MEASURETHEORY

 LebesgueMeasur
e
 LebesgueOut
erMeasuar
e
 Hei
nBor
elTheor
em
 Rei
szTheor
em
 Monot
oneDi
ver
gent
 I
DEALPROPERTI
ESOFLEBESGUEOUTERMEASURE

.M *(
i A) ≥0∀A ⊆R

i
i dealM *(
.Thei ∅)=0

i
i
i.M *(
A)≤M *(
B)I
ffA ⊆B

AUTHORMR.KI
PTOO

I
ntr
oduct
ion
- Measur
etheor
yisagener
almeasur
eof
;
i
. Lengt
h(1di
mensi
on)
i
i
.Ar
ea(
2di
mensi
on)
i
i
i.Vol
ume(
3di
mensi
on)
- Thedimensi
onsofmeasurecanbeinone,two,t
hreeupt
on-
dimensi
on.I
t
dependsoncar
eful
manipulat
ionsofpoi
ntsinaset.
- Apoi
ntofasetcanbeaf
unct
ion.
̅
- I
ndefini
ngameasure,west
artwi
tht
heout e ⊂hasmostoft
ermeasur he
qual
i
tiesofameasure.
Lengt
hofani
nter
val
ThelengthL(
I)ofaninterval
Iwit
hendpoi
ntsa&bwher
ea<bi
sdef
inedasb-
a
Icanbeexpressedasf ol
lows;
- ( a,
b)=open
- [ a,
b]=closed
- ( a,
d]=open,closed
- [ a,
b)=closed,open

N/
BIfa=bt
henL(
I)=0uni
t,t
hisi
mpl
i
est
hatL(
I)=∅

- Sinceani
nter
valIi
sasetofpoint
s,wesayt
hati
t’
slengt
hisasetoffunct
ions
fnofIhav
ingtheval
uesL(
I) ≥0.Lengt
hist
her
efor
enon-negat
iver
ealval
ue.

N/
BThei
deaofl
engt
hcanbegener
ali
zedi
nar
eaandv
olume

Defi
nit
ion
I
fI1,
I2,
I3,
...I
nar
emut
ual
l
ydi
sjoi
nti
nter
val
s,t
hen,
L(
I1 ∪I
2 ∪I
3 ∪ n)=
...I I
L(1)+LI
(2)+LI
(3)+...LI
()
n

Mut
ual
l
ydi
sjoi
nti
sasi
l
lust
rat
edbel
ow

I
1 I
2 I
3 I
4

Thepr
ocessabov
econt
inuesbutt
hepoi
nt nI
si 1ar nI
enoti 2orI
3o nI
ri 4

Exampl
e1
fI
I 1 =(
3,5)andI
2 =(
6,9) ndL(
.Fi I1 ∪I
2)

Sol
uti
on
Thepoi
ntsar
emut
ual
l
ydi
sjoi
nt
I
∴L(1)=5–3=2uni
ts
I
L(2)=9–6=3uni
ts

L(
I1 ∪I
2)=LI
(1)+LI
(2)=2+3

=5uni
ts

N/
BIft
hei
nter
val
sar
enotmut
ual
l
ydi
sjoi
ntt
hen;

L(
I1 ∪I
2)...i
snotequal
t I
oL(1)+LI
(2)+...
Exampl
e2

fI
I 1 =(-
2,5)andI
2 =(
3,8) ndL(
.Fi I1 ∪I
2)

Sol
uti
on
L(
I1 ∪I
2)=8–(
-2)

=10uni
ts

Fort
hiscaseweconsi
dertheoutermeasur
eoft
heset
s.Thi
sisonl
ydonewhent
he
i
nter
valsar
enotmutual
lydisj
oint
.

CONCEPTOFMEASURE

Thegeneral
i
zati
onofconceptofmeasur
eofl
engt
htoar
bit
rar
yset
sont
her
eal
li
ne
l
eadstotheconceptofmeasureofaset
.

- Themeasur
eofasetEi
sdenot
edbyM(
E)wher
eM i
saf
unct
ion.

I
dealPr
oper
ti
esOfMeasur
e

a)M(
E)i
sal
waysdef
inedf
orever
yset
.

b)M(
E) ≥0t
her
efor
eiti
snon-
negat
ive.
n n
c)I
fE = ∪ Ekwher
eEkar
emut
ual
l
ydi
sjoi
ntt
henM(
E)= ∑ M(
Ek)f
ini
teaddi
ti
ve
k=1 k=1

∞ ∞
d)I
fE = ∪ Ekwher
eEkar
emut
ual
l
ydi
sjoi
ntt
henM(
E)= ∑ M(
Ek)i
nfi
nit
eaddi
ti
ve
k=1 k=1

e)I
fE1 ⊆E2t
henM(
E1) ≤M(
E2)

f
) Measur
eist
ransl
ati
onali
nvar
iant
.

