MEASURE AND INTEGRATION - PART 3/3

T.K.SUBRAHMONIAN MOOTHATHU

Contents 1. 2. 3. 4. 5. 6. Limit theorems for measurable functions Integration with respect to a measure Properties of the integral, and limit theorems Lp spaces Product spaces and product measures Fundamental Theorem of Calculus (FTC) 1 5 7 12 15 17

1. Limit theorems for measurable functions If fn n and f , then (fn ) f pointwise, but |f (x) fn (x)| cannot be made small. Now we introduce some other notions of convergence, where the denition requires that |f (x) fn (x)| is small in some sense. So we consider only real-valued functions. Denition: Let (X, A, ) be a measure space and let fn , f : X R be measurable functions. (i) We say (fn ) f in measure if for every > 0, we have limn [{x X : |f (x) fn (x)| } = 0. (ii) We say (fn ) f uniformly with negligible error if for every > 0, there is A A with [A] < such that (fn ) f uniformly on X \ A. [141] Let (X, A, ) be a measure space, and let f, fn : X R be measurable functions such that (fn ) f uniformly with negligible error. Then, (fn ) f pointwise -a.e. and (fn ) f in measure. Proof. Let Ak A be so that [Ak ] < 1/k and (fn ) f uniformly on X \ Ak . Now see that (fn ) f pointwise outside the -null set
k=1 Ak .

Next, choose n(k, ) N so that {x X : |f (x) fn (x)| } Ak for every n n(k, ) using the uniform convergence on X \ Ak . Then, [{x X : |f (x) fn (x)| }] [Ak ] < 1/k for every n n(k, ), and thus (fn ) f in measure. Partial converse to [141] is given by the following two theorems. [142] [Egorovs theorem] Let (X, A, ) be a measure space with [X ] < , and let f, fn : X R be measurable functions such that (fn ) f pointwise -a.e. Then (fn ) f uniformly with negligible error (and hence (fn ) f in measure).
1

T.K.SUBRAHMONIAN MOOTHATHU

Proof. Let > 0. We need to nd A A with [A] < such that (fn ) f uniformly on X \ A. Let B A be such that (fn ) f pointwise on X \ B . Let A(k, m) = |f (x) fn (x)| 1/k }. Then, A(k, m) A, A(k, m) A(k, m + 1) and limm [A(k, m)] = [ such that [A(k, mk )] <
m=1 A(k, m)] /2k . Let A = n=m {x

X :

m=1 A(k, m)

B for

each k N because of pointwise convergence on X \ B . Since [X ] < and [B ] = 0, we get = 0 for each k N. Hence there is a subsequence (mk )
k=1 A(k, mk )

A. Then [A] <

k k=1 /2

= . It may

be seen that for every x X \ A and every n mk , we have |f (x) fn (x)| < 1/k ; from this it follows that (fn ) f uniformly on X \ A.

[143] [Riesz theorem] Let (X, A, ) be a measure space and let fn , f : X R be measurable functions such that (fn ) f in measure. Then there is a subsequence (fnk ) such that (fnk ) f uniformly with negligible error (and hence (fnk ) f pointwise -a.e.). Proof. Choose (nk ) such that if Ak = {x X : |f (x) fnk (x)| 2k }, then [Ak ] < 2k . Given > 0, choose k0 N with
k=k0

2k < and put A =

k=k0

Ak . We have |f (x) fnk (x)| < 2k

for every x X \ A and k k0 . It can be deduced easily that (fnk ) f uniformly on X \ A. Example: If fn : R R is fn = [n,) , then (fn ) 0 pointwise, but the convergence is not uniform on R \ A for any A L(R) with L,1 [A] < . So the assumption [X ] < is necessary in Egorovs theorem. This example also shows that pointwise convergence does not imply convergence in measure. Example: Let fn : [0, 1] R be fn = (1/(n+1),1/n) . Then (fn ) 0 pointwise on [0, 1], and uniformly on [ , 1] for any > 0. But if A [0, 1] is a Lebesgue null set, then (1/(n + 1), 1/n) is not contained in A for any n N and it follows that the convergence (fn ) 0 cannot be uniform on [0, 1] \ A. Thus the conclusion of Egorovs theorem cannot be improved to uniform convergence outside a null set. Example: Let (In ) be a sequence of subintervals of [0, 1] with the following properties: (i) |In | 0 as n , (ii) for each x [0, 1], there are innitely many n with x In , and (iii) for each x [0, 1], there are innitely many n with x [0, 1] \ In . For instance, consider the sequence [0, 1/2], [1/2, 1], [0, 1/3], [1/3, 2/3], [2/3, 1], [0, 1/4], . . .. Let fn : [0, 1] R be fn = In . Then (fn ) 0 in measure, but (fn (x)) does not converge for any x [0, 1]. Hence convergence in measure does not even imply pointwise convergence -a.e. In particular, we cannot replace (fnk ) with (fn ) in the conclusion of Riesz theorem. Example: Let f : R2 R be f (x, y ) = x. Then f is measurable, and (L,2) [{(x, y ) R2 : |f (x, y )| n}] = for every n N. As a consequence, a sequence of simple functions can never converge to f in measure ( simple functions are bounded). Compare with [138]. Also, construct a similar example f : R R.

MEASURE AND INTEGRATION - PART 3/3

Exercise-39: [Linearity of convergence] Let (X, A, ) be a measure space and let f, g, fn , gn : X R be measurable functions such that (fn ) f and (gn ) g in measure. Then (afn ) af and (fn + gn ) f + g in measure, where a R. Prove similar results for pointwise convergence -a.e. and uniform convergence with negligible error. [Hint : {x X : |(f + g )(x) (fn + gn )(x)| } {x X : |f (x) fn (x)| /2} {x X : |g (x) gn (x)| /2}.] Remark: Let X be a metric space and let A, B X be nonempty closed subsets with A B = . Then note there is a continuous function f : X [0, 1] such that f 0 on A, and f 1 on B . In fact, we may take f (x) = dist(x, A)/[dist(x, A) + dist(x, B )]. Exercise-40: (i) If A L(Rd ), then there are continuous functions fn : Rd R such that (fn ) A in measure. (ii) If A L(Rd ) is such that [A] < , then there are step functions n : Rd R such that (n ) A in measure. [Hint : (i) Let Fn A Un Rd be such that Fn is closed, Un is open and L,d [Un \ Fn ] < 1/n. Let fn : Rd [0, 1] be a continuous function such that fn 1 on Fn and fn 0 on Rd \ Un . Then, {x Rd : A (x) = fn (x)} Un \ Fn . (ii) Fix n N. By the remark given immediately after [134], there are nitely many d-boxes A1 , . . . , Ak such that L,d [A n :=
k j =1 Aj ] k j =1 Aj ,

< 1/n. We may assume Aj s are pairwise disjoint. Then for the step function
k j =1 Aj .]

