Reals

REAL ANALYSIS
Lecture notes for MA 645/646

2014/2015
Rudi Weikard
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Version of August 19, 2014
Contents
Preface 1
Chapter 1. Abstract Measures 3
1.1. Measuring sets 3
1.2. Lebesgue measure on R
n
5
1.3. Regularity 7
1.4. Measurable functions 8
Chapter 2. Abstract Integration 11
2.1. Integration of positive functions 11
2.2. Integration of complex functions 12
2.3. Sets of measure zero 13
2.4. Comparison of the Riemann and the Lebesgue integral 14
Chapter 3. L
p
Spaces 17
3.1. Convex Functions and Inequalities 17
3.2. L
p
-spaces 18
3.3. Approximation by Continuous Functions 20
Chapter 4. Integration on product spaces 23
4.1. Measurability on cartesian products 23
4.2. Product measures and Fubinis theorem 23
4.3. Convolutions 25
Chapter 5. Complex Measures 27
5.1. Complex Measures and their total variation 27
5.2. The theorem of Lebesgue-Radon-Nikodym 28
Chapter 6. Dierentiation 33
6.1. Functions of bounded variation and absolute continuity 33
6.2. The fundamental theorem of calculus 35
6.3. Lebesgue-Stieltjes Measures 36
6.4. Nevanlinna functions 39
Chapter 7. The Spectral Theorem 43
7.1. Operators and resolvents 43
7.2. Projection-valued measures 45
7.3. The spectral theorem 45
List of Symbols 49
i
ii CONTENTS
Index 51
Preface
For millennia mankind has concerned itself with the concepts of quantity, shape, and
patterns - and with their interrelationships. Accordingly, mathematics comprises three
branches: analysis, geometry, and algebra. Intuition tells us how to quantify the area of
rectangles, but the question arises how to quantify the area of, say, circles. Archimedes
(ca. 287 BC 212 BC) credited Eudoxus (ca. 408 BC - 355 BC) with the central idea to
solve this problem by approximating the circle with a sequence of regular polygons. Thus
the idea of a limit, the central idea of analysis, was born. This method of exhaustion is
a precursor to Newtons and Leibnizs notion of an integral which was put on rm footing
by Bernhard Riemann (1826 1866). The modern point of view was mainly developed by
Henri Lebesgue (1875 1941) in 1901 and 1902 when it became necessary to adopt a more
general and exible approach to integration than the Riemann integral oers.
The subject of Real Analysis is concerned with measuring subsets of the real line or,
more generally, subsets of R
n
and with the investigation of integrals and derivatives of
functions of one (or more) real variables.
These notes are based on the following texts:
C. Bennewitz, Spectral Theory in Hilbert Space, 2008.
G. B. Folland, Real Analysis: Modern Techniques and Their Applications, Wiley,
1999.
R. A. Gordon, The Integrals of Lebesgue, Denjoy, Perron, and Henstock, Chapter
4, AMS 1994.
E. Henze Einf uhrung in die Matheorie, Bibliographisches Institut, Mannheim,
1985.
E. Hewitt and K. Stromberg, Real and Abstract Analysis, Springer, 1965.
A. N. Kolmogorov and S. V. Fomin, Introductory Real Analysis, Chapters 7-10,
Dover 1970.
W. Rudin, Real and Complex Analysis, Chapters 1-3 and 6-8, McGraw-Hill, 1987
W. Rudin, Principles of Mathematical Analysis, Chapter 11, McGraw-Hill, 1976
1
CHAPTER 1
Abstract Measures
1.1. Measuring sets
1.1.1 -algebras. A collection / of subsets of a set X is called a -algebra in X if /
has the following properties:
1. X /.
2. A / implies that A
c
, the complement of A in X, is in /, too.
3. A
n
/ for all n N implies that
nN
A
n
/.
/ = , X as well as the power set of X, denoted by 2
X
, are -algebras in X.
Exercise: Find all -algebras for X = 1, 2, 3.
1.1.2 Immediate properties and simple examples. Any -algebra contains the empty
set, nite unions, nite and countable intersections (by de Morgans law), and dierences
of sets.
If / 2
X
, then there exists a smallest -algebra /(/) in X containing /. /(/) is
called the -algebra generated by /.
If /, B 2
X
and / /(B), then /(/) /(B).
Exercise: Let T = n : n Z and ( = r : r R. Find the smallest -algebra in
Z containing T and the smallest -algebra in R containing (.
1.1.3 The Borel -algebra. If X is a topological space the -algebra generated by the
topology is called the Borel -algebra and is denoted by B(X). Its elements are called Borel
sets. All closed sets, all F
sets (countable unions of closed sets) and all G
sets (countable
intersections of open sets) are Borel sets.
The nite half-open intervals [a, b) generate the Borel -algebra in R.
1.1.4 Measurable spaces. If / is a -algebra in X then (X, /) (or X for short, if no
confusion can arise) is called a measurable space. The elements of / are called measurable
sets.
1.1.5 Extended real number systems. The set [, ] = R is a totally
ordered set after declaring < x < for any real number x. Similarly [0, ] is a totally
ordered set. Now every non-empty subset of R (or of [0, )) has both a supremum and an
inmum.
We also extend arithmetic to these number systems by setting x = +x =
whenever x R, + = , = , x() = ()x = whenever
x (0, ]0, x() = ()x = whenever x [, 0), and 0() = ()0 = 0.
However, we do not dene . Addition and multiplication are then commutative and
associative but care is needed when applying the distributive law.
Exercise: Investigate the cancelation laws which identify conditions under which ei-
ther of the statements a +b = c +b or a b = c b implies a = c.
3
4 1. ABSTRACT MEASURES
1.1.6 Denition of a measure. Let (X, /) be a measurable space.
A positive measure (on X or /) is a function : / [0, ] which satises
1. there is a set A such that (A) < ,
2. is countably additive or -additive, i.e.,
(
_
n=1
A
n
) =
n=1
(A
n
)
provided that the A
n
are mutually disjoint measurable sets.
A measure space is a measurable space with a positive measure dened on its -algebra.
A complex measure is a complex-valued, countably additive function dened on a -
algebra.
A positive measure is called complete if every subset of a set of measure zero is
measurable.
A positive measure on X is called -nite if there is countable collection of sets of nite
measure whose union is X.
A positive measure such that (X) = 1 is called a probability measure. The measurable
sets are then called events. For instance the measure space (X, /, ) where X = 1, ..., 6,
/ = 2
X
, (k) = 1/6 represents a die. (A) gives the probability that rolling the dye
yields one of the elements contained in A.
Exercise: Construct the measure modeling the rolling of two dice. That is identify X,
/, and .
1.1.7 Basic properties of measures. Let be a (positive or complex) measure on /.
Sets under consideration are supposed to be measurable.
(1) () = 0.
(2) is nitely additive.
(3) If is positive then it is monotone, i.e., if A B then (A) (B).
(4) If A
1
A
2
... and A =
n=1
A
n
then (A
n
) converges to (A).
(5) If A
1
A
2
...., A =
n=1
A
n
, and (A
1
) < then (A
n
) converges to (A).
1.1.8 Simple examples. 1. The Dirac measure (or unit mass measure): Fix x
0
X.
Then dene, for any subset E of X,
x0
(E) =
_
1 if x
0
E
0 if x
0
, E
.
2. The counting measure: if E has nitely many elements then (E) is their number and
otherwise innity. The case where X = N, / = 2
N
, and where is the counting measure
will later be of importance.
Exercise: Give an example of a measure space and a sequence A
n
of measurable sets
such that A
n
A
n+1
but lim
n
(A
n
) ,= (
n=1
A
n
).
1.1.9 Outer measure. Let X be a set. A function
: 2
X
[0, ] is called monotone
if
(A)
(B) whenever A B.
is called countably subadditive (or -subadditive) if

always
j=1
A
j
)
j=1
(A
j
).
A monotone, countably subadditive function
: 2
X
[0, ] for which
() = 0 is
called an outer measure on 2
X
.
1.2. LEBESGUE MEASURE ON R
n
5
1.1.10 Caratheodorys construction of a measure. Let X be a set and
an outer
measure on 2
X
. Dene
( = A : B X :
(B) =
(A B) +
(B A
c
)
and =
[
C
. Then ( is a -algebra and is a complete measure.
Sketch of proof. Only closedness of ( under countable unions is not immediate.
Suppose A
1
, A
2
(. Then
(A
2
B) =
(A
1
A
2
B) +
(A
c
1
A
2
B). This remains
true if A
2
is replaced by A
c
2
. Hence
(B) =
(A
2
B) +
(A
c
2
B)
=
(A
1
A
2
B) +
(A
c
1
A
2
B) +
(A
1
A
c
2
B) +
(A
c
1
A
c
2
B). (1)
Replacing now B by (A
1
A
2
) B we nd, in particular, that the rst three terms on the
right hand side of (1) add up to
((A
1
A
2
) B), i.e.,
((A
1
A
2
) B) =
(A
1
A
2
B) +
(A
c
1
A
2
B) +
(A
1
A
c
2
B). (2)
Equations (1) and (2) and induction show now that ( is closed under nite unions and nite
intersections. Also, if A
1
, ..., A
k
are pairwise disjoint sets in ( we get from (2) and induction
that
((A
1
... A
k
) B) =
k
j=1
(A
j
B). (3)
Now suppose A
k
( for each k N and A =
j=1
A
j
. Dene

A
1
= A
1
and

A
k
=
A
k
k1
j=1
A
j
. These are in (. They are pairwise disjoint and
k
j=1
A
j
=
k
j=1
A
j
. Therefore
we nd, using monotonicity and equation (3) that
(B)
k
j=1
(

A
j
B) +
(B A
c
)
for every k N. Taking a limit and using -subadditivity of
and the fact that
(B)
(A B) +
(B A
c
) always holds establishes that ( is closed under countable unions.
It remains to show that the restriction of
to ( is a complete positive measure.

1.2. Lebesgue measure on R
n
1.2.1 Half-open intervals. Let < a b < . We then dene the length of the
(nite half-open) interval [a, b) to be b a and denote it by [[a, b)[. Recall that the empty
set is such an interval, viz. = [a, a).
It was proved in (1.1.3) that the collection of these intervals generate the Borel -algebra
in R.
1.2.2 Outer measure. A collection E
j
: j N 2
R
is called a countable cover of a set
A R if A
j=1
E
j
. Dene
(A) = inf
j=1
[E
j
[ where the inmum is taken over all
countable covers of A by nite intervals of the form [a, b). Then
is an outer measure on
the power set of R.
Sketch of proof. Obviously,
is well-dened,
() = 0, and
is monotone. To
show countable subadditivity note that each A
j
is covered by a countable union of half-open
intervals E
j,k
and hence A is. One may assume that
(A
j
) < for all j N and the E
j,k
can be chosen so that
k=1
[E
j,k
[
(A
j
) is suciently small.
1.2.3
is an extension of length. We need to show that
([a, b)) = ba. It is obvious

that
([a, b)) b a and we assume, by way of contradiction, that
([a, b)) = b a 3
for some positive . Thus there are intervals [a
k
, b
k
), k N such that [a, b)
k=1
[a
k
, b
k
)
and
k=1
(b
k
a
k
) < b a 2. Setting c
k
= a
k
2
k
one may show that
k=1
(b
k
c
k
) < b a (4)
and
[a, b ]
_
k=1
(c
k
, b
k
).
Since [a, b ] is compact there exists K N such that
[a, b ]
K
_
k=1
(c
k
, b
k
).
Now b is in one of these K intervals, i.e., there is a k
1
1, ..., K such that c
k1
<
b < b
k1
. Unless c
k1
< a there is a k
2
such that c
k2
< c
k1
< b
k2
. Induction shows now the
existence of a L K such that c
k
< c
k
1
< b
k
for = 2, ..., L and c

k
L
< a. This proves
k=1
(b
k
c
k
) > b a
which is in contradiction with (4).
1.2.4 The Lebesgue -algebra and Lebesgue measure. The set
/(R) = A : B R :
(B) =
(A B) +
(B A
c
)
is a -algebra called the Lebesgue -algebra. Its elements are called Lebesgue measurable
sets.
The restriction of
to /(R) is a complete positive measure. It is called Lebesgue