g)I
fEi
sani
nter
val
,thenM(
E)=L(
I)

N/
BIfpr
oper
tychol
dst
henpr
oper
tydhol
ds.i
.ef
ini
tei
sal
wayscont
ainedi
n
i
nfi
nit
e.
OUTERMEASURE

Theout
ermeasur edbyM *(
eofasetEdenot E)hast
hef
oll
owi
ngpr
oper
ti
es

i
. M *(
E)i
sal
waysdef
inedf
orever
ysetE.
i
i
. M *(
E) ≥0i
tisnon-
negat
ive.

i
i
i. M *(
E1 ∪E2 ∪...) ≤M *(
E1)+M *(
E2)+...f
oral
lset
sjoi
ntornot
LEBESQUEOUTERMEASURE

Def
ini
ti
on
∞ ∞
*
Let ∪ Ini
nthesetoff
ini
teorcount
abl
eint
erv
alsi
nA ⊆Rt M(
hen; A)=I I
nf ∑ L()
n

n =1 n=1

- M *(
A)i
stheLebesgueout
ermeasur
eofasetA

I
DEALPROPERTI
ESOFLEBESGUEOUTERMEASURE

.M *(
i A) ≥0∀A ⊆R

i
i dealM *(
.Thei ∅)=0

i
i
i.M *(
A)≤M *(
B)I
ffA ⊆B
i
v.M *(
{ )=0Wher
x} e{x}i
sasi
ngl
etonset
.∀x ∈R

Pr
oof
:
i
. I
fIn =( bn)t
an, hen,
L(I
n)=bn-an ≥0

so∑L(
In)≥0f
oranyi
nter
val{
In}wi
thA ⊆ ∪I
n

M *(
A)=I
nf I
∑L(n)≥0

⟹M *(
A) ≥0

i
i
. Let∅ =[
a,a)

⟹0≤M *(
∅)≤a-
a=0
 ⟹M *(
∅)=0

i
i
i.I
fB ⊂ ∪I
n,t
henA ⊂ ∪I
nsi
nceA ⊆B.
fM *(
I I
B)=∑L( ,
n)thenA ⊂B ⊂ ∪I
n

⟹M *( I
A) ≤∑L(n)=M *(
B)

⟹M *(
A) ≤M *(
B)

i
v.Consi
dert
hei
nter
val
,
I=(
x- x+ε)f
ε, orε>0

ε x ε

Cl
ear
lyx ∈(
x- x+ε)
ε,

M *(
I)=L(
I)={
( -x-
x+ε)( ε)}= 2ε

Asε→0t
henL(
I)=0
⟹M *(
I)L(
I) =0
x]=0
⟹M *[

PROPOSI
TION

 Lebesgueout
ermeasur
eist
ransl
ati
onal
inv
ari
ant

i
.ef
oranysetA,

M *(
A)=M *( )
A +x

Wher
eA+x={
y y ∈A}
+x,

Pr
oof
Forε>0t
her
eexi
stsacol
l
ect
ion(
In)sucht
hatA ⊆ ∪I
nhence
M *( I
A)≥∑L(n)-
ε

ButA +x ⊆ ∪(
In +x)

Ther
ef eM *(
or I
A +x) ≤∑L(n +x)=∑L(
I *
A +ε)f
n)≤M ( orε>0
Asε→0,
then
M *( ) ≤M *(
A +x A)………………….
(i
)
ButA=A+x-
x
A)≤M *(
⟹ M *( )
A +x……………(
ii
)
Fr
om (
i)and(
ii
)iti
scl
eart
hat
;
A)=M *(
M *( )HenceLebesgueout
A +x ermeasur
eist
ransl
ati
onali
nvar
iant
.

THEOREMS

a)HEI
NBORELTHEOREM

LetFbeaboundedcl
osedsetofr
ealnumber
s,t
heneachopencov
erofFhasaf
ini
te
sub-
cov
er.

b)THEOUTERMEASUREOFANI
NTERVALI
SITSLENGTH

Pr
oof

CaseI

SupposeIi
sanyf
ini
tei
nter
val
,thengi
venε>0t
her
eexi
stsacl
osedf
ini
tei
nter
valJ ⊂I
sucht
hatL(
J)<L(
I.
)

ButL(
J)>L(
I)-ε.

Ther
efor
eL(
I J)=M *(
)-ε<L( J) ≤M *(
I)=L(
I)

⟹ L(
I ε ≤M *(
)- I)=L(
I.Forar
) bit
rar henL(
yε>0 t I)=M *(
I)

CaseI
I
SupposeIi
sani
nfi
nit
eint
erval
,thengi
venanyr
ealnumberk>0,
ther
eexi
stsacl
osed
f
ini
tei
nter
valJ ⊂I
,sucht
hatL(
J)=k.

