \ N by Theorem 4.22 and / „ f dp exists in [0, oo] by Definition 8.8. Now / = lim /„ = lim inf /„ on D \ N
n—*-oo n—>oo

so that by Theorem 8.13 (Fatou's Lemma) we have / / dp = I lim inf /„ dp < lim inf / /„ dp >0 n JD "- ° ^ ° ° JD < lim sup / f„dp n->oo JD < I f dp JD

JD

where the last inequality is from the fact that fD f„ dp < fD f dp for all n e N. Thus we have lim inf I f„dp = lim sup / f„dp = I f dp n ^°° JD n->oo JD JD and therefore lim fD fndp = fD f dp. I

[III] Approximation of the Integral by Truncation
Let us consider first a truncation of the range of an extended real-valued function. Definition 8.15. Given a measure space (X, 21, p). Let f be an extended real-valued Si-measurable on a set D € 21. For a constant M > 0, define a bounded function / ' ^ on D by setting • f(x) iff(x)e[-M,M], f[M\x) = M . -M if f{x) > M, iffix)<-M.

Let us call / ^ the truncation of (the range of) f at level M. Observe that / [ M ] = max { — M, min (M, /}} and thus / [ M 1 is 2l-measurable on D by Theorem 4.22. Note also that for the sequence (/W : n € N), we have lim / ' " ' = / o n D .
x

Indeed if fix)

e R then there exist N € N such that | / ( x ) | < N and then f[n] (x) =

'

n-s-oo

fix)

§8 Integration of Nonnegative Functions for every n > N so that lim / n e N so that lim fM(x)
n->-oo n—*oo
w

163 = oo, then /
w

(x) = f(x); if f(x)

(x) = n for every = —oo, then In

= lim re = oo = f(x) and similarly if fix)
rt->oo

/ [n] (jc) = -n for every re e N so that lim fM(x) particular if / is nonnegative then / ^ f f on D.

— lim -re = - o o = fix).

Lemma 8.16. Given a measure space (X, 21, /ii). Lef f be a p-integrable nonnegative extended real-valued ^-measurable on a set D e 21. Then for every e > 0, f/iere arista a constant M > 0 Sucre f/iaf

I {f-fW]}dp
JD

= f fdpJD
[M1

f
JD

f[mdp<e.

Proof. For any M > 0, we have 0 < / < / on D so that the /x-integrability of / on D implies that of f[M] by (e) of Lemma 8.2. Then JD{f - fm}dp, = fDfdp-fD f[M] dpi by Corollary 8.9. For n e N, consider / w , the truncation of / at level re. Then ( / w : re e N) is an increasing sequence of nonnegative real-valued 2t-measurable functions such that / w \ f on D. Thus by Theorem 8.5, we have lim fD / [ n ] dp, — fDf dp,. Since fD f dp < oo, for every e > 0 there exists J V e N such that JD f dp — e < JD /
w

e?/z for n > N. Thus

fDfdp-fDfWdp<e.

I

Next let us consider a truncation of the domain of definition of a function. Definition 8.17. Let (X, 21, p) be a measure space and let f be an extended real-valued 21measurable function on aset D e 21. Let E e 21 and E C D. Let an extended real-valued ^.-measurable function on D be defined by setting

fE(x) =

f{x) 0

forx € E, forxeD\E.

We call fE the truncation of f at the set E. Note that if (£„ : re £ N) is an increasing sequence of 2l-measurable subsets of D such that lim En = D, then lim /V, = / on D. This can be shown as follows. If jt E D, then since D = U«eN E" t n e r e exists N e N such that x e EN- Then x e E„ for every n > N so that fEnix) = / ( x ) for every n > N. Hence lim / E „ ( X ) = /(JC) for every
n->-oo

x £ D. In particular if / is nonnegative then /£ n f / on D. Lemma 8.18. Given a measure space (X, 2(, jit). Let f be a p-integrable nonnegative extended real-valued ^.-measurable function on a a-finite set D e 21. Then for every £ > 0, ?/iere arista a ^-measurable subset E of D with piE) < oo such that

(1)
JD

fif-fE}dp=[fdp-[fEdp<s.
JD JD

164

CHAPTER 2 The Lebesgue Integral

In particular, when (X, *&, p.) = (R, 97lL, p,L), there exists a constant M > 0 such that (2) / {/ - fDn[-M,M]}d[iL
JD

= / fdp,LJD

/ fon[-M,M] dp-L < e.
JD

Proof. 1. For any E c D such that E e 21, we have 0 < fE < f on D so that the (U-integrability of / on D implies that of fE. Then fD {/ - fE}dp, = fD f dp,- fD fE dpi by Corollary 8.9. Since D is a cr-finite set, according to Lemma 1.31, there exists an increasing sequence (En : n e N) in 21 such that lim En = D and p,(En) < oo for every n € N. Then
n—*oo

(fE„ : « € N) is an increasing sequence of nonnegative extended real-valued 2l-measurable functions on D such that fEn f / on D, we have lim fD fEn dfi = fD f dp. by Theorem 8.5. Since fD f dp, < oo, for an arbitrary e > 0 there exists N € N such that we have fD f dp. — fD fEn dp, < s for n > N. Let E = EN and we have the inequality in (1). 2. When (X, 21, p.) = (R, 07tL, ^ L ) and D e VJlL, we let E„ = D n [-«, n] for n e N. Then (£„ : n € N) is an increasing sequence in 2Jt such that lim E„ = D and
«->oo

AtL (£„) < oo for every n e N. Then (2) follows by the same argument as in 1.

The next Theorem shows that if / is a nonnegative extended real-valued 2l-measurable function on a or-finite set D e 21 and if fDf dp, < oo, then fD f dp, can be approximated by the integral of a bounded nonnegative real-valued 2l-measurable function which vanishes outside of a set with finite measure. Theorem 8.19. Given a measure space (X, 21, p,). Let f be a p,-integrable nonnegative extendedreal-valued ^{-measurable function on a a-finite set D € 21. Then for every e > 0, there exist a constant M > 0 and a ^-measurable subset E of D with p,(E) < oo such that

(1)

/ {/ - (flM])E) dpi = fDfdn-

^ (fM)Edp. < s.

In particular, when (X, 21, p.) = (R, £DTL , p,L), there exists a constant M > 0 such that (2) fD ( / - ( /
M

W ^ ] )

*»L = jDfdnL

~ j

D

(f^Dm-MM

d

^

< £-

Proof. 1. For every M > 0 and E € 21 such that E C D, we have 0 < ( / [ M ] ) £ - f[M] f on D. Thus the /i-integrability of / on D implies that of fE„ and ( / [ M 1 ) E . Then by Corollary 8.9, we have fD {/ - {f[M])E} dn = fDfdpfD (f[M])EdfM. Let e > 0. The /ii-integrability of / on D implies according to Lemma 8.16 that there exists M > 0 such that

(3)

fjdp-fDf[M]dn<S2' -

§ 8 Integration of Nonnegative Functions

165

The ^.-integrability of f^M^ on D implies according to Lemma 8.18 the existence of a 2l-measurable subset E of D with n(E) < oo such that

(4)

f fMdll_
JD

f (/M)
JD

dM<

£.
*

Adding (3) and (4), we have the inequality in (1). 2. When (X, 21, n) = (R, 9JtL,nL), by Lemma 8.16 there exists Mi > 0 such that

(5)

JD

f fdnL-

f
JD

flUl]dnL<^-, l

and by Lemma 8.17, there exists M2 > 0 such that

(6)

j o flM>] d»L - jD (/ [Ml] ) Dn[ _ M2 , M2] d»L < \.

Adding (5) and (6), we have (7) /D/^-/D(/[Ml!)Dn[-M2.M2]^

-

Now fD(f^Ml^)Dn[-M2,M2]dnL increases if either one of Mi and M2 increases. Thus replacing Mi and M2 in (7) with M = max {Mi, M2}, we have ' ' Dn t _M 2- M 2l d^L

JD Therefore we have

~ j

D

'^

'Dn[-M,M] ^ ^

I fdHL - f ( / M ) D n [ _ M , M ] d„L < I' fdv.L - f (f[M>])Dn[_M2M
This proves the inequality in (2). •

d„L < B.

Theorem 8.20. (Uniform Absolute Continuity of the Integral with Respect to the Measure) Given a measure space (X, 21, /x). Let f be a fj,-integrable nonnegative extended real-valued ^.-measurable on a set D e 21. Then for every e > 0, there exists S > 0 such that / fdfi <e

for every ^.-measurable subset E of D with IJ-(E) < S. Proof. ByLemma8.16,foreverye > OthereexistsM > 0 such that fD{f — f^-M]}dfA < | . Let S < 5J7. Then for every 2l-measurable subset E of D with 11(E) < S, we have fE f[M] dfj, < M 11(E) < §. Thus

\ fdnJE

[ fMdll=
JE

[[f-fM]dll<
JE JD

f[f-f^)diJ.<i
L

166 and then

CHAPTER 2 The Lebesgue Integral

Remark 8.21. Theorem 8.20 is not valid if the function / is only /x semi-integrable, but not (Lt-integrable, on D. Example. In the measure space (R, VBlL, pL), let D = [0, oo) and let f{x)=x for* e D. Then fDfd/j,L = oo so that / is not ^-integrable on D. Now let E„ = [n, n + -) for n e N. We have f^ f d\xL = J"+"xdx M£«) = n
< S but

= \ [x2]"n+" = 1 + ^ .

Thus if e = 1 for

instance, then for any S > 0 however small, if we take n e N so large that - < 8 then
IE„

fd^L

= ! + 2^2 > e -

Problems
Prob. 8.1. Given a measure space (X, 21, /^.). Let / be a nonnegative extended real-valued 2l-measurable function on a set D e 21. Let <> be the collection of all nonnegative simple t functions <p on D such that 0 < <p < / on D and let © be the collection of all Lebesgue integrable nonnegative simple functions i J o n D such that 0 < i? < / on D. Recall that by our definition of the Lebesgue integral of / , we have fD f dp = s u p ^ ^ fD <p d/u,. Note that since 0 C $ , we have sup,,€@ jD& dp < sup^gIt> fD <p dp. Show that if (X, 21, p) is a a -finite measure space, then sup^ e 0 JD& dp = s\ipve<t, fD<pd/ji. Prob. 8.2. Consider the Lebesgue measure space (R, 9Jt t , pL). (a) Construct nonnegative real-valued 971^-measurable functions (/„ : n e N) and / on R such that ( / „ : « € N) converges to / uniformly on R but lim / R /„ dpL ^ fR f dpL. (b) Construct nonnegative real-valued 97^ -measurable functions (/„ : n e N) and / on R such that /„ 4- / a s n — o o o n R but lim fR fn dpL ^ / R / dpL. > Prob. 8.3. Given a measure space (X, 21, jti). Let (/„ : n e N) and / be extended realvalued 2l-measurable functions on a set Z? e 21 and assume that / is real-valued a.e. on D. Suppose there exists a sequence of positive numbers (sn : n € N) such that 2° fD\fn — f\pdp < e„ for every n e N for some fixed p e (0, oo). Show that the sequence (/„ : n e N) converges to / a.e. on D. (Note that no /x-integrability of fn, f, \fn\p, and \f\p on D is assumed.) Prob. 8.4. Given a measure space (X, 21, p). Let (/„ : n e N) and / be extended realvalued 2l-measurable functions on a set D e 21 and assume that / is real-valued a.e. on D. Suppose there exists a sequence of positive numbers (e„ : n e N) such that 1° lim e„ = 0,
n-*oo

2° fD\fn — f\p d(J- < e„ for every « £ N for some fixed p e (0, oo). Show that the sequence (/„ : n € N) has a subsequence (fnk : k e N) which converges to / a.e. on D.

§8 Integration of Nonnegative Functions

167

Prob. 8.5. Given a measure space (X, 21, p). Let ( / „ : « € N) and / be extended realvalued 2t-measurable functions on a set D e 21 and assume that / is real-valued a.e. on D. Suppose lim fD \f„ — f\p dp = 0 for some fixed p e (0, oo). Show that the sequence (/„ : n e N) converges to / on D in measure. Prob. 8.6. Let (X, 21, p) be a measure space and let / be an extended real-valued 21measurable function on X such that fx\f\p dp < oo for some p e (0, oo). Show that lim Xpp\X : | / | > X) = 0.
A->oo

Prob. 8.7. Let (X, 21, p) be a cr-finite measure space. Let / be an extended real-valued 2(-measurable function on X. Show that for every p e (0, oo) we have f\f\pdp=f
JX J[0,oo)
PX p l

- p{X:\f\>X}pL(dX).

Prob. 8.8. Given a measure space (X, 21, p). Let / be a nonnegative extended real-valued 2(-measurable function on a set D e 21 with p(D) < oo. Suppose / > 0 a.e. on D. (a) Show that for every S > 0 there exists r\ > 0 such that for every 2l-measurable subset E of D with fJi(E) > 6, we have fE f dp, > r\. (b) Show that (a) does not hold without the assumption p(D) < oo. Prob. 8.9. Given a measure space (X, 21, /x) with p(X) < oo. Let / be a nonnegative extended real-valued 2l-measurable function on X such that / > 0, /x-a.e. on X. Let (£„ : n e N) be a sequence in 21 such that lim fF f dp = 0. Prove the following:
«->00
C

"

(a) lim p{E„) = 0. (b) lim p(En) = 0 does not hold without the assumption that / > 0, u-a.e. on X.
n->oo

(c) lim p{En) = 0 does not hold without the assumption that /x(X) < oo.
n—»oc

Prob. 8.10. Given a measure space (X, 21, (U.). Let / be a nonnegative extended real-valued 2(-measurable function on a set D e 21 with p(D) < oo. Let Dn = {x e D : f(x) > rc} for n € N. Show that j D f dp < ooif and only if X!neN /•*•( Ai) < °oProb. 8.11. Given a measure space (X, 21, ^) with /x(X) < oo. Let / be a nonnegative real-valued 2t-measurable function on X. Show that / in Ai-integrable on X if and only if J2 2"p{x e X : f(x) > 2"} < oo.
neZ+

Prob. 8.12. Given a measure space (X, 2t, p). Let / and g be two nonnegative extended real-valued 2l-measurable function on a set D e 21 such that f < g a.e. on D. (a) Show that if fD f dp = fDgdp < oo, then f = g a.e. on D. (b) Show by constructing a counter example that if the condition fDgdp < oo in (a) is removed then the conclusion is not valid. Prob. 8.13. Given a measure space (X, 21, p). Let / be a real-valued 2t-measurable function on a set D e 2t with /x(D) e (0, oo) such that f(x) e [0, 1) for every x € D.

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CHAPTER 2 The Lebesgue Integral

(a) Show that fDfd[A < fi(D). (b) Show by counter example that without the condition fi(D) < oo, the conclusion in (a) is not valid. Prob. 8.14. (a) Let {<:„,,• : n eN,i e N} be an array of nonnegative extended real numbers, that is, cn,i € [0, oo] for n € N and i e N. Show that lim inf 7 c„ ; > 7 lim inf c„ ,•. (b) Show that if (c„,,- : n e N) is an increasing sequence for each ;' e N then lim y^c„,i = V lim cnj.

§9 Integration of Measurable Functions

169

§9 Integration of Measurable Functions
[I] Lebesgue Integral of Measurable Functions
If / is an extended real-valued 2t-measurable function on a set D e 21 in a measure space (X, 21, p), then / = f+ — f~ where / + and / ~ are the positive and negative parts of / , that is, / + = max {/, 0} and f~ = — min {/, 0}. Since / + and f~ are nonnegative extended real-valued 2l-measurable functions on D, fD f+ dp and fD f~ dp exist in [0, oo] by Definition 8.1, but fD f+ dp — fD f~ dp may not exist in R. Definition 9.1. Given a measure space (X, 21, p). Let f be an extended real-valued ^-measurable function on a set D e 21. If fD f+ dp — fD f~ dp exists in R, then we say that f is Lebesgue semi-integrable on D with respect to p, or simply p. semi-integrable on D, and define fD f dp = fD f+ dp — JD f~ dp. We say that f is Lebesgue integrable on D with respect to p, or simply p-integrable on D, only when fD f dp 6 R. For the class of bounded measurable functions on a set with finite measure and for the class of nonnegative extended real-valued measurable functions the Lebesgue integral has been defined by Definition 7.10 and by Definition 8.1 respectively. Let us reconcile these definitions with Definition 9.1 for the class of extended real-valued measurable functions which includes the last two classes of functions as particular cases. To do this, let / o ( / ) , / ( / ) , and J(f) be the integrals of / in the sense of Definition 7.10, Definition 8.1, and Definition 9.1 respectively. If / is a nonnegative extended real-valued 2t-measurable function on a set D e 21, then / = / + - / " where/+ = / a n d / " = 0. T h e n / ( / ) = / ( / + ) - / ( / - ) = / ( / ) - / ( 0 ) = / ( / ) . Thus Definition 8.1 is consistent with Definition 9.1. If / is a bounded real-valued 2l-measurable function on a set D € 21 with p(D) < oo, then

'<>(/) = W + - /") = W + ) - W )
= sup / <p dp — sup / <p dp
ip<f+ JD *></" JD

=

sup / <p dp — sup / q> dp 0<(o</+ JD 0<(0</~ JD

= I(f+)-Hf-)

= J(f),

where the second equality is by Lemma 7.12. This shows that Definition 7.10 is consistent with Definition 9.1. Observation 9.2. (a) f is p semi-integrable on D if and only if at least one of fD f+ and fD f~ dp is finite. (b) / is ju-integrable on D if and only if both fD f+ dp and fD f~ dp are finite. (c) If / is p semi-integrable on D, then | fD f dp\ < fD\f\ dp. dp

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CHAPTER 2 The Lebesgue Integral

(d) / is yii-integrable on D if and only if | fD f dp\ < oo. (e) / is /i-integrable on D if and only if | / | is. (f) If / is jii-integrable on D, then | / | < oo a.e. on D, that is, / is real-valued a.e. on D. (g) If / is yu.-integrable on D, then the set {x e D : f(x) ^ 0} is a a -finite set. Proof. 1. (a) and (b) are immediate from Definition 9.1. 2. To prove (c), note that if fD f dp, exists then

f fdp= [ f+dpJD JD

[ f~dp<
JD JD

f f+dp + [ f-dn
JD JD

= [ {f + f~)dp = f \f\dp,
JD

+

by Proposition 8.7. Similarly

- / fdp = - f f+d,x+ [ f~dn<
JD JD JD

[ f+dp+ f f~dn=
JD JD

f \f\dft.
JD

Thus \fDf dp\

<fD\f\dp,.

3. To prove (d), suppose / is /x-integrable on D. Then by (b) we have

I / fdp\ = \ f f+dp'JD

'

' JD

( f'dp\ <| f f+dp\ + \ [ f-dfi\ <oo.
JD

'

'JD

>

> JD

'

Conversely if \fDfdp\ < oo, that is, \fDf+dp — fDf~dp\ < oo, then we have + fD f dp — fD f~ dp e R, that is, / is jii-integrable on D. 4. To prove (e), suppose / is ^t-integrable on D. Then we have fD f+ dp < oo and ID f~ dp < OO by (b). This then implies

JD

[ \f\dli= f {f+ + f-)dp=
JD

[ f+dp+
JD

[ f~ dp <oo
JD

so that | / | is /u,-integrable on D. Conversely suppose | / | is yti-integrable on D, that is, fD \f\dp < oo. Now since 0 < / + < | / | and 0 < / ~ < | / | on D, we have both ID f+ dp < jD\f\dp < oo and fD f~ dp < fD\f\dp < oo by (e) of Lemma 8.2. This shows that / is /x-integrable on D by (b). 5. To prove (f), note that if / is /x-integrable on D then so is | f\ by (e). Then | f\ < oo a.e. on D by (a) of Lemma 8.2. 6. To prove (g), note that if we define Dk = {x e D : \f(x)\ > | ) for k e N then we have {x e D : f(x) # 0} = {x e X : | / ( x ) | > 0} = \Jken Dk. Now for each k e N, we have the estimate ^p{Dk) < fD \f\ dp < fD | / | dp < oo so that p(Dk) < oo. This shows that the set {x e D : f(x) 7^ 0} is a cr-finite set. I Lemma 9.3. Given a measure space (X, 21, p). Let f be an extended real-valued 21measurable function on a set D e 21. If fE f dp exists and JE f dp > 0 for every iH-measurable subset E of D, then / > 0 a.e. on D.

§9 Integration of Measurable Functions

171

Proof. Suppose the statement that / > 0 a.e. on D is false. Then for the set E — [x € D : f(x) < 0}, we have p(E) > 0. Now E — [Jk€n E^ where E^ = {x e D : f(x) < — \\ for k e N. Thus YlkzN /*(£*) - M( UteN Ek) = P(E) > 0 so that there exists t j e N such that p.(Ek0) > 0. Then fE f dp < — j-p(Eic0) < 0, contradicting the assumption that fE f dp > 0 for every 2l-measurable subset E of D. I Observation 9.4. Let / and g be two extended real-valued functions on a set D. If / < g on D, then / + < g+ and / ~ > g~ on D. Proof. If / < g, then / + = max{/, 0} < max{g,0} = g+. Also f < g implies that min {/, 0} < min {g, 0} and then f~ = — min {/, 0} > — min {g, 0) = g~. • Lemma 9.5. Given a measure space (X, 21, p). Let f and g be two extended real-valued Ql-measurable functions on a set D e 21. Suppose f < g on D. If one of f and g is p-integrable on D, then the other is at least p semi-integrable on D. Proof. If / is //,-integrable on D, then we have fD f+ dp < oo and / „ / _ dp < oo. Since / < g on D we have / ~ > g~ on D by Observation 9.4. This implies that we have fD g~ dp < fD f~ dp < oo. This proves the p semi-integrability of g on D by (a) of Observation 9.2. On the other hand, if we suppose that g is ju,-integrable on D, then fD g+ dp < oo and fD g~ dp < oo. Since / < g on D, we have / + < g+ on D by Observation 9.4. This implies JD f+ dp < JD g+ dp < oo. Then fD f+ dp < oo implies the p semiintegrability of / on D. • Lemma 9.6. Given a measure space (X, 21, p). Let f and g be two extended real-valued ^-measurable functions on a set D e 21. Suppose f < g on D. (a) If f is p semi-integrable on D and fD f dp ^ — oo, then g is p semi-integrable on D. (b) If g is p semi-integrable on D and JD g dp ^ oo, then f is p semi-integrable on D. Proof. 1. Let us prove (a). Now if / is p semi-integrable on D and fD f dp ^ —oo, then since fD f dp = fD f+ dp — fD f~ dp we have fD f~ dp < oo. Since / < g on D implies / ~ > g~ on D by Observation 9.4, we have fD g~ dp < fD f~ dp < oo. Thus g is p semi-integrable on D by (a) of Observation 9.2. 2. To prove (b), suppose g is p semi-integrable on D and fD g dp ^ oo. Then since jDgdp = fD g+ dp — fD g~ dp, we have fD g+ dp < oo. Since / < g on D implies / + < g+ on D by Observation 9.4, we have fD / + dp < fD g+ dp < oo. This shows that f is p semi-integrable on D by (a) of Observation 9.2. I Lemma 9.7. Given a measure space (X, 21, p). Let f and g be two extended real-valued %-measurable functions on a set D € 21. If f and g are both p semi-integrable on D and iff<gonD, then fDfdp<fDg dp. Proof. / < g on D implies / + < g+ and / ~ > g~ on D by Observation 9.4. Thus we have fD / + dp < fD g+ dp and fD f~ dp > fDg~ dp. Subtracting the second inequality

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CHAPTER 2 The Lebesgue Integral

from the first side by side we have fD / + dp — fD f dp < fDg+ dp — fDg dp, where the two differences exist since / and g are p semi-integrable on D. Thus we have

IDfdp<fDgdp.

Lemma 9.8. Given a measure space (X, 21, p). Let f and g be two extended real-valued Qi-measurable functions on a set D e 21. If f = g a.e. on D and if f is p semi-integrable on D, then so is g and JD f dp = fDg dp. Proof. If / = g a.e. on D then / + = g+ and / ~ = g~ a.e. on D and therefore we have fD f+ dp = fD g+ dp and JD f~ dp = fD g~ dp by (f) of Lemma 8.2. Thus if fD f+ dp — JD f~ dp exists then so does fD g+ dp — fD g~ dp and the two differences are equal. I Lemma 9.9. Given a measure space (X, 21, p). Let f be an extended real-valued 21measurable function on a set D € 21. Let Do be an arbitrary ^.-measurable subset of D. (a) If f is p semi-integrable on D, then f is p semi-integrable on DQ. In other words, if f is not p semi-integrable on Do, then f is not p semi-integrable on D. (b) If f is p-integrable on D, then f is p-integrable on DQ. In other words, if f is not p-integrable on Do, then f is not p-integrable on D. Proof. 1. We have fD f+ dp > fDo f+dp>0 and JD f~ dp > }Df> f~dp>0 by (c) of Lemma 8.2. If / is p semi-integrable on D, then at least one of JD f+ dp and fD f~ dp is finite so that at least one of fD f+ dp and fD f~ dp is finite. Thus f is p semi-integrable on Do. 2. If / is j«-integrable on D, then both fD f+ dp and fD f~ dp are finite so that both fD f+ dp and fD f~ dp are finite and then / is /x-integrable on Do. I Lemma 9.10. Given a measure space (X, 21, p). Let f be an extended real-valued 2tmeasurable function on a set D e 21. Suppose f is p semi-integrable on D. (&)If{D\,... , DN} is a disjoint collection in 21 such that (J n =i ^n = ^ > tnen we nave

JD

/ fdp = YJ\

r

N

r

„ = 1 JDn

fdli=

(b) If{Dn : n € N} is a disjoint collection in 21 such that UneN D "

&, then we have

f fdp = YJl
(c)If(E„

fdii.

: n € N) is an increasing sequence in 2t such that Mm En = D, then we have

/ fdp=

lim fE

fdp.

§9 Integration of Measurable Functions

173

Proof. 1. The p. semi-integrability of / on D implies its p semi-integrability on Dn by Lemma 9.9. Then (a) and (b) follow from (a) and (b) of Proposition 8.11 respectively. 2. To prove (b) for instance, note that fDfdp = fD f+ dp — fD f~ dp and then we
have

ID f+ dV = E«eN ID„ f+d^ of Proposition 8.11. Thus

and

ID f~ d^ = ^nm

ID„ f~ d^ according to (b)

[ fdp = Tf

f+d^~Hl

f~d^

where the second equality is from the fact that if (an : n e N) and (bn : n e N) are two sequences of nonnegative extended real numbers such that at least one of YlneN a» a n d E „ e N bn is finite then Y,neN(an ~ K) = £«eN an - £ n e N bn. Thus

3. To prove (c), Let D\ = E\ and Dn = En\ En-\ for n > 2. Then {Dn : n e N} is a disjoint collection in 21 with Ut=i Dk = £„ for w e N and IJ«€N D" — UneN En = ®Thus by (b) and (a) we have

JD

In

/ f dp = Y\\

'~~^ In neNJD"

fdp = lim V] /
fdp= lim

n-*oo '—' JD l n k=\ ><

fdp
fdp.

= lim / This proves (c). I

/

For the integral of a measurable function defined a.e. on a measurable set, the following definition is convenient. Definition 9.11. Given a measure space (X, 21, p). Let f be an extended real-valued 21measurable function on D\N where D, N e 21, N C D, and N is a null set in (X, 21, p). Suppose f is p semi-integrable on D \ N. We write fD f dp for fD f dp where f is an extended real-valued ^.-measurable function on D defined by ~ 1 / ~ I 0 (Note that fD fdp = fDXN fdp + fN fdp onD\N, onN. = fDXN f dp + 0 by (a) of Lemma 9.10.)

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CHAPTER 2 The Lebesgue Integral

Lemma 9.12. Given a measure space (X, 21, p.). Let f be an extended real-valued 21measurable function on a set D € 21. (a) If f is p semi-integrable on D, then so is —f and fD(—f) dp = — fD f dp. (b) Iff is p semi-integrable on D, then so is cf for every c =£ 0 and JD cf dp = c fD f dp. (c) Iff is p-integrable on D, then 0 / is defined a.e. on D and fD 0 • / dp = 0 • fD f dp. Proof, (a) follows from the fact that ( - / ) + = / ~ and ( - / ) " = / + . (b) follows from (a) and Lemma 8.3. (c) follows from the fact that if / is ^-integrable on D, then / is real-valued a.e. on D. • It is usually shown that if / and g are both ^-integrable, then so is / + g and moreover fo^f + g)dp = fDfdp + fDg dp. Here we show that the equality holds even when / and g are only p semi-integrable as long as the sum fD f dp + fD g dp exists in R. Observation 9.13. Let a, b e R be such that a + b exists in R. Then max {a + b, 0} < max {a, 0} + max {b, 0). Proof. If a < 0 and b < 0 also, then max {a + b, 0} = 0 = max {a, 0} + max [b, 0}. If only one of a and b is negative, say a < 0 and b > 0, then max {a + b, 0} < max {b, 0} = max {a, 0} + max [b, 0}. If a > 0 and b > 0 also, then max {a + b, 0} = a + b = max {a, 0} + max {b, 0}. • Theorem9.14. Given a measure space (X, 2(, p). Let fandg be two extendedreal-valued ^.-measurable functions on a set D € 21. Suppose f and g are both p semi-integrable on D. If fD f dp + fDgdp exists in R, then (a) / + g is defined a.e. on D, (b) / + g is p semi-integrable on D, (c> J D { / + g}dp = fDfdp + JDg dp. In particular if both f and g are p-integrable on D then f + g is p-integrable on D and jD{f + g)dp = fDfdp + fDg dp. Proof. 1. Suppose fD f dp + fDg dp exists in R. Then either (1) or (2) / f dp, \ gdp € [-oo, oo).
JD JD

/ f dp, \ gdp € ( - 0 0 , 0 0 ] ,
JD JD

Let us consider case (1). Case (2) can be treated likewise. Now if we assume (1), then we have

(3)

f f+dp,
JD

f g+ dp e [0,oo],
JD

§9 Integration of Measurable Functions and (4) / f-d/i,
JD

175

[ g~due
JD

[0,oo).

By (a) of Lemma 8.2, (4) implies that / ~ , g~ e [0, oo) a.e. on D. Then / , g e ( - c o , oo] a.e. on D so that / + g is defined and / + g € (—oo, oo] a.e. on D. 2. Let us show that / + g is /x semi-integrable on D. By Observation 9.13, we have (f + g)+<f+ (f + g)~ = (-{/ + g+ + g))
+

a.e. o n f l , < (~/)
+

+ (~g)

+

= f~ + g~

a.e. on D.

Then recalling Definition 9.11, by (e)of Lemma 8.2, (a) of Proposition 8.7, (3) and (4), we have (5) and similarly (6) [(.f
JD

({f
JD

+ g)+dii<

f f+d^i+
JD

f g+d^
JD

e[0,oo],

+ g)~dn<

f f~dii+
JD

[ g'dn
JD

e[0,oo).

By (5) and (6), we have (7) fif
JD

+ g}dix=

[ (f + g)+dvLJD

f(f
JD

+

g)-diis{-oo,oo].

This proves the \i semi-integrability of / + g on D. 3. To prove that the integral of the sum is equal to the sum of the integrals, note that ( / + g)+ ~ (f + g)~ = f + g = {/+ - / " } + ig+ - g~] a.e. o n D .

Since (4) implies that / ~ and g~ are finite a.e. on D and (6) implies that (f + g)~ is finite a.e. on D, transposition of / ~ , g~, and ( / + g)~ in the last equality is possible a.e. on D and thus we have (f + g)+ + f-+g= f++g+ + (f + gr a.e. onD.

Then recalling Definition 9.11, we have by (a) of Proposition 8.7 f (f + g)+dii+
JD

f f~dli+
JD

f
JD

g-d/x g)-dn.

= f f+d^+
JD

[ g+dfi+
JD

f\f
JD

+

Since fD f~ d\x, JD g~ d\x, and fD(f last equality. Then we have f {f + g)+diiJD

+ g)~ d/x are finite, we may transpose them in the

[ (f +
JD

g)-dn f g+dfiJD

= f f+dnJD

[ f-dfi+
JD

f
JD

g-dii,

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CHAPTER 2 The Lebesgue Integral

that is, fD{f + g}dp = fDfdp + fDg dp,. 4. If both / and g are /x-integrable on D then fD fdp + fDg dp exists in R so that we have / D { / + g}dp = fD fdp + fD gdp e R by (c). • In Theorem 9.14, the existence of fD fdp+fDg dp in R is a sufficient condition for the existence of fD{f + g] dp in R. This condition however is not a necessary condition. For instance, if / is a nonnegative real-valued 2l-measurable function on D with fD f dp = oo and g = -f, then / + g = 0 on D and thus fD{f + g}dp = 0 but fDfdp + fDgdp = oo — oo which does not exist. Corollary 9.15. Given a measure space (X, 21, p). Let f andg be two extended real-valued ^.-measurable functions on a set D e 21. Suppose f and g are both p semi-integrable on D. If fD f dp — fug dp exists in R, then (a) / — g is defined a.e. on D, (b) / — g is p semi-integrable on D,

(c) J D {/ ~g}dp = fDfdp-fDg

dp.

In particular if both f and g are p-integrable on D then f — g is p-integrable on D and fD{f ~g}dp = fDfdp-fDgdp. Proof. Since fD g dp exists, fD(—g) dp exists and fD(—g) dp = — fDg dp. Then since fD f dp—fDg dp exists, fD f dp+fD(—g)dp exists. Thus by Theorem 9.14, / + ( — g ) is defineda.e. onD, fD{f+(-g)}dpexistsandfD{f+ (-g)}dp = fD f dp + fD(-g) dp. This proves the Corollary. I Proposition 9.16. Given a measure space (X, 21, p). Let f and g be extended real-valued ^.-measurable functions on a set D e 21. (a) If f and g are p-integrable on D and fE f dp = fE g dp for every E e 21 such that E C D, then f = g a.e. on D. (b) If f and g are p semi-integrable on D and fE f dp — fEg dp for every E e 21 such that E C D, then f = g a.e. on D provided that D is a a-finite set. Proof. 1. Consider first the case where / and g are two /x-integrable real-valued 21measurable functions on D. If the statement that f = g a.e. on D is false, then at least one of the two sets E = [x e D : f(x) < g(x)} and F = {x e D : f(x) > g(x)} has a positive measure. Consider the case p(E) > 0. Now since both / and g are realvalued on D, we have E = \Jk€N E/c where E), = [x e D : g(x) — f(x) > | } . Then 0 < p(E) < J2k<=N M-EJO- Thus there exists Ao e N such that piE/^) > 0 so that ; !E^S -f)dn Z ^ ( £ * o ) > 0- Now fEko{g - f)dp = fEkQgdp - fE^ fdp by Corollary 9.15. Thus we have fE gdp > fE f dp + p/x(£'^ 0 ) > fE f dp. This is a contradiction. Thus p(E) = 0. Similarly p(F) = 0. This shows that f = g a.e. on D. Now consider the general case that / and g are two /^-integrable extended real-valued 2l-measurable functions on D. The /u-integrability of / and g implies that / and g are real-valued a.e. on D by (f) of Observation 9.2. Thus there exists a null set Do contained in D such that / and g are real-valued on D \ Do- Let two functions / and f> be defined

§9 Integration of Measurable Functions

177

by setting f = f on D\ Do and / = 0 on Do, and similarly g = g on D \ Do and g = 0 on Do. Then / and g are real-valued on D and fE f d\i = / £ / d\x = f^g d/u. = fEgdp for every E e 21 such that £ c D s o that by our result above we have / = g~ a.e. on D. Then since f = f a.e. on D and g = g a.e. on D, we have / = g a.e. on D. 2. Suppose D 6 21 is a a-finite set and / and g are fi semi-integrable on D. Suppose fE f djx = fEgd[i for every E e 21 such that E C D. The cr-finiteness of D implies according to Lemma 1.31 that there exists a disjoint sequence (A„ : n e N) in 21 such that UneN An = D and /x(A«) < co for every n e N. Since a countable union of null sets is a null set, to show that f — g a.e. on D, it suffices to show that / = g a.e. on A„ for every n G N. Now suppose the statement that / = g a.e. on An is false for some n e N. Then at least one of the two sets E = [An : f < g} and F = [An : f > g) has a positive measure. Suppose n(E) > 0. Now E is the union of three mutually disjoint 2l-measurable sets given by £ ( 1 ) = {A„ : —oo < f < g < oo}, £ ® = {A„ : - o o < / < g = oo}, £ <3) = {A„ : - o o = / < g } . If /x(£) > 0 then at least one of the three sets £ ( 1 ) , £ < 2 \ and £ ( 3 ) has a positive measure. Consider first the case /x(£ ( 1 ) ) > 0. Now Em = U m e N UieN Uem Em]k,i w h e r e

< U H A« : - ™ 2 / > / + I SS • S ^ } •
Since 0 < /x(E (1) ) < £ m e N £ t e N £*eN ^ ( E ^ ) , there exist m 0 , &o, fteN such that M ( C * o , J > °- For brevity, let E* = ^ ^ T h e n fE,[g -f)d»> ^(E*) > 0. Since -mo < f < g < to on E* and ME*) < MAn) < oo, / and g are /x-integrable on E* and then fE,{g - f}dfi = fE, gd\i- fE, f d\x by Corollary 9.15. This then implies fE, gd\i — fE, f d/x > ^/z(£*) > 0 so that fE, gdfj, > f£t f dfi which contradicts the assumption that fE fdfi = fEg d/x for every E G 21 such that £ c D. Consider next the case /x(£ ( 2 ) ) > 0. Now E(2) = \Ji€n £ f } where £ f ) = { A „ : - o o < / < £ , g = oo}. SinceO < M ( # ( 2 ) ) < £ ^ e N ^ ( f i f ' ) , there exists £0 e N such that ^ ( f f ' ) > 0. Forbrevity let us write £* = E\'. Then since g = oo on £* and ME*) > 0 we have / £ « g dfi = oo. On the other hand, fE, fdfi< toME*) < toM^n) < oo. Thus f£t f d\i ± fE, g dfi, contradicting the assumption that JE fdfi — jEg dpi for every E G 21 such that E c D. Finally consider next the case n-(E(3)) > 0. Now £ ( 3 ) = (J^eN E^? where 4 3 ) = { A „ : / = -oo, g>-m).

ThenO < M ( £ ( 3 ) ) < E m eN ^ ( ^ l so that there exists m 0 € N such that fi(E^) > 0. For brevity let us write E* = E^. Then j £ t f d\x = - o o and j E , gdfi> -moME*) > - o o since ME*) < /LI(A„) < oo. Thus fEt f djx^ J gdpt,. This is a contradiction.

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CHAPTER 2 The Lebesgue Integral

Thus we have shown that the assumption fi(E) > 0 leads to a contradiction. Similarly the assumption fi(F) > 0 leads to a contradiction. Therefore f = g a.e. on A„ for every n 6 N and hence / = g a.e. on D. • Let us observe that (b) of Proposition 9.16 is not valid without the er-finiteness of the set D e 21. As a counter example, consider a measure space (X, 21, fi) where X is an arbitrary nonempty set, 21 = {0, X), and £i(0) = 0 and /x(X) = oo. Let / = 1 on X and g = 2 on X. Then f0 f dfx = 0 = f0gdfi and fx f d/x = oo = fx g dfi so that / and g are /x semi-integrable on X. We have fE fdfj, = / £ g dfi for every £ € 21. But f(x) ^= g(x) for any x e X.

[II] Convergence Theorems
The Monotone Convergence Theorem (Theorem 8.5) for an increasing sequence of nonnegative extended real-valued functions is extended next for a monotone sequence of extended real-valued functions. Theorem 9.17. (Generalized Monotone Convergence Theorem) Let (X, 21, pS) be an arbitrary measure space. Let (/„ : n e N) be a monotone sequence of extended real-valued %L-measurable functions on a set D e 21 and let f = lim /„.
n-»-oo

(a) If (fn : n € N) is an increasing sequence and there exists a ix-integrable extended real-valued 2l-measurable function g such that fn > g on D for every n e N, then fn, n e N, and f are n semi-integrable on D and lim fD fn d/x = fD f d/x. (b) If(fn : n £ N) is a decreasing sequence and there exists a [i-integrable extended realvalued %l-measurable function g such that fn < g on Dfor every n e N, then fn, n e N, and f are fi semi-integrable on D and lim fD fn dfi = fD f d^. Proof. 1. Assume the hypothesis in (a). Since g < / „ and g is /z-integrable on D, /„ is /Lt-semi-integrable on D by Lemma 9.5. Similarly for / . By the /^-integrability of g on D, there exists a subset E of D which is a null set in (X, 21, /x) such that g is real-valued on D \ E by (f) of Observation 9.2. Then /„ — g is defined on D \ E. Now (/„ — g : n e N) is an increasing sequence of nonnegative extended real-valued 2l-measurable functions on D\E and thus by Theorem 8.5 (Monotone Convergence Theorem), we have
n

lim /
'JD\E -+°°-lD\E

[fn-g}dfl=

f
JD\E

{f-g}d,l.
E

By the //,-integrability of g, we have / D , E g d\x e R. Thus fD. in R and this implies that fD\E{fn Similarly we have fD\E[f lim /
"^COJDXE

fn d/u. — fD<E g d/i exists

— g}d/j. = fD,E fn dfi — fD^E g d/x by Corollary 9.15.

— g}d/j, = / 0 , £ f dpi — / D \ £ 8 dp-- Therefore we have f„dfi-

7*
JD\E

dfi =: /
JD\E

fd\i,-\
JD\E

gdp.

and thus lim
n->oo

JD\E

J" dp- -=

ID\Efd^

Ther I we have lim fn fn d\x

fofdfiby

Definition 9.11

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179

2. To prove (b), assume the hypothesis in (b). By Lemma 9.5, /„, n e N, and / are p semi-integrable on D. Now (—/„ : n e N) is an increasing sequence and —/„ > — g on D for every n e N. Since — g is /z-integrable, (a) implies lim fD(—fn) dp = fD(—f) dp and thus lim fD /„ dp = fD f dp. •

Remark 9.18. (a) In Theorem 9.17, if some entry in the monotone sequence (/„ : n e N), say fna for some no € N, is /x-integrable, then fm can serve as the bounding /x-integrable function g for the monotone sequence (/„ : n > no). Thus lim fD f„ dp = fD f dp. (b) Theorem 9.17 does not hold without the existence of the /x-integrable lower bounding function g for an increasing sequence (/„ : n e N) or the /x-integrable upper bounding function g for a decreasing sequence (/„ : n e N). For example, in (R, OJlL, pL), let /„ = — i on R for n e N and let / = 0 on R. Then (fn:ne N) is an increasing sequence and lim /„ = / on R. We have J R /„ dpL — — oo for every n e N while J*R / dpL = 0. Fatou's Lemma (Theorem 8.13) fora sequence of nonnegative extended real-valued measurable functions is extended to a sequence of extended real-valued measurable functions as follows. Theorem 9.19. (Generalized Fatou's Lemma) Given a measure space (X, 21, p). Let (fn : n e N) be a sequence of extended real-valued ^.-measurable functions on a set DeW. (a) If there exists a p-integrable extended real-valued ^-measurable function g such that fn>.gon D for every n e l , then fn, n e N, and liminf /„ are p semi-integrable on
n-+oo

D and (1) / liminf /„ dp < liminf / JD «-*oo n^oo JD
n->oo

fndp.

In particular if f = lim fn exists a.e. on D, then f is p semi-integrable on D and (2) / f dp. < liminf /
JD
n

f„dp.

-*°°

JD

(b) If there exists a p-integrable extended real-valued ^-measurable function g such that fn < g on D for every n € N, then fn, » e N , and lim sup fn are p semi-integrable on
n—>oo

D and (3) In particular if f = (4) / lim sup /„ dp > lim sup /
JD
n->oo

«->OO

n—>-oo JD

fndp.

lim /„ exists a.e. on D, then f is p. semi-integrable on D and / / dp > lim sup /
JD n->oc JD

f„dp.

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CHAPTER 2 The Lebesgue Integral

Proof. 1. To prove (1), assume the hypothesis in (a). Since /« > g on D for every n e N, we have liminf/„ > g on D. Then by Lemma 9.5, /„, n < N, and liminf/„ are u. =
n->oo n->oo n-*oo k>n
v

n->oo *>n '

semi-integrableon D. Now liminf /„ = lim inf fa and ( inf fa : n € N) is an increasing sequence of extended real-valued 2l-measurable functions on D satisfying inf /* > g on D for every n e N. Thus by (a) of Theorem 9.17 (Generalized Monotone Convergence Theorem), we have / lim inf fndfi
JD n-i-oo

= I

lim inf /* dfi — lim / inf fa dfx.
n->oo JD k>n

Jpn-K>°k>n

= liminf / inf fkd[i < liminf /
n->oo Ju k>n n->oo JD

fnd/j,.

This proves (1). Now if / =

lim /„ exists a.e. on D, then / = liminf/„ a.e. on D.
n—*oo n—»-oo

Then fD f dfi — fD lim inf /„ d/u, by Definition 9.11. Substituting this equality in (1), we have (2). 2. To prove (3), assume the hypothesis of (b). Since /„ < g on D for every n e N, we have lim sup /„ < g on D. Then / „ , n € N, and lim sup /„ are n semi-integrable on D by
n—>-oo n—>oo

Lemma 9.5. For the sequence (—/„ : n € N), we have —/„ > — g on D for every n e N and — g is /x-integrable on D. Applying (1) to the sequence (—/„ : n e N), we have (5) / \immf(—fn)d(i
JD n-KX>

< liminf / (—/„) rf/it = liminf ( — /
n-yoo JD n^oo \ JD

fndpA.
I

Now lim inf (—a„) = —lim sup an for an arbitrary sequence (an : n e N) in R. Thus
n->oo n—>oo

/ liminf(— fn)dii and liminf)— / fndn)

= —I

limsupf n d/x

= —limsup /

fndfj,.

Using these two equalities in (5), we obtain (3). If / =

lim /„ exists a.e. on D, then we

have / = lim sup/„ a.e. on D. Then fD f dfi = fD lim sup /„ dp, by Definition 9.11. Substituting this equality in (3), we have (4). •

The Dominated Convergence Theorem which we prove next contains the Bounded Convergence Theorem (Theorem 7.16) as a particular case. Theorem 9.20. (Lebesgue's Dominated Convergence Theorem) Given a measure space (X, 21, /x). Let{fn : n € N) be a sequence of extended real-valued %L-measurable functions on a set D e 21 such that \fn\ < g on Dforevery n e Nfor some p-integrable nonnegative

§9 Integration of Measurable Functions

181

extended real-valued Wi-measurable function g on D. If f = lim /„ exists a. e. on D, then / is \i-integrable on D and furthermore (1) and (2) lim / \fn-f\dfi
n->coJD

lim / f„dti=
»^°°JD JD

fdfj,,

= 0.

Proof. 1. Since | / „ | < g on D, we have — g < /„ < g on D for every n e N. Since g is /x-integrable on D, —g is also jii-integrable on D. Thus by Theorem 9.19 (Generalized Fatou's Lemma), / „ , n e N, and / are fi semi-integrable on D and

(3)
as well as (4)

JD

[ fdn<\immf [ f„ dfi, "-*00 JD
fndfj,.

/ / d/u, > lim sup / JD n->oo JD
n->oo «->oo

Since lim inf fD fn d\i < lim sup fD fn d/x, (3) and (4) imply lim inf / /„ d\x = lim sup / fnd\i= n ^°° JD n-yoo JD Thus lim fD fn dfx = fD f dfj, e R. This proves (1). 2. Let us show that / is not only fi semi-integrable but in fact /n-integrable on D, that is, fDfd^e R. Since - g < /„ < g on D, we have - fDgd^ < fD fn dfi < fDg d[i for every n e N. Thus fD f dfi = lim fD fn d/j, e [ fDgd/j., fDg dfi] and therefore — we have fD f d\x € K. 3. To prove (2), we apply (1) to the sequence {\f„ — f\ : n e N) as follows. Since / = lim /„ a.e. on D, there exists a null set E\ in (X, 21, n.) contained in D such that
«—>-oo

I fnd\JL. JD

/ =

lim fn on D \ Ei. Since / is /x-integrable on D, f is real-valued a.e. on D by
n—*oo

(f) of Observation 9.2 so that there exists a null set Ei in (X, 2t, /i) contained in D such that / is real-valued on D \ Ei. Let E = E\ U £2, a null set in (X, 21, fj,) contained in D. Now / is real-valued on D \ E so that /„ — / is defined on D \ E for n e N. Since —g < /n < g on D for n 6 N and since lim /„ = / on D \ E, we have — g < / < g on
n—>oo

D \ E. Then |/„ - / | < | / „ | + | / | < 2g on D \ E. Since / =
n->oo n->oo

lim /„ on D \ E, we have
n~^00

lim /„ - / = 0 on D \ E and consequently lim \fn — f\ = 0onD\E.

Thus applying

(1) to the sequence (|/„ — f\ : n e N) which is dominated by the ^-integrable function 2g and converges to 0 on D \ E, we have lim J D , E \fn- f\djx = fD.E 0 d/x = 0. Then by Definition 9.11, we have lim fn \fn — f\ d/u, = 0. •

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CHAPTER 2 The Lebesgue Integral

Theorem 9.20 still holds if the condition that |/„ | < g on D for every n e N is replaced by the condition that | / „ | < g a.e. on D for each n e N. In this case we redefine /„ to be equal to 0 on the null set on which \fn\ < g does not hold. The redefined functions /„ now satisfy | / „ | < g on D and we still have Mm /„ = / a.e. on D. Then by Theorem
^ n-^-oo

9.20, we have lim fD fn dp = fD f dp. lun^ fD /„ dp = JDf

But fD fn dp = j f\ dp = 0.

D

/„ dp.

Thus we have

dp. Similarly lirn^ fD\fn-

[Ill] Convergence Theorems under Convergence in Measure
Let (a„ : n € N) be a sequence in R. By definition, lim inf a„ is the limit of the increasing
n->oo

sequence (inf*^ at • n € N) in R, and lim sup an is the limit of the decreasing sequence
«->oo

(supi:>„ a/c : n e N) in R. It follows then that if lim inf an < c for some c € R, then an < c for infinitely many « e N, and if lim sup an > c, then an > c for infinitely many n e N.
«—>oo

Theorem 9.21. (Fatou's Lemma under Convergence in Measure) Given a measure space (X, 21, p). Let {fn : n e N) be a sequence of extended real-valued ^.-measurable functions on a set D 6 21 converging in measure to an extended real-valued HL-measurable function f which is real-valued a.e. on D. (a) If fn > g on D for every n € N for some p-integrable extended real-valued ^.-measurable function g on D, then f„, n e N, and f are all p semi-integrable on D and (1) / f dp < liminf/ fndp. JD « ^ ° ° JD (b) If f„ < g on D for every n e N /or some p-integrable extended real-valued ^{.-measurable function g on D, then fn, n G N, and f are all p semi-integrable on D and (2) / / dp > lim sup /
JD n^-oo JD

fndp.

Proof. Assume the hypothesis in (a). Since /„ > g on D, the ^-integrability of g on D implies the p semi-integrability of /„ on D, that is, fD fn dp exists in R, for every n e N by Lemma 9.5. The convergence in measure of (fn : n e N) to / on D implies the existence of a subsequence (fnk : k G N) which converges to / a.e. on D by Theorem 6.24. Then / > g a.e. on D and this implies the p semi-integrability of / on D by Lemma 9.5. Thus we have proved the existence of the integrals fD /„ dp for n e N and fD f dp. To prove the inequality (1), let an = fD fndp for n e N and a = fD f dp. To show a < liminf a„, let us assume the contrary. Then there exists c e R such that
n->oo

a > c > liminf an. This implies that a„ < c for infinitely many n e N and thus there
n->oo

exists a subsequence (an;l : k e N) such that a„k < c for every k e N. The convergence in measure of ( / „ : « € N) to / on D implies the convergence in measure of the subsequence

§9 Integration of Measurable Functions

183

(fnk : k e N) to / on D. This then implies the existence of a subsequence (fnic : I € N) which converges to / a.e. on D by Theorem 6.24. Then by (2) of Theorem 9.19, we have fD f dp < lim inf fD fnk( dp, that is, a < lim inf a„t . But a„k < c < a for every k e N and thus lim inf ank < c < a. This is a contradiction. This completes the proof of (a), (b) is proved by applying (a) to the sequence (—/„ : n e N). I Theorem 9.22. (Dominated Convergence Theorem under Convergence in Measure) Given a measure space (X, 21, p). Let (/„ : n G N) be a sequence of extended real-valued iU-measurable functions on a set D e 21 such that \fn\ < g on D for every n e N for some p-integrable extended real-valued ^i-measurable function g on D. If(fn : n € N) converges in measure to an extended real-valued ^.-measurable function f which is realvalued a.e. on D, then f is p-integrable on D andfurthermore lim fD f„ dp = fD f dp and lim fD |/„ — f\dp = 0.

Proof. The converges of the sequence (/„ : n e N) to / in measure on D implies the existence of a subsequence {f„k : n 6 N) which converges to / a.e. on D. This implies the /tt-integrability of / on D by Theorem 9.20. To show lim / fndp = fD f dp,, we _ ^ ° ° JD _ use the fact that for an arbitrary sequence (an : n e N) in R if there exists a e R such that every subsequence (ank : t e N ) has a subsequence (ank : < e N ) such that lim ank = a then lim a„ = a. Thus let a„ = fD f„ djx for n 6 N and a = JD f dp,. Let (a„t : n e N) be an arbitrary subsequence of (a„ : n e N). The convergence in measure of (/„ : n to / on D implies the convergence in measure of (fnk : k e N) to / on D and thus exists a subsequence (fnic : I e N) which converges to / a.e. on D by Theorem Then by Theorem 9.20, we have lim fn f„k dp, = fn f dp, that is, lim a„k Thus lim an = a, that is, lim fn fn dp = fnf as above. • lim fD \f„t — f\ dp = 0. Then lim JD\fn — f\dp e N) there 6.24. = a.

dp. By Theorem 9.20, we have also = 0 follows by the same argument

[IV] Approximation of the Integral by Truncation
For an extended real-valued function / and M > 0, recall the truncation fWl of / at M defined by Definition 8.15. Let us consider an approximation of / by f ^ in terms of the integral. Lemma 9.23. Given a measure space (X, 21, p.). Let f be a p,-integrable extended realvalued^i-measurable function on a set D 6 21. Then for every e > 0, there exists a constant M > 0 such that

\[ fdp\J D

I flM]dp\<
JD
I

f
JD

\f-fW\dp<e.

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CHAPTER 2 The Lebesgue Integral

Proof. For every M > 0, we have | f[M] | < | / | on D. Then the At-integrability of / on D implies that of f[M]. Thus by (c) of Corollary 9.15 and (c) of Observation 9.2, we have

\[ fdn\JD

f f[mdv\ = \[ {f-fM)dJ
JD I \JD I
w

< / |/-/M|d/i.
JD n->oo

For every n e N, we have | / - / M | < | / | + | / M | < 2 | / | . Also lim / [ n ] = / on D implies lim \f — / | = 0 on D. Applying Theorem 9.20 (Lebesgue's Dominated Convergence Theorem) to the sequence (| / — / [ n ] | : n e N) of functions dominated by the /^-integrable function 2 | / | , we have lim / \f-fM\dfi= f lim | / - /
w

| ^ = 0. •

Thus for every £ > 0, there exists M e N such that fD\f

— / ^ \dfi < s.

Recall Definition 8.17 for fg where £ is a subset of the domain of definition D of the function / . Lemma 9.24. Given a measure space (X, 21, n). Let D e 21 be a a-finite set. Let f be a (i-integrable extended real-valued "^-measurable function on D. Then for every e > 0, there exist a ^-measurable subset E of D with n(E) < oo such that

(1)

\[ fdfi\JD

f fEdfi\<
JD I

f
JD

\f-fE\dfi<e.

In particular, when (X, 21, fJ>) = (R, 9JlL, IJ,L), there exists a constant M > 0 such that
(2) / fdfj,L\JD I fDr\[-M,M]dtiL\< JD I I \f - fDn[-M,M]\diML JD <e.

Proof. For every E C D such that E € 21, we have \fE\ < l/l on D. Then the /xintegrability of / on D implies that of fE- Thus by (c) of Corollary 9.15 and (c) of Observation 9.2, we have

\[ fdfi- [ fEdn\ = \f lf-fE)dJ<
\JD JD I \JD I

f
JD

\f-fE\d/i.

Since D is a cr-finite set there exists an increasing sequence (En : n 6 N) in 21 such that lim E„ = D and /j.(En) < oo for every n € N by Lemma 1.31. For the sequence
n—>oo

(fE

'• n e N), we have lim fEn = f on D. Since / is /x-integrable on D, f is real«-»-oo

valued a.e. on D. Thus / — fEn is defined a.e. on D. Furthermore lim \f — fE„\ = 0 and | / - fEn | < | / | + \fE„ I < 2 | / | a.e. on D for every n e N. Thus by Theorem 9.20, we have lim fD\f — fEn \dy, = 0. Then for every e > 0 there exists M e N such that lim fn \f — fE„\dix < eforn > M. With £ = EM, we have the inequality in (1). When (X, 21, n) = (R, VEftL,iLL), we let En = D n [-«, n]. Then (2) follows from (1). I

§9 Integration of Measurable Functions

185

Theorem 9.25. Given a measure space (X, 21, /x). Let D e 21foea a-finite set. Let f be a H-integrable extended real-valued %-measurable on D. Then for every e > 0 there exist a constant M > 0 and a ^-measurable subset E of D with /J.(E) < oo such that

(1)

If fd^-f
\J D JD

(f[M])Edp,\ <f\fI JD

(flM])E\dn < s.

In particular, when (X, 21, /x) = (R, 9JtL, iiL), there exists a constant M > 0 such that

(2)

\fDfdpL-jD(fW)Dn[_MM]d^

<jD\f-(f[M])Dn[_M,u]\d^

<s.

Proof. The Theorem follows from Lemma 9.23 and Lemma 9.24 by the same argument as in the Proof of Theorem 8.19 for nonnegative functions. • Theorem 9.26. (Uniform Absolute Continuity of the Integral with Respect to the Measure) Given a measure space (X, 21, /x). Let f be a fi-integrable extended real-valued ^.-measurable function on a set D e 21. Then for every e > 0, there exists S > 0 such that

f fdJ < [ \f\dfi<e,
\JE

I

JE

for every 'Hi-measurable subset E of D with fi(E) < <5. Proof. The first inequality is by (c) of Observation 9.2. If / is /x-integrable on D then | / | is /x-integrable on D by (e) of Observation 9.2. Then by applying Theorem 8.20 to the /xintegrable nonnegative extended real-valued 2l-measurable function | / | on D we complete the proof. • Observation 9.27. Let (X, 21, /x) be a measure space and let / be an extended real-valued 2l-measurable function on a set D e 21. Let (En : n e N) be an increasing sequence in 2( such that lim En = (J N En = D. (a) Suppose / is \i semi-integrable on D, that is, fD fd/j, exists in R. Then we have fDfd\x = lim fE f dfx by (c) of Lemma 9.10. Thus if fD f dfi exists, then it can be computed as the limit of a sequence of extended real numbers (fE (b) Conversely suppose / is such that fE of extended real numbers (fE f d/u, : n € N) has lim fE f dfi : n e N). f d^, exists in R for every n e N and the sequence f dn e R. This does not

imply the existence of fD f d/x in R, not even if lim fE f dfx e R. See Example below. (c) Now ( J £ \f\dfi : n e N) is an increasing sequence of nonnegative extended real numbers so that lim fP | f\d\x exists in [0, oo]. In Theorem 9.28 below, we show that
n->oo J £ • "

if lim /V, l/l du < oo, then / is /x-integrable on D.

186

C H A P T E R 2 The Lebesgue Integral

Example. In (R, WlL, p,L), let D = [0, oo) and En = [0, J21=i i) f o r « e N. Then ( £ „ : n e N) is an increasing sequence in VJlL with lim £ „ = Q n € N En = D. With £ o : = 0, let Dn = En\ En-\ for « € N. Then (D„ : n e N) is a sequence of disjoint intervals with | J n e N Dn = \JneN En = D and pL(Dn) = £ for n e N. Let / be a real-valued function on D defined by setting / ( A : ) = (—1)" for JC e D„ f o r n e N. Then

/
J

fdtj-L=
-'ULl °t

fd/j-L

= J2
k=l

fdV'L = y2{
JDk ~

1

En

lim f fdpL = lim ^ ( - i ) * I = V(_i)»I
E

"

k=\

"

nsN

On the other hand we have

L
and
u

f+dpL=

Y.
neN,neven

^L{Dn)

= - + - + - + ••• = oo,

L

f-dfiL=

Y
neN.nodd

nL(Dn) = l + - + - + -

CO.

Therefore fD f dp, = fD f+ d/u, — fD f~ d\x does not exist. Theorem 9.28. Given a measure space (X, 21, //,). Let f be an extended real-valued "^-measurable function on a set D e 21. Suppose there exists an increasing sequence (E„ : n € N) in 21 with lim En = I L - w En = D such that lim fF \f\ d/j. < oo. Then / w p-integrable on D and moreover JD f dp. = lim fE f dfj,.
=

Proof. Let (En : n € N) be an increasing sequence in 21 such that lim En = UneN ^ « setting f \f\(x)
l / k W =

D. Let us define a nonnegative extended real-valued 2l-measurable function \/\E„ on D by fOTX G En,

(o

for

xeD\En.
lim \/\E. = 1/1 on D. Thus by

Then ( | / | E _ : « 6 N) is an increasing sequence and

Theorem 8.5 (Monotone Convergence Theorem), we have (1) Now we have f \f\dp= lim / \f\Endix.

(2)

[ \f\E„dvL= f
JD JE„

\f\Endp+

[
JD\E„

\f\Endn=

f
JE„

\f\d/i+

f
JD\E„

Odp.

§9 Integration of Measurable Functions Thus by (1) and (2), we have fD \f\dfi =

187

lim / \f\d^i < oo. This proves that | / | is n^oo j E n /i-integrable on D. Then / is ^,-integrable on D by (e) of Observation 9.2. Then we have fDfdfj,= lim JE f d[x by (c) of Lemma 9.10. •

Remark 9.29. Theorem 9.28 offers the possibility of calculating the Lebesgue integral of a real-valued function on a finite or infinite interval in R as an improper Riemann integral. Let / be a bounded real-valued function defined on a finite closed interval [a, b] C R. If / is Riemann integrable on [a, b] then / is \iL-integrable on [a, b] and moreover we have the equality Ja f(x)dx = f. „ / djiL. (See Theorem 7.27.) Regarding the Riemann integrability of a function, it is known that a bounded real-valued function / o n [a, b] is Riemann integrable on [a, b] if and only if the subset E of [a, b] consisting of all points of discontinuity of / has /xL(E) = 0. (See Theorem 7.28.) If a real-valued function / defined on [a, fi) where —oo < a < fi < oo is such that / is Riemann integrable on [a, c] for every c € [a, fi) and if lim f£ f(x) dx exists, then we
c->-/3

call this limit the improper Riemann integral of / on [a, fi) and write ff f{x) dx for this limit, that is, we define f£ f(x) dx = lim f£ f(x) dx. Similarly for / defined on (a, b] where —oo < a < b < oo, c e (a, b] we define

faf(x)dx=

lim

f*f(x)dx.

Let / be a real-valued function on an interval [a, jS) where —oo < a < fi < oo and suppose / is continuous a.e. on [a, fi) and bounded on [a, c] for every c e [a, fi). Then / is Riemann integrable on [a, c] and f^ f(x) dx = f. , f dfiL for every c e [a, fi). Suppose the improper Riemann integral /
a

f(x)dx

= lim fc f(x)dx
c-yfi n—>oo

exists. Then

for every increasing sequence (c„ : n e N) in [a, fi) such that the equality f£ f(x) dx = lim J, and / fdfj.L J[a,P) = lim / fdjx, n ^°°J[a,c„] = lim / n ^°°Ja f(x)dx=
c

lim c„ = fi, we have < oo, that is,

lim £ f(x)dx.

n

If lim f^\f\(x)dx

, | / | d[iL < oo, then according to Theorem 9.28, / is \JLL-integrable on [a, fi)

I Ja

f(x)dx.

Theorem 9.30. If f is a fiL-integrable extended real-valued VOlL-measurable function on R, then for every s > 0 there exists a continuous real-valued function g on R such that JR \f ~ S\ dl^L < £• Moreover g can be so chosen that it vanishes outside of a finite closed interval. Proof. Let £ > 0 be arbitrarily given. By (2) of Theorem 9.25, there exists M > 0 such that

(D

[l/-(A-«.J^<'
-M,M]\
ufA,

L

^ 4'

188

CHAPTER 2 The Lebesgue Integral

Now (/ [M1 ),_ M M] is a real-valued 971^-measurable function with | (/ tM] )r M m \ < M on R. Thus by Theorem 6.36, there exist a 9JtL-measurable subset E of R with (J.L(E) < -^ and a continuous real-valued function go on R such that

(2)

l(/M)r

-M,M]

• £0

<

16M

on R \ £,

Igol < M onl Then (3)

/ I

l(/M)[-M,M]

-go\dfiL<

I L

\(f[M\-M,M]

• 8o\d

ML

[-M,M]\E

/[-A/,M]n£

l(A-«.-il^ + (J[-M,M]C\E Igol ^Mt '
+M = -. 16M 16M 4
e s s

< _

s

16M

2M + M

Let us define a continuous real-valued function g on R which is equal to go on [—M, M] and vanishes outside of afiniteclosed interval by setting go(x) forx e [—M, M], e e' ,M + -— 0 for x e --M AM AM. linear on — M , — M\ and on M,M + —]. AMS L AM J

(4)

?W =

Then (5) f
J\-M-£i ,-M]

f
![-M,MY J[-M,MV

\g\dfiL=

[

\g\d^L+

M e e |^|rf/xL < 2 — - — = - .

Therefore we have

/|/-g|^</j/-(/[^[_M,M]|^+(|(/[M])[_M,M]-g|^
J IK v
IK

•/ IK

4

J[-M,M] \(f[M\-MM]\d^+
l

^[-M./Wf f
JI-M.MY

-M,M]

^Z + Z + f
4
£

\8\dl*L

4

yt_M,Mr
s

'

J

<- + o + - < e ,
by (1), (3), (4), and (5).

§9 Integration of Measurable Functions

189

[V] Translation and Linear Transformation of the Lebesgue Integral on M
Consider a measure space (X, 21, n). If the set X is endowed with algebraic structure then it is pertinent to consider the effect of an algebraic operation in X on an integral on X. In particular consider the Lebesgue measure space (R, VOtL, /J,L ) on R which is a linear space over the scalar field of the real number system by addition and multiplication in the real number system. For £ c K and h 6 R the translate of E by h is denned by E + h = {x + h : x e E} = {y e R : y = x + h for some x € E}. According to Theorem 3.16 (Translation Invariance of (R, 97tL, fiL)), the measure space (R,9JtL,tiL) is translation invariant, that is, for every E e ?8lL and h e R we have E + h e 9JtL and /ML(E + h) = fiL(E). Let us consider the effect of a translation on an integral on (R, VJtL,(iL). Theorem 9.31. (Translation Invariance of the Lebesgue Integral on R) Let f be an extended real-valued DJlL-measurable function on a set D € 27tL. Leth € R and let g be a function on D — h defined by g(x) = f(x + h)forx 6 D — h. Then g is '^immeasurable on D — h and moreover (1) f f(x)ixL(dx)=
JD

f
JD-h

f(x+h)ixL(dx),

in the sense that if one of the two integrals exists then so does the other and the two are equal. If f is defined and VUlL-measurable on R, then (2) I f(x)fiL(dx)=
JR

f f(x +
JU

h)nL(dx),

in the same sense as above. In particular if f is nonnegative extended real-valued 9Rimmeasurable, then (1) and (2) always hold. Proof. Let T be a translation on R by an element h e R, that is, T is a mapping of R into R defined by T(x) = x + h for x e R. T maps R one-to-one onto R and its inverse mapping is given by T~l (x) = x — h for x € R, a translation by — h 6 R. Thus for every E e mL, we have T~l(E) = E-h. Now E - h e 9JtL by Theorem 3.16. Thus T is a 9JtL/9JlL -measurable mapping of R into R. Let / be an extended real-valued 9JtL-measurable function on a set D € %JiL. To show that g = f o T is a WlL-measurable function on D — h e VJtL, it suffices according to Lemma 4.4 to show that g~l ([—oo, c]) e 9Jl L for every c e R. Now ^ ( [ - o c c ] ) = (foT)-l([-oo,c]) = ^(/-'([-oo.c])).

Since / is WlL-measurable, / _ 1 ([—oo, c]) e 93lL. Then since T is *ML/9JlL-measurable, T~x ( / " ' ([-oo, c])) e 9JtL. This shows the 97^-measurability of / o T.

190

CHAPTER 2 The Lebesgue Integral

To prove (1), recall that for every E e SDT^ and h e R, we have fxL(E - h) = fiL(E) by Theorem 3.16. Consider first the case / = 1E where E e DJlL and E <z D. Then / f(x)fJ-L(dx)= =tiL(E C\D)=tiL = / / l £ (x)/^(</x) = iJ,L((£ - h) n (D - /i)) lE(x + h)iJ.L(dx)
JD-h

{(E DD)-h)

lE-h(x)nL(dx)=

-L

JD-h

f(x + h)nL(dx),

ID-h

where the third equality is by Theorem 3.16 (Translation Invariance of (R, DJtL, fiL)) and the fifth equality is from the fact that lg-h (•) = 1E(- + ^)- This shows that (1) holds for the case f = 1E- Then by the linearity of the integrals with respect to their integrands, (1) holds when / is a nonnegative simple function on D. Indeed if / is a nonnegative simple function on D, say / = YA=\ c <l£, where £,- e DJtL, E, C D, and c,- > 0 for / = 1 , . . . , k, then by Theorem 9.14 and Lemma 9.12 we have / f(x)nL(dx)= JD
k
=

/ 'y CilEi{x) iJLL{dx) •'Di^{
k

X ] < / Ei (*)
1

C

l

ML W*)

= X ! C' /

< ( x + ^ Mi (<**) f(x+h)nL(dx).

= /

S2cilEi(x

+ h)nL(dx)=
JD-h

JD-h r^

If / is a nonnegative extended real-valued DJlL -measurable function on D, then there exists an increasing sequence (cpn : n e N) of nonnegative simple functions on D such that (pn f / on D as n —> oo by Lemma 8.6. Applying our result above to the nonnegative simple function <pn we have fD <p„ (x) \xL(dx) = fD_h <pn(x + h) fiL (dx) for every n e N. Letting n — oo and applying the Monotone Convergence Theorem (Theorem 8.5), we have > (1) for this case. If / is an extended real-valued DJtL-measurable function on D, then by decomposing f = f+ — f~ and by applying the result above for nonnegative functions to / + and / ~ we have fDf+(x)t*L(dx) fDf~(x)fiL(dx)
+

= fD_h = fD_hf-(x

f+(x+h)ixL(dx), + h)nL(dx).

If not both fD f (x) nL(dx) and fD f~(x) nL(dx) are equal to oo, then subtracting the second equality from the first equality we have (1). Since R — h = R, (2) is a particular case of (1). I For £ c l and a e R the dilation of E by the factor a is defined by setting ctE = [ax : x e E\ = [y e R : y = ax for some x e E).

§9 Integration of Measurable Functions

191

According to Theorem 3.18, if E e 9XtL then aE e 9Jt t and iiL(aE) = \a\/iL(E). Let us consider the effect of a linear mapping of R into R on an integral on (R, 2DTL, /xL) when the linear mapping is defined by T(x) = ax for x e R with a fixed real number a. Theorem 9.32. (Linear Transformation of the Lebesgue Integral in R) Let f be an extended real-valued *JJtL-measurable function on a set D e 93TL. For a € R, a ^ 0, let g be a function on ^D defined by g(x) = f(ax) for x e ^D. Then g is VUlL-measurable on -D and moreover
a

(1)

[ f(x)nL(dx)
3D

= \a\[
J±D

f(ax)nL(dx),

in the sense that the existence of one of the two integrals implies that of the other and the equality of the two. If f is defined and WlL-measurable on R, then (2) and in particular (3) f f(x) ixLidx) = f fi-x)
JR JU

f f(x) nL{dx) = \a\ [ /(ewe)

nL{dx),

nL{dx),

in the same sense as above. In particular if f is nonnegative extended real-valued and DJiL-measurable, then (1), (2) and (3) always hold. Proof. With a e l , a ^ 0 , a linear transformation T of R into R defined by T(x) = ax for x € R maps R one-to-one onto R with inverse mapping given by 7" -1 (x) = -x forx e R. Then for every E e VBlL, we have T~l{E) = ±E e %JlL by Theorem 3.18. This shows that T is a 9JtL/VJtL-measurable mapping of R into R. The fact that if / is an extended real-valued WlL -measurable function on a set D e V3lL then g = / o T is a 9JtL -measurable function on the set -D e 9JtL follows from the 93tL-measurability of / and the 97l i /9Jl L -measurability of T by the same argument as in the Proof of Theorem 9.31. To prove (1), let us recall that if £ e OTLanda e R,a / 0, then fJ-L(^E) = \a\fj.L{E) by Theorem 3.18. Now if / = 1 £ where E e 9JftL and E <z D then

f fix)^Lidx)=
JD

f U(x)iiL(dx)
JD

= iiL(EnD)
= \a\ I

=

\a\nL(kEnD])
lE(ax) fiLidx)

= |a| /
J\D

\\_Eix)ixLidx) " fi<xx)ixLidx).

J\D

= l«l / Ji-D

Starting with this particular case for / we reach the general case by the same argument as in the Proof of Theorem 9.31. I

192

CHAPTER 2 The Lebesgue Integral

Theorem 9.33. (Affine Transformation of the Lebesgue Integral in R) Let D be a VfJlL measurable subset ofR. Then for a e R, a ^ 0, and 8 e R, the set -D — &• is a DJlL-measurable subset o/R. Let f be an extended real-valued WlL-measurable function definedon D. Let g be a function on - D — &• defined by g(x) = f(ax + B)forx e -D—&-. Then g is £DT, -measurable on -D — - and moreover (1) f f(x)nL(dx) JD = \a\ [ f(ax + J-D-l: p)vL(dx),

in the sense that the existence of one of the two integrals implies that of the other and the equality of the two. If f is defined and VUlL-measurable on R, then (2) f f(x)fiL(dx)
JM. in the same sense as above. In particular

= \a\ [ f{<xx +
JR

p)iiL{dx),
extended real-valued and

if f is nonnegative

9JtL-measurable, then (1) and(2) always hold. Proof. With a e R such that a ^ 0, a mapping T\(x) = ax for x e R is a one-to-one mapping of R onto R and T\ is DJtL/WlL-measurable by Theorem 3.18. With 0 e R, a mapping 72(x) = x+fiforx e R is a one-to-one mapping of R onto Rand 72 is VOlL/VHlLmeasurable by Theorem 3.16. Let T = Ti o T\, that is, 7*0) = (7"2 o 7i)(x) = ax + fi for x e R, is a one-to-one mapping of R onto R and T is 9JlL/9JlL-measurable by Theorem 1.40 (Chain Rule). Let D € WtL. Since T is a fXftL/WtL-measurable mapping, we have T~l(D) € DJtL. But T~\D) = (72 o Tx)~\D) = T~X(T^\D)) = r , _ 1 ( D - p) = ±D - f. This shows that -D — - is a VJl, -measurable subset of R.
a a ^

Let / be an extended real-valued 97tL -measurable function on D. Let g be an extended real-valued function on ^D — & defined by setting g = foTor\^D— | . We have g(x) = ( / o T)(x) = f(ax + P) forx e ±£> - | . Let us show the 2ttL-measurability of g on j-D — £. For every c € R, we have g-l(l-oo,c]) = (/or)-'([-<»,c]) = r-1(r1([-M,c])). Now since / is St7lL-measurable, we have f~l ([—oo, c]) 6 9J?^. Then since T is £DTt /VJtLmeasurable, we have r _ 1 ( / _ 1 ( [ — o o , c])) e VJlL. Thus g is a 27tL-measurable function. To prove (1), note that / f(x)nL(dx) JD = \a\ I J^D = \a\[
a a

f(ax)iiL(dx) f(a(x + l))nL(dx)

= \a\

f(ax + P)iJ-L(dx),

where the first equality is by (1) of Theorem 9.32 and the second equality is by (1) of Theorem 9.31. This proves (1). Then since ^R - £ = R, we have (2). I

§9 Integration of Measurable Functions

193

[VI] Integration by Image Measure
Theorem 9.34. Given a measure space (X, 21, p.) and a measurable space (Y, 23). Let <> J be a 21 /'23 -measurable mapping of X into Y and let v be the image measure of p on 23 by the mapping <t>, that is, v = p o <fc_1. If f is an extended real-valued 23-measurable function on a set D € 23, then f o < is ^.-measurable on the set O - 1 (D) e 21 and t > (1) f
J<t>-'(D)

ifo<b)(x)ii(dx)=[f(y)v(dy),
JD

in the sense that the existence of one of the two integrals implies that of the other and the equality of the two. In particular, if f is nonnegative then (1) holds. Proof. Let / be an extended real-valued 23-measurable function on a set D e 23. The 2l/23-measurability of <> implies that <t>~1(D) e 21. To show the 2l-measurability of t / o $ on <S>~l(D), it suffices according to Lemma 4.4 to show that for every a e R, (fo<t>)-l([-oo,a]) € 21. Now ( / o d ) ) " 1 ([-oo, a]) = < & - 1 ( / - 1 ( [ - c o , a])). The 23measurability of / implies that / _ 1 ([—oo, a]) e 23 and then the 2l/23-measurability of * implies that $ _ 1 ( / _ 1 ([-oo, a])) e 21. To prove (1), consider first the case D = Y so that <t>~l(D) = X. Thus we are to prove (2) / ( / o <D)(x) p(dx) = f f(y) Jx JY v{dy).

