MEASURE THEORY

 Lebesgue Measure
 Lebesgue Outer Measuare
 Hein Borel Theorem
 Reisz Theorem
 Monotone Divergent Theorem
 Fatou’s Lemma

IDEAL PROPERTIES OF LEBESGUE OUTER MEASURE

i. 𝑀∗ 𝐴 ≥ 0 ∀ 𝐴 ⊆ ℝ
ii. The ideal 𝑀∗ ∅ = 0
iii. 𝑀∗ 𝐴 ≤ 𝑀∗ 𝐵 Iff 𝐴 ⊆ 𝐵
iv. 𝑀∗ {𝑥} = 0 Where {x} is a singleton set. ∀ 𝑥 ∈ ℝ

AUTHOR MR. KIPTOO

Introduction
- Measure theory is a general measure of;
i. Length (1 dimension)
ii. Area (2 dimension)
iii. Volume (3 dimension)
- The dimensions of measure can be in one, two, three upto n-dimension. It depends on
careful manipulations of points in a set.
- A point of a set can be a function.
- In defining a measure, we start with the outer measure ⊂ has most of the qualities of a
measure.
Length of an interval
The length L(I) of an interval I with end points 𝑎 & 𝑏 where 𝑎 < 𝑏 is defined as 𝑏 − 𝑎
I can be expressed as follows;
- (a,b) = open
- [a,b] = closed
- (a,d] = open, closed
- [a,b) = closed, open

N/B If a = b then L(I) = 0 unit, this implies that L(I) = ∅

- Since an interval I is a set of points, we say that it’s length is a set of functions fn of I
having the values L(I) ≥ 𝟎. Length is therefore non-negative real value.

N/B The idea of length can be generalized in area and volume

Definition
If I1, I2, I3, . . . In are mutually disjoint intervals, then,
𝑳 𝑰𝟏 ∪ 𝑰𝟐 ∪ 𝑰𝟑 ∪ . . . 𝑰𝒏 = 𝑳 𝑰𝟏 + 𝑳 𝑰𝟐 + 𝑳 𝑰𝟑 + . . . 𝑳(𝑰𝒏 )
Mutually disjoint is as illustrated below

𝑰𝟏 𝑰𝟐 𝑰𝟑 𝑰𝟒
The process above continues but the points in 𝑰𝟏 are not in 𝑰𝟐 or 𝑰𝟑 or in 𝑰𝟒
Example 1
If 𝐼1 = (3,5) and 𝐼2 = (6,9). Find 𝑳(𝑰𝟏 ∪ 𝑰𝟐 )
Solution
The points are mutually disjoint
∴ 𝐿 𝐼1 = 5 – 3 = 2 units
𝐿 𝐼2 = 9 – 6 = 3 units
𝐿(𝐼1 ∪ 𝐼2 ) = 𝐿 𝐼1 + 𝐿 𝐼2 = 2 + 3
= 5 units
N/B If the intervals are not mutually disjoint then;
𝑳(𝑰𝟏 ∪ 𝑰𝟐 ) . . . is not equal to 𝑳 𝑰𝟏 + 𝑳 𝑰𝟐 + . . .
Example 2
If 𝐼1 = (−2,5) and 𝐼2 = (3,8). Find 𝑳(𝑰𝟏 ∪ 𝑰𝟐 )
Solution
L(I1 ∪ I2 ) = 8 – (-2)
= 10 units
For this case we consider the outer measure of the sets. This is only done when the intervals are
not mutually disjoint.

CONCEPT OF MEASURE
The generalization of concept of measure of length to arbitrary sets on the real line leads to the
concept of measure of a set.
- The measure of a set E is denoted by M(E) where M is a function.

Ideal Properties Of Measure

a) M(E) is always defined for every set.
b) M(E) ≥ 0 therefore it is non-negative.
𝑛 𝑛
c) If 𝐸 = ∪ 𝐸𝑘 where Ek are mutually disjoint then M(E) = ∑ 𝑀(𝐸𝑘 ) finite additive
𝑘=1 𝑘=1
∞ ∞
d) If 𝐸 = ∪ 𝐸𝑘 where Ek are mutually disjoint then M(E) = ∑ 𝑀(𝐸𝑘 ) infinite additive
𝑘=1 𝑘=1

e) If E1⊆E2 then M(E1) ≤ M(E2)

f) Measure is translational invariant.
g) If E is an interval, then M(E) = L(I)
N/B If property c holds then property d holds. i.e finite is always contained in infinite.

OUTER MEASURE
The outer measure of a set E denoted by 𝑀∗ (𝐸) has the following properties
i. 𝑀∗ (𝐸) is always defined for every set E.
ii. 𝑀∗ (𝐸) ≥ 0 it is non-negative.
iii. 𝑀∗ 𝐸1 ∪ 𝐸2 ∪. . . ≤ 𝑀∗ 𝐸1 + 𝑀 ∗ 𝐸2 + . . . for all sets joint or not
LEBESQUE OUTER MEASURE
Definition
∞ ∞
Let ∪ 𝐼𝑛 in the set of finite or countable intervals in 𝐴 ⊆ ℝ then; 𝑀∗ 𝐴 = 𝐼𝑛𝑓 ∑ 𝐿(𝐼𝑛 )
𝑛=1 𝑛=1
- 𝑀∗ 𝐴 is the Lebesgue outer measure of a set A
IDEAL PROPERTIES OF LEBESGUE OUTER MEASURE
i. 𝑀∗ 𝐴 ≥ 0 ∀ 𝐴 ⊆ ℝ
ii. The ideal 𝑀∗ ∅ = 0
iii. 𝑀∗ 𝐴 ≤ 𝑀∗ 𝐵 Iff 𝐴 ⊆ 𝐵
iv. 𝑀∗ {𝑥} = 0 Where {x} is a singleton set. ∀ 𝑥 ∈ ℝ

