3

Measurable functions

3.1 The extended real line

The length of R is unbounded above, i.e. ‘infinite’. To deal with this we defined
Lebesgue measure for sets of infinite as well as finite measure. In order to handle
functions between such sets comprehensively, it is convenient to allow functions
which take infinite values: we take their range to be (part of) the ‘extended real
line’ R = [−∞, ∞], obtained by adding the ‘points at infinity’ −∞ and +∞ to
R. Arithmetic in this set needs a little care as already observed in Section 2.2:
we assume that a+∞ = ∞ for all real a, a×∞ = ∞ for a > 0, a×∞ = −∞ for
a < 0, ∞ × ∞ = ∞ and 0 × ∞ = 0, with similar definitions for −∞. These are
all ‘obvious’ intuitively (except possibly 0 × ∞), and (as for measures) we avoid
ever forming ‘sums’ of the form ∞+(−∞). With these assumptions ‘arithmetic
works as before’.

3.2 Lebesgue-measurable functions

The domain of the functions we shall be considering is usually R. Now we
have the freedom of defining f only ‘up to null sets’: once we have shown two
functions f and g to be equal on R \ E where E is some null set, then f = g
for all practical purposes. To formalize this, we say that f has a property (P )
almost everywhere (a.e.) if f has this property at all points of its domain, except

55
56 Measure, Integral and Probability

possibly on some null set.

For example, the function

1 for x 6= 0
f (x) =
0 for x = 0

is almost everywhere continuous, since it is continuous on R \ {0}, and the

exceptional set {0} is null. (Note: Probabilists tend to say ‘almost surely’
(a.s.) instead of ‘almost everywhere’ (a.e.) and we shall follow their lead in the
sections devoted to probability.)

The next definition will introduce the class of Lebesgue-measurable func-

tions. The condition imposed on f : R → R will beR necessary (though not
sufficient) to give meaning to the (Lebesgue) integral f dm. Let us first give
some motivation.
Integration is always concerned with the process of approximation. In the
Riemann integral we split the interval I = [a, b], over which we integrate into
small pieces In – again intervals. The simplest method of doing this is to divide
the interval into N equal parts. Then we construct approximating sums by
multiplying the lengths of the small intervals by certain numbers cn (related to
the values of the function in question; for example cn = inf In f , cn = supIn f ,
or cn = f (x) for some x ∈ In ):
N
X
cn l(In ).
n=1
Rb
For large n this sum is close to the Riemann integral a f (x) dx (given some
regularity of f ).

Figure 3.1 Riemann vs. Lebesgue

The approach to the Lebesgue integral is similar but there is a crucial differ-
ence. Instead of splitting the integration domain into small parts, we decompose
3. Measurable functions 57

the range of the function. Again, a simple way is to introduce short intervals
Jn of equal length. To build the approximating sums we first take the inverse
images of Jn by f , i.e. f −1 (Jn ). These may be complicated sets, not necessarily
intervals. Here the theory of measure developed previously comes into its own.
We are able to measure sets provided they are measurable, i.e. they are in M.
Given that, we compute
XN
cn m(f −1 (Jn ))
n=1
where cn ∈ Jn or cn = inf Jn , for example.
The following definition guarantees that this procedure makes sense (though
some extra care may be needed to arrive at a finite number as N → ∞).

Definition 3.1
Suppose that E is a measurable set. We say that a function f : E −→ R is
(Lebesgue-)measurable if for any interval I ⊆ R
f −1 (I) = {x ∈ R : f (x) ∈ I} ∈ M.
In what follows, the term measurable (without qualification) will refer to
Lebesgue-measurable functions.
If all the sets f −1 (I) ∈ B, i.e. if they are Borel sets, we call f Borel-
measurable, or simply a Borel function.

The underlying philosophy is one which is common for various mathematical

notions: the inverse image of a nice set is nice. Remember continuous functions,
for example, where the inverse image of any open set is required to be open.
The actual meaning of the word nice depends on the particular branch of
mathematics. In the above definitions, note that since B ⊂ M, every Borel
function is (Lebesgue-)measurable.

Remark 3.1
The terminology is somewhat unfortunate. ‘Measurable’ objects should be
measured (as with measurable sets). However, measurable functions will be
integrated. This confusion stems from the fact that the word integrable which
would probably fit best here, carries a more restricted meaning, as we shall see
later. This terminology is widely accepted and we are not going to try to fight
the whole world here.

We give some equivalent formulations:

58 Measure, Integral and Probability

Theorem 3.1
The following conditions are equivalent
(a) f is measurable,
(b) for all a, f −1 ((a, ∞)) is measurable,
(c) for all a, f −1 ([a, ∞)) is measurable,
(d) for all a, f −1 ((−∞, a)) is measurable,
(e) for all a, f −1 ((−∞, a]) is measurable.

