Chapter 05

Convergence

5.1. Forms of Convergence:

Let { fn } be a sequence of measureable functions with the common
domain Χ ( i.e. of the type fn ∶ Χ → R ). The points x ∈ Χ , where

lim ¿ fn ( x )=lim inf fn (x)

n n

are called the points of CONVERGENCE of the sequence. The common

value of the limits is called the limit of the sequence, and is denoted by
lim fn ( x ) .
n

It has been shown (section 4.4) that the set where lim fn ( x ) exits or where
n

{ fn } converges is measureable.

If the sequence converges everywhere (in Χ ) except in a set of measure

zero, the convergence is called CONVERGENCE ALMOST
EVERYWHERE (convergence a.e).

If { fn } converges to f ( i.e. f =lim fn ( x ) ) for x ∈ Ε , we write;

n

fn ( x ) ⟶ f ( x ) , as n ⟶ ∞ , for x ∈ Ε .

symbolically we may write;

for x ∈ Ε , for given ε > 0, there exists a positive integer N such that

|fn ( x )−f (x)|< ε for n ≥ N

In general N depends on both ε ∧x but it may happen that N depends
only on ε , ( i.e. N is the same for all x ∈ Ε ¿ . Such a convergence is called
UNIFORM CONVERGENCE.

If the sequence { fn } is such that for a given ε > 0, there exists a positive
integer N with

|fn ( x )−fm(x )|< ε for m∧n ≥ N

then the sequence is called CAUCHY or FUNDEMENTAL SEQUENCE.

If the above inequality holds for every x ∈ Χ except in a set of measure

zero, the sequence is called FUNDAMENTAL a.e.

If the integer N is independent of x then the sequence is called

UNIFORMLY FUNDEMENTAL.

Every convergent sequence is fundamental sequence but converse is

not true. Converse is true only in complete spaces (Complete space and
complete measure are different concepts). R is a complete space but Q is
not. The space of simple functions is also not a complete space.

Similar relation holds between a.e fundamental and a.e convergent

sequences and also between uniformly fundamental and uniformly
convergent sequences.

Difference between ordinary convergence and uniform convergence can

best be described through the following example.

Let fn ( x )=x n , x ∈ [ 0 , 1 ]

For 0< ε <1, we have

logε
|fn ( x )−0|=fn ( x )=x n <ε , if n> .
log x

1
Limit of fn ( x ) is zero because as x ∈ [ 0 ,1 ] so if we put x = 2 then
 fn ( x )=fn ( 12 )= 12 , 14 , 18 , … … → 0
Although the sequence { fn } converges to zero everywhere for x ∈ [ 0 ,1 ] i.e.
logε
even at x = 1, but log x ⟶ ∞ as x ⟶ 1, therefore we cannot find same N for

all x ∈ [ 0 ,1 ]. Hence the sequence is not uniformly convergent in any

subset of [ 0 , 1 ] which contains the point 1. On the other hand, if 0< a<1,
then the sequence is uniformly convergent in [ 0 , a ]
.

5.2. Almost Uniform Convergence:

Motivated by the above example we prove a theorem known as Egoroff’s
theorem in connection with the convergence of a sequence of
measureable functions.

Theorem 44 (Egoroff’s Theorem):

If {fn } is a sequence of finite valued measureable functions converging to

a finite valued measureable function f on a set Ε(⊂ Χ ) of finite measure,
then for every ε > 0, there exists a measureable subset F of E, such that
μ ( F ) < ε , and such that the sequence { fn } converges uniformly to f on

Ε−F .

