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Vector Valued Integrals

Sankha Subhra Basu

Introduction
Sometimes it is desirable to be able to integrate functions f that are defined
on some measure space X (with a real or complex measure ) and whose
values lie in some topological vector space V . A compelling application of
the theory of integration of vector-valued functions is a theory of holomorphic vector-valued functions, with well-known application to the resolvents of
operators on Hilbert and Banach spaces. Another sort of application of understanding holomorphic vector-valued functions is to generalized functions,
studying parametrized families of distributions. Many distributions which
are not classical functions appear naturally as residues or analytic continuations of families of classical functions with a complex parameter. A good
theory of integration allows a natural treatment of convolutions of distributions with test functions, and related operations.
The first problem is to associate with these data in X that deserves to be
called
Z
f d,
X

i.e., which has at least some of the properties that integrals usually have.
Many approaches to vector-valued integration have been studied in great
detail. Some of these can be classified as strong in the sense that, the
integrals are defined somewhat directly as limits of sums. On the other hand
we have the approach of Gelfand and Pettis, which can be termed as weak
in the sense that it defines an integral by the essential property that any
reasonable integral should have.

Strong Integrals
Strong integrals are generalized Lebesgue integrals for functions whose values
lie in a Banach space or more generally in a topological vector space. Some of
the well-known notions are due to Bochner, Birkhoff and McShane for Banach
space valued functions. We choose the integral due Salomon Bochner here
for a flavor of the strong notion of integration.

The Bochner Integral


Let (X, , ) be a measure space and V a Banach space, the ground field
being K (where K is either R or C). For simplicity, in most of the following
discussion, we will have K = R. The Bochner integral is defined in much the
same way as the Lebesgue integral. As in the case of the regular Lebesgue
integral, a function : X V that assumes only a finite number of values,
say v1 , v2 , . . . , vn , is called a simple function if Ei = 1 (vi ) for each i.
Then the formula,
=

n
X

Ei vi

i=1

is called the standard representation of . If (Ei ) < for each non-zero


vi , then is called a simple function with finite support. The integral
of
R
such a V -valued simple function with finite support is the vector X d of
V defined via the formula
Z
d =
X

n
X

(Ei )vi

i=1

A
Pnsimple function with finite support, with standard representation, =
i=1 Ei vi may have other representations
=

m
X

Fj wj

j=1

where, Fj with (Fj ) < whenever wj 6= 0. Here, the wj s are not


necessarily distinct and Fj s are also not necessarily pairwise disjoint.
We now state a lemma about a property of -algebras, without proof.
Lemma. Let be a -algebra of subsets of a set X and let A1 , . . . , An belong
to . Then there exists a finite collection {C1 , . . . , Ck } of pairwise disjoint
members of such that:
1. Each Ci is a subset of some Aj ; and
2. Each Aj is a union of a subfamily of the collection {C1 , . . . , Ck }.

Theorem. If is a simple function with finite support and =


is any other representation, then
Z
d =
X

m
X

Pm

j=1

Fj wj

(Fj )wj .

j=1

Pn
Proof. Let =
i=1 Ei vi be the standard representation of . We first
assume that the Fj are pairwise disjoint. Since neither the function nor
can
the sum m
j=1 (Fj )wj changes by deleting the terms with
Snwj = 0,Swe
m
assume that wj 6= 0 for each j. In such a case, we have i=1 Ei = j=1 Fj .
Moreover, we note that (Ei Fj )vi = (Ei Fj )wj for all i and j. Indeed, if
Ei Fj = , the equality is obvious and if x Ei Fj , then vi = wj = (x).
Furthermore, since the Ei s and the Fj s are pairwise disjoint, Ei Fj s are
also pairwise disjoint for all i and j. Therefore,
Z
d =
X

=
=
=

n
X

(Ei )vi

i=1
m X
n
X
j=1 i=1
m X
n
X

(Ei Fj )vi
(Ei Fj )wj

j=1 i=1
m
X

(Fj )wj .

j=1

Now, we consider the general case. By the above lemma, there exist pairwise
disjoint sets C1 , . . . , Ck such that each Ci is included in some Fj and
Fj = {Ci | Ci Fj }. For each i and j let ij = 1 if Ci Fj and ij = 0 if
Ci 6 Fj . Clearly,
Fj =

k
X

ij Ci

and (Fj ) =

i=1

k
X
i=1

ij (Ci ).

