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2

Lebesgue Measure

In Chapter 1 we defined the concept of a set of measure zero, and we have


observed that every countable set is of measure zero. Here are some natural
questions:

• If a subset E of R contains an open interval (of nonzero length), then


can it be of measure zero?

• If a subset E of R contains no open interval, is it of zero measure? For


instance, is the set of irrationals in [0, 1] is of measure zero?

We shall find answer to these questions after defining the concept of Lebesgue
outer measure. In fact we shall see that if Lebesgue outer measure of a set
is zero, then it of measure zero.

NOTATION: In the following, by saying that {An } is a countable family


of sets, we mean a family {An : n ∈ Λ} of sets An , n ∈ Λ, where Λ is a
countable set, that is, finite or denumerable. Then, ∪{An : n ∈ Λ} and
∩{An : n ∈ Λ} will be written as ∪n An and X∩n An , respectively. Also,
Xfor a
countable set {an ∈ R : n ∈ Λ}, the series an will be written as an .
n∈Λ n

By an interval we mean a subset I of R such that

(i) for every a, b ∈ I with a < b, (a, b) ⊆ I and

(ii) there exists x ∈ I and ε > 0 such that (x − ε, x + ε) ⊆ I.

Thus, intervals are of the forms

(a, b), [a, b), (a, b], [a, b], (a, ∞), [a, ∞), (−∞, a), (−∞, a]

for a, b ∈ R with a < b. The intervals (a, b), [a, b), (a, b], [a, b] are bounded
intervals with endpoints a and b, and the intervals (a, ∞), [a, ∞), (−∞, a),
(−∞, a], (−∞, ∞) are unbounded intervals.

11
12 Lebesgue Measure

Length of an interval I is denoted by `(I). For a bounded interval I


of end points a, b, `(I) is defined as b − a. If I is an unbounded interval,
then we say that its length is infinity, and write `(I) = ∞. Although ∞ is
not a number, in certain contexts such as discussion involving unbounded
intervals, we shall use the convention that a + ∞ = ∞ for every a ∈ R and
∞ + ∞ = ∞.

2.1 Lebesgue Outer Measure


Definition 2.1.1 For E ⊆ R, the Lebesgue outer measure of E is defined
as X
m∗ (E) := inf `(In ),
IE
n

where the infimum is taken over the collection IE of all countable family
{In } of open intervals which covers E, that is, E ⊆ ∪n In . 
Note that m∗ (E) ≥ 0, and m∗ (E) can take the value ∞ as well. Thus,
m∗ can be thought of as a function from the family of all subsets of R into
the set [0, ∞].

Exercise 2.1
P If (In ) is a sequence of open intervals, then the inequality

m (∪In ) ≤ n `(In ) holds – Why?

Theorem 2.1.1 Let E ⊆ R. For every S ε > 0 there exists a countable family
{In } of open intervals such that E ⊆ n In and
X
`(In ) ≤ m∗ (E) + ε.
n

Strict inequality occurs in the above if m∗ (E) < ∞.

Proof. If m∗ (E) = ∞, then the conclusion is true trivially. So, assume


that m∗ (E) < ∞. Then the result follows from the definition of infimum of
a subset of R.

By Theorem 2.1.1, for E ⊆ R,

• m∗ (E) = 0 if and only if there exists a countable family {In } of open


intervals such that
[ X
E⊆ In and `(In ) ≤ ε.
n n

Thus, E is of measure zero if and only if its outer measure is zero.


Lebesgue Outer Measure 13

Corollary 2.1.2 Let E ⊆ R. For every ε > 0, there exists an open set G
in R such that
E ⊆ G and m∗ (G) ≤ m∗ (E) + ε.

Proof. Let ε > 0 be given. By Theorem S 2.1.1, there exists a countable


family {In } of open intervals such that E ⊆ n In and
X
`(In ) ≤ m∗ (E) + ε.
n

Take G = n In . Then, by the definition of m∗ , m∗ (G) ≤


S P
n `(In ). Thus,
we have m∗ (G) ≤ m∗ (E) + ε.

Throughout the text, we consider the topology on R as the usual


topology. Thus, a set G ⊆ R is open if and only if for every x ∈ G,
there exists r > 0 such that
{y ∈ R : |x − y| < r} ⊆ G,
an set F ⊆ R is closed if and only if its complement is open.
Remark 2.1.1 It can be seen that, if we assume m∗ (E) < ∞ in Corollary
2.1.2, then strict inequality holds in the conclusion as well. ♦
Theorem 2.1.3 The following hold.

(i) If I is an open interval of finite length `(I), then m∗ (I) ≤ `(I).


(ii) m∗ (∅) = 0.
(iii) If E is a countable subset of R, then m∗ (E) = 0.