ThusM *(
I) ≥M *(
J)=L(
J)=k

i
.eM *(
I) ≥k,
foranyar
bit
rar
yrealnumberk>0 henceM *(
I)=∞ =L(
I)

M *)HASPROPERTYOFSUB-
c)LEBESGUEOUTERMEASURE( ADDI
TIVI
TY

M * ∪En ≤∑M *(
Let{
En}beacount
abl
ecol
l
ect
ionofset
s,t
hen;
n ( )n
.
En)

Pr
oof

M *(
En)≤∞ f
orn ∈N

hatM *(
Supposet En)<∞

Thenf
oragi
venε>0,
ther
eexi
stsacount
abl
ecol
l
ect
ion.{
In,
i}ofopeni
nter
val
s

hatEn ⊆ ∪I
Andt n,
i
i

ε
Sat
isf
yi I
ng;∑L(,)≤M *(
ni En)+ n
2

Then ∪En ⊆ ∪ ∪(,

Ini
)
n n i

However
acol
l
ect
ion(,
I )f
ni or
m acount
abl
ecol
l
ect
ionofanopeni
nter
valast
he
s ∪En .
count
abl
eseti
scount
abl
eandcover
(n )
eM * ∪En ≤∑L(, ∑M *
Ther
efor
(n ) I )≤(
ni
i
(En)+ε
n

henM * ∪En ≤∑(

Si
nceε>0i
sar
bit
rar
yt
(n ) M *(
En)
n

d)COROLLARY
I
fEi
sacount
abl
eset
,thenout
ermeasur
eofE=0,
ieM *(
. E)=0

Pr
oof

Si
nceEi
scount
abl
e,i essedas:E ={
tcanbeexpr a1,
a2, an}
... .

Letε>0begi
ven,
thenencl
osi
ngeachaii
nanopeni
nter
valI εi=1,
iwi
thL(
I)= ,
i
2,
3...
2i

∞ ∞
WegetM ( * ε
E)< ∑ L(
I)= ∑ i =ε
i
2
i=1 i=1

Letε→0

ThenM *(
E)=0

Al
ter
nat
ivepr
oof

Count
abl
esubset
sofRar
esi
ngl
etons.

LetEibet
hesetofsi
ngl
etons.
∞
⋃
()
⋇
⟹M Ei ≤ ∑ M ⋇()
Ei
i
i=1

ButM ⋇(
Ei)=0si
ncet
hei
nter
vali
sameasur
eofasi
ngl
eton

⋃
()
⟹M ⋇ Ei ≤0
i

⋃
Butout
ermeasur
eofaseti
snon-
negat
ivei
mpl
yi
ngt (i )
hat⟹M ⋇ Ei =0

⟹count
abl
eset
shasmeasur
ezer
o

ANOTHERCOROLLARY

Theseti
s[ 1]uncount
0, abl
e.
Pr
oofbycont
radi
cti
on

Assumet
hatt
heseti
scount
abl
e

ThenM ⋇(
[0,
1])=0

butL(
0,1)=1-
0=1uni
t

M ⋇(
[0,
1])=0andL(
0,1)=1

i
.e0=1.Thi
siscont
radi
cti
on

⟹ set[
0,1]i
suncount
abl
e

e)LEMMA

fM ⋇(
I henM ⋇(
A)=0t A ∪B)=M ⋇(
B)

Pr
oof
⋇
M ⋇(
A ∪B)≤M ⋇(
A)+M (
B)

ButM ⋇(
A)=0

⟹M ⋇(
A ∪B)≤M ⋇(
B)…………….
.(
i nceM ⋇(
)si A)=0

ButB ⊆(
A ∪B)
⋇
⟹M ⋇( A ∪B)…………….
B)≤M ( (i
i)

Fr
om (
i)and(
ii
)

⟹M ⋇(
A ∪B)=M ⋇(
B)

Remar
k

Out
ermeasur
eisobt
ainedwhet
herani
nter
vali
s;

- Cl
osed

- Open
 - Open-
closed

- Cl
osed-
open

LEBESGUEMEASURE

 Thei
nnermeasur
eal
thoughdef
inedf
oral
lset
sinRdoesnotsat
isf
yingener
al
t
hecount
abl
eaddi
ti
vi
ty

 i
nor
dert
ohavet
hepr
oper
tyofcount
abl
eaddi
ti
vi
tysat
isf
ied,
wemustr
est
ri
ctt
he
domai
nofdef
ini
ti
onf
ort nM ⋇t
hef osomesui
tabl
esubsetoft
hepower
setP(
R).Thesesubset
sar
ecal
l
edmeasur
abl
eset
s.

