Problems and Proofs in Real Analysis - Theory of Measure and - Yeh, James - 2014 - World Scientific - 9789814578509 - Anna's Archive

PROBLEMS
ANoPRQQFS N 1
REAL ANALYSIS
Theory of Measure and Integration
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PROBLEMS
ANoPRQQFSIN
REAL ANALYSIS
Theory of Measure and Integration
JYeh
University of California, Irvine, USA
9 World Scientific
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Library of Congress Cataloging-ID-PubUeatlon Data

Yeh,J.
Problems and proofs in real analysis : theory of measure and integration I by J. Yeh, University of
California, Irvine, USA.
pages em
Companion volume to: Real analysis: theory of measure and integration (3rd ed.).
Intended as a self-study volume.
ISBN 978-981-4578-50-9 (softcover: alk. paper)
1. Mathematical analysis--Study and teaching. 2. Measure theory--Study and teaching.
I. Yeh, J. Real analysis. ll. Title.
QA312.Y445 2014
515'.8~23
2013041974
British Library Cataloguing-in-Publication Data

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Copyright IC 2014 by World Scientific Publishing Co. Pte. Ltd.
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Printed in Singapore by World Scientific Printers.

To my wife
Betty
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Contents vii
Contents
Preface . . . . . . . . . . . . . . . . . . viii
§1 Measure on a a-algebra of Sets .. . 1
§2 Outer Measures . . . . . . 43
§3 Lebesgue Measure on R . . . . 46
§4 Measurable Functions 78
§5 Completion of Measure Space 104
§6 Convergence a.e. and Convergence in Measure . 107
§7 Integration of Bounded Functions on Sets of Finite Measure . 132
§8 Integration of Nonnegative Functions .. 160
§9 Integration of Measurable Functions 192
§ 10 Signed Measures . . . . . . . . . . . . 266
§ 11 Absolute Continuity of a Measure . . . 277
§ 12 Monotone Functions and Functions of Bounded Variation . . 290
§13 Absolutely Continuous Functions . 314
§ 16 The LP Spaces . . . . . . . . . . . . . . . . . . 353
§ 17 Relation among the LP Spaces . . . . . . . . . . 386
§ 18 Bounded Linear Functionals on the LP Spaces . . 424
§22 Lebesgue-Stieltjes Measure Spaces . . . . . . . 431
§23 Product Measure Spaces . . . . . . . . . . . . . 443
§24 Lebesgue Measure Space on the Euclidean Space 466
§25 Differentiation on the Euclidean Space . . . . . . 473
viii Preface
Preface
This volume consists of proofs of the problems in the monograph Real Analysis: Theory
of Measure and Integration, 3rd Edition. Alternate proofs are included when appropriate to
show different approaches to the problem or different techniques in constructing a proof.
We hope that this volume will be helpful to those who read Real Analysis in self-study and
have no easy access to help.
J. Yeh
Corona del Mar, California
September, 2013
§1 Measure on a a-algebra of Sets 1
§1 Measure on a cr-algebra of Sets

Prob. 1.1. Given two sequences of subsets (En : n E N) and (Fn : n E N) of a set X.
(a) Show that
(1) ~~~u~~~c~~~u~c~~~u~~~
n~oc n~oo n....,..oo n~oo
n~oo
C ~sup(En U Fn) C ~sup En U lim sup Fn.

n~oo n~oo n~oo
(b) Show that
(2) ~~~n~~~c~~~n~c~~~n~~~
n~oo n.....,.oo n~oo
n~oo
n~oo
c ~sup(En n Fn) c ~sup En n lim sup Fn.
(c)Showthatif ~ Enand ~ Fnexist,then ~ (EnUFn)and ~ (EnnFn)exist

11....... 00 11-+00 11-+00 11-+00
and moreover
(3) ~ (EnUFn) ~ EnU ~ Fn,

= 11-+00
,......,.00 11-+00
(4)
Proof. Let (An : n E N) be a sequence of subsets of X. According to Lemma 1. 7, An

~ inf
n~oo
consists of every x E X such that x E An for all but finitely many n E N and ~sup An
n~oo
consists of every x E X such that x E An for infinitely many n E N. Titis is the basis for
the proof of the chain of inclusions.
1. Let us prove (1) by verifying the set inclusions one after another.
1.1. Let us prove~~ E 11 Ulim~ F11 C ~inf(E11 U Fn).
n-+ oo n-+oo n--+-00
Let x E ~inf En U ~inf Fn. Then we have x E ~inf En or x E ~inf Fn. If
,.__,..oo n....,.oo n-+oo n-+oo
x E ~ inf En then x E En for all but finitely many n E N and then x E En U Fn for all but
n~oo
finitely many n E N and therefore X E ~ inf (En U Fn). Similarly if X E lim inf Fn then
11-+00 11-+00
x E ~inf(En U Fn). Titis proves ~inf En U ~inf Fn C Iiminf(En U Fn).
n.....,.oo 11"""7-00 n-+oo n....,.oo
1.2. Let us prove ~inf(En U Fn) C ~inf En U lim sup Fn.
n-+oo n-+oo n-+oo
Let x E lim~(En U Fn). Then x E En U Fn for all but finitely many n E N. Suppose
n-+oo
x E Fn for infinitely many n E N. Then x E ~sup Fn.
On the other hand if x E Fn
n-+oo
for only finitely many n E N, then since x E En U Fn for all but finitely many n E N,
we must have x E En for all but finitely many n E N and then x E ~inf11 ~ 00 En.
Titis shows that if x E ~inf(En U Fn) then x E limsupFn or x E ~inf En so that
11-+00 11"""+00 11-+00
x E ~ inf En U ~sup Fn . Titis proves ~inf(En U Fn) C ~~En U ~sup Fn .
n-+oo n-+oo n-+oo n--+oo n-+oo
1.3. Let us prove ~~En U lim sup Fn C ~sup(En U Fn).
n-+oo 11-+00 11-+00
Since liminf En C ~sup En, we have ~inf EnU~supFn C ~supEnUlimsupFn .
n~oo n-+00 n~oo 11-+00 n~ oo n~oo
2 Problems and Proofs in Real Analysis
Since En C En U Fn for every n E N, we have lim sup En C lim sup( En U Fn). Similarly
ft..... OO 11-+00
lim sup Fn C lim sup(En U Fn)- Therefore lim sup En U lim sup Fn C lim sup( En U Fn)-
n-+<X> n-+<X> n-+<X> n-+<X> n-+<X>
This proves lim inf En U lim sup Fn C lim sup( En U Fn).
n-+oo n~oo
lA. Let us prove lim sup(En U Fn) C lim sup En U lim sup Fn.
n-+oo n-+oo n-+oo
Let x E lim sup(E11 U F 11 ). Then x E En U Fn for infinitely many n E N. If x E E 11 for
n-+oo
infinitely many n e N then x E lim sup En. On the other hand if x E En for only finitely
n-+oo
many n E N, then since x E En U Fn for infinitely many n E N, we must have x E Fn for
infinitely many n E N and thus x E lim sup F11 • This shows that if x E lim sup(En U F 11 ) ,
n.....,.oo n-+oo
then x E lim sup E 11 or x E lim sup Fn and therefore x E lim sup En U lim sup Fn. This
n-+oo n-+oo n-+ oo n-+oo
proves lim sup(En U Fn) C lim sup En U lim sup Fn.
n-+oo
2. Let us prove (2) by verifying the set inclusions one after another.
2.1. Let us prove liminf En n liminf Fn
n~oo n-+oo
c liminf(En
n-+oo
n Fn).
Letx E liminf Ennliminf Fn. Thenx E liminf EnandthisimpliesthatthereexistsNt EN
n-+oo n-+oc n-+oo
such that x E E,. for n ~ Nt. Similarly x E lim inf F,. implies that there exists N2 E N
n-+oo
suchthatx E Fnforn ~ N2. LetN = max:{Nt,N2}. Thenx E EnnFn forn ~Nand this
implies thatx E liminf(En n Fn). This proves liminf En nliminf Fn c liminf(En n Fn).
n-HXJ n-HXJ n-HXJ n-+oo
2.2. Let us prove liminf(En n Fn) C liminf En n lim sup Fn.
n-+oo n-+oo n-+<X>
Letx E liminf(En n Fn). Thenx E E 11 n Fn for all but finitely many n EN. Thenx E E 11
n-+oo
for all but finitely many n e N so that x e liminf E,. and similarly x e liminf F,.. Thus
n~oo n-+oo
x E liminf En n liminf Fn C liminf En n limsupFn. This proves liminf(En n Fn) C
n-+oo n-+oo n-+oo n-+oo n~oo
lim inf En n lim sup Fn.

n--+oo n-+oo
2.3. Let us prove liminf En n lim sup Fn
n__..oo
c lim sup( En n Fn).
n-+oo n-+oo
Letx E liminf Ennlimsup Fn. Thenx E liminf En sothatx E E 11 for all but finitely many
-00 -00 -00
n E N and x E lim sup Fn for infinitely many n E N. This implies that x E En n Fn for
n-+oo
infinitely many n E N and thus X E lim sup(En nFn). This proves lim inf En nlim sup Fn c
n-+oo n-4>oo n-+oo
lim sup( En n Fn).
n-+oo
2A. Let us prove lim sup(En n Fn) C lim sup En n lim sup Fn.
n-+oo n-+oo n-+oo
Let X E lim sup(En n Fll) . Then X E En n Fn for infinitely many n E N. This implies that
n-+oo
x E En for infinitely many n E N so that x E lim sup En and similarly x E Fn for infinitely
n-+oo
many n E N so that x E lim sup Fn. Thus we have x E lim sup En n lim sup Fn. This proves
11-+00 n-+oo n-+oo
lim sup( En n Fn) c lim sup En n lim sup Fn.
n-+oo
§ 1 Measure on a a -algebra of Sets 3
3. Let us prove (c). Let us assume that lim E,. and lim F,. exist. Then we have
n-->oo n-->oo
!
limE,. =liminfE,. =limsupE,.,
n.....,.oo n.....,..oo ,...... 00
(5)
lim F, = lim inf F, = lim sup F,.
n....,.oo n--+oo n--+oo
Substituting (5) into (1), we have
lim E,. U lim F,

n.--+oo n--+oo
c lim inf(E,. U F,.)
n--+oo
c lim sup(E,. U F,.) c lim E11 U lim F11 ,

,...... 00 11-->00 Tl-->00
which implies
liminf(E11 U F 11 ) = limsup(E11 U F11 ) = lim E 11 U lim F,. .

n-->00 n-->oo 11-->00 11-->00
This shows that lim (E11 U F11 ) exists and lim (E11 U F11 ) = lim E 11 U lim F11 •
n--+oo 11"""700 n--+oo n"""7oo
Similarly by substituting (5) into (2) we show that lim (E11 n F,.) exists and moreover
Tl-->00
lim (E, n F,) = lim E, n lim F,. 1
n--+oo n--+oo n--+oo
Prob. 1.2. (a) Let (An : n E N) be a sequence of subsets of a set X. Let (Bn : n E N) be a
sequence obtained by dropping finitely many entries in the sequence (An : n e N). Show
that lim inf Bn = lim inf An and lim sup Bn = lim sup An. Show that lim Bn exists if
n~oo n......,oo n__,..oo n....,.oo n...... oo
and only if lim An exists and when they exist they are equal.
n-+oo
(b) Let (A, : n e N) and (Bn : n E N) be two sequences of subsets of a set X such
that A, = B, for all but finitely many n e N. Show that liminf Bn = liminf A, and
n~oo n...,.oo
lim sup Bn = lim sup A,. Show that lim B, exists if and only if lim A, exists and when
n..... oo n~oo
n-+oo n-+oo
they exist they are equal.
Proof. 1. Let us prove (a). H x e liminf B, then x e B, for all but finitely many n e N
n-+oo
and hence x e A, for all but finitely many n e N and then lim inf A,. This shows that
n-+oo
lim inf Bn C lim inf A,. By the same argument we show that lim inf A, C lim inf Bn and
n-+oo n-+oo n-+oo n-+oo
therefore we have lim inf B 11 = lim inf An.
n......,oo n......oo
We show by the same argument as above that lim sup Bn = lim sup A,.
,. ....... 00 ,......,.00
Now lim Bn exists if and only if lim inf Bn = lim sup B 11 and when the equality holds
11-+00 11-+00 n-->oo
then lim Bn = lim inf B, = lim sup B11 • But as we showed above, we have lim inf Bn =
n.....oo 11"""'*00 n~oo n...... oo
lim inf A, and lim sup B, = lim sup An. Therefore lim Bn exists if and only if lim A,
n~oo n-+oo n-+oo ,......,.oo n......,.oo
exists and when they exist they are equal.
2. Let us prove (b). Now if An = B, for all but finitely many n e N then there exists
N E N such that A, = Bn for n ~ N. Let(~ : n E N) be the sequence obtained by
droppingtheinitialN entries in (A, : n e N) and similarly let (B~: n eN) be the sequence
obtained by dropping the initial N entries in (Bn : n e N). We have A~ = B~ for every
n e N. Then by (a) we have
lim sup A, = lim sup A~ = lim sup B~ = lim sup B,.

n-+oo n-+oo n-+oo n-+oo
Then by the same argument as in (a), lim B11 exists if and only if lim A, exists and when
n-+oo n-+oo
they exist they are equal. 1
Prob.1.3. Let (En : n E N) beadisjointsequenceofsubsets of a set X. Show that lim En

n-+oo
exists and lim En = 0.
n-+oo
Proof. If (En : n E N) is a disjoint sequence then we have
liminf En= {x EX: x E En for all but finitely many n EN}= 0,

n.... oo
lim sup En= {x EX: x E En for infinitely many n EN}= 0.

n-+oo
Thus we have lim inf En lim sup En 0 and this implies that lim En exists and
n-+oo n__.oo n-+oo
lim En= 0. I
n-+oo
Prob. 1.4. 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} exists and lim {x,} = 0 and thus
n~oo n......,oo n-+oo
lim {xn} ¥: {a}.
n-+oo
Proof. Let En= {x11 }forn EN andconsiderthesequence (En: n EN) ofsetsin R. Since
lim Xn = a, we have
n-+oo
liminf En= {x E R: x E En for all but finitely many n EN}

n-+oo
= {x E R: x = Xn for all but finitely many n EN}
=0,
and
lim sup En = { x E R : x E En for infinitely many n E N}

n__.oo
= {x E R: X = Xn for infinitely many n E N}

=0.
Thus we have lim inf En = lim sup En = 0. This implies that lim En exists and
-00 -00 -00
lim En = 0. This proves that lim {xn} exists and lim {xn} = 0 and in particular
n-+oo n...,.oo n-+oo
lim {xn}
n-+oo
¥: {a}. 1
Prob. 1.5. For E C IR and I E IR, let us write E + I = {x + I E IR : x E E} and call it

the translate of E by 1. Let (t,. : n E N) be a strictly decreasing sequence in IR such that
lim In = 0 and let E,. = E +In for n E N. Let us investigate the existence of lim En.
n...,.oo n~oo
(a)LetE = (-oo,O). Showthat lim En= (-oo,O].

11-+00
(b) Let E = {a} where a E JR. Show that lim En = 0.
n-+00
(c) Let E =[a, b] where a, bE IR and a< b. Show that lim En= (a, b].
n-+oo
(d) Let E =(a, b) where a, bE IR and a< b. Show that lim En= (a,b].
n-+oo
(e) Let E = Q, the set of all rational numbers. Assume that (tn : n E N) satisfies the
additional condition that In is a rational number for all but finitely many n E N. Show that
lim En= E.
11-+00
(f) Let E = Q as in (d) but assume that (tn : n E N) satisfies the additional condition that tn
is a rational number for infinitely many n E N and In is an irrational number for infinitely
many n E N. Show that lim E,. does not exist.
n->oo
Proof. 1. Let us prove (a). We have E = ( -00, 0) and En = E + tn = (-00, 111 ) for
n E N. Thus (En : n E N) is a decreasing sequence of sets and this implies lim En =
n-+00
nnEf:l En= (-00, 0].
2. Let us prove (b). We have E = {a} and E11 = E + t,. = {a+ t,.} for n E N. Now
lim sup En consists of every x E IR such that x E E., for infinitely many n E N. Since
n->oo
{E11 : n E N} is a disjoint collection, it is impossible for any x E IR to be in more than one
E,.. Thus limsupE,. = 0. Then since liminfE11 c limsupE11 , we have liminfE11 = 0
n-+oo 11..... 00 n-+oo n-..oo
as well. Thus liminf E.,= limsupE,. = 0 and this implies that lim E,. exists and
-00 -00 -00
lim E,. = liminf E.,= limsupE,. = 0.

n-+oo 11-+oo n->oo
3. Let us prove (c). We have E =[a, b] and E.,= E + t,. =[a+ t,., b + t,.] for n EN.
Consider x E (a, b]. Now tn ~ 0 implies a+ 111 ~ a and b + t11 ~ b. This implies that
x E [a + t11 , b + t,.] = En for all but finitely many n E N so that x E lim inf E,.. Thus
n->oo
(1) (a,b] c liminf E,. c lim sup En.
n-+oo 11-ioOO
Next consider x E (-oo, a]. Since a+ 111 ~a, we have x ~En for any n E Nand thus
x ~lim sup En. This implies that
....... 00
(2) ( -oo, a] n lim sup E., = 0.

n-+oo
Then since lim inf E., c lim sup En, (2) implies
n-+oo n-+oo
(3) ( -oo, a] n lim inf En =
n-+oo
0.
Next consider x E (b, oo). Since b +In ~ b, we have x E [a= tn, b +In]= En for only
finitely many n E N so that x V. lim sup En. This shows that
n-+oo
(4) (b, oo) n lim sup En= 0.
n-+00
Then since liminf En c lim sup En, (4) implies

n-+oo n-+oo
(5) (b, oo) n liminf
n-+00
E11 = ~.
By (1), (2) and (4) we have lim sup E 11 = (a, b] and similarly by (1), (3) and (5) we have
n-+oo
liminf E 11 = (a, b]. Thus we have liminf E11 = lim sup E,. = (a, b]. This implies that
n.....,.oc n~oo
n-+00
lim E exists and moreover
11-+00 11
limE,.= liminf E,. = limsupE,. = (a,b].
n~oo n--+-oo
4. Let us prove (d). We have E = (a, b) and E 11 = E + t11 = (a+ t11 , b + t 11) for n E N.
By the same argument as in 3, we show that lim sup E,. = (a, b] and lim inf E,. = (a, b ].
n-+oo n-+oo
Then we have lim En = (a, b]. (Note that while b f/ E in this case we still have
n-+00
b E lim inf En c lim sup E,..)
n-+oo n-+oo
5. Let us prove (e). Since t,. E Q for all but finitely many n E N, there exists N E N
such thatt11 E Q forn ~ N. Thenforn ~ N we have En= E +t11 Q +tn Q =E. = =
Then we have lim En = E.
n-+oo
6. Let us prove (f). Let P be the set of all irrational numbers. Then we have Q n P = ~
and Q U P = JR. Let us observe that
(6) ~ E Q and Tf E P => ~ + Tf E P.
s
(Suppose not Then := ~ + 1f E Q. Then 1f = s-
~ E Q, a contradiction to 1f E P. )
To show that lim E 11 does not exist, we show that lim inf E 11 ;;/; lim sup E,.. We show
11---ii>OO n.....,..oo 11-+00
this by showing that whereas lim sup E 11 ;;/; ~ we have lim inf E 11 = ~.
n~oo
11-->00
Our sequence (tn : n E N) is such that t,. E Q for infinitely many n E N and at the same
time t11 E P for infinitely many n E N. If t 11 E Q then E 11 = E + t11 = Q + t11 = Q and
thus Q = E,. for infinitely many n E N and hence Q c lim sup E,.. Therefore we have
11-->00
(7) limsupE11 ;;/; ~.
11~00
Now liminf E 11 consistsofeveryx E !Rsuchthatx E E 11 forallbutfinitelymanyn EN.

11-->00
Let us show that no such x E R exists. If x E R then either x E Q or x E P. Consider
first the case x E Q. If t11 E P then E 11 = E + t 11 = Q + t11 C P by (6) and thus x f/ En.
Since t11 E P for infinitely many n E N, we have x f/ En for infinitely many n E N and thus
x f/ lim inf En. Consider next the case x E P. If t11 E Q then E,. = E + t 11 = Q + 111 = Q
n-+oo
so that x '/. En. Since tn E Q for infinitely many n E N, we have x '/. En for infinitely many
n E N andthereforex '/.liminfEn. Thuswhetherx E Qorx E Pwehavex f/liminfEn.
n.....,.oo n...,.oo
Therefore we have
(8) liminfE,. = ~ .
n-->oo
Finally, (7) and (8) show that lim inf E,. ;;/; lim sup En and thus lim En does not exist. 1
11~00 PJ-+00 11~00
Prob. 1.6. The characteristic function 1A of a subset A of a set X is a function on X defined

by
1 (x) _ { 1 for X E A,
A - 0 for x E Ac.
Let (An : 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 1An = 1A on X.
n~oo n~oo
(b) Show that if lim 1An = 1A on X then lim An = A.

n-+ oo n--+ oo
Proof. 1. Let us prove (a). Let us assume lim An = A and prove lim 1An = 1A on X.
n-+oo n~oo
Now lim An
n-+oa
= A implies A = liminf
n.--+00
An = lim sup An. Let x E X. Then either x E A
ll-+00
orx E Ac.
Consider first the case x e A. Then 1A(X) = 1. Since x e A= liminf An. we have
n-+oo
x E An for all but finitely many n E N. Then 1 An (x) = 1 for all but finitely many n E N
and thus lim 1An(X) = 1 = 1A(X).
n-+oo
Next consider the case x E Ac. In this case we have x ¢A and then 1A(X) = 0. Since
x E Ac = (lim sup An) c, we have x ¢lim sup An and hence x e An for only finitely many
n~oo n-+oo
n e N. Thus 1A. (x) = 1 for only finitely many n E Nand consequently 1A. (x) = 0 for all
but finitely many n eN. Then lim 1An(x) = 0 = 1A(x).
n-700
Thus for every x e X, we have lim 1A. (x) = 1A (x ).
Pl-700
2. Let us prove (b). Let us assume lim 1A. = 1A on X. To show that lim An= A,
11-+00 11~00
we show that A = lim inf An = lim sup An.

n~oo n-+OO
Let x E A. Then 1A(x) = 1. Since lim 1An
ll-+00
= 1A on X, we have lim 1A.(x)
11--+-00
=
1A(x) = 1. Since 1An(x) is either 1 or 0 for every n EN, the last convergence implies that
1A. (x) = 1 for all but finitely many n e N. Thus x e A 11 for all but finitely many n e N
and thereforex e liminf An. This shows that A c liminf An.
11--+-00 11-+00
Next letx e lim sup An. Then x e An for infinitely many n e N and hence 1An(x) = 1
n~OO
for infinitely many n E N. Since lim 1An = 1A on X, we have lim 1A.(x) = 1A(x).
n~oo n~oo
Since 1A. (x) = 1 for infinitely many n e N, the last convergence implies that 1A (x) = 1
and hence x e A. This shows that lim sup An C A.
ll-+00
We have shown above that lim sup An c A c lim inf An. On the other hand we have
n-+oo ll~OO
lim inf A,. c lim sup An. Therefore we have lim inf An = lim sup An = A. This implies
n--+oo ll-+OO n--+oo n-+oo
that lim
n~oo
An = A. •
Prob. 1.7. Let Ql be a a -algebra of subsets of a set X and let Y be an arbitrary subset of X.
Let~ = {AnY : A e Ql}. Show that~ is a a-algebra of subsets of Y.
Proof. To show that~ is a a-algebra of subsets of Y, we verify the following conditions:

1° YE ~.
2° B E ~ ::::} Y \ B E ~-
30 (Bn : n E N) C ~ ::::} Unefi Bn E I.B.
1. Now I.B = {An Y : A e Ql}. With X e Ql, we have Y = X n Y e I.B. This verifies
1o.
l. Let B e I.B. Then B = A n Y where A e Ql. Then we have
Y \ B = (X n Y) \ (An Y) = (X \ A) n Y = Ac n Y.
Now A e Ql implies AcQl since Ql is a a-algebra of subsets of X. Thus Ac n Y e I.B, that

is, Y \ B e I.B. This verifies 2°.
3. Let (Bn : n E N) c I.B. Now Bn E I.B implies Bn = An n y where An E Ql for
n e N. Then we have
U Bn = U(An n Y) = ( U An) n Y.
neH neH neH
Now since Ql is a a -algebra of subsets of X, (An : n E N) C Ql implies A := UneH An E Ql.

Then Unel' Bn =Any E ~-This verifies 3°. I
Prob. 1.8. Let Ql be a collection of subsets of a set X with the following properties:
1°. XeQ(,
2°. A, B e Q( ::::} A \ B = A n Be E Ql.
Show that Ql is an algebra of subsets of the set X.
Proof. To show that Ql is an algebra of subsets of the set X, it suffices to verify the following
conditions:
3° A E Q( ::::} Ac E Q(.
4o A, B e Ql ::::} A U B E Ql.
1. Suppose A e Ql. Then by 1o we have X, A e Ql and this implies X \ A e Ql by 2°.
Thus Ac =X\ A E Ql. This verifies 3°.
l. Suppose A, B e Ql. Now we have
Since A e Ql, we have Ac e Ql by 3°. Then Ac, B e Ql and this implies Ac \ B e Ql by 2°.
Thus (A U B)c E Q( and this implies A U B E Q( by 3°. This verifies 4 °. 1
Prob. 1.9. Let Ql be an algebra of subsets of a set X. Suppose Ql has the property that for
every increasing sequence (An : n E N) in Ql, we have UneH An E 21. Show that Ql is a
u -algebra of subsets of the set X.
Proof. Since Ql is an algebra of subsets of the set X, to show that Ql is a u -algebra of subsets
of X it suffices to verify the condition:
(Bn : n E N) C Qt => u
nen
Bn E Qt.
Given (Bn : n e N) C Ql,let us define a sequence (An : n e N) of subsets of X by setting

It
(1) An= UB1c forn eN.

k=l
Then (An : n e N) is an increasing sequence of subsets of X and
(2) UBn= neH

neH
UAn-
Since (Bit : n e N) c Ql and Ql is an algebra of subsets of X, we have An = UZ=1 B~c e 21

and thus (An : n E N) is an increasing sequence in Ql and this implies that Unel! An E 21
by assumption. Then by (2) we have Unetl Bn e m. I
Prob. 1.10. Let (X, 2l) be a measurable space and let (En : n E N) be an increasing
sequence in Q( such that UneB En = X.
(a) Let Qln = Ql n En, that is, Qln = {An En : A e 21}. Show that Qln is a a-algebra of
subsets of En for each n e N.
(b) Does UneH 2ln = Ql hold?
Proof. 1. Qln is au -algebra of subsets of En for each n e N by Prob. 1. 7.

2. Clearly mn c mfor every n E Nand therefore Unefl mn c m. However the equality
Uneil mn = m does not hold in general. For instance if En =I= X for every n E N, then
X fj 2l11 for every n E N and then X fj UneH 2ln. But X E Q(. Thus UneH 2ln '# 2l. I
Prob. 1.11. (a) Show that if (SJln : n e N) is an increasing sequence of algebras of subsets
of a set X, then UneN 2ln is an algebra of subsets of X.
(b) Show that if (Qln : n e N) is a decreasing sequence of algebras of subsets of a set X,
then nneH 2ln is an algebra of subsets of X.
Proof. 1. Let us prove (a). Let (2ln : n e N) be an increasing sequence of algebras of
subsets of a set X. To show that Uneli 2ln is an algebra of subsets of X, we verify that
Unel\1 2ln satisfies the following conditions:
1° X E UneU 2ln.
2o A E Unell Ql,. =} Ac E UneH SJln.
3° A, B E Unell 2ln =} AU B E Unerl 2ln.
Now X E Qln for every n E N. Then X E 21n C U,.en SJln. This verifies 1°.
Let A e UneF 2l11 • Then A e 2l110 for some no e N. Then since 21110 is an algebra of
subsets of X, we have Ac e 2l110 • Then Ac e 2l110 c UneH 2l,. This verifies 2°.
Let A, B E Unel<l '11n. Then A E m,, for some nt E N and B E '11,2 for some n2 E N.
Let no = max{nt. n2}. Then since (Ql,. : n e N) is an increasing sequence, we have
SJ(,.1 , Ql112 C Ql110 • Then A e SJl,.1 C SJ(110 and B e SJl,.2 C SJl110 and thus A, B e SJl110 •
Then since Ql110 is an algebra, we have A U B e 21110 C Unefl Q(,.. This verifies 3°. This
completes the proof that UneH Ql11 is an algebra of subsets of X.
2. Let us prove (b). Let ('11n : n e N) be a decreasing sequence of algebras of subsets

of a set X. To show that n,.eH '11n is an algebra of subsets of X, we verify that nneH Q(,
satisfies the following conditions:
1o X E nneu 2ln.
2° A E nneH Qln =} AC E nneH SJl,.
3° A, B E nnef! 2111 => AU B E nneF! Qln.
Since '1111 is an algebra of subsets of X, we have X e '1111 for every n e N. Then
X E nneH SJ(,. This verifies 1°.
Suppose A E nneH 2l,. Then A E '1111 for every n EN. Then since 2ln is an algebra of
subsets of X, we have Ac E '1111 for every n E N. Then Ac E nnef:l '11n. This verifies 2°.
Suppose A, B E nneil 2ln. Then A, B E Q(, for every n E N. Then since Q(, is an
algebra of subsets of X, we have A U B e Ql11 for every n E N. Then AU B E nneli 2111•
This verifies 3°. This completes the proof that nne!' 2ln is an algebra of subsets of X. I
Prob.l.ll. Let (X, Ql) be a measurable space. Let us call an Ql-measurable subset E of X
an atom in the measurable space (X, 21) if E i= 0 and 0 and E are the only 21-measurable
subsets of E. Show that if Et and E2 are two distinct atoms in (X, Ql) then they are disjoint.
Proof. Let Et and E2 be two distinct atoms in (X, 21). Then Et i= E2. To show that Et
and E2 are disjoint. that is, Et n E2 = 0, let us assume the contrary, that is, Et n E2 i= 0.
Now Et n E2, being a Ql-measurable subset of an atom Et, must be either equal to 0 or
equal to Et. Since we are assuming Et n E2 i= 0, we must have Et n E2 = Et. Similarly
Et n E2, being a Q(-measurable subset of an atom E2, must be either equal to 0 or equal
to E2. Since we are assuming Et n E2 i= 0, we must have E1 n E2 = E2. Then we have
Et = Et n E2 = E2. This contradicts the assumption that Et i= E2. Therefore we must
haveEt nE2 = 0. I
Prob. 1.13. For an arbitrary collection ~ of subsets of a set X, let a(<!:) be the algebra
generated by \f., that is, the smallest algebra of subsets of X containing ~.and let u(\f.) be
the u -algebra generated by ~. Prove the following statements:
(a) a(a( <E)) =a(<!:),
(b) u (u(<E)) = u(<E),
(c) a(<!:) c u(<E),
(d) if<.!: is a finite collection, then a(<!:) = u(<!:),
(e) u(a(<!:)) = u(~).
(Hint for (d): Use Prob. 1.18 below.)
Proof. (a) a(a(\f.)) is the smallest algebra containing a( \f.). Then since a(\f.) is itself an
algebra we have a(a(~)) =a(~).
(b) u (u(<E)) is the smallest u-algebra containing u(<E). Then since u(<E) is itself a
u-algebra we have u(u(~)) = u(\f.).
(c) u(<E) is the smallest u-algebra containing <E and hence an algebra containing <.!:.
Then since a(<E) is the smallest algebra containing<.!: we have a(~) c u(\f.).
(d) (d) is (e) of Prob. 1.18.
(e) Since~ c a(~). we have u(\f.) c u(a(<E)). On the other hand by (c) we have
a(~) c u(<E). Then u(a(<!:)) c u(u(<!:)) = u(~) by (b). Thus we have u(a(<E)) =
u(<E). I
Prob. 1.14. Let (~ln : n e N) be a monotone sequence of a-algebras of subsets of a set X

and let 2( = lim 2tn.
n-+oo
(a) Show that if (2tn : n e N) is a decreasing sequence then 2( is a a-algebra.
(b) Show that if (2ln : n e N) is an increasing sequence then 2l is an algebra but 2l may
not be a a -algebra by constructing an example.
Proof. 1. Let us prove (a). Now if (~ln : n e J\!) is a decreasing sequence then we have
~( = lim ~ln = nneH ~( 71 • A a-algebra is necessarily an algebra. Thus nneT:J 2ln is an
n-+oo ·
algebra by Prob. 1.11. To show that nneLI 2ln is a a -algebra, it remains to prove
neB ieB nefJ
Let (A; : i EN) C nneiJ 2ln. Then (A; : i EN) C 2ln for every n E N. Then since 2tn is
a a-algebra, (A; : i E N) C 2ln implies Uiell A; e 2l71 • Since this holds for every n e N,
we have U;ell A; E nneF 2tn. This proves that nnei'! 2tn is a a-algebra.
2. Let us prove (b). Assume that (2tn : n e N) is an increasing sequence. Then we
have 'll = lim 2ln = UneH 2l71 • A a-algebra is necessarily an algebra. Thus UneH Qln
n-+oo
is an algebra by Prob. 1.11. However Unel1 2tn need not be a a-algebra. Let us construct
two examples to show this.
Example 1. Let X = [0, oo). For each n e N, decompose [0, oo) into disjoint intervals
ln,k =
k-1 k)
[----zil'n fork E N,
2
and let
Jn = {In,k: keN}.
Let 2tn be the collection of all arbitrary unions of members of :Jn (including 0 as the union
of zero members of :Jn) .
Let us show that ~ln is a a -algebra of subsets of X. To start with, we have X = Ukelc' In,k
and therefore X e 2tn. Next let A e 2(.,. Then A is a union of members of :Jn which is
a disjoint collection. Then since X is the union of all members of :J.,, Ac = X\ A is a
union of members of :J71 and hence Ac e 2ln. Finally let (A; : i e J\!) C 2!,.. Since A; is
a union of members of :J71 for every i E N, Uiel'' A; is a union of members of :J71 and thus
Uiell A; e 2!.,. This completes the proof that 2171 is a a-algebra of subsets of X.
The fact that ('ll,. : n e N) is an increasing sequence (that is, ~l,. c ~ln+l for every
n e N), is shown as follows. Let A E 2tn. Then A is a union of members of :J,.. But every
member of J 71 is the union of two members of J n+l· Thus A is a union of members of J n+l
and therefore A e Ql.,+l. This shows that 2l., C 2ln+l·
Now (2!11 : n e N) is an increasing sequence of a -algebras of subsets of X. According
to Prob. 1.11 this implies that UneiJ 2(., is an algebra of subsets of X. Let us show that
UneB Ql,. is not a a-algebra of subsets of X. Let
h = [ 0, D E Jl c 11lt,
h = [ 1, ; 2 ) e Jz c 2lz,
/3 = [1, ;3) E J3 C !2l3,
Then(/,. : n E N) is a sequence in UneH 11l,.. But UiefT I,. ¢ Q(,. for any n E N and
therefore we have UieH I,. ¢ Uner! Ql,.. This shows that Unef! Q(,. is not a a-algebra of
subsets of X.
Example 2. Let X= (0, 1]. For each n e N, decompose (0, 1] into disjoint intervals
ln,k = (k~·
-1 k]
2
, fork= 1, ... ,2",
and let
J,. = {In,k :k= 1, . . . ,2"}.
Let Q(, be the collection of all arbitrary unions of members of J,. The fact that (2(, : n e N)
is an increasing sequence of a-algebras of subsets of X is proved by the same arguments as
in Example 1 above. Then Unen 2(, is an algebra of subsets of X by Prob. 1.11.
To show that Unen 2(1J is not a a-algebra, we show that there exists a sequence (A, :
n E N) in Unei'.l 21, such that nneH A, f/ UneH 21,. For each n E N, let
A, = ( -2"- 1, -2"]
2" 2"
E J, C Q(, C u
neH
11l,.
Then we have
n A, = {1} ¢ Ql, for any n E N
Prob. 1.15. Let Q:: = {At, ... , An} be a disjoint collection ofnonempty subsets of a set X
such that U~=l Ai = X. Let ~ be the collection of all arbitrary unions of members of C:.
(a) Show that~= a(<E), the smallest a-algebra of subsets of X containing Q::.
(b) Show that the cardinality of a(C:) is equal to 2n.
Proof. 1. Let us show first that '& is a a -algebra of subsets of X. For this purpose we verify
the following conditions:
1° X E ~-
20 F E ~ ::::} Fe E '8.
3° (Fk : k E N) C '8 => UkeJr Fk E '8.
To start with, we have X = U~=t ~. Thus X is a union of members of Q:: and therefore
X E ~-This verifies 1°.
Let Fe l$. Then F is a union of members of the disjoint collection <E ={At, ... , An}.
Then since X = U?=l Ai, Fe = X \ F is a union of members of <E and hence Fe E ~
This verifies 2°.
Let (F~; : k E N) c 'lf. Then F1c is a union of members of Q:: for every k E Nand then
Ukeil F" is a union of members of <E and therefore Utel·l Fk E 6. This verifies 3° and
completes the proof that i5 is a a -algebra of subsets of X.
l. Let us show that Q:: c '8. Now i5 is the collection of all arbitrary unions of members
ofthecollection <E ={At, ... , An}. ThusAi E ~foreveryi = 1, ... , n andhenceC: c ~-
3. Let us show that'& = a(C:), the smallest a-algebra of subsets of X containing IE.
We showed above that 6 is a a-algebra of subsets of X containing <E. To show that 6 is
the smallest a -algebra of subsets of X containing Q:, let us assume the contrary. Then there
exists a a-algebra <5 of subsets of X containing <E such that <5 c ~and 15 #:- 'lf. Then there
exists Fo E i5 such that Fo ¢ 15. Now our F E '8 is a union of members of the collection
<E. Since 15 is a a-algebra of subsets of X containing (!;, 15 contains every finite union of
members of C:. Since <E is a finite collection, an arbitrary union of members of <E is a finite
union of members of Q::. Thus 15 contains every union of members of Q::. Then 15 contains
our Fo. This is a contradiction. Therefore 6 must be the smallest a-algebra of subsets of
X containing C:.
4. Since a (<E) = 6, to show that the cardinality of a (<E) is equal to 2", we show that the
cardinality of 6 is equal to 2". Now ~is the collection of all arbitrary unions of members
of the disjoint collection C: ={At, ... , An} of non-empty subsets of X. Th form a union
of members of Q::, we either select At or we do not select At and then we either select A2
or we do not select A2 and so on until we either select An or we do not select An. Thus
there are 2n ways of forming a union of members of C:. Any 2 different ways of forming a
union result in 2 distinct unions since <E is a disjoint collection of non-empty sets. Thus the
cardinality of ~ is equal to 2". 1
Prob. 1.16. Let <E = {Ai : i E N} be a disjoint collection of nonempty subsets of a set X
such that U; ei'l ~ = X. Let ~ be the collection of all arbitrary unions of members of <!:.
(a) Show that 6 = u(<E), the smallest u-algebra of subsets of X containing <E.
(b) Show that the cardinality of u(<E) is equal to 2Mo.
Proof. 1. To show that~ is au-algebra of subsets of X, we verify that~ satisfies the

following conditions:
1° X E ~-
20 F E '8 ::::} Fe E '8.
3° (Fk : k E N) C 6 ::::} UkeH Fk E '8.
Now X= UieH ~-Thus X E ~-This verifies 1°.
Let F E '8. Then F is a union of members of the disjoint collection <E = {Ai : i E N}.
Then since X = UieH ~, Fe = X \ F is a union of members of <E and hence Fe E '8.
This verifies 2°.
Let (Fk : k E N) c ~. Then Fk is a union of members of IE for every k E N and then
Uker• Fk is a union of members of <E and therefore Ukell F1r. E 6. This verifies 3° and
completes the proof that 6 is a u -algebra of subsets of X.
2. Let us show that '8 = u (<E). Now '8 is the collection of all arbitrary unions of
members of the collection <E = { ~ : i E N}. Then ~, as the union of one member of <E, is
in~ for every i EN. Thus <E c ~-Then 6 is a u-algebraofsubsets of X containing<!:. To
show that~ is the smallest u-algebra of subsets of X containing <!:,assume the contrtary.
Thus we assume that there exists a u -algebra 15 of subsets of X containing <E such that
1.5 c 6 and l5 =/:. 6 . Then there exists F E 6 such that F ¢ ® . Now F E 6 is a union
of members of IE. Since <E is a countable collection, F is a union of at most countably
many members of <E union of members of <E. Then since l5 is a u-algebra of subsets of
X containing<!:, 1.5 must contain every union of countably members of <E. Thus 1.5 must
contain F . This is a contradiction. This proves that ~ = u (<E).
3. Let us show that the cardinality of u (<E) is equal to 2No. Since u (<E) = ~, we show
that the cardinality of 6 is equal to 2No. Now 6 is the collection of all arbitrary unions of
members of the disjoint countable collection <E = {~ : i E N} of non-empty subsets of
X. To form a union of members of <E, we either select At or we do not select At and then
we either select A2 or we do not select A2 and so on indefinitely. Thus there are 2No ways
of forming a union of members of <E. Any 2 different ways of forming a union result in 2
distinct unions since <E is a disjoint collection of non-empty sets. Thus the cardinality of '8
is equal to 2No. 1
Prob.1.17. Show that a a -algebra of subsets of a set cannot be acountably infinite collection,
that is, it is either a finite or an uncountable collection.
Proof. Let Ql be a a -algebra of subsets of a set X. Then Ql may be a finite collection. For
instance the collection {0, X} is trivially a a-algebra of subsets of X and it consists of 2
members. We show below that if a a -algebra Ql of subsets of a set X is an infinite collection
then it is an uncountable collection.
1. We show first that if~( is an infinite collection then there exists a strictly decreasing
sequence (An : n E N) of non-empty members of ~l, strictly decreasing in the sense that
An :::) An+1 and A,. ¥- An+t for n E N.
Let A E ~(. We say that A is divisible if there exist A', A'' E ~( such that A' ¥- 0,
A" ¥- 0, A' n A'' = 0 and A' U A" = A. When A is divisible, we call the collection
{A', A''} a division of A.
Observe that A e mis divisible if and only if there exists B e msuch that A n B ;;/; 0
and An Be¥- 0. In this case, {An B, An Be} is a division of A and we say that B divides
A into {An B, An Be}.
Let us write [A : At, ... , Anl to indicate that {At, ... , An} is a disjoint collection of
non-empty members of Q( such that X = U~=t Ai:.
Let us show that X E Ql is divisible. Since Ql is an infinite collection, there exists
At E Ql such that At #- 0 and At ¥- X. Let A2 =A~. Then we have A2 ¥- 0, At n A2 = 0
and At U A2 =X. This shows that X is divisible and {At, A2} is a division of X. Then we
have [X : At. A2].
Let us show next that at least one in the collection [X: At, A2] is divisible. Since Ql is
an infinite collection, there exists B E Q( such that B ¥- 0, B ¥-X, B ¥- At and B ¥- A2.
Since X= At UA2, such BE~( divides atleastoneofthecollection {At, A2}. If B divides
At into {At,t. At,2} then we have [X : At,t, At,2. A2] and if B divides A2 into {A2,1, A2,2}
then we have [X : At, A2,1, A2.2l.
Let us showthatifwehave [X : Au, At,2. A2] thenatleastonememberofthecollection
[X : At,t, At,2. A2l is divisible. Consider the collection:
Since Ql is an infinite collection there exists B E Ql that is not any in the finite collection
above. Such B E Ql divides at least one of the collection [X : At, t, At,2, A2].
Similarly if we have [X: At, A2,t. A2,2l then, by the same argument as above, at least
one member of the collection [X : At, A2,t, A2,2l is divisible.
Let us show that this process of division can be repeated indefinitely. Suppose that after
dividing k times we have a collection:
[X: At. ... , Ai:+1l·

Consider the sets:
0, X, At, ... ,A.t+t,
(.t!,t)! unions of2 members of {At, ... , A.t+l},
<.t;,t)! unions of 3 members of {A1 , • • • , Ak+t},
<.tt11) 1 unions of k members of {At, . . . , A.t+d·
This is a finite collection of members of 2(. Then since 2( is an infinite collection, there
exists B E 2l that is not any in the finite collection above. Such B E 2l divides at least one
member of the collection [X : At, ... , A.t+l ]. This shows that the process of division can
be repeated indefinitely. This then implies the existence of a strictly decreasing sequence
of non-empty members of2(, (Ail' Ai 1,i2 , A; 1,i2 ,i3 , . . . ), where i,. assumes the values {1, 0}
for11E N.
2. We showed above the existence of a strictly decreasing sequence (An : 11 E N) of
non-empty members of 2(. For 11 E N,let B,. = A,. \ An+1· Then {B,. : 11 E N} is a disjoint
collection of non-empty members of 2t. Let us define
B! = B,. and B~ = 0 for 11 E N.
Let J.. = (J..,. : n E N) where J..,. assumes the values {1, 0} for 11 E N. Let A be the collection
of all sequences J... Then the cardinality of A is equal to 2~0 . Corresponding to}.. E A given
by J.. = (J..,. : 11 E N) define a subset EA. of X by setting
E A. -- BA.l
1 U BA.2
2 U BA.3
3 U · · · -- u
neH
BJ.~
n E "'
:.a.
Let us define a mapping qJ of A into 2t by setting
qJ(J..) = EJ. E 2l for}.. E A.
Let us show that the mapping qJ is one-to-one. Suppose J..', J.." E A and J..' ;f. J..". Now
J..' ;f. J.." implies that there exists no E N such that 1..:.0 ;f. 1..::0. There are two possible cases:
Case 1 with 1..:.0 = 1 and J..::O = 0 and 1..:.0 = 0 and 1..::0 = 1. In Case 1, the 11o-th component
of the union EJ.' is B110 and the 11o-th component of the union EJ." is 0. Since {B,. : 11 E N}
is a disjoint collection of non-empty members of 2(, this implies that E),! ;f. EA."· In Case
2, the no-th component of the union EA.' is 0 and the no-th component of the union EA." is
B 110 and this implies that EJ.' :f. EJ."· Thus we have shown that if J..' :f. J.." then EJ.' :f. EJ."·
This proves that the mapping qJ of A into 2t is one-to-one. Then since the cardinality of
A is equal to 2~0 , the cardinality of 2( is at least equal to 2~0 • This shows that 2( is an
uncountable collection. 1
Prob. 1.18. Let ([ = {Et. · · · , En} be a finite collection of distinct, but not necessarily
disjoint, subsets of a set X. Let :D be the collection of all subsets of X of the type:
Ei1 n Ei2 n ... n E!n,

where Ai assumes the values {1, 0} and El = Ei and E? = Ef fori = 1, ... , n. Let lS be
the collection of all arbitrary unions of members of :D.
(a) Show that any two distinct members of :D are necessarily disjoint, that is, :D is a disjoint
collection.
(b) Show that the cardinality of :D is at most 2n.
(c) Show that lS =a(([).
(d) Show that the cardinality of a(([) has at most 22n.
(e) Show that a(([)= a(([).
Remark. For an arbitrary collection ([of subsets of a set X, the smallest a-algebra of
subsets of X containing ([,a(([), always exists according to Theorem 1.11. Prob. 1.18
presents a method of constructing a ( ([) for the case that ([ is a finite collection.
Proof. 1. Let us prove (a). Let D', D" E :D. Then we have
D' = E~1 n E~ n · · · n E!~,

J,." 1" J,."
D" = E 11 n E'? n · · · n Enn.
J,.' J,."
Now if E;' = E;' for every i = 1, ... , n, then D' = D". Thus D' of:. D" implies that there
exists at least one i such that Et: of:. Et:', that is, >..; of:. A?, Then we have either Case 1:
).' )."
)..; =;= 1 and )..7 = ?, so that E/ = E; and E/ = ~f or c:se 2: )..~ = 0 and )..7 = 1 s~ that
E~; = E'f and E~; = E;. In any case we have E~' n E~; = fit Then since D' c E~; and
D" c E~, we have D' n D" = 111. This shows that :D is a disjoint collection.
2. Let us prove (b). Let A be the collection of all n-term sequences ), = (At, ... , An)
where )..; assumes the values {1, 0} for i = 1, ... , n. The cardinality of the set A is equal
to 2n. Let us define a mapping rp of A into :D by setting
tp(A) = Ei1 n Ei2 n .. · n E!n E :D for A = (At. ... , An) E A.
Every D E :Dis given by D = Ei1 n Ei2 n · · · n E!". With),= (At, ... , An), we have
rp (A) = D. This shows that rp maps A onto :D. However the mapping rp need not be one-to-
one. Consider an example in whichn = 4andEt c E2 andE3 c E4. Let>..'= (1, 0, 1, 1)
and A11 = (1, 1, 1, 0). We have)..' of:. A11 • However we have
rp(J..') = rp((l, 0, 1, 1)) = Et n Ei n E3 n E4 = 111 n E3 n E4 = 111,

rp(J..") = rp((l, 1, 1, 0)) = E1 n E2 n E3 n E( = Et n E2 n 111 = 111,
so that rp(J..') = Ill = rp(J.."). This shows that the mapping rp of A onto :D need not be
one-to-one. Then the cardinality of :D cannot exceed that of A and is hence at most equal
to2".
3. Let us prove (c), that is, if= a(<E).

3.1. First of all let us show that ~ is an algebra of subsets of X. Thus we are to verify:
1° X E 'lf.
2° F E if =} pc E if.
3° F1, F2 e ~ =? F1 U F2 E ~-
Letx eX. For every i = 1, ... , n we have Ef U E? = E; U Ef =X. Thus x E E;1
where /..; = 1 or /..; = 0. Since this is true for every i = 1, ... , n we have
x E E~ 1 n Ei2
n · · · n E!" = D E :D.
Thus every x E X is contained in some D E :D. This implies that X = Une:D D E '&.
This verifies 1°.
LetF e if. ThenFisaunionofmembersof:D. WeshowedabovethatX = Une:D D,
that is, X is the union of all members of :D. Now :D is a disjoint collection as we showed
in (a). Then Fe = X\ F is a union of members of :D and thus Fe E ~- This verifies 2°.
Let F1, F2 e 'lf. Then F1 is a union of members of :D and so is F2. Then F1 U F2 is
a union of members of :D and therefore F1 U F2 e ~. This verifies 3 o and completes the
proof that'& is an algebra of subsets of X.
3.2. Let us show that If C ~- Since If= {E1, · · · , En}, it suffices to show that E; E if
for every i = 1, ... , n . We showed in 2 above that ~(A) =:D. For/.. = 0~-1. ... , An) e A
having Ai = 1, we have
~(A) = E~ 1 n ... n E; n ... n E!n c E;,
and for A = (Al, ... , An) e A having Ai = 0, we have
~(A) 1
= E~ n ... n Ef n · · · n E!• c Ef.
Thus we have
U ~(/..) c E;,
>.eA witlU;=l
(1)
{ u ~(A) C Ef.
>.eA with .1.;=0
Now
(2) { u
J..eA withJ..1=1
~(A)} U { u
J..eA withJ..1=0
~(A)} = U~(A) = U D =X.
J.eA De:D
On the other hand, we have

(3) E; U Ef = X and E; n Ef = ~-
Then (1), (2) and (3) imply
u ~(/..) = E;,
{
J.eA with .l.1=l
(4)
u
J.eA with J.1=0
~(A)= Ef.
Since q~(A.) is a member of :D for every;.. E A as we pointed out in 1, (4) shows that E; is
a union of members of :D and therefore E; E ~. This completes the proof that <E c ~.
3.3. Let us show that'S= a( <E), the smallest algebra of subsets of X containing <E. We
have shown in 3.1 and 3.2 that 'S is an algebra of subsets of X containing <E. Let ~ be an
algebra of subsets of X containing <E. Let us show that~ c ~- Since <E c 15, we have
E1, ... , E,. E 15. Then since 15 is an algebra, we have Ef, ... , E~ E ~- Then again since
Ei
15 is an algebra, we have E~' n 2 n · · · n E!~ E 15. This shows that every member of :D
is in 15 and hence we have :D c 15. Then since 15 is an algebra and :D is a finite collection
so that an arbitrary union of members of :D is necessarily a union of finitely many members,
the algebra 15 contains every arbitrary union of members of :D. Therefore we have 'S c 15.
This shows that 'S is the smallest algebra of subsets of X containing <E.
4. Let us prove (d). By (c), we have a( <E) = ~- Thus to show that the cardinality of
a (<E) is at most 22n, we show that the cardinality of~ is at most 2 2". Now ~ is the collection
of all arbitrary unions of members of :D = {Dt, . .. , Dm} where m :::=: 2" by (b).
Th form a union of members of :D, for every i = 1, ... , m, we have 2 choices, that is,
we either select D; or we do not select D;. Thus we have 2m different choices in forming a
union of members of :D. Since :D is a disjoint collection, two different choices among the
2m choices result in two distinct unions. Thus the cardinality of ~ is equal to 2m ::::=: 2 2".
5. Let us prove (e). Now a( <E) is an algebra of subsets of X containing <E. According
to (d), a( <E) is a finite collection. Thus a( <E) is trivially a a-algebra of subsets of X .
Let us show that a(<E) = a(<E), the smallest a-algebra of subsets of X containing <E.
Let 15 be a a-algebra of subsets of X containing Q:. Then we have :D c 15. Since :Dis a
finite collection, a union of members of :D is necessarily a union of finitely many members
of :D. Then the a -algebra 15 contains every union of members of ::D. Thus we have~ c 15.
But we have ~ = a(<E) by (c). Thus we have a( <E) c 15. This shows that a( <E) is the
smallest a-algebra of subsets of X containing <E, that is, a(<E) = a(<E). 1
Prob. 1.19. Let <E be an arbitrary collection of subsets of a set X. Consider a( <E), the
smallest algebra of subsets of X containing<!.:. Show that for every A e a(<!:) there exists
a finite subcollection <E A of IE depending on A such that A e a ( <E.4.).
Proof. Let~ be the collection ofevery A e a(<!:) such that there exists a finite subcollection
lEA of IE such that A E a(lEA.).
1. Let us show that ~ ;;f. ~ and indeed we have IE c ~. Select E e IE arbitrarily. Then
E e a(IE). Moreover with the finite subcollection {E} of IE, we have E e a({E}). Thus
E e ~- Since this holds for an arbitrary E e <!:,we have IE c ~.
2. Let us show that ~ is an algebra of subsets of X. For this purpose we verify that .~
1° X E 'S.
2° A E ·~ =} Ac E 'S.
3° A, B E ~ =} AU B E ~.
For every E e <!:we have E e a({E}). Then since a({E}) is an algebra of subsets of
X, we have X E a({E}). Thus X E ;)'. This verifies 1°.
If A E ~.then A e a(<!:A) where <!:A is a finite subcollection of<!:. Then since a( lEA)
is an algebra of subsets of X, A e a(IEA.) implies Ac e a(<!:A.). Then Ac e ;)'.This verifies
20.
Suppose A, B e ~. Then A e a( lEA) where lEA is a finite subcollection of IE and
B e a(IEB) where IEB is a finite subcollection of <!:. Let IEA.uB = lEA U IEB, a finite
subcollection of IE. Then since lEA c IEAuB and IEB c IEAuB, we have
A E a( lEA) C a(IEAuB),
B E a(IEB) C a(IEAuB).
Then since a(IEAuB) is analgebraofsubsets of X, we have AU BE a(IEAuB). This shows

that A U B e ;)' and verifies 3 o. This completes the proof that ~ is an algebra of subsets of
X.
3. We have shown above that ;)' is an algebra of subsets of X containing IE. Then since
a(<!:) is the smallest algebra of subsets of X containing <!:,we have a(<!:) c ;)'. Then every
A e a(IE) is in~ and thus for every A e a(IE) there exists a finite subcollection lEA of IE
such that A E a(IEA). I
Prob. 1.20. Let <E be an arbitrary collection of subsets of a set X. Consider a(<E), the
smallest a-algebra of subsets of X containing <E. Show that for every A e a(<E) there
exists an at most countable subcollection <fA of <E depending on A such that A e a( <fA).
Proof. Let ~be the collection of every A e a (<E) such that there exists an at most countable
subcollection lEA of <E such that A e a(f.EA).
1. Let us show that lS of. 0 and moreover we have <E c lS. Pick E e <E arbitrarily. Then
E e a(r.E). Furthermore with the finite subcollection {E} of r.E, we have E e a({E}). Thus
E e ~- Since this holds for an arbitrary E e IE, we have IE c i5.
l. Let us show that.~ is a a-algebra of subsets of X. Thus we are to verify that lS
1° X E ~-
20 A E lS ==} Ac E 75.
3° (An : n E N) C lS =* Unen A" E l$.
For every E e IE we have E e a({E}). Then since a({E}) is a a-algebra of subsets of

X, we have X E a({E}). Thus X E ~-This verifies 1°.
If A e ~. then A e a(IEA) where lEA is an at most countable subcollection of <E.
Then since a(IEA) is a a-algebra of subsets of X, A e a(IEA) implies Ac e a(IEA). Then
Ac E i5. This verifies 2°.
Let (An : n e N) be a sequence in l$. Then An E lS implies that there exists an at
most countable subcollection f.EA, of r.E such that An E a(IEA,). Let us define an at most
countable subcollection of <E by setting
(1) rz:u ne ro A, = U rz:. ·

"~~
nefJ
Then we have IE A, c r.Eu.eF A, for every n E N and this implies
(2)
Then since a(IEU.e A.) is a a-algebra of subsets of X, (2) implies
(3) U An E a(<EU.er'j A,).

liE I'!
This shows that U11e t'J An E ~and verifies 3°. Thus lS is a a-algebra of subsets of X.
3. In 1 and 2, we showed that lS is aa-algebraofsubsets of X containing IE. Then since
a(<E) is the smallest a-algebra of subsets of X containing IE, we have a(IE) c ~- Then
every A E a(<E) is in lS and thus for every A E a(r.E) there exists an at most countable
subcollection lEA of <E such that A e a(f.EA). 1
Prob. 1.21. Let p, be a measure on a a-algebra Ql of subsets of a set X and let Q(o be a
sub-a-algebra of Qt, that is, 2lo is a a-algebraof subsets of X and 2lo c 2L Show that the
restriction of IL to Q(o is a measure on 2lo.
Proof. Since p, is a measure on a a-algebra Qt of subsets of X, p, satisfies the defining

conditions for a measure:
1° p,(E) E [0, oo] for every E E Qt.
2° p,(lil) = 0.
3° (En : n E N) C 2l, disjoint ::::} !L( UneH En) = LneH !L(En).
Then since Q(o c Q(, 1°, 2° and 3° imply:
4° p,(E) E [0, oo] for every E E 2lo.
5° /L(Iil) = 0.
6° (En : n E N) C 2lo, disjoint ::::} p,( UlleH En) = LneiJI-'(En).
This shows that p, is a measure on the a-algebra 2lo. 1
Prob.1.22. Let (X, Qt,p,) be a measure space. Show that for any Et. Ez E Qt we have the
equality: /L(Et U Ez) + !L(Et n E2) = !L(Et) + !L(Ez).
Proof. Let us write
E1 U E2 = (E1 n E2) U ( E1 \ (E1 n Ez)) U ( Ez \ (E1 n Ez)),
where the right side is a union of 3 disjoint sets. Then we have
p,(Et U Ez) = p,(Et n Ez) + p,(Et \ (E1 n Ez)) + p,( E2 \ (Et n Ez) ).
Then adding p,(E 1 n E2) on both sides of the last equality, we have
!L(Et UEz) + !L(Et n E2) = {IL(Et \ (Et n Ez)) + !L(Et n Ez)}

+ {p,(E1 \ (E2 n E2)) + p,(E1 n E2)}
= p,(Et) + p,(E2). I
Prob. 1.23. Let (X, S1l) be a measurable space. Let JLk be a measure on the a-algebra Ql
of subsets of X and let at ~ 0 for every k e N. Define a set function f.L on S1l by setting
f.L = LteH akf.Lk· Show that f.L is a measure on Ql.
Proof. To show that f.L is a measure on m, we verify that f.L satisfies the following conditions:
1° f.L(E) e [0, oo] for every E e 2{.
2° f.L(0) = 0.
3° (En : n E N) c m. disjoint::::} f.L( Unell En) = Lnel l JL(En).
Now for every E e 2l, since wt(E) e [O.oo] and ak ~ 0 for every k e N, we have
f.L(E) = Lket.l atf.Lk(E) E [0, oo]. This verifies 1°.
Secondly we have f.Lk(0) = 0 for every k E Nand then f.L(0) = LteF akf.Lt(llJ) = 0.
This verifies 2°.
Let (En : n e N) be a disjoint sequence in 2(. Then we have
= L {L ak f.Lt(En)} = L f.L(En).
neTT keF neH
This verifies 3°. 1

Prob. 1.24. Let X = (0, oo) and let 3 = {h : k E N} where h = (k- 1, k] fork E N.
Let 2t be the collection of all arbitrary unions of members of J. For every A E 2t let us
define JL(A) to be the number of elements of J that constitute A.
(a) Show that 2t is a a-algebra of subsets of X.
(b) Show that JL is a measure on the u-algebra 2£.
(c) Let (A, : n E N) c 2t where A, = (n, oo) for n E N. Show that for the decreasing
sequence (A,: n EN) we have lim JL(An) 'I- JL( lim A,).
n-+oo n-+oo
Proof. 1. To show that Ql is au-algebra of subsets of X, we verify that Ql satisfies the

1° Xe!ll.
2° A E 2t =} Ac E 2£.
3° (An : n E N) C 2t =} UnEfi A.. E 2£.
Now X= U.tEH l.t. Thus X E 2{. This verifies 1°.
Suppose A E Ql. Then A is a union of members of 3. Since X is the union of all
members of J and since J is a disjoint collection, Ac = X \ A is a union of members of J
and therefore Ac E 2l. This verifies 2°.
Let (An : n E N) C Q(. Then A, E Q( is a union of members of J for every n E Nand
thus UnEH An is a union of members of J and therefore UnEf! A, E 2L This verifies 3 °.
This completes the proof that 2l is a u -algebra of subsets of X.
2. To show that IL is a measure on the u -algebra 2l, we verify that IL satisfies the
1o JL(A) E [0, oo] for every A E 2t.
2° JL(121) = 0.
3° {A, : n E N} C 2l, disjoint =} JL( UnEFI An) = LnEII JL(A,).
But 1o, 2° and 3° follow immediately from the definition of JL(A) as the number of
members of J that constitute A E 2t.
3. Porn E N,letA, = (n, oo). Then A,= U.t~n+l l.tsothatAn E 2tandJL(A11) = oo.
Now (A,; n E N) is a decreasing sequence in 2( and thus lim A, = nnEI<l A, = 121 and
n-+oo
then JL( lim A,) = 0. Then we have
n-+oo
lim JL(A71 )
n.....,.oo
= oo 'I- 0 = JL( n.....,.oo
lim An)·
This proves (c). 1

Prob. 1.25. Let (X, Ql, IL) be a a-finite measure space so that there exists a sequence
(E, : n E N) in Ql such that Unef.·' E, = X and ~L(E,.) < oo for every n E N. Show that
there exists a disjoint sequence (F,. : n e N) in Ql such that UneH F,. = X and fJ.(F,.) < oo
for every n e N.
Proof. Let us define a sequence (F,.: n eN) in Ql by setting
n-l
F1=E1 and F,.=En\UEj forn~2.
j=l
Then (F, : n e N) is a disjoint sequence in Ql and moreover Unel" F,. = Unell E,. We
also have F, c E, and therefore ~L(F,) ::s ~L(E,) < oo for every n e N. 1
Prob. 1.26. Let 5.8 1-i be the Borel a -algebra of subsets of IR, that is, the smallest a -algebra
of subsets of IR containing the collection of all open sets in JR. The Lebesgue measure ILL
is a measure on 5.BH· with the property that for every interval I in IR, ILL (I) = l(I) where
l(l) is the length of I. The Lebesgue measure ILL on 5.8::~: will be constructed in §3. Here
we assume its existence and pose the following problems:
(a) Construct a sequence (E,. : n e N) of sets in 5.BR such that lim E,. exists but
n~oo
lim iLL (E,.) does not exist

n~oo
(b) Construct a sequence (E,. : n e N) of sets in 5.BIR such that lim 1-1-L(E,.) exists but
n~oo
lim E,. does not exist

n~oo
(c) Construct a sequence (E, : n e N) of sets in 5.8 ~~ such that both lim E, and
11~00
lim 1-1-L(E,) exist but ILL( lim

n......,oo n........ oo
E,) ¥= n......,oo
lim ILL(E,).
(d)Showthatforevery x e JR, we have{x} e 5.B,,i and ILL({xl) = 0.
(e) Let Q be the set of all rational numbers in JR. Show that Q e 5.B:Fc and ILL(Q) = 0.
(f) Let P be the set of all irrational numbers in JR. Show that P e ~u. and ILL (P) = oo.
(g) Construct an uncountable union of null sets that is not a null set.
Proof. (a) Let (E,. : n e N) be a disjoint sequence of intervals in R with ILL(E,) =

l(E,) = 1 when n is odd and ILL(E,) = l(E,.) = 2 when n is even. Then lim J-1-L(E,)
n~oo
does not exist. On the other hand, disjointness of the sequence (E,. : n e N) implies that
lim E, exists and lim E,. = Ill by Prob. 1.3.
n~oo n~oo
(b) LetA, BE~~~ besuchthatA o:/= Ill, B o:/= Ill, AnB = lllandiLL(A) = ILL(B) = c >
0. (For instance, let A = (0, 1) and B = (1, 2). Then we have 1-1-L (A) =ILL (B) = 1 > 0.)
Let E, = A for odd nand E,. = B for even n. Then we have iLL (E,) = c for every n e N
and lim ILL(E11 ) =c.
n~oo
liminf E, = {x E R : x E E, for all but finitely many n E N}= Ill,

n~oo
lim sup E, = {x e IR: x e E,. for infinitely many n eN} =AU B.

11~00
Thus we have lim inf En =f. lim sup En and this implies that lim En does not exist.
n-+oo n-+oo n-+oo
(c)LetEn = (n, oo)foreveryn eN. Then(En: n e N)isadecreasingsequenceofsets
andthisimpliesthat lim En= nnen En=llJ.ThenwehaveiLL( lim En)=ILL(IlJ)=O.
n-+oo n.....,.oo
On the other hand, we have ILL(En) = ILL((n, oo)) = oo for every n e Nand then
=
lim ILL (En) 00.
n-+oo
(d) Letx e IR and consider {x}. Let En= (x- ~. x + ~) forn eN. Then En is an open
setin!RandthereforeEn e ~:r·. SinceEnisanintervalin!R,wehaveiLL(En) =l(En) = ~
Nowwehave nnen En= {x}. Since (En: n eN) C ~r" and ~r" is au-algebra, we have
nneB E,. E ~J!: . Thus we have {x} E ~r,:.
Since (E11 : n E N) is a decreasing sequence of sets, we have lim En = nneH E,. =
n-+oo
{x}. The sequence is contained in a set A e ~ 12 with ILL(A) < oo. Indeed if we let
A= (x-1,x+1),thenA e ~y, withiLL(A) = l(A) = 2 < oo,andEn = (x-~,x+~) C
(x- 1, x + 1) = A for every n e N. Then by Theorem 1.28 we have
2
ILL ( lim En) = lim ILL (En) = lim - = 0.
n...... oo n.-+oo n.....,.oo n
Thus we have ILL ( {x}) = 0.

(e) Let Q be the set of all rational numbers in R. Since there are only countably many
rational numbers, Q can be represented as Q = {x11 : n e N}. Then Q = Unel!{xn}.
By (d) we have {xn} e ~P for every n e N. Then since ~E is a a-algebra we have
Unen{Xn} e ~r,; . that is, Q e ~J,;.
Now ({xn}: n eN) is disjoint sequence of members of~ ~~ - Then by the countable
additivity of ILL on ~1 ; , we have
This shows that ILL (Q) = 0.

(f) Let P be the set of all irrational numbers in JR. Then P U Q = IR and P n Q = 0.
ThusP = Qc. By(e)wehaveQ e ~r.,: . Thensince~ r..: isau-algebra,wehaveQc e ~Ir!-.
that is, P e ~~ ;,.Then by the additivity of ILL on ~ u! , we have
ILL (IR) = ILL (P u Q) =ILL (P) +ILL (Q) =ILL (P).

Thus we have JLL (P) = ILc. (Iff.)= oo.
(g) The set P of all irrational numbers is an uncountable set. Thus we can write P =
{xa : a e A} = UaeA {xa} where A is an uncountable index set. Now {xa} is a null set for
every a e A according to (e). P is then an uncountable union of null sets. But ILL ( P) = oo
by (f) and thus P is not a null set. 1
Prob.1.27. Consider the measurable space (OC, ~(OC)) where 1-~(0C) is the a-algebraof all
subsets of OC. Let us define a set function IL on ~(R) by setting JL(E) forE e ~(IR) to be
equal to the number of elements in E when Eisa finite set and setting JL(E) = oo when E
is an infinite set
(a) Show that IL is a measure on ~(OC ).
(b) Show that the measure IL is not a-finite.
Proof. 1. Let us show that IL is a measure on the a-algebra ~(IR) of subsets of OC. From
the definition of IL we have JL(E) e [0, oo] for every E e 1-i(IR) and JL(0) = 0. Let us
show that IL is countably additive on ~(IR ), that is,
(En : n E N) C 1-i(OC), disjoint => JL( U En) = L JL(En)-

neH nEl'l
Now JL( Une\ 1 En) is equal to the number of elements in the set Unel" En and this is equal
to the sum of the number of elements in En which is equal to JL(En) for n e N. This proves
the countable additivity of IL on 1-t(OC) and completes the proof that IL is a measure on the
a-algebra ~(IR )ofsubsets of iR.
2. Let us show that IL is not a-finite. Assume that IL is a-finite. Then there exists a
disjoint sequence (En : n E N) C ~(IR) such that Unefl En = R and JL(En) < oo for
every n e N. Now JL(En) < oo implies that En is a finite set for every n E N. Then
IR = UneF En has at most countably many elements. This contradicts the fact that IR is an
uncountable set. Therefore JL cannot be a-finite. 1
Prob. 1.28. Let (X,~(, /1-) be a finite measure space. Let IE = {E). : A E A} be a disjoint
collection of members of 2l such that /1-( E).) > 0 for every A E A. Show that IE is at most
a countable collection.
Proof. Since 11-(E).) > 0, there exists k E N such that 11-(E).) 2: l·

For each k E N,let IE1
be the subcollection of IE consisting of such E). that 11-(E).) 2: l·
Then every member of IE
belongs to IEk for some k E N and thus we have
IE= U IE1.
keH
To show that the collection <E is at most a countable collection, assume the contrary, that
is, assume that IE is an uncountable collection. Now if IE1 is a finite collection for every
k E N then IE = U.teF IE.t is at most a countable collection, contradicting the assumption
that IE is an uncountable collection. Thus we must have ko E N such that IE.to is an infinite
collection. Then we can select a sequence (E11 : n E N) of distinct members of IE.to. Being a
subcollection of the disjoint collection IE, the collection {E11 : n E N} is a disjoint collection.
Now Unel' En E 2l and UneH En C X and thus
IL( U E,) ~ /L(X) < oo.

neU
On the other hand, the disjointness of the collection {En : n EN} c IE.to implies
IL( UEn)= LIL(En) 2: L ~ = 00.

neH neH neH
This is a contradiction. Therefore IE cannot be an uncountable collection and must be at

most a countable collection. 1
Prob. 1.29. Let X be a countably infinite set and let '1l be the a -algebra of all subsets of X.
Define a set function JL on 2( by defining for every E e 2(
(E) = { 0 if E is ~finite set,
JL oo otherwise.
(a) Show that f.L is additive but not countably additive on Ql.
(b) Show that X is the limit of an increasing sequence (En: n E N) in Ql with f.L(E,.) = 0
for all n, but JL(X) = oo.
Proof. 1. Let us show that JL is additive on 2!, that is,
There are 3 cases to consider.

Case 1. Suppose both Et and E2 are finite sets. In this case, E1 U E2 is also a finite set.
Thus we have JL(Et) = 0, p,(E2) = 0 and p,(E1 U E2) = 0 and then
Case 2. Suppose E 1 is a finite set and E2 is an infinite set. In this case, E 1 U E2 is a

finite set Thus we have p,(E1) = 0, JL(E2) = oo and JL(Et U E2) = oo and then
Case 1. Suppose both Et and E2 are infinite sets. In this case, E 1U E2 is also an infinite
set. Thus we have JL(Et) = oo, JL(E2) = oo and p,(Et U E2) = oo and then
2. Let us show that f.L is not countably additive on 2!. Now since X is a countably infinite
set, X canberepresentedby X= {x,.: n e bbn}. Now{x,.} e 2tandJL({x,.}) = Oforevery
n E N and {{xn} : n E N} is a disjoint countable collection. Moreover Unen {Xn} = X .
Then
U{x,.})
f.L( = JL(X) = oo ::/:0 = LJL({x,.}).
~H ~N
This shows that f.L is not countably additive on 2!.

3. Let us show that X is the limit of an increasing sequence (En : n E N) in 2{ with
JL(E,.) = 0 for all n. With the representation of X as X = {x,. : n e N}, let
E 11 = {xt, . .. ,xn} forn eN.
Since En is a finite set we have p,(En) = 0 for every n e N. Now (En : n e N) is an

increasing sequence in 2( and thus lim E,. = UneH E,. =X. I
n->oo
Prob.1.30. Let X be an arbitrary infinite set. We say that a subset A of X is cofinite if Ac

is a finite set. Let 2t be the collection of all the finite and the cofinite subsets of the set X.
(a) Show that Ql is an algebra of subsets of X.
(b) Show that 2t is not a a-algebra.
Proof. 1. To show that Q( is an algebra of subsets of X, we show that Q( satisfies the

1° X E 2t.
2° A E Q( ::::} AC E Qt.
3° A, B E Ql ::::} AU B E Qt.
Consider X. We have xc = 0, a finite set. Thus X is a cofinite set and then X E Qt.
This verifies 1o.
Suppose A E 2t. Then A is either a finite set or a cofinite set. If A is a finite set, then A c
is a cofinite set so that Ac E 2t. If A is a cofinite set then Ac is a finite set so that Ae E 2t.
This shows that if A E 2t then Ac E Ql, which verifies 2°.
Suppose A, B E Qt. Let us show that A U B E Qt. There are three cases to consider.
(i). Consider the case that both A and B are finite sets. In this case, A U B is a finite set
and therefore A U B E Ql.
(ii). Consider the case that one of the two sets is a finite set and the other is a cofinite set,
say A is a finite set and B is a cofinite set Now (A U B)c = Ac n Be. Since B is a cofinite
set, Be is a finite set. Then Ac n Be c Be is a finite set and thus Ac n Be E Q(. Therefore
(A U B)c E 21. This implies A U B E 2t according to 2° which we verified above.
(iii) Consider the case that both A and B are cofinite sets. In this case both Ae and Be
are finite sets and then (A U B)C = Ac n Be is a finite set. Thus (A U B)c E Q( and this
implies AU B E Q( according to 2°. This completes the proof that 2t is an algebra of subsets
of X.
2. Let us show that Ql is not a a -algebra. We show this by showing that there exists a
sequence (An : n EN) C 2t such that Unef! An ¢ 2t.
Since X is an infinite set, we can select two sequences of distinct points in X, namely
(Xn : n E N) and (Yn : n E N). Then {x,.} is a finite set so that {xn} E 2t for n E N. Now
Uneil {x11 } = {x11 ; n E N} which is neither finite nor cofinite since {x 11 ; n E NY ::J {y11 : n E
N} is not a finite set. Thus Une1dxn} ¢ 2t. I
Prob.1.31. Let X be an arbitrary uncountable set We say that a subset A of X is co-countable

if Ac is a countable set Let 2t the collection of all the countable and the co-countable subsets
of the set X. Show that !]( is a a -algebra of subsets of X.
(This offers an example that an uncountable union of members of a a-algebra is not a
member of the a-algebra Indeed, let A be a subset of X such that neither A nor Ac is a
countable set so that A, Ac ¢ 2(. Let A be given as A= {xy EX: y E r} where r in an
uncountable set. Then the finite set {xy} e l]l for every y e r, but Uyer{Xy} = A¢ QL)
Proof. To show that 2l is a a -algebra of subsets of X, we show that Q( satisfies the following
conditions:
1° Xe2L
2° A E !]( ::::} Ac E 2l.
3° (An : n E N) C 2l ::::} UPJeH An E 2l.
We have xc = 0, a finite and hence countable set. Thus X is a co-countable set and
then X e Q(. This verifies 1o.
Let A e Q(. Then A is a countable set or a co-countable set. If A is a countable set then
Ac is a co-countable set so that Ac e 2l. If A is a co-countable set then Ac is a countable
set so that Ac e !](. This verifies 2°.
Let (An : n eN) c 2!. Now An e 2timpliesthatAn is acountablesetoraco-countable
setfor n e N. Thus we can write
U An= (U n,.) u (Uc,.)

net'! nel''-' neLl
where Bn is a countable set and Cn is a co-countable set for n e N. Now we have
( UAn) c= ( U Bn) c n( U CPJ) c,

neH neH neE
and
(Ucnr = nc~.
neH nef!
Since Cn is a co-countable set, C~ is a countable set and then nneir C~ is a countable set,
t t
that is, ( Unefo) Cn is a countable set. This implies that ( Unel'! Bn n ( Unei'l Cn is at
countable set, that is, ( UneH An) c is a countable set Then UneH An is a co-countable set
so that Unei! An E 2!. This completes the proof that 2t is a a-algebra of subsets of X. I
Prob. 1.32. Let X be an infinite set and let ~( be the algebra of subsets of X consisting of
the finite and the cofinite subsets of X ( cf. Prob. 1.30). Define a set function IL on ~ by
setting for every A E Ql:
(A) = { 0 if A is finite,
IL 1 if A is cofinite.
(Note that since X is an infinite set, no subset A of X can be both finite and cofinite although
it can be neither.)
(a) Show that IL is additive on the algebra ~-
(b) Show that when X is countably infinite, IL is not countably additive on the algebra~
(c) Show that when X is countably infinite, then X is the limit of an increasing sequence
(An : n E N) in ~(with JL(An) = 0 for every n E N, but JL(X) = 1.
(d) Show that when X is uncountable, then 1.£ is countably additive on the algebra~(.
Proof. (a) Let us show that IL is additive on the algebra~- We are to verify

Case 1. Suppose both At and A2 are finite sets. In this case At U A2 is also a finite set.
Then JL(Al) = 0, JL(A2) = 0, and JL(At U A2) = 0 and then
~.£(At U A2) = 0 = 0 + 0 = JL(At) + JL(A2).

Case 2. Suppose at least one of At and A2 is a cofinite set, say At is a cofinite set. Then
A'i is a finite set. Now At n A2 = 1?1 implies that A2 c A!. Thus A2 is a finite set. Then
we have 11-(At) = 1 and JLCA2) = 0. But (At U A2)c = A'i n ~ C A'i so that (At U A2)c
=
is a finite set and then (At U A2) is a cofinite set and thus JL(At U A2) 1. Then we have
Case 3. Let us show that it is impossible that both At and A2 are cofinite sets. Suppose
both At and A2 are cofinite sets. We showed above that if At is a cofinite set then A2 is
a finite set so that A2 is both cofinite and finite. But no subset of X can be both finite and
cofinite. Therefore it is impossible that both At and A2 are cofinite sets.
This completes the proof that IL is additive on the algebra Ql.
(b) Let us show that when X is a countably infinite set, IL is not countably additive on
the algebra Ql, that is,
{An : n E N} C ~l. disjoint, UAn E ~( '::fo IL( UAn) = L ~.L(An).

nefl neH neU
Let us represent the countably infinite set X as X = {xn : n E N}. Let An = {xn} for every
n E N. Then An is a finite set and thus An E ~and JL(An) = 0 for every n e N. Also
{An; n E N} is a disjoint collection in Q( and UneYl An = X E Ql. Now x c = 0, a finite
set, and thus X is a cofinite set and then JL(X) = 1. Thus we have
11-( U An)= ~.L(X) = 1# 0 = LIL(An)-

neH neF
This shows that p. is not countably additive on the algebra Ql.

(c) With a countably infinite set X represented by X = {x11 : n e N}, let An =
{x1, ... , Xn} for every n E N. Then An is a finite set so that An E Q( and J.L( An) = 0 for every
n e N. Now (An : n e N) is an increasing sequence in Q( and then lim An =
n-+oo
U An = X.
neff
But xc = 111, a finite set, implies that X is a cofinite set so that p.(X) = 1.
(d) Let us show that when X is an uncountable set then p. is countably additive on the
algebra m, that is,
{An: n EN} C Q(, disjoint, UAn E Q( :::> 11-( UAn)= LJ.L(An).

nef:-1 nen neH
Since p.(An) is equal to 0 or 1 for every n E N, the value of LneH p.(An) is equal to a
nonnegative integer or oo. There are 3 cases to consider.
Case 1. Consider the case that we have LneH p.(An) = 0. In this case we have
p.(An) = 0 for every n E N. Now An E Q( and p.(An) = 0 imply that An is a finite set
ThenUnel l An isanatmostcountableset ThensinceXisanuncountableset, (Unel1 Ant
is an infinite set. Thus Uner•.i An is not a cofinite set. Then since Unei·l An e m and every
member of Ql is either a finite set or a cofinite set, UneH An must be a finite set and then
P.( UneH An) = 0. Then we have
IL( U An) = 0 = L p.(An).

nef.l nerJ
Case 2. Consider the case that we have Lnef:T p.(An) = 1. In this case there exists
no e N such that p.(A110 ) = 1 and p.(An) = 0 for every n =I= no. Since Ano e m,
p. (A110 ) = 1 implies that A110 is a cofinite set and thus ~ is a finite set. Now we have
(UAnr = n~c~.
nel<·l nef.l
Thus ( Unell Ant is a finite set so that UneH An is a cofinite set and thus p. ( Unell An) = L
Then we have
u
11-( An)= 1 = LP.(A,).
nel'' neU
Case 3. We show that it is impossible to have Lnel'.' J.L(An) > 1. Suppose we have
Lneff p.(A,.) > 1. Then since J.L(An) is integer-valued, we have LneH J.L(An) ~ 2. This
impliesthatthereexistn1, nz eN, n1 =I= n2, such thatp.(An1 ) = 1 andp.(A112 ) = 1. Then
Ant and An2 are both cofinite sets. Now since A,1 n An2 = 111, we have A,2 c A~ 1 • Since
Ant is a cofinite set, ~. is a finite set. Then the last set inclusion above implies that A 112 is
a finite set and thus An2 is both finite and cofinite. This contradicts the fact that no subset of
X can be both finite and cofinite. This shows that it is impossible to have Lnerr p.( An) > L
This completes the proof that J.L is countably additive on the algebra Ql. 1
Prob.1.33. Let X be an uncountable set and let~( be the u -algebra of subsets of X consisting
of the countable and the co-countable subsets of X ( cf. Prob. 1.31 ). Define a set function
IL on ~( by setting for every A E 2l:
(A) = { 0 if A is countable,
IL 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 IL is countably additive on 21.
Proof. Let us show that IL is countably additive on the u -algebra ~(, that is,
{An: n EN} C ~~. disjoint => 11-( U A,.)= LIL(An).

neH neN

Case 1. Consider the case that we have LnetiiL(An) = 0. In this case we have
IL(An) = 0 for every n E N. This implies that An is a countable set for every n E N and
then UneF An is a countable set and thus IL{ UneH An) = 0. Then we have
IL( uA,.)=
neH
0 = LIL(An).
neH
Case 2. Consider the case that we have Lnel! IL(An) = 1. In this case there exists
no E N such that IL(Ano) = 1 and IL(An) =
0 for every n ;;/- no. Since Ano E 21,
IL(Ano) = 1 implies that Ano is a co-countable set and An is a countable set for every
n ;;/- no. Now we have
(UA,.r=n~c~.
nehl nel'l
Since Ano is a co-countable set, A~ is a countable set and then the last set inclusion above
implies that { Unerr A11 ) c is a countable set and then UneH A 11 is a co-countable set and thus
IL( UneH A,.) = 1. Thus we have
IL( uA,.)=
nerl
1 = LIL(An).
nel'l
Case 3. We show that it is impossible to have Lnel 'IL(A11 ) > 1. Suppose we have
LneH IL(An) > 1. Then since /L(A,.) is integer-valued, we have Lnef!IL(A,.) ~ 2. This
impliesthatthereexistn1,n2 EN, n1 ;;/- n2, such thatp,(A,. 1 ) = 1 andJL(~) = 1. Then
A 111 and A112 are both co-countable sets. Now since A,. 1 n A,.2 = 0, we have A 112 C A~ 1 •
Since A111 is a co-countable set, ~~ is a countable set. Then the last set inclusion above
implies that A,.2 is a countable set and thus A112 is both countable and co-countable. This
contradicts the fact that no subset of X can be both countable and co-countable. This shows
that it is impossible to have Lnen IL(An) > 1.
This completes the proof that IL is countably additive on the u-algebra 2l. 1
E A} c Ql
Prob. 1.34. Given a measure space (X, Ql, ~J-). We say that a collection {AJ.. :A.
is almost disjoint if .A.1, .A.2 E A and .A.1 =I .A.2 imply ~J-(AJ.. 1 n A~)= 0.
(a) Show that if {An : n EN} C Ql is almost disjoint then JL( UneH An) = LneH ~J-(A,.).
(b) Show that if {An : n E N} C Ql is such that 11-( U,.en An) = LneH JL(An) and
~J-(A,.) < oo for every n E N then {An : n E N} is almost disjoint.
(c) Show that if we remove the condition in (b) that ~J-(An) < oo for every n E N then the
condition JL( Unet' An) = Lnen~A-(An) alone does not imply that {A,. : n E N} is almost
disjoint.
Proof. 1. Let us prove (a). Suppose {An : n E N} c Ql is an almost disjoint collection. Let
us define a collection {B11 : n E N} c Ql by setting
n-1
Bt=At and B,.=A11 \UAi forn::::2.
j=l
Then {B11 : n E N} is a disjoint collection in Ql and moreover UnefJ B,. = UneHA,.. Then
we have
(1)
It remains to show that JL(B,.) = JL(A,.) for every n E N. We have 11-(B1) = 11-(A1) since
B1 = At. Thus we need to consider only n 2:: 2. Now for any two subsets E and F of X,
we have E \ F = E \ (E n F). Then for n 2:: 2 we have
11-1 n-1 11-1
(2) Bn =An\ U Ai =An\ (Ann U Aj) =An\ U<An n Aj) .
j=1 j=1 j=1
Since {An : n E N} is an almost disjoint collection, we have

n-1 n-1
(3) 11-( U<A,. n Aj))::::; L'-'(A,. n Aj) = o.
j=1 j=1
Then (2) and (3) imply

n-1
(4) JL(B,.) = JL(An)- JL( U<An n Aj)) = ~J-(An).
j=1
With (1) and (4) we have
ner! neH
This proves (a).
2. Let us prove (b). Thus assume that {An : n E N} c Ql satisfies the conditions:
(5) 11-( U An) = L JL(An) and ~J-(An) < oo for every n E N.

neH nefJ
To show that {An : n e N} is an almost disjoint collection, assume the contrary. Then there
exist j, k E N such that j =I= k and JL( A i n A.t) > 0. Renumber the collection {An : n e N}
if necessary so that j = 1 and k = 2. Then we have JL(Al n A2) > 0. Now
A1 U A2 = A1 U (A2 \AI)= A1 U (A2 \ (A1 n A2)),

and the disjointness of A1 and A2 \ (A1 n A2) implies
(6)
(7)
Combining (6) and (7), we have
(8) JL(Al U A2) = JL(Al) + JL(A2) - JL(Al n A2)

< JL(Al) + JL(A2).
By the countable subadditivity of the measure JL on 2t we have
JL( U An) ~ JL(Al U A2) + L JL(An)

~N n~
< JL(Al) + JL(A2) + LJL(An)

11~3
= LJL(A,).
liE F!
ThiscontradictstheassumptionthatJL( Unel l An) = Lnel! JL(An). Therefore the collection

{An : n e N} must be an almost disjoint collection.
3. Let us construct an example for (c). In the measure space (R, mLL, JLL), let
Al=(-oo,l],A2=(0,2], and A11 =(n-l,n] forn~3.
We have JL(Al) = oo, JL(A2) = 2 and JL(An) = 1 for n ~ 3. We have UneH An = R.

Thus we have
JL( U
An) = JL(R) = 00 = L JL(An).
neH neH
But {A,; n e N} is not an almost disjoint collection since JL(At n A2) = 1 > 0. 1
Prob. 1.35. Let (X, ~(, p.) be a measure space. The symmetric difference of two subsets A
and B of a set X is defined by A.l:.B =(A\ B) U (B \A).
(a) Show that A = B if and only if A!J.B = .0.
(b) Show that AU B = (An B) U (A!J.B).
(c) 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 A.l:.B c (A!J.C) U (C/J.B).
(d) Show that p,(A.l:.B) cS p.(A!J.C) + p.(C!J.B) for any A, B, C E ~(.
(e) Show that p.(A U B) = p.(A n B) + JL(A!J.B) for any A, B E !](.
(f) Show that if p,(A.l:.B) = 0 then p.(A) = p.(B) for any A, B E ~(.
Proof. 1. Let us prove (a). Suppose A.l:.B= .0. Then we have A\ B = Iii and B \ A = Iii.
Now A \ B consists of those elements of A that are not elements of B. Thus A \ B = 0
implies A c B. Similarly B \ A = Iii implies B c A. Thus we have A = B.
Conversely suppose A = B . Then A \ B = Iii and B \ A = Iii and thus we have
A.l:.B = (A \ B) U (B \ A) = 0.
l. Let us prove (b). Now (An B) c AU Band A!J.B =(A\ B) U (B \A) c AU B.
Thus we have
(1) (An B) U (A!J.B) c AU B.
Let us prove the reverse inclusion. Now A U B consists of every point that is in at least one
of the two sets A and B. Such a point is either in only one of the two sets or in both of the
two sets, that is, it is either in A!J.B or in A n B. Thus we have
(2) AU B C (A!J.B) U (An B) .
By (1) and (2), we have A U B = (An B) U (A/J.B).

3. Let us prove (c). By definition we have A!J.B = (A\ B) U (B \A). Now
A = (A\ C) U (An C),

and then
(3) A \ B = ((A\ C) U (An C)) \ B = ((A\ C) \ B) U ((An C) \ B)
c (A\ C) U (C \B) c (A.l:.C) U (C/J.B).
Interchanging the roles of A and B, we have
(4) B \A c (B!J.C) U (C!J.A) .
Then by (3) and (4) we have
A!J.B = (A\ B) U (B \A) c (A!J.C) U (C/J.B).
4. Let us prove (d). By (c) we have A!J.B c (A!J.C) U (C!J.B). Then by the finite
subadditivity of the measure JL on ~ we have
5. Let us prove (e). By (b)wehave AU B =(An B) U (Ali.B). Now An Band Ali.B

are disjoint Then by the additivity of p. on 2! we have
JL(A U B) = p.(A n B)+ p.(Ali.B).
6. Let us prove (f). We are to prove that if A, B E 2( and JL(Ali.B) = 0 then we have
p.(A) = JL(B). Letusobservefirstofallthatifp.(AnB) = oothenJL(A) 2: JL(AnB) = oo
and similarly p.(B) 2: JL(A n B) = oo and then p.(A) = oo = p.(B) and we are done. Thus
it remains to consider the case that JL(A n B) < oo.
Now Ali.B = (A\ B) U (B \ A) is the union of 2 disjoint members of Ql and thus
p.(Ali.B) = p.(A \B)+ p.(B \A).

Then the assumption p.(Ali.B) = 0 implies
(5) p.(A \ B) = 0 and p.(B \ A) = 0.
Let us write
A\ B = A \ (A n B).
Now A n B c A and moreover p.(A n B) < oo. This implies
(6) p.(A \B) = 11.( A\ (An B)) = JL(A) - JL(A n B).
Combining (6) and the first equality in (5), we have
(7) JL(A) = JL(A n B) .
Interchanging the roles of A and B in the argument above, we have
(8) p.(B) = p.(B n A) .

With (7) and (8), we have p.(A) = p.(B). 1
Preamble to Prob. 1.36. Let (X, m, J.L) be a finite measure space. Then a function p on
mx 2t defined by p(A, B) = JL(Al!.B) for A, B E 2t has the following properties:
1o p(A, B) e [0, JL(X)],
2° p(A, B) = p(B, A),
3° p(A, B) :::: p(A, C) + p(C, B) .
However p need not be a metric on the set 2t since p(A, B) = 0 does not imply A = B.
Prob. 1.36. Let (X, 2l, J.L) be a finite measure space. Let a relation"' among the members
of 2t be defined by writing A "' B when JL(Al!.B) = 0.
(a) Show that "' is an equivalence relation, that is,
1° A"' A,
2° A "' B => B "' A,
3° A"' B, B "'C => A"' C.
(b) Let [A] be the equivalence class to which A belongs and let [2l] be the collection of all
the equivalence classes with respect to the equivalence relation "'. Define a function p* on
[2t] x [2t] by setting p*([A], [B]) = JL(MB) for [A], [B] e [2t].
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] ::::} JL(A' l!.B') = JL(Al!.B).
(c) Show that p* is a metric on the set [2(] .
Proof. 1. Let us prove (a). Thus we are to verify 1o, 2° and 3° in (a).
Now for any A E 2t, we have Al!.A = 1?1 and then JL(Al!.A) = 0. Thus A "' A.
Suppose A "'B, that is, J.L(MB) = 0. Now B!:!..A = A!:!..B. Then we have JL(B!!.A) =
JL(Al!.B) = 0, that is, B"' A. This verifies 2°.
Suppose A "' Band B "' C. Then we have J.L(MB) = 0 and J.L(B!!.C) = 0. By (b)
ofProb. 1.35, we have
JL(Al!.C) :::: JL(Al!.B) + JL(Bl!.C) = 0,
and thus we have JL(Al!.C) = 0, that is, A"' C. This verifies 3°.
l. Let us show that p* is well defined, that is,
A' e [A], B' E [B] => JL(A' l!.B') = JL(Al!.B).
Let A' E [A] and B' E [B] . Then by repeated application of (b) of Prob. 1.35 we have
JL(A' t:..B') :::: JL(A' !!.A) + JL(A!!.B')

:::: JL(A'!!.A) + JL(Al!.B) + JL(Bt:..B').
Since A'"' A we have JL(A' !!..A)= 0 and since B' "" B we have JL(Bl!.B') = 0. Thus the
last inequalities reduce to
(1) JL(A' t:..B') :::; JL(Al!.B).

Interchanging the roles of A and A! and interchanging the roles of B and B' in the argument
above, we have
(2) JJ,(AilB) ~ IL(A' ll.B').
By (1) and (2), we have IL(A' llB') = JJ,(AilB). This proves that p* is well defined.
3. To show that p* is a metric on the set [2£], we verify that p* satisfies the following
conditions:
1° p* ([A], [Bl) E [0, oo) for every [A], [B] E [Ql].
2° p*([A], [Bl) = 0 <=> [A] = [B] for every [A], [B] E [Ql].
3° symmetry: p*([A], [Bl) = p*([B], [A1) for every [A], [B] E [2£].
4° triangle inequality: p*([A], [Bl) ~ p*([A], [Cl) + p*([C], [Bl) for [A], [B], [C] e
[2£].
Now for [A], [B) e [~(],we have
p*([A], [B]) = IL(AilB) ::5: /L(X) < oo.
Thus we have p*([A], [Bl) e [0, oo) for every [A], [B] e [Ql]. This verifies 1°.
For every [A] e [2£], we have p*([A], [Al) = IL(Ail.A) = JJ,(f21) = 0. Conversely
suppose that for some [A], [B] e [2£] we have p*([A], [Bl) = 0. Then JJ,(AilB) = 0, that
is, A"' B, that is, [A] = [B]. This verifies 2°.
For [A], [B] e [2£], we have
p*([A], [B)) = IL(AilB) = JL(BilA) = p*([B], [A]).
This proves the symmetry of p*.

For [A], [B], [C] e [2£], we have, by (b) ofProb. 1.35,
p*([A], [B]) = IL(AilB) :S IL(AilC) + JL(CilB)

= p*([A], [Cl) + p* ([C], [Bl).
This verifies the triangle inequality for p*. 1
§2 Outer Measures 43
§2 Outer Measures
Prob. 2.1. Let IL* be an outer measure on a set X. Show that if IL* is additive on ~(X),
then it is countably additive on ~(X).
Proof. If JL* is an outer measure on a set X then JL* is a nonnegative extended real-valued
countably subadditive set function on the u-algebra ~(X) of all subsets of X. If 11-* is
additive on s,p(X) then 11-* is both additive and countably subadditive on the u-algebra
~(X) and this implies that IL* is countably additive on s,p(X) by Proposition 1.23. 1
Prob. 2.2. Let 11- * be an outer measure on a set X. Show that a non 11-• -measurable subset
of X exists if and only if IL* is not countably additive on ~(X).
Proof. According to Theorem 2.5, we have
(1) 11-* is additive on ~3(X)
<=> IDl(~J,*) = s,p(X), that is, every subset of X is 11-*-measurable
1. Suppose a non JL*-measurable subset of X exists, that is, ~Jt(~J,*) =f. s,p(X). Then
by (1), 11-* is not additive on s,p(X) and certainly not countably additive on ~~(X) (since
countable additivity implies additivity).
2. Conversely suppose 11-* is not countably additive on ~(X). Now as an outer measure
on X, 11-* is countably subadditive on the u-algebra ~(X) of subsets of X. If 11-* were
additive on s,p(X) then 11-* would be countably additive on s,p(X) according to Proposition
1.23. Since 11-* is assumed to be not countably additive on s,p(X), 11-* must be not additive
on s,p(X). Then by (1) we have 9'J1(~J,*) =f. s,p(X) and thus a non 11-*-measurable subset of
X exists. 1
Prob. 2.3. For an arbitrary set X let us define a set function JL* on !;p(X) by
*(E)= {number of elements of E if Eisa finite set,
JL oo if E 1s
. an infini'te set.
(a) Show that JL* is an outer measure on X.
(b) Show that JL* is additive on !;p(X), that is, JL"'(Et U Ez) = ~J-"'(Et) + ~J-"'(Ez) for any
Et. Ez E !;p(X) such that Et n E2 =e.
(c) Show that JL"' is a measure on the u-algebra !;p(X). (This measure is called the counting
measure.)
(d) Show that 9Jl(~J-*) =~~(X), that is, every E E !;p(X) is ~J-*-measurable.
Proof. 1. To show that 1-'• is an outer measure on X, we verify that 1-'* satisfies the following
conditions:
1o nonnegative extended real-valued: JL"'(E) E [0, oo] for every E E !;p(X).
2° JL"'(e) = 0.
3° monotonicity: Et. Ez E !;p(X), Et C E2 => JL"'(Et) ~ ~J-*(E2)·
4° countable subadditivity: (En : 11 E N) C >.lJ(X) ::::} JL"'( Unel l En) ~ Lnefl 1-'"'(En).
Now 1o, 2° and 3 o are immediate from the definition of 1-'*(E) as the number of elements
from E. Let us prove 4°.
(i) If at least one of (En : 11 E N) is an infinite set, say Eno is an infinite set, then
UneH En is an infinite set and then we have IJ-*(Eno) = oo and iJ-"'(UneF En)= oo. Then
1-'*( U En)= 00 = ~J-"'(Eno) ~ LJL"'(En).

neH neH
(ii) Suppose En is a finite set for every 11 E N. If only finitely many of (En : 11 E N) are
non-empty, say only Et, ... , EN are non-empty having Pt, ... p N elements respectively
where Pt •. . . , Pn E N, then Unell En has at most Pt + · ·· + PN elements and therefore
N
I-'*( UEn) ~ Pt + · · · + PN = L 1-'"'(En) = LJL"'(En).
nel~ n=l neH
If infinitely many in (En : 11 E N) are non-empty then LneH ~J-"'(En) = oo and then
1-'*( Unefl En) ~ oo = Lnel ' ~J-"'(En) . This completes the proof of 4°.
2. Let us showthatJL• is additive on 'lJ(X). Let Et. Ez E >.lJ(X) be such thatEt nEz =
e. If both Et and E2 are finite sets, then ~J-*(Et) = Pl E Z + and ~J-*(E2) = P2 E Z + and
then Et U Ez has Pt + pz elements. Then we have
If at least one of E 1 and Ez is an infinite set, say E2 is an infinite set, then E 1 u Ez is an

infinite set and then we have JL*(Ez) = oo and~J-*(Et UE2) = oo. Now IJ-*(Et) = p E Z +
or JL"'(Et) = oo. Then we have
~J-"'(Et U Ez) = oo = p + oo = ~J-"'(Et) + JL"'(Ez) .

This completes the proof that JL"' is additive on !;p(X).
§2 Outer Measures 45
3. To show that the outer measure p.* on X is a measure on the a-algebra ~3(X) of
subsets of X, we show that 1-L* is countably additive on ~(X). According to Proposition
1.23, if a nonnegative extended real-valued set function y on an algebra!]( of subsets of a set
X is additive and countably subadditive on!]( then y is countably additive on!](. Now 1-L*,
being an outer measure on X, is countably subadditive on the a-algebra ~(X) of subsets
of X. Moreover we showed in (b) that 1-L"' is additive on '.J.~(X). Then by Proposition 1.23,
1-L* is countably additive on '+'(X). This completes the proof that p.* is a measure on the
a-algebra '.J.~(X) of subsets of X.
4. Let us show that Wl(I-L*) = '.J.'(X). According to Theorem 2.5, ~Jl(p.*) =~(X) if
and only if 1-L"' is additive on '+'(X). We showed in (b) that p.* is additive on '.J.~(X). Thus
we have Wl(/-L*) =~(X). 1
Prob. 2.4. Let X be an infinite set and let 1-L be the counting measure on the a -algebra !]( of
all subsets of X. Show that there exists a decreasing sequence (E,. : n EN) in 2( such that
E,. -.1- 0, that is, lim E,. = r!l, with lim 1-L(E,.) ;;f. 0.
,..... 00 ,.....00
Proof. Since X is an infinite set we have {x,. : n E N} c X. Let E,. = {xk : k ~ n} for
n E N. Then (E,. : n E N) is a decreasing sequence and lim E,. = nneH En = r!l. Since
,.....00
E,. is an infinite set, we have 1-L(E,.) = oo for every n E N. Then we have lim 1-L(E,.) = oo.
n.-.oo
§3 Lebesgue Measure on JR.

Prob. 3.1. Let a decreasing sequence (En : n E N) C 9J1L in the Lebesgue measure space
(R , !JJ1L, ILL) be given by En= [n, oo) for n e N.
(a) Find lim E., and ILL( lim E,.).
n......,oo n~oo
(b) Find lim ILL (E,.).

n-+oo
Proof. According to Lemma 1.7, lim inf E,. consists of x e R that is in En for all but finitely
n-+oo
many n E Nand lim sup E,. consists of x E R that is in En for infinitely many n E N. Thus
n-+oo
lim inf E,.
n---+-oo
= .I?J and lim sup En
n....,..oo
= .I?J also. Thus we have lim inf En
n~oo
= Iii = lim sup E.,
n~oo
and this implies that lim En exists and lim En = lim inf En = lim sup En = Iii. Then
n.....,.oo n-+oo n...,.oo n---+oo
ILL( lim E.,) = ILL(Iil) = 0. On the other hand, ILL(E,.) = oo for every n E N and then
n-+oo
lim ILL(E11) = lim 00 = 00. I
n~oo n~oo
Prob. 3.2. Consider a sequence (E11 : n E N) c 9J1L defined by E11 = [0, 1) U [n, n + 1)
when n is odd and E,. = [0, 1) U [n, n + 2) when n is even.
(a) Show that lim E,. exists and find lim E11 .
n-+oo n-+oo
(b) Show that lim ILL (E11) does not exist
11-+00
Proof. We have liminf En = [0,1) and lim sup E., = [0,1). Then we have liminf E 11 =
n~oo n----+-oo n~oo
lim sup E 11 and thus lim E,. exists and lim En = lim inf E 11 = lim sup = [0, 1). Then
Jl-----)>00 11-----}>00 11~00
11-+oo n-+oo
we have ILL( lim E11) = ILL([O, 1)) = 1.
11-+00
On the other hand, ILL (E11 ) = 2 for odd n E N and ILL (E11 ) = 3 for even n E N so that
lim ILL (E11 ) does not exist. 1
11-+00
§3 Lebesgue Measure on R 47
Prob. 3.3. For each of the following sequences (E, : n e N) c roiL,

(a) show that lim E, exists and find lim E,,
n-+oo n~oo
(b)showthat lim JLL(E,)existsand lim JLL(E,);;f;.JLL( limE,).

n~oo n~oo n~oo
(1) E, = [0, 1) U [n, n + 1) for n E N,

(2) E, = [0, 1) U [n, 2n) for n E N,
(3) E, = [n,n + 1)forn EN.
Proof.
(1) E, = [0, 1) U [n, n + 1) for n eN,
liminf En= [0, 1) and limsupE, = [0, 1),

n~oo
(2) E, = [0, 1) U [n,2n) forn eN,
liminf E, = [0, 1) and lim sup En= [0, 1),

n~oo
limE,= liminf En= limsupE, = [0, 1),

n~oo n~oo
(3) En = [n, n + 1) for n E N,
lim inf En = 0 and lim sup En = 0,

n-4>00
Prob. 3A. Let J be the collection of 0 and all finite open intervals in ~. Define an outer
measure JL* on JR. by setting for each E e ~( JR.)
JL*(E) = inf { Lnen l(I,.): (I,.: n EN) C J, UneH I,. :J E}.
Show that JL* = IL~ defined in Observation 3.2.
Proof. The set J is the collection of 0 and all finite open intervals in JR. and the set 3 o in
Observation 3.2 is the collection of 0 and all open intervals in R. Thus J C :3 0 • For every
E e ~(R )wehave
JL~(E) = inf { Lnerl t(I,.) : (/,. : n EN) C 3o, Une!l I,. ::J E}.
Then J C 3 0 implies
(1)
Let us show that we actually have
(2)
Now if E e ~(R ) is such that IL~(E) = oo then we have JL*(E) = oo by (1) and thus
JL~(E) = JL*(E) and (2) holds. It remains to consider the case JL~(E) < oo. Assume that
we have IL~(E) < oo. If (I,.: n EN) is a sequence in :30 such that Unel<l I,. ::J E and if I 710
is an infinite open interval for some no E N, then l(Jno) = oo and then LneH l(I,.) = oo
and this implies that such a sequence (I,. : n e N) in :30 has no effect on our JL~(E) < oo.
Thus for JL~(E) < oo we may drop any sequence (I,. : n e N) in 3 0 which includes at
least one infinite open interval, that is, we may confine ourselves to sequences of finite open
intervals. Therefore we have
IL~(E) = inf { Lnel ll(J,.) : Un : n E N) C J, Unell In ::J E} = IL*(E). I

Prob. 3.5. Let <E be a disjoint collection of members of WlL in the Lebesgue measure space
(R, 9JlL, ILL). Show that if ILL(E) > 0 for every E e <E, then the collection <E is at most
countable.
Proof. 1. Let <E = {Ea : a e A} be an arbitrary disjoint collection of WlL -measurable

subset Ea of R with ILL ( Ea) > 0. Here A is an arbitrary indexing set. Let us show that <E
is at most a countable collection.
Let In = (-n, n) C R for n e N. Then (/11 : n e N) is an increasing sequence of sets
in 9J1L and lim In = UneH In = R.
n-+oo
For an arbitrary Ea E <E, (Ea n I, : n E N) is an increasing sequence of sets in WlL
and we have
nli~ (Ea n In)= U(Ea n In)= Ea n ( U I,)= Ea n R = Ea

nef' neB
and then
Since ILL (Ea) > 0, there exists n(a) e N such that
(1)
Let us define a subset Fa of Ea by setting
(2) Fa= Ea n In(a)·
Let us define a collection .'lf of WlL -measurable subsets of R with positive measure ILL by
setting
(3) ~={Fa :a E A}.
Since Fa c Ea for every a e A and since <E = {Ea :a e A} is a disjoint collection, our
~ = {Fa : a e A} is a disjoint collection. Also~ has the same cardinality as <E. Thus to
show that <E is at most a countable collection, it suffices to show that 'lf is at most a countable
collection.
2. Let us show that ~ is at most a countable collection. Assume the contrary, that
is, assume that 'lf is an uncountable collection. Now every Fa e ~as defined by (2) is
contained in an open interval I, for some n E N. For n EN, let ~n be the subcollection of
'lf consisting of those members of 'lf that are contained in I,. Then we have
(4) 'lf = u
nEH
'lfn·
Since 'lf is an uncountable collection, there exists no E N such that 'lfl'l() is an uncountable
collection. Being a subcollection of the disjoint collection~. ~11() is a disjoint collection.
Now for every Fa e ~11() we have ILL (Fa) > 0. Thus there exists k e N such that
ILL(Fa) ~ l· Let ~l'l(),k be the subcollection of 'lfl'l() consisting of those members Fa of
t·
~110 with p.L (Fa) ~ As a subcollection of the disjoint collection ~110 , ~110 ,k is a disjoint
collection. Now we have
(5) ~110 = u ~IIO.k·

kei'!
Then since ~110 is an uncountable collection, there exists lq, e N such that ~110 .ko is an
uncountable collection. Then we can select distinct members Fm of ~ 110 .ko form e N.
Since ~IIO.ko is a disjoint collection, its subcollection {Fm : m e N} is a disjoint collection.
Then we have
(6)
On the other hand, Fm e ~IIO.ko and this implies that Fm C 1110 and then Umefl Fm C 1110 •
Then we have
(7) ILL ( U Fm) ~ ILL (1110) = 2no.

men
This contradicts (6). Therefore ~ cannot be an uncountable collection and ~ is at most a

countable collection. 1bis implies that (!:: is at most a countable collection. 1
Prob. 3.6. ForE e 9RL with ILL (E) < oo, define a real-valued function rpE on R by setting
rpE(x) = ILL(E n (-oo,xJ) forx E R.
(a) Show that rpE is an increasing function on R.
(b)Showthat lim rpE(x) = Oand lim rpE(x) = ILL(E).
x~-oo x__,..oo
(c) Show that rpE satisfies the Lipschitz condition on R, that is,
lrpE (x') - rpE (x") I ~ lx' - x"l for x', x" e R.
(d) Show that rpE is unifonnly continuous on R.
Proof. 1. Let us show that rpE is an increasing function on R. Let x', x" e R and x' < x".
Then we have
Now ( -oo, x"] = ( -oo, x'] U (x', x"] and this implies
En (-oo,x"] =(En (-oo,x'l) u (En (x',x"l),

and then
(2) ILL(E n (-oo,x"l) = ILL(E n (-oo,x'l) + ILL(E n (x',x"]).
Since ILL(E n (-oo, x'l) ~ILL (E) < oo, ILL(E n (-oo, x'l) is a nonnegative real number.
Subtracting this nonnegative real number from both sides of (2) we have
(3) ILL(E n (-oo,x"l) -~LL(E n (-oo,x'l) = ILL(E n (x',x"l) ~ 0.
Substituting (3) in (1), we have
rpE (x'') - rpE (x') ~ 0.
This shows that rpE is an increasing function on R .