measure and is usually denoted by m., i.e.,
m =
[
L(R)
.
1.2.5 Important properties of Lebesgue measure. The following statements hold:
(1) Finite intervals of the form [a, b) are Lebesgue measurable.
(2) The Borel -algebra B(R) is contained in the Lebesgue -algebra /(R).
(3) A countable set is measurable and has measure zero.
(4) Lebesgue measure is translation-invariant, i.e., m(A) = m(x + A) where x + A =
x +a : a A.
Without proof we state the following facts.
(1) There is a set in R which is not Lebesgue measurable.
(2) If A R
n
is measurable and m(A) > 0, then there is a non-measurable subset A
of A.
(3) There is no extension of m to the power set of R
n
.
(4) Most Lebesgue measurable sets are not Borel measurable.
Exercise: Let A = (x, y) R
2
: x Q or y Q. Is A measurable? If so, what is its
measure?
1.3. REGULARITY 7
1.2.6 Lebesgue measure on R
n
. Instead of half-open intervals consider rectangular boxes
R R
n
of the form R = [a
1
, b
1
) ... [a
n
, b
n
). Dene the volume (or area if n = 2) of such
a rectangular box by
[R[ =
n
j=1
(b
j
a
j
).
Starting from this notion of volume one may construct, just as above, n-dimensional Lebes-
gue measure which is a complete translation-invariant positive measure dened on a -
algebra (the Lebesgue -algebra) containing B(R
n
) and extending volume of rectangular
boxes.
1.2.7 Lebesgue-Stieltjes measures. Suppose F is a left-continuous non-decreasing func-
tion on R and assign to an half-open interval [a, b) the length F(b) F(a). Then one may
again dene an outer measure which yields a complete positive measure on a -algebra con-
taining B(R). This measure, denoted by
F
, is again an extension of [a, b) F(b) F(a).
It is called a Lebesgue-Stieltjes measure. Note that Lebesgue-Stieltjes measures need not
be translation-invariant. Such measures will be studied in more detail in Section 6.3.
1.3. Regularity
1.3.1 Regularity. A measure on a topological space X is called a Borel measure in X
if it is dened on a -algebra which contains the Borel -algebra.
If is a positive Borel measure a measurable set E is called outer regular if
(E) = inf(V ) : E V , V open.
It is called inner regular if
(E) = sup(K) : K E, K compact.
If E is both outer and inner regular it is called simply regular. The measure is called outer
or inner regular or just regular if every measurable set has the respective property.
Exercise: Determine the regularity properties of the counting measure and the Dirac
measure on R
n
.
1.3.2 Regularity of Lebesgue measure. Recall that Lebesgue measure is a Borel mea-
sure since the Borel -algebra is contained in the Lebesgue -algebra.
Theorem. Lebesgue measure on R
n
is regular. Moreover the following statements hold:
(1) If E is a Lebesgue measurable set and a positive number then there is a closed
set C and an open set V such that C E V and m(V C) < .
(2) If E is a Lebesgue measurable set then there is an F
-set F and a G
-set G such
that F E G and m(GF) = 0.
Sketch of proof. Let T
k
be compact subsets of R
n
such that
k=1
T
k
= R
n
. Let E
be a measurable set and > 0 be given. Using the outer regularity of rectangular boxes we
can construct an open set V
k
such that T
k
E V
k
and m(T
k
E) +/2
k+1
m(V
k
).
Now notice that V =
k=1
V
k
is open, that E V , and that m(V E) /2. This
proves outer regularity of Lebesgue measure.
By the same argument we get that there is an open set U which contains E
c
and satises
m(U E
c
) /2. Let C = U
c
and note that U E
c
= E U
c
to obtain a closed set C
such that C E and m(E C) /2. Since C =
k=1
(T
k
C) is a countable union of
compact sets inner regularity of Lebesgue measure follows.
Statements (1) and (2) are now also immediate.
1.4. Measurable functions
1.4.1 Measurable functions. If (X, /) is a measurable space, Y a topological space, and
if f is a function from X to Y then f is called measurable (with respect to /) provided that
f
1
(V ) / for every open set V in Y . If X is a topological space and f is measurable with
respect to the Borel -algebra B(X) then f is called Borel measurable or Borel for short.
It is instructive to compare the concept of a measurable function with that of a contin-
uous function.
1.4.2 Measurability of functions. The following statements hold.
(1) The characteristic function
E
: X R is measurable if and only if E is.
(2) Continuous functions are Borel.
(3) Continuous functions of measurable functions are measurable.
(4) f : X R
2
is measurable if and only if its components are.
(5) h : X C is measurable if and only if its real and imaginary part are.
(6) If , : X C are measurable so are +, .
(7) If h : X C then h = [h[ where [[ = 1. The function h is measurable if and
only if and [h[ are.
1.4.3 Further results on the measurability of functions. Suppose / is a -algebra
in X, Y is a topological space, and f : X Y . Then the following statements hold.
(1) = E Y : f
1
(E) / is a -algebra in Y .
(2) If f is measurable and is as before then B, the Borel -algebra, is contained in
.
(3) If f is measurable and g : Y Z is Borel then g f is measurable.
(4) If Y = [, ] and f
1
((a, ]) / for all a then f is measurable.
Exercise: Suppose (X, /) is a measurable space and f a function from X to R. Show
that f measurable if x : f(x) r is measurable for every r Q.
1.4.4 Upper and lower limits. Let a
1
, a
2
, ... be a sequence in [, ]. Dene M
k
=
supa
k
, a
k+1
, ... (least upper bound or supremum), m
k
= infa
k
, a
k+1
, ... (least lower
bound or inmum) and
limsup
n
a
n
= lim
k
M
k
, liminf
n
a
n
= lim
k
m
k
which are called upper and lower limit of the sequence a
n
.
Note the following properties of upper and lower limits.
(1) limsup
n
(a
n
) = liminf
n
a
n
.
(2) limsup
n
(a
n
+b
n
) limsup
n
a
n
+ limsup
n
b
n
assuming that one never
encounters .
(3) If a
n
b
n
for all n N then liminf
n
a
n
liminf
n
b
n
.
Exercise:
(1) Show that liminf
n
(a
n
+b
n
) liminf
n
a
n
+ liminf
n
b
n
.
(2) Give an example showing that the inequality in (1) may well be strict.
(3) Show that equality holds in (1) if the sequence n a
n
has a limit.
1.4.5 Upper and lower limits of functions. Let f
n
be a sequence of functions from X
to [, ]. Dene sup f
n
, inf f
n
, limsup f
n
, and liminf f
n
pointwise.
1.4. MEASURABLE FUNCTIONS 9
If each f
n
is measurable then so are sup f
n
, inf f
n
, limsup f
n
, and liminf f
n
. This
implies also that the limit of a pointwise convergent sequence of measurable, complex-valued
functions is measurable.
1.4.6 Positive and negative parts of functions. When f : X [, ] is measurable
then so are f
+
= maxf, 0 and f
= minf, 0, the positive and negative parts of f, and

[f[, the absolute value of f.
Note that f
+
, f
0, f = f
+
f
, and [f[ = f
+
+f
.
1.4.7 Simple functions. A function s : X C whose image consists only of nitely
many points is called a simple function. If, in addition, the image is in [0, ) we talk about
nonnegative simple functions.
If
1
, ...,
n
is the image of s then s has the (canonical) representation
s =
n
j=1
Aj
where A
j
= s
1
(
j
). Hence the A
j
are mutually disjoint and their union is X.
s is measurable if and only if A
1
, ..., A
n
are.
1.4.8 Approximation of measurable functions. Let f : X [0, ] be measurable.
Then there exist simple measurable functions s
n
: X [0, ) such that 0 s
1
s
2
...
f and f = lim
n
s
n
.
Sketch of proof. Dene
n
: [0, ] [0, ] by
n
=
n2
n
j=1
j 1
2
n

Ej
+n
[n,]
where E
j
= [(j 1)/2
n
, j/2
n
). Show that the
n
are Borel, 0
1
(t)
2
(t) .... t,
and
n
(t) t as n . Dene s
n
appropriately.
CHAPTER 2
Abstract Integration
2.1. Integration of positive functions
In this section (X, /, ) is a measure space with a positive measure .
2.1.1 Denition of the integral. If s : X [0, ) is a measurable, simple function with
canonical representation s =
n
k=1
A
k
and if E / then the integral of s over E with
respect to is
_
E
sd =
n
k=1
k
(A
k
E).
If f : X [0, ] is a measurable function and E / then the integral of f over E
with respect to is
_
E
fd = sup
__
E
sd : s simple, measurable and 0 s f
_
.
2.1.2 Basic properties of integrals. Suppose that A, B / and that f, g : X [0, ]
are measurable. Then the following statements hold:
(1) If f g then
_
A
fd
_
A
gd.
(2) If A B then
_
A
fd
_
B
fd.
(3) If 0 c < then
_
A
cfd = c
_
A
fd.
(4) If f = 0 on A then
_
A
fd = 0 even if (A) = .
(5) If (A) = 0 then
_
A
fd = 0 even if f = on A.
(6)
_
A
fd =
_
X
f
A
d.
(7) If s is a nonnegative, measurable, simple function on X then : / [0, ]
dened by (B) =
_
B
sd is a positive measure on /.
Exercise: Show that
_
A
cfd = c
_
A
fd also holds when c = .
2.1.3 Lebesgues monotone convergence theorem. Let f
n
be a sequence of measurable
functions on X such that 0 f
1
f
2
... and limf
n
= f. Then f is measurable and
lim
n
_
X
f
n
d =
_
X
fd.
Sketch of proof. f is measurable by 1.4.5. The sequence
_
X
f
n
d is non-decreasing
sequence and converges to a [0, ] where a
_
X
fd. Now it is sucient to show that
_
X
sd a for all simple measurable functions s such that 0 s f. To do this let
0 < c < 1, dene E
n
= x : f
n
(x) cs(x), and introduce the measure (E) =
_
E
sd. The
E
n
are measurable, E
n
E
n+1
,
n=1
E
n
= X. This allows to reach the conclusion that
_
X
sd a.
11
12 2. ABSTRACT INTEGRATION
Corollary. Let f : X [0, ] be measurable and s
n
: X [0, ) such that
0 s
1
s
2
... f and f(x) = lim
n
s
n
(x) for all x X. Then
_
X
fd = lim
n
_
X
s
n
d.
Exercise: Compute
_
[0,1]
fdm when f(x) = x.
2.1.4 Linearity of the integral. Suppose f
1
, f
2
: X [0, ] are measurable and 0
c
1
, c
2
< . Then
_
X
(c
1
f
1
+c
2
f
2
)d = c
1
_
X
f
1
d +c
2
_
X
f
2
d.
Sketch of proof. By Corollary 2.1.3 it is sucient to show linearity for simple func-
tions and by 2.1.2 part (3) it is sucient to consider c
1
= c
2
= 1. Note that the sum of two
simple functions is again simple.
Corollary. Let f
n
be a sequence of nonnegative measurable functions on X and dene
f : X [0, ] by f(x) =
n=1
f
n
(x). Then f is measurable and
_
X
f d =
n=1
_
X
f
n
d.
2.1.5 Fatous lemma. If f
n
: X [0, ] are measurable for all n N then
_
X
liminf
n
f
n
d liminf
n
_
X
f
n
d.
Sketch of proof. Consider the sequence g
k
= inff
k
, f
k+1
, ....
2.1.6 Measures induced by positive functions. Let f : X [0, ] be measurable.
Dene : / [0, ] by (E) =
_
E
fd. Then is a positive measure. Moreover, if
g : X [0, ] is measurable then
_
E
gd =
_
E
gfd.
2.1.7 Integration of functions with values in [, ]. If f : X [, ] then
_
E
fd =
_
E
f
+
d
_
E
f
d [, ]
provided at least one of the integrals on the right is nite.
2.2. Integration of complex functions
In this section (X, /, ) is a measure space with a positive measure .
2.2.1 Denition of integrability. The set of complex-valued, measurable functions f on
X for which
_
X
[f[d <
is denoted by L
1
(X, ) and its elements are called integrable functions.
2.2.2 Denition of the integral. Let f : X C be integrable, u = Re f, v = Imf.
Then the integral of f over E with respect to is
_
E
fd =
_
E
u
+
d
_
E
u
d +i
_
E
v
+
d i
_
E
v
d.
All integrals are nite. Hence
_
E
fd C.
2.3. SETS OF MEASURE ZERO 13
2.2.3 The integral as a linear functional. L
1
(X, ) is a vector space and the integral
is a linear functional on it.
2.2.4 Numerical Series. Using for X a subset of the integers and the counting measure
(on the power set) sums turn into integrals. In particular, if X = N and f : N C : n
f(n) = a
n
then
_
N
fd =
n=1
a
n
.
The concept of integrability is then equivalent to the absolute convergence of the series.
2.2.5 Generalized triangle inequality. If f L
1
(X, ) and E / then
[
_
E
fd[
_
E
[f[d. (5)
Remark: If E = 1, 2 and is the counting measure then (5) becomes [f(1) +f(2)[
[f(1)[ +[f(2)[.
2.2.6 Lebesgues dominated convergence theorem. Suppose the f
n
: X C are
measurable and lim
n
f
n
= f. If there exists g L
1
(X, ) such that [f
n
[ g for all n
then f L
1
(x, ) and, for all E /,
lim
n
_
E
[f
n
f[d = 0 (6)
and
lim
n
_
E
f
n
d =
_
E
fd. (7)
Sketch of proof. Since f
n
f one gets that [f
n
[ [f[ and hence that [f[ g.
Equation (6) follows after applying Fatous lemma to 2g[f
n
f[ 0. Then the generalized
triangle inequality and linearity imply equation (7).
2.3. Sets of measure zero
2.3.1 Completion of measures. Every positive measure can be completed, in other
words, if (X, /, ) is a measure space with positive measure then there is a complete
extension
of to some larger -algebra. This extension is explicitly given by

