Measure Theory and Lebesgue Integration

an introductory course

Written by: Isaac Solomon

Prerequisites: A course in Real Analysis, covering Riemann/Riemann-Stieltjes integration.

Table of Contents
1. A review of the Riemann/Riemann-Stieltjes integration. The history of its development, its
properties, and its shortcomings.
2. Lebesgue Measure Zero and a classication of the space of the Riemann-Integrable Functions.
3. Lebesgue Outer Measure. Measurable sets, Non-Measurable sets, and the Axiom of Choice. The
Cantor-Lebesgue function.
4. Proving that the space of Measurable sets forms a -algebra containing the Borel sets.
5. Measurable functions, and the four-step construction of the Lebesgue integral.
6. Littlewoods Three Principles. The Bounded and Uniform Convergence Theorems. Fatous
Lemma and the Dominated and Monotone Convergence Theorems.
7.The Riesz-Fischer Theorem: L1 is complete.

Measure Theory and Lebesgue Integration: Lesson I

If only I had the theorems! Then I should nd the proofs easily enough.
Bernard Riemann (1826-1866)
A review of Riemann integration. The history of its development, its properties, and its
shortcomings.

The History of the Riemann Integral

There are few branches of mathematics whose origins are as contentious as that of calculus. Some
say that it was the British mathematician Isaac Newton who rst discovered calculus, others insist it
was the German mathematician Gottfriend Liebniz, and still others are certain that Stephen Wolfram
invented in 1988 . Nevertheless, the calculus they developed was very dierent from our own, for it
was based on the existence of innitesimals, units of length that were innitely small. The problem
with this innitesimal calculus was that nobody could make the notion of innitesimal rigorous.
It was not until the turn of the 19th century that the mathematicians Augustin-Louis Cauchy and
Karl Weierstrass eliminated the innitesimal by constructing the formal notion of limit. With
this rigorous groundwork already prepared for him, Bernhard Riemann nally developed the familiar
Riemann Integral we use today.
Note that although innitesimals were abandoned in traditional calculus, there is a branch of math
known as Non-Standard Analysis that uses set-theoretic ideas to make the notion of innitesimals
rigorous.
*This is, of course, a joke. The reader will laugh now.

The Construction of the Riemann Integral

The Riemann integral, conceptually, is a way of nding the area under a curve. In other words, it
is a way of measuring how much information or mass a function accrues over some interval. We
shall construct it rigorously below.
Let [a, b] be an interval. We dene a partition P of [a, b] to be a nite collection of points
P = {a = x0 < x1 < < xn = b}
contained in my interval. These points divides my interval [a, b] in a collection of sub-intervals
[a = x0 , x1 ], [x1 , x2 ], [x2 , x3 ] , [xn2 , xn1 ], [xn1 , xn = b]
Now, let us dene the notion of a step function. A step function is a 2-tuple consisting of a
nite partition P with n + 1 elements, and a nite collection {a1 , , an } of values, such that is
equal to ai on the interval (xi1 , xi ).
For example, let my interval [a, b] = [0, 10], and let my partition P = {0, 1, 2, , 8, 9, 10}. Suppose
that my set of values is {0, 1, 2, , 7, 8, 9}. Then the associated step function would look like

Now, let us dene the integral of a step function :

n

ai (xi xi1 )

=
a

i=1

It is easy to see that this is the sum of the areas of the rectangles drawn beneath my step function.
Now, let f be a bounded function on [a, b]. We dene the Lower Riemann integral:
b

| is a step function, and f on [a, b]

= sup
a

and the Upper Riemann Integral:

b

| is a step function, and f on [a, b]

= inf
a

If
b

=
a

we say f R([a, b]), the space of Riemann integrable functions on [a, b], and
b

f=

=
a

Properties of the Riemann Integral

We know that if a bounded function is continuous, monotonic, or has only nitely many discontinuities, it is Riemann integrable. The proof of these statements can be found in any introductory
analysis text, so I wont cover it here. Next time, we shall give a precise if-and-only-if condition for
determining when a function is Riemann integrable.
Now, let us consider an interesting function that is not Riemann integrable, the Dirichlet Function. Dene f on [0, 1] by setting f (x) = 1 when x is rational, and 0 when x is irrational. I dont
recommend you spend too long trying to imagine what the graph of this function looks like.
Let be a step function with partition P1 , such that f . Since every interval contains both
rational and irrational points, is forced to equal zero on every interval. Thus
b

| is a step function, and f on [a, b]

= sup
a

=0

Conversely, let be a step function with partition P2 , such that f . Since every interval
contains both rational and irrational points, must equal 1 on every interval, so that
b

| is a step function, and f on [a, b]

= inf
a

=1

We see that the upper and lower Riemann integrals are dierent, and so f is not integrable.
Another shortcoming of the Riemann integral is that it is not dened on innite sets. To take the
integral over R, one has to take a sequence of integrals on larger and larger intervals, which can often
be hard to work with. These are called improper integrals.
Lastly, let us dene a norm on R([a, b]). If f, g R([a, b]),
b

f g =

|f g|
a

If f g = 0, we say that f = g in the 1 norm. Now, let fn be a Cauchy sequence of Riemann

integrable functions. It is not necessarily the case that they converge in R([a, b]). We therefore say
that the space of Riemann integrable functions is not complete, and therefore not a Banach Space
(complete, normed vector space). This sucks, because Banach spaces are some of the most wellstudied and understood spaces. Clearly, if we want to develop a theory of integration that is exible
and dynamic, we need to ditch the Riemann integral.

Measure Theory and Lebesgue Integration: Lesson II

In mathematics the art of proposing a question must be held of higher value than solving it.
Georg Cantor (1845-1918)
Lebesgue Measure Zero and a classication of the space of the Riemann-Integrable
Functions.

When does the Riemann integral exist?

As we saw with the Dirichlet Function, there are some functions that just arent Riemann integrable. The question then becomes, well, why not? The Dirichlet function is rather peculiar, to
be sure, and its not obvious precisely where integration fails. Are there functions that look like the
Dirichlet function that are Riemann integrable? These and further questions will be explored in this
lesson.
Well, lets start with what we know. If a function is continuous, its easy to imagine that I can
approximate its area smoothly with rectangles from above and below. Its also easy to prove. What
if a function f has a single discontinuity? Is is still Riemann integrable? The answer is still yes. To
see this, suppose that the point p is the discontinuity of our function. Let be any step function
approximating f from above or below, with partition P . We construct a sequence of new partitions
1
1
} {p + }
n
n
As n gets larger, the interval around p gets smaller and smaller. Since f is bounded by some constant M , the total amount it can vary on any partition is 2M . As such, although the upper and lower
1
1
rectangles on (p n , p + n ) arent equal, that dierence can be made as small as I like by shrinking
the partition, and so f R. (Try making this rigorous!)
Pn = P {p

