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AND LEBESGUE INTEGRATION

Eduard EMELYANOV

Ankara — TURKEY

2007

2

FOREWORD

This book grew out of a one-semester course for graduate students that the

author have taught at the Middle East Technical University of Ankara in 2004-

06. It is devoted mainly to the measure theory and integration. They form the

base for many areas of mathematics, for instance, the probability theory, and at

least the large part of the base of the functional analysis, and operator theory.

Under measure we understand a σ-additive function with values in R+ ∪ {∞}

defined on a σ-algebra. We give the extension of this basic notion to σ-additive

vector-valued measures, in particular, to signed and complex measures and refer

for more delicate topics of the theory of vector-valued measures to the excellent

book of Diestel and Uhl [3]. The σ-additivity plays a crucial role in our book. We

do not discuss here the theory of finitely-additive functions defined on algebras

of sets which are sometimes referred as finitely-additive measures.

There are two key points in the measure theory. The Caratheodory extension

theorem and construction of the Lebesgue integral. Other results are more or

less technical. Nevertheless, we can also emphasize the importance of the Jor-

dan decomposition of signed measure, theorems about convergence for Lebesgue

integral, Cantor sets, the Radon – Nikodym theorem, the theory of Lp -spaces,

the Liapounoff convexity theorem, and the Riesz representation theorem.

We provide with proofs only basic results, and leave the proofs of the others to

the reader, who can also find them in many standard graduate books on the

measure theory like [1], [4], and [5]. Exercises play an important role in this

book. We expect that a potential reader will try to solve at least half of them.

Exercises marked with ∗ are more difficult, and sometimes are too difficult for

the first reading. In the case if someone will use this book as a basic text-book

for the analysis graduate course, the author recommends to study subsections

marked with ◦ , omitting the material of subsections marked with ! .

I am indebted to many. I thank Professor Safak Alpay for reading the manuscript

and offering many valuable suggestions. I thank to our students of 2004-2006

METU graduate real analysis classes, especially Tolga Karayayla, who made

many corrections. Finally, I thank to my wife Svetlana Gorokhova for helping

in preparing of the manuscript.

3

Contents

Introduction

Chapter 1

1.1. σ-Algebras, Measurable Functions, Measures, the Egoroff Theorem, Ex-

haustion Argument

1.2. Vector-valued, Signed and Complex Measures, Variation of a Vector-valued

Measure, Operations with Measures, the Jordan Decomposition Theorem, Ba-

nach Space of Signed Measures of Bounded Variation

1.3. Construction of the Lebesgue Integral, the Monotone Convergence Theo-

rem, the Dominated Convergence Theorem,

Chapter 2

2.1. The Caratheodory Theorem, Lebesgue Measure on R, Lebesgue – Stieltjes

Measures, the Product of Measure Spaces, the Fubini Theorem

2.2. Lebesgue Measure on Rn , Lebesgue Integral in Rn , the Lusin Theorem,

Cantor Sets

Chapter 3

3.1. The Radon – Nikodym Theorem, Continuity of a Measure with Respect

to another Measure, the Hahn Decomposition Theorem

3.2. Hölder’s and Minkowski’s Inequalities, Completeness, Lp -Spaces, Duals

3.3. The Liapounoff Convexity Theorem

Chapter 4

4.1. Vector Spaces of Functions on Rn , Convolutions

4.2. Radon Measures, the Riesz Representation Theorem

Bibliography

Index

4

Chapter 1

Here we define the notion of σ-algebra which plays the key role in the measure

theory. We study basic properties of σ-algebras and measurable functions. In

the end of this section we define and study the notion of measure.

theory.

Definition 1.1.1 A collection A of subsets of a set X is called a σ-algebra if

(a) X ∈ A;

(b) if A ∈ A then X \ A ∈ A;

S

(c) given a sequence (Ak )k ⊆ A, we have Ak ∈ A.

k

It follows from this definition that the empty set ∅ belongs to A since X ∈ A

and ∅ = X \ X. Further, given a sequence (Ak )k ⊆ A, we have

\ [

Ak = X \ (X \ Ak ) ∈ A.

k k

A4B := (A \ B) ∪ (B \ A)

both belong to A.

Any σ-algebra of subsets of a set X has at least two elements: ∅ and X itself.

One of the main and mostly obvious examples of a σ-algebra is P(X) is the set

of all subsets of X. The following simple proposition shows us how to construct

new σ-algebras from a given family of σ-algebras.

5

6 CHAPTER 1.

then Ω = ∩α Ωα is also a σ-algebra. 2

Definition 1.1.2 Let G ⊆ P(X), then the set of all σ-algebras containing G

is nonempty since it contains P(X). Hence we may talk about the minimal σ-

algebra containing G. This σ-algebra is called the σ-algebra generated by G.

Definition 1.1.3 Let X be a topological space and let G be the family of all

open subsets of X. The σ-algebra generated by G is called the Borel algebra

of X and denoted by B(X).

a set X. We suppose that some σ-algebra Ω ⊆ P(X) is fixed.

Definition 1.1.4 We say that f is measurable, if f −1 ([a, b]) ∈ Ω for any reals

a < b.

are equivalent:

(a) f is measurable;

(b) f −1 ([0, b)) ∈ Ω for any real b;

(c) f −1 ((b, ∞)) ∈ Ω for any real b;

(d) f −1 (B) ∈ Ω for any B ∈ B(R). 2

(a) α · f + β · g is measurable for any α, β ∈ R;

(b) functions max{f, g} and f · g are measurable.

In particular, functions f + := max{f, 0}, f − := (−f )+ , and |f | := f + + f − are

measurable. 2

1.1. σ-ALGEBRAS, MEASURABLE FUNCTIONS, MEASURES 7

n=1 be a sequence of measurable functions, then

n→∞ n→∞

are measurable. 2

a measure, if:

(a) µ(∅) = 0;

(b) µ(A) ≥ 0 for all A ∈ A; and

S P

(c) µ( k Ak ) = k µ(Ak ) for any sequence (Ak )k of pairwise disjoint sets from

A, that is Ai ∩ Aj = ∅ for i 6= j.

The axiom (c) is called σ-additivity of the measure µ. As usual, we will also

assume that any measure under consideration satisfies the following axiom:

(d) for any subset A ∈ A with µ(A) = ∞, there exists B ∈ A such that B ⊆ A

and 0 < µ(B) < ∞.

This axiom allows to avoid a pathological case that for some A, with µ(A) = 0

it holds either µ(B) = 0 or µ(B) = ∞ for any B ⊆ A, B ∈ A.

We will use often the following simple proposition, the proof of which is left to

the reader.

Then A ∈ A and µ(A) = lim µ(An ). In particular, if (Bn )∞n=1 is a decreasing

n→∞ T∞

sequence of elements of A such that n=1 Bn = ∅, then µ(Bn ) → 0. 2

a measure.

then the triple (X, A, µ) is called a measure space. The sets belonging to A

are called measurable sets because the measure is defined for them.

8 CHAPTER 1.

subsets of X and a measure is defined by setting to each xi ∈ X a nonnegative

number, say pi . This follows that the measure of a subset {xα1 , . . . , xαk } ⊆ X is

just pα1 + · · · + pαk . If pi = 1 for all i, then the measure is called a counting

measure because it counts the number of elements in a set.

subsets of X is the Borel algebra B(X). Any measure defined on a Borel algebra

is called Borel measure. In Section 2.1, we will prove that on the Borel σ-

algebra B(R) there exists a unique measure such that µ([a, b]) = b − a for any

interval [a, b] ⊆ R.

that the measure under consideration is the Borel measure.

As presented in Definition 1.1.6, the notion of measure space is extremely gen-

eral. In almost all applications, the following specific class of measure spaces is

adequate.

quence (Ak )∞

k=1 , Ak ∈ A, satisfying

∞

[

X= Ak and µ(Ak ) < ∞ for all k.

k=1

Obviously, any σ-finite measure satisfies the axiom (d). Moreover, a measure µ

∞

is σ-finite iff (= if and only if) there exists

S∞an increasing sequence (Xn )n=1 of

subsets of finite measure such that X = n=1 Xn . If X = R, then Ak may be

chosen as intervals [−k, k]. In Rd , they may be chosen as balls of radius k, etc.

particular, if µ(X) = 1, then the measure space is said to be probabilistic, and

µ is said to be a probability. A measure µ is called separable if there exists a

countable family R ⊆ A such that for any A ∈ A, µ(A) < ∞, and for any ε > 0

there exists B ∈ R satisfying µ(A4B) < ε. A measure µ is called complete if

there holds:

[ µ(A) = 0 & B ⊆ A ] ⇒ B ∈ A .

1.1. σ-ALGEBRAS, MEASURABLE FUNCTIONS, MEASURES 9

Every Borel measure on R (or on [0, 1], or on Rn , etc.) possesses a unique com-

pletion, which is called a Lebesgue measure.

surable functions, there are several natural types of convergence. Some of them

are given by the following definition.

n=1 be a sequence of R-valued functions defined on X.

We say that:

(a) fn → f pointwise, if fn (x) → f (x) for all x ∈ X;

(b) fn → f almost everywhere (a.e.), if fn (x) → f (x) for all x ∈ X except

a set of measure 0;

(c) fn → f uniformly, if for any ε > 0 there is n(ε) such that

Theorem 1.1.1 (Egoroff ’s theorem) Suppose that µ(X) < ∞, {fn }∞ n=1 and

f are measurable functions on X such that fn → f a.e. Then, for every ε > 0,

there exists E ⊆ X such that µ(E) < ε and fn → f uniformly on E c = X \ E.

X and (by replacing fn with fn − f ) that f ≡ 0. For k, n ∈ N, let

∞

[

En (k) := {x : |fm (x)| ≥ k −1 }.

m=n

T

n=1 En (k) = ∅. Since

µ(X) < ∞, we conclude that µ(En (k)) → 0 as n → ∞. Given ε > 0 and k ∈ N,

choose nk such that

µ(Enk (k)) < ε · 2−k ,

and set ∞

[

E := Enk (k).

k=1

10 CHAPTER 1.

Thus fn → 0 uniformly on X \ E. 2

Let (X, Σ, µ) be a σ-finite measure space. Given a sequence (Un )∞

n=1 ⊆ Σ, a set

A ∈ Σ is called (Un )n -bounded if there exists n such that A ⊆ Un µ-almost

everywhere.

fying Yn ↑ X and µ(Yn ) < ∞ for all n. Let P be some property of (Yn )n -bounded

measurable sets, such that A ∈ P iff B ∈ P for all B, µ(A4B) = 0. Suppose

that any (Yn )n -bounded set A, µ(A) > 0, has a subset B ∈ Σ, µ(B) > 0 with the

property P. Moreover, assume that either

(a) A1 ∪ A2 ∈ P for every A1 , A2 ∈ P, or

(b) ∪n Bn ∈ P for every at most countable family (Bn )n of pairwise disjoint

sets possessing the property P.

Then there exists a sequence (Xn )∞n=1 ⊆ Σ such that Xn ↑ X, and P 3 Xn ⊆ Yn

for all n. Moreover, there exists a pairwise disjoint sequence (An )∞

n=1 ⊆ Σ such

∞

S

that An = X and An ∈ P for all n.

n=1

n=1 ⊆ PA such

that m(A) = lim µ(Fn ), We may assume, that Fn ↑ . By Proposition 1.1.5, the

n→∞

set F = ∪∞ n=1 Fn satisfies µ(F ) = m(A). We show that µ(A) = m(A). If not

then µ(A \ F ) > 0. The set A \ F has a subset of positive measure F0 ∈ P.

Then Fn ∪ F0 ∈ PA and µ(Fn ∪ F0 ) > m(A) for a sufficiently large n, which

contradicts to the definition of m(A). Therefore, µ(A) = m(A).

Now we apply this for A = Yn . Thus, there exists a sequence (Xn0 )n ⊆ Σ such

that Xn0 ⊆ Yn , Xn0 ∈ P, and µ(Yn \ Xn0 ) < n−1 for all n. By (a), we may assume

that Xn0 ↑. The set X00 = ∪∞ 0 0 0 0

n=1 Xn satisfies Yn \X0 ⊆ Yn \Xn , so µ(Yn \X0 ) < n

−1

1.1. σ-ALGEBRAS, MEASURABLE FUNCTIONS, MEASURES 11

n=1 Yn ) \ X0 ) = 0, or µ(X \ X0 ) = 0. Let

0 0

Xn := (Xn ∪(X \X0 ))∩Yn , then the sequence (Xn )n has the required properties.

The desired pairwise disjoint sequence (An )∞

n=1 is given recurrently by A1 = X1

and Ak+1 = Xk+1 \ ∪ki=1 Ai .

I(b) Suppose P satisfies (b). Let FA be the family of all pairwise disjoint

families of elements of PA of nonzero measure. Then FA is ordered by inclusion

and, obviously, satisfies the conditions of the Zorn lemma. Therefore, we have

a maximal element in FA , say ∆. Then ∆ is at most countable family, say

∆ = {Dn }n . By (b), its union D := ∪n Dn is an element of PA as well. If D is

a proper subset of A, then µ(A \ D) > 0. The set A \ D has a subset F ∈ P

of the positive measure. Then ∆1 := ∆ ∪ {F } is an element of FA which is

strictly greater then ∆. The obtained contradiction, shows that A ∈ P for every

(Yn )n -bounded set A. So, we may take Xn := Yn for each n.

Now we apply this for A = Zm := Ym \ ∪m−1 m

k=1 Yk . Let Zm = ∪n Dn be a pairwise

disjoint union, where Dnm ∈ P for all n, m. The family {Dnm }n,m is an at most

countable disjoint decomposition of X, say {Dnm }n,m = (An )∞ n=1 . The sequence

(An )n=1 satisfies the required properties. 2

∞

Exercise 1.1.1 Prove that the cardinality of any σ-algebra is either finite or uncountable.

Exercise 1.1.2 Let f and g be measurable R-valued functions. Show that f · g is measurable.

Let A be a family of all X ⊆ N such that the number µ(X) = lim k −1 nkX exists. Is A a

k→∞

σ-algebra? Is µ a measure on A?

∗

Exercise 1.1.5 Let (Ω, Σ, µ) be a measure space. Show that the set

R(µ) := {µ(E) : E ∈ Σ}

is, in general, neither closed nor convex in R ∪ {∞}. Is R(µ) closed if, additionally, µ is finite

or non-atomic (see Exercise 1.1.9 for the definition)?

12 CHAPTER 1.

Exercise 1.1.6 Show that each separable measure which satisfies Axiom 1.1.3 d) is σ-finite.

Exercise 1.1.7 ∗ Give an example of a family (Ωα )α∈[0,2π] of σ-subalgebras of the Borel

algebra B([0, 1]2 ) such that for any α, β ∈ [0, 2π], α 6= β:

Ωα ∩ Ωβ = {∅, [0, 1]2 }

and

(∀α)[α ∈ [0, π]](∀a)[0 ≤ a ≤ 1](∃B ∈ Ωα )[µ(B) = a].

n=1 of σ-subalgebras of the Borel algebra B([0, 1] )

such that, for any n < m,

Σm ⊆ Σn & Σn 6= Σm

and

(∀n)(∀a)[0 ≤ a ≤ 1](∃B ∈ Σn )[µ(B) = a].

Exercise 1.1.9 ∗∗ Let (Ω, Σ, µ) be a measure space equipped with a probabilistic measure µ

such that µ has no atom (non-atomic measure), i.e., for any A ∈ Σ, µ(A) > 0 implies that

there exists A0 ⊆ A such that 0 < µ(A0 ) < µ(A).

(a) Show that, for any 0 ≤ α ≤ 1, there exists B ∈ Σ such that µ(B) = α.

(b) Give an example of a measure ν on (N, P(N)) such that ν(N) = 1 and, for any 0 ≤ α ≤ 1,

there exists B ∈ P(N) such that µ(B) = α.

Exercise 1.1.10 (TheP Borel – Cantelli lemma) Let (X, Σ, µ) be a measure space. Show

∞

that if {An }n ⊆ Σ and n=1 µ(An ) < ∞ then µ(lim sup An ) = 0.

n→∞

Exercise 1.1.12 ∗∗∗ Let (X, Ω, µ) be a measure space and µ(X) < ∞. Say that A ∼ B if

µ(A4B) = 0.

(a) Show that ∼ is an equivalence relation on Ω;

(b) Show that the function ρ : (Ω/ ∼)2 → R:

ρ([A], [B]) := µ(A4B),

is a metric, and (Ω/ ∼, ρ) is a complete metric space.

Exercise 1.1.13 ∗∗∗ Let (Ω/ ∼, ρ) be the metric space from Exercise 1.1.12.

(a) Show that (Ω/ ∼, ρ) is compact, if (X, Ω, µ) is a purely atomic measure space.

(b) Show that (Ω/ ∼, ρ) is not compact, if (X, Ω, µ) is not purely atomic.

P any A ∈ Ω, µ(A) < ∞, there

Here, the measure space (X, Ω, µ) is called purely atomic if for

exists a sequence (an )∞

n=1 of elements of A such that µ(A) = n µ({an }).

∗

Exercise 1.1.14 Show that in Proposition 1.1.4 pointwise limits lim sup fn and lim inf fn

n→∞ n→∞

may be replaced by a.e.-limits lim sup fn and lim inf fn .

n→∞ n→∞

1.2. VECTOR-VALUED MEASURES 13

In this section, we extend the notion of a measure. Then we study the basic

operations with signed measures and present the Jordan decomposition theo-

rem. We refer for further delicate results about vector-valued measures to [3]

and about spaces of signed measures to [7] and [12].

σ-algebra of subsets of a set X, and let E = (E, k · k) be a Banach space.

measure (or E-valued measure) if

(a) µ(∅)

S = 0; P

(b) µ( k Ak ) = k µ(Ak ) for any pairwise disjoint sequence (Ak )k ⊆ Σ;

(c) for any A ∈ Σ, µ(A) = ∞, there exists B ∈ Σ such that B ⊆ A and

0 < kµ(B)k < ∞.

Example 1.2.1 Take Σ = P(N), and c0 is the Banach space of all convergent

C-valued sequences with a fixed element (αn )n ∈ c0 . Define for any A ⊆ N:

ψ(A) := (βn )n ,

where βn = αn if n ∈ A and βn = 0 if n 6∈ A. Then ψ is a c0 -valued measure on

P(N).

Example 1.2.2 Let X be a set and let Ω be a σ-algebra in P(X). Then for any

family {µk }m m

k=1 of finite measures on Ω and for any family {wk }k=1 of vectors of

Rn , the Rn -valued measure Ψ on Ω is defined by the formula

m

X

Ψ(E) := µk (E) · wk (E ∈ Ω).

k=1

Example 1.2.3 Let X be a set and let Ω be a σ-algebra in P(X). Then for

any family {µk }m m

k=1 of finite measures on Ω, for any family {Ak }k=1 of pairwise

disjoint sets in Ω, and for any family {wk }m n n

k=1 of vectors of R , the R -valued

measure Φ on Ω is defined by the formula

m

X

Φ(E) := µk (E ∩ Ak ) · wk (E ∈ Ω).

k=1

14 CHAPTER 1.

From Definition 1.2.1, it is quite easy to see (and we leave this as an exercise to

the reader) that if µ is an E-valued measure, then for two linearly independent

vectors x, y ∈ E, kxk = kyk = 1, it is impossible to find sequences (An )∞ n=1 and

∞

(Bn )n=1 of elements of Σ such that

µ(An ) µ(An )

kµ(An )k → ∞ , lim = x , and kµ(Bn )k → ∞ , lim = y.

n→∞ kµ(An )k n→∞ kµ(Bn )k

This can be expressed as: any vector-valued measure cannot be infinite in two

different directions.