To prove (2), let us start with the case / = \E with E e 23. In this case we have on the one hand fx(f o 4>)(x) p(dx) = fx lE(<i>(x))p(dx) — fx l^,~iiE){x) p{dx) = fi (<J>-1(£)) = v(E) and on the other hand fY f(y) v(dy) = Jy lE(y) v(dy) = v(E) so that (2) holds. If / is a nonnegative simple function on Y, then (2) holds by our result above and by the linearity of the integrals with respect to their integrands. If / is a nonnegative extended real-valued 23-measurable function on Y, then by Lemma 8.6 there exists an increasing sequence of nonnegative simple functions (<pn : n € N) such that (pn j - / on Y as n —*• oo. By our result above, we have fx((pn ° <J))(JC) p(dx) = fY <pn(y) v(dy) for every n e N. Letting n —>- oo, we have (2) holding for our / by Theorem 8.5 (Monotone Convergence Theorem). Finally let / be an arbitrary extended real-valued 23-measurable function on Y. Decomposing / = / + — / " and applying our result above to each of the two nonnegative extended real-valued 23-measurable functions / + and / ~ , we have (3) / ( / + o «D)(x) p(dx) = f f+(y) Jx JY Jx
JY

v(dy),

(4)

f {f- o *)(*) p(dx) = f f~(y) v(dy).

Now suppose fY f dv exists, that is, fy / + dv - fy f~ dv exists in R. Then by (3) and (4), fxf+o<&dp — fxf~o(i> dp exists in R so that fx f o <> dp exists and moreover J we have fx(f o <i>)(x) p(dx) = fY f(y) v(dy). Conversely if fx(f o 4>)(x) p(dx) exists then by (3) and (4), fy f(y) v(dy) exists and fx(f o $)(*) p(dx) = fY f(y) v(dy). This proves (2).

194

CHAPTER 2 The Lebesgue Integral

Now let / be an extended real-valued 93-measurable function on a set D e *B. Let the domain of definition of / be extended to Y by setting / = 0 on Dc. Then / is an extended real-valued SB-measurable function on Y and so is the product I D / . Thus by (2), we have

(5)

J d o / O <D)(JC) ij.(dx) = J (W)(>0 v(dy).
= fDf dv and on the left side of (5) we have

On the right side of (5) we have fY lDfdv

f ( I D / O <D) dn = f ( I D ° <*>)(/ o * ) dfi Jx Jx = / l<j>-i(D)(/o<J>)d/x = /
JX J<S>~l(D)

(fo<S>)dii.

This proves (1).

I

Problems
Prob. 9.1. Let (X, 21, /x) be a measure space and let / and g be extended real-valued 2t-measurable and /x-integrable functions on X. Show that if fE fd\x, = fE gdfi for every E 6 21 then / = g a.e. on X. Prob. 9.2. Let (X, %{, /x) be a CT-finite measure space and let / and g be extended realvalued 2t-measurable functions on X. Show that if fE fdfj, = fE gd/u, for every E e 21 then f = g a.e. on X. (Note that with the a-finiteness of (X, 2(, /x), the /x-integrability of / and g is no longer assumed.) Prob. 9.3. In Prob. 9.2, instead of the a-finiteness of the measure space (X, 21, /x) let us assume the weaker condition that for every E e 21 with xx(.E) > 0 there exists EQ € 21 such that EQ c E and IX(EQ) e (0, oo). (a) Show that if fE fd\x = fE gd/x for every E € 21 then f = g a.e. on X. (b) Find a measure space (X, 21, ix) for which the conclusion of (a) is not valid. Prob. 9.4. Let (X, 21, ix) be a measure space. Show that if there exists an extended realvalued valued 2l-measurable function / on X such that / > 0 /x-a.e. on X and / is /xintegrable on X, then (X, 21, /x) is a cr-finite measure space. (In other words, if (X, 21, /x) is not cr-finite, then there does not exist an extended real-valued 2C-measurabIe function / on X such that / > 0 /x-a.e. on X and / is ix-integrable on X.) Prob. 9.5. Given a measure space (X, 21, /x). Let / be an extended real-valued 21measurable and /x-integrable function on X. Let (En : n € N) be a sequence in 21 such that lim fi(E„) = 0. Show that lim fF fdn = 0. Prob. 9.6. Given a measure space (X, 21, /x). Let / be an extended real-valued 21measurable and /x-integrable function on X. Let En = {x e X : \f(x)\ > n} for n e N. Show that lim n.{En) = 0.

§9 Integration of Measurable Functions

195

Prob. 9.7. Given a measure space (X, 2t, p) and an extended real-valued 2l-measurable function / on X. Suppose that for some increasing sequence (A„ : n e N) in 21 with

L L N A" = x> w e

nave

1™ IAn l/l dlx < °°-

(a) Show that / is /x-integrable on X. (b) Show that for every increasing sequence (Bn : n e N) in 21 with UneN #« = X, we
have

^i™, !B„ fd^

= fxf

d

^-

Prob. 9.8. Given a measure space (X, 21, /x) and an extended real-valued 2l-measurable function / on X. The existence of an increasing sequence (An : n e N) in 21 with UneN ^« = -^ s u c n that lim fA f dp exists does not imply the existence of fx f dp even when the limit is finite. Show this by constructing an example. Prob. 9.9. Construct a real-valued continuous and /xt-integrable function / on [0, oo) for which lim f(x) does not exist.
JC-*OO

Prob. 9.10. Let / be an extended real-valued VdlL -measurable and pL integrable function on the interval [0, oo). Show that if / is uniformly continuous on [a, oo) for some a > 0 then lim fix) = 0.
JJ->-OO

Prob. 9.11. Construct extended real-valued 9JtL -measurable and pL -integrable functions (/„ : n e N) and / on a set D e 9JlL such that lim fn = f a.e. on D,
n—*-oo

}™a!DfndlJ.L=
„ ! ^ 0 /fi / "
dfX

JDfdpL,
d

but for some E C D, E e ti L , we have
L ^ fE / ^L-

Prob. 9.12. Let (X, 21, p.) be a measure space and let (f„ : « e N), / and g be extended real-valued 2l-measurable and /x-integrable functions on a set D e 21. Suppose that 1° lim fn = f a.e. on D,
2

°

n—*-oo ^ ^ D ^ d p ^ ^ d p ,

3° either /„ > g on D for all n e N or /„ < g o n f l for all n e N. Show that for every E c D such that £ e 21 we have lim f„ /„ rf/x = fP rfjtx. (Note that as a particular case of condition 3°, we have the condition that either /„ > 0 on D for all n e N or /„ < 0 on O for all n e N.) Prob. 9.13. Given a measure space (X, 21, p). Let (/„ : n e N) be an increasing sequence of extended real-valued 2l-measurable functions on a set D € 21 and let / = lim /„.
n—•oo

Suppose

1° fD\fi\dp
2

<oo,
<OQ.

°

su

PneN !D fndp

Show that lim / D /„ dp = fD f dp and / D | / | dp < oo. Prob. 9.14. Given a measure space (X, 21, /U,). Show that for an arbitrary extended real-

196

CHAPTER 2 The Lebesgue Integral

valued 2l-measurable function on / on a set D e 21, there exists a sequence of simple functions (<pn : n e N) on D such that 1° \<Pn\ < 1/1 on D for every n e N and lim cpn = / on D,
n—yoo

lim fD<p„dn = fD f d[i, provided that / is \x semi-integrable on D.

Prob. 9.15. Given a measure space (X, 21, fi). Let fn,n e N, and / be extended real-valued 2l-measurable functions on a set D e 21 such that lim /„ = / a.e. on D. Suppose there
n->oo

exists a nonnegative extended real-valued 2l-measurable function g on D such that 1° \fn I 2 g on D for every n e N, 2° fDgpdfi < oo for fixed p € [1, oo). Show that lim fn\f„ - f\P d\i = 0.
n->oo
J u

Prob. 9.16. Assume the hypothesis in Theorem 9.20 (Lebesgue Dominated Convergence Theorem). Then g + /„ > 0 and g - /„ > 0 on D for every n e N so that (g + /„ : n € N) and (g — fn : n € N) are two sequences of nonnegative extended real-valued 2t-measurable functions on D and lim {g + /„} = g + / and lim [g - /„} = g - f a.e. on D. Apply
n->oo n->oo

Fatou's Lemma for nonnegative functions (Theorem 8.13) to construct an alternate proof to Theorem 9.20. Prologue to Prob. 9.17. Prob. 9.17 is a very useful extension of Theorem 9.20 (Lebesgue Dominated Convergence Theorem). It can be proved by the same kind of argument as in Prob. 9.16. For examples of application of this extension we have Prob. 9.18, Prob. 9.19, Prob. 9.20, and Prob. 9.21 below. Prob. 9.17. (An Extension of the Dominated Convergence Theorem) Prove the following: Given a measure space (X, 2t, ^ ) . Let (/„ : n e N), (g„ : n e N), / , and g be extended real-valued 2l-measurable functions on a set D e 2(. Suppose 1° lim fn = f and lim gn = g a.e. on D,
n—>oo n—>oo

2° (gn : n e N) and g are all /x-integrable on D and lim fD gn d[i = fDg dfi, 3° \fn I < gn on D for every n € N. Then / is /x-integrable on D and lim fD /„ d\x = fD f dpi. (Hint: Apply Fatou's Lemma (Theorem 8.13) to the two sequences of nonnegative functions {gn + fn • n € N) and (g„-f„:ne N).) Prob. 9.18. Given a measure space (X, 21, /x). Let (/„ : n e N) and / be extended realvalued 2t-measurable functions on a set D e 21. Suppose 1° lim fn = f a.e. on D,
n-¥0O

2° fn, n 6 N, and / are all /x-integrable on D. (a) Show that if lirn^ JD\fn\dfi = fD \f\ dfi, then Jim^ / D /„ dfi = fDf dfi. (b) Show that the converse of (a) is false by constructing a counter example. Prob. 9.19. Given a measure space (X, 31, n). Let (/„ : n e N) and / be extended realvalued 2l-measurable functions on a set D e 21. Suppose

§9 Integration of Measurable Functions 1° lim fn — f a.e. on D,
n-+oo

197

2° ( / „ : « € N) and / are all /x-integrable on D. 3° lim fD\f„\dii = fD\f\dn. (a) Show that for every 2l-measurable subset E of D, we have lim f„ \ /„ | d/x = and lim / £ /„ d/x =
n—>-oo J
c c

fF\f\du

hfdjx.

(b) Show by constructing a counter example that if condition 3° is replaced by the condition that lim fn /„ d\i= fn f dfi, then (a) does not hold. Prob. 9.20. Let us replace condition 3° in Prob. 9.19 with 4° Jiir^ fD fn dfi = fDf dfi. 5° there exists a /x-integrable extended real-valued 2l-measurable function g on D such that fn> g (or /„ < g) on D for n G N. Show that for every 2l-measurable subset E of D, we have lim fF /« d/u. = fF f dp.. Prob. 9.21. Given a measure space (X, 21, ix). Let (/„ : n e N) and / be extended realvalued 2t-measurable functions on a set D e 21. Assume that (/„ : n e N) and / are all /x-integrable on D. (a) Show that if lim fn \fn - f\d/i = 0, then 1° (/„ : n e N) converges to / on D in measure, 2° \im)fD\fn\dv. = JD\f\dVL. (b) Show that if 3° 4° lim fn = f a.e. on D,
nlim)/D|/„|dAx

= /D|/|rf/x,

then lim fn\fnf\dp = 0. (c) Show by constructing a counter example that if / is only /x semi-integrable on D, then (b) does not hold. Prob. 9.22. (Dominated Convergence and Convergence in Measure) Given a measure space (X, 21, /x). Let(/„ : « € N) and / be extended real-valued 2l-measurable functions on a set D e 21 and assume that / is real-valued a.e. on D, According to Theorem 6.22 (Lebesgue), if ( / „ : « € N) converges to / a.e. on D and if /x(D) < oo, then ( / „ : « £ N) converges to / on D in measure. Let us remove the condition /x(D) < oo and instead assume that |/„ | < g on D for every n e N with a /x-integrable extended real-valued 2l-measurable function g on D. Show that (fn'- n € N) converges to / on D in measure. Prob. 9.23. Given a measure space (X, 21, /x). (a) Show that there exists a /x-integrable extended real-valued 2l-measurable function / on X such that p[x € X : f(x) = 0} = 0 if and only if (X, 21, /x) is a cr-finite measure space. (b) If / is a /x-integrable extended real-valued 2l-measurable function on X, then the set {x e X : /(JC) ^ 0} is a cr-finite set, that is, the union of countably many members of 21, each with a finite measure.

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CHAPTER 2 The Lebesgue Integral

Prob. 9.24. Given a measure space (X, 21, u). Let (/„ : n e N) be a sequence of extended real-valued 2l-measurable functions on a set D e 21. Show that if then 2° the series JIneN /« converges absolutely a.e. on D,
3

°

/£.(E„eN /«) d^ = E„6N / D / "

^

Prob. 9.25. With 0 < a < £>, let (/„ : n e N) be a sequence of functions defined by setting /„(*) = ae-nax - be~nbx for* e [0, 00). (a) (b) (c) (d) (e) Show that f,Q ^ /„ duL = 0 for every « e N. Compute J [0 QO) | / „ | J/xL for every n € N. Show that £ n e N J[0iOO) |/„ I duL = 00. Compute £ n e N /„. d o e s n o t exist Show that / [ a o o ) { £ „ e N /«) ^ -

Prob. 9.26. If / and g are two /i-integrable extended real-valued 2t-measurable functions on set D e 21 in a measure space (X, 21, fi), then the product fg may not be /tt-integrable, and in fact it may not even be fi semi-integrable, on D. To show this, construct the following examples. (a) Construct a ^-integrable function / such that f2 is u semi-integrable but not /JLintegrable. (b) Construct two /a-integrable functions / and g such that fg is not JJ. semi-integrable. Prob. 9.27. Let / and g be two /x-integrable extended real-valued 2l-measurable functions on set D e 21 in a measure space (X, 21, a). Show that if / is bounded on D, then fg is /x-integrable on D. Prob. 9.28. (H. Lebesgue) Given a measure space (X, 21, ^). Suppose / is an extended real-valued 2l-measurable function on a set D e 21 such that fD fgd^i exists in R for every ^-integrable extended real-valued 2l-measurable function g on D. Show that / is bounded a.e. on D, that is, there exists a constant M > 0 such that u{x e D : \f(x)\ > M) = 0. Prob. 9.29. (First Mean Value Theorem of the Lebesgue Integral) Given a measure space (X, 21, fi). Let / and g be two extended real-valued 2l-measurable functions on a set D e 2(. Suppose / is bounded on D and g is /^-integrable on D. (a) Show that fg and f\g\ are /i-integrable on D. (b) Show if m = inf x e o / ( x ) and M = sup^-go / ( x ) and fD \g\ du > 0, then there exists c e [m, M] such that fD f\g\ dn = cfD \g\ dfi. Prob. 9.30. Let / be an extended real-valued SDTL-measurable function on [0, 00) such that 1° / i s /ML-integrable on every finite subinterval of [0, 00), 2° lim fix) = c 6 R. Show that lim - (m , f da, = c.
a^.00 a J[0,a] J >~L

Prob. 9.31. Let / be a /i.t-integrable nonnegative extended real-valued £D?L -measurable

§9 Integration of Measurable Functions function on R. Show that if the function g(x) = XmeN / ( x + n)forx on R then / = 0, /xL-a.e. on R.

199 e R is /xL-integrable

Prob. 9.32. Let / be an extended real-valued 97tL -measurable function on R. For x e R andr > 01etB r (x) = {y e l : \y - x\ <r}. With r > 0 fixed, define a function g on R by setting

SW = fBr(x) / 0 0 M d 3 0

for

*

e R

-

(a) Suppose / is locally /iiL-integrable on R, that is, / is /^-integrable on every bounded 97tL-measurable set in R. Show that g is a real-valued continuous function on R. (b) Show that if / is /xL-integrable on R then g is uniformly continuous on R. Prob. 9.33. Let / be a /xL-integrable extended real-valued VCftL -measurable function on R in the measure space (R, SDTt, fiL). Show that Urn / „ | / ( x + h) - f(x)\ixL(dx)
h—yO

= 0. as / may not be continuous at any

(Note that we may not have lim f(x + h) = f(x) x €R.)

Prob. 9.34. Let / be a /nL-integrable extended real-valued 9Jt t -measurable function on R in the measure space (R, 9JtL, [iL). Show that , l i m !m\f(x
rt-*0O

+ h)-

f{x)\nL{dx)

=

2fR\f(x)\[ML(dx)

and similarly for h —* —oo. Prologue to Prob. 9.35. Given a measure space (X, 21, /x). Let / be a complex valued function on a set D e 21. Let St/ and 3 / be the real and imaginary parts of / respectively. We say that / is 2t-measurable, fi semi-integrable, or /ii-integrable on D if both 9 t / and 3 / are 2t-measurable, \i semi-integrable, or /x-integrable on D. If / is /x semi-integrable on D, that is, both 9 1 / and 3 / are n semi-integrable on D, then we define fD f djx = fDdifdn +i fDSfd/x. Prob. 9.35. Let / be a /iL-integrable extended real-valued 2JtL-measurable function on R. (a) Show that for every y € R, the complex valued function elxy f(x) for x e R is V3lLmeasurable and /xL-integrable on R. (b) The Fourier transform of / is a complex valued function / on R defined by setting

f(y) = IR e'' x V(*)M«fr)

for

ye

R

\f(x)\nL(dx).

Show that / is bounded on R and in fact sup s H |/(.y)| < / R (c) Show that / defined in (b) is continuous on R.

Prob. 9.36. (Riemann-Lebesgue Theorem) Let / and / be as in Prob. 9.35. Show that lim f(y) = 0 and lim f(y) = 0. (Hint: Show first that by the translation invariance of the Lebesgue integral in (R, 2JtL, fiL), hy) = -fMe^+*Myf(x)tML(dx) = -fueixyf(x z)fiL(dx). Then use this expression in 2 / . )

200

CHAPTER 2 The Lebesgue Integral

Prob. 9.37. Let / be an extended real-valued function on R. Let a e R, a ^ 0 and let g be an extended real-valued function on R defined by g(x) = f(ax) for x e R. (a) Show that g is VOlL -measurable on R if and only if / is. (b) Assume that / is SDtL-measurable on R. Show that fu f(«x)nL(dx) = |^| JR f{x)tiL(dx) in the sense that the existence of one side implies that of the other and the equality of the two. Prob. 9.38. (a) Given a measure space (X, 21, fi). Let / be a ^.-integrable extended realvalued 2l-measurable function on a set D e 21. Let (D„ : n e N) be a sequence of 2l-measurable subsets of D such that lim n(Dn) = 0. (Note that (Dn : n e N) is not
«->oo

assumed to be a decreasing sequence.) Show that lim fn f d[i = 0. (b) Show by constructing a counter example that the conclusion in (a) does not hold if / is only ix semi-integrable on D. Prob. 9.39. Find a real-valued continuous function f on R such that lim f"
J

a->oo J~a

J

f(x)dx

converges but / R / d\xL does not exist. Prob. 9.40. Evaluate L, > xe~x puL(dx). Prob. 9.41. Let f{x) = e~*2 for* e [0, oo). (a) Show that / is /i-integrable on [0, oo). (b) Evaluate / f 0 ^ e~nx sin nx fiL (dx). Prob. 9.42. From the improper Riemann integral - J = f^ we have - J = fR exp { — §7} Mz. idx) = 1 for t > 0. (a) Show that for t > 0 and y 6 R we have exp { — ^j}dx = 1 for t > 0,

^ r / R e x p { - i £ # } ^ ( ^ ) = 1(b) Let / be a bounded real valued VJlL -measurable function on R. Show that if / is continuous at some y € R, then

Prob. 9.43. Show that the function / for x e (0, 00) defined by

/W = lir lo g( 1 -«"*)
is Lebesgue integrable on (0, 00). Prob. 9.44. Let / be a real valued function on R defined by
/ ( * ) = ( * [ 0
f0TX€( 1)

°'

for* E R - ( 0 , 1).

Let (rn : n e N) be an arbitrary enumeration of the rational numbers in R and set for* e R S(*) = £ B 6 N 2 " " / ( * - ' » )

§9 Integration of Measurable Functions

201

(a) Show that g is Lebesgue integrable on R and thus g < oo a.e. on R. (b) Show that g is discontinuous at every x € R and unbounded on every interval and that it remains so after any redefinition on a null set. (c) Show that g2 < oo a.e. on R but g2 is not Lebesgue integrable on any interval. Prob. 9.45. Let D e VOlL and / be an extended real valued function on D x [a, b] such that / ( • , t) is a 9JtL-measurable function on D for every t e [a, b]. Suppose 1° lim f(x, t) = f(x, to) for every x € D for some to € [a, b]. 2° there exists an extended positive valued Lebesgue integrable function g on D such that I / O . 01 < g(x) for (x, t) € D x [a, b]. Show that / ( - , t) is Lebesgue integrable on D for every t € [a, b] and moreover we have

Z /D /(•*-f) M rf *) = /D /(*. ?o) nL(dx). ™
(This is the Dominated Convergence Theorem for the continuous approach t —• ?o) > Prob. 9.46. Let D e VOlL and / be a real valued function on D x [a, b] such that / ( • , t) is a 97tL-measurable function on D for every f e [a, £>] and / ( x , •) is a continuous on [a, b] for every x e D. Suppose that there exists an extended positive valued Lebesgue integrable function g on D such that | / ( x , t)\ < g(x)for(x,t) e Dx[a,b]. Show that the function F on [a, b] defined by F(t) = fD f(x, t) \xL (dx) for t e [a, b] is real valued and continuous on [a, b\. Prob. 9.47. Let an,k > 0 for n, k G N. For a, fi e R, write a A p for min{a, ft). (a) Show that j ™ , E* 6 N F ^ " . * A !) = ° if and only if lim an * = 0 for every k € N.
n->oo

(b) Show that if and only if lim an k = 0 for every t e N .
n-t-oo

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CHAPTER 2 The Lebesgue Integral

§10 Signed Measures
[I] Signed Measure Spaces
Definition 10.1. Given a measurable space (X, 21). A set function k on 21 is called a signed measure on 21 if it satisfies the following conditions: 1° k(E) € ( - o o , oo] for every E e 21 or k(E) € [-oo, oo) for every E e 21, 2° A.(0) = 0, 3° countable additivity: for every disjoint sequence (En : n e N) in 21, JZneN M-En) aw'ste m R a«rf £ n e N A^E,,) = X ( L L N £ «)/fA w a signed measure on 21, the triple (X, 21, A.) is called a signed measure space. Thus a measure /x on a measurable space (X, 21) is a signed measure satisfying the condition that p(E) € [0, oo] for every E e 21. For emphasis, a measure and a measure space will often be called a positive measure and a positive measure space respectively. Remark 10.2. If A. is a set function defined on 21 satisfying conditions 1 ° and 2° of Definition 10.1 and if (E„ : n e N) is a disjoint sequence in 21, the sum J ] n e N k(En) may not exist in R. Condition 3° requires that the sum £ n e N ^(E») exists in R and is equal to A( UneN £«)• Now if (E\,... , £V) is a finite sequence in 21, then since at most one of the two infinite values oo and —oo is assumed by A, the sum J^k=i HEk) always exist in R. If (E\,... , EN) is a disjoint finite sequence, then (E\,... , EN, 0, 0 , . . . ) is a disjoint infinite sequence and since A(0) = 0, condition 3° in Definition 10.1 implies: 4° finite additivity: for every disjoint finite sequence (E\,... , EN) in 21, Yl!k=\ M £ J O exists in I and £ f = 1 k(Ek) = k( |jf = 1 Ek). Let (X, 2t, p.) be a measure space and let / be a nonnegative extended real-valued 21measurable function on X. If we define a set function u on 2t by setting v(E) = fE f dp, for E G 21 then v is a measure on (X, 21) according to Proposition 8.12. We show next that if we remove the nonnegativity condition on / and instead assume that / is it semi-integrable on X then v as defined above is a signed measure on (X, 2t). Proposition 10.3. Let (X, 21, p,) be a measure space. Let f heap semi-integrable extended real-valued %-measurable function on X. Let us define a set function k on ^21 by setting k(E) = fE f dp for E e 21. Then k is a signed measure on 21. Proof. Note that the p semi-integrability of / on X implies the p semi-integrability of / on every E e 21 by Lemma 9.9 so that k(E) = fE f dp exists for every E e 2t. Now since f is p semi-integrable on X, at least one of fx f+ dp and fx f~ dp is finite. Suppose fx f~ dp < oo. Then for every E e 21 we have 0 < fE f~ dp < fx f~ dp < oo. Thus k(E) = fE f+ dp — fE f~ dp e (—oo, oo]. Similarly we have k(E) e [—oo, oo) for every E € 2t when fx f+ dp < oo. Thus condition 1° of Definition 10.1 is satisfied. Since A.(0) = fe f dp = 0, condition 2° is satisfied. Let (En : n e N) be a disjoint sequence in

§10 Signed Measures 21 and let E = IJneN En- Then by (b) of Lemma 9.10, we have

203

X(E) = f fdfi=

f

fdn = £ f fdp = £>(£„).
I

This shows that condition 3° is satisfied. Therefore A is a signed measure on 21. .

The converse of Proposition 10.3, that is, the possibility of representing a signed measure X on a measurable space (X, 21) as integral of an extended real-valued 2l-measurable function / on X with respect to a measure /x on (X, 21) will be proved in Proposition 10.24. Comparison of two measures fi and v on a measurable space (X, 21) leads to consideration of a set function JX — v on 21. We show next that \x — v is a signed measure on (X, 21) provided that at least one of the two measures fi and v is a finite measure so that /x — v can be denned. Proposition 10.4. Let (X, 21) be a measurable space and let /x and v be two measures on 21 at least one of which is finite. Then the set function X on 21 defined by X = JX — v is a signed measure on 21. Proof. Let us show that X satisfies conditions 1°, 2°, and 3° of Definition 10.1. Suppose v is a finite measure on 21. Then for every E e 21 we have X{E) = ii(E) — v(E) e (—oo, oo]. Secondly we have A.(0) = /z(0) — y(0) = 0. Finally if (En : n e N) is a disjoint sequence in 21 and if we let E = IJneN ^ « , then by the countable additivity of \x and v we have X(E) = n(E) - v(E) = J2ne^ ^(E") ~ E „ € N v(En). Now £ n e N v(E„) = v(£) < oo implies that

(1)

£ > ( £ „ ) - £ > ( £ " ) = J2 W £ n ) " y(£ " ) } = ! > ( £ « ) •
neN neN neN
a

neN

Indeed if we have EneN ^(-^n) < °° ls° then we have two convergent series of real numbers EneN /•*•(£«) a n d EneN v (£n) and this fact implies (1). If on the other hand we have EneN M ^ n ) = oo, then
n n n

J2 \KEn)
neN

- v(£„)} = Ya^ Y, {/*(£») - v(£„)} = ^
4=1 n n


A=l

/x(£„) - £
*=1

y(£„) j

= lim V V ( £ „ ) - lim V v(E„) = V /x(En) - Y^ y(£„)
n->oo *—' £=1 n-»00 ^—' i=l ^ ^ neN *—' neN

so that (1) holds. Then by (1), we have ^ A ( £ n ) = £ > ( £ « ) - £ v ( E „ ) = fi(E) - v(E) = X(E).
neN neN neN

This proves the countable additivity of X on 21 and completes the proof that A is a signed , measure on (X, 21) for the case that v is a finite measure on (X, 21). Similarly for the case that JX is a finite measure on (X, 21). I

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CHAPTER 2 The Lebesgue Integral

The converse of Proposition 10.4, that is, the possibility of representing a signed measure A on a measurable space (A, 21) as the difference of two measures /u, and v on (A, 21) will be proved by the Jordan decomposition theorem (Theorem 10.21) below. Unlike a positive measure space {X, 21, /u.), a signed measure space (X, 21, X) does not have the monotonicity property, that is, E, F e 21 and £ c £ do not imply X(E) < X(F). For instance, if E\, E2 e 21, E\ n £ 2 = 0, A.(£i) > 0, and A.(£2) < 0, and if we let £ = £ i U E2, then £ i C E but A.(£) = X(E\) + X(E2) < X(Ey). Example. Let us consider the measure space ([0, 2n], 9JtL n [0, 2n], fiL) where we define SDTLn[0, 2TT] := (An [0,2nr] : A e SDTJ, aa-algebraof subsets of [0, 2n]. If we define a set function X on VJlL n [0, 2JT] by setting X(E) = fE sin x nL (dx) for £ e 27lL n [0, 2;r], then A is a signed measure on ([0, 2n], DJtL D [0, 27t]) by Proposition 10.3. Now . X([0,n]) = I X([0, In]) = /
J[O,ITI]

sinx /J-L(dx) = J

sinx dx = 2, sinxdx = I,

sinx /j.L(dx) = I
JO

A([0,27r]) = / sinx (AL(dx) = I J[0,2n] Jo

sinx dx = 0.

Thus we have X([0, n]) > X([0, \n]) > X([0, 2n]), while [0, n] C [0, In] C [0, 2n]. In the absence of the monotonicity property in a signed measure space (X, 21, A), we have the following partial monotonicity property. Lemma 10.5. (a)//A(£ 2 ) e (b) 7/A(£i) = (c)IfX(Ei) = Given a signed measure space (X, 21, X). Let E\, E2 € 21 and E\ C £2R, ffcen A(£i) € R. 00, then X(E2) = 00. - 0 0 , r/teM X(E2) = - 0 0 .

Proof. 1. L e t £ 0 = E2\E\. By the finite additivity of X, we have X(E0) + X(Ei) = A(£ 2 ). If A(£ 2 ) e R,then A(£ 0 ), A.(£i) e R. 2. If A(£i) = 00, then X(E2) g R for otherwise we would have X(E\) € Rby(a). Thus X(E2) € {-co, 00}. Since X{E\) = 00 and since X cannot assume both the infinite values 00 and —00, we have ^(£2) = °°- This proves (b). Similarly for (c). I Consider a sequence of objects (A„ : n € N). Let <p be a one-to-one mapping of N onto N. Let us call the sequence (B„ : n e N) where Bn = A^,-i(n) for n e N a renumbering of the sequence (An : n € N) corresponding to <p. Let (X, 21, X) be a signed measure space. Let (£„ : n € N) be a disjoint sequence in 21 and let (Fn : n e N) be an arbitrary renumbering of the sequence (£„ : n € N). We have

§10 Signed Measures U „ e N En = UneN ^«- By t n e countable additivity of k on 21, we have (1) ^ A ( £ „ ) = A ( U £ „ ) = ^ ( | j F n ) = ^]A(F„).
neN neN neN neN

205

Suppose k( UneN ^") e ®- Then by Lemma 10.5, we have X(£„) e R and k(Fn) e R for every n € N. Let (M„ : n e N) = (A.(£„) : « G N) and 0 „ : n e N) = (A.(F„) : n G N). Then (1) tells us that the sequence of real numbers (w„ : n G N) is such that for an arbitrary renumbering (vn : n e N) of (un : n G N) we have J^neN v" = X!neN "« e ^- N o t e v e r y sequence of real numbers has this property. If (a„ : n G N) is a sequence of nonnegative real numbers and if (bn : n e N) is an arbitrary renumbering of (an : n 6 N), then for an arbitrary n\ G N there exists «2 € Nsuch that J2T=i ak < H!fcLi ^ f and similarly for an arbitrary n\ e N there exists «2 G N such <c that 2Tfc=i ** - E*Li a*- F r o m t n i s i l follows that ]T n e N a« = £ „ e N &«• For an arbitrary sequence (un : n G N) of real numbers, we have the following : Lemma 10.6. Let (un : n e N) be a sequence of real numbers. (a) For every renumbering (vn : n G N) of(un : n e N ) the series X]neN v" converges if and only if the series £neN un converges absolutely, that is, X]neN lM«l < °°( b ) / / ^ n e N | w „ | < oo, thenJ2neNu„ = £ „ e N vn for every renumbering (vn : n G N) of(un : n e N). Proof. 1. Suppose £neN l"«l < oo. Let O n : n e N) be an arbitrary renumbering of (un : n G N). Then (|t>„| : « G N) is a renumbering of the sequence of nonnegative real numbers (|w„| : n G N) so that JZneN |u n | < oo implies J2neN lu"l < °°- S m c e absolute convergence of a series implies convergence, the series J2nefi Vn converges. 2. Suppose for every renumbering (vn : n G N) of (un : n e N), the series JZneN u« converges. To show X^neN l"nl < oo, let us assume the contrary, that is, JZneN l"«l = °°Let (a, : i e N) and (£7- : 7 € N) be respectively the subsequence consisting of all the nonnegative entries and the subsequence consisting of all the negative entries in (un : n G N) andlet A = X^ieN fl' a n d 5 = X \ e N £ / - Then A + |B| = J2neN \u»\ = oo and thus at least one of A and \B\ is equal to 00. Suppose A = 00. In this case let us consider a renumbering (vn :n G N) of (un : n G N) given by a\,... ,aklybi,aki+i,... , ak2, 62, a*2+i> • • • . «t 3 .^3. • • • .

where fci, fo, £3. • • • are so chosen that the partial sum of X!neN v» from fli through cnn is greater than n for every n e N . This is possible since A = 00 and & is finite for every y j G N. Thus the sequence of the partial sums of X^eN v» ' s unbounded and hence J2neN v" does not converge. This is a contradiction. Similarly if \B\ = 00, that is, B = —00, we consider a renumbering (vn : n € N) of (un : n e N) given by fci,... , fc^.ai.fcfcj+i,... ,bk2,a2,bk2+\,... , ^3,03,... ,

where k\, ^2> ^3»• • • are so chosen that the partial sum of X!«eN v" fr°m ^1 through bk„ is less than —n for every n G N. This is possible since B = — 00 and a, is finite for every (' G N.

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CHAPTER 2 The Lebesgue Integral

Thus the sequence of the partial sums of EneN vn i s unbounded and hence E«eN v" d o e s not converge and we have a contradiction. This shows that EneN \u„\ < oo and completes the proof of (a). 3. To prove (b), suppose E„eN \un\ < oo. In this case A + | B | = EneN \u„\ < oosothat A < oo and \B\ < oo. Let us show that EneN u„ = A + B. Forn e N, let S„ = E!t=i "*> An = Y?i=i a>' a n d Bn = E " L i bj. We have lim A„ = A e [0, oo) and lim Bn = B e
1

«->oo

n-»oo

(—oo, 0]. Thus for an arbitrary £ > 0, there exists M e N such that \An — A\ < § and \Bn - B\ < | for n > M. Let N e N be so large that [a\,... , aM] U {fci,... , £M1 C ( « I , . . . , MJV}. Then forn > A', we have [u\,... ,u„} = {a\,... ,ap}U[b\,... , bq\ with some p,q > M. Thus for n > A7 we have |5„ - (A + 5 ) | = \(Ap + Bq) - (A + 5 ) | <\Ap-A\
S E

+

\Bq-B\

< - + -=£.
2 2 This shows that lim Sn = A + B and hence V „ , w un = A + 5 . Let (vn : n € N) be an arbitrary renumbering of (M„ : n e N). Let A' be the sum of the nonnegative entries and 5 ' be the sum of the negative entries in (vn : n € N). Now EneN lM" I < ° ° implies that EneN lw«l < °°- Thus by our result above, we have EneN vn = A' + B'. But A' = A and 5 ' = 5 . Thus E„eN "» = A + B = E„eN "«• T h i s proves (b). • Proposition 10.7. Let (X, 21, X) be a signed measure space. Let (E„ : n e N) be a disjoint sequence in 21. Then

A.( | J £„) 6 R < > £ ] W £ " ) l < °°S
neN neN

7n other words, the series EneN M^n) converges if and only if it converges absolutely. Proof. 1. By the countable additivity of X, we have EneN ^(£«) = A.( UneN ^«) Thus we have A.( [ J £ „ ) € R <s- ^ A ( £ » ) e R.
neN
2 e

^-

neN

-

If

EneN IM£«)I < 00. *

a t is

>

the

series EneN ^(En) converges absolutely, then it converges so that EneN M#n) e R. Thus we have X (UneN En) e ®3. Conversely suppose X (IJneN En) € R. Let (Fn : n € N) be an arbitrary renumbering of the sequence (En : n e N). Then (Fn : n e N) is a disjoint sequence in 21 with U„ e N F « = I L N £ « so that £ „ e N A(F„) = X (U„ e N Fn) = X ( U „ e N £„) e R by the countable additivity of A.. This shows that for an arbitrary renumbering (X(Fn) : n e N) of the sequence (X(E„) : n e N) the series EneN M^n) converges. Then by (a) of Lemma 10.6, we have E„eN \*-(En)\ < oo. • Example. Let (X, 21, A.) be a signed measure space and let (En : n e N) be a disjoint sequence in 21. According to Proposition 10.7, the series EneN M^n) converges if and

§10 Signed Measures

207

only if it converges absolutely. For a sequence of real numbers («„ : n 6 N) the absolute convergence of the series J2neN u" implies the convergence of the series but the converse does not hold. For instance the series 5Z„6pj(—1)"^ converges but it does not converge absolutely. This implies that there does not exist a signed measure space (X, 2(, X) such that for a disjoint sequence (En : n e N) in 21 we have X(En) = (—1)"£ for n e N. Let (X, 21, /x) be a measure space and let (En : n e N) be a monotone sequence in 21. According to Theorem 1.26, if (En : n 6 N) is an increasing sequence then we have lim [i(En) = /x( lim En) and if (En : n e N) is a decreasing sequence and /x(Fi) < oo thenwehave lim [i(En) = ^t( lim F„). We show next that similar convergence theorem holds in a signed measure space (X, 21, A.). Theorem 10.8. Ler (X, 21, X)feea signed measure space. (a)If(En : n e N) is an increasing sequence in 21, ?/ien lim X(En) = A.( lim En).
n—>-oo n—*-oo '

(b) If (En : n e N) is a decreasing sequence in 21, a«rf if X(E\) e R, /«<?« we nave lim A(F„) = X( lim F„). Proof. 1. If (E„ : n e N) is an increasing sequence in 2t, then lim En = UneN £«• Now if XiEng) = oo for some no € N, then since F„ 0 C Em C UnsN ^« f ° r e v e r Y w > «o, we have X(Em) = oo for every m > no as well as X (U«eN E") = ° ° by (b) of Lemma 10.5. Thus lim X(En) = oo = X( lim E„). Similarly if X(En„) = —oo for some no e N, we
n-»oo
x

n-*oo

'

have by means of (c) of Lemma 10.5 the equality lim X(En) = —oo = X( lim En). Now consider the case X(E„) e R for every n e N. Let Fi = £ i and Fn = En\ En-\ forn > 2. Then (Fn : n e N) is a disjoint sequence in 21 with (J ne N ^« = U« e N En- By the countable additivity of A., we have £ n e N X{F„) - X ( L U N F") = k ( L U N £ « ) - s i n c e En-\ U F„ = En and F„_i n Fn = 0 for n > 2, we have by the finite additivity of X, A(£„_i) + A.(F„) = X(En) and thus A(F„) = X(En) - X(En_i). Then we have

A

( U £ ") = A ( U F «) = A ^ + J2X(Fn) = X(El') + 12 iX(En) ~ A ( £ »-i)}
neN neN n n>2 n>2

= X ( £ i ) + lim T ] {l X ( £ t ) - A . ( £ t - i ) } = X ( £ : 1 ) + lim (A.(F„) - X(Fi)} J J
n—»-oo ^ — ' *>2 n—>oo

= lim X(En).
n—>-oo

2. Let (£„ : n e N) be a decreasing sequence in 2( with A(Fi) e R. In this case, we have X(E„) e R for every n € R by (a) of Lemma 10.5. Now lim En = HneN £« a n d

£i \ n E"=£in ( n E")C=Ei n ( u En)
«€N neN n€N

= M ( F i n £J) = M ( F i \ En) = lim (F! \ £„),
neN «€N

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CHAPTER 2 The Lebesgue Integral

since {E\ \ En : n e N) is an increasing sequence. Thus we have
X.(EI

\ P | En) = x( lim ( £ , \ En)) = lim A(£, \ En)
neN

= Mm \k(Ei) - k(En)} = k(Ei) «->oo
l

lim X(E„),
«->oo

'

where the second equality is by (a) and the third equality is by the finite additivity of X and the fact that X(E„) € R. On the other hand, by the finite additivity of X we have x £ ( 1 \ HneN En) = X(E\) - X (n„ € N £")• Therefore we have A(£j) - lim X(En) = X(Ei) - x( f) Subtracting X(Ei) e R, we have lim X(En) =x(n
neN

En).

En) = x( lim En).

I

[II] Decomposition of Signed Measures
Definition 10.9. Given a signed measure space (X, 21, A.). (a) E € 21 w called a positive set for X ifX(Eo) > 0 for every EQ € 2t SMC/J f/iar £o C £• (b) E e 21 is called a negative set for X ifX(Eo) < Ofor every EQ e "OX such that EQ C E. (c) E e 21 ii called a null set for X ifX(Eo) = Ofor every EQ e 21 swc/x f/zaf £o C fi1. (Note that the definition of a null set in a signed measure space (X, 2(, A.) is consistent with Definition 1.32 for a null set in a positive measure space (X, 21, /x).) Observation 10.10. As immediate consequences of Definition 10.9, we have the following: (a) Every 2l-measurable subset of a positive set for X is itself a positive set for X. Similarly every 2t-measurable subset of a negative set for A is itself a negative set for X, and every . 2l-measurable subset of a null set for A is itself a null set for A. , (b) A set is a null set for A if and only if it is both a positive set and a negative set for A. (c) If E\ is a positive set for A and £2 is a negative set for A, then E\ D £2 is a null set for A. (This is a consequence of (a) and (b).) Example. Consider the example of a signed measure space (X, 21, A) in Proposition 10.3 defined by X(E) = fE f d)i for E € 21 where / is a fi semi-integrable extended real-valued 2l-measurable function / on X and p, is a positive measure on (X, 21). If E e 21 and / > 0 /u,-a.e. on E, then £ is a positive set for A, and if / < 0 /x-a.e. on E, then £ is a negative set for A. If / = 0 p,-&.e. on £ , then £ is a null set for A. Consider for instance the measure space ([0, 2n], VJlL n[0, 2TT], pL) and a signed measure A on ([0, 2n], SDtL n [0, 2;r]) defined by A(£) = fE sinxpL(dx) for £ e ?fJlL n [0, 2TT]. The set [0, n] is a positive set for A and the set [TT, 2TT] is a negative set for A.

§10 Signed Measures

209

Lemma 10.11. Given a signed measure space (X, 21, X). (a) If(An : n e N) is a sequence of positive sets for X, then (J n6 N ^" is a positive set for X. (b) If(B„ : n e N) is a sequence of negative sets for X, then UneN ^" ™ a negative set for X. (c) If(En : n e N) is a sequence of null sets for X, then UneN E" ™ a nu^ set for X. Proof. Let (A„ : n e N) be a sequence of positive sets for X. To show that UneN An is a positive set for A, we show that for every E e 21 such that E C UneN ^« w e n a v e M ^ ) — 0Let A\ = A] andA^ = A n \U£=i At for n > 2. Then (A'n : n e N) is a disjoint sequence in
Stand U „ 6 N K = UneN AnT h e n £

=

£n

U n S N ^« = ^ n U „ e N K =

\Jnm(EnA'n)-

By the countable additivity of X, we have X(E) = YlneN M-E ^ ^«)- Since A^ is a 21measurable subset of a positive set A„, it is a positive set. Then its 2l-measurable subset E n A'n is a positive set and in particular A.(£ flA],) > 0 for every n e N. Thus X(Z?) > 0. This shows that UneN ^« ' s a positive set. Similarly for a sequence of negative sets and a sequence of null sets. • Let (X, 2(, A) be an arbitrary signed measure space. There exists at least one positive set for X. Indeed the empty set 0 is a null set for X and hence both a positive set and a negative set for A. If (A„ : n e N) is a sequence of positive sets for A, then UneN ^« ' s a positive set for A by Lemma 10.11. Does a greatest positive set for A exist? The collection [AY : y e T} of all positive sets for A may be an uncountable collection and Uy er AY m a v not be in 21 with A( Uyer ^ y ) undefined. So, rather than pursuing the idea of a greatest positive set let us define a maximal positive set. Definition 10.12. Let (X, 21, A) be a signed measure space. (a) Let us call a positive set A for X a maximal positive set if for every positive set A' for A the set A' \ A is a null set for X. (b) Let us call a negative set B for X a maximal negative set if for every negative set B' for X the set B' \ B is a null set for X. (We show in Corollary 10.15 below that for an arbitrary signed measure space a maximal positive set and a maximal negative set always exist.) Definition 10.13. Given a signed measure space (X, 21, A). Apair{A, B] of "Hi-measurable sets such that ACi B = 0, AU B = X, A is a positive set and B is a negative set for X is called a Hahn decomposition of(X, 21, A). Theorem 10.14. (Hahn Decomposition of Signed Measure Spaces) For an arbitrary signed measure space (X, 2(, A), a Hahn decomposition exists and is unique up to null sets ofX, that is, there exist a positive set A and a negative set BforX such that A D B = 0 and A U B — X, and moreover if A' and B' are another such pair, then AAA' and BAB' are null sets for X. Proof. 1. Since A is a signed measure on (X, 21), we have either X(E) e [—oo, oo) for every E e 21, or X(E) e ( - c o , oo] for every E e 21. Let us consider the former case. In this case, if E e 21 and A(£) ^ - o o then X(E) e R. For every C e 21 there exists C e 21 such that C <Z C and A(C') > A(C). (The choice C" := C will do.) Let us show that if C e 21 and X(C) e R then for every £ > 0

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CHAPTER 2 The Lebesgue Integral

there exists C e 21 such that C c C with X(C') > X(C) and moreover X(E) > -E for every E e 21 such that E <Z C. Suppose for some e > 0 no such subset C of C exists. Then there exists E\ € 21 such that Ei C C and A(Ei) < - e . By the finite additivity of X we have A.(£i) + X(C \ Ei) = X(C). Since A(C) e R and since £ ] and C \ Ei are 2t-measurable subsets of C, we have A.(£i), A(C \ E\) € R by Lemma 10.5. Thus X(C \ Ex) = X(C) - X(Ei) > X(C) since -X(Ei) > e > 0. Now since C \ E\ e 21, C \ Ei c C and X(C \ E\) > X(C), by the assumed non existence of the set C there exists £2 e 2t such that E2 C C \ E\ and ^(£2) < —£• Thus continuing, we have a disjoint sequence (En : n e N) of 2l-measurable subsets of C with A.(£„) < —e for every n e N. LetE = UneN^n- By the countable additivity of A, wehaveA.(£) = l]„gN^(En) = —00. But the fact that E c C and X(C) e R implies that A(E) e R by Lemma 10.5. This is a contradiction. This proves the existence of a 2t-measurable subset C of C such that A(C') > X(C) and A.(E) > —e for every 2l-measurable subset E of C. 2. Let us show that if C e 21 and A(C) € R, then there exists a positive set A C C with X(A) > X(C). Let us define inductively a decreasing sequence (C„ : n 6 N) in 21 with X(Cn) e R for n 6 N as follows. Let C\ = C. Suppose we have selected C\,... , C„_i. By our result in 1 there exists C„ C C„_i such that Cn e 21 with A(Cn) > A(C„-i) and X(E) > — £ for every 2l-measurable subset E of C„. With the decreasing sequence of sets (C„ : n e N) in 21 thus selected, let A = HneN C«- Since (C„ : n e N) is a decreasing sequence and since X(C\) = X(C) e R, we have X(A) = lim X{Cn) by (b) of
«->00

Theorem 10.8. Since (X(Cn) : n e N) is an increasing sequence of real numbers and since X(Ci) = X(C), we have lim X{Cn) > X(C). Therefore X(A) > X(C). To show that A is
n—>oo

a positive set, let E be an arbitrary 2t-measurable subset of A. Then E C A = HneN ^n so that E C Cn for every w e N. This implies that X(E) > — £ for every n e N and thus A.(E) > 0. This shows that A is a positive set. 3. Let a = sup [X(E) : E e 21}. Since X(0) = 0, we have a € [0, 00]. Then we can select (C„ : « e N) in 2( such that X(Cn) € R for every n e N and A(C„) t «• Then by our result in 2, for every n e N there exists a positive set A„ for X such that A„ c Cn and MA„) > A.(C„). Let A = (JneN ^« e ^l- By the definition of a we have X(A) < a. Let us show that actually X(A) = a. Let Fn = U£ = i A* for n e N. Then E„ is a positive set for X by (a) of Lemma 10.11. Now (E„ : w e N) is an increasing sequence in 21 with L L N F" = L L N A « = A s o t h a t ^( A ) = k( l i m F n) = l i m A ( F ") b y ( a ) of Theorem 10.8. On the other hand E„ = (F„ \ An) U A„ and the finite additivity of X on 21 implies X(Fn) = >.(E„ \ A„) + X(An). Since E„ \ A„ is a 2l-measurable subset of the positive set Fn for X, Fn \ A„ is a positive set for X by (a) of Observation 10.10. Thus X(Fn \ A„) > 0. This implies X(Fn) > X(An). Thus we have X(A) = lim X(Fn) > limsupX(A„) > limsupA(C„) = lim X(Cn) = a.
n->oo n^oo n^oo n^oo

Therefore we have X(A) = a. (Since X(E) e [—00, 00) for every E e 21, we have a = X(A) < 00.) Now let B = Ac. We have A n B = 0 and A U S = X. To show that {A, 5) is a Hahn decomposition for {X, 21, X), it remains to show that B is a negative set for A. Let E € 21 and E C 5 . If X(E) > 0, then by the finite additivity of X on 21 we have

§10 Signed Measures

211

X(A U E) = X(A) + X(E) > X(A) = a, contradicting the definition of a. Thus X(E) < 0. This shows that 5 is a negative set for X. Thus we have proved the existence of a Hahn decomposition for a signed measure space (X, 21, X) in which X(E) e [-oo, oo) for every E€2l. 4. Consider a signed measure space (X, 21, X) in which X(E) e ( - c o , oo] for every E e 21. Then -X is a signed measure on (X, 21) such that -X(E) e [-oo, oo) for every E € 21. Thus by our result above there exists a Hahn decomposition {A, B) for the signed measure space (X, 21, —X). Then {B, A} is a Hahn decomposition for (X, 21, X). 5. Let us prove the uniqueness of a Hahn decomposition. Suppose {A, B} and {A', B'} are two Hahn decompositions of a signed measure space (X, 21, X). Since A is a positive set for X, its 2l-measurable subset A \ A' is a positive set for X by (a) of Observation 10.10. On the other hand A \ A' = A D (A') c = A D B' which is a 2t-measurable subset of a negative set B' for X and hence a negative set for X by (a) of Observation 10.10. Thus A \ A' is both a positive set and a negative set for X and hence a null set for X by (b) of Observation 10.10. Similarly A' \ A is a null set for A.. Then AAA' = (A \ A') U (A' \ A) is a null set for A. by Lemma 10.11. Similarly BAB is a null set for X. I Corollary 10.15. In an arbitrary signed measure space (X, 21, A.), a maximal positive set and a maximal negative set for X always exist. Indeed if {A, B) is a Hahn decomposition for (X, 21, A.), then A is a maximal positive set and B is a maximal negative set for X. Proof. Let {A, B) be a Hahn decomposition for (X, 21, A). Let A' be an arbitrary positive set for A.. Then A' \ A, being a 2l-measurable subset of a positive set A', is a positive set for X by (a) of Observation 10.10. On the other hand, A' \ A = A' n Ac = A' n B being a 2l-measurable subset of a negative set B is a negative set for X by (a) of Observation 10.10. Thus A' \ A is both a positive set and a negative set for A and is therefore a null set for A by (b) of Observation 10.10. This shows that A is a maximal positive set for X. Similarly B is a maximal negative set for A,. • Definition 10.16. Two signed measures X\ and X2 on a measurable space (X, 21) are said to be mutually singular and we write X\ _L A2 if there exist two 'Si-measurable sets C\ and Ci such that C\ n C2 = 0, C\ U C2 = X, C\ is a null set for X2 and C2 is a null set for X\. Definition 10.17. Given a signed measure space (X, 21, A.). If there exist two positive measures p, and v, at least one of which is finite, on the measurable space (X, 21) such that / i l v and X = p — v, then {/x, v} is called a Jordan decomposition ofX. (Note that the requirement that at least one of the two positive measures p and v is finite is to ensure that p — v is defined.) A Hahn decomposition and a Jordan decomposition of a signed measure space are related. The existence of one implies that of the other as the next proposition shows. Proposition 10.18. Let (X, 21, A) be a signed measure space. (a) If {A, B) is a Hahn decomposition of(X, 21, A) and if we define two set functions \x and

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CHAPTER 2 The Lebesgue Integral

v on 21 by p(E) = X(E n A) andv(E) = -X(E n B)/or E e 21, fnen {/x, v} is a Jordan decomposition for X. (b)If{p,v} is a Jordan decomposition ofX and C\ and C2 are two ^.-measurable subsets ofX such that C\ D C2 = 0, C\ U C2 = X, Ci is a nwZ/ sef/or v and C2 is a null set for p, then [C\, C2} is a Hahn decomposition of (X, 21, X). Proof. 1. Let us prove (a). Every 2l-measurable subset of the positive set A for A is a . positive set for X and every 2l-measurable subset of the negative set B for X is a negative set for A by Observation 10.10. From this it follows that p and v are positive measures , on (X, 21). Since X cannot assume both 00 and —00, we have either X(A) e [0, 00) or X(B) 6 (—00, 0]. Thus at least one of p and v is a finite positive measure. Also by the finite additivity of X, we have X(E) = X(E D A) + X(E n B) = p(E) - v(E) for every E e 21 so that X = p — v. To show that p. ± v, we show that A is a null set for v and B is a null set for p. Now v(A) = -X(A D B) = -A(0) = 0 so that A is a null set for the positive measure v. Similarly p(B) = X(B f l A) = A(0) = 0 so that 5 is a null set for the positive ~ measure p. This shows that p Lv. Therefore {p, v] is a Jordan decomposition for A. 2. Let us prove (b). We show that C\ is a positive set for X and C2 is a negative set for X. Now since {p, v] is a Jordan decomposition for (X, 21, X), we have A(£) = p(E) — v(E) for every E e 21. To show that C\ is a positive set for X, let £ € 21 and E C C\. Since Ci is a null set for the positive measure v, its subset £ is a null set for v. Thus v(E) — 0 and consequently X(E) — p(E) > 0. This shows that C\ is a positive set for X. To show that C2 is a negative set for X, let £ e 21 and £ c C2. Since C2 is a null set for the positive measure p, its subset £ is a null set for p. Thus p(E) = 0 and consequently X(E) = —v(E) < 0. This shows that C2 is a negative set for X. I Observation 10.19. Given a signed measure space (X, 21, A.). Let C, C e 21 be such that CAC is a null set for X. Then for every E e 21, we have X(E n C ) = A(£ n C ) . Proof. Since C = ( C f l C ' ) U ( C \ C ) , we have E n C = {E n (C n C")} U {E n (C \ C')) and thus A(£ n C) = A(# n (C n C')) + A(£ n (C \ C')). Since C A C is a null set for A, its subset C \ C is a null set for A and then so is its subset E n (C \ C). Thus X(E n (C \ C')) = 0 and hence X(E n C) = A.(£' fl(Cfl C')). Interchanging the roles of C and C , we have X(E n C ) = A.(£ n ( C n C)). Thus we have X(E n C) = A(E n C ) . I Lemma 10.20. Let (X, 21, A) be a signed measure space. Let {A, B) and {A', B'} be two Hahn decompositions of<X, 21, A). TTienA^nA) = A ( £ n A ' ) f l n d A ( £ n B ) =A.(£nfi') for every E € 21. Proof. By the uniqueness of the Hahn decomposition (Theorem 10.14), AAA' and BAB' are null sets for A.. Then the Lemma follows from Observation 10.19. • Theorem 10.21. (Jordan Decomposition of Signed Measures) Given a signed measure space (X, 21, A). A Jordan decomposition for (X, 21, A) exists and is unique, that is, there exists a unique pair {p, v} of positive measures on (X, 21), at least one of which is finite, such that p -L v and X = p — v. Moreover with an arbitrary Hahn decomposition {A, B]

§10 Signed Measures of(X, 21, A), if we define two set functions p and v on$lby setting

213

p(E) = A(£ n A) and v(E) = - A ( £ n B) for £ e 21, f/ien {p, v} w a Jordan decomposition for (X, 21, A.). Proof. 1. By Theorem 10.14, a Hahn decomposition {A, 5} of (X, 21, A) exists. According to (a) of Proposition 10.18, if we define two set functions p and v on 21 by p{E) = A(£ n A) and v(£) = —A(£ n B) for £ e 2C, then {//,, v} is a Jordan decomposition for A.. Therefore a Jordan decomposition for (X, 21, X) exists. 2. To prove the uniqueness of the Jordan decomposition, let {/x, v} be the Jordan decomposition for (X, 21, X) defined in 1 and let [p!, v'} be a Jordan decomposition for (X, 21, X). Then there exist A', B' e 21 such that A' n 5 ' = 0, A ' U B ' = X, A' is a null set for u' and B' is a null set for p.'. By (b) of Proposition 10.18, {A', S'j is a Hahn decomposition for (X, 21, A). Then by Lemma 10.20, we have A(£HA) = A(£DA') andA(£TlB) = A(£nB') for every E e 21. Then for an arbitrary E e 21, we have p(E) = X(E DA) = A(£ n A') = / / ( £ n A') - v'(£ n A') since A = pj - v' = p'(E n A') since A' and £ n A' are null sets for v' = / / ( £ n A') + p'(E n S') since B' and £ n S' are null sets for p! = p'(E) by the finite additivity of p!. Thus p — p! on 21. Similarly u = v' on 21. This proves the uniqueness of the Jordan decomposition as well as the expressions (1) for p and v. I Definition 10.22. Given a signed measure space (X, 21, A). Let p and v be the unique positive measures on 2C, at least one of which is finite, such that p _l_ v and X = p — v. Let us call p and v the positive and negative parts ofX and write X+ for p and X~ for v. The total variation of X is a positive measure \X\ on 21 defined by (1) |A|(£) = A+(£)+A~(£) /or£e2t.

The positive and negative parts, A+ and X~, are also called the positive and negative variations ofX. For every E e 21, we have (2) | A | ( £ ) = A + ( £ ) + A - ( £ ) > |A+(£) - A"(£)| = |A(£)|.

The next proposition explains the terminology 'total variation' for | A |. Proposition 10.23. Given a signed measure space (X, 21, A). For E e 21, let aE = sup j £2=1 W £ * ) l : {£i, . - . , £ „ } C 2t, disjoint, ( J L i Ek = E,n 6 N | . Then | A | ( £ ) = ag.

214

CHAPTER 2 The Lebesgue Integral , En] in 21 such that

Proof. Let E € 21. Then for any finite disjoint collection {E\,... U/Ui E/c = E, we have
n n n

J2 \HEk)\ = J2 \^ ( k) - ^-(Ek)\ < J2 {\X+(£k)\ + \^(Ek)\}
k=\ k=\ n k=\ k=\ n k=\

+ E

= J2 {^+(Ek) + k~(Ek)} = £ | X\(Ek) = | A|(£).
Thus we have CUE < | A\(E). To prove the reverse inequality, let {A, B] be an arbitrary Hahn decomposition of (X, 21, k). Let Ei = E n A and E2 = E n B. Then {£i, £ 2 } is a disjoint collection in 21 such that E\ U £2 = E so that by the definition of a g we have as > |A-(£i)l + |A.(£2)I = |A(£ fl A)I + \k(E n S ) | . If we define fi(E) = k(E n A) and v(E) = - X ( £ n B) for £ 6 21, then [fi, v} is a Jordan decomposition for (X, 21, A.) by (a) of Proposition 10.18. By the uniqueness of the Jordan decomposition (Theorem 10.21), we have k+(E) = k(E n A) and k~(E) = -k(E n B). Now since A is a positive set for A, its subset E n A is a positive set for A by (a) of Observation 10.10 so that |A(£ n A)| = k(E D A) = A + (£). Similarly since B is a negative set for A so is its subset E H S s o that k(E n B) < 0. Then |A(£ n B)| = - A ( £ n B) = k~(E). Thus we have OLE > k+(E) + k~(E) =\ A\(E). Therefore we have | A | ( £ ) = ag. I The next proposition is the converse of Proposition 10.3. It shows that an arbitrary signed measure can be represented as an integral. Proposition 10.24. Let (X, 21, A) be a signed measure space. Let {A, B] be a Hahn decomposition of(X, 21, k) and let \k\ be the total variation ofk. Then we have A(£)= [ [lA-lB}d\k\
JE

for E e 2 l .

Proof. Let {A, B} be a Hahn decomposition of (X, 21, A). By Theorem 10.21, the positive variation A+ and the negative variation A~ of the signed measure A are given by (1) k+(F) = k(A(lF) and k~(F) = -k(B n F) forFe2l.

Then for every E € 21, we have f [U-lB}d\k\=
JE

f UnEd\k\JX

f lBnEd\k\
JX

=\ k\(AH E) -\ k\(B n E) k+(B HE)k~(B D E)

= k+(A 0 E) + A" (A HE)-

= k(A n E) - k(B n A n E) - k(A n B n E) + k(B n E) = k(A n E) + k(B HE) = k(E),

§10 Signed Measures

215

where the third equality is by |A.| = X+ + X , the fourth equality is by (1), the fifth equality is by A n B = 0, and the sixth equality is by A U B = X. • The next proposition relates the positive variation, the negative variation, and the total variation of a signed measure obtained by integrating a function to the positive part, the negative part, and the absolute value of the function. Proposition 10.25. Let f be a p semi-integrable extended real-valued ^.-measurable function on a measure space (X, 21, p). Let us define a signed measure X and three positive measures p\, p2, and p->, on 21 by setting

X(E)= f
JE

fdp,

m(E) = J f+dp,
M2(£) = / f~ dp,

H3(.E) = J

\f\dp,

for E e 21. Then p\, p2, and p$ are respectively the positive variation, the negative variation, and the total variation ofX. Proof. Note that X(E) = fE f dp = fE f+ dp — fE f~ dp = p\{E) — p2(E) for every E G 21 so that X = pi- p2. If we let A = {X : f > 0} and B = {X : f < 0}, then A, B e 2t, A n B = 0, A U B = X, p\(B) = 0, and p2(A) = 0 so that p\ J_ p2. This shows that {p\, p2\ is a Jordan decomposition of X and p\ and p2 are the positive variation and the negative variation of X. Then for every E e 2t, we have M ( E ) = f \f\dp=
JE

f f+dp+
JE

f f~ dp = pi(E) + p2(E) = |
JE

X\(E).

This shows that pz is the total variation of X.

I

Observation 10.26. Given a signed measure space (X, 21, X). (a) A set E 6 21 is a null set for X if and only if £ is a null set for | X \. (b) If a set E e %i is a null set for X, then E is a null set for both X+ and X". Proof. 1. Let us prove (a). According to Theorem 10.21, with an arbitrary Hahn decomposition {A, B] of (X, 21, X), the positive and negative parts of X, X+ and X~, are given by (1) Then we have (2) \X\(E) = X+(E)+X-(E) = X(EnA)-X(EnB) for E e 21. X+(E) = X(EnA) and X~(E) =-X(E n B) for E e 21.

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CHAPTER 2 The Lebesgue Integral

If E is a null set for X, then so are its subsets E HA and E n B by (a) of Observation 10.10 so that | X | (E) = 0 by (2) and this shows that £ is a null set for the positive measure |X \. Conversely if £ is a null set for | X \, then for every 2l-measurable subset EQ of E we have \X(E0) | < | X | (E0) = 0 so that X(E0) = 0. This shows that £ is a null set for X. 2. Suppose a set E € 21 is a null set for X. Then £ is a null set for | X | by (a) so that |A.|(£) = 0. Now since X+, X~, and | X | are all positive measures and | A | = X+ + X~, \X j (£) = 0 implies both X+(E) = 0 and X~(E) = 0. This shows that £ is a null set for both X+ and X". I Proposition 10.27. Let Xi and X2 be two signed measures on a measurable space (X, 21). Then we have ( a H i ±X2&\ M | - L X 2 ^ X i J_l X2I 0\Xi\ ±X2o\ Xi\ _L| X2\, (b) |Ai I J. X2 & A+ J. A.2 and XJ _L A.2. Proof. 1. The equivalence X\ _l_ X2 <s>| X] | _L X2 is an immediate consequence of the fact that a 2l-measurable set £ is a null set of X\ if and only if £ is a null set for \Xi\. Similarly for X\ _L X2 -Q- X\ ±\ X2\. Applying this to the pair |A. 11 and X2, we have | M | J.A.2 0-1 A . i | ± | X2\. 2. Suppose |A.i I 1 X2. Then there exist C\, C2 e 21 such that C\ n C2 = 0, Ci U C2 = X, C\ is a null set for X2, and C2 is a null set for |A.i |. This implies that C2 is a null set for both A.+ and AJ\ This shows that X^ _L A2 and X~[ _L A,2. Conversely suppose X~l _L A2 and X~[ ± X2. Then there exist Cj*" ,C2 e 21 such that C/"nC 2 + = 0, Cj1" U Cj" = X, C+ is a null set for A.2 and C^ is a null set for X\, and there exist C^ ,C2 e 21 such that Cj~ n C^ = 0, Cf U Cj" = X, Cf is a null set for X2 and C^ is a null set for Aj~. Consider C^ l~l C J . Since ^ ( C ^ ) = 0 and Xj" is a positive measure, we have X^C^ n Cj - ) = 0 . Similarly we have ^ ( C j - n C^) = 0. Therefore we have lA-iKC^TlCf) = A.+ ( C ^ n C j ) + A.]"(C2hnC2~) = 0. This shows that Cf n C ^ isanull set for the positive measure |M |- Consider the set

x \ (c+ n c2") = (c+ n c2")c = (c+) c u (c2")e = c+ u Cf.
Since Cj1" and Cf are null sets for A 2, so is Cf1" U Cf. Therefore we have shown that C^ n Cj~ . is a null set for the positive measure | A 11 and its complement X \ (Cj" O Cj") is a null set . forA2. Thus IAi| _L A.2. • Theorem 10.28. (a) Let X be a signed measure on a measurable space (X, 21). Then for every c e R, cX is a signed measure on (X, 21) and moreover we have \cX\ = \c\ | X \. (b) Let X\ and X2 be signed measures on a measurable space (X, 21). Suppose Xi + X2 is defined on (X, 21). (This is the case ifX\ (£), X2(E) e (—00, 00] for every E € 21, or Xi (£), X2(E) € [—00, 00) for every E e 21.) Then X\ + X2 is a signed measure on (X, 21) and moreover we have \X\ + X2 | < | X\\ + \ X2\. Proof. 1. It is easily verified that cX and X\ + X2 satisfy conditions 1°, 2°, and 3° in Definition 10.1. Thus cX and X\ + X2 are signed measures on (X, 21).

§10 Signed Measures 2. For every signed measure A on (X, 21), we have by Proposition 10.23
n n

217

(1)

|A|(E) = sup ( ^ | A ( £ * ) | : { £ i , . . . ' £ » ) c 2 t ' disjoint, | J ^ = £ , n e N j .

It follows from (1) that |cA.| = |c||A,| foreveryc e R. 3. Let A.] and A.2 be signed measures on (X, 21) such that k\ + Xi is defined on (X, 21). Then by (1) we have (2) \Xl+X2\(E)
n n

= sup \Yl\X\(Ek)+X2(Ek)\
n n

: {EU...

, £„} C 21, disjoint, ( J E* = £ , n e N }
n

• sup j £

|Xi(£ t )| + 5 2 1^2(^)1 : { £ ] , . . . , £ „ } C 21, disjoint, ( J £* = £, n e N ) .
k=\ k=\

*=1

Since £ 2 = i |Ai(£*)| < | Ai | a n d ^ L i l*2(£*)l < l A 2 |,wehave (3) IA.1 + A.2I < | M | + | A 2 | . •

[III] Integration on a Signed Measure Space
Definition 10.29. Let (X, 21, A.)feea signed measure space. (a) We say f/ia? (X, 21, A) is a complete signed measure space if every subset of a null set f for X is ^Si-measurable. (b) We say that (X, 21, X) is a finite signed measure space ifX(X) e R. (c) We say that (X, 21, X) is a a-finite signed measure space if there exists a sequence (En : n e N) in 21 such that UneN En = X and X(En) € Rfor every n e N. Regarding (b), note that if X(X) e R, then A.(£) € R for every E e 21 by Lemma 10.5. Thus A is a finite signed measure if and only if X(E) e R for every E € 21, or equivalently, . if and only if \X(E) | < 00 for every E e 21. Regarding (c), note that if we let Fi = E\ and F„ = En \ U*=i E* f° r « > 2, then (F„ : n e N) is a disjoint sequence in 21, U«eN F" = U«eN ^ " = ^> a n d since F„ is a subset of £„ we have X(Fn) e R by Lemma 10.5 for every n e N. If we let G„ = U!t=i ^it f ° r ™ s N , then (G„ : n € N) is an increasing sequence in 21 with U „ € N Gn = U„eN Fn = X and X(Gn) = E L i Wk) 6 R for every n e N. Observation 10.30. Given a signed measure space (X, 21, X). (a) (X, 21, A.) is a complete signed measure space if and only if (X, 21, | X\) is complete. (b) (X, 21, A.) is a finite signed measure space if and only if (X, 21, | X |) is finite. (c) (X, 21, A) is a er -finite signed measure space if and only if (X, 21, | A |) is a -finite. (d) If p. and v are two ff-finite measures on (X, 21), one of which is finite, then the signed measure A. = \i — v is a -finite.

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CHAPTER 2 The Lebesgue Integral

Proof, (a), (b), and (c) are immediate consequences of Definition 10.29. Let us prove (d). Now if p and v are two cr-finite measures on (X, 21), then there exist two increasing sequences (E„ : n e N) and (Fn : n e N) in 21 such that lim En = I J„ cM E„ = X, p(E„) < oo for every n G N, lim F„ = UneN F" — X'
an

^ v(Fn)

< oo for every n G N. If we let G„ = E„n Fn for n e N , then (G„ : n G N) is an increasing sequence in 21. Let us show that lim G„ = X. Let x G X. Then x € En. for some «i G N and x G F„,
n-*oo
z

for some «2 G N. Let no = max{ni,«2}- Then x e Eno and* e F„0 so that x e G„ 0 . This shows that every x G X is in G„ for some n G N. Thus X c U«eN G « a n c l therefore lim^ G„ = U„6N G « = x- N o w M(G„) < fi(En) < oo and v(G„) < v(F„) < oo. Then A.(G„) = fi(Gn) — v(G n ) G R for every w G N. This shows that X is a cr-finite signed measure on (X, 21). I If/x and v are two positive measures on a measurable space (X, 21), then the set function ix + v on 21 is a positive measure on 21. Let / be an extended real-valued 2l-measurable function on X. If all the three integrals fx f d[i, fx f dv, and fx f d(fj. + v) exist and the sum fx f d^ + fx f dv also exist, does the equality fx f dfi + fx f dv = fx f d(n + v)l Of particular interest is a signed measure space (X, 21, X) for which we have | X | = X++X~. Does the equality fx f dX+ + fx f dX~ = fx f d\X\ hold? Proposition 10.31. Let \x, v, and [i + v be three positive measures on a measurable space (X, 21). Let f be extended real-valued Wi-measurable function on X. Then we have

f fdp+
J X

f fdv=
J X

f fd(fi + v),
J X

in the sense that the existence of one side implies that of the other and the equality of the two. Proof. It is easily verified that the equality holds if / = 1 £ where E G 21. By the linearity of the integrals, it follows that the equality holds when / is a nonnegative simple function. If / is a nonnegative extended real-valued 2l-measurable function on X, then there exists an increasing sequence (<pn '• n G N) of nonnegative simple function such that cpn \ f on X according to Lemma 8.6. Applying the Monotone Convergence Theorem (Theorem 8.5), we have the equality for our / . If / is an extended real-valued function, then / = / + — / " and we apply the result above for nonnegative functions to / + and / ~ . I Definition 10.32. Given a signed measure space (X, 21, X). Let X+ and X~ be the positive and negative parts ofX. Let f be an extended real-valued ^-measurable function on X. We define

f fdX=
J X

f fdX+J X

f fdX~,
J X

if the two integrals fx f dX+ and fx f dX~ and their difference fx f dX+ — fx f dX~ all exists in R. Iffx f dX exists in R, we say that f is X semi-integrable on X. Iffx f dX exists in R, we say that f is X-integrable on X.

§10 Signed Measures

219

Proposition 10.33. Given a signed measure space (X, 21, X). Let f be an extended realvalued ^-measurable function on X. If f is X semi-integrable on X, then we have

I f fdk\< 1
Jx ' Proof. By Definition 10.32 we have

Jx

f

\f\d\k\.

I / fdk\ = I [ fdX+ - [ fdX~\ < I f fdX+\ + \[
'Jx ' 'Jx Jx ' 'Jx ' 'Jx

fdk-\
'

< f \f\dX++ ( \f\dX~ = f \f\d\X\
Jx Jx Jx where the last equality is by Proposition 10.31 and the fact that X+ + X~ = \ X |. •

Proposition 10.34. Let p and v be two positive measures, at least one of which is finite, on a measurable space (X, 2t). Let X be a signed measure on (X, 21) defined by setting X = p — v. Let f be an extended real-valued ^-measurable function on X. Then we have

f fdX= f fdpJx Jx

[ fdv,
Jx

in the sense that the existence of one side implies that of the other and the equality of the two. Proof. Recalling the definition of fx f dX by Definition 10.32, we are to show

(1)

Jx

/ fdX+-

Jx

f fdk~=

Jx

f fdp-

Jx

[ fdv,

in the sense that the existence of one side implies that of the other and the equality of the two. Now since X+ — X" = X = p — v, we have (2) X+(E) - X~(E) = X(E) = p(E) - v(E) for every E € 21.

Let <p = 5Z(-_j ai l£. be a simple function on (X, 21) in its canonical expression with a,- e R and E,• e 21 for i = 1 , . . . , k. Then we have (3) J cpdX+ - I <pdX~ = J^atX+iEi)
^x k ^x ;=i k

i=i

J^aiX'iEi)

= Y/ai{X+(Ei)-X-(Ei)}
i=i k k

= J^ai{p(Ei)
i=i

-

v(Ei)}

= V \ M ( £ ; ) - y^aiV(Ej) fcr f=t

= / <pdpJx

/ (fdv. Jx

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CHAPTER 2 The Lebesgue Integral

Let / be a nonnegative extended real-valued 2l-measurable function on X. According to Lemma8.6, there exists an increasing sequence of simple functions on (X, 21), (cpn : n e N), such that <pn f / on X. Applying (3) to <p„, we have
(4)
/ <PndX+JX

/ <pndX
JX

= I <pndfiJX

I
JX

ipndv.

Letting n —> oo in (4) and applying the Monotone Convergence Theorem (Theorem 8.5), we have (1) for a nonnegative extended real-valued 2l-measurable function / on X in the sense that the existence of one side implies that of the other and the equality of the two. If / i s an extended real-valued 2l-measurable function on X, let/ = f+ — f~. Applying the result above to the two nonnegative extended real-valued 2l-measurable functions f+ and / ~ , we have
(5) (6)

f f+dX+JX

f f+dX~=
JX

f f+d,xJX

[
JX

f+dv, f-dv,

f f~dX+JX

f f~dX~=
JX

f f-d/iJX

[
JX

in the sense that the existence of one side implies that of the other and the equality of the two. Subtracting (6) from (5) and assuming we do not encounter oo — ooor—oo + oo, we have (1). • Theorem 10.35. Let X be a signed measure on a measurable space (X, 21). Let e e l and considerthe signed measure cX on (X, 21). Let f be an extended real-valued ^-measurable function on X. Then we have f fd(cX) = c f
JX JX

fdX,

in the sense that the existence of one side implies that of the other and the equality of the two. Proof. Let us write (cX) + and (cX) ~ for the positive and negative parts of the signed measure cX on (X, 21). By Definition 10.32, we have (1) We have also (2) cX = c{X+ - X~} = cX+ -cX~. f fd(cX) = f fd(cX)+ - f
JX JX JX

fd{,cX)'

1. Consider the case c > 0. Now c > 0 implies that cX+ and cX~ are measures on (X, 21). Since X+ and X~ are the positive and negative parts of the signed measure A., we have A+ -L X~ on (X, 21) and this implies that cX+ _ cX~ on (X, 2t). Then by the L

§10 Signed Measures

221

uniqueness of Jordan decomposition of a signed measure (Theorem 10.21), the equality (2) implies that (cA) + = cX+ and (cX)~ = cX~. Substituting these in (1), we have (3) [ fd(cX) Jx = [ fd(cX+) Jx - [ Jx fd(cX~)

=c{Lfdx+-Sxfdx~\
= cffdX.
This proves the theorem for the case c > 0. 2. Consider the case c = —1. Now —X = — {A+ — A - } = X~ — X+. Since X~ and + X are measures on (X, 21) and X" _L X+ on (X, 21), uniqueness of Jordan decomposition implies that (—A)+ = A~ and (—A)- = A + . Substituting these in (1) for c = —1, we have

(4) j fd(~X) = j fdX~ - f fdX+ = -[f fdk+- J fdX~\=This proves the theorem for the case c = — 1. 3. Consider the case c < 0. Now if c < 0, then c = —\c\. Thus we have

f fdX.

