and
Integral
Jaroslav Luke
Jan Mal
matfyzpress
PRAGUE 2005
All rights reserved, no part of this publication may be reproduced or transmitted in any
form or by any means, electronic, mechanical, photocopying or otherwise, without the
prior written permission of the publisher.
ISBN 80-86732-68-1
ISBN 80-85863-06-5 (First edition)
Preface
This text is based on lectures in measure and integration theory given by the
authors during the past decade at Charles University, and on preliminary lecture
notes published in Czech.
It is impossible to thank individually all colleagues and students who assisted
in the preparation of this manuscript, but we will just mention Michal Kubecek
who helped with the translation and TEX processing.
The authors wish to express their deep gratitude to Professor Stylianos Negrepontis, who was the chief coordinator of TEMPUS project JEP1980. Without
support from him and the Tempus programme the manuscript would never have
appeared.
The preparation of this manuscript was partially supported by the grant
No. 201/93/2174 of the Czech Grant Agency and by the grant No. 354 of the
Charles University.
Prague, 1994
We have carried out only minor corrections. We wish to thank all who contributed by suggestions and comments.
Prague, 2005
Contents
List of Basic Notations and Frequently Used Symbols . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1
A. Measures and Measurable Functions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2
1. The Lebesgue Measure
2. Abstract Measures
3. Measurable Functions
4. Construction of Measures from Outer Measures
5. Classes of Sets and Set Functions
6. Signed and Complex Measures
B. The Abstract Lebesgue Integral . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27
7. Integration on R
8. The Abstract Lebesgue Integral
9. Integrals Depending on a Parameter
10. The Lp Spaces
11. Product Measures and the Fubini Theorem
12. Sequences of Measurable Functions
13. The Radon-Nikod
ym Theorem and the Lebesgue Decomposition
C. Radon Integral and Measure . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 57
14. Radon Integral
15. Radon Measures
16. Riesz Representation Theorem
17. Sequences of Measures
18. Luzins Theorem
19. Measures on Topological Groups
D. Integration on R . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 82
20. Integral and Dierentiation
21. Functions of Finite Variation and Absolutely Continuous Functions
22. Theorems on Almost Everywhere Dierentiation
23. Indenite Lebesgue Integral and Absolute Continuity
24. Radon Measures on R and Distribution Functions
25. HenstockKurzweil Integral
E. Integration on Rn . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 103
26. Lebesgue Measure and Integral on Rn
27. Covering Theorems
28. Dierentiation of Measures
29. Lebesgue Density Theorem and Approximately Continuous Functions
30. Lipschitz Functions
31. Approximation Theorems
32. Distributions
33. Fourier Transform
F. Change of Variable and k-dimensional Measures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 141
34. Change of Variable Theorem
35. The Degree of a Mapping
36. Hausdor Measures
G. Surface and Curve Integrals . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 163
37. Integral Calculus in Vector Analysis
38. Integration of Dierential Forms
39. Integration on Manifolds
x1
.
.. .
xn
The horizontal notation is preferred for estetical and typographical reasons.
The standard (or canonical ) basis of the space Rn is denoted by {e1 , . . . , en },
the vector ei = [0, . . . , 0, 1, 0, . . . , 0] with 1 at the ith place. The inner product in
Rn is denoted by x y.
By U (x, r) we denote the open ball in a metric space (P, ) of radius r round the
x. The closed ball is denoted by B(x, r). Thus U (x, r) = {y P : (x, y) < r},
B(x, r) = {y P : (x, y) r}. For the diameter of a set we use the symbol
diam and for the distance of a pair of sets the symbol dist.
If nothing else is specied, a function on a set X is a mapping of X into R. If
we want to emphasise that a function does not attain the values and +,
we call it a real function.
Instead of the notation {x X : f (x) > a} we often use the abbreviated version
{f > a}.
The symbol cA denotes the indicator function of a set A X, i.e. the function
cA (x) =
for x A ,
for x X \ A.
(ai , bi ) A}.
A := inf{ (bi ai ) :
i=1
i=1
The value A (which can also be +) is called the outer Lebesgue measure of a
set A.
1.2. Properties of the Outer Lebesgue Measure. One can see immediately
that A B if A B and that the measure of a singleton is 0, and without
much eort it becomes clear that I is the length of I in case of I interval of any
type (see Exercise 1.6). Then it is relatively easy to prove that the outer Lebesgue
measure is translation invariant: If A R and x R, then A = (x + A).
Another important property is the -subadditivity:
(
j=1
Aj )
Aj .
j=1
In mathematical terminology, the prex usually relates to countable unions and to countable
intersections.
Mn and Mn are elements of M. If, in addition, the sets Mn are pairwise
disjoint, then
Mn =
Mn .
n
S
(a , b + )). Suppose
(ai , bi ) [a, b]. A compactness argument yields the existence of an
index n satisfying
ba
n
P
n
S
i=1
(ai , bi ) [a, b]. Using induction (with respect to n) it can be shown that
i=1
(bi ai ).
i=1
In the next part of this chapter we introduce some signicant sets on the real
line.
1.8. A Nonmeasurable Set. Now we prove the existence of a nonmeasurable subset of R
and consequently prove that the outer Lebesgue measure cannot be additive.
Set x y if x y is a rational number. It is easy to see that is an equivalence relation
on R. Therefore R splits into an uncountable collection
of pairwise disjoint classes. A set V
if and only if V = x + Q for some x R. By the axiom of choice,
belongs to this collection
there exists a set E (0, 1) that shares exactly one point with each set V . We show that
E is not in M.
Let {qn } be a sequence containing all rational numbers from the interval (1, +1). It is not
very dicult to show that the sets En := qn + E are pairwise disjoint and that
(0, 1)
En (1, 2).
En =
En . Distin-
S
Hint. Consider covers
(rj 2j , rj + 2j ) where {rj } is a sequence of all elements of the
j=1
set S. The assertion also follows from Theorem 1.4 if you realize that singletons have measure
zero.
1.11. Examples of Sets of Measure Zero.
(a) The set Q of all rational numbers is
countable, thus by Exercise 1.10 it has Lebesgue measure zero.
(b) It can be seen from the hint to the exercise that for every k N there is an open set
T
Gk such that Q Gk and Gk 1/k. The set
Gk has also Lebesgue measure zero, it is
k=1
i=1
there are exactly those points of the interval [0, 1] whose ternary expansions do not contain the
digit 1. The Cantor set has the following properties:
(a) C is a compact set without isolated points;
(b) C is a nowhere dense (and totally disconnected) set;
(c) C is an uncountable set;
(d) the Lebesgue measure of C is zero.
1.13 Discontinua of a Positive Measure. If we construct a set D [0, 1] like the Cantor
set except that we always omit intervals of length 3n where (0, 1) (note that their centres
are not the same as those in the construction of the Cantor set), we get a closed nowhere dense
set, for which D = 1 . Sets having this property are called the discontinua of a positive
measure. Another construction: If G is an open subset of the interval (0, 1), containing all
rational points of this interval and G = < 1 then [0, 1] \ G is a discontinuum of measure 1 .
1 sometimes
1.14. Exercise. Prove that there exists a non-Borel subset of the Cantor set and realize that
this set is Lebesgue measurable.
Hint. The cardinality argument shows that the set of all Borel subsets of the Cantor set has
cardinality of the continuum while the set of all its subsets has greater cardinality.
Instead of this, the following idea can be used. Dene
(t) := inf{x [0, 1] : f (x) = t}
where f is the Cantor singular function from 23.1. Show that is increasing on the interval [0, 1],
and therefore it is a Borel function. Suppose E is a nonmeasurable subset of [0, 1], B := (E).
Then B (as a subset of the Cantor set) is a measurable set. But since 1 (B) = E (and is a
Borel function), B cannot be a Borel set.
vol Ik :
k=1
Ik A, Ik is an open interval}.
k=1
j=1
Aj
Aj .
j=1
1.17.
Theorem. If M1 , M2 , . . . are elements of M, then also M1 \ M2 , Mn
and Mn are elements of M. If, in addition, the sets Mn are pairwise disjoint,
then
Mn =
Mn .
n
1.18. Theorem.
If I Rn is a bounded interval, I
Qj where {Qj } is a
vol Qj .
vol Ji
p
vol Qj
j=1
vol Qj .
j=1
Since the dierence vol I vol J can be arbitrarily small, the assertion follows.
1.19. Theorem. (a) Any open subset of Rn is measurable.
(b) If A = 0, then A is measurable.
Proof. The proof of part (b) is obvious; we will prove (a). First we prove that each
interval H which is a halfspace (e.g. of the form (, c) Rn1 ) is measurable.
Choose a test set T , T < , and > 0. There exist open intervals {Qj }
with
Qj T and
vol Ij < T + .
j
Qj H Ij , Qj \ H Jj and Ij + Jj < Qj + 2j .
(T I) + (T \ I)
vol Ij +
vol Jj T + .
If A Rn , then
A = inf {G : G open, G A}.
Proof. One inequality follows from the monotonicity of . Now if A < and
> 0, then there exist open intervals Ij Rn such that
A
Ij and Ij
vol Ij < A + .
j
The reader should compare the following theorem and Exercise 15.19.
Set G = Gk . Then
k
(G \ M )
(Gk Hk ) 2
k=1
so that (iii) holds. That (iii) implies (iv) is evident. It is not very dicult to
prove the implication (iv) = (v). If M satises (v), then M = Bi (M \ Bi )
where the sets Bi and M \ Bi are measurable by Theorem 1.19 (each one for a
dierent reason), so that (v) = (i).
1.22. Notes.
Originally, H. Lebesgue dened the outer measure on the real line using
countable covers formed by intervals, exactly as explained in the text. He dened measurability
as in Exercise 1.7.
At the end of the last century, various attempts to dene the length or area of geometrical
gures appear; in the works of G. Peano [1887] and C. Jordan [1892] even the measures of
more complicated sets are considered.
The existence of a Lebesgue nonmeasurable set is very closely connected to the axiom of
choice (for uncountable collections of sets) and the assertion that such sets exist was rst proved
by G. Vitali [*1905]. Solovays result [1970] says that there exist models of the set theory (of
course not satisfying the axiom of choice) in which every subset of real numbers is Lebesgue measurable. The existence of a nonmeasurable set can be proved (assuming various set conditions)
in other ways as well. Constructions of Bernsteins sets (still assuming the axiom of choice) as
examples of nonmeasurable sets are also interesting. Another construction of a nonmeasurable
set (the axiom of choice again) based on results of the graph theory comes from R. Thomas
[1985]. Using nonstandard methods, it is possible to prove the existence of a nonmeasurable set
assuming the existence of ultralters (a weaker form of the axiom of choice; cf. M. Davis [*1977]).
Recently, M. Foreman and F. Wehrung [1991] proved that the existence of a nonmeasurable set
follows from the Hahn-Banach Theorem (which is again a weaker assumption than the axiom
of choice).
Let us note that the Lebesgue measure can be extended to a translation invariant measure dened on a wider -algebra than is the collection of all Lebesgue measurable sets. The
construction can be found e.g. in S. Kakutani and J.C. Oxtoby [1950]. However, the Lebesgue
measure cannot be extended in a reasonable way to the collection of all subsets of Rn .
It is interesting that in R or R2 there exist nitely additive extensions of the Lebesgue
measure to the collection of all subsets which can also be invariant with respect to translations
2. Abstract Measures
and rotations. This was rst proved by S. Banach [1923]. However, this result cannot be
transferred to spaces of higher dimensions as follows from the famous result of S. Banach and
A. Tarski [1924]:
If U and V are arbitrary (!) bounded and open sets in the space Rn , n 3, then there S
exist
S
sets E1 , . . . , Ek and F1 , . . . , Fk such that Ei Ej = = Fi Fj for i
= j, U = Ei , V = Fi
and Ej are isometric copies of Fj .
In this theorem, which is known as the Banach-Tarski paradox, in general all the sets Ei and
Fi cannot be measurable; realize that U , V can be of dierent measures. More information is
contained in S. Wagon [*1985].
2. Abstract Measures
In this chapter we study an abstract notion of measure which stands as a basis
for modern integration theory. Also in probability theory, the notion of measure
(termed a probability there) plays a crucial role. Among many elds of analysis
which employ measures in an essential way, let us mention e.g. functional analysis,
theory of function spaces and theory of distributions, or mathematical modelling
of physical quantities.
So far we have the only nontrivial example of the Lebesgue measure. Further
important examples of measures will be introduced later.
Remember that the Lebesgue measure is not dened on the collection of all
subsets of R but on its subcollection which is closed under countable operations.
We start with the following denition.
2.1. -algebras. A collection S of subsets of a given set X is called a -algebra
if
(a) X S ;
(b) if A S , then X \ A S ;
(c) if An S , then
An S .
n=1
2.3. Borel Sets. Let P be a topological space. The -algebra B(P ) generated
by the family of all open subsets of P is called the Borel -algebra of P ; its
elements are called Borel sets. The Borel -algebra B(P ) contains all closed
sets, all countable intersections of open sets (these sets are called G sets), all
countable unions of closed sets (F sets), all countable unions of G sets (G
sets), all countable intersections of F sets (F ) and so on. Let us note that for
the complete description of all possible types we would have to use (in nontrivial
cases) all countable ordinal numbers.
2.4. Measures. Let S be a collection of subsets of a set X. A nonnegative set
function : S [0, ] is called a measure if
(a) S is a -algebra;
(b) = 0;
(c) for
each sequence {An } of pairwise disjoint sets from S , ( An ) =
An .
The triplet (X, S , ) is termed a measure space.
From (b) and (c) it immediately follows that each measure is monotone (if
A, B S , A B, then A B); the property (c) is also called the -additivity
of a measure.
We say that a measure is nite if X < +, -nite if there exist sets Mn S
(X). We dene
The measure is called the Dirac measure at x and it is denoted by x . The Dirac measure is
a complete probability measure.
is an arbitrary -algebra of subsets of X and A = 0 for all
(d) Trivial measures. If
A , then is an example of a nite measure which is not complete provided
= (X).
10
2. Abstract Measures
(b) if A1 , A2 , S , A1 A2 . . . , and A1 < , then ( An ) =
lim An ;
(c) if A1 , A2 , S , then ( An ) An .
Proof. (a) Since A1 , A2 \ A1 , A3 \ A2 , . . . are pairwise disjoint, we get
An
= A1
n=1
(An+1 \ An )
n=1
= lim A1 +
k
k1
= A1 +
(An+1 \ An )
n=1
(An+1 \ An )
= lim Ak .
n=1
An
= A1 A1 \
n=1
An
= A1
n=1
A1 \ An
n=1
Bn =
M S, N N .
Clearly the value of E does not depend on the choice of M and N . The set
function on S is called the completion of .
2.8. Theorem. S is a -algebra containing S and is a complete measure
on S which coincides with on S .
Proof. Obviously, S S . Since both S and N are closed under countable
unions, the same is true for S . If E S , there are M S , N N and B S
so that N B, B = 0 and E = M N . Then X \E = (X \ (M B))(B \N )
S . It is easy to verify that is a complete measure on S and = on S .
2.9. Remark. Note that there is a variety of extensions of a measure to a complete measure.
The completion described above is uniquely determined and in some sense minimal (cf. Exercise
2.13).
11
a -algebra on X. For
f (x).
xB
f (x) = sup
K
xB
8
<X
:
f (x) : K B, K nite
xK
9
=
;
.)
2.11. Exercise.
completion?
(b) The Lebesgue measure on R considered on the -algebra of Borel sets (see Exercise
1.14.a) is not complete.
= {, {1, 2}, {3, 4}, X}. Let be a measure on
(c) Suppose X = {1, 2, 3, 4},
that
{1} = {2} = 0, {3} = {4} = 1.
(X) such
= |T ,
P
T
S
An < +, then (lim sup An ) = 0 (we dene lim sup An :=
Ak ).
n=1
. If
n=1 k=n
2.15. Exercise (Darboux property). Let (X, , ) be a measure space. If does not have
is called an atom if A > 0 and for
an atom, show that {A : A } = [0, X]. (A set A
each set B , B A, either B = 0 or (A \ B) = 0.)
= {A
: A }. There exists a set C
such that
Hint. Fix 0 < < X and set
, A C. In a similar way nd D
, D C, D with the
A = C for all A
following property: B = D for each set B
for which D B C and B . Because
C \ D cannot be an atom, it follows C = D = .
2.16. Notes. In [1895] and [*1898], E. Borel extended the length of intervals to a set function
(measure) dened on the collection of all Borel sets. However, H. Lebesgue was the rst who
created the theory of the integral with the help of this measure. J. Radon in [1913] dened a
general notion of (Borel) measures in Euclidean spaces. A.N. Kolmogorov introduced in [*1933]
the axiomatic theory of probability measures.
The Darboux property of real-valued measures is a special version of the general Lyapunov
theorem (A. Lyapunov [1940]) which says that the range of a nite-dimensional nonatomic vector
measure is a convex compact set.
12
3. Measurable Functions
3. Measurable Functions
As mentioned in the rst chapter, there are serious reasons why the Lebesgue
measure is not dened on the collection all subsets of Rn . Likewise, one cannot
expect a reasonable theory of integration on the class of all functions; it will be
necessary to conne to some reasonable family of functions. This class of course
should contain the indicator functions of all measurable sets and should be closed
under all common (algebraic as well as limit) operations. As we will see, these
requirements are satised by the following natural denition.
In what follows, we assume that S is a -algebra of subsets of a given set X.
3.1. Measurable Functions. Suppose D S . A function f : D R is said
to be S -measurable on D if {x D : f (x) > } S for each R.
A complex function on D is S -measurable if its real and imaginary parts are
S -measurable.
3.2. Examples.
-measurable.
(a) If
= {, X}.
-measurable if
-measurable
3.3. Remark.
Since any -algebra is closed for complementation, a function f is
for each R. Because
measurable if and only if {f }
{f } =
j
\
f >
n=1
1
n
rQ
{x X : f (x) = +} =
{f > n},
n=1
13
Proof. We will just indicate the ideas of some of the proofs leaving the others as
an exercise for the reader. The assertion (c) is obvious.
(a) Suppose R. Then {f + g > } = {f > g} (and the function g
is S -measurable). The functions |f |, f 2 and 1/g are S -measurable by (c). Then
we can use the formulae
max(f, g) =
1
(f + g + |f g|),
2
1
((f + g)2 f 2 g 2 ).
2
(b) As a hint let us just note that
{sup fn > } = {fn > }.
fg =
3.6. Exercise.
(a) Show that a real-valued function f is
f 1 (G)
for each open set G R or, if and only if f 1 (B)
},
and dene
fn (x) =
k1
2n ,
if x Fn,k ,
if x X \ Fn,k .
k
14
3. Measurable Functions
3.11. Exercise. If f is an
-measurable function, then there exists a sequence of simple
functions {fn } such that |fn | |f | and fn f on X.
on D,
on X \ D.
, ).
-measurable function g
15
-measurable;
B, then
A B;
(c) ( An ) An .
The property (c) is called the -subadditivity of an outer measure.
4.2. Examples of Outer Measures. (a) The outer Lebesgue measure in Rn .
(b) The Hausdor outer measure from Chapter 36.
(c) The counting measure.
(d) If (X, , ) is a measure space, then the set function : A inf{M : M
, M A} is an outer measure. See also Exercise 4.8.
:M
n=1
Gn : Gn G ,
Gn A}
n=1
16
Gjn An and
Then
Gjn < An +
Gjn A and
An ,
.
2n
An A .
n,j
T = (T M ) + (T \ M )
for each test set T X (in other words, if M splits additively each set in X).
The collection of all -measurable sets will be denoted by M(). To prove that a
set M is -measurable, it is sucient to verify the inequality
T (T M ) + (T \ M )
for any set T with T < +.
4.5. Theorem.
17
Mn = lim
k
n=1
k
Mn = lim
k
n=1
k
Mn
n=1
Mn
n=1
and since the reverse inequality always holds we reach the conclusion.
(c) Let now Mn M() be pairwise disjoint. Our aim is to show that
Mn
n=1
k
T = T \
Mn + T
Mn T \
Mn +
(T Mn )
n=1
n=1
n=1
n=1
Mn ,
T T \
Mn + T
n=1
n=1
(c) There exists a decreasing sequence {Mn } of subsets of [0, 1] such that Mn = 1 and
Mn = (compare with (a)).
A := inf{M : M
, A M },
A := sup{M : M
, M A}.
M( ) and = on
18
Cj ;
such that B \ A =
j=1
(b) if {A
l,
b,
b
l
(a2) Finite unions of sets from b or lb form a ring. Finite unions of sets from
or l
form even an algebra
or l . The set function I vol I can be (uniquely) extended to a
or l .
premeasure on
(a3) Closing
or l under countable unions, we do not get even a semiring: Substracting
a countable union of open intervals from [0,1] we get the Cantor set which is not a countable
union of intervals.
and
(b) If
A
and B
are semirings on X, then the collection of all sets of the form A B where
forms a semiring on X X.
be a semiring. Then the set of all nite disjoint unions of elements from
(c) Let
ring (in fact, the smallest ring containing ).
is a
19
(f) The collection of all Lebesgue measurable sets of nite measure forms a -ring.
(g) Suppose that
is the collection of all unions of a nite number of intervals (including
the degenerated ones) and = {A Q : A }. Then is an algebra of subsets of Q and
: A Q A is a nitely additive set function which is not a premeasure.
(h) Let
be the algebra of all nite unions of intervals on (0, 1). Dene a set function on
by the formula
(
(A) =
in other cases.
so that G G.
Now suppose G G . Choose a test set T X, T < + and > 0. There exist
Gn G such that
T
Gn
and
Gn T + .
Then
T +
Gn =
thus G M(
).
5.5. Hopf s Extension Theorem. Let be a premeasure on a ring A of
subsets of a set X. Then there exists a measure
on (A ) which equals on A .
This extension of is unique provided is -nite.
Proof. The existence of a measure
is an immediate consequence of Theorems 4.3
and 5.4 (notice that (A ) M(
)). To prove uniqueness, under the -niteness
assumptions, let be another measure on (A ), = on A . One can easily nd
out (from the construction
of the outer measure
) that
on (A ). Then
for Aj A , A = Aj we have
j
A = lim
n
n
j=1
Aj = lim
n
n
j=1
Aj =
A.
20
So if
E (A ),
E < , then for a given > 0 there exist sets Aj A ,
A = Aj such that E A and
A <
E + . Hence
j
E
A = A = E + (A \ E) E +
(A \ E) E + ,
thus
E = E. Finally suppose X =
E =
(E Xj ) =
(E Xj ) = E.
is a -system, then
) = (
).
5.9. Exercise. The assumptions of Hopfs extension theorem can be weakened. Indeed, show
that the assertion of Theorem 5.4 is still true if we only assume that is nitely additive and
and that = 0.
-subadditive on the semiring
Hint. First note that is monotone. Then proceed as in Theorem 5.4 and show that ( )
j
(
). In the essential step use the existence of sets Cn
:= {M (
where C is the Cantor set and f the Cantor function from 23.1.
Show that
is a semiring and that is nitely additive but not -additive on
5.12. Exercise. (a) Let X be an arbitrary set and n N. Consider the set function which
is restriction of the counting measure to the collection
n
and construct the outer measure as in Theorem 4.3. Investigate the relationship between the
) and compare with Theorem 5.4.
collections n and M(
(b) Investigate the same problem in case of X = (0, 1),
A := inf{
(X) and
k
k
X
[
(bi ai ) :
(ai , bi ) A}
i=1
i=1
21
(x) :=
,
n2
Rn |x t|
we can introduce the Newtonian capacity cap K of a compact set K Rn as
cap K := sup{K : supt K,
1 on Rn }.
The proof that this capacity satises the conditions (a), (b), (c) can be found for instance in
[KNV].
5.15. Outer Capacity. Let X be a topological space. A mapping c :
called an outer capacity provided it satises:
(X) [0, +] is
22
An investigation of the theory of capacities in the classical potential theory during the period
19201950 is connected with the names of Ch. de la Vallee Poussin, N. Wiener, O. Frostman or
M. Brelot among others. These authors studied mainly the Newtonian capacity and examined
the role of sets of a small capacity. One could say that the capacity theory is a younger
sister of Lebesgue measure theory. In the 50s the general capacity theory was developed and
G. Choquet proved his famous capacitability theorem. An interested reader is referred to a nice
article written by Choquet himself [1986] or [1989].
An =
An whenever An S are pairwise disjoint.
(b)
n=1
n=1
6.2. Remarks.
1. A signed measure can assume at most one of the values + and
, then (E F ) is nite. Therefore
. Indeed, if E = + and F = for E, F
(E \ F ) = +, (F \ E) = and the equality (b) does not hold for (disjoint) sets E \ F
and F \ E.
S
P
2. If ( An ) is nite, then the series
An in the condition (b) converges absolutely (indeed,
this series converges to the same value when its terms are rearranged arbitrarily, which is
equivalent to the absolute convergence).
3. Some of basic properties of positive measures hold even for signed measures. Show that the
following assertions are true:
(a) if An
, An A , then An A,
(b) if An
(N1 E) = (N2 E)
23
n=1
An .
n=1
1
.
k
n=1 n
E = (E N ),
|| (E) = + E + E
24
6.9. Theorem.
|| (E) = sup
n
n
k=1
Ak = E
k=1
|Ak | =
+
+ Ak Ak
( Ak + Ak ) =
|| (Ak ) = || (E).
k
Ak =
Ak whenever {Ak } is a sequence of pairwise disjoint sets from
k=1
k=1
S . Let us note that, as in Remark 6.2.2, the appearing series must converge
absolutely or denitely diverge.
Each complex measure can be expressed uniquely in the form = r + ii
where r and i are (nite!) signed measures on (X, S ). In particular, each nite
signed measure can be understood as a complex measure.
If is a complex measure, we dene its total variation || by
|| (E) = sup
n
k=1
n
Ak = E
k=1
An appeal to Theorem 6.9 reveals that this denition agrees with the previous
one for signed measures.
6.11. Theorem. Let be a complex measure on (X, S ). Then the total
variation || is a nite positive measure on (X, S ).
25
6.13. Exercise.
Let be a signed measure on (X,
sup{B : B , B E}.
6.14.
on (X, ) and E
j Exercise. Let be a complex measure
P
S
|Ak | : Ak
pairwise disjoint,
Ak = E .
sup
k=1
. Show that + E =
. Prove that || (E) =
k=1
6.15. Exercise.
Let be a complex measure on (X,
positive measure satisfying A || A for all A .
q
|r |2 + |i |2 .
6.17. Exercise. We denote by M( ) the set of all nite signed or complex measures on
(X, ). If M( ), let = || (X). Show that (M( ), ) is a Banach space (i.e. M( )
is a linear space, becomes a norm and M( ) is complete with respect to it).
Hint. Only the completeness requires a proof. But if n is a Cauchy sequence in M( ), then
there exists lim n A for each A . Dening A = lim n A, it is not hard to show that is
-additive and n 0.
6.18. Exercise.
every set A .
Suppose that , n M(
6.19. Exercise.
the order
) equipped with
if A A for each A
is a lattice (i.e. for any , M( ) there exist sup(, ) and inf(, ) in M( )). Notice that
sup(, ) does not necessarily mean the set function A sup((A), (A)) such function, in
general, is not a measure!.
Hint. Show that
1
(
2
+ + | |) is sup(, ) and
1
(
2
+ | |) is inf(, ).
, A B = .
, F A}, A = inf{F : F
, f A},
Show that the set functions + , and || are positive nitely additive
1
x
for x = 0.
26
If A =
n
S
[ai , bi ), dene A =
P
(f (bi ) f (ai )). Show that neither the Jordan decomposition
i=1
theorem, nor the Hahn decomposition theorem do hold for . Proceed via the following
steps:
S
(a) the denition of A does not depend on the particular representation of A as [ai , bi );
(b) is a charge on
6.24. Notes. Signed measures were investigated by H. Lebesgue already in [1910]; he was
concerned mostly with measures given by a density (see 8.19).
The existence of a Hahn decomposition of the space and the Jordan decomposition of signed
measures were rst established in a full generality by Hahn [*1921].
The monograph by K.P.S. Bhaskar Rao and M. Bhaskar Rao [*1983] is devoted to the theory
of charges.
27
xa+
value of the Newton integral of f on (a, b) does not depend on the choice of F
because the dierence between any two antiderivatives is a constant. The Newton
b
integral is denoted by N a f .
7.2. Riemann Integral. Let f be a bounded function on a bounded interval
(a, b). If a = 0 < 1 < < m = b is a (nite) sequence of points in [a, b] (so
called partition of the interval [a, b]), and 1 , . . . , m a sequence of real numbers,
m
j (j j1 ) is called an upper Riemann sum of f if j f
then the value
j=1
28
f = inf{
g : g piecewise constant, g f },
Z
f
= sup{
g : g piecewise constant, g f }.
(A function f is said to be piecewise constant on [a, b] if there exist j such that a = 0 < 1 <
< m = b and f is constant on each interval (j1 , j ).)
(b) If f is a bounded function on an interval (a, b), then the function
f := inf{g : g f, g continuous}
is called the upper Baire function of f . The denition of the lower Baire function f of f is
analogous.
Show that the function f is upper semi-continuous and that f is continuous at a point x if
and only if f (x) = f (x).
(c) Show that
f = inf{R
g : g f, g continuous }.
(d) Let f be a bounded function on an interval (a, b). Show that the following conditions are
equivalent:
(i) f is Riemann integrable;
R
(ii) for each > 0 there exist continuous functions t, s such that t f s and R ab (st) <
;
(iii) f = f almost everywhere;
(iv) there exist functions u, v; u upper semi-continuous, v lower semi-continuous such that
v f u and u = v almost everywhere;
(v) the set of all points where f is discontinuous is of Lebesgue measure zero.
Hint. Use (b) and (c). For (ii) = (iii), according to 7.8, {f f 1/k} {s t
1/k} k for each k N and > 0.
(e) Show that any Riemann integrable function is measurable.
Hint. Any semi-continuous function is measurable. Now use (d) and Theorem 3.14.b.
(f) The above condition (v) permits to construct bounded Newton integrable functions which
are not Riemann integrable. An example of Volterra type functions constructed with the aid of
closed nowhere dense sets of positive measure (Example 1.13) can be found in A.M. Bruckner
[*1978].
7.10. Notes. The origins of the integral calculus are connected with the names of I. Newton
and G.W. Leibniz. The modern integration theory has been developed from the beginning of
the 19th century by A.L. Cauchy, L. Dirichlet, B. Riemann, C. Jordan, E. Borel, H. Lebesgue,
G. Vitali and others. Some historical treatments on integration are mentioned in 8.25.
29
(a,b)
n
j cBj ,
j=1
i=1
then
m
i=1
i Ai
n
j=1
j Bj .
j=1
30
Ai and B0 =
i=1
j=1
i Ai
i=0
n
m
n
m
i (Ai Bj )
i=0 j=0
j (Ai Bj )
i=0 j=0
n
j Bj .
j=0
s d :=
D
j=1
shows that this value does not depend on the particular representation of s. Next,
dene
s d : 0 s f on D, s simple
f d := sup
D
f cM d
f d =
M
and M f d = M f d where = |M is the restriction of to the -algebra
SM := {A S : A M } of subsets of M .
Therefore, it is no loss of generality to restrict our attention to the integration
over the whole space X.
It is useful to dene the abstract Lebesgue integral even for functions dened
only -almost everywhere. In this case, if f is dened on D S and (X \D) = 0,
set
f d :=
f d
X
if the integral on the right side is dened. It is immediate that this value does
not depend on the choice of D.
The symbol L or L () denotes the family of all -measurable functions
dened -almost everywhere on X for which the abstract Lebesgue integral is
dened.
Further denote
L = L () =
1
f d R .
31
f L () :
X
f
d.
n
X
X
Proof. It is clear that the sequence X fn d is nondecreasing,
and therefore
there exists := lim X fn d. Since fn f , we have X f d and the
assertion is obvious for = +. Assume < +, x a simple function s,
0 s f , and prove that X s d . The proof will be given in several steps:
(a) Let (0, 1). Dene En = {x X : fn (x) s(x)}. Then En S , En
fn d
fn d
En
k
k
(
j cAj ) d =
j (Aj En ).
s d =
En
En j=1
j=1
k
j Aj =
s d .
X
j=1
X
s d, as needed.
32
8.8. Theorem.
Ai =
Bj , f1 =
i cAi and f2 =
j cBj . Then
X=
i=0
j=0
i=0
(f1 + f2 ) d =
X
n
m
j=0
(i + j )(Ai Bj ) =
i=0 j=0
i=0
f1 d +
m
i Ai +
n
j Bj
j=0
f2 d.
X
For the general case, nd sequences s1n and s2n of simple functions with
sin fi and use the rst part and Theorem 8.5.
8.9. Theorem (properties of L 1 ()). The following propositions hold:
(a) If f L 1 , then f is nite almost everywhere.