Proof:
i. If 𝐼𝑛 = 𝑎𝑛 , 𝑏𝑛 then, 𝐿(𝐼𝑛 ) = 𝑏𝑛 − 𝑎𝑛 ≥ 0
so ∑ 𝐿 𝐼𝑛 ≥ 0 for any interval {In} with 𝐴 ⊆ ∪ 𝐼𝑛
𝑀∗ 𝐴 = 𝐼𝑛𝑓 ∑ 𝐿 𝐼𝑛 ≥ 0
⟹ 𝑀∗ 𝐴 ≥ 0

ii. Let ∅ = [𝑎, 𝑎)

⟹ 0 ≤ 𝑀∗ ∅ ≤ 𝑎 − 𝑎 = 0
⟹ 𝑀∗ ∅ = 0

iii. If 𝐵 ⊂∪ 𝐼𝑛 , then 𝐴 ⊂∪ 𝐼𝑛 since 𝐴 ⊆ 𝐵.

If 𝑀∗ 𝐵 = ∑ 𝐿 𝐼𝑛 , then 𝐴 ⊂ 𝐵 ⊂ ∪ 𝐼𝑛
⟹ 𝑀∗ 𝐴 ≤ ∑ 𝐿 𝐼𝑛 = 𝑀∗ 𝐵
⟹ 𝑀∗ 𝐴 ≤ 𝑀 ∗ 𝐵

iv. Consider the interval,

𝐼 = 𝑥 − 𝜀, 𝑥 + 𝜀 for 𝜀 > 0

𝜀 x 𝜀
Clearly 𝑥 ∈ 𝑥 − 𝜀, 𝑥 + 𝜀
𝑀∗ 𝐼 = 𝐿 𝐼 = { 𝑥 + 𝜀 − 𝑥 − 𝜀 } = 2𝜀
As 𝜀 → 0 then L(I) =0
⟹ 𝑀∗ 𝐼 𝐿(𝐼) = 0
⟹ 𝑀∗ 𝑥 = 0

PROPOSITION
 Lebesgue outer measure is translational invariant
i.e for any set A,
𝑀∗ 𝐴 = 𝑀 ∗ 𝐴 + 𝑥
Where A+x = {y+x, y∈A}
 Proof
For 𝜀 > 0 there exists a collection (In) such that 𝐴 ⊆ ∪ 𝐼𝑛 hence
𝑀∗ 𝐴 ≥ ∑ 𝐿 𝐼𝑛 − 𝜀
But 𝐴 + 𝑥 ⊆∪ 𝐼𝑛 + 𝑥
Therefore 𝑀∗ 𝐴 + 𝑥 ≤ ∑ 𝐿 𝐼𝑛 + 𝑥 = ∑ 𝐿 𝐼𝑛 ≤ 𝑀∗ 𝐴 + 𝜀 for 𝜀 > 0
As 𝜀 → 0, then
𝑀∗ 𝐴 + 𝑥 ≤ 𝑀∗ 𝐴 ………………….(i)
But A = A+x-x
⟹ 𝑀∗ 𝐴 ≤ 𝑀∗ 𝐴 + 𝑥 ……………(ii)
From (i) and (ii) it is clear that;
𝑀∗ 𝐴 = 𝑀∗ 𝐴 + 𝑥 Hence Lebesgue outer measure is translational invariant.

THEOREMS
a) HEIN BOREL THEOREM
Let F be a bounded closed set of real numbers, then each open cover of F has a finite sub-cover.

b) THE OUTER MEASURE OF AN INTERVAL IS ITS LENGTH

Proof
Case I
Suppose I is any finite interval, then given 𝜀 > 0 there exists a closed finite interval 𝐽 ⊂ 𝐼 such
that 𝐿 𝐽 < 𝐿(𝐼).
But 𝐿 𝐽 > 𝐿 𝐼 − 𝜀.
Therefore 𝐿 𝐼 − 𝜀 < 𝐿 𝐽 = 𝑀∗ 𝐽 ≤ 𝑀∗ 𝐼 = 𝐿(𝐼)
⟹ 𝐿 𝐼 − 𝜀 ≤ 𝑀∗ 𝐼 = 𝐿 𝐼 . For arbitrary 𝜺 > 0 then 𝑳 𝑰 = 𝑴∗ 𝑰