/
= E X : A, B / : A E B, (B A) = 0
and
(E) =
_
(E) if E /
(A) if A E B and (B A) = 0.
2.3.2 Almost everywhere. Let P(x) be a statement pertaining to a point x in a
measure space (X, /, ). If there exists a set N with measure zero such that P(x) is true
for all x E N we will say P holds almost everywhere on E.
Example: If (x : f(x) ,= g(x)) = 0 then we say f equals g almost everywhere (with
respect to ).
Equality almost everywhere is an equivalence relation.
If f = g almost everywhere on E then
_
E
fd =
_
E
gd, i.e., sets of measure zero do
not aect values of integrals, e.g., integrals with respect to Lebesgue measure over open and
closed intervals are the same.
14 2. ABSTRACT INTEGRATION
2.3.3 Functions dened almost everywhere. Let (X, /, ) be a measure space with
complete, positive measure . Let f be a complex-valued function dened almost everywhere
on X. Extend f to X in an arbitrary way. We call f measurable if any (and hence all) such
extension is measurable.
2.3.4 Series of measurable functions. Let f
n
be a sequence of almost everywhere
dened, complex-valued, measurable functions such that
n=1
_
X
[f
n
[d < . Then
f
n
converges almost everywhere to a function f such that f L
1
(X, ) and, for all A /,
_
A
fd =
n=1
_
A
f
n
d.
2.3.5 Sucient conditions for the vanishing of a function. Let (X, /, ) be a
measure space with complete, positive measure .
(1) If f : X [0, ] is measurable, E / and
_
E
fd = 0 then f = 0 almost
everywhere on E.
(2) If f L
1
(X, ) and
_
E
fd = 0 for every E / then f = 0 almost everywhere
on X.
Exercise: If f L
1
(X, ), E /, and [
_
E
fd[ =
_
E
[f[d then there exist C such
that [f[ = f almost everywhere on E.
2.3.6 Averages. Suppose (X) < , f L
1
(X, ), and S is a closed subset of C. If the
averages
A
E
(f) =
1
(E)
_
E
fd
are in S whenever (E) > 0 then f(x) S for almost all x X.
2.4. Comparison of the Riemann and the Lebesgue integral
2.4.1 Partitions. A partition P of [a, b] is a nite subset of [a, b] which contains both a
and b. If the number of elements in P is n + 1 we will label them so that
a = x
0
< x
1
< . . . < x
n1
< x
n
= b.
A partition P
is called a renement of P if P P
. P Q is called the common renement

of the partitions P and Q.
2.4.2 Upper and lower sums. If P is a partition of [a, b] with n + 1 elements and
f : [a, b] R is a bounded function we dene the lower Riemann sum L(f, P) and the
upper Riemann sum U(f, P) by
L(f, P) =
n
j=1
m
j
(x
j
x
j1
)
and
U(f, P) =
n
j=1
M
j
(x
j
x
j1
)
where m
j
= inff(x) : x
j1
x x
j
and M
j
= supf(x) : x
j1
x x
j
.
Proposition. If P
is a renement of the partition P then

L(P, f) L(P
, f) U(P
, f) U(P, f).
2.4. COMPARISON OF THE RIEMANN AND THE LEBESGUE INTEGRAL 15
2.4.3 Denition of the Riemann integral. Let [a, b] be a bounded interval in R and
f : [a, b] R a bounded function. The numbers supL(P, f) : P is a partition of [a, b] and
infU(P, f) : P is a partition of [a, b] are called lower and upper Riemann integrals of f
over [a, b], respectively.
The function f is called Riemann integrable over [a, b] if its lower and upper Riemann
integrals coincide. This common value is then called the Riemann integral of f over [a, b]
and is denoted by
_
b
a
fdx. We emphasize that, by denition, Riemann integrable functions
are bounded and are dened on nite intervals.
2.4.4 Comparison of the Riemann and the Lebesgue integral.
Theorem. Let [a, b] be a bounded interval in R. If f is Riemann integrable over [a, b]
then it is Lebesgue integrable and
_
b
a
f(x) dx =
_
[a,b]
fdm.
Sketch of proof. Let k P
k
be a sequence of successive renements of partitions
such that lim
k
L(P
k
, f) equals lower Riemann integral, and that lim
k
U(P
k
, f) equals
the upper Riemann integral. This uses Proposition 2.4.2.
The lower and upper Riemann sums L(P
k
, f) and U(P
k
, f) can be represented as
Lebesgue integrals of simple functions
k
and u
k
. The sequences k
k
and k u
k
have pointwise limits dening measurable functions and u such that (x) f(x) u(x).
The monotone convergence theorem implies that
_
[a,b]
dm = lim
k
L(P
k
, f) equals
the lower Riemann integral of f. Likewise we have that
_
[a,b]
udm = lim
k
U(P
k
, f) equals
the upper Riemann integral of f.
Now suppose that f is Riemann integrable. Then
_
[a,b]
dm =
_
[a,b]
udm and this shows
that, almost everywhere, = f = u. Hence f is measurable and its Lebesgue integral is
equal to the Riemann integral.
Exercise:
(1) Find a function which is Lebesgue integrable but not Riemann integrable.
(2) Find a function f on [0, ) such that the improper Riemann integral
_

0
f(x) dx = lim
R
_
R
0
f(x) dx
exists and is nite, but f is not Lebesgue integrable.
2.4.5 The set of Riemann integrable functions. The (bounded) function f : [a, b] R
is Riemann integrable if and only if it is almost everywhere continuous.
Sketch of proof. We use the notation of the proof of Theorem 2.4.4 and note that
we choose the partitions in such a way that the distance of adjacent points of P
k
is at most
1/k. The statement follows from the observation that, if x belongs to none of the points of
the partitions P
k
, then f is continuous at x if and only if (x) = u(x).
CHAPTER 3
L
p
Spaces
Throughout this chapter (X, /, ) denotes a measure space with positive complete
measure .
3.1. Convex Functions and Inequalities
3.1.1 Convex functions. A function : (a, b) R is called convex (on (a, b)) if
((1 t)x +ty) (1 t)(x) +t(y)
for all t [0, 1] and all x, y for which a < x, y < b. (We allow for a = and b = .)
A function is convex if and only if
(t) (s)
t s

(u) (t)
u t
whenever a < s < t < u < b. A dierentiable function is convex if and only if its derivative
is non-decreasing.
A convex function is continuous.
3.1.2 Jensens inequality. Let (X) = 1 and suppose f : X (a, b) is integrable and
is convex on (a, b). Then
__
X
fd
_
_
X
fd.
Sketch of proof. Note that
(v) (t) + (v t) sup((t) (s))/(t s) : s (a, t)
for all t, v (a, b), in particular for v = f(x) and t =
_
X
fd. Integration establishes the
inequality.
Exercise: Prove that the geometric mean of n positive numbers is not larger than their
arithmetic mean:
n
y
1
...y
n
(y
1
+... +y
n
)/n, in particular 2ab a
2
+b
2
for real numbers
a and b.
3.1.3 Conjugate exponents. If p, q > 1 and p + q = pq or, equivalently, 1/p + 1/q = 1,
then p and q are called conjugate exponents. We also regard 1 and as conjugate exponents.
We will often denote the conjugate exponent of p by p
.
3.1.4 Holders inequality. Suppose p, q > 1 are conjugate exponents. Let f, g be mea-
surable, nonnegative functions on a measure space X. Then
_
X
fgd
__
X
f
p
d
_
1/p
__
X
g
q
d
_
1/q
.
Assuming the right hand side is nite equality holds if and only if there exist , [0, )
not both zero such that f
p
= g
q
almost everywhere.
17
18 3. L
p
SPACES
Sketch of proof. Let A and B be the factors on the right of the inequality. The
inequality is trivial if A = 0 or if B = . Hence consider 0 < A, B < . Dening F = f/A
and G = g/B we get
_
X
F
p
d =
_
X
G
q
d = 1.
Whenever F(x) and G(x) are positive there are numbers s, t such that F(x) = e
s/p
and G(x) = e
t/q
which implies that F(x)G(x) F(x)
p
/p + G(x)
q
/q since the exponential
function is convex. Now integrate.
3.1.5 Minkowskis inequality. Suppose p > 1 and let f, g be measurable, nonnegative
functions on a measure space X. Then
__
X
(f +g)
p
d
_
1/p
__
X
f
p
d
_
1/p
+
__
X
g
p
d
_
1/p
.
Assuming the right hand side is nite equality holds if and only if there exist , [0, )
not both zero such that f = g almost everywhere.
Sketch of proof. If 0 <
_
X
(f +g)
p
d < use that (f +g)
p
= f(f +g)
p1
+g(f +
g)
p1
. Otherwise use the convexity of t t
p
, i.e., ((f +g)/2)
p
(f
p
+g
p
)/2.
3.2. L
p
-spaces
3.2.1 Denition. For 0 < p < and an almost everywhere complex-valued, measurable
function f dene
|f|
p
=
__
X
[f[
p
d
_
1/p
.
Also dene
L
p
() = f : |f|
p
< .
For p = 1 this denition agrees with the one made earlier.
If X = N or X = Z and is the counting measure it is customary to write
p
(N) or
p
(Z) for L
p
().
3.2.2 The essential supremum. Suppose g : X [0, ] is measurable. Let S = :
(x : g(x) > ) = 0. The inmum of S (or if S is empty) is called the essential
supremum of g. If f is an almost everywhere complex-valued, measurable function the
essential supremum of [f[ is denoted by |f|
. If this is nite f is called essentially bounded.

We dene next
L
() = f : |f|
< .
3.2.3 Holders inequality. If p and q are conjugate exponents, f L
p
(), and g L
q
()
then fg L
1
() and
|fg|
1
|f|
p
|g|
q
.
This follows from Holders inequality 3.1.4 except when the exponents are one and innity
when it follows from basic properties of integrals.
3.2.4 L
p
is a vector space. If p [1, ] then L
p
(X) is a complex vector space.
Sketch of proof. The only thing which is not immediately obvious is that f + g is
in L
p
(X) whenever f and g are. But this follows from Minkowskis inequality 3.1.5.
3.2. L
p
-SPACES 19
3.2.5 Metric spaces. Let X be a set. If the function d : X X [0, ) satises
1. d(x, y) = 0 if and only if x = y,
2. d(x, y) = d(y, x) for all x, y X,
3. d(x, y) d(x, z) +d(z, y) for all x, y, z X
it is a called a metric on X and (X, d) is called a metric space.
A metric space X is called complete if every Cauchy sequence in X converges.
3.2.6 Normed spaces and Banach spaces. Let X be a complex vector space. If the
function n : X [0, ) satises
1. n(x) = 0 if and only if x = 0,
2. n(x) = [[n(x) for all C and all x X,
3. n(x +y) n(x) +n(y) for all x, y X
then it is called a norm on X and (X, n) is called a normed vector space.
Note that every normed vector space is a metric space with the metric d(x, y) = n(xy).
One has therefore the notion of completeness in every normed vector space.
A complete normed vector space is called a Banach space.
3.2.7 Inner product and Hilbert spaces. Let X be a complex vector space. If the
function p : X X C satises
1. p(x, x) > 0 for all 0 ,= x X,
2. p(x +y, z) = p(x, z) +p(y, z) for all x, y, z X and all , C,
3. p(x, y) = p(y, x) for all x, y X
then it is called an inner product on X and (X, p) is called an inner product space.
Every inner product space is a normed space with the norm n(x) =
_
p(x, x) and hence
a metric space.
A complete inner product space is called a Hilbert space.
3.2.8 L
p
as space of equivalence classes. The function | |
p
satises the requirements
for being a norm except that |f|
p
= 0 does not imply f = 0 but only that f = 0 almost
everywhere.
We call f and g equivalent (f g) if f = g almost everywhere. Note that this is an
equivalence relation. The function space L
p
is thus partitioned into equivalence classes of
functions. We will denote the set of equivalence classes of functions in L
p
also by L
p
. (Sorry,
but this is standard.) Using this new meaning of L
p
() we have that L
p
() is a normed
vector space and hence a metric space.
3.2.9 Theorem. If 1 p and f
n
is a Cauchy sequence in L
p
() then there exists a
subsequence f
n
k
which converges pointwise almost everywhere to some measurable function
f.
Sketch of proof. First consider the case p < . Dene g
k
=
k
j=1
[f
nj+1
f
nj
[
where |f
n
k+1
f
n
k
|
p
< 2
k
and g = limg
k
. Use Minkowskis inequality and Fatous lemma
to show that |g|
p
1. Since g is nite almost everywhere f
n
k+1
= f
n1
+
k
j=1
(f
nj+1
f
nj
)
converges almost everywhere to some function f as k .
If p = let B
n,m
= x : [f
n
(x) f
m
(x)[ > |f
n
f
m
|
. The union of all these sets,