(b) If f, g L 1 , , R, then f + g L 1 and (f + g) d =
X f d + X g d (an appeal to (a) reveals that f + g is dened
almost everywhere).
(c) If f L 1 , then |f | L 1 and X f d X |f | d (i.e. the integral is
absolutely convergent).
(d) L 1 is a lattice (if f, g L 1 , then max(f, g), min(f, g) L 1 ).
(e) If f is -measurable, g L 1 , |f | g, then f L 1 .
Proof. (a) Suppose that f L 1 , A:= {x X : f (x) = }. Then
A is measurable
and 0 ncA f + for every n N. Thus 0 X ncA d X f + d and we get
A n1 X f + d < for every n N. Hence A = 0.
(b) It is plain to see that X f d = X f d for f L 1 and R. Let
f, g L 1 and write f = f + f , g = g + g and h = f + g (by (a), h is dened
almost everywhere). Then
h+ h = f + f + g + g ,
33
+
+
h d +
f d +
g d =
f d +
g d +
h d .
X
X
h d and
X
h d
0 h+ = (f + g)+ f + + g + .
(c) If f L 1 , then |f | = f + + f L 1 by (b), and we have
f d = f + d
f d f d + f d =
X
X
X
X
X
+
=
f d +
f d =
|f | d.
X
(d) The assertion follows immediately from (b) and (c) using
max(f, g) =
1
(f + g + |f + g|).
2
(0 f |f | g), thus f
f + f L 1.
+
8.10. Remarks. 1. Proposition (b) of the previous theorem shows that 1 satises almost
all axioms for a linear space but it is not a true linear space. To get a linear space, the set of
1 or the space L1 (which will be introduced in
all nite everywhere dened functions from
Chapter 10) is to be considered.
P
2. The sum of an absolutely convergent series
j aj is the integral of the function j aj
over the set N with respect to the counting measure. On the other hand, the abstract integration
theory cannot describe sums of nonabsolutely convergent series. This observation should not be
understood as an insuciency of Lebesgues theory. The abstract Lebesgue integral described
in 8.3 provides the best approach in the general framework of measure spaces. Let us consider
a simple experiment: A rearangement of N can change the sum of a nonabsolutely convergent
series while measures of sets remain invariant. The sum depends on an additional structure
on N, namely, on its ordering. Analogously, taking into account the ordering of the real line (in
addition to its measure properties), various kinds of nonabsolutely convergent integrals may be
introduced. Let us mention Newton integration on an elementary level and Perron or HenstockKurzweil integration on an advanced level (see Section 25). It is instructive to compare the
expressions
Z b
Z
sin x
sin x
dx = lim
dx
b 1
x
x
1
(where the integral is understood as Newtonian) and
n
X
X
sin k
sin k
= lim
.
n
k
k
k=1
k=1
In the theory of Lebesgue integration, limit theorems play a crucial role. They
concern either monotone convergence or dominated convergence.
34
By
Levis
theorem,
f
d
=
lim
t
d
=
lim
s
d.
Since
t d
n
n
X
X
X
X n
f d X sn d, the assertion follows.
X n
8.14. Dominated convergence theorem for series. Let {hn } be a sequence
of -measurable functions on X and g L 1 . Suppose that
n
almost everywhere
hj g
j=1
j=1
X j=1
hj d =
j=1
hj d.
Proof. Set gk = inf{fn : k n}. Then gk lim inf fn and infer on Levis
theorem again.
35
8.16. Theorem. Let f 0 be a -measurable function. If X f d = 0, then
f = 0 almost everywhere.
Let f, g L 1 . If
f d
g d
E
1.
Prove that
(b) for every > 0 there is a > 0 such that f (E) < whenever E < .
P
f (An ) (An
pairwise disjoint) use Theorem
Hint. (a) To verify the equality f (A) =
8.14 for hn = f cAn .
R
(b) Suppose there exists an > 0 and a sequence {En } such that En < 2n and En |f | .
R
T S
Ek . Then E = 0 and E f d , which is a contradiction.
Set E =
n=1 k=n
36
8.23. Image of a Measure. Let (X, , ) be a measure space, (Y, ) be a measurable space
and f : X Y a measurable mapping (i.e. f 1 (E)
whenever E ). The set function
E (f 1 (E)),
is called the image of the measure under the mapping f and it is denoted by f ().
(a) Show that f () is a measure on (Y,
(b) Let g : Y R be a
if g f 1 . In this case
).
Z
g f d.
g df () =
Y
(R)) dened by
Z
f dx.
E =
E
Show that f () = .
8.25. Notes. The modern integration theory starts with Lebesgues doctoral thesis [1902]
following a short paper [1901]. His denition uses constructed Lebesgue measure on R. The
idea of using simple functions (not equal to those introduced here) when dening the integral
(still on the real line) comes from F. Riesz ([1912], [1920]).
Further details can be found in historical notes by T. Hawkins [*1970] or by F.A. Medvedev
[1975], R. Henstock [1988], T.H. Hildebrandt [1953]. It is clear that H. Lebesgue followed investigations of his predecessors (B. Riemann, C. Jordan, G. Peano, E. Borel and others). Less known
is the fact that (roughly) at the same time G. Vitali and W.H. Young published similar results
independently.
Theorem 8.11 (concerning the monotone convergence) was proved by Beppo Levi [1906],
Lemma 8.15 by P.J.L. Fatou [1906] and Theorem 8.13. by H. Lebesgue [1910].
One more remark: H. Lebesgue developed his theory of integration mainly for the case of
Lebesgue measures on Rn . Later J. Radon [1913] considered more general measures in Rn
(nowadays called the Radon measures). A general theory of measures on arbitrary -algebras was
given by M. Frechet [1915]. Since that time, many results on this subject have been published;
the monograph [*1950] by P.R. Halmos is one of the most quoted.
37
is continuous at a.
Proof. The proof that
ta
F (t, ) d =
lim
F (a, ) d
X
for each sequence tj a, tj U . To prove the last assertion it suces to use the
Lebesgue dominated convergence theorem.
9.2. Theorem. Let (X, S , ) be a measure space, N X a set of measure
zero and I R an open interval. Suppose that a function F : I X R has the
following properties:
(a) For each x X \ N , F (, x) is dierentiable on I;
(b) for each t I, F (t, ) is -measurable;
d
1
(c) there exists a function g L (X) such that F (t, x) g(x) for each
dt
x X \ N and t I;
(d) there is a t0 I such that F (t0 , ) L 1 (X).
Then F (t, ) L 1 (X) for all t I, the function
f : t
F (t, ) d
X
is dierentiable on I and
f (t) =
X
d
F (t, ) d.
dt
F (b, x) F (a, x)
ba
38
F (tj , ) F (a, )
d =
tj a
X
d
F (t, ) d
dt
F (a, ) d = lim
ta
F (t, ) F (a, )
d =
ta
X
d
F (a, ) d.
dt
9.3 Remarks. 1. Notice that in the proofs of the last theorems we made heavy use of the
Lebesgue dominated convergence theorem. Of course we could state analogous results based on
Levis theorem.
2. Since the notions of continuity and derivative are local, it suces to verify the assumption (c)
only locally.
3. A number of exercises and clarifying examples can be found in [L-Pr].
|f | d < .
X
The value
f p :=
1/p
p
|f | d
is called the Lp -norm of a function f L p . We will show soon that p has all
important properties of a norm.
(b) We denote by L = L (X, S , ) the set of all -measurable functions
f on X such that |f | M -almost everywhere for some constant M . The least
constant M having this property is called the L -norm of f and is denoted by
f . Roughly speaking, the dierence between f and supX |f | is that f
omits values of f on null sets.
Sometimes it is useful to emphasize the measure or the space X. In this case,
abbreviated symbols L p (X) or L p () will be used as well.
39
ab
ap
bq
+ .
p
q
Proof. We can assume ab > 0. Making use of concavity of the function ln,
ln
bq
ap
+
p
q
1
1
ln(ap ) + ln(bq ) = ln a + ln b = ln(ab)
p
q
Proof. Denote
1/p
|f | d
,
p
s=
1/q
|g| d
.
q
t=
|g(x)|
f (x)g(x)
|f (x)| |g(x)|
|f (x)|
+
st
st
psp
qtq
for each x X. Thus
1
st
f g d
X
|f | d
+
psp
|g| d
1 1
+ =1
q
qt
p q
40
With these trivial cases out of the way, there remains the case 1 < p < .
Holders inequality yields
p1
|f | |f + g|
d
X
1/p
1/q
(p1)q
|f | d
|f + g|
d
p
1/p
11/p
p
|f | d
|f + g| d
.
p
=
X
Analogously
p1
|g| |f + g|
1/p
11/p
p
|g| d
|f + g| d
.
p
This entails
p
p1
p1
|f + g| d
|f | |f + g|
d +
|g| |f + g|
d
X
X
X
1/p
1/p
11/p
p
p
p
|f |
+
|g|
|f + g| d
.
X
[f ] := [f ]
( R),
41
Proof. The easy case p = is left to the reader. Suppose p < . First we choose
a subsequence {gj } of {fi } such that
S :=
j=1
Denote h =
j=1
equality
hp d =
X
p
p
k
j=1
p
k
lim
gj gj+1 p S p < .
k
j=1
j=1
10.7. Remarks.
1. In the language of functional analysis we have just proved that Lp
are Banach spaces. The characterization of their duals, which is signicant for the theory, is
postponed to Exercise 13.17.
42
P
n
|xn |p
1/p
<
,
the space of all bounded sequences x = {xn } with the norm x := supn |xn |.
10.8. Exercise. Suppose fn , f . Show that fn f 0 if and only if there exists
a set E , E = 0, such that fn f on X \ E.
10.9. Exercise. Let p [1, +) and {fn } be a Cauchy sequence in p . A close inspection of
the proof of 10.6 shows that there is a subsequence of {fn } that converges -almost everywhere
in X. Compare with Theorem 12.4.
10.10. Exercise. (a) Suppose that p [1, +). Show that the set
X
:= {
j cBj : Bj , Bj < }
j
p.
Hint. Apparently,
p . Choose f p . Since f is nite -almost everywhere, Exercise
3.11 provides a sequence {fn } of simple functions such that |fn | |f | and fn f almost
everywhere. Clearly fn
and by Lebesgues theorem with dominating function 2p |f |p ,
fn f p 0.
(b) Show that the set of all simple functions is dense in
10.11. Exercise. Consider p (0, 1). Dene .p and the spaces
in the beginning of this chapter. Show that:
p,
43
11.1. Product -algebra. First we introduce the notion of the product algebra. If S and T are some -algebras, the product -algebra S T is the
-algebra generated by the collection of all measurable rectangles. Thus, S T
is the smallest -algebra which contains all sets of the form S T where S S
and T T .
For M X Y , x X, let
M x := {y Y : [x, y] M } .
The set M x is called the x-section of M . Analogously, dene the y-section
My = {x X : [x, y] M }
for y Y .
11.2. Lemma. If M S T and x X, then M x T (and, of course,
similarly My S for y Y ).
Proof. Denote A := {E S T : E x T }. A moments reection shows
that A contains all measurable
A routine argument yields that
rectangles.
x
(X Y \ E) = Y \ E x and ( E )x = Ex . We see that A is a -algebra,
and therefore A = S T .
(a) if M1 M2 M3 . . . ,
Mn M , then Mn M ;
(b) if M1 M2 M3 . . . ,
Mn M , then Mn M .
Every monotone class which is simultaneously an algebra forms a -algebra.
The following idea, used already in the proof of the previous lemma, will repeat
in the proofs of subsequent theorems:
If A is the family of sets from S T for which a certain proposition holds
and if A contains all measurable rectangles, then A = S T provided A is a
-algebra. It is not always so easy to verify that A a -algebra. Often it is easier
to prove that A is only a monotone class and an algebra (mostly using Levis
theorem). But even in this case A = S T as follows from the next theorem.
11.4. Theorem. If R is an algebra of sets, then the smallest monotone class
containing R is (R).
Proof. Let M denote the smallest monotone class containing R (it does exist!).
It is sucient to show that M is an algebra. To this end, it is enough to prove
that M KE := {B : E \ B, B \ E, B E M } for each E M . We x a set
F and proceed in the following steps:
(a) KF is a monotone class;
(b) R KF for F R;
(c) M KF for F R;
(d) if E M , then R KE . (Let F R; by (c), E KF , and so F KE .)
Therefore R M KE by the denition of M .
The basis for a denition of the product measure is in the following proposition.
44
Proof. Let A be the collection of all sets E S T such that all assertions
hold for E. If R denotes the family of all nite disjoint unions of measurable
rectangles, it is straightforward to check that R is an algebra. The assertion will
follow from the preceding theorem, provided we can prove that A is a monotone
class containing R. We merely outline the main steps and invite the reader to ll
in the details.
(a) A contains all measurable rectangles.
n
disjoint).
45
h(x, y) d) d =
h(x, y) d d .
h d =
XY
h d =
XY
h(x, y) d
d =
h(x, y) d d .
Proof. As usual, it is sucient to prove the theorem for indicator functions. Let
M be a set of the form A N , where A S T and N B for B S T ,
B = 0. By Fubinis theorem
cB (x, ) d = 0
Y
46
cM d =
XY
cM (x, y) d
d.
11.12. Exercise. Show that every Dynkin class is a monotone class and nd a counterexample
that the reverse is not true.
11.13. Notes. The product measures and the reduction of multi-dimensional integration to
one-dimensional one were originally studied in case of the Lebesgue measure in R2 and appear
already in H. Lebesgue [*1904]. G. Fubini [1907] claims that the order of integration may be
reversed. A complete proof was done by L. Tonelli [1909]. Approximately in the 30s a number
of works concerning the abstract product measure theory appeared. The method explained in
this chapter is due to H. Hahn [1933].
Let us point out that there are theories concerning products of measures which are not
necessarily -nite. The theory of innite products of measures (we understand the innite
number of factors) is also very important.
the
the
the
the
47
1
If Aj :=
{x X : |f (x) fnk (x)| } and B :=
Aj , then A1 A2
k
j=1
k=j
1
< +, and consequently
A3 . . . , A1
2k
B = lim Aj lim
1
1
= lim j1 = 0
2k
2
k=j
> 0 be given. Then there is a j = j(x) such that x X \ Aj =
{y X :
k=j
1
|f (y) fnk (y)| < }. If k0 > max(j(x), 1 ), then |f (x) fnk (x)| <
k
k k0 , as needed.
1
k
for all
sequence {mk } such that
Ek,mk < . Set
k
M =X\
Ek,mk .
1
k
48
Hint. For one of the implications use Theorem 12.4. If {fn } satises the subsequences condition and does not converge in measure, then there exists an > 0 and a subsequence {gn } of
{fn } such that {|gn f | > } > for all n and gn f almost everywhere. By Lebesgues
theorem of 12.6 we obtain a contradiction.
12.8. Exercise. Let (X, , ) be a measure space, an increasing, bounded and continuous
function on [0, ], (0) = 0, and (s + t) (s) + (t) for all s, t 0 (for instance the function
t t/(1 + t)). Dene
X
(f, g) =
2j ({|f g| 1/j}).
j=1
Show that
(a) is a pseudometric on the space of all the -measurable functions on X;
(b) fn converge to f in measure if and only if (f, fn ) 0.
12.9. Exercise (Vitalis theorem). Let 1 p < +. If fn
and fn p f p , then fn f p 0.
p,
fn f almost everywhere
R
X
Z
|f |p lim inf
2p
Z
|f |p lim sup
n = 2p
X
|fn f |p .
X
12.10. Exercise.
(a) (Egorov) Let be a -nite measure on (X, ), fn -measurable
functions on X and fn f almost everywhere (fn , f almost everywhere nite). Show that
S
of nite measure such that (X \
Ek ) = 0 and fn f on every Ek .
there exist Ek
k=1
(b) Show that the assumption of -niteness of the measure in (a) cannot be dropped.
Hint. Let X be the set of all convergent sequences x = {xk } of real numbers and the counting
measure on X. Dene a sequence {fn } of functions on X by fn (x) = xn . Choose a sequence
{Ej } of subsets of X on which {fn } converges uniformly and nd a convergent sequence {yk }
which does not belong to any of the sets Ej (because it converges more slowly than all sequences
from Ej ).
(c) Show that the -uniform convergence implies convergence almost everywhere, or convergence in measure, without the assumption that X < .
12.11. Exercise.
Find a sequence {fn } of functions on [0, 1] which converges to zero in
(Lebesgue) measure whereas the sequence {fn (x)} fails to converge for any x [0, 1].
,
Hint. Consider the indicator functions of intervals [ k1
m
k
]
m
49
p
12.12. Weak Convergence in Lp . Let 1 p < + and q = p1
(q = + if p = 1).
p
Suppose f , fj R
. We say
weakly to f in Lp (denoted
R that a sequence {fj } converges
f = w-lim fj ) if X fj g d X f g d for every function g q .
Hint. If the space Lp is separable, proceed in a similar way as in the proof of Theorem 17.10.
The nonseparable case is more dicult. The idea is that for 1 < p < the space Lp is reexive
and reexive spaces are characterized by this property, cf. for instance L. Misk [*1989], Theorem
33.4 or R.B. Holmes [*1975], p.149.
(f) Let p > 1. If fj f almost everywhere and if {fj p } is a bounded sequence, then
f = w-lim fj . The proposition holds also if the assumption fj f almost everywhere is
replaced by fj f in measure.
(g) The Radon-Riesz theorem. Let p > 1, f = w-lim fj and f p = lim fj p . Then
f fj p 0. (What proposition do we obtain by sticking (f) and (g) together?)
Hint. The proof makes substantial use of uniform convexity of Lp spaces for 1 < p < , see
M.M. Rao [*1987], Proposition 5.5.3.
(h) The sequence fj : x sin jx converges weakly to zero for any p on each bounded interval.
None of its subsequences is convergent almost everywhere.
(i) Suppose fj = j 1/p on (0, 1/j) and fj (x) = 0 on (1/j, 1). The sequence {fj } is bounded
in the norm of Lp (0, 1) and tends to zero almost everywhere. If p = 1, then it is not weakly
convergent (nor any of its subsequences). If p > 1, then it converges weakly but not in norm.
12.13. Weak* Convergence. Assume is a -nite measure on X and f, fj L . We say
R
R
that a sequence {fj } converges weakly* to f (denoted f = w* -lim fj ) if X fj g d X f g d
for each function g 1 .
(a) If f = w* -lim fj , g = w* -lim fj , then g = f almost everywhere.
(b) If f fj 0, then f = w* -lim fj .
1 -functions,
(i) f = w* -lim fj ;
R
R
(ii) the sequence {fj } is bounded and X gfj d X gf d for each function g
(d) If fj f almost everywhere and if the sequence fj is bounded, then f =
w* -lim f
.
j.
(e) Any norm-bounded sequence {fn } of -functions contains a weakly* convergent subsequence.
S
Hint. Write X = Xk where X1 X2 . . . and Xk < . Suppose {fn } is a norm-bounded
sequence of functions from L and
(
fn on Xk ,
fn,k =
0
on X \ Xk .
50
Then {fn,k }n is bounded even in the L2 -norm and there exists its subsequence {fni ,k }n which
R
R
converges weakly in L2 to a function fk . But this means that lim X fni u d = X fk u d for
i
x = 1 and 12 (xn + x) 1, then xn x 0. The Lp spaces are uniformly convex
for 1 < p < (it follows from the Clarksons inequalities, see, for instance, E. Hewitt and
K. Stromberg [*1965]).
3. A Banach space X is said to have the Kadec-Klee property if xn x 0, whenever a
sequence {xn } X converges weakly to x and xn x. All locally uniformly rotund
Banach spaces (in particular Lp spaces, 1 < p < ) have the Kadec-Klee property. Indeed,
if {xn } is a sequence which does not converge to a point x and for which xn = x = 1,
local uniform rotundity
ensures the existence of its subsequence, call it {xn } again, and an
(0, 1) such that 12 (xn + x) < 1 . Using the Hahn-Banach theorem nd a F X with
F = 1 = F (x). Now, it is clear that the sequence {F (xn )} cannot converge to F (x).
4. In interesting cases, the L1 spaces are not (locally) uniformly convex, nor do they need satisfy
a proposition analogous to 12.12.f. Nevertheless, if fn L1 , fn f almost everywhere or in
measure and fn f , then fn f 0 (cf. 12.9).
12.15. Exercise. Let X < and 1 p < r +. If {fj r }j is a bounded sequence and
fj f almost everywhere (or, in measure), then f fj p 0. Show that the assertion does
not continue to hold for r = p.
12.16. Notes.
The notion of convergence in measure was introduced by F. Riesz [1909a]
where also Theorem 12.4 was proved. Egorovs theorem was proved for case of the Lebesgue
measure by H. Lebesgue [1903] and by D. Egorov [1911].
51
Now, if and are measures on S , one might ask whether there is a nonnegative
function f L 1 () such that = f . Immediately we see that such a function in
general does not exist. Indeed, every measure of the form f satises f (E) = 0,
provided (E) = 0. However, we show that if E = 0 whenever E = 0, and
and are -nite, then a desired function f , called the density or the RadonNikodym derivative of with respect to , can be found. Then the density of
with respect to is unique except for a null set and it is sometimes denoted by
d
.
d
We say that a measure on S is absolutely continuous with respect to , and
write , if E = 0 for every E S with E = 0.
There are several methods how to prove the existence of Radon-Nikod
ym derivatives. Our
proof is based on the following variational approach. Assuming that such a function f exists
and is in 2 , consider the functional
Z
|g f |2 d
J0 : g
X
on the space L2 (). The function f evidently represents the only element of the space L2 () at
which J0 attains its minimum. For all g L2 ()
Z
f 2 d
J0 (g) = J(g) +
X
where
(g 2 2f g) d =
J(g) =
X
g 2 d 2
X
g d.
X
Since the functionals J and J0 dier only by a constant, J attains its minimum at f . This is
also the idea of our proof of the following lemma.
f d
A
for any A S .
Proof. For g L 2 () denote
g 2 d 2
J(g) =
X
g d .
X
Let
c := inf{J(g) : g L2 ()}.
Since A A for each A S , we have
J(g)
(g 2 2 |g|) d =
52
1
1
2
(g + h) = g h2
2
2
holds, we have
1
2
2
0 2t
X
c2A d 2t
f cA d + t2
cA d = 2t
X
f d A + t2 A.
f d A 1 |t| A
2
X
g d,
g L2 ().
By the Riesz representation theorem on continuous linear functionals on Hilbert spaces there is
an element f L2 () such that
Z
F (g) =
f g d
X
for each g
.
L2 ().
13.4. Radon-Nikod
ym Theorem. Let , be nite measures on (X, S ),
. Then there exists a nonnegative function h L 1 () such that
h d
A =
A
53
0 A =
f d A =
A
1 d ,
A
We see (for simple functions using linearity, then passing to limits) that
gf d =
g(1 f ) d
X
f
1f
X
cA
1f .
h d = (X) < +.
13.5. Theorem. Let and be nite measures on (X, S ). Then the following
conditions are equivalent:
(i) ;
(ii) there is a nonnegative function f L 1 () such that
E =
f d
E
for all E S ;
(iii) for any > 0 there is a > 0 such that E < whenever E S and
E < .
54
Proof. The implication (i) = (ii) was established in Theorem 13.4, (ii) = (iii)
follows by Exercise 8.22.b and (iii) = (i) is obvious.
13.6. Remarks. 1. The Radon-Nikod
ym theorem can be generalized, its variants hold even
for signed or complex measures. Let us state the version for -nite measures:
Let , be -nite measures on (X, ), . Then there is a nonnegative
function h (not necessarily from 1 ()) such that
-measurable
Z
A =
h d
A
Suppose is a
Z
af d ||
f d =
X
(R)).
(c) If is the Lebesgue-Stieltjes measure determined by the Cantor singular function (see
Example 23.1 and Exercise 24.8.) and the Lebesgue measure, then on (R, (R)).
55
Proof. (See also Exercise 13.12.) We rst reduce the general case to the case
when is a nite positive measure. There are B
X \ M with
B = 0. (Otherwise (M B ) = 0 and (B M ) > M .) If X = Xk where
Xk < +, nd sets Mk Xk in the same way as in the rst part of the proof
and set
M=
Mk , a A = (A \ M ), s A = (A M ).
Having the proof for positive measures, the general case easily follows.
Uniqueness remains. Suppose that = a + s is another decomposition with
the required properties. Then there is a set M S for which M = 0 and
s (X \ M ) = 0. Fix A S and denote C = A (M M ), D = A \ (M M ).
We have C M + M = 0, so a C = a C = 0 and s C = s C. Further,
s D = s D = 0 and therefore a D = a D. Since A = C D and C D = , we
get s A = s A and a A = a A.
13.11. Lebesgue Decomposition. The decomposition = a + s is called
the Lebesgue decomposition of relatively to , and the measures a and s are
called the absolutely continuous part and the singular part of . Notice that there
exists a set M S such that s = M and a = X\M .
13.12. Exercise.
Give the details of an alternative proof of the Lebesgue decomposition
theorem: Existence (assuming -nitness of both measures) using the Radon-Nikod
ym theorem
and uniqueness from the following exercise (part (c)).
Hint. (a) Existence: Suppose , are positive and set = + , f = d/d. Then the
Lebesgue decomposition has the form s = M , a = X\M , where M = {f = 0}.
(b) Uniqueness: If = a + s = a + s , then a a = s s is at the same time
absolutely continuous and singular.
13.13. Exercise. Let and be positive, signed or complex measures on a measurable space
(X, )).
(a) Prove that the following are equivalent:
(i) ;
(ii) || ||;
(iii) (r )+ (r )+ , (r ) (r ) ; (i )+ (i )+ , (i ) (i ) .
(b) If 1 , 2 , then 1 + 2 .
(c) If , , then = 0.
13.14. Exercise.
sS
measures, cf. Exercise 2.10). Describe the Lebesgue decomposition of with respect to the
Lebesgue measure.
13.15. Exercise. Suppose M(X) (see Exercise 6.17), V = { M(X) : }. Show
that V is a closed linear subspace of the Banach space M(X).
13.16. Exercise. Let , be nite (positive) measures on (X,
as in Exercise 6.19 and let = + .
56
d d
d sup(, )
= max(
,
).
d
d d
13.17. Duality of Lp Spaces. Suppose p, q [1, +], p1 + 1q = 1. Consider spaces Lp and
Lq determined by a -nite measure on (X, ).
R
(a) If v Lq , then the mapping u X uv d is a continuous linear functional on Lp .
(b) Prove that
p
q
(b) Suppose p <
R and f is a continuous linear functional on L . Then there exists a v L
such that f (u) = X uv d for all u Lp . Moreover vq = f (here, f = sup{f (u) : u
Lp , up 1}).
q
uj p1
f q . An appeal to Levis theorem reveals that v Lq and vq f . The
p
reverse inequality is as easy consequence of H
olders inequality.
13.18. Remark.
The previous theorem which describes duals of Lp for 1 < p < was
proved using the Radon-Nikod
ym theorem, so that we had to conne ourselves to the case of
-nite measures. However, the theorem holds for arbitrary measures.
In a similar way, it can be proved that any element of L represents a continuous linear
functional on L1 (by the same formula as in 13.17), but not every element of the dual space
to L1 is of this form. In order to be able to characterize elements of the dual space to L1 by
elements of L , it is necessary to conne ourselves, e.g. to the case of -nite measures. One
possible description of the dual space of L1 () in the case of arbitrary measure can be found
in J. Schwartz [1951].
The assumptions imposed on measures in the Radon-Nikod
ym theorem can be weakened to
the case of so called localizable measures. This notion, containing -nite case as well as the
case of Radon measures, was introduced by I.E. Segal in [1954]. For more information we refer
to M.M. Rao [*1987].
Let us remark that the dual spaces of L can be described using (bounded) nitely additive
measures, cf. E. Hewitt and K. Stromberg [*1965].
13.19. Notes.
The Radon-Nikod
ym theorem was rst proved by H. Lebesgue [1910] for
measures which are absolutely continuous with respect to the Lebesgue measure. Later, it was
generalized by M.J. Radon [1913] to Radon measures and by O. Nikod
ym [1930] to measures
on abstract spaces. The Lebesgue decomposition in the case of arbitrary measures is in Saks
monograph [*1937]. There are dierent proofs of the Radon-Nikod
ym theorem. One of them is
based on the Hahn decomposition and a newer one, using the Riesz theorem of representation
of functionals on Hilbert spaces, comes from J. von Neumann. Our proof uses the variational
principle and is near to von Neumanns.
In the classical case of the Lebesgue measure, the characterization of dual spaces of Lp spaces
is due to F. Riesz [1910] for p > 1 and to H. Steinhaus [1919] for p = 1.
57
c (P )
Af :=
f
a
Rb
a
A f = (RS)
f d := inf{
a
n
X
ci ((xi ) (xi1 )) :
i=1
f
G
58
xU, xz
h(x) = f (z)
for each z P .
N.
Thus
the
series
fnk converges
2
k
uniformly on P and if f := fnk , then f Cc (P ). Then for each k,
bk
k
i=1
Afni = A
k
fni
Af,
i=1
and hence b = 0.
14.4. Semicontinuous Functions. Remember that a function f : P R is
said to be lower semicontinuous if {x P : f (x) > c} is open for each c R.
Upper semicontinuous functions are dened in a similar way.
Denote by Cc (P ) the set of all lower semicontinuous functions on P which are
nonnegative outside a compact set and do not attain the value . Analogously
we dene Cc (P ).
14.5. Extension of a Radon Integral. Let A be a Radon integral on P . We
extend A for larger classes of functions in the following steps.
1. For f Cc (P ) let f = Af .
2. If f Cc (P ), then we dene f = sup{ g : g Cc (P ), g f }.
59
4. We say that a function f on P is A-integrable if f =
f and this common
value, which is denoted by f , is nite.
14.6. Properties of Extended Radon Integrals. The procedure of extension
of Radon integrals requires to prove in each step that the new integral agrees
with the old one for functions which are already integrable with respect to
previous denitions. It is also needed to show that
(a) f
f for every function f on P ;
(b) the set of all nite A-integrable functions on P is a linear space and is a
nonnegative linear functional on it.
14.7. Measures induced by Radon Integrals. The mapping A : E
cE
is an outer measure on P . Dene M(A) as the -algebra of all A -measurable
subsets of P in the sense of Caratheodory (see 4.4.) and A as the restriction of
A to M(A). Then A is a measure on M(A). Furthermore, the set of all Aintegrable functions on P coincides with the set of all
A -integrable functions on
P . For every such a function f the equality f = P f dA holds. The measure
A is complete and possesses the following properties:
(a) the domain M(A) of A contains all Borel subsets of P ;
(b) A K < for every compact K P ;
(c) A G = sup{A K : K G, K compact } for every open set G P ;
(d) A M = inf{A G : G M, G open } for every M M(A).
14.8. Examples. (a) If z P and A : f f (z) is the Dirac integral at z, then A is the
Dirac measure at z (note that the Dirac measure is dened on the -algebra of all subsets of P ).
(b) If A is the Riemann-Stieltjes integral determined on R by a nondecreasing function ,
then the associated measure := A is called the Lebesgue-Stieltjes measure. Show that the
Lebesgue measure corresponds to (x) = x.
(c) The Radon measure corresponding to the Poisson integral (Example 14.2.g) is called the
harmonic measure at x.
14.9. Remark.
The explanation in 14.5 14.7 would be much longer if all proclaimed
propositions were proved. In this manuscript, we choose another approach. We will prove
the existence of A (the so called Riesz representation theorem) as directly as possible and
the extension
of a Radon integral to the collection of all A-integrable functions we obtain as
R
f P f dA .
Although there are several approaches with dierent proofs, their most dicult parts are
based on similar ideas.
60
61
that many authors use dierent forms of a similar approach (W.H. Young [1904], H.H. Golstine
[1941], J. Mark [1952] and others).
The idea of extending the Radon integral is also due to many authors. However, it seems
that Bourbakis group was the rst who worked it out for general locally compact spaces.
Also many authors conne themselves to the integration theory on locally compact spaces.
Kakutanis representation theorem (S. Kakutani [1941]) says that any abstract functional A
can be represented as a Radon integral AK on a locally compact space PK
on a Riesz lattice
so that the corresponding spaces of integrable functions are isomorphic. However, Kakutanis
representation also has some disadvantages when changing the original functional, the space P
changes as well and if the original space is locally compact, Kakutanis representation can lead to
satises Stones condition (min(1, f )
a dierent space. Supposing that the Riesz lattice
if f ), H. Bauer in [1957] constructed a dierent representation of (PB , AB ) which removes
is the space of all
mentioned disadvantages; the space PB does not depend on A and if
continuous functions with a compact support on a locally compact space P , PB can be identied
and AB with A.
with P , c (PB ) with
Of course, no such representation can save the topology on the original space if it is not
locally compact.