The above process can be mirrored when f has any nite number of discontinuities, and so such
functions are also Riemann integrable. Well, what about a function with countably many discontinuities? Are these functions still in R? The answer, surprisingly, is still yes.
At this point, those readers who know some set theory may be thinking to themselves, Aha!
Clearly, countably many discontinuities arent enough. But what if we had an uncountable number of
discontinuities? Theres no way such a function can still be Riemann integrable!. (Readers unfamiliar
with countable/uncountable innities should pause here and look them up on Wikipedia). Incredibly
enough, there are functions with uncountably many discontinuities that are still Riemann integrable.
In the exercises at the end of this lesson, I will outline examples to demonstrate these facts. However,
it is rather challenging to prove those examples using only the machinery developed thus far. To that
end, we will need to develop a perfunctory notion of measure.
5

Lebesgue Measure Zero

As we have seen, we cannot tell if a function is Riemann integrable or not merely by counting its
discontinuities. One possible alternative is to look at how much space the discontinuities take up. Our
question then becomes: how can one tell, rigorously, how much space a set takes up? Is there a useful
denition that will coincide with our intuitive understanding of volume or area?
If we had been faced with this problem a little over a century ago, we mightve shrugged our
shoulders and gone on with our day. Luckily for us, in 1903, a brilliant French mathematician named
Henri Lebesgue developed a way of assigning to each set a size or measure. It can constructed
as follows.
Let E be a subset of R. One might also write E 2R or E P (R), which says that E is an
element of the power set of R, the collection of all subsets of R. Now, let {(ak , bk )} be a collection
k=1
of open intervals with nite endpoints. We say that this collection covers E if

(ak , bk )
k=1

To every open cover {(ak , bk )} we can associate a length

k=1

(bk ak )
k=1

As one can imagine, there are innitely many dierent open covers, some of which might be tighter
or looser than others. To get the best t, we dene the Lebesgue outer measure

|E| = inf

(bk ak ) | E

(ak , bk )
k=1

k=1

This says: to nd the outer measure of E, look at every possible open cover, and try to nd the
one with the smallest length. Its as if E is a collection of smudges on my bathroom door, and Im
trying to cover it with as little paint as possible. That being said, E has Lebesgue measure zero if
|E| = 0.
What sets have Lebesgue measure zero?
I think we can all agree that the empty set, , should have Lebesgue measure zero. What about
larger sets?
Theorem: Any countable set has Lebesgue measure zero.
Proof: Let

> 0, and let {qn } be an enumeration of my countable set E. Dene the following open
cover:
, qn + n )}
n=1
2n
2
The sum of the lengths of O is
O = {(qn

(qn +
n=1

However,

) (qn n ) = 2
=2
2n
2
2n
n=1

was arbitrary, and could have been as small as I liked. Therefore, the inmum of the
possible lengths of my covers is 0, and so |E| = 0.

As we shall see later, there are also uncountable sets with measure zero.
6

A precise classication of the space of Riemann integrable functions

With this notion of Lebesgue measure zero in hand, we can nally tell when a function is Riemann
integrable. (Warning: The following proof, while essential, can get a little complicated. If you have
questions, post them on the class page rather than smashing your head against the wall).
Theorem: A bounded function f is Riemann integrable on [a, b] if and only if its set of
discontinuities on [a, b], denoted E, has Lebesgue measure zero
Proof: To see that Riemann integrability implies |E| = 0, we shall construct a proof by
contrapositive. Suppose that |E| > 0. We wish to show that f R([a, b]). To do that, let us dene
/
the oscillation of f at a point x
(x) = sup {|f (y) f (z) : y, z (x , x + )}
This tells us precisely how big the discontinuity at x is. If (x) is large, we have a large
discontinuity, and if it is small, we have a minor one. (Show that that if f is continuous at x, the
oscillation goes to zero as 0, and visa versa). Now, the problem with our set of discontinuities E
is that it may contain a large number of minor discontinuities getting smaller and smaller, whereas
we want to use the large ones in our proof. Therefore, we dene sets

En =

x E : (x) >

1
n

> 0

The set En consists precisely of those points where the oscillation is greater than

1
n.

Observe that

E=

En
n=1

Now, if every En had Lebesgue measure zero, so would E (Why?). Thus there exists some natural
number N such that |EN | = > 0. This is very useful, for now we are working with a set where the
discontinuities cant get too small.
Now, let P = {a = x0 < x1 < < xk = b} be a partition. We shall use the classical denition of the
Riemann integral, where the dierence between the upper and lower sums is written
k

sup(xi1 ,xi ) f inf(xi1 ,xi ) f (xi xi1 )

i=1

This is greater than or equal to

sup(xi1 ,xi ) f inf(xi1 ,xi ) f (xi xi1 )
(xi1 ,xi )EN =

which is the summation only over those intervals that intersect EN . This in turn greater than or
equal to
(x)(xi xi1 )
(xi1 ,xi )EN =

1
N

(xi xi1 )
(xi1 ,xi )EN =

>0
N

Since the upper and lower sums will always be some positive distance apart, our function is not
Riemann integrable.
7

To prove the converse, suppose that the set of discontinuities E has Lebesgue measure zero. Then
|En | = 0 for all n. As an exercise, prove that each En is compact (hint: use the Heine-Borel
Theorem).
Since En is compact, and has Lebesgue measure zero, it can be covered with a nite collection of
intervals, {(ak , bk )} such that
(bk ak ) <
Let
R = [a, b] \

(ak , bk )

be the remainder of [a, b] that is not covered. It is easy to see that R is the union of a nite collection
of closed sets. By compactness, there exists a such that
1
on R
n
We can chop up the closed intervals composing R into nitely many subintervals of length less than
. Denote these subintervals {(ck , dk )}. Now, let P be a partition whose elements are the ak , bk , ck
and dk . With this partition, the dierence between the upper and lower Riemann sums is
(x)

sup(xi1 ,xi ) f inf(xi1 ,xi ) f (xi xi1 )

i=1

Now, let us split this sum in two. The rst part will sum over the intervals that do not contain any
element of En , and the second part will sum precisely on those that do.
=

sup(ak ,bk ) f inf(ak ,bk ) f (bk ak ) +

sup[ck ,dk ] f inf[ck ,dk ] f (dk ck )

Here is where all our hard work pays o. Although the sum of the intervals in the second summation
1
takes up almost all of [a, b], the function itself cannot oscillate more than n . In the rst sum,
although the oscillation may be as large as 2M , the sum of the intervals is very small. Thus
ba
n
was arbitrary, and we can let n , we see that the upper and lower Riemann sums can be
made equal, and so the Riemann integral exists. .
2M

Since

Note: A property is said to hold almost everywhere if the measure of the set where it fails is zero.
As such, one can say that a function is Riemann integrable if and only if it is continuous almost
everywhere.
Exercises:
(1) Consider the following variant of the Dirichlet function. Dene f (x) on [0, 1] by setting f (x) = 0
when x is irrational. When x is a rational, of reduced form p , let f (x) = 1 . What is the set of
q
q
discontinuities of this function? Is it Riemann integrable?
(2) Go on Wikipedia and look up the construction of the Cantor set. (a) What is the cardinality of
the Cantor set? (b) Let f be a function whose discontinuities lie precisely on the Cantor set. Is f
Riemann integrable?