Case II
Suppose I is an infinite interval, then given any real number 𝑘 > 0, there exists a closed finite
interval 𝐽 ⊂ 𝐼, such that 𝐿 𝐽 = 𝑘.
Thus 𝑀∗ 𝐼 ≥ 𝑀∗ 𝐽 = 𝐿 𝐽 = 𝑘
i.e 𝑀∗ 𝐼 ≥ 𝑘, for any arbitrary real number 𝒌 > 0 hence 𝑴∗ 𝑰 = ∞ = 𝑳(𝑰)

c) LEBESGUE OUTER MEASURE (𝑴∗ ) HAS PROPERTY OF SUB-

ADDITIVITY
∪ ∑
Let {En} be a countable collection of sets, then; 𝑀∗ 𝐸𝑛 ≤ 𝑀∗ (𝐸𝑛 ).
𝑛 𝑛
Proof
𝑀∗ (𝐸𝑛 ) ≤ ∞ for 𝑛 ∈ ℕ
Suppose that 𝑀∗ 𝐸𝑛 < ∞
Then for a given 𝜺 > 0, there exists a countable collection. {𝐼𝑛 , 𝑖 } of open intervals
∪
And that 𝐸𝑛 ⊆ 𝐼𝑛 , 𝑖
𝑖
𝜺
Satisfying; ∑𝑳 𝑰𝒏 , 𝒊 ≤ 𝑀 ∗ 𝐸𝑛 + 2𝑛
∪ ∪∪
Then 𝐸𝑛 ⊆ (𝐼 , 𝑖)
𝑛 𝑛𝑖 𝑛
Howevera collection (𝐼𝑛 , 𝑖) form a countable collection of an open interval as the countable set
∪
is countable and covers 𝐸 .
𝑛 𝑛
∪ ∑ ∑
Therefore 𝑀∗ 𝐸𝑛 ≤ 𝑳 𝐼𝑛 , 𝑖 ≤ (𝑀∗ 𝐸𝑛 + 𝜺
𝑛 𝑖 𝑛
∪ ∑
Since 𝜺 > 0 is arbitrary then 𝑀∗ 𝐸𝑛 ≤ (𝑀∗ 𝐸𝑛
𝑛 𝑛

d) COROLLARY
If E is a countable set, then outer measure of E = 0, i.e 𝑴∗ 𝑬 = 𝟎
Proof
Since E is countable, it can be expressed as: 𝑬 = 𝒂𝟏 , 𝒂𝟐 ,. . . 𝒂𝒏 .
𝜺
Let 𝜺 > 0 be given, then enclosing each 𝒂𝒊 in an open interval 𝑰𝒊 with 𝑳 𝑰𝒊 = , 𝒊 = 𝟏, 𝟐, 𝟑. . .
𝟐𝒊
∞ ∞
𝜺
We get 𝑴∗ 𝑬 < ∑ 𝐿 𝐼𝑖 = ∑ 𝒊 = 𝜺
𝟐
𝑖=1 𝑖=1
Let 𝜺 → 𝟎
Then 𝑴∗ 𝑬 = 𝟎

Alternative proof
Countable subsets of ℝ are singletons.
Let Ei be the set of singletons.
∞
⋇ ⋃
⟹𝑀 𝐸𝑖 ≤ ∑ 𝑀 ⋇ (𝐸𝑖 )
𝑖 𝑖=1
But 𝑀⋇ 𝐸𝑖 = 0 since the interval is a measure of a singleton
 ⋃
⟹ 𝑀⋇ 𝐸 ≤0
𝑖 𝑖
⋃
But outer measure of a set is non-negative implying that ⟹ 𝑀⋇ 𝐸 =0
𝑖 𝑖
⟹ 𝑐𝑜𝑢𝑛𝑡𝑎𝑏𝑙𝑒 𝑠𝑒𝑡𝑠 𝑕𝑎𝑠 𝑚𝑒𝑎𝑠𝑢𝑟𝑒 𝑧𝑒𝑟𝑜

ANOTHER COROLLARY
The set is 0,1 uncountable.
Proof by contradiction
Assume that the set is countable
Then 𝑀⋇ 0,1 =0
but L(0,1) = 1-0 = 1 unit
𝑀⋇ 0,1 = 0 and L(0,1) = 1
i.e 0 = 1. This is contradiction
⟹ set [0,1] is uncountable

e) LEMMA
If 𝑀⋇ 𝐴 = 0 then 𝑀⋇ 𝐴 ∪ 𝐵 = 𝑀⋇ (𝐵)
Proof
𝑀⋇ 𝐴 ∪ 𝐵 ≤ 𝑀⋇ 𝐴 + 𝑀⋇ (𝐵)
But 𝑀⋇ 𝐴 = 0
⟹ 𝑀⋇ 𝐴 ∪ 𝐵 ≤ 𝑀⋇ (𝐵)……………..(i) since 𝑀⋇ 𝐴 = 0
But 𝐵 ⊆ (𝐴 ∪ 𝐵)
⟹ 𝑀⋇ (𝐵) ≤ 𝑀⋇ 𝐴 ∪ 𝐵 …………….(ii)
From (i) and (ii)
⟹ 𝑀⋇ 𝐴 ∪ 𝐵 = 𝑀⋇ (𝐵)

Remark
Outer measure is obtained whether an interval is;
- Closed
- Open
- Open-closed
 - Closed-open

LEBESGUE MEASURE
 The inner measure although defined for all sets in ℝ does not satisfy in general the
countable additivity
 in order to have the property of countable additivity satisfied, we must restrict the
domain of definition for the f𝒏 𝑴⋇ to some suitable subset of the power set 𝑷(ℝ). These
subsets are called measurable sets.
Definition
A set E is said to be Lebesgue measurable if given a set A then;
𝑀 ⋇ 𝐴 = 𝑀⋇ 𝐴 ∩ 𝐸 + 𝑀⋇ 𝐴 ∩ 𝐸 𝑐
A
Ec 𝐴∩𝐸 E

