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Chapter 10

Measure Theory and Integration


10.1

Measure Theory

Citation from Rudins book, [11, Chapter 1: Towards the end of the 19th entury it
be ame lear to many mathemati ians that the Riemann integral should be repla ed by
some other type of integral, more general and more exible, better suited for dealing with
limit pro esses. Among the attempts made in this dire tion, the most notable ones were
due to Jordan, Borel, W.H. Young, and Lebesgue. It was Lebesgue's onstru tion whi h
turned out to be the most su essful.
In a brief outline, here is the main idea: The Riemann integral of a fun tion f over an
interval [a; b an be approximated by sums of the form
n
X
i=1

f (ti ) m(Ei );

where E1 ; : : : ; En are disjoint intervals whose union is [a; b, m(Ei ) denotes the length
of Ei and ti 2 Ei for i = 1; : : : ; n. Lebesgue dis overed that a ompletely satisfa tory
theory of integration results if the sets Ei in the above sum are allowed to belong to
a larger lass of subsets of the line, the so- alled \measurable sets," and if the lass of
fun tions under onsideration is enlarged to what we all \measurable fun tions." The
ru ial set-theoreti properties involved are the following: The union and the interse tion
of any ountable family of measurable sets are measurable; : : : the notion of \length"
(now alled \measure") an be extended to them in su h a way that

m(E1 [ E2 [    ) = m(E1 ) + m(E2 ) +   


for any ountable olle tion fEi g of pairwise disjoint measurable sets. This property of
m is alled ountable additivity.
The passage from Riemann's theory of integration to that of Lebesgue is a pro ess of
ompletion. It is of the same fundamental importan e in analysis as the onstru tion of
the real number system from rationals.
285

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Measure Theory and Integration

The Measure Problem


Lebesgue (1904) states the following problem: We want to asso iate to ea h bounded
subset E of the real line a positive real number m(E ), alled measure of E , su h that the
following properties are satis ed:
(1) Any two ongruent sets have the same measure.
(2) The measure is ounntable additive.
(3) The measure of the unit interval [0; 1 is 1.
He emphasized that he was not able to solve this problem in full detail, but for a ertain
lass of sets whi h he alled measurable. We will see that this restri tion to a large family
of bounded sets is unavoidable|the measure problem has no solution.

De nition 10.1 Let X be a set. A family (non-empty) family A of subsets of X is alled


an algebra if
1. A 2 A implies A 2 A,
2. A; B 2 A implies A [ B

2 A.

An algebra
[A is alled a  -algebra if for all ountable families fAn j n 2 Ng with An 2 A
we have
An 2 A.
n2N

Remarks 10.1 (a) Sin e A 2 A implies A [ A 2 A; X 2 A and ? = X 2 A.


(b) If A is an algebra, then A \ B 2 A for all A; B 2 A. Indeed, by de Morgan's rule
(Lemma 6.9) we have A \ B = (A [ B ) , and all the members on the right are in A by

the de nition of an algebra. \


( ) Let A be a  -algebra. Then
An 2 A if An 2 A for all n 2 N. Again by de Morgan's
n2N
rule
!
\

n2N

An =

n2N

A n

(d) The family P(X ) of all subsets of X is both an algebra as well as a  -algebra.
(e) Any  -algebra is an algebra but there are algebras not being  -algebras.
(f) The family of nite and o nite subsets (these are omplements of nite sets) of an
in nite set form an algebra. Do they form a  -algebra?

Elementary Sets in Rn

Let R be the real axis together with 1, R = R [ f+1g [ f


rules.
1.
2.

1 < +1 and 1 < x < +1 for all x 2 R.


1 + x = x  1 = 1 for all x 2 R.

1g. We use the following

10.1

287

Measure Theory

3. If x > 0 we have

x  (+1) = (+1)  x = ( 1)  (
x  ( 1) = ( 1)  x = (+1)  (

1) = +1
1) = ( 1)  (+1) = 1:

4. If x < 0 we have

x  (+1) = (+1)  x = 1
x  ( 1) = ( 1)  x = +1:
5. 0  1 = 1  0 = 0.
The set

I = f(x1 ; : : : ; xn ) 2 Rn j ai  xi  bi ; i = 1; : : : ; ng

is alled a re tangle or a box in Rn , where  either stands for < or for  where ai ; bi 2 R.
For example ai = 1 and bi = +1 yields I = Rn , whereas a1 = 2, b1 = 1 yields I = ?.
A subset of Rn is alled an elementary set if it is the union of a nite number of re tangles
in Rn . Let En denote the set of elementary subsets of Rn .
En is an algebra but not a -algebra.
Proof. The omplement of a nite interval is the
union of two intervals, the omplement of an in nite
interval is an in nite interval. Hen e, the omplement
of a re tangle in Rn is the nite union of re tangles.
S
The ountable (disjoint) union M = n2N[n; n + 21
is not an elementary set.
Note that any elementary set is the disjoint union of
a nite number of re tangles.

De nition 10.2 Let B be any (nonempty) family of subsets of X . Let  (B) denote the
interse tion of all  -algebras ontaining B, i. e.
 (B) =

\
i2I

Ai;

where fAi j i 2 I g is the family of all  -algebras Ai whi h ontain B, B  Ai for all i 2 I .
Note that the  -algebra P(X ) of all subsets is always a member of that family fAi g
su h that  (B) exists. We all  (B) the  -algebra generated by B.  (B) is the smallest
 -algebra whi h ontains the sets of B.

Lemma 10.1 For any non-empty family B of subsets of X ,  (B) is a  -algebra over X .
We have  ( (B)) =  (B). If B1  B2 then  (B1 )   (B2 ).