Measure Zero, Continuity, and the Devils Staircase

In this mini-lesson, well explicitly construct the Cantor set and the Cantor-Lebesgue function (also
known as the Devils staircase). If you have completed the homework for Lesson II, you may already
know that the Cantor set is interesting because it is an uncountable set of measure zero. For this
reason, it is excellent hunting ground for otherwise rare counterexamples. Well make use of it in the
future, so keep it in mind.
The Cantor Set
We start with the unit interval [0, 1], and then remove the middle third. This gives us
C1 = [0, 1/3] [2/3, 1]
Repeating this process, we remove the middle third from each of these remaining intervals. Then
C2 = [0, 1/9] [2/9, 1/3] [2/3, 7/9] [8/9, 1]
At each step, we get Ck , the union of 2k intervals of length 3k . The Cantor Set itself is the
intersection of all of all of these Ck ,

Ck

C=
k=1

For the visually inclined, heres a graphical demonstration of whats happening:

The Cantor-Lebesgue Function

Let Ok = [0, 1] \ Ck be the 2k 1 open intervals removed at the k th step, and say that O = C C .
Dene a function on Ok as follows. Set it equal to 1/2k on the rst interval, 2/2k on the second
interval, up until (2k 1)/2k on the 2k 1 interval.
Thus, on O1 , which was just (1/3, 2/3), is equal to 1/2.
Moving up to O2 , we see that

1/4
2/4
(x) =

3/4

x (1/9, 2/9)
x (3/9, 6/9)
x (7/9, 8/9)

which coincides perfectly with how we dened it on O1 , as 2/4 = 1/2 (Why?)

To extend this function to the Cantor set, we say
(x) =

0
sup{(t)|t O [0, x)}

x0
x C \ {0}

This says: to nd out what value takes on a point x in the Cantor Set, look at the largest value
it takes on O before my point.
9

The function we have created is somewhat of a monstrosity, and it will take a little work to prove
that it actually behaves rather nicely. It is known as the Cantor function, the Cantor-Lebesgue
function, or the Devils Staircase, with the last name referring to its pathological graph.

The Strange and Wonderful Properties of the Cantor-Lebesgue Function

(1) is increasing. Prove it.
(2) is constant almost everywhere. Prove it.
(3) is continuous! This is a little harder to prove, but take a shot. (Its also incredibly counterintuitive, which happens a lot when playing with the Cantor Set)
(4) Functions whose derivative is zero almost everywhere are known as singular functions. Show
that is singular.
(5) Show that maps C onto almost all of [0, 1], and O onto the dyadic rationals in [0, 1].
(6) The length of the graph of on [0, 1] is 2. Prove it. Generalize your technique to all singular
functions.

Exercises
1. Use the Cantor-Lebesgue function to construct a continuous, strictly increasing function
that maps C onto a set of positive measure.
2. Show that there is a continuous, strictly increasing function that on [0, 1] that maps a set of
positive measure onto a set of Lebesgue measure zero.
3. Let f be a Lipschitz function on [a, b]. Show that f maps a set of Lebesgue measure zero onto
a set of Lebesgue measure zero.
4. Show that the Cantor-Lebesgue function is not Lipschitz. (It isnt even Absolutely Continuous, if youre interested in looking that up on Wikipedia. How is that related to its being
singular?)
10

Measure Theory and Lebesgue Integration: Lesson III

Giuseppe Vitali (1875-1932)

Lesson 3: Lebesgue Outer Measure. Measurable sets, Non-Measurable sets, and the
Axiom of Choice.

Lebesgue Outer Measure

An outer measure or exterior measure is a function
: 2X [0, ]
This function takes subsets of my set X and assigns them a size or measure. The range of the
function is [0, ], because wed like to think of a set as having positive size. Mathematicians, however,
in their unabashed eagerness to do damage to human intuition, have invented the notion of signed
measures, which can take negative values. Well try to avoid these latter measures for now.
Furthermore, an outer measure has the following three properties.
(1) () = 0
(2) If A B, then (A) (B). This is called monotonicity.
(3) (Countable Subadditivity) Let Aj be a countable collection of sets that may overlap. Then

(Aj )

Aj

j=1

j=1

Id like to imagine that if we had developed measure theory independently, wed also have demanded
these three properties, if only because they conform so nicely to our natural geometric intuition. How
big is nothing? Not very big at all, Id imagine. As King Lear so eloquently put it, nothing can come
of nothing, which accounts for property (1).
With regards to the second property, if I can t one box inside another, I would hope that the
outer box would be bigger than the inner one, at least in the context of classical mechanics. Lastly,
and with complete respect to Aristotle, the whole should not be any larger than the sum of its parts,
especially if those parts can overlap.

11

The question, therefore, is not why mathematicians prescribed these three properties, but why they
didnt propose a fourth. Namely,
(4) (Countable Additivity) If Ej is a countable collection of pairwise disjoint sets, then

(Ej )

Ej =
j=1

j=1

The answer to this question is rather surprising, but to approach it we must rst familiarize ourselves
with the Axiom of Choice.
The Axiom of Choice
Zermelo-Fraenkel set theory, often abbreviated ZF, is a collection of eight axioms upon which
much of the rigorous foundation of mathematics is built. Roughly speaking, these axioms tell you
what type of sets you are allowed to construct, and were designed by Ernest Zermelo and Abraham Fraenkel at the beginning of the twentieth century, in response to some worrying paradoxes that
arose when working haphazardly with sets. The most notable example of this is Russells paradox,
which I recommend you look up on Wikipedia.
In 1904, Ernest Zermelo proposed a ninth axiom, the Axiom of Choice (or AC). Although this
axiom was initially controversial, it has been (begrudgingly) accepted, if only because it is crucial to
the proof of a number of number of important theorems, such as Tychono s theorem (for those of
you who have taken topology), and equivalent to an ever-expanding list of statements without which
math would be a rather sorry subject indeed. Coupled with this axiom of choice, ZF is called ZFC.
So what exactly does AC state? Let Si be an arbitrarily large family of non-empty sets. AC guarantees the existence of a collection of points {xi }, with xi Si . Which is to say, that AC chooses
an element from each set, and then collects all these points together. Note that the this is a nonconstructive process, as we cannot choose what points to pick, nor can we tell what our collection will
look like. To clarify this notion, we turn to a quote by Bertrand Russell:
The Axiom of Choice is necessary to select a set from an innite number of socks, but not an
innite number of shoes.
The observation here is that AC is not necessary when I have a well-dened algorithm for selecting
my points. So, if I specify, let L be the set of all left shoes, then I would have selected a point from
each set without the axiom of choice. However, since left and right socks are presumably identical, I
need AC to make a choice for me.
Although this axiom seems like good common sense, it is equivalent to a number of axioms, such as
Zorns Lemma and The Well-Ordering Principle, that are anything but. As the mathematician
Jerry Bona jokingly put it,
The Axiom of Choice is obviously true, the well-ordering principle obviously false, and who can
tell about Zorns lemma?