(5)

Jx

/ / d(ck) = f fd(Jx Jx

)c\X) = - f f d(\c\X)
Jx Jx

= -\c\ f fdX = c [

fdX,

where the second equality is by (4) and the third equality is by (3). This proves the theorem for the case c < 0. • Theorem 10.36. Let X\ and X2 be two signed measures, at least one of which is finite, on a measurable space (X, 21). LetX = A1+A2. Let f be an extended real-valued ^-measurable function on X. Then we have

Jx

[ fdX=

Jx

[ fdki+

Jx

f

fdX2,

in the sense that the existence of one side implies that of the other and the equality of the two. Proof. Let A; = X* — X^ and A2 = Aj — A^" be the Jordan decompositions of Ai and A2. We have then (1) A = A i + A 2 = { A + + A + } - { A - + A^}.

Recall that for every signed measure, either its positive part or its negative part is finite and for a finite signed measure both the positive part and the negative part are finite. Then

222

CHAPTER 2 The Lebesgue Integral

since at least one of Ai and A2 is a finite signed measure, at least three of the four positive measures A+, A]~, A.J, and A^" are finite. Thus the expression (1) is defined. Now (2) f fdX = f fd{X+ + X+}JX JX

f
JX

fd{X~+X^}

= fdx+i+

L

fxfdx*~ / fdx~x~ /fdx*
Jx

= jf fdX+ - j^fdX~ + j fdX+- j fdXI = f fdXx + f fdX2,
Jx where the first equality is by (1) and Proposition 10.34, the second equality is by Proposition 10.31, and the last equality is by Definition 10.32. |

Problems
Prob. 10.1. Let (X, 21, /x) be a measure space and let / be an extended real-valued 21measurable function on X. Suppose fx f dfi exists. (a) Show that fE f dfi exists for every E e 21. (b) Show that

fxfdneR

=> jEfdlxeR

forevery E e 21,

fx f d\i = oo => fE f dfj. ^ —oo for every E e 21, j x f dpi = — oo ^> JE f dfi yt oo for every E € 21. Prob. 10.2. Let (X, 21, X) be a signed measure space. Let / be an extended real-valued 2l-measurable function on a set A e 21. Let Ao 6 21 and AQ C A. (a) Show that if fA f dX exists in R, then so does / A / dX. (b) Show that if fA f dX exists in R, then so does fA f dX. Prob. 10.3. Given a measure space (X, 21, /x). Let / be a /x semi-integrable extended real-valued 2l-measurable function on X. Define a signed measure A. on (X, 21) by setting X(E) = JEfdix for E e 21. (a) Find a Hahn decomposition of (X, 21, X) in terms of / . (b) Find the positive and negative variations A,+ and A.- of A in terms of / . (c) Find the total variation | A | of A in terms of / . Prob.10.4. Consider the measure space (X, 21, it) = ([0, 2TT], 9JlL n [ 0 , 2n], /xL). Define a signed measure A on ([0, 2n], 9JtL f l [0, 2TT]) by setting X(E) = fE sinx fJ-L(dx) for ~ E e SD^nfO, 2it\. LetC = [\n, f?r]. Lets > 0 be arbitrarily given. FindaOT L n[0, 2TT]measurable subset C of C such that A ( C ) > A(C)andA(xi) > -s forevery SDTt H[0, 2JT]measurable subset £ of C". Prob. 10.5. Given a signed measure space (X, 2t, A). (a) Show that if E e 21 and A(£) > 0, then there exists a subset £o of £ which is a positive set for A with X(E0) >X(E).

§10 Signed Measures

223

(a) Show that if E e 21 and X(E) < 0, then there exists a subset EQ of E which is a negative set for X with X(E0) < X(E). Prob. 10.6. Let (X, 21, X) be a signed measure space. Prove the following statements: (a) If A is a maximal positive set for X, then Ac is a maximal negative set for X. (b) If B is a maximal negative set for X, then Bc is a maximal positive set for X. (c) A is a maximal positive set for X if and only if Ac is a maximal negative set for X. (d) S is a maximal negative set for X if and only if Bc is a maximal positive set for X. Prob. 10.7. Let p and i be two positive measures on a measurable space (X, 21). Suppose > /it _L v. Show that if p is a positive measure on (X, 21) and if p is nontrivial in the sense that p(X) > 0, then (p + p) ± (v + p) does not hold. Prob. 10.8. Let (X, 21, X) be a signed measure space. Show that for the positive and negative variations X+ and X~ of X, we have X+(E) = sup {X(E0) :E0CE,E0e 21}, A r ( £ ) = - inf IX(E0) :EoCE,E0€ 21}. Prob. 10.9. Given a signed measure space (X, 21, X). For E e 21, let a £ = sup { E L i ME*) I = {El and PE = sup { E „ £ N W £ n ) l : {£« : n e N} C 21, disjoint, L L N £ » = Show thatch = /?£.
E

#«} C 21, disjoint, ( J L i E* = E, « e N}, }-

Prob. 10.10. Let p, and v be two positive measures on a measurable space (X, 2f). Suppose for every e > 0, there exists E e 21 such that /x(£) < e and v(Ec) < s. Show that p, ± v.

224

CHAPTER 2 The Lebesgue Integral

§11 Absolute Continuity of a Measure
[I] The Radon-Nikodym Derivative
Let (X, 21, p) be a measure space. Let / be a p semi-integrable extended real-valued 2l-measurable function on X. The set function X on 21 defined by X(E) = fE fdp for E e 21 is a signed measure on (X, 21) as we showed in Proposition 10.3. In particular if / is nonnegative then A. is a positive measure on (X, 21) by Proposition 8.12. Conversely if X is a signed measure on (X, 21), does there exist an extended real-valued 2l-measurable function / on X such that X(E) = fE fdp for every E e 21? If such a function exists, then X(E) = 0 for every E e 21 with p(E) = 0. In the Radon-Nikodym Theorem we show that when p and X are cr-finite then this necessary condition is also a sufficient condition for the existence of such a function / . Definition 11.1. (Radon-Nikodym Derivative) Let p be a positive measure and X be a signed measure on a measurable space (X, 21). If there exists an extended real-valued ^-measurable function f on X such that X(E) = JE f dp. for every E e 21, then f is called a Radon-Nikodym derivative ofX with respect to p. and we write 4^ for it. Let us note that if a Radon-Nikodym derivative / of X with respect to p exists, then fx f dp = X(X) € R and thus / is necessarily p semi-integrable but it need not be /ii-integrable on X. Proposition 11.2. (a) Let f be a Radon-Nikodym derivative of a signed measure X with respect to a positive measure p on a measurable space (X, 21). If g is an extended realvalued ^.-measurable function on X such that f = g, p-a.e. on X, then g too is a Radon-Nikodym derivative ofX with respect to p. (b) (Uniqueness of the Radon-Nikodym Derivative) Let pbea a-finite positive measure and X be a signed measure on a measurable space (X, 21). If two extended real-valued ^-measurable functions f and g are Radon-Nikodym derivatives of X with respect to p, then f = g, p-a.e. on X. Proof. 1. To prove (a), note that if g is an extended real-valued 2t-measurable function on X such that / = g, p-a.e. on X then for every E e 21 we have fEgdp = fE f dp. = X(E) by Lemma 9.8. This shows that g is a Radon-Nikodym derivative of X with respect to p.. 2. Let us prove (b). Now if two extended real-valued 2t-measurable functions / and g are Radon-Nikodym derivatives of X with respect to p, then / and g are p semi-integrable on X and JE f dp = X(E) = fEgdp for every E e 21. Since p is cr-finite, this implies that f = g, p-a.e. on X by Proposition 9.16. • Let p be a positive measure and A be a signed measure on a measurable space (X, 2(). . Consider the set <> of all extended real-valued 2t-measurable functions on X. The relation t that / = g, /u,-a.e. on X for / , g e <> is an equivalence relation. Consider the collection J of all equivalence classes with respect to this equivalence relation. If / e * is a RadonNikodym derivative of A with respect to p, then every member in the equivalence class to ,

§ 11 Absolute Continuity of a Measure

225

which / belongs is a Radon-Nikodym derivative of X with respect to p as we showed in (a) of Proposition 11.2. This equivalence class is also called a Radon-Nikodym derivative of X with respect to p. In this terminology each member of the equivalence class is called a version, or a representative, of the Radon-Nikodym derivative. When we speak of a RadonNikodym derivative, whether a function or an equivalence class of functions is meant should be clear from the context. Remark 11.3. The uniqueness of the Radon-Nikodym derivative of X with respect to p in (b) of Proposition 11.2 does not hold without the er-finiteness of p. Example. For an arbitrary nonempty set X, let 21 = {0, X). Let p be a positive measure on (X, 21) defined by setting p(&) = 0 and p(X) = oo. The measure p is not a-finite. Now X(0) = 0 = / 0 1 dp and X(X) = p(X) = fx 1 dp. This shows that the function / ] = 1 on X is a Radon-Nikodym derivative of X with respect to p. Next let c e R, c > 0, and let fc = c on X. Then we have X(@) = 0 = f^cdp andX(X) = p(X) = oo = fxcdp. This shows that the function fc = c on X is a Radon-Nikodym derivative of X with respect to p. Consider the two Radon-Nikodym derivatives f\ and fc of X with respect to p. If c ^ 1 then / i ^ / c on X and in particular we do not have f\ = fc, p-a..&. on X.

[II] Absolute Continuity of a Signed Measure Relative to a Positive Measure
Definition 11.4. (Absolute Continuity) Let p be a positive measure and X be a signed measure on a measurable space (X, 21). We say that X is absolutely continuous with respect to p andwrite X <C p if for every E € 21 with p(E) = 0 we have X(E) = 0, or equivalently, J every null set for the positive measure p is a null set for the signed measure X. (Note that since a positive measure has the monotonicity property, p(E) = 0 for some E 6 21 implies p(Eo) = Ofor every EQ e 21 such that EQ C E.) Definition 11.5. (Lebesgue Decomposition) Let p be a positive measure and Xbea signed measure on a measurable space (X, 21). If there exist two signed measures Xa and Xs on (X, 21) such that Xa <C p, Xs _L p and X = Xa + Xs, then we call {Xa, Xs} a Lebesgue J decomposition ofX with respect to p. We call Xa and Xs the absolutely continuous part and the singular part ofX with respect to p. Remark 11.6. If [Xa, Xs} is a Lebesgue decomposition of X with respect to p, then we have Xa -L Xs also. Thus a Lebesgue decomposition of A is a pair of signed measures {Xa, Xs] . such that X = Xa + Xs, Xa J_ Xs, Xa < p, and Xs _L p. Proof. Since Xs _L p, there exist C\, C2 € 21 such that C\ 0 C2 = 0, C\ U C2 = X, C\ is a null set for p, and C2 is a null set for Xs. Since Xa <£ p, every null set for p is a null set for Xa and in particular C\ is a null set for Xa. Therefore we have Xa ± Xs. I

226

CHAPTER 2 The Lebesgue Integral

Observation 11.7. Let p and v be two positive measures on a measurable space (X, 21). In general there does not exist a positive number c > 0 such that CJJL < v on 21, not even when p is a finite positive measure. Example 1. Let A and B be two non-empty subset of a set X such that A n B = 0 and A U fl = X. Then 21 = {0, A, B, X) is a a -algebra of subsets of X. Let us define two set functions p and v on 21 by setting /it(0)=O, i>(0)=O, p(A) = l, v(A)=0, p(B)=0, v(fl)=l, p(x) = l; /i(x)=l.

Then yu, and v are two finite positive measures on (X, 21) and moreover p ± v on (X, 21). Now no matter how small c > 0 may be, we have cp(A) = c > 0 = v(A). Thus there does not exist c > 0 such that C/LA < v on 21. Similarly there does not exist c > 0 such that cv < p on 21. Example 2. Consider the measure space (X, 21, ^) = ([0,1], VCflL n [0, 1], AtL). Let / be a function on [0, 1] defined by f |xsin j | forx e (0,1],

Let us define a set function v on 2( by setting v(E) = fE f dpL for E e <£. Then v is a positive measure on (X, 21) by Proposition 8.12. Now since lim f(x) = 0, for every c > 0
jc->0

there exists a € (0,1] such that f(x) v([0,a]) = /
•/[O.a]

< j for x e [0, a]. Then we have < ^ ( [ 0 , a ] ) < c/^([0,a]).
2

fdpL

This shows that there does not exist c > 0 such that cpL < v on 21. For a measurable space (X, 21) andforaseti: e 21, we write 2 l n £ = {AtlE : A e 21}, that is, the collection of all 2t-measurable subsets of E. Lemma 11.8. Let p be a finite positive measure and v be apositive measure on a measurable space (X, 21). Suppose p and v are not mutually singular. Then there exists c > 0 and E € 21 with p(E) > 0 such that cp < v on 21 n E, (that is, cp(Eo) < V(EQ) for every EQ e 21 such that E$ C E, in other words, E is a positive set for the signed measure v - cp). Proof. For every n e N, ^p is a finite positive measure on (X, 21) and thus v — ^p is a signed measure on (X, 21) by Proposition 10.4. Let (A„, Bn] be a Hahn decomposition for the signed measure space (X, 2t, v — ^p) for each n e N. Let A = U«eN ^« a n d s = P U N Bn- Note that Ac = ( U „ 6 N An)c = n „ £ N s « = B- T h u s A n S = 0 and A U B = X. Since B C B„ for every n e N and since Bn is a negative set for v — ^p, B is a

§11 Absolute Continuity of a Measure

227

negative set for v-^p for every n € N. Then (v-±p){B) < 0, that is, 0 < v(S) < \p{B) for every n e N. Thus v(S) = 0. Now if p(A) = 0, then p _L v. On the other hand, if p(A) > 0, then since p(A) < X^neN M(A„) t n e r e exists no e N such that (U,(A„0) > 0. Now [A„0, B„0} being a Hahn decomposition of (X, 21, v — ^-p), the set A„0 is a positive set for v — -^-p. Let us select E = A„0 and c = ^-. Then /x(£') > 0 , c > 0 and E = Ano is a positive set for the signed measure u — cp = v — ^-p. • Let us note that if Ai and A 2 are two signed measures on a measurable space (X, 21) and if Ai (£) + A.2(£) exists in R for every E e 21, then Ai + A 2 is defined and is a signed measure on (X, 21). This is the case when one of Ai and A.2 does not assume the value 00 or when one of X\ and A.2 does not assume the value —00. Lemma 11.9. (a) Let X\ and A2 be signed measures and n be a positive measure on a measurable space (X, 21). Ifki <£ p., A2 <£ p, andX\ +X2 is defined, then {X\ +X2} <& p. (b)LetX\, Xi, and X be signed measures on a measurable space (X, 21). IfX\ ± A, A2 -L A, and X\ + X2 is defined, then [X\ + X2} -LA. Proof, (a) is immediate. Let us prove (b). If Ai _L A, then there exist A\, B\ € 21 such that A\ n Si = 0, A\ U B\ = X, A\ is a null set for A and B\ is a null set for X\. Similarly if A2 J- X, then there exist A2, S2 e 21 such that A2 n S 2 = 0, A2 U B2 = X, Aj is a null set for A and B2 is a null set for A2. Consider A\ U A2 and (A\ U A2)c = A\ n A\ = B\ n B2Since Ai and A2 are null sets for X, A\ U A2 is a null set for X by Lemma 10.11. Since B\ is a null set for X\, so is its 2l-measurable subset B\ n Bo. Similarly Si n S2 is a null set for A.2. Let £ be an arbitrary 2l-measurable subset of B\ n S2. Then Ai(£) = 0 and A 2 (£) = 0 so that {Ai + A2}(£) = A](£) + X2(E) = 0. Thus Si n S 2 is a null set for Ai + A.2. Therefore Ai U A2 is a null set for A and its complement Si n S2 is a null set for Ai + A2. This shows that {Ai + A2} -LA. • Theorem 11.10. (Existence of Lebesgue Decomposition)(Lebesgue-Radon-Nikodym) Let p, be a a -finite positive measure and X be a a-finite signed measure on a measurable space (X, 21). Then there exist two signed measures Xa and Xs on (X, 21) such that Xa <-^ /x, Xs J_ /u., A = Xa + Xs and Xa is defined by Xa (E) = J„ f dp, for E € 21 where f is an extended real-valued %L-measurable function on X. Proof. 1. Consider the case that both p. and A are finite positive measures. Let <> be a t collection of nonnegative extended real-valued 2l-measurable functions <p on X defined by

<> = \<p : <p > 0 on X and / ipdp< J

X(E) for every E e 21 .

Since the identically vanishing function on X is such a function, <> ^ 0. Let us observe J that if ^1,(^2 € 3>, then max {c^i, 1^2} e * . Indeed if we let A = {x e X : <pi(x) > (P2(x)},

228 then for every E e 21 we have / ma.x{(pi,(p2}dfi = /
JE JEHA

CHAPTER 2 The Lebesgue Integral

maLx[<pi,<f>2}dn + I
JE\A

max{<pi,<p2}diJ.

= I
JEHA

(pidiu,+
JE\A

<p2dtj,

< X(E HA)+ X(E \ A) = X(E). This shows that max {<p\, (pi) e <t>. It follows by induction that for every finite collection {<p\,... , (pn) C <t>, we have max {(p\,... , <p„} e $ . Let = sup / <p c ~>d\x.
ipe<S>JX X

Let us show that there exists / € <> such that J

L

f djx.

Note that since fx<pdfi < X(X) for every cp e <t>, we have 0 < a < X(X) < oo. By the definition of a there exists a sequence (<pn : n e N) in <$> such that lim fy <p„ d/j, = a. Let / = sup„ eN (p„. To show / e 3>, let \jrn = max {<pi,... , <p„) for n e N. Then (i/r„ : n e N) is an increasing sequence in <t>. Now since i/r„ > <P« for every n e N, we have sup n £ N Vn > su P«eN Vn = / • On the other hand, i/r„ = max [cp\,... , cp„} < sup n e N cpn = f for every « € N so that sup n g N ijrn < / . Thus / = sup n e N \J/n. Then since (\p-n : n e N) is an increasing sequence, we have ijfn f / on X. Then by the Monotone Convergence Theorem (Theorem 8.5) and by the fact that fE ^n dfi < X(E) for every E € 21, we have (1) / fdfi= JE IE lim / xlfndfi < X(E).
n

^°°JE "^°°j£

This shows that / e <t>. To show that fx f d/n = a, note that from the fact that ijsn > tpn on X, we have fY f d/i = lim fy ijrn d\x > lim fY wn d\i = a. On the other hand, since
JA

n->oo

A

n-»oo ^A

/ € <> we have fx f dpi < a. Thus fx f dpi = a. J With our function / define a set function Xa on 21 by (2) Xa(E)= f fd/x
./E

for E e 21.

Since / > 0 on .Y, Aa is a positive measure on 21. Since A a (X) = fx f d/a = a < oo, Xa is a finite measure. For every E e 21 with /x(£) — 0, we have fE f d/u, = 0 and thus Xa <£ ii. By(l)and(2),A. a (£) < X{E) for every E e 21 and thus X > Xa on 21. Since both X and A.a are finite measures, if we let Xs = X — Xa then Xs is defined and is a finite positive measure on 21. Let us show that Xs ± /n. Suppose not. Then by Lemma 11.8, there exist a set EQ e 21 with /x(£o) > 0 and a constant c > 0 such that Xs > c/i on 21 n EQ. Consider

§ 11 Absolute Continuity of a Measure

229

the nonnegative extended real-valued 2l-measurable function / + clg 0 on X. Let us show that this function is a member of <t>. Now for every E e 21, we have J {f + c\Eo)dti=
JE

f fdlx
JE

+ cn(EnEo)<Xa(E) = k(E).

+

Xs(EnE0)

<ka(E)+ks(E)

This shows t h a t / + c l £ 0 G <J>. Now fx{f+clE0}d/j, = a+cix(Eo) > a since ^(£o) > 0. This contradicts the definition of a. Thus we have ks J_ fi. 2. Next consider the case that both fi and k are a -finite positive measures on (X, 21). Now the ff-finiteness of fi implies that there exists a disjoint sequence (Fm : m G N) in 21 such that UmeN Fm = X with fi(Fm) < oo for every m G N and similarly the cr-finiteness of A implies that there exists a disjoint sequence (Gn : n e N) in 21 such that (JneN G« = X with fi(Gn) < oo for every n G N. Then {Fm n G n : m e N, n e N} is a disjoint collection in 21, Um£N L U N f m n G„ = X with \x(Fm n G„) < oo and A.(Fm n G„) < oo for every m € N and « e N. Let (X„ : n e N) be a renumbering of the countable collection {Fm n Gn : m G N, n 6 N}. Then (Xn : n € N) is a disjoint sequence in 21, U „ e N Xn = X with fi(Xn) < oo and X(Xn) < oo for every n e N. Let /i„ and A„ be the restrictions of ix and A to the measurable space (Xn, 21 n Xn) for . n G N. Then //,„ and A,„ are finite positive measures on the measurable space (Xn, 21 n Xn). Thus by our result in 1 we have (3) (4) kn = A.„,a +kn,s; X„,B(E) f fnd[in
JE

kn<a «; fj.„; k„tS ± fj,n on ( X „ , 2 t n X „ ) , fovEeWnX,,

where /„ is a nonnegative extended real-valued 21 n Xn-measurable function on Xn. Let us define two set functions ka and ks on 21 by setting
(5) ka(E) = J2Xn,a(EnXn) for £ G 2C,

(6)

A.,(£) = ] T A n , , ( E n X n )
neN

for£e2l.

It follows immediately that ka and A., are two positive measures on (X, 21). To show the countable additivity of ka on 21 for instance, let (E^ : k e N) be a disjoint sequence in 21. Then we have

*«( IJ Et) = J2X"-a( U £* n *") = Z ! I ] A-».«<£* n Xn^
ieN neN iteN neNteN

= £ I ] W E * n x„) = £*«(£*)•
t€N neN k€¥S

It remains to show that for the two positive measures ka and A.^ on (X, 21) defined respectively by (5) and (6) we have (7) k = ka + ks; ka « fj,; ks ± n on (X, 21).

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CHAPTER 2 The Lebesgue Integral

Now for every £ e 2 l w e have k(E) = £ > . ( £ n xn) = J^ K(E n x„)
neN neN

= Y, { V« (£• n Xn) + Xn,s (EDXn)}
neN

= J2 K,a (E HXn) + J2 V* (EDXn)
neN neN

= ka(E) + ks(E) where the third equality is by (3) and the last equality is by (5) and (6). This shows that we have k = ka + ks on (X, 21). Let us show that Afl « /t on (X, 21). Let £ be a null set in (X, 21, /x). Then fi(E) = 0 and this implies /j,n(E D X„) = yLt(£' n X„) = 0 for every neN. Since An>a «; jw„ on (X„, Xn n 2t) by (3), we have kn<a(E n X„) = 0 for every n e N . Then by (5) we have ka(E) = £ n € N knAE n X„) = 0. Thus E is a null set in (X, 21, Xa). This shows that ka « n on (X, 21). Let us show that ks _ \x on (X, 21). By (3) we have A.,,,* J. /x„ on (X„, 2t n Xn) for L every n e N . Thus there exist An, Bn e 2t n X„ such that A„ n B„ = 0, A„ U S„ = X„, Bn is a null set for knjS, and An is a null set for [in. Let A = (JneN ^« anc* B = UneN 5 «Then A, 5 € 21. Since (X„ : « e N) is a disjoint sequence and An and 5„ are disjoint subsets of Xn for every n e N, {A„, Bn : n e N} is a disjoint collection. Then we have
AnB

= (|J
neN

A„)

n ( ( J 5„) = |J
neN neN

(A„

n ( \ J s„)) = (J 0 = 0,
neN neN

A U 5 = ( ( J A„) U ( ( J fl„) = |J(A„ U B„) = ( J X„ = X.
neN neN neN neN

Now fi(A) = 5ZneN n(A fl X„) = X!neN fJ-niAn) = 0 since A„ is a null set for n„. Also by (6) we have ks(B) = £ n e N A.„,j(fl n Xn) = £ n e N V*( s n) = ° s i n c e 5 « i s a n u l 1 s e t for A.n|i. This shows that ks A. fJ. on (X, 21). This completes the proof of (7). Let us show that for the positive measure ka on (X, 21) defined by (5) there exists a nonnegative extended real-valued 2t-measurable function f on X such that (8) ka{E)= I fdfi
JE

for£ e 21.

With the nonnegative extended real-valued 21 n Xn -measurable function /„ on Xn defined in (4) for n e N , let us define a function / on X = UneN ^« by setting f(x) = fn(x) forx e Xn.

Then / is a nonnegative extended real-valued 2l-measurable function on X. Moreover for

§ 11 Absolute Continuity of a Measure every E e 21 we have / fdfi JE = / fdfi JEn{j„enx„ = ^ / = Y) / Z^jEr>xn A.„,a (£) fdfi

231

fn dfl„ = ^

where the fourth equality is by (4) and the last equality is by (5). This proves (8). 3. Finally consider the case that fi is a cr-finite positive measure and A is a cr-finite . signed measure. Let A = A+ — X~ be the Jordan decomposition of A.. Here A+ and A are two positive measures at least one of which is a finite measure. The other is at least cr-finite since the cr-finiteness of A implies that of |A.| according to Observation 10.30 and this implies the cr-finiteness of both A+ and A - . Let us consider the case that A+ is finite and A - is cr-finite. By (7) we have (9) (10) and by (8) we have A+ = A+ + A+; X+ « fi; A+ J_ fi A" =\~+XJ; X~ « / x ; XJ ± fi

(11)
(12)

4 ( £ ) = I fidfi
JE

for£e2l
forE € 21

X~(E) = /

fadfi

where f\ and fa are nonnegative extended real-valued 2l-measurable functions on X. Now by (9) and (10) we have A

= A+ - x- = {A+ + k+}- {x- +x;} = {xt -x~} + {x? - x;}.

Note that finiteness of A.+ implies that of A+ and A.+ so that the differences A+ — X~ and A+ — XJ are defined. Let us define (13) Xa=X+-X~; XS=X+ -X;.

Then X = Xa + Xs. Also A.+ <g fi and A~ <C fi imply Xa = A+ — A~ « fi by (a) of Lemma J 11.9 and A+ _L fi and A7 ± ft imply Xs = A+ - Aj" ± fi by (b) of Lemma 11.9. Let f = fi — fa. Now since X+ is a finite signed measure and X+ = A.+ + A+, A+ is a finite signed measure. Then by (11) we have fx fa dfi = A+(X) e R so that fa is real-valued /x-a.e. on X. Thus / = fa — fa is defined /x-a.e. on X and is an extended real-valued 2l-measurable function. Then for every E e 21 we have / fdfi=
JE JE

{fa-

fa}dfi

=
JE

fadfiJE

fadfi

= X+(E)-X-(E)

= Xa(E)

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CHAPTER 2 The Lebesgue Integral

where the third equality is by (11) and (12) and the last equality is by (13). This completes the proof that A. = Xa + Xs, Xa <£ p, Xs ± p and Xa(E) = fE f dp for E e 21 where / is an extended real-valued 2l-measurable function on X for the case that X+ is a finite and X~ is a cr-finite positive measure. The case that X+ is a cr-finite and X~ is a finite positive measure is treated similarly. • Observation 11.11. Let ii be a positive measure and A be a signed measure on a measurable . space (X, 21). (a) X « p o- X+ « p and X~ « /x.
(b) (c) | X | « : /x <£> X+ « /x and A.- «C /x. | A | « ii <3> A « /x.

Proof. 1. Suppose A <C it. Let us show that A+ <§; /i and A~ <§; p. Let {A, B} be an S arbitrary Hahn decomposition of (X, 21, A). By Theorem 10.21, X+(E) = X(E n A) and A~(£) = -A(£Tlfl) for every E e 21. If E € 2land/x(£) = 0, then by the monotonicity of the positive measure ii, we have p(E n A) = 0 and p(E n B) = 0. Since A <C ii, this J implies that A(£ n A) = 0 and X(E n S) = 0. Then A+(E) = 0 and A - ( £ ) = 0. This shows that A+ <C tx and A - <g p. 3 Conversely suppose A+ <g At and A~ <C ti. Then for every £ e 21 with jtx(ii) = 0, we ? have A+(£) = 0 and X~(E) = 0 and hence |A(£)| < | A|(£) = X+(E) + X~(E) = 0, implying X(E) = 0. This shows that A <g H2. (b) is immediate from the fact that | A | = A+ + A~ and the fact that A + , A~, and | A | are all positive measures, (c) is a combination of (a) and (b). I Observation 11.12. Let /x be a positive measure and A be a signed measure on a measurable space (X, 21). If A ± /i and A ^C /x, then A = 0. Proof. Since A _L /x if and only if |A| _L /x by Proposition 10.27 and since A <g /x if and only if |A| <$; /x by Observation 11.11, it suffices to show that if | A | ± /x and |A| <g ti then X = 0. Now since |A| _L ^, there exist C\, C2 e X such that C\ f\ C2 = 0, C\ U C2 = AT, /x(Ci) = 0, and |A|(C 2 ) = 0. Then |A| « \i implies that |A|(Ci) = 0. Thus we have |X|(X) = | A|(Ci) + | A|(C 2 ) = 0. Then for every E e 21, we have | A | ( E ) = 0 by the monotonicity of the positive measure |A|. Since |A(£)| < | AK^) for every E e 21, the fact that | A |(E) = 0 for every E e 21 implies that X(E) = 0 for every E € 21, that is, . A = 0. I Theorem 11.13. (Uniqueness of the Lebesgue Decomposition) Let ix be a positive measure and X be a a-finite signed measure on a measurable space (X, 2t). If a Lebesgue decomposition ofX with respect to /i exists, then it is unique. Proof. Suppose a Lebesgue decomposition of A with respect to p, exists, that is, there exist two signed measures Xa and Xs on 21 such that Xa <£ p,, Xs _L /x and A = Xa + Xs. Let X'a and A^ be another such pair of signed measures on 21. Let us show that Xa = X'a and xs = A;.

§ 11 Absolute Continuity of a Measure

233

1. Consider first the case that A. is a finite signed measure. In this case Xa, Xs, X'a, and X's are all finite signed measures on 21 so that Xa — X'a and Xs — X's are defined. From Xa + Xs = X = X'a + X's, we have Xa — X'a = X's — Xs. Since Xa «; p. and X'a <C p we have J Xa — X'a <& pby (a) of Lemma 11.9. Since Xs ± p and X's J_ p we have X's — Xs J. p by (b) of Lemma 11.9. If we let v = Xa — X'a = X's — Xs, then v <g p and v _L p so that v = 0 by Observation 11.12. Thus Aa = X'a and As = A^. 2. Consider the case that A. is a cr-finite signed measure. In this case there exists a disjoint sequence (En : n € N) in 21 such that UneN En = X and A(.En) s R for every n € R. For every n e N, consider the finite signed measure space (En, 21 n £„, A„) where Xn is the restriction of A to 21 n £«. Let An,a, A n j, A^ a , and k'ns be the restrictions of Xa, . Xs,X'a, and A^ to 21D £„, and let pn be the restriction of p to 21 n £„. From Xa <£ p and Xs J. /x, it follows immediately that A„,a < pn and A„,5 J_ /x„ for every n e N. Similarly from X'a <C p and X's _L /n, we have X'na < £4„ and Aj, s ± pn for every n e N. Thus by 1 3 we have A„,fl = X'na and An]i = Ajj s for every « e N. Then Xa = A^ and As = X's. I Theorem 11.14. (Radon-Nikodym Theorem) Lef p be a cr-finite positive measure and X be a a-finite signed measure on a measurable space (X, 21). If X <C p, then the RadonS Nikodym derivative ofX with respect to p exists, that is, there exists an extended real-valued ^{.-measurable function f on X such that X(E) = fE f dp for every E e 21. Proof. According to Theorem 11.10, there exist two signed measures Xa and Xs on (X, 21) such that A = Xa + Xs, Xa <g p, Xs J. p and moreover Xa(E) = fE f dp for E e 21 where / is an extended real-valued 2l-measurable function on X. Now suppose A <C p. If we 3 write X = X + 0, then since X <C p and 0 ± p, {A, 0} is a Lebesgue decomposition of A S with respect to /LA. Then the uniqueness of the Lebesgue decomposition by Theorem 11.13 implies that we have A = Xa. Therefore X(E) = Xa(E) = fE f dp for every E e 21. • We showed above that if p is a cr-finite positive measure, A is a cr-finite signed measure and A <C p on a measurable space (X, 21), then the Radon-Nikodym derivative j=- exists. We show next that ^ exists without the assumption that A is cr-finite. For this we require a decomposition of the measurable space (X, 21) as follows. Lemma 11.15. Let p and v be two positive measures on a measurable space {X, 21). / / p(X) < c<3, v(X) = oo, and v <g p, then there exists a disjoint sequence (Xn : n e Z+) in 21 with U n £ z + xn = X such that 1° v(Xn) < ooforn e N, 2° forevery A € 2lnXo, we have either p{A) = v(A) =0orp(A) > Oandv(A) = oo. Proof. 1. Let (1) (2) <£={Ee 2 t : v(E) < oo},

a = sup p(E) < AI(X) < oo. Eec Then there exists a sequence (En : n e N) in <£. such that lim p(En)
n-»oo

= a.

Since

£ is closed under finite unions, we can select an increasing sequence (E„ : n e N) in

234

CHAPTER 2 The Lebesgue Integral

(£ such that lim ix{En) = a. Let G = lim En = M„eN En e 2t. Then we have yii(G) = lim Mis,,) = a. With the increasing sequence (En : n e N) C <S C 21, let Xi = £ i and X„ = En \ (E\ U • • • U En-X) for n > 2. Then (X„ : n e N) is a disjoint sequence in £ C 21 with \Jn€N X„ = \JneN E„ = G and v(X„) < v(En) < oo for» € N. 2. Let

Xo = G < = ( U £ « ) C = ( U * « ) C neN «eN

Let us show that Xo satisfies condition 2°. Let A e 21 n Xo. Now either v(A) = oo or v(A) < oo. If v(A) = oo, then since v « jit we cannot have ji{A) = 0 so that /x(A) > 0. Suppose v(A) < oo. Then A e < by (1). Since £„ e (£ and € is closed under finite E unions, we have En U A e <£ and then ^(is,, U A) < a by (2) for every n e N. Now since G = lim £„ for the increasing sequence (En : n £ N), we have G U A = lim (En U A).
n->oo n->oo

This implies then that (3)
c

n(G U A) = lim fi{En U A) < a.
n->oo

Since A c Xo = G , we have A D G = 0. Thus we have (4) M G U A ) =/x(G) + /x(A) = a + At(A).

By (3) and (4), we have a + /x(A) < a and hence fi(A) = 0. Then since v <£ /i, we have v(A) = 0. This shows that if v(A) < oo then ^(A) = v(A) = 0. • Theorem 11.16. (Radon-Nikodym Theorem) Let fi be a a -finite positive measure and X be a signed measure on a measurable space (X, 21). Ifk <C M, then the Radon-Nikodym 5 derivative ofX with respect to \x, 4^-, exists. Proof. Let ( z b e a cr-finite positive measure and A be a signed measure on a measurable space (X, 21) such that A. <C M- If A is a finite signed measure then j ^ exists by Theorem < 11.14. Thus it remains to prove the existence of j ^ when X is an infinite signed measure. Below we prove the existence of ^ first for the case that p. is a finite positive measure and X is an infinite signed measure and then for the case that p. is a cr-finite positive measure and X is an infinite signed measure. 1. Consider the case that ^ is a finite positive measure and X is an infinite signed measure on (X, 21). Since X is an infinite signed measure on (X, 21), either there exists E e 21 such that X(E) = oo or there exists E e 21 such that X(E) = — oo. In the former case we have X(X) = oo and in the latter case we have X(X) = — oo by Lemma 10.5. Let us start with the case A.(X) = oo. By Theorem 10.21 (Jordan decomposition), there exist two positive measures v and 1/ on (X, 21), at least one of which is finite, such that X — v — v'. Since A.(X) = oo, v' is a finite positive measure and v(X) = oo. Now X <$; /i implies v -C \x and v' <C p by (a) of Observation 11.11. Applying Lemma 11.15 to the finite positive measure J /x and the infinite positive measure v, we have a decomposition of X into a disjoint sequence (X„ : n e 1+) in 21 with | J „ e Z X„ = X such that 1° v(X„) < oo for n e N,

§11 Absolute Continuity of a Measure

235

2° for every A e 21 n XQ, we have either n(A) = v(A) = 0 or (M(A) > 0 and v(A) = oo. For each n € N, on the measurable space (Xn, 21D Xn) we have /j,(Xn) < oo, v(Xn) < oo and v <g; /x. Then by Theorem 11.14, the Radon-Nikodym derivative of v with respect to /x exists, that is, there exists a nonnegative extended real-valued 21 n X„-measurable function /„ on Xn such that v(E) = I f„dn
JE

for E e 21 n X„.

Let /o = oo on Xo. Then by 2° we have v(£) = / f0dn for£e2lnX0.

Let us define a nonnegative extended real-valued 2C-measurable function g on X by setting £(*) = /«(*) f°r* € X„,n € Z+. Then for any E G 21 we have HE)

. J^ v(E n Xn) = J2 f
=
J

fndpi
gdfi.

gdn= U„ez+(Enxn) JE

This shows that g is the Radon-Nikodym derivative of v with respect to fi. Since v' is a finite measure and v' <^ fi, the Radon-Nikodym derivative of t/ with respect to /it exists by Theorem 11.14, that is, there exists a nonnegative extended real-valued 21measurable function h on X such that

AE)=f

h dfj, for E e 21.

Note that since v'(X) < oo, h is finite /x-a.e. on X. Then g — h is defined ytt-a.e. on X. Now for every E e 21, we have HE) = v(E)-v'(E)= f gdpiJE

f hd^=
J E J E

f[g-h]dii.

Thus g—his the Radon-Nikodym derivative of X with respect to ix. This proves the existence of JJI for the case that pi is a finite positive measure and A is an infinite signed measure with X(X) = oo. If A. is an infinite signed measure with X(X) = —oo, then — is an infinite signed A measure with (-A)(X) = oo. Thus by our result above, the Radon-Nikodym derivative of — with respect to /x exists, that is, there exists an extended real-valued 2l-measurable A function g on X such that (-A)(£) = fEgdfj. for E e 21. Then for every E e 21 we have fE -gd[L = - JEgdijL — -(-X)(E) = X(E). Thus —g is the Radon-Nikodym derivative of A with respect to \JL. 2. Now let / A be a a-finite positive measure and A be an infinite signed measure on L (X, 21). Now cr-finiteness of p. implies that there exists a disjoint sequence (Yn : n e N) in

236

CHAPTER 2 The Lebesgue Integral

21 such that IJneN Y„ = X and xx(7„) < oo for n e N. For each n € N, x is afinitepositive x measure and A is a signed measure on the measurable space (Yn, 21 n K„) and A < fi- If . . A is afinitesigned measure on (Y„, 21 n F„) then the Radon-Nikodym derivative of A with respect to x exists by Theorem 11.14 and if A is an infinite signed measure on (F„, 21D Yn) x then the Radon-Nikodym derivative of A with respect to /x exists as we showed in 1 above. Denote the Radon-Nikodym derivative of A with respect to /x on (Yn, 21 n Yn) by /„. Let us define an extended real-valued 2l-measurable function / on X by setting f(x) = f„(x) for x e y„ for n € N. Then for any E € 21 we have

neN

neW

JEnY

"

=
J

fdfi=
UneN(EnYn)
J

I
E

fdfi.

This shows that / is the Radon-Nikodym derivative of A with respect to /x. I Remark 11.17. Let /ix be a positive measure and A be a signed measure on a measurable space (X, 21) such that A <£ /x. Without the assumption that /x is cr-finite the Radon-Nikodym derivative | ^ m a v n o t ex'st:- See the following example. Example. Consider a measurable space (X, 21) where 21 = {0, X}. The only extended realvalued 2l-measurable functions on X are the constant functions on X, that is, f(x) = y for JC e X where y € R. Let /x and A be two measures on (X, 21) defined by setting: ii(0) = 0, /i(X) = oo, A(0) = 0, and A(Z) = 1. The measure [i is not cr-finite. The only null set in (X, 21, ti) is 0 and we have A(0) = 0. Thus A <& /x. Now if / is an extended real-valued 2l-measurable function on X then / = y for some y 6 R. Then fx f dn = fxy dpi = yn(X) = y • oo ^ 1 = A(X). Thus / is not a Radon-Nikodym derivative of A with respect to it. This shows that no extended real-valued 2l-measurable function on X can be a Radon-Nikodym derivative of A with respect to /x and therefore ^ does not exist.

[Ill] Properties of the Radon-Nikodym Derivative
Let ix be a positive measure and A be a signed measure on a measurable space {X, 2(). According to Definition 11.1, a Radon-Nikodym derivative of A with respect to /x, if it exists, is an extended real-valued 2l-measurable function £ o n X such that k(E) = fg^kdii for every E € 21. Let us list first the more immediate properties of a Radon-Nikodym deivative. Observation 11.18. Let ii be a positive measure and A be a signed measure on (X, 2(). (a) If A < x and if tx is c-finite, then | £ exists. x (b) If ^- exists and if \i is cr-finite, then j ^ is unique up to null sets of /x. (c) If 0 exists, then A <£ /x.

§11 Absolute Continuity of a Measure

237

Proof, (a) is by Theorem 11.16. (b) is by Proposition 11.2. Let us prove (c). Now if 0 exists, then we have A(£) = fE^dfj, for every E e 21. Then for every E e 21 such that H(E) = 0 we have X(E) = 0. This shows that A < /x. I Observation 11.19. Let /x be a positive measure and A be a signed measure on a measurable space (X, 21). Suppose the Radon-Nikodym derivative ^ of A with respect to /x exists. (a) ^ is /x semi-integrable on X. (b) If A is a positive measure, then ~^- > 0 /x-a.e. on X. (c) If A is a finite signed measure, then Q ' s M-integrable on X. (d) If A is a CT-finite signed measure, then j± is real-valued /x-a.e. on X. (e) If A is a a-finite signed measure, then ^ has a version which is real-valued on X. Proof. 1. By Definition 11.1 we have jxj^d\x = A(X) e R. Thus f^ is /x semi-integrable onX. 2. Suppose A is a positive measure. Then we have fEjr;dp = X(E) > 0 for every E € 21. Thus by Lemma 9.3, we have # > 0, /x-a.e. 0 n X. 3. Suppose A is a finite signed measure. Then fx j ^ dp = A(X) e R. This shows that | i is /x-integrable on X. 4. Suppose A is a cr-finite signed measure. This implies that there exists a disjoint sequence (£„ : n e N) in 21 such that ( J n e N E„ = X and A(£:„) € R for n e N. Then IE„ % d^ = ^ n ) e R > t n a t is> % i s M-integrable on £„. This implies that ^ is realvalued /x-a.e. on £„ by (f) of Observation 9.2. Since this holds for every n e N and since a countable union of null sets is a null set, % is real-valued /x-a.e. on X. • 5. If A is a cr-finite measure, then T ^ is real-valued /x-a.e. on X by (d). Let EQ be the null set in (X, 21, /x) on which jfe assumes the values oo and —oo. Let us define a function on X by setting 4£(x) g(x) ' 0 forxeX\£0, forx e EQ.

Then g is a real-valued 2l-measurable function on X and j ^ - = g, /x-a.e. on X so that g is a Radon-Nikodym derivative of A with respect to p by (a) of Proposition 11.2. • Thus in the theorems to follow we assume the cr-finiteness of /x to ensure the uniqueness of jr up to null sets in (X, 21, /x) and we assume the cr-finiteness of A to ensure that j ^ is real-valued /x-a.e. on X and has a real-valued version on X. Lemma 11.20. Let p be a a-finite positive measure andX be a a-finite signed measure on a measurable space (X, 21) and let X = X+ — X~ be the Jordan decomposition ofX. Suppose the Radon-Nikodym derivative Q ofk with respect to p. exists. (a) The Radon-Nikodym derivatives of X+ and X~ with respect to p, ^— and ^j- exist.

238

CHAPTER 2 The Lebesgue Integral

Furthermore, with an arbitrary Hahn decomposition [A, B) of(X, 21, A), we have
dx+ dfx

1A

dX ' dfi

p-a.e. on X, p-a.e. on X.

(1)

dX~ djx

lfl • # Bdji

dX~\ „„j [dXl(b) For the positive and negative parts [ j ^ ] + and [ j p ] of the Junction jjr-, we have dA+

(2)

^ • = [3?]
dfi

M-**™*,

[ij]

^ae-

°nx-

Proof. 1. With an arbitrary Hahn decomposition {A, B] of (X, 21, A.), the positive part A+ and the negative part X~ of X are given, according to Theorem 10.21, by X+(E) = A(£ n A) and A~(£) = -X(E D S) for every £ 6 21. Now if $L exists, then since A is a a-finite signed measure, jfe is real-valued yit-a.e. on X
dX by (d) of Observation 11.19. Thus 1A • f£ and l s • ^ are defined ju,-a.e. on X. Therefore for every E e 21, we have

, X+(E) =X(EDA)= and similarly

f
^EOA

dX f dX — dp = / 1A d£<. dp, JE dp

X~(E) = - A ( £ T l f l ) = - I
IEHB

dX
dp

dp = — I
JE

1B

dX —dp. dp

This shows that 1A • jr and —1B • % are Radon-Nikodym derivatives of X+ and AT with respect to p. Since p is a a -finite positive measure, 4jj is unique up to null sets in (X, 21, p) by (b) of Proposition 11.2. Thus (1) holds. 2. Let A' = {x € X : (|£)(x) > 0} and S' = [x e X : (^)(x) < 0} so that

(3)

[ m+=I*
i£T d\i\

dX,

d[i d/i

p-a.c. on X, K-a.e.onI.

= -1B>-£ ~ *"

0, and A' U B' = X. Let us show that {A', B'} is a Hahn Now A', 5 ' g 2t, A' n B' 3 decomposition of (X, 21, A). For this, we show that A' is a positive set and B' is a negative set for X. Now for every 2l-measurable subset E of A', we have A(is) = fE Q dp > 0 since 4^ > 0 on E C A'. Thus A' is a positive set for X. Likewise B' is a negative set for A. Thus {A', B'} is a Hahn decomposition of (X, 21, A). Then by (a) and (3), we have

' % = 1* -t = [§]+
I % =- U " t < t T

M-«- on X,
M-a.e.onX.

§ 11 Absolute Continuity of a Measure This completes the proof. •

239

Theorem 11.21. Let pbea a-finite positive measure and X be a a-finite signed measure on a measurable space (X, 21). Suppose the Radon-Nikodym derivative jjjofX with respect to JX exists. Then for every extended real-valued ^H-measurable function f on X, we have

Jx

f fdX= [

Jx

f-^dn,
dp.

in the sense that the existence of one side implies that of the other and the equality. Proof. 1. Consider first the case that A is a a -finite positive measure. Let f = \E where . E e 21. Since X is a-finite, ^p- is real-valued /^.-a.e. on X by (d) of Observation 11.19. Thus ljj • 4^ is defined ^,-a.e. on X. Then we have

/ fdX= Jx

I lEdX = X(E)= I —dfj, Jx JE dfi = / \E-—dfi= Jx dfi \ Jx f--—dfi. dp.

If / is a nonnegative simple function, then by the result above and by the linearity of the integral, we have JxfdX = fxf-^ dp,. If / is a nonnegative extended real-valued 21measurable function on X, then according to Lemma 8.6, there exists an increasing sequence of nonnegative simple functions (<p„ : n € N) such that <p„ t / on X. By our result above, we have for every n e N (1) / <pndX= I <pn- — dp. Jx Jx dp

Now since X is a positive measure, we have 4J- > 0, /x-a.e. on X by (b) of Observation 11.19. Thenip,, f / on X implies that ipn • j ^ f / - 4 ^ , / z - a . e . on X. Thus by the Monotone Convergence Theorem (Theorem 8.5), we have (2) f dX hm / <pn- —dp ^°°Jx dp f = Jx dX dX^ f.—dp. dp

n

Also by the Monotone Convergence Theorem, we have (3) lim / <pndX= I I <p„dk= Jx «^°° Jx fdX.

Letting n - • oo in (1), we have Jx f dX = fx f • ~=- dp, by (2) and (3). If / is an extended real-valued 2l-measurable function on X, let us write f = f+ — f~. We have fx f+ dX = fx f+ • ^ dp and fx f~ dX = fx f~ • 4J dp, by our result above for nonnegative functions. Thus if one of the two differences fx f+ dX — fx f~ dX and fx f+ ' JZ,dp — fx f~ • jk dp exists in R, then so does the other and the two are equal,

thztis, fxfdX

=

fxf-$dp.

240

CHAPTER 2 The Lebesgue Integral

2. Consider the case that X is a er-finite signed measure. Let X = X+ — X be the Jordan decomposition of X. Then X+ and X~ are cr-finite positive measures. The existence of j £ implies that [^]+ and [y£]~ are the Radon-Nikodym derivatives of X+ and X~ with respect to p according to Lemma 11.20. Since X+ and X~ are positive measures, by our result in 1, we have for every extended real-valued 2l-measurable function / on X Jx Jx dp Jx Id pi in the sense that the existence of one side implies that of the other and the equality of the two, and similarly Jx

f fdX~= [ f.^-dp
Jx dp

=(

Jx

id pi

f\^-\dp.
- fx f • [^]~dp

If one of Ae differences fx f dX+ - fxfdX~

and fx f • [g]+dp

exists in R, then so does the other and moreover the two differences are equal, that is,

fxfM

= fx/•%<*»•

Theorem 11.22. (a) Let p be a a-finite positive measure and X be a signed measure on a measurable space (X, 21). If % exists, then for every c € R, c ^ 0, ^^- exists and furthermore
d c m

(V

dx

= c • — p-a.e. on X. dp dp, (b) Let p be a a-finite positive measure and let X\ and X2 be two a-finite signed measures on a measurable space (X, 21) such that X\ + X2 is defined. Ifj and ^r1 exist, then so does \+ 2' and furthermore d(X\ + X2) dX\ dX2 (2) = — h —— p-a.e. on X. dp dpi, dp Proof. 1. To prove (a), note that if 4^ exists then for c e R, c ^ 0, and E e 21 we have
JE

(1)

f dX I c—dp dp

f dX = c I — dp = cX(E) = (cX)(E). JE dp

Thus c • Q is a Radon-Nikodym derivative of cX with respect to p. The cr-finiteness of p implies the uniqueness of a Radon-Nikodym derivative with respect to p up to null sets in (X, 21, p) by (b) of Proposition 11.2. Thus ^ = c • 4£, p-z.z. on X. 2. To prove (b), note first that if -j± and -j£ exist then the cr-finiteness of X\ and X2 implies that ^ and ^ 2 are real-valued p-a.e. on X according to (d) of Observation 11.19 and thus ^p- + -jfc is defined p-a.e,. on X. Now for every E e 21, we have JE [dp

[ \P + ^\dp=
dp) =

JE dp

f ^-dp+

JE

[ ^dp^X^
dp

+ X^E)

(Xl+X2)(E).

§11 Absolute Continuity of a Measure

241

Thus Y1 + ^j2- is a Radon-Nikodym derivative of X\ + Xi with respect to p.. The a -fmiteness of \i implies the uniqueness of a Radon-Nikodym derivative with respect to M up to null sets in (X, 21, (i) by (b) of Proposition 11.2. Thus ^ 0 ^ = f* + !j*, M-a.e. on X. I Theorem 11.23. (Chain Rule for Radon-Nikodym Derivatives) Let MI and M2 be two afinite positive measures and Xbea a-finite signed measure on a measurable space (X, 21). If^1 and 4^- exist, then 4£- exists and
•> d\i\ dfj.2 diii

dX dX d\i2 = • pi-a.e. on X. d[i\ dp.i dfi\ Proof. Since M2 isa-finite, fn^ has a real- valued version on X by (d) of Proposition 11.19. Similarly since X is <r-finite, j ^ has a real-valued version on X. Thus the product ^ • ^ is defined on X. Let E e 21. Applying Theorem 11.21 to the real-valued 2l-measurable function l g • j£-, we have f dX JE dfi2 dp2 "Mi
J

f , Jx

dX

dp,2

J

f , Jx

dX «M2

d\i,2 dfi\

f dX = / — dp2 = X(E). This shows that j ^ - • ^
dl _ dX_ djX2

is a Radon-Nikodym derivative of X with respect to MI- The
v

cr-finiteness of MI implies the uniqueness of j ^ - by (b) of Proposition 11.2. Thus we have
_

Definition 11.24. Let p\ and M2 be two positive measures on a measurable space {X, 21). We say that MI and M2 are equivalent and write \i\ ~ M2 if Pi < M2 and M2 <C Ml • K S If MI ~ M2, then a set E e 21 is a null set for MI if and only if it is a null set for M2Thus 'Mi-a.e. on X' and 'M2-a.e. on X' are equivalent, that is, a statement is valid Mi-a.e. on X if and only if it is valid ju,2-a.e. on X. Observation 11.25. If MI and M2 are two er-finite positive measures on a measurable space (X,2t) and if Mi ~ M2> then ^ and ^ exist by Theorem 11.13. Moreover $±L is unique up to null sets in (X, 21, M2) and j ^ - is unique up to null sets in (X, 21, MI) by (b) of Proposition 11.2. Furthermore -^ is real-valued M2-a.e. on X and ^ is real-valued Mi-a.e. on X by (d) of Observation 11.19 so that j ^ - • j ^ is defined M2-a.e. on X and fi\-a.e. on X. We show next that -J^- • ffi = 1, ^2-a.e. on X and Mi-ae. on X. Corollary 11.26. Let p\ and M2 be two a-finite positive measures on a measurable space (X, 21). Iffff and fj± both exist, then MI ~ M2 and f^ • fr- = 1. p.\-a.e. on X and p,2-a.e. on X.

242

CHAPTER 2 The Lebesgue Integral

Proof. The existence of -ffi implies that /J.2 <C A and the existence of j ^ - implies that S M M-i <K M2. Thus AM ~ A<-2- In particular a statement is valid AM-a.e. on X if and only if it is valid ^2-a.e. on X. Apply Theorem 11.23 with A := AM • Then the existence of f^ and f^™Plies ^ = fa • ffi, AM-a.e. on X. But ^ AM-a.e. on X. • = 1, W - a . e . on X. Thus ^ •' ^ = L

According to the Jordan decomposition theorem (Theorem 10.21), every signed measure A on a measurable space (X, 21) can be decomposed as X = X+ — X~ where X+ and X~ are two mutually singular positive measures on (X, 21). The total variation measure of X is defined by \X\ = X+ + X~~. Now let AM and A<-2 be two a -finite positive measures on (X, 21) at least one of which is finite. Then v := AM — /Z2 is a a-finite signed measure on (X, 21). For the total variation measure | v | of v we have the following estimate. Theorem 11.27. Let A and /Z2 be two a -finite measures on a measurable space (X, 21) M one of which is finite. Let v = AM — A<-2- Then for the total variation | v | of the a-finite signed measure v on (X, 21), we have \v\ < A + ^2, that is, \v\(E) < fJ-i(E) + IJ-2{E) M for every E € 21. Proof. Since at least one of AM and ^2 is a finite measure on (X, 21), u = A — A<.2 is defined M and is a signed measure on (X, 21) by Proposition 10.4. The cr-finiteness of v follows from that of AM and \i2 by Observation 10.30. Let X = AM + /u.2. a cr-finite measure on (X, 21). Then for every E 6 21 such that A.(£) = 0, we have fii(E) = 0 and 112(E) = 0 and then v(£) = 0 also. Thus A « A., /Z2 <C A and v « : A on (X, 21). By Theorem 11.14, the M s Radon-Nikodym derivatives ^ , ^ and <fe exist. By (d) of Observation 11.19, ^ , ^ , and JX are all real-valued A.-a.e. on X. Now for every E e 21, we have

^) = ^E)-,2(E) = j^dX-jEd-^dX

=

jE\^--d2]dX.

This shows that { ^ —^j 2 } is a Radon-Nikodym derivative of u with respect to k. Thus by the uniqueness of Radon-Nikodym derivative ((b) of Proposition 11.2), we have
n\
d v d)J 1

-

dfXl

1

iv

<m\

— = A.-a.e. on (X, 21). dX dX dX LetA = [x e X : ^ ( x ) > 0} and 5 = {x e X : ^f(x) < 0 } . Then A, .8 e 21, A H 5 = 0 and A U 5 = X. Let us define two measures vi and \>2 on (X, 21) by setting for every E e 21 (2) vi(£)= f
JE

(1)

U-^dX aX

and (3)

^)=/£iB-f-£k

§11 Absolute Continuity of a Measure

243

Let us show that the pair {vi, v2] is a Jordan decomposition of the signed measure v. Now for every E e 21, we have v1(E)-v2(E) f dv f = / U-— dk + I JE dk JE dv 1B—dk dk

= v(E CI A) + v(E n B) = v(E). This shows that v = v\ — v2. Let us show v\ J. v2 on (X, 2t). Now vx{B)= f ^ dv \A—dk= JB dk f JAnB dv f dv , —dk=—dk dk Je dk = 0

so that B is a null set for the measure vi. Similarly A is a null set for the measure v2. Thus v\ _L V2 by Definition 10.16. This proves that {vi, V2) is a Jordan decomposition of v. The total variation | v | of v is given by \v\ = v\ + vi. Thus for every E e 21, we have | v | ( £ ) = vi(E) + v2(E). Recalling (2) and (3), we have . . f ^ dv f 1 dv 1 f \dv\

(4)

MW = jE^-Tk

dx

+

}E

lB

A-^\

dx

= JM\dxand ^ .

By (1) we have | ^ | = | ^ r - ^ | Substituting this in (4), we have

< TT+ ^

by the nonnegativity of ^

\v\(E)< J ^
This completes the proof. I

+ d^}dk = tM(E) + ME).

Problems
Prob. 11.1. Consider the Lebesgue measure space (R, 9JtL, Mz.)- Let v be the counting measure on £DTL, that is, vis defined by setting v (E) to be equal to the number of elements in E G 27lL if E is a finite set and v(E) = 00 if E is an infinite set. (a) Show that \xL <C v but -^- does not exist. (b) Show that v does not have a Lebesgue decomposition with respect to [iL. Prob. 11.2. Let /x and v be two positive measures on a measurable space (X, 21). (a) Show that if for every e > 0 there exists S > 0 such that v(E) < s for every E e 21 with fi(E) < S, then v <C HS (b) Show that if v is a finite positive measure, then the converse of (a) holds. (c) Show that (a) is still valid if v is replaced by a signed measure k, and that (b) is still valid if v is replaced by a finite signed measure k. Prob. 11.3. Let \x and v be two positive measures on a measurable space (X, 21). Suppose dv/dfi exists so that v <g /x. (a) Show that if jfo > 0, /x-a.e. on X, then fi <§; v and thus ^ ~ v.

244 (b) Show that if ^

CHAPTER 2 The Lebesgue Integral > 0, /x-a.e. on X and if /x and v are a -finite, then 4f± exists and

ft = ( & ) " V a n d v - a . e . o n X . Prob. 11.4. Let (X, 21, it) be a measure space. Assume that there exists a (0, oo)-valued 2l-measurable function / on X satisfying the condition that [x{x e X : f(x) < n} < oo for every n e N. (a) Show that the existence of such a function / implies that fi is aCT-finitemeasure. (b) Define a positive measure v on 21 by setting v(E) = fE fdfi for £ e 21. Show that v is a ff-finite measure. (c) Show that -^ exists and ^ = 1 / / , \x- and u-a.e. on X. Prob. 11.5. Let (X, 21, X) be a measure space. Let / and g be extended real-valued 21measurable functions on X such that / ^ / dX and / x g dX exist. Define two signed measures At and v on (X, 21) by /u,(£) = fE f dX and v(£) = fEgdX for £ € 21 so that ^ = / and 5x = g, A.-a.e. on X and fx <§; A and K < i . Let 9 ^ and 9t„ be the collections of the null sets with respect to [x and v respectively. Let Nf = {x 6 X : / ( J C ) = 0} and JVg = M I : g(x) = 0}. (a) Find a necessary and sufficient condition on / for yu, to be cr-finite. (b) Find a necessary and sufficient condition for E e 21 to be in 9t M in terms of Nf. (c) Find a necessary and sufficient condition for v <g /x m terms of N / and ./Vg. (d) Let X and /i. be cr-finite measures and v be a er-finite signed measure. Assume that v <g /LA. Find j ^ - in terms of / and g. (e) Find a necessary and sufficient condition for JX ~ v in terms of Nf and A^. (f) Find a necessary and sufficient condition for /J, _L v in terms of N / and Ng. (g) Assume that fj, and i are cr-finite signed measures so that the Lebesgue decomposition > v = va + vs exists where va <g /x and vs J_ /u,. Find va and u^. Prob. 11.6. Given a measurable space (X, 21). For A € 21, let us write 21 n A for the cr-algebra of subsets of A consisting of subsets of A of the type EDA where E e 21. Let ix and v beCT-finitepositive measures on (X, 21). Show that there exist A, B e 21 such that A n fi = 0, A U B = X, /x ~ v on (A, 21 n A) and //. ± v on (B, 2t n 6 ) . (Hint: Note that if we define X = JX + v, then / i « A and v <C A. also.) J Prob. 11.7. (A variant of the Lebesgue Decomposition Theorem) Let /x and v be a -finite positive measures on a measurable space (X,2l). Show that there exists a nonnegative extended real-valued 2l-measurable function (p on X and a set AQ 6 21 with yu,(Ao) = 0 such that v (E) = fE <p d\x + v(E n AQ) for every £ € 21.

Chapter 3 Differentiation and Integration
§12 Monotone Functions and Functions of Bounded Variation
[I] The Derivative
To define the right-derivative and the left-derivative of an extended real-valued function defined on an interval in R let us review the definition of the right limit and the left limit of a function. Let / be an extended real-valued function on (a, b). 1. If there exists a € R such that for every e > 0 there exists 8 > 0 such that \f(x)—a\ < e for x € (a,a + 8) then we say that a is the right limit of / as x i a, that is, as x tends to a from the right, and write lim f(x) = a. If for every M > 0 there exists 8 > 0 such that f(x) > M for x e (a, a + 8) then we say that oo is the right hand limit of / as x 4- a and write lim f(x) = oo.
x\,a

If for every M > 0 there exists 5 > 0 such that f(x) < — M for x e (a, a + 8) then we say that - c o is the right hand limit of / as x I a and write lim f(x) — —oo.
x\.a

2. If lirflxia /(•*) exists in R, then for every sequence (xn : n e N) in (a, b) such that lim xn = a we have lim f(x„) = l i m / ( x ) .
n->oo n-voo
xi,a

Conversely if for every sequence (xn : n e N) in (a, b) such that lim xn = a the limit
n~>oo

lim f(xn)
n->oo

exists in R then the limit is the same for all such sequences (xn : n e N) in f(x„).
x\.a x\.a n-*oo

{a, b) and moreover l i m / ( x ) exists and l i m / ( x ) = lim

3. The left limit of / as x \ b, that is, as x tends to b from the left, is defined likewise. Thus for instance l i m / ( x ) = /3 € R if for every e > 0 there exists 8 > 0 such that
xfb

\f(x)-P\

<sforx

e

(b-8,b).
245

246

Chapter 3 Differentiation and Integration

4. Let / be an extended real-valued function on [a, b]. Let x e [a, b) and f(x) e R. We define the right-derivative of / at x as follows. Let S > 0 be so small that x + S < b. Define a function g on (0, < ) by setting 5 +h)- J f{x) — - ^ - for h e (0, S). h The right-derivative of / at x is defined by
g(h)

=

f(x J

(Drf)(x) = \img(h),
n\0

provided the limit exists in R. Definition 12.1. Let f be an extended real-valued function on [a, b].

(a) Ifx e [a, b), f(x) € R, and rn fw ^ r / ( * + V (Drf){x) := hm f(x)

HO h exists in R, then we call (Dr f)(x) the right-derivative of f at x and say that f is right semi-differentiable atx. We say that f is right-differentiable at x only if(Drf)(x) e R. (b) Ifx e (a, b], f(x) e R, and
x ft rr> rw (Dtf)(x) ^ := i- H + > ~ / W hm

AfO

h

exists in R, then we call (Dif)(x) the left-derivative of f at x and say that f is left semi-differentiable at x. We say that f is left-differentiable at x only if (D(f)(x) £ R. (c) Ifx e (a, b), f(x) e R, and both (Def)(x) and (Drf)(x) exist in R and are equal, we let (Df)(x), or as an alternate notation fix), be the common value. Thus

/ 00 = (Df)(x) = hm
ft-*0 n

.

We call f'(x) the derivative of f at x and say that f is semi-differentiable at x. We say that f is differentiable at x only when f'(x) e R. (d) Let us agree to say that f exists on [a, b] if Drf exists on [a, b), Dtf exists on (a, b], and Dtf = Drf on (a, b). If a real-valued function / on (a, b) is differentiable at some x s (a,b), then / is continuous at x. The converse is false. In fact there exists a continuous function on R which is not differentiable at any x e R. To show such an example, let us prove a necessary condition for differentiability. Proposition 12.2. Let f be a real-valued function on (a, b). Suppose f is differentiable at some x e (a,b). Then for any two sequences (a„ : n e N) and (bn : n e N) such that an \ x and bn 4- x as n —• oo, we have >

hm
n->oo bn — an

= / 00-

§12 Monotonicity and Bounded Variation

247

Proof. For n e N, let k„ = (b„ - x)/(b„ - a„). Then we have k„ e [0,1] and 1 - kn = (x - an)/(b„ - a„). Now (1) and
(2)

/'(*) = *„/'(*) + ( 1 -

W O O

f(bn) - f(an) b„ - an

=

f(bn) - fix) bn- an , fibn)-fix)
;

+

fix)

- f(an) bn - a„ , J{x)-f(an)
.

— r-n

r 1,1 — A n ;

, „

Subtracting (1) from (2), we have fjbn) - fian) bn -a„ where f'ix) = knAn + il-k„)Bn,

. fibn) - fix) .,. . , B fix) - fjan) .,. . An = / ix) and B„ = fix). bn — x x — an By the differentiability of / at x, we have lim An = 0 and lim Bn = 0. Then since
n—>oo n—*-oo

(A.n : « G N) and (1 — A.„ : n e N) are bounded sequences of real numbers, we have lim knAn = 0 and lim (1 — k„)Bn = 0. Therefore we have
n—»oo n—>oo

"-* 00 This completes the proof.

lim(/^WM_rw
bnan

= 0.

Example. (A Continuous Nowhere Differentiable Function on R) Let ip be a real-valued function on R defined by setting (fix) = |x|forx € [—1, 1] and then setting <p(x+2) = <p(x) for* e R. Define a sequence i<pn : n € N) of functions on R by setting <p„ix) = <p(4"x) forx e R a n d n e N . Let / W = E
neZ+

(!)>«(^)

forxeR.

Then / is continuous at every x e R and not differentiable at any x e R. Proof. The function <p is continuous and periodic with period 2 and \cp\ < 1 on R. The series of functions in the definition of / converges uniformly on R by the Weierstrass Test in Calculus and thus / is a continuous function on R. Let us show that / is not differentiable at an arbitrary x € R. For a fixed m eZ+, there exists k eZ such that k <4mx Let am=4-mk and bm=4-mik+l). <k+l.

248

Chapter 3 Differentiation and Integration

Consider 4nam and 4"bm for n € Z+. For n > m, we have 4"i m - 4"a m = 4"4~ m which is an even integer so that \(p(4nbm) - cp(4nam)\ = 0 by the fact that cp is periodic with period 2. Next if n = m, then 4nam and 4"bm are integers and 4nbm - 4nam = 1 so that \<P(4nbm) - <p(4"am)\ = 1. Finally if n < m, then 4nam and 4nbm are not integers and furthermore no integers lie between them so that by the definition of q> and by the fact that 4nbm - 4nam = 4"" m , we have \<p(4"bm) - <p(4nam)\ = 4"-m. Summarizing these results, we have \<Pn(bm) - iPn(am)\ = \v>(4nbm) - <p(4nam)\ = Thus we have I f(bm) - f(am) | _ I y ^ /3\"<?„(frm) -<pn(Am)\ _ I y ^ /3\"<p„(fcm) -<Pn(am)\ ' bm-am I I fr' \ 4 / bm-am I I^ W bm - am \ Applying the inequality ||a| — | / j | | < |a — /i| for a, fi e R, we have \f{bm)f(am)\
>

0 4"m

for n > m, for n<m.

I

bm-am

I

_

(^V"^"1^"1"1 ~ (Pm(flm)\

_ \ ^ /3\"|y"(^m)-yn(am)|

\4/ I
o ™ i

bm-am
m —1
0 1

I ^ \4/ I

& m - am
m —I

I

= ()^-S()"^-" = "-E3"
n=0
n=0

3

= 3 Thus we have lim \f(bm)

m

- > —. 2 2 — f{am)\/\bm — am\ = oo. Since am \ x and 2>m 4- •* as

m -> oo, this implies that / is not differentiable at x by Proposition 12.2. • If / is a differentiable function on [a, b], then the real-valued function / ' need not be continuous on [a, b]. (For example, the function f(x) = x2 sin 1/x for x € [—1,1] \ {0} and / ( 0 ) = 0 is differentiable on [—1, 1] but / ' is discontinuous at x = 0.) Nevertheless / ' , like a continuous function, has the intermediate value property. Theorem 12.3. (Intermediate Value Theorem for Derivatives) Let f be a real-valued function on [a, b]. If f is differentiable on [a, b] and if f'(x\) ^ f'(x2) for some x\,X2 € [a, b], x\ < X2, then for every e e l between f'(x\) and f'ixi) there exists XQ e (xi, xi) such that /'(xn) = c. Proof. Let us assume f'(x\) < f'(x2)- Let g(x) = f(x) — ex for x e [a,b]. Then g is a real-valued continuous function on [a,b] and in particular on [*i,X2] so that it assumes a minimum on [JCI, xi\ at some point in \x\, X2], that is, there exists XQ e [x\, X2] such that g(xo) < g(x) forx e [x\,X2]- Let us show that actually XQ € (xi,xi). Now Since g'(x) = f{x) - c so that g'(xi) < 0 < g'(x2). ,, , / r , w N r S(x\ + g'(xi) = (A-gXxi) = im
/i|0

h)-gOci)
n

< 0,

§12 Monotonicity and Bounded Variation

249

there exists < > 0 such that g{x\ + h) - g{x\) < 0 for h e (0, S). Thus there exists 5 § € (JCI, X2) such that g(£) - g(xi) < 0, that is, g(§) < g(xi). Thus xo ^ xi. Similarly g'(x 2 ) = (Deg)(x2) = hm
/ifO h

= hm
A4.0 ft

> 0

so that there exists S > 0 such that g(x2) — g(x2 — h) > 0 for h e (0, 5). Then there exists £ € (x\, X2) such that g(x2> — g(£) > 0, that is, g(xi) > g(^). This shows that xo ¥= x2Thereforexo e (xi,x2). Then since g is differentiable at xo and since g assumes a minimum at xo, we have g'(xo) = 0. Then /'(xo) = c. • Example. If we define a real-valued function / on [—1, 1] by setting / ( x ) = 0 for x € [—1, 0) and / ( x ) = 1 for x € [0,1], then / does not have the intermediate value property so that by Theorem 12.3, / is not the derivative of any function on [—1, 1]. Regarding the measurability of the derivatives of a measurable function, we have the following Proposition 12.4. Let f be a real-valued 9JlL-measurable function on [a, b]. Let E be a 9JtL-measurable subset of [a, b]. If Drf exists on E, then Drf is a VOlL-measurable function on E. The same holds for Dif and f. Proof. Let us extend the definition of / to R by setting / = 0 on R \ [a, b]. Let us define a sequence of real-valued function on R by setting g«(x) = n {/ (x + i ) — / ( x ) } for x € R. The 97lL-measurability of / on R implies that of g„ by Theorem 9.31 (Translation Invariance). Let De = {R : lim g„ exists in R}. By Theorem 4.23, De e OJZ, and
1

n->oo

'

L

lim gn is 2Jt, -measurable on De. Now if (Dr f)(x) exists for some x € [a, b), then
n->oo

( D r / ) ( x ) = hm

A4.0

n

= hm

n->oo

Sf
i n

= lim

n—KX)

gn(x).

Thus if Drf exists on a VJtL-measurable subset E of [a, b), then E C De and moreover D r / = lim gn on £ so that Drf is 9Jt, -measurable on E. •
«—*-oo

We shall show in §13 that if / is an absolutely continuous function on [a, b] then / ' exists a.e. on [a, b] and f[a fc] / ' d\xL = f(b)- f(a). We shall show also that if / is a realvalued function on [a, b] and /'exists and is finite every where on [a, b] andis/^-integrable on [a, b], then j [ a M / ' d\x,L = f(b) - f(a). To define the Dini derivates let us review the definition of the right limit inferior, the right limit superior, the left limit inferior, and the left limit superior of an extended real-valued function defined on an interval in R. Let / be an extended real-valued function on (a, b). 1. The right limit inferior and the right limit superior of / as x 4 a are defined by liminf f(x) = lim inf
xia ,54.0 (a,a+8)

f(x)

250 and

Chapter 3 Differentiation and Integration

lim sup f(x) = lim sup
xia
s

fix). fix) exists in R. Similarly
x a

±° (a,a+S)

Let us note that sup f(x)
(a,a+5) xia xia

inf
(a,a+S)

f(x) increases as 8 4. 0 so that lim inf
810 (a,a+S) HO (a,a+S) xia x\a xia

decreases as 8 I 0 so that lim sup f(x)

exists in R. Thus liminf/(x)
^ xia

and l i m i n f / ( x ) always exist. Moreover l i m / ( x ) exists if and only if l i m i n f / ( x ) = lim inf f(x) and when this is the case we have lim f(x) — lim inf f(x) = lim inf
xia

fix).

2. There exists a decreasing sequence (xn : n e N) in (a, b) such that xn i a and lim f(xn) = liminf f(x). Similarly there exists a decreasing sequence (xn : n £ N) in
n-^-oo xia

(a, b) such that xn I a and lim f(xn)
"^°°

= lim sup f(x).
xia xia _

( Let us prove the first of the two statements for instance. Let y = liminf f(x) is, y = lim inf
HO (a,a+S)

e R, that

/ ( x ) . Since

inf
(a,a+S)

f(x) increases as S 4, 0, for an arbitrary sequence

(S/c : k e N) of positive numbers such that 8k 4- 0 we have lim inf fix) inf
(a,a+Sk)

= lim inf
SiO (a,a+S)

fix) <

= y. inf
(a,a+Sk)

k-xx> (a,a+Sk)

S e l e c t ^ e (a, a + <5J0 such that lim inf fix) = y and lim
/t->oo (a.a+ii)

fix)

< f(xk)
K

fix)

+ \. Then since
k->oo

inf

f(x) + \ = y also, we have lim /(x*) = y.
k—>oo

*->oo (a,a+Sk)

Now x/c e [a, a + 8k) and 8k 4- 0 so that xk > a and lim x* = a. Then we can select a subsequence (x^n : n € N) of (x* : fc € N) such that Xk„ 4- a. Let (x„ : n e N) be the sequence (x^ : n e N). Then (x„ : n € N) is a decreasing sequence in (a, b) such that x„ 4, a and lim /(x„) = lim f(xkn) = lim /(**) = y.)
n->-oo n^-oo it->oo

3. The left limit inferior and the left limit superior of / as x •f b are defined by liminf fix) = lim inf
xjb SiO (b-S,b)

f(x)

and lim s u p / ( x ) = lim sup
x\b
s

fix).

(b-S,b)

4. Let / be an extended real-valued function on [a, b]. Let x e [a, b) and fix) e R. We define the lower-right Dini derivate of / at x as follows. Let .5 > 0 be so small that x + S < b. Define a function g on (0, 8) by setting
m=f<* + K

>-fM
h

for/(e((U).

The lower-right Dini derivate of / at x i s defined by (D+ f) (x) = lim inf g Qi).
hiO

§12 Monotonicity and Bounded Variation Definition 12.5. Let f be an extended real-valued function on [a, b]. (a) Ifx € [a, b) and f(x)eR,we define (D+f)(x)
/n+^/
N

251

fix + h); = liminf ^
hlO
r

f{x)
f{x)

6 R, € R.
-

(Z)^/)(x) = hmsup (b) If x € (a, b] and fix) e R, we define

f(x

h + h)-

iD-f)ix)
• ^

fix + h)= liminf — f
A to

fix) J

h

-±-t e R, fix) e R.

