Lemma 3.3 (Fatou’s Lemma) Let {f,} be a sequence of non-negative measurable functions with f, > fon E. Then : is Jim fh (ie, flim inf f, £( le) by f, > f'0.0. because the integral over any sot of measure zoro Ia itaelf zero. The following examples reveal that we may have” strict inequality in Fatow's Lemma, 166, ‘The Patou mple 4 Dofing fy: > (0,1) by fd ™ Kinet) ‘Then each /, is non-negative measurable function. Obviously, Him int, © 6up Linf Gop Say vw Jngas oes P= Oand go flim ints, = 0. Now fin= fAinneny =m (OnneD) = 1 Vn, lim int ff, = 1 ‘This implies that f lim inf, < lim inf ff,. Example 3.5 Let fan-1 = Xjo,a) ANd Soy = Xa,a) "= 1, 2, 3,.....). Then lim inf f, = 0. Therefore flim inf, = 0. aut fr, = tk ° and he - te = 1 (ifm is even). Hence lim int ff, = 1 gives the 1 required strict inequality. Example 3.6 0 ttre (0. Put gt) = 1 1 itre Gap g(1 ~x) for all x € (0, 1], and define fg(s) = g6s) and fay, 6s) 0. ‘Thon lim inf f, = O giver that fim int f,Chapter 4 Lebesgue Integration 167 But te = implies that tim ing ti “+ y rroposition 3.7 Let /be a non-negative measurable function on E, Then Si=0 2 s= 000.08. Prooft Let fr oPut B= {rez foo 24}, Thus ff=0. a 1 [re foo Spt, mee So m(E,) = 0 for each n by the non negativity of m. But A = (x: fix) #0} = (x: lx) > 0} (v S20) “YE, Then 0= m(A) =. m(7B,) SE mE) = 0 This gi that m(A) = 0. Thus f= 0ae. on E. Conversely suppose that f= 0 a.e. on E. So that F = {xe E: fx) > 0) has Lebesgue measure zero. Put J, =" Yp forall n = 1,2, Here Slim inf /,, Using Fatou’s lemma we have Sis Sim ints, < lim int ff, = limintn fyy = lim inf a. m(F) = 0 Thus ff=0 120) Theorem 3,8 (Monotone Convergence Theorem) Let {/,) be @ monotone increasing sequence of non-negative measurable functions defined on E and let f= lim fyIntroduction to Lebesgue Integration 168 Then fr - tion fin (ie. f lim Jy = tin Sr) Proof: ‘Tho soquenco (/,) is an increasing sequonco Pf real numbers so it increases to its supremum i.e. sup fy = lin fy = / « Hence 0 SJ, S/for each n implios that fa s fe » It follows that Tim fas if By Fatou’s lemma, ys Jim, fh ~ Using (*) and (**) we get t im ff, s Tim fis frs tim ffs Tim fi, Thus fr Tim fi, = dim fin = Fi, fhe