Proof
Of course (a) implies any of the other conditions. We show that (b) implies
(a). The proofs of the other implications are similar, and are left as exercises
(which you should attempt).
We have to show that for any interval I, f −1 (I) ∈ M. By (b) we have that
for the particular case I = (a, ∞). Suppose I = (−∞, a]. Then
f −1 ((−∞, a]) = f −1 (R \ (a, ∞)) = E \ f −1 ((a, ∞)) ∈ M (3.1)

since both E and f −1 ((a, ∞)) are in M (we use the closure properties of M
established before). Next
∞
[ 1 
f −1 ((−∞, b)) = f −1 (−∞, b − ]
n=1
n
∞
[  1 
= f −1 (−∞, b − ] .
n=1
n

By (3.1), f −1 (−∞, b − n1 ] ∈ M and the same is true for the countable union.

From this we can easily deduce that

f −1 ([b, ∞)) ∈ M.

Now let I = (a, b), and

f −1 ((a, b)) = f −1 ((−∞, b) ∩ (a, ∞))
= f −1 ((−∞, b)) ∩ f −1 ((a, ∞))

is in M as the intersection of two elements of M. By the same reasoning M

contains
f −1 ([a, b]) = f −1 ((−∞, b] ∩ [a, ∞))
= f −1 ((−∞, b]) ∩ f −1 ([a, ∞))

and half-open intervals are handled similarly.

 3. Measurable functions 59

3.3 Examples
The following simple results show that most of the functions encountered ‘in
practice’ are measurable.

(i) Constant functions are measurable. Let f (x) ≡ c. Then


R if a < c
f −1 ((a, ∞)) =
Ø otherwise

and in both cases we have measurable sets.

(ii) Continuous functions are measurable. For we note that (a, ∞) is an open
set and so is f −1 ((a, ∞)). As we know, all open sets are measurable.
(iii) Define the indicator function of a set A by

1 if x ∈ A
1A (x) =
0 otherwise.

Then
A∈M ⇔ 1A is measurable
since 
 R if a < 0
1−1
A ((a, ∞)) = A if 0 ≤ a < 1
Ø if a ≥ 1.


Exercise 3.1
Prove that every monotone function is measurable.

Exercise 3.2
Prove that if f is a measurable function, then the level set {x : f (x) = a}
is measurable for every a ∈ R.

Hint Don’t forget about the case when a is infinite!

Remark 3.2
In the Appendix, assuming the validity of the Axiom of Choice, we show that
there are subsets of R which fail to be Lebesgue-measurable, and that there
60 Measure, Integral and Probability

are Lebesgue-measurable sets which are not Borel sets. Thus, if P(R) denotes
the σ-field of all subsets of R, the following inclusions are strict
B ⊂ M ⊂ P(R).
These (rather esoteric) facts can be used, by considering the indicator func-
tions of these sets, to construct examples of non-measurable functions and of
measurable functions which are not Borel functions. While it is important to be
aware of these distinctions in order to understand why these different concepts
are introduced at all, such examples will not feature in the applications of the
theory which we have in mind.

3.4 Properties
The class of measurable functions is very rich, as the following results show.

Theorem 3.2
The set of real-valued measurable functions defined on E ∈ M is a vector space
and closed under multiplication, i.e. if f and g are measurable functions then
f + g, and f g are also measurable (in particular, if g is a constant function
g ≡ c, cf is measurable for all real c).

Proof
Fix measurable functions f, g : E → R. First consider f + g. Our goal is to
show that for each a ∈ R,
B = (f + g)−1 (−∞, a) = {t : f (t) + g(t) < a} ∈ M.
Suppose that all the rationals are arranged in a sequence {qn }. Now
∞
[
B= {t : f (t) < qn , g(t) < a − qn }
n=1

– we decompose the half-plane below the line x + y = a into a countable union

of unbounded ‘boxes’: {(x, y) : x < qn , y < a − qn }. Clearly

{t : f (t) < qn , g(t) < a − qn } = {t : f (t) < qn } ∩ {t : g(t) < a − qn }

is measurable as an intersection of measurable sets. Hence B ∈ M as a count-
able union of elements of M.
3. Measurable functions 61

Figure 3.2 Boxes

To deal with f g we adopt a slightly indirect approach in order to remain

‘one-dimensional’: first note that if g is measurable, then so is −g. Hence f −g =
f +(−g) is measurable. Since f g = 41 {(f +g)2 −(f −g)2 }, it will suffice to prove
that the square of a measurable function is measurable. So take a measurable
h : E → R and consider {x ∈ E : h2 (x) > a}. For a < 0 this set is E ∈ M, and
for a ≥ 0
√ √
{x : h2 (x) > a} = {x : h(x) > a} ∪ {x : h(x) < − a}.