we have that {x Rd : A (x) = n (x)} = A

Exercise-41: Let (X, A, ) be a measure space and let f, fn , fn,m : X R be measurable functions. (i) If (fn ) f in measure, and (fn,m ) fn in measure for each n N, then there are increasing sequences (nk ), (mk ) such that (fnk ,mk ) f in measure. (ii) Assuming [X ] < if necessary, prove similar results for pointwise convergence -a.e., and uniform convergence with negligible error. [Hint : (i) Fix k N. First choose nk such that [{x X : |f (x) fnk (x)| 1/k }] < 1/k . Then choose mk such that [{x X : |fnk (x) fnk ,mk (x)| 1/k }] < 1/k . Hence [{x X : |f (x) fnk ,mk (x)| 2/k } < 2/k . Now it is not dicult to see (fnk ,mk ) f in measure. (ii) Use part (i) and results [141], [142], [143]. See also the proof below.] Denition: A simple function : Rd R is called a step function if has the form = where each Ai Rd is a d-box. [144] Let B Rd be a d-box and f : B R be a measurable function. Then, (i) There are step functions n : B R such that (n ) f pointwise L,d -a.e. on B . (ii) There are continuous functions fn : B R such that (fn ) f pointwise L,d -a.e. on B . If B is closed, then we may choose fn s so that fn |B 0 also (where B is the boundary of B ).
n i=1 ci Ai ,

Proof. By [138], there is a sequence (n ) of simple functions converging to f pointwise on B . Since [B ] < , (n ) f in measure by [142] and [141]. (i) By Exercise-39 and Exercise-40, we may nd step functions n,m : B R such that (n,m ) n in measure for each n N. Then by Exercise-41, there are (nk ), (mk ) so that (nk ,mk ) f in measure. By Riesz theorem, a subsequence of (nk ,mk ) converges to f pointwise L,d -a.e. on B .

T.K.SUBRAHMONIAN MOOTHATHU

(ii) By Exercise-39 and Exercise-40, for each n N we may nd continuous functions fn,m : B R such that (fn,m ) n in measure. Then by Exercise-41, there are (nk ), (mk ) so that (fnk ,mk ) f in measure. By Riesz theorem, a subsequence of (fnk ,mk ) converges to f pointwise L,d -a.e. on B . Now suppose that B is closed and (fn ) is a sequence of continuous functions converging to f pointwise on B \ Y , where Y is a Lebesgue null set. Let (An ) be a sequence of closed d-boxes such that A1 A2 int[B ] and
n=1 An

= int[B ]. Let hn : B [0, 1] be a continuous function

so that hn 1 on An and hn 0 on B . Then fn (x)hn (x) = 0 for every x B , and (fn hn ) f pointwise outside the Lebesgue null set Y B . [145] [Approximating measurable functions with step functions and with continuous functions of compact support] Let f : Rd R be measurable. Then, (i) There are step functions n : Rd R such that (n ) f pointwise L,d -a.e. (ii) There are continuous functions fn : Rd R such that (fn ) f pointwise L,d -a.e. We may also arrange fn s to have compact support. Proof. Write Rd =
j =1 Bj ,

a disjoint union of d-boxes, and let gj = f |Bj . By [144], there are

step functions j,n : Bj R so that (j,n ) gj pointwise -a.e. on Bj for each j N. Dene n : Rd R as n (x) = j,n (x) if x Bj and 1 j n; and n (x) = 0 otherwise. (ii) Write Rd =
j =1 Bj ,

a union of closed d-boxes with pairwise disjoint interiors. Let gj = f |Bj .

For each j , let fj,n : Bj R be continuous functions such that (fj,n ) gj pointwise L,d -a.e. on Bj , and fj,n 0 on Bj (by [144]). Dene fn : Rd R as fn (x) = fj,n (x) if x Bj and 1 j n; and fn (x) = 0 otherwise. [146] [Luzins theorem] Let f : Rd R be a measurable function and (i) There is Y L(Rd ) such that L,d [Y ] < , and f |Rd \Y : Rd \ Y choose Y to be open. (ii) There is a continuous function g : Rd R such that L,d [{x Rd : f (x) = g (x)}] < . Proof. (i) Write = L,d . Choose continuous functions fn : Rd R so that (fn ) f pointwise -a.e. By Egorovs theorem, (fn ) f uniformly with negligible error on B (0, j ) for each j N. Let Yj L(Rd ) be such that Yj B (0, j ), [Yj ] < /2j and (fn ) f uniformly on B (0, j ) \ Yj . If Y =
j =1 Yj ,

> 0. Then,

R is continuous. We may also

then [Y ] < . Observe that B (0, j ) \ Y is open in Rd \ Y , and (fn ) f uniformly

on B (0, j ) \ Y . Hence f |B (0,j )\Y is continuous. Since {B (0, j ) \ Y : j N} is a relatively open cover for Rd \ Y , we conclude that f |Rd \Y is continuous. Now, replacing Y with a slightly bigger open superset (by the outer regularity of Lebesgue measure), we may assume Y is open also. (ii) By part (i), there is a closed set A Rd such that [Rd \ A] < A= Rd and f |A is continuous ( take \ Y ). By Tietze extension theorem, there is a continuous g : Rd R with g |A = f .

Remarks: (i) For a set A, saying that f |A is continuous is strictly weaker than saying that f is continuous at every point of A. For instance, if f = Q : R R, then f |Q is continuous, but f is not continuous at any point of Q (or of R). (ii) If F R is a fat Cantor set, f : R R is

MEASURE AND INTEGRATION - PART 3/3

f = F , and Y R is any Lebesgue null set, then f restricted to R \ Y is not continuous at any point of the nonempty set F \ Y ( F \ Y = since F has positive measure; and for any x F \ Y , there is a sequence in R \ (F Y ) converging to x since F is nowhere dense and Y is a null set). This shows that we cannot improve Luzins theorem by choosing Y to be a null set in [146]. (iii) If f : Rd [, ] is a measurable function with L,d [{x Rd : f (x) = }] > 0, then clearly the conclusion of Luzins theorem fails for f . Exercise-42: [Converse of Luzin] Let f : Rd R be a function having the property that for each > 0, there is Y L(Rd ) such that L,d [Y ] < , and f |Rd \Y : Rd \ Y R is continuous. Then f is measurable. [Hint : Choose Yn for = 2n , and let fn : Rd be fn = 0 on Yn and fn = f on Rd \ Yn . Check that fn s are measurable, and (fn ) f pointwise outside the null set use [139].] The following result can be thought of as a functional analogue of the fact that for any A L(Rd ) there is B B (Rd ) such that AB is a Lebesgue null set. [147] If f : Rd R is (Lebesgue-Borel) measurable, then there is a B(Rd )-B (R) measurable function g : Rd R such that f = g L,d -a.e. Proof. By [145], there are step functions n : Rd R and D L(Rd ) with L,d [Rd \ D] = 0 so that (n ) f pointwise on D. We may assume D is an F set (hence Borel) by [124](v). Note that any step function is Borel-Borel measurable. Dene gn = n D . Then gn s are B (Rd )-B(R) measurable. If g = f D , then (gn ) g pointwise everywhere on Rd . If K R is a nonempty compact set, let Um = {y R : dist(y, K ) < 1/m} (which is an open set) and verify that g 1 (K ) =
m=1 1 n=m gn (Um ). k=1 n= k

Yn . Then

Hence g 1 (K ) B (Rd ). Since B (R) is generated by compact

subsets of R, we get that g is B(Rd )-B (R) measurable. And by denition, f = g L,d -a.e. 2. Integration with respect to a measure Let (X, A, ) be a measure space. We describe below an integration theory for measurable functions f : X [, ]. Strictly speaking, the measurability of f is not needed to dene the integral, but measurability is needed to derive many properties of the integral. The integral of f with respect to will be dened in three steps: (i) when f is simple and 0, (ii) when f 0, (iii) for arbitrary f . Denition: Let (X, A) be a measurable space and let : X R be a simple function. Suppose y1 , . . . , ym R are the distinct elements of (X ), and let Xj = {x X : (x) = yj } A for 1 j m. Then
m j =1 yj Xj

is called the canonical representation of . If

m j =1 Xj

m j =1 yj Xj

is the

canonical representation of , then note that X =

m j =1 yj Xj ,

is a disjoint union.