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Measure Theory and Integration

Proof. (a) Let An ; A 2 [


(B) for all n 2 N, that is An ; A 2 Ai for all[
i 2 I . Sin e Ai is a


 -algebra, A 2 Ai and
An 2 Ai for all i. Thus, A 2  (B) and
An 2  (B). This
n2N
n2N

ompletes the proof of the rst part.


(b) This property is obvious sin e  (A) = A for any  -algebra A: the smallest  -algebra,
that ontains the given  -algebra A is of ourse A itself. The property  2 =  is alled
the idempoten e of  . The same fa ts are true for taking the losure.
( )

B B
1

implies  (B1 )   (B2 )

In fa t, any  -algebra A(2)


i that ontains B2 ontains B1 as well. However, among the
(1)
family of  -algebras fAj g ontaining B1 there may be more. Hen e, the interse tion
over larger family fA(1)
j g be omes smaller.
Re all that En is the algebra of elementary sets in Rn .

De nition 10.3 The Borel algebra in

Rn is the -algebra (En) generated by the ele-

mentary sets En . Its elements are alled Borel sets.

The Borel algebra is the smallest  -algebra whi h ontains all boxes in Rn We will see
that the Borel algebra is a huge family of subsets of Rn whi h ontains \all sets we are
ever interested in." Later, we will onstru t a non-Borel set.

Proposition 10.2 Open and losed subsets of Rn are Borel sets.

Proof. We give the proof in ase of R2 . Let I" (x0 ; y0 ) = (x0 "; x0 + ")  (y0 "; y0 + ")
1  I 1 for n 2 N.
denote the open square of size 2" by 2" with midpoint (x0 ; y0 ). Then I +1
2
Let M  R be open. To every point (x0 ; y0) with rational oordinates x0 ; y0 we hoose
the largest square I1=n (x0 ; y0 )  M in M and denote it by J (x0 ; y0).
n

We show that

M=

[
x0 ;y0 )2M; rational

J (x0 ; y0 ):

(x,y)
0 0

(a,b)

Sin e the number of rational points in M is at least ountable,


the right side is in  (E2 ). Now let (a; b) 2 M arbitrary. Sin e
M is open, there exists n 2 N su h that I2=n (a; b)  M . Sin e
the rational points are dense in R2 , there is rational point (x0 ; y0 )
whi h is ontained in I1=n (a; b). Then we have

I 1 (x0 ; y0 )  I 2 (a; b)  M:
n

Sin e (a; b) 2 I n1 (x0 ; y0 )  J (x0 ; y0 ), we have shown that M is the union of the ountable
family of sets J . Sin e losed sets are the omplements of open sets and omplements
are again in the  -algebra, the assertion follows for losed sets.

10.1

289

Measure Theory

Remarks 10.2 (a) We have proved that any open subset M of Rn is the ountable union
of re tangles I  M .

(b) The Borel sets in Rn are exa tly the sets whi h an be built by ountable unions or
interse tions of open or losed sets.
( ) The Borel algebra  (En ) is equal to the  -algebra generated by the family G of open
sets in Rn , f. Homework 34.2.
Let us look in more detail at some of the sets in  (En). Let G and F be the families of
all open and losed subsets of Rn , respe tively. Let G be the olle tion of all interse tion
of sequen es of open sets (from G), and let F be the olle tion of all unions of sequen es
of sets of F. One an prove that F  G and G  F . These in lusions are stri t. Sin e
ountable interse tion and unions of ountable interse tions and union are still ountable
operations, G ; F   (En)
For an arbitrary family S of sets let S be the olle tion of all unions of sequen es of sets
in S, and let S be the olle tion of all unions of sequen es of sets in S. We an iterate the
operations represented by  and , obtaining from the lass G the lasses G , G , G ,
: : : and from F the lasses F , F , : : : . It turns out that we have in lusions

G  G  G      (En)
F  F  F      (En):
No two of these lasses are equal. There are Borel sets that belong to none of them.

10.1.1

Additive Fun tions and Measures

De nition 10.4 (a) Let A be an algebra over X . An additive fun tion or ontent  on
A is a fun tion  : A ! [0; +1 su h that
(i) (?) = 0,
(ii) (A [ B ) = (A) + (B ) for all A; B 2 A with A \ B = ?.
(b) An additive fun tion  is alled ountably additive (or  -additive in the German
literature) on A if for any disjoint family fAn j An 2 A; n 2 Ng, that is Ai \ Aj = ? for
S
all i 6= j , with n2N An 2 A we have

[
n2N

An =

X
n2N

(An ):

( ) A measure is a ountably additive fun tion on a  -algebra A.


If X is a set, A a  -algebra on X and  a measure on A, then the tripel (X; A; ) is alled
a measure spa e. Likewise, if X is a set and A a  -algebra on X , the pair (X; A) is alled
a measurable spa e.

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10

Notation. We write

An in pla e of

n2N
n2N
ountable additivity reads as follows

Measure Theory and Integration

An if fAn g is a disjoint family of subsets. The

(A1 [ A2 [    ) = (A1 ) + (A2 ) +    ;

9 n 2 N : x 2 Ang) = nlim
!1

 (fx 2 X j

We all the additive fun tion  nite if (X ) < 1.

n
X
k=1

(Ak ):

Example 10.1 (a) Let X be a set, x0 2 X and A = P(X ). Then


(

( A ) =

1; x0 2 A;
0; x0 62 A

de nes a nite measure on A.  is alled the point mass on entrated at x0 .


(b) Let X be a set and A = P(X ). Put
(

( A ) =

+1;

if A has in nitely many elements


if A has n elements.

n;

 is a measure on A, the so alled ounting measure.


