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M.Sc.

Course
in
Applied Mathematics with Oceanology
and
Computer Programming
Semester-I
Paper-MTM-101
Real Analysis
(Measurable Sets and Measurable Functions-I)

4.1 Introduction
The concept of measure of a set is an outcome of the notion of finding length of a segment or finding
area of a plane figure or finding the volume of a figure in three dimensional space. The measure theory is
extensively used in functional analysis, probability theory, the theory of dynamical systems and many other
branches of mathematics. The concept of measure of a set has been used to define a very important class
of functions, known as measurable functions. The notion of measurable function will be used to develop
Lebesgue integral.

4.2 Objective
To overcome the limitations of Riemann integral, our aim is to develop the important integral due to
Lebesgue. For this we need the notion of measurable function which again demands the idea of measurable
set. It is seen that all ordinary operations of analysis when applied to measurable functions lead to
measurable functions. In other words, all functions that we ordinarily meet with are seen to be measurable
functions. That is why the study of measurable sets and functions have become so essential.

4.3 Measurable Sets


The concept of measure of a set is a generalization of the following concepts
(i) The length of a line segment,
(ii) The area of a plane figure,
(iii) The volume of a space figure,

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(iv) The increment of a non-decreasing function over an interval,

(v) The integral of a non-negative function over a set on the line or over a region in the plane or over a
region in the space.

In keeping with the concept of length familiar from geometry, we now define the measure of an interval
as follows. An interval may be closed, may be open or half-open.
Let A1 = {x : a ≤ x ≤ b}, A2 = {x : a ≤ x < b}, A3 = {x : a < x ≤ b}, A4 = {x : a < x < b}.
We denote the set of real numbers by R. Let R∗ denote the set of extended real numbers.
Let I denote the collection of all intervals of R. If an interval I ∈ I has end points a and b, we write it
{ the function λ : I → [0, +∞] by
as I(a, b). Define
|b−a| if a, b ∈ R
λ(I(a, b)) =
+∞ if either a = +∞ or b = +∞ or both.
The function λ, as defined above, is called the length function and has the following properties.

Property 4.3.1 λ(∅) = 0.

Property 4.3.2 λ(I) ≤ λ(J) if I ⊆ J. This is called the monotonicity property of λ.


n
Property 4.3.3 Let I ∈ I be such that I = Ji , where Ji ∈ I, Ji ∩ Jj = ∅ for i ̸= j. Then
i=1


n
λ(I) = λ(Ji ).
i=1

This property of λ is called the finite additivity of λ, or one says that λ is finitely additive.



Property 4.3.4 Let I ∈ I be any interval such that I = In , where In ∈ I, In ∩ Im = ∅ for n ̸= m.
n=1
Then


λ(I) = λ(In ).
n=1

This property of λ is called the countable additivity of λ, or one says that λ is countably additive.



Property 4.3.5 Let I ∈ I and I ⊆ In , where In ∈ I. Then
n=1



λ(I) ≤ λ(In ).
n=1

This property of λ is called the countable subadditivity of λ, or one says that λ is countably sub-
additive.

Property 4.3.6 λ(I) = λ(I + x) for every I ∈ I and x ∈ R, where I + x = {y + x : y ∈ I}. This property
of λ is called translation invariance, or one says that λ is translation invariant.

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4.3.1 First extension


Now, suppose that E ⊆ R is such that it is the union of a finite number of pairwise disjoint intervals, i.e.

n
E= Ik , where Ik ∈ I and Ik ∩ Il = ∅ for 1 ≤ k ̸= l ≤ n. Then it is natural to define the length of E to
k=1
e
be the sum of the lengths of these intervals. Since the extended notion of length of E, denoted by λ(E),
is expected to be finitely additive, we will have


n ∑
n
e
λ(E) = e k) =
λ(I λ(Ik ).
k=1 k=1


n
Thus if E = Ik , where Ik ’s are pairwise disjoint intervals, the above forces us to define
k=1


n
e
λ(E) = λ(Ik ). (4.1)
k=1

e as in equation (4.1) is well-defined on the collection


We can check that λ
{ ∪
n }
F(I) = E⊆R:E= Ik , Ik ∩ Il = ∅, k =
̸ l .
k=1

e
Clearly, I ⊆ F(I) and λ(E) = λ(E) if E ∈ I. Further, λe : F(I) → [0, +∞] has properties similar to that
e
of λ, i.e. λ is monotone, countably additive and countably sub-additive.
Motivated from the properties of the collections I and F(I), we have the following:

Def. 4.3.1 Let X be a nonempty set and C be a collection of subsets of X. We say C is a semi-algebra
of subsets of X if it has the following properties:

(i) ∅, X ∈ C.