𝐴 ⊂ 𝐴 ∩ 𝐸 ⋃ 𝐴 ∩ 𝐸𝑐
⟹ 𝑀⋇ 𝐴 ≤ 𝑀⋇ 𝐴 ∩ 𝐸 + 𝑀⋇ 𝐴 ∩ 𝐸 𝑐 ……………..(i)
To prove Lebesgue measurability of a set E, we need to show that for any set A given
𝑀⋇ 𝐴 ≥ 𝑀⋇ 𝐴 ∩ 𝐸 + 𝑀⋇ 𝐴 ∩ 𝐸 𝑐 ………………..(ii)
The inequality (ii) is often used to show that a set A is measurable where the set A is called the
set test since it is used to test measurability.

Proof
let 𝐸 ⊆ ℝ with 𝑀⋇ 𝐴 = 0 ∀𝐴 ⊆ ℝ
𝐴∩𝐸 ⊆ℝ
⟹ 𝑀⋇ 𝐴 ∩ 𝐸 ≤ 𝑀⋇ 𝐸 = 0
⟹ 𝑀⋇ 𝐴 ∩ 𝐸 ≤ 0
𝑀⋇ 𝐴 ∩ 𝐸 = 0
Also 𝐴 ∩ 𝐸 𝑐 ⊆ 𝐴
⟹ 𝑀⋇ 𝐴 ∩ 𝐸 𝑐 ≤ 𝑀⋇ (𝐴)
⟹ 𝑀⋇ 𝐴 ≥ 𝑀⋇ 𝐴 ∩ 𝐸 + 𝑀⋇ 𝐴 ∩ 𝐸 𝑐
Having proved (ii) then clearly E is Lebesgue measurable
Corollary
Show that Ec is Lebesgue measurable
Proof
For 𝐴 ⊆ ℝ given
𝑀 ⋇ 𝐴 = 𝑀⋇ 𝐴 ∩ 𝐸 𝑐 + 𝑀⋇ 𝐴 ∩ 𝐸 𝑐 𝑐

𝑀 ⋇ 𝐴 = 𝑀⋇ 𝐴 ∩ 𝐸 𝑐 + 𝑀⋇ 𝐴 ∩ 𝐸

Theorem
∅ 𝑎𝑛𝑑 ℝ are Lebesgue measurable
Proof
Given 𝐴 ⊆ ℝ
Also 𝐴 ∩ ∅ = ∅ = 0
⟹ 𝑀⋇ 𝐴 ∩ ∅ = 𝑀⋇ (∅) = 0
⟹ 𝑀⋇ 𝐴 ∩ ∅ = 0
𝐴 ∩ ∅𝑐 = 𝐴 ∩ ℝ = 𝐴
⟹ 𝑀 ⋇ 𝐴 = 𝑀 ⋇ 𝐴 ∩ ∅𝑐
Combining the two;
𝑴⋇ 𝑨 = 𝑴⋇ 𝑨 ∩ ∅ + 𝑴⋇ 𝑨 ∩ ∅𝒄 therefore ∅ is Lebesgue measurable

𝐴∩ℝ =𝐴
⟹ 𝑀⋇ 𝐴 = 𝑀⋇ 𝐴 ∩ ℝ
𝐴 ∩ ℝ𝑐 = 𝐴 ∩ ∅ = ∅
𝑀⋇ 𝐴 ∩ ℝ𝑐 = 𝑀⋇ ∅ = 𝟎
⟹ 𝑀⋇ 𝐴 ∩ ℝ𝑐 = 𝟎
Combining the two;
𝑴⋇ 𝑨 = 𝑴⋇ 𝑨 ∩ ℝ + 𝑴⋇ 𝑨 ∩ ℝ𝒄 therefore ℝ is Lebesgue measurable

Theorem
Every interval is Lebesgue measurable
Proof
Consider 𝐸 = [𝑎, ∞]
We need to show that there exists a set 𝐴 ⊆ ℝ such that 𝑀⋇ 𝐴 = 𝑀⋇ 𝐴 ∩ 𝐸 + 𝑀⋇ 𝐴 ∩ 𝐸 𝑐
i.e 𝑀⋇ 𝐴 = 𝑀⋇ 𝐴 ∩ ([𝑎, ∞]) + 𝑀⋇ 𝐴 ∩ ([− ∞, 𝑎])
Let A1 = 𝐴 ∩ [𝑎, ∞] and A2 = 𝐴 ∩ − ∞, 𝑎
For 𝜀 > 0 there exist intervals In such that;
∞
⋃ ⋇
𝐴⊆ 𝐼 𝑎𝑛𝑑 𝑀 𝐴 ≥ ∑ 𝐿 𝐼𝑛 − 𝜀
𝑛=1𝑛 𝑛=1

Let 𝐼𝑛′ = 𝐼𝑛 ∩ 𝑎, ∞ 𝑎𝑛𝑑 𝐼𝑛′′ = 𝐼𝑛 ∩ (−∞, 𝑎]

⟹ 𝐿 𝐼𝑛 = 𝐿 𝐼𝑛′ + 𝐿(𝐼𝑛′′ )

∞ ∞ ∞
⟹ 𝑀⋇ 𝐴1 + 𝑀⋇ 𝐴2 ≤ ∑ 𝐿 𝐼𝑛′ + ∑ 𝐿 𝐼𝑛′′ ≤ ∑ 𝐿 𝐼𝑛 𝑛−1
≤ 𝑀⋇ 𝐴 + 𝜀
𝑛=1 𝑛=1 𝑛=1

For arbitrary 𝜺 > 0.