,n-,w , y fix + h)iD f)ix) = hmsup
A tO "

We call iD+f)ix), ( D + / ) ( x ) , ( D _ / ) ( x ) , and ( D ~ / ) ( x ) respectively the lower-right, upper-right, lower-left, and upper-left Dini derivates of f at x. Note that the four Dini derivates always exist in R and ( D _ / ) ( x ) < ( D ~ / ) ( x ) and (D+f)ix) < iD+f)ix). f is right semi-differentiable at x if and only if ( D + / ) ( x ) = (£> + /)(x) e R. / is right-differentiable at x if and only if ( D + / ) ( x ) = ( D + / ) ( x ) e R. _ / is left semi-differentiable at x if and only if ( D _ / ) ( x ) = (Z3 _ /)(x) € R. / is left-differentiable at x if and only if ( D _ / ) ( x ) = ( D " / ) ( x ) 6 R. / is semi-differentiable at x if and only if the four Dini derivates of / at x are all equal. / is differentiable at x if and only if the four Dini derivates of / at x are all finite and equal.

[II] Differentiability of Monotone Functions
A real-valued function / on an interval / in R is called an increasing (or non-decreasing) function if fix\) < /(X2) for every pair x\,X2 e / such that x\ < X2, and a decreasing (or non-increasing) function i f / ( x i ) > /(X2). If / is a decreasing function, then—/is an increasing function and thus we need not treat decreasing functions separately. A function is called a monotone function if it is either an increasing function or a decreasing function. Let / be a real-valued increasing function on an open interval / in R. Let a be an arbitrary point in / . Since / ( x ) f as x \ a and since fix) < / ( a ) forx e / such that x < a, fia—) := lim^a fix) exists in R. Similarly fia+) := lim^| a fix) exists in R. Also fia) e [fia—), / ( a + ) ] . Thus a real-valued increasing function / on open interval / is continuous at a € 7 if and only if fia—) = fia+) and discontinuous at a if and only if fia—) < / ( a + ) . If / is discontinuous at a, we call nia) := fia+) — fia—) > 0, the jump of / at a. Theorem 12.6. Let f be a real-valued increasing function on an open interval I in R. Then f has at most countably many points of discontinuity in I.

252

Chapter 3 Differentiation and Integration

Proof. Let a\ and a2 be two points of discontinuity of / in / and assume a\ < a2. Consider the two open intervals J(a\) = (f(a\-), / ( a i + ) ) and J(a2) = (f(a2-), f(a2+)). To show that J(a\) and J(a2) are disjoint, let us take an arbitrary point xo e {a\,a2). From the fact that / is increasing on / , we have f(a\+) < /(xo) < f(a2-). Thus the two open intervals J(a\) and J(a2) are disjoint. Let A be the set of all points of discontinuity of / in 7 and consider the collection of the open intervals {J(a) : a e A} where 7(a) = ( / ( a - ) , f(a+)). From J(a) select arbitrarily a rational number ra. Since {J(a) : a G A] is a collection of pairwise disjoint sets, {ra : a € A] is a collection of distinct rational numbers. Since there are only countably many rational numbers, A is at most a countable set. • If / is a real-valued increasing function on an open interval / in R, then / is continuous except possibly at countably many points in I. Since continuity of / at x e I implies f(x) = /(•*+)> w e have f(x) = f(x+) except at countably many x G I. Thus if we define a real-valued function g on I by setting g(x) = f(x+) for x G I, then g = f except at countably many points in I. S i n c e / i s an increasing function, we h a v e / ( ; q + ) < f(x2+) for any x\, x2 e I such that x\ < x2. Thus g is an increasing function on I. Furthermore g is right-continuous on I. (This can be shown as follows. Letiz € I be arbitrarily chosen. By the definition of f(a+), for every £ > 0 there exists S > 0 such that f(x) — f(a+) < s for x € (a,a + S). Then f(x+)-f(a+) < e, that is, g(x)-g (a) < SJOTX € (a,a + S). This proves the right-continuity of g at a.) Our function g is thus a real-valued right-continuous increasing function on I obtained by redefining / at countably many points at most. Let us call g the right-continuous modification of / . According to Theorem 12.6, if / is a real-valued increasing function on an open interval I in R, then the set of the points of discontinuity of / is a countable subset of I. This countable subset of I may have limit points in I. In fact it may even be a dense subset of /. We construct some examples below. Example 1. Let E = {£„ : n e N} be a countable dense subset of R (for instance the set of all rational numbers) and let (a„ : n G N) be a sequence of positive numbers such that a := X!« € N an < °°- Let us define a function / on R by setting f(x) = J^
{«eN:?„<x)

a„

forjceR.

Then the function / has the following properties: 1° / is a real-valued right-continuous increasing function on R. 2° E is the set of points of discontinuity of / and the jump of / at £„ is equal to an for every n e N. 3° 0 < / < a on R. Proof. It is immediate from the definition that / is a nonnegative real valued increasing function on R which is bounded above by a. Let us show that / is right-continuous at every xo e R by showing that for every £ > 0 there exists S > 0 such that f(x) - f(xo) < s for

§12 Monotonicity and Bounded Variation

253

x € (xo, XQ + S). Let s > 0 be arbitrarily given. Now since £ „ g N a " < ° ° ' t n e r e exists N e N such that J2n>N an < £• Let & > 0 be so small that the interval (xo, xo + <5) does not contain any point in the finite collection {£i,... , §#}• Then f(x) — /(xo) < X!«>N a " < s for every x e (xo, xo + <5). This proves the right-continuity of / at xoLet us show that for every no £ N, / is discontinuous at £„0 with jump at £„„ given by / ( U ) - / ( U - ) = an0- Let N(£„0) = {n e N : £„ < £„0} and let /3 = £„eN(f„ 0 ) <*„. Then by the definition of / , we have (1) /(?no) = XI
{«€N : ? „ < ? „ „ }
a

" =

X
«sN(£„0)
=

a

"

+a

"o =i6+a«o-

For every x < £„0 we have / ( x ) < XineNfe ) a " (2)

P ancl

tnus

/ ( £ „ 0 - ) = lim / ( x ) < / J .
*tf/i0

For an arbitrary £ > 0, since J2n€fi(t )an = P < oo, there exists a finite subcollection No of N(§„0) such that X ^ ^ n a n > P — e- Since No is a finite collection, there exists x < £no such that x > £„ forn € No. Then / ( x ) > £ n e N 0 a n > P — e. This shows that/(£„„—) = lim*-^ / ( x ) > fJ — e. Then by the arbitrariness of £ > Owe have/(£„„—) > fi. Therefore / ( f n o - ) = P b y (2)- Substituting this in (1), we have /(£„„) - /(£,<,-) = a„ 0 . To show the continuity of / at every xo e R \ £\ let N(xo) = {n e N : §„ < xo} and 0 = E«eNUo) ""• T h e n / ^ ° ) = I^neNta) a " = P- B? t n e s a m e argument a s above, we have /(xo—) = P and thus /(xo) = /(xo—), proving the continuity of / at xo. I Example 2. In Example 1, let us assume that E n Z = 0. For x € R, let [x] be the greatest integer not exceeding x. Let / be the function in Example 1 and let g be defined by g(x) = f(x) + [x] forxeR.

Then the function g has the following properties: 1° g is a real-valued right-continuous increasing function on R. 2° E U Z is the set of the points of discontinuity of g. The jump of g at £„ is equal to an for every n e N and the jump of g at an integer is equal to 1. 3° lim g(x) = —oo and lim g(x) = oo.
JC—t—OC JC->00

Example 3. Consider a finite open interval (a, b) in R. The real-valued function <p defined on (a, b) by <p(x) = jz^(x - a) - | for x e (a, ft) is a homeomorphism of (a, 6) onto ( - § , § ) . The function VOO = tany for y e ( - § , §) is a homeomorphism of ( - | , | ) onto R and thus the function t? = V ° <P is a homeomorphism of (a, ft) onto R. With the function g in Example 2, let /i = g o #. Then /i is a real-valued right-continuous increasing function on (a, b) with lim^a /i(x) = - o o and l i m . ^ /i(x) = oo, and the set of points of discontinuity is a dense subset of ia,b). We show next that a real-valued increasing function / is differentiable a.e. on [a,b]. For this we require the Vitali Covering Theorem.

254

Chapter 3 Differentiation and Integration

Definition 12.7. Let E be a subset o/R. A collection 93 of finite closed intervals is called a Vitali cover of E iffor every x € E and e > 0 there exists I € 93 such that x e I and 1.(1) < s. (Singletons are not admissible as finite closed intervals.) The collection of all finite closed intervals in R is a Vitali cover for any subset of R. For an arbitrary subset E of R, the collection {[x — i , x + i ] : n e N, x e E] is an example of Vitali cover of E. So is the collection {[x, x + £] : n e N, x e E}. Observation 12.8. Let 93 be a Vitali cover of a subset E of R. For an arbitrary open set O such that O D E, let 93 o be the subcollection of 93 consisting of all members of 93 which are contained in O. Then 93 o is a Vitali cover of E. Proof. To show that 93 o is a Vitali cover of E, we show that for every x e E and e > 0 there exists / € 93o such that x e / and 1(1) < s. Now if x e E, then since E c O and O is an open set there exists 5 > 0 such that (x — 8, x + S) c O. Since 93 is a Vitali cover of E, there exists/ e 93 such that x e 7and£(7) < min {ji5,e}. Then / c (x —S,x + &) C O so that I € 93o- Also 1(1) < e. This shows that tOo is a Vitali cover of £\ • Theorem 12.9. (Vitali Covering Theorem) Let 93 be a Vitali cover of an arbitrary subset E o/R. Then there exists a countable disjoint subcollection {/„ : n € N} o/93 such that

(1)

/**(E\U/„)=0.

If pi* (E) < oo, ffterc tfie disjoint collection {/„ : w € N} can be so chosen that

(2)

£ * ( / „ ) < oo,

and for every e > 0 r/iere existe T € N SMC/I rfwf V

(3)

M*(£\(J/„)<S.

«=I

Proof. 1. Let us assume first that l^*L(E) < oo. By Lemma 3.21, there exists an open set ODE such that fi*(E) < iiL(0) < fi*L(E) + 1 < oo. Let 9 3 0 be the subcollection of 93 consisting of those members of 93 which are contained in O. By Observation 12.8, 93o is a Vitali cover of E. Let I\ e 93o be arbitrarily chosen. If n*L(E \ I\) = 0, then the collection {/i} satisfies conditions (1), (2), and (3). If M*(£ \ h) > 0, then we select a disjoint subcollection {/„ : n e N} of 93o inductively as follows. Suppose for some n e N we have selected a disjoint subcollection {/i,... ,/„}of93o- If /-^(^AlJfci h) = 0,then the collection {I\,... , /„} satisfies conditions (1), (2), and (3). If ix*L(E \ \Jl=1 h) > 0, then we select In+\ e 93o as follows. For brevity let
n

(4)

Fn = U lk and 0„ = O \ Fn.
k=l

§12 Monotonicity and Bounded Variation

255

Then F„ is a closed set in R and On = O n F£ is an open set in R and moreover we have (5) Let (6) 9Jo„ = {/ e 2Jo : / C 0„}. Fn n On = 0 and F „ U O „ = O.

Since 9?o is a Vitali cover of E, it is certainly a Vitali cover of the subset E \ Fn of F . Since £ \ Fn C 0 \ F„ = 0„, the collection 2Jo„ defined by (6) is a Vitali cover of E \ Fn by Lemma 12.8. In particular, 9Jo„ ^ 0. Let (7) 4. = sup{*(/):/e«X0ll}.

Since 9J 0 „ 7^ 0 and £(/) > 0 for every 7 e 2Jo„» we have dn > 0. On the other hand, for every / € 9Jo„ we have / C 0„ C O so that £(7) < nL(0) < oo and then dn < fiL(0) < oo. Let us select 7„+i e 2Jo„ such that (8) £(/„+l) > \dn.

Since 7„+i C On, we have 7„ +1 n Fn = 0. Thus {7i,... , I„, 7„+i} is a disjoint collection in 9Jo. If £t* ( U * i i ^*) = °' m e n conditions (1), (2), and (3) are satisfied by our collection {7i,... , I„, 7„ + i} and we are done. If /n*( U*ii ^ ) > 0, then we repeat the selection process above to select 7„+2 € 2Jo„ +1 . If this selection process does not terminate in finitely many steps then we have a disjoint collection {In : n e N} in QJo satisfying condition (8). By the disjointness of the collection {7„ : n € N} we have

£>(/„) = ][>1.(/„) = M L (U / ») < M O < o o
neN neN neN

so that condition (2) is satisfied. Let us show that the collection {In : n € N} satisfies (1). Let F = (J„ e N In- If At*(7± \ F) = 0, then we have (1). Suppose n*L(E \ F) > 0. For eachn € N, let Jn be a closed interval with the same midpoint as In but with l(Jn) = 5(.(I„). Then E„ e N £ ( y n) = 5 EneN ^(7«) < ° ° a n d t h i s implies lirr^ £ „ > p £(/„) = 0. Thus (9) If we show that (10) E \ F C ( J 7„ for every p e l , lim iiL([\
n>_p

Jn) < lim Y>(.7„) = 0.
n>_p

then ii*L(E\F)

< nL(\Jn>p

Jn) for every p e N and then by (9) we have

^(F\F)< p lim o ^(|J./ n )=0
n>p

256

Chapter 3 Differentiation and Integration

and condition (1) is satisfied. Thus to prove (1) it suffices to prove (10). Let p e N be arbitrarily fixed. Now since p,*L (E \ F) > 0, we have E \ F / 0. Let x e E \ F be arbitrarily chosen. We show that there exists /* e 230 such that (11) x € I* C Jq for some q > p.

Then we have x e \Jn>p Jn so that E \ F c \Jn>p Jn, proving (10). Let us prove the existence of such/* € 9 J o . Now since x € F \ F , wehavex ^ F „ so that A; e 0\Fn = On for every n e l Then x e HneN 0" and in particular JC € Op. Now since 2Jo is a Vitali cover of E, it is a Vitali cover of the subset {x} of E. Now since O p is an open set and {x} c Op, V30p = {/ e 9 3 0 : / c O p } is a Vitali cover of {x} by Observation 12.8. Thus there exists / * € %3op such that* e 7* C Op. It remains to show that 7* C Jq for some q > p. For this let us note first that since x G On = O \ Fn and Fn D 7„ we have x e" 7„ for every n e N , Then since x € 7*, we have 7* ^ 7„ for every n e N. Let us show that there exists N eN such that 7* n F# ^ 0. Now by (2) we have Y]„, N £(7„) < oo so that lim £(I„) = 0. This implies that lim dn = 0
n-»oo n-»oo

by (8) so that for sufficiently large N e N we have rfyv < £(!*)• Then by (7) we have 7* e" 9 J 0 N and hence 7* <£ 0N by (6) so that 7* n FN =£ 0. Let q = min {n e N : I* n F„ ^ 0}. Now since 7* C Op we have l*C\Fp = 0. Since (Fn : n e N) is an increasing sequence, this implies q > p. By the definition of q, we have 7* n Fq ^ 0 but 7* n F,_i = 0. This implies 7* n lq jt 0 and 7* C 0 g - i . The last inclusion and (6), (7) and (8) imply 1(1*) < dq-\ < 2l(Iq). Now since 7* n Iq ^ 0 and since the closed interval Jq has the same midpoint as Iq and t(Jq) = 5£(Iq), we have 7* C Jq. Then since q > p we have 7* C [Jn>p Jn- Since * e 7*, we have x e \Jn>p JnBy the arbitrariness of x e E \ F, we have E \ F C \Jn>p Jn- This proves (10) and completes the proof that our disjoint collection {7„ : « e N) satisfies condition (1). Let us prove (3). Since J2neN ^ « ) < ° ° ' f ° r e v e r y £ > 0 there exists T G N such that V £«>w+i ^( 7 «) < e - N o w w e h a v e FN = F\ \Jn>N+\ h = FC\ (LU/v+i 7n)C so that FCN = Fc U (U„>w+i J*)- T n u s w e n a v e

FnF£ = (FnF c )u(Fn (J 7 „ ) c ( F \ F ) u ( (J /„).
n>/V+l n>W+l

Since /x*(£ \ F ) = 0 by (1), we have

[i*L(E n FCN) < fi*L(E \ F) +/i*L( | J 7 „ ) < J2
n>N+l n>N+l

Wn)<s-

This proves (3) for our disjoint collection {In : n e N) in 2Jo. 2. Let F be an arbitrary subset of R. Let F„ = F n («, « + 1) for n e Z, the collection of all integers. Since 2J is a Vitali cover of F , 9J is a Vitali cover of F„ for every n eZ. Let 2?(n,«+i) be the subcollection of 9J consisting of those members of 2J which are contained in the open interval (n, n + 1). According to Observation 12.8, 5J(„ n + i) is a Vitali cover of En. Since /z*(F„) < oo, by our result in 1 there exists a countable disjoint subcollection {/„,* : k G N} of 9J(„,„+i) such that /*£(£„ \ U * 6 N 7«.*) = °- N o w V",k :keN,neZ}

§12 Monotonicity and Bounded Variation is a countable disjoint subcollection of 93 such that

257

U £ » \ U U 7 ^ = U(£«\UU/«.OcU(£«\U7^)'
neZ neZjteN neZ neZieN neZ fceN

and

/*: (U E * \ U U '».*) ^ £ ^: (*» \ U z».*)=°neZ neZ*eN neZ jfceN

Now E C { U„ 6 z £«} U Z so that

E
Then we have

\ (J U 7».* C f U £« \ U U 7».*} UZneN /teN neN nsN ifceN

^:{E \ U U 7«.*) ^ K ( U E» \ U U 7«.*)+^(z>=°neN teN neN neN iteN

This proves (1).

I

Theorem 12.10. (H. Lebesgue) Let f bea real-valued increasing function on [a, b]. Then the derivative f exists andis nonnegative on (a, b)\E where E is a null set in (R, 9DTL, /J,L) contained in (a, b). Furthermore f is 9JtL-measurable and fiL-integrable on (a, b) \ E with f. b,f dfj,L < f(b)—f(a). In particular f is real-valued, that is f is differentiate, (9JtL, fiL)-a.e, on [a, b]. Proof. 1. Since / is an increasing function, if f'(x) exists at some x € (a, b) then f\x) > 0. To show that / ' exists a.e. on (a, b), we show that the four Dini derivates are equal a.e. on (a, b). Since D-f < D~ f and D+f < D+f, it suffices to show that D~f < D+f < D+f < D-f a.e. on (a, b).

Since the second inequality holds on (a,b), it remains to show (1) and (2) D+f < D-f a.e. on (a, b). D~f < D+f a.e. on (a, b)

Since each of the two inequalities asserts that the limit superior from one direction is dominated by the limit inferior from the other direction, they can be proved exactly in the same way. Thus let us prove (2) for instance. To prove (2) we let E = {x 6 (a,b) : (D+f)(x) > (D_/)(*)}

and show that ^* (E) = 0. Now since / is an increasing function the four Dini derivates are all nonnegative. Let Q be the collection of all rational numbers. For u, v e Q such that 0 < u < v let (3) £„,„ ~{x e (a, b) : (D-f)(x) <u <v < (D+f)(x)}.

258

Chapter 3 Differentiation and Integration

Then E = |J H V€Q 0<U<V EUtV. By the countable subadditivity of fi*, we have

lx*L{E) <

Yl
u,vzQ,0<u<v

H*L(EU,V).

Thus to show that /x* (E) = 0, it suffice to show that /x* (EUtV) = 0 for every pair u,v € Q such that 0 < u < v. Let y = /u,*L(EUtV). Since Eu<v c (a, b), we have y e [0, oo). We outline the two steps in showing y = 0 . Step 1. Using the fact that (D-f)(x) < u for every x e EUiV, we show that for an arbitrary e > 0 the set E„,v can be approximated by a finite collection of disjoint bounded and closed intervals {/i,... , IP] such that J2m=i ^m) < u(y + e) by means of the Vitali Covering Theorem. Step 2. By the fact that (D+f)(x) > v for every x € EUiV, we show that some subset of EUtV can be approximated by a finite collection of disjoint bounded and closed intervals {J\,... , Jq} each of which is contained in one in the collection {7i,... , Ip} such that v(y — 2s) < X^«=i £(Jn) by means of the Vitali Covering Theorem. Then we have v(y — 2e) < X^«=i £(Jn) < Ylm=\ ^(Im) < u(y + s). By the arbitrariness of e > 0, we have vy < uy. This implies y = 0 since u < v. Since /x*(£„_„) < fiL((a, b)) < oo, by Lemma 3.21 for every £ > 0 there exists an open set O D E such that (4) M O <IJ.*L(Eu,v) + e = y + e.

For each x e EUiV, we have ( D _ / ) ( x ) < u. Now , n ,w x r • tf(x+h)-f(x) . / ( x - ft) - / ( x ) (D_ f )(x) = hmmf = liminf Ato ft -*to -£ . f / ( x ) - / ( x - k) , / ( x ) - / ( x - A) = lim inf = hm inf .
AJ.0 £ ft 4.0 h

Recall that for an extended real-valued function cp on an open interval containing 0, we have liminf<p(h) — lim inf <p(h).
/40 <H0 he(0,5)

Now inf h€(0,s) <p(h) f a s 5 J, 0. This implies that there exists a sequence of positive numbers (/im : m e N) such that /i m J, 0 and»(/j m ) t liminf w{h).
ft 4,0

Since ( D _ / ) ( x ) = liminf/,4.o{/(x) — /(•* — h)}/h, there exists a sequence of positive numbers {hx,m : m e N) such that

{
so that (6)

hx,m I 0, [x -hx,m,x] [fix)

CO form e N, f (D_/)(x) < u

- fix - hx,m)}/hx,m

fix) - fix - hx,m) < uhXim

for m e N.

§12 Monotonicity and Bounded Variation

259

Now «U = {[x - hXi m, x] : m e N, x € EUtV} is a Vitali cover of EUiV. Thus by Theorem 12.9 (Vitali Covering Theorem), there exists a finite disjoint collection of members of 2J which we denote by h = [x\ —h\,x{\,... , Ip = [xp — hp,xp] where x i , . . . ,xp € EUiV, x\ < • • • < xp and hi,... ,hp > 0 such that
p

(7)

P*L(E„,v\\Jlm)<e.
m=l

Let 1^ be the interior of Im for m = 1 , . . . , p and let (8) E„% = £„,„ n Q C
m=l

For an extended real-valued function f on an open interval containing 0, we have limsup \/r(k) = lim sup ijr(Jc).
kiO <H0 te(0,«)

Since sup t€( o^) i/K^D 4- as 5 4- 0 there exists a sequence of positive numbers (kn : n e N) such that £„ J, 0 and xjs(kn) 4- lim sup ijfik). Now for every y e E* C £«,«, we have ( D + / ) ( y ) > 1; by the definition of EUiV by (3). Since (£> + ,/)(y) = lim suph^0{f(y + h) — f(y)}/h, there exists a sequence of positive numbers (ky,n : n e N) such that

{
so that (10)

^v « 4- 0, [y, y + £v „] C 1° for n e N for some m = 1 , . . . , p, {/(? + *y.») - f(y)}/ky,„ 4, ( D + / ) ( y ) > w

f(y + ky,„)-f(y)>vky,n

forneN.

Then the collection QB = [[y,y +ky,„] : n e N, y e £*„} is a Vitali cover of E*<v so that by Theorem 12.9, there exists a finite disjoint collection of members of 2 0 which we denote by J\ = [yuyi + h],... ,Jq = [yq, yq + kq] where yi,... ,yq € E*v, y\ < • • • < yq and k\,... ,kq > 0 such that
1

(ID

n*L(E*u<v\\Jjn)<e.
n=\

For our lm = [xm -hm,xm] and Jn = [yn, yn + k„], let A / ( / m ) = f(xm) - f(xm - hm) and A/(7„) = f(y„ + k„) - f(y„). Since [Ju ... , Jq} is a disjoint collection and each Jn is contained in some / £ , and since / is an increasing function, we have
1 p

(12)

£ > / ( . / „ ) < £ A/(/m).
«=1 m=l

260

Chapter 3 Differentiation and Integration

From (10) we have A/(7„) > vl(Jn) for n = 1,... , q and similarly from (6) we have A/(7m) < ul(lm) for m = 1,... , p. Thus by (12) and (4), we have
l i
«=1 p

p
m=l
/m

p
m=l

(13)

vJ^UJn) < £ > / ( / „ ) < J2 A/(/m) < "!]*(/»)
n=l

= "£tz.( U
m=l

) - U^L(°^

< u(y + e).

Now if we let N be the set of the endpoints of I\,...
p m=l P p

, Ip, then

£«,„ = (EU,V \ \J / m ) u (E„,„ n | J / m )
m=l P

c (E„,V \ U / m ) U (/i„,v n ( J / ° ) u N
m~\ m—\

p

= (E„,V \ ( J 7m) U 7±H% U iV
P
m=l

I
n—\

1
n=\

C (£„,„ \ ( J 7m) U (£* „ \ | J /„) U ( | J /„) U N, where the second equality is by (8). Thus by the subadditivity of /x* and by (7) and (11),
<?

i

y = /A*(£„.„) < s + e + J2l(J") Thus y - 2e < £ ^ = 1 ^(7«)> a n d t h e n b y ( 13 ) w e
<?

+ ° = 2e +
have

J2l(J")-

v(y - 2s) < v J^ l(Jn) <u(y + e).
n=\

By the arbitrariness of e > 0, we have vy <uy. Since v > u, we have y = 0. 2. Thus we have shown that there exists a null set 7s in (R, VI3lL, fj.L) contained in (a, b) such that / ' exists on (a, b) \ E. Since (a,b)\E e 9JtL, / ' is 9Jlt-measurable on (a, b)\E by Proposition 12.4. Let us extend the domain of definition of / from [a, b] to R by setting f(x) = f{a) forx e ( oo,a) and f(x) = f(b) forx € (6, oo). Then / is a real-valued increasing — function on R so that it is 5BjR-measurable and hence UJtL-measurable on R. If we define a sequence (gn : n e N) of nonnegative real-valued functions on R by

, /(* £)- /W ff o r x e R , £ *,( * ) = — + T

§12 Monotonicity and Bounded Variation

261

then gn is 9DTL -measurable on R by Theorem 9.31 (Translation Invariance). At any point x 6 [a, b] at which f'(x) exists, we have ,,, , fix + h)/ (x) = rlim —
d-»0 n

f{x)

/ ( * + £ ) - fix) = hm —-.
«->oo A n

.. = lim
n->oo

gn(x).

Thus by Fatou's Lemma (Theorem 8.13), we have (14) /
J(a,b)\E

/ ' dfiL < lim inf /
"-*°° J(a,b)\E

gndfML.

Now since {a} U E U {£>} is a null set in (R, %JlL, nL), we have by Definition 9.11 /
J(a,b)\E

gndiiL=

I
J[a,b]

gnd/j,L=
J[a,b]
1

;
~

P-Lidx) fix)fiL(dx)\ I

= n\

L ,f(x)nL(dx)J["+lb+j;]

/ J[a,b]

< «!/(*)- - /(a)-} = fib) - fia), i n nI
where the third equality is by Theorem 9.31, the fourth equality is by (a) of Lemma 9.10, and the inequality is by the fact that / is bounded above by f(b) and bounded below by f(a) on R. Using this estimate in (14), we have /- fc), E f djiL < f{b) — fia). Then by Definition 9.11 we have f[ab] f dfiL = f(aib)XE f'dfiL < fib) - f(a) < oo. Finally by (f) of Observation 9.2, / ' is real-valued, that is, / is differentiable, (9JTL, /nj-a.e. on [a,b]. I Remark 12.11. The equality /. „ / ' dfiL = f(b) — fia) does not hold in general. (a) For example the Cantor-Lebesgue function r is a real-valued continuous increasing function on [0, 1] with / ( 0 ) = 0 and / ( l ) = 1; r is constant on each of a collection of disjoint open intervals whose union G has \xL (G) = 1. Thus the derivative x' exists and is equal to 0 on G. Then f[ol] x'd/xL = 0 # r ( l ) - r(0). (b) For a simpler example, let / be a real-valued increasing function on [0, 1] defined by setting / = 0 on [0, ±) and / = 1 on [±, l ] . The derivative / ' exists and is equal to 0 on (0, 1) except at x = \. Thus f[ol] f dfiL=0^ / ( l ) - /(0). (c) In §13 we show that whether / is an increasing function or not, if / ' exists and is finite everywhere on [a, b] and if / ' is /LiL-integrable on [a, b] then the equality i „ / ' d[xL = fib) — fia) holds. We show also that if / is absolutely continuous on [a, b] then the equality holds.

[Ill] Functions of Bounded Variation
Definition 12.12. Let [a, i ] c l with a < b. A partition of [a, b] is a finite ordered set xn — fcj. Let 9Qa j be the collection of all partitions of [a, b]. For a

262

Chapter 3 Differentiation and Integration

real-valued function f on [a, b], we define the variation of f on [a, b] corresponding to a partition 9 = [a = XQ < • • • < x„ = b] by
n

V b

a (f> ?) = E l/(X*) - /fe"l)l

G

[0. °°)-

We define the total variation of f on [a, b] by Vb{f) = sup Vb(f9)e[0,oo].

We say that f is a function of bounded variation on [a, b], or simply a BVfunction on [a, b], ifVa(f) < °°- We write BV([a, b])for the collection of all BV functions on [a, b]. If 9, 9' e <#ab and 9 C 9' then we say that 9' is a refinement of 9. If 9, 9' e <pa b, then 9U9' e «Pa\b and moreover 9 U 3" is a refinement of both 3 and 3". > Observation 12.13. (a) If IP, 9' e %ab and if T c 9', then V* (/, IP) < Vb(f 9'). ( b ) I f / e BV([a, £]), t h e n / i s a bounded function on [a, b] and in fact for every* e [a,b] we have / ( x ) 6 [f(a) - Vb(f), f(a) + Vab(f)]. (c) If / € BV([a, b]), then - / e BV([a, b}) and Vb( - / ) = V * ( / ) . (d) If / is a real-valued monotone function on [a,b], then / € BV([a, b]) and in this case wehaveV a *(/) = | / ( * ) - / ( a ) | . Proof. 1. Let 9, 9' e ^J a fc and 9 C 3". Let« be the number of partition points in 9 and let m be that of 9'. We have n <m. If n = m then IP = 3" and V* (/, IP) = Va6 (3"). Consider the case n < m. Then m = n + p where p € N. Let f i , . . . %p be the p partition points in 3" that are not in 9. Let 9o = 9. Let 9\ be the partition of [a, b] obtained by adding £i to To- Let 3,2 be the partition of [a, b] obtained by adding £2 to 9\ and so on so that 9P = 9' is the partition of [a, b] obtained by adding %p to 9p-\. Thus we have a chain of partitions of [a, b], 9 = 9o C 9\ C • • • C 9p-\ C 9P = 9', each having one more partition point than its predecessor. Let 9 = 9o = [a = XQ < X\ <X2 < • • • < xn = b}. Then §1 e 0**0-1, *ko) for some k> < n. Now we have Vb(f 90) = Y!=\ I/O**) f(xk-i)\ and Vb(f, 9\) is obtained by replacing the summand | / 0 % ) - f(xk0-i)\ in Vb(f, 3>o) with l/(£i) - f(xk0-i)\ + \f(xko) ~ /(£i)l which is greater than or equal to \f(xko) - /(x* 0 _i)| by the triangle inequality in R. Thus we have V%(f, 9o) < Vb(f 9\). By the same argument we have V* (/, IP,) < Vb(f 92), Vb(f 92) < Vb(f IP3), . . . , Vab(f IP p _i) < Vb(f 9p). Thus we have Vb(f 9) < Vb(f 9'). 2. To prove (b), suppose / e BV([a, b]). For an arbitrary x e [a, b], consider the partition 9 = {a < x < b] of [a, b]. Then we have | / ( x ) - f(a)\ < \f(x) - f(a)\ + \f(b) - f(x)\ From this we have f(a) - Vb(f) < f(x) = Vb(f, 9) < Vb(f) < 00.

< f(a) + Vb(f)

for every x € [a, b].

§ 12 Monotonicity and Bounded Variation

263

3. To prove (c), suppose / e BV([a, b]) and let 7 — [a = xo < • • • < xn = b] be an arbitrary partition of [a,b]. Then
n

n

= £ i/<**> - /(**-i)i = y«fc(/- T)>
Jt=l

and then

vtf(-/) = suP v* (-/.?) = sup va4(/,:P) = v*(/).
4. To prove (d), l e t / b e a real-valued monotone function on [a, £>]. Then for an arbitrary partition T = {a = XQ < • • • < xn = b} of [a, b], the differences f(xk) — f(xk-i) for fc = 1 , . . . , n are all nonnegative if / is an increasing function and all nonpositive if / is a decreasing function. Therefore we have
v
n n

Hf> ?) = £ i/(**) - /(**-i)i = I £{/(**) - /fe-i)i| = i/(&) - /(a)i.
V»(f) = sup V*(/, 3>) = |/(fc) - / ( a ) | . •

and then

Lemma 12.14. Let fu f2 e BV([a, b]) and cuc2€ and V*(ci/, + c 2 / 2 ) < |ci|V*(/!) + \c2\V*(f2).

R. 77zen c\f\ + c2f2 e BV([a, ft])

Proof. For an arbitrary partition 7 = {A = *o < • • • < xn = ft) of [a, b], we have V*(ci/l + C 2 / 2 , 3>) = J2 | ( t l / l + C 2 / 2 ) f e ) - (Cl/l + C 2 / 2 ) f e _ 0 |
*=1 n

n

<\ci\ £
k=\ rbl

\h(xk) - / i ( * * - i ) | + \c2\ £
k=\

\Mxk) -

f2{xk-x)\ \c2\Vab(f2).

= \ciWab{fu?) Thus we have V*(ci/i + c 2 / 2 ) =

+ |c2lV*(/2,0>) < |c,|V fl 6 (/i) +

sup V*( C l /i + c2/ 2 , IP) < |ci I V*(/,) + \c2\V*(f2).

I

Lemma 12.15. (a) / / / e BV([a, b]), then for every closed subinterval [ao, bo] of [a, b], we have f 6 BV([a0, b0]) and V%(f) < V*(/). (b)Letc e (a, ft). / / / € BV([a,c]) W moreover V » ( / ) = V a c (/) + V * ( / ) . / e BV([c,i]), then f g BV([a,i]) and

264

Chapter 3 Differentiation and Integration

Proof. 1. To prove (a), let T = {ao = xo < ••• < xn = bo) be an arbitrary partition of [ao, bo]. Consider the partition 9' = {a < ao = xo < • • • < xn = bo < b) of [a, b]. Then
n

k=\
n

<l/(*o) - f(a)\ + J^\f(xk)
k=l

- /(*t_i)| + |/(6) -

f(xn)\

=vt{f,r)<vab(f)<oo.
Thus we have < " ( / ) = sup V$(f, 9) < Vb(f) < oo so that / e BV([a0,b0]). 2. To prove (b), let c e (a, b) and suppose / e BV([a, c]) and / e BV([c, b]). Let 9 be an arbitrary partition of [a, b] and let 9' be the refinement of 9 by adding c as a partition point to 9. By (a) of Observation 12.13, we have (1) V%(f,9)<Vab(f,9').

Let 9\ and 9z be the restrictions of 9' to [a, c] and [c, &] respectively. Then we have (2) Vab{f, 9') = V a c (/, 9X) + Vcb(f, 92) < VZ(f) + Vb(f).

By (1) and (2), we have (3) Vb(f)= sup Vab(f,9)<VZ(f)
•PtVa,b

+

Vcb{f)<0o.

This shows that / e BV([a, b]). To show Vb ( / ) = Vca ( / ) + V* ( / ) , it remains to show that Vb ( / ) > Vac ( / ) + Vb ( / ) . Let 9\ and T2 be arbitrary partitions of [a, c] and [c, £] respectively. Then 9\ U T2 is a partition of [a, b] and Vb(f, 9\ U 92) = V a c (/, Ti) + Vb(f, 92)- Thus we have Vb(f) = sup yafe(/,3>) > Vb(f,7i U ? 2 ) = Vca{f,9X) + Vb(f,92).

Since this holds for arbitrary partitions 9\ and 92 of [a, c] and [c, b] respectively, we have (4) This completes the proof. I Vb{f) > Vca(f) + Vcb{f).

L e t / e BV([a,b]). Then for any x e [a, &] we h a v e / G BV([a,x]) by (a) of Lemma 12.15 so that V * ( / ) < 00. Thus V / ( / ) is a nonnegative real-valued function of x e [a, b]. Definition 12.16. Let f e BV([a, b]). The total variation function v/ of f on [a, b] is definedby v/(x) = V£(f)forx e [a, b].

§12 Monotonicity and Bounded Variation

265

Observation 12.17. Let / e B V ([a, b]). The total variation function vj of / is a nonnegative real-valued increasing function on [a, b] with vj (a) = 0. Indeed for a < x' < x" < b, we have (1) vf(x")-vf(x') = Vxx,"(f)>0.

Proof. If / e BV([a, b]), then for any x e [a, b] we have / € BV([a, x]) with V*(f) < Va(f) by (a) of Lemma 12.15. Thus v/ is a nonnegative real-valued function on [a,b]. To show that v/ is an increasing function on [a, b], let a < x' < x" < b. By (b) of Lemma 12.15 we have V/(/) + vf(f) = vf(f), that is, vf(x') + vf(f) = vf{x") so that vf(x") - vf(x') = V*"(/) > 0. • Theorem 12.18. (Jordan Decomposition of Functions of Bounded Variation) Let f be a real-valued function on [a, b]. Then f € BV([a, b]) if and only if there exist two real-valued increasing functions gi and gi on [a, b] such that f — g\ — gi on [a, b]. Proof. 1. Suppose there exist two real-valued increasing functions g\ and g2 on [a, b] such that / = g\ — g2 on [a, b]. Then g\,g2 e BV([a, b]) by (d) of Observation 12.13 and thus / € BV([a, b]) by Lemma 12.14. 2. Conversely suppose / e BV([a,b]). Consider the total variation function Vf of / on [a, b]. Let g\ = Vf and gi = \>f — f • Then / = g\ — g2- Now g\ is a real-valued increasing function on [a, b] by Observation 12.17. It remains to show that g2 is a realvalued increasing function on [a, b]. Thus let a < x' < x" < b and let C = {*', x"}, a P partition of [x\ x"\. Then we have 82(x") - g2(x') = {vf{x") - vf(x')} - {f(x") - f(x')}

by (1) of Observation 12.17. This shows that g2 is an increasing function on [a, b]. 1 Definition 12.19. Let f e BV([a, bfj. The expression f = g\ — gi where g\ and g2 are two real-valued increasing functions on [a, b] is called a Jordan decomposition of f. Remark 12.20. A Jordan decomposition of / € BV([a, b]) is not unique. In fact if / = gi — gi is a Jordan decomposition, then with an arbitrary real-valued increasing function hon[a,b],f = {gi+h}—{g2+h} is another Jordan decomposition. In the Proof of Theorem 12.18, we showed that Vf — f is an increasing function on [a, b]. Actually Vf + f is also an increasing function on [a,b]. This can be shown as follows. Note that / e BV([a, b]) implies that —/ € BV([a, b]). This implies that u_/ — (—/) is an increasing function. But v-f = Vf by (c) of Observation 12.13. Thus Vf + f is an increasing function on [a, b]. Then we have yet another Jordan decomposition / = \{vf + f) — \{vf — / } . Theorem 12.21. Let f e BV([a, b]). Then we have: (a) / is V&tL-measurable on [a, b]. (b) / ' exists (2Jl t , nL)-a.e. on [a,b] and is DJtL-measurable and fiL-integrable on [a,b].

266

Chapter 3 Differentiation and Integration

Proof. By Theorem 12.18, f = gx — g2 where gi and g2 are real-valued and increasing on [a, b]. Then g\ and g2 are 2$R-measurable on [a, b] and so is / . By Theorem 12.10 (Lebesgue), g[ and g'2 exist (SDTL,/iiL)-a.e. on [a, b] and are VdlL-measurable and \x,hintegrable on [a, b). Then so does / ' = g\ — g'2. • Theorem 12.22. Let f e BV([a, b]) where a < b. Then the total variation function Vf of f is continuous at XQ e [a, b] if and only if f is continuous at xo. (Continuity at a is understood to be right-continuity at a and continuity at b is understood to be left-continuity atb.) Proof. 1. Suppose / is continuous at xo € [a,b]. Let us show that if xo < b, then Vf is right-continuous at xo. Let s > 0 be arbitrarily given. Then there exists a partition 7 of [xo, b] such that

(D

<(/.?) > < ( / ) - * •

Let"? = {xo < x\ < X2 < • • • < x„ = b}. Since / is continuous at xo, there exists S > 0 such that | / ( £ ) — / ( x o ) | < £ for £ e [xo, xo + 8). Let us take 8 so small that xo + 8 < x\. With an arbitrarily chosen £ e (xo, xo + 8), let V be the refinement of T by adding £ as a partition point for [xo, b], that is, 3" = (xo < £ < xi < X2 < • • • < x„ = b}. Then by (a) of Observation 12.13 we have (2) We have also
n

<(/.?') > ^

(/'?)•

(3)

VbXQ(f T') = | / ( $ ) - / ( x 0 ) | + | / ( x 0 - / ( f ) | + J2 \f(xk)
<fc=2

- /(xt_,)|

< e + |/(X!) - / ( f ) | + ^
k=2

\f(xk) - f(xk-i)\

< e+

Vg(f).

B y ( l ) , (2), and (3), we have (4) < ( / ) < V* (/, T) + e < < (/, 3") + e < vf ( / ) + 2e.

By Definition 12.16, (b) of Lemma 12.15, and (4), we have

«/«) - vf(xo) = va*(/) - C ( / ) = yj0(/) = < ( / ) - v?(f) < 2s
for

^ e (*o,^o + 5).

This proves that if / is continuous at xo and xo < b, then v/ is right-continuous at xo. We show similarly that if / is continuous at xo and xo > a, then Vf is left-continuous at xoThus if / is continuous at xo e [a,b], then Vf is continuous at xo. 2. Conversely suppose Vf is continuous at xo e [a, b]. Let us show that if xo < b, then / is right-continuous at XQ. Let £ > 0 be arbitrarily given. The continuity of Vf at XQ

§12 Monotonicity and Bounded Variation

267

implies that there exists S > 0 such that \v/(x) — V/(XQ)\ < E forx € [xo, xo + S). Now for any x e (xo, xo + &), with the partition 7 = {xo < x) of [xo, x] we have l / t o - /(*o)l = Vxxo{f ? ) < V* ( / ) = vf(x) - vf(xo) < e.

This shows that / is right-continuous at xo- We show similarly that if vj is continuous at xo € [a, b] and if xo > a then / is left-continuous at XQ. Thus if i>/ is continuous at xo e [a, b], then / is continuous at xo. • Corollary 12.23. Let f e BV([a,b}). Iff is continuous on [a, b], then in a Jordan decomposition f = g\ — gi of f, the real-valued increasing functions g\ and g2 can be chosen to be continuous functions on [a, b\. Proof. Consider the Jordan decomposition/ = g\— g2 of / w h e r e g\ = u/andg2 = vf~f as in the Proof of Theorem 12.18. If / is continuous on [a, b], then Vf is continuous on [a, b] by Theorem 12.22. Then g\ = Vf and g2 = v/ — f are continuous functions on
[a,b]. I

Problems
Prob. 12.1. Let / , g e BV([a, b]). (a) Show that cf e BV([a, b]) and V*(c/) = \c\V%(f) for every c e R. (b) Show that f + g€ BV([a, b]) and Vba(f + g) < Vba(f) + V*(g). (b) Construct an example for which V%(f + g) # V a 6 (/) + Vb(g). Prob. 12.2. Let / e BV([a, b]). Show that if / > c on [a, b] for some constant c > 0,

t h e n l / / e BV([a,b]).
Prob. 12.3. Let / , g e BV([a, fc]). Show that / ^ e B V ( [ a , i]) and y a fo (/g) < sup[fli4] | / | • Vj>(g) + sup[a]fc] \g\ • Vab(f). Prob. 12.4. Let / be a real-valued function on [a, b] satisfying a Lipschitz condition, that is, there exists a constant M > 0 such that \f(x') — / ( J C " ) | < M\x' — x"\ for every x',x" € [a,b]. Show that / e 5V([a, &]) and Vafe(/) < M(b - a). Prob. 12.5. Let / be a real-valued function on [a, £>]. Suppose / is continuous on [a, b] and is differentiable on (a, b) with | / ' | < M for some constant M > 0. Show that / 6 BV([a, ft]) and Vb(f) < Af(ft - a). Prob. 12.6. According to Prob. 12.5, continuity o f / o n [a, i>] and existence and boundedness of the derivative / ' on (a, b) imply that / is a BV function. These conditions are sufficient but not necessary for / to be a BV function. To show this find a real-valued function / on [a, b] satisfying the following conditions: 1° / is continuous on [a, b].
2° 4° f exists on (a,b).

3° / ' is not bounded on (a, b).
feBV([a,b]).

268

Chapter 3 Differentiation and Integration

Prob. 12.7. Let / be a polygonal function on [0, 1] defined as follows. Let an = £ for n e N and let bn = \{an + an+\) for n e N. Let / be defined by setting / ( 0 ) = 0, f(an) = l f o r n e N , f(bn) = 0 for n e N, f is linear on [a„+i, bn] and on [bn, an] for n e N. Show that / £ BV([0,1]). Show also that / is continuous at every x € (0,1] and is discontinuous at x = 0. Prob. 12.8. Let / be a real-valued function on [0, ^~\ defined by
n x )

- \ 0

forx = 0.

Show t h a t / & BV([0, f ] ) . Prob. 12.9. Let / ( * ) = sin JC for x e [0, 2?r]. (a) Find the total variation function v/ of / on [0, 27r]. (b) Find a Jordan decomposition of / . Prob. 12.10. Let / be a real-valued function on [a, b] such that / € BV([a, x]) for every x € [a, b) and consider the total variation function v/(x) = V ^ ( / ) forx e [a,b). (a) Show that / € BV([a, b]) if and only if vf is bounded on [a, b), or equivalently, lim vf(x) < oo => / e BV([a, b]) ]imvf(x)
x—*b

= oo => f

#BV([a,b]). vNf).
x—*b

(b) Show that if lim v/(x) < oo and if / is continuous at b, then lim vr(x) =

(c) Show by constructing a counter example that the equality in (b) does not hold without the continuity of / at b. Prob. 12.11. For each p € (0, oo), let fp be a real-valued continuous function on [0, j ] defined by fM_J*PsinI for*6(0,f], / W _ l 0 forx=0. (a) Show that / € BV([0, f ]) if p e (1, oo). (b) Show that / £ BV([0, \]) if p € (0,1]. Prob. 12.12. Let / 6 BV([a, b]) and g € BV([c, d]). Assume that / ( [ a , fc]) C [c, rf] so that g o / is defined on [a, b]. Is g o / a BV function on [a, ft]? Prob. 12.13. Let / be a real-valued continuous and BV function on [0, 1]. Show that
n

„i™EI/e-/(¥)l =o.
1=1

|2

Prob. 12.14. Let (/,- : i e N) and / be real-valued functions on an interval [a, b] such that lim fi(x) = f{x) forx e [a, b]. Show that V a 6 (/) < liminf V*(/i).
I - > OO I - > OO

Prob. 12.15. Let (// : / e N) and / be real-valued functions on an interval [a, 6] such

§12 Monotonicity and Bounded Variation

269

that lim /;(*) = f(x) for* e [a,b]. Show that if/; e BV([a,b]) for every i e N then feBV{[a,b]). Prob. 12.16. Let / be real-valued and differentiable everywhere on (a, b). Show that the derivative / ' is a Borel measurable function on (a, b).

270

Chapter 3 Differentiation and Integration

§13

Absolutely Continuous Functions

[I] Absolute Continuity
Definition 13.1. We say that a collection of closed intervals in R is non-overlapping if their interiors are disjoint. A real-valued function f on a finite closed interval [a, b] is said to be absolutely continuous on [a, b] iffor every e > 0 there exists 8 > 0 such that for any finite collection of non-overlapping closed intervals {[ak, bk ] : k = 1, . . . , n} contained in [a, b] with Y!k=\ (bk ~ ak) < S, we have Y!k=\ \f(bk) - f(ak) I < £• Note that unlike continuity, absolute continuity is not a pointwise property of a function; rather it is a property of a function on a finite closed interval. Theorem 13.2. Let f be an absolutely continuous real-valued function on [a, b]. Then (a) / is uniformly continuous on [a, b]. (b) / is a function of bounded variation on [a, b]. Proof. 1. To show the uniform continuity of / on [a, b], let e > 0 be arbitrarily given and let S > 0 be as in Definition 13.1. Thus if x\ x" e [a, b] and \x' - x"\ < 8, then I/O*') — f(x")\ < E- This proves the uniform continuity of / on [a, b]. 2. To show that / is a BV function on [a, b], let e > 0 be arbitrarily given and let 8 > 0 be as in Definition 13.1. Let N e N be so large that jj(b — a) < 8 and let % be the partition of [a, b] into N closed subintervals I\,... ,IN with equal length jj(b — a). Let T be an arbitrary partition of [a, b]. Consider the partition T U To of [a, b]. It partitions each /* into finitely many closed subintervals fa,i, ••• , h,n(k) with n(k) eN for k = 1 , . . . , N. Let IkJ = [akj,bkj] for ;' = 1 , . . . , n(k) andk = 1 , . . . , N. Then
N n(k)

Vba{f, V) < Vab{f, 7u?o) = J212 \f^j) - f(akj)\k=\ j=\

Now since £ " = 1 ( ^ . 7 - akj) = jj(b - a) < 8, we have £ " * \f(bkJ) - f(akJ)\ < s. Thus V*(/, 9) < Ne and then V*(/) = s u p ? ^ b V*(/, ?) < Ne < 00. This shows that / is a BV function on [a, b]. • The converse of Theorem 13.2 is false, that is, a continuous function of bounded variation on [a, b] may not be absolutely continuous on [a, b]. We shall show that the CantorLebesgue function is such a function. Corollary 13.3. If f is an absolutely continuous real-valued function on [a, b], then f is ?&]Si-measurable on [a, b]; the derivative f exists (9RL, p,L)-a.e. on [a, b] and is VOlLmeasurable and p.L-integrable on [a, b\ Proof. An absolutely continuous real-valued function on [a, b] is a function of bounded variation on [a, b] by Theorem 13.2. Thus the Corollary follows from Theorem 12.21. •

§13 Absolutely Continuous Functions

271

We show in Theorem 13.17 that actually f, „ / ' djxL = f(b) - f{a) for an absolutely continuous function / on [a, b]. The derivative of a function can be used to estimate the range of the function in terms of its domain of definition. As a simple example, let / be a real-valued continuous function on a finite closed interval / = [a, b] with derivative / ' such that \f'\ < M o n (a, b) for some constant M > 0. Since / is a compact set in R and / is continuous, / ( / ) is a compact set in R and thus / ( / ) € 2$R. Since / is bounded on / , inf / / and sup, / are finite. By the continuity of / on / , there exist x\, X2 s / such that f{x\) = inf/ / and f(x.2) = sup7 / . By the Mean Value Theorem, we have fixj) — f{x\) < M\x\ — x2\ < MfiL(I). Now / ( / ) C lf(xi), f(x2)]. Thus fiL(f(I)) < f(x2) - / ( * i ) < MfiL(I), which estimates the Lebesgue measure of the set / ( / ) in terms of the Lebesgue measure of / . The next Theorem gives such an estimate for f(E) where / is a continuous function on [a, b] and E is an arbitrary OTL-measurable subset of [a, b] on which / ' exists and is bounded. Lemma 13.4. Let f be a real-valued function defined on a finite closed interval I = [a, b]. Let E be an arbitrary subset of I such that f'(x) exists and \f'(x)\ < M for some constant M > 0 for every x e E. Then n*L(f(E)) < Mfi*L(E). Proof. Let x e E. Then f'(x) exists and \f'(x)\ 1/ M l = lim I y^-x < M, that is, < M. y —X I

Thus for every x € E there exists S > 0 such that \f(y)~ For every n € N, let (1) En = {xeE: \f(y) - f(x)\ < M\y - x\ fory e (x - \,x - i ) } . f(x)\ <M\y-x\ f o r v e (x - S, x + 8) n [a, b].

Then every x e E is, contained in En with sufficiently large n € N so that E C UneN E"On the other hand E„ C E for every n e N and (En : n e N) is an increasing sequence of subsets of E. Thus we have E = |L,=M En = lim En. By Lemma 3.21 and Remark 2.16
e

«->oo

the Lebesgue outer measure fi*L on R is a regular outer measure. Then by Theorem 2.11, En t E implies (2) li*L(.E)= lim
L

ifL{EH).
L

n—*-oo

We have also / ( £ ) = / ( U n e N E") = UneN f(E")- Since ( £ „ : « € N) is an increasing sequence, (f(En) : n € N) is an increasing sequence. Thus UneN f(En) = lim f(En). Therefore f(E) = lim / ( £ „ ) . Then f(En) t f(E) implies by Theorem 2.ffthat
n—>oo

(3)

^ ( / (

£

) ) = „ ! ™ ^ (/(£»))•

272

Chapter 3 Differentiation and Integration

For each n € N, let us estimate /it* ( / ( £ „ ) ) by fi* (£„). Let e > 0 be arbitrarily given and let (I„tic : k € N) be a sequence of open intervals such that (4) (5)
k€M

l(In,k) < 1 / "

foryfcsN,

(6) Then we have (7) and (8)

£>(/«,*) < n*L(En) + e.
k€M

En =•Enn({Jintk) km

= \J(En
ken

f(En) = / ( I \(E„n /„,*)) = 1 1 /
<teN *eN

If xi, x2 e £„ n /„,* then |/(JCI) - /(x 2 )l < M\xx - x2\ < Ml(In,k) by (4) and (1). Thus /(£•„ fl /„,£) is contained in an interval of length equal to Ml{I„tk) and hence (9) By (8), (9), and (6) we have / * t ( / ( £ » n / „ , * ) ) <Af£(7„,t).

(10)

H*L(f{En)) = /A*( U /(£„ n /„,*)) < £ , * * ( / ( £ „
*eN /fcsN

n 7

«.t))

< ^ ] M £ ( / „ , t ) < M { M * (£„) + £}.
ifceN

Then by (3), (10), and (2) we have

Since this holds for an arbitrary e > 0, we have /u.* ( / ( £ ) ) < M/A* ( £ ) .

I

Theorem 13.5. Let f be a real-valued function on [a,b]. Let E be a VJtL-measurable subset of [a, b\. Suppose the derivative f of f exists at every x e E. Then we have

fSL(nE))<fE\f'\dnL.
Proof. The existence of f on E e WlL implies that / ' is SPtL-measurable on E by Proposition 12.4. Consider first the case that / ' is bounded on E. Let M e N be such that | / ' | < M on E. For every n e N, let E„jc = {xeE:\f'(.x)\e [*£-,&)} f o r * = l , . . . ,2"M.

§13 Absolutely Continuous Functions

273

Then {E„,k : k € N} is a disjoint collection in 9JTL by the 9JtL-measurability of / ' on E and U f i f En,k = E. Now f(E) = / ( U ™ £ » . * ) = [jT=i f(En,k) so that we have IM*L(/(£)) < E f J i ' K ( / ( £ « , * ) ) • Now | / ' | < £ on £„,* implies that we have /x*(/(£ n > t)) < ^iiL(E„tk) by Lemma 13.4. Thus we have
2"M , *=1 2"M , _ . £=1 2"M
k=\

K(/(£)) < E ™M£»,*) = E -^-M*-.*) + E ^M£«.*)Since | / ' | > ^ on £•„,£, we have / £
2"M
.

| / ' | dp,L > ^rPL(Entk)2"M
.

Then we have
j

M:(/(£))<E/

l / W t + E ™M£«,*) = / l/VML + - ^ ( £ ) .

Since this holds for every n e N, we have p.*(f(E)) < fE \f'\d/j,L. This proves the Theorem for the particular case that / ' is bounded on E. For the general case, let En = {x e E : \f'(x)\ € [n — l,n)} for n e N. Then {E„ : n e N} is a disjoint collection in SDTL and Zs = (JneN &"• By our result above, we have H*L(/(£»)) < / £ „ I / V M , for every « € N. Now f(E) = / ( U „ e N £») = U „ e N / ( £ » ) • Then by the countable subadditivity of p.* we have

/<(/(£» <EK(/( £ »» ^E / i/w t = / i/w*This completes the proof. •

[II] Banach-Zarecki Criterion for Absolute Continuity
Definition 13.6. Let f be a real-valued function on [a, b]. We say that f satisfies Lusin's Condition (N) on [a, b] if for every subset E of [a, b] which is a null set in (R, WtL, pL), the set f(E) is also a null set in (R, VfJlL, pL). Lemma 13.7. If a real-valued function f is absolutely continuous on [a, b], then for every e > 0 there exists S > 0 such that for every countable collection {[an, bn] : n e N} of non-overlapping closed intervals contained in [a, b] such that ^2n€^(bn — an) < S, wehave Proof. Let e > 0. By the absolute continuity of / on [a,b], there exists S > 0 such that for any finite collection of non-overlapping closed intervals {[ak, bk\ :k = 1 , . . . ,n\ contained in [a, b] with X^ =1 (fc* - ak) < $, we have J2k=i \f(bk) ~ /(a/01 < §. Take an arbitrary countable collection {[a„, b„] : n € N} of non-overlapping closed intervals contained in [a, b] such that ^2neN(bn — a„) < S. Then for every N e N , the collection {{ak, bk]: k = 1 , . . . , iV} is a finite collection of non-overlapping closed intervals contained in [a, b] with £f=i( f e * - ak) < S so that J^k=l \fibk) ~ f(ak)\ < §. Since this holds for every N e N, we have £ „ e N \f(bn) - f(an)\ = lim £ f = 1 \f(bk) - f{ak)\ < § < e.

274

Chapter 3 Differentiation and Integration

If / is absolutely continuous on [a,b], then / is continuous on [a, b], that is, / is continuous at every x 6 [a, b]. (Actually the absolute continuity of / on [a, b] implies its uniform continuity on [a, b] as we show in Theorem 13.2.) Now the continuity of / on [an, bn] implies that there exist a„, /S„ e [an, bn] such that f(a„) = inf[ajli6n] / and f(Pn) = suP[a„,fc„] / • Since [a„ A pn, an v f3n] c [a„, bn], we have a countable collection of non-overlapping closed intervals {[an A f3n, an v f3n] : n e N} contained in [a, b] with X! ngN (a„ v f}n - an A fin) < J2neFs(bn - a„) < 8. Then our result above implies that E „ £ N l / ( a » v Pn) - f(an A /3„)| < e, that is, E „ e N {sup [fljtA] / - inf [ a t , w / } < e. • Theorem 13.8. (Banach-Zarecki) Ler f be a real-valued function on [a, b]. Then f is absolutely continuous on [a, b] if and only if it satisfies the following three conditions: 1° f is continuous on [a, b]. 2° / is of bounded variation on [a, b]. 3° / satisfies Condition (N) on [a, b]. Proof. 1. Suppose / is absolutely continuous on [a, b]. Then by Theorem 13.2, / is continuous and of bounded variation on [a, b]. It remains to show that / satisfies Condition (N) on [a, b]. Since /x* ({/(a), fib)}) = 0, it suffices to show that for every subset E of (a, b) with n*L(E) = 0, we have /x*(/(£)) = 0. Now let E C (a,b) with /x*(.E) = 0. Let e > 0 be arbitrarily given. According to Lemma 13.7, the absolute continuity of / on [a, b] implies that there exists S > 0 such that for every countable collection {/„ : n e N} of non-overlapping closed intervals contained in [a, b] with EneN Wn) < 5 we have EneN {suP/„ / — inf/„ / } < e - Now by Lemma 3.21, there exists an open set O containing E and contained in [a, b) such that fiL(0) < ji*L{E) + S = 8. Let O = L L N ^ " ^ " ) w n e r e i(an,bn) : n e N} is a disjoint collection of open intervals. If we let /„ = [an,bn], then {/„ : n e N} is a countable collection of non-overlapping closed intervals contained in [a, b] such that
E n e N Wn) = E n e N ^ " ~ a") = M ° ) < 8. Then E „ e N { SUP[a„,fc„] / ~
inf

[a„,M / } <

e. Since £ C O = \Jn&i{an,bn), we have f(E) C L L N f((an,b„)). This implies t h a t / ^ ( / ( E ) ) < E „ 6 N ^ ( / ( ( f l « . *»)))• But f((an,bn)) C [inf [ a „, 6 B ] /, s u p ^ . ^ / ] so that xx*(/((a„, £„))) < sup [ f l n A ] / - inf[a„,fc„] / for every « € N. Thus we have IJ-*L{f(E)) < E„eN { suP[a„,6„] / - mhanM / } < e - B Y t h e arbitrariness of e > 0, we have /x* ( / ( £ ) ) = 0. This shows that / satisfies Condition (N) on [a, b]. 2. Conversely suppose / satisfies conditions 1°, 2°, and 3°. Let us show that / is absolutely continuous on [a, b]. Now since / is a function of bounded variation on [a, b], its derivative / ' exists a.e. on [a, b], is QH^-measurable, and x^-integrable on [a, b] by Theorem 12.21. By Theorem 9.26 (Absolute Uniform Continuity of the Integral), the [ihintegrability of / ' implies that for an arbitrary £ > 0 there exists 8 > 0 such that (1) f\f'\dnL<E for every F C[a,b],F € 9PTL, with ^ (F) < 8.

Let Ik = [ak, bk], where k = 1 , . . . , n, be non-overlapping closed intervals contained in [a, b] with EJUI(^<C — ak) < 8. Since / ' exists a.e. on [a, b], the subset of [a, b] on which / ' exists is a VJlL-measurable set. If we let Dk = [x e h • / ' ( * ) exists} then Dk e 2T L

§13 Absolutely Continuous Functions

275

and Ek := h\Dk e 9JtL for k = 1 , . . . , n. Since / ' exists a.e. on [a, b], Ek is a null set in (R, SDTL, fiL) and thus by Condition (N) we have /x* (f(Ek)) = 0 for £ = 1 , . . . , n. Since / is a continuous function, the Intermediate Value Theorem implies that f(h) is an interval. Since Ik is a compact set in R, the continuity of / implies that f(Ik) is a compact set in R. Thus / ( / * ) is a finite closed interval. Therefore f(Ik) = [min/ t / , max/ t / ] . Then (2) \f(h) - / ( a t ) | < max / - min / = M. (/(/*))• h h

Since Ik = DkU Ek, we have / ( / * ) = /(D*) U / ( £ * ) . Then by Theorem 13.5, we have (3) /* t (/(/*)) < K ( / ( ^ ) ) + /**(/(£*)) < /
JDk

\f'\dfiL.

Now D^ C lk for A = 1 , . . . , n and {Ik : k = 1 , . . . , n} is a collection of non-overlapping : finite closed intervals. This implies that the inter section of any two members of the collection {Dk : k = 1 , . . . , n} is either 0 or a singleton. Then by (2) and (3) we have n (4) Now
n rt n
n
n

r

r
•/U*=i Dt

Y. i/(**> - /(«>i ^ E / I / ' I ^ = /
k=\ <t=i -D*

I/'I d*v

(5)

/x,(|J At) = 2> t (Afc) = ^ M ' * ) - I > * - a*> < 3< e. This

Then applying (1) to the last integral in (4), we have Yi"k=\ \fQ)k) — f(ak)\ proves the absolute continuity of / on [a, b\. •

Example. The Cantor-Lebesgue function x is continuous and increasing on [0,1] and is thus a continuous BV function on [0, 1]. However it is not absolutely continuous on [0, 1] since it does not satisfy Condition (N) on [a,b]. Recall that r maps [0, 1] onto [0,1] and it maps the open set G contained in [0,1] with /xL(G) = 1 in the construction of the Cantor ternary set T in [VI] of §4 onto a countable subset F = {\\ ^ , ^ ; ^ , p , ^ , ^ ; . . . } of [0,1]. Thus for the Cantor ternary set T = [0,1] \ G, which is a null set in (R, WtL, /x J , we have r(T) = [0,1] \ F which is not a null set in (R, WlL, / x j . Let E be a VfJlL-measurable subset of [a, b]. For a real-valued continuous function / on [a, b], the set f(E) need not be DJlL-measurable. (See Proposition 4.38.) We show next that if / satisfies Condition (N) in addition, then f(E) is VJtL -measurable. Proposition 13.9. Let f be a real-valued continuous function on [a,b]. If f satisfies Condition (N) on [a,b], then for every E e 2Jl i , E C [a,b], we have f(E) e 9JlL. In particular if f is a real-valued absolutely continuous function on [a,b], then for every E e *mL, E c [a, b], we have f(E) e WtL.

276

Chapter 3 Differentiation and Integration

Proof. Let F c [a, b] and E e 1ML. By Theorem 3.22, there exists an F a -set F c F such that \LL (E\F) = 0. Since F is an FCT-set contained in [a, b], we have F = U„€N c « where (C„ : n e N) is a sequence of closed sets contained in [a, b]. Thus C„ is a compact set and the continuity of / implies that f(C„) is a compact set so that / ( C „ ) e £PTL for n e N. NowF = F U ( F \ F ) = ( U „ e N C „ ) U ( £ \ F ) s o t h a t / ( F ) = ( U „ e N / ( C „ ) ) U / ( £ \ F ) . Since /x L (F \ F) = 0, Condition (N) on / implies yu.* (f(E \ F)) = 0. Since (R,mL,fiL) is a complete measure space, this implies that f(E \ F) e 9JZL. Thus / ( F ) is a countable union of members of 9Jl L and is therefore a member of 9Jt L . •

[III] Singular Functions
Definition 13.10. A real-valued function f on [a, b] is said to be singular on [a, b] if its derivative f exists and f = 0, (0JlL, nL)-a.e. on [a, b]. Example. The Cantor-Lebesgue function r on [0, 1] is constant on each of the disjoint countable collection of open intervals which constitute an open set G C [0,1] which has fiL(G) = 1. Thus the derivative r ' exists and r' = 0 on G. This shows that r is a singular function on [0,1]. Proposition 13.11. If f is a real-valued function which is both absolutely continuous and singular on [a, b], then f is constant on [a, b]. Proof. 1. Let us show that if / is both absolutely continuous and singular on [a,b], then K(/([a.A]))=0. The singularity of / on [a, b] implies that there exists a null set E in (R, 9JtL, fiL) contained in [a, b] such that / ' exists and / ' = 0 on D = [a, b] \ E. Then [a, b] = D U E and f([a, b]) = / ( D ) U / ( F ) so that A*J(/([a, b])) < /x*(f(D)) + /i*L(f(E)). Since D € 97tL and / ' = 0 on D, we have / i * ( / ( D ) ) < fD \f'\d\iL = 0 by Theorem 13.5 so that /x*(/(D)) = 0. On the other hand, since / is absolutely continuous on [a, b], it satisfies Condition (N) on [a, b] by Theorem 13.8. Then \xL (E) = 0 implies /x* ( / ( F ) ) = 0. Therefore M* (f([a,b])) =0. 2. Now since / is continuous on [a, b], if it were not constant on [a, b] then / ( [ a , b]) would contain an open interval by the Intermediate Value Theorem for continuous functions, and then we would have n* (f([a, b])) > 0, a contradiction. I

[IV] Indefinite Integrals
Definition 13.12. Let f be a /xL-integrable extended real-valued f)JtL-measurable function on [a, b]. By an indefinite integral of f on [a, b] we mean a real-valued function F on [a, b] defined by F(x) = L , / d/xL + c for x e [a,b] where c is an arbitrarily selected real number. For an arbitrary indefinite integral F of / as defined above, F(a) = / ( a ) / dfiL +c — c. Also if F\ and Fj are two arbitrary indefinite integrals of / , then F\ - F2 is a constant

§13 Absolutely Continuous Functions function on [a, b\.

277

Lemma 13.13. Let fbe a \JLL-integrable extended real-valued VOXL-measurable function on [a, b]. If some, and hence every, indefinite integral of f is a constant function on [a, b], then / = 0 a.e. on [a, b\. Proof. 1. Let us show first that if an indefinite integral of / is constant on [a, b], then f0 f dfiL = 0 for every open set O C (a, b) and then fc f dfiL = 0 for every closed set C C (a, b). Let F be an indefinite integral of / on [a, b}. Then F(x) = f, . / d/uL +cfor x e [a, b] where c e R. If F is a constant function on [a, b], then for any a < x' < x" < b, we have (1) /
J(x',x")

fdixL

= I
J(x',x"]

fd(iL

= /
J[a,x"]

fdfiL

- /
J[a,x']

fdfiL

=

{F(x")-c}-{F(x')-c}=0.

Let O be an open set in R contained in (a, b). Then O is the union of countably many disjoint open intervals (x'n,x'^), n € N, contained in (a, b). By (b) of Lemma 9.10 and (1),

(2)

[ fdnL= [

fdnL = Y[

fdixL=Q.

Let C be a closed set in R contained in (a, b). Then O := (a, b) \ C = (a, b) D Cc is an open set in R contained in (a, b) so that by (2) we have

(3)

f fdnL= f fdnL+ f fdfiL= f
JC JC JO J(a,b)

fdnL=Q.

2. To show that / = 0 a.e. on (a, b), let us note that {(a, b) : f ^ 0} is the union of two disjoint OTi-measurable sets {(a, b) : f > 0} and {(a, b) : f < 0}. This implies then HL[{a,b) :f^0} = HL{(a,b) : f > 0} +nL{(a,b) : / < 0}.

Suppose the statement / = 0 a.e. on (a, b) is false. Then fiL[(a, b) : f ^ 0} > 0 and thus at least one of fiL{(a, b) : f > 0} and nL[(a, b) : f < 0} is positive. Consider the case nL{(a, b) : / > 0} > 0, that is, y := fiL(E) > 0 where £ = {(a,b) : / > 0}. Let Ek = [(a, b) : f > | ) for k € N. Then (£* : k € N) is an increasing sequence in DJlL with lim Ek = (J*SN Ek = E and thus y.L(Ek) t V,(E). Then there exists feeM such that iJ,L(Ek0) > \y. Since £*„ e 9JtL, by Theorem 3.22 there exists a closed set C in R such that C <Z Ei^ and l^L{Ek0 \ C) < \y • Then we have

M c ) = M#*o) ~ M£*o \ Q > 2 y ~ 4 y

=

4y

>

°'

Since C C Ei^, we have / > 4- on C. Then fc f dfiL > p ^ > 0, contradicting (3). Similarly we get a contradiction if we assume /J-Ll(a, b) : / < 0} > 0. This shows that / = 0 a.e. on (a, b). Hence / = 0 a.e. on [a, b]. I

278

Chapter 3 Differentiation and Integration

Lemma 13.14. Let f be a nL-integrable extended real-valued 9JtL-measurable function on [a, b] and let F be an indefinite integral of f on [a, b]. If f is continuous at XQ € [a,b], then F is differentiable at XQ and F'(xo) = f(xo). Proof. By definition F(x) - f[ax] fdfiL + c for x e [a, b] where e e l . Suppose / is continuous at XQ e [a,b]. With h > 0, we have -{F(xo + h)~F(xo)}-f(x0) = ]-\f
=

fd(iL-

[

fd^L\-f(Xl

u
11

l(xo,x0+h] J(xo,xo+h]

$diXi- ~T I

n JrX0r0+h] n J(xQ,xo+h]

f(xo)d/J-l

\ \
" J(x0,xo+h]

{f~f(x0)}dfiL

and therefore (1) \-{F(x0
1

+ h)-F{xo)}-f(xo)\<]-[
' « J{xo,xo+h]

\f -

f(x0)\dnL.

«

Now the continuity of / at XQ implies that for every s > 0 there exists S > 0 such that \f(x) — /(xo)| < s for x e (XQ — S, xo + 8) n [a, b\. Let ft > 0 be so small that h < S. Then \ f^xg ft] \f — f(xo)\dftL < \eh = s. Substituting this in (1) and letting h | 0 we have limsup|i{F(xo + / i ) - F ( x o ) } - / ( x 0 ) | < e.
hi,0

By the arbitrariness of e > 0, we have l i m s u p | i { F ( x 0 + / ! ) - F ( x 0 ) } - f(x0)\
hi,0

= 0.

This implies that the limit inferior is also equal to 0 and then lim \l{F(x0 and thus lim {i{F(x0 + h) - F(x0)} - /(xo)} = 0, + h)F(x0)} - f(x0)\ = 0,

that is, the right-derivative of / a t coexists and (DrF)(xo) = /(xo) € R. Similarly the leftderivative of / a t coexists and (D/F)(xo) = /(xo) e R. This shows that F is differentiable at xo and F'(xo) = /(xo). I Theorem 13.15. (Lebesgue Differentiation Theorem for the Indefinite Integral) Let F be an indefinite integral of a JXL-integrable extended real-valued 9JtL -measurable function f on [a, b]. Then F is absolutely continuous on [a, b] and the derivative F' exists a.e. on [a, b] and is 9JtL-measurable and jxL-integrable on [a, b]. Furthermore F' = f a.e. on [a,b].

§13 Absolutely Continuous Functions

279

Proof. Since the difference between any two indefinite integrals of / is a constant function, it suffices to prove the Theorem for the particular indefinite integral Fo of / defined by (1) Fo(x) = /
J[a,x]

/' d\xL

forx

e[a,b]

with the arbitrary constant c in Definition 13.12 being equal to 0. We have Fo(a) = 0. 1. To prove the absolute continuity of Fo on [a, b], let s > 0 be arbitrarily given. By Theorem 9.26, there exists 6 > 0 such that fE \f\d[iL < e whenever E C [a,b], E € SDT^, and fiL(E) < S. Let {[ak, bk] '• k = 1 , . . . , n] be an arbitrary finite collection of non-overlapping closed intervals contained in [a, b] with YH=i (bk — aic) < 8. Then

J2\Fo(bk)-F0(ak)\=J2 \
k=\ k=i

fd^L-\
J[a,ak]

fdliL\
'

J[a,bk]

<T[
k=lhak,bk\

\f\d(iL=

f
J\Jk^(ak,bt]

\f\dfiL<e,

since A t i (Ut=i( a *> bk]) = YTk=\(bk — ak) < &• This proves the absolute continuity of Fo on [a, b]. Then by Corollary 13.3, FQ exists a.e. on [a, b] and is 9DtL-measurable and jti^-integrable on [a,b]. 2. Let us prove FQ = / a.e. on [a, b]. Now since FQ and / are /x t -integrable on [a, b], so is FQ — / . If we show (2) / {F f IK ^ - f]dfi =0
L

forxe[a,b].

J[",x]

then every indefinite integral of FQ — / is a constant function on [a, b], and this implies according to Lemma 13.13 that FQ — / = 0 a.e. on [a, b], that is, FQ = f a.e. on [a, b] and we are done. Thus it suffices to prove (2). Note that (2) is equivalent to the equality f[a,x] Fo d^t = I[a,x] f d^L f o r xe[a, b], that is, (3) /
J\a,x] >[>

FQdnL = Fo(x) forx

e[a,b].

Thus it remains to prove (3). 3. Let us consider first the case that / is a bounded real-valued VOlL -measurable function on [a, b], say | / | < M on [a, b] for some M > 0. Let us extended the domain of definition of / from [a, b] to [a, b + 1] by setting f(x) = 0 for x € (b, b + 1]. Then the domain of definition of Fo is extended from [a, b] to [a, b + 1] and FQ(X) — Fo(b) for x e (b, b + 1]. Then Fo is continuous and hence 97tL-measurable on [a, b + 1]. Thus for every n e N, Fo (x + -) is a 9JtL-measurable function of x e [a, b] according to Theorem 9.31 (Translation Invariance). Let us define a sequence (G„ : n € N) of real-valued 9Jt t measurable functions on [a, b] by setting (4) Fo (x + -) - F0(jc) Gn(x) = - ^ si ^11 forx € [a, b].

280

Chapter 3 Differentiation and Integration

Since FL exists a.e. on [a, b], we have lim Gn = FL a.e. on [a, b]. Now \G„(x)\ = n\F0(x + ±) - F0(x)\ = n\ [ fd/iL-f 1 [a,x+1-] J\a,x+U Jo \f\d[iL<nMfdfiL\ '

J[a,x] J\aM

= M forx e [a, b] and« e

Thus (Gn • n € N) is a bounded sequence of real-valued 9DtL-measurable functions on [a, &]. Then by the Bounded Convergence Theorem (Theorem 7.16), we have (5) / F^dfiL = lim f Gn dnL = lim n f {F0(t + ±) - [ J[aiX] f F0(t)}nL(dt)

= lim n\ [ F0(t)fiL(dt) «-oo 1 4 + 1 , , + i ] = lim n\ f F0(t)fiL(dt)-

Fo(t)/iL(dt)\ I F0{t)iiL(dt)\,

where the third equality is by Theorem 9.31. Now FQ is a real-valued continuous function on [a, b + 1] and is thus /xL-integrable on [a, b + 1]. Then according to Lemma 13.14, its indefinite integral defined by <&o(x) = fra x] FodfiLfoTx € [a, b+ 1] is differentiable with <&'0(x) = Fo(x) forx e [a, & + 1]. This implies lim n{<t>o(x + ±) - <I>o(x)} = F0(x) But from the definition of <> we have Jo *o(* + £) - &o(x) = / Thus we have lim n \ Fodfi, = FQ(X) forx 6 [a,b]. " ^ ° ° J(x,x+1-] Applying this to the two integrals in the last member of (5), we have / FQdfiL = Fo(x) - Fo(fl) = FQ{X) forx e [a, b]. J[a,x] This proves (3) for the case that / is a bounded real-valued DJtL -measurable function on [a, b]. 4. Next consider the case that / is a /AL-integrable nonnegative extended real-valued 9JlL-measurable function on [a, b]. In this case, the indefinite integral FQ of / is a realvalued increasing function on [a, b] so that by Theorem 12.10 (Lebesgue), the derivative FQ exists a.e. on [a, b] and is 9JtL-measurable and /LiL-integrable on [a,b], and furthermore (6) /
J[a,x]

forx e [a, 6].