(ii) A ∩ B ∈ C for every A, B ∈ C.

(iii) For every A ∈ C there exist n ∈ N and sets C1 , C2 , . . . , Cn ∈ C such that Ci ∩ Cj = ∅ for i ̸= j and

n
Ac = Ci .
i=1

Def. 4.3.2 Let X be a nonempty set and F be a collection of subsets of X. The collection F is called an
algebra of subsets of X if F has the following properties:

(i) ∅, X ∈ F.

(ii) A ∩ B ∈ F for every A, B ∈ F.

(iii) Ac ∈ F whenever A ∈ F.

Example 4.3.1 (i) The collection I of all intervals forms a semi-algebra of subsets of R. Also, the
collection Ie of all left-open and right-closed intervals of R is also a semi-algebra.
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e are algebra of subsets of R.


(ii) The collections F(I) and F(I)
(iii) Let X be any nonempty set. the collections {∅, X} and P(X) are trivial examples of algebras of
subsets of X.
(iv) Let X be any nonempty set. Let
C = {E ⊆ X : either E or E c is f inite}.
Then C is an algebra of subsets of X.
Def. 4.3.3 Let C be any collection of subsets of a set X. Then there exists a unique algebra F of subsets
of X such that C ⊆ F and if A is any other algebra such that C ⊆ A, then F ⊆ A. This algebra is called
the algebra generated by C and is denoted by F(C).

4.3.2 Extension from semi-algebra to the generated algebra


In section 4.3.1, we showed that the length function defined on the semi-algebra I of all intervals can be
extended to F(I), the algebra generated. Further the extended function has the same properties to that
of the length function. Similar thing can be done for functions defined on arbitrary semi-algebras.
Def. 4.3.4 Let C be a class of subsets of a set X. A function µ : C → [0, +∞] is called a set function.
Further,
(i) µ is said to be monotone if µ(A) ≤ µ(B) whenever A, B ∈ C and A ⊆ B.
(ii) µ is said to be finitely additive if
(∪
n ) ∑n
µ Ai = µ(Ai )
i=1 i=1

n
whenever A1 , A2 , . . . , An ∈ C are such that Ai ∩ Aj = ∅ for i ̸= j and Ai ∈ C.
i=1

(iii) µ is said to be countably additive if


(∪
∞ ) ∑∞
µ An = µ(An )
n=1 n=1


whenever A1 , A2 , . . . ∈ C are such that Ai ∩ Aj = ∅ for i ̸= j and An ∈ C.
n=1

(iv) µ is said to be countably sub-additive if




µ(A) ≤ µ(An )
n=1


whenever A ∈ C, A = An with An ∈ C for every n.
n=1

But we point out that the length function is countably additive and λ({x}) = 0 for every x ∈ R. S. M.
Ulam (1930) presented a result which, under the assumption of the “continuum hypothesis”, implies that
it is not possible to extend the length function to all subsets of R.
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4.4 The induced outer measure


In order to extend the notion of length further, we first try to approximate the size of any subset A of R
using sets whose size (i.e. the length) is already known, i.e. the intervals. To do this, given a set E we
cover it by intervals and calculate the total of the lengths of these covering intervals. This will give us
an approximation of the size of E. We take the infimum of such approximate sizes and call it the outer
measure of E. Since dealing with the length function on Ie or an arbitrary set function µ on an algebra
A of subsets of a set X does not make any difference in the process. Our aim is to extend µ to a class of
subsets of X which is larger than A. Intuitively, sets A ∈ A are those whose size µ(A) can be measured
accurately. The approximate size of any set E ⊆ X is given by the outer measure as defined below.