Proof. (i) Let I be an open interval of finite length `(I). Taking the
singleton family {I}, we obtain from the definition that m∗ (I) ≤ `(I).
(ii) For every ε > 0, we have ∅ ⊆ (−ε, ε). Hence by (i), m∗ (∅) ≤ 2ε.
This is true for every ε > 0. Hence, m∗ (∅) = 0.
(iii) First let E be a finite set, say E = {a1 , . . . , ak } ⊆ R. Then for every
ε > 0, E ⊆ ∪ki=1 Ii , where Ii = (ai − ε, ai + ε). Hence, m∗ (E) ≤ 2kε. Since
this is true for every ε > 0, m∗ (E) = 0. Next suppose that E is a countably
infinite set, say E = {ai : i ∈ N}. Then taking
In := (an − ε/2n+1 , an + ε/2n+1 ),
we have E ⊆ ∪n∈N In so that
X X
m∗ (E) ≤ `(In ) = (ε/2n ) ≤ ε.
n∈N n∈N

Since this is true for every ε > 0, we obtain m∗ (E) = 0.


14 Lebesgue Measure

NOTATION: Sets considered in this chapter are are subsets of R. Also,


for E ⊆ R, we shall use the notation IE to denote the class of all countable
family of open intervals {In } such that E ⊆ ∪n In .
For subsets A and B of R, we define

A + B = {x + y : x ∈ A, y ∈ B}.

Also for E ⊆ R and a ∈ R, we denote, E + a = E + {a} so that

E + a := {x + a : x ∈ R}.

Theorem 2.1.4 We have the following:


(i) A ⊆ B ⇒ m∗ (A) ≤ m∗ (B).
(ii) m∗ (A ∪ B) ≤ m∗ (A) + m∗ (B).
(iii) If E ⊆ A and m∗ (E) = 0, then m∗ (A \ E) = m∗ (A).
(iv) If E ⊆ R and x ∈ R, then m∗ (E + x) = m∗ (E).

Proof. (i) Let A ⊆ B and let {In } ∈ IB . Then {In } ∈ IA . Hence


X
m∗ (A) ≤ `(In ).
n

Now, taking infimum over all {In } ∈ IB , we have m∗ (A) ≤ m∗ (B).


(ii) If at least one of m∗ (A) and m∗ (B) is infinity then the result holds.
Next, assume that both m∗ (A) and m∗ (B) are finite. Hence, by Theorem
2.1.3(iv), given ε > 0 there exist {In } an {Jn } in IA and IB , respectively,
such that
X ε X ε
`(In ) < m∗ (A) + , `(Jn ) < m∗ (B) + .
n
2 n
2

Then, the collection {In }∞ ∞


n=1 ∪{Jk }k=1 of open intervals cover A∪B. There-
fore,
X X
m∗ (A ∪ B) ≤ `(In ) + `(Jn )
n n

∗ ε  ∗ ε
≤ m (A) + + m (B) +
2 2
= m∗ (A) + m∗ (B) + ε.

This is true for all ε > 0, so that m∗ (A ∪ B) ≤ m∗ (A) + m∗ (B).


(iii) If E ⊆ A and m∗ (E) = 0, then by (i) and (ii),

m∗ (A) ≤ m∗ (E) + m∗ (A \ E) = m∗ (A \ E) ≤ m∗ (A).


Lebesgue Outer Measure 15

Hence, m∗ (A \ E) = m∗ (A).

P Suppose E ⊆ R and x ∈ R. Given ε > 0, let {In } in IE be such


(iv)
that n `(In ) ≤ m∗ (E) + ε. Note that each In + x is an open interval and
E + x ⊆ ∪(In + x). Hence,
X X
m∗ (E + x) ≤ `(In + x) = `(In ) = m∗ (E) + ε.
n n

This is true for every ε > 0. Hence, m∗ (E + x) ≤ m∗ (E). Since E =


(E + x) + (−x), it follows from the above that m∗ (E) ≤ m∗ (E + x). Thus
the proof is complete.

The property (i) in Theorem 2.1.4 is called the monotonicity


property of m∗ , and the property (iv) is called the translation
invariance of m∗ .

Making use of the monotonicity of m∗ , we deduce the following corollary


from Corollary 2.1.2.

Corollary 2.1.5 Let E ⊆ R. Then there exists an set G which is a countable


intersection of open sets in R such that

E ⊆ G and m∗ (G) = m∗ (E).

Proof. By Corollary 2.1.2, for each n ∈ N, there exists an open set Gn


in R such that
1
E ⊆ Gn and m∗ (Gn ) ≤ m∗ (E) + .
n
Take G = n Gn . Then, E ⊆ G and m∗ (E) ≤ m∗ (G) ≤ m∗ (Gn ) for every
T
n ∈ N, so that
1
m∗ (G) ≤ m∗ (E) + ∀ n ∈ N.
n
Letting n tend to infinity, we obtain, m∗ (G) ≤ m∗ (E). Thus, we have proved
m∗ (G) = m∗ (E).