J[a,x+{-}

F0diiLJ[a,x]

F0dixL=

/

hx,x+{-\

F0d/j.L.

FodfiL < FQ(x) - Fo(a) = /
J[a, x]

f d\ih

forx € [a, b].

§13 Absolutely Continuous Functions

281

If we show that FQ > / a.e. on [a, b], then we have J [a x, F^d^L > / [ a ^ fd/iL for x e [a, b] and this and (6) imply L , F Q ^ / ^ = f,a ^ f' d[iL = Fo(x) for x e [a, b], which is (3). To show that FQ > / a.e. on [a, b], consider the truncation of / at level n, that is, / M ( J C ) = min [f(x), n) forx e [a, b] and n € N. Consider the indefinite integral Fn of f[n] on [a, b] defined by F„(JC) = f[a x] f[n] dfiL for x e [a, b]. Since fn] is a bounded real-valued 9JtL-measurable function on [a, b], we have F,J = / ^ a.e. on [a, &] by our result in 3. Consider the indefinite integral Gn of the nonnegative extended real-valued DJtL-measurable function / — / [ n ] on [a, b] defined by Gn(x) = f. , {/ — / [ n ] } dfiL for x e [a,fe]. Thenonnegativityof/ — / ^ implies that Gn is a real-valued increasing function on [a, £] and thus by Theorem 12.10 (Lebesgue) the derivative G'n exists and G'n > 0 a.e. on [a, ft]. Now for x € [a, fc] we have F0(x)= and therefore F^x) = G'n{x) + F'n(x) = G'n(x) + f[n](x) > fM(x) for a.e. x e [a, b]. f
J[a,x]

fd^L=

[
J[a,x]

{f-f[n]}dnL+f
J[a,x]

f[n]dfiL

= Gn(x) + Fn(x)

Then since / w f / on [a, &], we have FQ > / a.e. on [a,b]. 5. Finally let / be an arbitrary \xL -integrable extended real-valued £PtL-measurable function on [a, b\. We let / = / + — / " and apply the result in 4 to / + and / ~ . Then FQ exists a.e. on [a, b] and is WlL-measurable and \iL-integrable on [a, b] and FQ = / a.e. on [a,b]. I Lemma 13.16. Let f be an absolutely continuous real-valued function on [a, b]. Iff a.e. on [a, b] then f is constant on [a,b]. =0

Proof. To show that / is constant on [a, b] we show that for every c e (a, b] we have / ( c ) = f(a). Now since / ' = 0 a.e. on [a, b], we have / ' = 0 a.e. on (a, c). Thus there exists a null set F in (R, 9JtL, /^L) contained in (a, c) such that / ' = 0 on E = {a, c) \ F. We have E € VOlL with iiL(E) = /J-L((a, c)) = c - a < oo. Let e > 0 and ?j > 0 be arbitrarily given. Let S > 0 be a positive number corresponding to our e > 0 in Definition 13.1 for the absolute continuity of / on [a,c]. Now at every x € E we have f(x) = 0 so that there exists hx > 0 such that (1) \f(x + h)f(x)\ < r)h for every h € (0,hx).

Then the collection of closed intervals 23 = {[x, x + h] : h € (0, /i x ), JC € E) is a Vitali cover of E. Since |* t (£) < oo,by the Vitali Covering Theorem (Theorem 12.5) there exists a finite disjoint subcollection {/* :fc= 1 , . . . , N} of 23 such that

(2)

nL(E\\Jlk)<8.

282

Chapter 3 Differentiation and Integration

Let Ik = [xk, yk] with xk e E c (a, c) for k = 1 , . . . , N and let {lk : k = 1 , . . . , N] be so numbered that (3) yo = a < xi < yi < X2 < y2 < • • • < xN < yN < c = xN+\.

Since E C (a, c) and nL(E) = [iL((a, c)), (2) implies
N

(4) Now

ixL({a,c)\\Jlk)
k=\

<&.

(a, c) \ ( J /* = (yo, xi) U (yi, x 2 ) U (y2, x 3 ) U • • • U (y w , x w + i ) .
k=\

Thus by (4) we have YJk=0^xk+\ - yk) < &• Then by the absolute continuity of / on [a, c] we have
N

(5)

£|/(**+i)-/(y*)|<£/t=0

On the other hand, (1) and the disjointness of the collection {Ik : k = 1, . . . , N) imply
N N

(6)

J2 I/tV*)-/(**) I < f^Oy*-**) < »?(c-a).

Therefore by (5) and (6) we have \f(c) - f{a)\ = | J^ {/(**+l) - / ( » ) } + E
Jt=0 N
yfc=0 N N

{/<>*) - /(**)} |

k=\ N
*=1

<^|{/(«+i)-/(yt)}| + J]|{/(yt)-/(xt)}|
< e + ^(c — a). Since this holds for every e > 0 and r\ > 0, we have \f{c) — f(a)\ = 0, that is, we have f(c) = f(a). I Theorem 13.17. Let f be an absolutely continuous real-valued function on [a, b\ Then \
J[a,x]

f d\LL = f{x) - f(a)

for x e [a, b\.

Thus an absolutely continuous function is an indefinite integral of its derivative. Proof. / ' exists a.e. on [a, b] and is VJtL-measurable and /^-integrable on [a, b] according to Corollary 13.3. Consider the indefinite integral of / ' defined by cp(x) = } , , f djxL

§13 Absolutely Continuous Functions

283

for x e [a, b]. By Theorem 13.15, <p is absolute continuous on [a, b] and the derivative <p' exists and <p' = / ' a.e. on [a, b]. Since <p and / are absolute continuous on [a, b], ip — f is absolute continuous on [a,b]. Moreover (<p — / ) ' = <p' — f = 0 a.e. on [a,b\. Thus by Lemma 13.16, <p — f is constant on [a, b]. Therefore there exists c e R such that <p(x) — f(x) = c for every x e [a,b]. Then L x-. f dp,L — f(x) = c for every x e [a,b]. With x = a, we have c = J{a) f d\iL -f(a) = -f(a). Thus f[ax] f d\xL = f(x)-f(a) for every x e [a,b]. • As a characterization of an absolutely continuous function we have the following: Theorem 13.18. A real-valued function f on [a, b] is absolutely continuous on [a, b] if and only if it satisfies the following conditions: 1° / ' exists a.e. on [a, b]. 2° / ' is VfllL-measurable and jiL-integrable on [a, b\ 3 ° f[a,x] f'd^L = fix) - f (a) for every x € [a, b\ Proof. If / is absolutely continuous on [a, b], then 1° and 2° hold by Corollary 13.3 and 3° holds by Theorem 13.17. Conversely if 1°, 2°, and 3° hold, then / is an indefinite integral of a /xL-integrable extended real-valued 9JlL-measurable function on [a, b], namely / ' , and is thus absolutely continuous on [a, b] by Theorem 13.15. • The following theorem is contained in Theorem 13.15 and Theorem 13.17. We state it here because of its simplicity. Theorem 13.19. A real-valued function f on [a, b] is absolute continuous on [a, b] if and only if it is an indefinite integral of a \x,L-integrable extended real-valued VRlL-measurable function on [a,b]. Proof. If / is absolutely continuous on [a, b] then / is an indefinite integral of its derivative by Theorem 13.17. Conversely if / is an indefinite integral of a ^tL-integrable VJlLmeasurable extended real-valued function on [a, b] then / is absolutely continuous on [a, b] by Theorem 13.15. I Lebesgue's decomposition of a real-valued increasing function / o n [a, b] as a sum of an absolutely continuous function and a singular function can be derived from the existence and the integrability of / ' (Theorem 12.10) and Theorem 13.15 as follows. Theorem 13.20. (Lebesgue Decomposition of Increasing Functions) (a) For every realvalued increasing function f on [a, b], there exist an absolutely continuous increasing function g and a singular increasing function h on [a, b] such that f = g + h on [a, b]. Moreover the decomposition is unique up to constants. (b) Iff is afunction of bounded variation on[a,b], then there exist an absolutely continuous function g and a singular function of bounded variation h on [a, b] such that f = g + h on [a, b]. The decomposition is unique up to constants.

284

Chapter 3 Differentiation and Integration

Proof. 1. If / is a real-valued increasing function on [a, b], then by Theorem 12.10 the derivative / ' exists and is nonnegative a.e. on [a, b] and furthermore / ' is 9JlL-measurable and /ii^-integrable on [a, b]. Then an indefinite integral of the /xL-integrable nonnegative function / ' defined by g(x) = L j , i / ' ^ t for x € [a, b] is a real-valued increasing function on [a, b]. By Theorem 13.15, g is absolute continuous on [a, b] and g' = f a.e. on [a,b]. If we define a real-valued function h on [a,b] by setting h = f — g, then h' = / ' — g' — 0 a.e. on [a, b] so that h is a singular function on [a,b]. Let us show that h is an increasing function on [a, b]. Let x\,X2 € [a,b] and x\ < X2- By Theorem 12.10, we have f^^ f'dfj.L < f(x2) - / ( x i ) . Now / ' = g' + h' = g' a.e. on [a, b\. Thus f[xuX2] f'dfiL = f[xuxi] g'dfiL = g(x2) - g(xt) by Theorem 13.17 since g is absolutely continuous on [a, b]. Therefore we have g{x2) — g{x\) < / f e ) — f(x\), that is, ( / — g)(x\) < ( / — g)(xi), in other words, h(x\) < h{x2). This shows that h is an increasing function on [a, b]. Thus / = g + h is a decomposition we seek. To prove the uniqueness of the decomposition up to constants, suppose that we have / = gi+hi = g2 + h2 where g\ and g2 are absolutely continuous increasing functions and h\ and hi are singular increasing functions on [a, b]. Then fo '•= gi — g2 = h2 — h\. Now 81 — gl is an absolutely continuous function and h2 — h\ is a singular function on [a,b]. Thus /o being both absolutely continuous and singular is constant on [a, b] by Proposition 13.11. Therefore gi — g2 and hi — h\ are constant on [a, b]. 2. If / is a function of bounded variation on [a,b], then / = f\ — fa where f\ and fa are real-valued increasing functions on [a, b] by Theorem 12.18. Then (b) follows by applying (a) to fa and fa. I If / is an extended real-valued DJtL-measurable and /itL-integrable function on [a, b] then its indefinite integral F on [a, b] is an absolutely continuous function on [a, b] and in particular it is a function of bounded variation on [a,b]. We show next that the total variation of F on[a, b] is equal to the integral of | / | on [a, b]. Theorem 13.21. Let f be an extended real-valued 9JlL-measurable and ^iL-integrable function on [a, b] and let F be an indefinite integral of f on[a, b] defined by

F(x) = I
J[a,x]

f(t) nL(dt) + c forx € [a, b]

where c € R. Then Vj'(F), the total variation of F on [a, b], is given by

Va(F)=f

J[a,b]

\f(.t)\flL(.dt)-

Proof. Let ^ 3 a b be the collection of all partitions of the interval [a, b]. Take an arbitrary partition !P= [a =XQ < ••• <xn = b\. Then for the variation of F on [a, b] corresponding

§13 Absolutely Continuous Functions to 7 we have
n n

285

VJ;(F,7) = YJ\F(xk) - F(xt-!)| = J^ /
n .
•/[a,6]

/ ^

£ _ 1 •'[•»*-l .-**]

Thus we have V fl *(F)= sup V*(F,3>)< /" |/|d/*t

It remains to prove the reverse inequality. Let E\ = [t e (a, b) : / ( f ) > 0} and E2 = {t € (a, b) : / ( f ) < 0}. Then we have Ei, E2 e SD?L> E\ n E% = 0, £ i U E2 = (a, b), and (1) \f\diiL
J[a,b]

= /
J Ei

/<f>L- /
JE2

fdfiL.

Since / is /^-integrable on (a,b), by Theorem 9.26 (Uniform Absolute Continuity of Integral with Respect to Measure) for every £ > 0 there exists S > 0 such that for every E C (a, b), E e DJlL with fiL{E) < S we have (2) / fdfiA
'JE

'

< / |/|rf/x L < e.
JE

Since £,• e £PtL, according to Theorem 3.22 there exists a closed set Q such that C, c £,and /i L (£; \ Q ) < 5 for i = 1, 2. Thus by (2) we have /
J Ei

fdfiL fd^L=

=
JC,

fdfiL+ fd^L+
Jc2

I
JEi\Ci

fdfiL<
JCi

fdfiL

+

(3) /
V JE2

fdfiL>
JE2\C2 JC2

fdiiL~ e.

By (1) and (3) we have (4) /
J[a,b]

\f\dpL<
JCi

fdfiLJC2

fdnL+2e.

Since C, C Ei and Ei n E2 = 0 we have Ci n C2 = 0. Then there exists an open set 0, such that 0, D Ei and Oi fl O2 = 0. We may assume without loss of generality that Oj C (a, b). (If Oj <t (a, b), take O, n (a, &).) Note that while 0,- C (a, b) we may not have Oi C £;. Since C,- e 271^, by Theorem 3.22 there exists an open set G, such that d D Ci and nL(Gi \ Q) < S for i = 1, 2. Let V,- = O, n G, for i = 1, 2. Then V; is an open set and Vj C 0; <Z(a,b). Since Oi n 0 2 = 0, we have Vi n V2 = 0. Since C, C O, and C; C G, also, we have C, c V,-. We have also ^(V,- \ C,) < / x J G ; \ C,-) < 5. Thus

286 by (2) we have

Chapter 3 Differentiation and Integration

/ fdnL=
JC,

I fd/xL +
JV, JVi\Ci

fdfJ,L<
JVi

fd/iL+e,
fdiiL-E.

(5) / fdfiL= I Jc2 By (4) and (5) we have (6) /
J[a,b]

I fdixL+ Jv2

I fdfiL> Jv2\c2

Jv,

\f\dnL<

I fdnLJV\

J
JV2

fdixL+4e.

Since V\ is an open set in R, we have V\ = U<teN(a*> bk) where ((at, bk) : k € N) is a disjoint sequence of open intervals in R. Thus we have iiL(V\) = J2keN fJ.L{(ak, bk))Then since fiL(V\) < oo there exists m e N such that

k=\

k=\

Then by (2) we have

(7)

/ fdiiL= [
m .

fd/xL+ [ fd/J-L+e
HakM)

fdixL

<J2
k=\

J2{F(bk)-F(ak)}+£.
k=\

Similarly since Vi is an open set in R, we have Vi = U ^ e N ^ ' dt) where ( ( Q , df) : I e is a disjoint sequence of open intervals in R. Thus there exists n e N such that

/*t(v2 \ U< c <- di) ) = ^{V2) - XX(< c <- *)) < s Then by (2) we have

(8)

f fdiiL= [
JV2 JW^iciM n

fdnL+ [
JV2\Wt=x(.ci,di)

fd(iL

>J2
n

fdnL-e

§13 Absolutely Continuous Functions Substituting (7) and (8) in (6) we have
n

287

/

\f\d^L<Y{F(bk)

F(ak)} - £ { F ( M - F(ae)} + 6e
t=\ n

<J2\F(h)- FfaO| + £ | F ( f c ) - F ( a < ) | + 6 e .
k=l

t=\

Since ((a^, bk) : k e N) is a disjoint sequence with \Jk^iak, ^*) = ^ ' U ^ e N ^ ' ^ ) ' s = 2 anc s m c e n a disjoint sequence with U ^ e N ^ ' ^ ) ^ * ^l ^2 = 0, we have (ak, 2>t) n (c£, di) = 0 for any k,teN. Let To be the partition of [a, b] with ak,bk : k = I,... ,m and ci, rfi : I = 1 , . . . , n as the partition points. Then

v* (F, To) > J2 \F(bk) - piak)\+Y, \F{bi) k=\ t=\

F

M-

Thus [
J[a,b]

| / | dnL < Va*(F, To) + 6e < V%(F) + 6s.

Since this holds for an arbitrary e > 0, we have j , bAf\ djxL < V%(F). This completes theproofthatVj'(F) = 1 ^ 1 / 1 ^ . I Theorem 13.22. Let f be a real-valued absolutely continuous function on [a, b]. Then

Va(f)=f
J[a,b]

\f'(t)\nL(dt).

Proof. If / is a real-valued absolutely continuous function on [a,b], then by Corollary 13.3 the derivative / ' exists (SD?L, £iL)-a.e. on [a, b] and is 9RL-measurable and fiL-integrable on [a, b] and moreover by Theorem 13.17 we have fix) = [
J[a,x]

fit)

iiLidt) + f(a)

for* e [a, b]. I

Then by Theorem 13.21, we have V%(f) = f[aM \ f {t)\ txL(dt).

[V] Calculation of the Lebesgue Integral by Means of the Derivative
[V.l] The Fundamental Theorem of Calculus Let us consider the problem of recapturing a function by integrating its derivative. According to the Fundamental Theorem of Calculus, if a real-valued function / is differentiable everywhere on [a, b] and its derivative / ' is Riemann integrable on [a, b], then fa fix)dx = fib) — fia). According to Theorem 7.28, / ' is Riemann integrable on [a, b] if and only if / ' is bounded and continuous a.e. on [a, b]. In this way, the Fundamental Theorem of Calculus relies on the continuity of / ' . In contrast to this, if / is an

288

Chapter 3 Differentiation and Integration

absolutely continuous function on [a, b], then according to Theorem 13.17, / ' exists a.e. and is /^-integrable on [a, b] with f[a b] f d/xL = f(b) - f(a). In the next two theorems we show that if, instead of assuming the absolutely continuity of / , we assume that / is differentiable everywhere on [a, b] and / ' is bounded on [a, b] (as in Theorem 13.23 below), or if / is continuous on [a, b], f exists a.e. on [a, b], f is /iiL-integrable on [a, b], and the upper-right Dini derivate D+f > - o o on [a, b) (as in Theorem 13.26 below), then

kaM f'd^

= f(b) - / ( « ) .

Theorem 13.23. (a) If a real-valued function f is differentiable everywhere on [a, b] and f is a bounded function on [a, b], then f is absolutely continuous on [a, b] and thus (b) If a real-valued function f on [a, b] satisfies the Lipschitz condition on [a, b], that is, there exists a constant M > 0 such that \f(x') — f(x")\ < M\x' — x"\ for every x',x" G [a, b], then f is absolutely continuous on [a, b] so that La „ / ' d\xL = f(b) — f(a). Proof. 1. The existence of / ' on [a, b] € %JlL implies that / ' is 9JtL-measurable on [a, b] by Proposition 12.4. Suppose | / ' | < M on[a,b] for some constant M > 0. Then by the Mean Value Theorem we have \f(x")-f(x')\ = \f'(%)(x"-x')\ < M(x"-x') where f e (x',x") for any x', x" e [a, b] such that x' < x". Given £ > 0, let S e (0, fj). Then for any finite collection of non-overlapping closed intervals {[a*, bk] : k = 1 , . . . , n\ contained in [a, b] with Y,"k=1(bk -ak) < S, we have £ L i \f(h) - f(ak)\ < M £ t = i ( * * - ° * ) < MS < e. This shows that / is absolutely continuous on [a, b]. Then La fc, / ' d\xL — f(b) — f{a) by Theorem 13.17. 2. Suppose a real-valued function / satisfies the Lipschitz condition with coefficient M > 0 on [a, b]. For an arbitrary e > 0, let S e (0, ^ ) . Then for any finite collection {[ak,bk] '• k = 1,... ,n] of non-overlapping closed intervals contained in [a, b] such that E"k=i(bk ~ ak) < S, we have Yl=i \f(bk) - f(.ak)\ < M £ L i ( ^ - ak) < MS < e. This shows that / is absolutely continuous on [a, b]. Then by Theorem 13.17, we have f[a.b]f'dliL = f(.b)-f(a). I Regarding the next lemma, let us note that while a real-valued increasing function on [a, b] has at most countably many points of discontinuity, at a point of continuity of / we may have / ' = oo. For example, if f(x) = *Jx for x e [0,1] and f(x) = — ~J\x\ for x € [—1, 0), then / is continuous at x = 0 and / ' ( 0 ) = oo. Lemma 13.24. Let E C [a, b] be a null set in (R, 27lL, ixL). Then for every e > 0, there exists an absolutely continuous increasing function f on [a, b] such that f(b) — f(a) < e and f = oo on E. Proof. Given e > 0. Let (e„ : n e N) be a decreasing sequence of positive numbers such that YLnen en = e- Since fJ.L(E) = 0, for every n € N there exists an open set On D E such that nL(On) < en by Lemma 3.21. Let V„ = f | L i °k forn e N. Then (V„ : n e N) is a decreasing sequence of open sets with /J-L(Vn) < sn forn e N and E C f\eN ^«- Le l V = n„ € N vn- T h e n M y ) ^ M V « ) S e« for every n G N so that nL(V) = 0.

§13 Absolutely Continuous Functions

289

Let gn = Yll=i ^Vk f ° r n e N. Then (gn : n e N) is an increasing sequence of nonnegative real-valued SDT, -measurable and u, -integrable functions on R. Let g = lim gn. Then g is a nonnegative extended real-valued 9JtL -measurable function on R. The JX h -integrability of g on R follows from Theorem 8.5 (Monotone Convergence Theorem). Indeed we have (1) / gdnL= lim / gndjxL = lim /
n k=\ n

Vlvtif/i:

= lim y~V(Vi) < lim Y\sk
k=\

= s.

Consider the indefinite integrals of the \xL-integrable functions g , , n e N , and g defined by fn(x) = I f(x)= I
J[a,x]

gn d\iL gdfiL

for x e [a, b] for n e N, foTx e[a,b].

Then / „ , n e N, and / are all real-valued increasing functions on [a, b] and furthermore absolutely continuous with f'n = gn,n e N, and f' = g a.e. on [a, b] by Theorem 13.15. In particular by Theorem 13.17 and by (1) we have

fib) - f(a) = f
J[a,b]

f'diiL = /
J[aM

gd\iL < f gdiiL
JM

< e.

It remains to show that / ' = oo on E. Since E C V Ci[a, b], let us show that / ' = oo on V fl [a, fc]. If we show that for every x e V C\[a, b], the right-lower Dini derivate (D+f){x) = oo and the left-lower Dini derivate (D-f)(x) = oo, then the right-derivative (Drf)(x) = co and the left-derivative (Dif)(x) = oo and thus f'(x) = oo. Now (D+/)(jt) = liminf,4ofc _1 {/Oe-|-/!) - / ( * ) } • Let x e VC\[a,b]. For h > 0 and an arbitrary n e N, f(x + h)-f(x) If
J

^ 1 /•

j

/„(*+/»)-/„(*)

Since the function 1 ^ is continuous at x e Vjt and since V„ C V* for £ = 1 , . . . , «, the function gn = YH=i lv* i s continuous at x 6 V„. Thus by Lemma 13.14, we have fn{x) = g„(x) = n for x e V„ Pi [a, fc]. This implies that there exists S > 0 such that A " ' ( / » U + ' i ) - / n W ) > n - l f o r / i e (0,3) forJC e VnD[a, b]. Thus (D+f)(x) >n-l for x 6 Vnn[a,b] and in particular for x e F n [u, i>], Since this holds for an arbitrary n e N, we have (D+f)(x) = oo forx e V n [a, b]. The fact that ( D _ / ) ( x ) = oo for x e V n [a, b] can be shown by the same argument observing that , n „, , ,. . c fix + h)(D_ f) (x) = lim inf A to h f{x) . c fix -h)= hm inf hio -h fix)

290 and with / i > 0 w e have fix - h) - f(x) -h = T
11

Chapter 3 Differentiation and Integration

=

f(x) - f(x - h) h gndfiL
" J[x-h,x]

gd/j,L>J[x-h,x]

_ MX) ~ fnjX ~ h) h The rest of the argument is the same as above. •

If / is a real-valued continuous function on [a, b] and if / ' exists and is nonnegative on (a, b) then / is an increasing function on [a, b]. This is an immediate consequence of the Mean Value Theorem. Now if / is a real-valued function on [a, b] then its four Dini derivates always exist whether / ' exists or not. We show next that if the upper-right Dini derivate D+f is nonnegative on [a, b) then / is an increasing function on [a,b]. Lemma 13.25. Let f be a real-valued continuous function on [a, b]. (a) If the upper-right Dini derivate D+ f > 0 everywhere on [a, b), then f is an increasing function on [a, b]. (b) If D+f > 0 a.e. on [a,b) and D+f > — oo everywhere on \a,b), then f is an increasing function on [a, b]. Proof. 1. To prove (a), let us assume that D+f > 0 everywhere on [a, b). To show that / is an increasing function on [a, b], let a, p e [a, b] and a < /?. To show that / ( a ) < fiP), assume the contrary. Then /(/J) — / ( a ) < 0 so that there exists £ > 0 such that (1) f{fi)-f(a)<-e{fi-a).

Let g be a real-valued continuous function on [a, /i] defined by (2) g(x) = fix) - fia) + six - a) for* £ [a, 0].

By (2) and (1), we have giP) < 0. Now (x - a ) - 1 ^ * ) = (x - a)-1 {fix) - fia)} + e forx € (a, /}] so that l i m s u p ^ ( x — a)~1gix) = ( D + / ) ( a ) + £ > £. This implies that there exists XQ e (a, ft] such that gixo) > j£(*o ~ a) > 0- Then by the Intermediate Value Theorem applied to the continuous function g, there exists xi 6 (xo, P) such that gix\) = 0. Let £ = max{x e ixo, P) '• gix) = 0}. By the continuity of g, we have g(£) = 0 and gix) < 0 for x e (£,£]. This implies that (D+g)(f) < 0. But (2) implies that (Z)+g)(|) = (£>+/)(£) + £ - T h u s (D+f)i%) < -e < 0. This contradicts the assumption that D+f > 0 on [a, b]. Therefore / ( a ) < fiP) and / is an increasing function on [a, b]. 2. To prove (b), assume that D+f > 0 a.e. on [a, b) and D+f > —oo everywhere on [a, b). Let a, p e [a, b], a < p, and E = {[a, p\ : D+f < 0}. Then by our assumption, IJ.LiE) = 0 and D+f > 0 on [a, P) \ E. Let e > 0. By Lemma 13.24, there exists an absolutely continuous increasing function g on [a, p] such that giP) — gice) < e and

§13 Absolutely Continuous Functions

291

g' = oo on E. Let /i = / + g on [a, p]. Then h is a real-valued continuous function on [a, 0]. To apply (a) to h on [a, /J], let us show that D+h > 0 everywhere on [a, P). Now for two arbitrary real-valued functions <p\ and <f>2 on a set D, we have supD{<pi + ipi\ > sup D ipi + inf D <p2. Thus we have (3) , h(x + ( O + / 0 O ) = lim sup —
H.0 t

t)-h(x) — , g(x + t)-g(x)

= lim sup
•HO 0 < / « 5

f(x + t)-f(x) t + (D+g)(x).

>(D+f)(x)
+ 1+:

Since D / > —oo everywhere on [a, b) and since g' = oo and hence £>+g = oo on £\ (3) implies that D+h = oo on £\ On the other hand since g is an increasing function on [a, p1], we have t~1{g(x + t) — g(x)} > 0 for t > 0 so that by the second equality in (3) we have , h(x +1) — h(x) , (D+h)(x) > lim sup — — = (D+f)(x)
SiO 0<t<S t

> 0

iorx e [a, P)\E. Therefore D+h > 0 everywhere on [a, P). Thus by (a), h is an increasing function on [a, /?]. Then 0 < h(P) - h(a) = [f(p) - / ( a ) } + {g(p) - g(a)} < f(P) - / ( a ) + e.

Thus f(P) — f(a) > —e. By the arbitrariness of e > 0, we have f(P) > f(a). Since this holds for every a, p e [a, b] such that a < p, f is an increasing function on [a, b]. • Theorem 13.26. Let f be a real-valued continuous function on [a, b] such that f exists a.e. on [a, b] and f is \xL-integrable on [a, b]. If the upper-right Dini derivate D+f > —oo on [a, b), then we have £ , / ' d\xL = f(x) — f(a)for every x € [a, b). In particular, f is absolutely continuous on [a, b]. Proof. The JJLL-integrability of / ' on [a, b] implies that / ' is real-valued a.e. on [a,b]. Then there exists a null set E in (R, WlL, nL) contained in [a, b] such that / ' is a real-valued 9JtL-measurable function on [a, b] \ E by Proposition 12.4. Let us write / ' = 0 on E. (This is just a matter of convenience in notation. Then / ' need not be the derivative of / at x e E.) Let us define two sequences of real- valued VJlL -measurable functions (gn : n e N) and (hn : n e N) on [a, b] by

(1) Then we have (2)

I

gn(x) = min {/"(x),n}

for x € [a, b], e[a,b].

h„(x) = max{/'(x), — n] forx

gn<f, h„>f,

l*nl<l/'l> |AB|<|/'|,

limg„ = / '
n—>oo

on[fl,fc], aa[a,b].

\imh„ = f

292

Chapter 3 Differentiation and Integration

The /xL-integrability of / ' on [a, b] implies the y^-integrability of gn and hn on [a,b]. Now / ' is /^-integrable on [a, b] and hence ^,-integrable on [a, x] for every x € [a, b]. Then by Theorem 9.20 (Dominated Convergence Theorem) we have lim /
^°° J[a,x]

n

gndfiL= hndfj,L=

/
J[a,x]

f'd[iL f dfi,L

iorx&[a,b] for x e[a,b]

(3)

lim I
" ^ ° ° ha.x] l[a,x]

I
J[a,x]

Let Gn and Hn be indefinite integrals of gn and hn respectively defined by Gn(x) = / (4)
J[a,x]

gnd\xL hn(dfiL

foix

e[a,b],

Hn{x) = I
J[a,x]

forx e [a,b].

Let us show that for every n e N, the two real-valued continuous functions / — G„ and H„ — f on [a, b] are increasing functions by showing that they satisfy the hypothesis in (b) of Lemma 13.25, that is, D+(f — G„) > 0 a.e. on [a, b) and D+(f — Gn) > —oo everywhere on [a, b), and similarly for D+(Hn - / ) . Now for any two real-valued functions <p\ and <?2 on a set D, we have supD{<pi — ^2} > sup D (p\ — sup D <p2- Thus for every x e [a, b) we have (5) D+(f - Gn)(x) > (D+f)(x) (D+Gn)(x).

By (4) and (1) we have (6) Gn(x + t) - G„(x) (D + G„)(x) = limsup40 = lim sup 40

-f
t

gndnL
J[x,x+t]

< -nt = n. t By (5) and (6) and by the fact that D+f > —00 on [a, b), we have D+(f — G„)(x) > —00 for every x e [a, b). By Theorem 13.15, G'n exists and G'n = g„ a.e. on [a, b] and hence D+Gn = gn a.e. on [a, b). Thus by (5) and (1), we have D+{f - G„) > / ' - g„ > 0 on [a, b) \ E. This verifies that / — G„ satisfies the hypothesis of (b) of Lemma 13.25 and therefore / — Gn is an increasing function on [a, b]. Then for every x e [a, b], we have ( / - Gn)(x) > ( / - G„)(a), that is, f(x) - f(a) > f[ax] gn d\iL. Letting n -* 00 and recalling (3), we have (7) f(x)-f(a)> f
J[a,x]

fdnL

forxe[a,b].

Similarly for every x 6 [a, 6) we have (8) D+(Hn - f)(x) > (D+Hn)(x) (D+f)(x)

§13 Absolutely Continuous Functions and by (1) we have

293

,n+„w, ,. Hnjx + t) - Hn(x) (D^Hn)(x) = hm sup 40 t 1 r = lim sup -J hn d[iL 40 ' J[x,x+t] 1 > -{-n)t = -n. From (8) and (9) and the fact that D+ f > - 0 0 on [a, b), we have D+(H„ - f)(x) > - 0 0 for all x € [a, b) and D+(Hn — f) > hn — f > 0 on [a, b)\E and thus by (b) of Lemma 13.25, Hn — f is an increasing function on [a,b]. From this we derive by the same argument as above that (9) (10) f(x) - / ( a ) < [
J[a,x]

f'd!iL

for* e [a,b].

With (7) and (10), we have f(x) — f(a) = L , f d^L for* e [a, b]. Now that / is an indefinite integral of the /^-integrable function / ' , / is absolutely continuous on [a, b] by Theorem 13.15. • Corollary 13.27. Let f be a real-valued continuous and increasing function on [a,b]. If D+f > —00 on [a, b), then f is absolutely continuous on [a, b]. Proof. If / is a real-valued increasing function on [a, b], then by Theorem 12.10, / ' exists a.e. on [a, b] and 0 < La „ f d/xL < f{b) — f(a) < 00 so that / ' is /xL-integrable on [a, b]. If we assume that D+f > — 00 on [a, b), then the conditions in Theorem 13.26 are all satisfied and thus / is absolutely continuous on [a, b]. I Let g be a real-valued continuous function on [a, b]. If / is also a real-valued continuous function on [a, b] and if / = g a.e. on [a, b], then / = g on [a, b]. (Indeed the set E = {[a, b] : f ^ g\ is a null set in (R, 97tL, JJLL) and thus Ec is a dense subset of R by Observation 3.6. Thenforeveryx e [a, b], there exists a s e q u e n c e ^ : n e N)in[a, b]C\Ec such that lim xn = x. By the continuity of / and g, we have lim f(xn) = f(x) and
n—>oo n—>oo

lim g(xn) = g(x). Since xn e [a, b] n £ c , we have f(xn)

= g(xn) for every n e N.

Then / ( * ) = *(*).) Let g be a real-valued continuous function on [a,b]. Let /i be a real-valued function on [a, 6] such that h = g a.e. on [a,b]. We show in the next Corollary that if h is the derivative of some differentiable continuous function on [a, b], then h = g on [a, b\. Corollary 13.28. Let h and g be two real-valued function h on [a, b]. Suppose 1° h = g a.e. on [a, b], 2° h = f for some differentiable continuous function f on [a, b], 3° g is continuous on [a, b]. Then h = g on [a, b].

294

Chapter 3 Differentiation and Integration

Proof. Condition 3° implies that g is /LIL-integrable on [a, b]. Then by 1°, h is ^-integrable on [a, b]. By 2°, the continuous function / is differentiable on [a, b] and its derivative h is /^-integrable on [a, b]. Since / ' = ft we have D+f = f = h > - c o on [a, b). Thus / satisfies all the conditions in Theorem 13.26 so that by Theorem 13.26 and 1° we have f(x) — f(a) = /
J[a,x]

hd[j,L=

I
J[a,x]

gd\xL

for every x e [a, b].

This shows that / is an indefinite integral of g. Then 3° implies that / ' = g on [a, b] by Lemma 13.14. Therefore h = g on [a, b] by 2° . I Example. Let H e a real-valued function on [—1,1] defined by h(x) = 1 for x = 0 and /!<>) = Oforx € [ - 1 , l]\{0},andletg = O o n [ - l , l ] . We have ft = g a.e. on [ - 1 , 1 ] . If h were the derivative of some real-valued continuous function on [ 1,1 ], then by Corollary — 13.28, h would be equal to g on [—1,1] contradicting the fact that /i(0) ^ g(0). Therefore h is not the derivative of any function on [—1, 1]. [V.2] Integration by Parts If two real-valued functions / and g are differentiable on [a, b] and the derivatives / ' and g' are Riemann integrable on [a, b], then fg' and f'g are Riemann integrable on [a, b] and fa f(x)g'(x) dx + §ha f'(x)g(x) dx = f(x)g(x) - f(a)g(a). This is the Integration by Parts Formula for the Riemann integral. A corresponding formula for the Lebesgue integral may be stated as follows. Theorem 13.29. Let f and g be two real-valued absolutely continuous functions on [a, b]. Then fg' and f'g are \i L-integrable on [a, b] and for every x e [a, b] we have f
J[a,x]

fg'dnL

+ [
J[a,x]

f'gdixL

= f{x)g(x)

-

f(a)g(a).

Proof. The absolute continuity of / and g implies that of fg. Thus by Theorem 13.17, the derivatives / ' , g' and (fg)' exist a.e. on [a, b] and are VJtL-measurable and /xL-integrable on [a, b], and (1) f
J[a,x]

(fg)'dfiL

= f(x)g(x)

-

f(a)g(a)

for x e [a, b]. Now (fg)' — fg' + f'g wherever both / ' and g' exist, that is, a.e. on [a, b]. Then for every x e [a, b] we have

(2)

[
J[a,x]

(fg)'dviL= [
J[a,x]

[fg' + f'g}dnL.

Since g' is \x,L-integrable on [a, b] and since / is absolutely continuous on [a, b] and is hence bounded on [a, b], fg' is \iL -integrable on [a, b]. Similarly for f'g. Thus for every

§13 Absolutely Continuous Functions x 6 [a, b] we have by Proposition 9.14

295

(3)

[
J[a,x]

{fg' + f'g}dnL= f
J[a,x]

fg'dnL+f
J[a,x]

f'gdiLL.

With(l), (2), and (3), we are done.

Corollary 13.30. Let f and g be two real-valued absolutely continuous functions on [a, b] and let F and G be arbitrary indefinite integrals of f and g on [a, b] respectively. Then Fg and fG are [iL-integrable on [a, b] and for every x e [a, b] we have f
J[a,x]

FgdnL+

f
J[a,x]

fGdiiL

=

F(x)G(x)-F(a)G(a).

Proof. If / and g are absolutely continuous functions on [a, b], then / and g are [iLintegrable on [a, b]. If F and G are arbitrary indefinite integrals of / and g respectively on [a,fc],then F and G are absolutely continuous on [a, 6] and furthermore F ' = / a n d G ' = g a.e. on [a,b] by Theorem 13.15. Applying Theorem 13.29 to the absolutely continuous functions F and G, we have the Corollary. • [V.3] Change of Variables A standard Change of Variable Theorem for the Riemann integral states that if / is a realvalued continuous function on [a, ft] and if g is a real-valued increasing function with continuous derivative g' on [a, b] and g(a) = a and g(b) = /3, then we have the equality fa / ( y ) dy = fa ( / ° g)(x)g'(x) dx. Note that the continuity of g' on [a, b] implies that g is absolutely continuous on [a, b]. In Theorem 13.32 below, we prove a corresponding Change of Variable Theorem for the Lebesgue integral which does not require the continuity ofg'. Lemma 13.31. Let g be an absolutely continuous increasing function on [a, b] which is not constant on [a, b] and let g([a, b]) = [a, /J]. Let D = \[a, b] : g' > 0}. ( a ) / / G C [a,f3] is a Gs-set, then /z t (G) = fg-\(G) (b)IfEC
l

g'dfiL. D D) = 0.

[a, PI E € ?mL, nL(E) = 0, then g~ (E) C\ D e 9XL, /J.L(g-\E)

(c) IfE C [a, p\ and E e VJtL, then g-\E) <1D e DJtL, lg-i(E)g' [a, b] andp.L{E) = f[ab] \g-x(E)g'dnL.

is WlL-measurable on

(Let us note that since [a, b] is a compact set and g is a continuous mapping, g([a, b]) is a compact set. The continuity of g also implies that g([a, b]) is an interval by the Intermediate Value Theorem. Thus g([a, b]) is a finite closed interval which we denote by [a, /}]. Since g is an increasing function, we have g(a) = a and g(b) = p. The fact that g is an increasing function implies also that the derivative g' exists and g' > 0 a.e. on [a, b], g' is 9JtL-measurable and /iL-integrable on [a, b] by Theorem 12.10. The absolute continuity of g implies that f[ab] g' d^iL = g(b) - g(a) = fi - a by Theorem 13.17. The

296

Chapter 3 Differentiation and Integration

97tt-measurability of g implies that g~l(E) e 9JtL for E € 58M, but for E e VJlL we may not have g~1(E) e 9JlL a n d l g - i ( £ ) may not be a DJlL -measurable function. Part(c)of the Lemma asserts that lg-i^g' is a 97tL-measurable function.) Proof. 1. To prove (a), as a particular case of a Ga-set consider first an open interval contained in [a, /J], say (ao, A)) C [a, /}]. Sincegisacontinuousmapping,g _1 ((ao, A)))is an open set contained in [a, b]. The monotonicity of g implies that the open set g~x ((ao, A))) is an open interval, rather than a union of two or more disjoint open intervals. The continuity of g implies that g _ 1 ({ao)) is a closed set contained in [a, b] and similarly g~x ((A)}) is a closed set contained in [a, b\. Let ao = m a x g _ 1 ({ao}) and &o = ming~ l ({/So})- By the continuity of g we have g(ao) = ao and g(&o) = A) and thus g~'((ao, A))) = (ao, bo). Now (1) HL{(oio,Po))=Po-ao = / = g(bo)-g(aQ)= g'dflL= / g' dfiL > g ' "L ^

where the third equality is by Theorem 13.17. Next, let O be an open set contained in [a, Al- Then O = [jn€^(ctn, fin) where ((a„, At) : n e N) is a disjoint sequence of open intervals contained in [a, Al- Then

(2)

MO) = £ >
n€n

t

((«„,&)) = £ / "

/

,s'dlxL^i
•/U.6N«-1((«-M

g'dnL

»6N-/*",(<0-A'>)

• , r 1 (U„ e «(«r,,fe))

-V(O)

where the second equality is by (1) and the third equality is by the disjointness of the sequence (g _ 1 ((a„, At)) : n € N) implied by the disjointness of ((a„, A?) : n e N). If G is a G^-set, then G = f \ e N ^ n w n e r e (<2« : » e N) is a sequence of open sets. If G C [a, A l » t n e n On may not be contained in [a, Al but we can assume On C (a — 1, fi +1) by taking the intersection of On with (a — 1, P + 1) if necessary. To be able to apply (2) to the open sets On C (a — 1, /3 + 1), we extend g to an absolutely continuous increasing function g\ on[a— l,b + 1] with gi([a — 1, b + l]) = [a — 1, f} + 1]. Let gi be defined by setting gi = g on [a, b], g\(x) = x + a — a forx e [a — 1, a], andgi(x) = x + p — b for* e[b,b + 1]. The function g\ thus defined is absolutely continuous and increasing on

[a-l,b+l]wiihg1(a-l)

= a-l,g1(b+l)

= P+l,andgi([a-l,b+l])

=

la-l,p+l].

Now let Vn = Pl*=i O* f ° r « € N. Then (Vn : n € N) is a decreasing sequence of open sets contained in (a — 1, fi + 1) with HneN ^" = ^- Since M t ( ( a — 1, >3 H- 1)) < oo, we have /xL(G) = lim (jiL(Vn). Applying (2) to our absolutely continuous increasing function g\ on [a — l,b + 1], we have nL(Vn) = L-\v) 8i d\iL for n € N. Now since (V„ : n 6 N) is a decreasing sequence, so is (gf'(V,,) : n e N). Thus we have

} ^ x \ v n ) = f| g?(va) = gr!( D y«) = «r!(G).
«eN neN

§13 Absolutely Continuous Functions This implies lim 1 -\,vJx)
«->0O «1 '•y">

297 for x e [a - 1, b + 1]. Now since we have 1], we can apply the Dominated

= 1 -\trAx)
«1 <tJ>

0 < l„-i ( y \g'\ < g\ andgj is/it^-integrableon [a—l,b+ Convergence Theorem (Theorem 9.20) to have (3) M
G

) = lim nL(V„)=

lim /

g\dy.L

= / , hi\G)

8\dlJ'L=

I g'd^LJg-l(G)

This proves (a). 2. Let £ c [a, PI £ € DJtL, and /x L (£) = 0. By Theorem 3.22, there exists a G^-set G D E with jUL(G \ E) = 0. Intersecting with (a — 1, /} + 1) if necessary, we may take G C (a - 1, P + 1). Now / ^ ( G \ £ ) = 0 implies /x L (G) = fiL(E) + fiL(G \ E) = 0. Then by (a), we have fg-\(G) g[ dfiL = nL(G) = 0. Let Di = {[a - 1, b + 1] : g, > 0}. Since g; > 0, we have j " g r i ( G ) n D l g\ dfiL < / g - i ( G ) g\ dnL so that fg-i(G)nDl g[ d\iL = 0. Since g[ > 0 on g f ! ( G ) n £>i, this implies nL(g^(G) n Di) = 0. Now E C G implies g _ 1 ( £ ) n D c gf'CG) n D\. Therefore g~x(E) n D is a subset of a null set g f ' ( G ) n D i in the complete measure space (R, VRL, fiL). Then g _ 1 ( E ) n D e £DTL with / ^ ( g - ^ E ) n D) = 0. This proves (b). 3. Let E c [a, /J] and E € SOI^. As in 2 above, there exists a G^-set G such that E CG C(a-l,p + l) with /x t (G \ E) = 0. Then

(4)

nL(E) = nL(G)= f

g\ dfiL= [

g\ d^L

where the second equality is from (3) and the last equality follows from the definition of the set Di. Since G \ £ C [a - 1, p + 1], G \ E e 97^, and /*L(G \ E) = 0, applying (b) to the absolutely continuous increasing function g\ on [a — 1, 6 + 1] and the null set G\ E, we have gf ! ( G \ £ ) n O i € 9 J t 1 and fiL ( g f ' ( G \ £ ) n £>i) = 0. Since E = G \ (G \ E), we have g^x{E) = g^l{G) \ g^l(G \ £ ) and thus (5) g^iE) n £>i = [gf ! (G) n D^ \ [g~\G \ E) n Di].

Since G e * 8 R , we have gj~'(G) e 2JtL by the 37tL-measurability of g\. Thus by (5), we have g^(E) HDi emL. Since fiL(g^[l(G \ E) n Di) = 0, we have Mz.ter1^)
n

° i ) = A ^ U i ^ G ) n Di).

Since gj~*(E) n D , C gf '(G) n Di and g[ > 0, the equality of the measures of the two sets implies fg-i{E)nDl g[ dfiL = fg-i(G)nDl g[ dfiL. Using this in (4), we have M£)= / , g'\dnL= ^j-'(£)nDi / g'd\iL Jg-HE)r\D ig-i(E)g'dfiL J[a,b]

1 / g-HE)i-Dg'dfiL= J[a,b]

298

Chapter 3 Differentiation and Integration

Theorem 13.32. Let f be an extended real-valued WlL -measurable function on [a, p]. If g is an absolutely continuous increasing function on [a, b] with g(a) = a and g(b) = P, then

(1)

/
J[a,P)

f(y)nL(dy)= [
J[aM

{fog)(x)g'(X)fiL(dx)

in the sense that the existence of one of the two integrals implies that of the other and the equality of the two. Proof. Consider the case f = 1E where £ is a 9JtL-measurable subset of [a, f}]. Then by (c) of Lemma 13.31, we have / fdfiL= J[a,P\ I lEdfiL= J[a,p] = /
J[a,b]

fiL(E)= J[a,b]

\-\,E)g'dfiL

lE(g(x))g'(x)fj,L(dx)

= f
J[a,b]

(fog)(x)g'(x)ixL(dx).

This shows that (1) holds for this particular case. Then (1) holds when / is a nonnegative simple function on [a, /S] by our result above and by the linearity of the integrals with respect to the integrands. If / is a nonnegative extended real-valued OTL-measurable function on [a, fi], then by Lemma 8.6, there exists an increasing sequence of nonnegative simple functions (<pn : n e N) such that <pn f / on [a, p\. Since g is absolutely continuous and increasing on [a, b], g' exists and g' > 0 a.e. on [a, b]. Define g' = 0 on the exceptional null set so that g' > Oon [a, b]. Then we have (<pn°g)g' t (f°g)g'on [ * &]• By Theorem <> 8.5 (Monotone Convergence Theorem), we have lim f, „, <pndnL = J,a „-, f d/j.L and lin^ f[aib](<pnog)g'dtiL = f[aM(f°g)g'dnL. Since <pn is a nonnegative simple function, wehavef[afi](pndiJ.L = f[a b](<pn°g)g'd[iL for every n e N. Thus we have f[aJj] fdnL = ha b^f°S)g' d\iL. This shows that (1) holds when / is a nonnegative extended real-valued WlL-measurable function on [a, p\. When / is an extended real-valued DJtL-measurable function on [a, /J], we decompose / as / = / + — / ~ and apply the result above to / + and / ~ . •

[VI] Length of Rectifiable Curves
Definition 13.33. Let f\,... , fm be real-valued functions on [a, b\. Consider a mapping x of [a, b] into Rm definedby x(t) = (fy(t),... , fm(t)) e Rm fort e [a, b\ We call the subset C = {x(t) : t € [a, b]} ofW" a curve in W" defined by the functions / i , . . . , fm. Definition 13.34. Let C be a curve in K m defined by m real-valued functions f \ , . . . , fm on [a, b\. Let ? = [a = to < ••• < tn = b) be a partition of [a, b] and let 9pat> be the collection ofall partitions of[a, b\ Consider the points x (to), •• • ,x(tn) e C andthe line segments x(to),x(t\),... ,x(tn-\),x(tn) in R m . Let (1) P(7)=x(to),x(ti)U---Ux(tn-i),x(tn).

§13 Absolutely Continuous Functions

299

We call P(?) the polygonal line inscribed to the curve C by the partition 7 of [a, b\. The length of the polygonal line PC?), written t(P(?)), is given by

(2)

l{P(?)) = £*(x(fc-i), *(**)) = £ J2\fi(tk)~fi(tk-i)\2.
k=\ k=\ \J i = l

We define the length of the curve C by setting (3) 1(C) = sup l(P(7)).

We say that the curve C is rectifiable if1(C) < oo. Observation 13.35. For a\,... , am e R, we have \ai\ <

max

EI*I 2 ^X>I\i=l
1=1

Proof. For each i = 1 , . . . ,m, we have |a,| 2 < E™=i |a/| 2 . Thus |a,| < for (' = 1 , . . . ,m so that max, = i „ |a,| < JJ2T=\ lfl,'l2- ^ n
tne

JT!]=\\aj\2

other hand we have

ET=i l«H2 < Ef=> E7=i 1 * 1 = (Ef=i M} «>*atyEr=i kl 2 < E™=i kl- •
Lemma 13.36. Let C be a curve in R m defined by m real-valued functions f\,... , fm on [a,b]. Then for the length l(P(?)) of the polygonal line PC?) inscribed to C by a partition 7 of [a, b] we have
m
i=max

Vab(ft, ?) < e{P(?))

< J2 V5(fi, 3>)
(=1

where V£(fi, ?) is the variation of thefunction f corresponding to the partition ? of [a, b]. Proof. Let a partition of [a, b] be given by ? = {a = to < • • • < tn = b]. Let &k = Mtk)-f(tk-i) Then by (2) of Definition 13.35, we have forfc= 1 , . . . , n ; i = 1 , . . . ,m.

k=\ \J i = l By Observation 13.35 we have for each fixed k = 1 , . . . , n max
( = 1,... ,m

|Ajj.| <
\

£|A<P<£|A<|
«=i
1=1

300

Chapter 3 Differentiation and Integration

and then summing over k = 1,... , n and recalling (1) we have
n n m

<>

2

E,.j£ , m i li < t{p<!F)) < E I E iAii}-

ax

A

Now for each fixed i = 1,... , m, we have

so that we have (3) max v£(fi,P)<l(PCP)).

On the other hand, from (2) we have
n m m n m

(4) ^(p(y))<E{Ei *il = EE{i/'^)-^ *-i)i} = Evr-(^3>)k=\ i=l

A

r

i = l *=1

i=l

With (3) and (4) the proof is complete. • Theorem 13.37. Let C be a curve in W" defined by m real-valuedfunctions f\,... , fm on [a, b]. Then C is rectifiable, that is 1(C) < oo, ifandonly if f \ , . . . , fm G BV([a, b]). Proof. By Lemma 13.36, for any partition T of [a, b] we have
m

. max Vba{f, 7) < l(P(7)) < £
i = l,... ,tn
*—f
i' = l

Vba(f, 7).

Then
m

(1)

sup

max VJ!(fi,?)<

sup l(P(?)) < sup £ > * ( / , - , ? ) .

Now I X , V*(/}, T) < £f=i «»Pa>e¥..t ^ ( / / . ?) so that (2)
m

^p E ^ - ^

SU

m

PE

SU v

m

P a(f^) = Y.
m

SU

in

P ^(/^HE^)-

By (1) and (2) and recalling that £(C) = sup-p^ b l(P(7)) by Definition 13.34, we have

(3)

€(C) < E y * ( ^ ) ;=i

§13 Absolutely Continuous Functions

301

Now if / i , . . . fm € BV([a, b]), then V*(/;•) < oo for i = 1 , . . . , m and £(C) < oo by (2). Conversely if 1(C) = sup.p6«p b i(P(?)) < oo, then (1) implies sup max V%(fi, J") < oo.

This implies that we have supj>e!p . ^ ( / / . T ) < oofor; = 1 , . . . , m, thatis, VJ^/i) < oo for; = 1 , . . . , m s o t h a t / i , . . . , / m € SV([fl, 6]). I Let C be a curve in R m defined by m real-valued functions f\,... , fm on [a, b]. In Theorem 15.35, we showed that 1(C) < oo if and only if f\,... , / m e BV([a, b]). We show below that if f\,... , / m are absolutely continuous on [a, b] then we have

1(C)

-f

J[a,b] <

Proposition 13.38. Lef f be a real-valued function which is differentiable (that is, the derivative f exists and is finite) (93t t , jj,L)-a.e. on [a, b\ For n € N, let (1) and let
(2) Jn,k = (tn,k-l,tnik) far k = 1, . . . , 2".

t„jk =a + k—-^-

fork = 0,1,...

,2"

Define a sequence offunctions (gn : n € N) by setting fUn.k) ~ (3) ?«(0 0 Then (4) lim gn = / ' a.e. on \a,b\.
'n,* —

f(tn,k-l)
tn,k-l

fart

S Jn,k\k=

1,... ,2",

/ o r r = r„,t;* = l , . . . ,2".

Proof. According to Proposition 12.2, if / is a real-valued function on (a, b) and differentiable at some t e (a, b), then for any two sequences (an : n e N) and (bn : n e N) in (a, b) such that an -[ t and bn 11 we have (5) / ' ( 0 = lim /(*„) f(an)

n-+co

bn — an

Suppose / is differentiable a.e. on [a,b]. Then there exists a null set N in the measure space (R, 9Jl L , fiL) such that N c [a, b] and / i s differentiable at every t e [a,fo]\A?. Let G« = {*»,* : k = 0, 1 , . . . , 2"} for n e N and let Q = L L N G«- Then g is a countable

302

Chapter 3 Differentiation and Integration

subset of [a, ft] and is therefore a null set in (R, 9JlL, fiL). Now NUQ C [a,ft]is a null set in (R, Wl,, n,). Consider [a, b] \ {N U Q}. To prove (4) we show that lim gn(t) = /'(f)
n—>oo

for every f € [a, b] \ [N U Q}. Let 5« = [Jn.k • k = 1 , . . . , 2n] for n e N. Then 3« is a disjoint collection of open intervals for each n e N. Moreover if n', n" e N and n' < n" and J' € 3„< and 7" e 3„", then either J' n 7" = 0 or J' D J". Now let f € [a, ft] \ {/V U fi). Then for every n e N we have f e Jn,k(n) f ° r s o m e *( w ) — 1. • • • . 2 " . For brevity let us write (a„, ft„) for JnMn) = (tn,k(n)-i> *»,*(«))• Now since f e (a„, ft„) for every rc e N, for n', n" e N such that n' < «" we have (ani, bni) n (a„», ft„») ^ 0 and hence (an>, bn>) D (a„«, ft„»). Thus ((a„, ftn) : « e N) is a decreasing sequence of open intervals. Then since bn — an = ^r we have lim (ft„ —a„) = 0. Thus we have n n e N ^ " ' bn) = M and this implies that an f f and ft„ 4- t. Therefore (5) holds for our sequence ((a„, bn) : n e N). But we have (6)
f(bn) ~ f(fl„) f(tn,k(n)) ~ /('n,*(n)-l)

= g„(f) for f 6 /„,*(„). Q}

By (5) and (6), we have /'(f) =

lim g„(f) for f e [a, b]\{NU

Theorem 13.39. Let C be a curve in R m defined by m real-valued functions f \ , . . . , fm on [a,b].Iffu... ,fmeBV{[a,b]),then 1(C)
J[a,b] •

£(/p2^-

Proof. If / , € BV([a, b]) then by Theorem 12.21 the derivative f! exists (SDTL, / i j - a . e . on [a, b] and /V is 9JtL-measurable and ^-integrable on [a, b]. The /x^-integrability of / / implies that f! is finite, that is, /• is differentiable, (9Jl t , /xL)-a.e. on [a, b]. For n € N, let (1) (2) (3) For each i = 1,... tn,k=a + k-^for* = 0 , l , . . . , 2 " ,

./„,* = (f„,*-i, f„,t) for *: = 1 , . . . , 2", ?„ = {a = tnfi < • • • < f„,2" = b). ,m, define a sequence of functions (gtt„ : n e N) by fi(tn,k) fi(tn,k-\) forf e J„,k\k = !.••• , 2 " , forf = f , a ; £ = 1 , . . . , 2 " .

(4)

g.\n(0 = 0

'n,* — t„,k-\

Then by Proposition 13.38, lim g,,„ = / ' , (SDTL, /xL)-a.e. on [a, ft]. Thus we have £ i>>)2= \Ji=l( / p
.-=i

lim
K->00.

2

(SCT t ,/i I >a.e. on [a, ft].

\

§13 Absolutely Continuous Functions Then by Fatou's Lemma (Theorem 8.13) we have
liminf

303

/ Now t

YifpdVL ^

/

Y\i8i,n)2dixL

< sup /

Y^(gi,n)2dlXL

J[a,b] ^ ~

»->°°

J[a,b] ^ *-{

neN J[a,b] \ | « = 1

2

"

c

2"

Yl^Si,n)2dflL =J2

£(gi,n)2(W

-tn.ki)

k=\ 2"

•,J"-k \ | i = l

k=\ \J i=l

=k=\ £
/
J[a,b]

£ \fi{tn-k) - /i('».*-l)f = l(PWn))
i=i

M

where the second equality is by the fact that the function #,,„ is constant on the interval Jnik and the third equality is by (4). Thus we have Y,(f!)2dvL
i=l

< sup£(PCP„)) <
«eN

sup t(PCP)) = 1(C).
¥€¥„,„
=

Lemma 13.40. Let ai, ... ,am e R. Then there exist oti,... , am e R with YlT=i af such that
m m
i=i

^

(1)
\ j i=i

Proof. If a\,... , am are all equal to 0, then with arbitrary a\, . . . , am e R the equality (1) holds trivially. Suppose not all a\,... , am are equal to 0. Then S:=

£«, 2 >o.
a

Let a,; = | for i = 1 , . . . , m. Then we have Y!L\
m

f = s~2 Ef=i af = s~2s2

=

l and

N

£

a2

= = (E ?)
i=i

5

m

a

5=

m

£«,•(«,• s> £«<•«<•• ;=i
f\, > fm on

=

m

Theorem 13.41. Let C be a curve in R m defined by m real-valued functions [a, b]. If fi,... , fm are absolutely continuous on [a, b], then

no

-I

T,(f;)2dvLL.
<=i

J[a,b] \

304

Chapter 3 Differentiation and Integration

Proof. I f / i , . . . , fm are absolutely continuous on [a, b] then / i , . . . , fm e BV([a, b]) by Theorem 13.3. Then by Theorem 13.39 we have

(1) Thus it remains to show that (2) By Definition 13.34 we have (3)

1(C) >

J[a,b] •\i=:

t

£(//) 2 ^.

1(C) < [

1(C) =

sup

l(PCP))

where P(7) is a polygonal line inscribed to the curve C by a partition 7 of [a, b]. Let ? = {a = to < ••• < tn = b), h = [tk-i,k] Ai,t = fi(tk)~ Then (4) where Sk = J^\Ai,k\2
\|,=i

forfe = 1 , . . . ,n, fi(tk-\) forfc = 1 , . . . , n; i = 1, . . . ,m.

£(PCP)) = £

£|Aap = £ >
&=i

k=l \J i = l

(5)

fark = l.
=

By Lemma 13.40 there exist a\,...

,<xm e R with YlT=i af
m

*sucn

tnat

5*; = Ea«A'.*1= 1

Now since /j is absolutely continuous on [a,&] we have A,-,* = ft f[ d/xL by Theorem 13.17. Thus we have
m „ p m

Sk = J2ai{
i= l
Jl

f!dnL}=
l<
J,k

|£>//W.
1= 1

§13 Absolutely Continuous Functions Now fora1,...,am,bi,..., b,„ € R we have | £ £ , ** I ^ y/E?=i "fjE?=i a proof of this inequality, see for instance Lemma 15.13.) Thus we have
b

305 l (For

i£^|
Then r
m

E«, 2 \ E(//> 2 = M «=i ,-=i
c
d
m

N
f

(6)

Sk=

\ Taifl]

^L < / E a ' ^ 1 ^

- /

Substituting (6) in (4) we have

(?)

£(PCP))<E/

E^')2^=/

E(/)') 2 ^(=i E(//) 2 <^

Since (7) holds for an arbitrary partition T of [a, b], we have from (3)

1(C) =

sup t(P(P))
yzWa.b

< f
J[a,b] •

This proves (2).

Problems
Prob. 13.1. Let / and g be real-valued absolutely continuous functions on [a, b]. Show that the following functions are absolutely continuous on [a, b\. (a)c/ where c e R, ( b ) / + g, (c) fg, (d) 1 / / provided that / ( x ) ^ 0 forx e [a, b]. Prob. 13.2. Let / be a real-valued function on [a,b]. Let c e (a, b). Show that if / is absolutely continuous on [a, c] and [c, £>] then / is absolutely continuous on [a, b]. Prob.. Let / b e a real-valued function on [a, b] satisfying the Lipschitz condition on [a, b], that is, there exists K > 0 such that for any x'', x" e [a, b] we have

i/(*')-/(*")i<An*'-*"i.
Show that / is absolutely continuous on [a, b]. Prob. 13.4. Show that if / is continuous on [a, b] and / ' exists on (a, b) and satisfies l / ' ( x ) | < M for* e (a, fc) with some M > 0, then / satisfies the Lipschitz condition and thus absolutely continuous on [a,b].

306

Chapter 3 Differentiation and Integration

Prob. 13.5. Under the same hypothesis on / as in Prob. 13.4, show that for every E c [a, b] we have /z* ( / ( £ ) ) < M/Lt*(£). Prob. 13.6. Let / be an absolutely continuous function on [a,b]. Let Z = [x e [a, b] : f'(x) = 0}. Show that nL(f(Z)) = 0. Prob. 13.7. Find a real-valued function / on [a, b] such that / is continuous on [a, b], absolutely continuous on [a + r\, b] for every r\ e (0, b — a), but not absolutely continuous on [a, b\. Prob. 13.8. Let / be a real-valued function on [a, b] such that / is absolutely continuous on [a + r), b] for every r\ € (0, b — a). Show that if / is continuous and of bounded variation on [a, b], then / is absolutely continuous on [a,b]. Prob. 13.9. Let / be a real-valued continuous on [0,1]. Suppose / e BV([0, 1]) and / ' exists and | / ' ( x ) | < j for x e (0, 1]. Show that / is absolutely continuous on [0, 1]. Prob. 13.10. Find an absolutely continuous function on [a, b] which does not satisfy the Lipschitz condition on [a, b]. Prob. 13.11. For each p € (0, oo), let fp be a real-valued continuous function on [0, | ] defined by *"sinI f°r*e(0,|], f ( x ) - \
f (X)

P -\0

forjc = 0.

Show that fp is absolutely continuous on [0, |-] if and only if p e (1, oo). Prob. 13.12. Let / be an absolutely continuous function on [a, b] and g be an absolutely continuous function on [c, d]. Show that if / is monotone on [a, b] and f([a, b]) C [c, d], then gofis absolutely continuous on [a, b] by verifying the definition of absolute continuity for go f. Prob. 13.13. Let / and g be two functions defined on [0,1] by f(x) = Jx for* e [0,1], and
8(X)

~\0

f ;c 2 |sin±| for* e (0,1], forx=0.

(a) Show that / and g are absolutely continuous on [0,1]. (b) Show that g o f is absolutely continuous on [0, 1]. (c) Show that / o g is not absolutely continuous on [0, 1]. (Hint for (c)): Show that / o g is not of bounded variation on [0, 1].) Prob. 13.14. Let / be an absolutely continuous function on [a, b] and g be an absolutely continuous function on [c,d]. Assume that f([a, b]) C [c,d]. Show that g o / is absolutely continuous on [a, b] if and only if g o f is of bounded variation on [a, b]. Prob. 13.15. For p e (1, oo), let _ f xPsinj; f{x) ~ ' 0 for* e (0, f ] , forx=0.

§13 Absolutely Continuous Functions

307

(a) Calculate/^ on [ 0 , 1 ] . (b) Show that f is Lebesgue integrable on [ 0 , 1 ] . (c) Show that when p € (2, co), / ' is continuous on [ 0 , 1 ] . (d) Show that when p e (1, 2], / ' is not continuous on [0, | - ] . Discuss the nature of discontinuity. (e) Show that when p e [2, oo), / ' is bounded on [ 0 , | - ] . (0 Show that when p & (1, 2), / ' is not bounded on [0, £ ] . Prob. 13.16. Let x 2 c o s ^ f o r j t e (0, f ] , X 0 for x = 0. (a) Calculate / ' on [0, | ] . (b) Show that / ' is not ^ L -integrable on [0, j]. (Hint: With an = (2n + ±)~ 1 / 2 and pn = (2w) _ I / 2 ,« e N, compute /
K fe]

/ ' d/xL.)

Prob. 13.17. Let D c [a, b] and D e 97tL. Show that for every X e [0, 1], there exists c € [a, 6] such that pL(D n [a, c]) = X/xL(D). (Hint: Consider the Lebesgue integral of Ionian] for x e [a, b\.) Prob. 13.18. Let D C R, D € 2JtL, and /x L (D) < oo. Show that for every X e (0, 1), there exists £ € R such that /xL (D n ( - o o , £]) = A./xL (D). Prob. 13.19. The average density of set E c R, E e WlL, over an interval (x - h, x + h), where x eR and h > 0, is defined by (2h)~ V L (E D (x - h,x + h)) and the density of £ at a point JC € R is defined by P E ( * ) = lim ^[iL ( £ n (x — h, x + h)). Show that f -i _ f 1 f ° r a e - x ^ E, PE(X)~\ o fora.e.x££c.

308

Chapter 3 Differentiation and Integration

§14

Convex Functions

[I] Continuity and Differentiability of a Convex Function
Geometrically a convex function is a real-valued function on an interval / in R such that for any two points x\ < X2 in I the chord joining the two points (x\, f(x\j) and (x2, / f e ) ) on the graph of / is on or above the graph of / on the interval [x\, X2\- An analytic definition of a convex function is given as follows. Definition 14.1. A real-valued function f on an interval I in R is said to be convex on I if foranyx\,X2 € / andX € [0, 1], we have f(Xx\ + (1 — X)x2) < Xf(x\) + (1 — X)f(x2)Let us call this condition the convexity condition. The equivalence of this definition to the geometric definition will be proved below. We shall show that a convex function / on an open interval / is continuous on / , differentiable everywhere except at countably many points in / , the derivative is an increasing function on the subset of / on which it exists, and furthermore / is absolutely continuous on every finite closed interval contained in I. Observation 14.2. With x\, X2 e l such that x\ < xi, the real-valued function cp on [0,1] defined by <p(X) = Xx\ + (1 — X)x2 for X e [0, 1] is continuous and strictly decreasing on [0, 1], mapping [0,1] one-to-one onto [x\, x{[ with <p(Q) = X2 and ip(X) = x\. This is immediate from the fact that <p(X) = (x\ — X2)X + X2 for X e [0,1]. Lemma 14.3. (a) Let f be a real-valuedfunction on an interval I in R. Forx\,X2 € I such that x\ < X2, and X € [0, 1], let £ = Xx\ + (1 — X)x2- Then the following conditions are all equivalent:

(i)

/(§)<A./(*i) + ( l - * ) / ( « ) .

(ii)
('»)

/(f) < ^—^-f{xx) + i ^ i L / ( x 2 ) .
X2 -X\
%2-

X\

/(§) <
X2 X\

(f - *i) + f(x\)-

,. , / « ) - /(*l) < /(*2) ~ /(f) , k , (IV) < fori, ^x\,X2(b) A real-valued function f on an interval I in R is a convex function if and only if for any x\,X2 e / such that x\ < X2 the chord joining the two points (x\, f(x\)) and (x2, / f e ) ) on the graph of f is on or above the graph of f on the interval [x\, X2\ Proof. 1. To show the equivalence of (i), (ii), and (iii), we show that the right sides of (i), (ii), and (iii) are all equal. Note that by $ = Xx\ + (1 - X)x2 = (x\ - x2)X + x2, we have

§14 Convex Functions A = {X2 - %}/{x2 - x\} and 1 - X = {£ - xi)/{x2 - x\}. Then X/Od) + (1 - X)f(x2) = ^^-f{xx)
X2 — X\

309

+

^—^-f{x2).
X2— X\

This shows that the right side of (i) is equal to that of (ii). Next, writing X2 - £ = (*2 - x\) + {x\ - £), we have by simple computation /(*i) +
X2—X\ X2~X\

f(x2)

=
X2 — X\

(£ - Jci) +

f{x\).

This shows that the right side of (ii) is equal to that of (iii). To show the equivalence of (ii) and (iv), we multiply both sides of (ii) by X2 - x\ to obtain (JC2 - * i ) / ( £ ) < (x2 - $ ) / ( x i ) + ( | - * i ) / ( * 2 ) . Adding - ( £ - x i ) / ( £ ) , we have (x2 - x i ) / « ) - (£ - J C 0 / ( 5 ) < (*2 - $ ) / ( * i ) + (? - *i){/(*2) - / ( I ) } so that we have ( * 2 - £ ) { / ( $ ) - / ( * i ) } < (I - * i ) { / ( * 2 ) - /(£)}• For£ # xu x2, by dividing by the factors X2 — £ and § — *i we obtain (iv). Conversely starting with (iv) and retracing the calculation above, we have (ii) for £ ^ x\, JC2- But (ii) holds trivially for f = x\ and for § = ^2. This proves the equivalence of (ii) and (iv). 2. Let / be a real-valued function on an interval I in R. Let x\, Q £ / and x\ < X2The equation of the chord through the two points (x\, f(x\)) and (x.2, /(*2)) is given by g(£) =
*2 - X\

(£ - *i) + / ( * i )

forf e [*i,* 2 ].

According to (a), the convexity condition (i) is equivalent to condition (iii). Therefore / is convex on I if and only if / ( £ ) < g(%). 1 The next Proposition gives some fundamental inequalities for convex functions. Continuity and differentiability of a convex function are consequences of these inequalities. Proposition 14.4. Let f be a convexfunction on an interval I inWL. Thenforanyu,v,w such that u < v < w,we have f(v) ~ / ( » ) ^ f(w) - f{u) ^ f(w) f(v) e I

Proof. Since v e (u, w), there exists X e (0, 1) such that v = Xu + (1 - X)w. Solving this equation for X, we have X = [w - v}/{w - u\ and then 1 - X = {v - u}/{w - u}. By the convexity condition satisfied by / , we have f(v) < Xf(u) + (1 - X)f(w) and then (1) (10 - u)f(v) < (w - v)f(u) + (vu)f(w). = ^^f(u) w —u + ^^-f(w) w—u

310

Chapter 3 Differentiation and Integration

To derive the first inequality of the Proposition, let us write (1) as (u> - u)f(v) Then we have (w - u){f(v) - / ( « ) } <(vu){f(w) - /(«)}. Cross-multiplying, we have the first inequality of the Proposition. To derive the second inequality of the Proposition, rewrite (1) as (w - u)f(v) and then (w - u){f(v) - f(w)} <(wv){f(u) - /(«,)}. Cross-multiplying and then multiplying by — 1, we have the second inequality of the Proposition. I Theorem 14.5. Let f be a convex function on an open interval I in R. Then we have: (a) / is both left- and right-differentiable at every XQ € /, that is, n\ (1) (2) tn t\t \ v f ^ (Def)(x0) = hm
x-fxo

< {(«, -u)-(v-

u)}f(u)

+ (v~

u)f(w).

<(w-

v)f(u)

+ {(w -u)-(w-

v)}f(w)

f(xo)

^ i> n e R, e R.

X — XQ
X — XQ

(Drf)(x0)

= hm
J:J.J:O

Furthermore for any x\, X2 e / such that x\ < X2, we have (3) (Drf)(Xi) <
f(X2)

-

f(Xl)

<

(Def)(x2).

X2 ~X\

(b) / is continuous on I. (c)Def < Drfonl. (d) Dtf and Drf are real-valued increasing functions on I. (e) / is differentiable, that is, the derivative f exists and is finite, everywhere except at countably many points in I. If f exists at x\,X2 € l,x\ < X2, then f'{x\) < / ' f e ) . Proof. 1. To prove the right-differentiability of / at any XQ e I, let x\,X2 e / b e such that XQ < x\ < X2- Identifying XQ, X\ , X2 respectively with u, v, w in the first inequality in Proposition A.4, we have {f(xi) - f(xo)}/{x\ - XQ} < { / f e ) - /(xo))/{x2 - XQ}. This shows that {fix) — fixo)}/{x — XQ} J, as x J, xo so that the right-derivative of / at xo, that is, (D r /)(xo) = \imxixo{f(x) — /(xo)}/{x — xo} exists in R and moreover we have (D r /)(xo) < {fix) — /(xo)}/{x — xo} for any x > xo. This proves the first inequality in (3). Let u, x € I be such that u < XQ < x. Identifying u, XQ, x respectively with u, v, w in Proposition A.4, we have {/(xo) - /(")}/{xo - u} < {fix) - /(xo)}/{x - xo}. Thus for x > xo, {/(x)—/(xo)}/{x—xo}isboundedbelowbytheconstant{/(xo) —/(«)}/{xo —«}. Therefore we have (D r /)(xo) = lim j : ^ 0 {/(x) - /(xo)}/{x - xo} e R and / is rightdifferentiable at XQ.

§14 Convex Functions

311

Similarly, to prove the left-differentiability of / at XQ, let xi,X2 e 7 be such that X2 < x\ < XQ. Identifying X2,xi,xo respectively with u, v, w in the second inequality in Proposition 14.4, we have {/(x 0 ) - /(*2))/{*o - x2) < {/(*o) - f(x\)}/{x0 - x\}. Thus {/(xo) — f(x)}/{xo — x] j - as x f XQ. Therefore the left-derivative (D{_f)(xo) = \imxUo{f(x) - f(x0))/{x - x 0 ) exists in R and (Dtf){xo) > {f(x0) - f(x)}/{x0 - x) for any x < xo, proving the second inequality in (3). Next let x, w e I be such that x < XQ < w. Identifying x, xo, w respectively with u, v, w in Proposition 14.4, we have {/(XQ) — f(x)}/{xQ — x] < {fiw) — f{xo)}/{w — XQ}. Thus for x < xo, the quotient lf(xo) — f(x)}/{xQ — x) is bounded above by the constant {f(w) — f(xo)}/{w — XQ] and therefore (D^/)(xo) = lim^^ 0 {/(x) - /(XQ)}/{X - xo) e R. This proves the leftdifferentiability of / at xo. 2. To prove (b), let xo e I. By(l),/isleft-differentiableatxosothat / is left-continuous at xo. By (2) / is right-continuous at xo- Therefore / is continuous at xo. 3. To prove (c), let xo e / . Let x',x" € / be such that x' < xo < x". Identifying x', XQ,X" respectively with u, v, w in Proposition 14.4, we have {f(xQ) — f(x')}/{xQ—x'} < {fix") - f(x0)}/{x" - xo). Thus we have , n ,,, , ,. f(xo) - f(x') ^ fix") (Dtf)(xo) = km <
x'\xo XO — X' /(XQ)

X" — XQ

and then iDif)ixo) < lim
x"i,xo
f{X

"]

~

f(X0)

= (Dr/)(x0).