( ) X = Rn , A = En is the algebra of elementary sets of Rn . Every A 2 En is the nite
P
Pm
disjoint union of re tangles A = m
k=1 Ik . We set (A) = k=1 (Ik ) where
(I ) = (b1 a1 )    (bn an );
if I = f(x1 ; : : : ; xn ) 2 Rn j ai  xi  bi ; i = 1; : : : ; ng and ai  bi ; (?) = 0. Then  is
an additive fun tion on En. It is alled the Lebesgue ontent on Rn . Note that  is not
a measure (sin e A is not a  -algebra and  is not yet shown to be ountably additive).
However, we will see in Proposition 10.5 below that  is even ountably additive. By
de nition, (line in R2 ) = 0 and (plane in R3 ) = 0.
(d) Let X = R, A = E1 , and an in reasing fun tion on R. For a; b in R with a < b set
 ([a; b) = (b + 0) (a 0);
 ([a; b)) = (b 0) (a 0);
 ((a; b) = (b + 0) (a + 0);
 ((a; b)) = (b 0) (a + 0):
Then  is an additive fun tion on E1 if we set
 ( A ) =

n
X
i=1

 (Ii ); if A =

n
X
i=1

Ii :

We all  the Lebesgue{Stieltjes ontent.


On the other hand, if  : E1 ! R is an additive fun tion, then :
(

R ! R de ned by

((0; x);
x  0;
((x; 0);
x < 0;
de nes an in reasing fun tion on R su h that  =  if is ontinuous from the right.
(x) =

10.1

291

Measure Theory

Properties of Additive Fun tions


Proposition 10.3 Let A be an algebra over X and  an additive fun tion on A. Then
(a) 

n
X
k=1

Ak =

n
X
k=1

(Ak ) if Ai 2 A form a disjoint family of subsets.

(b) (A [ B ) + (A \ B ) = (A) + (B ), A; B

2 A.

( ) A  B implies (A)  (B ) ( is monotone).


(d) If A  B , A; B
is subtra tive).

2 A, and (A) < +1, then (B n A) = (B ) (A), (

(e)

n
[
k=1

Ak

n
X
k=1

(Ak );

if Ak 2 A, k = 1; : : : ; n, ( is nitely subadditive).
(f) If fAk j k 2 Ng is a disjoint family in

1
X
k=1

A and
1
X

(Ak )  

k=1

1
X

k=1
!

Ak 2 A. Then

Ak :

Proof. (a) is by indu tion. (d), ( ), and (b) are easy ( f. Homework 34.4).
(e) We an write
n
[
k=1

n
[

k=1

Ak = A1

Ak as the nite disjoint union of n sets of A:




Sin e  is additive,

[ A n A [ A n (A [ A ) [    [ An n (A [    [ An
n
[
k=1

Ak =

n
X
k=1

 (Ak n (A1 [    Ak 1 )) 

where we used (B n A)  (B ) (from (d)).


(f) Sin e  is additive, and monotone
n
X
k=1

(Ak ) = 

n
X
k=1

Ak



1
X
k=1

n
X
k=1

) :

(Ak );

Ak :

Taking the supremum on the left gives the assertion.

Proposition 10.4 Let  be an additive fun tion on the algebra A. Consider the following
statements

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Measure Theory and Integration

(a)  is ountably additive.


(b) For any in reasing sequen e An

we have nlim
(An ) = (A).
!1
( ) For any de reasing sequen e An

 An

+1

 An

, An

+1 , An

2 A, with

1
[
n=1

2 A, with

(An) < 1 we have nlim


(An ) = (A).
!1
(d) Statement ( ) with A = ? only.
We have (a)
equivalent.

(b)

! ( ) ! (d).

An = A 2 A

1
\
n=1

An

2 A and

In ase (X ) < 1 ( is nite), all statements are

Proof. (a) ! (b). Without loss of generality A1 = ?. Put Bn = An n An 1Sfor n = 2; 3; : : : .


Then fBn g is a disjoint family with An = B2 [ B3 [    [ Bn and A = 1
n=1 Bn . Hen e,
by ountable additivity of ,

( A ) =

1
X
k=2

(Bk ) = nlim
!1

n
X
k=2

(Bk ) = nlim

!1

n
X

Bk = nlim
(An ):
!1
k=2

! (a). Let fAng be a family of disjoint sets in A with S An = A 2 A; put Bk =


A [    [ Ak . Then Bk is an in reasing to A sequen e. By (b)

(b)
1

(Bn ) = 
Thus,

1
X
k=1

(Ak ) = 

n
X
k=1

1
X
k=1

Ak

 is additive

n
X
k=1

(Ak ) n!1
! ( A ) = 

1
X
k=1

Ak ;

Ak .

(b) ! ( ). Sin e An is de reasing to A, A1 n An is in reasing to A1 n A. By (b)

(A1 n An ) n!1
! (A1 n A);

hen e (A1 ) (An) ! (A1 ) (A) whi h implies the assertion.


n!1
( ) ! (d) is trivial.
Now let  be nite, in parti ular, (B ) < 1 for all B 2 A. We show (d) ! (b). Let
(An ) be an in reasing to A sequen e of subsets A; An 2 A. Then (A n An ) is a de reasing
to ? sequen e. By (d), (A n An ) ! 0. Sin e  is subtra tive (Proposition 10.3 (d))
n!1
and all values are nite, (An) ! (A).
n!1

Proposition 10.5 Let be in reasing and  the orresponding Lebesgue{Stieltjes ontent on E1 . Then  is ountably additive if and only if is ontinuous from the right.

Proof. Let  be ountably additive and a 2 R. Fix a > 0. By Proposition 10.4 ( ) for
any de reasing to a sequen e (bn ) we have

(bn ) (a) =  ((0; bn)  ((0; a) =  ((a; bn ) n!1


!  (?) = 0;

10.1

293

Measure Theory

hen e, is ontinuous from the right.