2. SincerpE is an increasingfunctionon R , to show that lim rpE (x) =ILL (E), it suffices
x ....oo
to show that there exists an increasing sequence (~.t : k e N) in R such that lim ~k = oo
.t~oo
and lim rpE(~.t) = ILL (E), and similarly to show that lim rpE(x) = 0, it suffices to
.t.... oo x~-oo
show that there exists decreasing sequence (17.1; : k e N) in R such that lim flk = -oo and
k~oo
lim rf!E (TJJ,) = 0.
k-+oo
Fork e Z, let h = (k-1, k] and E.t = En /i. Then {h : k e Z}is a disjoint collection
with U.te£ h = R. Thus we have
E =En R =En ( Lll.t)

ke"-·
= l..l<E n i.t) =
ke.c.
Ll
.teL
E.t.
Let us select a sequence (~.t : k E N) in R by setting ~.t = k fork E N. Then (~k : k E N)

is an increasing sequence with lim ~.t = oo. We have
k-+oo
(4)
Now (En (-oo, k] : k E N) is an increasing sequence in VRL and
lim (En (-oo,kl) = U (En (-oo, kl) =En U<-oo,k] =En R = E

k-+oo
kE f:/ kE H
and then
(5) lim ILL(E n (-oo,kl) =ILL( lim (En (-oo, k1)) = ILL(E).
k-->oo k-->oo
k-+oo 8
By (4) and (5), we have lim rp (~k) =ILL (E). This proves lim rp (x) =ILL (E).
x-->oo 8
Next select a sequence (1/k : k E N) in R by letting 1/k = -k fork E N. Then
(1/k : k E N) is a decreasing sequence with lim 1/k = -oo. We have
k-->oo
(6)
Observe that (En (-oo, -k] : k E N) is a decreasing sequence in 9JtL and
lim (En (-oo, -kl) = n (En (-oo, -kl) =En n(-oo, -k] =En 0 = 0.
k-+oo
kEN kEH
Since En (-oo, -k] c E and ILL (E) < oo, we have by Theorem 1.26 that
(7) lim JLL(E n (-00, -k]) = JLL( lim (En (-00, -kJ)) = JLL(0) = 0.
k-->oo k-+oo
By (6) and (7), we have lim rp8 (1/k) = 0. This proves lim rp8 (x) = 0.
k-+oo x-->-oo
3. To show that rp8 satisfies the Lipschitz condition, let x', x" E R and x' < x". Then
since rp8 is an increasing function on R we have
(8) lrp8 (x')- rp 8 (x")l = rp 8 (x")- rp8 (x')
= JLL(E n (-oo,x"])- JLL(E n (-oo,x'l)

= JLL (E n (x', x"l) by (3)
~ JLL((x 1,x11 ]) = lx' -x"l.
4. Let us show that q>8 is uniformly continuous on R. Let e > 0 be arbitrarily given.
Let lJ = e > 0. Then for x', x" E R such that lx'- x"l < ll, we have by (8)
This proves the uniform continuity of rp 8 on R . 1

§3 Lebesgue Measure on lR 53
Prob. 3.7. Let E e rolL with ILL (E) < oo. Show that for every a e (0, 1), there exists a
subset Ea of E such that Ea E rolL and ILL (Ea) = ap.L (E).
(Hint: Use the continuity of the function <p8 in Prob. 3.6.)
(Thus the Lebesgue measure space (lR, rolL, ILL) not only does not have any atoms but in
fact every Lebesgue-measurable set with finite measure has a measurable subset with an
arbitrarilydesignatedfractionofthemeasure. SeeProb. 3.8for E e rolL withp.L (E)= oo.)
Proof. Observe that if p.L(E) = 0 thenforeverya e (0, 1) we have ILc. (E)= 0 = ap.c. (E)
and the claim is trivially true. Thus we need to consider only the case 0 < ILL (E) < oo.
Consider a real-valued function rpE on lR defined by
rpE(x) = ILL(E n (-oo,x]) for X E JR.

According to Prob. 3.6, rp8 is continuous and increasing on lR with lim rp8 (x) = 0 and
:;--+-00
lim qJE(x) = p.L(E). Leta e (0, l)bearbitrarilygiven. Thenleta1,a2 e lRbesuchthat
%-+00
Since lim rpE (x)

x--+--00
= 0, the inequality a11LL (E) > 0 implies that there exists x1 e lR such
that
0 ::= <pE(xt) < a11LL (E),
and similarly since lim rp 8 (x) = ILc. (E), the inequality a21Lc. (E) < ILc. (E) implies that
x-+oo
there exists x2 e R such that
Then for our a e (at, a2) we have
Then since rpE is continuous on R, the Intermediate Value Theorem for continuous functions
implies that there exists xo e (xt, x2) such that rp8 (xo) = ap.L (E), that is,
LetEa = En(-oo, xo]. ThenEaisarolL-measurablesubsetofEandp.L(Ea) = ap.L(E).

I
Prob. 3.8. Let E E VRL with #LL (E) = oo. Show that for every). E [0, oo), there exists a
subset E). of E such that EJ.. E 9J1L and #LL (EJ..) = A.
Proof. Let us observe that for).= 0, 0 is a 9J1L -measurable subset of E with #LL (0) = 0 =
A. Thus we need to consider only the case .A E (0, oo).
Let E, = En (-n, n) for n E N. Observe that E, is a 9J1L -measurable subset of E
and ( -n, n) and moreover #J.L (E,.) :S #J.L ( ( -n, n)) = 2n < oo. Now (E,. : n E N) is an
increasing sequence in 9J1L and we have
(1) ..~ E, = U E,. = U E n (-n, n) = E n U(-n, n) = E n IR:. = E

nel1 ner; nEri
and then
(2)
Let A E (0, oo). Then (2) implies that there exists no E N such that). < 11-L (Eno) :S 2no.
Let
A
(3) a= E (0, 1).
Il-L (Eno)
Now we have #LL (Eno) < 00 and a E (0, 1). Then by Prob. 3.7 there exists a mL-
measurable sunset F of Ell() such that
(4)
Let EJ.. = F. Then we have #J.L (EJ..) = A.. 1
Prob. 3.9. Let E c IR:. and #1-~(E) = 0. Show that Ec is a dense subset of IR:., that is, every
non-empty open set 0 in IR:. contains some points of Ec, in other words no non-empty open
set 0 in 1Ft can be disjoint from Ec.
Proof. For every open interval/ c R we have 11-~ (/) > 0. If 11-; (E) = 0 then E cannot
contain any open interval/ since I c E implies IL~(E) ~ 11-~(/) > 0. Thus for every
open interval/ we have Ec n I i= 1?.1. Now every non-empty open set 0 is a union of open
intervals. This implies that Ec n 0 # 0, that is, 0 is not disjoint from Ec. 1
Prob. 3.10. Consider the measure space (R, ~~~ .ILL).

(a) Show that if E e ~.~ and t e R, then E + t e ~ 1;. and ILL(E + t) =ILL (E).
Let ~ v· + t := {E + t: E e ~ ~ ;;}. Show that~ ~;; + t = ~ v' for every t e R.
(b) Show that if E E ~1;, and a E R , then aE E ~lfl and ILL (a E) = laiiLL (E).
Leta~Y: := {aE: E e ~d. Showthata~x = ~y:foreverya e R such that a#= 0.
Proof. (a) and (b) can be proved in the same way as Theorem 3.16 and Theorem 3.18 are
proved. Here we present a different proof based on some basic results in §4.
1. Let E c R . According to Observation 4.3, E e ~ R if and only if h is a ~J!;
measurable function on R .
According to Theorem 4.6, a real-valued function on R is ~~ ,;;-measurable if and only
if it is a ~ v /~ ;;-measurable mapping of R into R .
According to Theorem 4.27, a real-valued continuous function on R is a~ H -measurable
function.
2. Let us prove (a). Let E e ~ IF' and t e R . To show that E + t e ~ G' we show that
1E+t is a ~Ird~rr: -measurable mapping of R into R . Now we have
1 for x e E + t, that is, x- teE }

(1) lE+t(X) ={ = lE(X - t).
0 for X E (E + t)c, that is, X - t E Ec
Fort e R , let r, be a real-valued function on R defined by setting
(2) r 1 (x) = x - t for x e R .
Then r1 is a real-valued continuous function on R and is thus a ~ rr-measurable function on

R, that is, a ~ r-;/~ Ji: -measurable mapping of R into R . By (1) and (2), we have
(3) 1E+t(X) = 1E(X- I)= lE(rr(x)) =(lEo rr)(x) for X E R .
Now r1 is a ~ E /~ v,-measurable mapping of R into R and IE is a ~ ~~ d~v. -measurable

mapping of R into R. This implies that IE or, is a ~ P/~ ?-measurable mapping of R
into R according to Theorem 1.40 (Chain Rule for Measurable Mappings). Thus h+t is a
~tk /~1 < -measurable mapping of R into R . This shows that E + t e ~ ~,, .
The measure space (R , 9JtL, ILL) is a translation invariant measure space according to
Theorem 3.16. Thus for every E e 9JtL and t e R we have ILL (E + t) = ILL (E). Then
since ~E c ~mL , for every E e ~ IF' and t e R we have ILL (E + t) = ILL (E).
Let 93r;; + t := {B + t : B e ~ pJ. We showed above that if E e ~:R and t e R then
E+t e ~J,;. Thisimpliesthat~E +t c ~E - Sincethisholdsforeveryt e R andsincefor
everyt e R wehave-t e R,wehave~1! -t c 931<· Then~u! = (93 ;; -t)+t c ~u!+t.
Thus we have 93p + 1 c 93p c SB1,;; +I and therefore I.Bp + 1 =~~"' ·This completes the
proof of (a).
3. Let us prove (b). Let E e ~:F; and a e R . To show that aE e ~ P we show that
laE is a SBtR:/~ H-measurable mapping of R into R . Now if a = 0 then aE = {0} e ~ p .
Thus it remains to consider the case a#= 0. Now we have
1 for X E aE, that is, ~X E E }

(4) laE(X) = { O l = lE(~x) .
for x ¢ aE, that is, ;;x ¢ E
For y e lEt, y 1- 0, let 'lry be a real-valued function on 1ft defined by setting

(5) ny(x) = yx forx E lEt.
Then 'lry is a real-valued continuous function on 1ft and is thus a i.Bp_-measurable function
on R, that is, a i.Br;:/i.B]f,:-measurable mapping of R into R . By (4) and (5), we have
(6) laE(X) = 1E(~x) = lE(7(! (x)) = (1E 0 7(!)(x) for X e R .
Since 'lr! is a ~ F/~ u~-measurable mapping of R into R andlE is a i.B 1;/i.B 1~;-measurable
mapping of R into R ,lE o 7r 1 is a i.Br,; /iB:F;-measurable mapping of R into R according to
Theorem 1.40 (Chain Rule f~ Measurable Mappings). Thus laE is a i.Br~/i.BR:-measurable
mapping of R into R . This shows thataE e ~:_:;;.
Consider the measure space (lEt, mL, f.LL ). According to Theorem 3.18 (Positive Homo-
geneity ofthe Lebesgue Measure Space), for every E E VJ1L and a E 1ft we have aE E VJ1L
and f.LL (a E) = lalf.LL (E). Then since ~P C 9XL, for every E e ~I? and a e R we have
f.LL (a E) = lalf.LL (E).
Let a~ " := {aE : E e i.B ~ }- We showed above that if E e i.B1?, and a e R then
aE e ~_~;;. Thisimpliesthata~_~;; c ~J;. Nowifa 1- Othen~ e R andthen~~LI{ c ~LI{
Thenwehave~lci =a(~~ ~) C a~ ~- Thuswehavea~ ~,, C ~ ~,, C a~ y, andtherefore
we have a~ R = iBR. This completes the proof of (b). 1
Prob. 3.11. Let E and F be two subsets of JR.. Suppose E c aF for some a e OC. Show
that 11-;(E) :c:; laiJL; (F).
Proof. If E c aF then by the monotonicity of the Lebesgue outer measure 11-; we have
f.L;(E) :c:; f.L~(aF). By Lemma 3.17, we have f.L~(aF) = lalf.L~(F). Therefore we have
JL~(E) :c:; laiJL~(F). I
Prob. 3.12. Let f be a real-valued function on an open interval/ = (a, b) c R such that
the derivative f' exists and If' (x) I ::: y for x e I where y is a nonnegative real number.
(a) Show that for every /o = (ao, bo) c (a, b) the image f(/o) is either a singleton or an
interval in R and
f.LL(J(lo))::: i' f.LL(/o).
(b) Show that for an arbitrary subset E c I we have
f.L~{J(E)) ::: y f.L~(E).
Proof. 1. Let us prove (a). Differentiability off on I implies continuity off on I and
in particular f is continuous on /o c I. Then by the Intermediate Value Theorem for
continuous functions, the image of the open interval Io, f(Io), is either a singleton or an
interval in R . If f(/o) is a singleton then f.LL (!Uo)) = 0 ::: y f.LL (Io). Consider the case
that f(lo) is an interval in R. Let x',x" e Io and x' < x". Then by the Mean Value
Theorem there exists~ e (x', x") such that f(x")- f(x') =
f'(~)(x"- x') and then we
have
lf(x")- f(x')l = lf'(~)l(x" -x')::; y(x" -x')
::: yl(Io) = Y f.LL(/o).

This shows that the distance between any two points in the interval f(/o) does not exceed
y f.LL (Io) and thus the length of the interval f(Io) does not exceed y f.LL (Io). Then we have
f.LL (f(Io)) = l(f(Io)) ::: y f.LL (Io). This completes the proof of (a).
2. Let us prove (b). Let E c (a, b) = I. Now by definition of fJ. ~, we have
(1) f.J.~ (!(E)) = inf { Lken l(h.) : (/~r. : n EN) C Jo, Ukefl l1c ::J f(E) }.
In order to show thatf.L~ (JCE)) ::: y f.L~(E), we show firstthatforevery e > 0 there exists
a sequence (Jk: kEN) C :10 such that
(2) Ukel! h ::J f(E) and Lkel! t(h) ::: i' f.J.~(E) +e.
Now E c (a, b). Then by Lemma 3.21, for every e > 0 there exists an open set 0 in R
such that E c 0 and
(3)
Let Oo = 0 n (a, b). Then Oo is an open set in Rand since E c (a, b) and E c 0 also
we have E c Oo and this implies by the monotonicity of the outer measure f.L~ and by (3)
that
(4)
Since Oo is an open set in R , there exists a disjoint collection of open intervals {(a~c, b~c) :
k e N} such that Oo = U~r.eH (a~c, b~c). Then we have
E COo= U<ak,bk)
keF
and then
f(E) C f(Oo)=!(U<a.t,h.t)) = UJ((a.t,h.t)).
JceF keH
Now (ak, bk) C 0o C (a, b) for every k E N. According to (a) this implies that/{ (ak, bk))
is either a singleton or an interval in IR:. and moreover
For each k E N, let Jk be an open interval in IR:. such that
Forthe sequence (Jk: kEN) C J 0 , we have
(5)
and
(6) Et(J~c) ::S L {t{J((ak, h1))) + ;k} ::S y L:t((ak, b~c)) + e

ken .teri keH
= Y 1-'L(Oo) +e ::S y {~-t;(E) +e} +e
= y 1-'~ (E) + (y + l)e.

Our sequence (h : k e N) c J 0 has the properties (5) and (6). This implies then
~-t; {J(E)) = inf { Lkefll(lk) : (]A; : n E N) C Jo, UkeH lk :J f(E)}
::S y ~-t;(E) + (y + l)e.
Since this holds for every e > 0, we have ~-t~{!(E)) ::s y 1-t~(E). 1
Prob. 3.13. From the interval [0, 1] remove the open middle third (l, n. Remove the open
middle third from each of the two remaining intervals [0, ~] and [~, 1]. 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 and indeed T is a compact set in If?..
(b) Show that I-LL (T) = 0 and thus Tis a null set in the measure space (R, 2)p , p,L).
(c) Show that Tis nowhere dense. (A set A in a topological space (X, D) is called nowhere
dense, or non-dense, if the interior of its closure is empty, that is, (A) o = 0.)
(d) Show that Tis a perfect set. (A set A in a topological space (X, D) 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 set A is a closed set if and only if A :::) 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.
(Thus the Cantor ternary set is an example of a null set in (R, VJlL, ILL) which is an un-
countable set.)
Proof. (a) Let T,. be the resulting set after the n-th step of removal of open subintervals,
then (Tn : n E N) is a decreasing sequence of closed sets. Then T = nnef l Tn is a closed
set. Then since 2):x is the smallest u-algebra of subsets of R containing all open sets in If?.,
the closed set Tis in 2)y,:. Moreover T is contained in the finite interval [0, 1] and thus T
is a bounded closed set in R and this implies that T is a compact set in If?..
(b) Observe that I-LL (T1) = ~ and p,L(TA:+l) = ~I-LL (Tl) for every k E N. Thus by
mathematical induction we have ILL (T11 ) = (~f for every n E N. Then since (Tn : n E N)
is a decreasing sequence and lim T,. = T and since I-LL (T1) < oo, we have
11-+00
(c) Let us show that Tis nowhere dense, that is, (rr = 0. Now since Tis a closed set.
we have T = T and then (T)o = T 0 • Consider the open set T 0 in If?.. Now a non-empty
open set in R is the union of countably many disjoint open intervals. Note that p,L (T) = 0
implies that T does not contain any open interval and then its subset T 0 does not contain any
open interval and therefore the open set T 0 cannot be non-empty. This shows that T 0 = 0
and then (T)a = T 0 = 0.
(d) Since T is a closed set, to show that it is a perfect set it remains to show that it
contains no isolated points. Thus let us show that if x E T then x is a limit point of T. Let
X E T. Then since T = nne I! T,., we have X E T,. for every n E N. Let B > 0 and consider
the open interval (x - e, x + e). Since x E T,., we have x E ln,k. one of the 2" closed
intervals oflength f., constituting T,.. Let N EN be so large that iu <e. Then for n ~ N,
the endpoints of the closed interval ln,k are contained in (x - e, x +e). Now the endpoints
of ln,k are points of T. Thus x is a limit point of T.
(e) Express every number in [0, 1] as a ternary number, that is, 0.010203 · · · where
Oi = 0, 1, or 2 for each i. Then T consists of those ternary numbers in which the numeral
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. 1
Prob. 3.14. Construct a collection {En,k : n E N, k E N} of subsets of IR such that
U (n En,k) i= n (U En,J:).
kel"! nen
Proof. Let Q = {rn : n E N} be the set of all rational numbers in JR.. For n E N and k E N,
let In,k be the open interval in JR. with center at rn and with radius equal to that is, l•
ln,k = (rn -!, rn + i).
For each fixed n E N, we have nkeH ln,k = {rn} and then
(1) U
nEF!
( n1"·")
kEH
= U{rn} = Q.
neU
On the other hand, for each fixed k E N, every x E IR is contained in In,k for some n E N
and thus UneF ln,k =JR. This implies
(2) n (U In.k) = nJR =JR.

kef J nel<l kel<l
(1) and (2) show that Uner! ( nkeiT ln,k) ¥= nkeH ( Unefl ln,k). I
Prob. 3.15. Let Q be the set of all rational numbers in JR. For an arbitrary e > 0, construct
an open set 0 in IR such that 0 :::) Q and /1-~(0) :::; 6.
Proof. The set Q of allrational numbers is a countable subset of IR. Thus Q = {r" : n E JR}
where rn is a rational number for every n E N. Let 6 > 0 be arbitrarily given. For each
n E N,let
In = (rn - :
211 1
, Tn +2 :+ 1 ).
Thenr11 E / 11 for every n EN and then we have Q C Unen ln. Let 0 = UneH ln. Then 0
is an open set containing Q and we have
JL~( O) = JL~ ( U1 11 ) :::; L /L~(/11 ) = L l(/ 11 )

nEE nEF nEH
= ~22n:l
nerr
= L;n
neff
= 6
• I
Prob. 3.16. Let Q be the set of all rational numbers in R.

(a) Show that Q is a null set in (R, ~., ,ILL) .
(b) Show that Q is a F07 -set.
(c) Show that there exists a G&-set G such that G :> Q and ILL (G)= 0.
(d) Show that the set of all irrational numbers in R is a G&-set.
Proof. 1. Since the set Q of all rational numbers is a countable subset of R , we can
represent Q as Q = {r,. : n E R} where r,. is a rational number for every n E N. Then we
have Q = UnEf,{r,.}. Now the singleton {r,.} is a null set in (R, ~r,;, ILL) . Then Q, as a
countable union of null sets, is a null set.
2. We showed above that Q = UnEi'dr11 }. Now a singleton {r11 } in R is a closed set in
R. Then Q is a countable union of closed set, that is, Q is an F 07 -set.
3. Let us show that there exists a G&-set G such that G :> Q and ILL (G) = 0. Now we
have Q = {r11 : n E R}. For n EN and kEN, let
1 1 1 1)
ln,lc = ( r,. - 2"+1 k' r,. + 2"+1 k ,
and
ok = u
nEI'l
ln,lc·
Then 01c is an open set containing Q. We have
Let G = nket'' 01c. Then G is a Ga-set containing Q and moreover we have
ILL(G) =ILL( n ole):::::

lcEH
ILL(Ot) = ~ for every kEN.
This implies that ILL (G) = 0.

4. Let P be the set of all irrational numbers in R . Then P = Qc. We showed above that
Q is a Fu-set Thus Q = U11eH F,. where F,. is a closed set in R for n E N. Then we have
p = Qc = ( u F,.) n F;,. c=
liEf·' liEf'
Since F,. is a closed set in R , F; is an open set in R . Then P as the intersection of countably
many open sets is a Ga-set 1
Prob. 3.17. Let Po be the set of all irrational numbers in the interval (0, 1). Show that for
every s e (0, 1) there exists a closed set C in IF!'. such that C c Po and ILL (C) > 1 - 8.
Proof. Let Po be the set of all irrational numbers in the interval (0, 1) and let Qo be the
set of all rational numbers in the interval (0, 1). Then Po = (0, 1) \ Qo. Now (0, 1) is a
OO'lL -measurable subset of IF!'. and the countable set Qo is a 9RL -measurable subset of IF!'. .
Thus we have Po = (0, 1) \ Qo e mL and then ILL (Po) = ILL ( (0, 1)) - ILL (Qo) = 1.
Let E be an arbitrary subset of IF!'.. According to Definition 3.31, the Lebesgue inner
measure IL•.L on IF!'. is defined by
where (!:•~ is the collection of all closed sets in IF!'.. According to Theorem 3.37, Po e 9J1L
implies
IL•.L(Po) = IL~ (Po) = ILL (Po) = 1.
Let 8 > 0 be arbitrarily given. Then 1 - 8 = IL•.L (Po) - 8 is not an upper bound of the
set {ILL (C) : C c Po, C e Q:rr:} and thus there exists C e Q:y,: such that C c Po and
ILL(C) > 1- 8. I
Prob. 3.18. Consider the measure space (IF!'. , mL, ILJ.

(a) Show that every null set N in (JR., OO'lL, ILL) is a subset of a G& set G which is itself a
null set in (JR., mL , ILL) .
(b) Show that every E e 9J1L can be written as E = G \ N where G is a G& set and N is a
null set in (JR., OO'lL, ILL) contained in G.
(c) Show that every E e 9RL can be written as E = F UN where F is an Fa set and N is
a null set in (JR., !JRL, ILL) disjoint from F .
Proof. 1. Let N be a null set in (JR., VRL, ILL), that is, N e 9RL and ILL (N) = 0. According
to Theorem 3.22, N e mL implies that there exists a G&-set G :> N with ILL(G \ N) = 0.
Now G = (G \ N) UN and then ILL (G) =ILL (G \ N) +ILL (N) = 0. This shows that our
G&-set G is a null set
2. Let E e mL. According to Theorem 3.22, there exists a G&-set G :> E with
ILL(G \E) = 0. If we let N = G \ E then N is a null set contained in G. Then we have
E = G \ (G \E) = G \ N.
3. Let E e !JJ1L. According to Theorem 3.22, there exists a Fa-set F c E with
ILL(E \F) = 0. Let N = E \F. Then N is a null set disjoint from F. Then we have
E = F U (E \ F) = F UN. 1
Prob.3.19. LetE C III!. ,E E !JJ1L,andp,L(E) < oo. Showthatforeverye > Othereexists

a compact set C C E such that p,L (E \C) < e.
Proof. For n E N, let I, = (-n, n) C R. Then(/, : n E N) is an increasing sequence of

bounded !JRL -measurable sets and R = UneH I,. We have
E =En R =En ( U I,) = U<E n I,)

nel:' nEfi
= U E, where E, = E n I,.
nei"
Now (En : n E N) is an increasing sequence of bounded !JJlL -measurable sets so that

E = Unef'l E, = n-+oo
lim E, and then
Since p,L (E) < oo, for every e > 0 there exists no E N such that
Since E 110 E !JRL, by (iv) of Theorem 3.22 there exists a closed set C c E 110 such that
Since C c E 110 c E, we have
Since C c E 110 and E 110 is a bounded set, C is a bounded set Since C is a bounded closed
set in R , C is a compact set. 1
Prob. 3.20. Show that for every increasing sequence (En : n E N) of subsets of IR, we have
lim /-L*(En) = JL*( lim En}-
n-+oo L L n-+oo
Proof. According to Theorem 2.11, if IL* is a regular outer measure on a set X then for
every increasing sequence (En : n E N) of subsets of X we have
According to Lemma 3.21, the Lebesgue outer measure 11-; on 1ft is a Borel regular outer
measure and hence a regular outer measure on JR. Thus for every increasing sequence
(En : n E N) of subsets of 1ft we have
lim
n....,..oo JL~(En) = IL~( n...,.oo
lim En)· I
Prob. 3.21. (a) Consider the 11-;-measurability condition onE E ~3(IR):

(1) IL~ (A) = JL~ (An E) + 1-L~ (An Ec) for every A E ~(1ft).
Show that this condition is equivalent to the following condition:
(2) 1-L~ (I)= 1-L~ (In E)+ IL~ (In EC) for every I E J'o.
(b) Let J be the collection of all open intervals in 1ft with rational endpoints. This is
a countable subcollection of J' 0 • Show that condition (2) is equivalent to the following
apparently weaker condition :
(3) IL~(J) = IL~(J n E)+ IL~(J n Ec) for every J E J.
Proof. 1. Let us prove the equivalence of (1) and (2). Clearly (1) implies (2). It remains to
show that (2) implies (1).
Assume (2). Let A E \P(Ift) be arbitrarily chosen. Let Un : n E N) be an arbitrary
sequence in J' 0 such that Unel ! In :J A. By (2) we have
IL;Un) = 1-L~(/n n E)+ 1-L;Un n Ec) for every n EN.
Summing the equalities above over n E N, we have
nEF! nehl nEH
Uun n E))+ IL~( Uun n Ec))

=:: IL~(
neH nel'l
= JL;(( UIn) n E)+ JL;( ( UIn) n Ec)

nerl neH
=:: IL~ (An E)+ 11-: (An Ec),

where the first inequality is by the countable subadditivity of the outer measure IL~ and the
second inequality is by the monotonicity of the outer measure /-L;. Since JL;Un) = l(/11 ),
we have
(4) Lt(In) ~ p,~(A n E)+ p,~(A n Ec).

ttEH
Since (4) holds for every sequence (/11 : n e N) C 'J0 such that Unell In ::> A, we have
(5) 1-'~ (A) = inf { LneH l(/n) : (/n : n E N) C 'Jo, Unerr In ::> A}
~ p,~(A nE) + p,~(An Ec).

On the other hand we have A = (A n E) U (A n Ec) and then by the subadditivity of the
outer measure p,~ we have
(6)
By (5) and (6), we have (1). This completes the proof of equivalence of (1) and (2).
2. Let us prove the equivalence of (2) and (3). Clearly (2) implies (3). It remains to
show that (3) implies (2).
Let us assume (3). Let I e 'J 0 be arbitrarily chosen. Now we have I = (a, b) where
-oo :::; a < b :::; oo. Let (an : n e N) and (bn : n e N) be two sequences of rational
numbers in (a, b) such that an < bn for every n E Nand an ,!. a and bn t bas n -+ oo.
Let ln = (an, h11 ) E 3 for n E N. By assumption of (3) we have
(7)
Now (111 : n e N), (111 n E : n e N) and CJn n Ec : n e N) are increasing sequences of

subsets of R and
lim ln =
11-+00
U1 11 = I,
nEJJ
lim(J,nE)=
n-+oo
U<J11 nE)=InE,
nEH
lim (J, n Ec) =

n-+oo
U<J, nEe)= In Ec.
nEFI
Then by Prob. 3.20, we have
lim
11-+oo
P,~ CJn) = P,~ ( n-+oo
lim 111) = P,: (I),
lim
11-+00
p,~ CJn n E) = p,~ ( 11lim
...... 00
(Jn n E)) = p,~ (In E),
Then letting n -+ oo in (7), we have
p,~(I) = p,~(I n E)+ p,~(I n Ec).
This proves (2) and completes the proof of equivalence of (2) and (3). 1
Prob. 3.22. Prove the following statements:

(a) Let A c !ft. H there exists eo e (0, 1) such that 11-; (An I) =::: eol(I) for every open
interval I then 11-; (A) = 0.
(b) Let E c K If 11-;(E) > 0, then for every e e (0, 1) there exists a finite open interval
I~ such that
el(Ie) < JL;(E n Ie)-
(c) Let E c lit. H 11-;(E) > 0, then there exists a finite open interval Io and oo > 0 such
that
(En Io +h) n (En Io) =f. 0 for every h e 1ft such that lhl =::: c5o-
(d) ForE C 1ft, we define ll.E = {z E 1ft : z = x- y where x, y E E}. If IL~ (E) > 0, then
ll..E contains an open interval.
Proof. 1. Let us prove (a). Let A c R . Let J be the collection of all open intervals in R.
Suppose there exists eo E (0, 1) such that
(1) IL~(A n I) ::::: eol(l) for every I E J'.
Let us show that 11-; (A) = 0. We show this first for the particular case that 11-; (A) < oo
and then for the general case.
Case 1. Assume that 11-;(A) < oo and A satisfies the condition (1). To show that
11-;(A) = 0, let us assume the contrary, that is, IL~(A) > 0. Then JL;(A) e (0, oo) and this
implies
(2) (1 + o)JL~ (A) > IL~ (A) for every o > 0.
Now
(3) IL~(A) = inf { LneN l(In): Un: n EN) C J', Unet1 In :J A}.
Then (2) and (3) imply that there exists Un : n E N) C J' such that UneH In :J A and
(4) L l(In) < (1 + c5)1L;(A).

neTJ
Since A c Unell In. we have A= An (Unelj In) = Uneu<A n In) and then by the
countable subadditivity of the Lebesgue outer measure JL; and by (1) we have
JL~(A) = IL;( U<A n In))::::: LIL~(A n In)::::: eo L:tUn> ·

neF neF neH
Dividing by eo > 0 and applying (4 ), we have
1
-11-;(A)::::: Ll(I11 ) < (1 +c5)1L~(A).
eo neF
Then dividing by 11-;(A) e (O,oo), we have

1
(5) - < 1 + o for every o > 0.
eo
k
But eo E (0, 1) implies > 1 and then (5) cannot hold. This is a contradiction. Therefore
wemusthave 11-;(A) = 0.
Case 2. Assume that A c R satisfies the condition (1). For every m E N, let us define
Im = (-m,m) and Am= Anlm.
Now Umef·l Im = R and A= An R = An ( UmeP Im) = Umel! (An Im) = Ume\1 Am.
Observe also that 11-; (Am) = IL~ (An Im) ~ IL~ Om) = 2m < oo.
For every I E J', we have Im n I E J'. Then for every I E J' we have
IL~(Am n I) = IL~ (An Im n I) ~ eolOm n I) by (1)

~ eol(I).
Thus Am satisfies condition (1). We have 11-;CAm) < oo also. Then we have 11-; (Am)= 0
by our result in Case 1 above. Then since IL1(Am) = 0 for every m E N, we have
IL1(A) = IL~(UneH Am)~ LmeH IL~(Am) = 0.

This completes the proof of (a).
2. Let us prove (b). Let E c R and suppose 11-;(E) > 0. By (a), 11-;(E) > 0 implies
that there does not exist e E (0, 1) with the property that
IL~(E n I) ~ el(I) for every IE J'
and then for every e E (0, 1) there exists Is E J' such that
IL~(E n Is) > el(Is).

This implies that l(Is) < oo and thus the open interval Is is a finite open interval. This
completes the proof of (b).
3. Let us prove (c). Let E c Rand suppose IL~ (E) > 0. According to (b), 11-;(E) > 0
implies that for every e E (0, 1) there exists a finite open interval Is such that el(/8 ) <
11-;(E n h). Now let
(6) eoe(0,1) and 2eo-1>0, thatis, eoe(!,1).
Then there exists a finite open interval Io such that
(7) IL~(E n Io) > eol(Io) .
Let
(8) .5o = (1- eo)l(Io).

Let us show that
(En Io +h) n (En Io) of:. 0 for every h E R such that Ihi ~ .5().
Let h e IR and lh 1 ~ Oo· Consider first the case that h ~ 0. Let the finite open interval /o
be represented as /o = (a, b) where a, b E IR and a < b. We have
(9) 0 ~ h ~ 8o = (1- eo)l(/o),
(10) En /o c (a, b),
(11) Enlo+h c (a+h,b+h).
Then we have
(12) (En /o +h)\ (En /o) c [b, b +h).
Now
En /o +h = [CE n /o +h) n (En /o)] u [CE n /o +h)\ (En /o)].
Then by the subadditivity of the Lebesgue outer measure 11-; we have
11-;(E n /o +h)~ IL~((E n /o +h) n (En /o)) + IL~((E n /o +h)\ (En /o))
and then
IL~((E n Io +h) n (En Io))
~IL~(E n Io +h) -IL;(CE n Io +h)\ (En Io))
~IL~(E n /o +h) -~J.;([b,b +h)) by (12)
=IJ.~ (En / 0) - h by the translation invariance of 11-;
>eot(/o)- (1- eo)t(/o) by (7) and (9)
=(2eo -l).t(/o) > 0 by (6).
(Translation invariance of the Lebesgue outer measure IL1 follows immediately from the
definition of 11-; by Definition 3.1.) Thus we have 11-;(CE n /o +h) n (En Io)) > 0 and
this implies that (En /o +h) n (En /o) =f. 0. The case that h ~ 0 is handled by similar
argument. This completes the proof of (c).
4. Let us prove (d). Let E c IR and suppose IL1CE) > 0. According to (c), 11-;(E) > 0
implies that there exists a finite open interval /o and 8o > 0 such that
(En /o +h) n (En /o) =f. 0 for every h e IR such that lhl ~ 8o.
Let h e IR be such that lhl ~ 8o. Then we have (En /o +h) n (En /o) =f. 0. Let
x e (Enlo+h)n(En/o). Thenx e En/o c Eandx e En/o+h. Thelatterimplies
that there exists y e E n /o such that x = y + h. Then we have h = x - y where x e E
and y E E. Thus h E AE. We have just shown that if h e IR and lh I ~ 8o then h e AE.
This implies then that ( -8o, 8o) c AE. This completes the proof of (d). 1
Prob. 3.23. ForE C R , we define E + E = {z E R : z = x + y where x, y E E}. We say

that E is symmetric with respect to 0 E R if - E = E. Show that if E is symmetric and
1-L~(E) > 0 then E + E contains an open interval.
Proof. Let E c R and assume that 1-L~ (E) > 0 and E is symmetric. Now symmetry of E
implies that y E E if and only if - y E E. Thus we have
E + E = {z E R: z = x + y wherex, y E E}
= {z E R: z = x- (-y) wherex, -y E E}
= A(E).
According to (d) of Prob. 3.22, 1-L~(E) > 0 implies that A(E) contains an open interval
Thus E + E contains an open interval. 1
Prob. 3.24. ForE c ~.we define E + E = {z E ~: z = x + y wherex, y E E}. Show

that if IL~ (E) > 0 then E + E contains an open interval.
Proof. 1. Suppose IL1(E) > 0. Let eo E (0, 1) be arbitrarily chosen and fixed. According
to (b) of Prob. 3.22, there exists a finite open interval /o such that
(1) eol(/o) < IL~ (En /o).
Let us consider the special case that /o is symmetric with respect to 0 E R, that is,
(2) /o = (-y, y) where y > 0.
We have -/o = /o. Let us show
(3) (En /o +h) n -(En /o) =f. 0 for any hER such that lhl < eoy.
Let h E R be such that lh 1 < eor. Let us consider first the case that h ~ 0. Now we have
Enioc(-y,y),
Enlo+h c (-y +h,y +h),
-(En /o) c-/o= /o = (-y, y)
and then
(En /o +h)\ -(En Io) c [y, y +h).
Thus we have
(4) IL~[(E n /o +h)\ -(En /o)] ~ IL~([y, y +h))= h.
Let us write
En /o +h =[<En /o +h) n -(En /o)] u [CE n /o +h)\ -(En /o)].
Then we have
IL~(E n /o +h)~ IL~[(E n /o +h) n -(En Io)] + IL~[(E n /o +h)\ -(En Io)]
and then
IL~[(E n /o +h) n -(En /o)]
~IL~(E n /o +h) -JL~[(E n /o +h)\ -(En Io)]
~IL~ (En /o)- h by the translation invariance of IL~ and by (4)
>2yeo - yeo = yeo > 0,
by (1) and l(/o) = 2y and 0 ~ h < yeo. This shows that for 0 ~ h < eoy, we have
11-;[(En /o +h) n -(En /o)] > 0 and thus (En /o +h) n -(En /o) =f.""· By similar
argument we show that (En Io +h) n -(En Io) =1= 0 for -e0 y < h c:; 0. Titis completes
the proof of (3).
Nowleth e R besuchthatlhl < eoy. Thenby(3),wehave(Enlo+h)n-(Enlo) =1= 0.
Selectz E (En lo +h) n -(En lo) arbitrarily. Then z E En lo +hand this implies that
there exists x e E such that z = x + h. We also have z e -(E n lo) and this implies that
there exists y E E such that z = -y. Then we have -y = z = x + h so that -h = x + y
where x, y e E. Thus -h e E +E. Titis shows that if h e R satisfies the condition
lhl < eoy then-hE E +E. Titis implies that (-eor,eoy) C E + E and thus E + E
contains an open interval.
l. Consider the general case where the finite open intervallo in (I) is given by lo =
(2a, 2b) where a, b e Rand a <b. Let rp be a translation on R defined by
rp(x) =x- (a+b) forx e R.
Then we have
rp(E) = E - (a+ b)
and
rp(lo) = Io- (a+ b)= (2a- (a+ b), 2b- (a+ b))
= (- (b- a), b- a)= (-y, y) where y := b- a> 0.
Consider the set E- (a+ b) and the finite open intervallo- (a+ b). By the translation
invariance of the Lebesgue outer measure 1J- ~, we have
!J-~(E- (a +h))= !J-~(E) > 0
and
eol(Io- (a+ b))= eol(Io) < p,~(E n Io) by (1)

= !J-~([E- (a+ b)] n [Io- (a+ b)]).
Titis shows that the set E - (a+ b) and the finite open intervallo- (a+ b) have the
relationship (1). Moreover Io- (a+ b) = ( -y, y) is symmetric with respect to 0 e R.
This implies, according to our result in 1, that [E- (a+ b)]+ [E- (a+ b)] contains an
open interval J. Then E + E contains an open interval J + (a + b). 1
Prob.3.25. ForE, F C IR,wedefineE+F = {z E IR: z = x+y where x E E andy E F}

andE-F = {z E IR: z = x-y wherex E E andy E F}. Prove the following statements:
(a) If 1-L~(E n F) > 0, then E + F contains an open interval.
(b) If 1-L~ (En F) > 0, then E - F contains an open interval.
Proof. 1. Let us prove (a). If J.L~ (E n F) > 0 then (E n F) + (E n F) contains an open

interval by Prob. 3.24. Now (E n F) c E and (E n F) c F also. This implies that
[ (E n F) + (E n F)] c E + F. Thus E + F contains an open interval.
2. Let us prove (b). Let us observe
E - E = {z E IR: z = x - y where x, y E E} = AE,
as definedinProb. 3.22. AccordingtoProb. 3.22, if 1-L~(E) > 0 then E- E = .AE contains

an ope interval. Thus if J.L~ (En F) > 0 then (En F) - (En F) contains an open interval.
Now(EnF) c Eand(EnF) c Falso. Thisimpliesthat[(EnF)-(EnF)] c E-F.
Thus E - F contains an open interval. 1
Prob. 3.26. Show that there exist two null sets E and F in the Lebesgue measure space
(R, 9RL, ILL) such that E + F = R.
Proof. 1. Let us show first that there exist two null sets A and B in the Lebesgue measure
space (R, 9RL, ILL) such that A+ B = [0, 1]. Let
(1) A = {x E [0, 1] : x =
il i2
2 + 23 i3 + · · ·
+ 25 where i1c E {0, 1} fork E N ,
}
i3
(2) B = {X E [0, 1] :X
il
22
= i2
+ 24 + 26 + · ·· where i.t E {0, 1} fork E N }.
Then since every x e [0, 1] has a binary expansion, we have
{it i2 i3
x= L
" ' i,.
2" = 2 + 23 + 25 + . . . } + { 22
il i2
+ 24 i3
+ 26 +. . . } e A+ B.
IIEH
Thus we have A+ B = [0, 1].

It remains to show that A and Bare null sets in the measure space (R, 9RL, ILL), that is,
ILL (A) = 0 and ILL (B) = 0. Now
(3) B= E [0, 1] :X =
it + i2 + i3 + ·· · where i1c E {0, 1} fork EN
}
{X 22 24 26
il i2 i3 }
= {X E [0, 1] :X = + 42 + 43 + .. · where it E {0, 1} fork EN .
4
By (1) and then by (3), we have
(4) l1 A= {X E [0, 1] :X = it i2 + i3 + ·· ·
+ 24 where i1c E {0, 1} fork E N }
22 26
il i2 i3 }
= {X E [0, 1] : X = 4 + 42 + 43 + ·· · where it E {0, 1} fork E N
=B.
Thus we have A= 2B and then ILL(A) = 21LL(B). Then to show that ILL(A) = 0 and
ILL(B} = 0, it suffices to show that ILL(B) = 0.
Let us show that ILL (B) = 0. We show that B is a subset of a Cantor-like set C with
ILL (C) = 0. The set C is constructed as follows.
Let Co = [0, 1]. Decompose Co into 4 subintervals of equal length and remove the open
3rd and the open 4th subinterval and let C1 be the resulting set. Then
c1 = [o, !] u [!. }] u UJ u UJ,
!
a union of 2 closed intervals of length and 2 singletons.
Decompose each one of the 2 closed intervals in C1 into 4 subintervals of equal length
and remove the open 3rd and the open 4th subinterval and let C2 be the resulting set. Then
c2 = [o, iz] u [iz. iz] u {;A} u {;tz}
u[~.~]u[~.~]u{~}u{~}
u{l}uU}.
b
a union of 22 closed intervals of length and 2 + 22 singletons.
We iterate this process of subdivision and removal indefinitely. Then for every n e N,
Cn is a union of 22 closed intervals of length -}.. and L~=l 21 singletons. Note that Cn is a
closed set in Rand is thus ~~~-measurable and then 9JlL -measurable with ILL (Cn) = (~r.
Now (Cn : n E N) is a decreasing sequence of subsets of Co. We define
Then C is a closed set in R and moreover we have
Let us show that B c C. Let x e B. Then by the description (3) of the set B, we have
x = E!~ wherei.t E {0, 1} fork EN.

keH
For every n E N, let
Then we have
X= lim Xn.
n-+oo
It follows from the construction of C that Xn e C for every n e N. Then since C is a closed
set in R, we have lim Xn E C, that is, x e C. This shows that B c C.
n~oc
Since (R, 9JlL, ILL) is a complete measure space, the fact that p,.L (C) = 0 and the fact
that B C C imply that BE 9J1L and p,.L(B) = 0.
This completes the proof that the sets A and B defined by (1) and (2) respectively are
null sets in (R, VJlL, ILL) and moreover A+ B = [0, 1].
2. Let us construct two null sets E and Fin the measure space (R, V'RL, p,.L) such that
E + F = R. Let A and B be as defined by (1) and (2) respectively. For every m E z, let
us define
i2 i3 }
(5) Am = {X E R :X = m+ lit + 23 + 25 + · ·· where i.t E {0, 1} fork E N .
Let
(6) E = U Am and F = B.
meE·
We showed in 1 that if x E [0, 1] then x = x' + x" where x' E A and x" E B so that
x e A+ B. Now ify e R then we have y = m +x where me Z andx e [0, 1). Since
x = x' + x" where x' E A and x" E B, we have y = m + x' + x" where m + x' E Am and
x" E B. Thus y E Am +B c E +F. ThisshowsthatR c E+F. SinceE +F c R,we
haveE +F = R.
It remains to show that E and F are null sets in the measure space (R, WiL, ILL). Now
by (6) we have F = Band thus F is a null set in (R , mL, ILL). According to (5), Am
is a translate of the null set A by m. Then by the translation invariance of the measure
space (R , 9JlL, ILL), Am e mL and ILL(Am) =ILL (A) = 0. Thus Am is a null set Then
E = Ume:;, Am, being a countable union of null sets, is a null set. 1
Prob. 3.27. Let Q be the set of all rational numbers in IR. Show that for any x E R we have
lim lQ+t(x) =I= la(x) and indeed lim lQ+t(x) does not exist.
t-+0 t-+0
Proof. 1. Let xo E R be arbitrarily chosen. Let us define a real-valued function rp on R by

setting
rp(t) = la+t(xo) fort E JR.
Let us show that lim rp(t) does not exist.
t-+0
Assume that lim rp(t) exists. Now rp assumes two values only, namely 0 and 1. Thus if
t-+0
lim lp(t) exists then either lim lp(t) = 0 or lim rp(t) = 1.
t~o t~o t~o
2. Suppose lim lp(t) = 0. Then forE = ~ > 0 there exists 8 > 0 such that
t~O
1
lrp(t) - 01 < fort E ( -8, 8),
2
that is,
1 1
- < lp(t) < fortE (-8, 8).
2 2
Then since the range of rp is {0, 1}, we have
(1) lp(t) = 0 fort E ( -8, 8).
Sincerp(t) = la+t(xo), fl'(t) = 0 ifandonlyifxo ¢ Q+t, that is, xo- t ¢ Q, thatis,xo- t

is an irrational number. Then (1) implies that xo - t is an irrational number fort E ( -8, 8),
that is, (xo - 8, xo + 8) contains only irrational numbers. This is impossible.
3. Suppose lim fll(t) = L Then forE = ~ > 0 there exists 8 > 0 such that
t~O
1
lrp(t) - 11 < fort E ( -8, 8),
2
that is,
1 3
< rp(t) < fortE (-8,8).
2 2
Then since the range of rp is {0, 1}, we have
(2) f/l(t) = 1 fort E ( -8, 8).
Since fP(t) = lQ+t(XO), rp(t) = 1 if and only if xo E Q + t, that is, xo- t E Q, that is,
xo - t is a rational number. Then (2) implies that xo - t is a rational number fort E ( -8, 8),
that is, (xo - 8, xo + 8) contains only rational numbers. This is impossible.
4. This completes the proof that lim rp(t) cannot exist. 1
t~O
Prob. 3.28. Let J be a collection of disjoint intervals in R. Show that J is a countable

collection.
Proof. There can be at most 2 infinite intervals in any collection of disjoint intervals in
R. Thus to show that every collection of disjoint intervals in R is a countable collection, it
suffices to show that every collection of disjoint finite intervals in R is a countable collection.
Let J be a collection of disjoint finite intervals in R. Let us show that J is a countable
collection. For every n E N, let Jn be the subcollection of J consisting of those members
ofJ that are contained in the interval ( -n, n). Since every memberof:J is a finite interval,
it is contained in ( -n, n) for sufficiently large n E N and thus it is contained in J 11 for some
n EN. Thus we have
J = u
neH
:Jil.
Then to show that J is a countable collection, it suffices to show that Jn is a countable

collection for every n E N. To show that J 11 is a countable collection for every n E N, let
us assume the contrary, that is, let us assume that J 11 is an uncountable collection for some
n EN.
Now for every interval I in R, we have ILL (I) = l(l), the length of I, which is a
positive real number. Fork E N, let J 11,.t be the subcollection of J 11 consisting of I E J 11
with ILL (I) > l· l
Then since ILL (I) > 0, we have ILL(!) > for some k E N. Thus we
have
Jn= UJn,k·
kef!
If J,.,k were a finite collection for every k E N, Jn would be a countable collection,
contradicting the assumption that J 11 is an uncountable collection. Thus there exists ko E N
such that :J11,iiJ is an infinite collection. Then we can select Im E :J11 ,iiJ for every m E N.
Sinceim E Jll, iiJ C :J11 ,wehaveim C (-n,n)andthenUmeHim C (-n,n). Thisimplies
that
ILL( U Im) ::S ILL((-n,n)) = 2n.
mer!
On the other hand, since Vm : m E N} is a disjoint collection and ILL Um) > -/;; , we have
ILL( U Im) = LILLUm) ~L ~= 00.

meH mefT meH
This is a contradiction. 1
An Alternate Proof. Let J be indexed as J = {Ia : a E A}. Assume that J is an

uncountable collection. Then the indexing set A is an uncountable set. Let Q be the set
of all rational numbers. For every a E A, Ia is an interval in R and thus Ia n Q =ft. 0.
Pick a rational number in Ian Q arbitrarily and label it as ra. Consider the collection of
rational numbers {ra : a E A}. Since the intervals Ia for a E A are disjoint, the rational
numbers ra for a E A are distinct. Thus {ra : a E A} is an uncountable collection of
rational numbers. This contradicts the fact that Q is a countable set. Thus J cannot be an
uncountable collection. Therefore J is a countable collection. 1
§4 Measurable Functions
Prob. 4.1. Given a measurable space (X, 21). Let f be an extended real-valued function on
a set D E 21. Let Q be the collection of all rational numbers.
(a) Show that if {x ED : f(x) < r} E 2l for every r E Q then f is 2l-measurable on D.
(b) What subsets of IR other than Q have this property?
(c) Show that iff is Ql-measurable on D, then there exists a countable subcollection C: of
Q(, depending on f, such that f is cr(C:)-measurable on D.
Proof. (a) To show that f is 21-measurable on D E 21, we show that for every a E IR we
have{x ED: f(x) <a} E 21.
Let a E JR. Then there exists a strictly increasing sequence of rational numbers (rn :
n E N) such thatrn t a. Now for any x E D, if f(x) < Tn for some n E N then f(x) <a.
Thus
{x e D : f(x) < rn} C {x e D : f(x) <a}
and then
(1) U{x E D : f(x) < rn} C {x E D : f(x) < a}.

nEf!
On the other hand, if xo E {x E D: f(x) <a} then f(xo) <a and this implies that there
exists no E N such that f (xo) < r110 < a and then
xo E {x ED: f(x) < r110 } C U{x ED: f(x) < rn}·

nEH
Since this holds for an arbitrary xo E {x E D: f(x) <a}, we have
(2) {x ED: f(x) <a} C U{x ED: f(x) < rnl·

nEl'-1
By (1) and (2), we have
(3) {x ED: f(x) <a}= U{x ED: f(x) < rn}·

nEH
By assumption we have {x ED: f(x) < r 11 } E 2l for every n E N. Then since Ql is closed
under countable union we have {x e D : f (x) < a} e Q(.
(b) Any dense subset of R has this property.
(c) Suppose f is 21-measurable on DE 21. Let Q = {r;; i E N} be the set of all rational
numbers. Since f is 21-measurable on D , we have {x E D : f(x) < a} E 21 for every
a E R and thus in particular we have
D; :={xED : f(x)<r;}E2l foriEN.
Let~ = {D; : i E N} c 21 and consider cr(C:) c 2(.

To show that f is cr ( lt)-measurable on D, we show that for every a e III!. we have

{x E D : f(x) < a} e cr(~)- Let a e III!. and let (r11 : n e N) be a strictly increasing
sequence of rational numbers such that r11 t a. Then by (3) above we have
{x e D: f(x) <a}= U{x e D: f(x) < r,.} = U D,..

Then since D,. E It c cr (It) for every n E N and since cr ( ~) as a cr-algebra of subsets of X
is closed under countable union, we have UnEI'.' D,. E cr (It), that is, {x E D : f (x) < a} E
cr(lt). 1
Prob. 4.2. Let ~be a collection of subsets of a set X. Consider cr(~), the smallest cr-
algebra of subsets of X containing~ - Let f be an extended real-valued cr(~)-measurable
function on X. Show that there exists a countable subcollection It of ~ such that f is
cr(lt)-measurable on X.
Proof. Let Q = {r; : i e N} be the collection of all rational numbers. Since f is cr(~)
measurable function on X, we have {x e X : f(x) < a} e cr(~) for every a e III!. and in
particular we have
~ := {x EX: j(x) < r;} E cr(~) for every i EN.
According to Prob. 1.20, for every A e cr(~) there exists a countable subcollection ~A of
~ such that A e cr (~A). Thus for each i e N there exists a countable subcollection f.!:; of
~such that A; E cr(lt;). Let~= uiEl llt;, a countable subcollection of~. and consider
cr (It). Then for every r; e Q we have
{x eX : f(x) < r;} = A; e cr(f.!:;) c cr(lt).
This shows that f is cr ( lt)-measurable on X according to Prob. 4.1. 1

Prob. 4.3. Consider the measurable space (JR, 931<) .

(a) Show that if E c JR is a countable set then E e ~.g> .
(b) Show that every extended real-valued function f defined on a countable set E c JR is
~ ~;,-measurable on E.
Proof. 1. 93r,; is the u-algebra of subsets of R generated by the open sets in R . Thus ~r;:
contains all open sets and then all closed sets in JR. Let x e JR. A singleton {x} in JR is a
closed set in R and thus {x} E 93x . A countable set E in JR is the union of countably many
singletons and therefore E E ~J;.
2. Let f be an extended real-valuedfunctiondefined on a countable set E in JR. By (a),
we have~ ., . To show that f is ~ ~,, -measurable onE we verify that for every a e JR we
have
{x E E : f(x) :Sa} E ~I << ·
Now Eisa countable set and this implies that its subset {x E E : f(x) :sa} is a countable
set and hence it is in ~ I!: by (a). 1
Prob. 4A. Let f be an extended real-valued Borel measurable function on a set DE 9311!·
Show that if we redefine f arbitrarily on a countable subset Do of D the resulting function
is still Borel measurable on D.
Proof. Being a countable set in JR, Do is a ~~.;,-measurable set in JR by Prob. 4.3. Then
D \Do is a ~ ~~~-measurable set in R . Let g be an extended real-valued function on D such
that g = fonD\ Do. Since f is 93v -measurable on D, f is ~ g> -measurable on D \Do
byLemma4.7. Thensinceg = f onD\Do,g is 93p_-measurableonD\Do. On the other
hand, since Do is a countable set in R , g is ~r,-measurable on Do by Prob. 4.3. Then g is
~ ~; -measurable on Do U (D \Do) = D by Lemma 4.7. 1
Prob. 4.5. Let f(x) be a real-valued increasing function on ~ . Show that f is Borel
measurable, and hence Lebesgue measurable also, on its domain of definition.
Proof. A subset E of ~ is an interval if and only if E has at least two elements and any
point between two elements of E is an element of E. Then an interval is a set of the forms
(a, fJ), [a, fJ), (a, fJ], [a, fJ],
(a, oo), [a, oo), ( -oo, fJ), ( -oo, fJ],
(-oo, oo).
Thus every interval is a ~ ~~-measurable set.

Let f be a real-valued increasing function on R. To show that f is ~ ~,t-measurable on
R we show that for every a E ~ we have
Ea := {x E R: f(x) <a} E ~:::,:.
Consider the set Ea. There are three possibilities. The set Ea may be an empty set, or a
singleton, or a set with at least two elements. H Ea is an empty set, then Ea E ~:::,:. H
Ea is singleton, then Ea E ~u•. Consider the case that Ea has at least two elements. Let
Xt, xz E Ea and Xt < xz. Let xo E R be such that Xt < xo < xz. Since xz E Ea, we have
f(xz) < a. Since f is an increasing function on R, we have /(xo) :S f(xz) <a and thus
xo E Ea. This shows that Ea is an interval. Then Ea E ~R· I
An Alternate Proof. Let f be a real-valued increasing function on R. Then f has at most
countably many points of discontinuity. Let E be the set of all discontinuity points of f.
Then E is a countable set in R and then E E ~II'-· Now R \ E E ~R and R \ E is the set
of all continuity points of f. Then f is continuous at every point in ~ \ E and thus f is
continuous on lR \E. This implies f is ~r-c-measurable on R \ E by Theorem 4.27. On
the other hand, since E is a countable set in JR, f is ~~~ ;,-measurable on E by Prob. 4.3.
Now that f is~ ?-measurable on lR \ E and ~ ~-measurable onE, f is ~ R-measurable
onE U (R \E)= R by Lemma4.7. I
Prob. 4.6. Show that the following functions defined on 1ft are all Borel measurable, and
hence Lebesgue measurable also, on 1ft :
(a) f(x) = 0 if xis rational and f(x) = 1 if xis irrational.
(b) f(x) = x if xis rational and f(x) = -x if xis irrational.
(c) f(x) = sinx if xis rational and f(x) = cosx if xis irrational.
Proot (a) Let Q be the set of all rational numbers. Then Q is a countable set. This implies
that Q E ~::; and f is ~E-measurable on Q according to Prob. 4.3. Now JR. \ Q E ~r,; and
since f is constant on R \ Q , f is ~r,:-measurable on R \ Q. Thus f is ~r..:-measurable on Q
and ~ p-measurableon !R. \ Q and this implies that f is ~~~ -measurableon Q U(IR. \ Q) = JR.
byLemma4.7.
(b) f is ~ ~;.-measurable on Q as in (a) above. We have f(x) = -x for x E IR. \ Q
and thus f is continuous on R \ Q and this implies that f is ~ rmeasurable on R \ Q by
Theorem 4.27. Now that f is ~ H-measurable on Q and ~H -measurable on JR. \ Q, f is
~R-measurable on Q U (IR. \ Q) = R by Lemma 4.7.
(c) f is ~Irr:-measurable on 1ft by the same reason as in (b). 1
Prob. 4.7. Let f be an extended real-valued function defined on an interval I in R . Let Q

be an arbitrary countable subset of lEt. Show that iff is continuous at every x E I\ Q, then
f is Borel measurable on I.
(As an example of functions of this type, let f be a real-valued function on IR given by
tanx forx#(2k+l)~ forke Z ,
f(x) =
{ 0 forx=(2k+l)~ forke Z .
Note also that the countable subset Q of I may be a dense subset of I . See Prob. 4.8.)
Proot An interval I in 1ft is a member of ~R· A countable subset Q of IR is a member of

~R accordingtoProb.4.3. Thus In Q E ~I: and!\ (In Q) E ~ R · Now [is continuous
at every x E I\ (In Q) and thus f is continuous on I\ (In Q). Then f is ~R-measurable
on I\ (In Q) by Theorem 4.27. Since In Q is a countable set in IR., f is ~ ~, -measurable
on I n Q by Prob. 4.3. Thus f is ~ ~;, -measurable on I \ (I n Q) and ~~R-measurable on
In Q. Then f is ~ H.-measurable on (I\ (In Q)) u (In Q) =I by Lemma 4.7. 1
Prob. 4.8. Let Q be the collection of all rational numbers in (0, oo). Let each x e Q be
expressed as 'L where p and q are positive integers without common factors other than 1.
Define a funcUon f on (0, oo) by setting
l ifx e Q andx = 'L,
f(x) = P P
{ 0 if X E (0, oo) \ Q.
Show that f is discontinuous at every rational x e (0, oo) and continuous at every irrational
XE (0, 00).
Proof. 1. Let us show that f is discontinuous at every rational number in (0, oo). A real-
valued function f defined on (0, oo) is continuous at xo e (0, oo) if and only if for every
sequence (xn : n e N) in (0, oo) such that lim Xn = xo we have lim f(xn) = f(xo).
n.....,.oo n~oo
Now let xo e (0, oo) be a rational number. Then we have f(xo) = l where p e N. Let
(xn : n e N) be a sequence of irrational numbers in (0, oo) such that P lim Xn = xo. Then
n-+oo
1
f(xn) = 0 for every n e Nand consequently we have lim f(xn)
n-+oo
= 0 =f. -P = f(xo).
Thus f cannot be continuous at xo.
2. Let us show that f is continuous at every irrational xo e (0, oo). For this we show
that for every E > 0 there exists 8 > 0 such that
(1) lf(x)- f(xo)l < E for x e (xo- 8, xo + 8) n (0, oo).

Now since f(x) =:: 0 for every x e (0, oo) and f(xo) = 0, the condition (1) reduces to
(2) 0 ::S f(x) < E forx E (xo -8,xo +Jl) n (O,oo).
Let N e N be so large that k < E and also J := (xo- 2k,xo + 2k) c (0, oo). The
open interval J has length k. Now if p e N and p :::; N then the open interval J contains
at most one rational number with denominator p since the distance between two rational
numbers with denominator p is at least l ::: k.
Thus the open interval J contains at most
N rational numbers with denominators Pp = 1, ... , N. By the finiteness of the number
N we can select 8 > 0 so small that the interval (xo - Jl, xo + 8) does not contain any of
theN rational numbers with denominators p = 1, ... , N. Now let x e (xo - Jl, xo + 8).
Then either xis an irrational number so that f(x) = 0 < E or xis a rational number with
denominator p::: N so that f(x) = ~ :::; k <E. This proves (2). Thus f is continuous at
every irrational x e (0, oo) 1
Prob. 4.9. Let f be an extended real-valued ~RL -measurable function on a set D E VRL.
Show that .JI1l is a mL -measurable function on D.
Proof. To show that .JI1l is 9JlL -measurable on D, we show that for every a E R. we have
Now since .Jif(x)l ~ 0 foreveryx ED, fora< Owe have
{xED: v'lf(x)l <a}= 0 E ~JlL.
Thus consider a ~ 0. Then we have
(1) {xED: v'lf(x)l <a}= {xED: lf(x)l < a 2 }.
Now the mL -measurability off on D implies the v:nL -measurability of 1/1 on D. Thus
we have
(2)

{xED: v'lf(x)l <a} E VRL. I
Prob. 4.10. Let (f,. : n E N) and f be extended real-valued functions on a set D. Show
that if lim f,.(x) = f(x) E Rat some x E D, then we have both lim f,.+(x) = f+(x)
11-+00 11-+00
and lim /,.-(x) = f-(x).
11-+00
Proof. Suppose lim fn (x) = f (x) E R.

11-+00
1. Let us show that lim J:(x) = f+(x).
n-+oo
1.1. Consider the case that f(x) > 0. In this case we have j+(x) = f(x). Now
lim f,.(x) = f(x) > 0 implies that there exists N E N such that f,.(x) > 0 for n ~ N.
11-+00
Then we have J;t(x) = f,.(x) for n ~ N. Then lim f,.(x)
n-+oo
= f(x) can be rewritten as
lim t,+(x) = j+(x).
n..... oo n
1.2. Consider the case that f(x) < 0. In this case we have J+(x) = 0. Now
lim f,.(x) = f(x) < 0 implies that there exists N E N such that f,.(x) < 0 for n ~ N.
11-+00
Then we have J,.+(x) = 0 for n ~ N. Thus we have lim /,.+(x) = 0 = f+(x).
11-+00
1.3. Consider the case that f(x) = 0. In this case we have J+(x) = 0. Now we have
(1)
Recall that for a sequence of extended real numbers (a,. : n E N) we have lim a,. = 0
11-+00
if and only if lim lanl
n-+oo
= 0. Thus our assumption lim f,.(x) = f(x)
n-+oo
= 0 implies
lim lfn(x)l = 0. Then from (1) we have
n-+oo
lim lf:(x) -
11-+00
t+ (x)l :5 11-+00
lim lfn(x)l = 0.
This then implies
that is,
2. Let us show that lim

11-700
J;; (x) = f- (x ). We have
(2)
Now lim f,.(x) = f(x) implies lim (-f 11 )(x) = (- f)(x). By 1 above, this implies
n~oo n~oo
(3)
Then by (2) and (3), we have

Prob. 4.11. Let D be a null set in the Lebesgue measure space (!R, VRL, ILL). Show that
every extended real-valued function f defined on D is 9J1L -measurable on D.
Proof. The measure space (JR:., 9JtL, ILL) is a complete measure space, that is, every subset
of a null set in (IR, 9JtL, ILL) is a member of 9JtL. Let f be an arbitrary extended real-valued
function defined on a null set D of the measure space (IR, mL, ILL). Then for every a E IR,
the set {x ED: f(x) <a} being a subset of the null set Dis a member of9JtL. Thus f is
mL -measurable on D. I
Prob. 4.12. Consider the Lebesgue measure space (JR:., v:nL, ILL). Let D E mL and let f
be an extended real-valued function defined on D such that f is continuous at almost every
xED. Show that f is 9JtL -measurable on D.
Proof. Since f is continuous at almost every x E D, there exists a null set Do c D of
the measure space (JR:., 9JtL, ILL) such that f is continuous at every x E D \Do. Now
continuity of f at every x E D \ Do E 9J1L implies that f is mL -measurable on D \ Do
according to Theorem 4.27. On the other hand, since Do is a null set in the measure space
(JR:., 2nu ILL), f is VJ1L-measurable on Do by Prob. 4.11. Thus f is VJ1L-measurable on
D \Do and VJ1L-measurable on Do. Then f is VRL -measurable on (D \Do) U Do= D by
Lemma4.7. 1
Prob. 4.13. Consider the Lebesgue measure space (R, v.nL, ILL). Let f be an extended
real-valued function defined on IR:.. Consider the following two concepts:
(i) f is continuous a.e. on R, that is, there exists a null set N in ( R, VRL, ILL) such that f
is continuous at every x e IR:. \ N,
(ii) f is equal to a continuous function a.e. on IR:., that is, there exist a continuous function
g on Rand a null set N in (R, VJ1L, ILL) such that f(x) = g(.:t) for every .:t e IR:. \ N.
To show that these are two different concepts:
(a) Construct a function which satisfies condition (i) but not (ii),
(b) Construct a function which satisfies condition (ii) but not (i).
Proof. (a) Let us define a real-valued function f on IR:. by setting
l for.:t # 0,
f(.:t) = ox
{ forx = 0.
Then f is continuous at every .:t e R \ {0}. Since {0} is a null set in the measure space
(R, VRL, p,L), f is continuous a.e. on E.
Let us show that there cannot exist a continuous function g on IR:. and a null set N in
(R, VRL, J.LL) such that f = g on R \ N. Assume the contrary. Then the assumption that N
is a null set in (R, VRL, ILL) implies that Nc = R \ N is a dense subset of R, that is, every
non-empty open set in IR:. contains points of Nc. Then we can select a strictly decreasing
sequence (.:t11 : n E N) in Nc such that .:t11 ..j, 0. Then the continuity of g at .:t = 0 implies
that lim g(.:t11 )
11-+00
= g(O) e R. On the other hand, since f =
g on Nc and since .:t11 e Nc,
we have g(x11) = f(x11 ) = _!_
x.
and this implies that
This is a contradiction. This shows that our function f satisfies (i) but not (ii).
(b) Let Q be the set of all rational numbers. Then Q is a null set in (R, VRL, p,L). Let
f be a real-valued function f on R defined by setting
1 fou e Q,
f(x) =
{ 0 for.:t E R \ Q.
Let g be the identically vanishing function on R. Then g is a continuous function on R and

moreover f = g on IR:. \ Q. Thus f satisfies (ii). On the other hand f is discontinuous at
every x E R and thus it does not satisfy (i). 1
Prob. 4.14. Let f and g be two real-valued functions on R.

(a) Show that iff and g are ~~ ,\-measurable on IR:, then so is go f.
(b) Show that iff is VJIL-measurable on IR: and g is ~ ~;; -measurable on R, then go f is
mL -measurable on R .
Proof. Let us review measurable mappings.
1° Let (X, Qt) and (Y, ~)be measurable spaces. A mapping f of X into Y is said to
be S2l/~-measurable if for every B E ~we have f- 1(B) E Ql, that is, if f- 1(513) c S2(.
(See Definition 1.38.)
2° Let (X, Qt), (Y, ~)and (Z, e:) be measurable spaces. Let f be a Qtj~-measurable
mapping of X into Y and let g be a ~je:-measurable mapping of Y into Z. Then go f is
a Qtje:-measurable mapping of X into Z. (See Theorem 1.40.)
3° Let (X, Qt) be an arbitrary measurable space. A real-valued function f is m-
measurable on X if and only iff is a !U/~ IF'-measurablemapping of (X, Qt) into (IR:, ~J' ).
(See Theorem 4.6.)
1. Let us prove (a). Thus let f and g be real-valued ~ r..: -measurable functions on R .
Then by 3°, f is a 513u!/5J31;;-measurable mapping of (IR:, 5J3 ;;) into (R , ~~,)and similarly
g is a ~~ ~~~~~-measurable mapping of (IR:, SB ~) into (IR:, ~h' ). Then by 2°, go f is a
~r,J~:F:-measurablemappingof(R , 5J3:R) into (R, ~r,;), that is, go f is a ~R -measurable
function on R by 3°. This proves (a).
2. Let us prove (b). Let f be a real-valued 9JlL-measurable function on R. Then
by 3°, f is a 9JIL/SB~_;;-measurable mapping of (R, 9Jl~.) into (R, SBJ?J. Let g be a real-
valued SBr..:-measurablefunctionon R . Then by 3°, g is a ~Jd~r,;- measurable mapping of
(R , ~v ) into (R, 5J3u~). Then by 2°, go f is a VJld~wmeasurable mapping of (IR:, SJJIL)
into (R , SBH), that is, go f is a 9JlL -measurable function on R by 3°. This proves (b). 1
Prob. 4.15. Let X be a set and let (Y, (5) be a measurable space. Let T be a mapping from
X to Y. Show that r- 1((5) is a a-algebra of subsets of the set :D(T), and in particular, if
:D(T) =X then r- 1((5) is a a-algebra of subsets of the set X.
Proof. To show that r-1(15) is a a-algebra of subsets of the set :D(T), we verify:
1° :D(T) E r- 1(15).
2° E E r- 1 (15)::::} :D(T) \ E E r- 1 (15).
3° E., E r- 1(15) for n E N::::} UneH E., E r- 1 (15).
1. Now :D(T) = r- 1 (Y) andY E (5. Thus :D(T) E r- 1 (15). This verifies 1°.
2. SupposeE E r- 1((5). ThenE = 1
r- (G)forsomeG E 15. Since(5isaa-algebra
of subsets of Y, G E 15 implies Y \ G E 15. Then
r- 1 (Y \G)= r- 1 (Y) \ r- 1 (G) = :D(T) \E.
Thus we have
:D(T) \ E = T- 1(Y \G) E T-1 (15).
This verifies 2°.
3. Suppose En E r-1(15) for n E N. Then there exists G., E 15 such that En =
r- 1(G,.) for n EN. Since (5 is aa-algebraof subsets of Y, we have Unel'J G,. E 15. Then
r-1( u
nelcJ
G,) =
neH
u r-1(G.,) = u
nel<-1
E,.
Thus we have
U E.,= r- U G.,) e r- (15).
1
(
1
nef:l nel c1
This verifies 3°. 1

Prob. 4.16. Given two topological spaces (X, Dx) and (Y, Dy). Let 23x = a(Dx),
that is, the Borel a-algebra in X, and similarly let ~By = a(Dy). Show that if T is a
homeomorphism of (X, Dx) onto (Y, Dy), then T- 1(23y) = ~Bx and T(~Bx) =~By.
(Hint: Show first the fact that ~By is a a-algebra of subsets of Y implies that T- 1(23y) is
a a-algebra of subsets of X.)
Proot Let (X, D x) and (Y, D y) be two topological spaces. A homeomorphism is a one-
to-one mapping T of X onto Y such that Tis continuous on X and T- 1 is continuous on
Y, that is,
(1) T- 1 (Dr) c Dx,

(2) (T- 1r 1
(Dx) cDr that is, T(Dx) C Dy.
Let us observe that (1) and (2) imply
(3) r- 1 (Dr) = Dx.
(4) T(Dx) =Dr.
Indeedfrom(1) we have T(T-1 (Dr)) c T(Dx) so that Dr c T(Dx) cDr by(2) and
thusT(Dx) = Drproving(4). Similarlyfrom(2)wehaveT- 1 (T(Dx)) c r- 1 (Dr) c
Dx by (1), that is, Dx c r-1 (Dr) c Dx so that T- 1 (Dr) = Dx proving (3).
Let ~Bx = a(Dx) and ~Br = a(Dy). Let us prove
(5) T- 1(23y) = ~Bx,
(6) T(~Bx) =~By.
Now the fact that ~By is a a-algebra of subsets of Y implies that T- 1 (~By) is a a-algebra
of subsets of X according to Prob. 4.15. Now
T- 1 (~y) = T- 1 (a(Dy)) = a(T- 1 (Dy)) by Theorem 1.14
= a(Dx) = ~Bx by (3).
This proves (5). Then by (5) we have
T(~x) = T(T- 1 (23y)) = ~y.
This proves (6). 1

Prob. 4.17. Let g be a real-valued continuous function on an interval I in JR. Let Q be a

countable dense subset of I. (The set of all rational numbers in I is an example.) Show that
inf g(y) = inf g(r),
ye/ reQ
sup g(y) = sup g(r).

ye/ reQ
Proof. The two equalities are proved in the same way. Let us prove the second one here.
1. Consider the case that g is not bounded above on I. In this case we have by definition
supyei g(y) = oo. Since g is not bounded above on I, for every M > 0 there exists
YM E I such that g(yM) ~ M. Continuity of g at YM implies that for every sequence
(Yk: kEN) in I such that lim Yk = YM we have lim g(yk) = g(yM). Since Q is dense
k-+oo k-Too
in I, we can select a sequence ('k : k E N) in Q such that lim 1); = YM· Then we have
k-TOO
lim g(rk) = g(yM). This implies that there exists rM E Q such that
k_.oo
Since this holds for every M > 0, g is not bounded above on Q and therefore we have
sup g(r) = oo =sup g(y).

reQ yel
l. Consider the case that g is bounded above on I. Here we have sup g(y) = fJ E JR.
ye/
Since Q c I, we have supg(r) ~ supg(y) = {J. Let us show that actually we have
reQ yel
sup g(r) = {J. To prove this, assume the contrary, that is, assume that sup g(r) < {J. Then
reQ reQ
sup g(r) = fJ - e where e > 0. Now fJ = sup g(y) implies that there exists YO E I such
~Q y~
that g(YO) > fJ - ~. Since Q is dense in I, we can select a sequence (rk : k E N) in Q such
that lim Tk =YO· Then the continuity of gat YO implies that
k-TOO
. e
lim g(rk) = g(YO) >
k_.oo
fJ- -.
2
This implies that there exists k E N such that g(rt) > fJ- ~- Thus we have
e
sup g(r) ~ g(Tk) > fJ - - > fJ - e = sup g(r),
reQ 2 reQ
that is, we have sup g(r) > sup g(r), a contradiction. Therefore we have
reQ reQ
supg(r) = fJ = supg(y). 1
reQ yel
Prob. 4.18. Let D E mL and let F be a real-valued function on D x (c, d) satisfying the
conditions:
1°. For each y E (c, d), F(·, y) is a mL-measurable function on D.
2°. For each x ED, F(x, ·)is a continuous function on (c, d).
Show that rp andY, defined by rp(x) = infye(c,d) F(x, y) and Y,(x) = SUPye(c,d) F(x, y) for
XED are mL -measurable on D.
Proof. Let Q be a countable dense subset of the interval (c, d). (For example, Q is the set
of all rational numbers in (c, d).) By Prob. 4.17, we have
rp(x) = inf F(x, y) = inf F(x, r) for x E D.

ye(c,d) reQ
Now for each r E Q, F(·.r) is a VJ1L -measurable function on D. Then the countability of
the set Q implies that inf F ( ·, r) is a VJ1L -measurable function on D according to Theorem
reQ
4.22. Thus q; is a 9JtL -measurable function on D.
Similarly by Prob. 4.17 we have
'1/f(x) = sup F(x, y) =sup F(x,r) for xED.

ye(c,d) reQ
Then t is a mL -measurable function on D by the same reason as for q; above. 1

Prob. 4.19. Let F be as in Prob. 4.18. Show that if Yo = cord, then liminf F(·, y) and
y-+yO
lim sup F (·, y) are 9J1L -measurable functions on D.
y-+yO
Proof. Let us show that liminf F(·, y) is a 9JlL-measurable function on D. By definition

y-+c
we have
liminf F(·, y) =lim inf F(·, y).
y-+c 8.1-0 ye(c,cH)
Now we have
inf
ye(c,c+&)
F(·, y) t as 8 +.
Thus we can write
lim inf F(·, y) = lim inf F(·, y).
a-1-0 )'E(c,cH) n->oo ye(c,c+~)
For each n E N, infye(c,c+~) F(·, y) is a 9J1L-measurable function on D according to

Prob. 4.18. Since this is valid for every n EN, lim inf F(·, y) is a VJ1L -measurable
n-+oo ye(c,c+~)
function on D by Theorem 4.21. This proves that liminf F(·, y) is a
y->c
mL -measurable
function on D.
The ~JJ1L-measurability of limsupF(·, y), liminf F(·, y), and limsupF(-, y) on Dis
y->c y-+d y-+d
proved likewise. 1
Prob. 4.20. Let F be as in Prob. 4.18. Show that if Yo = cord, the subset of Don which
the function lim F(·, y) exists is a VJ1L -measurable set and the function lim F(·, y) is
y->YQ Y->YO
VJ1L -measurable On the SUbset
Proof. Recall that lim F(·, y) exists if and only if lim inf F(·, y) = lim sup F(·, y).
n-+oo y-+YO y-+YQ
According to Prob. 4.19, liminf F(·, y) and limsupF(·, y) are 9JlL-measurablefunctions
Y-+YO )'-+YO
on D. This implies according to Theorem 4.16 that
Do:= {xED: liminf F(x, y) = limsupF(x, y)} E VJ1L.

)'-+yO )'->yO
This shows that the subset Do of D on which lim F ( ·, y) exists is a 001L -measurable set.
)'->)'{)
On the 9JlL -measurable subset Do of D, we have lim F(·, y) = lim inf F(·, y) =
y->yO Y->YO
lim sup F(·, y). Then since lim F(·, y) and lim sup F(·, y) are 001cmeasurable on D
)'-+yO y-+yO Y-+YO
and in particular on Do, lim F ( ·, y) is v:nL -measurable on Do. 1
Y-+YO
Prob. 4.21. Let f be a real-valued function on JR. Consider the derivative off at x e IR
defined by
(Df)(x) = lim f(x+h)- f(x) if the limit exists in R.
h-->0 h
(We say that f is differentiable at x E IR only if ( D f)(x) e IR.)
Show that iff is continuous on IR then :D(Df) e ~R and Df is ~I,:-measurable on
::D(Df).
Proof. 1. Consider the right-derivative and left-derivative off at x E IR given by
(Dr f)(x) =lim f(x +h) - f(x) if it exists in R,

h-!-0 h
(Dtf)(x) =lim f(x +h) - f(x) if it exists in JR.
htO h
Now (Df)(x) existsinRifandonlyifboth (Drf)(x) and (Dd)(x) existinRandmoreover

(Dr f)(x) = (Dtf)(x). When this is the case we have (Df)(x) = (Dr f)(x) = (Dtf)(x).
2. Let us show that ::D (Dr f) e ~ Y' and Dr f is an extended real-valued~ ~~ -measurable
function on :D(Drf). For this purpose let us define a function F on IR x (0, oo) by setting
(1) F(x, h)= f(x +h)- f(x) for (x, h) E IR x (0, oo).
h
Then we have
(2) (D7 f)(x) = limF(x, h).

h-!-0
Since f is a continuous function on IR, F ( ·, h) is a continuous function on lR for each fixed
h e (0, oo) and F (x, ·) is a continuous function on (0, oo) for each fixed x e IR.
Let Q be a countable dense subset of IR. (Q may be the set of all rational numbers.)
Now we have
(3) lim sup F(·, h) =lim sup F(·, h).

h-!-0 &-l-0 he(O,&)
Then since suphe(O,a) F(·, h) .J.. as 8 .J.., we can write
(4) lim sup F(·, h) = lim sup F(·, h).

8.j.O he(0,8) 11-->00 he (0,~!)
According to Prob. 4.17, continuity of F(x, ·)on (0, oo) implies that
(5) sup F(·, h) = sup F(·, h).

he(o.n heQn(o.n
By (3), (4) and (5), we have
(6) lim sup F(·, h) = lim sup F(·, h).

h-!-0 11-+oo heQn(o, ~)
Foreachfixedh E (0, oo), F(·, h) is a continuous function on IR and hence F(·, h) is a ~Sv·
measurable function on JR. For each fixed n EN, supheQn(o.n F(·, h) is the supremum of
countably many ISr!:-measurable functions on IR and is therefore a ISrr:•-measurable function
on IR by Theorem 4.22. Since this holds for every n E N, lim suph Q (o 1 ) F(·, h) is
n...,.oo e n •ft
a ISp-measurable function on IR by Theorem 4.21. This shows that lim sup F(·, h) is a
h.j.O
IS1k-measurable function on JR.
We show by similar argument that lim inf F(·, h) is a ISp-measurable function on JR.
h.j.O
Now the ISE-measurability of both lim sup F(·, h) and liminf F(·, h) implies according
h.j.O h.j.O
to Theorem 4.16 that
{x E IR: limsupF(x,h) = liminf F(x,h)} E IS1k·

h.j.O h.j.O
Then since
'D(Dr f) = {x E IR :lim sup F(x, h) = liminf F(x, h)}.
h.j.O h.j.O
we have '.D(Drf) E IS1k ·
For x E 'D(Dr/) we have (Dr/)(x) = limsupF(x,h) = liminf F(x,h). Then
h.j.O h.j.O
since lim sup F(·, h) is IS:F:-measurable on IR and in particular on '.D(Drf), Dr f is ISJt-
h.j.O
measurable on '.D(Drf). This completes the proof that '.D(Drf) E IS ;. and Drf is a
IS IR -measurable function on ::D (Dr f).
3. We show that :D(Dtf) E ISH· and Def is IS1.;;-measurable on :D(Dtf) by the same
argument as above. For this start with a function G on IR x ( -oo, 0) defined by setting
f(x +h) - f(x)
G(x,h)= h for(x,h)e !R x(-oo,O).
Then we have
(Def)(x) = limG(x, h).
ht<J
Then we show that ::D(Dtf) E IS}' and Dtf is ISy -measurable on :D(Dtf) by the same
line of argument as in 2.
4. Now 'D(Dr f) E IS:r: and :D(Def) E IS:p; imply that
:D(Drf) n :D(Def) E ISH,.
Since Dr f is a IS ,--measurable function on :D(Dr f) and Dtf is IS1; -measurable on
:D(Dtf), both Dr f and Dtf are IS:R-measurable on :D(Dr f) n :D(Dtf). Then by The-
orem 4.16, we have
{x E 'D(Dr f) n TJ(Dtf) : (Drf)(x) = (Dtf)(x)} E ISJ':.
Then we have
:D(Df) = {x E :D(Dr f) n '.D(Dtf) : (Dr f)(x) = (Def)(x)} E IS:;:.
Since Df = Dr f = Dtf on :D(Df) and Dr f and Dtf are IS H-measurable on :D(Df),
Df is ISR-measurable on '.D(Df). 1
Prob. 4.22. Let F be a real-valued continuous function on [a, b] x [c, d]. Show that the
function f defined on [a, b] by f(x) =
function on [a, b].
J:
F(x, y) dy for x e [a, b] is a Pi~~-measurable
and thus the Riemann integral f (x) = J:

Proof. For each fixed x e [a.b], F(x, ·) is a real-valued continuous function on [c, d]
F (x, y) dy exists as a real number. Now that
fed F (x, y) dy exists, it can be calculated as follows.
For each n E N, let us partition the interval [c.d] into 2" subintervals with length d:;,.c
with partition points c = YO < Yl < · · · < n~ = d. Then we have
d 2"
y~;)(y~;- Yl:-t).
1
c
F(x, y) dy = lim
n-H'X>
L
k=l
F(x,
Since F(·, Yk) is a real-valued continuous function on [a, b], F(·, Yk) is a Pi ~~ -measurable
function on [a.b]. Then F(·, y~;)(y~;- Yk-1) is a Pi:F;-measurable function on [a, b]. This
implies thai I:i:, 1 F(x, y~;)(Yk - Yk-1) is a Pip-measurable function on [a, b] for each
n E bbn. This implies that lim I:i:,1 F(x, YtHYk- Yk-1) is a Pi1; -measurable function
n--.oo
on [a, b]. This shows thai f is a Pir,;-measurable function on [a, b]. 1
Prob. 4.23. Let (X, Ql, /L) be a measure space and let f be an extended real-valued 2t-
measurable function on X. For).. E ~.let E).= {x EX: f(x) > 1} and define a function
f{J on~ by setting f{J(J..) = /L(E).) for).. E ~.
(a) Show that f{J is a nonnegative extended real-valued decreasing function on K
(b) Show that if ~J.(X) = M > 0 then 'Pis bounded above by M on R.
(c) Show that if f{J(J..o) < oo for some 1o e ~.then f{J is right-continuous on [J..o, oo).
(d) Show that if cp(J..o) < oo for some J..o e ~.there may be s e (so, oo) at which cp is not
left-continuous.
Proof. 1. Clearly cp is a nonnegative extended real-valued function on~. To show that f{J
is decreasing on~. letJ..',J.." e ~ andJ..' < J..". Then E).' ::J E)." so that~J.(E).') ~ ~J.(E)."),
that is, f{J(J..') ~ f{J(J..").
2. If /L(X) = M > 0 then since E). c X we have cp(J..) = /L(E).) ~ /L(X) = M.
3. Suppose f{J(J..o) < oo for some J..o e ~. Then since f{J is decreasing on ~. cp is
real-valued on [J..o, oo). Let us show that cp is right-continuous on [J..o, oo), that is, cp is
right-continuous at every J.. e [J..o, oo) . Since 'Pis decreasing on IR, it suffices to show that
for every decreasing sequence (J.., : n e N) in [J..o, oo) such that lim 1, = ).. we have
n-+oo
lim f{J(J..,) = f{J(J..).
n-+oo
Now if (1, : n e N) is a decreasing sequence then (E).. : n e N) is an increasing
sequence in Qt and hence lim E).. = UneH E).•. Then J.. < 1, implies E). ::J E).. for
n-+oo
every n e Nand thus we have E). ::J Uneii E).•. On the other hand, if x e E). then
f(x) > J... Since J.., .j.. J.., we have f(x) >A., for sufficiently large n eN. For such n eN,
we have f(x) > 1, and thus x E E).•. This shows that every x E E). is contained in some
EA. so that EA c UneT:f E)..•• Therefore we have
E).= UE).•.
nEf1
Then we have
that is, tp(A) = ,._,.00

lim tp(A11).
4, Suppose tp(Ao) < oo for some A<> E JR. Let us show that there may be s E (so, oo) at
which tp is not left-continuous by constructing an example.
Consider a measure space (JR, Qt, J.L) where!}(= {0, ( -oo, 0), [0, oo).JR}andJ.£(0) = 0,
J.L((-oo,O)) = 1, ~-t([O, oo)) = 1, and ~-t(IR) = 2. Let f be a real-valued function on IR
defined by setting
1 forx E (-oo,O),
f(x) =
{ 2 for x E [0, oo).
Then f is a Qt-measurable function on JR. For A E IR, let EA = {x E X : f(x) > A} and
define tp(A) = J.L(EJ..) for A E JR. Then we have
A E (-oo,l) => EA = JR => ~-t(EA) = 2 => tp(A) = 2,

A E [1, 2) => EA = [0, oo) => ~-t(EA) = 1 => tp(A) = 1,
{
A E [2, oo) => ~-t(EA) = 0 => tp(A) = 0.
Therefore we have
for A E (-oo, 1),
for A E [1, 2),
for A E [2, oo).
This shows that tp is not left-continuous at A = 1 and at A = 2. 1
Prob. 4.24. Let (X, Ql, /L) be a measure space and let f be an extended real-valued Q(-
measurable function on X. For J.. e JR, let F). = {x e X : f (x) ~ J..} and define a function
Y, on IR by setting 1{1(A) = JL(F).) for A e JR.
(a) Show that 1{1 is a nonnegative extended real-valued decreasing function on IR.
(b) Show that if JL(X) = M > 0 then Y, is bounded above by M on JR.
(c) Show that if Y,(>.o) < oo for some AO E IR, then 1{1 is left-continuous on (Ao, oo).
(d) Show that if 1/I(Ao) < oo for some AO e IR, there may be s e [so, oo) at which 1{1 is not
right-continuous.
Proof. 1. Oearly 1{1 is a nonnegative extended real-valued function on JR. To show that Y,
is decreasing on R , let A1 , A11 E R and A1 < A11 • Then F).' :J F)." so that JL(F).') ~ JL(F)." ),
that is, 1{1(A1) ~ Y,(A").
2. If /L(X) = M > 0 then since F). c X we have Y,(A) = /L(F).) :::; /L(X) = M.
3. If 1{1 (J..o) < oo for some J..o e JR then since Y, is decreasing on IR, Y, is real-valued on
[A.o, oo). Let us show that Y, is left-continuous at every J.. e (A.o, oo). Since 1{1 is decreasing
on R , it suffices to show that for every increasing sequence (A,. : n e l\1) in (J..o, oo) such that
lim An =A we have lim 1/I(An) = Y,(A). Now if (An : n E N) is an increasing sequence
n~oo n-----)>oo
then (F).n : n E l\1) is a decreasing sequence in 2l and then we have lim F).n = nne!\' FAn.
n~oo
Since J..,. < A implies F).n :J FJ,. for every n E N, we have n,eF F).n :J F).. On the other
hand,ifx E nneH FAn thenx E FAnforeveryn E N andhencef(x) ~Anforeveryn E N.
Then since An t J.., we have f(x) ~ J.. and thus x E F).. This shows nnen FAn C F). and
therefore we have
F).= nF).n·
neH
Now (An : n E l\1) is an increasing sequence in (J..o, oo), we have J.., > AO and then
F),n c FA{) foreveryn E N. Wehave/L(FJ.{,) = Y,(J..o) < oo. Thusthedecreasingsequence
(F).n : n E l\1) in Q( is contained in the set FJ..o with finite measure IL· Thus we have by
Theorem 1.26
Then we have
that is, 1/I(A) = lim 1{1(J..n)· This proves the left-continuity of Y, aU E (Ao, oo).
n-+oo
4. Suppose 1/I(J..o) < oo for some AO e R . Let us show that there may be s E [so, oo)
at which 1{1 is not right-continuous by constructing an example.
Considerameasurespace(R , Ql, /L) where2l = {0, (-oo, 0], (0, oo). JR }and/L(~) = 0,
IL((-oo,01) = 1, JL((O, oo)) = 1, and JL(R ) = 2. Let f be a real-valued function on R
defined by setting
1 for x E (-oo, 0],
f(x) =
{ 2 for x E (0, oo).
Then f is am-measurable function on~. For :A. E ~.let FJ.. = {x E X : f(x) ~ :A.} and
define Y,(:A.) = p.(FJ..) for :A. E ~-Then we have
FJ..=~ ~J,(FJ..) = 2;;;;} Y,(:A.) = 2,

{ J. E (-oo, I]
).. E (1,2]
'* FJ.. = (O,oo)
'* ~J,(FJ..) = 1 '* Y,(:A.) = 1,
:A. E (2, oo)
'* FJ..=klJ
'* ~J,(FJ..) = 0 '* Y,(:A.) = 0.
'* '*
Therefore we have
for :A. E (-oo, 1],
for :A. E (1, 2],
for :A. E (2, oo).
This shows that Y, is not right-continuous at :A. = 1 and at :A. = 2. 1
Prob. 4.25. Let (X, Ql, /L) be a measure space. Let (f., : n e N) be an increasing sequence
of extended real-valued Ql-measurable functions on X and let f = lim f., on X. For
n-+oo
>.. e IR, let En = {X : fn > >..} for n e N and let E = {X : f > >..}. Show that
lim En = E and lim /L(En) = /L(E).
11....... 00 ft...,.OO
Proof. 1. Since (fn : n E N) is an increasing sequence of extended real-valued 2(-

measurable functions on X, (En : n e N) is an increasing sequence of sets in Q( and thus
we have lim E., = Une 1,1 E.,.
n-+oo
2. Let us show that lim E., = E. Let x E lim En = UneH E.,. Then x E En for
11~00 11~00
some n E N so that fn(x) > >... Then since fn(x) t f(x), we have f(x) > >... Thus x E E.
This shows that lim E., C E. Conversely if x E E, then f(x) > >... Since fn(x) t f(x)
n4>00
there exists n E N such that f.,(x) >>...Then x E En C UnefJ E.,= lim En. This shows
n-+oo
thatE c lim En. Thiscompletestheproofthat lim En= E.
rJ-+00 rJ-+00
3. Since (En : n E N) is an increasing sequence of sets in Q(, we have
lim /L(En) =
11-+00
IL( lim En) = /L(E). I
ft-+00
Prob. 4.26. Let (X, Ql, /L) be a measure space. Let (f.,: n eN) be an increasing sequence
of extended real-valued 2(-measurable functions on X and let f = lim f., on X. For
n-+oo
>.. E JR., let Fn ={X: fn ~>..}for n E N and let F ={X: f ~ >..}. Construct Un : n EN)
such that lim F., ;;/; F and lim /L(Fn) < /L(F) .
n......,oo n-+oo
Proof. Let our measure space (X, Ql, /L) be such that X;;/; Iii and /L(X) > 0. Let>.. e IR and
define function f and a sequence of functions (f., : n e N) on X by setting
f(x) = >.. forx EX,

f.,(x) = >..- ~ for x eX, for n eN.
Then (f., : n E N) is an increasing sequence of real-valued Q(-measurable functions on X

andf = lim fn on X.
n-+oo
Now we have Fn ={X: In ~>..}=Iii for n E N and F ={X : f ~>..}=X. Thus we
have lim Fn = Iii ;;/;X= F and lim /L(Fn) = lim /L(Iil) = 0 < /L(X) = /L(F). I
n-+oo n.....,.oo n-+oo
Prob. 4.27. Let us call a sequence (an : n e N) of extended real numbers eventually
monotone if there exists no e N such that (an : n > no) is monotone, that is, either
increasing or decreasing.
Let (X, 21, IL) be a measure space. Let (fn : n e N) be a sequence of extended real-valued
2!-measurable functions on X such that (f11 (x) : n e N) is eventually monotone for every
x E X. Let f = lim fn on X. For a E R let En = {X : fn > a} for n E N and let
n-+oo
E ={X: f >a}.
(a) Show that lim En = E .
n-+oo
(b) Show that if (X, >;!l, JL) is a finite measure space then lim 1-£(En) = JL(E).
n-+oo
Proof. Observe that since for every x E X the sequence (fn (x) : n E N) is an eventually
monotone sequence lim fn (x) exists in R.
n-+oo
1. Let us consider liminf En and lim sup En for the sequence (En: n EN) in 2!. Now
n-+oo n-+oo
X E liminf En if and only if X E En for all but finitely many n E Nand X E lim En
11........ 00 1'1...... 00
for infinitely many n E N. Since the sequence (fn(x) : n e N) is eventually monotone,
fn (x) > a for infinitely many n e R if and only if fn (x) > a for all but finitely many
n E R. Thus liminf En= lim sup En and therefore lim En exists and we have
n-+oo n-+oo n-+oo
lim En= liminf En= lim sup En.

11-+00 PI....... OO n->oo
Let us show that E = lim En. Now since (fn(x) : n E N) is eventually monotone, we
n-+oo
have
lim fn(X) >a<? fn(X) >a for all but finitely many n E N.
n-+oo
This implies that E = lim inf En = lim En.
n-+oo n-+oo
2. If (X, 2(, JL) is a finite measure space then according to Theorem 1.28, lim En= E
n-+oo
implies
1-£(E) = JL( lim En)= lim 1-£(En).
n-+oo n-+oo
This completes the proof. 1
Prob. 4.28. Let (/11 : n e N) and f be extended real-valued functions defined on a set D
such that lim / 11 (x) = f(x) for every x E D.
11-+00
(a) For a e R , let E = {x e D : f(x) > a} and E 11 = {x e E : f 11 (x) > a} for n e N.
Show that lim E11 exists and moreover lim E 11 =E.
n.....,.oo n...,.oo
(b) For a e R, let E = {x e D : f(x) < a} and E 11 = {x e E : / 11 (x) < a} for n e N.
Show that lim En exists and moreover lim E11 =E.
n---+oo n--+oo
Proof.l. Letusprove(a). Letusshowthat lim E 11 exists,thatis, liminf E11 = limsupE11 •

n-+oo n-+oo 11-+00
Now since we have liminf E11 c limsupE11 , it remains to show that limsupE11 c
11-+00 11-+00 11-+00
lim inf E 11 • For this purpose let x e lim sup E 11 • Then x e E 11 for infinitely many n e N
n-+oo n--+oo
and thus / 11 (x) > a for infinitely many n e N. Now x e E11 C E implies that f(x) > a
and thus lim / 11 (x) = f(x) > a . This implies that f 11 (x) > a for all but finitely many
11-+00
n e N and thus x e E 11 for all but finitely many n e N. This shows that x e lim inf E 11 and
11-+00
then limsupE11 C liminf E11 •
11-+oo 11-+00
We proved above that lim E 11 exists. Let us show that lim E 11 =E. Now we have
11-+oo 11-+oo
lim E 11 = lim inf E 11 = lim sup E 11 • H x e lim E 11 , then x E lim sup E 11 so that x E E 11
n-+oo n-+oo n--+-oo n-+oo n.-+oo
forinfinitelymanyn E N. But En C E. Thusx E E. This shows that lim E 11 C E.
11-+oo
Conversely, let x E E. Then we have f(x) > a. Since f(x) = lim f 11 (x), we have
11-+00
lim f (x) > a. This implies that we have f 11 (x) >a for all but finitely many n E Nand
11-+00 11
hencex e E 11 for all but finitely many n eN. Thus x e liminf En= lim E11 • This shows
n--+-oo n--+oo
that E c lim E 11 . This proves lim E 11 =E.
n--+oo n-+oo
2. Let us show that (a) implies (b). Observe that
E = { x E D : f (x) < a} = {x E D : (-f) (x) > -a} := G,
andforn EN
E11 = {x e F: f11(x) <a}= {x e G: (-/11)(x) >-a}:= G11 .
Now lim f 11 (x) = f(x) implies lim (- f 11 )(x) = (-f)(x) for x E D. Thus (a) implies
n--+ oo n--+oo
that lim Gn exists and lim G11 = G, that is, lim E 11 exists and lim En = E. I
n---+oo n...,.oo n~oo n---+oo
Prob. 4.29. Let (X, Ql, JL) be a measure space. Let Un : n E N) and f be extended
real-valued Ql-measurable functions on a set D E Ql such that lim fn = fonD. Then
n-+oo
for every a E IR we have
(1) JL{D:f>a}::SliminfJL{D:fn>a}.
n-+oo
(2) JL{ D : f < a} ::S lim inf JL { D : fn < a}.
n-+oo
Proof. 1. Let us prove (1). Let E = {D: f >a} and En= {E: fn >a} for n EN. Then
we have E = lim En by Prob. 4.28. Then by Theorem 1.28 we have
n-+oo
Thus we have
JL{D: f >a} ::S liminf JL{E: fn >a} ::S liminf JL{D: fn >a},
n-+oo n-+oo
since E c D. This proves (1).
2. Let us show that (2) follows from (1). Observe that lim fn(x)
n-+oo
= f(x) implies that
lim (- fn)(x)
n-+oo
= (- f)(x) for x E D. Then by (1) we have for every -a E IR
IL{D:- f >-a} ::S liminf IL{D:- fn >-a}.

n-+oo
But {D : - f > -a} = {D : f < a} and {D : - f,. > -a} = {D : f,. < a}. Therefore
we have
JL{D: f <a} ::S liminf JL{D: fn <a}.
n-+oo
This proves (2). 1
§5 Completion of Measure Space

Prob. 5.1. A measure space constructed by means of an outer measure is always a complete
measure space. (See Theorem 2.9.) Use this fact to construct a complete extension of an
arbitrary measure space.
Proof.l. Let(X, ~. /L)beanarbitrarymeasurespace. Since~isau-algebraofsubsetsof

X, we have 0, X E ~. This makes~ a covering class for X in the sense of Definition 2.20.
Since JL is a measure on~. IL is a set function on2l satisfying the condition IL(A) E [0, oo]
for every A E !21 and the condition /L(0) = 0. Let us define a set function v* on ~(X) by
setting for every E E ~(X)
(1) v*(E) = inf { LIL(An): (An: n EN) C ~. U An ::J E J.

~N ~N
According to Theorem 2.21, v• is an outer measure on X. According to Theorem 2.8, if we

let~ be the collection of all E E ~(X) that satisfy the v* measurability condition
(2) v*(B) = v*(B n E)+ v"'(B n Ec) for every B E ~(X),
then~ is a u-algebm of subsets of X. According to Theorem 2.9, if we write v for the

restriction of v• to~ c ~(X) then (X,~. v) is a complete measure space.
To show that (X,~. v) is a complete extension of (X,~. /L), we verify that~ c ~and
v = IL on~.
2. To show that ~ c ~. we show that every A E ~ satisfies the v* measurability
condition
(3) v*(B) = v*(B n A)+ v*(B n A c) for every B e ~(X).
Let B e ~(X). By the definition of v"'(B) by (1) as an infimum, for every e > 0 there
exists a sequence (An : n E N) in ~ such that UneN An ::J B and
(4) L JL(An) ~ v*(B) +e.

neN
By the additivity of the measure IL on the u-algebra !21, we have
(5)
Substituting (5) in (4) we have
(6)
neN neN
Since B C UneN A 11 , we have
BnAc (UAn)nA= U<AnnA),

neN neN
neN neN
§5 Completion of Measure Space 105
Thus (A, An : n e N) is a sequence in ~ that covers B n A and (N, An : n e N) is a

sequence in 2l that covers B n A c. Then the definition of v* by (1) implies
v*(B n A) ~ L JL(An n A),

neN
v*(B n A c) ~ L JL(An n A c).

neN
Substituting these in (6), we have
v*(B n A)+ v*(B n A c) ~ v*(B) +e.
Since this holds for every e > 0, we have
v*(B n A) + v*(B n A c) ~ v*(B).
The reverse inequality holds by the subadditivity of the outer measure v•. This proves (3).
3. Let us prove that v• = J.' on~. Let A E ~. Then by the definition of v• by (1), we
have
(7) v*(A) = inf { LJL(An): (An: n eN) C ~. UAn ::J A}.

neN neN
Now if UneN An :> A, then by the monotonicity and countable subadditivity of the measure
JL on ~we have
JJ,(A) ~ IL( U
An) ~ LIL(An).
neN neN
This implies
JL(A) ~ inf { LIL(An): (An: n EN) C~. U An:> A}.

neN neN
On the other hand, if we select the sequence (An : n E N) = (A, 0, 0, 0, ... ) then we have
LneN JL(An) = ~-t(A). Thus
JL(A) = inf { LJL(An): (An: n EN) C 2l, U An:> A}= v*(A).

~N ~N
This shows that v• = JL on ~. 1

Prob. 5.2. Let {(X, ;Ja, Va) : a e A} be the collection of all complete extensions of a
measure space (X, ~.JL). Construct the completion of (X, !21, /L) from this collection.
Proot Let (X, !21, /L) be an arbitrary measure space. A complete extension of (X, !X,JL)
is a complete measure space (X, :a, v) such that :a:::)
!21 and v = IL on !21. A completion
of (X,~. JL) is a complete extension (X, :ao, vo) of (X, !21, JL) such that for any complete
extension (X,~. v) of (X, !X,JL) we have ;J:::) ~o and v = vo on ~0· Theorem 5.4 shows
that a completion of (X, !21, /L) exists. Let us construct a completion of (X, 21, /L) on the
basis of the fact that it exists.
Let {(X, ~a, Va) : a e A} be the collection of all complete extensions ofa measure space
(X, 21, JL). Since a completion (X, :ao. vo) of (X, !21, JL) is a particular case of complete
extensions of (X, !21, JL), (X, :ao, vo) is in the collection {(X, :aa. Va) :a E A}. Then since
!2la :::) :ao for every a e A, we have
:ao = n :aa·
aEA
Since Va = vo on ;Jo for every a e A, pick a1 e A arbitrarily and then we have Va1 = vo
on :ao. Define
vo = Va1 on -\Vo.
Then (X, ;Jo, vo) is a completion of (X, !21, JL). 1
Prob. 5.3. Let (X, 21, JL) be the completion of a measure space (X, !21, JL). Show that every
subset of a null set in (X, 21, JL) is 21-measurable.
Proot According to Theorem 5.4, the a--algebra 21 is constructed by setting
21 = o-(21u~,
m m
where is the collection of all null sets in (X, 21, 1L) and is the collection of all subsets
of members of m. Then every subset of a null set in (X, 21, /L) is certainly in~. 1
§6 Convergence a.e. and Convergence in Measure 107
§6 Convergence a.e. and Convergence in Measure

Assumptions. For problems in this section, unless otherwise stated, it is assumed that
<fn : n E N) is a sequence of extended real-valued ~-measurable functions on a set D E ~
in a measure space (X,~. /L) and f is a real-valued ~-measurable function on D . 1bis is
to ensure that f,.- f is defined everywhere on D .
Prob. 6.1. Let (X,~. ~-t) be a measure space and let D E ~- Let <fn : n E N) and f be
extended real-valued ~-measurable functions on D and let f be a real-valued on D . For
an arbitrary e > 0 let D 6 n = {D: If,.- fl ~ e} for n EN. Then lim fn = f a.e. on D
• n~oo
if and only if ~-t( lim sup D 6 ,,.) = 0 for every e > 0.

n-+oo
Proof. For brevity let us write E6 = lim supn->oo De,n· Recall that E 6 consists of every
x E D such that x E Ds,n for infinitely many n E N according to Lemma 1.7.
1. Suppose lim fn = f a.e. on D. Let e > 0. To show that tL(E6 ) = 0, assume the
n->oo
contrary, that is, ~-t(E6 ) > 0. Now if x E E 6 then x E De,n for infinitely many n E N, that
is, 1/n(x) - f(x)l ~ e for infinitely many n E Nand thus lim fn(x) = f(x) does not
n->oo
hold. Then ~-t(E6 ) > 0 contradicts the assumption that lim fn = f a.e. on D.
n->oo
2. Conversely suppose tL(Ee) = 0 for every e > 0. Let us show that lim f,. = f
n->oo
a.e. on D. Now for every m E N we have tL(EJc) = 0 by our assumption. Consider
UmeN EJc. We have ~-t( UmeN EJc) ::S LmeN /L(E:) = 0, Consider D \ UmeN E1_ . Let
x E D \ UmeN E Jc. Then x '/ El"for every m E N ...Thus for every mn E N, x E D ~ n for
at most finitely ~Y n E N tha;is, lfn(x)- f(x)l < ~for all but finitely many ;·E N.
Thus we have lim fn (x) = f (x) for x E D \ UmeN E 1_. Since UmeN E 1_ is a null set in
n-+oo m m
(X,~. ~J-), we have lim fn = f a.e. on D. 1
n->oo
Prob. 6.2. Let (X,~. /L) be a measure space. Let (111 : n e N) be a sequence of ex-
tended real-valued ~-measurable functions on X and let I be an extended real-valued
~-measurable function which is finite a.e. on X. Suppose lim In = f a. e. on X. Let
lt-+-00
a e [0, ~-t(X)) be arbitrarily chosen. Show that for every 8 > 0 there exists N e N such
that1-1-{X: 1111 -ll <8} ~aforn~N .
Proof. Let 8 > 0 and let us write for brevity F8 ,11 = {X : IIn - I I < 8} for n E N. We are
to show that for every a e [0, ~-t(X)) there exists N eN such that ~-t(F8 , 11 ) ~a for n ~ N.
Now by Lemma 1.7 we have
lim inf Fe ' n = {x E X : x E Fe•n for all but finitely many n E N},
n......,oo
and then
( lim inf Fe n)c = {x E X : X ¢ Fe n for infinitely many n E N }

n-+oo ' '
= {x e X : lfn(x) - l(x)l ~8 for infinitely many n e N }
c {x E X : lim ln(x) =1- l(x)

n.....,.oo
or lim fn(x) does not exist}.
n...,.oo
Now since lim

11-+00
In = I a.e. on X, the measure of the last set is equal to 0 and thus we
have ~-t((l~~ Fs,nn = 0 and consequently
1-1-(lim inf Fen)

n.....,.oo '
= /L(X).
Now liminf Fe 11
n-+oo t
= n---+oo
lim nk>n
-
Fe 'k and ( nk>n
-
Fe' k : n e N) is an increasing sequence.
Thus we have
/L(X) = 1-1-(liminf
n~oo
Fen)=
'
~-t( n~oo
lim nFe t)
k~n
'
lim ~-t(
= n~oo nFet)·
k~n
'
Then for a E [ 0, /L(X)) there exists N E N such that ~-t( nk~n Fe,k) ~ a for n ~ N and
consequently /L(F8 , 11 ) ~ ~-t( nk~ Fe,k) ~a for n ~ N. I
Prob. 6.3. Let Un: n EN) be a sequence of real-valued continuous functions on !Ft. Let E
be the set of all x E R such that the sequence (in (x) : n E N) of real numbers converges.
Show that E is an Fa&-set, that is, the intersection of countably many F.,.-sets.
(Hint: Use the expression E = nmeN UNeH npe]\T {x E R: lfN+p(x)- fN(x)l :S ~ }.)
Proof. For x E R, the sequence of real numbers (in (x) : n E N) converges if and only if it
is a Cauchy sequence, that is, for every e > 0 there exists N E N such that
lfPJ(x)- f~(x)l < E for n, n' ~ N,
or equivalently for every m E N there exists N E N such that
lfN+p(x)- fN(x)l < ~ for every p E N.
Thus the set E of all x E R such that the sequence (in (x) : n E N) of real numbers
converges can be expressed as
E = n u n {x
meH NeH peH
E R : lfN+p(x)- fN(x)l :S ~}.
Now
~} = fNI- ([0, ~]).
1
{x E R: lfN+p(x)- fN(x)l :S lfN+p-
Since !Nand fN+p are real-valued continuous functions on 1Ft, fN+p - fN is a real-valued
continuous function on R and then lfN+p- !NI is areal-valued continuous function on R .
Continuity of lfN+p- !NI implies that the preimage liN+p- !NI-l ([0, ~])of the closed
set [o, ~]in R is a closed set in R . Let us write CN,p for this closed set. Then
E= nu ncN,p ·
mel'l Ne l'! pef:'
Now npeH CN,p· an intersection of closed sets, is a closed set. Then UNeH npeH CN,po
a countable union of closed sets, is an F.,.-set. Then nmefl UN e n npefl cN.p. a countable
intersection of F.,.-sets, is an Fa&-set. 1
Prob. 6A. Conditions 1° and 2° in Theorem 6.7 are sufficient for Un : n E N) to converge
to f a.e. on D, but they are not necessary. To show this, consider the following example:
In (Ill, VJlL, ILL), let D = (0, 1) and let fn(x) = 1 for x E (0, ~) and fn(x) = 0 for
x E [~, 1) for n E N and let f(x) = 0 for x E (0, 1). Then Un : n E N) converges to f
everywhere on D. Show that for any sequence of positive numbers (Bn : n E N) such that
lim Bn = 0, we have LneH ILL {x E (0, 1) : lfn(x)- f(x)l 2: Bn} = 00.
n~oo
Proof. Since lim Bn = 0 there exists N E N such that Bn < 1 for n 2: N. Then for n 2: N
n-+oo
we have
{x E (0, 1): lf,.(x)- f(x)l::: e,} = {x E (0, 1): f,(x)::: e,.} = (0, ~).
Thus we have
ILL {x E (0, 1): lfn(x)- f(x)l 2: Bn} = ILL(O, ~) = ~ forn 2: N.
Then we have
LILdx E (0, 1): lfn(X)- f(x)l 2: s,.} 2: sn} 2: L ~ = 00. I

Prob. 6.5. To show that Egoroff's Theorem holds only on sets with finite measures, we have
the following example:
Consider (R, s.mL, ILL). Let D = [0, oo) with ILL (D) = oo. Let fn(x) = ~ for x E D
for n E Nand let f(x) = 0 for x E D . Then the sequence (fn : n E N) converges to f
everywhere on D. To show that Un : n E N) does not converge to f almost uniformly on
D, we show that for some TJ > 0 there does not exist a s.mL -measurable subset E of D with
ILL(E) < 11 such that Un: n EN) converges to f uniformlyon D \E. Show that actually
for any s.mL -measurable subset E of D with ILL (E) < oo, Un : n E N) does not converge
to f uniformly on D \ E.
Proof. Let E C D, E E 9JLL and ILL (E) < oo. Let us show that (fn : n e N) does not
converge to f uniformly on D \ E. Assume the contrary, that is, assume that (fn : n E N)
converges to f uniformly on D \ E. Then for every e > 0 there exists N E N such that
lfn(x)- f(x)l < e forallx ED\ E andn =:: N,

that is,
X
(1) -<e forallxeD\Eandn=::N.
n
Now since ILL(D) = oo andiLL(E) < oo we have ILL(D \E)= oo and this implies that
D \ E is an unbounded subset of D = [0, oo). Then there exists xo E D \ E such that
1J >e. Thiscontradicts(l). This shows that (fn: n EN) does not converge to f uniformly
onD\E. I
Prob. 6.6. By definition, fn ~ f on D if for every 8 > 0

lim IL{x ED: 1/n(x)- f(x)l ~ 8} = 0.
11-->oo
Show that this condition is equivalent to the condition that for every 8 > 0
lim IL{x ED: l/11(x)- f(x)l > 8} = 0.
11-->00
Proof. Consider the two conditions:
(1) lim IL{x ED: lfn(x)- f(x)l ~ 8} = 0 for every 8 > 0.