The next two definitions are special cases of Definition 1.2.1.

P µ : Σ → R ∪ {∞} is called a signed measure if

µ(∅) = 0, µ( k Ak ) = k µ(Ak ) for any sequence (Ak )k of pairwise disjoint sets

from Σ, and, for any A ∈ Σ, µ(A) = ∞, there exists B ∈ Σ such that B ⊆ A

and 0 < |µ(B)| < ∞.

S A function

if µ(∅) = 0, µ( k Ak ) = k µ(Ak ) for any sequence (Ak )k of pairwise disjoint

sets from Σ, and, for any A ∈ Σ, µ(A) = ∞, there exists B ∈ Σ such that

B ⊆ A and 0 < |µ(B)| < ∞.

consider only a few of them, in particular, the classes given by the following

definition.

measurable A. An E-valued measure µ is called σ-finite if there is a sequence

∞

S

(Ak )k , Ak ∈ Σ, satisfying X = Ak and µ|Ak is finite measure for all k ∈ N.

k=1

An E-valued measure µ is called separable if there exists a countable family

R ⊆ Σ such that, for any A ∈ Σ of a finite measure and for any ε > 0, there

exists B ∈ R satisfying kµ(A4B)k < ε.

The definitions of σ-finite, finite, and separable signed or complex measure are

obvious.

1.2. VECTOR-VALUED MEASURES 15

the natural way construct a new measure from a given vector-valued measure.

Let µ be a E-valued measure on (X, Σ). We define a function

|µ| : Σ → R+ ∪ {∞}

n=j n=j

X [

|µ|(A) := sup{ kµ(An )k : An ∈ Σ, An = A, Ak ∩ Ap = ∅ if k 6= p}.

n=1 n=1

(1.2.1)

This function is called the variation of µ. It is an exercise for the reader to

show that |µ| is additive and therefore monotone.

Theorem 1.2.1 Let µ be an E-valued measure on (X, Σ). Then |µ| is a mea-

sure.

σ-additivity of the function |µ| : Σ → R+ ∪ {∞}.

Let (An )∞

S

n=1 be a pairwise disjoint sequence of elements of Σ and A := n An . If

|µ|(A) = ∞, then there is nothing to proof. So we may assume that |µ|(A) < ∞.

Let π be a finite partition of A into pairwise disjoint members of Σ. Then

X X X X

kµ(E)k = kµ(E ∩ A)k = k µ(E ∩ An )k ≤

E∈π E∈π E∈π n

XX XX X

kµ(E ∩ An )k = kµ(E ∩ An )k ≤ |µ|(An ).

E∈π n n E∈π n

[ X

|µ|( An ) ≤ |µ|(An ). (1.2.2)

n n

i=n

X n

[ [

|µ|(Ai ) = |µ|( Ai ) ≤ |µ|( An ),

i=1 i=1 n

16 CHAPTER 1.

∞

X [

|µ|(Ai ) ≤ |µ|( An ). (1.2.3)

i=1 n

It is also easy to see that µ is a σ-finite or finite E-valued measure iff |µ| is.

bounded variation if |µ| is finite.

if αn = 2−n ; and, of unbounded variation if αn = 1/n.

of subsets of a non-empty set X and let E be a Banach space. The set Mb =

MbE (X, Σ) of all E-valued measures of bounded variation on Σ is a vector space

with respect to the natural operations of addition and scalar multiplication, i.e.,

for every A ∈ Σ.

norm. To show that Mb is complete under the norm k · kb , it is enough to show

that if ∞

X

kµn kb < ∞ (1.2.5)

n=1

n=1 of E-valued measures, then

∞

X

µ := µn ∈ Mb . (1.2.6)

n=1

1.2. VECTOR-VALUED MEASURES 17

∞

X

µn (A)

n=1

an exercise. 2

In general, if µ1 and µ2 are not finite E-valued measures, the formula (1.2.4) does

not define the sum of them. Thus, in general, the set of all E-valued measures

is not a vector space.

Now we are going to study the important case of finite signed measures. Let Mb

be the Banach space of all finite signed measures on (X, Σ). First, we define a

partial ordering in Mb saying that µ1 ≤ µ2 whenever

vector lattice, which means, by the definition, that for every µ, ν ∈ Mb there

exists sup{µ, ν} ∈ Mb .

For this purpose, we denote for µ ∈ Mb the number

From

|(µ1 + µ2 )(A)| ≤ |µ1 (A)| + |µ2 (A)| ≤ kµ1 k + kµ2 k

holding for µ1 and µ2 in Mb and arbitrary A ∈ Σ, it follows that

Furthermore, it is evident that kαµk = |α| · kµk for µ ∈ Mb and a real α. Thus,

k · k is, clearly, a norm in Mb (it is equivalent to k · kb in Theorem 1.2.2).

We prove now that sup{µ1 , µ2 } exists in Mb for all µ1 and µ2 in Mb . For any

A ∈ Σ, let the number ν(A) be defined by

18 CHAPTER 1.

on the right is less than or equal to kµ1 k + kµ2 k, we get

It follows that ν is bounded and kνk ≤ kµ1 k + kµ2 k. Having shown that ν is an

element of Mb , we prove now that ν = sup{µ1 , µ2 }. From the definition of ν, it

is clear that ν(A) ≥ µ1 (A) and ν(A) ≥ µ2 (A) for every A ∈ Σ, so ν is an upper

bound of µ1 and µ2 . Let τ be another upper bound. Then, for any A ∈ Σ and

A ⊇ B ∈ Σ, we have

so

τ (A) ≥ sup{µ1 (B) + µ2 (A \ B) : A ⊇ B ∈ Σ} = ν(A).

This shows that ν = sup{µ1 , µ2 } in Mb . Note now that inf{µ1 , µ2 } exists as

well, because

inf{µ1 , µ2 } = − sup{−µ1 , −µ2 }.

Hence Mb is a vector lattice.

As a direct consequence of this we have the following theorem in the case of

finite signed measures.

sure then there exist unique positive measures ν and ξ such that µ = ν − ξ and,

for any positive measures ν 0 and ξ 0 such that µ = ν 0 − ξ 0 , the inequalities ν ≤ ν 0

and ξ ≤ ξ 0 hold.

and ξ := µ− = − inf{0, µ}. If µ is not finite (or even not σ-finite) the proof is

more complicated. We will not treat it in this book, and refer the reader for the

proof to [5] and [4]. 2

We list main properties of the Banach space Mb = (Mb , k · kb ) of all signed

measures of bounded variation on (X, Σ). Proofs are easy and left to the reader.

(i) The norm k · kb on Mb satisfies

1.2. VECTOR-VALUED MEASURES 19

(ii) The norm k · kb is additive on the positive cone Mb+ of Mb :

(iii) Mb is Dedekind complete in the following sense. For any order bounded

nonempty family {µα }α∈A , the supremum supα∈A µα exists and can be evaluated

by the formula

k j=k

X [

sup µα (B) = sup{ µαj (Bj ) : Bj ∈ Σ, αj ∈ A, Bj = B, Bi ∩Bj = ∅ if i 6= j}

α∈A

j=1 j=1

(1.2.8)

for any B ∈ Σ .

∗∗

Exercise 1.2.1 Prove the property of vector-valued measures given after Definition 1.2.1

∗

Exercise 1.2.2 Let µ be a E-valued measure on (X, Σ). Show that

∞

X ∞

[

|µ|(A) := sup{ kµ(An )k : An ∈ Σ, An = A, Ak ∩ Ap = ∅ if k 6= p}.

n=1 n=1

Exercise 1.2.3 Let µ be a E-valued measure on (X, Σ). Show that |µ| is additive and

monotone in the following sense:

|µ|(A) ≤ |µ|(B)

for any A, B ∈ Σ, A ⊆ B.

Exercise 1.2.4 ∗∗ Show that a signed measure µ is finite iff its variation |µ| is finite. Show

that a signed measure µ is σ-finite iff its variation |µ| is σ-finite.

Exercise 1.2.5 Show that the vector-valued measure constructed in Example 1.2.1 is of un-

bounded variation if αn = 1/n; and, of bounded variation if αn = 2−n .

20 CHAPTER 1.

Exercise 1.2.6 Let µ be a E-valued measure. Show that |µ| is a separable iff µ is separable.

Exercise 1.2.7 Show that the function µ from Σ to E, which is defined in the proof of The-

orem 1.2.2 by

∞

X

µ(A) = µn (A) (∀A ∈ Σ),

n=1

is an E-valued measure of bounded variation.

Exercise 1.2.8 ∗∗∗ Let µ be a non-atomic signed measure of bounded variation on Σ (i.e.

for any A ∈ Σ, µ(A) 6= 0, there exists B ∈ Σ, B ⊆ A, such that 0 < |µ(B)| < |µ(A)|). Using

Exercise 1.1.9, show that, for any α,

inf{µ(A) : A ∈ Σ} ≤ α ≤ sup{µ(A) : A ∈ Σ} ,

there is Aα ∈ Σ such that µ(Aα ) = α.

Exercise 1.2.9 Let µ be a signed non-atomic measure on (Ω, Σ). Show that the set

R(µ) := {µ(E) : E ∈ Σ}.

is closed in R ∪ {∞}.

Exercise 1.2.10 ∗ Let Mb be the Banach space of all finite signed measures on (X, Σ). Show

that Mb is a partially ordered Banach space with respect to the order given in (1.2.7).

Exercise 1.2.11 Show that Mb satisfies 1.2.4(i).

Exercise 1.2.12 Show that Mb satisfies 1.2.4(ii).

∗∗

Exercise 1.2.13 Show that (1.2.8) defines the supremum supα∈A µα .

Exercise 1.2.14 Show that the Rn -valued measure Ψ : Ω → Rn defined in Example 1.2.2 has

a bounded variation and

Xm

|Ψ|(X) ≤ µk (X) · kwk k.

k=1

∗∗

Exercise 1.2.15 Show that the R -valued measure Φ : Ω → Rn defined in Example 1.2.3

n

Xm

|Φ|(X) ≤ µk (Ak ) · kwk k.

k=1

R(Φ) := {Φ(E) : E ∈ Ω}

n

of Φ is a compact subset of R if all µk are non-atomic.

Exercise 1.2.16 ∗∗ Take the Rn -valued measure Φ as in Exercise 1.2.15 and assume that any

µk , which was used in the construction of Φ, is non-atomic on Ak . Show that R(Φ) is convex

in Rn .

1.3. THE LEBESGUE INTEGRAL 21

Historically, many approaches to integration have been used (see the book [2]

of S.B. Chae for nice historical remarks). No doubt that the Lebesgue integra-

tion is the most successful approach. In the following, we fix a σ-finite measure

space (X, A, µ). To avoid unnecessary details, we consider only the case of R-

valued functions and leave obvious generalizations to C- or Rn -valued cases to

the reader.

certain property involving the points of measure space is true, except a subset

having measure zero, then we say that this property is true almost everywhere

(abbreviated as a.e.). We denote

f + (x) = max(0, f (x)),

f − (x) = max(0, −f (x)),

and

|f |(x) = f + (x) + f − (x).

Let Ai ∈ A, i = 1, . . . , n, be such that µ(Ai ) < ∞ for all i, and Ai ∩ Aj = ∅ for

all i 6= j. The function

n

X

g(x) = λi χAi (x), λi ∈ R,

i=1

is defined as Z n

X

g dµ := λi · µ(Ai ).

X i=1

It is a simple exercise to show that the Lebesgue integral of a simple function is

well defined. We leave this to the reader.

nonnegative bounded measurable function and let (gn )∞

n=1 be a sequence of simple

functions which converges uniformly to f . Then the Lebesgue integral of f is

Z Z

f dµ := lim gn dµ.

X n→∞ X

22 CHAPTER 1.

It can be easily shown that the limit in Definition 1.3.1 exists and does not

depend on the choice of a sequence (gn )∞ ∞

n=1 , and moreover, the sequence (gn )n=1

can be chosen such that 0 ≤ gn ≤ f for all n.

able function. Then the Lebesgue integral of f is

Z Z

f dµ := sup { f dµ : A ∈ A , µ(A) < ∞ }

X A

1.1.3(d).

f (x) if 0 ≤ f (x) ≤ M,

fM (x) =

M if M < f (x).

Z Z

f dµ := lim fM dµ.

X M →∞ X

integral of f is defined by

Z Z Z

f dµ := +

f dµ − f − dµ.

X X X

If both of these terms are finite then the function f is called integrable. In this

case we write f ∈ L1 .

the following notation. For any A ∈ A:

Z Z

f dµ := f · χA dµ.

A X

1.3. THE LEBESGUE INTEGRAL 23

then

Z Z

f dµ = sup{ φ dµ : φ is a simple f unction such that 0 ≤ φ ≤ f }.

X X

Proof: Firstly

R consider the case of bounded f and finite µ. Then by the

definition of X f dµ there exists a sequence (see the remark after Definition

1.3.1) (gn )∞

n=1 of simple functions such that 0 ≤ gn ≤ f for all n, and (gn )

converges uniformly to f , and satisfies

Z Z Z

f dµ = lim gn dµ = sup gn dµ .

X n→∞ X n X

Now the using of Definitions 1.3.2 and 1.3.3 completes the proof. 2

L1. If f, g : X → R are measurable, g is integrable, and |f (x)| ≤ g(x), then f

is integrable and Z Z

f dµ ≤ g dµ.

X X

R

L2. X

|f | dµ = 0 if and only if f (x) = 0 a.e.

L3. If f1 , f2 : X → R are integrable then, for λ1 , λ2 ∈ R, the linear combination

λ1 f1 + λ2 f2 is integrable and

Z Z Z

[λ1 f1 + λ2 f2 ] dµ = λ1 f1 dµ + λ2 f2 dµ.

X X X

L4. Let f ∈ L1 , then the formula

Z

ν(A) := f dµ

A

set X, the statement “fn → f as n → ∞” can be taken in many different senses,

for example, for pointwise or uniform convergence (cf. the end of Section 1.1).

One of them is L1 -convergence.

24 CHAPTER 1.

n=1 of integrable functions L1 -

converges to f (or converges in L1 ) if

Z

|fn − f | dµ → 0 as n → ∞.

implies a.e.-convergence, but these modes of convergence do not imply L1 -con-

vergence. The reader should keep in mind the following examples:

(i) fn = n−1 χ(0,n) ;

(ii) fn = χ(n,n+1) ;

(iii) fn = nχ[0,1/n] ;

(iv) f1 = χ[0,1] , f2 = χ[0,1/2] , f3 = χ[1/2,1] , f4 = χ[0,1/4] , f5 = χ[1/4,1/2] , and, in

general, fn = χ[j/2k ,(j+1)/2k ] , where n = 2k + j with 0 ≤ j < 2k .

In (i), (ii), and (iii), fn R→ 0 uniformly,

R pointwise, and a.e., respectively, but

fn 6→ 0 in L R 1 (in fact, |fn | dµ = fn dµ = 1 for all n). In (iv), fn → 0

in L1 since |fn | dµ = 2−k for 2k ≤ n < 2k+1 , but fn (x) does not converge

for any x ∈ [0, 1], since there are infinitely many n for which fn (x) = 0 and

infinitely many, for which fn (x) = 1. On the other hand, if fn → f a.e. and

|fn | ≤ g ∈ L1 for all n, then fn → f in L1 . This will be clear from the domi-

nated convergence theorem (see Theorem 1.3.2 below) since |fn − f | ≤ 2g. Also,

we will see below that if fn → f in L1 then some subsequence converges to f a.e.

most important results about convergence.

+

quence in L1 such that fj ≤ fj+1 for all j and f = supn fn then

Z Z

f dµ = lim fn dµ.

X n→∞ X

f dµ)∞

R

Proof: The limit of the increasing

R sequence

R ( X n n=1 (finite or infinite)

exists. Moreover by 1.3.2.(L1), X fn dµ ≤ X f dµ for all n, so

Z Z

lim fn dµ ≤ f dµ.

n→∞ X X

1.3. THE LEBESGUE INTEGRAL 25

To establish the reverse inequality, fix α ∈ (0, 1), let φ be a simple function with

0 ≤ φ ≤ f , and let En = {x : fn (x) ≥ αφ(x)}. Then (En )∞ n=1 is an increasing

sequence of measurable sets whose union is X, and we have

Z Z Z

fn dµ ≥ fn dµ ≥ α φ dµ (∀n ≥ 1).

X En En

R R

By 1.3.2.(L4) and by Proposition 1.1.5, lim En

φ dµ = X

φ dµ, and hence

n→∞

Z Z

lim fn dµ ≥ α φ dµ.

n→∞ X X

Since this is true for all α, 0 < α < 1, it remains true for α = 1:

Z Z

lim fn dµ ≥ φ dµ .

n→∞ X X

Using Lemma 1.3.1, we may take the supremum over all simple functions φ,

0 ≤ φ ≤ f . Thus Z Z

lim fn dµ ≥ f dµ. 2

n→∞ X X

Proofs of the following two corollaries of Theorem 1.3.1 are left to the reader.

+

P∞

Corollary 1.3.1 If (fn )∞

n=1 is a sequence in L1 and f = n=1 fn pointwise

then Z XZ

f dµ = fn dµ. 2

n

+ +

Corollary 1.3.2 If (fn )∞

n=1 is a sequence in L1 , f ∈ L1 , and fn ↑ f a.e., then

Z Z

fn dµ ↑ f dµ. 2

1.3.5.◦ The Fatou lemma. The condition in the previous subsection that

the sequence (fn )∞

n=1 is increasing can be omitted in the following way.