X" — Xo

This proves (c). 4. Let us prove (d). To show that Drf is an increasing function on I, let x\, X2 e / b e such that x\ < X2- Let x\ < x' < a < fi < X2 < x" be points in / . By Proposition 14.4, we have f(x') - f(X]) x'— x\ ^ / ( g ) - fjx1) ^ f{P) - / ( « ) _, / ( x 2 ) - ftf) ~ a — x' ~ f$ — a ~ X2 — P ^ f{x") - f(x2) ~ x" — X2

Letting x' I xi in the first quotient and letting x" I x2 in the last quotient above, we have ( O r / ) ( * l ) < ^ l ~ f(a) < iDrf)iX2). p—a This shows that Drf is an increasing function on / . Similarly, to show that Dtf is an increasing function on / we let x' < x\ < a < fi < x" < X2 be points in /. Applying Proposition 14.4 as above, we obtain in this case / ( s i ) - fix') x\ — x' ^ f(p) - f(a) ~ ft — a ^ f(x2) - fix") ~ X2 — x"

Letting x' f x\ and x" f xj, we have (Def)(x]) < < (Dtf)(x2).

312

Chapter 3 Differentiation and Integration

Thus Dif is an increasing function on /. 5. To prove (e), note that since Dif is a real-valued increasing function on 7 by (d), there exists a countable subset Ei of / such that Dif is continuous at every x e / \ Ei. Similarly there exists a countable subset Er of I such that Drf is continuous at every x € I \ Er. Let E = E(V Er. Then £ is a countable subset of / and both Dif and Drf are continuous at every x e I \E. Let xo € I \E. Then for x e I such that x > xo, we have (Def)(x0) < (Drf)(x0) < (Dtf)(x) by (c) and by (3). Since Dif is an increasing function, limxi,X0(Dif)(x) exists and we have (Drf){xo) < \\mx±X0{Dif){x). Now the continuity of Dtf at xo implies that hmxiXo(Dif)(x) = (Dif)(xo). Therefore we have (Def)(xo) < (Drf)(x0) < (Dif)(xo) and thus (Dif)(x0) = (Drf)(x0) This shows that / is differentiable at xo- Thus / is differentiable except at countably many points in 7. Finally if/'exists at xi,X2 € / a n d x i < X2,then/'(xi) = (Dif){x\) < (Dif)(x2) =

/'fe)by(c). •
Remark 14.6. In Theorem 14.5, the domain of definition of the convex function is an open interval in R. If / is a convex function defined on a finite interval which includes its endpoints, say [a, b], then the right-derivative (Drf)(a) and the left-derivative (Dif)(b) exist but may not be finite and / may not be right-continuous at a and left-continuous at b. Proof. Applying the first inequality in Proposition 14.4asin 1 of the Proof of Theorem 14.5, we show that for x > a we have {/(x) — f(a)}/{x —a] 4- as x | a so that (Drf)(a) = lirn*,i.a{/(xO — f(a)}/{x — a] exists in R. However since there does not exist any point u e [a, b] such that u < a, it is not possible to use Proposition 14.4 to show that the quotient {fix) — f(a)}/{x —a] is bounded below for x > a as it was done in the Proof of Theorem 14.5. Thus it may occur that (Drf)(a) = —oo so that / is not right-differentiable at a and / may not be right-continuous at a. Similarly (Dif)(b) exists in R and we may have (Dif)(b) = oo so that / is not left-differentiable at b and / may not be left-continuous at b. I Example 1. L e t / ( x ) = - V l - x 2 f o r x e [ - 1 , 1 ] . Then / i s convex on [ - 1 , l]by (b)of Lemma 14.3; / is right-continuous atx = —1 but (Drf)(— 1) = —oo; / is left-continuous atx = 1 but (Def)(l) = oo. Example 2. Let / be denned on [-1,1] by setting / ( x ) = 0 for x e ( - 1 , 1) and / ( - l ) = / ( l ) — 1. Then / is convex on [ - 1 , 1 ] by (b) of Lemma 14.3; / is not rightcontinuous at x = —1 and (D r /)(—1) = —oo; / is not left-continuous at x = 1 and (Dif)(l) = oo. Remark 14.7. If / is a convex function on an interval I in R, then / is a convex function on every subinterval of the interval. On the other hand it may not be possible to extend / as a convex function beyond 7, that is, there may not exist a convex function g on an interval J such that J D 7, J / I, and g = / on 7. Here are some examples, (a) Consider the convex function / on [ - 1 , 1] in Example 1 above. Suppose there exists a convex function g on (a, b) D [ - 1 , 1 ] such that g = / on [ - 1 , 1 ] . By (a) of Theorem

§14 Convex Functions

313

14.5, Drg is a real-valued function on (a, b). But the equality g = f on [ - 1 , 1] implies that D r g ( - 1 ) = D r /(—1) = - c o , a contradiction. This shows that / cannot be extended as a convex function beyond x = — 1. Similarly / cannot be extended as a convex function beyond x = 1. (b) Next, consider the convex function / on [—1,1] in Example 2 above. Suppose there exists a convex function g on (a, b) D [—1,1] such that g = f on [—1,1]. By (b) of Theorem 14.5, g is continuous on (a, b) and in particular g is right-continuous at x = — 1. Since g = / on [—1,1], / is right-continuous at x = — 1. This is a contradiction. Thus / cannot be extended as a convex function beyond x = — 1. Similarly / cannot be extended as a convex function beyond x = 1. (c) For an example of a convex function on an open interval which cannot be extended, consider f(x) — see* for* € (—|, j ) . By (b) of Lemma 14.3, / is a convex function on (— j , j). Let us show that / cannot be extended as a convex function beyond (—j, §)• Suppose there exists a convex function g on [ j , § ] such that g = f on (— j , j). Since g — is a convex function, g is real-valued and thus in particular g ( \ ) e R. Consider the chord — joining the two points (—§> g (—§ ) and (0, 1) on the graph of g. This chord is not on or above the graph of g on the interval ~, 0]_since limxj,_^/2 g(x) = lim x i _^ / 2 / ( x ) = oo. Thus g is not a convex function on — f > f J by (b) of Lemma 14.3 Theorem 14.8. Let f be a convex function on an open interval I in K. Then we have: (a)Foreveryfiniteclosedinterval[a, fJ] c /, ifweletM = max {|(D r /)(a)|, \(Def)(f3)\] then f satisfies a Lipschitz condition with coefficient M on [a, fi], that is, (1) \f(x')-f(x")\ <M\x'-x"\ for every x', x" e [a, 0]. (Drf)(xo)], we have

(b) For every xo e / and every real number m 6 [(Def)(xo), (2)

f{x) > m(x - x 0 ) + / ( x 0 ) forx e /.

(Thus a line passing through apoint (xo, /(xo)) on the graph of f with a slope m which is an intermediate value of the left- and right-derivative of f at XQ is on or below the graph of f. In particular, if f is differentiable at a point xo € /, then the tangent line to the graph of f at (xo, /(xo)) is on or below the graph of f.) (c) There exists a countable collection {g„ : n e N) of affine functions, gn(x) = anx + /?„ forx e I with an, fin e Rforn e N, such that (3) / ( x ) = supg„(x) forx € I.
«€N

Proof. 1. Let [a, fJ] C I and let a < x\ < X2 < /3. By (3) of Theorem 14.5 and by the fact that Drf and Dif are increasing functions on / according to (d) of Theorem 14.5, we have (Drf)(a) < (D r /)(xj) <
f{X2)

~~

f(Xl)

< (D,/)(x2) <

(Def)(P).

X2 — X\

IfweletM = max {|(D r /)(a)|, K D ^ / ) ^ ) ! } , then -M < (Drf)(a) and (Def)(P) <M so that -M < { / ( x 2 ) - / ( x i ) } / { x 2 - x i } < M and then | / ( x 2 ) - / ( x i ) | < M | x 2 - x i | . This proves (a).

314

Chapter 3 Differentiation and Integration

2. Let XQ e I and let m e [(Dtf)(xo), (Drf)(x0)]. Let x G 7. If x < XQ, then by (3) of Theorem 14.5, we have {fix) - /(xo)}/{x - XQ} < (Def)(x0) < m. Then since x - xo < 0, we have fix) — fixo) > m(x - xo). On the other hand, if x > XQ, then by (3) of Theorem 14.5, we have {fix) - fixo)}/{x - XQ] > ( D r / ) ( r 0 ) > m so that fix) — fixo) > mix — xo). Thus we have shown that for x e I such that x ^ xo, we have fix) — fixo) > m(x — xo). This inequality holds trivially forx = xo. Thus we have fix) > mix — xo) + fixo) forx e / .
3. To prove (c), consider the collection of affme functions {g$ : £ 6 7} defined by

(4)

ft(*)

= (A-/)(?)(*-£) + /(£)

forx € 7.

By (b), we have fix) > g$ (x) for all x e 7 for each £ € / so that / ( x ) > sup ? e / g£ (x) for x € 7. At each x € 7, if we choose £ = x, then gf (x) = / ( x ) . Thus we have (5) fix) = supg ? (x) forx 6 7.

Let (r„ : n e N) be an arbitrary enumeration of the rational numbers in 7. By (4), we have
(6) &•>„) =/(r„).

By (5) and by the fact that {grn : n € N} is a subcollection of {g£ : £ e 7), we have

(7) We claim that (8)

/ ( x ) > supg r „(x) forx € 7.

/ ( x ) < supg r „(x) forx e 7.

To prove (8), let xo e 7 be arbitrarily fixed. Let S > 0 be such that [xo — S, xo + <5] C 7. Since D r / is a real-valued increasing function on 7 by (d) of Theorem 14.5, if we let m\ = ( D r / ) ( x o — S) and m2 = (A-/)(^o + 5), then we have (9) (Dr/)(£)e[mi,m2] for£ € [x0 - <5,x0 + Si-

Let (r ni : k e N) be a subsequence of (r„ : n e N) contained in [xo — 5, xo + 5] such that lim r„k = xo- Since / is continuous on 7 by (b) of Theorem 14.5, we have lim fir„k) =
k->oo k—too

fixo).

By (6), gr„.ir„k)
*

=

/(»>*)• Thus we have

lim gr
jfc-+00

K

(rnk)

= /(x0).

By (4), have have Then Thus

8r„kirnt) - gr„kixo) = iDrf)irnk) e {m\,mj\ \gr„k(rnk) ~ grnkixo)\ < since lim r„ t = x 0 and
i-s-oo

iDrf)irnk)ir„k by (9). Thus if M\r„k - x 0 | and lim gr„,irnk) =
i-s-oo *

x 0 ) . Since rnk € [x 0 - <5,x0 + 8], we we let M = max [\m\\, |m2l}> then we then g r „ t (x 0 ) > gr„kirnt) - M\rnk - x0\. / ( x 0 ) , we have lim sup g r ( x 0 ) > fixo).
i->-oo

supg r „(x 0 ) > supg r (xo) > lim sup g r (xo) >
«eN AeN jfc^oo

fixo).
I

By the arbitrariness of XQ € 7, we have (8). Then with (7) and (8), we have (3).

§14 Convex Functions

315

Lemma 14.9. (Chain Rule for Dini Derivates) Let fbea strictly increasing convexfunction on an open interval I in R and let g be a real-valuedfunction on the open interval J = / ( / ) . Then (1) D+(g o / ) ( x ) = (D+g)(f(x))(D+f){x) forx e I.

The same equality holds for D+(g o f), D~(g o / ) , and D-(g o / ) . Proof. Note that the convexity of / implies its continuity on / by Theorem 14.5. Thus / is a strictly increasing continuous function on / and this implies that J = / ( / ) is an open interval in R. Let xo € / be arbitrarily fixed. Let us define a function h on J by setting g(y)-g(f(xo)) ——— y - f(xo) c
f

(2)

h(y)

, , , , , ,, fory e 7 \ { / ( x 0 ) } , fory = / ( x 0 )

where c is an arbitrary real number. From (2), we have g(y) - g(f(xo)) = h(y){y - /(xo)} fory e J.

Note in particular that the equality holds at y = /(xo) e J since both sides are equal to 0. Now since / ( / ) = J, the last equality implies * ( / ( * ) ) - *(/(*(>)) = h{f(x)){f(x) so that for x e / , x ^ xo, we have .... ^/(*)-/(*0) = h(f(x)) . x — xo x — xo Since / is a strictly increasing continuous function and / ( x ) \. /(xo) as x 4- xo, we have by (2) (3) (4) limsupfc(/(x)) = l i m s u p g ^ ) } ~ * ' / ( * o ) ' =
xi,xo xixa fix) /(x0)

- /(xo)} forx e /

(g o / ) ( * ) - ( g o / ) (*o)

(D+g)(f(x0)).

The convexity of / on / implies that / is right-differentiable on / by Theorem 14.5. Then (5) lim fU) ~ / ( X 0 ) = ( D r / ) ( x 0 ) = •**Uo x — xo (D+f)(x0).

Applying (4) and (5) to (3), we have ,w n+, D^(g°f)(x0) , (g ° f)(x) - (g o f)(xo) r = hmsup xi^o x - xo = hmsup \h(f(x)) xix0 L X - Xo J = (D+g)(/(xo))(D+/)(x 0 ).

316 This proves (1). By considering liminf h(f(x)
xiXQ

Chapter 3 Differentiation and Integration

and by the equality (Drf)(xo)
x\x0

= (D+f)(xo),
-^t-co

we have h(f(x),

the equality (1) for D+(g o / ) . Then by considering limsup/i(/(x) and liminf we obtain the equality (1) for D~(g o / ) and D-(g o / ) . |

Theorem 14.10. Let f be a real-valued continuous function on an open interval I in R. (a) / / / is a convex function on I, then all the four Dini derivates D+f, D+f, D~ f, and D-f are real-valued increasing functions on I. (b) Conversely if one of the four Dini derivates of f is a real-valued increasing function on 1, then f is a convex function on I. Proof. 1. If / is a convex function on 7, then the right-derivative Drf and the left-derivative Dg. exist, are real-valued and increasing on 7 by Theorem 14.5. The existence of Drf and De implies Drf = D+f = D+f and Dt = D~ f = D-f. Therefore D+f, D+f, D~f, and D-f are real-valued increasing functions on 7. 2. Conversely suppose g is a real-valued continuous function on an open interval 7 such that one of the Dini derivates, say D+g, is a real-valued increasing function on 7. To show that g is a convex function on 7, we show that for any x\, X2 e 7 such that x\ > x2 we have (1) g(Xxi + (1 - X)x2) < kg(xi) + (1 - X)g(x2) for every X e [0, 1].

Consider a function / on [0,1] defined by (2) /(A) = Xxi + (1 - X)x2 for X € [0, 1].

Since x\ > x2, f is a strictly increasing function on [0,1]. Since the graph of / is a line segment, / is a convex function on [0, 1] by (b) of Lemma 14.3. Let us define a function <p on [0, 1] by setting (3) <p(X) = (g o f)(X) - Xg(xi) - (1 - X)g(x2) for* e [0,1].

Then (1) is equivalent to (4) cp(X) < 0 for every X e [0,1].

Now w is a real-valued continuous function on [0, 1] with w(0) = w(l) = 0. From (3) and by Lemma 14.9, we have (D+w)(X) = D+(g o f)(X) - g(Xl) + g(x2) = (D+g)(f(X))(D+f)(X) = {X! - x2)(D+g)(f{X)) - g(Xl) + g(x2) - g(xi) + g(x2).

Since D+g and / are real-valued increasing functions, (D+g)(/(•)) i s a real-valued increasing function on [0, 1]. Therefore D+w is a real-valued increasing function on [0, 1]. The real-valued continuous function w has a maximum point X\ and a minimum point X2

§14 Convex Functions

317

in [0,1]. If <p vanishes identically on [0, 1] then (3) holds and we are done. If on the other hand <p is not identically vanishing on [0, 1] then A] ^ A.2. Then since <p(0) = <p(l), at least one of Xi and A2 is in (0, 1). Consider the case X\ e (0,1). Now since A.] e (0,1) is a maximum point for <p, we have (D+(p)(X\) < 0. Then since D+cp is an increasing function on [0,1], we have D+<p < 0 on [0, Xi]. This implies that <p is decreasing on [0, X\] so that <?(Ai) < <P(0) = 0. Then <p(X) < <p(X\) < 0 for every X e [0,1] so that (4) holds. The case A.2 G (0,1) is treated similarly. •

[II] Monotonicity and Absolute Continuity of a Convex Function
Theorem 14.11. Let f be a convex function on an open interval I in R. Then either f is monotone on I or else there exists XQ € I such that f is decreasing on I d (—oo, xo] and increasing on I O [xo, oo). Proof. Suppose/in not monotone on 7. Thenthereexistxi,X2,X3 e 7,xi < xi <X3,such t h a t / ( x i ) > f(x-i) a n d / f e ) < /(X3). (Note that it is impossible to have f{x\) < f{xj) and f(x2) > f(xi) since this would contradict the fact that the chord joining the two points (jti, f(x\)) and (JC3, /(X3)) on the graph of / is on or above the graph of / on the interval [x\,Xi].) Now since / is continuous on 7 by (b) of Theorem 14.5 and in particular continuous on the compact set [x\, X3], there exists a minimum point of / on [JCI, X3], that is, there exists xo G [xi,X3] such that f(x) > /(xo) for every x e [x\,xs]. Note that since/(xi) > f(xi) and /(X2) < /(X3), we have xo ^ x\ a n d xo =£ X3 so that xo e (x\, X3). Let us show that xo is actually a minimum point of / on the entire interval 7. Let x e I and x < x\. Then x < x\ < XQ and therefore by the second inequality in Proposition 14.4, we have {/(*o) - f(x)}/{x0 - x} < {/(xo) - /(xi)}/{x 0 - JCI}. Since / ( x 0 ) - / ( x 0 < 0, the inequality above implies that /(xo) — / ( x ) < 0. Thus / ( x ) > /(xo) for every x e 7 such that x < x\. Similarly for x e 7 such that x > X3, we have xo < X3 < x so that by the first inequality in Proposition 14.4, we have {/(X3) — /(xo)}/{x3 — xo} < {fM — /(xo)}/{x — xo}. Since /(X3) — /(xo) > 0, we have / ( x ) — /(xo) > 0. Thus f{x) > /(xo) for every x e 7 such that x > X3. This shows that xo is a minimum point of / o n 7. To show that / is decreasing on 7 n (—00, xo], let x ' , x " e 7 n (—00, xo] such that x' < x" < x 0 . Then we have {fix") - f(x'))/{x" - x'} < {/(x 0 ) - /(x')}/(x 0 - x'} by the first inequality in Proposition 14.4. Since /(xo) —/(x') < 0, we have fix")—fix') < 0, that is, fix') > fix"). This shows that / is decreasing on 7 n (—00, xo]. Similarly to show that / is increasing on 7 n [xo, 00), let x', x" e 7 n (—00, xo] be such that x' < x" < xo. By the second inequality in Proposition 14.4, we have {fix") — /(xo)}/{x" — xo} < {fix") - fix')}/{x" - x'). Since f(x") - f(x0) > 0, we have f(x") - f(x') > 0, that is, fix') < fix"). This shows that / is increasing on 7 n [xo, 00). I Proposition 14.12. If f is a convex function on an open interval I, then f is absolutely continuous on every finite closed interval [a, /3] contained in I. Proof. If / is convex on an open interval 7, then / satisfies a Lipschitz condition on every

318

Chapter 3 Differentiation and Integration

finite closed interval [a, /S] contained in I by (a) of Theorem 14.8. Then by (b) of Theorem 13.19, / is absolutely continuous on [a, /?]. • Theorem 14.13. Let f be a convex function on [a, b]. If f is right-continuous at a and left-continuous at b, then f is absolutely continuous on [a, b\. Proof. If / is convex on [a, b], then it is convex on the open subinterval (a, b) so that / is continuous on (a, b) by (b) of Theorem 14.5. Then by the right-continuity of / at a and the left-continuity of fatb,f is continuous on [a, b]. To show that / is absolutely continuous on [a, b], we show that for every £ > 0 there exists S > 0 such that for any finite collection of non overlapping closed intervals [cij, /Sy], j = 1 , . . . , n, contained in [a, b] with T.nj=i(Pj ~ «y) < &, we have £ } = 1 | / ( f t ) - /(or;)I < e. Let e > 0 be arbitrarily given. By the continuity of / on [a, ft], there exists n > 0 such that 2rj < b — a, \f(x)-f(a)\ <f forx €[a,a + t)],

\f(x)-f(b)\<l forx e[b-ri,b]. According to Theorem 14.11, the convexity of / on (a, b) implies that either / is monotone on {a, b) or else there exists xo € (a, b) such that / is increasing on (a, xo] and decreasing on [xo, b). Let us take r\ > 0 so small that / is monotone on each of the two intervals (a, a + T)} and [b — r\% b). Then by the continuity of / on [a, b], f is monotone on each of the two intervals [a, a + rj] and [b — r), b]. Now by (a) of Theorem 14.8, there exists M > 0 such that | / ( x ' ) - / ( x " ) | <M\x'-x"\ f o r x ' , x " e [a + n,b-n]. Let 8 < JM . Let {[otj, fij ] : j = 1, • • • , n} be an arbitrary finite collection of non overlapping closed intervals contained in [a, b] with YTj=i(Pj — aj) < §• By subdividing one or two members in this collection or by adding one or two more non overlapping closed intervals of sufficiently small lengths to this collection, we have a finite collection of non overlapping closed intervals {[ak, bk] : k = 1, • • • ,m) contained in [a, b] such that Ylk"=\ (** ~ ak) < < 5 and a + r\ is the right endpoint of a member and b — r\ is the left endpoint of another member of the collection. Let us assume that the members in this collection are so numbered that a\ < a2 < • • • < am. Then we have bp = a + n and aq = b — r\ for some p, q e N such that 1 < p < q < m. Clearly £ } = 1 \f(Pj) - f(aj)\ < ££=1 \f(bk) - f(ak)\. Let us estimate the last sum. By the fact that / is monotone on [a, a + rf\ and bp = a + n, we have
P

, P
a a

,

e

(1)

J2 !/<**> - /< *>l = | £ { / ( * * ) - /( *))| ^ l/<M " /<*>! < 3

and similarly by the fact that / is monotone on [b — r], b] and aq = b — r\, we have
m m

(2)

Y, i/(**> - ^ ^ = I D / ^ - /(a*»| - vw - fia")l < |-

§14 Convex Functions We have also
q-\

319

,-i

o)
n

J2 \f
k=p+\

{bk)

-f^
m

-

M

£ { b k - a k ) -m < 3k=p+\

Then by (1), (2), and (3), we have

This proves the absolute continuity of / on [a, b].

Theorem 14.14. Lef f be a real-valued function on an open interval I in R. Suppose 1° / is absolutely continuous on every finite closed interval contained in I. 2° / ' is an increasing function on the subset of I on which it exists. Then f is a convex function on I. Proof Since / is an open interval, there exists an increasing sequence (Jn : n e N) of finite closed intervals contained in / such that UneN Jn = I- Now condition 1° implies that / ' exists a.e. on Jn for each n e N. Hence / ' exists a.e. on / . Let E be the subset of / on which/'exists. By 2°, if si,X2 € £ a n d ^ i < x2, then f'(x\) < f'(x2)- By Lemma 14.3, to show that / is a convex function on i, it suffices to show that for any x\, £, X2 e / such that x\ < £ < X2, we have
(1)

/(g) ~ /(Sl)
$-x\

<

/(*2) ~ / « )
x2-%

~

Now the absolute continuity of / on each of the two finite closed intervals [JCI, £] and [£, x2] contained in / implies by Theorem 13.16 that / ( £ ) — f{x\) = f. f , f dpL and f(x2) - / ( £ ) = /BrJC2] / ' dfiL. Let us define a\ = inf / ' , fi\ = sup / ' , [xi,!]n£ [Ji,f]n£ a2 = inf / ' , fc = sup / ' . B,-t2in£ [$,x2]r\E

Then by the fact that / ' is an increasing function on E and x\ < £ < X2, we have (2) ai < >3i < <x2 < yS2.

N o w a i ( f - x i ) < / [ x i i f ] / ' d ^ z . < / 3 i ( g - * i ) a n d a 2 ( * 2 - g ) < / B>J(2] /'<//*,. < #>(*2-g) by the definition of ct\, fi\, a2, and @2 so that
ai

< _i_LL! § - *l

< j81

anci

a2

< _L_Li£i *2 - §
„ /(s2) /(g)

<

^

that is,
^ /(g) ~ /(si) „ „
ai

,

<

< JSJ and a2 <

< p\.

H~x\
Then by (2), we have (1). I

*2 - g

320

Chapter 3 Differentiation and Integration

[III] Jensen's Inequality
Lemma 14.15. Let f be a convex function on an open interval I in R. Then for any x\,... ,xn e I and X\,... , Xn e [0, 1] such that X\ + • • • + Xn = I, we have (1) f&lXl + •••+ XnXn) < M / O l ) + • • • + Xnf(xn).

Proof. Let then points x\,... ,xn in / b e so numbered that x\ < • • • < xn. LetA.],... , Xn e [0, 1] be such that X H hA„ = 1. If we let £ = X\xi-\ h X„xn, then f e [x\,x„] C / . Take an arbitrary real number m e [(Dif)(%), ( D r / ) ( ^ ) ] . By (2) of Theorem 14.8, we have f(x) > m(x - ^) + / ( f ) forx s / . Then

Y.^fixk) > YJXk\m{xk - |) + /(?)}
k=\ k=\
n

n

n

= m £>*(**-£) +/(£)
k=\

= /(M*i H

hA.„x„). I

Let us observe that for n = 2, the inequality (1) in Lemma 14.15 is the convexity condition and in fact (1) can be derived directly from the convexity condition by induction on n and furthermore it is not necessary to assume that the interval / is an open one in this derivation. The proof given above is of interest in that the proof for the Jensen's Inequality below resembles this proof. Lemma 14.15 has the following equivalent statement: Let / be a convex function on an open interval / in R. Then for any x\,... ,xn e I and t\,... , t„ e [0, oo) such that t\-\ h tn > 0, we have ft\x\
V

H
ti +•••

\-tnxn\
+ !„

<

hf(x\)

H

\-tnf{xn)

) ~

h + • • • + tn

This form resembles more closely Jensen's Inequality. Theorem 14.16. (Jensen's Inequality) Let (X, 21, /x) be a measure space. Let g be a realvalued ^.-measurable and fi-integrable function on a set D e 21 with IJ,(D) e (0, oo). If f is a convex function on an open interval I in R and if g{D) C I, then

Proof. Being a real-valued 2t-measurable function on D e 21, g is a 2l/25R-measurable mapping from (X, 21) to (R, 25R) by Theorem 4.6. The convexity of / on the open interval / implies that / is a real-valued continuous function on / by (b) of Theorem 14.5 and

§14 Convex Functions

321

then / is a *8R/*8R-measurable mapping from (R, *8R) to (R, *8K) by Theorem 4.27 and Theorem 4.6 and therefore / o g is a 2l/25R-measurable mapping from (X, 21) to (R, 25R) by Theorem 1.40, that is, / o g is a real-valued 2l-measurable function on D. Let the open interval I be given by / = (a, b) where — oo < a < 6 < oo. We have foSdn e R by the /it-integrability of g on D. The assumption g(D) c (a, b) implies a < g < b on D and hence jDgdfx e (a/j.(D), b/j,(D)). Let (2) £ = —I— ( !

V(D)jD

gdii€(a,b).

Then the convexity of / on (a, &) implies that if we take an arbitrary real number m in the range [(£>*/)(£), ( D r / ) ( f ) ] t h e n b y (b) of Theorem 14.8 we have / ( * ) > m ( * - | ) + / ( f ) for every x e (a, fc). Since g(y) e (a, 6) for every y e Z), we have / ( g ( y ) ) > m{g(y) - ! } + / ( £ ) foryeD.

Integrating with respect to /i. and recalling the definition of § by (2), we have

j fogd,x>m\j

gdn-i;fi(D)\+f($)Li(D)

= f(l:)n(D).

Dividing both sides by n(D), we have the inequality (1). I For r € (1, co), the function f(x) = xr is a convex function forx e [0, oo) which can be extended to be a convex function on R by setting f(x) = 0 for x € ( - c o , 0). Applying Theorem 14.16 to this convex function, we have the following Proposition. Proposition 14.17. Let (X, 21, p.) be a measure space. Let g be an extended real-valued 21measurable function on a set D e 21 with IJ-(D) e (0, oo). Then for any 0 < p < q < oo, we have
V?

(1)

LM(O)

P) jD '*• n

- U(D) yD

l£l9^

Proof. If 0 < p < q < oo, then q/p e (1, oo). Define a real-valued function / on R by x*?^ 0 for x € [0,oo), for* € ( - o o , 0 ) .

Then / is differentiable everywhere on R and its derivative is given by f ±x(qlp)-\ [ 0 fOrxe[0,oo), for* e (-oo.O).

Thus / ' is a real-valued increasing function on R and this implies according to (b) of Theorem 14.10 that / is a convex function on R.

322

Chapter 3 Differentiation and Integration

For every n e N, let gn = \g\ A n on D. Then \gn\P < np on D. Since fi(D) < oo, |g„ \p is ju,-integrable on £). Also / o \gn \p = \gn \i on D. Thus by Theorem 14.16, we have

.nkL
and then (2)

l8n

q/p

\pd»

lx(D)

kfo18" \*dn
ig
1/9

[^/^HM^/» H
"^COJD

Since |g„| f |g| on D as n —• oo, we have |g n | p f |g| p and Ignl9 t l/l 9 - By Theorem 8.5 (Monotone Convergence Theorem), we have lim / \g„\p dfi = I \g\p d/x. Applying
JD

these to (2), we have (1). I

Chapter 4 The Classical Banach Spaces
§15 Normed Linear Spaces
[I] Banach Spaces
We consider linear spaces over the field K where IK is either the field of real numbers K or the field of complex numbers C. Definition 15.1. A linear space over the field K = K or C is a set V with a mapping of"VxV into V: (u, v) i-> u + v, called addition and a mapping ofKxV into V: (a, v) i-> av, called scalar multiplication, which satisfy the following conditions: 1° u + v = v + uforu, v € V, 2° u + (v + w) = (u + v) + wforu, v, w € V, 3° there exists 0 e V such that u + 0 = u for every u £ V, 4° for each v € V there exists some — v € V such that v + (—v) = 0, 5° (a/3) D = a (/3u) for a, f3 e Kandv e V, 6° a(u + v)=au+avforaeKandu,veV, T (a +P)v = av +f3vfora,p eKandv eV, 8° 1 • D = v for every v € V, 9° (—l)u = —v for every v € V. Note that Qv= Ofor every v e V follows from 7°, 8°, 9°, and 4°. A linear space over the field R is called a real linear space. A linear space over the field C is called a complex linear space. Definition 15.2. Let V be a linear space over the field K.Ifa subset MofV satisfies the following conditions: 1° u + v e M foru, v e M, 2° av e M for v e M and a e K, then we call M a linear subspace ofV. (Note that by satisfying conditions 1° and 2°, M is itself a linear space over the field K.) Remark 15.3. Every complex linear space is also a real linear space. Indeed since R c C 323

324

Chapter 4 The Classical Banach Spaces

if V satisfies the defining conditions for a complex linear space it certainly satisfies the defining conditions for a real linear space; in other words if we ignore the possibility of multiplying elements of V by complex numbers that are not real numbers and restrict to multiplication by real numbers only then V is a real linear space. Remark 15.4. The set K is a linear space over the field K. Thus R is a real linear space and C is a complex linear space. Definition 15.5. Let V be a linear space over the field ofscalars K A real-valued function || • || on V is called a norm on V if it satisfies the following conditions: 1° non-negativity: \\v\\ e [0, oo) for v e V. 2° \\v\\=0ifandonlyifv = 0eV. 3° positive homogeneity: \\av\\ = |a|||u||/o/- v e V anda e K 4° triangle inequality: \\u + v\\ < \\u\\ + \\v\\foru, v e V. A linear space V with a norm || • || defined on it is called a normed linear space and we write (V, || • ||) for it. Observation 15.6. Let || • || be a norm on a linear space V. Then |||w|| — ||u||| < ||u — v|| forw, v e V. Proof. By the triangle inequality of the norm, we have ||w|| = || M — v + v || < \\u — v || + || u || and thus ||w|| — ||v|| < ||K — v||. Interchanging the roles of u and v, we have ||t>|| — ||u|| < || v — u\\ = \\u — v\\ by the positive homogeneity of the norm. With ||u|| — ||u|| < \\u — v\\ and — {||M|| - ||i>||} < \\u - v\\, we have |||u|| - ||u||| < \\u - v\\. I Lemma 15.7. Let (V, || • ||) be a normed linear space. If we define a function p on V x V by p(u, v) = ||u — v || for u,v € V, then p is a translation invariant metric on V, that is, 1° non-negativity: p(u, v) e [0, oo) for u, v e V. 2° p(u, v) = 0 if and only ifu = v. 3° symmetry: p(u, v) = p(v, u)foru, v e V. 4° triangle inequality: p(u, v) < p{u, w) + p(w, v)foru, v,w e V. 5° translation invariance: p(u,v) = p(u + w,v + w) for u,v,w e V. Proof. p(u,g) = \\u-v\\ e [0, oo),

p(u, v) = 0 •£> ||/( — u|| = 0 4> u — v = 0 < > u = v, S

p(u, v) = ||« - v\\ = \\v - u\\ = p(v, u), p(u, v) = ||u — v\\ = \\u — w + w — v\\ < \\u — w\\ + ||w — v\\ = p(u, w) + p(w, v), p(u + w,v + w) = ||(K + W)-(V + W)\\ = \\u - v\\ - p(u, v). I Thus a norm || • || on a linear space V introduces a metric p(u, v) = \\u — v\\ and a metric topology to V. Unless otherwise specified, we understand the topology on V to be the metric topology by the metric derived from the norm || • ||. Sometimes it is convenient to use a letter such as v rather than the symbol || • || for a

§15 Normed Linear Spaces

325

norm on a linear space V. Then we write v(v) for v e V and v(u — v) for the metric derived from the norm v. Definition 15.8. (a) Let (V, \\ • ||) be a normed linear space. Let (vn : n e N) be a sequence in V and let v G V. We say that the sequence converges in the norm to v if the sequence converges to v in the metric topology on V derived from the norm \\ • \\, that is, lim \\vn — u|| = 0. We say that a sequence in V converges in the norm if there exists an
n->oo

element in V to which the sequence converges in the norm. We write lim vn = v for lim \\vn — u|| = 0.
n—>-oo n->oo

(b)A sequence (v„ : n e N) in a normed linear space (V, \\ • ||) is called a Cauchy sequence with respect to the norm || • || if it is a Cauchy sequence with respect to the metric derived from the norm, that is, iffor every e > 0 there exists N € N such that \\vm — vn || < s for m,n > N. (c) We say that a normed linear space (V', || • ||) is complete with respect to the norm || • || if for every Cauchy sequence (vn : n e N) with respect to the norm there exists v e V such that lim \\vn — u|| = 0.
n-*-oo

(d) We call a normed linear space (V, || • ||) a Banach space if (V, || • ||) is complete with respect to the norm || • ||. We call a Banach space (V, || • ||) a real Banach space or a complex Banach space according as the field ofscalars of the normed linear space (V, || • ||) is R or C Triangle inequality of a norm implies the following: Proposition 15.9. Let (V, || • ||) be a normed linear space. Let (vn : n G N) C V and v e V. (a) (Uniqueness of Limit) If lim vn = v and lim vn = w e V also, then v = w.
n—>oo n—>oo

(b) If(vn : n € N) converges in the norm then (vn : n e N) is a Cauchy sequence with respect to the norm. (c)If lim vn = v then lim ||u„|| = ||u||, that is, lim ||u„|| = || lim vn\\.
n—>oo n—>-oo n->oo n->oo n—>oo n—>OQ

Proof. 1. Suppose lim vn = v and lim vn = w also. By the triangle inequality of the norm we have \\v — w\\ < \\v — vn\\ + \\w — va\\ for every n e N. Letting n ->• oo on the right side of the last inequality we have ||u — ui|| < 0 and thus ||u — iw|| = 0 and v = w. 2. Suppose lim v„ = v, that is, lim ||u„ — u|| = 0. Now by the triangle inequality
n—>oo n—*-oo m—>oo

we have \\vm - v„|| < ||i;m - u|| + ||u„ - u|| form.n e N. Since lim ||um - u|| = 0 and Mm || v„ — v ||, for every e > 0 there exists N € N such that || vm — v || < I for m > N and || D„ — D|| < | f o r n > JV. Thenform,n > A^ we have ||um — vn\\ < \\vm — v\\ + \\vn — v\\ < e for m, n G N. This shows that (vn : n € N) is a Cauchy sequence with respect to the norm. 3. Suppose lim vn = v, that is, lim ||v„ — v|| = 0. By Observation 15.6, we have \\\vn\\ — \\v\\\ < ||v„ — "II and then lim |||D„|| — ||v||| < lim \\vn — v\\ = 0. Thus we
n—»oo «->-oo n—>oo n—yoo

have lim I ||u„|| — ||u||| = 0 and this implies lim ||D„|| = ||D||.

326

Chapter 4 The Classical Banach Spaces

Proposition 15.10. Let (V, || • ||) be a Banach space. If M is a linear subspace of V and M is a closed set in V then (M, || • ||) is a Banach space. Proof. If M is a linear subspace of V then (M, || • ||) is a normed linear space. Suppose M is also a closed set in V. To show that (M, ||-||) is a Banach space we show that M is complete with respect to the norm || • ||. Thus let (vn : n € N) be a Cauchy sequence in M with respect to || • ||. Then (vn : n e N) is a Cauchy sequence in V with respect to || • ||. Since V is complete with respect to || • || there exists v e V such that lim \\vn — D|| = 0. Then since
n—>oo

(vn : n e N) C M and since M is a closed set in V, the convergence lim \\vn — u|| = 0
n->oo

implies that v € M. Thus every Cauchy sequence in M with respect to || • || converges to an element in M, that is, M is complete with respect to || • ||. This shows that (M; || • ||) is a Banach space. • Definition 15.11. Let v\ and V2 be two norms on a linear space V. We say that v\ and vi are equivalent if there exist a, /J > 0 such that v\(v) < ctV2{v) and V2(v) < fiv\{v) for veV. Proposition 15.12. Let v\ and V2 be two equivalent norms on a linear space V. (a) If a sequence (v„ : n e N) in V is a Cauchy sequence with respect to one of v\ and V2, then it is a Cauchy sequence with respect to the other. (b) If a sequence (vn : n e N) in V converges in the norm v\ to some v e V, then (vn : n € N) converges in the norm V2toveV and vice versa. (c)IfV is a Banach space with respect to one ofv\ and V2, then V is a Banach space with respect to the other. Proof. The proofs of these statements are immediate from the fact that for the two metrics p\{u, v) = v\(u — v) and p2(u, v) = V2(" — v), we have p\(u, v) < ap2{u, v) and p 2 (", f) < ySpi(u, v). i

[II] Banach Spaces on Rk
Rk consisting of x = (x\,... ,Xk) where x\,... , x^ € R is a linear space over the field of scalars E if addition and scalar multiplication are defined by x + y = (x\ + y\,... , xk + yk) and ax = (ax\,... , axk) for x, y € Rk and a e l , Let us prove algebraic forms of Holder and Minkowski Inequalities with exponent 2. Lemma 15.13. For a,-, bt e Rfor i = 1 , . . . , k, we have
k |- k -,l/2r
J L

k ;=i

-,1/2
J

(1) and

"
;=i
L

;=i

1/2

r

k

-,1/2

r

k

-| 1/2
j

(2)

YjLai+bif
•-i=i

El ? i=

fl

2

+ iI>i =i

§15 Normed Linear Spaces Proof. To prove (1), let us prove first (3)

327

£ > J < £ a 2 J2bf\
i=i k -.2 k k
J L

k k

-,2 -i2

r r

k ^

"ir^

"1

i=l k

J L

i=i

J

Now

J2 i '
i=l
J

a b

=J2J2

aibia b

J j = J2a?bl+2
i= l

E

a b a b

i i i i'

1 = 1 j=l

i<i<j<k

and
* i=l -"-i=l ^ i=l j=\ i=\ l<i<j<k l<i<j<k

and then

"E«. 2 ][E^1-[E^T= E W + « ^
L

laibiajbj]

;=i

-"-i=i

J

L

i=i

J

\<i<j<k

= £
\<i<j<k

{a<6y-a;fc,-}2>0.

This proves (3). Since (3) holds for any a,-, bt e R, i = 1 , . . . , k, it holds for |a,-1, \b[ | e R, i = 1 , . . . ,*. T h u s w e h a v e [ E t i l f l H l ^ l ] 2 < [ E ? = i l f l 'l 2 ][E?=i IM 2 ]- Taking the square roots, we have (1). To prove (2), note that
k k k k

£>,• + bi } = Y,«? + E
1=1
1= 1 i= l

2

fe2

+ E a'-fe«t 1/2

2

<E« +E* + E«
i=l
( r

2

2

2

r

it

2
J

-il/2r
L

k

i=l -,1/2

L

£*?
i=l

by(l)
J

i=l

r

*

= £«? + £ »
1L

2
J

-jl/2-,2

i=l

J

L


'

i=l

Taking the square roots, we have (2). I Theorem 15.14. On Rk, let us define functions || • ||i, || • ||2, and \\ • \\u by

Etil^l
11*112 = {E?=il*«-1 ) \\x\\u = max,=i
k

forx
211/2

e

f°rxe forx e '.

\xi\

328 (a) ||-111. \\-h, and || •
II u are TlOfTHS Otl R .

Chapter 4 The Classical Banach Spaces

(b) The norms \\ • \\\, \\ • H2, and \\ • \\u satisfy the following inequalities (1) and (2) -j< -yjY < \\x\\u forx e R \ ||x ||i > | | x | | 2 > ||x||„ forx &Rk

Thus any two of the three norms is a pair of equivalent norms. (c) Rk is a Banach space with respect to each one of\\ • \\\, \\ • \\i, and \\ • \\u. Proof. 1. It follows immediately from its definition that each one of || • ||i, || • H2, and || • ||„ satisfies conditions 1°, 2°, and 3° of Definition 15.1. Regarding condition 4°, triangle inequality, note that for x, y e Rk given by x = ( x i , . . . , x*) and y = (y\,... , yt), we have

ll* + y|li = £l*,- + y,-| <£{l*.-| + ly.-|}
1=1 k k ;=i

= I>«-| + I>.-I = ll*lll + Il)'1ll.
i=l

and ||x + y||„ = < max \xt + yt\ < max
i = l,... ,k i = l,... ,k

|x,-| + \yi|}

max |x,-| +
1=1,...,k

1=1

max \yt\ = ||x||„ + ||y||„.
k

This shows that || • || 1 and || • ||u satisfy the triangle inequality. The fact that || • H satisfies 2 the triangle inequality follows from (2) of Lemma 15.13 . 2. To prove (1), note that ||x ||2 = [ YA=\ \xA~f > Yll=\ \xi I2 = II* 1 1 a n d t h u s w e h a v e 1 II*111 > II*lb- Also ||x||| = YA=I I*'I2 > max i = i,...^ |x,-|2 = [max, = i k |x,|] so that ||x||2 > maxi=i,...,t |x,-| = \\x\\„. This proves (1). To prove (2), let x = (xi,... , x*) e Rk. Applying (1) of Lemma 15.13 with a, = x, and bi = 1 for i = 1 , . . . , k, we have £ f = 1 \xt I < [ Ef=i I*'' l 2 ] V V / 2 - Dividing by k, we have 1 * 1 r * "| 1/2 1
r

-,1/2

This proves (2). 3. Since the three norms || • ||i, || • H2, and || • ||„ are equivalent, if we show that R* is a Banach space with respect to one of the three, then R* is a Banach space with respect to each of the other two according to Lemma 15.12. Let us show that Rk is a Banach space

§15 Normed Linear Spaces

329

with respect to || - [| i - Let (x^ : n e N) be a Cauchy sequence in Rk with respect to the norm || • ||i. Then for every £ > 0, there exists N e N such that |jt ( m ) — x ( n ) 11 < s for m,n> N. Then for each i = 1,... , k, we have
k

!*?»> _ *<"> I < y
1 1 I I — ^ ^ I

\x(m) _ x0» I = ll^m) _ ^(n) |
] ]

for m, n

> tf.

I

II

II 1

7= 1

This shows that (x. : n e N) is a Cauchy sequence in R. Thus there exists JC,- e R such that lim \xjn) - xi I = 0. Let x = (x\,... , xk) e Rk. Then

lim \\x(n) - jell, = lim Y
i= l

|x, w - JC,-I = V
i=l

lim | x w - jc,-| = 0.

This shows that R* is complete with respect to the norm || • ||i. Therefore Rk is a Banach space with respect to the norm || • || i. I

[III] The Space of Continuous Functions C([a, b])
Let C([a, b]) be the collection of all real-valued continuous functions defined on [a, b]. If we define addition and scalar multiplication in C([a, b]) by pointwise addition and scalar multiplication on [a, i],that is, (f + g)(t) = f(t) + g(t)fort e [a,b]forf,g e C([a,b]), and (a/)(r) = otf(t) for t e [a, b] for / € C([a, b]) and a e R, then C([a, b]) is a linear space over the field of scalars R in which the origin is the identically vanishing function on [a,b]. Theorem 15.15. On C([a, b]), define || • \\h || • ||2, and || • ||„ by

Uh =

[f[aM\f\2d^]l/\

| | / L = max, e [ a ,fc]|/(0|. (a) II • ||i, || • h,and\\ • \\u are norms on C([a, b\), called Z.1 norm, L? norm, and uniform norm respectively. (b) The norms \\ • \\\, \\ • ||2, and || • ||„ satisfy the inequality that for f e C([a, b]) ll/lli < 11/112 ^„ril

(c) C([a, ft]) w a Banach space with respect to the norm || • ||„. Proof. 1. It follows immediately from the definition that || • ||i, || • H2, and || • ||„ satisfy conditions 1°, 2°, and 3° in Definition 15.5. Let us verify for instance that if | | / | | i = 0 for some / € C([a, b]) then / = 0 e C([a,b]). Now if \\f\U = 0, that is, f[a <b] \f\d/xL = 0,

330

Chapter 4 The Classical Banach Spaces

then / = 0 a.e. on [a, b]. Thus there exists a null set E in the measure space (R, VfllL, /xL) such that E C [a, b] and / = 0 on [a, b] D Ec. Now since every open interval in R has positive Lebesgue measure, the null set E cannot contain any open interval. Thus every open interval in R contains some point in Ec. This shows that Ec is a dense set in R. Then for every x e [a,b] there exists a sequence (xn : n e N) in [a, b] D Ec such that lim x„ = x.
n—>oo

The continuity of / on [a, b\ and the fact that / = 0 on [a, b] n Ec imply that f(x) = 0. This shows that / = 0 on [a, b]. Thus / = 0 e C([a, b]). Condition 4° in Definition 15.5, the triangle inequality, is verified for || • ||„ and || • || i as follows: | | / + g||„ = max 1/(0 + g ( O I < max {|/(r)| + |^(r)|}
t€[a,b] t€[a,b] te[a,b] l€[a,b]

< max | / ( 0 | + max \g(t)\ = \\f\\u + \\g\\u, and

11/ + *lli= [
J[a,b]

\f + g\dnL< \f\diiL+ f
J[a,b]

f
J[a,b]

{\f\ + \g\}dnL l ^ l ^ = ll/lli + llglli.

= [
J[a,b]

2. It remains to verify the triangle inequality for || • lb- Let us note that for every h e C([a, b]), we have i b, h d[iL = Ja h(t) dt. For each k e N, let us partition [a, b] into k equal subintervals with partition points a = tkfi < ••• <tk,k= b,\tilk = (b — a)/k, and write hkj = h{tk,i) for i = 1 , . . . , k. Then
,-b *

(1)

/

h(t)dt=

lim

Y^hkiik , k and k e N. By
1/2

For f,ge C([a, b]), let /*,,- = f(tkJ) (2) of Lemma 15.13, we have
v k 1/2

and gkj = g(tkJ) for i = 1,
1/2

(2)

£ I/*,«+**,« I2**

< £l/ul 2 4t
i=i

+

J2\gk,i\

Letting it -> oo in (2) and applying (1) to our \f + g\2, \f\2, \g\2 e C([a,b]), we have

[f \f(t) + g(t)\2dt]1/2<[j
This shows that | | / + g|| 2 < ||/||2 + l|g||2.

\no\2dt]1/2 + [j ig(oi 2 ^] 1/2 -

3. With ai = fk,i^k/2 and b; = l\/2 for i = 1 , . . . , k in (1) of Lemma 15.13, we have
1/2

(3)

£ | / U I 4 = £ | / M Kk
1=1

I

1/2,1/2
*-k

<

-

Y,\fk.i\2h

ib-a)

1/2

§15 Normed Linear Spaces By (1) we have
:

331

lim T\fk,i\lk=
^°°~^

[ \f(x)\dx=
Ja

f
J[a,b]

\f\d/iL

and similarly we have

lim T\fk,i\2lk=
Letting k oo in (3), we have

[ \f(x)\2dx=

[

\f\2dixL

1/2

/
J[a,b]
11

\f\dfiL<(b-a)

1/2

\f\2dfML

t h a t i s . l l / l l i ^ - a ) " 1 < Wfhib-a)-1'2.

F r o m / ^ | / | 2 J / x , < \\f\\2u(b - a), we have

Il/ll2(* - a)- ' < 11/11,,. This proves (b). 4. Let us show that C([a, b]) is a Banach space with respect to the norm || • ||„. Let (fn : n e N) be a Cauchy sequence in C([a, b]) with respect to the norm || • \\u. Then for every e > 0, there exists N e N such that \\fm — /„||„ < e form, n > N and therefore (4)
l / m ( 0 - / n ( O I < l l / m - Z n l l a < £ for all f G [fl, fc].

This shows that for every t £ [a, b], (f„(t) : n e N) is a Cauchy sequence of real numbers and therefore converges to a real number / ( f ) . By (4) we have I lim fm{t) — /„(f) I < £ for all n > N, that is, (5) l/C)-/»(OI<e forallre[a,i.].

Thus the sequence (/„ : n € N) converges uniformly to / on [a, b] so that / is continuous on [a,b], that is, / £ C([a, b]). From (5), we have ma.xte[aM 1/(0 ~ /«(0I 5 e for ~ n > Af. This shows that lim | | / - / „ | | „ = 0. I
n->oo

[IV] A Criterion for Completeness of a Normed Linear Space
Observation 15.16. Given a metric space (S, p). If a Cauchy sequence (vn : n e N) in 5 has a subsequence (un;l : k e N) which converges to an element u e S , then the sequence (u„ : n £ N) converges to v. Proof. Let e > 0. Since (vn : n e N) is a Cauchy sequence, there exists A'I £ N such that p(vn, vm) < | for n, m > N\. Since lim p{vnk,v) = 0, there exists Nt £ N such
k—*-oo

that p(vnk, v) < I if k > A^. Let A' = max {N\, N2}. Then for n > N', with an arbitrary k > N, we have p(vn,v) < p(vn,v„k) + p(vnk,v) < | + | = e. This shows that lim />0„, 1?) = 0. I
n—»oo

Definition 15.17. Given a sequence (vn : n e N) m a normed linear space (V, || • ||). Consider the sequence (wn : « G N) in V defined by wn = YTk=\ vk for " G N. If the

332

Chapter 4 The Classical Banach Spaces

sequence (wn : n e N) converges in the norm, that is, if there exists w e V such that lim || wn — w || = 0 , then we say that the series 5^„ €N v„ converges in the norm to the sum w and write J2neN v" = w- When no such w exists in V, we say that the series Yln&i v" diverges. We call (wn : n eW) the sequence of partial sums of the series ^ „ e ^ vn. Theorem 15.18. Given a normed linear space (V, || • ||). The space V is complete with respect to the norm || • || if and only if for every sequence (vn : n e N) in V such that 2ZneN I vn I < °°> tne series 2n6N v" converges in the norm. I I Proof. 1. Suppose V is complete with respect to the norm || • ||. Let (vn : n e N) be a sequence in V with X!nsN I u» I < °°- Let us show that the series £ n g N vn converges, that I I is, for wn = Y11=\ vk for n e N there exists w e V such that lim ||w n — w\\ = 0. Now
n—>oo

since X!neN WvnW Then form>n>Nwe

<

°°> f ° r e v e r y £ > 0 there exists N € N such that J2k>N Wvk\\ < ehave
m n m

IIWm - W„|| = J\Y^
k=\ m

Vk

~~ Yl l
k=\

Vk

=

X]
k=n+\

Vk

l

< X ! H"*11 - I ] n^11 - 1 ] n^ii < £ k=n+\ k>n+\ k>N

This shows that (wn : n € N) is a Cauchy sequence in V. The completeness of V with respect to the norm || • || implies then that there exists w e V such that lim || wn — w || = 0 . 2. Conversely suppose for every sequence (v„ : n e N) in V with X^neN Wvn\\ < ° ° ' m e series YineN v" converges in the norm. Let us show that V is complete with respect to the norm || • ||. Let (u„ : n € N) be a Cauchy sequence in V with respect to the norm. To show that the sequence converges in the norm, it suffices to show that there exists a subsequence which converges to some element in V in the norm according to Observation 15.16. Now since (vn : n € N) is a Cauchy sequence, there exists N\ < N2 < • • • such that for every J e N w e have (1) \\vm-vn\\<-^ ioxm,n>Nk-

Let us show that the subsequence ( u ^ : k e N) of (i>„; n e N) converges in the norm. Consider a sequence («,- : ;' e N) in V defined by u\ = v^x and «,- = v^i — v^i_l for i > 2. Then we have
k k

(2)

^
;=i

w(- = u/y, + Y^ {vNi ~ VNM}
1=2

= vNk

for k e N,

By the definition of the sequence («, : i e N) and by (1) we have X)||M<II =
i'€N

ll"ill + X ! l K -U/V,_,II < ll«ill + 5 Z ^ T
i>2 i>2

=

ll"ill +

1<0

°-

Thus by our assumption the series £<eN "; converges to some element u € V in the norm, that is, lim || V*_, « , - - u|| = 0. Substituting (2), we have lim ||ujvt — M|| = 0. •

§15 Normed Linear Spaces

333

[V] Hilbert Spaces
Definition 15.19. Given a linear space V over C (resp. R). A complex-valued (resp. realvalued) function {•, •) on V x V is called an inner product on V if it satisfies the following conditions: 1° (v, w) e C (resp. R)for v, w e V, 2° (v, v) e [0, oo) for every v e V, 3° (v, v) = 0 if and only ifv = OeV, 4° (aii>i + ct2V2,u)) = a\ (v\, w) + 012 (i>2> w) for v\,V2,w € V, a\, 012 e C (resp. R), 5° (v, w) = (w, v) for v,w e V, where 1 is the complex conjugate ofz e C. Alinearspace V on which an inner product {•, •) is defined is called an inner product space and we write (V, (•, •) ) for it. Observation 15.20. For an inner product (•, •) on a linear space V, we have (v, fiiwi + P2W2) = Pi {v, tui) + fh. (v, W2), for v, w\, u>2 e V and Pi, f$2 e C. This is an immediate consequence of 4° and 5° in Definition 15.19. Definition 15.21. On an inner product space (V, {•, •)), we define a function || • \\h on V by setting \\v\\h = {(v, v)}l^2forv e V. To show that || • ||/, defined above is a norm and in particular satisfies the triangle inequality, we prove first the Schwarz's Inequality. Theorem 15.22. (Schwarz's Inequality) For the function || • \\h on an inner product space (V,(-,-)), we have \(v,w) \ < \\v\\i, \\w\\i,for v, w e V. The equality holds if and only if v and w are linearly dependent. Proof. 1. Consider the case (v, w) = 0. In this case, | (u, u>) | < ||V||A||U;||A holds trivially. If / and g are linearly dependent, say v = Xw where A. e C (resp. R), then ||A.U;||A = |A.|||iy||ft by Definition 15.21 and conditions 4° and 5° of Definition 15.19, and
\(v,w)\ = \ {Xw, w) I = |X| (w, w) = \X\\\w\\l = \\Xw\\h\\w\\h = HulUllioll/,.

Conversely if I (v, w) \ = ||U||A||U;||/„ then since (v, w) = 0, at least one of \\v\\h and \\w\\h is equal to 0, that is, at least one of (u, v) and {w, w) is equal to 0. Thus according to condition 3° in Definition 15.19, at least one of v and w is equal to 0 e V and therefore v and w are linearly dependent. 2. Assume that (v, w) ^ 0. Let & = {v, w)\ (v, w) | _ 1 so that & e C with |i?| = 1. Then for every X e R, we have by 2°, 4°, and 5° of Definition 15.19 (1) 0 < <!?u + Xw, &v + Xw) = 1?? (v, v) + &X (v, w) + X& {w, v) + X2 (w, w) = \&\2\\v\\2h + 2A.9t{0 (v, w)) + X2\\w\\2 < \\v\\2 + 2X\ (v, w) | + X2\\w\\2,

334

Chapter 4 The Classical Banach Spaces

since & (v, w) = (v, w) (v, w) | {v, w) | - 1 = | (v, w) |. Thus we have a polynomial of degree 2 in the real variable A.with real coefficients which does not assume negative values. Then its discriminant cannot be positive, that is, (2) \(v,w)\2-\\v\\l\\w\\l<0.

This inequality is equivalent to | {v, w) | < ||v||/,||u>||ft. Furthermore the equality in (2) holds if and only if our second degree polynomial in X has a real double root Xo, that is, (3) X20\\w\\l + 2X0\{v,w}\ + \\v\\2h=0,

which, in view of (1), is equivalent to (#t> + XQW, &v + XQW) = 0, that is, &v + Xow = 0, in other words, v and w are linearly dependent. I Corollary 15.23. For the function || • \\h on an inner product space (V, (•, • ), we have > \\v + w\\h < \\v\\h + \\w\\hfor v, w e V. Proof. If v, w e V then ||u + wWf = (v + w, v + w) = ||v||^ + {v, w) + (w, v) + ||u;||^. But(v,w) + (w,v) =2di(v,w) < 2\ (v,w) | < 2||u||^||io||| by Theorem 15.22. Therefore we have || u + u; ||| < ||«||^ + 2||i;||^||u)||g +||iu||^ = {\\v\\h + \\w\\h}2, and then \\v + w\\h < \\v\\h + \\w\\h- • Theorem 15.24. The function || • \\h on an inner product space (V, {•, • ) as defined by > Definition 15.21 is a norm on the linear space V. Proof. By condition 2° of Definition 15.19, \\v\\f, e [0, oo) for every v e V and by condition 3° of Definition 15.19, \\v\\h = 0 if and only if v = 0 e V. For i> e V and a e C, we have ll«f||/, = [(at>, av)] 1 / 2 = [aa (D, u)] 1 / 2 = |a|||u||/j. The triangle inequality for || • \\i, is given by Corollary 15.23. I Definition 15.25. The norm \\ • \\h = {{•, -)} 1 '' 2 on an inner product space (V', (•, •)) is called a Hilbert norm. If V is complete with respect to the Hilbert norm, then V is called a Hilbert space.

[VI] Bounded Linear Mappings of Normed Linear Spaces
Notations. For a linear space V over the field IK where K = R or K = C we write (V, K) to indicate that K is the field of scalars for the linear space. We write (W, K') for another linear space W whose field of scalars is K' where K' = R or K' = C. We write (V, K, || • ||) for a normed linear space when a norm || • || is defined on a linear space (V, K). Example. Consider a normed linear space (V, K, || • ||). Now K is a linear space over the field of scalars K. For K = R the absolute value | • | of a real number is a norm on K. For K = C the modulus | - | of a complex number is a norm on K. Thus (K, K, | • |) is a particular case of a normed linear space over the field of scalars K.

§15 Normed Linear Spaces

335

Definition 15.26. (a) Let (V, K) and (W, K') be two linear spaces. A mapping L ofV into W is called a linear mapping if it satisfies the following conditions: 1° homogeneity: L(yv) = yL(v)forv e V andy e K, 2° additivity: L(v\ + v2) = L(v\) + L(v2) for v\,v2 G V. Let £{V, W] be the collection of all linear mappings of the linear space (V, K) into the linear space (W, K'). (b) For the particular case that (W, K') = (K', K') a linear mapping L of the linear space (V, K) into the linear space (K', K') is called a K!-valued linear functional on (V', K). We write £{V', K'} for the collection of all K! -valued linear junctionals on (V, K). Note that for 0 e V we have L(0) = L(0v) = 0L(v) = 0 with an arbitrary v e V. Note also that conditions 1° and 2° are equivalent to the single condition: L(y\v\ + y2v2) = y\L{v\) + y2L(v2) for v\, v2 e V and y\, y2 e K.

Remark 15.27. In the definition of a linear mapping of a linear space (V, K) into a linear space (W, K') it is not required that K = K'. However a linear mapping of a linear space (V, C) into a linear space (W, R) may not exist since the homogeneity condition 1° of Definition 15.26 L(yv) = yL(v) for v e V and y e C may be meaningless in this case. Indeed if L is a mapping of (V, C) into (W, R) then L(yv) e W for v e V and y e C but yL(v) is undefined since the field of scalars for W is R and not C To ensure existence of linear mappings we assume that either K = K' or IK = R and K' = C. [VI. 1] Continuous Linear Mappings Let us consider continuity of a linear mapping L of a normed linear space into another. Example. Consider the normed linear space (R", R, || • ||2) where ||x|| 2 = { £"=1 £, 2 }' / 2 for x = ( £ 1 , . . . , £„) e R" and the normed linear space (R, R, | • |). Let L be a linear mapping of (R", R, || • || 2 ) into (R, R, | • |). Then there exist Ai l „ e l such that (1) L(x) = Aifi + • • • + A.„fn for* = ( f i , . . . ,£„) 6 R.

Indeed if we let e\ = ( 1 , 0 , . . . , 0), e2 = (0, 1, 0 , . . . , 0 ) , . . . , e„ = ( 0 , . . . , 0, 1), then {e\,e2,... , en} is a basis for R and for every x = (Si,. • • , £«) e R" we have the expression x = Siei + • • • + S«e„. Let X\ = L(e\),... , Xn = L(en). Then by the linearity of L we have (2) Let (3) M = (^|A,|2}
1=1

L(x) = L(|ici + • • • + S„e„) = SiL(ei) + • • • + tjnL(en) = Xifi + • • • + A.„f„.

e[0,oo).

336 Then for every x = (f i , . . . , f„) e R™, we have

Chapter 4 The Classical Banach Spaces

\L(x)\ = |X!|i + • • • + Xn£n\ < j X) l^l2)
i' = l

( E l^'l2)
i= l

so that (4) \L(x)\ < M\\x\\2 for every x e R".

Now (4) implies that L is uniformly continuous on R". Indeed for an arbitrary e > 0 let S = -gq-p Then for any x', x" e R" such that \\x' - x"\\2 < S, we have \L(x') - L(x")\ = \L(x'-x")\ <M\\x'-x"\\2 < MS = M—^— < e. M +1

Example. A linear functional L on an arbitrary normed linear space (X, K, || • ||) may be discontinuous at every point in X. Let us consider fro instance the normed linear space (C([a, b]), R, || • || i) of real-valued continuous functions / on [a, b] with the norm defined byll/lli = J[a t,] l/l dfiL as in Theorem 15.15. If we take an arbitrary c e [a, b] and define a functional L on C([a, b]) by L(f) = / ( c ) for / e C([a, b]), then for every a, /3 e R and / , g e C([a, fe]) we have i-(«/ + Pg) = ( « / + Pg)(.c) = af(c) + fig(c) = aL(f) + pL(g).

Thus L is a linear functional on C{[a, b]). However L is discontinuous at every / in C([a, b]). To show this, let £ > 0. For any S > 0, a real-valued continuous function g on [a, b] such that | / ( c ) - g(c)\ > e but | | / - g||i = f[ab] \f - g\ dfiL < 5 can be easily constructed. Theorem 15.28. Let (V, K, || • ||) and (W, K!, || • ||') ^e fwo wormerf linear spaces where either K = K' or K = R and K' = C. Let L be a linear mapping of V into W. If L is continuous at some n e V then L is continuous at every v € V and in fact L is uniformly continuous on V. Proof. If L is continuous at DO e V then for every s > 0 there exists S > 0 such that (1) \\L(v) - L(v0)W < £ f o r / € V with | | D - V 0 | | < S.

Let us show that L is uniformly continuous on V, that is, for every e > 0 there exists < > 0 5 such that (2) \\L(v') - L(v")\\'< e f o r i / , i / ' € V such that | | i / - i/'|| < <5.

Let £ > 0 be arbitrarily given and let S > 0 be as in (1). Let i/, v" e V be such that ||t/ — t/'H < 5. Then by the linearity of L, we have \\L(v') - L(v")\[ = \\L(v' - (u" - VQ) - D0)||' = ||L(t/ - (w" - D0)) - L ( D 0 ) | ' < e,

§15 Normed Linear Spaces

337

by (1) since | (i/ - (v" - u0)) - VQ\\ = ||u' - v"\\ < S. This proves the uniform continuity ofLonV. I [VI.2] Bounded Linear Mappings Definition 15.29. (a) Let (V, K, || • ||) and (W, K', \\ • ||') be two normed linear spaces where either K = K' or K = R and K' = C. A linear mapping LofV into W is called a bounded linear mapping if there exists a real number M > 0 such that \\L(v)\\' < M\\v\\ for alive V.

Such constant M > 0, if it exists, is called a bound for the bounded linear mapping L. We write 25 {V, W) for the collection of all bounded linear mappings of the normed linear space (V, K, || • ||) into the normed linear space (W, K', || • ||'). For L € 2${V, W], we define ||Z,||v,H, = inf {M > 0 : \\L(v)\\' < M\\v\\ for all v € V} e [0, oo). (b) For the particular case (W, K', || • ||') = (K', K', | • |) a linear mapping LofV into K' is called a K' -valued bounded linear functional, abbreviated as b.l.fi if there exists M > 0 such that \L(v)\ < M\\v\\ for all v e V. We write *B{V,K'} for the collection of all ¥1-valued bounded linear junctionals on the normed linear space (V\ K, || • ||). For L G 2i{V, K'} we define \\L\\VK, = inf {M > 0 : \L(v)\ < M\\v\\ for all v e V} e [0, oo).

We show next that the infimum of all bounds of a bounded linear mapping is itself a bound for the linear mapping. Proposition 15.30. Let {V, K, || • ||) and(W, K', || • ||') be two normed linear spaces where either K = K' or K = R and K' = C. Let L be a bounded linear mapping of V into W. Then l|L(t;)||'<||L||„,J|i>|| for every veV. IfL is not the identically vanishing, that is, if there exists u e V such that L(v) ^ O e W , then \\L\\VW > 0. Proof. 1. By the definition of ||L|| V w as the infimum of all bounds for L, for every k e N there exists a bound Mk for L such that 11^11^ w < M^ < \\L\\V w + j . Since Mk is a bound for L, we have for every v e V \\L{v)\\' <Mk\\v\\<{\\L\\vw + \}\\v\\.

Since this holds for every k € N, we have ||L(u)||' < ||L||„ w||i>|| for every v e V. 2. Suppose L(v0) ^ 0 s W for some v0 6 V. ThenO < ||L(i;o)ir < ||L|| V J|u 0 ||. Thus||L|| v , i W >0. I

338

Chapter 4 The Classical Banach Spaces

[VI.3] Equivalence of Continuity and Boundedness of a Linear Mapping Proposition 15.31. Let (V, K, || • ||) and (W, K!, || • ||') be two normed linear spaces where either K = K' or K = K and K = C. Let L be a linear mapping of V into W. Then L is a bounded linear mapping if and only ifL is continuous at 0 e V. Proof. 1. Suppose L is a bounded linear mapping. To show that L is continuous at 0 e V, we show that for every s > 0 there exists 8 > 0 such that \\L(v) — L(0)||' < e for every v € V such that \\v — 0|| < 8, that is, ||L(D)||' < e for every v e V such that ||v|| < <5. Now according to Proposition 15.30 we have ||L(u)||' < ||L|| V w\\v\\ for every v e V. If ||L||V]M, = 0 then ||L(i>)||' = 0, that is, L(v) = 0 e W for every u e V so that L is a constant mapping and hence continuous on V. If ||L||,, w > 0 then for an arbitrarily given £ > 0 let S — (ll-LHi, „,) e. Then for v e V such that ||u|| < S we have
< l|L|| ViW 3 = | | L | | y i W ( \ \ L \ \ v _ w ) ~ l e = e

IIKtOII' < \\L\\v,w\\v\\

so that L is continuous at 0 e V. 2. Conversely suppose L is continuous at 0 6 V. Then for every e > 0 there exists < > 0 such that ||Z,(u)||' < e for every v € V with ||v|| < 8. 5 Now let v € V and u ^ O e V , For the element ^j^v e V we have | j p f ^ l = f < s so that | ^ ( 2 p j | « ) | ' < e> that is, jpif 11^(^)11' < £ so that ||L(D)H' < 2|||u|| for every v € V . O ^ O E V. On the other hand for v = 0 e V, the last inequality holds trivially. Thus ||L(i;)||' < 2 | | | D | | for all v € V. This shows that 2 | is a bound for the linear mapping L and then L is a bounded linear mapping. I Theorem 15.32. Let (V, K, || • ||) and (W, K!, || • ||') be two normed linear spaces where either K = IK' or K = R and K' = C. Ler L be a linear mapping of V into W. Then the following three conditions are equivalent: V L is continuous at0€ V. 2° L is uniformly continuous on V. 3° L is a bounded linear mapping. Proof. By Theorem 15.28, 1° and 2° are equivalent. By Proposition 15.31, 1° and 3° are equivalent. I [VI.4] Innmum of the Bounds of a Linear Mapping Definition 15.33. Let (X, p) be a metric space. For xo € X and r > Owe define Br(xo) = {x € X : p(x,xo) Br(xo) = {x eX : p(x,xo) < r), < r}, =r}.

Sr(xo) = {x e X : p(x,xo)

The alternate notations B(XQ, r), B(XQ, r), and S(xo, r) for these sets will also be used.

§15 Normed Linear Spaces In particular in a normed linear space (V, K, \\ • \\),for vo 6 V andr > Owe have Br(v0) = {veV ~Br(vo) = {veV : \\v - v0\\ : \\v - v0\\ <r], <r},

339

Sr(v0) = {ve V : \\v - v0\\ = r } . Observation 15.34. Br (xo) is an open set. We call it an open ball with center at XQ and radius r. It is easy to show that Br(xo) is the closure of Br(xo)- Thus Br(xo) is a closed set. We call it a closed ball with center at xo and radius r. Then SV(xo) = Br(xo) \ Br(xo) is a closed set. We call it a spherical hypersurface with center at xo and radius r. Also a non-empty open set in a metric space (X, p) is a union of open balls. (Indeed if O is a non-empty open set then for every x e X there exists rx > 0 such that Brx(x) C O so that UxeO Brx(x) C O. On the other hand for every x e O we have x 6 Br^x) so that

O = \JxeoM

c

Uxeo B^)-

Therefore we have O = L U o **(*).)

Lemma 15.35. Lef (V, K, || • ||) and (W, K', || • ||') be two normed linear spaces where either K = K' or K = K and K' = C. Let L be a linear mapping of V into W. Then sup ||L(u)||'= sup HLOOII'. «eSi(0) «€Bi(0) Proof. Since Si(0) C fii(O) we have sup ||L(u)||'< sup ||L(u)||'. "eSi(O) veB,(0) It remains to prove the reverse inequality. Let v e Bi(0) andi) / 0 € V. If we let M = p i ) then ||u|| = 1 so that « e Si(0). Now

II^WII^II^driji^l^Mll^)!!'^!!^)!!'
since D € fli(O) and ||i;|| < 1. This shows that for every v e Bi(0) and v ^ 0 € V there exists u € 5i(0) such that ||L(w)||' < ||L(«)||'. Also for v = 0 e V and for any « € 5i(0) we have \\L(v)\\' = ||0||' = 0 so that the inequality ||L(u)||' < ||L(M)||'holds trivially. Thus we have sup \\L(v)\\'< sup ||L(i;)||'. veBi(0) ueSi(O) This completes the proof. I

Theorem 15.36. Let (V, K, || • ||) and (W, K', || • ||') fee rwo normed /wear spaces where either K = K' or K = R and K = C. Let L be a linear mapping of V into W. Then L is a bounded linear mapping if and only if (1)
sup | | L ( D ) | | ' < oo.

v€5i(0)

340 Moreover ifL is a bounded linear mapping then (2) \\L\\VW=

Chapter 4 The Classical Banach Spaces

sup ||L(w)||'.
weSi(O)

Proof. 1. Suppose L is a bounded linear mapping. Then there exists M > 0 such that ||L(u)||'<M||i;|| Then we have sup ||L(u)||' <
ueii(O)

forallveV.

sup M\\v\\ — M < oo.
ueSi(O)

Conversely suppose sup„ eS (0) ||L(D)||' < oo. Now for an arbitrary v e V such that v ^ 0 e V, if we let u = -J^v then ||u || = 1 so that u e Si(0). Then we have IH.(w)||'=|L(||i>|| 1 F ij U )||'=|| u ||||L(«)||'<||i;|| sup
u)€S,(0)

||L(i«)||'.

For v = 0 e V the inequality ||L(t;)||' < ||v|| sup^g^Q) ||L(iy)||' holds trivially. Thus (3) \\L(v)\\'< \\v\\ sup
iu€Si(0)

\\L(w)\\'

forallueV.

This shows that the real number sup„€iS (0) ||L(u)||' > 0 is a bound for the linear mapping L and L is a bounded linear mapping. 2. To prove (2) suppose L is a bounded linear mapping. By Proposition 15.30 we have \\L(v)\\' < HLII^JMIforallv 6 V. Thus we have sup ||L(u)||' < ||Z,||v w sup ||v|| = ||L|| VH ,.
veSi(O) ' ueSi(O)

Since L is a bounded linear mapping we have sup ve5l ( 0 ) ||L(t>)||' < oo as we showed in 1. Then (3) shows that the real number sup^g^o) ||L(u)||' is a bound for the linear mapping L. Since | | i | | v „, is the infimum of all bounds of L we have \\L\\V w < sup„€£ (0) ||L(v)||'. Thus||L|| V H , = sup, £ S l ( 0 ) ||L(u)||'. • [ VI.5] Normed Linear Space of Bounded Linear Mappings Theorem 15.37. Given two normed linear spaces (V, K, || • ||) and (W, K',|| • ||') where either K = K' or K = R and K' = C. Consider the collection 23{V', W] of all bounded linear mappings of V into W. Let us define addition and scalar multiplication in *B{V, W} by setting (1) and (2) (yL)(v) = yL(v) for v e V, L e <B{V, W) andy e K'. (Li + L2)(v) = Li(v) + L2(v) forveV and Lit L2 e <B{V,W}

§15 Normed Linear Spaces

341

Then 2${ V, W] is a linear space over the field of scalars K' and || • || vw is a norm on this linear space. Proof. 1. Let Li, L2 € 58{V, W}. Let us show that L\ + L2 defined by (1) is a member of *B{V, W}. Let ui, v2 e V and yi, y2 e K. Then (Li + L 2 )(yit)i +y2t)2) = Li(Y\v\ + y2v2) + L2{y\vx + y2v2) = (KIZ,I(DI) + y2Li(v2)} + {y\L2(vi) L2){v2) + y2L2(v2)\

= n ( L i + L 2 )(wi) + y 2 (^i +

where the first equality is by (1), the second equality is by the linearity of L\ and L2 and the third equality is by (1) again. This shows that L\ + L2 is a linear mapping of V into W. To show that L\ + L2 is a bounded linear mapping note that for every v e V we have ||(Li + L 2 ) ( D ) | | ' = ||LI(D) + L2OOII' < IILiOOH' + ||L 2 (w)||' < WLiWv.wM + II^IIV.MTIIVII = {ll^ill,, w + II^Hv.wllMIThus || L11| v w +1| L21| vv/ is a bound for the linear mapping L1 + L2 and L \ + L2is a bounded linear mapping. This shows that {L\ + L2) e 58{V, W}. Let L € 58{V, VF} and y e K'. Let us show that yL defined by (2) is a member of «B{V, W}. Let vu v2 e V and yi, y2 e K. Then (yL)(yivi + y2v2) = yL(yivi + y2v2) = y{y\L{vi) + y2L(>2)}

= Y\(r L)(v\) + y2(y L)(v2) where the first equality is by (2) and the second equality is by the linearity of L. This shows that yL is a linear mapping of V into W. To show that yL is a bounded linear mapping we note that for every v e V we have \\(YL)(v)\\' = \\{yL{v)\\' = \y\ \\L(v)\\' < | y | | | L | | V , J | D | | so that |y |||Z,||V „, is a bound for yL and L is a bounded linear mapping. This shows that yL e *B{V, W). With addition and scalar multiplication thus defined, the fact that *B{V, W} is a linear space over the field of scalars K' is easily established by verifying conditions 1° to 9° in Definition 15.1. Note that 0 e 25{V, W} is the identically vanishing linear mapping of V into W, that is, the mapping L such that L(v) = 0 € W for every u E V. 2. Let us show that \\L\\VM for L € 58{V, W] is a norm on the linear space *8{V, W}. Now by Definition 15.29 we have ||L|| V | M ,=inf { M > 0 : | | L ( D ) | | ' < M\\v\\ for all 1; € V} e [0, 00). If L = 0 e 58{V, W), the identically vanishing mapping of V into W, then ||L|| V „, = 0. On the other hand by Proposition 15.30 if L # 0 e «8{V, W] then ||L||„ „, > 0. Thus \\L\\V = 0 if and only if L = 0 e 58{V, W).

342

Chapter 4 The Classical Banach Spaces

For i e « B ( y , W} and y e K' we have by Theorem 15.36 \\yL\\vw = sup | | ( y L ) ( u ) | ' = | y |
v€Si(0)

sup \\L(v)\\' = \y\\\L\\V
ueSi(O)

w.