B, has measure zero. If x B
c
then f
n
(x) is a Cauchy sequence in C and hence converges
to some number f(x).
3.2.10 L
p
is a Banach space. If p [1, ] then L
p
() is a Banach space.
20 3. L
p
SPACES
Sketch of proof. Let f
n
be a Cauchy sequence in L
p
(), and f, f
nj
, and B as in
Theorem 3.2.9. If 1 p < then, by Fatou, |f
n
f|
p
p

p
.
Therefore f = f
n
+ (f f
n
) L
p
() and |f
n
f|
p
0.
If p = let A
k
= x : [f
k
(x)[ > |f
k
|
and A = B (
A
k
) which still has measure
zero. In this case |f
n
f|
lim
j
|f
n
f
nj
|
< .
3.2.11 Theorem. Let S be the class of complex-valued, measurable, simple functions each
supported on a set of nite measure. If 1 p < then S is dense in L
p
().
3.3. Approximation by Continuous Functions
3.3.1 Locally compact Hausdor spaces. Recall that a topological space is called locally
compact if every point has an (open) neighborhood with compact closure. A topological
space is called a Hausdor space if any two distinct points have disjoint neighborhoods. A
topological space is called -compact if it is the union of countably many compact sets.
Note that R
n
and many of its subsets are locally compact, -compact Hausdor spaces.
3.3.2 Urysohns lemma. The set x : f(x) ,= 0 is called the support of a function f.
The set of compactly supported continuous functions dened on a topological space X is
denoted by C
0
c
(X).
The notation K f indicates that K is compact in X, that f C
0
c
(X), 0 f 1,
and that f(x) = 1 for all x K. The notation f V indicates that V is open in X, that
f C
0
c
(X), 0 f 1, and that the support of f is in V .
The following theorem is well-known from topology.
Theorem. Suppose X is a locally compact Hausdor space, K compact, V open, and
K V X. Then there exists f C
0
c
(X) such that K f V .
3.3.3 Lusins theorem. Suppose X is a locally compact, -compact Hausdor space and
is complete, regular, positive Borel measure on X which is nite on compact sets. Assume
that f : X C is measurable, that A X is of nite measure, that f(x) = 0 if x , A, and
that > 0. Then there exists a continuous function g : X C of compact support such
that
(x : f(x) ,= g(x)) <
and, if f is bounded,
sup[g(x)[ : x X sup[f(x)[ : x X.
Sketch of proof. First consider the case where A is compact and where 0 f 1.
Using the binary expansion of f(x), i.e., f(x) =
k=0
a
k
(x)2
k
(preferring an expansion
with trailing zeros to those with trailing ones) dene T
k
= x : a
k
(x) = 1. These are
unions of preimages of intervals and hence measurable.
There is an open set V with compact closure such that A V .
Also there are compact sets K
k
and open sets V
k
such that K
k
T
k
V
k
V and
(V
k
K
k
) < 2
k1
. By Urysohns Lemma we can nd a continuous function h
k
:
X [0, 1] which is one on K
k
and zero outside of V
k
. Then g =
k=0
2
k
h
k
satises
(x : f(x) ,= g(x)) < .
If A is compact and is f bounded by a number M we may consider

f = [f[/M. If A
is not compact then there is a compact set K A such that (AK) is arbitrarily small.
Complex (possibly unbounded) functions can be handled since (x : [f(x)[ > k) 0 as
k .
3.3. APPROXIMATION BY CONTINUOUS FUNCTIONS 21
Finally, dene (z) = z if [z[ R = sup[f(x)[ : x X and (z) = Rz/[z[ if [z[ > R.
Then g = g has the required properties.
3.3.4 Theorem. Suppose X is a locally compact, -compact Hausdor space and is
complete, regular, positive Borel measure on X which is nite on compact sets. If 1 p <
then C
0
c
(X) is dense in L
p
().
3.3.5. C
0
c
(X) is a normed vector space using the norm | |
p
for 1 p . Hence, if
1 p < then L
p
() is the completion of C
0
c
(X) with respect to the metric induced by
that norm.
3.3.6 Functions vanishing at innity. A complex-valued function f on a locally compact
Hausdor space is said to vanish at innity if for every > 0 there exists a compact set K
such that [f(x)[ < if x , K. The class of continuous functions which vanish at innity is
denoted by C
0
0
(X).
Of course, C
0
c
(X) C
0
0
(X). The converse is true if X is compact.
Theorem. If X is a locally compact Hausdor space then C
0
0
(X) is the completion of
C
0
c
(X) with respect to the norm | |
.
CHAPTER 4
Integration on product spaces
4.1. Measurability on cartesian products
4.1.1 Measurable rectangles. Let (X, /) and (Y, A) be two measurable spaces. For
every A / and B A the set A B is called a measurable rectangle in X Y . Any
nite union R
1
R
2
R
n
of disjoint measurable rectangles is called an elementary set.
The -algebra in X Y generated by the elementary sets is denoted by / A.
4.1.2 Sections of sets. Let E be a subset of X Y and x X and y Y . Then
E
x
= y : (x, y) E Y and E
y
= x : (x, y) E X are called the x-section and the
y-section of E, respectively.
Theorem. If E / A, then E
x
A and E
y
/ whenever x X and y Y .
Sketch of proof. Let = E / A : x X : E
x
A. Show that =
/ A.
4.1.3 Sections of functions. If f is a function dened on XY and x X we denote the
function y f(x, y) by f
x
and call it the x-section of f. Similarly f
y
denotes the function
x f(x, y) when y is a xed element of Y .
If f is an /A-measurable function, then f
x
is A-measurable and f
y
is /-measurable.
4.1.4 Monotone classes. A monotone class / is a collection of sets with the property
that it contains the union of any increasing chain of elements of / as well as the intersection
of any decreasing chain of elements of /.
Every -algebra is a monotone class and the intersection of monotone classes is again
a monotone class. Consequently, the concept of a monotone class generated by a collection
of subsets of a given set makes sense.
Theorem. / A is the smallest monotone class containing the elementary sets.
4.2. Product measures and Fubinis theorem
4.2.1 Product measures. Suppose (X, /, ) and (Y, A, ) are -nite (positive) measure
spaces and suppose Q / A. Then the function x (Q
x
) is /-measurable and the
function y (Q
y
) is A-measurable. We dene
( )(Q) =
_
X
(Q
x
)d(x) =
_
Y
(Q
y
)d(y)
since these integrals are identical.
Sketch of proof. Dene / A to consist of those sets satisfying the three
conclusions and show that is a monotone class containing the elementary sets.
23
24 4. INTEGRATION ON PRODUCT SPACES
, called the product of and , is a -nite measure on / A which we will refer
to as a product measure.
4.2.2 Fubinis theorem. Let (X, /, ) and (Y, A, ) be -nite measure spaces and f
an / A-measurable function on X Y . Dene, when it makes sense to do so, (x) =
_
Y
f
x
d(y), (y) =
_
X
f
y
d(x),
(x) =
_
Y
[f[
x
d(y), and
(x) =
_
X
[f[
y
d(x).
Then the following statements hold:
(1) If 0 f , then and are /-measurable and A-measurable, respectively.
Moreover,
_
X
d =
_
XY
fd( ) =
_
Y
d.
(2) If f is complex-valued dene and
_
X

d < or
_
Y

d < , then f
L
1
( ).
(3) If f L
1
( ), then f
x
L
1
() for almost every x X, f
y
L
1
() for almost
every y Y , L
1
(), and L
1
(). Moreover,
_
X
d =
_
XY
fd( ) =
_
Y
d. (8)
Equation (8) is often written in terms of iterated integrals as
_
X
__
Y
f(x, y) d(y)
_
d(x) =
_
XY
f d( ) =
_
Y
__
X
f(x, y) d(x)
_
d(y).
4.2.3 Counterexamples. Iterated integrals do not coincide in the following situations:
(1) Let X = Y = N; = counting measure (then is the counting measure on
X Y ); and f(j, k) = 1 for j = k, f(j, k) = 1 if j = k + 1, and zero otherwise.
(2) Let X = Y = [0, 1], Lebesgue measure, counting measure, and f the charac-
teristic function of the main diagonal of [0, 1]
2
.
4.2.4 Completion of product measures. The product measure is not necessarily
complete, in particular, a rectangle AB need not measurable if AY has measure zero.
Consider, in particular, Lebesgue measure. If m
n
denotes the Lebesgue measure on R
n
,
then m
k
m
is not complete but its completion is m

k+
.
4.2.5 Measurable functions in completed measure spaces. Suppose (X, /, ) is a
measure space and (X, /, ) is its completion. Suppose f is /-measurable. Then there
exist an /-measurable function g such that f and g are equal almost everywhere with
respect to .
Sketch of proof. If f 0 one can nd numbers c
k
and sets E
k
/ such that
f =
k=1
c
k
E
k
. By the denition of completion there are sets A
k
, B
k
/ such that
A
k
E
k
B
k
and (B
k
A
k
) = 0. Dene g =
k=1
c
k
A
k
.
4.2.6 Fubinis theorem for complete product measures. Let (X, /, ) and (Y, A, )
be two complete -nite measure spaces. Let (X Y, / A, ) be the completion of
(X Y, / A, ). Let f be an / A-measurable function on X Y . Then f
x
is
A-measurable for almost every x X and f
y
is /-measurable for almost every y Y . The
functions ,
, , and
are dened only almost everywhere. All conclusions of Fubinis