+

Lemma 1.3.2 (Fatou’s lemma) If (fn )∞n=1 is any sequence in L1 then

Z Z

lim inf fn dµ ≤ lim inf fn dµ .

n→∞ n→∞

26 CHAPTER 1.

n≥k

hence Z Z

inf fn dµ ≤ fj dµ (∀j ≥ k),

n≥k

hence Z Z

inf fn dµ ≤ inf fj dµ.

n≥k j≥k

Z Z Z

lim inf fn dµ = lim inf fn dµ ≤ lim inf fn dµ . 2

n→∞ k→∞ n≥k n→∞

+ +

Corollary 1.3.3 If (fn )∞

n=1 is a sequence in L1 , f ∈ L1 , and fn → f a.e., then

Z Z

f dµ ≤ lim inf fn dµ. 2

n→∞

following convergence theorem, which has many applications in PDEs, functional

analysis, operator theory, etc.

measurable, let fn be measurable for any n such that

Z Z

lim fn dµ = f dµ.

n→∞

f ∈ L1 . We have that g + fn ≥ 0 a.e. and g − fn ≥ 0 so, by Fatou’s lemma,

Z Z Z Z Z

g dµ + f dµ ≤ lim inf (g + fn ) dµ = g dµ + lim inf fn dµ,

n→∞ n→∞

1.3. THE LEBESGUE INTEGRAL 27

Z Z Z Z Z

g dµ − f dµ ≤ lim inf (g − fn ) dµ = g dµ − lim sup fn dµ.

n→∞ n→∞

Therefore Z Z Z

lim inf fn dµ ≥ f dµ ≥ lim sup fn dµ,

n→∞ n→∞

frequently useful, is convergence in measure. We say that a sequence (fn )∞

n=1 of

measurable functions on (X, M, µ) is Cauchy in measure if, for every ε > 0,

n=1 converges in measure to f if, for every ε > 0,

For example, the sequences (i), (iii), and (iv) above converge to zero in measure,

but (ii) is not Cauchy in measure.

Z Z

|fn − f | dµ ≥ |fn − f | dµ ≥ εµ(En,ε ),

En,ε

R

show.

Theorem 1.3.3 Suppose that (fn )∞ n=1 is Cauchy in measure. Then there is a

measurable function f such that fn → f in measure, and there is a subsequence

(fnj )j that converges to f a.e. Moreover, if fn → g in measure then g = f a.e.

28 CHAPTER 1.

n=1 such that if

P∞ −j

= 21−k , and if

S

j=k Ej then µ(Fk ) ≤ k=1 2

x 6∈ Fk we have for i ≥ j ≥ k

i−1

X i−1

X

|gj (x) − gi (x)| ≤ |gl+1 (x) − gl (x)| ≤ 2−l ≤ 21−j . (1.3.1)

l=j l=j

∞

\

F = Fk = lim sup Ej .

j

k=1

Then µ(F ) = 0, and if we set f (x) = lim gj (x) for x 6∈ F , and f (x) = 0 for

x ∈ F , then f is measurable and gj → f a.e. By (1.3.1), we have that

measure, because

1 1

{x : |fn (x) − f (x)| ≥ ε} ⊆ {x : |fn (x) − gj (x)| ≥ ε} ∪ {x : |gj (x) − f (x)| ≥ ε},

2 2

and the sets on the right both have small measure when n and j are large.

Likewise, if fn → g in measure

1 1

{x : |f (x) − g(x)| ≥ ε} ⊆ {x : |f (x) − fn (x)| ≥ ε} ∪ {x : |fn (x) − g(x)| ≥ ε}

2 2

for all n, hence µ({x : |f (x) − g(x)| ≥ ε}) = 0 for all ε > 0, and f = g a.e. 2

fnk → f a.e.

Proof: Let

En,ε = {x : |fn (x) − f (x)| ≥ ε}.

1.3. THE LEBESGUE INTEGRAL 29

Then Z Z

|fn − f | dµ ≥ |fn − f | dµ ≥ εµ(En,ε ),

En,ε

that fnk → f a.e. 2

Exercise 1.3.1 Check that the limit in Definition 1.3.1 exists and does not depend on the

choice of a sequence (gn )∞

n=1 .

Exercise 1.3.2 Prove the properties L1 − L4 of the Lebesgue integral from 1.3.2.

n=1 in 1.3.3.(i)-(iv).

Exercise 1.3.4 Let [a, b] be a compact interval in R and µ be a standard Borel measure on

[a, b]. Show that the Lebesgue integral from any continuous function f : [a, b] → R coincides

with the Riemann integral from f .

Exercise 1.3.5 Show that the condition “µ(X) < ∞” in Egoroff ’s theorem can be replaced

by “|fn | ≤ g for all n, where g ∈ L1 ”.

Exercise 1.3.6 Prove the dominated convergence theorem by using of the Egoroff theorem.

∗

Exercise 1.3.7 Let fn → f in measure and gn → g in measure. Show that

fn · gn → f · g

Z Z

f dµ ≤ lim inf fn dµ.

n→∞

30 CHAPTER 1.

Exercise 1.3.12 ∗∗ Let χAn → f in measure. Show that f is a.e. equal to the characteristic

function of a measurable set.

(a) Given a nonempty set Ξ ⊆ L+1 (R), show that

nZ o Z

inf ξ(t) dt : ξ ∈ Ξ ≤ f (t) dt

for every f ∈ co(Ξ), where co(Ξ) is the convex hull of Ξ in the vector space L1 (R), which

is, by the definition, the intersection of all convex sets containing Ξ.

(b) Construct an example of a nonempty set Θ ⊆ L+ 1 (R) such that

n Z o Z

inf ξ(t) dt : ξ ∈ Θ < f (t) dt

(c) Show that a nonempty set ∆ ⊆ L+1 (R) satisfying

n Z o Z

inf ξ(t) dt : ξ ∈ ∆ < f (t) dt

Rt

Exercise 1.3.14 Let f ∈ L1 (R) and F (t) := −∞

f (s)ds. Show that F is continuous. Com-

pare with Exercise 1.3.2.

Chapter 2

In this section we present the Caratheodory extension theorem which is the most

important result in the measure theory. By using of this theorem, we can con-

struct almost all important measures, in particular, the Lebesgue measure and

Lebesgue – Stieltjes Measures on R. Then we consider the product of measure

spaces and prove the Fubini theorem.

(or submeasure) on X is a function

ξ : P(X) → [0, ∞]

that satisfies:

(a) ξ(∅) = 0;

(b) ξ(A) ≤ ξ(B) if A ⊆ B;

!

∞

S ∞

P

(c) ξ Aj ≤ ξ(Aj ) for all sequences (Aj )j of subsets of X.

j=1 j=1

“elementary sets” on which a notion of measure (= length, mass, charge, or

volume) is defined (such as rectangles or cubes in Rn ) and then approximate

arbitrary sets from the outside by countable unions of members of G.

31

32 CHAPTER 2.

X ∈ G, and ρ(∅) = 0. For any A ⊆ X, define

(∞ ∞

)

X [

ξ(A) = ρ∗ (A) = inf ρ(Gj ) : Gj ∈ G and A ⊆ Gj . (2.1.1)

j=1 j=1

S

j=1 X, so ξ is well defined. Obviously

ξ(∅) = 0. To prove countable subadditivity, suppose {ASj∞}∞

j=1 ⊆ P(X) and ε > 0.

k ∞

For each j, there exists {Gj }k=1 ⊆ G such that Aj ⊆ k=1 Gkj and

∞

X

ρ(Gkj ) ≤ ξ(Aj ) + ε2−j .

k=1

S∞

Then if A = j=1 Aj , we have

∞

[ X X

A⊆ Gkj & ρ(Gkj ) ≤ ξ(Aj ) + ε,

j,k=1 j,k j

P

whence ξ(A) ≤ j=1

2.1.2.◦ The Caratheodory theorem. The principle step that leads from

outer measures to measures is following. Let ξ be an outer measure on X.

holds for any A and B. So, to prove that A is ξ-measurable, it suffices to prove

the reverse inequality, which is trivial if ξ(B) = ∞. Thus, we see that A is

ξ-measurable iff

2.1. THE EXTENSION OF MEASURE 33

X. Then the family Σ of all ξ-measurable sets is a σ-algebra, and the restriction

of ξ to Σ is a complete measure.

Proof: First, we observe that Σ is closed under complements, since the def-

inition of ξ-measurability of A is symmetric in A and Ac := X \ A. Next, if

A, B ∈ Σ and E ⊆ X,

But (A ∪ B) = (A ∩ B) ∪ (A ∩ B c ) ∪ (Ac ∩ B) so, by subadditivity,

and hence

ξ(E) ≥ ξ(E ∩ (A ∪ B)) + ξ(E ∩ (A ∪ B)c ).

It follows that A ∪ B ∈ Σ, so Σ is an algebra. Moreover, if A, B ∈ Σ and

A ∩ B = ∅,

so ξ is finitely additive on Σ.

To show that Σ is a σ-algebra, it suffices to show that Σ is closed under countable

disjoint unions. If (Aj )∞

j=1 is a sequence of disjoint sets in Σ, set

n

[ ∞

[

Bn = Aj & B = Aj .

j=1 j=1

so a simple induction shows that ξ(E ∩ Bn ) = nj=1 ξ(E ∩ Aj ). Therefore

P

n

X

ξ(E) = ξ(E ∩ Bn ) + ξ(E ∩ Bnc ) ≥ ξ(E ∩ Aj ) + ξ(E ∩ B c )

j=1

34 CHAPTER 2.

∞ ∞

!

X [

c

ξ(E) ≥ ξ(E ∩ Aj ) + ξ(E ∩ B ) ≥ ξ (E ∩ Aj ) + ξ(E ∩ B c )

j=1 j=1

Thus the inequalities in this last calculation

P∞ become equalities. It follows B ∈ Σ.

Taking E = B we have ξ(B) = 1 ξ(Aj ), so ξ is σ-additive on Σ. Finally, if

ξ(A) = 0 then we have for any E ⊆ X

Combination of Proposition 2.1.1 and Theorem 2.1.1 gives the following corollary

which is also called Caratheodory’s theorem.

[0, ∞] satisfy ρ(∅) = 0. Then the family Σ of all ρ∗ -measurable sets (where ρ∗

is given by (2.1.1)) is a σ-algebra, and the restriction of ρ∗ to Σ is a complete

measure. 2

X, and A is closed under finite intersections and complements. A function

ζ : A → [0, ∞] is called a premeasure if ζ(∅) = 0 and

∞

[ ∞

X

ζ( Aj ) = ζ(Aj )

j=1 j=1

S∞

for any disjoint sequence (Aj )j of elements of A such that j=1 Aj ∈ A.

ζ ∗ : P(X) → [0, ∞]

2.1. THE EXTENSION OF MEASURE 35

S∞

Suppose that A ∈ A, An ∈ A, and A ⊆ n=1 An . Then

n−1

[

Bn := A ∩ (An \ Aj ) ∈ A,

j=1

n=1 is disjoint. This implies

∞

X ∞

X

ζ(A) = ζ(Bn ) ≤ ζ(An ),

n=1 n=1

and therefore ζ(A) ≤ ζ ∗ (A) (here we used the monotonity of ζ). The reverse

inequality ζ ∗ (A) ≤ ζ(A) follows from the definition of ζ ∗ .

To show that every A ∈ A is ζ ∗ -measurable, take A ∈ A, Y ⊆ X, and ε > 0.

Then, by (2.1.1), there exists a sequence (An )∞

n=1 in A such that

∞

[ ∞

X

Y ⊆ An & ζ(An ) ≤ ζ ∗ (Y ) + ε.

n=1 n=1

S∞ S∞

Since ζ is additive on A, Y ∩ A ⊆ n=1 (An ∩ A), and Y ∩ (X \ A) ⊆ n=1 (An ∩

(X \ A)) then

∞

X ∞

X

∗

ζ (Y ) + ε ≥ ζ(An ∩ A) + ζ(An ∩ (X \ A)) ≥ ζ ∗ (Y ∩ A) + ζ ∗ (Y ∩ (X \ A)).

n=1 n=1

ζ ∗ (Y ) ≥ ζ ∗ (Y ∩ A) + ζ ∗ (Y ∩ (X \ A)) ≥ ζ ∗ (Y ).

Y ⊆ X is arbitrary, so A is ζ ∗ -measurable. 2

σ-algebra generated by A, then there exists a measure ζ̂ on Â such that ζ̂|A = ζ.

Moreover, if ζ is σ-finite, then ζ̂ is unique extension of ζ.

36 CHAPTER 2.

exists. We leave to the reader to show that measure ζ̂ on Â, which extends ζ

from A, is unique if the premeasure ζ is σ-finite. 2

most important application of Caratheodory’s theorem is the construction of

the Lebesgue measure on R. Take G as the set of all intervals [a, b], where

a, b ∈ R∪{−∞, +∞} and [a, b] = ∅ if a > b. Define the function ρ : G → R∪{∞}

by

ρ([a, b]) := b − a (∀a ≤ b) & ρ([a, b]) = 0 (∀a > b).

The function ρ has the obvious extension (which we denote also by ρ) to the

algebra A generated by all finite or infinite intervals, and this extension is a

premeasure on A.

The σ-algebra Σ given by Corollary 2.1.1 is called the the Lebesgue σ-algebra

in R, and the restriction of ρ∗ to Σ = Σ(R) is called the Lebesgue measure

on R and is denoted by µ. By Theorem 2.1.3, µ is the unique extension of ρ.

By the construction, B(R) ⊆ Σ(R). Hence the Lebesgue measure is a Borel

measure. It can be shown that B(R) 6= Σ(R) (see Exercise 2.1.8) and that the

Lebesgue measure can be obtained also as the completion of any Borel measure

ω such that

ω([a, b]) = b − a (∀a ≤ b).

The notion of the Lebesgue measure on R has the following very natural gener-

alization. Suppose that µ is a σ-finite Borel measure on R, and let

F (x) := µ((−∞, x]) (∀x ∈ R). (2.1.4)

Then F is increasing and right continuous (see Exercise 2.1.9). Moreover, if

b > a, (−∞, b] = (−∞, a] ∪ (a, b], so

µ((a, b]) = F (b) − F (a).

Our procedure used above can be to turn this process around and construct a

measure µ starting from an increasing, right-continuous function F . The special

case F (x) = x will yield the usual Lebesgue measure. As building blocks we can

use the left-open, right-closed intervals in R i.e. sets of the form (a, b] or (a, ∞)

or ∅, where −∞ ≤ a < b < ∞. We call such sets h-intervals. The family A

of all finite disjoint unions of h-intervals is an algebra, moreover, the σ-algebra

generated by A is the Borel algebra B(R). We omit the direct and routine proof

of the following elementary lemma.

2.1. THE EXTENSION OF MEASURE 37

if

(aj , bj ] (j = 1, . . . , n)

are disjoint h-intervals, let

n

! n

[ X

µ0 (aj , bj ] = [F (bj ) − F (aj )] ,

1 1

there is a unique Borel measure µF on R such that

Conversely, if µ is a Borel measure on R that is finite on all bounded Borel sets,

and we define

µ((0, x]) if x > 0,

F (x) = 0 if x = 0,

−µ((x, 0]) if x < 0,

S∞ iff F − G is constant, and that these

that F and G induce the same premeasure

premeasures are σ-finite (since R = −∞ (j, j + 1]). The first two assertions

follow now from Exercise 2.1.11. As for the last one, the monotonicity of µ

implies the monotonicity of F , and the continuity of µ from above and from

below implies the right continuity of F for x ≥ 0 and x < 0. It is evident that

µ = µF on A, and hence µ = µF on B(R) (accordingly to Exercise 2.1.11). 2

Lebesgue – Stieltjes measures possess some important and useful regularity prop-

erties. Let us fix a complete Lebesgue – Stieltjes measure µ on R associated to an

increasing, right continuous function F . We denote by Σµ the Lebesgue algebra

correspondent to µ. Thus, for any E ∈ Σµ ,

(∞ ∞

)

X [

µ(E) = inf [F (bj ) − F (aj )] : E ⊆ (aj , bj ]

j=1 j=1

38 CHAPTER 2.

(∞ ∞

)

X [

= inf µ((aj , bj ]) : E ⊆ (aj , bj ] .

j=1 j=1

Since B(R) ⊆ Σµ , we may replace in the second formula for µ(E) h-intervals by

open intervals, namely.

(∞ ∞

)

X [

µ(E) = inf µ((aj , bj )) : E ⊆ (aj , bj ) . 2

j=1 j=1

µ(E) = inf{µ(U ) : U ⊇ E and U is open}

= sup{µ(K) : K ⊆ E and K is compact}.

Proof: By Lemma 2.1.2, for any ε > 0, there exist intervals (aj , bj ) such that

∞

[ ∞

X

E⊆ (aj , bj ) & µ(E) ≤ µ((aj , bj )) + ε.

j=1 j=1

S∞

If U = j=1 (aj , bj ) then U is open, E ⊆ U , and µ(U ) ≤ µ(E) + ε. On the other

hand, µ(U ) ≥ µ(E) whenever E ⊆ U so the first equality is valid.

For the second one, suppose first that E is bounded. If E is closed then E is

compact and the equality is obvious. Otherwise, given ε > 0, we can choose an

open U , Ē \ E ⊆ U , such that µ(U ) ≤ µ(Ē \ E) + ε. Let K = Ē \ U . Then K

is compact, K ⊆ E, and

µ(K) = µ(E) − µ(E ∩ U ) = µ(E) − [µ(U ) − µ(U \ E)]

≥ µ(E) − µ(U ) + µ(Ē \ E) ≥ µ(E) − ε.

If E is unbounded, let Ej = E ∩ (j, j + 1]. By the preceding argument, for

any ε S> 0, there exist a compact Kj ⊆ Ej with µ(Kj ) ≥ µ(Ej ) − ε2−j . Let

Hn = j=nj=−n Kj . Then Hn is compact, Hn ⊆ E, and

j=n

[

µ(Hn ) ≥ µ( Ej ) − ε.

j=−n

Sj=n

Since µ(E) = lim µ( j=−n

n→∞

The proofs of the following two theorems are left to the reader as exercises.

2.1. THE EXTENSION OF MEASURE 39

(a) E ∈ Σµ ;

(b) E = V \ N1 , where V is a Gδ –set and µ(N1 ) = 0;

(c) E = H ∪ N2 , where H is an Fσ –set and µ(N2 ) = 0. 2

Theorem 2.1.7 If E ∈ Σµ and µ(E) < ∞ then, for every ε > 0, there is a set

A that is a finite union of open intervals such that µ(E4A) < ε.2

measure

Q spaces. In this subsection we show how to construct a product-measure

on Xα . First we define the family Ω of blocks:

α∈∆

Y

A(Aα1 , Aα2 , . . . , Aαn ) := Aα1 ×Aα2 ×· · ·×Aαn × Xα (Aαk ∈ Σαk );

α∈∆; α6=αk : k=1,...,n

Y

µ(A(Aα1 , Aα2 , . . . , Aαn )) := µα1 (Aα1 )·µα2 (Aα2 )·. . .·µαn (Aαn )· µα (Xα ).

α∈∆; α6=αk :k=1,...,n

by Ω. It is an exercise to show that µ is a premeasure on A.

to Theorem 2.1.3 is called the product measure of {µα }α∈∆ , and the triple

Y

( Xα , Σ, µ̂).

α∈∆

is called the N

product of measure spaces (X Nα , Σα , µα ). We denote the σ-

algebra Σ by α∈∆ Σα , and the measure µ̂ by α∈∆ µα .

This construction is essentially non-trivial only in the following two cases. The

first one is when card(∆) < ∞. The second one is when every µα is a probability

measure (i.e. µα (Xα ) = 1 for all α).

There are many interesting and important results about the product of measure

spaces. The mostly used one is the Fubini theorem about changing the order

40 CHAPTER 2.

x1 ∈ X1 , x2 ∈ X2 , we define

Ex1 := {x ∈ X2 : (x1 , x) ∈ E} & E x2 := {x ∈ X1 : (x, x2 ) ∈ E} .