11-->00
(2) lim IL{x ED: lf,(x)- f(x)l > 8} = 0 forevery 8 > 0.

n-->oo
Now for every 8 > 0 we have {D : 1/n -/I > 8} c {D : 1/n- /I 2::: 8} and then
~L{D: 1/n- /I > 8} ~ ~L{D : 1/n- /I ~ e}. Thus if we assume (1) then we have
lim IL{D: lfn- /1 > e} ~ lim IL{D: lfn- /1 ~ e} = 0,
1!...... 00 11-+00
that is, (2) holds.

On the other hand for every 8 > 0 we have {D: lfn- /I 2::: 8} C {D : lfn- /I > H
andthen~A-{D: 1/n- /I ~ 8} ~ #L{D: 1/n- /I > V· Thusifweassume (2)then we have
lim IL{D:
11-->oo
1/n- /1 ~ 8} ~ n-->oo
lim IL{D: l/11- /1 > H= 0,
that is, ( 1) holds. This completes the proof of the equivalence of the two conditions ( 1) and
(2). I
Prob. 6.7. Let (X, ~l, #-') beameasurespaceandlet DE ~l. Let Un: n E N) be a sequence
of extended real-valued 21-measurable functions on D and let f be an extended real-valued
~(-measurable function on D that is real-valued a.e. on D. Consider the condition:
1° lim #L{x ED: lfn(x)- /(x)l > 0} = 0.
n-+oo
(a) Show that condition 1° implies that f,...!; fonD.

(b) Show by example that the converse of (a) is false.
(c) Show that condition 1° implies that for a.e. x E D we have f,.(x) = f(x) for infinitely
manyn E N.
Proof. 1. For every E > 0 we have {D : If,.- fl ~ E} c {D : If,.- fl > 0} and then
#L{D: If,.- fl ~ E} ~ #L{D: If,.- fl > 0}. Thus if we assume condition 1° then
that is, the sequence (f,. : n E N) converges to fin measure on D.

2. Let D E ~(with #-£(D) > 0. Let f,. = ~ on D for n E Nand let f = 0 on D. For an
arbitrary E > 0, consider the set {D : If,.- /I ~ E} = {D : ~ ~ E} forn E !:':!. LetN E !:':! be
-k
so large that <E. Then forn ~ N we have {D: 1/n- fl ~ E} = {D: ~ ~ E} = 0 and
then #-'{D: If,.- /I ~ E} = #-£(0) = 0. Therefore we have lim #-'{D: lin- fl ~ e} = 0.
11-+00
This shows that the sequence (f,. : n E N) converges to fin measure on D.
On the other hand we have {D: If,.- fl > 0} = {D: ~ > 0} = Dfor n E N and thus
#L{D : If,. - f I > 0} = #L(D) for n E N. Then lim #-'{D : If,.- fl > 0} = #L(D) > 0
11-+00
and condition 1° is not satisfied.
3. Assume that the sequence (f,. : n E N) satisfies condition 1°. For n E N, let
A,.= {D: If,.- fl > 0}. Then by 1° we have lim #-£(A,.)= 0. Then by Theorem 1.28,
n-+oo
we have
#-'(liminf
n-+oo
An) ~ liminf #-'(A,.)= lim #L(A,.) = 0.
n-+oo n-+oo
We have
lim inf A,. =

n-+oo
{X E D :X E A,. for all but finitely many n E !:':! }
= {x E D :x rf. A,. for at most finitely many n E N },
and then
D \ liminf A,. =
n-+oo
{x ED: x rf. A,. for infinitely many n E N }.
Now
x rf. A,.* lf,.(x)- f(x)l = 0 * f,.(x) = f(x).
Thus we have
D \ liminf A,. =
n-+oo
{x ED: f,.(x) = f(x) for infinitely many n EN} .
Then since #-£(liminf11-+oo A,.) = 0, we have f,.(x) = f(x) for infinitely many n E N for
a.e. XED. I
Prob. 6.8. Let (an : n E N) be a sequence of extended real numbers and let a be a real
number. Show that if every subsequence (fltrt : k E N) of the sequence (an : n EN) has a
subsequence (ankt : t E N) converging to a then the sequence (an : n E N) converges to a.
Proof. Suppose the statement that the sequence (an : n E N) converges to a is false. Then
either the sequence does not converge or the sequence converges to a real number distinct
from a. Then in any case there exists eo > 0 such that an '/ (a - eo, a + eo) for infinitely
many n EN. Then there exists a subsequence (a,t : k E N) of the sequence (a, : n E N)
such thatanc '/(a -eo, a+eo) for every kEN. Then no subsequence (a,ct :lEN) of this
subsequence (flnt : k E N) can converge to a. This contradicts the assumption that every
subsequence (fltrt : k E N) of the sequence (a" : n E N) has a subsequence (fltrtt : t E N)
converging to a. Therefore the sequence (an : n E N) must converge to a.
Prob. 6.9. Let (X, 2t, ~)be a measure space and let D E 2t. Let (fn : n E N) be a sequence
of extended real-valued 2t-measurable functions on D and let f be an extended real-valued
2t-measurable function on D that is real-valued a.e. on D.
(a) Show that if every subsequence (fnt : k E N) of the sequence (fn : n E N) has a
subsequence (!net : l E N) which converges to fin measure on D, then the sequence
(f" : n E N) itself converges to fin measure on D.
(b) Show that if ~(D) < oo and if every subsequence (fnc : k E N) of the sequence
(f" : n E N) has a subsequence (f"kt : l E N) which converges to f a.e. on D, then the
sequence Un : n E N) itself converges to f in measure on D.
Proot 1. Let us prove (a). Let e > 0 and define a sequence of real numbers (an : n EN)
by setting
a,= ~{D: lfn- fl ~ e} forn EN.
Suppose every subsequence (fnk : k E N) of the sequence (fn : n E N) has a subsequence
(f"kt : t E N) which converges to fin measure on D. Then every subsequence (ant :
k E N) of the sequence (an : n E N) has a subsequence (ankt : t E N) converging to 0.
According to Prob. 6.8 this implies that the sequence (an : n E N) converges to 0, that is,
lim ~{D: 1/n- /1 ~ e} = 0.

n~oo
This shows that sequence (fn : n E N) converges to f in measure on D .

2. Let us prove (b). Let ~(D) < oo. Suppose every subsequence (f"l : kE N) of the
sequence (fn : n E N) has a subsequence (f"kt : l E N) which converges to f a.e. on D.
Since ~(D) < oo, convergence of (!net : l E N) to f a.e. on D implies convergence of
(f,kt : l E N) to fin measureD according to Theorem 6.22 (H. Lebesgue). Thus every
subsequence (fnc :kE N} of the sequence (fn : n E N) has a subsequence (!net :tEN)
which converges to fin measure on D. According to (a), this implies that the sequence
(f": n E N) converges to fin measure on D. 1
Prob. 6.10. Show that if In ~ I on D and if IL(D) < oo, then for every real-valued
continuous function F on R we have F o In ~ F o I on D. (Assume that In is real-valued
for every n EN to make the composition (Fo ln)(x) = F(/n(x)) possible at every x ED.)
Proof. Consider the sequence (F o In : n E N) of real-valued Ill-measurable functions and

the real-valued Ql-measurable function F o I on D E Ql with ~J-(D) < oo.
Let us show that the sequence (F o In : n EN) converges to F o I in measure on D.
According to (b) ofProb. 6.9, it suffices to show that every subsequence (F o 1,.1 :kEN)
of the sequence (F o In: n EN) has a subsequence (F o lntt :lEN} which converges to
F o I a.e. on D.
Take an arbitrary subsequence (f"l : k E N) of the sequence (In : n E N). Since the
sequence (In : n E N) converges to I in measure on D, the subsequence (!Ilk : k E N)
converges to I in measure on D. Then by Theorem 6.24 (F. Riesz) there exists a subsequence
(f"lt : l E N) that converges to I a.e. on D. Then continuity ofF on R implies that
(F o l"lt : l E N) converges to F o I a.e. on D. 1
Prob. 6.11. The following are two modifications ofProb. 6.10:

(a) Show that if we remove the condition tL(D) < oo, we still have F o fn ~ F o f on D
if we assume that F is uniformly continuous on R.
(b) Show that if we remove the condition 11-(D) < oo, we still have F o fn ~ F o f on D
if we assume that the sequence Un: n EN) and fare uniformly bounded on D.
Proof. 1. Let us prove (a). Assume that F is a real-valued uniformly continuous function
on R. Then for every e > 0 there exists 8 > 0 such that
(1) IF(y')- F(y")l < e whenever y', y" E Rand ly'- y"l < 8.
Then lin (x)- f(x)l < 8 impliesiF(fnCx))- F(/(x)) I < e and thus we have
(2) {xED: lfn(X)- f(x)l < 8} C {xED: IF(fn(x))- F(/(x))l < e}
and then
(3) {xED: lfn(x)- f(x)l ~ 8} :J {xED: IF(/n(x))- F(/(x))l ~ e}
and therefore
(4) 11-{D: IF o fn- F o /1 ~ e} ~ 11-{D: 1/n- /1 ~ 8}.
Since Un : n E N) converges to fin measure on D, we have
lim tL{D:Ifn-/1~8}=0.
n--+oo
Then
(5) lim 11-{D: IF o fn- F o /1 ~ e} ~ n.....,..oo

n.....,.oo
lim 11-{D: 1/n- /I~ 8} = 0.
This shows that the sequence (F o fn : n E N) converges to F of in measure on D.

2. Let us prove (b). Suppose the sequence Cfn : n E N) and f are uniformly bounded
on D, that is, there exists M > 0 such that lfn(x)l ~ M for all x E D and n E N and
lf(x)l ~ M for all x E D. Now continuity ofF on R implies uniform continuity ofF on
the compact set [- M, M] c R. Then for every e > 0 there exists 8 > 0 such that
IF(y')- F(y") I < e whenever y', y" E [-M, M] and ly' - y"l < 8.
Then since fn(x) E [-M, M] forallx ED andn EN andf(x) E [-M, M] forallx ED,
lfn(x)- f(x)l < 8 implies IF(fnCx))- F(/(x))l < e and thus we have
{xED: lfn(x)- f(x)l < 8} C {xED: IF(fn(x))- F(/(x))l < e}.
This is precisely the expression (3) above. Then (4) and (5) follow. This shows that the
sequence (F o fn : n E N) converges to F of in measure on D. 1
Prob. 6.12. Let (X, Ql, JL) be a measure space and let D E Ql. Let (f, : n E N) be
a sequence of real-valued 2t-measurable functions on D and let i be a real-valued 2!-
measurable function on D. Show that if in ~ ion D, then for every c e IR we have
p,
cin -+ cf on D.
Proof. When c = 0, the claim is trivially true. Thus consider the case c =f. 0. Then for
every 8 > 0 we have
{D: lcin- cfl ~ e} = {D: 1/n- il ~ fl}

and then
JL{D: lcin- cil ~ e} = JL{D: lin- fl ~ fl}.
Since the sequence (fn : n E N) converges to i in measure on D, we have
n~IL{D: lfn- /1 ~ fl} = 0.

Then we have
lim IL{D: lcfn- cil ~ e} = lim IL{D: lin- il ~ -16c 1} = 0 .

-00 -00
This shows that the sequence (cin : n E N) converges to cf in measure on D. 1

Prob.6.13. Let(X, Ql,/L)beameasurespaceandletD E Ql. Let(/,.: n E N)beasequence

of real-valued Ql-measurable functions on D and let f be a real-valued Ql-measurable func-
tion on D. Similarly let (g,. : n E N) be a sequence of real-valued Ql-measurable functions
on D and let g be a real-valued !ll-measurable function on D. Show that if fn ~ f on D
and g,. ~ g on D, then f,. + g,. ~ f + g on D.
Proof. We are to show that for every e > 0 we have
(1) lim !L{D:

n~oo
l<fn + g,.)- (f +g) I~ e} = 0.
Now
IUn + g,.)- (f + c>l = IUn- f)+ (gn- c>l :s lin- /I+ len- gl
and then
(2) {D : IUn + g,.) - (f + g) I ~ e} C {D : Ifn - f I + IKn - gI ~ e} ·

Then we have
(3) {D : lin- /I + IKn- gl ~ e} c {D : lin -/I ~ ~} U { D : IKn - gl ~ ~ }.

as can be verified by a contradiction argument. Combining (2) and (3), we have
and then
Thus we have
This proves (1). 1

Prob. 6.14. Let Un : n E N), f, (gn : n E N), and g be as in Prob. 6.13. Assume that
p,(D) < oo. Show that if fn ~ fonD and 8n ~ g on D, then fn8n ~ fg on D.
Proof. Let us show that the sequence Un8n : n E N) converges to fg in measure on D.

According to (b) ofProb. 6.9, it suffices to show that every subsequence (/m8"1 : k E N)
of the sequence (f"g" : n E N) has a subsequence (fmt Kmt : l E N) which converges to
fg a.e. on D,
Let (/mKm : k E N) be a subsequence of the sequence <fng" : n E N). Since the
sequence(/" : n E N) converges to fin measure on D, the subsequence (f"t : k E N)
converges to fin measure on D. Then by Theorem 6.24 (F. Riesz), there exists a subsequence
Vmt : l E N) which converges to f a.e. on D. Now since the sequence (g" : n E N)
converges tog in measure on D, the subsequence (g""e : l E N) converges tog in measure
on D. Then by Theorem 6.24 (F. Riesz), there exists a subsequence (Kntt., : m E N)
which converges tog a.e. on D. Then since (fnte : l E N) converges to f a.e. on D,
( f mt-... : m E N) converges to f a.e. on D. Therefore (fntt., Kntt,. : m E N) converges to f g
a.e. on D. Note that (fntlm Kntlm : m E N) is a subsequence of the arbitrary subsequence
(/mKn~: :kE N) of the sequence <fnKn : n EN). I
Prob. 6.15. Returning to Prob. 1.32, show that([~(], p*) is a complete metric space, that
is, if a sequence {[An] : n e N} in [21] is a Cauchy sequence with respect to the metric p*
then there exists [A] e [Ql] to which the sequence converges with respect to the metric p*.
Proof. Let {[An] : n e N} be a Cauchy sequence in [21] with respect to the metric p*, that
is, for every 11 > 0 there exists N e N such that
(1) p*([A,.], lAnl) < 11 form,n ~ N.

Our goal is to show that there exists a set A e 21 such that
(2) lim p*(lAnl. [Al) = 0.

n-+oo
This is done in the following steps.

1. According to Observation 4.3, if E e 21 then the characteristic function IE is an
Q(-measurable function on X. Let us show first that if a sequence {[An] : n e N} in [Q(] is
a Cauchy sequence with respect to the metric p* then (1An : n E N) is a Cauchy sequence
with respect to convergence in measure on X.
Let E, F e ~l and consider IE and IF. Since 0 and 1 are the only values the functions
lE and IF can assume, 0 and 1 are the only values the function liE- IFI can assume and
moreover liE - IFI assumes the value 1 on the set E!:!..F. Thus we have
(3)
and then by the definition of p* we have
(4) IL{ X : liE- IFI = 1} = ~J.(Et:,.F) = p*([E], [Fl).

Then for every e > 0, we have
(5) 11-{X: llE- IFI ~ e} ::5: J.L{X: liE- IFI > 0}

= IL{ X : liE - IF I = 1}
= IL(Et:,.F) = p*(£E], [F]),
where the first equality is from the fact that 0 and 1 are the only values the function liE -lFI
can assume.
Now let {[An] : n E N} be a Cauchy sequence in [21] with respect to the metric p*.
Then for every e > 0, we have by (4) and (1)
11-{X: llA...- lA, I ~ e} ::5: p*([A.n], [Anl) < 11 form, n ~ N.
This shows that (lA, : n e N) is a Cauchy sequence with respect to convergence in measure
on X.
2. According to Theorem 6.27, if a sequence (fn : n e N) of 21-measurable functions on
a set D e 21 is a Cauchy sequence with respect to convergence in measure then there exists
an 2(-measurablefunction fonD such that (fn: n EN) converges to fin measure on D.
Then since (lA, : n E I\1) is a Cauchy sequence with respect to convergence in measure on
X, there exists 21-measurable function f on X such that (lA, : n E I\1) converges to fin
measure on X. Let us determine this function f.
According to Theorem 6.24 (F. Riesz), convergence of the sequence (lA, : n E I\1) to
f in measure on X implies the existence of a subsequence (1A,1 : n E N) converging to f
a.e. on X. Thus there exists a null set Eo in the measure space (X, 21, JJ-) such that
lim lA, (x)

k-+00 i
= f(x) for x E X\ Eo.
Then since 0 and 1 are the only values the function lA,k can assume, we have
lim lA,1 (x) = 0, or 1 forx EX\ Eo.

k-+oo
Thus we have
f(x) = 0, or 1 for x EX\ Eo.
If we let A= {X\ Eo: f = 1}, then f = lA on X\ Eo. Note that 21-measurability of the
function f on X implies the set A defined above is in 21. Now the sequence (lAn : n E I\1)
converges to f = lA in measure on X\ Eo. Since Eo is a null set, this implies that
(lA, : n E I\1) converges to f =lAin measure on X. Then for every e > 0, we have
(6) lim JJ-{X: llA.. -lAI ~ e} = 0.

n-+oo
With eo E (0, 1], we have {X: llA..- lAI = 1} c {X: llA.. -lAI ~eo} and thus
(7)
Then by (6), we have
This proves (2) and completes the proof. 1

Prob. 6.16. A real valued function f on R is said to be left-continuous at x e R if

limytx f(y) = f(x). Similarly f is said to be right-continuous at x e R iflimy.J..x f(y) =
f(x).
(a) Show that iff is left-continuous everywhere on R, then f is ~JR-measurable on R.
{b) Show that iff is right-continuous everywhere on R, then f is ~JR-measurable on R.
Proof. 1. Let f be left-continuous everywhere on R. For each n eN, let us decomposeR
into intervals ( 1~1 , fn J
fork e Z. Let us define a left-continuous step function f, on R by
setting
k-
f,(x)=f ( ~ forxe ~. ,.
1)
(k - 1 k ]
2
For every a e R, the set {R : f, ::::; a} is the union of at most countably many intervals in
R and such a set is a ~JR-measurable set. Thus f, is a ~JR-measurable function on R.
Let us show that lim fn (x) = f (x) for every x e R. Let x e R. Then for every n e N
'11-+00
there exists k, e Z such that x E ( \-;;\ ~]. Then by the definition of f, we have
f,(x) = f ( ~
k,- 1) forn eN.
Now we have
k,-1 kn-1 1
- - < x and x- - - < - foreveryn eN.
2"' 2"' - 2"'
Thus 1'2;;- 1 t x as n--+ oo and then by the left-continuity off at x we have
1
f(x) = lim
n-+oo
t(k"'-
2"'
) = lim f,(x).
n-+oo
This shows that lim fn = f on R. Then the ~IR-measurability of fn on R for every n e N

n-+oo
implies the ~IR-measurability of f on R by Theorem 4.22.
2. The ~JR-measurability of a right-continuous function f on R can be proved by the
same argument as in 1 but using a sequence of right-continuous step functions. Here we
present an alternate proof utilizing the result above that a left-continuous function is ~JR
measurable and the fact that if f(x) is aright-continuous function of x E R then f(-x) is
a left-continuous function of x E R.
Let I be the identity mapping of a linear space V into V. A linear mapping T of V into
V is called invertible if there exists a linear mapping U of V into V satisfying the condition
UT = TU =I.
U is called an inverse mapping of T. H an inverse mapping of T exists then it is unique.

This can be shown as follows. Suppose U and W are inverse mappings ofT. Then we have
UT= TU=l
WT = TW=l.
This implies that TU = I = TW and then UTU = UTW, that is, IU = IW, that is,
U = W. This proves the uniqueness of the inverse mapping of T if it exists. Let us write
T- 1 for the inverse mapping of T.
Now let fJ be a linear mapping of JR into R defined by setting
(1) fJ(x) = -x for x E IR..
Then (fJ o fJ)(x) = -(-x) =x forevery x E JR. Thus we have
(2) iJ o iJ =I.
By our observations above, (2) implies that iJ is invertible and moreover we have
(3) iJ-1 = fJ.
Let us write
(4) u = fJ(x) for x E JR.
Let xo E rn: and uo = iJ(xo). Then we have tJ(uo) = (iJ o iJ)(xo) = I(xo) = xo by (2).
Thus we have
(f o iJ)(uo) = f(xo) = lim f(x) by the right-continuity off

x.j.xo
= lim (f o fJ o iJ)(x) by (2)

x.j.xo
= lim(/ o tJ)(u) by (4).

r~tuo
This shows that f o fJ is left-continuous on Rand therefore f o fJ is a ~ ~~d~ v -measurable

mapping of (JR, ss. ~ ) into (JR , SBK_). Now iJ is a SBI ~JSB ~,~,-measurable mapping of (IR., SSw)
into (R , SBR). Then the composite mapping (f o fJ) o iJ is a ~r;_/~E-measurable mapping
of (R , SB11) into (JR, ~nt) by Theorem 1.40 (Chain Rule for Measurable Mappings). Now
(f o iJ) o iJ = f o (iJ o iJ) = f o I= f by (2). Thus f is a ~ h' /~ v -measurable mapping
of (!R. , ~R ) into (JR , s.Bm). I
Prob. 6.17. Let f be an extended real-valued function on R.

(a) Suppose limytx f(y) exists in lR for every x e IR and define an extended real-valued
function Ad on 1R by setting (Ad)(x) = limytx f(y) for x E R. Let us call Ad the left
limit of f. Show that Ad is !Bp -measurable on JR.
(b) Suppose limy-J..x f(y) exists in R for every x E JR and define an extended real-valued
function A,.f on IR by setting (A,j)(x) = limy-J..x f(y) for x E JR. Let us call A,.f the
right limit ofF. Show that A, f is !B::;;-m.easurable on JR.
Proof. Let us prove (a). For each n E N,1et us decompose IR into intervals (k;l, ~]for
k E Z. Let us define an extended real-valued step function fn on JR by setting
fn(x) = f ( ~
k- 1) e -JR for x e
(k -
~· n .
1k]
2
Then for every ct E JR, the set {IR : fn ~ ct} is the union of at most countably many intervals
in JR and such a set is a ~~"-measurable set. Thus fn is a IBJ<-m.easurable function on JR.
Let us show that lim fn(x) = (Atf)(x) for every x e JR. Letx e JR. Then for every
n....,.oo
n e N there exists kn e Z such that x e (ktt2; 1
, ~ J. Then by the definition of fn we have
fn(x) = f (""-
~ 1) E R for n e N.
Now we have
kn-1 kn-l 1
- - < x and x- - - < - foreveryn eN.
2n 2n - 2n
Thus k2;1 t x as n ~ oo and then we have
lim fn(X) =lim f(y) = (Ad)(x).

n_,.oo ytx
This shows that lim fn =Ad on JR. Then the ~ ~~-measurability of fn on JR for every
n....,.oo
n E N implies the ~wmeasurability of Ad on IR by Theorem 4.22.
2. (b) is proved likewise. 1
Prob. 6.18. Let f be an extended real-valued function on E.

(a) Suppose limytx f(y) exists in lR:. for every x e IR and define an extended real-valued
function Atf on IR by setting (Atf)(x) = limytx f(y) for x e R. Show that the set
{R : Atf =F!} is a countable set.
(b) Suppose limy.j..x f(y) exists in iR for every x e Rand define an extended real-valued
function Arf on IR by setting (Arf)(x) = limy.j..x f(y) for x e R. Show that the set
{R : Ar f =F!} is a countable set.
Proof. 1. Let us prove (a). Let
(1) E = {IR: Atf f./}= {x E R: lim f(y) f. f(x) }.

ytx
Let us define a function J on E by setting
(2) J(x) = I lim f(y)- f(x)l e (0, oo] for x e E .

ytx
For n e N, let us define
(3) En= {x E E: J(x) > ~ }.

Then we have E = UneH E,.. To show that Eisa countable set, it suffices to show that E,.
is a countable set for every n e N.
2. Let A be an arbitrary non-empty subset of JR. We say that a e A is a left-isolated
point in A if there exists e > 0 such that (a- e, a) n A= 0. Suppose a, be A and a< b.
If both a and b are left-isolated points in A then there exist 8 > 0 and fJ > 0 such that
(a- 8,a) n A= 0 and (b- fJ,b) n A= 0. Now we have (a- 8,a) n (b- fJ,b) = 0for
otherwise we would have (a- 8, a) n (b- fJ, b) f. 0 and then a e (b- fJ, b) contradicting
the assumption that b is a left-isolated point in A. Now any collection of disjoint intervals
in IR is a countable collection. (See Prob. 3.28.) This implies that any non-empty subset of
R has at most countably many left-isolated points in it.
3. Let us show that for every n e N the set E,. defined by (3) is a countable set. Assume
that E,. is an uncountable set. We showed above that any non-empty subset of IR has at most
countably many left-isolated points in it. Thus the uncountable set E,. has uncountably
many points that are not left-isolated points.
Select xo e E,. such that xo is not a left-isolated point in E,. and there exist uncountably
many points of E,. less than xo. Then there exists a sequence (Xk : k e N) c E,. such that
Xk t xo. Sincexk e E,., we have
(4) lim f(y)- f(xk)l > ~.

Iytxk n
For each k e N, let Yk e IR be such that Xk-l < Yk < Xk and

1
(5) lf(y~c)- f(xk)l > -.
n
Consider the sequence Yl < Xl < Y2 < x2 < }'3 < X3 < · · · . This is an increasing sequence
converging toxo. But the sequence f(Yt), f(xl), f(n).f(x2), j(y3), j(x3), . . . does not
tend to any limit on account of (5). This contradicts the assumption that limytx f (y) exists
in "iR foreveryx E Iff.. ThusE11 mustbeacountablesetforeveryn E N . ThenE = UIIEHE"
is a countable set. This completes the proof of (a).
4. We prove (b) by the same argument as for (a). 1
Prob. 6.19. Let f be an extended real-valued function on Iff..

(a) Assume limytx f(y) exists in iR: for every x e JR. Show that f is 5.Bp -measurable on JR.
(b)Assumelimy.j.x f(y) exists in R for every x E JR. Show that f is 5.Bv -measurable on JR.
Proot 1. In order to prove (a), we make the following observation on 'B:R:, the Borel
a-algebra of subsets of JR. For every x e JR the singleton {x} is a closed set in JR and
thus {x} e 'B r,: . A countable set E c JR is a union of countably many singletons and
thus E e 'Br,:. Then every extended real-valued function g defined on a countable set E
is 'BR-measurable onE since for every a e JR the set {E : g ::; a}, as a subset of the
countable set E, is a countable set and hence a 5.B p-measurable set.
2. Consider the extended real-valued Ad on JR defined in Prob. 6.17 by setting
Atf(x) =lim /(y) for X E JR.

ytx
By Prob. 6.17, Ad is 5.Bp -measurable on JR. Let

E = {JR : Atf =f. /}.
According to Prob. 6.18, Eisa countable set and then by our observation above we have
E E 'B 1<. As we observed above every extended real-valued function g defined on a
countable set E is 5.Bv -measurable on E. Thus our function f restricted to E is 'B ~~
measurable on E. Consider the set
Ec = {JR : Ad= f}.

Since E e 'B:_; _ , we have Ec e 'B:_; _ and we also have E U Ec = JR. Since Atf is 'BE-
measurable on JR, its restriction to E c is 'B p-measurable on Ec. Then since f = A t f on E c,
the restriction off to Ec is 'BR-measurable on Ec. Thus we have shown that the restriction
off to E is 'B p-measurable onE and the restriction off to E c is 'B1.t -measurable on E c.
This implies that f is '.8 ~,- -measurable onE U Ec = JR . This completes the proof of (a).
3. We prove (b) by the same argument as for (a). 1
PrologtoProb.6.20andProb.6.21. Let (X, Ql, JL) beameasurespaceandlet(En : n EN)

be a sequence of real-valued 21-measurable functions on a set D E 21. We seek a sequence
(an : n E N) of positive real numbers such that the sequence of functions (anfn : n E N)
converges to 0. Prob. 6.20 is a preliminary step to Prob. 6.21.
Prob. 6.20. Let (X, 21, JL) be a measure space and let D E 21 with JL(D) < oo. Let
Un : n E N) be an arbitrary sequence of real-valued Ql-measurable functions on D. Show
that for every e > 0 there exist E C D, E e Ql with JL(E) < e and a sequence (en : n EN)
of positive real numbers in (0, 1] such that
lim en Ifni
n-->oo
=0 on D \E.
Proof. 1. Let us show first that iff is a real-valued 21-measurable function on D E 2l with
JL(D) < oo then for every e > 0 there exists b > 0 such that
(1) JL{x ED: lf(x)l > b} <e.

For every k E N, let
D.t = {D: lfl ~ k} .
Then since f is a real-valued function on D we have D = U.teil D.t. Since (D.t : k E N)
is an increasing sequence in 21 we have
Then since JL(D) < oo there exists ko E N such that JL(D) - JL(D~) < e. This implies
JL(D \ D~) = JL(D) - JL(D~) < e.
Now D \ D~ = {D : If I > ko}. Thus we have JL{D : If I > ko} <e. This proves (1) with
b =ko.
2. Let (fn : n e N) be a sequence of real-valued 2l-measurable functions on D e 2l
with JL(D) < oo. Let e > 0 be arbitrarily given. Then for every n E N, according to (1)
there exists bn > 0 such that
B
JL{D: lf"l > b"} < 2
n.
Let
En= {D: Ifni> b"}
and
1 1
Cn = --.
nbn
Then we have
1 1 1 1 1
(2) Cnlfnl = --b Ifni~ --b bn = - on D \Ell.
n n n n n
Let E = Unell E,.. Then /L(E) c:; LneJr /L(E,.) < Lnef:l {;; =e. We also have
D\ E= D n Ec = Dn ( U E.,) c =
nEH
Dn ( n E~)
neH
= n
neH
(DnE~) = n D\E,..
Thus ifx ED\ E thenx ED\ E,. for every n EN and then by (2) we have c,.lf,.(x)l c:; *
for every n E N. This shows that
(3) lim lc,afn(x)l c:; lim ! = 0 for xED\ E.

n-+oo n....,..oo n
Let c~ = c,. A 1 E (0, 1] for n E N. Then 0 < c~ c:; c,. for n E Nand then by (3) we have
lim c~lf,.(x)l c:; lim c,.lfn(x)l = 0 for xED\ E.

n-+oo n-+oo

Prob. 6.21. Let (X, Ql, JL) be a measure space and let D E Q( with JL(D) < oo. Let
( /11 : n E N) be an arbitrary sequence of real-valued 21-measurable functions on D. Show
that there exists a sequence of positive real numbers (a, : n E N) such that
lim a,f,(x) = 0 for a.e. x E D.

11--+00
Proof. 1. Let e > 0 be arbitrarily given. By Prob. 6.20, there exist an 21-measurable subset
E1 of D with JL(Et) < e and a sequence (cl,n : n E N) of positive real numbers in (0, 1]
such that
(1) lim Ct n Ifni = 0 on D \ Et.

n--+-oo '
Forthesequence(ct,n f,.: n E N)ofreal-valuedQ(-measurablefunctionsonD,consider

its restriction to Et c D. By Prob. 6.20, there exist an 21-measurable subset Ez of Et with
JL(Et) < ~and a sequence (C2, 11 : n EN) of positive real numbers in (0, 1] such that
lim ctnC2nlfnl=0 onEt\Ez.

n--+-oo ' '
1 I t
lim ct nC2nlfnl = 0
Since C2n E (0, 1] we have ClnC2n :::; q,.. Then (1) implies that n-+OO t I I
on D \ E 1· This implies then
(2) lim Ct nC2 ,. If,.l = 0 on D \ Ez.

JJ--+00 ' '
For the sequence (ct,,cz,,. f,. : n E N) of real-valued Q(-measurable functions on D,

consider its restriction to E2 c D. By Prob. 6.20, there exist an Ql-measurable subset E3
of Ez with JL(E3) < ~and a sequence (c3,n: n EN) ofpositiverealnumbersin (0, 1] such
that
lim ct nC2nC3 n Ifni= 0 on Ez \ E3.
11---+00 I J
0
Since CJ,n E (0, 1] we have ct,nC2,nCJ,n :::; Cl,nC2,n· Then (2) implies that we have
lim ClnC2nC3 n Ifni = 0 on D \ Ez.

11-+00 ' ' '
This implies then
(3) lim
11-+00
Cl nC2 nC3 n
I ' t
Ifni= 0 on D \ E3.
Thus iterating, for every k E N there exist an 21-measurable subset Ek of Ek-l with
JL(Ek) < ~and a sequence (Ck,n : n EN) of positive real numbers in (0, 1] such that
(4)
Consider the decreasing sequence (E, : n E N) in Ql. Let E = nnef' Eit; = lim E~t;.
k--+00
Then since E1t; c D and JL(D) < oo, we have
(5) JL(E) = JL( lim

k--+00
E~t;) = lim
k--+00
JL(E~t;) :::; lim
k--+00
~=
k
0.
1his shows that the subset E of Dis a null set in (X, Q(, J.L). Observe also that
(6) D \ E = D n Ec = D n ( n
keH
E1c) c = D n ( U Ei)
keF
keH ketr
2. Consider the array of real-valued Ql-measurable functions on D
;::: ;::: ;::: ::: ]

(7)
[ F3,1
...
F3,2
...
F3,3
...
···
CJ,II/d
CJ,1C2,1 l/11
C1,2l/2l
Cl,2C2,2Ihl
CI,JI/31
C],3C2,3Ihl
.. .
... ]
[ CJ,1C2,1C3,1 1/d CJ,2C2,2C3,2 1/21 C1,3C2,3C3,3 I/31
Let us observe that since Ci,j E (0, 1] for i, j E N each column in the array (7) is a
decreasing sequence of functions on D. Observe also that (4) implies that for every kE N
the k-th row in the array (7), that is, the sequence (Fk,n : n E N) converges to 0 on D \ E~c.
3. Let us show that the diagonal sequence (Fn.n : n E N) in the array (7) converges to 0
on D \E. Let x E D \E. Then by (6) we have x E D \ Eto for some ko E N. Then since
(Fto,n : n E N) converges to 0 on D \ Eto, we have
(8) lim p,._,.(x) = 0 for our xED\ E .

n~oo "'ll•
Now since each column in the array (7) is a decreasing sequence of functions, we have
0 ~ Fn,n ~ Fto.n for n ~ ko.

Thus (8) implies
(9) lim F,.,.(x) =0 forx E D\E.

n~oo •
From (7) we have for every n E N
Fn,n = C],nC2,nC3,n · · · Cn,n If,. I.

Let us define
a,.= C],nC2,nC3,n · · · Cn,n•
Then F,.,,. = a,.l/11 1for every n E N and (9) is transcribed as
(10) lim a,.lf,.(x)l = 0 for xED\ E.

11-+00
Since for every sequence of real numbers (Yn : n E N) we have lim Yn

n-+oo
= 0 if and only if
we have lim IYn I = 0, (10) is equivalent to
n-+oo
(11) lim anfn(x) = 0 for x E D \E.
n-+oo
Then since Eisa null set in (X, Qt, fl.) contained in D, we have
lim anfn(X) = 0 fora.e. xED.

n-+oo
1bis completes the proof. 1
§7 Integration of Bounded Functions on Sets of Finite Mea-

sure
Prob. 7.1. Let (X, Qt, /-')be a measure space. Let f be a real-valued Qt-measurable function
on a set D E 2l with /-'(D) < oo. Show that for every 8 > 0 there exists a set E E 2( such
that E c D,/-'(E) < 8 and f is bounded on D \E.
Proof. Let Dt = {D: 1/1 ~ k} fork E N. Then (Dt: kEN) is an increasing sequence in
Qt and D = UteH Dt. Thus we have
/-'(D)= I"( U Dt) = k~I"(Dt) .

keF
Since /-'(D) < oo, for every 8 > 0 there exists ko e N such that
/-'(D) - /-'(DkJ) < 8.
Let E = D \ DkJ· Then /-'(E) =/-'(D)- /-'(DkJ) < 8. Now we have D \ E = DkJ· On
D14J we have 1/1 ~ ko. Thus f is bounded on D \E. 1
Prob. 7:1.. Let f be an extended real-valued Qt-measurable function on a set D E Qt in a

measure space (X,~(./-'). For M1, Mz E IR , M1 < Mz, let the truncation off at M1 and
Mz be defined by
Mt if f(x) < Mt.
g(x) = f(x) if f(x) E [Mt, Mz],
{ Mz if f(x) > Mz .
Show that g is 2l-measurable on D.
Proof. Let us define three subsets of D by setting

Dt = {x E D : f(x) < Ml},
Dz ={xED : f(x) E [M1,Mz]},
1>3 = {x e D : f(x) > Mz}.
Then {Di : i = 1, 2, 3} is a disjoint collection and D = U~=t· Moreover the ~(
measurability off on D implies that D; E 2l fori = 1, 2, 3.
Let us define functions Kt, gz and g3 on Dt, Dz and D3 respectively by setting
gt(X) = Mt for X EDt,

g2(x) = f(x) for X E D2,
g3(x) = M2 for x E D3.
Then g1, gz and g3 are Qt-measurable on Dt, D2 and D3 respectively. This implies that g
is Qt-measurable on D. 1
§7 Bounded Function on Set of Finite Measure 133
Prob. 7.3. Let f be a bounded real-valued Ql-measurable function on a set D E Ql in a

measure space (X, Ql, f-L).
(a) Show that there exists an increasing sequence of simple functions on D, (9111 : n E N),
such that 97n t f uniformly on D.
(b) Show that there exists a decreasing sequence of simple functions on D, ('1/111 : n E N),
such that '1/111 ~ f uniformly on D.
Proof. Let M > 0 be a bound off on D. Then we have 1/(x)l :::; M for x E D. The
interval [-M, M] contains the range of the function f. For every n EN, let us decompose
the interval [ -M, M] with length 2M into 2 · 2" disjoint intervals oflength ~by setting
In,k = [fnM, ki;l M) fork= -2", -2" + 1, -2" + 2, ... ,2"- 2,

In,2~-1 = [2; ;1 M, M].
Let
Dn,k = /- 1(/n,k) fork= -2", -2" + 1, -2" + 2, ... , 2"- 2, 2"- 1.
Then {Dn,k : k = -2", -2" + 1, -2" + 2, ... , 2" -2, 2"- 1} is a disjoint collection in Ql
and
2~-1
U Dn,t=D.
k=-2n
Let us define two simple functions on D, 97n and '1/f,., by setting
97n(x) = fn for x E Dn,k. fork= -2", ... , 2"- 1,
'1/f,.(x) = ki;l for x E D 11 ,t. fork= -2", ... , 2"- 1.
Then we have qJ,. (x) t and Vtn (x) ~ as n ~ oo for every x E D and moreover
qJ,.(x) ~ f(x) ~ !/ln(x) for every x ED,
and
f(x)- 97n(x) ~ t,.M for every XED,
Vtn(x)- f(x):::; ~M for every xED.

This shows that 9'11 tf and '1/111 ,J.. f uniformly on D. I
Prob. 7.4. Let f be a real-valued Ql-measurable function on a set D E Ql in a measure

space (X, 2£, p.). Suppose f is not bounded on D.
(a) Show that it is not possible that for an arbitrary e > 0 there exists a simple function q;
on D such that lq;(x)- f(x)l < E forallx ED.
(b) Show that there cannot be any sequence of simple function which converges to f
uniformly on D.
Proof. 1. Let us prove (a) by contradiction argument. Thus assume that for an arbitrary
e > 0 there exists a simple function q; on D such that
(1) lq;(x) - f(x)l < e for all x E D.
Let the simple function rp be represented by

n
(2) rp(x) = LaklD&(x) fou ED,
k=l
where {Dk : k = 1, ... , n} is a disjoint collection of Ql-measurable subsets of D with

U~=l Dk = D and {ak : k = 1, ... , n} c JR. Then (1) and (2) imply
lak- f(x)l < e forallx E D1 fork= 1, ... ,n
and then
lla1l - lf(x)il :::: la1- f(x)l < e for all x E Dtfor k = 1, ... , n
and thus
(3) lf(x)l :::: lakl +e for all x E Dk fork= 1. ... , n.
Let M =max {I all : k = 1, ... , n}. Then (3) implies
lf(x)l ::=: M +e forallx ED.
This contradicts the assumption that f is not bounded on D.

2. We prove (b) by contradiction argument. Assume that there exists a sequence (rp, :
n E 1'1) of simple functions on D that converges to f uniformly on D. Then for every e > 0
there exists N E N such that
lq;n(x)- f(x)l < E forallx E Dforn;:: N.
This contradicts (a). 1

Prob. 7.5. Given a measure space (X, Ql, 11-). Let us call a function rp an elementary function
if it satisfies the following conditions:
1° :D(rp) E Q(,
2° rp is 21-measurable on :D(rp),
3° rp assumes only countably many real values, that is, ~(rp) is a countable subset of ~ .
Let f be a real-valued 21-measurable function on a set D E Qt.
(a) Show that there exists an increasing sequence of elementary functions on D, (rp, : n E N),
such that VJn t f uniformly on D.
(b) Show that there exists a decreasing sequence of elementary functions on D, (Y,, : n E N),
such that Y,, .J.. f uniformly on D.
Proof. R = ( -oo, oo) contains the range of f. For each n e N, let us decomposeR into
countably many disjoint intervals of length f., by setting
Let
D,,Jc = f- 1 (I,,Jc) fork E Z.
Then { D,,Jc : k E z} is a countable disjoint collection in 2( and ulcEl. D,,Jc = D.
Let us define two elementary functions on D, rp, andY,,, by setting
rp,(x) = f,. for x e D,,ko fork e Z,

Y,,(x) = W for x e D,,Jc, fork e Z.
Then we have rp, (x) t and t/fn (x) .J.. as n ~ oo for every x E D and moreover
rp,(x) ~ f(x) ~ t/ln(x) for every x ED,
and
f(x)- r{ln(x) ~ f., for every x ED,
Y,,(x)- f(x) ~ f., for every x ED.

This shows that r{ln t f and t/ln ,j.. f uniformly on D. I
Prob. 7.6. Given a measure space (X, Ql, 1-£). Let rp be a nonnegative elementary function
on a set D e Ql with /L(D) < oo. Let {a; : i e N} be the set of nonnegative real values
assumed by rp and let D; = {x e D : rp(x) = ai} fori e N. We call the expression
rp= La;1n1
iel·'·'
the canonical representation of rp. We define
L rpdl-£ = ~a;I-£(D;) e [0, oo].

Let f be a nonnegative real-valued function on D. Let be the collection of all nonnegative
elementary functions rp such that 0 ::::; rp ::::; f on D and let w be the collection of all
nonnegative elementary functions rp such that 0 :S f :S '1/t on D.
(a) Show that sup In rp dl-£ :S inf In '1/t dl-£.
~E~ ~E~
(b) Show that iff is Ql-measurable on D then sup In rp dl-£ = inf In '1/t dl-£.
~E~ ~E~
(Then for a not necessarily bounded nonnegative real-valued 21-measurable function f on
DE Ql with /L(D) < 00, we define In f dl-£ = sup lnrpdl-£ = inf In 'l{ldl-£.)
~e~ te~
(c) Show that if sup In rpdl-£ = inf In 1{1 dl-£ then f is Ql-measurable on D, provided
~E~ 1/JE~
that (X, Ql, /L) is a complete measure space.
Proof. 1. Let us prove (a). Let an arbitrary rp e and an arbitrary 1{1 e wbe represented
by
(1)
iel'l jefi
ConsiderD;nEjfori e N andj e N. Since{D;: i e N}isadisjointcollectioninQlwith

Uiei' D; = D and similarly {Ei : j E N } is a disjoint collection in Ql with U jefl E i = D,
{D; n Ej : i E N, j E N} is a disjoint collection in Ql and UieF UjeTJ D; n Ej =D. Then
(2) L rp dl-£ = ~ ~ L,nEi rp dl-£ and L '1/t dl-£ = ~ ~ L,nEi '1/t dl-£.
Sincerp::::; f :s '1/t on D and in particular on D; nEj , we have ln,nEJ rpdl-£ :S lo,nEJ '1/t dl-£
fori e N and j e N. Then by (2) we have
(3) L rp d/L :s L "'dl-£.
The inequality (3) holds for an arbitrary rp e and an arbitrary 1{1 e w. Then for an
arbitrary '1/to e w we have
L Lrp dIL ::::; 'l{lo d IL for every rp e ,

and this implies

inf sup
tpE4>
1 rp dJL -s.11/lo dJL.
D D
Since this holds for an arbitrary 1/lo e \II, we have
sup { rpdiJ-:::; inf { 1{1 dJL.

<PErf1 JD Y,elll Jv
2. Let us prove (b). Assume that the nonnegative real-valued function fonD is'}(-
measurable on D. Now [0, oo) contains the range of f. For each n e N let us decompose
[0, oo) into countably many disjoint subintervals given by
Ink= - - , -
' [k2"-1 2"k) fork eN.
Let
Dn,k ={xED: f(x) E ln,k} fork EN.
Since f is Ql-m.easurable on D, we have D,,k e Q( fork e N. Then {Dn,k : k e N}
is a disjoint collection in Q( and UkefJ D,,k = D. Let us define nonnegative elementary
functions rp, and 1{1, on D by setting
Then we have 0:::; rp, :::; f:::; 1{1,. so that rp, e and 1/ln e \11. Now by (a) we have
Letting n -+- oo, we have 0 'S. infY,elll JD 1{1 d 11- - sup<PErf1 JD rp d JL :::; 0 and thus we have
inf { 1{!d1J-=sup { rpdiJ-.

Y,elll Jv <petfl Jv
This completes the proof of (b).
3. (c) is proved by the same argument as in the proof of (b) in Theorem 7.9. 1
Prob. 7.7. Let f be a bounded nonnegative real-valued Ql-measurable function on a set

D e Ql with 1-£(D) < oo. Show that if fv f dl-£ = 0 then f = 0 ae. on D.
Proof. By definition, we say that f = 0 a .e. on D if there exists a subset E of D such that
Eisa null set in the measure space (X, Ql, JJ-) and f = 0 on D \E.
Thusif/ = Oae. onDthen{D: f ¥: 0} c Eandwehave~-£{D: f ¥: 0} ~ JL(E) = 0.
Conversely if /-L{D : f ¥: 0} = 0, then the subset {D : f ¥: 0} of Dis a null set in the
measure space (X, Ql, 1-£) and f = 0 on D \ {D: f ¥: 0} so that f = 0 ae. on D. Thus we
have shown that
(1) f = 0 a.e. on D # 1-L{D : f =I 0} = 0 .

Let us show that if fv f dl-£ = 0 then f = 0 ae. on D. Suppose the statement that
f = 0 a.e. on Dis false. Then according to (1) the statement that /-L{D : f ¥: 0} = 0 is
false and consequently we have
(2) /-L{D: f # 0} > 0.
Now if JJ-(D) = 0 to start with then JJ-{D : f ¥: 0} > 0 is impossible. Thus in this case,
fv f dl-£ = 0 implies that f = 0 ae. on D. Consider the case JJ-(D) > 0. Since f is
nonnegative on D, we have {D : f ¥: 0} = {D : f > 0}. Thus
(3) a := 1-L{D : f > 0} = JL{D : f o:/: 0} > 0.
Now for n E N, let

Dn = {D: f ~ k}.
Then ( D11 : n E N) is an increasing sequence in Ql and
lim Dn =
11-+00
U D,. = {D : f > 0}
IIEH
and
lim I-£(D11 ) = JL( lim
n--+oo n-+oo
Dn) = JJ-( U Dn) = I-£{D : f > 0} =a.
neH
This implies that there exists no e N such that ~-£(D110 ) > ~-Then we have
This contradicts the assumption that fn f dJL = 0. Therefore the statement that f = 0 a.e.
on D must be valid. 1
Prob. 7 .8. Given a measure space (X, 2l, 11-). Let f be a bounded real-valued Q(-measurable
functiononasetD e 2lwith~J-(D) < oo. Suppoself(x)l::: Mforx e Dforsomeconstant
M>O.
(a) Show that if In
f d11- = M11-(D), then f = M a.e. on D.
(b) Show that iff < M a.e. on D and if 11-(D) > 0, then In
f d~J- < M~J-(D).
Proof. 1. Let us prove (a). Let us define a function on D by setting g = M- fonD.

Since -M ::: f ::: M on D, we have 0::: g :::2M on D. Thus g is a bounded nonnegative
In
real-valued Ql-measurable function on D. If f dJL = MJL(D), then we have
Lgd~J- = L {M- j}d~J- = M~J-(D)- L d~J- = M~J-(D)- M~J-(D)

f = 0.
Then by Prob. 7.7, we have g = 0 ae. on D, that is, f = M a.e. on D.

2. Let us prove (b). Suppose f < Mae. on D. Now since f ::: M on D, we have
(1) Lf d~J- ::: M~J-(D).

Thus if In f d~J- < MIL( D) is not valid then we have
(2) L d~J-
f = M~J-(D).
Then we have
(3) L{M- f}d~J- = M11-(D)- L d~J-

f = m~J-(D)- M11-(D) = 0.
According to Prob. 7.7, (3) implies that M- f = 0 a.e. on D, that is, f =Mae. on D.
Thus we have
f < M ae. on D,
{ f=M ae. onD.
This implies that there exists a subset Dt of D such that D1 is a null set in the measure
space (X, Q(, JL) and f < M on D \ D1 and there exists a subset lh of D such that lh is a
null set in the measure space (X, 2(, 11-) and f = M on D \ lh Then the subset D1 U lh
of Dis a null set in (X, Ql, JL) and
f < M and f = M on D \ (Dt U /h).
Then since Dt U/h isanullsetin (X, 21, 11-) and~J-(D) > 0, wehave~J-(D\(Dt U/h)) > 0.
Thus D \ ( D1 U /h) is a non-empty set and therefore there exists x e D \ ( D1 U D2). Then
we have f(x) < M and f(x) = M. This is a contradiction. Therefore we must have
Inf d11- < M11-(D). 1
Prob. 7.9. Let f be a bounded real-valued Ql-measurable function on a set D E Q( with

11-(D) < oo satisfying f(x) E ( -M, M] for x E D for some M > 0.
For each n E N,let
Dn,k = {x ED: f(x) E ((k- l)lf, kif]} fork= -n + 1, · · · , n.
Define simple functions (/Jn and 1/ln on D by setting
(/Jn = L~-n+1 (k- 1) If · lnn,i
and
Proof. Observe that
(1) { (/Jnd~J-~sup { qJdJL= { fdiL~ inf { 1/ldiL~ { 1/lndiL

Jo rp~f Jn Jn 1~'/1 Jo Jn
and
(2) { 1/ln djL- { 'Pn d~J- = { { 1/ln - (/Jn} djL = M IL(D).

Jn Jn Jn n
Then we have
0 ~ lim { { f dJL- { (/Jn dJL}

n-+oo ln ln
~ lim { { 1/ln diL - { (/Jn d11-} by (1)
n-+oo Jo Jn
= lim M 11-(D) = 0 by (2).
n-+oo n
This implies that
(3)
Similarly we have
. M
= lim -11-(D) = 0 by (2).
n-+00 n
This implies that
(4) { f diL = lim { 1/lnd~J-. I

Jn n-+oo)D
Prob. 7.10. Let f be a bounded real-valued Ql-measurable function on a set D E Ql with

/L(D) < oo satisfying f(x) E (-M, M] for xED for some M > 0.
Let P =(YO, ... , Yp) be a partition of [-M, M], that is, -M =YO < · · · < Yp = M.
Let Ire = [Y.t-1. Y.t] fork= 1, . .. , p and let IPI = max.t=I, ...,p 1..(/,t).
Let E.t ={xED: f(x) E (Y.t-1, y,~;]} fork= 1, .. . , p.
Let cp(T) and lfr(T) be simple functions on D defined by cp(T) = Ef:: 1 Y.t-1 · ht and
1/10) = Ef=l Yk • ht·
Let (Pn: n EN) be a sequence of partitions such that lim IPnl = 0.
n-+oo
Showthat lim fvcp(Pn)d~L=fvfdi-Land lim fvlfr(Pn)d~L=fvfd/L.
n-+oo n-+oo
Proof. Observe that
(1) { IPndf-!~sup { cpd/L= { fdf-L~ inf { l/fd!L~ { Vtnd!L

lv rp~f)D lv !~1/1 lv lv
and
(2)
Then we have
o~ lim {
n-+oo Jv
r
1 d/L _
Jv
r
f{Jn df-!}
lim { r Vtn d!L- r 'Pn d!L}

~ n-+OO by (1)
lv lv
. M
= lim -~-L(D) = 0 by (2).
n-+oo n
This implies that
(3)
Similarly we have
. M
= lim -~-L(D) = 0 by (2).
n-+oo n
This implies that
(4) { f d!L = lim { Vrn df-!. I

lv n-+oo lv
Prob. 7.11. Consider a sequence of functions (j,. : n e N) defined on [0, 1] by setting

nx
f,.(x) = 1+nx
2 2
for x e [0, 1].
(a) Show that (fn: n eN) is a uniformly bounded sequence on [0, 1] and evaluate
lim f nx JLL(dx).
n-HlO 1 + n 2X 2
J[O,l]
(b) Show that (f,. : n e N) does not converge uniformly on [0, 1].
(Recall that for the Riemann integral, uniform convergence of (f,. : n e N) on [0, 1] implies
lim I~ fn(X) dx =I~ lim fn(X) dx.)
11.....,.00 n-+oo
Proof. 1. For each n E N, fn is a nonnegative real-valued continuous function on [0,1]

and thus a s.Br,;-measurable function on [0,1]. Moreover we have
(1)
Let us show that (/,. : n e N) is a uniformly bounded sequence on [0, 1]. Observe that
>0 forx < !,

1 n(1 - n 2x 2 ) ~
j,(x) = 2 2 = 0 for X = n'
1 +nx {
< 0 forx > *·
It follows from this that f,. has a maximal value at x = *and moreover we have
(2)
Thus we have
1
(3) 1/n(x)l = fn(X) ~max In=- for x E [0, 1] and n E N.
[0,1] 2
This shows that(/" : n e N) is a uniformly bounded sequence on [0, 1]. According to the
Bounded Convergence Theorem (Theorem 7.16), (1) and (3) imply
(Comment. Uniform boundedness of the sequence (f,. : n E N) on [0, 1] can be proved

in several different ways. Here are some:
(i) For every n e N andx e [0,1], we have (1- nx)2 ~ 0 and thus 1- 2nx + n 2x 2 ~ 0,
that is, 2nx ~ 1 + n 2x 2 • This implies 0 ~
1
+";,.
2 x 2 ~ forx e [0, 1] and n e N.
!
(ii) For every n e Nand x e [0, 1], we claim that 0 :S

: :2x 2 :S 1. Assume the contrary,
1
that is, assume that +";2x 2 > 1. Then we have nx > 1 + n2x 2 and then
1
(nx - ~)
2
0 > 1 - nx + n2 x 2 = + ,i.
a contradiction.
(iii) Let us show that actually 0 :::; nx2 2 ::S 1 for all x e [0, oo) and n e N. We show
1+nx
more generally that we have
a
(4) 0 < -- < 1 fora e [0, oo).
- 1+a2 -
Leta e [0, oo). ITa~ 1 then

a a 1
0<--<-=-<1
- 1 +a2 a2 a- '
which proves (4). On the other hand, if a e [0, 1] then

a
0<--< a<l,
2- 1 +a - -
which proves (4 ). This completes the proof of (4). )

2. According to (1), we have lim fn(x) = 0 for x e [0, 1]. Let us show that this
n-+oo
convergence is not uniform on [0, 1]. Suppose (fn : n e N) converges to 0 uniformly on
[0, 1]. Then for every 8 > 0, there exists N eN such that
lfn(x) - 01 < 8 for all x e [0, 1] and n ~ N.
But this is impossible since according to (2) we have fn(k} = ~for every n eN. 1
Prob. 7.12. Given a measure space (X, Ql, ~-£). Let (f,. : n e N) be a sequence of extended
real-valued 2l-measurable functions on a set D E 2l with /L(D) < oo and let f be an
extended real-valued Ql-m.easurable function on D that is real-valued a.e. on D. Consider
the following two conditions on (j, : n E N) and f:
1o (f, : n e N) converges to fin measure on D .
lim J It~- II d -0
2 0 n-+oo D 1+1/n-/I IL - ·
Show that 1o and 2° are equivalent, that is, 1o <=? 2°.
Proof. For an arbitrary e > 0, let us define
Ae,, ={xED: lf,(x)- f(x)l ~ e} forn e N.

By the definition of convergence in measure, that is, Definition 6.14, (f,. : n e N) converges
to f in measure on D if and only if
(1) lim IL(Ae ,) = 0 for every s > 0.

n--+-00 t
1. Let us prove 1o ;;;;;? 2°. Thus assume 1o. Note that on D \ Ae,n we have Ifn - f I < e
1/n-/1 <e. Then we have
and thus l+l/n-fl
1D 1+
lfn- /I
1/n- /1
dl-£ = {
JA..,n 1 +lin-
lfn - il
/1
dl-£ + 1D\A..,n 1 +
lin- il
1/n- /1
dl-£
: :; 1 A.,n
d/L + 1
D\A.,n
B d/L = /L(Ae,n) + B/L(D \ Ae,n)
::::; /L(Ae,n) +ElL( D) .
Then by (1) we have
limsup1 l/n- /I d/L::::; limsup1-£(Ae,n) +s~-£(D) = B/L(D).

n-+oo D 1 + 1/n- /1 n-..oo
lim sup
n-+oo 1
D
lfn- /1 d 1-£=.
1 +lin - il
O
On the other hand by the nonnegativity of our integral we have
liminf1
n-+oo
I/.. - /I dl-£ > 0.
1 + 1/n - il
D -
Therefore we have
lim 1·nr1
n-+oo D
lin- il d 1-£= lim sup
1 + 1/n - /1 n-+oo
1 +If,-1/n -
D 1
il
il
d 1-£= o
'
and thus
lim
n-+oo
1 D
lin- il dl-£ = 0.
1 +lin - /1
This completes the proof of 1° ==> 2°.

2. Let us prove 2° ==> 1°. Let us assume 2°. To show that 1° holds we show that (1)
holds. Now since Ae.n C D we have
(2)
1l+lf,.-/1
D
/1
-
1 1+1/n-fl
lfn -/1 d
~
>
A..~
lfn - d
~·
Observe that for any a, b E IR such that 0 :::; a :::; b we have
a b
--<--.
1+a-l+b
On Ae.n we have l/11 - /1 ;:: 8. Thus we have
_8_ < lf,.-/1 onAs,n·
1+ 8 - 1+ 1/n- /1
Then
{ If,.- /I d > { _E_ d _ _ 8_ ( )

(3)
})A.,~ 1 +If,.- !I ~- })A.,n 1 + 8 ~- 1 + 8~ Ae,, ·
1 D
lfn- /I d > _ 8 _ (A ) > 0
1 + I'" - !I ~ - 1 + 8~ ~.II - •
Then 2° implies that lim l+

8
8 ~-t(Ae n) = 0 and hence lim
11......,00 ' PJ......,.OO
JL(Ae '11 ) = 0. This completes
the proof of 2° ==> 1o. 1
An Alternate Proof for 1o ==> 2°. The implication 1o ==> 2° can be proved by applying the
Bounded Convergence Theorem. Let us assume 1o. To prove 2°, let us define a sequence
of real numbers (y,. : n E N) by setting
{ lf,.-/1
)'11 = Jn 1 +lf,.-fld~ fornEN.
We are to prove that lim

n~oc
)'n = 0.
According to Prob. 6.8, for an arbitrary sequence of extended real numbers (an : n E N)
if there exists a E R such that every subsequence (~ : k E N) of (a,. : n E N) has a
subsequence (a,. •. :f. E N) such that lim ~ =a E R, then lim an =a. Therefore
-. 1.-HJO t n~oc
to show that lim y,. = 0, it suffices to show that every subsequence (y111 : k E N) of
11~00
(y, : n E N) has a subsequence (y,.k : e E N) such that lim y,.k = 0.

f f.-+00 l
Let (Ynt; : k E N) be an arbitrary subsequence of the sequence (y11 : n E N). Consider
the corresponding subsequence Cfnt; : k E N) of the sequence (/11 : n E N). By assumption
of 1o, the sequence (fn : n E N) converges to f in measure on D and this implies that the
subsequence (/Ilk : k E N) converges to f in measure on D. According to Theorem 6.24
(F. Riesz) this implies the existence of a subsequence Untt : t E N) that converges to f a.e.
on D. This convergence implies
lfntt -!I = D
lim 0 a.e. on .
l-+oo 1 + l.fn1t - /1
Note that we have

lfnk -/1
1 + lfntt _!I :::; 1 a.e. on D fortE N.
Then the Bounded Convergence Theorem (Theorem 7 .16) is applicable and we have
lim { lfntt - /1 d~J, = { Od~J, = 0,

l-+oo]v 1 + lfn1t - /1 Jn
that is, we have lim 'Ynt = 0. Thus we have shown that every subsequence (Ynt : k E N)
l-+oo t
of the sequence (Yn : n E N) has a subsequence (Ynkt : t E N) converging to 0. Therefore
we have lim 'Yn = 0. I
n-+oo
Prob. 7.13. Let (X, Ql, 11-) be a finite measure space, that is, p,(X) < oo. Consider extended
real-valued Ql-measurable functions that are real-valued a.e. on X. Let us declare two such
functions equal if they are equal a.e. on X. Let be the collection of all such functions.
Let
p(f, g) =
1 lf-gl
X 1 + lf-gl
(a) Show that p is a metric on .
dp, for f, g e <1>.
(b) Show that is complete with respect to the metric p.

(c) Let (fn : n E N) be a sequence in and let f E <1>. Show that lim PUn. f) = 0 if
n-+oo
and only if (fn : n e N) converges to fin measure on D.
Proof. 1. Let us show that p is a metric on the set . Observe that for f, g e we have
0< If - gl < 1 d { If- gl d < (X)

- 1 + If - Kl - an 1 +If- gl IL - IL < Jx 00
so that we have
p(f, g) E [0, ~J-(X)] for f, g E <1>.
Clearly ~}/&f) = 0 when f = g. Conversely assume that p(f, g) = 0, that is, assume
that fx l+lf-gl d~J- = 0. Then the nonnegativity of the integrand implies that the integrand
1~1~~~~ = O,a.e. on X. Thensincethedenominator1+1f -gl > 0, wehavethenumerator
If- g = 0, a.e. on X and thus f =g. This shows that p(f, g)= 0 implies that f =g.
Clearly p (f, g) = p (g, f) for any f, g e . It remains to verify the triangle inequality
for p. For this we require the following estimates. The first one is:
a {3
(1) 0 <a < Q ::::} - - < --.
- -P 1+a -l+{J
This is proved by observing that 0 :::::a ::::: {3 implies a+ a{j ::::: {3 + a{j. The next one is:
a b c
(2) a, b, c 2::: 0 and a=::: b + c::::} +a =::: + b + +c.
1 1 1
This is proved as follows. According to (1), a ::::: b + c implies
a b+c b c b c
--< = + <--+--.
1 +a - 1 + (b +c) 1 + (b +c) 1 + (b +c) - 1 + b 1+ c
To prove the triangle inequality for p, let f, g, h e <1>. Then we have
If- gl :s If- hi+ lh- cl

and according to (2) this implies
lf-gl If-hi lh-gl
<
--,---:..:'-:--::--=-:..--,. + .
1 + If- cl - 1 +If -hi 1 + lh - cl
Then integrating over X, we have
{ If- gi d < { If- hi d + { lh - gl d

lx 1 +If- gl IL- lx 1 +If- hi IL lx 1 + lh- gl 1-£,
that is,
p(f, g) :::: p(f, h)+ p(h, g).
This completes the proof that p is a metric on the set ell.
2. Let us show that the set ell is complete with respect to the metric p, that is, for every
Cauchy sequence (/,. : n E N) with respect to the metric p in ell there exists f E ell such
that lim p(f,., f) = 0.
n-+oo
Now a sequence (/,. : n E N) in ell is a Cauchy sequence with respect to the metric p if
for every e > 0 there exists N E N such that p(fm. fn) < e whenever m, n ~ N, that is,
for every e > 0 there exists N E N such that
lfm-
(3) p(fm, f,.) =
1+ X 1
fnl
lfm- fnl
df-L < e form,n ~ N.
Let us show that if Un : n E N) is a Cauchy sequence with respect to the metric p then
( /11 : n E N) is a Cauchy sequence with respect to convergence in measure on X. Assume
that (/11 : n E N) is a Cauchy sequence with respectto the metric p. Let I'J > 0 be arbitrarily
given. Then we have
(4) p(fm,J.,,,) = { lfm- fnl df-L > { lfm- fnl df.L.

Jx 1 + 1/m- fnl - f{x:I/.. -M~:'I} 1 + 1/m- fnl
On the set {X : 1/m - fnl ~ 71 }, we have 1/m- /I ~ 71 > 0. Then by (1) we have
_71_ < 1/m- fnl on {X. IF - F I> 71 }

1 + 71 - 1 + 1/m - fnl . Jm Jn - .
Then we have
(5) { lfm- fnl df-L > { _ 71_ df-L

J{x:lf,.-/nl~'l} 1 + 1/m- fnl - J{x:lf,.-/4 1~'1} 1 + 71
= l: 71
!-L{X: 1/m- fnl ~ 71}.
(6)
Since (/11 : n E N) is a Cauchy sequence with respect to the metric p, for an arbitrary e > 0
there exists N E N such that
(7) p(fm, fn) <

1
+71 e form, n ~ N.
71
Then for arbitrary 71 > 0 and arbitrary e > 0 there exists N E N such that
1+71 1+71 71
(8) f.L{X: 1/m- fnl ~ 17} :::=: --P(/m, fn) < - - +-e =B form,n ~ N.
71 71 1 '7
This completes the proof that if Un : n E N) is a Cauchy sequence with respect to the metric
p then (/n : n E N) is a Cauchy sequence with respect to convergence in measure on X.
According to Theorem 6.27, if a sequence Un : n E N) in Ill is a Cauchy sequence with
respect to convergence in measure on X then there exists f E Ill such that Un : n E N)
converges to f in measure on X. According to Prob. 7 .12, if a sequence {!11 : n E N) in (f)
converges to some fill in measure on X then we haven~ fx 1 ..\!ij~!j 1 dJL = 0, that is,
lim p(fn, f)= 0. This completes the proof that the set (f) is complete with respect to the
n-+oo
metricp.
3. Let (/11 : n E N) be a sequence in Ill and let f E Ill. By the definition of p we have
_ { If,- /1 d
PUn, f) - Jx 1 + lfn - fl p, .
Then we have
lim p(f,, f) = 0 # lim { lfn- /I dp, =0

n->oo n-+oo Jx 1 + lfn -/I
# (f, : n E N) converges to f in measure on D
where the second equivalence relation is by Prob. 7 .12. 1

Prob. 7.14. Given a measure space (X,!}(, JL). Let Un : n E N) be a uniformly bounded
sequence of real-valued 21-measurable functions and let f be a bounded real-valued 21-
measurable function on D E Q( with JL(D) < oo.
Showthatiffn~ fonDthen lim JDifn-fldJL=Oand n____,._oo
n~oo
lim JDfndJL=JDfdJL.
This is the Bounded Convergence Theorem under Convergence in Measure. Construct a
direct proof without using the subsequence argument as in Corollary 7.17.
Proof. Let e > 0 be arbitrarily given. Define a sequence of subsets of D, (Ee,n : n E N),
by setting
Ee,n = {x ED: lfn(x)- f(x)l 2:: e}.
Since (f, : n E N) converges to fin measure on D, we have
lim JL(Ee n) = 0.
n~oo '
Let M > 0 be a uniform bound of the sequence (fn : n E N) on D, that is, lin (x) I ~ M
for x ED and n E N. Then we have
~ SJL(D \ E 8 ,n) + 2MJL(E6 ,n)
~ SJL(D) + 2MJL(E ,n), 8
and then, since lim JL(Ee,n) = 0 implies lim sup JL(Ee,n) = 0, we have
11---+00 11"""'*00
limsup { lfn- fldJL ~ SJL(D) +2Mlimsup~J-(E8 ,n) = BJL(D).

n-+oo 1 D n-+oo
Since the last estimate holds for every e > 0, we have
lim sup { If,- fld~-t = 0.

n-+oo 1D
Then we have
Oc:;liminf { 1/n-fld~-t~limsup { lf,-fld~-t=O

n-+oo 1D n-+oo 1D
and thus
liminf { If,- fld~-t = limsup { If,- fldJL = 0,
n-+oo 1 D n-+oo 1 D
and then
(1) lim { If,- Jld11- = o.

n~oo1D
Next we have
-
lim00 1 r
h
f,.dtJ.- r
h
tdtJ.I =lim
-00
1
h
ru.. -f}d~J-1
~ lim
n-->00 Jn{ lfn -/I dj.t
= 0 by(1).
This implies
lim { { f,.dj.t- { f
n-->00 Jn Jn d~-t} = 0,
and thus we have
(2) lim { fndiJ. = { f dj.t. I

....... ooJn Jn
Prob. 7.15. Let Q be the collection of all rational numbers in (0, oo). Let each x E Q be
expressed as 'L where p and q are positive integers without common factors other than 1.
Define afuncHon f on [0, 1] by setting
X _ { ~ if X E [0, 1) n Q and X = ; ,
f( ) - 0 if X E [0, 1) \ Q.
Show that f is Riemann integrable on [0, 1] and evaluate J~ f(x) dx.
Proof. Let Dt = [0, 1] n Q and~ = [0, 1] \ Q. Then according to Prob. 4 .8, f is

continuous at every x E ~ and f is discontinuous at every x E Dt \ {0}. Thus Dt \ {0} is
the set of points of discontinuity off. As a subset of Q, Dt \ {0} is a countable set and then
tJ.(Dt \ {0}) = 0. According to Theorem 7.28, this implies the Riemann integrability off
on [0, 1]. According to Theorem 7.27, the Riemann integrability off on [0, 1] implies
{t f(x)dx = { f diJ.L·
Jo J[O,ll
Then since J.tL (Dt) = 0 and f = 0 on D2, we have
Thus we have J~ f (x) dx = 0. 1

Prob. 7.16. Let f be an extended real-valued function on K Define two extended real-
valued functions <p and 1{1 on JR by letting q.~(x) = lim inf f (y) and 1{1 (x) = lim sup f (y)
y~x y~x
for x e JR. Show that qJ and 1{1 are ~IF~-measurable on JR. (Note that f itself is not assumed
to be ~::;:-measurable on JR.)
Proof. 1. For X E JR and 11 > 0, let us write
U(x, t7) = (x- fl, x + fl),

Uo(x,l1) = (x -11. x + 11) \ {x}.
By definition we have
(1) q.~(x) = liminf f(y) =lim inf f,

y~x 11-1-0 Uo(x,ll)
(2) 1/J(x) =lim sup f(y) =lim sup f.

y-.-x 11-1-0 Uo(.x,'l)
For each n e N, let us decompose JR into countably many disjoint subintervals defined by
(3) I - k-1- -k]

(- fork e Z.
n,k- 2" '2"
Let us define a step function q.~n on JR by setting
(4)
Then q.~,. is ~ ,<,-measurable on JR, <p11 t as n--+ oo and lim 11~00

q.~n is ~,<,-measurable on JR.
2. Let us call x E JR a strict minimal point of f if there exists 8 > 0 such that
f (x) < f (y) for all y e Uo (x, 8). Let S be the collection of all strict minimal points of f.
Let us show that Sis a countable set. For each k e N, let S1c be the collection of all x e JR
such that
f(x) < f(y) for ally E Uo(x, l)·
Then every x E S1c is a strict minimal point of f so that S~c c S. On the other hand for
every 8 > 0 in the definition of a strict minimal point of f above, we have < 8 for large l
enough k e N and thus every x e S is in S1c for some k e N and therefore S c UlteH S1c.
This establishes S = Ulcef' S1c.
To show that S is a countable set. since S = Ulcer.' S1c it suffices to show that S1c is a
countable set for every k e N. Let us show that S1c is a countable set. Corresponding to
every x e S1r. consider the set Uo(x, /t).
We claim that {Uo(x, x e S~~:} is a disjoint /t) :
collection. Suppose it is not a disjoint collection. Then there exist x', x" E S~c such that
Uo(x', /t)n Uo(x", /t)
=I 0. This implies that x' E Uo(x", so that f(x") < f(x') D
and similarly x" E Uo(x', l)
so that f(x') < f(x"). This is a contradiction. Therefore
{Uo(x, :ft) : x e S1c} is a disjoint collection. Now JLL(Uo(x, :ft)) = > 0. Thus i
{Uo(x, :k) :x E S1c} is a disjoint collection of 9RL -measurable subsets of JR with positive
ILL measure. According to Prob. 3.5 such a collection is an at most countable set Thus Sk
is a countable set This completes the proof that S is a countable set.
3. Let E be the collection of the endpoints of the intervals In,k where k E Z and
n E N. Then Eisa countable set. Since Sis also a countable set, E US is a countable
set. Now a singleton in IR: is a s.B_~-measurable set. Then E US, being a countable union of
IBJF.•-measurable sets, is a IBJF.•-measurable set. Let us show
lim f!Jn(X) = q7(x) for x E (E U S)c.

n~oo
Let x E (E U S)c. Then xis not an endpoint of the interval In,k for any k E Z and n E N.
Then for every n E N, there exists k(n) E Z such that x E 1;,k(n), the interior of the interval
ln,k(n). Let 'In > 0 be so small that
U(x, 'In) C 1;,k(n).
Then for every n E N we have
(5) q7(X) =lim inf j(y) =lim inf j,

y~x 'l.j.O Uo(X,'I)
2=: inf j = f!Jn(X).

In,k(n)
By (1), for every E > 0 there exists 8 > 0 such that
(6) q7(X)- E < inf j :S q7(X).

Uo(x,8)
2~ = 0 and since x
Since lim - E 1; lc(n) for every n E N, there exists N E N such that
n~oo '
In,k(n) C U(x, 8) for n ::=: N.
This implies
(7) inf /2=: inf f= inf f sincex¢S.

I..,t(•) U(x,8) Uo(x,8)
By (5), (4), (7) and (6), we have
q7(x) 2=: q7n(X) = inf f 2=: inf f > q7(x) - e for n 2=: N.
In,k(n) Uo (x,S)
This proves
(8) lim f!Jn(X) = q7(x) for X E (E U S)c.

n~oo
Since rpn is ISv -measurable on (E U S)c for every n E N, (8) implies that rp is ~ p,
measurable on (E U S)c. The 1Sk'-measurability of rp on E US is verified as follows.
Let a E IR. and consider the set {x E E US : rp(x) ::; a}, a subset of the countable set
E US and hence a countable set in IR.. Now every countable set in IR. is in ISp . Thus
{x E E U S : rp(x) ::; a} E ISY;. This shows that <pis IS ~>t -measurable onE US. The
IBR-measurability of <p on (E U S)c and the IS:F;-measurability of rp onE US imply the
ISE-measurability of rp on lEE.
4. The IS wmeasurability of l/1 on IR. follows from that of rp. Observe that for an arbitrary
extended real-valued function f on R , we have
(9) limsupf(y) = -liminf(-f)(y) .

y~x y-+x
We showed in 3 that for every extended real-valued function f defined on IR. the function
lim inf f (y) for x E R is a~~ +-measurable function on R. Thus for the extended real-valued
y~x
function- f on R, the function liminf(-f)(y) for x e R is a IB p-measurable function on

y-+x
R. Then (9) implies that the function lim sup f(y) for x e R is a ISLe-measurable function
y-+X
on R . 1
Prob. 7.17. Let f be an extended real-valued function on R. Define a subset of R by
D = {x E R : lim f(y) exists in IR}

y-+x
and define an extended real-valued function A on D by setting
A(x) = lim f(y) for x E D.

y-+x
Show that D E ISr,: and A is IBr;:-measurable on D.
Proof. 1. For x E R , lim f(y) exists in iR if and only if liminf f(y) =lim sup f(y) and
y-+x y-+x y-+x
when the equality holds then we have lim f (y) = lim inf f (y) = lim sup f (y) . Thus
y-+x y-+x y~x
D = {x E R : liminf f(y) =lim sup f(y) }.

y-+x y-+x
Now according to Prob. 7.16, liminf f(y) and lim sup f(y) are IBE-measurablefunctions
y-+x y-+x
on R. This implies that DE ISr,:.
2. We have A(x) = liminf f(y) for x E D. Now liminf f(y) for x E IR. is~ ~,(-
y~x y-+x
measurable on 1Ft and hence IBp -measurable on D E IB Y'· Thus A is IS ,o-measurable on
D. I
Prob. 7.18. Let (X, p) be a metric space with a metric topology by the metric p. For x EX
and r > 0 the open ball with center x and radius r is defined by setting
B(x,r) = {y EX: p(x,y) < r}.
Let D be a subset of X and let f be a real-valued function defined on D. We define the

oscillation of f at x E D by setting
w(x) =lim sup f -lim inf f.

d.J.O B(x,&)nD d.j.O B(x,5)nD
(a) Show that w(x) E [0, oo] for every x ED.

(b) Show that f is continuous at xo E D if and only if w (xo) 0. =
(c) For every 8 > 0, let Ds = {x E D : w(x) ~ e}. Show that Ds is a closed subset of D
in the relative topology of D, that is, Ds = F n D where F is a closed set in X.
(d) Let A be the subset of D consisting of all discontinuity points off and let B be the
subset of D consisting of all continuity points of f. Show that A = F n D where F is an
Fa-set in X and B = G n D where G is a Gs-set in X.
Proof. 1. To prove (a), observe that inf E [ -oo, f(x)] so that lim inf E [ -oo, f(x)]
B(x,&) 6.j.O B(x,&)
and similarly sup E [f(x), oo] so that lim sup E [f(x), oo]. This implies
B(x,&) d.j.O B(x,&)
lim sup f -lim inf f E [0, oo].

d.j.O B(x,&)nD d.j.O B(x,&)nD
l. Let us prove (b).

2.1. Suppose f is continuous at xo E D. Then for every 8 > 0 there exists '1 > 0 such
that
f(xo)- 8 < f(x) < f(xo) + 8 for x E B(xo, 71) n D
and hence
f (xo) - 8 ~ inf f ~ sup f ~ f (xo) + 8
B(xo.~)nD B(xo.~)nD
and then for 8 E (0, 71] we have
f (xo) - 8 ~ inf f ~ inf f

B(XlJ,~)nD B(xo.&)nD
< sup /~ sup f

B(XlJ,&)nD B(XlJ, ~)nD
~ f(xo) + 8.
Thus we have
sup f- inf f ~ 28 for8 E (0, 17]
B(xo.&)nD B(XlJ,&)nD
and then
0 ~ w(xo) =lim {
d.j.O
sup
B(xo,&)nD
f- inf
B(xo,&)nD
t} ~ 2e.
Since this holds for an arbitrary e > 0, we have co (xo) = 0.

2.2. Conversely suppose that for xo e D we have
0 = co(xo) =lim {
~.j.O
sup
B(::co,6)nD
f- inf
B(::co.~)nD
t}.
Then for every e > 0 there exists 8 > 0 such that
sup f- inf f < e.

B(::co.~)nD B(::co,&)nD
Then for every x', x" e B(xo, 8) n D we have
f(x')- f(x") ~ sup f- inf f < e

B(::co.~)nD B(::co.6)nD
and
f(x")- f(x') ~ sup f- inf f < e
B(::co.~)nD B(::co,&)nD
so that
1/(x')- f(x")l < e for every x', x" e B(xo, 8) n D
and in particular
1/(x)- f(xo)l < e for every x e B(xo, B) n D.
This shows that f is continuous atxo.

3. Let us prove (c). To show that D 8 is a closed subset of Din the relative topology of
D, we show that D 8 contains every limit point of D 8 in the relative topology of D. Thus let
xo e D be a limit point of D 8 in the relative topology of D. Then for every 8 > 0 the set
B(xo,8)nDcontainssomepointxt e D 8 suchthatx1 :;6xo. Th.ensincex1 e D 8 ,wehave
lim {
11-1-0
sup
B(x1, 17)nD
f - inf
B(xpr)nn
1} = co(x1) ~ e
and then
sup f - inf f ~ e for every 11 > 0.
B(x~oJ7)nD B(XJ,J7)nD
In particular this inequality holds for 111 > 0 so chosen that B(xt. 7JJ) c B(xo, 8). Then
Then for the set B(xo, 8), which contains B(x1, '11), we have
sup f - inf f ~ e.
B(::co,&)nD B(::co,&)nD
Since this holds for every o > 0, we have
co(xo) = lim {
&,j.O
sup
B(::co.~)nD
f- inf
B(::co,&)nD
1} ~ e.
This shows that xo E De. Thus De contains every limit point of D 6 in the relative topology
of D and thus D6 is a closed subset of Din the relative topology of D.
4. Let us prove (d). Recall that w(x) E [0, oo] for x E D and w(x) = 0 if and only iff
is continuous at x E D. Thus f is discontinuous at x E D if and only if w (x) > 0. Recall
also the set De= {x ED: w(x) ~ s} for s > 0. Then we have
A= {xED: w(x) > 0} = U{xED: w(x) ~ ;;}1 = UD~.

~N ~N
According to (b), D 1 is a closed subset of Din the relative topology of D and thus we have
D1 = Fn n D whe~ Fn is a closed set in X. Let F = Unet l F11, an F.,.-set in X. Then
n
A = UD ~ = U(Fn n D) = ( U Fn) n D = F n D.
neF neH neH
Then
B = D \ A = D n Ae = D n (F n D)e = D n (Fe U D) = D n Fe = G n D
where G := Fe, a G~-set set in X. 1
Prob. 7.19. Let Ql be the set of rational numbers in IR and let IP' be the set of irrational
numbers in IR.
(a) Show that Q is an F.,.-set and IP' is a G~-set.
(b) Show that Q cannot be a Gc5-set and IP' cannot be an F.,.-set.
Proof. 1. Let us show that Q is an F.,.-set. Now Q is a countable set. Let us enumerate
the elements of Q as Q = {r; : i E N}. Since {r;} is a closed set in IR, Q = U;er1{r;} is an
Fer-set.
2. The complement of an F.,.-set in a topological space is a Gc5-set. Then since IP' is the
complement of the F.,.-set Q in IR, IP' is a G~-set.
3. Let us show that Q cannot be a G ~-set. Assume the contrary, that is, assume that Q is
a Ga-set. Then Q = nieF G; where G; is an open set in JR. Now every non-empty open set
in IR is the union of countably many disjoint open intervals. Since Q is dense in IR (that is,
every open interval in R contains some element of Q ), the open set G; containing Q must
be of the form R \ P; where P; consists of countably many irrational numbers. Then
Q = n G; = n(IR \ P;) = n P{ = (uP;) e .

ieH ieH ieH ieH
Now UneN P; consists of countably many irrational numbers. Then since 1P' is an uncount-
able set, (U;eH P;t contains some irrational numbers and thus (U;ePl P;t
oft Q. This
contradicts the last equality. Therefore Q cannot be a Ga-set.
4. Let us show that IP' cannot be an Fa -set. Suppose IP' is an Fa-set. Then Q = IP'c is a
G~-set. This contradicts 3. 1
Prob. 7.20. (a) Construct a real-valued function f on ~ such that f is discontinuous at

every rational x e IR and continuous at every irrational x e JR.
(b) Show that it is impossible for a real-valued function f on~ to be continuous at every
rational x e ~ and discontinuous at every irrational x e ~-
Proof. 1. Let Q be the set of all rational numbers in R. Then r!Jf = IR \ Q is the set of all
irrational numbers in R. Let every non-zero rational number be represe~ted as where ±;
p, q e N and p and q have no common factors other than 1 e N. ( 1 e N 1s a factor of every
x e ~ -)In particular every n e N is represented as T·
For p e N, let Q p be the set of all non-zero rational numbers represented by Then±!.
{Qp : p e N} is a collection of disjoint sets and moreover
tQl = {0} u ( u
peH
Qp ).
Let us define a real-valued function f on R by setting
ifx =0,
ifx E Q p for pE N,
ifx E t!Jf.
Then we have
f(x) > 0 if X E Q,
f(x) = 0 ifx E Qc.
2. Let us show that f is discontinuous at every xo e Q. Assume the contrary, that is,
assume that f is continuous at some xo e Q. Now xo e Q implies that f(xo) =a > 0.
Then continuity at xo implies that for ~ > 0 there exists 8 > 0 such that
a
1/(x) - /(xo)l <
2 for x e (xo - 8, xo + 8),
that is, recalling f (xo) = a, we have
a 3
2< f(x) < 2a for x E (xo- 8, x 0 + 8).
This is impossible since for x e (xo- 8, xo + 8) such thatx e <(){ we have f(x) = 0.
3. Let us show that f is continuous at every xo e Qc. Thus we are to show that if
x 0 e Qc then for every e > 0 there exists 8 > 0 such that
lf(x)- /(xo)l < e forx e (xo- 8, xo + 8),
that is, recalling f(xo) = 0 and f(x) ~ 0, we have
f(x) < e forx e (xo- 8, xo +8).

If x E CQC, then f(x) = 0 < e. If x E Qp for some p E N, then f(x) = f,. Now there
-k
exists N E N such that <e. Then for x E Qp where p > N, we have
1 1
f(x) = - < - < e.
P N
It remains to consider x E Qp where p = 1, ... , N. Now for p = 1, ... , N, if x', x" E Qp

k·
then lx'- x"l ::=: ~ ::=: Then the open interval (xo - 2~, xo - 2~) with length can k
contain at most one element of Qp for p = 1, ... , N. Since the number of elements of Qp
for p = 1, ... , N contained in (xo- ~. xo- ~)is at most N, we can select~ E (0, ~]
so small that (xo - ~, xo + ~) does not contain any element of Qp for p = 1, ... , N. Finally
take a smaller~ > 0 if necessary so that (xo - ~. xo + 8) does not contain 0 E Q. With such
~ > 0 we have f(x) < e for every x E (xo- ~. xo + 8). This proves the continuity off at
every xo E CQC. 1
4, Suppose there exists a real-valued function f on R such that f is continuous at every
rational x E R and discontinuous at every irrational x E R. Let Q be the set of the rational
numbers in R. Then Q is the set of continuity points of our function f. According to
Prob. 7.18, the set of continuity points of a real-valued function on R is a Ga-set in R. But
according to Prob. 7.19, Q cannot be a Ga-set in R. This is a contradiction. 1
§8 Integration of Nonnegative Functions

Prob. 8.1. Let (X, 2l, /L) bean arbitrary measure space and let DE 2l with /L(D) > 0. Let
f be a nonnegative extended real-valued 2l-mea.surable function on D. Show that iff > 0
on D then fn f d/L > 0.
Proof. For n E N, let E,. = {x E D : f(x) > *}.

Since f is 2l-mea.surable on D,
we have E,. E 2(. Since * ,!.. as n t, (E,. : n E N) is an increasing sequence in 2l. Let
E = UnEf'. E,.. Then E E 2l and 1-£(E) = lim 1-£(E,.).
11~00
Now since E,. c D for every n E N, we have E = UnEI'l E,. c D. On the other hand
if x E D then f(x) > 0 so that f(x) > *for sufficiently large n E N and then x E E,..
Thus DC UnEB E,. =E. This shows that E =D. Then we have lim /L(E,.) = /L(E) =
n~oo
1-£(D) > 0. Thus there exists no E N such that 1-£(E11fJ) > 0. Let us define a function qJ on
D by setting
1
qJ(X) = -1E110 (x) forx ED.
no
Then qJ ~ f on D. Thus we have
§8 Integration of Nonnegative Functions 161
Prob. 8.2. Let (X,~(, J.L) be an arbitrary measure space. Show that if there exists a non-
negative extended real-valued ~-measurable function f on X such that f > 0 on X and
fx f dJ.L < oo then (X, 2l, tL) is a a-finite measure space.
Proof. To prove the statement we prove the contra-positive of the statement. Thus we are
to prove that if (X,~. tL) is not a-finite then there does not exist a nonnegative extended
real-valued 2!-measurable function f on X such that f > 0 on X and fx f dtL < oo.
Suppose (X,~. /L) is not a-finite. Let f be a nonnegative extended real-valued 2l-
measurable function on X such that f > 0 on X. Let us show that fx f dtL = oo.
Letln = [~, n~l) forn E Nand Io = [1, oo]. Then {In : n E Z+}isadisjointcollection
and Une;;+ In = (0, oo]. Since f is ~-measurable on X, we have En := f- 1 Un) E 2l for
every n E ;;z+· Since f > 0 on X, for every x E X we have f(x) E /,. for some n E ;;z+
and then x E f- 1(/n) =En. This shows that X= Une/ + En. Let us define a function g
on X by setting
k
for X E E,. where n E N,
g(x) =
{
1 forx e Eo.
Then g is nonnegative real-valued ~(-measurable function on X and g ::5: f on X and
L1 ~ L d11- g dJ.L.
Nowsince(X, ~. tL)isnota-finiteandsince{En : n E Z+}isacountabledisjointcollection

in~ such that U..ez:+ E, =X, theremustexistno E Z+ such that tL(E110 ) = oo. If no= 0
then we have
{ gd11- ~ { gd11- = 1· J.L(E110 ) = oo,
Jx JE"'
and if no e N then
lx
{ g dJ.L ~
E..o
1 no
g dJ.L
110 = 2._ · tL(E ) = oo.
Thus we have fx g dtL = oo and then fx f dtL ~ fx gdtL = oo. I

Prob. 8.3. Let (X, Ql, 11-) be a measure space and let <E be a collection of disjoint members
of 2t with positive 11- measure. Show that if (X, 2t, ~.t) is au-finite measure space then the
collection <E is at most countable.
Proof. If (X, Ql, /L) is au-finite measure space then there exists a countable disjoint col-
lection ::D = {D, : n e N} C 2t such that X = Unefl D, and ~.t(D,.) < oo for every
n eN.
Forn eN, let
~" = {E n D,. : E e <E and ~.t(E n D,) > 0}.
Since <Eisa collection of disjoint subsets of X, ~"is a collection of disjoint subsets of X.

Let
~= u~n-
nEH
Since :Dis a collection of disjoint subsets of X, ~is a collection of disjoint subsets of X.

Let us define a mapping of <E into~ as follows. For every E e <E, since X= UneH D,, we
have E = Uneu(E n D,.). Since :Dis a collection of disjoint Ql-measurable subsets of X,
{E n D, : n e N} is a collection of disjoint Q(-measurable subsets of X and thus we have
p,(E) = L p,(E n D,).

neff
Since 11-(E) > 0, there exists no e N such that 11-CE n Dno) > 0. Let us define
cp(E) =En Dno E ~no·
Then cp is a mapping of <E into ~ = Unell ~,. ·

If E 1, E2 e <E and E 1 #- E2 then E1 n E2 = Ill since <E is a collection of disjoint subsets
of X. Now Et n E2 = Ill implies that (Et n D,1 ) n (E2 n Dnz) = 0 for any nt. n2 E N.
This shows that if Et =1= E2 then cp(Et) =1= cp(E2). The existence of such mapping of <E into
~ implies that the cardinality of <E does not exceed that of~- Therefore to show that <E is
at most countable, we show that~ is at most countable. Since~= UnefJ ~... to show that
~ is at most countable it suffices to show that ~, is at most countable for every n e N.
Let no e N be arbitrarily chosen. To show that ~no is at most countable, let us assume
the contrary. Now ~no is a collection of disjoint 2t-measurable subsets of Dno with positive
p,measure. ThusifF e 3'no thenp,(F) > Oandthereexistsk e NsuchthatJ.L(F) > t·
For
kEN, let ~no.k be the subcollection of ~no consisting of all FE ~no with ~.t(F) > l·
We
have 3'no = UkeH 3'no,k· Since 3'no is an uncountable collection there exists ko e N such
that 3'no.ko is an uncountable collection. Then we can select a sequence (Fm : m e N) of
distinct members of 3'no.ko· We have J.L(Fm) > ~for every meN. Since 3' is a collection
of disjoint subsets of X, distinctness of Fm form e N implies the disjointness of Fm for
me N. Then we have
J.L( U Fm) = L p,(Fm) ~ L ~ = 00.

meH meH meH
But we have UmeH Fm C Dno and this implies

/L(Dtlfl) ~ IL( U Fm) = oo.
meH
This contradicts the fact that /L( Dno) < oo. Thus ~no cannot be uncountable and hence ~no
is at most countable. 1
Prob. 8.4. Given a measure space (X,!}(, J.L). Let f be a nonnegative extended real-valued
21:-measurable function on a set D e 2( with J.L(D) < oo. Suppose f > 0 a.e. on D.
(a) Show that for every 8 > 0 there exists 11 > 0 such that for every !}(-measurable subset
E of D with J.L(E) 2::: 8, we have JE
f dJL 2::: 71, (that is, if E e 21:, E c D, and JL(E) is
bounded below by a positive real number then f E f d f.' is bounded below by a positive real
number).
(b) Show that (a) does not hold without the assumption JL(D) < oo.
Proof. 1. Let us prove (a). Let D+ = {x e D : f(x) > 0}. Since f > 0, a.e. on D, we
have ~J-(D+) = JL(D). For n E N,let Dn = {x E D: f(x) 2::: Then (Dn : n E N) is an k}.
increasing sequence in 2( and lim Dn
1'1-700
= U Dn = D+ so that we have
neH
(1) lim IL(D,.) = IL( lim Dn) = IL(D+) = p.(D) < oo.
n-+oo n-+oo
Let 8 > 0 be arbitrarily given. Then (1) implies that there exists no e N such that
8 8
p.(Dno) 2::: p.(D) -
2, that is, p.(D) - p.(Dno) :5: 2·
Then since JL(Dno) < oo, we have
(2)
Let E e 21:, E c D, and suppose p.(E) 2::: 8. Since D = (D \ D110 ) U Dll(), we have
E = E n D = { E n (D \ D 110 )} U { E n D110 } .
Then we have
8 :5: p.(E) = p.(E n (D \ Dll())) + p.(E n D110 )
:5: p.(D \ D110 ) + p.(E n Dll())

8
:5: 2: + JL(E n Dll()),
and then
(3)
Then we have
1 18
(4)
1 E
f diL 2:::
1 EnD"'
f dp. 2:::: -p.(E n Dno)
no
2::: - - .
no 2
Let
1 8
(5) ' I = - - > 0.
no2
Then (4) shows that
L f diL :::: 11 forE e Ql, E c D, with JL(E) :::: fJ .

2. Let us show that (a) is not valid without the assumption that JL(D) < oo. Consider
the measure space (R, mL, ILL). Let D = (0, oo). Then ILL(D) = oo. Let f(x) =;for
x e (0, oo). Then f is a nonnegative real-valued 9J1L -measurable function on D and f > 0
on D. Let 8 > 0 be arbitrarily given. For n eN, let E,. = (n, n + c5). Then 1-'L(E,.) = c5
for every n E N. On the other hand we have f,.. f dilL ::5 .!.[J
11
so that lim JE f dJLL = 0
...., n---+-oo "
and thus there does not exist 11 > 0 such that fEn f diLL :::: 11 for all n E N. I
Prob. 8.5. Given a measure space (X, Ql, #L) with 11-(X) < oo. Let f be a nonnegative
extended real-valued Ql-measurable function on X such that f > 0, 11--a.e. on X. Let
(En : n E W) be a sequence in!]( such that lim J,..
f d11- = 0. Prove the following:
n...,.oo .un
(a) lim #L(En) = 0.
n-+oo
(b) lim #L(En) = 0 does not hold without the assumption that f > 0, 11--a.e. on X.
n-+oo
(c) lim #L(En) = 0 does not hold without the assumption that 11-(X) < oo.
n-+oo
Proof. 1. Let us prove (a) by contradiction argument. Now lim #L(En) = 0 if and only if
n-+oo
for every e > 0 there exists N E Wsuch that J.t.(En) < e for n ~ N. Suppose we do not have
lim #L(En) = 0. Then there exists eo > 0 such that for every N E W there exists n ~ N
n-+oo
such that #L(En) ~ eo. Thus we can select n1 < n2 < n3 < · · · such that #L(Enk) ~ eo for
every k E W. Then {11-(E11*) : k E W} is bounded below by eo> 0. According to Prob. 8.4,
this implies that { JEr.l f d 11- : k E W} is bounded below by a positive real number 71 > 0.
Thus we have
{ j d#L ~ 71 > 0 fork E W.
jE"k
This contradicts the assumption that lim
n--+-oo
JE" f d#L = 0. This proves (a).
2. To prove (b), consider the measure space ([0, 1), 9J1L, ILL). Let f be defined by
1 forx E [o. !).

f(x) = 1
{ 0 forxEb,l).
Let En = [!, 1) for every n E W. Then JE~ f diLL = 0 for every n E N and thus
lim
11..... 00
J,. f dJ.t.L = 0 but ILL(En) =!for every n EN and thus
~
lim ILL(En) =!
11....... 00
# 0.
3. To prove (c), consider the measure space ([0, oo), 9JlL, 11-J- In this case we have
ILL ([0, oo)) = oo. Let (an : n E Z+) be a sequence in [0, oo) defined by
ao = 0, a1 = ao + 1, a2 = a1 + 2, a3 = a2 + 3, ... , Cln = an-1 + n, ....
LetEn = [an-l,an)forn EN. Then{En: n E W}isadisjointcollectioninQl,UneH En=

[0, oo), and ILL(En) = n for every n EN. Let f be a positive valued function on [0, oo)
defined by
1
f(x) = 2 forx E En.
n
Then we have JEn f diLL = :\n
n
=!for every n EN so that lim J,.
n -oo -
f diLL = 0. On the
other hand, since J.t.L(En) = n for every n EN, we have lim ILL(E,.) = oo. 1
11-+00
Prob. 8.6. Given a measure space (X,!}(, p,). Let f and g be two nonnegative extended
real-valued !}{-measurable function on a set De!}( such that f:::: g a.e. on D.
(a) Show that if JD
f dJL = JD
gdJL < oo, then f = g a.e. on D.
(b) Show by constructing a counterexample that if the conditions JD
f dp, < oo and
JD g dJL < oo in (a) are removed then the conclusion is not valid.
Proof. 1. Let us prove (a). Let Do = {x E X : f(x) ;;/; g(x) }. Since f and g are
~-measurable on D, we have Do e m. To prove that f = g a.e. on D, we prove that
JL(Do) = 0. We prove this by contradiction argument. Thus assume that JL(Do) ;;/; 0. Then
JL(Do) > 0. Let
Dt ={xED: f(x) < g(x)},
~ = {x E D : f(x) > g(x) }.
Then Dt, ~ e 2l, Dt n D2 = 0, and Dt U D2 = Do so that JL(Do) = JL(Dt) + JL(~).
Since f :::: g a.e. on D, we have ~-t(D2) = 0. Thus we have
p,(Dt) = ~-t(Do) > 0.
Now
Dt ={xED: f(x) < g(x)} ={xED: g(x)- f(x) > 0}
1
= U
Ek where Ek = {x e D: g(x)- f(x) > k}.
keiJ
Then we have
0 < JL(Dl) :::: LJL(Ek) .
keH
This implies that there exists ko e N such that JL(Ek()) > 0. On Ek() we have g > f + ~·
Thus we have
(1)
Since g ~ f a.e. on D, we have

(2) { gdl-£ ~ { fdp,.
JD\E~ JD\E~
Adding (1) and (2) side by side, we have
(3) L ~L g dp, f dp, + ~ ~-t(Ek()).
Since JD f dJL = JD g dJL < oo, subtracting this finite number from both sides of (3) we
have
1
0~ ko p,(E~).
This is a contradiction. Therefore we must have p,(Do) = 0.
2. To prove (b) consider the measure space (R, 9XL , ILL). Let f = 1 on R and g = 2
on R. Then f :::: g on R and fp f dp,L = fJ:
g d~-tL = oo. But we do not have f = g a.e.
on R. For another example, let f(x) = tr and g(x) = 1 +ex for x E R. Then f :::: g on
R and f l': f dJLL = ~'- g dJLL = oo. But we do not have f = g a.e. on 1Ft. 1
Prob. 8.7. Given a measure space (X, Ql, p.). Let f and g be two nonnegative extended
real-valued 2!-measurable function on X.
(a) Show that if Ixf dp. = Ix
g dp. < oo and f dJL = IE IE
g dp. for every E E Ql, then
f = g a. e. on X.
(b) Show by constructing a counterexample that if the conditions f dp. < oo and Ix
Ix g dp. < oo in (a) are removed then the conclusion is not valid.
Proof. 1. Let us prove (a). Let Do = {X : f =f. g}. Then 2t-measurability off and g
implies that Do E Ql and f = g a.e. on X if and only if p.(Do) = 0.
Suppose that the statement f = g a .e. on X is false. Then we have JL(Do) > 0. Let
Dt = {X : f < g} and D2 = {X : f > g}. 2!-measurability off and g implies
that Dt. ~ e Ql and moreover we have Dt n ~ = 0 and Dt U ~ = Do so that
p.(Do) = p.(Dt) + p.(D2). Our assumption JL(Do) > 0 implies that at least one of p.(Dt)
and p.(~) is positive. We show below that this leads to a contradiction.
Suppose p.(Dt) > 0. Now we have
Dt = {x: J < g} = {x: g- f > o} = U E.t

kEH
where Et ={X: g- f > l}.

Then we have
This implies that there exists k{) E N such that p.(Ekf) > 0. OnE~ we have g > f + k·
Thus we have
(1) { gdJL~ { {t+~}dp.= { fdp.+:_p.(E~).

j Eto j Eto "0 j Elo "0
Since g > f on D1, we have
(2) { gdp. ~ { fdJL.

j n,\Efo j n,\Ekf:J
Adding (1) and (2) side by side, we have
(3) { g dJL ~ { f dp. + :_ JL(EJ:o).

Jn, ln, "0
Now our assumption Ix f dp. = Ix g dp. < oo implies that In, f dp. < oo and In, g dp. <
oo. Our assumption IE f dp. =IE g dp. for every E E Q( implies
(4) { f dp. = { gdp. < 00.
ln, ln,
Subtracting this real number from both sides of (3), we have
1
(5) 0 ~ k{) JL(E~).
This is a contradiction. We show similarly that the assumption JL(/h) > 0 leads to a
contradiction. Therefore we must have JL(Do) = 0, that is, f = g a.e. on X.
2. Let us prove (b). Let X be an arbitrary non-empty set and let Ql be an arbitrary
a-algebra of subsets of X. Let us define a set function JL on Ql by setting JL(0) = 0 and
JL(E) = oo for every E e Ql such thatE #:~-Then JL is a measure on the a-algebra Ql and
we have a measure space (X, Ql, JL). Let us define two real-valued Ql-measurable functions
f and g by setting f = 1 on X and g = 2 on X. Then we have
L, L dJL = g dJL = oo,
L Lf dJL = g dJL = oo forE e 2l such that E 1- ~.

fa, dJL = fag dJL = 00.
Observe that not only the statement f = g a.e. on X fails to hold but furthermore we have
f # g everywhere on X. 1
Prob. 8.8. Given a measure space (X, Ql, JL). Let f be a real-valued Ql-measurable function
on a set D e Q( with JL(D) e (0, oo) such that f(x) e [0, 1) for every x e D.
(a) Show that / 0 f dJL < JL(D).
(b) Show by counterexample that without the condition JL(D) < oo, the conclusion in (a)
is not valid.
Proof. 1. Let us prove (a). Since f < 1 on D, we have J0 f dJL ::::; J0 1 dJL = JL(D). To
show that f 0 f dJL < JL(D), let us assume the contrary, that is,
Then we have
L{ 1- t} dJL = L L, 1dJL- dJL = o.
Since 1- f ~ 0 on D, fo {1- f} dJL = 0 implies that 1- f = 0 a.e. on D according to
(b) of Lemma 8.2. Thus f = 1 a.e. on D. This contradicts the assumption that f < 1 on
D.
2. To prove (b), consider the measure space (~. 9J1L, ILL). Let f = ~ on~- Then
f < 1on~and
J..(. f dJLL = 11'(..: !2 dJLL = 00 = ILL(R),
thatis,wedonothave};! fdJLL < JLL(R). 1

Prob. 8.9. Given a measure space (X,!}(, J.L). Let f be a nonnegative extended real-valued
21:-measurable function on a set D e 21:. Let cl> be the collection of all nonnegative simple
functions q; on D such that 0 ~ q; ~ f on D and let 9 be the collection of all J.L-integrable
nonnegative simple functions fJ on D such that 0 ::; fJ ~ f on D. Recall that by our
definition of the f.'- integral of f, we have fn f dJL = sup10e,z, fn q; dJL. Note that since
e c cl>, we have sup,ea fn fJdJL ~ SUPrpe4> InqJdJL. Show that if Dis au-finite set with
respect to the measure 1-£, then supr}eE> In fJ dl-£ = sup10 e,z, In <pdl-£.
Proof. Observe that if ~J-(D) < oo then every simple function on D is ~-£-integrable so that
e = cl> and then sup.,e8 In fJ d11- = sup10e,z, In <pd~J- is trivially true.
Consider the general case that D is a a-finite set with respect to JL. If 9 = cl> then
sup.,ee In fJ dJL = sup10 e4> In qJ dl-£ is trivially true. Thus consider the case that e =f. cl>.
In this case there exists rpo e cl> such that rpo ~ e, that is, there exists rpo e cl> such that rpo
is not J.L-integrable on D, that is, In rpod~J- = oo. Thus in this case we have
sup f <pd~J- = oo.

10e4> Jn
Now since Dis a a-finite set there exists an increasing sequence (A.t; k e N) in 2( such
that lim A.t = U1err A.t
k_,.oo
=
D and J.L(A.t) < oo for every k e N. With our rpo e cl> with
fn rpo d~J- = 00, let us define
ii!c=rpo·lAj, forke N.
Then fJk is ~-£-integrable on D so that fJk E 9. Now fJk t rpo ask ~ oo so that by the
Monotone Convergence Theorem (Theorem 8.5), we have
and thus
and therefore
sup f fJ dJL = oo = sup f q;dJL. 1
r}esJn !OEfbJn
Prob. 8.10. Consider the Lebesgue measure space(~. !JRL, ILL).

(a) Construct nonnegative real-valued !JJLL -measurable functions (f,. : n e N) and f on~
such that (f,.: n EN) converges to f uniformly on~ but"~];,, fn diLL =F };? f diLL·
(b) Construct nonnegative real-valued 9JlL -measurable functions (f,. : n eN) and f on R
such that f,. ,!.. f as n-+ oo on R but ..~ fp; f, diLL =F fm: f diLL·
Proof. The following example serves both (a) and (b). Let f, = k on~ for n e N and
let f = 0 on ~. Then (f,. : n e N) converges to f uniformly on ~ and also f, ,!.. f as
n -+ oo on R. But we have };.:; fn diLL = oo for every n E N and J>': f diLL = 0 so that
,.~ J'P. fn diLL =ft J'P. f diLL· I
Prob. 8.11. Let (X, 2l, #L) be a measure space and let f be a nonnegative extended real-
valued 2l-measurable function on X that is finite ~A--a.e. on X. Define a sequence offunctions
on X, (f,: n eN), by setting
f"(x) = { of(x) if f(x) ::::: n,

if f(x) > n.
Show that lim { f,. d#L = { f d~J..

n-+oo Jx lx
Proof. As defined above, fn is a nonnegative real-valued function on X and since f is
~(-measurable on X, f, is ~l-measurable on X. Moreover (f,. : n e N) is an increasing
sequence of functions on X. Let E = {x E X : f(x) = oo}. Since f is finite ~A--a.e.
on X, we have ~A-(E) = 0. For x If E, f,.(x) t f(x) as n -+ oo. Thus fn t f,
~J.-a.e. on X. Then by the Monotone Convergence Theorem (Theorem 8.5), we have
lim { f,.diJ. = { f d~J.. I

n-+OO lx lx
Prob. 8.12. (a) Let {cn,i : n EN, i EN} be anarrayofnonnegativeextendedrealnumbers,

that is, Cn,i E [0, oo] for n E N and i E N. Show that
lim inf '"'- Cn i 2: '"'- lim inf Cn i.

n--.oo L..., ' ~ n--+oc '
ieH ieP
(b) Show that if (Cn,i : n E N) is an increasing sequence for each i E N then
lim '"'- Cn i = '"'- lim Cn i.

.L...i '
11--*00 L..J n~oc '
ief:l iEH
Proof. We prove (a) and (b) by interpreting the series of nonnegative extended real numbers
LiEl'.' Cn,ias the integral of a nonnegative step function on the Lebesgue measure space
( [0, oo), VR L, JLL) and then applying Fatou's Lemma for (a) and the Monotone Convergence
Theorem for (b). This is done as follows.
1. Letusprove(a). Consider the measure space (£0, oo), mrL, JLL). For each i EN, let
D; = [i -1, i). Then Di E 001L with JLL (Di) = 1 fori EN, and {D; : i EN} is a disjoint
collection in VRL with UieH D; = [0, oo). For each n E N, let us define a nonnegative
extended real-valued function fn on [0, oo) by setting
(1) fn(x) = Cn,i for x ED; fori EN.
Then (fn : n E N) is a sequence of nonnegative extended real-valued mL -measurable
functions on [0, oo) so that by Fatou's Lemma (Theorem 8.13) we have
(2) liminf { fn dJLL 2: { liminf fn dJLL·

n->oo J[O,oo) J[O,oo) n->oo
Now
(3) { fn dJLL = L {. fn dJLL = L Cn,i JLL (D;) = L Cn,i.

J[o,oo) iell Jn, ieH ieH
On the other hand, by (1) we have liminf fn = liminf en; on D; fori EN and then
n~oo n~oo •
(4)
Substituting (3) and (4) in (2), we complete the proof of (a).

2. To prove (b), let us assume that (cn,i : n E N) is an increasing sequence for
each i E N. Then with fn as defined by (1), Cfn : n E N) is an increasing sequence
of nonnegative extended real-valued VJ1L-measurable functions on [0, oo) so that by the
Monotone Convergence Theorem (Theorem 8.5) we have
(5)
Now
(6)
Substituting (3) and (6) in (5), we complete the proof of (b). 1

Prob. 8.13. Given a measure space (X, Ql, IL). Let f be a nonnegative extended real-valued
2!-measurable function on a set D e 2( with 11-(D) < oo. Let Dn = {x e D: f(x) ~ n}
forn E z+. ShowthatfvfdiL < ooifandonlyifLnez +/L(Dn) < 00.
Proof. 1. Observe that (Dn : n e Z +) is a decreasing sequence in 2t and Do = D. Let
En = Dn \ Dn+l for n E Z +. Then (E,. : n E Z +) is a disjoint sequence in Q( and
Une·";+ E, = Do= D. We also have
E, = {x E D : f(x) E [n, n + 1)} for n E Z +·
Now we have
(1)
and
(2) ~ n /L(En) ~ ~
ne '·+ nE ''·+ En
1f diL :5: ~ (n + 1)/L(E,.).
ne;,.+
Since /L(Dn) ~ 11-(D) < oo for every n e Z+, we have
/L(En) = /L(Dn \ D,+t) = /L(Dn)- /L(Dn+l) for every n e Z+

Substituting this in (2), we have from (1) and (2)
(3) ~
nE.;;. +
n {IL(DIJ) - /L(Dn+l)} ~ fv f d/L ~ ~ (n + 1) {IL(D,) -
nE=+
/L(Dn+t)} .
Forbrevity,letc, = /L(Dn) forn E Z + Then(3)becomes
(4) ~ n (en- Cn+l) ~

nE£+
fv f d11- ~ ~ (n + l)(c,.- Cn+d·
nELC +
Now
L n (en- Cn+t) = o(co- ct) + l(ct- c2) + 2(c2- C3) + . . .

ne!';+
= q + c2 + C3 + · · · = L Cn
llEH
and
L (n + l)(cn- Cn+l) = 1 (co - ct) + 2(ct - C2) + 3(C2 - c3) + ···

ne?:+
=co+ct+c2++· ··= L c,.

ne:::+
Substituting these in (4), we have
(5) ~Cn ::= Lfdp.::= ~ C 11 •

ner! liE~+
2. Now suppose L 11e ; + p.(D11 ) < oo, that is, Lne !: +c 11 < oo. Then In f dp. < oo by
(5).
3. Conversely if In f dp. < oo, then we have Lnetr c 11 < oo by (5), that is, we have
Lnel! p.(D11) < oo. Then since p.(Do) = p.(D) < oo, we have Lne?+ p.(D11 ) < oo. I
Prob. 8.14. Given a measure space (X, Qt, IL). Let f be a bounded nonnegative real-valued
'](-measurable function on a set D E >z(. Let D,. = {x E D : f(x) ~ n} for n E N. Show
that if In
f dp. < oo then Lnet! p.(D11) < oo.
Proof. Observe that (D11 : n e Z+) is a decreasing sequence ~(-measurable subsets of D.
Since f is a bounded nonnegative real-valued function on D, there exists N e N such that
f(x) E [0, N] for every x E D. This implies that
DN+l = {x E D : f(x) ~ N + 1} = 0.
Then since (D11 : n E Z +) is a decreasing sequence we have D11 = 0 for n ~ N + 1 and
then p.(D,.) = 0 for n > N. If fn f dp. < oo then we have
n p.(D11 ) ::: { f dp. ::: { f dp. < oo for every n E N.