Def
ini
ti
on

AsetEi
ssai
dtobeLebesguemeasur
abl
eifgi
venasetAt
hen;

M ⋇(
A)=M ⋇(
A ∩E)+M ⋇(
A ∩Ec)

Ec A ∩E E

A ⊂(
A ∩E)
⋃(A ∩Ec)

⟹M ⋇(
A) ≤M ⋇(
A ∩E)+M ⋇( …………….
A ∩Ec) .(
i)

Topr
oveLebesguemeasur
abi
l
ityofasetE,
weneedt
oshowt
hatf
oranysetAgi
ven

M ⋇(
A) ≥M ⋇(
A ∩E)+M ⋇( ……………….
A ∩Ec) .(
ii
)

Thei
nequal
i
ty(
ii
)isof
tenusedt
oshowt
hatasetAi
smeasur
abl
ewher
ethesetAi
s
cal
l
edt
hesett
estsi
ncei
tisusedt
otestmeasur
abi
l
ity.

Pr
oof

l
etE ⊆Rwi
thM ⋇(
A)=0∀A ⊆R
A ∩E ⊆R

⟹M ⋇(
A ∩E)≤M ⋇(
E)=0

⟹M ⋇(
A ∩E)≤0

M ⋇(
A ∩E)=0

soA ∩Ec ⊆A
Al

⟹M ⋇(
A ∩Ec) ≤M ⋇(
A)

⟹M ⋇(
A) ≥M ⋇(
A ∩E)+M ⋇(
A ∩Ec)

Havi
ngpr
oved(
ii
)thencl
ear
lyEi
sLebesguemeasur
abl
e

Cor
oll
ary

hatEci
Showt sLebesguemeasur
abl
e

Pr
oof

ForA ⊆Rgi
ven
c
M ⋇(
A)=M ⋇(
A ∩Ec)+M ⋇( Ec))
A ∩(

M ⋇(
A)=M ⋇(
A ∩Ec)+M ⋇(
A ∩E)

Theor
em

∅ andRar
eLebesguemeasur
abl
e

Pr
oof

Gi
venA ⊆R

Al
so(
A ∩∅)=∅ =0

⟹M ⋇(
A ∩∅)=M ⋇(
∅)=0

⟹M ⋇(
A ∩∅)=0
A ∩∅c)=(
( A ∩R)=A

⟹M ⋇(
A)=M ⋇(
A ∩∅c)

Combi
ningt
het
wo;
⋇
M ⋇(
A)=M ⋇( A ∩∅c)t
A ∩∅) +M ( her
efor
e∅ i
sLebesguemeasur
abl
e

(
A ∩R)=A

⟹M ⋇(
A)=M ⋇(
A ∩R)

A ∩Rc)=(
( A ∩∅)=∅

M ⋇(
A ∩Rc)=M ⋇(
∅)=0

A ∩Rc)=0
⟹M ⋇(

Combi
ningt
het
wo;
⋇
M ⋇(
A)=M ⋇( A ∩Rc)t
A ∩R) +M ( her
efor
eRi
sLebesguemeasur
abl
e

Theor
em

Ever
yint
ervali
sLebesguemeasur
abl
e

Pr
oof

Consi
derE =[
a,∞]

Weneedt
oshowt
hatt
her
eexi
stsasetA ⊆R sucht
hat
⋇
M ⋇(
A)=M ⋇( A ∩Ec)
A ∩E) +M (
⋇
i
.eM ⋇(
A)=M ⋇(
A ∩(
[a,
∞]) +M (
) A ∩(
[-∞,
a])
)

LetA1=A ∩[
a,∞]andA2=A ∩[-∞,
a]

Forε>0t
her
eexi
sti
nter
val
sInsucht
hat
;
 ∞
A⊆ ⋃ Inand M ⋇(
A) ∑ L(
≥ I
n)
-
ε
n =1
n=1

'
LetI
n =I
n ∩a,
[ ∞)andI
'
'
n =I
n ∩(-
∞,a]

' '
'
I
⟹L(n)=L(
In)+LI
()
n

∞ ∞ ∞
⟹M ⋇(
A1)+M ⋇
( ≤
A2) ∑ (LI' +
n)
L
∑ (I' ≤
'
n) ∑ L(
I n-
n)
1 ≤M ⋇(
A)+ε
n=1 n=1 n=1

Forar
bit
rar
yε>0.