Def. 4.4.1 Let A be an algebra of subsets of a set X and µ : A → [0, ∞] be a set function on A. For
E ⊆ X, define
{∑ ∞ ∞
∪ }

µ (E) = inf µ(Ai ) : Ai ∈ A, E ⊆ Ai .
i=1 i=1

The function µ∗ is called the outer measure induced by µ.

Remark 4.4.1 (i) Given any E ⊆ X, there exist at least one covering {Ai }i≥1 of E by elements of A,
namely {X}. Thus µ∗ (E) is well-defined.

(ii) The function µ∗ (E) can take the value +∞ for some sets E.

Theorem 4.4.1 (Properties of outer measure) The function µ∗ : P(X) → [0, ∞] has the following
properties:
(i) µ∗ (E) = 0 and µ∗ (A) ≥ 0 for all A ⊆ X.

(ii) µ∗ is monotone, i.e.

µ∗ (A) ≤ µ∗ (B) whenever A ⊆ B ⊆ X.

(iii) µ∗ is countably sub-additive, i.e.



∑ ∞

∗ ∗
µ (A) ≤ µ (Ai ) whenever A = Ai .
i=1 i=1

(iv) µ∗ is an extension of µ, i.e.

µ∗ (A) = µ(A) if A ∈ A.



Proof. Properties (i) and (ii) are obvious. To prove (iii), let A = Ai .
i=1
If µ∗ (Ai ) = +∞ for some i, then clearly


µ∗ (Ai ) = +∞ ≥ µ∗ (A).
i=1

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So, suppose µ∗ (Ai ) < +∞ for every i. Then given ε > 0, we can find sets {Aij }j≥1 such that


Ai ⊆ Aij with each Aij ∈ A and
j=1
∑ ∞
ε
µ∗ (Ai ) + i
> µ(Aij ).
2
j=1


∞ ∪
∞ ∪

But, then A = Ai ⊆ Aij and
i=1 i=1 j=1

∑ ∞
∑ ∞ ∑
∑ ∞
ε
µ∗ (Ai ) + > µ(Aij ) ≥ µ∗ (A),
2i
i=1 i=1 i=1 j=1




i.e. µ (A) < µ∗ (Ai ) + ε.
i=1
Since this holds for every ε > 0, we get



µ (A) ≤ µ∗ (Ai ).
i=1

This proves (iii).


To prove (iv), let A ∈ A. Clearly µ∗ (A) ≤ µ(A).
To complete the proof we show that µ∗ (A) ≥ µ(A).
Clearly, µ∗ (A) ≥ µ(A) in case µ∗ (A) = +∞.
If µ∗ (A) < +∞ and ε > 0 is given, we can choose pairwise disjoint sets An ∈ A, n = 1, 2, 3, . . . such that


A⊆ An and
n=1


µ∗ (A) + ε > µ(An ). (4.2)
n=1
{ }

k
Since An ∩ A increases to A, we have
n=1 k≥1

∑ ∑
k
µ(An ) = lim µ(An ) (4.3)
k→∞
n=1 n=1
(∪
k )
= lim µ An (4.4)
k→∞
n=1
(∪
k )
≥ lim µ (An ∩ A) (4.5)
k→∞
n=1
(∪
∞ )
=µ (An ∩ A) (4.6)
n=1
= µ(A). (4.7)
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From (4.2) and the above we have for every ε > 0

µ∗ (A) + ε > µ(A).

Sice ε > 0 is arbitary, letting ε → 0, we get

µ∗ (A) ≥ µ(A).

4.4.1 Choosing nice sets: Measurable sets


Given a set function on an algebra A of subsets of a set X, try to define a set function µ on some class M
of subsets of X such that A ⊆ M and µ(A) = µ(A), for all A ∈ A. As a first step in this direction, we
defined the notion of µ∗ , the outer measure induced by µ on all subsets of X. We saw that µ∗ (A) = µ(A)
for all A ∈ A, but in general µ∗ need not be even finitely additive on P(X). So, as a consolation let us try
to identify some subclass M of P(X) such that µ∗ restricted to M will be countably additive. This is the
class M which we call class of ‘nice’ subsets of X. The classes of these sets are defined in the next Unit
1.5.