Now let be ontinuous from the right, i. e. ((a; b) = (b) (a). The proof of
ountable additivity of  =  is the hard part of the proposition. We will do this in the
ase
1
[

(a; b =

k=1

(ak ; bk

with a disjoint family [ak ; bk ) of intervals. By Proposition 10.3 (f) we already know

 ((a; b) 

1
X

((ak ; bk ):

k=1

(10.1)

We prove the opposite dire tion. Let " > 0. Sin e is ontinuous from the right at a,
there exists a0 2 [a; b) su h that (a0 ) (a) < " and, similarly, for every k 2 N there
exists k > bk su h that ( k ) (bk ) < "=2k . Hen e,
[a0 ; b 

1
[

(ak ; bk 

k=1

1
[

(ak ; k )

k=1

is an open overing of a ompa t set. By Heine{Borel (De nition 6.11) there exists a nite
sub over
[a0 ; b 

N
[

(ak ; k );

k=1

hen e (a0 ; b 

N
[

(ak ; k ;

k=1

su h that by Proposition 10.3 (e)


N
X

((a0 ; b) 

k=1

((ak ; k ):

By the hoi e of a0 and k ,

((ak ; k ) = ((ak ; bk ) + ( k ) (bk )  ((ak ; bk ) +

2k

Similarly, ((a; b) = ((a; a0 ) + ((a0 ; b) su h that

((a; b)  ((a0 ; b) + " 

N
X
k=1

N 
X
k=1

((ak ; bk ) +

((ak ; bk ) + 2" 

Sin e " was arbitrary,

((a; b) 

1
X
k=1

In view of (10.1),  is ountably additive.

1
X
k=1

"

2k

+"

((ak ; bk ) + 2"

((ak ; bk ):

"

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Measure Theory and Integration

Corollary 10.6 The orresponden e  7! () from Example 10.1 (d) de nes a bije tion
between ountably additive fun tions  on E1 and the monotoni ally in reasing, right ontinuous fun tions on R (up to onstant fun tions, i. e. and + de ne the same
additive fun tion).

Histori al Note. It was the great a hievment of Emile
Borel (1871{1956) that he really
proved the ountable additivity of the Lebesgue measure. He realized that the ountable
additivity of  is a serious mathemati al problem far from being evident.
10.1.2

Extension of Countably Additive Fun tions

Here we must stop the rigorous treatment of measure theory. Up to now, we know only
two trivial examples of measures (Example 10.1 (a) and (b)). We give an outline of the
steps toward the onstru tion of the Lebesgue measure.

Constru tion of an outer measure  on P(X ) from a ountably additive fun tion 
on A.

Constru tion of the  -algebra A of measurable sets.

Theorem 10.7 (Extension and Uniqueness) Let  be a ountably additive fun tion
on the algebra A.
(a) There exists an extension of  to a measure on the  -algebra  (A) whi h oin ides
with  on A. We denote the measureP
on  (A) also by .
(b) This extension is unique, if X = 1
n=1 An , An 2 A, and (An ) < 1 for all n 2 N.
(Without proof)

Remarks 10.3 (a) The extension theory is due to Caratheodory (1914). For a detailed

treatment, see [5, Se tion II.4.


(b) The property (b) is alled  - niteness of . For the algebra of elementary sets En of
Rn and the Lebesgue ontent it is obvioulsy
satis ed sin e Rn is the ountable disjoint
P1
union of bounded boxes: for example R = n=1 (( n 1; n [ (n; n + 1).
10.1.3

The Lebesgue Measure on

Rn

Using the fa ts from the previous subse tion we on lude that for any in reasing, right
ontinuous fun tion on R there exists a measure  on the  -algebra of Borel sets. We
all this measure the Lebesgue{Stieltjes measure on R. In ase (x) = x we all it the
Lebesgue measure. Extending the Lebesgue ontent on elementary sets of Rn to the Borel
algebra  (En ), we obtain the n-dimensional Lebesgue measure n on Rn .

Completeness
A measure  : A ! R+ on a  -algebra A is said to be omplete if A 2 A, (A) = 0, and
B  A implies B 2 A. It turns out that the Lebesgue measure n on the Borel sets of

10.1

295

Measure Theory

Rn is not omplete. Adjoining to (En) the subsets of measure-zero-sets, we obtain the


 -algebra A of Legesgue measurable sets A :
A = (Fn); Fn = En [ fX  Rn j X  E; E 2 (En); n(E ) = 0g:
The Lebesgue measure n on A is now omplete.
n

Remarks 10.4 (a) The Lebesgue measure is invariant under the motion group of Rn .
More pre isely, let O(n) = fT 2 M(n  n; R) j T t T = T T t = En g be the group of real
orthogonal n  n-matri es (\motions"), then
n (T (A)) = n (A); A 2 A ; T
n

2 O(n):

(b) n is translation invariant, i. e. n (A) = n (x + A) for all x 2 Rn . Moreover, the