M ⋇(
A)≥M ⋇(
A1)+M ⋇(
A2)

⋇
⟹M ⋇(
A)≥M (
A ∩(
[a,
∞]) +M ⋇(
) A ∩(
[-∞,
a])
)

⋇
⟹M ⋇(
A)≥M ⋇( A ∩Ec)
A ∩E) +M (

MEASURABLEFUNCTI
ONS

Nat
ural
l
ythesetofi
nfi
nit
emeasur
eandf
unct
ionst
aki
ngt
hev
alues∞ and-
∞ do
occur
.Forconv
eni
ence,
weuset
heext
endedr
eal
numbersy
stem i
.eadd∞ and-
∞to
t
her
eal
numbersy
stem wi
tht
hef
oll
owi
ngconv
ersi
ons.

 a +∞ =∞ f
ora≥0

 a.
∞ =∞ f
or a>0

 a.
∞ =-
∞fora<0

 0-
∞ =0

 ∞ .∞ =∞

∞ ∞
Howev
ert
hef
oll
owi
ngar
eundef
ined, , ,
and∞ +(-
∞)
∞ 0
Def
ini
ti
on

Anext
endedr
eal
fnFdef
inedonameasur
abl
esetEi
ssai
dtobeLebesguemeasur
abl
e
Ei
f

{
x:(
fx)>α} ∀ ∈R

Theor
em

̅
Letfbeanext
endedr
eal
v n ⊂i
uef
al smeasur
abl
esetEoff
ini
teori
nfi
nit
e.

Thent
hef
oll
owi
ngst
atement
sar
eequi
val
ent
;

i
. ∀ ∈R,
{x:
fx)>α}i
( smeasur
abl
e

i
i
.∀ ∈R,
{x:
fx)≥α}i
( smeasur
abl
e

i
i
i.∀ ∈R,
{x:
fx)<α}i
( smeasur
abl
e

i
v.∀ {
∈R,x:
fx)≤α}i
( smeasur
abl
e

Pr
oof

LetFbemeasur
abl
e
∞
1
 ∀ ∈R,
{x:
f(
n=1
{
x)≥α}= ⋂ x:
fx)>α-
(
n } ∀ ∈R

TheR.
H.Si
smeasur
abl
ebei
ngani
nter
sect
ionofmeasur
abl
efn.Ther
efor
ethe
L.
H.Si
sal
someasur
abl
e.Thus(
i)⟹ (
ii
)
c
 Cl
ear
ly{
x:(
fx)<α} ={
x:(
fx)≥α}

TheL.
H.Si
smeasur
abl
ebei
ngacompl
ementofaLebesguemeasur
abl
efn.
 Ther
efor
etheR.
H.Si
sal
someasur
abl
e.Thus(
ii
)⟹ (
ii
i)
∞
1
 ∀ ∈R,
{x:
fx)≤α}= ⋂ x:
( f {
x)<α +
(
n=1
n } ∀ ∈R

TheR.
H.Si
smeasur
abl
ebei
ngani
nter
sect
ionofmeasur
abl
efn.Ther
efor
ethe
L.
H.Si
sal
someasur
abl
e.Thus(
ii
i)⟹ (
iv)
c
 ∀ ∈R,
{x:
fx)≤α} ={
( x:(
fx)>α}

TheL.
H.Si
smeasur
abl
ebei
ngacompl
ementofaLebesguemeasur
abl
efn.
Ther
efor
etheR.
H.Si
sal
someasur
abl
e.Thus(
iv)⟹ (
i)
.

Remar
k

Anyf
ndef
inedonameasur
abl
esetEi
smeasur
abl
eifi
tsat
isf
iesoneoft
heabove
st
atement
s

Exampl
e1

Showt
hati
ffi
smeasur
abl
e,t
henf
(x)=α

Sol
.

∀ {
∈R,x:
fx)=α}={
( x:(
fx)≥α}{
⋂x:(
fx)≤α}

TheR.
H.Si
smeasur
abl
esi
ncei
nter
sect
ionofmeasur
abl
efunct
ionsi
smeasur
abl
e.
Ther
efor
eL.
H.Si
smeasur
abl
e.

Exampl
e2

Pr
ovet
hatconst
antf
unct
ionsar
emeasur
abl
e

Sol
.

Pr
oof

Forconveni
entchoi
ceofα,
theconst
antf
nbecomesei
ther∅ ort
her
eall
i
neR.But
t
heseset
sar
emeasur
abl
e.Ther
efor
econst
antfs
n ar
emeasur
abl
e.
 Exampl
e3

Showt
hatt
hechar
act
eri
sti
cfunct
ion(
∱x)i
smeasur
abl
eoft
hesetsi
gmaal
gebr
ais
measur
abl
eif
fAi
smeasur
abl
e.

Sol
n.

{
R
Dependi
ngont
hechoi
ceofα,
theset{
x: x)= ∅ ∀x ∈∱
∱A(
A

Si
ncet
her
eall
i
neR&∅ ar
emeasur
abl
e,t
henAi
sal
someasur
abl
e.Thuschar
act
eri
sti
c
ni
f smeasur
abl
eif
fAi
smeasur
abl
e.