Both sets on the right are measurable, hence we have shown that h2 is mea-
surable. Apply this with h = f + g and h = f − g respectively, to conclude
that f g is measurable. It follows that cf is measurable for constant c, hence
that the class of real-valued measurable functions forms a vector space under
addition.

Remark 3.3
An elegant proof of the theorem is based on the following lemma, which will also
be useful later. Its proof makes use of the simple topological fact that every
open set in R2 decomposes into a countable union of rectangles, in precise
analogy with open sets in R and intervals.

Lemma 3.3
Suppose that F : R×R → R is a continuous function. If f and g are measurable,
then h(x) = F (f (x), g(x)) is also measurable.
62 Measure, Integral and Probability

It now suffices to take F (u, v) = u + v, F (u, v) = uv to obtain a second

proof of Theorem 3.2.

Proof (of the Lemma)

For any real a
{x : h(x) > a} = {x : (f (x), g(x)) ∈ Ga }
where Ga = {(u, v) : F (u, v) > a} = F −1 ((a, ∞)). Suppose for the moment
that we have been lucky and Ga is a rectangle: Ga = (a1 , b1 ) × (c1 , d1 ).

Figure 3.3 The sets Ga

It is clear from Figure 3.3 that

{x : h(x) > a} = {x : f (x) ∈ (a1 , b1 ) and g(x) ∈ (c1 , d1 )}

= {x : f (x) ∈ (a1 , b1 )} ∩ {x : g(x) ∈ (c1 , d1 )}.

In general, we have to decompose the set Ga into a union of rectangles. The set
Ga is an open subset of R × R since F is continuous. Hence it can be written
as ∞
[
Ga = Rn
n=1
3. Measurable functions 63

where Rn are open rectangles Rn = (an , bn ) × (cn , dn ). So

∞
[
{x : h(x) > a} = {x : f (x) ∈ (an , bn )} ∩ {x : g(x) ∈ (cn , dn )}
n=1

is measurable due to the stability properties of M.

A simple application of Theorem 3.2 is to consider the product f · 1A . If

f is a measurable function, A is a measurable set, then f · 1A is measurable.
This function is simply f on A and 0 outside A. Applying this to the set
A = {x ∈ E : f (x) > 0} we see that the positive part f + of a measurable
function is measurable: we have

+ f (x) if f (x) > 0
f (x) =
0 if f (x) ≤ 0.

Similarly the negative part f − of f is measurable, since


0 if f (x) > 0
f − (x) =
−f (x) if f (x) ≤ 0.

Proposition 3.4
Let E be a measurable subset of R.
(i) f : E → R is measurable if and only if both f + and f − are measurable.
(ii) If f is measurable, then so is |f |; but the converse is false.

Hint Part (ii) requires the existence of non-measurable sets (as proved in
the Appendix) not their particular form.

Exercise 3.3
Show that if f is measurable, then the truncation of f :

a if f (x) > a
f a (x) =
f (x) if f (x) ≤ a

is also measurable.

Exercise 3.4
Find a non-measurable f such that f 2 is measurable.
64 Measure, Integral and Probability

Passage to the limit does not destroy measurability – all the work needed
was done when we established the stability properties of M!

Theorem 3.5
If {fn } is a sequence of measurable functions defined on the set E in R, then
the following are measurable functions also:

max fn , min fn , sup fn , inf fn , lim sup fn , lim inf fn .

n≤k n≤k n∈N n∈N n→∞ n→∞

Proof
It is sufficient to note that the following are measurable sets:
k
[
{x : (max fn )(x) > a} = {x : fn (x) > a},
n≤k
n=1
k
\
{x : (min fn )(x) > a} = {x : fn (x) > a},
n≤k
n=1
[∞
{x : (sup fn )(x) > a} = {x : fn (x) > a},
n≥k
n=k
\∞
{x : ( inf fn )(x) ≥ a} = {x : fn (x) ≥ a}.
n≥k
n=k

For the upper limit, by definition

lim sup fn = inf { sup fm }

n→∞ n≥1 m≥n

and the above relations show that hn = supm≥n fm is measurable, hence

inf n≥1 hn (x) is measurable. The lower limit is done similarly.

Corollary 3.6
If a sequence fn of measurable functions converges (pointwise) then the limit
is a measurable function.

Proof
This is immediate since limn→∞ fn = lim supn→∞ fn which is measurable.
3. Measurable functions 65

Remark 3.4
Note that Theorems 3.2 and 3.5 have counterparts for Borel functions, i.e. they
remain valid upon replacing ‘measurable’ by ‘Borel’ throughout.