invarian e of n under translations uniquely hara terizes the Lebesgue measure n : If 
is a translation invariant measure on  (En), then  = n for some 2 R+ .
( ) There exist non-measurable subsets in Rn . We onstru t a subset E of R that is not
Lebesgue measurable.
We write x  y if x y is rational. This is an equivalen e relation sin e x  x for all
x 2 R, x  y implies y  x for all x and y , and x  y and y  z implies x  z . Let E be
a subset of (0; 1) that ontains exa tly one point in every equivalen e lass. (the assertion
that there is su h a set E is a dire t appli ation of the axiom of hoi e). We laim that
E is not measurable. Let E + r = fx + r j x 2 E g. We need the following two properties
of E :
(a) If x 2 (0; 1), then x 2 E + r for some rational r 2 ( 1; 1).
(b) If r and s are distin t rationals, then (E + r) \ (E + s) = ?.
To prove (a), note that for every x 2 (0; 1) there exists y 2 E with x  y . If r = x y ,
then x = y + r 2 E + r.
To prove (b), suppose that x 2 (E + r) \ (E + s). Then x = y + r = z + s for some
y; z 2 E . Sin e y z = s r 6= 0, we have y  z , and E ontains two equivalent points,
in ontradi tion to our hoi e of E .
[
Now assume that E is Lebesgue measurable with (E ) = . De ne S = (E + r) where
the union is over all rational r 2 ( 1; 1). By (b), the sets E + r are pairwise disjoint; sin e
 is translation invariant, (E + r) = (E ) = for all r. Sin e S  ( 1; 2), (S )  3.
The ountable additivity of  now for es = 0 and hen e (S ) = 0. But (a) implies
(0; 1)  S , hen e 1  (S ), and we have a ontradi tion.
(d) Any ountable set has Lebesgue measure zero. Indeed, every single point is a box
with edges of length 0; hen e (fptg) = 0. Sin e  is ountably additive,

(fx1 ; x2 ; : : : ; xn ; : : : g) =

1
X
n=1

(fxn g) = 0:

In parti ular, the rational numbers have Lebesgue measure 0, (Q) = 0.

296

10

Measure Theory and Integration

(e) There are un ountable sets with measure zero. The Cantor set (Cantor: 1845{1918,
inventor of set theory) is a prominent example:

( 1
X ai
=
3i
i=1

ai 2 f0; 2g ;

Obviously, C  [0; 1; C is ompa t and an be written as the interse tion of a de reasing


sequen e (Cn ) of losed subsets; C1 = [0; 1=3 [ [2=3; 1, (C1 ) = 2=3, and, re ursively,


1
2 1
Cn+1 = Cn [
+ Cn :
3
3 3
Clearly,

 n
 n+1
2
2
2
(C1 ) =
:
(Cn+1) = (Cn ) =    =
3
3
3
By Proposition 10.4 ( ), (C ) = lim (Cn) = 0. However, C has the same ardinality as
n!1
f0; 2gN = f0; 1gN 
= R whi h is un ountable.
10.2

Let

Measurable Fun tions

A be a -algebra over X .

De nition 10.5 A real fun tion f : X ! R is alled A-measurable if for all a 2 R the
set fx 2 X j f (x) > ag belongs to A.
A omplex fun tion f is said to be A-measurable if both Re f and Im f are A-measurable.
A fun tion f : U ! R, U  Rn , is said to be a Borel fun tion if f is  (En)-measurable,
i. e. f is measurable with respe t to the Borel algebra on Rn .
A fun tion f : U ! V , U  Rn , V  Rm , is alled a Borel fun tion if f 1 (B ) is a Borel
set for all Borel sets B  V .

Note that fx 2 X j f (x) > ag = f 1 ((a; +1)). From Proposition 10.8 below it be omes
lear that the last two notions are onsistent. Note that no measure on (X; A) needs to
be spe i ed to de ne a measurable fun tion.

Example 10.2 (a) Any ontinuous fun tion f : U ! R, U  Rn , is a Borel fun tion.
Indeed, sin e f is ontinuous and (a; +1) is open, f 1 ((a; +1)) is open as well and hen e

a Borel set ( f. Proposition 10.2).


(b) The hara teristi fun tion A is A-measurable if and only if A 2 A (see homework
35.3).
( ) Let f : U ! V and g : V ! W be Borel fun tions. Then g f : U ! W is a Borel
fun tion, too. Indeed, for any Borel set C  W , g 1(C ) is a Borel set in V sin e g is a
Borel fun tion. Sin e f is a Borel fun tion (g f ) 1 (C ) = f 1 (g 1 (C )) is a Borel subset of
U whi h shows the assertion.

Proposition 10.8 Let f : X ! R be a fun tion. The following are equivalent

10.2

297

Measurable Fun tions

(a) fx j f (x) > ag 2 A for all a 2 R (i. e. f is


(b) fx j f (x)  ag 2 A for all a 2 R.
( ) fx j f (x) < ag 2 A for all a 2 R.
(d) fx j f (x)  ag 2 A for all a 2 R.
(e) f 1 (B ) 2 A for all Borel sets B 2  (E1 ).

A-measurable).

Proof. (a) ! (b) follows from the identity

fx j f (x)  ag =

fx j f (x) > a + 1=ng:

n2N

Sin e f is A-measurable and A is a  -algebra, the ountable interse tion on the right is
in A.
(a) ! (d) follows from fx j f (x)  ag = fx j f (x) > ag . The remaining dire tions are
left to the reader (see also homework 35.5).

Lemma 10.9 Let f; g : X


f (x) = g (x)g are in A.

! R be A-measurable.

Then fx

j f (x) > g(x)g and fx j

Proof. Sin e

fx j f (x) < g(x)g =

[
q2Q

(fx j f (x) < q g \ fx j q < g (x)g) ;

and all sets ff < q g and fq < g g the right are in A, and on the right there is a
ountable union, the right hand side is in A. A similar argument works for ff > g g.
Note that the sets ff  g g and ff  g g are the omplements of ff < g g and ff > g g,
respe tively; hen e they belong to A as well. Finally, ff = g g = ff  g g\ff  g g.
It is easy to see ( f. homework 35.4) that for any sequen e (an ) of real numbers
lim a
n!1 n

= inf sup ak and


n2N kn

lim an = sup inf ak :


n2N kn

n!1

(10.2)

Proposition 10.10 Let (fn ) be a sequen e of A-measurable fun tions on X . Then sup fn ,
n2N
inf fn , lim fn , lim fn are A-measurable. In parti ular lim fn is measurable if the limit
n!1
n!1
n2N
n!1
exists.
Proof. Note that for all a 2 R we have ( f. homework 35.4)

fsup fn  ag =

ffn  ag:

n2N

Sin e all fn are measurable, so is sup fn . A similar proof works for inf fn . By (10.2),
lim n!1 fn and lim n!1 fn , are measurable, too.

