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Fatou's proof of his lemma is very similar. It should be noted that Fatou's
long paper is one of the most important of the century. For the first time the
new theory of intgration is applied to complex function theory; there are
also fundamental applications to trigonomtrie sries.
It is not until 1908, that DCT first appears in Lebesgue (1908) p. 9-10
[16] with a sketch of the proof; the same thing happens in Lebesgue (1909)
[17] at the top of p. 50. In thse papers Lebesgue seeks to apply his new
results and finds BCT insufficient. In Lebesgue (1910) [18], in 15 on page
375, the proof of DCT is given in more dtail, still on a set of finite measure.
then
\Ja f
n <e for qU n.
Jf
For each t , there exists a measurable set G t E and n t G N such that
r
m(Gi) <Si and /
Jd f n .
>e. Let T r = \J? r Gi. Then Tr decrease with r and
oo
m(T r ) K^t^O as r-> 00. For ail f>r, / /?. >e. Since /?. -^/ a.e.
as /?> 00, /
Jrr
/?. ? >
//by hypothesis, and so for each
Jv r
r,
JTr f>s>o.
Put T= D~i rr . Then m(T) =0, but [f>e>o.
Jy
Contradiction.
e>o there exists >o, such that if m(A) <S, then ffn <e for ail
n G N. (This is the deepest and hardest part of Vitali's paper, and is in a
sens 'new' even after 93 years !)
Proof (Vitali). Ail the sets that occur in this proof will be measurable,
even when this is not explicitly stated.
Step I. If
resuit is true.
fn > 0 for ail n G N, we hve already seen above that the
Step IL Suppose now that />0 a.e. on E; we can assume that />0
on ail of E. Note first that if /? ? >
/ boundedly then BCT implies that
/ \fn ~f\ ~^ 0 as n -^ 00, and so given e > 0, there exists iVGN such
a
fj~f < fr
strictly increasing squence of positive integers n\
aU 7 min, a). Let ? >o,en |O.We
< n2n
2 < ??? <
can find
m < ???
(t)
For every positive integer n > ni, there exists a unique i G N such that
ft/+i < < z+2- For such n, put
xeE, lim</> n (X) =0, and for any measurable subset 1 CE, / (j) n ?> 0.
Irff
m(F) < jla and n>N such that
Jt
cj)
n >a. Let 771,772, ... be >0, and
such that JLrji < ? Let Fi be . a subset of E for which there exists t\ GN
\
<t>t
3 > cr- Again we can find i3i
3 GN such that / </>
h >a.
Now there exists fi 3 >0 such that if ra(F) < fx 3 , then
h> riij^+i and sets F; such that m(Tj) < x and / 4>
tk < f]j_ u
and so (f> tj+l ?oon Gni .So Q/+i HGW Since Gn increase with n, i.e. .
=0.
Gn : GGn +i for ail n, it follows that Q + i
; 1, 2, . . . J, and so
-
DQk?oif&=
Q,j are ail disjoint. Put Q= (J)^ Qy-. Then since <^. =oon Qi, . . , Q -_i , .
;
But / <j)
tj >g and / </>
tj < 7#+ A _i, so
r/ <j>
tj <7:? Hence
/&:>7T for ail j. But since <fi n are completely integrable and <fi
n (x) ? 0
COMMENTS
convergence (strong or weak) and its significance. Using Vitali 's proof that
complte integrability implies uniform absolute continuity, we see that it also
1
implies convergence in . But a direct proof that complte integrability
Ll.L
A feature of this remarkable paper is that ail. the results are stated and
proved in terms of sries of fonctions rather than squences ; thus one has to
realize that a "sries ail of whose partial sums are non-negative" corresponds
to a squence of non-negative terms, and is not to be confused with "a sries of
non-negative terms", which corresponds, of course, to an increasing squence
of non-negative terms Vitali's theorem is obviously a generalization of BCT.
!
He remarks that Beppo Levi's MCT follows from it. Of course, so also does
DCT, but Vitali did not know about DCT at the time.
The history and use of this resuit between 1907 and 1939 is something
I would like to know more about ! Hawkins [12] mentions the paper, but
quotes only what I consider to be a much less important resuit at the end of
the paper. In a footnote on p.s(This 1909 paper [17], Lebesgue says that
DCT and MCT are spcial cases of Vitali's convergence theorem. He also
DCT can be extended to sets of infinit measure. On p> 365 of the
states that
1910 paper [18] he again refers to Vitali's Theorem, saying that it gives a
necessary and sufficient condition for term by term intgration. In Leons II
[19] (p. 131) Lebesgue merely refers to the paper: M. Vitali a crit sur ce
sujet un trs important Mmoire, que je ne puis ici que signaler; this is just
before he gives DCT. In 1913, Camp, in a rather messy paper [2], gives a
generalization of Vitali's theorem to several variables.
In 1915, de la Valle Poussin, wrote a long paper [27] entitled Sur
l'intgrale de Lebesgue; this article is complementary to his book Intgrales
de Lebesgue, fonctions d'ensembles, classes de Baire [28] written at about
the same time. In the paper, in the section on convergence theorems, de la
Valle Poussin discusses Vitali's work, and in the proof of Theorem 4 on
p. 448-450 he simplifies considerably the hard part of Vitali's proof; we give
a sketch of his argument.
(I)
This is done inductively: for each m, we can find n so that the first two
inequalities are satisfied and then choose A m+i (> A m ) depending on nso that
the third is satisfied. Further we can choose n increasing and
? oo with m. >
which is positive since cj < s/6. Hence ffn -*> 0, completing the proof.
Jf
The argument is very similar to Step 1 in Hahn's proof of the Vitali-
Hahn-Saks Theorem [10] given in 3, and it is at least conceivable that Hahn
got the initial impetus for his proof from de la Valle Poussin's paper. In
[27], Theorem 5 on p. 450, de la Valle Poussin shows that uniform absolute
continuity of /fn on a space of finite non-atomic measure is quivalent to :
Given s>o, there exists K>o, such that for ail n EN, / \fn \<e.
H\fn\>K}
This was rediscovered by Doob [3] 24 years later, the new criterion was
called uniform integrability, and used extensively by Doob in his study of
martingales. In 1918, H. Hahn [9, p. 1774] showed, using Vitali's resuit, that
complte integrability implies strong L convergence: this shows that Hahn
1
Theorem (H. Hahn [10] Thm. XXI, pages 45-50). // m(E) < 00,
/? integrable on E, and for each measurable FE, lim /fn exists and is
n-*n
-* Jf
finite, then Ifn are uniformly absolutely continuons.
Proof. Again, ail the sets that occur in this proof will be measurable.
Suppose the intgrais are not uniformly absolutely continuous. Then there
exists e > 0 with the property that for each N e N and a > 0 there is
>e.By
Jz
considering the sets where fm >0 and f <0, we obtain
nQ for each NGN,
a set M with m(M) <a and n0 >N with Jm f >-.
2 no
fm > ?We observe that there exists a>o sufficiently small so that