Many works are also concerned with integration theories in topological spaces without the
assumption of local compactness (for instance in separable metric spaces) but in this case the
correspondence between measure and the topological structure is not so fruitful.
62
If E S , E < , then
E = sup {K : K E, K compact }.
Proof. Given > 0, there exist an open set G E and a compact set K G
such that (G \ E) < and K > G . Let V be an open set containing G \ E
with V < . If H := K \ V , then H is compact,
E \ H (E K \ H) (E \ K) V (G \ K)
and H > E 2.
15.4. Lemma.
f d = inf{ g d : g Cc , g f };
P
P
f d = sup{ h d : h Cc , 0 h f }.
(a)
(b)
(sk sk1 ), there exist Aj S and j 0 so that
f . Since f = s1 +
f =
j=1
k=2
j=1
j cGj is
g d
f d + .
P
(b) To prove the asssertion it suces to show it for simple functions. Let
n
j cMj be a -integrable function (1 , . . . , n 0, M1 , . . . , Mn S and
f =
j=1
63
Mj < ). Choose again an > 0. By virtue of Lemma 15.3 there are compact
sets Kj (j = 1, . . . , n) such that Kj Mj and
Kj Mj
.
nj
Then h :=
n
j=1
0 h f and
h d
P
f d .
P
Proof. First assume that f L (). Let > 0 be given. Cite Lemma 15.4 to
get nonnegative functions g Cc , h Cc such that g f + , h f and
g d
f + d + ,
h d
f d .
1
Then s := g h
Cc ,
s f and
s d f d + 2.
P
64
15.6. Corollary.
15.7. Exercise. Show that a nite positive measure on (P, ) is Radon if and only if for
and for every > 0 there exist a compact set K and an open set U such that
every E
K E U and (U \ K) < .
15.8. Signed and Complex Radon Measures. A signed measure on (P, ) is said to be
is
Radon if its positive and negative variations are Radon measures. A complex measure on
Radon if its real and imaginary parts are signed Radon measures.
(P,
Prove the following proposition: For a locally compact space P and a complex measure on
), the following assertions are equivalent:
(i) is Radon;
(ii) || is Radon;
and > 0, then there exist a compact set K and an open set U so that
(iii) if E
K E U and |A| < for each -measurable set A U \ K.
, A U \ K}.
To prove this inequality, use the decomposition as in the proof of Theorem 6.11.
15.9. Exercise. Let be a Radon measure on P . Prove that the union G of an arbitrary
of -null open sets is again a -null open set.
collection
Hint. Suppose K G is compact. Then K can be covered by a nite union of sets from
whence K = 0. Now, the denition of a Radon measure (property (c)) shows that G = 0.
15.10. Support of a Radon Measure. Let be a Radon measure on P . Dene the support
of as
[
supt = P \ {G : G open, G = 0}.
In other words, supt is the smallest closed set whose complement si of measure zero. According
to the previous exercise, such a set always exists. If is a signed or complex measure, its support
is dened as the support of its total variation ||.
R
(a) Let be a positive measure. Show that z supt if and only if P f d > 0 for every
nonnegative function f c (P ) with f (z) > 0, which happens if and only if U > 0 for every
open neighbourhood U of z.
(b) If 1 , 2 are Radon measures on P , then supt(1 + 2 ) supt 1 supt 2 with the
equality if 1 and 2 are positive.
15.11. Exercise. Let be a Radon measure and E a Borel set. If E is open or of nite
measure, then E (see 2.4) is a Radon measure.
15.12. Exercise. Let be a Radon measure and f a nonnegative -measurable function on
P . Show that f (see 8.19) is a Radon measure in the following cases:
(a) f is a Borel function and f is nite on compact sets;
(b) f is continuous on P .
Hint. Use the part (a).
15.13. Exercise. Suppose that is a Radon measure and f L1 (). Show that f is a
signed Radon measure.
15.14. Exercise.
Let 0 be a -nite Radon measure and = a + s the Lebesgue
decomposition of a nite (signed or complex) Radon measure with respect to 0 . Show that
a and s are Radon measures.
Hint. Use Exercise 15.11.
65
15.15. Exercise. (a) Show that the assertion of Lemma 15.3 continues to hold, provided E
is a countable union of sets of nite measures.
(b) If a Radon measure is -nite, then
E = sup{K : K E, K compact}
for every E , in particular for every Borel set E P . (Recall that on -compact spaces
Radon measures are -nite. Every locally compact space with a countable base of open sets is
metrizable and -compact.)
(c) Let P be the Cartesian product R Rd where Rd is R equipped with the discrete
topology. Show that P is a locally compact space which is not -compact.
P
Gy (see the notation in 11.1) and extend to a
For every open set G P set G =
yRd
Radon measure on P .
If B := {0} Rd , then B is a Borel set, B = and K = 0 for every compact set K P .
15.16. Exercise.
(a) Let be a Radon measure on P and K P compact. Show that
{x K : {x} > 0} is countable. In particular, if is a Radon measure on a -compact space
P , then {x P : {x} > 0} is countable.
(b) Let be a Radon measure on Rn . Then the set {r > 0 : {x Rn : |x| = r} > 0} is
countable.
15.17. Exercise. Let be a Radon measure on (P,
is dense in p ().
of nite
Hint. With the help of Exercise 10.10.a, it is sucient to approximate every set E
measure by functions from K (P ) in the Lp -norm. If > 0, then there exist an open set G and
a compact set K (Lemma 15.7) so that K E G and (G \ K) < . Now, use Urysohns
lemma in order to nd a function c (P ) with cK cG .
15.18. Exercise. A Radon measure on P is called discrete (often also atomic) if there
exists a set S P such that (P \ S) = 0 and {x}
= 0 for all x S. A measure is called
continuous if {x} = 0 for each point x P .
(a) Show that a complex Radon measure on P
P is discrete if and P
only if there exists a
|cj | < and =
cj xj . Cf. Exercise
sequence of numbers {cj } and points xj P so that
j
2.10.
(b) Show that every Radon measure can be uniquely expressed in the form = d + c
where d is discrete and c continuous.
Hint. Set S := {x P : {x} > 0}, d A = (A S) and c A = (A \ S) (use Exercise 15.16.a).
(c) Show that each Radon measure on Rn can be written uniquely in the form
= d + a + s
where d is discrete, s is continuous, a is absolutely continuous with respect to the Lebesgue
measure and s and are mutually singular.
15.19. Exercise. Let be a -nite Radon measure on P and E
(a) Show that for every > 0 there exist an open set G and a closed set F such that
F E G and (G \ F ) < .
S
Hint. Suppose E = Ej , where Ej are of nite measure. Find open sets Gj Ej such that
j
S
Gj < Ej + 2j1 and set G = Gj . In a similar way nd F (considering the complements).
j
66
(b) Show that there exists an F set S and a G set D such that S E D and (D \S) = 0
(compare also with Theorem 1.21).
15.20. Exercise. Let be a Radon measure on (P,
f d ,
f Cc (P )
is a Radon integral on P .
On the other hand, every Radon integral A on P can be understood as an
integral with respect to a Radon measure. In Chapter 14 we indicated a method
of proving this proposition, and now we propose to show another method and
provide complete proofs.
Symbols A and A of this chapter will be used to denote the same objects as
previously in Chapter 14, but the denitions are revised.
In the sequel, A denotes a Radon integral on a locally compact space P .
16.1. Outer Radon Measure. If G is an open subset of P , we set
A (G) = sup {Af : f Cc (P ), 0 f 1, f = 0 on P \ G} .
Clearly A is monotone on open sets. We dene
A (E) = inf {A (G) : G open, G E}
for an arbitrary set E P .
The set function A will be called the outer Radon measure (assigned to the
Radon integral A). In the next theorem we will prove that A (which will be
simply denoted by ) is really an outer measure.
67
{Vi1 }i , {Vi2 }i such that Vij Gj and Vi1 Vi2 K. Set Kj = K Vij ,
i
i=1
i=1
n
i=1
Gi
n
i=1
Gi
i=1
Gi ,
68
i=1
i=1
En .
Finally, let En P be arbitrary. We wish to show that ( En )
It would be clearly sucient to assume that En < for all n. Given > 0,
we can nd open sets Gn such that En Gn and Gn < En + 2n . Then
En
Gn
En + .
k
Gk := x P : f (x) >
.
n
69
Then using the denition of G and the properties of integral it is clear that
1
1
1
1
Gk A(fk fk1 ) Gk1 and
Gk (fk fk1 ) d Gk1
n
n
n
n
P
for each k = 0, 1, . . . , n. Thus
n
Af
A(fk fk1 ) (fk fk1 ) d
f d =
P
P
k=1
n
1
1
1
P
The space
C0 (P ) := {f C (P ) : for every > 0 there exists a compact set K P
such that |f (x)| < for all x outside K }
of all continuous functions on P vanishing at innity is the closure of Cc (P ) in
Cb (P ). If is a nite Radon measure on P , then
f
f d
P
70
c (Q)
provided P < + or h1 (F ) is
c (Q),
is a Radon integral on Q.
(c) By the Riesz Representation Theorem there exists a unique Radon measure on
(Q, (Q)) which represents A. Prove that = h() (notation as in Exercise 8.23).
Hint. Show that (K) = f ()(K) for every compact set K.
16.9. Product of Radon Measures. Consider locally compact spaces P1 and P2 . Their
Cartesian product P1 P2 is again a locally compact space. If P1 and P2 have countable bases,
then the product P1 P2 has a countable base as well.
We are now interested in the product of two Radon measures. Two main problems arise:
1. In general, a Radon measure is not necessarily -nite and we cannot speak about a product
measure in the sense of Chapter 11.
2. Although (P1 ) (P2 ) (P1 P2 ), the equality in general does not hold. Thus even if
the original Radon measures on P1 and P2 are -nite, their product is not necessarily dened
on (P1 P2 ) and so it cannot be called a Radon measure.
In the sequel, we show a way how to dene a product of Radon measures.
(a) Let P1 , P2 be locally compact spaces with countable bases (and so metrizable). Then
(P1 P2 ) = (P1 ) (P2 ) and if 1 , 2 are Radon mesures on (P1 ), (P1 )), (P2 , (P2 )),
then 1 2 is a Radon measure on (P1 P2 , (P1 P2 )).
Hint. It is not hard to verify that (P1 ) (P2 ) = (P1 P2 ). Hence 1 2 is dened on
(P1 P2 ). Since P1 P2 has a countable basis, it is sucient to show that 1 2 is nite
on compact sets. Select a compact set K P1 P2 and denote Ki projections of K onto Pi .
Then K1 and K2 are compact sets (as continuous images of compact sets) and K K1 K2 .
Then
1 2 (K) 1 2 (K1 K2 ) = 1 K1 2 K2 < +.
(b) Consider now the general case when P1 and P2 have not necessarily countable bases. By
Exercise 14.13 there is a Radon integral A on P1 P2 such that
Af = A1 f1 A2 f2
whenever f1 c (P1 ), f2 c (P2 ) and f (x1 , x2 ) = f1 (x1 )f2 (x2 ), x1 P1 , x2 P2 . Show that
A is a unique Radon measure on (P1 P2 ) satisfying
(E1 E2 ) = 1 E1 2 E2
whenever E1
(P1 ) and E2
(P1 )
(P2 ).
(c) Using results of 16.10, it is possible to dene a product of complex measures as well.
16.10. Representations of Signed and Complex Radon Integrals.
signed or complex Radon measure on P and a a bounded Borel function on
mapping
Z
A : f
af d
(a) Let be a
(P ). Then the
is a complex Radon integral. If, in addition, P < +, then A is a continuous linear functional
on 0 (P ).
71
(b) Let be a nite signed or complex Radon measure on P . Then the mapping
Z
A : f
f d
P
0 (P ).
(c) Let A be a complex Radon integral on P (signed Radon integrals are particular cases)
and let |A|R be as in 14.11. By the Riesz representation theorem there is a Radon measure
such that f d = |A| f for each f c (P ). Show that there exists a bounded RBorel function
a (uniquely determined as an element of L (P, )) such that the equality Af = P af d holds
for every function f c (P ). Moreover, |a| = 1 -almost everywhere.
Hint. The function a can be dened locally, so the problem can be reduced to the case when P
is compact. Our approach will be analogous to that in proving the Radon-Nikod
ym theorem.
The functional A is uniformly continuous on (P ) with respect to the norm of the Hilbert
space L2 (P, ), thus it can be continuously extended to the entire space L2 and the Riesz
Representation Theorem on representation of continuous linear
functionals on a Hilbert space
R
yields the existence of an element a L2 such that Au = au d for all u L2 . Proof of the
fact that |a| = 1 -almost everywhere is more dicult, see e.g. G.K. Pedersen [*1989].
(d) Let A be a continuous linear functional on 0 (P ). Then there exists a unique complete
signed (or complex,R depends on what eld we consider) measure on P such that 0 (P )
1 (||) and Af =
P f d for each f 0 (P ).
16.11. Notes. The famous Riesz Representation Theorem 16.5 was proved for P = [0, 1] by
F. Riesz [1909b] but continuous linear functionals on ([0, 1]) were represented by functions of
bounded variation using Riemann-Stieltjes integrals. Other theorems of this type were proved by
J. Radon [1913] (for compact subsets of Rn ), S. Banach in Appendix to Saks monograph [*1937],
S. Saks [1938] (for compact metric spaces) and S. Kakutani [1941]. The Riesz Representation
Theorem for compact spaces and the method of construction of Radon measures directly from
Radon integrals is due to J. von Neumann [1934]. Concerning locally compact spaces, A. Weil
[1940] was aware about the result. However, the nal version for locally compact spaces was
established by the Bourbaki group (A. Weil was also its member) in the 40s and appeared in
[*1952].
for each f F . Notice that the F -weak limit, if exists, is uniquely determined.
The most important case is the Cc (P )-weak convergence which is called the
v
vague convergence and denoted by n .
72
From the point of view of functional analysis, the vague convergence is the weak* convergence.
In case of spaces of measures, it is common to omit the asterisk. Dierent spaces of measures
are duals to dierent spaces of continuous functions. If such a space
is equipped with a norm
(or, more generally, with a locally convex topology), then it is possible to introduce a -weak
topology on its dual so that the -weak convergence of measures is in fact the convergence
in this ( -weak) topology. Notice that the space is not (except a few not very interesting
cases) metrizable. Hence the -weak topology cannot be described by convergence of sequences
and, in general, nets have to be used instead.
If P is a compact metric space, then the set
+ (P )
is metrizable in the
(P )-weak topology.
In functional analysis, besides weak convergences we meet also strong convergences. The most important example of a strong type convergence of measures is
the convergence n 0 on the space Mb (P ) of all nite signed (or complex) Radon measures. The norm dened as || (P ) (like in Exercise 6.17)
is the dual norm to the norm of C0 (P ) and Mb (P ) with this norm is a Banach
space.
17.2. Comparison of Weak Convergences. Now we will touch the question
v
whether the vague convergence n implies the F -weak convergence for a
wider space of test functions. Proofs of next propositions require the BanachSteinhaus theorem of functional analysis.
v
(c) Suppose xn z, yn z, xn
= yn . Then xn yn 0 but xn yn 2
= 0.
(d) If f is a continuous function on [0, 1], then
Z
f (x) dx =
0
lim
k+
k
1 X i
f( ) .
k i=1 k
As if often the case, this equality can become the basis for a denition of the Riemann integral,
but it cannot be used to describe the set of Riemann integrable functions. In the language of
the weak convergence of measures it can be understood as
k
1X
v
i [0,1] .
k i=1 k
73
The above examples show that the weak or vague convergence (unlike the
strong convergence, cf. Exercise 6.18) of n to does not imply n (A) (A)
for all (Borel) sets. Nevertheless, we can state the following theorem for compact
spaces. Its modications hold in locally compact spaces as well.
v
u d lim inf
u dn .
lim sup
f dn lim sup
f dn
f d = f d.
n
To prove (c), (d) and (e) we can apply (a) and (b) to indicator functions.
17.5. Remark. Compare Theorem 17.4 with the well-known result that a bounded function
f is Riemann integrable if and only if the set of all points of discontinuity of f is of measure zero
(see 7.9.d). It is possible to prove that a bounded Borel function f is Riemann integrable on
R
R
[0, 1] if and only if [0,1] f dn 01 f d for every sequence n of positive measures converging
weakly to on [0, 1].
v
i=1
74
Proof. We sketch the main idea of the proof. Thanks to the compactness of P ,
for every k
{Mki } of pairwise disjoint nonempty
k =
(Mki )xik .
17.9. Remark.
The previous theorem can be proved as a nice application of the KrejnMilman theorem or of the bipolar theorem. However, both of them belong to deeper theorems
of functional analysis.
The following theorem has also its interpretation in the language of functional analysis: On
dual spaces bounded sets are relatively sequentially compact in the weak* topology.
for all i, j n0 . Hence {n (f )} is a Cauchy sequence and therefore it is convergent. Dene a functional on C (P ) as
(f ) = lim n (f ).
n
(P )).
17.12. Notes. The theory of weak convergence of probability measures has its roots in the
probability theory and mathematical statistics (see e.g. P. Billingsley [*1968]) and led, of course,
to a study of weak topologies on various subspaces of Radon measures. A similar notion of the
vague convergence was probably studied rst by Bourbakists (see the second edition of their
monograph). Vague convergence is again nothing else than the weak convergence on the space
c (P ).
75
-almost everywhere on K.
Proof. (i) = (ii): Let {Uj } be a countable base for the topology on R (for
instance, a sequence of all intervals with rational endpoints). Fix an > 0 and
a compact set K P . There exist open sets Gj P and compact sets Fj P
such that
Fj K f 1 (Uj ) Gj and (Gj \ Fj ) < 2j .
Ek
(= lim sup Ek ),
n=1 k=n
76
-almost everywhere on P.
c (P )
is dense in
(cf. Exercise
18.6. Notes. Luzins theorem for the case of the Lebesgue measure was proved by H. Lebesgue
[1903] and by N.N. Luzin [1912].
77
Most of this chapter is devoted to a more general problem. Since the object
belongs to elements of harmonic analysis and the reader can consult many textbooks (e.g. G. Bachman [*1964] or K. Ross [*1963]), we merely outline the main
ideas and invite the reader to ll in the details.
19.2. Topological Group. Let us start with basic notions. By a topological
group we understand a group G together with a (Hausdor) topology such that
the group operations (x, y) xy and x x1 are continuous.
In the sequel, G stands for a topological group whose topology is locally compact. The unit element of G will be denoted by e and the -algebra of all Borel
subsets of G by B(G). Finally, by S we will denote -algebras which appear as
domains of measures in consideration.
For x G and A G, set
xA = {xy : y A},
Ax = {yx : y A},
A1 = {x1 : x A}.
a
0
b
1
where a (0, +) and b R. There exists a one-to-one mapping of G onto (0, +) R given
by
a b
F:
(a, b).
0 1
Consider on G the (locally compact) topology determined by F from R2 . For A
Z
Z
1
1
A =
dx dy.
dx dy, A =
2
A x
A x
(a) Show that is a left Haar measure and a right Haar measure on G.
(b) Show that A = (A1 ).
(G), set
78
(The group G can be viewed as the group of all ane transformations of R onto R of the
form t at + b, a > 0, b R.)
19.6 Remark. If is a left Haar measure on G and
is dened as
E := (E 1 ) (again
is a right Haar measure on G. In the same way, any right
E 1 (G) if E (G)), then
Haar measure determines a left one.
In what follows, we restrict ourselves to a study of left Haar measures. Fundamental properties are contained in the following theorem.
(a) On any
(b) If and are complete left Haar measures on G, then there exists c > 0
such that = c.
Proof of this theorem is quite complicated and takes a lot of eort. There are various existence proofs, some of them as applications of deep theorems of functional
analysis. Here we outline a rough idea of an elementary existence proof.
Let V be an open neighbourhood of the unit element e of G. If E G is a
compact set, denote by HV (E) the smallest n such that there exist x1 , . . . , xn G
n
so that E
xj V (existence of a nite cover follows from the compactness of
j=1
E). Let K be a xed compact set with a nonempty interior. The required Haar
measure is then obtained by some limit procedure for V {e} and by extending
set functions
HV (E)
,
E compact.
E
HV (K)
A proper and complete description of the entire construction is not easy.
The proof of uniqueness will be given under an additional assumption that
is even a Haar measure. The general case is similar, but the technical details
are more dicult. First, there exists a nonnegative function h Cc (G) so that
h(e) = 0 and h(x) = h(x1 ) for
x G (if g Cc (G), g(e) = 0, g 0, set
h(x) = g(x) + g(x1 )). Then G h d > 0 (see Exercise 19.14.b) and for an
arbitrary function f Cc (G) we get
h d
f d =
G
f (xy) d(x) d(y)
h(y)
G
=
GG
GG
79
To give reasons for particular steps when using Fubinis theorem notice that f
and h have compact supports and
that and are Radon measures. We can
R
h d
nish the proof by setting c := RG h d .
G
Haar measures have many interesting properties. Let us state some of them.
19.8. Theorem. Let be a left Haar measure on a locally compact group G.
Then:
(a) U > 0 for any nonempty open set U G;
(b) G < + if and only if G is compact.
Proof. (a) Let U G be a nonempty open set. We can
xi U . Then
i=1
0 K
n
(xi U ) = n(U ).
i=1
1
xi K K is compact.
follows that G =
i=1
80
19.12. Theorem.
Proof. If G is discrete, then every left Haar measure is a multiple of the counting
measure. Hence, it is also right invariant. If is a left Haar measure on a
compact group G and x G, then G = Gx and G = (Gx) = (x)G. Since
0 < G < , we obtain (x) = 1.
If G is a compact group, then each left Haar measure on G is a Haar measure
and we get immediately the following theorem.
19.13. Theorem. On every compact topological group G there exists a unique
complete Haar measure satisfying G = 1. Moreover, E = E 1 for every
E B(G).
19.14. Exercise. Let be a left Haar measure. Prove the following assertions.
R
R
(a) If f c (G) and y G, then G f d = G f (yx) d(x). The last equality holds if f is a
nonnegative -measurable function on G or if f 1 ().
R
(b) If f c (G) is nonnegative and f (e) > 0, then G f d > 0.
(c) The measure is -nite if and only if G is -compact.
(d) The topology on G is discrete if and only if {x}
= 0 for some (and thus for all) x G.
19.15. Exercise. Calculate the modular function of the group from Example 19.5.
19.16. Exercise . Let be a modular function on a locally compact group G. Show that:
(a) is continuous;
(b) (xy) = (x)(y) for all x, y G;
(c) (e) = 1.
19.17. Exercise. Let be a left Haar measure
on G. Show that
, where
R
R the set function
for every f c (G).
equals (x1 ).
In other words, the Radon-Nikod
ym derivative
d
R
Hint. Show that the function on (G) dened by A := A (x1 ) d is a right Haar
measure. Thus = K
for some K. Now use the fact that is a continuous function attaining
the value 1 at the unit element e.
19.18. Exercise.
continuous.
Show that the left and right Haar measures on G are mutually absolutely
81
19.22. Exercise. Show that the Banach algebra (L1 (), ) has a multiplicative unit if and
only if G is endowed with the discrete topology. As an example consider the group Z of all
integers with the discrete topology and counting measure.
19.23. Involution. If f (x) := f (x1 )((x))1 , then the mappingR f f ofthe space L1 ()
onto itself (which is called the involution) is an isometry. (Show that G f (x1 ) ((x))1 d =
R
1 ().)
G |f (x)| d for f c (G); hence it follows that f = f if f
19.24. Convolution of Measures. In the following, G is again a locally compact topological group. By Mb (G) denote the set of all complex Radon measures
on (G, B(G)). According to 17.1, Mb (G) with the norm dened by := || (G)
is a Banach space.
We dene the convolution of measures , Mb (G) as
(E) := {(x, y) G G : xy E}
for any Borel set E G, where is the product of complex Radon measures
and , cf. 16.9.c. (Verify that {(x, y) G G : xy E} is a Borel subset of
G G!)
19.25. Exercise. Prove that is a complex measure on
the inequality holds.
(G),
b (G)
and that
Prove that if e is the unit of G, then the Dirac measure e is the unit of
19.28. Remark. The reader may nd it interested to investigate a relation between convolution of measures and convolution of functions. If , b (G), then
Z
(E) =
cE (xy) d ,
GG
hence
Z
h d =
G
h(xy) d.
GG
1 ()
we have
d(f g )
,
f g =
d
R
where f is the complex Radon measure given by f (E) = E f d. We see that the new
denition of convolution of functions agrees with the former one.
19.29. Exercise. Give a denition of a convolution of a (complex) function f 1 () and a
complex Radon measure b (G). Prove that f 1 () and that f 1 f 1 .
In fact, L1 () is not only a subalgebra of
b (G) but even an ideal.
19.30. Notes.
The translation invariant measures (or integrals) on compact Lie groups
were studied by F. Peter and H. Weyl [1927]. Remarkable progress was made by proving the
existence of a left Haar measure for separable locally compact groups by A. Haar [1933] and
by J. von Neumann in [1934] (the existence and uniqueness) for arbitrary compact groups, and
in [1936] (uniqueness) for separable locally compact groups and also by A. Weil especially in
[*1940]. Their proofs used the axiom of choice. H. Cartan [1940] and G.E. Bredon [1963] then
gave proofs without using the axiom of choice. A relatively short proof of the uniqueness result
can be found in S. Kakutani [1948]. More detailed historical notes are given by E. Hewitt and
K.A. Ross in [*1963]. It is said that Example 19.5. is due to J. von Neumann [1936]. Note that
Haar measures are special cases of invariant measures which can be studied in a more general
setting, cf. Banachs appendix of Saks monograph [*1937] or H. Federer [*1969].
82
D. Integration on R
20. Integral and Differentiation
In the following chapters we will investigate properties of real functions involving the Lebesgue measure and Lebesgue integration on the real line.
In this chapter, our aim is to show an inequality between the measure of f (E)
and the integral of f over E. As a particular case, we obtain Sards lemma on
the real line.
Let K be a positive real number. We say that a real function f is a K-Lipschitz
function on a set E R if the inequality
|f (x) f (y)| K |x y|
holds for all x, y E. If f is a K-Lipschitz function on E for some K, we say
simply that f is a Lipschitz function on E.
20.1. Lemma.
f (E) K E.
+, select
> 0 and nd a sequence of open intervals (aj , bj ) with E (aj , bj ) and
j
(bj aj ) E + . By hypothesis there are intervals [j , j ] such that
j
f (E)
(j j ) K
(bj aj ) K( E + ).
Since the last inequality holds for all > 0, we are done.
20.2. Lemma. Let f be a real function on an interval I and E I. If |f | K
on E for some K > 0, then
f (E) K E.
Proof. Choose K > K and denote
Ek = {x E : |f (x) f (y)| K for all y E (x k1 , x + k1 )}.
D. Integration on R
83
|f | .
{x E : f (x) > c} = E
m
Gm,k
is measurable.
To prove the required inequality, it is no restriction to assume that E is
bounded. For an > 0 denote
Ek = {x E : (k 1) |f (x)| < k}.
Then Ek are pairwise disjoint measurable sets, E =
20.2 yields
f (E)
f (Ek )
=
k
k
|f | + Ek
Ek
|f | + E.
20.5. Exercise. Under the assumptions of Theorem 20.4 prove that f (E) is a measurable set.
S
Hint. Use the following Exercise 20.6 and the fact that E = N Kn where N = 0 and Kn
n
84
20.7. Luzins (N)-property. We have seen in 3.18 that a continuous image of a (Lebesgue)
measurable set does not need to be measurable. On the other hand, if f is dierentiable and E
measurable, Exercise 20.5 yields that f (E) is measurable. We now consider briey the question,
under what conditions images of measurable sets are again measurable.
We say that a real function f dened on an interval I R has Luzins (N)-property if the
image f (N ) of any (Lebesgue) null set N I is again a null set.
(a) (Rademacher) Let f be a continuous function on an interval I. Then the following
conditions are equivalent:
(i) f has Luzins (N)-property;
(ii) f (M ) is measurable whenever M I is measurable.
Hint. In light of Theorem 1.21 a measurable set is a countable union of compact sets and a null
set. For the converse, use Remark 1.9.2 which says that every set of a positive measure contains
a nonmeasurable subset.
(b) Show that the assertion of (a) remains true if f is measurable only (use Luzins Theorem
18.2). Likewise, the denition of Luzins (N)-property and other ideas can be generalized to the
case when I is a measurable subset of Rn .
(c) Let f be a function having a nite derivative everywhere on an interval I. Then f has
Luzins (N)-property.
Hint. Exercise 20.6.
(d) Every Lipschitz (even locally Lipschitz) function on a measurable set M has Luzins
(N)-property.
20.8. Exercise. Let f be an arbitrary function on an interval I R. If D is the set of points
at which f has a nite derivative, then D is a Borel set and the function x f (x) is a Borel
function on D.
20.9. Notes. Luzins (N)-property was introduced by Luzin in [*1915]. Corollary 20.3 which
we called the one-dimensional version of Sards lemma is also often called Luzins theorem.
V(f, D) =
a
m
|f (xj ) f (xj1 )| .
j=1
is called the variation of f over [a, b]. If V f < for every interval [a, b] I,
a
then f is termed a function of nite variation. In this case there exists a function
v on I such that
b
v(b) v(a) = V f
a
D. Integration on R
85
we say that f is of bounded variation on I. For a compact interval [a, b], notions
of nite and bounded variation agree and they can be characterized simple by
b
V f < .
a
j=1
(bj aj ) < .
j=1
86
(bj aj ) < .
j=1
j=1
partitions
mj
= Bj
mj
i
f (bj ) f (aij ) + 1 .
p
i=1
i
(bj aij ) < , we have
j,i
j
f (bij ) f (aij ) + < 2 ,
j,i
as needed.
21.5 Exercise. Show that the product of two absolutely continuous functions (or functions of
nite variation) on a bounded interval is again an absolutely continuous function (or a function
of nite variation).
21.6. Exercise. Prove that every absolutely continuous function has Luzins (N)-property.
Hint. If N is a null set, nd an open set M of a small measure containing N and then use the
denition of absolute continuity.
21.7. Notes.
C. Jordan discovered functions of nite variation in [1881] and proved the
decomposition theorem 21.2.
D. Integration on R
87
Since
/ E, it follows that h h() in [, b). By hypothesis M = and
sup M = . Thus h(x) h() and letting x +, we complete the proof.
22.2. Remarks. 1. If (, ) is a maximal open interval contained in E and > a, then even
h() = h().
2. The mirror version of the lemma: Let h be a continuous function on an interval [a, b] and
denote
E = {x (a, b) : there exists a (a, x) with h() > h(x)}.
Then E is the union of a sequence (aj , bj ) of pairwise disjoint open intervals with h(aj ) h(bj ).
1
D+ f (x) = lim sup (f (x + t) f (x)),
t0+ t
1
D+ f (x) = lim inf (f (x + t) f (x))
t0+ t
and analogously D f (x) and D f (x) for t 0. These extended real numbers
are called the Dini derivatives of f at x. A function f is dierentiable at x if all
Dini derivatives of f agree at x.
Finally set
1
Df (x) = lim sup (f (x + t) f (x))
t
t0
and call the function Df the upper derivative of f . The lower derivative Df is
dened in a similar way.
22.4. Lemma. Every nondecreasing Lipschitz function f on an interval [a, b]
has a nite derivative almost everywhere on [a, b].
Proof. It is no restriction to assume that f is 1-Lipschitz. Lipschitz functions
cannot have innite derivatives. To prove the assertion it suces to show that
D+ f D f almost everywhere. Then analogously D f D+ f almost everywhere, and
0 D+ f D f D f D+ f D+ f 1
almost everywhere as needed. To this end let 0 < p < q < 1 be given and set
Mp,q := {x (a, b) : D f (x) < p < q < D+ f (x)}.
By Remark 22.2.2 there is a sequence of pairwise disjoint intervals (aj , bj ) such
that
x (a, b) : D f (x) < p x (a, b) : there exists (a, x)
with f () p > f (x) px = (aj , bj )
j
and
f (bj ) pbj f (aj ) paj .
88
Now apply Lemma 22.1 to f (x) qx on each interval [ak , bk ]. Again there are
pairwise disjoint intervals (ak,j , bk,j ) (ak , bk ) such that
{x (a, b) : D+ f (x) > q} {x (ak , bk ) : there exists (ak , x)
k
(ak,j , bk,j )
k,j
and
f (bk,j ) qbk,j f (ak,j ) qak,j .
Hence
k,j
1
1
(f (bk,j ) f (ak,j ))
(f (bk ) f (ak ))
q
q
k,j
k
p
p
(bk ak ) (b a).
q
q
(bk,j ak,j )
Now we show that also monotone functions are dierentiable almost everywhere. The situation is more dicult since monotone functions can be discontinuous. The heart of the proof lies in the observation that, for a nondecreasing
function f , the inverse function to x x + f (x) (whose domain is not necessarily
connected) can be extended to a nondecreasing Lipschitz function on an interval.