Jnn Jn
Thus p.(D11 ) < oo for every n E N. Then we have
:~::>(D11 ) = ~=>(D11 ) < oo. I

IIEH 11=1
Prob. 8.15. Let (X, S1l, p.) be a measure space with p.(X) < oo. Let f be a nonnegative
extended real-valued S1l-measurable function on X that is finite p.-a.e. on X. Show that f
in p.-integrable on X if and only if
L 2np.{x EX: f(x) > 2n} < oo.

neZ+
(1) Dn = {x EX: f(x) E (2n,oo)} forn E Z +·
We have in particular
Do = {x EX : f(x) E (1, oo) }.
Since 2n t as n t, we have Dn -J, as n t and thus (Dn : n E Z +) is a decreasing sequence
in 2l. Let
Da = {x E X: f(x) E [0, 11},

(2)
{ D(J) = {x EX: f(x) = oo}.
Then we have
(3) X = Da U Do U D(J).
Now {x EX: f(x) > 2n} = Dn U D(J) for n E Z +. Since p.(DOJ) = 0, we have
p.{x EX: f(x) > 2n} = p.(Dn) + p.(D(J)) = p.(Dn)·
Thus our problem is reduced to that of proving
(4) Lfdp. < 00# ~ 2np.(Dn) < 00.

ne'"·+
To prove (4), let
(5) En=Dn\Dn+l={xeX:f(x)e(2n,2n+l]} fornE Z +
Then (En : n E Z +) is a disjoint sequence in S1l and Une::-. + En = Do so that
(6) X = Da U ( U En) U D(J).

ne:;··+
Since p.(X) < oo, we have p.(Dn) < oo for every n E Z + and this implies
(7)
2. Assume that Lnei+ 2n p,(Dn) < oo. Let us show that fx f dp, < oo. Now
= p,(Da) + 2 L 2np,(Dn) < 00.

ne/;+
3. Conversely let us assume fx f df-1- < oo. Let us show that LneL+ 2nf-t(Dn) < oo.
Now by (3) and (5), we have
(8) ~ 2nf-t(En) =5: ~

nEi'.·+
1
nEk.+ E,
fdf-1-= 1,U""'' +
E fdf-1- -.5:
n
Lfdf-1- < 00.
On the other hand by (7) we have
(9) L 2np,(En) = L 2n{p,(Dn)- p,(Dn+l)}

ne?:'· + ne:r.+
f-1-(Do) + ~ ~ 2n f-t(Dn) -.5: i f df-1- < 00,

and then
L 2" f-t(Dn) < 00.
neZ +

Prob. 8.16. Let (X,~(, p,) be an arbitrary measure space. Let f be a bounded nonnegative
real-valued ~-measurable function on X. Show that f is J.L-integrable on X if and only if
L 1
211
J.t{x EX: f(x)
1
> 211 } < oo.
neZ +
Proof. 1. Since f is a bounded nonnegative real-valued function on X, there exists M > 0

such that f(x) E [0, M] for every x EX. Let
Da = {x EX: f(x) = 0},

(1)
{ Dn = {x EX : f(x) E (f.,, M]} for n E Z +.
Then Da E ~and Dn E ~for n E Z+· Since f., .j.. as n t. we have Dn t as n t. Then

since f ~ 0 on X, we have
(2) X=DaU U Dn.

ne:Z+
Since f(x) E [0, M] for every x E X, we have {x E X : f(x) > f.,} = D,. for n E Z+
Thus we are to show that
(3) L f dJL < 00 ~~

nE·' -+
;n!L(D,.) < 00.
Let
Eo= Do= {x EX: f(x) E (1, M]},

(4)
{ En= D,. \ Dn-1 = {x EX: f(x) E (fn, 2~~t)} for n EN.
Then {En : n E Z +} is a disjoint collection in Q( and Une·"'+ E,. = Une: + Dn and thus
(5) X=DaU U En.

IIE>i+
2. Suppose LneZ + fnJL(D11 ) < oo. Then we have
1
=::: Mp,(Do) + 2L 211
p,(D11 ) < 00.
neH
3. Conversely assume that fx f d11- < oo. Since f = 0 on Da, we have
For each n e Z+, since f > in on Dn by (1), we have
and thus we have
(6)
Then since Dn :J Dn-1 and En = Dn \ Dn-l for n E N, we have
(7) JL(En) = JL(Dn) - JL(Dn-d for n E N.
On En we have f > in for n e Z+ by (4). Thus we have
Now
1 1
=1· JL(Eo) +L 2
,.JL(En) = JL(Do) +L 211
{J.L(Dn)- JL(Dn-1)}
neH neH
1 1 1
=JL(Do) + 2{JL(Dl) - J.L(Do)} + 22 {JL(~) - J.L(Dl)} + 23 {JL(DJ) - 11-(D2)} + ·· ·
1 1 1
=2JL(Do) + 22J.L(Dt) + 23JL(~) + ...
1 1
=2 L 2"JL(Dn).
neZ: +
Substituting this in (8), we have LneZ: + in JL(D 11 ) < oo. This completes the proof. 1
Prob. 8.17. Given a measure space (X, S](, p.). Let (/11 : n e 1'1) and f be extended real-
valued S1l-measurablefunctions on a set De S1l and assume that f is real-valueda.e. on D.
Suppose there exists a sequence of positive numbers (811 : n e N) such that
1 a LneH e,. < oo,
2° fv lfn- fiP dtJ- < 8n for every n eN for some fixed p e (0, oo).
Show that the sequence (f,.: n e 1'1) converges to f a.e. on D. (Note that no tJ--integrability
of!"' f, lf,.IP, and lfiP on Dis assumed.)
Proof. By 1o and 2°, we have
(1)
On the other hand by Proposition 8.7 we have
(2) L 11/n - fiP dtJ- = 1 L lfn- JIP dtJ-.

PJEH D DneF
(3) 1 L lfn - fiP df.A- < 00.

DneH
This implies according to Lemma 8.2 that Lnef'' lf,.(x)- f(x)IP < oo for a.e. x e D.
Now the convergence of a series implies the convergence of the terms to 0. Thus we have
(4) lim lfn(x) - f(x)IP = 0 for a.e. x E D.

PJ-+00
Let us observe that for a sequence (a,. : n e N) of nonnegative real numbers and for
p e (0, oo) we have
(5) lim a11

PJ-+00
= 0 # 11-+00
lim a: = 0.
Now (4) and (5) imply that lim lf,.(x) - f(x) I = 0, that is, lim f,.(x) = f(x) for a.e.
11-+00 11-+00
XED. I
(Proof of (5). Suppose lim a,.

n.--+-oo
= 0. To show nlim
..... oo
a: = O,let e > 0 be arbitrarily given.
Then 8 1/P > 0. Since lim a,. = 0, there exists N e N such that a,. < 1
8 /P for n ~ N.
Then a: < 8
PJ-+00
for n ~ N. This shows that lim a% = 0. Conversely suppose lim a: = 0.
n.....,.oo
To show lim a,. = 0, let 8 > 0 be arbitrarily given. Then gP > 0. Since lim
n.....,.oo
n~oo
n.....,.oo
a: = 0,
there exists N e N such that 0: < 8P for n ~ N. Then a,., 8 for n ~ N. This shows that
lim a,.= 0.)
11-+00
Prob. 8.18. Given a measure space (X,!}(, JL). Let Un : n E N) and f be extended real-
valued 2t-measurable functions on a set D E 2t and assume that f is real-valuedae. on D.
Suppose there exists a sequence of positive numbers (e11 : n EN) such that
1° lim 8 11 = 0,
11...... 00
2° JD lfn- fiP dl-f- < 8 for every n EN for some fixed p E (0, oo).
11
Show that the sequence (!11 : n E N) has a subsequence (fnk : k E N) which converges to
fa.e.onD.
Proof. Condition 1° implies that we can select a subsequence (e11k : k E N) such that
LteF ellk < oo. (For example, let n 1 E N be so large that Sn1 < ~. Then let nz > n 1 be so
large that 8 112 < ~. Then let n3 > nz be so large that 8 113 < ~ and so on. Then we have
ft
Lteu e,.k ~ LteH = 1. ) Then we have
3o LkEF 8 nk < 00•
Also from 2° we have
4° JDlfnk - fiP dl-f- < Ellk for every kE N for some fixed p E (0, oo).
Then by Prob. 8.17, the sequence Unk: kEN) converges to f ae. on D. I
Prob. 8.19. Given a measure space (X, 2t, 1-f-). Let (fn : n
E N) and f be extended real-
valued 2t-measurable functions on a set D E 2t and assume that f is real-valueda.e. on D.
Suppose lim
11...... 00
JD
lfn- fiP dl-f- = 0 for some fixed p E (0, oo). Show that the sequence
(!11 : n E N) converges to f on D in measure.
Proof. Let E > 0 be arbitrarily given. Then we have
ePJL{D: lfn- /1 ~ e} :=: 1ID:It~-/l~e}

lfn- JIP dJL
::: Llf,.- fiPdl-f-.
Then
and thus
lim JL{ D: lfn- /I ~ E} = 0.
11...... 00
This shows that the sequence (/11 : n E N) converges to f on D in measure. 1

Prob. 8.20. Let (X, Ql, 11-) be a measure space and let f be an extended real-valued Q(-
measurable function on X such that fx IJIP d~J- < oo for some p e (0, oo). Show that
lim J..PJL{X: lfl;::: A.}= 0.
J.~oc
Proof. Sincefx lfiPdJL < oo,wehavelfiP < ooandthenlfl < OOJ.L-ae. onX. Thenwe
haveJ.L(E(j)) = OwhereE(j) ={X: 1/1 = oo}. Porn eN, letE,. ={X: I!I e [n-1, n)}.
Then {E,. : n e N} is a disjoint collection in Q( and moreover X = ( UneH E,.) U Ew. Then
since J.L(E(JJ) = 0, we have
Since fx lfiP dJL < oo, the series of nonnegative real numbers on the right of the last
equality converges. The convergence implies
lim L
N-+00 n>N
f lfiP dJL =
JE,.
0, that is, lim
N-+00
jUn~N En
lfiP dJL = 0.
Now Un>N E,. = EN+l U EN+2 U · · · = {X: 1/1 E [N, oo) }. Thus we have
(1) lim { IJIP dJL = 0.

N-+oc J{X:lfle[N,oo)}
Now
(2) f lfiPdJ.L:::NP~L{X:Ifle[N,oo)}.
J{x:lfle[N,oc)}
(3) lim NPJL{X: 1/1 E [N,oo)} =0.

N-+oc
ForA.::: 1, letN eN be such thatN :SA.< N + 1. Then we have

(4) J..P JL{X : If I E [A., oo)} :S (N + 1)P J.L{ X : lfl E [N, oo)}
= (1 + !YNPJL{X: 1/1 e [N,oo)}.

If we let A.~ oo then N ~ oo and thus by the fact that lim (1 + lfNY = 1 and by (3)
N-+oo
we have
(5)
Since J.L{X : 1/1 = oo} = 0, we have J.L{ X: 1/1 :::A.} = J.L{X : I!I e [A., oo) }. Then (5)
is rewritten as
Alternate Proof for Prob. 8.20. Since fx lfiP dJL < oo, we have lfiP < oo and then
1/1 < oo JL-ae. on X. Then we have JL(D(J)) = 0 where D(J) = {X : 1/1 = oo}. For
n E N, let Dn = {X : 1/1 > n}. Then (Dn : n E N) is a decreasing sequence in Ql and
nnefl Dn = D(J).
Let us define a sequence (gn : n E N) of functions on X by setting
0 forx E Dn,
(1) Kn(X) = {
lf(x)l forx ED~= {x EX: lf(x)l::; n}.
Then Kn is nonnegative real-valued on X and Ql-measurability off on X implies that

Kn is Ql-measurable on X. For every x E X, (gn(x) : n E W) is an increasing se-
quence of nonnegative real numbers. Indeed for x E D~, we have (gn (x) : n E N) =
(0, · · · , 0,1 f(x) 1. lf(x) 1. · · ·) or (gn(x) : n E N) = (lf(x) 1. lf(x)l. · · ·) and for x E D(J),
we have (gn(x) : n E N) = (0, 0, · · · ). Thus we have Kn(x) t lf(x)l as n ~ oo for
x E D~, that is, we have Kn t 1/1 as n ~ oo, JL-a.e. on X and then g: t lfiP as n ~ oo,
JL-ae. on X. Then by the Monotone Convergence Theorem (Theorem 8.5), we have
(2)
This implies then
(3)
= L lfiP dJL- L lfiP dJL
=0.
From the definition of Kn by (1), we have
lfiP onDn.
lfiP -gP
n
={0
onD~.
Thus
Jx( {lfiP- g:} dJL = JDn

( lfiP dJL.
Substituting this in (3), we have
(4)
Now
Then by (4) we have

that is,
(5) lim nPJL{X:

11-+00
1/1 > n} = 0.
Then
1
(6) lim (n + 1)PJL{X: 1/1 > n} = lim (n + )PnPJL{X: 1!1 > n}
n-+00 n-.oo n
= lim
n-+oo
(1 + n~)PnPJL{X: 1/1 > n}
= lim
n-+oo
(1 + n~)P · lim nPJL{X: 1/1 > n}
n-+oo
= 1 . 0 = 0 by (5).
If 'A E (1, oo) then there exists n E N such that n < 'A ~ n + 1. For such n E N, we have
JL{X: 1/1 ::=:'A}~ JL{X: 1/1 > n} and)..P ~ (n + l)P and then
.VJL{X: 1/1;::: 'A}~ (n + 1)PJL{X: 1/1 > n}.

Then
lim AlJL{X:
J.-.oo
1/1;::: 'A}~ n-.oo
lim (n+ l)PJL{X: 1/1 > n} = 0,
by (6). This completes the proof. 1

Prob. 8.21. Let (X, m, J.L) be a a-finite measure space. Let f be an extended real-valued
2t-measurable function on X. Show that for every p e (0, oo) we have
Proof. 1. Consider first the particular case that f is a ~-£-integrable simple function on
(X,~(, J.L). Then we have
k
f = L:cthp
i~l
where {E; : i = 1, ... , k} is a disjoint collection in 2t and 0

< ct < · · · , q < oo. Now
off on X implies that J.L(E;) < oo fori = 1, . . . , k. For brevity, let us
~-£-integrability
write a; = JL(E;) fori= 1, ... , k.
For every A e R , since f is 2t-measurable we have {x e X : lf(x)l > A} e 2t and
thus J.L{X e X : lf(x) I > A} is defined. Let us define a nonnegative extended real-valued
function g on [0, oo) by
g(A) := JL{X E X : lf(x)l >A} for A E [0, oo).
Now the set{x e X : lf(x) I >A} .,!.. as 1.. t. Thus g is a decreasing function on [0, oo) and
this implies that g is 5.BI-t-measurable on [0, oo) and thus J[O,oo) pJ..P- 1g(l..) ILL(dl..) exists
in [0, oo], that is, we have
(1) { pl..p-lJL{X: lfl > A}J.L.L(dA) E [O,oo].

J[O,oo)
Note that the last integral on [0, oo) is equal to the integral of the same integrand on (0, oo)
since ILL ({0}) = 0. Expressing (0, oo) as a disjoint union
(0, oo) =(co, ctl U (ct, c2l U · · · U (Ck-1, Ck] U (Ck, oo)
where co := 0, we have
k
(2) { pJ..P-liL{X : Ifi>A}ILL(dA)=L ( pAp-liL{X:Ifi>I..}JLL(dA)
J(O,oo) i= 1 J(CJ-l ,CJ]
+ ( pAP- 1JL{X: 1/1 > 1..} ILL(dl..).

J(ct ,oo)
Now for A e (c;-t, ci] we have {X : 1/1 > A}= E; U · · · U Ek and then
k k
11-{X: 1/1 >A}= JL(E; U ·· · U Ek) = LJL(Ej) = Lai.
j =i j=i
Thus fori = 1, ... , k, we have
(3) tc;-t,c;/;..P-111-{X: 1/1 > )..} 11-L(d)..) = { tai} L:. p)..P-1 d)..
k.
= {Lai}{cf -cf_tJ.
j=i
On the other hand we have
(4) 1 (ct,OO)
p)..P- 1 ~-t{X:Ifi>A}J.tL(d'A)=l
(CJ;,OO)
p)..P- 1 ~-t(!lJ)J.tL(dJ..)=O.
Substituting (3) and (4) in the right side of (2), we have
{ p)..P- 1 ~-t{X: 1/1 >A} 11-L(dJ..)

lco,oo)
k k k
={Lai}{cf -c&J + { Lai }fcf- cf} + {Lai}{c: -en+···
j=1 i=2 j=3
k k
···+ { L ai }lef-t- cf-2} + { Lai }lcf- ef-t}

j=k-1 j=k
=atcf + a2q + · · · + a1c[ = cf ~-t(Et) + q~-t(E2) + · ·· + akcf~-t(Ek)
=LIJIPdJ.t.
2. Now consider the general case that f is an extended real-valued 21-measurable
function on X. Then 1!1 is a nonnegative extended real-valued '21-measurable function
on X . Since (X, Ql, J.t) is a a-finite measure space, according to Lemma 8.6 there exists
an increasing sequence (qJn : n e N) of ~-£-integrable nonnegative simple functions on
(X, 21, ~-t) such that qJn t I!I on X. By the Monotone Convergence Theorem (Theorem
8.5), we have
(5)
For every n e N, qJn is a ~-£-integrable simple function on (X, Ql, J.t) and thus by our result
in 1, we have
(6) r
Jx
qJ: d~-t = r
J[o,oo)
p;..P-111-{ X : qJn > ), } 11-L (d'A).
For each fixed ).. e [0, oo), since (qJn : n e N) is an increasing sequence of functions on X
the set {X: q:1n >'A} t as n t and then ~-t{X : q:1n > )..} t as n t. Moreover since qJn t 1/1
on X, we have according to Prob. 4.25,
lim
n-+oo
~-t{X : qJn > )..} = ~-t{X : 1/1 > 'A}.
Thus applying the Monotone Convergence Theorem (Theorem 8.5) to (6), we have
(7) lim r(/)~

n--+oo } X
djL = lim r
n--+oo J[O,oo)
p).P- 1JL{ X : (/Jn > A} ILL (d).)
= { p)..P-1JL{X: 1/1 >A.} JLL(dA.).

J[O,oo)
r 111p dJL = r
Jx J[O,oo)
p)..P- 1JL{ x : 111 >). 1ILL (dA.) . •
Prob. 8.22. Let (X, ~l, IL) be an arbitrary measure space and let f be a nonnegative extended
real-valued 2!-measurable function on X. Consider {t e [0, oo] : IL(f- 1 ({t})) > 0}, a
subset of the range of the function f. Show that iff is ~-£-integrable on X then the set is a
countable set
Proof. Assume that f is ~-£-integrable on X. Let us show the countability of the set
{t e [0, oo] : IL(f- 1 ({tl)) > 0 }. SinceO isjustonepointin [0, oo], to showthecountability
of the set it suffices to show that the set A:= {t e (0, oo] : IL(f- 1({t})) > 0} is countable.
Let us define a collection of subsets of (0, oo] by setting
(1) h = [1, oo] andl.t = [~, 6) fork~ 2.

Then {h : k e N} is a disjoint collection and UkeH h = (0, oo]. Let us define
At = An h fork e N.
Then since A C (0, oo] and UkeH h = (0, oo], { A.t : k e N} is a disjoint collection and
U.teil At = A. To show that A is a countable set, assume the contrary. Then there exists
k{) e N such that A.to is an uncountable set. Let us observe that
(2) t E A.to =An/~::::} t ~ ~ andl-£(f- 1({t})) > 0.
Let us define a collection of subsets of (0, oo] by setting
(3) lt = [1, oo] and lt = [l, t~l) for l ~ 2.
Then { lt : l E N} is a disjoint collection and Uten lt = (0, oo]. Let us define
(4) A.to,t = {t E A.to: IL(J-l({t})) E lt} forl E N.
Then { A.to,t : l e N} is a disjoint collection and UteH A.to.t = A.to. Since A.to is an
uncountable set, there exists lo eN such that A.to.to is an uncountable set. Let {t,.: n eN}
be a selection of distinct points in A.to.to· Now t,. e A.to,t c A.to and then by (2) we have
(5)
Also t,. e A~,t implies that 1-£(!-1 ({t,.})) e lto so that by (3) we have
(6)
Now {f-1 ({t11 }) : n e N} is a disjoint collection in Ql. Thus we have
f t dl-£ ~ f t dp. = L. f t dp.

fx June~! J- 1({tn}) neH Jf- ({r,})
1
= L. t,. p.(f-1 ({t,.l)) ~ L. ~ .el = oo.

IIEH neH O
This contradicts the p.-integrability off on X . Therefore A must be a countable set. 1

Prob. 8.23. Let (X, Ql, ~-£)be an arbitrary measure space and let f be a ~-£-integrable non-
negative extended real-valued Ql-measurable function on X. Let us define two nonnegative
extended real-valued functions g and h on [0, oo) by
g(t) = 11-{x E X : f(x) > t} fort E [0, oo),
h(t) = 11-{x EX : f(x) ~ t} fortE [0, oo).
Show that
(a) g :::: h on [0, oo).
(b) g and hare decreasing on [0, oo).
(c) g(t), h(t) < oo fort E (0, oo).
(d) lim g(t) = lim h(t) = 0.
t-+00 t-+00
(e) g(t) = h(t) for all but countably many t E [0, oo).
Proot 1. (a) and (b) are immediate from the definitions of g and h.
2. To prove (c), since g:::; hit suffices to show that h(t) < oo fortE (0, oo). Assume
the contrary. Then there exists to E (0, oo) such that h (to) = oo, that is,
t-t{x EX: f(x) ~to}= h(to) = oo.

Then since f is nonnegative on X we have
1 d~-t?::. j
X
f
{xEX:f(x)"=to}
f d~J- ~to 11-{x E X : f(x) ?::. to} = oo.
This contradicts the ~-£-integrability off on X. Thus we have h(t) < oo for IE (0, oo).
3. Toprove(d),letusshowthat lim h(t) = 0. Nowsincehisanonnegativedecreasing
t-+oo
function on [0, oo), lim h(t) exists and is nonnegative. Suppose lim h(t) =/:. 0. Then
t-+oo t-+oo
lim h(t) =
t-+00
e > 0. Then we have h(k) ~ e for every k E N. Then by the nonnegativity of
f on X we have for every k E N
1 ~fX
f dl-£
(xeX:f(x)"=k}
f dl-£ ~ k~-t{x EX: f(x) ~ k} = kh(k) ~ ke.
J
Since this holds for every k E N we have x f d1-t = oo. This contradicts the ~-£-integrability
of f on X. Therefore we must have lim h(t) = 0. Then since 0 :::; g(t) :::; h(t) for
t-+oo
t E [0, oo), we have lim g(t)
t-+oo
= 0.
4. Let us show that g(t) = h(t) for all except possibly countably many t E [0, oo).
Suppose g(to) =/:. h(to) for some to E [0, oo). Then since g(t) :::: h(t) for every t E [0, oo),
we have g(to) < h(to). Now we have from the definitions of g and h
g(to) = 11-{x EX: f(x) >to}= IL(f-1 ((to, oo]))

and
h(to) = IL{x EX: f(x):::: to}= IL(/- 1([to, oo]))

1
= IL(/- ({tol) U / - 1 ((to, ool))
= IL(/- 1({tol)) + IL(/-1 ((to, ool))
= IL(/- 1({tol)) + g(to).
Thus g(to) < h(to) implies IL(/- 1 ({to})) > 0. Now according to Prob. 8.22, the set
{t e [0, oo] : IL(f- 1 ({1})) > 0} is a countable set. Thus g(t) = h(t) for all except
possibly countably many t E [0, oo). 1
Prob. 8.24. Let (X, Ql, ~-t) be a measure space and let f be a ~-t-integrable nonnegative
extended real-valued 21-measurable function on X.
(a) Define a function g on [0, oo) by g(t) = ~-t{x EX: f(x) > t} fort E [0, oo). Prove
(1) { f d~-t = { g(t) ILL (dt) = { ~-t{x E X : f(x) > t} ILL (dt).
Jx J[O,oo) J[O,oo)
(b) Define a function h on [0, oo) by h(t) = ~-t{x EX : f(x) ~ t} fort E [0, oo). Prove
(2) { fd~-t= { h(t)IJ-L(dt)= { ~-t{xEX:f(x)~t}~-tc.(dt).

Jx J[O,oo) J[O,oo)
Proot 1. g is a nonnegative extended real-valued decreasing function on [0, oo) and is thus
I.Br,;-measurable. Since g is nonnegative, the integral J[o,oo) g(t) ILL (dt) exists.
To prove (1), let us consider first the case that f is a ~-t-integrable nonnegative simple
function on (X, 21, ~-t) given by
i=t
where {E; : i = 1, ... , k} is a disjoint collection in Ql and 0 < at < · · · < ak. Note that
the I-t-integrability off on X implies that ~-t(E;) < oo fori = 1, ... , k. Then we have
L~=1~-'(E;) fort E [0, at),

E~=2 ~-t(E;) fort E [at, az),
E~= 3 ~-t(E;) fort E [az, a3),
g(t) = ~-t{x EX : f(x) > t} =
L~=k-l~i-(E;) fort E [at-2. at-t).
~-t(Ek) fort E [ak-1. ak),
0 fort E [at, oo),
and
{ g(t) ILL(dt)
J[O,oo)
k k k
={ L ~-t(E;) }at+ { L ~-t(E;) }caz- at)+ { L ~-t(E;) }ca3- az)
i= 1 i=2 i= 3
k
+ · ·· + { L ~-t(E;) }cak-1 - ak-2) + ~-t(Ek)(ak- at-1)
i=k-1
=~-t(Et)at + ~-t(Ez)az + · · · + ~-t(E~;)ak = Lf d~-t.

This shows that (1) holds iff is a I-t-integrable simple function on (X, Q(, ~J-).
Let f be a p,-integrable nonnegative extended real-valued function on X. According

to Lemma 8.6 there exists an increasing sequence (fn : n e N) of nonnegative simple
functions on (X, ~l, IL) such that fn t f on X. I-t-integrability off on X implies that of
fn for every n e N. By our result above we have for every n e N
(3) ( fnd~-t= ( g(t)ILL(dt)= ( ~-t{xeX:fn(X)>t}ILL(dt).

Jx J[O,oo) J[O,oo)
By Theorem 8.5 (Monotone Convergence Theorem) we have
(4) lim { fn d~-t = { f dp,.

n-+oo}x Jx
With t e [0, oo) fixed, consider the sets:
Et,n = {x EX: fn(X) > t} forn EN,
E, = {x e X: f(x) > t }.
Since fn =::: f on X we have Et,n C E,. Since fn ton X, (Et,n : n E N) is an increasing

sequence of sets and thus n~ Et,n = UneH Et,n c E,. Let x e E, be arbitrarily chosen.
Since fn(x) t f(x) there exists no e N such that fn(x) > t. Then x e Et,no· Thus
if x E E, then x E Et,n for some n E N. Therefore E, C UneH Et,n· This shows that
Et = Unel' Et n = lim Et n· Therefore we have ~-t(E1 n) t ~-t(E,), that is,
. ' -00 ' '
p,{x EX: fn(x) > t} t ~-t{x EX: f(x) > t}.
Since this holds at every t e [0, oo), we have by Theorem 8.5 (Monotone Convergence
Theorem)
(5) lim ( ~-t{x E X : fn(X) > t} ILL (dt) = ( ~-t{x E X : f(x) > t} ILL (dt).
n--+oo J[O,oo) J[O,oo)
Letting n ~ oo in (3), we have by (4) and (5)
( fd~-t = ( ~-t{x EX: f(x) > t}ILL(dt).

Jx J[O,oo)
This proves (1).

2. To prove (2), note that according to (e) of Prob. 8.23, g = h except possibly at
countably many t E [0, oo). Then we have
( h(t) ILL (dt) = ( g(t) ILL (dt) = ( f d~-t.

h~ h~ h
This proves (2). 1
§9 Integration of Measurable Functions

Prob. 9.1. Let (X, m, p,) be a measure space and let E1. E 2 E 2C such that E 1 n E 2 = Ill.
Let f be an extended real-valued 2C-measurable function on E1 u Ez. Show that iff is
JL-integrable on E1 and on Ez then f is JL-integrable on E1 U Ez and moreover
Proof. f is p,-integrable if and only if both j+ and /- are JI,-integrable. To show that f
is p,-integrable on E1 U Ez, we show that both j+ and/- are JI,-integrable on E1 U Ez.
Since t+ is nonnegative, JEtUEz
t+ dp, exists and moreover by Proposition 8.11 we have
(1)
Similarly we have
(2)
Thus both j+ and /- are p,-integrable on E1 U Ez and therefore f is JI,-integrable on

E1 U Ez. Furthermore by (1) and (2) we have
(3) f t dp, = f t+ dJI, - f r dp,

1Et U/h. 1Et UE2 1Et UE2
= { { t+dJL+ { t+dJL}- { { f-dp,+ { f-dp,}
k ~ k ~
= { { t+ dJI,- { f- dJI,} +{ { t+ dJI,- { f- dp,}
k k ~ ~
= { f dJL + { f dJL. I
1E1 1Ez
Prob. 9.2. Let (X, Ql, 11-) be a measure space.

(a) Let {E,. : n e N} be a disjoint collection in Ql. Let f be an extended real-valued
'}(-measurable function defined on UneF E,.. Iff is IL-integrable on E,. for every n e N,
does fu~E'' E.. f d11- exist?
(b) Let (F,. : n e N) be an increasing sequence in Ql. Let f be an extended real-valued
2!-measurable function defined on UneH Fn. Suppose f is 11--integrable on F,. for every
n e Nand moreover lim fF. f d~J- exists in JR. Does Jiu . F. f d~J- exist?
n--+oo n m: h "
Proof. The integrals fu.e•'• En f d11- and fu.e••r F. f d11- may not exist.
Example 1. Consider the measure space (JR, 9J1L, ILL). Let E,. = [(n - 1)2Jr, n · 2Jr) for
n E N. Then {E,. : n E N} is a disjoint collection in 9J1L and Unel! E,. = [0, oo). Let
f(x) = sinx for x e [0, oo). For each n eN, we have
{ f
JE~
diLL= 1 [(n-1)2n,n·211')
sinx ILL(dx) = 0.
Thus f is ILL -integrable on each E,.. But we have fr.o.oo) J+ diLL = oo and fr.o.oo) f- diLL =
oo so that fr.o,oo) f diLL does not exist.
Let F,. = [0, n · 2n-) for n e N. Then (F,. : n e N) is an increasing sequence in VJtL
and U,.err F.,. = [0, oo). We have
lim
so that n---+oo JF.11 f d/L = 0 e JR. ButJiurtEJ··. F.n f diLL= ~) sinx ILL(dx) does not exist.
h[o ,vv
Example 2. In the measure space (JR, 'JJtL, ILL), let E,. = [n - 1, n) for n e N. Then
we have a disjoint collection {E.,. : n e N} in 9J1L and Unel•l E.,. = [0, oo). Let f be a
real-valued function on [0, oo) defined by
f(x) = (-1)" forx e E.,. andn eN.
For each n E N, we have
Thus f in ILL -integrable on En for every n e N. On the other hand, we have
and
~-diJ-L= 1d~J-L+ 1d~J-L+ ld~J-L+· .. =OO.
1 U~,. E,.
{
jEt
{
jE3
{
}Es
Thus fu.e 1 En f diLL = fr.o,oo) f diLL does not exist.
Let F., = [0, 2n) for n E N. Then (F., : n E N) is an increasing sequence in VRL and
Unef·l Fn = [O,oo). WehavefF
L';a
lim
fdJLL =Oforeveryn E Nand thus n--+oo f rn.. fdJLL =
0 E ~-However fu.en F. f diLL= J[O,oo) f diLL does not exist as we showed above.
Example 3. In the measure space (~. mL ' ILL)' let f be a real-valued function on ~ defined
by
-1 forx e (-oo,O)
f(x) =
{ 1 for x e [0, oo).
Let E1 = (-1, 1) and En= (-n, -n + 1] U [n- l,n) for n 2:::. 2. Then {En : n EN}
is a disjoint sequence in mtL and UneH E,. = ~- We have JE. f diLL = 0 and thus f is
ILL -integrable on En for every n E N. On the other hand we have
and
{ ~- dJLL = { }JLL(d:A:) = 00
)p, lc-oo,o)
so that fu~·· E. f diLL = fF: f diLL does not exist.
Let Fn = ( -n, n) for n EN. Then (F,. : n e N) is an increasing sequence in ~JlL and
Unen Fn =~- We have JF.n f diLL= Oforeveryn E Nand then lim { f diLL= 0 E
n~oo}~
~-
However fu.e:: F. f diLL = JR f diLL does not exist as we showed above. 1
Prob. 9.3. Let (X, Ql, ~-£)be a measure space and let f be a ~-£-integrable extended real-
valued Ql-measurable function on X.
(a) Let E = {x E X : f(x) '# 0}. Show that Eisa a-finite set
(b)Showthatforevery e > Othereexists A e Ql such that11-(A) < ooand fx\A 1/1 d11- <e.
Proof. 1. Note that
E = {x EX: f(x) '# 0} = {x EX: lf(x)l > 0}.

Forn eN, let
E,. = {x EX : lf(x)l ~ H-
Then E = UneH E,.. Now we have
n!.~ }En
r lfldiL~ lxr lfldp,<oo.
Thus p,(E,.) < oo for every n eN. this shows that Eisa a-finite set.
2. Since Eisa a-finite set, there exists a disjoint sequence (F,. : n E N) in Ql such that
Uneu F,. = E and p,(F,.) < oo for n e N. Then we have
L: 11JidiL = 1
nei'l Fn Une> Fn
lfld~t = 11Jid~t = 11Jid~t < oo.
E X
The convergence of the series LneH fFn Ill dp, to the sum fx Ill dp, < oo implies that for
every e > 0 there exists N e N such that
Let A = U!, 1 F,.. Then ~J-(A) = 1:!,1 p,(F,.) < oo and moreover
r111 dp,- r: JFnr

N
r
Jx\A
lfldp, = r
Jx
lfldp,- r
JA
lfldp, =
Jx n=l
lfldp, <E . •
Prob. 9.4. Let (X, Ql, ~-£) be a measure space and let f and g be extended real-valued
JE
2t-measurable and ~-£-integrable functions on X. Show that if f dl-£ = JE
gdJL for every
E E Qlthenf =ga.e.onX.
Proof. LetNt = {x EX: lf(x)l = oo} E 2tandN2 = {x EX: lg(x)l = oo} E 2t. Since
f and g are ~-£-integrable on X, we have JL(Nt) = 0 and JL(N2) = 0. Let N = Nt U N2.
Then we have ~J-(N) = 0. Let Xo = X \ N E 2t. On Xo both f and g are finite so that
g - f and f - g are defined and finite.
Let us show that f = g a.e. on Xo. Assume the contrary. Then we have
11-{x E Xo : f(x) =f. g(x)} > 0
and this implies that at least one of the two inequalities
(1) 11-{x E Xo: f(x) < g(x)} > 0

(2) 11-{x E Xo: f(x) > g(x)} > 0
must hold. Suppose (1) holds. Let
A= {x E Xo : f(x) < g(x)} = {x E Xo : g(x) - f(x) E (0, oo) }.
By (1) we have JL(A) > 0. Now
A= U A.t where A.t = {x E Xo: g(x)- f(x) E [k, oo)}.

keF
Since Ak t A, we have lim JL(A.t) = JL(A) > 0. This implies that there exists ko E N
k-+oo
such that JL(~) > 0. Then we have
(3)
Now ~-£-integrability off and g on X implies ~-£-integrability of f and g on ~. Thus we

have
(4)
By (3) and (4) we have
f~ gdJL- f~ fdJL > 0.

This contradicts the assumption that fE fdJL = fE gdJL for every E E Ql. Similarly (2)
leads to a contradiction. Therefore we must have f = g a.e. on Xo. Then since X = Xo UN
where Xo n N = 0 and JL(N) = 0, we have f = g a.e. on X. 1
Prob. 9.5. Let (X, Ill, /L) be a cr-finite measure space and let f and g be extended real-
valued Ill-measurable functions on X. Show that if f d~J- = JE JE
g d~J- for every E e 2l
then f = g a.e. on X.
(Note that with the cr-finiteness of (X, Ill, /L), the 11--integrability off and g is no longer
assumed.)
Proof. 1. Let us assume that
(1) Lfd~J- = Lgd~J- for every E E 2l.
Regarding the positivity and negativity of the functions f and g, let us decompose X into
2l-measurable subsets as follows:
x+ = {x EX: f(x) 2:: 0 and g(x) 2:: 0}
x- = {x EX: f(x) < 0 andg(x) < 0}
A= {x EX: f(x) 2::0 andg(x) < 0}
B = {x EX: f(x) < 0 andg(x):::: 0}.
Observe that {A, B, x+, x-} is a disjoint collection in 2l and X = x+ u x- u A u B.

Let us show that the assumption (1) implies that A and Bare null sets in the measure
space (X, 2l,~J-), that is, 11-(A) = 0 and 11-(B) = 0. Suppose 11-(A) > 0. Then since
A= U An where An = {x E X : f(x) 2:: 0 and g(x) < - k}

neH
and then
L /L(An) 2:: IL( U An) = /L(A) > 0,
neH
there exists no eN such that /L(Ano) > 0. Then we have
and thus we have

{ f d~J- i= { gd~J-.
fA"' '~
This contradicts the assumption (1). This proves that /L(A) = 0. That /L(B) = 0 is proved
by similar argument
2. By definition we say that f = g a.e. on a set E E 2( if there exists a null set N in the
measure space (X, 2l,~J-) contained in E such that f =gonE\ N.
Let us show that f = g a .e. on x+ u x-. It suffices to show that f = g a.e. on x+ and
f = g a.e. on x-. Then let us show that f = g a.e. on x+.
Since (X, 'll,~J-) is a cr-finitemeasure space, there exists a disjoint collection {X;i : n e
N} in 2( such that x+ = UneH x;; and /L(X;i) < 00 for n E N. Suppose the statement
that f = g a.e. on x+ is false. Then there exists no E N such that the statement that f = g
a.e. on X~ is false. Then at least one of the following two sets:
C= {x EX~ : f(x) < g(x)}
D = {x EX~ : f(x) > g(x)}
has a positive mu-measure. Suppose ~-t(C) > 0. Let us define

1
Ct,m = {x E X~ : ;;; < g(x)- f(x) and f(x) < l} for l, m E N.
Then we have
C= U Ct,m
t,meT:l
and this implies
L p,(Ct,m) ~ J.l,( U Ct,m) = p,(C) > 0.
t,meH l,meH
Thus there exist lo, mo EN such that ~-tCCto.m 0 ) > 0. Then we have
(2)
Now f(x) E [O,lo] forx E Cto,mo· Thus f is t.t-integrableonCto,mo and then the difference
fc4J,"'() g dp,- fc4J,"'() f dp, exists and consequently by Corollary 9.15 we have
(3)
f gdl-£- f f d~-t > 0 and thus f f dw:f. f gdp,.

Jc4J,"'' Jc4J,mo Jct0 ,,.0 Jct 0,,.0
This contradicts the assumption (1). Thus we must have f = g a.e. on x+. We show
similarly that f = g a.e. on x-. This completes the proof that f = g a.e. on x+ u x-.
3. To show that f = g a.e. on X, we show that there exists a null set N in the measure
space (X, m, p,) such that f = g on X\ N. We showed in 2 that f = g a.e. on x+ u x-.
Thus there exists a null set No in the measure space (X, 2l,1-£) contained in x+ U x- such
that f = g on (X+ U x-) \No. We showed in 1 that A and Bare null sets in the measure
space (X, m, p,). Let us define N = No U A U B. Then N is a null set in the measure space
(X, 2l, p,) and we have
X\ N =(X+ U x-U AU B)\ (No U AU B)= (X+ U x-) \No.
But we have f = g on (X+ U x-) \No. Thus we have f = g on X\ N. This completes

the proof that f = g a.e. on X. 1
Prob. 9.6. In Prob. 9.5, instead of the e1-finiteness of the measure space (X,!}(, p.) let us
assume the weaker condition that for every E e 2t with p.(E) > 0 there exists Eo e 2t
such that Eo c E and p.(Eo) E (0, oo).
Show that if JE fdp. = JE gdp. for every E e 2t then f = g a.e. on X.
Proof. The proof is the same as the proof of Prob. 9.5 except for part 2 where we showed
thatf = g a.e. onx+ applyingtheCT-finitenessofthemeasure space (X, 21, p.) . We modify
the proof of the statement that f = g a.e. on x+ as follows.
Suppose the statement that f = g a.e. on x+ is false. Then at least one of the following
two sets:
c = {x e x;:;, : f(x) < g(x)}
D = {x E x;:;, : f(x) > g(x)}

has a positive mu-measure. Suppose p.(C) > 0. By our assumption on (X,!}(, p.) there
exists Co E eua such that Co c C and p.(Co) E (0, oo). Let us define
1
Ct,m = {x e Co : ;;; < g(x) - f(x) and f(x) < t} fort, m E N.
Then we have
Co= U Ct,m
t,meH
and this implies
L p.(Ct,m) ~ 11-( U Ct,m) = p.(Co) > 0.
t,meN' t,meH
Thus there exist to. moeN such that p.(Cto,mo) > 0. Then we have
(1) f (g- f) dp. ~ _!_p.(Cto.mo) > 0.

lcl(),1fl() mo
Now f(x) E [0, tQ]forx E Cto,mo· Thus fis p.-integrableonCto,mo and then the difference
fclo ...o g dp.- fcl(),1fl() f dp. exists and consequently by Corollary 9.15 we have
(2)
{ gdp.- { fdp.>Oandthus { fdw;f; { gdp..

Jcl(),mo Jcto.mo Jcto.mo Jcl(),mo
This contradicts the assumption that JE f d p. = JE g d p. for every E E 2!. Thus we must
have f = g a.e. on x+. I
Prob. 9.7. Show that there exist a measure space (X, Ql, f.L) and extended real-valued Ql-
measurable functions f and g on X such that the assumption that JE fdf.L = JE gd(.L for
every E E Ql does not imply that f = g a.e. on X.
Proof. Let (X, 2t, f.L) be a measure space such that Ql = {0, X} and f.L(0) = 0 and
f.L(X) = oo. Let f and g be real-valued Q(-measurable functions on X defined by setting
f(x) = 1 for every x E X and g(x) = 2 for every x E X. Then we have
£tdf.L = 0 = lgd(.L and fxtdf.L = oo = Lgd(.L
so that we have fE f dp, =

fE g dp, for every E E Ql. Yet we have f(x) i= g(x) for every
x E X and certainly the statement that f = g a.e. on X is false. 1
Prob. 9.8. Let (X, Ql, p,) be a measure space. Show that if there exists an extended real-
valued Ql-measurable function f on X such that f > 0 p,-a.e. on X and f is p,-integrable on
X, then (X, 2t, p,) is a u-finitemeasure space. (In other words, if (X, 2t, p,) is notu-finite,
then there does not exist an extended real-valued 2t-measurable function f on X such that
f > 0 (.L-a.e. on X and f is p,-integrable on X.)
Proof. Suppose there exists an extended real-valued valued ~(-measurable function f on
X such that f > 0 p,-a.e. on X and f is p,-integrable on X. Let
Eo= {x EX: /(x) = 0},
Et = {x EX: f(x) E [1, oo]},
E~; = {x EX: f(x) E [k, k~ 1 )} fork 2=:: 2.
Then {Et : k E Z+} is a disjoint collection in Ql and Utez:+ Et = X. Now we have

p,(Eo) = 0 and fork 2=:: 1 we have
!~
k
r
JEk
1 dp, ~ r
lx
1 dJL < oo
and this implies thatJL(Et) < 00. Thus we have p,(Et) < 00 for every k E z+ This shows
that (X, Ql, p,) is au-finite measure space. 1
Prob. 9.9. Given a measure space (X, Ql, ~-£). Let f be an extended real-valued S1(-
measurable and ~-£-integrable function on X. Let (En : n e N) be a sequence in Ql such that
lim 1-£(En) = 0. Show that n....,..oo
n~oo
J,..
lim a.tn f dl-£ = 0.
Proof. Suppose f is ~-£-integrable function on X. Then according to Theorem 9.26, for

every e > 0 there exists 8 > 0 such that
IL f dl-£1 ~ L1/1 dl-£ for every E e 2l with 11-(E) < li.
If (En : n e N) be a sequence in 2( such that lim ~J-(En) = 0 then there exists N e N

n-..oo
such that IJ.(En) < li for n ~ N. Then we have
I /E,. f diLl < e for n ~ N.

This shows that lim fE f d~J- = 0 . I
n~oo 11
Prob. 9.10. Given a measure space (X, ~l, 1-£). Let f be an extended real-valued ~l
measurable and ~-£-integrable function on X. Let En = {x E X : lf(x) I :=:: n} for n E N.
Show that lim JL(En) = 0.
n~oo
Proof. Clearly (En : n e N) is a decreasing sequence in 2L Thus lim En exists in 2l and

n~oo
moreover we have
(1) lim En=

n~oo
n
nel \1
En= {x EX: lf(x)l = oo}.
We claim that
(2) !L( n
nefJ
En)= o
for otherwise we would have 1-£( n,.eH E,.) > 0 and then by the second equality in (1)
11fld!L::::
X
lll.Ec·l E.
lfldl-£ = oo ·1-£( nE,.)
nef!
= oo.
contradicting the ~-£-integrability off on X.

We claim also that
(3)
for otherwise we would have /L(Et) = oo and then
r 111 d!L :::: JEtr 111 d!L = 1 . /L(Et) = oo.

lx
contradicting the ~-£-integrability off on X.
Now (En : n e N) is a decreasing sequence in 2l contained in the set Et having
/L(Et) < oo. Thus by Theorem 1.26 and by (1) and (2) we have

Prob. 9.11. Given a measure space (X, Ql, f.L) and an extended real-valued Q(-measurable
function f on X. Suppose that for some increasing sequence (An : n e N) in Q( with
UnefJ An= X, we have lim fA 1/1 dp, < oo. Show that f is p,-integrable on X.
· n~oo •
Proof. Since An t X we have lA, t 1x and then lA~ · Ill t 1/1. Then by Theorem 8.5
(Monotone Convergence Theorem) we have
{ 1/1 d(.L = { lim lAn • 1/1 d(.L = lim { lA, • 1/1 dp, = lim { 1/1 dp, < 00.
} X j X n-+oo n-+oo j X n-+oo j A,
This shows that f is p,-integrable on X. 1
Prob. 9.12. Given a measure space (X, Ql, p,). Let (An : n e N) be an increasing sequence
in Q( with UneF An =X. Let f be an extended real-valued m-measurable function on X
such that fv f df.L exists. Show that lim
n-+oo
1
A,
f df.L = f f df.L.
}D
Proof. Let Ao = 0 and let B., = An \ An-t for n e N. Then (B., : n e N) is a disjoint
sequence in m and UneH Bn = Unefj An = X. Note that Uh: 1 Bk =An for every n E N.
Then we have

Prob. 9.13. Given a measure space (X, '1l, p,) and an extended real-valued Ql-measurable
function f on X. The existence of an increasing sequence (An : n e N) in 2l with
lim fA f dJL exists does not imply the existence of fx
Unefl An = X such that 11"""'*00 f dJL
n,
even when the limit is finite. Show this by constructing an example.
Proof. Consider the measure space (~. mL' p,L).

Let f(x) = sinx for x e ~ - Then};!{ j+ dp,L = oo and J•. f- dp,L = oo also so that
Jr;;, j+ dp,L - JR f- dp,L does not exist and thus fJt f dp,L does not exist.
Let An= [-mr, mr] for n EN. Then (An : n EN) is an increasing sequence in vnL
and UneT:T An = !ft. Now for every n E N we have
Thus we have lim

n-+oo 1fA, f dp,L = 0. 1
Prob. 9.14. Construct areal-valued continuous and p,L -integrable function f on [0, oo) for
which lim f (x) does not exist
X-+00
Proof. For each n E N define an interval In in 1ft by setting
1 1
In= [n- - ,n+ -].
n2" n2"
Let f be a real-valued function on [0, oo) defined by setting
0 for x E [0, oo) \ Unerr In,

n forx = n,
f(x) = . 1
{ linear forx E [n- 112n,n],
linear forx e [n, n + n ,in , J.
Then f is continuous on [0, oo) and lim f (x) does not exist. On the other hand we have
X-+00
This shows that f is p,L-integrable on [0, oo). 1

Prob. 9.15. Let f be an extended real-valued v.n L-measurable and ILL integrable function on
the interval [0, oo). Show that iff is uniformly continuous on [0, oo) then lim f (x) = 0.
X-+00
Proof. To show that lim f (x) = 0, we show that for every 8 > 0 there exists M > 0 such
X-+00
that lf(x)l < E for X~ A:~M.
Let E > 0 be arbitrarily given. Then by the uniform continuity off on [0, oo) there
exists 8 > 0 such that
E
(1) lf(x')- f(x")l < for any x', x" E [0, oo) such that lx'- x"l < 8.
2
Let us decompose [0, oo) into a sequence Un : n E N) of disjoint intervals of length 8 given
by In = [(n- 1)8, n8) for n E N. We have Unel'J In = [0, oo). Thus to show that there
exists M > 0 such that lf(x)l < s for x ~ M, it suffices to show that there exists N E N
such that lf(x)l < 8 for x ~ N8.
Now since [0, oo) = Uneil In. we have
(2)
Since f is ILL -integrable on [0, oo), the integral on the left side of (2) is finite and then
the series on the right side of (2) is convergent. 1bis implies that the terms in the series
converges to 0, that is,
(3)
Now (3) implies that there exists N E N such that
(4) { lfldiLL < ia forn ~ N.

Consider n ~ N. H lf(x)l ~ ~ for every x E In then we have f1~ 1/1 diLL ~ ~l(In) = ~8,
contradicting (3). Thus there exists~ E I,. such that If(~) I < ~- Then for every x E I,. we
have lx- ~I < 8 and thus by (1) we have lf(x) - f(~)l < !-Thus for every x E In when
n ~ Nwehave
E E
lf(x)l = lf(x)- f(~) +/(~)I S lf(x)- /(~)1 +If(~) I < 2 + 2 =E.
1bis shows that lf(x)l < s for x ~ NS. 1

Prob. 9.16. Construct extended real-valued VRL -measurable and ILL -integrable functions
(f,.: n eN) and f on a set De mL such that
lim fn = f a.e. on D,
n~oo
lim InfndJLL=fnfdJLL,
.......oo
but for some E c D, E e VRL, we have
lim IE fn dJLL i= IE f dJLL·
n~oo
Proot Let D = [-1, 1]. We define a sequence of real-valued functions(/,.: n eN) on D

as follows. For each n e N, decomposeD = [ -1, 1] as
[- 1, 1] = [ - 1,-1 + ~] u [- 1 + ~. 1- ~] u [1- ~. 1].

Then define fn on D by setting
0 forx e [ -1 + ln' 1-l]

n ,
-n forx = -1,
f,.(x) = n forx = 1,
linear for x e [- 1, -1 + ~],
linear forx e [1- k. 1].
We define f = 0 on D.
For fn and f defined above, we have lim fn (x) = 0 = f (x) for x e ( -1, 1) and thus
....... oo
lim f,. = f a.e. on D .

.......oo
We have In f,. dJLL = 0 for every n EN and fn f dJLL = 0. Thus we have
Let E = [0, 1]. Then we have IE f,. dJLL = ! ~n = ! and IE f dJLL = 0. Thus we have

§9 Integration of Measurable Functions '11}7
Prob. 9.17. Let (X,!](, ~-t) be a measure space and let Un : n E N), f and g be extended
real-valued !]{-measurable and ~-t-integrable functions on a set D E !](_ Suppose that
1° lim fn = f a.e. on D,
n~oc
2° lim In fnd~-t =In d~-t,

n~oc
3° Either fn ;:: g on D for all n E N or fn ~ g on D for all n E N.

Show that for every E CD such that E E !](we have lim IE fn d~-t =IE f dp,.
n~oc
(Note that as a particular case of condition 3°, we have the condition that either fn ;:: 0 on
D for all n E N or fn ~ 0 on D for all n E N.)
Proof. 1. Consider the case that fn ;:: g on D for all n E N. Then by 1° and by (a) of
Theorem 9.19 (Generalized Fatou's Lemma), we have
(1) 1 f dp, = lliminf fn d~-t ~ liminf1 fn d~J-.

E E n->oc n->oc E
Let us show that we also have
(2) lim sup

n->oo
1E fn dp, ~ { f
JE
d~-t.
To prove (2), assume the contrary, that is,
(3) 1fdp,<limsupf
E n->oo JE fnd~J-.
Now (1) holds for an arbitrary Ql-measurable subset E of D. Thus (1) holds forD\ E and
then we have
(4) fd~-t~liminf1 fnd~J-.

1 D\E n->oo D\E
Then we have by (3) and (4)
(5) 1
D
fd~-t=1fd~-t+1
E D\E
fdp,<limsup { fnd~-t+liminf1
n->oo jE n->oc D\E
fndJ-L .
For two sequences of real numbers (an : n E N) and (bn : n E N), we have
lim sup an = lim sup(an + bn - bn) :S lim sup(an + bn) +lim sup( -bn)
n->oo n~oo n->oo n~oo
= lim sup(an + bn) -lim inf bn

n~oo
n-+oo
and then
lim sup an +lim inf bn ~ lim sup(an + bn).
n->oc n->oo n->oc
Applying this inequality to the right side of (5), we have
1D
f d~-t <lim sup {
n->oo
1 E
fn dp, + 1
D\E
fndJ-L}
=lim sup { fndP, = { f d~-t by 2°.

n->oo lv lv
1his is a contradiction. 1his proves (2). Then by (1) and (2) we have
( f dtt::: liminf ( lndtt::: lim sup ( lndtt::: I dtt.

}E n--+oo }E n~oo }E }E
r
1his shows that
1his shows that lim JE In dtt exists and moreover we have n-+oo
n....,.oo
lim JE In dtt = JE I dtt.
2. The case that In :::on D for all n e N is proved similarly but by applying (b) of
Theorem 9.19. I
Prob. 9.18. Given a measure space (X, ~l. tt). Let Un: n eN) be an increasing sequence
of extended real-valued ~l-measurable functions on a set D E Q( and let f = lim In·
n--+00
Suppose
1o fn ll1l dtt < oo, that is, l1 is tt-integrable on D.
2° SUPneH fn In dtt < 00 •
Show that lim fnlndtt = fn I dtt and fn 1/1 dtt < oo, that is, f is tt-integrable on
n--+oo
D.
Proot By 1°, ft is tt-integrable on D. Since (fn : n E N) is an increasing sequence,
we have fn :::: l1 on D for n e N. Thus by (a) of Theorem 9.17 (Generalized Monotone
Convergence Theorem), fn In dtt for n eN and fn I dtt all exist in iR and moreover
(1)
Then by (1) and 2° we have
(2) ( I dtt = lim [ In dtt::: sup [ lndtt < oo.

Jn n~oo Jn neH Jn
On the other hand, since I = lim

11--+00
In :::: ft and ft is tt-integrable on D, we have
(3) L1 LIt dtt :::: dtt > -00.
By (2) and (3), we have -oo < fn I dtt < oo, that is, I is tt-integrable on D. 1
Prob. 9.19. Given a measure space (X, Ql, JL). Let f be an extended real-valued Q(-
measurable function on a set D e 2t Assume that f is JL semi-integrable on D, that is,
fv f dJL exists in ift. Show that there exists a sequence of simple functions (qJn : n E N) on
D such that
1o lqJnl :::: 1/1 on D for every n e Nand lim qJn =
n-+oo
f a.e. on D,
2° lim fv qJn dJL = f D f dJL.
n-+oo
Proof. Let us write f = j+ - f-. The existence offD f d JL in ~ implies that at least one
of the two integrals fv j+ dfL and fv f- dfL is finite and moreover
(1) L fdJL = L j+dJL- L~-dJL.

Note that if fv j+ dfL < oo then j+ < oo a.e. on D and similarly if fv f- dJL < oo then
f- < oo a.e. on D. Thus at least one of the two functions j+ and /- is finite a.e. on D.
Now j+ and /- are nonnegative extended real-valued Ql-measurable functions on D.
Then by Lemma 8.6 there exist sequences of simple functions on D, (q.~~ : n E N) and
(q.~~: n eN), such that
(2)
(3)
Let (/Jn = ({J~ - ({J~ for n E N. Then (qJn : n E N) is a sequence of simple functions on D.
For every n e N, we have
We also have
lim (/Jn = lim (({J~- ({J~) = t+- f- = jae. on D,
n.....,.oo n.....,.oo
where the second equality is by the fact that lim qJ~ = t+ by (2), lim qJ~ = f- by (3)
n.....,.oo n...,..oo
and at least one of the two functions j+ and f- is finite a.e. on D. This proves 1o.
To prove 2°, let us substitute (2) and (3) in (1). Then we have
{ f dfL = { j+ dJL - { !- dJL = lim { qJ~ dfL - lim { (/)~ dfL

Jv Jv Jv n-+oo}v n-+oo}v
= lim { { 1 11
lim { (q.~' - q.~") dJL
n--..oo j D (/1" dJL - j {D (/1n dJLJ = n--..oo jD n n
= lim {
n-+00 lv qJn dJL.
Prob. 9.20. Given a measure space (X, Ql, p.). Let Un, n E N) and f be extended real-
valued 2t-measurable functions on a set D e 2t such that lim fn = f a.e. on D. Suppose
n--..oo
there exists a nonnegative extended real-valued 2t-measurable function g on D such that
1° Ifni :SgonDforeveryneN,
2° gP is JL-integrable on D for some p e (0, oo) .
Show that
(1) lfiP is JL-integrable on D.
(2) lim In lfniP dp. = fv lfiP dp..
n--..oo
(3) lim In If,.- fiP dp. = 0.
n--..oo
Proof. 1. According to Theorem 9.20 (Dominated Convergence Theorem), if ( VJn : n E N)
and rp are extended real-valued Ql-measurable functions on D e Ql such that lim lfJn = rp
n--..oo
a.e. on D and if there exists a nonnegative extended real-valued 2t-measurable and p.-
integrablefunction yonD such that IVJnl :S yonD for every n EN, then
(i) rp is p.-integrable on D.
lim In rp,. dJ.L = fv 'P df.L.
(ii) n--..oo
Consider the sequence (lfniP : n E N). Since lim f,. = f a.e. on D, we have
n--..oo
lim lfniP = lfiP a.e. on D . Since Ifni ::: g on D, we have lfniP ::: gP on D for every
11-+00
n E N. Then by (i) and (ii), identifying lf,.IP, lfiP and gP with qJn, rp andy respectively
we obtain
(1) lfiP is J,L-integrable on D.
(2) lim In lfnlp dp. = fv lfiP dp..
n-+oo
2. We showed above that lfiP is f,L-integrable on D. This implies that lfiP is finite
a.e. on D and then f is finite a.e. on D. Then fn- f is defined a.e. on D for each n eN.
Thus there exists a null set Do in the measure space (X, 2t, p.) contained in D such that the
sequence (1/n- fiP : n E N) is defined on D \Do. Now we have
lim lfn- fiP

n-+oo
= In-+oo
lim f,.- !IP = If- fl = 0 a.e. on D.
We also have
lin- fiP::: (If,.+ lfiY::: (g + g)P::: 2PgP.
Observe that since gP is f,L-integrable, 2P gP is f,L-integrable. Then by (ii), identifying
Ifn - fiP and 2P gP with VJn and y respectively, we have
lim { lfn- fiP dp. = { lim lfn- fiP dJL = { Odp. = 0.

n-+oo j D j D n-+oo jD
This proves (3). 1
Prob. 9.21. Assume the hypothesis in Theorem 9.20 (Lebesgue Dominated Convergence
Theorem). Theng+ In~ Oandg- In ~ 0 onD foreveryn EN so that (g+ In: n EN)
and (g-In : n e N) are two sequences of nonnegative extended real-valued \](-measurable
functions on D and lim {g +In}= g +I and lim {g-In}= g- I 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.
Proof. Applying Theorem 8.13 to the sequence of nonnegative extended real-valued 2C-
measurable functions (g + In : n e N), we have
{ {g+f}d~o£:Sliminf { {g+ln}d~o£= { gd~o£+liminf {Indio£,

1n n~oc 1n 1n 11- 00 1n
and then subtracting JD g d 1-£ from both sides we have
(1)
1n{ I d~o£ :S liminf { Indio£.
n->oc 1n
Similarly applying Theorem 8.13 to the sequence of nonnegative extended real-valued !](-
measurable functions (g-In : n e N), we have
{ {g-f}d~o£:Sliminf { {g-f,.}d~o£= { gd~o£+1iminf{- { fnd~L}

1n n->oc 1n 1n n--+oo 1n
= { gd~o£-limsup { fndl-£,
1n n-oc 1n
and then subtracting JD g d IL from both sides and multiplying by -1 we have
(2) f ld~L~limsup f Indio£ .
1n n--+oo 1n
(3) lim sup ( fn dl-£ :S ( f dl-£ :S liminf ( fn dl-£.

n~oc 1n 1n n-oc 1n
The inequality lim sup JD In d IL ~ lim inf JD In d IL and (3) imply that
n.....,.oo n~oo
liminff f,.d~o£=limsupf fndl-£= ( fdl-£.

n--+oo 1D n--+oc 1D 1D
Thus we have
lim { fndl-£ = ( f dl-£. I
n--+oo 1n 1n
Prob. 9.22. (An Extension ofthe Dominated Convergence Theorem) Prove the following:
Given a measure space (X, 2t, p,). Let (fn : n e N) and f be extended real-valued 2t-
measurable functions on a set D E 2l and let (g11 : n E N) and g be nonnegative extended
real-valued 2t-measurable functions on D . Suppose
1° lim fn = f and lim Kn = g a.e. on D,
n-+oo n.....,.oo
2° (g11 : n EN) andg are all p,-integrableon D and lim f 0 gndP, = fo gdp,,
n-+oo
3° Ifni ~ Kn on D for every n E N.
Then f is p,-integrable on D and lim J0 fn d /L = J0 f d p,.
n-+oo
Proof. Let us prove the p,-integrability off on D. We have
{ lfl dp, = { I lim fnl dp, = { lim 1/nldp, by 1°

lo lo n-+OO Jon-+OO
~ liminf 11/nl dp,
n-+oo D
by Theorem 8.13 (Fatou)
~ liminf { Kn dp,
n-+oo Jo
by 3°
=lim { g 11 dP,= { gdp,<OO by2°.

n-+oo)o Jo
This proves the p,-integrability off on D.
Now 3° and 1o imply that (gn + fn : n E N) and (gn - fn : n E N) are sequences of
nonnegative extended real-valued 2(-measurable functions on D and lim {g11 + [ 11 } = g +f
n-+oo
and lim {g11 - fn} = g - f. Thus by Theorem 8.13 (Paton's Lemma) we have
11->00
(1) { {g + f} dp, ~ lim inf { {gn + fn} dp, = { g dp, +lim inf { fn dp, ,
Jo n-+oo Jo Jo n-+oo Jo
and
(2) 1D
{g - f}dp, ~ liminf
11->oo
1 D
{g11 - f 11 }dp, = 1
D
g dp, + liminf
11->oo
{ -1
D
! 11 dp,}
= 1 D
gdp, -limsup1 fndJL.
n-+oo D
Now (1) implies
(3) { f dp, ~ liminf { !11 dp,,

lv 1l-+oo lo
and (2) implies
(4)
Then (3) and (4) imply that
liminf { fndp,=limsup { fndP,= { fdp,

n-+oo Jo n->oo Jo Jo
and consequently lim fo fn dp, exists and lim fo !11 dp, = fo f dp,. I
11-+00 n-+oo
Prob. 9.23. Given a measure space (X, S](, p.). Let (fn : n E 1'1) and f be extended real-
valued S1l-measurable functions on a set D e S1l. Suppose
n-+oo
2° <fn : n e 1'1) and fare all p.-integrable on D.
(a)Showthatif lim Inlfnldp.=Inlfldp.,then lim InfndP.=Infdp..
n......,oo n...... oo
(b) Show that the converse of (a) is false by constructing a counterexample.
Proof. 1. We prove (a) by applying Prob. 9.22 (Extension of Dominated Convergence

Theorem). Assume that we have lim In Ifni dp. =In If I dp..
n-+oo
Let g11 = Ifni for n e N and let g = lfl. Since lim f 11 = f a.e. on D implies
11-+00
lim lf11 1 = If I a.e. on D, we have lim g11 = g a.e. on D. Also (g11 : n eN) andg are all
11-+00 11-+00
p.-integrableon D and lim In g11 dp. =In g dp.. Thus conditions 1° and2° inProb. 9.22
11-+00
are satisfied.
Next consider the sequences (f;i : n e 1'1) and <fn- : n e N). We have lim fn+ = f+
n-+oo
and lim fn- = f= a.e. on D. We also have f 11+ ::5: Ifni= g11 and f 11- ::5: lf11l = gn on D
11-+00
for every n E N. Thus conditions 1° and 3° in Prob. 9.22 are satisfied. Therefore by the
conclusion ofProb. 9.22 we have
lim { f;i dp. = { f+ dp. and lim { fndp. = { f- dp..

n-+oo 1D 1D n-+oo 1D 1D
Then we have
This proves (a).

2. Let us construct an example to show that the converse of (a) is false.
Consider the measure space (1ft, mL, p.L). Let f = 0 on 1ft and let <fn : n e N) be a
sequence of real-valued VJlL -measurable functions on 1ft defined by setting
nsinnx forx E [ - !~ !~]
~11 (x) = 11 2 • 11 2 •
{ 0 forx E [ - !~ !~]c
112' n 2 •
We have~~~ fn(x) = 0 = f(x) for every x E R. We have fr-:,_ f11 dp.L = 0 = I r:.: f dp.L
for every n e N. Thus we have "~ J;,. f11 dp.L = j 12 f dp.L.
On the other hand we have I r<. If Idp.L = 0 and for every n E N we have
{ lfnldp.L =2 { nsinnxdx=2n[cosnx]~ ,.. =2.

jy, 1[o.H] n a
Thus we have n--+-oof,

lim .::. Ifni dp.L = 2 # 0 = Jhr1 , If Idp.L.
3. Here is another example to show that the converse of (a) is false.
Consider the measure space (1Ft, VJtL, p.L). Let f = 0 on 1Ft and let (f., : n E N) be a
sequence of real-valued v.nL -measurable functions on IR defined by setting
k forx E [O,n),
1
f,.(x)= -;; forxE(-n,O),
{
0 forx E (-n,n)c.
lim fn(x) = 0 = f(x) for every x E IR. Wehavef-~ fn dJLL = 0 =

We have -00 f"· f dp.L
~
for every n EN. Thus we have ~

11 L fndJLL = J:'K fdJLL·
On the other hand we have J:,, Ifni dp.L = 2 for every n E N and then we have
"~};;. lfnldp.L = 2 # 0 = };'>\ f,.dp.L. I
Prob. 9.24. Given a measure space (X, S1l, p.). Let (fn : n e 1'1) and f be extended real-
valued S1l-measurable functions on a set D e S1l. Suppose
n-+oo
2° <fn : n e 1'1) and fare all p.-integrable on D.
3° lim fn Ifni dp. = fn If IdJ.L.
n-+oo
(a) ShowthatforeveryS1l-measurablesubsetE of D, we have lim
n-700
fE Ifni dp. = fE If I dp.
and lim
n-+oo
JE
fn dJ.L = JEf dJ.L.
(b) Show by constructing a counterexample that if condition 3° is replaced by the condition
that lim fn fndP. = fn f dp., then (a) does not hold.
n-700
Proof. 1. We prove (a) by applying Prob. 9.22 (Extension of Dominated Convergence

Theorem). Assume 1°,2° and 3°.
Let 8n = Ifni for n E N and let g =
lfl. Since lim fn = f a.e. on D implies
n-700
lim Ifni = If I a.e. on D, we have lim 8n = g a.e. on D. Also (gn: n EN) andg are all
n----+oo n~oo
IL-integrable on D and lim JD g,. d!L = JD g d!L. Thus conditions 1o and 2° in Prob. 9.22
n-+oo
are satisfied.
Let E c D and E e S1l. For any extended real-valued m-measurable function h on D
let us define an extended real-valued Ql-measurable function h on D by setting
- { lh(x)l for x e E,
h(x) =
0 forx e D\E.
Consider (fn : n e N) and lim fn = 1 a.e. on D. We also

J. Condition 1° implies that n-+oo
have lfn I :::; If,. I = g,. for n e N. Thus the sequence (fn : n e 1'1) and 1 satisfy conditions
1o and 3° ofProb. 9.22. Thus by the conclusion ofProb. 9.22 we have
(1) lim [ fndJ.L = [

n-+oo Jn Jn
1dp..
Now we have
and similarly
L1 = L dp. If Idp..
Substituting the last two equalities in (1) we obtain
(2) lim { Ifni d!L = { If Id!L.

n-7oo)E )E
Then according to (a) of Prob. 9.23, (2) implies
(3) lim { fn dJ.L = { f dJ.L.

n-7oo)E )E
1his completes the proof of (a).

2. Let us show that if condition 3° is replaced by the condition that lim fv In dp, =
11--..oo
fv f dp,, then (a) does not hold.
Consider the measure space( ~ . !J.rtL, p,L). Let f = 0 on IR and let (fn : n E N) be a
sequence of real-valued !JJ1L -measurable functions on IR defined by setting
k forx E [O,n),
fn(x) = - k forx E (-n,O),
{ 0 forxE(-n,n)c.
We have ~ /11(x) = 0 = f(x) for every x E JR. We have f 2 Ira dJLL = 0 = / 12 f dp,L
11
for every n E N. Thus we have"~ J, fndJLL = };!!;, f dJLL.
However we have fro.oo) Ifni dp,L = 1 for every n E Nand fro.oo) Ill dp,L = 0. Thus
we have 11~ J;o,oo) Ifni dJLL = 1 =/= 0 = fr.o.oo) If Idp,L = 0. I
Prob. 9.25. Let us replace condition 3° in Prob. 9.24 with

4° lim fv In dJL = fv f dJL.
11-+00
5° There exists a 11--integrable extended real-valued 2t-measurable function g on D such
thatfn:::: g (or fn ::=::g) on D forn EN.
Show that for every 2(-measurable subset E of D, we have lim JE fn dJL = JE f dJL.
n-+oo
Proof. 1. Consider the case that fn :::: g on D for n E N. Consider Un - g : n E N), a

sequence of nonnegative extended real-valued 2t-measurable functions on D.
By condition 1° of Prob. 9.24, we have lim (/11 - g) = f - g a.e. on D.
n-+oo
Since (/11 : n E N), f and g are allJL-integrable on D, (/11 - g : n E N) and f - g are
allJL-integrable on D.
Condition 4° implies that lim fv<fn - g) dJL = fv(f -g) dJL. Then since fn - g
n-+oo
and f - g are nonnegative, we have lim fv Ifn - gl dJL = fv If - gl dJL.
n--.oo
Thus we have shown that (/n - g : n E N) and f - g satisfy conditions 1o, 2° and 3°
ofProb. 9.24. Thus by (a) of Prob. 9.24, for every E E 2( such that E c D, we have
(1) lim { lfn- gldJL = { If- gldJL,

n--.oo }E JE
and then by the nonnegativity of fn - g and f - g we have
(2)
Then adding JE g dJL to both sides of (2), we have

(3) lim { fndiL = { f dJL.
IJ--.oo )E )E
2. The case that fn ::=:: g on D for n E N is treated similarly by considering (g - fn :
n E N) and g -f. I
Prob. 9.26. Given a measure space (X,!](, ~J-). Let Un : n E N) and f be p,-integrable
extended real-valued 21-measurable functions on a set D e 21.
(a) Show that if lim fv lin- /I dJL = 0, then
n-4>00
(1) (fn : n E N) converges to fonD in measure,
(2) lim fvlfnld~-t=fnlfldp,.
n-4>00
(b) Show that if
1° lim fn = f ae. on D,
n__..oo
2° Ifni d~-t = fv 1/1 dp,,
lim fv
n-4>00
then lim fv lin -/I dp, = 0.
n~oo
(c) Show by constructing a counterexample that iff is only p, semi-integrable on D , then

(b) does not hold.
Proof. 1. Let us prove (a). Thus assume that we have
(0) lim { lfn-

n--?oo Jn fld~-t = 0.
Let us prove (1). For an arbitrary e > 0, let us define
An= {xeD : 1/n(x)- f(x)l ~ e} forn e N.
We have
(3) L lfn - /I dp, ~ L,. lfn - /I dp, ~ B~-t(An).

Then (0) and (3) imply that for every fJ > 0 there exists N E N such that
B~-t(An) ::S L lfn -/I d~-t < '7 for n ~ N.

This shows that lim BJL(An) = 0 and then lim JL(An) = 0. This proves (1).
11~00 11~00
Let us prove (2). Observe that we have
and then
ILlfnldp,- L1/ld~-tl =I L{1/nl-1/l}dp,l ::S Lll/nl-1/lld~-t

::S L lfn- fld~-t.
Then (0) implies that

lim I { Ifni d~-t- { 1/1 d~-tl = 0,
n~oo Jv Jn
which is equivalent to
lim { { Ifni dtt- { 1/1 dtt}

n~oc Jn Jn = 0, that is, lim { Ifni dtt
n~oc Jn
= Jn
{ 1/1 dtt.
This proves (2).
2. Let us prove (b). Assume 1° and 2°. Consider the sequence (If,.- /1 : n EN)
and the identically vanishing function 0 on D. Let us define a sequence (gn : n E N) of
functions and a function g on D by setting
gn = Ifni + 1/1 fornE N,

g = 1/1 + 1/1 = 21/1.
Let us verify that (1/n- /1 : n E N), 0, (gn: n EN), and g satisfy conditions 1°, 2°, and
3° ofProb. 9.22.
Now 1° of (b) implies that lim 1/n- fl = 0 ae. on D.
n-->oc
Since (/n : n E N) and f are all tt-integrable on D, (gn : n E N) and g are all
tt-integrable on D. Condition2° of (b) implies that lim fn gndtt = fn gdJL.
n-+oo
For every n EN, we have If,.- /1 ::S Ifni+ 1/1 = g,. on D.
This verifies that (I fn- f I : n E N), 0, (gn : n E N), and g satisfy conditions 1°, 2°, and
3° of Prob. 9.22. Thus by the conclusion ofProb. 9.22 we have lim fn lin -/I dtt = 0.
11-->00
This completes the proof of (b).
3. Let us construct an example to show that iff is only JL semi-integrable on D then
(b) does not hold.
Consider the measure space (IF., mL, ttL). Let D = [0, oo). Let f be a function on D
defined by setting f(x) = x for x E [0, oo). Let (/11 : n E N) be a sequence of functions
on D defined by setting
x forxE[O,n),
f,.(x) =
{ 0 for x E [n, oo).
Then fn is JLL-integrableon [0, oo) withJ[O,oo) fn dJLL = !n

2. On the other hand, we have
fr.o.oo) f dttL = oo and thus f is JLL semi-integrable but not JLL -integrable on [0, oo).
We have lim f,. = f on [0, oo) and
n-->oo
lim { Ifni dttL = lim !n2 = oo = { 1/1 dttL.

-ock~ -oc2 k~
This shows that conditions 1o and 2° in (b) are satisfied. But we have
{ lfn-fldJLL= { XdJLL=OO
J[O,oo) J[n,oo)
for every n E N and then
lim { lfn- fldJLL = 00 =f. 0.

n-->oc J[O,oo)

Prob. 9.27. (Dominated Convergence and Convergence in Measure) Given a measure space
(X, 2!, JL). Let (fn : n EN) and fbeextendedreal-valued2!-measurablefunctionsonaset
D E ~(and assume that f is real-valued a.e. on D. According to Theorem 6.22 (Lebesgue),
if (fn : n e N) converges to f a.e. on D and if JL(D) < oo, then Cfn : n e N) converges to
fonD in measure. Now consider the case JL(D) e [0, oo]:
Let (fn : n E N) and f be extended real-valued 2!-measurable functions on a set D E 2(
and assume that f is real-valued a.e. on D. Suppose
1° (fn : n E N) converges to f a.e. on D.
2° There exists a JL-integrable nonnegative extended real-valued 'Zl-measurable function
g on D such that 1J, 1 ~ g on D for every n e N.
Show that Cfn : n e N) converges to f on D in measure.
Proof. According to Theorem 9.20 (Dominated Convergence Theorem), conditions 1o and

2° imply that
(1) lim { lfn- fldJL = 0.

n~ooJn
Let us show that (1) implies that C/n : n e N) converges to fonD in measure. Let e > 0
and let
An= {xED: 1/n(x)- f(x)l2:: e} forn E N.
We have
(2) L lfn - /I dJL 2:: /..... lfn - /I dJL 2:: EJL(An).
By (1), for every 71 > 0 there exists N e N such that
(3) L lfn- fldJL < '1 forn 2:: N.
Then by (2) and (3), for every 71 > 0 there exists N e N such that
EJL(An) ~ Llfn -!I dJL < '1 for n 2:: N.
This shows that lim EJL(An) = 0, which implies that lim JL(An) = 0. This proves that
ft~OO 11...,..00
Cfn : n E N) converges to f on D in measure. 1
Prob. 9.28. Given a measure space (X, Ql, ~J-). Prove the following statements (a) and (b);
(a) There exists a 11--integrable extended real-valued 2t-measurable function f on X with
condition ~J-{x EX: f(x) = 0} = 0 if and only if (X, Q(, IJ-) is au-finite measure space.
(b) Iff is a 11--integrable extended real-valued 2t-measurable function on X, then the set
{x E X : f(x) i= 0} is au-finite set, that is, the union of countably many members of 2!,
each with a finite measure.
Proof. 1. Let us prove (a). Suppose there exists a 11--integrable extended real-valued
'}(-measurable function f on X with condition IJ-{X E X : f(x) = 0} = 0. Let us define
Eo= {x EX: lf(x)l = 0}.

Ek = {x E X : lf(x)l E (k!l, f]} fork E N.
Eoo = {x E X : lf(x)l E (1, oo ]}.

Then {Eo, Ek, kEN, E 00 } is a countable disjoint collection in 2t and moreover we have
X = Eo U ( U Ek) U Eoo.
keH
Th show that (X, 2t, 11-) is au-finite measure space, it remains to verify that ~J-(Eo) < oo,
~J-(Ek) < oo fork E N and ~J-(Eoo) < oo.
Now the condition IJ-{X E X : f(x) = 0} = 0 implies that ~J-(Eo) = 0. For any k E N,
we have
lxr 111 d11- ~ JE}

r 111 d11- ~ k+1
--~~-<Ek> 1
oo >
and this implies that ~J-(Ek) < oo. Finally we have
oo > { 1/1 d~J- ~ { 1/1 d~J- ~ 1 · ~J-(Eoo)

lx h,.,
and this implies that 1J-(E00) < oo. This completes the proof that (X, Q(, IJ-) is au-finite
measure space.
Conversely suppose (X, Ql, 11-) is au -finite measure space. Then there exists a countable
disjoint collection {An : n E N} in Q( such that Unell An
= X and 0 < ~J-(An) < oo for
n e N. Let us define a function f on X by setting
1 1
f(x) = , #L(An) for x E A11 •
2
Then f satisfies the condition 11-{x e X: /(x) = 0} = 0 and moreover we have
1tX
d11- = :E
neH
;,. +~~-<An>
#L( n)
= 1 < oo,
that is, f is 11--integrable on X. This shows the existence of a 11--integrable extended real-
valued Q(-measurable function f on X with condition ~J-{X E X : f(x) = 0} = 0.
2. Let us prove (b). Let f be a ~-£-integrable extended real-valued Ql-measurable function

on X. Foreachk eN, letE.t = {x eX: lf(x)l > il. Then we have
{x EX: f(x) # 0} = U E,~:.

kel!
Since f is ~-£-integrable on X, we have
This implies that IL(Ek) < oo. This shows that the set {x E X : f(x) '# 0} is the union of
countably many members of m, each with a finite measure. 1
Prob. 9.29. Given a measure space (X, ~l, ~J-). Let Un : n E N) be a sequence of extended
real-valued 2t-measurable functions on a set D E 2t. Let us investigate convergence of the
series LneF fn and the 11--integrability of the sum on D. Prove the following proposition:
Proposition. If
1° Lnel\1 fv lfnld!L < 00,
then
2° Lnel'' 1/PJI converges a.e. on D and hence LnelJ In converges a.e. on D,
3° LPJel'J fn is ~J--integrable on D and fv{LPJeW fn}d/L = LPJel·J fv JPJ d~J-.
J
Proof. 1. Observe first that condition 1° implies that 0 Ifn Id 11- < oo and thus fn is
11--integrable on D for every n E N. Condition 1° also implies
(1) OO> E11fnld!L=n~t11/kld!L=n~1

nef'l D k=l
tl/kld~J-.
k=l D D
Now ( E~=l E N) is an increasing sequence of nonnegative extended real-valued

Ifie I : n
~(-measurable functions on D. Then by Theorem 8.5 (Monotone Convergence Theorem)
we have
(2) PJ~ L~ 1/kl d/L = Ln~ ~ 1/kl d/L = L~Ifni d~J-.

(3) 1 Llfnld!L < 00.

0 nef,l
This shows that LneJJ IfnI is 11--integrable on D. This then implies that LneH IfnI < oo
a.e. on D. Then since absolute convergence of a series implies convergence of the series,
the series Lnen f,. converges a.e. on D. This completes the proof of 2°.
2. Let us prove the 11--integrability of Lnel! fn on D. Observe that Lneil f,. =
lim Lk=l /k. Let g,. = Lk=l /k for n E N. Then we have
n~oo
"
lim g,.
n~oo
lim "fk
= n~oc L..J = "fn
L..J ·
k=l nel:T
We have
II II
lgnl =I Lfkl :=; L

k=l k=l
1/kl :=; L Ifni·
IIE J'.i
According to (3), LneH Ifni is 11--integrable on D. Thus by Theorem 9.20 (Dominated

Convergence Theorem), lim g 11 is 11--integrable on D and moreover we have
n~oo
( lim g,.d~J- = lim ( g,.d~J-.

Jvn-..oo n-..oo}v
In other words, Lner:r fn is JL-integrable on D and moreover we have
This completes the proof of 3 o. 1

Prob. 9.30. With 0 < a < b, let Un : n E N) be a sequence of functions defined by setting
fn(x) = ae-nax- be-11hx for x E [0, oo).
(a) Show that ./io,oo) fn dp,L = 0 for every n E N so that LnEH { ./io,oo) fn dp,L} = 0.
(b) Compute Jio.oo) Ifni dp,L for every n E N.
(c) Show that LnEH ./io,oo) Ifni dp,L = oo.
(d) Compute LnEH fn·
(e) Show that Lnei! fn does not exist
(Note that property (c) negates assumption 1° of Prob. 9.29 and renders Prob. 9.29 not
applicable here.)
Proof. (a) Let us show that Jio,oo) fn dp,L = 0 for every n E N. Let us define
g,.(x) = ae-nax for x E [0, oo).

(1)
{ h,.(x) = be-J'1bx for x E [0, oo).
To show that g,. is p,L -integrable on [0, oo), let us define (gn)k fork E N by setting
gn(x) for x E [0, k],

(2) (g,.),t(x) =
{ 0 for x E (k, oo).
Then ((gn)k : k E N) is an increasing sequence of nonnegative real-valued 9J1L -measurable

functions such that lim (g11 )k = g11 on [0, oo). Thus by Theorem 8.5 (Monotone Conver-
k-+oo
gence Theorem) we have
(3)
Now we have
Substituting this in (3) we have

1 1
i [O,oo)
g,.dp,L = lim -{1-e-~~ak} = -.
k-+oo n n
Similarly we have fro,oo) Kn dp,L = ~· Thus both Kn and hn are tt-L-integrable on [0, oo).
This implies that fn = g,.- h,. is p,L -integrable on [0, oo) and moreover we have
(b) Let us evaluate fro,oo) Ifni dp,L for every n E N. We have fn = g,. -h,. as defined by
(1). Now g,. and hn are strictly decreasing continuous nonnegative real-valued functions on
[0, oo). We have g,.(O) =a < b = h,.(O). However h., descend faster than g., and thus the
graphs of g., and h., have one point of intersection. The x-coordinate of this point is found
by solving the equation g,.(x) = h,.(x) for x E [0, oo). Starting with ae-IIIU = be-nbx, we
have
b b 1
en(b-a)x -_ _ '• x = l n - · - - -
a a n(b- a)
Let us write
~.. =In~ · 1
a n(b-a)
Then we have
h 11 (x) ~ g,.(x) for x E [0, ~..],
{ h11(x) :::= g,.(x) for x E [~,., oo).
This implies then

h.,- g 11 on [0, ~11 ],
l/11l = {
gil- h., on [~11 , oo).
Then we have
For the first integral on the right side of (4), we have
(5)
To evaluate the second integral on the right side of (4), we define a sequence of functions
( (g11 - hn)k. : k E N) by setting
(g" - h,.)(x) for x E [t:,, t:, + k],

(g.,- hn)k.(X) = O .,, "'
{ for x E (~11 + k, oo).
Then ((gil - hn)k. : k E N) is an increasing sequence of nonnegative real-valued L- m

measurable functions on [~11 , oo) and lim (g11 - h,.)k. =g.,- h 11 • Thus by Theorem 8.5
k.-+oo
(Monotone Convergence Theorem) we have
Now
and then
and thus
(6)
Observe that (5) and (6) show that the two integrals on the right side of (4) are actually
equal. Now substituting (5) and (6) in (4), we have
(c) By (7) we have
(d) Let us compute E,u;:H fn. Now we have
Lfn(x) = L {ae-nax- be-nbx} forx e [0, oo).

neH nefJ
For x e [0, oo), LnetJ ae-nax is a geometric series with ratio e-= e (0, 1) and is thus a
convergent geometric series with sum
-nax ae-ax
L ae
nen
=
1 -e-ax
.
Similarly for LneH be-nh:x and thus we have

ae- ax be- bx
(8) "- f, (x) - - for x e [0, oo).
~" -1-e-ax 1-e-bx
neFI
(e) Let us show that fr.o,oo) {LneF fn} dt-tL does not exist. Let us write
{ L fn} = {LIn}+ - {LIn}-

neF neF neTJ
where {LneN fn} + and {LneN fn}- are the positive part and the negative part of{LneN fn}
as in Definition 9.1. By Observation 9.2, the integral fto.oo){LneN fn}diJ,L exists if and
only if at least one of the two integrals ho.oo){LneN fn}+ d~J,L and ho.oo){LneN fn}- d~J,L
is finite. Therefore to show that ho,oo) {LneN fn} diJ,L does not exist we show that
(9) r {L fn
J[O,oo) nEN
r diJ,L = 00 and r {L fn
J[O,oo) nEN
r diJ,L = 00.
Now by (8) we have
{L
neN
fn} + (x) = 1::~ax for x E [0, oo).
{ {L fn}- (x) = 1::~bx for x E [0, oo).

neN
Thus it remains to show
(10)
L ae-ax
---~J,L(dx)
[O,oo) 1 - e-ax
= oo and
L be-bx
[O,oo) 1 - e
-b IJ,L(dx) = oo.
x
Let us prove the former. Applying Theorem 8.5 (Monotone Convergence Theorem), we
have
Now
[ ln (1- e-ax) J: = ln (1- e-ax) -lnO = ln (1- e-ax) + 00
and
lim [In (1 - e-ax)]k = lim ln (1 - e-ax) + oo = oo.
k-+oo 0 k-+oo
This proves the first equality in (10). The second equality is proved by the same argument.
I
Prob. 9.31. Iff and g are two ,.,-integrable extended real-valued Ql-measurable functions
on set De 2t in a measure space (X, 2t, #J.), then the product fg may not be ~L-integrable,
and in fact it may not even be #L semi-integrable, on D. To show this, construct the following
examples.
(a) Construct a ~L-integrable function f such that / 2 is #L semi-integrable but not ,.,_
integrable.
(b) Construct two ~L-integrable functions f and g such that fg is not #L semi-integrable.
Proof. (a) Consider the measure space (IR, VJ1L, ILL). Let {I,. : n E N} be a disjoint
collection of intervals in IR with ILL (I,.) = ,!r
for n E N. Let D = Unerr I,. E mL and let
f be a function on D defined by setting
f(x) = n forx e I,. forn eN.
Then we have
This shows that f is ILL -integrable on D. On the other hand we have
1n
f 2 d#J.L =" ' 2ILL(/.,)= "'21
L..Jn
nEf'J
L..Jn 3 = " 1 =
L..-
net'J n neL' n
oo.
This shows that / 2 is ILL semi-integrable but not ILL-integrable on D.

(b) Consider the measure space (R, 9JtL, ILL). Let {I,., J,. : n e N} be a disjoint
collection of intervals in R with ILL(I,.) = ILL(J,.) =~for n eN. Let D = ( UneF I.,) U
( UneiJ J,.). Define functions f and g on D by setting
n for x E I,. for n E N,

/(x) =
{ n for x E I,. for n E N,
and
n forx e I,.forn e N,
g(x) =
{ - n for x E I,. for n EN.
Then we have
This shows that f is ILL-integrable on D.

According to Observation 9.2, g is ILL -integrable if and only if lgl is ILL -integrable. But
lei = f and f is ILL -integrable. Thus g is ILL -integrable.
Let us show that fg is not ILL semi-integrable on D, that is, In fg diLL does not exist
To show that In fgd#LL does not exist, we show that we have both In<fg)+ diLL = oo and
In<fg)- diLL = oo. Now we have
1
n
(/g)+ diLL= 1 Uael'·l In
lfgld#LL = En2#J.L(l,.) = En n1 = L .!_n = oo,
neH neF
2
3
nel'l
and
Prob. 9.32. Let f and g be two extended real-valued 2t-measurable functions on set D e 2t
in a measure space (X, 2t, tJ-). Show that iff is bounded on D and g is tJ--integrable on D
then fg is JL-integrable on D.
Proof. Iff is bounded on D then there exists M > 0 such that 1/1 ~ M on D. Then
lfgl ~ Mig I so that
L lfgldtJ- ~ L
MlgldJL = M L lgldJL < 00
since fo lgl dJL < oo. This proves the tJ--integrability of lfgl, which is equivalent to the
JL-integrability of fg. I
Prob. 9.33. Prove the following proposition:

Proposition. Givenameasurespace(X,2l,JL). LetD e 2landJL(D) < oo. Supposefis
an ~tended real-valued Ql-measurable function on a set De Ql such that fv fg dJL exists
in 1ft for every JL-integrable extended real-valued Ql-measurable function g on D. Then f
is bounded a.e. on D, that is, there exists M > 0 such that JL{X e D : If (x) I ~ M} = 0,
and moreover f is tL-integrable on D.
Proof. (Observe that iff is bounded ae. on D then the condition JL(D) < oo implies that
f is tL-integrable on D.)
We prove the Proposition by contradiction argument. Thus we show that if f is not
bounded a.e. on D then there exists a JL-integrable extended real-valued Q(-measurable
function g on D such that fv fg dtL does not exist in JR.
Suppose f is not bounded a.e. on D. Then f is either not bounded above a.e. on D or
not bounded below ae. on D or both.
1. Consider the case that f is not bounded above a.e. on D. Then f is certainly not
bounded above by 1 a.e. on D. Let
D,. = {x e D: f(x) e [n, n + 1)} for n eN.
b,. = JL(D11 ) E [0, oo).
We claim that b,. > 0 for infinitely many n e N. To prove this, assume the contrary, that is,
assume that there exists N e N such that b,. = 0 for n ~ N. Now we have
{x E D: f(x) ~ N} = U D,.
n~N
and
JL{x e D : f(x) ~ N} = L JL(D,.) = L b,. = 0 .
n~N n~N
This shows that f is bounded above a.e. on D, contradicting our assumption. Therefore we
have b,. > 0 for infinitely many n e N.
Now (b,. : n e N) is a sequence of nonnegative numbers and b11 > 0 for infinitely many
n e N. Thus we can select a subsequence (b,.k : k e N) such that b,.k > 0 for every k e N.
Select a positive number a,.k > 0 such that a11kb,.k = -lz for every k e N. Then define a
function g on D by setting
forx e Dnk fork eN,
for XED\ u~:EH D,.k'
Then we have
This shows that g is JL-integrable on D.

Next we show that JD fg d11- does not exist in i". We show this by showing that
JD(fg)+ dJL = oo and JD(fg)- dJL = oo. Now we have
L(Jg)+ dJL = fukEt•l D"k (fg)+ dJL = .[; Lnk (fg)+ dJL
and similarly
r
Jn
<Jg)- d11- ~ E ! = oo.
oddk k
This completes the proof that if f is not bounded above a.e. on D then there exists a JL-
J
integrable extended real-valued ~{-measurable function g on D such that D f g d 11- does
not exist in "i.
2. Consider the case that f is not bounded below a.e. on D. In this case, - f is not
bounded above a.e. on D. Then by our result in 1, there exists a 11--integrable extended
real-valued ~(-measurable function g on D such that fv- fgdJL does not exist in i", that
is, fv fg dJL does not exist in "i. 1
Prob. 9.34. Prove the following proposition:

Proposition. Given a measure space (X, 21, ~J-). Let D e 21 and 11-(D) < oo. Let
f be a bounded real-valued Ql-measurable function on D and let m = infxeD f(x) and
M = SUPxeD f(x). Let g be a 11--integrable extended real-valued 21-measurable function
on D. Then we have:
(a) f g and f lgl are 11--integrable on D.
(b) If fv lgl diL = 0, then fv f lgl diL = 0.
(c) If fv IKI diL > 0, then there exists c E [m, M] such that fv f IKI diL = c fv IKI d~J-.
Proof. 1. Let us prove (a). According to Observation 9 .2, a function h is 11--integrable if and
only if the function lh I is 11--integrable. Thus to show that f g and f lg I are 11--integrable on
D, we show that If gl and If Igil are 11--integrable on D,
Since f is bounded on D, there exists B > 0 such that If I :S Bon D. Then we have
L If Kl d~J- = L lfllgll d~J- :S L BlgldiL = B L lgldiL < 00.
This shows that If gl is 11--integrable on D. Similarly we have
L If lgll diL = L lfllgll diL :S L Big I diL = B L lgl diL < 00.
This shows that If lg II is 11--integrable on D.

2. Let us prove (b). Suppose fv lgl diL = 0. Then lgl = 0 a.e. on D. Since f is
bounded on D, we have f lgl = 0 a.e. on D. This implies that fv f lgl diL = 0.
3. Let us prove (c). Suppose fv lgl diL > 0. Now we have m :S f :S M on D and this
impliesthatmlgl :S flgl :S Mlgl onD. Thenwehave
L m IKI diL :S L f IKI diL :S L d~J-,

M IKI
that is,
L
m lgl diL :S L f lgl diL :S M L d~J-.
lgl
Multiplying by Uv lgl d~J-r 1

> 0, we have
m :S ( L rl .L
IKI diL f lgl diL :S M.
Then let
Then we have

Prob. 9.35. Let f be an extended real-valued v.n~. -measurable function on [0, oo) such that
1a f is JL~. -integrable on every finite subinterval of [0, oo),
2° lim f(x) = c E 'll?....
x ....oo
Leta> 0. Show that a~~ ho,a] f dJLL =c.
(Observe that iff is a bounded real-valued oot~. -measurable function on [0, oo) then con-
dition 1a is satisfied.)
Proof. Since lim f(x) = c, for every e > 0 there exists M > 0 such that 1/(x)- cl < e
x~oo
for x ~ M, that is,

(1) c-e < f(x) < c+e forx ~ M.
Let a > 0. Assume that a ~ M. Then we have
(2)
For brevity, let us write
(3)
Observe that (1) implies
(4) (c- e)(a- M) ~ j [M,a]

f dJL~. ~ (c + e)(a- M).
Substituting (3) and (4) in (2), we have
(5) K + (c- e)(a- M) ~ { f dJLL ~ K + (c + e)(a- M).

J[O,a]
Dividing (5) by our a ~ M > 0, we have
-K + (c- e) (1 -
a
M
-
a
)~ - ll.
a [O,a]
f K
dJL~. ~ -
a
+ (c + e)(l + -M ).
a
Then letting a ~ oo, we have
c-e~liminf_!_ { fdJL~.~limsup! { fdJL~.~c+e.

a~oo a )[O,a] a~oo a J[O,a]
C ~ liminf!
a__.oo
r
a J[O,a]
j djLL ~lim sup!
a-->oo
r
a J[O,a]
f djLL ~C.
This shows that
Prob. 9.36. Let f be a ILL -integrable nonnegative extended real-valued mL -measurable

function on JR.. With c E JR. fixed, define a function g(x) = Lnen f(x + n c) for x E JR..
Show that if the function g is 11-L -integrable on JR. then f = 0 a.e. on JR..
Proof. Since f is 9JlL-measurable on JR.,/(·+ nc) is mL -measurable on JR. by Theorem

9.31 (Translation Invariance of the Lebesgue Integral on JR.). Since f is nonnegative on JR.,
g(x) = Lnell f(x + nc) exists in [0, oo] for every x e JR. and g is mL-measurable on JR..
Assume that g is ILL -integrable on JR.. Let us show that this implies that f = 0 a.e. on JR..
Assume the contrary. Then there exists E E 9JlL such that ILL (E) > 0 and f > 0 onE. This
implies that JEf diLL > 0 and then J:l-i f diLL ~ JE
f diLL > 0. Let a = J:l-i f diLL > 0.
Then we have
L. g(x) ILL(dx) =h,~f(x +nc) ILL(dx) = ~ hJ<x + nc) ILL(dx)

=Li f(x) ILL(dx) by Theorem 9.31
neH '
= Ea= oo.
nefi
This contradicts the assumption that g is 11-L -integrable on JR.. Therefore we must have f = 0
a.e. on IR.. 1
Prob. 9.37. Let f be a real-valued uniformly continuous function on [0, oo). Show that if
f is Lebesgue integrable on [0, oo) then lim f(x) = 0.
X--+00
Proof. We show that ifwe do not have lim

X--+00
f (x) = 0 then f cannot be Lebesgue integrable
on [0, oo). By definition, lim f (x) = 0 if and only if for every e > 0 there exists M > 0
x--+oo
such that lf(x) I < e for x > M.
Thus if we do not have lim f (x) = 0 then there exists eo > 0 such that for any M > 0
X--+00
there exists x > M such that lf(x)l ~eo. Then there exists Xt > 1 such that lf(xt)l ~ eo
and then there exists xz > x 1 + 1 such that If(xz) I ~ eo and then there exists X3 > xz + 1
such that If(x3) I ~ eo and so on indefinitely. Thus we have a sequence (xn : n e N) in
[0, oo) such that
(1) Xt > 1; Xn+l > x,. + 1; lf(x,.) I ~eo for n e N.
Now since f is uniformly continuous on [0, oo), for ~ > 0 there exists 8 > 0 such that
80
lf(x')- f(x") I < - whenever x', x" E [0, oo) and lx'- x"l < 8.
2
Then we have
eo
(2) lf(x)- f(x,.)l < 2 for x E (x,.- 8,xn + 8).
Let us select 8 e (0, ~)so that { (x,.- 8, x,. +8) : n e N}is adisjointcollectionofintervals.
Now since lf(x,.) I ~ eo for n e N, f(x,.) is either positive or negative. If f(x,.) > 0
then f (x11 ) ~ eo and then (2) implies
8Q
f(x) > 2 for x E (x11 - 8, x11 + 8).
If f (xn) < 0 then f (x,.) :::::; -eo and then (2) implies
eo
f(x) < -
2 for x E (Xn- 8,x,. + 8).
Now consider the case that f(x,.) > 0 for infinitely many n e N and the case that
f(x,.) < 0 for infinitely many n e N. These are the only possible cases. If f(x,.) > 0 for
infinitely many n e N then there exists a subsequence (n,t) of (n) such that f(xnt) > 0 for
every k e N and thus
eo
f(x) >
2 for x E (x"k -8, x,.k + 8).
Then we have
This contradicts the Lebesgue integrability off on [0, oo).

On the other hand iff (xn) < 0 for infinitely many n E N then there exists a subsequence
(n.t) of (n) such that f(xnt) > 0 for every k E N and thus
eo
f(x) < -2 for x E (xnt- 8, xllt + 8).
Then we have
This contradicts the Lebesgue integrability off on [0, oo). 1
Prob. 9.38. Given a measure space (X, 2l, 1-£). Let A, B E 2l and let f be an extended
real-valued 21-measurable function that is ~-£-integrable on A and on B. Show that
(a) fA f d/-L + fB f d/-L = fA\B f d/-L + fB\A f d/-L + 2 fAnB f dl-£.
(b) fA f d/-L- fB f d/-L = fA\B f d/-L- fB\A f dl-£.
Proof. Observe that for any two sets A and B can be expressed as two disjoint unions:
A= (A\ B) U (An B) and B = (B \A) U (B n A).
Then we have
and
= r
jA\B
fdi-£L- {
jB\A
fdi-£L•

Prob. 9.39. Consider(~. VRL, ILL). Let f be an extended real-valued mL-measurable

function on R. We say that f is locally ILL -integrable on Riff is ILL -integrable on every
bounded set E E VJ1L •
Let f be a locally ILL-integrable function on R. For x E R and r > 0, let us define
B,(x) = {y E R : IY- xl < r} = (x- r, x + r). Define a real-valued function J,. on R
by setting
fr(x) = JB,.(x) f(y) ILL (dy) forx E R.
(a) Show that iff is locally ILL -integrable on~ then J,. is a continuous real-valued function.
(b) Show that iff is ILL -integrable on ~then J,. is uniformly continuous on R.
Proof. (a) Assume that f is locally J.LL -integrable on~. To show that J,. is continuous at
every xo E R, we show that for every s > 0 there exists 8 > 0 such that
(1) lfr(x)- fr(xo)l < e for x E R such that lx- xol < 8.
Now for any x E ~ we have
(2) fr(x)- f,.(xo) = { f(Y)ILL(dy)- { f(Y)ILL(dy).

j B,(x) j B,(xu)
By (b) ofProb. 9.38, we have
r
J B,(x)
J(y) ILL)(dy)- r
J B, (xu)
t<Y> ILL (y) = r
J B,(x)\B, (xu)
J(y) ILL (dy)
- { f(y) J.LL (dy).

JB,(xu)\B,(x)
Substituting this equality in (2), we have
fr(x)- J,. (xo) = f f(y) J.LL (dy)- f f(y) J.LL (dy),

JB,.(x)\B,.(xu) JB,.(xu)\B,.(x)
and then
(3) ll,.(x)- f,.(xo)l =I Jf B,(x)\B, (xu)

f(y) J.LL(dy)- {
JB,(xu)\B,(x)
f(y) J.LL(dy)l
::; 1 r
J B,.(x)\B, (xu)
t<Y>ILL(dy)l + 1 r
J B,. (xu)\B,. (x)
t<Y)ILL(dy>l
::; { lf(y)IJ.LL(dy) +{ lf(y)IJ.LL(dy).

j B,(x)\Br(XU) j Br(XU)\B,(x)
We may and do confine ourselves to x E R such that lx - xo I ::; 1 for instance. Then
let M > 0 be so large that
B,(x), B,(xo) c [-M.M] for x E R such that lx- xol ::; 1.

Now [ -M, M] is a bounded VJ1L-m.easurable set in R. Then the local ILL-integrability of

f implies that f is ILL-integrable on [-M, M]. By Theorem 9.26, ILL-integrability off
J
on [- M, M] implies that for every e > 0 there exists 8 > 0 such that E If IdjL L < 8 for
every mL -measurable set E C [-M, M] such that ILL(E) < 8.
Now B,(x) \ B,(xo) = (x - r, x + r) \ (xo - r, xo + r). Thus if lx - xol < 8 then
ILL(B,(x) \ B,(xo)) < 8 and consequently we have
(4) { lf(y)IILL (dy) < 8.

j B,(x)\B,(XQ)
Similarly lx - xo I < 8 implies
(5) { lf(y) IILL (dy).

}Br(xu)\Br(x)
Thus by (3), (4) and (5), we have
ll,.(x)- ];.(xo)l < 2B for x E R such that lx- xol < 8.
This proves (1).

(b) Let us assume that f is ILL -integrable on R. Then by Theorem 9.26, for every e > 0
there exists 8 > 0 such that JE Ill diLL < 8 for every VJ1cm.easurable set E in R such that
11-L (E) < 8. Observe that 8 > 0 here is universal in R whereas 8 > 0 in case (a) depended
on the bounded set [- M, M] c R. From this follows the uniform continuity of J,. on R by
adjusting the proof of case (a) above. 1
Prob. 9.40. Consider the measure space(~. mL, ILL) . Let f be a ILL -integrable extended
real-valued mL-measurable function on R . Show that for every E: > 0 there exists a
continuous real-valued function g on ~ which vanishes outside a finite closed interval in R
and satisfies the condition that f l-! If- gl diLL <e.
Proot For every n e N define a function fn on R by setting
x _ { f(x) for x e R such that lxl :::; nand lf(x)l :::; n,

(1) fn( ) - O th .
o erw1se.
We have lim
11-+00
fn = f on R. This implies that lim
11-+00
lin - /1 = 0 on ~- We also have
lin- /1 :S Ifni+ 1/1 ::S 21/1, which is ILL-integrable on R. Thus by Theorem 9.20
(Dominated Convergence Theorem), we have
(2) n~ 1~ lfn - /I diLL = Ln~ lfn -/I diLL = 0.
Let s > 0 be arbitrarily given. Then (2) implies that there exists N e N such that
(3)
Now fN is a real-valued 9J1L-measurable function on R such that 1/NI :::; Non ~ - Then
according to Theorem 6.36 there exists a continuous real-valued function go on [- N, N] c
R such that
lgol ::S N on [-N,N],
{ I!N- Kol < l:N on [-N,N] \E,
where Eisa 9J1L -measurable subset of [-N, N] with ILL (E) < r£N. Then we have
(4) 1[-N,N]
liN -go I diLL = 1
[-N,N]\E
liN -go I diLL + { liN -go IdiLL
jE
E: E: E:
< -·2N+2N·-= -.
16N 16N 4
To extend our continuous real-valued function go defined on [-N, N] to a continuous
real-valued function g on ~ which vanishes outside a finite closed interval, define two
intervals It = [ -N - 8~, - N] and h = [ N, N + 8~] and define a function g on R by
setting
I
go(x) for x e [-N, N],
g(x) = 0 forx E ([-N,N] Ult Uht.
linear on It and on h
We have
(5)
Then we have
(6) rlfN - gl = r
j~,,
dttL
'[-N,N]UiiUh
lfN- gl dttL
= r
1[-N,N]
lfN- go I + r lgl
j/1
dttL dttL + r lgl
jh
dttl.
E:E:E: E:
<- +- +- = - by (4) and (5).
4 8 8 2
Then we have
L If- gl dttL :S L If - fNI dttL + L lfN - gl dttL

E: E:
< + =
2 2
e by (3) and (6).

Prob. 9A1. Prove the following theorem:

Theorem. (Continuity in the Mean) Let f be a ILL -integrable extended real-valued mL-
measurable function on JR in the measure space (R, mL, ILL). Let h E JR. Then we have
l~ k lf(x +h)- f(x)IILL(dx) = 0.
(Note that we may not have lim f (x + h) = f (x) as f may not be continuous at any
h--+-0
X E JR.)
Proot Let f be a ILL -integrable extended real-valued mL -measurable function on JR.
According to Prob. 9.38, for every e > 0 there exists a continuous real-valued function g on
R which vanishes outside some finite closed interval [-B, B] and satisfies the condition:
(1)
LethE R andh '# 0. We have
(2) lr, lf(x +h) - f(x) IILL (dx) ::; i, lf(x +h) - g(x + h)IILL (dx)
+£ lg(x +h)- g(x)IJLL(dx)
+L lg(x) - f(x)IILL (dx).
By Theorem 9.31 (Translation Invariance of the Lebesgue Integral on JR) and by (1), we
have
!r!: lf(x +h) - g(x + h)IILL (dx) = £ lg(x)- f(x)IILL (dx) <e.
(3) L lf(x +h)- f(x)IILL(dx)::; i lg(x +h)- g(x)IILL (dx) + 2e.
Consider the integral on the right of (3). The function g vanishes on [- B, B]c. This
implies that g vanishes on [- B - 1, B + 1]C. Then for h E JR such thatO < lh 1 < 1, we
haveg(x +h)= Oforx E [-B, B]c. Then sinceg(x) =Oforx E [-B, B]c, we have
g(x +h)- g(x) = 0 for x E [-B, B]c.
This implies that
(4) £, lg(x +h)- g(x)IILL (dx) = l-B,B]Ig(x +h)- g(x)IILL (dx).
Since g is a continuous function on R and g vanishes outside the compact set [-B, B],
max lg (x) I = max lg (x) I exists as a positive real number. Let
xe[-B,B] xeJ<.
M= max lg(x)l = maxlg(x)l.