Definition 2.1.2 A subset of R is said to be a Gδ set if it is a countable


intersection of of open sets, and a subset of R is said to be an Fδ set if it is
a countable union of closed sets. 
Since a subset of R is closed if and only if its complement is open, using
De Morgan’s law, it follows that

• a subset of R is Gδ set if and only if its complement is an Fσ set.


16 Lebesgue Measure

Recall that for a given {Aα : α ∈ Λ} of sets, where Λ is some index set, the
De Morgan’s law states that
[ c \ \ c [
Aα = Acα and Aα = Acα .
α∈Λ α∈Λ α∈Λ α∈Λ

In particular, for a countably infinite family, that is, if Λ = N, then we have



[ c ∞
\ ∞
\ c ∞
[
Ai = Aci and Ai = Aci .
i=1 i=1 n=1 n=1

The above relations includes the case for finite family {Ai : i = 1, . . . , n}
also, as we can take Ai = ∅ for i > n.
Note that a Gδ -set need not be open. For example, [0, 1) is a Gδ -set as

\
[0, 1) = (−1/n, 1).
n=1

In fact, for every a, b ∈ R with a < b, the intervals [a, b), (a, b], [a, b] are
Gδ -sets which are not open sets (verify!).
The following result generalizes Theorem 2.1.4(ii).

Theorem 2.1.6 Suppose Ak ⊆ R for k ∈ N. Then



[  X∞
m∗ Ak ≤ m∗ (Ak ).
k=1 k=1

Proof. If m∗ (Ak ) = ∞ for some k ∈ N, then the result holds trivially.


Hence, assume that m∗ (Ak ) < ∞ for all k P ∈ N. Then for each k ∈ N and
ε > 0, there exists {Ik,n } ∈ IAk such that ∞ ∗ k
n=1 `(Ik,n ) < m (Ak ) + ε/2 .
Note that ∪∞ ∞
k=1 Ak ⊆ ∪k=1 ∪n Ik,n . Therefore,


[  X∞ X ∞
X
m∗ Ak ≤ `(Ik,n ) ≤ m∗ (Ak ) + ε.
k=1 k=1 n k=1

This is true for all ε > 0. Hence the result follows.

Remark 2.1.2 Note that Theorem 2.1.6 includes the result


n
[  n
X

m Ak ≤ m∗ (Ak )
k=1 k=1

for any finite family {A1 , . . . , An } as we can take Ak = ∅ for k > n. ♦


Lebesgue Outer Measure 17

The property of m∗ in Theorem 2.1.6 is called the countable


subadditivity of m∗ .

Now a result that we are waiting for.


Theorem 2.1.7 The Lebesgue outer measure of any interval is its length.

Proof. Let I be an interval.


Case 1: Suppose I = [a, b] with −∞ < a < b < ∞, and let ε > 0. Let
Iε := (a − ε, b + ε). Clearly,

m∗ (I) ≤ m∗ (Iε ) ≤ b − a + 2ε.

This is true for all ε > 0. Hence, m∗ (I) ≤ b − a. Thus, it remains to show
that m∗ (I) ≥ b − a. For this, it is enough to show that
X
b−a≤ `(In ) ∀ {In } ∈ II , (∗)
n

because, in that case we can take infimum over all such {In } ∈ II and
obtain b − a ≤ m∗ (I). So, let {In } ∈ II . Without loss of generality, we
may assume that each In is of finite length. By the compactness of I, there
exists a finite sub-collection {In1 , , . . . , Ink } of {In } such that I ⊆ ∪ki=1 Ini .
Let Ini := (ai , bi ) for i ∈ {1, . . . , k}. Without loss of generality, assume that

(ai , bi ) ∩ [a, b] 6= ∅ and ai+1 < bi , i ∈ {1, . . . , k − 1}.

Then
k
X k
X k−1
X
`(Ini ) = (bi − ai ) = bk + (bi − ai+1 ) − a1 ≥ bk − a1 ≥ b − a.
i=1 i=1 i=1

Thus,
k
X X
b−a≤ `(Ini ) ≤ `(In ).
i=1 n

Thus, we have proved (∗). This completes the proof of m∗ (I) = b − a.


Case 2: Suppose I is an interval of finite length with end points a and b
with a < b. Then for sufficiently small ε > 0, we have [a + ε, b − ε] ⊆ I ⊆
[a − ε, b + ε]. Hence,

m∗ ([a + ε, b − ε]) ≤ m∗ (I) ≤ m∗ ([a − ε, b + ε]).

Thus, by case (i), we have

b − a − 2ε ≤ m∗ (I) ≤ b − a + 2ε.
18 Lebesgue Measure

Since this is true for every ε > 0, it follows that m∗ (I) = b − a.


Case 3: Suppose I is of infinite length. Then for every M > 0 there exists
a closed interval IM of length M such that IM ⊆ I. Hence

M = m∗ (IM ) ≤ m∗ (I).