12

A Word on Equivalence Relationships

An equivalence relationship is a relation on a set X that provides a generalized notion of equality. When dening an equivalence relationship on a set, I get to specify the requirement for elements
to be deemed equivalent. So, for example, I could dene an equivalence relationship on the integers
Z as follows: n m (read: n is equivalent to m) if they are both odd or both even. Thus 1 3 and
2 4, but 3 is not equivalent to 4. Furthermore, I require an equivalence relationship to have the
following three properties:
1. (Reexive) For all x X, x x
2. (Symmetric) If x y, then y x
3. (Transitive) If x y, and y z, then x z
As the reader may recall from High School Geometry, triangle congruency is an equivalence
relationship. The relation, x is strictly greater than y, however, is not an equivalence relationship,
as it is not reexive or symmetric.
The equivalence relationship I dened on Z gave me two disjoint equivalence classes: odd and
even integers. With triangles, the number of equivalence classes is innite.
Vitalis Theorem and Non-Measurable Sets
We are now ready to solve the question I proposed earlier: why did we not include countable
additivity in the denition of an outer measure? The solution lies in showing that countable additivity
is not compatible with two other properties that are crucial to Lebesgue outer measure (as dened last
time):
Vitalis Theorem: There does not exist a function : 2R [0, ] such that
(1) (R) = 0,

([0, 1]) =

(2) (Translation invariance: shifting a set by some constant does not aect the measure)
(E + c) = (E)
(3) is countably additive.
Proof: Suppose that such a function exists, and dene an equivalence relationship on [0, 1] as
follows:
xy

if x y Q

This says that x is equivalent to y precisely when the dierence between them is rational.
Clearly, this equivalence relation partitions [0, 1] into an innite number of equivalence classes
(show that they are disjoint). Whats more, since every equivalence class has only countably many
members, and the cardinality of [0, 1] is uncountable, there must be an uncountable number of such
equivalence classes. Using the axiom of choice, I produce a set E that contains one element from each
equivalence class.

13

Note that E can be thought of as generating [0, 1]. Take any element in x E, and consider
{x + q : q Q and x + q [0, 1]}
This gives the entire equivalence class of x. Repeating this procedure with every element of E, I
can reclaim all of my equivalence classes, and hence all of [0, 1]. That being said, let Q = Q [0, 1],
and write
[0, 1]

(E + q)

So, what is the measure of E?

Case 1: (E) = 0. By translation invariance, (E + c) = 0.
([0, 1])
q

(E + q) =

0=0

By translation invariance, ([1, 2]) = 0. Since

R=

[n, n + 1]

countable subadditivity would imply

(R)
n

([n, n + 1]) =
n

0=0

a contradiction!
Case 2: (E) = > 0. Observe that

(E + q) [0, 2]

By translation invariance, (E + c) = > 0.

([0, 2])
q

(E + q) =

If ([0, 1]) was some some nite quantity, then ([0, 2]) would be twice that nite quantity. Since
([0, 2]) = , we must also have ([0, 1]) = , which is a contradiction!

In summary, we have demonstrated, using the axiom of choice, the existence of Non-Measurable
sets: sets that cannot be measured in the presence of countable additivity without leading to absurd
contradictions.
In 1970, Robert Solovay proved that the axiom of choice is essential in constructing non-measurable
sets (i.e. they dont exist in ZF), and thus those of you who do not approve of AC need not worry
about the measurability of the sets you are playing with. You also need not worry about getting very
far in math.
Although Solovays result may seem too abstract to be useful, it provides an excellent heuristic
when working with Lebesgue measure. If, in the course of proofs or theorems, you come across a
family of sets that are dened without AC, you should probably try proving that they are measurable,
rather than looking for a counterexample. You wont nd one.

14

Measurable Sets
Inequalities may be the bread and butter of analysis, but it would be an exercise in futility without
equalities. To that end, we need to nd a subcollection of 2R where countable additivity works. We
shall denote this collection M, and call it the Measurable Sets.
One says that is a set E is measurable, or E M, if, for any set A 2R ,
|A| = |A E| + |A E C |
This species that the measurable sets are precisely those that slice other sets neatly. Take a
while to think about this condition, as it will be the central focus in our next lesson.

Exercises:
1) Show that Lebesgue outer measure (as we dened it in Lesson II) is an honest-to-goodness outer
measure, possessing the three properties outlined above.
2) Show that every set of Lebesgue outer measure zero is, in fact, measurable. This justies our
use of the term Lebesgue measure zero.
3) Show that every open set is measurable.

15

Measure Theory and Lebesgue Integration: Lesson IV

Whatever the progress of human knowledge, there will always be room

for ignorance, hence for chance and probability.

Emile Borel (1871-1956)

Lesson 4: Measurable Sets, Borel Sets and Measure Spaces
In the previous lesson, we saw that Lebesgue outer measure | | on 2R possesses the three properties
necessary for being an outer measure, but lacked the countable additivity we require of a full-edged
measure. Not wishing to abandon countable additivity or the axiom of choice, we decided to exchange
2R with another collection of sets: M. As we dened it, E M if
|A| = |A E| + |A E C |

for any set A 2R . This species that the measurable sets are precisely those that slice other
sets neatly.
At rst, it may seem that this condition is somewhat arbitrary, and unrelated to countable additivity. It will take some work to show that M is precisely the collection of sets we want to work
with.
Algebras and -Algebras of Subsets
If we are to develop a robust and useful theory of integration, we need our underlying measuretheoretic machinery to be as comprehensive as possible. It wont do, for example, for our integral
to work on [0, 1] but collapse on [2, 17]. In other words, our collection M should be closed under
operations such as unions, complements, etc. To make precise this notion, we introduce the idea of an
algebra of subsets.
An algebra of subsets of X is a subcollection A of 2X such that:
(1) X A.
(2) If E A, then E c A.
n

(3) If E1 , , En A, then

Ej A.
j=1

16

Combining the second property with the rst tells us that A, and the second and third properties
together prove that A is closed under nite intersections, as, by De-Morgans Law,

c
n

c
Ej =

j=1

Ej
j=1

Lastly, if our collection A is closed under countable (and not just nite) unions, we say that A
forms a -algebra of subsets of X.
Proving that M is a -algebra of subsets of

Its rather easy to prove that R M, and that M is closed under taking complements, so Ill leave
that to the reader as an exercise.
Theorem: M is closed under nite unions
Proof: By induction, it will suce to show that the union of two measurable sets is measurable.
Let E1 , E2 M, and let A 2R . By countable subadditivity,
|A| |A (E1 E2 )| + |A (E1 E2 )c |
Applying countable subadditivity again,
c
c
c
c
|A (E1 E2 )| + |A (E1 E2 )c | |A E1 E2 | + |A E1 E2 | + |A E1 E2 | + |A E1 E2 |