This proves the positive homogeneity of || • || vw. To prove the triangle inequality for || • || v „,, let Lu L2 e SB{V, W}. Then by (2) of Theorem 15.36 we have \\Li + L2\\vw= < sup \\(Li + L2)(v)\\'<
veSi(0)

sup
ueSi(O)

{||Li(y)||'+||L 2 (u)ll'} + \\L2\\VW,

sup {||Li|| v , M ,+ ||L2llVH,}l|u|| = \\Li\\vw
v€Si(0)

where the first inequality is by (1) and the triangle inequality of the norm || • ||' and the second inequality is by Proposition 15.30. This proves the triangle inequality for | 'IV,W and completes the proof that || • \\v w is a norm on the linear space 2${V, W}. I Theorem 15.38. Let (V, K, || • ||) be a normed linear space and (W, K',\\-1|') be a Banach space where either K = K' or K = R and K! = C Then the linear space <8 {V, W] over the field K' of all bounded linear mappings of V into W is a Banach space with respect to the norm \\ • \\v wIn particular the linear space 23{V, K'} overthe fieldK ofall K' -valued bounded linear functional on V is a Banach space with respect to the norm \\ • \\v K,. Proof. Let us show that *B{V, W] is complete with respect to the norm || • ||„ w. Let (Ln : n e N) be a Cauchy sequence in %${V, W] with respect to the norm || • \\vw, that is, for every e > 0 there exists N eN such that (1) \\Lm - L„\\v w < e form,n>N.

Then for every u e V w e have (2) \\Lm(v) - Ln(v)\\' = \\{Lm Ln){v)\\' >N

<\\Lm -L„|| V]H ,||t;|| < e|M| fovm,n

so that (L„(v) : n € N) is a Cauchy sequence in W with respect to the norm || • ||'. Since W is complete with respect to the norm || • ||' there exists an element in W, depending on v, to which the sequence (Ln(v) : « e N ) converges. Let us denote this element in W as L(v). Thus we define (3) lim Ln(v) = L(v) fori; e V.

This defines a mapping L of V into W. Let us show that the mapping L of V into W thus defined is a linear mapping. Let vi, v2 e V and yi,y2 € K. Then L(y\vx + y2v2) = lim Ln(y\v\
n—>-oo

+ y2v2) Ln(v2)

= y\ lim Ln(v\) + y\ lim
n—>oo n—>co

= y\L(v\)

+ KiL(i;2).

§15 Normed Linear Spaces

343

Let us show next that the linear mapping L is bounded. By the triangle inequality for the norm || • || vw we have the inequality |||L m \\vw- II Ln\\vw\ < \\Lm - Ln \\ vw for every m,n e N. Then by (1) the sequence (||L„||V|H, : n e N) is a Cauchy sequence of real numbers so that there exists M eR such that lim \\Ln\\vw = M. Since || Ln |L „, > 0 for
n—>oo

every n € N we have M > 0. By (3) for every v e V we have lim \\Ln(v) — L(v)\\' = 0. This implies ||L(v)\\'= lim ||L„(i;)||'< lim \\Ln(v)\\v
n—>oo n—•oo
w\\v\\

= M\\v\\. This shows that

M is a bound for the linear mapping L and thus L is a bounded linear mapping of V into W, that is, L e 23{V, W). Finally let us show that lim ||L„ - L |L w — 0. For every v e V we have by (3) (4) \\Ln(v) - L(v)\\'= \\Ln(v) - lim L m (v)||'
" m->oo "

= 1 lim { L „ ( i ; ) - L m ( v ) } | ' = lim \\Ln(v) 1 <limsup ||L„(u) - L m ( u ) |
m-»oo '

Lm(v)\\'

IMI,

where the third equality is by applying (c) of Proposition 15.9 to the normed linear space (W, K', || • ||'). Since (L„ : n € N) is a Cauchy sequence in *B{V, W), for every e > 0 there exists N e N such that \\Ln(v) — Lm(v)\\v w < e form, n > N. Then forn > N we have lim sup || L„ (v) — Lm (y) \\ v w < e. Substituting this in (4), we have forn>N
m—>oo

||L„(iO-L(v)||'<c||u|| and then \\Ln-L\\vw= This shows that lim ||L„ — L\\v
n—*-oo
w

sup
^€S,(0)

||L„(u)-L(i;)||,<e.

= 0.

In particular since (W, K', || • ||') := (K', K', | • |) is a Banach space, the linear space 23{V, K'} over the field K' of all K'-valued bounded linear functionals on V is a Banach space by our result above. • [VI.6] Dual of a Normed Linear Space Let (V, K, || • ||) and (W, K', || • ||') be two normed linear spaces where either K = K' or K = R and K' = C. Consider the collection *B{V, W] of all bounded linear mappings of V into W. In Definition 15.29, we defined a function || • \\v w on the linear space 93(V, W} over the field of scalars K' by setting for every L € 93 {V, W) \\L\\VW = inf [M > 0 : ||L(iO||' < M||u|| for all v e V). We showed in Theorem 15.37 that || • ||v w is a norm on the linear space 23{V, W). We showed in Theorem 15.36 that if we let 5i(0) = {v e V : \\v\\ = l } , then \\L\\VW= sup ||L(u)||'.
ueSi(O)

344

Chapter 4 The Classical Banach Spaces

We showed in Theorem 15.38 that if (W, K', || • ||') is a Banach space, that is, W is complete with respect to the norm || • ||', then %${V, W} is a Banach space with respect to the norm

II • IULet us consider the particular case that (W, K', || • ||') = (K, K, | • |), a Banach space. Thus we consider the linear space *B{V, K] over the field of scalars K of all K-valued bounded linear functionals on V. Let us write V* for this linear space 23{V, K}. Ifforevery/ e V* we define ||/||* = inf [M > 0 : \f{v)\ < A/||u|| for all y e V}, then || • II* is a norm on V* and V* is a Banach space with respect to the norm || • ||*. As in the general case, if we let S\(0) = {v e V : \\v\\ = l } , then ||/|U= sup | / ( U ) | .
veSi(0)

Definition 15.39. Let (V, K, || • ||) be a normed linear space where K = R or K = C. LetV* be the linear space over the field of scalars K of all K-valued bounded linear functionals on V. Let \\ • [|* be a norm on V* defined for every f e V* by ||/||* = inf {M > 0 : \f(v)\ < M\\v\\ for all v e V}.

We call the Banach space (V*, K, || • ||*) the dual normed linear space of the normed linear (V, K, || • ||). In a normed linear space (V, K, || • ||) and its dual space (V*, K, || • ||») if we let 5i(0) = {v e V : \\v\\ = l } , then as we showed above we have ||/||* = sup„6iSl(0) \f(v)\ for every / e V*. We show in Proposition that if we let S*(0) = {/ e V* : ||/||* = l j , then we have ||u|| = supfes*<0) 1/(^)1 f ° r every v G V.

[VII] Baire Category Theorem
Definition 15.40. Let (X, d) be a metric space. The diameter of a subset EofX by diam(.E) = sup x t y e E d{x, y). is defined

Theorem 15.41. (Cantor Intersection Theorem) Let (X, d) be a complete metric space and let (Fn : n e N) be a decreasing sequence of non-empty closed sets in X. If lim diam(F„) = 0, then there exist XQ e X such that P| ne N F" = {*())• Proof. 1. Let us show that HnsN ^> contains at most one point. Suppose a, b e f \ e N ^" and a ^ b. Then 8 := d(a, b) > 0. Now a,b e f]n€^ Fn implies that a, b e Fn for every n e N. Then diam(F„) = sup^ y€Fri d(x, y) > d(a, b) = S for every n e N. This contradicts the fact that lim diam(F„) = 0. Therefore a = b. This shows that f\eN ^n
rt->0O

contains at most one point.

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345

2. Let us show that flneN F" contains at least one point. Now Fn # 0 for every n e N. Pick x„ G F„ arbitrarily for each n G N. To show that (x„ : n e N) is a Cauchy sequence in X with respect to the metric d, we show that for every £ > 0 there exists N G N such that d(xm, xn) < e for m, n > N. Now since lim diam(F„) = 0, there exists N € N such that d(Fn) < e for n > TV. Let m, n > N. We may assume without loss of generality that m > n > N. Then Fm C F„ so that xm,xn e Fn. This implies that d(xm, xn) < sup^g/r, d(x, y) = diam(F„) < e. This shows that (xn : n € N) is a Cauchy sequence in X with respect to d. Then by the completeness of the metric space {X,d), there exists xo e X such that lim d(xn, xo) = 0. It remains to show that xo e HneN Fn. For every i e N , consider the sequence (x„ : n > k) and its range E^ = {x„ : n > k}. Since (Fn : n e N) is a decreasing sequence and since x„ G F„ for every « G N, we have Ek c F^. Now the convergence of (x„ : n > k) to xo implies that xo G E^. Thenxo eEkCFk = Fk since Ft is a closed set. Thus xo € Ft for every t e N and therefore xo G HneN ^«- • Definition 15.42. Let (X, d) be a metric space and let E be a subset ofX. (a) We say that E is dense in X if E = X. (b) We say that E is nowhere dense in X, or non-dense in X, if(E~)° = 0. Remark 15.43. A set E in a metric space (X, d) cannot be both dense and non-dense in X. In fact, if E is dense in X then F = X so that (F)° = X° = X / 0 so that F is not non-dense in X. Proposition 15.44. Let (X, d) be a metric space and let E be a subset ofX. (a) F is dense in X if and only if for every non-empty open set G in X, we have G fl £ ^ 0. (b) F is dense in X if and only if for every open ball B in X, we have B O E ^ 0. Proof. For an arbitrary set F in X let us write F ' for the set of all limit points of F . Then F = F U F'. _ 1. Let us prove (a). Suppose F is dense in X, that is, E = X. Let G be a non-empty open set in X. Since E = X, G contains a point x G F = F U F ' . If x G F , then we have G n £ ^ 0. I f x G F ' , then the open set G containing x must contain at least one point of F other than x so that G n F ^ 0. Conversely suppose that for every non-empty open set G in X we have G f l £ ^ 0 . Let x G X. If x G F then x G F . If x g F , take an arbitrary open set G containing x. Since G n £ / 0, G contains a point of F distinct from x. Thus x is a limit point of F . This shows that if x e" F then x G F ' C F U F ' = F . Therefore every x G X is contained in F . This shows that F = X, that is, F is dense in X. 2. Let us prove (b). If F is dense in X, then by (a) for every non-empty open set G in X we have G n £ ^ 0 so that in particular for every open ball B in X we have B n F ^ 0 . Conversely suppose for every open ball 5 in X we have B (1 £ ^ 0. Let G be an arbitrary non-empty open set in X. Then G contains an open ball B. Since B f l £ / 0 and since G D B, we have G n F ^ 0. Then F is dense in X by (a). I

346

Chapter 4 The Classical Banach Spaces

Proposition 15.45. Let (X, d) be a metric space and let E be a subset ofX. (a) E is non-dense in X if and only if every non-empty open set G in X contains a non-empty open set Go such that Go D E = 0. (b) E is non-dense in X if and only if every open ball B in X contains an open ball Bo such that B0 n E = 0. Proof. 1. Let us prove (a). Suppose E is non-dense in X, that is, (£)° = 0. Let G be an arbitrary non-empty open set in X. Then G <£_ E for otherwise we have (1)° D G ^ 0, a contradiction. Now G <t ~E implies that G \ £ / 0. Let G 0 = G \ ~E ^ 0. We have Go n E = 0 and thus Go n E = 0. To show that Go is an open set, note that Go = G \ £ = G f l (E)c. Since G and (£")c are open sets, Go is an open set. Thus we have shown that every non-empty open set G in X contains a non-empty open set Go such that Go n E = 0. Conversely suppose every non-empty open set G in X contains a non-empty open set Go such that Go f l E = 0. To show that £ is a non-dense set in X, assume the contrary, that ~ is, (£)° ^ 0. Then G := (E)° is a non-empty open set. Let Go be an arbitrary non-empty open set contained in G. Then Go C G = (E)° C E = E U E'. Thus an arbitrary point x in Go is either in E or in £ ' or in both. If x e E, then Go fl E ^ 0. If on the other hand x e E', then Go is an open set containing a limit point x of 2? so that it must contain a point of E and then we have Go n E ^ 0. Thus in any case for any non-empty open set Go contained in G we have Go n E ^ 0, a contradiction. 2. (b) follows from (a) by the fact that an open ball is a non-empty open set and every non-empty open set contains an open ball. If E is non-dense in X, then since every open ball B is a non-empty open set, B contains a non-empty open set Go such that Go n E = 0 by (a). Since Go is a non-empty open set, it contains an open ball Bo- Then Go n E = 0 implies Bo n E = 0. Conversely suppose every open ball B in X contains an open ball Bo such that BodE = 0. Let G be an arbitrary non-empty open set. Then G contains an open ball B and B contains an open ball Bo such that Bo n E = 0. Thus every non-empty open set G contains a non-empty open set Go := Bo such that Go O E = 0. Then by (a), £ is a non-dense set in X. I Definition 15.46. Let (X, d) be a metric space. A subset EofX is called a set of the first category if E is a countable union of non-dense sets in X. A subset EofX which is not a set of the first category is called a set of the second category. Theorem 15.47. (Baire Category Theorem) Let (X, d) be a complete metric space. Then X is a set of the second category. Proof. To show that X is a set of the second category, we show that X is not a countable union of non-dense sets in X. We show this by showing that for any countable collection of non-dense sets in X, (£„ : n € N}, we have U n e N E" ^ X'tnat *s'tnere exists x e x such that x g En for every n e N. Let us write B r (x) = {y e X : d(x, y) < r} and C r (x) = {y e X : d(x, y) < r} for an

§15 Normed Linear Spaces

347

open ball and a closed ball in (X, d). Let S ro (xo) be an arbitrary open ball in (X, d). Since E\ is a non-dense set in X, the open ball Bro(*o) contains an open ball Bn (x\) such that Bri (x\) D E\ = 0 by Proposition 15.45. We may choose r\ < 1. Consider Bn/2(x\) C Cn/2(x\) C Bn (x\). Since Ej is a non-dense set in X, the open ball Bri/2(xi) contains an open ball Bn(xi) such that Bn{x2) n £2 = 0 by Proposition 15.45. We may choose rj < j . Consider Br2/2(x2) C Cr2/2(x2) C Bn(xz). Since £3 is a non-dense set in X, the open ball Br2/2(x2) contains an open ball Bn{xi) such that Bri(xi) n £3 = 0 by Proposition 15.45. We may choose r>, < | . Thus continuing indefinitely, we have sequences (Brrl(xn) : n e N), (Crn/2(xn) : n e N), and (Brn/2(xn) : n e N), such that 5r„ (x„) n En — 0 and r„ < ^ for « e N and fln(*i) D Cfl/2(JCi) D Dfir 2 fe) 3 Q ^ f e ) D Bn/2(xi) Br2/2{x2)

DB r3 (x 3 ) D C r3 /2(x 3 ) D Bn/2(X3)

Now C r ,/2(xi) D Cri/2(x2) D Cn/2(xi) D ••• so that (Cr„/2(xn) '• n e N) is a decreasing sequence of closed sets. Moreover lim diam(C r /2(x„)) = lim r„ < lim - = 0.
n->oo n->oo n-»oo "

Since (X, d) is a complete metric space, this implies that there exists x e X such that Pl«€N cr„/2(xn) = {x} by Theorem 15.41. Now x e C r „/ 2 (x n ) C Br„(Xn) for every n e N. Then since 5r„ (*n) n £„ = 0 for every n e N, we have x g En for every n e N. Therefore

* £ LLN En and U„eN £« ^ x- •

[VIII] Uniform Boundedness Theorems
Theorem 15.48. Let (X, d) be a complete metric space. Let 3 be a collection of real-valued continuous functions on X with the property that for every x e X there exists Mx > 0 such that (1) \f(x)\<Mx forallfeJ.

Then there exist a non-empty open set O in X and a constant M > 0 such that (2) \f{x)\ < M for all x e O and all f e J .

Proof. Let us classify the points of X as follows. For each k e N we let (3) Ek = {x eX: \f(x)\ <fcforall/e J},

and for each k e N and / e 3" we let (4) EkJ = {x e X : \f(x)\ < k) = \f\~'([0, *]).

348 Then we have

Chapter 4 The Classical Banach Spaces

(5)

Ek = p | Ek,f.

Let x € X be arbitrarily chosen. By (1) there exists Mx > 0 such that \f(x)\ < M^ for all / e J . With ^ e N such that kx > Mx, we have \f(x)\ < kx for all / e 1 so that x e .E^. Thus every x e X is in Ek for some k e N so that we have

(6)

X = (J £ t .

Let us show that E^ is a closed set in X for every k e N. Let / e 3". Since / is a real-valued continuous function on X, | / [ is a real-valued continuous function on X. Then ii^j- as given by (4) is the preimage of the closed set [0, k] in R under the continuous mapping | / | . Thus Ekj is a closed set in X. Then Ek as given by (5) is the intersection of a collection of closed sets in X and is therefore a closed set in X. Since X is a complete metric space, according to Theorem 15.47 (Baire Category Theorem) X is a set of the second category, that is, X is not a countable union of non-dense sets. Then (6) implies that there exist t o e N such that Ek0 is not a non-dense set, that is, (Ek0)° ^ 0- Since Ek0 is a closed set we have Ek0 = Ek0. Thus we have E°ko ^ 0. Let O = £ ^ and M = kQ. Then by (3) we have \f(x)\ < k0 = M for all x £ O and all / e J . • Theorem 15.49. (Uniform Boundedness Theorem) Let (V, K, || • ||) be a Banach space and (W, K!, ]| • ||') be a normed linear space where either K = K' or K = R and K' = C. Consider the collection 23 {V, W} of all bounded linear mappings of V into W and let 2$o{y, W} be a subcollection of*B{V, W] such that for every v e V there exists Mv > 0 such that (1) \\L(v)\\'<MV forallL€<B0{V,W}.

Then there exists a constant B > 0 such that (2) ||L||Vi„ < B for all L e 23 0 {V, W}.

Proof. For each L € 23o{V, W] let us define a real-valued function ft on V by setting (3) //.(«) = II£(«) II' f o r u e V.

Since L i s a bounded linear mapping of V into W, L is a continuous mapping of V into W by Theorem 15.32. On the normed linear space (W, K', || • ||') the mappings i->- ||u;||'is a realvalued continuous function. (This is an immediate consequence of Observation 15.2.) Thus as a composition of two continuous mappings, L and || • ||', ft is a real-valued continuous function on V. Let 3" = {/z. : L e 23o{V, W}}. This collection of nonnegative continuous functions on V has the property that for each v e V we have fi(v) — ||L(u)||' < Mv for

§15 Normed Linear Spaces

349

some My > 0 by (1). Thus by Theorem 15.48 there exist a non-empty open set O in V and a constant M > 0 such that fL(v) that is, recalling (3), (4) \\L(v)\\'<M forallu € 0 and all L e «B0(V, W}. < M for all v e O and all fL € 3",

Now since O is a non-empty open set in V there exist t>o € O and ro > 0 such that Bro(fo) = {» e V : ||u - u0|| < r 0 } C O. Let v € V be such that ||u|| = ro. Then we have ||(i> + VQ) — foil = IMI = ro so that v + v0 e 5 ro (i/ 0 ) C 0 . Let L € *8o{^. W7}. Now by (4) and (1) we have ||L(w)||' = \\L(v + VQ) - L(v0)\\' < \\L(v + v0)\\' + \\L(v0)\\' <M + M„0. Thus for every » e V with ||v|| = ro we have
I / 1 \ ii' \L(-V)\\ 1

I Vrn '/ I ro I

ra r0

=-\\UV)\\'

M + Mvo r0

This implies that for every u e S\(0) we have ||L(M)||' < ——VJL. Then \\L\\VW= sup ||L(»)||'<
u€S,(0)
M +
r

Mv

\ I

0

Let B = — T ^ 2 - . Then we have \\L\\VW < S for all L e «B0{V, W).

Corollary 15.50. Ler (V, K, \\ • ||) be a Banach space. Let *&o{V', W} fee a collection of bounded linear functionals on V with the property that for every v e V there exists a constant Mv > 0 such that \L(v)\ < Mv for all L e %$o{V, W}. Then there exists a constant B > 0 such that ||L||* < B for all L € %$o{V, W}. Proof. The Corollary is a particular case of Theorem 15.49 in which we have(W, K',||-||') = (Kf.K'.H). I Theorem 15.51. (Banach-Steinhaus Theorem) Let (V, K, \\ • ||) be a Banach space and (W, K!, || • ||') be a normed linear spaces where either K = K! or K = R and K' = C. Let (L„ : n e N) be a sequence of bounded linear mappings of V into W such that the sequence (Ln(v) : n € N) converges in W for every v e V. Then the mapping LofV into W defined by setting L(v) := lim Ln(v)forve V is a bounded linear mapping.
n->oo

Proof. The fact that L is a linear mapping follows immediately from the definition of L. Indeed for v\, t>2 e V and y i , ] ^ e K w e have L(nn + Y2V2) = lim Ln(y\v\
n—>co

+ Y2n)
Ln(v2)

= y\ lim L „ ( D I ) + X2 lim
n->oo n—>oo

= YiL(vi) + Y2L(v2).

350

Chapter 4 The Classical Banach Spaces

Let us show that L is bounded. Since the sequence (Ln(v) : n e N) converges in W for every v e V, we have sup„ eN ||L„(D)||' < oo. Thus by Theorem 15.49 there exists a constant B > 0 such that \\Ln \\vw < B for all n € N. Then for every u e V w e have
||L(D)||' = lim
n->oo

||LB(w)||'<limsup||LB||„JM|<fl|M|.
n^oo

This shows that B is a bound for the linear mapping L and thus L is a bounded linear mapping. I

[IX] Open Mapping Theorem
Definition 15.52. Let (V, K) be a linear space over the field K where K = R or K = C. For A, S c V <z«rfa e K, we define a A = \au : u € A}. A+B=
{U + V

: U € A, V € B]

A — B = [u — v : u e A, v € B}.

Note that it follows from the definitions above that A — B = A + (-B). Note also that for any non-empty subset A of V we have 0 £ A — A. Observation 15.53. Let (V, K, || • ||) be a normed linear space. (a) For every A s K , A ^ 0 , w e have kBr(0) = % | r ( 0 ) . (b) For every DO e V we have DO + Br(0) = Br(vo). (c) For every «o. vo e V we have «o + 5 r (uo) = #r("o + vo). (d) For every i e I , X ^ 0, we have kBr(vo) = S ^ i r ^ o ) Proof. 1. Let k e K, A ^ 0. We have A.flr(0) = { > . » : « £ Br(Q)}. For u e flr(0) we have ||u|| < r. Then ||A.K|| = |A.| ||u|| < \k\r so that kBr(0) C BWr(0). Conversely if v e B|A|r(0) then ||D|| < \k\r so that ||A-v|| = -^\\v\\ < j^\k\r = r, that is, {v G S r (0). Then o = A{D e AB r (0). Thus B W r (0) C kBr(0). Therefore we have kBr(0) = B|X|r(0). 2. If v e (uo + S r (0)) menu = vo + u where H e S r (0) with ||M|| < r. Thenu — VQ = u so that ||D - D0|| = ||u|| < r. Thus D e Br(v0). This shows that (v0 + Br(0)) C Br(D0). Conversely if v e Br(vo) then ||D — DO|| < r and v — vo e Br(0). Now we have v = vo + v — vo € {yo + Br(0)). This shows that Br(vo) C (DO + Br(0)). Therefore we have DO + £,•(()) = Br(v0). 3. To prove (c) note that by (b) we have flr(Do) = DO + Br(0). Then «o + Br(v0) = u0+ {D 0 + B r (0)} = {wo + «o) + Br(0) = Br(u0 + v0) where the last equality is by (b).

§15 Normed Linear Spaces

351

4. To prove (d) note that XBr(v0) = X{v0 + Br(0)} = Xv0 + XBr(0) = B\X\r(Xv0) where the first equality is by (b) and the last equality is by (a) and (b). I Observation 15.54. Let (V, K, || • ||) be a normed linear space. (a) If A is an open set in V then for every a € K, a ^ 0, the set a A is an open set in V. (b) If A is an arbitrary subset of V and B is a non-empty open set in V then A + B and A — B are open sets in V. Proof. 1. Let us prove (a). Let A be an open set in V. If A = 0 then for any a e K we have aA = 0. Suppose A is a non-empty open set. Then by Observation 15.34, A is a union of open balls and in fact A = [jv€A Brv (v) where rv > 0. Then for any a e K, a / 0, we have a A = a ( J Brv(v) = \J aBrv(v) = \J BlaK(av)
veA veA veA

by (d) of Observation 15.53. Then as a union of open balls, aA is an open set. 2. Let us prove (b). Let B be a non-empty open set in V. Then as we noted above, we can write B = yjv€B srv (v) where rv > 0. For any u e f w e have „ + B = u + ( J Brv{v) = ( J {u + Brv(v)} = [J Bf„(u + v)
v€B v€B
VEB

by (c) of Observation 15.53. Then we have

A + fl = |J{ M + fl}=lj|« + U Br„{v)\ = U U
usA u€A uefi u€Av€B

Br

> + u>

by (c) of Observation 15.53. Then as a union of open balls, A + B is an open set. Regarding A — B, note that A — B = A + (—B). Now — S is an open set by (a). Then by our result above, A + (-B) is an open set. This shows that A — B is an open set. I Observation 15.55. Let (V, K, \\ • ||) be a normed linear space. (a) For A c V and a e IK we have aA = aA. (b) For A, B C V we have A + B D A + S and A ^ ~ S D A - B . Proof. 1. Let us show aA = aA. Let u 6 aA. Then there exists a sequence (t>„ : n 6 N) in a A such that lim vn = v. Now since vn e a A there exists un e A such that v„ = aun.
n—>oo

Then u =
«—>-oo

lim u„ =
n—>-oo

lim aun = a lim un. Since «„ e A for every « € N, we have
n—>oo n—*oc

lim u„ e A. Thus u e a A. This shows that a A C aA. Conversely suppose v e aA. Then v = a « for some « 6 A. Since u e A there exists a sequence («„ : « e N) in A such that lim un = u. Thenu = au = a lim un = lim aun.
n->oo n—>oo «->oo

Since au„ e a A for every n e N we have D = lim aun e a A. This shows that a A C aA. Therefore we have aA = aA. 2. Let us show that for every A, B C V, we have A + B C A + B. (1)

352

Chapter 4 The Classical Banach Spaces

Let w e A + B. Then w = u + v where u € A and v € B. Since u e A, there exists a sequence (u„ : n € N) in A such that lim un = u. Similarly there exists a sequence
n-»oo

(v„ : n e N) in B such that lim v„ = v. Now u; = lim un + lim vn = lim {M„ + vn] SinceM„+v„ € A + S foreveryn G Nwehavew G A + B. This shows that A+iB C A + B. Then we have A - S = A + ( - f i ) = A + ( - S ) C A + ( - B ) = Awhere the second equality is by (a) and the set inclusion is by (1). • B

Lemma 15.56. Let (V, K, || • ||) and (W, K, || • ||') be two Banach spaces over the same filed of scalars K Let L be a bounded linear mapping of V into W. Let A a (0) = [v e V : \\v\\ < a), an open ball in V with center at 0 G V and radius a > 0. If L(Aa (0)) contains an open ball in W with center atO e W, then we have L(Aa(0))cL(A2a(0)).

Proof. Suppose L(A a (0)) contains an open ball in W with center at 0 e W given by Sfc(0) = {w e W : \\w\\' < b} where b > 0. To show that L(A a (0)) c L(A 2 a (0)), we show that ifw e L(A a (0)) then w € L(A2 a (0)), thatis, if w e L(A a (0)) then there exists v € A2a(0) such that L(i>) = w. Let u> G L(A a (0)) be arbitrarily selected. We construct v e V such that v e A 2a (0) and L(v) = w as follows. Now w e L(Aa (0)) implies that for our t > 0 w e can select v\ e Aa (0) such that

(1)

|u;-L(vi)|r<^

Then \lw -2L(v\)\\' < b so that 2w - 2L(v\) G Bb(0) C L(A a (0)). Then we can select v2 € Aa(0) such that ||2u> - 2L(ui) - L(v2)\\' < §, that is, (2) ||ty--L(i;i)--L(i>2)| < ^ j -

Now4u> - 4L(ui) - 2L(u 2 ) e B6(0) C L(A a (0)). Then we can select 1 3 G Aa (0) such 1 that \\4w - AL{v\) - 2L(v2) - L(f 3 ) f < | so that
11 1 1

ii'

^

(3)

I tu - L(vi) - -L{v2) - pL{vT,)\\

<^.

Thus proceeding we have a sequence (vn : n e N) in A a (0) such that (4) H | W _
( » ( ^ ;

1

MI'
Vl.)| =

II

L

|

u

" ,_^;
1=1

1
L(Wi)|

||'

ft < -

1=1

§15 Normed Linear Spaces for every n e N. Then letting n —>• oo, we have

353

(5)

lim | | w - ^ ( y " = i = r « / ) i r = 0i=l

Consider the sequence (YH.=\ "5p\vi : « £ N) C V. For m > n, we have
m

E
1=71

-^T"i' 9<-i

i

m

< A 71- " ' I y -^~ — ^ ^ ^ ~ r1I w;"|| < a!L-i^ 111=71 =7l

1

m

1

Since £ ? L n ^ = 2, for e > 0 there exists JV 6 N such that J2i>N 2F1 < a • T n u s w e have J YlT=n 2^TU' I < s for m > n > N. This shows that ( J21=\ TP>V' : « e N) is a ] I Cauchy sequence in V. Then the completeness of the Banach space V implies that there exists v e V such that
l> = lim > i=l -T-rK = > ieN —rW;.

Let us show that u G A2fl (0). Now we have II 1 V ^ —r-rVi II ^ 2 ' " 1
ieN

III) II =

II II " ! II = lim > ^-rl),' II II 7 i - > o o ^ - ^ 2 ' - 1 II
i=l

= lim

I " I 1 I I } ~z^-fvi
' II

by (c) of Proposition 15.9

77—>oo II ^—' 2 ' 1=1

" l " 1 < 71-+00 ^ — ' 2'~ ' lim y^r^-rll^ill < 7I->-00 ^ ^ — r a = 2a. l i m Y^ 2 '
i= l i= l

This shows that u e A2 a (0). It remains to show that L(v) = w. Now

!€N

1= 1

1= 1

by the continuity of L. Then
7J 1 1 ; 1 " l

\\w - L(v)\\'=

\\w - lim L ( V —-ruAl = I lim Jtu - L ( Y " - " 1 ^ 11' T II TI^OO \L-J2'-X /ll I 77^00 I I V-^-^2'/III
1= 1 1= 1

II /'A 1 Ml' = lim U — LI > —r-rl); I 7 „^oo I I V( = 1 2 ' " 1 /ll ^

=0

where the third equality is by (c) of Proposition 15.9 and the last equality is by (5). Thus we have w = L{v). I

354

Chapter 4 The Classical Banach Spaces

Theorem 15.57. (Open Mapping Theorem) Let (V, K, || • ||) and (W, K, || • ||') be two Aanach spaces over the same field of scalars K. Let L be a bounded linear mapping of V onto W. Then L is an open mapping, that is, for every open set G in V, L(G) is an open set in W. Proof. Let us write Ar (vo) for an open ball in V with center at vo € V and radius r > 0 and Br(u>o) for an open ball in W with center at VUQ e W and radius r > 0, that is, Ar(v0) = {v e V : \\v - u 0 || < r } , Br(wo) = {w € W : ||tu - ioo||' < r]. 1. Let us show first that the image L(A\ (0)) of the open ball A\ (0) in V contains an open ball in W with center at 0 e W, that is, there exists a > 0 such that (1) Sa(0)cL(A](0)).

Now for every v e V we have ||u|| < oo so that ||v|| < n for some n e N and thus v e A„(0). Therefore we have V = UneN ^n(0). Now since L maps V onto W we have

W = L(V) = L ( ( J A„(0)) = ( J L(A„(0)).
Since W is a complete metric space, according to Theorem 15.47 (Baire Category Theorem) at least one in the sequence (L (A„ (0)) : n € N) is not a non-dense set in W. Thus there exists «0 S N such that the interior of L(A„0 (0)) is non-empty. Then there exists a non-empty open set H in W such that #CL(A„0(0)). Now if u, t> € A„0(0) then ||M — v|| < ||u|| + ||u|| < 2«o so that w — v e A2„0(0). Therefore A2«0(0) D A„0(0) - A„0(0). Thus we have L(A 2no (0)) D L(A„ 0 (0) - A no (0)) = L(A„ 0 (0)) - L(A„ 0 (0)) where the equality is by the linearity of L. Then L(A2no(0)) D L(A„ 0 (0) - A„0(0)) 3 L(A„ 0 (0)) - L(A„ 0 (0)) D H - H

where the second set inclusion is by Observation 15.55. By Observation 15.54, H — H is an open set in W. Since H — H contains O e W there exists r > 0 such that Br(0) CH-HC Then by Lemma 15.56 we have flr(0) C L(A 2 „ 0 (0)) C L(A 4 „ 0 (0)). By Observation 15.54 we have flr/4no(0) = - ! - f l r ( 0 ) C ^ L ( A 4 „ 0 ( 0 ) ) = L ( - ! - A 4 n o ( 0 ) ) = L(A!(0)). Ann 4nn \4«n / L(A 2 „ 0 (0)).

§15 Normed Linear Spaces

355

If we let a = ^ - then we have (1). 2. For the open set 0 in V we have L(0) = 0, an open set in W. Let G be a non-empty open set in V. To show that L(G) is an open set in W we show that for every w e L(G) there exists b > 0 such that (2) Bb(w) C L(G).

Let w € Z-(G). Then there exists v e G such that w = Z,(u). Since v e G and G is an open set in V there exists r > 0 such that A r (u) C G, that is, v + A r (0) C G by Observation 15.53. Then L(G) D L(v + A r (0)) = L(v) + L(Ar(0)). By (1) there exists a > 0 such that B a (0) C L(Ai(0)) and thus B ar (0) = rfl a (0) C rL(Ai(0)) = L(rA,(0)) = L(A r (0)) by Observation 15.53. Thus L(G) D L{v) + Bar(0) = Bar(L(v)). we have Bar(w) C Z-(G). If we let b = ar then we have (2). • Then since iy = L(v)

Corollary 15.58. Let (V, K, || • ||) a«J (W, K, \\ • ||') fce two Sanac/i spaces over the same field of scalars K Z^ef L be a one-to-one continuous linear mapping of V onto W. Then the inverse mapping of L is a continuous mapping ofW onto V. Proof. Let A be the inverse mapping of L. Now A maps W one-to-one onto V. Let us show that A is a linear mapping. Let w\, u>2 e W and a\,ct2 e K. Since L maps V one-to-one onto W there exist unique t>i, v% e V such that L(v\) = w\ and L(i>2) = wi, that is, v\ = A(w\) and U2 = A(u>2). Then A(oriu;i +a 2 W2) = A(aiL(vi) + a2L(i)2)) = A(L(«ii;i + a2V2)) = ctivi +CC2V2 -a\K{w\) +a2A(u^2).

This shows that A is a linear mapping of W into V. To show that A is a continuous mapping we show that for every open set G in V, A - 1 (G) is an open set in W. But A _ 1 ( G ) = L(G) and according to Theorem 15.57, L(G) is an open set in W. • Definition 15.59. Let X and Y be two sets and let T be a mapping of a subset DofX into Y. The subset ofX x Y defined by {(x, T(x)) € X x Y : x e D] is called the graph of the mapping T. Proposition 15.60. Given two normed linear spaces (V, K, || • ||) and (W, K, || • ||') over the same field of scalars K (a) Let us define addition and scalar multiplication on the product space V x W by (1) (2) (v\, w\) + (v2, u>2) = Oi + V2, w\ + W2) for(v\,w\),(v2,W2) y(v, w) = (yv, yw) for (v, w) e V x W and y 6 K. £ V x W,

356

Chapter 4 The Classical Banach Spaces

Then V x W is a linear space over the field of scalars K (b) Let us define a function || • ||" on V x W by setting (3) ||(v, w)\\" = \\v\\ + \\w\\' for(v,w) e V x W.

Then || • ||" is a norm on the linear space V x W. (c) V x W is complete with respect to the norm || • ||" if and only ifV and W are complete with respect to the norms || • \\ and \\ • ||' respectively. (d) lf(V, K, || • ||) and (W, K, || • ||') are Banach spaces then (V x W, K, || • ||") is a Banach space. Proof. 1. It is readily verified that, with addition and scalar multiplication defined by (1) and (2), V x W satisfies conditions 1° - 9° of Definition 15.1. Thus V x W is a linear space over the field K. 2. Similarly it is easily verified that || • ||" defined by (3) satisfies conditions 1° - 4° of Definition 15.1. Thus || • ||" is a norm on the linear space V x W. 3. Let us note that for (i>i, w\), (v2, w2) e V x W we have by (1) and (3)
(4) ||(t>l, lOl) (U2, W2)\\" = ||Ol V2, W\ W2)\\" — || VI V2\\ + || Wl - W2\\'.

Thus we have (5) ||ui - U2||, \\wx - 1U2II' < \\(v\, wi) - (v2, w2)\\" = ||«i - v2\\ + ||wi - w2\\'.

Now consider arbitrary sequences (vn : n e N) in V, (wn : n e N) in W, and ((vn, wn) : n € N) in V x W. It follows from (5) that ((D„, UI„) : n € N) is a Cauchy sequence with respect to the norm || • ||" if and only if {vn : n e N) is a Cauchy sequence with respect to the norm || • || and (wn : n e N) is a Cauchy sequence with respect to the norm || • ||'. Suppose V is complete with respect to || • || and W is complete with respect to || • ||'. To show that V x W is complete with respect to || • ||", let ((u„, wn) : n € N) be a Cauchy sequence in V x W with respect to || • ||". Then as we noted above (vn : n e N) is a Cauchy sequence in V with respect to || • || and (w„ : n € N) is a Cauchy sequence in W with respect to || • ||'. By the completeness of V with respect to || • || and the completeness of W with respect to || • ||' there exist v e V and w € W such that lim \\vn - v\\ = 0 and
n—>oo

lim || wn — w || = 0. Then by (4) we have
n-»oo

lim ||(u„, wn) - (v, w)\\" = lim f||u„ - v\\ + \\w„ - w\\'\ = 0.
n—»oo n—>oo

This shows that V x W i s complete with respect to || • ||". Conversely supposeV x W is complete with respect to || • ||". To show that V is complete with respect to || • || and W is complete with respect to || • ||', let (vn : n e N) be a Cauchy sequence in V with respect to || • || and (wn : n e N) be a Cauchy sequence in W with respect to || • ||'. Then as we noted above ((i>„, wn) : n € N) is a Cauchy sequence i n V x f f with respect to || • ||". By the completeness of V x W with respect to || • ||" there exists (v,w) <EV xW such that lim ||(i>„, wn) - (v, w)\\" = 0. Then by (5) we have
n->oo

lim ||u„ - i;|| < lim ||(u„, wn) - (v, w)\\" = 0.

§15 Normed Linear Spaces

357

This shows that V is complete with respect to || • ||. Similarly W is complete with respect to || • ||'. 4. If (V, K, || • ll) and (W, K, || • ||') are Banach spaces then V is complete with respect to the norm || • || and W is complete with respect to the norm || • ||'. Then by (c), V x W is complete with respect to the norm || • ||", that is, (V x W, K, || • ||") is a Banach space. • Theorem 15.61. (Closed Graph Theorem) Let(V, K, ||-||) and(W, K, || -1|') betwoBanach spaces over the same field ofscalars K Let Lbea linear mapping ofV into W. If the graph ofL is a closed set in the Banach space (V x W, K, || • ||") where \\{v, w)\\" = \\v\\ + \\w\\' for (v, w) e V x W, then L is a continuous mapping ofV into W. Proof. Let G be the graph of L, that is, G = {(y, L(v)) e V x W : v e V}. Then G is a linear subspace of V x W. Indeed if (y\, L(v\)), (v2, L(v2)) e G anAy\,Y2 £ K then by (1) and (2) of Proposition B.9 we have Yi(vi, L(vi)) +Yi{vi, L(v2)) = (yivi + Y2V2, YiL(v\) + Yl^in))

= {yivi + Y2V2, L{y\v\ + Y2V2)) € G. If we assume that G is a closed set in the Banach space (V x W, K, || • ||") then (G, K, || • ||") is a Banach space by Proposition 15.10. Let us define two mappings Pi and Pi of G C V x W into V and W respectively by Pi (v, L(v)) = v P2(v, L(v)) = L(v) for (v, L(v)) e G, for (v, L(v)) e G.

Clearly Pi and P2 are linear mappings. Moreover we have |j>l(i;,L(t;))|| = ||u|| < ||t;|| + \\L(v)\\'=\\(v,L(v))\\",

\\P2(v, L(v))\\' = \\L(v)\\' < \\v\\ + \\L(v)\\' = |(v, L(v))\\". = This shows that the constant 1 is a bound for the linear mapping Pi and for the linear mapping P2. Thus Pi and P2 are bounded linear mappings. This implies that P\ and P2 are continuous linear mappings by Theorem 15.32. Now Pi is a one-to-one mapping of the Banach space G onto the Banach space V. Thus the continuity of L implies that its inverse mapping Q is a continuous mapping of V onto G by Corollary 15.58. Now L = P2 o Q. Then the continuity of the mapping Q of V onto G and the continuity of the mapping P2 of G into W implies that L is a continuous mapping of V into W. I

[X] Hahn-Banach Extension Theorems
[X.l] Hahn-Banach Extension Theorem for Real Linear Spaces Let P be a set. A partial ordering on P is a relation < between elements of P which satisfies the following conditions:

358

Chapter 4 The Classical Banach Spaces

1° reflexivity: x < x. 2° antisymmetry: x <y and y <x imply x = y. 3° transitivity: x < y and y < z imply x < z. < is called a linear, or total, ordering if it satisfies the additional condition : 4° trichotomy: x, y e P implies x < y or y < x. If for every A C P , A ^ 0, there exists a € A such that a ;< x for every x e A then < is called a well ordering. We call (P, ;<) a partially ordered set. If x < y and x ^ y then we write x < y. We write JX: >: y for y ^ x and x > y for y < x. Let (P, ;<) be a partially ordered set. Let A C P. If there exists u e P such that x < u for every x e A then we call M an upper bound for A. If there exists m e P such that if x e P and m ;< x then m = x and m is called a maximal element in P . A lower bound for a subset A of P and a minimal element for P are defined likewise. A subset C of P which is linearly ordered is called a chain in P . Zorn's Lemma. Every non-empty partially ordered set in which every chain has an upper bound has a maximal element. Zorn's Lemma is equivalent to the Axiom of Choice in set theory which states that for any non-empty collection of non-empty sets a set can be formed by selecting exactly one element from each set in the collection. For a proof of the equivalence we refer to [11]. Definition 15.62. Let (V, R) be a real linear space. A function ponV functional on V if it satisfies the following conditions: 1° real-valued: p(v) e R for every v e V. 2° homogeneity: p(av) = ap{v)for v e V and a > 0. 3° subadditivity: p(u + v) < p(u) + p(v) for u,v e V. is called a sublinear

Remark 15.63. (a) Conditions 1° to 4° in Definition 15.1 for a norm on a linear space imply conditions 1° - 3° in Definition 15.62. Thus a norm on a real linear space is a sublinear functional on the real linear space. (b) If pis a sublinear functional on a real linear space (V, R) then for u, v e V and a e [0,1] p(ctu + (1 — CK)D) < ap(u) + (1 — a)p(v). Thus a sublinear functional is a convex function. Theorem 15.64. (Hahn-Banach Theorem for Real Linear Spaces) Let (V, R) be a real linear space and let p be a sublinear functional on V. Let M be a linear subspace of V and let f be a real-valued linear functional on M such that f(v) < p(v)for v 6 M. Then there exists a real-valued linear functional g on V such that g(v) = f(v) for v e M and g(v) < p(v)forv € V.

§15 Normed Linear Spaces

359

Proof. 1. If M = V there is nothing to prove. Thus we assume M / V. Let DO G V and t>o & M. Let Vo be the linear subspace of V spanned by M and DO, that is, (1) V 0 = {u + kvo : u € M,X e l ) .

Let us show that there exists a real-valued linear functional fo on Vo such that fo(v) = / ( D ) for v e M and fo(v) < p(v) for v G VO. With an arbitrary c G R let us define a functional /o on Vo by setting (2) /o(i;) = fo(u + XVQ) = f(u) + Xc for v = u + Xv0 e Vo.

Let us note that since vo & M the representation of v e Vo as v = u + Xc with u e M and X G R is unique and therefore the definition of /o by (2) is well defined. Now fo is a real-valued functional on Vo. Let us show that /o is a linear functional on Vo. Let v\, V2 G Vo and a\, a.2 G R. Now v\ = u\ + X\vo and V2 = «2 + ^2^0 for some MI, U2 € M and A], X2 G R. Thus we have fo(a\v\ +a2v2) = /o((«i"i + «2"2) + («i^i +a2A.2)fo) = / ( a i « i + a2«2) + (aAl + a2^2)c = a i { / ( « i ) + Xic} + a 2 { / ( " 2 ) + A.2c} = a\fo(vi) + a2Mv2). This shows that /o is a linear functional on Vo. Clearly /oO) = / ( u ) for v e M. Let us show that the constant c G R in the definition of /o by (2) can be so chosen that fo(v) < p(v) for u e Vo, that is, (3) f(u) + Xc < p(u + XVQ) for all u e M and X e K.

Note that if X = 0 then (3) reduces to f(u) < p(w) for all u G M which is valid by our assumption on / . Thus dividing (3) by X =£ 0 and applying the linearity of / on M and condition 2° in Definition 15.62 we obtain a set of conditions on c: f(l)+c < p(i + v0) for all u G M and A > 0, .

/ ( - f) - c < p ( - f - vo) for all u e M and A < 0, which is equivalent to the condition (3) on c. This set of conditions on c is equivalent to the set of conditions: / ( « ) + c < p(u + vo) for all u G M, / ( « ) — c < p{u — VQ) for all u e M. This set of conditions is further equivalent to the condition : (4) / ( " ) - p(u - v0) < c < - / ( « ) + p(u + VQ) forallMGM.

Let us show that c e R satisfying condition (4) exists. Now for any u', u" e M we have

/(«') + f(u") = /(«' + «") < p(u' + «")
= p(tt' - D + «" + Wo) O < p(u' - Do) + p(«" + D0).

360 Thus we have / ( « ' ) - p(u' - VQ) < -f(u")

Chapter 4 The Classical Banach Spaces + p(u" + VQ) for all u', u" e M and therefore

sup {/(«) - p(u - v0)} < inf { - f(u) + p(u + v0)}. Thus if we select c € [sup„ e M \f(u) — p(u — vo)}, ir\fUeM { — f(u) + p(u + vo)}], then c satisfies condition (4). With c e R thus selected we have condition (3) holding for all u € M and A e R, that is, fo(v) < p(v) for v e Vo. 2. Let Va be a linear subspace of V containing M and let fa be a real-valued linear functional on Va such that fa = f on M and fa < p on Va. Let 3 = {(V a , /«) : a e A} be the collection of all such pairs (Va, /«)• Note that 3 ^ 0 since with Vo and /o constructed in 1 we have such a pair. Let us introduce a partial ordering in 3 by defining (V ai , / a 2 ) ;< (Va,, /„ 2 ) if (V„p / a i ) , (V«2, /„ 2 ) € 5 are such that Va, C Va2 and / „ , = /„ 2 on V« r It is easily verified that < satisfies the reflexivity condition, the symmetry condition, and the transitivity condition so that ;< is indeed a partial ordering on 3 . Let C C 3 be a chain, that is, if (V^, f a i ) , (Va2< fa2) € C then we have either (VC*P/a,) ^ (V a 2 ,/c 2 ) or (V a 2 ,/a 2 ) < (Vai,fai). Let us show that C has an upper bound, that is, there exist (Vp, fp) £ 3 such that (Va, fa) < (Vp, fp) for every (Va, fa) e (3. We construct Vp and fp as follows. First let Vp = U(v„ / )ee ^a- Let us show that Vp is a linear subspace of V containing M. Let i>i, vj € V^ and ci, cj e R. There exist (Kip fa]), (Vai, fa2) £ C such that ui € VQ., and V2 £ Va2. Since C is a chain, either (Vap/o-,) < (Va2, fa2) or (Va2, fa2) < (Vai,fai). Let (Va}, fa}) be the greater of the t wo. Then vi, V2 £ Va3 so that c\ v\ + C2V2 6 Va3 C V^. This shows that Vp is a linear subspace of V. We have also M <zVai cVp. Let us define a real-valued functional fp on Vp as follows. Let v e Vp. Then v € Va for some (Va, / a ) € C. We define /^(u) := fa(v). Let us show that this definition of fp is consistent. Suppose v e Vai and v e VU2 for some (V^, / „ , ) , (V a2 , fa2) e Q. Since (3 is achain, either (V a p fai) :< (Va2, /« 2 ) or (Va2, fai) < (Vai, /«,). We assume without loss of generality that (V a p /«,) :< (V„2, / a 2 ) . Then Vai C Va2 and /«, = /„ 2 on Va, so that />(i0 := /«,(u) and fp(v) := fa2(v) are equal. To show that (Vp, fp) € 3 we verify that fp is a linear functional on Vp, fp = f on M, and / ^ < /? on Vp. To prove the linearity of fp on V^ note that if v\,v2 e Vp then as we pointed out above there exists (Va}, fa}) £ C such that v\,V2 € Vcj. Then for any c\,C2 € R we have
/ ^ ( C l ^ l + C2V2) = fai(.C\Vi + C2V2) = C\fa2(v\) + C2fai(V2)

=

c\fp(vi)+c2fp(v2).

This shows that fp is a linear functional on Vp. lfveM then for an arbitrary (Va, fa) £ C we have v e M C Va so that / ^ ( D ) = /«(«) = / ( f ) - Thus fp = f on M. Let u e V^. Then there exists (Va, fa) £ C such that u £ Va. Then /^(i;) = fa(v) < p(u). This shows that fp<pon Vp and completes the verification that (Vp, fp) eJ. For any (Va, fa) £ 6 it is clear from our definition of Vp and fp that Va C Vp and //» = fa on V„. Thus (V a , /„) ± (Vp, fp). We have shown above that every chain in 3 has an upper bound. Thus by Zorn's Lemma there exists a maximal element in 3 . Let (VY, fy) be a maximal element in 3 . Let us show

§15 Normed Linear Spaces

361

that Vy = V. Suppose VY # V. Then there exists vo € V such that vo & VY. Let Vo be the linear subspace of V spanned by VY and VQ. Then as we showed in 1 there exists a real-valued linear functional /o on Vo such that /o = fY on Vy and fy < p on Vo- Since M c Vy C Vb and fY = f on M we have f0 = fY = f on M. Thus (V0, /o) € J . Since Vy C V0 and fY = f0 on VY we have (Vy, fY) < (V0, /o). But Vy ^ V0 so that (Vy, /y) ^ (Vo, /o). This contradicts the maximality of (V y , fY) in S". Thus we have Vy = V. Therefore / y is a real-valued linear functional on V such that fy = for\M and /y < / > o n V . • We apply the Hahn-Banach Theorem for real linear spaces to obtain an extension theorem for real-valued bounded linear functionals on a real normed linear space. Theorem 15.65. Let (V, R, || • ||) be a real normed linear space and let M be a linear subspace ofV. Let f be a real-valued bounded linearfunctional on the real normed linear space (M,R,\\-\\)andlet\\f\\*beits norm. Then there exists a real-valued bounded linear functional g on V such that g = f on M and \\g\\* = ||/||+. Proof. Let us define a real-valued functional p on V by setting (1) POO = ll/IUNI forueV.

Then for any v e V and a > 0 we have P(.av) = \\fU\av\\ and for any «, v e V we have p(u + v) = U/IUIIw + V|| < ||/|U{||n|| + ||v||} = p(u) + p(v). Thus p satisfies conditions 1° - 3° of Definition 15.62 so that p is a sublinear functional on the real linear space V. We have also, by Proposition 15.30 / ( u ) < l/(«)l < ll/IUI|v|| = p(v) forv€ M. = \\f\\*a\\v\\=ap(v),

Thus by Theorem 15.64 (Hahn-Banach), there exists a real-valued linear functional g on V such that g = f on M and g < p on V. Now since g(v) < p(v) for every v € V we have g{v) = -g(-v) > -p(-v) so that (2) -p(-v) < g(v) < p(v) for i; 6 V.

Now (1) implies that -p(-v) and (1) in (2), we have

= HI/IUII - "II = -|I/II*IM| foru e V. Substituting this

-ll/IUIMI < g ( w ) < l l / I U N I and hence (3)

for u s V

1*001 < ll/IUIMI f o r v e V.

362

Chapter 4 The Classical Banach Spaces

This shows that g is a bounded linear functional on V and ||g||* < ||/||*. On the other hand by Theorem 15.36 we have ||g||*= sup \g(v)\ > sup \g(v)\ i>ev,j|u||=i veM,\M=l

=

sup
V€M,||D|| = 1

|/(i;)|=||/|U.

Therefore we have ||g||* = \\f\\*. • [X.2] Hahn-Banach Extension Theorem for Complex Linear Spaces Observation 15.66. Let (V, C) be a complex linear space and let / be a complex-valued linear functional on V satisfying the homogeneity and additivity conditionss in Definition 15.26. Let f — fa + ifa where fa and fa are the real and the imaginary part of / . (a) fa and fa are related by | fa(v) = faiiv) fori; e V, for v e V.

\ fa(v) = -fadv)

(b) For j = 1, 2 the real-valued functional fa on the complex linear space V satisfies the additivity condition but, unless fa is identically vanishing on V, fj does not satisfy the homogeneity condition and thus fj is not a linear functional on V. (c) As we noted in Remark 15.3, a complex linear space is also a real linear space. If we regard V as a real linear space then fa and fa are real-valued linear functionals on the real linear space V. Proof. 1. To prove (1) note that for every u e V w e have (2) f(iv) = fa(iv)+ifa(iv)

and by the homogeneity of / we have (3) f(iv) = if(v) = i{fa(v) + ifa(v)} = ifi (v) fa(v).

Equating the real part of (2) to that of (3) we have the second equation in (1), and equating the imaginary part of (2) to that of (3) we have the first equation in (1). 2. To show that fa and fa satisfy the additivity condition on V, let u, v e V. Then (4) f(u + v) = fa(u + v) + ifa(u + v).

On the other hand by the additivity condition on / we have (5) / ( « + v) = / ( « ) + f(v) = {/!(«) + fa(v)} + i{fa(u) + fa(v)}.

Equating the real part of (3) to that of (4) and equating the imaginary part of (3) to that of (4) we have fa(u + v) = fa(u) + fa(v), fa(u + v) = fa(u) + fa(v).

§15 Normed Linear Spaces

363

This proves the additivity of f\ and f2. 3. Let j = 1 or 2. Suppose / / is not identically vanishing on V. To show that / / does not satisfy the homogeneity condition we show that there exist v e V and y e C such that fjiyv) + yfj(v).

Now for any v e V and y e C, y = a + ifi where a, /S e R, we have

(6)

f(Yv) = Myv) + if2(yv).
f(yv) = yf(v) = {a + # } { / , ( « ) + + if2(v)} i{PMV)+aMv)}-

On the other hand by the homogeneity of / we have (7)

= {ctfi(v)-Pf2(v)}

Equating the real part of (6) to that of (7) and equating the imaginary part of (6) to that of (7) we have (8) ' fx(yv) fi(yv) = «/i(i;) - /3f2(v) = y/](u) - ififi(v) = PMv) + af2(v) = yf2(v) - ifif2(v) + Pf2(v), fifx{v).

If f\ is not identically vanishing on V we can select v e V such that f\ (v) ^ 0. If we select /S ^ 0 then f\{yv) ^ yf\{v). If f2 is not identically vanishing on V we can select v e V such that f2{v) ^ 0. If we select ft ^ 0 then f2(yv) ^ yf2(v). 4. Let us regard V as a real linear space. Let us show that f\ and f2 are real-valued linear functionals on the real linear space V. We have verified the additivity of f\ and f2 in 2 above. To verify the homogeneity of f\ and fc on the real linear space V, let v e V and a e l . Then we have (9) f(av) = fl(aV) + if2(av)

and by the homogeneity of / on the complex linear space V and by the fact that a e l c C we have (10) f(av) = af(v) f\{av) = a/,(u) + = a/i(v), iaf2(v).

From (9) and (10) we have f2{av) =af2(v). This verifies the homogeneity of f\ and f2 on the real linear space V. Thus f\ and f2 are real-valued linear functionals on the real linear space V. I Lemma 15.67. Let (V, C) be a complex linear space. Let f bea complex-valued functional on V satisfying the following conditions : (1) (2) (3) f(u + v) = f(u) + f(v) f(av) f(iv) foru,veV

= a / O ) for v e V, a e R = if(v) forveV.

364

Chapter 4 The Classical Banach Spaces

Then f is a complex-valued linear functional on V. Proof. By (1), / satisfies the additivity condition 2° of Definition 15.26. It remains to verify that / satisfies the homogeneity condition 1° of Definition 15.26, that is, (4) f(yv) = yf(v) for v e V, y e C.

Let v € V and let y e C written as y = a + ifi where a, p e R. Then by (1) we have f(yv) = / ( a w + ifiv) = f(av) + f{ifiv). = ifJf(v). Thus

By (2) we have / ( a n ) = a / O ) . By (3) and (2) we have f(ifiv) = if(fiv) we have f(yv) = af(v) = ifif(v) = yf(v). This proves (4). I

Definition 15.68. Let (V, C) be a complex linear space. Afunctional p on V is called a sublinear functional on aV if it satisfies the following conditions: 1° real-valued: p(v) e R for every v e V. 2° positive homogeneity: p(yv) = \y\p(y) for v € V andy € C. 3° subadditivity: p(u + v) < p(u) + p(v)foru, v e V. Remark 15.69. (a) A norm on a complex linear space (V, C) satisfies conditions 1° - 3° of Definition 15.68 and is therefore a sublinear functional on V. (b) As we noted in Remark 15.3 a complex linear space (V, C) can be regarded as a real linear space. Since conditions 1° - 3° in Definition 15.68 imply conditions 1° - 3° in Definition 15.62 a sublinear functional p on a complex linear space V is a sublinear functional on the real linear space V. The following extension of the Hahn-Banach Theorem for real linear spaces to complex linear spaces is due to H. F. Bohnenblust and A. Sobdczyk. Theorem 15.70. (Hahn-Banach Theorem for Complex Linear Spaces) Let (V, C) be a complex linear space and let p be a sublinear functional on V. Let M be a linear subspace ofV and let f be a complex-valued linear functional on M such that \f\ < p on M. Then there exists a complex-valued linear functional h on V such that h = f on M and \h\ < p on V. Proof. Let us write / = f\ + ifi where f\ and fi are the real and the imaginary parts of / . Let us regard the complex linear spaces V and M as real linear spaces. By (c) of Observation 15.66, f\ and fi are real-valued linear functionals on the real linear space M. Now l/i(")l < { l / i O ) | 2 + l / 2 0 ) l 2 } 1 / 2 = l / 0 ) | < P(v) for v e M.

The sublinear functional p on the complex linear space V is also a sublinear functional on the real linear space V by (b) of Remark 15.69. Thus by Theorem 15.64 (Hahn-Banach) there exists a real-valued linear functional g on the real linear space V such that g = f\ on

§15 Normed Linear Spaces M and g < p on V. Thus we have (1) (2) (3) (4) g(u + v) = g(u) + g(v) g(av) = ag(v)
g(v)

365

foru,veV,

for v e V, a e R, forveM, for u e V.

= fl(v)

g(u) < p(v)

Let us define a complex-valued functional h on the complex linear space V by setting (5) h(v) = g(v) - ig(iv) for v e V.

Let us show that h is a complex-valued linear functional on the complex linear space V by verifying conditions (1) - (3) of Lemma 15.67. First of all, for u, v e V we have h(u + v) = g(u + v)ig(i(u + v)) = g(u) + g(v) - i[g(iu) + g(iv)}

= [g(u) - ig(iu)} + {g(v) - ig(iv)} = h(u) + h(v), where the second equality is by (1). This verifies condition (1) of Lemma 15.67. Secondly, for v e V and a e R, we have h(av) = g(av) — ig(iav) = ccg(v) — iag(iv) = ah(v), where the second equality is by (2). This verifies condition (2) of Lemma 15.67. Finally, for v e V we have h(iv) = g(iv) - ig(-v) = g(iv) + ig(v) = ih(v),

= i{ - ig{iv) +g(v)}

where the second equality is by (2). This verifies condition (3) of Lemma 15.67. Thus by Lemma 15.67, h is a complex-valued linear functional on the complex linear space V. To show that h = f on M, note that for v e M we have g(iv) + if2(iv) = /i(iu) + ifiiiv) = i{fl(v) + ifi(v)} = f(iv) = if(v) f2(v),

= ig(v) -

where the first equality is by (3). Since g is real-valued the chain of equalities above implies that g(iv) = —fi(v). Thus we have h{v) = g(v)ig(iv) = /,(v) + if2(v) = f(v).

This shows that h = f on M. It remains to show that \h\ < p on V. For v e V let y = el9 be such that yh(v) = \h(v)\. Then \h(v)\ = yh(v) = h(yv) = g(yv) - ig(iyv). Since \h(v) | 6 R and g is real-valued the last equality implies \h(v)\ = g(yv) < p(yv) = \y\p(v) = p(v),

366 by (4) and condition 2° of Definition 15.68. I

Chapter 4 The Classical Banach Spaces

As in the real case, we apply the Hahn-Banach Theorem for complex linear spaces to obtain an extension theorem for complex-valued bounded linear functionals on a complex normed linear space. Theorem 15.71. Let (V, C, || • ||) be a complex normed linear space. Let M be a linear subspace of V and let f be a complex-valued bounded linear functional on the complex normed linear space (M, C, || • ||) with norm ||/||*. Then there exists a complex-valued bounded linear functional h on V such that h = / on M and with norm ||/i||* = ||/||*. Proof. Let us define a functional on V by setting P(v) = H/IUIMI Then for v € V and y e C we have forveV.

P(yv) = ll/ll*lly«ll = ll/IUIy|INI = l)'lp(v).
and for u, v e V we have
P(U

+ V) = ||/|U||« + V|| < ||/|U{||H|| + H I } = P(U) +

P(V).

Thus p satisfies conditions 1° - 3° of Definition 15.68 and is therefore a sublinear functional on the complex linear space V. Now since / is a complex-valued bounded linear functional on the complex normed linear space (M, C, || • ||) we have \f(v)\<\\f\U\\v\\=p{v) forveM.

Then by Theorem 15.70 there exists a complex-valued linear functional h on V such that h = f on M and \h\ < p on V. Thus we have \h(v)\ < ||/||*||i>|| for v e V. This shows that h is a bounded linear functional on V and ||/||* is a bound for ft. Thus ||/j||* < ||/||*. On the other hand we have ||A||.= sup |A( U )|> sup |A(tOI= sup |/(w)| = ||/|U. veV,||v||=l ueM,||u||=l «eyif,||u||=l I

Thus we have ||/i||*= ||/|U.

Applying Theorem 15.65 and Theorem 15.71 we obtain the following extension theorem for bounded linear functionals on a normed linear space. Theorem 15.72. Let (V, K, || • ||) be a normed linear space over the field of scalars Kwhere K = R or K = C. Let M be a linear subspace ofV,M^ V, and let VQ e V be such that the distance between VQ and M is positive, that is, d = inf„€A/ \\u — VQ\\ > 0. Then there exists a K-valued bounded linear functional f on V such that f = 0 on M, f(vo) = d, and\\f\U=l.

§15 Normed Linear Spaces Proof. Let Vo be the linear subspace of V spanned by M and VQ, that is, (1) Vo= {u + yv0 : u e M, y e K}.

367

Let us define a K-valued functional /o on Vo by setting (2) fo(v) = fo(u + y vo) = yd for u € M and y e K.

Since d = inf„ejvf II" —foil > 0, i>o ^ M so that the representation of v e Voby v = u + yvo with u € M and y s K is unique and therefore /o is well defined by (2). It is easily verified that /o is a linear functional on Vo- Also / = 0 on M. Indeed for v e M c Vo we have v = u + OVQ with u e M so that by (2) we have (3) f0(v) =
/O(M

+ 0t)0) = 0 • d = 0 for u e M.

Since i»o e Vo and DO = 0 + \VQ, we have by (2) (4) /o(i*) = /o(0+lt*)) = l - d = d.

Let us show that /o is a bounded linear functional on Vo with || /o || * = 1. According to Theorem 15.36 it suffices to show that if we let S = [v € Vo : ||u|| = l } , then we have (5) Now sup|/ 0 (i;)| = l.
V€S

{
(6)

f

1

f w + yvo /

1 : w € AT, y e K, u + yv0 =f 0 .

— - : v e Vo, v ^ 0 =

II "II
Thus for v e S we have

J

lllw + yfoll ,. l/o(«^+ yf 0..)| llw + yvoll .. ^ \y\d .. ll« + yvo||

J

l/oOOI = / o , ..u + yvo . .\. .I , \\u + yvo\\J\

Since VQ =£ 0 € Vo, we have A

€ 5. By (4) we have

Vll^oll/
Thus we have (7) sup|/o(u)|=
veS

INII
sup

IIvoll

>

|/ 0 (u)|.

v€S,f0(v)jtO

Now /o(u) ^ 0 for v e S implies y ^ 0 by (6). Then by (6) and (7) we have ,, ,
M

\Y\d
; SUp + YVo\\- = M€M,YT£0

d
Wf + f0II

SUP | / o ( f ) l = uzM,y^o\W SUp veS

d d d sup = = — w€M ||wo — wll inf w e M | | v o - w\\ d = 1.

368

Chapter 4 The Classical Banach Spaces

Thus we have ||/o||* = 1. We have just shown that /o is a K-valued bounded linear functional on Vo such that /o = 0 on M, fo(v0) = d, and ||/o||* = 1. Then by Theorem 15.65 if K = R and by Theorem 15.71 if K = C, there exists a K-valued bounded linear functional / on V such that / = /o on Vo and ||/||* = ||/ 0 ||* = 1. Since M C Vo and f0 = 0 on M by (3), we have / = /o = 0 on M. Since VQ e Vo, we have /(no) = /o(fo) = d by (4). • Corollary 15.73. Let (V, K, || • ||) be a normed linear space over the field of scalars K where K = R or K = C. If VQ G V and VQ ^ 0 e V then there exists a K-valued bounded linear functional fonV such that /(DO) = II foil and ||/||* = 1. Proof. Consider the linear subspace M of V consisting of 0 e V only, that is, M = (0). Since DO ^ 0 we have d = inf„€M \\u — foil = ||DO|| > 0- Thus by Corollary 15.72, there exists a K-valued bounded linear functional / on V such that / (vo) = d = \\VQ\\ and

11/11* = 1. •
[X.3] Bounded Linear Mappings of a Dual Space into a Dual Space Proposition 15.74 . Let (V, K, || • ||) be a normed linear space over the field of scalars K where K = R or K = C Let (V*, K, || • ||*) be the dual space of (V, K, || • ||) and let S*(0) = {/ e V* : ||/|U = l}. Thenforevery v € V we have (1) IN= sup
feS*(0)

|/(t,)|.

Consequently for each fixed v € V the mapping of V* into K defined by f i-> / ( D ) /or / 6 V* is a K-valued bounded linear functional on V* with norm equal to \\v\\. Proof. For every / e 5j*(0) we have | / ( D ) | < ||/|U||i>|| = \\v\\ for all i; e V so that (2) sup |/(t>)| < |M|
/eS'(O)

foreachueV.

If D = 0 e V, then ||u|| = 0 and f(v) = 0 for every / e V* so that (1) holds trivially. If v e V and v / 0 € V, then according to Corollary 15.73 there exists / e S*(0) such that f(v) = \\v\\. This fact and (2) imply (1). I Observation 15.75. Let A and B be two arbitrary indexing sets and let ca<p e R for a e A and B e B. Then
(1) SUp SUp Ca,p = SUp Ca,p = SUp a€A[fieB > aeA.peB peB
l

SUp C„,0 [. aeA '

Proof. For each a € A we have caip < su.p^^B ca,p. Thus (2) sup
aeA.peB

ca>p <

sup
ctsA.peB

J sup catp I = sup j sup catp \.
l

fi€B

'

aeAlfieB

>

§15 Normed Linear Spaces On the other hand s u p ^ B ca,p <
su

369
P a e A , ^ e B C<*,P
so m a t

(3)

sup I supca,^
aeA
l

<
'

sup
azA.peB

ca,p-

$B

By (2) and (3) we have the first equality in (1). Interchanging the roles of A and B we have the second equality in (1) by the same argument. • Theorem 15.76. Let (V, K, || • ||) and (W, K, || • ||') be two normed linear spaces over the same field of scalars K where K = R orK = C. Let (V*, K, || • ||*) and (W*, K, \\ • ||'J be their respective dual spaces. Let L e 25{V, W}. Define a mapping L* ofW* into V* by (1) L*(g) = goL forgeW*.

Then L* e 58 [W*, V*}, that is, L* is a bounded linear mapping ofW* into V*, and
(2) \\L*\\w,iV, = \\L\\VtW.

Proof. Let us show first that L* defined by (1) maps W* into V*, that is, L*(g) e V* for every g e W*. Now for u e V w e have L*(g)(t/) = (goL)(u) = g ( L ( D ) ) € K . This shows that L*(g) is a K-valued function on V. The linearity of L*(g) on V follows from the linearity of g and L. We have moreover \L*(g)(v)\ = \g(L(v))\ < ||g||;i|L(i;)||'< llgll'JILH^NI for all v 6 V.

Thus the real number ||g||' i ||/.|| r w > 0 is a bound for the K-valued linear functional L*(g) on V so that L*(g) is a bounded linear functional on V, that is, L*(g) e V*. This shows that L* maps W* into V*. To prove the linearity of L* on W*, let g\, g2 e W* and y\, yj € K Then we have L*(,Y\8\ + Ylgl) = (Ylgl + Ylgl) oL = yi(g\ o L) + y2(g2 ° L) = YiL*(gi) + y2L*(g2). Let us show that L* is a bounded linear mapping of W* into V*. According to Theorem 15.36, the linear mapping L* is bounded if and only if (3) sup
SGWM|«||'„=1

||L*(g)|U<oo

and moreover when (3) is valid then (2) also holds. Thus it remains to show that (3) holds. Now by Theorem 15.36, we have

(4)

11^11^=

sup
«eV,M|=i

||L(u)||'.

370

Chapter 4 The Classical Banach Spaces

Applying Proposition 15.74 to the normed linear space (W, K, || • ||'), we have (5) \\L(v)\\' = sup \g(L(v))\.

Substituting (5) in (4), we have (6) \\L\\VW= = sup
v€V,|M| = l

{
l

sup
g€W*,\\g\\>,= \

|g(L(tO)|}
>

sup
«6W*,||g||;=l

I
l

sup
«ev,||v||=l

|g(L(t;))|}
I

sup { sup | L* (g)(v) |} «eW«,||g|li=l l ueV.NNl ' = sup ||L*G?)|U, gew,\\gr.=\

where the second equality is by Observation 15.75. Since ||L||„ w < oo, (6) shows that (3) holds. • Definition 15.77. Let (V, K, || • ||) and (W, K, || • ||') be two normed linear spaces over the same field of scalars K where K = R orK = C. Let (V*, K, || • ||*) and (W*, K, \\ • \Q be their respective dual spaces. Let L be a bounded linear mapping of V into W. A bounded linear mapping L* ofW* into V* is called an adjoint of L if it satisfies the condition: L*(g)(v) = (g o L)(v) for all v 6 V and g e W*.

Remark 15.78. Such bounded linear mapping L* exists by Theorem 15.76. Let us show that such bounded linear mapping L* is unique. Suppose L* and L\ are two such bounded linear mappings of W* into V*. Then we have L*(g)(v) = (g o L)(v) = L*2(g)(v) for all veVaadgeW*.

Since L*(g), L\{g) € V*, the equality above for all v € V implies that L*(g) = L\{g) as elements of V*. Then since L*(g) = L\{g) for all g e W*, L* and L\ as mappings of W* are equal.

[XI] Semicontinuous Functions
Definition 15.79. Let f be an extended real-valued function defined on a subset D of a topological space X. Let XQ e D. (a) We say that f is lower semicontinuous at XQ if f(xo) ^ —oo and for every y e R such that y < f(xo) there exists an open set U 3 xo such that y < f(x)for all x e U D D. We say that f is lower semicontinuous on D if f is lower semicontinuous at every XQ e D. (b) We say that f is upper semicontinuous at XQ iff(xo) ^ oo and for every y 6 R such

§15 Normed Linear Spaces

371

that y > f(xo) there exists an open set U 3 xo such that y > f(x)for all x e U C\ D. We say that f is upper semicontinuous on D if f is upper semicontinuous at every xo 6 D. Remark 15.80. If / is a real-valued function defined on a subset D of a topological space X then / is lower semicontinuous at xo € D if and only if for every e > 0 there exists an open set U 3 xo such that /(xo) - e < / ( x ) for all x e U C\ D and / is upper semicontinuous at xo e D if and only if for every e > 0 there exists an open set U s xo such that f(x) < f(x0) + £ for all x e U n D. Observation 15.81. (a) / is continuous at xo e D if and only if / is both lower and upper semicontinuous at xo(b) If / is lower semicontinuous at XQ, then cf is lower semicontinuous at xo if c > 0 and cf is upper semicontinuous at xo if c < 0. (c) If / is upper semicontinuous at XQ, then cf is upper semicontinuous at xo if c > 0 and cf is lower semicontinuous at xo if c < 0. (d) Let / be a (—oo, oo]-valued function on D. Then / is lower semicontinuous on D if and only if for every y € R, f~l ((y, oo]) = V n D where V is an open set in X. (e) Let / be a [—oo, oo)-valued function on D. Then / is upper semicontinuous on D if and only if for every y e R, f~l ([—oo, y)) = V n D where V is an open set in X. (f) In particular if O is an open set, then \o is a lower semicontinuous function on X. If C is a closed set, then \Q is an upper semicontinuous function on X. Proof, (a), (b), and (c) are immediate from Definition 15.79. Let us prove (d). Let / be (—oo, oo]-valued function D. Suppose for every y e R, f~l ((y, oo]) = V n D where V is an open set in X. For an arbitrary *o e D, let y e R and y < /(xo). By our assumption, f~l ((y, oo]) = V n D where V is an open set in X. Then for any x e V D D, we have /(JC) € (y, oo], that is, / ( x ) > y. This proves the lower semicontinuity of / at xo- By the arbitrariness of xo 6 D, f is lower semicontinuous on D. Conversely suppose / is lower semicontinuous on D. Let y e R be arbitrarily given and let E = / _ 1 ( ( y , oo]) c D. Let xo be an arbitrary point in E. Then /(xo) e (y, oo] so that /(xo) > y. By the lower semicontinuity of / at xo € D there exists an open set Uxa B xo such that / ( x ) > y for every x e UXon D. Then /(C/^ 0 D D) c (y, oo] so that ( / , n D c £ . Thus \JXo€E (UXo n £>) = £ . Let V = Ux 0 e£ uxo- T h e n ^ i s a n ° P e n s e t in X and E = V n D, that is, / _ 1 ((y, oo]) = V n £>. (e) is proved in the same way as (d). (f) follows from (d) and (e). • Proposition 15.82. Let (X, *Bx) be a measurable space where X is a topological space and V&x is the Borel a-algebra of subsets ofX. Let f be a real-valued lower (resp. upper) semicontinuous function on X. Then f is a V&x/^&K-measurable mapping ofX into R. Proof. Let J be the collection of all open intervals in R of the type (y, oo) where y e R and let D be the collection of all open sets in R. It is easily verified that a (3) = a (D) = 25R. To show that a real-valued function / on X is a ^Bx/SiR-measurable mapping of X into R, it suffices to show that / _ 1 (3) C V&x according to Theorem 1.41. Now if / is a real-

372

Chapter 4 The Classical Banach Spaces

valued lower semicontinuous function on X then / _ 1 ((y, oo)) is an open set in X by (d) of Observation 15.81 and thus a member of 25x- Thus for every 7 e 3 we h a v e / ^ ( Z ) 6 V&x and then f~liZ) C V&x- This shows that a real-valued lower semicontinuous function / on X is a 2$A:/25R-measurable mapping of X into R. The 58;e/25R-measurability of a real-valued upper semicontinuous function / on X is proved similarly by applying (e) of Observation 15.81. I Proposition 15.83. (Sequential Criterion for Semicontinuity on a Metric Space) Let f be an extended real-valued function on a metric space (X, d). (a) / is lower semicontinuous at xo e X if and only if for every sequence (x„ : n e N) in X such that lim xn = x$, we have liminf f(xn) > f(xo).
n—*oo n—>oo

(b) / is upper semicontinuous at xo e X if and only if for every sequence (xn : n e N) in X such that lim xn = xo, we have lim sup f(xn) < f(xo).
rt-S-00 H^CO

Proof. 1. Suppose / is lower semicontinuous at xo e X. Let (xn : n e N) be a sequence in X such that lim xn = xo. Since / is lower semicontinuous at xo, for every y e R such that y < /(xo) there exists an open set U 3 xo such that f(x) > y for all x e U. Since lim xn = xo, there exists N e N such that x„ € U for n > N and thus f(x„) > y for
rt-J-OO

n > N. This implies liminf /(x„) > y. Since this holds for every y < /(xo) we have
n-»oo

liminf / ( x „ ) > / ( x 0 ) .
n->oo

2. Conversely suppose for every sequence (xn : n e N) in X such that lim x„ = xo
n—>oo

we have liminf /(x„) > /(xo). To show that / is lower semicontinuous at xo, assume the contrary. Then there exists y < /(xo) such that every open set U B xo contains a point x e X such that y > f(x). Thus the open ball B(xo, £) contains a point x„ € X such that y > f(xn) for « e N. The sequence (x„ : n € N) then has lim x„ = xo and Iiminf/(x„) < y < /(xo). This contradicts the assumption that for every sequence (x„ : n G N) in X such that lim x„ = xo we have liminf /(x„) > /(xo). Therefore / is
n-+oo n-+oo

lower semicontinuous at xo- This completes the proof of (a), (b) is proved similarly.