Proof:

Let for a fixed positive integer m

{
Emn =¿ i=n ¿ m xϵE ,|f i ( x )−f ( x)|<
1
m }
m m m m
Then E1 ⊂ E2 ⊂ E3 ⊂ … i.e. En is an increasing sequence of sets
Therefore, for n ϵ N , { Ε−E mn } is a decreasing sequence of sets, and since
fn ⟶ f , as n ⟶ ∞ everywhere on Ε ,

lim { Ε−Emn }=ϕ

n

Hence by theorem 11,

( )
μ ( ∅ )=0=μ lim { Ε−E n } =lim ( μ ( Ε−En ) )
m m

n n

Therefore for a given ε > 0, there exists a positive integer ν ( m ), such that

ε
μ ( Ε−E ν ( m) )<
m
m.
2

Let F=¿ m=1 ¿ ∞ ( Ε−Eν (m ) ),

m

∞
μ ( F ) =μ ( ¿ m=1 ¿ ∞ ( Ε−E m
ν (m ) ) ) ≤ ∑ μ ( Ε−Emν ( m) )< ε .
m=1

By De Morgan laws on relative complements (section 1.2, (ii))

Ε−F=E−¿ m=1¿ ∞ ( Ε−Emν ( m) )

m
⇒ Ε−F=E−¿ m=1¿ ∞ E ν (m )

The sets on the right are Emn , where n ≥ ν ( m ) , and in every one of them

1
|f n ( x ) −f (x )|< m , for n ≥ ν ( m ) ,

where ν depends on m and is independent of x . This means that the

sequence { fn } is uniformly convergent on Ε−F , where μ ( F ) ¿ ε .

■
Such a uniform convergence is called ALMOST UNIFORM
CONVERGENCE. (or a.u convergence). It should not be confused with
uniform convergence almost everywhere. Uniform Convergence a.e
implies a.u convergence but the converse is not, in general, true.

Egoroff’s theorem remains true if instead of finite valued functions we

consider almost everywhere finite valued functions and instead of
convergence everywhere we take convergence almost everywhere (on
E). The proof depends on the measure of the sets concerned. Naturally
sets of zero measure can be ignored without loss of generality.

For the converse of Egoroff ‘s theorem we do not need that μ(E) should
be finite.

Theorem 45:

If { fn } is a sequence of measureable functions which converges to f

almost uniformly, then { fn } converges to f almost everywhere.

Proof:

1
For n ϵ N , Let F n be measureable with μ ( F n ) < n , and such that { fn }

converges uniformly to f on F 'n , n ϵ N .

Let F=¿ n=1¿ ∞ F n, then μ ( F ) ≤ μ ( F n ).

1
Hence μ ( F ) < n , for all n. Therefore μ ( F ) =0.

This means that { fn } converges on F ' . Since μ ( F ) =0, { fn } converges

almost everywhere (on Χ ).
 ■

From the above theorem we find that on finite measure space (i.e.
μ ( X ) < ∞ ) Convergence a.e implies a.u convergence, while the converse

is true in all case (i.e. even when μ ( X ) is infinite).

5.3. Convergence in Measure:

If { fn } is a sequence of measureable functions which converge a.e to f
on a set E of finite measure, and if for a given ε > 0 , and n ϵ N ,

En ( ε )={ x ϵ E ,|f n ( x )−f ( x )|≥ ε },

then the failure of the sequence { fn } to converge to f implies that x ϵ E n ( ε )

for every ε > 0 , and for infinitely many values of n. It means that (section
1.2 (iii))

x ϵ lim ¿ En ( ε ) .
n

If fn ⟶ f , a.e on E then for every ε > 0,

( )
μ lim ¿ E n ( ε ) =0 ¿
n

It can be shown that the condition (1) is not only necessary but sufficient
for fn ⟶ f , a.e on R .

By Theorem 11

( )
μ lim ¿ E n ( ε ) =lim μ ( ¿ m=n ¿ ∞ Em ( ε ) ) .
n n
Thus in place of (1) above we can equivalently say that fn ⟶ f , a.e on E
iff for every ε > 0, lim μ ( ¿ m=n ¿ ∞ Em ( ε ) )=0 .
n

By Theorem 13

(
lim ¿ μ ( En ( ε ) ) ≤ μ lim ¿ En ( ε )
n n )
Therefore by (1) above as μ is non negative

lim ¿ μ ( En ( ε ) ) =0
n

again as μ is non negative

lim μ ( En ( ε ) ) =0¿ (2)

n

Condition (2) for every ε > 0 is, therefore necessary for the convergence
a.e of { fn } to f on E (of finite measure).