22.5. Theorem (Lebesgue). Every monotone function f on an interval I has
a nite derivative at almost all points of I.
Proof. It would be clearly sucient to assume that I = [a, b]. There exists an
interval [A, B] and a function g on [A, B] so that g is Lipschitz and nondecreasing,
and x + f (x) [A, B], g(x + f (x)) = x for all x [a, b]. (If f is continuous, then
g is simply the inverse function to x + f (x)). A moments thought will convince
the reader that
{x (a, b) : f (x) does not exist } g(E) g(N )
where
E = {y (A, B) : g (x) does not exist } and N = {y (A, B) : g (x) = 0}.
By the previous lemma E = 0. Hence g(E) = 0 by Lemma 20.1. According to
Sards lemma (Corollary 20.3) also g(N ) = 0 and the proof is complete.
D. Integration on R
89
Proof. For x > b set f (x) = f (b) and dene a sequence of functions
1
fk (x) = k f (x + ) f (x)
k
for x [a, b]. Then fk are nonnegative measurable functions on [a, b] (f is measurable!) and lim fk = f almost everywhere. Thus f is measurable and nonnegative
almost everywhere. Fatous lemma 8.15 and a quick computation establish that
1
b
f lim inf
fk = lim inf k
a
= lim inf k
b
1
b+ k
f
1
a+ k
b+ k
1
a+ k
f
a
lim inf k
1
1
f (b) f (a)
k
k
= f (b) f (a).
22.8. Notes.
Theorem 22.5 on dierentiability of monotone functions was proved by
H. Lebesgue in [*1904] under an additional assumption of continuity of dierentiated function.
In a full generality, the theorem was proved independently by G. Faber [1918] and by G.C. Young
and W.H. Young [1911]. Rising sun lemma 22.1 and proof of 22.4 are due to F. Riesz [1930-32].
To prove Lebesgues theorem, he uses this lemma and the notion of null sets only. The idea of
the proof of 22.5 was used by J. Mignot [1976] and L. Zaj
cek [1983].
f
where the integral is understood as Lebesgues one and the derivative in the
almost everywhere sense. First, let us show that formula does not always hold
even if f is monotone by considering the following example.
23.1. Cantor Singular Function. We dene the Cantor function f : [0, 1] [0, 1] in the
following way: Let f (0) = 0, f (1) = 1. For x [ 13 , 23 ] set f (x) = 12 . Further set f (x) = 14 for
x [ 19 , 29 ] and f (x) = 34 for x [ 79 , 89 ]. Each succesive step is essentially the same. If (a, b) is a
maximal interval in which f is not yet dened, we subdivide it into thirds and dene the value
of f in the closed middle third as the arithmetical mean of f (a) and f (b). Then f is dened
90
and uniformly continuous on a dense subset of [0, 1]. The last step of the denition consists in
the continuous extension of f to the whole interval [0, 1]. There is also an arithmetic denition
of the Cantor function. Suppose x [0, 1] is written in the form
x=
3j xj
j=1
where
yj =
We see that
f
1 X j
2 yj
2 j=1
xj
otherwise.
f (1) f (0) = 1
= 0 =
f .
f ([a, b] \ G)
f
[a,b]\G
f .
Whence
f (b) f (a) = f ([a, b]) f ([a, b] \ G) + f (G)
f + .
D. Integration on R
91
If c I and
x
c
(x) =
c
x c,
x < c,
E
f =
for any open set E, and consequently for any measurable set E as well. Then
Theorem 8.17 gives the desired conclusion.
23.5. Corollary. For a real-valued function f on an interval [a, b], the following
properties are equivalent:
(i)
(ii)
(iii)
[a,
b].
a
92
make this denition reasonable, we should add the assumption that f is continuous in order to
guarantee that all antiderivatives of f dier up a constant. An analogous problem appears
when assuming f = only almost everywhere. Now, the example of the Cantor function shows
that continuity of f does not guarantee that the increment f (b)f (a) does not depend on choice
of the generalized antiderivative. However, it is possible to give an alternative denition of
the Lebesgue integral of a function as the increment of an absolutely continuous function f
on [a, b] with f = almost everywhere. (Notice that this denition does not lead to a true
generalization some antiderivative are not absolutely continuous, see Example 25.1). The
denitions of various integrals based on the idea of (in some way) generalized antiderivatives
are called the descriptive ones. Let us note that these generalizations may consist in omitting
small sets or in a generalized dierentiation. Furthermore, in Chapter 25 we mention
Perrons method which is also included among descriptive approaches.
(f (x + t) f (x)) dt = 0
but x does not need to be a Lebesgue point for f . However, it is clear that F = f
at each Lebesgue point for f . The following theorem is thus a strengthening of
Theorem 23.4.
23.9. Lebesgue Dierentiation Theorem. Let f be a locally integrable
function on an interval I. Then almost every point of I is a Lebesgue point for
f.
Proof. For a xed r R, the function x |f (x) r| is locally integrable on I.
By virtue of Theorem 23.4 there exists a set Er I of Lebesgue measure zero
such that
h
1
lim
|f (x + t) r| dt = |f (x) r|
h0 2h h
1
2h
|f (x + t) f (x)| dt |f (x) r| + 2.
23.10. Remark.
Every continuity point of f is a Lebesgue point for f . An interesting
relationship between Lebesgue points and points of approximate continuity will be given in
Exercise 29.11.
D. Integration on R
93
23.11. Banach-Zarecki Theorem. Let f be a real-valued function on an interval [a, b]. The
following assertions are equivalent:
(i) f is absolutely continuous on [a, b];
(iv) f is continuous on [a, b], f is of bounded variation and has Luzins (N)-property.
Hint. We already know that any absolutely continuous
function f is continuous and of nite
R
variation. According to Theorem 23.2, f (G) G |f | for any open set G [a, b], and a
moments reection shows that f has Luzins (N)-property. Conversely, suppose that (iv) holds
and let D be the set of all points where f has a nite derivative. By Exercise 20.8, D is
measurable. Since f ([a, b] \ D) = 0, Theorem 20.4 yields
Z
|f (s) f (t)|
f () d
for every interval [s, t] [a, b]. Now it is sucient to notice that the function x
absolutely continuous.
Rx
a
|f | is
f g = f (b)g(b) f (a)g(a)
f g.
23.14. Notes. Fundamental theorem (23.5) of the calculus for Lebesgue integrals was proved
by H. Lebesgue [*1904]. The implication (iv) = (i) of Theorem 23.11 is due to S. Banach [1925].
x+
94
Proof. (a) As for the uniqueness, any two such measures agree on all open (or
compact) sets in R. The existence can be proved in various ways, depending on
what kind of general theorem we wish to use. For instance, we can use Hopfs
extension theorem 5.5 or start from the covering collection {(a, b] : a < b, a, b R}
and the set function F (a, b] := F (b) F (a), create the outer measure and to
restrict it to measurable sets. In any case, we have to prove the following property:
If (a, b]
(an , bn ], then F (b) F (a)
(F (bn ) F (an )). To see this, given
n=1
n=1
> 0, let n > 0, > 0 be so that F (bn +n ) < F (bn )+2n , F (a+) < F (a)+.
Then consider the cover {(an , bn + n )} of the interval [a + , b].
(b) Setting
for x > 0,
(0, x]
F (x) := 0
for x = 0,
Show that any two distribution functions of the same measure dier by a
only if ({x}) = 0.
D. Integration on R
95
for every g
1 ().
on an interval
24.10. Fubinis Lemma. Let
P{fn } be a sequence of nondecreasing functions
P
I R. Assume that the series
fn converges to a nite limit f on I. Then f =
fn almost
everywhere on I.
P
fn (notation as in 14.8). To nish the proof, use the Lebesgue
Hint. First prove that f =
decompositions of these measures to absolutely continuous and singular parts.
24.11. Notes. Distribution functions play an important role in probability theory and it is
very dicult to trace who introduced them. They were investigated in various forms by Jacob
Bernoulli, P.S. de Laplace and others. Lemma 24.10 is due to G. Fubini [1915].
1
x2
for x
= 0,
for x = 0
1
1
is not Lebesgue integrable on [1, 1]. For aj = q
we have
and bj =
1
j
(j + 2 )
Z
bj
aj
Z
|f (x)| dx =
bj
aj
f (x) dx =
1
,
j
R
and therefore 01 |f (x)| dx = +. On the other hand, f has an antiderivative on R and the
R
Newton integral 01 f (x) dx exists.
96
There are also simple examples of functions which are Lebesgue integrable but
not Newton integrable (for example, the function sign x on [1, 1]). A generalization of both Newton and Lebesgue integrals leads to a nonabsolutely convergent
integral which can be introduced in several ways. Here we use an approach due
to Henstock and Kurzweil; Perrons one is outlined in 25.10.
25.2. HenstockKurzweil integral. For the sake of simplicity we will dene
the integral for bounded intervals only.
If [a, b] is an interval, denote the set of all (strictly) positive functions on [a, b] by
and label functions from as gauges. A partition is a pair D = ([aj , bj ], j )m
j=1 ,
where
a = a1 < b1 = a2 < b2 = a3 < < bm1 = am < bm = b and j [aj , bj ].
If is a gauge, then a partition D is called -ne (or subordinated to )
whenever bj aj < (j ) for all j = 1, . . . , m. The denition of the Henstock
Kurzweil integral is based on the following proposition whose proof is an easy
consequence of the compactness of [a, b].
Cousins Lemma. Let be a gauge from . Then there exists a -ne partition. Moreover, if a collection B of non-overlapping intervals [ai , bi ] containing
points i with bi ai < (i ) is given, then adding some intervals to B we get a
-ne partition.
Given a real-valued function f on [a, b] and a partition D = ([aj , bj ]), j )m
j=1 of
[a, b], set
m
s(f, D) =
f (j )(bj aj ).
j=1
D. Integration on R
97
Proof. Given an > 0 and x (a, b), there is (x) > 0 such that
F (y) F (x)
<
f
(x)
yx
whenever y [a, b], 0 < |y x| < (x). Next, we can nd (a) > 0 and (b) > 0
such that |f (a)(a)| < , |f (b)(b)| < , |F (y) F (a)| < for all y [a, a + (a))
and |F (y) F (a)| < for all y (b (b), b]. Let D = ([aj , bj ]), j )m
j=1 be a -ne
partition. Then
|F (bj ) F (aj ) f (j )(bj aj )|
|F (bj ) F (j ) f (j )(bj j )| + |F (j ) F (aj ) f (j )(j aj )|
< (|bj j | + |j aj |) = (bj aj )
for every j {1, . . . , m}, j (a, b), and
|F (bj ) F (aj ) f (j )(bj aj )| |F (bj ) F (aj )| + |f (j )(bj aj )| < 2
if j {a, b}. Summing over j, we obtain the estimate
|F (b) F (a) s(f, D)| < 4 + (b a).
(we get strict inequalities by adding small constants). For every x [a, b] nd
(x) > 0 with t < f (x) < s on (x (x), x + (x)) [a, b]. Let D = ([aj , bj ], j )m
j=1
be a -ne partition of [a, b]. Then
bj
t f (j )(bj aj )
aj
bj
s
aj
t s(f, D)
a
Since
b
a
tL
b
a
s.
a
98
c1
c2
F (b ) F (a ) = K
b
f.
a
whenever D = ([aj , bj ], j )m
j=1 is a -ne partition of [a, b] and M {1, . . . , m}.
Proof. Choose an > 0 and nd a gauge such that
|F (b) F (a) s(f, D)| <
whenever D = ([aj , bj ], j )m
j=1 is a -ne partition of [a, b]. Fix now any such
a partition D and M {1, . . . , m}. For each j = 1, . . . , m there is a partition
mj
Dj = ([aij , bij ], ji )i=1
of [aj , bj ] subordinated to the restriction of to [aj , bj ] such
that
.
2
D. Integration on R
99
whenever D = ([aj , bj ], j )m
j=1 is a -ne partition of [a, b] and M {1, . . . , m}.
For x [a, b], |x z| < (z), let D = ([aj , bj ], j )m
j=1 be a partition such that
k = z for some k {1, . . . , m} and such that the endpoints of the interval [ak , bk ]
are x and z. Applying (*) with M = {k}, we obtain
|F (x) F (z)| < + |f (z)| |x z| .
F (y) F (x)
1
1
: y [a, b],
|y x|
yx
n+k
n
are continuous. Now we prove that DF = DF almost everywhere which establishes the existence of the derivative almost everywhere and its measurability.
We will be done once we show that, for every n N, the level sets
1
} and
n
1
Un := {x [a, b] : DF (x) > f (x) + }
n
Ln := {x [a, b] : DF (x) < f (x)
have measure zero. For this purpose we will x n N and estimate the (outer)
measure of the set L := Ln . We are now in a position to invoke SaksHenstocks
lemma 25.6: Given > 0, there is a gauge function such that
F (bj ) F (aj ) f (j )(bj aj ) <
jM
100
whenever D = ([aj , bj ], j )m
j=1 is a -ne partition of [a, b] and M {1, . . . , m}.
Let V denote the family of all intervals [a , b ] for which there exists an x
[a , b ] L such that b a < (x) and
F (b ) F (a )
1
< f (x) .
b a
n
Then V is a Vitali cover of L, and so, by Corollary 27.3, there exists a nite,
pairwise disjoint subfamily {[ai , bi ]}i of V with points i [ai , bi ] such that
(L \
[ai , bi ]) < .
Now, use Cousins lemma in 25.2 to extend the collection ([ai , bi ], i )i to a family ([aj , bj ], j ) subordinated to . If M := {j : there exists an i with [aj , bj ] =
[ai , bi ]}, the property of gauge yields that
Thus
i (bi
1
(bi ai ).
n i
D. Integration on R
101
(a) A descriptive denition of the Newton integral of a function f requires the existence of
an antiderivative (a function F with F = f ). This is a very strong condition as it reduces
the class of Newton integrable functions. Among others, this condition implies that f shares
the Darboux property and is of the Baire class one. A descriptive denition of the Lebesgue
integral requires the existence of an absolutely continuous function F with F = f only almost
everywhere.
(b) The following particular case of Theorem 15.5 is known as the Vitali-Caratheodory theorem: A function f is Lebesgue integrable on an interval I if for any > 0 there exists an upper
semicontinuous
function g and a lower semicontinuous function h with g f h on I and
R
(h
g)
<
.
I
Now we are in the position to introduce Perrons integral. Let f be a function on an interval
[a, b]. A function M is termed to be a majorant of f if f (x) DM (x)
= for every x [a, b].
If f Dm
= +, we say that m is a minorant of f .
A function f is said to be Perron integrable on an interval [a, b] if for any > 0 there exists
a majorant M and a minorant m so that
M (b) M (a) (m(b) m(a)) < .
Since D(M m) DM Dm 0 (and since every function with a nonnegative lower derivative
is nonnegative) we may dene the Perron integral of f as
Z
Newton integrable;
Lebesgue integrable;
an indicator function of an open set;
an indicator function of a null set.
102
25.13 Exercise.
Give an example to show that the indenite HenstockKurzweil integral
need not be an absolutely continuous function.
25.14. Historical Notes. H. Lebesgue already knew that his integral on the real line does not
integrate all derivatives. The task was, to nd a wider class of integrable functions containing
both the Lebesgue and Newton integrable functions. The problem was solved by A. Denjoy [1912]
who used a constructive method based on a transnite approach, and by N. N. Luzin [1912] using
a descriptive denition based on further generalization of the notion of absolute continuity. The
method of envelopes was developed by O. Perron [1914]; it was proved that his and Denjoys
integrals are equivalent. Nowadays, this integral is usually called the Denjoy-Perron integral or
the restricted Denjoy integral. Another approach was developed independently by R. Henstock
[1961] and J. Kurzweil [1957] who returned to a Riemann type denition. The integral is often
called the complete Riemann or the Henstock-Kurzweil integral. Simple denitions of Henstocks
and Kurzweils approach and simple proofs allowed a deeper study of the HenstockKurzweil
integral and surprising applications. Among recent publications let us mention R. Henstock
Schwabik [*1992] and S.
Schwabik and Guoju Ye [*2005].
[*1988], Peng Yee Lee [*1989], S.
E. Integration on Rn
103
E. Integration on Rn
26. Lebesgue Measure and Integral on Rn
Recall that the outer Lebesgue measure n is dened as
n A := inf
vol Ik :
Ik A, Ik are open intervals
and the Lebesgue measure n is dened as the restriction of n to the -algebra
Mn = Mn (n ) of all Lebesgue measurable sets. Where no confusion can result,
the subscript n will be omitted.
26.1. Theorem.
Proof. Use Theorem 1.21 and Remark 15.2.4 to prove that n is a Radon measure.
Completeness is a consequence of Caratheodorys construction, see Theorem 4.5.
26.2. Theorem. The Lebesgue measure n+k on Mn+k is the completion of
the product measure n k on Mn Mk .
Proof. Recall that A Mn if and only if A is a union of a Borel set and a set
of measure zero. Indeed, such a property is possessed by any complete Radon
measure and then we may refer to Theorem 26.1. The proof is now divided into
three steps.
1. First we show that Mn Mk Mn+k . For this purpose it is enough to show
that any measurable rectangle A B for A Mn , B Mk is in Mn+k . We write
A = DA NA and B = DB NB , where DA , DB are Borel sets and NA , NB
have measure zero. Then DA DB is a Borel set and (A B) \ (DA DB ) =
(A NB ) (NA B) has measure zero.
2. Conversely, Bn+k = Bn Bk Mn Mk . Since (Mn+k , n+k ) is the
completion of (Bn+k , n+k ), Mn+k Mn Mk .
3. Since n k = n+k on open intervals of Rn+k , using Hopfs extension
theorem 5.5 and uniqueness of the completion we conclude that n k = n+k
on Mn+k .
26.3. Remark. It is not very hard to prove that n k = n+k in Euclidean spaces. For
measurable sets, the situation is much more complicated. Indeed,
n+k
Mn Mk Mn+k
and
n+k
= Mn Mk
= Mn+k .
For the rst counterexample consider the Cartesian product H H, where H is a measurable
non-Borel subset of R (Exercise 1.14.b) and use Lemma 11.2. The second one can be nd in
Remark 11.10.
26.4. Exercise. Show that the Lebesgue measure is the only complete Radon measure on Rn
that assigns to each interval its volume.
26.5. Exercise. The Lebesgue measure is translation-invariant: If A Mn and x Rn , then
A + x Mn and n (A + x) = n A.
26.6. Exercise. Let be a nontrivial translation-invariant complete Radon measure on Rn .
Show that there is c > 0 such that = cn .
Hint. Let c = (0, 1)n . Evaluate the -measure of arbitrary intervals and use Exercise 26.4 to
compare n and 1c .
104
set, let L
or innite)
(M ) denote the set of all functions f which have (nite
integral M f dn+k (which will be traditionally denoted by M f (x, y) dx dy).
Given x Rn , recall that M x stands for the set {y Rk : [x, y] M }.
Let M Rn+k be a measurable set and f
f (x, ) dk
g(x) :=
Mx
Rn
In other words,
g dn .
f (x, y) dx dy =
f (x, y) dy
Rn
dx.
Mx
Proof. To prove the assertion it suces to use Theorems 11.11. and 26.2.
26.10. Remarks. 1. The assumption f (M ) is satised if, for instance, f 1 (M )
(Tonellis theorem), or if f is a non-negative measurable function (Fubinis theorem in a narrow
sense). When applying Fubinis theorem, we usually start with Fubinis theorem in a narrow
sense in order to show that |f | is integrable, and then we use Tonellis theorem.
2. Let M denote the projection of M into Rn (i.e. M is the set of all points x for which M x
is nonempty). Then
Z
Z
Z
f (x, y) dx dy =
f (x, y) dy dx
M
Mx
provided M is measurable. In general, the measurability of M does not imply the measurability
of M . Observe that M is measurable whenever M is open (then M is also open), or compact
(then M is compact), or a countable union of compact sets (e.g. a closed set). Projections of
Borel sets are also measurable but the proof is dicult. The study of projections of Borel sets
led to the notion of analytic sets (see D.L. Cohn [*1980]).
R
26.11. Example. We evaluate the integral B f (z) dz, where f is an integrable function on
3
the ball B := {z R : |z| < 1}. Let usq
write z in the form [x, y], where x = [z1 , z2 ] R2 and
y = z3 R. Then B x = {y R : |y| <
Z
Z 1|x|2
f (z) dz =
B
=
1
1|x|2
2
1z1
!
f (x, y) dy
dx
0 q
0 q
1
1
Z 1z2 Z 1z2 z2
1
1
2
@ q
@ q
f (z1 , z2 , z3 ) dz3 A dz2 A dz1 .
2 z 2
1z1
2
E. Integration on Rn
105
h0
(z + h) (z) L(h)
= 0.
|h|
f (x) dx =
1 (E)
f ((t)) |J (t)| dt
cos t,
sin t,
r sin t
r cos t
and J (r, t) = r. The mapping is not one-to-one. For calculation of integrals, the substitution
x = (r, t) is often useful (usually G = (0, ) (0, 2)). In this situation, the hypothesis of the
change of variable formula in 26.13 are satised (notice that (G)
= R2 but (R2 \ (G)) = 0).
26.15. Lemniscate. Calculate the area of the set M surrounded by the lemniscate
M := {[x, y] R2 : (x2 + y 2 )2 < 2a2 (x2 y 2 )} .
Hint. If denotes a mapping of 26.14 (polar coordinates) and if
L := {[r, t] R2 : r (0,
)} ,
4
then (L) = M {[x, y] : x > 0, y > 0}. By the change of variable formula 26.13 we get
Z
r dr dt = 4a2
2 (M ) = 4
L
cos 2t dt = 2a2 .
106
( 21 , 12 ).
z(r, t, ) = r sin
Then
r sin t cos ,
r cos t cos ,
0,
1
r cos t sin
r sin t sin A .
r cos
Hint. Consider rst the case when is piecewise constant and then approximate by piecewise
constant functions.
n/2
= f 1 g1 < .
Using Fubinis theorem again (now Tonellis one) the desired conclusion follows.
E. Integration on Rn
107
Rn
Rn
rp
r
rq
r
= f p
gq
Rn
1
((f g)(x)) r .
f g =
=
Rn
p
f p
f(x y)
g (y) dy
dx =
Rn
q
gq ,
Rn
Rn
f (x y)
g (y) dx dy
and consequently
r
f gr =
n
r
rp
rq
f (x y)g(y) dy dx f p gq
Rn
rp
rq
f p gq
Rn
(f g)(x) dx
f p gq = f p gq .
f (x)
otherwise
108
Rn
= || (R )
n p
p
f p
|f (x y)| dx d || (y)
p
Rn
Rn
(c) If p = +, then
Rn
|f (x)|
Rn
1.
26.24. Exercise. Now we indicate another way how to dene the Jordan-Peano volume on
Euclidean spaces (compare with Exercise 5.12). Let m be a positive integer and i = [i1 , . . . , in ]
Zn be a multiindex. Denote by Qm,i the closed cube [(i1 1)2m , i1 2m ] [(in
1)2m , in 2m ]. If m is xed and i runs over Zn , the cubes Qm,i are non-overlapping (i.e. their
(E, m) denote 2mn times the
interiors are pairwise disjoint) and cover Rn . If E Rn , let
number of elements of the set {i : Qm,i E
= } and (E, m) denote 2mn times the number
of elements of the set {i : Qm,i E},
E = inf
m
(E, m)
and
= sup
m
(E, m).
Prove that:
E E
(a)
(b)
(c)
K;
26.25. Exercise. Let G Rn be an open set. Show that there exists a disjoint collection of
balls in G whose union covers G except on a null Lebesgue set.
Hint. The assertion is an easy consequence of Vitalis covering theorem 27.2. Here we indicate
an elementary proof. We can assume that G is of a nite measure. Set G0 = G. By virtue of
Exercise 26.24 there are closed cubes Q1 , . . . , Qp whose interiors are pairwise disjoint and whose
union has a measure greater than 12 G. Set c = 2n B(0, 1/2). Then in the interior of every
cube having a measure there is a closed ball of measure c. Hence we get closed pairwise
disjoint balls Bj Qj whose union F1 has a measure greater than 2c G. Set G1 = G0 \ F1 .
Inductively, there are Fi+1 Gi := Gi1 \ Fi which are unions of pairwise disjoint closed balls
with Gi (1 2c )Gi1 (1 2c )i G.
E. Integration on Rn
109
U (xj , rj ) :
U (xj , rj ) E}.
Hint. It may be supposed that E < +. Choose an > 0 and nd an open set G E with
G < E + . Thanks to Exercise 26.25 there exists a countable disjoint collection {Vj } of
open balls so that {Vj } covers G except on a null set N and
X
Vj =
Vj G + .
S
P
Find a countable family {Ij } of open intervals such that Ij N and
Ij . According
S mj
P jm
m
Qj < 2Ij . For each
to Exercise 26.24 there exist closed cubes Qj with Qj Ij and
m
m
cube Qm
j nd an open ball Wj with the same centre and with radius equal to the diameter
of this cube (so that Wjm contains Qm
j ). It is not hard to check that there exists a constant c
(depending only on the dimension n) such that Wjm cQm
j . Whence
X
j,m
Wjm c
Qm
j 2c
j,m
Ij 2c.
To nish the proof, it is enough to consider the union of all balls from collections {Vj } and
{Wjm }.
A ) = 0.
110
The Vitali property and the additional assumptions ensure that sk > 0. Further
+ > s1 s2 . . . since H is of nite measure. Now choose a ball Bk =
B(xk , rk ) V with rk > sk /2 and Bk Bj = for j < k.
We get a sequence A := {Bk , k N} of pairwise disjoint sets from V . We
show that A covers
A except on a set of Lebesgue measure zero. To this end let
p N and x A \ A be given. We now invoke the Vitali property and nd a
ball B = B(y, s) V with x B
and B Bj = for j = 1, . . . , p 1. Clearly
s sp . Since H < , we have
rkn < and lim sk = lim rk = 0. Therefore
k
B(xi , 5ri ) ,
i=p
and thus
(A \
A)
5n B(xi , ri ) .
i=p
A ) < .
E. Integration on Rn
111
{U (x, (x)) : x
N
Dk } .
k=1
i<j
nite. In the general case, since A is bounded, {xj } has a Cauchy subsequence
{xjk }. Observe that (xi ) |xi xj | (indeed, for i < j, xj lies outside the ball
U (xi , (xi )) ), and therefore
inf{(xi ) : i N} inf{|xi xj | : i, j N, i = j} = 0.
Given now x A, there is j with (xj
) < 78 (x). It is then apparent that
(x) > sj , so that x
/ Mj . Whence x i<j Ui .
Next we dene a function p. For every xj D, set
Pj = {i {1, . . . , j 1} : Bi Bj = } ,
where Bj := B(xj , (xj ), and dene inductively p(x1 ) = 1,
p(xj ) = min{k N : k = p(xi ) for all i Pj }.
Set Dk = {xj : p(xj ) = k}. Plainly the collection of balls {Bj : xj Dk } is
pairwise disjoint for all k N , and to complete the proof we only have to show
that p(xj ) N for each xj D. We will be done once we prove that, for each
xj D, number of balls Bi , i < j, intersecting Bj is less than N .
112
We shall suppose that the last assertion does not hold, and derive a contradiction. Select z := xj D. If number of balls Bi , i < j intersecting Bj is N ,
then there exist z1 , z2 , z3 D and t S so that
zk = xjk
and
z zk
1
|z zk | t < 40
for k = 1, 2, 3 .
For k = 1, 2, 3 denote
r = (z), rk = (zk ), Rk = |z zk | .
We will show that r, rk and Rk satisfy the following system of 16 inequalities
r > 0,
(I)
(IIk )
(IIIk )
(IV1 )
(IV2 )
(IV3 )
(Vk )
Rk rk + r,
8
r < rk ,
7
8
r3 < r2 ,
7
8
r3 < r1 ,
7
8
r2 < r1 ,
7
rk R k ,
1
r2 |R2 R3 | + r3 ,
8
1
r1 |R1 R3 | + r3 ,
(VI2 )
8
1
r1 |R1 R2 | + r2 ,
(VI3 )
8
which does not have any solution. Therewith we get the required contradiction.
Now, we will derive the system of inequalities (I) (VI3 ). The inequality (IIk )
says that the ball B(zk , rk ) intersects B(z, r). The inequalities (III), (IV) follow
from the following inequalities
(VI1 )
8
(xi ) for i < j .
7
Since (xi ) < |xj xi | for i < j, we get (V) and (VI). For instance, to obtain
(VI1 ) we use the denition of N , (II3 ) and (III3 )) in order to show that
|z3 z|
|z3 z|
r2 |z2 z3 | z2 z
(z2 z) + z3 z
|z2 z|
|z2 z|
z3 z
1
z2 z
|R2 R3 | + 2R3
|R2 R3 | + R3
|z3 z| |z2 z|
40
1
15
1
|R2 R3 | + (r3 + r) |R2 R3 | +
r3 |R2 R3 | + r3 .
20
20 7
8
(xj ) si <
E. Integration on Rn
113
Now we show that the system of inequalities (I)(VI) does not possess a solution.
First, note that rk and Rk are positive by (I), (III) and (V). By (II1 ), (II2 ), (V1 ),
(V2 ), (IV3 ) and (III2 ) we have
7
3
|R1 R2 | r+|r1 r2 | = r+r1 +r2 2 min(r1 , r2 ) r+r1 +r2 r2 < r1 + r2 .
4
7
On the other hand, (VI1 ), (VI2 ) and (IV1 ) yield
1
1
5
|R1 R3 | + |R2 R3 | r1 r3 + r2 r3 r1 + ,
8
8
7
whence
|R1 R2 | < |R1 R3 | + |R3 R2 | .
Similarly we obtain
|R1 R3 | < |R1 R2 | + |R2 R3 | ,
and
|R2 R3 | < |R1 R3 | + |R2 R1 | .
We see that the system (I)(VI3 ) has no solution and this contradiction yields
the required conclusion.
For the general case when A is unbounded, let K > 2 sup (x), and denote
xA
that for D :=
Dk and k {1, 2, . . . , N }, the collection of balls
k=1
{B(x, (x)) : x Dk }
114
B(x, (x)) .
xD
Denote
Ek =
B(x, (x)),
U=
xDk
U (x, (x)).
xD
U.
2N
xF
B(x, (x))
<
xF
1
2N
U.
A.
Proof. We will construct recursively sequences of sets {Gk } and {Ak } according
to the following rule: Set G0 = H, A0 = A. Suppose that in the k th step the open
sets G0 Gk1 and sets A0 Ak1 have been chosen. By Lemma
27.5 there is an open set Uk , Ak1 Uk Gk1 and a closed set Mk Gk1 so
that Mk is the union of a nite pairwise disjoint collection of balls of V , and
(Uk \ Mk ) <
1
1
2N
Uk .
Set
Ak = Ak1 \ Mk ,
Gk = Uk \ Mk .
E. Integration on Rn
115
o
[
{B(y, s) : (y, s) S1 Sk1 } =
in such a way that the balls B(x, r), (x, r) Sk are pairwise disjoint and
B(x, r)
[
{B(y, x) : (y, s) Sk }
=
{(x,
r)}.
In
the
opposite
case
leave
S
=
S
.)
Sjk = Sj1
k
k
k
S
Now set S =
k=1 Sk . The balls B(x, r), (x, r) S are plainly pairwise disjoint. Take
x A. We are going to prove that
x
U (u, (1 + 2 )r).
(u,r)S
Since
A
B(u, r),
(u,r)W
there is (y, s) W with x B(y, s). Further nd k N satisfying k < s k+1 . Then
either (y, s) Sk (and there is nothing to prove), or B(y, s) intersects some of the previous
balls. More precisely, there exists z B(u, r) B(y, s), where (u, r) S1 Sk . Obviously
s < r, and therefore
(x, u) (x, y) + (y, z) + (z, u) 2s + r < (2 + 1)r.
Hence x U (u, (2 + 1)r).
116
Uj >
j=1
c
.
3n
so that K > c and
Hint. Find a compact set K M and a nite subcollection
S
K. Select the ball U
with the greatest radius. Again, select among the balls of
1
which do not intersect U1 the ball U2 with the greatest radius. Suppose the balls U1 , . . . , Uj1
have been chosen and nd among the balls of which do not intersect U1 , . . . , Uj1 the ball
Uj with the greatest radius. After a nite number of steps, we get a sequence {U1 , . . . , Uk } such
that we cannot add another ball. If x K, then x U for some U and the construction
implies that U Ui
= for some i. Let i be the smallest of such indices. Then the radius R of
the ball U is not greater than the radius of Ui , so that x lies in the ball with the same center as
Ui and radius 3R. Hence
k
X
Uj .
c < K 3n
j=1
27.11. Exercise. Prove Vitalis covering theorem 27.2 using Exercise 27.10 in a similar way
as Theorem 27.6 was derived from Lemma 27.5.