𝑀⋇ 𝐴 ≥ 𝑀⋇ 𝐴1 + 𝑀⋇ (𝐴2 )

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

⟹ 𝑀⋇ 𝐴 ≥ 𝑀⋇ 𝐴 ∩ 𝐸 + 𝑀 ⋇ 𝐴 ∩ 𝐸 𝑐

MEASURABLE FUNCTIONS
Naturally the set of infinite measure and functions taking the values ∞ and -∞ do occur. For
convenience, we use the extended real number system i.e add ∞ and -∞ to the real number
system with the following conversions.
 𝑎 + ∞ = ∞ 𝑓𝑜𝑟 𝑎 ≥ 0
 𝑎 . ∞ = ∞ 𝑓𝑜𝑟 𝑎 > 0
 𝑎 . ∞ = −∞ 𝑓𝑜𝑟 𝑎 < 0
 0−∞=0
 ∞.∞ = ∞
∞ ∞
However the following are undefined, ∞ , 0 , 𝑎𝑛𝑑 ∞ + (−∞)
Definition
An extended real 𝑓𝑛 F defined on a measurable set E is said to be Lebesgue measurable E if
𝑥: 𝑓 𝑥 > 𝛼 ∀𝛼 ∈ ℝ

Theorem
Let f be an extended real value 𝑓𝑛 ⊂ is measurable set E of finite or infinite.
Then the following statements are equivalent;
i. ∀𝛼 ∈ ℝ, 𝑥: 𝑓 𝑥 > 𝛼 is measurable
ii. ∀𝛼 ∈ ℝ, 𝑥: 𝑓 𝑥 ≥ 𝛼 is measurable
iii. ∀𝛼 ∈ ℝ, 𝑥: 𝑓 𝑥 < 𝛼 is measurable
iv. ∀𝛼 ∈ ℝ, 𝑥: 𝑓 𝑥 ≤ 𝛼 is measurable
Proof
Let F be measurable
∞
1
 ∀𝛼 ∈ ℝ, 𝑥: 𝑓 𝑥 ≥ 𝛼 = ⋂ 𝑥: 𝑓 𝑥 > 𝛼 − 𝑛 ∀𝛼 ∈ ℝ
𝑛=1
The R.H.S is measurable being an intersection of measurable 𝑓𝑛. Therefore the L.H.S is
also measurable. Thus (i) ⟹ (ii)
𝑐
 Clearly 𝑥: 𝑓 𝑥 < 𝛼 = 𝑥: 𝑓 𝑥 ≥ 𝛼
The L.H.S is measurable being a complement of a Lebesgue measurable 𝑓𝑛. Therefore
the R.H.S is also measurable. Thus (ii) ⟹ (iii)
∞
1
 ∀𝛼 ∈ ℝ, 𝑥: 𝑓 𝑥 ≤ 𝛼 = ⋂ 𝑥: 𝑓 𝑥 < 𝛼 + 𝑛 ∀𝛼 ∈ ℝ
𝑛=1
The R.H.S is measurable being an intersection of measurable 𝑓𝑛. Therefore the L.H.S is
also measurable. Thus (iii) ⟹ (iv)
𝑐
 ∀𝛼 ∈ ℝ, 𝑥: 𝑓 𝑥 ≤ 𝛼 = 𝑥: 𝑓 𝑥 > 𝛼
The L.H.S is measurable being a complement of a Lebesgue measurable 𝑓𝑛. Therefore
the R.H.S is also measurable. Thus (iv) ⟹ (i).

Remark
Any 𝑓𝑛 defined on a measurable set E is measurable if it satisfies one of the above statements
Example 1
Show that if f is measurable, then f(x) = 𝛼
Sol.
∀𝛼 ∈ ℝ, 𝑥: 𝑓 𝑥 = 𝛼 = 𝑥: 𝑓 𝑥 ≥ 𝛼 ⋂ 𝑥: 𝑓 𝑥 ≤ 𝛼
The R.H.S is measurable since intersection of measurable functions is measurable. Therefore
L.H.S is measurable.
Example 2
Prove that constant functions are measurable
Sol.
Proof
For convenient choice of 𝜶, the constant 𝑓𝑛 becomes either ∅ or the real line ℝ . But these sets
are measurable. Therefore constant 𝑓𝑛𝑠 are measurable.
Example 3
Show that the characteristic function ∱𝑥 is measurable of the set sigma algebra is measurable
iff A is measurable.
Soln.
ℝ
Depending on the choice of 𝜶, the set {𝒙: ∱𝑨 𝒙 = ∅ ∀𝑥 ∈ ∱
𝑨
Since the real line ℝ & ∅ are measurable, then A is also measurable. Thus characteristic 𝑓𝑛 is
measurable iff A is measurable.
Example 4
Continuous 𝑓𝑛𝑠 are measurable. Prove
Soln
For continuous 𝑓𝑛𝑠;
𝑥: 𝑓 𝑥 > 𝛼 ∀𝛼 ∈ ℝ is open
Open sets are measurable
Therefore continuous 𝑓𝑛𝑠 are measurable
Example 5
Theorem
Let C be a real constant and f be a measurable 𝑓𝑛 defined in a measurable set. Then;
i. 𝑐 + 𝑓 is measurable
ii. 𝑐𝑓is measurable
Prove
Soln
i. ∀𝛼 ∈ ℝ, 𝑥: 𝐶 + 𝑓 𝑥 > 𝛼 = 𝑥: 𝑓 𝑥 > 𝛼 − 𝐶
The RHS is measurable, therefore LHS is measurable. Therefore 𝒄 + 𝒇 is measurable
ii. When C = 0
∀𝛼 ∈ ℝ, 𝑥: 𝐶𝑓 𝑥 > 𝛼 = 0 which is constant
But constant 𝑓𝑛𝑠 are measurable, therefore 𝒄𝒇is measurable
When 𝑐 ≠ 0
𝛼
∀𝛼 ∈ ℝ, 𝑥: 𝐶𝑓 𝑥 > 𝛼 = 𝑥: 𝑓 𝑥 > Therefore cf is measurable
𝑐