Conceptually, this sum contains four terms because a point in A can be covered by E1 , E2 , both,
or neither. Now, by the measurability of E2 , we know that
c
|A E1 E2 | + |A E1 E2 | = |A E1 |
c
c
c
c
|A E1 E2 | + |A E1 E2 | = |A E1 |

Thus, by the measurability of E1 ,

c
c
c
c
c
|A E1 E2 | + |A E1 E2 | + |A E1 E2 | + |A E1 E2 | = |A E1 | + |A E1 | = |A|

This demonstrates that

|A| |A (E1 E2 )| + |A (E1 E2 )c | |A|
so that equality holds, and we may conclude that M is an algebra of subsets.
Theorem: Lebesgue outer measure, restricted to M, is nitely additive
Proof: Let E1 , , En M be pairwise disjoint, and let
n

A=

Ej
j=1

Then
n
c
c
|A| = |A E1 | + |A E1 | = |A E1 | + |A E2 | + |A E2 | = =

|Ej |
j=1

17

Theorem: M is closed under countable unions

Proof: Let {En } be a countable sequence of measurable sets, and let A 2R . Assume that
n=1
{En } is pairwise disjoint, otherwise we can replace it with
n=1

n1

En = En \

Ej
j=1

which are pairwise disjoint, noting that E = E.

By countable subadditivity,
c

En + A

|A| A

En
n=1

n=1

If |A| = , the reverse inequality is trivially true, and equality holds. Otherwise, we can bound
the two terms in right hand side of the above equation.

(A En )

En =
c

En

|(A En )|
n=1

n=1

n=1

N N

En

n=1

n=1

Combining these inequalities, we nd that

En + A

En

n=1

|(A En )| + A

lim

n=1

En
n=1

n=1

Observe that the interior of the limit contains only nite intersections and sums. Since we proved
nite additivity,
N

|(A En )| + A
n=1

En

= |A|

n=1

Substituting,

En + A
n=1

En
n=1

This reverse inequality completes the proof.

18

lim |A| = |A|

N

Theorem: Lebesgue outer measure, restricted to M, is countably additive

Proof: Let {En } be a countable sequence of pairwise disjoint measurable sets. Since M is a
n=1
-algebra, the union of these sets is measurable. By countable subadditivity,

En
n=1

|En |
n=1

By monotonicity of measure and nite additivity,

En
n=1

n=1

|En |

En =
n=1

Letting n , we conclude that

|En |

En =
n=1

n=1

Although the proof above did not directly require that M be a -algebra, it would be quite useless
without that fact. This is because we constructed M to avoid the possibility of non-measurable sets.
If the union of the collection of measurable sets were not measurable, we would avoid assigning it a
measure, much as we avoid assigning the Vitali set a measure. It is only when we are assured that our
set can be measured that the precise value of its measure is of consequence.
By this point, we should all be thoroughly convinced that M is the ideal collection of subsets to
work with. We will now show that M also contains most of the sets we know of.
One of the exercises from Lesson 4 was to show that the open sets are measurable. A consequence
of this is that M contains all Borel sets.
Borel Sets
To create the Borel sets B, we start with all open sets, and take all possible sequences of complements (giving us all closed sets), countable unions and countable intersections.
We already know that the arbitrary union of open sets is open, but the Borel sets also contain the
countable intersection of open sets, known as G sets. The letter G is taken from the German word
Gebiet meaning area, and the stands for the word Durchschnitt, meaning intersection.
Similarly, I can take the countable union of closed sets to get F . The Letter F stands for the
French word ferm, meaning closed, and the is short for somme, meaning union.
e
But why stop there? Taking the countable union of G sets, we get G sets, etc. The list is
literally endless, and we could go on and on dening F sets. However, we can also make the quick
assertion that the Borel sets are the smallest -algebra containing the open sets (an idea that should
be familiar to those who have taken topology). By extension, M is also a -algebra of sets containing
the open sets, and hence
BM
In fact, B is a proper subset of M, and well prove this next time.
Measure Spaces
19

A measure space (X, A, ) is a triple consisting of a set X, a -algebra of subsets A, and a

countably additive measure . By the prior theorems, we have established that
(R, M, | |)
is a measure space.
Exercises:
1) Prove that the following are equivalent:
a) E M
b) > 0, there exists an open set U such that E U and
|U \ E| <
c) There exists a G set S such that E S and
|S \ E| = 0
2) Prove that the homeomorphic image of a Borel set is Borel.
3) Show that if E has positive outer measure, then there is a bounded subset of E that has positive
outer measure. (Taken from Roydens Real Analysis)
4) Show that if E has nite measure, and > 0, then E is the disjoint union of a nite number of
measurable sets, each of which has measure at most . (Taken from Roydens Real Analysis)

20

Measure Theory and Lebesgue Integration: Lesson V

In my opinion, a mathematician, in so far as he is a mathematician,

need not preoccupy himself with philosophy an opinion, moreover,
which has been expressed by many philosophers..
Henri Lebesgue (1875 - 1941)
Lesson 5: Measurable functions, Simple functions, and the four-step construction of the
Lebesgue integral.

Measurable Functions
In this lesson, we will use the measure space (R, M, | |) to nally construct the Lebesgue Integral. There is, however, one more thing to attend to. We need to make sure that the functions we
will integrate cannot allow non-measurable sets to enter the equation.
Before we attend to that, let us dene the characteristic (or indicator) function E , also written

1E . This function is 1 on E and 0 elsewhere, and hence indicates the set E. Throughout the rest
of this course, we will use make judicious use of characteristic functions in proofs and denitions, as
they allow us great exibility in manipulating functions.
Denition: A function f , dened on a measurable set E, is called measurable if any of the
following four conditions hold (show that they are equivalent):
1) For each c R, the set {x E | f (x) > c} is measurable.
2) For each c R, the set {x E | f (x) c} is measurable.
3) For each c R, the set {x E | f (x) < c} is measurable.
4) For each c R, the set {x E | f (x) c} is measurable.
Each of these properties imply that f 1 (c) M for any c R.
Proposition 1: A function f is measurable on E if and only if f 1 (O) is measurable for
any open set O.
21

Proof: If f 1 (O) is measurable for any open set O, then condition (1) of the denition is satised,
as (c, ) is an open set for any c R.
Conversely, suppose f is measurable, and let O be an open set. By a well-known result, O is the
union of a countable collection of open intervals {Ik } = (ak , bk ). Each of these intervals (ak , bk ) is
itself the intersection of two intervals Ak and Bk , where
Ak = (ak , )

Bk = (, bk )
Thus we can write

f 1 (O) = f 1

k=1
1

f 1 (Ak ) f 1 (Bk )