27.12. Notes. The famous covering theorem is due to G. Vitali [1908] who proved it for closed
intervals and the Lebesgue measure. Later on, Vitalis covering theorem was generalized in various directions by many authors (H. Lebesgue [1910], S. Banach [1924], C. Caratheodory (second
edition of the book [*1918] in 1927)). Another step forward was made by A.S. Besicovitch [1945],
[1946] and by A.P. Morse [1947]. The origin of the simple covering theorem which appeared in
Exercise 27.10 is in Wieners article [1939].
B(x, r)
B(x, r)
B(x, r)
.
B(x, r)
2
rn , see Exercise 26.17.b
+ 1)
( n
2
2. The functions x D (x) and x D (x) are Borel-measurable. This assertion follows from
the fact that the function x B(x, r) is upper semicontinuous, x B(x, r) is continuous
and that when dening D , we can restrict to r Q.
Compare with the following rather surprising theorem (O. H
ajek [1957]): If F is an arbitrary
function on an interval I R, then the function DF (see 22.3) is Borel on I. The proof for
continuous F is indicated in the proof of Theorem 25.8. An analogous theorem fails for Dini
derivatives, there are examples of functions for which all four Dini derivatives are nonmeasurable.
3. Let be a Radon measure on R and F its distribution function (see 24.1). Then F (x) =
D (x) provided F (x) exists. Moreover, the following is true: If F (x) a for x A, then
A aA. Similarly, B aB provided F a on B. Compare this result with the next
lemma.
E. Integration on Rn
117
(If is absolutely continuous with respect to , we can also use Vitalis covering
theorem 27.2.) Then
A
B(xi , ri ) (a + )
B(xi , ri ) (a + )G (a + )(A + ) ,
i
{x I : D (x) = +} =
Ak
and
{x I : D (x) < D (x)} =
A(r, s).
r,sQ+
28.5. Remark. Consider now the simple case when F is the distribution function of a Radon
measure on R. We know that F has a (nite) derivative F almost everywhere (Lebesgues
R
R
theorem 22.5), that ab F d F (b) F (a) (Theorem 22.7), and that ab F d = F (b) F (a)
for any interval [a, b] if and only if (Corollary 23.5 and Exercise 24.7). In the last case,
ym derivative d
. An analogous assertion
F agrees almost everywhere with the Radon-Nikod
d
holds for dierentiation of measures and it is contained in the next Theorem 28.6.
Proof of the following theorem is based on Lemma 28.3. A proof based on the
covering theorem of Exercise 27.10 can be found in W. Rudin [*1974].
118
M=
Bk ().
D d =
D d =
M
+
k=
+
D d
Bk ()
+
k+1 Bk ()
k=
Bk () B ,
k=
+
k=
Bk ()
+
D d
Bk () = 1 M = 1 B.
k=
When taking the limit as 1+, we get both (a) and (b).
28.7. Theorem. The following statements about a Radon measure on Rn
are equivalent:
(i) ;
(ii) B = B D d for every Borel set B Rn ;
(iii) D is the Radon-Nikodym derivative of with respect to ;
(iv) D < + -almost everywhere on Rn .
Proof. The previous theorem says that (i) = (ii), thus the equivalence (i)
(ii) (iii) is obvious. To show that (i) implies (iv), use Theorem 28.6. Assume
now (iv) and let A Rn , A = 0. Using Lemma 28.3.a, we get
{x A : D (x) k} k A = 0
for every k N, whence plainly A = 0.
28.8. Remarks. 1. It is not dicult to state similar results for signed Radon measures.
2. If is a Radon measure on Rn and = s + a is its Lebesgue decomposition into the
ym derivative of a with
singular and absolutely continuous part, then D is the Radon-Nikod
respect to .
28.9. Exercise. Let G Rn be an open set, f : G Rn be a dieomorphism. If B is a
Borel subset of G, set B := f (B). Show that is a Radon measure on G and
E. Integration on Rn
119
28.10. Notes. We could dene the (symmetric) derivative of a measure at x using cubes
with the center at x whose lenght of edges converges to zero.
Furthermore, we could consider more general sequences of sets shrinking in a suitable way
to x. We could consider, for instance, all sequences of intervals containing x whose diameters
converge to zero. Let us note that for these general derivatives of measures analogous theorems
to those of this paragraph fail to hold, and even analogies of Theorem 29.2 (which is their direct
consequence) do not hold. An example can be found in M. de Guzm
an [*1975], Chapter V., 2.
On the topic of dierentiation of measures the reader is invite to consult for instance,
W. Rudin [*1974], M. de Guzm
an [*1975] or J. Lukes, J. Mal
y and L. Zaj
cek [*1986].
respect to . On the other hand, Theorem 28.7 tell us that D is also the RadonNikod
ym derivative of with respect to . Hence D = cM almost everywhere
according to the Radon-Nikod
ym Theorem (Remark 13.6.1) . If we realize that
U (x, r)
D (x) = lim
and cM (x) = 1 for x M , we obtain the assertion.
r0+ U (x, r)
29.3. Remark.
When n = 1, the Lebesgue density theorem is an easy consequence of
Theorem 23.4 according to which the derivative of an indenite Lebesgue integral of a (locally)
integrable function cM equals cM almost everywhere.
Proof. Plainly and Rn are d-open, and d is closed under the formation of
nite
intersections. If A is a collection of d-open sets, we have to prove that T := A
d. If we show that T is measurable, then every point of T is apparently a density
point of T . We can assume that T I, where I Rn is a compact interval.
Denoting S = {S : there exists a countable collection A0 A such that S =
120
j=1
Aj .
U (z, r)
Whence
2jk
for j k ,
2j
for j > k .
(U (z, r) \ M )
2k+1 ,
U (z, r)
obvious.
29.9. Denjoys Theorem. A function f : Rn R is Lebesgue measurable if
and only if f is approximately continuous at almost all points of Rn .
Proof. Let f be approximately continuous at almost all points. Denote by N
the set of all points of approximate discontinuity of f . Take any c R. We
will show that the set M := {x R : f (x) > c} is measurable. Since M is a
E. Integration on Rn
121
d-neighbourhood of any point x M \ N , it follows that M \ N is also a dneighbourhood of x. Hence M \ N is d-open, and thus measurable. Since N is a
null set, M is measurable as well.
Now assume that f is measurable and select an > 0. Luzins theorem 18.2
provides us with a continuous function g on Rn and an open set G so that G <
and f = g in Rn \ G. By the Lebesgue density theorem almost every point of the
set Rn \ G is its point of density. Thus f is approximately continuous at almost
all points of Rn \G and we can easily conclude that f is approximately continuous
at almost all points of Rn .
29.10. Remark.
Compare the last equivalence with the Lebesgue theorem 7.9 according
to which a bounded function f is Riemann integrable if and only if f is continuous almost
everywhere.
29.11. Exercise. Let f be a bounded function dened on a neighbourhood of a point z Rn .
Then f is approximately continuous at z if and only if z is a Lebesgue point for f (the denition
of Lebesgue points in Rn is analogous to the one-dimensional case in 23.8). Show that the
assumption of boundedness is essential for one of the implications.
29.12. Notes. The notion of approximate continuity was introduced by A. Denjoy [1915];
he proved also that every Lebesgue measurable function is approximately continuous at almost
all points. The converse assertion was proved by V. Stepanov in [1924]. The density theorem
29.2 is due to H. Lebesgue [*1904]. This theorem also holds for nonmeasurable sets if the outer
Lebesgue measure is used in the denition of density points. The notion of the density topology
was studied much later in the 1950s. Many of its properties and generalizations and recent
applications can be found in the monograph by J. Lukes, J. Mal
y and L. Zaj
cek [*1986].
Then, for k > m, um,k and vm,k are continuous. Since the set of points where
f
n
xi (x) exists equals {x R : < u(x) = v(x) < +}, the assertion follows.
122
f (x + tei ) f (x)
< qi for all i = 1, . . . , n
t
1 1
and for t ,
\ {0} .
m m
x G \ E : pi <
Let Sp,q,m be the set of all density points of Sp,q,m . By the Lebesgue density
theorem 29.2 (Sp,q,m \ Sp,q,m ) = 0. If
N :=
(Sp,q,m \ Sp,q,m ) ,
p,q,m
f
(x) < qi ,
xi
i = 1, . . . , n.
Then there exists m N with x S := Sp,q,m . Since x is outside !of "N , x is even
n
1
) such that (U (x, r) \ S) 2 (U (x, r))
a density point of S. Find (0, m
for all r (0, 2). In particular, notice that U (x, (1 + ) ) \ S does not contain any ball of radius if (0, ). Choose y U (x, ) and denote y i =
(y1 , . . . , yi , xi+1 , . . . , xn ). For any i {1, . . . , n}, let Ui be the ball with center y i
and radius |y x|. The choice = |y x| yields that S Ui = for all i. If
z i S Ui and wi := z i1 + (yi xi )ei , then
i
w y i = z i1 y i1 |y x| ,
pi <
f (wi ) f (z i1 )
< qi
yi xi
and pi <
f
(x) < qi .
xi
Whence
f (wi ) f (z i1 ) f (x)(yi xi ) (qi pi )|yi xi | |y x| .
xi
E. Integration on Rn
123
Summarizing, we get
f
(x)(yi xi )
f (y) f (x)
x
i
i
f
i
i1
f (w ) f (z )
(x)(yi xi )
x
i
i
!
"
f (wi ) f (y i ) + f (z i1 ) f (y i1 )
+
i
(n + 2n) |y x| .
Thus f (x) does exist.
30.4. Lemma. Let (f ) be a family of -Lipschitz functions on Rn . Then
the function sup f is -Lipschitz provided it is nite at least at one point.
Proof. It is quite obvious.
30.5. McShanes Extension Theorem. Let f be a -Lipschitz function on
a set E Rn . Then there exists a -Lipschitz extension f of f to all of Rn . If,
in addition, E is bounded, then we can nd a -Lipschitz extension f of f with
compact support.
Proof. Set
0
if |x| /.
30.6. Remark. Let f be a -Lipschitz mapping from E Rn into Rk . Then the coordinates
of f can be extended separately by the previous theorem and we get a k-Lipschitz extension
f : Rn Rk of f . However, this extension fails to be -Lipschitz. There exists a stronger
extension theorem for mappings due to Kirszbraun which guarantees the existence of a Lipschitz extension. The proof of this assertion is more dicult.
30.7. Exercise. Suppose E Rn and f : E Rn is a -Lipschitz mapping. Prove that
f (E) n E.
Hint. We can assume that E < +. Fix an > 0. By Lemma 26.26 nd a sequence
S
P
{U (xj , rj )} of open balls so that E
U (xj , rj ) and
U (xj , rj ) < E + . Since
j
X
j
U (f (xj ), rj ) = k
X
j
U (xj , rj ) k ( E + ).
124
30.8. Notes.
Theorem 30.3 is due to H. Rademacher [1919]. An elementary proof of it
(dierent from ours) was given by A. Nekvinda and L. Zaj
cek [1984].
Extensions of Lipschitz functions in metric space were closely related to original proofs of
the Hahn-Banach theorem. Theorem 30.5 of extension of (nonlinear) Lipschitz functions was
proved independently by M.D. Kirszbraun [1934] and by E.J. McShane [1934]. Another material
can be found in G.J. Minty [1970].
Suppose p [1, ).
E. Integration on Rn
125
fj and this set, according to Denjoys theorem 29.9, is of full measure. By the
Lebesgue convergence theorem with dominating function (2j)p cB(0,j+1) we have
lim fj k fj p = 0.
k0
Hence,
f k f p f fj p + fj k fj p + k fj k f p < 3 ,
provided k is large enough.
31.4. Theorem. Let Rn be an open set and p [1, ). Then D() is a
dense subset of L p ().
Proof. Set j = {x : |x| < j and dist(x, ) > 1j }. Take a function
f L p () and denote gj = f cj . As in the previous proof, it is clear that
f gj p 0. For all k > j we get k gj D(). Now the estimate
f k gj p f gj p + gj k gj p
yields the assertion.
31.5. Theorem. Let f be a continuous function with compact support contained
in an open set Rn . Then k f f on .
Proof. We can assume that = Rn . Since f is uniformly continuous, given > 0
there is k0 N such that |f (x) f (y)| < whenever x, y Rn , |x y| < k10 . If
k > k0 and x Rn , then
(f (x) f (y))k (x y) dy
|f (x) k f (x)| =
n
R
(f (x) f (y))k (x y) dy
=
B(x,1/k)
k (x y) dy = .
Rn
Rn
Rn
For the proof of (a), we rst approximate by K (see 2.4) where K is a suitable
compact set, and then use the convolution as above.
126
32. Distributions
1
B(x, k
)
|f (x) f (y)| k (x y) dy
1
B(x, k
)
k (x y) dy =
.
k
We can see that (k f )(x) f (x) at all points x, where the derivative f (x)
exists and is approximately continuous. But the Rademacher theorem 29.9 and
Denjoys theorem 30.3 tell us that this happens almost everywhere.
31.8. Exercise.
1 p < .
() is dense in
p ()
for
Hint. If f c (), then by Theorem 31.5 the functions k f converge uniformly to f and
their supports are contained in a compact set (not depending on k). This yields that k f
converge to f in the p -norm as well. Now it is sucient to use the density of c () in p ()
(Exercise 15.17).
31.9. Exercise. Use Theorem 31.4 to prove that the convolution f g is uniformly continuous
provided f p and g q , p1 + 1q = 1 and p, q > 1. (This will prove the proposition stated
in Remark 26.22.)
31.10. Riemann-Lebesgue Lemma. Suppose f
1 (Rn ).
Then
Z
eixt f (t) dt = 0.
lim
|x|
Hint. If g
Rn
Rn
whence
Rn
eixt
Rn
n
X
2g
(t) dt
t2j
j=1
1 (Rn ): Given f
1 (Rn ) and > 0, by
Now we invoke the fact that (Rn ) is dense in
Theorem 31.4 there is g (Rn ) (g depends on f and ) such that f g1 < . Then
whence
Rn
Rn
E. Integration on Rn
127
32. Distributions
Since twenties, physicists started to work with generalized functions. These
functions were determined by their average densities in a neighbourhood
of each point. P.A.M. Dirac introduced the -function having the following
properties:
(x) = 1
(x) = 0 for x = 0, (0) = and
U
for every open ball U containing the origin. Thus the average density of the
-function in the ball U (x, r) is
fr (x) :=
1
U (x,r)
if x U (0, r),
otherwise.
(Notice that x U (0, r) if and only if 0 U (x, r).) We can see that
(x) = lim fr (x).
r0+
r0+
128
32. Distributions
||
n
. . . x
n
by the symbol D . Finally, recall that D() denotes the linear space of all
innitely dierentiable functions with compact support contained in (see 31.1).
32.1. Notion of a Distribution. If {fk } is a sequence of functions from D(),
D
whenever fk 0
for D() (notice that the integral exists). It is not very dicult to prove that
D
1. The space
such a way that fk 0 in this topology if and only if fk 0. So distributions are continuous
linear functionals on ().
2. If a linear functional Z on () is a pointwise limit of a sequence of distributions {Zj } (i.e.
if Z() = lim Zj () for each ()), then Z is also a distribution. This is a consequence of
the Banach-Steinhaus theorem of functional analysis, which is valid for ().
3. If f, g are locally integrable functions and f = g almost everywhere, then apparently Tf = Tg .
The converse is also true: If the regular distributions Tf , Tg are equal, then f = g almost
everywhere.
For this purpose, it is sucient to prove that f = g for every (). Suppose that
h = (f g) on and h = 0 outside . Then h L1 (Rn ) and Th = 0 in Rn . Thus k h = 0
for every k and Theorem 31.3 (the notation is the same) yields h = 0 almost everywhere.
This assertion shows that we can really identify regular distributions and locally integrable
functions.
E. Integration on Rn
129
32.3. Examples.
1. In 32.1 we embedded locally integrable functions into the space
of distributions. Another class of objects contained in the space of distribution are Radon
measures. Let be a (positive) Radon measure on . The functional T dened as
Z
d)
T () = () (=
is again a distribution. In this sense, we can understand every Radon measure as a distribution.
For example, the Dirac measure (the -function) dened by T () = (0) is a distribution.
It is not regular. Indeed, if there were a locally integrable function f with Tf = T , we could
easily deduce that f = 0 almost everywhere. But T is not the zero distribution.
2. It is not true that every distribution is regular or is dened by some Radon measure. As
the example consider the functional (0). However, there is a simple criterion which
enables to decide whether a distribution T is equal to T . Namely, if is a Radon measure,
then the distribution T is a positive functional. Conversely, if T is a distribution with T () 0
whenever () is nonnegative, then there exists a Radon measure such that T = T .
The last proposition is an easy consequence of the Riesz representation theorem 16.5.
3. For > 0, denote O() = (, ) (, +) and
Z
(x)
dx for
R () =
x
(R)
O()
(notice that the integral exists). It is not dicult to see that R is a distribution on R. Further,
for every (R) there is a nite limit lim R (). If we denote it by T 1 (), then T 1 is a
0+
distribution. The reader may nd it instructive to prove this assertion directly, or using Remark
32.2.2. Notice also that the function x1 is not locally integrable on R. Thus, the distribution
T 1 which is often identied with the function x1 is not regular and also cannot be determined
x
by a Radon measure.
The set of all distributions is a linear space which is the topological dual to
D() (cf. Remark 32.2.1).
As mentioned above, every distribution is dierentiable. To motivate the exact
denition, consider a function f with continuous derivative f on R (notice that
both f and f are locally integrable). In this case it is natural to require that Tf
should be the derivative of Tf . Since,
f = Tf ( )
Tf () =
R
xj
D().
.
In the sense of identication of regular distributions and locally integrable functions, we often speak about distributional derivatives of functions provided the
result of dierentiation is a function.
130
32. Distributions
But the linearity of D T is obvious, and supposing k 0, then also D k 0 and we get
D T (k ) 0 (we used the fact that the mapping D is continuous on ()).
2. Notice that any distribution has derivatives of all degrees. However, the derivative of a
function fails to be a function. As the next examples show, it can be, for example, a
measure . For instance, any continuous function which does not possess a derivative at any
point is innitely dierentiable but only in the sense of distributions!
3. Assume now that u and f are locally integrable functions on an interval (a, b) and that the
distributional derivative of u is f . Then there exists a locally absolutely continuous function
v and a constant c such that u = v + c almost everywhere and v = f almost everywhere.
R
Indeed, consider a function ((a, b)) with ab = 1 and denote by v the indenite Lebesgue
integral of f . We know that v is a locally absolutely continuous function. The integration
by parts 23.13 shows that the distributional derivative of w := u v is a zero function.
If
R
R
R
c = ab w, ((a, b)) is an arbitrary function and (x) = ax (t) (t) ab (s) ds dt,
then
b
a
Z
(w c) =
Z
w
b
a
=
a
w = 0.
whenever (). We see that the derivative of the distribution TY is the Dirac -function.
In a similar way we nd that
(TY ) () = (0)
for
().
9. For
(R), set
U () =
(k) (k) .
k=1
Show that U is a distribution on R which is neither regular nor determined by a Radon measure.
E. Integration on Rn
131
n 2
P
be the Laplace operator and u(x) := |x|2n . Our aim is to nd u in the
2
i=1 xi
xi
u
= (2 n) n is a locally integrable function. Now
distributional sense. First, we have that
xi
|x|
2u
is a complicated distribution containing an integral average
the distributional derivative
x2i
similar to the distribution of Example 32.3.3. But we have an easier task, namely to nd out
n 2u
P
of these distributions. If n denotes the volume of the unit ball in Rn (cf.
the sum
2
i=1 xi
Exercise 26.17), then we prove that
Z
Rn
n
X
xi
(x) = nn (0)
n
|x|
xi
i=1
(Rn ). Hence
u = n(2 n)n 0 .
To this end let be a nonincreasing innitely smooth function on (0, ), (t) = 1 for t < 1,
(t) = 0 for t > 2, | (t)| 2 and r (x) = (x/r). We use the decomposition
= (0)r + ( (0))r + (1 r ).
Then
Z
Rn
n
X
xi
(x) = Ar + Br + Cr + Dr ,
n
|x|
xi
i=1
where
Z
Ar = (0)
Z
Rn
= (0)
Rn
n
X
xi r
(x) dx
n
|x|
xi
i=1
2r
r 1 (t/r) dt = nn (0)
Rn
n
X
r
xi
((x) (0))
(x) dx,
|x|n
xi
i=1
Rn
n
X
xi
r (x)
(x) dx
|x|n
xi
i=1
Rn
n
X
xi ((1 r ))
(x) dx.
n
|x|
xi
i=1
and
Z
Dr =
Set
i (x) :=
xi
(x)(1
|x|n
r (x))
if x
= 0;
if x = 0.
0
(Rn ) and
n
n
X
X
i
xi ((1 r ))
(x) =
(x).
n
x
|x|
xi
i
i=1
i=1
132
32. Distributions
Thus
Z
Dr =
Rn
n
X
i
dx = 0.
xi
i=1
The proof will be nished by estimating the integrals Br and Cr and taking the limit as r 0.
Since (Rn ), there exists a constant K such that |(x)| K and |(x) (0)| K |x|
for all x U (0, 1). Obviously, |r | r2 . We obtain
n
X
xi
Z
|Br |
B(0,2r) i=1
and
Z
|Cr |
n
X
B(0,2r) i=1
xi
r (x) n
|x|
r
dx 4nKr
(x)
|x|1n dx 0
x
r
i
B(0,2r)
x (x) dx nK
i
|x|1n dx 0.
B(0,2r)
D()
for
D().
32.7. Remarks and Examples. 1. It is easy to show that hT and T h are distributions.
2. We have
xT () = T (x(x)) = 0,
Z
xT 1 () = T 1 (x(x)) =
= T1 ()
x
and we see that the multiplication in the space of distributions is almost the same as the
pointwise multiplication.
E. Integration on Rn
32.10. Examples.
distribution T0 ).
133
kx
. Show that
(b) Let Tk be the regular distribution on R determined by the function sin
x
kx
} converges to
Tk T (when keeping the convention of 32.1, the sequence of functions { sin
x
the Dirac measure in the sense of distributions).
Hint. Choose
By the Riemann-Lebesgue Lemma 31.10, the limit of the rst term is zero. Further it is known
that
ZkA
sin t
lim
dt = ,
k
t
kA
P
P
32.12. Example. We dene that
Tn = T provided
Tn () = T () for any test function
(). The previous theorem tell us that every convergent series of distributions can be
dierentiated term by term. Here there is an illustrating example:
Let f be a 2-periodic function on R,
8 1
for x (0, ],
>
< 2 ( x)
f (x) =
1 ( + x)
>
: 2
0
for x [, 0),
for x = 0.
X
sin kx
k
k=1
P
Tcos kx .
On the other hand, Theorem 32.11 implies that (Tf ) =
k=1
cos kx = .
k=1
P
k=1
134
32.13. Notes. The theory of distributions in the framework of duality between topological
vector spaces was created by L. Schwartz in the late 1930s and was fully published in [1947]
(because of the scientic isolation during the second world war he published his theory afterwards). He also introduced the fundamental space (Rn ) suitable for the Fourier transform of
distributions.
Some related considerations were implicitly contained in earlier works of other authors. In
fact, L. S. Sobolev [1936] also introduced basic notions of the theory of distributions. Since he
was led by a special question concerning the solution of the Cauchy problem he did not realize
the power of his own ideas.
Concerning the history of the theory of distributions, we suggest also L
utzens monograph
[*1982]. Other material can be found in J. Horv
ath [1970] or J. Horv
ath [*1966].
33.2. Theorem.
Proof. The proof will follow using Fubinis theorem easily. It only needs to be
observed that f#g L 1 whenever f, g L 1 .
The following theorem plays a key role in applications of the Fourier transform
to the theory of partial dierential equations.
33.3. Theorem. Suppose f L 1 (Rn ) and 1 j n.
(a) If xj f L 1 (Rn ), then
f#
= (ix
j f ).
xj
E. Integration on Rn
f
xj
are continuous on Rn ,
135
f
xj
L 1 (Rn ) and
lim f (x) = 0.
|x|
Then
f
/xj (x) = ixj f#(x).
leads to
f#
(x) = (2)n/2
xj
Rn
33.4. Lemma.
If h(x) = e|x|
/2
, then #
h = h.
Rn
and since the Fourier transform of a function from D(Rn ) fails to be in D(Rn )
we cannot proceed in this way. (Notice that the zero function = 0 is the only
function of D(Rn ) with
# D(Rn ).)
136
Observe also that the Fourier transform of a function from L 1 needs not to be
an element of L 1 . If f is the indicator function of the interval [1, 1], then
$
f#(x) =
2 sin x
.
x
The space of test functions D(Rn ) is a subset of S (Rn ). The function e|x|
provides an example of a function from S (Rn ) which does not have compact
support.
With the help of Theorem 33.3 and Lemma 33.6 it can be easily shown that
S (Rn ) is closed with respect to the Fourier transform, and that the mapping
# is a linear isomorphism of S (Rn ) onto itself.
A linear functional S on S (Rn ) is called a tempered distribution if it is continuous in the following sense: If {j } is a sequence of functions from S (Rn )
and pD j 0 for any multiindex and any polynomial p, then T (j ) 0.
We can easily verify that every tempered distribution (restricted to D(Rn )) is a
distribution.
The Fourier transform T# of a tempered distribution T is dened as
T#() = T ()
,
S (Rn ).
f ,
Rn
S (Rn )
E. Integration on Rn
137
We know that in the case of L 1 the answer is positive as we can take g = f#.
On the other hand, Exercise 33.9 shows that the Fourier transform of a constant
function (which is a function of L (Rn )) is not a function.
Let us note that even in the case when the Fourier transform of a function f
is a function g (in the sense mentioned above), the function g is not determined
pointwise (as in the original denition of the Fourier transform for f L 1 (Rn ))
but only except a null set.
In what follows, we restrict our attention to the case p = 2 and we state the
main theorem which guarantees a good theory for the Hilbert space L2 (Rn ). First
we dene the inverse Fourier transform by the formula
f(y) = (2)n/2
f L 1 (Rn );
eixy f (x) dx ,
Rn
T() = T ()
, S (Rn ),
T is a tempered distribution
f = f ,
% %
%f#% = f
2
2
f = f ,
for f S (Rn ).
Proof. In Theorem 31.4 we proved even that D(Rn ) is a dense subset of L2 (Rn ).
2
Now we are going to prove the formula f = f . Denote h(x) = e|x| /2 . Remember, according to Lemma 33.4, that #
h = h. Using the multiplication formula
33.2.b we obtain
t
t
#
f ( )#
f (t)h( ) dt =
h(t) dt.
k
k
Rn
Rn
When taking the limit as k it follows that
f#(t) dt =
Rn
f (0)#
h(t) dt = (2)n/2 f (0).
Rn
n ixt
f (y) =
(2)
Rn
R
=
Rn
f (t + y) dt
=
Rn
Rn
dx
dt
138
The formula f = f can be proved in a similar way. Notice that for the Fourier
transform of the complex conjugated function we have f = f and thus the multiplication formula yields
2
2
|f | dx =
f f dx =
f f dx =
f f dx =
ff dx =
f dx.
Rn
Rn
Rn
Rn
Rn
Rn
Sg = Sf
and
f 2 = g2 .
33.8. Remark. The Plancherel theorem says that the (original) Fourier transform can be
of the
uniquely extended from (Rn ) to L2 (Rn ). The result is a continuous linear isometry
is a unitary mapping and one can easily nd out that also
space L2 (Rn ) onto itself. Thus
the inner product in L2 (Rn ) is invariant with respect to it.
33.9. Exercise. Let be the Dirac -function. Prove that b is the constant (2)n/2 and
that the Fourier transform of this constant is .
33.10. Exercise. Find a function u whose Fourier transform u
b is a solution to the equation
b
u+u
b=
in the sense of distribution (here is the Laplace operator, cf. 32.5.10).
33.11. Fourier Transform of a Function in L1 (Rn ). (a) Suppose f
is a uniformly continuous function and lim fb(x) = 0 (in other words, fb
|x|
1 (Rn ).
0 (R
Then fb
n )).
Hint. The assertion concerning the limit at innity is a consequence of the Riemann-Lebesgue
lemma 31.10. As for the proof of uniform continuity it is no restriction to assume that f is from
the space (Rn ) since we know that (Rn ) is dense in L1 (Rn ) (Theorem 31.4). Suppose that
the support of f is contained in U (0, R). We use the inequality
iyt
e
eixt |t| |y x|
to get
Z
b
f (y) fb(x) =
Rn
0 (R
n)
L1 (Rn ).
E. Integration on Rn
139
f (t)
R
Show that
eitx 1
dt.
it
1
a
1 (Rn )
by the formula
eibxt f (t) dt
Rn
1
2
ck eikx
kZ
(the sum of the convergent trigonometrical series with coecients ck ). The (formal) series
X
u
b(k)eikx
kZ
lim u
b(k) = 0. The proposition is a consequence of the Riemann-
|k|
Lebesgue lemma 31.10; the proof is similar to that for the case of Fourier transform (cf. 33.11.a).
Also in this case, not every sequence in c0 (Z) is a sequence of Fourier coecients of a function
in L1 (T ).
(b) If {ck } l1 (Z), then c is a continuous function on T with c() = c() (compare with
33.11.a). Let us note again that not every continuous function can be expressed in this way.
140
(c) If u L2 (T ), then {b
u(k)} l2 (Z) (this follows from the Bessel inequality). Conversely, for
any sequence {ck } l2 (Z) there exists a unique function u L2 (T ) with ck = u
b(k) (the RieszFischer theorem). This function can be obtained as the limit of the sequence {sk } L2 (T ),
where
k
X
ck eikx ,
x T.
sk (x) =
j=k
Moreover, u2 =
33.7.
2 {b
u(k)}2 (the Parseval identity). Compare with the Plancherel theorem
1 (R)
k Z.
F (x) =
f (x) cos tx dx
0
The theory of Fourier series can be including as a particular case since series could be
considered as integrals with respect to the counting measure.
141
142
34.5. Lemma.
143
E = {inf S : S E, S }.
We say that is a k-dimensional measure on Rn if:
(a) I(E) = E whenever I : Rk Rn is an isometric mapping and
E Rk ;
(b) (E) k E for each -Lipschitz mapping : E Rn and E Rn .
A k-dimensional measure is not uniquely determined by (a) and (b) (cf. Remark
34.31). Nevertheless, on reasonable sets all k-dimensional measures coincide. Notice also that for any k-dimensional measure , the property (a) implies that
([0, 1]k {0}nk ) = 1.
By Exercise 30.7, the Lebesgue measure satises the property (b) (and thus
also (a)) in the case k = n. Using (a), we see immediately that the Lebesgue
measure is the unique n-dimensional measure on Rn .
34.9. Existence of k-dimensional Measures.
measure on Rn .
Proof. For E Rn , set
E = inf{
k Gj } ,
compact sets and each continuous image of a compact set is compact). According
to Exercise 30.7 we obtain that is a k-dimensional measure.
34.10. Volume. Let W be a k-dimensional linear space with an inner product
k
and L : Rk W
a linear mapping. Let Q : R W be an isometry and
a := det(Q1 L). Then (Q1 L(E)) = a E for any Borel set E Rk . The
constant a is independent of the choice of the isometric mapping Q and has a
144
&
det(ui uj )ki,j=1
Let us notice that the estimate vol L L is valid. We may summarize the
consequences for the k-dimensional measure in the following theorem.
34.11. Theorem. Let W be a k-dimensional linear subspace of Rn and be a
k-dimensional measure on Rn . Let L : Rk W be a linear mapping. Then
(L(E)) = vol L E
for any measurable set E Rk .
34.12. Theorem. Let W be a k-dimensional linear space and L : Rk W,
M : Rk Rk be linear mappings. Then vol(LM ) = |det M | vol L.
Proof. Let Q : Rk W be a linear isometry. By 34.1
(vol LM )2 = det((Q1 LM )T Q1 LM ) = det M T det((Q1 L)T Q1 L) det M
= (det M )2 (vol L)2 .
j=1,...,k
j=1,...,k
det AT B =
I
det AT B .
145
n
m=1
det(ai ,i , bi ,j )ki,j=1 .
{1,...,m}k
Since
det(ai ,i , bi ,j )ki,j=1 = 0
whenever any index in is repeated, we obtain
det AT B =
det(ai ,i , bi ,j )ki,j=1
{1,...,m}k
det(ai ,i , bi ,j )ki,j=1 =
I {1 ,...,k }k
det(AT B ).
Now the promised application to the volume follows: We set both A and B to be
the matrices of the mapping L. From the above computation we obtain
(vol L)2 = det AT A =
det AT A =
(det A )2 .
u1 = [0, 2, 1],
0
so that
0
A = @2
1
1
1
0A.