Exampl
e4

Cont
inuousfs
n ar
emeasur
abl
e.Pr
ove

Sol
n

Forcont
inuousfs
n;

{
x:(
fx)>α} ∀ ∈R i
sopen

Openset
sar
emeasur
abl
e

Ther
efor
econt
inuousfs
n ar
emeasur
abl
e

Exampl
e5

Theor
em

LetCbear
ealconst
antandfbeameasur
abl
efndef
inedi
nameasur
abl
eset
.Then;

i
. c+fi
smeasur
abl
e

i
i
. i
cfsmeasur
abl
e

Pr
ove

Sol
n

i
. ∀ ∈R,
{x: (
C +fx)>α}= {
x:(
fx)>α-
C}
 TheRHSi
smeasur
abl
e,t
her
efor
eLHSi
smeasur
abl
e.Ther
efor
ec +fi
s
measur
abl
e

i
i
.WhenC=0

∀ {
∈R,x:
Cfx)>α}=0whi
( chi
sconst
ant

Butconst
antfs
n ar
emeasur
abl
e,t
her
efor
ecf
ismeasur
abl
e

Whenc≠0
α
∀ {
∈R,x:
Cf( {
x)>α}=x:
f( }
x)> Ther
c
efor
ecfi
smeasur
abl
e

Exampl
e6

I
ffi
smeasur
abl
e,showt
hat|
f|i
smeasur
abl
e

Sol
n

∀ {
∈R,x:
|
f|x)>α}={
( x:f
(x)<-
α}∪{
x:(
fx)>α}

Thef
ninRHSi
smeasur
abl
e&uni
onofmeasur
abl
efnsar
emeasur
abl
e.Ther
efor
e||i
f s
measur
abl
e

SETSOFMEASUREZERO

Thesear
eset
sthatar
enegl
i
gibl
eint
het
heor
yofLebesguemeasur
eandLebesgue
i
ntegr
ati
on.

Def
ini
ti
on

Apr
oper
tyi
ssai
dtohol
dgoodsal
mostever
ywher
e(ae)i
fthesetofpoi
ntswher
eitf
ail
s
t
ohol
dar
emeasur
abl
ezer
o.(
ae)→ al
mostever
ywher
e

Exampl
e1

I
faf
nfdef
inedonasetEi
sdi
scont
inuousi
nsubsetEwher
emeasur
eiszer
oand
cont
inuousel
sewher
einE,
thefi
ssai
dtobecont
inuous(
ae)onE
 E

E-
E1 f
-di
scont
inuous.

E1 M(
E1)=0

f
-cont
inuousae.

Exampl
e2

Letfbeaf
ndef
inedonr
eall
i
neRby;

{
0,xi
rr
ati
onal
(
fx)=
1,
x r at
ional

Thenf
(x)=0i
saeonR.pr
ove

Sol
n

Forr
ati
onalnumber
swhi
char
eRt
heyar
esi
ngl
etons.Ther
efor
emeasur
abl
ezer
o

Hencef
(x)=0,
Thusf
(x)=0i
saeonR

Def
ini
ti
on

Twof
nsfandgdef
inedi
nthesamedomai
nEar
esai
dtobeequi
val
enti
ff=gonE
al
mostever
ywher
e(ae)

Exampl
e

{
0,
xir
rat
ional∀x ∈R
Pr
ovet
hatg(
x)=0i
sequi
val
entt
of(
x)def
inedby;
f(x)=
1,
x r
ati
onal

E-
E1 r
ati
onal

f
=g E1

f≠g M(
E1)=0

i
rr
ati
onal

Weneedt
oshowt
hatwhenf
(x) ≠g(
x)t
hent
hemeasur
eoft
hatset=zer
o
-Thi
spar
toft
hesetconsi
stsofr
ati
onalbut
,rat
ional
sar
esi
ngl
etoni
mpl
yi
ngt
hatt
hei
r
measur
eiszer
o.Ther
efor
ethemeasur
eoft
hispar
toft
heseti
szer
o

Theor
em

I
ff(
x)&g(
x)ar
eequi
val
entf
nsdef
inedonameasur
abl
efnE&f
(x)i
smeasur
abl
e,t
hen
g(
x)i
sal
someasur
abl
e.Pr
ove

Remar
k

Anyf
ndef
inedi
nasetofmeasur
ezer
oismeasur
abl
e.

Sol
n

f
=g E1 M(
E1)=0

E-
E1 f ≠g

I
nE-
E1,
g(x)i
smeasur
abl
esi
ncei
tisequalt
of(
x).