I

Theorem 15.84. Let [fa : a e A} be an arbitrary collection of extended real-valued functions on a set D in a topological space X. (a) If fa is lower semicontinuous at xo € D for every a e A, then f = sup a e A fa is lower semicontinuous at xo(b) If fa is upper semicontinuous at xo e D for every a 6 A, then f = miaeA fa is upper semicontinuous at xoProof. Let us prove (a). Thus let y e R and y < /(xo). Since /(xo) = sup a e A fa(xo), there exists ao € A such that y < fao(xo). By the lower semicontinuity of fao at xo, there exists an open set U 3 xo such that y < / a o (x) for all x e U O D. Then we have f(x) = sup a e / 1 fa(x) > fa0ix) > y for all x £ t/ n D. This proves the lower semicontinuity of / at XQ. (b) is proved similarly. I

§15 Normed Linear Spaces

373

Definition 15.85. A real-valued function p on a linear space (V, K) where K = R or K = C is called a seminorm if it satisfies the following conditions : 1° p(v) € [0, oo) for v e V, 2° p(yv) = \y\p{v)for v e V andy e K, 3° p(u + v) < p(u) + p(v)foru,v e V. Every norm on a linear space (V, K) satisfies conditions 1° - 3° in Definition 15.85 and is therefore a seminorm on (V, K). Note that from 2° we have p(0) = 0. However p(f) = 0 does not imply / = 0. Thus a seminorm may not be a norm. InR*, if we define p(jc) = \xi | with some fixed i — 1 , . . . , &for.x; = (x\,... ,Xk) e R*, then p is a seminorm on R*. In C([a, ft]), if we let [c,d] C [a, i ] and define p(f) = f* \f(t)\dt for f e C([a,fc]), then p is a seminorm on C([a, b]). For a bounded linear functional / on a normed linear space (V, K, || • ||) where K = R or IK = C, if we define p(v) = | / ( u ) | for D € V then p is a seminorm on V. Proposition 15.86. Let{fa : a e A) be an arbitrary subset of the dual space (V*, K, || • ||+) o/a normed linear space (V, K, \\ • \\)where K = R or K = C suc/i ifta? (1) sup \fa(v)\ aeA < oo forv e V. setting V.

Define a nonnegative real-valued function ponVby (2)

P(w) = sup|/„(u)| forve

Then p is a lower semicontinuous seminorm on V. Proof. By (1), we have p(v) g [0, oo) for every v e V. Also for v e V and y e K, we have p(yv) = sup \fa(yv)\ = |y| sup \fa(v)\ = |y|p(v),
ofeA aeA

and for M , v e V we have
P(U + V) = SUp | / a ( l l + V)| < SUp { | / a ( « ) | + | / o ( u ) | } < /?(v) + p ( u ) . aeA aeA

This shows that p is a seminorm on V. Finally the continuity of fa on V implies that of \fa\ and the continuity of | / „ | on V implies its lower semicontinuity on V. Then by Theorem 15.84, p is lower semicontinuous on V. • Lemma 15.87. Let p be a seminorm on a normed linear space (V, K, || • ||) where K = R or K = C Then the following two conditions on p are equivalent: 1° p is bounded above on some open ball in V, 2° there exists a constant M > 0 such that p(v) < M\\v\\ for all v e V.

374

Chapter 4 The Classical Banach Spaces

Proof. 1. Suppose there exist an open ball, say B(vo, r), and a constant C > 0 such that p(v) < C for all i; e B(vo, r). Then for every v e B(0, r), we have i> + vo € B(VQ, r) so that p(v + v0) < C and then p(v) = p(v + vo - uo) < p(v + vo) + p(vo) < 2C. Now let i; e Vandu ^ 0 € V. Then || {§ || ull _1 }v|| = j so that j I M r ' u € 5(0, r) and thenwehavep(5||u|[ _ 1 i;) < 2C and thus p(u) < ^ | | u | | . When t; = 0 € V, this inequality is trivially satisfied. Thus with M = —, we have p(v) < M\\v\\ for every v e V. 2. Conversely suppose there exists a constant M > 0 such that p(v) < M\\v\\ for all v 6 V. Take an arbitrary open ball, say fi(i>o, r). Then for every v € B(i>o, r), we have
p(v) < Af||v|| = M\\v-vo + vo\\ < M { | | D - U 0 | | + ||D 0 ||} < M{r + ||u 0 ||}- Thus p is

bounded above on B{VQ, r) by the constant M{r + |]t>oll}- I

Proposition 15.88. Let p be a seminorm on a Banach space (V, K, || • ||) where K = Kor K = C. Then the following two conditions on p are equivalent: 1° there exists a constant M > 0 such that p(v) < M||u|| for all v e V, 2° p is lower semicontinuous on V. Proof. 1. Suppose there exists a constant M > 0 such that p(v) < M\\v\\ for all v e V. To show that p is lower semicontinuous at an arbitrary DO e V, let £ > 0 be arbitrarily given. Let r > 0 be such that Mr < e. Then for every v e B(VQ, r), we have p(vo — v) < M\\VQ — v\\ < Mr < E and hence p(yo) < p(yo — v) + p(v) < e + p(v), that is, p(vo) — e < p(v) for ii e B(VQ, r), proving the lower semicontinuity of p at VQ. 2. Conversely suppose p is lower semicontinuous. To prove the existence of a constant M > 0 such that p(v) < M\\v\\ for all v € V, assume the contrary. Then by Lemma 15.87, p is not bounded above on any open ball. Let e > 0 be arbitrarily fixed. Take an arbitrary open ball B(0, ro). Since p is not bounded above on B(0, ro), there exists i>i e fl(0, ro) such that p(vi) > 1 + s. By the lower semicontinuity of p at DI, there exists an open ball B(v\, 2r\) such that p(v) > 1 for all v e B(v\, 2r\) and thus p(v) > 1 for all v e B(v\, r\). Let us take r\ so small that r\ < min {\{ro — \\v\\\], l } . Now since p is not bounded above on B(v\, r\), there exists V2 e B(v\, ri) such that p(v2) > 2 + s. Then since p is lower semicontinuous at vi, there exists an open ball B(t>2, 2r2) such that p(v) > 2 for all v e B(vz, 2rj) and thus p(v) > 2 for all v e #(t>2, ri). Let us take ri so small that r2 < min \\{r\ — ||u2||}, \}. Thus continuing we have a sequence of open balls (B(vn,r„) : n e N) such that B(i;„+i,r„ + i) C B(vn,r„), rn e (0, i ) , and p(v) > n for D € B(i>n, r„) for n e N. Then (vn : n e N) is a Cauchy sequence in V since forw > n we have nm e B(vn, rn) so that ||um — v„|| < rn < ~. By the completeness of V there exists v € V such that lim \\vn — v|| = 0. Let Af e N. Then forn > N we have i;„ e B(^w, r/v)
n->oo

so that v = lim vn e B(uAf, r^y). Thus p(v) > N. Since this holds for every N e N, we
n->oo

have P(D) = oo, contradicting the fact that p is real-valued.

I

Theorem 15.89. Let (/„ : n e N)feea sequence in the dual space (V*, K, || • ||+) of a Banach space (V, K, || • ||) vv/iere K = R or K = C. Suppose the sequence (f„(v) : n e N)

§15 Normed Linear Spaces in K converges for every v e.V. Define a ^.-valued function fonVby (1) f(v)= lim fn(v)
«->oo

375

setting

forveV.

Then f e V*. Moreover (||/«||* : n e N) is a bounded sequence of nonnegative real numbers and (2) ll/ll* <Hminf ||/„|U.

Proof. For every v e V, we have f(v) e K by (1). The linearity of / follows immediately from the linearity of /„ for n e N. Now since /„ € V*, we have \fn(v)\ < ||/n||*IM| for every v e V. Thus from (1) for every u e V w e have (3) | / ( u ) | = lim |/ B (v)| = liminf|/„(u)|<(liminf||/ B |U)||u||.

Now if we show that (|| /«|| * : n 6 N) is a bounded sequence of nonnegative real numbers, then lim inf || /„ [| * is a nonnegative real number so that it is a bound for the linear functional
«->00

/ by (3) and thus / is a bounded linear functional on V with ||/||* < lim inf ||/n||*.
n—>oo

To show that (|| /„ || * : n 6 N) is a bounded sequence, let us define a function p on V by p(v) = sup|/„(u)| forveV. Since (f„(v) : n e N) is a convergent sequence in K, we have supngN | / „ 0 ) | < oo for every v e V. This implies that p is a lower semicontinuous seminorm on V by Proposition 15.86. The lower semicontinuity of the seminorm p implies the existence of a constant M > 0 such that p(v) < M\\v\\ for every v e V according to Proposition 15.88. Then by the definition of p, we have |/„(u)| < p{v) < M\\v\\ for every v 6 V so that M is a bound of the b.l.f. /„ and thus ||/„||* < A^- Since this holds for every n e N, the sequence (II/nil* : n e N) is bounded by M. I

376

Chapter 4 The Classical Banach Spaces

§16 The LP Spaces
[I] The Lp Spaces for p e (0, oo)
Let us define the extended complex number system C as the set of all extended complex numbers f_= f + in where §, n e R. We regard R a s a subset of C identifying £ e R with £ + r'O e C. If fi, f2 e C, then ft + f2. f i?2, and Of i may be undefined unless ft, r2 e C. By an extended complex-valued function we mean a function / = f\ + if2 where /1 and / 2 are extended real-valued functions. We call f\ and /2 the real and imaginary parts of / and write Stf and 3 / for them. Thus / = fHf + / 3 / . We regard an extended real-valued function / as a particular case of extended complex-valued functions with 3 / = 0. Definition 16.1. Given a measure space (X, 21, /x). Let f be an extended complex-valued function on a set D € 21. (a) We say that f is %l-measurable on D, [i semi-integrable on D, or fi-integrable on D according as both fftf and 3 / are. (b) When f is \x semi-integrable on D, that is, when both fD Sft/ d/j, and fD 3 / d/x exist in R, we let fD f d\i = fD3lfd\i + i fD%f d\x € C. (c) When f in [i-integrable on D, that is, when both fD 9 t / dfx and fD 3 / d/j, exist in R, we have fD f d n € C. In this case, since \fD 9l/<i/x|, \fD 3/<i/x| < 00, we have
L \ *•! *•

\[ fdn
\JD

= \\f 3tfd[i\ + I Sfd/x I \JD I \JD

< 00.

Observation 16.2. Let / be an extended complex-valued 2l-measurable function on a set D e 21 in a measure space (X, 21, /x). If / is //,-integrable on D, then f(x) e C for a.e. x e D and thus | / | < 00 a.e. on D. Proof. If / is /x-integrable on D, then by Definition 16.1, both 9?/ and 3 / are /x-integrable on D. Then by Observation 9.2, (9if)(x), ( 3 / ) ( x ) e R for a.e. x € D and thus f(x) e C for a.e. x e D. • Observation 16.3. Let / be an extended complex-valued 2l-measurable function on a set D e 21 in a measure space (X, 21, n). Then / is /x-integrable on D if and only if | / | is /x-integrable on D. Proof. By / = 9 t / + ; 3 / , we have | / | = {|5R/|2 + | 3 / | 2 } 1 / 2 . This implies that (1) |9l/|, | 3 / | < l/l < | 9 t / | + | 3 / | o n D .

Integrating over D we have (2) [ \fRf\dfi,
JD

[ \3f\dn<
JD

f | / | d / i < [ \3lf\dn+
JD JD

f
JD

|3/|rf/x.

§16 The LP Spaces Thus we have / is /x-integrable on D O / St/dJ.I/" If m / d / i , /
\JD

377

3/dju, < oo

by Definition 16.1 by (e) of Observation 9.2

I

\JD

<» f \mf\dfi, / |Sl/|dM,

/"

|3/|dit<oo

<» f \f\dfi<oo

by (2). |

Definition 16.4. Let f be an extended complex-valued ^-measurable function on a set D € 21 in a measure space (X, 21, p). Let p e (0, oo). We say that f is p-th order p-integrable on D if the nonnegative extended real-valued%/L-measurable function \f\p on D is /x-integrable on D, that is, fD \f\p dp, < oo. Let us note that if / is p-th order yit-integrable on D for some p e (0, oo), that is, ID \f\p d-H- < oo, then \f\P < oo a.e. on D according to (f) of Observation 9.2 and thus f(x) s Cfora.e. x e D. Observation 16.5. Let / be an extended complex-valued 2l-measurable function on a set D e 21 in a measure space (X, 51, p.). Let p e (0, oo). Then / is p-th order /i-integrable on D if and only if both 8ft/ and 3 / are p-th order yit-integrable on D. Proof. In the Proof of Observation 16.3 we showed (1) |Si/|, | 3 / | < | / | < | 9 t / | + | 3 / | o n D .

Now for a, fJ e [0, oo], we have (2) {a + fJ}p < [2max{a,/S}] / ' <2p{ap + fjp}.

By (1) and (2), we have Wf\p, Thus we have / | / | p dp. < oo <s> / | 3 t / | p dp<oo
./D
JO

| 3 / l " < l / l " < 2 p {\Stf\P + | 3 / | p } .

and / | 3 / | p d/x < oo. •
JD

Let / and g be two extended complex-valued 2l-measurable functions on a set D e 21 in a measure space (X, 21, /x). Then the pointwise addition f+g, multiplication fg, and scalar multiplication 0 / may be undefined on a 2l-measurable subset E of D with /U-C^) > 0. If we assume that | / | < oo and \g\ < oo a.e. on D, that is, f{x) e C and g(x) e C for a.e. x € D, then f + g, fg, and 0 / are defined a.e. on D. The condition that | / | < oo and |g| < oo a.e. on D is satisfied if for instance / and g are p-th order /x-integrable on D for some p € (0, oo) as we noted above.

378

Chapter 4 The Classical Banach Spaces

Definition 16.6. Let f and g be two extended complex-valued 'Hi-measurable functions on a set D € 21 in a measure space (X, 21, p.) such that \f\ < oo and \g\ < oo a.e. on D. On the null sets in the measure space (X, 21, p.) on which addition f + g, or multiplication fg, or scalar multiplication Of is not defined, let us define f + g, or fg, or 0 / to be equal to 0 so that f + g, or fg, or 0 / is defined and Hi-measurable on D. Lemma 16.7. For a, p G C, we have (1) \a + /3\2<2{\a\2 + \fJ\2}.

More generally for any p s (0, oo), we have (2) \a + fJ\P <2P{\af + \fJ\P}.

Proof. To prove (1), let us note that \a + fi\ < \a\ + \f}\ so that (3) \a + fi\2 < {\a\ + \fJ\f = \a\2 + 2\a\\0\ + \/3\2.

N o w | a | 2 - 2 | a | | / 3 | + |y6|2 = {\a\ - \f3\}2 > 0 so that 2|a|| / 6| < \a\2 + |yS|2. Using this in (3), we have (1). To prove (2), note that \a + /3| < |a| + \fi\ < 2max{|a|, \fi\}. From this wehavela + A^IP < 2''[max {|a|, \fJ\}]p = 2^ max {\a\P, \fi\P} < 2P{\a\P + \fi\P\. I Definition 16.8. Given a measure space (X, 21, /x). Let p e (0, oo). For an extended complex-valued Hi-measurable function f on X, we define
UP

/x'"'

dp.

6 [0, OO].

We define LP{X, Hi, p) as the collection of all extended complex-valued Hi-measurable functions f on X with \\f\\p < oo. Proposition 16.9. Let (X, 21, p) be a measure space. Let p g (0, oo). Then £JP(X, 21, p) is a linear space over C. Proof. The addition and scalar multiplication in LP(X, 21, p) are as in Definition 16.6. Let f,g e £ p ( X , 2 l , p). Then | | / | | p , ||g|| p < oosothat | / | , |g| < oo a.e. on X, that is, / and g are complex-valued a.e. on X. Thus we have \f + g\p < 2p[\f\p + \g\p] a.e. on X by (2) of Lemma 16.7. Then integrating over X, we have

J \f + g\p dp < 2P U |/|" dp + j x \g\p dp\< oo.
This shows that f + g e LP(X, 21, At). If / G Lp(X, Hi, p) and c e C, then | c / | = | c | | / | a.e. on X. Then integrating over X, we have fx \cf\p dp = \C\P fx \f\p dp < oo. This shows that cf e Lp(X, 21, p). •

§16 The LP Spaces

379

Remark 16.10. Let us observe that || • || p is not a norm on the linear space LP(X, 21, fi). This is from the fact that while the origin of the linear space JLP(X, 21, n) is the identically vanishing function on X, \\f\\p = 0 implies \f\p = 0 a.e. on X, that is, / = 0 a.e. on X but / need not be the identically vanishing function on X.

[II] The Linear Spaces Lp for p e [1, oo)
Definition 16.11. Two real numbers p,q e (1, oo) are called conjugates if they satisfy the equation l/p + l/q = 1. The pair p = 1 andq = oo is also called conjugates. Let us note that if p, q e (1, oo) are conjugates, theng = p/(p — 1). Thus l i m ^ i q = oo and lim q = 1. Note also that if p, q e (1, oo) are conjugates and p = q, then
p->oo

p = q = 2. Lemma 16.12. (Young's Inequality) Let ip be a real-valued, continuous, and strictly increasing function on [0, oo) with <p(0) = 0 and lim (p(u) = oo. Let x// = (p~x be the inverse function ofcp defined on [0, oo). Then for any a,b € [0, oo), we have ab < I (p(u) du + J cp(u)du+ j Jo Jo where the equality holds if and only ifb = <p(a). Proof. Note that the inverse function \jr is also real-valued, continuous, and strictly increasing on [0, oo) with i/f(0) = 0 and lim i/r(u) = oo. The Lemma follows immediately
v—»oo

\fr(v)dv,

if we interpret ab as the area of the rectangle in the wu-plane with sides [0, a] and [0, b], fo <P(U) du as the area under the curve v = <p(u) for u e [0, a], and f0 ij/(v) dv as the area under the curve u = i}r (v) for v e [0, b]. I Lemma 16.13. Let p,q e (1, oo) be conjugates. Then for any a, fi e C, we have

\«p\ < — + — ,
p 1

and the equality holds if and only if \ot\ = \fj\ . Proof. Since the complex numbers a and p enter in the inequality only as nonnegative numbers \a\ and |/i|, it suffices to show that for any a, b e [0, oo) we have (1)
bq u a ab<— " + —,

p

q

p
p q

q

and the equality holds if and only if a = b . With r := p — 1 > 0, consider the function <p(u) = ur for u e [0, oo). Now <p is realvalued, continuous, and strictly increasing on [0, oo) with cp(0) = 0 and lim (p(u) = oo.

380

Chapter 4 The Classical Banach Spaces

Its inverse function is given by f(v) = v? for v € [0, oo). Thus by Lemma 16.13, we have (2) ab < I ur du + I vr dv, Jo Jo

and the equality holds if and only if b = a". From r = p — 1 and - + - = 1, we have i + 1 = q and r = B-. Thus we have / ur du + I vr dv = Jo Jo
'+1

(3)

r+ l

+

i +1

P I

1'

By (2) and (3) we have (1). Also b = ar = a" if and only if bq = ap.

Theorem 16.14. (Holder's Inequality for p,q e (l,oo)) Given a measure space (X, 21, fi). Let f and g be two extended complex-valued ^-measurable functions on X such that | / | , |g| < oo a.e. on X. (a) For any p,q e (1, oo) such that \/p + \/q = 1, we have (1) Il/Slll < \\f\\p\\g\\a,

provided the product of the two nonnegative extended real numbers \\f\\p and \\g\\q exists. (b)7/0 < || / | | p < oo andO < \\g\\q < oo, then the equality in (1) holds if and only if (2) A\f\P = B\g\q a.e. on X for some A, B > 0.

Proof. 1. We are to prove (3)

I \fg\dn< j i/iprfj

r^igi^j .

If fJ.(X) = 0, then the equality in (3) is trivially true. Thus assume that /x(X) > 0. If at least one of / and g is equal to 0 a.e. on X, then fg=0 a.e. on X and the equality in (3) holds trivially provided that the product on the right side of (3) exists. Thus assume that fi{X : f ± 0) > 0 and /x(X : g ± 0) > 0. Then fx | / | " dp. = f[x.f^0} | / | " dp, > 0 by (d) of Lemma 8.2 and similarly fx \g\i dp > 0. For brevity let (4) I := f \f\Pdp Jx >0 and J := f \g\qdp> Jx 0.

If at least one of / and J is equal to oo, then (3) holds trivially provided that the product on the right side of (3) exists. Therefore assume that 7, J e (0, oo). Now since | / | , |g| € R a.e. on X, we have by Lemma 16.13, (5) i/i igi ^ n / i " —n rr < Jl/p j\/q - p i iigi* q J „ a.e. on X.

§16 The LP Spaces Integrating over X and recalling (4), we have

381

< «

T^lx^ ^TiSx

d

mPd

^iiS^^ p

=l 1 +

1 q

=i.

Then multiplying by IX'PJ1II we have (3). 2. Under the assumption that 7, J e (0, oo), observe that the equality in (3) holds if and only if the equality in (6) holds. Now the equality in (6) holds if and only if the equality in (5) holds a.e. on X. But the equality in (5) holds a.e. on X if and only if \f\p/I = \g\q/J a.e. on X according to Lemma 16.13. Thus it remains to show (7) >JJ_=<_^_
a e o n X

^

A|y|P =

B\g\q

a.e. on X for some A, B > 0.

Now if the left side of (7) holds, then the right side of (7) holds with A = 1/7 € (0, oo) and B = 1/7 e (0, oo). Conversely if the right side of (7) holds, then integrating we have A7 = BJ. Dividing the right side of (7) by this equality we have the left side of (7). This proves (7). I Corollary 16.15. (Schwarz's Inequality) Given a measure space (X, 21, p). Let f and g be two extended complex-valued ^-measurable functions on X such that \f\, \g\ < oo a.e. on X. Then we have

0)

Il/Slli < WfhWgh,

provided the product of the two nonnegative extended real numbers \\fW2 and ||g||2 exists. J/0 < II/II2 < ° ° andO < \\gW2 < 00, then the equality in (1) holds ifandonly if (2) a\f\ = b\g\ a.e. on X for some a, b > 0.

Proof. This is a particular case of Theorem 16.14 for the conjugates p = q = 2. Note that condition (2) in Theorem 16.14 in this case becomes A\ f\2 = B\g\2 and taking square roots we have a\f\= b\g\ where a = s/~A and b = ~/B. I Corollary 16.16. Given a measure space (X, 21, /x). Let f be an extended complex-valued ^.-measurable functions on X such that \f\ < 00 a.e. on X. Then for any p,q e (1, 00) such that l/p + \/q = 1 we have

ll/lli<ll/Uli||,.
that is,
VP

f \f\dn<ii(X)^\ Jx

[ Ux

\f\Pdn

provided that the product on the right side exists.

382 Proof. Writing / = fix

Chapter 4 The Classical Banach Spaces and applying Theorem 16.14, we have

c
I \f\dp< Jx

rc
/ \f\"dp \_Jx

i^p r c
J I \_J x \lx\idp

Uq

=

p(X)1/9

f \f\p dp
Jx

Up

Theorem 16.17. (Minkowski's Inequality for p e [l,oo)) Given a measure space (X, 21, p). Let f and g be two extended complex-valued ^.-measurable functions on X such that \f\,\g\ < ° ° ae- on X. Then for every p e [ l , oo), we have \\f + g\\p<\\f\\p + \\g\\P-

Proof. If at least one of \\f\\p and \\g\\p is equal to oo then | | / + g\\p < | | / | | p + \\g\\p holds trivially. Thus we consider the case that \\f\\p < oo and \\g\\p < oo. In this case by applying Lemma 16.7 we have \f + g\p < 2 / ' { | / | p + \g\p}- Then integrating over X (1) We are to prove
r

/ l / + g l p ^ < 2 " { | | / | | ^ + ||g||^}<oo.

i/p i/P

r

UP i/P

f

-IUP

(2)

/ \f + g\"dfl
JX
J

<

/ \f\"dp
L"' X
J

+

/
L" X

\gfdp

Let us note that for p = 1, (2) is immediate since \f + g\ < | / | + \g\ on X and integrating over X, we have / \f + g\dp<
JX

f \f\dp+
JX

f
<J X

\g\dp.

Let us consider the case p € (1, oo) and let ^ e (1, oo) be its conjugate, that is, 1/p + 1/q = 1. Then q = p/(p — 1) and p — 1 = p/q. Now (3) \f + g\p = \f + g\\f + g\p-l<[\f\ + \g\\\f + g\plq-

Integrating over X, we have

(4)

/ \f + g\pdp<
J X

f \f\\f + g\p,"du.+
•/ A

f \g\\f + g\p">dp.
JA

By (3) in the Proof of Theorem 16.14, we have

(5)
and similarly

[ \f\\f +
Jx

g\p/qdp<

f \f\pdfi\ " \Jx\f + g\p dn

1/9

1/9

(6)

f \g\\f + g\p,qdp
Jx

<

\ \g\pdp Jx J

\ \f + Ux

g\"dp

§16 The LP Spaces Using (5) and (6) in (4), we have

383

(7)
Hfx\f

/ \f + /,

g\pdn<

L

\f\pdii

-|i/p

+

fx " ]
Vp

l8l dfl

I fx

lf + 8lPdlX

Vq

+ 8\pdlJ. = 0, then (2) holds trivially. If fx | / + g \p dfi > 0, then dividing (7) by € (0, oo) by (1), we have
-il-l/g

[fx 1/ + S\p dp]llq

f \f + 8\pdfi Jx

1

l/l"d/i

+

i

VP

\g\"dn

Since 1 — \/q = l/p, we have (2). I Let us consider the possibility of the equality in Minkowski's Inequality. Observation 16.18. For f = § + in € C, f ^ 0, let arg f be the principal value of the argument of f, that is, the principal value of arctan n/t;. Thus arg f e [0, 27r). For f = 0, let us set arg f = 0. For f e C — C, arg f remains undefined. Note that any {, \, & e C, we have Ifi + &l = Ifil + |&l ^ argfi = arg£>Let / and g be two extended complex-valued 2l-measurable functions on X in a measure space (X, 21, M). Let E = [x e X : f(x) e C} n {x e X : g(x) e C}. If | / | , \g\ < oo a.e. on X, then n(Ec) = 0 so the condition that arg / = argg a.e. on E is equivalent to the condition that arg / = arg g a.e. on X. Proposition 16.19. Given a measure space (X, 21, /x). Let f and g be two extended complex-valued HL-measurable functions on X such that | / | , \g\ < oo a.e. on X. Then 11/+ gill = 11/111 + k i l l if and only if arg f = aigga.e. onX. Proof. Let E = [x e X : f(x) eC}n{x e X : g(x) e C). Since | / | , |g| < oo a.e. on X, we have /x(Ec) = 0. Since 0 < \f + g\ < | / | + \g\ on X, we have

Jx &\f

f \f + g\dfi = f \f\dn+ f \g\dii
Jx Jx + g\ = \f\ + \g\ a.e. o n X

<S> arg / = arg g a.e. on X, by Observation 16.18. I Proposition 16.20. Given a measure space (X, 21, /x). Let p e (l,oo). Let f and g be two extended complex-valued ^.-measurable functions on X such that \f\,\g\ < oo a.e. on X. Assume thatO < \\f\\p, \\g\\p < oo. Then \\f + g\\p = | | / | | p + \\g\p if and only if 1° arg / = arg g a.e. on X, 2° a\f\ = b\g\ a.e. on X for some a, b > 0.

384

Chapter 4 The Classical Banach Spaces

Proof. Recall that in proving Minkowski's Inequality, inequality occurred in (2), (4), and (5) in the Proof of Theorem 16.17 so that || / + g || p = || /1| p + || g || p if and only if equality in (2) holds a.e. on X and equality in (4) and (5) holds. Now equality in (2) holds a.e. on X if and only if \f + g\ = | / | + \g\ a.e. on X and this condition is equivalent to the condition arg / = argg a.e. on X by Observation 16.14. Equality in (4) and (5) holds if and only if (1) and (2) A2\g\p = B2\f + g\p a.e. on X for some A 2 , fl2 > 0, Ai\f\P = Bi\f + g\p a.e. on X for some Ai, Si > 0,

according to (2) of Theorem 16.14 (Holder's Inequality). It is easily verified that (1) and (2) imply 2°. Conversely condition 1° (which is equivalent to the condition \f + g\ = | / | + \g\ a.e. on X) and condition 2° imply (1) and (2). • Remark 16.21. For p e (0, 1), the function || • || p on Hp{X, 21, fi) does not satisfy the triangle inequality and therefore it will not be a norm on £JP(X, 21, fi). This is shown by the following example. Example. Let (X, 21, n) = ([0, 1), OTL n [0, 1), fiL) where 9JlL D [0, 1) is a cr-algebra of subsets of [0, 1) defined by VXL n [0, 1) = [E n [0, 1) : E e VJtL}. Let / = 1 [0 i} and g = lfi
1}.

Then f + g = 1[0A) and fx \f + g\p d\xL = fiL([0, 1)) = 1 so that = iiL([0,\)) = \ so that | | / | | p = 2~p

\\f + g\\P = 1. On the other hand fx\f\pdiiL

and similarly \\g\\p = 2~P. Then | | / | | p + ||g|| p = 2 • 2 _ p = 2 1 "? < 1 when p e (0, 1).

Thus||/ + g|| p >

\\f\\p+\\g\\p.

[Ill] The Lp Spaces for p e [1, oo)
Given a measure space (X, 21, yu). Letp e (0, oo) and consider the linear space of functions LP(X, 21, /x). The origin, that is the identity of addition, of this linear space is the identically vanishing function 0 on X and for this function 0 we have ||0|| p = 0. On the other hand if / e Lp(X, 21, n) and | | / | | p = 0 then f(x) = 0 for a.e. x e X and / need not be the identically vanishing function on X. For this reason || • |[ p is not a norm on the linear space LP(X,m,fi). Let us introduce a relation ~ among the members of CP(X, 21, /x) by declaring / ~ g for/, g e HP(X, 21, /x)if / = ga.e. onX. Thus defined, ~ satisfies the defining conditions for an equivalence relation: 1° f ~ f for f eLP(X,2L,ti), 2° / ~ g =• g ~ / for / , g e £,"(X, 21, /x), 3° / ~ g, g ~ ft =» / ~ ft for / , g, h e Hp{X, 21, /x). Therefore ~ is an equivalence relation.

§16 The LP Spaces

385

Definition 16.22. Given a measure space (X, 21, p). For p e (0, oo), let LP{X, 21, p) be the collection of all equivalence classes of members ofCp(X, 21, p) with respect to the equivalence relation ofa.e. equality on X. Let / be the element in LP(X, 21, p.) which is the equivalence class to which a function / € HP(X, 21, p) belongs. Thus if / , g e L,P(X, 21, p), then / = g if and only if / = g a.e. on X. If / , g e HP{X, 21, /i) and g e / , then f = g a.e. on X so that / e g . In L P (X, 21, p), we define scalar multiplication and addition by setting af = (af)' for / e Z/ (X, 21, p) and a e C,

/ + £ = ( / + « r for / , I e L"(X, 2i, /*). It is clear that af and f + g defined above do not depend on the representatives / and g of the equivalence classes / and g used in the definition of af and f + g- With addition and scalar multiplication as defined above, Lp (X, 21, p) is a linear space over the field of scalars C. The origin of this linear space is the equivalence class of all extended complex-valued 21measurable functions which vanish a.e. on X. We define the integral of / e LP(X, 21, p) by setting fx f dp = fx f dp. This definition does not depend on the representative / of / since any two representatives of / are equal a.e. on X. It is customary to write / for an element / of LP(X, 21, p). Thus we write / for an individual function in the space LP(X, 21, p) as well as for an element in LP(X, 21, p) which is an equivalence class of functions. Which one is meant by / , a function or an equivalence class of functions, should be clear from the context. Theorem 16.23. Given a measure space (X, %l, p). Let p e [1, oo). Then || • \\p is a norm on the linear space LP(X, 21, p) over the field of scalars C and LP{X, 21, p) is a Banach space with respect to the norm || • || p . We call || • \\p the Lp norm on LP(X, 21, p). Proof. 1. It is easily verified that the function || • || p on LP(X, 21, p) satisfies the defining conditions of a norm: 1° | | / | | p s [ 0 , o o ) f o r / e L P ( X , 2 l , / x ) , 2° H/llp = 0 i f a n d o n l y i f / = 0 6 L P ( X , 2 l , p), 3° ||a/||p = | a | | | / | | p f o r / e L ' ' ( X , 2 t , A i ) a n d a 6 C, 4° \\ f + g\\P < \\ f\lP + \\g\\P for f g e LP(X,m, p). In particular the fact that | | / | | p < oo for every / € LP(X, 21, p) is from the definition of Lp(X, 2C, p) as the collection of all extended complex-valued 2l-measurable functions / on Xwithfx\f\Pdp < oo. Regarding 2°, note that if ||/||p = 0 for some / e LP(X,2l,p) then / is the equivalence class of all extended complex-valued 2l-measurable functions which vanish a.e. on X, that is, / = 0 6 LP(X, 2t, p). Condition 4° is from Theorem 16.17 (Minkowski's Inequality). 2. Let us show that Lp(X, 21, p) is complete with respect to the norm || • || p . According to Theorem 15.18, it suffices to show that for every sequence (/„ : n e N) in LP(X, 21, p) with J2n€n II/«lip < °°> m e series JZneN fn converges in the norm, that is, there exists g € LP(X, 21, p) such that lim \\gn - g\\p = 0 where gn = £ " fk forn e N.

386

Chapter 4 The Classical Banach Spaces

Let (/„ : n e N) be a sequence in LP(X, 21, (i) with B := £ „ e N ll/ n || P < oo. Note that/„ e LP (X, 01,(1) implies that | / „ | € L P ( X , 2 1 , A O and | | / „ | | | = ||/„|| p . If we let h„ = Y!k=i I />t I for w e N, then (/i„ : n € N) is a sequence in the linear space LP(X, 21, jx). By the triangle inequality of the norm || • || p , we have
n n

(1)

IIMP<£||l/*l|p = £ll/*llP<B.
k=\ k=\

Let us define a function /J on X by setting /J = £ „ e N |/«|. Let us show 7i e LP(X, 2(, /x). Now hn \ h and hence A£ f hp on X. Thus by Theorem 8.5 (Monotone Convergence Theorem) and then by (1), we have (2) I hpd(i= Jx lim f hpd(i= "^°°Jx lim \\h„\\p„ n ^°° <Bp<oo.

This shows that h e Lp(X, 2t, /x). It also implies that 0 < hp < oo a.e. on X and then 0 < h = J2n€^ \f"\ < ° ° a - e - o n x - T n u s EneN I fn\ converges a.e. on X. Since absolute convergence of a series implies convergence of the series, J^neN /« converges a.e. on X. Let gn = 111=1 fk for n e N and g = £ „ € N / „ . Then the sequence (g„ : n € N) converges to g a.e. on X. It remains to show that g e LP(X, 21, /x) and lim ||g„ — g\\p = 0. Now \g\ = I E „ e N /»l ^ E n s N l/»l = h a e - ° n *• Then fx \g\Pd(j. < JxhPd(x < oo by (2). This shows that g e Z^(X, 2i,/x). N o w | g - g „ | = | g - £ £ = 1 /*l < Isl + E L i \fk\ < 2fc a.e. on X and then \g -g„\p < 2phP a.e. on X. Since /i g L ^ X , 21, /*), ft? is /x-integrable on X. Thus by Theorem 9.20 (Dominated Convergence Theorem), we have lim / \g-g„\Pd(L= n-K>oJx I lim \g-gn\pdn Jxn^°° I = 0,

that is, lim \\g - gn\\p = 0 and then lim ||g - g„|| p = 0.

For z e C, let z be the complex conjugate of z, that is, z = 9tz — ;'3z. For an extended complex-valued function g, let g = Stg — i'3g. Theorem 16.24. Lef (X, 21, xx) be an arbitrary measure space. On L2(X, 21, (i), define (/. S> = /" / I ' * - " / ^ / , g e L 2 (X, 21, ju). Jx Then (•, •) w an inner product on L2(X, 21, (i). For the norm \\ • ||/, derived from (•, •), we have H/IU = I I / l b / o r every / e L 2 (X,2l, A0- Furthermore L 2 (X,2l, /x) w a Hilbert space with respect to the inner product (•,•). Proof. If / € L 2 (X, 21, /x), then / ^ |/| 2 rf/x = Jx \f\2d(i I f / , g € L2(X, 21, At), then < oo so t h a t / e L 2 (X, 2t, /x).

!(/.*>I = I f /*<*/J < f \fg\dii < WfhWgh < oo.
\Jx I
./A'

§ 1 6 T h e L p Spaces

387

This shows that (/, g) e C, verifying condition 1° of Definition 15.19. Conditions 2°, 3°, 4°, and 5° are verified readily. Thus (•, •) is an inner product on L 2 (X, 21, /x). For the norm || • |U on L 2 (X, 21, /x) derived from the inner product (•, •>, we have for every / € L 2 (X, 21, /z)

ll/lb = {(/,/>}1/2 = {jT/7^J

={/xl/|2^j

=ll/l12

-

This shows that || • U = || • hSince L 2 (X, 2i, /x) is complete with respect to the metric derived from the norm || • H 2 and since the norm || • ||/, is equal to the norm || • H2, L2(X, 21, tt) is complete with respect to the metric derived from the norm || • \\h- Thus L 2 (X, 21, fi) is a Hilbert space. I Let us compare the various modes of convergence of a sequence in LP(X, 21, it). These are convergence a.e. on X, convergence in measure, convergence of the Lp norms, convergence in the Lp norm and weak convergence in Lp (X, 21, M) • Theorem 16.25. Given a measure space (X, 21, fi). Consider a sequence (/„ : n e N) and an element f in LP(X, 21, it) where p e [1, 00). If the sequence converges to f in the Lp norm, that is, lim ||/„ — f\\p = 0, then
n—*-oo

lim \\fn\\p = \\f \\p and hence lim f

\f„\P dfi = fx\f\p

dfi,

2° (/« : n e N) converges to f in measure \x on X, 3° there exists a subsequence (fnk : n e N) j'wc/t that lim / „ t = / a.e. on X. (Note that 2° and 3° assert that if /„, n e N, and / are arbitrary representative functions of the equivalence classes, then the sequence of functions (/„ : n e N) converges to the function / in measure it on X and there exists a subsequence (/„,. : n € N) such that lim fnk = / a.e. on X.) Proof. 1. Toprove 1°,note thatsince ||-||pisanorm we have lll/nllp — ll/llpl < ||/„ — f\\p by Observation 15.6. Then lim ||/„ — f\\p = 0 implies lim ||/„|| p = | | / | | p .
n-»-oo
r

n->oo

r

r

2. To prove 2°, let e > 0 be arbitrarily given. We have II/« - / l l ? > f. Afnf\pd(M > £pix{X : |/„ - / | > £}.

•/{^:|/»-/l>e}
Then lim ||/„ - / | L = 0 implies lim /x{X : |/„ - / | > e} = 0, that is, (/„ : n e N)
n->oo n-»oo

converges to / in measure fi on X. 3. The convergence of (/„ : n e N) to / in measure implies the existence of a subsequence which converges to / a.e. on X according to Theorem 6.23 (Riesz). • Observation 16.26. For p = 1, lim ||/ n — / | | i = 0 implies not only lim ||/„||i = I f\\\, I
«->oo n->oo

thatis, lim fx \fn\d/x = fx \f\dfi, the fact that] fx /„ dfi - fxfdn\

but also lim fx fnd\i

= fx fdfj..

This is from

< fx |/„ - / j d ~ = \\f„ - /111.

388

Chapter 4 The Classical Banach Spaces

Remark 16.27. (The notation is as in Theorem 16.25.) Let (/„ : n e N) be a sequence and / be an element in LP(X, 21, /x) where p € [1, oo). Then (a) lim ||/„ — / | | p = 0 does not imply lim /„ = / a.e. on X,
n-yoo n->oo
r

n-»oo n->oo

(b) lim fn = f a.e. on X does not imply lim || /„ — / 1 | p = 0. See the following examples. Example 1. Let (X, 21, p) = ([0,1), tmL n [0,1), p,L) where 9XL D [0, 1) is the aalgebra of subsets of [0, 1) consisting of all members of 27lL contained in [0, 1). Let a„ = (l + I + . . . + I ) m o d l f o r n € N a n d l e t [a„,a„+i) [an, 1) U [0, a„+i) whena„ < a „ + 1 , when a„ > an+i,

with pL(D„) = \/n for n e N. Define a sequence of functions (/„ : n e N) on [0, 1) by setting /„ = lDn for n € N and let / = 0 on [0,1). We showed in §6 that ( / „ : « € N) converges to / on [0, 1) in measure /xL but diverges at every point in [0, 1). For an arbitrary p e [1, oo) we have

= ( - ) =(-) , [ o i ) l/„l^] so that lim ||/„ — f\\p = 0, but lim fn = f does not hold at any point in [0,1).
Example 2. In (R, VJlL, ixL), let /„ = l[„-i,„) for n € N and let / = 0 on R. For an arbitrary p e [l,oo), JR\fn\pd^L = 1 so that /„ € LP(R, VJlL, / x j for n e N and fR\f\PdnL = 0 s o t h a t / e L P ( R , 2 J l i , A t J . Now lim /„ = / o n R . B u t

U

r

IHP

AP\i/p

/i\i/p

\\fn-f\\p = [f
n->oo

\fn\PdnL]

Up

for every n € N so that lim ||/„ — / | L = 1 ^ 0 . Theorem 16.28. Given a measure space (X, 21, p.). Let p e (0, oo) and consider the linear space LP(X, 21, /x). Let (fn:ne N) fee a sequence and f be an element in LP(X, 21, /x). / / lim /„ = / a.e. on X and lim ||/„|| p = | | / | | p , then lim ||/„ - f\\p = 0.
n-»-oo n->oo
p

/n-oo

Proof. For p e (0, oo) and a, fi e C, we have |a + /S| < 2^{|o;|f + \p\p} by Lemma 16.7. Since | / „ | , | / | < oo a.e. on X, we have 2P{|/„|'' + \f\p} - \fn - f\p > 0 a.e. on X for n € N. Then since lim fn = f a.e. on X we have
n-too

lim [2/ {|/„|P + | / | " } - | / „ - / | ' ' ] = 2 ' ' + 1 | / | ' ' a.e. on X.

,

§16 The LP Spaces Applying Fatou's Lemma (Theorem 8.13), we have f 2?+i\f\?dtM < liminf f W {\fn\P + \f\P} - \fn = hmmf\ [ 2P\f„\?dn+ n -*°° [Jx f 2P\f\pd,xJx f\p]dp f \fnJx f\p dp,

389

Now for a convergent sequence of real numbers (an : n e N) and an arbitrary sequence of real numbers {b„ : n e N), we have liminf[a n + bn] = lim an + liminf bn and liminf{-fc„} = -limsup&„. We have lim L \fn\p dp = fY \f\p dp. Thus f 2P+l\ffdp< JX Subtracting fx2p+l limsup fx\fn
n-+oo

f 2P+i\f\Pdp-\imsup [ Jx n-xx> Jx

\fn-f\Pdp.

\f\p dp from both sides we have limsup fx \fn — f\p dp < 0. Since — f\p dp = 0. This then implies I
n-+oo

— f\p dp > 0, we have limsup fx\fn

liminf L \fn - f\p dp = 0 also. Therefore lim ||/„ - f\\„ = 0.

Remark 16.29. For the particular case that p = 1 and (/„ : n e N ) and / are nonnegative functions in L 1 (X, 21, p), Theorem 16.28 has a simple proof given below. Proof. Assume that lim f„ = f a.e. on X and lim || /„ || i = || / 1 | i. Note that since /„
«—voo n->oo

and / are nonnegative functions the last condition is equivalent to (1) lim / f„dp=
" ^ ° ° Jx

/
Jx

fdp.

For any a, b e R, a > 0 and b > 0, we have (2) Let g„ = m i n { / „ , / } f o r n e N . The /i-integrability of /„ and / implies that 0 < /„ < oo and 0 < / < oo a.e. on X. Thus by (2) we have \a — b\ = a + b — 2 min{a, b}.

\fn-f\
Integrating over X we have

= fn + f-2gn

a.e. on X.

(3)

f \fn-f\dp=
<*X

f fndp+
JX

f fdp-2
JX

f gndp.
JX

If (c„ : n e N) is a sequence in R converging to c € R and if we let yn = min{c„, c] then lim yn = c. (This follows from the fact that since yn is equal to either cn or c we have
n-»-oo

Wn ~c\ < \cn — c\. Then lim cn = c implies lim yn = c.) Then since lim fn = f a.e.
n—»-oo n^-oo n—J-OQ

390

Chapter 4 The Classical Banach Spaces

on X we have lim gn = f a.e. on X. Since 0 < gn < / on X and since / is /x-integrable on X, the Dominated Convergence Theorem (Theorem 9.20) applies so that lim / g„dp = \ f dp. "-*°° Jx Jx If we let n ->• oo in (3) then by (1) and (4) we have "-*°° Jx (4)

lim [ \f„-f\dii

= 2 f fdp-2
Jx

Jx

f fdp = 0. •

We show next that the condition lim f„=f

a.e. on X in Theorem 16.28 may be

replaced by the condition that (/„ : n € N) converges to / in measure p on X. Theorem 16.30. Let (X, 21, p) be a measure space. Let p e (0, oo). Consider the linear space LP(X, 21, p). Let (/„ : n e N) be a sequence and f be an element in LP(X,%L, p). If(fn : n e N) converges to f in measure p on X and lim ||/„|L = ||/||n, then lim ||/„ — / | | P = 0.
n->oo

Proof. To prove lim ||/„ — f\\p = 0, consider the sequence of real numbers (a„ : n € N)
n—>oo
r

where a n = \\f„ — f\\„ for n e N. To show that lim a„ = 0, it suffices to show
n->-oo

that an arbitrary subsequence (a„t : k e N) has a subsequence (a„ t : ^ € N) such that lim an, = 0. Let (ank : lc e N) be an arbitrary subsequence of (a„ : n € N). Since (/„ : n 6 N) converges to / in measure on X, the subsequence (/„,. : n e N) converges to / in measure on X. Then by Theorem 6.23 (Riesz), there exists a subsequence (fnh : I G N) such that lim f„k( = f a.e. on X. Also Jirr^ ||/„|| p = | | / | | p implies that lim \\fnk \\p = \\f\\p. Thus the sequence (fnk : £ e N) satisfies the conditions in Theorem 16.28 and therefore lim ||/„. — / | L = 0, that is, lim a„. =0.1

Definition 16.31. Le/ (X, 21, /x) fee a measure space. Consider LP(X, 2t, p) where p e (1, oo). Let q G (1, oo) be the conjugate of p. We say that a sequence (/„ : n e N) in LP(X, 21, /x) converges weakly to an element f in LP(X, 21, p) if lim / f„gdp= "-*°° Jx / /g<fy, Jx foreveryg&Lq{X,^i,p).

Theorem 16.32. Let (X, 21, p) be a measure space. Consider LP{X, 21, p) where p e (1, oo). Let q € (1, oo) be the conjugate of p. If a sequence (/„ : n e N) in LP{X, 21, ^,) converges to an element f in LP(X, 21, p) in the norm then (/„ : n e N) converges weakly to f. Proof. By Holder's Inequality (Theorem 16.14) we have

I f fngdp1

f fgdp\<
Jx '

f |/„-/|lsl</M<ll/»-/Ulgll,.
Jx

Jx

§16 The LP Spaces Then lim ||/„ - / 1 | „ = 0 implies lim I fY fngdp
«->oo n-*-ooIJA

391 - fy fgdp.\
A

— 0 and therefore we
'

have lim / fngdp

= / fgdp.

I

Theorem 16.33. Let (X, 21, [i) be a a-finite measure space. Consider LP(X, 21, p) where p € (1, oo). Let q e (1, oo) be the conjugate of p. Let (/„ : n € N) be a sequence in LP(X, 21, p) and let f be an element in LP(X, 21, fj,). Suppose (/„ : n e N) satisfies the following conditions: 1° lim fn = f a.e. on X.
n-*oo

2° WfnWp < Bforn e N where B > 0. Then (fn:ne N) converges weakly to f in LP(X, 21, p.). Proof. We are to show that for every g e Lq (X, 21, p) we have (1) lim / f„gdp=
"-*°°Jx

/
Jx

fgdp.

Let us show first that | | / | | p < 5 also. Now by Fatou's Lemma (Theorem 8.13), we have

11/11? = I \f\pd^= p
Jx n-*oo Jx

Jx " ^ ° °

[ lim \fn\pdp

<liminf / \f„\pd/u, < Bp. Thus ||/||p < B. Then for any A e 21 we have

(2)

j | |/„ - / l " ^ j 1 / P < j f \fn - f\p dp]"" = ||/„ - /|| p
<ll/nll P + l l / l l P < 2 S .

Let g e Lq(X, 21, p) be arbitrarily chosen and let e > 0. Since fx \g\'1 dp < oo, by Theorem 8.20 there exists S > 0 such that for every E e 2( with /x(is) < 5 we have

(3)
£—*-oo

fa*'<><£)'-

Since (X, 21, p) is a <r-finite measure space there exists an increasing sequence (Fk : k e N) in 2t such that lim Fk = IJ*eN Fk = X and AI(F*) < oo for k e N. By the Monotone Convergence Theorem (Theorem 8.5) we have lim / \g\"dp= lim [ lFk\g\«dp = f \g\i dp < oo.

Thus for sufficiently large i j e f f w e have

j^dp-j

e \<? Wdp<(^y

392 Let F = Fk0. Then n(F) < oo and

Chapter 4 The Classical Banach Spaces

(4)
n->oo

/>'"<(£)'•
n->oo

Now since lim fn = f a.e. on X, we have lim fn = f a.e. on F. Since w(F) < oo, by Egoroff s Theorem (Theorem 6.12) there exists G € 21 such that G <z F, /x(F \G) < 8 and lim f„ = f uniformly on G. Now if ||g|L = 0 then g = 0 a.e. on X so that (1) holds trivially. Thus let us consider the case \\g |L > 0. Then since lim /„ = / uniformly on G
n->oo

there exists A f s N such that for n > N we have !/»(*)-/(*)I < Then forn > N we have
1 £

„~w-„

„ |

forallxeG.

1/G
Now F \G,G,
c

7

'
[ fgdJ< JX '

U(G)||g||£V3/
i \fn-f\\g\dfl= JX

M V

'J
f JF\G

||g||,3
\f„-f\]g\dv

and F are disjoint and their union is equal to X. Thus for rc > N we have

f fngduJX

+ [ \fn~f\\g\dll+

[

\fn-f\\g\dll.

Jc JFC Let us estimate the last three integrals by applying Holder's Inequality (Theorem 16.14). For the first of the three integrals we have

(7)

[
JF\G

\fn-f\\g\d^<\[
l

\fn-f\PdJ1/P\
JF\G '
l

f
JF\G

\g\«dll\l/q
'

where the second inequality is by (2) and the third inequality is by (3). For the second integral we have

(8)

f \fn-f\\g\dfl<[J

\fn-f\"dn\X"'\[j
l e f t „ 11/9

Igl^)17'
1 e

llgll93iyG e
=

i

\\g\\q3

3' where the second inequality is by (5). Finally for the third integral we have

(9)

f c \fn - f\\g\dix < j J |/„ - f\pdli\1,P{f
<2B\l{fjg\ \g\idn\1/q I dn
9

\g\q dn]
= ^,

1i/<?

<2B^

§16 The L^ Spaces

393

where the second inequality is by (2) and the third inequality is by (4). Substituting (7), (8), and (9) in (6), we have for n > N

\ I fngd/M1

I fgd^\<Jx

I

1

1

1

+ - + - = s.

Jx

This proves (1). Corollary 16.34. The condition lim fn = f a.e. on X in Theorem 16.33 can be replaced
«-»oo

by the condition that (fn:n€

N) converges to f in measure \i on X. fng d/j. : n e N)

Proof. Suppose there exists g e Lq (X, 21, p) such that the sequence (fx does not converge to fx fg d\x. Then we have lim sup
n-<-oc

/ f„gdfii JX

/ fgdp.
Jx '

=a>0.

Then there exists a subsequence (n* : k € N) of (n : n e N) such that (1) lim / f„kgdp,/
Jx

fgdn\=a.
I

k-^oo I Jx

Since (/„ : n e N) converges to / in measure on X, the subsequence (f„k : n e N) converges to / in measure on X. Then by Theorem 6.24 (Riesz) there exists a subsequence (f„k : n e N) of (/„ t : n 6 N) which converges to / a.e. on X. Then by Theorem 16.33 we have „ lim / fnt,gdfi= / fgdp, e-^oojx i Jx which contradicts (1). I

[IV] The Space L00
Definition 16.35. Given a measure space (X, 21, //,). Let f be an extended complex-valued ^.-measurable function on X. We say that f is essentially bounded on X if there exists a constant M e [0, oo) such that fj.{x 6 X : \f(x)\ > M) = 0, that is, \f\ < M a.e. on X; in other words, there exists a null set E in (X, 21, p) such that \f\ < M on X \E. Such a constant M is called an essential bound for f on X. Definition 16.36. Given a measure space (X, 21, /x). Let f be an extended complex-valued ^.-measurable function on X. We define the essential supremum of f on X, ||/||oo, as the infimum of the set of all essential bounds for f on X, that is, H/lloo = inf {M € [0, oo) : ix{x e X : | / ( x ) | > M) = 0}. If f has no essential bound on X, that is, if the set of all essential bounds of f on X is an empty set then we set ||/||oo = oo. (This is consistent with the convention that the infimum of an empty subset ofW. is equal to oo. Recall that the smaller the set the greater the infimum

394

Chapter 4 The Classical Banach Spaces

over the set.) Thus | | / 1 | oo is defined for every extended complex-valued ^-measurable function f on X; ll/lloo e [0, oo]; and | | / | | oo = oo ifand only if f does not have an essential bound. We call 11/II oo the essential supremum of f. An alternate notation for ||/||oo is ess. s u p ^ ^ \f(x)\. Lemma 16.37. Given a measure space {X, 21, p). Let f be an extended complex-valued ^.-measurable function on X. (a) / is essentially bounded on X if and only if\\f\\oo < oo. (b) | / | < H/lloo a.e. onX. (c) If || / 1 | oo < oo, then f is essentially bounded on X and || / 1 | oo is an essential bound for fonX. Proof. 1. To prove (a), note that if / is essentially bounded on X, then the set of all its essential bounds is a non-empty set of nonnegative real numbers and thus its infimum ||/||oo is finite. Conversely if / is not essentially bounded on X, then ||/||co = oo by definition. 2. To prove (b), note that if ||/||oo = oo t h e n | / | < || / 1 | oo on X trivially. If || / 1 | oo < oo, then / is essentially bounded on X by (a) so that the set of essential bounds of / is a nonempty subset of [0, oo) and ||/||oo is the infimum of this set. Then for every k e N, there exists an essential bound Mk of / such that Mk < ||/||oo + \- Since Mk is an essential bound for / , we have p{x € X : \f(x)\ > Mk} = 0. Since {x € X : | / ( x ) | > ll/lloo} = | J {x € X : \f(x)\
jfceN

> \\f\U + j-} ,

we have nlxeX: | / ( x ) | > ll/lloo} < £ > {x € X : | / ( x ) | > ||/||oo + j-} • > Mk}

But||/||oo+£ > M t implies that [x € X : \f{x)\ > | | / | | o o + H C {x e X : \f(x)\ so that p [x e X : | / ( x ) | > H/lloo + {} < P{x e X : \f(x)\ > Mk\ = 0. Thus p{x eX: \f(x)\ > ||/||oo} = 0. This shows that | / | < ||/||oo a.e. on X. 3. If I f II oo < oo, then ||/||oo is an essential bound for / on X by (b). • I

Definition 16.38. Given a measure space {X, 21, p). Let L°°{X, 2t, p) be the collection of all essentially bounded extended complex-valued ^-measurable functions on X, that is, £J°°(X, 21, p) is the collection of all extended complex-valued %-measurable functions f on X with ll/Hoo < oo. Proposition 16.39. L°°(X, 21, p) is a linear space over the field of scalars C. Proof. It is immediate that if / and g are essentially bounded extended complex-valued 2t-measurable functions on X, then so are / + g and af for a e C. I Theorem 16.40. (Holder's Inequality for p = 1 and q — oo) Given a measure space (X, 21, p). Let f and g be two extended complex-valued ^-measurable functions on X

§16 The LP Spaces

395

such that | / | , |g| < oo a.e. on X. (a) Excepting the case that one of\\f\\\ and || g || oo is equal to 0 and the other is equal to oo, we have (1) l l / g l l l < ll/lllllglloo-

(b) When | | / | | i , llglloo < °°» then the equality in (1) holds if and only if (2) \g\ = \\g\\ooa.e. on[xeX:f(x)^0}.

Proof. If one of | | / | | i and ||g||oo is equal to 0 and the other is equal to oo, then ||/||i||g||oo is undefined. Thus let us exclude this case from our consideration. 1. If UgUoo = oo then | | / | | i > 0 so that ||/||i||g||oo = oo and (1) holds trivially. Consider the case ||g||oo < oo. Then by Lemma 16.37, g is essentially bounded on X and llglloo is an essential bound for / on X, that is, |g| < || glloo a.e. on X. This implies that \fg\ = \f\\g\ < llgllool/|a.e. on X and then fx \fg\ dp, < \\g\\oofx l/l ^ p r o b i n g (1). 2. To prove (b) let us assume that | | / | | i , llglloo < oo. Let E = [x e X : f(x) ^ 0). Now if |g| = Uglloo a.e. on E, then | / g | = ||g||ool/l a.e. on E and thus
/ \fg\ dfl= [ \fg\ dp = Uglloo / | / | dfl = llglloo / l/l dtl,

Jx JE JE JX that is, ||/g||i = ll/HiHglloo. Conversely suppose ||/g||i = | | / | | i llglloo- Then [ l / « | d / i = l l / l l i l l 8 l l o o = llglloo/ \f\dii=
J X JX

/
JX

o\f\dp.

Since 0 < | / g | < ||g||ool/l a.e. on X, the equality fx \fg\dp = fx \\gWoo\f\dn < oo implies that | / g | = ||g||ool/l a.e. on X. On E, dividing the last equality by | / | ^ 0 we have |g| = llglloo a.e. on E. | Theorem 16.41. (Minkowski's Inequality for p = oo) Let (X, 21, /x) be a measure space. Let f and g be extended complex-valued ^.-measurable functions on X such that | / | , | g | < o o a . e . onX. Then \\f + g||oo < ll/lloo + llgllooProof. If at least one of ||/||oo ar) d llglloo is equal to oo, then Minkowski's inequality holds trivially. Thus assume that ||/||oo, llglloo < oo. Then by (b) of Lemma 16.37 we have \f + g\ < | / | + |g| < l l / I U + llglloo a.e. on X. Since ||/||oo + llglloo < oo, ll/lloo + llglloo is an essential bound for / + g. Then since | | / + glloo is the infimum of the set of all essential bounds of / + g, we have | | / + glloo < ll/lloo + llglloo- • Definition 16.42. Given a measure space (X, 21, /x). Let L°°(X, 21, /x) be the collection of the equivalence classes of members ofL^iX, 21, p) with respect to the equivalence relation of a.e. equality on X. Theorem 16.43. The essential supremum || • lloo is a norm on the linear space L°°{X, 21, p) and L°°(X, 21, p) is a Banach space with respect to this norm. Indeed if (/„ : n e N)

396

Chapter 4 The Classical Banach Spaces

is a Cauchy sequence in L°°(X, 21, fi) with respect to the norm || • ||oo, then there exists f e L°°(X, 21, n) such that lim ||/ n —/lloo = 0 andfurthermore lim /„ = f uniformly
n-+oo n—»oo

on X\ E where E is a null set in (X, 21, /x). Proof. The fact that || • ||oo is a norm on L°°(X, 21, /ix) is immediate. In particular, || • ||oo satisfies the triangle inequality by Theorem 16.41. To show that L°°(X, 21, AO is a complete normed linear space with respect to the norm || • ||oo, let ( / „ : « e N) be a Cauchy sequence in Z,°°(X, 21, fi) with respect to this norm. Now for any m, n e N, fm — fn is an element in L°°(X, 21, /x) with ||/ m — /„||oo as an essential bound, that is, | fm — fn \ < || / m — /«II oo a.e. on X. Thus there exists a null set Em<n in (X, 2i, xx) such that \fm - fn\ < \\fm - /„||oo on X \ Em,n. If we let E = \Jm then E is a null set in (X, 21, ti) and (1) \fmfn\<\\fmfnWoo onX \ E for all m, n e N.

Since ( / „ : « € N) is a Cauchy sequence, for every A £ N, there exists J V t e N such that : (2) By (1) and (2), we have (3) \fm-fn\ <\ onX \ E for m,n>Nk. ||/m - /«lloo < f form, rc > Nk.

This shows that (/„ : n e N) converges uniformly on X \ E. Let lim f„(x) -*°° 0
n

forx e forx e E.
n-*oo

X\E,

f(x)=\

It remains to show that / e L°°(X, 21, AO and lim ||/„ - /||oo = 0. Now by (3) and by the fact that lim fm = f on X \ E, we have
m—»oo

(4)

l/-/nl < i

o n X \ £ f o r n > Wit.

From(4) we have | / | < | / „ | + { on X\E forw > ^ . Thus | / | < ||/„||oo + | a.e. on X for n> Nk- This shows that / is essentially bounded on X and thus / e L°°(X, 21, /n). From (4), we have also || / — /„ || oo < T for n > Nk. This shows that lim || /« — / 1 | oo = 0. I
K

«->oo

Theorem 16.44. Given a measure space (X, 21, /x). Lef (/„ : n € N) be a sequence and f be an element in L°°(X, 2t, fi). If lim ||/„ — /||oo = 0, then
n—>oo

1° 2°

lim H/Jloo = ll/lloo,
n->-oo

lim fn = f uniformly on X \ E where E is a null set in (X, 21, /x),
H->00

3° (/„ : n e N ) converges to f on X in measure /x. Proof. Since ||-1| oo is a norm we have 11|/„|| oo-II/lloo | < | | / „ - / | | o o b y Observation 15.6. Then lim ||/„ - /||oo = 0 implies lim ||/„||oo = ll/lloo- This proves 1°. 2° follows
n-^-oo n~>oo

§16 The L^ Spaces

397

from Theorem 16.43. To prove 3°, note that by 2° for every e > 0 there exists J V e N such that \f„ - f\ < e on X \ E for n > N. Then p{X : |/„ - f\ > e] = 0 for n > N. This shows that lim p{X : \fn — f\ > e} = 0 for every s > 0, that is, (/„ : n e N) converges
n->-oo

to / on X in measure /x. I Remark 16.45. Let (/„ : n e N) be a sequence and / be an element in / e L°°(X, 21, /x). The condition lim /„ = / a . e . on X and the condition lim ||/„||oo = 11/11 oo together do
n—>-oo n->oo n—>-oo

not imply lim ||/„ - /||oo = 0, that is, Theorem 16.28 does not hold for L°°(X, 21, p.). Example. In (R, £DTL, /x L ), let

for n € N and let / = lro.oo)- Then lim fn — / on IR, ll/nllcx) — 1 for n G N,
«-»oo

1

0 nx 1

for x e ( - o o , 0 ) , f o r * € [ 0 , ±], f o r * € (£,oo),

H/lloo = 1 so that lim ||/„||oo = ll/lloo, but ||/„ - /||oo = 1 for every n e N and thus
n-*oo

lim ||/„ - /||oo = 1 ^ 0 .
n—KX)

Definition 16.46. Lef (X, 21, /x)foean arbitrary measure space. (a) Let (fn : n e N) be a sequence and f be an element in L 1 (X, 21, /x). We say that the sequence (/„ : n € N) converges to f weakly in Ll(X, 21, p) if we have lim / fngdp = / /grf/x forevery g€L°°(X,W.,n). ^°° Jx Jx (b) Lef (/„ : n € N)foea sequence and f be an element in L°°(X, 21, p). Hfe say that the sequence (/„ : n € N) converges to f weakly in L°°(X, 21, it) if we nave
n

lim / fngdp

= / / g a > for every g e Ll(X,M,

p).

Theorem 16.47. Ler (X, 21, it)foean arbitrary measure space. (a) Lef (fn:ne N) be a sequence and f be an element in L 1 (X, 21, p). If lim ||/„ - / | | i = 0, then (/„ : n e N) converges to f weakly in L'(X, 21, /u). (b) Lef (/„ : n € N)foea sequence and f be an element in L°°(X, 21, p). If lim ||/„ - /||oo = 0, tfien (/„ : n e N) converges to f weakly in L°°(X, 21, /x). Proof. To prove (a) suppose lim ||/„ - / | | i = 0. Let g e L°°(X, 21, p). Now we have
n—>-oo

\J fngd/l- f fgdp\ < J |(/„ - f)g\dp = ||(/„ - f)gh < ||/„ " /lllklloo
by Holder's Inequality (Theorem 16.40). Thus the assumption lim || /„ — / 1 | i = 0 implies
n->oo

lim \ I fng dp,fgdp = 0 , that is, lim / fngdp "-x^Ux Jx i "->°°Jx

= / Jx

fgdp.

398

Chapter 4 The Classical Banach Spaces

This proves (a), (b) is proved in the same way using Theorem 16.40 again. I Remark 16.48. Theorem 16.33 which is valid for p e (1, oo) does not hold for p = 1, that is, if (/„ : n e N) is a sequence and / is an element in L 1 (X, 21, p) such that lim f„ = f
n—>oo

a.e. on X and ||/„||i < B for all n € N for some B > 0, the sequence (/„ : n e N) need not converge to / weakly in Ll(X, 21, p.). See the Example below. Example. Consider L'((0,1), VOlL n (0,1), pL) and L°°((0, 1), VXL n (0, 1), pL). Let fn = «l(0,i/«) for n e N and / = 0 on (0, 1). Now \\fn\\x = / ( 0 I ) nl ( 0 ,i/„) dpL = 1 for every n e N so that (/„ : n e N) is a sequence in L'((0, 1), VOlL D (0, 1), pL) and ||/„||i = 1 for every n 6 N. Also / € LX((Q, 1), 9JT, n (0, 1), p.) and lim /„ = /
' n->oo

everywhere on (0, 1). Let g = 1 on (0,1). Then g e L°°((0,1), QTt^ n (0, 1), pL). Now for every « e N w e h a v e / ( 0 ;, /„grfM L = / (0 ,i) fnd^L = 1 w h i l e / ( 0 1 ) fgdpL = f(0l)0dpL = 0 so that lim / ( 0 JJ /„grf/Li^= / ( 0 ]} fg dpL does not hold. Thus (/„ : n e N) does not converge t o / w e a k l y in L'(X, 21, p.). Theorem 16.49. Let (X, 21, p) be an arbitrary measure space. Let (/„ : n e N) be a sequence and f be an element in L°°(X, 21, p). If lim fn = f a.e. on X and if
n—»oc

I /«II oo < B for all n € N for some B > 0 then the sequence (/„ : n € N) converges to f I weakly in L°°(X,2L, p.). Proof. Let g e LX(X, 21, p). Then fx B\g\dp < oo, that is, B|g| is /x-integrable on X. Now lim fng = fg a.e. on X and | / „ g | < S|g| a.e. on X for n e N. Thus by the
n—tco

Dominated Convergence Theorem (Theorem 9.20) we have lim / fng dp = / fgdp. I

This shows that the sequence (fn : n e N) converges to / weakly in L°°(X, 21, p).

Given a measure space (X, 21, p). If p(X) = oo then for some / e L°°(X, 21, p) we may have | | / | | p = oo for every p e (0, oo). An example of such a function is given by / = 1 on X. We show below that for an arbitrary measure space (X, 21, p), if / e L°°(X, 21, p) and if | | / | | p o < oo for some po e (0, oo) then | | / | | p < oo for every p > po and lim | | / | | p = ||/||oop->oo

Theorem 16.50. Let (X, 21, p) be an arbitrary measure space. Let f e L°°(X, 21, p) be such that f £ LP°(X, 21, p) for some po 6 (0, oo). Then f e LP(X, 21, p) for every p > po and moreover lim | | / | L = ll/llcop—>oo

Proof. 1. For p > p0 we have p - po > 0. Then \f\P = | / | " - » | / | » < | | / | | £ ,

po

| / | Po

§ 1 6 T h e / / Spaces a.e. on X so that

399

Jx Jx since ||/||oo and ||/|| P o < oo. This shows that / 6 LP(X, 21, ix) for p > po2. Let A = {X : | / | € [1, oo]}, B = {X : \f\ e (0,1)}, and C = {X : \f\ = 0} Then {A, B, C] is a disjoint collection in 21 and AU B U C = X. Then we have (1) M(A) = 1*V(A) < [ \f\PQdn < f \f\p°d^ < oo.

I \f\pdfx<\\fW£P0 I \f\pod^ <oo

On B we have \f\ € (0,1). Thus for k e N, k > 2 let Bk = [B : | / | 6 [±, l ) } . Then (Z?£ : £ > 2) is an increasing sequence in 2t with lim Z?£ = U*>2 ^* = ^- ^ e ^ a v e
£-•00

^{Bk)<
Thus we have (2)

j \f\p°dn<j, . _

. „ .

1/prfM ,

< oo.

/x(B t ) < oo

for k > 2.

Since (Bk : £ > 2) is an increasing sequence with lim Bk = B we have lim l g t = lfi.
fc-s-oo k—tcc

Thus by the Monotone Convergence Theorem (Theorem 8.5) we have
k

lim / \f\p*dli= -*°°JBk

lim j lBk-\f\Pod^= k^ooJx

f Jim lBt • \f\n Jxk-+°°

dfi

= f lB.\f\P«d^=
Jx

f \f\P0dfM.
JB

Let £ > 0 be arbitrarily given. Then the convergence above implies that there existsfcoe N such that (3) f
JBXB^

\f\">dii=

[ \f\r°diiJB

[
JB^

\frdn<e.

For brevity let us write B* = B^. Then B* and B \ B* are disjoint members of 21 and B*U(B\ B*) = B. Let p > p0. Since X is the disjoint union of A, B*, B \ S*, and C,

(4)

/" \f\'dy.=
Jx

f \f\pdfi+
JA

[ \f\Pdp+
JB*

f
JB\B*

\f\pdix+

[
JC

\f\Pd»

= (
JAUB*

\f\pdii+f
JB\B*

\f\pdfx.

For the first integral on the right side of (4) we have (5) [
JAUB*

|/|^<||/||^(AUB*).

400

Chapter 4 The Classical Banach Spaces

For the second integral on the right side of (4), recall that | / | € (0,1) on B \ B*. Thus for p > po we have \f\p < \f\P° on B \ B* so that by (3) we have f
JB\B*

\f\pdp<

f
JB\B*

\f\r°dp<e.

Using (5) and (6) in (4) we have fx \f\P dp < \\f\\p^p{A U B*) + e and therefore (7) ||/||„ = j J \f\pdp\l'P < {II/IIS.MA U B*) + e}l/p.

Since f (t) = tl,p for t e (0, co) is a continuous function, letting e ->• 0 in (7), we have
(8) II/IIP=(||/IP^)1/P<II/IIOO(MAUB*))1/P.

Since p(A) < oo by (1) and p(B*) < oo by (2), we have /x(A U B*) < oo. Then we have lim (p(A U B*))Xlp = 1. Thus we have
p->oo
v

'

(9)

limsupll/Hp < H/lloo- lim {p(A U B*))X/p = ||/||oo.

Now ll/lloo is the infimum of all essential bounds of / on X. Then ||/||oo — V for an arbitrary r] > 0 is not an essential bound for / on X. This implies that if we define a set E„ = {X : | / | > ll/Hoo - r,} then p{En) > 0. Now [ \f\pdp>
JX

f
JE„

\f\pdp>

(ll/Hoo -r,}PvL(EJ

and 11/IIp {j | / | ^ M j 1 / P > {ll/Hoo -r,){p(Enj)X

Since /x(£„) > 0 we have lim (p(E„))\VP — 1. Thus we have
p->oo
v

'

liminf||/|| p > {ll/Hoo-/?} lim (piE,))1'" = ||/||oo - r,. By the arbitrariness of rj > 0 we have (10) liminf | | / | | p > ll/Hoo.
p—*-oo

By (9) and (10) we have ||/||oo < liminf ||/|L < limsup||/|L < ||/||oo and therefore we
P->-°° p->oo

have lim ||/|| p = ||/||oo. I
p->oo

§16 The LP Spaces

401

[V] The U Spaces for p e (0,1)
Let (X, 21, p.) be a measure space and let p e (0,1). As in Definition 16.8 let Zp(X, 21, p) be the collection of all extended complex-valued 2t-measurable functions / on X with H/llp = [Jx\f\p dp]p < oo. We showed in Proposition 16.8 that &p(X, <H, p.) is a linear space over C. Let Lp(X, 21, p) be the collection of all equivalence classes of members of HP{X, 2(, p) with respect to the equivalent relation of a.e. equality on X as in Definition 16.22. Then LP(X, 21, p) is a linear space over C. For p e (0, 1) the function || • \\p on LP{X, 21, p) does not satisfy the triangular inequality and is thus not a norm on LP(X, 21, /x) as we showed in Remark 16.21. Thus the function \\f-g\\p = [f \f-g\pdfi]l/P for / , gzLp(X, 21, p)

is not a metric on LP(X, 21, p). Let us define a function p on LP(X, 21, it) x L P (X, 21, /x) by setting p(/.g)= / l / - g l p ^ for/,geZ/(X,21,/x). Jx We show below that p is a metric on LP(X, 21, it) and moreover LP(X, 21, /x) is complete with respect to this metric. Note that while p(f, g) = \\f — g\\p for / , j e LP(X, 2(, /x) is a m e t r i c o n L p ( X , 2 l , M ) , ll/llp is not a norm on L?(X, 21, /x) since ||a/||^ = | a H | / | | £ for a € C rather than ||a/||p = | a | | | / | | p which is condition 3° in Definition 15.5 for a norm. Lemma 16.51. Let p € (0, 1). Then for a > 0 and b >0we (1) (a + b)
p

have

<a +b .

p

p

The equality in (1) holds if and only if at least one of a and b is equal to 0. More generally for nonnegative real numbers a\,... , a^ we have

(2)
Proof. Consider the function (3)

|X>HXX
(=1 1=1

<p(t) = (1 + t)p - 1 - tp

fort € [0,oo).

We have <p(0) = 0 and <p'(t) - p{(l + t)p~1 - tp~1} < 0 for t e (0, oo). Thus <p(t) < 0 for t G (0, oo). Let a > 0 and b > 0. Then \ > 0 so that <p(±) < 0. Thus by (3) we have

Transposing the second and third terms on the left side of the last inequality and multiplying both sides by ap we obtain (a + b)p <ap +bp.

402

Chapter 4 The Classical Banach Spaces

If a > 0 and b > 0 and if at least one of a and b is equal to 0, then (a + b)p = ap + bp holds trivially. This proves (1) and the fact that the equality in (1) holds if and only if at least one of a and b is equal to 0. If a\,... , ak are nonnegative real numbers then by iterated application of (1) we have (ai + • • • + ak)p < {ax + • • • + ak-x)p < (ax + • • • + + a[

ak-2)p+apk_x+apk

< <

+

•••+<•

This proves (2).

I

Theorem 16.52. Let (X, 21, p.) be an arbitrary measure space and let p e (0, 1). Let us define a function p on LP(X, 21, p.) X LP(X, 21, p.) by setting P ( / . g)= [ \f§\p dp for f,ge Lp(X, 21, p).

Then p is a metric on LP(X, 2C, p.) and moreover LP(X, 21, p) is complete with respect to the metric p. Proof. 1. Let us show that p is a metric on Lp(X, 21, p). Since LP(X, 21, p) is a linear space, if/, g e LP(X, 2t, p.) then f-g e Lp(X, 2t, p). T h u s p ( / , g) = fx \f-g\p d^ e [0, oo). If / = g then p(f, g) = fx Odn = 0. On the other hand