Integration, step-1: Let (X, A, ) be a measure space. If : X [0, ) is a simple function with canonical representation =
m j =1 yj [Xj ].

dene the integral of with respect to as

d =

T.K.SUBRAHMONIAN MOOTHATHU

Remark: The reason for the assumption 0 is that is undened. For instance consider the simple function : R R given by = 2(,0) + (3)[0,) , and try to imitate the denition given above to see what goes wrong. [148] Let (X, A, ) be a measure space, let 0, 0 be simple functions on X , and let c [0, ). Then, (i) (ii)
X (c)d X (

=c

d.
X

+ )d =
n i=1 ai Ai

d +

d.
X

(iii) If (iv)

is any representation (not necessarily canonical) of with ai 0, then

d =

n i=1 ai [Ai ]. X

d = 0 i = 0 -a.e.
X

(v) If -a.e., then (vi) If = -a.e., then

d d =

d. d.
m j =1 yj Xj

Proof. (i) The case c = 0 is clear. If c > 0 and if

is the canonical representation of , Then, we see that x Aj Bk . Let

then m j =1 cyj Xj is the canonical representation of c. n (ii) Let = m k=1 bk Bk be the canonical representations. j =1 aj Aj , = m n X = j =1 k=1 (Aj Bk ) is a disjoint union and ( + )(x) = aj + bk if
(j,k)i (Aj Bk ) X (

c1 , . . . , ct R be the distinct elements of ( + )(X ). Let i = {(j, k ) : aj + bk = ci } and let Ci = for 1 i t. Then
t i=1 ci [Ci ] t i=1 ci Ci

is the canonical representation of + . Therefore,

+ )d =
m j =1

t i=1 ci (

Bk ]) =

n k=1 ((aj + bk )[Aj Bk ]) = m n j =1 aj [Aj ] + k=1 bk [Bk ] = X d + X (iii) We have X d = X ( n i=1 ai Ai )d =

t (j,k)i [Aj Bk ]) = i=1 ( (j,k)i ((aj + bk )[Aj m n n m j =1 aj ( k=1 [Aj Bk ])+ k=1 bk ( j =1 [Aj Bk ]) =

d.
n i=1 ai X

Ai d =

n i=1 ai [Ai ]

by (i) and (ii).

(iv) This is direct from the denition of

d, considering the canonical representation of .

X X

(v) In view of (iv), we may assume everywhere. Also we may suppose 1 = , then note that 1 0 is a simple function. Hence by (ii), Since all the terms are 0 and < , we get
X X

d < . If
X

d =

d +

1 d.

d.

(vi) This follows from (v) since and -a.e. Integration, step-2: Let (X, A, ) be a measure space. If f : X [0, ] is a measurable function, we dene the integral of f with respect to as
X

f d = sup{

d : is simple and 0 f }. f d gd by

If f 0 is a simple function, then this denition agrees with the previous one by [148](iii). Also note that if f, g : X [0, ] are measurable functions with f g , then denition. Exercise-43: [Markovs inequality] Let (X, A, ) be a measure space, f : X [0, ] be a measurable function, and let At = {x X : f (x) t}. Then t[At ] 0 tAt f and hence
X X X X

f d for 0 < t < . [Hint :

tAt d

f d.]

MEASURE AND INTEGRATION - PART 3/3

Exercise-44: Let (X, A, ) be a measure space, f : X [0, ] be a measurable function, let A = {x X : f (x) = } and B = {x X : f (x) > 0}. (i) If (ii) If
X X

f d < , then [A] = 0.

n=1 Bn ,

f d = 0, then [B ] = 0. [Hint : (i) If [A] > 0, choose t (0, ) large enough

X

so that t[A] >

f d; this contradicts Markovs inequality. (ii) Write B =

where

Bn = {x X : f (x) > 1/n} and use Markovs inequality.] Integration, step-3: Let (X, A, ) be a measure space. If f : X [, ] is a measurable function, and if min{
X X X

f + d,

f d} < , we dene the integral of f with respect to as

X

f d =

f + d

f d. If both

f + d and

f d are equal to , the integral

f d

is undened (since is undened). Denition Let (X, A, ) be a measure space. A measurable function f : X [, ] is integrable if
X

f d is dened and |

f d| < ; equivalently if max{

f + d,

f d} < .

Denition: Let (X, A, ) be a measure space, let A A and let f : A [, ] be a measurable function. We dene the integral of f on A with respect to as We say f is -integrable on A if
A f d A f d

f A d, if it exists.

is dened and |

A f d|

< .

Remark: Let (X, A, ) be a measure space and let f = f1 + if2 : X C be a function. If both f1 , f2 are -integrable, we say f is -integrable and dene discuss this here. Denition: Let X L(Rd ) and let f : X [, ] be a measurable function. We say f is Lebesgue integrable if f is L,d -integrable on X . Note that the theory of Lebesgue integrable functions is a special case of the general integration theory; however, the general integration theory is motivated by Lebesgue integration theory.
X

f d =

f1 d + i

f2 d. Thus we

can carry over our integration theory to complex valued functions in a natural way, but we will not

3. Properties of the integral, and limit theorems As seen in the theory of measurable functions, often a complicated function can be approximated by a sequence of functions which are more elementary in nature and easier to handle. Therefore, we are primarily interested in knowing whether the equality interchanged (i.e., whether
X (limn fn )d X

f d = limn

fn d holds if

(fn ) f in some sense. That is, we want to know whether limit and integration can be = limn
X

fn d). We give some examples to say

that this need not happen always. Example-1: Let X = [0, 2], = L,1 , and fn = n(1/n, 2/n) . Then (fn ) 0 pointwise on X , but limn
X

fn d = limn 1 = 1 = 0 =

0d.

Example-2: Let = L,1 and fn = (1/n)(0,n) . Then fn s are uniformly bounded by the constant function 1, and (fn ) 0 uniformly on R. But limn
R fn d

= limn 1 = 1 = 0 =

R 0d.

T.K.SUBRAHMONIAN MOOTHATHU

Example-3: Let = L,1 and fn = (1/n)(n,) . Then f1 > f2 > > 0 and (fn ) 0 uniformly on R. But limn
R fn d

= limn = = 0 =

R 0d.