theorem hold when is replaced by .
Sketch of proof. By 4.2.5 f = g +h where g is /A-measurable and h = 0 almost
everywhere. Fubinis theorem 4.2.2 applies to g. We only need to show that, for almost all
4.3. CONVOLUTIONS 25
x, we have f
x
g
x
= h
x
is zero almost everywhere with respect to and that, for almost
all y, we have f
y
g
y
= h
y
is zero almost everywhere with respect to . To this end let
P be the set where h does not vanish. By assumption P has measure zero, i.e., there is a
set Q / A such that P Q and ( )(Q) = 0. Hence 0 =
_
X
(Q
x
)d(x) so that
(Q
x
) = 0 for all x outside a set N for which (N) = 0. This implies h
x
is A-measurable
and zero almost everywhere with respect to .
4.2.7 Regularity of product measures. Let (X, /, ) and (Y, A, ) be two regular,
complete -nite measure spaces. Let (X Y, / A, ) be the completion of (X
Y, / A, ). Then is a regular measure.
4.3. Convolutions
4.3.1 Convolutions. Let f : R C and g : R C be two Lebesgue measurable functions.
Then their convolution f g is dened by
(f g)(x) =
_
R
f(x t)g(t)dm(t) =
_
R
f(t)g(x t)dm(t)
wherever the integral exists.
4.3.2 Youngs inequality. If f L
1
(R), g L
p
(R), 1 p , then
_
R
[f(x t)g(t)[dm(t) <
for almost every x R, f g L
p
(R) and
|f g|
p
|f|
1
|g|
p
.
Sketch of proof. Assume p = 1. By 4.2.5 there are Borel functions f
0
and g
0
which
are equal to f and g, respectively, almost everywhere. Thus we may assume that f and g are
Borel. Then (x, t) F(x, t) = f(xt)g(t) is also Borel. Since, by the translation-invariance
of Lebesgue measure,
_
R
_
R
[F(x, t)[dm(x)dm(y) |g|
1
[|f|
1
we have F L
1
(mm). An application of Fubinis theorem gives the result for p = 1.
If p > 1, note that d = f/|f|
1
dm is a probability measure and apply Jensens inequal-
ity.
CHAPTER 5
Complex Measures
5.1. Complex Measures and their total variation
5.1.1 Complex measures. A complex measure is a complex-valued countably additive
function on some -algebra.
Note that when the E
j
are pairwise disjoint then
j=1
(E
j
) converges absolutely.
The basic properties for measures proved in 1.1.7, except for monotonicity, hold for
complex measures.
5.1.2 Total variation of a measure. Given a countable collection of measurable pairwise
disjoint sets E
k
we call E
k
: k N a partition of E =
k=1
E
k
.
Let be a complex measure on a -algebra /. Dene a function [[ : / [0, ] by
[[(E) = sup
j=1
[(E
j
)[ : E
j
: j N is a partition of E.
The function [[ is called the total variation of .
Theorem. The total variation of a complex measure is a positive measure which sat-
ises [[(E) [(E)[ for all E /. If is a positive measure satisfying (E) [(E)[ for
all E / then [[.
Sketch of proof. Obviously, [[() = 0 and [[(E) [(E)[. To prove countable
additivity choose a partition of E approximating [[(E) to establish one inequality and
partitions approximating [[(E
j
) to establish the other. Finally note that (E) [[(E)
follows from (E) =
j=1
(E
j
)
j=1
[(E
j
)[.
5.1.3 The total variation of a complex measure is a nite measure. Assume by
way of contradiction that [[(X) is innite. We will show below that any set of innite total
variation measure can be split into two disjoint sets A and B such that both (A) and (B)
have modulus larger than one. Of course, at least one of them, say B, must have innite
total variation measure. Thus we have, for any N N, a partition A
1
, ..., A
N
, B
N
of X
such that [(A
k
)[ > 1 and (X) (B
N
) =
N
k=1
(A
k
). Here the left hand side converges
as N tends to innity but the right hand side cannot be convergent. This contradiction
nishes the proof, provided we can established the statement made earlier.
Now let E be any set of innite total variation measure. Then there is a partition
E
1
, ..., E
N
such that
N
k=1
[(E
k
)[ > (1 + [(E)[). Set (E
k
) = r
k
e
i
k
and dene the
function f : [, ] [0, ) by
f(t) =
N
k=1
r
k
cos
+
(
k
t).
27
28 5. COMPLEX MEASURES
Since f is continuous it has a maximum which we call t
0
. Now let S = k 1, ..., N :
cos(
k
t
0
) > 0, A =
kS
E
k
, and B = E A. We now nd that
[(A)[ =
kS
(E
k
)
f(t
0
)
1
2
_

f(t)dt =
1
k=1
[(E
k
)[ = 1 +[(A) +(B)[.
Hence both [(A)[ and [(B)[ are larger than one.
We state again the result just achieved.
Theorem. The total variation of a complex measure is nite.
5.1.4 The vector space of complex measures. Given two measures and on a -
algebra /and a complex number c we may dene + and c by (+)(E) = (E)+(E)
and (c)(E) = c(E), respectively. Since these are again complex measures the set of all
complex measures on a given -algebra is a complex vector space.
Dene || = [[(X). Then || = 0 implies = 0, |c| = [c[||, and | + |
|| +||. Hence the space of complex measures is a normed vector space.
5.1.5 Positive and negative variations. Suppose now that is a real measure (some-
times called a signed measure). Dene
+
=
1
2
([[ +),
=
1
2
([[ ).
Then both
+
and
are nite positive measures called the positive and negative variation
of , respectively. This is known as the Jordan decomposition of .
5.1.6 Absolute continuity. A measure (complex or positive) is called absolutely contin-
uous with respect to a positive measure if all sets of -measure zero have also -measure
zero. We denote this relationship by .
5.1.7 Mutually singular measures. If there is a set A such that (E) = (EA) for all
E / we say that the measure is concentrated on A. It follows that is concentrated on
A if and only if (E) = 0 for all E A
c
. Lebesgue measure, for instance, is concentrated
on the set of irrational numbers.
Two measures and are called mutually singular if they are concentrated on disjoint
sets. This is indicated by .
5.1.8 Basic properties. Suppose that , ,
1
, and
2
are measures on / and that is
positive. Then the following statements hold:
(1) If is concentrated on A so is [[.
(2) If
1

2
then [
1
[ [
2
[.
(3) If
1
and
2
then
1
+
2
.
(4) If
1
and
2
then
1
+
2
.
(5) If then [[ .
(6) If
1
and
2
then
1

2
.
(7) If and then = 0.
5.2. The theorem of Lebesgue-Radon-Nikodym
5.2.1 Representation theorem for linear functionals in a Hilbert space. Let H be
a (complex) Hilbert space. A linear transformations from H to C is called a linear functional
on H. The set of bounded linear functionals on H is called the dual space or just the dual
of H.
5.2. THE THEOREM OF LEBESGUE-RADON-NIKODYM 29
If y H then L : H C : x (x, y) is a bounded linear functional with norm
|L| = |y|.
Theorem. Let H be a complex Hilbert space and L a bounded linear functional on
H. Then there exists a unique y H such that Lx = (x, y) for all x H. In other words,
there is a one-to-one correspondence between the elements of H and the bounded linear
functionals on H.
Sketch of proof. We may assume L ,= 0. Then the orthogonal complement of the
kernel of L must contain an element z of norm 1. The elements z and (Lx)z (Lz)x are
orthogonal implying that Lx = Lz(x, z). Now check uniqueness.
5.2.2 Existence of positive integrable functions on -nite measure spaces. If is
a (positive) -nite measure on a -algebra / in X then there exists a function w L
1
()
such that 0 < w < 1.
5.2.3 The Lebesgue-Radon-Nikodym theorem. Let be a positive -nite measure
on a -algebra / in X and a complex measure on /. Then
(1) there exists a unique pair of complex measures
a
and
s
on / such that
=
a
+
s
,
a
,
s
.
If is positive and nite then so are
a
and
s
.
(2) There exists a unique function h L
1
() such that
a
(E) =
_
E
hd for every
E /.
The pair
a
,
s
associated with the measure is called the Lebesgue decomposition of
.
Sketch of proof. This is a deep theorem. The proof below is due to von Neumann.
Well break the proof in several parts.
(1) Showing uniqueness of
a
,
s
and h is straightforward.
(2) It is sucient to prove the theorem for a positive (but bounded) measure .
(3) Let w L
1
() satisfy 0 < w < 1. The existence of such a function is guaranteed
by 5.2.2. Suppose there was a function g such that 0 g 1 and
_
X
f(1 g)d =
_
X
fgwd (9)
for all bounded nonnegative measurable functions f. Dene A = x : 0 g(x) <
1, B = A
c
= x : g(x) = 1, and the nite measures
a
(E) = (E A),
s
(E) = (E B).
These are positive measures satisfying
a
+
s
= .
(4) Choosing f =
B
in (9) shows (B) = 0 and hence that is concentrated on B
c
.
Hence
s
.
(5) Now let f = (1 +g +... +g
n
)
E
in (9). Then
_
EA
(1 g
n+1
)d =
_
E
(1 g
n+1
)d =
_
E
(g +... +g
n+1
)wd.
The monotone convergence theorem shows then that
a
(E) = (E A) =
_
E
hd
where h = wg/(1 g). Taking E = X shows h L
1
(). It also follows that
a
.
30 5. COMPLEX MEASURES
(6) It remains to show the existence of g. To this end dene the nite measure by
(E) = (E) +
_
E
wd. Then
_
X
fd =
_
X
fd +
_
X
fwd
for any nonnegative measurable function f.
(7) The inequality
_
X
fd
_
X
[f[d
_
X
[f[d |f|
L
2
()
((X))
1/2
holds for all f L
2
(). Therefore T : L
2
() C : f
_
X
fd is a bounded
linear functional. The representation theorem 5.2.1 guarantees now the existence
of a g L
2
() such that
_
X
fd = Tf = (f, g)
L
2
()
=
_
X
fgd.
Putting here f =
E
for any E with (E) > 0 shows that 0 g 1 almost
everywhere. One may now choose a representative such that 0 g 1.
If is positive and -nite rather than nite the Lebesgue-Radon-Nikodym theorem still
applies except that h will no longer be integrable. If X =
n=1
X
n
with pairwise disjoint
sets X
n
of nite -measure dene the nite measures
n
(E) = (E X
n
). We obtain
n,a
and
n,s
and may now dene
a
=
n=1
n,a
and
s
=
n=1
n,s
which have the desired
properties. As for the second part we obtain functions h
n
supported on X
n
and we get
a
(E) =
n=1
a
(E X
n
) =
n=1
_
E
h
n
d =
_
E
hd
by monotone convergence when h =
n=1
h
n
.
a
,
s
and h are independent of the partition X
n
: n N.
5.2.4 The Radon-Nikodym derivative of a measure. When h L
1
() where is
a positive measure, then : E
_
E
hd is a complex measure. That this is true for
nonnegative h was proven in 2.1.6. Otherwise split the real and imaginary parts of h into
positive and negative parts and use that complex measures form a vector space.
The key point of the second part of Theorem 5.2.3 (the Radon-Nikodym theorem) is
that the converse is also true provided the measure is absolutely continuous with respect to
.
The function h in the Radon-Nikodym theorem is called the Radon-Nikodym derivative
of
a
with respect to .
5.2.5 The Radon-Nikodym derivative of the total variation of a measure. If is
a positive measure, g L
1
(), and the complex measure given by d = gd then [g[ is
the Radon-Nikodym derivative of [[, i.e., d[[ = [g[d or
[[(E) =
_
E
[g[d.
Sketch of proof. First let be some complex measure. The Radon-Nikodym theo-
rem guarantees the existence of a function h L
1
([[) such that d = hd[[. If A
r
= x :
[h(x)[ < r one shows that [[(A
r
) r[[(A
r
) for any positive using an appropriate
5.2. THE THEOREM OF LEBESGUE-RADON-NIKODYM 31
partition of A
r
. Thus [h[ 1 almost everywhere. But the averages of h over any set of
positive [[-measure have modulus at most one so that [h[ 1 almost everywhere.
In the general situation we have hd[[ = gd. Since hg must be positive we get [g[ =
hg = g/h.
CHAPTER 6
Dierentiation
In this chapter we study functions dened on R or, rather, on a compact interval [a, b]
R. Throughout m denotes Lebesgue measure on R. Outer measure refers to the extension
of lengths of intervals to subsets of the real line as discussed in 1.2.2.
6.1. Functions of bounded variation and absolute continuity
6.1.1 Variation. If f is a complex-valued function on an interval [a, b] the number
V (f, [a, b]) = sup
_
_
_
k
j=1
[f(x
j
) f(x
j1
)[ : a = x
0
< x
1
< ... < x
n
= b
_
_
_
is called the variation of f on [a, b]. The function f is said to be of bounded variation on
[a, b] if V (f, [a, b]) is nite.
If f is of bounded variation on [a, b], then it is of bounded variation on every subinterval
of [a, b]. Moreover, V (f, [a, b]) = V (f, [a, c]) +V (f, [c, b]) if c [a, b].
Exercise:
(1) Show that V (f, [a, b]) = [f(b) f(a)[ if f is monotone.
(2) Show that the characteristic function of Q on [0, 1] is not of bounded variation.
6.1.2 Bounded variation and monotonicity. If f is real-valued and of bounded vari-
ation on [a, b] then there are non-decreasing functions g and h such that f = g h. For
instance, one may choose g(x) = V (f, [a, x]).
6.1.3 Vitali covers. A collection J of intervals of positive length is called a Vitali cover
of a set E R if, for each x E and each positive , there is an I J such that x I and
m(I) < .
6.1.4 The Vitali covering lemma. Let E be a subset of R of nite outer measure and
J a Vitali cover of E. For each positive there is a set I
1
, ..., I
n
J whose elements are
pairwise disjoint and such that the outer measure of E
n
j=1
I
j
is less than .
Sketch of proof. It is no problem to assume that all elements of J are closed and
that there is an open set V of nite measure containing each element of J. Construct a
possibly nite sequence of pairwise disjoint intervals k I
k
J such that m(I
k+1
)
k
/2
where
0
= supm(I) : I J and
k
= supm(I) : I J, I (I
1
... I
k
) = when
k 1. When this sequence is nite the proof is nished. Otherwise there is an n N
such that
k=n+1
m(I
k
) < /5 and lim
k
k
= 0. Now prove that the outer measure of
R = E
n
k=1
I
k
is less than by showing that each x R lies in some interval K J
which is contained in an interval J sharing the midpoint with I
k
for some appropriate k > n
but having ve times the length of I
k
.
33
34 6. DIFFERENTIATION
6.1.5 Derivates. Given a real-valued function f the derivates of f at x are dened by
(D
f)(x) = limsup
h0
f(x h) f(x)
h
and
(D
f)(x) = liminf
h0
f(x h) f(x)
h
as elements of the extended real line.
If these four numbers are nite and equal to each other f is called dierentiable at x.
The common value of the derivates is called the derivative of f at x and is denoted by f
(x).
A complex-valued function f is called dierentiable at x if both its real part and its
imaginary part is dierentiable at x. In this case we set, of course, f
(x) = (Re f)
(x) +
i(Imf)
(x).
6.1.6 Dierentiability of non-decreasing functions. If f is non-decreasing on [a, b]
then it is dierentiable almost everywhere, f
is nonnegative and integrable, and