Consequently,
=

m
X

Fj wj

j=1

m X
k
X
j=1

k
X

ij Ci


wj

i=1

Ci

X
m

i=1

ij wj


.

j=1

So, by the preceding case, we have


Z
d =
X

k
X

(Ci )

i=1

=
=

ij wj

j=1

m X
k
X
j=1
m
X

X
m

ij (Ci )

wj

i=1

(Fj )wj ,

j=1

and the proof is finished.


The above theorem shows that the definition of the integral of a simple
function with finite support is well-defined. Let the vector space of all simple
functions with finite support be denoted by S. The following theorem shows
that the integral is a linear operator from S to V .
Theorem. Let , : X V be simple functions with finite support. Let
a, b K. Then,
Z
Z
Z
(a + b) d = a
d + b
d.
X

Proof. Let
(x) =

n
X

Ei (x)vi

i=1

and (x) =

m
X
j=1

Fj (x)wj

in the standard representation. The sets {Ei }ni=1 are mutually disjoint and
vi (i = 1, . . . , n) are distict members of V . Similarly, the sets {Fj }m
j=1 are
mutually disjoint and wj (j = 1, . . . , m) are distinct members of V . Let
v0 = w0 = 0, E0 = {x V | (x) = 0}, and F0 = {x V | (x) = 0}.
Then,
n
X
(x) =
Ei (x)vi
i=0

and (x) =

m
X

Fj (x)wj

j=0

For each i = 0, 1, . . . , n; j = 0, 1, . . . , m, let


Ai,j = Ei Fj .
We note that,
n
[

Ai,j = Fj and

i=0

m
[

Ai,j = Ei

j=0

Thus,
(x) =
=

n
X

Ei (x)vi

i=0
n X
m
X

Ai,j (x)vi

i=0 j=0

and (x) =

m
X

Fj (x)wj

j=0

m X
n
X

Ai,j (x)wj

j=0 i=0

Moreover,
(a + b)(x) =

n X
m
X

Ai,j (x)(avi + bwj )

i=0 j=0

We note that Ai,j , Ai,j Ai0 ,j 0 = provided i 6= i0 or j 6= j 0 , and

(Ai,j ) < provided i 6= 0 or j 6= 0. So,


Z
(a + b)(x) =

n X
m
X

(Ai,j )(avi + bwj )

i=0 j=0
n X
m
X

=a

=a

(Ai,j )vi + b

i=0 j=0
n
X

m
X

i=0

j=0

(Ai,j )wj

j=0 i=0

(Ei ) + b

(Fj )

Z
(x) d + b

=a

m X
n
X

(x) d
X


f denotes the nonnegative real
If f :
X
V is a vector function,
then



f : X R defined by f (x) = f (x) for each x X. We call
function

f the norm function of f .
If S and E , then
by
Z

d is the integral of over E and is defined


Z
d =
E d.

Pn
Lemma. If S has standard representation =
i=1 Ei vi , then the



norm function of is a realPsimple
function with finite support having
standard representation = ni=1 vi Ei . Moreover,
Z

n
X



d =
vi (Ei ) and

Z
X

i=1


d.

Proof. Clear.
Let f : X V be a vector function. We say that the function f is
strongly measurable (or simply measurable)
if there

exists a sequence of simple

functions {n } such that limn f (x) n (x) = 0 for almost all x X.

Lemma. If f : X V is strongly measurable, then the real function f is
also measurable.