298

10

Measure Theory and Integration

Proposition 10.11 Let f; g : X ! R Borel fun tions on X  Rn . Then f + g , f  g ,


and j f j are Borel fun tions, too.
Proof. The fun tion h(x) = (f (x); g (x)) : X ! R2 is a Borel fun tion sin e its oordinate
fun tions are so. Sin e the sum s(x; y ) = x + y and the produ t p(x; y ) = xy are ontinuous fun tions, the ompositions sh and ph are Borel fun tions by Example 10.2 ( ).
Sin e the onstant fun tions and are Borel, so are f , g , and nally f + g .
Hen e, the Borel fun tions over X form a linear spa e, moreover a real algebra. In
parti ular f is Borel and so is j f j = maxff; f g.
f+
f-

Let (X; A; ) be a measure spa e and f : X ! R arbitrary. Let f + = maxff; 0g and f = maxf f; 0g
denote the positive and negative parts of f . We
have f = f + f and j f j = f + + f ; moreover
f + ; f  0.

Corollary 10.12 Let f is a Borel fun tion if and only if both f + and f are Borel.
10.3

The Lebesgue Integral

We de ne the Lebesgue integral of a omplex fun tion in 3 steps; rst for positive, simple
fun tions, then for positive measurable fun tions and nally for arbitrary measurable
fun tions. In this se tion (X; A; ) is a measure spa e.
10.3.1

Simple Fun tions

De nition 10.6 Let M

 X be a subset. The fun tion


(
1; x 2 M;
M (x) =
0; x 62 M;

is alled hara teristi fun tion of M .


An A-measurabel fun tion f : X ! R is alled simple if f takes only nitely many values
1 ; : : : ; n .
Clearly, if 1 ; : : : ; n are the distin t values of the simple fun tion f , then

f=

n
X
i=1

i A ;
i

where Ai = fx j f (x) = i g. It is lear, see homework 35.2, that f measurable if and only
if Ai 2 A for all i. Obviously, fAi j i = 1; : : : ; ng is a disjoint family of subsets of X .
We denote the set of simple fun tions on (X; A) by S; the set of non-negative simple
fun tions is denoted by S+ . It is easy to see that f; g 2 S implies f + g 2 S, maxff; g g 2
S, minff; gg 2 S, and fg 2 S.

10.3

299

The Lebesgue Integral

For f =

n
X
i=1

i A

2S

de ne
Z
X

f d =

n
X
i=1

i (Ai ):

(10.3)

The onvention 0  (+1) is used here; it may happen that i = 0 for some i and (Ai ) =
+1.

Remarks 10.5 (a) Sin e i  0 for all i, the right hand side is well-de ned in R.
(b) Given another presentation of f , say, f (x) =
value as (10.3).

m
X
j =1

dj B ,
j

m
X
j =1

dj (Bj ) gives the same

The following properties are easily he ked.

Lemma 10.13 For f; g 2 S+ , A 2 A, 2 R+ we have


R

(1) X A d = (A).
R
R
(2) X f d = X f d.
R

(3) X (f + g ) d = X f d + X g d.
R
R
(4) f  g implies X f d  X g d.

10.3.2

Approximation of Measurable Fun tions by Simple Fun tions

Theorem 10.14 Let f : X


n 2 N, on X su h that
(a)
(b)

0  s1

! [0; +1 be measurable.

There exist simple fun tions sn ,

 s      f.
sn (x) n!1
! f (x), as n ! 1, for every x 2 X .
2

y
f

Example. X = (a; b), n = 1,


1  i  2. Then



E24
1/2

a
E11

E12

F1

b
E12 E11



1
;
0;
E11 = f
2


1
1
E12 = f
;1 ;
2
F2 = f 1 ([1; +1) :

3/4

300

10

Measure Theory and Integration

Proof. For n 2 N and for 1  i  n2n , de ne

Eni = f


1

i 1 i
n ; n



n 2n
X
i

and put

sn =

and Fn = f 1 ([n; 1)

i=1

2n

E + nF :
n

ni

Proposition 10.8 shows that Eni and Fn are measurable sets. It is easily seen that the
fun tions sn satisfy (a). If x is su h that f (x) < +1, then
0  f (x)

sn (x) 

1
2n

as soon as n is large enough, that is, x 2 Eni for some n; i


f (x) = +1, then sn (x) = n; this proves (b).
From (10.4) it follows, that sn

(10.4)

2 N and not x 2 Fn.

If

 f uniformly on X if f is bounded.

De nition 10.7 (Lebesgue Integral) Let f : X ! [0; +1 be measurable. Let (sn (x))
be an in reasing sequen e of simple fun tions sn onverging to f (x) for all x 2 X ,
lim sn (x) = sup sn (x) = f (x). De ne
n!1
n2N
Z
X

f d = sup
n2N

Z
X

s n d

(10.5)

and all this number in [0; +1 the Lebesgue integral of f (x) over X with respe t to the
measure  or -integral of f over X .
The de nition of the Lebesgue integral does not depend on the spe ial hoi e of the
in reasing fun tions sn % f . One an de ne
Z
X

f d = sup

Z
X

s d j s  f; and s is a simple fun tion :


R

Observe, that we apparently have two de nitions for X f d if f is a simple fun tion.
However these assign the same value to the integral sin e f is the largest simple fun tion
greater than or equal to f .

Proposition 10.15 The properties (1) to (4) from Lemma 10.13 hold for any nonnegative measurable fun tions f; g : X ! [0; +1, 2 R+ .
(Without proof.)