We now define new kind of convergence, we say that for every ε > 0, (2)
holds then the sequence { fn } CONVERGES IN MEASURE to f .

The way we have arrived at the new definition fully demonstrates the fact
that in a space of finite measure convergence a.e implies convergence
in measure. The converse, in general, is not true (example 2).

The definition of convergence in measure, although formulated as a

result of discussion of spaces of finite measure, yet is applicable to any
space of infinite measure (i.e. μ ( X )=∞ ) the same i.e.

 A sequence { fn } of a.e finite valued measureable functions

converges in measure to the measureable function f if for every
ε > 0,
 lim μ ( { x :|f n ( x ) −f ( x )|≥ ε })=0 .
n

In the general case ( when μ ( X )=∞ ), however, the two concepts of

convergence a.e and convergence in measure are quite independent
and no one implies the other.

In the following example we show that (in a space of infinite measure)

a sequence of functions is convergent everywhere but is not
convergent in measure.

Example: 1

Take the measure space ( N , P ( N ) , μ ) where N is the set of natural

numbers, P ( N ) is its power set and for every subset E of N , μ ( E )=n ( E ).

Let X n be the characteristic function of the set { 1 , 2, 3 , … , n } .The

sequence { X n } converges to 1 everywhere on N , but it is not
convergent in measure. It also shows that the sequence although
convergent is not uniformly convergent. Hence Egoroff’s theorem is
not, in general, true for spaces with infinite measure.

In the next example we show that a convergent in measure sequence

is not necessarily convergent (as is evident from above discussion).

Example: 2

Let X =[ 0 ,1 ] , with μ as Lebesgue measure.

Let for n ϵ N∧i=1 , 2 ,3 , … , n .

F in=
[ i−1 i
, ,
n n ]
and let X in be the characteristic function of F in.
 The Sequence X 11 , X 12 , X 21 , X 13 , X 23 , X 33 , … … … converges in measure to
zero but fails to converge at any point of X .

Here F 11=[ 0 ,1 ] , F12= 0 ,

[ ] [ ]
1
2
1 1
, F 22= , ,… … …
2 2

Hence for any ε > 0 and i=1 , 2 ,3 , … , n,

Ein ( ε )={ xϵ [ 0 ,1 ] , X in ( x )> ε }=Fin

1
μ ( E n ( ε ) )=μ ( F n ) = ,
i i
Hence n
and so for

1
lim μ ( En ( ε ) ) =lim =0¿ (1)
i

n n n

Then the sequence { X in } converges in measure to 0.On the other hand

lim ¿ En ( ε )= [ 0 , 1 ]
i
for every ε > 0 n
because every x for which X in ( x ) >ε
belongs to Ein ( ε ) for in finitely many n.

Since

( )
μ lim ¿ E in ( ε ) =μ ([ 0 , 1 ])=1 ≠ 0¿ (2)
n

the sequence { X in } does not converge on [ 0 , 1 ].

 If a sequence { f n } of a.e finite valued measureable functions is such

that for every ε > 0 ,
lim μ ( { x :|f n ( x ) −f m ( x )|≥ ε })=0 , as n , m⟶ ∞ ,
n

the sequence is called FUNDEMENTAL IN MEASURE.

Before we prove some results on convergent in measure sequences it

will not be out of place to mention a couple of relations between inverse
images of sets (in particular infinite intervals) under different functions.
These relations will be found useful in our further discussions.

Relation 1:

If c is any real number and f ≤ g , then f

−1
(¿ )⊂ g
−1
(¿) or
{ x :f ( x ) ≥ c } ⊂ { x : g ( x ) ≥ c }

Relation 2:

If c is as in 1 above and f , gare two extended real values functions,

then

{ 2 }{c c
{ x :f ( x ) + g ( x ) ≥ c } ⊂ x : f ( x ) ≥ ∪ x : g ( x ) ≥ .
2 }

Important Note: All the functions in the following theorems are

measureable.