XE[- B,B] xelf!-
Then we have
lg(x +h)- g(x)l::::: lg(x + h)l + lg(x)l::::: 2M.
Continuity of g on IR implies that lim g(x +h)= g(x) and then
h->0
lim lg(x +h)- g(x)l =0 for every x e JR.

h->0
Then by Theorem 7.16 (Bounded Convergence Theorem), we have
(5) lim { lg(x +h) - g(x)IILL (dx) = { lim lg(x +h)- g(x)IILL (dx)
h->0 '[-B,B] '[-B,B] h->0
= { OttL(dx) = 0.
'[-B,B]
Combining (4) and (5), we obtain
(6) l~ h: lg(x +h) - g(x)IILL (dx) = 0.
From (3) and (6) we have
(7) ~_!~P L lf(x +h)- f(x)lttL(dx)::::: ~_!~P L lg(x +h)- g(x)lttL(dx) + 2e
=a b lg(X +h)- g(x)I/LL (dx) + 2e
=2e.
Since this holds for every e > 0, we have lim sup ~;,_ lf(x +h)- f(x) IILL (dx) = 0. This
h->0
then implies that lim inf
h->0
JT
"~
If(x +h) - f(x) IILL (dx) = 0 and this in turn implies that
lim j ... lf(x +h)- f(x)lttL(dx) = 0.
h->0 1
, 1
Prob. 9Al. Let f be a 1-'L -integrable extended real-valued 9RL -measurable function on R
in the measure space (R, 9J1L, f.LL). Let h e R. Show that
h~~ };; lf(x +h)- f(x)lf.LL(dx) = 2f 1, lf(x)l~-tL(dx)
and similarly
h~oo fG: lf(x +h)- f(x)lp,L(dx) = 2Jy, lf(x)II-LL(dx).
Proof. Suppose f is i-LL -integrable on R. Then Theorem 9.28 implies that for every e > 0
there exists M > 0 such that
lf(x)l~-tL(dx) <e.
(1)
1 [-M,M]<
Our proof is based on the estimate (1) and Theorem 9.31 (Translation Invariance of the
Lebesgue Integral on R). We start with
(2) £ lf(x +h) - f(x) Ip,L (dx) ::; £,, lf(x + h)II-LL (dx) + £!,lf(x)l f-'L (dx)
= 2 i lf(x)II-LL (dx) by Theorem 9.31.
Next we seek a lower bound for the integral on the left of (2). By Theorem 9.31 and (1)
we have
(3) 1 [-M-h,M-h] 0
lf(x + h)II-LL(dx) = 1 [-M,M]0
lf(x)l 1-'L(dx) < s.
Observe that
(4) h >2M=> [-M- h, M- h] n [-M, M] = 0.
Let h > 2M. Then we have
(5) i. lf(x +h) - f(x) IJLL (dx) :=:: l-M-h,M-hl lf(x +h)- f(x)l 1-'L (dx)
+ r
1[-M,M]
lf(x +h) - f(x) I f.J,L (dx).
Let us find lower bounds for the two integrals on the right of (5). Now the inequality
llf(x + h)l - lf(x) II :S lf(x +h) - f(x)l implies that we have
1° lf(x +h)- f(x)l :=:: lf(x +h)l-lf(x)l
and
2° lf(x +h) - f(x) I :=:: lf(x)l -lf(x + h)l.
Then we have
(6) { lf(x +h) - f(x)II-LL (dx)

1[-M-h,M-h]
:: r
1[-M-h,M-h]
lf(x+h)IJLL(dx)- r
1[-M-h,M-h]
lf(x)IJLL(dX) by1°
:: r
1(-M-h,M-h]
lf(x+h)IJLL(dx)-B,
bythefactthat [-M- h, M- h] c [-M, M]c and by (1). Similarly we have
(7) ( lf(x+h)-f(x)I~LL(dx)
1(-M,M]
~ ( lf(x)I~LL(dx)- ( lf(x +h)I~LL(dx) by2°

1(-M,M] 1(-M,M]
~ ( lf(x) IILL (dx)- 8,

1(-M,M]
by the fact that [- M, M] c [- M- h, M - h]c and by (3). Substituting (6) and (7) in (5),
we have
(8) L lf(x +h)- f(x)l JLL(dx) ~ l-M-h,M-h]lf(x +h) I ILL(dx)

+( 1/(x)l ILL(dx)- 28.
1[-M,M]
Next we find lower bounds for the two integrals on the right of (8). We have
(9) l-M-h,M-h]lf(x +h)IILL(dx)
=L lf(x +h) I ILL(dx) -l-M-h,M-h]< lf(x + h)l ILL(dx)
>L lf(x + h)l ILL (dx)- e by (3)
=L lf(x)l JLL(dx)- e by Theorem 9.31.

Similarly we have
(10) ( lf(x)I~LL(dx) = ( lf(x)I~LL(dx)- ( lf(x)I~LL(dx)

1(-M,M] k. 1(-M,M]<
> Llf(x)IILL(dx)-8 by(1).
(11) 1!: lf(x +h)- f(x)l JLL(dx) > 21~ lf(x)l ILL(dx)- 4e.
(12) 2 L lf(x)l ILL(dx)- 48 < L 1/(x +h)- f(x)l ILL(dx) ~2 L lf(x)IILL(dx).
Thus we have shown that for every e > 0 there exists M > 0 such that (12) holds for
h > 2M. This proves that we have
h~k, lf(x +h)- f(x)IILL(dx) = 21,, lf(x)IILL(dx).
The case lim is proved similarly. 1

h-+-00
Prologue to Prob. 9A3. Given a measure space (X, Ql, IL)- Let f be a complex valued
function on a set D e 21. Let !Yt(f) and ~(f) be the real and imaginary parts of f
respectively. Thus f = !Yt(f)+i~(f). We say that f is !](-measurable, IL semi-integrable, or
~L-integrable on D if both mf and~ f are Ql-measurable, JL semi-integrable, or JL-integrable
on D. Iff is JL semi-integrableon D, then we define fv f diL = fv !Ytf diL +i fv ~! d~L.
Prob. 9.43. Let f be a ILL -integrable extended real-valued rolL -measurable function on JR.
(a) Show that for every y e JR, the complex valued function eixy f(x) for x e JR is rolL-
measurable and ILL -integrable on JR.
(b) The Fourier transform off is a complex valued function jon JR defined by setting
j(y) = J;,, eixy f(x)ILL (dx) for Y E JR.
Show that /is bounded on JR and in fact supye1~ lf(y)l ~ 2fu. lf(x)IILL (dx).
J
(c) Show that defined in (b) is continuous on IR.
Proot (a) We have eixy = cosxy + i sinxy and thus
eb:y f(x) = cosxy · f(x) +i sinxy · f(x) .
Now f is ILL-integrable on IR and Icosxyl ~ 1 for x e JR. Thus cosxy · f(x) is ILL-
integrable on JR by Prob. 9.32. Similarly sinxy · f(x) is ILL -integrable on JR. This shows
that eixy f(x) is JLL -integrable on JR.
(b) We have
](y) = fr~ eixy f(x)ILL (dx) = f u. cosxy · f(x)ILL(dx) + i fr~ sinxy · f(x)ILL (dx)
and then
l](y)l L
~I cosxy · f(x)ILL(dx)l +I i sinxy · f(x)ILL(dx)l
~L Icosxyl·lf(x)IILL(dx) + L Isinxyl · lf(x)IILL(dx)
~L lf(x)IJLL(dx) + L lf(x)IILL(dx) =2 L lf(x)IJLL(dx) .
This shows that

!~~ l](y)l ~ 2 L lf(x)IILL(dx) .
(c) To prove the continuity of jon JR we show the continuity of !Yt(j) and ~(j) on JR.
Now we have
and then
(1) !Yt(j}(y +h)- !Yt(j)(y) = L{ cosx(y +h)- cosxy}f(x)ILL(dx).

Observe that continuity of the cosine function implies
(2) lim { cosx(y +h)- cosxy} = 0.

h-+0
Observe also that
(3) I{ cosx(y +h)- cosxy} f(x)l :::=: 21/(x)l,
where the dominating function 21/1 is a ILL -integrable function. With (2) and (3), we can
apply Theorem 9.20 (Dominated Convergence Theorem) to obtain
(4) lim
h-+O)R
r{ cosx(y +h) - cosxy} f(X)ILL(dx) = r
)R
0 ILL (dx) = 0.
Then from (1) and (4) we have
lim {!R(j)(y +h)- fft(j)(y)} = 0.

h-+0
This proves the continuity of !R(j) at every y E ~- Continuity of :J(j) on ~ is shown

likewise. This completes the proof that j is continuous on ~. 1
Prob. 9.44. Prove the following theorem:

Riemann-Lebesgue Theorem for the Fourier Traosform. Let f be a ILL -integrable
extended real-valued VJlL-measurable function on IR and define the Fourier transform
j(y) = ~' ei:ry f(x)ILL (dx) fory E JR. Then we have lim j(y) = Oand lim j(y) = 0.
· y~oo y~-oo
(Hint: Show first that by the translation invariance of the Lebesgue integral in (IR, 9JtL , p,L ),
j(y) =- fr~-t i(H~)y /(X)ILL(dx) =- f~-t ei;r;y f(x- ~)p,L(dx).
Then use this expression in 2 f.)
Proof. Observe that
Then we have
j(y) = L ei:ry f(x)ILL(dx) =- Lei(;r;+~)y f(x)ILL(dx)
=- { ei:ryf(x-~)ILL(dx) byTheorem9.31.
]r:; y
Then we have
2/(y) = r, ei;r;y /(X)JJ,L(dX)- ~. ei;r;y f(x- ~)p,L(dX)

Jr,. 1~ Y
= L ei:ry { f(x)- f(x- ~)}ILL (dx).
Thus we have
21/(y)l :S { lei:ryllf(x)- f(x- ~)~p,L(dx)

)R y
= 1. lt(x)- f(x- ~)~ILL(dx).

Then we have by Prob. 9.41
lim 1/(y)l :S lim

!~o
y
!~o2
y
~ fI
·~
--
f(x) - f(x - ~)I
y
ILL (dx) = 0.
Thus we have
lim 1/(y)l
y~±oo
= 0.
This is equivalent to
lim /(y)
y->±oc
= 0.
Prob. 9A5. Given a measure space (X, Ql, IL). Let f be an extended real-valued Q(-
measurable function on a set D e Ql. Let (Dn : n e N) be a sequence of 2t-measurable
subsets of D such that lim IL(Dn) = 0. (Note that (Dn : n E N) is not assumed to be a
n-+oo
decreasing sequence.)
(a) Show that iff is IL-integrable on D then we have lim In f diL
11~00 n
= 0.
(b) Show iff is only IL semi-integrable on D then the conclusion in (a) does not hold.
Proof. (a) Assume that f is IL-integrable on D. To show that lim In f diL = 0, we

n.....,.oo n
show that for every e > 0 there exists N e N such that
If f diLl < e forn ~ N.

ln.
Let e > 0 be arbitrarily given. According to Theorem 9.26 (Uniform Absolute Continuity
of the Integral with Respect to the Measure), ~-£-integrability of f on D implies that for every
8 > 0 there exists 8 > 0 such that
I L L
f diLl ::5: lfldiL < 8 whenE c D, E E Ql, andiL(E) <a.
Now lim IL(Dn)
rl-->00
= 0 implies that there exists N e N such that IL(D,) < a for n ~ N.
Then we have I fn. f dJ.£1 < efor n ~ N.
(b) Consider the measure space (R , mL, ILL). Let f be a real-valued mL -measurable
function on [0, oo) defined by f(x) =
x for x e [0, oo). Then fr.o.oo) f(x) JLL(dx) oo =
so that f is ILL semi-integrable but not ILL-integrable on [0, oo).
WithD = [O,oo),letus define Dn = [n,n + ~) forn eN. Then wehaveiLL(Dn) = ~
and lim ILL (Dn) = lim 1 = 0. On the other hand, we have
n~oo n--+oc n
r
lnnf(X)JLL(dx)= n
1n+~ xdx= 1[ 2]n+! 1
=1+2n
2x n 2
and then
lim {
n-->oo ln.
f(X)JLL(dx)= Jim
n-+oo
{t+~}=t.
2n
This shows a counter example for (b). 1
Prob. 9.46. Construct a continuous real-valuedfunction f on [0, oo) such that the improper
Riemann integral J 0 f(x) dx := a~
00
J;
f(x) dx exists but J[O,oo) f dJLL does not exist.
Proof. 1. Let In= [(n -1)rr, nrr) for n E N. Then {In : n E N} is a collection of disjoint
intervals and UneH In= [0, oo).
Let g(x) = sin x for x E [0, oo) . Then define a step function h on [0, oo) by setting
1
h(x) =- forx E In forn EN.
n
Define a function f on [0, oo) by setting
f(x) = h(x)g(x) for x E [0, oo).
Observe that
1° f = 0 at the endpoints of the interval In for every n E N;
2° f is nonnegative on In when n is an odd integer and f is non-positive on In when n is
an even integer;
3° f is continuous on [0, oo).
We have
mr j(x) dx =
l.mr 1 1[
- sinx dx = - cosx
](n-1),.-
(1)
l. (n-1),.- (n-1),. n n mr
1 1
=-{ cos(n -1)rr- cosmr} = -{ (-W- 1 - ( -1)''}
n n
=~(-1)"- 1 {1- (-1)} = (-1)"-1 ~ .
n n
Then applying (1) we have
L (-1)n-
(2) lim
a~oo 0 1 a
f(x)dx = 2
nen
11
n
{ 1 1 1 1
2
}
- = 2 1 - - +--- +- + · · · E ~.
3 4 5
This shows that the improper Riemann integral 0 f (x) dx exists. J 00
2. For our function/, the positive part j+ and the negative part f- are given by 2°
above. Thus we have
1 1
i [O,oo)
1+ dJLL = 2{ 1 + 3 + 5 + ' ' ' } = 00,
and similarly
i [O,oo)
r dJLL =
1
2
1
2{- +- +- + ... } =
4
This shows that ho.oo) f dJLL does not exist according to Observation 9.2.
1
6
oo.
1
Prob. 9A7. Let f be a continuous nonnegative real-valued function on [0, oo) such that
J
the improper Riemann integral 000 f(x) dx := lim foa f(x) dx exists. Show that we
a-+oo
have the equality fo 00
f(x) dx = ho,oo) f dJLL. (Note that nonnegativity off is a crucial
condition.)
Proof. Observe that the nonnegativity and VRL -measurability implied by continuity of f
imply the existence of J[O,oo) f dJLL in [0, oo].
fo
Let us assume that the improper Riemann integral 00 f (x) dx exists. Then we have
(1) (
Jo
00
f(x) dx := lim r f(x) dx = y
a-+oo}o
E [0, 00].
The second equality in (1) implies
(2) lim
11-+oo
r f(x) dx = y
Jo
E [0, 00].
According to Theorem 7.27 we have
(3) r j(X) dX =
lo
{
J[0,111
f dJLL•
Observe that ([0, n] : n E N) is an increasing sequence of VJ1L-measurable sets and

lim [0, n] = U[O, n] = [0, 00). Let US define a sequence of functions (/11 : n E N) on
11-+00
11Ei'l
[0, oo) by setting
f(x) for x E [0, n],

(4) fn(x) =
{ 0 for x E (n, oo).
Then (/11 : n E N) is an increasing sequence and lim f 11 (x)

11-+00
= f(x) for x E [0, oo). Thus
by Theorem 8.5 (Monotone Convergence Theorem) we have
{ f dJLL = lim ( !11 dJLL = lim { f dJ.LL by (4)

J[O,oo) 11-+00 J[O,oo) 11-+00 J[O,n]
= lim
11-+oo Jor f(x) dx = y by (3) and (2)
= fooo f(x) dx by (1).

Prob. 9A8. Prove the following:

(a) Jio,oo) xe-x Il-L (dx) = ~·
2
2
(b) J[O,oo) e-x Il-L (dx) < 00.
(c) lim fro oo) e-nxz sinnx 11-L(dx)

n---+oo L'
= 0.
Proot (a) The function f(x) = xe-xZ for x e [0, oo) is a continuous nonnegative real-
valued function on [0, oo). Now according to Prob. 9.47, if the improper Riemann integral
fo00 xe-xZ dx := a~ }o xe-xZ dx exists then J 000 xe-x2 dx = fr.o.oo) xe-xZ 11-L (dx).
Let us show that the improper Riemann integral fo 00 2
xe-X dx := lim
a-->oo
ro xe-xZ dx
exists. Now we have
and then
oo -xZ . loa -x2 . 1 -a2 1
xe dx:=lim xe dx=lim-{l-e }= 2 .
lo0 a-->oo 0 a-->oo 2
This shows that f 0 xe-x dx exists and is equal to ~· Then Jio.oo) xe-x ILL (dx) = ~ by
00 2 2
Prob. 9.47.
(b) The function g(x) = xe-xZ for x E [0, oo) is a continuous nonnegative real-valued
function on [0, oo). This implies that Jio,oo) e-xZ 11-L (dx) exists in [0, oo].
2
It remains to show that Jio.oo) e-x ILL (dx) < oo. Now we have
2 2
(1) { e-x 11-L (dx) = { e-x Il-L (dx) +{ e-xz 11-L (dx).
1[O,oo) 1[0,1] 1[1,oo)
Since 0 ~ e-xZ ~ 1 for x E [0, oo), we have
(2) {
2
e-x 11-L(dx) ~ { IJJ-L(dx) = 1.
1[0,1] 1[0,1]
[1, oo) we have e-x ~ xe-xl and thus

2
For x E
(3) {
1[t,oo)
e-x2 /J-L(dX) ~ {
1[t,oo)
Xe-Xz /J-L(dX) ~ r
1[0,oo)
2
Xe-X /J-L(dX) = ~·
Substituting (2) and (3) in (1), we have fr.o.oo) e-x 11-L (dx) ~ ~·
2
2
(c) We have lim e-nx sinnx = 0. We also have le-nx sinnxl ~ e-x
2 2
, which is
11-+00
Il-L -integrable on [0, oo) according to (b). Thus Theorem 9.20 (Dominated Convergence
Theorem) is applicable and we have
lim
II--+OO
r
1[0,oo)
e-nxl sin nx Il-L (dx) = r lim e-nxl sinnx Il-L (dx) = {
1[0,oo) II--+OO 1[0,oo)
OdJJ-L = 0.

Prob. 9.49. Given that the improper Riemann integral f~oo J,r exp{-x2}dx = 1 implies
the Lebesgue integral J., J,r exp{ -x2 } ILL (dx) = 1. Prove the following statements:
(a) For v > 0 and m E R we have
2
r ../2irV
J n~
1 exp { lx-ml } ILL (dx ) -- 1.
- ---rv-
(b) Let f be a bounded real valued 9JlL -measurable function on R. Suppose f is continuous
atm E R. Then we have
~ fr-: $-v 12
exp {- lx-;: } f(x) ILL(dx) = /(m).
Proof. (a) According to Theorem 9.33 (Affine Transformation of the Lebesgue Integral in
R), for aIL L semi-integrable extended real-valued 9:llc. -measurable function f on R and for
a E R such that a i= 0 and f3 E R, we have
L f(x) ILL (dx) = Ia I Lf(ax + /3) ILL (dx).

Then for f(x) = b exp{ -x2 } for x
y~
E Rand for ax + f3 = ~-
y~ y~
~ where v > 0 and
mE R,wehave
This proves (a).
(b.l) Let f be a bounded real-valued ~J1L -measurable function on R that is continuous

atm E R. We claim
2
lx -ml
(1) lim
v.j.O h 1
~ exp
,; v2Jrv
{-
2v
}
f(x) ILc. (dx) = f(m).
For the sake or brevity, let us define a function f/Jv,m on R , where v > 0 and m E R, by
2
(2) f/Jv,m(x) = 1
~exp
{
-
lx- ml }
forx E R.
v2Jrv 2v
Then (I) is rewritten as
(3) lim { f/Jv,m(x)f(x) ILL(dx)- f(m) = 0.

VfO 1[~
We proved in (a) that
(4)
Then we have
/(m) = f(m) ·1 = f(m) L f/Jv,m(x) ILL(dx) = Lf/Jv,m(x)f(m) ILc.(dx).

Thus (3) is equivalent to
(5) lim { IPv,m(x){J(x)- f(m)} 1-'L(dx) = 0.

v.t.O}p_
Observe that (5) is equivalent to
(6)
By the non-negativity of f{Jv,m on JR., we have
I L f/Jv,m(X){f(x)- f(m)} 1-'L(dx)l ::S i f{Jv,m(x)lf(x)- f(m)l~-tL(dx),

and then
~I Lf{Jv,m(x){f(x)- f(m)} 1-'L(dx)l ::S ~ L f{Jv,m(x)lf(x)- f(m)l~-tL(dx).

Thus if we show
(7) ~ft} L IPv,m(x)lf(x)- f(m)l~-tL(dx) = 0,
then (6) follows. Thus it remains to prove (7).
(b.2) Let us analyze the behavior of f{Jv,m(x) as v .1- 0.

The function f{Jv,m on JR. as defined by (1) has a maximum point m E JR. and we have
f/Jv,m ( m ) -- .,fiinie
1 o_ 1
- .,fiini. Thus we h ave
(8) limrpv ,.(m) =lim

v,!.O '
~=
v,I.O 'V 21r v
00.
For x ::f. m, we have

2
1 { lx - ml } 1 1
f{Jv,m(x) = ~exp - 2v = ~exp{'x-;:'2}
1 1 fiV 1
::S .,fiiiV lx-ml2 =
2v
Y-;; IX - m 12 '
and then
(9) limtllv ,.(x) = 0 for x ...J. m.

v,!.O.,.' r
Note that whereas ~~f{Jv,m(x) ::f. m according to (9), we do not necessarily

= 0 when x
have f{Jv,m (x) "- as v .1- 0. We show next that at x ::f. m, as v .1- 0, f{Jv,m (x) increases first and
then decreases, the critical value of v depending on x. Observe first that 'Pv,m (x) .j. as v .j. if
and only if j11 [f{)v,m(x)] :=::: 0 and f/)v,m(x) t as v.). if and only if j11 [qJv,m(x)] ::S 0. We have
2
d d [ 1 { lx- ml }]
d)qJv,m(x)] = dv .J2iV exp - 2v
= _1_[- !v-~exp{ _lx -ml2}

.J2iV 2 2v
2 2
_! {
+vzexp- lx-ml }{ - lx-ml }( -v-2)]
2v 2
2 2
1
=--exp 1 _3~+ lx -ml v _s]
{ - lx -ml }[ --v 1
.J2iV 2v 2 2
2
=--exp - 1 { lx -ml }1-v _3[lx -ml
1
2
-1 J.
.J2iV 2v 2 2v
Then we have
(10)
f/)v,m(X) ,!.. as V ,J. 0 ~ fv[rpv,m(X)) ::::: 0 ~ lx-;~ 12 - 1 ::::: 0 ~ ¥ ::: V
{ 2 2
lx-ml
f/)v,m ( X ) t d
as V ,J. 0 # dv ( )
[ f/)v,m X ) ::S 0 # 2v - 1 ::S 0 # lx-ml
2 ::S V.
We restate (10) as
12
qJv,m(X) t as V t 0 when V::::: lx-;"'
(11)
{ 12
qJv,m(X) ,J. as v ,!.. 0 when v ::S lx2"' •
+
This shows that as v 0, rp11 , 111 (x) increases until v reaches the critical value v = lx-2"'1
2
and then qJv,m (x) decreases.

Let 8 > 0 be arbitrarily given and let
D& = {x e IR: lx- ml :=::: 8} = {- oo,m- 8] U [m + 8, oo).
Let v e (0, ~] so that we have ~ :=::: 1. Then we have, according to (11),
lx - ml 2 82 lx - ml 2
(12) IX -ml > c5:::}
- 2v
> - > 1:::}
- 2v- 2
>
-
V
=> 'Pv,m(x),!.. as v E (o, ~]and v,!.. 0.

Let vs = ~· Then (12) implies
(13) qJ11,m(x) ,!.. as v E (0, V&] and v,!.. 0 for x E Ds.
In particular we have
(14) f/)v,m(X) :::: 'Pva,m(X) for v E (0, vs] for X E Ds.

Let B > 0 be a bound off on R. Then (14) implies
(15) IPv,m(x)lf(x)- f(m)l ::S 1Pv1,m(x)lf(x)- f(m)l ::S 2Bipv1 ,m(x)
for v E (0, va] for x E Da.
Now the dominating function 2Bq.~,1 ,m is 1.1.-L-integrable on JEt.. Then by Theorem 9.20
(Dominated Convergence Theorem), we have
1n Iim~Pv,m(X)If(x)-
(16) lim { IPv,m(X)If(x)- /(m)l J.L-L(dx) = { /(m)l J.L-L(dx)
v•O 1n 1 v•O
1
= { 0JA.-L(dx) = 0.
1n,
Next, continuity off at m E 1ft. implies that for every e > 0 there exists 8 > 0 such that
lf(x)- f(m) I < e for x E (m - 8, m + 8). Then we have
lim { IPv,m(X)If(x)- f(m)IJ.L-L(dx) ::::=lim { IPv,m(x)eJ.L-L(dx)

v•o 1cm-&,m+a) v•o 1cm-&,m+a)
::::lime r. IPv,m(X)J.L-L(dx)
,.o 1F
= e by (4).
(17) lim { IPv,m(x)lf(x)- f(m)l J.L-L(dx) = 0.

v•o 1cm-&,m+a)
Now we have 1ft. = Da U (m - 8, m + 8) and Da n (m - 8, m + 8) = 0. Thus we have
L IPv,m(x)lf(x)- /(m)l 1.1.-L(dx) = lm-&,m+a) IPv,m(x)lf(x)- /(m)l 1.1.-L(dx)
+{ IPv,,.(x)lf(x)- f(m)IJ.L-L(dx).
1cm-&,m+&)
Letting v ~ 0 on both sides of the last equality and then quoting (16) and (17), we obtain
lim { IPv,m(x)lf(x)- /(m)l 1.1.-L(dx) = 0.

,.o 1p
Prob. 9.50. Let f be an extended real-valued rot£ -measurable function on (0, oo) defined
by
f(x) = 1" log( I -
1 2 e-") for x E (0, oo).
Show that f is il-L -integrable on (0, oo) and estimate the integral fco,oo) f dil-L·
Proof. 1. Consider the function

1
(1) f(x) = - - 1og(l -e-x) for x E (0, oo).
l+x 2
Observe that
t1x2 E (0, 1) for x E (0, oo).
e-x E (0, 1) for x E (0, oo).
1 - e-x E (0, 1) for x E (0, oo).
log(l - e-x) < 0 for x E (0, oo).
log(l - e-x) < 0 .j.. -oo as x .j.. 0
and then
1
(2) f(x) = - - log(l -e-x) < 0 for x E (0, oo).
l+x2
Then (2) implies that- f > 0 on (0, oo). Thus f(o,oo)(- f)d11-L exists in [0, oo] and
then fco,oo) f d11-L exists in [-oo, 0]. It remains to show that fin ILL-integrable on (0, oo),
that is, it remains to show i(o,oo) f dil-L E JR.
Now f is ILL -integrable if and only if If I is ILL -integrable. Since If I is nonnegative
00
valued, existence of the improper Riemann integral / 0 lf(x)l dx would imply the equal-
ity .fo
00
lf(x)l dx = fco,oo) I!I dil-L· We show below that the improper Riemann integral
00
/ 0 If (x) Idx exists as a finite real number. First of all let us write
lot lf(x)l dx + 1 lf(x) Idx .

00
fooo lf(x)l dx =
2. Consider the improper Riemann integral
(3)
where the last equality is from the fact that log( I - e-x) < 0 for all x E (0, 1).
Let us estimate the improper Riemann integral in the last member of (3). To start with,
we have
and then
1 > 1 -e-x > x(l - x) for x E (0, 1].
Taking the logarithm we have
0 > log(l - e-") > logx(l - x) = logx + log(l - x).
This implies
(4) 0 ~ 1
1
log(l- e-") dx ~ fo
1
log x dx +
1
fo log(l - x) dx.
Now we have
(S) {
lo
1
logx dx = lim
&.J.O
1
a
1
logx dx =lim [x logx - x]
a.).o
1
&
=lim {- 1- 8log8- 8} = -1 -lim(8log8)

&.j.O &.j.O
. log 8 . a-1 ' . '
= -1 - lim - 1 = -1 - lim - - by 1 HOspttal s Rule
a.j.o &- a.j.o -a-z
= -1.
Similarly we have by a change of variable: y = 1 - x,
0
(6) fo\og(1- x) dx =- [ logydy = fo\ogy dy = -1.
(7)
(8) 1 1
lf(x)l dx ::S 2.
Next consider the improper Riemann integral
00 1/(x)l dx = [00 - 1
(9) [1 1
-
1 +x2
llog(l- e-x)l dx
~ llog(1- e- 1)1
00
1
1 [ -
1 +x 2
dx
a 1
= IIog(l- e- 1)llim [ - -2 dx
a--..oo 1 1 +x
= llog(l - e- 1) I lim [ arctanx]a
a--..oo 1
1
= IIog(l- e- )l{i- i}
= illog(l- e-1>1·
3. By (8) and (9) we have
(10) 1 00
lf(x)ldx = 1 1
1/(x)ldx + [oo lf(x)ldx
~ 2 + ~llog(l- e- 1)1.
This implies
(11) ( Ill diLL = roo 1/(x)l dx ~ 2 + ~41Iog(l - e- 1) I < 00.

J(o,oo) Jo
This shows that Ill is ILL -integrable on (0, oo) and thus f is ILL -integrable on (0, oo), that
is,
r
J(O,oo)
/diLLE ~.
Moreover we have the estimate:
(Observe that since f < 0 on (0, oo) we actually have ll(o,oo) f diLL I= f(O,oo) 1/1 diLL·)
Prob. 9.51. Let f be a real valued function on ~ defined by

f(x) = { Jx forx e (0, 1)
0 forx e ~ \ (0, 1) .
Let (rn : n E N) be an arbitrary enumeration of the rational numbers in ~ . For every n E N
define a function Kn on ~ by setting
Kn(x) = f(x- Tn) for X e ~.
and then define a function g on JR by setting
g(x) = Lnefl 2-ngn(X) for X E JR.
(a) Show that f is ILL -integrable on JR.
(b) Show that g is ILL -integrable on JR.
(c) Show that g has the following properties:
1° g < ooa.e.onK
2° lim g(x) = oo for every n E N.
x.j.rn
3° g is unbounded on any interval in JR.
4 o g is discontinuous at every x e JR.
(d) Show that g 2 < oo a.e. on IR but f 1 g 2 diLL = oo for every interval I in JR.
Proof. (a) Non-negativity of f implies that fi~ f diLL is equal to the improper Riemann
integral J::
f (x) dx provided that the latter exists. Now we have
~ dx = lim ~ dx = lim [2-Jx]

1 1
roo f (x) dx = {
Joo Jo vx 8.j.O
{
Js vx 8.j.O
1
8
= 2.
This shows that fr~ f diLL = 2.
(b) Let us show that g is ILL -integrable on JR. By Theorem 9.31 (Translation Invariance
of the Lebesgue Integral on JR) we have
L Kn(X) ILL(dx) = L f(x- rn) ILL(dx) = Lf(x) ILL(dx) = 2 .
Then applying Theorem 8.5 (Monotone Convergence Theorem) we have
L g(x) ILL(dx) = L{~ 2~gn(X)} ILL(dx)
= L 2~ ign(X)ILL(dx) = L ;n2 = 2.
neH L neH
This proves the ILL -integrability of g on JR.

(c) 1°. ILL -integrability of g on IR implies that g < oo a.e. on lit.
2°. Observe that we have lim f(x) = oo. Then we have
x.j.O
lim Kn(x) = lim f(x- rn) =lim f(y) = oo.

x.j.rn x.j.rn y.j.O
Then Kn ~ g on ~ implies that lim Kn(x) ~lim g(x) and thus lim g(x) = oo.
x.j.rn x.j.rn x.J.rn
3°. Let us show that g is unbounded on any interval (a, fJ) in ~ . Since the set of
all rational numbers is dense in ~ . there exists n e N such that r11 e (a, fJ). Then since
lim g(x) = oo, g is not bounded on (a, fJ).
x,j.TA
4 o. To show that g is discontinuous at every x e ~ . let us assume the contrary, that is,
let us assume that g is continuous at some xo e ~. Then for every e > 0 there exists ll > 0
such that lg(x)- g(xo)l < e for x e (xo- 8, xo + ll), that is,
g(xo) - e < g(x) < g(xo) + e for x e (xo -ll, xo + ll).
This contradicts property 3° that g is unbounded on any interval (a, fJ) in JR..
(d) We have g < oo a.e. on IR:. This implies that g 2 < oo ae. on JR.. Let us show that
f 2 2 2
1 g dJJ-L = oo for every interval/ in IR:. Since g 2:: 0, the integral of g increases when
the domain of integration increases. Note also that every interval in IR: contains an open
f
interval. Thus it suffices to show that 1 g 2 dJJ-L = oo for every open interval J in JR..
Let (a, fJ) be an arbitrary open interval in IR:. Let us show that there exists n e N such
that fc.a.{J) g~ d!J-L = 00.
Let n E N be such that r11 E (a, fJ) and consider the function g 11 (x) = f(x - r11 ) for
x e IR:. Since f(x) = 0 for x e IR: \ (0, 1), g 11 (x) = f(x- r11 ) = 0 for x e IR: \ (r11 , r, + 1).
Then we have
=log {(r11 + 1) 1\ fJ- r11 } -lim log {ll- r11 }

&,j,rn
=log {(r, + 1) A fJ- r,}- {-oo}.

Now if (r11 + 1) A fJ = r, + 1 then we have
log { (r11 + 1) A fJ - r 11 } =log {r, +1- r 11 } = log 1 = 0.
On the other hand, if (r11 + 1) A fJ = fJ > r,. then we have
log {(r,. + 1) A fJ - r,} =log {fJ- r,.} e !Ft .

Thus we have log {(r, + 1) A fJ - r 11 } := y E !Ft. Substituting this in (1), we have
(2) { g;(x) JJ-L(dx) = y- {-oo} = oo.

lca,fJ)
Prob. 9.52. Let an,lc ~ 0 for n, k E N. For a, fJ E IR, write a A fJ for min{a, {J}.
(a) Show that
1
(1) lim "
n-+oo ~ 2/c(flnlc' A 1) =0# lim anlc
n-+oo '
= 0, Vk EN.
/cen
(b) Show that
1
(2) lim " /c an,lc = 0# lim anlc = 0, Vk EN.
n-+oo ~ 2 1 + an k n-+oo '
/cei'l ,
Proof. 1. Let us prove (1). Since all the summands in (1) are nonnegative we have
1
lim" /c(anlc A 1) = 0::::} lim _!_k(anlc A 1) = 0, Vk EN
n-+oo ~
2 ' n-+oo 2 '
/ceH
::::} lim (an 1c A 1) = 0, Vk E N

n.....,..oo '
::::} lim an 1c = 0, Vk E N.
11~00 '
lim an,1c = 0 for every k E N. Consider (IR, VRL, ILL).

Conversely suppose we have PJ......,OO
Let/= [0, 1) E VJIL. Decompose/intocountablymanydisjointsubintervals{h: kEN}
where h is defined by setting
/c-l 1 1c 1
I~c = [ L 2i, L 2i) fork E N,
j=l j=l
with the convention that I:~=l -iJ = 0. Note that 1-'L (fA:) = ~ for every k E N. For each
n E N let us define a function fn on I by setting
fn(x) = (an,k A 1) for x E h for every kEN.
Consider the sequence of functions <fn : n E N) on I. Observe that our assumption
lim an 1c = 0 for every k E N implies lim (an 1c A 1) = 0 for every k E N. Thus we have
n...,.oo ' n--+-00 '
lim /n(X) = lim (anlc A 1) = 0 forx E h.

n-+oo n-+oo '
Since I = U~cerr l~c, every x E I is in l1c for some k E N. Thus the last equality implies
lim fn(X) = 0 for every x E /.
n-+oo
Now we have Ifni ~ 1 on I for every n E N and the constant function 1 on I is

ILL -integrable on/. Thus by Theorem 9.20 (Dominated Convergence Theorem) we have
lim { fn(X)IJ-L(dx)= {lim fn(X)ILL(dx)= { OILL(dx)=O.

n-+oo}I }I n-+oo }1
On the other hand for the step function fn we have
1 I
fn(X)/LL(d::c) = L(an,lc A 1)JLL(h)
lceF
= L(an,lc A
/cel T
1);
1.
Thus we have
. 1
lim
11-+00~2..
"-dant, A 1) = 0.
kEl''
This completes the proof of (1).
l. Let us prove (2). Since all the summands in (1) are nonnegative we have
(3) lim "_!__ Cln,t = 0;;;;;} lim l Cln,k = 0, Vk EN

n-+oo ~ 21 1 + a,. 1 n-+oo 21 1 + a 11 k
tel'' ' '
=} lim a,.,k = 0, Vk E ""

~~.
n-+oo 1 + a 11 ,t
Let us show lim a,. k = 0 for every k E W. Now if Cln,k = 0 for all but finitely
11-+00 •
many n E W then we have lim a,. t = 0. It remains to consider the case that a,. k
ft...,.OO ' '
=f. 0
for infinitely many n E W. Existence or non-existence of a11 ,t = 0 is irrelevant to having
lim a,.,1 = 0. Thus we drop every a,.'t = 0 from the sequence (a,.' k : n E W) and write
n~oo
(a11,k : n E N) for the resulting sequence. Then we have a 11,k > 0 for every n E W. Then
we have
1 1
(4) lim all,lc = 0;;;;;} lim + Cln,k = oo;;;;;} lim {-- + 1} = oo
11-+00 1 + an,k 11-+00 an,k 11-+00 a,.,k
=} lim -
1 = oo =} lim a ,Jc = 0.
11
n-+oo a,.,k n-+oo
1
lim " /c Cln,t = 0;;;;;} lim a11 1c = 0, Vk E W.
11-+oo ~ 2 1 + a,. 1 11-+oo '
/cef:' ,
The converse is proved by the same argument as for proving (1). 1

Prob. 9.53. Prove the following:

Theorem. (Dominated Convergence Theorem with Index Set IR:) Given a measure space
(X,~(, fJ.). Let D E Ql and (a, {3) c IR:. For every 1 E [a, {3], let ft be an extended
real-valued 2l-measurable function on D. Let~ E [a, {3]. Suppose that
1o lim ft(x) = /l{)(x) a.e. on D;
t-+1{)
2° there exists a fJ.-integrable nonnegative extended real-valued ~(-measurable function g
on D such that lft(x)l S g(x) for all (x, I) ED x [a, {3].
Then ft is fJ.-integrable on D for every t E [a, {3] and moreover we have
(1) lim
t-+1{)
fv fr(x) fJ.(dx) = fv /l{)(x) fJ.(dx).
(Observe that for the particular case (a, {3) = IR: = ( -oo, oo) we have [a, {3] = [ -oo, oo].)
Proof. IL-integrability of ft follows from the fact that Ift I S g on D and g is fJ.-integrable
on D.
To prove (1) we quote the following statement.
Proposition. Let g be a real-valued function on [a, {3] and let~ E [a, {3]. Then
(2) lim g(t)

t-+1{)
= ~ E IR:
<:? lim g(ln) = ~.
n~oc
V (In : n E N) C [a, {3] such that In '#to and ,.....,.oo
lim In = 1[).
Then, to prove (1), it suffices to show that for every sequence (tn : n E N) in [a, {3] such
that In '# ~ and lim In = to, we have
n-+oo
(3)
But Theorem 9.20 (Dominated Convergence Theorem) implies (3). 1

Prob. 9.54. Prove the following:

Proposition. Consider the measure space (IR:., mL, ILL). Let D E 9JlL and (a , {J) c IR:..
For every t E [a, {J]' let It be a real-valued mL -measurable function on D; Suppose that
1a for every x e D, f 1 (x) is a continuous function oft e [a, {J];
2° there exists aIL L -integrable nonnegative extended real-valued 9J1L -measurable function
g on D such that lft(x)l ::::; g(x) for all (x, I) E D x [a, {J].
Let us define a function I on [a, {J] by setting I(t) = fv ft(x) ILL(dx) fort e [a, {J]. Then
I is real-valued and continuous on [a, {J].
(Observethatfortheparticularcase (a, {J) = IR:. = (-oo, oo) we have [a, {J] = [ -oo, oo].)
Proof. The fact that l/1 1::::; g and g is ILL -integrable on D implies that ft is ILL -integrable on
D. Thus we have I(t) = fv ft(x) ILL (dx) e IR:. for every t e [a, {J] and thus I is real-valued
on [a, {J].
To show that I is continuous on [a, {J], we show that I is continuous at every toe [a, {J].
Let to E [a, {J]. According to 1a, for every x E D, f 1(x) is a continuous function of
t e [a, {J]. Then in particular continuity of ft(x) at to implies that we have
lim ft(x) = /ro(x) for every x E D.

t-+to
This shows that condition 1o in Prob. 9.53 is satisfied. Then by ( 1) of Prob. 9.52 we have
lim r ft(X)ILL(dx) = lvr fto(X)ILL(dx),

~-+to lv
that is, we have lim I(t) = I (to) . This proves the continuity of I at to. 1
t->to
§10 Signed Measures

Prob. 10.1. Let (X, 2l, /L) be a measure space and let A E 2l. Let f be an extended
real-valued 2l-measurable function on A. Let Ao c A and Ao e 2l. Prove the following
statements regarding the existence of fA f d/L and JAo f d/L in R:
(a) fA f dJL E R ::::} fAo f dJL E lfi.

(b) fAf dJL E JR ::::} jAo f dJL E JR.
(c) fA fdiL = 00 ::::} fAo f d/L =I= -00.
(d) fAfdiL = -oo ::::} fAo f d/L =I= 00.
(e) fA f dl-£ E ( -oo, oo] ::::} fAo f dl-£ E (-oo, oo].
(f) fA f d!L E [ -00, 00) ::::} fAo f d!L E [-00, 00).
Proot 1. Let us prove (a). Existence of fA f d!L in ITi implies that at least one of the two
integrals fA J+ d/L and fA!- d/L is finite. Now Ao c A implies
0 :::-; lAo f+ dJL :::-; it+ dJL and 0 :::-; lAo r dJL :::-; i f - dJL.
Thus at least one of the two integrals f Ao f + d JL and f Ao f- d JL is finite. This implies that
f Ao f d/L exists.
2. Let us prove (b). The assumption fA f d!L E JR implies that fA J+ d!L E [0, oo) and
fAr d/L E [0, 00). ThesethenimplythatfAo j+d/L E [0, 00) andfAo f- d/L E [0, 00).
ThenfAo f d/L E JR = fAo J+ d/L- fAo f- d/L E JR.
3. Let us prove (c). The assumption fA f d/L = oo implies that fA J+ d/L = oo and
fA f- d/L E [0, oo). The latter of the two implies that fAo f- d/L E [0, oo). Then we have
fAo f d/L = fAo J+ d/L- fAo f- d/L =I= -00.
4. Let us prove (d). The assumption fA f d!L = -oo implies that fAt+ d!L E [0, oo)
and fA f- d/L = oo. The former of the two implies that f Ao J+ d/L E [0, oo). Then we
have fAo f d!L = fAo J+ d!L- fAo f- d!L =I= oo.
5, Let us prove (e). Assume that fA f d 11- E ( -oo, oo]. Then we have either fA f d 11- E
R or fA f dJL = oo. Jf fA f dJL E R then fAo f dJL E R by (b). Jf fA f dJL = oo then
fAo f dJL =I= -oo by (c). Thus fAo f dJL E (-oo, oo].
6. (f) is proved by the same argument as for (e) above. This completes the proof. 1
§ 10 Signed Measures 267
Prob. 10.2. Let (X,~(, J..) be a signed measure space. Let f be an extended real-valued
2!-measurable function on a set A e 2!. Let Ao e 2t and Ao c A.
J
(a) Show that if fA f dJ.. exists in iR, then so does Ao f dJ...
J,.,
(b) Show that if f d).. exists in R, then so does Ao f d)... J
Proof. 1. Let ).. = ).. + - ).. - be the Jordan decomposition of J... According to Definition
10.32, we define
i f d).. = i f dJ.. + - i f dJ..-'
provided that fA f d)..+, fA f d)..- and fA f d)..+- fA f dJ..- exists in lit

2. Let us prove (a). Assume that fA f d).. exists in iR. Then fA f d)..+, fA f d)..- and
fA f d)..+- fA f d)..- exist in iR. Existence of fA f dJ..+-fA f d)..- in iR implies that we
have either
(1) i f dJ..+ e (-oo, oo] and i f dJ..- e [-oo, oo),
or
(2) i f d)..+ e [-oo, oo) and L f d)..- e (-oo, oo].
J
Consider case (1). In this case fA f dJ..+ e ( -oo, oo] implies Ao f d)..+ e ( -oo, oo]
and fA f dJ..- e [-oo, oo) implies JAn
f dJ..- e [-oo, oo) according to Prob. 10.1. Thus
JAn f dJ..+ - JAn f dJ..- exists in iR and then JAn f d).. exists in iR.
For case (2) we show the existence of JAn
f dJ.. in iR by the same argument as for case
(1). This completes the proof of (a).
3. Let us prove (b). If fA f d).. exists in R then certainly fA f dJ.. exists in iR. Thus
fA f d).. is defined by setting
i f d)..= i f d)..+ - i f d)..-.
Then fA f d).. e R implies that fA f dJ..+ e R and fA f d)..- e R . Then Prob. 10.1 implies
thatf~ jd)..+ E R andJAo f dJ..- E R . Thus JAn
f dJ..+- JAo
f dJ..- exists in R and then
by Definition 10.32 we have
JAn fdJ.. = JAo fdJ..+- JAn fdJ..- E R .

This completes the proof of (b). 1
Prob. 10.3. Given a measure space (X, Q(, p,) . Let f be a JL semi-integrable extended
real-valued 2!-measurable function on X. Define a signed measure>.. on (X, Ql) by setting
>..(E)= fE f dp, forE E Ql.
(a) Find a Hahn decomposition of (X, Ill,>..) in terms of f .
(b) Find a Jordan decomposition of A. in terms of f.
(c) Find the total variation I:A. I of :A. in terms of f.
Proof. The set function :A. on Q( defined by setting :A.(E) = JE f d~J, forE E Q( is a signed
measure on (X, Ql) according to Proposition 10.3.
1. By Definition 10.13, a Hahn decomposition of the signed measure space (X, Ql, :A.)
is a pair {A, B} of 2!-measurable subsets of X such that An B = !i!l, AU B = X, A is a
positive set and B is a negative set of (X, 2(, :A.). To find such sets A and B, let us define
(1) A= {x EX: f(x) ~ 0} and B = {x EX: f(x) < 0}.
Then we have A, B E Ill, An B = !i!l and AU B = X. It remains to show that A is a positive
set and B is a negative set in the signed measure space (X, Q(, :A.).
f
Let Ao c A and Ao E Ill. Then we have :A.(Ao) = Ao f dp, ~ 0. This shows that A is
a positive set in the signed measure space (X, Q(, :A.). Similarly for Bo c B and Bo E Q(,
we have J..(Bo) = fBo f dp, c:; 0. This shows that B is a negative set in the signed measure
space (X, 2!, >..). This completes the proof that the pair {A, B} as defined by (1) is a Hahn
decomposition of (X, Ill,>..).
2. By Definition 10.17, a Jordan decomposition of the signed measure :A. is a pair
{>..+,>..-}of positive measures on (X, 2!) such that>..+ l_ >..- and>.. = >..+- >..-. To find
such measures A+ and :A.-, let us define two set functions :A.+ and >..- on 2t by setting, with
the two sets A and B defined by (1),
(2) A.+(E) = A.(E n A) = { f d~J, forE E 2!.

lEnA
(3) :A.-(E) =->..(En B)=- { fd~J- forE E Ql.
lEnB
It is easily verified that>..+ and A.- as defined above are measures on (X, Ill). Observe also
that for every E E Q( we have
:A.+(E)-:A.-(E)= { fd~J-+ { fd~J-= { fdp,= { fd~J-=:A.(E).

lEnA JEnB JEnX }E
This shows that >.. = >..+ - >..-.
It remains to show that A+ l_ :A.-. Recall that A, B E Ill, A n B = !i!l and A U B = X.
Then we have')..+(B) = :A.(B n A) = >..(!i!l) = 0 and :A. -(A) = -:A.(A n B) = -:A.(!i!l) = 0.
This shows that :A.+ l_ :A.-. This completes the proof that the pair {>..+, >..-} defined by (2)
and (3) is a Jordan decomposition of>...
3. By Definition 10.22, we have I:A. I = :A.+ + :A.-. Thus for every E E Q( we have
I:A.I(E) =J..+(E)+:A.-(E) = { fd~J,- { fd~J-

lEnA lEnB
= { 1/1 d~J, + { 1/1 dp, = { 1/1 d~J,.
lEnA lEnB lE
This gives an expression of I :A. I in terms of f. 1
Prob. 10.4. Let (X, 2£, :A.) be a signed measure space and let {:A.+, :A.-} be a Jordan decom-
position of :A.. Let E E Ql. Prove the following statements:
:;..+(E)= sup{A.(Eo): Eo C E, Eo E 2£}.
:A. -(E) =- inf {.A.(Eo) :Eo C E, Eo E Ql}.
Proof. Let{A, B} beaHahndecompositionof(X, Q(,.A.). According to Theorem 10.21 we

have
).+(E)= .A.(E n A) forE E 2£.
). -(E)= -.A.(E n B) forE E 2£.
Then for E E 2£, we have
(1) ).+(E)= .A.(E n A) ~sup {.A.(Eo) :Eo C E, Eo E 111}.

Conversely for Eo c E such that Eo E Ql, we have
and then
(2) sup{.\.(Eo): Eo C E, Eo E 2t} ~.\.+(E).
(3) :A.+(E)= sup {.\.(Eo): Eo C E, Eo E 21}.
Next observe that ). - = (-:A.)+. Then we have
(4) .\.-(E)= (-.\.)+(E)= sup {(-.\.)(Eo) :Eo C E, Eo E 2l} by (3)
= -inf {:A.(Eo): Eo C E, Eo E 2l}.

Prob. 10.5. Let (X, '1l, A) be a signed measure space. Prove the following statements
regarding the infinity of the signed measure A:
(a) If there exists E E '}(such that A(E) = oo then J..(X) = oo.
(b) If there exists E E '}(such that A(E) = -oo then A(X) = -oo.
Proof. I. Letusprove(a). SupposethereexistsE E '}(suchthatA(E) = oo. ByDefinition

10.1, a signed measure A can assume at most one of the two infinite values oo and -oo.
This implies that A(Ec) E ( -oo, oo]. Then we have A(X) = A(E) + A(Ec) = oo.
2. (b) is proved similarly. 1
Prob.10.6. Given a signed measure space (X, 2l, J..).

(a) Show that if E E m and A(E) > 0, then there exists a subset Eo of E which is a positive
set for A with J..(Eo) ~ A(E).
(a) Show that if E E '}(and A( E) < 0, then there exists a subset Eo of E which is a negative
set for A with A(Eo) ~ A(E).
Proof. 1. Let us prove (a). Let {A, B} be a Hahn decomposition for (X, 21, A). Then A
is a positive set and B is a negative set in (X, 2!, A). Suppose E E 2( and A(E) > 0. Let
Eo = An E. Being a 2l-measurable subset of a positive set A, Eo is a positive set by
Observation 10.10. Let us show A(Eo) ~ J..(E). Now by the finite additivity of A on 2( we
have
(1) J..(E) = A(A n E)+ J..(B n E) = J..(Eo) + J..(B n E).
Now B nE, being a 2l-measurable subset of a positive set B, is a negative set by Observation
10.10. Thus A(B n E) ~ 0 . This and (1) imply that A(E) ~ A(Eo).
2. (b) is proved by the same argument. 1
Prob. 10.7. Let (X, Q(, A.) be a signed measure space. Prove the following statements:
(a) Let A be a positive set for A.. If Ac is a negative set, then A is a maximal positive set.
(b) If A is a maximal positive set for A., then Ac is a negative set for A..
(c) Let A be a positive set for A.. Then A is a maximal positive set if and only if Ac is
a negative set for A..
(a') Let B be a negative set for A.. If Be is a positive set, then B is a maximal negative set.
(b') If B is a maximal negative set for A., then Be is a positive set for A..
(c') Let B be a negative set for A.. Then B is a maximal negative set if and only if Be is
a positive set for A..
(d) A set A is a maximal positive set for A. if and only if Ac is a maximal negative set for A..
(d') A set B is a maximal negative set for A. if and only if Be is a maximal positive set for A..
Proof. 1. Let us prove (a). Let A be a positive set for A. and suppose Ac is a negative set for
A.. To show that A is a maximal positive set, we show that for an arbitrary positive set A' the
set A' \A is a null set for A according to Definition 10.12. Now A' \A = A' n Ac, which is
a Q(-measurable subset of the positive set A' and is thus a positive set On the other hand,
A' n Ac is a Q(-measurable subset of the negative set Ac and is thus a negative set Then
A' \ A is both a positive set and a negative set and is therefore a null set.
l. Let us prove (b). Let A be a maximal positive set for A. Let us show that Ac is
a negative set for A.. Suppose Ac is not a negative set. Then there exists a 2t-measurable
subset E of Ac such thatA(E) > 0. Then by Prob. 10.6, there exists a subset Eo of E which
is a positive set and having A.(Eo) ~ A.(E). Then since A is a maximal positive set and Eo
is a positive set, the set Eo\ A is a null set according to Definition 10.12. But Eo c Ac is
disjoint from A. Thus Eo \ A = Eo and A.(Eo \ A} = A(Eo) ~ A.(E) > 0. This contradicts
the fact that Eo \ A is a null set. Therefore Ac must be a negative set.
3. (c) follows from (a) and (b).
4. (a'), (b') and (c') are proved in the same way as (a), (b) and (c) respectively.
5. Let us prove (d). Suppose A is a maximal positive set for A.. Then Ac is a negative
set according to (b). Now Ac is a negative set and (Ac)c =A is a positive set. Then by (a'),
Ac is a maximal negative set.
Conversely suppose Ac is a maximal negative set. Then (Ac)c = A is a positive set
according to (b'). Now A is a positive set and Ac is a negative set. Then by (a), A is a
maximal positive set.
6. (d') is proved in the same way as (d). 1
Prob.10.8. Consider the measure space (X, Ql, IL) = ([0, :br], VRL n [0, 2rr], ILL). Define
asignedmeasurel. on ([0, :br], mL n[O, :br]) by settingl.(E) = JE
sinx ILL (dx) for every
E E VRL n [O, 21r ].
(a) Let C = [trr, ~rr]. Show that Cis a negative set for l..
(b) Show that Cis not a maximal negative set for l..
(c) Let e > 0 be arbitrarily given. Find a !JR~. n [0, 2rr]-measurable subset C' of C such
that l.(C') ~A.(C) and l.(E) > -E for every VRL n [0, 2rr]-measurable subset E of C'.
Proof. 1. Let us prove (a). Let us show first that [rr, 2rr] is a negative set for l.. Let
E be an arbitrary VRL n [0, 2rr]-measurable subset of [rr, :br]. Then we have A(E) =
JE sinx ILL(dx) :::;: 0 since sinx :::;: 0 for x E E C [rr, :br]. This shows that [rr, :br] is a
negative set for A. Then C, being a VRL n [0, 2rr]-measurable subset of the negative set
[rr, :br], is a negative set.
2. Let us prove (b). We are to show that C is not a maximal negative set for A. Assume
that Cis a maximal negative set. Then by (b') ofProb. 10.7, cc is a positive set for A. This
implies that every VRL n [0, 21r]-measurable subset of cc is a positive set. Now we have
JE
cc = [0, ~rr) U (~n, 2rr] and forE := Grr, 21r] we have l.(E) = sinx ILL(dx) < 0
and thus E is not a positive set. This is a contradiction. Therefore C cannot be a maximal
negative set.
3. Let us prove (c). Let e > 0 be arbitrarily given. Let C' be an interval contained inC
and having ILL(C') :::;: ~- Since sinx :::;: 0 for x E [rr, 2rr], we have
A(C') = £ sinx ILL (dx) ~ fc sinx ILL (dx) = A(C).
Let E be an arbitrary VRL n [0, 2rr]-measurable subset of of C'. Then we have
A(E) = Lsinx~LL(dx) ~ (-1)1LL(E) sincesinx ~ -1

~ ' ~ (-1) · 2
(-1)1LL(C) e >-E.

Prob. 10.9. Given a signed measure space (X, 'Jl, A.). ForE E 'Jl, let
aE =sup n=~=liA.(E.t)l: {E1, ... , En} C Q(, disjoint, U~=l E.t = E,n EN},
and
fJE =sup { LneF IA.(En)l :{En : n EN} C 'J(, disjoint, Une!ol E" = E}.
Observe that lA. I (E) = aE according to Proposition 10.23. Show that aE = fh.
Proof. A decomposition of E into a finite disjoint collection {E 1. ... , En} in 'J( is a particular
case of decomposing E into a countable disjoint collection {En : n E N} in 2l by treating
{E1, .. . , En} as {E1, .. . , En,flJ, flJ,flJ, ••• }. This impliesthataE::::: fJE.Itremainstoprove
aE ~ f3E·
1. If there exists a countable decomposition {En : n E N} such that L"ef! IA.(En) I = oo
then /3E = 00. Let M > 0 be arbitrarily given. Since LneF! lA.( En) I = 00, there exists
N E N such that I::._ 1 I.A.(En)l ~ M. Let Eo= U">N En. Then {Et. ... , EN, Eo} is a
finite decomposition of E and we have
N N
L I).(E.t)l = I).(Eo)l +L I.A.(E.t)l ~ M.
k=O k=l
ThisimpliesthataE ~ M. Sincethisholdsforanarbitrary M > 0, wehaveaE = oo = fJE·

2. Consider the case that for every countable decomposition {En : n E N} of Ewe
have LnefJ I.A.(E")I < oo. Let E > 0 be arbitrarily given. LPJefl I.A.(En)l < oo, there
exists N E N such that I::=li.A.(En)l > LneH I.A.(En)l- E. Let Eo= UPJ>N En. Then
{E1, ... , EN, Eo} is a finite decomposition of E and we have
N N
L I.A.(Ek)l = I.A.(Eo)l + L I.A.(E.t)l > L I.A.(En)l- E.
k=O k=l nEt''!
Thus we have shown that for every countable decomposition {En : n E N} of E such that
LneF! I.A.( En) I < 00, there exists a finite decomposition {Et. ... , EN, Eo} such that
N
L I.A.(E") I - E< L IA.(E.t) I ::::: aE,
nEH k=O
and then
L I.A.(En)l < aE +E.
neF
Then we have
fJE = sup { L I.A.(En)l : {En : n E N} C 21, disjoint, U En = E} ::::: aE +E.

neF neH
Since this holds for every E > 0, we have f3 E ::::: a E . This completes the proof. 1
Prob.10.10. Let p, and v be two positive measures on a measurable space (X, ~l). Suppose
p, l_ v. Show that if pis a positive measure on (X, 2t) and if pis nontrivial in the sense
that p(X) > 0, then (JL + p) l_ (v + p) does not hold.
Proof. Suppose (p,+p) j_ (v+p) holds. ThenthereexistCl' c2 E 2( such thatCl nc2 = 0,
C1 U C2 =X, C1 is a null setforv + p and C2 is a null setfori.L + p.
The fact that Ct is a null set for v + p implies that (v + p)(CJ) = 0. Then the fact that
both v and pare positive measures implies that v(C1) = 0 and p(C1) = 0.
Similarly the fact that C2 is a null set for JL + p implies that (JL + p) (C2) = 0. Then the
fact that both p, and pare positive measures implies that 1.1.CC2) = 0 and p(C2) = 0.
Thus we have p(Ct) = 0 and p(C2) = 0. Then we have p(X) = p(CJ) + p(C2) = 0.
This contradicts the assumption that p(X) > 0. This shows that (JL + p) l_ (v + p) cannot
hold. 1
Prob. 10.11. Let I.L and v be two positive measures on a measurable space (X, 2t). Suppose
for every B > 0, there exists E E Q( such that I.L(E) 0 there exists E E 2( such that I.L(E) < B and v(Ec) < B.
Then for every n E N there exists E 11 E ~l such that
1 1
1.LCE11) < - 11 and v(Ec)
11
< -11.
2 2
Now we have L 11eH JL(E11 ) ~ L 11err f., < oo and this implies according to Theorem 6.6
(Borel-Cantelli Lemma) that
(1) 1.L(limsupE11) = 0.
11-+00
Similarly we have L 11ef! v(E~) ~ LneH f., < oo and this implies that
(2) v(IimsupE~) = 0.
n-+oo
Let A = lim sup E 11 and let B = Ac. Then we have I.L(A) = 0 by (1). As forB we have
11-->00
B = Ac = (IimsupE11
n~oo
t = liminf E~ C IimsupE~,
11~ 00 n.....,.oo
and then
v(B) ~ v(limsupE~) =0 by(2),
11-+00
so that we have v(B) = 0. Thus we have A, B E 2t, A n B = 0, A U B = X, p,(A) = 0,
and v(B) = 0. This shows that I.L l_ v . 1
Prob.lO.ll. Let (X, m, J.£) be au-finitemeasure space andletf be a nonnegative extended

real-valued m-measurable function on X such that f < oo, 11--a.e. on X. Let>.. be a
measure on (X, 2l) defined by >..(A) = fA f dl-£ for A E 2l. Show that>.. is a a-finite
measure on (X, m), that is, there exists an increasing sequence (G,. : n E N) in m such that
UnelJ G,. = X and p,(G,.) < oo for every n E N.
Proof. Let f be a nonnegative extended real-valued m-measurable function on X such that

f < oo, 11--a.e. on X. Let fo be defined by
f(x) if f(x) < oo,

fo(x) = { 0 if f(x) = oo.
Then fo is a nonnegative real-valued m-measurable function on X and f = fo, 11--a.e. on

X. Thus we have
(1) J..(A) = i f d11- =i Jodi-£ for A Em.
Since (X, ~l. J.£) isau-:finitemeasurespace, there exists an increasing sequence (E,. : n EN)
in~( such that UneH E,. = X and p,(E11) < oo for every n E N. For n E N, let us define
F,. = {x EX: fo(x) E [0, n]}.
Then (F,. : n e N) is an increasing sequence in m and since fo < oo on X we have

Uneu F,. = X. Let G,. = E,. n F,. for n E N. Then since (E,. : n E N) and (F,. : n e N)
are increasing sequences in ~(, (G,. : n E N) is an increasing sequence in ~l. Moreover we
have Unel'' G,. = X. This can be shown as follows. Let x E X be arbitrarily chosen. Since
UnefJ E,. =X and Une\'.1 F,. =X, there existn1,n2 E N such thatx E E 111 andx E F112 •
Let no = max{n1. n2}. Since (E11 : n E N) is an increasing sequence, x E E 111 implies
x e E 110 • Similarly since (/11 : n e N) is an increasing sequence, x e F112 implies x E F110 •
Thus x e E 110 n F110 = G 110 • This shows that for an arbitrary x e X we have x e G,. for
some n E N. Therefore we have UneF G,. =X.
Now (G,. : n EN) is an increasing sequence in 21 and Unel•i G,. =X. Then (to. : n E
N) is an increasing sequence of nonnegative real-valued 21-measurable functions on X and
lim lo. = lx on X. Then by (1) and by the Monotone Convergence Theorem, we have
11-+00
(2) >..(A)=
jfA Jodi-£= jfA folxdJL= jfA fo{ n-+oo
lim lo.}dl-£= lim f folo.dJL .
n-+oo j A
Now let no E N be arbitrarily chosen. Then by (2) we have
>..(G110 ) = lim f folo. dJL = lim f folo.lono dJL

n-+00 lo"' n-+00 lo"'
= { folono dJL :::; nw(G110 ) :::; noJL(E110 ) < oo.

lono
This shows that JL(G,.) < oo for every n e N. 1

Prob.10.13. Let (X, Ql, /L) beau-finite measure space and let f be an extended real-valued
2t-measurable function on X such that If I < oo, 1-£-a.e. on X and f is 1-£ semi-integrable
on X. Let"- be a signed measure on (X, Ql) defined by A.(A) = JA f dl-£ for A E Ql. Show
that"- is au-finite signed measure on (X, 2t), that is, there exists an increasing sequence
(Gn : n E N) in 2t such that Unell Gn = X and /L(Gn) E IR for every n E N.
Proof. Since fin IL semi-integrable on X, that is, fx j+ d!L- fx f- d!L exists in i:, at
least one of the two integrals fx j+ diL and fx f- diL is finite. Let us consider the case
that
(1)
Now for every A E Ql we have
(2)
Since j+ is a nonnegative extended real-valued Ql-measurable function on X and j+ ~

1/1 < oo, 1-£-a.e. on X, Prob. 10.12 implies that there exists an increasing sequence (G11 :
n EN) in 2t such that UneH Gn =X and J6 ~ J+ dp, < oo for every n E N. On the other
J
hand, we have 6 n f- dp, ~ fx f- dp, < oo by (1) for every n E N. Thus we have for
everyn EN

§ 11 Absolute Continuity of a Measure 277
§11 Absolute Continuity of a Measure

Prob. 11.1. Consider the Lebesgue measure space (IR, 9JtL, ILL). Let v be the counting
measure on 9JtL, that is, v is defined by setting v(E) to be equal to the number of elements
in E E 9JtL if Eisa finite set and setting v(E) = oo if E is an infinite set.
(a) Show that ILL « v but d:;;,L does not exist.
(b) Show that v «ILL does not hold.
(c) Show that a Lebesgue decomposition of v with respect to ILL is impossible.
(Observe that the counting measure v is not a a-finite measure and this failure makes
Theorem 11.10 not applicable.)
Proof. 1. Let us prove (a). We are to show that every null setfor vis a null set for ILL· Now
To show that
measure, we have
*
0 is the only null set for v and we have ILL (0) = 0. This proves ILL «
v.
does not exist, assume the contrary. Then since ILL is a positive
'!fj: : : : 0, v a.e. on R by Observation 11.19. Now '!fj: cannot vanish
identicallyonR sincethatwouldimply ILL(R) = fnt ~ dv = JROdv = 0, a contradiction.
Thus there exists xo E R such that if<xo) > 0. Then we have
()f
0 =ILL {xo} =
{XQ}
diLL
dv
diLL
- d v = -(xo) ·1 > 0.
dv
This is a contradiction. This shows that '!fj:

cannot exist.
2. Let us prove (b). Let xo E IR be arbitrarily selected and let E = {xo}. Then
ILL(E) = ILL({xo}) = 0 and thus Eisa null set for ILL· Now since vis the counting
measure, we have v(E) = v({xo}) = 1 and thus E is not a null set for v. This shows that
v «ILL does not hold.
3. Let us prove (c). To show that a Lebesgue decomposition of v with respect to ILL
is impossible, let us assume the contrary. Then we have v =
Va + Vs where Va «
ILL and
Vs.liLL·
Nowvs .liLLimpliesthatthereexistCJ.C2 E 9JtLsuchthatC1nC2 =0,C1UC2 = IR,
cl is a null set for ILL and c2 is a null set for v,. Let us observe that c2 # 0 for otherwise
we would have cl = R, that is, the null set cl for ILL is equal to IR, a contradiction. Now
that C2 of. 0, select X{) E C2 arbitrarily. Then {xo}, as a Subset of the null set C2 for Vs, is a
null set for Vs and thus we have v3 ({xo}) = 0. Then we have
1 = v({xo}) = va({xoJ) + vs({xoJ) = va({xo}).
On the other hand, since va «ILL and ILL ({xo}) = 0 we have va({xo}) = 0. This contradicts
the last equality. This proves that a Lebesgue decomposition of v with respect to ILL is
impossible. 1
Prob.ll.l. Let IL and v be two positive measures on a measurable space (X,!}().

(a) Show that if for every e > 0 there exists o > 0 such that v(E) < e for every E e 2t
o,
with I.£(E) < then v « IL·
(b) Show that the converse of (a) does not hold by constructing a counter-example.
(c) Show that if vis a finite positive measure, then the converse of (a) holds.
Proot 1. Let us prove (a). Assume that for every e > 0 there exists o> 0 such that
v (E) < e for every E e 2( with ~J.(E) < o.
Now let A E Ql and JL(A) = 0. Let e > 0 be arbitrarily given. Then since I.£( A) = 0,
we have ~J.(A) < o and hence v(A) < e by the assumption. Since this holds for every
e > 0, we have v(A) = 0. This proves that v IL· «
2. Let us construct an example to show that the converse of (a) is false. Consider the
measure space (IR, mL, JLL). Let us define a function f on IR by setting
.!.. for X E iR \ {0} ,

f(x) ={ olxl
forx = 0.
Let us define a set function v on 9J1L by setting
v(E) = r f(x) JLL(dx) = jEr 2_

jE lxl
#LL(dx) forE E 9J1L.
Then vis a positive measure on (R, 9J1L) by Proposition 8.12 and we have v ILL· «
o
Let e > 0 be arbitrarily given. Then for any > 0 however small it may be, if we let
E = (- ~. n then we have JLL (E)= ~o < but we have o
v(E) = r 2_ ILL(dx) = 00 >e.
1(-M) lxl
3. Let us prove (c). Assume that v(X) < oo and v « JL. Let us show that for
every e > 0 there exists 8 > 0 such that v(E) < e for every E e !}(with ~J.(E) < 8.
Assume the contrary, that is, for some so > 0, no matter how small o > 0 may be, there
exists E e 2( such that ~J.(E) < o but v(Eo) :! eo. Then for every n e N there exists
En e Ql such that ~J.(En) < ~ but v(En) :! eo. For the sequence (En : n e N), we have
LneH ~J.(En) :S L 11eH ~ < oo. Then by Theorem 6.6 (Borel-Cantelli Lemma), we have
(1) ~L(limsupE~~) = 0.
n-+oo
On the other hand, according to (b) of Theorem 1.28, the condition v(X) < oo implies
(2) v(limsupEn):! limsupv(En):! eo.

11-+00 11-+00
Now (1) and (2) contradict the assumption that v « IL· Thus we have a contradiction. 1
Prob. 11.3. Let JL be a positive measure and A be a signed measure on a measurable space
(X, 21). Show that if for every s > 0 there exists 8 > 0 such that I>..(E)I < s for every
E E Ql with JJ,(E) < 8, then A « JL.
Proof. Assume that for every e > 0 there exists & > 0 such that IA.(E)I < e for every
E E 2l with JL(E) < &.
Now let A E 2l and ~J-(A) = 0. Let e > 0 be arbitrarily given. Then since ~J-(A) = 0,
we have J.L-(A) < & and hence IA.(A)I < e by the assumption. Since this holds for every
s > 0, we have A(A) = 0. This proves that A « J.L-. 1
Prob. 11.4. Let (X, ~l) be a measurable space and let A. be a positive measure on (X, ~l).
Let f be a A. semi-integrable nonnegative extended real-valued 21-measurable function on
X and let g be a A. semi-integrable extended real-valued Ql-measurable function on X.
Define a positive measure IL on (X, 21) by setting ~.t(E) = JE
f dl.. forE e Ql and define a
J
signed measure v on (X, 21) by setting v(E) = E g dJ.. for E e 21.
Let 1)1~ be the collection of all null sets in the positive measure space (X, 21, 1.£) and let IJl..,
be the collection of all null sets in the signed measure space (X, ~l. v) .
Let Zt = {x eX: f(x) = 0} and Z 8 = {x eX: g(x) = 0}.
Prove the following statements:
(a) E E IJl~ ~ J..(E \ Z f) = 0 and E E IJl.., ~ A.(E \ Z 8 ) = 0.
(b) v « 1.£ ~ A.(Zt \ Z 8 ) = 0.
(c) JL ..L v ~ >..(cz1 u Z 8 )c) = o.
Proof. Observe that (X, 21,1.£) isapositivemeasurespacebyProposition8.12and (X, 21, v)

is a signed measure space by Proposition 10.3.
1. Let us prove (a). Since JL is a positive measure on (X, Ql), we have
E e 1)1~ ~ JL(E) = 0
~Ltd>. =0
~ f = 0, J..- a.e. on E
~ J..(E \ Z t) = 0.
On the other hand, since vis a signed measure on (X, 21), we have
E e IJl.., ~ v(Eo) = 0 for every Eo C E, Eo e Ql
~/Eo gdl.. = 0 for every Eo c E, Eo e Ql
~ g = 0, A.- a.e. on E
~ A.(E \ Z 8 ) = 0.
2. Let us prove (b). Observe that
(1) v « JL ~ m~ c m..,
~ [E E Ql; E E 1)1~-==* E E 91..,]
~ [E e Ql; A.(E \ Zt) = 0-==* A.(E \ Z 8 ) = 0] by (a).
Consider the following two statements:

1° Ee~l;J..(E\Zt)=O-=*J..(E\Zg)=O.
2° A.(Zt \ Z 8 ) = 0.
Letusshowthat1° ~ 2°. Assume 1°. Then since Zt e 21andJ..(Zt\Zt) = J..(0) = 0,
we have J..(ZJ \ Z 8 ) = 0 by 1° and thus 2° holds. Conversely let us assume 2°. Let us
observe that for any three subsets A, B and C of X we have
(2) A\ C c (A\ B) U (B \C).
This set inclusion is proved by observing
A\ C = A n cc = [(An B) U (An Be) n J cc

= (An B n Ce) U (An Ben Cc)
c (B n Cc) U (An Be) = (B \ C) U (A\ B).
Now applying (2) we have
and then
A(E\ Z 8 ) ~ A(E \ ZJ) +A(ZJ \ Z 8 ).
Then assumption of A(E \ ZJ) =
0 and 2° implies A(E \ Z 8 ) =
0 so that 1° holds. This
completes the proof of 1o *
2°. Substituting this in (1) we have
3. Let us prove (c).

3.1. Let us show that JL .l v::::} A((ZJ u Z 8 )c) = 0. Suppose we have JL .l v. Then
there exist Ct, c2 E ~such that Ct n c2 = l!l, Ct u c2 = X, Ct E IJtv and c2 E 91~.
Now Ct E ~tv implies A(Ct \ Z 8 ) = 0 and C2 E IJt~ implies A(C2 \ ZJ) = 0 according
to (a). Let us show
(3)
Letx E cz,u Zg)c. Then X¢ z, and X¢ Zg. Sincex EX= Ct u c2. we have either
X E Ct or X E c2. H X E Ct then X E Ct \ Zg. If X E c2 then X E c2 \ z,. Thus
x E (Ct \ Z 8 ) U (C2 \ Zt)- This proves (3). Then (3) implies
A((ZJ U Z8 )c) ~ A(Ct \ Z8 ) +A(C2 \ ZJ) = 0.
3.2. Let us show that A((Zf U Z 8 )c) = 0 ::::} JL .l v. Suppose we have A((Zf U
Z 8 Y) = 0. Let Q = (ZJ U Z8 )c. Then we have A(Q) = 0. Let C2 = ZJ E Ql and
let Ct = (Zg \ ZJ) U Q E ~- Clearly we have Ct n C2 = 0 and Ct U C2 =X. Now
=
A(C2 \Zt) = A(l!J) 0. ThisimpliesthatC2 E 1)1~ by(a). WehaveA(Ct \Zg) = A(Q) =
0. This implies that Ct E IJtv by (a). This proves that IL .l v. 1
Prob. 11.5. Let (X, m) be a measurable space and let A. be a a-finite positive measure on
(X, m). Let f be a A.-integrable nonnegative extended real-valued 21-measurable function
onXwith.A.(Zf) = OwhereZt = {x EX: f(x) = 0} andletgbeaJ..-integrableextended
real-valued 2l-measurable function on X.
Define a positive measure IL on (X, 21) by setting JL(E) = JE
f dJ. forE E 21 and define a
signed measure von (X, 21) by setting v(E) = IE
g dJ.. forE E m.
(a) JL is a a-finite positive measure and v is a a-finite signed measure on (X, ~l).
(b) v « IL·
(c) The Radon-Nikodym derivative~; exists and~; = f.
J..-a.e. on X.
Proof. 1. Let us prove (a). Now JL is a positive measure on (X, ~l) by Proposition 8.12 and
vis a signed measure on (X, 21) by Proposition 10.3. Then the }..-integrability off on X
implies the a-finiteness of IL and the A.-integrability of g on X implies the a-finiteness of v
whether A. itself is a-finite or not. Let us verify this for v for instance. Suppose the signed
measure vis not a-finite. Then for every countable disjoint collection {E11 : n E N} c ~l
such that U"el'! E 11 = X there exists no E N such that lv(E110 )1 = oo. On the other hand
we have v(E110 ) = IE g dJ.. and the A.-integrability of g on X implies that
"0
IE
g dJ.. E R
"0
and then lv(E110 )1 = I
"0
IE
gd.A.I E R. This is a contradiction. Thus v must be a-finite.
•
2. Let us prove (b). According to (b) of Prob. 11.4, we have
But wehaveJ..(Zf) = 0 and thenJ..(ZJ \ Zg) =::: A.(Zf) = 0. Thus we have v JL. «
3. Let us prove (c). We have v «
JL by (b). Also JL and v are a-finite by (a). Thus the
Radon-Nikodym derivative ~; exists by Theorem 11.14 (Radon-Nikodym Theorem).
The definition JL(E) = IE «
f dJ.. forE E ~l implies that IL J... Also J.. and IL are a-
finite. Thus the Radon-Nikodym derivative Wf. exists and Wf. = f, J..-a.e. on X by Theorem
11.14. Similarly the definition v(E) = JE
g dJ.. for E E 2l implies that v A.. Then«
the a-finiteness of A. and v implies the existence of the Radon-Nikodym derivative ~I and
~I = g, J..-a.e. on X by Theorem 11.14.
Then by Theorem 11.23 (Chain Rule of Radon-Nikodym Derivatives) we have
dv dv dJL . dv
d.A. -d 1L · -dJ.. ' that ts' g = dn
.- · f, J.. -a.e. on X .
Then we have
dv _!
A.-a.e. on X.
dJL- / '
Prob. 11.6. Let (X,!]() be a measurable space and let).. beau-finite positive measure on
(X, 21). Let f be a }.-integrable nonnegative extended real-valued 21-measurable function
on X and let g be a }.-integrable extended real-valued !}(-measurable function on X.
Define au-finite positive measure p, on (X, Ql) by setting p,(E) = JE
f dJ... forE e 21 and
define au-finite signed measure v on (X, 21) by setting v(E) = JE
g dJ... forE e 21.
According to Theorem 11.10 (Lebesgue Decomposition) there exist two signed measures
Va and V5 on (X, SJ() such that v = Va + V5 , Va « p, and V5 .l p,.
Determine the two signed measures Va and Vs in terms of the two functions f and g.
Proof. We are to find descriptions of the two signed measures Va and v, in terms of the two
functions f and g. For this purpose let us introduce the notation Zh = {x E X : h(x) = 0}
for an arbitrary extended real-valued function h on X.
With our functions f and g given above, let us define two extended real-valued 2!-
measurable functions Kt and g2 on X by setting
0 forxEZJ.
(l) Kt(x)= { g(x) forxeZ/.
g(x) for x e Z1,

(2 ) Kl(X) = { 0 for x E Zj.
We claim that we have the following description of Va and v5
(3) Va(E) = L Kt dJ... forE E 2!.
(4) Vs(E) = L K2 d).. forE E 2!.
It remains to prove (3) and (4). For this purpose define two signed measures Vt and V2
on (X, Ql) by setting
(5) Vt(E) =L Kt dJ... forE e 21.
(6) v2(E) = L g2 d).. forE e 21.
It remains to show that v = Vt + V2. Vt «

p, and V2 .l p,.
1. By (1) and (2), we have Kt + g2 = g. Then we have for every E e 21
v(E)= LgdJ...=L{ct+K2}dJ...= LctdJ...+ Lc2dA=Vt(E)+V2(E).
This proves that v = Vt + Yl·

2. According to (b) of Prob. 11.4, we have
Vt « p, # J...(ZI \ Z81 ) = 0.
But (1) implies that Z 1 C Z81 and then J...(Z1 \ Z81 ) = J...(£?1) = 0. Thus we have Vt « p,.
3. According to (c) of Prob. 11.4, we have
p, .l V2 # J...((Zt U Z 82 )c) =0 # J...(Z/ n Z~ 2 ) = 0.
Now (2) implies that Z82 :J Z/ and then Z~2 n Z/ = 0 so that J...(Z/ n Z~) = J...(£?1) = 0.
Thus we have p, .l Y2· This completes the proof. 1
Prob.11.7. Let IL and v be two positive measures on a measurable space (X, ~l). Suppose
the Radon-Nikodym derivative ;~ exists so that v « IL·
(a) Show that if;~ > O,~J--a.e. on X, then IL « v and thus p, ~ v.
(b) Show that if ;~ > O,~J--a.e. on X and if IL and v are u-finite, then ~~ exists and moreover
we have ~-
dv - (dv)-1
dp. , IL- and v-a.e. on X .
Proof. 1. Let us prove (a). Suppose;; > 0, ~J--a.e. on X. To show that IL « v, let E e 2(
and v(E) = 0. Then since;~ > 0, ~J--a.e. on X and JE ;;

d/L = v(E) = 0, we have
/L(E) = 0 by (d) of Lemma 8.2. This shows that IL v. «
2. Let us prove (b). If;;
> 0, ~J--a.e. on X then we have IL « v according to (a). If
IL and v are u-finite then the Radon-Nikodym derivative ~ exists according to Theorem
11.14 (Radon-Nikodym Theorem). Then according to Corollary 11.26, u-finiteness of IL
and v and existence of ;; and ~ imply that
dv . d/L _
- 1,
d
IL- an v-a.e. on X.
dp, dv
Thus we have
d/L = (dv)-1, 11-- and v-a.e. on X.
dv d/L
Prob. 11.8. Given a measurable space (X, m). Let 11- beau-finite positive measure on
(X, m) and let f be a 11--int.egrable nonnegative extended real-valued m-measurable function
on X such that f =f: 0, JJ.-a.e. on X. Define a set function von Ql by setting v(E) = JE f df-L
for every E e 2L
(a) Show that vis au-finite positive measure on (X, m).
(b) Show that v « f-L and moreover ;; exists and ;; = f, JJ.-a.e. on X.
(c) Show that~~ exists and~ = J• 11-- and v-a.e. on X.
Proof. 1. Let us prove (a). The set function v on Q( is a positive measure on (X, Q()
according to Proposition 8.12. Let us show that vis u-finite. Suppose not. Then for any
decomposition of X into a countable disjoint collection {En : n e N} C 2l, there exists
no e N such that v(E110 ) = oo. Then we have JEII() f d/1- = v(E110 ) = oo. This contradicts
the JJ.-integrability off on X. Therefore v must be u-finite.
2. Let us prove (b). Let E e Ql. Then JJ.(E) = 0 implies v(E) = 0 by the definition
of v(E). This shows that v « Jl-. Then the u-finiteness off-Land v imply that the Radon-
Nikodymderivative ;; exists. Now since v(E) = JE f dJJ. for every E e Ql, the function f
is a Radon-Nikodym derivative of v with respect to f-L according to Definition 11.1. Then by
(b) (Uniqueness of the Radon-Nikodym Derivative) of Proposition 11.2, we have ;; = f,
JJ.-a.e. on X.
3. Let us prove (c). By definition we have v(E) = JE f d11- for every E e m. Since
f ~ 0 on X and f =f: 0, JJ.-a.e. on X, v(E) = 0 implies JJ.(E) = 0 according to (d) of
Lemma 8.2. This shows that we have f-L «
v. Then since f-L and v are u-finite f-L « v
implies that ~~ exists according to Theorem 11.14 (Radon-Nikodym Theorem).
Now that f-L and v are u-finite and ~ and ~ exist, we have according to Corollary
11.26
dv df-L
- · - = 1, 11-- and v-a.e. on X.
df-L dv
Thus we have
df-L 1 1
dv /' JJ.- and v-a.e. on X.
dv
dJL
Prob.11.9. Let p. and v be two u-finite positive measures on a measurable space (X, Ql).
(a) Show that if we let)..= p. + v then).. is au-finite positive measure.
(b) Show that p. «)..and v «)..and the Radon-Nikodymderivatives ~and~~ exist and
moreover ~i ~ 0 and ~ ~ 0, A.-a.e. on X.
(c) Show that
P. ..L v <::> tlE:.
dJ.. • dv-
dJ..- 0 , ..., -a.e. on X
Proof. 1. Let us show that).. is a u-finite measure on (X, Ql). Now since p. is a u-
finite measure on (X, Ql) there exists an increasing sequence (A., : n e f\:1) in Q( such that
U..en An = X and p.(A.,) < oo for every n e N. Similarly since vis au-finite measure
on (X, Ql) there exists an increasing sequence (B, : n E N) in Ql such that UneH B, =X
and v(B,.) < oo for every n e N. Let C,. =
Ann B,. for n e N. Then (C,. : n e f\:1)
is an increasing sequence in Qt. We also have U..en C,. = X. (To show this let x e X
be arbitrarily chosen. Then x e A111 for some n1 e N and x e B112 for some n2 e N
so that x e A,.1 n B,.2. Let no = max{nt. n2}. Then A..1 c Ano and B,2 c Bll() so
that X E A..l n B,.2 c Ano n Bll(j = ell() c Une( l C,.. Thus X c Unet'l C,. and hence
UneH C,. =X.) Now for every n E N we have
l(Cn) = p.(C,.) + v(Cn) ~ p.(A.,) + v(B,.) < 00.

This shows that).. is au-finite measure on (X, Ql).
2. For every E e Ql we have l(E) = p.(E) + v(E) ~ 0. Thus if A.(E) = 0 then
p.(E) = 0 and v(E) = 0. This shows that p. « J.. and v «A..
Nowthatp. «)..and v «A andp., v and).. areu-finite, theRadon-Nikodymderivatives
~ and ~~ exist according to Theorem 11.14 (Radon-Nikodym Theorem). Moreover we
have ~i ~ 0 and ~~ ~ 0, J..-a.e. on X according to (b) of Observation 11.19.
3. Suppose p. ..L v. Then there exist A, B e Ql such that An B = 111, AU B = X,
p.(B) = 0, and v(A) = 0. Now p.(B) = JB
~d).. and~ ~ 0, l-a.e. on X. Thus p.(B) = 0
implies that ~i = 0, A.-a.e. on B. Similarly we have v(A) =fA~~ dA. and~~ ~ 0, A.-a.e. on
X. Then v(A) = 0 implies that ~~ = 0, A.-a.e. on A. Therefore ~ · ~~ = 0, A.-a.e. on A
and~ · ~~ = 0, l-a.e. on B. Then since AU B =X, we have ~ · ~r = 0, l-a.e. on X.
4. Conversely suppose 'Z_ · ~~ = 0, }..-a.e. on X . Then there exists a null set Xo in
(X, m, J..) such that ~ . ~~ = 0 on X \ X0 . Then for every x e X\ X0, at least one of
~(x) and ~~(x) is equal to 0. Let
dp.
X1 = {x EX\ Xo: d).. (x) = 0} E Q(,
dv
X2 = {x EX\ Xo: d).. (x) = 0} E Qt.
Now X1 U X2 =X\ Xo but X1 and X2 need not be disjoint. Thus let us define
X3 = X1 nx2.
A= X1 UXo,
Then we have A, B E Ql, An B = 0 and AU B = X. Moreover we have
This shows that p, l.. v . 1

Prob. 11.10. Given a measurable space (X, Ql). For A E Ql, let us write Q( n A for the
u-algebra of subsets of A consisting of subsets of A of the type E n A where E E 21.
Prove the following theorem related to the Lebesgue Decomposition Theorem:
Theorem. Let 1.£ and v be a-finite positive measures on a measurable space (X, 2l). There
exist A, B E 2l such that AnB = 0, AUB =X, 1.£ "'von the measurable space (A, 2lnA)
and 1.£ .l von the measurable space (B, 2( n B).
Proof. 1. Let).. = 1.£ + v. Then by Prob. 11.9,).. is a a-finite positive measure, 1.£ « )..
and v « ).. and the Radon-Nikodym derivatives ~~ and ~ exist and moreover ~~ ~ 0 and
~r ~ 0, A-ae. on X . Let
dl.£ dv
A= {x EX: dA (x) > 0 and dA (x) > 0},
B = Ac.
Then we have A, B E 2t, A n B = 0 and A U B = X.

2. Consider the measurable space (A, Ql n A). Let us show that 1.£ ~ von (A, Q( n A).
Take an arbitrary member of Ql n A, say E n A where E E 2l. Suppose 1.£(E n A) = 0.
Then since~ is the Radon-Nikodymderivativeof 1.£ with respect to A on (X, Ql), we have
1 dl.£
-d d)..=/L(EnA) =0.
EnA )..
Since~ > 0 onE n A, the last equality implies that A(E n A) = 0 by (d) of Lemma 8.12.
Then since v «A on (X, 2l), the equality )..(En A)= 0 implies the equality v(En A) = 0.
This shows that v « 1.£ on (A, 2( n A). Interchanging the roles of JL and v in the argument
above we show that JL «von (A, 2l n A). Thus we have JL ~von (A, 2( n A).
3. Consider the measurable space (B, 2( n B). To show that 1.£ .l von (B, 2( n B), let
dl.£ dv
Bo = {x E B: dA (x) =Oand d).. (x) =0},
dl.£ dv
B1 = {x E B : dA (x) > 0 and dA (x) = 0},
dl.£ dv
Bz = {x E B: dA (x) = 0 and d).. (x) > 0}.
Then {Bo, B1, Bz} is a disjoint collection in Ql n B with Bo U B1 U B2 = B. Next let

C1 = B1 U Bo and C2 = Bz. Then {C1. C2} is a disjoint collection in 2l n B with
C1 U C2 = B. Now we have
(1) /L(C2) =
1 dl.£
- dA =
Cz dA
1 djL
-d)..=
B2 d)..
1 B2
OdA = 0.
(2) v(C1) =
1
~
-dv d)..=
d
)..
1~
dv
d
- dA
A
+1
~
dv
d
- d).=
A
1 +1
~
Od).
~
OdA = 0.
This shows that JL .l von (B, 2( n B). 1

Prob. 11.11. Prove the following theorem related to the Lebesgue Decomposition Theorem:
Theorem. Let JL and v be a-finite positive measures on a measurable space (X, 2!). There
exist a nonnegative extended real-valued !}(-measurable function f on X and a set Ao E Ql
with JL(Ao) = 0 such that v(E) = JE f dJL + v(E n Ao) for every E e 2!.
Proof. By Theorem 11.10 (Lebesgue Decomposition Theorem), there exist two positive
measures Va and v8 on (X, 2!) such that Va « JL, Vs .1. JL, v = Va + Vs and moreover
Va(E) = JE f dJL for every E e 2t where f is a nonnegative extended real-valued 2!-
measurable function on X.
Since v, .1. JL, there exist Ct. C2 E Ql such that C1 n C2 = fill, C1 U C2 =X, JL(C2) = 0
and v1 (Cl) = 0. Let us select Ao = C2. Then for any E E 2!, we have
v(E) = Va(E)+ Vs(E) = Va(E) + Vs(E n Cl) + Vs(E n C2)

= Va(E) + Vs(E n C2) since Vs(Cl) = 0
= Va(E) + Va(E n C2) + v.(E n C2) since Va(C2) = 0
= Va(E) + v(E n C2)
= LfdJL+v(EnAo).

§12 Monotone Functions and Functions of Bounded Vari-

ation
Prob.l2.1. Let f, g E BV([a, b]).
(a) Show that cf E BV([a, b]) and v:(cf) = lciV:(f) for every c E JR.
(b) Show that f + g e BV([a, b]) and v:(f +g) :S v:(f) + v:(g).
(c) Construct an example for which we have v:(f +g) =f:. v:(f) + v:(g).
Proof. 1. Let us prove (a). Let P E ~a,b be given by P = {a = xo :S • · • :S Xn = b }.

n n
v,!'(cf, P) = L lcf(xk)- cf(xlc-1)1 =lei L IJ<x~c)- /(Xk-1)1 = lciV.!'(f. P).
k=1 k=1
Thus we have
v,!'(cf) = sup v,!'(cf, P) = lei sup v,!'(f, P) = lciV,!'(f).

:l'E"Jta,b :l'E"Jta,b
Since f E BV([a, b]) we have Vt(f) < oo and this implies that Vt(cf) = leW: (f) <
oo. This shows that cf E BV([a, b]).
2. Let us prove (b). With P E q.la,b given by P ={a= xo :S · · · :S Xn = b }. we have
n
v,!'(f + g, P) = L I(f + g)(xk) - (f + g)(xk-1) I
k=1
It It
:S L lf(xk)- /(Xk-1)1 + L lg(xk)- g(Xk-1)1

k=l k=l
=V,!'(f, P) + v,!'(g, P).

Then we have
v,!'(f +g) = sup v,!'(f + g, P) :s sup v.!'(f. P) + sup v.!'(g, P)

:Pe"Jta,b :Pe"Jta,b :Pe"Jta,b
Since J, g E BV([a, bl), we have Vt(f) < oo and Vt(g) < oo. This then implies that
v:(f +g) :S Vcf(f) + v:(g) < oo. This shows that f + g E BV([a, b]).
3. To prove (c),let f(x) = x for x e [a, b] and let g(x) = -x for x E [a, b].
Then we have f, g E BV(la, b]) with vt(f) = b -a and v:(g) = b- a. Thus we
have Vcf(f) + Vcf(g) = 2(b- a).
On the other hand, (/ + g)(x) = x - x = 0 for x E [a, b] and this implies that
f + g E BV([a, bl) with v:(f +g) = 0. Thus we have v:(f +g)# v:(f) + v:(g).
I
§ 12 Monotonicity and Bounded Variation 291
Prob. 12.2. Let f e BV([a, bJ). Suppose that there exists y > 0 such that 1/1 ~ yon
J
[a, b ]. Show that e B V ([a, b J).
Proof. Let 1' e ~ a,b be given by 1' = {a = xo :::; · · · :::; x, = b}. For brevity in notations,
let us write g =J. Then we have
n
v;(g,P) = L lg(x.t)- g(xk-1)1.
k=l
Now we have
Then we have
Thus we have
v;(g) = sup v%(g, T):::; ~v%(!) < oo.
:Pe'lJa,b Y
This shows that g e BV ([a, b]). 1
Prob.12.3. Letj,g E BV([a,bl). Show that jg E BV([a,b]) and

V!'(fg) ~ SUP[a,b]lfl · Vg(g) + SUP[a,b]lgl· V!'(f).
Proof. Let T E \l3a,b be given by T = {a = xo ~ · ·· ~ Xn = b}. We have
n
(1) v!(fg, P) = E I<Jg)(xk)- (fg)(xk-1>l·
k=1
Now
(fg)(Xk)- (fg)(Xk-l) = j(x~c)g(Xk)- j(Xk-1)g(Xk-l)
=f(Xk)g(Xk)- /(Xt)g(Xt-1) + /(Xt)g(Xi;-1)- /(Xt-t)g(Xt-1)
and then
ICJg)(xk)- (fg)(xk-1)1 ~ lf(x~c)llg(xk)- g(Xk-1)1 + lg(Xk-t)llf(xk)- /(Xk-t)l.
Since f, g E BV([a, b]), f and g are bounded on [a, b] according to (b) of Observation
12.13 and thus we have sup[a,b]l/1 < oo and sup[a,b]lgl < 00. Thus we have
IC/g)(xt)- (fg)(Xk-1)1 ~sup lfl·lg(xk)- g(Xk-1)1 +sup lgi·I/Cxk)- /(Xk-t)l.

(a,b] (a,b]
Substituting this in (1 ), we have

n n
V!(fg, P) ~sup 1/1·
[a,b]
L
k=l
lg(xt)- g(xt-1)1 +sup lgl·
[a,b]
L
k= 1
lf(xt)- /(Xt-1)1
= sup lfl · v!(g, P) +sup IKI · v!(f, T).

~.b] ~~]
Then
(2)
v!(fg) = sup v!(fg, T) ~ sup 1/1· sup v:(g, T) +sup lgl · sup v;(f, T)
:l'e'Jla,b [a,b] ~1'e'Jla,b [a,b] ~1'e'Jla,b
= sup 1/1 · v!(g) + sup lgl · v!(f).

[a,b] [a,b]
Since f, g E BV([a, bl), we have Vg(f) < oo and Vg(g) < oo. Then (2) implies that
V!(fg) < oo. This shows that fg E BV([a, b]). 1
Prob. 12.4. Let f be a real-valued function on [a, b]. Prove the following statements:
(a) v,!'(ltl) ~ v,!'(f).
(b) Iff E BV([a,b]) then 1/1 E BV([a,b]).
Proof. 1. Let us prove (a). LetT E ~a,b be given by T = {a = xo ~ · · · ~ Xn = b }.

Then we have
n n
Vtf(l/1. T) = E 11/I(Xk) -1/I(Xk-1)1 = E 11/(Xk)I-1/(Xk-1)11
k=1 1=1
n
~ L lf(xt)- /(Xt-1)1 = v;(f, T).
k=1
Then we have
v;(l/1) = sup v;(lfl, T) ~ sup v;(f, T) = v;(f).

:J'e'+!a,b ~J'E'lla,b
2. Iff E BV([a,b])then V%(f) < oo. Then by(a)wehave V%(1/1) ~ V%(/) < oo.
Thuswehave 1/1 E BV([a,bl). 1
Prob. ll.S. Let f be a real-valued function on [a, b] satisfying a Lipschitz condition,

that is, there exists a constant M > 0 such that If (x') - f (x'') I =::: Mix' - x"l for every
x', x" E [a, b]. Show that f E BV ([a, b]) and v;(J) =::: M(b- a).
Proof. Let P E ~a,b be given by T ={a= xo =::: • · • =::: Xn = b}. Then we have
n n
v;(J, P) = L lf(xk)- /(Xk-1)1 =::: M L lxk- X.t-11 = M(b- a)
11:=1 k=l
and then
v;(J) = sup v;(J, T) =::: M(b- a) < oo.
:Pe•lJ".~
This shows that f E BV([a, b]) and v;(J) =::: M(b- a). I
Prob. 12.6. Let f be a real-valued function on [a, b]. Suppose f is continuous on [a, b]
and is differentiable on (a, b) with If' I =::: M for some constant M > 0. Show that
f E BV([a, bl) and v;(J) =::: M(b- a).
Proof. Let P E ~a,b be given by T = {a = xo =::: • · • =::: Xn = b }. Then we have
II
(1) v;(f. P) = L lf(x.t)- f(x.t-t)l.

k=1
According to the Mean Value Theorem we have
and then
lf(x.t)- /(X.t-1)1 = 1/'(~)IIX.t- Xk-11 =::: Mlxt- Xt-11·
Substituting this estimate in ( 1), we have
11 n
(2) v;(f, P) = L lf(xt) - /(X.t-1) I =::: M L lxk - X.t-11 = M(b- a).
k=1 k=l
Then we have
v;(f) = sup v;(f, P) =::: M(b- a) < oo.
:Pe•lJd,b
This shows that f E BV([a, b]) and v;(J) =::: M(b- a). 1
Prob.ll.7. According to Prob. 12.6, continuity off on [a, b] and existence and boundedness
of the derivative f' on (a, b) imply that f is a BV function. These conditions are sufficient
but not necessary for f to be a BV function. To show this find a real-valued function f on
[a, b1 satisfying the following conditions:
1° fiscontinuouson[a,b1 .
2° f' exists on (a, b).
3° f' is not bounded on (a, b).
4° f E BV ([a, b1).
Proof. Let f(x) = ./X for x E [0, 1]. Then f is continuous on [0, 1]. Moreover we
have f'(x) = ! Jx for x e (0, 1). Thus f' is not bounded on (0, 1). In fact we have
limf'(x) = oo. However f is increasing on [0, 1] and this implies that f E BV([O, 11)
x-1-0
according to (d) of Observation 12.13. 1
Prob. 12.8. Let f(x) = sinx for x E [0, 2rr].

(a) Show that f e BV([O, 211"1) moreover we have vf·:zn-1(!) = 4.
(b) Find the total variation function v1 off on [0, 2rr ].
Proof. I. Observethat[0,2rr] = [0, -J] U [-J,rr] U [rr, ~rr] U [~rr,2rr].
On [0, -J], f increases fromO to 1. Thus according to (d) of Observation 12.13 we have
f e BV([O, -J]) with V0'f (f) = 1. Similarly we have f e BV([-J, 1r]) with V!" (f) = 1;
~
3
f E BV([rr, ~11"]) with vr (f)= 1; and f E BVmrr, 211"]) with Vf:(f) = 1.
2
Then by (b) of Lemma 12.15, we have
f E BV([O, 2rr]) .
w 3"
{ vgrr (!) = vo'- (!) + v: (!) + v,t (!) + v~ (!) = 4.
"2' ~"

2. Observe that f increases from 0 to 1 on [0, ~], decreases from 1 to -1 on [ ~ , ~11"]
and increases from -1 to 0 on [~ 1r, 211"]. We conclude that
sinx forx E [0, ~].

VJ(x) = 2- sinx for x e [~, ~11" ],
{
4 + sinx for x E [~rr, 211"].
This answers (b). 1

Prob. 12.9. Consider the interval [0, 1] in lEt. For n E N, let bn = ~ and let a,. =
!Cbn +bn+t). Let f be areal-valued function on [0, 1] such that /(0) = 0, f(an) = 0 for
every n EN, f(bn) = lforevery n EN and f is linear on [an, bn] and [bn+t• an] for every
n E N.
Thus defined, f is bounded on [0, 1], continuous at every x E (0, 1] and discontinuous at
x = 0. Prove the following statements:
(a) For every eo E (0, 1), we have f E BV([eo, 11) and V~(f) ::=:: 2(no- 1) where no EN
such that ~ < eo.
(b) f ~ BV([O, 11).
Proot 1. Observe that 1 = bt > at > b2 > a2 > b3 > a3 > · · · and moreover we have
[0, 1] = {0} U (0, 1] = {0} U U[bn+l, bn]

nEl'l
and
[bn+t, bn] = [bn+t, an] U [an, bn] for n E N.
Now f decreases from 1 to 0 on [bn+ t, an] and increases from 0 to 1 on [an, bn]. This
implies according to (d) of Observation 12.13 that f E BV([bn+l, anl) with v~: 1 (f) = 1
and f E BV(lan. bnl) with v!:cn = 1. Then by (b) of Lemma 12.15, we have
f E BV(lbn+t, bn]).
(1)
{ vt_ (f) = V~ (f) + vJ:." (f) = 2.
1 1
Observe that for n ~ 2, we have
[b,., bt] = [bn, bn-tl U [bn-t, bn-2] U · · · U [/n, bt].
Then applying (b) of Lemma 12.15, we have for n ~ 2
f E BV([bn, btl).
(2) { vi; (f)= vt;- 1(!) + vt:~;(f) + · ·· + vt1(!) = 2(n -1).
2. Let eo E (0, 1) be arbitrarily given. Then since lim bn = lim ! = 0 there exists
n-+oo n-+oo n
no E N such that~ <eo. Then we have [eo, 1] C [b110 , bt]. Then since f E BV([b110 , btl)
and vt 1
(/) = 2(no-1) according to (2), (a) of Lemma 12.15 implies that! E BV([eo, 1l)
"0
and v~(f)::::: 2(no -1).
3. Toshowthatf f/. BV([O, 1]),letusassumethecontrary. Thensince[bn,btl C [0, 1]
for n ~ 2, we have
vl(t) ~ vt: (!) = 2(n- 1).
Since this holds for every n ~ 2, we have V J(f) = oo, contradicting the assumption that
f E BV([O, 1]). I
Prob. 12.10. Let f be a real-valued function on [0, ~] defined by

f(x) = { sin~ for x E (0, ~ ],
0 forx = 0.
(a) For every Eo > 0 we have f E BV ([Eo, ~ ]). Moreover for Eo = (~
2
+ no21r rl > 0
where no EN, we have V~ (!) = 4no.
(b) f ~ BV ([0, ~ ]).
Proof. 1. Observe that the function g(x) = sinx for x E [0, oo) is a continuous function
assuming the maximal value 1 at x = ~ + k21r for k E Z + and the minimal value -1
at x = ~:7r + k21r fork E Z + and g is monotone on every interval between two adjacent
extremum points.
1
Thus our function f assumes the maximal value 1 at x = (~ + k2:7r) - fork E Z + and
minimal value -1 at X = Gn
+ k2:n- fork E r 1
z+ and f is monotone on every interval
between two adjacent extremum points. Let
ak = (
11:
2 +k21r )-1
Then we have
f(ak) = 1 and f(bt) = -1 fork E Z +.

(1) 0 < bn < an < bn-1 < an-1 < . .. < bt < at < bo < ao = ~.
{
[ak, ak-d = [ak, bk-d U [bk-1, ak-tl fork 2: 1. :~r
On [ak, bk-d. f decreases from 1 to -1. Thus by (d) of Observation 12.13, we have
f E BV([a.~:. b.~:- d) with v!:-1(!) = 2. Similarly /increasesfrom-1 to 1 on[b.~:-1 . a.~:-tl
and this implies that f E B V ( [b.~:-1 , ak- tl) with v::_:-11 (!) = 2 by (d) of Observation 12.13.
Then since [ak, ak-d = [a.~:, b.~:-d U[b.~:-1. ak-d , (b) of Lemma 12.15 implies that we have
f E BV([ak, ak-d) .
(2)
{ v::-1(!) = v!t1(!) + v::_:-11(!) = 4.
Observe that for n E N we have
[an, ao] = [an. an-d u [an-1. an-2] u ... u [at. ao].

Then according to (b) of Lemma 12.15, (1) implies that for n E N we have
f E BV([an, ao]).
(3)
{ v:.?(f) = v~- (/) + Va';:12 (/) + · ·· + V:t> = 4n.
1
2. Let us prove (a). Let Eo = ano =

2
G + no21rrl > 0 where no E N. Then by (3) we
have f E BV {[eo, ~])with V~ (/) = 4no.
Next let eo > 0 be arbitrarily given. Then since ak ,I. 0 as k ~ oo there exists
no e N such that aiiQ < eo and then [eo,~] c [aiiQ, ~]. According to (3), we have
f e BV([aiiQ, ~]).Then by(a)ofLemma 12.15, we have f e BV([eo, ~]).
3. To show that f ¢ BV([O, ~]). assume the contrary, that is, assume that f e
BV([o, ~ ]). Since [a,., ao] c [0, ~]for every n e N, we have by (a) of Lemma 12.15 and
(3)
2
v{(f) ~ v~(f) =4n.
2
Since this holds for every n eN, we have V{ (f) = oo, contradicting the assumption that
f e BY([o, ~]).Thus we must have f ¢ BY([o, ~]). 1
Prob. 12.11. Let f be areal-valued function on [a, b] such that f E BV([a, x]) for every
X E [a, b) and consider the total variation function Vf(X) = v;(J) forx E [a, b).
(a) Show that f E BV([a, b]) if and only if Vf is bounded on [a, b), or equivalently,
lim Vj(X) < oo <=> f E BV([a, b]).
xtb
(b) Assume that we have lim Vf(X) < 00. Show that limvj(X) = v%(!) if and only iff
xtb xtb
is continuous at b.
(c)Assumethatwehave limvf(X) < 00. Constructanexamplefor limvf(X) ;;/- V%(!).
xtb xtb
Proof. 1. Let us prove (a). Assume that we have lim v1 (x) < oo. Since v1 is an increasing
xtb
function on [a, b), the last assumption implies that Vf is bounded above on [a, b). Thus
there exists M > 0 such that Vf(x) :::: M for x E [a, b). Let an arbitrary P E ~a.b be given
by P = {a = xo :::= · · · :::= x 11 = b }. Then we have
n n-1
(1) v%(J, T) = L lf(x.~;)- j(X.i;-t)l = L lf(x.~;)- j(X.i;-t)l + lf(b)- j(Xn-t)l
k=l k=l
::S v:•-l(J) + lf(b)- j(Xn-1)1 = Vf(Xn-l) + lf(b)- j(Xn-t)l
::S M + lf(b)- /(Xn-1)1.

Now we have
lf(b)- f(Xn-t)l = lf(b)- f(Xn-1)- f(a) + f(a)l

::S 1/(b)l + lf(Xn-1)- f(a)l + lf(a)l
:::: 1/(b)l + v:•- (!) + lf(a)l
1
::S 1/(b)l + Vf(Xn-1) + lf(a)l
:::: 1/(b)l + M + lf(a)l.
Substituting this estimate in (1) we have
(2) v%(!. P):::: 2M+ lf(a)l + lf(b)l .

Then we have
V%(J) = sup V%(!, P) :::; 2M+ lf(a)l + lf(b)l < oo.

~I'E';l.la,b
This shows that f E BV([a, b]).

Conversely assume that f E BV([a, b]). Then according to (a) of Lemma 12.15, we
have f E BV([a,xl) and v;(J) ::S V.:'(f) < oo for every x E [a, b). Thus we have
0 ::S Vf(X) ::S v;(J) < 00 for X E [a, b),

and then

2. Let us prove (b). Observe first that v:(f) = vr(b). Thus lim vr(x) = v:(f) if
xtb
and only if vf is continuous at b. But according to Theorem 12.22, v1 is continuous at b if
and only iff is continuous at b.
3. Let f be a real-valued function on [0, 1] defined by
0 forx e [0, 1),

f(x) =
{ 1 for x = 1.
Then we have Vf(X) = 0 for x e [0, 1) so that lim Vf(X) = 0. On the other hand we have
xfl
VJ(l) = 1, that is, VJ(f) = 1. Thus lim Vf(X) 'f. VJ(f). I
xtl
Prob. 12.12. Let p E (0, oo) and let f be a real-valued continuous function on [o, ~]
defined by setting
f(x) = { xP sin~ for x E (o, ~].
0 forx = 0.
(a) Show that f '/ BV([O, ~])if p E (0, 1].
(b) Show that f E BV([O, ~])if p E (1, oo).
Proof. 1. The proof is based on the following estimates:
(1)
L.tel>l·. tp < oo if p E (1, oo).
{ LkeiT tp = oo if p E (0, 1].
The function sinx for x E (0, oo) assumes the value 1 at x = ~ + 2hr fork E Z + and
assumes the value -1 at x = ~:IT + 2krr fork E Z+. Then the function sin ~ for x E (0, oo)
assumes the value 1 at~ = ~ + 2krr, that is, x = (~ + 2b)-1, fork E Z + and assumes
at~ = ~:IT + 2krr' that is, X = Grr + 2krr (
1
the value -1 ' fork E 2:,+· Let us set
(2)
Observe that we have
(3) f(a.t) = af and f(b'lr.) = -bf fork E Z+
Observe also that for every n E Z + we have
(4) 0 < bn < an < bn-1 < an-1 < .. . < bt < al < bo < ao = ~-
2. Let us prove (a), that is, let us prove that f '/ BV([O, ~])if p E (0, 1]. For n E N,
let Tn be a partition of [0, ~]given by
Tn = {0 < bn < an < bn-1 < an-1 < · · · < b1 < a1 < bo < ao = ~ }.
Then we have
2
(5) V0" (!, Tn) = lf(ao)- f(bo)l + lf(bo)- f(a1)1
+ lf(a1)- f(b1)1 + lf(bt)- f(a2)1
+ 1/(an)- f(bn)l + lf(bn)- f(O)I

n n
~ L lf(a,t)- f(b.t)l = L {af + bf}.
k=Q k=Q
Now we have
Substituting this estimate in (5), we obtain
~ 2P+l n 1
(6) Yo""(!, :P,.) ~ -(4-rr)-P ?; -(1-+-k)-P.
Then we have
2 2 2
Yo" (f)= sup Yo"(!, P) ~sup Yo"(!, Pn)
:Pe•:j.t 2 neH
O.;r
11
2P+l { 1 }
~ (4n)P !~E ~ (1 + k)P 6
by ( )
2P+l 1
= (4n)P ~ (1 + k)P = 00 by ( 1).
kE'' +
This proves that f fj BV ([0, ~]) if p e (0, 1].

3. Let us prove (b), that is, let us prove that f e BV ([0, ~]) if p e (1, oo).
On [bk, a~t] where k e .IZ+, f increases from f(b~t) to f(a'k.). Thus (d) of Observation
12.13 implies
f E BV(£b~t,akl).
{ v:: (f) = f(ak) - f(b~t) = af + bf.
Similarly on [ak, bt-d where k e N, f decreases from /(at) to /(bt-1) and thus we have
f E BV([a'k., b~t-ll).
{ v!k-l (f)= f(at)- /(b~t-1) = af + bf-1.
Now [b~t, a~t] U [alt. h~t-11 = [bk, b~t-d. Then by (b) of Lemma 12.15, we have
f E BV{[b~t. b~t-d).
{ vt:-l(f) = v:: (f) + vt:-l(f) = 2af + bf-t + bf.
Observe that for n e .IZ+, we have
[bn. ao] = [bn, bn-1] u [bn-1' bn-2] u ... u [bt, bo] u [bo. ao].
Then (b) of Lemma 12.15 implies that f E BV([b,h aol and moreover we have
n
(7) v;:(f) = L v~k-1(!) + v~(f)
k=l
n
= E {2af +bf_l +b:J +tab' +b&}
k=l
n
~2L{af+bf}.
k=O
Now we have
~2 t
k=O
(-1_3_)P = 2(3_)P + 2
1 + 4k 1f 1f
(_!__3_)P
k=l 4k 1f
t
2 P 2 n 1
= 2 (;;:) + (21f)P L kP'
k=l
ao (2)P 4 1
vb~ (f)~ 4 + (2n)P L
n
;;: kP.
1:=1
Then by (1) we have
(9) lim v;b~ao ( f ) <- (2)P

- +- 4- lim { Ln - 1 } < 00.
n-+oo 1f (2n)P n-+oo kP
k=l
Consider the total variation function v1 (x) = V6(f) for x E [0, ~]. We have
Vb:(f) = Vf(Clo)- Vj(bn).
Continuity off implies continuity of v1 by Theorem 12.22. Since lim bn = 0, we have

n-+oo
(10) lim
n---+-00
V::0(f)
ua
= Vf(Clo)- lim Vj(bk) = Vf(Clo)- Vj(O) = Vf(ao) =
11---+-00
VOO(f).
By (9) and (10), we have v;o (f) < oo. This proves that f E BV ([0, ~]) if p E (1, oo).
I
Prob. 12.13. (A Generalization of Prob. 12.12) Let p E (0, oo) and let f be a real-valued
continuous function on [0, b] where b > 0 defined by setting
f(x) = { xP sin~ for x E (0, b],
0 forx = 0.
(a) Show that f (j BV([O, bl) if p E (0, 1].
(b) Show that f E BV([O, bl) if p E (1, oo).
Proof. 1. Let us prove (a). Assume p E (0, 1].