Also, if f : X1 × X2 → R is a function, we define fx1 : X2 → R and f x2 : X1 → R

by

fx1 (x) := f (x1 , x) & f x2 (x) := f (x, x2 ) .

In this notations, for example, (χE )x1 = χEx1 and (χE )x2 = χE x2 .

Theorem 2.1.8 (Fubini’s theorem) Let µ1 , µ2 be σ-finite measures on (X1 , Σ1 )

and (X2 , Σ2 ),

(X1 × X2 , Σ1 ⊗ Σ2 , µ1 ⊗ µ2 ) = (X1 , Σ1 , µ1 ) × (X2 , Σ2 , µ2 ),

and let f ∈ L1 (X1 × X2 , Σ1 ⊗ Σ2 , µ1 ⊗ µ2 ). Then fx1 ∈ L1 (X2 , Σ2 , µ2 ) µ1 -a.e.,

and f x2 ∈ L1 (X1 , Σ1 , µ1 ) µ2 -a.e., and

Z Z Z Z Z

x2

f d(µ1 ⊗ µ2 ) = f dµ1 dµ2 = fx1 dµ2 dµ1 .

X1 ×X2 X2 X1 X1 X2

Lemma 2.1.3 Let (X1 , Σ1 , µ1 ) and (X2 , Σ2 , µ2 ) be measure spaces, E ∈ Σ1 ⊗Σ2 ,

and let f be a Σ1 ⊗ Σ2 -measurable function on X1 × X2 , then:

(a) Ex1 ∈ Σ2 for all x1 ∈ X1 and E x2 ∈ Σ1 for all x2 ∈ X2 ;

(b) fx1 is Σ2 -measurable and f x2 is Σ1 -measurable for all x1 ∈ X1 and x2 ∈ X2 .

Proof: Denote by A the collection of all A ⊆ X1 × X2 such that

Ax1 ∈ Σ2 & Ax2 ∈ Σ1 (∀ x1 ∈ X1 , x2 ∈ X2 ) .

The family A contains all rectangles. Thus, since

∞

[ ∞

[ ∞

[ ∞

[

x2

[ A n ] x1 = [An ]x1 , [ Bn ] = [Bn ]x2 (2.1.5)

n=1 n=1 n=1 n=1

and

[X1 × X2 \ A]x1 = X2 \ Ax1 , [X1 × X2 \ A]x2 = X1 \ Ax2 , (2.1.6)

A is a σ-algebra. So Σ1 ⊗ Σ2 ⊆ A, and (a) is proved.

Now the part (b) follows from (a) due to

fx−1

1

(A) = [f −1 (A)]x1 & [f x2 ]−1 (A) = [f −1 (A)]x2 (∀A ⊆ R) . 2 (2.1.7)

2.1. THE EXTENSION OF MEASURE 41

closed under countable increasing unions and countable decreasing intersections.

the reader.

by A coincides with the σ-algebra generated by A. 2

Then the functions x1 → µ2 (Ex1 ) and x2 → µ1 (E x2 ) are measurable on (X1 , Σ1 )

and (X2 , Σ2 ), and

Z Z

x2

µ1 ⊗ µ2 (E) = µ1 (E ) dµ2 = µ2 (Ex1 ) dµ1 . (2.1.8)

X2 X1

Proof: First we consider the case when µ1 and µ2 are finite. Let A be

the family of all E ∈ Σ1 ⊗ Σ2 for which (2.1.8) is true. If E = A × B, then

µ1 (E x2 ) = µ1 (A)χB (x2 ) and µ2 (Ex1 ) = µ2 (B)χA (x1 ), so E ∈ A. By additivity,

it follows that finite disjoint unions of rectangles are in A so, by Lemma 2.1.4,

it will suffice to show thatSA is a monotone class. If (En )∞ n=1 is an increasing

∞

sequence in A and E = n=1 En , then the function fn (x2 ) = µ1 ((En )x2 ) are

measurable and increase pointwise to f (y) = µ1 (E x2 ). Hence f is measurable

and, by the monotone convergence theorem,

Z Z

x2

µ1 (E ) dµ2 = lim µ1 ((En )x2 ) dµ2 = lim µ1 × µ2 (En ) = µ1 × µ2 (E).

X2 n→∞ X2 n→∞

R

T∞ n=1 is a

decreasing sequence in A and E = n=1 En , the function x2 → µ1 ((E1 )x2 ) is in

L1 (µ2 ) because µ1 ((E1 )x2 ) ≤ µ1 (X1 ) < ∞ and µ2 (X2 ) < ∞, so the dominated

convergence theorem can be applied to show that E ∈ A. Thus, A is a monotone

class, and the proof is complete for the case of finite measure spaces.

Finally, if µ1 and µ2 are σ-finite, we can write X1 × X2 as the union of an

increasing sequence (X1j ×X2j )∞ n=1 of rectangles of finite measure. If E ∈ Σ1 ⊗Σ2 ,

the preceding argument applies to E ∩ (X1j × X2j ) for each j gives us

Z Z

j j j

µ1 × µ2 (E ∩ (X1 × X2 )) = x2

µ1 (E ∩ X1 ) dµ2 = µ2 (Ex1 ∩ X2j ) dµ1 .

X2j X1j

The application of the monotone convergence theorem then yields the desired

result. 2

42 CHAPTER 2.

sure spaces, and f : X1 × X2 → R+ be a Σ1 ⊗ Σ2 -measurable function. Then the

functions

Z Z

fµ2 (x1 ) := fx1 dµ2 & fµ1 (x2 ) := f x2 dµ1

X2 X1

Z Z Z Z Z

x2

f dµ1 ⊗ µ2 = f dµ1 dµ2 = fx1 dµ2 dµ1 . (2.1.9)

X1 ×X2 X2 X1 X1 X2

this lemma follows from Lemma 2.1.5. Therefore, by linearity, it holds also

for nonnegative simple functions. If a nonnegative measurable function f is

arbitrary, there exists a sequence of nonnegative simple functions which increase

pointwise to f , say (fn )∞

n=1 . By the monotone convergence theorem,

Z Z Z

n

fµ2 dµ1 = lim fµ2 dµ1 = lim fn dµ1 ⊗ µ2 ,

X1 n→∞ X1 n→∞ X1 ×X2

and Z Z Z

fµ1 dµ2 = lim fµn1 dµ2 = lim fn dµ1 ⊗ µ2 ,

X2 n→∞ X2 n→∞ X1 ×X2

where Z Z

fµn2 (x1 ) := [fn ]x1 dµ2 , fµn1 (x2 ) := [fn ]x2 dµ1 .

X2 X1

Proof of Theorem 2.1.8: Since an R-valued function f is Lebesgue inte-

grable iff its positive f + and negative f − parts are integrable, it is sufficient to

prove the theorem only for nonnegative function f ∈ L1 (X1 × X2 , Σ, µ1 ⊗ µ2 ).

But this was exactly done in Lemma 2.1.6. 2

: α ∈ G} is a finite or countable family of intervals in

R such that [0, 1] ⊆ α∈G (aα , bα ) then α∈G |aα − bα | > 1.

2.1. THE EXTENSION OF MEASURE 43

Exercise 2.1.2 ∗ Show that the length of intervals in R is a premeasure on the subalgebra in

P(R) generated by all intervals.

Exercise 2.1.3 ∗ Give an example of an outer measure on P(N) which is not a premeasure

on any subalgebra A ⊆ P(N) of infinite cardinality.

Exercise 2.1.4 ∗∗ Give an example of an algebra A in P(N) which is not a σ-algebra, and

an example of a function ρ : A → [0, 1], such that ρ(∅) = 0, and ρ(N) = 1, for which the outer

measure ρ∗ constructed in Proposition 2.1.1 is identically equal to zero.

∗∗

S

Exercise 2.1.6 Let G be a set of half-open intervals in R. Prove that g∈G g is Lebesgue

measurable.

Exercise 2.1.7 Show that the Lebesgue measure can be obtained as the completion of any

Borel measure ω such that ω([a, b]) = b − a (∀a ≤ b).

Exercise 2.1.8 ∗ Prove that card(B(R)) < card(Σ(R)). Remark that in Exercise 2.2.6 we

will see that Σ(R) 6= P(R).

Exercise 2.1.9 Show that the distribution function F of the Borel measure µ given in

(2.1.4) is increasing and right continuous.

∗

Exercise 2.1.10 Prove Lemma 2.1.1.

let Ω be the σ-algebra generated by A. Show that there exists a unique extension of µ0 to a

measure µ on Ω.

∗∗

Exercise 2.1.12 Prove Theorem 2.1.7.

∗∗

Exercise 2.1.13 Show that the function µ defined in the subsection 2.1.5 is a premeasure

on the algebra A.

Q and R is taking with the Lebesgue measure then

the measure µ̂ constructed in 2.1.5 on R does not satisfy 1.1.3.(d).

α∈∆

44 CHAPTER 2.

Exercise 2.1.17 ∗∗ Prove the Steinhaus theorem: for any Lebesgue measurable set A ⊆ R

such that µ(A) > 0 there exist nonempty open intervals I ⊆ A − A, J ⊆ A + A. Show that the

conclusion of the theorem is true for the standard Cantor set in spite of it has measure zero.

bounded on a Lebesgue measurable set A ⊆ R, µ(A) > 0. Show that f is linear if f is bounded

on a standard Cantor set. Show that f is linear if f is measurable on a nontrivial interval.

Show that f is not Lebesgue measurable on any nontrivial interval if f is discontinuos at least

at one point.

Exercise 2.1.19 ∗∗ Let A, B be Lebesgue measurable subsets of Rn such that µ(A) > 0 and

µ(B) > 0. Prove that

µ({x ∈ Rn : µ(A ∩ (B − x)) > 0}) > 0.

where A and B are Lebesgue measurable subsets of [0, 1]. Let ζ : A → R be the unique additive

extension of the function defined on rectangles by the formula:

ζ(A × B) = µ(A ∩ B) ,

Exercise 2.1.21 Show that the statement of Lemma 2.1.6 may fail without the positivity of

the function f .

In this section, we study Rn and functions from Rn to R from the point of view

of the Lebesgue measure and Lebesgue integration. All results presented below

possess obvious C-valued analogs. Then we define and study Cantor sets which

are very interesting from the point of view of the set topology and the measure

theory. Cantor sets are closed Borel nowhere dense subsets of the interval [0, 1]

or, more generally, of a Hausdorff space. The main advantage of Cantor sets is

2.2. LEBESGUE MEASURE AND INTEGRAL IN RN 45

Rn is the completion of the product of the Lebesgue measure on R according to

Definition 2.1.3.

The domain Σn of µn (of course, B(Rn ) ⊆ Σn ) is the class of Lebesgue mea-

surable sets in Rn . We write µ for µn and

Z Z

f (x) dx := f dµ.

We extend

Qn some of the results of previous section to the n-dimensional case. If

n

E = 1 Ej is a block in R , we call sets Ej ⊆ R the sides of the block E.

(a) µ(E) = inf{µ(U ) : E ⊆ U, U open} = sup{µ(K) : K ⊆ E, K compact};

(b) E = A1 ∪ N1 = A2 \ N2 , where A1 is an Fσ set, A2 is a Gδ set, and

µ(N1 ) = µ(N2 ) = 0;

(c) If µ(E) < ∞ then, for any ε > 0, there is a finite family {Rj }N

j=1 of disjoint

SN

blocks, whose sides are intervals such that µ(E4 j=1 Rj ) < ε.

∞

countable family {Tj }∞

j=1 of blocks such that E ⊆ j=1 Tj and

∞

X

µ(Tj ) ≤ µ(E) + ε.

j=1

Uj ⊇ Fj whose sides are open sets such that µ(Uj ) < µ(Tj )+ε2−j . If U = ∞

j=1 Uj

then U is open and

X∞

µ(U ) ≤ µ(Uj ) ≤ µ(E) + 2ε.

j=1

This proves the first equation in part (a). The second equation and part (b)

follow as in the proofs of Theorems 2.1.6 and 2.1.7.

46 CHAPTER 2.

Next, if µ(E) < ∞ then µ(Uj ) < ∞ for all j. Since the sides of Uj are countable

unions of open intervals, by taking suitable finite subunions, we obtain blocks

Vj ⊆ Uj whose sides are finite unions of intervals such that µ(Vj ) ≥ µ(Uj )−ε2−j .

If N is sufficiently large, we have

N

! N

! ∞

!

[ [ [

µ E\ Vj ≤ µ Uj \ Vj + µ Uj < 2ε

j=1 j=1 j=N +1

and ! ∞

N

!

[ [

µ Vj \ E ≤µ Uj \ E < ε,

j=1 j=1

so µ(E4 N

S SN

j=1 Vj ) < 3ε. Since j=1 Vj can be expressed as a finite disjoint union

of rectangles whose sides are intervals, we have proved (c). 2

measure in Rn . The set M(Rn , µ) of all real µ-measurable functions on Rn

is a real vector space (addition and scalar multiplication are pointwise). By

L1 (Rn , µ) we denote its subspace of all Lebesgue integrable functions (with finite

integral). Now write f ≈ g for f and g in M(Rn , µ), whenever f and g differ only

on a µ-null set (a set of measure zero). It is easily seen that ≈ is an equivalence

relation. Let L0 = L0 (Rn , µ) be the set of equivalence classes of functions in

M(Rn , µ). We denote the equivalence classes of f, g, . . . by [f ], [g], . . .. The set

L0 becomes a real vector space by defining [f ] + [g] = [f + g] and α[f ] = [αf ] for

a real α. Observe that these definitions do not depend on the choice of f and g

in their equivalence classes. The same is true for the partial order in L0 , if we

define [f ] ≤ [g] to mean f (x) ≤ g(x) for all x ∈ Rn except a null set. In practice,

the elements of L0 = L0 (Rn , µ) are usually denoted by f, g, . . . and treated as if

they were functions instead of equivalence classes of functions.

Theorem

PN 2.2.2 If f ∈ L1 (µ) and ε > 0, there is a simple R function φ =

α χ

j=1 j Rj , where each Rj is a product of intervals such that |f − φ| dµ < ε,

and

R there is a continuous function g vanishing outside of a bounded set such that

|f − g| dµ < ε.

f by simple functions in L1 -norm. Then use Theorem 2.2.1 to approximate a

simple function by a function φ of the desired form. Finally, use the Urysohn

Lemma to approximate such φ by a continuous function. 2

2.2. LEBESGUE MEASURE AND INTEGRAL IN RN 47

let a ∈ Rn . Define the shift τa : Rn → Rn by τa (x) = x + a.

(a) If E ∈ Ln then τa (E) ∈ Ln and µ(τa (E)) = µ(E);

(b) If f : Rn → R is Lebesgue measurable then so is f ◦ τa . Moreover, if either

f ≥ 0 or f ∈ L1 (µ) then

Z Z

(f ◦ τa ) dµ = f dµ.

Proof: Since τa and its inverse τ−a are continuous, they preserve the class of

Borel sets. The formula µ(τa (E)) = µ(E) follows easily from the trivial one-

dimensional variant of this result if E is a block. For a general Borel set E, the

formula µ(τa (E)) = µ(E) follows from the previous step, since µ is determined

by its action on blocks. Assertion (a) now follows immediately.

If f is Lebesgue measurable and B is a Borel set in R, we have f −1 (B) = E ∪ N ,

where E is Borel and µ(N ) = 0. But τa−1 (E) is Borel and µ(τa−1 (N )) = 0, so

(f ◦ τa )−1 (B) ∈ Σn

Z Z

(f ◦ τa ) dµ = f dµ

reduces to the equality µ(τ−a (E)) = µ(E) when f = χE . It is true for simple

functions by linearity, and hence for nonnegative measurable functions by the

definition of integral. Taking positive and negative parts of real and imaginary

parts, we obtain the result for f ∈ L1 (µ). 2

2.2.3.◦ The Lusin theorem. This theorem says that any Lebesgue mea-

surable function on Rn can be approximated by a (partially defined) continuous

function. More precisely.

Rn and ε > 0 then there exist a measurable set A ⊆ Rn such that µ(Rn \ A) ≤ ε

and the restriction of f onto A is continuous.

48 CHAPTER 2.

Proof: First, assume that f vanishes outside of some Ik = [−k, k]n . There

exists a sequence (ψm )m of simple functions vanishing outside Ik such that ψm →

f pointwise. By Egoroff’s theorem, there exist G ⊆ Ik such that µ(G) > (2k)n −

ε/2 and ψk → f uniformly on G. By Theorem 2.2.1, we can find for each m a

compact Cm ⊆ G such that µ(Cm \ G) < 2−m−1 ε and ψk is continuous on Ck .

Take C = ∩∞ m=1 Cm , then

C. Then ψm |C → ψ, which is continuous on C, and since ψm → f pointwise

then f |C is continuous.

In the general case when f is a Lebesgue measurable function on Rn we denote

the set (−k, k)n by Jk . As it was shown, for any k, there exists Rk ∈ Σn such

that f |Rk is continuous, Rk ⊆ Ik , and µ(Ik \ Rk ) < 2−k ε. Denote

Ak := (Jk \ Ik−1 ) ∩ Rk ,

k=1 Ak is continuous and

µ(Rn \ A) < ε. 2

Corollary 2.2.1 If f ∈ L1 (Rn ) and ε > 0 then there exists a continuous func-

tion g : Rn → R such that

Z

|f − g| dµ ≤ ε. 2

Rn

∞

X

x= xj 3−j , where xj ∈ {0, 1, 2}.

j=1

This expansion is unique unless x is of the form m · 3−k for some integers m, k;

in which case x has two expansions: one with xj = 0 for j > k and one with

xj = 2 for j > k. Assuming m is not divisible by 3, one of these expansions will

have xk = 1 and the other will have xk = 0 or 2. If we agree always to use the

latter expansion, we see that

x1 = 1 ⇔ x ∈ (1/3, 2/3),

2.2. LEBESGUE MEASURE AND INTEGRAL IN RN 49

and so forth. It will also be useful to observe that if

∞

X ∞

X

−j

x= xj 3 & y= yj 3−j ,

j=1 j=1

then x < y iff there exists n such that xn < yn and xj = yj for 1 ≤ j < n.

Definition 2.2.1 The standard Cantor set C is the set of all x ∈ [0, 1] having

a base-3 expansion x = ∞ −j

P

x

j=1 j 3 with xj 6= 1 for all j.