However, we can interchange limit and integration in certain situations. [149] [Monotone (increasing) convergence theorem] Let (X, A, ) be a measure space and let fn : X [0, ] be measurable functions on X with 0 f1 f2 . If (fn ) converges pointwise to a function f : X [0, ], then
X

f d = limn

fn d.
X

Proof. By [137], f is measurable. limn

X

Since fn f , we have

fn d

f d and therefore

fn d

f d. To prove the other inequality it suces to show the following: if

X

is a simple function on X with 0 f , then limn Suppose =

m j =1 yj Xj

fn d

d.

is the canonical representation. Let 0 < < 1 and Xj,n = {x Xj :

n=1 Xj,n

fn (x) yj }. Then Xj,n Xj,n+1 since fn fn+1 . Consider x Xj . Since f (x) (x) = yj , we have that fn (x) yj for all large n N. This says that If n =
X

= Xj for each j . As this is an fn . Therefore fn d

X fn d m j =1 yj [Xj ]

increasing union, we obtain ([Xj,n ]) [Xj ] as n for each j . n d =

X m j =1 yj Xj,n , then n is a simple function with 0 n m j =1 yj [Xj,n ]. Taking the limit n , we get limn X

d. Since (0, 1) can be arbitrarily close to 1, we are through.

Exercise-45: Let (X, A, ) be a measure space and let f : X [0, ] be a measurable function. If (n ) is any sequence of simple functions on X such that 0 1 2 f and (n ) f pointwise, then
X

f d = limn

n d. [Hint : Direct application of [149].]

Remark: Also note that for any measurable f : X [0, ], a sequence (n ) as mentioned in Exercise-45 exists by [138]; moreover observe from the proof of [138] that n s are constructed by partitioning the range of f (where as in Riemann integration theory we partition the domain of f ). Before continuing with the limit theorems and their corollaries, we deduce below some basic properties of integration. [150] [Basic properties of integration] Let (X, A, ) be a measure space and let f, g : X [, ] be -integrable functions. Then, (i) [Linearity] af + bg is -integrable and (ii)
X X (af

+ bg )d = a gd.

f d + b

gd for every a, b R.

f d = 0 i f = 0 -a.e.
X

(iii) [Monotonicity] If f g -a.e., then (iv) If f = g -a.e., then

X

f d

f d =

gd.

Proof. The proofs of (ii), (iii), and (iv) are left as exercises (use [148] and the denition of integration). We prove (i) below. After modifying on a set of measure zero, we may assume f, g are real-valued (see Exercise-44). We will consider f + g and cf separately, c R. First suppose f 0, g 0. Let (n ), (n ) be increasing sequences of nonnegative simple functions converging pointwise to f, g respectively. Then (n + n ) is an increasing sequence

MEASURE AND INTEGRATION - PART 3/3

of nonnegative simple functions converging pointwise to f + g . Hence by Exercise-45 we have

X (f

+ g )d = limn
X

X (n X

+ n )d = limn [ gd.

n d +

n d] = limn

n d +

limn

n d =

f d +

Now consider the general case, and let h = f + g . Note that h+ + h = |h| = |f + g | |f | + |g | = f + + f + g + + g . Hence by the additivity proved above, we get
X

h+ d +

h d < , and this

implies h is -integrable. One common mistake now is to think that (f + g )+ = f + + g + which is not true. However, we have h+ h = h = f + g = (f + f )+(g + g ) or h+ + f + g = h + f + + g + . Using additivity, we have
X

h+ d +

f d + =c

g d =

h d +

f + d + hd =

g + d. Since all f d +
X

the functions involved are integrable, we may group them back to get Next we would like to show (f ) = f , we have c
X X (f )d X (cf )d X

gd.

f d. First suppose f 0 and c [0, ). From

X (cf )d X

[148] and the denition of integration, we easily get =

X

=c

f d. Since (f )+ = 0 and
X (cf )d

0d

f d =

f d. It follows that

f d also. Use these and the additivity proved above to establish the general case.
X (f

Remark: The proof of [150](i) also gives the identities

X (cf )d

+ g )d =

f d +

gd and

= c

f d for measurable f, g : X [0, ] and c [0, ). Similar remark about

properties (ii), (iii), (iv) for nonnegative measurable functions. Now we discuss some consequences of the monotone convergence theorem. The following result says that Lebesgue integration theory is indeed a generalization of Riemann integration theory. [151] Let f : [a, b] R be Riemann integrable. Then, f is Lebesgue integrable and
b a f (x)dx. [a,b] f dL,1

Proof. Write = L,1 and assume [a, b] = [0, 1]. By [140] we know that f is measurable. Since f is Riemann integrable, f is bounded. Therefore, replacing f with f + c for some constant c > 0, we may assume f 0. Let I (n, k ) = [(k 1)/2n , k/2n ) for 1 k < 2n and I (n, 2n ) = [1 1/2n , 1]. Let y (n, k ) = inf {f (x) : x I (n, k )}, and dene the step (simple) function n : [0, 1] R as n =
2n k=1 y (n, k )I (n,k) .

From the proof of [140] we know that 0 1 2 f and (n ) f

2n k=1 y (n, k )|I (n, k )|

pointwise -a.e. Hence by [149] and [150](iii), we conclude that Now

[0,1] n d

2n n k=1 y (n, k )(k/2

[0,1] f d

= limn

[0,1] n d.

(k 1)/2n ), which is the lower

1 0 f (x)dx

Riemann sum L(f, Pn ) corresponding to the partition Pn = {I (n, k ) : 1 k 2n }. Since the maximal length of an interval in Pn goes to 0 as n , we have (L(f, Pn )) Riemanns theory. Exercise-46: Let (X, A, ) be a measure space and let f : X [, ] be measurable. Then, (i) f is -integrable i |f | is -integrable, (ii) if f is -integrable, then | If f is -integrable, then use |f | = f+ +f
X

by

f d|

|f |d. [Hint : (i)

and additivity from [150](i) to conclude |f | is integrable.

For the converse, note that max{f + , f } |f |. (ii) Use similar ideas.] Remark: Thus in our integration theory, f is integrable i |f | is integrable. Now, innite summation is a discrete analogue of integration, and for a real series we know that convergence does not imply

10

T.K.SUBRAHMONIAN MOOTHATHU

absolute convergence. There is an integration theory known as Henstock-Kursweil theory (which is a further generalization of Lebesgue integration theory) where the integrability of f does not necessarily imply the integrability of |f |. Exercise-47: Let (X, A, ) be a measure space and let fn : X [0, ] be measurable for n N. Then
X( n=1 fn )d n=1 X

fn d. [Hint : Apply [149] and additivity to gn = f1 + + fn .]

2 n=1 n 2 d 1 n=1 n

Example: Let = L,1 . Let (In ) be a sequence of pairwise disjoint intervals in R with |In | = n3 and let f =
n=1 nIn .

Then by Exercise-47,

R f d

< and

Rf

= .

This shows that the product of two -integrable functions need not be -integrable. Exercise-48: [Another way of constructing measures] Let (X, A, ) be a measure space, let f : X [0, ] be a measurable function, and dene : A [0, ] as [A] =
A f d.

Then (i) is a

measure on (X, A), and (ii) [A] = 0 implies [A] = 0 for every A A (we say is absolutely continuous with respect to ) [Hint : (i) For countable additivity, use Exercise-47 with fn = f An .] Remark: The converse of Exercise-48 is also true if , are -nite measure. That is, satisfying property (ii) can be realized in the form [A] =
A f d

for some measurable function f : X [0, ].