Theorem 46:

If { f n } converges in measure to f and also to g, then f =g a . e

( convergent in measure is unique).

Proof:

|f −g|=|f −f n +f n−g|

|f −g|≤|f n−f |+|f n−g|∵|a+ b|≤|a|+|b|

 Hence for every c >0, by the above relations

{
{ x :|f ( x )−g ( x )|≥ ε } ⊂ x :|f n ( x )−f ( x )|≥ 2ε }∪ {x :|f ( x) −g ( x )|≥ 2ε }
n

In view of convergence in measure of { f n } to f and also to g, the

measure of the two sets on the right tend to zero as n ⟶ ∞. The
set on the left is included in their union and is independent of n.
Hence its measure is zero,

so f =g , a . e .

Theorem 47:

Almost Uniform convergence implies convergence in measure.

Proof:

Let { f n } converges almost uniformly to f .Therefore for ε > 0 and δ >0, there
exists a measureable set F , such that μ ( F ) < δ , and for sufficiently large
values of n

|f n ( x ) −f ( x )|<ε when x ϵ F '.

It means that

En ( ε )={ x :|f n ( x )−f ( x )|≥ ε } ⊂ F

μ ( En ( ε ) )=μ ( { x :|f n ( x )−f ( x )|≥ ε } )< δ

which proves the theorem,

⇒ { f n } converges in measure.

Theorem 48:

If { f n } converges in measure to f then it is fundamental in

measure.

Proof:

|f n ( x ) −f m ( x )|=|f n ( x )−f ( x ) + f (x)−f m ( x )|

⇒ |f n ( x ) −f m ( x )|≤|f ( x )−f n ( x )|+|f (x )−f m ( x )|

{
⇒ { x :|f n ( x )−f m ( x )|≥ ε } ⊂ x :|f n ( x )−f ( x )|≥
ε
2 }{
∪ x :|f m ( x )−f ( x )|≥
ε
2 }
In view of the convergence of measure of the sequence { f n }, the
measure of the sets on the right tend to zero for every ε > 0 , as n
and m ⟶ ∞. Hence for every ε > 0 ,

μ ( { x :|f n ( x )−f m ( x )|≥ ε } ) ⟶ 0 as n∧m ⟶ ∞.

Theorem 49:

If { f n } is fundamental in measure, there is a function f and a

subsequence { f n } such that { f n } converges almost uniformly to f .
k k

Proof:
Since { f n } is fundamental in measure, for positive integerk there
is an integer n k, such that

({ 2
1
2
1
})
μ x :|f n ( x )−f m ( x )|≥ k < k , for n∧m≥ n k

Assuming { n k }as an increasing sequence of positive integers { f n } is k

subsequence of { f n }.

If {
E k = x :|f n ( x )−f n ( x )|≥
k+ 1 k
1
2
k } then

1 1
μ ( Ek ) < k and μ ( F m )=μ ( ¿ k =m ¿ ∞ E k ) < m−1 .
2 2

Thus on F ' m the sequence { f n } is uniformly fundamental.

Theorem 50:

If { f n } is fundamental in measure then there exist a function f to which { f n }

converges in measure.

Proof:

Since { f n } is fundamental in measure, by theorem 49 we can find a

subsequence { f n } which is almost uniformly convergent to f ,
k

f ( x )=lim f n ( x )
k
k

for every value of x for which limit exists. Hence by theorem 47 the
subsequence { f n } converges in measure to f .
k
Now for every ε > 0 ,

{ ε
{ x :|f n ( x ) −f ( x )|≥ ε } ⊂ x :|f n ( x ) −f n ( x )|≥ 2
k }∪ {x :|f nk ( x ) −f ( x )| ≥
ε
2 }
so,

({
μ ( { x :|f n ( x )−f ( x )|≥ ε } ) ≤ μ x :|f n ( x )−f n ( x )|≥
k
ε
2 }{
∪ x :|f n ( x ) −f ( x )|≥
k
ε
2 })
By hypothesis the measure of the first set on the right is arbitrarily small
if n and n k are sufficiently large. The measure of the second set tend to
zero because the subsequence { f n } converges in measure to f . Hence
k

for every ε > 0 ,

lim μ ( { x :|f n ( x ) −f ( x )|≥ ε })=0 ,

n

i.e. the sequence { f n } converges in measure to f .