Thus, M ≤ m∗ (I) for all M > 0 so that m∗ (I) = ∞.

Corollary 2.1.8 Every non-degenerate interval is an uncountable set.

Now, let us address the following question:

Can an uncountable set be of measure 0?

The answer is in affirmative as the following example of Canter’s ternary


set or simply Canter set shows.
Example 2.1.1 Let us first recall how the Canter set is constructed. Con-
sider the unit interval [0, 1]. Let C1 be the set obtained from I after removing
its “middle third” J1 := ( 31 , 32 ) from C0 [0, 1]. That is
h 1i h2 i
C1 = 0, ∪ ,1 .
3 3
Net, let C2 be the set obtained from C1 after removing the “middle thirds”
from each of the two subintervals in C1 . Let the removed set be J2 . Thus,
h 1i h2 1i h2 7i h8 i
C2 = 0, ∪ , ∪ , ∪ ,1 .
9 9 3 3 9 9
Continue this procedure to obtain C3 , C4 and so on. At the nth stage, we
obtain Cn = Cn−1 \ Jn , where Jn is the union of the middle thirds of each
of the subintervals in Cn−1 . Now Canter set C is defined by

\
C= Cn .
n=1

Note that
C1 ⊃ C2 ⊃ C3 ⊃ · · · .
and m∗ (C1 ) ≤ 2/3, m∗ (C2 ) ≤ (2/3)2 , m∗ (C3 ) ≤ (2/3)3 , etc., and more
generally,  2 n
m∗ (Cn ) ≤ , n ∈ N.
3
Hence,
\k  2 k
m∗ (C) ≤ Cn = m∗ (Ck ) ≤ ∀ k ∈ N.
3
n=1
Lebesgue Measurable Sets 19

Thus, m∗ (C) = 0. To see that C is an uncountable set,Pfirst we recall


∞ an
that every number a ∈ [0, 1] can be written as a series n=1 3n , where
an ∈ {0, 1, 2}. It can be seen that

an ∈ {0, 2} ⇐⇒ a 6∈ Jn

so that
a 6∈ Jn ∀ n ∈ N ⇐⇒ an ∈ {0, 2} ∀ n ∈ N.

Hence,

n X bn o
C= b= : bn ∈ {0, 2}, n ∈ N .
3n
n=1

Thus, C is in one-one correspondence with the family of all sequence (bn )


with bn ∈ {0, 2}, and hence, C is an uncountable set. ♦

2.2 Lebesgue Measurable Sets


Suppose A1 and A2 are disjoint subsets of R. We may expect that

m∗ (A1 ∪ A2 ) = m∗ (A1 ) + m∗ (A2 ). (1)

Is it true for any two disjoint sets A1 and A2 ? Suppose for a moment that
(1) is true for any two disjoint sets A1 and A2 . Then we also have
n
[  Xn
m∗ Ai = m∗ (Ai ) (2)
i=1 i=1

for any pairwise disjoint sets A1 , . . . , An . Now, consider a denumerable


disjoint family {An }∞
n=1 . Then using the subadditivity (Theorem 2.1.6) and
monotonicity (Theorem 2.1.4 (i)) and the equality (2) above, we obtain

X ∞
[  n
[  Xn
m∗ (An ) ≥ m∗ An ≥ m∗ Ai = m∗ (Ai ) ∀ n ∈ N.
n=1 n=1 i=1 i=1

Thus,
n
X ∞
[  ∞
X
∗ ∗
m (Ai ) ≤ m An ≤ m∗ (An )
i=1 n=1 n=1

for all n ∈ N. Taking limit as n → ∞, we obtain



[  X∞
m∗ An = m∗ (An ). (3)
n=1 n=1
20 Lebesgue Measure

We now show that (3) need not hold for every denumerable disjoint family
{An }∞n=1 , so that (1) need not be true for every disjoint sets A1 , A2 . For
this, consider a relation ∼ on R by defining

x ∼ y ⇐⇒ x − y ∈ Q.

It can be easily seen that ∼ is an equivalence relation on R. Hence, R is the


disjoint union of equivalence classes. Let E be the subset of [0, 1] such that
its intersection with each equivalence class is a singleton set. Such a set E
exists by using the axiom of choice on the collection

E := {[x] ∩ [0, 1] : x ∈ [0, 1]},

where [x] is the equivalence class of x. We note that if x ∼ y, then the


rational number r := x − y satisfies −1 ≤ r ≤ 1. Let {r1 , r2 , . . .} be the set
of all rational numbers in [−1, 1]. Let En := E + rn for n ∈ N. Note that
{En } is a disjoint family and

[
[0, 1] ⊆ En ⊆ [−1, 2].
n=1

so that

[ 
1 ≤ m∗ En ≤ 3.
n=1

Therefore, if (3) is true, then the above relation implies



X
1≤ m∗ (En ) ≤ 3.
n=1

This is not possible, since m∗ (En ) = m∗ (E + rn ) = m∗ (E) for all n ∈ N.