1.1. Consider the case b :S ~.that is, [0, b] c [o, ~].To show that f (j BV(£0, b]), let
us assume the contrary, that is, let us assume that f E B V ( [0, b]). Now a simple calculation
shows that f' is continuous on [b, ~]and hence bounded on [b, ~]. Thus by Prop. 12.5
we have f E BV([b, ~ ]). Then we have f E BV([O, ~])by (b) of Lemma 12.15. This
contradicts (a) of Prob. 12.12. Therefore we must have f (j B V ([0, b]).
1.2. Consider the case~ < b, that is, [0, ~] c [0, b]. To show that f (j BV(£0, bl), let
us assume the contrary. Then we have f E BV(£0, bl). This implies that f E BV([O, ~ ])
by (a) of Lemma 12.15. This contradicts (a) of Prob. 12.12. Therefore we must have
f (j BV([O, b]).
2. Let us prove (b). Assume p E (1, oo).
2.1. Consider the case b :S ~.that is, [0, b] c [0, ~]. By (b) of Prob. 12.12, we have
f E BV([O, ~]).This implies that f E BV([O, b]) by (a) of Lemma 12.15.
2.2. Consider the case~ < b, that is, [0, ~] c [0, b]. By (b) of Prob. 12.12, we have
f E B V ([0, ~]). It is easily shown that f' is continuous on [ ~, b] and hence bounded on
[~. b]. Then by Prob. 12.6, we have f E BV([~. b]). Then by (b) of Lemma 12.15, we
have f E BV([O, b]). I
Prob. 12.14. Construct a sequence (f; : i E N) of real-valued functions on [0, b] such that
1° f; E BV (£0, b]) for every i E N.
2° f = _lim f; exists on [0, b] but f (j BV([O, b]).
1-+00
Proof. Fori E N let us define a function Ji on [0, b] by setting
x 1+f sin 1 for x E (0, b],

Ji(x) = x
{ 0 forx = 0,
and define a function f on [0, b] by setting
X sin 1 for X E (0, b],
f(x) = :x
{
0 forx = 0.
According to Prob. 12.13, we have f; E BV(£0, b]) for every i E Nand f (j BV([O, b]).
Now lim x 1+i = x and this implies that lim Ji = f on [0, b]. 1
i-+oo i-+oo
Prob. 12.15. Let (/; : i E N) and f be real-valued functions on an interval [a, b] such that
.lim f;(x) = f(x) for x E [a, b). Show that V!<J) ::S ~inf V!(/i).
l-+00 , ...... 00
(There are such cases that ~inf v;(.{;) = oo or even .lim v;(f;) = oo. SeeProb.12.16.
J-+00 J-+00
Thus v:cn :::: li:minf v:(f;) does not imply v:u> <
1-+00
oo.)
Proof. For a sequence (c; : i E N) in IR and c E IR, we have
(1) .lim Ci = c "*.lim

1~00 , ..... 00
lc;l =lei= l.lim
, ....... 00
c;l.
(1bis can be proved as follows. Suppose we have .lim c; =c. Then for every E > 0 there
1~00
exists N E N such that lc; - cl < 8 fori 2:: N. Then we have lie; I - Iell :::;: lc; - cl < 8 for
i 2:: N. This shows that .lim lc;l =lei= l.lim cd.)
1~00 ......00
Let 1' E ~a.b be given by 1' ={a= xo :::;: · · ·:::;: X11 = b}. Then we have
II II
(2) v;(f, :P) = L lf(xk)- /(Xk-1)1 = L l.lim f;(Xk)- .lim f;(Xk-1)1

1-+00 1-+00
k=1 k=1
II
=L .lim IJiCx.t) -Ji(x.t-1)1 by (1)

1-+00
k=1
II
=.lim
l-+00
L INxk) -ji(Xk-1)1
k=1
=.lim
l~OO
v:(Ji, P) = ~infv:(Ji,
J-----)>00
P).
Now we have v%(Ji, 'J') ::::= v%(/i) for every i E Nand then we have
(3) ~inf v;(f;, :r) :::: Ji:minf v!(Ji).

1~00 1~00
(4) v:(f, 1') ::S Ji:minf v:(Ji) for every 'J' E 1-~a.b·
1-+00
Then we have

Prob. 12.16. For each i E N,let us partition [0, 1] into 2i subintervals of length f;. Thus
[0, 1] = utl It where It= [k;l' f;]
fork= 1, ... '2i. Let .h be a real-valued function
on [0, 1] defined by setting{' k .
1 for x = 11 fork = 0, ... , 2 1
.fi(x) =
0 elswhere on [0, 1].
(a) .fiE BV{[O, 1l) for every i EN and .lim vJ(.fi) = oo.
1-+00
(b) f = .lim .fi exists on [0, 1] and f '/. BV([O, 1]).
1-+00
Proof. 1. Let us prove (a).

On every subinterval /t, where k = 1, ... , 2i, /; decreases first from 1 to 0 and then
}
increases from 0 to 1. This implies that .fi E

..,....1 (!;) = 2 according to (d)
BV(lt) with Vl!
of Observation 12.13 and (b) ofLemma 12.15.
Then by (b) of Lemma 12.15 we have f; E BV([O, 1l) and we have
21 }
v.ol(J•*'·) -- "y2i
L *'·)-
0 ( J• - 2i • 2-
- 2i+l •
k=l 2'
Then we have
.lim vJ(J;) =.lim 2i+1 = oo.
l-+00 1-+00

2. Let us prove (b). For every i E N,leCB; ={f. : k = 0, · · · , 2;} and call the members
of the set 13; binaryrationalnumbersofdenominationi in [0, 1]. Observe that (TI; : i EN)
is an increasing sequence of sets, that is, 13t c 132 c 133 c .... Let 13 = uiEJ'i 13; and call
the members of the set 13 binary rational numbers in [0, 1]. The definition of our function
f; is then restated as follows
1 for x E 13;,
/;(x) ={
0 elsewhere on [0, 1].
Then (.fi(x): i EN) is an increasing sequence for every x E [0, 1]. Indeed we have
(0, 0,0, ... ) for x '/. 13.

(Ot, ... , 0;0 ~ t, 1, 1, 1, ... ) for x E 13;0 where io > 1.
(1, 1, 1, ... ) for x E 13t.
Now that (f; (x) : i E N) is an increasing sequence of real numbers for every x E [0, 1],
f(x) = .lim .fi(x) exists for every x E [0, 1]. Moreover we have
1-+00
1 for x E '13,
f(x) =
{ 0 elsewhere on [0, 1].
Let us show that f ¢ BV([O, 1]). For each i eN, let :Pi be a partition of [0, 1] whose
partition points are given by
1li={~:k=Q, ... ,2i},

{ irrational number $1 E It = [ 12i 1 , ~]fork = 1, ... , 2i .
On h where k = 1, ... , 2i, we have
l!(~k)- J(!if)l +I!(~)- !(51)1 = 1 + 1 = 2.

Thus we have
V01 ( J, :Pi ) = 2'. · 2 = 2''+1 .
Then we have
vJ(J) = sup vJ(J, T):::: sup vJ(J, Ti) = sup2i+l = oo.

:l'e•.J.to,l iefl ieF
Thus we have vJ(J) = oo. This shows that f ¢ BV([O, 1]). 1

Prob.12.17. Let f E BV([a, b]) and g E BV([c, dl). Assume that f([a, b]) c [c, d] so
thatg o fisdefined on [a,b]. Construct an example such thatg of~ BV([a,bl).
Proof. 1. Let us define two real-valued functions f and g on [0, 1] by setting
f(x) =
x2 1sin!l:x forx E (0, 1],
{ 0 forx = 0,
and
g(x) =../X for x E [0, 1].
We have f([O, 1]) c [0, 1], which is the domain of definition of g so that g o f is
defined on [0, 1]. Now g is monotone on [0, 1] and this implies that g E BV ([0, 11) by (d)
of Observation 12.13. To verify that f E BV ([o, 11), let us define a real-valued function
fo on [0, 1] by setting
x 2 sin ~ forx E (0, 1],
/o(x) =
{ 0 forx = 0.
Thenfo E BV([O, 11) by(b)ofProb.12.13. Then since f = lfol, we have f E BV([O, 1l)
according to Prob. 12.4.
2. Let us show that go f ~ BV ([0, 1]). For brevity let us write h =go f. Then
../J{ij = xM for X E (0, 1],

h(x) =(go f)(x) =
{0 VI zuu i"l
forx =0.
Let us show that h ~ BV ([0, 11).

The function I sinxl forx E (0, oo) assumesthevalueOatx = br fork E Nand assumes
the value 1 atx = ~ + krr fork EN. So does the function Jl sinxl for x E (0, oo). Then
the function /1 sin~ 1for x E (0, oo) assumes the value 0 at ak = (krr)- 1
fork E N and
assumes the value 1 atbk = (~ + b)-1 fork EN. Observe that we have
For every n E N, we have
Define bo = 1 and define a11+1 = 0 for the time being. We still have h(a11+1) = h(O) = 0.
Consider a partition 1'11 of [0, 1] defined by
1',. = {0 = an+1 < b,. <a,.< bn-1 < a..-1 < · · · < b1 < a1 < bo = 1}.
We have
1'1 1'1
vJ(h, Tn) = L lh(a.i;+l)- h(bJc)l + L lh(bJc)- h(ak)l

k=O k=l
1'1 1'1 1'1
= Elh(bJc)l + Elh(bJc)l =h(1)+2EbJc

k=O k=1 Jc=1
1'1 1
=h<1>+2E~k
Jc=1 2 + 1f
1
1'1 2 1'1 1
~ h(1) + 2 {; (k + 1)7r = h(1) + "if {; k + 1'
Then we have
vJ(h) = sup vJ(h, T) ~sup vJ(h, Tn)

~Pe•::Po,t neU
2 " 1
~ sup {h(1) +- L - }
IIEfl 7f k=1 k + 1
2 1
E-}
1'1
= h(1) +-sup {
1f nell k= k + 1 1
= oo.
This shows that h 'I BV (£0, 11). 1
Prob. 12.18. Let f E BV([a, b]) and 8 E BV([c, d]). Assume that f([a, bl) c [c, d] so
that 8 of is defined on [a, b]. Assume further that f is an increasing function on [a, b].
Show that 8 of E BV([a, b]).
Proof. If g E BV([c, dl) then g = 81 - 82 where 81 and 82 are increasing functions on
[c, d] according to Theorem 12.18 (Jordan Decomposition). Then we have
Now f is an increasing function on [a, b] and 81 is an increasing function on [c, d]. This
implies that 81 of is an increasing function on [a, b]. Similarly 82 of is an increasing
function on [a, b]. Then by Theorem 12.18 we have 8 of E BV(la, b]). 1
Prob.12.19. Let f be a real-valued continuous and BV function on [0, 1]. Show that
n
n~E It(~)- t(l;1 )1

2
= o.
i=l
Proof. Continuity off on the compact set [0, 1] implies uniform continuity off on [0, 1].
Thus for every e > 0 there exists 8 > 0 such that
(1) lf(t')- f(t")l < e for 11, t" E [0, 1] such that It'- t"l < 8.
Let N E N be so large that ~ < 8. Then for every n ~ N we have ~ < 8. Then for n ~ N
we have
(2) l!(~)-f(i-;; 1 )1 <e fori=1, ... ,n.

Then we have
n n
2
(3) E It(~) - te-;;t) 1 = E It(~)- te-;;t )I ·It(~) - te-;; 1) I
n
~e E It(~)- t(i-;; )1 1
by c2)
~ evJ(f) .
Observe that f E BY([O, 1J) implies VJ(f) < oo. Next. (3) implies
n
(4) lim sup
n-+oo i=l
L If(~)- J(i-;; 1)1 ~ evJ(f).
2
Since (4) holds for every e > 0, we have

n
(5) lim sup
n-+oo i=l
L If(~)- J(i-;;1)12 = 0.
The nonnegativity of the sum in (5) implies that
n n
o ~ ~~E It(~)- t(i;l)l2 ~lim sup E It(~)- t(i-;;1)12 = o.
i=l n-+oo i=l
This shows that the limit inferior and the limit superior are both equal to 0. This implies
that the limit exists and is equal to 0, that is,
n
2
n~ E It(~)- t(i-;/)1 = o.
i= l

Prob. 12.20. Let f be real-valued and differentiable everywhere on (a, b). Show that the
derivative f' is a Borel measurable function on (a, b).
Proof. We say that a real-valued function g on (a, b) is Borel measurable if it is a 'B ~,, /'B w
measurable mapping of (a, b) into JR.
Now iff is differentiableatx E (a, b) then f is continuous atx. Then iff is differen-
tiable everywhere on (a, b) then f is continuous at every x E (a, b) and hence continuous
on (a, b). Since every continuous function on (a, b) is a 'BFJ'B F;-measurable mapping of
(a, b) into JR according to Theorem 4.27, f is a 'Brr/'Br? -measurable mapping of (a, b)
into JR.
Since f' exists everywhere on (a, b) we have
f'(x) = lim f(x + ~~- f(x) for x E (a, b).

n......,oo _
n
For n E N define
8n(x) = x + k for x E (a, b),
and then define
fn = f o 8n that is, fn(X) = f(gn(X)) = f(x + k) for x E (a, b).
Then we have
f'(x) = lim n{fn(x)- f(x)} for x E (a, b).
n__.oo
Now 8n is a continuous function on (a , b) and thus 8n is a 'BR/'B:r:-measurable mapping
of (a, b) into R . Then since f is a 'Brd'Br,:-measurable mapping, fn = f o 8n is a
'Brrd'B R-measurable mapping by Theorem 1.40 (Chain Rule of Measurable Mappings).
Then nUn - f} is a 'B11;/'Bv -measurable mapping by Theorem 4.11 and Theorem 4.12.
lim nUn - f} is a 'Brr/'Brr:-measurable mapping by Theorem 4.22. This shows
Then n__.oo
that f' is a 'BFJ'BL.:t-measurable mapping. 1

(Fubini's Differentiation Theorem for Series of Increasing Functions) Let Un : n e N)
be a sequence ofreal-valued increasing functions on [a, b]. Assume that the series s (x) =
LneH fn(x) corwergesfor every x E [a, b]. Then we have s'(x) = LneH f~(x)for ILL -a.e.
X E [a,b].
Proof. 1. Since fn is a real-valued increasing function on [a, b] for every n E N and since
s(x) = LneH fn(x) converges for every x E [a, b], sis a real-valued increasing function
on [a, b].
By Theorem 12.10 (Lebesgue), the derivatives' exists and is nonnegative ILL -a.e. on
[a,b], and moreover s' is mL-measurable and ILL-integrable on [a, b] so that s' is real-
valued ILL -a.e. on [a, b]. Thus there exists a null set E in the measure space(~. mL, ILL)
contained in [a, b] such that s1(x) e [0, oo) for x e [a, b] \E. Since fn is real-valued and
increasing on [a, b], by Theorem 12.10 similarly the derivative /~ exists and is nonnegative
ILL -a.e. on [a, b], and moreover f~ is 9J1L-measurable and ILL-integrable on [a, b] so that
f~ is real-valued ILL -a.e. on [a, b ]. Thus there exists a null set En in the measure space
(~. mL, ILL) contained in [a, b] such that /~(x) e [0, oo) for x e [a, b] \En.
Let A = E U ( Unel•l En), a null set in the measure space(~. !JRL, ILL) contained in
[a,b]. Then we have
(1) {/~(x): n eN} c [0, oo) ands'(x) e [0, oo) for x e [a, b] \A.
Consider the sequence of partial sums (sn : n e N) of the series s = Lnet 1 fn, that is,
Sn = Lk=l /k for n E Nand s = lim Sn. Now Lnell f~ = lim 1:~ 1 fie= lim s~.
n~oo n~oo n~oo
Thus to prove the theorem it remains to show that
(2) s'(x) = lim s~(x) for x e [a, b] \A.

n~oo
2. Let us consider the particular case that fn is a nonnegative real-valued increasing

function on [a, b] for every n e N. Now nonnegativity of fn implies
(3) sn(x) t s(x) for x e [a, b].
Let h > 0. Since fn+ 1 is an increasing function on [a, b], we have
fn+l (x +h)- fn+l (x) >

h - 0
and then
Sn(X +h)- Sn(x) Sn(X +h)- Sn(x) fn+l (x +h) - fn+l (x)
h ~ h + h
Sn+l (x +h)- Sn+l (x)
=
h
s(x +h)- s(x)
< h by (3).
Letting h .J.. 0, we have s~(x} ~ s~+l (x} ~ s'(x} < oo for x E [a, b] \A. Thus we have
(4} s~(x) t and lim s~(x} ~ s'(x} < oo for x
n-+oo
E [a, b] \A.
It remains to show that actually we have the equality

(5} lim s~(x} = s' (x) for x E [a, b] \A.
n-+oo
Since s~ (x) t, to prove (5) it suffices to show that there exists a subsequence (n.t : k E N)
of the sequence (n: n EN) such that
(6) lim s~. (x) =s'(x) forx E [a,b]\ A.
k-+oo •
Now we have sn(b) t s(b) and therefore lim { s(b) - sn(b)} = 0. Choose n1 so that
n-+oo
s(b)- Sn1 (b) < !· Choose n2 > n1 so that s(b)- Sn (b) < 2 tz· Choose n3 > n2 so that
s(b)- s,.3 (b) <~and so on. Then we have
(7) L {s(b) -Snk(b)} ~ L 21 = 1 < oo. k

keH kEI'-1
Since s- snt = Ln#nt fn and this sum is an increasing function on [a, b], we have
(8) 0 ~ s(x)- Snk(x) ~ s(b)- Snk(b) .
(9) L {s(x)- s,.t(x)} ~ L {s(b)- Snt(b)} < oo.

ken kef ·l
Now (s - Snt : n E N) is a sequence of nonnegative increasing functions on [a, b] and the

series Lkeids- snt} converges on [a, b] according to (9). Thus (1) applies and we have
(10) L {s'(x)- s~k(x)} < oo for x E [a, b] \A.

keH
Convergence of the series in (10) implies
lim {s'(x)- s~k(x)} = 0 forx E [a, b] \A.
k-+oo
This proves (6) and then (5).
3. Consider the general case, that is, we do not assume that fn is nonnegative for every
n E N. Let
Kn(X) = fn(X)- fn(a) for X E [a, b].
Since j,. is a real-valued increasing function on [a , b], Kn is a nonnegative real-valued
increasing function on [a, b]. Since s(x) = Lnefl j,. (x) converges for every x E [a, b],
t(x) := L Kn(X) = L {Jn(X)- fn(a)} = s(x) - s(a)

nel'·! nefJ
converges for every x E [a, b]. Then by our result in 2, we have t'(x) = Lnel'·l g~(x) for
f-LL-a.e. x E [a, b], that is, s'(x) = LneF f~(x) for f-LL-a.e. x E [a, b]. I
§13 Absolutely Continuous Functions

Prob. 13.1. Let f and g be real-valued absolutely continuous functions on [a, b ]. Show
that the following functions are absolutely continuous on [a, b]:
(a) ef where e e IR,
(b) f + g,
(c) fg,
(d) 1// provided that f(x) =I= 0 for every x e [a, b].
(e) lfl.
Proof. 1. Let us prove (a). Suppose f is a real-valued absolutely continuous function on

[a, b]. Let e e IR and consider the function ef on [a, b]. Let us show that ef is absolutely
continuous on [a, b].
Now a constant function on [a, b] is trivially absolutely continuous on [a, b]. If e = 0
then ef is a constant function on [a, b] and then it is absolutely continuous on [a, b].
Consider the case e ¥= 0. In this case we have lei > 0. Let E > 0. Since f is absolutely
continuous on [a, b] there exists 8 > 0 such that for any finite collection of non-overlapping
closed intervals {[a,t, b.t] : k = 1, ... , n} contained in [a, b] with L.t=l (b.t- a,t) < 8 we
have L:~ 1 1/(b.t) - f(a.t)l < ~- Then we have
n n
L ICef)(blt)- (e/)(aJc)l =lei k=l
lt=l
L I!Cb.t)- f(ak)l < lei~=
lei
E.
This shows that ef is absolutely continuous on [a, b].

2. Let us prove (b). Suppose f and g are real-valued absolutely continuous functions
on [a, b]. Let us show that f + g is absolutely continuous on [a, b].
Let e > 0. Since f is absolutely continuous on [a, b] there exists~' > 0 such that for
any finite collection of non-overlapping closed intervals {[a~. b~] : k = 1, ... , n'} contained
in [a, b] with L~l (b~- ak) < 8' we have L:i~ 1 lf(bk)- f(a~) I < ~·
Similarly the absolute continuity of g on [a, b] implies that there exists 8" > 0 such
that for any finite collection of non-overlapping closed intervals {[a,t, b,t] : k = 1, ... , n"}
contained in [a, b] with L:Z:,1 (b.k- a,t) <~"we have ~ 1 1/(b,t)- /(a,t)l < ~-
LeU = min{B', 8"} > 0. Let {[a,t, b.t] : k = 1, ... , n} be an arbitrary finite collection
of non-overlapping closed intervals contained in [a, b] with L:i=l (bit- a~:)< 8. Then we
have
n n
L IC! +g)(b~t)- (f + g)(a.t)l = L I{!Cb.t) +g(b.t)}- {!Ca.t) + g(a.t)}l
k=l k=l
n n n
:SL {I!Cb.t)- f(ak)i + ig(bJc)- g(a.t>l} = L I!Cb.t)- f(a.t)l + L ig(bJc)- g(a.t)l
k=l k=l k=l
e E
<-+-=e.
2 2
This proves the absolute continuity off+ g on [a, b].
§ 13 Absolutely Continuous Functions 315
3. Let us prove (c). Suppose f and g are real-valued absolutely continuous functions
on [a, b]. Let us show that fg is absolutely continuous on [a, b]. Now absolute continuity
off and g on [a, b] implies that f and g are bounded on [a, b] by Theorem 13.12 and (b)
of Observation 12.13. Thus there exists M > 0 such that If I ::; M and IKI ::; M on [a, b].
Let e > 0. Since f is absolutely continuous on [a, b] there exists 8' > 0 such that for
any finite collection of non-overlapping closed intervals {[a~, b~] : k = 1, ... , n'} contained
in [a, b] with E'-= 1 (hi,- < 8' we have E'-=1 lf(b~)- [CaDI < 2~.
a,p
Similarly the absolute continuity of g on [a, b] implies that there exists 811 > 0 such
that for any finite collection of non-overlapping closed intervals {[af, bf] : k = 1, ... , n"}
contained in [a, b] with E~~ 1 (b~ - af> < 8" we have E;:
1 If (b~) - f (a~) I < 2~.
Let 8 = min{8', 8"} > 0. Let Hat, btl : k = 1, . . . , n} be an arbitrary finite collection
of non-overlapping closed intervals contained in [a, b] with Ek:=1(bt- a1) < 8. Then we
have
~ ~
L i(fg)(b,t)- (fg)(a.t)l = L IJCbt)g(b.t)- f(ak)g(a.t)l

k=1 k=l
~
:S L {lf(h.k)g(h.k)- f(b.k)g(a.k)l + lf(a.k)g(h.k)- f(a.k)g(a.k)l}

k=1
~
= L {lg(bk)llf(b.~;)- f(a.~:)l + lf(a.~:)llg(b.~;)- g(a.~:)l}

.1:=1
~ ~
:SM L lf(b.~;)- [(a.~:) I +ML lg(b.~;)- g(at)l

.1:=1 k=l
8 8
<M-+M-=8.
2M 2M
This proves the absolute continuity of fg on [a, b].
4. Let us prove (d). Suppose f is a real-valued absolutely continuous function on [a, b]
such that f(x) 'I 0 for every x E [a, b]. Let us show that the function 1/f is absolutely
continuous on [a, h].
Absolute continuity off on [a, b] implies continuity off on [a, b] and this then implies
continuity of If I on [a, b ]. This then implies the existence of a minimal point and a minimal
value m = min[a,b] I!I of Ifl. Since lfl(x) 'I 0 for every x E [a, b], we have m > 0.
Let e > 0. Since f is absolutely continuous on [a, b] there exists 8 > 0 such that for
any finitecollectionofnon-overlappingclosedintervals {[a,~;, b.~;]: k = 1, . .. , n} contained
in [a, b] with rk=1 (b.k- a,t) < 8 we have rk=1 lf(b,t)- f(a.t)l < m2 8. Then we have
This proves the absolute continuity of 1/f on [a, b].

5. Let us prove (e). Suppose f is a real-valued absolutely continuous function on [a, b].
Let us show that If I is absolutely continuous on [a, b].
Let 8 > 0. Since f is absolutely continuous on [a, b] there exists 8 > 0 such that for
any finitecollectionofnon-overlappingclosed intervals {[a~~;, b~~;] : k = 1, . . . , n} contained
in [a, b] with E~ 1 (bk- ak) < 8 we have E~ 1 1f(bk)- f(ak)l < 8 . Then we have
n n n
L 11/l(hk) -1/l(ak)l = L 11/(bk)l-lf(ak)ll ~ L lf(bk)- f(ak)l < 8.
k=l k=l k=l
This proves the absolute continuity of 1/1 on [a, b]. 1

Prob. 13.2. Let f be a real-valued function on [a, b]. Let c E (a, b). Show that iff is
absolutely continuous on [a, c] and [c, b] then f is absolutely continuous on [a, b].
Proof. 1. Let f be a real-valued function on [a, b]. Let I = [x', x"] c [a, b]. Let us
introduce the notation: !:::../(I) = f (x") - f (x'). Then the definition of absolute continuity
of a function can be reformulated as follows:
We say that areal-valued function f on [a, b] is absolutely continuous on [a, b] if for every
s > 0 there exists 8 > 0 such that for any finite collection {h • .. . , I,.} of non-overlapping
closed intervals contained in [a, b] with L:= 1 l(lt) < 8 we have L:=1 1!:::../(h) I < s.
l. Let /be areal-valued function on [a, b]. Letc E (a, b). Suppose that f is absolutely
continuous on [a, c] and [c, b]. Let us show that f is absolutely continuous on [a, b].
Absolute continuity off on [a, c] implies that for every 6 > 0 there exists §1 > 0 such
that for any finite collection {h,t. .. . , h,n1 } of non-overlapping closed intervals contained
in [a, c] with L~!, 1 l(Jt,l:) < §1 we have L~!, 1 1!:::../(11,1:)1 < ~-
Similarly absolute continuity off on [c, b] implies that for every 6 > 0 there exists
82, > 0 such that for any finite collection {h 1, • •• , h,112 } of non-overlapping closed intervals
contained in [c, b] with ~:: 1 l(h,k) < §2 we have ~ 1 1!:::../(h,k)l < ~-
Let 8 = min{81, §z} > 0. Let {it, ... , I,.} be an arbitrary finite collection of non-
overlapping closed intervals contained in [a, b] with L~l t(h) < 8. There are two
possible cases to consider.
1bis first case is when c is not in the interior of h for any k = 1, ... , n. In this case each
his either contained in [a, c] or contained in [c, b]. Let {lt,1, ... , h, 111 } be the collection
of those contained in [a, c] and let {h,1 , ... , h,n2 } be the collection of those contained in
[c, b]. Note that we have
L~1 t(Il,k) ~ L~t t<h> < 8 ~ &1.

{ L~ 1 t(h,~:) ~ L:= 1 tU~:> < 8 ~ §z.
Then we have
n "l "2
L lt:::..tch>l = L lt:::..tu1,k)l + L lt:::..tuz.k)l < ~+~ = s.

1=1 k=1 k=l
1bis shows that f is absolutely continuous on [a, b].

The second case is when c is in the interior of IkQ for some ko E {1, . .. , n}. Let us write
IkQ = [akQ, blcQ] and define I:O = [akQ, c] and/' = [c, blcQ]. Then It, ... , IkQ-l, I:O are
contained in [a, c] and I,, IkQ+l· ... , I,. are contained in [c, b]. Moreover we have
l(h) + · ·· + tCikQ-t) + tCI:0> ~ L:=1t(h) < § ~ 81.

{ t(I') + tCiko+1) + ... + t(l,.) ~ L:=1 tCh> < § ~ 82,.
Then
n
L I.Af(Ik)l :::s {.Af(h) + ... + .Af(I~-l) + .Af(I~)}
k=l
+ {.Af(J/:o) + .Af(Ik!+l) + · · · + .Af(In)}
e e
< 2 + 2 =e.
This shows that f is absolutely continuous on [a, b ]. 1
Prob. 13.3. Let f be a real-valued absolutely continuous function on [a, b]. Let E = {x E
[a, b]: f'(x) = 0}. Show that fLL(f(E)) = 0.
Proof. Let f be a real-valued absolutely continuous function on [a, b]. Then according to
Corollary 13.3 the derivative!' exists (VJlL' 1-LL)-a.e. on [a, b] and is mL -measurable and
ILL -integrable on [a, b ]. Let
E ={X E [a, b] : f'(x) = 0} E VJiL.
Then by Theorem 13.5 we have
IL~(f(E)) :::s L lf'ldf.L = L Odf.L = 0.
Thus we have JL~(f(E)) = 0 which implies ILL(f(E)) = 0. 1
Prob. 13.4. Let f be a real-valued function on [a, b]. Show that if the derivative f'(x)
exists at every x E [a, b] then f satisfies Lusin's Condition (N) on [a, b], that is, for every
E c [a, b] which is a null set in the measure space (IR, VRL, ILL), the set f(E) is a null set
in (IR, VJ1L, ILL).
Proot Suppose the derivative f'(x) exists at every x E [a, b]. Let us show that f satisfies
Lusin's Condition (N) on [a, b].
Let E C [a, b] be a null set in the measure space (IR, ~JlL, ILL). Being a null set in
(IR, VRL, ILL), E is a ~J1L -measurable set. Since f' exists at every x E [a, b ], f' exists at
every x E E. Then by Theorem 13.5, we have
IL~ (f(E)) :::s LIf' I diLL ·

Since E is a null set in (IR, ~.nL, ILL), we have JE
If' Idf.LL = 0 and then f.L; (f(E)) = 0.
This shows that f(E) is a null set in (IR, ~.nL, JLJ. 1
Prob. 13.5. Let f be a real-valued function on [a, b] such that f is differentiable (that is,
f has a finite derivative f') at every point in [a, b]. Show that f is absolutely continuous
on [a, b] if and only iff is a function of bounded variation on [a, b].
Proof. Differentiability off at a point in [a, b] implies continuity off at the point. Thus
differentiability off at every point in [a, b] implies continuity off on [a, b]. Existence
of the derivative/' at every point in [a, b] implies that f satisfies Lusin's Condition (N)
on [a, b] according to Prob. 13.4. Thus our function f is continuous on [a, b] and satisfies
Lusin's Condition (N) on [a, b]. Then by Theorem 13.8 (Banach-Zareck:i), f is absolutely
continuous on [a, b] if and only iff is a function of bounded variation on [a, b]. 1
Prob.13.6. (If a real-valued function f on [a, b] is absolutely continuous on [a, b] then f

is differentiable at a.e. x e [a, b] by Theorem 13.18. On the other hand if a real-valued
function/ on[a, b] is differentiable at every x e [a, b], f neednotbeabso1utelycontinuous
on [a, b ]. Here is an example.)
Let f be a real-valued function on [0, f,r]
defined by
x 2 sin 1 forx e (0, ...L]

f(x) = XI .;n
{ 0 forx = 0.
(a) Show that f is differentiable at every x e [ 0, Jr] and thus f is continuous on [0, J,r].
(b) Show that f is not a function of bounded variation on [0, -;};;] and thus f is not absolutely
continuous on [0, Jr] according to Theorem 13.8 (Banach-Zareck:i).
Proof. 1. For x e (0, J,r ], we have
1 • 1 2 1
f (x) = 2x sm- - -cos- e lEt.
x2 x x2
Atx =0, we have
f 1(0) = lim f(x)- f(O) = lim x sin_.!.._ = 0 E R.

x-+0 X - 0 x-+0 x2
This shows that f is differentiable at every x e [0, Jr]. This implies that f is continuous
on [o, Jr].
2. Let us show that f ¢ Bv([o, Jr]). The function sinx for x e [0, oo) assumes the
value 0 at x = k:rr fork e Z + and assumes the values ±1 at x = (k + l):rr fork e Z+
Then the function sin~ for x e (0, oo) assumes the value 0 at -]r = k:rr, that is, x =
fork e N and assumes the values ±1 at ~ = (k + !):rr, that is, x = ~ fork e N.
*
X k+! 1r
Let
ak = vk and bk = J(k~!} fork E N.
Then we have
f(ak) = aisink:rr = 0 and f(bk) =hi sin (k + l):rr = ±bi fork e N.
Observe also that for every n e N we have
For n e N, let ~n be a partition of [0, },r] given by

~n = {0 < bn <an < hn-1 < Un-1 < · · · < b1 < a1 = Jr }.
For the variation off on [o, J,rJ corresponding to the partition Pn, we have
I
V04K (f, :J\) = lf(ai)- f(hi)I + lf(hi)- j(a2)l
+ lf(a2)- f(~)l +If(~)- j(a3)l
+ lf(an)- f(bn)l + IJ(bn)- f(O)I

n n n
= 2 E IJ(b~;)l = 2 Ebi = 2 E (k +12
k=l 1=1 1=1
1)
7r
2 n 1
>-E-
-k=l k + 1.
7r
Thus we have
.L 2 n 1 2 1
supV0~(f,Tn)
neH
2=: sup{-
nEI',I
L kl}
7r 1= 1 +
=- L k l = oo.
+ 7r 1eH
Then for the total variation of f on [0, J,r J, we have

I 1 1
V0-:r.< (f) = sup V0--:;;r (J, P) 2=: sup V0--:;;r (f, Tn) 2=: oo.
~T'e :l'o,l/;/ii' neH
1
Thus we have V04N (f)= oo and f ¢ BV ([o, J,rJ). 1
Prob.13.7. Let f be a real-valued function on [a, b]. Show that f is absolutely continuous
on [a, b] if and only if it satisfies the following conditions:
1o f is continuous on [a, b].
2° f satisfies Lusin's Condition (N) on [a, b].
3o f' exists JJ.L-ae. on [a, b] and f' is mtL-measurable and IJ.L -integrable on [a, b].
Proot 1. Suppose f is absolutely continuous on [a, b ]. Then by Corollary 13.3, f satisfies

condition 3° and by Theorem 13.8 (Banach-Zarecki), f satisfies conditions 1° and 2°.
2. Conversely suppose f satisfies conditions 1o, 2° and 3°. To show that f is absolutely
continuous on [a, b], let us show first that for any [c, d] c [a, b] we have
(1) lf(c)- f(d)l ~ ( lf'ldiJ.L·

J[c.tll
Since f' exists JJ.L-ae. on [a, b] and [c, d] c [a, b], f' exists JJ.L -a.e. on [c, d]. Thus there
exists a null setF in (IR, 9J1L, JJ.L) contained in [c, d] such that f' exists onE := [c, d] \F.
Then we have [c, d] = E U F, E nF = ~. JJ.L (F) = 0, and/' exists on E. Since f satisfies
Lusin's Condition (N) on [a, b], JJ.L (F) = 0 implies
(2) JJ.~(/(F)) = 0.
Let f(c), f(d) be the closed interval in the image space IR off with /(c) and f(d) as
its two endpoints. Let y E f(c), f(d). Since f is a continuous function on [a, b] there
exists x E [c, d] such that y = f(x) by the Intermediate Value Theorem for Continuous
Functions. Thus we have
(3) f(c), f(d) C f([c, d]).

Then we have
1/(c)- f(d)l = l(/(c), f(d)) = JJ.L(/(c), f(d))
~JJ.~(/(£c,d1)) by(3)
= JJ.~(/(E U F))= JJ.~(/(E) U /(F))
~ JJ.~(/CE)) + JJ.~(/CF))
= JJ.~(/(E)) by(2)
~ llf'l dJJ.L by Theorem 13.5
~ ( 1/'1 diJ.L•
J[c,d]
This proves (1).

To show that f is absolutely continuous on [a, b], we show that for every e > 0 there
exists 8 > 0 such that for any finite collection of non-overlapping closed intervals {[ak, bk] :
k = 1, ... , n}containedin[a,b]withi:~ 1 (bk-ak) < 8, wehave I:Z=1 1/(bk)-f(ak)l <
e. Nowlete > 0 be arbitrarily given. By Theorem 9.26, the #Lc. -integrability off' on [a, b]
implies that there exists lJ > 0 such that
(4) i If' Id#Lc. < e forany A c [a, b] such that A E illlc. and #Lc. (A) < IJ.
Let { [ak, bk] : k = 1, ... , n} be an arbitrary finite collection of non-overlapping closed

intervals contained in [a, b] with L~=l (bk- ak) < IJ. Then we have
where the first inequality is by (1) and the last inequality is by (4) and the fact that
n n n
!Lc. ( U[ak, bk]) = L !Lc. ([ak, btl) = L(bk- a~;) < 8.
k=l k=l k=l
This completes the proof that f is absolutely continuous on [a, b]. 1
Prob. 13.8. Letf be a real-valued function on [a, b] satisfying the following conditions:
1° f is differentiable at every point in [a, b].
2° f ¢ BV([a, bl).
Show that!' is mL -measurable but not #Lc. -integrable on [a, b ].
Proof. Differentiability off at every point in [a, b] implies that f is continuous on [a, b].
Existence off' at every point in [a, b] implies that f satisfies Lusin's Condition (N) on
[a, b] according to Prob. 13.4. Existence off' at every point in [a, b] also implies that f'
is 9Jlc.-measurable on [a, b] according to Proposition 12.4.
Now iff' were 1-tc.-integrableon [a, b] then f would be absolutely continuous on [a, b]
by Prob. 13.7 and then f would be a function of bounded variation on [a, b] by Theorem
13 .2, contradicting the condition 2°. 1
Prob. 13.9. For a real-valued function f on an interval J c Il-k, let us define
w(f, J) = sup f- inf f E [0, oo].

J J
Show that a real-valued function f on [a, b] is absolutely continuous on [a, b] if and only
if for every e > 0 there exists 8 > 0 such that for any finite collection of non-overlapping
closed intervals { lJc : k = 1, ... , n} contained in [a, b] with Lk=l £(h) < 8, we have
L~l w(f, h)< e.
Proot 1. Suppose f satisfies the condition. Then for 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 E~ 1 (bk- ak) < 8, we have Lk=l w(f, [ak, bkl) < e. Then since
lf(hk) - f(ak)l =::: SUP[a1 ,b1] f - inf[a1,b1 ] f, we have
PJ PJ
L lf(hk)- f(ak)l =::: L:w(f, [ak, bkl) <e.

k=l k=l
This shows that f is absolute continuous on [a, b].

2. Conversely suppose f is absolutely continuous on [a, b]. Then for every e > 0
there exists 8 > 0 such that for any finite collection of non-overlapping closed intervals
{lak, bk] : k = 1, ... , n} contained in [a, b] with E~=l (bk- ak) < 8, we have
PJ
(1) L lf(bk)- f(ak)l < ~·

k=l
Consider [ak, hk] and w(f, [ak, hk]) = SUP[at,btl f - inf[a1 ,b1] f. Since f is absolutely
continuouson[a,b], f is bounded on [a,b]. Thus -oo < inf[a1 ,b1J f =::: SUP[at,b.tl f < oo.
Then there exists xJ. E [ak, bk] such that
inf f + !.__ > f(xJ.) that is, inf f > f<xD - !.__
lat.btl 3n la.t.btl 3n
and there exists x"k E [ak, bk] such that
. e
sup f - -e < f(xk)
3n
" that IS, sup f < f(x:) + 3·
[at.htl [a1 ,b1 ] n
Then
(2) w(f, [ak, bkl) = [at,htl

sup f - inf
[at,b.tl
f
<{f<x:> + ;n}- {t<x1)- ;n}

I
=::: f(xk)-
II f(xk) 'I + 2en ·
3
Let ak = min{xk, xkJ and /3k = max{xk, xk'J and decompose [ak, hk] into three non-
overlapping closed intervals [ak, ak], [at, f3k], and [f3k, bkl· We have
and
n n
(3) L { (ak - ak) + (IJk- ak) + (bk -IJk)} = L(bk- ak) < 8.
k=l k=l
Thus {[ak, ak], [ak, /Jk], [/Jk, b1] : k = 1, ... , n} is a finite collection of non-overlapping
closed intervals contained in [a, b] with total length less than 8.
By (2) we have
Then
k=l
n 2
= L {lf(ak)- f(ak)l + lf(/Jk)- f(ak)l + lf(bk)- /(/Jk)l} + ;
k=l
B 2s
<-+-=s
3 3
where the inequality is by (1) which is applicable on account of (3). 1
Prob. 13.10. Definition. (Lipschitz Condition) Let f be a real-valued function on an

interval I c Ill We say that f satisfies a Lipschitz Condition with coefficient M > 0 on I
if there exists M > 0 such that If(x') - f (x") I ~ M lx' - x"l for any x', x" E I.
Definition. (Condition (L)) Let f be a real-valued function on an interval I C Ill Let us
say that f satisfies Condition (L) on I iffor every 8 > 0 there exists 8 > 0 such thatfor any
finite collection {[a,~;, b~c] : k = 1, ... , n} ofpossibly overlapping or even coinciding closed
intervals contained in I with Lt= 1 (b~c- a~:)< 8, we have Lt= 1 1/(b~:)- f(a~:)l <e.
Prove the following theorem:
Theorem. (Equivalence ofLipschitz Condition and Condition (L)) Let f be a real-valued
function on an interval I C Ill Then f satisfies a Lipschitz Condition on I if and only if it
satisfies Condition (L) on I.
Proot 1. Let us show that a Lipschitz Condition on I implies Condition (L) on I . Assume
that f satisfies a Lipschitz Condition with coefficient M > 0 on I.
Let e > 0 be arbitrarily given. Select 8 E (0, k ). Let {[ak, b~c] : k = 1, . .. , n} be an
arbitrary finite collection of closed intervals contained in I with Ll=l (bk - a~:) < 8. Then
since f satisfies a Lipschitz Condition with coefficient M > 0 on I, we have
n n n
L lf(b~c) - f(ak)l ~L M(bk- ak) = M L(bk- ak) = M8 < M ~ =e.
k=l k=l k=l
This shows that f satisfies Condition (L) on I.

2. Let us show that Condition (L) on I implies a Lipschitz Condition on I. Assume that
f satisfies Condition (L) on I.
Observe that iff satisfies Condition (L) on I then f is uniformly continuous on I.
Now by Condition (L), for eo = 1 > 0 there exists 8o > 0 such that for any finite
collection of closed intervals {[a~c, b~c] : k = 1, ... , n} contained in I with :E~=l (b~c -a~:) <
So, we have Lt=llf(bk)- f(a~c)l < 1.
Let [x, y] c I withy- x < oo. Let n EN and let [a, b] c [x, y] such that
oo oo
b-a=-, that is, b = a + 2n .
2n
Let [ak, bk] = [a, b] fork= 1, ... , n. Then we have
This implies that we have Lk=l lf(bk) - f(ak)l < 1. Then since ak = a and bk = b for
k = 1, . . . , n the last inequality reduces to nlf(b)- f(a)l < 1, that is,
1 2
lf(b)- f(a)l < - = -(b- a).
n 8o
Thus we have
2
lf(b)- /(a) I< (b -a) forb= a+~·
00
By the continuity of f on I, the last inequality implies

2
lf(b)- f(a)l < Oo (b- a) for [a, b] C [x, y].
This shows that f satifies a Lipschitz Condition with coefficient M = iJ > 0 on any closed
interval [x, y] C I withy- x < cSo.
Let [x, y] be an arbitrary closed interval contained in I with 0 < y- x < oo. Then there
exists m E N so large that ~ < cSo. Then we can select x = xo < Xl < · · · < Xm = y
so that Xi - Xi-1 < 8o fori = 1, ... , m. Then by our results above, f satisfies a Lipschitz
Condition with coefficient M = iJ> 0 on [Xi-1, Xi] fori= 1, ... , m. Thus we have
lf(x)- f(y)l :::=: lf(xo)- f(x1)1+ lf(xt)- f(x2)1 + · ·· + 1/(Xm-1)- f(xm)l

2
:::=: Oo {lxo- x1l + lx1- x2l + · · · + lxm-1- Xml}
2
= 8olx- Yl·
This shows that f satisfies a Lipschitz Condition with coefficient M = iJ > 0 on I. 1

Theorem. If a real-valuedfunction f on [a, b] c Iff. satisfies a Lipschitz Condition on [a, b]
then f is absolutely continuous on [a, b].
Proof. According to Prob. 13.10, every Lipschitz Condition is equivalent to Condition

(L).A comparison of the definition of Condition (L) in Prob. 13.10 and Definition 13.1 for
absolute continuity shows that Condition (L) on f on [a, b] implies absolute continuity off
on [a, b]. This shows that iff satisfies a Lipschitz Condition on [a, b] then f is absolutely
continuous on [a, b]. 1
Prob. 13.12. Let f be a real-valued function on [a, b] satisfying a Lipschitz Condition with
coefficientM > Oon [a,b]. Show that f' exists (9JtL, JLL)-a.e. on [a,b] and 1!'1:::: M.
Proof. Iff is a real-valued function on [a, b] satisfying a Lipschitz Condition with coeffi-
cient M > 0 on [a, b], then f is absolutely continuous on [a, b] according to Prob. 13.11.
Then f is a function of bounded variation on [a, b] according to Theorem 13.2. Then f'
exists (9JtL, JLL)-a.e. on [a, b] according to Theorem 12.21. Now
f'(x) = lim f(x +h)- f(x).

11-+oo h
Then by the Lipschitz Condition with coefficient M > 0 we have
f(x) I< Mlhl =

If(x +h)-
h - lhl M.
Thus we have
-M < f(x +h) - f(x) < M
- h -
and then
-M <lim f(x+h) -f(x) < M.
- 11-+oo h -
This shows that lf'(x)l:::: M. I
Prob. 13.13. Let f be a real-valued continuous function on [a, b] such that f' exists on
(a, b) and satisfies the condition lf'(x)l :::: M for x E (a, b) with some M > 0. Show that
f satisfies a Lipschitz Condition with coefficient M > 0 on [a, b].
Proot Assumethatf' exists on (a, b) and satisfies the condition lf'(x)l :::: M forx E (a, b)
with some M > 0.
Letx', x" e [a, b] and x' < x". By the Mean Value Theorem, there exists~ E (x', x")
such that
f(x")- f(x') = f'(l;)(x"- x')
and then
lf<x")- f(x')l = lf'(~)llx"- x'l ::::Mix"- x'l·
This shows that f satisfies the Lipschitz Condition with coefficient M > 0 on [a, b]. 1
coefficient M > 0 on [a, b]. Let E c [a, b]. Show that we have 11-~(f(E)) :::: M~-t~ (E).
Proof. By Observation 3.2 we have
(1) IL~(E) = inf { LnEfl l(/n): Un: n EN) c Jc, UnEH In :J E}.
Then for every E > 0 there exists Un: n EN) C Jc contained in [a, b] such that
(2) U In :J E and Ll(In) :S ~-t~(E) + 8.

nEij
Then we have
(3) f(E) C !( U In) = U f(/n).

nEU nEf1
Let x', x" E ln. Then by the Lipschitz Condition with coefficient M > 0 on [a, b] we have
lf(x')- f(x")l :S Mix'- x"l :S Mt(ln).
This implies that

sup f - inf f :S Ml(In).
I. In
Thus f(ln) is contained in a closed interval ln with l(Jn) :S Mt(ln). Then with (3) we
have
f(E) C U
f(In) C U
ln
nEt>! nEfl
and
Ll(ln) :S LMl(In) :S M{~-t~(E) + s}.
neN neH
Thus we have
nel:f
Sincethisholdsforeverye > 0, wehave~-t~(f(E)):::: M~-t~(E). 1

coefficient M > 0 on [a, b]. Show that f satisfies Lusin's Condition (N) on [a, b].
Proof. Let us show thatf satisfies Lusin's Condition (N) on [a, b], that is, for every E c
[a, b] which is a null set in the measure space (R, mL, p,L), the set f(E) is a null set in
(JR., 9J1L, p,L).
Let E c [a, b] be a null set in (R , 9J1L, p,L). Since Eisa subset of [a, b], we have
according to Prob. 13.14 the estimate p,~(f(E)) :::=: Mp,;(E). Then since Eisa null set in
(R, ill1u p,L) we have p,~ (E) = 0. This then implies that p,~ (f(E)) = 0, that is, f(E) is
a null set in (R , mL, p,J. 1
Prob. 13.16. Find a real-valued function f on [a, b] such that f is continuous on [a, b],
absolutely continuous on [c, b] foreveryc E (a, b], but not absolutely continuous on [a, b].
Proof. Let us define a real-valued function f on [0, ~]by setting
xsin~ forx E (0, ~].

f(x) =
{ 0 forx =0.
1. Thus defined, f is continuous on [0, ~].

2. Let us show that f is absolutely continuous on [c, ~] for every c E (o, ~ ]. We have
f' (x) = sin ; - ; cos ~ for x E [ c, ~].
Thus f' is a continuous function on the compact set [c, ~] and this implies that f' is bounded
on [c, ~]. Then by Prob. 13.13, f satisfies a Lipschitz Condition on [c, ~ ]. This implies
that f is absolutely continuous on [c, ~] according to Prob. 13.11.
3. Let us show that f is not absolutely continuous on [0, ~].According to Prob. 12.12,
we have f f/ BV([o, ~ ]). Then according to Theorem 13.8 (Banach-Zareck:i), f cannot
be absolutely continuous on [0, ~ ]. 1

Theorem. Let f be a real-valued function on [a, b] such that
1o f is continuous on [a, b],
2° f is absolutely continuous on [c, b] for every c e (a, b],
3o f e BV (£a, col) for some co e (a, b ].
Then f is absolutely continuous on [a, b].
Proof. To show that f is absolutely continuous on [a, b ], we show that for every s > 0 there
exists o > 0 such that for any finite collection of non-overlapping closed intervals {[a,t, b.t] :
k = 1, ... ,n}containedin[a, bl withi:~=l (b.t-a.t) <owe have I:~ 1 1fCb.t)- f(a.t)l <
e.
1. Let e > 0 be arbitrarily given. Now 3° and 1o imply that the total variation function
Vi (f) for x e [a, co] is a real-valued continuous function on [a, co] by Theorem 12.22.
Then since limx.J.a Vi (f)= 0 there exists c1 e (a, co] such that
(1) v;•cn < ~·

2. Absolute continuity of f on [q, b] implies that there exists '1 > 0 such that for any
finite collection of non-overlapping closed intervals {[a.t, ,8.t] : k = 1, ... , n} contained in
[q, b] with I:~ 1 (,8.t- a,t) < 77 we have
n
(2) L lf(,B.t)- f(a.t)l < i·
.t=l
o
3. Let = min{ct -a, 77} > 0. Let {[a,t, b.t] : k = 1, ... , n} be an arbitrary finite
collection of non-overlapping closed intervals contained in [a, b] with I:~ 1 (b.t - a,t) < o.
We proceed to show that we have
n
(3) L lf(bk) - f(aA::)I < e.
.t=l
Case 1. Suppose {[a,t, b.t] : k = 1, ... , n} c [a, q]. Let 1' be a partition of [a, q]
including at, ... , a11 , bt, ... , b11 as partition points. Then we have by (1).
n
L lf(b.t)- f(a.t)l ~ vg•(f, P) ~ v;•u> < i·
.t=l
This proves (3) for this case.

Case 2. Suppose {[a.t, b.t] : k = 1, ... , n} c [q, b]. Since L".t= 1 (b.t- a.t) < o ~ TJ,
we have by (2)
n
L lf(b.t)- f(ak)l < 2~.
k=l
Case 3. Suppose {[a,t, b.t] : k = 1, ... , ko} c [a, ell and {[a,t, b.t] : k = leo +
1, ... , n} C [q, b]. In this case we have
n leo n
L lf(b.t)- f(a.t)l = L lf(b.t)- f(a.t)l + L lf(b.t)- f(a.t)l
k=l k=l k=/co+l
e e
<
2+2= e by Case 1 and Case 2.

Case 4. Suppose c1 E (ako, bko) for some ko E {1, . . . , n}. In this case we have
lf(bko)- f(ako)l::; lf(bko)- f(ct)l + lf(q)- f(ako)l

and then
n ko-1
L lf(b.t) - f(a.t)l ::; { L lf(b.t) - f(a.t)l + lf(ct) - f(ako) I}
k=l k=l
n
+ {lf(bko)- f(ct)l + L lf(b.t)- f(a.t)l}
k==ko
IJ IJ
<
2+2= e by Case 1 and Case 2.
This proves (3) for this case. 1

Prob. 13.18. Let f(x) = xP for x E [0, b] where p E [0, oo). Show that f is absolutely
continuouson[O,b].
Proof. To show that f is absolutely continuous on [0, b], we show that f satisfies conditions
1o, 2° and 3° ofProb. 13.17.
Now f(x) = xP for x E [0, b] where p E [0, oo) is continuous on [0, b]. Also f is
increasing on [0, b] and this implies that f E BV([O, b]) .
Let us show that f is absolutely continuous on [c, b] for every c E (0, b]. Now we have
f'(x) = pxp-l forx E [c,b].
Thus f' is a continuous function on the compact set [c, b] and this implies that f' is bounded
on [c, b]. Then by Prob. 13.13, f satisfies a Lipschitz Condition on [c, b]. This implies that
f is absolutely continuous on [c, b] according to Prob. 13.11.
Thus we have shown that f satisfies conditions 1°, 2° and 3° of Prob. 13.17. Then by
Prob. 13.17, f is absolutely continuous on [0, b]. 1
Prob. 13.19. Let f be a real-valued continuous on [0, b] such that

1o f is continuous on [a, b],
2° f E BV([a, col) for some co E (a, b],
3° f'(x) exists and lf'(x)l ~ ~for x E (0, b].
Show that f is absolutely continuous on [0, b].
Proof. The proof is based on Prob. 13.17. Our condition 1o is condition 1o of Prob. 13.17
and our condition 2° is condition 3° of ofProb. 13.17. We show next that our condition 3°
impliescondition2° ofProb.l3.17.
Let c E (0, b] be arbitrarily chosen and consider the interval [c, b] c (0, b]. By 3° we
have
1 1
1/' (x)l ~ - ~ - for x E [c, b].
X C
This implies that f satisfies a Lipschitz Condition with coefficient ~ on [c, b] according to
Prob.13.13. Then f is absolutely continuous on [c, b] byProb.13.11. Then f is absolutely
continuous on [c, b] for every c E (0, b], satisfying condition 2° ofProb.13.17.
Thus f satisfies conditions 1°, 2° and 3° ofProb. 13.17. This implies that f is absolutely
continuous on [0, b] by Prob. 13.17. 1
Prob.13.l0. Let f be areal-valued continuous function on [0, b] whereb > 0 defined with
some p e (0, oo) by setting
f(x) = { xP sin~ for x e (0, b],
0 forx = 0.
Show that f is absolutely continuous on [0, b] if and only if p E (1, oo).
Proof. 1. According to Prob. 12.13, if p e (0, 1] then f ¢ BV (£0, b]). Then f cannot be
absolutely continuous on [0, b] by Theorem 13.8 (Banach-Zarecki.).
2. According to Prob. 12.13, if p e (1, oo) then f e BV([O, b]). Note that f is
continuous on [0, b]. Thus according to Prob. 13.17, to show that f is absolutely continuous
on [0, b] it remains to verify that f is absolutely continuous on [c, b] for every c E (0, b].
Now we have
f'(x) = pxP-l sin~ - xP- 2 cos~ for x E [c, b].
Thus f' is continuous on [c, b] and then compactness of [c, b] implies that f' is bounded on
[c, b]. This implies that f satisfies aUpschitz Condition on [c, b] according to Prob. 13.13.
Then f is absolutely continuous on [c, b] according to Prob. 13.11. 1
Prob. 13.21. Find an absolutely continuous function on [a, b] that does not satisfy any
Lipschitz Condition on [a, b].
Proof. Consider a real-valued function f on [0, b] defined by
f(x) =../X for x E [0, b].
According to Prob. 13.18, f is absolutely continuous on [0, b].

To show that f does not satisfy any Upschitz Condition on [0, b], assume the contrary,
that is, assume that f satisfies a Lipschitz Condition with coefficient M > 0 on [0, b]. This
implies that f' exists (!JJ1L, ~-tL)-a.e. on [0, b] and If' I :::; M according to Prob.l3.12. But
we have
1 1
f'(x) =- ~ for x e (0, b],
2-vx
and thus f' is unbounded as x ,j.. 0. This is a contradiction. Therefore f cannot satisfy any
Lipschitz Condition on [0, b]. 1
Prob.13.22. (Iff is a real-valued absolutely continuous function on [a, b] then according

to Theorem 13.18, f' exists 1-LL-ae. on [a, b] and f' is 9J1L-measurable and I-LL-integrable
on [a, b] and f' is finite I-LL -a.e. on [a, b ].)
Let E c [a, b] bean arbitrary non-empty null set in the measure space (R, mL, I-LL). Show
that there exists a real-valued absolutely continuous increasing function f on [a, b] such
that f'(x) = oo for every x E E.
Proof. According to Definition 3.1, the Lebesgue outer measure,_,~ on R is defined for an
arbitrary subset A of R by
(1) J.C.-~(A) = inf { Lkeh' t(ft) : (h:: kEN) C Jo, Ukefl It:::) A}.
Observe that for (It : k E N) C :J0 , UkeH It is an open set in R. On the other hand,
every non-empty open set 0 in R is a union of countably many disjoint open intervals
(It: k E N) c Jo and moreover we have J.C.-L(O) = Lkerl t(lk). Let D be the collection
of all open sets in R. Then for an arbitrary A c R we have
(2) J.C.-~(A) = inf {1-LL(O): 0 ED, 0:::) A}.
Let E be an arbitrary non-empty null set in the measure space (R, SJ.nL, J.C.-L). Then
1-L ~(E)= 0 and (2) implies that there exists a decreasing sequence (On : n E N) of open
sets in R such that On :::) E and I-LL (On) < ~ for every n E N.
Let us define a sequence (qJn : n E N) of nonnegative real-valued SJ.nL -measurable
functions on R by setting
n
(/Jn = Etok.
k=l
At every x E R we have (/Jn (x) t as n ~ oo. Let us define a function g on R by
g = lim (/Jn·
n-+oo
Then g is a nonnegative extended real-valued SJ.nL -measurable function on R. Moreover
1[a,b]
g di-LL = 1 lim qJn di-LL = lim
[a,b] 71-+ 00
1
n-+oo [a,b]
qJn di-LL
=lim
n-+oo
1[a,b]
tlokdJ.C.-L = lim t
k=l
{
n-+oo k= l J[a,b]
lokdi-LL
11 ll 1
=lim "/-LL(Ok):::; lim " - k = 1 < 00,
n-+oo L..., n-+oo L..., 2
k= l k= l
where the second equality is by Theorem 8.5 (Monotone Convergence Theorem). This
shows that g is J.C.-L- integrable on [a, b].
With the J.C.-L -integrable nonnegative extended real-valued VRL -measurable function g
on [a, b], let us define
f(x) = 1 [a,x]
g di-LL for x E [a, b].
Since g is nonnegative, f is an increasing function on [a, b]. As an indefinite integral of g,

f is absolutely continuous on [a, b] by Theorem 13.15.
Let us show that f' (x) = oo for every x E E. Let x E E and let n E N be arbitrarily
chosen and fixed. Let h > 0 be so small that [x, x + h] C On. Then we have
(1)
Now we have [x,x +h] cOn c On-1 c ··· c 01. Thus we have f(:x:,x+hllokdp,L = h
fork= 1, ... , nand then
tf
k=l J(x,x+h]
lok dp,L = nh.
Substituting this into (1), we have
(2) f(x +h)- f(x) > !nh =n.

h - h
This implies that
f(x +h)- f(x)
lim .::___:__ ____:__::___c__:_ > n.
h.j.O h -
Since this holds for every n e N, we have
lim f(x +h)- f(x) = oo.

h.j.O h
This shows that the right hand derivative of f at x is oo. We show similarly that the left
hand derivative of f at x is oo. Thus the derivative of f at x is oo. 1
Prob. 13.23. (The Cantor-Lebesgue function -r on [0, 1] is a real-valued continuous and

increasing function with derivative -c' = 0 a.e. on [0, 1].)
Show that there exists a real-valued continuous and strictly increasing function f with
derivative f' = 0 a.e. on [0, 1].
Proof. 1. The Cantor-Lebesgue function-ron [0, 1] is a real-valued continuous and in-

creasing function with -r (0) = 0 and t (1) = 1 but -r is not strictly increasing. (See Theorem
4.34.)
Let T be the Cantor ternary set Then T c [0, 1] and according to Theorem 4.33,
ILL (T) = 0 and G := [0, 1] \ T is a union of countably many disjoint open intervals with
ILL (G)= 1. The Cantor-Lebesgue function ton [0, 1] is constant on each of the countably
many disjoint open intervals constituting G so that -r' = 0 on G = [0, 1] \ T.
Let us extended the domain of definition oft from [0, 1] to IR by setting t(x) = 0
for x E ( -oo, 0) and t(x) = 1 for x E (1, oo). Then -r is a real-valued continuous and
increasing function on R and -r' (x) = 0 for x e R \ T.
Let J' be the collection of all closed intervals with rational endpoints contained in [0, 1].
Then J' is a countable collection. Let J' = {[an, bn] : n E N} be an arbitrary enumeration
of the members of J'. In this expression, an and bn are rational numbers contained in [0, 1].
For every n E N, let us define a mapping of R into JR' by setting
X -an
(1) qJn(X) = -b- - for X E JR.
n-an
Then qJn is a one-to-one mapping of IR onto JR' and ({Jn is absolutely continuous on every
finite closed interval in R . The inverse function rp;; 1 is given by
rp;; 1 (y) = (bn- an)y +an for y E R '.
Thus rp;; 1 is absolutely continuous on every finite closed interval in JR'.

For every n E N, let us define a function on R by setting
(2) 1/Jn(X) ="Co qJn(X) for X E JR.
Since qJn and -c are real-valued continuous and increasing functions on R , 1/111 = -c o (/Jn is a
real-valued continuous and increasing function on R . Since -r(y) e [0, 1] for every y E R',
we have 1/J,.(x) e [0, 1] forevery x E JR.
Let us define a function f on R by setting
1
(3) f(x) =L 2
,. 1/J.,(x) for x e JR.
neE
Since 1/J,.(x) e [0, 1] for every x E R and every n E N, we have
f(x) = L 2"1 1/J,.(x) ~ L 2"1 = 1.

neH neE
Thus the series in (3) converges for every x e R and f is defined on IR and f(x) e [0, 1]
for all x e R . Now for every n E N, 1/111 is an increasing function on R . This implies that f
is an increasing function on R .
2. Let us show that f is continuous on JR. Now f is defined by f = Lnell f,(!/1,..

Consider ( E~ 1 ~'!/lie : n E N), the sequence of partial sums of the series defining f.
Since '1/11c is continuous on OC for every k E N, Lt= 1 ff'l/lk is continuous on OC. Then in
order to show that f is continuous on OC, it suffices to show that the sequence of partial sums
converges uniformly on OC. Thus we show that the sequence of partial sums satisfies the
Uniform Cauchy Criterion on !R, that is, for every s > 0 there exists N E N such that
ILm
k=1
1
21 1/l~c(x)- L
n
k=l
2
1
/c'l/lk(x)l < s forallx E OC whenm ~ n ~ N,
that is,
m 1
(4) IL 2
/c'l/lk(x)l < e for allx E OC whenm ~ n ~ N.
lc=n+1
Now since Lneu f.; = 1, for every s > 0 there exists N E N such that E~n+l ~ < s for
m ~ n ~ N. WithsuchN EN, we have
This proves (4) and shows that f is continuous on oc.

3. Let us show that/'= 0 a.e. on R. By Prob.12.21 (Fubini's Differentiation Theorem
for Series of Increasing Functions), we have
(5) f ' = ""1'

L... ,. Y,,. a.e. onR.
2
neF
Let us show first that Y,~ = 0 a.e. on R for every n EN. Now '1/111 =To((),. If fP~ exists at
xo E OC and r' exists at qJ,(xo), then Y,~ exists atxo E OC and '1/l~(xo) = T'(fP,.(xo))fP~(xo).
Now r'(y) exists and r'(y) = 0 for y E R' \ T. As we noted above, (/!11 maps R one-to-one
onto OC' and !p;;1 maps R' one-to-one onto IR and !p;; 1 is absolutely continuous on every
finite closed interval in R' and thus by Lusin's Condition (N), (/!;; 1 maps the null set T c IR'
into a null set E,. in R . Then for x E R \ E,. we have !p11 (x) E R' \ T so that
'
'1/l,.(x) = 7:'(!p,.(x) ) (/!11
' (X) = 0 · - 1- = 0.
b,. -an
This shows that for every n E N there exists a null set E 11 c OC such that Y,~(x) = 0 for
X E OC \En.
Let E = Uner,1 E,.. Then Eisa null set in 0C and '1/l~(x) = 0 foralln E N for x E R \E.
Then by (5) we have
!' (x) = L 2
: Y,~ (x) = 0 for x E IR \ E.
neH
This shows that f' = 0 a.e. on JR.

4, Finally let us show that f is strictly increasing on [0, 1]. Let us show first that if a
and f3 are rational numbers in [0, 1] and a < f3 then f(a) < f(/3). By the definition of
:l = {[a11 , b11 ] : n eN} we have [a, {3] =[all(}, biiQ] for some no eN. Since
we have IPno (all(}) = 0 and IPno (bll(}) = 1. Since r(O) = 0 and r(1) = 1, we have
1/IIIQ(~) =To fPIIQ(~) = r(O) = 0,
1/IIIQ(biiQ) =To fPIIQ(biiQ) = T(1) = 1.
Thus we have 1/IIIQ (all(}) < Y,IIQ (biiQ), that is, 1/IIIQ (a) < Y,IIQ ({3). On the other hand for every
n e N, 1/111 is an increasing function on R so that we have 1/111 (a) :S 1/111 (/3). Thus we have
that is, f(a) < /({3).

Now let x1, x2 e [0, 1] and x1 < x2. Then there exist rational numbers a and ,8 such
thatx1 <a< f3 < x2. Thenbyourresultabovewehavej(a) < f(/3). Thensincejisan
increasing function on IR, we have f(xt) :S /(a) < /(/3) :S j(x2). Thus j(x1) < j(x2).
This shows that f is strictly increasing on [0, 1]. 1
Prob.13.24. Letfbeareal-valuedfunctionon[a,b]. Supposef([a,bl) c [c,d]. Letgbe

a real-valued function on [c, d]. Suppose f satisfies a Lipschitz Condition with coefficient
M1 > 0 on [a, b] and g satisfies a Lipschitz Condition with coefficient M2 > 0 on [c, d].
Show that g o f satisfies a Lipschitz Condition with coefficient MzM1 > 0 on [a, b ].
Proof. Let x', x" E [a, b]. Then we have f(x'), f(x") E [c, d]. Then we have
l<g o f)(x')- (go f)(x")l = lg(f(x'))- g(/(x"))l
~ Mzlf<x')- f(x")l
~ M2M1Ix' - x"l·
This shows that go f satisfies a Lipschitz Condition with coefficient MzM1 > 0 on [a, b].
I
Prob. 13.25. Let f be a real-valued absolutely continuous function on [a, b]. Suppose
f([a, b]) c [c, d]. Letgbeareal-valuedfunctionon [c, d] satisfyingaLipschitzCondition
with coefficient M > 0 on [c, d]. Show that go f is absolutely continuous on [a, b].
Proof. To show that g o f is an absolutely continuous function on [a, b], we verify that for
every E > 0 there exists ~ > 0 such that for any finite collection of non-overlapping closed
intervals {lat, b.t] : k = 1, ... , n} contained in [a, b] with Lk=l (bt- a.t) < 8, we have
L:~ 1 l(g o f)(bt)- (go f)(a11)l <e.
Let E > 0 be arbitrarily given. Since f is absolutely continuous on [a, b] there exists
8 > Osuchthatforanyfinitecollection {lat, b.t]: k = 1, ... , n} ofnon-overlappingclosed
intervals contained in [a, b] with Lk=l (bt- at) < 8, we have
Now f(at). f(b.t) E [c, d]. Then since g satisfies a Lipschitz Condition with coefficient
M > 0 on [c, d], we have
and then
n n
L l(go f)(b.t)- (go f)(a.t)l ~ ML lf(b.t)- /(a.~:) I< M~=E.
k=l k=l
This shows that g o f is absolutely continuous on [a, b]. 1

Prob. 13.26. Let f be a real-valued absolutely continuous function on [a, b]. Suppose
f (£a, bl) c [c, d]. Let g be a real-valued absolutely continuous function on [c, d]. Assume
further that f is increasing on [a, b]. Show that go f is absolutely continuous on [a, b].
Proof. To show that g o f is an absolutely continuous function on [a, b], we verify that for
every e > 0 there exists li > 0 such that for any finite collection of non-overlapping closed
intervals {la.t, b.t] : k = 1, ... , n} contained in [a, b] with Lt~l (b.t- a.t) < li, we have
:E~ 1 1(g o /)(b.t)- (go f)(a.t)l <e.
Let e > 0 be arbitrarily given. Since g is absolutely continuous on [c, d] there exists
rJ > 0 such that for any finite collection of non-overlapping closed intervals {[c,t, d.t] : k =
1, ... , n} contained in [c, d] with :E:~l (d.t- c.t) < TJ, we have
II
(1) L I
lg(d.t) - g(c.t) < 8•
.t~l
Since f is absolutely continuous on [a, b], for our 17 > 0 there exists li > 0 such that for
any finite collection {la.t, b.t] : k = 1, ... , n} of non-overlapping closed intervals contained
in [a, b] with L~l (b.t - a,t) < li, we have
II
(2) E lt<b.t) - t<a.t) 1 < '1·

~1
Assume that the collection {la.t, b.t] : k = 1, . . . , n} is so numbered that we have
Then since f increases on [a, b] we have
c ~ f(al) ~ /(bl) ~ f(a2) ~ f(b2) ~ · · · ~ f(all) ~ f(bll) ~d.
Then {lf(a.t), f(b.t)] : k = 1, ... , n} is a finite collection of non-overlapping closed

intervals contained in [c, d] with :E~ 1 1/(b.t)- f(ak)l < '1· Thus by (1) we have
II
L lg(f(bk))- g(f(a.t))l < £,

k=l
that is, we have

II
(3) L l<g o f)(bk)- (go f)(a~:)l <e.

k=l
This shows that go f is absolutely continuous on [a, b]. 1

Prob.13.27. Let f and g be two real-valued functions defined on [0, 1] by

f(x) = ./X for x E [0, 1],
and
g(x) = { x 1sin~ I for x E (0, 1],
2
0 forx = 0.
(a) Show that f and g are absolutely continuous on [0, 1].
(b) Show that go f is absolutely continuous on [0, 1].
(c) Show that fog is not absolutely continuous on [0, 1].
(Hint for (c)): Show that fog is not of bounded variation on [0, 1].)
Proof. 1. Let us prove (a). Now f is absolutely continuous on [0, 1] by Prob. 13.18.
Regarding g let us define a functionh on [0, 1] by setting
x 2 sin~ for x E (0, 1],

h(x) =
{ 0 forx = 0.
Then his absolutely continuous on [0, 1] by Prob. 13.20. Then by (e) of Prob. 13.1, lhl is
absolutely continuous on [0, 1]. But lhl =g. Thus g is absolutely continuous on [0, 1].
2. Let us prove (b). Now f and g are absolutely continuous on [0, 1] by (a) and f is an
increasing function on [0, 1]. Then go f is absolutely continuous on [0, 1] by Prob. 13.26.
3. Let us prove (c). According to Theorem 13.8 (Banach-Zarecki), every absolutely
continuous function is a function of bounded variation. Therefore to show that f o g is not
absolutely continuous on [0, 1] it suffices to show that fog¢ BV([O, 1]).
Letusshowthatfog ¢ BV([0,1]). Nowwehave
lx2 1sin!l =xJisin!l for x E (0, 1].

(f O g)(X) = .fi(X) = ~· X X
{ forx =0.
For brevity let us write
{
(1) h(x)= X~
yl"lllil
for x E (0, 1].
0 forx = 0.
Then it remains to show that h ¢ BV ([0, 1]).

Consider the function 1sin x 1for x E (0, oo). Now 1sin x 1is a nonnegative real-valued
and continuous function assuming the minimum value 0 at x = br fork E N and assuming
the maximum value 1 at x = ~ + lcrr fork E N. Then .JI sinxl assumes the minimum
value 0 at x = br fork E Nand assumes the maximum value 1 at x = ~ + krt fork E N.
Thus J1 sin~ 1assumes the minimum value 0 at a~; = (b)- 1 fork E Nand assumes the
1
maximum value 1 atbt = (~ +krrf fork EN. Observethatwehave
)-1
2 + br
Tt
(2) h(ak) = 0 and h(bk.) = bk = ( fork E N.
For every n e N, we have
0 < b,. <a, < bn-1 < an-1 < ... < h1 < a1 < 1.
Consider a partition :PrJ of [0, 1] defined by
:P,. = {0 < bn <a,. < bn-1 < an-1 < · · · < b1 < a1 < 1}.
We have
VJ(h, T,.) = + lh(a1)- h(b1)l

lh(1)- h(a1)l
+ lh(b1)- h(a2)l + lh(a2)- h(~) I

+ lh(~)- h(a3)1 + lh(a3)- h(b3)1
+ lh (bn-1) - h (a,.) I+ lh(a,.) - h(b,.) I

+ lh(b,.) -h<O>I ·
Substituting (2) for h(a~:;) in the last expression we have
vJ (h, :PrJ) = h(1) + h(b1)

+h(bl) +h(~)
+h(~) +h(~)
+ h(bPJ-1) + h(bPJ)
+ h(bPJ)- h(O).
Thus we have
n n
vJ(h, T,.) = h(1) + 2 Lh(bk) = h(1) + 2 L
k=1 k=1
(i k1rr
+
1
by (2)
n 1 2 n 1
=h(1)+2L: -1r - 2:h(1)+ - L: - 1.
k=l 2 +krr rr k=l k +
Then we have
vJ(h) = sup vJ(h, :P)::: sup vJ(h , :P.,) =sup {h(1) +

:PE'lJo,t neH PJEH
~ t-
1T k=l k
1
+1
-} = oo.
This shows that h ¢ BV ([0, 1]) and completes the proof. 1

Prob. 13.28. Let f 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 go f is absolutely
continuous on [a, b] if and only if go f is of bounded variation on [a, b].
Proof. 1. If go f is absolutely continuous on [a, b], then go f E BV([a, bl} according to

Theorem 13.8 (Banach-Zarecki).
2. Conversely suppose go f E BV([a, b]).
Now since f is absolutely continuous on [a, b], f is continuous on [a, b] according to
Theorem 13 .8. Similarly absolute continuity of g on [c, d] implies continuity of g on [c, d].
Then g o f is continuous on [a, b].
Absolute continuity off on [a, b] implies that f satisfies Condition (N) on [a, b] ac-
cording to Theorem 13.8. Similarly absolute continuity of g on [c, d] implies that g satisfies
Condition (N) on [c, d]. Then it is verified immediately that go f satisfies Condition (N)
on [a, b].
Now that go f is continuous on [a, b], satisfies Condition (N) on [a, b] and go f E
BV([a, bl), go f is absolutely continuous on [a, b] by Theorem 13.8. 1
Prob. 13.29. For p E(1, oo), let

xPsinl forx E (O,b],
f(x) = { 0 x for x = 0.
(1bus defined, f is absolutely continuous on [0, b] by Prob. 13.20.)
(a) Show that f' exists on [0, b] and f' is continuous on (0, b].
(b) Show that f' is ILL -integrable on [0, b].
(c) Show that when p E (2, oo), f' is continuous on [0, b].
(d) Show that when p E (1, 2], limx.j.O f'(x) does not exist.
(e) Show that whenp E [2,oo), f' is bounded on [O,b].
(f) Show that when p E (1, 2), f' is not bounded on [0, b].
(g) Show that when p E [2, oo), f satisfies a Lipschitz Condition on [0, b].
(h) Show that when p E (1, 2), f does not satisfy any Lipschitz Condition on [0, b].
Proof. (a) We have

1 1
(1) J'(x) = pxP- 1 sin-- xP- 2 cos- for x E (0, b].
X X
This shows that f' exists on (0, b] and f' is continuous on (0, b ]. We also have
(2) f'(O) =lim f(h)- f(O) =lim _!_{hP sin_!_- 0} = limhP- 1 sin_!_= 0
h.j.O h h.j.O h h h.j.O h
since p- 1 > 0. This shows that f' exists on [0, b].
(b) By (1) we have
1 1
lf'(x)l = lpxP- 1 sin-- xP-2 cos
X
-I
~ pxP-1 +xP-2.
X
Then we have
This shows that f' is ILL -integrable on [0, b ].

(c) We showed in (a) that f' is continuous on (0, b] and f'(O) = 0. Assume that
p E (2, oo). Then we have p- 2 > 0 and p -1 > 1 and then
1 1
lim f'(x) =lim {pxP-l sin-- xP- 2 cos-} by (1)
x.j.O x.j.O X X
= 0 = j'(O) by (2).
This proves the continuity off' at x = 0. Therefore f' is continuous on [0, b ].
(d) Assume that p E (1, 2]. Then we have p- 1 > 0 and p- 2 ~ 0. Now f'(x) for
x E (0, b] is given by (1). Then we have
1 1
lim {pxP-l sin - } = 0 but jllim { - xP- 2 cos - }.
~ X ~ X
1his shows that lim / 1(x) does not exist.

x.j.O
(e) Assume that p e [2, oo). Then we have p - 1 ::: 1 and p - 2 ::: 0 . Then for
X E (0, b]
1 1
(3) 1/'(x)l = lpxP- 1 sin-- xP-2 cos
X
-I
X
~ pxP-1 + xP-2 ~ pbp-l + bp-2.
Thus f' is bounded on (0, b]. Then since f'(O) = 0, f' is bounded on [0, b].
(f) Assume thatp e (1, 2). Then we have p -1 > Oandp -2 < 0. Then pxP- 1 sin~
for x E (0, b] is bounded on (0, b] but xP-2 cos ~ for x E (0, b] is not bounded on (0, b].
1his shows that f' as given by (1) is not bounded on (0, b]. Thus f' is not bounded on
[O,b].
(g) When p e [2, oo), f' is bounded on [0, b] as we showed in (e) and indeed we have
according to (3) and (2)
(4) 1/'(x)l ~ pbp-l +bP- 2 forx e [O,b].

According to Prob. 13.13, (4) implies that f satisfies a Lipschitz Condition with coefficient
pbP-1 + bP- 2 > 0 on [0, b].
(h) According to Prob. 13.12, iff satisfies a Lipschitz Condition with coefficient M > 0
on [0, b] then f' exists (m1L, J.L.L)-a.e. on [0, b] and 1/'1 ~ M. Now when p e (1, 2), f' is
not bounded on [0, b] as we showed in (f). Thus f cannot satisfy any Lipschitz Condition
on [0, b]. •
Prob. 13.30. Let

f(x) = { x cos ~ for X E (0, b),
2
0 forx = 0.
(a) Show that f' exists on [0, b].
(b) Show that f is absolutely continuous on [a, b] and f' is ttL -integrable on [a, b] for
every a E (0, b].
(c) Show that f is not absolutely continuous on [0, b] and f' is not ttL -integrable on [0, b].
2
(Hint: With an = (2n + D-l/ and f3n = (2n)- 112 for n EN, compute fr.a•. fj,J !' dttL.)
Proof. 1. We have
1 7r lr.lr
(1) f (x) = 2xcos x 2 + ~ sm x 2 for x E (O,b],
and
1 1
(2) J'(O) =lim -h {J(h)- J(O)} =lim -h {h 2 cos hn2
h,j..O h,j..O
- o} = o.
This shows that f' exists on [0, b].

2. Leta E (0, b]. Then f', as given by(1),isboundedon [a, b]. This implies, according
to Prob. 13.13, that f satisfies a Lipschitz Condition on [a, b]. This then implies, according
to Prob. 13.11, that f is absolutely continuous on [a, b]. Then by Theorem 13.18 we have
{ !' dttL = f(b)- f(a) = b 2 cos ~ - a 2 cos ~ E JR.

J[a,b] b a
This shows that f' is ttL -integrable on [a, b].

3. We showed above that f is absolutely continuous on [a, b] for every a E (0, b]. This
implies that f is absolutely continuous on [a, fi] c [a, b]. Then by Theorem 13.18 we have
(3) { !' dttL = f(/3) - f(a) = {3 2 cos {37r2 - a 2 cos 7r •

J[a,fJ] a2
For n E N, let us define
1 1
(4)
an = J2n + ~ < ,.fin = f3n.
Then by (3) we have
(5)
1 [an ,P,.]
f 1 dttL = 1
2n cos2nn - - -
1 1
1
2n + 2
1
( 1)
1 cos 2n + 2 1r
=-·1---·0=-
2n 2n + ~ 2n
Observe that (4) implies that an+l < fJn+l < an < f3n· Then {(an, fJnl :n E N} is a
disjoint collection of intervals and UnenCan, fJnl = (0, ~].Then we have
Thus / 1 is not ILL-integrable on (0, ~]. Then / 1 is not ILL-integrable on [O,b]. Then
according to Theorem 13.18, f is not absolutely continuous on [0, b]. 1
Prob.l3.31. Let D c [a, b] and D e 9JtL with ILL (D) > 0. Showthatforevery J.. e [0, 1],
there exists c e [a,b] such thatiLL(D n [a,c]) = J.. • ILL(D).
(Hint: Consider the Lebesgue integral of lnn[a,xl for x e [a, b ].)
Proof. Let D c [a, b] and D e VJtL. Then lv is a ILL -integrable VJtL-measurable real-
valued function on [a,b] and we have ha,b]lndiLL = ILL(D) < oo.
Consider an indefinite integral of the ILL -integrable function lv on [a, b] defined by
(1) F(x) = f lndiLL forx E [a,b].

J[a,x]
By Theorem 13.15, F is a continuous function on [a, b]. Moreover (1) implies that
F(a) = ha} ln diLL= 0.

(2)
{ F(b) = ha,b]lD diLL = ILL(D).
Let J.. e [0, 1]. Then we have according to (2)
(3)
Then the Intermediate Value Theorem for Continuous Functions implies that there exists
c E [a, b] such that
(4)
On the other hand we have
(5) F(c) = [ ln diLL = [ lnn[a,c] diLL by (1)

J[a,c] J[a,b]
= ILL(D n [a, c]).
Thus by (4) and (5), we have ILL (D n [a, cl) = J.. ·ILL (D). 1
Prob. 13.32. Let D c ~ . D E VRL, and ILL (D) E (0, oo). Show that for every A E (0, 1),
there exists~ E R such that ILL (D n (-oo, ~l) = A · ILL (D).
Proof. Let
(1) D11 = D n (-oo,n] forn E :Z .
Then we have
(2) ·· · c D-3 c D-2 c D-1 c Do c D1 c ll2 c D) c ·· ·

We have limt. D 11 = U11e ; D11 = D and then by (a) of Theorem 1.26 we have
1100
(3)
On the other hand we have lim D 11

11.!--oo
= n e:;: D 11 = 0 and for negative n E Z we have
11
D11 c Do and1-£L(Do) ~ ILL(D) < oo. Then by(b)ofTheorem 1.26wehave
(4)
Let A E (0, 1) be arbitrarily chosen and then let 0 < Al < A < A2 < 1. Then (3) and
(4) imply that there exist n1, n2 E Z , n1 < n2, such that
Let us define At, Az E [0, 1] by setting
(6)
At= ILL(D11!)/ILL(D).
{ Az = ILL<v11.)11LL<D).
(7)
Consider the function 1vn(111 , 112 J defined on [n 1, n2]. Let us define a real-valued function F
on [nt, n2] by setting
(8) F(x)= r
J(11!,X]
1vn(11!,11z]diLL+At • ILL(D) forxE[nt,n2].
Thus defined, F is an indefinite integral ofthe ILL -integrable function 1Dn(111 ,112] and therefore
F is continuous on [nt, n2] by Theorem 13.15. Moreover we have
(9)
and
(10) F(n2) = 1-Lc. (D n (n1, n2l) + >..} · 1-Lc. (D) by (8)
= 1-Lc.(D n (-oo, n2l)- 1-Lc.(D n (-oo,ntl) +>..}· 1-Lc.(D)
= 1-Lc.(Dn2 ) - 1-Lc.(Dn1 ) +>.I.· 1-Lc.(D) by(l)
=>..~·1-Lc.(D)-At ·1-Lc.(D)+At ·1-Lc.(D) by(6)
=A~. 1-Lc.(D).
Thus the continuous function F on [n1, n2] assumes the valueAJ.· 1-Lc.(D) atx = n1 and the
value).~· 1-Lc. (D) at x = n2. Now from (7) we have
). • 1-Lc.(D) E (At. 1-Lc.(D),A~. 1-Lc.(D)).
Thus by the Intermediate Value Theorem for Continuous Functions, there exists ~ E [n 1, n2]
such that F(~) =). · 1-Lc.(D). Then we have
A· I-LL (D)= F(~) = { lnn(n~tn2 ] di-LL +At ·I-LL (D) by (8)

J[n~o~]
= { lnn(n1 ,n2 ] di-Lc. + 1-Lc. (Dn1 ) by (6)
J[nt.tl
= Llnn(n1 ,~] L di-LL + lnn(-oo,n!l di-LL by (1)
= L =1-LL(Dn(-oo,~]).
lnn(-oo,tJdi-Lc.

Prob. 13.33. Definition. Let E c ~. E E ~RL, and I be a .finite interval in ~ . We call

(l(l)) -l J.t L( E n I} the average density of E over the interval I. For an arbitrary x E ~.
the density of E at x is defined by
PE(X) = lim ~1-tL (En (X- h, X +h)).
h,j.O
Show that
( ) { 1 for a.e. x E E,
PE x = 0 fora.e. x E Ec.
Proof. To findpE(x) forx E ~.choosea,b E ~such that a< x <b. Then we have
(1)
Consider an indefinite integral of the J.'L -integrable function 1e on [a, b] given by
(2) F(x) = ( lEd~-tL forx E [a,b].

J[a,:x;]
According to Theorem 13.15, we have:

1° The derivative F' exists a.e. on [a, b] and F' = lE a.e. on [a, b].
Recall Definition 12.1 for the right hand derivative DrF and the left hand derivative DtF
given by
(3) (D,F)(x) =lim F(x + h~- F(x).

h,j.O
(4) (DtF)(x) =lim F(x +h)- F(x).

htO h
By Definition 12.1, if F'(x) exists then F'(x) = (DrF)(x) = (DtF)(x). Then we have
. 1
(5) F'(x) = (D,F)(x) =lim -{F(x +h)- F(x)} by (3)
h,j.O h
1
=}i.m-h { ( lEdJ.tL- ( led~-tL}•
h,j.O J[a.x+h] J[a.x]
Similarly we have
(6) F'(x) = (DlF)(x) =lim _!_{F(x +h)- F(x)} by (4)

htO h
. 1
= }$ -h { F(x- h)- F(x)}
= -}!fc}~{F(x- h)- F(x)}
= -lim-hl { { hd~J-L- { hd~-tL}•
h.j.O J[a,x-h] J[a,x]
Adding (5) and (6) we have
hd~-tL- hd~-tL}
1 1
2F (X)=lim-h { { {
h.j.O J(a,x+h] J(a,x-h]
and then
(7)
Now (7) and (1) show that PE(x) = F 1(x) for any x for which F 1(x) exists. Then by 1° we
have
PE(x) = F'(x) = lE(x), a.e. on [a, b].
Thus we have
1 fora.e. x e E,
PE(X) = { O
fora.e. x E Ec.
§16The LP Spaces 353
§16 The LP Spaces

Prob. 16,1, Let f be a Strictly pOSitiVe real-ValUed 9J'tL -measurable funCtiOn On [Q, 1).
Prove
{i [0,1]
f dl-£ }{i
[0,1] f
1
-d~-~- }>
-
1.
Proof. By Theorem 16.14 (Holder's Inequality), we have

Prob. 16.2. Let (X, Ql, ~-t) be a measure space. Let f be an extended complex-valued
2t-measurable function on X. Let 0 < p < q < oo. Show that
I I
11/llp ::S ll!llq{~-t(X)}P-i,
provided that the product exists. (The product does not exist if one factor is equal to 0 and
the other is equal to oo.)
Contrast this result with Corollary 16.16 which states that for p, q E (1, oo) such that
I
~ + ~ = 1 we have llfll1 ::S llfllp{~-t(X) P.
Proof. Let r =; > 1 and let s be the conjugate of r, that is, ~ + ~ = 1. This implies
~=1-~=1-~=q-p.
s r q q
Now we have by Theorem 16.14 (Holder's Inequality),
LIJIPd~-t L = IJIP ·1d~-t ::S {fx IJIP' d~-t}~ {fx 19 d~-t}~

={ L lflq d~-t}~ {~-t(X)}~
={ L 1/lq d~-t}~ {~-t(X)} ~-
Then we have
11/llp = { fx IJIP d~-t} ~ ::s {Llflq dJL} ~ {~-t(X)} q;:

I I
= 11/llq{JL(X)}P-i.
Prob.16.3. Let(X, lll,#L)beameasurespace. Lett?- E (0, 1)andletp,q,r ~ 1,p,q ~ r,

be related by
1 !?- 1-D-
-=-+--.
r p q
Show that for every extended complex-valued 2!-measurable function f on X we have
11/llr ::=: 11/11! 11/11~-, ·
Proof. Multiplying the equality ~ = %+ 1;1'1 by r we have

rl?- r(l - !?-) 1 1
1=-+ =.l!...+___!L_.
P q r{J r(l-,)
Now since p ~ r and!?- E (0, 1) we have ;:l- > 1. Similarly since q ~ r and 1 - !?- E (0, 1)
we have ~ > 1. Thus ;:l- and ~ are conjugates. Then by Theorem 16.14 (HOlder's
Inequality) we have
LIll' d#L L1/1'1'1 . 111'( -1'1) d#L

= 1
L(1/1'1'1);} d#Ll ~ L(1/l'(l-.J))~ d#Lr(l;">

===I
1
Llf1Pd#L}~ IL 1/lq d#L}¥
= {
= 11/11~1'111/11~(1-1'1)_
This implies
11/llr = { L1/1' d#Lf ::=: 11/11!11/11~-1'1-

Prob. 16.4. Given a measure space (X, ~l, 1-£). Let f be an extended real-valued ~l
measurable function on X such that fx IJIP dl-£ < oo for some p e (0, oo). Show that
for every e > 0 there exists M > 0 such that for the truncation of f at level M, that is,
jlMl =(fA M) v (-M), we have fx If- JlMl IP dl-£ <e.
Proof. The assumption fx IJIP dl-£ < oo implies that lfiP < oo, a.e. on X and then
1/1 < oo, a.e. on X. Then we have
lim J 1Ml = f, a.e. on X.
M-.oo
Note also that we have lfiMl I :::: Ill and this implies
1/- tlMliP ::S {1/1 + ltlMliV ::S 2PifiP.
By the assumptionfx IJIP d~-t < oo,lfiP is ~-t-integrableon X and then so is 2Pif1P. Then
by Theorem 9.20 (Dominated Convergence Theorem), we have
lim { If- J 1MliP dl-£ = { lim 1/- /IMIIP dl-£ = { Od!L = 0.

~ooh h~oo h
This implies that for every e > 0 there exists M > 0 such that x J If - fiMl IP d 1-£ < e. 1
An Alternate Proof. According to Theorem 9.26 (Uniform Absolute Continuity of Integral

with respect to Measure), the assumption fx IJIP dl-£ < oo implies that for every e > 0
there exists t5 > 0 such that
(1)
1 E
1/IP dl-£ <!.... for every E e 2t such that/L(E) < t5.
2P
For every M > 0, define
(2) DM = {x EX: lf(x)l > M}.
Then we have
(3)
Now we have
and then
1
/L(DM) :::: - -
MP}x
r IJIP dl-£
M~oo
and lim /L(DM) = 0.
Let M > 0 be so large that ~-t(DM) < 8. Then we have
1 1
lx{ If- t!Mllp dl-£ = lnM
{ If- tlM 1P dl-£::: { {Ill+ lt MliJP dl-£
lnM by (3)
: : JnM
r {21/IY dl-£ = 2P JnM
r IJIP dl-£ < 2P !._ = e by (1).
2P
Prob. 16.5. Let (X, Ql, p,) be a measure space and let p, q E [1, oo] be conjugates, that
t
is, + ~ = 1. Let (fn : n E N) C LP(X, Ql, p,) and f E LP(X, Ql, p,) and similarly
(gn: n EN) C U(X, Ql, p,) andg E Lq(X, Ql,p,). Show that if lim llfn- flip= 0 and
n->oo
lim
n->oo
IIKn- gllq = 0 then n->oo
lim llfnKn- fglll = 0.
Proof. We have
fnKn- fg = fnKn- fng + fng- fg
and then by Theorem 16.14 (Holder's Inequality) and Theorem 16.40 (Holder's Inequality)
llfnKn- fcllt ~ llfnKn- fnKIIl + llfng- fglll

= llfn(gn- g) lit+ IIUn- /)gilt
~ 11/nllp IIKn- Kllq + 11/n- /lip IIKIIq,
and then
lim
n--+ oo
llfnKn- fgllt :::=: llfnllp 11-+00
lim IIKn- Kllq + llgllq 11-+00
lim llfn- flip= 0.
This completes the proof. I

Prob. 16.6. Let (X, Ql, #L) be a measure space and let p E [1, oo). Let Un : n E N) be
a sequence in LP(X, Ql, ~J-) and f E LP(X, Ql, ~J-) be such that lim II fn - flip = 0. Let
n--..oo
(en : n E N) be a sequence of complex-valued Ql-measurable functions on X such that
len I ::=:: M for every n EN and let e be complex-valued !ll-measurable function on X such
that lim Cn = g a.e. on X. Show that lim llenfn - ef lip = 0.
n-+oo n~oo
Proof. We have
and then
lenfn - gfiP ::::: { lg,llfn -/I+ If lien - gl r

::::: 2P{IeniP lfn- JIP + lfiP len- eiPr by Lemma 16.7
::::: 2P{MP lfn- fiP + IJIP len- giP r.

and thus we have
(1) fx lenfn- gfiP d~J- ::=:: 2P MP fx lfn- JIP d~J- + 2P LIJIP lg,.- giP d~J-.
For the first termon the right side of(l), lim
n-+oo
11/n- flip= 0 implies n-+oo
lim 11/n- fiiPp = 0
and thus we have
(2) lim 2P MP { lfn- fiP d~-t = 2P MP lim 11/n- fliP= 0.

n--..oo } X n--..oo P
For the second term on the right side of (1), observe that lfiPig, - giP ::=:: lf1P(2M)P
which is J.L--integrable on X since If IP is. Thus by Theorem 9.20 (Dominated Convergence
Theorem) we have
Then by (1), (2) and (3), we have
(4) lim lien!- gfiiPp = n--+oo

lim ( lenin - gfiP d~J- = 0.
n--+oo } X
Then (4) implies lim lien!-

n--+oo
gfllp = 0. This completes the proof. 1
Prob. 16.7. Definition. (Holder Condition) Let f be a real-valuedfunction on an interval

I C IR. We say that f satisfies a Hiilder Condition with coefficient C > 0 and order
p e (0, oo) on/ ifwehave lf(x')- f(x")l ~ Clx' -x"IP foranyx',x" e /.
Thus the Lipschitz Condition is a HOlder Condition of order 1.
Theorem. Let f be a real-valued function on an interval! c JR. Suppose f satisfies a
Holder Condition with coefficient C > 0 and order p e [1, oo) on I. Then we have:
(a) f satisfies a Lipschitz Condition with coefficient C > 0 on I.
(b) f satisfies Condition (L) on I.
(c) f is absolutely continuous on every [a, b] c I.
Proof. 1. Let us prove (a). Assume that f satisfies a HOlder Condition with coefficient
C > 0 and order p e [1, oo) on I, that is, we have
(1) lf(x')- f(x")l ~ Clx' -x"IP foranyx',x" e I.
With p e [1, oo), define a real-valued function g on [0, 1] by setting g(x) = xP for
x e [0, 1]. Then p e [1, oo) implies
(2) g(x) = xP ~ x for x E [0, 1].
Let x, y E I be such thatx < y andy- x :S 1. Then for any x', x" E [x, y] we have
(3) lf(x')- f(x")l :S Clx'- x"IP :S Clx'- x"l
by (1) and (2). This shows that f satisfies a Lipschitz Condition with coefficient C > 0 on
any[x,y] c Iwithy-x ~ 1.
Consider an arbitrary [x, y] C I. For a sufficiently large m e N we have ~ :S 1.
Then we can selectx = xo < Xt < · · · < Xm = y suchthatxi -Xi-1 ~ 1 fori= 1, ... ,m.
Then for any x', x" e [x, y] such that x' < x" we have
x' :S Xn < Xn+l < ··· < Xn+k :S x" where n ~ 0 and n + k :S m.
Then we have
lf(x')- f(x")l :S lf(x')- f(x,.)l + lf(xn)- /(Xn+l)l + · · · + lf(xn+k)- f(x")l

~ C { lx' - Xnl + lx,. - Xn+ll + ·· · + lxn+k - x" I} by (3)
= Clx'- x"l -
This shows that f satisfies a Lipschitz Condition with coefficient C > 0 on I.

2. According to Prob. 13.10, a Lipschitz Condition and Condition (L) are equivalent.
Thus (a) implies (b).
3. According to Prob. 13.11, Lipschitz Condition on I implies absolute continuity of f
on[a,b] c I . Thus(a)implies(c). 1
Prob.16.8. Let f be areal-valued function on [a, b] c lR with l([a, b]) = 1. Assume that
f satisfies a Lipschitz Condition with coefficient C > 0 on [a, b]. Show that f satisfies a
Holder Condition with coefficient C > 0 and order p E (0, 1] on [a, b].
Proof. We have
(1) lf(x')- f(x")l ~ Clx'- x"l for any x', x" E [a, b].
Withp e (0, 1],defineareal-valuedfunctiongon[O, l]bysettingg(x) = xPforx e [0, 1].

Then p e (0, 1] implies
(2) g(x) =xP:::: x forx e [0, 1].
Then for x', x" e [a, b), by applying (1) and (2), we have
(3) lf(x')- f(x")l ~ Clx'- x"l ~ Clx'- x"IP.
This shows that f satisfies a Holder Condition with coefficient C > 0 and order p E (0, 1]
on [a, b). 1
Prob. 16.9. Let f be an extended real-valued mL -measurable function on [a, b] such that
ha,bllfiP dJLL < oo for some p e (1, oo). Let q e (1, oo) be the conjugate of p.
(a) Show that f is ILL -integrable on [a, b].
(b) Let F be an indefinite integral off on [a, b]. Show that F satisfies a HCilderCondition
with coefficient 11/llp and order~ on [a, b], that is, we have
IF(x') - F(x")l :S 11/llp lx' - x"llfq for x', x" e [a, b].
(c) Show that for every x e [a, b], we have
lim F(x +h) - F(x) _

0
h.j.O hlfq - .
Proof. 1. Let us prove (a). Let q e (1, oo) be the conjugate of p e (1, oo), that is,
t + ~ = 1. Then by Theorem 16.14 (HOlder's Inequality), we have
This shows that f is ILL -integrable on [a, b ].

2. Let us prove (b). The indefinite integral F off on [a, b] is given by
F(x) = { f diLL+ Co for x e [a, b].

J[a,x]
Then for x', x" e [a, b] such thatx' < x" we have by Theorem 16.14 (Holder's Inequality)
IF(x")- F(x')l =I { J(x',x"]

f dJLLI :S {
J(x',x"]
1/1 dJLL ={ J(x',x"]
1/1·1 dJLL
:S { { lfiP d/Ld~ {{ 1q d/Ld ~

f(x 1 ,x11] J[x',x11 ]
:S { 1 (a,b]
IJIP diLL~~ lx"- x'l~
1
= II flip lx"- x'lq.
3. Let us prove (c). We have
F(x+h)-F(x)=l fdiLL-1 fdJLL= { fdiLL·

(a,x+h] (a,x] f(x,x+hl
Then by Theorem 16.14 (Holder's Inequality), for x E [a, b] we have
IF(x +h)- F(x)l = r f dJLL I =:: J(x,x+h]

IJ(x,x+h] r 1/1 . 1 dJLL
and then
(1)
We claim
(2)
Since lfiP is ILL -integrable on [a, b], by Theorem 9.26 (Uniform Absolute Continuity of
Integral) for every e > 0 there exists 8 > 0 such that fn lfiP diLL < e for any D E VJIL
such that D C [a, b] and ILL(D) < 8. Then we have f(x,x+hl lfiP diLL < e for h E (0, 8).
This proves (2). Then by (1) and (2) we have
lim IF(x + h)l- F(x)l =:::lim { { lfiP d~.tL}* = 0,

h-1-0 ht h-1-0 J(x,x+h]
which is equivalent to
. F(x +h)- F(x)
hm 1 =0.
h-1-0 h'
Prob. 16.10. Let f be an extended real-valued ~RL -measurable function on [0, 1] such that
![0, 11 IJIP dJLL <
oo for some p e [1, oo). Let q e (1, oo] be the conjugate of p, that is,
t + ~ = 1. Let a E (0, 1]. Show that
1
lim { If IdJLL = 0.
a+O a 11q }[O.a]
Proof. 1. For the case that p = 1 we have q = oo and then 1/q = 0 and a 1fq = a 0 = 1.
Then we have
lim:/ { lfldJLL=lim{1· { lfldJLL}=lim { lfldJLL=0.

a+O a q }(O,a] a+O }[O,a] a.j.O }[O,a]
2. Consider the case that p e (1, oo). In this case we also have q e (1, oo). Then by
Theorem 16.14 (Holder's Inequality) we have
and then
I
ai
1
L
[O,a]
If IdJLL :::; {L[O,a]
If Ip dJLL J~ ·
Now by assumption we have J[0, 11 1JIP diLL < oo. This implies that~ ho.aJIJIP diLL =
0 and then lim

a+O
U10'a]IJIP diLL} 11P = 0. Then we have


Theorem. (Uniform Absolute Continuity of Integral Relative to Measure for a Class
withBonndedNormsinLP Space)Let(X, Ql, JL) beaTMasurespaceandlet POE (0, oo).
Let {fa: a E A} C LPo(X, 2l, JL) such thatSUPaeA llfaiiPo < 00. Let p E (O,fJO). Then
(a)
lim sup 1
A-+oo aeA {X:I /., IP>A}
lfalp dJL = 0.
(b) For every s > 0 there exists lJ > 0 such that for every E E 2l with JL(E) < lJ we have
LlfaiPdJL<B forallaEA.
(Hintfor(a): Let p E (0, PO). Then forO< TJ < ~ wehave~P = ~P-Po~Po ~ TJP-Po~Po.)
Proof. 1. Let us prove (a). Let p E (0, PO). Then for 0 < 1J < ~ we have
~p = ~P-Po~Po ~ T}P-Po~Po
and this implies
{ lfalp dJL ~ { T}P-Polfalp dJL ~ T}P-Pollfall;:::

j{lf.,.IP>IIP} ltl/oriP>IIP}
and then
sup 1
aEA {1/ori'>IIP}
Ifalp dJL ~ 1/P-Po sup II fa u;:::.
aeA
Then since lim fiP-Po = 0 and
11.... 00
SUPrzeA II fa II~ < oo, we have
lim sup
IJ-+OO aeA
1{1/ai'>IIP}
lfalp dJL ~ lim 1'/P-Po sup II fall;:::= 0.
IJ-+OO aeA
Then writing A for 11P we have
(1) lim sup { lfalp dJL = 0.

A-.oo aeA j{lf.,IP>A}
2. Let us prove (b). Now (1) implies that for every e > 0 there exists A > 0 such that
1{1/.,IP>A}
lfaiPdJL < :_ foralla EA.
2
Then for every E E 2l we have
8
( lfaiPdJL= { lfaiPdJL+ { lfaiPdJL < - +.A.JL(E).
JE lEn{l/ariP>A} JEn{l/ariP~A} 2
Let lJ = fi. Then for every E E Ql with JL(E) < lJ we have
{ B B
JE lfalp dJL < 2 +A 2A =e.

Theorem. (BoundedConvergenceTheoremforNorms)Let(X, 21, /L) beafinitemeasure
space and let PO E (0, oo). Let (/11 : n E W) be a sequence and f be an element in
LPo (X, 21, IL) such that
1° lim fn = f, 11--a.e. on X.
n-+oo
2° 11/niiPo ~ Mforalln E W.
lim llf,.- fliP = 0.
Then for every p E (0, po) we have 11-+00
(Hint: Apply Egoroff's Theorem and Prob. 16.12.)
Proof. Let us write fo for f. Then fo E £Po (X, ~(, IL) and thus we have II fo II Po < oo.
This and 2° imply that we have
(1) sup 11/niiPo < oo.

ne ;.::. -~+
Let p E (0, PO). According to Prob. 16.11, condition (1) above implies that for every e > 0
there exists li > 0 such that for every E E 21 with /L(E) < li we have
(2)
Now by 1° we have lim fn = fo, 11--a.e. on X and (X, 2l, IL) a finite measure space. Thus
11-+00
according to Theorem 6.12 (Egoroft) for every li > 0 there exists E e 21 with /L(E) < li
such that lim fn = fo uniformly on Ec. This implies that for every 'I > 0 there exists
n-+oo
N E Wsuch that lin - fol < t'f on Ec for n ~ Nand then
{ lfn- /oiP d/L < t'fP/L(Ec) forn ~ N.

1Ec
This shows that we have
(3)
Then we have
{ lfn - /oiP d/L = { lfn - /oiP d/L + { lfn - foiP d/L

h k h
~ l . lfn - foiP d/L + 2P { llfn IP d/L llfoiP d/L}
~ { lfn - foiP d/L + 2P2e by (2),
1E<
where the first inequality is based on the inequality Ia + fiiP = 2P{Ia1P + I.BIP} in Lemma
16.7. Then we have
(4) limsup ( lfn- foiPd/L ~ lim ( lfn- foiPdiL+2P+le

n-+oo 1
X 1
n-+oo E<
= 2P+l e by (3).
Since (4) holds for every e > 0 we have
lim sup ( lin- loiP dJL = 0.

n->oo lx
This then implies
liminf (
n->oo lx lin- loiP dJL = 0
and then we have
lim ( lin - loiP dJL = 0.
n->oo}x
Thuswehave lim 11/n-lollpp=Oandthen n....,..oo
n~oc
lim 11/n-lollp=O. I
Prob. 16.13. Let (X,~(, p.) be a finite measure space and let p, q E (1, oo) be conjugates.
Let (fn: n EN) be a sequence and f be an element in LP(X, 21, p.) such that
1° lim fn = f, p.-a.e. on X.
n~oo
2o llfnllp ::S M foralln EN.

Show that
(a) lim fAf,.gdp, =fA fgdp,forevery A E ~(for every g E Lq(X, ~l, JL).
n~oo
(b) lim fA fn dp. =fA f dp. for every A E ~(.

n~oo
(Hint: Egoroff's Theorem)
Proof. 1. Observe first of all that by 1o, Theorem 8.13 (Fatou's Lemma) and 2° we have
Jx{ IJIP dp. = Jx

{ ,._lim
_..00
lfnlp dp. ::S liminf { lfnlp dp. ::S MP.
,.__.. 00 Jx
This implies that II flip :::=: M.
2. Let us prove (a). Let A E 21. Let g E U(X, 21, p.). Then we have fA IKiq dp. ::S
fx Ig Iq d p. < oo. Thus lg lq is p.-integrable on A. Then by Theorem 9.26 (UniformAbsolute
Continuity of the Integral with Respect to the Measure), for every e > 0 there exists~ > 0
such that
(1) Llglq dp. < e for every E C A such that E E ~(and p.(E) < ~.
Since p.(A) :::=: p.(X) < oo and 1o holds, Theorem 6.12 (Egoroff) implies that there exists
E c A, E E Q( with JL(E) < ~ such that
(2) lim fn = f uniformly on A \ E.

114>00
Now we have
(3) Ii f,.gdp.- i f gdp.l ::S i lfn- /llgldp.
= { lfn - !1181 dp. + { lfn -file Idp. .

}A\E }E
Consider the first integral in the last member of (3). Now (2) implies that for 1 > 0
there exists N E N such that 1f,. - fl :::=: 1 on A\ E for n 2:: N. Then we have
(4) If,. - /1181 ::S lgl on A\ E for n 2:: N.
Now g E U(X, ~l. p,). Thus by Theorem 16.14 (Holder's Inequality) we have
[lei dp. = fx lei· tdp.::::: { fx lclp dp.}~ { [ tq dp.} ~ = llcllpP.(X)~ < oo.
This shows that lg 1. the bounding function in (4 ), is p.-integrable on X and hence p.-integrable
on A\ E. Then by Theorem 9.20 (Dominated Convergence Theorem), we have
(5) lim { If,.- fllgl dp. = { lim If,. - fllgl dp. = { o · lgl dp. = o.
n-+oo jA\E }A\E n-+oo jA\E
For the second integral in the last member of (3) we have by Theorem 16.14 (Holder)
(6) L If,- fllgldJ.L :c:; { L If,- fiP dp,}~ { L lglq dJ.L} ~

I
:c:; llfn- fllpei by (1)
I
:c:; {llfnllp + llfllp}ei by Theorem 16.17 (Minkowski)
I
:c:; 2Mei by 2° and 1.
Then by (3), (5) and (6), we have
(7) lim sup

n-+oo
IjfA f, gdJ.L- jfA f gdJ.LI ~ n-+oo
lim jfA\E If,- fllgl dJ.L + 2Me~ = 2Me~.
Since this holds for every e > 0 we have
lim sup If f,gdp,- f f gdJ.LI = 0.

n--..oo JA JA
This then implies

liminfl { fngdJ.L- )A{ fgdJ.LI =0
n-+oo )A
and then
lim
n-+oo
1
hr fngdJ.L- )Ar fgdJ.LI =0.
This then implies
lim { { f,gdJ.L- { f gdJ.L} = 0,
n-+oo )A )A
and then
lim { fngdJ.L = { f gdJ.L.
n--..oo)A )A
3. Let us prove (b). Let A E 21. Since J.L(X) < oo, we have
L (1E)q dJ.L = L 1E dJ.L = L 1 dp, = J.L(E) < 00.
Thus 1A E Lq(X, 21, J.L). Then (b) is a particular case of(a)in whichg = lA. 1
Prob. 16.14. Let (X, SJ(, p.) be a a-finite measure space and let p e [1, oo). Let f be an
element and (f,. : n EN) be a sequence in LP(X, SJl, p.) such that lim llfn- flip= 0.
11-+00
(a) Show that for every e > 0 there exists 8 > 0 such that for every E e SJl with p.(E) < 8
we have
L lfnlp dp. < e foralln EN.
(b) Show that for every e > 0 there exists A e SJl with ~-t(A) < oo such that
{ lfnlp dp. < e for all n EN.