5.4. Convergence Diagrams:

In the present chapter we have studied four kinds of convergence of
sequences of measureable functions, namely

1. Convergence almost everywhere

2. Uniform convergence almost everywhere
3. Almost Uniform Convergence
4. Convergence in measure

Relations between them in the two cases when there are no restrictions
on the measure space( X , S , μ ), and when the space is of finite measure
i.e. μ ( x )< ∞, have been discussed in the form of theorems.
In the following diagrams these relations are shown with the help of
arrows which denote implications.

Figure 1: No Restrictions on ( X , S , μ ), μ ( x ) ≤ ∞

(1) Convergent almost everywhere: If a sequence is convergent

everywhere except in a set of measure zero.
(1) (4)everywhere
(2) Uniform Convergent: If a sequence is convergent
except in a set of measure zero and ν ( ε ) only (i.e. independent
of x )
(3) Almost Uniform convergent
(4) Convergent in measure

In Figure 1,

( 2 ) ⟹ (1 ) … … (by definition 5.1)

(2)
( 2 ) ⟹ (3 ) … …(by definition 5.2) (3)
( 3 ) ⟹ ( 1 ) … …(by theorem 45)
 ( 3 ) ⟹ ( 4 ) … …(by theorem 47)

( 2 ) ⟹ ( 4 ) … … (( 2 ) ⟹ ( 3 ) ⟹ ( 4 ) )

Figure 2: Restrictions on ( X , S , μ ), μ ( x )< ∞,

There are two more implications here than the previous case.

( 1 ) ⟹ ( 4 ) … … (by definition 5.3)

( 1 ) ⟹ (3 ) … …(by theorem 44 , Egorof f ' s theorem)

In addition to above four kinds of convergence there are other types of

(1) convergence. Since they are related to (4)
integrable
functions, a discussion on one of them will be done in the
next chapter.

(2) (3)
 Exercises

1. (a) Give an example of a sequence of functions which is almost

uniform convergent on a set of finite measure but is not uniformly
convergent almost everywhere.

(b) Let f n ( x )=n e−nx , x ϵ [ 0 ,1 ] with Lebesgue measure and n ϵ N . Then

f n ⟶ 0 almost uniformly on [ 0 , 1 ].

(c) If the sequence { f n } of measureable functions be almost uniformly

fundamental, then there exist a measureable function f such that
f n ⟶ f almost uniformly.

(d) Let f n be the characteristic function of ( n , ∞ ). Show that f n ⟶ 0

almost everywhere but not almost uniformly.

2. (a) Show that f n ⟶ f in measure, then |f n|⟶|f | in measure.

(b) If f n and f are as in (a) above and α is any real number, then
α f n ⟶ α f in measure.

(c) If f n and f are as in (a) above and gn ⟶ g in measure, then

f n+ g n ⟶ f + g in measure.

3. If ( X , S , μ ) is totally finite measure space and { f n } and { gn } are sequences

of finite valued measureable functions converging in measure to f and
g respectively.

(a) If f =0 almost everywhere then f n2 ⟶ f 2 in measure.

 (b) f n g ⟶ fg in measure.
2 2
(c) f n ⟶ f in measure.

(d) f n g n ⟶ fg in measure.

4. If { f n } is a sequence of measureable functions which is fundamental in

measure and if { f n } and { f m } are sub-sequences which converge
i j

almost everywhere to f and g respectively, then f and g are equivalent

functions.