Example 6
If f is measurable, show that 𝒇 is measurable
Soln
∀𝛼 ∈ ℝ, 𝑥: 𝒇 𝑥 > 𝛼 = 𝑥: 𝑓 𝑥 < −𝛼 ∪ 𝑥: 𝑓 𝑥 > 𝛼
The fn in RHS is measurable & union of measurable fns are measurable. Therefore 𝒇 is
measurable

SETS OF MEASURE ZERO

These are sets that are negligible in the theory of Lebesgue measure and Lebesgue integration.
Definition
A property is said to hold goods almost everywhere(ae) if the set of points where it fails to hold
are measurable zero. (ae) → almost everywhere
Example 1
If a fn f defined on a set E is discontinuous in subset E where measure is zero and continuous
elsewhere in E, the f is said to be continuous (ae) on E
E
E-E1 f-discontinuous.
E1 M(E1) = 0
f-continuous ae.
Example 2
Let f be a fn defined on real line R by;
 0, 𝑥 𝑖𝑟𝑟𝑎𝑡𝑖𝑜𝑛𝑎𝑙
𝑓 𝑥 =
1, 𝑥 𝑟𝑎𝑡𝑖𝑜𝑛𝑎𝑙
Then 𝑓 𝑥 = 0 is ae on R. prove
Soln
For rational numbers which are R they are singletons. Therefore measurable zero
Hence f(x) = 0, Thus f(x) = 0 is ae on R
Definition
Two fns f and g defined in the same domain E are said to be equivalent if f = g on E almost
everywhere(ae)
Example
0, 𝑥 𝑖𝑟𝑟𝑎𝑡𝑖𝑜𝑛𝑎𝑙
Prove that g(x) = 0 is equivalent to f(x) defined by; 𝑓 𝑥 = ∀𝑥 ∈ ℝ
1, 𝑥 𝑟𝑎𝑡𝑖𝑜𝑛𝑎𝑙
E
E-E1 rational
f=g E1
f≠g M(E1) = 0
irrational
We need to show that when f(x) ≠ 𝒈(𝒙) then the measure of that set = zero
- This part of the set consists of rational but, rationals are singleton implying that their measure
is zero. Therefore the measure of this part of the set is zero
Theorem
If f(x) & g(x) are equivalent fns defined on a measurable fn E & f(x) is measurable, then g(x) is
also measurable. Prove
Remark
Any fn defined in a set of measure zero is measurable.
Soln

f=g E1 M(E1) = 0
E-E1 f≠𝑔

In E-E1, g(x) is measurable since it is equal to f(x).

In E1, f(x) ≠g(x), however the measure of that part of the set is zero & a fn defined in a set
measure zero is measurable. Therefore g(x) is measurable in E1
∴ 𝑬 = 𝑬 − 𝑬𝟏 ∪ 𝑬𝟏
Hence g(x) is measurable on E
Theorem
If a fn f defined on E is continuous ae on E, then f is measurable on E. Prove
Definition
A sequence {fn} of a function on E is said to converge ae to fn f
𝐿𝑖𝑚
If 𝑓𝑛 𝑥 = 𝑓 𝑥 ∀𝑥 ∈ 𝐸 − 𝐸1 ,
𝑛→∞
Where 𝐸1 ⊂ 𝐸 with M(E1) = 0
Example
The sequence {fn} given by 𝑓 𝑥 = −1 𝑛 𝑥 𝑛 , 𝑥 ∈ [0,1] converges ae in the fn f(x) = 0. Prove
(𝑛 ∈ ℕ)
Solution
When x = 0, f(x) = 0
When x = ½ & n = 1 , f(x) = - ½
When n = 2, f(x) = ¼
When n = 3, f(x) = 1/8
When n = 4, f(x) = 1/16
When x=½ f(x) tends to zero
When x = 1 f(x) is oscillating between -1 & 1. These are singletons. Therefore the measure of
f(x) is zero since measure of singleton is zero thus the sequence f(x)→ 0
RIESZ THEOREM
If a sequence {fn} converges in measure f on E, then there exists a subsequence {fn k} of {fn} ⊂
converges to f ae on E.
Definition
Let f1 and f2 be real value functions with a common domain E, then the fn 𝑓 ∗ 𝑎𝑛𝑑 𝑓∗ are defined
to be real value fns on E whose values at any point 𝑥 ∈ 𝐸 are given by;
𝑓 ∗ 𝑥 = 𝑚𝑎𝑥 𝑓1 𝑥 + 𝑓2 (𝑥) and
𝑓∗ 𝑥 = 𝑚𝑎𝑥 𝑓1 𝑥 + 𝑓2 (𝑥)
Theorem
If f1 and f2 are measurable fns then 𝑓 ∗ 𝑎𝑛𝑑 𝑓∗ are measurable.
Proof
Let 𝛼 ∈ ℝ , we have
𝑥: 𝑓 ∗ 𝑥 > 𝛼 = 𝑥: 𝑓1 𝑥 > 𝛼 ∪ 𝑥: 𝑓2 𝑥 > 𝛼 also
𝑥: 𝑓∗ 𝑥 > 𝛼 = 𝑥: 𝑓1 𝑥 > 𝛼 ∩ 𝑥: 𝑓2 𝑥 > 𝛼
Clearly 𝑓 ∗ 𝑎𝑛𝑑 𝑓∗ are measurable since intersection of measurable fns is measurable. Equally to
union of measurable fns is measurable.
RIEMANN INTEGRAL
Riemann integral of a fn f(x) defined on an interval [a,b] can be described as follows
f(x)