4.5 Null sets or sets of measure zero


Def. 4.5.1 A subset E ⊂ R is said to be a null set, if given ε > 0, there exists a countable family of

∞ ∑
n
intervals {In : n ≥ 1} such that E ⊆ In and λ(In ) ≤ ε.
n=1 i=1

Example 4.5.1 (i) Clearly every singleton set {x}, x ∈ R is a null set, for {x} = [x, x] = I and
λ(I) = 0.

(ii) Any finite set S ⊂ R is(a null set. Let S = {x1 ,)x2 , . . . , xm } ⊂ R and ε > 0. Let xr be enclosed by
the open intervals Ir = xr − 2(m+1)
ε ε
, xr + 2(m+1) , for r = 1, 2, . . . , m. Then


m ∑
m ∑
m
2ε mε
S⊂ Ir and λ(Ir ) = = < ε.
2(m + 1) (m + 1)
r=1 r=1 r=1

Hence, S is a null set.

(iii) Any countably infinite set S = {x1 , x2 , x3 , . . . , } of R is a null set.


( )
Let ε > 0 be given. Let Ij = xj − 2j+2ε
, xj + 2j+2 ε
, j = 1, 2, 3, . . .. Then


∪ ∞
∑ ∞
∑ ∞

2ε ε ε
S⊂ Ij and λ(Ij ) = j+2
= j+1
= < ε.
2 2 2
j=1 j=1 j=1 j=1

Hence, S is a null set.

(iv) Q, the set of all rationals is a null set.

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4.6 Cantor set


Georg Cantor (1845-1918) constructed a set by a process which is very simple, but the set obtained is in
fact very interesting, curious and complicated. It violates many of our common senses.

Def. 4.6.1 (Construction of Cantor set) To construct the Cantor set, we proceed as follows.
Let A0 be the closed interval [0, 1] in R. Let A1 be the set obtained from A0 by deleting its “middle third”
( 31 , 32 ).
Let A2 be the set obtained from A1 by deleting its “middle thirds” ( 19 , 92 ) and ( 79 , 98 ). In general, define
An by the equation

∞ (
∪ )
1 + 3k 2 + 3k
An = An−1 − , .
3n 3n
k=0



The intersection C = An is called the Cantor set.
n=1
We note that the Cantor set C consists of those points in the closed interval [0, 1] which ultimately remain
after the removal of all the middle thirds. Clearly C is non-empty as it contains all end points of the closed
intervals which make up the sets An , n = 1, 2, 3, . . .. Thus 0, 1, 13 , 32 , 91 , 29 , 97 , 89 , . . . are the members of the
Cantor set C. It contains many other points also. 14 is not an end point but is a member of C. Actually C
contains a multitude of points other than the above end points. The set of end points is countable but the
Cantor set is actually uncountable. It is seen that every point of the Cantor set is in fact a limit point. In
other words the Cantor set is a perfect set. Another very interesting and astonishing property of Cantor
set is that its measure is zero though it is an uncountable set.

Theorem 4.6.1 The Cantor set C has measure zero.

Proof. In the process of construction of the Cantor set C we are to delete the middle open intervals
from each of the closed intervals that remains in the previous stage.
The starting interval is [0, 1] and has measure 1. The construction of Cantor set is done under the
following scheme.

Stage No. of deleted intervals Length of deleted interval Union of deleted intervals
1
1 1 3 G1 = ( 13 , 23 )
2 2 1
32
G2 = ( 19 , 92 ) ∪ ( 79 , 98 )
3 22 1
33
G3 = ( 27 , 27 ) ∪ ( 27
1 2
, 27 ) ∪ ( 19
7 8
27 , 27 ) ∪ ( 27 , 27 )
20 25 26

. . . .
. . . .
. . . .



Let G = Gn .
n=1

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Now,

∪ ∞

λ(G) = λ( Gn ) = λ(Gn )
n=1 n=1
1 1 1
=1× + 2 × 2 + 22 × 3 + . . .
3 3 3
1 2 22
= + 2 + 3 + ...
3 3 3
1
3
=
1− 2
3
=1

Now, C ∪ G = [0, 1] and C ∩ G = ∅.