Hence, we conclude that none of the relations (3), (2), (1) hold for all possible
disjoint family of sets involved. Thus, we have proved the following result.
Theorem 2.2.1 There exist disjoint subsets A1 and A2 of R such that

m∗ (A1 ∪ A2 ) 6= m∗ (A1 ) + m∗ (A2 ).

In establishing the above theorem what we have actually proved is the


following.
Theorem 2.2.2 There exists a subset E of R such that

[  X∞
m∗ 6
En = m∗ (En ),
n=1 n=1

where En := E + rn with {rn : n ∈ N} = [−1, 1] ∩ Q.


Lebesgue Measurable Sets 21

The above discussion motivates us to consider a family of sets in which


the relation (1), and hence (2) and (3) hold for all possible disjoint family
of sets involved.
Definition 2.2.1 A set E ⊆ R is said to be Lebesgue measurable if for
every A ⊆ R,
m∗ (A) = m∗ (A ∩ E) + m∗ (A ∩ E c ).
We denote the set of all Lebesgue measurable sets by M. 
The proof of the following theorem is easy and hence left as exercise.

Theorem 2.2.3 The following results hold.

(i) E ∈ M ⇐⇒ m∗ (A) ≥ m∗ (A ∩ E) + m∗ (A ∩ E c ) ∀ A ⊆ R.

(ii) ∅ ∈ M.

(iii) E ∈ M ⇒ E c ∈ M.

(iv) m∗ (E) = 0 ⇒ E ∈ M.

In view of Theorem 2.2.3(iv),

M contains all countable sets. In particular, Q ∈ M, and hence


by (iii) Qc ∈ M.

Theorem 2.2.4 Let A1 , A2 subsets of R such that A1 ∩ A2 = ∅. If one of


A1 , A2 belongs to M, then

m∗ (A1 ∪ A2 ) = m∗ (A1 ) + m∗ (A2 ).

Proof. Suppose A1 ∩ A2 = ∅. Assume A1 ∈ M. Then

m∗ (A1 ∪ A2 ) = m∗ ((A1 ∪ A2 ) ∩ A1 ) + m∗ ((A1 ∪ A2 ) ∩ Ac1 ).

But, (A1 ∪ A2 ) ∩ A1 ) = A1 and (A1 ∪ A2 ) ∩ Ac1 ) = A2 . Hence the result

The proof of the following theorem is along the same lines as we have
deduced (2.3) from (2.2). However, we give its details here as well.

Theorem 2.2.5 Let {An : n ∈ N} be a disjoint family in M. Then



[  ∞
X

m An = m∗ (An ).
n=1 n=1
22 Lebesgue Measure

Proof. If {An } is a finite family, then by Theorem 2.2.4,


n
[  n
X

m Ai = m∗ (Ai )
i=1 i=1

for every n ∈ N. Hence, by using the monotonicity of m∗ , we have



X ∞
[  n
[  Xn
m∗ (An ) ≥ m∗ An ≥ m∗ Ai = m∗ (Ai )
n=1 n=1 i=1 i=1

for all n ∈ N. Letting n tend to infinity, the result follows.

Remark 2.2.1 Note that Theorem 2.2.5 includes the equality


n
[  n
X

m Ai = m∗ (Ai )
i=1 i=1

for any finite disjoint family {A1 , . . . , An } in M, as in this case we can take
Ak = ∅ for k > n. ♦

The property of m∗ given in Theorem 2.2.5 is called countable


additivity of m∗ on M.

Remark 2.2.2 In view of the countable additivity of m∗ on M, Theorem


2.2.2 shows that there exists E ⊆ R which does not belong to M. From this,
it also follows that M is not the whole of 2R , the power set of R. ♦
Our next attempt is to show that M contains not only countable sets
but a lot many subsets of R.
Theorem 2.2.6 Let A1 , A2 ∈ M. Then A1 ∪ A2 ∈ M. More generally, if
{A1 , . . . , An } ⊆ M, then ∪ni=1 Ai ∈ M.

Proof. Let A ⊆ R. We have to show that

m∗ (A) ≥ m∗ (A ∩ (A1 ∪ A2 )) + m∗ (A ∩ Ac1 ∩ Ac2 ) . (∗)

Note that A ∩ (A1 ∪ A2 ) = (A ∩ A1 ) ∪ (A ∩ A2 ∩ Ac1 ), so that

m∗ (A ∩ (A1 ∪ A2 )) ≤ m∗ (A ∩ A1 ) + m∗ (A ∩ A2 ∩ Ac1 ).

Therefore, the right hand side of (∗) is less than or equal to

m∗ (A ∩ A1 ) + m∗ (A ∩ A2 ∩ Ac1 ) + m∗ (A ∩ Ac1 ∩ Ac2 ) .