Proof. The inequality f (x) n (x) f (x) n (x) implies that




n (x) f (x) for almost every x X. We know that for any measurable
space (X, , a real function f : X R is -measurable if and only if there
exists a sequence {fn } of -simple functions satisfying
fn (x) f (x) for each
x X. Thus using the previous lemma, we have f is measurable.
Let M(X, V ) denote the collection of all strongly measurable functions
from X to V that is,
M(X, V ) = {f V X | f is strongly measurable}.
Lemma. The collection M(X, V ) of all strongly measurable functions from
X to V is a vector subspace of V X containing all the simple functions of
finite support. That is, we have the following vector subspace inclusions:
S M(X, V ) V X .
Proof. Straightforward.
Lemma. Let f : X V be a strongly measurable function. Suppose that
for two sequences
functions with finite support, the
{n } amd {
n } of simple

real functions f n and f n are Lebesgue measurable for each n
and
Z
Z





f n d = 0.

lim
f n d = lim
n

Then for each E we have,


Z
Z
lim
n d = lim
n d,
n

where the last two limits are taken with respect to the norm topology on V .
Proof. Suppose, {n } and {n } are two sequences of simple functions with
finite support which satisfy the stated property. We choose and fix E .

From

Z



n d
m d =
(n m ) d
E
E
E
Z


n m d

ZX
Z






f m d,

f n d +
X

R

R


we see that
R limn,m E n d E m d = 0, which shows that the sequence { E n d}
R is a Cauchy sequence in V , so it converges in V . Similarly,
the sequence { E n d} converges in V . Now the inequality
Z
Z
Z
Z






n d



f n d
n d
f n d +
E

easily implies limn

R
E

n d = limn

R
E

n d, as claimed.

A function f : X V is called Bochner integrable if there exists a


sequence n of
integrable
simple functions with finite support such that the
real function f n is Lebesgue integrable for each n and
Z


f n d = 0.
lim
V
n

by

In this case, for each E , the Bochner integral of f over E is defined


Z
Z
f d = lim
n d,
E

R
where the limit here is the limit of the sequence of vectors { E n d} in the
norm topology in V .
By the previous lemma, the Bochner integral is well-defined, in the sense
that it does not depend on the particular sequence of simple functions (with
finite support) used to approximate f .
Theorem. If f and g are two Bochner integrable functions and , K,
then f + g is also Bochner integrable and
Z
Z
Z
(f + g) d =
f d +
g d.
X

Proof. Since f and g are Bochner integrable, there exist sequences of simple
functions with finite support
{n } and {n } such that the real functions


f n and g n are Lebesgue integrable for each n and
Z


f n d = 0
lim
n X
Z


g n d = 0
lim
n

Now, S = the set of all simple functions with finite support is a vector space,
n +n is a simple function with finite support for each n. So, {n +n }
is a sequence of simple functions with finite support. We note that for each
n,
Z
Z




(f + g) (n + n ) d =
(f n ) + (g n ) d
X
ZX



|| f n + || g n d
XZ
Z




g n d
f n d + ||
= ||
X

<


Thus, (f +g)(n +n ) is Lebesgue integrable for each n. Moreover,
Z


(f + g) (n + n ) d
lim
n X
Z
Z






g n d
f n d + || lim
|| lim
n

Since each of the above limits converge to zero,


Z


(f + g) (n + n ) d
lim
n

Thus, (f + g) is Bochner integrable as required. Then using the fact that


the Bochner integral is a linear operator from S to V , and continuity of

addition and scalar multiplication in V , we have


Z
Z
(f + g) d = lim
(n + n ) d
n X
X

 Z
Z
n d +
n d
= lim
n
X
X
Z
Z
= lim
n d + lim
n d
n
n
X
X
Z
Z
= lim
n d + lim
n d
n X
n X
Z
Z
f d +
g d,
=
X