1
Then we evaluate
(vol(u1 , u2 ))2 = det(AT A) = det
5
1
1
2
= 9,
or
`
(vol(u1 , u2 ))2 = det
0
2
1 2 `
0
+ det
0
1
1 2 `
2
+ det
1
1
0 2
= (2)2 + (1)2 + 22 = 9.
1
146
(e) (E)
% 1% vol L E for any set E F ;
%
%
< 1, then
(f) if L
k k
vol (t) dt
vol (t) dt
and
(E)
vol L E
Now we will deal with locally Lipschitz mappings. We will frequently and
tacitly use the fact that (in view of the Rademacher Theorem 30.3) any Lipschitz
mapping has its derivative (t) almost everywhere, and that this is measurable
(as a function of t).
147
that
i
i
(L). Let i be xed. We have E = Ep , where
p
Epi := t E i : for each s U (t, p2 ) we have
|(s) (t) L(s t)| < (L) |s t| .
i
If we divide Epi into measurable pairwise disjoint parts Ep,q
with diameter less
i
than 1/p, then Ep,q have all the required properties. If F is closed or open in
Mn,k , it is a countable union of compact sets and we use the preceding part.
148
k
k
(then the constants , of Lemma 34.15 satisfy the
estimate < ). By
Lemma 34.16 there is a disjoint partition E = Dj , where Dj are measurable
sets and for every j there is L K such that
For each compact set K Dj the set (K) is compact and thus measurable.
There is a
sequence {Ki } of compact subset Dj such that Ki Dj . Then the
set Fj := (Ki ) is a -measurable subset (Dj ) and
i
vol (t) dt Fj .
Dj
Denote F =
1 (E)
vol (t) dt (F ) .
E
vol (t) dt (F ).
Since F E, it follows
149
vol (t) dt ,
(E) =
E
which is the desired formula in the case of the indicator function of the set E.
Now, if is not
Ej
150
34.21. Remarks.
1. Each bilipschitz mapping is one-to-one, it is even homeomorphic.
However, a locally bilipschitz mapping fails to be one-to-one; and even if it is one-to-one, it is
not necessarily homeomorphic.
2. Notice that 1-bilipschitz mappings are nothing else than isometries.
3. Let be a bilipschitz mapping of an open subset of Rk to Rn . Then is dierentiable
almost everywhere (by the Rademacher Theorem 31.2). Moreover, if (t) exists, then the rank
of (t) is k.
34.24. Integration on k-dimensional Surfaces. In applications, k-dimensional measures are mostly used on the so-called k-dimensional surfaces. These
objects admit local parametrizations by means of Lipschitz (or even bilipschitz)
mappings, and consequently the k-dimensional measure is uniquely determined
on subsets of k-dimensional surfaces by the Change of Variable Theorem.
Given a set Rn , we always consider it as a metric space whose topology
is inherit from those of Rn . A set Rn is called a k-dimensional surface
whenever for each point x there exists a locally bilipschitz homeomorphic
mapping of an open set G Rk into such that x (G), and (G) is a
relatively open subset of . The mapping is then called a parametrization of
(G).
If each point of has a neighborhood parametrizable by mappings of class C
( 1), we say that the surface itself is of class C .
Roughly speaking, k-dimensional surfaces are sets which locally look like a
bilipschitz deformation of an open part of Rk . Equivalently, we may describe this
property in terms of charts, which are dened as inverse mappings to parametrizations. A k-dimensional chart is thus dened as a locally bilipschitz homeomorphic
mapping of an open subset U of onto an open subset of Rk . A set is a kdimensional surface if and only if for each point x there is a k-dimensional
chart dened on a neighborhood of x (relative to ).
Because of the Lindelof property of Rn each k-dimensional surface is a countable union of surfaces of the form (G), where is a parametrization.
Another method of characterizing k-dimensional surfaces of class C is to use
an implicit description: A set Rn is a k-dimensional surface of class C
if and only if each x admits a neighborhood Wx in Rn and a mapping
151
g : Wx Rnk of class C such that the matrix g (x) has rank nk and Wx =
Wx {g = 0}.
(It is an easy exercise to use the Implicit Function Theorem in order to get a parametrization.
Conversely, if : G is a parametrization of class
and x = (t), then there exists the
projection of the space Rn onto Rk such that ( ) (t)
= 0. Then by the Inverse Mapping
Theorem there exists (after an eventual restriction of the domain of ) the inverse mapping
`
and
vol (t) =
s (t, a)
and
vol s (t, a) =
sin t cos a,
= @ cos t cos a,
0,
1
cos t sin a
sin t sin a A
cos a
p
cos2 a sin2 a + sin2 t cos4 a + cos2 t cos4 a = cos a.
(b) Let S, X, N be as in (a). For the parametrization of X we may also use the cylindrical
coordinates c = [x, y, z], where
x(t, h) = r cos t,
y(t, h) = r sin t,
(r denotes
p
1 h2 ),
z(t, h) = h
on G := {[t, h] R2 : t (0, 2), h (1, 1)}. Then
0
r sin t,
B
c (t, h) = @ r cos t,
0,
and
vol c (t, h) =
1
h
cos t
r
C
h
sin t A
r
1
q
h2 + (1 h2 )(sin2 t + cos2 t) = 1.
152
(c) Let S+ be the hemisphere {[x, y, z] S : z > 0}. Then S+ can be parametrized by
its projection into the plane determined by the axes x and y. Consider the parametrization
p = [x, y, z], where
x(s, t) = s,
y(s, t) = t,
p
z(s, t) = 1 s2 t2 ,
on {(s, t) R2 : s2 + t2 < 1}. Then
B
p (s, t) = @
1,
0,
s
,
1s2 t2
0
1
t
1s2 t2
1
C
A
and
1
.
1 s2 t2
34.27. Example.
By means of the parametrization of Example 34.26.b we will compute
two-dimensional surface measure of the unit sphere. Let S, X, G have the same meaning as in
the quoted example. Then
Z 1 Z 2
Z
vol dt dh =
(
dt)dh = 4.
(S) = (X) =
vol p (t) =
34.28.
Example.
Let be a two-dimensional measure on S := {(x, y, z) R3 : z =
p
1 x2 y 2 }. The integral
Z
z 2 d
S
posseses (up to constants) the physical meaning of the force by which (under the unit gravitation
acceleration) a ball with the unit density half immersed in a liquid is lifted (computed by the
integration of the gravitation forces).
Use spherical coordinates on G = {(t, a) R2 : t (0, 2), a (/2, 0)}. Then
Z
Z 0
Z
2
z 2 d =
sin2 a cos a dt da = 2
sin2 a cos a da = ,
3
S
G
/2
which is the half of the volume of the unit sphere. Therefore, we have veried Archimedes
principle in our particular case.
34.29. Example (the length of the graph of a function). Let be the graph of a Lipschitz
function f : [0, 1] R and a 1-dimensional measure on R2 . Let G = (0, 1) and (t) = (t, f (t)),
t G. Then the assumptions of Theorem 34.18 are satised and
Z 1
Z 1q
() =
vol (t) dt =
1 + (f (t))2 dt.
0
() = 2
f (t)
q
1 + (f (t))2 dt
in the case of two-dimensional measure of the surface drawn in R3 by the rotation of the graph
of a function f around the z-axis. Suppose that the function f : (a, b) (0, +) is Lipschitz
and set
p
x2 + y 2 = f (z)}.
= {[x, y, z] R3 : z (a, b),
34.31. Rectiable Sets. A set H Rn is said to be k-rectiable if there is a Lipschitz
mapping of a bounded measurable set E Rk to H. It is a consequence of the Change of
Variable Formula 34.19 that on the -algebra generated by k-rectiable sets all k-dimensional
measures coincide. On the other hand, there exist closed sets on which k-dimensional measures
may dier (for example, the k-dimensional measure of 34.9 may be dierent from the Hausdor
measure of Chapter 36). The constructions of such sets are rather complicated.
153
Notice that n-recticable sets in Rn are just bounded Lebesgue measurable sets.
34.32. Notes. The concept of k-dimensional measures comes from A. Kolmogorov [1932]. Our
exposition follows the monograph by H. Federer [*1969] (see also L. C. Evans and R. E. Gariepy
[*1992]) and ideas due to D. Preiss. The classical Sard theorem (or, Morse-Sard theorem) for
1 mappings
(G)
where N (x, , G) is the number of points of the set 1 (x) (the Banach indicatrix ). It is natural to ask what is the meaning of the integral
J (t) dt.
G
This problem leads to the notion of the degree of a mapping which turns out
to have many applications. Let us mention, for instance, its importance for the
topology of Euclidean spaces and solvability problems for nonlinear algebraic
equations.
First we need to prepare several auxiliary computational results.
35.1. Lemma. Let G Rk be an open set and 1 , . . . , k twice continuously
dierentiable functions on G. Then we have
(a)
k
! i "
(1)q+1
det
= 0.
i=2,...,k
tq
tj j=1,...,q1,q+1,...,k
q=1
(b)
k
q=1
(1)q+1
! i "
1 det
= det(1 , . . . , k ).
i=2,...,k
tq
tj j=1,...,q1,q+1,...,k
q=1 p=1
where
ai,j,p,q =
i
tj
2
if j = p = q ,
i
tq tj
if j = p = q ,
if p = q.
154
Now it remains to realize that using the interchange of the order of dierentiation
we get
(1)q+1 det(ai,j,p,q ) i=2,...,k
j=1,...,q1,q+1,...,k
j=1,...,p1,p+1,...,k
for all p, q.
(b) If we apply the chain rule to the left-hand side of the equality, we obtain
k
(1)q+1
q=1
k
! i "
1 det
i=2,...,k
tq
tj j=1,...,q1,q+1,...,k
(1)q+1
q=1
+ 1
k
! i "
1
det
i=2,...,k
tq
tj j=1,...,q1,q+1,...,k
(1)q+1
q=1
! i "
det
.
i=2,...,k
tq
tj j=1,...,q1,q+1,...,k
The rst term on the right-hand side is just the expansion of the determinant
det(1 , . . . , k ) by the rst row, the second one vanishes by the part (a).
35.2. Lemma. Let 1 , . . . , k be Lipschitz functions on Rk vanishing outside
a compact subset of Rk . Then
det(1 , . . . , k ) dt = 0.
Rk
Proof. We proceed in two steps. First, we assume that the functions 1 . . . k are
of class C 2 . By Lemma 35.1.b there are functions 1 , . . . , k vanishing outside
compact subsets of Rk such that
det(1 , . . . , k ) =
k
j
j=1
tj
Rk
j
(t) dt = 0.
tj
155
det((g ), 2 , . . . , k ) dt =
det((g ), 2 , . . . , k ) dt.
Further,
det((g ), 2 , . . . , k ) dt =
G
k
i=1
g
) det(i , 2 , . . . , k ) dt.
xi
Among the terms of the sum on the right, only the rst one may dier from
zero and it equals G (f ) J dt. If we combine this result with an analogous
computation for i , we obtain the desired equality.
35.5. Lemma. Let G Rk be a bounded open set and , : G Rk Lipschitz
mappings. Let B(y, r) be a closed ball of Rk which does not intersect any of the
segments joining (t) and (t), t G. Let f be an integrable function on Rk
with support in U (y, r). Then
f ((t)) J (t) dt =
f ((t)) J (t) dt.
G
156
Proof. Denote
K = {t G : the segment joining (t) and (t) intersects B(y, r)} .
Then K is a compact set contained in G. The function which is one on K and
zero outside G is Lipschitz on K (Rk \ G). According to McShanes extension
theorem 30.5, can be extended (under the same notation) as a Lipschitz function
on Rk . Set = + ( ). Then = on G and f ((t)) = f ((t)) for all
t G. and by Lemma 35.4 we obtain
f ((t)) J (t) dt =
f ((t)) J (t) dt =
f ((t)) J (t) dt.
G
f (x) dx
Rk
where (t) = (t) + y z. For y close enough to z the functions , satisfy the
hypotheses of Lemma 35.5 and, in view of connectedness of U , it follows that the
function
y
cK(y,) ((t)) J (t) dt
G
is constant on U . Hence
cK(y,) ((t)) J (t) dt = a()K(y, ).
G
157
158
(d) Assume that the equation (t) = y has no solution. Since (G) is a compact
set, there is an open neighborhood U of y such that U (G) = . Find a Lipschitz
function close enough to such that U (G) = and deg(y, , G) = 0. Then
G 1 (U ) = and by 35.8
0=
G 1 (U )
J = deg(y, , G) U = 0 ,
which is a contradiction.
(e) We may assume that is a Lipschitz mapping. The set K := (G \ (G1
Gm )) is compact and does not contain y. We nd an open neighborhood U
of y whose closure does not intersect K. Then by 35.8
deg(y, , G) =
J =
J + +
J
G1 (U )
G1 1 (U )
Gm 1 (U )
= deg(y, , G1 ) + + deg(y, , Gm ).
(f) Let s 1 (y). Since J (s) = 0, there is a neighborhood V of s such that
is one-to-one on V , (V ) is an open set (the Inverse Mapping Theorem) and
J has a constant sign on V . Then
|J | dt = sign J (s) (V ) .
J dt = sign J (s)
(V ) deg(y, , V ) =
V
It is also clear that the set 1 (y) is isolated, and therefore 1 (y) is a nite
subset of G. We complete the proof using (e).
(g) We can assume that is of class C 1 . Let E = {t G : J (t) = 0}. By
the Sard Theorem 34.17, ((E)) = 0. Choose y Rk \ (G). Let U be a
neighborhood of y which does not intersect (G). Then there is x U \ (E).
Since deg(y, , G) = deg(x, , G), according to (f) deg(y, , G) is an integer.
35.10. Open Mapping Theorem. Let : G0 Rk be a bilipschitz mapping
on an open set G0 Rk . Then (G0 ) is an open set.
Proof. Let t G0 and y = (t). Let G be a bounded open set, t G G G0 ,
and U be an open neighborhood of y which does not intersect (G). If we prove
that deg(y, , G) = 0, then by 35.9.d the equation (s) = x has a solution for
any x U . Now, there is an open neighborhood V of t such that (V ) U .
Denote V + = {s V : J(s)>0 } and V = {s V : J(s)<0 }. Notice that by the
Rademacher Theorem 30.3, exists almost everywhere. From the denition of
a bilipschitz mapping it is clear that J (t) = 0 is impossible, and at least one
+
of the
sets V , V contains a compact set K of positive measure. We obtain
0 = K J = deg(y, , G) (K). Hence deg(y, , G) = 0.
35.11. Theorem on Orientation. Let be a locally bilipschitz mapping of a
connected open set G0 Rk into Rk . Then J > 0 almost everywhere in G0 , or
J < 0 almost everywhere in G0 .
159
Proof. Let G G G0 be a bounded open set and t G. There is a neighborhood U of (t) which does not intersect (G), and a neighborhood V of
t such that (V ) U . As in the proof of the Open Mapping Theorem we
deduce that deg((t), , G) = 0. By 35.9.g, the degree is an integer, so that
|deg((t), , G)| 1. We have
|J (t)| dt.
J (t) dt = |deg((t), , G)| (V ) (V ) =
V
(diam Aj )p :
j=1
Aj A, diam Aj
for
> 0,
j=1
(= lim Hp (A, ) ).
0+
The set function A Hp (A) is called the p-dimensional (outer) Hausdor measure.
As we show later, if P = Rn and k n is a nonnegative integer, there is a
constant k such that Hk /k is a k-dimensional measure on Rn in the sense of
denition 34.8. The measure Hk /k is called the normalized Hausdor measure.
160
B)
=
A
+
B
whenever
A,
B
P
and
inf
(x,
y) : x
A, y B > 0.
36.3. Remarks. 1. In the denition of the Hausdor measure p (A) we considered arbitrary
coverings of A but we may conne to coverings consisting of closed or open sets.
2. Notice that the n-dimensional Hausdor measure of a set K which is a ball or a cube in Rn
equals c(diam K)n for a suitable constant c (cf. Lemma 36.12).
3. The set functions p (, ) are not metric outer measures and cannot be used to describe
length or area. Notice that the one-dimensional measure 1 (K, ) of the unit square K in
R2 is a nite number although K contains innitely many segments of length one. This is why
we cannot replace the denition of Hausdor measure by a more simple formula
A inf
(diam Aj )p :
j=1
(which is in fact
Aj A}
j=1
p (A, )).
The next series of theorems shows that Hp is a metric outer measure. Therefore, we can apply Carathodorys method and to derive that each Borel set is
Hp -measurable, and that the restriction of Hp to the Borel -algebra is a measure.
36.4. Theorem. Let be an metric outer measure on P . Then each Borel
subset of P is -measurable.
Proof. It would be clearly sucient to prove that closed sets are -measurable.
To this end let a closed set F P be given. Choose a test set T P , T < +
and denote
1
1
Pj = x T :
dist(x, F ) <
,
j+1
j
P0 = x T : dist(x, F ) 1 .
j = 1, 2, . . . ,
P2j =
j=0
m
!
"
P2j T
j=0
j=0
Pj and T F is
j=0
positive we have
(T \ F )
m
!
j=0
"
!
"
Pj +
Pj T (T F ) +
Pj .
j=m+1
Pj
j=0
j=m+1
161
Letting m we obtain
(T \ F ) (T ) (T F ).
36.5. Remark. If is an outer measure on P for which every Borel set is -measurable, then
is already a metric outer measure.
36.6. Theorem.
Proof. Theorem 4.3 tell us that A Hp (A, ) is an outer measure for every > 0.
Letting 0 we see
that Hp is an outer measure.
Let A, B be sets of positive
distance and 0 < inf (x, y) : x A, y B . Let M A B, diam M 0 .
Then either M A or M B. Hence
Hp (A B, ) = Hp (A, ) + Hp (B, )
for all (0, 0 ). Thus
Hp (A B) = Hp (A) + Hp (B).
36.7. Corollary.
p (A)
< +, then
q (A)
= 0.
(b) The number inf{p 0 : p (A) = 0} is called the Hausdor dimension of a set A.
Compute the Hausdor dimension of the Cantor set in [0, 1].
(c) For any p (0, 1), a generalized Cantor set B [0, 1] may be constructed with
= 1.
p (B)
36.9. Remark. The denition of the p-dimensional Hausdor measure admits also noninteger
values of p. The Hausdor measures with noninteger dimensions are not directly linked with
the topics of the following chapters nevertheless they have a great importance e.g. in the theory
of singular sets (to describe the size of negligible sets, for example the set of discontinuities
for a solution of system of partial dierential equations, or the set of points of divergence of a
Fourier series; the applications to removable singularities are also frequent). The concept of
Hausdor measures with noninteger dimension is also a starting point for the famous fractal
theory (see e.g G.A. Edgar [*1990] and K.J. Falconer [*1985]).
36.10. Exercise. Show that each 0-dimensional Hausdor measure is the counting measure.
36.11. Theorem. Let P and P be metric spaces, Hp the p-dimensional Hausdor measure on P and Hp the p-dimensional Hausdor measure on P . Let E
be a subset of P and f : E P a -Lipschitz mapping. Then
Hp (f (E)) p Hp (E).
Proof. For each > 0 and each sequence {Aj } of subsets of P with
j=1
(diam f (Aj ))
j=1
j=1
(diam Aj )p .
Aj E,
162
k
< . We divide K to mk cubes
Proof. Given > 0 there is m N such that
m
1
k
and diameters
< . Then
Kj with edges
m
m
mk
! k "k
k
k
(diam Kj ) = m
= k k/2 .
Hk (K, )
m
j=1
Hence Hk (K) k k/2 .
Conversely, let be the Lebesgue measure on K. Let A K and x A.
Then
A B(x, diam A)
'
(
'
(
x1 diam A, x1 + diam A xk diam A, xk + diam A ,
thus
A 2k (diam A)k .
If Aj is a sequence of subsets of K,
Aj = K, then
j=1
j=1
(diam Aj )k 2k
Aj 2k K = 2k .
j=1
Whence taking the inmum we obtain the desired lower estimate for Hk (K).
36.13. Normalized Hausdor Measures on Rn . Let k be a nonnegative
integer, k n and k := Hk ([0, 1]k 0nk ). Then Hk /k is a k-dimensional
measure on Rn which will be labelled as the normalized Hausdor measure.
The constant k is equal to the number (4/)k/2 (1 + k2 ). The computation
is not easy, see C.A. Rogers [*1970].
36.14. Remarks. 1. The hints for computation k-dimensional measures of concrete rectiable
sets are given in Chapter 34. We will not present the (dicult) examples of nonrectiable sets.
2. Without essential changes of proofs a similar theory to that of this chapter can be built also
for the case of spherical measures (cf. Remark 36.3.4). The computation of the corresponding
constant analogous to k is much easier, in fact it follows immediately from Exercise 26.26.
3. In terms of the Hausdor measure the following version of the Sard theorem can be proved:
Let G Rk be an open set and f : G Rn an arbitrary mapping. Let E be the set of all
points t G at which the derivative f (t) exists and vol f (t) = 0 (which means that the rank
of the matrix f (t) is less than k). Then k (f (E)) = 0.
36.15. Notes.
ear) measure in n-dimensional Euclidean spaces. In the same paper he mentions the possibility of introducing k-dimensional measures in an n-dimensional space (for an integer k).
The k-dimensional measure for arbitrary positive k > 0 on Rn was introduced by F. Hausdor
[1919]. The interesting Theorem 36.4 is due to C. Carathodory [*1918]. The theory of Hausdor measures was developed very intensively, particularly A.S. Besikovitch published a great
amount of papers devoted to this topic. From monographs on Hausdor measures we recommend
C.A. Rogers [*1970], K. J. Falconer [*1986] and P. Mattila [*1995].
163
The reader perhaps appreciates that we include the explanation of three-dimensional (and therefore most important from the point of view of the classical
physics) situations without a deeper excursion to multilinear algebra.
Recall, that the integral calculus on k-dimensional surfaces in Rn is based on
the notion of a k-dimensional measure (34.8) which exists (Theorem 34.9) and on
k-dimensional surfaces is uniquely determined (Remark 34.31). Underline that for
a basic understanding of the topic it is not essential to know how k-dimensional
measures were constructed.
Since all theorems of this chapter are only special cases of more general results
of Chapter 38, we will not disturb the presentation by their proofs.
For the one-dimensional measure on Rn we will use the notation s, while S
will be reserved for the (n 1)-dimensional measure on Rn .
37.1. Vector Field, Gradient, Divergence, Curl. By a vector eld on a set
X we understand a mapping f of a set X into Rn .
Let g be a function of class C 1 on an open set U Rn . Then its gradient
g
g
grad g on U is dened as the vector eld x [ x
(x), . . . , x
(x)]. (The dierence
1
n
between the gradient and the derivative for functions of class C 1 consists only in
the convention that the gradient is a vector while the derivative is a linear form.)
Let f = [f1 , . . . , fn ] be a continuously dierentiable (i.e. of class C 1 ) vector
eld on an open set U Rn . Then the divergence of the eld f is the function
div f on U dened as
n
fi
div f =
.
xi
i=1
If f is a continuously dierentiable vector eld on an open set U R2 , its curl
is the function curl f dened by the formula
curl f =
f2
f1
.
x1
x2
.
x2
x3 x3
x1 x1
x2
164
(x2 x1 )
x1
3 x1
[ x
x2
2
(x2
1 +x2 )
x2
x1
x3
(x2 x1 )
x2
x3 x1
x3
= 1 2x2 .
2
(x2
1 +x2 )
x1
x3 x1
,
x1
x2
2
x1
x1
]
x2
x1
x1
x2
2
x2
= [0, x3 , 0].
h
1,
[1, 1, 1] [1, 2, 3] = det
2,
1
3
, det
1,
1,
1
3
, det
1,
1,
1
2
= [1, 2, 1].
37.7. Example. In R2 , the vector product of the vector [1, 2] is the vector [2, 1].
37.8. Exercise. Compute in R4 the vector product [1, 0, 1, 0] [0, 0, 0, 1] [0, 2, 0, 0].
165
d
(t)
dt
166
f t ds =
(G)
"
f1 ((t))1 (t) + + fn ((t))n (t) dt.
37.12. Example. Let = {[x, y, z] R3 : x = cos z, y = sin z, 0 < z < 2} be a helix (see
Example 34.25) and f (x, y, z) = [0, x, 3z 2 ]. We orient in such a way that the unit tangent
vector would have a positive z-coordinate. Parametrizing (t) = [x(t), y(t), z(t)] = [cos t, sin t, t]
we compute
1
1
t = [ sin z, cos z, 1] = [y, x, 1] ,
2
2
and therefore
Z
f t ds =
(x y + 3z 2 z ) dt =
w1 wn1
,
|w1 wn1 |
where wj = t
(t). Again, the vector n(x) is dened except on a S-null set and
j
using dierent parametrizations yields the same result outside a S-null set (for
more details see 38.14).
The eld n(x) obtained in this way determines the orientation. A parametrization : G is positive provided for almost all t G we have
(t)
(t) = n((t))
t1
tn1
(t)
(t),
t1
tn1
and negative if the above equality holds having the opposite sign on the right-hand
side.
The eld of unit normal vectors will be briey called the normal eld .
The integral f n dS is called the surface integral of the vector eld f . It
satises the following Change of Variable Formula.
37.14. Theorem. Let be an (n 1)-dimensional oriented surface. Let
G Rn1 be an open set and : G a positive parametrization. Then for
any vector eld f = [f1 , . . . , fn ], where fj L 1 (, S), we have
f n dS =
(G)
f ((t)) (
G
) dt.
t1
tn1
167
where
= {[x, y, z] R3 : z 2 = x2 + y 2 , 0 < z < 1}
and n is supposed to be oriented outwards from the cone
:= {[x, y, z] R3 : x2 + y 2 < z 2 , 0 < z < 1}
(see 37.21). We use the parametrization
(r, t) = [r cos t, r sin t, r]
on G := {[r, t] : r (0, 1) and t (0, 2)}. Obviously (G) diers from only in a set of
measure zero, hence there is no dierence between integration over and over (G). We have
0
cos t,
(r, t) = @ sin t,
1,
1
r sin t
r cos t A ,
0
so that
G
Z
(r 2 r 3 ) dr dt = .
=
6
G
37.16. Example. Let := {[x, y, z] R3 : x2 + y 2 = z < 1}. Let the unit normal vector
n(x, y, z) =
1
[2x, 2y, 1])
4z + 1
be oriented by the choice of its sign +. Then [t, r] [x(t, r), y(t, r), z(t, r)] := [r cos t, r sin t, r2 ],
t (0, 2), r (0, 1), is a positive parametrization and its range diers from only in a set of
measure zero. Let f (x, y, z) = [2x, 0, 0]. Then
Z
Z
f n dS =
2x det(y, z) dt dr
Z
(0,2)(0,1)
(0,2)(0,1)
4r 3 cos2 t dt dr = .
=
(0,2)(0,1)
168
Denote by Hk+ , Hk the halfspaces (0, ) Rk1 and (, 0) Rk1 , respectively. Further denote by i the mapping of Rk1 onto Hk dened as
i([s1 , . . . , sk1 ]) = [0, s1 , . . . , sk1 ].
Let Rn be a bounded oriented k-dimensional surface. The k-boundary
of is dened as \ . It is the topological boundary of if k = n. Suppose
that the k-boundary of is an oriented k1-dimensional surface. We say
that is a Lipschitz k-boundary of if for every point z there exist an
open set G Rk , a neighborhood U of x and a homeomorphic locally bilipschitz
mapping : G Hk such that z (Hk ), (G Hk ) = U ,
(G Hk ) = U and one of the following situations occurs:
(a) |GHk is a positive parametrization of U and |GHk i is a positive
parametrization of U ;
(b) |GHk is a negative parametrization of U and |GHk i is a negative
parametrization of U .
If k > 1 and a parametrization satises (b), the by a mirror-like modication we get a parametrization satisfying (a).
37.18. Introduction to Curve Integral Theorem. Let Rn be an oriented curve with a Lipschitz 1-boundary F . As we already know, the orientation
on is formed by a eld of unit tangent vectors t and F is a nite set consisting
from a positive part F + and a negative part F .
The relation between orientations and F is given in Denition 37.17. Less
precisely but transparently: The tangent eld is directed from points of the set
F towards points of the set F + . If t(a) is a continuous extension of t to the
point a F (warning: its existence is not guaranteed by our assumptions), then
t(a) = xa
lim
x
xa
.
|x a|
g(b)
aF
g(a) =
37.20. Example.
Let h be a Lipschitz function on [1, 1], h(1) = h(1) = 0. Let =
{[x, y] : y = h(x), |x| < 1}. If we choose an orientation of the unit tangent vector t to so that
its x-coordinate is positive, then
1
[1, h (x)] .
t(x, y) = p
1 + (h (x))2
169
R
We have to evaluate the integral f t ds, where f (x, y) = [3x2 cos y, x3 sin y]. A direct computation does not seem to be very hopeful, particularly if the function h is rather complicated.
Nevertheless, since f = grad g for g = x3 cos y, by the Curve Integral Theorem we get
Z
f t ds = g([1, 0]) g([1, 0]) = 2.
37.23. Example (the ball, spherical coordinates). Let = {[x, y, z] R3 : x2 + y 2 + z 2 < 1},
= {[x, y, z] R3 : x2 +y 2 +z 2 = 1}. Consider the mapping given by the spherical coordinates:
= [x, y, z], where
x(r, t, a) = r cos a cos t,
y(r, t, a) = r cos a sin t,
z(r, t, a) = r sin a,
and [r, t, a] H := (0, ) (, ) ( 21 ,
0
cos a cos t,
(r, t, a) = @ cos a sin t,
sin a,
1
).
2
We have
r sin t cos a,
r cos t cos a,
0,
1
r cos t sin a
r sin t sin a A .
r cos a
|w2 w3 | = cos a .
170
Finally
n(x, y, z) =
w2 w 3
= [cos t cos a, sin t cos a, sin a] = [x, y, z].
|w2 w3 |
37.24. Example. (a) By means of the Gauss Theorem we will evaluate (not for the rst
time) the surface measure of the sphere := {(x, y, z) R3 : x2 + y 2 + z 2 = 1}. We utilize
the fact that is a Lipschitz boundary of the ball = {(x, y, z) R3 : x2 + y 2 + z 2 < 1}.
We compute the two-dimensional measure of the sphere by integrating the constant 1 which we
express in the form 1 = f n, where we choose e.g. f (x, y, z) = [x, y, z]. Actually, [x, y, z] n =
[x, y, z] [x, y, z] = x2 + y 2 + z 2 = 1 (for a dierent set it would be necessary to nd a dierent
f ). We obtain
Z
[x, y, z] n dS =
1 dS =
div[x, y, z] dx dy dz =
3 dx dy dz = 4.
)
(result:
4
).
3
37.25. Example (the cube). Let be a cube (0, 1)3 and its boundary oriented by the
outer normal (e.g. on {0} (0, 1)2 the unit normal vector is [1, 0, 0]). The condition 37.17
is clearly satised for z lying on this side, and less obvious (but still satised) if z lies on an
edge or even at a vertex. Let, for example, z be the vertex [0, 0, 0]. Then a mapping with the
desired properties can be found in the form (t)
` = [t1 +max(0, t2 , t3 ), t1 +max(t2 , 0, t2
t3 ), t1 + max(t3 , t3 t2 , 0)], t ( 21 , 0] 12 , 12 )2 {|t2 t3 | < 12 }.
g t ds =
curl g dx.
37.28. Exercise. Compute the unit tangent vector and the unit normal vector to the unit
circle oriented as the (Lipschitz) boundary to the unit disc.
37.29. Example. Using the Green Theorem we compute the contents of the gure :=
x2
y2
{(x, y) R2 : 2 + 2 < 1}. The boundary (ellipse) can be (up to a set of one-dimensional
a
b
measure zero) parametrized by the mapping (t) = [x(t), y(t)] := (a cos t, b sin t), t (0, 2).
Let f be a vector eld on Rn whose curl is 1, e.g. f = [0, x], f = [y, 0], or f = [ 12 y, 12 x]. The
the Green theorem yields
Z
[0, x] t(x, y) ds =
1 dx dy =
xy dt =
ab cos2 t dt = ab.
37.30. Exercise. Using the Green theorem evaluate the content of the gure surrounded by
the asteroide {(a cos3 t, b sin3 t) : t [0, 2)}.
171
37.31. Introduction to Stokes Theorem. Let R3 be an oriented twodimensional surface with a Lipschitz k-boundary . Suppose that a normal eld
n on and a tangent eld t on are given. Less precisely, but more transparently
we can say that the tangent eld t(x) again circulates anti-clockwise provided we
observe the situation against the direction of the normal vector n(x). (Warning:
in contrast to the Green Theorem, here n means the normal eld to the surface.)
Under the above stated assumptions the following theorem holds.
37.32. (Special) Stokes Theorem. Let f be a vector eld of class C 1 on a
neighborhood of . Then
f t ds =
n curl f dS.
g n dS =
f t ds =
[y, x] t(x, y) ds =
(sin2 t + cos2 t) dt = 2.