_
[a,b]
f
dm
f(b) f(a).
Sketch of proof. First prove that the derivates are nite almost everywhere: Note
that 0 (D
+
f)(x) (D
+
f)(x) and let A be the set of those x where (D
+
f)(x) is innite.
Assume m
(A) > 0. If x A there is a sequence n h

n
(x) > 0 converging to zero such that
(f(x+h
n
(x))f(x))/h
n
(x) 2(f(b)f(a))/m
(A). The set [x, x+h

n
(x)] : n N, x A
is a Vitali cover of A. The Vitali covering lemma and the monotonicity assumption provide
then a contradiction to the assumption m
(A) > 0.
Next show that any two of the four derivates are equal almost everywhere: To this
end let, for instance, A = x : (D
f)(x) < (D
+
f)(x) and assume again that m
(A) > 0.
Note that then there will be rational numbers p and q such that the outer measure of
B = x A : (D
f)(x) < p < q < (D

+
f)(x) is positive. Let V be an open set containing
B such that m
(V B) < for some arbitrarily small . With the aid of the Vitali
covering lemma one may construct a collection of pairwise disjoint intervals [x
j
, y
j
] : 1
j n such that [x
j
, y
j
] V , the outer measure of B
n
j=1
[x
j
, y
j
] is less than , and
n
j=1
(f(y
j
) f(x
j
)) < pm(V ). Now let C = B ((x
1
, y
1
) ... (x
n
, y
n
)) whose outer
measure is at least m
(B) . Applying the Vitali covering lemma again one constructs

a collection of pairwise disjoint intervals [u
j
, v
j
] : 1 j m such that each [u
j
, v
j
] is
contained in one of the (x
k
, y
k
), the outer measure of C
n
j=1
[u
j
, v
j
] is less than , and
n
j=1
(f(v
j
) f(u
j
)) > q(m
(B) 2). This leads to a contradiction.

For the last part let N be any positive integer and dene g
n
(x) = n(f(x+1/n)f(x)) for
n > N. The sequence n g
n
converges almost everywhere so the limit is measurable. Since
g
n
0 one may apply Fatous lemma to
_
b1/N
a
f
dm to arrive at the desired inequality.

The need to shift variables needs to be justied.
6.1.7 Absolute continuity. A complex-valued function on [a, b] is called absolutely contin-
uous on [a, b] if, for every positive , there is a positive such that
n
j=1
[f(b
j
) f(a
j
)[ <
whenever (a
j
, b
j
) : 1 j n is a collection of pairwise disjoint subintervals of [a, b] such
that
n
j=1
(b
j
a
j
) < .
If f is absolutely continuous on [a, b] then it is uniformly continuous and of bounded
variation there.
Absolutely continuous functions on closed intervals are dierentiable almost everywhere.
6.2. THE FUNDAMENTAL THEOREM OF CALCULUS 35
The set of functions which are absolutely continuous on [a, b] form a complex vector
space an algebra. In fact, since the product of two absolutely continuous functions is again
absolutely continuous they form an algebra over C.
6.1.8 Singular functions. Suppose that the function f dened on [a, b] satises f
(x) = 0
for almost all x [a, b]. Then f is called a singular function. A nontrivial example of such a
function is the Cantor function, also called the devils staircase. The Cantor function maps
[0, 1] onto [0, 1], it is non-decreasing and continuous but not absolutely continuous as the
following theorem shows. The measure of the Cantor set is zero. However, the image of the
Cantor set under the Cantor function is [0, 1] and thus has positive measure.
Theorem. If f is an absolutely continuous and singular function on [a, b], then f is
constant.
Compare this with 5.1.8.
Sketch of proof. Let c (a, b], E = x (a, c) : f
(x) = 0, and > 0. Then the

collection of intervals [x, y] for which x E, x < y < c, and [f(y) f(x)[ < (y x) is a
Vitali cover of E. This and the absolute continuity of f show that [f(c) f(a)[ (c a).
Since is arbitrary, it follows that f(c) = f(a).
6.2. The fundamental theorem of calculus
6.2.1 Indenite integrals of integrable functions. Suppose f L
1
([a, b]) and dene
F(x) =
_
[a,x]
fdm. Then F is absolutely continuous on [a, b] and F
= f almost everywhere.
Sketch of proof. Without loss of generality assume f 0. Approximation of f
by simple functions shows that F is absolutely continuous and hence dierentiable almost
everywhere.
Assume that f is bounded and dene f
n
(x) = n(F(x+1/n) F(x)). The boundedness
of f allows to conclude that
_
[a,c]
(F
f)dm = 0 for all c [a, b). From this it follows that

F
In the general case, let h
n
(x) = minf(x), n and H
n
(x) =
_
[a,x]
(f h
n
)dm. Then
H
n
0 almost everywhere and F
(x) h
n
(x) almost everywhere regardless of n so that
F
f almost everywhere. Hence 0

_
[a,b]
(F
f)dm F(b) F(a)

_
[a,b]
fdm = 0
implying F
6.2.2 The fundamental theorem of calculus. Let f be a measurable function dened
on [a, b]. Then f is absolutely continuous on [a, b] if and only if f is dierentiable almost
everywhere in [a, b], f
L
1
([a, b]) and
f(x) f(a) =
_
[a,x]
f
dm.
Sketch of proof. One direction was proved in 6.2.1. For the other direction show
that f
is integrable and dene g(x) =

_
[a,x]
f
dm. Then f g is absolutely continuous on

[a, b] and its derivative is zero almost everywhere.
6.2.3 Absolutely continuous functions and absolutely continuous measures. Let
f be a continuous, real-valued function of bounded variation dened on [a, b]. Then f is
absolutely continuous on [a, b] if and only if it maps sets of measure zero to sets of measure
zero. In other words, f is absolutely continuous on [a, b] if and only if f
dm generates an
absolutely continuous measure.
Sketch of proof. First assume that f is absolutely continuous. Let E be a set of
measure zero and let > 0 be given. For this there is a positive with the properties
given by the absolute continuity of f. Then there is an open set V of measure less than
containing E a, b. The measure of f(V ) will be less than .
For the converse assume rst that f is strictly increasing. Let E be measurable and F
an F
-set contained in E of the same measure. This allows to show that f(E) is Lebesgue
measurable. The measure E m(f(E)) is a positive, bounded measure which is absolutely
continuous with respect to m. If E = [a, x], then, by the Radon-Nikodym theorem, f(x)
f(a) = m(f(E)) =
_
[a,x]
wdm for some function w L
1
([a, b]). Thus f is absolutely
continuous.
The theorem would be proved if g : x x +V (f, [a, x]) and h = g f would also map
sets of measure to sets measure zero.
A dierent complete proof is in Hewitt and Stromberg, Section (18.25).
Exercise: Suppose that f : [a, b] [, ] and g : [, ] R are absolutely continuous.
Show that f g is absolutely continuous if and only if it is of bounded variation.
6.3. Lebesgue-Stieltjes Measures
6.3.1 Left- and right-continuity. For a non-decreasing function F : R R we dene,
for every x R, the right- and left-hand limits of F at x, namely, F
+
(x) = lim
tx
F(t)
and F
(x) = lim
tx
F(t). We also dene F() = lim
x
F(x) and F() =
lim
x
F(x) .
F is called left-continuous (or right-continuous) at x if F(x) = F
(x) (or F(x) = F

+
(x)).
Of course, F is both left- and right-continuous at x if and only if F is continuous at x.
6.3.2 Jump discontinuities. If f is a real-valued function on R and x is a point in R for
which left- and right-hand limits exist but are dierent from each other, then x is called a
jump discontinuity or a discontinuity of the rst kind of f.
A non-decreasing function has at most countably many discontinuities. Each of these
is a jump discontinuity.
6.3.3 Jump functions. Let X R be countable and h a function on X with val-
ues in (0, ) such that
xX
h(x) < . Dene f(x) =
tX(,x)
h(t) and g(x) =
tX(,x]
h(t). Then f and g are called jump functions. They are non-decreasing. Also,
f is left-continuous and g is right-continuous.
Theorem. Suppose f : R R is non-decreasing. Then f = g + j
+ j
r
where g, j
,
and j
r
are non-decreasing, g is continuous, j
is left-continuous, and j
r
is right-continuous.
If f is left-continuous then j
r
may be chosen to be zero.
Sketch of proof. Let X be the set of discontinuities of f. Dene h
(x) = f
+
(x)
f(x), j
tX[a,x)
h
(t), h
r
(x) = f(x) f
(x), and j
r
=
tX[a,x]
h
r
(t).
6.3.4 Distribution functions. A function F : R R which is non-decreasing and left-
continuous is called a cumulative distribution function (cdf) or distribution function for
short.
The following theorem is known as the Lebesgue decomposition theorem. Compare with
5.2.3.
6.3. LEBESGUE-STIELTJES MEASURES 37
Theorem. If F is a distribution function then there is a locally absolutely continuous
function A, a singular function S, and a jump function D which are distribution functions
themselves so that F = A+S +D.
6.3.5 Positive Lebesgue-Stieltjes measures. A Borel measure on R which assumes
nite values on compact sets is called a Lebesgue-Stieltjes measure.
Let be a positive Lebesgue-Stieltjes measure and dene
F(x) =
_
_
([0, x)) if x > 0,
0 if x = 0,
([x, 0)) if x < 0
(10)
where the normalization F(0) = 0 is, of course, arbitrary. Then F is a distribution function.
The converse is also true.
Theorem. There is a one-to-one correspondence between positive Lebesgue-Stieltjes
measures and distribution functions modulo additive constants.
The Lebesgue-Stieltjes measure associated with F is denoted by
F
. Its domain is
denoted by /
F
.
Sketch of proof. Given a Lebesgue-Stieltjes measure it is straight forward to check
that F dened by (10) is a distribution function. Given a distribution function we dene a
complete positive measure
F
on a -algebra /
F
as in 1.2.7. The -algebra /
F
contains
the Borel -algebra and
F
is a regular measure (see 1.2.5 and 1.3.2).
6.3.6 Examples. The following basic examples are instructive.
(1) If F is the identity, then the associate Lebesgue-Stieltjes measure is Lebesgue
measure.
(2) If F =
(x0,)
, then the associate Lebesgue-Stieltjes measure is the Dirac measure
concentrated on x
0
.
(3) If F is a jump function, then the associate Lebesgue-Stieltjes measure is a com-
bination of Dirac measures. More precisely, if X is the set of discontinuities of F
and h(x) is the jump at x, then the measure is
F
(A) =
xXA
h(x) for any set
A R.
6.3.7 Discrete and continuous measures. A measure on R is called discrete, if it
is concentrated on a countable (or nite) set. It is called continuous, if (x) = 0 for all
x R.
A distribution function F is continuous if and only if the associate Lebesgue-Stieltjes
measure
F
is continuous. A distribution function F is a jump function if and only if
F
is
discrete.
6.3.8 Absolutely continuous functions and absolutely continuous measures. If
the distribution function F is locally absolutely continuous, then the associate Lebesgue-
Stieltjes measure
F
is given by
F
(E) =
_
E
F
dm. In particular,
F
m. Conversely, if
is a Lebesgue-Stieltjes measure such that m, then the associated distribution function
is locally absolutely continuous.
6.3.9 Singular functions and singular measures. The distribution function F is sin-
gular if and only if the associate Lebesgue-Stieltjes measure
F
is concentrated on a set of
Lebesgue measure zero.
Sketch of proof. First assume
F
m and choose some interval [a, b]. Dene
G(x) =
_
[a,x)
F
dm. Then
G
m and
G
(A)
F
(A) for all intervals A. Since
G
is regular we have
G
(A)
F
(A) for all Borel sets. Hence there is a positive measure
such that
G
+ =
F
. Uniqueness of Lebesgue decompositions shows that the absolutely
continuous part of
F
is 0 =
G
+
a
. Thus
G
= 0 and G
= F
= 0 almost everywhere on
[a, b].
Next assume F
= 0 almost everywhere. Let