This non-trivial converse is known as Radon-Nikodym theorem. Exercise-49: [Borel-Cantelli lemma] Let (X, A, ) be a measure space, let A1 , A2 , . . . A be such that
n=1 [An ] k=1 n=k

< and let A =

An = {x X : x An for innitely many n N}. by Exercise-47; hence [A] = [{x

n=k

Then [A] = 0. [Hint : If f =

n=1 An ,

then

X : f (x) = }] = 0. Or note that [A] [

n=1 [An ]

X f d < n=k An ]

[An ] 0 as k .]

Remark: Taking (An ) to be the sequence [0, 1/2], [1/2, 1], [0, 1/3], [1/3, 2/3], [2/3, 1], [0, 1/4], . . ., we see that the hypothesis < cannot be weakened to ([An ]) 0 in Borel-Cantelli.

Exercise-50: Let (X, A, ) be a measure space and f : X [, ] be -integrable. Then for every > 0 there is > 0 such that
A |f |d

<

for every A A with [A] < . [Hint : We may

n=1 An ]

assume f 0. Let An = {x X : f (x) n} and fn = f An . Then [X \ f (x) = }] = 0, and (fn ) increasingly converges to f pointwise on with
X (f n=1 An .

= [{x : fn .]

By [149], there is n

fn )d < /2. Choose any (0, /2n) and use the splitting

f = (f fn ) +

For a sequence (fn ) of nonnegative measurable functions, even when we cannot say lim fn = (lim fn ), we can say which side is bigger. [152] [Fatous lemma] Let (X, A, ) be a measure space and let fn : X [0, ] be measurable functions for n N. Then
X (lim inf n fn )d

lim inf n

fn d.

Proof. Let g = lim inf n fn and gk = inf nk fn . Then g and gk s are measurable, 0 g1 g2 g and (gk ) g pointwise. Hence by [149], we have gk fn and therefore
X X

gd = limk

gk d. If n k , then

gk d inf nk

fn d. Use this above.

MEASURE AND INTEGRATION - PART 3/3

11

Remark: One way to remember the direction of the inequality in Fatous lemma is to keep the example fn = (n,) in mind. In monotone convergence theorem and Fatous lemma we considered only nonnegative functions. But often we may have to deal with a sequence of functions taking both positive and negative values. A basic convergence theorem for such cases is the following. [153] [Lebesgues dominated convergence theorem] Let (X, A, ) be a mesure space and let fn : X [, ] be -integrable functions for n N. Suppose (fn ) converges pointwise -a.e. to a measurable function f : X [, ]. Also suppose there is a -integrable function g : X [0, ] such that |fn | g -a.e. for every n N. Then, (i) f is -integrable. (ii)
X

f d = limn
X

fn d.

(iii) limn

|f fn |d = 0.

Proof. After modifying on a set of measure zero, we may assume that the -integrable functions fn and g are real valued (see Exercise-44(i)). By a similar modication, we may also assume that (fn ) f pointwise everywhere and |fn | g everywhere. (i) We have |f | g since (fn ) f pointwise and |fn | g . Hence thus f is -integrable by Exercise-46. (ii) Note that g + fn 0 and g fn 0, so we may apply Faous lemma to these functions. We have
X X X X

|f |d

gd < , and

gd +
X

f d =

X (g X

+ f )d lim inf n
X X (g

X (g

+ fn )d = lim inf n [
X

gd + gd gd

fn d] = f d =

gd +lim inf n fn d, and hence

fn d. Hence

f d lim inf n
X

fn d. Similarly,
X

X X

X (g X

f )d lim inf n
X

fn )d = lim inf n [
X

gd

fn d] =

lim supn

f d lim supn

fn d. |f fn |d

(iii) Let hn = |f fn |. Then hn s are -integrable, (hn ) 0 pointwise and |hn |s are bounded by the -integrable function |f | + |g |. So by applying part (ii) to hn s we obtain
X X

0d = 0.

Remark: In [153], the measurability of f is part of the hypothesis. But it can also be obtained as a conclusion by [139] provided the measure space (X, A, ) is complete. Exercise-51: Let (X, A, ) be a measure space and f : X [, ] be -integrable. (i) Let A, An A be such that A1 A2 and A = Let Bn A be pairwise disjoint and let B =
n=1 An .

Then
B

A f d

n=1 Bn .

Then

f d =

= limn An f d. n=1 Bn f d. [Hint :

(ii) For

(i), apply [153] with fn = f An and g = |f A |. For (ii), use (i) with An = B1 Bn .] Remark: Let = L,1 and f : R R be -integrable. If R = then
R f d n=1 (an , bn )

is an increasing union, by Exercise-51.

= limn

(an ,) f d

= limn

(,bn ) f d

= limn

(an ,bn ) f d

12

T.K.SUBRAHMONIAN MOOTHATHU

4. Lp spaces Denition: [Lebesgue spaces Lp ()] Let (X, A, ) be a complete measure space and 1 p < . We dene Lp () = {f : X R : f is measurable and
X

|f |p d < }, with the understanding

that we identify f and g if f = g -a.e. (so the members of Lp () are equivalence classes, strictly speaking). Note that L1 () is just the space of -integrable real-valued functions. Let L () = {f : X R : f is measurable and there is M [0, ) such that |f | M -a.e.}, again with the understanding that we identify f and g if f = g -a.e. Seminar topic: For 1 p , the space Lp () is a real vector space under pointwise operations. If we dene f M -a.e.} on
p 1/p on Lp () for 1 p < , and p = ( X |f | d) L (), then it can be proved with some eort that

f
p

= inf {M [0, ) : |f |

is a complete norm on Lp ()

for 1 p (Minkowski inequality, Riesz-Fischer theorem). Also if f Lp (), g Lq () and 1/p + 1/q = 1, then f g L1 () and f g
1

(Holder inequality).
(1/) (n,n+1) , n=1 n

Example: In general, there is no inclusion relation between Lp () and Lq () for 1 p < q . Let = L,1 on R and let (1, ). (i) If f : R R is f = intervals with |In | = n(1+) . If f : R R is f = f / Lp () for p . Exercise-52: Let (X, A, ) be a complete measure space with [X ] < . Then Lp () Lq () for 1 p q . [Hint : |f |p |f |q on A := {x X : |f (x)| > 1} and |f |p 1 on X \ A.] Example: [Series summation is discrete analogue of integration] If is the counting measure on (N, P(N)), then Lp () = lp = {x RN : and 1 p < . Similarly, L () =
p n=1 |xn | l = {x RN p 1/p n=1 |xn | ) n=1 nIn ,

then f / Lp ()

for 1 p and f Lp () for < p . (ii) Let (In ) be a sequence of pairwise disjoint then f Lp () for 1 p < but

< } and x

=(

for x Lp ()

: supnN |xn | < } and x

= supnN |xn | for

x L (). Also, lp lq if 1 p q (direction of inclusion opposite to that in Exercise-52). We will discuss two properties of L1 () below. [154] [Riesz-Fischer theorem] If (X, A, ) is a complete measure space, then (L1 (), complete normed space.
1)

is a

Proof. The verication that (L1 (),

1)

is a normed space is left to the reader. We prove only

1 ). 1

completeness. Consider a Cauchy sequence (fn ) from (L1 (), converges i a subsequence converges, we may assume fn+1 fn and let A = {x X : g (x) = }. By Exercise-47, we have x X \ A. Then f is measurable, and |f | g so that Observe that f1 (x) +
k=1 (fk+1 (x)

Since a Cauchy sequence

n=1 |fn+1 (x)fn (x)|

2n for every n N, after

passing onto a subsequence. Let g : X [0, ] be dened as g (x) = |f1 (x)|+

X

|g |d < , and hence [A] = 0 by

n=1 (fn+1 (x)

Exercise-44. Dene f : X R as f (x) = 0 if x A and f (x) = f1 (x) +

X

fn (x)) if

|f |d

fk (x)) = fn (x) +

k=n (fk+1 (x)

gd < . Thus f L1 (). fk (x)) for any n N.