Ak B k =
k=1
1

Since f is measurable, f (Ak ) and f (Bk ) are measurable, and because the measurable sets
form a -algebra, we may conclude that f 1 (O) is measurable.
This proposition immediately implies that continuous functions are measurable, as we would have
hoped. Furthermore,
Proposition 2: A monotonic function dened on an interval is measurable.
Proposition 3: If f is measurable on E, and f = g almost everywhere, then g is
measurable on E.
Proof: The proof of these propositions will be left as exercises to the reader.
Simple Functions and Simple Approximations
In the rst lesson, we dened a step function to be one that assumes a nite number on values
on a collection of intervals. Generalizing that idea, we dene a simple function to be one that
assumes a nite number of values on a collection of measurable sets. Such simple functions are always
measurable, and we will use them to construct the Lebesgue integral, much like we used step functions
to build the Riemann integral.
To see the power of working with simple functions, consider the Dirichlet function. Because the
Dirichlet function was dened on a complicated set like the irrationals, one could not approximate it
with step functions, and hence it was not Riemann integrable. However, because the Dirichlet function
is a simple function (why?), it ts naturally into the framework of the Lebesgue integral.
To strengthen the connection between measurable functions and simple functions, we will prove a
key result known as the Simple Approximation Theorem.
Simple Approximation Lemma: Let f be a bounded, measurable, real-valued function dened on
a measurable set E. For any > 0, there are simple functions and dened on E such that
f

0 <

Proof: Since f is bounded, its image is contained in some bounded, open interval (c, d). Let
P = {c = x0 < x1 < < xn = d}

22

be a partition of this open interval such that xk xk1 < . Dene Ik = [xk1 , xk ), and let
Ek = f 1 (Ik ). Since f is a measurable function, Ek is a measurable set. Dene the simple functions
and to be
n

yk1 Ek

k=1

yk Ek
k=1

By construction f and 0 < , and so the proof is complete.

Roughly speaking, we took the bounded range of our function f and chopped it into a collection of
intervals less than in length. Since f was measurable, we found the measurable sets on which these
values were attained, and dened and to assume the smallest and largest values on that set,
respectively. As a result, these simple functions are never more than away from f .

Simple Approximation Theorem: An extended real-valued function f on a measurable set E is

measurable if and only if there exists a sequence of simple functions n converging pointwise to f on
E with the property that
|n | |f |
Proof: Suppose that there exists a sequence of simple functions n converging to f on E. We wish
to show that f is measurable, so that for any c R,
{x E : f (x) < c} M
Now, if f (x) < c, and limn fn (x) = f (x), then there must exist natural numbers k and n such
that
1
j k
n
This means that at some point in my sequence of functions, they need to send x to a value less
1
than c n . Fixing a value of n, the set of all points that are eventually mapped to values less than
1
c n is
fj (x) < c

{x E | fj (x) < c
j=k

1
}
n

If we take into account all possible values n, we obtain all the points that are eventually mapped
to a value less than c. Hence

{x E : f (x) < c} =

{x E | fj (x) < c
k,n=1 j=k

1
}
n

Since the fj are measurable, and the measurable sets form a -algebra, the sets above are measurable, and so f is measurable.
Conversely, suppose that f is a measurable function. Since f may not be bounded, we cannot
directly appeal to the Simple Approximation Lemma. Instead, we will rst pretend that f is
bounded, by restricting it a subset En of E, such that
En = {x E | f (x) n}

23

Now, use the Simple Approximation Lemma to conjure up sequences of simple functions n
and n dened on En such that
0 n f n and 0 n n <

1
n

Extend n to all of E by letting them equal n when f (x) > n.

The idea is as follows: since we cannot approximate unbounded functions with simple functions, we
articially bound f with a ceiling of height n. As n increases, the ceiling gets higher, and the simple
functions n get closer to f .
If f (x) = , it will always be above our ceiling, so we will set n = n for all n
n (x) , and we have pointwise convergence.

N. As n ,

If f (x) is nite, it is less than some natural number N . Then

0 f (x) n (x) <

1
n

n N

and hence n (x) f (x), and we have pointwise convergence, completing the proof.
Having demonstrated that the set of measurable functions can be nicely approximated by simple
functions, we are ready to construct the rst step of the Lebesgue integral, ` la the construction of
a
the Riemann integral.
Step One: Lebesgue Integral of Simple Functions
Let be a simple function that assumes a nite set of values {a1 , , an } on a collection of
measurable sets {E1 , . . . , En }. The Lebesgue integral of is
n

ak m(Ek )

=
k=1

where m(Ek ) = |Ek |, the Lebesgue measure of Ek .

So, what is the integral of the Dirichlet function D? Well, the Dirichlet function assumes the value
0 on the irrationals, and 1 on the rationals. Since the rationals are countable, they have measure zero,
whereas the irrationals in [0, 1] have measure 1, as by measurability of the rationals,
1 = m([0, 1]) = m([0, 1] Q) + m([0, 1] Qc ) = 0 + m([0, 1] Qc )
Thus
1

D = (0)(1) + (1)(0) = 0
0

What would the integral be if we let D(x) = 1 on the irrationals in [0, 1], and D(x) = 0 on the
rationals?

24

Step Two: Lebesgue Integral of Bounded, Measurable Functions dened on a Set E of

Finite Measure
Dene the lower and upper Lebesgue integrals of f , respectively
L = sup

| simple and f on E
E

U = inf

| simple and f on E
E

If L = U, we say that f is Lebesgue integrable, and

L=

f =U
E

Look familiar?
Moving right along, we want to dene the integral of unbounded functions on sets of possibly innite measure. To do this, we will rst assume the function is nonnegative, and approximate it from
below by larger and larger bounded functions on sets of increasing measure.

Step Three: Lebesgue Integral of Measurable, Nonnegative Functions

A function has nite support if the measure of the set on which it is nonzero is nite.
Let f be a nonnegative, measurable function. Dene its integral on E to be
h | h bounded, measurable, of nite support, and h f on E

f = sup
E

If

f < , we say that f is Lebesgue integrable on E, and we write f L1 (E).

Step Four: General Lebesgue Integral

Let f be a measurable function dened on a measurable set E. Let

f + (x) = max{f (x), 0}
f (x) = max{f (x), 0}
As one can see, f + = f (x) when f (x) > 0, and is equal to zero otherwise. Similarly, f (x) = f (x)
when f (x) < 0, and is equal to zero otherwise. This decomposes f into two nonnegative, measurable
functions, such that
f = f+ f

|f | = f + + f

If |f | (a nonnegative, measurable function) is integrable, we say that f is integrable, and we write

f L1 (E). The integral of f is
f

f+

f=
E

The reason for rst requiring that |f | be integrable will be made clear below.