a
+
s
be the Lebesgue decomposition of
F
. Dene G(x) =
a
([a, x)) =
_
[a,x)
G
dm and H(x) =
s
([a, x)). Then F = G + H and,
almost everywhere, F
= G
+H
. Since G
and H
are non-negative we have G
= 0 almost
everywhere so that
a
= 0 on all intervals and, because of regularity, everywhere.
6.3.10 Lebesgue-Stieltjes integrals. If
F
is a Lebesgue-Stieltjes measure we can, of
course, consider integrals
_
fd
F
for /
F
-measurable functions f.
If F is locally absolutely continuous then
_
fd
F
=
_
fF
dm.
If F is a jump function with jumps h(x) at points x X, then
_
fd
F
=
xX
f(x)h(x).
6.3.11 Remarks. One may introduce Lebesgue-Stieltjes measures for bounded intervals
[a, b] or semi-bounded intervals [a, ). In this case one typically chooses the normalization
F(a) = 0. One may also introduce measures on open intervals (a, b) in which case one can
allow for F to be unbounded near either of the endpoints. For example one may choose
F(x) = tan(x) for x (/2, /2).
The condition of left-continuity for distribution functions is only made for normalization
purposes only. If F is any non-decreasing function one may dene through the left-
continuous function F
.
6.3.12 Complex Lebesgue-Stieltjes measures. Let F : [a, b] C be of bounded
variation. Then, almost everywhere, F = G
1
G
2
+ i(H
1
H
2
) where G
1
, ..., H
2
are
non-decreasing and left-continuous. Thus, we have four nite, positive measures
1
, ...,
2
,
respectively associated with G
1
, ..., H
2
, dened on [a, b]. now dene =
1
2
+i(
1
2
).
Then is a Lebesgue-Stieltjes measure on [a, b].
6.3.13 Hellys convergence theorem. Suppose n F
n
is a sequence of functions of
uniformly bounded variation on [a, b] converging everywhere to F. Then F is also of bounded
variation on [a, b], and
lim
n
_
[a,b]
fd
Fn
=
_
[a,b]
fd
F
for any continuous function f : [a, b] C.
Sketch of proof. First one shows that F is of bounded variation. The conclusion of
the theorem holds when f is a step function for which all steps occur at points of continuity
for F and all F
n
. Since f is uniformly continuous it can be approximated in the sup-norm
by step functions with the required properties.
6.3.14 Hellys selection theorem. Let n F
n
be a sequence of functions on [a, b] which
are uniformly bounded and of uniformly bounded variation. Then there is a subsequence
6.4. NEVANLINNA FUNCTIONS 39
k F
n(k)
which converges everywhere on [a, b] to a function G. If all F
n
are non-decreasing
then G will be non-decreasing.
Sketch of proof. It is sucient to assume that all F
n
are non-decreasing. Dene
Q = Q [a, b] = q
n
: n N. Then one shows that there exist numbers
, N, such
that for all k N there is a sequence n F
(k)
n
for which lim
n
F
(k)
n
(q
) =
as long
as k. Next let G
n
= F
(n)
n
and dene G on Q by G(q
k
) = lim
n
G
n
(q
k
) =
k
and
elsewhere on [a, b] by
G(x) = supG(q) : q Q, q x.
Then G is non-decreasing and the set X of its discontinuities is countable. Away from X
the sequence n G
n
converges to G pointwise. One may now choose, by induction,
subsequences of n G
n
which also converges in every point of X.
6.3.15 Transformation of distribution functions. Suppose that F : [c, d] R is a
distribution function and right- and left-continuous, respectively, at the endpoints. Further-
more, suppose that : (a, b) (c, d) is surjective, continuous, and strictly increasing. Let
G = F , G(a) = lim
xa
F((x)), and G(b) = lim
xa
F((x)). Then G is a distribution
function. Moreover, if f L
1
(
F
), then f L
1
(
G
) and
_
(a,b)
f d
G
=
_
(c,d)
fd
F
.
Here a and c may be while b and d may be +.
6.4. Nevanlinna functions
6.4.1 Harmonic functions. Let G be a region (i.e., an open, connected set) in R
2
. If
f : G R is twice continuously dierentiable and f = 0, then f is called an harmonic
function. Suppose u is an harmonic function. v is called the harmonic conjugate of u, if it
harmonic and if the pair (u, v) satises the Cauchy-Riemann equations
u
x
=
v
y
and
u
y
=
v
x
.
Theorem. f is analytic in a region G if and only if Imf is the harmonic conjugate of
Re f.
In the statement of this theorem C and R
2
were identied.
6.4.2 Poissons integral formula. Suppose G is a region containing a disk [z z
0
[ R,
if u is harmonic in G, and if r < R, then
u(z
0
+re
it
) =
1
2
_

u(z
0
+Re
is
)
R
2
r
2
R
2
2rRcos(t s) +r
2
ds.
This is an immediate consequence of Cauchys integral formula.
6.4.3 The mean-value property. As a direct consequence of Cauchys integral formula
harmonic functions satisfy the mean-value property, i.e.,
u(a) =
1
2
_

u(a +re
it
)dt.
6.4.4 The Riesz-Herglotz theorem. Suppose G is analytic in the unit disk with a
nonnegative real part.Then there exist a non-decreasing function on [, ] such that
G(z) = i ImG(0) +
1
2
_

e
is
+z
e
is
z
d
(s).
Sketch of proof. Since the real part of (Re
is
+re
it
)/(Re
is
re
it
) equals the Poisson
kernel (R
2
r
2
)/(R
2
2rRcos(t s) +r
2
) we get
u(r, t) = Re
_
1
2
_

Re
is
+re
it
Re
is
re
it
u(R, s)ds
_
if u(r, t) denotes the quantity Re G(re
it
). Dene
H(z) = i ImG(0) +
1
2
_

Re
is
+z
Re
is
z
u(R, s)ds.
Then H is analytic in the disk [z[ < R and Re(G H) = 0. According to the Cauchy-
Riemann equations GH must be a purely imaginary constant so that G = H. Thus
G(Rz) = i ImG(0) +
1
2
_

e
is
+z
e
is
z
d
R
(s).
where
R
(s) =
_
s
u(R, t)dt is a non-decreasing function on [, ]. By the mean-value

property the variation of
R
is bounded by 2 Re G(0), regardless of R. The claim follows
now from Hellys theorems.
6.4.5 Nevanlinna functions. A function F dened in the upper half of the complex
plane is called a Nevanlinna or Herglotz function, if it is analytic on its domain and if
Im(F())/ Im() 0.
Theorem. If F is a Nevanlinna function then there is a unique left-continuous, increas-
ing function with (0) = 0 and
_
(t)/(1+t
2
) < , and unique constants R and
0 such that
F() = + +
_
R
_
1
t

t
1 +t
2
_
d
(t) (11)
where the integral is absolutely convergent. Conversely, any function given this way is a
Nevanlinna function.
Sketch of proof. First note that [1/(t ) t/(1 + t
2
)[ C()/(1 + t
2
) for some
positive number C() so that the integral is well-dened.
If F is given by (11) the dominated convergence theorem shows that F is analytic in
the upper half plane.
Now assume that F is Nevanlinna. The Mobius transformation z = (1 + i)/(1 i)
maps the upper half plane to the interior of the unit circle. The function G dened by
G(z) = iF() has nonnegative real part. Thus, by the Riesz-Herglotz theorem, there is a
non-decreasing function : [, ] R such that
F() = Re F(i) +
1
2
_
[,]
1 +tan(s/2)
tan(s/2)
d
(s).
If has jumps at or we obtain contributions proportional to so that, for appropriate
> 0,
F() = Re F(i) + +
1
2
_
(,)
1 +tan(s/2)
tan(s/2)
d
(s).
6.4. NEVANLINNA FUNCTIONS 41
Setting t = tan(s/2) and (t) = (s)/(2) we get from 6.3.15 that
F() = Re F(i) + +
_
(,)
1 +t
t
d
(t).
Now let (t) =
_
t
0
(1 + s
2
)d
(s). Uniqueness follows from Stieltjes inversion formula, see

6.4.6.
6.4.6 Stieltjes inversion formula. If : R C is locally of bounded variation then
there are non-decreasing functions
1
, ...,
4
such that =
1
2
+i(
3
4
). Suppose that
_
d
k
(t)/(t
2
+ 1) < for k = 1, ..., 4 and that
F() = + +
_
R
(
1
t

t
t
2
+ 1
)d
(t).
If x < y are points of continuity of , then
(y) (x) = lim
0
1
2i
_
y
x
(F(s + i) F(s i))ds = lim
0
1
_
y
x
_
R
d
(t)
(t s)
2
+
2
ds.
CHAPTER 7
The Spectral Theorem
7.1. Operators and resolvents
7.1.1 Bounded linear operators. Let H be a Hilbert space with scalar product , .
A linear map A : H H is called a bounded linear operator in H, if there is a constant C
such that |Ax| C|x| for any x H. The inmum over all such constants C is called the
norm of A and is denoted by |A|. The set of all bounded linear operators in H is a Banach
space normed by | |.
7.1.2 Adjoints. Let A be a bounded linear operator in a Hilbert space H and y an element
of H. Then x Ax, y is a bounded linear functional. Hence there is a unique y
H
(depending on A and y) such that Ax, y = x, y
for all x H. The map y y
is
linear. It is called the adjoint of A and denoted by A
. A
is a bounded linear operator, in

fact |A
| = |A|.
Exercise:
(1) Compute the adjoint of a map A : C
2
C
2
.
(2) Compute the adjoint of the left shift operator S :
2
(N)
2
(N) dened by
(Sx)(n) = x(n + 1).
A bounded linear operator is called self-adjoint if A = A
.
7.1.3 Spectrum and resolvent set. Suppose T is a bounded linear operator in a Hilbert
space H. The set
(T) = C : T : H H is bijective, (T )
1
is bounded
is called the resolvent set of T. Its complement is called the spectrum of T and is denoted
by (T).
The map R
(T) = (T )
1
, dened on (T) is called the resolvent of T.
The resolvent set (T) is an open set. The map R
(T) is analytic in the uniform

operator topology, i.e., for any (T) there exist bounded operators A
k
, k N
0
such
that
R
(T) =
k=0
A
k
( )
k
for all in the disk [[ < 1/|R
(T)|. Here the series is to be understood in the following

way:
lim
n
|R
(T)
n
k=0
A
k
( )
k
| = 0.
In fact, one nds that A
k
= R
(T)
k+1
.
Exercise:
(1) Compute the resolvent set and the resolvent of a map A : C
2
C
2
.
(2) Suppose |T| < 1. Show that I T is invertible.
43
44 7. THE SPECTRAL THEOREM
(3) Compute the resolvent set and the resolvent of the left shift operator dened in
Exercise 7.1.2.
7.1.4 The resolvent of a self-adjoint operator. Suppose T is a bounded self-adjoint
operator in the Hilbert space H. Then the following statements are true.
(1) If , R, then |R
| 1/[ Im()[. In particular, (T) R.

(2) (R
= R
.
(3) R
= ( )R
if , (T). This is called the rst resolvent identity

or Hilberts identity.
(4) Suppose u H. The function R
u, u is a Nevanlinna function for in the

upper half plane.
Sketch of proof. We only show (4). Note that
2i Im(R
u, u) = R
u, u u, R
u = 2i Im()R
u, u = 2i Im()|R
u|
2
.
7.1.5 Measure representation of R
f, g. Suppose R
is the resolvent of a bounded

self-adjoint operator. Then there is a map which assigns to any pair (f, g) H
2
a unique
complex Lebesgue-Stieltjes measure
f,g
with the following properties:
(1) R
f, g =
_
R
1
t
d
f,g
(t).
(2) The map (f, g)
f,g
is hermitian, i.e.,
f1+f2,g
=
f1,g
+
f2,g
and
f,g
=
g,f
.
(3) If is a Borel set, then (f, g)
f,g
() is bounded in the sense that [
f,g
()[
[
f,g
[() |f||g|.
(4)
f,g
(R) = f, g for all f, g H.
Sketch of proof. Uniqueness follows from Stieltjes inversion formula 6.4.6.
By (4) of 7.1.4
R
f, f = + +
_
R
_
1
t

t
t
2
+ 1
_
d
f,f
(t).
Since, for > 0, [R
i
f, f[ |f|
2
by (1) of 7.1.4, one nds that = 0 and, using
monotone convergence, that
f,f
(R) |f|
2
. Hence
R
f, f =
+
_
R
1
t
d
f,f
(t).
Dominated convergence shows
= 0. This shows (1) if f = g.