MEASURE AND INTEGRATION - PART 3/3

13

Hence (fn ) f pointwise on X \ A, and |f fn | g for every n N. Applying [153] to the sequence (f fn ), we have
X

|f fn |d 0, that is, f fn
n j =1 aj Aj

0 as n .

Remark: If 1 p < and if =

is the canonical representation of a simple function,

then Lp () i [Aj ] < for aj = 0. [155] [Approximation in L1 ] Let = L,d . Then the following collections are dense in (L1 (), (i) F1 = { L1 () : is a simple function}. (ii) F2 = { L1 () : is a step function}. (iii) F3 = {f L1 () : f is a continuous function with compact support}. Proof. (i) Consider g L1 (). First suppose g 0. By [138](i), there are simple functions n such that 0 1 2 g and (n ) g pointwise. We have n L1 () since g L1 (). Hence by [153], we have g= g+ g ,
Rd 1 ):

|g n |d 0, i.e., g n g+ , g

0 as n . In the general case write

1 ). n j =1 cj Aj 1

and consider

separately to see F1 is dense in (L1 (),

(ii) If F1 and > 0, then we can nd F2 with (L1 (), f: Rd

1 ).

< ( write =

with

[Aj ] < and approximate each Aj with a nite union of d-boxes by [134]). Hence F2 is dense in (iii) If A is a d-box and > 0, choose an open d-box B such that A B and [B \ A] < . Let
1

[0, 1] be a continuous function such that f 1 on A and f 0 on Rd \ B (see Exercise-40

B \A |f |d

also). Then f F3 and f A

B \A 1d

= [B \ A] < . By linearity, members

1 ).

of F3 can approximate any step function F2 . Hence F3 is also dense in (L1 (),

Remark: Result [155] remains valid for 1 p < ; however the case of L () is a little dierent. Simple functions are dense in L () because of [138](ii), but step functions and continuous functions are not dense in L (). If g : R R is g = [0,) L (), then g 1 for any step function L () and g f

1/3 for any continuous function f L ().

n j =1 aj Aj ,

Remark: Let = L,d and F2 be the collection of all step functions in L1 () of the form that F2 is a countable dense subset of L1 () (more generally, of Lp () for 1 p < ).

where aj Qd and Aj s are d-boxes with vertices in Qd . Then, by the help of [155](ii), we may see Exercise-53: [Translation invariance of Lebesgue integral] Let = L,d and f L1 (). Then,
Rd Rd Rd

f (x+y )d(x) = (x + y )d(x) =

Rd

f (x)d(x) for every y Rd . [Hint : If A L(Rd ), then

Rd

Rd

A (x +y )d(x) =

Ay (x)d(x) = [A y ] = [A] =
Rd

A (x)d(x). By the linearity given by [150], we have

(x)d(x) for every simple function . Now use [155].]

R f (x) sin(nx)d

Exercise-54: [Decay of Fourier coecients] Let = L,1 . Then we have limn 0 = limn
R f (x) cos(nx)d

= 0 for every f

L1 (). |

[Hint : Let [a, b] R and > 0. Let n0 N

[a ,b ] sin(nx)d| + [a , b ]\[a,b] | sin(nx)|d

be such that 2/n0 < /2. If n n0 , nd integers k, m such that a = 2k/n (a /2, a) and b = 2m/n (b, b + /2). We have | 0 + . This shows limn
[a,b] sin(nx)d|

R [a,b] (x) sin(nx)d

= 0. Now use linearity and [155](ii).]

14

T.K.SUBRAHMONIAN MOOTHATHU

Now we mention a few points about convergence in Lp . Remark: Suppose (fn ) f in L () and let nk be such that f fn So (fn ) f uniformly outside the -null set L ()
k=1 Ak .

1/k for every n nk .

Then there are -null sets Ak X such that |f (x) fn (x)| 1/k for every x X \ Ak and n nk . In particular, we see that convergence in implies uniform convergence with negligible error, convergence in measure and pointwise

convergence -a.e. Behavior in Lp () for 1 p < is dierent, as shown below. Example: Let = L,1 and let (In ) be the sequence of intervals [0, 1/2], [1/2, 1], [0, 1/3], [1/3, 2/3], [2/3, 1], [0, 1/4], . . .. If fn = In , then (fn ) 0 in Lp () for 1 p < . Here, this means only
p that the area under the graph of fn goes to 0, so we cannot expect even pointwise convergence. In

fact, we know already that (fn (x)) does not converge for any x [0, 1] as the sequence contains innitely many 0s and innitely many 1s. Also (fn ) does not converge in L (). [156] [Lp convergence - necessity] Let 1 p < and suppose (fn ) f in Lp (). Then, (i) (fn ) f in measure. (ii) There is a subsequence (fnk ) such that (fnk ) f uniformly with negligible error. (iii) There is a subsequence (fnk ) such that (fnk ) f pointwise -a.e. Proof. (i) Let > 0. If An = {x X : |f (x) fn (x)| }, then [An ] =
p f f fn |p p d n p An

1d

An

p |f

0 as n for 1 p < . Also if n0 N is such that f fn

<

for every n n0 , then [An ] = 0 for every n n0 . Now (ii) and (iii) follow from [143]. Examples: Let = L,1 on R. (i) Let fn = (1/n)(0,en ) . Then (fn ) 0 uniformly and hence in in L (). But (fn ) does not converge in Lp () for 1 p < since fn
p p

= en /np as

n . (ii) Fix [1, ) and let fn = (1/n)(0,n ) . Then (fn ) 0 uniformly. Also (fn ) 0 in Lp () i p > . (iii) Fix [1, ), and let fn = n(n ,2n ) . Then (fn ) 0 pointwise; and (fn ) converges in Lp () i p < . (iv) If fn = (n,n+1) , then (fn ) 0 pointwise, but not in Lp () for 1 p . (v) If fn = n(1/n,2/n) , then (fn ) 0 pointwise as well as in measure, but not in Lp () for 1 p . (vi) Let fn (x) = xn (0,1) (x). Then |fn | 1; (fn ) 0 pointwise but not uniformly; (fn ) 0 in Lp for 1 p < , but (fn ) does not converge in L (). [157] [Lp convergence - suciency] Let 1 p < and f, fn Lp () be such that (fn ) f in one of the following sense - (i) uniformly with negligible error, (ii) in measure, or (iii) pointwise -a.e. If there is g Lp () such that |fn | g -a.e., then (fn ) f in Lp (). Proof. Since (i) implies both (ii) and (iii), it suces to consider only (ii) and (iii). First suppose (fn ) f pointwise -a.e. If 1 p < , then |f fn |p 2p g p -a.e. and 2p g p L1 (). Hence by Lebesgues dominated convergence theorem, f fn subsequence (fnk ) such that f fnk contradiction.
p p p

|f fn |p d 0. Now suppose

(fn ) f in measure. If the convergence does not happen in Lp (), there exist > 0 and a . By passing onto a further subsequence, we may assume (fnk ) f pointwise -a.e. by [143]. Then (fnk ) f in Lp () by what we proved above, a