Now, since A2 ∈ M, we get

m∗ (A ∩ A2 ∩ Ac1 ) + m∗ (A ∩ Ac1 ∩ Ac2 ) = m∗ (A ∩ Ac1 ).


Lebesgue Measurable Sets 23

Hence, using the fact that A1 ∈ M,

m∗ (A ∩ (A1 ∪ A2 )) + m∗ (A ∩ Ac1 ∩ Ac2 ) ≤ m∗ (A ∩ A1 ) + m∗ (A ∩ Ac1 )


= m∗ (A)

which completes the proof of (∗). The last part follows by repeated appli-
cation of the first part.

By the above theorem we can say that M is closed under finite unions.
Next we show that M is closed under countable unions. For this purpose
we shall make use of the following lemma which is more general than the
Theorem 2.2.4.
Lemma 2.2.7 Let {A1 , . . . , An } be a disjoint family in M. Then for any
A ⊆ R,
 [n  X n
m∗ A ∩ Ai = m∗ (A ∩ Ai ).
i=1 i=1

Proof. Let n = 2. Since A1 ∈ M,

m∗ (A ∩ (A1 ∪ A2 )) = m∗ (A ∩ (A1 ∪ A2 ) ∩ A1 ) + m∗ (A ∩ (A1 ∪ A2 ) ∩ Ac1 ).

But,

A ∩ (A1 ∪ A2 ) ∩ A1 = A ∩ A1 , A ∩ (A1 ∪ A2 ) ∩ Ac1 = A ∩ A2 .

Hence, we have

m∗ (A ∩ (A1 ∪ A2 )) = m∗ (A ∩ A1 ) + m∗ (A ∩ A2 ).

Thus, the result is proved for n = 2. The result for general n follows by
induction.

Now we prove the result that we had promised.


Theorem 2.2.8 If En ∈ M for n ∈ N, then ∞
S
n=1 En ∈ M.

S
Proof. Let E = En , where En ∈ M, n ∈ N and let A ⊆ R. We have
to show that
m∗ (A) ≥ m∗ (A ∩ E) + m∗ (A ∩ E c ) . (∗)
S
We write E as a disjoint union E = An where A1 = E1 and for n ≥ 2,

An = En \ ∪n−1
i=1 Ei .

Let Fn = ∪ni=1 Ai . Note that Fn ∈ M. Hence,

m∗ (A) ≥ m∗ (A ∩ Fn ) + m∗ (A ∩ Fnc ) .
24 Lebesgue Measure

Now, Lemma 2.2.7 implies


n
X
m∗ (A ∩ Fn ) = m∗ (A ∩ An )
i=1

and the relation Fnc ⊇ E c implies m∗ (A ∩ Fnc ) ≥ m∗ (A ∩ E c ). Thus,


n
X
m∗ (A) ≥ m∗ (A ∩ An ) + m∗ (A ∩ E c ) .
i=1

This is true for all n ∈ N. Letting n tend to infinity,



X
m∗ (A) ≥ m∗ (A ∩ An ) + m∗ (A ∩ E c )
i=1
S∞ S∞
Therefore, using the fact that i=1 (A ∩ Ai ) = A ∩ i=1 Ai and the subad-
ditivity of m∗ ,

X
m∗ (A) ≥ m∗ (A ∩ An ) + m∗ (A ∩ E c )
i=1

[

≥ m (A ∩ Ai ) + m∗ (A ∩ E c )
i=1
= m∗ (A ∩ E) + m∗ (A ∩ E c ) .

Thus the proof is complete.


T∞
Corollary 2.2.9 If En ∈ M for n ∈ N, then n=1 En ∈ M.

Proof. Let En ∈ M for n ∈ N. By De Morgan’s law,



\ ∞
[ c
En = Enc .
n=1 n=1

Hence, the result follows from Theorem 2.2.8 together with the fact that
E ∈ M implies E c ∈ M.

Definition 2.2.2 The function m∗ restricted to M is called the Lebesgue


measure on R, and it is denoted by m. For E ∈ M, m(E) := m∗ (E) is
called the Lebesgue measure of E. 
Let us list some of the important properties of the family M that we
have proved:

∅∈M
E ∈ M ⇒ E c ∈ MS
& m∗ ( i Ei ) = i m∗ (Ei )
S P
Ei ∈ M, i ∈ N ⇒ i Ei ∈ M
Lebesgue Measurable Sets 25

The following theorem shows that the class M is really large.


Theorem 2.2.10 The following results hold.

(i) For any a ∈ R, (a, ∞) ∈ M.

(ii) For any a ∈ R, [a, ∞) ∈ M.

(iii) For any a ∈ R, (−∞, a) ∈ M.

(iv) For any a ∈ R, (−∞, a] ∈ M.

(v) For any a, b ∈ R with a < b, (a, b) ∈ M.

(vi) For any a, b ∈ R with a < b, [a, b] ∈ M.

(vii) Open subsets of R belong to M.