Dening
f,g
=
1
4
3
k=0
i
k
f+i
k
g,f+i
k
,g
, it is clear that (1) follows since R
f, g =
1
4
3
k=0
i
k
R
(f +i
k
g), f +i
k
g. The proof of (2) is similar.
The proof of (3) is a repetition of the proof of Cauchys inequality.
For (4) let v = Tf and take the scalar product of f = R
i
(v if) with g, when
tends to innity.
Exercise: Let a be a real number, H = C, and T : x ax. Show that T is self-adjoint,
that R
x, x is Nevanlinna for every x H, and nd a left-continuous function

x,y
such
that R
x, y =
_
R
1
t
d
x,y
(t) for all x, y H.
7.3. THE SPECTRAL THEOREM 45
7.2. Projection-valued measures
7.2.1 Projection operators. If M is a closed subset of H then there exists for each
x H a unique decomposition x = y + z where y M and z M
. The mapping
P : H M, x Px = y is a surjective linear operator which is called the orthogonal
projection onto M.
P is an orthogonal projection if and only if P
2
= P = P
.
P is an orthogonal projection if and only if I P is an orthogonal projection.
If P is an orthogonal projection then P(H) = ker(I P) = ker(P)
.
For every orthogonal projection P the relation 0 P I, i.e., 0 Px, x x, x
holds.
7.2.2 Resolutions of the identity I. Suppose H is a Hilbert space and (R, /) a mea-
surable space and / includes the Borel sets. A map E : / B(H) is called a resolution
of the identity if it has the following properties:
(1) E() = E()
2
= E()
.
(2) E() = 0 and E(R) = I.
(3) E(
) = E()E(
).
(4) If
= , then E(
) = E() +E(
).
(5) E
f,g
() = E()f, g is a regular complex Borel measure for any f, g H.
7.2.3 Basic properties of resolutions of the identity. The following statements hold:
(1) E
f,f
is a nite positive measure of total variation |f|
2
.
(2) The projections E() are commutative.
(3) The map E() is not countably additive.
(4) The map E()f is an H-valued measure for any f H, i.e., it is countably
additive.
7.2.4 Resolutions of the identity II. Let E be a resolution of the identity. Dene for
each t R
P(t) = P
(t) = E((, t)), E

+
(t) = ((, t]).
The following properties are satised:
(1) If s t, then P(s) P(t), i.e., P(s)x, x P(t)x, x or, equivalently, P(s)P(t) =
P(t)P(s) = P(s).
(2) P(t +) converges strongly to P
+
(t) when 0 < tends to zero.
(3) P(t ) converges strongly to P(t) = P
(t) when 0 < tends to zero.

(4) P(t) converges strongly to the identity or the zero operator when t tends to plus
or minus innity, respectively.
The family P(t) : t R is also called a resolution of the identity.
7.3. The spectral theorem
7.3.1 The spectral theorem. Suppose T is a bounded self-adjoint operator in the Hilbert
space H. Then there exists a unique resolution of the identity E dened on the Borel sets
of R such that
Tf, g =
_
R
tdE
f,g
for all f, g H and for which E() commutes with T for every Borel set.
46 7. THE SPECTRAL THEOREM
Sketch of proof. We shall rst prove uniqueness and thus assume the existence of a
resolution of the identity. Let w, v be two arbitrary elements of H and consider the measure
E
Tw,v
. Recall that E
f,g
= E()f, g. We have
_
dE()Tw, v = E
Tw,v
() = E()Tw, v = TE()w, v
=
_
tdE()E()w, v +
_
c
tdE()E()w, v.
In the rst integral on the right hand side we have E()E() = E() while E()E() = 0 in
the second integral by property (3) of resolutions of the identity (cf. 7.2.2). Hence
_
dE()Tw, v =
_
tdE()w, v
which implies that
_
h(t)dE()Tw, v =
_
th(t)dE()w, v
for every Borel set and every Borel function h. In particular, for = R, C R,
u = (T )w, and h = 1/(t ) we get
_
R
dE()u, v
t
=
_
R
d(E()Tw, v E()w, v
t
=
_
R
tdE()w, v
t

dE()w, v
t
=
_
R
dE()w, v = w, v = R
u, v
However, it was shown in 7.1.5 that the measure
u,v
= E()u, v representing R
u, v is
unique. Since this is true for all u and v in H the projection E() is uniquely determined
for every Borel set . This establishes uniqueness of E.
We now turn to existence of E. Let
f,g
be the Lebesgue-Stieltjes measure associated
with R
f, g as in 7.1.5. Fix a Borel set and g H. By (3) of 7.1.5 the map f

f,g
()
is a bounded linear functional L. Hence there exists a unique element g
H such that
f,g
() = f, g
and |L| = |g
| |g|. The map g g
is linear, i.e., there exists an

operator E() such that g
= E()g and |E()| 1. Hence

f, E()g =
f,g
() =
_
R
d
f,g
.
Since
f,g
=
g,f
it follows that E() is self-adjoint.
By property (4) of 7.1.5 we have f, g =
f,g
(R) = f, E(R)g for all f, g H. This
shows that E(R) is the identity operator. Similarly, 0 =
f,g
() = f, E()g shows that
E() = 0.
Next note that
_
R
d
f,g
=
f,g
() = f, E()g =
f,E()g
(R) =
_
R
d
f,E()g
.
Hence
d
f,g
= d
f,E()g
and
d
f,g
=
d
f,g
= d
f,E()E(
)g
so that
f, E(
)g =
f,g
(
) =
f,E()E(
)g
(R) = f, E()E(
)g.
Since this is true for all f, g H and, particularly, for =
we have now shown (1), (2),

and (3) of 7.2.2. (4) follows similarly since the
f,g
are measures. (5) is trivially satised
since E
f,g
=
f,g
. Thus E is a resolution of the identity.
7.3. THE SPECTRAL THEOREM 47
If v = Tf then R
v = f +R
f and
_
R
d
v,g
t
=
_
R
d
f,g
+
_
R
d
f,g
t
=
_
R
t
t
d
f,g
.
By Stieltjes inversion formula
v,g
() =
_
td
f,g
. Set = R and recall that Tf, g =
v,g
(R) to prove T =
_
tdE. The last claim follows from
TE()f, g =
_
R
tdE()E()f, g =
_
R
tdE()f, E()g = Tf, E()g = E()Tf, g.
Exercise: Find the resolution of the identity for T : C

1
C
1
: x ax where a R (cf.
Exercise 7.1.5).
7.3.2 Spectral information. The resolution of the identity associated with a bounded
self-adjoint operator T : H H is also called the spectral decomposition of T. The following
statements provide insight into the relationship between the spectral decomposition and the
spectrum of T.
(1) A real number is an eigenvalue of T if and only if E() ,= 0.
(2) A real number is in the resolvent set of T if and only there is a neighborhood
of such that E() = 0.
(3) E is supported on (T), i.e., E() = E( (T)) for all Borel sets .
7.3.3 The functional calculus. Let E be a resolution of the identity in a Hilbert space
H supported on a compact set R and F a bounded, real-valued, measurable function
on . Dene the operator (F) : H H by
(F)x, y =
_
R
F(t)dE
x,y
(t) =
_
R
F(t)dE()x, y(t).
Then (F) is a bounded self-adjoint operator. In fact, |(F)| = |F|
. The process of
assigning an operator to a real-valued function is called the functional calculus.
If E is the resolution of the identity associated with a self-adjoint operator T, and
F(t) = t, then, according to the spectral theorem (F) = T. More generally, if F is a
polynomial function one can show that (F) = F(T). Therefore it is customary, to write
F(T) for (F) in general. For instance, if (T) [0, ) the functional calculus provides a
denition for
T.
List of Symbols
2
X
: the power set, i.e., the set of all subsets, of X. 3
49
Index
-additive, 4
-algebra, 3
Borel, 3
Lebesgue, 6
-compact, 20
-nite, 4
-subadditive, 4
absolutely continuity
of a measure, 28
absolutely continuous, 34
adjoint, 43
average, 14
Banach space, 19
bounded linear operator, 43
bounded variation, 33
complete metric space, 19
concentrated, 28
conjugate exponents, 17
convex, 17
convolution, 25
countably additive, 4
cumulative distribution function, 36
derivates, 34
derivative, 34
dierentiable, 34
discontinuity
jump, 36
of the rst kind, 36
distribution function, 36
dual space, 28
elementary set, 23
essential supremum, 18
event, 4
rst resolvent identity, 44
functional calculus, 47
Holders inequality, 17, 18
Hausdor space, 20
Hilbert space, 19
Hilberts identity, 44
inner product, 19
inner product space, 19
Jensens inequality, 17
Jordan decomposition, 28
jump discontinuity, 36
jump function, 36
Lebesgue decomposition, 29
left-continuous, 36
length, 5
linear functional, 28
locally compact, 20
lower Riemann sum, 14
Lusins theorem, 20
measurable
Borel, 8
function, 8
Lebesgue, 6
set, 3
space, 3
measure
Borel, 7
complete, 4
complex, 4
continuous, 37
counting, 4
Dirac, 4
discrete, 37
Lebesgue-Stieltjes, 37
outer, 4
positive, 4
probability, 4
unit mass, 4
measure space, 4
metric, 19
metric space, 19
Minkowskis inequality, 18
monotone, 4
monotone class, 23
mutually singular, 28
51
52 INDEX
norm, 19
normed vector space, 19
orthogonal projection, 45
partition, 14, 27
Radon-Nikodym derivative, 30
rectangle
measurable, 23
renement, 14
common, 14
regular, 7
inner, 7
outer, 7
resolution of the identity, 45
resolvent, 43
resolvent set, 43
Riemann integrable, 15
Riemann integral, 15
right-continuous, 36
section of a function, 23
section of a set, 23
set
Borel, 3
singular function, 35
spectral decomposition, 47
spectrum, 43
subadditive
countably, 4
support of a function, 20
total variation
of a complex measure, 27
upper Riemann sum, 14
Urysohns lemma, 20
variation
of a function, 33
Vitali cover, 33

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REAL ANALYSIS

Lecture notes for MA 645/646

sets (countable unions of closed sets) and all G

is called countably subadditive (or -subadditive) if

and the fact that

to ( is a complete positive measure.

is an extension of length. We need to show that

([a, b)) = ba. It is obvious

([a, b)) b a and we assume, by way of contradiction, that

for = 2, ..., L and c

to /(R) is a complete positive measure. It is called Lebesgue

= minf, 0, the positive and negative parts of f, and

of to some larger -algebra. This extension is explicitly given by

. P Q is called the common renement

is a renement of the partition P then

. If this is nite f is called essentially bounded.

. The union of all these sets,

is not complete but its completion is m

are dened only almost everywhere. All conclusions of Fubinis

is nonnegative and integrable, and

(A) > 0. If x A there is a sequence n h

(A). The set [x, x+h

f)(x) < p < q < (D

(B) . Applying the Vitali covering lemma again one constructs

(B) 2). This leads to a contradiction.

dm to arrive at the desired inequality.

(x) = 0, and > 0. Then the

f)dm = 0 for all c [a, b). From this it follows that

f almost everywhere. Hence 0

f)dm F(b) F(a)

is integrable and dene g(x) =

dm. Then f g is absolutely continuous on

(x) (or F(x) = F

= 0 almost everywhere. Let

are non-negative we have G

u(R, t)dt is a non-decreasing function on [, ]. By the mean-value

(s). Uniqueness follows from Stieltjes inversion formula, see

for all x H. The map y y

is a bounded linear operator, in

(T) is analytic in the uniform

(T)|. Here the series is to be understood in the following

| 1/[ Im()[. In particular, (T) R.

if , (T). This is called the rst resolvent identity

u, u is a Nevanlinna function for in the

7.1.5 Measure representation of R

is the resolvent of a bounded

= 0. This shows (1) if f = g.

x, x is Nevanlinna for every x H, and nd a left-continuous function

(t) = E((, t)), E

(t) when 0 < tends to zero.

f, g as in 7.1.5. Fix a Borel set and g H. By (3) of 7.1.5 the map f

| |g|. The map g g

is linear, i.e., there exists an

= E()g and |E()| 1. Hence

we have now shown (1), (2),

Exercise: Find the resolution of the identity for T : C

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