T∞

Thus, C = n=1 ∆n , where

only connected subsets of C are single points). Moreover, C has no isolated

points. These simple properties of C we leave to the reader as an exercise.

properties of C are summarized as follows:

Proposition 2.2.1 Let C be the standard Cantor set, then C is a Borel set

such that

µ(C) = 0 & card(C) = c.

intervals of length 19 , and so forth. Thus,

∞

X 2j 1 1

µ(C) = 1 − j+1

=1− · = 0.

j=0

3 3 1 − (2/3)

P∞

Suppose x ∈ C, so that x = j=1 xj 3−j , where xj = 0 or 2 for all j. Let

∞

X

f (x) = yj 2−j , (2.2.1)

j=1

50 CHAPTER 2.

where yj = xj /2. The series defining f (x) is the base-2 expansion of a number

in [0, 1], and any number in [0, 1] can be obtained in this way. Hence f maps C

onto [0, 1] and card(C) is continuum. 2

set which is starting with [0, 1] and successively removing open middle thirds of

intervals has an obvious generalization. If I is a bounded interval and α ∈ (0, 1),

let us call the open interval with the same midpoint as I, and length equal to α

times the length of I the “open middle αth” of I. If (αj )∞ j=1 is any sequence of

numbers in (0, 1) then we define a decreasing sequence (∆j )∞ j=1 of closed sets as

follows: ∆0 = [0, 1], and ∆j is obtained by removing the open middle αj th from

each of the intervals that make up Kj−1 . The resulting limiting set

∞

\

K= ∆j

j=1

is called a generalized Cantor set. Generalized Cantor sets possess all prop-

erties of the standard Cantor set C, but they do not have always the Lebesgue

measure zero. As for their Lebesgue measure, clearly

µ(∆j ) = (1 − αj )µ(∆j−1 ),

so

∞

Y

µ(K) = (1 − αj ).

j=1

If the αj are all equal to a fixed α ∈ (0, 1), we have µ(K) = 0. However, if

αj → 0 rapidly enough, µ(K) will be strictly positive and, for any β ∈ [0, 1),

one can choose αj so that µ(K) = β.

2.2.7.◦ Cantor functions. The map f : C → [0, 1] given by (3.1.1) has the

following property.

If x, y ∈ C, x < y, then f (x) < f (y) unless x and y are endpoints of one of the

intervals removed from [0, 1] in obtaining C (in this case, f (x) = m·2−k for some

nonnegative integers m, k; and f (x) and f (y) are the two base-2 expansions of

this number).

2.2. LEBESGUE MEASURE AND INTEGRAL IN RN 51

on each interval removed from C. The map fˆ, which is obviously increasing and

continuous, is called the standard Cantor function. This notion can be

naturally extended to a generalized Cantor function by using of the notion

of the generalized Cantor set.

2.2.8.◦ Applications of Cantor sets and functions in constructing of

counterexamples. Generalized Cantor sets are examples of nowhere dense

subsets of [0, 1] with Lebesgue measure 1 − ε, where ε > 0 is arbitrarily. Let Ck

be a generalized Cantor set such that µ(Ck ) > 1 − k1 , then A = ∞

S

k=1 k is a

A

set of the first category (i.e. the countable union of nowhere dense sets) and

µ(A) = 1. By the Baire theorem, [0, 1] is a set of the second category (i.e.

the set which is not of the first category) as a complete metric space. Therefore,

[0, 1] \ A is an example of a dense subset of [0, 1] of the second category of

Lebesgue measure zero.

By addition and multiplication, we define a Cantor like set K ⊆ [a, b] in an

interval [a, b] as:

K := a + (b − a) · G,

where G is a some generalized Cantor set. The similar idea is used in the

definition of a Cantor like function on an interval [a, b]. Now it is obvious

how (with the help of Cantor like sets) to construct an example of a dense subset

D ⊆ R of the second category of Lebesgue measure zero.

Cantor like functions give us the following quite simple construction of a con-

tinuous function f : R → [0, 1] which is nowhere differentiable. Let {an }n be a

countable dense subset of R, and suppose that an 6= an+1 for all n. For each n,

take a Cantor like function fn on the interval [an , an+1 ], then the function

∞

X

f := 2−n fn

j=1

∗

Exercise 2.2.1 Show that the Lebesgue measure in Rn is separable.

∗

Exercise 2.2.2 Prove Corollary 2.2.1.

52 CHAPTER 2.

∗

Exercise 2.2.3 Show that the Lebesgue measure in Rn is rotation invariant.

Exercise 2.2.4 Show that the family of all maps from Rn to Rn preserving the Lebesgue

measure in Rn is a group.

equal a.e. to any affine transformation of R and S preserves the Lebesgue measure in Rn .

Can such a transformation be continuous?

Exercise 2.2.6 ∗ Let Γ be a unit circle {λ ∈ C : |λ| = 1} endowed with the Lebesgue measure.

Then any λ ∈ Γ is of the form ei 2π α , where α ∈ [0, 1).

(a) Show that ≈ defined below is an equivalence relation on Γ:

ei 2π α1 ≈ ei 2π α1 if α1 − α2 ∈ Q .

S

(b) Let Γ = κ Γκ be a representation of Γ as the union of equivalence classes with respect

to ≈ . By using of the axiom of choice, define a set Ω ⊆ Γ such that |Ω ∩ Γκ | = 1 for any κ.

Let for any α ∈ R

Ωα := {ei 2π α ω : ω ∈ Ω}.

Show that, for any two rationals r1 6= r2 from [0, 1), Ωr1 ∩ Ωr2 = ∅, and

[

Γ= Ωr .

r∈Q ∩[0,1)

(d) Construct non-measurable subsets of [0, 1], R, and Rn .

Exercise 2.2.7 Show that any generalized Cantor set is compact, nowhere dense, totally dis-

connected, and has no isolated points.

Exercise 2.2.8 ∗ Show that for any β ∈ [0, 1) there is a generalized Cantor set K ⊆ [0, 1]

such that µ(K) = β.

Exercise 2.2.9 ∗ Give an example of a subset in [0, 1] which is of the second category and

has Lebesgue measure one.

Exercise 2.2.10 ∗ Give an algorithm for constructing of a generalized Cantor function and

show that it is continuous.

Exercise 2.2.11 ∗∗ Construct a function f : [0, 1] → [0, 1] such that f 0 = 0 a.e. and f is

constant on no nonempty subinterval of [0, 1].

2.2. LEBESGUE MEASURE AND INTEGRAL IN RN 53

Exercise 2.2.12 ∗ Give an example of a set D ⊆ Rn of Lebesgue measure zero such that

D ∩ U is of the second category for any nonempty open U ⊆ Rn .

and of Lebesgue measure zero.

∗∗∗

Exercise 2.2.14 Construct a Borel subset A ⊆ R such that for each interval [a, b], where

a < b:

µ(A ∩ [a, b]) > 0 & µ((R \ A) ∩ [a, b]) > 0.

Exercise 2.2.15 ∗∗∗ Construct a sequence (Ak )∞ k=1 of pairwise disjoint Borel subsets Ak ⊆ R

such that for each interval [a, b], a < b, and k ∈ N µ(Ak ∩ [a, b]) > 0.

Exercise 2.2.16 ∗∗∗ Construct a sequence (Ak )k∈N of pairwise disjoint Borel subsets Ak ⊆

Rn such that, for each rectangle

Rb

is finite everywhere and a f dµ = ∞ for all a < b.

Exercise 2.2.18 ∗∗∗ Construct a sequence (fn )∞n=1 of pairwise disjoint nonnegative Lebesgue

measurable functions on R such that each fn is finite everywhere and

Z b

fn dµ = ∞

a

∗∗

Exercise 2.2.19 Let f ∈ L1 (R, µ) such that for every open U ⊆ R

Z Z

f dµ = f dµ.

U Ū

54 CHAPTER 2.

Chapter 3

In this section, we prove the Radon – Nikodym theorem and present several its

applications, in particular, the Hahn decomposition theorem.

space and let f : X → R be a nonnegative integrable function. Then µf defined

by Z

µf (A) = f (x) dµ (∀A ∈ A)

A

is a finite measure accordingly to 1.3.2 L4. There is a converse of the last

property. Namely, the following theorem is of great importance. We give its

direct proof accordingly to A. Schep [10].

measures on (X, B). Then there exist D ∈ B with µ(D) = 0 and a nonnegative

µ-integrable function f0 such that

Z

ν(E) = ν(E ∩ D) + f0 dµ (∀E ∈ B) .

E

on B. Then there exists a measurable function f0 , 0 ≤ f0 ≤ 1, such that

Z

ν(E) = f0 dµ (∀E ∈ B) .

E

55

56 CHAPTER 3.

Proof: Let

Z

H = {f : f is measurable , ν(E) ≥ f dµ for all E ∈ B}.

E

max{f1 , f2 } ∈ H. Indeed, if A = {x : f1 (x) ≥ f2 (x)} then

Z Z Z

max{f1 , f2 } dµ = f1 dµ + f2 dµ ≤ ν(E ∩ A) + ν(E ∩ Ac ) = ν(E).

E E∩A E∩Ac

Let nZ o

M := sup f dµ : f ∈ H .

X

Then 0 ≤ M < ∞, so there exist sequence (fn )∞ n=1 ⊆ H with fn ↑ such that

−1

R

f dµ > M − n . Let f0 = lim fn then f0 is a measurable function

X n R taking

values in [0,R 1]. By the monotone convergence theorem, f0 ∈ H and X f0 dµ ≥

M . Hence X f0 dµ = M .

R

To complete the proof, we show that ν(E) = E f0 dµ for all E ∈ B.

If not, there exists E ∈ B satisfying

Z

ν(E) > f0 dµ .

E

Z Z Z

ν(E0 ) + ν(E1 ) > f0 dµ = f0 dµ + µ(E1 ) ≥ f0 dµ + ν(E1 )

E E0 E0

R

that ν(E0 ) > E0 f0 dµ. Thus we may assume that f0 (x) < 1 for all x ∈ E

(otherwise, we replace E with E0 ). Let Fn := {x ∈ E : f0 (x) < 1 − n−1 }. Then

Fn ↑ E, and ν(Fn ) → ν(E). Therefore, there exists n0 such that

Z

ν(Fn0 ) > (f0 + n−1

0 χFn0 ) dµ .

Fn0

0 χF ∈ H for some measurable F ⊆ Fn0 , µ(F ) > 0.

If not, then every measurableRsubset F of Fn0 with Rpositive µ-measure contains

a measurable subset G with G (f0 + n−1 −1

0 χF ) dµ = G (f0 + n0 χG ) dµ > ν(G).

Denote this property by P, namely,

Z

A ∈ P ⇔ A ∈ B , A ⊆ Fn0 & (f0 + n−1

0 χA ) dµ > ν(A) .

A

3.1. THE RADON – NIKODYM THEOREM 57

subset of Fn0 of non-zero measure contains a subset of non-zero measure with

the property P, and P is closed under at most countable unions of pairwise

disjoint families. Therefore by Theorem 1.1.2, Fn0 ∈ P, and

Z

ν(Fn0 ) > (f0 + n−1

0 χFn0 ) dµ > ν(Fn0 ),

Fn0

0 χF ∈ H for some measurable subset F

of Fn0 with a positive µ-measure. However,

Z

(f0 + n−1 −1

0 χF ) dµ = M + n0 µ(F ) > M .

f0 dµ for all E ∈ B. 2

R

This contradiction yields ν(E) = E

there exists a Lebesgue integrable

R g : X → [0, 1], such that ν(E) = E g dλ for

all E in B. Then

R µ(E) = E

(1 − g) dλ for all E ∈ B. Let D = {x : g(x) = 1},

then µ(D) = D 0 dλ = 0. Now, the equality

Z Z

ν(E) = g dν + g dµ

E E

implies Z Z

(1 − g) dν = g dµ

E E

R R

for all E ∈R B. Hence X φ(1R − g) dν = X φg dµ for all nonnegative simple φ

and, thus, X f (1 − g) dν = X f g dµ for all nonnegative measurable f . Taking

f = (1 + g + · · · + g n )χE , we have

Z Z

(1 − g ) dν = (1 + g + · · · + g n )g dµ

n+1

E E

for all E in B and all n ≥ 1. Since 0 ≤ g(x) < 1 on Dc , it follows from the

monotone convergence theorem that

Z Z

c n+1

ν(E ∩ D ) = lim (1 − g ) dν = lim (1 + g + · · · + g n )g dµ

n→∞ E∩Dc n→∞ E∩Dc

Z Z

= g(1 − g)−1 dµ = f0 dµ,

E∩Dc E

58 CHAPTER 3.

In some textbooks the Radon – Nikodym theorem is given in a slightly different

form. We need the following definition.

called µ-continuous if ν(A) = 0 for every A ∈ A such that µ(A) = 0. In this

case, we write ν << µ.

Theorem 3.1.2 Let ν and µ be σ-finite signed measures on (X, B), let µ be

positive

R and ν << µ. Then there exists a locally µ-integrable function f (i.e.

A

f dµ < ∞ for every A ∈ B, µ(A) < ∞) such that

Z

ν(E) = f dµ (∀E ∈ B) . 2

E

∂ν

respect to µ and denoted by ∂µ .

important applications of the Radon – Nikodym theorem. First one is the proof

of the Hahn decomposition theorem in the case of a finite signed measure. We

need the following definition.

called a positive set for µ if, for any B ∈ A such that B ⊆ P , µ(B) ≥ 0. A

set N ∈ A is called a negative set for µ if, for any B ∈ A such that B ⊆ N ,

µ(B) ≤ 0.

sure on (X, A), there exist a positive set P and a negative set N for ν such that

P ∪ N = X and P ∩ N = ∅.

Here we give a simple proof of this theorem based on Theorem 3.1.2 in the case

of finite measure ν.

3.1. THE RADON – NIKODYM THEOREM 59

and ν− are |ν|-continuous measures, where |ν| = ν+ + ν− . Applying Theorem

3.1.2 to them gives us two functions f1 , f2 ∈ L1 (|ν|) such that

Z Z

ν+ (E) = f1 d|ν| , ν− (E) = f2 d|ν| (∀E ∈ A).

E E

definition of one of the most important classes of Markov operators.

A transformation τ : Ω → Ω is called measurable if τ −1 (A) ∈ Σ for all A ∈ Σ.

A measurable transformation τ : Ω → Ω is called nonsingular if µ(τ −1 (A)) = 0

for all A ∈ Σ such that µ(A) = 0.

Let τ be a nonsingular transformation and let f ∈ L1 (µ). Then the function

ν : Σ → R, Z

ν(E) := f dµ,

τ −1 (E)

theorem, there exists Pf ∈ L1 (µ) such that

Z Z

P f dµ = f dµ (∀A ∈ Σ).

A τ −1 (A)

itself. This operator is called the Frobenius – Perron operator corresponding

to τ . The elementary properties of Frobenius – Perron operators are collected

in Exercises 3.1.10 and 3.1.13.

Z

|ν|(A) = sup{| f d|ν| | : |f | ≤ 1}

A

60 CHAPTER 3.

Exercise 3.1.2 ∗∗∗ Let ν be a σ-finite signed measure on (X, Σ), which is µ-continuous for

another σ-finite measure µ on (X, Σ). Show that

Z

∂ν

|ν|(A) := dµ (∀A ∈ Σ).

A ∂µ

Exercise 3.1.3 Show that a signed measure ν is µ-continuous iff, for any decreasing sequence

of measurable sets (An )∞

n=1 , µ(An ) → 0 implies ν(An ) → 0.

Exercise 3.1.4 ∗ Let ν be a finite signed measure and let µ be a positive measure on (X, Σ).

Show that ν is µ-continuous iff, for any ε > 0, there exists δ > 0 such that |ν(A)| ≤ ε whenever

µ(A) ≤ δ. Give an example which shows that this assertion may fail if ν is not finite.

Exercise 3.1.5 Let ν and µ be σ-finite positive measures and let ν << µ. Show that if µ is

separable then ν is also separable.

Exercise 3.1.6 Let (γλ )λ∈Λ be a countable family of signed measures of bounded variation

on (X, Σ). Show that there exists a measure γ on (X, Σ) such that every γλ is γ-continuous,

and γ ∧ |γλ | > 0 for any λ ∈ Λ.

Exercise 3.1.7 Obtain the Hahn decomposition theorem for σ-finite signed measure as a

corollary of this theorem for finite signed measure.

∗

Exercise 3.1.8 Prove the Hahn decomposition theorem for arbitrary signed measure.

Exercise 3.1.9 Obtain the Jordan decomposition theorem as a corollary of the Hahn decom-

position theorem.

corresponding Frobenius – Perron operator PS : L1 (µ) → L1 (µ). Show that:

(a) PS is well defined;

(b) PS is a linear operator;

(c) PS preserves the L1 -norm of any nonnegative f ∈ L1 (µ).

Exercise 3.1.11 Let S be a nonsingular transformation of (X, Σ, µ). Show that S n is non-

singular transformation for any nonnegative integer n and that PS n = PSn for n ≥ 0.

Exercise 3.1.12 ∗∗ Let S be a transformation of [0, 1] with the Lebesgue measure. Find the

Frobenius – Perron operator if:

(a) S(x) = 4x(1 − x);

(b) S(x) = 4x2 (1 − x2 );

(c) S(x) = sin πx;

(d) S(x) = tan(x + 1).

3.2. LP -SPACES 61

Exercise 3.1.13 ∗ Let S be a nonsingular transformation of (X, Σ, µ) and let PS be the corre-

sponding Frobenius – Perron operator PS : L1 (µ) → L1 (µ). Prove that, for every nonnegative

f, g ∈ L1 (µ), the condition supp(f ) ⊆ supp(g) implies supp(PS f ) ⊆ supp(PS g) a.e., where

supp(ψ) := {x : ψ(x) 6= 0} for ψ ∈ L1 (µ), and supp(f ) is defined for f ∈ L1 as follows:

for any ψ ∈ [f ].

Exercise 3.1.14 ∗∗ In notations of Exercise 2.1.20, show that the unique extension ζ of the

premeasure ζ (which exists due to Caratheodory theorem) to the product σ-algebra Σ([0, 1]) ×

Σ([0, 1])) is not µ×µ-continuous. Although the premeasure ζ on the subalgebra A ⊂ Σ([0, 1])×

Σ([0, 1])) generated by all rectangles with measurable sides is µ × µ-continuous in the following

sense:

µ × µ(W ) = 0 ⇒ ζ(W ) = 0 (∀ W ∈ A) .

3.2 Lp -Spaces

Here we present basic results about Lp -spaces. We assume in this section that

all measurable functions are C-valued and all linear spaces are complex.

p be a fixed real number 0 ≤ p < ∞. We denote by Lp = Lp (X, A, µ) the set of

all measurable functions f : X → C such that

Z

|f |p dµ < ∞.

Z p1

p

kf kp := |f | dµ .

where

U (f, ε) := {g ∈ Lp : kf − gkp < ε}.

62 CHAPTER 3.

Here we don’t give the proof of this result. Below, in the next subsection, we

state the important case by showing that if 1 ≤ p < ∞ then Lp is a linear space

and the function k · kp is a seminorm.

The most popular examples of Lp -spaces are: Lp [0, 1] and Lp (R), where we

consider the Lebesgue measure on [0, 1] and on R.

Another type of examples is following. Let X be a nonempty set, let A = P(X)

be the power set of X (i.e. the σ-algebra of all subsets of X), and let µ be the

counting measure on X. Every function f : X → C is measurable. A commonly

used notation of Lp (X, A, µ) in this P

case is `p (X). It is easy to verify that a

function f : X → C is in `p (X) iff x∈X |f (x)|p < ∞, in the sense that the

finite subsumes have a finite upper bound.