I
nE1,
f(x) ≠g(
x),
howevert
hemeasur
eoft
hatpar
toft
heseti
szer
o&af
ndef
inedi
na
setmeasur
ezer
oismeasur
abl
e.Ther
efor
eg(
x)i
smeasur
abl
einE1

∴E =E-
E1 ∪E1

Henceg(
x)i
smeasur
abl
eonE

Theor
em

I
faf
nfdef
inedonEi
scont
inuousaeonE,
thenfi
smeasur
abl
eonE.Pr
ove

Def
ini
ti
on

Asequence{
fn}ofaf
unct
iononEi
ssai
dtoconver
geaet
ofnf

f Li
I mfn(
x)=f
( E1,
x)∀x ∈E-
n→

Wher
eE1 ⊂Ewi
thM(
E1)=0
Exampl
e
n
Thesequence{
fn}gi
venbyf
(x)=(-
1)xn,
x ∈[
0,1]conv
ergesaei
nthef
nf(
x)=0.Pr
ove
(
n ∈N)

Sol
uti
on

Whenx=0,
f(x)=0

Whenx=½&n=1,
f(x)=-½

Whenn=2,
f(x)=¼

Whenn=3,
f(x)=1/
8

Whenn=4,
f(x)=1/
16

Whenx=½ f
(x)t
endst
ozer
o

Whenx=1f
(x)i
sosci
l
lat
ingbet
ween-
1&1.Thesear
esi
ngl
etons.Ther
efor
ethe
measur
eoff
(x)i
szer
osi
ncemeasur
eofsi
ngl
etoni
szer
othust
hesequencef
(x)
→0

RI
ESZTHEOREM

I
fasequence{
fn}conver
gesi
nmeasur
efonE,
thent
her
eexi
stsasubsequence{
fnk}
̅
of{
fn} ⊂conver
gest
ofaeonE.

Def
ini
ti
on

Letf
1andf
2ber
ealval
uef
unct
ionswi
thacommondomai
nE,
thent nf*andf*ar
hef e
def
inedt
ober
ealval
uef
nsonEwhoseval
uesatanypoi
ntx ∈Ear
egi
venby;

f*(
x)=max(
f x)+f
1( 2( )and
x)

x)=max(
f*( f x)+f
1( 2(x)
)

Theor
em

I
ff1andf
2ar
emeasur
abl
ef henf*andf*ar
nst emeasur
abl
e.

Pr
oof
Letα ∈R,
wehave

{
x: x)>α}={
f*( x:f
1(x)>α}∪{
x:f
2(x)>α}al
so

{
x: x)>α}={
f*( x:f
1(x)>α}∩{
x:f
2(x)>α}

Cl
ear
lyf*andf*ar
emeasur
abl
esi
ncei
nter
sect
ionofmeasur
abl
efnsi
smeasur
abl
e.
Equal
l
ytouni
onofmeasur
abl
efnsi
smeasur
abl
e.

RI
EMANNI
NTEGRAL

Ri
emanni
ntegr
alofaf
nf(
x)def
inedonani
nter
val[
a,b]canbedescr
ibedasf
oll
ows

f
(x)

a b

Di
vi
det
hei
nter
val[
a,b]i
ntoequalpar
tssucht
hat
;

a=x0 <x1 <x2...<xn =b.

Wehavesupr
imum S(
p)=
n
-S(
p)= ∑ DxiMi(
supr
imum i
.euppersum)
i=1

n
-S(
p)= ∑ Dximi(
inf
imum i
.el
owersum)
i=1

Wher
e;

 Mi =supr
imum f
(x)i
.ex
i-1<x<xi +1

 mi =i
nfi
mum f
(x)i
.ex
i-1<x<xi +1
 supr
imum

i
nfi
mum

Dx

Whent
hepar
ti
ti
onsar
eincr
easedi
.en→ t
heuppersumsdecr
easesi
nval
uewhi
l
ethe
l
owersumsi
ncr
easesi
nval
ue.

Mat
hemat
ical
l
ytheuppersum ar
edef
inedas;
∫b
afx)
( dx=i
nf∫
()

Whi
l
ethel
owersum i
sdef
inedas∫
b
afx)
( ∫
dx=sup()

I
f∫b
afx)
( b
dx=∫fx)
( dxt
hent
hef
nf(
x)i
ssai
dtobeRei
manni
ntegr
abl
eandt
hecommon
a

val
uei
swr
it
tenas;
∫b
afx)
( dx.

Exampl
e

{
3,&x r
ati
onal
Letf
:[
0, →Rbegi
1] venby;
f(x)= f
indt
heRei
manni
ntegr
al.
4,&x i
rr
ati
onal

Sol
uti
on

Fort
hisf
n,t
heosci
l
lat
ionsi
nanypar
ti
ti
ons[
0,1]
.Cannotbemadel
esst
han1andt
he
l
owerandupperRei
manni
ntegr
alt
aket
heval
ues4and3.Ther
efor
ethef
nfai
l
stobe
t
heRei
manni
ntegr
al.