MEASURE AND INTEGRATION - PART 3/3

15

5. Product spaces and product measures Denition: Let (X , A ) be measurable spaces for I , and let X =
I

X . The product

-algebra A on X is dened as the smallest -algebra on X such that each projection : X X

1 (A ) : I and A A }. is A-A measurable. That is, A is the -algebra generated by {

We are mainly interested in nite products, especially the product of two measurable spaces. Let (Xi , Ai ) be measurable spaces for i = 1, 2. Then by denition, the product -algebra A on X = X1 X2 is generated by {A1 X2 : A1 A1 } {X1 A2 : A2 A2 }. It is then easy to see that A is also generated by A1 A2 = {A1 A2 : A1 A1 and A2 A2 }. Remarks: (i) Let (X, A1 ), (Y, A2 ) be measurable spaces and A be the product -algebra on X Y . If A A, then its projections X (A), Y (A) may not belong to A1 , A2 respectively. This is essentially because projections do not commute with complementation and countable intersection. To understand it better, consider A = {A A : X (A) A1 }, make an attempt to prove A is a -algebra, and nd out what goes wrong. To see what can be said positively, see Exercise-55 below. (ii) Lebesgue assumed wrongly that projections would commute with countable intersections, and this lead him to the wrong belief that projections of Borel sets are Borel. Luzin corrected this mistake. It is a non-trivial fact that a projection of a Borel set need not be Borel. Example: The projection of a Lebesgue measurable set need not be Lebesgue measurable also. If
2 A P(R) \ L(R), then L,2 [A {0}] = 0 and hence A {0} L(R ). And A {0} projects to A.

Denition: For A X Y , let Ax = {y Y : (x, y ) A} and Ay = {x X : (x, y ) A}. Exercise-55: Let (X, A1 ), (Y, A2 ) be measurable spaces, and let A be the product -algebra on X Y . If A A, then Ax A2 for every x X and Ay A1 for every y Y . [Hint : Let A = {A A : A has the given property}. Check that A is a -algebra containing A1 A2 .] Exercise-56: Let (X, A1 ), (Y, A2 ) be measurable spaces, and let A be the product -algebra on X Y . If C1 A1 , C2 A2 are generating collections, then C1 C2 generates A. [Hint : Let A be the -algebra generated by C1 C2 . Clearly, A A. Now x C1 C1 and note that A2 := {A2 A2 : C1 A2 A } is a -algebra containing C2 . Hence A2 = A2 . Use this to show similarly that if A1 = {A1 A1 : {A1 } A2 A }, then A1 = A1 . Thus A1 A2 A also.] [158] [Product measure] Let (Xi , Ai , i ) be measure spaces for i = 1, 2. Let X = X1 X2 and A be the product -algebra on X . Then there is a measure on (X, A) such that [A1 A2 ] = 1 [A1 ]2 [A2 ] for every A1 A2 A1 A2 . This is unique if 1 and 2 are -nite measures. Proof. Verify that A1 A2 is a semi-algebra on X . with An Bn A1 A2 . Then A (x)B (y ) =
n=1 An (x)Bn (y )d2 (y )

Dene : A1 A2 [0, ] as =
n=1 (An

1 2 . Suppose A B A1 A2 is such that A B =

Bn ), a disjoint union

n=1 An (x)Bn (y )

for (x, y ) X1 X2 . Fixing

X2 B (y )d2 (y ) = n=1 An (x)2 [Bn ]. Thus

x X1 and integrating with respect to 2 , we obtain by Exercise-47 that A (x)

X2

n=1 An (x) X2

Bn (y )d2 (y ) =

16

T.K.SUBRAHMONIAN MOOTHATHU n=1 An (x)2 [Bn ]. Now integrating this similarly with respect to n=1 1 [An ]2 [Bn ]. That is, [A B ] = n=1 [An Bn ]. Thus is a

A (x)2 [B ] = 1 [A]2 [B ] =

1 , we have pre-measure

on the semi-algebra A1 A2 . Hence extends to a measure on A by Caratheodorys extension theorem [131]. Now suppose 1 and 2 are -nite. So there are An A1 , Bm A2 such that X1 =
n=1 An ,

X2 =

m=1 Bm ,

1 [An ] < and 2 [Bm ] < . Then X =

n=1

m=1 (An

Bm )

and [An Bm ] < . Thus is -nite, and hence the extension is unique by [131]. [159] (i) If B is the product -algebra on Rd+k generated by B(Rd ) B(Rk ), then B = B(Rd+k ). (ii) L(Rd ) L(Rk ) L(Rd+k ) (iii) If A is the product -algebra on Rd+k generated by L(Rd ) L(Rk ), then A = L(Rd+k ), but the completion of A w.r.to L,d+k is L(Rd+k ) and L,d+k is the unique product measure. Proof. (i) This follows from Exercise-56 (take C1 = {d-boxes} and C2 = {k -boxes}) by noting that A Rd+k is a (d + k )-box i A is the product of a d-box with a k -box. (ii) Any Y L(Rd ) L(Rk ) can be written as Y = (B1 C1 ) (B2 C2 ), where B1 B (Rd ), C1 N (Rd ), B2 B (Rk ), and C2 N (Rk ). Then we see that Y can be written as Y = (B1 B2 ) Z , where Z N (Rd+k ). Also B1 B2 B (Rd+k ) by part (i). Hence Y L(Rd+k ). (iii) We have A L(Rd+k ) by part (ii). If A P(Rd ) \ L(Rd ), and y Rk , then L,d+k [A {y }] = 0 and hence A {y } L(Rd+k ). But A {y } / A by Exercise-55 and thus A = L(Rd+k ). Since B(Rd ) B(Rk ) L(Rd ) L(Rk ), we have B (Rd+k ) A by part (i). Thus B(Rd+k ) A L(Rd+k ). Now take completions to see L(Rd+k ) is the completion of A. Uniqueness of L,d+k is clear since it is determined by its value on (d + k )-boxes. Remark: If A B(Rd+k ), then Ax B (Rk ) and Ay B (Rd ) for every (x, y ) Rd+k by Exercise55 and [159](i). We cannot replace Borel -algebra with Lebesgue -algebra here because of the problem explained in the proof of [159](iii). However, it can be proved (with some eort) that if A L(Rd+k ), then Ax L(Rk ) for almost every x Rd and Ay L(Rd ) for almost every y Rk . [160] [Fubini-Tonelli Theorem] (Rough statement) Let (X, A1 , 1 ), (Y, A2 , 2 ) be -nite measure spaces, let be the unique product measure on X Y and let f : X Y [, ] be a measurable function. If f is either -integrable or 0, then
X Y

f d =

X( Y

f d2 )d1 =

Y( X

f d1 )d2 .

