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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

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

286

10

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 satised:

(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.

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

(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

( ) 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
onite subsets (these are
omplements of nite sets) of an

innite set form an algebra. Do they form a -algebra?

Elementary Sets in Rn

rules.

1.

2.

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

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 innite

interval is an innite 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.

Denition 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 ).

288

10

(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

(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

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 .

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.

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)

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

Denition 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 ):

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.

290

10

Notation. We write

An in pla e of

n2N

n2N

ountable additivity reads as follows

9 n 2 N : x 2 Ang) = nlim

!1

(fx 2 X j

n

X

k=1

(Ak ):

(

( A ) =

1; x0 2 A;

0; x0 62 A

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

(

( A ) =

+1;

if A has n elements.

n;

( ) 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

denition, (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 :

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

(

R ! R dened by

((0; x);

x 0;

((x; 0);

x < 0;

denes an in
reasing fun
tion on R su
h that = if is
ontinuous from the right.

(x) =

10.1

291

Measure Theory

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

2 A.

(d) If A B , A; B

is subtra tive).

(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

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 ))

(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 :

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

statements

292

10

(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 ) = (A).

!1

(d) Statement ( ) with A = ? only.

We have (a)

equivalent.

(b)

! ( ) ! (d).

An = A 2 A

1

\

n=1

An

2 A and

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 [ [ 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 .

(A1 n An ) n!1

! (A1 n A);

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

! (?) = 0;

10.1

293

Measure Theory

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 (Denition 6.11) there exists a nite

sub
over

[a0 ; b

N

[

(ak ; k );

k=1

hen e (a0 ; b

N

[

(ak ; k ;

k=1

N

X

((a0 ; b)

k=1

((ak ; k ):

2k

N

X

k=1

N

X

k=1

((ak ; bk ) +

((ak ; bk ) + 2"

((a; b)

1

X

k=1

1

X

k=1

"

2k

+"

((ak ; bk ) + 2"

((ak ; bk ):

"

294

10

Corollary 10.6 The
orresponden
e 7! () from Example 10.1 (d) denes 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 +
dene 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

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.

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

(b) The property (b) is alled -niteness of . For the algebra of elementary sets En of

Rn and the Lebesgue ontent it is obvioulsy

satised 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

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

-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):

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 ) = . Dene 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:

296

10

(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 ;

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

A be a -algebra over X .

Denition 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
ied to dene 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

(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.

10.2

297

(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).

fx j f (x) ag =

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).

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

! R be A-measurable.

Then fx

Proof. Sin e

[

q2Q

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

n2N kn

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

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

We dene 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

(

1; x 2 M;

M (x) =

0; x 62 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

For f =

n

X

i=1

i A

2S

dene

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-dened 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

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

n 2 N, on X su h that

(a)

(b)

0 s1

! [0; +1 be measurable.

s f.

sn (x) n!1

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

2

y

f

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

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

f (x) = +1, then sn (x) = n; this proves (b).

From (10.4) it follows, that sn

(10.4)

If

f uniformly on X if f is bounded.

Denition 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). Dene

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 denition of the Lebesgue integral does not depend on the spe
ial
hoi
e of the

in
reasing fun
tions sn % f . One
an dene

Z

X

f d = sup

Z

X

R

Observe, that we apparently have two denitions 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

10.3.3

f : X ! C is alled -integrable if

Z

j f j d < 1:

parts of f , u and v are real measurable fun tions on X . Dene 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) denes

the integral on the left as a
omplex number.

We dene L1 (X; ) to be the
olle
tion of all
omplex -integrable fun
tions f on X . It

is sometimes desirable to dene 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.

(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.

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 denes 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

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

Z

f d =

A f d:

10.4

10.4.1

Denition 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:

6 g. Then

Z

(f

g ) d =

(f

g ) d +

X nN

(f

R

Xf

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

Denition 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) denes 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

Denition 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,

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

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

10.4.2

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.

sequen e of measurable fun tions on X and suppose that

(1)

(2)

fn (x) n!1

! f (x), for every x 2 X .

lim

f d

n!1 X n

f d:

! [0; +1

1

X

n=1

Z X

1

X n=1

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 identied 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

1

1 X

X

n=1 m=1

amn =

1

1 X

X

m=1 n=1

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 dene fun tions

1 X

1

X

m=1 n=1

amn

'( A ) =

denes a measure ' on A.

f d; A 2 A

10.4.3

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 .

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

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:

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 dened 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

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

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

A

A denotes the smallest -algebra over X , whi
h
ontains all sets A B ,

A 2 A and B 2 A . Dene (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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