25

One Minor Complication

Since the Riemann integral could only integrate over nite intervals, the positive and negative
values of the function would cancel each other out. Consider the following periodic function f ,

With the Riemann or Lebesgue Integral,

n

f = lim 0 = 0

lim

Suppose, however, that we wish to integrate directly over

f+ =

R using the Lebesgue integral.

f =

As a result,

f =

which is not well-dened, and so f L1 (R)! This is why we rst require that |f | be integrable,
/
which is equivalent to requiring that f + , f L1 (R). In other words, the positive and negative values
of the Lebesgue integral are calculated rst and added together later. In order to allow the positive
and negative values to cancel each other out, we would have to take the limit of a sequence of integrals,
much like dening an improper Riemann integral.
Note: A function is said to be locally integrable, written f L1 (E), if every point has an open
loc
neighborhood on which f is integrable. Our periodic function above, although not integrable over R,
is locally integrable.
Exercises:
(1) Prove Proposition 2.
(2) Prove Proposition 3.
(3) Let f g, and suppose that f, g L1 (E). Show that
f + g =
E

f +
E

f
E

g
E

(a) for simple functions.

(b) for bounded, measurable functions of nite support.
(c) for nonnegative, measurable functions.
(d) for general Lebesgue-integrable functions.

26

g
E

(4) Let f be integrable over E, and let A and B are disjoint measurable subsets of E. Use the
result of problem (3), together with the function, to show that
f=
AB

f+
A

f
B

(5) Show that if f, g L1 (E), and f = g almost everywhere, then

f=
E

g
E

27

Measure Theory and Lebesgue Integration: Lesson VI

Besides for being good-looking and French, Pierre Fatou developed key results
in Integration Theory and Complex Analytic Systems. In fact, Fatou was the rst
mathematician to dene the Mandelbrot set!
Pierre Fatou (1878 - 1929)
Lesson 6: Littlewoods Three Principles. The Bounded and Uniform Convergence
Theorems. Fatous Lemma and the Dominated and Monotone Convergence Theorems.

The theorems we are about to prove are a pretty big deal, and will make the Lebesgue integral a
god-damned pleasure to work with. Trust me, once youve used the Lebesgue integral, theres no going
back.

28

Littlewoods Three Principles

In his 1944 text, Lectures on the Theory of Functions, J.E. Littlewood outlined three theorems that
give great insight into the essentials of measure theory. These three principles give one an intuitive
way of thinking about measurable sets and functions, something that will prove invaluable as we make
the transition to advanced analysis. Due to the subtle and nontrivial nature of these proofs, I will
refrain from demonstrating them here, and will rather present only the results.
Principle One: Every measurable set of nite outer measure is almost the nite, disjoint union
of open intervals:
Let E M such that m (E) < . For each
n
intervals {Ik }n , with O = k=1 Ik , such that
k=1

> 0, there exists a nite, disjoint collection of open

m (E O) = m (E O) + m (O E) <
Note: The symbol above denotes the symmetric dierence of two sets. A B consists of those
points that are either in A or B, but not both.

Principle Two (Egoro s Theorem): Every pointwise-convergent sequence of measurable functions is nearly uniformly convergent:
Let E have nite measure, and let fn be a sequence of measurable functions converging to a
real-valued function f on E. For every > 0, there exists a closed set F contained in E such that
m(E F ) < , and
fn f uniformly on F
Principle Three (Lusins Theorem): Every measurable function is nearly continuous:
Let f be a real-valued measurable function on E. For any > 0, there exists a continuous function
g on R and a closed set F E such that m(E F ) < and f = g on F .

29

The following two convergence theorems are concerned with bounded functions of nite support.
Uniform Convergence Theorem
Let fn be a sequence of bounded, measurable functions on a set E of nite measure. If fn f
uniformly on E, then
lim

fn =

We refer to this as the passage of the limit under the integral sign.
Proof: Let
that

> 0. Since our sequence converges uniformly to f , there must exist an N

|fn f | <

N such

n N

m(E)

Then, n N ,
(fn f )
E

Letting

|fn f | <
E

m(E)

m(E)
=
m(E)

0, the proof is complete.

Bounded Convergence Theorem

Let fn be a sequence of measurable functions on a set E of nite measure. Furthermore, suppose
that our sequence is uniformly bounded by some constant M , and that fn f pointwise on E. Then
lim

fn =
E

f
E

Proof: They thrust of this proof is to appeal to Egoro s Theorem to nd a closed set F E
such that m(E F ) < and fn converges uniformly on F . On F , we use the Uniform convergence
theorem to show that the dierence between the integrals can be made as small as we please. On the
remaining set E F , which has measure less than , we use the fact that the fn (and f ) are uniformly
bounded to shrink the integral. Put rigorously,

(fn f )
E

|fn f |
E

|fn f | +
F

|fn f |
EF

|fn f | + 2M

<
F

Letting n and

0,
|fn f | + 2M 0
F

completing the proof.

30

Fatous Lemma
Let E be a measurable set, and let fn be a sequence of nonnegative, measurable functions. Then
lim inf fn dx lim inf

fn dx

If the fn converge to some function f , we can replace lim inf f with f .

Before we prove this theorem, lets discuss why it makes sense.

When you leave the lim inf on the outside of the integral, the function on the inside doesnt
change. Thus the lim inf will look at the integrals of all the functions in my sequence, and pick
the smallest one. In our case, the sequence alternates between two functions, and their integrals are
indicated in diagrams (A) and (B). Clearly, diagram (A) contains the lim sup of the integrals, and
diagram (B) contains the lim inf.
When you place the lim inf on the inside of the integral, the function you are integrating may
not resemble any of the functions in your sequence. Instead, this new function constantly seeks out
the smallest subsequential limit point, and assumes that value. Conceptually, this idea is captured
in diagram (C), where we integrate below both of the functions. Its not hard to imagine that this
integral will be smaller, showing our lemma to be intuitively true.
Proof: Since the integral of a nonnegative function is dened to be the supremum of the integrals
of bounded functions of nite support below it, it will suce to demonstrate the inequality
h lim inf

fn dx
E

for all h lim inf fn . Say that h is bounded by M , and dene the sequence
hn = min (h, fn )
Since h lim inf fn , this sequence will converge to h as n goes to innity. Furthermore, because
h is a function of nite support, the set E0 = {x E | f (x) = 0} has nite measure. Appealing to the
Bounded convergence Theorem
lim

hn = lim

hn =
E0

h=
E0

h
E

By construction, we have hn fn , and so

hn lim inf

h = lim
E

fn dx
E

and the inequality is proven.