Remark: The proof of [160] is left as a reading assignment. We just remark that the main step in the proof is to establish the result when f = A for some measurable A X Y . Once this is done, then the result extends to simple functions by linearity and to arbitrary measurable functions by approximation. The necessity of the -nite assumption can be seen from the following. Example: Let X = Y = [0, 1], A1 = A2 = B ([0, 1]), let 1 = L,1 and let 2 be the counting measure. If A = {(x, y ) [0, 1]2 : x = y } and f = A , then and
X Y

f (x, y )d2 = 2 [Ax ] = 2 [{x}] = 1

Y( X

f (x, y )d1 = 1

[Ay ]

= 1 [{y }] = 0. Hence

X( Y

f d2 )d1 = 1 = 0 =

f d1 )d2 .

MEASURE AND INTEGRATION - PART 3/3

17

6. Fundamental Theorem of Calculus (FTC) Let = L,1 for this section. We will write integrable and let g : [a, b] R be g (x) =
x a f d. b a f d

for

[a,b] f d.

Let f : [a, b] R be Lebesgue

Can we say that g is dierentiable and g = f ?

The answer is no; consider for example f = [0,1/2] on [0, 1]. An obstruction to getting a positive answer is the fact that if g is dierentiable, then g should have intermediate value property (by Darboux theorem), but f may not have intermediate value property. However, if we ignore what happens on a small set, we can say something positive. Denition: (Recall) We say f : [a, b] R is absolutely continuous if for every
n j =1 |yj

> 0 there is > 0

such that for any nite collection of points x1 y1 x2 y2 xn yn in [a, b] with xj | < , we have
n j =1 |f (yj )

f (xj )| < .
x a f d,

Exercise-57: Let = L,1 and let f : [a, b] R be -integrable. (i) If g : [a, b] R is g (x) = then g is absolutely continuous. (ii) If
x a f d

= 0 for -a.e. x [a, b], then f = 0 -a.e. [Hint : (i)

x a f d

Use Exercise-50. (ii) By the continuity of g , hence

= 0 for every x [a, b]. Hence f d =

y x

f d = 0 for f d = 0.

a x y b. If U [a, b] is open, then U is a disjoint union of countably many intervals, and

U

f d = 0 by Exercise-51(ii). If K [a, b] is closed, then

b a g

b a f d [a,b]\K

Now An = {x : f (x) > 1/n} and Bn = {x : f (x) < (1/n)} are -null by inner regularity.] Exercise-58: Let g : [a, b] R be increasing. Then d g (b) g (a). [Hint : By [112], g is

dierentiable -a.e. Also g 0 since g is increasing. Extend g to [a, b + 1] by setting g (x) = g (b) for x b. If hn : [a, b] R is hn (x) = n(g (x + 1/n) g (x)), then hn s are measurable and (hn ) g pointwise -a.e. in [a, b]; so g is measurable. And, hn 0. So by Fatous lemma,
b b b b a g d lim inf n a hn d. Now, a hn d = n a (g (x + 1/n) g (x))d b b+1/n a+1/n b+1/n a+1/n gd a gd] n[ b g (b)d a g (a)d] a g (x)d] = n[ b

= n[

b+1/n a+1/n g (x)d

= g (b) g (a).]

[161] [FTC - rst part] Let = L,1 . Let f : [a, b] R be -integrable and g : [a, b] R be g (x) =
x a f d.

Then g is absolutely continuous and g (x) = f (x) for -a.e. x [a, b].

Proof. By Exercise-57, g is absolutely continuous. Now we may assume f 0 by considering f + and f separately. Then g is increasing, and hence dierentiable -a.e. by [112]. From the hint of Exercise-58, we also see that g is measurable. For later use observe that lim0 ( 1
c+ c

gd) =

g (c) for any c (a, b) by the FTC from Riemann integration theory since g is continuous. Case-1: f is bounded, say |f | M . Let hn (x) = (g (x + 1/n) g (x))/(1/n). Then (hn ) g pointwise -a.e. We have |hn | = |n
x+1/n f d| x

|n

x+1/n M d| x

= M and hence |g | M -a.e.

c a g

also. The constant function M is -integrable over [a, b] since [a, b] has nite measure. Hence by Lebesgue dominated convergence theorem, for any c (a, b) we have
c c+1/n limn a hn d = limn [n c g (x)d c So a (g f )d = 0 for all c (a, b) and x a (f

d =
c a f d.

a+1/n g (x)d] a

= g (c) g (a) = g (c) =

hence g = f -a.e. by Exercise-57.

x a fn d.

Case-2: f is unbounded. Let fn = min{f, n} and gn (x) = sn (x) =

By case-1, gn = fn -a.e. If

fn )d, then sn is monotone increasing ( f fn 0), and hence sn 0 -a.e.

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T.K.SUBRAHMONIAN MOOTHATHU x a f d

Since g (x) =
b a (g b a g

= gn (x) + sn (x), we conclude that g = gn + sn fn -a.e., for each n N.

By tending n , we get g f -a.e. Now to show that g = f -a.e., it suces to show f )d = 0 because of Exercise-44(ii). d g (b) g (a) = g (b) =
b a f d, b a (g

Since g f -a.e., we have

f )d 0. On the other hand, by Exercise-58 we get or

b a (g

f )d 0, so we are through.

Exercise-59: [Devils staircase aka Cantor function] There is an increasing (hence of bounded variation), continuous surjection f : [0, 1] [0, 1] such that f = 0 -a.e. Let K be the middle-third Cantor set. First dene f on [0, 1] \ K by setting f 1/2 on (1/3, 2/3), f 1/4 on (1/9, 2/9), f 3/4 on (7/9, 8/9), and so on. Then f on [0, 1] \ K is uniformly continuous and hence it has a continuous extension to [0, 1]. Verify the stated properties. A similar, strictly increasing example g : [0, 1] [0, 2] with certain other interesting properties is obtained by taking g (x) = f (x) + x. Learn more about this from books/other sources. Remark: The Cantor function is not absolutely continuous because of the following. Exercise-60: Let f : [a, b] R be absolutely continuous. If f = 0 -a.e., then f is constant. [Hint : We have to use Vitalis lemma for this. See p.109 of Royden.] [162] [FTC - second part] Let f : [a, b] R be absolutely continuous. Then f exists -a.e., f is -integrable, and
b a f

d = f (b) f (a).

Proof. We know from [114] that f is of bounded variation, and f exists -a.e. We may write f = g h where g, h are monotone increasing, by (the proof of) [113]. Hence |f | g + h. Now g , h are measurable (see the hint of Exercise-58) and therefore f is also measurable. Using Exercise-58 we obtain -integrable. If s(x) =
b a |f x a f

|d

b a (g

+ h)d g (b) + h(b) g (a) h(a) < , and hence f is

d, then s is absolutely continuous by Exercise-57, and s = f -a.e.

by [161]. So the function f s is absolutely continuous and (f s) = f s = 0 -a.e. Therefore there is c R such that f (x) = s(x) + c for every x [a, b] by Exercise-60. Since s(a) = 0, we have c = f (a), and thus f (x) f (a) =
x a f

d for every x [a, b].

Remarks: (i) The example of Cantor function shows that we cannot weaken the hypothesis of absolute continuity in [162] by either the bounded variation or the monotone increasing property. (ii) From [161] and [162] we can conclude the following: a function f : [a, b] R is absolutely continuous i f exists -a.e., f is -integrable and f (x) = f (a) + Some useful websites for general mathematics reading: http://mathoverow.net/ http://www.tricki.org/ http://math.stackexchange.com/ http://terrytao.wordpress.com/ *****
x a f

d for every x [a, b].