a b
Divide the interval [a,b] into equal parts such that;
𝑎 = 𝑥0 < 𝑥1 < 𝑥2 . . . < 𝑥𝑛 = 𝑏.
We have suprimum S(p) =
𝑛
-𝑆 𝑝 = ∑ 𝐷𝑥𝑖 𝑀𝑖 (suprimum i.e upper sum)
𝑖=1
𝑛
- 𝑆 𝑝 = ∑ 𝐷𝑥𝑖 𝑚𝑖 (infimum i.e lower sum)
𝑖=1
Where;
 𝑀𝑖 = 𝑠𝑢𝑝𝑟𝑖𝑚𝑢𝑚 𝑓 𝑥 𝑖. 𝑒 𝑥𝑖 − 1 < 𝑥 < 𝑥𝑖 + 1
 𝑚𝑖 = 𝑖𝑛𝑓𝑖𝑚𝑢𝑚 𝑓 𝑥 𝑖. 𝑒 𝑥𝑖 − 1 < 𝑥 < 𝑥𝑖 + 1
suprimum

infimum

Dx
When the partitions are increased i.e 𝑛 → ∞ the upper sums decreases in value while the lower
sums increases in value.
𝑏
Mathematically the upper sum are defined as; ∫𝑎 𝑓 𝑥 𝑑𝑥 = 𝑖𝑛𝑓 ∫
𝑏
While the lower sum is defined as ∫𝑎 𝑓 𝑥 𝑑𝑥 = 𝑠𝑢𝑝 ∫
𝑏 𝑏
If ∫𝑎 𝑓 𝑥 𝑑𝑥 = ∫𝑎 𝑓 𝑥 𝑑𝑥 then the fn f(x) is said to be Reimann integrable and the common
𝒃
value is written as; ∫𝒂 𝒇 𝒙 𝒅𝒙.
Example
3, 𝑥 𝑟𝑎𝑡𝑖𝑜𝑛𝑎𝑙
Let 𝑓: [0,1] → ℛ be given by; 𝑓 𝑥 = find the Reimann integral.
4, 𝑥 𝑖𝑟𝑟𝑎𝑡𝑖𝑜𝑛𝑎𝑙
Solution
For this fn, the oscillations in any partitions [0,1]. Cannot be made less than 1 and the lower
and upper Reimann integral take the values 4 and 3. Therefore the fn fails to be the Reimann
integral.
LEBESGUE INTEGRAL
Let f(x) be measurable on E=[a,b] and 𝐴 ≤ 𝑓(𝑥) ≤ 𝐵 i.e f(x) is bounded
Lebesgue integral is described as follows.
f(x)
ln B
lr+1
lr

lo A

a er b x
Subdivide the range of f(x) i.e partitioning interval [a,b] where 𝐴 = 𝑙0 < 𝑙1 <. . . < 𝑙𝑛 = 𝐵
Let er be the measure on [a,b] corresponding to the interval partition 𝑙𝑟 ≤ 𝑓 𝑥 ≤ 𝑙𝑟 + 1.
𝑛
Then Lebesgue upper sum will be given by; 𝑆 = ∑ 𝑙𝑟 + 1 𝑒𝑟
𝑟=1
𝑛
While the lower sum is given by; 𝑆 = ∑ 𝑙𝑟 𝑒𝑟
𝑟=1
As the partitioning is increased, the upper sums will decrease in value while the lower sum will
increase in value until both of them will have a common value. The common value is called the
Lebesgue integral value of f(x) over E written as; ∫𝐸 𝑓 𝑥 𝑑𝑥 = ∫[𝑎,𝑏] 𝑓 𝑥 𝑑𝑥