The choices X = N and X = Z are of a special interest; these yield the space

of absolutely p-summable sequences (resp., bilateral sequences). If X = N then

we denote Lp (N) by `p .

In the case p = ∞, we cannot directly generalize the definition of our function

k · kp , and we treat this case as follow. Set L∞ = L∞ (X, A, µ), the set of all

measurable functions f : X → C such that there exists a constant M ∈ R,

|f |(x) ≤ M a.e.

It is obvious that L∞ (X, A, µ) is a topological linear space for the topology given

by the seminorm k · k∞ defined as

The main examples of L∞ -spaces are L∞ [0, 1], L∞ (R), and `∞ , which are de-

fined similarly to Lp [0, 1], Lp (R), and `p .

aλ b1−λ ≤ λa + (1 − λ)b,

3.2. LP -SPACES 63

setting t = a/b, we are reduced to showing that tλ ≤ λt + (1 − λ) with equality

iff t = 1. The derivative f 0 (t) = λtλ−1 − λ of the function f (t) = tλ − λt satisfies:

f 0 (t) > 0 if t < 1; f 0 (1) = 0; f 0 (t) < 0 if t > 1. Then f is strictly increasing

for t < 1 and strictly decreasing for t > 1, so its maximum value, namely 1 − λ,

occurs at t = 1. 2

p

If p > 1, we define q = p−1

; thus q > 0 and satisfies p−1 +q −1 = 1, i.e. p+q = pq.

The following inequality which called the Elementary Young Inequality

αp β q

αβ ≤ +

p q

is true for all α, β ≥ 0 and p > 1. For the proof, it is enough to substitute λ = p1 ,

1 1

α = a p , and β = b q in Lemma 3.2.1.

f · g ∈ L1 and

kf · gk1 ≤ kf kp kgkq . (3.2.1)

a.e. Moreover, we observe that if (3.2.1) holds for a some f and g then it also

holds for all scalar multiples of f and g; for it, f and g are replaced by a · f and

b · g, both sides of (3.2.1) change by a factor of |ab|. It suffices therefore to prove

(3.2.1) when kf kp = kgkq = 1 with equality iff |f |p = |g|q a.e. To this end, we

apply the Young inequality with α = |f (x)| and β = |g(x)| to obtain

Z Z

−1 −1

kf gk1 ≤ p p

|f | dµ + q |g|q dµ = p−1 + q −1 = 1 = kf kp kgkq .

Equality holds here iff it holds a.e. in (3.2.1) and, by Lemma 3.2.1, this happens

exactly iff |f |p = |g|q a.e. 2

One of the most important application of the Hölder inequality is the following

inequality.

64 CHAPTER 3.

f + g ∈ Lp and

kf + gkp ≤ kf kp + kgkp .

gives us f + g ∈ Lp .

Since (p − 1)q = p when q is the conjugate to p and applying Hölder’s inequality

to the functions

p

φ = f ∈ Lp , ψ = (f + g)p−1 = (f + g) q ∈ Lq ,

we have

Similarly

kg(f + g)p−1 k1 ≤ kgkp k(f + g)p−1 kq . (3.2.5)

Combining (3.2.3), (3.2.4), and (3.2.5) gives us

R

Z

p

p1 |f + g|p dµ

kf + gkp = |f + g| dµ = R 1 =

( |f + g|p dµ) q

R

|f + g|p dµ k(f + g)p k1

1 = ≤ kgkp + kf kp . 2

k(f + g)p−1 kq

R

( |f + g|(p−1)q dµ) q

The function f → kf kp is a seminorm on Lp . 2

3.2. LP -SPACES 65

given in the following theorem.

kfm −fn kp → 0 as n, m → ∞. Then there exists f ∈ Lp with lim kfn −f kp = 0.

n→∞

elementary and it is left for the reader as an exercise.

We may suppose, by passing to a subsequence, that

P∞

Thus we have n=1 kfn+1 − fn kp ≤ 1. With the convention f0 = 0, define

n

X

gn := |f1 | + |f2 − f1 | + · · · + |fn − fn−1 | = |fk − fk−1 |.

k=1

n

X n

X

kgn kp ≤ kfk − fk−1 kp = kf1 kp + kfk − fk−1 kp ≤ kf1 kp + 1 .

k=1 k=2

Z

|gn |p dµ = kgn kpp ≤ (kf1 kp + 1)p . (3.2.6)

X

Since (gn )∞ p ∞

n=1 is an increasing sequence and p ≥ 1, the sequence ((gn ) )n=1 is

also increasing. It follows from (3.2.6) and the monotone convergence theorem

that there exists h ∈ L1 , h ≥ 0, such that (gn )p ↑ h a.e. Denoting g := h1/p , we

have g ∈ Lp and gn ↑ g a.e.

Let E ∈ Σ be such that µ(E) = 0 and gn (x) ↑ g(x) for all x ∈ X \ E. Then

n

X

g(x) = lim gn (x) = lim |fk (x) − fk−1 (x)| (∀x ∈ X \ E) .

n→∞ n→∞

k=1

66 CHAPTER 3.

P

P|f

k=1

∞

k (x) − fk−1 (x)| is convergent to g(x) for all x ∈ X \ E.

Therefore the series k=1 (fk (x) − fk−1 (x)) is also convergent for x ∈ X \ E, and

satisfies:

n

X

lim fn (x) = lim (fk (x) − fk−1 (x)) ≤ g(x) (∀x ∈ X \ E) .

n→∞ n→∞

k=1

Define

n→∞

and |f |p ∈ L1 , i.e., f ∈ Lp .

It remains to show that kfn − f kp → 0. Given an ε > 0, choose Nε such that

kfm − fn kp ≤ ε for all m, n ≥ Nε . Fix m ≥ Nε , then

Z

|fm − fn |p dµ ≤ εp for all n ≥ Nε .

X

Since |fm − fn |p ∈ L1 for all n ≥ Nε , it follows from the Fatou lemma that

Z Z

p

(lim sup |fm − fn | ) dµ ≤ lim sup |fm − fn |p dµ ≤ εp . (3.2.7)

X n→∞ n→∞ X

n→∞

n → ∞, thus

lim sup |fm − fn |p = |fm − f |p a.e.

n→∞

R

So X |fm − f | dµ ≤ ε by (3.2.7), i.e., kfm − f kp ≤ εp for all m ≥ Nε . Since

p p

measure space. Take the following relation ”≈” on Lp (X, A, µ):

linear subspace of Lp . Thus we may consider a quotient space

3.2. LP -SPACES 67

We will denote elements of Lp (X, A, µ) in the same way as functions of Lp (X, A, µ),

so we will identify f ∈ Lp (X, A, µ) with [f ] ∈ Lp (X, A, µ). The seminorm k · kp

on Lp becomes the norm on Lp . We use the same symbol k·kp for its denotation.

Accordingly to Corollary 3.2.1, all Lp -spaces are normed linear spaces. As a

direct consequence of Theorem 3.2.3, we have the following theorem.

Theorem 3.2.4 Every Lp -space is a Banach space for 1 ≤ p < ∞, i.e. every

Cauchy sequence in Lp has a norm limit. 2

P∞

of Lp -spaces. Let 1 ≤ p < ∞. If fn ∈ Lp and kfi kp < ∞ then there exists

i=1

f ∈ Lp such that

n

X

lim g − fi = 0 .

n→∞

i=1 p

∞

P

In this case, we write g = fi .

i=1

In Lp -spaces, the norm convergence and the a.e. convergence are related to each

other as follows.

n=1 ⊆ Lp , and let g ∈ Lp satisfy

Then kfn kp → 0. 2

theorem.

n=1 ⊆ Lp , and let M ∈ R satisfy

68 CHAPTER 3.

theorem.

exists a countable family {xn }n ⊆ X such that its norm closure is equal to X.

It is easy to see that L∞ (µ) is separable iff its dimension is finite.

Theorem 3.2.7 If the measure µ is σ-finite and separable and 1 ≤ p < ∞ then

Lp (µ) = Lp (X, Σ, µ) is separable.

Proof: We will prove that the countable collection Y of all simple functions,

which are finite sums with rational complex coefficients of characteristic func-

tions of measurable sets from a fixed countable family R (where R is a collection

of sets as in Definition 1.1.8), is dense in Lp (µ). Let f ∈ Lp (µ) and ε > 0 be

given. Since there exists an increasing sequence Xn ↑ X (each Xn of finite mea-

sure), we have |f − f · χXn | ↓ 0 pointwise. Hence, there exists a set X 0 of finite

measure (we may assume that X 0 = X1 ) such that if we define f1 := f · χX1

then kf − f1 kp ≤ ε/3.

The function f1 can be written as f = (g1 − g2 ) + i(h1 − h2 ), where g1 , g2 , h1 , h2

are non-negative members of Lp vanishing outside of X1 . For g1 , there exists

a sequence (g (n) )∞

n=1 of rational simple functions, non-negative and vanishing

outside of X1 , such that g (n) ↑ g1 pointwise. Then |g1 − g (n) |p ↓ 0, so

we obtain a rational simple function f2 vanishing outside X1 and such that

kf1 − f2 kp ≤ ε/3.

The function f2 can be written as f2 = kj=1 αj χAj , where all αj are rational

P

complex, all Aj are mutually disjoint, and ∪kj=1 Aj = X1 . For each Aj , there

exists a set Bj ∈ R such that

so

kχAj − χBj kp = µ(Aj 4Bj )1/p ≤ ε/(3k|αj |) .

3.2. LP -SPACES 69

Pk

Hence, writing f3 = j=1 αj χBj , we have

k

X

kf2 − f3 kp ≤ |αj | · kχAj − χBj kp ≤ ε/3 .

j=1

definitions of Hilbert spaces and L2 -spaces, they are the same object and it is a

quite reasonable idea to define Hilbert space as an L2 -space. The main tool in

the investigation of Hilbert spaces is a notion of the scalar product:

Z

(f, g) := f · ḡ dµ (f, g ∈ L2 ).

1

The scalar product generates the norm k · k of L2 as kf k = |(f, f )| 2 .

The scalar product leads to the notion of orthogonality of functions. Two func-

tions f, g ∈ L2 are called orthogonal if (f, g) = 0. The family {fα }α∈A is called

an orthonormal basis of L2 if kfα k = 1 for any α and (fα , fβ ) = 0 for any

α 6= β. The following theorem is a generalization of the well known Pythagorian

theorem.

Theorem 3.2.8 Any L2 -space has at least one orthonormal basis. If {fα }α∈A

is an orthonormal basis of L2 then for any f ∈ L2

X

f= (f, fα )fα . 2

α∈A

inequality:

1 1

|(f, g)| ≤ (f, f ) 2 · (g, g) 2 (f, g ∈ L2 ).

”≈” defined in (3.2.8). The correspondent norm we will denote by k · k∞ . The

poof of the next theorem is direct and routine and we refer for them to any

textbook on functional analysis.

70 CHAPTER 3.

It is an important remark that Theorem 3.2.5 and Theorem 3.2.6 fail for infinite

dimensional L∞ -spaces.

All Lp -spaces for 1 ≤ p ≤ ∞ are vector lattices and, since

Banach space. A function ψ : X → C is called a linear functional if

kxn − xk → 0 ⇒ ψ(xn − x) → 0.

The set of all continuous linear functionals on the Banach space X is called the

dual space (or adjoint) to X and denoted by X ∗ .

with respect to the norm

spaces. Namely, for 1 ≤ p ≤ ∞ let q be such that

1/p + 1/q = 1 .

Let g ∈ Lq , denote

Z

ĝ(f ) = hf, gi := f · g dµ ∀f ∈ Lp .

ĝ is a continuous linear functional on Lp . Moreover, it can be evaluated that

kĝk = kgkq . If p < ∞ then this is the most general form of a continuous linear

functional on Lp -space.

3.2. LP -SPACES 71

Theorem 3.2.11 Let 1 ≤ p < ∞. Then, for every continuous linear functional

ψ on Lp , there exists a unique g ∈ Lq such that ψ = ĝ. Moreover, the dual space

L∗p is isometrically isomorphic to Lq . 2

complicated. We say only that L∗∞ is much more bigger then L1 if dim(L∞ ) = ∞.

For measurable functions and, in particular, for functions from Lp -spaces, we

have studied several modes of convergence: the convergence in measure, con-

vergence in norm, uniform convergence, etc. Now we give one more type of

convergence in Lp -spaces for 1 ≤ p < ∞.

n=1 ⊆ Lp is weakly convergent to f ∈ Lp

if Z Z

lim fn · g dµ = f · g dµ (∀g ∈ Lq ),

n→∞

and, thus, if kfn − f kp converges to zero, so does hfn − f, ĝi. Hence the conver-

gence in norm implies the weak convergence.

In general, the weak convergence is strictly weaker then the norm convergence.

There is only one interesting exception, namely.

weakly to ρ ∈ `1 . Then kρn − ρk → 0. 2

The weak convergence generates the weak topology on Lp . This topology is,

by the definition, the weakest topology on Lp in which all functionals ĝ (where

g ∈ Lq , p−1 + q −1 = 1) are continuous. The following theorem is very important.

Although the proof uses only ideas from the measure theory, it is quite involved,

and we omit it in this book.

Theorem 3.2.13 Let g ∈ L+

72 CHAPTER 3.

kf kpp

µ({x : |f (x)| > ε}) ≤ ,

εp

where f ∈ Lp for 0 < p < ∞, and ε > 0.

∗∗∗

Exercise 3.2.2 Let 1 ≤ a < b < c ≤ ∞. Show that

La ∩ Lc ⊆ Lb & kf kb ≤ kf kα 1−α

a · kf kc ,

where α is defined by

b−1 = αa−1 + (1 − α)c−1 .

∗∗∗

Exercise 3.2.3 Let µ be a finite measure and 1 ≤ a ≤ b ≤ ∞. Show that

−1

−b−1 )

Lb ⊆ La & kf ka ≤ kf kb · µ(X)(a .

This implies, in particular, that the strong convergence in Lb implies the strong convergence in

La with the same limit. Suppose that µ is infinite, construct an example of a sequence (fn )∞

n=1

in La ∩ Lb and f ∈ La ∩ Lb such that kfn − f kb → 0, but kfn − f ka 6→ 0.

∗

Exercise 3.2.4 Let (X, Σ, µ) be a finite measure space and let f ∈ L∞ (X, Σ, µ). Show that

the function

N (p) := kf kp , (1 ≤ p < ∞)

is continuous and lim N (n) = kf k∞ .

n→∞

Exercise 3.2.5 Show that the linear subspace of all simple functions is dense in Lp -space for

any 1 ≤ p ≤ ∞.

Exercise 3.2.6 Show that `p and Lp (R) are separable Banach spaces for any

1 ≤ p < ∞.

Exercise 3.2.7 Let fn = sin nx ∈ Lp [0, 1], where 1 ≤ p < ∞. Show that fn → 0 weakly, but

fn 6→ 0 in measure.

Exercise 3.2.8 Let gn = nχ[0, n1 ] ∈ Lp [0, 1], where 1 ≤ p < ∞. Show that gn → 0 in measure,

but gn 6→ 0 weakly.

3.3. THE LIAPOUNOFF CONVEXITY THEOREM 73

Let 1 ≤ p < ∞, and let (X, M, µ), (Y, N , ν) be σ-finite measure spaces, and let f ≥ 0 be a

M ⊗ N -measurable function on X × Y . Show that

hZ p i1/p Z 1/p

f (x, y) dν(y) dµ(x) ≤ f (x, y)p dµ(x) dν(y).

Let 1 ≤ p ≤ ∞, f (·, y) ∈ Lp (µ) for a.e. y, and let the function y → kf (·, y)kp be in L1 (ν).

R

Show that f (x, ·) ∈ L1 (ν) for a.e. x; the function x → f (x, y) dν(y) is in Lp (µ); and

Z Z

f (·, y) dν(y) ≤ kf (·, y)kp dν(y).

p

∗∗∗

Exercise 3.2.11 Prove Theorem 3.2.12.

∗∗∗

Exercise 3.2.12 Prove Theorem 3.2.13.

Exercise 3.2.13 ∗∗ Let An is a measurable subset of [0, 1] for each n, χAn ∈ L1 , and χAn → f

weakly in L1 . Show that f is not necessarily a characteristic function of some measurable set.

Exercise 3.2.14 Let (X, Σ, µ) be a measure space, and P be a Frobenius – Perron operator

on L1 (X, Σ, µ). Show that the dual operator P ∗ on L∞ (X, Σ, µ) satisfies the condition that

P ∗ (χA ) is a characteristic function of some measurable set for every A ∈ Σ.

bounded variation on Σ then the range of µ is the closed interval

One of the central and nicest result about vector-valued measures is the Lia-

pounoff convexity theorem, which says that the range of a non-atomic Rn -valued

measure of bounded variation is compact and convex. In this section, we give a

direct proof of this theorem, which is due to D.A. Ross [8].

74 CHAPTER 3.

3.3.1.◦ One-dimensional case. For the convenience of the reader, who will

not study the proof of main theorem of this section, we give here the proof of

the result of Exercise 1.2.8, which is very partial, but important, case of the

Liapounoff theorem.

First by the Jordan decomposition theorem, we may suppose that µ has nonnega-

tive values only. Also we may suppose, that sup{µ(A) : A ∈ Σ} = 1. So we have

to show that the range of µ coincides with the interval [0, 1]. It takes obviously

the values 0 and 1. Let 0 < α < 1. Consider the family F of all pairs (A, B) of

measurable subsets of X satisfying µ(A) ≤ α, µ(B) ≤ 1 − α. The family F is

ordered by inclusion, and it is trivial to show that it satisfies conditions of the

Zorn lemma. Therefore, there exists a maximal element, say (A0 , B0 ) in F. If

µ(A0 ) < α, then µ(X \(A0 ∪B0 )) > 0, and there exists a subset Y of X \(A0 ∪B0 )

(due to non-atomic condition on µ) with 0 < µ(Y ) < α − µ(A0 ). Thus we get

that a pair (A1 , B0 ) is strictly greater then (A0 , B0 ), where A1 := A0 ∪ Y . The

obtained contradiction with the maximality of (A0 , B0 ) shows that µ(A0 ) = α,

what is required.

3.3.2.◦ Examples. First, let us show that the Liapounoff convexity theorem

may fail for E-valued measures, if E is an infinite dimensional Banach space

(see, [3]).

bounded variation, whose range is closed and is neither convex nor

compact. Let B([0, 1]) be the Borel algebra on [0, 1] and µ be the Lebesgue

measure. Define

G : B([0, 1]) → L1 (µ)

by G(E) := χE . If π ⊆ B([0, 1]) is a partition of [0, 1], it is evident that

X X

kG(E)k1 = µ(E) = 1.

E∈π E∈π

L1 (µ). Show that G(Σ) is not a convex set. Indeed, 21 χ[0,1] ∈ coG(Σ), but

1 1

kG(E) − χ[0,1] k1 = [µ([0, 1] \ E) + µ(E)]/2 = (∀E ∈ Σ).