10.3

301

The Lebesgue Integral

10.3.3

Integration of Arbitrary Complex Fun tions

Let (X; A; ) be a measure spa e.

De nition 10.8 (Lebesgue Integral|Continued) A omplex, measurable fun tion


f : X ! C is alled -integrable if
Z

j f j d < 1:

If f = u + iv is -integrable, where u = Re f and v = Im f are the real and imaginary


parts of f , u and v are real measurable fun tions on X . De ne the -integral of f over
X by
Z

f d =

u d

u d + i

v d i

v d:

(10.6)

These four fun tions u+ , u , v + , and v are measurable, real, and non-negative. Sin e
we have u+  j u j  j f j et ., ea h of these four integrals is nite. Thus, (10.6) de nes
the integral on the left as a omplex number.
We de ne L1 (X; ) to be the olle tion of all omplex -integrable fun tions f on X . It
is sometimes desirable to de ne the integral of a measurable fun tion f : X ! [ 1; +1
to be
Z
Z
Z
+
f d = f
f d;
X

if at least one of the integrals on the right is nite. The left side is then a number in
[ 1; +1.
R
Note that for an integrable fun tions f , X f d is a nite number.

Proposition 10.16 Let f; g : X ! C be measurable.


(a) f is -integrable if and only if j f j is -integrable and we have
Z




f d

j f j d:

(b) f is -integrable if and only if there exists an integrable fun tion h with

j f j  h.

( ) If f; g are integrable, so is 1 f + 2 g where


Z

( 1 f + 2 g ) d = 1
R

f d + 2

Z
X

g d:

 g on X , then X f d  X g d.
It follows that the set L (X; ) of -integrable omplex-valued fun tions on X is a linear
spa e. The Lebesgue integral de nes a positive linear fun tional on L (X; ). Note that
(b) implies that any measurable and bounded fun tion f on a spa e X with (X ) < 1
(d) If f

is integrable.

302

10

Measure Theory and Integration

De nition 10.9 Let A 2 A, f : X ! R or f : X ! C measurable. The fun tion f is


alled -integrable over A if A f is -integrable over X . In this ase we put,
Z

f d =

A f d:

In parti ular, Lemma 10.13 (1) now reads A d = (A).


10.4

Some Theorems on Lebesgue Integrals

10.4.1

The Role Played by Measure Zero Sets

De nition 10.10 Let P be a property whi h a point x may or may not have. For
instan e, P may be the property \f (x) > 0" if f is a given fun tion or \(fn(x)) onverges"
if (fn ) is a given sequen e of fun tions. If (X; A; ) is a measure spa e and A 2 A, we say
\P holds almost everywhere on A", abbreviated by \P holds a. e. on E ", if there exists
N 2 A su h that (N ) = 0 and P holds for every point x 2 E n N .
This on ept of ourse strongly depends on the measure , and sometimes we write
-a. e. For example, if f; g are measurable fun tions, we write f  g if f = g -a. e. on
X . This means (fx j f (x) 6= g (x)g) = 0. This is indeed an equivalen e relation. Note
that f = g a. e. on X implies
Z
Z

f d =

g d:

Indeed, let N denote the zero-set where f =


6 g. Then
Z

(f

g ) d =

(f

g ) d +

X nN

(f

g ) d  (N )(1) + (X n N )  0 = 0:

Proposition 10.17 Let f : X ! [0; +1 be measurable. Then


R

Xf

d = 0 if and only if f = 0 a. e. on X .

(See homework 36.3)

De nition 10.11 Let (X; A; ) be a measure spa e. For 1  p < 1, Lp (X; ) denotes
the set of A-measurable fun tions f on X su h that j f jp 2 L1 (X; ). For f 2 Lp (X; )

set

kf kp =

Z
X

1

j f j d :
p

(10.7)
R

From Proposition 10.17 it follows that kkp is not a norm, in general, sin e X j f jp d = 0
implies only f = 0 a. e. However, identifying fun tions f and g whi h are equal a. e. ,
(10.7) de nes a norm on those equivalen e lasses.
Let N = ff : X ! C j f is measurable and f = 0 a. e. g: Then N is a linear subspa e
of Lp (X; ) for all all p, and f = g a. e. if and only if f g 2 N.

10.4

303

Some Theorems on Lebesgue Integrals

De nition 10.12 Let (X; A; ) be a measure spa e. Lp (X; ) denotes the set of equivalen e lasses of fun tions of Lp (X; ) with respe t to the equivalen e relation f = g
a. e. that is,

Lp (X; ) = Lp (X; )=N

is the quotient spa e. Lp (X; ) is a normed spa e with the norm (10.7).

Example. We have Q = 0 in Lp (R; ) sin e Q = 0 a. e. on


Lebesgue measure (note that Q is a set of measure zero).
10.4.2

R with respe t to the

The Monotone Convergen e Theorem

The following theorem about the monotone onvergen e by Beppo Levi (1875{1961) is
one of the most important in the theory of integration. The theorem
holds for an arbitrary
R
in reasing sequen e of measurable fun tions with, possibly, X fn d = +1.

Theorem 10.18 (Monotone Convergen e Theorem/Beppo Levi) Let (fn ) be a


sequen e of measurable fun tions on X and suppose that
(1)
(2)

0  f1 (x)  f2 (x)      +1 for all x 2 X ,


fn (x) n!1
! f (x), for every x 2 X .

Then f is measurable, and

lim
f d
n!1 X n

f d:

(Without proof) Note, that f is measurable is a onsequen e of Proposition 10.10.