Therefore, λ(C) + λ(G) = λ([0, 1])
i.e. λ(C) + 1 = 1
i.e. λ(C) = 0.
Hence, the Cantor set C has measure 0.

Theorem 4.6.2 The Cantor set C is uncountable.

Proof. Let C be the Cantor set. If possible let C be uncountable.


Then we can enumerate the points of C by xi , i = 1, 2, 3, . . .. So C = {x1 , x2 , x3 , . . .}.
Let the ternary representation of xi in non-terminating form be

xi = 0.ai1 ai2 ai3 . . . , i = 1, 2, 3, . . .

From the construction of C it is clear that no aij is 1 i.e. aij is either 0 or 2 (see Note 4.6.1).
Therefore

x1 = 0.a11 a12 a13 . . .


x2 = 0.a21 a22 a23 . . .
x1 = 0.a31 a32 a33 . . .
...............................
...............................
................................

We note that all points of C are in this list.


We now construct a point y as

y = 0.b1 b2 b3 . . .
{
0 if aii = 2
where bi =
2 if aii = 0.
Then y is a point of the Cantor set C.
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Now

y ̸= x1 as b1 ̸= a11
y ̸= x2 as b2 ̸= a22
y ̸= x3 as b3 ̸= a33
............................
............................
............................

Thus no xi is y i.e. y ∈
/ C. But as noted above y is a member of the Cantor set C. This is a contradiction.
Hence C is uncountable.

Note 4.6.1 The ternary representation of a number x in [0, 1] is given by the series
a1 a2 a3
x= + 2 + 3 + . . . = 0.a1 a2 a3 . . .
3 3 3
If the form of this representation is terminating we can put it in non-terminating form as follows. The
number 31 is 0.1 which is terminating in nature. The non-terminating form of it is

1 1 0 0 0 2 2 2
= + 2 + 3 + . . . = 0.1 = + 2 + 3 + 4 + . . . = 0.0222 . . .
3 3 3 3 3 3 3 3
In the ternary representation of the points of C in non-terminating form always contains only 0 or 2 as
in the process of construction of the Cantor set always the middle open interval is deleted. The ternary
representation of 79 is

7 2.3 + 1 2 1 2 0 2 2
= 2
= + 2 = 0.21 = 0.20222 . . . = + 2 + 3 + 4 + . . .
9 3 3 3 3 3 3 3
Similarly,
8 2.3 + 2 2 2
= 2
= + 2 = 0.22 = 0.22000 . . .
9 3 3 3

4.7 Non measurable sets


The class of all Lebesgue measurable subsets L of R has 2c elements (here c denotes the cardinality of
the real line, also called the cardinality of the continuum), i.e. the same as the number of elements
in P(R). The natural question arises: is L = P(R)? If we assume the continuum hypothesis, it is
not possible to define a countably additive function µ on P(R) such that µ({x}) = 0 for all x ∈ R.
In particular, if we assume the continuum hypothesis, we cannot extend λ to all subsets of R. Hence
L ̸= P(R). What can be said if one does not assume the continuum hypothesis? To answer this question,
one can either try to construct a set E ⊂ R such that E ∈ / L, or assuming that such a set exists, try
to see whether one can reach a contradiction. G. Vitali (1905), F. Bernstein (1908), H. Rademacher
(1916) and others constructed such sets assuming the ‘axiom of choice’. The example of Vitali used the
translation invariance properties of Lebesgue measure and that of Bernstein used the regularity properties
of the Lebesgue measure. Rademacher proved that every set of positive outer Lebesgue measure includes
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a Lebesgue nonmeasurable set. Even today, more and more nonmeasurable sets with additional properties
are being constructed. Of course, all these constructions are under the assumption of the ‘axiom of choice’.
Lebesgue himself did not accept such constructions. In 1970, R. Solovay proved that if one includes the
statement “all subsets of R are Lebesgue measurable” as an axiom of set theory, then it is consistent with
the other axioms of set theory if the axiom of choice is not assumed. We give below the construction (due
to Vitali) of a non measurable set, assuming the axiom of choice.