(viii) Closed subsets of R belong to M.

(ix) Countable unions and countable intersections of open subsets of R be-


long to M.

(x) Countable unions and countable intersections of closed subsets of R


belong to M.

Proof. We first proved (i) and then deduce other results (ii)-(x) by using
some of the properties of m∗ . For proving (i), let a ∈ R and E = (a, ∞).
Let A ⊆ R and ε > 0. By Theorem 2.1.1, there exists a countable family
{In } of open intervals such that
[ X
A⊆ In , `(In ) < m∗ (A) + ε.
n n

Note that
[ [
A∩E ⊆ (In ∩ (a, ∞), A ∩ Ec ⊆ (In ∩ (−∞, a].
n n

Hence, taking In0 := In ∩ (a, ∞) and In00 := In ∩ (−∞, a], we have


X X
m∗ (A ∩ E) + m∗ (A ∩ E c ) ≤ m∗ (In0 ) + m∗ (In00 )
n n
X

= [m (In0 ) + m∗ (In00 )].
n

Note that In0 and In00 are intervals such that In0 ∩ In00 = ∅ and In0 ∪ In00 = In so
that
m∗ (In0 ) + m∗ (In00 ) = `(In0 ) + `(In00 ) = `(In ).
26 Lebesgue Measure

Thus, we have proved that


X
m∗ (A ∩ E) + m∗ (A ∩ E c ) ≤ `(In ) ≤ m∗ (A) + ε.
n

This is true for any ε > 0, so that we get


X
m∗ (A ∩ E) + m∗ (A ∩ E c ) ≤ `(In ) ≤ m∗ (A).
n

Hence, (a, ∞) = E ∈ M, proving (i).


Next we observe that for any a ∈ R,
∞ 
\ 1 
[a, ∞) = a− ,∞ ,
n
n=1

(−∞, a) = R \ [a, ∞), (−∞, a] = R \ (a, ∞),


and for any a, b ∈ R with a < b,

(a, b) = (a, ∞) ∩ (−∞, b), [a, b] = [a, ∞) ∩ (−∞, b].

Hence, using the facts that M is closed under countable unions, countable
intersections and complementation, and the fact that every open subset of R
is a countable union of open intervals, the results listed in (ii)-(x) follow.

By the above theorem, M contains most of the sets that we encounter


in analysis. Still, we know that it is not whole of the power set of R.
Now, we prove a companion result to Corollary 2.1.2 and Corollary 2.1.5.

Theorem 2.2.11 Let E ⊆ R. Then the following are equivalent.

(i) E ∈ M.

(ii) For every ε > 0, there exists an open set G in R such that

E ⊆ G and m∗ (G \ E) ≤ ε.

(iii) There exists a Gδ -set set G in R such that

E ⊆ G and m∗ (G \ E) = 0.

Proof. (i)⇒ (ii): Suppose E ∈ M and ε > 0 be given. First, let us


assume that m∗ (E) < ∞. By Corollary 2.1.2, there exists an open set G in
R such that
E ⊆ G and m∗ (G) ≤ m∗ (E) + ε.
Lebesgue Measurable Sets 27

Since E and G are in M and G \ E = G ∩ E c is also in M. Therefore,

m∗ (E) + m∗ (G \ E) = m∗ (G) ≤ m∗ (E) + ε.

Since m∗ (E) < ∞, we obtain m∗ (G \ E) ≤ ε. For the case when m∗ (E)


is not necessarily finite, we write E = ∪∞ ∗
n=1 En , where m (En ) < ∞ for
every n ∈ N. For example, we can take En := E ∩ [−n, n] for n ∈ N.
Since m∗ (En ) < ∞ for each n ∈ N, by the above part, there exists open set
Gn ⊇ En such that m∗ (Gn \ En ) < ε/2n . Taking G = ∪∞ n=1 Gn , we have G
is open, G ⊇ E and

G \ E = [∪∞ ∞ ∞
n=1 Gn ] \ [∪n=1 En ] ⊆ ∪n=1 (Gn \ En ).

Therefore,
∞ ∞

X

X ε
m (G \ E) ≤ m (Gn \ En ) ≤ = ε.
2n
n=1 n=1

Thus, (ii) holds.


(ii)⇒ (iii): Assume (ii). Then, for every n ∈ N, there exists an open set
Vn in R such that
1
E ⊆ Vn and m∗ (Vn \ E) ≤ .
n
T
Let G = n Vn . Then E ⊆ G ⊆ Vn and G \ E ⊆ Vn \ E for all n ∈ N so that

1
m∗ (G \ E) ≤ ∀ n ∈ N.
n
Letting n tend to infinity, we obtain m∗ (G \ E) = 0. Thus, (iii) holds.
(iii)⇒ (i): Assume (iii). Then there exists a Gδ -set set G in R such that
E ⊆ G and m∗ (G \ E) = 0. In particular, G \ E ∈ M. Also,

E = G \ (G \ E) = G ∩ (G \ E)c ∈ M.