! [0; +1

Corollary 10.19 Let fn : X


1
X
n=1

fn (x) for x 2 X . Then

Z X
1
X n=1

be measurable for all n

f n d =

1 Z
X
n=1 X

2 N,

and f (x) =

fn d:

Example 10.3 (a) Let X = N, A = P(N) the  -algebra of all subsets, and  the ounting
measure on N. The fun tions on N an be identi ed with the sequen es (xn ), f (n) = xn .
Trivially,Rany fun tion is A-measurable.
What is N xn d? First, let f  0. For a simple fun tion gn , given by gn = xn fng , we
1
X
R
obtain gn d = xn (fng) = xn . Note that f =
gn and gn  0 sin e xn  0. By
Corollary 10.19,

n=1

f d =

1 Z
X

gn d =

1
X

xn :
N
n=1
n=1
R
P
Now, let f be arbitrary integrable, i. e. N j f j d < 1; thus 1
n=1 j xn j < 1. ThereP
1
fore, (xn ) 2 L (N; ) if and only if xn onverges absolutely. The spa e of absolutely
onvergent series is denoted by `1 or `1 (N).
N

304

10

(b) Let anm

 0 for all n; m 2 N. Then


1
1 X
X

n=1 m=1

amn =

1
1 X
X
m=1 n=1

Measure Theory and Integration

amn :

Proof. Consider the measure spa e (N; P(N); ) from (a). For n
fn (m) = amn . By Corollary 10.19 we then have
Z X
1

1
X

f (m)
fn (m) d = f d =
(a)
X
X n=1
m=1
| {z }
f (m)
1 Z
1 X
1
X
X
=
fn (m) d =
amn :
X
n=1
n=1 m=1

2 N de ne fun tions

1 X
1
X

m=1 n=1

amn

Proposition 10.20 Let f : X ! [0; +1 be measurable. Then


'( A ) =
de nes a measure ' on A.

f d; A 2 A

(See homework 36.4)


10.4.3

The Dominated Convergen e Theorem

Besides the monotone onvergen e theorem the present theorem is the most important
one. It is due to Henry Lebesgue. The great advantage, ompared with Theorem7.7, is
that (X ) = 1 is allowed, that is, non- ompa t domains X are in luded. We only need
the pointwise onvergen e of (fn ), not the uniform onvergen e. The main assumtion here
is the existen e of an integrable upper bound for all fn .

Theorem 10.21 (Dominated Convergen e/Lebesgue) Let fn ; f : X


C, n 2 N, be measurable fun tions su h that

!R

or into

(1) fn ! f as n ! 1 a. e.
(2) j fn j  g a. e.
Z

(3)

Then

g d < +1.

j f j d < 1 and

lim

lim
f d = f
n!1 X n
X

n!1 X

j f n f j d = 0:

d;
(10.8)

10.4

305

Some Theorems on Lebesgue Integrals

Note, that (10.8) shows that (fn ) onverges to f in the normed spa e L1 (X; ).

Example
10.4 (a) Let An 2 A, n 2 N, A1  A2     be an in reasing sequen e with
[
An = A.
n2N
If f 2 L1 (A; ), then
Z
Z
lim

n!1 An

f d =

f d:

Indeed, the sequen e (An f ) is pointwise onverging to A f and j An f j  j A f j whi h


is integrable. By Lebesgue's theorem,
Z

lim

n!1 An

f d = nlim
!1

Z
X

A f =

A f d =

Z
A

f d:

However, if we do not assume f 2 L1 (A; ), the statement is not true (see Remark 10.6
below).
(b) Let fn = n(0;1=n) be de ned on (0; 1). Then fn ! 0 pointwise, however
Z

1
0

fn d = 1 6!

1
0

0 = 0:

Note, that fn is neither monotoni nor dominated by any integrable fun tion g .
10.4.4

The Riemann and the Lebesgue Integrals

Proposition 10.22 Let f be a bounded fun tion on the nite interval [a; b.
(a) f is Riemann integrable on [a; b if and only if f is ontinuous a. e. on [a; b.
(b) If f is Riemann integrable on [a; b, then f is Lebesgue integrable, too. Both integrals
oin ide.
Let I  R be an interval su h that f is Riemann integrable on all ompa t subintervals
of I .
( ) f is Lebesgue integrable on I if and only if j f j is improperly Riemann integrable on
I (see Se tion 5.4); both integrals oin ide.
Remarks 10.6 (a) The hara teristi fun tion Q on [0; 1 is Lebesgue but not Riemann
integrable; Q is nowhere ontinuous on [0; 1.
(b) The (improper) Riemann integral

Z 1
sin x
1

dx

onverges (see Example 5.9); however, the Lebesgue integral does not exist sin e the
integral does not onverge absolutely.

306

10

10.4.5

Measure Theory and Integration

Fubini's Theorem

Theorem 10.23 Let (X1 ; A1; 1 ) and (X2 ; A2; 2 ) be  - nite measure spa es, let f be an
A1
A2-measurable fun tion andR X = X1  X2.
R
(a) If f : X ! [0; +1, '(x1 ) = f (x1 ; x2 ) d2 , (x2 ) = f (x1 ; x2 ) d1, then
X2

Z
X2

(b) If f

(x2 ) d2 =

X1 X2

f d(1
2 ) =

2 L (X; 
 ) then
1

X1

X1

'(x1 ) d1 :

Z
X 1 X 2

f d(1
2 ) =

Z

Z
X2

X1

f (x1 ; x2 ) d1 d2 :

A
A denotes the smallest -algebra over X , whi h ontains all sets A  B ,
A 2 A and B 2 A . De ne (A  B ) =  (A) (B ) and extend  to a measure 

on A
A .

Here

Remark 10.7 In (a), as in Levi's theorem, we don't need any assumption on f to hange
the order of integration sin e fR  0. In (b) f is an arbitrary measurable fun tion on
X1  X2 , however, the integral X j f j d needs to be nite.

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