31

We shall now use Fatous Lemma to prove two convergence theorems of great utility.
Monotone Convergence Theorem (MCT)
Let f n be an increasing sequence of nonnegative measurable functions on E. If fn f almost
everywhere on E, then
lim

fn =

f
E

Proof: Since fn f ,
fn

lim sup

By Fatous Lemma,
f lim inf
E

fn
E

Combining these inequalities,

fn lim sup

lim inf

fn

lim inf

f lim inf
E

fn =
E

f = lim sup
E

fn
E

fn
E

fn =

lim

fn lim sup
E

f
E

An Application of the MCT

If a function f is Lebesgue integrable, Chebyshevs inequality bounds the size of the set on
which it gets very large. However, it does not bound the value of the integral on the sets where f gets
large. It is possible that although the measure of the set is small, the value of the function is great
enough that the contribution of the integral on this set can remain substantial. To show that this is
not the case, use Chebyshevs inequality to see that
lim {xE|f (x)>n} = 0

Since f {xE|f (x)>n} f , we apply the MCT to conclude that

lim

And thus for any

f {xE|f (x)>n} =
E

0=0
E

> 0, there exists a natural number N such that

f {xE|f (x)>N } <
E

32

Dominated Convergence Theorem (DCT)

Let fn be a sequence of measurable functions on E. Suppose that there exists a function g that is
integrable on E so that |fn | g. Such a function is said to dominate our sequence. If fn f almost
everywhere on E, then f is integrable on E, and
lim

fn =

Proof: g fn is positive, so by Fatous Lemma,

g fn lim inf
E

(g fn ) = lim inf

fn

g lim sup

fn
E

Note that we switched from the lim inf to the lim sup, because the smallest value of the integral
occurs precisely when the fn are largest.
Subtracting

g from both sides, and dividing by 1, we nd that

f lim sup

fn

Similarly,
g + fn lim inf
E

(g + fn ) = lim inf

g+

fn

g + lim inf
E

so that
f lim inf
E

fn
E

Combining these inequalities, we see that

fn lim sup

lim inf
E

fn
E

lim inf

f lim inf
E

fn =
E

f = lim sup
E

lim

fn lim sup
E

fn =
E

f
E

33

fn
E

fn
E

fn
E

Heres a rough outline of of the connection between the convergence theorems weve proven in this
lesson.

Exercises:
1) Prove the Generalized Dominated Convergence Theorem. The statement is almost identical to that of the DCT, expect we replace g with a sequence of nonnegative measurable functions
gn such that |fn | gn . We also specify that the sequence convergence pointwise to some function g
almost everywhere on E, and that
lim

gn =

2) Let f be a nonnegative measurable function on

R. Show that

lim

f=
n

(Taken from Roydens Real Analysis)

3) Let fn be a sequence of integrable functions on E such that fn f almost everywhere on E,
and f is integrable on E. Show that
|f fn | 0
E

if and only if
|fn | =

lim

|f |
E

Hint: use the generalized DCT. (Taken from Roydens Real Analysis)

34

Challenge Exercise: A function has compact support if the space on which it is nonzero is compact.
We denote the space of continuous functions of compact support C0 (R). Prove that C0 (R) is dense in
L1 in the L1 norm, i.e.
d(f, g) =

|f g|

Hint: use Lusins Theorem, the Tietze Extension Theorem and a convergence theorem of
your choice.

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Measure Theory and Lebesgue Integration: Lesson VII

Lesson 7: The Riesz-Fischer Theorem: L1 is complete.

When we began this course, we highlighted three concerns with the Riemann integral. The rst
was the large class of non-integrable functions, the second was the inability to integrate over innite
sets, and the third was the fact that R was not complete. We have shown that the Lebesgue integral
can integrate over almost any function we can imagine, and that it can be dened on sets of innite
measure. In the last lesson, we demonstrated a number of useful convergence theorems that make the
Lebesgue integral not only more versatile than its Riemann counterpart, but often easier to use. To
complete (no pun intended) our program of a nding a better integral, we will now show that L1 is
complete, and hence a Banach space.
L1 Convergence vs. Pointwise Convergence
Before we directly attempt the proof of the Riesz-Fischer theorem, we must take note of a potential
complication. For a sequence of functions to converge in the L1 norm, it is not necessary that they
converge pointwise almost-everywhere. In fact, they may not converge pointwise anywhere!
An example of this can be found in the following sequence of functions:
fn,k = [ k1 ,
n
2

k
2n

for n N, k {1, , 2n }

Here is a depiction of the rst six terms in this sequence:

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Each time we increment n, the length of the interval shrinks, and then as k ranges from 1 to 2n ,
that interval marches along [0, 1]. Clearly, the size of the integral gets smaller and smaller, so this
sequence converges to 0 in the L1 norm. Nevertheless, for any given point in [0, 1], our sequence of
intervals will continue to hit that point, no matter how large n and k become. Thus this sequence
does not converge pointwise to 0 anywhere!
Note, however, that if we x k = 1, we get a subsequence that converges pointwise to 0 almost
everywhere (except at the origin). This will be our line of attack: we will take our Cauchy sequence,
extract an almost-everywhere-pointwise-convergent subsequence, and then apply the dominated convergence theorem to that.
Theorem (Riesz-Fischer) : Let fn be a cauchy sequence of fuctions in L1 (E). Then fn converges
to some function f L1 (E), and

lim

fn =

Proof: Since fn is a cauchy sequence, there exists some n( ) N such that n n( ),

|fn fn1 | <
E

Now, dene a subsequence nk = max (nk1 , n(1/2k )). We will show that this subsequence converges pointwise almost everywhere. Set

g(x) = |fn1 (x)| +

|fnk+1 fnk |
k=1

Taking the integral,

|fnk+1 fnk |

|fn1 (x)| +

g=
E

E k=1

By the monotone convegence theorem, we can pull the integral into the summation (why?)

|fn1 (x)| +

=
E

|fnk+1 fnk |
E

k=1

Using the bounds that we built into our subsequence,

|fn1 (x)| +
E

k=1

1
<
2k

hence the sum dening g converges almost everywhere on E. This allows us to construct the
following function, certain that its summation will also converge almost everywhere.

fnk+1 fnk

f (x) = fn1 (x) +

k=1

Since |f | |g|, we can assert that f L1 . To show that fnk f in L1 , observe that the k th
partial sum of f is

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fni+1 fni = fnk+1

fn1 (x) +
i=1

Since our summation converges almost everywhere, fnk f almost everywhere.

To see that
|fn f | = 0

lim

we will use the dominated convergence theorem. We already know that |f | g, and
k

|fnk | = fn1 (x) +

fni+1 fni

|fn1 (x)| +

fni+1 fni g(x)

i=1

i=1

which tells us that |fnk f | < 2g, and so the dominated convergence theorem applies.
Lastly, because our sequence is Cauchy, if any subsequence converges to a function, the entire
sequence converges to that function by the triangle inequality.
Exercises:
1) Let F be a subset of [0, 1], constructed in a similar manner to the Cantor Set. However, at the
k th step, instead of removing intervals of length 3k , remove intervals of length 3k , with 0 < < 1.
Show that
(a) F is a closed set.
(b) [0, 1] F is dense in [0, 1].
(c) m(F ) = 1
Such a set is called a Generalized Cantor Set.
2) Show that there is an open set of real numbers that has a boundary of positive measure. (Hint:
consider the complement of the generalized Cantor Set).
3) Use the generalized Cantor Set to construct a Cauchy sequence of Riemann integrable functions
that does not converge in R, using the L1 norm.
4) Use the Riesz-Fisher theorem and the fact that C0 (R) is dense in L1 (from the previous set of
exercises) to show that the completion of R in the L1 norm is L1 .
n
Thanks for reading!

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