as was desired.
Corollary. The collection of all Bochner integrable functions form a vector
subspace of M(X, V ) and the Bochner integral acts as a linear operator from
this space into V .
Proof. Straightforward consequence of the above theorem.
Weak Measurability
Suppose, (X, ) is a measurable space and V is a Banach space over a field
K (K = R or C). A function f : X V is called weakly measurable if, for
every continuous linear functional g : V K, the function
g f : X K : x 7 g(f (x))
is measurable with respect to and the usual Borel -algebra on K. A function measurable in the usual sense is sometimes called strongly measurable
to match this terminology of weak measurability.
We now present a theorem and a corollary to it without proof.
Theorem. (Pettis Measurability Theorem) A function f : X V is measurable (strongly measurable) if and only if f is weakly measurable and almost
everywhere separable valued, i.e., there is a set N X, (N ) = 0 such that
the set
{f (t) | t X \ N } V
is separable under the subspace topology derived from V .
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Corollary. 1 If V is a separable Banach space, then the strong and weak


notions of measurability are the same. In other words, any function, f : X
V is weakly measurable if and only if it is strongly measurable.
Corollary. 2 A function f : X V is measurable (strongly measurable)
if and only if it can be approximated uniformly, except possibly on a set of
measure zero, by countably valued functions.
Theorem. Let (X, , ) be a finite measure space, and let f : X V be
a strongly measurable
function. Then, f is Bochner integrable
R if and only if


its norm function f is Lebesgue integrable that is, X f d < .
Proof. Since, f is Bochner integrable, there exists a sequence {n } of simple
functions with finite support such that
Z


f n d = 0
lim
n

Then,
Z
X


f d



f n d +


n d <

for sufficiently large n.



R
Coversely, suppose f (and consequently f ) is measurable and X f d <
. With the help of Corollary 2 above, we can choose a sequence of countably
1


valued measurable functions

{fn }1 such that f fn n for each positive


integer
R n. Since fn f + n almost everywhere and is finite, then
fn d < . For each positive integer n, we can write
X
fn =

En,m vn,m ,

m=1

where En,i En,j = for i 6= j, En,m , vn,m V . For each n, we choose


pn so large that
Z

fn d < (X)
n

m=pn +1 En,m
Pn
and set gn = pm=1
En,m vn,m . Then each gn is a simple function and

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f gn d



f fn d +



fn gn d

(X) (X)

+
n
n
(X)
.
=2
n
Therefore, f is Bochner integrable, as was to be proven.
Theorem. (Vector Dominated Convergence Theorem) Let f : X V be
strongly measurable and
let a sequence {fn } of Bochner integrable functions

satisfy f (x) fn (x) 0 for almost all x X. If there exists a real
nonnegative
Lebesgue integrable function g : X R such that for each n,
we have fn g almost everywhere, then f is Bochner integrable and
Z
Z
f d = lim
fn d.
n

for each E .



Proof. Clearly, f g
almost everywhere, and f fn is measurable


for each n. From f fn 2g almost everywhere, we see that f fn
is Lebesgue integrable for each n. Moreover, from f fn 0 almost
everywhere,
and the Lebesgue Dominated Convergence Theorem, we get
R
f fn d 0. Next for each n we choose a simple function (with
X

R
finite support) n with X fn n d < n1 , and note that
Z
Z
Z






fn n d 0.
f fn d +
f n d
X

This implies that f is Bochner integrable and that


Z
Z
Z
n d = lim
fn d
f d = lim
E

for each E .

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Weak Integrals
As for strong integrals, there have been many definitions of weak integrals
due to Gelfand, Dunford, Pettis and still others. We choose here the GelfandPettis integral, which combines the ideas of the Gelfand and the Pettis integrals, for discussion of the weak integrals.