2 2

3.3. THE LIAPOUNOFF CONVEXITY THEOREM 75

To see that G(Σ) is not compact, let En = {t ∈ [0, 1] : sin(2n πt) > 0} for each

positive integer n. An easy computation shows that

1

kG(Em ) − G(En )k = (∀m 6= n).

4

Hence G(Σ) is not compact.

bounded variation whose range is not convex. Let Σ = B[0, 2π] with the

Lebesgue measure µ. Accordingly to Exercise 3.3.4, select a complete orthogonal

system (wn )∞n=0 inRL2 [0, 2π] such that each wn assumes only the values ±1 and

2π

w0 = χ[0,2π] while 0 wn (t) dt = 0 for n ≥ 1. For each n, define λn on Σ by

Z

−n

λn (E) = 2 [(1 + wn (t))/2] dt,

E

E ∈ Σ. Define G : Σ → `2 by

tion, since kG(E)k`2 ≤ 2µ(E) for each E ∈ Σ.

Now consider

G([0, 2π]) = (2π, π/2, π/4, . . .)

and suppose there is E ∈ Σ such that

Then we have Z

π = λ0 (E) = dt = µ(E)

E

and for n ≥ 1

Z

−n−1 −n

2 π = λn (E) = 2 [(1 + wn (t))/2] dt = 2−n µ(E ∩ Un ),

E

where Un = {s ∈ [0, 2π] : wn (s) = 1}. From this and the identities

µ(Un ) = µ(E) = π,

76 CHAPTER 3.

it follows

Z 2π

f (t) · w0 (t) dt = π − π = 0

0

Z 2π

f (t)·wn (t) dt = µ(E ∩Un )+µ([0, 2π]\(E ∪Un )) = µ(E \Un )−µ(Un \E) = 0.

0

n=0

and shows that G(Σ) is not convex.

measure on (X, Σ). The following theorem was stated by A. Liapounoff in [6].

has the bounded variation then

R(Ψ) := {Ψ(A) : A ∈ Σ}

We deduce this theorem from its special case, when R(Ψ) ⊆ Rn+ . Suppose

that µ1 , µ2 , . . . , µn are finite non-atomic measures on (X, Σ). Denote by Φ =

(µ1 , . . . , µn ) the corresponding Rn -valued measure.

Then

Ψ = (ν1+ − ν1− , . . . , νn+ − νn− )

3.3. THE LIAPOUNOFF CONVEXITY THEOREM 77

and, by the Hahn decomposition theorem (Theorem 3.1.3), there exists a family

{Pk }nk=1 ⊆ Σ such that Pk is a positive set for νk and X \ Pk is a negative set for

νk . Denote Pk0 := Pk and Pk1 := X \ Pk for all k ∈ 1, n. It follows from Lemma

3.3.1 that, for any function f : 1, n → {0, 1}, the set

n

\ f (k)

Rf (Ψ) := {Ψ(A) : A ∈ Σ, A ⊆ Pk }

k=1

is closed and convex in Rn . Then our range R(Ψ) is a closed and convex subset

of Rn , as a finite sum of closed convex subsets of Rn :

X

R(Ψ) = Rf (Ψ). 2

f is a function from 1,n to {0,1}

more elaborate, lemma the proof of which is postponed until the next subsection.

note by Φ = (µ1 , . . . , µn ) the corresponding Rn -valued measure.

(LT1) For each E in Σ and r ∈ [0, 1], there is a subset A of E with A in Σ

and Φ(A) = r · Φ(E).

(LT2) For each E in Σ, there is an r ∈ (0, 1) and a subset A of E with A in

Σ and Φ(A) = r · Φ(E).

(LT3) For each E in Σ, there is a subfamily {Ar }r∈[0,1] of Σ such that Ar ⊆

As ⊆ E whenever 0 ≤ r ≤ s ≤ 1 and Φ(Ar ) = r · Φ(E) for each r in [0, 1].

Moreover, the conditions (LT1), (LT2), and (LT3) are equivalent

To see that Lemma 3.3.1 follows from Lemma 3.3.2, let E and F belong to Σ,

and let 0 ≤ r ≤ 1. By (LT1), there are subsets E1 of E \ F and F1 of F \ E

with Φ(E1 ) = r · Φ(E \ F ) and Φ(F1 ) = (1 − r) · Φ(F \ E). Then

Now we show that R(Φ) is closed. It is known that any bounded closed convex

subset of Rn is the convex hull of the set of all its extreme points. Thus R(Φ) =

78 CHAPTER 3.

R(Φ) for any z ∈ Ex(R(Φ)). Let z ∈ Ex(R(Φ)). There is (and unique up to

scalar multiplication) yz ∈ Rn such that

Then, by (3.3.1),

(z, yz ) = sup{µz (A) : A ∈ Σ}. (3.3.2)

It follows from (3.3.2) that there is a set E ∈ Σ such that

what is required. 2

on the number n of non-atomic measures. It is convenient to assume (LT3), the

strongest of the three statements, as the induction hypothesis for n measures,

then prove the weakest of the statements, (LT2), for n+1 measures. We therefore

need to show first that (LT1), (LT2), and (LT3) are equivalent, in the sense that

a vector-valued measure Φ satisfying one of the statements must satisfy all three.

The implications

(LT3) ⇒ (LT1) ⇒ (LT2)

are clear. Assume then that (LT2) holds, and fix a set E in Σ. If A is a

measurable subset of E, r is in [0, 1], and Φ(A) = r · Φ(E), then write rA = r.

Let E be the family of all such A. Order E by A < B if A ⊆ B and rA < rB . Let

C be a maximal chain in E with ∅ and E belonging to C. Put I = {rA : A ∈ C}.

It suffices to show that I = [0, 1] (since we can take {Ar }r∈[0,1] = C). Suppose

(in search of a contradiction) that a ∈ (0, 1) \ I. Put

T rAn increases to a∞

and rBn decreases to b∞ . Put A∞ = n An and B∞ = n Bn . It is easy to see

3.3. THE LIAPOUNOFF CONVEXITY THEOREM 79

is totally ordered, A∞ = {A ∈ C : rA < a} and B∞ = {A ∈ C : rA > a}.

Because C is maximal, A∞ and B∞ belong to C and (a∞ , b∞ ) ∩ I = ∅. By (LT2),

there is a subset C of B∞ \ A∞ with Φ(C) = r · Φ(B∞ \ A∞ ). Then A∞ ∪ C is

in E and a∞ < r(A∞ ∪C) < b∞ , so C ∪ {A∞ ∪ C} is a chain in E that properly

extends C, a contradiction. Thus

Φ0 = (µ1 , µ1 + µ2 , µ1 + µ2 + µ3 , . . . , µ1 + . . . + µn ).

If A belongs to Σ and Φ0 (A) = r · Φ0 (E), then one can easy verify that Φ(A) =

r · Φ(E). So we may always assume µ1 µ2 . . . µn .

When n = 1, (LT2) is trivial since µ1 is non-atomic (see Exercise 1.1.9), so

Lemma 3.3.2 is immediate. We proceed by induction on n. Suppose that Lemma

3.3.2 holds for up to n measures, and that E ∈ Σ and measures µ1 , µ2 , . . . , µn+1

are given. Put ν = (µ2 , . . . , µn+1 ). By two applications of (LT1), there are

disjoint sets E 1 , E 2 , and E 3 in Σ with E = E 1 ∪E 2 ∪E 3 and ν(E i ) = (1/3)·ν(E)

for each i. By (LT3), for each i, there is a subfamily {Air }r∈[0,1] of Σ such that

Air ⊆ Ais ⊆ E i whenever 0 ≤ r ≤ s ≤ 1 and

Case 1: µ1 (E i ) = (r/3) · µ1 (E) for some i. Since also ν(E i ) = (1/3) · ν(E),

(LT2) holds with r = 1/3.

Case 2: for some choice of i1 , i2 , and i3 ,

of Σ by 1

A3r if 0 ≤ r ≤ 1/3;

Ar = A1 ∪ A23r−1 if 1/3 < r ≤ 2/3;

11

A1 ∪ A21 ∪ A33r−2 if 2/3 < r ≤ 1.

One readily verifies that ν(Ar ) = r·ν(E) for r in [0, 1]. If µ1 (E) = 0 then Case 1

applies. Otherwise the function φ given on [0, 1] by φ(r) = µ1 (Ar )/µ1 (E) is well

80 CHAPTER 3.

is continuous. Moreover,

µ1 (A11 ) µ1 (E 1 )

φ(1/3) = = > 1/3,

µ1 (E) µ1 (E)

and

µ1 (A11 ∪ A21 ) µ1 (E 1 ∪ E 2 ) µ1 (E) − µ1 (E 3 )

φ(2/3) = = = < 1 − 1/3 = 2/3.

µ1 (E) µ1 (E) µ1 (E)

By the intermediate value theorem, φ(r) = r for some r ∈ (1/3, 2/3). In other

words, µ1 (Ar ) = r · µ1 (E). Since already ν(Ar ) = r · ν(E), A = Ar ensures that

(LT2) holds.

Case 3: for some choice of i1 , i2 , and i3 ,

In this case, the argument from Case 2 applies without change, except now

φ(1/3) < 1/3 and φ(2/3) > 2/3.

This exhausts the cases (since µ1 (E) = µ1 (E 1 ) + µ1 (E 2 ) + µ1 (E 3 )) and proves

the theorem. 2

Exercise 3.3.1 ∗ Let C := {x = (x1 , x2 ) ∈ R2 : |x1 | ≤ 1 & |x2 | ≤ 1}. Construct a R2 -valued

measure ν on B[0, 1] such that R(ν) = C.

Exercise 3.3.2 ∗∗∗ Let D := {x = (x1 , x2 ) ∈ R2 : x21 + x22 ≤ 1} be the closed unit disk in R2 .

Construct an R2 -valued measure ν on the Borel algebra B[0, 1] whose range R(ν) is equal to

D.

∗

Exercise 3.3.3 Construct two R2 -valued measures µ and ν of bounded variation on B[0, 1]

such that

R(ν) ∪ R(µ) ⊆ {x = (x1 , x2 ) ∈ R2 : x1 ≥ 0 & x2 ≥ 0},

and R(ν) + R(µ) 6= R(ν + µ).

Exercise 3.3.4 ∗∗ Show that in L2 ([0, 2π], µ) there exists a complete orthogonal system (wn )∞

n=0

R 2π

of {−1, 1}-valued functions such that w0 = χ[0,2π] while 0 wn dµ = 0 for n ≥ 1.

3.3. THE LIAPOUNOFF CONVEXITY THEOREM 81

Exercise 3.3.5 ∗∗∗ Show that the result of Exercise 3.3.4 can be extended to the case of a

non-atomic measure space with finite measure. Namely, show that if (X, Σ, µ) is a measure

space with a non-atomic finite measure µ, then in L2 (µ) there exists a complete orthogonal

system (wn )∞

R

n=0 of {−1, 1}-valued functions such that w0 ≡ 1 and X wn dµ = 0 for n ≥ 1.

Exercise 3.3.6 Show that the function G : B[0, 2π] → `2 constructed in Example 3.3.2 is a

non-atomic `2 -valued measure.

Exercise 3.3.7 Let µ be a finite signed measure on (X, Σ). Show that there exists A ∈ Σ

such that

µ(A) = sup{µ(B) : b ∈ Σ} .

Prove the following facts about convex subsets of Rn which were used in the proof of Lemma

3.3.1.

Exercise 3.3.8 Let A be a bounded closed convex subset of Rn . Show that A is the convex

hull of all extreme points of A.

Exercise 3.3.9 Let A be a bounded convex subset of Rn and let a ∈ A be an extreme point of

the closure A of A. Show that there is (and unique up to scalar multiplication) y ∈ Rn such

that

(a, y) = max{(x, y) : x ∈ A} = sup{(x, y) : x ∈ A}.

Let A, a, and y be as before, and let b ∈ A. Show that

(b, y) = max{(x, y) : x ∈ A} ⇒ b = a .

82 CHAPTER 3.

Chapter 4

role in the Fourier analysis and its applications to PDEs. Our aim is to give

only a few basic constructions from measure theory concerning function spaces

on Rn . We do not give any introduction to Fourier transform and to the theory

of distributions; for this propose, we send the reader to many special text-books

(see, for example, [4] and [9]).

m

note by C (U ) the space of all real or complex valued functions on U whose

partial

T∞ derivatives of order ≤ m exist and are continuous. We set C ∞ (U ) =

m n ∞

m=1 C (U ). Furthermore, for any E ⊆ R , we denote by C00 (E) the space

of all C ∞ -functions on Rn whose support is compact and contained in E. If

E = Rn or U = Rn , we usually write without any confusion Lp = Lp (Rn ),

C00 = C00 (Rn ), and C ∞ = C ∞ (Rn ). The proof of the next simple lemma is left

to the reader as an exercise (Exercise 4.1.2).

n

X p

(x , y) := xk yk , kxk := (x , x).

k=1

83

84 CHAPTER 4.

write ∂j = ∂x∂ j , and we use multi-index notation for higher-order derivatives. A

multi-index is an ordered n-tuple of nonnegative integers. If α = (α1 , . . . , αn )

is a multi-index, we set

n n α1 αn

X Y

α ∂ ∂

|α| = αj , α! = αj !, ∂ = ◦ ··· ◦ ;

j=1 j=1

∂x 1 ∂x n

n

and if x ∈ Rn , then xα = xαk k ∈ R.

Q

k=1

∞ n

Two subspaces of C (R ) are of the great importance. The first one is the space

∞

C00 of C ∞ -functions with compact support. The existence of nonzero functions

∞

in C00 is not quite obvious; the standard construction is based on the fact that

the function η(t) = e−1/t · χ(0,∞) (t) is C ∞ -function even at the origin. If we set

2

ψ(x) = η(1 − kxk ) = (4.1.1)

0 if kxk ≥ 1,

We have ψ ∈ C ∞ and supp(ψ) is the closed unit ball in Rn . The second impor-

tant subspace of C ∞ is the Schwartz space S consisting of those C ∞ -functions

which, together with all their derivatives, vanish at infinity faster than any power

of kxk. More precisely, for any nonnegative integer N and any multi-index α,

we define

kf k(N,α) = sup (1 + kxk)N |∂ α f (x)|;

x∈Rn

then

S = {f ∈ C ∞ : kf k(N,α) < ∞ for all N, α}.

2

Examples of functions in S are fα (x) = xα e−kxk , where α is any multi-index.

∞

Also, clearly, C00 ⊆ S. Another important observation is that if f ∈ S then

∂ f ∈ Lp for all α and all p ∈ [1, ∞]. Indeed, |∂ α f (x)| ≤ CN (1 + kxk)−N for all

α

with the topology defined by the seminorms {k · k(N,α) }N,α .

sequence in S then kfj − fk k(N,α) → 0 for all N, α. In particular, for each multi-

index α, the sequence (∂ α fk )∞

k=1 converges uniformly to a continuous function

4.1. FUNCTION SPACES ON RN 85

we have Z t

fk (x + tej ) − fk (x) = ∂j fk (x + sej ) ds.

0

Letting k → ∞, we obtain

Z t

g0 (x + tej ) − g0 (x) = gej (x + sej ) ds.

0

induction on |α| yields gα = ∂ α g0 for all α. Now it is easy to check that

kfk − g0 k(N,α) → 0 for all α. 2

y ∈ Rn . We define the shift of f with respect to the vector y by

(τy f )(x) := f (x − y) .

continuous function f is uniformly continuous iff kτy f − f k∞ → 0 as kyk → 0.

that is, if f ∈ Lp and z ∈ Rn , then limy→0 kτy+z f − τz f kp = 0.

First, if g ∈ C00 , for kyk ≤ 1 the functions τy g are all supported in a common

compact set K. So, by Lemma 4.1.1,

Z

|τy g − g|p dµ ≤ kτy g − gkp∞ µ(K) → 0 as kyk → 0 . (4.1.2)

Rn

Now suppose f ∈ Lp . If ε > 0 then, by the Urysohn lemma, there exists g ∈ C00

with kg − f kp < ε/3, so

2

kτy f − f kp ≤ kτy (f − g)kp + kτy g − gkp + kg − f kp < ε + kτy g − gkp ,

3

and kτy g − gkp < ε/3 if y is small enough accordingly to (4.1.2). 2

86 CHAPTER 4.

function f ∗ g defined by

Z

(f ∗ g)(x) := f (x − y)g(y) dy

Rn

for all x ∈ Rn such that the integral exists. Various conditions can be imposed

on f and g to guarantee that f ∗ g is defined at least almost everywhere.

R For ex-

ample, if f ∈ C00 , g can be any locally integrable function i.e. A |g| dµ < ∞

for any compact A.

convolutions are summarized in the following proposition.

(a) f ∗ g = g ∗ f ;

(b) (f ∗ g) ∗ h = f ∗ (g ∗ h);

(c) For z ∈ Rn , τz (f ∗ g) = (τz f ) ∗ g = f ∗ (τz g);

(d) If A is the closure of {x + y : x ∈ supp(f ), y ∈ supp(g)}

then supp(f ∗ g) ⊆ A.

Z Z

f ∗ g(x) = f (x − y)g(y) dy = f (z)g(x − z) dz = g ∗ f (x).

(c):

Z Z

τz (f ∗ g)(x) = f (x − z − y)g(y) dy = τz f (x − y)g(y) dy = ((τz f ) ∗ g)(x)

and, by (a),

τz (f ∗ g) = τz (g ∗ f ) = (τz g) ∗ f = f ∗ (τz g).

(d): Observe that if x 6∈ A then, for any y ∈ supp(g), we have x − y 6∈ supp(f );

hence f (x − y)g(y) = 0 for all y, so (f ∗ g)(x) = 0. 2

then (f ∗ g)(x) exists almost everywhere, f ∗ g ∈ Lp , and kf ∗ gkp ≤ kf k1 kgkp .

4.1. FUNCTION SPACES ON RN 87

Z Z

kf ∗ gkp = f (y) · g(·, −y) dy ≤ |f (y)| · kτy gkp dy = kf k1 · kgkp . 2

Rn p Rn

for every x ∈ Rn , f ∗ g is bounded and uniformly continuous, and kf ∗ gk∞ ≤

kf kp kgkq . If 1 < p < ∞ then f ∗ g ∈ C0 (Rn ).

Proof: The existence of f ∗ g and the estimate for kf ∗ gk∞ follow immediately

from Hölder’s inequality. In view of Propositions 4.1.2 and 4.1.3, so does the

uniform continuity of f ∗ g: If 1 ≤ p < ∞,

kτy (f ∗ g) − f ∗ gk∞ = k(τy f − f ) ∗ g)k∞ ≤ kτy f − f kp kgkq → 0 as y → 0.

(If p = ∞, interchange the roles of f and g.) Finally, if 1 < p, q < ∞, choose

sequences (fn )∞ ∞

n=1 and (gn )n=1 of continuous functions with compact supports

such that

kfn − f kp → 0 & kgn − f kq → 0.