Jx\A
Proof. 1. Let us prove (a). We have
Ifni= lfn- f + /1 ::=; lfn- /1 + 1/1

and then by Lemma 16.7 we have
Let E E SJl. Then by the last inequality we have
(1) L lfnlp d~-t ::=; 2P { L lfn - JIP dp. + L IJIP dp.}
::=; 2P { L lfn- JIP dp. + L IJIP dp.}
= 2P { 11/n- /II~+ L IJIP dp.}.
Let e > 0 be arbitrarily given. Since lim 11/n -flip = 0, there exists N E N such that
11-->00
1 e 1
(2) llf,.-fllp<h2P}p forn>N.
Since f E LP(X, m, p.), IJIP is p.-integrable on X. Then by Theorem 9.26 (Uniform

Absolute Continuity of the Integral with Respect to the Measure), there exists 8o > 0 such
that
1 e
(3)
1 E
IJIPdp. < - - for every E e
22P
mwith p.(E) < 8().
Applying (2) and (3) to (1), we have
(4) { lfniP dp. < ~ +~ = e for every E E SJl with p.(E) < 8() for n > N.
}E 2 2
Forn = 1, ... , N, since fn E LP(X, SJl,~-t), 1/piPisp.-integrableonX. Then according to
Theorem 9.26 there exists 8,. > 0 such that
(5) L lfniP d~-t < e for every E em with p.(E) < 8,. for n = 1, ... , N.
Leta= min{8o, 8t. ... , 8N}. Then summarizing (4) and (5) we have JE lfnlp dp, < e for
every E e 21 with p,(E) < 8 for n e N. This proves (a).
2. Let us prove (b). Let h be an extended complex-valued ~(-measurable function on
X. Then since (X, 21, 11-) is a a-finite measure space, ~-£-integrability of h on X implies that
for every e > 0 there exists A e 21 with 11-(A) < oo such that
(6) { lhldl-£<8.
lx\A
Since (1) holds for every E e 21, it holds in particular for X\ E and thus we have
(7) { lfniPdp, ~ 2P{IIfn- /II~+ ( lfiPdp,}.

lx\E lx\E
Lets > 0 be arbitrarily given. Then since lim
n-+oo
11/n- flip = 0, there exists N e N such
that
1
(8) 1E }
llfn- flip< { 22P P forn > N.
Since f e LP(X, 21, #-£), lfiP is ~-£-integrable on X. Then according to (6) there exists
Eo e ~l with 11-(Eo) < oo such that
(9) ( IJIP dl-£ < ~~-

lxv'.-o 22P
(10) f lfiP dp, < ~ + ~ = e for n > N.

lx\Eo 2 2
For n = 1, ... , N, since lfniP is ~-£-integrable on X, according to (6) there exists En e 21
with p,(En) < 00 such that
(11) { lfniPdi-£<E forn=l, ... ,N.

lx\Eft
Let A = U~=<l En. Then JL(A) < oo. Since En c A for n = 0, ... , N we have
(12) ( lfniP d11- ~ ( lfniP d11- < e for n = 0, ... , N.

lx\A lx\E,
( lfnlp dJL < e for all n eN.

lx\A
This proves (b). 1
Prob. 16.15. Prove the following theorem on the convergence of a sequence of integrals:
Theorem. Let (X, 21, /1-) be a a-finite measure space and let p e [1, oo). Let (fn : n eN)
be a sequence in LP(X, !](, f.L) satisfying the following conditions:
1° for every e > 0 there exists 8 > 0 such that for every E e 21 with f.L(E) < 8 we have
L lfniP d11- < e for all n EN.
2° for every 8 > 0 there exists A e 21 with f.L(A) < oo such that
{ lfn IP df.L < 8 for all n E N.

lx\A
Let f be an extended complex-valued 21-measurablefunction on X such that Ill < oo,
11--a.e. on X and lim fn = f, 11--a.e. on X. Then f e LP(X, Q(, f.L) and moreover we
n-+oo
have lim
n--+oo
11/n -flip = 0 and in particular lim
n-+oo
fx lfniP d11- = fx lfiP df.L.
Proof. 1. Let us show first that f e LP(X, Ill, /1-). Thus we are to show that fx lfiP d11- <
oo. Let 8 > 0 be arbitrarily given. Now according to 1o, there exists 8 > 0 such that
(1) L lfnlp d11- < 8 for every E e 21 with 11-(E) < 8 for all n eN.
Then according to 2°, there exists A e 21 with 11-(A) < oo such that
(2) { lfniPd/1- < 8 foralln EN.

lx\A
Since lim fn = f, f.L-a.e. on X, we have lim fn = f, f.L-a.e. on A. Since 11-(A) < oo,
11--+-00 11-+00
according to Theorem 6.12 (Egoroff) for our 8 > 0 there exists B e 21, B c A, with
11-(B) < 8 such that lim fn = f uniformly on A\ B. Thus for every 11 > 0 there exists
n-+oo
N E N such that 1/n - /I < 11 on A\ B for n ~ Nand then
{ lfn- fiP d11- ~ 1/P f.L(A \B) for n ~ N.

}A\B
Since 11-(A \B) < oo, the arbitrariness of 11 > 0 in the last estimate implies that we have
(3) lim
n-+oo
1
A\B
lfn - fiP df.L = 0.
Now A\ B E 2l. H we let 2liA\B = {En (A\ B) : E E 21} then 2liA\B is a a-algebra
of subsets of A \ B and (A \ B, 211 A\B, 11-) is a measure space. Consider the Banach space
LP(A \ B, 2liA\B• /1-). Since f,. E LP(X, 21,/1-), we have jA\B lfniP df.L ~ fx lfniP d11- <
oo. Thus fn E LP (A \ B, 2liA\B, /1-). By (3) we have JA\B lin - fiP df.L < oo for
sufficiently large n E N and thus fn - f E LP(A \ B, 211.4.\B ,/1-) for sufficiently large
n EN. Then f = ( / - /n) + fn E LP(A \ B, ~liA\B,J.t) sinceLP(A \ B, ~liA\B,J.t) is a

linear space. Thus we have
(4) r
)A\B
111p dp, < oo.
Sincep,(B) < 8, wehave JB

lfniP dp, < sforalln EN accordingto(l). ThenbyTheorem
8.13 (Fatou's Lemma), we have
(5)
From (2), we have by Theorem 8.13 again
(6) r
)X\A
IJIP dp, ~ liminf
n-+oo )X\A
r lfnlp dp, ~ E.
Now {A \ B, B, X \ A} is a disjoint collection in ~ and the union of the three sets is equal
to X. Thus by (4), (5) and (6) we have
r
lx
111p dp, = r
jA\B
111p dp, + r
jB
111p dp, +
lx\A
r 111p dp, < oo.
This shows that f E LP(X, '21, p,).

2. Let us show that lim 11/n- fliP = 0. For the sake of convenience in subsequent
n-+oo
argument, let us write /o for f. Let E > 0 be arbitrarily given. Since /o E LP(X, ~. p,) as
we showed above, 1/oiP is p,-integrable on X. Then by Theorem 9.26 (Uniform Absolute
Continuity of the Integral with Respect to the Measure), there exists 8o > 0 such that
(7) 11/oiP dp, < E for every E E ~with p,(E) < Oo·
With 8 > 0 in (l),let o' = min{c5, 8()}. Then combining (1) and (7) we have
(8) Llfnlp dp, < E for every E E ~with p,(E) < li' for all n E z+
Since fx 1/oiP dp, < oo and (X,~. p,) is a a-finite measure space, there exists Ao E ~
with p,(Ao) < oo such that
(9) { lfoiP dp, < E.

lx\Ao
With A in (2), let A'= AU Ao. Then p,(A') < oo and by (2) and (9) we have
(10) { lfnlp dp, < E for all n E Z+.

lx\A'
Now lim Fn
n.....,.oo
= /o,p,-a.e. onXandhence lim Fn
n....... oo
= /o,p,-a.e. onA'. Sincep,(A') < oo,
by Theorem 6.12 (Egoroft) for our li' > 0 there exists B' E ~. B' c A' with p,(B') < 8'
such that lim fn = fo uniformly on A1 \ B 1• Then by the same argument as the one
n--.oo
employed to obtain (3) we have
(11) lim r
n--.oo}A'\B'
lfn- /olp diL = 0.
Since /L(B') < ~',we have by (8)
(12) { lfnlp d/L < e for all n E 2: +.

)B,
Since {A' \ B', B', X \ A'} is a disjoint collection in Ql and the union of the three sets is
equal to X, we have
(13)
lx
r lfn- foiP d/L = )A'\B'
r lfn- /olp d/L + )B'r lfn- /olp d/L + lx\A'
r lfn- /olp d/L
:5: { lfn - foiP dJL + 2P { { lfnlp d/L + { lfoiP dJL}
1A1\B1 1B1 1B1
+2P{ r
lx\A'
lfnlp d/L + r
lx\A'
1/olp d/L},
where the inequality is by meansofLemma 16.7. Then applying (11), (12) and (lO)to (13),
we have
lim sup { lfn - /oiP dJL :5: 0 + 2P2e + 2P2e = 2P+2 e.
n--.oo Jx
J
Since this holds for every e > 0 we have lim sup x Ifn - /o IP d JL = 0. This then implies
n~oo
that we have liminf fx lfn- /oiP dJL = 0 and then lim fx lfn- foiP dJL = 0, that is,
n--.oo n--.oo
lim llfn-foiiPp =0. Thisimpliesthat lim 11/n-/ollp =0. ThenaccordingtoTheorem
11........ 00 11~00
I
16.25, lim 11/n-/ollp=Oimplies lim 11/nllp= 11/ollp,thatis, lim IJxlfniPdJL}li =
n.....,.oo n~oo n""""+oo
I
{ fx 1/oiP diL }P and this implies lim
n-+oo
fx lfniP dJL = fx 1/oiP dJL. This completes the
proof. I
Prob. 16.16. Defurltion. (Equicontinuity) Let Ua : a E A} be a collection of real-valued

functions on an interval/ C R. We say that the collection {fa : a E A} is equicontinuous
on I if for every e > 0 there exists 8 > 0 such that lfa(x')- fa(x")l < e for all a E A
when x', x" E I are such that lx' - x" I < 8.
Theorem. Let{fa :a E A} be a collectionofreal-valuedfunctionson [a, b] C Rsuch that
fa is differentiable and the derivative f~ is bounded on [a, b] and SUPaeA Jia.b] If~ 12 d/L t. ::5:
M where M > 0. Then Ua : a E A} is equicontinuous on [a, b ].
c [a, b]. Then boundedness off~ on [a, b] implies boundedness off~

Proof. Let [x', x 11 ]
on [x', x"]. Then according to Theorem 13.23, we have
(1) fa(x")- fa(x') = { f~(x) ILL(dx),

J[x',x"]
and then applying Theorem 16.14 (Holder's Inequality) we have
(2) lfa(x")- fa(x')l :5: { lf~(x)IILL(dx) = ( l·lf~(x)IILL(dx)

Ar,.x''l Ax',.x''l
::5: { ( 12 1LL (dx)}i { { lf~(x) 2 /LL (dx) }!

1
J[x',.x''] J[.x',x"]
::5: ../x"- x' · { ( lf~(x)l 2 ILL (dx)}!

J[a,b]
:5: ..jx" - x' · M for all a E A.
Lete > Obearbitrarily given. Let&=~- Thenfor[x', x"] c [a, b] such that lx'-x"l < 8
we have
(3) lfa(x")- fa(x')l ::5: M · .Jx"- x' < M../8 = M ~ = e for all a E A.
This proves the equicontinuity of {fa :a E A} on [a, b]. 1

Prob. 16.17. Given a measure space (X, Ql, ~J-). Let DE Q( and let (f,. : n E N) and f be
extended real-valued 2t-measurable and 11--integra.ble functions on D such that
1° lim f,. = f a.e. on D,
11~00
2° lim folf,.ld~L=folfld~J-.
11~00
Show that for every E E Ql such that E c D we have

(a) lim
11~00
JE Ifni d11- = JE If I d~J-,
{b) lim JE fn d~J- = JE f d~J-.
11~00
Proof. 1. Let us prove (a). Observe that D E Ql implies that Qllo = {AnD : A E Ql}
is a a-algebra of subsets of D. Consider the measure space (D, 2tlo, IL) and the Banach
space L 1 (D, !lllo. ~J-). Then according to Theorem 16.28, assumption of conditions 1° and
2° implies
(1) lim llfn- /Ill= 0,

n--+oo
that is, lim { lfn- f
n--+oo}D
d~J- = 0.
Let E E Ql and E c D. Consider the measure space (E, QliE, IJ-) and the Banach space
L 1(E, QliE, ~J-). Then E CD and (1) imply
(2) lim { lfn- /1 d~J- =::: lim { lfn- fld#L = 0.

n~oo JE n~oo } 0
Thus we have lim 11/n- /Ill = 0 in the Banach space L 1 (E, '.2CIE. ~J-). According to
11~00
Theorem 16.25 this implies
(3) lim 11/nlll

n~oo
= 11/llt, that is, lim 11/nld#L
n~oo E
= 11fld~J-.
E
This proves (a).

2. To prove (b), observe that
We showed above that lim llfn- flit = 0 in the Banach space L 1 (E, QliE, ~J-). Applying
11~00
this to (4) we have

lim 1
n~oo jE
r tnd~~-- jEr fd~~-1 =0.
This implies that
lim { fndiL = { f d~J-.
n~oo}E JE
This proves (b). 1
Prob.16.18. If condition 2° in Prob. 16.17 is replaced by

3o lim fv fn d~J- = fv f d~J-,
11-+00
then (a) and (b) in Prob. 16.17 do not hold. Construct an example to show this.
Proof. Consider the measure space (R, s:mL' JLL). Let D = (0, 1) and let (/, : n E N) and
f be real-valued s:mL -measurable and JLL -integrable functions on D defined by setting
fortE (o, ~)
fort E [.!n' 1 - .!]
"
fortE (1- ~.1)
and
f(t) = 0 fort E (0, 1).
Then we have
lim f,.(t) = f(t) fort E D,

11-+00
This verifies that condition 1o ofProb. 16.17 and condition 3° are satisfied but condition 2°
of Prob. 16.17 is not satisfied.
NowletE = (0, !) c D. Then we have
This shows that (a) and (b) in Prob. 16.17 do not hold here. 1
Prob. 16.19. Consider a Banach space LP(X, Ql, JL) where p e (0, oo). Let f be an
element and (f11 : n EN) be a sequence in LP(X, Ql, JL) such that
1° lim fn = f a.e. on X,
n-+oo
lim llf11llp = llfllp·
2° 11-+00
According to Theorem 16.28, assumption of 1o and 2° implies that lim llfn - flip = 0.
11-+00
Show that this is not true for a Banach space L 00 (X, Q(, 11-), that is, lim j 11 = f a.e. on X,
n-+oo
and lim
11-+00
llf11lloo = llflloo do not imply lim llf11-
11-+00
/lloo = 0.
Proof. Consider L (1Et, vn~., IL~.). Let f be an element and (f11 : n eN) be a sequence in
00
L 00 (1Et, vn~.. IL~.) defined by setting
0 forx E (-oo,O)
f(x) =
{ 1 for x e [0, oo)
and
0 for x e (-oo, 0]
j 11 (x) = 1 for x e [~, oo)
{
linear on [0, ~].
We have 11/lloo = 1 < 00 and 11/nlloo = 1 < 00, showing that f, fn E L 00 (1Et, vn~.. ILL).
Now we have lim f,. =jon lEt and lim llf,.lloo = lim 1 = 1 = llflloo.
n--+00 n--+00 n-+oo
Let us show that lim
n-+oo
11!11 - flloo = 0 does not hold. Observe that
for x E (-oo, 0)
( f - fn)(x) = { ~ forx=O
for x e [k, oo)
linear on [0, ~].
This shows that 11/n- flloo = llf- f 11 lloo = 1 for every n EN. Then we have
lim
n~oo
11/n- /lloo = lim 1 = 1
n~oo
# 0.
2
Prob.16.20. Consider a real-valued function f(x) = e-x 12 for x E Iff..
Showthat/ E LP(Iff., !JJ1L,ILL)forevery p E (O,oo] andmoreover lim 11/llp = 11/lloo.
p-+00
Proof. 1. Our function f is essentially bounded on Iff. and the infimum of its essential
bounds is equal to 1. Thus f E L 00 (Iff., 9J1L, ILL) and II /lloo = 1.
2. Consider the case p E (0, oo). We have
(1) L f(x) ILL (dx) = /_: e-? dx = ..fiii.

Now we have
(2)
Letu = ..;px. Thenx = p- 112 u anddx = p-112 du. Then we have
L lf(x)IP ILL (dx) = { L e-'f ILL (du)} p-~
= ..{iii p-~ by (1) .
Thus we have
(3) 11/llp = { L, lf(x)IP ILL(dx) }~ = {..fiir p-i}~= (27r)'kp-$ < oo.

This shows that f E LP(Iff., VJlL, ILL) for every p E (0, oo).
3. Let us show that lim 11/llp = 11/lloo· We have shown above that 11/llp
p-+00
I I I I
(27f)21i p -2P. We have lim (27r)21i = (27r)0 = 1. Let us investigate lim p -2P. We
p-+00 p-+00
have
. ( - - 1 1og p ) = --1 lim -
b = 1nn
lim 1og p _ •P log-
p
= 0.
p-+00 p-+00 2p 2 p-+00 p
I I I
This implies that lim p -2P = 1. Then we have lim
p-+00 p-+00
II f II P = lim (27f) 2P p -2P = 1 =
p-+00
11/lloo. This completes the proof. 1
Prob.16.ll. Construct a measure space (X, Q(, /1-) and areal-valued Ql-measurablefunction
f on X such that f e LP(X, 21, /1-) for every p e (0, oo) but f (/ L 00 (X, 21, ~J-).
Proof. 1. Consider the measure space (Iff., mL, Il-L). Now [0, oo) e mL and this implies
that 9JlLI[O,oo) ={En [0, oo) : E e 9JlL} is a a--algebra of subsets of [0, oo) and thus we
have a measure space ((0, 00), 9JtL i[O,oo), /1-L).
2. Consider the measure space ([0, oo), 9JlL i[O,oo), Il-L) defined above. Let g be a
real-valued function on [0, oo) defined by setting
z2
(1) g(x) = e-2 for x e [0, oo).
We have
(2) f g(x) 11-L (dx) = f e-f 11-L (dx) = ~..;2Jr = -/l

J[O,oo) J[O,oo)
Let us define a set function).. on 9JlL i[O,oo) by setting
(3) )..(E)= Lg(X)/1-L(dx) forE E 9JlLI[O,oo)·
By Proposition 10.3, Ais a measure on the measurable space ([0, oo), mL i[O,ooJ) and thus we
have a measure space ([0, oo), 9JtLIIO,oo). A). By Definition 11.1, g is theRadon-Nikodym
derivative of).. with respect to Il-L· Then according to Theorem 11.21, for every extended
real-valued SJRLIIO,oo)-measurable function f on [0, oo) such that J[O,oo) f d).. exists, we
have
(4) 1[O,oo)
f(x) J..(dx) = 1 [O,oo)
f(x)g(x) 11-L(dx).
3. In the measure space ([0, oo), 9RL i!O,oo), )..),let /be areal-valued function on[O, oo)
defined by setting
(5) f(x) = x for x e [0, oo).
Then f is 9RL l10,oo)-measurable on [0, oo) but not essentially bounded on [0, oo). Thus
we have II /lloo = oo and f (/ Loo([O, oo), SJRL i[O,oo), A.).
4. Let us show that 11/llp < oo and therefore f e LP([O, oo), SJJlLIIO,oo),A.) for
p e (0, oo). Now we have
(6) 11/11~ = { if(x)IP )..(dx) ={ xP J..(dx)

J[O,oo) J[O,oo)
= f xPe-f 11-L(dx) by (4) and (1).
J[O,oo)
Let us estimate the last integral. We have xP <ex for X e [0, oo). Thus we have
(7)
l [O,oo)
z2 /1-L(dx):::::
xPe-z i
[O,oo)
z2 11-L(dx)
~e-z
~2
=
1
[0,00)
e--,:+x 11-L(dx).
Now we have-~+ x = -!<x - 1)2 + ! and then e-~+x = 2

e-i(x- 1) e!. Then
(8) { e-~+x JLL(dx) = e! { e-hr- 1) 2 JLL(dx)

J[O,oo) J[O,oo)
:S e~ Le-~(x- ) 1 2 ILL (dx)
= e! {. e-!xl JLL (dx)

} !;>,.
= e!.J2rr < oo,
where the second equality is by Theorem 9.31 (Translation Invariance of the Lebesgue
Integral on lit. Substituting (7) and (8) in (6), we have 11/11~ < oo and then 11/llp < oo
for every p e (0, oo). This completes the proof that f e LP([O, oo), 9J1LI[O,oo). >..) for
p E (0, oo). I
Prob. 16.22. Let (X, Ql, 11-) be a a-finite measure space with 11-(X) = oo.
(a) Show that there exists a disjoint sequence (En : n e N) in 2t such that UnEH En= X
and ~J-(En) e [1, oo) for every n eN.
(b) Show that there exists a real-valued 2t-measurable function f on X such that f 'I
L 1(X, 2t, ~J-) and f E LP(X, 2!, ~J-) for all p E (1, oo].
Proof. 1. Since (X, 2t, 11-) is a a-finite measure space, there exists a disjoint sequence
(Ft : k e N) in 2t such that UtEWFk = X and ~J-(Fk) < oo for every k e N. We
have LkEH ~J-(Ft) = 11-( UkEB Ft) = ~J-(X) = oo. Thus there exists nt E N such that
L:~ 1 ~J-(Fk) e [1, oo). Let Et = U~ 1 Fk. Then ~J-(Et) = L:~ 1 ~J-(Ft) E [1, oo).
Since Lk?:nt +t#L(Fk) = oo, there exists n2 e N such that L:i==111 +t#L(Fk) e [1, oo).
Let E2 = U~nt+l Fk. Then 11-(E2) = L",?-,.1+t1L(Fk) e [1, oo). Iterating this process
indefinitely, we obtain a disjoint sequence (En : n E N) in Ql such that ~J-(En) E [1, oo) for
every n E N. Moreover since UteH Fk = X and since every Fk is a subset of some En, we
have UneH En= X.
2. We have shown above the existence of a disjoint sequence (En : n e N) in 2t such
that UneH En = X and ~J-(E,.) e [1, oo) for every n E N. Let us define a real-valued
'}(-measurable function f on X by setting
1 1
(1) f(x) = --- forx E En forn E N.
~J-(E,.) n
Then we have
(2) 11/1 d11- =

X neF En
L IL(~) .!_11-(En)
L 11fldiL = nel'l n
= L .!_ =
neH n
n
00.
Thus f 'I L 1(X, Ql, ~J-).

For p e (1, oo), we have
(3) 1f
X
"1
I Ip d IL-L
-
nEff En
If Ip d IL-L
- " _(E
nEE
_!_ (En-
1_)PnPIL
IL n
) - "L
nEN IL
(E 1)P-lnp'
n
1
Since p e (1, oo) and p - 1 > 0 and ~J-(E,.) ~ 1, we have ~J-(En)p-l ~ 1 and then
/.L(E~>p-l ~ 1. Substituting this in (3), we have
(4) 11f1Pd1J- ~ L n~ < oo.

X neff
This shows that f e LP(X, 2t, #L) for all p e (1, oo).
Finally, since ~J-(En) ~ 1 we have /.L(1n> ~ 1 for every n e N and then f as defined by
(1) is bounded on X. Thus llflloo < oo and then f e L 00 (X, '2(, ~J-). 1
Prob. 16.23. Let (X, ~. /-L) be an arbitrary measure space. Let f be an extended complex-
valued 21-measurable function on X such that If I < oo , ~-t-a.e. on X. Suppose that
fg E L 1 (X, ~. 1-£) for every g E L 1(X, 21, 1-£). Show that f E L 00 (X, ~. 1-£).
ProoL To show f L 00 (X, 21,~-£), let us assume the contrary, that is, f '/ L 00 (X, 21., J-t),
E
that is, II f lloo = oo. Let us define a disjoint sequence (En : n E Z+) in 2l by setting
En= {x EX: lf(x)l 3

E [n , (n + 1)3)} forn E Z+·
Note first that since 1/1 < oo, J-t-a.e. on X there exists a null set A in (X, 21., ~-£) such
that UneZ+ En = X \ A. Let us show next that /-L(En) > 0 for infinitely many n E z+.
Suppose 1-£(E11 ) > 0 for only finitely many n E Z+· Let N be the greatest of the finitely
many n E Z+ with ~-t(En) > 0. Then we have lf(x)l :::; (N + 1)3 < oo for 1-L-a.e.
x E X so that 11/11 00 < oo. This contradicts the assumption that 11/lloo = oo. Therefore
/-L(En) > 0 for infinitely many n E Z+. Thus there exists a subsequence (nk : k E N) of
the sequence (n : n E Z+) such that ~-t(En1) > 0 for every k E Nand 1-L(En) 0 for every =
n '/ (n.t : k E N). Note that since (n.t : k E N) is a subsequence of (n : n E Z+) it is
possible that n 1 = 0. In any case we have nk > 0 for all k ~ 2. Let us define a nonnegative
real-valued 21.-measurable function g on X by setting
1
p.(E~l)
for X E En1 ,
g(x) = ~<Lk) ~ for x E E,.k, k ~ 2,

{
for X EX\ UkeN Enk·
Then we have
this shows that g E L 1(X, 21, 1-t). On the other hand, we have
Thus fg '/ L 1(X, 21.,p.). This contradicts the assumption that fg E L 1 (X, 21., 1-£) for every
g E L 1(X, 21,p.). Therefore we must have f E L 00 (X, 21, 1-£). 1
Prob.l6.24. Let (X, ~l, /L) be aa-finitemeasure space with 11-(X) = oo. Let p, q E [1, oo]
be such that t +~ = 1. Let f be an extended complex-valued 21-measurable function
on X such that 1/1 < oo, 11--ae. on X. Suppose that fg E L 1 (X,2l,/L) for every
g E U(X, 21, /L). Show that f E LP(X, 21, /L) .
Proof. 1. Consider the case p = oo and q = 1. According to Prob. 16.23, if fg E

L 1(X, 21, /L) for every g e L 1(X, 21, /L), then f e L 00 (X, 21, /L).
2. Consider the case p E [1, oo) and q E (1, oo]. To show that f e LP(X, Ill, /L). let
us assume the contrary, that is, f fl LP(X, ~(, /L), that is, fx lfiP d11- = oo.
Let us define a measure A. on (X, 21) by setting
(1) J..(A) = i IJIP d!L for A E 21.
Since lfiP < oo, 11--a.e. on X and since (X, 21, /L) is a a-finite measure space, the measure
).. defined by (1) is a a-finite measure according to Prob. 10.13. Note that we also have
)..(X) = fx lfiP d/L = oo. Thus according to Prob. 16.22, there exists an extended real-
valued ~(-measurablefunctionh onXsuchthath f1 L 1 (X, ~l./L) andh E Lr(X, Ql,/L) for
all r E ( 1, oo] so that in particular
(2)
Let us define an extended real-valued 21-measurable function g on X by setting
(3) g = hlflp-t.
Let us verify that g E U(X, Q(, /L) and fg f1 L 1 (X, Ql, /L). Now we have
(4)
Since A.(A) = fA IJIP d/L for every A e 21, the Radon-Nikodym derivative~~ = lfiP.
Then by (4) and by Theorem 11.21 we have
{ lglq d/L = { lhlqlfiP d/L = { lhlqd).. d/L = { lhlq d)..< 00,

lx lx lx d11- lx
since hE Lq(X, 21, /L). This shows that g e Lq(X, 21, /L). On the other hand, we have
(5) lfgl = 1/llhllflp-l = lhllfiP
and then
L1/gl d/L = L lhllfiP d/L = Llhl:~ = L d/L lhldJ.. = oo,
since h rj. L 1(X, Ql, /L). This shows that fg rj. L 1(X, Q(, /L). This shows that there exists
g E U(X, Ql, /L) such that fg f1 L 1(X, Ql, /L)· This contradicts the assumption. Therefore
we must have f E LP(X, 21, /L). 1
Prob.16.25. (An Extension of Holder's Inequality) Let (X, Ql, 11-) be a measure space. For
an arbitrary n e N, let [1, ... , fn ben extended complex-valued 2!-measurable functions
on X such that 1/11, ... , Ifni < oo a.e. on X. Let Pt •... , Pn E (1, oo) be such that
1/Pl + · · · + 1/Pn = 1. Show that
(1) II /1 · · · fnlll ::S II /liiPI · · · 11/,.IIP,•
where the equality holds if and only if there exist At, ... , A,. > 0 such that
(2) A1l/llp 1 = · ·· = AnlfniPn a.e. on X.
Proof. We prove (1) and (2) by induction on n.

For n = 2, (1) and (2) hold by Theorem 16.14 (H6lder's Inequality).
Suppose (1) and (2) hold for some n ~ 2. Let us show that (1) and (2) hold for n + 1.
Let Pl •... , Pn+l E (1, oo) be such that 1/P1 + · · · + 1/Pn+l = 1. Let q E (1, oo) be such
that1/pt + · · · + 1/pn = 1/q so that 1/q +1/Pn+t = 1. Then by Theorem 16.14wehave
<3> L 111 ... ,,.+1ld,.,:::: { fx 111 ... t,.lq d,.,r 1q{ fx lfn+liP,+! d,.,r!Pn+l.
where the equality holds if and only if there exist A, B > 0 such that
(4)
Now since 1/pt + .. ·+l!Pn = lfq, we have__!_/

PI q + .. ·+_!_
Pn 1q
= 1. Thus by our induction
hypothesis we have
and then
(5) { L 1
1/1· · · fnlq d11-} /q ::S { L I[liP! d11-} l/Pt · · · { L 1
lfnlp, d11-} /Pn,
where the equality holds if and only if there exist At, ... , A,. > 0 such that
l'1 1'1!
A1l/llq q = · .. = Anlf,.lq q a.e. on X,
that is,
(6) A1l/llp1 =· .. =Anlf,.IPn a.e.onX.
Substituting (S) in (3), we have (1) for n + 1.

Next let us prove (2) for n + 1. Observe first that from 1/P1 + · · · + 1/Pn = 1/q we
have q = (P1 · · · p,.)/(P1 + · · · + Pn)· From (6) we have
and then
n 1 n _g_
(7) Al/1· .. tnlq =A{ IT (A11/11P• )Pir {IT A;Pt}

k=l k=l
{ ~+·+~}q
= AA1Pl ""
I
1/liPdn+··+p;}q
I
{IT A£k}
n _g_ -l
k=l
n _g_ l
= AAtl/liPI {IT A£k}- .
k=l
Let us set
Then we have
Then by (6) we have
A1lf1IP1 = ··· = An+tlfn+tiPn+l a.e. on X .
This proves (2) for n + 1.

Thus we have shown that if (1) and (2) hold for some n =:: 2 then (1) and (2) hold for
n + 1. Then since (1) and (2) hold for n = 2, (1) and (2) hold for every n =:: 2 by induction
onn. I
§17 Relation among the LP Spaces

Prob. 17.1. Consider the measure space ([0, 1), 9J1L 1[0,1), ILL). Then [0, 1) = UteH Dk
where Dt = [Lj';:f 2-i, L~= 1 2-i) fork e N.
Let f be a function on [0, 1) defined by setting f(t) = 9 fort e Dt fork e N.
Detennine the values of p E (0, oo) for which we have f E LP([O, 1), 9J1LI[0, 1), ILL).
Proot Observe that UteH Dk is a disjoint union of countably many intervals Dk and
t(D~c) = 1/2". Let p E (0, oo). Then we have
Now a geometric series with ratio r E IR, LkEl l r", converges if and only if lr I < 1 and
r"
when lr I < 1 then we have LkerJ = 1~'. Thus we have
Observe that
12~- 1 1 < 1 * -1 < 2i- < 1 * 2~-

1 1
< 1 * 2 -i > 1
1
* lo~ {2 -~} > log 1

1
2
{:}1-E.>o
2
{:}p<2.
Thus we have
r
1[0,1)
IJIPdiLL < oo * p < 2.
This shows that f E LP([O, 1), 9JtL 1[0,1)• ILL) if and only if p < 2. 1
§ 17 Relation among the LP Spaces 387
Prob.17.2. Given a measure space (X, Ql, p,). Let f E LP(X, ~(, p,) for some p E (0, oo)
and g E L 00 (X, Ql, p,). Show that fg E LP(X, Ql, p,) and 11/gllp :::: 11/llpllglloo·
Proof. Let f E LP(X, Ql, p,) for some p E (0, oo). Then we have fx IJIP dp, < oo.
Let g E L 00 (X, Ql, p,). Then 118lloo < oo and lgl :::: llglloo ae. on X.
Then for f E LP(X, Ql,p,) and g E L 00 (X, Ql,p,), we have
L lfgiP dp, = L IJIPigiP dp,:::: LIJIPIIgll~dp, = llgll~ L

lfiP dp, < oo.
This shows that fg E LP(X, Ql,p,). Moreover we have


Theorem. (Bounded Convergence Theorem for Norms) Let (X, 2!, /L) be afinite measure
space and let 1 ~ p < PO· Let f E LPo(X, 2l, /L) and Un : n E W) C LPo(X, 2l, /L) be
such that
1o lim fn = f, IL-a.e. on X,
n-+oo
2° 11/IJIIPo ~ Cforalln e Wforsome C > 0.
lim 11/n- /lip = 0.
Then we have n-+oo
Proof. 1. Since /L(X) < oo and 1 ~ p < PO. we have LPo(X, 2l, /L) c LP(X, 2!, /L) by
Theorem 17.4. Thus we have
f E LP(X, 2l, /L) and Un : n E W) C LP(X, 2(, /L)·
Since f E LP(X, 2!, /L), lfiP is IL-integrable on X. Then according to Theorem 9.26
(Uniform Absolute Continuity of Integral with Respect to Measure), for every e > 0 there
exists o > 0 such that JElfiP d/L < e whenever E e 2t and /L(E) < o. In this connection
o
let us agree to select <e. (This convention is applied in proving (5) below.)
o
Let us select E e 2( with /L(E) < so that we have
(1)
Since /L(X) < oo and condition 1° holds, Theorem 6.12 (Egoroff) implies that for any
o> 0 we can selectEe 2( with /L(E) < osuch that
(2) lim fn = f uniformly on Ec.
n-+oo
o
Our selection E e 2t with /L(E) < then satisfies both (1) and (2).
=
Now (2) implies lim I fiJ- f IP 0 uniformly on Ec . Then for every 17 > 0 there exists
IJ-+00
N E W such that 1/n - fiP < '7 on Ec for n ~ Nand then fE• lin - fiP diL ~ '1/L(Ec)
for n ~ N. Since this holds for every 17 > 0 we have
(3) lim { fiP d/L = 0.

n-+oo }y lfn -
Then we have
(4) r lfn -
k
fiP d/L =
~
r lfn - fiP d/L + rlfiJ -
h
fiP d/L
~ JE< 1/IJ- fiP diL+ l2P{Ifnlp + lfiP}diL by Lemma 16.7
= { lfn - fiP diL + 2P { lfnlp diL + 2P { lfiP diL

~ h h
~ { lfll- fiP diL+ 2P { lf,.IP d/L + 2Pe by (1).
}E< jE
Next let us estimate JElfnlp dp,. Now we have 1 c:; p < Po and thus r := Po!P > 1.
Let q e (1, oo) be the conjugate of our r e (1, oo). Then by Theorem 16.14 (H{jlder's
Inequality), we have
(5) LIJ,.IP dp, = fx IJ.. IP.hdp, c:; { fx IJ.. IP' d~-tV ' fx t1d~-tV q
1
{
1
= { fx IJ.. IPO d!L V'PO {!L(E)} ljq

= llf,.ll~e 1 /q since /L(E) < ~ < s
c:; CP El/q by 2°.
(6)
1X
1fn- fiPdp, c:; { lfn- fiPdp,+2PCPslfq +2Ps.
}Ec
Then we have
= 2P {CPelfq + e} by (3).
Since this holds for every s > 0, we have lim sup fx lfn - fiP dp, = 0. This then implies
""""*00
liminf fx If,.- fiP d!L = 0 and consequently 11-+00
PI-..C)O
lim fx If,.- fiP d!L = 0. Thus we have
lim 11/n- fiiPp = 0 and then lim 11/n- flip = 0. This completes the proof. I
11-+00 lt-+00
Prob. 17.4. Definition. Let (X, Ql, JL) be a measure space and let P1, P2 E (0, oo]. We
define LP 1 (X, 21, JL) + LP2(X, 21, JL) to be a linear space consisting of all !1 + h where
f1 E LP1 (X, 2l, JL) and h E LP2(X, 2(, JL).
Theorem. Let (X, 2l, JL) be a measure space and let 0 < Pl < p < P2 :::: oo. Then
LP(X, 2l,JL) C (LP1 (X, 2l,JL) + LP2(X, 2l, JL)],

that is, every f E LP(X, 2(, JL)canberepresentedas f = ft+ hwhere ft E LP1 (X, 2l,JL)
and /2 E LP2(X, Ql, JL).
Proof. 1. Let f E LP(X, Ql, JL). Let us define
D1 = {x E X : lf(x)l > 1} E 21
(1)
{ Jh = {x E X : lf(x)l :::: 1} E 2l
and
ft = f ·1vt
(2)
{ h=/·1~.
ThenD1 n 1h = 0and D1 U D2 =X and thus f = h + h on X.

2. Let us show that ft E LP 1 (X, 21,JL). Now we have
since 1!1 > 1on D1 and Pl < p. Then we have
L lftiP1 dJL:::: L
IJIP ·1v1 dJL:::: L IJIP dJL < oo.
This shows that f1 E LPt (X, 2l, JL).

3. Let us show that h E LP2 (X, 2l, JL). We consider first the case P2 < oo. Now we
have
lf21P2 = If ·1~1P2 = IJIP2 ·1~ :::: IJIP ·1~.
since If I ::=: 1 on D,. and p < P2· Then we have
L lf2IP2 dJL :::: L

IJIP . 1~ dJL :::: L IJIP dJL < 00 .
This shows that h E LP1 (X, 2l, JL) for the case P2 < oo.
For the case P2 = 00, we have 1/21 = 1/ ·1~1 ::=: 1and thus llhlloo = 1 < oo and then
hE L 00 (X, 2!, JL). This completes the proof. 1
Prob. 17.5. Given a measure space (X, Ql, ~-t) with ~-t(X) E (0, oo). Let f be an arbi-
trary extended complex-valued Ql-measurable function on X. By Definition 17.1, we have
Mp(f) = ll/llp/~-t(X) 1 1P for p E (0, oo) and M00 ( / ) = 11/lloo· Prove the following
statements:
(a) For p E (0, oo), we have lim Mp(f) = M00 (f).
p-+00
(b) For p E [1, oo), we have Mp(f) t Moo(/) asp t oo.
(c) For p E (0, oo), we have lim 11/llp = II /lloo-
p-+oo
(d) For p e [1, oo), we have 11/llp t 11/lloo asp too, provided that ~-t(X) E (0, 1].
Proof. 1. Let us prove (a) and (b). Observe that (b) implies (a). Therefore it suffices to
prove (b).
Let us prove (b). According to Theorem 17.4, for p E [1, oo) we have Mp(f) t as
p too. It remains to show that Mp(f) t M00 ( / ) asp too.
Consider first the case Moo (f) = oo, that is, II f II 00 = oo. In this case f is not essentially
bounded on X so that for every B ~ 0 we have ~-t{x EX : lf(x)l > B} > 0. Let B > 1 be
arbitrarily fixed and let
C = ~-t{x EX: lf(x)l > B} > 0.
Now we have
and then
MP(J) = -1-
P ~-t(X)
il
X
IJIP d~-t J> -1-
- 1
~-t(X) JL{xeX:If(x)I>B)
IJIP d~-t >
-
1
--BPC.
~-t(X)
Then we have
1
lim MP(J) > lim - -BPC = oo.
p~oo P - p~oo ~-t(X)
This shows that lim Mp(f) = oo
p-+00
= M00 (f).
Next consider first the case M 00 (f) < oo, that is, 11/lloo < oo. Now 11/lloo is the
infimum of all essential bounds off on X. Thus when 11/lloo < oo then for every e > 0,
11/lloo- e is not an essential bound off on X and thus we have
~-t{x EX: 1/(x)l > 11/lloo- e} > 0.
For brevity let us write
E = {x EX : lf(x)l > 11/lloo- e}.
Then we have
0 < ~-t(E) < 1
~J-(X) - .
Now we have
and then
M(f)= ll/llp >{11/11 00 -e}{~-t(E)}~ .
P JL(X)lfp - ~-t(X)
Since MP (f) t as p t oo by Theorem 17.4, p-+00
lim Mp (f) exists. Then we have
lim Mp(f) 2:: {11/lloo- e} lim { IL((XE))} ~ = { 11/lloo- e}.

p-+oo p-+oo IL
> 0, we have p-+00
Since this holds for every B lim Mp(f) 2:: 11/lloo.
On the other hand we have Mp(f) :::; Moo(/) = 11/lloo for p E [1, oo) according to
Theorem 17.4andthen lim Mp(f):::; 11/lloo· Therefore we have lim Mp(f) = 11/lloo·
p-+00 p-+00
This proves (b).
2. Let us prove (c). We have
lim
P--"00
11/llp = lim
P--"00
{~-t(X)~ Mp(f)} = {P--"00
lim ~-t(X) ~} { lim Mp(f)}
P--"00
= 1 ·Moo(/) = 11/lloo by (a).
3. Let us prove (d). Let p E [1, oo). By (b), Mp(f) t Moo(/) asp too, that is,
1
(1) llfllp/~-t(X)P t 11/lloo asP t 00.
Now we have
I
(2) ~J,(X)P t 1 asp too when ~-t(X) E (0, 1],
I
(3) p.(X)P .J.. 1 asp too when p.(X) E [1, oo).
Assume that p.(X) E (0, 1]. Then we have
This proves (d). 1

Prob.17.6. Given a measure space (X, Ql, ~-t) with ~-t(X) E (0, oo). Let f E L 00 (X, Ql, ~-t)
be such that II/ lloo E (0, oo) and let a, = fx 1/1" d~-t = 11111: for n E N. Show that we
. an+1
have lim - = 11/lloo·
n~oo a,
Proof. Porn E N, we haven E [1, oo). Thus by(b)ofProb.17.5 we have
(1) M, (f) t Moo (f) as n -+ oo.
Now If I ~ II f II ex, a.e. on X and this implies
an+1 = L 1
1/1"+ d/L = L 1/11/1" d/L ~ II/ lloo L
1/1" d/L = II fllooan
and then
a,+l ~ 11/lloo
a,
and thus
. an+1
(2) limsup- ~ 11/lloo.
n~oo a,
By Definition 17.1, we have M,(f) = ll/lln//L(X) 11" and M 00 ( / ) = llflloo· Then we
have
a,= 11/11~ = /L(X)M,(f)"
and thus
(3) an+l = Mn+l (/)"+1 = { Mn+l (f)}" M (f).

a, M,(f)" M,(f) n+l
According to (1) we have M,(f) t as n -+ oo. Thus we have
Mn+1(/) > 1 dth {Mn+l(/)}" > 1
M,(f) - an en M,(f) - ·
Then we have by ( 1)
1
(4) liminfa"+ > lim Mn+1(f) =Moo(/)= 11/lloo·
n~oo a, - n~oo
(5) lim sup an+l ~ 11/lloo ~ liminf a,+1 .

n~oo a, n~oo a,
This shows that lim inf an+l = lim sup an+ 1 = II f II 00 so that lim a,+1 exists and
n~oo a, n-+-oo a, n--..oo an
lim a,+l = 11/lloo· I
n-+-oo a,
Prob.17.7. Let (X, Ql, IL) be a measure space with IL(X) e (0, oo) and let 1 ~ Pt < P2 ~
oo. Then according to Theorem 17.4 we have LP2(X, 21, IL) c LP1 (X, 21, IL) and thus the
norm II· llp1 on LP1 (X, Q(, IL) serves as a norm on LP2(X, Q(, IL).
Show by constructing an example that LP2(X, 21, IL) need not be complete with respect to
to the norm II · llp1 and thus LP2(X, 2!, IL) need not be a Banach space with respect to the
norm II· llp1 •
(Hint for an example: L 2((0, 1], 9J1LI(O,ll· ILJ c L 1 { (0, 1], 2nL I(O,tJ. ILL). )
Proof. Consider the measure space {CO, 1], SJ.nLI(O,tJ, ILL). Then we have ILL (CO, ll) = 1E
(0, oo). Thus by Theorem 17.4 we have
(1) L 2((0, 1], 2nLI(O,l], ILL) c L 1 ((0, 11, ~JlLI(O,l], ILL).

For brevity in notations let us write L 1{(0,1l) and L 2{ (0, 1]) for L 1 ( (0, 1]), SJ.nLI(O,l], ILL)
and L 2 ( (0, 11, 2nL i(o,l], ILL) respectively. Then by (1) the norm II· lit on L 1 ( (0, ll) is also
a norm on L 2 ( (0, 1]).
By definition we say that L 2 ( (0, 11) is complete with respect to the norm II · lit if for
every Cauchy sequence (f,. : n E N) C L 2((0,11) with respect to the norm II · Ill there
exists g E L 2 ( (0, 1]) such that lim II fn - g lit = 0. Thus to show that L 2 ( (0, 1]) is not
n-+oo
complete with respect to the norm II · ll1, we show that there exists a Cauchy sequence
(f,. : n E N) C L 2( (0, 1l) with respect to the norm II · Ill such that lim II f,. - g ll1 = 0 for
n->oo
some g e L 1 ((0, 1]) \ L 2 ((0, 11). We construct such a Cauchy sequence (f,. : n e N) c
L 2 ((0, 11) below.
Let us define
1
(2) g(x) = ../i for x E (0, 11.
Then we have
IIKIIt = 1 Jot ~dx [2.Ji]~

lg(x)IILL(dx) = = = 2< oo,
(0,11
11}-dx}~ -vx
1
1 I
llgll2 = { lg(x)I 1LL(dx)}~ 2
= { = oo.
(0,1] 0 X
This shows that we have g e L 1{(0, 11) and g fj L 2 ((0, 11) and thus
1 2
(3) g E L {(0, 1]) \L ((0, 11).
Next let us define a sequence (f,. : n e N) of functions on (0, 1] by setting
1
(4) f,.(x) = 1<~. 11 (x)f(x) = 1<~. 11 (x) ../i for x e (0, 1].
Then we have
llfnll2 = { 1 lf,.(x)I2 1LL(dx)}~ 1 11<!

(0, 1]
= {
(0,1] n'
~~ ILL(dx)}~
11 (x) 'V X
2
{l 1 I I
= {]! ~dx}~ = {[togxJl}~ < oo.
n
(5)
Now we have
11/,- Kilt= { If,- gldiLL = { ltc! 11 (x) ~- ~~ILL(dx)

J(O,l] J(O,l] n• -vX -vX
~-
=
1 co.~]
1r-ILL(dx) =
-vx
[2-v'i]ci! =
n
and then
(6) lim 11/n- Kill= lim 2

n-+oo n-+oo Vf!~ = 0.
Now (6) implies that Un : n E N) is a Cauchy sequence with respect to the norm II · lit-
This shows that our (f., : n E N) c L 2 ( (0, 1l) is a Cauchy sequence with respect to the
norm II· Ill such that lim 11/n- gill= 0 where g E L 1 ((0, ll) \ L2 ((0, 1]). 1
n~oo
Prob. 17.8. Let (X, '1(, p,) be an arbitrary measure space. Let f be an extended real-
valued 21-measurable function on X such that f e L 1(X, 21, p,) n L 00 (X, 21, JL). Show
that f e LP(X, Q(, f-L) for every p e [1, oo].
Proof. The identically vanishing function on X is contained in both L 1 (X, 2!, p,) and
L 00 (X, 21, p,). Thus L 1(X, 2!, p,) n L 00 (X, 2!, p,) of:~.
Let f e L 1 (X, 2!, p,) n L 00 (X, 2!, p,). Then since f e L 1 (X, 2!, p,), we have
(1) fx 1/1 dp, < 00.
Since f e L 00 (X, Q(, f-L), we have
(2) 11/lloo < oo and 1/1 c:; 11/lloo, a.e. on X.
Let
E = {x EX: 1/(x)l 2=:: 1}.
Then we have
00 > fx Ill dp, ::=:: L 1/1 dp, ::=:: 1. JL(E).
Thus we have f-L(E) < oo. On Ec we have 1/1 < 1. Then for any p E [1, oo) we have
lfiP c:; 1/1 onEc. Then we have
fx IJIP df-L = L IJIP djL +IE< IJIP djL

c:; 11/II~JL(E) +IE< Ill djL
c:; 11/II~JL(E) + fx 1/1 dJL
< 00.
This shows that f e LP(X, 21, JL) for every p e [1, oo). 1
Prob. 17.9. Let (X, '1(, p,) be a measure space and let 0 < P1 < P2 ~ oo. Then
whereas LP1 (X, '1£, p,) n LP2(X, 21, /1-) =f:. 1!1, neither LP1 (X, '1£, ~J.) ~ LP2(X, '1£, /1-) nor
LP1 (X, Ql, /1-) c LP 2 (X, Q(, /1-) holds in general. (See Prob. 17.11.) Prove the following
theorem on LP•(X, '1!, /1-) n £P2(X, 21, p,):
Theorem. Let (X, '1£, /1-) be a measure space and let 0 < P1 < p < P2 ~ oo. Then we
have
[LP•(x, Ql,p,) n LP2(X, '1l,~J.)] c LP(X, Ql,p,).
Indeed for every f E LP1 (X, Ql, /1-) n LP2 (X, Ql, /1-) there exists A. E (0, 1) such that
11/llp ~ 11!11;.11/11~'" < 00.
Proof. 1. To show that LP1 (X, Ql, /1-) n LP2 (X, Ql, /1-) c LP(X, Q(, ~J.), we show that
iff E LP1 (X, '1!, /1-) n LP2(X, Ql, /1-) then f E LP(X, Ql, ~J.), that is, we show that if
llfllp1 < oo and llfllp2 < oo then II flip < oo. We show this by showing that there exist
a, {J E IF. such that
llfllp ~ 11!11~.11!11~ < 00.
Specifically we show that there exists A. E (0, 1) such that
(1)
2. Let A. E IF. be defined by

1 1 . A. p (1 - A.) p
(2) P1 (A.p)-1 + P2[(1 - A.)p]-1 = 1, that lS, Pt + P2 = 1.
Let us verify that A. E (0, 1).

For the case P2 = oo, (2) implies ~~
= 1 and then we have A. = E1 E (0, 1).
p
For the case P2 < oo, the alternate expression in (2) implies
P2A + P1(1- A.)= PlP2,

p
(p _ Pt)A. = P1P2 _ Pl = P1P2- PlP = Pt(P2- p),
2
p p p
(3) A. = Pl P2 - p E (0, 1).
P P2- Pl
This verifies thatA E (0, 1).
3. Let us prove (1) for the case P2 = oo. Now we have f E LP1 (X, '1£, /1-) and
f E V'0 (X, m, /1-) so that we have II flip. < 00 and llflloo < 00. Now
IJIP = IJIP1 IJIP-Pt ~ IJIP1 11 f 11~7 1 since I!I ~ II flloo. a.e. on X.
Then we have
and then
This proves (1) for the case pz = oo.

4. Let us prove (1) for the case P2 < oo. Let us observe that if a, b E IR are conjugates,
that is, if a and b satisfy the condition~+~ = 1, then b = 0 ~ 1 • Thus if a E (1, oo) then
we have b E (1, oo) also. Now by (2), f~ and u~~lp are conjugates. We showed above
that for the case P2 < oo the equality (3) holds. Now (3) implies
(4) ]!J_ -_ P2 - Pl E
(1,00.
)
).p [J2-p
By our observation above, (4) implies
(5) ( 1 _P2J..)p E
(l )
, 00 •
Now that the conjugates fi, and~ are in (1, oo) Theorem 16.14 (Hl51der's Inequality)
is applicable. Thus we have
L lfiP d/.L = L 1/l.!.pl/1(1-.!.)p dJL
: :{ L Iii.!. pi'}; diLl* iL1/l(l-l.)p~ dJLl (l;~)p

={ L lfiP1 dtL}* { LIJIP2d/.L}~
=11/ll;fllfll~-.!.)p,
and then
11/llp = { L lfiP dtL}!::: 11/11~111/lli.;.!. < 00.
This proves (1) for the case pz < oo. This completes the proof. 1
Prob. 17.10. Consider LP(X, Q(, p,) for p E (0, oo]. By Remark 16.21, Theorem 16.23
and Theorem 16.43, II ·lip is a norm on LP(X, 2t, p,) if and only if p E [1, oo]. Prove the
following theorem:
Theorem. Let (X, 2t, p,) be an arbitrary measure space and let 1 ::::; p < q ::::; oo. For
brevity, let us write LP(X)for LP(X,2t,p,) and Lq(X)for U(X, 2t, p,). Then LP(X) n
U(X) is a linear space. Let us define a function II· 11. on LP(X) n U(X) by setting
llfll• = 11/llp + 11/llq for f E LP(X) n Lq(X).

Then II · II• is a norm on LP (X) n U (X) and moreover LP (X) n L q (X) is a BaMch space
with respect to the norm II · 11 •.
Proof. 1. Let us show that LP(X) n U(X) is alinear space. Let ft, /2 E LP(X) n U(X)
and C1,C2 E C. Then /1,/2 E LP(X) and ft, /2 E U(X). Since /1,/2 E LP(X)
and LP(X) is a linear space, we have cl/1 + C2/2 E LP(X). Similarly /1, /2 E U(X)
implies that cl/1 + c2/2 E LP (X). Thus cl/1 + C2/2 E LP (X) n U (X). This shows that
LP (X) n U (X) is a linear space.
2. To show that II · 11. is a norm on LP(X) n Lq(X), we are to verify the following:
1o 11/11 .. E [0, oo) for every f E LP(X) n U (X).
2° 11/11. = 0 if and only iff= 0.
3o llcfll., = lclll/11. for every f E LP(X) n Lq(X) andc E C.
4° ll/1 + /211 .. :S 11/111• + 11/211 .. for ft, /2 E LP(X) n Lq(X).
2.1. We have 11/llp E [0, oo) and 11/llq E [0, oo). Then 11/11.. = 11/llp + 11/llq E [0, oo).
2.2. Toverify2°, observe that 11011., = IIOIIp + IIOIIq = 0 +0 = 0 and conversely
2.3. To verify 3°, observe that we have
llcfll., = llcfllp + llcfllq = lclll/llp + lclllfllq

= lei{ II /lip+ II /llq} = lei II /II.-
2.4. Let us verify 4°. We have
11/1 + hll. = 11/1 + hllp +lift+ hllq

:S {11/lllp + llhllp} + {ll/1llq + ll/2llq}
= {11/lllp + 11/lllq} + {ll/2llp + llhllq}
= 11/dl. + 11/211 ...
This completes the proof that 11·11· is a norm on LP(X) n Lq(X).
3. To show that the linear space LP (X) n U (X) is a Banach space with respect to the
norm II · 11. we show that LP(X) n U(X) is complete with respect to the norm II· 11 •• that
is, for every Cauchy sequence Un : n E N) c LP (X) n U (X) with respect to the norm
II· II• there exists f E LP(X) n Lq(X) such that lim 11/11 - fll., = 0.
n-.oo
Un : n E N) c LP(X) n U(X) be a Cauchy sequence with respect to the norm

Let
Now II · lip :::;: II · 11. implies that our Un : n E N) C LP(X) is a Cauchy sequence
II · 11 •.
with respect to the norm II · lip on LP(X). Similarly II · llq :::;: II · II• implies that our
(fn : n E N) C U(X) is a Cauchy sequence with respect to the norm II · llq on U(X).
Then since LP (X) and U (X) are Banach spaces according to Theorem 16.23 and Theorem
16.43, there exists f E LP(X) such that lim llf,.- flip = 0 and similarly there exists
n-+oo
g E U(X) such that lim llf,.- gllq = 0. By Proposition 16.25, lim llf,.- fliP = 0
n....,.oo n~oo
implies that there exists a subsequence (f,.k : k E N) such that lim f,.k = f a.e. on X.
k-+oo
Then since lim
,...... 00
11/n- gllq = 0 and (/Ilk : k E N) is a subsequence of (f,. : n E J'\1),
we have lim 11/,.1 - gllq = 0. Then by Proposition 16.25, there exists a subsequence
k-+-oo
(fllk : l E N) of (/111 : k E N) such that lim f,.k = g a.e. on X. But lim / 111 = f
l t .....oo l k .....oo
a.e. on X implies lim /Ilk = f a.e. on X. 1hls shows that f = g a.e. on X. Thus f
t .....oo l
and g are the same element in LP(X) n Lq(X). Thus we have lim 11/n- flip= 0 and
n-+-oo
lim llfn - fllq = 0. Then we have
n-+-oo
lim llfn-
n.....,.oo
/11. = lim { 11/n
n...,.oo
- flip+ llfn- /llq}
lim 11/n- /liP+ n-+oo

= n....,.oo lim 11/n- /llq = 0.

Prob. 17.11. Given a measure space (IR, mL, ILL). Let 0 < p < q ~ oo. Prove the
following statements by constructing counterexamples:
(a) LP(IR, mL, ILL) 1J U (IR, VRL, ILL).
(b) LP(JE., vn-L, ILL) t Lq(JE., mL, ILL).
Proof. (Our construction is based on the well-known result in Calculus that for r e IE. we
have Lnefl 1/n' < oo if and only if r > 1. The construction is different for the case q < oo
and the case q = oo.)
1. Let us prove (a) for the case q < oo.
To show LP(IE., mL, ILL) 1J Lq(IE., 9JlL, ILL), let us construct f E O(IE., mL, ILL)
such that f ; LP(JE., 9JlL, ILL). Let us define a real-valued function f on IE. by setting
1
f = L nl/p
neH
1(n-l,nl·
Then we have f'ilr- lfiP diLL = Lnelr ~ = oo so that f ¢ LP(IE., 9JlL, ILL). On the other
hand we have
r lflq diLL= L
}J;
+ L+
nel'l nq P
=
nel'l nq P
< oo, sinceq/p > 1.
This shows that f e O(IE., 9JlL, ILL).

l. Let us prove (a) for the case q = oo.
To show LP(IE., !)Jll., ILL) 1J L 00 (1R, m~.. IL~.). let us construct f E L 00 (1R, m~.. ILL)
such that f ¢ LP(IR, 9JlL, ILL).
Let f = 1 on IE.. Then f is bounded on IE. and II f II oo = 1 < oo. This implies that
f,
f e L 00 (1R, mL, ILL). On the other hand we have fy- lfiP diLL = 1 diLL = oo. This
implies that f ¢ LP(IE., m~.. ILL). -- --
3. Let us prove (b) for the case q < oo.
To show LP(JR, 9JlL, ILL) It Lq(IE., mL, ILL), let us construct f E LP(JE., mL, ILL)
such that f ; U(IE., mL, ILL).
Since q > p we have q I p = 1 + owhere o > 0. Let (/11 : n e N) be a disjoint sequence
of intervals with ILL(/,.)= l/n2 ~ forn eN. Let f be areal-valued function on R defined
by setting
f = Lnl/p11n·
neH
Then we have
This shows that f E LP(JR, mL, ILL). On the other hand we have
1his shows that f ¢ U(IR, mL, ILL).

4. Let us prove (b) for the case q = oo.
To show LP(JR , mL, ILL) rtL 00 (R , mL, ILL), let us construct f E LP(R , VJIL, ILL)
such that f ¢ V' (R , 9J1L, ILL).
0
Let (/n : n E N) be a disjoint sequence of intervals with ILL (In) = 1/2nnp for n E N.
Let f be a real-valued function on R defined by setting
f= Lnlln·
neri
Then for every n E N, we have {x E IR : lf(x) I > n- 1} ~ In} and thus we have
1
ILL{x E R : 1/(x)l > n -1} ~ILL (In)= nnp > 0.
2
1his shows that f is not essentially bounded on R and thus 11/11 00 = oo and f ¢
L 00 (R , mL, ILL). On the other hand we have
1 1
f '
,
IJIP diLL = "
L nP
neH
-= "
2nnp - = 2 < oo.
L2"
neH
Prob. 17.12. Given a measure space (X,!}(, JL) .

(a) Suppose (X, 21, JL) has a 21-measurable set of arbitrarily small positive measure, that is,
for every 8 > Othereexists E E ~(such thatJL(E) E (0, 8]. Showthatthereexists a disjoint
sequence (En : n E N) in 21 with JL(En) > 0 for every n E N such that lim JL(En) = 0.
n-7oo
(b) Suppose (X, 21, JL) has a 2(-measurable set of arbitrarily large finite measure, that is,
for every M > 0 there exists E e Q( such that tt(E) e [M, oo). Show that for every y > 0
there exists a disjoint sequence (E,.: n E N) in 21 with tt(E,.) e [y, oo) for every n e N.
(This problem is a preparation for the next.)
Proof. 1. Let us prove (a). Given a measure space (X, Q(, t£). Assume that for every 8 > 0
there exists E E 2( such that tt(E) E (0, 8]. Then for every n E N there exists An E Ql
with
(1)
Consider the sequence (An : n EN). We have
1 1 1
tt(Al) E (0,
2). tt(A2) E (0,
23
], tt(A3) E (0,
25
], · · · ·
Let us define a sequence (E,. : n e N) c 2( by setting
(2) En =A,.\ U ~ for n E N,

k:::n+l
that is,
E1 = A1 \ (A2 U A3 U ~ U · · · ),
E2 = A2 \ ( A3 U ~ U As U · · ·),
E3 = A3 \ (~ U As U ~ U · · · ),
Let us show that the sequence (E,. : n e N) is a disjoint sequence. Let m , n e N and
n < m. Then by (2) we have
Em = Am\ U~ C Am C U ~-
This implies that En n Em = 0. This shows that (En : n E N) is a disjoint sequence.
Let us show that tt(En) > 0 for every n E N and lim tt(En) = 0. We have
n-7oo
1
(3) tt(En) ::S tt(A,.) ::S _ by (2) and (1).
2211 1
This implies that lim JL(En)

11-+00
= 0. It remains to show that JL(En) > 0 for every n e N.
Nowwebave
(4) JL(E11 ) ~ JL(A11 ) -JL( U At) ~ JL(A11 ) - L JL(At).

t~n+t t~n+t
Observe that
1 1 1
L JL(A.t) ~ 2211+t + 2211+3 + 2211+5 + . . . by <1>
t~n+t
1 { 1
= 2211+1 1 + 22 + 241 + ... }
1 1 4 1
= 2211+1 1-! = 3 2211+t
1 1 1
= 3 2211-t ~ 3 JL(An).
Substituting this into (4), we have

1 2
(5) p.(En) ~ p.(An)- 3p.(An) = 3p.(A11 ) > 0.
This shows that p.(En) > 0 for every n EN.

2. Let us prove (b). Given a measure space (X,~. JL). Assume that for every M > 0
there exists E e ~such that p.(E) e [M, oo). Then for every y > 0 we can select a
sequence (An : n E N) c ~ such that
JL(At) E [y, oo),
JL(A2) E [JL(At) + y, oo),

JL(A3) E [p.(At) + p.(A2)y, oo),
n-t
(6) p.(An) E[L p.(At) + y, 00)
t=t
Then let us define a sequence (En : n EN) C 2l by setting

n-1
(7) E1 = At and En = An \ U A.t for n ~ 2.
t=l
Let us show that (En : n E N) is a disjoint sequence, that is, En n Em = Ill when n < m.
For the case that n = 1 and m ~ 2 we have Et =At and Em =Am\ At. Now Uk',:l
Uk'~l A.t:::) At= Et. Thus Et n Em= 0whenm ~ 2.
Consider the case that 2 ~ n < m. According to (6), we have E,. = A,. \ U~} A.t and
E,. = A,. \ U~:l A.\:. Since m > n we have m - 1 ;::: n and then U~:l A.t :J An. Thus
Em= A,.\ U~:/ A.t c A,.\ A,.. But E,. c A,.. Thus E,. c A,.\ An c A,.\ E,.. Then
we have E,. n E,. = 0. This completes the proof that (E11 : n EN) is a disjoint sequence.
It remains to show that p.(E11 ) E [y, oo) for every n e N. Observe first that by (7) we
have p.(E1) = p.(A1) E [y, oo). For n;::: 2 we have
n-1
p.(En) = p.( A,. \ U A.t) by (7)
k=1
~ JL(An)- JL( uAk)

n-1
k=1
n-1
~ p.(An)- LJL<A.t)
k=1
n-1 n-1
~ I: p.(A.t) + r - I: JL<A.t> by (6)
k=1 k=1
=y.
This shows that p.(E,.) E [y, oo) for n ~ 2. 1

Prob.17.13. Prove the following theorem:

Theorem. Let (X, 21, IL) be an arbitrary measure space and let 0 < p < q ::: oo. Then
we have LP(X, Ql, /-t) rt Lq(X, Ql, /-t) if and only if (X, Ql, /-t) has a Ql-measurable set of
arbitrarily small positive measure.
Proof. 1. Suppose (X, 2{, ~-t) has a 2{-m.easurable set of arbitrarily small positive measure.
To show that £P(X,21,~-t) rt U(X,21,~-t) we construct a function f on X such that
f E LP(X, 21, ~-t) and f ¢ U(X, 21, ~-t). Our construction is done separately for the case
that q < oo and the case that q = oo.
Consider the case that q < oo. According to Prob. 17.12 there exists a disjoint sequence
(E,. : n E N) in 21 with ~-t(E,.) > 0 for every n E N such that lim ~-t(E,.) = 0. By taking
n-+oo
a subsequence of (E,. : n e N) if necessary we have a disjoint sequence (E,. : n e N) in 21
such that
1
(1) 0< ~-t(E,.) ::: , for every n EN.
2
Then let
1 1
(2) J.. - - - - for every n e N.
" - 2" ~-t(E,.)
Let y > 0 be such that yq = 2. Define areal-valued function f on X by setting
1
(3) f = L:r"J.Ch;,.
nEH
Then we have
Since yq = 2 and p < q, we have yP < 2 and then 1'f

< 1. Thus the last member
of (4) is a convergent geometric series and this shows that fx lfiPd~-t < oo and then
f e LP(X, 2(, /-t). On the other hand we have
fx 1/lq d~-t =?; ynqJ..:~-t(E,).

f_
Since J.,. ~ 1 by (2) and (1) and since ; > 1, we have J.f: ~ J..,.. Substituting this in the last
equality, we have
This shows that fx 1/lq d~-t = oo and then f ¢ Lq (X, 21, ~-t). Thus our function f is in
LP(X, 2{, ~-t) but not in Lq(X, 2l, ~-t).
Consider the case that q = oo. According to Prob. 17.12 there exists a disjoint sequence
(En : n e N) in 2t with IL(En) > 0 for every n e N such that lim IL(En) = 0. By taking
n-+oo
a subsequence of (En : n e N) if necessary we have a disjoint sequence (E, : n eN) in 2t
such that
1 1
(6) 0 < ~J-(En) :::; ; ,. for every n e N.
2
Let us define a function f on X by setting
(7) f =~::>~IE
nEI'ol
..
Then we have
(8)
1 X
lfiP dJ.L- ="n~J-(E,.) ="n-- =". - =
L
nEf.l
L
nEF.1
1 1
n2" L2n
nEf-1
1
2 < oo.
This shows that f e LP(X, 21, ~J-). On the other hand, the infimum of the essential bounds
off on X, 11/lloo = oo. Thus f ¢ L 00 (X, 2t, ~J-). Thus our function f is in LP(X, 21, J.L-)
but not in L 00 (X, Ql, J.L-).
2. Conversely suppose LP(X, 2t, J.L-) ¢. Lq(X, Ql,~J-). We are to show that (X, Ql, J.L-)
has a 2t-measurable set of arbitrarily small positive measure. Thus we are to prove the
following statement:
(9) [LP(X, Ql, #L) ¢. Lq(X, Ql, J.L-)]
=}[for every e > 0, 3E E Ql such that ~J-(E) E (0, e] ].
We prove this statement by proving its contra-positive, that is,
(10) [3c > 0 such that if E e 21 and J.L-(E) ::f. 0 then 11-(E) ~ c]
::::}[LP(X, 2t, J.L) c U(X, 2t, J.L)].
Let us assume that there exists c > 0 such that if E e 2t and J.L(E) ::f. 0 then 11-(E) ~c.
We proceed to show that LP(X, 2t, J.L-) C U(X, 2t, ~J-).
Letf E LP(X,2t,~J-). ThenwehavefxlfiPdJ.L < oo. LetusdecomposeXintothe
following Q(-measurable subsets:
Eo= {x EX: lf(x)IP = 0} = {x EX: f(x) = 0},

Et = {x EX: lf(x)IP E (k -l,kl} fork EN,
Eoo = {x EX: lf(x)IP = oo} = {x EX: lf(x)l = oo}.
Now fx lfiP dJ,L < oo implies J.L-(E00 ) = 0 . This in turn implies JE"" lfiP dJ.L- = 0. We
have JEo lfiP dJ.L = 0. Next observe that JE1lfiP dJ.L- :::; fx lfiP dJ.L < oo. Regarding Ek
fork ~ 2, we have
(11) oo > L lfiP d~-t = Iuker• Ek lfiP d~-t = ~ Lk lfiP d~-t

~ ~)k- 1)~-t(E.t) = E<k- 1)~-t(E,t).
keF k~2
The convergence of the last series Lk>2 (k -1)~-t(Et) implies that JL(Et) < oo fork ~ 2. It
k-+00 k-+00
=
also implies that lim (k- 1)~-t(E.t);; 0 and then lim JL(E.t) 0. Then for our constant
c > 0 in (10) there exists N E W such that JL(E.t) < c fork ~ N. According to our
assumption, if ~-t(En) =f. 0 then ~-t(Et) ~ c. Thus JL(Et) = 0 fork ~ N. Thus we have
shown that we have
1° JL(E00 ) = 0.
2° jE1 lfiP d~-t < 00.
3° JL(Et) < oo fork~ 2.
4° JL(E1) = 0 for all but finitely many k E W.
2.1. Consider the case p < q < oo. Let us show that fx lflq d~-t < oo so that
f E U(X, 21, JL). Let us decompose X into the following 21-measurable subsets:
Fo = {x EX: lf(x)lq = 0} = {x EX: f(x) = 0},
F.t ={x EX : lf(x)lq E (k- 1, k1} fork E W,
Foo = {x EX: lf(x)lq = oo} = {x EX: lf(x)l = oo}.
It is obvious from the definitions that we have
5° F 00 = E 00 •
6° Fo =Eo.
Observe further that
Et = {x EX: lf(x)IP E (0, 11} = {x EX: lf(x)l E (0, 1]}

= {x EX: lf(x)lq E (0, 1]} =Ft .
Thus we have
7o Ft = Et.
Now we have
(12)
Now Ft = Et. On Ft we have Ill E (0, 1]. Then p < q implies that 1/lq ~ lfiP on Ft.
Then we have by 2°
(13)
It remains to show that
(14) E j1t1q d11- < oo.

k~2 Ft.
According to (11), we have Lk>z(k -1)J.L(Ek) < oo. Fork ~ 2, we have k c:; 3(k- 1) as
can be verified immediately. Thus we have
(15) E k J.L(Ek) c:; E 3(k- l)J.L(Ek) = 3 E<k- 1)p,(Ek) < 00.
According to 3° and 4° we have 0 < J.L(Ek) < oo for only finitely many k ~ 2. Thus
we have 2 c:; k1 < kz < · · · < km such that p,(Ek1 ), J.L(Ek2 ), ••• , p,(Ek,.) E (0, oo) and
J.L(Ek) = 0 for any k =f. 1, k1, k2, ... , k,. Let
m
(16) B = Ep,(Ek1) E (0, oo),
i=l
(17) C =min{J.L(Ek1 ): j = 1, ... ,m} E (0, oo),
(18) r= cB E [1, oo).
(19) Eke c:; Ekp,(Ek) < oo.

k~2 k~2
Now Fo U { Ukefl Fk) U Foo = X =Eo U { Uter< Ek) U Eoo. lbis and 5°,6° and 7° imply
that uk~2 Fk = uk~2 Ek. Then fork ~ 2 we have Fk c Ut~2 Et and then
(20) J.L(Fk) c:; 11-( u

l~2
Et) c:; Ep,(Et) = Ep,(Ekj).
l~2
m
i=l
Then we have
E jltlq dJ.L c:; Ek p,(Fk) c:; Ek { tp,(Ek)} by (20)

k~2 Ft. k~2 k~2 j=l
= Ekr c = r Eke< oo by(18) and(19).

k~2 k~2
lbis proves (14). Then substituting (13) and (14) into (12), we have fx lflq dp, < oo. lbis
shows that f E U(X, Ql, p,) and therefore LP(X, Ql,J.L) c Lq(X, Ql,J.L).
2.2. Consider the case p < q = oo. Our function f E LP(X, Ql, J.L) defined by
(7) is essentially bounded on X since p,(Ek) = 0 for all but finitely many k E N. Thus
f E L 00 (X, Ql, J.L). lbis shows that we have LP(X, Ql,J.L) c L 00 (X, Ql,J.L). 1
Prob.l7.14. Prove the following theorem:

Theorem. Let (X,~. /L) be an arbitrary measure space and letO Osuch that every E E ~
with1J.(E) of. Ohas IJ.(E) ~c. Thus we have LP(X, ~. J.L) C U(X, ~. J.L) ifandonlyif
inf {IL(E) : E E ~and /L(E) #- 0} > 0.
Proof. By Prob. 17 .13, we have the following two valid statements:
(1) [LP(X.~,JL) ¢. Lq(X.~,J.L)]

;;;;;?[(X,~. /L) has a ~-measurable set of arbitrarily small positive measure]
and
(2) [(X,~. J.L) has a ~-measurable set of arbitrarily small positive measure]
;;;;;?[£P(X,~,IJ.) ¢. U(X,~,IJ.)].
Now the contra-positive statement of (1) is given by
(3) [LP(X, ~. /L) c Lq(X, ~. /L)]
;;;?[There exists c > 0 such that every E E ~with ~-t(E) #- 0 has ~-t(E) ~ c].
Similarly the contra-positive statement of (2) is given by
(4) [There exists c > 0 such that every E E ~with /L(E) #- 0 has /L(E) ~ c]
;;;;;?[LP(X, ~. ~-t) c U(X, m, ~-t)].

Then combining (3) and (4) we have
[ LP(X, ~. J.L) C Lq (X,~. JL)]
<=>[There exists c > 0 such that every E E ~with /L(E) #- 0 has /L(E) ~ c ].


Theorem. Let (X, 21, #L) be an arbitrary measure space and let 0 < p < q :::-: oo. Then
we have LP(X, Ql, IJ-) 1J U(X, Ql, IJ-) if and only if(X, 21, IJ-) has a 51(-measurable set of
arbitrarily large finite measure.
Proof. 1. Suppose (X, 52(, p,) has a Q(-measurable set of arbitrarily large finite measure.
Then by Prob. 17.12 there exists a disjoint sequence (En : n EN) in Q( such that IJ-(E,.) E
[1, oo) for every n E N. To show that LP(X, 21, IL) 1J Lq(X, 21, ~J-), we construct a function
f on X such that f E Lq (X, Ql, #L) and f rj. LP(X, Ill, ~J-). This is done differently for the
case q < oo and the case q = oo.
1.1. Consider the case q < oo. Let us define a real-valued 21-measurable function f
on X by setting
(1)
We have
(2)
Since IL(E,) ~ 1 and qfp > 1, we have IL(E,.)qfp ~ IL(E,.) and then J.£(E!)qfp IL(E,) :::-: 1.
Then we have
(3)
This shows that f E Lq(X, 21, IJ-). On the other hand we have
1 1 1
(4)
1 X
lfiP d/). = L n---~J.(E,.)
nELl/l-(E,.)
= L- =
n
nEl '
00.
This shows that f rj. LP(X, Ql, IJ.).

1.2. Consider the case q = oo. Let us define a function f on X by setting
(5) f=L:h~-
nel<-1
Then we have If I : :-: 1 on X and indeed the infimum of the essential bounds of f on X is
equal to 1. Thus we have llflloo = 1 < oo and therefore f E L 00 (X, Ql, ~J-). On the other
hand we have
This shows that f rj. LP(X, 21, IJ.).

2. Let us prove the converse. Thus we are to prove the following statement:
(7) [LP(X, 2l, JL) 1J U(X, 2l, JL)]

=?[(X, 2l, JL) has a 2l-measurable set of arbitrarily large finite measure].
We prove this statement by proving its contra-positive, that is
(8) [ 3B > 0 such that JL(E) ~ B for every E E 2l]
=?[LP(X, 2{, JL) :J Lq(X, ~. JL)].
Now if there exists B > 0 such that JL(E) ~ B for every E E 2( then in particular we
have JL(X) ~ Band thus JL(X) < oo. According to Theorem 17.4 and Theorem 17.13,
JL(X) < oo implies that LP(X, 2{, JL) :J U(X, 2{, JL). 1

Theorem. Let (X, 21, JL) be an arbitrary measure space and letO 0 such that JL(E) :::: B
for every E e 21. Thus we have LP(X, 2!, JL) ::J U(X, 21, JL) if and only if JL(X) < oo.
Proof. By Prob. 17.15, we have the following two valid statements:
(1) [LP(X, 2l, JL) 1J Lq(X, 2(, JL)]

::::} [(X, 2l, JL) has a 2l-measurable set of arbitrarily large finite measure J
and
(2) [(X, 21, JL) has a 21-measurable set of arbitrarily large finite measure]
::::}[LP(X,21,JL) 1J Lq(X,2l,JL)].
Now the contra-positive statement of (1) is given by
(3) [ LP(X, 2l, JL) ::J Lq (X, 2(, JL) J

:::}[There exists B > 0 such that JL(E) :::: B for every E e Ql].
Similarly the contra-positive statement of (2) is given by
(4) [There exists B > 0 such that JL(E) :::: B for every E e 2l]
=}[LP(X, 21, JL) ::J Lq(X, 21, JL)].
Then combining (3) and (4) we have
[ LP(X, 2l, JL) ::J Lq (X, 2(, JL) J

#[There exists B > 0 such that JL(E) :::: B for every E e Ql ].

Prob. 17.17. Let f E LP(IIt, 9RL, ILL) where p E [1, oo). With h E !It, let us define a
function fh on !It by setting fh(x) = f(x +h) forx E lit. Show that fh E LP(IR, 9J1L, ILL)
for every hEIR and lim II!- fhllp = 0.
h~O
Proot 1. Let us show that fh E LP(IR , 9J1L, ILL) and moreover 11/hllp = 11/llp· By
Theorem 9.31 (Translation Invariance of the Lebesgue Integral on IR), we have
L lfh(x)IP ILL(dx) = Llf(x +hW ILL(dx) = llf(x)IP ILL(dx) < oo.
This showsthatfh E LP(IR, mL.ILL) and moreover 11/hllp = 11/llp .

2. Let us show that lim II f - !h II p = 0.
h~O
According to Theorem 17.10, Cc(IR) is dense in LP(IR, 9J1L•ILL) for p E [1, oo). Thus
for every E > 0 there exists g E Cc(IR) such that II!- gllp < E. Let us write
II!- !hllp ~II!- gllp + llg- ghllp + llgh- !hllp·

By Theorem 9.31 (Translation Invariance), we have llgh - fhllp = llg - flip < E. Thus
we have
(1)
Let us estimate llg- Kh lip· Since g E Cc (IR), g is continuous on IR and vanishes outside of a
finite closed interval [-M, M]. Then for lhl < 1, Kh vanishes outside of [-M -1, M + 1].
Thus we have for lh I < 1
llg- gh II~ = [lg(x) - gh(x)IP ILL (dx) = { lg(x) - g(x + h)IP ILL (dx).
1? 1[-M-l,M+l]
Then continuity of g on the bounded closed interval J := [-M - 1, M + 1] implies that

maxxeJ lg (x) I exists and then we have
lg(x)- g(x +h)IP ~ {2maxlg(x)I}P forx E [-M -1,M + 1].

xeJ
Thus by Theorem 7 .16 (Bounded Convergence Theorem), we have
(2) lim llg - gh II~ = lim

h-+0
r
h-+0 1[-M-l,M+l]
lg(x) - g(x + h)IP ILL (dx)
= { lim lg(x) - g(x +h) IP ILL (dx)
1[-M-l,M+l] h-70
= { 0 ILL(dx) = 0 by the continuity of g.

1[-M-l,M+l]
This implies lim llg- ghllp = 0. Applying this to (1), we have

h-+0
lim sup II!- fhllp ~ 2e.

h-70
Since this holds for every e > 0, we have lim sup II!- fhllp = 0. This then implies
h~O
liminf II!- fhllp = 0 and then lim II!- fhllp = 0. I
h~O h-+0
Prob. 17.18. Let f E LP(~. mL, ILL) and g E Lq(~. !JRL, ILL) where p, q E (1, oo) and
are conjugates. Let us define a real-valued function F on JR by setting
F(h) = L f(x + h)g(x)ILL (dx) for h E JR.
Show that F is a bounded continuous function on ~-
Proof. 1. With f E LP (JR' mL' JLL) and h E ~.let us define a function !h on ~ by setting
(1) fh(x) = f(x +h) for x E ~-
Let us show that /h E LP(IR, mL, ILL) and moreover 11/hllp = II flip· By Theorem 9.31
(Translation Invariance of the Lebesgue Integral on JR), we have
£ lfh(x)IP ILL (dx) = !r-:.lf(x + h)IP ILL (dx) = h, lf(x)IP ILL (dx) < oo.
This shows that fh E LP(JR, IJJ1L, ILL) and moreover 11/hllp = 11/llp. Then we have
(2) IF(h)l :S Llf<x + h)g(x)IILL (dx) = L lfh(x)g(x)IILL (dx)
:S 11/hllpllgllq = 11/llpllgllq < oo by Theorem 16.14 (HOlder).

This shows that F is a bounded real-valued function on JR.
2. Let us prove the continuity ofF on JR. Observe that for h, Ah E IR we have
h + Ah E JR and thus by (1) we have
(3) fh+l!.h(X) = f(x + h + Ah) = (fh)l>h(x) for X E JR.
As we showed above for fh, we have fh+lih E LP (JR, !JJ1L, ILL) and moreover we have
llfh+lihllp = 11/llp = 11/hllp· Then we have
(4) IF(h + Ah)- F(h)l = IL f(x + h + Ah)g(x) diLL- i f(x + h)g(x) diLL I
= IL fh+l!.h(x)g(x) diLL- i fh(x)g(x) diLL I
=I i {fh+ah(x)- /h(x) }g(x) diLL I
:S L l!h+ah(x) - /h(x) lig(x) I diLL
:S IIUh+ah- !hllp llgllq by Theorem 16.14 (HOlder)

= ll(fh)bh- fhllp IIKIIq by (3).
According to Prob. 17.17, we have lim II (/h) M - II =

/h P 0. This implies that we have
lih-+0
lim IF(h
lih-+0
+ Ah)- F(h) I = 0. This proves the continuity ofF at every h E JR. 1
Prob.17.19. Consider (JR, ~RL, J.LL). Let E E WiL with J.LL (E)< oo. For hE JR,consider
the translated set E- h. Let us define a real-valued function F on JR by setting
F(h) = ILL((E -h) nE) forh e JR.
Show that F is a bounded continuous function on JR.
Proof. We have
Observe that
(2) l(E-h)nE = 1E-h · 1E
and
(3) lE-h(X) = lE(X +h) for X E R.
Now the function lE assumes only two values 0 and 1. This implies that 1~ = lE. Then
This shows that h E L 2 (R, WiL, ILL). Then we have h-h E L 2 (R, VRL, ILL) by the same
! !
argument. Observe that p = 2 and q = 2 are conjugates since + = 1. Then we have
F(h) = L
l<E-h)nE diLL = L lE-h · lE diLL by (1) and (2)
= L
1E(X +h) ·lE(X) diLL by (3).
Then by Prob. 17.18, F is a bounded continuous function on R. 1

Prob. 17.20. Let f E LP(R, 9JlL, p,J and g E Lq(R, VRL, p,L) where p, q E (1, oo) are
conjugates. Withh E R,let fh(x) = f(x +h) and 8h(x) = g(x +h) forx E R. Show that
(a) limll/h g- f glh = 0.
h-+0
(b) lim llfhKh- f Kill= 0.
h-..0
Proof. Let us prove (b). (The proof of (a) is simpler.)

1. Let us show first that fh E LP(R , v.nL, p,L) andgh E U(R , mL,p,L). By Theorem
9.31 (Translation lnvariance of the Lebesgue Integral on R ), we have
£!: lfh(x)IP p,L(dx) = fr< lf(x + h)IP p,L(dx) = fr,_ if(x)IP p,L(dx) < oo.
This shows that fh E LP(R, VRL, p,L) and moreover llfhllp = II fliP· Similarly by Theorem
9.31 we have
L
igh(x)lq p,L(dx) = L ig(x + h)lq p,L(dx) = L ig(xW p,L(dx) < oo.
This showsthatgh E U(R , mL,p,L) and moreover IIKhllq = IIKIIq·

2. Iff E LP(R, v.nL, p,L) andg E U(R, VJ1L, p,L) then fg E L 1 (R , VJlL, p,L) by The-
orem 16.14 (Holder's Inequality). Similarly we have fh g, f gh, fh 8h E Lt(R , mL, p,L).
Then since L 1(R , VJlL, p,L) is a linear space we have
llfh8h- f gilt= llfhKh- fhg + fhg- f gilt ::S llfhKh- fhgllt + llfhg- f Kilt
::S 11/hllp IIKh- gllq + llfh- flip llgllq by Theorem 16.14 (Holder).
By Prob. 17.17, we have lim IIKh- gllq = 0 and limllfh- fliP= 0. Thus we have
h-+0 h-+0
~ llfhKh- 1 Kilt ::s e{ llfhllp IIKh- Kllq} + a { llfh- 111P IIKIIq}
=II flip . 0 +0. llgllq = 0.
This shows that lim

h-+0
II !h Kh - f g lit = 0. I
Prob. 17.21. Let (an : n E N) and (bn : n E N) be two sequences of real numbers. Let
p, q E (1, oo) be such that 1/p + 1/q = 1. Show that
~)anbnl ~ {LiezniP} 11P{~)bnlq} 11q.

neH neH neH
Proof. Consider the counting measure space (N, q.!(N), v). Let us define two real-valued
functions f and g on N by setting
(1) { f(n) =an forn EN,

g(n)=bn fornEN.
By HOlder's Inequality (Theorem 16.14), we have
(2) L lfgl dv ~ { L lfiP dv} l/p { L lglq dv} l/q.

By (1) we have
(3) [ lfgl dv = L lf(n)g(n)l v({n}) = L la,.bnl · 1

H nef:l neH
(4) [ lfiP dv = ~ lf(n)IP v({n}) = L laniP · 1

1 nerJ neH
(5) llglq dv =L ig(n)lq v({n}) = L lhnlq ·1.

n nef.l neH
Substituting (3), (4), and (5) into (2), we have the proof. 1
An Alternate Proof. Consider the measure space ((0, oo), 9J1do.oo). ILL). In (0, oo), let
I, = (n- 1, n] for n E N. Then (0, oo) = Uneul,.. Define two real-valued functions f
and g on N by setting
( 1) { f(x) =a,. for x E / 11 , n E N,

g(x) = b,. for x E / 11 , n E N.
By Holder's Inequality (Theorem 16.14), we have
(2) r
Jco,oo)
lfgl dJLL ~ { {
Jco,oo)
lfiP d~-td lfp { {
Jco,oo)
lglq dJLL t q •
By (1) we have
(3)
(4)
(5)
A Third Proot Recall that for p, q e (1, oo) such that 1/p + 1/q = 1 and a, fJ e IR, we
have the inequality
(1) lafJI ~ laiP + l,lllq.

p q
Let us prove
(2)
If LneF lanlp = 0, then an = 0 for every n E w so that LneF lanbnl = 0 and then (2)
holds trivially. Similarly if LneF Ibn lq = 0 then (2) holds trivially.
Let us consider the case that LneH lanbn I > 0 and Lnefl Ibn lq > 0. For brevity let us
write
(3)
neH neH
For n e N, let us write
(4) lanl and R.n = lbnl.

an=A I' B
By (1) we have for every n e N
(5)
Summing over n e N, we have
that is,
Then we have
neiJ nefJ nel l

Prob. 17.22. Let (an : n e N) and (b,. : n e N) be two sequences of real numbers. Let
p e (0, 1) andq e (-oo,O) be such that 1/p + 1/q = 1. Showthat
~)a,.h,.l ~ {~)ezn1P} 11PC~::.:Ih,.lq} 11q.

neH neiJ neH
Proot Consider the measure space ( (0, oo), 9JlL lo.oo). JLL). In (0, oo), let J,. = (n- 1, n]
for n e N. Then (0, oo) = UneH J,.. Define two real-valued functions f and g on N by
setting
f(x) =a,. for x e / 11 , n E N,

(1) { g(x) = b11 for x E / 11 , n E N.
By HlSlder's Inequality (Theorem 16.54), we have
(2) r
J(O,oo)
ltgl dJLL ~ { r
J(O,oo)
ItiP dJLd ljp { r
J(O,oo)
lglq dJLL tq.
By (1) we have
(3) fco.oo) lfgldJLL = ~ln la,.b,.ldJLL = ?;leznb,.l·1

(4) r
}(O,oo)
IJIP dJLL = L
nell
r lanlp dJLL = nef~
}In
L lanlp ·1
(5) r
J(O,oo)
lglq dJLL = L }Inr lhnlq dJLL = L
nef:l neH
lhnlq · 1.
Prob. 17.23. Let (en: n EN) be a sequence of positive numbers. Let p E (0, oo). Prove
LEn< oo => L:e: < oo.

nEff neT:J
Proof. 1. Consider the case p E [1, oo). Now Lnel l en < oo implies lim
n-+oo
Bn = 0. Thus
there exists N E N such that Bn : : ; 1 for n ~ N. Then since p E [1, oo) and Bn : : ; 1 for
n ~ N, we have e: : : ; en for n ~ N. Then we have Ln~N e: :::=: Ln~N En < oo and
N
L:e: = L:e:+ L:e: < oo.
nEH n=l n>N
2. Consider the case p E (0, 1). Then ..fP E (0, 1) also. Let r E IR be the conjugate of
..;p, that is,
1 1
(1) -+-=1.
...(Pr
This implies that r E ( -oo, 0). Indeed we have
1
!= 1 - -- = ../P - 1 and r = ../P E (-oo,O).
r ..fP ..fP ..fP- 1
Let us write En = Lnel i ef'e!-.;p and let an = e;(P and bn = e!-.;p and consider
two sequences of real numbers (an : n E N) and (bn : n E N). According to Prob. 17.22,
(1) implies
I I
(2) LEn = L Gnbn ~ { L afP} ;;fP { L b~}'
neH neH neH neH
I I
= { L (efi')#} 7P { L (e!-./Py }'

nell nel'!
1 I
= { L:s:} 7P { L (e!-.;p)'}'.
nEH nEU
Now we have
I
(3) C := { "~ ( Bn1- .jji)r }' E (O,oo).
nEf ·l
Then dividing (2) by C > 0, we have
{L:s:}TP : : ; ci Len}.
I 1
(4)
nEf.-J nEFI
and then
L:e: ~ c~{ L:en}.;p < 00.
neH neH
Prob. 17.24. According to Theorem 17.21, we have lP c lq for 0 < p < q c:; oo. Show
that£P =f:. lq.
Proof. To show that lP =1= lq we find a sequence of real numbers (an : n e N) such that
(an : n e N) e lq but (an : n e N) ¢ lP.
1. Consider the case p < q < oo. Let
1
an=nl/p forneN.
Then we have
L...t'
" L...t' I lfp
lanl p -- " 1 lp -
- "' • - oo,
L...t--
nef,l nef.·l n nef.·l n
"
L...t' L...t' Inl/p
lanlq -- " 1 lp q-
- "' 1 < oo sinceqjp > 1.
L...t nq/p
nefl neH nel'l
This shows that (an : n e N) e lq but (an : n e N) ¢ lP.

2. Consider the case p < q =
oo. Let a > 0 and let an =
a for every n e N and
consider (an : n E N). Since lan I = a for every n E N, we have (an : n E N) E l 00 • On the
other hand, we have LneH lanlp = LneH aP = oo and this implies that (an : n e N) ¢ lP.
I
Prob. 17.25. Let 0 < p < q ~ oo. Show that tP 1J lq .

Proof. Let us prove the statement tP 1J lq by contradiction argument. Thus assume that
the statement iP 1J lq is false. Then we have £P :J tq. Now according to Theorem 17.21
we have £P c lq. Thus we have £P = lq. This contradicts Prob. 17.24. Therefore the
statement lP 1J lq must be valid. 1
An Alternate Proof. The proof is based on the following result in Calculus:
LneN ,J. < 00 for p E (1, oo]

Lneil ,J. = 00 for p E (0, 1].
1. Consider the case 0 0 such that p < 1/r < q.
Then we have 0 < rp < 1 < rq < oo. Let an = 1/nr for every n E N and consider the
sequence (an: n EN). We have
This shows that (an : n e N) e lq but (an : n e N) ¢ tP. Thus lP 1J ,eq.

2. The case 0 < p < q = oo is treated in the same way as in 2. of the Proof of
Prop. 17.24. I
§18 Bounded Linear Functionals on the LP Spaces

Prob. 18.1. Let (X, 2t, p.) be an arbitrary measure space and let p E (1, oo). Consider
(/n : n E !':!) c LP (X, 2t, p.) and f E LP(X, 2t, JL). Show that the sequence (fn : n E !':!)
converges weakly to fin LP(X, 2l, JL) if and only if
1° 11/.. llp :::=: M for all n EN for some M ~ 0,
2° lim fE f., df.J, = fE f df.J, for every E E 2{ with JL(E) < 00.
n-+oo
Proof. 1. Suppose (fn : n E N) converges weakly to fin LP(X, 2t, JL). Let q E (1, oo)
be the conjugate of p E (1, oo). Then we have
lim f fngdp. = f fgdf.J, for every g E U(X, 2t, p.).

n...... oo]x lx
For each n EN, let Ln be a functional on U(X, 2t, JL) defined by setting
Ln(g) = L fngdp. forgE U(X, 2l, JL).
Then Ln is a bounded linear functional on Lq(X, 21, JL) with IILnll• = llfnllp according
to Theorem 18.1. Thus (Ln : n E !':!) is a collection of bounded linear functionals on
U(X, 21, JL) and for each fixed g E U(X, 21, JL) we have
ILn(g)l :::=: IILnll.llgllq foralln EN.

Thus by Corollary 15.50 to Theorem 15.49 (Uniform Boundedness Theorem), there exists
M ~ 0 such that IlL,. II. :::=: M for all n EN. Then since IlL,. II.= 11/.. IIP as we showed
above, we have llfnllp :::=: M for all n EN. This proves 1°.
If E E 2l and p.(E) < oo then fx(1E)q dp. = fx 1E df.L = JL(E) < oo so that we have
1E E U(X, 2t, JL). Then since (fn : n E !':!)converges weakly to fin LP(X, 21, JL), we
lim fx f,. 1E dp. = fx f 1E dp., that is, n...,.oo
have n....,..oo lim JE f,. dp. = JE f dp.. This proves
20.
2. Conversely assume 1o and 2°. Let us show that (f,. : n E !':!) converges weakly to f
in LP(X, 2l, p.), that is,
(1) lim f f,.gdf.J,= f fgdf.J, foreverygeU(X,21,JL) .

........ oo]x lx
Let h be a JL-integrable simple function on (X, 21, JL), that is,
k
(2) h = LCi1EI•
i=l
where {Ei : i = 1, ... , k} is a disjoint collection in 2l with p.(Ei) < oo fori = 1, ... , k
and Ci E C fori = 1, ... , k.
Let So(X, 2t, JL) be the collection of all JL-integrable simple functions on (X, 21, JL).
Then So(X, 2(, JL) is a dense subset of U(X, 21, JL) according to Theorem 18.3.
§ 18 Bounded Linear Functionals on the LP Spaces 425
Let h e So(X, Q(, p,) be as given by (2). For the set E; in the expression (2) we have
/L(E;) < oo. Thus assumption of condition 2° implies lim J:E In d/L = J:E I dp,, that is,
n--..oo 1 1
(3)
Then by the linearity of the integral over the integrand, we have

k
(4) lim { lnh d!L = lim { In{ L c; h 1} d!L by (2)
n--..oo Jx n--..oo Jx i=l
k
= lim L:ci{ f 1,1E1 }d!L
n--..oo i=l Jx
k
= .. ~ { ; Ci { fx I b.} dp, by (3)
k
= fx I{ {;c; b;}dp,
= fx1hdJL by(2).
This proves (1) for the particular case that g = h e So( X, 21, p,).
Consider bounded linear functional& L, and L on L q (X, 21, 1-L) defined by
Ln(g) = fx l,gd/L forge U(X, 21, /L).

(5)
{ L(g) = fx lgd!L forge U(X, 21, /L).
In terms of Ln and L, the statement (1) is transcribed as
(6) lim L,(g) = L(g) for every g e Lq(X, 21, /L).

n--+oo
Thus it remains to prove (6). Observe first that in terms of Ln and Lour result (4) above
is transcribed as
(7) lim Ln(h)

n--+oo
= L(h) for every he So(X, 21, /L).
To prove (6), we show that for every s > 0 there exists N e N such that
(8) IL,(g)- L(g)l < s forn ~ N.
Let
B = sup{lllnllp. n eN, Ill liP} e (0, oo).
Let e > 0 be arbitrarily given. Since So(X, 21, p,) is a dense subset of Lq(X, 21, /L) there
exists h e So(X, Ql, /L) such that
8
llh- gllq < B.
3
Then (7) implies that there exists N e N such that

E:
ILn(h)- L(h)l < 3 for n ~ N.
Then for n ~ N we have
ILn(g)- L(g)l :S ILn(K)- Ln(h)l + ILn(h)- L(h)l + IL(h)- L(g)l

:s IILnll.llg- hllq + ILn(h)- L(h)l + IILII.IIh- gllq
= lllnllpllg- hllq + ILn(h)- L(h)l + 11/llpllh- gllq
8 E: E:
< B 3B + 3 + B 3B =e.
This proves (8) and completes the proof of (1). 1
Prob.l8.2. Let (X, m, p,) beau-finite measure space. Let p e [1, oo) and q e (1, oo] be
conjugates, thatis,lfp + lfq = 1. Letgt, 82 e Lq(X, ~t. ~-t). Assume that we have
L lg1 dp, = [ lgz d~-t for every 1 e LP(X, m.~-t).
Show that 81 = gz, ~-t-ae. on (X, m, ~-t).
Proof. Let 81.82 e Lq(X, Q(,/L) and define two functionals Lg1 and L 82 on LP(X, Q(, p,)
by setting
Lg 1 (f) = fx IK1 d~-t for f E LP(X, m,/L).
{ Lg2(f) = fx lgzd~-t for IE LP(X, m,/L).
Then Lg1 and Lg2 are bounded linear functionals on LP(X, Q(, IL) by Theorem 18.1. The
assumption that fx lg1 d~-t = fx lgzd~-t for every I e LP(X, 21, IL) implies that we have
Lg1 (f) = L 82 (f) for every I e LP(X, m, p,), that is, we have Lg1 = Lg2 •
Let L = Lg 1 = L 82 . By Theorem 18.6 (Riesz Representation Theorem) there exists a
unique g e Lq (X, m,IL) such that
L(f) =[ fgdiL for f E LP(X, 21, IL)·
This implies that 81 = 8 = gz, that is, 81 = gz, ~-t-a.e. on (X,~(, ~-t). 1
Prob. 18.3. Let (X, Ql, p,) be a cr-finite measure space. Let p E [1, oo] . Let fo E
LP(X, Ql, p,) be such that for every bounded linear functional Lon LP(X, Ql, p,) we have
L(fo) = 0. Show that fo = 0 E LP(X, Ql, p,).
Proof. Since fo e LP(X, Ql, JL), we have fo = !Rfo + ir;:Jfo where !Rfo and r;:Jfo are
extended real-valued Ql-measurable functions on X and fx 1/oiP dp, < oo. Now we have
fo = 0 E LP(X, Ql, p,) if and only if !Rfo = 0 and r;:Jfo = 0, p,-a.e. on X.
To show that fo = 0 E LP(X, Ql, p,), we assume the contrary. Then at least one of the
two statements "!Rfo = 0, 11--a.e. on X" and "r;:Jfo = 0, 11--a.e. on X" is false. Suppose the
statement "!Rfo = 0, p,-a.e. on X" is false. Then we have
JL(E) > 0 where E := {x E X : !Rfo(x) i- 0}.
Let
E+ = {x E X : !Rfo(x) > 0},
E- = {x EX : !Rfo(x) < 0}.
Then £+, E- E Ql, E+ n E- = 0, E+ U E- = E so that JL(E+) + JL(E-) = p,(E) > 0
and this implies that at least one of JL(E+) and p,(E-) is positive. Suppose p,(E+) > 0.
Since (X, Ql, p,) is a cr-finite measure space, there exists a countable collection {D.,. :
m E N} of disjoint Ql-measurable subsets of X such that UmefJ D.,. = X and JL(D.,.) < oo
for every m E N. Then we have £+ = E+ n X = Umel'l (E+ n D.,.) and
L 11-(E+ n D.,.) = p,(E+) > o.

mel!
This implies that there exists mo E N such that JL(E+ n D.,.0 ) > 0. then we have
For each k E N, let

F~; = {x e E+ n Dmo: f(x) > lJ.
Then we have U~:eH Fk = E+ n Dmo and
LJL(F~:) ~ 11-( U F~:} = JL(E+ n D.,.0 ) > 0.

keF nef'
This implies that there exists ko e N such that
Consider the function lF.to on X. For our p E [1, oo],let q E [1, oo] be its conjugate, that
is, 1/p + l/q = 1.
If p E (1, oo) then q E (1, oo). Now
L llF.to lq dp, = L lF.to dp, = p,(Fto) < 0.

ThuslF.to E Lq(X, Ql, JL).

If p = 1 then q = oo. Since the function lFko is bounded on X, we have lFko E
L 00 (X, Ql, JL) = Lq(X, Ql, JL).
If p = oo then q = 1. Now
L 1
lbko 1 dJL = L bko djL = JL(F~ro) < 0.
ThuslFko E L 1 (X, Ql, JL) = U(X, Ql, JL).
We have shown then that lFko E Lq(X, Ql, JL). According to Theorem 18.1, for g E
U(X, Ql, JL) if we define a function on LP(X, Ql, JL) by setting
F(f) = L fg dJL for f E LP(X, Ql, JL),
then F is a bounded linear functional on LP (X, Ql, JL). Let us define
F(f) = L fbko dJL for f E LP(X, Q(, JL).
Then F is a bounded linear functional on LP(X, Ql, JL). Then since every bounded linear
functional on LP(X, Ql, JL) vanishes at fo, we have
L folF.to dJL = 0.
L folF.to dJL = L !RfolF.to dJL + i L~folF.to dJL
and
and thus
LJob~:o dJL i- 0.
This is a contradiction. We show similarly that the assumption that the statement "~ fo = 0,
JL-a.e. on X" is false leads to a contradiction. 1
Prob. 18A. Let (X, Q(, p,) be a a-finite measure space. Let p, q e [1, oo] be such that
1/p + lfq = 1. Let f be an extended real-valued Ql-measurable function on X such that
1/1 < oo, JL-a.e. on X. Define a sequence of functions (f,.: n EN) by setting
f(x) if lf(x)l ~ n,
f(x) =
{ 0 otherwise.
Suppose that for every extended real-valued function g e Lq(X, Ql,p,) we have
lim { f,.gdp, E JR.

n~ooJx
Showthatfx fgdp,exists in JRforevery g e Lq(X, >Jl, p,) and then f e LP(X, >Jl,p,).
Proof. Let g e Lq(X, Ql, p,) and write g = g+- g-. Then g+ ~ lgl on X. This implies
that fx lg+ lq dp, ~ fx lglq dp, < oo and thus g+ e Lq (X, Ql, p,). Similarly we have
g- E Lq(X, Q!,p,).
For x e X such that lf(x)l < oo, we have lim f,.(x) = f(x) and in particular if
n~oo
f(x) ~ 0 then f,.(x) t f(x) and if f(x) ~ 0 then f,.(x) .j.. f(x). Let us decompose X into
three disjoint >Jl-measurable sets defined by
A= {x eX: f(x) E [0, oo) },

B= {x EX: f(x) E (-oo,O)},
C = {x e X : f(x) = ±oo }.
Then we have fn t f on A, fn ..j.. f on B, and p,(C) = 0. Now since lA, lB e [0, 1] on X,

we have lAg+ ~ g+, lAg- ~ g-, lag+ ~ g+, and lag- ~ g-. This implies then
(9)
Then (3) and assumption (2) imply
(10) lim { fnlAg+ djL E JR,

n~oofx
(11) lim { f,.l 8 g+ djL E JR.,

~~~oo fx
(12) lim { flllAg- dp, E JR,

~~~oo Jx
(13) lim { f,.lag- dp, E JR..
n~oolx
Regarding the integral in (4), we have fx fnlAg+ dp, = fA fng+ dp,. Since fn t f on
A and since g+ ~ 0, we have f,.g+ t Jg+ on A. Thus by Theorem 8.5 (Monotone
Convergence Theorem) and by (4), we have
(14) { fg+ dp, = lim { f,g+ dp, = lim { fnlAg+ dp, E JR.
jA n~oo }A n~oo fx
Similarlyregardingtheintegralin (5), we have fx j,.18 g+ d11- = JB

j,.g+ dJL. Since f.,. ,I. f
on Band since g+ ~ 0, we have j,.g+ ,I. jg+ on B. Then by Theorem 9.17 (Generalized
Monotone Convergence Theorem) and by (5), we have
(16) L jg+ dl-f- = i jg+ dJL + L jg+ dl-f- E JR.
We show similarly
(17) fx!g-dJL= £tc-dJL+ £!g-dJLe iR .
LfgdJL= fxt{g+-g-}dJL= fxtg+dJL- fxtg-dJLE IR .
This shows that fx fg dJL exists in IR for every g E U(X, 2l, JL). Then by Theorem 18.8,
we have f e LP(X, 2l, JL). 1
§22 Lebesgue-Stieltjes Measure Spaces 431
§22 Lebesgue-Stieltjes Measure Spaces

Prolog to Prob. 22.1 and Prob. 22.2. The Lebesgue-Stieltjes measure J..8 determined by
a real-valued increasing function g on IFl:. is au-finite measure on a semialgebra of subsets
of IFl:. which contains ~ I!;. Prob. 22.1 asserts that every finite measure JL on (R , ~r,J can
be extended to be a finite Lebesgue-Stieltjes measure. Prob. 22.2 gives a necessary and
sufficient condition for a measure JL on (!Fl:., ~r~J to be extendible to a Lebesgue-Stieltjes
measure.
Prob. 22.1. Let JL be a finite measure on (R , ~p) and let p.(!Fl:.) = C < oo. Define a
function F on IFl:. by setting F(t) = JL( (-oo, t]) fort E R.
(a) Show that F is a nonnegative real-valued increasing and right-continuous function on
R such that lim F(t) = 0 and lim F(t) =C.
t-->-00 t-->00
(b) Show that for the Lebesgue-Stieltjes measure J.. F determined by the real-valued increas-
ing function F we have J..F = JL on ~Ir!- ·
Proof. 1. By its definition F is a nonnegative increasing function on IFl:. and, since
p.( ( -oo, tl) ~ p.(R ) < oo, F is real-valued on !Fl:.. Consider a decreasing sequence
(C-oo, -n]: n eN) in !.Bk' · Since p.(R ) < oo, we have
lim p.((-oo, -nl) = p.( lim (-oo, -n1)
11...... 00 71..... 00
=p.( n(
11eH
-00, -n]) = p.(0) = 0.
Then we have
lim F(t)
t ..... -oo
= 11-->00
lim F(-n) = lim p.((-oo, -nl) = 0 .
11-->00
Similarly since lim (-oo, n] = Uc-oo,n] we have

11-->00
11Efl
lim F(t) = lim F(n) = lim p.((-oo, nl)

t-->00 11-->00 11-->00
= JL( Uc-oo, n1) = p.(R) =c.

11eF
To show that F is right-continuous at every to E IR, it suffices to show that for every
strictly decreasing sequence (t11 : n E N) in !R suchthatt11 +to we have F(to) = lim F(t11 ).
11->00
Now t < t, implies ( -oo, to] c (-oo, t,] and then we have p.( ( -oo, tol) ~ JL( (-oo, t,l),
that is, F(to) ~ F(t11 ) for every n E N. Thus F(to) ~ lim F(t11 ). Suppose F(to) f=
n->oo
lim F(t,.). Then F(to) > lim F(t,.). This implies that there exists no E N such that
n----+oo n----.oo
F(to) > F(t110 ) , that is, p.(( -oo, tol) > p.( (-oo, t110 ]), a contradiction. Therefore we must
have F(to) = lim F(t11 ).
11-->00
2. Consider the Lebesgue-Stieltjes measure J..F determined by the real-valued increasing
function F defined on au-algebra 9Jl(A.;) of subsets of R . We have ~:;; c 9J1(A.;) by
Theorem 22.4.
Consider the two measures )..F and p, on ~k· For the semialgebra Joe of subsets of IR,
we have ~lei = a (Joe). According to Theorem 21.11, if )..F = IL on the semialgebra Joe
then )..F =ILona (Joe) = ~p. Thus to show that )..F = IL on ~Pit suffices to show that
)..F = IL on Joe· Let I e Joe be given by I= (a, b] . Then by Proposition 22.7, we have
},A(a, bl) = F(b)- F(a) = IL(C-oo, bl) -~.£((-oo, al)
= p,((-oo,b] \ (-oo,a]) = IL((a, b]).
If I e Joe is given by I= (a, oo) then
= lim {IL((-oo, n]) -1.£((-oo, a])}

11~00
=lim p,((-oo,n]\(-oo,al)
11~00
= lim p,((a, nl) = IL(Ca. oo)).

11~00
If IE Joe is given by I= (-oo, b] then
>..F((-oo,b])= lim >..F((-n,b])= lim {F(b)-F(-n)}

n-+oo n-+oo
= lim {p,((-oo,bl)- p,((-oo, -n])}

11~00
= lim p,((-oo,b] \ (-oo, -nl)

11"""+00
=lim p,((-n,b]) =p,((-oo,b]).

11~00
This completes the proof that )..F = IL on Joe. I

Prob. 22.2. Let IL be a measure on (R, IB1') such that IL( (-k, k)) < oo for every k E N.
Define a function F on R by setting
J.t((O,t]) fort>O,
F(t) = 0 fort= 0,
{
- IL( (t, OJ} fort < 0.
(a) Show that F is a real-valued increasing right-continuous function on R.