DIFFERENCE BETWEEN REIMANN INTEGRAL AND LEBESGUE INTEGRAL

i. In Reimann integral, we subdivide the x-interval, while Lebesgue integral we divide
the y-interval.
ii. Reimann integral is not always defined; however Lebesgue integral is always defined.
iii. Reimann integral is based on length of the interval, while Lebesgue is based on the
measure of the set.
Example
2, 𝑥 𝑟𝑎𝑡𝑖𝑜𝑛𝑎𝑙
Let f(x) be defined in the interval [0,1] by; 𝑓 𝑥 = find the Lebesgue
3, 𝑥 𝑖𝑟𝑟𝑎𝑡𝑖𝑜𝑛𝑎𝑙
integral.
Solution
Obviously the Reimann integral does not exist in this fn. The fn is equivalent to;
g(x) = 3
i.e 𝑥 ∈ [0,1]
1 1 1
⟹ ∫0 𝑓 𝑥 𝑑𝑥 = ∫0 𝑔 𝑥 𝑑𝑥 = ∫0 3𝑑𝑥
1
= 3𝑥 0

= 3- 0
=3
Theorem
A bounded fn f(x) that is integrable according to Reimann is also integrable according to
Lebesgue & both integrals coincide.
Proof
Let 𝐷 = {𝑎 = 𝑥0 < 𝑥1 < 𝑥2 < . . . < 𝑥𝑛 = 𝑏}
 𝑀𝑖 = 𝑠𝑢𝑝𝑟𝑖𝑚𝑢𝑚 𝑓 𝑥
 𝑚𝑖 = 𝑖𝑛𝑓𝑖𝑚𝑢𝑚 𝑓 𝑥
Reimann integral are;
 𝑛 𝑛
⋃
𝐷 = ∑ 𝑀𝑖 𝐷𝑥𝑖 and 𝐿𝑅 (𝐷) = ∑ 𝑀𝑖 𝐷𝑥𝑖
𝑅 𝑖=1 𝑖=1
⋃
𝐼𝑅 = 𝑖𝑛𝑓 𝐷
𝑅 𝑟𝑒𝑖𝑚𝑎𝑛𝑛 𝑢𝑝𝑝𝑒𝑟 & 𝑙𝑜𝑤𝑒𝑟 𝑖𝑛𝑡𝑒𝑟𝑔𝑟𝑎𝑙
𝐼𝑅 = 𝑠𝑢𝑝𝐿𝑅 (𝐷)
𝐼𝑅 = inf ⋃ 𝑝
Let 𝐿𝑒𝑏𝑒𝑠𝑔𝑢𝑒 𝑢𝑝𝑝𝑒𝑟 & 𝑙𝑜𝑤𝑒𝑟 𝑖𝑛𝑡𝑒𝑟𝑔𝑟𝑎𝑙
𝐼𝑅 = sup 𝐿 (𝑝)
Where 𝑃 = {𝐴 = 𝑦 < 𝑦1 < . . . < 𝑦𝑛 = 𝐵}
And 𝐴 = 𝑓 𝑎 𝑎𝑛𝑑 𝐵 = 𝑓(𝑏)
Clearly; 𝐼𝑅 ≤ 𝐼 ≤ 𝐼 ≤ 𝐼𝑅
Since f(x) is bounded for 𝑥 ∈ [𝑎, 𝑏] then, 𝐼𝑅 = 𝐼 = 𝐼 = 𝐼𝑅

Definition
Let Ω be a set and 𝝈 − 𝒂𝒍𝒈𝒆𝒃𝒓𝒂 be a subset of Ω. a measure 𝜇 on 𝝈 − 𝒂𝒍𝒈𝒆𝒃𝒓𝒂 is a set
function having domain 𝝈 − 𝒂𝒍𝒈𝒆𝒃𝒓𝒂 satisfying the following.
a. 𝜇 𝐴 ≥ 0 ∀𝐴 ∈ 𝝈 − 𝒂𝒍𝒈𝒆𝒃𝒓𝒂
b. 𝜇 ∅ = 0
c. If A1 and A2 . . . are in 𝝈 − 𝒂𝒍𝒈𝒆𝒃𝒓𝒂 with 𝑨𝒊 ∩ 𝑨𝒋 = 𝟎 𝑓𝑜𝑟 𝒊 ≠ 𝒋 then
∪ ∑
𝜇 𝐴 = 𝜇(𝐴𝑛 )
𝑛 𝑛 𝑛
- The pair (𝜴, 𝝈 − 𝒂𝒍𝒈𝒆𝒃𝒓𝒂) is called measurable space
- The triple (𝜴, 𝝈 − 𝒂𝒍𝒈𝒆𝒃𝒓𝒂, 𝝁) is called measure space
Theorem
MONOTONE DIVERGENCE THEOREM;
If {f} is monotone increasing sequence of functions in 𝑀+ 𝑥, 𝝈 − 𝒂𝒍𝒈𝒆𝒃𝒓𝒂 which converges to
f then ∫ 𝑓𝑑𝜇 = 𝑙𝑖𝑚∫ 𝑓𝑛𝑑𝜇.
FATOU’S LEMMA
If fn belongs to 𝑀+ 𝑥, 𝝈 − 𝒂𝒍𝒈𝒆𝒃𝒓𝒂 then ∫ lim⁡𝑖𝑛𝑓𝑓𝑛 𝑑𝜇 ≤ lim⁡𝑖𝑛𝑓 ∫ 𝑓𝑛𝑑𝜇

THE END