By Proposition 4.1.3 (d), fn ∗ gn ∈ C00 . But

kfn ∗ gn − f ∗ gk∞ ≤ kfn − f kp kgn kq + kf kp kgn − gkq → 0,

so f ∗ g ∈ C0 by Exercise 4.1.1. 2

important applications of convolutions on Rn . If φ is any function on Rn and

t > 0, we set

φt (x) = t−n φ(t−1 x). (4.1.3)

R

Remark that if φ ∈ L1 then Rn φt (x) dx is independent on t, thus,

Z Z Z

−n −1

φt (x) dx = t φ(t x) dx = φ(y) dy .

Rn Rn Rn

R

Theorem 4.1.2 Suppose φ ∈ L1 and Rn φ(x) dx = 1.

(a) If f ∈ Lp , where 1 ≤ p < ∞ then lim kf ∗ φt − f kp = 0 .

t→0

(b) If f is bounded and uniformly continuous then lim kf ∗ φt − f k∞ = 0.

t→0

(c) If f ∈ L∞ and f is continuous on an open set U then f ∗ φt → f uniformly

on compact subsets of U as t → 0. 2

88 CHAPTER 4.

In some sense, an approximate identity plays the role of an identity operator

whenever we are working with convolution as a multiplication operation.

∞

Proposition 4.1.5 C00 (and hence also S) is dense in Lp (for 1 ≤ p < ∞)

and in C0 .

Proof: Given f ∈ Lp and ε > 0, there exists g ∈ CR00 with kf − gkp < ε/2 by

∞

Exercise 4.2.5. Let φ be a function in C00 such that Rn φ dµ = 1 (for example,

take φ = ( Rn ψ dµ)−1 ψ as in (4.1.1)). Then g ∗ φt ∈ C00

∞

R

by Proposition 4.1.3(d)

and Exercise 4.1.9, and

kg ∗ φt − gkp < ε/2

for sufficiently small t by Theorem 4.1.2. The same argument works if Lp is

replaced by C0 , and k · kp , by k · k∞ . 2

∞

an open set containing K, there exists f ∈ C00 such that 0 ≤ f ≤ 1, f = 1 on

K, and supp(f ) ⊆ U .

and let

V = {x ∈ Rn : ρ(x, K) < δ/3}.

∞

R

Choose a nonnegative φ ∈ C 00 such that Rn

φ dx = 1 and φ(x) = 0 for kxk >

−1

R

δ/3 (for example, ( Rn ψ dx) · ψδ/3 with ψ as in (4.1.1)), and set f = χV ∗ φ.

∞

Then f ∈ C00 by Proposition 4.1.3 (d) and Exercise 4.1.9. It is easy to see that

0 ≤ f ≤ 1, f = 1 on K, and

supp(f ) ⊆ {x : ρ(x, K) ≤ 2δ/3} ⊆ U. 2

Theorem 4.1.2 does not say anything about the pointwise convergence f ∗ φt to

f . Indeed, the situation with the pointwise convergence is much more delicate.

To illustrate problems which arise here, we give without a proof the following

theorem.

Theorem 4.1.4

R Suppose |φ(x)| ≤ C(1 + kxk)−n−ε for some C, ε > 0. Then

φ ∈ L1 and Rn φ(x) dx = 1. If f ∈ Lp (1 ≤ p < ∞) then f ∗ φt (x) → f (x) as

t → 0 for every x in the Lebesgue set of f . In particular, for almost every x

and for every x at which f is continuous. 2

4.1. FUNCTION SPACES ON RN 89

f ∈ Lloc (Rn )) we understood here

Z

n

n 1 o

Lf := x ∈ R : lim |f (y) − f (x)|dy = 0 .

t→∞ µ(B(x, t−1 )) B(x,t−1 )

Exercise 4.1.1 Show that the space C0 (Rn ) of functions vanishing at infinity is uniform

∞

closure of C00 .

Exercise 4.1.2 Show that any f ∈ C0 (Rn ) is uniformly continuous.

∗

Exercise 4.1.3 Show that for x, y ∈ R:

X k!

(x + y)k = xα1 y α2 α = (α1 , α2 ).

α!

|α|=k

∗

Exercise 4.1.4 Show that for x ∈ Rn :

X k!

(x1 + x2 + ... + xn )k = xα .

α!

|α|=k

∗

Exercise 4.1.5 Show that for x, y ∈ Rn :

X α!

(x + y)α = xβ · y γ .

β! · γ!

β+γ=α

∗

Exercise 4.1.6 Prove the product rule for partial derivatives:

X X

∂ α (xβ f ) = xβ ∂ α f + cγδ xδ ∂ γ f, xβ ∂ α f = ∂ α (xβ f ) + c0γδ ∂(xδ f ),

where cγδ = c0γδ = 0 unless |γ| < |α| and |δ| < |β|.

Exercise 4.1.7 ∗∗ Let f ∈ L1 (R) and f be nonnegative. Use the result of Exercise 2.1.19 to

show that:

(a) if f ∗ f = 0 then f (t) = 0 a.e. on R;

(b) if f ∗ f = f then f (t) = 0 for all t ∈ R;

(c) the equality (f ∗ f )(t) = 1 a.e. is impossible.

∗∗

Exercise 4.1.8 Prove Theorem 4.1.2.

Exercise 4.1.9 ∗∗ Let f ∈ L1 , g ∈ C k and let ∂ α g be bounded for |α| ≤ k. Show that

f ∗ g ∈ C k and ∂ α (f ∗ g) = f ∗ (∂ α g) for |α| ≤ k.

∗∗∗

Exercise 4.1.10 Prove Theorem 4.1.4.

90 CHAPTER 4.

In this section, we study the structure of the dual space to the spaces of continu-

ous functions on a locally compact Hausdorff space. We treat only the R-valued

case. The complex case is essentially the same.

4.2.1.◦ The space C00 (X) and positive functionals. Let X be a locally

compact Hausdorff space (LCH-space, for short). This means that, for every

x 6= y in X, there exist open neighborhoods U of x and V of y such that Ū and

V̄ are compact and Ū ∩ V̄ = ∅. From the point-set topology, it is known that any

LCH-space is normal, so we may use the Urysohn lemma in its investigation.

We denote by C00 (X) the space of continuous functions on X with compact

support, i.e. f ∈ C00 (X) if f is continuous and supp(f ) = cl{x : f (x) 6= 0}

is compact. A linear functional Ψ on C00 (X) is called positive if Ψ(f ) ≥ 0

whenever f ≥ 0. It is an important fact that every positive linear functional

on C00 (X) is continuous with respect to the uniform convergence on compact

subsets of X. There are many ways for proving this, one of them is given below.

Lemma 4.2.1 If Ψ is a positive linear functional on C00 (X). Then, for each

compact K ⊆ X, there is CK < ∞ such that |Ψ(f )| ≤ CK kf k∞ for all f ∈

C00 (X) with supp(f ) ⊆ K.

Proof: Given a compact K, choose φ ∈ C00 (X) with values in [0, 1] such that

φ|K ≡ 1 by Urysohn’s lemma. If supp(f ) ⊆ K, we have

kf k∞ φ − f ≥ 0 & kf k∞ φ + f ≥ 0.

Thus

kf k∞ Ψ(φ) − Ψ(f ) ≥ 0 & kf k∞ Ψ(φ) + Ψ(f ) ≥ 0,

so |Ψ(f )| ≤ CK kf k∞ with CK = Ψ(φ). 2

then C00 (X) ⊆ L1 (µ), so Z

f→ f dµ

X

4.2. THE RIESZ REPRESENTATION THEOREM 91

is a positive linear functional on C00 (X). The main result of this section says

that every positive linear functional on C00 (X) arises in this way. Moreover, we

give some regularity conditions on µ, under which µ is unique.

Let µ be a Borel measure on X and let E be a Borel subset of X. The measure

µ is called outer regular on E if

If µ is outer and inner regular on all Borel sets, µ is called regular (compare

with 2.1.5). The regularity of a Borel measure sometimes is too strong condition.

Definition 4.2.1 A Borel measure that is finite on compact sets, outer regular

on Borel sets, and inner regular on open sets is called a Radon measure.

4.2.2.◦ The Riesz representation theorem for C00 (X). This theorem

historically is one of the first results in functional analysis. Originally it was

stated by F. Riesz in 1909 for C[0, 1]. Then it was generalized by several authors

for C(K), where K is a compact Hausdorff space, and for C00 (X), where X is

an LCH-space. Here we begin with the general case and derive from it the Riesz

representation theorem for C(K). We use the following notation. If U is open

in X and f ∈ C00 (X), 0 ≤ f ≤ 1, and supp(f ) ⊆ U , then we write f ≺ U .

LCH-space. Then there exists a unique Radon measure µ on X such that

Z

Ψ(f ) = f dµ (∀f ∈ C00 (X)) . (4.2.1)

X

Moreover,

and

92 CHAPTER 4.

satisfying (4.2.1). Let U ⊆ X be an open subset of X. Then Ψ(f ) ≤ µ(U )

whenever f ≺ U . If K is a compact subset of U , by Urysohn’s lemma, there is

f ∈ C00 (X) such that f ≺ U and f |K ≡ 1. Thus

Z

µ(K) ≤ f dµ = Ψ(f ) ≤ µ(U ) .

X

by Ψ on open sets, and hence on all Borel sets because of outer regularity. This

proves the uniqueness of µ and suggests how to prove existence.

We define

ν(U ) := sup{Ψ(f ) : f ∈ C00 (X), f ≺ U }

for any open U , and we define ν ∗ (E) for an arbitrary E ⊆ X by

outline of the proof is now as follows. We only fix several important steps and

leave the proofs of them to the reader.

(1) Show that ν ∗ is an outer measure on P(X).

(2) Show that every open set is ν ∗ -measurable.

Now it follows from Caratheodory’s theorem that every Borel set is ν ∗ -measurable

and µ := ν ∗ |BX is a Borel measure (note that µ(U ) = ν ∗ (U ) = ν(U )) for any

open U ). Moreover, µ is outer regular and satisfies (4.2.2) by the definition.

(3) Show that µ satisfies (4.2.3).

Since X is an LCH-space, µ is finite on compact sets. Prove the inner regularity

on open sets. Let U be an open set and µ(U ) > α. Fix ε > 0, µ(U ) > α + ε.

Choose f ∈ C00 (X) such that f ≺ U and Ψ(f ) > α + ε, and let

K := supp(f ) ⊆ U .

If g ∈ C00 (X) and g ≥ χK then g ≥ f and hence Ψ(g) ≥ Ψ(f ) > α + ε. But

then µ(K) ≥ α + ε > α by (4.2.3), so µ is inner regular on U .

(4) Show that µ satisfies (4.2.1).

4.2. THE RIESZ REPRESENTATION THEOREM 93

Hausdorff space and let C(K) be a vector space of all continuous R-valued

functions on K. It is well known that C(K) is a Banach space with respect to

the sup-norm. The following theorem, which is historically also called the Riesz

representation theorem describes the structure of its dual space space C(K)∗ .

We prove this theorem by using of Theorem 4.2.1.

Theorem 4.2.2 Let K be a compact Hausdorff space and let ψ ∈ C(K)∗ . Then

there are two unique Radon measures µ1 and µ2 on X such that

Z Z

ψ(f ) = f dµ1 − f dµ2 (∀f ∈ C(K)) .

K K

on the Borel algebra B(K).

by the formula

ϑ(f ) := sup{ψ(g) : 0 ≤ g ≤ f } (f ∈ C+ (K)) , (4.2.4)

is additive on C+ (K) (see Exercise 4.2.14) . Every such an additive function

ϑ : C+ (K) → R+ possesses a unique extension ψ+ on C(K), which is a positive

linear functional (see Exercise 4.2.15) . This extension is given by the formula:

ψ+ (f ) := ϑ(f+ ) − ϑ(f− ) (f ∈ C(K)).

Let ψ− be the positive functional correspondent to −ψ, i.e., ψ− := (−ψ)+ .

Now we apply Theorem 4.2.1 to ψ+ ∈ C(K)∗ and ψ− ∈ C(K)∗ . Then we have

Z

ψ+ (f ) = f dµ1 (∀f ∈ C(K))

K

and Z

ψ− (f ) = f dµ2 (∀f ∈ C(K)),

K

where µ1 and µ2 are unique Radon measures on X. It is routine to show that

µ1 = µ+ & µ2 = µ− (4.2.5)

for a signed Borel measure µ := µ1 − µ2 . 2

94 CHAPTER 4.

Exercise 4.2.1 ∗∗ Let X be a locally compact Hausdorff space. Show that, for any compact

K ⊆ X such that K = ∩∞ n=1 Un and Un is open for any n ∈ N, there exists f ∈ C00 (X) such

that K = f −1 ({1}).

Exercise 4.2.2 Let fn (t) = t2n be the sequence of R-valued functions on R. These functions

define Borel measures µn on R as follows

Z

µn (A) := t2n dt (∀A ∈ B(R)).

A

(b) Show that µk is µj -continuous for every k, j ∈ N.

(c) Find the Radon – Nikodym derivative of µk with respect to µj .

(d) Let A ∈ B(R) with the Lebesgue measure µ(A) 6= 0. Show that there is no constant

M ∈ R such that µn (A) ≤ M for all n.

Exercise 4.2.3 Show that any Radon measure µ is inner regular on each σ-finite subset of X,

where A is called σ-finite if there exists a sequence An of measurable sets such that µ(An ) < ∞

for any n and A = ∪∞ n=1 An .

Exercise 4.2.4 Let Y be the one-point compactification of a set X with the discrete topology

and let µ be a Radon measure on Y . Show that supp(µ) is countable, where

Exercise 4.2.5 ∗ Show that C00 (X) is dense in any Lp (µ) for any 1 ≤ p < ∞ and any Radon

measure µ on X.

Exercise 4.2.6 Prove the properties (1) − (4) in the proof of Theorem 4.2.1.

n=1 in C0 (X) converges weakly to 0 iff

sup kfn k∞ < ∞ and fn → 0 pointwise.

Exercise 4.2.8 Let µ be a Radon measure on X such that µ({x}) = 0 for all x ∈ X and a

Borel set A ∈ B(X) satisfies µ(A) < ∞. Show that, for any α, 0 ≤ α ≤ µ(A), there exists

B ∈ B(X), B ⊆ A, such that µ(B) = α.

4.2. THE RIESZ REPRESENTATION THEOREM 95

Exercise 4.2.9 Let ν be a non-atomic Radon measure on Rn and let µ be another measure

on Rn such that µ is ν-continuous. Show that µ is a Radon measure.

such that µ is ν-continuous. Show that µ is a Radon measure.

Exercise 4.2.11 ∗ Let ν be a σ-finite Radon measure on a LCH-space and let µ be another

measure such that µ is ν-continuous. By using of the Radon – Nikodym theorem, show that µ

is a Radon measure.

Exercise 4.2.12 ∗∗∗ Let ν be a Radon measure on a LCH-space and let µ be another measure

such that µ is ν-continuous. Show that µ is a Radon measure.

Exercise 4.2.13 Let X = N with the discrete topology. Show that C0 (X)∗ ∼

= `1 .

Exercise 4.2.14 Show that the function ψ+ in (4.2.4) is well defined and additive on C+ (K).

Exercise 4.2.15 Show that every additive on C+ (K) R-valued function possesses a unique

extension on C(K) which is a positive linear functional.

96 CHAPTER 4.

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xvi+386 pp.

[5] P.R. Halmos, Measure Theory, D. Van Nostrand Company, Inc., New

York, N. Y., (1950), xi+304 pp.

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Verlag, Berlin, (1997), xii+312 pp.

Index

C ∞ -Urysohn lemma, 88 Caratheodory theorem, 33

E-valued measure, 13 Cauchy – Schwarz inequality, 69

L1 -convergence, 24 Cauchy in measure sequence, 27

µ-continuous measure, 58 Chebyshev inequality, 72

µ-integrable function, 58 compact support, 90

σ-additivity of measure, 7 complete measure, 8

σ-algebra, 5 complex measure, 14

σ-algebra generated by G, 6 continuous linear functional, 70

σ-finite measure, 14 convergence in measure, 27

σ-finite measure space, 8 convex hull, 30

σ-finite premeasure, 43 convolution, 86

σ-finite subset, 94 counting measure, 8

ξ-measurable set, 32

Dedekind completeness, 19

a.e., 21 difference of sets, 5

additive function, 19 distribution function, 43

adjoint space, 70 dominated convergence theorem, 26

algebra of subsets, 34 dual space, 70

almost everywhere, 21 Egoroff theorem, 9

almost everywhere convergence, 9 elementary Young inequality, 63

approximate identity, 88 exhaustion argument, 10

exhaustion theorem, 10

Baire theorem, 51

Banach lattice, 19, 70 Fatou lemma, 25

block, 39 finite measure, 14

Borel algebra of X, 6 finite measure space, 8

Borel measure, 8 Frobenius – Perron operator, 59

Fubini theorem, 31, 40

Cantor like function, 51

Cantor like set, 51 generalized Cantor function, 51

99

100 INDEX

non-atomic measure, 11, 12, 20

h-interval, 36

Hölder inequality, 63 orthogonal functions, 69

Hahn decomposition theorem, 58 orthonormal basis, 69

outer measure, 31

inner regular measure, 91 outer regular measure, 91

integrable function, 22

partial ordering, 17

Jordan decomposition theorem, 18 partially ordered vector space, 17

pointwise convergence, 9

LCH-space, 90 positive linear functional, 90

Lebesgue σ-algebra, 36 positive set, 58

Lebesgue – Stieltjes Measure, 31 premeasure, 34

Lebesgue integral, 21 probabilistic measure space, 8

Lebesgue measurable set in Rn , 45 probability, 8

Lebesgue measure, 9, 31 product measure, 39

Lebesgue measure on R, 36 product of measure spaces, 39

Lebesgue measure on Rn , 45 purely atomic measure, 12

Lebesgue set, 89

Liapounoff, 73, 75 Radon – Nikodym derivative, 58

Liapounoff convexity theorem, 76 Radon – Nikodym theorem, 55

linear functional, 70 Radon measure, 91

locally compact Hausdorff space, 90 regular measure, 91

locally integrable function, 86 Riesz representation theorem, 91, 93

Lusin theorem, 47 Ross, 73

measurable set, 7 Schep, 55

measurable transformation, 59 Schwartz space, 84

measure, 7 separable Banach space, 68

measure of bounded variation, 16 separable measure, 8, 14

measure space, 7 set of the first category, 51

Minkowski inequality, 64, 73 set of the second category, 51

monotone class, 41 shift, 47, 85

monotone convergence theorem, 24 side of block, 45

monotone function, 19 signed measure, 14

monotone function on A, 35 simple function, 21

multi-index, 84 standard Cantor function, 51

INDEX 101

submeasure, 31

symmetric difference of sets, 5

Tonelli theorem, 42

total variation of measure, 16

totally disconnected set, 49

Uhl, Jr., 74

uniform convergence, 9

Urysohn lemma, 46, 85, 90, 92

variation of measure, 15

vector lattice, 17

vector-valued measure, 13

weak topology on Lp , 71

weakly convergent sequence, 71

Young inequality, 86