For the evaluation of the integral over we used polar coordinates: x = cos t, y = sin t, t
(0, 2).
37.44. Notes. Main formulas of the calculus of curve and surface integral were established
in 19th century. The divergence theorem was discovered by K. F. Gauss, G. Green and M. V.
Ostrogradski. The Stokes theorem is due to G. G. Stokes. See also 39.24.
172
k
!
j=1
a1,j uj , . . . ,
k
ak,j uj
"
,
= det A W, (u1 , . . . , uk )
j=1
for any matrix A = (ai,j )ki,j=1 and any ordered k-tuple (u1 , . . . , uk ) of vectors of
V.
Dually, a k-vector on V will be dened as a k-covector on V . Thus a k-vector
assigns a real number to a k-tuple of linear forms on V. In particular, a 1-covector
is the same as a linear form; a 1-vector u on V will be identied with a vector
v V, if u assigns to each linear form V V the value V, v. A real number
c will be identied with a 0-form, or a 0-vector, which assigns the number c to
each 0-tuple of vectors or forms, respectively. The vector space of all k-covectors
on V will be denoted by k (V) and the vector space of all k-vectors on V by
k (V). So k (V) = k (V ), k (V) = k (V ), 1 (V) = V, 1 (V) = V , and
0 (V) = 0 (V) = R.
38.2. Example. A bilinear form is representable by a matrix. For the sake of simplicity
assume V = Rn , then (ai,j )i,j is a matrix of a bilinear form V if
V, (u, v) =
ai,j ui vj
i,j
for each u, v Rn . Among bilinear forms we select 2-covectors as bilinear forms with an
antisymmetric matrix, i.e. ai,j = aj,i (in particular ai,i = 0). An example of a matrix of a
2-covector in R3 is
0
1
0,
2, 3
@ 2, 0,
5 A.
3, 5, 0
The (canonical) inner product represented by the unit matrix is also a bilinear form but it fails
to be a 2-covector.
(u1 , . . . , uk ) Vk .
(V1 , . . . , Vk ) (V )k .
Notice that the exterior product is invariant with respect to even permutations of
factors. An odd permutation changes (only) the sign. The exterior product vanishes if the factors are linearly dependent (in particular, if two factors coincide).
Now we will investigate coordinates of k-vectors and k-covectors in Rn . Let Xi
denote the i-th coordinate form [u1 , . . . , un ] ui . Recall that in the context of
these chapters by a multiindex we understand an ordered k-tuple = [1 , . . . , k ]
173
of indices from {1, . . . , n}, and that the set of all such multiindices is denoted by
{1, . . . , n}k . A multiindex is called increasing if 1 < < k . The set of all
increasing multiindices from {1, . . . , n}k is denoted by I(k, n). Each k-covector
W posseses (uniquely determined) real coordinates W , {1, . . . , n}k , namely
W = W, (e1 , . . . , ek ) .
Dually, each k-vector w has (uniquely determined) real coordinates w ,
{1, . . . , n}k , namely
w = (X1 , . . . , Xk ), w .
Let W be a k-covector (take into account analogous considerations for k-vectors).
From the antisymmetry it follows
W() = W
for each transposition of indices.
In particular W = 0 whenever an index occurs in the multiindex at least twice.
For a complete description of a k-covector we need only coordinates corresponding
to increasing multiindices.
We have
W =
W X1 Xk ,
I(k,n)
174
W(2,3)
X2 + X1 ) (W(1,3) X3 + W(1,2) X2 ).
W(1,3)
dx1 dxk ,
I(k,n)
where dxi denotes the constant dierential 1-form x Xi and are functions
on E. We say that a dierential form is of class C if all its coordinates
are of class C . Similarly we dene other properties of dierential forms (e.g.
measurability) using coordinates .
38.10. Example.
example in R4 :
(dx2 + dx4 ) (x4 dx1 x1 dx4 ) (dx2 + dx3 ) = (x4 dx2 dx1 + x4 dx4 dx1 x1 dx2 dx4
x1 dx4 dx4 ) (dx2 + dx3 )
= (x4 dx1 dx2 x4 dx1 dx4 x1 dx2 dx4 ) (dx2 + dx3 )
= x4 dx1 dx2 dx2 x4 dx1 dx4 dx2 x1 dx2 dx4 dx2
x4 dx1 dx2 dx3 x4 dx1 dx4 dx3 x1 dx2 dx4 dx3
= x4 dx1 dx2 dx4 x4 dx1 dx2 dx3 x4 dx1 dx4 dx3 + x1 dx2 dx3 dx4 .
175
dx1 dxk1
I(k1,n)
d(x) =
n
I(k1,n) i=1
xi
(b)
where wj = t
(t). Then the k-vector (x) is dened -almost everywhere and
j
does not depend on the particular choice of the parametrization .
176
We will not use the normal nk-covector in full generality, nevertheless for the
sake of completeness we will outline the denition: It associates with a nk-tuple
u1 , . . . , unk of vectors in Rn the number
vol1 (w1 , . . . , wk ) det(u1 , . . . , unk , w1 , . . . , wk ).
The vector space Tx generated by the vectors w1 , . . . , wk (it will be termed
the tangent space in the next chapter) is -almost everywhere independent of the
choice of a parametrization.
Notice that the dimension of k (Tx ) is 1. Consider two orientations of a surface
. Suppose that 1 : G1 , 2 : G2 are parametrizations such that 1 is
positive under the rst orientation and 2 is positive under the second orientation.
Let U 1 (G1 ) 2 (G2 ) be a connected open (relatively in ) set. Let j be
a eld of unit tangent k-vectors on U determined by the j-th orientation (by
the parametrization j ). The above conducted dimension considerations show
that 2 (x) {1 (x), 1 (x)} -almost everywhere on U . From Theorem 35.11 it
follows that either 2 = 1 -almost everywhere, or 2 = 1 -almost everywhere.
We can deduce that the orientation of can be reconstructed from the knowledge of the unit tangent k-vector eld. A parametrization : G is positive
if for almost all t G
(t)
(t) = ((t)) vol(
(t), . . . ,
(t)),
t1
tk
t1
tk
and negative if the above stated equality holds with the opposite sign.
38.15. Example. Let := {x R4 : x1 > 0, x3 = x1 cos x2 , x4 = x1 sin x2 }. We have to
nd the unit tangent 2-vector eld on knowing that the parametrization : (0, )(, )
,
(t1 , t2 ) = [t1 , t2 , t1 cos t2 , t1 sin t2 ]
is positive. We have
w1 :=
and thus
vol2 (w1 , w2 ) = 1 + t21 cos2 t2 + t21 sin2 t2 + cos2 t2 + sin2 t2 + t21 (cos2 t2 + sin2 t2 )2 = 2 + 2t21
and
(x) =
The 2-vector (x) has six coordinates, namely (1,2) (x), (1,3) (x), (1,4) (x), (2,3) (x), (2,4) (x)
and (3,4) (x). For example,
det
(1,3) (x) =
1,
0
x3 /x1 , x4
q
2 + 2 x21
x4
= q
.
2 + 2 x21
177
38.16. Integration of Dierential Forms. Let be an oriented k-dimensional surface, a unit tangent k-vector eld and a k-dimensional measure on
. Then the integral of a dierential k-form is dened as
, d
:=
provided the right-hand side makes sense. Here, the symbol represents all the
structure (, orientation): Without the knowledge of it would be impossible to
determine the sign of the integral.
38.17. Particular Cases.
Notions of the preceding chapter can be now
revisited from the point of view of the general approach using dierential forms
and k-vector elds. Let us start with trivial cases.
If k = 0, then is a nite set, (x) = 1 on and the integral is only a sum
of values. A dierential 0-form is a function and
=
(x)(x).
f (x) dx1 dxn =
f d.
g1 dx1 + + gn dxn =
g t ds.
Finally the case of a normal eld is also included: Let k = n 1. Then the
vector eld n(x) and the (n 1)-vector eld (x) are linked by the relation
= n1 e2 en n2 e1 e3 en + (1)n nn e1 en1 .
A dierential (n1)-form is (again, but in a dierent way) represented by a vector
eld g and
178
dx1 dxk ,
I(k,n)
=
(G)
G I(k,n)
=
G I(k,n)
d1 dk
det(1 , . . . , k ).
Z
z dx dy =
sin a( sin t cos a dt cos t sin a da) (cos t cos a dt sin t sin a da)
ZG
=
Z
/2
=
G
sin2 a cos a da
/2
1
= 2
1
u2 du =
4
.
3
38.20. Example. Let := {x R4 : x21 + x22 = x23 + x24 = 1, x1 > 0, x3 > 0}. Consider
the parametrization (t) = [ cos t1 , sin t1 , cos t2 , sin t2 ], t G := ( 2 , 2 )2 . Suppose that the
orientation makes positive. Then
0
sin t1 ,
B cos t1 ,
B
(t) = @
0,
0,
1
0
C
0
C
sin t2 A
cos t2
179
so that
t1
.)
t2
(x) = x2 x4 e1 e3 x2 x3 e1 e4 x1 x4 e2 e3 + x1 x3 e2 e4
is a tangent 2-vector eld. We can compute (taking into account the sign of only) for example
Z
Z
x1 dx2 dx4 =
cos t1 det
G
cos t1 ,
0,
0
cos t2
Z
cos2 t1 cos t2 dt1 dt2 = .
=
G
38.21. General Stokes Theorem. Let Rn be a bounded oriented kdimensional surface with a Lipschitz k-boundary . Let be a C 1 dierential
k1-form on a neighborhood of . Then
=
d.
1
(t) = 1 t1
if t1 0,
if 0 < t1 < 1,
if t1 1.
180
2 = 1 ,
. . . , k = k1
on G Hk ,
onHk \ G,
i (t) = i (0, t2 , . . . , tk ),
if 0 < t1 < 1.
The existence of these functions follows from McShanes theorem 30.5. Applying
Corollary 35.3 to 1 , 2 , . . . , k we obtain
det(( 1 ), 2 , . . . , k ) dt
0=
k
R
1 det(, 2 , . . . , k ) dt +
det(1 , 2 , . . . , k ) dt.
=
Rk
Rk
The rst integrand can dier from zero only on the strip {0 t1 1}, otherwise
= 0. Fubinis theorem yields
Rk
(
! i "k
1 dt1 ) det
dt2 . . . dtk
tj i,j=2
k
R 0
! i "k
=
1 det
dt2 . . . dtk
k
tj i,j=2
GH
=
q .
1 det(, 2 , . . . , k ) dt =
The second integrand vanishes on Hk \G (where 1 = 0), on the strip {0 < t1 < 1}
(where the partial derivatives i /t1 are zero) and for t1 1 (where = 0).
Thus
det(1 , 2 , . . . , k ) dt =
det(1 , . . . , k ) dt
Rk
GHk
d(q ).
cos t2 ,
B sin t2 ,
B
(t) = @
cos t3 ,
sin t3 ,
(1 t1 ) sin t2 ,
(1 t1 ) cos t2 ,
0,
0,
1
0
C
0
C.
(1 t1 ) sin t3 A
(1 t1 ) cos t3
(t))
t3
181
(t),
(t),
)(t) = 2(1 t1 )2 .
vol
t1
t2
t3
Let the orientations of and be chosen in such a way that the parametrization is positive.
We easily verify that the unit tangent 3-vector eld on has the form
`
1
(x) = q
x1 e2 e3 e4 x2 e1 e3 e4 x3 e1 e2 e4 + x4 e1 e2 e3
2
2
2
2
x1 + x2 + x3 + x4
(which corresponds to the normal eld
1
[x1 , x2 , x3 , x4 ],
n(x) = q
x21 + x22 + x23 + x24
see 38.19), and the unit tangent 2-vector eld on is
`
(x) = a x2 x4 e1 e3 x2 x3 e1 e4 x1 x4 e2 e3 + x1 x3 e2 e4 ,
where a equals 1/4 for x21 + x22 = 4 and 1 for x21 + x22 = 1.
p
x2 + y 2 < 35 x + 1}, := {[x, y, z]
38.23. Example.
Let := {[x, y, z] R3 : z =
p
3
R3 : z = x2 + y 2 = 5 x + 1}. (A part of the conical surface surrounded by an ellipse .) Choose
the orientation R in such a way that the z-coordinate of the normal is positive. The evaluation
of the integral dy dz is simplied when applying Stokes formula. We use the mapping
25
5
15
+
r cos t, r sin t,
(r, t) = [
16
16
4
r
(
25
15
5
+
r cos t)2 + ( r sin t)2
16
16
4
16
64
0
38.24. Notes. The exterior multiplication was invented by H. Grassmann in the 19th century.
See also 39.24.
182
183
vectors t
((x)), . . . , t
((x)). If the manifold is embedded into Rn , it is not
1
k
necessary to dene these vectors since partial derivatives of are elements of Rn .
There is a lack of such an interpretation for abstract manifolds. To associate a
vector t
((x)) is represented as the linear form f (ft)
on the vector space
j
j
of all functions on which are dierentiable in x. A tedious computation shows
that such a denition of a tangent space is independent of the choice of .
Let (X , M ) and (Y , N ) be two manifolds (not necessarily of the same dimension) and f : X Y . If x X , y Y , f (x) = y and f is dierentiable at
x, then the derivative of f at x is dened as the mapping which assigns with each
(f )
((x)).
tj
Let the k-dimensional manifold (, A ) be oriented A and x U . The basis (u1 , . . . , uk ) of the tangent space Tx () is called positive provided det( (x)u1 ,
. . . , (x)uk ) > 0, and negative if det( (x)u1 , . . . , (x)uk ) < 0. Notice that
neither of these notions depend on the particular choice of a chart.
39.5. Example. Let be the sphere {x Rn : |x|2 = 1}.
(a) The structure of an oriented manifold of class can be formed on by the atlas of
the coordinate charts:
= {q : q {n, . . . , 1, 1, . . . , n}}, where
1 (x) = [x2 , . . . , xn ],
x1 > 0,
1 (x) = [x2 , . . . , xn ],
x1 < 0,
2 (x) = [x1 , x3 , . . . , xn ],
2 (x) = [x1 , x3 , . . . , xn ],
x2 > 0,
x2 < 0,
...
n (x) = [x1 , . . . , xn1 ],
n (x) = [x1 , . . . , xn1 ],
xn > 0,
xn < 0.
(b) There is no atlas on composed from a sole chart . Indeed, is compact, is continuous
and thus () should be compact as well. However, there are no compact open sets in Rn1 .
(c) We nd the tangent space at a point x , for instance by means of n for xqsatisfying
n1 : |t| < 1}, then (t) = [t , . . . , t
1 |t|2 ],
xn > 0, using = 1
1
n1 ,
n . Thus, if G = {t R
t G, and the tangent space at the point x = (t) is generated by the vectors
t1
x1
tn1
xn1
[1, 0, . . . , 0, q
] = [1, 0, . . . , 0,
], . . . , [0, . . . , 0, 1, q
] = [0, . . . , 0, 1,
].
xn
xn
1 |t|2
1 |t|2
184
(d) Consider the mapping g : R2 R3 dened as g(x) = [x21 , x22 , 2 x1 x2 ] and denote its
restriction to the unit circle 2 in R2 by f . Then f maps 2 to the unit sphere 3 in R3 .
The derivative f (x) maps a vector u Tx (2 ) R2 to the vector f (x)(u) Tf (x) (3 ), and
g
g
(x) + u2 x
(x) = [2u1 x1 , 2u2 x2 , 2u1 x2 + 2u2 x1 ].
f (x)(u) = g (x)u = u1 x
1
p
x2 + y 2 R)2 + z 2 = r 2 }
be an anuloid. We will use the parametrization q (s, t) = [x, y, z], [s, t] Gq , where
x = (R + r cos s) cos t,
y = (R + r cos s) sin t,
z = r sin s,
G1 = (0, 2) (0, 2),
G2 = (0, 2) (, ),
G3 = (, ) (0, 2),
G4 = (, ) (, ).
Then the atlas
on .
1
{1
1 , . . . , 4 }
t
t
t
) cos t, (1 + s cos ) sin t, s sin ].
2
2
2
is a dierential form on G
(t) =
I(k,n)
185
=
d
x1 d
xk ,
I(k,n)
where x
i are the coordinate functions x xi on . Notice that (x) k (Rn )
while
(x) k (Tx ()). The space Tx () can be understood as a subspace of Rn .
The dierence is immaterial from the point of view of integration. Nevetheless,
a certain carefulness is recommended. Indeed, two dierent elements of k (Rn )
can coincide on Tx () so that a dierential form on can have more distinct
descriptions in coordinates (related to Rn ). This phenomenon is demonstrated
by the next example.
39.9. Example. Let be the unit circle {[x, y] R2 : x2 + y 2 = 1}. Then x dx + y dy induces
the zero dierential form on .
q
39.10. Example. Let be the conical surface {x R3 : x3 = x21 + x22 }. Let be the chart
which is the inverse to the mapping : G , G = (0, 1)(0, 2), (t) = [1 (t), 2 (t), 3 (t)] =
[t1 cos t2 , t1 sin t2 , t1 ], and let (x) = x1 dx2 dx3 be the dierential form on . Then
= 1 d2 d3 = t1 cos t2 d(t1 sin t2 ) dt1 = (t21 cos2 t2 )dt1 dt2 .
186
Let (X , M ) be an n-dimensional manifold of class C 1 and g a mapping associating with every x X a positive denite bilinear form gx on Tx (X ). Then
we can express gx in coordinates with respect to a chart M in such a way
that for any vectors u, v Tx (X ) we have
gx (u, v) =
n
x
gi,j
u
i vj ,
i,j=1
i (x)u
j (x)v.
x
where u
i =
and vj =
If all coordinate functions x gi,j
, i, j =
1, . . . , n, are continuous, we call g a Riemannian metric on X . The structure
(X , M , g) is called a Riemannian manifold . Any manifold of class C 1 admits a
Riemannian structure; it follows easily using the partition of unity.
p
39.13. Example. If
:= {[x, y, z] R3 : x = r cos z, y = r sin z, where r = x2 + y 2 }
is a helix, then
is a two-dimensional manifold. If we introduce a metric on T[x,y,z] by the
formula
g[x,y,z] (u, v) = P u P v,
where P is the projection [x, y, z] [x, y], then we get a Riemannian manifold which does not
have an isometric embedding to Rn . (The mapping P is of course locally an isometric embedding
into R2 but globaly it is not one-to-one.) Such manifolds are useful in complex analysis, the
example demonstrates that non-imbedded manifolds are not only useless abstractions.
39.14. Example. Let be an open unit circle in R2 . Set
gx (u, v) = u in +
(u x)(v x)
|x|2
x , u, v R2 .
Since the integral does not depend on a particular choice of , the partition of
unity leads to the existence of a k-dimensional measure on a k-dimensional
Riemannian manifold.
187
u1 uk
,
vol(u1 , . . . , uk )
d,
4
4r
+
5r 2 + 1
q
where r = x21 + x22 , := {x R4 : x1 = r cos x4 , x2 = r sin x4 , x3 = r 2 , x4 (0, ), r
(0, 1)} and is a two-dimensional measure on .
Let (es , et ) be the canonical basis of R2 and (e1 , . . . , e4 ) the canonical basis of R4 . The
manifold will be parametrized by the mapping (s, t) = [s cos t, s sin t, s2 , t], [s, t] G :=
(0, 1) (0, ). We introduce the structure of an oriented manifold on by the atlas {1 }.
Denote L = (s, t), w = Les Let . Then
w=
and
x21
x2
+ 4r 2 x21 + 22 + 4r2 = 4r4 + 5r2 + 1.
r2
r
For the unit tangent k-vector we have
w
=
,
|w|
|w|2 = r 2 + 4r 2 x22 +
and thus
Z
rx2
4r4 + 5r2 + 1
rx2
4r 4 + 5r 2 + 1
1
dx1 dx3 , ,
2
Z
1
dx1 dx3
2
Z
Z
1
2
=
(cos t ds s sin t dt) 2s ds =
s2 sin t ds dt = .
2 G
3
G
d =
188
inner product was quite obvious. Nevertheless, for the purpose of integration of
dierential forms on manifolds neither Riemannian structure nor a k-dimensional
measure are needed. Indeed, we can realize that the integral expressions given
by the Change of Variable Formula do not depend on these structures. In the
general case we can proceed as follows: Let (, A ) be a k-dimensional oriented
manifold. Let be a measurable
dierential k-form on A and E a measurable
subset of . The integral E is dened in two steps: First, assume E U for
some M . Then we dene
=
(1 ) .
E
(E)
From the Change of Variable Formula it follows that this integral (if it makes
sense) does not depend on the choice .
The second step is based on the partition of unity. Let { } T be a partition
of unity on (, A ).
For any measurable set E denote
I(E) =
E{ >0}
(the expression I(E) does not necessarily makes sense). We say, that the integral
converges, or that the dierential form is integrable on E if for any meaE
surable set E , the expression I(E ) makes sense and it is a nite number,
and for any sequence {Eq } of parwise disjoint measurable sets Eq E, the series
I(Eq )
q=1
E
converges, we set
= I(E).
E
Since we were careful enough, the value of such a dened integral depends neither
on the partition of E, nor on the partition of unity. On the other hand, it
depends on the orientation of : The reverse orientation forces the converse of
the sign of the integral.
Let G Rk be an open set and : G a dieomorphism. We say, that
is a positive parametrization if all superpositions , A , have a positive
Jacobian. For positive parametrizations the following change of variable formula
is valid:
=
(G)
189
x (s) x(s) = 0 satisfying the condition 0 < x(0) < 1. Let
= { : R2 : there are a,
b R, such that a < b and (x) = [x(a), x(b)] for all x }. Then (, ) is a two-dimensional
oriented manifold and : t et2 s+t1 , t (, 0)2 is a positive parametrization of . The
tangent space Tx (), x = (t), is representable as a two-dimensional vector space of functions
det
u1 (0),
u1 (1),
u2 (0)
u2 (1)
We have
= d(et1 ) d(et1 +t2 ) = et1 dt1 (et1 +t2 dt1 + et1 +t2 dt2 )
= e2t1 +t2 dt1 dt2 ,
so that
Z
=
(,0)2
1
.
2
Let be a C 1 dierential
190
Then {{fa > 0} : a K} is a covering of K and taking into account the compactness of K we
can select a nite set {fa1 , . . . , fam } forming an admissible family of functions, whose sum is
positive on K. We have yet solved the existence of the partition of unity provided is compact.
Recall that, by our denitions, is a metrizable space. If is connected, then the Topological
Lemma 39.23 yields the existence of compact sets Kq and open sets Wq (q N) such that
S
Kq Wq , =
Kq , and each point has a neighborhood which intersects only a nite
q=1
number of sets Wq . For each couple (Kq , Wq ) we nd an admissible family of functions by the
preceding procedure. The union with respect to q will be an admissible family of functions
whose sum is positive on . This solves the existence problem if is connected. If is not
connected, then its topological components are connected submanifolds . By a simple union
of partitions of unity on components we obtain the partition of unity on .
39.23. Topological Lemma. Let (P, ) be a connected locally compact metric space. Then
there exists a sequence {Kq } of compact subsets of P and a sequence {Wq } of open subsets of
S
X such that X =
Kq and each point P has a neighborhood intersecting only nitely many
q=1
sets Wq .
Proof. We may assume that P is not compact, for otherwise there is nothing to prove. Further,
we consider an equivalent metric in which P is bounded. Given x P , there is a radius r(x)
such that B(x, 2r(x)) is compact and B(x, 4r(x)) is not compact. We construct recursively a
sequence {Vq } of open relatively compact subsets of P . Choose x0 P and set V1 = U (x0 , 2r0 ).
Assume that V1 , . . . , Vq were already constructed. Thanks to compactness of Vq it follows that
there is a nite system {U (xj , rj )} of balls selected from {U (x, r(x)) : x V q } such that it
S
covers V q . Set Vq+1 = U (xj , 2rj ). The resulting sequence satises V q Vq+1 . We prove
j
by a contradiction that V :=
Vq = P . Suppose V
= P . Since P is connected, there exists
q=1
II], H. Federer
M. Berger and B. Gostiaux [*1988], L. Bocek [Bo
c], I. Cern
y and J. Mark [CM
[*1969], W. Fleming [*1965], O. Kowalski [Kow], L. Krump, V. Soucek and J. A. T
esnsk
y [KST],
F. Moran [*1988], R. Sikorski [Sik], L. Simon [*1983].
H. Vector Integration
191
H. Vector Integration
40. Measurable Functions
In many branches of analysis we need to integrate functions having values in
vector spaces. Throughout this chapter we consider the case when (, S , ) is
a measure space and X is a Banach space. Having a mapping
f from to X
(avector function) we would like to dene an integral f d in a reasonable
way. In principle, there are two possibilities:
(1) to utilize real (or complex) case arising by a composition f where
varies over the set of all functionals of the dual space X ,
(2) to try to choose an appropriate denition of the Lebesgue integral suited
for the vector case.
Note that both methods are also common in other branches of analysis.
In this rather short and informative chapter we will follow both ways of dening
vector integrals. Note that basic knowledge of main topics of functional analysis (like the HahnBanach theorem, the Riesz-Frechet representation theorem of
bounded linear functionals on Hilbert spaces, or the notion of a reexive space)
is necessary for a good understanding of vector integration.
It seems that the rst attempt to dene a vector integral of the Riemann type is
due to Graves in 1927. His denition is only a suitable modied original Riemann
denition and its main idea is explained in Exercise 43.7.
In what follows, X will denote a Banach space and (, S , ) will be a measure
space, where is supposed to be a complete probability measure ( = 1).
First of all we concentrate on the notion of measurable functions.
40.1. Measurable Functions. A function f : X is termed
simple
provided there exist x1 , ..., xn X and E1 , ..., En S such that
f = i xi cEi ,
measurable if there exists a sequence {fn } of simple functions such that
lim fn () = f () for -almost all (i.e. if fn () converge to f () in
the norm of the space X for -almost all ),
weakly or scalarly measurable if functions f are measurable for each
continuous linear functional X .
40.2. Remarks.
1. Note that we dened measurable functions according to the characterization given in Exercise 5.7. It is clear that the common denition of measurability
for each X) cannot be used in the case of vector functions.
({ : f () < }
There are other equivalent denitions of measurability of real functions like those in Exercise
3.6.a ({ : f () B}
for each open, or Borel set B R, respectively) suited to
the case of vector functions. Having the last denition in mind the class of all measurable
functions coincides with the class of all measurable functions (and also with the class of all
weakly measurable functions according to Pettis theorem) provided X is separable. In a nonseparable case the sum of two measurable functions according to the last denition need not
be evenmeasurable.
2. Assume fn are measurable, fn f -almost everywhere and R. Prove that the
functions f1 + f2 , f1 , f are also measurable. The same is true for weakly measurable functions.
The relationship between measurable and weakly measurable functions is described in the next theorem.
192
xn if Enk \ j<n Ejk ,
hk () =
0
otherwise.
If \ E, then f () hk () < k1 . Thus, we have shown that there is a
sequence {hk } such that hk f -almost everywhere and each function hk has a
countable range. Since such functions are measurable, the assertion easily follows.
To get a good understanding of vector integration we introduce examples. Before proceeding let us agree on the following notations:
c0 is the Banach space of all real sequences x = {xn } satisfying xn 0
equipped with the sup-norm x = maxn |xn |,
lp , 1 p < is the space of all sequences x = {xn } for which xp :=
!
p "1/p
|xn |
< ,
n
H. Vector Integration
193
l will denote the space of all bounded sequences x = {xn } equipped with
the norm x := supn |xn |,
l2 ([0, 1]) is the Hilbert space of all real functions f on [0, 1] vanishing o
2
a countable set such that t[0,1] |f (t)| < , equipped with the inner
product (f, g) = t f (t)g(t).
40.4. Example. Consider X = l2 ([0, 1]) and the measure space ([0, 1], M, ). Let {et : t
[0, 1]} be the usual orthonormal base of X (et (x) = 1 for x = t, et (x) = 0 otherwise). Dene
echet representation theorem
the mapping f : [0, 1] X as f (t) = et . If X , the Riesz-Fr
on Hilbert spaces implies the existence of a uniquely determined a X such that (x) = (x, a)
for every x X. Hence (f (t)) = (et , a) = a(t) and the set {t [0, 1] : (et , a)
= 0} is countable.
We can see that f = 0 almosteverywhere and therefore f is a weakly measurable function.
On the other hand, et es = 2 for t
= s. It follows that f ([0, 1] \ E) = {et : t [0, 1] \ E}
is separable if and only if the set [0, 1] \ E is countable. Thus, there is no set E [0, 1] of
measure zero for which f ([0, 1] \ E) would be separable and Pettis theorem implies that f is
not measurable. (Further examples can be found in Exercises 43.7.e and f.)
40.5. Notes. The theory of vector measures and integration was developed in an essential
way during 1930s. Famous Theorem 40.3 appears in B.J. Pettis [1938].
of elements of a Banach space X. We say that a (formal) series
xi =
xi is
i=1
n i=1
xi (we write
i=1
xi = lim
n i=1
xi ),
xi < + ,
unconditionally convergent to x X if n xP (n) = x whenever P is a
one-to-one mapping of N onto N.
Each absolutely convergent series converges (X is a complete space !) even
unconditionally. On the other hand, every unconditionally convergent series
converges absolutely provided dim X < + (Riemanns theorem) while in innite dimensional spaces this assertion is no longer true (consider the example
xn = (0, . . . , 0, n1 , 0, 0, . . . ) c0 ).
In what follows, (, S , ) will stand for a xed measure space and X a given
Banach space.
41.2. Vector Measures. A vector-valued set function F : S X is called an
additive (-additive) vector measure if F () = 0 and
F ( En ) =
F (En )
i=1
194
the sense as above. Realize that this convergence is even an unconditional one.
Any -additive vector measure will be shortly called a vector measure.
41.3. Examples. In all examples, (,
[
X
[
[
Ej )
F (Ej ) = F (
Ej ) (
Ej ) L .
F (
j=1
j=1
j=n+1
j=n+1
and En < 2n .
n
X
F (Ak ) : Ak
, Ai Aj = for i
= j ,
k=1
n
[
Ak = E .
k=1
H. Vector Integration
195
A few remarks should be now added. Recall (cf. the proof of Pettis theorem, or
Exercise 42.5)
that (real) functions f fn are measurable. Further, the above
limit lim B fn d exists for any B S since X is complete and the estimates
%
%
%
%
%
% fn
fk %
fn fk
fn f + fk f
%
B
hold. Note also that B d :=
xi (Ei B) when =
xi cEi is a
simple
function and that this denition does not depend on the expression of as xi cEi
which is not unique.
Moreover, if B f fn 0 and B f
gn 0, B S (where fn , gn
are simple functions) then lim B fn = lim B gn (consider the sequence f1 , g1 , f2 ,
g2 , . . . ).
Now if f is Bochner
integrable, B S and {fn } is a sequence of simple func
tions satisfying B f fn 0, the limit lim B hn d exists and is independent
of the sequence {hn }. This limit (which is an element of our Banach space X) is
called the Bochner integral of f and it is denoted by B f d. The fundamental
characterization of Bochner integrable functions is given in the next theorem.
42.2. Theorem (Bochner).
A measurable function f : X is Bochner
integrable if and only if f d < (i.e. exactly when the (real) function f
is Lebesgue integrable).
Proof. If f is Bochner integrable, then f is measurable (cf. Exercise 42.5). Now
the assertion follows from the estimates
f f fn + fn
where {fn } is a sequence of simple functions satisfying f fn 0.
For the converse, suppose f is integrable. There are simple functions fn
tending to f - almost everywhere. Set
fn () if fn () 2 f () ,
gn () =
0
otherwise in .
Obviously, gn are again simple functions. Moreover,
gn () 2 f () ,
f () gn () 0
f gn
Denoting LX1 (or, more precisely, LX1 (, S , )) the space of all Bochner integrable functions we see that f LX1 if and only if f L 1 . Basic properties of
the Bochner integral are summarized in the next theorem.
196
% %
(a) If f LX1 and E S , then % E f % E f .
(b) The space LX1 equipped with the norm g1 = g d is complete. In
other words, identifying functions which are equal -almost everywhere, LX1 is a
Banach space.
(c) If F (E) := E f d denotes the indenite Bochner integral, then F is a additive vector measure absolutely continuous with respect to . Moreover,
if
{En } is a sequence of pairwise disjoint sets from S , then the series n F (En )
converges absolutely.
42.3. Theorem.
Sketch of the proof. (a) Using the triangle inequality, the assertion is true for
simple functions. For the general case, pass to the appropriate limit appealing to
the Lebesgue dominated convergence theorem (which is valid even in the vector
case).
(b) The proof is the same as in the case of real functions.