LEBESGUEI
NTEGRAL

Letf
(x)bemeasur
abl
eonE=[
a,b]andA ≤f
(x)≤Bi
.ef
(x)i
sbounded

Lebesguei
ntegr
ali
sdescr
ibedasf
oll
ows.

f
(x)
 l
nB

l
+1
r

l
r

l
oA

a er b x

Subdi
vi
det
her
angeoff
(x)i
.epar
ti
ti
oni
ngi
nter
val[
a,b]wher
eA =l
0 <1 <
l ...<l
n =B

Leterbet
hemeasur
eon[
a,b]cor
respondi
ngt
othei
nter
valpar
ti
ti
onl
r≤(
fx)≤l
r+1.

n
ThenLebesgueuppersum wi
l
lbegi
venby;S = ∑ l
r+1er
r=1

n
Whi
l
ethel
owersum i
sgi
venby;
S= ∑ l
rer
r=1

Ast
hepar
ti
ti
oni
ngi
sincr
eased,
theuppersumswi
l
ldecr
easei
nval
uewhi
l
ethel
ower
sum wi
l
lincr
easei
nval
ueunt
ilbot
hoft
hem wi
l
lhaveacommonval
ue.Thecommon
val
uei
scal
l
edt
heLebesguei
ntegr
alval
ueoff
(x)overEwr
it
tenas;
∫Ef
(x)
dx=∫
[
a, f
b](x)
dx

DI
FFERENCEBETWEENREI
MANNI
NTEGRALANDLEBESGUEI
NTEGRAL

i
. I
nRei
manni
ntegr
al,
wesubdi
vi
det
hex-
int
erval
,whi
l
eLebesguei
ntegr
alwe
di
vi
det
hey-
int
erval
.

i
i
. Rei
manni
ntegr
ali
snotal
waysdef
ined;
howeverLebesguei
ntegr
ali
sal
ways
def
ined.

i
i
i. Rei
manni
ntegr
ali
sbasedonl
engt
hoft
hei
nter
val
,whi
l
eLebesguei
sbased
 ont
hemeasur
eoft
heset
.

Exampl
e

{
2,&x r
ati
onal
Letf
(x)bedef
inedi
nthei
nter
val[
0,1]by;
f(x)= f
indt
heLebesgue
3,&x i
rr
ati
onal
i
ntegr
al.

Sol
uti
on

Obvi
ousl
ytheRei
manni
ntegr
aldoesnotexi
sti
nthi
sfn.Thef
nisequi
val
entt
o;

g(
x)=3

i
.ex ∈[
0,1]

⟹∫
1
0fx)
( 1
0g
dx=∫ x)
( 1
dx=∫
03dx

=[
3x1
]
0

=3-0

=3

Theor
em

Aboundedf
nf(
x)t
hati
sint
egr
abl
eaccor
dingt
oRei
manni
sal
soi
ntegr
abl
eaccor
dingt
o
Lebesgue&bot
hint
egr
alscoi
nci
de.

Pr
oof

LetD ={
a=x0 <x1 <x2 <...<xn =b}

 Mi =supr
imum f
(x)

 mi =i
nfi
mum f
(x)

Rei
manni
ntegr
alar
e;
n n
⋃ M Dx andL
( =
D) ∑ i i R(D)= ∑ MiDxi
R
i=1 i=1
 }
̅
IR =i
nf⋃(
D)
R r ei
mannupper&l
oweri
nter
gral
I
R =supLR(
D)

}
̅ p
nf⋃()Lebesgueupper&l
LetIR =i oweri
nter
gral
I
R =supL(
p)

Wher
eP ={
A =y<y
1
<...<y
n =B}

AndA =f
(a)
andB =f
(b)

̅ ̅
Cl
ear
ly;
IR ≤I≤I ≤IR

̅ ̅
Si
ncef
(x)i
sboundedf
orx ∈[
a,b]t
hen,
IR =I=I =IR

Def
ini
ti
on

LetΩbeasetandσ-
al abeasubsetofΩ.ameasur
gebr eμonσ-
al ai
gebr saset
f
unct
ionhavi
ngdomai
nσ-
al asat
gebr isf
yingt
hef
oll
owi
ng.

a.μ(
A)≥0∀A ∈σ-
algebr
a

b.μ(
∅)=0

c.I
fA1andA2...ar
einσ-
al awi
gebr thAi ∩Aj =0f
ori≠jt
hen

μ ∪An =∑μ(
( )
n n
An)

- Thepai
r(Ω,
σ-al a)i
gebr scal
l
edmeasur
abl
espace

- Thet
ri
ple(
Ω,σ-
algebr
a,μ)i
scal
l
edmeasur
espace

Theor
em

MONOTONEDI
VERGENCETHEOREM;

I
f{f
}ismonot
onei
ncr
easi
ngsequenceoff
unct
i nM +(
onsi x,σ-
al a)whi
gebr ch
conver
gest
oft
hen∫
fdμ =l
i
m∫ndμ.
f

FATOU’
SLEMMA

I
ffnbel oM +(
ongst x,σ-
al a)t
gebr hen∫
(l
im i
nfn)
f dμ≤l
i
m i
nf∫
fndμ

THEEND