Example 4.7.1 Define a relation on [0, 1] as follows: for x, y ∈ [0, 1], we say x is related to y, written
as x ∼ y, if x − y is a rational. We can check that ∼ is an equivalence relation on [0, 1]. Let {Eα }α∈I
denote the set of equivalence classes of elements of [0, 1]. Using the axiom of choice, we choose exactly one
element xα ∈ Eα for every α ∈ I and construct the set E = {xα |α ∈ I}. Let r1 , r2 , . . . , rn , . . . denote an
enumeration of the rationals in [−1, 1]. Let

En := rn + E, n = 1, 2, . . .

It is easy to check that En ∩ Em = ∅ for n ̸= m and En ⊆ [−1, 2] for every n and E ⊆ [−1, 2] for every n.
If x ∈ [0, 1], then x ∈ Eα for some α ∈ I and hence x ∼ xα , xα ∈ E. But then x − xα is a rational and
−1 ≤ x − xα ≤ 1. Hence x ∈ En for some n. Thus


[0, 1] ⊆ En ⊆ [−1, 2].
n=1

Now suppose E is measurable. Thus En is measurable for every n and λ(En ) = λ(E). On one hand,
λ(E) > 0, in which case λ(En ) = λ(E) > 0 for every n. But then by the countability of λ,


∑ ∞

∞= λ(En ) = λ( En ) ≤ 3,
n=1 n=1

which is absurd.
On the other hand, if λ(E) = 0, then λ(En ) = 0 for every n and hence



1 = λ([0, 1]) ≤ λ(En ) = 0,
n=1

again not possible. Hence E is not measurable.

4.8 Summary
In this unit, first of all the length function is defined on the collection of all intervals of R with its properties.
Then an attempt has been made to extend the length function to a larger class F(I) of subsets of R. These
concept has been used to extend the length function to all subsets of R. In this direction, the outer measure
has been defined with some properties. Null sets, Cantor set and non-measurable subset are also defined
with example.
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4.9 Self Assessment Questions


1. Let X and Y be two nonempty sets and F and G be semi-algebras of subsets of X and Y , respectively.
Show that F × G is a semi-algebra of subsets of X × Y . Give example to show that if F and G be
algebras of subsets of X and Y , respectively then F × G need not be an algebra.

2. Let {Fα }α∈I be a family of algebras of subsets of a set X. Let F = Fα . Show that F is an
α∈I
algebra of subsets of X.

3. Show that every subset of a null set is a null set.




4. Let A1 , A2 , . . . , An , . . . be null sets. Show that An is a null set.
n=1

5. Let E ⊆ [a, b] be any set which has only a finite number of limit points. Can E be uncountable? Can
you say E is a null set?

6. Let E be a null subset of R and x ∈ R. What can you say about the sets E + x := {y + x| y ∈ E}
and xE := {xy| y ∈ E}?

7. Let I be an interval having at least two distinct points. Show that I is not a null set.

8. Using the axiom of choice, choose one element from each of the sets x + Q where x ∈ R and Q is the
set of rationals in R and construct the set E. Show that E is not Lebesgue measurable.
{ ∞ }

∑ ∪

9. Show that µ (E) = inf µ(Ai ) : Ai ∈ A, Ai ∩ Aj = ∅ for i ̸= j and E ⊆ Ai .
i=1 i=1

{ set and let A be an algebra of subsets of X. Let x0 ∈ X be fixed. For


10. Let X be any nonempty
0 if x0 ∈
/A
A ∈ A, define µ(A) =
1 if x0 ∈ A.
Show that µ is countably additive. Let µ∗ be the outer measure induced by µ. Show that µ∗ (A) is
either 0 or 1 for every A ⊆ X and µ∗ (A) = 1 if x0 ∈ A. Can you conclude that µ∗ (A) = 1 implies
x0 ∈ A? Show that this is possible if {x0 } ∈ A.

4.10 References or Bibliography


1. Inder K Rana, An Introduction to Measure and Integration, Second Edition, Narosa Publishers.

2. Walter Rudin, Real and Complex Analysis, Third Edition, Tata McGraw-Hill Edition.

3. T. M. Apostol, Mathematical Analysis, Narosa Publishing House.

4. S. C. Malik and Savita Arora, Mathematical Analysis, Wiley Eastern Limited.

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