Things are slightly more complicated when we consider the role of null
sets. On the one hand, changing a function on a null set cannot destroy its
measurability, i.e. any measurable function which is altered on a null set remains
measurable. However, as not all null sets are Borel sets, we cannot conclude
similarly for Borel sets, and thus the following results have no natural ‘Borel’
counterparts.

Theorem 3.7
If f : E → R is measurable, E ∈ M, g : E → R is arbitrary, and the set
{x : f (x) = g(x)} is null, then g is measurable.

Proof
Consider the difference d(x) = g(x) − f (x). It is zero except on a null set so

a null set if a ≥ 0
{x : d(x) > a} =
a full set if a < 0

where a full set is the complement of a null set. Both null and full sets are
measurable hence d is a measurable function. Thus g = f +d is measurable.

Corollary 3.8
If (fn ) is a sequence of measurable functions and fn (x) → f (x) almost every-
where for x in E, then f is measurable.

Proof
Let A be the null set such that fn (x) converges for all x ∈ E \ A. Then 1Ac fn
converge everywhere to g = 1Ac f which is therefore measurable. But f = g
almost everywhere, so f is also measurable.

Exercise 3.5
Let fn be a sequence of measurable functions. Show that the set E =
{x : fn (x) converges} is measurable.
66 Measure, Integral and Probability

Since we are able to adjust a function f at will on a null set without al-
tering its measurability properties, the following definition is a useful means of
concentrating on the values of f that ‘really matter’ for integration theory, by
identifying its bounds ‘outside null sets’:

Definition 3.2
Suppose f : E → R is measurable. The essential supremum ess sup f is defined
as inf{z : f ≤ z a.e.} and the essential infimum ess inf f is sup{z : f ≥ z a.e.}.

Note that ess sup f can be +∞. If ess sup f = −∞, then f = −∞ a.e. since
by definition of ess sup, f ≤ −n a.e. for all n ≥ 1. Now if ess sup f is finite,
and A = {x : ess sup f < f (x)}, define An for n ≥ 1 by
1
An = {x : ess sup f < f (x) − }.
n
S
These are null sets, hence so is A = n An , and thus we have verified:
f ≤ ess sup f a.e.
The following is now straightforward to prove.

Proposition 3.9
If f, g are measurable functions, then
ess sup (f + g) ≤ ess sup f + ess sup g.

Exercise 3.6
Show that for measurable f , ess sup f ≤ sup f . Show that these quan-
tities coincide when f is continuous.

3.5 Probability
3.5.1 Random variables

In the special case of probability spaces we use the phrase random variable to
mean a measurable function. That is, if (Ω, F, P ) is a probability space, then
X : Ω → R is a random variable if for all a ∈ R the set X −1 ([a, ∞)) is in F:
{ω ∈ Ω : X(ω) ≥ a} ∈ F.
3. Measurable functions 67

In the case where Ω ⊂ R is a measurable set and F = B is the σ-field of Borel

subsets of Ω, random variables are just Borel functions R → R.
In applied probability, the set Ω represents the outcomes of a random exper-
iment that can be observed by means of various measurements. These measure-
ments assign numbers to outcomes and thus we arrive at the notion of random
variable in a natural way. The condition imposed guarantees that questions of
the following sort make sense: what is the probability that the value of the
random variable lies within given limits?

3.5.2 Sigma fields generated by random variables

As indicated before, the random variables we encounter will in fact be Borel

measurable functions. The values of the random variable X will not lead us
to non-Borel sets; in fact, they are likely to lead us to discuss much coarser
distinctions between sets than are already available within the complexity of
the Borel σ-field B. We should therefore be ready to consider different σ-fields
contained within F. To be precise:
The family of sets

X −1 (B) = {S ⊂ F : S = X −1 (B) for some B ∈ B}

is a σ-field. If X is a random variable, X −1 (B) ⊂ F but it may be a much

smaller subset depending on the degree of sophistication of X. We denote this
σ-field by FX and call it the σ-field generated by X.
The simplest possible case is where X is constant, X ≡ a. The X −1 (B) is
either Ω or Ø depending on whether a ∈ B or not and the σ-field generated is
trivial: F = {Ø, Ω}.
If X takes two values a 6= b, then FX contains four elements: FX =
{Ø, Ω, X −1 ({a}), X −1 ({b})}. If X takes finitely many values, FX is finite. If X
takes denumerably many values, FX is uncountable (it may be identified with
the σ-field of all subsets of a countable set). We can see that the size of FX
grows together with the level of complication of X.

Exercise 3.7
Show that FX is the smallest σ-field containing the inverse images
X −1 (B) of all Borel sets B.

Exercise 3.8
Is the family of sets {X(A) : A ∈ F} a σ-field?