This completes the proof.

Corollary 2.2.12 Let E ⊆ R. Then E ∈ M if and only if there exist a


Gδ -set G and an Fσ -set F such that

F ⊆E⊆G and m∗ (G \ F ) = 0.

Proof. Suppose E ∈ M. Then by Theorem 2.2.11, there exists a Gδ set


G such that
E ⊆ G and m∗ (G \ E) = 0.
28 Lebesgue Measure

Also, by taking E c in place of E, there exists a Gδ -set H such that E c ⊆ H


and m∗ (H \ E c ) = 0. Hence,

H \ E c ∈ M, F := H c ⊆ E, H \ E c = E \ H c = E \ F.

Thus, F is a closed set such that

F ⊆E and m∗ (E \ F ) = 0.

Since G \ F = (G \ E) ∪ (E \ F ) we obtain m∗ (G \ F ) = 0.
Conversely, suppose that there exists a Gδ -set G and an Fσ -set F such
that F ⊆ E ⊆ G and m∗ (G \ F ) = 0. In particular, G \ E ⊆ G \ F so that
m∗ (G \ E) = 0 and hence G \ E ∈ M. Therefore, E = G \ (G \ E) ∈ M.

Using Theorem 2.2.11, we obtain the following theorem. The details of


its proof is left as an exercise.

Theorem 2.2.13 Let E ⊆ R. Then the following are equivalent.

(i) E ∈ M.

(ii) For every ε > 0, there exists a closed set F in R such that

F ⊆ E and m∗ (E \ F ) ≤ ε.

(iv) There exists an Fσ -set set F in R such that

F ⊆ E and m∗ (E \ F ) = 0.

2.3 Problems
1. Prove that, in Definition 2.1.1, m∗ (E) remains the same if we take IE
to be the collection of all

(a) countable family {In } of intervals of the form Jn = (an , bn ),


(b) countable family {In } of intervals of the form Jn = [an , bn ),
(c) countable family {In } of intervals of the form Jn = (an , bn ],
(d) countable family {In } of intervals of the form Jn = [an , bn ],
(e) sequences (In ) of intervals of the form Jn = (an , bn ),
(f) sequences (In ) of intervals of the form Jn = [an , bn ),
(g) sequences (In ) of intervals of the form Jn = (an , bn ],
(h) sequences (In ) of intervals of the form Jn = [an , bn ],
Problems 29

with an , bn ∈ R.

2. Show that, if E ⊆ A and m∗ (E) = 0, then m∗ (A ∪ E) = m∗ (A).

3. From Theorem 2.1.6, deduce that outer measure of every countable


set is 0.

4. Justify the statement: There exists a countable disjoint family {En }


of subsets of R such that

[  ∞
X

m En 6= m∗ (En ).
n=1 n=1

5. If E is a subset of an interval I such that m∗ (E) = 0, then prove that


E c is dense in I.

6. Prove Theorem 2.2.3.

7. Suppose {A1 , . . . , An } is a disjoint family of subsets of R such that


A1 , . . . , An−1 belong to M. Then show that
n
[  n
X

m Ai = m∗ (Ai ).
i=1 i=1

8. Let Mf = M ∪ {E0 }, where E0 6∈ M. Prove that if {An } is a countable


disjoint family in M,
f then
[  X
m∗ Ai = m∗ (Ai ).
n n

9. Show that if E ∈ M, then

m(E) = inf{m(G) : G open E ⊆ G}.

10. Supply details of the proof of Theorem 2.2.13.

11. If E ⊆ R such that with m∗ (E) < ∞. Prove that the following are
equivalent:

(a) E ∈ M.
(b) There exists a Gδ set G ⊇ E such that E = G \ E0 , where
m∗ (E0 ) = 0.
(c) There exists an Fσ set F ⊆ E such that E = F ∪ E0 , where
m∗ (E0 ) = 0.
30 Lebesgue Measure

12. If A, B ∈ M with A ⊆ B and if m(B) < ∞, then show that

m(B \ A) = m(B) − m(A).

13. If A, B ∈ M, prove that

m(A ∪ B) + m(A ∩ B) = m(A) + m(B).

14. Supply details of the proof for the results listed in Theorem 2.2.10.

15. Find a open dense subset A of R with finite m(A) < ∞.


[Hint: Use density of the set of rational numbers.]

16. Find a closed subset B of R with empty interior and with m(B) = ∞.

17. Given ε > 0 find a closed set F ⊆ [0, 1] such that m(F ) ≥ 1 − ε.
[Hint: Find an open subset A of [0, 1] such that m(A) < ε.]

18. Find a subset E of [0, 1] which is a countable union of closed nowhere


dense sets such that m(E) = 1.
[Hint: Use last exercise. Recall that a set A is said to be nowhere
dense if its closure has empty interior.]