(b) Let ).F be the Lebesgue-Stieltjes measure determined by the real-valued increasing
function F on R. Show that ).F = 1.£ on IBr-;.
Proof. 1. Let us show that F is real-valued on R. Lett E R be arbitrarily selected. Let

k E N be so large that t E (-k, k). If t > 0 then F(t) = 1!((0, tl) ~ IL((-k, k)) < oo.
If t < 0 then F(t) = -~.£( (t, 0]). Now#.£((t, Ol) ~ #.£( (-k, k)) < oo. Thus we have
F(t) = -IL((t,O]) > -oo. Fort= Owe have F(O) = 0 by definition. Therefore we have
F(t) E R for every t E R.
Let us show that F is increasing on R. Consider (0, oo). For 0 < t' < t", we have
F(t') = IL( (0, t'l) ~ J.L( (0, t"l) = F(t"). This shows that F is increasing on (0, oo).
Consider next ( -oo, 0). For t' < t" < 0, we have (t', 0] :> (t", 0] and IL( (t', OJ) 2:::
J.t((t",OJ). ThenF(t') = -J.t((t',Ol) ~ -J.t((t",01) = F(t"). ThisshowsthatFis
increasing on ( -oo, 0). This and the fact that F ~ 0 on ( -oo, 0), F(O) = 0, and F 2::: 0 on
(0, oo), imply that F is increasing on R.
2. Let us show that F is right-continuous on R. To show this, it suffices to show that
for every to E R and every strictly decreasing sequence (In : n E N) such that In ,j.. to we
have F(to) = lim F(tn).
n ....oo
Consider the case to > 0. Since tn < ln. we have (0, to] c (0, tn] and then#.£((0, tnJ) ~
J.L((O,tnl),thatis,F(to) :5 F(t71)foreveryn E NandhenceF(to) :5 lim F(t11 ). Suppose
n-.oo
F(to) i= lim F(tn). Then F(tn) > lim F(tn) and thus there exists no E N such that
11-+00 1!....... 00
F(to) > F(ti'IO), that is, 1.£((0, to]) > IL((0, 11'10]), a contradiction. Therefore we must have
F(to) = lim F(t11).
n-.oo
Next consider the case f{J < 0. Since f{J < 111 , we have (f{J, 0] :> (tn, 0] and then
J.t((tn,O]) 2::: J.t((tn,OJ) so thatF(tn) = -J.t((tn,OJ) :5 -J.t((tn,Ol) = F(tn) for every n E
N. Thus F(to) ~ lim F(tn). Suppose F(tn) i= lim F(tn). Then F(tn) > lim F(tn)
n-+oo n-+oo n-+oo
and thus there exists no E N such that F(to) > F(ti'IO), that is, -J.t((to, 01) > -~.£((ln. 01)
andJ.t(Cto,Ol) < J.t((t,.,Ol),acontradiction. ThereforewemusthaveF(to) = lim F(tn).
n--.oo
Finallyconsiderthecase to= 0. SinceO =to< In, we have F(tn) = J.t((O, t,.]) 2:::0 =
F(O) for every n E N. Thus F(O) ~ lim F(t,.). Now ((0, t,.] : n E N) is a decreasing
n--.oo
sequence in IB1? and for sufficiently large k E N we have (0, In] C ( -k, k) for all n E N
and #.£( (-k, k)) < oo. Thus we have lim #.£( (0, tnl) = #.£( UneH(0, tnl) = ~.£(111) = 0.
n-700
Then lim F(tn) = lim J.L( (0, t,.]) = 0 = F(O). This proves the right-continuity ofF at
n--.oo n-.oo
tn=O.
3. Consider the Lebesgue-Stieltjes measure ).F determined by the real-valued increasing
function F defined on a a-algebra VJ1(A.;) of subsets of R. We have IBv· c VJ1(A.;) by

Theorem 22.4.
Consider the two measures).., and JL on IB1; . For the semialgebra J 0 c of subsets of IR,
we have IB1~ = <T(Joe)- According to Theorem 21.11, if A., = 1.£ on the semialgebra Joe
then).., = 1.£ on u(Joe) = s.B.E· Thus to show that).., = 1.£ on s.B.r: it suffices to show that
).., = 1.£ on Joe· Let I E Joe be given by I= (a, b1. There are several cases to consider.
CaseO <a< b:
A.,((a,b1) = F(b)- F(a) = JL((O,b1) -JL((O,aJ)

= 1.£((0, b1 \ (O,a1) = JL((a,b1).
Case a< 0 < b:
A.,((a, b1) = F(b)- F(a) = JL((O, b1)- { -JL((a, 0])}

= IL( (a, 01) + JL((0, bl) = JL( (a, 01 U (0, bl)
= IL( (a, b1).
Case a< b < 0:
A.,((a, b1) = F(b)- F(a) = -JL((b, 01)- { -JL((a, OJ)}

= 1.£( (a, 01) - JL( (b, 01) = 1.£( (a, 01 \ (b, 01)
=JL((a,bl).
CaseO =a< b:
).., ((a, bl) = F(b)- F(a) = F(b)- F(O)
= JL((O, b1) = IL((a, b1).
Case a< b =0:
)..F((a,b]) = F(b)- F(a) = F(O)- F(a)
= - { - JL((a, 01)} = IL((a, b1).
This verifies that A., = JL on J oe· I

Comment on Prob.ll.l. IfIL 8 is a Lebesgue-Stieltjes measure determined by a real-valued
increasing function g on IR, then /Lg ( ( -k, k)) = g(k-) - g( -k+) < oo for every k E N.
Prob. 22.2 asserts that a measure JL on (IR, IB11!) can be extended to be a Lebesgue-Stieltjes
measure if and only if JL satisfies the condition that IL(( -k, k)) < oo for every k E N. Thus
in particular every finite measure JL on (IR, s.BL~) can be extended to be a Lebesgue-Stieltjes
measure.
Prob. 22.3. Let F be a real-valued right-continuous increasing function on R such that

F = 0 on (-oo, 0). Let ),F be the Lebesgue-Stieltjes measure on lR:. determined by F.
(a) Show that
(1) f t)..F(dt) = f ),F((t,oo))ttL(dt).

J[O,oo) J[O,oo)
(b) Show that if in addition we have lim F(t)

t-+00
= C < oo then
(2) f t ),F(dt) = f {c- F(t)} ttL(dt).
J[O,oo) J[O,oo)
Proof. 1. The Lebesgue-Stieltjes measure ),F is defined on a a-algebra 001()..;) of subsets

of R and IS li' c 001()..;) by Theorem 22.4. By Proposition 22.7 we have for 0 ~ t' < t"
(3) ),F ([0, t']) = F(t' +) - F(O-) = F(t'),
Ap((t',t"]) = F(t"+)- F(t'+) = F(t")- F(t').
Consider the integral ho,oo) t )..F(dt). Let q.~(t) = t forte [0, oo). Then we have
(4) { t AF(dt) = { rp(t)/..p(dt).

J[O,oo) J[O,oo)
Consider a sequence of IB r_;,-measurablefunctions on [0, oo) given by (1[0, 11] : n eN). We

have 1[0,11] t 1[o,oo) on [0, oo) as n-+ oo. Then by the Monotone Convergence Theorem
(Theorem 8.5), we have
(5) { rp(t))..p(dt) = lim { rp(t)1[0, 11J(I))..F(dt)

J[O,oo) 11-+oo J[O,oo)
= lim { rp(t) Ap (dt).

1
11-+00 [0,11]
Thevaluatethelastintegralin(5),letusevaluate fr.o.a] rp(t) ),F (dt) for an arbitrary a > 0.

For each k e N, let us decompose the interval [0, a] into 21c subintervals h,t defined by
1tc.1=[0,;] and Ju=((e-l);~:.e;J forl=2,3, ... ,2~:.
Let (rpk : k e N) be a sequence of simple function on [0, a] defined by

zt
rp1 = L:e; 1A.t·
l=l
Note that iflk ,!. 1f1 on [0, a] as k -+ oo and ipJc(t) e [0, a] fort e [0, a] and k e N. Now
rp~; ~aon [0, a] and by (3)
{ aJ..p(dt) = aJ..p([O, al) = a{F(a+)- F(O-)} = aF(a) < oo.

J[O,a]
Thus by the Dominated Convergence Theorem (Theorem 9.20) we have
(6) [ (/!(t)},p(dt) = lim [ (/!k(t)},p(dt).

J[O,a] k--+-oo J[O,a]
Next let us evaluate ./i:o,a] (/!k(t) },F(dt) for each keN. Now since (/!k is a simple function,
we have by (3)
zk
(7) f (/!~:(t)},p(dt) = L:e; Ap(J~:,t)
J[O,a] l=l
zt
= L:e;1 {F(e;)- F(<t-1);)}.
l=1
To simplify the sum in (7), consider a sequence of real numbers (At : l = 0, 1, ... , m).
By simple computation we have
m m-1
(8) L:t{At- At-1} = mAm- LAt.
l=1
Let
At =F(e;~:) fort=0,1, ... ,2~:.
(9)
zt-1
= aF(a)- L F((/!~:(e;));
l=O
= [ F(a)ILL(dt)- [ F((/!~:(t))ILL(dt).
J[O,a] J[O,a]
Now (/l~;(t) .J.. task -+ oo at every t e [0, a]. Then since F is right-continuous at t, we
have lim F((/l~;(t)) = F(t). Thus we have
k--+-oo
(10) lim [ (/!k(t) },p(dt) =f F(a) ILL (dt)- lim f F((/!~;(t)) ILL (dt)
k--+-00 J[O,a] }[O,a] k--+-00 J[O,a]
= 1[O,a]
F(a) ILL (dt)- 1 [O,a]
F(t) ILL (dt).
= { {F(a)-F(t)}ILL(dt)
J[O,a]
= f Ap((t,a])ILL(dt).
J[O,a]
(11) { (/J(t)).p(dt)= { Ap((t,a])JLL(dt).

J[O,a] J[O,a]
(12) {
J[O,oo)
(/J(f)).p(dt) = n-+oo
lim {
J[O,n]
Ap((t,n])JLL(dt)
= lim { l[O,nJ(t)).F( (t, n]) ILL (dt).

n-+oo J[O,oo)
Now ( (t, n] : n E N) is an increasing sequence in ~1:': and 1'1-+00

lim (t, n] = (t, oo) and then we
have lim ).F((t, nl) = ).F((t, oo)). Thus applying the Monotone Convergence Theorem
n-+oo
(Theorem 8.5) to the right side of (12), we have
f qJ(t) ).F(dt) = f ).F ( (t, oo)) ILL (dt).

J[O,oo) J[O,oo)
This proves (1).

2. Suppose lim F(t) = C < oo. By Theorem 22.8 we have
t-+00
).F(IH:.) = lim F(t)- lim F(t) = C- 0 = C,

t-+00 t-+ -00
C- F(t) = ).F(IR)- ).F(( -oo, tl) = ).F ( (t, oo)).

Substituting the last equality in (1), we have (2). 1
Comment on Prob. 22.3. In Prob. 22.3, F is a real-valued right-continuous increasing

function on IR such that F = 0 on ( -oo, 0) and lim F(t) = C < oo. The last condi-
r-+oo
tions ensure that for the Lebesgue-Stieltjes measure)., determined by F we have not only
).F(IR ) = C < oo but also ).F(( -oo, 0)) = 0 and thus h
tAF(dt) = Jio,oo) t J..p(dt). If
we replace the condition that F = 0 on ( -oo, 0) with the less stringent condition that
lim F(t) = 0, then we still have ).,(IR) = C but we may not have ).F((-oo,O)) = 0
t-+-00
and fr: t J..,(dt) may not exist.
Let us construct a real-valued right-continuous increasing function F on IR such that
lim F (t) = 0 and lim F (t) = C < oo for which frrt). F (dt) does not exist.
t-+-oo t-+oo ·.
For p > 1 the series L.tell -{p converges. Let S(p) = L.teN -{p < oo. Let us define a
function G on [0, oo) by setting
0 fort= 0,
G(t) = n
{ Lk~l p
1
fort E (n - 1, n], n E N.
Thus defined, G is a real-valued left-continuous increasing function on [0, oo) and we have
lim G(t) = S(P). Let us extend the definition of G to IR by setting
t-+00
G(t) = -G(Itl) fort E (-oo, 0).

Then G is areal-valued increasing function onR and lim G(t) = -S(P). Note that G is
t--+-00
left-continuous on [0, oo) and right-continuous on (-oo, 0). Let G, be the right-continuous
modification of G and define a function F on R by setting
F(t) = G,(t) + S(p).

Then F is a real-valued right-continuous increasing function on R with lim F(t) = 0
t--+-00
and lim F(t) = 2S(P). Note that for the Lebesgue-Stieltjes measure 'AF determined by
t--+00
F, we have
1
(1) 'AF((n- 1, n]) = F(n)- F(n- 1) = - ,
nP
1
(2) 'AA(-n, -n + 11) = F(-n + 1)- F(-n) = -.
nP
Let our p > 1 be such that p E(1, 2), that is, p- 1 < 1. Let us show that JR tAp(dt)
does not exist. Let q:J be a function on R defined by q:J(t) = t. Then to show that JR t 'AF(dt)
does not exist, we show that JR q;J(t) I.F (dt) does not exist. Consider q:J = q:J+ - q:J-, the
decomposition of q:J into its positive part and negative part. To show that JR q:J(t) 'Ap(dt)
does not exist, we show that fR q:J+(t) 'AF(dt) = oo and fR q:J-(t) I.F(dt) = oo. Now by the
symmetry of the function lq:JI with respect to 0 E R and by the symmetry of the measure
l.p with respect to 0 E R, we have JR q:J+(t) J..p(dt) = JR q:J-(1) 'Ap(dt). Thus it remains to
showthatfRq:J+(t)I..F(dt) = oo. Now fRq;J+(t)I.F(dt) = f[o,oo)q:J+(t)I..F(dt). Consider
a function 1/1 on [0, oo) defined by 1/1 = LneN(n - 1)l[n-l,n)· We have 0 ~ 1/1 ~ q:J+ on
[0, oo) and thus
(3)
Now we have
(4) r
jR
1/t(t)). (dt) = "'<n -
F L..,
neN
1)_!_
nP
= "'~ - " ' _!_
L.., nP
neN
L.., nP
neN
1
= L nP-1 - S(p) = oo
neN
where the last equality is by the fact that LneN nJ=r

= oo since p- 1 < 1. By (3) and (4)
we have JR q:J+(t) t..F(dt) = oo. This completes the proof that JR t t..F(dt) does not exist.
I

Theorem. (Cavalieri's Principle) Let (X, 21, /L) be a measure space and let f be a non-
negative real-valued '}(-measurable function on X. Then we have
1 X
f d/L = {
J[O,oo)
IL{x EX: f(x) > t} /L(dt).
(Hint: Theorem 9.34, Prob. 22.1 and Prob. 22.3.)
Proof. 1. Since f is a real-valued 21-measurable function on X, f is a 2l/'BR-measurable
mapping of X into JR.. Let v be the image measure of IL on 'B R by the mapping f. Thus
we have
v = IL o f- 1 on !23~,,.
Note that since f is nonnegative real-valued, we have f- 1 ((-oo,O)) = 0 and thus
v((-oo,O)) = 0. Thus by Theorem 9.34 (Integration by Image Measure) we have
(1)
1X
f d/L = {.. t v(dt) = {
j l'i j[O,oo)
t v(dt).
2. Consider the case that (X, '](, IL) is a finite measure space. In this case, v = IL o f- 1 is
a :finite measure on (!R, 'B1'). ThenaccordingtoProb. 22.l,ifwedefineF(t) v((-oo, t1) =
fort e !It then F is a nonnegative real-valued right-continuous increasing function on !It such
that lim F(t) = 0 and lim F(t) = C = v(!R) and moreover for the Lebesgue-Stieltjes
t-+-00 t-+00
measure A-p determined by F we have v = A-p on !B:p;. Thus we have
(2) f t v(dt) = f tAp (dt).

J[O,oo) J[O,oo)
By Prob. 22.3, we have
(3) { tA.F(dt) = { A.F((t,oo))ILL(dt).

J[O,oo) J[O,oo)
Since A.F =von !SF;, we have
(4) A.F((t, oo)) = v((t, oo)) = IL o f- 1 (t, oo) = IL{x EX : f(x) > t }.
By (1), (2), (3), and (4), we have
(5) 1 X
f d/L = {
j[O,oo)
IL{x E X : f(x) > t} ILL (dt) .
3. Consider the case that (X, 21, /L) is a a-finite measure space. Then there exists an
increasing sequence (An : n E N) in 21 such that UneH An =X and /L(An) < oo for every
n e N. Then (An, 21 nAn, /L), the restriction of the measure space (X, 21, /L) to A 11 , is a
finite measure space and thus by (5) we have
{ f d/L = { IL{x E An: f(x) > t} ILL(dt),

JA,. J[O,oo)
that is, we have
(6) { lAJ d11- = { JL{x E An : f(x) >I} JLL (dt).

Jx J[O,oo)
Then by the Monotone Convergence Theorem (Theorem 8.5), we have
(7) { f dJL = lim { lAJ dJL = lim { 11-{x E An : f(x) > t} JLL (dt) .
lx n-+oo lx n-+oo J[O,oo)
Foreachn E N, let En= {x E ~: f(x) > t} E ~(.Since{~: n E N) is an increasing

sequence in~(, (En : n E N) is an increasing sequence in Ql. Then
lim En=
n-+oo
U En= U {x E ~ : f(x) > t}
nEI'l nEI' 1
= {x E U An : f(x) > t}
nEI1
={xeX : f(x)>t}
and thus we have lim JL(En) = JL( lim En) = JL{x E X : f(x) > t }. Then by the
PI....... OO 11-+00
Monotone Convergence Theorem we have
(9) { fdJL= { 11-{XEX : f(x)>l}iJ.L(dt).

Jx J[o,oo)
4. Consider the general case that (X, ~(, JL) is an arbitrary measure space. Let
(10) Xo = {x EX: f(x) > 0} E Q(.
Note that since f is nonnegative on X, we have
(11) Xg = {x EX: f(x) = 0} E Q(.
Now (11) implies that fxc

0
f d/1- = 0 and hence
(12)
We also have for I E [0, oo)
{x EX: f(x) > t} = {x E Xo: f(x ) > t} U {x E xg. : f(x) > t}

= {x E Xo : f(x) > t} U 121
and then fort E [0, oo)
(13) p,{x EX: f(x) > t} = p,{x E Xo: f(x) > t}.
The set Xo is either a-finite with respect to p, or not a-finite with respect toIL· We treat
these two cases separately below.
4.1. Suppose Xo is a-finite with respect to IL· In this case we have
{ f dJL = { f dp, by (12)

lx lxa
= { IL{x E Xo: f(x) > t} p,L(dt) by (9)
J[O,oo)
= { IL{X EX: f(x) > t} ILL (dt) by (13).

J[O,oo)
4.2. Suppose Xo is not a-finite with respect toIL· Let us show that in this case we have
(14)
and
(15) { p,{x EX: f(x) > t} p,L(dt) = 00.

J[O,oo)
With (14) and (15), we have
{ fdJL=OO= { JL{XEX:f(x)>t}p,L(dt)
Jx J[o,oo)
and the proof is complete.

To prove (14), 1et It = [1, oo] and lt = [i .
.t~l) fork :::: 2. Then {It : k E N} is a
disjoint collection and U.tell It = (0, oo]. Let Ek = {x E Xo : f(x) E It} fork E N.
Disjointness of the collection {It: kEN} implies that {Ek :kE N} is a disjoint collection
in 21. The fact that f > 0 on Xo implies that Uteil Ek = Xo. Then since Xo is nota-finite
with respect to JL, there exists ko E N such that p,(EkQ) = oo. Then we have
This proves (14).

Let us prove (15). For n E N, let Fn = {x E Xo : f(x) > k}.
Then (Fn : n E N) is
an increasing sequence in 21. Since f > 0 on Xo, we have UneH Fn = Xo. Then since Xo
is not a -finite with respect to JL, there exists no E N such that p,(Fno) = oo. Thus we have
~-t{x E Xo : f(x) > £-} = oo. Then since ~-t{x E Xo : f(x) > t} is a decreasing function
oft E [0, oo) we have
~-t{x E Xo: f(x) > t} = oo fortE [o, £-].

Then we have
{ ~-t{x E X : f(x) > t} ILL (dt)

J[O,oo)
= { ~-t{x E Xo: f(x) > t}~-tL(dt) by(13)

J[O,oo)
~ fr[o.no] ~-t{x
1
E Xo: f(x) > t} p.L(dt)
=oo ·~-tL([O, £-]) = 00.
This proves (15). 1

§23 Product Measure Spaces 443
§23 Product Measure Spaces

Prob. 23.1. Consider the product measure space (R x R, a(SB? x SBr~). p,L x p,L). Let
D = { (x, y) E R X R: X= y }. Show that DE a(SBR X SB:rJ and (p,L X p,L)(D) = 0.
Proof. 1. For n E N, let

D,. = {(x, y) E [-n,n] x [-n,n]: x = y}.
Fork EN andm E Z ,let
m-1m m-1m
Sk,m = [~· 2 k] X [ ~· k] E SB1' X SBk'·
2
Then Sk,m is a square in the xy-plane and has non-empty intersection with D. Indeed the
union of 2 x n x 2k such squares contains D,.. Let En,k be the union of the 2 x n x 2k
squares. Then En,k E a(SBv: x SB p) and D,. C En,k· Since (p,L x p,L)(Sk,m) = (1/2k) 2
we have
(1) (p,L X p,L)(E11,k) = 2 X n X

k
2 · (p,L X
k
P,L)(Sk,m) = 2n · 2 ·
( 1
k
)2 = 2n
k.
2 2
Now (En,k : k E N) is a decreasing sequence. If (x, y) E R x R is such that x =f. y then
for sufficiently large kEN we have (x, y) ¢ En,k· Thus we have
lim Enk =
k"""'*OO '
n
kEfci
Enk = D,..
I
This shows that D,. E a(SBr,: x SBr,:). Since (En,k : k E N) is a decreasing sequence and
(p,L x p,L)(En,l) = n < oo by (1), we have
(p,L X P,L)(D,.) = (p,L X P,L)( lim En,k)

k-+oo
= lim (p,L x p,L)(En,k) by (b) of Theorem 1.26
k~oo
2
= lim n = 0 by (1).
k~oo 2k
(2)
l. Observethat(D,: n E N)isanincreasingsequenceand lim D, = UneH D, =D.

11-+00
This shows that DE a(s.Bt<; x s.BFJ. Then we have
(p,L X p,L)(D) = (p,L X p,L)( lim D,.)

11-+00
= lim (p,L x p,L)(D,.) by (a) of Theorem 1.26

11~00
= lim 0 = 0 by (2).
n-+oo

Prob. 23.2. Given the product measure space (oc x R, cr(~F x 113p), ILL x ILL). Let f be
areal-valuedcontinuousfunctionon R. Consider the graph off which is a subset of!R x OC
defined by
G = { (x, y) E R X IR: y = f(x) forx E 0C }.
Let us write (R x R, 2l, ILL x ILL) for the completion of (R x R, cr(l13v x 113,;), ILL x ILL).
Show that G is 2l-measurable and (ILL x ILL)(G) = 0.
Proof. Let (R x R, 2l, ILL x ILL) be the completion of (R x R, cr(~Y' x 113 ~ ). ILL x ILL).
According to Prob. 5.3, every subset of a null set in (R x R, cr(I13:F; x 113r;o), ILL x ILL) is
2(-measurable. Thus to show that G is 2(-measurable, we show that G is a subset of null
set in (R x IR, cr(113v x 113w), ILL x ILL). We proceed as follows.
1. For definiteness of notations let us write IRx x Ry for R x R. With [a, b] C IRx,let
(1) G[a,b] = {(x, y) E Rx x R y: y = f(x) for x E [a, bl}.
Let us show that for every E > 0 there exists a set E E cr(113:R x 113JR) such that
(2) G[a,b] C E and (ILL X ILJ(E) < E.
Since f is continuous on Rx, it is continuous on [a, b] and then it is uniformly continuous

on [a, b ]. Then for every E > 0 there exists o > 0 such that
E
(3) lf(x')- f(x")l < b _a whenever x', x" E [a, b] and lx'- x"l < 8.
Let m E N be so large that b;.a < 8. Let us partition [a, b] into m closed subintervals
of equal length {h, ... , Im}. Then we have length t(/k) < 8 fork = 1, ... , m. Now
continuity off on the finite closed interval It implies that Jk := f(Ik) is a finite closed
interval in Ry. Moreover (3) implies that length t(Jk) ~ b~a. By the definitions of h and
It-we have (x, f(x)) E It x J~: forx E /t. This implies
m
G[a,b] C U<h X J1).
k=l
Let E = u;=l (It X Jk). Then we have G[a,b] c E and moreover

m m
(ILL X ILL)(E) =(ILL X ILL)( U<~t X J~:)) =~)ILL X ILL)(/k X J~;)
k=l k=l
m m
= LILL(lt)ILL(J~:) ~ b ~a Ll(h) = 8,
k=l k=l
since ILL (J~;) = t(J~;) ~ b~t· This proves (2).
We showed above that for every 8 > 0 there exists a set E e cr(I13,R x ~ ,,;; ) such that
G[a,bl c E and (ILL x ILL)(E) < 8. This implies that for every k e N there exists a set
Ek e cr(I13J~ x 113JF') such that
(4)
Let F = nkelr Ek. Since G[a,bl C Ek for every k E N, we have G[a,bl C F.

Since EkE u(~l~ X s.B I~) for every k E N, we have F = nkeH Ek E u(~ l ~ X ~ p).
We have (JLL X JLL)(F) = (JLL X JLL)(nkeH Ek) ~ (JLL X JLL)(Ek) < for every kEN l
and thus (JLL x JLL)(F) = 0. Thus F is a null set in (R x R , u(~k' x s.B1.: :), ILL x ILL).
Then G[a,b], a subset ofF, is 2t-measurable and (ILL x JLJ(G[a,bJ) ~ (JLL x ILL)(F) = 0.
2. For n E N, consider G[-11,11], a particular case of G[a,b] considered above, that is,
(5) G[-11,11] = { (x, y) E Iff..x X R y: y = f(x) for X E [-n, n]}.
Then G[-n,n] is 2t-measurable and (ILL x JLL}(G[-n,nJ) = 0. Now (G[-n,n] : n E N) is an

increasing sequence of 2l-measurable sets and
..~ G[-n,n] = U G[-n,n] =G.

liEF.'
Then since G[-11,11] is 2t-measurable for every n E N, G is 2t-measurable. We also have
= lim 0 = 0.
11..... 00
This completes the proof that G is 2t-measurable and (ILL x ILL)(G) = 0. 1

Prob. 23.3. Given the product measure space (oc x R, cr(~F x IBp), ILL x ILL). Let f be
a real-valued function of bounded variation on [a, b]. Consider the graph of f defined by
G = {Cx, y) e R x IF.: y = f(x) fou e [a,bl}.
Show that G e cr(IBr..: x IBr,J and (ILL x ILL)(G) = 0.
Proof. Let (R x R, Q(, ILL x ILL) be the completion of (R x R, cr(IBJ; x IBrrJ, ILL x ILL).
According to Prob. 5.3, every subset of a null set in (IR x IR, cr(IBv x IB1;,), ILL x ILL) is
2t-measurable. Thus to show that G is 2{-measurable, we show that G is a subset of null
set in (IF. x IF., cr(IBk x IBv), ILL x ILL) . We proceed as follows.
1. For definiteness of notations let us write !Ef.x x !Ef.y for IEf. x R . With [a, b] c IF.;c,let
(1) G[a,b] = {(x, y) E IF.x x Ry: y = f(x) forx E [a, bl}.
Since f is a function of bounded variation on [a, b] we can write f = f1 - h where

f;, i = 1, 2, are real-valued increasing functions on [a, b]. For .fi and x e [a, b], define
the jump of/; at x by setting A;(x) = f;(x+)- f;(x-). Then since/; is a real-valued
increasing function on [a, b], iff; is continuous at x e [a, b] then A; (x) = 0 and if .fi is
discontinuous atx e [a, b] then A;(x) > 0 .
Let e > 0. Since /;(b) - /;(b) < oo, .fi can have only finitely many points of
discontinuity with jump A;(x):::: ef4(b -a). Leta= ao < a1 < .. ·<a,.= bbe such
that all points of discontinuity of .fi, i = 1, 2, with jump A; (x) :::: ef4(b- a) are included
in the set {ao, at, ... , a,.}.
Consider (ak-l, ak) wherek = 1, ... , m. Now f1 and h donothavepointsofdisconti-
nuitywithjump A;(x):::: ef4(b-a). Thuswecanselectak-1 = bo < b1 < ·· · < b,. = ak
such that 8
.fi(bt)- .fi(bt-1) < (b _a) fort = 1, ... , nand i = 1, 2.
4
Then for x e [bt-l, bt], we have
8
lf(x)- f(bt-t)l ::S {ft (x)- fl(bt-1)} + {h(x)- h(bt-1)} < (b _a)·
2
Let us define
8 8
h = [f(bt-l)- 2 (b _a), f(bt-1) + 2 (b _a)] C !Ef.y.
Thenforx e [bt-t,bt,],wehave(x,f(x)) e [bt-1,bt] x It. Thuswehave
G[bt-J,htl c [bt-l. bt,] X /t .

This implies then
" "
G[a1-l•<JA;] = U G[bt-J,bt] C U£bt-lo bt] X lt,.
l=l l=l
Let us define
n
Ek = U£bt -t. bt] x lt E cr(~rr- x ~Irr-).
l=l
Then we have G[CII:-~oa.tl c E~r. and moreover we have

n n
(ILL X ILL)(E~r.) =(ILL X ILL>(U[bt-t.bt] X It)= ~:)ILL X ILL)([bt-l.btl X lt)
l=l l=l
Consider G[a,b] = l..k=l G[Cij;-J,Dkl· Let E = u~l E~r. E a(23r,: X 23Jr!) . Then
G[a,b] C E and moreover
m m
8
(ILL x ILL)(E) = L(ILL x ILL)(E~r.) = L(ak- ak.-1)-- = 8.
k.~ ~1 b-a
This shows that for every 8 > 0 there exists E E a(23p x ~ H) such that G[a,b] C E
and (ILL x ILL)(E) < e. Then for every n E N there exists En E a(2:.\:p; x 2:.\:p;) such
thatG[a,b] c E, and (ILL X ILL)(E,) <~-Then we have nne!! En E a(~l~ X ~lei) and
G[a,b] c n .. eN E, and moreover (ILL X ILL>(nneH E,) ~(ILL X ILL)(E,) <~for every
n.
n E N so that (ILL X ILJ( en E,) = 0. 1bis shows that G[a.b] is ~(-measurable and
(ILL x ILL)(G[a,bJ) ~(ILL x ILL)(nneF En) = 0.
2. For n E N, consider G[-n, 11J, a particular case of G[a,b] considered above, that is,
(2) G[-n,n] = { (x, y) E ~.t x Ry : y = f(x) for x E [ -n, nl}.
Then G[-11,11] ism-measurable and (ILL X ILL)(G[-11,11]) = 0. Now (G[-n,ll] : n E N) is an

increasing sequence of ~(-measurable sets and
U G[-11.111 =G.
11~ G[-11,11J = 11eH
Then since G[-n,nl ism-measurable for every n E N, G ism-measurable. We also have
= lim 0 = 0.
11~00
This completes the proof that G is 2l-measurable and (ILL x ILL) (G) = 0. 1
Prob.23A. Let (X,~(, /.L) beafinitemeasurespaceand (Y, ~. v) beanona-finitemeasure

space given by
X= Y = [0, 1],
2l = ~ = ~[0,1], the a-algebra of the Borel sets in [0, 1],
I.L = I.L L and v is the counting measure.
Consider the product measurable space (X x Y, a (2l x 2))) and a subset in it defined by
E = {(x, y) E X X Y : X = y }.
(a) Show that E E a(2l x ~).
(b) Show that
fx {Jy h dv} dw#= Jy Ux h dJL} dv.
(This shows that the a-finiteness condition on (X, ~l, /L) and (Y, ~. v) in Theorem 23.17
(Tonelli's Theorem) cannot be dropped.)
Proot 1. Let us prove (a). Let us define two functions f and g on X x Y by setting
f(x, y) = x for (x, y) E [0, 1] x [0, 1],

g(x, y) = x for (x, y) e [0, 1] x [0, 1].
Then f and g are a(2l x ~)-measurable functions. This implies
E ={(X, y) EX X Y: X = y} = {(x, y) EX X Y: f(x, y) = g(x, y)} E a(Ql X 2)).
2. Let us prove (b). For every x E X, we have Jy lE(x, y) v(dy) = v({x}) = 1 and
then we have
{ { { h(x, y) v(dy) }JL(dx) = { 11LL (dx) = 1.
~ h ~.~
On the other hand, for every y e Y, we have fx lE(x, y) /.L(dx) =ILL ({y}) = 0 and then
{ { { lE(X, y) I.L(dx) }v(dy) = { 0 v(dy) = 0.

}y lx J[0,1J
This shows that the two iterated integrals are not equal. 1
Prob. 23.5. Given two a-finite measure spaces (X,~(, p,) and (Y, 23, v) where
X= Y= Z +,
Ql = 23 = ~(::Z +), the u-algebra of all subsets of ::Z+,
p, and v are the counting measures.
Consider the product measure space (X x Y, u(Ql x 23), J.L x v). Define a function I on
Xx Yby
1 +2-x whenx = y,
l(x,y)= -1-2-x whenx=y+1,
{ 0 otherwise.
Show that
(a) fx<fr I dv}dp, =f:.
fr<fx I dp,}dv,
(b) fxxY llld(p, x v) = oo,
(c) fxxY I d(p, x v) does not exist.
Proof. (Draw the graph of X x Y = ::Z+ x ::Z+ Then mark the points (x, y) satisfying the
condition x = y and the points (x, y) satisfying the condition x = y + 1.)
1. Let us prove (a). We have X= ::Z + Then we have
iY
l(x, y) v(dy) = {
2 when x = 0,
0 whenxE N.
Then we have
L{[ l(x, y) v(dy) }p,(dx) = 2.
On the other hand from Y = ::Z+ we have
L l(x, y) p,(dx) = z-y - z-(y+l) for y E ::z+,
and then
This verifies (a).

l. (b) follows from the fact that fxxY Ill d(JL x v) ~ 1 + 1 + 1 + · · · = oo.
3. Toprove(c), letuswrite I= 1+-1-. ItiseasilyshownthatfxxY 1+ d(p,xv) = oo
and fxxY 1- d(JL x v) = 00. This shows that fxxY I d(JL x v) does not exist. 1
Prob.23.6. Considertheproductmeasure space (X x Y, a(Ql x 113), p, x v) of two a-finite

measure spaces (X, 21, p,) and (Y, IJ3, v). Let f be an extended real-valued 21-measurable
and p,-integrable function on X and g be an extended real-valued SB-measurable and v-
integrable function on Y. Let
h(x ) = { f (x )g(y) for (x, !)
E X x Y for which the product is defined,
'y 0 otherwtse.
(a) Show that his o-(21 x IJ3)-measurable on X x Y.
(b) Show that h is p, x v integrable on X x Y and moreover we have the equality
fxxyhd(p, x v) = ffx f dp,} {fygdv}.
Proof. 1. Observe that the product f(x)g(y) is undefined if and only if f(x) = 0 and
g(y) = ±oo or f(x) = ±oo and g(y) = 0.
Since f is p,-integrable on X, the set N f = {x E X : f (x) = ±oo} E 21 is a null set
in the measure space (X, Q(, p,). Let us modify the definition off by setting f(x) = 0 for
X EN,.
Similarly since g is v-integrable on Y, the set Ng = {y E Y : g(y) = ±oo} E 113
is a null set in the measure space (Y, IJ3, v). Let us modify the definition of g by setting
g(y) = 0 fory E N 8 • Then we have
h(x, y) = f(x)g(y) for (x, y) EX x Y.
2. Let us show that his u(21 x IJ3)-measurable on X x Y. Since f is a 21-measurable

real-valued function on X, for every a E IR we have {x E X : f(x) ~ a} E Q(. Then for f
regarded as a real-valued function on X x Y, we have
{(x, y) E X X Y : f(x) :Sa} = {x E X: f(x) :Sa} X Y E 2( X IJ3 C u(21 X 113).
This shows that f is a (Q( x IJ3)-measurable on X x Y. Similarly g is a (Q( x IJ3)-measurable

on X x Y. Then h as the product of f and g is a (Ql x IJ3) -measurable on X x Y.
3. We prove (b) by quoting Theorem 23.19 (Fubini-Tonelli). For this purpose let us
show
fx { £ lhl dv }dp, = fx { £ lf(x)llg(y)l v(dy) }p,(dx)
= fx lf(x)l{ £ lg(y)l v(dy) }p,(dx)
= { fx lf(x)lp,(dx) }{ £lg(y)l v(dy)} < oo.
By Theorem 23.19 (Fubini-Tonelli), the finiteness of the iterated integral fx { Jy lhl dv }dp,
implies that h = f g is p, x v integrable on X x Y and moreover we have
fxxY hd(p, X v) = {fx f dp,} {£ gdv}.

Prob. 23.7. Consider the product measure space (IRx x IRy, a(SS11': x ~p), ILL x ILL).
Let 81 and 82 be real-valued continuous functions on [a, b] C IRx such that 81 (x) < 82(x)
for x E [a, b] and let
Dx = { (x, y) E Rx X IRy: y E [81(X), 82(X)] for X E [a, bl}.

Let h1 and h2 be real-valued continuous functions on [c, d] c IRy such that h1(y) < h2(y)
for y E [c, d] and let
Dy = {(x, y) E IRx X lRy : x E [h1 (y), h2(y)] for y E [c, d] }.
Let D = Dx n Dy and let f be a real-valued continuous function on D.

(a) Show that D E u(~R x SSG~) and moreover Dis a compact set in IRx. x IRy.
(b) Show that f is ILL x ILL -integrable on D and furthermore we have the equalities:
{ f d(ILc. x ILL) = { [ { f(x, y) ILc.(dy)] ILL (dx)

Jn J[a,b] Jrxl(x.),gl(x)l
= { [ { f(x, y) ILL (dx)] ILL (dy).

J[c,d] J[hJ (y),h2(y)]
Proof. 1. Let us show that Dx e u(SS1? x SS ?). For n EN, let

b-a
a= Xn,O < · · · < Xn,2ft = b where Xn,k- Xn,k-1 = ~ fork= 1, ... , 2",
and let
ln,k = [Xn,k-1,Xn,k]; m,.,k =min 81(x); Mn,k =max 82(X) fork= 1, ... ,2".
xei~.k xei.,k
Then let
28
(1) E,. = U ln,k X [m 11,k, Mn,k] E u(~P X SS1.; ;).
k=l
Note that Dx c E,. for every n e N and that (E,. : n e N) is a decreasing sequence of
sets. Let E = nneH E,. E a(~R X SSp). Then we have Dx c E. Then to show that
Dx e a(~J? x ~ .c), we showthatDx =E. This is done as follows.
Since Dx C E, to show that Dx = Ewe show that if(~, fJ) 'I Dx then(~, fJ) ¢E.
Suppose(~, 17) ¢ Dx. Now if~ ¢ [a, b] then(~, 17) 'I E,. for every n e Nand then
(~, 17) ¢E. Then consider the case that~ E [a,b]. Now since(~. 17) ¢ Dx and~ E [a, b]
we have either f1 < 81 (~) or f1 > 82(~). Consider for instance the case that '1 > 82(~).
Let c = '1- 82(~) > 0. Since 82 is continuous on [a, b], it is unifonnly continuous on
[a,b]. Thus there exists 8 > 0 such that l82(x')- 82(x'')l < ~ wheneverx',x" e [a,b]
and lx'- x"l < 8. Let no e N be so large that (b- a)/2110 < 8. Let ko = 1, ... , 2110
be such that~ E / 110 ,/co· (Since the closed intervals / 110 ,1, are not disjoint and have common
endpoints, such ko may not be unique.) Now we have 182(~) - M110 ,Jco I < ~ and then
(2)
(The triangle inequality Ia +hi ~ Ia I+ Ihi in 1ft implies the inequality llal-lhil ~ Ia- hi
as shown in Observation 15.6. Then for an arbitrary c e 1ft we have
IIa- cl- lb- ell ~ l<a- c)- (b- c)l = Ia- bl

and then
(3) Ia- hi ~ Ia- cl - lc- bl.

The inequality (2) above is an application of the inequality (3).) Now by (2) we have
(~.'I) 'I lno,ko x [mno,ko•Mno,ko] C Eno.

Then we have(~, 'I) ¢ nneli E, = E. This completes the proof that Dx = E and then
Dx E a(SBr x SB~).
By similar argument we show that Dy E u(SB::: x SBR). Then since u(SBR x SB:p:) as
au-algebra of subsets of Rx x R y is closed under intersection, we have D = Dx n Dy E
u(SB1-< x SB1;) .
The set E, defined by (1) is a bounded closed set in R x x 1fty and is thus a compact set
in Rx X OCy. Then Dx = nneT:T En is a compact set in OCx X R y. Similarly Dy is a compact
set in Rx x R y. Then D = Dx n Dy is a compact set in OCx x OCy.
2. WeshowedabovethatDisacompa.ctsetinRxxRyandD e u(SBpxSB H)- Letfbe
a real-valued continuous function on D. Then continuity off on D and compactness of D
imply that f is bounded on D. Also continuity off on D and r1(SB1<, x SBn.:;)-measurability
of D imply that f is u (SB., x IBF)-measurable on D . Observe also that since D is a bounded
set in R x x R y we have (ILL x ILL)(D) < 00. Then boundedness off on D and finiteness
of(ILL x ILL)(D) implythatf0 1!1 d(ILL x ILL)< oo. This showsthatthefunctionf on D
is ILL x ILL -integrable on D. Then the function lo · f on Rx x Ry is ILL x ILL -integrable
on OCx x Ry. Observe also that we have
(4)
According to Theorem 23.18 (Fubini), ILL x ILL -integrability of the function lo · f on

R x x Ry implies both the equality
(5) lxxR, lo · f d(ILL X ILL)= i:x [h, lo(x, y)f(x, y) ILL(dy) ]ILL(dx)
= { [ { J
f(x, y) ILL(dy) ILL(dx)
J(a,bJ J[g1(x),g2(x)]
and the equality
(6) LxxFylo · fd(ILL X ILL)= LY [Lx 1o(x,y)f(x,y)ILL(dx)]ILL(dy)

= { [ { f(x,y)ILL(dx)]ILL(dy) .
J(c,d] Jlh1(y),h2(y)]
Then combining (4) and (5), we have
(7) r f d(/1-L X /1-L) = r [}rgr

JD J[a,b] 1 (x),gz(x)]
j(x, y) /1-L (dy)] /1-L (dx),
and combining (4) and (6), we have
(8) rf
Jv
d(/1-c. X /1-c.) = r [r
J[c,d] J[h1 (y),h2(Y)l
j(X, y) /1-c. (dx)] /1-c. (dy).
With (7) and (8), the proof of (b) is complete. 1

Prob. 23.8. Consider the following integrals:

(a) r;
fo2 y 2 sinxy dy dx
(b) I; I: ~dydx
(c) IcJ Ii, cos x 2
dx dy
(d) I0
1
I: x 2eXY dx dy
(e) I~ /Jrx 0~ 1 dy dx
(f) r2 r4-x2 xe2Y d d
Jo Jo 4-
1 Y x.
Determine the domain of mtegration as a subset of the xy-plane and then evaluate the
integral.
Proof. (a) Ig I:
y 2 sin xy dy dx
The domain of integration is a rectangular triangle in the xy-plane bounded by three lines:
x = 0, y = 2 andy= x.
(b) Io" I:~ dydx

The domain of iitegration is a rectangular triangle in the xy-plane bounded by three lines:
x = O,y = rr andy =x.
1rr 1"
Ox
-sin Y dydx =
Y
1 1x=y -sin y dxdy = 1y=rr -
y=rr
y=Ox=O Y y=O
sin y
Y
[x Jx=y dy
x=O
=
("
Jo sinydy = [cosy L0
= 2.
(c) 0 f 1 I{,
cosx2 dx dy
y = 0, X = 2 and X = 2y.
1112
0 2y
cosx 2 dxdy = 1x=2 {1Y=! cosx dy }dx = 1x=2 cosx [y]y-~-z dx
x=O y=O
2
x=O
2
y=O
=
12
0
X
-cos
2
x 2 dx = -
1 [ sin x 2
4
]2 =
0
1
- sin 4.
4
(d) f 0
1
I:
x 2 eXY dx dy
y = 0, x = 1 andx = y.
11110 y
x 2 ~Y dxdy =1x=1 {1Y= x ~Y dy }dx = 1x=1 [x -~Y
x==<l y=O
2 1 ]Y= dx
x==<l
2
X y==<l
{xc..z - x} dx = [1-~ - -x2]1

2
=
1
11
0
1 1 e
2 2 0
= {-e - -} - - =- - 1.
2 2 2 2
(e) J~ ~ 1 dy dx
J]rx 0
The domain of integration is an area in the xy-plane bounded by a line x = 0, a line y = 2
and a curve y = .(/X.
1y=2 {1"=Y3- -1 d x } dy = 1y=2 -1- [x ]x=y3 dy

1812
0
1
--dydx
~ y4 + 1
=
r
y=O
1 3
x=O y4 + 1
2
y==<l y4 +1 x==<l
4
= lo y/+ 1 dy = 4[In (y + 1) Jo
=
1
4{ln17-lnl} = -4-.
In 17
(2
(f) Jo Jo
r4-x2
xe2Y d d
4-y Y x
The domain of integration is an area in the xy-plane bounded by a line x = 0, a line y = 0
and a curve y = 4- x2.
214-x2 xe2y 1y=4 {1"=~ -xe2y } 1y=4 -e2y-[x2Jx=~

1 0 0
--dydx=
4- y y=O
y=4 e2Y- --
4- Y
- d x dy=
4- y :t&=O
14 -1e Ydy
-
4- y 2
dy
2
y=O x==<l
= dy =
1 - 4- y 2
y=O 2 0
= -1 [ e ]4 = -{e
1 8 - 1}. I
2Y
4 0 4
Prob. 23.9. Consider the product measure space (Rx x Ry, cr(WlL x ~RL), ILL x ~LJ· Let
f be areal-valued function on Rx x Ry defined by setting
2
f(x,y) = e-<x'-+y ) for(x,y) E Rx x Ry.
Show that f is ILL x ILL -integrable on Rx x Ry and hxxiRy f d(ILL x ILL) = 1t.
(Hint: Apply the improper Riemann integral f~oo e-x dx =

2
../if.)
Proof. The function f is continuous on Rx x R y and therefore cr (9RL x 9RL) measurable on
Rx x Ry. Then thenonnegativityof f on Rx x Ryimpliesthattheintegrai};,,xxP, f d(ILL x
ILL) exists in [0, oo].
According to Theorem 23.19 (Fubini-Tonelli), the condition that
(1)
implies that f is ILL x ILL -integrable on Rx x R y and moreover we have the equality
(2)
Let us show that ( 1) holds. Thus we are to show that
Lz [i ,Y 2
e-<x'-+y ) ILL (dy) ]ILL (dx) < oo,
that is,
(3)
2 2
Now since e-Y is nonnegative on Ry, the integral f~· e-Y ILL (dy) exists and moreover
y
(4)
1 , e-y2 ILL (dy) =
hy
1 00
-00
e-y2 dy = .;ii.
Then by applying (4) twice, we have
(S) iz [L,
e-x
2 2
e-y ILL(dy) ]ILL(dx) = ../ii Lz 2
e-x 1LL(dx) = 1t < oo.
This proves (3). Thus f is ILL x ILL -integrable on Rx x R y and moreover (2) holds. Thus
Lzx ~', e-<x2+y2) (ILL XILL)(d(x, y)) = Lz e-x2[ LY e_Y2 ILL (dy) ]ILL (dx) = 1r by (5).

Prob. 23.10. Consider the product measure space (~x x ~Y• u(VJ1L x VRL), ILL x ~LJ·
Let f be a real-valued u(VRL x 9J1L)-measurable function on ~x x ~y- Suppose further
that
1° f is ILL x ILL -integrable on R x x Ry, that is, L~x 1 ~-t, f d(ILL x ILL) E R ;
2° for every x e R..,, the improper Riemann integral g(x) = f:O
f(x, y) dy exists in R
and g is VRL -measurable on ~x-
30 f~oo g(x) dx exists in R and f~oo g(x) dx = J~ ~ g(x) ILL (dx) .
Show that we have
1 'xxi:y f d(ILL X ILL) = L: {L: f(x, y) dy} dx.
(Thus fr!_"xR, f d(ILL x ILL) can be evaluated as an iterated improper Riemann integral.)
Proof. According to Theorem 23.18 (Fubini), condition 1o implies that
(1) L~xE, fd(ILL X ILL)= L~ [L, f(x,y)~LL(dy)]ILL(dx).

By2° we have
(2) g(x) = L: f(x, y) dye ~ for every x e Rx.
Now condition 1° is equivalent to the ILL x ILL-integrability of 1/1 and thus by Theorem
23.18 (Fubini) we have
(3) £" {1~, lf(x, y)IILL (dy)} ILL (dx) < oo.
Then (3) implies that fr,.,

lf(x, y)IILL (dy) < oo for a.e. x e ~x- Thus there exists a null
set N in the measure space (Rx, 9J1L, ILL) such that
(4)
l)_(' )'
lf(x, y)l ILL(dy) < oo for x E Rx \ N.
For x E ~x \ N, consider the function 1[-n,nJ(Y)f(x,y) for y E ~y- Then we have

11
~ 1[-n,n] (y)f(x, y) = f(x, y) and moreover 11[-n,n] (y)f(x, y)l ~ lf(x, y) I which is
a ILL -integrable function on Ry. Thus by Theorem 9.20 (Dominated Convergence Theorem),
we have for x e ~x \ N
(5) L, f(x, y) ILL (dy) = 1~ L, 1[-n,n] (y)f(x, y) ILL(dy)
= lim f f(x, y) ILL (dy) = lim j" f(x , y) dy
= L:
n-+00 J[-n,n]
f(x, y) dy = g(x) by 2°.

n-+00 -n
Thus we have
(6) L, f(x,y)tJ,L(dy) = g(x) forx E IH:.x \N.
Then since (lftx, VRL, tJ,L) is a complete measure space and g is VRL -measurable on IEtx, (6)
Jl{
implies that y f(x, y) tJ-L(dy) is a VJ1L-measurable function on lftx by (b) of Observation
4.20. Thus we have the VJ1L-measurability of f.k'., f(x, y) IJ-L(dy) on IH:.x and the equality
(7) h, f(x, y) IJ-L(dy) = g(x) for a.e. x E IH:.x.
l:xf: f d(tJ,L X IJ-L) = t~ g(x)tJ,L(dx) = /_: g(x) dx by 3°
= /_: {/_: f(x,y)dy}dx by2°.

Prob. 23.11. From the improper Riemann integral f~oo e-x dx = -.fii, we derive
2
~fi
2
(1) Jio.oo)e-ax 1LL(dx) = fora E (O,oo).
Show that for every n E N we have
2
(2) Jio,oo) e-ax x 211 ILL (dx) < oo for a E (0, oo),
and indeed with an arbitrary c E (0, a) we have
r vfL
2
-ax 211 (d ) 1 n!
(3) J[O,oo) e X ILL X :S 2 en a-c.
Proof. Letusprove(3). Leta E (0, oo) befixedandthenletc E (O,a) sothata- c > 0.

Now we have
so that
and then
e-ax X..,.
2 "- ____ 2 n!
< e-cu- -ecx
2
= -n!e - (a-c ,.--
)--2
- en en
Then we have
where the last equality is by (1) which is applicable here since a- c > 0. This proves (3).
Note that (3) implies (2). This completes the proof. 1
Prob. 23.12. From the improper Riemann integral J::'oo e-xz dx = .fir, we derive
~/fx
2
(1) J[o,oo) e-ax ILL (dx) = for a E (0, oo).
Show that for every a e (0, oo) and n e N we have
J(o,oo) e-ax x2n ILL (dx) = 2-(n+l) · 1 · 3 · 5 · · · (2n- 1).jira-~-n,
2
(2)
and in particular
(3) ho,oo) e_rz x 211 ILL (dx) = 2-(n+l) · 1 · 3 · 5 · · · (2n- 1).jir.
(Hint: Apply Proposition23.37.)
Proof. We prove (2) by induction on n e N. For n = 0, (2) reduces to (1) which is valid.
Let us show that if (2) is valid for n then (2) is valid for n + 1. We show this by applying
Proposition 23.3 7 by identifying our pair of variables (a, x) with the pair of variables (x, y)
in Proposition 23.37.
Now assume that (2) is valid for n. We want to show that (2) is valid for n + 1, that is,
we want to show
(4) r
J[O,oo)
e-ar x 2 (n+l) ILL (dx) = 2-(n+2) • } •3 • 5 • • • (2n + 1)-Ji"a-~-~~.
Let h be a real-valued function on (0, oo) x (0, oo) defined by setting
(5) h(a, x) = e-=" x2n for (a, x) e (0, oo) x (0, oo).
Then we have
0° ~!(a, x) = -e-ax x 2<n+l) for (a, x) e (0, oo) x (0, oo).
2
1° h(a, ·)is !.lJtL-measurableon [0, oo) for every a e (0, oo).

2° h(a, ·)is ILL -integrable on [0, oo) for every a e (0, oo) by (2) ofProb. 23.1 1.
3° l~!(a,x)l =e-="x2 (n+l) whichisiLL-integrableon[O, oo)foreverya e (O,oo)
according to (2) ofProb. 23.11.
Thus all the conditions in Proposition 23.37 are satisfied and consequently we have according
to (c) of Proposition 23.37 the equality
(6) r
j[O,oo)
oh (a, x) ILL (dx) = dd {
oa a j[O,oo)
r
h(a, x) ILL (dx) } .
Substituting0° and (4) into (6), we have
(7) - { e-ax2x2(n+l) ILL (dx) = !.___{ { e-xl x2n ILL (dx) }·

J[O,oo) da J[O,oo)
Now by our assumption of (2), we have
-d
da
{1[O,oo)
e -x2 x 2n ILL(d x) } =d- { 2 -(n+l) · 1 · 3 · 5 · · · (2n- 1)-vJTa
da
1- -'-"}
l
= (-1)2-(11+2) • 1 · 3 · 5 · · · (2n- 1)(2n + I).jira-~-n.
Substituting this in (7), we have (4). This completes the proof. 1

Prob. 23.13. Let f E L; (I~ , VRL, 11-L) and let

Y := ff!. {f.<: f(x - y) f(y) ILL (dy)} ILL (dx).
Show that y 2:: 0 and moreover we have fr~ f diLL = ±.JY.
Proof. Let/, g E L;(IR., 9JtL, ILL). According to Theorem 23.33, we have
For the particular case that f = g the last equality reduces to
y := L{L f(x - y) f(y) ILL (dy)} ILL (dx) = { L f(x) ILL (dx) r
2:: 0.
Then we have f p,_ f diLL = ±.JY. This completes the proof. 1

Prob. 23.14. Let j E L:(~ , 9JtL, ILL). Let a, fJ E IR \ {0} and let
Y := !_--;; {JI!; f(ax- y) f(fJy) ILL (dy)} ILL (dx).
Show that y ~ 0 and moreover we have fr, f diLL = ±.JiafJiy.
Proof. Let g and h be functions on IR defined by setting
(1) g(x) = f(ax) and h(x) = f(afJx) for x E JR.
Then by (2) of Theorem 9.32 (Linear Transformation of the Lebesgue Integral on JR), we
have
and similarly
Consider the integral Jfe f(ax - y) f(fJy) ILL (dy) for x E ~- Now we have
f(ax- y) = t(a(x- ~)) = g(x- ~).

and
f(fJy) = f(af3~) = h(~) -
Then we have
(4) L f(ax- y) f(fJy) ILL(dy) = Lg(x- ~) h(~) ILL(dy)

= Ia I L
g(x- y) h(y) ILL (dy) = lal(g * h)(x),
where the second equality is by (2) ofTheorem 9.32. Substituting (4) in the definition of y
above, we have by (3) of Theorem 23.33
(5)
Then we have

Prob. 23.15. Let f E L 1 (IR, mL, ILL). With h > 0 fixed, let us define a function qlh on R
by setting
1
tph(x) = h { f(t) ILL (dt) forx E R.
2 J(x-h,x+h]
(a) Show that qlh is a real-valued uniformly continuous function on JR.
(b) Show that qlh E L 1(IR, 9JlL, ILL) and II 'Ph Ill :::S 11/111·
Proof. 1. Let us show the uniform continuity of qlh on R. Now
1
'Ph(x) = h { f(t) ILL (dt)
2 J(x-h,x+h]
= 21h { f(t) ILL (dt) - 21h { f(t) ILL (dt).

lc-oo.x+hl lc-oo.x-h)
Let us define two real-valued functions on IR by setting
Ft(x) = { f(t)ILL(dt) forx E IR,

lc-oo,x+hl
F2(x) = { f(t) ILL (dt) for x E IR.

lc-oo.x-h)
To show that qlh is uniformly continuous on R, we show that F1 and F2 are uniformly
continuous on R. To show that F1 is uniformly continuous on IR, we show that for every
s > 0 there exists 8 > 0 such that
(1) IF1 (x') - Ft (x")l < s for any x', x" E IR such that lx'- x"l < o.
Now f is ILL -integrable on R. Then by the absolute uniform continuity of the integral with
respect to the measure, for every s > 0 there exists 8 > 0 such that
(2)
Let x', x" E IR be such that lx' - x"l < 8. We may assume without loss of generality that
x'::::; x". Then
IF1 (x") - F1 (x')l =I{ f(t) ILL (dt) - { f(t) ILL (dt) I
lc-oo,x"+hl lc-oo,x'+hl
= I{ f(t) ILL (dt) I
lcx'+h.x"+hl
:::S { lf(t)IILL(dt)
lcx'+h,x''+hl
< B,
by (2) since ILL((x' +h. x" + h1) = x"- x' < o. This proves the uniform continuity of F1
on IR. The uniform continuity of F2 on R is proved likewise.
2. To show that q:lh E L 1(IR, WiL, ILL), we show that llq:~h Ill < oo. Now we have
(3) L I
II({Jh ll1 = I({Jh(x) ILL (dx) = L~I l::c-h.x+h/(t) ILL (dt) ILL (dx)I
~ ~ £{! l[x-h.x+hJ(t)lf(t)IILL(dt)}ILL(dx)
= ~L {jg(t,x)lf<t>I~LL(dt)}~LL(dx),
where g is a real-valued function on IR x IR defined by
(4) g(t,x) = l[x-h.x+hJ(t) for (t,x) E IR x JR.
This function is the characteristic function of a set E c IR x IR which is a strip in the tx -plane
boundedbytwoparallellinesx = t-h andx = t+h. Now E isau(mL x9JtL)-measurable
set in the measurable space (IR x IR, u(WiL x ~mL)) and thus its characteristic function g
is a u(mL x VJlL)-measurable function on (IR x IR, u(9JtL x 9JtL)). Then since f is a
mL -measurable funCtiOn On the ffiea&Ulable Space (JFt, mL), the funCtiOn
g(t, x)lf(t) I for (t, x) E IR x 1Ft
is a u(9J1L x 9J1L)-measurable function on (IR x IR, u(9J1L x mL)). Since (1Ft, VXL, ILL)
is au-finite measure space, Tonelli's Theorem is applicable and thus we have
(5) L{L g(t, x)lf(t)IILL (dt)} ILL (dx) = Llf(t)l{ L g(t, x) ILL (dx)} ILL(dt).
Observe that for fixedx E 1Ft, g(·, x) is given by

1 fort E [x- h, x + h],
g(t,x) =
{ 0 fort E [x - h, x + h]c.
Now
t E [X- h, X+ h] ¢>X- h ::S t ::S X+ h
¢>x::St+handt-h::Sx
¢>X E [t- h, t + h].

Thus for fixed t E 1Ft, g(t, ·)is given by
1 forx E [t-h,t+h],
(6) g(t,x) =
{ 0 forx E [t-h,t+h]c.
Using this in the integral on the right of (5), we have
Llf(t)l{ L g(t, x) ILL (dx)} ILL(dt) = i lf(t)l{ L l[t-h.t+hJ(x) ILL(dx)} ILL(dt)
= 2h Llf(t)l ILL(dt) = 2hllflll·

Substituting this in (5) and then in (3), we have II({Jhlll ::S ll/ll1 < oo. I
Prob. 23.16. Let (X, Ql, p,) be a measure space. Let DE Ql and let f be a nonnegative
real-valued 2!-measurable function on D. Consider the measure space (IE.,~~;., p,L) and
the product measure space (X x R, u(Ql x ~~;), JL x JLJ. Let E be a subset of X x R
such that
E(x, ·) = 0 for x E De,
{ E(x, ·) = [0, f(x)) for xED.
Show that E E u(Ql x ~R) and moreover (JL x JLL)(E) = fv f(x) JL(dx).
Proof. Since f is a nonnegative real-valued Ql-measurable function on D, according to
Lemma 8.6 there exists an increasing sequence ofnonnegative simple functions (f/Jn : n E N)
on (X, Ql) such that
(1) <pn t f on D and lim { qJndiJ, = { f dJL.

n-+oo lv lv
For each n E N, let <pn be represented as
k,
(2) (/Jn = L an,i lvn,t
i=I
where {Dn,i : i = 1, ... , kn} is a disjoint collection in Ql with U~ 1 Dn, i = D and an,i 2::: 0
for i = 1, ... , kn. Next for each n E N consider the subset of X x R defined by
k,
(3) En= U Dn,i X [O,an,i).
i=I
Now Dn,i E Ql and [0, an,;) E ~IIi so that Dn,i X [0, an,i) E Q( X ~II! c u(Ql X ~F) for
i = 1, ... , kn and hence En E u(2t x ~ H-) and then
(4) (JL X IJ,L)(En) = (IJ, X IJ,L)(En)( u

kn
i=l
Dn,i X [0, an,i))
kn kn
= L(IJ- X JLL)(Dn,i X [O,an,i)) = LJL(Dn,i)JLL([O,an,i))
i=I i= l
kn
= Lan,iJL(Dn,i)
i=l
=
1
D
(/Jndl-£.
Now <pn t implies En t and f/Jn t f implies En t E, that is, E = lim En E u(Ql x 'B:R).
n-+oo
Then En t E implies
(IJ, X JLL)(E) = lim (JL X IJ,L)(En) = lim { (/Jn d!J- = { f djL,

n-+oo n-+oo}v Jv
by (4) and (1). This completes the proof. 1

§24 Lebesgue Measure Space on the Euclidean Space

Prob. 24.1. Let 0 be an open set in IF.n.
(a) Show that if 0 # 121, then JL~(O) > 0.
(b) Show that if 0 is a bounded set, that is, it is contained in a ball with finite radius, then
JL~(O) < oo.
Proof. 1. In IF. n, every non-empty open set is a union of open balls. Thus if 0 is a non-empty
open set in ocn then 0 contains an open ball Br (xo) where xo e IF.n and r > 0. Now an
open ball with radius r > 0 in IF. n contains an open cube C with edge 2 .Jn· Thus we have
JL~(O):;: JL~(C) = (2 :rnr > 0.

2. If 0 is a bounded open set in R n then there exists an open ball Br (xo) where xo e R n
and r > 0 such that 0 C Br (xo). Now Br (xo) is contained in an open cube C with edge
2r . Thus we have
JL~(O) :::; JL~(C) = (2r)n < oo.
Prob. 24.2. Consider the Lebesgue measure space (R n+l, VJI~+l, 1-'~+ 1 ) where n E N. Let
us identify Rn with the subset of R n+1 given by Rn x {0}. Show that IL~+l (R n) = 0 .
Proof. FormE Nand kE N, let
(1) Rm,k = [ - m, m ] 1 X • • • X [- m, m Jn X [- ~· ~] 1
C R n+ .
Then for each m E N, (Rm,k : k EN) is a decreasing sequence and we set
(2) Rm := klim Rm.k =

-+00
n
kEN
Rm.k = [ - m, m ]1 X ••• X [ - m, m ln X {0}.
Then (Rm : m E N) is an increasing sequence and we have
(3) lim Rm =
m-+oo
U Rm = R n X {0}.
mEl'l
Since (Rm,k : k E N) is a decreasing sequence, it is a sequence contained in Rm,1·

Observe that IL~+ 1 (Rm,k) = (2m)n~ and in particular IL~+ 1 (Rm,1) = (2m)n2 < oo. Then
by (b) of Theorem 1.26 we have
(4) ILn+l(Rm) = ILn+l( lim Rm,k) = lim ILn+l(Rm,k) = lim

L L k-->oo k-->oo L k-->oo
(2m)n~k = 0.
Then since (Rm : m E N) is an increasing sequence and (3) holds, we have by (a) of
Theorem 1.26
ILn+l (R n x {0}) = 1Ln+ 1( lim Rm) = lim 1Ln+ 1(Rm) = lim 0 = 0 by (4).
L L m-+oo m-+oo L m-+oo


Theorem. Consider the measure space (llt 11 ,~ k'n, p.~)- Letv be a measure on the measur-
able space (IR11 , ~v n) such that
1° v is translation invariant on ~ ,' n.
2° v(O) > Ofor every non-empty open set 0 in IR11•
3° v(B) < oofor every bounded set B E ~~_;;n.
Then there exists a constant c E (0, oo) such that v = c IL~ on ~[!:• and indeed cis given
bye= v((O, 1h X··· X (0, 1ln)-
Proot 1. Let us observe that if there exists c E (0, oo) such that v = c IL~ on ~ ~< • then in
particular for (0, lh x · · · x (0, 1] 11 E SB1~· we have
v((O, lh X··· X (0, lln) = CIJ-~((0, l]J X··· X (0, lln) = C ·1
so that we have
c = v((O, 1]J X··· X (0, 1Jn)·
2. (We prove our theorem by applying Theorem 21.11. We begin by verifying that the
conditions in Theorem 21.11 are satisfied here.)
Observe that :J:!c as defined in Definition 24.2 is a semialgebra of subsets of IR11 by
Proposition 24.3 and moreover SBu;~· = u(J:!c) by Proposition 24.4.
A cube in IR11 of the type (0, 1h x · · · x (0, 1]11 is a member of :r~c and moreover IR11 is
the union of countably many cubes of this type. We also have 11-~ (CO, lh x · · · x (0, lln) =
1 < oo. This shows that the measure J.l.-~ is u-finite on the semialgebra :r~c· By 3° we have
v((O, 1h x .. · x (0, 1]11) < oo. Thus the measure vis u-finite on the semialgebra J~.
3. Let us show that
(1) v = c IL~ on :J:!c where c = v((O, 1h x · · · x (0, 1]11).

For kt. ... , len E N, consider a box R = (0, ft]
x .. · x (0, i;].
The box (0, lh x .. · x (0, 1]11
is the disjoint union of kt · · · kn boxes each of which is a translate of R. By the translation
invariance of v each one of the kt · · · k11 boxes has the same v measure as R. Thus we have
v((O, 1h x · · · x (0, 1]11) = kt · · ·kn v(R) and then
1
(2) v(R) = kt .. ·k, v((O, lh X··· X (0, 1] 11) .
Let q1, ... , q 11 be positive rational numbers and consider a box Q = (0, ql] x · · · x (0, q11 ].
Now q1 = it"• ... ,q 11 = 1.: where kt, ... , k11 , mt, ... , m 11 E N. Then Q is the disjoint
union ofmt · · · m 11 boxes each of which is a translate of the box R = (0, f!] x · · · x (0, f;J.
Thus we have
1 1
(3) v(Q) = v((O, ql] x · .. x (0, q11 ]) = m1 · · · m 11 v((O,-] x
· .. x (0,- l)
kt kn
mt···mn ( )
= m1 · · ·m11 v(R) = v (0, lh x · · · x (0, 1]11 by (2)
kt · "kn
= q1 · "qn v((O, lh X .. · X (0, 1]11).
Let 011, ••• , ot11 be positive real numbers. For each i = 1, ... , n, let (Qi,j : j E N) be
a decreasing sequence of positive rational numbers such that Qi,j ai. Then we have a +
decreasing sequence of boxes ( (0, Ql,j] x · · · x (0, Qn,j] : j E N) and
.lim (O,Qt,j] X .. • X (0,q11,j] = n(O,Qt,j] X .. . X (0,q11,j]

J--+OO jEF
= (0, otl] X ••• X (0, Oln].
Then by (b) of Theorem 1.26 we have
(4) v((O,at] X ... X (O,a11 ]) =.lim v((O,qt,j] X ... X (O,q11,j])

J--+00
= lim q1 j ' · · qn j v((O, lh X .. · X (0, 1],.) by (3)

n.....,..oo ' '
= 011 .. • Oln v((O, 1h X .. • X (0, 1]11)

= J.£~((0, ott] X··· X (0, ot11 l) v((O,l]l X··· X (0,1]11 ).
Finally let R E :J~c be given by R = (at, bt] x · · · x (a11 , b11 ]. Then by the translation
invariance of v on 'B h' ~ we have
v(R) = v((a1, bl] x · · · x (an, b,.l) = v((O, b1- all x · · · x (0, b,.- a,.l)
= 1-£~ ( (0, bt -ad X .. • X (0, b11 -a,.]) v((0, lh X • •• X (0, 1]11 )
= 1-£~ ((alt btl X • .. X (a11 , b,.]) v((O, lh X .. • X (0,1] 11 )
= J.L~(R) v((O, lh x · · · x (0, l]n).
where the second equality is by the translation invariance of von 'Br;:~ and the fourth equality
is by the translation invariance of 11-~ on 'B ? ~. This proves (1).
4, We have shown that v and c 11-~ are two measures on the a-algebra 'B1,;on = a(:J~c)
such that v = c 11-~ on the semialgebra :J~c and moreover v and c 11-~ are u-finite on :J~.
Then by Theorem 21.11, we have v = c 11-~ on 'BRn. 1
Prob. 24.4. Let v be a measure on the measurable space(~ 11, 'B II':•). Suppose vis translation
invariant, v(O) > 0 foreverynonemptyopen set 0 inR 11 and v(K) < ooforeverycompact
set Kin~~~. Show that there exists a constant c E (0, oo) such that v = c J.L~ on 'B1~•. and
indeed c = v((O, 1]1 X··· X (0, l]n)·
(Comment Since a compact set K in ~ n is a bounded closed set, the condition in Prob. 24.4
that v(K) < oo for every compact set K in Rn is less stringent than the condition in
Prob. 24.3 that v(B) < oo for every bounded set B E 'B1;'•· Thus Prob. 24.4 is an extension
of Prob. 24.3.)
Proot We prove Prob. 24.4 by modifying the proof ofProb. 24.3. Specifically we verify that
after replacing the condition in Prob. 24.3 that v(B) < oo for every bounded set B E 'Bv ·
with the condition in Prob. 24.4 that v(K) < oo for every compact set Kin R 11 , we still
have the u-finiteness of von 'J~c· This is shown as follows.
Consider a cube in ~n of the type C = (0, lh x · · · x (0, lln· Such a cube is a member
of 'J::C and moreover R n is the union of countably many such cubes. Consider a cube in R n
of the type K = [0, lh x · · · x [0, lln· The set K is a bounded closed set in~~~ and hence
it is a compact set in lRn. Then we have v(K) < oo by our assumption on v. Then since
C c K we have v(C) ::::: v(K) < oo. This implies that vis a-finite on 'J~. 1
Prob. 24.5. We define a curve C in R 11 as a mapping C = (q:~t. ... , q:~11 ) of an interval

[a, b] c R into R11 where q:~; is a real-valued function on [a, b] fori = 1, ... , n. The
graph of the curve Cis the image of [a, b] by the mapping C, that is, f = C([a, b]) =
(q:~t, ... , q)n) ([a, b1).
Assume thatq:~; satisfies a Lipschitz condition lq:~;(t') -ipi(t")l ~a; It' -t"l fort', t" E [a, b]
where a; > 0 fori= 1, ... , n.
(a) Show that f E ~En.
(b) Show that when n = 1 we have I-LL (f) = IDaX[a,b] q1 - min[a,b] q:~.
(c) Show that when n ~ 2 we have J-L~(r) = 0.
Proof. 1. We assume that q:~; satisfies a Lipschitz condition on [a, b], that is, we assume
that there exists a; > 0 such that
lq:~;(t )-q:~;(t")l ~a;lt'-t"l fort 1,t11 E [a, b).
1
(1)
Now condition (1) implies that q:~; is continuous on [a, b). This then implies that C =
(q:~t, ... , q1n) isacontinuousmappingof[a, b] into R 11• Now [a, b] is a compact set in R and
the image by a continuous mapping of a compact set is a compact set. Thus r = C ([a, b])
is a compact set in R 11 and then r E SBp~.
2. When n = 1, we have a real-valued continuous function q:~ on [a, b], a finite closed
interval in R. This implies that r = C([a, b]) = q1([a, b]) is a finite closed interval in R
given by [min[a,b] q:~, IDaX[a,b] q:~]. Then we have I-LL (f) = IDaX[a,b] q:~ - min[a,b] q:~.
3. Consider the case n ~ 2. Let us write R n = R 1 x · · · x R 11 for definiteness of
notation. According to Proposition 24.6 we have
(2) (~-t~t<r) = inf { LkeTT v(R~:): (Rk: kEN) c J~, Ukel l RA: ::J f } .
To show that~-t~(f) = 0, by Lemma2.6 it suffices to show that (~-t~)*Cr) = 0. This is done

as follows.
FormE N,let
b-a
(3) a= to< tl < ... < 12• = b where l j - tj-1 =2m"" for j = 1, . ..• zm.
For each i = 1, ... , n, we have
(4)
This implies that the section of the graph of IPi in R; corresponding to the subinterval
[tj-1. tj] of the interval [a, b) is contained in the interval [q;~;(tj). q;~;(tj) +a;~] c R;.
Then the section of the graph f = C([a, bl) = (q:~1, ... , q:~n>([a, b]) corresponding to
the subinterval [t j-1, t i] is contained in the box
b-a b-a
Rm,j = [q:~1(tj), q:l1 (tj}+a12m""] x · · · x [q)n(tj), q;~11 (tj)+a11 Tm""J for j = 1, ... , 2m.
Then we have
2"'
(5) f c URm.i·
j=l
Note also that ( u~:l Rm,j : m EN) is a decreasing sequence of sets. Then observe that
v(Rm.j) =at··· an(~r and thus we have
Now n ~ 2 implies that n - 1 ~ 1. Thus we have

2"'
(7) lim v(
m-+oo
U Rm j) =
'
lim
m-+oo
(_!_)n-l
2"'
a1 • • · a 11 (b- a) 11 = 0.
j=l
By (2) we have
2"'
(8) (~-t~)*(r):::; v(URm,j) foreverym E N.
i=l
Then we have
2"'
(~-t~)*(r) :S m~oo v( U Rm,i) = 0 by (7).
j=l

§25 Differentiation on the Euclidean Space 473
§25 Differentiation on the Euclidean Space

Prob. 25.1. Let f be an extended real-valued ~-measurable function on IRn. Show that
f E £}oc(IR", 9Jl~, JL~) if and only if for every x E IR" there exists rx > 0 such that f is
JL~-integrable on B(x, rx).
Proof. 1. Suppose f E L}oc(IR", m~, JL~). Then f is JL~-integrable on every bounded set
E E 9~. Now for an arbitrary x E IR" and r > 0 we have B(x, r) E 9~ and B(x, r) is a
bounded set in IR". Thus f is JL~-integrable on B(x, r).
2. Conversely suppose for every x E IR"thereexists rx > 0 such that/ is JL~-integrable
on B(x, rx). To showthatf E L}oc(IRn, ~. JL~) we show that f is JL~-integrableonevery
bounded set E E 9~. Let E be a bounded set in IR" and E E 9~. Then its closure E is a
bounded closed set in !Rn and hence it is a compact set in !Rn. Now foreachx E E consider
B(x, rx). Then {B(x, rx) : x E E} is an open cover of the compact set E. Thus there exists
a finite subcover of E, that is, there exist x1, ... , Xk E E such that
It
E C UB(x;,rx1).
i=l
Then we have
This shows the JL~ -integrability of If 1on E. Then since E c E, we have the JL ~-integrability
of 1/1 on E. This is equivalent to the JL~-integrability off on E. 1
Prob. 25.2. (a) Show that iff is a real-valued W1~-measurable function on IR" and f is
bounded on every bounded subset of IR", then f E .cJoc(IR", ~. ~-t~).
(b) Show that iff is acontinuousreal-valuedfunctionon IR", then f E .Cfoc(IR", ~ . J.L~)-
Proof. 1. Let us prove (a). To show that f E .cfoc(IR", 9~, 1-1-~). we show that f is
~-~-~-integrable on every bounded set E e ~- Let E be an arbitrary bounded set in~.
Now by assumption f is bounded on E. Thus there exists M ~ 0 such that If I ::=: M on E.
Also since Eisa bounded set in IR" we have J.L~ (E) < oo. Then we have
Thus f is 1-1-~-integrable on E. This shows that f E .cfoc (Ill", 9~, 1-1-~).

2. Let us prove (b). Iff is a continuous real-valued function on Ill" then f is 2)_;,~
m.easurable and consequently ~-measurable on Ill".
Toshowthatf E .cfoc(IR", ~. 1-1-~). weshowthatjiSJ.L~-integrableoneverybounded
set E E V~. Let E be an arbitrary bounded set in V~. Then the closure E is a bounded
closed set in IR", that is, E is a compact set in Ill". Then the continuity of f on Ill" implies
that f(E) is a compact set and hence a bounded set in Ill. Thus f is bounded onE and
certainly bounded on E. Thus there exists M ~ 0 such that 1/1 ::=: M on E. Also since E
is a bounded set in IR" we have J.L~(E) < oo. Then we have
Thus f is ~-~-~-integrable on E. This shows that f E .cfoc(lll", V~, ~-t~)- I

Prob. 25.3. Definition. Let {h, : r E (0, oo)} be a collection of real-valued functions on
Rn. Consider {h, (x) : r E (0, oo)} for x E Rn.
(a) We say that lim h,(x) =~if there exists~ E R such that for every e > 0 there exists
r~o
8 > 0 such that lh,(x)- ~I < eforr E (0, 8).
(b) We say that lim h, (x) = oo iffor every M > 0 there exists 8 > 0 such that h, (x) 2:: M
, .....o
forr E (0, 8).
(c) We say that lim h,(x) = -oo iffor every M > 0 there exists 8 > 0 such that h,(x) ~
r~o
-M forr e (0, 8).
(d) We define
limsuph,(x) = lim { sup h,(x)} and liminf h,(x) = lim { inf h,(x) }.
7 -..o d~o re(O,&) r~o &~o re(O,&)
Observation. Observe that sup h, (x) decreases as 8 ~ 0 so that lim { sup h, (x)}
r e(O,&) &-+0 re(O,&)
always exists in R. Similarly inf h, (x) increases as 8 ~ 0 so that lim { inf h, (x)}
re(0,6) 8-+0 re(O,&)
always exists in R. Therefore we have -oo ~ lim infr-+0 h, (x) ~ lim sup,...., 0 h, (x) ~ oo.
Theorem. Let {h, : r E (0, oo)} be a collection of real-valued functions on Rn. Consider
{h,(x) : r E (0, oo)} for x E Rn.
(a) lim h,(x) = ~ E R if and only if liminf h,(x) =lim suph,(x) ~-
r-+0 r-+0 -..o
=
7
(b) lim h,(x) = oo if and only if liminf h,(x) = lim suph,(x) = oo.
r-+0 r-+0 r-+0
(c) lim h,(x) = -oo if and only if liminf h,(x) = limsuph,(x) = -oo.
r-+0 r-+0 r-+0
Prove the theorem above.
Proof. 1. Let us prove (a).

1.1. Suppose liminfh,(x) = limsuph,(x) = ~ E IR. To show that limh,(x) = ~.
r-+0 7 -..o r-+0
we show that for every e > 0 there exists 8o > 0 such that
(1) lh,(x)- ~I< e forr E (O,oo).
Now by our assumption we have lim inf h, (x) = ~, that is, lim { inf h, (x)} = ~. This
r-+0 &-+0 re(O,&)
implies that for every e > 0 there exists 81 > 0 such that
inf h,(x)- ~~ < e foro E (0, 81).

Ire(O,&)
This implies
inf h,(x)- ~~ <e.
Ire(0,61)
Similarly our assumption of lim sup h, (x) = ~ implies that there exists 82 > 0 such that
r-+0
I sup h,(x)- ~~ <e.

re(0,62)
Let c5o = min{81. 82}. Then we have
(2) inf h,.(x)- ~~ < and sup h,.(x)- ~~

Ire(0,8Q)
Ire(0,8Q) E <E.
For r E (0, c5o), we have
(3) -e < inf h,.(x)- ~ :::: h,.(x) - ~ :::: sup h,.(x)- ~ < e for r E (0, c5o).
re(0,8o) r e(0,8Q)
This proves (1).

1.2. Conversely suppose lim h,. (x) = ~ E IR. Then for every e > 0 there exists 8 > 0
r-->0
such that
-E < h,.(x)- ~ < e for r E (0, 8).
Then we have
-e :::: inf h,.(x)- ~ :::: h,.(x)- ~ :::: sup h,.(x) - ~ ::::e.

re(O,A) re(O,d)
Since inf h,.(x) increases and sup h,.(x) decreases as 8 ~ 0, we have

re(O,d) re(O,&)
-E ::=: lim { inf h,.(x)}- ~ ::=: h,.(x)- ~ ::=: lim { sup h,.(x)}- ~ ::::E.
d-->0 re(O,A) a--.o re(O,d)
lim { inf h,.(x)} - ~ = lim { sup h,.(x)} - ~ = 0,

6--.0 re(O,d) s--.o re(O,d)
that is,
lim { inf h,.(x)} =lim { sup h,.(x)} = ~·
&--.0 re(O,d) d--.0 re(O,d)
Thus we have
liminf h,.(x) = limsuph,.(x) = ~.
r-->0 r-->0
2. Let us prove (b).

2.1. Suppose we have lim inf h,. (x) = lim sup h,. (x) = oo. Then lim { inf h,. (x)} =
r-->0 r-->0 6--.0 re(O,d)
lim inf h,. (x) = oo. This implies that for every M > 0 there exists f'/ > 0 such that
r-->0
inf h,.(x) ~ M for 8 E (0, f'/),

re(0,8)
and then
h,.(x) ~ M for r E (0, 71).
This shows that lim h, (x) = oo.
r-->0
l.l. Conversely suppose lim h,(x) = oo. Then for every M > 0 there exists 8 > 0
r~o
such that h, (x) 2:: M for r E (0, 8) and then
inf h,(x) 2:: M.

re(O.&)
Since inf h, (x) increases as I) -+ 0, we have

re(0,6)
lim { inf h,(x)} 2:: M.

8-+0 r e(O,&)
Since this holds for every M > 0, we have lim { inf h,(x)} = oo, that is, we have
&-+0 re(O,&)
liminf h,(x) = oo. Then since liminf h,(x) ::; limsuph7 (x), we have limsuph,(x) =
r-+0 r-+0 r-+0 r-+0
oo also.
3. (c) is proved by the same argument as for (b). 1
Prob. 25.4. Let I be areal-valued function on~ defined by l(x) = 0 if x E ~is rational
and I (x) = 1 if x E Ilt is irrational.
(a) Show that IE .cJoc(~. mL, ILL).
(b) Find AI.
(c) Show that AI= I a.e. on(~. 9J1L, ILL).
Proof. (a)Ourfunctionlisboundedonllt. Thus I E [.foe(~. mL. ~LJ by(a)ofProb. 25.4.

(b) The set of rational numbers in~ is a null set in the measure space(~. 9RL, ILL).
Thus I = lL< a.e. on ~. Then we have for every r > 0 and x E ~
(A, f)(x) =
ILL
(B~ r )) 1{B(x.r) l(y) ILL)(dy)
X,
=
ILL
(B~X' r )) 1{B(x,r) l i;'(Y) ILL)(dy)
1
= - ·1·2r = 1,
2r
and then
(Af) (x) = lim (A,. l)(x)
r-+0
= 1 for every x E ~.
This shows that AI= 1 on~.

(c) We showed above that I= I E a.e. on(~. 9J1L, ILL) and AI= 1 on(~. 9RL, ILL).
Thus Af = f a.e. on(~. 9J1L, ILL) . I
Prob. 25.5. (a) Show that iff E ,el (Rn, m~, J.L~). then for each r E (0, oo) the function
A,. f is uniformly continuous on R n.
(b) Show that iff E L}oc(Rn, m~, IL1), then for each r E (0, oo) the function A,f is
uniformly continuous on every bounded subset of ~n.
Proof. 1. Let us prove (a). Let f E L 1 (~n, ~· J.L~). Let r E (0, oo) be fixed. To show
that the function A,. f on ~ n is uniformly continuous on ~ n, we show that for every e > 0
there exists 8 > 0 such that
(1) I(A,. f)(x') - (A,. f) (x") I ~ e for x', x" E JR.n such that lx' - x"l < 8.
Observe that we have
(A,. J)(x') - (A,. f)(x") = ~{ r

1B(x',r)
f(y) ILL (dy) - r
1B(x",r)
f(y) ILL (dy) }.
where M = J.L~ ( B(x', r)) = J.L~ ( B(x", r)) > 0. Then we have
(2) I<Arf)(x')- (A,.f)(x">l = Ml I r

1B(x1,r)
f(y)J,LL(dy)- r
1B(:x'1,r)
f(y)J,LL(dy)l
=~I in lB(x',r)(y)f(y) ILL (dy)- i:n lB(x",r)(y)f(y) ILL(dy)l
~ ~ i.llB(x',r)(y)f(y) -lB(x",r)(Y)IIf(y)l J.LL(dy)

~~ £n I1B(x 1,r)\B(:x'1 ,r)(Y) + 1B(:x'1 ,r)\B(x',r>(Y)IIf(y)l ILL(dy)
=Ml { { lf(y)IJ.LL(dy)+ { lf(y)IJ.LL(dy)}.

1 B(x',r)\B(:x'',r) 1 B(x",r)\B(:x',r)
Since f E L 1(~ n, m~, IL1), according to Theorem 9.26 (Uniform Absolute Continuity
of the Integral with Respect to the Measure), for every e > 0 there exists 71 > 0 such that
(3) L lf(y) IIL~(dy) < e for any E E ~~ such that IL1(E) < fl.
LetusestimateJ.L~(B(x',r) \ B(x",r)) andiL1(B(x",r) \B(x',r)). Nowwehave
J.L~ (B(x 1
,
11
r) \ B(x , r)) = L. lB(x',r)\B(x",r)CY) J.L~(dy)
= 1 l" n
{lB(x',r)(y) -lB(x",r)(Y)} VOJ.L1(dy).
Then we have
(4) )!!,J.L~(B(x 1, r) \ B(x ,r)) = xJ!!" £.,;. ~ {lB(x',r)(Y) -lB(x'',r)(Y)} VOJ.L~(dy)

11
= J?..
{ ,..x'-+xn
lim {lB(x',r)(Y) -lB(x'',r)(Y)} VOJ.Ln(dy)
L
= i. OIL~(dy) = 0,
where the third equality is implied by the equality that _}im, ls(:x',r)
..--+x
= ls(x",r)• a.e. on R n
according to Observation 25.4. Now the equality (4) implies that for an arbitrary 71 > 0
there exists 8' > 0 such that
IL~ (B(x', r) \ B(x", r)) < Tf if x', x" E Rn such that lx'- x"l < ~'.
Similarly for an arbitrary TJ > 0 there exists lY' > 0 such that
~-t~(B(x",r) \ B(x ,r)) < 71 ifx',x" E Rnsuchthat lx'-x"l < ~".

1
Let 8 = min {81, 811 } > 0. Then for x', x" E Rn such that lx' - x" I < 8, we have
(5) ~-t~(B(x',r) \ B(x",r)) < TJ and ~-t~(B(x",r) \ B(x',r)) < 71·
This implies according to (3) that
(6) { lf(y)IILL (dy) < e and { lf(y)IILL (dy) < e.

JB(:x',r)\B(x" ,r) JB(x" ,r)\B(:x',r)

1 2
(7) I<Arf)(x')-(A,.f)(x")l ::S M{e+e}= Me.
This proves (1).

2. Let us prove (b). Let f E .Cfoc(Rn, V~, IL~). Let r E (0, 00) be fixed. Let us show
that the function A,. f on 1Ftn is uniformly continuous on every bounded subset of R n.
Let E be a bounded subset of !Ftn. Then there exists R > 0 such that E c B(O, R). Let
g be a function on R n defined by
g = lsco,R) f on R n.
Then since f E L}oc(Rn, ~· ~-t~). we have
fr)KI d~-t~ = fr~~ lsco.R) 1/1 d~-t~ < oo.

This shows that g E £ 1 (!Ftn, ~. IL~). Then by (a), A,.g is uniformly continuous on R n
and in particular uniformly continuous on B(O, R) :> E. Now on B(O, R) we have g =f.
Thus A,. f is uniformly continuous on B(O, R) :> E . 1
Prob. 25.6. For f e LJoc(Rn, v.n~, p,~), the Hardy-Uttlewood maximal function Mf off
is a nonnegative extended real-valued function on R n defined by setting for x e R n
1
(Mf)(x) = sup ~~(B (x,r)) JB(x,r) lfld#L~·
rE(O,oo) L
For x E IRn, let ltx be the collection of all open balls in IRn that contain x. Let us define a
nonnegative extended real-valued function M* f on !Rn by setting for x e !Rn
(M* f)(x) = sup ~ cc> fc 1/1 dJL~.
1
Ce!l:.r ~L
Show that (Mf)(x) :::=: (M* f)(x) :::=: 2n(Mf)(x) for x E !Rn.
Proof. 1. Observe that {B(x, r) : r E (0, oo)} c ltx for each fixed x E !Rn. This implies
sup 1
re(O,oo) I-L1(B(x,r))
1 B(x,r)
1/1 d#J.n
< sup -1- [ 1/1 d#J.n,
L- Celt_. I-L1(C) C L
that is, (Mf)(x) :::=: (M* f)(x) for every x e !Rn.

2. Now lt:r is the collection of all open balls in !Rn that contain x. For r E (0, oo), let
( lt:r ), be the collection of all open balls in R n that contain x and have radius r. Then we
have<!:..,= Ure(O,oo)(<!:..,),. Thus we have
Jc 1/1 d#L~ = 1/1 d#L~ }.

1 1
(1) (M* f)(x) = sup n (e) ( sup { sup n (e) (
Cel!:_.. #LL re(O,oo) Ce(~t_..), #LL Jc
Nowife e (<!::r),,thene C B(x,2r). Thuswehave
(2) { 1/1 d#L~ :::=: { 1/1 dJL~ fore E (ltx),.

Jc JB(x,2r)
Also if e E (<!:x)r then e is a translate of B(x, r). Similarly B(x, 2r) is a translate of
B(O, 2r). Thus byTheorem24.27 (Thmslationlnvariance of (Rn, v.n~, 1-L~)) and Corollary
24.33 (Positive Homogeneity of (Rn, ~· JL~)), we have
(3) JL~(B(x,2r)) =JL~(B(0,2r)) =#J-~(2B(O,r)) =2n#J.~(B(O,r))
= 2ni-L~(B(x, r)) = 2ni-L~(C).
1
- n(e)
#LL C #LL
1
- [1/ldJLLn <- - n(e)-1
B(:r,2r) #LL
2
1/ld#LLn-- n(B(n 2r))
X, B(:r,2r)
lfldJLL,
n 1
and then
(4)
-£1!1 dJL~}
1
(M* f)(x) = sup { sup -
re(O,oo) Ce(~x)r IL1 (C) C
1
< 2n sup { 1/1 dJLn
- re(O,oo) IL1(B(x, 2r)) JB(;rc,2r) L
1
= 2" sup { 1/1 dJL~
re(O,oo) IL1(B(x,r)) JB(;rc,r)
= 2"(Mf)(.x).
This completes the proof that (M* f)(x) ::::: 2n(Mf)(x) for x E !Rn. 1
Prob. 25.7. Consider (~n, Wi~ .1.1.1). Let E E Wi~. Show directly from the definition of
the symmetric density 8s(E, ·)of E that 8s(E, x) exists for a.e. x E ~nand furthermore
83 (E,x) = lim "~(EnB(.v>) = { 1 forae. x E E,
' r--+0 ~'l(B<x.r)) 0 forae. x E Ec.
Proof. It suffices to show that for every N E N, we have
lim IL1 (En B(x, r)) _ { 1 for a.e. x E En B(O, N),

(1)
r--+0 IL~(B(x,r)) - 0 fora.e.xEEcnB(O,N).
Now we have
JL1(E n B(x, r)) f r.;n lE(Y) lB(x,r)(y) ~-t1(dy) fa(x,r) lE(y) JL~(dy)
--=-.:........,..--,---'- = = ---''-'-'--,------":-----
IL~(B(x,r)) p,~(B(x,r)) p,~(B(x,r))
Then for x E B(O, N) and r E (0, 1), we have
{ lE(Y) IL~(dy) = { lE(Y) la(O,N+l){y) JL~(dy).

JB(x,r) B(x,r)J
Thus we have
IL~(E n B(x,r)) fa(x,r) lE(Y) la(O,N+l)(Y) JL~(dy)

(2)
p,~(B(x,r)) JL~(B(x,r))
for x E B(O, N) and r E (0, 1).
Now lE ·lB(O,N+l) E £,l(~n) C Lloc<~n) so that by Theorem 25.12, we have
lim JL~ (En B(x, r)) = lim fa(x,r) lE(Y) lB(O,N+l)(Y) JL~ (dy)
r-+O p,~(B(x,r)) r--+O JL~(B(x,r))
= lE(X) lB(O,N+l)(X) for ae. X E ~n.
for a.e. x E B(O, N)

forae. x E En B(O, N)
for ae. x E Ec n B(O, N).

Prob. 25.8. Consider (~n, ~. 1-'~). Let E E ~~. Show that the symmetric density
8s(E, x) exists for every x E A(lE) and furthermore
l)r,(E, x) = lim 1-1-~ (EnB(x,r)) = { 1 for every x E En A(lE),
' r-->0 1-1-1(B(x,r)) 0 foreveryxEEcnA(lE).
Proof. (This problem is a particular case of Theorem 25.30. We present an alternate proof.)
1. By Definition25.13, we have
-lE(x)l~-t~(dy) = 0.
1
(1) X E A(lE) #lim ( ) { llE(Y)
r-->0 JL~ B(x, r) JB(x,r)
According to Definition 25.15, we have
. JL~(E n B(x, r)) . fB(x,r) lE(y) JL~(dy)

(2) 8~(E, x) = lim ( ) = lim ( ) ,
' r-->0 11-~ B(x,r) r-->0 11-~ B(x,r)
provided the limit exists.

2. Letx E A(lE). Then by (1) we have
and this implies
(3)
Case (i). For x E En A(b), we have b(x) = 1. Then (3) reduces to
'
lim
r-->0 11-~
( 1
B(x, r)
) 1
B(x,r)
{ lE(Y) - 1} JL~(dy) = 0,
and then
b(y) ~-t~(dy)- JL~(B(x,r))} = 0,
1
lim ( ){ f
r-->0 IL~ B(x, r) }B(x,r)
and thus
JL~(dy) =
1
lim ( ) { b(y) 1.
r~OIJ-~ B(x,r) JB(x,r)
Substituting this in (2), we obtain 8g(E, x) = 1.

Case (ii). For x E Ec n A(lE), we have lE(x) = 0. Then (3) reduces to
IJ.~(dy) = 0.
1
lim ( ) { b(y)
r-->0 IJ.~ B(x,r) JB(x,r)
Substituting this in (2), we obtain 8g(E, x) = 0. This completes the proof. 1

Prob. 25.9. Let E = {(~I. ~2) e IR2 : ~~ ~ 0, ~2 ~ 0} c IR 2, where (~I. ~2) is an orthogonal
coordinate system in JR 2 . Show that A(b) = (BE)c.
Proot By (b) of Proposition 25.29, we have BE ~ Ac(lE). It remains to show
aE C Ac(lE).
By Definition 25.13, we have
-lE(x)I~A-~(dy) =
1
x E A(lE) #lim ( ) { llE(Y) 0.
r~o ~-~-~ B(x,r) JB(x,r)
a
Now E is the union of the positive ~~-axis and the positive ~2-axiS. Let X E E. Since a
aE c E, we have h(x) = 1. There are three separate possible cases: (i) x = (a, 0) where
a> 0; (ii) x = (0, b) where b > 0; and (iii) x = (0, 0).
Case (i). We have x = (a, 0) where a > 0. Let r > 0 be so small that a - r > 0. Then
{ lh(y)-h(x)I~A-~(dy)= { {1-h(y)}~-!-~(dy)
J B(x,r) J B(x,r)
1 1
=~-i-~(B(x,r))-
2 1-'~(B(x,r)) =
2 1-1-~(B(x, r))
and thus
lE(x)I~A-"(dy) =lim~= ~ # 0.
1
lim ( ) { llE(Y)-
r~o ~-~-~ B(x, r) J B(x,r) L r~o 2 2
This showsthatx rt A(lE) andhencex E Ac(lE).
Case (ii). We have x = (0, b) where b > 0. Let r > 0 be so small that b - r > 0. By
the same argument as in Case (i) we have
-lE(x)I~A-~(dy) = -2 1-1-~(B(x,r)).
1
{ llE(Y)
Js(x,r)
Then
lim
7~0 ~-~-~
( 1
B(x, r)
) 1B(x,r)
Ih(y)- h(x) I" 1 t
1-1-L(dy) =lim-=-#
7~0 2 2
0.
This showsthatx rt A(lE) andhencex e Ac(lE).

Case (iii). We have x = (0, 0). In this case we have
{ llE(Y)-lE(x)I~A-~(dy)= { {1-lE(y)}~-!-~(dy)
J B(x,r) J B(x,r)
=~-i-~(B(x,r))- ~~-~-~(B(x,r)) = ~~-~-~(B(x, r)).

Then we have
lE(x)I~A-~(dy) =lim~= ~ # 0.
1
lim ( ) { ltE(Y)-
7~0 ~-~-~ B(x, r) J B(x,r) r~O 4 4
This shows that x 'I A(b) and hence x e A c(h). This completes the proof that BE c
Ac(1E). I
Prob. 25.10.
Prolog. Consider (I~n, 9~, IL~)- For x e !Rn we write [ = {E7 (x) : r e (0, oo)} for
a collection in ~v~ that shrinks nicely to x. Note that S = {B(x,r) : r e (0, oo)} is a
particular case of[. Let E e ~. By Definition 25.25 we have
• ·(E ) _ lim 14~(EnEr(x)) and. arti" ul • ·(E ) _ lim 14~(EnB(x,r))

01. ,X - ( ) mp C ar OS , X - ( ) ,
r~o 141 E,. (x) r~o 141 B(x,r)
provided that the limit exists.

By Theorem 25.28, if S;: (E, x) exists for every c then S;: (E, x) is independent of c.
By Theorem 25.30, if x e A(h) then 8dE, x) exists for every(. and hence 8dE, x) is
independent of[. In particular, if x e A(lE) then 8s(E, x) exists.
Problem. Consider(IR 2 ,9J1~,/L~). LetE = {C~1.~) e IR 2 : ~1 2::: 0,~ 2::: 0} c IR2,
where (~1, ~2) is an orthogonal coordinate system in IR 2. By Prob. 25.9, BE is the union of
the positive ~1-axis and the positive ~2-axis in the plane IR2 and moreover A(lE) = (BE)c.
(a)Letx1 = (1,0) ¢ A(h).
(a.l) Show that 8:-;(E, x1) = !-
(Thus Sis an example of(. such that 81:(E, x1) = !->
(a.2) Construct a collection [such that 8r (E, Xt) = 1.
(a.3) Construct a collection [ such that 8f (E, x1) = 0.
(aA) Construct a collection [ such that 8r (E, Xt) does not exist.
(b) Let xo = (0, 0) ¢ A(lE)- Show that 8g(E, xo) = !-
Proof. For (a), let r > 0 be so small that r < 1.
(a.l) Now E n B(x1. r) is the upper half of B(x1. r). Thus we have
• ·(E
OS , X1
) _lim
-
IL~(E n B(x1,r)) _ l"
- 1D1
~ -_ ~ •
,. HO 1L1(B(x1,r)) H02 2
(a.2) Let [ = {Er (x1) : r e (0, oo)} where E 7 (x1) is the open upper half of B(x1, r).
Then En E 7 (x1) =
E7 (x1) and thus
8r(E,xt) =lim JL~(EnE,(xt)) =lim IL~(E,(xt)) =lim 1 = 1.

· HO IL~(E7 (x1)) HO IL~(E7 (x1)) HO
(a.3) Let c = {E,(xt) : r e (0, oo)} where E,(xt) is the open lower half of B(xt, r).
Then E n E 7 (x1) = 0 and thus
(aA) Let E. = {E,(xt) : r e (0, oo)} where E,(xt) is the open upper half of B(xt, r)
when r is rational and E 7 (x1) is the open lower half of B(xt. r) when r is irrational. Then
E n E 7 (x1) = E, (x1) when r is rational and E n E7 (x1) = 0 when r is irrational. Thus we
have
IL~(E n E,(x1)) _ { 1 whenr is rational
IL~(E,(x1)) - 0 when r is irrational.
Then or (E, x1 ) = lim ~~ (EnE,.(x•>)

r~o ~~
(
E,. (x,)
)
do .
es notextst.
(b) If xo = (0, 0) then En B(xo, r) is the first quadrant of B(xo, r). Then we have
~ (E
0~
)_ .
11Dl
'xo - r-+0
11-~(E n B(xo,r))
( )
_lim!_!
- - •
' IL~ B(xo, r) r-+0 4 4

Prob. 25.11. Let a E (0, 1) and let tJ E (0, 21r) be such that .fn =a. Let E be a sector of
the plane JR2 sustaining an angle tJ at 0 E JR 2• Find A(lE). Determine o;;(E, ·)and show
that Ss(E, x) exists for every x E R 2.
Proof. 1. Let R 2 be represented by R 2 = {(~1, ~) : ~~ E R, ~2 E R } where (~1, ~2) is an

orthogonal coordinate system in R2 . Then BE= Lt U L2 where Lt is the positive ~~-axis
and L2 is the half-line emanating from (0, 0) and making an angle tJ with Lt. By the same
argument as in the proof of Prob. 25.9 we show that A(lE) = (iJE)c.
2. By Prob. 25.8, we have
(1)
O>(E x) =lim IL~(EnB(x,r)) = { 1 foreveryx E EnA(lE),
:> ' r-+0 IL~(B(x, r)) 0 for every X E Ec n A(lE).
We still have to determine o;;(E, x) for x ¢ A(lE). that is, x E Ac(b) = iJE.
Let x E iJE = Lt U L2. There are three separate cases to consider.
Case (i). Let xo = (0, 0) E iJE. Then we have
• ·(E ) -lim IL~(E n B(xo,r)) _lim aiL~(B(xo,r)) _lim _

(2) os , xo - - - a - a.
' r~o IL~(B(xo,r)) r~o IL~(B(xo,r)) r~o
Case (ii). Let x1 = (a, 0) E Lt C iJE where a > 0. Let r > 0 be so small that
En B(x1. r) is a half of B(x1. r). Then we have
(3) o;;(E,xt) =lim IL~(E n B(xt,r)) =lim !1L1(B(xt,r)) =lim!=!.

' r-+0 IL~(B(xt,r)) r-+0 IL~(B(xt,r)) r-+0 2 2
Case (iii). Let x2 = (a, a sin tJ) E L2 c iJE where a > 0. Let r > 0 be so small that
En B(x2,r) is a half of B(x2,r). Then we have
. IL~(E n B(x2,r)) . !11-~(B(X2,r)) . 1 1

(4) o~(E,x2)=lim ( ) =lim ( ) =lim-=-.
r~O IL~ B(x2, r) r-+0 IL~ B(x2, r) r-+0 2 2
This shows that o~ (E, x) exists for every x E lR 2 and moreover o~ (E, x) is given by (1)
for x E A(b) and o;;(E, x) is given by (2), (3) and (4) for x E iJE = Ac(b). 1
Prob. 25.12. Consider (!Rn, 9~, p,~). Let E = B(O, a) = {x E Rn : lxl < a} where
a> 0. Find A(1E)- Determine &s(E, ·)and show that 8s(E, x) exists for every x ERn.
Proof. 1. Our set E is an open ball with center at the origin and radius a > 0. Then
CJE = {x E !Rn : lxl =a}, a spherical surface with center at the origin and radius a > 0.
Now we have
(1) (CJE)c = {x E !Rn: lxl <a} U {x E !Rn: lxl >a}:= Ot U (h.

By Definition 25.13, we have
(2) x E .
A(1E)-<:} lim
r-+0 p,~
( 1
B(x, r)
) 1
B(x,r)
I1E(Y) -1E(x)I~J.~(dy) = 0.
Let us show that

(3)
2. By (b) of Proposition 25.29, we have CJE ::J A c(1E). It remains to show CJE c
Ac(1E). Letx E CJE. Then lxl =a and thus we have
(4) { I1E(Y) - 1E(X) I~J.~ (dy) = { { 1 - 1E(Y)} IJ,~(dy)

JB(x,r) JB(x,r)
= ~J.~(B(x, r) n B(O, a)).

Observe that
(5)
lim iJ.~(B(x,r) nB(O,a)) _!
r-+O JL~(B(x,r)) - 2·
Then
(6) lim 1 { I1E(Y) -1E(x)I~J.n (dy) = lim JL~ (B(x, r) n B(O, a))
r-+0 JL~(B(x,r)) JB(x,r) L r-+0 JL~(B(x,r))
1
= 2#0,
so that x E N(1E)- Thus CJE c A c(h). This completes the proof of (3).
3. According to Prob. 25.8, the symmetric density 8s(E, x) exists for every x E A(b)
and moreover we have
1 for every x E En A(h),
(7) 8s(E , x) =
{ 0 for every X E E c n A(1E)-
4. To show that the symmetric density 8s(E, x) exists for every x E !Rn, we show that
8s(E, x) exists for every x E A c(1E) = CJE. Let x E CJE. Then we have lxl =a and
. JL~(EnB(x,r)) . iJ.~(B(O,a)nB(x,r)) 1
8;;(E,x) =lim ( ) =lim ( ) =- by (5).
r-+0 IJ.~ B(x, r) r-+0 JL~ B(x, r) 2
Prob. 25.13. Let E be the set of all rational numbers in JR .

(a) Show that A (IE) = Ec.
(b) Show that 8s(E, x) exists for every x E IR and 8s(E, x) = 0.
Proof. (a) Let us show that A(lE) = Ec. By Definition 25.1, we have
x E .
A(h) *lim ( 1
r~o ILc. B(x, r)
) 1B(x,r)
lb(y)- h(x)IILc.(dy) = 0.
(a.l) Let X E E. Then lE(X) = 1. Now if y E E then lE(Y) = 1 and if y E Ec then

lE(Y) = 0. Then since ILc. (E)= 0, b(y) = 0 for a.e. y E JR . Thus for x E Ewe have
lim (
1
r~o ILc. B(x,r)
) r
Js(x,r)
I•E<Y> -•E<x> 111-L (dy)
=lim
1
HO ILc.(B(x,r)) JB(:x,r)
r 1o -•IILL(dy)
. ILc.(B(x,r))
=lim =1.
HO ILc.(B(x,r))
This showsthatifx e E thenx ¢ A(lE).

(a.2) Let x E Ec. Then lE(x) = 0. Now if y E E then lE(Y) = 1 and if y E Ec then
lE(Y) = 0 . Then since ILc. (E)= 0, lE(Y) = 0 for a.e. y e JR. Thus for x e Ewe have
This shows that if x e Ec then x e A(lE).

(a.3) We showed above that if x E E then x ¢ A(b) and if x E Ec then x E A(h).
Then since IR = E U Ec and En Ec =fill we have A(lE) = Ec.
(b) By Definition 25.25, we have for every x e IR, recalling that E is a null set in
(IR , 9JtL, ILc.),
8~(E,x) =lim ILL(E n B(x,r)) =lim 0 = 0.

' HO ILc.(B(x,r)) HOJLc.(B(x,r))
This shows that 8s(E, x) exists for every x E IR and 8s (E, x) = 0. 1

Prob. 25.14. Let E be the set of all irrational numbers in R.

(a) Show that A(lE) =E.
(b) Show that 8))(E, x) exists for every x E Rand 8;.;(E, x) = 1.
Proof. (a) Let us show that A(lE) = E. By Definition 25.1, we have
x E .
A(h) <?lim ( 1
,_,.o ikL B(x, r)
) 1B(x,r)
lh(y)- h(x)IILL(dy) = 0.
(a.l) Let X E E. Then lE(X) = 1. Now if y E E then lE(Y) = 1 and if y E Ec then

h(y) = 0. Then since ILL (Ec) = 0, h(y) = 1 for a.e. y E !Ft. Thus for x E Ewe have
1
lim ( ) { I1E(Y) -1E(X) I ikL (dy)
r->0 ILL B(x, r) } B(x,r)
1
=lim { lt-liiLL(dy)
r->0 ILL(B(x,r)) JB(x,r)
0
=lim =0.
r->0 ILL(B(x,r))
Thisshowsthatifx E Ethenx E A(lE).

(a.l) Let x E Ec. Then h(x) = 0. Now if y E E then b(y) = 1 and if y E Ec then
lE(Y) = 0. Then since ILL (E) = 0, lE(Y) = lfor a.e. y E !Ft. Thus for x E Ewe have
This shows that if x E Ec then x fl. A(lE).

(a.J) We showed above that if X E E then X E A(h) and if X E Ec then X f/_ A(b).
Then since 1Ft = E U Ec and En Ec = 0 we have A(lE) = E.
(b) By Definition 25.25, we have for every x E 1Ft,
~ · (E )=limiLL(EnB(x,r))
as ,x { ) ,
r->0 ILL B(x, r)
provided the limit exists. Now E n B(x, r) = nB(x, r) \ Ec and Ec, being the set of all
rational numbers, is a null set in (R, 9J1L, ILL). Thus ILL(E n B(x, r)) =ILL (B(x, r)) and
then
c5g(E, x) = lim ILL (En B(x, r)) == lim ILL (B(x, r)) = 1.
, ......o ILL(B(x,r)) , ......o ILL(B(x,r))
Thisshowsthat8s(E,x)existsforeveryx E R and8s (E,x) = 1. 1
Prob. 25.15. According to Proposition 25.29, for every E E ~~ we have oE :::> A c(lE).
Construct an example such that aE \ A c (lE) =I= !i!l.
Proof. Let Q be the set of all rational numbers and P be the set of all irrational numbers in
R. Then Q, P E ~J1L and moreover Qn P = !i!l, Q UP= R so that Qc = P andPc = Q.
We also have oQ = R andoP = R.
Example 1. Consider Q. By Prob. 25.13 we have A(lQ) = Qc = P and then we have
Ac(lQ) = pc = Q. Thus 8Q \ Ac(lQ) = R \ Q = P =/= !i!l.
Example 2. Consider P. By Prob. 25.14 we have A(lp) = P and then we have
AC(lp) = pc = Q. Thus oP \ AC(lp) = R \ Q = p =I= 0. I

Problems and Proofs in Real Analysis - Theory of Measure and - Yeh, James - 2014 - World Scientific - 9789814578509 - Anna's Archive

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§1 Measure on a cr-algebra of Sets

C ~sup(En U Fn) C ~sup En U lim sup Fn.

(b) Show that

c ~sup(En n Fn) c ~sup En n lim sup Fn.

(c)Showthatif ~ Enand ~ Fnexist,then ~ (EnUFn)and ~ (EnnFn)exist

(3) ~ (EnUFn) ~ EnU ~ Fn,

Proof. Let (An : n E N) be a sequence of subsets of X. According to Lemma 1. 7, An

lim inf En n lim sup Fn.

Substituting (5) into (1), we have

lim E,. U lim F,

c lim sup(E,. U F,.) c lim E11 U lim F11 ,

liminf(E11 U F 11 ) = limsup(E11 U F11 ) = lim E 11 U lim F,. .

lim sup A, = lim sup A~ = lim sup B~ = lim sup B,.

Prob.1.3. Let (En : n E N) beadisjointsequenceofsubsets of a set X. Show that lim En

liminf En= {x EX: x E En for all but finitely many n EN}= 0,

lim sup En= {x EX: x E En for infinitely many n EN}= 0.

liminf En= {x E R: x E En for all but finitely many n EN}

lim sup En = { x E R : x E En for infinitely many n E N}

= {x E R: X = Xn for infinitely many n E N}

Prob. 1.5. For E C IR and I E IR, let us write E + I = {x + I E IR : x E E} and call it

(a)LetE = (-oo,O). Showthat lim En= (-oo,O].

lim E,. = liminf E.,= limsupE,. = 0.

(2) ( -oo, a] n lim sup E., = 0.

Then since liminf En c lim sup En, (4) implies

Now liminf E 11 consistsofeveryx E !Rsuchthatx E E 11 forallbutfinitelymanyn EN.

Prob. 1.6. The characteristic function 1A of a subset A of a set X is a function on X defined

(b) Show that if lim 1An = 1A on X then lim An = A.

we show that A = lim inf An = lim sup An.

Proof. To show that~ is a a-algebra of subsets of Y, we verify the following conditions:

Now A e Ql implies AcQl since Ql is a a-algebra of subsets of X. Thus Ac n Y e I.B, that

Now since Ql is a a -algebra of subsets of X, (An : n E N) C Ql implies A := UneH An E Ql.

Given (Bn : n e N) C Ql,let us define a sequence (An : n e N) of subsets of X by setting

(1) An= UB1c forn eN.

Then (An : n e N) is an increasing sequence of subsets of X and

(2) UBn= neH

Since (Bit : n e N) c Ql and Ql is an algebra of subsets of X, we have An = UZ=1 B~c e 21

Proof. 1. Qln is au -algebra of subsets of En for each n e N by Prob. 1. 7.

2. Let us prove (b). Let ('11n : n e N) be a decreasing sequence of algebras of subsets

Prob. 1.14. Let (~ln : n e N) be a monotone sequence of a-algebras of subsets of a set X

neB ieB nefJ

UneB Ql,. is not a a-algebra of subsets of X. Let

/3 = [1, ;3) E J3 C !2l3,

Proof. 1. To show that~ is au-algebra of subsets of X, we verify that~ satisfies the

[X: At. ... , Ai:+1l·

Consider the sets:

0, X, At, ... ,A.t+t,

(.t!,t)! unions of2 members of {At, ... , A.t+l},

<.t;,t)! unions of 3 members of {A1 , • • • , Ak+t},

<.tt11) 1 unions of k members of {At, . . . , A.t+d·

B! = B,. and B~ = 0 for 11 E N.

Let us define a mapping qJ of A into 2t by setting

qJ(J..) = EJ. E 2l for}.. E A.

Ei1 n Ei2 n ... n E!n,

D' = E~1 n E~ n · · · n E!~,

tp(A) = Ei1 n Ei2 n .. · n E!n E :D for A = (At. ... , An) E A.

rp(J..') = rp((l, 0, 1, 1)) = Et n Ei n E3 n E4 = 111 n E3 n E4 = 111,

3. Let us prove (c), that is, if= a(<E).

On the other hand, we have