The Gelfand-Pettis Integral


Let (X, , ) be a measure space, V be a real or complex topological vector
space and V , the dual space of V . Suppose f is a function from X into V .
A Gelfand-Pettis integral of f would be a vector If V so that,
Z
(If ) =
(f ) d
for all V .
X

If it exists and is unique, this vector If is denoted by


Z
f d
If =
X

By contrast to construction of the strong integrals, this definition banks


on the irreducible mimimum property that no reasonable notion of integral
should lack. So, this definition is called a weak integral. We shall prove
below that a Bochner integrable function is in fact Gelfand-Pettis integrable.
Uniqueness
Uniqueness of the Gelfand-Pettis integral of a function is immediate when
V separates points, as for locally convex spaces by Hahn-Banach theorem.
In particular, since every Banach space is locally convex, the GP integral of
any Banach space valued function is unique.
Existence
If V is a vector space and E V , the convex hull of E is the intersection of all
convex subsets of V which contain E and is denoted by co(E). Equivalently,
co(E) is the set of all finite convex combinations of members of E.
The closed convex hull of E, written co(E), is the closure of co(E).

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We will prove the existence of the GP integral only in the rather special
case in which X is compact and f is continuous. In that case, f (X) is
compact, and the only other requirement that will be imposed is that the
closed convex hull of f (X) should be compact. This last requirement is
automatically satisfied for Banach spaces.
Theorem. Suppose
(a) X is a topological vector space on which X separates points, and
(b) is a Borel probability measure on a compact Hausdorff space X.
If f : X V is continuous and co(f (X)) is compact in V , then the GP
integral of f
Z
If =
f d
(1)
X

exits. Moreover, If co(f (X)).


Proof. Let V be a real vector space. Suppose, H = co(f (X)). We have to
prove that there exists If V such that
Z
(If ) =
(f ) d
(2)
X

for every V . Let L = {1 , . . . , n } be a finite subset of V . Let EL be


the set of all y H that satisfy (2) above for every L. Each EL is closed
(by the continuity of ) and is therefore compact, since H is compact. If
no EL is empty, the collection of all EL has the finite intersection property.
The intersection of EL is therefore not empty, and any y in it satisfies (2) for
every V . It is therefore enough to prove EL 6= .
We can regard L = (1 , . . . , n ) as a mapping from X into Rn . Let K =
L(f (X)). We define
Z
mi =
i (f ) d (1 i n).
(3)
X

We claim that the point m = (m1 , . . . , mn ) lies in the convex hull of K.


Now, if t = (t1 , . . . , tn ) Rn is not in this hull, then there are real numbers
c1 , . . . , cn such that
n
n
X
X
ci ui <
ci ti
(4)
i=1

i=1

14

if u = (u1 , . . . , un ) K. Hence,
n
X

ci (f (x)) <

i=1

n
X

ci ti

(x X).

(5)

i=1

Since is a probability measure, integration of the left hand side of (5)


gives
n
n
X
X
ci m i <
ci t i .
i=1

i=1

Thus t 6= m. This shows that m lies in the convex hull of K. Since K =


L(f (X)) and L is linear, it follows that m = Ly for some y in the convex
hull H of f (X). For this y, we have
Z
i (y) = mi =
i (f ) d (1 i n).
(6)
X

Hence y EL . This completes the proof.


Theorem. The collection of all Gelfand-Pettis (GP in short) integrable functions is a vector space and the GP integral is linear. That is, if f and g are
GP integrable over a set E , and , K, then f + g is also GP
integrable over E and
Z
Z
Z
(f + g) d = f d +
g d
E

Proof. Since f and g are GP integrable, there exist unique vectors If and Ig
in V such that
Z
(If ) =
(f ) d
X
Z
(g) d
and (Ig ) =
X

for all V . Moreover, If is the GP integral of f and Ig is the GP integral


of g over X. Now, we note that (If + Ig ) is an element of V and for any

15

V ,
(If + Ig ) = (If ) + (Ig )
Z
Z
=
(f ) d +
(g) d
X
X
Z
Z
=
(f ) d +
(g) d
X
X
Z
Z
=
(f ) d +
(g) d
X
X
Z

(f ) + (g) d
=
ZX
=
(f + g) d,
X

which proves that (f + g) is GP integrable and


Z
(f + g) d,
If + Ig =
X

as was desired.
Let GP be the class of GP integrable functions from X to V . The above
theorem proves that GP is a vector space over K and the GP integral is a
linear operator from GP to V .