(c) Without any diculty you can show that the indenite Bochner
integral is
(nitely) additive. If E
S
are
pairwise
disjoint,
then
the
series
F (En ) is
n
S
absolutely convergent ( F (En )
f
=
f
f
<
+)
and
En
En
%
% %
%
%F (
En )
F (En )% = %F (
En )% .
n=1
n=1
n=k+1
"
The assertion now follows since lim
En = 0 and the measure E
k
n=k+1
f
d
is
absolutely
continuous
with
E
% respect
% to (Exercise 8.22.b). Indeed,
given > 0 there is > 0 such that % E f % E f < whenever E < .
R
42.4. Remark. We have just seen that the indenite Bochner integral E E f d is a
-additive vector measure which is absolutely continuous with respect to . Moreover, it is
simply checked that this measure is of bounded variation. As in the real case, a question arises
whether each -additive X-valued vector measure of bounded variation which is absolutely
continuous with respect to can be expressed as an indenite Bochner integral of a Bochner
integrable function. Thus there is a question whether or not the Radon-Nikod
ym theorem holds
for vector measures. The answer is negative. The vector measure of Example 41.3.1 is absolutely
continuous with respect to Lebesgue measure, in case of p = 1 it is of bounded variation and
still it is not the indenite Bochner integral of any Bochner integrable function.
H. Vector Integration
197
42.6. Exercise. Let f, g be measurable functions, f g -almost everywhere and let g
be Bochner integrable. Show that f is Bochner integrable.
42.7. Exercise.
variation.
42.8. Notes. The Bochner integral was studied by S. Bochner [1933] and N. Dunford [1935].
Today, it is used as a tool in function spaces theories, when examining evolution PDEs and
dierential equations in Banach spaces, or in some problems of the geometry of Banach spaces.
LE () =
E
for each X .
Proof.
Obviously, f is weakly measurable. Fix E S and dene LE :
f
for X . Without doubt LE is a linear functional and we have to
E
show that LE is bounded. To this end, dene the mapping T : (f cE )
(X L 1 ()). We will nish the proof by showing that T has a closed graph.
Indeed, then the closed graph theorem implies that T is bounded (the spaces X
and L1 () are complete !) and
|LE ()| = f = (f cE ) (f cE )1 = T 1 T
E
198
Instead of LE we will use the notation (D) E f (remember that
LE is an element
of X ) while PE (an element of X) will be denoted by (P ) E f .
Both integrals can be identied provided X is reexive.
43.3. Example. Let X = c0 , (,
| f | =
X
XZ
n nc(0,1/n] (t) dt
1
0
n xn whenever x =
|n | nc(0,1/n] =
|n | < +.
f =
n nc(0,1/n] =
n ,
R
we see that (D) 01 f = {1, 1, 1, , . . . }. Therefore the Dunford integral of f is an element of
P
integrable.
Show that
Z
1/n
1/n
f =
(D)
0
It follows that
Z
0
i ic[0,1/i] =
1/n
(D)
and
1/n
f =
1
2
n
1 + 2 + + n + n+1 + . . . .
n
n
n
n
1 2
f = { , , . . . , , 1, 1, 1, . . . } l
n n
n
Z
(D)
1/n
= 1.
43.4. Remark. Having in mind the last example, notice that the indenite Dunford integral
Z
F : E (D)
f , EM
E
is not
continuous with respect to the Lebesgue measure ([0, 1/n] = 1/n 0 in spite
absolutely
R
The next theorem characterizes Pettis integrable functions among those which
are Dunford integrable.
43.5. Pettis Theorem. For a measurable Dunford integrable function f :
X the following assertions are equivalent:
(i) f is Pettis integrable,
(ii) the indenite Dunford integral of f is a -additive vector measure,
(iii) the indenite Dunford integral of f is absolutely continuous with respect
to .
H. Vector Integration
199
The proof of this theorem makes use of deeper theorems of functional analysis and
is beyond the scope of this manuscript.
Many problems dealing with vector integration are subtle and need a deeper knowledge of
Banach spaces theory. This is also the case of the next remarks. The reader is referred, for
example, to J. Diestel and J.J. Uhl [*1977] or L. Misk [*1989].
43.6. Remarks.
1. Any Bochner integrable function is also Pettis integrable and both
integrals coincide on sets of .
2. Moreover, the following theorem holds:
Let f : X be a measurable Pettis integrable function. Then f is Bochner integrable if
and only if the indenite Pettis integral of f is a vector measure of bounded variation.
3. The space c0 is exceptional: If X does not contain a copy of c0 (i.e. there is no subspace of
X topologically and algebraically isomorphic with c0 ), then any measurable Dunford integrable
function is Pettis integrable.
4. Let f : X be a measurable function. There are xn X and En
P
f =
xn cEn almost everywhere. Then
such that
n=1
P
f is Pettis integrable if and only if the series
xn (En E) is unconditionally convergent
for any E ,
P
f is Bochner integrable if and only if the series
xn (En E) is absolutely convergent for
any E .
1 (C) be a probability Radon
5. Let C be a compact subset of a Banach space X. Let
measure on C. (For any A X we denote by coA the smallest closed convex subset of X
containing A. It is simply checked that RcoA equals the closure of the convex hull of A.) There
exists a unique z coC so that (z) = d for any X . This z is called the barycenter
C
=!
6. There is a generalization of the previous example giving a criterion on the existence of the
Pettis integral.
Let K be a compact metric space, X a Banach space and a probability Radon measure on
K. RIf the mapping f : K X is continuous, then there exists the Pettis integral of f and
(P ) K f d cof (K).
43.7. The Graves Integral.
There is a straightforward analogy of Riemann integration
theory for functions having their values in a Banach space. Remember that the Riemann integral
can be dened using Darboux upper and lower sums (and upper and lower integrals), or for its
denition an original Riemanns approach can be used. It is clear that any denition (like
Darbouxs one) making use of the ordering of the real line (and the notion of the least upper
bound) cannot be immediately carried over for a vector case. Of course, in general Banach
spaces there is no ordering. Nevertheless, in the sequel we will touch briey analogues of both
Riemanns and Darbouxs approaches.
Let X again be a Banach space, f a mapping from [0, 1] into X. Given a partition D :=
{0 = x0 < x1 < ... < xn = 1} of [0, 1], I(D) = { = {i } : i [xi1 , xi ]} set
(f, D, ) :=
n
X
f (i )(xi xi1 ).
i=1
The real number (f, D, ) is called the Riemann sum of f . Further, dene the norm of a
partition D as D := max{xi xi1 : i = 1, ..., n}.
200
(a) We will say that f is Riemann integrable provided there exists z X with the following
property: For any > 0 there is > 0 such that
(f, D, ) z <
whenever D < and I(D).
If f is Riemann integrable, then the element z of the denition is uniquely determined. It
will be termed the Graves (sometimes also the RiemannGraves) integral of f and denoted by
R
(RG) 01 f . As in the real case, a mapping f is Riemann integrable if and only if there exists
w X with the property: For any > 0 there is a partition D0 such that
(f, D, ) w <
whenever a partition D is ner than D0 (i.e. D D0 ) and I(D). Of course, w is then the
Graves integral of f .
(b) Realize that the Graves integral is a (Moore-Smith) limit of a generalized sequence
{(f, D, )} when ordered either by a norm or an inclusion.
(c) Any Riemann integrable X-valued function f is bounded (there exists K > 0 so that
f (t) < K whenever t [0, 1]).
In what follows, we make use of the vector integration theory for the case of the special measure
space ([0, 1], M, ).
(d) If f : [0, 1] X is Riemann integrable and X , then the (real) function f is
Riemann integrable. In particular, f is weakly measurable and Pettis integrable.
R
Hint. Almost all assertions are obvious, even that f is Dunford integrable and (RG) 01 =
R
R1
(D) 0 . Since f is bounded it follows that (D) I f X for any interval I [0, 1] and one can
see that f is Pettis integrable.
(e) Dene a (vector) function f : [0, 1] l [0, 1] (=the space of all bounded functions on
[0, 1] equipped with the sup -norm) as f (t) = c[0,t] . With the aid of the BolzanoCauchy
condition show that f is Riemann integrable. Now (d) implies that f is weakly measurable.
(Check the last assertion also directly: If is a continuous linear form on l [0, 1], then it
is easy to see that the function t (f (t)) is of bounded variation, and consequently it is
measurable.) On the other hand, f is not measurable (use Pettis theorem 40.3 and realize that
f (s) f (t) = 1 for s
= t).
(f) Another example. Let E [0, 1] and dene gE : [0, 1] l [0, 1] as follows: Put gE (t) =
/ E. Show that gE is Riemann integrable. If
c{t} if t E and gE (t) equals zero function for t
E is a nonmeasurable set, then the function t gE (t) cannot be measurable. Accordingly,
in this case gE is not measurable (cf. Exercise 42.5 or Pettis theorem 40.3). State conditions
on a set E under which gE will be measurable.
(g) Any measurable Riemann integrable X-valued function f is Bochner integrable (and both
integrals equal).
Hint. Recall that a (real) function f is bounded and measurable. Now use Bochners characterization 42.2.
(h) Given again a partition D := {0 = x0 < x1 < ... < xn = 1} of [0, 1], set
(f, D) =
n
X
i=1
We say that f : [0, 1] X is Darboux integrable if for any > 0 there exists > 0 such that
(f, D) < whenever D is a partition and D < . Show again that instead of ordering
given by a norm an equivalent denition can be formulated using an ordering determined by
an inclusion. Prove also that any Darboux integrable function is Riemann integrable.
H. Vector Integration
201
(i) A function f : [0, 1] X is Darboux integrable if and only if f is bounded and continuous
in almost all points of [0, 1] (cf. 7.9.d).
Hint. Dene the oscillation of a X-valued function g as
t g (t) := lim sup{g(u) g(v) : u, v (t , t + )}.
0+
First show that f is continuous at t0 if and only if f (t0 ) = 0. Further prove that the set
{t [0, 1] : f (t) } is always closed.
Any Darboux integrable function is obviously bounded. To complete the proof check that
{t [0, 1] : f (t)
1
}=0
n
for any n.
For the converse, x > 0 and choose an open set G [0, 1] such that G sup f < and f is
continuous at all points of the compact set K := [0, 1]\G. For each t K nd the greatest t > 0
for which f (s) f (t) 12 for any s [0, 1] (t t , t + t ). A routine compactness argument
establishes the existence of > 0 with the property: If D := {0 = x0 < x1 < ... < xn = 1}
is a partition of [0, 1] and D < , then each interval [xi1 , xi ] is either contained in G or, it
satises f (s) f (t) for any couple s, t [xi1 , xi ]. Having such a partition D, we get
(f, D) 3.
(j) It follows from the above considerations that any Darboux integrable function is measurable (use Pettis theorem 40.3 and the fact that a continuous image of a separable space is
separable), and therefore with the aid of Bochners theorem 42.2 it is also Bochner integrable.
(k) Each bounded function which is continuous at almost all points is Riemann integrable.
When X is a general Banach space, the converse may not be the
case.
h(t) = {
nc(
n=1
1 ,1]
n+1 n
(t), 0, 0, ...}.
Show that:
(a) g is Pettis integrable ,
(b) f is Dunford but not Pettis integrable,
(c) h is not even Dunford integrable but it is measurable,
(d) f (t) = g(t) = h(t) for any t [0, 1] .
43.9. Exercise. Dene the mapping f from the interval (0, 1) (Lebesgue measure in consideration) into the Hilbert space l2 as
f : x (
Show that (P )
R1
0
f = {log(1 +
1
1
1
,
,
, ...) ,
x+1 x+2 x+3
1
)} .
n n
x (0, 1).
202
43.10. Exercise.
e0 = {0, 0, ...}.
(a) Put f (rn ) = en and f = e0 otherwise (here {rn } is a sequence of all rational numbers
of [0, 1]). Show that f : [0, 1] c0 is measurable and Bochner integrable (f is even Riemann
integrable).
(b) Examine the measurability and integrability of the mapping f of (a) replacing the space
c0 by lp , 1 p < .
(c) Let R and dene
h(t) = {n c(0, 1 ] (t)}n whenever t [0, 1].
n
43.11. Notes. Fundamental properties of the Pettis integral appeared in B.J. Pettis [1938],
also N. Dunford [1936] studied this integral. Another weak integral (for functions having values
in duals of Banach spaces) was introduced by I.M. Gelfand in [1936]. Nowadays, the Pettis
integral plays an important role in many branches of functional analysis.
L.M. Graves gave the Riemann-type denition for X-valued mappings on [0, 1] in [1927].
Historical comments on vector integration can be found in T.H. Hildebrandt [1953], or J. Diestel and J. J. Uhl [*1977].
Appendix on Topology
203
Appendix on Topology
In this appendix, we mention briey some topological notions used in the manuscript which may not be familiar to the reader.
Let us remind that by a topology we always mean a family of subsets of a set
X, designated as open or -open sets, which has the following properties:
(a) contains and X;
(b)
A B for any A, B ;
(c)
A if A .
204
Appendix on Topology
0 f 1,
f = 1 on K,
f = 0 on X \ L.
for f C (X) ,
Appendix on Topology
205
206
References
References
Czech Books and Lecture Notes
[Bo
c]
Tenzorov
y po
cet, SNTL Praha, 1976.
I]
[CM
II]
[CM
Integr
aln po
cet I, lecture notes, SPN Praha 1960.
Integr
aln po
cet II, lecture notes, SPN Praha 1961.
[FM]
Matematick
a anal
yza II. Diferenci
aln po
cet funkc vce prom
enn
ych, lecture notes,
SPN Praha 1975.
[Kow]
Z
aklady matematick
e anal
yzy na variet
ach, lecture notes, UK Praha 1975.
[KNV]
Teorie potenci
alu III, lecture notes, SPN Praha 1976.
[KST]
Matematick
a anal
yza na variet
ach, Karolinum, Praha 1998.
[KS]
Integr
aln transformace, lecture notes, SPN Praha 1969.
[L-Pr]
[L-T]
[Zap]
[Uvod]
P
rklady z matematick
e anal
yzy I. P
rklady k teorii Lebesgueova integr
alu, lecture
notes, SPN Praha 1968 (1972, 1984).
Teorie mry a integr
alu I, lecture notes, SPN Praha 1972 (1974, 1980).
Z
apisky z funkcion
aln anal
yzy, Karolinum, Praha 1998 (2002, 2003).
Uvod
do funkcion
aln anal
yzy, Karolinum, Praha 2005.
[Pr]
Probl
emy z matematick
e anal
yzy, lecture notes, SPN Praha 1972 (1974, 1977, 1982).
[LM]
Mra a integr
al, lecture notes, Univerzita Karlova, Praha 1993.
[Mar]
Matematick
a anal
yza
cten
a podruh
e, Academia Praha 1976.
[NV]
P
rklady z matematick
e anal
yzy. Mra a integr
al, lecture notes, UK Praha 1982.
[Ru]
Anal
yza v re
aln
em a komplexnm oboru, Academia Praha 1977.
[Sik]
Diferenci
aln a integr
aln po
cet. Funkce vce prom
enn
ych, Academia Praha 1973.
[SJ]
Funkcion
aln anal
yza. Neline
arn u
lohy, lecture notes, SPN Praha 1986.
Other books
[*1981]
[*1966]
References
207
[*1964]
[*1932]
Th
eorie des op
erations lin
eaires, Warszava.
[*1966]
[*1990]
[*1987]
[*1965]
[*1988]
[*1983]
[*1968]
[*1979]
[*1898]
Lecons sur la th
eorie des fonctions, Gauthier-Villars, Paris.
[*1959]
[*1952]
Int
egration, Herman et Cie, Paris 1952, 2nd edition 1965.
[*1978]
[*1918]
Vorlesungen u
ber reelle Funktionen, Teubner Leipzig 1918, 2nd edition 1927, 3rd
edition Chelsea 1948.
[*1821]
[*1969]
[*1980]
[*1985]
Integration theory, Vol. 1: Measure and integral, John Wiley & Sons.
[*1977]
[*1985]
[*1977]
208
References
[*1994]
[*2004]
[*1989]
[*1990]
[*1992]
[*1985]
[*1969]
[*1965]
[*1981]
[*1984]
[*1995]
[*1995]
Degree theory in analysis and applications., The Clarendon Press, Oxford University
Press, New York.
[*1991]
[*1822]
Th
eorie analytique de la chaleur, F. Didot, Paris.
[*1974]
[*1973]
[*1995]
[*1994]
[*1975]
[*1921]
[*1948]
References
209
[*1950]
[*1970]
[*1988]
[*1991]
[*1963]
[*1970]
[*1965]
[*1975]
[*1966]
[*1978]
[*1933]
Grundbegrie der Wahrscheinlichkeitsrechnung [Foundations of the theory of probability], Springer-Verlag 1933, Chelsea 1950.
[*1980]
[*1993]
[*1904]
[*1989]
[*1988]
[*1986]
Fine topology methods in real analysis and potential theory, Lecture Notes in Math.
1189, SpringerVerlag.
[*1982]
[*1915]
Integral i trigonometri
ceskie rjady, Moskva 1915, 2nd edition 1950.
[*1986]
[*1995]
[*1992]
210
References
[*1978]
[*1907]
[*1989]
Funkcion
alna anal
yza, Alfa.
[*1988]
[*1986]
[*1971]
[*1965]
[*1981]
Miera a integr
al, Veda.
[*1971]
[*1978]
[*1989]
[*1977]
[*1987]
Measure theory and integration, John Wiley & Sons. (Second revised edition Marcel
Dekker, Inc., New York, 2004).
[*1992]
T
eoria miery, Veda.
[*1970]
[*1982]
[*1974]
[*1968]
[*1937]
[*1992]
[*2005]
Topics in Banach space integration., World Scientic Publishing Co. Pte. Ltd., Hackensack.
References
211
[*1969]
[*1968]
[*1983]
Lectures on geometric measure theory, Proc. of the Centre for mathematical analysis,
Australian National University, vol.3.
[*1983]
[*1984]
[*1987]
Matematick
a anal
yza funkc re
alnej premennej, Alfa.
[*1965]
[*1970]
[*1988]
[*1905]
Sul problema della misura dei gruppi di punta di una retta, Bologna.
[*1985]
[*1940]
LInt
egration dans les Groupes Topologiques et ses Applications, Hermann et Cie,
Paris 1940, 2nd edition 1965.
[*1973]
[*1977]
[*1969]
[*1962]
[*1967]
[1922]
[1923]
[1924]
[1925]
Sur les op
erations dans les ensembles abstraits et leurs applications aux
equations
int
egrales, Fund. Math. 3, 133-181.
Sur le probl`
eme de la mesure, Fund. Math. 4, 7-33.
Sur un theor`
eme de M. Vitali, Fund. Math. 5, 130-136.
Sur les lignes rectiables et les surfaces dont laire est nie, Fund. Math. 7, 225-237.
212
References
[1924]
Sur la d
ecomposition des ensembles de points en parties respectivement congruentes,
Fund. Math. 6, 244-277.
[1957]
Sur l
equivalence des th
eories de lint
egration selon N. Bourbaki et selon M.H. Stone,
Bull. Soc. math. France 85, 51-75.
[1945]
A general form of the covering principle and relative dierentiation of additive functions, Proc. Cambridge Philos. Soc. 41, 103-110.
A general form of the covering principle and relative dierentiation of additive functions, Proc. Cambridge Philos. Soc. 42, 1-10.
[1946]
[1933]
Integration von Funktionen deren Werte die Elemente eines Vectorraumes sind,
Fund. Math. 20, 262-276.
[1895]
[1963]
[1914]
Uber
das lineare Mass von Punktmengeneine Verallgemeinerung des L
angenbegris,
Nach. Ges. Wiss. G
ottingen, 404-426.
[1940]
[1990]
[1986]
La naissance de la th
eorie des capacit
es: r
eexion sur une exp
erience personelle, La
Vie des Sciences, Comptes rendus, ser. g
en
erale 3,4, 385-397.
Vznik teorie kapacit: zamyslen nad vlastn zkusenost, Pokroky matematiky, fyziky
a astronomie 34, 71-83.
[1989]
[1918]
[1980]
The Hahn decomposition theorem, Proc. Amer. Math. Soc. 80, 377.
[1935]
[1911]
[1936]
Sur les suites de fonctions mesurables, C. R. Acad. Sci. Paris 152, 244-246.
Integration and linear operation, Trans. Amer. Math. Soc. 40, 474-494.
[1910]
Uber
stetige Funktionen. II, Math. Annalen 69, 372-433.
[1906]
S
eries trigonom
etriques et s
eries de Taylor, Acta Math. 30, 335-400.
[1981]
References
213
[1907]
Sur la convergence en moyenne, Comptes Rendus Acad. Sci. Paris 144, 1022-1024.
[1991]
[1915]
Sur lint
egrale dune fonctionnelle
etendue a
` un ensemble abstrait, Bull. Soc. Math.
France 43, 248-265.
Des familles et fonctions additives densembles abstraits, Fund. Math. 5, 206-251.
[1924]
[1907]
[1915]
Sugli integrali multipli, Rendiconti Accad. Nazionale dei Lincei (Roma) 16, 608-614.
Sulla derivazione per serie, Rendiconti Accad. Nazionale dei Lincei (Roma) 24, 204206.
[1936]
Sur un lemme de la th
eorie des espaces lin
eaires, Comm. Ins. Sci. Math. Mec. Univ.
de Kharkov et Soc. Mat. Kharkov 13, 35-40.
[1941]
Linear functionals and integrals in abstract spaces, Bull. Amer. Math. Soc. 47, 615620.
[1927]
Riemann integration and Taylors theorem in general analysis, Trans. Amer. Math.
Soc. 29, 163-177.
[1933]
Der Mabegri in der Theorie der kontinuierlichen Gruppen, Ann. of Math. 34,
147-169.
[1933]
Uber
die multiplikation total-additiver Mengenfunktionen, Annali Scuola Norm. Sup.
Pisa 2, 429-452.
[1957]
[1983]
The Riesz representation theorem revisited, Amer. Math. Monthly 90, 277-280.
[1919]
Dimension und a
usseres Mass, Math. Ann. 79, 157-179.
[1961]
[1988]
Denitions of Riemann type of the variational integrals, Proc. London Math. Soc.
13,3, 305-321.
A short history of integration theory, SEA Bull. Math. 12, 75-95.
[1953]
[1889]
Uber
einen Mittelwerthssatz, Nachr. Akad. Wiss. G
ottingen Math.-Phys., 38-47.
[1970]
[1881]
Sur la s
erie de Fourier, Comptes Rendus Acad. Sci. Paris 92, 228-230.
214
References
[1941]
[1948]
[1950]
[1934]
Uber
die zussammenziehenden und Lipschitzchen Transformationen, Fund. Math.
22, 77-108.
[1932]
Beitr
age zur Masstheorie, Math. Ann. 107, 351-366.
[1985]
[1957]
Generalized ordinary dierential equations and continuous dependence on a parameter, Czechoslovak Math. J. 82, 418-446.
[1901]
[1902]
[1903]
[1910]
Sur une g
en
eralisation de lint
egrale d
enie, Comptes Rendus Acad. Sci. Paris 132,
1025-1028.
Integrale, longuer, aire, Annali Mat. Pura Appl. 7, 231-359.
Sur une propri
et`
e des fonctions, Comptes Rendus Acad. Sci. Paris 137, 1228-1230.
Sur lint
egration des fonctions discontinues, Ann. Sci. Ecole Norm. Sup. 27, 361-450.
[1906]
Sopra lintegrazione delle serie, Rend. Instituto Lombardo di Sci. e Lett. 39, 775-780.
[1940]
[1912]
[1952]
Z
aklady theorie integr
alu v Euklidov
ych prostorech, Casopis
P
est. Mat. 77, 1-51,
125-145, 267-301.
[1934]
[1975]
The work of Henri Lebesgue on the theory of functions (on the occasion of his centenary) Transl. from Uspechi Mat. Nauk, 30(1975), 227-238, Russian Math.Surveys
30, 179-191.
[1976]
C
ontrole dans les in
equations variationelles elliptiques, J. Functional Analysis 22,
130-185.
[1970]
[1939]
[1947]
The behaviour of a function on its critical set, Ann. of Math. 40, 6270.
Perfect blankets, Trans. Amer. Math. Soc. 6, 418-442.
References
215
[1988]
[1934]
[1936]
[1930]
Sur une g
en
eralisation des int
egrales de M.J. Radon, Fund. Math. 15, 131-179.
[1914]
Uber
den Integralbegri, Sitzungsber. Heidelberg Akad. Wiss. A16, 1-16.
[1927]
Die Vollst
andigkeit der primitiven Darstellungen einer geschlossenen kontinuierlichen Gruppe, Math. Ann. 97, 737-755.
[1938]
[1910]
Contributions a
` l
etude de la repr
esentation dune fonction arbitrire par des int
grales
d
enies, Rend. Circ. mat. Palermo 30, 289-335.
[1919]
Uber
partielle und totale Dierenzierbarkeit, Math. Ann. 89, 340-359.
[1913]
Theorie und Anwendungen der absolut additiv Mengenfunktionen, S.-B. Math. Natur. Kl. Kais. Akad. Wiss. Wien 122.IIa, 1295-1438.
[1906]
[1909a]
Sur les ensembles de fonctions, Comptes Rendus Acad. Sci. Paris 143, 738-741.
Sur les suites de fonctions mesurables, Comptes Rendus Acad. Sci. Paris 148, 13031305.
Sur les op
erations fonctionnelles lin
eaires, Comptes Rendus Acad. Sci. Paris 149,
974-977.
Untersuchungen u
ber Systeme integrirbarer Funktionen, Math. Annalen 69, 449-497.
Sur quelques points de la th
eorie des fonctions sommables, Comptes Rendus Acad.
Sci. Paris 154, 641-643.
Sur lint
egrale de Lebesgue, Acta Math. 42, 191-205.
Sur lexistence de la d
eriv
ee des fonctions monotones et sur quelques probl`
emes qui
sy rattachent, Acta Sci. Math. Szeged 5, 208-221.
[1909b]
[1910]
[1912]
[1920]
[1930-32]
[1888]
[1938]
[1942]
The measure of the critical set values of dierentiable mappings, Bull. Amer. Math.
Soc. 48, 883890.
[1951]
[1948]
Thorie des distributions et transformation de Fourier (French), Ann. Univ. Grenoble. Sect. Sci. Math. Phys. (N.S.) 23, 7-24.
216
References
[1954]
[1928]
Un th
eor`
eme g
en
eral sur les familles densembles, Fund. Math. 12, 206-210.
[1936]
M
ethode nouvelle a
` r
esoudre le probl`
eme de Cauchy pour les
equations hyperboliques
normales, Mat. Sb. 1 (43), 39-71.
L. S. Sobolev
M
ethode nouvelle `
a r
esoudre le probl`eme de Cauchy pour les equations hyperboliques normales
Mat. Sb. 1 (43) (1936), 39 71
[1970]
A model of set theory in which every set of reals is Lebesgue measurable, Annals of
Math. 92, 1-56.
[1919]
[1948]
[1949]
Notes on integration I - III, Proc. Nat. Acad. Sci. 34, 336-342, 447-455, 483-490.
Notes on integration IV, Proc. Nat. Acad. Sci. 35, 50-58.
[1985]
[1909]
Sullintegrazione per parti, Rendiconti Accad. Nazionale dei Lincei 18, 246-253.
[1908]
[1922]
[1939]
Limit in terms of continuous transformation, Bull. Soc. Math. France 50, 119-134.
The ergodic theorem, Duke Math. J. 1-18.
[1911]
[1904]
[1983]
217
218
Subject Index
219
Subject Index
absolute convergence 41.1
absolutely continuous function 21.3
absolutely continuous measure 13.1,
13.8
vector 41.4
adjoint mapping 34
algebra 5.1, Appendix
almost everywhere 3.12, 3.14
analytic set 26.10
antiderivative 7.1
antisymmetric k-linear form 38.1
approximately continuous function 29.7
atlas 39.1
atom 2.15
atomic measure 15.18
Baire function 7.9
ball 26.11, 28.2.1
Banach-Zareckis theorem 23.11
barycenter 43.6
base for a topology Appendix
Besicovitchs theorem 27.4
bilinear form 38.1
bilipschitz mapping 34.20
Bochner integral 42.1
Bochners theorem 42.2
Borel-Cantellis lemma 2.14
Borel function 3.2
Borel set 2.3
bounded variation 21.1
Cantor discontinuum 1.12
Cantor function 23.1
Cantor (ternary) set 1.12
capacity 5.14
capacitable set 5.15
charge 6.20
chart 34.24, 39.1
Chebyshevs inequality 7.8
Choquet capacity 5.14
compact space Appendix
complete measure 2.4
complete Riemann integral 25.14
completion of a measure 2.7
complex measure 6.10
220
Subject Index
Subject Index
Holders 10.3
Minkowskis 10.4
Youngs 10.2
integrable function 8.3, 14.5
integral 8.3
Bochner 42.1
complex Radon 14.10
convergent 8.3
curve 34.24, 37.10
Denjoy-Perron 25.14
Denjoy restricted 25.14
Dirac 14.2
Dunford 43.2
Gelfand 43.2
Graves 43.7
HenstockKurzweil 25.2
indenite 25.5
Lebesgue 8.3, 26
indenite 23.3
Newton 7.1
of a dierential form 38.16, 39.18
Perron 25.10
Pettis 43.2
Poisson 14.2
Radon 14.1
signed 14.10
Riemann 7.2
complete 25.14
Riemann-Graves 43.7
Riemann-Stieltjes 14.2
surface 34.24, 37.13
integration by parts 23.13
inverse Fourier transform 33.5
involution 19.23
isometric mapping 34.2
Jacobi matrix 26.12
Jacobian 26.12
Jordan-Peano content 1.5, 5.12, 26.24
Jordan decomposition 6.7
Kadec-Klee property 12.14
k-boundary 37.17
k-covector 38.1
k-dimensional measure 34.8
on a manifold 39.15
k-dimensional surface 34.24
221
222
Subject Index
regular 4.7
probability 2.4
singular 13.8
Radon 15.1
complex 15.8
outer 16.1
regular Borel 15.2
right Haar 19.3
-nite 2.4
signed 6.1
translation invariant 1.2
trivial 2.5
vector 41.2
absolutely continuous 41.4
measure space 2.4
metric outer measure 36.2
Minkowskis inequality 10.4
minorant 25.10
modular function 19.9
molecular measure 17.7
monotone class 11.3
monotone functional 14.1
M
obius strip 39.7
multiindex 32, 34.13, 38.3
-uniform convergence 12.2
natural orientation 37.9
negative base 39.4
negative dieomorphism 39.3
negative parametrization 37.9
negative variation of a measure 6.6
negative variation of a Radon integral
14.12
neighborhood Appendix
Newton integral 7.1
Newton potential 5.14
Newtonian capacity 5.14
norm of a partition 43.7
normal (vector) 37.13
normal space Appendix
orientation 37.9, 38.14, 39.3
orientable manifold 39.3
oriented atlas 39.3
oriented manifold 39.3
Orlicz-Pettis theorem 43.5
orthogonal matrix 34.2
Subject Index
oscillation 43.7
outer capacity 5.15
outer measure 4.1
outer normal 37.21
outer product 38.3
parametrization 34.24
partition of an interval 7.2, 25.2
-ne 25.2
subordinated 25.2
partition of unity 39.11, 39.22
Perron integral 25.10
Pettis integral 43.2
Pettis theorem 40.3, 41.5
-system 5.1
Plancherel theorem 33.7
point of density 29.1
Poisson integral 14.2
polar coordinates 26.14
positive base 39.4
positive dieomorphism 39.3
positive functional 14.1
positive parametrization 37.9, 39.18
positive variation of a Radon integral
14.12
positive variation of a measure 6.6
premeasure 5.2
probability measure 2.4
product of measures 11.6
product of Radon integrals 14.13
product of Radon measures 16.9
product -algebra 11.1
property
Daniell 14.3
Kadec-Klee 12.14
Luzins (N) 20.7
Radon-Nikod
ym 42.4
Vitalis 27.1
pullback 39.8
Rademacher theorem 30.3
Radon integral 14.1
Radon measure 15.1
Radon-Nikod
ym derivative 13.1
Radon-Nikod
ym property 42.4
Radon-Nikod
ym theorem 13.4
Radon outer measure 16.1
223
224
Subject Index
Plancherels 33.7
Rademachers 30.3
Radon-Nikod
yms 13.4
Riesz 12.3
representation 16.5
Sards 34.17
Schwartz 32.8
Stokes 37.32, 38.21 39.21
Stone-Weierstrass Appendix
Tietzes Appendix
Tonellis 26.10
Vitalis 12.9, 27.2, 27.6
Youngs convolution 26.20
Tietzes theorem Appendix
Tonellis theorem 26.10
topological group 19.2
total variation of a measure 6.6, 6.10
translation invariant measure 1.2
trigonometric series 33.14
trivial measure 2.5
Subject Index
225
ISBN 80-86732-68-1
ISBN 80-85863-06-5 (First edition)