Relationship between the above notions of integrability


Since, any notion of an integral should satisfy the irreducible minimum property through which the Gelfand-Pettis integral is defined, any strongly integrable function should also be weakly integrable. So, any strong notion of
integrability should = Gelfand-Pettis integrability.
Lemma. Suppose (X, , ) is a mesaure space, V a real Banach space and
: X V a simple function with finite support. Then is Pettis integrable
and the integrals coincide.

16

P
Proof. Let = ni=1 Ei vi be the standard representation of . Then the
Bochner integral of , I V is
Z
I =

d =
X

n
X

(Ei )vi .

i=1

Then for any V ,


() =

X
n


Ei vi

i=1

n
X

Ei (vi ).

i=1

is a real simple function with finite support. Moreover,


(I ) =

X
n


(Ei )vi

i=1

n
X

(Ei )(vi )

i=1

So, for any V


Z
() d =
X

n
X

(Ei )(vi )

i=1

= (I )
This proves that is GP integrable and the integrals coincide.
Theorem. Suppose V is a Banach space. If a function f : X V is Bochner
integrable, then f is GP integrable and the two integrals coincide.
Proof. Since f is Bochner integrable, there exists a sequence
of simple func
tions with finite support {n } such that the real function f n is Lebesgue
integrable for each n and
Z


f n d = 0,
lim
n

and the Bochner integral of f , If V is


Z
If = lim
n d.
n

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Then for any V , using the continuity of , we have




Z
(If ) = lim
n d
n X
Z

= lim
n d
n
X
Z
= lim
(n ) d,
n

using the above lemma. Hence, f is GP integrable and If is also the GP


integral of f , as required.
Thus, we have Bochner = Gelfand-Pettis. The reverse arrow does not
hold in general.
Example of a GP integrable function which is not Bochner integrable
Let (X, , ) be the measure space with X = [0, 1] and = the Lebesgue
measure on [0, 1]. Let V be the real Banach space c0 . We consider the
function f : X V defined by
f (x) = {nIn (x)}


1
1
where, In is the interval
, , In is the characteristic function of In
n+1 n
and {nIn (x)} is a sequence of non-negative integers for any x X. Clearly,
a sequence {nIn (x)} has atmost one non-zero term and hence is a member
of c0 . So, f is well-defined.


1
Then f is GP integrable and the GP integral of f is the vector

n+1
c0 . But we note that

X
f =
nIn ,
n=1

which is not Lebesgue integrable. Since is a finite measure on X, this


means that f is not Bochner integrable.

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References
(1) W. Rudin: Functional Analysis, Second Edition, Springer (1999)
(2) Charalambos D. Aliprantis, Kim C. Border: Infinite Dimensional Analysis - A Hitchhikers Guide, Studies in Economic Theory, SpringerVerlag (1994)
(3) J. Diestel, J. J. Uhl, Jr.: Vector Measures, Mathematical Surveys, Number 15, AMS (1977)
(4) Raymond A. Ryan: Introduction to Tensor Products of Banach Spaces,
Springer (2002)
(5) B. J. Pettis: On Integration in Vector Spaces, Trans. of AMS, Vol. 44,
No. 2 (Sep. ,1938), pp. 277-304
(6) Garrett Birkhoff: Integration of Functions with Values in a Banach
Space, Trans. of AMS, Vol. 38, No. 2 (Sep. ,1935), pp. 357-378
(7) Jose Rodrguez: Some Examples in Vector Integration, Bull. Aust. Math. Soc.
(2009)
(8) Paul Garrett: Vector-Valued Integrals, http://www.math.umn.edu/
~garrett/ (2008)

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